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: 811-21734
PIMCO Global StocksPlus® & Income Fund
(Exact name of registrant as specified in charter)
1633 Broadway, New York, NY 10019
(Address of principal executive offices)
Trent W. Walker
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
Registrants telephone number, including area code: (844) 337-4626
Date of fiscal year end: June 30
Date of reporting period: June 30, 2018
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
Annual Report
June 30, 2018
PCM Fund, Inc. | PCM | NYSE
PIMCO Global StocksPLUS® & Income Fund | PGP | NYSE
PIMCO Income Opportunity Fund | PKO | NYSE
PIMCO Strategic Income Fund, Inc. | RCS | NYSE
PIMCO Dynamic Credit and Mortgage Income Fund | PCI | NYSE
PIMCO Dynamic Income Fund | PDI | NYSE
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Fund | Fund Summary |
Schedule of Investments |
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(1) | Consolidated Schedule of Investments |
Letter from the Chairman of the Board & President
Dear Shareholder,
Following is the PIMCO Closed-End Funds Annual Report, which covers the 12-month reporting period ended June 30, 2018. On the subsequent pages you will find specific details regarding investment results and a discussion of factors that most affected performance over the reporting period.
For the 12-month reporting period ended June 30, 2018
The U.S. economy continued to expand during the reporting period. Looking back, U.S. gross domestic product (GDP) expanded at a revised annual pace of 2.8% and 2.3% during the third and fourth quarters of 2017, respectively. First-quarter 2018 GDP then moderated to a revised annual pace of 2.2%. The Commerce Departments initial reading released after the reporting period had ended showed that second-quarter 2018 GDP grew at an annual pace of 4.1%.
The Federal Reserve (Fed) continued to normalize monetary policy during the reporting period. After raising interest rates in March and June 2017, the Fed again raised rates in December, moving the federal funds rate up to a range between 1.25% and 1.50%. And, in October 2017, the Fed started to reduce its balance sheet. At its March 2018 meeting, the Fed again increased rates to a range between 1.50% and 1.75%. Finally, at its meeting that concluded on June 13, 2018, the Fed raised rates to a range between 1.75% and 2.00%.
Economic activity outside the U.S. initially accelerated during the reporting period, but then moderated somewhat as the reporting period progressed. Against this backdrop, the European Central Bank (ECB) and Bank of Japan largely maintained their highly accommodative monetary policies. Other central banks took a more hawkish stance. In November 2017, the Bank of England instituted its first rate hike since 2007, and the Bank of Canada raised rates twice during the reporting period. Meanwhile, in June 2018, the ECB indicated that it plans to end its quantitative easing program by the end of the year, but it did not expect to raise interest rates at least through the summer of 2019.
The U.S. Treasury yield curve flattened during the reporting period, as short-term rates moved up more than their longer-term counterparts. The increase in rates at the short end of the yield curve was mostly due to Fed interest rate hikes. The yield on the benchmark 10-year U.S. Treasury note was 2.85% at the end of the reporting period, up from 2.31% on June 30, 2017. U.S. Treasuries, as measured by the Bloomberg Barclays U.S. Treasury Index, returned -0.65% over the 12 months ended June 30, 2018. Meanwhile, the Bloomberg Barclays U.S. Aggregate Bond Index, a widely used index of U.S. investment grade bonds, returned -0.40% over the period. Riskier fixed income asset classes, including high yield corporate bonds and emerging market debt, generated mixed results versus the broad U.S. market. The ICE BofAML U.S. High Yield Index gained 2.53% over the reporting period, whereas emerging market external debt, as represented by the JPMorgan Emerging Markets Bond Index (EMBI) Global, returned -2.45% over the reporting period. Emerging market local bonds, as represented by the JPMorgan Government Bond Index-Emerging Markets Global Diversified Index (Unhedged), returned -2.33% over the period.
Global equities generally rose over the first seven months of the period. This rally was driven by a number of factors, including improving global growth, corporate profits that often exceeded expectations and, in the U.S., optimism surrounding the passage of a tax reform bill in December 2017. In the U.S., a portion of those gains were given back in February and March 2018. This was partially due to concerns over less accommodative central bank policies and fears of a trade war. However, U.S. equities then rallied over the last three months of the reporting period. All told, U.S. equities, as represented by the S&P 500 Index, returned 14.37% during the reporting period. Emerging market equities, as measured by the MSCI Emerging Markets Index, returned 8.20% over the period, whereas global equities, as represented by the MSCI World Index, returned 11.09%. Elsewhere, Japanese equities, as represented by the Nikkei 225 Index (in JPY), returned 13.45% over the reporting period and European equities, as represented by the MSCI Europe Index (in EUR), returned 2.85%.
2 | PIMCO CLOSED-END FUNDS |
Commodity prices fluctuated but generally moved higher during the 12 months ended June 30, 2018. When the reporting period began, crude oil was approximately $46 a barrel. By the end of the period, it was roughly $74 a barrel. This ascent was driven in part by planned and observed production cuts by OPEC and the collapse in Venezuelan oil production, as well as global growth maintaining demand. Elsewhere, gold and copper prices moved modestly higher over the reporting period.
Finally, during the reporting period, there were periods of volatility in the foreign exchange markets, due in part to signs of improving global growth, decoupling central bank policies, and a number of geopolitical events. The U.S. dollar generally weakened against other major currencies over the reporting period. For example, the U.S. dollar returned -2.26%, -1.40% and -1.45% versus the euro, British pound and Japanese yen, respectively, during the 12 months ended June 30, 2018.
Thank you for the assets you have placed with us. We deeply value your trust, and 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 adviser, or call the Funds shareholder servicing agent at (844) 33-PIMCO. We also invite you to visit our website at pimco.com to learn more about our global viewpoints.
Sincerely,
Hans W. Kertess | Peter G. Strelow | |
Chairman of the Board | President |
Past performance is no guarantee of future results.
ANNUAL REPORT | JUNE 30, 2018 | 3 |
Important Information About the Funds
4 | PIMCO CLOSED-END FUNDS |
ANNUAL REPORT | JUNE 30, 2018 | 5 |
Important Information About the Funds (Cont.)
6 | PIMCO CLOSED-END FUNDS |
ANNUAL REPORT | JUNE 30, 2018 | 7 |
Important Information About the Funds (Cont.)
8 | PIMCO CLOSED-END FUNDS |
ANNUAL REPORT | JUNE 30, 2018 | 9 |
Important Information About the Funds (Cont.)
1 | Hereinafter, the terms Trustee or Trustees used herein shall refer to a Director or Directors of applicable Funds. |
10 | PIMCO CLOSED-END FUNDS |
Symbol on NYSE - PCM |
Average Annual Total Return(1) for the period ended June 30, 2018 | ||||||||||||||||
1 Year | 5 Year | 10 Year | Commencement of Operations (09/02/93) |
|||||||||||||
Market Price | 11.48% | 10.62% | 13.72% | 9.26% | ||||||||||||
NAV | 10.85% | 9.06% | 12.91% | 9.33% |
All Fund returns are net of fees and expenses.
(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. 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 Funds 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 distributions 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
PCM Fund, Inc.s primary investment objective is to achieve high current income. Capital gains from the disposition of investments are a secondary objective of the Fund.
Fund Insights at NAV
The following affected performance during the reporting period:
» | Exposure to non-agency residential mortgage-backed securities contributed to absolute performance, as spreads tightened during the period. |
» | Exposure to the U.S. dollar contributed to absolute performance, as the dollar appreciated against most major currencies. |
» | Exposure to non-agency commercial mortgage-backed securities contributed to absolute performance, as the asset class outperformed like-duration Treasuries. |
» | Exposure to select asset-backed securities (ABS), specifically student loan ABS, contributed to absolute performance, as the asset class outperformed like-duration Treasuries. |
» | Exposure to the intermediate portion of the U.S. yield curve detracted from absolute performance, as rates increased during the period. |
» | Exposure to a select gaming and entertainment company detracted from absolute performance. |
ANNUAL REPORT | JUNE 30, 2018 | 11 |
PIMCO Global StocksPLUS® & Income Fund
Symbol on NYSE - PGP |
Average Annual Total Return(1) for the period ended June 30, 2018 | ||||||||||||||||
1 Year | 5 Year | 10 Year | Commencement of Operations (05/31/05) |
|||||||||||||
Market Price | (8.96)% | 3.95% | 12.12% | 10.22% | ||||||||||||
NAV | 8.53% | 12.23% | 14.10% | 12.45% |
All Fund returns are net of fees and expenses.
(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. 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 Funds 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 distributions 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 Global StocksPLUS® & Income Funds primary investment objective is to seek total return comprised of current income, current gains and long-term capital appreciation.
Fund Insights at NAV
The following affected performance during the reporting period:
» | The Funds exposure to equity index derivatives linked to the S&P 500 Index contributed to absolute returns, as the S&P 500 Index returned 14.37%. |
» | The Funds exposure to equity index derivatives linked to the MSCI EAFE Index contributed to absolute returns, as the MSCI EAFE Index returned 6.84%. |
» | A defensive options strategy involving written calls and purchased puts on the S&P 500 Index detracted from absolute performance, as the S&P 500 Index returned 14.37% during the period. |
» | U.S. duration strategies detracted from performance, as U.S. Treasury yields increased. |
» | Holdings of non-agency mortgages added to absolute returns, as this sector generated positive returns. |
» | The Funds use of paired swap transactions supported the Funds monthly distributions, but generally resulted in a decline in the Funds net asset value. |
12 | PIMCO CLOSED-END FUNDS |
Symbol on NYSE - PKO |
Average Annual Total Return(1) for the period ended June 30, 2018 | ||||||||||||||||
1 Year | 5 Year | 10 Year | Commencement of Operations (11/30/07) |
|||||||||||||
Market Price | 11.13% | 11.16% | 14.42% | 12.76% | ||||||||||||
NAV | 8.91% | 9.42% | 13.38% | 12.34% |
All Fund returns are net of fees and expenses.
(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. 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 Funds 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 distributions 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 Opportunity Funds investment objective is to seek current income as a primary focus and also capital appreciation.
Fund Insights at NAV
The following affected performance during the reporting period:
» | Exposure to non-agency residential mortgage-backed securities contributed to absolute performance, as spreads tightened during the period. |
» | Exposure to high yield corporate debt securities contributed to absolute performance, as the asset class outperformed like-duration Treasuries. |
» | Exposure to the U.S. dollar contributed to absolute performance, as the dollar appreciated against most major currencies. |
» | Exposure to a select energy company contributed to absolute performance. |
» | Exposure to the intermediate portion of the U.S. yield curve detracted from absolute performance, as U.S. interest rates increased during the period. |
» | Exposure to Argentine debt and currency detracted from absolute performance. |
ANNUAL REPORT | JUNE 30, 2018 | 13 |
PIMCO Strategic Income Fund, Inc.
Symbol on NYSE - RCS |
Average Annual Total Return(1) for the period ended June 30, 2018 | ||||||||||||||||
1 Year | 5 Year | 10 Year | Commencement of Operations (02/24/94) |
|||||||||||||
Market Price | 4.59% | 9.43% | 12.44% | 9.45% | ||||||||||||
NAV | 5.78% | 7.21% | 11.48% | 8.59% |
All Fund returns are net of fees and expenses.
(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. 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 Funds 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 distributions 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
The primary investment objective of PIMCO Strategic Income Fund, Inc. is to generate a level of income that is higher than that generated by high quality, intermediate-term U.S. debt securities. The Fund also seeks capital appreciation to the extent consistent with this objective.
Fund Insights at NAV
The following affected performance during the reporting period:
» | Exposure to non-agency residential mortgage-backed securities contributed to absolute performance, as spreads tightened during the period. |
» | Exposure to the U.S. dollar contributed to absolute performance, as the dollar appreciated against most major currencies. |
» | Exposure to non-agency commercial mortgage-backed securities contributed to absolute performance, as the asset class outperformed like-duration Treasuries. |
» | Exposure to asset-backed securities (ABS), specifically student loan ABS, contributed to absolute performance, as the asset class outperformed like-duration Treasuries during the period. |
» | Exposure to the intermediate portion of the U.S. yield curve detracted from absolute performance, as U.S. interest rates increased during the period. |
» | Exposure to agency mortgage-backed securities detracted from absolute performance, as the asset class underperformed like-duration Treasuries during the period. |
» | Exposure to Argentine debt and currency detracted from absolute performance. |
14 | PIMCO CLOSED-END FUNDS |
PIMCO Dynamic Credit and Mortgage Income Fund
Symbol on NYSE - PCI |
Average Annual Total Return(1) for the period ended June 30, 2018 | ||||||||||||
1 Year | 5 Year | Commencement of Operations (01/31/13) |
||||||||||
Market Price | 15.03% | 12.09% | 9.75% | |||||||||
NAV | 12.64% | 10.86% | 10.19% |
All Fund returns are net of fees and expenses.
(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. 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 Funds 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 distributions 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 Dynamic Credit and Mortgage Income Funds primary investment objective is to seek current income and capital appreciation as a secondary objective.
Fund Insights at NAV
The following affected performance during the reporting period:
» | Exposure to non-agency residential mortgage-backed securities benefited absolute performance, as spreads tightened during the period. |
» | Exposure to non-agency commercial mortgage-backed securities benefited absolute performance, as the asset class outperformed like-duration Treasuries. |
» | Exposure to the U.S. dollar benefited absolute performance, as the dollar appreciated against most major currencies. |
» | Exposure to high yield corporate debt securities benefited absolute performance, as the asset class outperformed like-duration Treasuries. |
» | Exposure to the intermediate portion of the U.S. yield curve detracted from absolute performance, as rates rose during the period. |
» | Exposure to Argentine debt and currency detracted from absolute performance. |
ANNUAL REPORT | JUNE 30, 2018 | 15 |
Symbol on NYSE - PDI |
Average Annual Total Return(1) for the period ended June 30, 2018 | ||||||||||||
1 Year | 5 Year | Commencement of Operations (05/30/12) |
||||||||||
Market Price | 15.54% | 16.49% | 18.04% | |||||||||
NAV | 12.16% | 13.22% | 17.28% |
All Fund returns are net of fees and expenses.
(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. 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 Funds 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 distributions 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 Dynamic Income Funds primary investment objective is to seek current income, and capital appreciation is a secondary objective.
Fund Insights at NAV
The following affected performance during the reporting period:
» | Exposure to non-agency residential mortgage-backed securities benefited absolute performance, as spreads tightened during the period. |
» | Exposure to the U.S. dollar benefited absolute performance, as the dollar appreciated against most major currencies. |
» | Exposure to non-agency commercial mortgage-backed securities benefited performance, as the asset class outperformed like-duration Treasuries. |
» | Exposure to high yield corporate debt securities benefited absolute performance, as the asset class outperformed like-duration Treasuries. |
» | Exposure to the intermediate portion of the U.S. yield curve detracted from absolute performance, as U.S. interest rates increased during the period. |
» | Exposure to Argentine debt and currency detracted from absolute performance. |
16 | PIMCO CLOSED-END FUNDS |
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ANNUAL REPORT | JUNE 30, 2018 | 17 |
Investment Operations | Less Distributions(b) | |||||||||||||||||||||||||||||||||||
Selected Per Share Data for the Year or Period Ended^: | Net Asset Value Beginning of Year or Period |
Net Investment Income(a) |
Net Realized/ Unrealized Gain (Loss) |
Total | From Net Investment Income |
From Net Realized Capital Gains |
Tax Basis Return of Capital |
Total | ||||||||||||||||||||||||||||
PCM Fund, Inc. |
||||||||||||||||||||||||||||||||||||
06/30/2018 |
$ | 10.15 | $ | 0.88 | $ | 0.18 | $ | 1.06 | $ | (0.98 | ) | $ | 0.00 | $ | 0.00 | $ | (0.98 | ) | ||||||||||||||||||
06/30/2017 |
9.71 | 0.98 | 0.92 | 1.90 | (1.46 | ) | 0.00 | 0.00 | (1.46 | ) | ||||||||||||||||||||||||||
06/30/2016 |
10.68 | 1.22 | (1.23 | ) | (0.01 | ) | (0.96 | ) | 0.00 | 0.00 | (0.96 | ) | ||||||||||||||||||||||||
01/01/2015 - 06/30/2015(e) |
10.72 | 0.44 | 0.00 | 0.44 | (0.48 | ) | 0.00 | 0.00 | (0.48 | )(i) | ||||||||||||||||||||||||||
12/31/2014 |
11.17 | 0.94 | (0.34 | ) | 0.60 | (1.05 | ) | 0.00 | 0.00 | (1.05 | ) | |||||||||||||||||||||||||
12/31/2013 |
11.35 | 1.12 | (0.20 | ) | 0.92 | (1.10 | ) | 0.00 | 0.00 | (1.10 | ) | |||||||||||||||||||||||||
PIMCO Global StocksPLUS® & Income Fund |
||||||||||||||||||||||||||||||||||||
06/30/2018 |
$ | 11.18 | $ | 1.09 | $ | (0.16 | ) | $ | 0.93 | $ | (1.43 | ) | $ | 0.00 | $ | (0.18 | ) | $ | (1.61 | ) | ||||||||||||||||
06/30/2017 |
9.76 | 1.15 | 2.14 | 3.29 | (1.67 | ) | 0.00 | (0.20 | ) | (1.87 | ) | |||||||||||||||||||||||||
06/30/2016 |
12.88 | 1.15 | (2.07 | ) | (0.92 | ) | (2.02 | ) | 0.00 | (0.18 | ) | (2.20 | ) | |||||||||||||||||||||||
04/01/2015 - 06/30/2015(f) |
12.82 | 0.34 | 0.27 | 0.61 | (0.55 | ) | 0.00 | 0.00 | (0.55 | )(i) | ||||||||||||||||||||||||||
03/31/2015 |
14.72 | 1.15 | (0.85 | ) | 0.30 | (2.20 | ) | 0.00 | 0.00 | (2.20 | ) | |||||||||||||||||||||||||
03/31/2014 |
14.32 | 1.39 | 1.21 | 2.60 | (2.20 | ) | 0.00 | 0.00 | (2.20 | ) | ||||||||||||||||||||||||||
PIMCO Income Opportunity Fund |
||||||||||||||||||||||||||||||||||||
06/30/2018 |
$ | 25.17 | $ | 2.18 | $ | (0.01 | ) | $ | 2.17 | $ | (2.28 | ) | $ | 0.00 | $ | 0.00 | $ | (2.28 | ) | |||||||||||||||||
06/30/2017 |
22.59 | 2.28 | 2.92 | 5.20 | (2.56 | ) | 0.00 | (0.06 | ) | (2.62 | ) | |||||||||||||||||||||||||
06/30/2016 |
25.94 | 2.33 | (2.89 | ) | (0.56 | ) | (2.28 | ) | (0.51 | ) | 0.00 | (2.79 | ) | |||||||||||||||||||||||
11/01/2014 - 06/30/2015(g) |
28.38 | 1.54 | (0.86 | ) | 0.68 | (2.34 | ) | (0.77 | ) | (0.01 | ) | (3.12 | )(i) | |||||||||||||||||||||||
10/31/2014 |
28.67 | 2.71 | (0.12 | ) | 2.59 | (2.88 | ) | 0.00 | 0.00 | (2.88 | ) | |||||||||||||||||||||||||
10/31/2013 |
27.86 | 2.87 | 0.77 | 3.64 | (2.83 | ) | 0.00 | 0.00 | (2.83 | ) | ||||||||||||||||||||||||||
PIMCO Strategic Income Fund, Inc. |
||||||||||||||||||||||||||||||||||||
06/30/2018 |
$ | 7.75 | $ | 0.77 | $ | (0.34 | ) | $ | 0.43 | $ | (0.86 | ) | $ | 0.00 | $ | 0.00 | $ | (0.86 | ) | |||||||||||||||||
06/30/2017 |
7.89 | 0.70 | 0.08 | 0.78 | (0.80 | ) | 0.00 | (0.12 | ) | (0.92 | ) | |||||||||||||||||||||||||
06/30/2016 |
8.58 | 0.76 | (0.45 | ) | 0.31 | (1.00 | ) | 0.00 | 0.00 | (1.00 | ) | |||||||||||||||||||||||||
02/01/2015 - 06/30/2015(h) |
8.57 | 0.30 | 0.11 | 0.41 | (0.40 | ) | 0.00 | 0.00 | (0.40 | )(i) | ||||||||||||||||||||||||||
01/31/2015 |
9.24 | 0.90 | (0.55 | ) | 0.35 | (1.02 | ) | 0.00 | 0.00 | (1.02 | ) | |||||||||||||||||||||||||
01/31/2014 |
9.66 | 0.99 | (0.30 | ) | 0.69 | (1.11 | ) | 0.00 | 0.00 | (1.11 | ) | |||||||||||||||||||||||||
PIMCO Dynamic Credit and Mortgage Income Fund (Consolidated) |
||||||||||||||||||||||||||||||||||||
06/30/2018 |
$ | 22.91 | $ | 1.95 | $ | 0.85 | $ | 2.80 | $ | (1.97 | ) | $ | 0.00 | $ | 0.00 | $ | (1.97 | ) | ||||||||||||||||||
06/30/2017 |
20.43 | 1.62 | 3.46 | 5.08 | (2.60 | ) | 0.00 | 0.00 | (2.60 | ) | ||||||||||||||||||||||||||
06/30/2016 |
23.00 | 2.01 | (2.40 | ) | (0.39 | ) | (2.18 | ) | 0.00 | 0.00 | (2.18 | ) | ||||||||||||||||||||||||
01/01/2015 - 06/30/2015(e) |
22.83 | 0.76 | 0.35 | 1.11 | (0.94 | ) | 0.00 | 0.00 | (0.94 | )(i) | ||||||||||||||||||||||||||
12/31/2014 |
24.04 | 1.79 | (0.53 | ) | 1.26 | (2.47 | ) | 0.00 | 0.00 | (2.47 | ) | |||||||||||||||||||||||||
01/31/2013 - 12/31/2013 |
23.88 | 1.33 | 0.76 | 2.09 | (1.68 | ) | (0.24 | ) | 0.00 | (1.92 | ) | |||||||||||||||||||||||||
PIMCO Dynamic Income Fund (Consolidated) |
||||||||||||||||||||||||||||||||||||
06/30/2018 |
$ | 28.32 | $ | 2.95 | $ | 0.18 | $ | 3.13 | $ | (2.65 | ) | $ | 0.00 | $ | 0.00 | $ | (2.65 | ) | ||||||||||||||||||
06/30/2017 |
26.56 | 2.60 | 3.18 | 5.78 | (4.10 | ) | 0.00 | 0.00 | (4.10 | ) | ||||||||||||||||||||||||||
06/30/2016 |
31.38 | 3.87 | (3.45 | ) | 0.42 | (4.25 | ) | (0.99 | ) | 0.00 | (5.24 | ) | ||||||||||||||||||||||||
04/01/2015 - 06/30/2015(f) |
30.74 | 0.80 | 0.47 | 1.27 | (0.63 | ) | 0.00 | 0.00 | (0.63 | )(i) | ||||||||||||||||||||||||||
03/31/2015 |
32.11 | 3.25 | (0.49 | ) | 2.76 | (4.13 | ) | 0.00 | 0.00 | (4.13 | ) | |||||||||||||||||||||||||
03/31/2014 |
30.69 | 3.70 | 1.24 | 4.94 | (3.29 | ) | (0.23 | ) | 0.00 | (3.52 | ) |
^ | A zero balance may reflect actual amounts rounding to less than $0.01 or 0.01%. |
* | Annualized |
(a) | Per share amounts based on average number of shares outstanding during the year or period. |
(b) | The tax characterization of distributions is determined in accordance with Federal income tax regulations. See Note 2, DistributionsCommon Shares, in the Notes to Financial Statements for more information. |
(c) | Total investment return is calculated assuming a purchase of a share at the market price on the first day and a sale of a share at the market price on the last day of each year 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. |
(d) | Interest expense 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. |
(e) | Fiscal year end changed from December 31st to June 30th. |
(f) | Fiscal year end changed from March 31st to June 30th. |
(g) | Fiscal year end changed from October 31st to June 30th. |
(h) | Fiscal year end changed from January 31st to June 30th. |
(i) | Total distributions for the period ended June 30, 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 June 30, 2015. |
18 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
Common Share | Ratios/Supplemental Data | |||||||||||||||||||||||||||||||||||||||||||||||||
Ratios to Average Net Assets | ||||||||||||||||||||||||||||||||||||||||||||||||||
Increase resulting from at-the-market offering |
Offering Cost Charged to Paid in Capital |
Net Assets Value End of Year or Period |
Market Price End of Year or Period |
Total Investment Return(c) |
Net Assets End of Year or Period (000s) |
Expenses(d) | Expenses Excluding Waivers(d) |
Expenses Excluding Interest Expense(d) |
Expenses Excluding Interest Expense and Waivers(d) |
Net Investment Income (Loss) |
Portfolio Turnover Rate |
|||||||||||||||||||||||||||||||||||||||
$ | N/A | $ | N/A | $ | 10.23 | $ | 11.45 | 11.48 | % | $ | 118,512 | 3.06 | % | 3.06 | % | 1.43 | % | 1.43 | % | 8.55 | % | 9 | % | |||||||||||||||||||||||||||
N/A | N/A | 10.15 | 11.23 | 33.80 | 117,402 | 3.05 | 3.05 | 1.54 | 1.54 | 9.81 | 13 | |||||||||||||||||||||||||||||||||||||||
N/A | N/A | 9.71 | 9.72 | 6.91 | 112,099 | 2.69 | 2.69 | 1.58 | 1.58 | 12.25 | 12 | |||||||||||||||||||||||||||||||||||||||
N/A | N/A | 10.68 | 10.05 | (1.28 | ) | 123,235 | 2.26 | * | 2.26 | * | 1.54 | * | 1.54 | * | 8.32 | * | 20 | |||||||||||||||||||||||||||||||||
N/A | N/A | 10.72 | 10.65 | 0.34 | 123,633 | 1.89 | 1.89 | 1.40 | 1.40 | 8.38 | 11 | |||||||||||||||||||||||||||||||||||||||
N/A | N/A | 11.17 | 11.65 | 6.49 | 128,672 | 2.05 | 2.05 | 1.52 | 1.52 | 9.75 | 6 | |||||||||||||||||||||||||||||||||||||||
$ | N/A | $ | N/A | $ | 10.50 | $ | 14.98 | (8.96 | )% | $ | 113,204 | 2.36 | % | 2.36 | % | 1.48 | % | 1.48 | % | 9.84 | % | 63 | % | |||||||||||||||||||||||||||
N/A | N/A | 11.18 | 18.40 | 5.06 | 119,538 | 3.20 | 3.20 | 1.88 | 1.88 | 11.09 | 25 | |||||||||||||||||||||||||||||||||||||||
N/A | N/A | 9.76 | 19.53 | 31.38 | 103,627 | 2.75 | 2.75 | 1.82 | 1.82 | 10.56 | 26 | |||||||||||||||||||||||||||||||||||||||
N/A | N/A | 12.88 | 16.92 | (21.82 | ) | 135,468 | 2.34 | * | 2.34 | * | 1.72 | * | 1.72 | * | 10.35 | * | 3 | |||||||||||||||||||||||||||||||||
N/A | N/A | 12.82 | 22.27 | 4.05 | 134,594 | 2.30 | 2.30 | 1.78 | 1.78 | 8.29 | 92 | |||||||||||||||||||||||||||||||||||||||
N/A | N/A | 14.72 | 23.67 | 19.44 | 153,393 | 1.94 | 1.94 | 1.67 | 1.67 | 9.62 | 197 | |||||||||||||||||||||||||||||||||||||||
$ | N/A | $ | N/A | $ | 25.06 | $ | 27.31 | 11.13 | % | $ | 379,378 | 2.99 | % | 2.99 | % | 1.64 | % | 1.64 | % | 8.58 | % | 17 | % | |||||||||||||||||||||||||||
N/A | N/A | 25.17 | 26.85 | 30.30 | 378,706 | 2.94 | 2.94 | 1.72 | 1.72 | 9.57 | 28 | |||||||||||||||||||||||||||||||||||||||
N/A | N/A | 22.59 | 23.00 | 7.87 | 338,292 | 2.63 | 2.63 | 1.73 | 1.73 | 9.99 | 16 | |||||||||||||||||||||||||||||||||||||||
N/A | N/A | 25.94 | 24.20 | 0.22 | 388,353 | 2.43 | * | 2.43 | * | 1.79 | * | 1.79 | * | 8.93 | * | 14 | ||||||||||||||||||||||||||||||||||
N/A | N/A | 28.38 | 27.26 | 4.39 | 424,632 | 2.01 | 2.01 | 1.65 | 1.65 | 9.44 | 175 | |||||||||||||||||||||||||||||||||||||||
N/A | N/A | 28.67 | 28.90 | 6.81 | 426,561 | 1.93 | 1.93 | 1.66 | 1.66 | 10.03 | 65 | |||||||||||||||||||||||||||||||||||||||
$ | N/A | $ | N/A | $ | 7.32 | $ | 9.68 | 4.59 | % | $ | 314,540 | 1.85 | % | 1.85 | % | 0.97 | % | 0.97 | % | 10.12 | % | 5 | % | |||||||||||||||||||||||||||
N/A | N/A | 7.75 | 10.19 | 17.12 | 329,673 | 1.52 | 1.52 | 0.97 | 0.97 | 8.94 | 8 | |||||||||||||||||||||||||||||||||||||||
N/A | N/A | 7.89 | 9.61 | 24.14 | 332,051 | 1.27 | 1.27 | 0.96 | 0.96 | 9.43 | 39 | |||||||||||||||||||||||||||||||||||||||
N/A | N/A | 8.58 | 8.69 | (5.81 | ) | 357,692 | 1.16 | * | 1.16 | * | 0.96 | * | 0.96 | * | 8.58 | * | 17 | |||||||||||||||||||||||||||||||||
N/A | N/A | 8.57 | 9.65 | 5.92 | 355,942 | 1.18 | 1.18 | 0.98 | 0.98 | 10.01 | 90 | |||||||||||||||||||||||||||||||||||||||
N/A | N/A | 9.24 | 10.12 | (4.58 | ) | 379,762 | 1.39 | 1.39 | 1.00 | 1.00 | 10.48 | 208 | ||||||||||||||||||||||||||||||||||||||
$ | N/A | $ | N/A | $ | 23.74 | $ | 23.57 | 15.03 | % | $ | 3,257,195 | 4.20 | % | 4.20 | % | 2.10 | % | 2.10 | % | 8.30 | % | 22 | % | |||||||||||||||||||||||||||
N/A | N/A | 22.91 | 22.32 | 32.10 | 3,144,154 | 3.80 | 3.80 | 2.09 | 2.09 | 7.41 | 32 | |||||||||||||||||||||||||||||||||||||||
N/A | N/A | 20.43 | 19.13 | 6.69 | 2,804,003 | 3.20 | 3.20 | 2.03 | 2.03 | 9.63 | 26 | |||||||||||||||||||||||||||||||||||||||
N/A | N/A | 23.00 | 20.18 | 2.23 | 3,155,689 | 2.63 | * | 2.63 | * | 1.97 | * | 1.97 | * | 6.71 | * | 31 | ||||||||||||||||||||||||||||||||||
N/A | (0.00 | ) | 22.83 | 20.65 | 2.68 | 3,132,146 | 2.36 | 2.36 | 1.91 | 1.91 | 7.29 | 35 | ||||||||||||||||||||||||||||||||||||||
N/A | (0.01 | ) | 24.04 | 22.48 | (2.79 | ) | 3,298,673 | 1.52 | * | 1.52 | * | 1.42 | * | 1.42 | * | 6.06 | * | 76 | ||||||||||||||||||||||||||||||||
$ | 0.18 | $ | (0.00 | ) | $ | 28.98 | $ | 31.87 | 15.54 | % | $ | 1,575,523 | 4.07 | % | 4.07 | % | 2.01 | % | 2.01 | % | 10.26 | % | 9 | % | ||||||||||||||||||||||||||
0.08 | 0.00 | 28.32 | 30.18 | 27.07 | 1,372,674 | 4.08 | 4.08 | 2.14 | 2.14 | 9.58 | 20 | |||||||||||||||||||||||||||||||||||||||
N/A | N/A | 26.56 | 27.57 | 13.75 | 1,222,499 | 3.60 | 3.60 | 2.12 | 2.12 | 13.67 | 13 | |||||||||||||||||||||||||||||||||||||||
N/A | N/A | 31.38 | 29.21 | 2.87 | 1,426,891 | 2.83 | * | 2.83 | * | 2.01 | * | 2.01 | * | 10.23 | * | 5 | ||||||||||||||||||||||||||||||||||
N/A | N/A | 30.74 | 29.00 | 9.04 | 1,397,987 | 3.12 | 3.12 | 2.12 | 2.12 | 9.98 | 10 | |||||||||||||||||||||||||||||||||||||||
N/A | N/A | 32.11 | 30.32 | 9.62 | 1,458,961 | 3.15 | 3.15 | 2.17 | 2.17 | 11.90 | 18 |
ANNUAL REPORT | JUNE 30, 2018 | 19 |
Statements of Assets and Liabilities
June 30, 2018
(Amounts in thousands, except per share amounts) | PCM Fund, Inc. |
PIMCO Global StocksPLUS® & Income Fund |
PIMCO Income Opportunity Fund |
PIMCO Strategic Income Fund, Inc. |
||||||||||||
Assets: |
||||||||||||||||
Investments, at value |
||||||||||||||||
Investments in securities* |
$ | 181,173 | $ | 171,105 | $ | 540,360 | $ | 1,205,767 | ||||||||
Financial Derivative Instruments |
||||||||||||||||
Exchange-traded or centrally cleared |
25 | 513 | 168 | 318 | ||||||||||||
Over the counter |
0 | 2,260 | 646 | 615 | ||||||||||||
Cash |
1 | 0 | 48 | 1,550 | ||||||||||||
Deposits with counterparty |
1,772 | 4,391 | 10,368 | 12,711 | ||||||||||||
Foreign currency, at value |
0 | 411 | 1,731 | 678 | ||||||||||||
Receivable for investments sold |
2,905 | 679 | 11,151 | 1,341 | ||||||||||||
Receivable for mortgage dollar rolls |
0 | 0 | 0 | 552,805 | ||||||||||||
Receivable for TBA investments sold |
0 | 8,495 | 0 | 0 | ||||||||||||
Interest and/or dividends receivable |
860 | 1,578 | 4,640 | 3,274 | ||||||||||||
Other assets |
11 | 1 | 85 | 2 | ||||||||||||
Total Assets |
186,747 | 189,433 | 569,197 | 1,779,061 | ||||||||||||
Liabilities: |
||||||||||||||||
Borrowings & Other Financing Transactions |
||||||||||||||||
Payable for reverse repurchase agreements |
$ | 62,464 | $ | 27,001 | $ | 172,762 | $ | 103,189 | ||||||||
Payable for sale-buyback transactions |
0 | 0 | 0 | 47,982 | ||||||||||||
Payable for mortgage dollar rolls |
0 | 0 | 0 | 552,805 | ||||||||||||
Financial Derivative Instruments |
||||||||||||||||
Exchange-traded or centrally cleared |
67 | 246 | 327 | 57 | ||||||||||||
Over the counter |
1,050 | 918 | 2,352 | 1,995 | ||||||||||||
Payable for investments purchased |
1,193 | 1,123 | 3,289 | 2,629 | ||||||||||||
Payable for TBA investments purchased |
0 | 41,183 | 0 | 747,867 | ||||||||||||
Payable for unfunded loan commitments |
2,260 | 2,676 | 6,252 | 198 | ||||||||||||
Deposits from counterparty |
133 | 1,462 | 1,446 | 4,101 | ||||||||||||
Distributions payable to common shareholders |
926 | 1,315 | 2,877 | 3,095 | ||||||||||||
Overdraft due to custodian |
0 | 168 | 0 | 0 | ||||||||||||
Accrued management fees |
139 | 135 | 504 | 255 | ||||||||||||
Other liabilities |
3 | 2 | 10 | 348 | ||||||||||||
Total Liabilities |
68,235 | 76,229 | 189,819 | 1,464,521 | ||||||||||||
Net Assets |
$ | 118,512 | $ | 113,204 | $ | 379,378 | $ | 314,540 | ||||||||
Net Asset Consist of: |
||||||||||||||||
Shares: |
||||||||||||||||
Par value ($0.001 per share), ($0.00001 per share), ($0.00001 per share), ($0.00001 per share) |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||||||
Paid in capital in excess of par |
110,813 | 135,810 | 346,449 | 357,111 | ||||||||||||
Undistributed (overdistributed) net investment income |
1,275 | (1,570 | ) | (1,068 | ) | (3,145 | ) | |||||||||
Accumulated undistributed net realized gain (loss) |
(897 | ) | (23,572 | ) | (5,343 | ) | (28,045 | ) | ||||||||
Net unrealized appreciation (depreciation) |
7,321 | 2,536 | 39,340 | (11,381 | ) | |||||||||||
Net Assets Applicable to Common Shareholders |
$ | 118,512 | $ | 113,204 | $ | 379,378 | $ | 314,540 | ||||||||
Common Shares Outstanding |
11,580 | 10,779 | 15,140 | 42,986 | ||||||||||||
Net Asset Value Per Common Share |
$ | 10.23 | $ | 10.50 | $ | 25.06 | $ | 7.32 | ||||||||
Cost of investments in securities |
$ | 170,932 | $ | 167,223 | $ | 502,160 | $ | 1,225,058 | ||||||||
Cost of foreign currency held |
$ | 0 | $ | 418 | $ | 1,749 | $ | 704 | ||||||||
Cost or premiums of financial derivative instruments, net |
$ | (29 | ) | $ | 9,625 | $ | (8,332 | ) | $ | 8,407 | ||||||
* Includes repurchase agreements of: |
$ | 6,388 | $ | 10,183 | $ | 6,163 | $ | 1,992 |
| A zero balance may reflect actual amounts rounding to less than one thousand. |
20 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
Consolidated Statements of Assets and Liabilities
June 30, 2018
(Amounts in thousands, except per share amounts) | PIMCO Dynamic Credit and Mortgage Income Fund |
PIMCO Dynamic Income Fund |
||||||
Assets: |
||||||||
Investments, at value |
||||||||
Investments in securities* |
$ | 5,649,102 | $ | 2,608,673 | ||||
Investments in Affiliates |
10,856 | 0 | ||||||
Financial Derivative Instruments |
||||||||
Exchange-traded or centrally cleared |
1,464 | 408 | ||||||
Over the counter |
14,782 | 3,982 | ||||||
Cash |
797 | 0 | ||||||
Deposits with counterparty |
119,446 | 25,606 | ||||||
Foreign currency, at value |
8,423 | 2,997 | ||||||
Receivable for investments sold |
104,809 | 6,263 | ||||||
Receivable for Fund shares sold |
0 | 683 | ||||||
Interest and/or dividends receivable |
38,160 | 15,318 | ||||||
Other assets |
8 | 186 | ||||||
Total Assets |
5,947,847 | 2,664,116 | ||||||
Liabilities: |
||||||||
Borrowings & Other Financing Transactions |
||||||||
Payable for reverse repurchase agreements |
$ | 2,489,155 | $ | 995,864 | ||||
Financial Derivative Instruments |
||||||||
Exchange-traded or centrally cleared |
2,373 | 604 | ||||||
Over the counter |
24,966 | 13,729 | ||||||
Payable for investments purchased |
92,627 | 27,641 | ||||||
Payable for unfunded loan commitments |
34,835 | 32,252 | ||||||
Deposits from counterparty |
18,421 | 4,050 | ||||||
Distributions payable to common shareholders |
22,513 | 11,892 | ||||||
Overdraft due to custodian |
0 | 9 | ||||||
Accrued management fees |
5,707 | 2,523 | ||||||
Other liabilities |
55 | 29 | ||||||
Total Liabilities |
2,690,652 | 1,088,593 | ||||||
Net Assets |
$ | 3,257,195 | $ | 1,575,523 | ||||
Net Asset Consist of: |
||||||||
Shares: |
||||||||
Par value ($0.00001 per share) |
$ | 1 | $ | 1 | ||||
Paid in capital in excess of par |
3,274,390 | 1,350,728 | ||||||
Undistributed (overdistributed) net investment income |
11,191 | 18,239 | ||||||
Accumulated undistributed net realized gain (loss) |
(174,421 | ) | (27,685 | ) | ||||
Net unrealized appreciation (depreciation) |
146,034 | 234,240 | ||||||
Net Assets Applicable to Common Shareholders |
$ | 3,257,195 | $ | 1,575,523 | ||||
Common Shares Outstanding |
137,221 | 54,361 | ||||||
Net Asset Value Per Common Share |
$ | 23.74 | $ | 28.98 | ||||
Cost of investments in securities |
$ | 5,430,022 | $ | 2,367,356 | ||||
Cost of Investments in Affiliates |
$ | 7,639 | $ | 0 | ||||
Cost of foreign currency held |
$ | 8,565 | $ | 3,109 | ||||
Cost or premiums of financial derivative instruments, net |
$ | (2,621 | ) | $ | (46,412 | ) | ||
* Includes repurchase agreements of: |
$ | 97,864 | $ | 97,512 |
| A zero balance may reflect actual amounts rounding to less than one thousand. |
ANNUAL REPORT | JUNE 30, 2018 | 21 |
Year Ended June 30, 2018 | ||||||||||||||||
(Amounts in thousands) | PCM Fund, Inc. |
PIMCO Global StocksPLUS® & Income Fund |
PIMCO Income Opportunity Fund |
PIMCO Strategic Income Fund, Inc. |
||||||||||||
Investment Income: |
||||||||||||||||
Interest |
$ | 13,753 | $ | 14,395 | $ | 43,196 | $ | 38,843 | ||||||||
Dividends |
45 | 152 | 1,111 | 23 | ||||||||||||
Total Income |
13,798 | 14,547 | 44,307 | 38,866 | ||||||||||||
Expenses: |
||||||||||||||||
Management fees |
1,689 | 1,742 | 6,211 | 3,102 | ||||||||||||
Trustee fees and related expenses |
14 | 14 | 46 | 42 | ||||||||||||
Interest expense |
1,936 | 1,055 | 5,174 | 2,843 | ||||||||||||
Miscellaneous expense |
1 | 9 | 24 | 5 | ||||||||||||
Total Expenses |
3,640 | 2,820 | 11,455 | 5,992 | ||||||||||||
Net Investment Income (Loss) |
10,158 | 11,727 | 32,852 | 32,874 | ||||||||||||
Net Realized Gain (Loss): |
||||||||||||||||
Investments in securities |
806 | (50 | ) | 4,737 | 1,644 | |||||||||||
Exchange-traded or centrally cleared financial derivative instruments |
2,823 | 3,269 | 687 | 12,230 | ||||||||||||
Over the counter financial derivative instruments |
293 | 1,877 | 871 | 1,065 | ||||||||||||
Short sales |
(1 | ) | (1 | ) | (1 | ) | (2 | ) | ||||||||
Foreign currency |
0 | 85 | 116 | (104 | ) | |||||||||||
Net Realized Gain (Loss) |
3,921 | 5,180 | 6,410 | 14,833 | ||||||||||||
Net Change in Unrealized Appreciation (Depreciation): |
||||||||||||||||
Investments in securities |
1,277 | (6,226 | ) | (5,003 | ) | (29,921 | ) | |||||||||
Exchange-traded or centrally cleared financial derivative instruments |
(3,634 | ) | (3,836 | ) | (4,364 | ) | (804 | ) | ||||||||
Over the counter financial derivative instruments |
546 | 2,578 | 2,062 | 851 | ||||||||||||
Foreign currency assets and liabilities |
3 | 296 | 714 | (61 | ) | |||||||||||
Net Change in Unrealized Appreciation (Depreciation) |
(1,808 | ) | (7,188 | ) | (6,591 | ) | (29,935 | ) | ||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations |
$ | 12,271 | $ | 9,719 | $ | 32,671 | $ | 17,772 |
| A zero balance may reflect actual amounts rounding to less than one thousand. |
22 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
Consolidated Statements of Operations
Year Ended June 30, 2018 | ||||||||
(Amounts in thousands) | PIMCO Dynamic Credit and Mortgage Income Fund |
PIMCO Dynamic Income Fund |
||||||
Investment Income: |
||||||||
Interest |
$ | 401,067 | $ | 208,675 | ||||
Dividends |
2,736 | 610 | ||||||
Total Income |
403,803 | 209,285 | ||||||
Expenses: |
||||||||
Management fees |
67,185 | 29,060 | ||||||
Trustee fees and related expenses |
420 | 172 | ||||||
Interest expense |
67,907 | 30,150 | ||||||
Miscellaneous expense |
238 | 78 | ||||||
Total Expenses |
135,750 | 59,460 | ||||||
Net Investment Income (Loss) |
268,053 | 149,825 | ||||||
Net Realized Gain (Loss): |
||||||||
Investments in securities |
44,337 | (733 | ) | |||||
Exchange-traded or centrally cleared financial derivative instruments |
(36,458 | ) | (1,001 | ) | ||||
Over the counter financial derivative instruments |
2,240 | 1,534 | ||||||
Short sales |
(55 | ) | (7 | ) | ||||
Foreign currency |
4,219 | 501 | ||||||
Net Realized Gain (Loss) |
14,283 | 294 | ||||||
Net Change in Unrealized Appreciation (Depreciation): |
||||||||
Investments in securities |
82,311 | 4,864 | ||||||
Investments in Affiliates |
3,216 | 0 | ||||||
Exchange-traded or centrally cleared financial derivative instruments |
(8,012 | ) | (6,189 | ) | ||||
Over the counter financial derivative instruments |
11,665 | 6,393 | ||||||
Foreign currency assets and liabilities |
11,680 | 1,981 | ||||||
Net Change in Unrealized Appreciation (Depreciation) |
100,860 | 7,049 | ||||||
Net Increase (Decrease) in Net Assets Resulting from Operations |
$ | 383,196 | $ | 157,168 |
| A zero balance may reflect actual amounts rounding to less than one thousand. |
ANNUAL REPORT | JUNE 30, 2018 | 23 |
Statements of Changes in Net Assets
PCM Fund, Inc. | PIMCO Global StocksPLUS® & Income Fund |
|||||||||||||||
(Amounts in thousands) | Year Ended June 30, 2018 |
Year Ended June 30, 2017 |
Year Ended June 30, 2018 |
Year Ended June 30, 2017 |
||||||||||||
Increase (Decrease) in Net Assets from: |
||||||||||||||||
Operations: |
||||||||||||||||
Net investment income (loss) |
$ | 10,158 | $ | 11,304 | $ | 11,727 | $ | 12,253 | ||||||||
Net realized gain (loss) |
3,921 | (289 | ) | 5,180 | 22,795 | |||||||||||
Net change in unrealized appreciation (depreciation) |
(1,808 | ) | 10,943 | (7,188 | ) | (577 | ) | |||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations |
12,271 | 21,958 | 9,719 | 34,471 | ||||||||||||
Distributions to Common Shareholders: |
||||||||||||||||
From net investment income |
(11,341 | ) | (16,862 | ) | (15,394 | ) | (17,812 | ) | ||||||||
Tax basis return of capital |
0 | 0 | (1,915 | ) | (2,117 | ) | ||||||||||
Total Distributions to Common Shareholders(a) |
(11,341 | ) | (16,862 | ) | (17,309 | ) | (19,929 | ) | ||||||||
Common Share Transactions**: |
||||||||||||||||
Issued as reinvestment of distributions |
180 | 207 | 1,256 | 1,369 | ||||||||||||
Total increase (decrease) in Net Assets |
1,110 | 5,303 | (6,334 | ) | 15,911 | |||||||||||
Net Assets Applicable to Common Shareholders: |
||||||||||||||||
Beginning of year |
117,402 | 112,099 | 119,538 | 103,627 | ||||||||||||
End of year* |
$ | 118,512 | $ | 117,402 | $ | 113,204 | $ | 119,538 | ||||||||
* Including undistributed (overdistributed) net investment income of: |
$ | 1,275 | $ | 1,113 | $ | (1,570 | ) | $ | (2,155 | ) | ||||||
** Common Share Transactions: |
||||||||||||||||
Shares issued as reinvestment of distributions |
17 | 21 | 85 | 80 |
| A zero balance may reflect actual amounts rounding to less than one thousand. |
(a) | The tax characterization of distributions is determined in accordance with Federal income tax regulations. See Note 2, DistributionsCommon Shares, in the Notes to Financial Statements for more information. |
24 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
PIMCO Income Opportunity Fund |
PIMCO Strategic Income Fund, Inc. |
|||||||||||||
Year Ended June 30, 2018 |
Year Ended June 30, 2017 |
Year Ended June 30, 2018 |
Year Ended June 30, 2017 |
|||||||||||
$ | 32,852 | $ | 34,274 | $ | 32,874 | $ | 29,460 | |||||||
6,410 | 4,439 | 14,833 | 2,890 | |||||||||||
(6,591 | ) | 39,403 | (29,935 | ) | 378 | |||||||||
32,671 | 78,116 | 17,772 | 32,728 | |||||||||||
(34,421 | ) | (38,429 | ) | (36,951 | ) | (33,902 | ) | |||||||
0 | (899 | ) | 0 | (5,051 | ) | |||||||||
(34,421 | ) | (39,328 | ) | (36,951 | ) | (38,953 | ) | |||||||
2,422 | 1,626 | 4,046 | 3,847 | |||||||||||
672 | 40,414 | (15,133 | ) | (2,378 | ) | |||||||||
378,706 | 338,292 | 329,673 | 332,051 | |||||||||||
$ | 379,378 | $ | 378,706 | $ | 314,540 | $ | 329,673 | |||||||
$ | (1,068 | ) | $ | (2,777 | ) | $ | (3,145 | ) | $ | (3,133 | ) | |||
95 | 68 | 451 | 419 |
ANNUAL REPORT | JUNE 30, 2018 | 25 |
Consolidated Statements of Changes in Net Assets
PIMCO Dynamic Credit and Mortgage Income Fund |
PIMCO Dynamic Income Fund |
|||||||||||||||
(Amounts in thousands) | Year Ended June 30, 2018 |
Year Ended June 30, 2017 |
Year Ended June 30, 2018 |
Year Ended June 30, 2017 |
||||||||||||
Increase (Decrease) in Net Assets from: |
||||||||||||||||
Operations: |
||||||||||||||||
Net investment income (loss) |
$ | 268,053 | $ | 221,765 | $ | 149,825 | $ | 121,122 | ||||||||
Net realized gain (loss) |
14,283 | 153,108 | 294 | 31,672 | ||||||||||||
Net change in unrealized appreciation (depreciation) |
100,860 | 321,883 | 7,049 | 118,299 | ||||||||||||
Net Increase (Decrease) in Net Assets Applicable to Common Shareholders Resulting from Operations |
383,196 | 696,756 | 157,168 | 271,093 | ||||||||||||
Distributions to Common Shareholders: |
||||||||||||||||
From net investment income |
(270,155 | ) | (356,605 | ) | (134,192 | ) | (190,382 | ) | ||||||||
Tax basis return of capital |
0 | 0 | 0 | 0 | ||||||||||||
Total Distributions to Common Shareholders(a) |
(270,155 | ) | (356,605 | ) | (134,192 | ) | (190,382 | ) | ||||||||
Common Share Transactions**: |
||||||||||||||||
Net proceeds from at-the-market offering |
0 | 0 | 166,334 | 51,315 | ||||||||||||
At-the-market offering costs |
0 | 0 | (104 | ) | 96 | |||||||||||
Issued as reinvestment of distributions |
0 | 0 | 13,643 | 18,053 | ||||||||||||
Net increase (decrease) resulting from common share transactions |
0 | 0 | 179,873 | 69,464 | ||||||||||||
Total increase (decrease) in net assets applicable to common shareholders |
113,041 | 340,151 | 202,849 | 150,175 | ||||||||||||
Net Assets Applicable to Common Shareholders: |
||||||||||||||||
Beginning of year |
3,144,154 | 2,804,003 | 1,372,674 | 1,222,499 | ||||||||||||
End of year* |
$ | 3,257,195 | $ | 3,144,154 | $ | 1,575,523 | $ | 1,372,674 | ||||||||
* Including undistributed (overdistributed) net investment income of: |
$ | 11,191 | $ | (10,953 | ) | $ | 18,239 | $ | (5,329 | ) | ||||||
** Common Share Transactions: |
||||||||||||||||
Shares sold |
0 | 0 | 5,434 | 1,768 | ||||||||||||
Shares issued as reinvestment of distributions |
0 | 0 | 467 | 667 | ||||||||||||
Net increase (decrease) in common shares outstanding |
0 | 0 | 5,901 | 2,435 |
| A zero balance may reflect actual amounts rounding to less than one thousand. |
(a) | The tax characterization of distributions is determined in accordance with Federal income tax regulations. See Note 2, DistributionsCommon Shares, in the Notes to Financial Statements for more information. |
26 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
Year Ended June 30, 2018 | ||||||||||||||||
(Amounts in thousands) | PCM Fund, Inc. | PIMCO Global StocksPLUS® & Income Fund |
PIMCO Income Opportunity Fund |
PIMCO Strategic Income Fund, Inc. |
||||||||||||
Cash Flows Provided by (Used for) Operating Activities: |
||||||||||||||||
Net increase (decrease) in net assets resulting from operations |
$ | 12,271 | $ | 9,719 | $ | 32,671 | $ | 17,772 | ||||||||
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 |
(29,548 | ) | (132,047 | ) | (139,394 | ) | (444,486 | ) | ||||||||
Proceeds from sales of long-term securities |
36,339 | 103,600 | 156,090 | 118,543 | ||||||||||||
(Purchases) Proceeds from sales of short-term portfolio investments, net |
(1,802 | ) | 5,228 | 26,386 | 9,726 | |||||||||||
(Increase) decrease in deposits with counterparty |
(364 | ) | 18,816 | (3,028 | ) | (12,132 | ) | |||||||||
(Increase) decrease in receivable for investments sold |
5,464 | (6,240 | ) | 6,976 | (242 | ) | ||||||||||
(Increase) decrease in interest and/or dividends receivable |
(25 | ) | (156 | ) | (1,096 | ) | (285 | ) | ||||||||
Proceeds from (Payments on) exchange-traded or centrally cleared financial derivative instruments |
(826 | ) | (1,092 | ) | (3,609 | ) | 11,776 | |||||||||
Proceeds from (Payments on) over the counter financial derivative instruments |
78 | 1,753 | 246 | 1,050 | ||||||||||||
(Increase) decrease in other assets |
(10 | ) | 0 | (84 | ) | 0 | ||||||||||
Increase (decrease) in payable for investments purchased |
799 | 40,288 | (6,239 | ) | 284,899 | |||||||||||
Increase (decrease) in payable for unfunded loan commitments |
2,260 | 2,676 | 6,252 | 198 | ||||||||||||
Increase (decrease) in deposits from counterparty |
133 | 1,202 | 1,305 | 3,799 | ||||||||||||
Increase (decrease) in accrued management fees |
(5 | ) | (38 | ) | (36 | ) | (22 | ) | ||||||||
Proceeds from (Payments on) short sales transactions, net |
(1 | ) | (1 | ) | (1 | ) | (2 | ) | ||||||||
Proceeds from (Payments on) foreign currency transactions |
3 | 78 | (8 | ) | (165 | ) | ||||||||||
Increase (decrease) in other liabilities |
(27 | ) | (12 | ) | (23 | ) | 82 | |||||||||
Net Realized (Gain) Loss |
||||||||||||||||
Investments in securities |
(806 | ) | 50 | (4,737 | ) | (1,644 | ) | |||||||||
Exchange-traded or centrally cleared financial derivative instruments |
(2,823 | ) | (3,269 | ) | (687 | ) | (12,230 | ) | ||||||||
Over the counter financial derivative instruments |
(293 | ) | (1,877 | ) | (871 | ) | (1,065 | ) | ||||||||
Short sales |
1 | 1 | 1 | 2 | ||||||||||||
Foreign currency |
0 | (85 | ) | (116 | ) | 104 | ||||||||||
Net Change in Unrealized (Appreciation) Depreciation |
||||||||||||||||
Investments in securities |
(1,277 | ) | 6,226 | 5,003 | 29,921 | |||||||||||
Exchange-traded or centrally cleared financial derivative instruments |
3,634 | 3,836 | 4,364 | 804 | ||||||||||||
Over the counter financial derivative instruments |
(546 | ) | (2,578 | ) | (2,062 | ) | (851 | ) | ||||||||
Foreign currency assets and liabilities |
(3 | ) | (296 | ) | (714 | ) | 61 | |||||||||
Non Cash Payment in Kind |
(30 | ) | (72 | ) | (189 | ) | (7 | ) | ||||||||
Net amortization (accretion) on investments |
(544 | ) | (248 | ) | (4,279 | ) | (130 | ) | ||||||||
Net Cash Provided by (Used for) Operating Activities |
22,052 | 45,462 | 72,121 | 5,476 | ||||||||||||
Cash Flows Received from (Used for) Financing Activities: |
||||||||||||||||
Increase (decrease) in overdraft due to custodian |
(2 | ) | 25 | (354 | ) | (17 | ) | |||||||||
Cash distributions paid* |
(11,160 | ) | (16,307 | ) | (31,981 | ) | (32,873 | ) | ||||||||
Proceeds from reverse repurchase agreements |
180,409 | 155,783 | 818,441 | 567,851 | ||||||||||||
Payments on reverse repurchase agreements |
(191,299 | ) | (184,555 | ) | (856,964 | ) | (549,021 | ) | ||||||||
Proceeds from sale-buyback transactions |
0 | 0 | 0 | 2,643,036 | ||||||||||||
Payments on sale-buyback transactions |
0 | 0 | 0 | (2,632,224 | ) | |||||||||||
Proceeds from mortgage dollar rolls |
0 | 0 | 0 | 8,939,627 | ||||||||||||
Payments on mortgage dollar rolls |
0 | 0 | 0 | (8,939,627 | ) | |||||||||||
Net Cash Received from (Used for) Financing Activities |
(22,052 | ) | (45,054 | ) | (70,858 | ) | (3,248 | ) | ||||||||
Net Increase (Decrease) in Cash and Foreign Currency |
0 | 408 | 1,263 | 2,228 | ||||||||||||
Cash and Foreign Currency: |
||||||||||||||||
Beginning of year |
1 | 3 | 516 | 0 | ||||||||||||
End of year |
$ | 1 | $ | 411 | $ | 1,779 | $ | 2,228 | ||||||||
* Reinvestment of distributions |
$ | 180 | $ | 1,256 | $ | 2,422 | $ | 4,046 | ||||||||
Supplemental Disclosure of Cash Flow Information: |
||||||||||||||||
Interest expense paid during the year |
$ | 1,931 | $ | 1,133 | $ | 5,232 | $ | 2,775 |
| 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 year, based on the average total borrowing outstanding in relation to total assets or when substantially all of a Funds investments are not classified as Level 1 or 2 in the fair value hierarchy.
ANNUAL REPORT | JUNE 30, 2018 | 27 |
Consolidated Statements of Cash Flows
Year Ended June 30, 2018 | ||||||||
(Amounts in thousands) | PIMCO Dynamic Credit and Mortgage Income Fund |
PIMCO Dynamic Income Fund |
||||||
Cash Flows Provided by (Used for) Operating Activities: |
||||||||
Net increase (decrease) in net assets resulting from operations |
$ | 383,196 | $ | 157,168 | ||||
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 |
(1,677,028 | ) | (536,363 | ) | ||||
Proceeds from sales of long-term securities |
1,625,731 | 455,861 | ||||||
(Purchases) Proceeds from sales of short-term portfolio investments, net |
37,587 | 15,712 | ||||||
(Increase) decrease in deposits with counterparty |
(11,737 | ) | (5,686 | ) | ||||
(Increase) decrease in receivable for investments sold |
210,167 | 44,886 | ||||||
(Increase) decrease in interest and/or dividends receivable |
(12,557 | ) | (3,026 | ) | ||||
Proceeds from (Payments on) exchange-traded or centrally cleared financial derivative instruments |
(45,122 | ) | (7,379 | ) | ||||
Proceeds from (Payments on) over the counter financial derivative instruments |
944 | (114 | ) | |||||
(Increase) decrease in other assets |
0 | 64 | ||||||
Increase (decrease) in payable for investments purchased |
(37,947 | ) | (25,555 | ) | ||||
Increase (decrease) in payable for unfunded loan commitments |
34,835 | 32,252 | ||||||
Increase (decrease) in deposits from counterparty |
7,949 | (2,794 | ) | |||||
Increase (decrease) in accrued management fees |
22 | 37 | ||||||
Proceeds from (Payments on) short sales transactions, net |
(55 | ) | (7 | ) | ||||
Proceeds from (Payments on) foreign currency transactions |
3,376 | 187 | ||||||
Increase (decrease) in other liabilities |
(158 | ) | (386 | ) | ||||
Net Realized (Gain) Loss |
||||||||
Investments in securities |
(44,337 | ) | 733 | |||||
Exchange-traded or centrally cleared financial derivative instruments |
36,458 | 1,001 | ||||||
Over the counter financial derivative instruments |
(2,240 | ) | (1,534 | ) | ||||
Short sales |
55 | 7 | ||||||
Foreign currency |
(4,219 | ) | (501 | ) | ||||
Net Change in Unrealized (Appreciation) Depreciation |
||||||||
Investments in securities |
(82,311 | ) | (4,864 | ) | ||||
Investments in Affiliates |
(3,216 | ) | 0 | |||||
Exchange-traded or centrally cleared financial derivative instruments |
8,012 | 6,189 | ||||||
Over the counter financial derivative instruments |
(11,665 | ) | (6,393 | ) | ||||
Foreign currency assets and liabilities |
(11,680 | ) | (1,981 | ) | ||||
Non Cash Payment in Kind |
(1,623 | ) | (24 | ) | ||||
Net amortization (accretion) on investments |
(47,487 | ) | (19,326 | ) | ||||
Net Cash Provided by (Used for) Operating Activities |
354,950 | 98,164 | ||||||
Cash Flows Received from (Used for) Financing Activities: |
||||||||
Net proceeds from at-the-market offering |
0 | 166,492 | ||||||
Net at-the-market offering costs |
0 | (104 | ) | |||||
Increase (decrease) in overdraft due to custodian |
(9,365 | ) | (4,350 | ) | ||||
Cash distributions paid* |
(270,155 | ) | (119,274 | ) | ||||
Proceeds from reverse repurchase agreements |
9,903,575 | 3,189,373 | ||||||
Payments on reverse repurchase agreements |
(9,982,379 | ) | (3,328,615 | ) | ||||
Net Cash Received from (Used for) Financing Activities |
(358,324 | ) | (96,478 | ) | ||||
Net Increase (Decrease) in Cash and Foreign Currency |
(3,374 | ) | 1,686 | |||||
Cash and Foreign Currency: |
||||||||
Beginning of year |
12,594 | 1,311 | ||||||
End of year |
$ | 9,220 | $ | 2,997 | ||||
* Reinvestment of distributions |
$ | 0 | $ | 13,643 | ||||
Supplemental Disclosure of Cash Flow Information: |
||||||||
Interest expense paid during the year |
$ | 68,596 | $ | 32,437 |
| 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 year, based on the average total borrowing outstanding in relation to total assets or when substantially all of a Funds investments are not classified as Level 1 or 2 in the fair value hierarchy.
28 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
Schedule of Investments PCM Fund, Inc.
June 30, 2018
(Amounts in thousands*, except number of shares, contracts and units, if any)
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2018 | 29 |
Schedule of Investments PCM Fund, Inc. (Cont.)
30 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
June 30, 2018
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). |
∎ | All or a portion of this amount represent 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. |
× | Coupon represents a rate which changes periodically based on a predetermined schedule. Rate shown is the rate in effect as of period end. |
(a) | Interest only security. |
(b) | Principal only security. |
(c) | When-issued security. |
(d) | Security is not accruing income as of the date of this report. |
(e) | Security did not produce income within the last twelve months. |
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2018 | 31 |
Schedule of Investments PCM Fund, Inc. (Cont.)
(f) | Coupon represents a weighted average yield to maturity. |
(g) | Zero coupon security. |
(h) | Perpetual maturity; date shown, if applicable, represents next contractual call date. |
(i) RESTRICTED SECURITIES:
Issuer Description | Acquisition Date |
Cost | Market Value |
Market Value as Percentage of Net Assets |
||||||||||||
Forbes Energy Services Ltd. |
07/29/2014 | $ | 1,769 | $ | 322 | 0.27 | % | |||||||||
VICI Properties, Inc. |
04/30/2014 - 11/06/2017 | 1,538 | 2,167 | 1.83 | ||||||||||||
|
|
|
|
|
|
|||||||||||
$ | 3,307 | $ | 2,489 | 2.10 | % | |||||||||||
|
|
|
|
|
|
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(j) REPURCHASE AGREEMENTS:
Counterparty | Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By | Collateral (Received) |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received(1) |
||||||||||||||||||||||
FICC | 1.500 | % | 06/29/2018 | 07/02/2018 | $ | 688 | U.S. Treasury Notes 2.750% due 11/15/2023 | $ | (702 | ) | $ | 688 | $ | 688 | ||||||||||||||||
SAL | 2.220 | 06/29/2018 | 07/02/2018 | 5,700 | U.S. Treasury Notes 2.000% due 10/31/2022 | (5,822 | ) | 5,700 | 5,701 | |||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
Total Repurchase Agreements |
|
$ | (6,524 | ) | $ | 6,388 | $ | 6,389 | ||||||||||||||||||||||
|
|
|
|
|
|
REVERSE REPURCHASE AGREEMENTS:
Counterparty | Borrowing Rate(2) |
Settlement Date |
Maturity Date |
Amount Borrowed(2) |
Payable for Reverse Repurchase Agreements |
|||||||||||||||
BCY |
3.072 | % | 01/17/2018 | 01/17/2019 | $ | (2,832 | ) | $ | (2,872 | ) | ||||||||||
3.300 | 05/30/2018 | 08/30/2018 | (693 | ) | (695 | ) | ||||||||||||||
3.312 | 04/03/2018 | 07/03/2018 | (4,969 | ) | (5,011 | ) | ||||||||||||||
3.362 | 04/26/2018 | 07/26/2018 | (551 | ) | (554 | ) | ||||||||||||||
GSC |
3.085 | 06/18/2018 | 07/18/2018 | (738 | ) | (739 | ) | |||||||||||||
JPS |
3.068 | 06/05/2018 | 09/04/2018 | (4,117 | ) | (4,126 | ) | |||||||||||||
MSB |
3.763 | 02/05/2018 | 02/05/2019 | (1,110 | ) | (1,115 | ) | |||||||||||||
NOM |
2.670 | 05/23/2018 | 07/23/2018 | (201 | ) | (202 | ) | |||||||||||||
RBC |
3.220 | 02/02/2018 | 08/02/2018 | (1,764 | ) | (1,788 | ) | |||||||||||||
3.240 | 02/07/2018 | 08/07/2018 | (783 | ) | (793 | ) | ||||||||||||||
3.450 | 03/12/2018 | 09/12/2018 | (6,635 | ) | (6,706 | ) | ||||||||||||||
3.520 | 05/29/2018 | 08/29/2018 | (176 | ) | (177 | ) | ||||||||||||||
3.530 | 06/20/2018 | 09/20/2018 | (667 | ) | (668 | ) | ||||||||||||||
RCY |
3.220 | 02/02/2018 | 08/02/2018 | (1,139 | ) | (1,154 | ) | |||||||||||||
RDR |
2.520 | 05/30/2018 | 08/30/2018 | (706 | ) | (708 | ) | |||||||||||||
RTA |
3.017 | 01/31/2018 | 07/31/2018 | (1,717 | ) | (1,739 | ) | |||||||||||||
3.296 | 03/08/2018 | 09/07/2018 | (2,612 | ) | (2,640 | ) | ||||||||||||||
3.460 | 04/05/2018 | 10/05/2018 | (3,954 | ) | (3,987 | ) | ||||||||||||||
3.460 | 04/06/2018 | 10/09/2018 | (4,300 | ) | (4,336 | ) | ||||||||||||||
3.513 | 05/07/2018 | 11/07/2018 | (7,269 | ) | (7,309 | ) | ||||||||||||||
3.515 | 05/08/2018 | 11/08/2018 | (2,845 | ) | (2,860 | ) | ||||||||||||||
3.519 | 05/29/2018 | 08/29/2018 | (208 | ) | (209 | ) | ||||||||||||||
3.519 | 06/18/2018 | 09/12/2018 | (190 | ) | (192 | ) | ||||||||||||||
SAL |
3.171 | 04/05/2018 | 10/05/2018 | (1,331 | ) | (1,341 | ) | |||||||||||||
SOG |
2.690 | 04/24/2018 | 07/24/2018 | (719 | ) | (723 | ) | |||||||||||||
2.790 | 06/04/2018 | 09/04/2018 | (270 | ) | (271 | ) | ||||||||||||||
3.443 | 05/15/2018 | 11/15/2018 | (438 | ) | (440 | ) | ||||||||||||||
3.588 | 01/10/2018 | 07/10/2018 | (924 | ) | (927 | ) | ||||||||||||||
UBS |
3.060 | 04/23/2018 | 07/23/2018 | (1,278 | ) | (1,286 | ) | |||||||||||||
3.310 | 05/31/2018 | 08/31/2018 | (2,084 | ) | (2,090 | ) | ||||||||||||||
3.360 | 05/07/2018 | 08/07/2018 | (1,742 | ) | (1,751 | ) | ||||||||||||||
3.370 | 05/09/2018 | 08/09/2018 | (3,040 | ) | (3,055 | ) | ||||||||||||||
|
|
|||||||||||||||||||
Total Reverse Repurchase Agreements |
|
$ | (62,464 | ) | ||||||||||||||||
|
|
32 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
June 30, 2018
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 June 30, 2018:
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(3) | ||||||||||||||||||
Global/Master Repurchase Agreement |
| |||||||||||||||||||||||
BCY |
$ | 0 | $ | (9,132 | ) | $ | 0 | $ | (9,132 | ) | $ | 13,669 | $ | 4,537 | ||||||||||
FICC |
688 | 0 | 0 | 688 | (702 | ) | (14 | ) | ||||||||||||||||
GSC |
0 | (739 | ) | 0 | (739 | ) | 963 | 224 | ||||||||||||||||
JPS |
0 | (4,126 | ) | 0 | (4,126 | ) | 4,425 | 299 | ||||||||||||||||
MSB |
0 | (1,115 | ) | 0 | (1,115 | ) | 1,592 | 477 | ||||||||||||||||
NOM |
0 | (202 | ) | 0 | (202 | ) | 224 | 22 | ||||||||||||||||
RBC |
0 | (10,132 | ) | 0 | (10,132 | ) | 14,196 | 4,064 | ||||||||||||||||
RCY |
0 | (1,154 | ) | 0 | (1,154 | ) | 0 | (1,154 | ) | |||||||||||||||
RDR |
0 | (708 | ) | 0 | (708 | ) | 732 | 24 | ||||||||||||||||
RTA |
0 | (23,272 | ) | 0 | (23,272 | ) | 31,382 | 8,110 | ||||||||||||||||
SAL |
5,701 | (1,341 | ) | 0 | 4,360 | (4,139 | ) | 221 | ||||||||||||||||
SOG |
0 | (2,361 | ) | 0 | (2,361 | ) | 3,049 | 688 | ||||||||||||||||
UBS |
0 | (8,182 | ) | 0 | (8,182 | ) | 11,087 | 2,905 | ||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 6,389 | $ | (62,464 | ) | $ | 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 | $ | (2,210 | ) | $ | (978 | ) | $ | 0 | $ | (3,188 | ) | |||||||
U.S. Government Agencies |
0 | (554 | ) | (695 | ) | 0 | (1,249 | ) | ||||||||||||
Non-Agency Mortgage-Backed Securities |
0 | (1,119 | ) | (12,363 | ) | (6,719 | ) | (20,201 | ) | |||||||||||
Asset-Backed Securities |
0 | (5,558 | ) | (14,725 | ) | (17,543 | ) | (37,826 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total Borrowings |
$ | 0 | $ | (9,441 | ) | $ | (28,761 | ) | $ | (24,262 | ) | $ | (62,464 | ) | ||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Payable for reverse repurchase agreements and sale-buyback financing transactions |
|
$ | (62,464 | ) | ||||||||||||||||
|
|
(k) | Securities with an aggregate market value of $83,002 have been pledged as collateral under the terms of the above master agreements as of June 30, 2018. |
(1) | Includes accrued interest. |
(2) | The average amount of borrowings outstanding during the period ended June 30, 2018 was $(68,248) at a weighted average interest rate of 2.800%. Average borrowings may include sale-buyback transactions and reverse repurchase agreements, if held during the period. |
(3) | 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 regarding master netting arrangements. |
(l) 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 June 30, 2018(2) |
Notional Amount(3) |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Market Value |
Variation Margin | |||||||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||||||||
Frontier Communications Corp. |
5.000 | % | Quarterly | 06/20/2020 | 8.963 | % | $ | 590 | $ | (33 | ) | $ | (6 | ) | $ | (39 | ) | $ | 0 | $ | (2 | ) | ||||||||||||||||||
Sprint Corp. |
5.000 | Quarterly | 12/20/2021 | 2.482 | 300 | 9 | 16 | 25 | 0 | 0 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
$ | (24 | ) | $ | 10 | $ | (14 | ) | $ | 0 | $ | (2 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2018 | 33 |
Schedule of Investments PCM Fund, Inc. (Cont.)
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 |
1.750 | % | Semi-Annual | 12/21/2023 | $ | 60,000 | $ | 1,131 | $ | (4,661 | ) | $ | (3,530 | ) | $ | 0 | $ | (41 | ) | ||||||||||||||||||
Pay |
3-Month USD-LIBOR |
1.750 | Semi-Annual | 12/21/2026 | 3,200 | 77 | (366 | ) | (289 | ) | 0 | (3 | ) | |||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
2.000 | Semi-Annual | 06/20/2023 | 5,500 | 154 | 76 | 230 | 3 | 0 | ||||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
2.500 | Semi-Annual | 06/20/2038 | 20,200 | 465 | 1,122 | 1,587 | 19 | 0 | ||||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
2.500 | Semi-Annual | 06/20/2048 | 1,600 | 132 | 27 | 159 | 3 | 0 | ||||||||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
2.860 | Semi-Annual | 04/26/2023 | 50,000 | (137 | ) | 95 | (42 | ) | 0 | (21 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||
$ | 1,822 | $ | (3,707 | ) | $ | (1,885 | ) | $ | 25 | $ | (65 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||
Total Swap Agreements |
|
$ | 1,798 | $ | (3,697 | ) | $ | (1,899 | ) | $ | 25 | $ | (67 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
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 June 30, 2018:
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 | $ | 25 | $ | 25 | $ | 0 | $ | 0 | $ | (67) | $ | (67) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash of $1,772 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of June 30, 2018. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information regarding master netting arrangements.
(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 entitys 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. |
(m) FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER
SWAP AGREEMENTS:
CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION(1)
Counterparty | Index/Tranches | Fixed Receive Rate |
Payment Frequency |
Maturity Date |
Notional Amount(2) |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Swap Agreements, at Value(3) |
||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||
DUB | CMBX.NA.BBB-.6 Index |
3.000 | % | Monthly | 05/11/2063 | $ 300 | $ | (16 | ) | $ | (15 | ) | $ | 0 | $ | (31 | ) | |||||||||||||||||
CMBX.NA.BBB-.8 Index |
3.000 | Monthly | 10/17/2057 | 600 | (69 | ) | (2 | ) | 0 | (71 | ) | |||||||||||||||||||||||
CMBX.NA.BBB-.9 Index |
3.000 | Monthly | 09/17/2058 | 300 | (38 | ) | 7 | 0 | (31 | ) | ||||||||||||||||||||||||
FBF | CMBX.NA.BBB-.8 Index |
3.000 | Monthly | 10/17/2057 | 100 | (16 | ) | 4 | 0 | (12 | ) | |||||||||||||||||||||||
GST | ABX.HE.AA.6-1 Index |
0.320 | Monthly | 07/25/2045 | 5,306 | (1,056 | ) | 739 | 0 | (317 | ) | |||||||||||||||||||||||
ABX.HE.PENAAA.7-1 Index |
0.090 | Monthly | 08/25/2037 | 1,274 | (247 | ) | 41 | 0 | (206 | ) | ||||||||||||||||||||||||
CMBX.NA.A.6 Index |
2.000 | Monthly | 05/11/2063 | 500 | (25 | ) | 23 | 0 | (2 | ) | ||||||||||||||||||||||||
CMBX.NA.BB.6 Index |
5.000 | Monthly | 05/11/2063 | 300 | (41 | ) | (16 | ) | 0 | (57 | ) | |||||||||||||||||||||||
CMBX.NA.BBB-.6 Index |
3.000 | Monthly | 05/11/2063 | 700 | (39 | ) | (33 | ) | 0 | (72 | ) | |||||||||||||||||||||||
CMBX.NA.BBB-.7 Index |
3.000 | Monthly | 01/17/2047 | 100 | (5 | ) | (2 | ) | 0 | (7 | ) | |||||||||||||||||||||||
CMBX.NA.BBB-.9 Index |
3.000 | Monthly | 09/17/2058 | 700 | (87 | ) | 15 | 0 | (72 | ) | ||||||||||||||||||||||||
MYC | CMBX.NA.BBB-.10 Index |
3.000 | Monthly | 11/17/2059 | 1,200 | (126 | ) | 18 | 0 | (108 | ) | |||||||||||||||||||||||
CMBX.NA.BBB-.7 Index |
3.000 | Monthly | 01/17/2047 | 300 | (13 | ) | (8 | ) | 0 | (21 | ) | |||||||||||||||||||||||
CMBX.NA.BBB-.8 Index |
3.000 | Monthly | 10/17/2057 | 100 | (12 | ) | 0 | 0 | (12 | ) | ||||||||||||||||||||||||
CMBX.NA.BBB-.9 Index |
3.000 | Monthly | 09/17/2058 | 300 | (37 | ) | 6 | 0 | (31 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
$ | (1,827 | ) | $ | 777 | $ | 0 | $ | (1,050 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Total Swap Agreements |
$ | (1,827 | ) | $ | 777 | $ | 0 | $ | (1,050 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
34 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
June 30, 2018
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 June 30, 2018:
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(4) |
|||||||||||||||||||||||||||||||||||||
DUB |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | (133 | ) | $ | (133 | ) | $ | (133 | ) | $ | 0 | $ | (133 | ) | ||||||||||||||||||||||
FBF |
0 | 0 | 0 | 0 | 0 | 0 | (12 | ) | (12 | ) | (12 | ) | 0 | (12 | ) | |||||||||||||||||||||||||||||||||
GST |
0 | 0 | 0 | 0 | 0 | 0 | (733 | ) | (733 | ) | (733 | ) | 963 | 230 | ||||||||||||||||||||||||||||||||||
MYC |
0 | 0 | 0 | 0 | 0 | 0 | (172 | ) | (172 | ) | (172 | ) | 164 | (8 | ) | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||
Total Over the Counter |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | (1,050 | ) | $ | (1,050 | ) | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(n) | Securities with an aggregate market value of $1,257 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of June 30, 2018. |
(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) | 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. |
(3) | The prices and resulting values for credit default swap agreements on credit indices serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced indices credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(4) | 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 regarding master netting arrangements. |
The following is a summary of the fair valuation of the Funds 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 June 30, 2018:
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 | $ | 0 | $ | 0 | $ | 0 | $ | 25 | $ | 25 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Financial Derivative Instruments - Liabilities |
||||||||||||||||||||||||
Exchange-traded or centrally cleared |
||||||||||||||||||||||||
Swap Agreements |
$ | 0 | $ | 2 | $ | 0 | $ | 0 | $ | 65 | $ | 67 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Over the counter |
||||||||||||||||||||||||
Swap Agreements |
$ | 0 | $ | 1,050 | $ | 0 | $ | 0 | $ | 0 | $ | 1,050 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 1,052 | $ | 0 | $ | 0 | $ | 65 | $ | 1,117 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
The effect of Financial Derivative Instruments on the Statements of Operations for the period ended June 30, 2018:
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 | $ | 42 | $ | 0 | $ | 0 | $ | 2,781 | $ | 2,823 | ||||||||||||
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|
|
|
|
|
|
|
|
|
|
|||||||||||||
Over the counter |
||||||||||||||||||||||||
Swap Agreements |
$ | 0 | $ | 377 | $ | 0 | $ | 0 | $ | (84 | ) | $ | 293 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 419 | $ | 0 | $ | 0 | $ | 2,697 | $ | 3,116 | |||||||||||||
|
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|
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|
|
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|
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|
|
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2018 | 35 |
Schedule of Investments PCM Fund, Inc. (Cont.)
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Exchange Contracts |
Interest Rate Contracts |
Total | |||||||||||||||||||
Net Change in Unrealized (Depreciation) on Financial Derivative Instruments |
|
|||||||||||||||||||||||
Exchange-traded or centrally cleared |
||||||||||||||||||||||||
Swap Agreements |
$ | 0 | $ | (19 | ) | $ | 0 | $ | 0 | $ | (3,615 | ) | $ | (3,634 | ) | |||||||||
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|
|
|
|
|
|
|
|
|
|
|||||||||||||
Over the counter |
||||||||||||||||||||||||
Swap Agreements |
$ | 0 | $ | 546 | $ | 0 | $ | 0 | $ | 0 | $ | 546 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 527 | $ | 0 | $ | 0 | $ | (3,615 | ) | $ | (3,088 | ) | |||||||||||
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FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of June 30, 2018 in valuing the Funds assets and liabilities:
There were no significant transfers among Levels 1 and 2 during the period ended June 30, 2018.
The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended June 30, 2018:
Category and Subcategory | Beginning Balance at 06/30/2017 |
Net Purchases |
Net Sales |
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 06/30/2018 |
Net Change in Unrealized Appreciation/ (Depreciation) on Investments Held at 06/30/2018(1) |
||||||||||||||||||||||||||||||
Investments in Securities, at Value |
| |||||||||||||||||||||||||||||||||||||||
Loan Participations and Assignments |
$ | 438 | $ | 31 | $ | 0 | $ | 12 | $ | 0 | $ | (13 | ) | $ | 224 | $ | (468 | ) | $ | 224 | $ | 0 | ||||||||||||||||||
Corporate Bonds & Notes |
| |||||||||||||||||||||||||||||||||||||||
Banking & Finance |
780 | 0 | 0 | 4 | 0 | 14 | 0 | 0 | 798 | 14 | ||||||||||||||||||||||||||||||
Industrials |
1,292 | 98 | (1,313 | ) | 0 | 14 | 5 | 0 | 0 | 96 | (2 | ) | ||||||||||||||||||||||||||||
Non-Agency Mortgage-Backed Securities |
767 | 0 | (86 | ) | 3 | 8 | (43 | ) | 0 | 0 | 649 | (41 | ) | |||||||||||||||||||||||||||
Asset-Backed Securities |
3,133 | 192 | 0 | 101 | 0 | (46 | ) | 0 | (1,889 | ) | 1,491 | (264 | ) | |||||||||||||||||||||||||||
Common Stocks |
| |||||||||||||||||||||||||||||||||||||||
Energy |
10 | 0 | 0 | 0 | (988 | ) | 978 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||||||||
Utilities |
0 | 314 | 0 | 0 | 0 | 0 | 0 | 0 | 314 | 0 | ||||||||||||||||||||||||||||||
Warrants |
| |||||||||||||||||||||||||||||||||||||||
Industrials |
55 | 0 | 0 | 0 | 0 | (25 | ) | 0 | 0 | 30 | (25 | ) | ||||||||||||||||||||||||||||
Preferred Securities |
| |||||||||||||||||||||||||||||||||||||||
Industrials |
2,131 | 0 | 0 | 0 | 0 | (164 | ) | 0 | 0 | 1,967 | (165 | ) | ||||||||||||||||||||||||||||
|
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|
|
|
|
|
|
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|
|
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|
|
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|
|
|
|
|
|||||||||||||||||||||
Totals |
$ | 8,606 | $ | 635 | $ | (1,399 | ) | $ | 120 | $ | (966 | ) | $ | 706 | $ | 224 | $ | (2,357 | ) | $ | 5,569 | $ | (483 | ) | ||||||||||||||||
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|
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|
|
36 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
June 30, 2018
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 06/30/2018 |
Valuation Technique |
Unobservable Inputs |
Input Value(s) (% Unless Noted Otherwise) |
||||||||
Investments in Securities, at Value |
| |||||||||||
Loan Participations and Assignments |
$ | 224 | Third Party Vendor | Broker Quote | 102.000 | |||||||
Corporate Bonds & Notes |
| |||||||||||
Banking & Finance |
798 | Reference Instrument | Spread Movement | 24.000 bps | ||||||||
Industrials |
96 | Reference Instrument | Yield | 10.153 | ||||||||
Non-Agency Mortgage-Backed Securities |
462 | Proxy Pricing | Base Price | 4.700-100.250 | ||||||||
187 | Third Party Vendor | Broker Quote | 88.470 | |||||||||
Asset-Backed Securities |
1,491 | Proxy Pricing | Base Price | 2.126-1,847.826 | ||||||||
Common Stocks |
| |||||||||||
Utilities |
314 | Indicative Market Quotation | Broker Quote | $ 35.500 | ||||||||
Warrants |
| |||||||||||
Industrials |
30 | Other Valuation Techniques(2) | | | ||||||||
Preferred Securities |
| |||||||||||
Industrials |
1,967 | Indicative Market Quotation | Broker Quote | $ 900.000 | ||||||||
|
|
|||||||||||
Total |
$ | 5,569 | ||||||||||
|
|
(1) | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at June 30, 2018 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 | ANNUAL REPORT | JUNE 30, 2018 | 37 |
Schedule of Investments PIMCO Global StocksPLUS® & Income Fund
(Amounts in thousands*, except number of shares, contracts and units, if any)
38 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
June 30, 2018
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2018 | 39 |
Schedule of Investments PIMCO Global StocksPLUS® & Income Fund (Cont.)
40 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
June 30, 2018
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). |
∎ | All or a portion of this amount represent 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. |
× | Coupon represents a rate which changes periodically based on a predetermined schedule. 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) | Contingent convertible security. |
(k) RESTRICTED SECURITIES:
Issuer Description | Acquisition Date |
Cost | Market Value |
Market Value as Percentage of Net Assets |
||||||||||||||||||
Dommo Energia S.A. |
12/21/2017 - 12/26/2017 | $ | 78 | $ | 822 | 0.73 | % | |||||||||||||||
Eneva S.A. |
12/21/2017 | 9 | 6 | 0.01 | ||||||||||||||||||
Forbes Energy Services Ltd. |
03/11/2014 - 12/03/2014 | 241 | 49 | 0.04 |
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2018 | 41 |
Schedule of Investments PIMCO Global StocksPLUS® & Income Fund (Cont.)
Issuer Description | Acquisition Date |
Cost | Market Value |
Market Value as Percentage of Net Assets |
||||||||||||||||||
Pinnacol Assurance 8.625% due 06/25/2034 |
06/23/2014 | $ 1,100 | $ | 1,142 | 1.01 | % | ||||||||||||||||
Sierra Hamilton Holder LLC |
07/31/2017 | 25 | 36 | 0.03 | ||||||||||||||||||
TIG FinCo PLC |
04/02/2015 - 07/20/2017 | 579 | 684 | 0.60 | ||||||||||||||||||
VICI Properties, Inc. |
03/03/2014 - 11/20/2017 | 1,780 | 2,508 | 2.22 | ||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||
$ 3,812 | $ | 5,247 | 4.64 | % | ||||||||||||||||||
|
|
|
|
|
|
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(l) REPURCHASE AGREEMENTS:
Counterparty | Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By | Collateral (Received) |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received(1) |
||||||||||||||||||||||
FICC | 1.500 | % | 06/29/2018 | 07/02/2018 | $ | 1,783 | U.S. Treasury Notes 2.125% due 08/15/2021 | $ | (1,822 | ) | $ | 1,783 | $ | 1,783 | ||||||||||||||||
RDR | 2.220 | 06/29/2018 | 07/02/2018 | 8,400 | U.S. Treasury Bills 0.000% due 04/25/2019 | (8,577 | ) | 8,400 | 8,402 | |||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
Total Repurchase Agreements |
|
$ | (10,399 | ) | $ | 10,183 | $ | 10,185 | ||||||||||||||||||||||
|
|
|
|
|
|
REVERSE REPURCHASE AGREEMENTS:
Counterparty | Borrowing Rate(2) |
Settlement Date |
Maturity Date |
Amount Borrowed(2) |
Payable for Reverse Repurchase Agreements |
|||||||||||||||||
BCY |
2.850 | % | 05/16/2018 | 08/16/2018 | $ | (490 | ) | $ | (492 | ) | ||||||||||||
3.312 | 04/03/2018 | 07/03/2018 | (321 | ) | (324 | ) | ||||||||||||||||
3.362 | 04/25/2018 | 07/25/2018 | (1,217 | ) | (1,225 | ) | ||||||||||||||||
3.362 | 04/26/2018 | 07/26/2018 | (544 | ) | (547 | ) | ||||||||||||||||
BPS |
0.900 | 06/29/2018 | 07/30/2018 | GBP | (1,064 | ) | (1,405 | ) | ||||||||||||||
2.950 | 06/04/2018 | 09/04/2018 | $ | (466 | ) | (467 | ) | |||||||||||||||
MSB |
3.763 | 02/05/2018 | 02/05/2019 | (1,110 | ) | (1,116 | ) | |||||||||||||||
NOM |
2.670 | 05/23/2018 | 07/23/2018 | (690 | ) | (692 | ) | |||||||||||||||
RTA |
3.017 | 01/31/2018 | 07/31/2018 | (1,322 | ) | (1,339 | ) | |||||||||||||||
3.296 | 03/08/2018 | 09/07/2018 | (1,333 | ) | (1,347 | ) | ||||||||||||||||
3.337 | 06/28/2018 | 09/24/2018 | (1,144 | ) | (1,144 | ) | ||||||||||||||||
3.519 | 06/18/2018 | 09/12/2018 | (168 | ) | (170 | ) | ||||||||||||||||
SAL |
3.280 | 05/16/2018 | 08/16/2018 | (580 | ) | (583 | ) | |||||||||||||||
SOG |
2.750 | 05/08/2018 | 08/08/2018 | (1,188 | ) | (1,193 | ) | |||||||||||||||
UBS |
0.950 | 06/18/2018 | 07/18/2018 | GBP | (2,496 | ) | (3,296 | ) | ||||||||||||||
1.601 | 04/27/2018 | 07/27/2018 | (738 | ) | (976 | ) | ||||||||||||||||
2.760 | 06/05/2018 | 09/05/2018 | $ | (668 | ) | (669 | ) | |||||||||||||||
2.780 | 06/12/2018 | 09/12/2018 | (3,528 | ) | (3,533 | ) | ||||||||||||||||
2.780 | 06/21/2018 | 09/12/2018 | (1,182 | ) | (1,183 | ) | ||||||||||||||||
2.860 | 05/31/2018 | 08/31/2018 | (1,557 | ) | (1,561 | ) | ||||||||||||||||
2.910 | 04/25/2018 | 07/25/2018 | (415 | ) | (417 | ) | ||||||||||||||||
3.321 | 04/05/2018 | 07/05/2018 | (3,295 | ) | (3,322 | ) | ||||||||||||||||
|
|
|||||||||||||||||||||
Total Reverse Repurchase Agreements |
|
$ | (27,001 | ) | ||||||||||||||||||
|
|
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 June 30, 2018:
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(3) | ||||||||||||||||||
Global/Master Repurchase Agreement |
| |||||||||||||||||||||||
BCY |
$ | 0 | $ | (2,588 | ) | $ | 0 | $ | (2,588 | ) | $ | 3,408 | $ | 820 | ||||||||||
BPS |
0 | (1,872 | ) | 0 | (1,872 | ) | 2,050 | 178 | ||||||||||||||||
FICC |
1,783 | 0 | 0 | 1,783 | (1,822 | ) | (39 | ) | ||||||||||||||||
MSB |
0 | (1,116 | ) | 0 | (1,116 | ) | 1,592 | 476 | ||||||||||||||||
NOM |
0 | (692 | ) | 0 | (692 | ) | 768 | 76 | ||||||||||||||||
RDR |
8,402 | 0 | 0 | 8,402 | (8,577 | ) | (175 | ) | ||||||||||||||||
RTA |
0 | (4,000 | ) | 0 | (4,000 | ) | 5,700 | 1,700 | ||||||||||||||||
SAL |
0 | (583 | ) | 0 | (583 | ) | 735 | 152 | ||||||||||||||||
SOG |
0 | (1,193 | ) | 0 | (1,193 | ) | 1,302 | 109 | ||||||||||||||||
UBS |
0 | (14,957 | ) | 0 | (14,957 | ) | 17,544 | 2,587 | ||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 10,185 | $ | (27,001 | ) | $ | 0 | |||||||||||||||||
|
|
|
|
|
|
42 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
June 30, 2018
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 | $ | (5,810 | ) | $ | (8,632 | ) | $ | 0 | $ | (14,442 | ) | |||||||
U.S. Government Agencies |
0 | (547 | ) | (467 | ) | 0 | (1,014 | ) | ||||||||||||
Non-Agency Mortgage-Backed Securities |
0 | (5,847 | ) | (3,452 | ) | (1,115 | ) | (10,414 | ) | |||||||||||
Asset-Backed Securities |
0 | 0 | (1,131 | ) | 0 | (1,131 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total Borrowings |
$ | 0 | $ | (12,204 | ) | $ | (13,682 | ) | $ | (1,115 | ) | $ | (27,001 | ) | ||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Payable for reverse repurchase agreements and sale-buyback financing transactions |
|
$ | (27,001 | ) | ||||||||||||||||
|
|
(m) | Securities with an aggregate market value of $33,100 have been pledged as collateral under the terms of the above master agreements as of June 30, 2018. |
(1) | Includes accrued interest. |
(2) | The average amount of borrowings outstanding during the period ended June 30, 2018 was $(37,696) at a weighted average interest rate of 2.339%. Average borrowings may include sale-buyback transactions and reverse repurchase agreements, if held during the period. |
(3) | 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 regarding master netting arrangements. |
(n) FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED
PURCHASED OPTIONS:
OPTIONS ON EXCHANGE-TRADED FUTURES CONTRACTS
Description | Strike Price |
Expiration Date |
# of Contracts |
Notional Amount |
Cost | Market Value |
||||||||||||||||||
Put - CME S&P 500 July 2018 Futures |
$ | 2,650.000 | 07/20/2018 | 80 | $ | 20 | $ | 160 | $ | 298 | ||||||||||||||
|
|
|
|
|||||||||||||||||||||
Total Purchased Options |
|
$ | 160 | $ | 298 | |||||||||||||||||||
|
|
|
|
WRITTEN OPTIONS:
OPTIONS ON EXCHANGE-TRADED FUTURES CONTRACTS
Description | Strike Price |
Expiration Date |
# of Contracts |
Notional Amount |
Premiums (Received) |
Market Value |
||||||||||||||||||
Call - CME S&P 500 July 2018 Futures |
$ | 2,790.000 | 07/20/2018 | 80 | $ | 20 | $ | (614 | ) | $ | (97 | ) | ||||||||||||
|
|
|
|
|||||||||||||||||||||
Total Written Options |
|
$ | (614 | ) | $ | (97 | ) | |||||||||||||||||
|
|
|
|
FUTURES CONTRACTS:
LONG FUTURES CONTRACTS
Description | Expiration Month |
# of Contracts |
Notional Amount |
Unrealized Appreciation/ (Depreciation) |
Variation Margin | |||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||
E-mini S&P 500 Index September Futures |
09/2018 | 420 | $ | 57,154 | $ | (1,192 | ) | $ | 44 | $ | 0 | |||||||||||||
|
|
|
|
|
|
|||||||||||||||||||
Total Futures Contracts |
|
$ | (1,192 | ) | $ | 44 | $ | 0 | ||||||||||||||||
|
|
|
|
|
|
SWAP AGREEMENTS:
CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION(1)
Reference Entity | Fixed Receive Rate |
Payment Frequency |
Maturity Date |
Implied Credit Spread at June 30, 2018(2) |
Notional Amount(3) |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Market Value |
Variation Margin | |||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||||
Frontier Communications Corp. |
5.000 | % | Quarterly | 06/20/2020 | 8.963% | $ | 1,910 | $ | (76 | ) | $ | (50 | ) | $ | (126 | ) | $ | 0 | $ | (5 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2018 | 43 |
Schedule of Investments PIMCO Global StocksPLUS® & Income Fund (Cont.)
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 |
1-Year BRL-CDI |
12.055 | % | Maturity | 01/04/2021 | BRL | 3,600 | $ | 33 | $ | 30 | $ | 63 | $ | 1 | $ | 0 | |||||||||||||||||||||||
Pay |
3-Month CAD Bank Bill |
3.300 | Semi-Annual | 06/19/2024 | CAD | 4,900 | 369 | (195 | ) | 174 | 0 | (23 | ) | |||||||||||||||||||||||||||
Receive |
3-Month CAD Bank Bill |
3.500 | Semi-Annual | 06/20/2044 | 1,600 | (285 | ) | 79 | (206 | ) | 16 | 0 | ||||||||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
2.860 | Semi-Annual | 04/26/2023 | $ | 50,000 | (137 | ) | 95 | (42 | ) | 0 | (21 | ) | ||||||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
2.750 | Semi-Annual | 06/19/2023 | 150,300 | 5,854 | (6,864 | ) | (1,010 | ) | 0 | (83 | ) | |||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
2.000 | Semi-Annual | 06/20/2023 | 21,500 | 772 | 128 | 900 | 13 | 0 | ||||||||||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
3.000 | Semi-Annual | 06/18/2024 | 19,700 | 1,187 | (1,081 | ) | 106 | 0 | (12 | ) | ||||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
2.250 | Semi-Annual | 06/20/2028 | 128,700 | 3,214 | 4,826 | 8,040 | 135 | 0 | ||||||||||||||||||||||||||||||
Receive(4) |
6-Month EUR-EURIBOR |
1.250 | Annual | 09/19/2028 | EUR | 2,200 | (31 | ) | (51 | ) | (82 | ) | 0 | (4 | ) | |||||||||||||||||||||||||
Receive(4) |
6-Month EUR-EURIBOR |
1.250 | Annual | 12/19/2028 | 300 | (5 | ) | (4 | ) | (9 | ) | 0 | (1 | ) | ||||||||||||||||||||||||||
Receive(4) |
6-Month GBP-LIBOR |
1.500 | Semi-Annual | 09/19/2028 | GBP | 4,062 | 94 | (68 | ) | 26 | 6 | 0 | ||||||||||||||||||||||||||||
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|
|
|
|
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|
|
|||||||||||||||||||||||||||||||
$ | 11,065 | $ | (3,105 | ) | $ | 7,960 | $ | 171 | $ | (144 | ) | |||||||||||||||||||||||||||||
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|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
Total Swap Agreements |
|
$ | 10,989 | $ | (3,155 | ) | $ | 7,834 | $ | 171 | $ | (149 | ) | |||||||||||||||||||||||||||
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|
|
|
|
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 June 30, 2018:
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 |
$ | 298 | $ | 44 | $ | 171 | $ | 513 | $ | (97) | $ | 0 | $ | (149) | $ | (246) | ||||||||||||||||||||
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|
|
(o) | Securities with an aggregate market value of $538 and cash of $4,391 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of June 30, 2018. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information regarding master netting arrangements. |
(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 entitys 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) | 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. |
(p) 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 | |||||||||||||||||||||||
BPS |
07/2018 | ARS | 11,670 | $ | 429 | $ | 28 | $ | 0 | |||||||||||||||
07/2018 | EUR | 5,685 | 6,594 | 0 | (45 | ) | ||||||||||||||||||
07/2018 | GBP | 409 | 546 | 6 | 0 | |||||||||||||||||||
07/2018 | $ | 221 | ARS | 6,071 | 0 | (12 | ) | |||||||||||||||||
07/2018 | 212 | PEN | 695 | 0 | (1 | ) | ||||||||||||||||||
08/2018 | CHF | 78 | $ | 79 | 0 | 0 | ||||||||||||||||||
09/2018 | PEN | 695 | 212 | 1 | 0 | |||||||||||||||||||
BRC |
09/2018 | ARS | 12,279 | 442 | 52 | 0 | ||||||||||||||||||
CBK |
07/2018 | 318 | 15 | 4 | 0 | |||||||||||||||||||
07/2018 | GBP | 5,756 | 7,626 | 30 | 0 | |||||||||||||||||||
07/2018 | $ | 11 | ARS | 318 | 0 | 0 | ||||||||||||||||||
07/2018 | 133 | EUR | 115 | 1 | 0 | |||||||||||||||||||
DUB |
07/2018 | ARS | 3,832 | $ | 137 | 5 | 0 | |||||||||||||||||
07/2018 | $ | 132 | ARS | 3,832 | 0 | 0 | ||||||||||||||||||
GLM |
07/2018 | BRL | 1,686 | $ | 437 | 2 | 0 |
44 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
June 30, 2018
Counterparty | Settlement Month |
Currency to be Delivered |
Currency to be Received |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||
07/2018 | GBP | 575 | $ | 774 | $ | 15 | $ | 0 | ||||||||||||||||
07/2018 | PEN | 695 | 212 | 0 | 0 | |||||||||||||||||||
07/2018 | $ | 28 | ARS | 744 | 0 | (3 | ) | |||||||||||||||||
07/2018 | 443 | BRL | 1,686 | 0 | (8 | ) | ||||||||||||||||||
07/2018 | 329 | EUR | 280 | 0 | (2 | ) | ||||||||||||||||||
07/2018 | 180 | GBP | 135 | 0 | (2 | ) | ||||||||||||||||||
07/2018 | 75 | RUB | 4,693 | 0 | 0 | |||||||||||||||||||
08/2018 | 83 | EUR | 71 | 0 | 0 | |||||||||||||||||||
HUS |
07/2018 | RUB | 4,693 | $ | 74 | 0 | 0 | |||||||||||||||||
08/2018 | $ | 1,074 | RUB | 67,198 | 0 | (10 | ) | |||||||||||||||||
JPM |
07/2018 | ARS | 222 | $ | 10 | 3 | 0 | |||||||||||||||||
07/2018 | BRL | 606 | 161 | 5 | 0 | |||||||||||||||||||
07/2018 | CAD | 35 | 27 | 0 | 0 | |||||||||||||||||||
07/2018 | $ | 8 | ARS | 222 | 0 | 0 | ||||||||||||||||||
07/2018 | 157 | BRL | 606 | 0 | (1 | ) | ||||||||||||||||||
07/2018 | 605 | GBP | 453 | 0 | (7 | ) | ||||||||||||||||||
08/2018 | 186 | JPY | 20,400 | 0 | (1 | ) | ||||||||||||||||||
MSB |
07/2018 | BRL | 4,000 | $ | 1,046 | 14 | 0 | |||||||||||||||||
07/2018 | $ | 1,062 | BRL | 4,000 | 0 | (30 | ) | |||||||||||||||||
08/2018 | BRL | 4,000 | $ | 1,059 | 30 | 0 | ||||||||||||||||||
SCX |
07/2018 | 4,414 | 1,209 | 70 | 0 | |||||||||||||||||||
07/2018 | $ | 1,145 | BRL | 4,414 | 0 | (6 | ) | |||||||||||||||||
08/2018 | JPY | 33,217 | $ | 306 | 5 | 0 | ||||||||||||||||||
SSB |
07/2018 | $ | 6,158 | EUR | 5,290 | 20 | 0 | |||||||||||||||||
08/2018 | EUR | 5,290 | $ | 6,172 | 0 | (19 | ) | |||||||||||||||||
UAG |
07/2018 | $ | 8,135 | GBP | 6,152 | 0 | (15 | ) | ||||||||||||||||
08/2018 | GBP | 6,152 | $ | 8,146 | 16 | 0 | ||||||||||||||||||
09/2018 | $ | 26 | RUB | 1,607 | 0 | 0 | ||||||||||||||||||
|
|
|
|
|||||||||||||||||||||
Total Forward Foreign Currency Contracts |
|
$ | 307 | $ | (162 | ) | ||||||||||||||||||
|
|
|
|
SWAP AGREEMENTS:
CREDIT DEFAULT SWAPS ON ASSET-BACKED SECURITIES - SELL PROTECTION(1)
Counterparty | Reference Obligation | Fixed Receive Rate |
Payment Frequency |
Maturity Date |
Notional Amount(2) |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Swap Agreements, at Value(3) |
||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||
BOA | Long Beach Mortgage Loan Trust |
6.250% | Monthly | 07/25/2033 | $ 128 | $ | 0 | $ | 9 | $ | 9 | $ | 0 | |||||||||||||||||||
|
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|
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|
|
CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION(1)
Counterparty | Index/Tranches | Fixed Receive Rate |
Payment Frequency |
Maturity Date |
Notional Amount(2) |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Swap Agreements, at Value(3) |
||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||
DUB | CMBX.NA.BBB-.8 Index |
3.000 | % | Monthly | 10/17/2057 | $ | 400 | $ | (46 | ) | $ | (2 | ) | $ | 0 | $ | (48 | ) | ||||||||||||||
FBF | CMBX.NA.BBB-.8 Index |
3.000 | Monthly | 10/17/2057 | 100 | (16 | ) | 4 | 0 | (12 | ) | |||||||||||||||||||||
GST | ABX.HE.AA.6-1 Index |
0.320 | Monthly | 07/25/2045 | 2,358 | (469 | ) | 328 | 0 | (141 | ) | |||||||||||||||||||||
ABX.HE.PENAAA.7-1 Index |
0.090 | Monthly | 08/25/2037 | 1,359 | (263 | ) | 43 | 0 | (220 | ) | ||||||||||||||||||||||
CMBX.NA.A.6 Index |
2.000 | Monthly | 05/11/2063 | 500 | (25 | ) | 23 | 0 | (2 | ) | ||||||||||||||||||||||
CMBX.NA.BB.6 Index |
5.000 | Monthly | 05/11/2063 | 100 | (14 | ) | (5 | ) | 0 | (19 | ) | |||||||||||||||||||||
CMBX.NA.BBB-.6 Index |
3.000 | Monthly | 05/11/2063 | 100 | (6 | ) | (4 | ) | 0 | (10 | ) | |||||||||||||||||||||
CMBX.NA.BBB-.7 Index |
3.000 | Monthly | 01/17/2047 | 100 | (5 | ) | (2 | ) | 0 | (7 | ) | |||||||||||||||||||||
MYC | CMBX.NA.BBB-.6 Index |
3.000 | Monthly | 05/11/2063 | 700 | (41 | ) | (31 | ) | 0 | (72 | ) | ||||||||||||||||||||
CMBX.NA.BBB-.7 Index |
3.000 | Monthly | 01/17/2047 | 300 | (13 | ) | (8 | ) | 0 | (21 | ) | |||||||||||||||||||||
CMBX.NA.BBB-.8 Index |
3.000 | Monthly | 10/17/2057 | 100 | (12 | ) | 0 | 0 | (12 | ) | ||||||||||||||||||||||
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|
|
|||||||||||||||||||||||||
$ | (910 | ) | $ | 346 | $ | 0 | $ | (564 | ) | |||||||||||||||||||||||
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|
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|
|
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2018 | 45 |
Schedule of Investments PIMCO Global StocksPLUS® & Income Fund (Cont.)
TOTAL RETURN SWAPS ON EQUITY INDICES
Counterparty | Pay/Receive(4) | Underlying Reference | # of Units | Financing Rate | Payment Frequency |
Maturity Date |
Notional Amount |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Swap Agreements, at Value |
||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||||
FBF |
Receive | NDDUEAFE Index |
8,666 | 3-Month USD-LIBOR plus a specified spread |
Maturity | 07/11/2018 | $ | 49,112 | $ | 0 | $ | 1,944 | $ | 1,944 | $ | 0 | ||||||||||||||||||||
GST |
Receive | NDDUEAFE Index |
850 | 3-Month USD-LIBOR less a specified spread |
Quarterly | 08/08/2018 | 5,219 | 0 | (192 | ) | 0 | (192 | ) | |||||||||||||||||||||||
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|
|
|||||||||||||||||||||||||||||
$ | 0 | $ | 1, 752 | $ | 1,944 | $ | (192 | ) | ||||||||||||||||||||||||||||
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|
|
|
|
|
|
|||||||||||||||||||||||||||||
Total Swap Agreements |
|
$ | (910 | ) | $ | 2,107 | $ | 1,953 | $ | (756 | ) | |||||||||||||||||||||||||
|
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|
|
|
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|
|
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 June 30, 2018:
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 |
$ | 0 | $ | 0 | $ | 9 | $ | 9 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 9 | $ | 0 | $ | 9 | ||||||||||||||||||||||||||
BPS |
35 | 0 | 0 | 35 | (58 | ) | 0 | 0 | (58 | ) | (23 | ) | 0 | (23 | ) | |||||||||||||||||||||||||||||||||
BRC |
52 | 0 | 0 | 52 | 0 | 0 | 0 | 0 | 52 | 0 | 52 | |||||||||||||||||||||||||||||||||||||
CBK |
35 | 0 | 0 | 35 | 0 | 0 | 0 | 0 | 35 | 0 | 35 | |||||||||||||||||||||||||||||||||||||
DUB |
5 | 0 | 0 | 5 | 0 | 0 | (48 | ) | (48 | ) | (43 | ) | 0 | (43 | ) | |||||||||||||||||||||||||||||||||
FBF |
0 | 0 | 1,944 | 1,944 | 0 | 0 | (12 | ) | (12 | ) | 1,932 | (1,440 | ) | 492 | ||||||||||||||||||||||||||||||||||
GLM |
17 | 0 | 0 | 17 | (15 | ) | 0 | 0 | (15 | ) | 2 | 0 | 2 | |||||||||||||||||||||||||||||||||||
GST |
0 | 0 | 0 | 0 | 0 | 0 | (591 | ) | (591 | ) | (591 | ) | 582 | (9 | ) | |||||||||||||||||||||||||||||||||
HUS |
0 | 0 | 0 | 0 | (10 | ) | 0 | 0 | (10 | ) | (10 | ) | 0 | (10 | ) | |||||||||||||||||||||||||||||||||
JPM |
8 | 0 | 0 | 8 | (9 | ) | 0 | 0 | (9 | ) | (1 | ) | 0 | (1 | ) | |||||||||||||||||||||||||||||||||
MSB |
44 | 0 | 0 | 44 | (30 | ) | 0 | 0 | (30 | ) | 14 | 0 | 14 | |||||||||||||||||||||||||||||||||||
MYC |
0 | 0 | 0 | 0 | 0 | 0 | (105 | ) | (105 | ) | (105 | ) | (126 | ) | (231 | ) | ||||||||||||||||||||||||||||||||
SCX |
75 | 0 | 0 | 75 | (6 | ) | 0 | 0 | (6 | ) | 69 | (20 | ) | 49 | ||||||||||||||||||||||||||||||||||
SSB |
20 | 0 | 0 | 20 | (19 | ) | 0 | 0 | (19 | ) | 1 | 0 | 1 | |||||||||||||||||||||||||||||||||||
UAG |
16 | 0 | 0 | 16 | (15 | ) | 0 | 0 | (15 | ) | 1 | 0 | 1 | |||||||||||||||||||||||||||||||||||
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|
|
|
|||||||||||||||||||||||||||||||||
Total Over the Counter |
$ | 307 | $ | 0 | $ | 1,953 | $ | 2,260 | $ | (162 | ) | $ | 0 | $ | (756 | ) | $ | (918 | ) | |||||||||||||||||||||||||||||
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|
|
|
(q) | Securities with an aggregate market value of $582 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of June 30, 2018. |
(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) | 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. |
(3) | The prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced indices credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(4) | Receive represents that the Fund receives payments for any positive net return on the underlying reference. The Fund makes payments for any negative net return on such underlying reference. Pay represents that the Fund receives payments for any negative net return on the underlying reference. The Fund makes payments for any positive net return on such underlying reference. |
(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 regarding master netting arrangements. . |
46 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
June 30, 2018
FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS
The following is a summary of the fair valuation of the Funds 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 June 30, 2018:
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 |
| |||||||||||||||||||||||
Purchased Options |
$ | 0 | $ | 0 | $ | 298 | $ | 0 | $ | 0 | $ | 298 | ||||||||||||
Futures |
0 | 0 | 44 | 0 | 0 | 44 | ||||||||||||||||||
Swap Agreements |
0 | 0 | 0 | 0 | 171 | 171 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 0 | $ | 342 | $ | 0 | $ | 171 | $ | 513 | |||||||||||||
|
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|
|
|
|
|
|
|
|
|
|||||||||||||
Over the counter |
| |||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 307 | $ | 0 | $ | 307 | ||||||||||||
Swap Agreements |
0 | 9 | 1,944 | 0 | 0 | 1,953 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 9 | $ | 1,944 | $ | 307 | $ | 0 | $ | 2,260 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 9 | $ | 2,286 | $ | 307 | $ | 171 | $ | 2,773 | |||||||||||||
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|
|
|
|
|
|
|
|||||||||||||
Financial Derivative Instruments - Liabilities |
| |||||||||||||||||||||||
Exchange-traded or centrally cleared |
| |||||||||||||||||||||||
Written Options |
$ | 0 | $ | 0 | $ | 97 | $ | 0 | $ | 0 | $ | 97 | ||||||||||||
Swap Agreements |
0 | 5 | 0 | 0 | 144 | 149 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 5 | $ | 97 | $ | 0 | $ | 144 | $ | 246 | |||||||||||||
|
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|
|
|
|
|
|
|
|
|
|
|||||||||||||
Over the counter |
| |||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 162 | $ | 0 | $ | 162 | ||||||||||||
Swap Agreements |
0 | 564 | 192 | 0 | 0 | 756 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 564 | $ | 192 | $ | 162 | $ | 0 | $ | 918 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 569 | $ | 289 | $ | 162 | $ | 144 | $ | 1,164 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
The effect of Financial Derivative Instruments on the Statements of Operations for the period ended June 30, 2018:
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 |
| |||||||||||||||||||||||
Purchased Options |
$ | 0 | $ | 0 | $ | (2,042 | ) | $ | 0 | $ | 0 | $ | (2,042 | ) | ||||||||||
Written Options |
0 | 0 | (4,619 | ) | 0 | 0 | (4,619 | ) | ||||||||||||||||
Futures |
0 | 0 | 7,908 | 0 | 0 | 7,908 | ||||||||||||||||||
Swap Agreements |
0 | 91 | 0 | 0 | 1,931 | 2,022 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 91 | $ | 1,247 | $ | 0 | $ | 1,931 | $ | 3,269 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Over the counter |
| |||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 359 | $ | 0 | $ | 359 | ||||||||||||
Swap Agreements |
0 | 201 | 1,044 | 0 | 273 | 1,518 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 201 | $ | 1,044 | $ | 359 | $ | 273 | $ | 1,877 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 292 | $ | 2,291 | $ | 359 | $ | 2,204 | $ | 5,146 | |||||||||||||
|
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|
|
|
|
|
|
|
|
|
|
|||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative Instruments |
| |||||||||||||||||||||||
Exchange-traded or centrally cleared |
| |||||||||||||||||||||||
Purchased Options |
$ | 0 | $ | 0 | $ | 215 | $ | 0 | $ | 0 | $ | 215 | ||||||||||||
Written Options |
0 | 0 | 290 | 0 | 0 | 290 | ||||||||||||||||||
Futures |
0 | 0 | (980 | ) | 0 | 0 | (980 | ) | ||||||||||||||||
Swap Agreements |
0 | (51 | ) | 0 | 0 | (3,310 | ) | (3,361 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | (51 | ) | $ | (475 | ) | $ | 0 | $ | (3,310 | ) | $ | (3,836 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Over the counter |
| |||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 242 | $ | 0 | $ | 242 | ||||||||||||
Swap Agreements |
0 | 251 | 2,085 | 0 | 0 | 2,336 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 251 | $ | 2,085 | $ | 242 | $ | 0 | $ | 2,578 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 200 | $ | 1,610 | $ | 242 | $ | (3,310 | ) | $ | (1,258 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2018 | 47 |
Schedule of Investments PIMCO Global StocksPLUS® & Income Fund (Cont.)
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of June 30, 2018 in valuing the Funds assets and liabilities:
There were no significant transfers among Levels 1 and 2 during the period ended June 30, 2018.
The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended June 30, 2018:
Category and Subcategory | Beginning Balance at 06/30/2017 |
Net Purchases |
Net Sales |
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 06/30/2018 |
Net Change in Unrealized Appreciation/ (Depreciation) on Investments Held at 06/30/2018(1) |
||||||||||||||||||||||||||||||
Investments in Securities, at Value |
| |||||||||||||||||||||||||||||||||||||||
Loan Participations and Assignments |
$ | 103 | $ | 5 | $ | (20 | ) | $ | 2 | $ | (93 | ) | $ | 75 | $ | 122 | $ | (72 | ) | $ | 122 | $ | 0 | |||||||||||||||||
Corporate Bonds & Notes |
| |||||||||||||||||||||||||||||||||||||||
Banking & Finance |
2,068 | 0 | 0 | 4 | 0 | (32 | ) | 0 | 0 | 2,040 | (32 | ) | ||||||||||||||||||||||||||||
Industrials |
0 | 98 | 0 | 0 | 0 | (2 | ) | 0 | 0 | 96 | (2 | ) | ||||||||||||||||||||||||||||
Utilities |
22 | 0 | (32 | ) | 0 | (69 | ) | 79 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||||
Non-Agency Mortgage-Backed Securities |
788 | 27 | (123 | ) | 6 | 50 | (50 | ) | 0 | (311 | ) | 387 | (41 | ) | ||||||||||||||||||||||||||
Asset-Backed Securities |
0 | 1,450 | 0 | 0 | 0 | (45 | ) | 0 | 0 | 1,405 | (45 | ) | ||||||||||||||||||||||||||||
Common Stocks |
| |||||||||||||||||||||||||||||||||||||||
Energy |
0 | 78 | 0 | 0 | 0 | 764 | 0 | 0 | 842 | 764 | ||||||||||||||||||||||||||||||
Financials |
154 | 403 | 0 | 0 | 0 | 127 | 0 | 0 | 684 | 127 | ||||||||||||||||||||||||||||||
Industrials |
0 | 25 | 0 | 0 | 0 | 11 | 0 | 0 | 36 | 11 | ||||||||||||||||||||||||||||||
Warrants |
| |||||||||||||||||||||||||||||||||||||||
Industrials |
57 | 0 | 0 | 0 | 0 | (26 | ) | 0 | 0 | 31 | (26 | ) | ||||||||||||||||||||||||||||
Preferred Securities |
| |||||||||||||||||||||||||||||||||||||||
Industrials |
2,180 | 0 | 0 | 0 | 0 | (169 | ) | 0 | 0 | 2,011 | (169 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Totals |
$ | 5,372 | $ | 2,086 | $ | (175 | ) | $ | 12 | $ | (112 | ) | $ | 732 | $ | 122 | $ | (383 | ) | $ | 7,654 | $ | 587 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
48 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
June 30, 2018
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 06/30/2018 |
Valuation Technique |
Unobservable Inputs |
Input Value(s) (% Unless Noted Otherwise) |
||||||||
Investments in Securities, at Value |
| |||||||||||
Loan Participations and Assignments |
$ | 122 | Third Party Vendor | Broker Quote | 102.000 | |||||||
Corporate Bonds & Notes |
| |||||||||||
Banking & Finance |
1,142 | Reference Instrument | OAS Spread | 525.729 bps | ||||||||
898 | Reference Instrument | Spread Movement | 24.000 bps | |||||||||
Industrials |
96 | Reference Instrument | Yield | 10.153 | ||||||||
Non-Agency Mortgage-Backed Securities |
387 | Proxy Pricing | Base Price | 4.700-100.250 | ||||||||
Asset-Backed Securities |
1,405 | Proxy Pricing | Base Price | 140,500.000 | ||||||||
Common Stocks |
| |||||||||||
Energy |
842 | Other Valuation Techniques(2) | | | ||||||||
Financials |
684 | Discounted Cash Flow | Discounted Rate | $ 1.200 | ||||||||
Industrials |
36 | Other Valuation Techniques(2) | | | ||||||||
Warrants |
| |||||||||||
Industrials |
31 | Other Valuation Techniques(2) | | | ||||||||
Preferred Securities |
| |||||||||||
Industrials |
2,011 | Indicative Market Quotation | Broker Quote | $ 900.000 | ||||||||
|
|
|||||||||||
Total |
$ | 7,654 | ||||||||||
|
|
(1) | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at June 30, 2018 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 | ANNUAL REPORT | JUNE 30, 2018 | 49 |
Schedule of Investments PIMCO Income Opportunity Fund
(Amounts in thousands*, except number of shares, contracts and units, if any)
50 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
June 30, 2018
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2018 | 51 |
Schedule of Investments PIMCO Income Opportunity Fund (Cont.)
52 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
June 30, 2018
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2018 | 53 |
Schedule of Investments PIMCO Income Opportunity 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). |
∎ | All or a portion of this amount represent 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. |
× | Coupon represents a rate which changes periodically based on a predetermined schedule. 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) | Coupon represents a yield to maturity. |
(j) | Perpetual maturity; date shown, if applicable, represents next contractual call date. |
(k) | Contingent convertible security. |
54 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
June 30, 2018
(l) RESTRICTED SECURITIES:
Issuer Description | Acquisition Date |
Cost | Market Value |
Market Value as Percentage of Net Assets |
||||||||||||||||||
Dommo Energia S.A. |
12/21/2017 - 12/26/2017 | $ | 159 | $ | 1,668 | 0.44 | % | |||||||||||||||
Eneva S.A. |
12/21/2017 | 18 | 13 | 0.00 | ||||||||||||||||||
Forbes Energy Services Ltd. |
03/11/2014 - 07/31/2014 | 1,470 | 268 | 0.07 | ||||||||||||||||||
Pinnacol Assurance 8.625% due 06/25/2034 |
06/23/2014 | 2,900 | 3,011 | 0.79 | ||||||||||||||||||
Sierra Hamilton Holder LLC |
07/31/2017 | 51 | 72 | 0.02 | ||||||||||||||||||
TIG FinCo PLC |
04/02/2015 - 07/20/2017 | 1,846 | 2,182 | 0.58 | ||||||||||||||||||
VICI Properties, Inc. |
03/03/2014 - 11/17/2017 | 4,976 | 7,020 | 1.85 | ||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||
$ | 11,420 | $ | 14,234 | 3.75 | % | |||||||||||||||||
|
|
|
|
|
|
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(m) 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 | 1.500 | % | 06/29/2018 | 07/02/2018 | $ | 1,663 | U.S. Treasury Notes 2.125% due 08/15/2021 | $ | (1,697 | ) | $ | 1,663 | $ | 1,663 | ||||||||||||||||
SAL | 2.220 | 06/29/2018 | 07/02/2018 | 4,500 | U.S. Treasury Notes 2.000% due 10/31/2022 | (4,599 | ) | 4,500 | 4,501 | |||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
Total Repurchase Agreements |
$ | (6,296 | ) | $ | 6,163 | $ | 6,164 | |||||||||||||||||||||||
|
|
|
|
|
|
REVERSE REPURCHASE AGREEMENTS:
Counterparty | Borrowing Rate(2) |
Settlement Date |
Maturity Date |
Amount Borrowed(2) |
Payable for Reverse Repurchase Agreements |
|||||||||||||||
BPS |
2.890 | % | 05/29/2018 | 08/29/2018 | $ (286 | ) | $ | (287 | ) | |||||||||||
3.455 | 05/14/2018 | 08/14/2018 | (7,839 | ) | (7,876 | ) | ||||||||||||||
BRC |
3.326 | 06/01/2018 | 08/20/2018 | (1,121 | ) | (1,124 | ) | |||||||||||||
3.332 | 06/21/2018 | 09/21/2018 | (8,163 | ) | (8,171 | ) | ||||||||||||||
3.343 | 06/01/2018 | 08/14/2018 | (2,299 | ) | (2,306 | ) | ||||||||||||||
3.353 | 06/01/2018 | 07/16/2018 | (7,485 | ) | (7,507 | ) | ||||||||||||||
3.353 | 06/01/2018 | 08/09/2018 | (10,374 | ) | (10,404 | ) | ||||||||||||||
4.337 | 06/27/2017 | TBD | (3) | (1,682 | ) | (1,683 | ) | |||||||||||||
JML |
0.850 | 05/15/2018 | 08/15/2018 | GBP (1,901 | ) | (2,512 | ) | |||||||||||||
2.550 | 06/18/2018 | 07/18/2018 | $ (6,913 | ) | (6,920 | ) | ||||||||||||||
2.550 | 06/18/2018 | 07/18/2018 | (511 | ) | (511 | ) | ||||||||||||||
MSB |
4.041 | 09/15/2017 | 09/17/2018 | (1,212 | ) | (1,214 | ) | |||||||||||||
4.071 | 08/17/2017 | 08/17/2018 | (5,187 | ) | (5,207 | ) | ||||||||||||||
NOM |
2.670 | 05/23/2018 | 07/23/2018 | (4,960 | ) | (4,975 | ) | |||||||||||||
2.670 | 05/25/2018 | 07/25/2018 | (3,436 | ) | (3,446 | ) | ||||||||||||||
RBC |
2.500 | 01/18/2018 | 07/18/2018 | (1,171 | ) | (1,184 | ) | |||||||||||||
2.550 | 01/18/2018 | 07/18/2018 | (2,590 | ) | (2,620 | ) | ||||||||||||||
3.450 | 03/12/2018 | 09/12/2018 | (8,252 | ) | (8,340 | ) | ||||||||||||||
3.530 | 06/20/2018 | 09/20/2018 | (2,169 | ) | (2,171 | ) | ||||||||||||||
RDR |
2.520 | 05/30/2018 | 08/30/2018 | (2,016 | ) | (2,021 | ) | |||||||||||||
2.670 | 05/10/2018 | 08/10/2018 | (1,009 | ) | (1,013 | ) | ||||||||||||||
RTA |
2.538 | 01/16/2018 | 07/16/2018 | (468 | ) | (473 | ) | |||||||||||||
2.887 | 01/03/2018 | 07/03/2018 | (7,549 | ) | (7,658 | ) | ||||||||||||||
3.016 | 02/02/2018 | 08/02/2018 | (4,780 | ) | (4,840 | ) | ||||||||||||||
3.296 | 03/08/2018 | 09/07/2018 | (2,275 | ) | (2,299 | ) | ||||||||||||||
3.435 | 06/22/2018 | 09/24/2018 | (1,077 | ) | (1,078 | ) | ||||||||||||||
3.460 | 04/05/2018 | 10/05/2018 | (3,774 | ) | (3,806 | ) | ||||||||||||||
3.511 | 04/23/2018 | 10/23/2018 | (723 | ) | (728 | ) | ||||||||||||||
3.519 | 04/26/2018 | 10/26/2018 | (4,931 | ) | (4,963 | ) | ||||||||||||||
3.519 | 06/18/2018 | 09/12/2018 | (569 | ) | (575 | ) | ||||||||||||||
SAL |
3.171 | 04/05/2018 | 10/05/2018 | (3,464 | ) | (3,491 | ) | |||||||||||||
SOG |
2.600 | 04/11/2018 | 07/11/2018 | (1,057 | ) | (1,063 | ) | |||||||||||||
2.630 | 04/16/2018 | 07/16/2018 | (7,435 | ) | (7,477 | ) | ||||||||||||||
2.690 | 04/24/2018 | 07/24/2018 | (1,237 | ) | (1,243 | ) | ||||||||||||||
2.730 | 04/26/2018 | 07/24/2018 | (1,536 | ) | (1,544 | ) | ||||||||||||||
2.730 | 06/06/2018 | 07/24/2018 | (82 | ) | (82 | ) | ||||||||||||||
2.800 | 06/06/2018 | 09/06/2018 | (7,224 | ) | (7,239 | ) | ||||||||||||||
2.810 | 06/07/2018 | 09/07/2018 | (2,662 | ) | (2,667 | ) | ||||||||||||||
2.810 | 06/12/2018 | 09/12/2018 | (885 | ) | (886 | ) |
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2018 | 55 |
Schedule of Investments PIMCO Income Opportunity Fund (Cont.)
Counterparty | Borrowing Rate(2) |
Settlement Date |
Maturity Date |
Amount Borrowed(2) |
Payable for Reverse Repurchase Agreements |
|||||||||||||||
2.820 | % | 06/14/2018 | 09/14/2018 | $ | (2,559 | ) | $ | (2,563 | ) | |||||||||||
3.612 | 01/22/2018 | 07/23/2018 | (1,304 | ) | (1,312 | ) | ||||||||||||||
UBS |
0.100 | 04/23/2018 | 07/23/2018 | EUR (1,186 | ) | (1,385 | ) | |||||||||||||
0.950 | 06/18/2018 | 07/18/2018 | GBP (4,113 | ) | (5,430 | ) | ||||||||||||||
1.500 | 06/22/2018 | 07/23/2018 | (2,665 | ) | (3,519 | ) | ||||||||||||||
2.560 | 06/13/2018 | 09/13/2018 | $(212 | ) | (212 | ) | ||||||||||||||
2.780 | 06/11/2018 | 09/12/2018 | (2,667 | ) | (2,671 | ) | ||||||||||||||
2.780 | 06/13/2018 | 09/13/2018 | (1,134 | ) | (1,136 | ) | ||||||||||||||
2.860 | 06/05/2018 | 09/05/2018 | (3,926 | ) | (3,934 | ) | ||||||||||||||
2.910 | 05/14/2018 | 08/14/2018 | (2,959 | ) | (2,971 | ) | ||||||||||||||
3.321 | 04/05/2018 | 07/05/2018 | (3,407 | ) | (3,435 | ) | ||||||||||||||
3.337 | 04/10/2018 | 07/10/2018 | (4,766 | ) | (4,803 | ) | ||||||||||||||
3.362 | 04/23/2018 | 07/23/2018 | (5,749 | ) | (5,787 | ) | ||||||||||||||
|
|
|||||||||||||||||||
Total Reverse Repurchase Agreements |
|
$ | (172,762 | ) | ||||||||||||||||
|
|
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 June 30, 2018:
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 |
| |||||||||||||||||||||||
BPS |
$ | 0 | $ | (8,163 | ) | $ | 0 | $ | (8,163 | ) | $ | 10,768 | $ | 2,605 | ||||||||||
BRC |
0 | (31,195 | ) | 0 | (31,195 | ) | 44,748 | 13,553 | ||||||||||||||||
FICC |
1,663 | 0 | 0 | 1,663 | (1,697 | ) | (34 | ) | ||||||||||||||||
JML |
0 | (9,943 | ) | 0 | (9,943 | ) | 11,931 | 1,988 | ||||||||||||||||
MSB |
0 | (6,421 | ) | 0 | (6,421 | ) | 9,852 | 3,431 | ||||||||||||||||
NOM |
0 | (8,421 | ) | 0 | (8,421 | ) | 9,549 | 1,128 | ||||||||||||||||
RBC |
0 | (14,315 | ) | 0 | (14,315 | ) | 17,652 | 3,337 | ||||||||||||||||
RDR |
0 | (3,034 | ) | 0 | (3,034 | ) | 3,138 | 104 | ||||||||||||||||
RTA |
0 | (26,420 | ) | 0 | (26,420 | ) | 35,255 | 8,835 | ||||||||||||||||
SAL |
4,501 | (3,491 | ) | 0 | 1,010 | (249 | ) | 761 | ||||||||||||||||
SOG |
0 | (26,076 | ) | 0 | (26,076 | ) | 28,423 | 2,347 | ||||||||||||||||
UBS |
0 | (35,283 | ) | 0 | (35,283 | ) | 46,959 | 11,676 | ||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 6,164 | $ | (172,762 | ) | $ | 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 | $ | (38,354 | ) | $ | (30,111 | ) | $ | 0 | $ | (68,465 | ) | |||||||
U.S. Government Agencies |
0 | 0 | (6,093 | ) | 0 | (6,093 | ) | |||||||||||||
Non-Agency Mortgage-Backed Securities |
0 | (11,160 | ) | (24,055 | ) | (10,071 | ) | (45,286 | ) | |||||||||||
Asset-Backed Securities |
0 | (22,860 | ) | (25,458 | ) | (4,600 | ) | (52,918 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total Borrowings |
$ | 0 | $ | (72,374 | ) | $ | (85,717 | ) | $ | (14,671 | ) | $ | (172,762 | ) | ||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Payable for reverse repurchase agreements and sale-buyback financing transactions |
|
$ | (172,762 | ) | ||||||||||||||||
|
|
(n) | Securities with an aggregate market value of $223,144 have been pledged as collateral under the terms of the above master agreements as of June 30, 2018. |
(1) | Includes accrued interest. |
(2) | The average amount of borrowings outstanding during the period ended June 30, 2018 was $(203,741) at a weighted average interest rate of 2.484%. Average borrowings may include sale-buyback transactions and reverse repurchase agreements, 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 regarding master netting arrangements. |
56 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
June 30, 2018
(o) 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 June 30, 2018(2) |
Notional Amount(3) |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Market Value |
Variation Margin | |||||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||||||
Frontier Communications Corp. |
5.000 | % | Quarterly | 06/20/2020 | 8.963 | % | $ | 4,200 | $ | (139 | ) | $ | (139 | ) | $ | (278 | ) | $ | 0 | $ | (11 | ) | ||||||||||||||||
Sprint Corp. |
5.000 | Quarterly | 12/20/2021 | 2.482 | 1,000 | 22 | 60 | 82 | 0 | (1 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||
$ | (117 | ) | $ | (79 | ) | $ | (196 | ) | $ | 0 | $ | (12 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
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 |
1-Year BRL-CDI |
11.680 | % | Maturity | 01/04/2021 | BRL | 51,500 | $ | (252 | ) | $ | 913 | $ | 661 | $ | 14 | $ | 0 | ||||||||||||||||||||
Pay |
1-Year BRL-CDI |
15.590 | Maturity | 01/04/2021 | 20 | 1 | 0 | 1 | 0 | 0 | ||||||||||||||||||||||||||||
Pay |
3-Month CAD Bank Bill |
3.300 | Semi-Annual | 06/19/2024 | CAD | 13,300 | 618 | (145 | ) | 473 | 0 | (63 | ) | |||||||||||||||||||||||||
Receive |
3-Month CAD Bank Bill |
3.500 | Semi-Annual | 06/20/2044 | 4,400 | (154 | ) | (412 | ) | (566 | ) | 44 | 0 | |||||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
1.500 | Semi-Annual | 12/21/2021 | $ | 18,000 | 154 | (976 | ) | (822 | ) | 0 | (3 | ) | ||||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
1.500 | Semi-Annual | 06/21/2027 | 22,000 | (1,596 | ) | (949 | ) | (2,545 | ) | 0 | (21 | ) | ||||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
2.000 | Semi-Annual | 06/20/2023 | 63,400 | (2,639 | ) | (16 | ) | (2,655 | ) | 0 | (39 | ) | ||||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
2.140 | Semi-Annual | 11/15/2022 | 73,400 | 0 | (2,308 | ) | (2,308 | ) | 0 | (29 | ) | |||||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
2.250 | Semi-Annual | 06/20/2028 | 52,200 | (3,333 | ) | 72 | (3,261 | ) | 0 | (54 | ) | |||||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
2.500 | Semi-Annual | 12/20/2027 | 9,100 | 152 | (474 | ) | (322 | ) | 0 | (7 | ) | |||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
2.500 | Semi-Annual | 06/20/2038 | 45,200 | 1,041 | 2,510 | 3,551 | 44 | 0 | ||||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
2.500 | Semi-Annual | 06/20/2048 | 25,500 | 2,291 | 241 | 2,532 | 41 | 0 | ||||||||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
2.860 | Semi-Annual | 04/26/2023 | 200,000 | (548 | ) | 381 | (167 | ) | 0 | (83 | ) | |||||||||||||||||||||||||
Pay |
6-Month AUD-BBR-BBSW |
3.500 | Semi-Annual | 06/17/2025 | AUD | 5,200 | 129 | 86 | 215 | 0 | 0 | |||||||||||||||||||||||||||
Receive(4) |
6-Month EUR-EURIBOR |
1.250 | Annual | 09/19/2028 | EUR | 10,100 | (141 | ) | (234 | ) | (375 | ) | 0 | (16 | ) | |||||||||||||||||||||||
Receive(4) |
6-Month GBP-LIBOR |
1.500 | Semi-Annual | 09/19/2028 | GBP | 17,050 | 392 | (284 | ) | 108 | 25 | 0 | ||||||||||||||||||||||||||
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|
|
|
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|
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|
|
|
|||||||||||||||||||||||||||||
$ | (3,885 | ) | $ | (1,595 | ) | $ | (5,480 | ) | $ | 168 | $ | (315 | ) | |||||||||||||||||||||||||
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|
|
|||||||||||||||||||||||||||||
Total Swap Agreements |
|
$ | (4,002 | ) | $ | (1,674 | ) | $ | (5,676 | ) | $ | 168 | $ | (327 | ) | |||||||||||||||||||||||
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|
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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 June 30, 2018:
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 | $ | 168 | $ | 168 | $ | 0 | $ | 0 | $ | (327) | $ | (327) | ||||||||||||||||||||
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Cash of $10,368 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of June 30, 2018. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information regarding master netting arrangements.
(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 entitys 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) | 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 | ANNUAL REPORT | JUNE 30, 2018 | 57 |
Schedule of Investments PIMCO Income Opportunity Fund (Cont.)
(p) FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER
FORWARD FOREIGN CURRENCY CONTRACTS:
Counterparty |
Settlement |
Currency to |
Currency to |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||
BPS |
07/2018 | EUR | 22,885 | $ | 26,544 | $ | 0 | $ | (182 | ) | ||||||||||||||
07/2018 | PEN | 1,929 | 591 | 3 | 0 | |||||||||||||||||||
07/2018 | $ | 110 | ARS | 2,941 | 0 | (10 | ) | |||||||||||||||||
08/2018 | ARS | 570 | $ | 27 | 8 | 0 | ||||||||||||||||||
CBK |
07/2018 | GBP | 31,287 | 41,451 | 160 | 0 | ||||||||||||||||||
07/2018 | $ | 3 | ARS | 85 | 0 | 0 | ||||||||||||||||||
07/2018 | 519 | GBP | 386 | 0 | (9 | ) | ||||||||||||||||||
10/2018 | 34 | ARS | 1,020 | 0 | (2 | ) | ||||||||||||||||||
11/2018 | NGN | 7,334 | $ | 19 | 0 | (1 | ) | |||||||||||||||||
GLM |
07/2018 | BRL | 872 | 226 | 1 | 0 | ||||||||||||||||||
07/2018 | $ | 232 | BRL | 872 | 0 | (7 | ) | |||||||||||||||||
07/2018 | 192 | EUR | 162 | 0 | (3 | ) | ||||||||||||||||||
07/2018 | 235 | RUB | 14,637 | 0 | (1 | ) | ||||||||||||||||||
08/2018 | 338 | EUR | 290 | 1 | 0 | |||||||||||||||||||
HUS |
07/2018 | ARS | 524 | $ | 25 | 7 | 0 | |||||||||||||||||
07/2018 | EUR | 1,226 | 1,431 | 0 | (1 | ) | ||||||||||||||||||
07/2018 | RUB | 14,637 | 232 | 0 | (1 | ) | ||||||||||||||||||
07/2018 | $ | 3 | ARS | 74 | 0 | 0 | ||||||||||||||||||
08/2018 | 3,423 | RUB | 214,136 | 1 | (33 | ) | ||||||||||||||||||
10/2018 | 5 | ARS | 150 | 0 | 0 | |||||||||||||||||||
JPM |
10/2018 | NGN | 279,094 | $ | 743 | 0 | (19 | ) | ||||||||||||||||
11/2018 | 535,519 | 1,423 | 0 | (32 | ) | |||||||||||||||||||
MSB |
07/2018 | BRL | 12,099 | 3,176 | 54 | 0 | ||||||||||||||||||
07/2018 | $ | 3,211 | BRL | 12,099 | 0 | (89 | ) | |||||||||||||||||
08/2018 | BRL | 12,099 | $ | 3,202 | 91 | 0 | ||||||||||||||||||
10/2018 | NGN | 41,371 | 110 | 0 | (3 | ) | ||||||||||||||||||
RYL |
07/2018 | GBP | 332 | 441 | 3 | 0 | ||||||||||||||||||
SCX |
07/2018 | BRL | 10,018 | 2,732 | 147 | 0 | ||||||||||||||||||
07/2018 | $ | 2,598 | BRL | 10,018 | 0 | (13 | ) | |||||||||||||||||
10/2018 | NGN | 84,245 | $ | 224 | 0 | (6 | ) | |||||||||||||||||
11/2018 | 10,172 | 27 | 0 | (1 | ) | |||||||||||||||||||
SSB |
07/2018 | $ | 27,879 | EUR | 23,949 | 89 | 0 | |||||||||||||||||
08/2018 | EUR | 23,949 | $ | 27,941 | 0 | (87 | ) | |||||||||||||||||
UAG |
07/2018 | $ | 41,298 | GBP | 31,233 | 0 | (78 | ) | ||||||||||||||||
08/2018 | GBP | 31,233 | $ | 41,356 | 80 | 0 | ||||||||||||||||||
09/2018 | $ | 77 | RUB | 4,834 | 0 | 0 | ||||||||||||||||||
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|
|
|
|||||||||||||||||||||
Total Forward Foreign Currency Contracts |
|
$ | 645 | $ | (578 | ) | ||||||||||||||||||
|
|
|
|
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 June 30, 2018(2) |
Notional Amount(3) |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Swap Agreements, at Value |
|||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||||
BOA | Russia Government International Bond |
1.000 | % | Quarterly | 06/20/2024 | 1.621 | % | $ | 400 | $ | (40 | ) | $ | 27 | $ | 0 | $ | (13 | ) | |||||||||||||||||
BRC | Russia Government International Bond |
1.000 | Quarterly | 06/20/2024 | 1.621 | 400 | (46 | ) | 33 | 0 | (13 | ) | ||||||||||||||||||||||||
Russia Government International Bond |
1.000 | Quarterly | 09/20/2024 | 1.661 | 300 | (25 | ) | 14 | 0 | (11 | ) | |||||||||||||||||||||||||
CBK | Russia Government International Bond |
1.000 | Quarterly | 06/20/2024 | 1.621 | 500 | (53 | ) | 37 | 0 | (16 | ) | ||||||||||||||||||||||||
Russia Government International Bond |
1.000 | Quarterly | 09/20/2024 | 1.661 | 300 | (26 | ) | 15 | 0 | (11 | ) | |||||||||||||||||||||||||
GST | Petrobras Global Finance BV |
1.000 | Quarterly | 09/20/2020 | 2.175 | 110 | (16 | ) | 13 | 0 | (3 | ) | ||||||||||||||||||||||||
Russia Government International Bond |
1.000 | Quarterly | 03/20/2020 | 0.894 | 100 | (19 | ) | 19 | 0 | 0 | ||||||||||||||||||||||||||
Russia Government International Bond |
1.000 | Quarterly | 06/20/2024 | 1.621 | 200 | (23 | ) | 17 | 0 | (6 | ) | |||||||||||||||||||||||||
HUS | Russia Government International Bond |
1.000 | Quarterly | 06/20/2019 | 0.804 | 130 | (5 | ) | 6 | 1 | 0 | |||||||||||||||||||||||||
Russia Government International Bond |
1.000 | Quarterly | 06/20/2024 | 1.621 | 130 | (13 | ) | 9 | 0 | (4 | ) | |||||||||||||||||||||||||
Russia Government International Bond |
1.000 | Quarterly | 09/20/2024 | 1.661 | 69 | (10 | ) | 8 | 0 | (2 | ) | |||||||||||||||||||||||||
JPM | Russia Government International Bond |
1.000 | Quarterly | 06/20/2024 | 1.621 | 200 | (18 | ) | 11 | 0 | (7 | ) | ||||||||||||||||||||||||
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|||||||||||||||||||||||||||||
$ | (294 | ) | $ | 209 | $ | 1 | $ | (86 | ) | |||||||||||||||||||||||||||
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|
|
58 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
June 30, 2018
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 | |||||||||||||||||||||||||||||||
DUB | CMBX.NA.BBB-.6 Index |
3.000 | % | Monthly | 05/11/2063 | $ | 100 | $ | (12 | ) | $ | 2 | $ | 0 | $ | (10 | ) | |||||||||||||||
CMBX.NA.BBB-.9 Index |
3.000 | Monthly | 09/17/2058 | 100 | (13 | ) | 3 | 0 | (10 | ) | ||||||||||||||||||||||
FBF | CMBX.NA.BBB-.6 Index |
3.000 | Monthly | 05/11/2063 | 100 | (12 | ) | 2 | 0 | (10 | ) | |||||||||||||||||||||
CMBX.NA.BBB-.7 Index |
3.000 | Monthly | 01/17/2047 | 100 | (10 | ) | 3 | 0 | (7 | ) | ||||||||||||||||||||||
CMBX.NA.BBB-.8 Index |
3.000 | Monthly | 10/17/2057 | 500 | (78 | ) | 18 | 0 | (60 | ) | ||||||||||||||||||||||
GST | ABX.HE.AA.6-1 Index |
0.320 | Monthly | 07/25/2045 | 15,182 | (3,021 | ) | 2,115 | 0 | (906 | ) | |||||||||||||||||||||
ABX.HE.PENAAA.7-1 Index |
0.090 | Monthly | 08/25/2037 | 3,949 | (765 | ) | 126 | 0 | (639 | ) | ||||||||||||||||||||||
CMBX.NA.A.6 Index |
2.000 | Monthly | 05/11/2063 | 1,500 | (76 | ) | 69 | 0 | (7 | ) | ||||||||||||||||||||||
MYC | CMBX.NA.BBB-.10 Index |
3.000 | Monthly | 11/17/2059 | 200 | (25 | ) | 7 | 0 | (18 | ) | |||||||||||||||||||||
CMBX.NA.BBB-.9 Index |
3.000 | Monthly | 09/17/2058 | 200 | (24 | ) | 3 | 0 | (21 | ) | ||||||||||||||||||||||
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|
|||||||||||||||||||||||||
$ | (4,036 | ) | $ | 2,348 | $ | 0 | $ | (1,688 | ) | |||||||||||||||||||||||
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|
|
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|
|
|||||||||||||||||||||||||
Total Swap Agreements |
$ | (4,330 | ) | $ | 2,557 | $ | 1 | $ | (1,774 | ) | ||||||||||||||||||||||
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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 June 30, 2018:
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 |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | (13 | ) | $ | (13 | ) | $ | (13 | ) | $ | 13 | $ | (0 | ) | ||||||||||||||||||||||
BPS |
11 | 0 | 0 | 11 | (192 | ) | 0 | 0 | (192 | ) | (181 | ) | 0 | (181 | ) | |||||||||||||||||||||||||||||||||
BRC |
0 | 0 | 0 | 0 | 0 | 0 | (24 | ) | (24 | ) | (24 | ) | 0 | (24 | ) | |||||||||||||||||||||||||||||||||
CBK |
160 | 0 | 0 | 160 | (12 | ) | 0 | (27 | ) | (39 | ) | 121 | (270 | ) | (149 | ) | ||||||||||||||||||||||||||||||||
DUB |
0 | 0 | 0 | 0 | 0 | 0 | (20 | ) | (20 | ) | (20 | ) | 0 | (20 | ) | |||||||||||||||||||||||||||||||||
FBF |
0 | 0 | 0 | 0 | 0 | 0 | (77 | ) | (77 | ) | (77 | ) | 0 | (77 | ) | |||||||||||||||||||||||||||||||||
GLM |
2 | 0 | 0 | 2 | (11 | ) | 0 | 0 | (11 | ) | (9 | ) | 0 | (9 | ) | |||||||||||||||||||||||||||||||||
GST |
0 | 0 | 0 | 0 | 0 | 0 | (1,561 | ) | (1,561 | ) | (1,561 | ) | 1,903 | 342 | ||||||||||||||||||||||||||||||||||
HUS |
8 | 0 | 1 | 9 | (35 | ) | 0 | (6 | ) | (41 | ) | (32 | ) | 0 | (32 | ) | ||||||||||||||||||||||||||||||||
JPM |
0 | 0 | 0 | 0 | (51 | ) | 0 | (7 | ) | (58 | ) | (58 | ) | 0 | (58 | ) | ||||||||||||||||||||||||||||||||
MSB |
145 | 0 | 0 | 145 | (92 | ) | 0 | 0 | (92 | ) | 53 | 0 | 53 | |||||||||||||||||||||||||||||||||||
MYC |
0 | 0 | 0 | 0 | 0 | 0 | (39 | ) | (39 | ) | (39 | ) | (595 | ) | (634 | ) | ||||||||||||||||||||||||||||||||
RYL |
3 | 0 | 0 | 3 | 0 | 0 | 0 | 0 | 3 | 0 | 3 | |||||||||||||||||||||||||||||||||||||
SCX |
147 | 0 | 0 | 147 | (20 | ) | 0 | 0 | (20 | ) | 127 | (60 | ) | 67 | ||||||||||||||||||||||||||||||||||
SSB |
89 | 0 | 0 | 89 | (87 | ) | 0 | 0 | (87 | ) | 2 | 0 | 2 | |||||||||||||||||||||||||||||||||||
UAG |
80 | 0 | 0 | 80 | (78 | ) | 0 | 0 | (78 | ) | 2 | 0 | 2 | |||||||||||||||||||||||||||||||||||
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|||||||||||||||||||||||||||||||||
Total Over the Counter |
$ | 645 | $ | 0 | $ | 1 | $ | 646 | $ | (578 | ) | $ | 0 | $ | (1,774 | ) | $ | (2,352 | ) | |||||||||||||||||||||||||||||
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(q) | Securities with an aggregate market value of $1,916 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of June 30, 2018. |
(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 entitys 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 on credit indices serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced indices credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(5) | 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 regarding master netting arrangements. |
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2018 | 59 |
Schedule of Investments PIMCO Income Opportunity Fund (Cont.)
FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS
The following is a summary of the fair valuation of the Funds 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 June 30, 2018:
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 | $ | 0 | $ | 0 | $ | 0 | $ | 168 | $ | 168 | ||||||||||||
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|||||||||||||
Over the counter |
| |||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 645 | $ | 0 | $ | 645 | ||||||||||||
Swap Agreements |
0 | 1 | 0 | 0 | 0 | 1 | ||||||||||||||||||
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|
|||||||||||||
$ | 0 | $ | 1 | $ | 0 | $ | 645 | $ | 0 | $ | 646 | |||||||||||||
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|
|||||||||||||
$ | 0 | $ | 1 | $ | 0 | $ | 645 | $ | 168 | $ | 814 | |||||||||||||
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|||||||||||||
Financial Derivative Instruments - Liabilities |
| |||||||||||||||||||||||
Exchange-traded or centrally cleared |
| |||||||||||||||||||||||
Swap Agreements |
$ | 0 | $ | 12 | $ | 0 | $ | 0 | $ | 315 | $ | 327 | ||||||||||||
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|||||||||||||
Over the counter |
| |||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 578 | $ | 0 | $ | 578 | ||||||||||||
Swap Agreements |
0 | 1,774 | 0 | 0 | 0 | 1,774 | ||||||||||||||||||
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|
|
|||||||||||||
$ | 0 | $ | 1,774 | $ | 0 | $ | 578 | $ | 0 | $ | 2,352 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 1,786 | $ | 0 | $ | 578 | $ | 315 | $ | 2,679 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
The effect of Financial Derivative Instruments on the Statements of Operations for the period ended June 30, 2018:
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 | $ | 257 | $ | 0 | $ | 0 | $ | 430 | $ | 687 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Over the counter |
||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 128 | $ | 0 | $ | 128 | ||||||||||||
Swap Agreements |
0 | 756 | 0 | 0 | (13 | ) | 743 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 756 | $ | 0 | $ | 128 | $ | (13 | ) | $ | 871 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 1,013 | $ | 0 | $ | 128 | $ | 417 | $ | 1,558 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative Instruments |
| |||||||||||||||||||||||
Exchange-traded or centrally cleared |
| |||||||||||||||||||||||
Swap Agreements |
$ | 0 | $ | (187 | ) | $ | 0 | $ | 0 | $ | (4,177 | ) | $ | (4,364 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Over the counter |
||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 633 | $ | 0 | $ | 633 | ||||||||||||
Swap Agreements |
0 | 1,429 | 0 | 0 | 0 | 1,429 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 1,429 | $ | 0 | $ | 633 | $ | 0 | $ | 2,062 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 1,242 | $ | 0 | $ | 633 | $ | (4,177 | ) | $ | (2,302 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
60 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
June 30, 2018
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of June 30, 2018 in valuing the Funds assets and liabilities:
There were assets and liabilities valued at $12,737 transferred from Level 2 to Level 1 during the period ended June 30, 2018. There were no significant assets and liabilities transferred from Level 1 to Level 2 during the period ended June 30, 2018.
The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended June 30, 2018:
Category and Subcategory | Beginning Balance at 06/30/2017 |
Net Purchases |
Net Sales |
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 06/30/2018 |
Net Change in Unrealized Appreciation/ (Depreciation) on Investments Held at 06/30/2018(1) |
||||||||||||||||||||||||||||||
Investments in Securities, at Value |
| |||||||||||||||||||||||||||||||||||||||
Loan Participations and Assignments |
$ | 436 | $ | 25 | $ | (40 | ) | $ | 10 | $ | (189 | ) | $ | 147 | $ | 469 | $ | (389 | ) | $ | 469 | $ | 0 | |||||||||||||||||
Corporate Bonds & Notes |
| |||||||||||||||||||||||||||||||||||||||
Banking & Finance |
5,868 | 0 | 0 | 12 | 0 | (74 | ) | 0 | 0 | 5,806 | (74 | ) | ||||||||||||||||||||||||||||
Industrials |
6,476 | 196 | (2,829 | ) | 0 | 29 | 144 | 621 | (3,826 | ) | 811 | (5 | ) | |||||||||||||||||||||||||||
Utilities |
44 | 1 | (63 | ) | 0 | (138 | ) | 156 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||||
Non-Agency Mortgage-Backed Securities |
1,437 | 0 | (200 | ) | 6 | 23 | (44 | ) | 0 | 0 | 1,222 | (42 | ) | |||||||||||||||||||||||||||
Asset-Backed Securities |
8,243 | 619 | 0 | 222 | 0 | (56 | ) | 0 | (5,613 | ) | 3,415 | (703 | ) | |||||||||||||||||||||||||||
Common Stocks |
| |||||||||||||||||||||||||||||||||||||||
Energy |
0 | 159 | 0 | 0 | 0 | 1,550 | 0 | 0 | 1,709 | 1,550 | ||||||||||||||||||||||||||||||
Financials |
491 | 1,286 | 0 | 0 | 0 | 405 | 0 | 0 | 2,182 | 405 | ||||||||||||||||||||||||||||||
Industrials |
0 | 51 | 0 | 0 | 0 | 21 | 0 | 0 | 72 | 21 | ||||||||||||||||||||||||||||||
Utilities |
0 | 1,069 | 0 | 0 | 0 | 0 | 0 | 0 | 1,069 | 0 | ||||||||||||||||||||||||||||||
Warrants |
| |||||||||||||||||||||||||||||||||||||||
Industrials |
131 | 0 | 0 | 0 | 0 | (60 | ) | 0 | 0 | 71 | (60 | ) | ||||||||||||||||||||||||||||
Preferred Securities |
| |||||||||||||||||||||||||||||||||||||||
Industrials |
5,050 | 0 | 0 | 0 | 0 | (391 | ) | 0 | 0 | 4,659 | (391 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Totals |
$ | 28,176 | $ | 3,406 | $ | (3,132 | ) | $ | 250 | $ | (275 | ) | $ | 1,798 | $ | 1,090 | $ | (9,828 | ) | $ | 21,485 | $ | 701 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2018 | 61 |
Schedule of Investments PIMCO Income Opportunity Fund (Cont.)
June 30, 2018
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 06/30/2018 |
Valuation Technique |
Unobservable Inputs |
Input Value(s) (% Unless Noted Otherwise) |
||||||||
Investments in Securities, at Value |
| |||||||||||
Loan Participations and Assignments |
$ | 469 | Third Party Vendor |
Broker Quote |
102.000 | |||||||
Corporate Bonds & Notes |
||||||||||||
Banking & Finance |
3,011 | Reference Instrument |
OAS Spread |
525.729 bps | ||||||||
2,795 | Reference Instrument |
Spread Movement |
24.000 bps | |||||||||
Industrials |
190 | Reference Instrument |
Yield |
10.153 | ||||||||
621 | Third Party Vendor |
Broker Quote |
105.620-107.060 | |||||||||
Non-Agency Mortgage-Backed Securities |
629 | Proxy Pricing |
Base Price |
4.700-100.250 | ||||||||
593 | Third Party Vendor |
Broker Quote |
88.470 | |||||||||
Asset-Backed Securities |
3,415 | Proxy Pricing |
Base Price |
2.780-75,000.000 | ||||||||
Common Stocks |
||||||||||||
Energy |
1,709 | Other Valuation Techniques(2) |
|
| ||||||||
Financials |
2,182 | Discounted Cash Flow |
Discounted Rate |
$ 1.200 | ||||||||
Industrials |
72 |
Other Valuation Techniques(2) |
|
| ||||||||
Common Stocks |
||||||||||||
Utilities |
1,069 | Indicative Market Quotation |
Broker Quote |
$ 35.500 | ||||||||
Warrants |
||||||||||||
Industrials |
71 |
Other Valuation Techniques(2) |
|
| ||||||||
Preferred Securities |
||||||||||||
Industrials |
4,659 | Indicative Market Quotation |
Broker Quote |
$ 900.000 | ||||||||
|
|
|||||||||||
Total |
$ | 21,485 | ||||||||||
|
|
(1) | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at June 30, 2018 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. |
62 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
Schedule of Investments PIMCO Strategic Income Fund, Inc.
June 30, 2018
(Amounts in thousands*, except number of shares, contracts and units, if any)
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2018 | 63 |
Schedule of Investments PIMCO Strategic Income Fund, Inc. (Cont.)
64 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
June 30, 2018
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2018 | 65 |
Schedule of Investments PIMCO Strategic Income Fund, Inc. (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). |
∎ | All or a portion of this amount represent 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. |
× | Coupon represents a rate which changes periodically based on a predetermined schedule. Rate shown is the rate in effect as of period end. |
(a) | Interest only security. |
(b) | Principal only security. |
(c) | When-issued security. |
(d) | Security is not accruing income as of the date of this report. |
(e) | Security did not produce income within the last twelve months. |
(f) | Coupon represents a weighted average yield to maturity. |
(g) | Zero coupon security. |
(h) | Perpetual maturity; date shown, if applicable, represents next contractual call date. |
(i) | Contingent convertible security. |
(j) RESTRICTED SECURITIES:
Issuer Description | Acquisition Date |
Cost | Market Value |
Market Value as Percentage of Net Assets |
||||||||||||||||||
Forbes Energy Services Ltd. |
03/11/2014 | $ | 222 | $ | 41 | 0.01 | % | |||||||||||||||
Pinnacol Assurance 8.625% due 06/25/2034 |
06/23/2014 | 2,600 | 2,699 | 0.86 | ||||||||||||||||||
VICI Properties, Inc. |
03/06/2014 -11/06/2017 | 667 | 913 | 0.29 | ||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||
$ | 3,489 | $ | 3,653 | 1.16 | % | |||||||||||||||||
|
|
|
|
|
|
66 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
June 30, 2018
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 | 1.500 | % | 06/29/2018 | 07/02/2018 | $ | 1,992 | U.S. Treasury Notes 2.750% due 11/15/2023 | $ | (2,037 | ) | $ | 1,992 | $ | 1,992 | ||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
Total Repurchase Agreements |
|
$ | (2,037 | ) | $ | 1,992 | $ | 1,992 | ||||||||||||||||||||||
|
|
|
|
|
|
REVERSE REPURCHASE AGREEMENTS:
Counterparty | Borrowing Rate(2) |
Settlement Date |
Maturity Date |
Amount Borrowed(2) |
Payable for Reverse Repurchase Agreements |
|||||||||||||||
BPS |
2.150 | % | 05/24/2018 | 07/24/2018 | $ | (3,991 | ) | $ | (4,000 | ) | ||||||||||
2.280 | 06/07/2018 | 07/09/2018 | (181 | ) | (181 | ) | ||||||||||||||
2.300 | 06/07/2018 | 07/09/2018 | (3,037 | ) | (3,042 | ) | ||||||||||||||
2.300 | 06/13/2018 | 09/12/2018 | (15,318 | ) | (15,336 | ) | ||||||||||||||
2.310 | 06/15/2018 | 07/16/2018 | (8,497 | ) | (8,506 | ) | ||||||||||||||
2.320 | 06/12/2018 | 09/12/2018 | (3,368 | ) | (3,372 | ) | ||||||||||||||
2.350 | 06/11/2018 | 07/09/2018 | (4,665 | ) | (4,672 | ) | ||||||||||||||
2.450 | 05/14/2018 | 08/14/2018 | (5,413 | ) | (5,431 | ) | ||||||||||||||
2.450 | 05/15/2018 | 08/15/2018 | (2,391 | ) | (2,399 | ) | ||||||||||||||
2.450 | 06/01/2018 | 09/04/2018 | (3,021 | ) | (3,028 | ) | ||||||||||||||
2.590 | 06/07/2018 | 07/09/2018 | (1,749 | ) | (1,752 | ) | ||||||||||||||
2.600 | 06/08/2018 | 09/10/2018 | (3,408 | ) | (3,414 | ) | ||||||||||||||
2.620 | 06/07/2018 | 07/09/2018 | (1,611 | ) | (1,614 | ) | ||||||||||||||
2.880 | 05/17/2018 | 08/17/2018 | (2,971 | ) | (2,982 | ) | ||||||||||||||
2.880 | 06/04/2018 | 09/04/2018 | (1,030 | ) | (1,032 | ) | ||||||||||||||
2.890 | 05/14/2018 | 08/14/2018 | (4,276 | ) | (4,293 | ) | ||||||||||||||
3.010 | 05/14/2018 | 08/14/2018 | (9,024 | ) | (9,060 | ) | ||||||||||||||
3.107 | 06/13/2018 | 07/13/2018 | (9,547 | ) | (9,563 | ) | ||||||||||||||
3.443 | 05/15/2018 | 08/15/2018 | (19,425 | ) | (19,512 | ) | ||||||||||||||
|
|
|||||||||||||||||||
Total Reverse Repurchase Agreements |
|
$ | (103,189 | ) | ||||||||||||||||
|
|
SALE-BUYBACK TRANSACTIONS:
Counterparty | Borrowing Rate(2) |
Borrowing Date |
Maturity Date |
Amount Borrowed(2) |
Payable for Sale-Buyback Transactions(3) |
|||||||||||||||
BPG |
2.050 | % | 05/30/2018 | 07/05/2018 | $ | (14,440 | ) | $ | (14,467 | ) | ||||||||||
2.080 | 06/05/2018 | 07/05/2018 | (33,463 | ) | (33,515 | ) | ||||||||||||||
|
|
|||||||||||||||||||
Total Sale-Buyback Transactions |
|
$ | (47,982 | ) | ||||||||||||||||
|
|
MORTGAGE DOLLAR ROLLS:
Counterparty | Borrowing Rate(2) |
Borrowing Date |
Maturity Date |
Amount Received |
Amount Borrowed(2) |
|||||||||||||||
BOS |
1.165 | % | 07/12/2018 | 08/12/2018 | $ | 3,852 | $ | (3,852 | ) | |||||||||||
FOB |
1.009 | 07/12/2018 | 08/12/2018 | 130,430 | (130,430 | ) | ||||||||||||||
1.318 | 07/12/2018 | 08/12/2018 | 119,046 | (119,046 | ) | |||||||||||||||
1.362 | 07/12/2018 | 08/12/2018 | 14,842 | (14,842 | ) | |||||||||||||||
1.604 | 07/12/2018 | 08/12/2018 | 15,242 | (15,242 | ) | |||||||||||||||
1.670 | 07/12/2018 | 08/12/2018 | 187,115 | (187,115 | ) | |||||||||||||||
GSC |
1.340 | 07/12/2018 | 08/12/2018 | 11,894 | (11,894 | ) | ||||||||||||||
1.362 | 07/12/2018 | 08/12/2018 | 15,841 | (15,841 | ) | |||||||||||||||
MSC |
1.384 | 07/12/2018 | 08/12/2018 | 9,878 | (9,878 | ) | ||||||||||||||
1.626 | 07/12/2018 | 08/12/2018 | 3,042 | (3,042 | ) | |||||||||||||||
RDR |
1.626 | 07/12/2018 | 08/12/2018 | 41,623 | (41,623 | ) | ||||||||||||||
|
|
|
|
|||||||||||||||||
Total Mortgage Dollar Rolls |
|
$ | 552,805 | $ | (552,805 | ) | ||||||||||||||
|
|
|
|
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2018 | 67 |
Schedule of Investments PIMCO Strategic Income Fund, Inc. (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 June 30, 2018:
Counterparty | Repurchase Agreement Proceeds to be Received(1) |
Payable for Reverse Repurchase Agreements |
Payable for Sale-Buyback Transactions(3) |
Receivable for Dollar Rolls |
Payable for Dollar Rolls |
Total Borrowings and Other Financing Transactions |
Collateral (Received)/Pledged |
Net Exposure(4) | ||||||||||||||||||||||||
Global/Master Repurchase Agreement |
| |||||||||||||||||||||||||||||||
BPS |
$ | 0 | $ | (103,189 | ) | $ | 0 | $ | 0 | $ | 0 | $ | (103,189 | ) | $ | 117,639 | $ | 14,450 | ||||||||||||||
FICC |
1,992 | 0 | 0 | 0 | 0 | 1,992 | (2,037 | ) | (45 | ) | ||||||||||||||||||||||
Master Securities Forward Transaction Agreement |
| |||||||||||||||||||||||||||||||
BOS |
0 | 0 | 0 | 3,852 | (3,852 | ) | 0 | 0 | 0 | |||||||||||||||||||||||
BPG |
0 | 0 | (47,982 | ) | 0 | 0 | (47,982 | ) | 47,867 | (115 | ) | |||||||||||||||||||||
BPS |
0 | 0 | 0 | 0 | 0 | 0 | (260 | ) | (260 | ) | ||||||||||||||||||||||
FOB |
0 | 0 | 0 | 466,675 | (466,675 | ) | 0 | 0 | 0 | |||||||||||||||||||||||
GSC |
0 | 0 | 0 | 27,735 | (27,735 | ) | 0 | 0 | 0 | |||||||||||||||||||||||
MSC |
0 | 0 | 0 | 12,920 | (12,920 | ) | 0 | 0 | 0 | |||||||||||||||||||||||
RDR |
0 | 0 | 0 | 41,623 | (41,623 | ) | 0 | 0 | 0 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 1,992 | $ | (103,189 | ) | $ | (47,982 | ) | $ | 552,805 | $ | (552,805 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
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 | $ | (11,080 | ) | $ | (22,836 | ) | $ | 0 | $ | (33,916 | ) | |||||||
U.S. Government Agencies |
0 | (12,687 | ) | (27,511 | ) | 0 | (40,198 | ) | ||||||||||||
Non-Agency Mortgage-Backed Securities |
0 | 0 | (4,092 | ) | 0 | (4,092 | ) | |||||||||||||
Asset-Backed Securities |
0 | (9,563 | ) | (15,420 | ) | 0 | (24,983 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total |
$ | 0 | $ | (33,330 | ) | $ | (69,859 | ) | $ | 0 | $ | (103,189 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Sale-Buyback Transactions |
||||||||||||||||||||
U.S. Treasury Obligations |
0 | (47,982 | ) | 0 | 0 | (47,982 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total |
$ | 0 | $ | (47,982 | ) | $ | 0 | $ | 0 | $ | (47,982 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total Borrowings |
$ | 0 | $ | (81,312 | ) | $ | (69,859 | ) | $ | 0 | $ | (151,171 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Payable for reverse repurchase agreements and sale-buyback financing transactions |
|
$ | (151,171 | ) | ||||||||||||||||
|
|
(l) | Securities with an aggregate market value of $165,106 and cash of $400 have been pledged as collateral under the terms of the above master agreements as of June 30, 2018. |
(1) | Includes accrued interest. |
(2) | The average amount of borrowings outstanding during the period ended June 30, 2018 was $(856,335) at a weighted average interest rate of 1.770%. Average borrowings may include sale-buyback transactions, mortgage dollar rolls and reverse repurchase agreements, if held during the period. |
(3) | Payable for sale-buyback transactions includes $(8) of deferred price drop. |
(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 regarding master netting arrangements. |
(m) FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED
FUTURES CONTRACTS:
LONG FUTURES CONTRACTS
Expiration Month |
# of Contracts |
Notional Amount |
Unrealized Appreciation/ (Depreciation) |
Variation Margin | ||||||||||||||||||||||||
Description | Asset | Liability | ||||||||||||||||||||||||||
90-Day Eurodollar June Futures |
06/2019 | 212 | $ | 51,487 | $ | (498 | ) | $ | 0 | $ | 0 | |||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||
Total Futures Contracts |
|
$ | (498 | ) | $ | 0 | $ | 0 | ||||||||||||||||||||
|
|
|
|
|
|
68 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
June 30, 2018
SWAP AGREEMENTS:
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 |
1-Year BRL-CDI |
15.590 | % | Maturity | 01/04/2021 | BRL | 7,200 | $ | 1,236 | $ | (895 | ) | $ | 341 | $ | 2 | $ | 0 | ||||||||||||||||||||||||
Pay |
3-Month CAD Bank Bill |
3.300 | Semi-Annual | 06/19/2024 | CAD | 11,200 | 624 | (226 | ) | 398 | 0 | (53 | ) | |||||||||||||||||||||||||||||
Receive |
3-Month CAD Bank Bill |
3.500 | Semi-Annual | 06/20/2044 | 3,800 | (534 | ) | 45 | (489 | ) | 38 | 0 | ||||||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
2.000 | Semi-Annual | 06/20/2025 | $ | 34,400 | 1,632 | 378 | 2,010 | 28 | 0 | |||||||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
2.250 | Semi-Annual | 06/20/2028 | 23,600 | 589 | 885 | 1,474 | 25 | 0 | ||||||||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
2.250 | Semi-Annual | 06/20/2028 | 100,300 | 3,585 | 2,390 | 5,975 | 83 | 0 | ||||||||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
2.500 | Semi-Annual | 06/20/2048 | 87,000 | 3,543 | 5,096 | 8,639 | 140 | 0 | ||||||||||||||||||||||||||||||||
Receive(1) |
6-Month EUR-EURIBOR |
1.250 | Annual | 09/19/2028 | EUR | 2,300 | (32 | ) | (53 | ) | (85 | ) | 0 | (3 | ) | |||||||||||||||||||||||||||
Receive(1) |
6-Month EUR-EURIBOR |
1.250 | Annual | 12/19/2028 | 600 | (10 | ) | (8 | ) | (18 | ) | 0 | (1 | ) | ||||||||||||||||||||||||||||
Receive(1) |
6-Month GBP-LIBOR |
1.500 | Semi-Annual | 09/19/2028 | GBP | 1,500 | 35 | (26 | ) | 9 | 2 | 0 | ||||||||||||||||||||||||||||||
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$ | 10,668 | $ | 7,586 | $ | 18,254 | $ | 318 | $ | (57 | ) | ||||||||||||||||||||||||||||||||
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Total Swap Agreements |
|
$ | 10,668 | $ | 7,586 | $ | 18,254 | $ | 318 | $ | (57 | ) | ||||||||||||||||||||||||||||||
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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 June 30, 2018:
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 | $ | 318 | $ | 318 | $ | 0 | $ | 0 | $ | (57 | ) | $ | (57 | ) | ||||||||||||||||||
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Cash of $12,311 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of June 30, 2018. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information regarding master netting arrangements.
(1) | 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 |
07/2018 | BRL | 1,447 | $ | 375 | $ | 2 | $ | 0 | |||||||||||||||
07/2018 | $ | 383 | BRL | 1,447 | 0 | (9 | ) | |||||||||||||||||
08/2018 | BRL | 1,447 | $ | 382 | 10 | 0 | ||||||||||||||||||
BPS |
07/2018 | ARS | 32,653 | 1,192 | 69 | (1 | ) | |||||||||||||||||
07/2018 | EUR | 13,010 | 15,090 | 0 | (103 | ) | ||||||||||||||||||
07/2018 | PEN | 1,700 | 520 | 3 | 0 | |||||||||||||||||||
07/2018 | $ | 687 | ARS | 18,776 | 0 | (39 | ) | |||||||||||||||||
07/2018 | 519 | PEN | 1,700 | 0 | (2 | ) | ||||||||||||||||||
09/2018 | PEN | 1,700 | $ | 518 | 2 | 0 | ||||||||||||||||||
BRC |
09/2018 | ARS | 54,068 | 1,946 | 229 | 0 | ||||||||||||||||||
CBK |
07/2018 | 671 | 31 | 8 | 0 | |||||||||||||||||||
07/2018 | GBP | 16,109 | 21,343 | 83 | 0 | |||||||||||||||||||
07/2018 | $ | 23 | ARS | 671 | 0 | 0 | ||||||||||||||||||
07/2018 | 475 | GBP | 358 | 0 | (2 | ) | ||||||||||||||||||
07/2018 | 80 | RUB | 5,043 | 0 | 0 | |||||||||||||||||||
DUB |
07/2018 | ARS | 11,707 | $ | 420 | 15 | 0 | |||||||||||||||||
07/2018 | $ | 404 | ARS | 11,707 | 1 | 0 | ||||||||||||||||||
GLM |
07/2018 | GBP | 292 | $ | 393 | 8 | 0 | |||||||||||||||||
07/2018 | $ | 252 | EUR | 217 | 1 | 0 | ||||||||||||||||||
07/2018 | 202 | RUB | 12,584 | 0 | (1 | ) | ||||||||||||||||||
08/2018 | 245 | EUR | 210 | 1 | 0 | |||||||||||||||||||
HUS |
07/2018 | RUB | 17,627 | $ | 280 | 0 | (1 | ) | ||||||||||||||||
08/2018 | $ | 2,995 | RUB | 187,426 | 1 | (28 | ) | |||||||||||||||||
JPM |
07/2018 | ARS | 602 | $ | 28 | 7 | 0 | |||||||||||||||||
07/2018 | CAD | 88 | 68 | 1 | 0 | |||||||||||||||||||
07/2018 | $ | 21 | ARS | 602 | 0 | 0 |
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2018 | 69 |
Schedule of Investments PIMCO Strategic Income Fund, Inc. (Cont.)
Counterparty | Settlement Month |
Currency to be Delivered |
Currency to be Received |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||
RBC |
07/2018 | GBP | 1,055 | $ | 1,389 | $ | 0 | $ | (4 | ) | ||||||||||||||
SCX |
07/2018 | BRL | 1,447 | 396 | 23 | 0 | ||||||||||||||||||
07/2018 | $ | 375 | BRL | 1,447 | 0 | (2 | ) | |||||||||||||||||
SSB |
07/2018 | GBP | 2,226 | $ | 2,983 | 45 | 0 | |||||||||||||||||
07/2018 | $ | 14,892 | EUR | 12,793 | 47 | 0 | ||||||||||||||||||
08/2018 | EUR | 12,793 | $ | 14,926 | 0 | (47 | ) | |||||||||||||||||
UAG |
07/2018 | $ | 25,551 | GBP | 19,324 | 0 | (48 | ) | ||||||||||||||||
08/2018 | GBP | 19,324 | $ | 25,588 | 50 | 0 | ||||||||||||||||||
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Total Forward Foreign Currency Contracts |
|
$ | 606 | $ | (287 | ) | ||||||||||||||||||
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PURCHASED OPTIONS:
OPTIONS ON SECURITIES
Counterparty | Description | Strike Price |
Expiration Date |
Notional Amount |
Cost | Market Value |
||||||||||||||||
DUB | Put - OTC Fannie Mae, TBA 3.000% due 08/01/2048 |
$ | 66.000 | 08/06/2018 | $ 16,000 | $ | 1 | $ | 0 | |||||||||||||
Put - OTC Fannie Mae, TBA 3.500% due 08/01/2048 |
69.000 | 08/06/2018 | 38,000 | 2 | 0 | |||||||||||||||||
Put - OTC Fannie Mae, TBA 4.000% due 09/01/2048 |
71.500 | 08/06/2018 | 300,000 | 12 | 0 | |||||||||||||||||
FAR | Put - OTC Fannie Mae, TBA 3.000% due 08/01/2048 |
68.000 | 08/06/2018 | 162,000 | 6 | 0 | ||||||||||||||||
Put - OTC Fannie Mae, TBA 3.500% due 08/01/2048 |
73.000 | 08/06/2018 | 185,000 | 7 | 0 | |||||||||||||||||
JPM | Put - OTC Fannie Mae, TBA 3.000% due 07/01/2048 |
67.000 | 07/05/2018 | 15,000 | 1 | 0 | ||||||||||||||||
Put - OTC Fannie Mae, TBA 3.500% due 07/01/2048 |
69.000 | 07/05/2018 | 11,000 | 0 | 0 | |||||||||||||||||
Put - OTC Fannie Mae, TBA 4.000% due 07/01/2048 |
71.000 | 07/05/2018 | 26,000 | 1 | 0 | |||||||||||||||||
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$ | 30 | $ | 0 | |||||||||||||||||||
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Total Purchased Options |
$ | 30 | $ | 0 | ||||||||||||||||||
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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 June 30, 2018(2) |
Notional Amount(3) |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Swap Agreements, at Value |
|||||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||||||
BOA | Indonesia Government International Bond |
1.000 | % | Quarterly | 06/20/2019 | 0.282 | % | $ | 100 | $ | (3 | ) | $ | 4 | $ | 1 | $ | 0 | ||||||||||||||||||||
BPS | Petrobras Global Finance BV |
1.000 | Quarterly | 12/20/2019 | 1.852 | 3,100 | (306 | ) | 269 | 0 | (37 | ) | ||||||||||||||||||||||||||
DUB | Indonesia Government International Bond |
1.000 | Quarterly | 06/20/2019 | 0.282 | 300 | (11 | ) | 13 | 2 | 0 | |||||||||||||||||||||||||||
GST | Petrobras Global Finance BV |
1.000 | Quarterly | 09/20/2020 | 2.175 | 10 | (1 | ) | 1 | 0 | 0 | |||||||||||||||||||||||||||
HUS | Petrobras Global Finance BV |
1.000 | Quarterly | 12/20/2019 | 1.852 | 3,400 | (338 | ) | 297 | 0 | (41 | ) | ||||||||||||||||||||||||||
JPM | Indonesia Government International Bond |
1.000 | Quarterly | 06/20/2019 | 0.282 | 800 | (27 | ) | 33 | 6 | 0 | |||||||||||||||||||||||||||
Russia Government International Bond |
1.000 | Quarterly | 12/20/2020 | 0.993 | 200 | (23 | ) | 23 | 0 | 0 | ||||||||||||||||||||||||||||
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|||||||||||||||||||||||||||||||
$ | (709 | ) | $ | 640 | $ | 9 | $ | (78 | ) | |||||||||||||||||||||||||||||
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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 | |||||||||||||||||||||||||||||||||
DUB | CMBX.NA.BBB-.6 Index |
3.000 | % | Monthly | 05/11/2063 | $ | 1,100 | $ | (67 | ) | $ | (46 | ) | $ | 0 | $ | (113 | ) | ||||||||||||||||
CMBX.NA.BBB-.8 Index |
3.000 | Monthly | 10/17/2057 | 1,400 | (161 | ) | (5 | ) | 0 | (166 | ) | |||||||||||||||||||||||
CMBX.NA.BBB-.9 Index |
3.000 | Monthly | 09/17/2058 | 900 | (113 | ) | 20 | 0 | (93 | ) | ||||||||||||||||||||||||
FBF | CMBX.NA.BBB-.6 Index |
3.000 | Monthly | 05/11/2063 | 100 | (12 | ) | 2 | 0 | (10 | ) | |||||||||||||||||||||||
CMBX.NA.BBB-.7 Index |
3.000 | Monthly | 01/17/2047 | 100 | (10 | ) | 3 | 0 | (7 | ) | ||||||||||||||||||||||||
CMBX.NA.BBB-.8 Index |
3.000 | Monthly | 10/17/2057 | 400 | (63 | ) | 15 | 0 | (48 | ) | ||||||||||||||||||||||||
GST | CMBX.NA.A.6 Index |
2.000 | Monthly | 05/11/2063 | 1,400 | (71 | ) | 64 | 0 | (7 | ) | |||||||||||||||||||||||
CMBX.NA.BB.6 Index |
5.000 | Monthly | 05/11/2063 | 1,000 | (135 | ) | (56 | ) | 0 | (191 | ) | |||||||||||||||||||||||
CMBX.NA.BBB-.6 Index |
3.000 | Monthly | 05/11/2063 | 2,200 | (121 | ) | (106 | ) | 0 | (227 | ) | |||||||||||||||||||||||
CMBX.NA.BBB-.7 Index |
3.000 | Monthly | 01/17/2047 | 400 | (20 | ) | (8 | ) | 0 | (28 | ) | |||||||||||||||||||||||
CMBX.NA.BBB-.9 Index |
3.000 | Monthly | 09/17/2058 | 2,200 | (274 | ) | 48 | 0 | (226 | ) | ||||||||||||||||||||||||
MYC | CMBX.NA.BBB-.10 Index |
3.000 | Monthly | 11/17/2059 | 2,750 | (293 | ) | 46 | 0 | (247 | ) | |||||||||||||||||||||||
CMBX.NA.BBB-.6 Index |
3.000 | Monthly | 05/11/2063 | 550 | (29 | ) | (28 | ) | 0 | (57 | ) | |||||||||||||||||||||||
CMBX.NA.BBB-.7 Index |
3.000 | Monthly | 01/17/2047 | 700 | (31 | ) | (18 | ) | 0 | (49 | ) |
70 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
June 30, 2018
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 | |||||||||||||||||||||||||||||||
CMBX.NA.BBB-.8 Index |
3.000 | % | Monthly | 10/17/2057 | $ | 400 | $ | (46 | ) | $ | (2 | ) | $ | 0 | $ | (48 | ) | |||||||||||||||
CMBX.NA.BBB-.9 Index |
3.000 | Monthly | 09/17/2058 | 1,100 | (136 | ) | 23 | 0 | (113 | ) | ||||||||||||||||||||||
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$ | (1,582 | ) | $ | (48 | ) | $ | 0 | $ | (1,630 | ) | ||||||||||||||||||||||
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Total Swap Agreements |
$ | (2,291 | ) | $ | 592 | $ | 9 | $ | (1,708 | ) | ||||||||||||||||||||||
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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 June 30, 2018:
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) |
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BOA |
$ | 12 | $ | 0 | $ | 1 | $ | 13 | $ | (9 | ) | $ | 0 | $ | 0 | $ | (9 | ) | $ | 4 | $ | 0 | $ | 4 | ||||||||||||||||||||||||
BPS |
74 | 0 | 0 | 74 | (145 | ) | 0 | (37 | ) | (182 | ) | (108 | ) | 0 | (108 | ) | ||||||||||||||||||||||||||||||||
BRC |
229 | 0 | 0 | 229 | 0 | 0 | 0 | 0 | 229 | 0 | 229 | |||||||||||||||||||||||||||||||||||||
CBK |
91 | 0 | 0 | 91 | (2 | ) | 0 | 0 | (2 | ) | 89 | (260 | ) | (171 | ) | |||||||||||||||||||||||||||||||||
DUB |
16 | 0 | 2 | 18 | 0 | 0 | (372 | ) | (372 | ) | (354 | ) | 451 | 97 | ||||||||||||||||||||||||||||||||||
FBF |
0 | 0 | 0 | 0 | 0 | 0 | (65 | ) | (65 | ) | (65 | ) | 0 | (65 | ) | |||||||||||||||||||||||||||||||||
GLM |
10 | 0 | 0 | 10 | (1 | ) | 0 | 0 | (1 | ) | 9 | 0 | 9 | |||||||||||||||||||||||||||||||||||
GST |
0 | 0 | 0 | 0 | 0 | 0 | (679 | ) | (679 | ) | (679 | ) | 866 | 187 | ||||||||||||||||||||||||||||||||||
HUS |
1 | 0 | 0 | 1 | (29 | ) | 0 | (41 | ) | (70 | ) | (69 | ) | 0 | (69 | ) | ||||||||||||||||||||||||||||||||
JPM |
8 | 0 | 6 | 14 | 0 | 0 | 0 | 0 | 14 | (10 | ) | 4 | ||||||||||||||||||||||||||||||||||||
MYC |
0 | 0 | 0 | 0 | 0 | 0 | (514 | ) | (514 | ) | (514 | ) | 556 | 42 | ||||||||||||||||||||||||||||||||||
RBC |
0 | 0 | 0 | 0 | (4 | ) | 0 | 0 | (4 | ) | (4 | ) | 0 | (4 | ) | |||||||||||||||||||||||||||||||||
SCX |
23 | 0 | 0 | 23 | (2 | ) | 0 | 0 | (2 | ) | 21 | (20 | ) | 1 | ||||||||||||||||||||||||||||||||||
SSB |
92 | 0 | 0 | 92 | (47 | ) | 0 | 0 | (47 | ) | 45 | 0 | 45 | |||||||||||||||||||||||||||||||||||
UAG |
50 | 0 | 0 | 50 | (48 | ) | 0 | 0 | (48 | ) | 2 | 0 | 2 | |||||||||||||||||||||||||||||||||||
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Total Over the Counter |
$ | 606 | $ | 0 | $ | 9 | $ | 615 | $ | (287 | ) | $ | 0 | $ | (1,708 | ) | $ | (1,995 | ) | |||||||||||||||||||||||||||||
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(o) | Securities with an aggregate market value of $1,962 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of June 30, 2018. |
(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 entitys 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 on credit indices serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced indices credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(5) | 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 regarding master netting arrangements. |
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2018 | 71 |
Schedule of Investments PIMCO Strategic Income Fund, Inc. (Cont.)
FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS
The following is a summary of the fair valuation of the Funds 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 June 30, 2018:
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 | $ | 0 | $ | 0 | $ | 0 | $ | 318 | $ | 318 | ||||||||||||
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Over the counter |
| |||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 606 | $ | 0 | $ | 606 | ||||||||||||
Swap Agreements |
0 | 9 | 0 | 0 | 0 | 9 | ||||||||||||||||||
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$ | 0 | $ | 9 | $ | 0 | $ | 606 | $ | 0 | $ | 615 | |||||||||||||
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$ | 0 | $ | 9 | $ | 0 | $ | 606 | $ | 318 | $ | 933 | |||||||||||||
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Financial Derivative Instruments - Liabilities |
| |||||||||||||||||||||||
Exchange-traded or centrally cleared |
| |||||||||||||||||||||||
Swap Agreements |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 57 | $ | 57 | ||||||||||||
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|||||||||||||
Over the counter |
| |||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 287 | $ | 0 | $ | 287 | ||||||||||||
Swap Agreements |
0 | 1,708 | 0 | 0 | 0 | 1,708 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 1,708 | $ | 0 | $ | 287 | $ | 0 | $ | 1,995 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 1,708 | $ | 0 | $ | 287 | $ | 57 | $ | 2,052 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
The effect of Financial Derivative Instruments on the Statements of Operations for the period ended June 30, 2018:
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 |
| |||||||||||||||||||||||
Futures |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | (41 | ) | $ | (41 | ) | ||||||||||
Swap Agreements |
0 | 0 | 0 | 0 | 12,271 | 12,271 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 12,230 | $ | 12,230 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Over the counter |
| |||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 614 | $ | 0 | $ | 614 | ||||||||||||
Purchased Options |
0 | 0 | 0 | 0 | (148 | ) | (148 | ) | ||||||||||||||||
Swap Agreements |
0 | 599 | 0 | 0 | 0 | 599 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 599 | $ | 0 | $ | 614 | $ | (148 | ) | $ | 1,065 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 599 | $ | 0 | $ | 614 | $ | 12,082 | $ | 13,295 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative Instruments |
| |||||||||||||||||||||||
Exchange-traded or centrally cleared |
| |||||||||||||||||||||||
Futures |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | (474 | ) | $ | (474 | ) | ||||||||||
Swap Agreements |
0 | 0 | 0 | 0 | (330 | ) | (330 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | (804 | ) | $ | (804 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Over the counter |
| |||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 554 | $ | 0 | $ | 554 | ||||||||||||
Purchased Options |
0 | 0 | 0 | 0 | (15 | ) | (15 | ) | ||||||||||||||||
Swap Agreements |
0 | 312 | 0 | 0 | 0 | 312 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 312 | $ | 0 | $ | 554 | $ | (15 | ) | $ | 851 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 312 | $ | 0 | $ | 554 | $ | (819 | ) | $ | 47 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
72 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
June 30, 2018
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of June 30, 2018 in valuing the Funds assets and liabilities:
There were no significant transfers among Levels 1 and 2 during the period ended June 30, 2018.
The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended June 30, 2018:
Category and Subcategory | Beginning Balance at 06/30/2017 |
Net Purchases |
Net Sales |
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 06/30/2018 |
Net Change in Unrealized Appreciation/ (Depreciation) on Investments Held at 06/30/2018(1) |
||||||||||||||||||||||||||||||
Investments in Securities, at Value |
| |||||||||||||||||||||||||||||||||||||||
Loan Participations and Assignments |
$ | 55 | $ | 4 | $ | 0 | $ | 2 | $ | 0 | $ | (2 | ) | $ | 1,377 | $ | (59 | ) | $ | 1,377 | $ | 0 | ||||||||||||||||||
Corporate Bonds & Notes |
| |||||||||||||||||||||||||||||||||||||||
Banking & Finance |
5,153 | 0 | 0 | 11 | 0 | (69 | ) | 0 | 0 | 5,095 | (69 | ) | ||||||||||||||||||||||||||||
Industrials |
6,989 | 196 | (3,738 | ) | 0 | 38 | 135 | 0 | (3,430 | ) | 190 | (5 | ) | |||||||||||||||||||||||||||
Asset-Backed Securities |
4,784 | 0 | 0 | 183 | 0 | 646 | 0 | (5,613 | ) | 0 | 0 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Totals |
$ | 16,981 | $ | 200 | $ | (3,738 | ) | $ | 196 | $ | 38 | $ | 710 | $ | 1,377 | $ | (9,102 | ) | $ | 6,662 | $ | (74 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 06/30/2018 |
Valuation Technique |
Unobservable Inputs |
Input Value(s) (% Unless Noted Otherwise) |
||||||||
Investments in Securities, at Value |
| |||||||||||
Loan Participations and Assignments |
$ | 1,377 | Third Party Vendor | Broker Quote | 102.000 | |||||||
Corporate Bonds & Notes |
| |||||||||||
Banking & Finance |
2,699 | Reference Instrument | OAS Spread | 525.729 bps | ||||||||
2,396 | Reference Instrument | Spread Movement | 24.000 bps | |||||||||
Industrials |
190 | Reference Instrument | Yield | 10.153 | ||||||||
|
|
|||||||||||
Total |
$ | 6,662 | ||||||||||
|
|
(1) | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at June 30, 2018 may be due to an investment no longer held or categorized as Level 3 at period end. |
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2018 | 73 |
Consolidated Schedule of Investments PIMCO Dynamic Credit and Mortgage Income Fund
(Amounts in thousands*, except number of shares, contracts and units, if any)
74 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
June 30, 2018
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2018 | 75 |
Consolidated Schedule of Investments PIMCO Dynamic Credit and Mortgage Income Fund (Cont.)
76 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
June 30, 2018
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2018 | 77 |
Consolidated Schedule of Investments PIMCO Dynamic Credit and Mortgage Income Fund (Cont.)
78 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
June 30, 2018
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2018 | 79 |
Consolidated Schedule of Investments PIMCO Dynamic Credit and Mortgage Income Fund (Cont.)
NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:
* | A zero balance may reflect actual amounts rounding to less than one thousand. |
| All or a portion of this security is owned by PIMCO ClosedEnd - PCILS I LLC, which is a 100% owned subsidiary of the Fund. |
^ | Security is in default. |
« | Security valued using significant unobservable inputs (Level 3). |
∎ | All or a portion of this amount represent 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. |
× | Coupon represents a rate which changes periodically based on a predetermined schedule. 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) | Coupon represents a yield to maturity. |
(j) | Perpetual maturity; date shown, if applicable, represents next contractual call date. |
(k) | Contingent convertible security. |
(l) RESTRICTED SECURITIES:
Issuer Description | Acquisition Date |
Cost | Market Value |
Market Value as Percentage of Net Assets |
||||||||||||||||||
Dommo Energia S.A. |
12/21/2017 - 12/26/2017 | $ | 1,423 | $ | 14,904 | 0.46 | % | |||||||||||||||
Eneva S.A. |
12/21/2017 | 141 | 101 | 0.00 | ||||||||||||||||||
Forbes Energy Services Ltd. |
02/27/2013 - 03/11/2014 | 7,380 | 1,381 | 0.04 | ||||||||||||||||||
Pinnacol Assurance 8.625% due 06/25/2034 |
06/23/2014 | 23,200 | 24,085 | 0.74 | ||||||||||||||||||
Preylock Reitman Santa Cruz Mezz LLC 1.000% due 11/09/2022 |
04/09/2018 | 31,560 | 31,615 | 0.97 | ||||||||||||||||||
Sierra Hamilton Holder LLC |
07/31/2017 | 7,639 | 10,855 | 0.33 | ||||||||||||||||||
TIG FinCo PLC |
04/02/2015 | 3,931 | 4,199 | 0.13 | ||||||||||||||||||
VICI Properties, Inc. |
03/03/2014 - 11/06/2017 | 37,243 | 53,100 | 1.63 | ||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||
$ | 112,517 | $ | 140,240 | 4.30 | % | |||||||||||||||||
|
|
|
|
|
|
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(m) 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 | 1.500 | % | 06/29/2018 | 07/02/2018 | $ | 17,964 | U.S. Treasury Notes 2.125% due 08/15/2021 | $ | (18,328 | ) | $ | 17,964 | $ | 17,965 | ||||||||||||||||
NOM | 1.950 | 06/29/2018 | 07/02/2018 | 9,300 | U.S. Treasury Bonds 3.000% due 11/15/2044 | (9,470 | ) | 9,300 | 9,302 | |||||||||||||||||||||
RDR | 2.220 | 06/29/2018 | 07/02/2018 | 70,600 | U.S. Treasury Notes 2.125% - 2.625% due 07/31/2024 - 03/31/2025 | (72,148 | ) | 70,600 | 70,613 | |||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
Total Repurchase Agreements |
|
$ | (99,946 | ) | $ | 97,864 | $ | 97,880 | ||||||||||||||||||||||
|
|
|
|
|
|
REVERSE REPURCHASE AGREEMENTS:
Counterparty | Borrowing Rate(2) |
Settlement Date |
Maturity Date |
Amount Borrowed(2) |
Payable for Reverse Repurchase Agreements |
|||||||||||||||
BPS |
0.100 | % | 04/23/2018 | 07/23/2018 | $ | (3,817 | ) | $ | (4,458 | ) | ||||||||||
0.800 | 06/25/2018 | 07/25/2018 | (1,787 | ) | (2,359 | ) | ||||||||||||||
0.900 | 06/14/2018 | 07/16/2018 | (5,116 | ) | (6,755 | ) | ||||||||||||||
0.900 | 06/29/2018 | 07/30/2018 | (22,725 | ) | (29,994 | ) |
80 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
June 30, 2018
Counterparty | Borrowing Rate(2) |
Settlement Date |
Maturity Date |
Amount Borrowed(2) |
Payable for Reverse Repurchase Agreements |
|||||||||||||||
2.890 | % | 06/12/2018 | 09/12/2018 | $ | (7,588 | ) | $ | (7,600 | ) | |||||||||||
2.920 | 05/29/2018 | 08/29/2018 | (1,950 | ) | (1,955 | ) | ||||||||||||||
3.049 | 07/01/2017 | 07/05/2018 | (11,129 | ) | (11,129 | ) | ||||||||||||||
3.326 | 06/19/2018 | 09/19/2018 | (45,837 | ) | (45,892 | ) | ||||||||||||||
3.332 | 06/21/2018 | 09/21/2018 | (6,575 | ) | (6,582 | ) | ||||||||||||||
3.337 | 04/11/2018 | 07/11/2018 | (21,675 | ) | (21,840 | ) | ||||||||||||||
3.368 | 06/04/2018 | 09/04/2018 | (12,312 | ) | (12,344 | ) | ||||||||||||||
3.371 | 06/01/2018 | 09/04/2018 | (10,496 | ) | (10,527 | ) | ||||||||||||||
3.380 | 05/16/2018 | 08/16/2018 | (19,345 | ) | (19,430 | ) | ||||||||||||||
3.455 | 05/14/2018 | 08/14/2018 | (4,980 | ) | (5,003 | ) | ||||||||||||||
4.071 | 08/04/2017 | 07/05/2018 | (9,568 | ) | (9,837 | ) | ||||||||||||||
BRC |
(1.000 | ) | 06/07/2018 | 07/09/2018 | (12,426 | ) | (14,502 | ) | ||||||||||||
0.700 | 06/18/2018 | TBD | (3) | (13,879 | ) | (13,883 | ) | |||||||||||||
2.500 | 04/19/2018 | 07/19/2018 | (10,655 | ) | (10,710 | ) | ||||||||||||||
2.650 | 05/09/2018 | 08/09/2018 | (4,818 | ) | (4,837 | ) | ||||||||||||||
2.750 | 06/18/2018 | TBD | (3) | (2,784 | ) | (2,787 | ) | |||||||||||||
2.850 | 06/05/2018 | 09/05/2018 | (4,065 | ) | (4,074 | ) | ||||||||||||||
2.850 | 06/06/2018 | 08/16/2018 | (5,920 | ) | (5,932 | ) | ||||||||||||||
2.940 | 06/06/2018 | 07/11/2018 | (13,432 | ) | (13,461 | ) | ||||||||||||||
2.980 | 05/22/2018 | 08/22/2018 | (16,671 | ) | (16,728 | ) | ||||||||||||||
3.332 | 06/21/2018 | 09/21/2018 | (7,699 | ) | (7,707 | ) | ||||||||||||||
3.339 | 06/06/2018 | 07/11/2018 | (28,053 | ) | (28,121 | ) | ||||||||||||||
3.339 | 06/27/2018 | 07/11/2018 | (7,586 | ) | (7,590 | ) | ||||||||||||||
3.342 | 06/06/2018 | 07/13/2018 | (26,670 | ) | (26,734 | ) | ||||||||||||||
3.353 | 06/06/2018 | 07/16/2018 | (57,826 | ) | (57,966 | ) | ||||||||||||||
3.355 | 04/18/2018 | 07/18/2018 | (24,751 | ) | (24,924 | ) | ||||||||||||||
3.359 | 04/23/2018 | 07/23/2018 | (21,519 | ) | (21,660 | ) | ||||||||||||||
3.362 | 06/06/2018 | 07/26/2018 | (15,257 | ) | (15,294 | ) | ||||||||||||||
3.363 | 05/02/2018 | 08/02/2018 | (29,612 | ) | (29,781 | ) | ||||||||||||||
4.321 | 08/16/2017 | TBD | (3) | (14,167 | ) | (14,281 | ) | |||||||||||||
4.321 | 04/13/2018 | 07/05/2019 | (23,570 | ) | (23,796 | ) | ||||||||||||||
4.337 | 06/27/2017 | TBD | (3) | (22,619 | ) | (22,633 | ) | |||||||||||||
4.337 | 04/13/2018 | 06/27/2019 | (19,233 | ) | (19,245 | ) | ||||||||||||||
CFR |
(1.750 | ) | 03/13/2018 | TBD | (3) | (585 | ) | (680 | ) | |||||||||||
(1.500 | ) | 02/01/2018 | TBD | (3) | (553 | ) | (642 | ) | ||||||||||||
DBL |
0.650 | 04/16/2018 | 07/16/2018 | (541 | ) | (632 | ) | |||||||||||||
GLM |
0.450 | 05/11/2018 | 08/13/2018 | (16,979 | ) | (19,841 | ) | |||||||||||||
3.319 | 05/29/2018 | 08/29/2018 | (32,807 | ) | (32,910 | ) | ||||||||||||||
3.321 | 05/15/2018 | 08/15/2018 | (6,479 | ) | (6,508 | ) | ||||||||||||||
3.321 | 06/07/2018 | 09/07/2018 | (5,087 | ) | (5,099 | ) | ||||||||||||||
3.529 | 05/21/2018 | 08/21/2018 | (14,284 | ) | (14,343 | ) | ||||||||||||||
3.569 | 05/29/2018 | 08/29/2018 | (12,028 | ) | (12,069 | ) | ||||||||||||||
GSC |
3.085 | 06/18/2018 | 07/18/2018 | (48,490 | ) | (48,548 | ) | |||||||||||||
GST |
(2.250 | ) | 04/25/2018 | TBD | (3) | (1,813 | ) | (2,108 | ) | |||||||||||
(1.750 | ) | 05/04/2018 | TBD | (3) | (3,622 | ) | (4,217 | ) | ||||||||||||
JML |
0.272 | 04/26/2018 | 07/26/2018 | (1,889 | ) | (2,207 | ) | |||||||||||||
0.472 | 04/26/2018 | 07/26/2018 | (3,959 | ) | (4,628 | ) | ||||||||||||||
0.850 | 05/15/2018 | 08/15/2018 | (47,092 | ) | (62,220 | ) | ||||||||||||||
2.700 | 06/08/2018 | 07/09/2018 | (6,207 | ) | (6,218 | ) | ||||||||||||||
JPS |
3.462 | 04/25/2018 | 07/25/2018 | (27,543 | ) | (27,723 | ) | |||||||||||||
MSB |
3.054 | 07/13/2017 | 07/13/2018 | (6,386 | ) | (6,429 | ) | |||||||||||||
3.568 | 06/05/2018 | 06/05/2019 | (22,795 | ) | (22,856 | ) | ||||||||||||||
3.568 | 06/20/2018 | 06/05/2019 | (4,402 | ) | (4,403 | ) | ||||||||||||||
3.675 | 03/20/2018 | 03/20/2019 | (22,158 | ) | (22,184 | ) | ||||||||||||||
3.713 | 05/01/2018 | 05/01/2019 | (5,179 | ) | (5,212 | ) | ||||||||||||||
3.713 | 05/08/2018 | 05/08/2019 | (21,588 | ) | (21,710 | ) | ||||||||||||||
3.716 | 04/27/2018 | 04/26/2019 | (21,053 | ) | (21,196 | ) | ||||||||||||||
3.756 | 12/01/2017 | 12/03/2018 | (8,439 | ) | (8,463 | ) | ||||||||||||||
3.763 | 02/05/2018 | 02/05/2019 | (29,927 | ) | (30,075 | ) | ||||||||||||||
3.930 | 08/16/2017 | 08/16/2018 | (5,204 | ) | (5,226 | ) | ||||||||||||||
3.980 | 08/16/2017 | 08/16/2018 | (5,487 | ) | (5,510 | ) | ||||||||||||||
4.041 | 09/15/2017 | 09/17/2018 | (32,983 | ) | (33,030 | ) | ||||||||||||||
4.058 | 10/03/2017 | 10/03/2018 | (2,505 | ) | (2,524 | ) | ||||||||||||||
4.105 | 10/23/2017 | 10/23/2018 | (29,157 | ) | (29,334 | ) | ||||||||||||||
4.162 | 10/23/2017 | 10/23/2018 | (24,826 | ) | (24,976 | ) | ||||||||||||||
4.180 | 08/16/2017 | 08/16/2018 | (18,777 | ) | (18,855 | ) | ||||||||||||||
NOM |
2.550 | 06/22/2018 | 07/12/2018 | (569 | ) | (569 | ) | |||||||||||||
2.670 | 06/11/2018 | 07/06/2018 | (454 | ) | (455 | ) | ||||||||||||||
2.670 | 06/11/2018 | 07/25/2018 | (274 | ) | (274 | ) | ||||||||||||||
2.670 | 07/07/2018 | 07/09/2018 | (412 | ) | (412 | ) |
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2018 | 81 |
Consolidated Schedule of Investments PIMCO Dynamic Credit and Mortgage Income Fund (Cont.)
Counterparty | Borrowing Rate(2) |
Settlement Date |
Maturity Date |
Amount Borrowed(2) |
Payable for Reverse Repurchase Agreements |
|||||||||||||||
2.700 | % | 06/12/2018 | 07/12/2018 | $ | (11,172 | ) | $ | (11,189 | ) | |||||||||||
2.730 | 06/04/2018 | 08/06/2018 | (19,976 | ) | (20,018 | ) | ||||||||||||||
2.750 | 06/11/2018 | 07/09/2018 | (8,906 | ) | (8,920 | ) | ||||||||||||||
2.750 | 06/12/2018 | 07/12/2018 | (1,163 | ) | (1,165 | ) | ||||||||||||||
2.750 | 06/18/2018 | 07/02/2018 | (3,745 | ) | (3,749 | ) | ||||||||||||||
2.750 | 06/18/2018 | 07/18/2018 | (803 | ) | (804 | ) | ||||||||||||||
2.750 | 06/21/2018 | 07/18/2018 | (9,471 | ) | (9,479 | ) | ||||||||||||||
2.750 | 06/22/2018 | 07/18/2018 | (3,407 | ) | (3,410 | ) | ||||||||||||||
3.037 | 02/05/2018 | 08/06/2018 | (14,998 | ) | (15,034 | ) | ||||||||||||||
4.388 | 08/04/2017 | TBD | (3) | (25,721 | ) | (25,876 | ) | |||||||||||||
4.388 | 05/04/2018 | 08/05/2019 | (19,176 | ) | (19,314 | ) | ||||||||||||||
RBC |
3.200 | 01/18/2018 | 07/18/2018 | (480 | ) | (487 | ) | |||||||||||||
3.450 | 03/12/2018 | 09/12/2018 | (3,239 | ) | (3,274 | ) | ||||||||||||||
3.530 | 05/21/2018 | 08/21/2018 | (4,715 | ) | (4,734 | ) | ||||||||||||||
3.560 | 05/08/2018 | 08/08/2018 | (4,592 | ) | (4,617 | ) | ||||||||||||||
RCE |
1.050 | 06/04/2018 | 09/04/2018 | (9,019 | ) | (11,913 | ) | |||||||||||||
1.527 | 06/18/2018 | 09/18/2018 | (2,074 | ) | (2,738 | ) | ||||||||||||||
RCY |
2.930 | 06/12/2018 | 09/10/2018 | (429 | ) | (430 | ) | |||||||||||||
RTA |
2.487 | 01/29/2018 | 07/03/2018 | (5,524 | ) | (5,583 | ) | |||||||||||||
2.778 | 03/06/2018 | 09/06/2018 | (3,607 | ) | (3,640 | ) | ||||||||||||||
2.819 | 03/12/2018 | 09/12/2018 | (24,142 | ) | (24,354 | ) | ||||||||||||||
2.821 | 06/07/2018 | 09/07/2018 | (4,598 | ) | (4,607 | ) | ||||||||||||||
2.852 | 07/18/2017 | 07/17/2018 | (1,789 | ) | (1,839 | ) | ||||||||||||||
2.887 | 01/03/2018 | 07/03/2018 | (12,267 | ) | (12,444 | ) | ||||||||||||||
2.938 | 01/16/2018 | 07/16/2018 | (5,529 | ) | (5,604 | ) | ||||||||||||||
2.978 | 01/25/2018 | 07/25/2018 | (20,423 | ) | (20,690 | ) | ||||||||||||||
3.017 | 01/31/2018 | 07/31/2018 | (8,052 | ) | (8,155 | ) | ||||||||||||||
3.042 | 02/08/2018 | 08/08/2018 | (7,412 | ) | (7,502 | ) | ||||||||||||||
3.042 | 06/14/2018 | 08/06/2018 | (9,036 | ) | (9,050 | ) | ||||||||||||||
3.296 | 03/08/2018 | 09/07/2018 | (35,957 | ) | (36,339 | ) | ||||||||||||||
3.435 | 06/22/2018 | 09/24/2018 | (8,462 | ) | (8,470 | ) | ||||||||||||||
3.460 | 04/05/2018 | 10/05/2018 | (14,226 | ) | (14,346 | ) | ||||||||||||||
3.474 | 06/04/2018 | 12/04/2018 | (8,305 | ) | (8,327 | ) | ||||||||||||||
3.493 | 05/16/2018 | 11/16/2018 | (18,067 | ) | (18,149 | ) | ||||||||||||||
3.500 | 06/14/2018 | 12/14/2018 | (20,790 | ) | (20,826 | ) | ||||||||||||||
3.513 | 05/07/2018 | 11/07/2018 | (7,625 | ) | (7,667 | ) | ||||||||||||||
3.514 | 05/03/2018 | 11/02/2018 | (9,869 | ) | (9,927 | ) | ||||||||||||||
3.516 | 04/24/2018 | 10/24/2018 | (26,184 | ) | (26,360 | ) | ||||||||||||||
3.592 | 03/20/2018 | 09/20/2018 | (11,647 | ) | (11,768 | ) | ||||||||||||||
3.592 | 04/16/2018 | 09/20/2018 | (18,637 | ) | (18,780 | ) | ||||||||||||||
3.699 | 05/21/2018 | 11/21/2018 | (4,587 | ) | (4,607 | ) | ||||||||||||||
3.712 | 05/01/2018 | 11/01/2018 | (15,377 | ) | (15,475 | ) | ||||||||||||||
3.714 | 05/03/2018 | 11/02/2018 | (4,890 | ) | (4,920 | ) | ||||||||||||||
4.059 | 10/31/2017 | TBD | (3) | (3,884 | ) | (3,905 | ) | |||||||||||||
SBI |
3.076 | 01/22/2018 | 07/23/2018 | (60,985 | ) | (61,824 | ) | |||||||||||||
3.126 | 02/09/2018 | 08/09/2018 | (26,838 | ) | (27,171 | ) | ||||||||||||||
3.387 | 04/11/2018 | 10/11/2018 | (33,913 | ) | (34,174 | ) | ||||||||||||||
3.389 | 04/11/2018 | 07/11/2018 | (39,890 | ) | (40,198 | ) | ||||||||||||||
SOG |
0.479 | 06/05/2018 | 09/05/2018 | (4,702 | ) | (5,493 | ) | |||||||||||||
2.470 | 04/23/2018 | 07/23/2018 | (2,467 | ) | (2,479 | ) | ||||||||||||||
2.580 | 04/05/2018 | 07/05/2018 | (3,897 | ) | (3,922 | ) | ||||||||||||||
2.590 | 04/10/2018 | 07/10/2018 | (7,759 | ) | (7,805 | ) | ||||||||||||||
2.600 | 04/11/2018 | 07/11/2018 | (8,634 | ) | (8,685 | ) | ||||||||||||||
2.700 | 04/23/2018 | 07/23/2018 | (21,207 | ) | (21,318 | ) | ||||||||||||||
2.740 | 05/02/2018 | 08/02/2018 | (12,989 | ) | (13,049 | ) | ||||||||||||||
2.790 | 05/16/2018 | 08/16/2018 | (15,952 | ) | (16,010 | ) | ||||||||||||||
2.790 | 05/21/2018 | 08/21/2018 | (18,903 | ) | (18,965 | ) | ||||||||||||||
2.790 | 05/22/2018 | 08/21/2018 | (9,223 | ) | (9,253 | ) | ||||||||||||||
2.790 | 06/04/2018 | 09/04/2018 | (12,775 | ) | (12,803 | ) | ||||||||||||||
2.810 | 06/07/2018 | 09/07/2018 | (1,741 | ) | (1,744 | ) | ||||||||||||||
2.810 | 06/12/2018 | 09/12/2018 | (11,657 | ) | (11,675 | ) | ||||||||||||||
2.820 | 06/14/2018 | 09/14/2018 | (808 | ) | (809 | ) | ||||||||||||||
2.820 | 06/21/2018 | 09/21/2018 | (19,930 | ) | (19,947 | ) | ||||||||||||||
2.925 | 09/05/2017 | 09/05/2018 | (20,514 | ) | (20,548 | ) | ||||||||||||||
3.189 | 01/10/2018 | 07/12/2018 | (804 | ) | (809 | ) | ||||||||||||||
3.277 | 06/11/2018 | 09/10/2018 | (35,584 | ) | (35,652 | ) | ||||||||||||||
3.287 | 04/10/2018 | 07/10/2018 | (23,009 | ) | (23,183 | ) | ||||||||||||||
3.291 | 06/14/2018 | 09/14/2018 | (21,626 | ) | (21,662 | ) | ||||||||||||||
3.291 | 06/15/2018 | 09/17/2018 | (11,711 | ) | (11,729 | ) | ||||||||||||||
3.306 | 05/14/2018 | 08/14/2018 | (57,327 | ) | (57,585 | ) |
82 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
June 30, 2018
Counterparty | Borrowing Rate(2) |
Settlement Date |
Maturity Date |
Amount Borrowed(2) |
Payable for Reverse Repurchase Agreements |
|||||||||||||||
3.581 | % | 04/06/2018 | 10/05/2018 | $ | (8,021 | ) | $ | (8,090 | ) | |||||||||||
3.612 | 01/26/2018 | 07/26/2018 | (40,335 | ) | (40,560 | ) | ||||||||||||||
UBS |
0.640 | 05/14/2018 | 08/02/2018 | (17,617 | ) | (20,591 | ) | |||||||||||||
1.000 | 05/29/2018 | 07/05/2018 | (8,165 | ) | (10,785 | ) | ||||||||||||||
1.000 | 06/25/2018 | 07/25/2018 | (855 | ) | (1,128 | ) | ||||||||||||||
1.100 | 06/25/2018 | 08/02/2018 | (975 | ) | (1,287 | ) | ||||||||||||||
1.500 | 06/22/2018 | 07/23/2018 | (20,942 | ) | (27,650 | ) | ||||||||||||||
1.601 | 04/27/2018 | 07/27/2018 | (28,130 | ) | (37,233 | ) | ||||||||||||||
2.540 | 06/01/2018 | 08/31/2018 | (2,603 | ) | (2,609 | ) | ||||||||||||||
2.540 | 06/21/2018 | 08/31/2018 | (930 | ) | (931 | ) | ||||||||||||||
2.560 | 06/08/2018 | 09/07/2018 | (2,366 | ) | (2,370 | ) | ||||||||||||||
2.760 | 06/05/2018 | 09/05/2018 | (13,737 | ) | (13,765 | ) | ||||||||||||||
2.770 | 06/11/2018 | 09/11/2018 | (53,432 | ) | (53,518 | ) | ||||||||||||||
2.770 | 06/20/2018 | 09/11/2018 | (1,866 | ) | (1,868 | ) | ||||||||||||||
2.780 | 06/08/2018 | 09/07/2018 | (19,634 | ) | (19,670 | ) | ||||||||||||||
2.780 | 06/13/2018 | 09/13/2018 | (6,985 | ) | (6,995 | ) | ||||||||||||||
2.830 | 06/18/2018 | 09/18/2018 | (18,172 | ) | (18,192 | ) | ||||||||||||||
2.870 | 04/05/2018 | 07/05/2018 | (878 | ) | (884 | ) | ||||||||||||||
2.870 | 06/11/2018 | 09/11/2018 | (2,760 | ) | (2,765 | ) | ||||||||||||||
2.910 | 04/26/2018 | 07/26/2018 | (35,224 | ) | (35,415 | ) | ||||||||||||||
2.910 | 05/07/2018 | 08/07/2018 | (14,426 | ) | (14,491 | ) | ||||||||||||||
3.000 | 05/02/2018 | 08/02/2018 | (22,466 | ) | (22,580 | ) | ||||||||||||||
3.040 | 05/15/2018 | 08/15/2018 | (9,124 | ) | (9,161 | ) | ||||||||||||||
3.060 | 04/23/2018 | 07/23/2018 | (13,534 | ) | (13,615 | ) | ||||||||||||||
3.337 | 04/10/2018 | 07/10/2018 | (9,391 | ) | (9,463 | ) | ||||||||||||||
3.360 | 04/24/2018 | 07/24/2018 | (17,627 | ) | (17,741 | ) | ||||||||||||||
3.370 | 05/09/2018 | 08/09/2018 | (7,472 | ) | (7,510 | ) | ||||||||||||||
3.512 | 04/24/2018 | 04/24/2019 | (42,389 | ) | (42,674 | ) | ||||||||||||||
|
|
|||||||||||||||||||
Total Reverse Repurchase Agreements |
|
$ | (2,489,155 | ) | ||||||||||||||||
|
|
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 June 30, 2018:
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 |
| |||||||||||||||||||||||
BPS |
$ | 0 | $ | (195,705 | ) | $ | 0 | $ | (195,705 | ) | $ | 247,664 | $ | 51,959 | ||||||||||
BRC |
0 | (386,646 | ) | 0 | (386,646 | ) | 525,119 | 138,473 | ||||||||||||||||
CFR |
0 | (1,322 | ) | 0 | (1,322 | ) | 1,277 | (45 | ) | |||||||||||||||
DBL |
0 | (632 | ) | 0 | (632 | ) | 770 | 138 | ||||||||||||||||
FICC |
17,965 | 0 | 0 | 17,965 | (18,328 | ) | (363 | ) | ||||||||||||||||
GLM |
0 | (90,770 | ) | 0 | (90,770 | ) | 119,582 | 28,812 | ||||||||||||||||
GSC |
0 | (48,548 | ) | 0 | (48,548 | ) | 59,809 | 11,261 | ||||||||||||||||
GST |
0 | (6,325 | ) | 0 | (6,325 | ) | 6,326 | 1 | ||||||||||||||||
JML |
0 | (75,273 | ) | 0 | (75,273 | ) | 88,749 | 13,476 | ||||||||||||||||
JPS |
0 | (27,723 | ) | 0 | (27,723 | ) | 35,071 | 7,348 | ||||||||||||||||
MSB |
0 | (261,983 | ) | 0 | (261,983 | ) | 361,634 | 99,651 | ||||||||||||||||
NOM |
9,302 | (120,668 | ) | 0 | (111,366 | ) | 138,921 | 27,555 | ||||||||||||||||
RBC |
0 | (13,112 | ) | 0 | (13,112 | ) | 17,354 | 4,242 | ||||||||||||||||
RCE |
0 | (14,651 | ) | 0 | (14,651 | ) | 16,532 | 1,881 | ||||||||||||||||
RCY |
0 | (430 | ) | 0 | (430 | ) | 529 | 99 | ||||||||||||||||
RDR |
70,613 | 0 | 0 | 70,613 | (72,148 | ) | (1,535 | ) | ||||||||||||||||
RTA |
0 | (313,334 | ) | 0 | (313,334 | ) | 406,711 | 93,377 | ||||||||||||||||
SBI |
0 | (163,367 | ) | 0 | (163,367 | ) | 209,098 | 45,731 | ||||||||||||||||
SOG |
0 | (373,775 | ) | 0 | (373,775 | ) | 444,137 | 70,362 | ||||||||||||||||
UBS |
0 | (394,891 | ) | 0 | (394,891 | ) | 513,200 | 118,309 | ||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 97,880 | $ | (2,489,155 | ) | $ | 0 | |||||||||||||||||
|
|
|
|
|
|
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2018 | 83 |
Consolidated Schedule of Investments PIMCO Dynamic Credit and Mortgage Income Fund (Cont.)
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 | $ | (240,897 | ) | $ | (463,668 | ) | $ | (24,317 | ) | $ | (728,882 | ) | ||||||
U.S. Government Agencies |
0 | (68,339 | ) | (7,610 | ) | 0 | (75,949 | ) | ||||||||||||
Non-Agency Mortgage-Backed Securities |
0 | (171,854 | ) | (229,456 | ) | (278,271 | ) | (679,581 | ) | |||||||||||
Asset-Backed Securities |
0 | (373,985 | ) | (371,088 | ) | (259,258 | ) | (1,004,331 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total Borrowings |
$ | 0 | $ | (855,075 | ) | $ | (1,071,822 | ) | $ | (561,846 | ) | $ | (2,488,743 | ) | ||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Payable for reverse repurchase agreements and sale-buyback financing transactions(5) |
|
$ | (2,488,743 | ) | ||||||||||||||||
|
|
(n) | Securities with an aggregate market value of $3,207,289 have been pledged as collateral under the terms of the above master agreements as of June 30, 2018. |
(1) | Includes accrued interest. |
(2) | The average amount of borrowings outstanding during the period ended June 30, 2018 was $(2,594,093) at a weighted average interest rate of 2.551%. Average borrowings may include sale-buyback transactions and reverse repurchase agreements, 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. The Fund and Subsidiary are recognized as two separate legal entities. As such, exposure cannot be netted. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information regarding master netting arrangements. |
(5) | Unsettled reverse repurchase agreements liability of $(412) is outstanding at period end. |
(o) 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 June 30, 2018(2) |
Notional Amount(3) |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Market Value(4) |
Variation Margin | |||||||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||||||||
Frontier Communications Corp. |
5.000 | % | Quarterly | 06/20/2020 | 8.963% | $ 31,430 | $ | (1,130 | ) | $ | (949 | ) | $ | (2,079 | ) | $ | 0 | $ | (83 | ) | ||||||||||||||||||||
Frontier Communications Corp. |
5.000 | Quarterly | 06/20/2022 | 12.139 | 2,800 | (378 | ) | (172 | ) | (550 | ) | 0 | (13 | ) | ||||||||||||||||||||||||||
Navient Corp. |
5.000 | Quarterly | 09/20/2020 | 1.085 | 200 | 8 | 9 | 17 | 0 | 0 | ||||||||||||||||||||||||||||||
Navient Corp. |
5.000 | Quarterly | 12/20/2021 | 1.998 | 400 | 2 | 37 | 39 | 0 | (1 | ) | |||||||||||||||||||||||||||||
Navient Corp. |
5.000 | Quarterly | 06/20/2022 | 2.296 | 2,200 | 146 | 74 | 220 | 0 | (2 | ) | |||||||||||||||||||||||||||||
Novo Banco S.A. |
5.000 | Quarterly | 12/20/2020 | 9.660 | EUR 2,500 | (519 | ) | 393 | (126 | ) | 46 | 0 | ||||||||||||||||||||||||||||
Sprint Corp. |
5.000 | Quarterly | 12/20/2021 | 2.482 | $ 13,300 | 249 | 843 | 1,092 | 0 | (5 | ) | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
$ | (1,622 | ) | $ | 235 | $ | (1,387 | ) | $ | 46 | $ | (104 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
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-30 5-Year Index |
5.000 | % | Quarterly | 06/20/2023 | $ | 500 | $ | 30 | $ | 0 | $ | 30 | $ | 0 | $ | 0 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
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 CAD Bank Bill |
3.300% | Semi-Annual | 06/19/2024 | CAD | 102,200 | $ | 4,746 | $ | (1,115 | ) | $ | 3,631 | $ | 0 | $ | (482 | ) | ||||||||||||||||||
Receive |
3-Month CAD Bank Bill |
3.500 | Semi-Annual | 06/20/2044 | 46,900 | (1,672 | ) | (4,358 | ) | (6,030 | ) | 472 | 0 | |||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
2.200 | Semi-Annual | 01/18/2023 | $ | 1,800,000 | (6,930 | ) | (37,523 | ) | (44,453 | ) | 0 | (836 | ) | |||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
1.750 | Semi-Annual | 12/21/2023 | 164,300 | 3,084 | (12,751 | ) | (9,667 | ) | 0 | (114 | ) | |||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
1.750 | Semi-Annual | 12/21/2026 | 464,100 | 11,168 | (53,088 | ) | (41,920 | ) | 0 | (431 | ) | |||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
1.500 | Semi-Annual | 06/21/2027 | 245,900 | (17,834 | ) | (10,609 | ) | (28,443 | ) | 0 | (238 | ) | ||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
2.500 | Semi-Annual | 12/20/2027 | 64,900 | 1,045 | (3,343 | ) | (2,298 | ) | 0 | (49 | ) | |||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
2.250 | Semi-Annual | 06/20/2028 | 14,800 | 853 | 72 | 925 | 15 | 0 | ||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
2.500 | Semi-Annual | 06/20/2038 | 187,300 | 4,314 | 10,398 | 14,712 | 180 | 0 | ||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
2.500 | Semi-Annual | 06/20/2048 | 410,600 | 11,822 | 25,306 | 37,128 | 466 | 0 | ||||||||||||||||||||||||||
Pay |
6-Month AUD-BBR-BBSW |
3.631 | Semi-Annual | 03/06/2019 | AUD | 150,000 | 0 | 1,721 | 1,721 | 25 | 0 | |||||||||||||||||||||||||
Pay |
6-Month AUD-BBR-BBSW |
3.635 | Semi-Annual | 03/06/2019 | 175,000 | 0 | 2,012 | 2,012 | 29 | 0 | ||||||||||||||||||||||||||
Pay |
6-Month AUD-BBR-BBSW |
3.500 | Semi-Annual | 06/17/2025 | 41,800 | 1,036 | 688 | 1,724 | 3 | 0 |
84 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
June 30, 2018
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(5) |
6-Month EUR-EURIBOR |
1.250 % | Annual | 09/19/2028 | EUR | 69,700 | $ | (976 | ) | $ | (1,610 | ) | $ | (2,586 | ) | $ | 0 | $ | (110 | ) | ||||||||||||||||||
Receive(5) |
6-Month EUR-EURIBOR |
1.250 | Annual | 12/19/2028 | 5,500 | (94 | ) | (76 | ) | (170 | ) | 0 | (9 | ) | ||||||||||||||||||||||||
Receive(5) |
6-Month GBP-LIBOR |
1.500 | Semi-Annual | 09/19/2028 | GBP | 156,975 | 3,596 | (2,602 | ) | 994 | 228 | 0 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||
$ | 14,158 | $ | (86,878 | ) | $ | (72,720 | ) | $ | 1,418 | $ | (2,269 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||
Total Swap Agreements |
|
$ | 12,566 | $ | (86,643 | ) | $ | (74,077 | ) | $ | 1,464 | $ | (2,373 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
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 June 30, 2018:
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(6) |
$ | 0 | $ | 0 | $ | 1,464 | $ | 1,464 | $ | 0 | $ | 0 | $ | (2,373 | ) | $ | (2,373 | ) | ||||||||||||||||||
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(p) | Securities with an aggregate market value of $6,957 and cash of $119,446 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of June 30, 2018. |
(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 entitys 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 on credit indices serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced indices credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(5) | This instrument has a forward starting effective date. See Note 2, Securities Transactions and Investment Income, in the Notes to Financial Statements for further information. |
(6) | The Subsidiary did not have Exchange-Traded or Centrally Cleared financial derivative instruments as of period end. |
(q) FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER
FORWARD FOREIGN CURRENCY CONTRACTS:
Counterparty | Settlement Month |
Currency
to |
Currency
to |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||
BOA |
07/2018 | ARS | 27,570 | $ | 951 | $ | 0 | $ | (2 | ) | ||||||||||||||
07/2018 | $ | 1,074 | ARS | 27,570 | 0 | (121 | ) | |||||||||||||||||
07/2018 | 782 | AUD | 1,059 | 2 | 0 | |||||||||||||||||||
08/2018 | AUD | 1,059 | $ | 782 | 0 | (2 | ) | |||||||||||||||||
BPS |
07/2018 | ARS | 27,806 | 1,013 | 52 | 0 | ||||||||||||||||||
07/2018 | PEN | 17,220 | 5,271 | 31 | 0 | |||||||||||||||||||
07/2018 | $ | 2,887 | ARS | 80,236 | 2 | (133 | ) | |||||||||||||||||
BRC |
07/2018 | RUB | 1,050,217 | $ | 16,703 | 0 | (8 | ) | ||||||||||||||||
07/2018 | $ | 547,942 | GBP | 419,026 | 5,067 | 0 | ||||||||||||||||||
08/2018 | GBP | 419,026 | $ | 548,706 | 0 | (5,058 | ) | |||||||||||||||||
08/2018 | $ | 16,625 | RUB | 1,050,217 | 6 | 0 | ||||||||||||||||||
CBK |
07/2018 | 3,885 | GBP | 2,892 | 0 | (68 | ) | |||||||||||||||||
07/2018 | 810 | RUB | 51,215 | 5 | 0 | |||||||||||||||||||
10/2018 | 401 | ARS | 12,030 | 0 | (25 | ) | ||||||||||||||||||
DUB |
07/2018 | ARS | 236 | $ | 8 | 0 | 0 | |||||||||||||||||
07/2018 | $ | 79 | ARS | 2,076 | 0 | (8 | ) | |||||||||||||||||
GLM |
07/2018 | EUR | 6,965 | $ | 8,193 | 59 | 0 | |||||||||||||||||
07/2018 | GBP | 12,960 | 17,449 | 345 | 0 | |||||||||||||||||||
07/2018 | $ | 1,387 | EUR | 1,191 | 4 | 0 | ||||||||||||||||||
07/2018 | 1,974 | RUB | 123,294 | 0 | (13 | ) |
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2018 | 85 |
Consolidated Schedule of Investments PIMCO Dynamic Credit and Mortgage Income Fund (Cont.)
Counterparty | Settlement Month |
Currency
to |
Currency
to |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||
08/2018 | NZD | 65 | $ | 45 | $ | 1 | $ | 0 | ||||||||||||||||
08/2018 | $ | 4,825 | EUR | 4,135 | 15 | 0 | ||||||||||||||||||
HUS |
07/2018 | EUR | 8,882 | $ | 10,368 | 0 | (4 | ) | ||||||||||||||||
07/2018 | $ | 13,700 | RUB | 875,708 | 234 | 0 | ||||||||||||||||||
08/2018 | 12,892 | 805,785 | 0 | (131 | ) | |||||||||||||||||||
10/2018 | 57 | ARS | 1,710 | 0 | (3 | ) | ||||||||||||||||||
JPM |
07/2018 | AUD | 1,059 | $ | 798 | 14 | 0 | |||||||||||||||||
07/2018 | CAD | 4,031 | 3,110 | 44 | 0 | |||||||||||||||||||
07/2018 | $ | 6,247 | EUR | 5,329 | 0 | (24 | ) | |||||||||||||||||
07/2018 | 9,535 | GBP | 7,158 | 0 | (89 | ) | ||||||||||||||||||
MSB |
07/2018 | BRL | 88,529 | $ | 23,350 | 509 | 0 | |||||||||||||||||
07/2018 | $ | 23,495 | BRL | 88,529 | 0 | (653 | ) | |||||||||||||||||
08/2018 | BRL | 88,528 | $ | 23,429 | 669 | 0 | ||||||||||||||||||
RYL |
07/2018 | GBP | 2,634 | 3,501 | 24 | 0 | ||||||||||||||||||
SCX |
07/2018 | BRL | 57,967 | 15,872 | 916 | 0 | ||||||||||||||||||
07/2018 | GBP | 414,429 | 550,936 | 3,993 | 0 | |||||||||||||||||||
07/2018 | $ | 15,034 | BRL | 57,967 | 0 | (77 | ) | |||||||||||||||||
SSB |
07/2018 | 1,269 | GBP | 947 | 0 | (19 | ) | |||||||||||||||||
UAG |
07/2018 | EUR | 192,939 | $ | 223,473 | 0 | (1,842 | ) | ||||||||||||||||
07/2018 | $ | 234,861 | EUR | 202,266 | 1,345 | 0 | ||||||||||||||||||
08/2018 | EUR | 202,266 | $ | 235,386 | 0 | (1,333 | ) | |||||||||||||||||
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Total Forward Foreign Currency Contracts |
$ | 13,337 | $ | (9,613 | ) | |||||||||||||||||||
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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 June 30, 2018(2) |
Notional Amount(3) |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Swap Agreements, at Value |
|||||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||||||
GST | Petrobras Global Finance BV |
1.000 | % | Quarterly | 09/20/2020 | 2.175 | % | $ | 1,120 | $ | (163 | ) | $ | 136 | $ | 0 | $ | (27 | ) | |||||||||||||||||||
Springleaf Finance Corp. |
5.000 | Quarterly | 06/20/2022 | 2.090 | 1,900 | 108 | 97 | 205 | 0 | |||||||||||||||||||||||||||||
JPM | Springleaf Finance Corp. |
5.000 | Quarterly | 06/20/2022 | 2.090 | 11,500 | 966 | 274 | 1,240 | 0 | ||||||||||||||||||||||||||||
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|||||||||||||||||||||||||||||||
$ | 911 | $ | 507 | $ | 1,445 | $ | (27 | ) | ||||||||||||||||||||||||||||||
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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 | $ | 8,852 | $ | (1,976 | ) | $ | 1,284 | $ | 0 | $ | (692 | ) | |||||||||||||||||
DUB | CMBX.NA.BBB-.6 Index |
3.000 | Monthly | 05/11/2063 | 9,700 | (605 | ) | (396 | ) | 0 | (1,001 | ) | ||||||||||||||||||||||
CMBX.NA.BBB-.8 Index |
3.000 | Monthly | 10/17/2057 | 13,200 | (1,520 | ) | (48 | ) | 0 | (1,568 | ) | |||||||||||||||||||||||
CMBX.NA.BBB-.9 Index |
3.000 | Monthly | 09/17/2058 | 8,300 | (1,040 | ) | 185 | 0 | (855 | ) | ||||||||||||||||||||||||
FBF | CMBX.NA.BBB-.10 Index |
3.000 | Monthly | 11/17/2059 | 400 | (45 | ) | 9 | 0 | (36 | ) | |||||||||||||||||||||||
CMBX.NA.BBB-.6 Index |
3.000 | Monthly | 05/11/2063 | 900 | (108 | ) | 15 | 0 | (93 | ) | ||||||||||||||||||||||||
CMBX.NA.BBB-.7 Index |
3.000 | Monthly | 01/17/2047 | 1,600 | (146 | ) | 34 | 0 | (112 | ) | ||||||||||||||||||||||||
CMBX.NA.BBB-.8 Index |
3.000 | Monthly | 10/17/2057 | 3,800 | (594 | ) | 142 | 0 | (452 | ) | ||||||||||||||||||||||||
GST | CMBX.NA.A.6 Index |
2.000 | Monthly | 05/11/2063 | 13,000 | (662 | ) | 598 | 0 | (64 | ) | |||||||||||||||||||||||
CMBX.NA.BB.6 Index |
5.000 | Monthly | 05/11/2063 | 8,500 | (1,150 | ) | (474 | ) | 0 | (1,624 | ) | |||||||||||||||||||||||
CMBX.NA.BBB-.6 Index |
3.000 | Monthly | 05/11/2063 | 18,900 | (1,042 | ) | (908 | ) | 0 | (1,950 | ) | |||||||||||||||||||||||
CMBX.NA.BBB-.7 Index |
3.000 | Monthly | 01/17/2047 | 3,300 | (169 | ) | (63 | ) | 0 | (232 | ) | |||||||||||||||||||||||
CMBX.NA.BBB-.9 Index |
3.000 | Monthly | 09/17/2058 | 19,300 | (2,404 | ) | 417 | 0 | (1,987 | ) | ||||||||||||||||||||||||
JPS | CMBX.NA.BBB-.9 Index |
3.000 | Monthly | 09/17/2058 | 400 | (49 | ) | 8 | 0 | (41 | ) | |||||||||||||||||||||||
MYC | CMBX.NA.BBB-.10 Index |
3.000 | Monthly | 11/17/2059 | 21,800 | (2,324 | ) | 366 | 0 | (1,958 | ) | |||||||||||||||||||||||
CMBX.NA.BBB-.6 Index |
3.000 | Monthly | 05/11/2063 | 8,300 | (447 | ) | (409 | ) | 0 | (856 | ) | |||||||||||||||||||||||
CMBX.NA.BBB-.7 Index |
3.000 | Monthly | 01/17/2047 | 6,500 | (286 | ) | (170 | ) | 0 | (456 | ) | |||||||||||||||||||||||
CMBX.NA.BBB-.8 Index |
3.000 | Monthly | 10/17/2057 | 3,300 | (382 | ) | (10 | ) | 0 | (392 | ) | |||||||||||||||||||||||
CMBX.NA.BBB-.9 Index |
3.000 | Monthly | 09/17/2058 | 9,300 | (1,149 | ) | 192 | 0 | (957 | ) | ||||||||||||||||||||||||
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$ | (16,098 | ) | $ | 772 | $ | 0 | $ | (15,326 | ) | |||||||||||||||||||||||||
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Total Swap Agreements |
$ | (15,187 | ) | $ | 1,279 | $ | 1,445 | $ | (15,353 | ) | ||||||||||||||||||||||||
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86 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
June 30, 2018
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 June 30, 2018:
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 |
$ | 2 | $ | 0 | $ | 0 | $ | 2 | $ | (125 | ) | $ | 0 | $ | 0 | $ | (125 | ) | $ | (123 | ) | $ | 0 | $ | (123 | ) | ||||||||||||||||||||||
BPS |
85 | 0 | 0 | 85 | (133 | ) | 0 | 0 | (133 | ) | (48 | ) | 0 | (48 | ) | |||||||||||||||||||||||||||||||||
BRC |
5,073 | 0 | 0 | 5,073 | (5,066 | ) | 0 | (692 | ) | (5,758 | ) | (685 | ) | 726 | 41 | |||||||||||||||||||||||||||||||||
CBK |
5 | 0 | 0 | 5 | (93 | ) | 0 | 0 | (93 | ) | (88 | ) | 0 | (88 | ) | |||||||||||||||||||||||||||||||||
DUB |
0 | 0 | 0 | 0 | (8 | ) | 0 | (3,424 | ) | (3,432 | ) | (3,432 | ) | 2,707 | (725 | ) | ||||||||||||||||||||||||||||||||
FBF |
0 | 0 | 0 | 0 | 0 | 0 | (693 | ) | (693 | ) | (693 | ) | 692 | (1 | ) | |||||||||||||||||||||||||||||||||
GLM |
424 | 0 | 0 | 424 | (13 | ) | 0 | 0 | (13 | ) | 411 | (630 | ) | (219 | ) | |||||||||||||||||||||||||||||||||
GST |
0 | 0 | 205 | 205 | 0 | 0 | (5,884 | ) | (5,884 | ) | (5,679 | ) | 5,670 | (9 | ) | |||||||||||||||||||||||||||||||||
HUS |
234 | 0 | 0 | 234 | (138 | ) | 0 | 0 | (138 | ) | 96 | 0 | 96 | |||||||||||||||||||||||||||||||||||
JPM |
58 | 0 | 1,240 | 1,298 | (113 | ) | 0 | 0 | (113 | ) | 1,185 | (1,156 | ) | 29 | ||||||||||||||||||||||||||||||||||
JPS |
0 | 0 | 0 | 0 | 0 | 0 | (41 | ) | (41 | ) | (41 | ) | 0 | (41 | ) | |||||||||||||||||||||||||||||||||
MSB |
1,178 | 0 | 0 | 1,178 | (653 | ) | 0 | 0 | (653 | ) | 525 | (260 | ) | 265 | ||||||||||||||||||||||||||||||||||
MYC |
0 | 0 | 0 | 0 | 0 | 0 | (4,619 | ) | (4,619 | ) | (4,619 | ) | 4,090 | (529 | ) | |||||||||||||||||||||||||||||||||
RYL |
24 | 0 | 0 | 24 | 0 | 0 | 0 | 0 | 24 | 0 | 24 | |||||||||||||||||||||||||||||||||||||
SCX |
4,909 | 0 | 0 | 4,909 | (77 | ) | 0 | 0 | (77 | ) | 4,832 | (9,090 | ) | (4,258 | ) | |||||||||||||||||||||||||||||||||
SSB |
0 | 0 | 0 | 0 | (19 | ) | 0 | 0 | (19 | ) | (19 | ) | 0 | (19 | ) | |||||||||||||||||||||||||||||||||
UAG |
1,345 | 0 | 0 | 1,345 | (3,175 | ) | 0 | 0 | (3,175 | ) | (1,830 | ) | (470 | ) | (2,300 | ) | ||||||||||||||||||||||||||||||||
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Total Over the Counter |
$ | 13,337 | $ | 0 | $ | 1,445 | $ | 14,782 | $ | (9,613 | ) | $ | 0 | $ | (15,353 | ) | $ | (24,966 | ) | |||||||||||||||||||||||||||||
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(r) | Securities with an aggregate market value of $15,339 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of June 30, 2018. |
(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 entitys 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 on credit indices serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced indices credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(5) | Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC derivatives can only be netted across transactions governed under the same master agreement with the same legal entity. The Fund and Subsidiary are recognized as two separate legal entities. As such, exposure cannot be netted. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information regarding master netting agreements. |
FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS
The following is a summary of the fair valuation of the Funds 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 Consolidated Statements of Assets and Liabilities as of June 30, 2018:
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 | $ | 46 | $ | 0 | $ | 0 | $ | 1,418 | $ | 1,464 | ||||||||||||
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Over the counter |
| |||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 13,337 | $ | 0 | $ | 13,337 | ||||||||||||
Swap Agreements |
0 | 1,445 | 0 | 0 | 0 | 1,445 | ||||||||||||||||||
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$ | 0 | $ | 1,445 | $ | 0 | $ | 13,337 | $ | 0 | $ | 14,782 | |||||||||||||
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$ | 0 | $ | 1,491 | $ | 0 | $ | 13,337 | $ | 1,418 | $ | 16,246 | |||||||||||||
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See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2018 | 87 |
Consolidated Schedule of Investments PIMCO Dynamic Credit and Mortgage Income Fund (Cont.)
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Exchange Contracts |
Interest Rate Contracts |
Total | |||||||||||||||||||
Financial Derivative Instruments - Liabilities |
| |||||||||||||||||||||||
Exchange-traded or centrally cleared |
| |||||||||||||||||||||||
Swap Agreements |
$ | 0 | $ | 104 | $ | 0 | $ | 0 | $ | 2,269 | $ | 2,373 | ||||||||||||
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Over the counter |
| |||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 9,613 | $ | 0 | $ | 9,613 | ||||||||||||
Swap Agreements |
0 | 15,353 | 0 | 0 | 0 | 15,353 | ||||||||||||||||||
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$ | 0 | $ | 15,353 | $ | 0 | $ | 9,613 | $ | 0 | $ | 24,966 | |||||||||||||
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|
|
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|
|||||||||||||
$ | 0 | $ | 15,457 | $ | 0 | $ | 9,613 | $ | 2,269 | $ | 27,339 | |||||||||||||
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The effect of Financial Derivative Instruments on the Consolidated Statements of Operations for the period ended June 30, 2018:
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 | $ | 2,656 | $ | 0 | $ | 0 | $ | (39,114 | ) | $ | (36,458 | ) | ||||||||||
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Over the counter |
||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | (626 | ) | $ | 0 | $ | (626 | ) | ||||||||||
Swap Agreements |
0 | 5,814 | 0 | 0 | (2,948 | ) | 2,866 | |||||||||||||||||
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|||||||||||||
$ | 0 | $ | 5,814 | $ | 0 | $ | (626 | ) | $ | (2,948 | ) | $ | 2,240 | |||||||||||
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|
|
|
|
|
|||||||||||||
$ | 0 | $ | 8,470 | $ | 0 | $ | (626 | ) | $ | (42,062 | ) | $ | (34,218 | ) | ||||||||||
|
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|
|
|
|
|
|
|
|
|
|
|||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative Instruments |
|
|||||||||||||||||||||||
Exchange-traded or centrally cleared |
||||||||||||||||||||||||
Swap Agreements |
$ | 0 | $ | (1,181 | ) | $ | 0 | $ | 0 | $ | (6,831 | ) | $ | (8,012 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Over the counter |
||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 8,966 | $ | 0 | $ | 8,966 | ||||||||||||
Swap Agreements |
0 | 2,699 | 0 | 0 | 0 | 2,699 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 2,699 | $ | 0 | $ | 8,966 | $ | 0 | $ | 11,665 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 1,518 | $ | 0 | $ | 8,966 | $ | (6,831 | ) | $ | 3,653 | ||||||||||||
|
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|
|
|
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|
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|
|
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of June 30, 2018 in valuing the Funds assets and liabilities:
88 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
June 30, 2018
There were no significant transfers among Levels 1 and 2 during the period ended June 30, 2018.
The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended June 30, 2018:
Category and Subcategory | Beginning Balance at 06/30/2017 |
Net Purchases |
Net Sales |
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 06/30/2018 |
Net Change in Unrealized Appreciation/ (Depreciation) on Investments Held at 06/30/2018(1) |
||||||||||||||||||||||||||||||
Investments in Securities, at Value |
| |||||||||||||||||||||||||||||||||||||||
Loan Participations and Assignments |
$ | 14,076 | $ | 21,063 | $ | (13,248 | ) | $ | 77 | $ | (3,364 | ) | $ | 1,246 | $ | 14,515 | $ | (2,004 | ) | $ | 32,361 | $ | 107 | |||||||||||||||||
Corporate Bonds & Notes |
| |||||||||||||||||||||||||||||||||||||||
Banking & Finance |
57,549 | 0 | (959 | ) | 14 | (24 | ) | (628 | ) | 0 | 0 | 55,952 | (635 | ) | ||||||||||||||||||||||||||
Industrials |
58,063 | 1,764 | (23,883 | ) | 5 | 240 | 1,263 | 0 | (31,930 | ) | 5,522 | 20 | ||||||||||||||||||||||||||||
Utilities |
6,600 | 82 | (9,485 | ) | 0 | (20,597 | ) | 23,400 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||||
Municipal Bonds & Notes |
| |||||||||||||||||||||||||||||||||||||||
New Jersey |
6,407 | 0 | (180 | ) | (4 | ) | 0 | (183 | ) | 0 | 0 | 6,040 | (187 | ) | ||||||||||||||||||||||||||
Non-Agency Mortgage-Backed Securities |
22,695 | 0 | (3,200 | ) | 69 | 577 | 1,558 | 0 | 0 | 21,699 | 1,616 | |||||||||||||||||||||||||||||
Asset-Backed Securities |
121,893 | 5,162 | (31 | ) | 2,305 | 12 | (2,343 | ) | 0 | (46,950 | ) | 80,048 | (7,745 | ) | ||||||||||||||||||||||||||
Common Stocks |
| |||||||||||||||||||||||||||||||||||||||
Energy |
0 | 1,423 | 0 | 0 | 0 | 13,798 | 0 | 0 | 15,221 | 13,798 | ||||||||||||||||||||||||||||||
Financials |
3,367 | 0 | 0 | 0 | 0 | 832 | 0 | 0 | 4,199 | 832 | ||||||||||||||||||||||||||||||
Utilities |
0 | 9,048 | 0 | 0 | 0 | 0 | 0 | 0 | 9,048 | 0 | ||||||||||||||||||||||||||||||
Warrants |
| |||||||||||||||||||||||||||||||||||||||
Industrials |
1,187 | 0 | 0 | 0 | 0 | (539 | ) | 0 | 0 | 648 | (539 | ) | ||||||||||||||||||||||||||||
Preferred Securities |
| |||||||||||||||||||||||||||||||||||||||
Industrials |
45,800 | 0 | 0 | 0 | 0 | (3,542 | ) | 0 | 0 | 42,258 | (3,542 | ) | ||||||||||||||||||||||||||||
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|
|
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|
|
|
|
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|
|
|
|
|
|
|
|||||||||||||||||||||
$ | 337,637 | $ | 38,542 | $ | (50,986 | ) | $ | 2,466 | $ | (23,156 | ) | $ | 34,862 | $ | 14,515 | $ | (80,884 | ) | $ | 272,996 | $ | 3,725 | ||||||||||||||||||
|
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|
|
|
|
|
|
|
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|
|
|
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|
|
|
|||||||||||||||||||||
Investments in Affiliates, at Value |
| |||||||||||||||||||||||||||||||||||||||
Common Stocks |
| |||||||||||||||||||||||||||||||||||||||
Industrials |
$ | 0 | $ | 7,638 | $ | 0 | $ | 0 | $ | 0 | $ | 3,218 | $ | 0 | $ | 0 | $ | 10,856 | $ | 3,216 | ||||||||||||||||||||
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|
|
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|
|
|||||||||||||||||||||
Totals |
$ | 337,637 | $ | 46,180 | $ | (50,986 | ) | $ | 2,466 | $ | (23,156 | ) | $ | 38,080 | $ | 14,515 | $ | (80,884 | ) | $ | 283,852 | $ | 6,941 | |||||||||||||||||
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|
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2018 | 89 |
Consolidated Schedule of Investments PIMCO Dynamic Credit and Mortgage Income Fund (Cont.)
June 30, 2018
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 06/30/2018 |
Valuation Technique |
Unobservable Inputs |
Input Value(s) (% Unless Noted Otherwise) |
||||||||
Investments in Securities, at Value |
| |||||||||||
Loan Participations and Assignments |
$ | 861 | Proxy Pricing | Base Price | 100.074 | |||||||
31,500 | Third Party Vendor | Broker Quote | 102.000 - 105.000 | |||||||||
Corporate Bonds & Notes |
| |||||||||||
Banking & Finance |
24,085 | Reference Instrument | OAS Spread | 525.729 bps | ||||||||
21,861 | Reference Instrument | Spread Movement | 24.000 bps | |||||||||
10,006 | Proxy Pricing | Base Price | 101.000 | |||||||||
Industrials |
3,808 | Proxy Pricing | Base Price | 101.670 | ||||||||
1,714 | Reference Instrument | Yield | 10.153 | |||||||||
Municipal Bonds & Notes |
| |||||||||||
New Jersey |
6,040 | Proxy Pricing | Base Price | 97.818 | ||||||||
Non-Agency Mortgage-Backed Securities |
21,699 | Third Party Vendor | Broker Quote | 88.470 - 91.250 | ||||||||
Asset-Backed Securities |
80,048 | Proxy Pricing | Base Price | 48.250 - 100,000.000 | ||||||||
Common Stocks |
| |||||||||||
Energy |
15,221 | Other Valuation Techniques(2) | | | ||||||||
Financials |
4,199 | Discounted Cash Flow | Discounted Rate | $ 1.200 | ||||||||
Utilities |
9,048 | Indicative Market Quotation | Broker Quote | $ 35.500 | ||||||||
Warrants |
| |||||||||||
Industrials |
648 | Other Valuation Techniques(2) | | | ||||||||
Preferred Securities |
| |||||||||||
Industrials |
42,258 | Indicative Market Quotation | Broker Quote | $ 900.000 | ||||||||
Investments in Affiliates, at Value |
| |||||||||||
Common Stocks |
| |||||||||||
Industrials |
10,856 | Other Valuation Techniques(2) | | | ||||||||
|
|
|||||||||||
Total |
$ | 283,852 | ||||||||||
|
|
(1) | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at June 30, 2018 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. |
90 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
Consolidated Schedule of Investments PIMCO Dynamic Income Fund
June 30, 2018
(Amounts in thousands*, except number of shares, contracts and units, if any)
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2018 | 91 |
Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.)
92 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
June 30, 2018
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2018 | 93 |
Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.)
94 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
June 30, 2018
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2018 | 95 |
Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.)
NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:
* | A zero balance may reflect actual amounts rounding to less than one thousand. |
| All or a portion of this security is owned by PDILS I LLC, which is a 100% owned subsidiary of the Fund. |
^ | Security is in default. |
« | Security valued using significant unobservable inputs (Level 3). |
∎ | All or a portion of this amount represent 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. |
× | Coupon represents a rate which changes periodically based on a predetermined schedule. Rate shown is the rate in effect as of period end. |
(a) | Interest only security. |
(b) | Principal only security. |
(c) | When-issued security. |
(d) | Security is not accruing income as of the date of this report. |
(e) | Security did not produce income within the last twelve months. |
(f) | Coupon represents a weighted average yield to maturity. |
(g) | Zero coupon security. |
(h) | Coupon represents a yield to maturity. |
(i) | Perpetual maturity; date shown, if applicable, represents next contractual call date. |
(j) | Contingent convertible security. |
(k) RESTRICTED SECURITIES:
Issuer Description | Acquisition Date |
Cost | Market Value |
Market Value as Percentage of Net Assets |
||||||||||||||||||
Buffalo Thunder Development Authority 0.000% due 11/15/2029 |
12/08/2014 | $ | 0 | $ | 2 | 0.00 | % | |||||||||||||||
Dommo Energia S.A. |
12/21/2017 - 12/26/2017 | 380 | 3,980 | 0.25 | ||||||||||||||||||
Eneva S.A. |
12/21/2017 | 43 | 31 | 0.00 | ||||||||||||||||||
Pinnacol Assurance 8.625% due 06/25/2034 |
06/23/2014 | 10,200 | 10,589 | 0.67 | ||||||||||||||||||
Preylock Reitman Santa Cruz Mezz LLC 7.546% due 11/09/2022 |
04/09/2018 | 5,540 | 5,550 | 0.35 | ||||||||||||||||||
TIG FinCo PLC |
04/02/2015 | 982 | 1,049 | 0.07 | ||||||||||||||||||
VICI Properties, Inc. |
02/25/2015 - 11/20/2017 | 7,462 | 12,272 | 0.78 | ||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||
$ | 24,607 | $ | 33,473 | 2.12 | % | |||||||||||||||||
|
|
|
|
|
|
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(l) REPURCHASE AGREEMENTS:
Counterparty | Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By | Collateral (Received) |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received(1) |
||||||||||||||||||||||
FICC | 1.500 | % | 06/29/2018 | 07/02/2018 | $ | 6,112 | U.S. Treasury Notes 2.125% due 08/15/2021 | $ | (6,238 | ) | $ | 6,112 | $ | 6,112 | ||||||||||||||||
IND | 2.300 | 06/29/2018 | 07/02/2018 | 91,400 | U.S. Treasury Notes 1.375% due 01/31/2020 | (93,228 | ) | 91,400 | 91,418 | |||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
Total Repurchase Agreements |
|
$ | (99,466 | ) | $ | 97,512 | $ | 97,530 | ||||||||||||||||||||||
|
|
|
|
|
|
REVERSE REPURCHASE AGREEMENTS:
Counterparty | Borrowing Rate(2) |
Settlement Date |
Maturity Date |
Amount Borrowed(2) |
Payable for Reverse Repurchase Agreements |
|||||||||||||||
BPS |
0.900 | % | 06/14/2018 | 07/16/2018 | GBP (2,116 | ) | $ | (2,794 | ) | |||||||||||
0.900 | 06/29/2018 | 07/30/2018 | (4,057 | ) | (5,355 | ) | ||||||||||||||
2.870 | 06/19/2018 | 09/19/2018 | $ (8,797 | ) | (8,806 | ) | ||||||||||||||
2.900 | 06/19/2018 | 09/19/2018 | (11,030 | ) | (11,042 | ) | ||||||||||||||
2.920 | 05/29/2018 | 08/29/2018 | (697 | ) | (699 | ) | ||||||||||||||
3.326 | 06/19/2018 | 09/19/2018 | (16,248 | ) | (16,268 | ) | ||||||||||||||
3.337 | 04/11/2018 | 07/11/2018 | (2,655 | ) | (2,675 | ) | ||||||||||||||
3.371 | 06/01/2018 | 09/04/2018 | (61,298 | ) | (61,476 | ) |
96 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
June 30, 2018
Counterparty | Borrowing Rate(2) |
Settlement Date |
Maturity Date |
Amount Borrowed(2) |
Payable for Reverse Repurchase Agreements |
|||||||||||||||
BRC |
2.400 | % | 06/01/2018 | 08/31/2018 | $ (2,556 | ) | $ | (2,561 | ) | |||||||||||
2.700 | 06/18/2018 | TBD | (3) | (25,607 | ) | (25,638 | ) | |||||||||||||
2.850 | 06/20/2018 | 08/16/2018 | (4,788 | ) | (4,793 | ) | ||||||||||||||
2.940 | 06/20/2018 | 07/11/2018 | (2,558 | ) | (2,560 | ) | ||||||||||||||
3.072 | 01/17/2018 | 01/17/2019 | (2,769 | ) | (2,771 | ) | ||||||||||||||
3.326 | 06/20/2018 | 08/20/2018 | (10,737 | ) | (10,749 | ) | ||||||||||||||
3.332 | 06/21/2018 | 09/21/2018 | (22,762 | ) | (22,785 | ) | ||||||||||||||
3.353 | 06/20/2018 | 08/09/2018 | (4,123 | ) | (4,128 | ) | ||||||||||||||
3.362 | 06/20/2018 | 07/25/2018 | (18,375 | ) | (18,396 | ) | ||||||||||||||
3.363 | 05/02/2018 | 08/02/2018 | (6,340 | ) | (6,376 | ) | ||||||||||||||
4.321 | 04/13/2018 | 07/05/2019 | (1,792 | ) | (1,809 | ) | ||||||||||||||
4.337 | 06/27/2017 | TBD | (3) | (27,448 | ) | (27,464 | ) | |||||||||||||
4.337 | 01/05/2018 | 06/27/2019 | (4,046 | ) | (4,048 | ) | ||||||||||||||
JML |
0.850 | 05/15/2018 | 08/15/2018 | GBP (2,313 | ) | (3,055 | ) | |||||||||||||
0.850 | 05/16/2018 | 08/15/2018 | (1,129 | ) | (1,490 | ) | ||||||||||||||
0.930 | 06/25/2018 | 07/25/2018 | (12,254 | ) | (16,175 | ) | ||||||||||||||
JPS |
3.437 | 04/11/2018 | 07/11/2018 | $ (15,994 | ) | (16,119 | ) | |||||||||||||
MSB |
3.713 | 05/01/2018 | 05/01/2019 | (39,908 | ) | (40,163 | ) | |||||||||||||
3.734 | 08/29/2017 | 08/29/2018 | (75,540 | ) | (75,806 | ) | ||||||||||||||
3.763 | 02/05/2018 | 02/05/2019 | (13,316 | ) | (13,382 | ) | ||||||||||||||
4.080 | 08/25/2017 | 08/27/2018 | (40,811 | ) | (40,962 | ) | ||||||||||||||
4.080 | 02/15/2018 | 08/27/2018 | (4,467 | ) | (4,484 | ) | ||||||||||||||
NOM |
2.670 | 05/23/2018 | 07/23/2018 | (853 | ) | (856 | ) | |||||||||||||
2.700 | 06/12/2018 | 07/12/2018 | (8,722 | ) | (8,735 | ) | ||||||||||||||
2.750 | 06/11/2018 | 07/09/2018 | (3,163 | ) | (3,168 | ) | ||||||||||||||
2.750 | 06/12/2018 | 07/12/2018 | (7,859 | ) | (7,871 | ) | ||||||||||||||
2.750 | 06/21/2018 | 07/12/2018 | (7,681 | ) | (7,687 | ) | ||||||||||||||
3.043 | 02/07/2018 | 08/07/2018 | (12,200 | ) | (12,350 | ) | ||||||||||||||
3.336 | 08/04/2017 | TBD | (3) | (5,190 | ) | (5,217 | ) | |||||||||||||
4.388 | 08/04/2017 | TBD | (3) | (16,763 | ) | (16,852 | ) | |||||||||||||
RBC |
3.200 | 01/18/2018 | 07/18/2018 | (194 | ) | (197 | ) | |||||||||||||
3.570 | 04/12/2018 | 10/12/2018 | (15,913 | ) | (16,041 | ) | ||||||||||||||
3.650 | 05/15/2018 | 11/15/2018 | (6,506 | ) | (6,538 | ) | ||||||||||||||
RCE |
1.527 | 06/18/2018 | 09/18/2018 | GBP (14,156 | ) | (18,693 | ) | |||||||||||||
RCY |
2.940 | 06/19/2018 | 09/19/2018 | $ (499 | ) | (500 | ) | |||||||||||||
RDR |
2.670 | 05/10/2018 | 08/10/2018 | (6,601 | ) | (6,627 | ) | |||||||||||||
3.000 | 05/02/2018 | 08/02/2018 | (5,494 | ) | (5,521 | ) | ||||||||||||||
RTA |
2.733 | 07/20/2017 | 07/20/2018 | (3,411 | ) | (3,501 | ) | |||||||||||||
2.851 | 07/10/2017 | 07/09/2018 | (10,311 | ) | (10,603 | ) | ||||||||||||||
2.938 | 01/16/2018 | 07/16/2018 | (4,851 | ) | (4,917 | ) | ||||||||||||||
3.330 | 06/21/2018 | 09/21/2018 | (16,889 | ) | (16,906 | ) | ||||||||||||||
3.435 | 06/22/2018 | 09/24/2018 | (3,925 | ) | (3,929 | ) | ||||||||||||||
3.460 | 04/05/2018 | 10/05/2018 | (36,835 | ) | (37,147 | ) | ||||||||||||||
3.460 | 04/06/2018 | 10/09/2018 | (2,931 | ) | (2,955 | ) | ||||||||||||||
3.499 | 05/21/2018 | 11/21/2018 | (13,051 | ) | (13,104 | ) | ||||||||||||||
3.513 | 05/07/2018 | 11/07/2018 | (23,884 | ) | (24,015 | ) | ||||||||||||||
3.517 | 05/14/2018 | 11/14/2018 | (29,981 | ) | (30,125 | ) | ||||||||||||||
3.519 | 04/26/2018 | 10/26/2018 | (18,355 | ) | (18,475 | ) | ||||||||||||||
3.529 | 05/22/2018 | 08/22/2018 | (2,912 | ) | (2,924 | ) | ||||||||||||||
3.592 | 03/20/2018 | 09/20/2018 | (1,210 | ) | (1,223 | ) | ||||||||||||||
4.059 | 10/31/2017 | TBD | (3) | (1,710 | ) | (1,719 | ) | |||||||||||||
SBI |
3.259 | 04/24/2018 | 07/24/2018 | (1,824 | ) | (1,835 | ) | |||||||||||||
3.405 | 05/14/2018 | 11/14/2018 | (21,356 | ) | (21,455 | ) | ||||||||||||||
SOG |
0.150 | 06/25/2018 | 07/25/2018 | EUR (4,324 | ) | (5,050 | ) | |||||||||||||
2.600 | 04/11/2018 | 07/11/2018 | $ (1,515 | ) | (1,524 | ) | ||||||||||||||
2.720 | 04/25/2018 | 07/25/2018 | (28,571 | ) | (28,717 | ) | ||||||||||||||
2.780 | 05/14/2018 | 08/13/2018 | (2,395 | ) | (2,404 | ) | ||||||||||||||
2.790 | 06/01/2018 | 09/04/2018 | (9,008 | ) | (9,030 | ) | ||||||||||||||
2.820 | 06/14/2018 | 09/14/2018 | (1,162 | ) | (1,164 | ) | ||||||||||||||
3.189 | 07/12/2017 | 07/12/2018 | (2,721 | ) | (2,737 | ) | ||||||||||||||
3.271 | 05/16/2018 | 08/16/2018 | (7,293 | ) | (7,324 | ) | ||||||||||||||
3.291 | 06/14/2018 | 09/14/2018 | (13,683 | ) | (13,705 | ) | ||||||||||||||
3.306 | 05/14/2018 | 08/14/2018 | (32,647 | ) | (32,794 | ) | ||||||||||||||
3.459 | 04/27/2018 | 10/29/2018 | (6,211 | ) | (6,250 | ) | ||||||||||||||
3.605 | 02/12/2018 | 08/13/2018 | (10,102 | ) | (10,144 | ) | ||||||||||||||
3.613 | 02/08/2018 | 08/08/2018 | (24,526 | ) | (24,640 | ) | ||||||||||||||
UBS |
1.601 | 04/27/2018 | 07/27/2018 | GBP (8,668 | ) | (11,473 | ) | |||||||||||||
2.560 | 06/13/2018 | 09/13/2018 | $ (1,128 | ) | (1,130 | ) | ||||||||||||||
2.780 | 06/12/2018 | 09/12/2018 | (38,112 | ) | (38,171 | ) | ||||||||||||||
2.780 | 06/13/2018 | 09/13/2018 | (467 | ) | (468 | ) |
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2018 | 97 |
Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.)
Counterparty | Borrowing Rate(2) |
Settlement Date |
Maturity Date |
Amount Borrowed(2) |
Payable for Reverse Repurchase Agreements |
|||||||||||||||
2.780 | % | 06/20/2018 | 09/12/2018 | $ (867 | ) | $ | (868 | ) | ||||||||||||
2.860 | 05/31/2018 | 08/31/2018 | (5,210 | ) | (5,223 | ) | ||||||||||||||
2.910 | 05/14/2018 | 08/14/2018 | (4,273 | ) | (4,290 | ) | ||||||||||||||
3.000 | 05/02/2018 | 08/02/2018 | (10,467 | ) | (10,520 | ) | ||||||||||||||
3.040 | 05/15/2018 | 08/15/2018 | (6,455 | ) | (6,481 | ) | ||||||||||||||
3.362 | 04/25/2018 | 07/25/2018 | (1,569 | ) | (1,579 | ) | ||||||||||||||
3.370 | 05/09/2018 | 08/09/2018 | (3,645 | ) | (3,663 | ) | ||||||||||||||
|
|
|||||||||||||||||||
Total Reverse Repurchase Agreements |
|
$ | (995,864 | ) | ||||||||||||||||
|
|
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 June 30, 2018:
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 |
| |||||||||||||||||||||||
BPS |
$ | 0 | $ | (109,115 | ) | $ | 0 | $ | (109,115 | ) | $ | 136,295 | $ | 27,180 | ||||||||||
BRC |
0 | (134,078 | ) | 0 | (134,078 | ) | 184,610 | 50,532 | ||||||||||||||||
FICC |
6,112 | 0 | 0 | 6,112 | (6,238 | ) | (126 | ) | ||||||||||||||||
IND |
91,418 | 0 | 0 | 91,418 | (93,228 | ) | (1,810 | ) | ||||||||||||||||
JML |
0 | (20,720 | ) | 0 | (20,720 | ) | 24,070 | 3,350 | ||||||||||||||||
JPS |
0 | (16,119 | ) | 0 | (16,119 | ) | 21,375 | 5,256 | ||||||||||||||||
MSB |
0 | (174,797 | ) | 0 | (174,797 | ) | 245,618 | 70,821 | ||||||||||||||||
NOM |
0 | (62,736 | ) | 0 | (62,736 | ) | 76,625 | 13,889 | ||||||||||||||||
RBC |
0 | (22,776 | ) | 0 | (22,776 | ) | 30,618 | 7,842 | ||||||||||||||||
RCE |
0 | (18,693 | ) | 0 | (18,693 | ) | 21,818 | 3,125 | ||||||||||||||||
RCY |
0 | (500 | ) | 0 | (500 | ) | 797 | 297 | ||||||||||||||||
RDR |
0 | (12,148 | ) | 0 | (12,148 | ) | 13,664 | 1,516 | ||||||||||||||||
RTA |
0 | (171,543 | ) | 0 | (171,543 | ) | 230,337 | 58,794 | ||||||||||||||||
SBI |
0 | (23,290 | ) | 0 | (23,290 | ) | 28,711 | 5,421 | ||||||||||||||||
SOG |
0 | (145,483 | ) | 0 | (145,483 | ) | 175,782 | 30,299 | ||||||||||||||||
UBS |
0 | (83,866 | ) | 0 | (83,866 | ) | 98,269 | 14,403 | ||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||
Total Borrowings and Other Financing Transactions(5) |
$ | 97,530 | $ | (995,864 | ) | $ | 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 | $ | (93,231 | ) | $ | (136,815 | ) | $ | (25,638 | ) | $ | (255,684 | ) | ||||||
U.S. Government Agencies |
0 | 0 | (19,732 | ) | (16,041 | ) | (35,773 | ) | ||||||||||||
Non-Agency Mortgage-Backed Securities |
0 | (38,992 | ) | (213,543 | ) | (214,873 | ) | (467,408 | ) | |||||||||||
Asset-Backed Securities |
0 | (32,303 | ) | (146,080 | ) | (58,616 | ) | (236,999 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total Borrowings |
$ | 0 | $ | (164,526 | ) | $ | (516,170 | ) | $ | (315,168 | ) | $ | (995,864 | ) | ||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Payable for reverse repurchase agreements and sale-buyback financing transactions |
|
$ | (995,864 | ) | ||||||||||||||||
|
|
(m) | Securities with an aggregate market value of $1,289,094 and cash of $561 have been pledged as collateral under the terms of the above master agreements as of June 30, 2018. |
(1) | Includes accrued interest. |
(2) | The average amount of borrowings outstanding during the period ended June 30, 2018 was $(1,059,683) at a weighted average interest rate of 2.733%. Average borrowings may include sale-buyback transactions and reverse repurchase agreements, 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. The Fund and Subsidiary are recognized as two separate legal entities. As such, exposure cannot be netted. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information regarding master netting arrangements. |
(5) | The Subsidiary did not have Borrowings and Other Financing Transactions as of period end. |
98 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
June 30, 2018
(n) 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 June 30, 2018(2) |
Notional Amount(3) |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Market Value |
Variation Margin | |||||||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||||||||
Frontier Communications Corp. |
5.000 | % | Quarterly | 06/20/2020 | 8.963% | $ | 14,700 | $ | (505 | ) | $ | (467 | ) | $ | (972 | ) | $ | 0 | $ | (39 | ) | |||||||||||||||||||
Frontier Communications Corp. |
5.000 | Quarterly | 06/20/2022 | 12.139 | 1,200 | (162 | ) | (74 | ) | (236 | ) | 0 | (6 | ) | ||||||||||||||||||||||||||
Navient Corp. |
5.000 | Quarterly | 12/20/2021 | 1.998 | 4,600 | 230 | 224 | 454 | 0 | (10 | ) | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
$ | (437 | ) | $ | (317 | ) | $ | (754 | ) | $ | 0 | $ | (55 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
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 |
1.500 | % | Semi-Annual | 12/21/2021 | $ | 117,200 | $ | (3,303 | ) | $ | (2,048 | ) | $ | (5,351 | ) | $ | 0 | $ | (16 | ) | |||||||||||||||||||
Pay |
3-Month USD-LIBOR |
1.750 | Semi-Annual | 12/21/2023 | 177,200 | 3,327 | (13,753 | ) | (10,426 | ) | 0 | (123 | ) | |||||||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
1.750 | Semi-Annual | 12/21/2026 | 303,000 | 7,433 | (34,802 | ) | (27,369 | ) | 0 | (281 | ) | |||||||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
2.500 | Semi-Annual | 12/20/2027 | 98,450 | 1,181 | (4,904 | ) | (3,723 | ) | 0 | (95 | ) | |||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
2.250 | Semi-Annual | 06/20/2028 | 7,000 | 404 | 33 | 437 | 7 | 0 | ||||||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
2.500 | Semi-Annual | 06/15/2036 | 110,300 | (11,005 | ) | 19,014 | 8,009 | 100 | 0 | |||||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
2.750 | Semi-Annual | 03/20/2043 | 76,400 | (255 | ) | 3,123 | 2,868 | 76 | 0 | |||||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
3.750 | Semi-Annual | 06/18/2044 | 12,200 | (2,516 | ) | 768 | (1,748 | ) | 16 | 0 | ||||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
3.500 | Semi-Annual | 12/17/2044 | 44,200 | (6,956 | ) | 2,638 | (4,318 | ) | 60 | 0 | ||||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
3.250 | Semi-Annual | 06/17/2045 | 45,600 | (3,730 | ) | 1,410 | (2,320 | ) | 63 | 0 | ||||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
2.750 | Semi-Annual | 12/16/2045 | 3,800 | (52 | ) | 212 | 160 | 5 | 0 | |||||||||||||||||||||||||||||
Receive |
3-Month USD-LIBOR |
2.500 | Semi-Annual | 06/20/2048 | 3,100 | 287 | 21 | 308 | 5 | 0 | ||||||||||||||||||||||||||||||
Receive(4) |
6-Month EUR-EURIBOR |
1.250 | Annual | 09/19/2028 | EUR | 20,400 | (286 | ) | (471 | ) | (757 | ) | 0 | (32 | ) | |||||||||||||||||||||||||
Receive(4) |
6-Month EUR-EURIBOR |
1.250 | Annual | 12/19/2028 | 1,200 | (21 | ) | (16 | ) | (37 | ) | 0 | (2 | ) | ||||||||||||||||||||||||||
Receive(4) |
6-Month GBP-LIBOR |
1.500 | Semi-Annual | 09/19/2028 | GBP | 52,170 | 1,195 | (864 | ) | 331 | 76 | 0 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
$ | (14,297 | ) | $ | (29,639 | ) | $ | (43,936 | ) | $ | 408 | $ | (549 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
Total Swap Agreements |
|
$ | (14,734 | ) | $ | (29,956 | ) | $ | (44,690 | ) | $ | 408 | $ | (604 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
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 June 30, 2018:
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(5) |
$ | 0 | $ | 0 | $ | 408 | $ | 408 | $ | 0 | $ | 0 | $ | (604 | ) | $ | (604 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(o) | Securities with an aggregate market value of $1,271 and cash of $25,045 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of June 30, 2018. |
(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 entitys 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) | 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. |
(5) | The Subsidiary did not have Exchange-Traded or Centrally Cleared financial derivative instruments as of period end. |
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2018 | 99 |
Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.)
(p) 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 |
07/2018 | BRL | 24,736 | $ | 6,415 | $ | 33 | $ | 0 | |||||||||||||||
07/2018 | $ | 6,542 | BRL | 24,736 | 0 | (160 | ) | |||||||||||||||||
08/2018 | ARS | 4,680 | $ | 217 | 62 | 0 | ||||||||||||||||||
08/2018 | BRL | 24,736 | 6,524 | 164 | 0 | |||||||||||||||||||
09/2018 | ARS | 2,294 | 104 | 31 | 0 | |||||||||||||||||||
BPS |
07/2018 | 113,283 | 4,174 | 280 | (3 | ) | ||||||||||||||||||
07/2018 | PEN | 7,631 | 2,336 | 14 | 0 | |||||||||||||||||||
07/2018 | $ | 2,156 | ARS | 59,123 | 0 | (113 | ) | |||||||||||||||||
07/2018 | 102,438 | EUR | 88,043 | 379 | 0 | |||||||||||||||||||
07/2018 | 1,375 | GBP | 1,026 | 0 | (21 | ) | ||||||||||||||||||
08/2018 | EUR | 88,043 | $ | 102,666 | 0 | (374 | ) | |||||||||||||||||
BRC |
07/2018 | RUB | 469,253 | 7,463 | 0 | (3 | ) | |||||||||||||||||
08/2018 | $ | 7,429 | RUB | 469,253 | 3 | 0 | ||||||||||||||||||
09/2018 | ARS | 180,651 | $ | 6,503 | 765 | 0 | ||||||||||||||||||
CBK |
07/2018 | 2,923 | 135 | 34 | 0 | |||||||||||||||||||
07/2018 | GBP | 108,389 | 143,602 | 555 | 0 | |||||||||||||||||||
07/2018 | $ | 108 | ARS | 3,112 | 0 | (1 | ) | |||||||||||||||||
07/2018 | 362 | RUB | 22,873 | 2 | 0 | |||||||||||||||||||
10/2018 | 146 | ARS | 4,390 | 0 | (9 | ) | ||||||||||||||||||
DUB |
07/2018 | ARS | 36,133 | $ | 1,295 | 46 | 0 | |||||||||||||||||
07/2018 | $ | 1,429 | ARS | 40,933 | 3 | (18 | ) | |||||||||||||||||
GLM |
07/2018 | GBP | 1,033 | $ | 1,378 | 14 | 0 | |||||||||||||||||
07/2018 | $ | 183 | ARS | 4,851 | 0 | (17 | ) | |||||||||||||||||
07/2018 | 847 | EUR | 725 | 0 | 0 | |||||||||||||||||||
07/2018 | 882 | RUB | 55,087 | 0 | (6 | ) | ||||||||||||||||||
08/2018 | 978 | EUR | 838 | 3 | 0 | |||||||||||||||||||
HUS |
07/2018 | ARS | 1,170 | $ | 55 | 15 | 0 | |||||||||||||||||
07/2018 | $ | 6 | ARS | 164 | 0 | (1 | ) | |||||||||||||||||
07/2018 | 6,122 | RUB | 391,293 | 105 | 0 | |||||||||||||||||||
08/2018 | ARS | 1,190 | $ | 55 | 16 | 0 | ||||||||||||||||||
08/2018 | $ | 5,760 | RUB | 360,015 | 0 | (59 | ) | |||||||||||||||||
10/2018 | 21 | ARS | 620 | 0 | (1 | ) | ||||||||||||||||||
JPM |
07/2018 | ARS | 2,882 | $ | 133 | 34 | 0 | |||||||||||||||||
07/2018 | $ | 99 | ARS | 2,882 | 0 | 0 | ||||||||||||||||||
07/2018 | 1,240 | EUR | 1,058 | 0 | (5 | ) | ||||||||||||||||||
MSB |
07/2018 | BRL | 8,186 | $ | 2,228 | 116 | 0 | |||||||||||||||||
07/2018 | $ | 2,123 | BRL | 8,186 | 0 | (11 | ) | |||||||||||||||||
NGF |
07/2018 | ARS | 195 | $ | 7 | 0 | 0 | |||||||||||||||||
SCX |
07/2018 | BRL | 16,551 | 4,532 | 262 | 0 | ||||||||||||||||||
07/2018 | $ | 4,292 | BRL | 16,551 | 0 | (22 | ) | |||||||||||||||||
07/2018 | 1,220 | GBP | 926 | 2 | 0 | |||||||||||||||||||
SSB |
07/2018 | EUR | 89,826 | $ | 104,006 | 0 | (893 | ) | ||||||||||||||||
07/2018 | GBP | 5,710 | 7,652 | 117 | 0 | |||||||||||||||||||
UAG |
07/2018 | $ | 149,653 | GBP | 113,180 | 0 | (283 | ) | ||||||||||||||||
08/2018 | GBP | 113,180 | $ | 149,865 | 291 | 0 | ||||||||||||||||||
|
|
|
|
|||||||||||||||||||||
Total Forward Foreign Currency Contracts |
|
$ | 3,346 | $ | (2,000 | ) | ||||||||||||||||||
|
|
|
|
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 June 30, 2018(2) |
Notional Amount(3) |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Swap Agreements, at Value |
|||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||||
BPS | Petrobras Global Finance BV |
1.000 | % | Quarterly | 06/20/2021 | 2.499 | % | $ | 4,600 | $ | (1,243 | ) | $ | 1,053 | $ | 0 | $ | (190 | ) | |||||||||||||||||
Petrobras Global Finance BV |
1.000 | Quarterly | 12/20/2021 | 2.789 | 100 | (16 | ) | 10 | 0 | (6 | ) | |||||||||||||||||||||||||
BRC | Petrobras Global Finance BV |
1.000 | Quarterly | 06/20/2021 | 2.499 | 800 | (218 | ) | 185 | 0 | (33 | ) | ||||||||||||||||||||||||
GST | Petrobras Global Finance BV |
1.000 | Quarterly | 06/20/2021 | 2.499 | 3,931 | (1,070 | ) | 908 | 0 | (162 | ) | ||||||||||||||||||||||||
Petrobras Global Finance BV |
1.000 | Quarterly | 12/20/2021 | 2.789 | 500 | (78 | ) | 50 | 0 | (28 | ) | |||||||||||||||||||||||||
Springleaf Finance Corp. |
5.000 | Quarterly | 06/20/2022 | 2.090 | 900 | 49 | 48 | 97 | 0 |
100 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
June 30, 2018
Counterparty | Reference Entity | Fixed Receive Rate |
Payment Frequency |
Maturity Date |
Implied Credit Spread at June 30, 2018(2) |
Notional Amount(3) |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Swap Agreements, at Value |
|||||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||||||
HUS | Petrobras Global Finance BV |
1.000 | % | Quarterly | 09/20/2020 | 2.175 | % | $ | 240 | $ | (34 | ) | $ | 28 | $ | 0 | $ | (6 | ) | |||||||||||||||||||
Petrobras Global Finance BV |
1.000 | Quarterly | 06/20/2021 | 2.499 | 7,200 | (1,968 | ) | 1,671 | 0 | (297 | ) | |||||||||||||||||||||||||||
JPM | Springleaf Finance Corp. |
5.000 | Quarterly | 06/20/2022 | 2.090 | 5,000 | 420 | 119 | 539 | 0 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
$ | (4,158 | ) | $ | 4,072 | $ | 636 | $ | (722 | ) | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
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 | |||||||||||||||||||||||||||||||||
DUB | CMBX.NA.BBB-.6 Index |
3.000 | % | Monthly | 05/11/2063 | $ | 2,700 | $ | (178 | ) | $ | (101 | ) | $ | 0 | $ | (279 | ) | ||||||||||||||||
CMBX.NA.BBB-.9 Index |
3.000 | Monthly | 09/17/2058 | 3,500 | (439 | ) | 79 | 0 | (360 | ) | ||||||||||||||||||||||||
FBF | ABX.HE.AA.6-2 Index |
0.170 | Monthly | 05/25/2046 | 27,118 | (24,101 | ) | 16,513 | 0 | (7,588 | ) | |||||||||||||||||||||||
CMBX.NA.BBB-.10 Index |
3.000 | Monthly | 11/17/2059 | 100 | (11 | ) | 2 | 0 | (9 | ) | ||||||||||||||||||||||||
CMBX.NA.BBB-.6 Index |
3.000 | Monthly | 05/11/2063 | 400 | (48 | ) | 7 | 0 | (41 | ) | ||||||||||||||||||||||||
CMBX.NA.BBB-.7 Index |
3.000 | Monthly | 01/17/2047 | 600 | (55 | ) | 13 | 0 | (42 | ) | ||||||||||||||||||||||||
CMBX.NA.BBB-.8 Index |
3.000 | Monthly | 10/17/2057 | 1,500 | (234 | ) | 56 | 0 | (178 | ) | ||||||||||||||||||||||||
GST | CMBX.NA.A.6 Index |
2.000 | Monthly | 05/11/2063 | 5,400 | (275 | ) | 248 | 0 | (27 | ) | |||||||||||||||||||||||
CMBX.NA.BB.6 Index |
5.000 | Monthly | 05/11/2063 | 2,200 | (294 | ) | (126 | ) | 0 | (420 | ) | |||||||||||||||||||||||
CMBX.NA.BBB-.6 Index |
3.000 | Monthly | 05/11/2063 | 6,600 | (361 | ) | (320 | ) | 0 | (681 | ) | |||||||||||||||||||||||
CMBX.NA.BBB-.9 Index |
3.000 | Monthly | 09/17/2058 | 6,700 | (839 | ) | 149 | 0 | (690 | ) | ||||||||||||||||||||||||
MYC | CMBX.NA.BBB-.10 Index |
3.000 | Monthly | 11/17/2059 | 700 | (86 | ) | 23 | 0 | (63 | ) | |||||||||||||||||||||||
CMBX.NA.BBB-.6 Index |
3.000 | Monthly | 05/11/2063 | 2,200 | (117 | ) | (110 | ) | 0 | (227 | ) | |||||||||||||||||||||||
CMBX.NA.BBB-.9 Index |
3.000 | Monthly | 09/17/2058 | 3,900 | (482 | ) | 80 | 0 | (402 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
$ | (27,520 | ) | $ | 16,513 | $ | 0 | $ | (11,007 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Total Swap Agreements |
$ | (31,678 | ) | $ | 20,585 | $ | 636 | $ | (11,729 | ) | ||||||||||||||||||||||||
|
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|
|
|
|
|
|
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 June 30, 2018:
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 |
$ | 290 | $ | 0 | $ | 0 | $ | 290 | $ | (160 | ) | $ | 0 | $ | 0 | $ | (160 | ) | $ | 130 | $ | 0 | $ | 130 | ||||||||||||||||||||||||
BPS |
673 | 0 | 0 | 673 | (511 | ) | 0 | (196 | ) | (707 | ) | (34 | ) | 0 | (34 | ) | ||||||||||||||||||||||||||||||||
BRC |
768 | 0 | 0 | 768 | (3 | ) | 0 | (33 | ) | (36 | ) | 732 | (310 | ) | 422 | |||||||||||||||||||||||||||||||||
CBK |
591 | 0 | 0 | 591 | (10 | ) | 0 | 0 | (10 | ) | 581 | (1,710 | ) | (1,129 | ) | |||||||||||||||||||||||||||||||||
DUB |
49 | 0 | 0 | 49 | (18 | ) | 0 | (639 | ) | (657 | ) | (608 | ) | 546 | (62 | ) | ||||||||||||||||||||||||||||||||
FBF |
0 | 0 | 0 | 0 | 0 | 0 | (7,858 | ) | (7,858 | ) | (7,858 | ) | 7,805 | (53 | ) | |||||||||||||||||||||||||||||||||
GLM |
17 | 0 | 0 | 17 | (23 | ) | 0 | 0 | (23 | ) | (6 | ) | 0 | (6 | ) | |||||||||||||||||||||||||||||||||
GST |
0 | 0 | 97 | 97 | 0 | 0 | (2,008 | ) | (2,008 | ) | (1,911 | ) | 1,769 | (142 | ) | |||||||||||||||||||||||||||||||||
HUS |
136 | 0 | 0 | 136 | (61 | ) | 0 | (303 | ) | (364 | ) | (228 | ) | 265 | 37 | |||||||||||||||||||||||||||||||||
JPM |
34 | 0 | 539 | 573 | (5 | ) | 0 | 0 | (5 | ) | 568 | (570 | ) | (2 | ) | |||||||||||||||||||||||||||||||||
MSB |
116 | 0 | 0 | 116 | (11 | ) | 0 | 0 | (11 | ) | 105 | 0 | 105 | |||||||||||||||||||||||||||||||||||
MYC |
0 | 0 | 0 | 0 | 0 | 0 | (692 | ) | (692 | ) | (692 | ) | 669 | (23 | ) | |||||||||||||||||||||||||||||||||
SCX |
264 | 0 | 0 | 264 | (22 | ) | 0 | 0 | (22 | ) | 242 | (140 | ) | 102 | ||||||||||||||||||||||||||||||||||
SSB |
117 | 0 | 0 | 117 | (893 | ) | 0 | 0 | (893 | ) | (776 | ) | (320 | ) | (1,096 | ) | ||||||||||||||||||||||||||||||||
UAG |
291 | 0 | 0 | 291 | (283 | ) | 0 | 0 | (283 | ) | 8 | 0 | 8 | |||||||||||||||||||||||||||||||||||
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|
|
|
|
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|
|
|
|
|||||||||||||||||||||||||||||||||
Total Over the Counter |
$ | 3,346 | $ | 0 | $ | 636 | $ | 3,982 | $ | (2,000 | ) | $ | 0 | $ | (11,729 | ) | $ | (13,729 | ) | |||||||||||||||||||||||||||||
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|
|
(q) | Securities with an aggregate market value of $11,323 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of June 30, 2018. |
(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 entitys credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2018 | 101 |
Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.)
(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 on credit indices serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced indices credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(5) | Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC derivatives can only be netted across transactions governed under the same master agreement with the same legal entity. The Fund and Subsidiary are recognized as two separate legal entities. As such, exposure cannot be netted. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information regarding master netting agreements. |
FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS
The following is a summary of the fair valuation of the Funds 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 Consolidated Statements of Assets and Liabilities as of June 30, 2018:
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 | $ | 0 | $ | 0 | $ | 0 | $ | 408 | $ | 408 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Over the counter |
| |||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 3,346 | $ | 0 | $ | 3,346 | ||||||||||||
Swap Agreements |
0 | 636 | 0 | 0 | 0 | 636 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 636 | $ | 0 | $ | 3,346 | $ | 0 | $ | 3,982 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 636 | $ | 0 | $ | 3,346 | $ | 408 | $ | 4,390 | |||||||||||||
|
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|
|
|
|
|
|
|
|
|
|
|||||||||||||
Financial Derivative Instruments - Liabilities |
| |||||||||||||||||||||||
Exchange-traded or centrally cleared |
| |||||||||||||||||||||||
Swap Agreements |
$ | 0 | $ | 55 | $ | 0 | $ | 0 | $ | 549 | $ | 604 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Over the counter |
| |||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 2,000 | $ | 0 | $ | 2,000 | ||||||||||||
Swap Agreements |
0 | 11,729 | 0 | 0 | 0 | 11,729 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 11,729 | $ | 0 | $ | 2,000 | $ | 0 | $ | 13,729 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 11,784 | $ | 0 | $ | 2,000 | $ | 549 | $ | 14,333 | |||||||||||||
|
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|
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The effect of Financial Derivative Instruments on the Consolidated Statements of Operations for the period ended June 30, 2018:
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 | $ | 1,012 | $ | 0 | $ | 0 | $ | (2,013 | ) | $ | (1,001 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Over the counter |
| |||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 42 | $ | 0 | $ | 42 | ||||||||||||
Swap Agreements |
0 | 1,492 | 0 | 0 | 0 | 1,492 | ||||||||||||||||||
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|
|
|
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|
|
|
|
|
|||||||||||||
$ | 0 | $ | 1,492 | $ | 0 | $ | 42 | $ | 0 | $ | 1,534 | |||||||||||||
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|
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|
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|
|
|
|
|
|||||||||||||
$ | 0 | $ | 2,504 | $ | 0 | $ | 42 | $ | (2,013 | ) | $ | 533 | ||||||||||||
|
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|
|
|
|
|
|
|
|
|
|
|||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative Instruments |
| |||||||||||||||||||||||
Exchange-traded or centrally cleared |
| |||||||||||||||||||||||
Swap Agreements |
$ | 0 | $ | (546 | ) | $ | 0 | $ | 0 | $ | (5,643 | ) | $ | (6,189 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Over the counter |
| |||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 4,056 | $ | 0 | $ | 4,056 | ||||||||||||
Swap Agreements |
0 | 2,337 | 0 | 0 | 0 | 2,337 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 2,337 | $ | 0 | $ | 4,056 | $ | 0 | $ | 6,393 | |||||||||||||
|
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|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 1,791 | $ | 0 | $ | 4,056 | $ | (5,643 | ) | $ | 204 | ||||||||||||
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102 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
June 30, 2018
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of June 30, 2018 in valuing the Funds assets and liabilities:
There were no significant transfers among Levels 1 and 2 during the period ended June 30, 2018.
The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended June 30, 2018:
Category and Subcategory | Beginning Balance at 06/30/2017 |
Net Purchases |
Net Sales |
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 06/30/2018 |
Net Change in Unrealized Appreciation/ (Depreciation) on Investments Held at 06/30/2018(1) |
||||||||||||||||||||||||||||||
Investments in Securities, at Value |
| |||||||||||||||||||||||||||||||||||||||
Loan Participations and Assignments |
$ | 5,076 | $ | 7,844 | $ | (5,600 | ) | $ | 11 | $ | (1,237 | ) | $ | 419 | $ | 9,792 | $ | 0 | $ | 16,305 | $ | 58 | ||||||||||||||||||
Corporate Bonds & Notes |
| |||||||||||||||||||||||||||||||||||||||
Banking & Finance |
20,494 | 0 | 0 | 43 | 0 | (266 | ) | 0 | 0 | 20,271 | (266 | ) | ||||||||||||||||||||||||||||
Industrials |
23,271 | 1,453 | (10,710 | ) | 2 | 109 | 491 | 2 | (13,854 | ) | 764 | (19 | ) | |||||||||||||||||||||||||||
Non-Agency Mortgage-Backed Securities |
28,497 | 0 | (5,048 | ) | 13 | 1,883 | (1,640 | ) | 0 | 0 | 23,705 | (75 | ) | |||||||||||||||||||||||||||
Asset-Backed Securities |
52,450 | 9,766 | 0 | 960 | 0 | (1,850 | ) | 0 | (20,399 | ) | 40,927 | (4,197 | ) | |||||||||||||||||||||||||||
Common Stocks |
| |||||||||||||||||||||||||||||||||||||||
Energy |
0 | 380 | 0 | 0 | 0 | 3,697 | 0 | 0 | 4,077 | 3,697 | ||||||||||||||||||||||||||||||
Financials |
841 | 0 | 0 | 0 | 0 | 208 | 0 | 0 | 1,049 | 208 | ||||||||||||||||||||||||||||||
Utilities |
0 | 4,147 | 0 | 0 | 0 | 0 | 0 | 0 | 4,147 | 0 | ||||||||||||||||||||||||||||||
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Totals |
$ | 130,629 | $ | 23,590 | $ | (21,358 | ) | $ | 1,029 | $ | 755 | $ | 1,059 | $ | 9,794 | $ | (34,253 | ) | $ | 111,245 | $ | (594 | ) | |||||||||||||||||
|
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|
|
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2018 | 103 |
Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.)
June 30, 2018
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 06/30/2018 |
Valuation Technique |
Unobservable Inputs |
Input Value(s) (% Unless Noted Otherwise) |
||||||||
Investments in Securities, at Value |
| |||||||||||
Loan Participations and Assignments |
$ | 15,905 | Third Party Vendor | Broker Quote | 102.000-105.000 | |||||||
400 | Proxy Pricing | Base Price | 100.070 | |||||||||
Corporate Bonds & Notes |
| |||||||||||
Banking & Finance |
10,589 | Reference Instrument | OAS Spread | 525.729 bps | ||||||||
9,682 | Reference Instrument | Spread Movement | 24.000 bps | |||||||||
Industrials |
762 | Reference Instrument | Yield | 10.153 | ||||||||
2 | Proxy Pricing | Base Price | 0.070 | |||||||||
Non-Agency Mortgage-Backed Securities |
14,477 | Proxy Pricing | Base Price | 4.700-102.500 | ||||||||
9,228 | Third Party Vendor | Broker Quote | 88.470-91.250 | |||||||||
Asset-Backed Securities |
40,927 | Proxy Pricing | Base Price | 2.780-100,000.000 | ||||||||
Common Stocks |
| |||||||||||
Energy |
4,077 | Other Valuation Techniques(2) | | | ||||||||
Financials |
1,049 | Discounted Cash Flow | Discounted Rate | $ 1.200 | ||||||||
Common Stocks |
||||||||||||
Utilities |
4,147 | Indicative Market Quotation | Broker Quote | $ 35.500 | ||||||||
|
|
|||||||||||
Total |
$ | 111,245 | ||||||||||
|
|
(1) | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at June 30, 2018 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. |
104 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
June 30, 2018
ANNUAL REPORT | JUNE 30, 2018 | 105 |
Notes to Financial Statements (Cont.)
106 | PIMCO CLOSED-END FUNDS |
June 30, 2018
ANNUAL REPORT | JUNE 30, 2018 | 107 |
Notes to Financial Statements (Cont.)
108 | PIMCO CLOSED-END FUNDS |
June 30, 2018
ANNUAL REPORT | JUNE 30, 2018 | 109 |
Notes to Financial Statements (Cont.)
110 | PIMCO CLOSED-END FUNDS |
June 30, 2018
4. SECURITIES AND OTHER INVESTMENTS
(a) Investments in Affiliates
An affiliate includes any company in which a Fund owns 5% or more of the companys outstanding voting shares. The table below represents transactions in and earnings from these affiliated issuers at June 30, 2018 (amounts in thousands, except number of shares).
PIMCO Dynamic Credit and Mortgage Income Fund
Security Name | Shares Held at 06/30/2017 |
Shares Purchased |
Shares Sold |
Shares Held at 06/30/2018 |
Net Realized Gain/(Loss) |
Change in Unrealized Appreciation (Depreciation) |
Market Value 06/30/2018 |
Dividend Income |
||||||||||||||||||||||||||||
Sierra Hamilton Holder LLC |
0 | 30,136,800 | 0 | 30,136,800 | $ | 0 | $ | 3,216 | $ | 10,856 | $ | 0 |
| A zero balance may reflect actual amounts rounding to less than one thousand. |
ANNUAL REPORT | JUNE 30, 2018 | 111 |
Notes to Financial Statements (Cont.)
112 | PIMCO CLOSED-END FUNDS |
June 30, 2018
ANNUAL REPORT | JUNE 30, 2018 | 113 |
Notes to Financial Statements (Cont.)
114 | PIMCO CLOSED-END FUNDS |
June 30, 2018
ANNUAL REPORT | JUNE 30, 2018 | 115 |
Notes to Financial Statements (Cont.)
116 | PIMCO CLOSED-END FUNDS |
June 30, 2018
ANNUAL REPORT | JUNE 30, 2018 | 117 |
Notes to Financial Statements (Cont.)
118 | PIMCO CLOSED-END FUNDS |
June 30, 2018
ANNUAL REPORT | JUNE 30, 2018 | 119 |
Notes to Financial Statements (Cont.)
120 | PIMCO CLOSED-END FUNDS |
June 30, 2018
ANNUAL REPORT | JUNE 30, 2018 | 121 |
Notes to Financial Statements (Cont.)
122 | PIMCO CLOSED-END FUNDS |
June 30, 2018
ANNUAL REPORT | JUNE 30, 2018 | 123 |
Notes to Financial Statements (Cont.)
124 | PIMCO CLOSED-END FUNDS |
June 30, 2018
ANNUAL REPORT | JUNE 30, 2018 | 125 |
Notes to Financial Statements (Cont.)
Purchases and sales of securities (excluding short-term investments) for the period ended June 30, 2018, were as follows (amounts in thousands):
U.S. Government/Agency | All Other | |||||||||||||||||||
Fund Name | Purchases | Sales | Purchases | Sales | ||||||||||||||||
PIMCO PCM Fund, Inc. |
$ | 1,683 | $ | 172 | $ | 27,275 | $ | 15,809 | ||||||||||||
PIMCO Global StocksPLUS® & Income Fund |
92,099 | 58,386 | 40,573 | 30,001 | ||||||||||||||||
PIMCO Income Opportunity Fund |
3,320 | 569 | 127,327 | 96,716 | ||||||||||||||||
PIMCO Strategic Income Fund, Inc. |
345,719 | 26,633 | 90,182 | 32,548 | ||||||||||||||||
PIMCO Dynamic Credit and Mortgage Income Fund |
65,943 | 5,658 | 1,588,897 | 1,226,786 | ||||||||||||||||
PIMCO Dynamic Income Fund |
27,549 | 5,171 | 498,255 | 211,318 |
| A zero balance may reflect actual amounts rounding to less than one thousand. |
14. BASIS FOR CONSOLIDATION
PCILS I LLC and PDILS I LLC (each a Subsidiary and, collectively, the Subsidiaries), both Delaware LLC exempted companies, were formed as wholly owned subsidiaries acting as investment vehicles for PIMCO Dynamic Credit and Mortgage Income Fund and PIMCO Dynamic Income Fund (for purposes of this section, each a Fund and, collectively, the Funds), respectively, in order to effect certain investments consistent with each Funds objectives and policies in effect from time to time. PCILS I LLC and PDILS I LLC were formed on March 7, 2013 and March 12, 2013, respectively. PIMCO Dynamic Income Credit and Mortgage Funds and PIMCO Dynamic Income Funds investment portfolios have been consolidated and include the portfolio holdings of each Funds respective Subsidiary. Accordingly, the consolidated financial statements for each Fund include the accounts of each Funds respective subsidiary. All inter-company transactions and balances have been eliminated. This structure was established so that certain loans could be held by a separate legal entity from the Funds. See the table below for details regarding the structure, incorporation and relationship as of period end of the Subsidiaries (amounts in thousands).
PCILS I LLC | PDILS I LLC | |||||||||||
Date of Formation |
03/07/2013 | 03/12/2013 | ||||||||||
Consolidated Fund Net Assets |
$ | 3,257,183 | $ | 1,575,518 | ||||||||
Subsidiary % of Fund Net Assets |
1.0% | 0.4% | ||||||||||
Subsidiary Financial Statement Information |
||||||||||||
Total assets |
$ | 31,767 | $ | 5,576 | ||||||||
Total liabilities |
0 | 0 | ||||||||||
Net assets |
$ | 31,767 | $ | 5,576 | ||||||||
Total income |
1,111 | 195 | ||||||||||
Net investment income (loss) |
1,111 | 195 | ||||||||||
Net realized gain (loss) |
0 | 0 | ||||||||||
Net change in unrealized appreciation (depreciation) |
55 | 9 | ||||||||||
Increase (decrease) in net assets resulting from operations |
$ | 1,166 | $ | 204 |
| A zero balance may reflect actual amounts rounding to less than one thousand. |
126 | PIMCO CLOSED-END FUNDS |
June 30, 2018
As of June 30, 2018, the components of distributable taxable earnings are as follows (amounts in thousands):
Undistributed Ordinary Income(1) |
Undistributed Long-Term Capital Gains |
Net Tax Basis Unrealized Appreciation/ (Depreciation)(2) |
Other Book-to-Tax Accounting Differences(3) |
Accumulated Capital Losses(4) |
Qualified Late-Year Loss Deferral - Capital(5) |
Qualified Late-Year Loss Deferral - Ordinary(6) |
||||||||||||||||||||||||||
PCM Fund, Inc. |
$ | 2,239 | $ | 0 | $ | 7,700 | $ | (926 | ) | $ | (1,314 | ) | $ | 0 | $ | 0 | ||||||||||||||||
PIMCO Global StocksPLUS® & Income Fund |
0 | 0 | 3,090 | (1,315 | ) | (24,381 | ) | 0 | 0 | |||||||||||||||||||||||
PIMCO Income Opportunity Fund |
2,193 | 0 | 39,044 | (2,877 | ) | (5,431 | ) | 0 | 0 | |||||||||||||||||||||||
PIMCO Strategic Income Fund, Inc. |
0 | 0 | (11,429 | ) | (3,095 | ) | (28,047 | ) | 0 | 0 | ||||||||||||||||||||||
PIMCO Dynamic Credit and Mortgage Income Fund |
48,619 | 0 | 121,473 | (22,513 | ) | (164,775 | ) | 0 | 0 | |||||||||||||||||||||||
PIMCO Dynamic Income Fund |
29,744 | 0 | 229,178 | (11,892 | ) | (22,236 | ) | 0 | 0 |
| A zero balance may reflect actual amounts rounding to less than one thousand. |
(1) | Includes undistributed short-term capital gains, if any. |
(2) | Adjusted for open wash sale loss deferrals and the accelerated recognition of unrealized gain or loss on certain futures, options and forward contracts for federal income tax purposes. Also adjusted for differences between book and tax realized and unrealized gain (loss) on swap contracts, partnership adjustments, passive foreign investment companies (PFICs), convertible preferred securities, straddle loss deferrals, Lehman securities, and sale/buyback transactions. |
(3) | Represents differences in income tax regulations and financial accounting principles generally accepted in the United States of America, mainly for distributions payable at fiscal year-end. |
(4) | Capital losses available to offset future net capital gains expire in varying amounts as shown below. |
(5) | Capital losses realized during the period November 1, 2017 through June 30, 2018 which the Funds elected to defer to the following taxable year pursuant to income tax regulations. |
(6) | Specified losses realized during the period November 1, 2017 through June 30, 2018 and Ordinary losses realized during the period January 1, 2018. through June 30, 2018, |
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 June 30, 2018, the Funds had the following post-effective capital losses with no expiration (amounts in thousands):
Short-Term | Long-Term | |||||||||||
PCM Fund, Inc. |
$ | 0 | $ | 1,314 | ||||||||
PIMCO Global StocksPLUS® & Income Fund |
24,381 | 0 | ||||||||||
PIMCO Income Opportunity Fund |
0 | 5,431 | ||||||||||
PIMCO Strategic Income Fund, Inc. |
28,047 | 0 | ||||||||||
PIMCO Dynamic Credit and Mortgage Income Fund |
112,745 | 52,030 | ||||||||||
PIMCO Dynamic Income Fund |
0 | 22,236 |
| A zero balance may reflect actual amounts rounding to less than one thousand. |
ANNUAL REPORT | JUNE 30, 2018 | 127 |
Notes to Financial Statements (Cont.)
As of June 30, 2018, 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)(7) |
|||||||||||||||||
PCM Fund, Inc. |
$ | 170,524 | $ | 21,258 | $ | (13,559 | ) | $ | 7,699 | |||||||||||
PIMCO Global StocksPLUS® & Income Fund |
176,294 | 21,617 | (18,622 | ) | 2,995 | |||||||||||||||
PIMCO Income Opportunity Fund |
494,125 | 67,600 | (28,747 | ) | 38,853 | |||||||||||||||
PIMCO Strategic Income Fund, Inc. |
1,233,511 | 35,921 | (47,290 | ) | (11,369 | ) | ||||||||||||||
PIMCO Dynamic Credit and Mortgage Income Fund |
5,459,602 | 494,274 | (378,178 | ) | 116,096 | |||||||||||||||
PIMCO Dynamic Income Fund |
2,326,008 | 381,892 | (153,663 | ) | 228,229 |
| A zero balance may reflect actual amounts rounding to less than one thousand. |
(7) | Primary differences, if any, between book and tax net unrealized appreciation/(depreciation) on investments are attributable to open wash sale loss deferrals, sale/buyback transactions, passive foreign investment companies (PFICs), return of capital distributions from underlying funds, convertible preferred securities, unrealized gain or loss on certain futures, options and forward contracts, realized and unrealized gain (loss) swap contracts, straddle loss deferrals, Lehman securities, and partnership adjustments. |
For the fiscal years ended June 30, 2018 and June 30, 2017, respectively, the Funds made the following tax basis distributions (amounts in thousands):
June 30, 2018 | June 30, 2017 | |||||||||||||||||||||||||||
Ordinary Income Distributions(8) |
Long-Term Capital Gain Distributions |
Return of Capital(9) |
Ordinary Income Distributions(8) |
Long-Term Capital Gain Distributions |
Return of Capital(9) |
|||||||||||||||||||||||
PCM Fund, Inc. |
$ | 11,341 | $ | 0 | $ | 0 | $ | 16,862 | $ | 0 | $ | 0 | ||||||||||||||||
PIMCO Global StocksPLUS® & Income Fund |
15,394 | 0 | 1,915 | 17,812 | 0 | 2,117 | ||||||||||||||||||||||
PIMCO Income Opportunity Fund |
34,421 | 0 | 0 | 38,429 | 0 | 899 | ||||||||||||||||||||||
PIMCO Strategic Income Fund, Inc. |
36,951 | 0 | 0 | 33,902 | 0 | 5,051 | ||||||||||||||||||||||
PIMCO Dynamic Credit and Mortgage Income Fund |
270,155 | 0 | 0 | 356,605 | 0 | 0 | ||||||||||||||||||||||
PIMCO Dynamic Income Fund |
134,192 | 0 | 0 | 190,382 | 0 | 0 |
| A zero balance may reflect actual amounts rounding to less than one thousand. |
(8) | Includes short-term capital gains distributed, if any. |
(9) | A portion of the distributions made represents a tax return of capital. Return of capital distributions have been reclassified from undistributed net investment income to paid-in capital to more appropriately conform financial accounting to tax accounting. |
128 | PIMCO CLOSED-END FUNDS |
June 30, 2018
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 July 6, 2018, the SEC declared effective a registration statement filed using the shelf registration process for PIMCO Income Opportunity Fund. Pursuant to the shelf registration, PIMCO Income Opportunity Fund may offer and sell, from time to time, in one or more offerings, up to 3,000,000 of its Common Shares, par value $0.00001 per share. The aggregate sale proceeds for the sales of the PIMCO Income Opportunity Fund Common Shares are subject to an aggregate cap of $85,000,000. The 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.
On July 2, 2018, the following distributions were declared to common shareholders payable August 1, 2018 to shareholders of record on July 13, 2018:
PCM Fund, Inc. |
$ | 0.080000 per common share | ||||||
PIMCO Global StocksPLUS® & Income Fund |
$ | 0.122000 per common share | ||||||
PIMCO Income Opportunity Fund |
$ | 0.190000 per common share | ||||||
PIMCO Strategic Income Fund, Inc. |
$ | 0.072000 per common share | ||||||
PIMCO Dynamic Credit and Mortgage Income Fund |
$ | 0.164063 per common share | ||||||
PIMCO Dynamic Income Fund |
$ | 0.220500 per common share |
On August 1, 2018, the following distributions were declared to common shareholders payable September 4, 2018 to shareholders of record on August 13, 2018:
PCM Fund, Inc. |
$ | 0.080000 per common share | ||||||
PIMCO Global StocksPLUS® & Income Fund |
$ | 0.122000 per common share | ||||||
PIMCO Income Opportunity Fund |
$ | 0.190000 per common share | ||||||
PIMCO Strategic Income Fund, Inc. |
$ | 0.072000 per common share | ||||||
PIMCO Dynamic Credit and Mortgage Income Fund |
$ | 0.164063 per common share | ||||||
PIMCO Dynamic Income Fund |
$ | 0.220500 per common share |
The PIMCO Strategic Income Fund, Inc. intends to apply to the IRS for a change in accounting method with respect to the Funds treatment of mortgage dollar rolls for U.S. federal income tax purposes. If granted, such change in accounting method will affect the source and may affect the characterization of the Funds distributions to shareholders for U.S. federal income tax purposes. See Note 16 Federal Income Tax Matters above.
There were no other subsequent events identified that require recognition or disclosure.
ANNUAL REPORT | JUNE 30, 2018 | 129 |
Report of Independent Registered Public Accounting Firm
To the Board of Directors/Trustees and Shareholders of PCM Fund, Inc., PIMCO Global StocksPLUS® & Income Fund, PIMCO Income Opportunity Fund, PIMCO Strategic Income Fund, Inc., PIMCO Dynamic Credit and Mortgage Income Fund and PIMCO Dynamic Income Fund
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of PCM Fund, Inc., PIMCO Global StocksPLUS® & Income Fund, PIMCO Income Opportunity Fund, PIMCO Strategic Income Fund, Inc., PIMCO Dynamic Credit and Mortgage Income Fund and PIMCO Dynamic Income Fund (hereafter collectively referred to as the Funds) as of June 30, 2018, the related statements of operations and cash flows for the year ended June 30, 2018, the statements of changes in net assets for each of the two years in the period ended June 30, 2018, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the financial statements). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of June 30, 2018, the results of each of their operations and each of their cash flows for the year then ended, the changes in each of their net assets for each of the two years in the period ended June 30, 2018 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Funds management. Our responsibility is to express an opinion on the Funds financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of June 30, 2018 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/ PricewaterhouseCoopers LLP
Kansas City, Missouri
August 24, 2018
We have served as the auditor of one or more investment companies in PIMCO Taxable Closed-End Funds since 1995.
130 | PIMCO CLOSED-END FUNDS |
Glossary: (abbreviations that may be used in the preceding statements)
(Unaudited)
Counterparty Abbreviations: |
||||||||||
BCY | Barclays Capital, Inc. |
GSC | Goldman Sachs & Co. |
RCE | Royal Bank of Canada Europe Limited | |||||
BOA | Bank of America N.A. |
GST | Goldman Sachs International |
RCY | Royal Bank of Canada | |||||
BPG | BNP Paribas Securities Corp. |
HUS | HSBC Bank USA N.A. |
RDR | RBC Capital Markets LLC | |||||
BPS | BNP Paribas S.A. |
IND | Crédit Agricole Corporate and Investment Bank S.A. |
RTA | Bank of New York Mellon Corp. | |||||
BRC | Barclays Bank PLC |
JML | JP Morgan Securities Plc |
RYL | Royal Bank of Scotland Group PLC | |||||
CBK | Citibank N.A. |
JPM | JP Morgan Chase Bank N.A. |
SAL | Citigroup Global Markets, Inc. | |||||
CFR | Credit Suisse Securities (Europe) Ltd. |
JPS | JP Morgan Securities, Inc. |
SBI | Citigroup Global Markets Ltd. | |||||
DBL | Deutsche Bank AG London |
MSB | Morgan Stanley Bank, N.A |
SCX | Standard Chartered Bank | |||||
DUB | Deutsche Bank AG |
MYC | Morgan Stanley Capital Services, Inc. |
SOG | Societe Generale | |||||
FAR | Wells Fargo Bank National Association |
NGF | Nomura Global Financial Products, Inc. |
SSB | State Street Bank and Trust Co. | |||||
FBF | Credit Suisse International |
NOM | Nomura Securities International Inc. |
UAG | UBS AG Stamford | |||||
FICC | Fixed Income Clearing Corporation |
RBC | Royal Bank of Canada |
UBS | UBS Securities LLC | |||||
GLM | Goldman Sachs Bank USA |
|||||||||
Currency Abbreviations: |
||||||||||
ARS | Argentine Peso |
EUR | Euro |
NZD | New Zealand Dollar | |||||
AUD | Australian Dollar |
GBP | British Pound |
PEN | Peruvian New Sol | |||||
BRL | Brazilian Real |
JPY | Japanese Yen |
RUB | Russian Ruble | |||||
CAD | Canadian Dollar |
NGN | Nigerian Naira |
USD (or $) | United States Dollar | |||||
CHF | Swiss Franc |
|||||||||
Exchange Abbreviations: |
||||||||||
CME | Chicago Mercantile Exchange |
OTC | Over the Counter |
|||||||
Index/Spread Abbreviations: |
||||||||||
12MTA | 12 Month Treasury Average |
CMBX | Commercial Mortgage-Backed Index |
NDDUEAFE | MSCI EAFE Index | |||||
7-DayAuc | 7 Day Auction Rate |
COF 11 | Cost of Funds - 11th District of San Francisco |
S&P 500 | Standard & Poors 500 Index | |||||
ABX.HE | Asset-Backed Securities Index - Home Equity |
EUR003M | 3 Month EUR Swap Rate |
T1Y | 1 Year Treasury | |||||
ARPP7DRR | Argentina Central Bank 7 Day Repo Reference Rate |
EUR006M | 6 Month EUR Swap Rate |
US0001M | 1 Month USD Swap Rate | |||||
BADLARPP | Argentina Badlar Floating Rate Notes |
H15T1Y | 1 Year US Treasury Yield Curve Constant Maturity Rate |
US0003M | 3 Month USD Swap Rate | |||||
BP0003M | 3 Month GBP-LIBOR |
LIBOR01M | 1 Month USD-LIBOR |
US0006M | 6 Month USD Swap Rate | |||||
CDX.HY | Credit Derivatives Index - High Yield |
LIBOR03M | 3 Month USD-LIBOR |
US0012M | 12 Month USD Swap Rate | |||||
Other Abbreviations: |
||||||||||
ABS | Asset-Backed Security |
CDI | Brazil Interbank Deposit Rate |
PIK | Payment-in-Kind | |||||
ALT | Alternate Loan Trust |
CDO | Collateralized Debt Obligation |
REMIC | Real Estate Mortgage Investment Conduit | |||||
BABs | Build America Bonds |
CLO | Collateralized Loan Obligation |
SP - ADR | Sponsored American Depositary Receipt | |||||
BBR | Bank Bill Rate |
DAC | Designated Activity Company |
TBA | To-Be-Announced | |||||
BBSW | Bank Bill Swap Reference Rate |
EURIBOR | Euro Interbank Offered Rate |
TBD |
To-Be-Determined | |||||
CBO | Collateralized Bond Obligation |
LIBOR | London Interbank Offered Rate |
TBD% | Interest rate to be determined when loan settles |
ANNUAL REPORT | JUNE 30, 2018 | 131 |
Federal Income Tax Information
(Unaudited)
As required by the Code and Treasury Regulations, if applicable, shareholders must be notified within 60 days of the Funds fiscal year end regarding the status of qualified dividend income and the dividend received deduction.
Dividend Received Deduction. Corporate shareholders are generally entitled to take the dividend received deduction on the portion of a Funds dividend distribution that qualifies under tax law. The percentage of the following Funds Fiscal 2018 ordinary income dividend that qualifies for the corporate dividend received deduction is set forth below:
Qualified Dividend Income. Under the Jobs and Growth Tax Relief Reconciliation Act of 2003 (the 2003 Act), the following percentage of ordinary dividends paid during the fiscal year ended June 30, 2018 was designated as qualified dividend income as defined in the 2003 Act subject to reduced tax rates in 2018:
Qualified Interest Income and Qualified Short-Term Capital Gain (for non-U.S. resident shareholders only). Under the American Jobs Creation Act of 2004, the following amounts of ordinary dividends paid during the fiscal year ended June 30, 2018 are considered to be derived from qualified interest income, as defined in Section 871(k)(1)(E) of the Code, and therefore are designated as interest-related dividends, as defined in Section 871(k)(1)(C) of the Code. Further, the following amounts of ordinary dividends paid during the fiscal year ended June 30, 2018 are considered to be derived from qualified short-term capital gain, as defined in Section 871(k)(2)(D) of the Code, and therefore are designated as qualified short-term gain dividends, as defined by Section 871(k)(2)(C) of the Code.
Dividend Received Deduction % |
Qualified Dividend Income % |
Qualified Interest Income (000s ) |
Qualified Short-Term Capital Gain (000s) |
|||||||||||||||||
PCM Fund, Inc. |
0% | 0% | $ | 9,774 | $ | 0 | ||||||||||||||
PIMCO Global StocksPLUS® & Income Fund |
0% | 0% | 8,378 | 0 | ||||||||||||||||
PIMCO Income Opportunity Fund |
0% | 2.19% | 17,458 | 0 | ||||||||||||||||
PIMCO Strategic Income Fund, Inc. |
0% | 0% | 13,583 | 0 | ||||||||||||||||
PIMCO Dynamic Credit and Mortgage Income Fund |
0% | 0% | 135,051 | 0 | ||||||||||||||||
PIMCO Dynamic Income Fund |
0% | 0% | 69,981 | 0 |
| A zero balance may reflect actual amounts rounding to less than one thousand. |
Shareholders are advised to consult their own tax advisor with respect to the tax consequences of their investment in the Funds. In January 2019, you will be advised on IRS Form 1099-DIV as to the federal tax status of the dividends and distributions received by you in calendar year 2018.
132 | PIMCO CLOSED-END FUNDS |
(Unaudited)
Annual Shareholder Meeting Results
PCM Fund, Inc., PIMCO Income Opportunity Fund and PIMCO Dynamic Credit and Mortgage Income Fund held their annual meetings of shareholders on April 27, 2018. Shareholders voted as indicated below:
PIMCO Income Opportunity Fund | Affirmative | Withheld Authority |
||||||||||
Re-election of Deborah A. DeCotis Class I to serve until the annual Meeting held during the 2020-2021 fiscal year |
13,043,335 | 432,618 | ||||||||||
Re-election of Hans W. Kertess Class I to serve until the annual Meeting held during the 2020-2021 fiscal year |
13,017,642 | 458,311 | ||||||||||
Re-election of William B. Ogden, IV Class I to serve until the annual Meeting held during the 2020-2021 fiscal year
|
13,028,055 | 447,898 |
The other members of the Board of Trustees at the time of the meeting, namely, Messrs. Bradford K. Gallagher, James A. Jacobson, Alan Rappaport, John C. Maney and Craig A. Dawson continued to serve as Trustees of the Fund.
PCM Fund, Inc. | Affirmative | Withheld Authority |
||||||||||
Re-election of Craig A. Dawson Class III to serve until the annual meeting held during the 2020-2021 fiscal year |
10,039,173 | 182,146 | ||||||||||
Re-election of Deborah A. DeCotis Class III to serve until the annual Meeting held during the 2020-2021 fiscal year |
10,019,024 | 202,295 | ||||||||||
Re-election of Alan Rappaport Class III to serve until the annual Meeting held during the 2020-2021 fiscal year
|
10,041,803 | 179,516 |
The other members of the Board of Directors at the time of the meeting, namely, Messrs. Bradford K. Gallagher, Hans W. Kertess, James A. Jacobson, William B. Ogden, IV and John C. Maney continued to serve as Directors of the Fund.
| Interested Trustee |
PIMCO Dynamic Credit and Mortgage Income Fund | Affirmative | Withheld Authority |
||||||||||
Re-election of Craig A. Dawson Class II to serve until the annual Meeting held during the 2020-2021 fiscal year |
116,631,653 | 1,941,105 | ||||||||||
Re-election of Bradford K. Gallagher Class II to serve until the annual Meeting held during the 2020-2021 fiscal year |
116,301,315 | 2,271,443 | ||||||||||
Re-election of James A. Jacobson Class II to serve until the annual Meeting held during the 2020-2021 fiscal year
|
116,578,603 | 1,994,155 |
The other members of the Board of Trustees at the time of the meeting, namely, Ms. Deborah A. DeCotis and Messrs. Alan Rappaport, William B. Ogden, IV, John C. Maney and Hans W. Kertess continued to serve as Trustees of the Fund.
| Interested Trustee |
Annual Shareholder Meeting Results
PIMCO Strategic Income Fund, Inc., PIMCO Global StocksPLUS & Income Fund and PIMCO Dynamic Income Fund held their annual meetings of shareholders on June 29, 2018. Shareholders voted as indicated below.
PIMCO Global StocksPLUS & Income Fund | Affirmative | Withheld Authority |
||||||||||
Election of Craig A. Dawson Class I to serve until the annual meeting held during the 2020-2021 fiscal year |
9,586,026 | 508,092 | ||||||||||
Re-election of Hans W. Kertess Class I to serve until the annual meeting held during the 2020-2021 fiscal year |
9,585,819 | 508,299 | ||||||||||
Election of William B. Ogden, IV Class I to serve until the annual Meeting held during the 2020-2021 fiscal year |
8,739,510 | 1,354,608 |
The other members of the Board of Trustees at the time of the meeting, namely, Ms. Deborah A. DeCotis and Messrs. Alan Rappaport, Bradford K. Gallagher, James A. Jacobson and John C. Maney continued to serve as Trustees of the Fund.
| Interested Trustee |
PIMCO Dynamic Income Fund | Affirmative | Withheld Authority |
||||||||||
Re-election of Deborah A. DeCotis Class III to serve until the annual meeting held during the 2020-2021 fiscal year |
44,475,913 | 787,658 | ||||||||||
Re-election of Hans W. Kertess Class III to serve until the annual meeting held during the 2020-2021 fiscal year |
44,406,628 | 856,943 | ||||||||||
Re-election of John C. Maney Class I to serve until the annual Meeting held during the 2018-2019 fiscal year |
44,543,301 | 720,270 |
The other members of the Board of Trustees at the time of the meeting, namely, Messrs. Bradford K. Gallagher, James A. Jacobson, Craig A. Dawson, William B. Ogden, IV and Alan Rappaport continued to serve as Trustees of the Fund.
| Interested Trustee |
ANNUAL REPORT | JUNE 30, 2018 | 133 |
Shareholder Meeting Results (Cont.)
(Unaudited)
PIMCO Strategic Income Fund, Inc. | Affirmative | Withheld Authority |
||||||||||
Re-election of Craig A. Dawson Class III to serve until the annual Meeting held during the 2020-2021 fiscal year |
37,471,072 | 1,330,464 | ||||||||||
Re-election of Deborah A. DeCotis Class III to serve until the annual Meeting held during the 2020-2021 fiscal year |
37,502,517 | 1,284,479 | ||||||||||
Re-election of Alan Rappaport Class III to serve until the annual Meeting held during the 2020-2021 fiscal year |
37,468,417 | 1,318,579 |
The other members of the Board of Directors at the time of the meeting, namely, Messrs. Bradford K. Gallagher, Hans W. Kertess, James A. Jacobson, William B. Ogden, IV and John C. Maney continued to serve as Directors of the Fund.
| Interested Trustee |
134 | PIMCO CLOSED-END FUNDS |
Changes to Boards of Trustees/Changes to Portfolio Managers
(Unaudited)
Changes to Boards of Trustees
Effective June 29, 2018, Mr. Hans W. Kertess, who was previously a Class I Trustee of PIMCO Dynamic Income Fund, became a Class III Trustee of PIMCO Dynamic Income Fund and Mr. John C. Maney, who was previously a Class III Trustee of PIMCO Dynamic Income Fund, became a Class I Trustee of PIMCO Dynamic Income Fund.
Changes to Portfolio Managers
Effective March 16, 2018, Sai S. Devbhaktuni resigned as a portfolio manager of PIMCO Dynamic Credit and Mortgage Income Fund.
ANNUAL REPORT | JUNE 30, 2018 | 135 |
136 | PIMCO CLOSED-END FUNDS |
(Unaudited)
ANNUAL REPORT | JUNE 30, 2018 | 137 |
The chart below identifies Trustees/Directors and Officers of the Funds. Unless otherwise indicated, the address of all persons below is c/o Pacific Investment Management Company LLC, 1633 Broadway, New York, New York 10019.
Trustees/Directors
Name And Year of Birth |
Position(s) Held with the Funds |
Term of Office and Length of Time Served |
Principal Occupation(s) During the Past 5 Years |
Number of Portfolios in Fund Complex Overseen by Trustee/ Director |
Other Directorships Held by Trustee/Director During the Past 5 Years | |||||
Independent Trustees/Director | ||||||||||
Hans W. Kertess 1939 |
Chairman of the Board, Trustee/Director |
Director of PCM and RCS since 2008, Trustee of PCI since 2013, Trustee of PGP since 2005, Trustee of PKO since 2007 and Trustee of PDI since 2012, expected to stand for re-election at the annual meeting of shareholders held during the 2019-2020 fiscal year for PCM, PCI, and RCS and the 2020-2021 fiscal year for PKO, PDI and PGP. | President, H. Kertess & Co., a financial advisory company; and Senior Adviser (formerly Managing Director), Royal Bank of Canada Capital Markets (since 2004). | 93 | None | |||||
Deborah A. DeCotis 1952 |
Trustee/Director | Trustee/Director of RCS, PGP, PCM and PKO since 2011, Trustee of PDI since 2012 and Trustee of PCI since 2013, expected to stand for re-election at the annual meeting of shareholders held during the 2018-2019 fiscal year for PCI, the 2019-2020 fiscal year for PGP and the 2020-2021 fiscal year for PCM, PKO, RCS and PDI. | Advisory Director, Morgan Stanley & Co., Inc. (since 1996); Member, Circle Financial Group (since 2009); and Member, Council on Foreign Relations (since 2013); Trustee, Smith College (since 2017); and Director, Watford Re (since 2017). Formerly, Co-Chair Special Projects Committee, Memorial Sloan Kettering (2005-2015); Trustee, Stanford University (2010-2015); Principal, LaLoop LLC, a retail accessories company (1999-2014); Director, Helena Rubenstein Foundation (1997-2010); and Director, Armor Holdings (2002-2010). | 93 | None | |||||
Bradford K. Gallagher 1944 |
Trustee/Director | Trustee/Director of RCS, PCM, PGP and PKO since 2010, Trustee of PDI since 2012 and Trustee of PCI since 2013, expected to stand for re-election at the annual meeting of shareholders held during the 2018-2019 fiscal year for PGP, the 2019-2020 fiscal year for RCS, PKO, PDI and PCM and the 2020-2021 fiscal year for PCI. | Retired. Founder, Spyglass Investments LLC, a private investment vehicle (since 2001). Formerly, Chairman and Trustee, The Common Fund (2005-2014); Partner, New Technology Ventures Capital Management LLC, a venture capital fund (2011-2013); Chairman and Trustee, Atlantic Maritime Heritage Foundation (2007-2012); and Founder, President and CEO, Cypress Holding Company and Cypress Tree Investment Management Company (1995-2001). | 93 | Formerly, Chairman and Trustee of Grail Advisors ETF Trust (2009-2010); and Trustee of Nicholas- Applegate Institutional Funds (2007-2010). | |||||
James A. Jacobson 1945 |
Trustee/Director | Trustee/Director of RCS, PCM, PGP and PKO since 2009, Trustee of PDI since 2012 and Trustee of PCI since 2013, expected to stand for re-election at the annual meeting of shareholders held during the 2018-2019 fiscal year for RCS, PGP, PCM and PKO, the 2019-2020 fiscal year for PDI and the 2020-2021 fiscal year for PCI. | Retired. Trustee (since 2002) and Chairman of Investment Committee (since 2007), Ronald McDonald House of New York; and Trustee, New Jersey City University (since 2014). Formerly, Vice Chairman and Managing Director, Spear, Leeds & Kellogg Specialists, LLC, a specialist firm on the New York Stock Exchange (2003-2008). | 93 | Formerly, Trustee, Alpine Mutual Funds Complex consisting of 18 funds. | |||||
William B. Ogden, IV 1945 |
Trustee/Director | Trustee/Director of PCM, RCS and PKO since 2008, Trustee of PGP since 2006, Trustee of PDI since 2012 and Trustee of PCI since 2013, expected to stand for reelection at the annual meeting of shareholders held during the 2018-2019 fiscal year for RCS, PCM and PDI, the 2019-2020 fiscal year for PCI and the 2020-2021 fiscal year for PKO and PGP. | Retired. Formerly, Asset Management Industry Consultant; and Managing Director, Investment Banking Division of Citigroup Global Markets Inc. | 93 | None |
138 | PIMCO CLOSED-END FUNDS |
(Unaudited)
Name And Year of Birth |
Position(s) Held with the Funds |
Term of Office and Length of Time Served |
Principal Occupation(s) During the Past 5 Years |
Number of Portfolios in Fund Complex Overseen by Trustee/ Director |
Other Directorships Held by Trustee/Director During the Past 5 Years | |||||
Alan Rappaport 1953 |
Trustee/Director | Trustee/Director of RCS, PCM, PGP and PKO since 2010, Trustee of PDI since 2012 and Trustee of PCI since 2013, expected to stand for re-election at the annual meeting of shareholders held during the 2018-2019 fiscal year for PDI, the 2019-2020 fiscal year for PGP, PCI and PKO, and the 2020-2021 fiscal year for RCS and PCM. | Advisory Director (formerly Vice Chairman), Roundtable Investment Partners (since 2009); Adjunct Professor, New York University Stern School of Business (since 2011); Lecturer, Stanford University Graduate School of Business (since 2013); and Director, Victory Capital Holdings, Inc., an asset management firm (since 2013). Formerly, Member of Board of Overseers, NYU Langone Medical Center (2015-2016); Trustee, American Museum of Natural History (2005-2015); Trustee, NYU Langone Medical Center (2007-2015); Vice Chairman (formerly Chairman and President), U.S. Trust (formerly Private Bank of Bank of America, the predecessor entity of U.S. Trust) (2001-2008). | 93 | None | |||||
Interested Trustees/Directors | ||||||||||
Craig A. Dawson* 1968 |
Trustee/Director | Trustee/Director of the Funds since 2014, expected to stand for re-election at the annual meeting of shareholders held during the 2019-2020 fiscal year for PDI and PKO and the 2020-2021 fiscal year for RCS, PGP, PCI and PCM. | Managing Director and Head of PIMCO Europe, Middle East and Africa (since 2016). Director of a number of PIMCOs Europeans investment vehicles and affiliates (since 2008). Formerly, Head of Strategic Business Management, PIMCO (2014-2016), head of PIMCOs Munich office and head of European product management for PIMCO. | 27 | None | |||||
John C. Maney** 1959 |
Trustee/Director | Director of RCS and PCM since 2008, Trustee of PGP since 2006, Trustee of PKO since 2007, Trustee of PDI since 2012 and Trustee of PCI since 2013, expected to stand for re-election at the annual meeting of shareholders held during the 2018-2019 fiscal year for PCI, PDI, PKO and PGP, and the 2019-2020 fiscal year for PCM and RCS. | Managing Director of Allianz Asset Management of America L.P. (since January 2005) and a member of the Management Board and Chief Operating Officer of Allianz Asset Management of America L.P. (since November 2006). Formerly, Member of the Management Board of Allianz Global Investors Fund Management LLC (2007-2014) and Managing Director of Allianz Global Investors Fund Management LLC (2011-2014). | 27 | None |
* | Mr. Dawson is an interested person of the Funds, as defined in Section 2(a)(19) of the Act, due to his affiliation with PIMCO and its affiliates. Mr. Dawsons address is 11 Baker Street London, WIU 3AH GBR. |
** | Mr. Maney is an interested person of the Funds, as defined in Section 2(a)(19) of the Act, due to his affiliation with Allianz Asset Management of America L.P. and its affiliates. Mr. Maneys address is 680 Newport Center Drive, Suite 250, Newport Beach, CA 92660. |
ANNUAL REPORT | JUNE 30, 2018 | 139 |
Management of the Funds (Cont.)
(Unaudited)
Officers
Name, Address and Year of Birth |
Position(s) Held with Funds |
Term of Office and Length of Time Served |
Principal Occupation(s) During the Past 5 Years | |||
Peter G. Strelow1 1970 |
President | Since 2014 | Managing Director and Co-Chief Operating Officer, PIMCO. President, PIMCO-Managed Funds, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series and PIMCO Equity Series VIT. Formerly, Chief Administrative Officer, PIMCO. | |||
Keisha Audain-Pressley 1975 |
Chief Compliance Officer | Since 2018 | Senior Vice President and Deputy Chief Compliance Officer, PIMCO. Chief Compliance Officer, PIMCO-Managed Funds. | |||
Joshua D. Ratner 1976 |
Vice President, Secretary and Chief Legal Officer | Since 2014 | Executive Vice President and Deputy General Counsel, PIMCO. Chief Legal Officer, PIMCO Investments LLC. Vice President, Secretary and Chief Legal Officer, PIMCO-Managed Funds. Vice President - Senior Counsel, Secretary, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series and PIMCO Equity Series VIT. | |||
Ryan G. Leshaw1 1980 |
Assistant Secretary | Since 2014 | Senior Vice President and Senior Counsel, PIMCO. Assistant Secretary, PIMCO-Managed Funds, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series and PIMCO Equity Series VIT. Formerly, Associate, Willkie Farr & Gallagher LLP. | |||
Wu-Kwan Kit1 1981 |
Assistant Secretary | Since March 2017 | Vice President and Counsel, PIMCO. Assistant Secretary, PIMCO-Managed Funds, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series and PIMCO Equity Series VIT. Formerly, Assistant General Counsel, VanEck Associates Corp. | |||
Stacie D. Anctil1 1969 |
Vice President | Since 2015 | Executive Vice President, PIMCO. Vice President, PIMCO-Managed Funds, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series and PIMCO Equity Series VIT. | |||
Eric D. Johnson1 1970 |
Vice President | Since 2014 | Executive Vice President, PIMCO. Vice President, PIMCO-Managed Funds, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series and PIMCO Equity Series VIT. | |||
William G. Galipeau1 1974 |
Vice President |
Since December 2017 |
Executive Vice President, PIMCO. Vice President, PIMCO-Managed Funds, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series and PIMCO Equity Series VIT. | |||
Bijal Parikh1 1978 |
Vice President | Since March 2017 | Senior Vice President, PIMCO. Vice President, PIMCO-Managed Funds, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust and PIMCO Equity Series. | |||
Trent W. Walker1 1974 |
Treasurer |
Since December 2017 |
Executive Vice President, PIMCO. Treasurer, PIMCO-Managed Funds, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series and PIMCO Equity Series VIT. | |||
Erik C. Brown1 1967 |
Assistant Treasurer | Since 2015 | Executive Vice President, PIMCO. Assistant Treasurer, PIMCO-Managed Funds, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series and PIMCO Equity Series VIT. | |||
Colleen Miller 1980 |
Assistant Treasurer | Since March 2017 | Senior Vice President, PIMCO. Assistant Treasurer, PIMCO-Managed Funds, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series and PIMCO Equity Series VIT. Formerly, Vice President, Cohen & Steers Capital Management. | |||
Christopher M. Morin1 1980 |
Assistant Treasurer | Since 2016 | Senior Vice President, PIMCO. Assistant Treasurer, PIMCO-Managed Funds, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series and PIMCO Equity Series VIT. | |||
Jason J. Nagler 1982 |
Assistant Treasurer | Since 2015 | Vice President, PIMCO. Assistant Treasurer, PIMCO-Managed Funds, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series and PIMCO Equity Series VIT. Formerly, Head of Mutual Fund Reporting, GMO, and Assistant Treasurer, GMO Trust and GMO Series Trust Funds. |
1 | The address of these officers is Pacific Investment Management Company LLC, 650 Newport Center Drive, Newport Beach, California 92660. |
140 | PIMCO CLOSED-END FUNDS |
Approval of Investment Management Agreement
(Unaudited)
ANNUAL REPORT | JUNE 30, 2018 | 141 |
Approval of Investment Management Agreement (Cont.)
142 | PIMCO CLOSED-END FUNDS |
(Unaudited)
ANNUAL REPORT | JUNE 30, 2018 | 143 |
Approval of Investment Management Agreement (Cont.)
144 | PIMCO CLOSED-END FUNDS |
(Unaudited)
ANNUAL REPORT | JUNE 30, 2018 | 145 |
Approval of Investment Management Agreement (Cont.)
(Unaudited)
146 | PIMCO CLOSED-END FUNDS |
(Unaudited)
ANNUAL REPORT | JUNE 30, 2018 | 147 |
Privacy Policy1 (Cont.)
(Unaudited)
148 | PIMCO CLOSED-END FUNDS |
General Information
Investment Manager
Pacific Investment Management Company LLC
1633 Broadway
New York, NY 10019
Custodian
State Street Bank and Trust Company
801 Pennsylvania Avenue
Kansas City, MO 64105
Transfer Agent, Dividend Paying Agent and Registrar
American Stock Transfer & Trust Company, LLC
6201 15th Avenue
Brooklyn, NY 11219
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.
CEF3010AR_063018
Item 2. | Code of Ethics. |
As of the end of the period covered by this report, the Registrant has adopted a code of ethics (the Code) that applies to
the Registrants principal executive officer and principal financial & accounting officer. The Registrant did not grant any waivers, including implicit waivers, from any provisions of the Code to the principal executive officer or principal financial & accounting officer during the period covered by this report.
A copy of the Code is included as an exhibit to this report.
Item 3. | Audit Committee Financial Expert. |
(a) The Board of Trustees has determined that James A. Jacobson, who serves on the Boards Audit Oversight Committee, qualifies as an audit committee financial expert as such term is defined in the instructions to this Item 3. The Board has also determined that Mr. Jacobson is independent as such term is interpreted under this Item 3.
Item 4. | Principal Accountant Fees and Services. |
(a) | Fiscal Year Ended | Audit Fees | ||||||
June 30, 2018 | $ | 37,070 | ||||||
June 30, 2017 | $ | 30,275 | ||||||
(b) |
Fiscal Year Ended |
Audit-Related Fees(1) | ||||||
June 30, 2018 | $ | | ||||||
June 30, 2017 | $ | | ||||||
(c) |
Fiscal Year Ended |
Tax Fees(1) | ||||||
June 30, 2018 | $ | | ||||||
June 30, 2017 | $ | | ||||||
(d) |
Fiscal Year Ended |
All Other Fees(1) | ||||||
June 30, 2018 | $ | | ||||||
June 30, 2017 | $ | |
Audit Fees represents fees billed for each of the last two fiscal years for professional services rendered for the audit and review of the Registrants annual financial statements for those fiscal years or services that are normally provided by the accountant in connection with statutory or regulatory filings or engagements for those fiscal years.
Audit-Related Fees represents fees billed for each of the last two fiscal years for assurance and related services that are reasonably related to the performance of the audit or review of the Registrants financial statements, but not reported under Audit Fees above, and that include accounting consultations, agreed-upon procedure reports (inclusive of annual review of basic maintenance testing associated with the Preferred Shares), attestation reports and comfort letters for those fiscal years.
Tax Fees represents fees billed for each of the last two fiscal years for professional services related to tax compliance, tax advice and tax planning, including services relating to the filing or amendment of federal, state or local income tax returns, regulated investment company qualification reviews, and tax distribution and analysis reviews.
All Other Fees represents fees, if any, billed for other products and services rendered by the principal accountant to the Registrant other than those reported above under Audit Fees, Audit-Related Fees and Tax Fees for the last two fiscal years.
(1)There were no Audit-Related Fees, Tax Fees and All Other Fees for the last two fiscal years.
(e) | Pre-approval policies and procedures |
(1) The Registrants Audit Oversight Committee has adopted pre-approval policies and procedures (the Procedures) to govern the Audit Oversight Committees pre-approval of (i) all audit services and permissible non-audit services to be provided to the Registrant by its independent accountant, and (ii) all permissible non-audit services to be provided by such independent accountant to the Registrants investment adviser and to any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the Registrant (collectively, the Service Affiliates) if the services provided directly relate to the Registrants operations and financial reporting. In accordance with the Procedures, the Audit Oversight Committee is responsible for the engagement of the independent accountant to certify the Registrants financial statements for each fiscal year. With respect to the pre-approval of non-audit services provided to the Registrant and its Service Affiliates, the Procedures provide that the Audit Oversight Committee may annually pre-approve a list of types or categories of non-audit services that may be provided to the Registrant or its Service Affiliates, or the Audit Oversight Committee may pre-approve such services on a project-by-project basis as they arise. Unless a type of service has received general pre-approval, it will require specific pre-approval by the Audit Oversight Committee if it is to be provided by the independent accountant. The Procedures also permit the Audit Oversight Committee to delegate authority to one or more of its members to pre-approve any proposed non-audit services that have not been previously pre-approved by the Audit Oversight Committee, subject to the ratification by the full Audit Oversight Committee no later than its next scheduled meeting.
(2) With respect to the services described in paragraphs (b) through (d) of this Item 4, no amount was approved by the Audit Oversight Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
f) | Not applicable. |
g) |
Aggregate Non-Audit Fees Billed to Entity | ||||||||
|
|
|||||||
Entity | June 30, 2018 | June 30, 2017 | ||||||
|
|
|
||||||
PIMCO Global StocksPlus® & Income Fund |
$ | | $ | | ||||
Pacific Investment Management Company LLC (PIMCO) |
7,397,858 | 8,531,028 | ||||||
|
|
|||||||
Total |
$ | 7,397,858 | $ | 8,531,028 | ||||
|
|
|
|
h) | The Registrants Audit Oversight Committee has considered whether the provision of non-audit services that were rendered to the Registrants investment adviser, and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the Registrant which were not pre-approved (not requiring pre-approval) is compatible with maintaining the principal accountants independence. |
Item 5. | Audit Committee of Listed Registrants. |
The Registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934, as amended. The audit committee is comprised of:
Deborah A. DeCotis;
Bradford K. Gallagher;
James A. Jacobson;
Hans W. Kertess;
William B. Ogden, IV; and
Alan Rappaport.
Item 6. | Schedule of Investments. |
The Schedule of Investments is included as part of the report to shareholders under Item 1.
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Policy Statement: The proxy voting policy is intended to foster PIMCOs compliance with its fiduciary obligations and applicable law; the policy applies to any voting or consent rights with respect to securities held in accounts over which PIMCO has discretionary voting authority. The Policy is designed in a manner reasonably expected to ensure that voting and consent rights are exercised in the best interests of PIMCOs clients.
Overview: PIMCO has adopted a written proxy1 voting policy (Proxy Policy) as required by Rule 206(4)-6 under the Advisers Act. As a general matter, when PIMCO has proxy voting authority, PIMCO has a fiduciary obligation to monitor corporate events and to take appropriate action on client proxies that come to its attention. Each proxy is voted on a case-by-case basis, taking into account relevant facts and circumstances. When considering client proxies, PIMCO may determine not to vote a proxy in limited circumstances.
Equity Securities2: PIMCO has retained an Industry Service Provider (ISP) to provide research and voting recommendations for proxies relating to equity securities in accordance with the ISPs guidelines. By following the guidelines of an independent third party, PIMCO seeks to mitigate potential conflicts of interest PIMCO may have with respect to proxies covered by the ISP. PIMCO will follow the recommendations of the ISP unless: (i) the ISP does not provide a voting recommendation; or (ii) a PM decides to override the ISPs voting recommendation. In either such case as described above, the Legal and Compliance department will review the proxy to determine whether a material conflict of interest, or the appearance of one, exists.
Fixed Income Securities: Fixed income securities can be processed as proxy ballots or corporate action-consents3 at the discretion of the issuer/ custodian. When processed as proxy ballots, the ISP generally does not provide a voting recommendation and their role is limited to election processing and recordkeeping. When processed as corporate action-consents, the Legal and Compliance department will review all election forms to determine whether a conflict of interest, or the appearance of one, exists with respect to the PMs consent election. PIMCOs Credit Research and Portfolio Management Groups are responsible for issuing recommendations on how to vote proxy ballots and corporation action-consents with respect to fixed income securities.
Resolution of potential conflicts of interest: The Proxy Policy permits PIMCO to seek to resolve material conflicts of interest by pursuing any one of several courses of action. With respect to material conflicts of interest between PIMCO and a client account, the Proxy Policy permits PIMCO to either: (i) convene a working group to assess and resolve the conflict (the Proxy Working Group); or (ii) vote in accordance with protocols previously established by the Proxy Policy, the Proxy Working Group and/or other relevant procedures approved by PIMCOs Legal and Compliance department with respect to specific types of conflicts.
PIMCO will supervise and periodically review its proxy voting activities and the implementation of the Proxy Policy. PIMCOs Proxy Policy, and information about how PIMCO voted a clients proxies, is available upon request.
Sub-Adviser Engagement: As an investment manager, PIMCO may exercise its discretion to engage a Sub-Adviser to provide portfolio management services to certain Funds. Consistent with its management responsibilities, the Sub-Adviser will assume the authority for voting proxies on behalf of PIMCO for these Funds. Sub-Advisers may utilize third parties to perform certain services related to their portfolio management responsibilities. As a fiduciary, PIMCO will maintain oversight of the investment management responsibilities performed by the Sub-Adviser and contracted third parties.
1 Proxies generally describe corporate action-consent rights (relative to fixed income securities) and proxy voting ballots (relative to fixed income or equity securities) as determined by the issuer or custodian.
2 The term equity securities means common and preferred stock, including common and preferred shares issued by investment companies; it does not include debt securities convertible into equity securities.
3 Voting or consent rights shall not include matters which are primarily decisions to buy or sell investments, such as tender offers, exchange offers, conversions, put options, redemptions, and Dutch auctions.
Item 8. | Portfolio Managers of Closed-End Management Investment Companies. |
(a)(1)
As of August 28, 2018, the following individuals have primary responsibility for the day-to-day management of the PIMCO Global StocksPLUS® & Income Fund (the Fund):
Daniel J. Ivascyn
Mr. Ivascyn has been the portfolio manager of the Fund since its inception in May 2005. Mr. Ivascyn is Group Chief Investment Officer and a managing director in the Newport Beach office. Prior to joining PIMCO in 1998, he worked at Bear Stearns in the asset-backed securities group, as well as T. Rowe Price and Fidelity Investments.
Alfred T. Murata
Mr. Murata has been a portfolio manager of the Fund since June 2017. Mr. Murata is a managing director in the Newport Beach office and a portfolio manager on the mortgage credit team. Prior to joining PIMCO in 2001, he researched and implemented exotic equity and interest rate derivatives at Nikko Financial Technologies.
(a)(2)
The following summarizes information regarding each of the accounts, excluding the Fund, managed by the Portfolio Managers as of June 30, 2018, including accounts managed by a team, committee, or other group that includes a Portfolio Manager. Unless mentioned otherwise, the advisory fee charged for managing each of the accounts listed below is not based on performance.
Registered Investment Companies |
Other Pooled Investment Vehicles |
Other Accounts | ||||||||||
PM |
# | AUM($million) | # | AUM($million) | # | AUM($million) | ||||||
Daniel J. Ivascyn
|
18
|
$139,799.73 | 10* | $68,995.57 | 177** | $10,083.17 | ||||||
Alfred T. Murata
|
20
|
$138,866.64 | 10 | $29,058.45 | 11 | $1,534.68 |
* Of these Other Pooled Investment Vehicles, 1 account totaling $0.00 in assets pays an advisory fee that is based in part on the performance of the accounts.
**Of these Other Accounts, 1 account totaling $235.61 million in assets pays an advisory fee that is based in part on the performance of the accounts.
From time to time, potential and actual conflicts of interest may arise between a portfolio managers management of the investments of the Fund, on the one hand, and the management of other accounts, on the other. Potential and actual conflicts of interest may also arise as a result of PIMCOs other business activities and PIMCOs possession of material non-public information about an issuer. Other accounts managed by a portfolio manager might have similar investment objectives or strategies as the Fund, track the same index as the Fund or otherwise hold, purchase, or sell securities that are eligible to be held, purchased or sold by the Fund. The other accounts might also have different investment objectives or strategies than the Fund. Potential and actual conflicts of interest may also arise as a result of PIMCO serving as investment adviser to accounts that invest in the Fund. In this case, such conflicts of interest could in theory give rise to incentives for PIMCO to, among other things, vote proxies of the Fund in a manner beneficial to the investing account but detrimental to the Fund. Conversely, PIMCOs duties to the Fund, as well as regulatory or other limitations applicable to the Fund, may affect the courses of action available to PIMCO-advised accounts (including certain funds) that invest in the Fund in a manner that is detrimental to such investing accounts. In addition, regulatory restrictions, actual or potential conflicts of interest or other considerations may cause PIMCO to restrict or prohibit participation in certain investments.
Because PIMCO is affiliated with Allianz, a large multi-national financial institution, conflicts similar to those described below may occur between the Fund and other accounts managed by PIMCO and PIMCOs affiliates or accounts managed by those affiliates. Those affiliates (or their clients), which generally operate autonomously from PIMCO, may take actions that are adverse to the Fund or other accounts managed by PIMCO. In many cases, PIMCO will not be in a position to mitigate those actions or address those conflicts, which could adversely affect the performance of the Fund or other accounts managed by PIMCO.
Knowledge and Timing of Fund Trades. A potential conflict of interest may arise as a result of the portfolio managers day-to-day management of the Fund. Because of their positions with the Fund, the portfolio managers know the size, timing and possible market impact of the Funds trades. It is theoretically possible that the portfolio managers could use this information to the advantage of other accounts they manage and to the possible detriment of the Fund.
Investment Opportunities. A potential conflict of interest may arise as a result of the portfolio managers management of a number of accounts with varying investment guidelines. Often, an investment opportunity may be suitable for both the Fund and other accounts managed by the portfolio manager, but may not be available in sufficient quantities for both the Fund and the other accounts to participate fully. In addition, regulatory issues applicable to PIMCO or the Fund or other accounts may result in the Fund not receiving securities that may otherwise be appropriate for it. Similarly, there may be limited opportunity to sell an investment held by the Fund and another account. PIMCO has adopted policies and procedures reasonably designed to allocate investment opportunities on a fair and equitable basis over time.
Under PIMCOs allocation procedures, investment opportunities are allocated among various investment strategies based on individual account investment guidelines and PIMCOs investment outlook. PIMCO has also adopted additional procedures to complement the general trade allocation policy that are designed to address potential conflicts of interest due to the side-by-side management of the Fund and certain pooled investment vehicles, including investment opportunity allocation issues.
Conflicts potentially limiting the Funds investment opportunities may also arise when the Fund and other PIMCO clients invest in different parts of an issuers capital structure, such as when the Fund owns senior debt obligations of an issuer and other clients own junior tranches of the same issuer. In such circumstances, decisions over whether to trigger an event of default, over the terms of any workout, or how to exit an investment may result in conflicts of interest. In order to minimize such conflicts, a portfolio manager may avoid certain investment opportunities that would potentially give rise to conflicts with other PIMCO clients or PIMCO may enact internal procedures designed to minimize such conflicts, which could have the effect of limiting the Funds investment opportunities. Additionally, if PIMCO acquires material non-public confidential information in connection with its business activities for other clients, a portfolio manager may be restricted from purchasing securities or selling securities for the Fund. Moreover, the Fund or other accounts managed by PIMCO may invest in a transaction in which one or more other funds or accounts managed by PIMCO are expected to participate, or already have made or will seek to make, an investment. Such funds or accounts may have conflicting interests and objectives in connection with such investments, including, for example and without limitation, with respect to views on the operations or activities of the issuer involved, the targeted returns from the investment, and the timeframe for, and method of, exiting the investment. Additionally, a fund or other account managed by PIMCO may take an investment position or action that may be different from, or inconsistent with, an investment position or action taken by another fund or other account managed by PIMCO having similar or differing investment objectives. These positions and actions may adversely impact the Fund. For example, the Fund may buy a security and another fund or other account managed by PIMCO may establish a short position in that same security or in another security issued by the same issuer. The subsequent short sale may result in a decrease in the price of the security that the first fund holds. When making investment decisions where a conflict of interest may arise, PIMCO will endeavor to act in a fair and equitable manner as between the Fund and other clients; however, in certain instances the resolution of the conflict may result in PIMCO acting on behalf of another client in a manner that may not be in the best interest, or may be opposed to the best interest, of the Fund.
Performance Fees. A portfolio manager may advise certain accounts with respect to which the advisory fee is based entirely or partially on performance. Performance fee arrangements may create a conflict of interest for the portfolio manager in that the portfolio manager may have an incentive to allocate the investment opportunities that he or she believes might be the most profitable to such other accounts instead of allocating them to the Fund. PIMCO has adopted policies and procedures reasonably designed to allocate investment opportunities between the Fund and certain pooled investment vehicles on a fair and equitable basis over time.
(a)(3)
As of June 30, 2018 the following explains the compensation structure of the individuals who have primary responsibility for day-to-day portfolio management of the Fund:
Portfolio Manager Compensation
PIMCOs approach to compensation seeks to provide professionals with a Total Compensation Plan and process that is driven by PIMCOs mission and values. Key Principles on Compensation Philosophy include:
● | PIMCOs pay practices are designed to attract and retain high performers; |
● | PIMCOs pay philosophy embraces a corporate culture of rewarding strong performance, a strong work ethic, and meritocracy; |
● | PIMCOs goal is to ensure key professionals are aligned to PIMCOs long-term success through equity participation; and |
● | PIMCOs Discern and Differentiate discipline guides total compensation levels. |
The Total Compensation Plan consists of three components. The compensation program for portfolio managers is designed to align with clients interests, emphasizing each portfolio managers ability to generate long-term investment success for PIMCOs clients. A portfolio managers compensation is not based solely on the performance of the Fund or any other account managed by that portfolio manager:
Base Salary Base salary is determined based on core job responsibilities, positions/levels and market factors. Base salary levels are reviewed annually, when there is a significant change in job responsibilities or position, or a significant change in market levels.
Performance Bonus Performance bonuses are designed to reward risk-adjusted performance and contributions to PIMCOs broader investment process. The compensation process is not formulaic and the following non-exhaustive list of qualitative and quantitative criteria are considered when determining the total compensation for portfolio managers:
● | Performance measured over a variety of longer- and shorter-term periods, including 5-year, 4-year, 3-year, 2-year and 1-year dollar-weighted and account-weighted, pre-tax total and risk-adjusted investment performance as judged against the applicable benchmarks (which may include internal investment performance-related benchmarks) for each account managed by a portfolio manager (including the Fund) and relative to applicable industry peer groups; greatest emphasis is placed on 5-year and 3-year performance, followed by 1-year performance; |
● | Consistency of investment performance across portfolios of similar mandate and guidelines, rewarding low dispersion and consistency of outperformance; |
● | Appropriate risk positioning and risk management mindset which includes consistency with PIMCOs investment philosophy, the Investment Committees positioning guidance, absence of defaults, and appropriate alignment with client objectives; |
● | Contributions to mentoring, coaching and/or supervising members of team; |
● | Collaboration, idea generation, and contribution of investment ideas in the context of PIMCOs investment process, Investment Committee meetings, and day-to-day management of portfolios; |
● | With much lesser importance than the aforementioned factors: amount and nature of assets managed by the portfolio manager, contributions to asset retention, and client satisfaction. |
PIMCOs partnership culture further rewards strong long term risk adjusted returns with promotion decisions almost entirely tied to long term contributions to the investment process. 10-year performance can also be considered, though not explicitly as part of the compensation process.
Deferred Compensation Long Term Incentive Plan (LTIP) and/or M Options are awarded to key professionals. Employees who reach a total compensation threshold are delivered their annual compensation in a mix of cash and/or deferred compensation. PIMCO incorporates a progressive allocation of deferred compensation as a percentage of total compensation, which is in line with market practices.
● | The LTIP provides participants with deferred cash awards that appreciate or depreciate based on PIMCOs operating earnings over a rolling three-year period. The plan provides a link between longer term company performance and participant pay, further motivating participants to make a long term commitment to PIMCOs success. |
● | The M Unit program provides mid-to-senior level employees with the potential to acquire an equity stake in PIMCO over their careers and to better align employee incentives with the Firms long-term results. In the program, options are awarded and vest over a number of years and may convert into PIMCO equity which shares in the profit distributions of the Firm. M Units are non-voting common equity of PIMCO and provide a mechanism for individuals to build a significant equity stake in PIMCO over time. |
Eligibility to participate in LTIP and the M Unit program is contingent upon continued employment at PIMCO and all other applicable eligibility requirements.
Profit Sharing Plan. Portfolio managers who are Managing Directors of PIMCO receive compensation from a non-qualified profit sharing plan consisting of a portion of PIMCOs net profits. Portfolio managers who are Managing Directors receive an amount determined by the Compensation Committee, based upon an individuals overall contribution to the firm.
(a)(4)
The following summarizes the dollar range of securities of the Fund the Portfolio Managers beneficially owned as of June 30, 2018:
Portfolio Manager |
Dollar Range of Equity Securities of the Fund Owned as of June 30, 2018 | |
Daniel J. Ivascyn |
None | |
Alfred T. Murata |
None |
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 Funds 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 Registrants 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 Commissions rules and forms. |
(b) | There were no changes in the Registrants 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 Registrants internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
None.
Item 13. Exhibits.
(a)(1) | Exhibit 99.CODE Code of Ethics pursuant to Section 406 of the Sarbanes-Oxley Act of 2002. | |
(a)(2) | Exhibit 99.CERTCertifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. | |
(a)(3) | None. | |
(a)(4) | There was no change in the registrants independent public accountant for the period covered by this report. | |
(b) | Exhibit 99.906CERTCertifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. |
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 Global StocksPlus® & Income Fund | ||
By: |
/s/ Peter G. Strelow | |
| ||
Peter G. Strelow | ||
President (Principal Executive Officer) | ||
Date: |
August 28, 2018 |
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/ Peter G. Strelow | |
| ||
Peter G. Strelow | ||
President (Principal Executive Officer) | ||
Date: |
August 28, 2018 | |
By: |
/s/ Trent W. Walker | |
| ||
Trent W. Walker | ||
Treasurer (Principal Financial & Accounting Officer) | ||
Date: |
August 28, 2018 |
Code of Ethics Pursuant to Section 406 of the Sarbanes-Oxley Act of 2002 for Principal
Executive and Senior Financial Officers
PIMCO Funds
PIMCO Variable Insurance Trust (PVIT)
PIMCO ETF Trust (ETF)
PIMCO Equity Series (PES)
PIMCO Equity Series VIT (PESVIT)
PIMCO Managed Accounts Trust
PIMCO Sponsored Closed-End Funds
PIMCO Sponsored Interval Funds1
I. | Covered Officers/Purpose of the Code |
This Code of Ethics (this Code) pursuant to Section 406 of the Sarbanes-Oxley Act of 2002 has been adopted by the Funds and, except as provided in Section VI below, applies to each Funds Principal Executive Officer, Principal Financial Officer and Principal Accounting Officer (the Covered Persons). Each Covered Person is identified in Exhibit A.)
This Code has been adopted for the purpose of promoting:
● | honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships; |
● | full, fair, accurate, timely and understandable disclosure in reports and documents that a Fund files with, or submits to, the Securities and Exchange Commission (SEC) and in other public communications made by a Fund; |
● | compliance with applicable laws and governmental rules and regulations; |
● | the prompt internal reporting of violations of the Code to an appropriate person or persons identified in the Code; and |
● | accountability for adherence to the Code. |
Each Covered Person should adhere to a high standard of business ethics and should be sensitive to situations that may give rise to conflicts of interest or the appearance thereof.
1 | The listed entities which are open-end investment companies are known as the Trusts, the listed entities which are publicly-traded closed-end investment companies are known as the Closed-End Funds, and the listed entities which are closed-end investment companies operating as interval funds under Rule 23c-3 of the 1940 Act are known as the Interval Funds. The Trusts respective series, the Closed-End Funds, and the Interval Funds are referred to herein as the Funds. References to Trustees include Directors, as applicable. |
Sarbanes-Oxley Code of Ethics
II. | Covered Persons Should Handle Ethically Any Actual or Apparent Conflicts of Interest |
Overview. A conflict of interest occurs when a Covered Persons private interest interferes with the interests of, or his service to, the relevant Fund. For example, a conflict of interest would arise if a Covered Person, or a member of the Covered Persons family, receives improper personal benefits as a result of the Covered Persons position with the relevant Fund.
Certain conflicts of interest arise out of the relationships between Covered Persons and the relevant Fund and already are subject to conflict of interest provisions and procedures in the Investment Company Act of 1940, as amended (including the regulations thereunder, the 1940 Act) and the Investment Advisers Act of 1940, as amended (including the regulations thereunder, the Investment Advisers Act) and other applicable laws. Indeed, conflicts of interest are endemic for registered management investment companies and those conflicts are both substantially and procedurally dealt with under the 1940 Act. For example, Covered Persons may not engage in certain transactions with a Fund because of their status as affiliated persons of such Fund. The compliance program of each Fund and the compliance programs of its investment adviser, principal underwriter (with respect to the Trusts) and administrator (each a PIMCO-Affiliated Service Provider and, collectively, the PIMCO-Affiliated Service Providers2) are reasonably designed to prevent, or identify and correct, violations of many of those provisions, although they are not designed to provide absolute assurance as to those matters. This Code does not, and is not intended to, repeat or replace these programs and procedures, and such conflicts fall outside of the parameters of this Code. See also Section V of this Code.
Although typically not presenting an opportunity for improper personal benefit, conflicts arise from, or as a result of, the contractual relationship between a Fund and its applicable PIMCO-Affiliated Service Providers of which the Covered Persons are also officers or employees. As a result, this Code recognizes that the Covered Persons will, in the normal course of their duties (whether for the Funds or for a PIMCO-Affiliated Service Provider, or for both), be involved in establishing policies and implementing decisions that will have different effects on the PIMCO-Affiliated Service Providers and the Funds. The participation of the Covered Persons in such activities is inherent in the contractual relationships between the Funds and their applicable PIMCO-Affiliated Service Providers and is consistent with the performance by the Covered Persons of their duties as officers of the relevant Fund. Thus, if performed in conformity with the provisions of the 1940 Act, the Investment Advisers Act, other applicable law and the relevant Funds constitutional documents, such activities will be deemed to have been handled ethically. Frequently, the 1940 Act establishes, as a mechanism for dealing with conflicts, requirements that such potential conflicts be disclosed to and approved by the Trustees of a Fund who are not interested persons of such Fund under the 1940 Act. In addition, it is recognized by each Funds Board of Trustees that the Covered Persons may also be officers or employees of one or more other investment companies covered by this or other codes and that such service, by itself, does not give rise to a conflict of interest.
2 | Each PIMCO-Affiliated Service Provider is identified in Exhibit B. |
2
Sarbanes-Oxley Code of Ethics
Other conflicts of interest are covered by the Code, even if such conflicts of interest are not the subject of provisions of the 1940 Act and the Investment Advisers Act. The following list provides examples of conflicts of interest under the Code, but Covered Persons should bear in mind that these examples are not exhaustive. The overarching principle is that the personal interest of a Covered Person should not be placed improperly before the interest of the relevant Fund, unless the personal interest is disclosed to and reviewed by other officers of such Fund or such Funds Chief Compliance Officer (CCO).
* * * *
Each Covered Person must not:
● | use his personal influence or personal relationships to improperly influence investment decisions or financial reporting by the relevant Fund whereby the Covered Person would benefit personally to the detriment of such Fund; |
● | cause the relevant Fund to take action, or fail to take action, for the individual personal benefit of the Covered Person rather than the benefit of such Fund; or |
● | retaliate against any other Covered Person or any employee of the Funds or their PIMCO-Affiliated Service Providers for reports of potential violations that are made in good faith. |
There are some conflict of interest situations that should always be submitted for review by the President of the relevant Fund (or, with respect to activities of the President, by the Chairman of the relevant Fund or, if the same person holds the titles of President and Chairman, by the Funds CCO). These conflict of interest situations are listed below:
● | service on the board of directors or governing board of a publicly traded entity; |
● | knowing acceptance of any investment opportunity or of any material gift or gratuity from any person or entity that does business, or desires to do business, with the relevant Fund. For these purposes, material gifts do not include (i) gifts from a single giver so long as their aggregate annual value does not exceed the equivalent of $100.00; (ii) attending business meals, business related conferences, sporting events and other entertainment events at the expense of a giver, so long as the expense is reasonable3 and both the Covered Person and the giver are present4; or (iii) gifts or meals/conferences/events received from the Covered Persons employer; |
3 Whether an entertainment expense is reasonable will vary depending on the circumstances. For example, under proposed FINRA (NASD) guidance (Proposed IM 3060, SEC Release No. 34-55765, May 15, 2007), generally, a business entertainment event that is so lavish or extensive in nature that an attendee would likely feel compelled to direct business to the sponsor of the event, or a business entertainment event that is intended or designed to cause, or would be reasonably judged to have the likely effect of causing the attendee to act in a manner that is inconsistent with the best interests of a Fund would be unreasonable per se.
4 In the event a Covered Person is a registered representative of the Funds principal underwriter, the aggregate annual gift value from a single giver shall not exceed $100.00 as required by the rules of FINRA.
3
Sarbanes-Oxley Code of Ethics
● | any ownership interest in, or any consulting or employment relationship with, any entities doing business with the relevant Fund, other than a PIMCO-Affiliated Service Provider or an affiliate of a PIMCO-Affiliated Service Provider.5 This restriction shall not apply to or otherwise limit the ownership of publicly traded securities of such entities doing business with the relevant Fund so long as the Covered Persons ownership does not exceed more than 2% of the outstanding securities of the relevant class; or |
● | knowingly have a direct or indirect financial interest in commissions, transaction charges or spreads paid by the relevant Fund for effecting portfolio transactions or for selling or redeeming shares of a Fund other than an interest arising from the Covered Persons employment. This restriction shall not apply to or otherwise limit the direct or indirect ownership of publicly traded securities of any such company so long as the Covered Persons ownership does not exceed more than 2% of the particular class of security outstanding. |
III. | Disclosure and Compliance |
● | No Covered Person should knowingly misrepresent, or cause others to misrepresent, facts about the relevant Fund to others, whether within or outside such Fund, including to such Funds Board of Trustees and auditors, and to governmental regulators and self-regulatory organizations; |
● | each Covered Person should, to the extent appropriate within his area of responsibility, consult with other officers and employees of the Funds, applicable PIMCO Affiliated Service Providers, other service providers, or with counsel to the Funds with the goal of promoting full, fair, accurate, timely and understandable disclosure in the registration statements or periodic reports that the Funds file with, or submit to, the SEC (which, for sake of clarity, does not include any sales literature, omitting prospectuses, or tombstone advertising prepared by the relevant Funds principal underwriter(s)); and |
● | it is the responsibility of each Covered Person to promote compliance with the standards and restrictions imposed by applicable laws, rules and regulations. |
However, PIMCO employees and PIMCO Investments LLC registered representatives are subject to the respective firms internal policies on accepting gifts and entertainment and must abide by the limitations imposed by such policies.
5 For purposes of the Code, an affiliate of a Service Provider is (a) any natural person or entity directly or indirectly owning, controlling, or holding with power to vote, 5% or more of the outstanding voting securities of the Service Provider; (b) any natural person or entity 5% or more of whose outstanding voting securities are directly or indirectly owned by, controlled, or held with power to vote, by the Service Provider; (c) any person directly or indirectly controlling, controlled by, or under common control with, the Service Provider; or (d) any officer, director, partner, copartner, or employee of the Service Provider.
4
Sarbanes-Oxley Code of Ethics
IV. | Reporting and Accountability |
Each Covered Person must:
● | upon adoption of the Code (or thereafter as applicable, upon becoming a Covered Person), affirm in writing to the relevant Fund that he has received, read, and understood the Code; |
● | annually thereafter affirm to the relevant Fund that he has complied with the requirements of the Code by completing the Annual Certification of Compliance attached hereto as Exhibit C; |
● | provide full and fair responses to all questions asked in any Trustee and Officer Questionnaire provided by the relevant Fund as well as with respect to any supplemental request for information; and |
● | notify the President of the relevant Fund promptly if he or she is convinced to a moral certainty that there has been a material violation of this Code (with respect to violations by a President, the Covered Person shall report to the Chairman of the relevant Fund or, if the same person holds the titles of President and Chairman, to the Funds CCO). |
The President of each Fund is responsible for applying this Code to specific situations in which questions are presented under it and, in consultation with the Funds CCO, has the authority to interpret this Code in any particular situation. However, any reviews sought by the President will be considered by the Chairman of the relevant Fund or, if the same person holds the titles of President and Chairman, by the Funds CCO.
The Funds will follow these procedures in investigating and enforcing this Code:
● | the President will take all appropriate action to investigate any potential material violations reported to him, which actions may include the use of internal or external counsel, accountants or other personnel; |
● | if, after such investigation, the President believes that no material violation has occurred, the President is not required to take any further action; |
● | any matter that the President believes is a material violation will be reported to the applicable Funds CCO; |
● | if the CCO concurs that a material violation has occurred, it will inform and make a recommendation to the Funds Board of Trustees, which will consider appropriate action, which may include review of, and appropriate modifications to applicable policies and procedures; notification to appropriate personnel of a PIMCO-Affiliated Service Provider or its board; or a recommendation to dismiss the Covered Person; and A Funds CCO or Board of Trustees may grant waivers under this Code, as each deems appropriate. |
5
Sarbanes-Oxley Code of Ethics
V. | Public Disclosure of Changes and Waivers |
Any changes to this Code will, to the extent required by the SECs rules, be disclosed on the Funds website or in the Funds N-CSR. Any waivers under this Code relating to a Covered Person will, to the extent required by the SECs rules, be disclosed on the Funds website or in the Funds N-CSR.
VI. | Other Policies and Procedures |
This Code shall be the sole code of ethics adopted by the Funds for purposes of Section 406 of the Sarbanes-Oxley Act and the rules and forms applicable to registered investment companies thereunder. Insofar as other policies or procedures of the Funds or the Funds PIMCO-Affiliated Service Providers govern or purport to govern the behavior or activities of the Covered Persons who are subject to this Code, they are superseded by this Code to the extent that they conflict with the provisions of this Code. The Funds and their PIMCO-Affiliated Service Providers codes of ethics under Rule 17j-1 under the 1940 Act and the PIMCO-Affiliated Service Providers more detailed compliance policies and procedures are separate requirements applying to the Covered Persons and others, and are not part of this Code.
This Code will not be interpreted or applied in any manner that would violate the legal rights of any Covered Person as an employee under applicable law. For example, nothing in this Code or the Exhibits attached hereto prohibits or in any way restricts any Covered Person from reporting possible violations of law or regulation to, otherwise communicating directly with, cooperating with or providing information to any governmental or regulatory body or any self-regulatory organization or making other disclosures that are protected under applicable law or regulations of the SEC or any other governmental or regulatory body or self-regulatory organization. A Covered Person does not need prior authorization of PIMCO, a Fund or a PIMCO-Affiliated Service Provider before taking any such action and is not required to inform PIMCO, a Fund or a PIMCO-Affiliated Service Provider if he or she chooses to take such action.
VII. Amendments | |
Any material amendments to this Code must be approved or ratified by a majority vote of the Board of Trustees.
VIII. Confidentiality | |
All reports and records prepared or maintained pursuant to this Code will be considered confidential and shall be maintained and protected accordingly. Except as otherwise required by law or this Code, such matters shall not be disclosed to anyone except as permitted by the Board of Trustees.
6
Sarbanes-Oxley Code of Ethics
IX. | Internal Use |
The Code is intended solely for the internal use by the Funds and does not constitute an admission, by or on behalf of any Fund, as to any fact, circumstance, or legal conclusion.
7
Sarbanes-Oxley Code of Ethics
History of Amendments
History of adoptions and amendments:
Adopted: September 29, 2004
Effective: October 5, 2004
Amended: | April 1, 2005 |
Amended: | May 24, 2005 |
Amended: | February 24, 2009 (added ETF) |
Amended: | March 31, 2009 |
Amended: | August 11, 2009 |
Amended: | March 30, 2010 (added PES and PESVIT) |
Amended: | March 1, 2011 |
Amended: | February 27, 2013 |
Amended: | November 7, 2013 (non-material changes) |
Amended: | February 26, 2014 (non-material changes) |
Amended: | August 14, 2014 (added PIMCO Managed Accounts Trust and PIMCO Sponsored Closed-End Funds) |
Amended: | January 17, 2015 |
Amended: | December 14, 2016 (added PIMCO Sponsored Interval Funds) |
Amended: | February 15, 2017 (Open-End Funds Boards); March 23, 2017 (Approved by PIMCO Managed Accounts Trust, PIMO Sponsored Closed-End Funds and PIMCO Sponsored Interval Funds) |
8
Exhibit A
Persons Covered by this Code of Ethics
Trust |
Principal Executive Officer |
Principal Financial Officer |
Principal Accounting Officer | |||
PIMCO Funds |
Peter G. Strelow | Trent W. Walker | Trent W. Walker | |||
PVIT |
Peter G. Strelow | Trent W. Walker | Trent W. Walker | |||
ETF |
Peter G. Strelow | Trent W. Walker | Trent W. Walker | |||
PES |
Peter G. Strelow | Trent W. Walker | Trent W. Walker | |||
PESVIT |
Peter G. Strelow | Trent W. Walker | Trent W. Walker | |||
PIMCO Managed Accounts Trust | Peter G. Strelow | Trent W. Walker | Trent W. Walker | |||
PIMCO Sponsored Closed-End Funds | Peter G. Strelow | Trent W. Walker | Trent W. Walker | |||
PIMCO Sponsored Interval Funds | Peter G. Strelow | Trent W. Walker | Trent W. Walker |
Note that a listed officer is only a Covered Person of the Fund(s) for which he or she serves as a Principal Executive Officer, Principal Financial Officer or Principal Accounting Officer.
A-1
Exhibit B
PIMCO-Affiliated Service Providers*
Investment Adviser |
Pacific Investment Management Company LLC (PIMCO) | |
Principal Underwriter** |
PIMCO Investments LLC | |
Administrator*** |
PIMCO |
* None of the PIMCO-Affiliated Service Providers are publicly traded companies.
** PIMCO Investments LLC does not serve as the principal underwriter for the Closed-End Funds.
*** Each Fund retains PIMCO to provide administrative services, either under separate administration agreements or under their advisory or management agreements.
B-1
Exhibit C
ANNUAL CERTIFICATION OF COMPLIANCE
I hereby certify that I have complied with the requirements of the Code of Ethics Pursuant to Section 406 of the Sarbanes-Oxley Act of 2002 for Principal Executive and Senior Financial Officers (the Code) for the year ended December 31, . I also agree to cooperate fully with any investigation or inquiry as to whether a possible violation of the foregoing Code has occurred.
Date: |
|
| ||||
Signature |
C-1
Exhibit 99.CERT
Certification Under Rule 30a-2(a)
CERTIFICATION
I, Peter G. Strelow, certify that:
1. | I have reviewed this report on Form N-CSR of PIMCO Global StocksPlus® & Income Fund; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; |
4. | The registrants other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
c) | Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and |
d) | Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the most recent fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officer and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions): |
a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and |
b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
Date: |
August 28, 2018 | |||
|
||||
Signature: |
/s/ Peter G. Strelow | |||
|
||||
Title: |
President (Principal Executive Officer) | |||
|
Exhibit 99.CERT
Certification Under Rule 30a-2(a)
CERTIFICATION
I, Trent W. Walker, certify that:
1. | I have reviewed this report on Form N-CSR of PIMCO Global StocksPlus® & Income Fund; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; |
4. | The registrants other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
c) | Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and |
d) | Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the most recent fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officer and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions): |
a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and |
b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
Date: |
August 28, 2018 | |||
|
||||
Signature: |
/s/ Trent W. Walker | |||
|
||||
Title: |
Treasurer (Principal Financial & Accounting Officer) | |||
|
Exhibit 99.906CERT
Certification Under Rule 30a-2(b)
CERTIFICATION PURSUANT TO 18 U.S.C. SECTION 1350
(as adopted pursuant to Section 906 of the Sarbanes-Oxley Act)
In connection with the Report on Form N-CSR to which this certification is furnished as an exhibit (the Report), the undersigned officers of PIMCO Global StocksPlus® & Income Fund (the Registrant) each certify that to his knowledge:
1. | The Report on Form N-CSR fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and |
2. | The information contained in the Report on Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Registrant. |
By: | /s/ Peter G. Strelow | By: | /s/ Trent W. Walker | |||||
|
| |||||||
Name: | Peter G. Strelow | Name: | Trent W. Walker | |||||
|
| |||||||
Title: | President (Principal Executive Officer) | Title: | Treasurer (Principal Financial & Accounting Officer) | |||||
|
| |||||||
Date: | August 28, 2018 | Date: | August 28, 2018 | |||||
|
|
A signed original of this written statement required by Section 906, or other document authenticating, acknowledging, or otherwise adopting the signature that appears in typed form within the electronic version of this written statement required by Section 906, has been provided to the Registrant and will be retained by the Registrant and furnished to the Securities and Exchange Commission (the Commission) or its staff upon request.
This certification is being furnished to the Commission solely pursuant to 18 U.S.C. Section 1350 and is not being filed as part of the Report.
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