N-CSRS 1 d190029dncsrs.htm N-CSRS N-CSRS

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: 811-23211

PIMCO Flexible Credit Income Fund

(Exact name of registrant as specified in charter)

1633 Broadway, New York, NY 10019

(Address of principal executive offices)

Bijal Y. Parikh

Treasurer (Principal Financial & Accounting Officer)

650 Newport Center Drive

Newport Beach, CA 92660

(Name and address of agent for service)

Copies to:

David C. Sullivan

Ropes & Gray LLP

Prudential Tower

800 Boylston Street

Boston, MA 02199

Registrant’s telephone number, including area code: (844) 337-4626

Date of fiscal year end: June 30

Date of reporting period: December 31, 2021

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).

LOGO

 

PIMCO INTERVAL FUNDS

Semiannual Report

 

December 31, 2021

 

PIMCO Flexible Credit Income Fund

 

 

Table of Contents

 

            Page  
     

Letter from the Chair of the Board & President

         2  

Important Information About the Fund

         5  

Fund Summary

         10  

Financial Highlights (Consolidated)

         12  

Consolidated Statement of Assets and Liabilities

         14  

Consolidated Statement of Operations

         15  

Consolidated Statements of Changes in Net Assets

         16  

Consolidated Statement of Cash Flows

         17  

Consolidated Schedule of Investments

         18  

Notes to Financial Statements

         47  

Glossary

        84  

Distribution Information

        85  

Changes to Board of Trustees

         86  

Letter from the Chair of the Board & President

 

Dear Shareholder,

 

We hope that you and your family are remaining safe and healthy during these challenging times. We continue to work tirelessly to navigate markets and manage the assets that you have entrusted to us. Following this letter is the PIMCO Flexible Credit Income Fund’s Semiannual Report, which covers the six-month reporting period ended December 31, 2021. On the subsequent pages, you will find specific details regarding investment results and a discussion of the factors that most affected performance during the reporting period.

 

For the six-month reporting period ended December 31, 2021

 

The global economy continued to be affected by the COVID-19 pandemic (“COVID-19”) and its variants. Looking back, second quarter 2021 U.S. annualized gross domestic product (“GDP”) was 6.7%. Growth then moderated to 2.3% during the third quarter of the year. Finally, the Commerce Department’s initial estimate for fourth quarter annualized GDP growth — released after the reporting period ended — was 6.9%.

 

In the U.S., while the Federal Reserve Board (the “Fed”) maintained the federal funds rate at an all-time low of a range between 0.00% and 0.25%, it took a step toward tightening its monetary policy. At its meeting in early November 2021, the Fed began reducing the monthly pace of its net asset purchases of Treasury securities and agency mortgage-backed securities. At its meeting in mid-December, the Fed further reduced the monthly pace of its purchases. At the current pace, the U.S. central bank will conclude its asset purchases in mid-March 2022, and could raise interest rates during its March 2022 meeting.

 

Economies outside the U.S. also continued to be impacted by COVID-19. In its October 2021 World Economic Outlook, the International Monetary Fund (“IMF”) said it expects U.S. GDP growth to be 6.0% in 2021, compared to a 3.4% contraction in 2020. Elsewhere, the IMF expects 2021 GDP growth in the eurozone, U.K. and Japan will be 5.0%, 6.8% and 2.4%, respectively. For comparison purposes, the GDP of these economies contracted by -6.3%, -9.8% and -4.6%, respectively, in 2020.

 

The Bank of England (the “BoE”) also tightened its monetary policy, while several other developed country central banks maintained their accommodative stances. In December 2021, the BoE surprised the market and raised rates for the first time since COVID-19 began. The BoE cited underlying inflation pressures and expects inflation to remain high in the coming months. In contrast, the European Central Bank (the “ECB”) diverged from the Fed and the BoE, as President Christine Lagarde said, “It is very unlikely that we will raise interest rates in the year 2022.” The eurozone economy is still below its pre-pandemic level and the Omicron variant is threatening growth in the region. Elsewhere, the Bank of Japan (the “BoJ”) pared back its emergency

 

2   PIMCO INTERVAL FUNDS       
        

 

pandemic funding in late 2021, but maintained its loose monetary policy. The BoJ appears likely to remain accommodative in the near future given the headwinds facing its economy.

 

Both short- and long-term U.S. Treasury yields moved higher during the reporting period. The yield on the benchmark 10-year U.S. Treasury note was 1.52% at the end of the reporting period, versus 1.45% on June 30, 2021. The Bloomberg Global Treasury Index (USD Hedged), which tracks fixed-rate, local currency government debt of investment-grade countries, including both developed and emerging markets, returned 0.16%. Meanwhile, the Bloomberg Global Aggregate Credit Index (USD Hedged), a widely used index of global investment-grade credit bonds, returned 0.10%. Riskier fixed income asset classes, including high yield corporate bonds and emerging market debt, produced mixed returns. The ICE BofAML Developed Markets High Yield Constrained Index (USD Hedged), a widely used index of below-investment-grade bonds, returned 1.36%, whereas emerging market external debt, as represented by the JPMorgan Emerging Markets Bond Index (EMBI) Global (USD Hedged), returned

-0.52%. Emerging market local bonds, as represented by the JPMorgan Government Bond Index-Emerging Markets Global Diversified Index (Unhedged), returned -5.56%.

 

Amid periods of volatility, global equities posted mixed results. All told, U.S. equities, as represented by the S&P 500 Index, returned 11.67%, fueled by strong investor demand and growth in the economy. Global equities, as represented by the MSCI World Index, gained 7.76%, whereas emerging market equities, as measured by the MSCI Emerging Markets Index, returned -0.52%. Meanwhile, Japanese equities, as represented by the Nikkei 225 Index (in JPY), returned 0.82% and European equities, as represented by the MSCI Europe Index (in EUR), gained 8.48%.

 

Commodity prices were volatile and generated positive results. When the reporting period began, Brent crude oil was approximately $75 a barrel. Brent crude oil ended the reporting period at roughly $78 a barrel. We believe that a driver of the uptick in oil price was stronger demand as global growth improved. Elsewhere, copper and gold prices also moved higher.

 

Finally, there were also periods of volatility in the foreign exchange markets, in our view due to economic growth expectations, changing central bank monetary policies, rising inflation, COVID-19 variants, and several geopolitical events. The U.S. dollar strengthened against several major currencies. For example, the U.S. dollar returned 4.12%, 2.16% and 3.45% versus the euro, the British pound and the Japanese yen, respectively.

 

Thank you for the assets you have placed with us. We deeply value your trust, and we will continue to work diligently to meet your broad investment needs. For any questions regarding your PIMCO Flexible Credit Income Fund investment, please

 

   
       SEMIANNUAL REPORT     DECEMBER 31, 2021      3  

Letter from the Chair of the Board & President (Cont.)

 

contact your financial adviser, or call the Fund’s shareholder servicing agent at (844) 312-2113. We also invite you to visit our website at www.pimco.com to learn more about our global viewpoints.

 

Sincerely,

 

LOGO   LOGO
LOGO   LOGO
Deborah A. DeCotis   Eric D. Johnson
Chair of the Board of Trustees   President

 

Past performance is no guarantee of future results. Unless otherwise noted, index returns reflect the reinvestment of income distributions and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. It is not possible to invest directly in an unmanaged index.

 

4   PIMCO INTERVAL FUNDS       
        

Important Information About the Fund

 

We believe that bond funds have an important role to play in a well-diversified investment portfolio. It is important to note, however, that in an environment where interest rates may trend upward, rising rates would negatively impact the performance of most bond funds, and fixed-income securities and other instruments held by the Fund are likely to decrease in value. A wide variety of factors can cause interest rates or yields of U.S. Treasury securities (or yields of other types of bonds) to rise (e.g., central bank monetary policies, inflation rates, general economic conditions). In addition, changes in interest rates can be sudden and unpredictable, and there is no guarantee that Fund management will anticipate such movement accurately. The Fund may lose money as a result of movements in interest rates.

 

As of the date of this report, interest rates in the United States and many parts of the world, including certain European countries, are at or near historically low levels. Thus, the Fund currently faces a heightened level of risk associated with rising interest rates and/or bond yields. This could be driven by a variety of factors, including but not limited to central bank monetary policies, changing inflation or real growth rates, general economic conditions, increasing bond issuances or reduced market demand for low yielding investments. Further, while bond markets have steadily grown over the past three decades, dealer inventories of corporate bonds are near historic lows in relation to market size. As a result, there has been a significant reduction in the ability of dealers to “make markets.”

 

Bond funds and individual bonds with a longer duration (a measure used to determine the sensitivity of a security’s price to changes in interest rates) tend to be more sensitive to changes in interest rates, usually making them more volatile than securities or funds with shorter durations. All of the factors mentioned above, individually or collectively, could lead to increased volatility and/or lower liquidity in the fixed income markets or negatively impact the Fund’s performance or cause the Fund to incur losses.

 

Classifications of the Fund’s portfolio holdings in this report are made according to financial reporting standards. The classification of a particular portfolio holding as shown in the Allocation Breakdown and Consolidated Schedule of Investments sections of this report may differ from the classification used for the Fund’s compliance calculations, including those used in the Fund’s prospectus, investment objectives, regulatory, and other investment limitations and policies, which may be based on different asset class, sector or geographical classifications. The Fund is separately monitored for compliance with respect to prospectus and regulatory requirements.

 

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

 

Beginning in January 2020, global financial markets have experienced and may continue to experience significant volatility resulting from the spread of a novel coronavirus known as COVID-19. The outbreak of COVID-19 has resulted in travel and border restrictions, quarantines, supply chain disruptions, lower consumer demand and general market uncertainty. The effects of COVID-19 have and may continue to adversely affect the global economy, the economies of certain nations and individual issuers, all of which may negatively impact the Fund’s performance. In addition, COVID-19 and governmental responses to COVID-19 may negatively impact the capabilities of the Fund’s service providers and disrupt the Fund’s operations.

 

   
       SEMIANNUAL REPORT     DECEMBER 31, 2021      5  

Important Information About the Fund (Cont.)

 

The United States’ enforcement of restrictions on U.S. investments in certain issuers and tariffs on goods from other countries, each with a focus on China, has contributed to international trade tensions and may impact portfolio securities.

 

The United Kingdom’s withdrawal from the European Union may impact Fund returns. The withdrawal may cause substantial volatility in foreign exchange markets, lead to weakness in the exchange rate of the British pound, result in a sustained period of market uncertainty, and destabilize some or all of the other European Union member countries and/or the Eurozone.

 

The Fund may invest in certain instruments that rely in some fashion upon the London Interbank Offered Rate (“LIBOR”). LIBOR is an average interest rate, determined by the ICE Benchmark Administration, that banks charge one another for the use of short-term money. The United Kingdom’s Financial Conduct Authority, which regulates LIBOR, has announced plans to ultimately phase out the use of LIBOR. There remains uncertainty regarding future utilization of LIBOR and the nature of any replacement rate (e.g., the Secured Overnight Financing Rate, which is intended to replace U.S. dollar LIBOR and measures the cost of overnight borrowings through repurchase agreement transactions collateralized with U.S. Treasury securities). Any potential effects of the transition away from LIBOR on the Fund or on certain instruments in which the Fund invests can be difficult to ascertain, and they may vary depending on a variety of factors. The transition may also result in a reduction in the value of certain instruments held by the Fund or a reduction in the effectiveness of related Fund transactions such as hedges. Any such effects of the transition away from LIBOR, as well as other unforeseen effects, could result in losses to the Fund.

 

In June 2019, FNMA and FHLMC started issuing Uniform Mortgage Backed Securities in place of their current offerings of TBA-eligible securities (the “Single Security Initiative”). The Single Security Initiative seeks to support the overall liquidity of the TBA market and aligns the characteristics of FNMA and FHLMC certificates. The effects that the Single Security Initiative may have on the market for TBA and other mortgage-backed securities are uncertain.

 

The Fund may invest, either directly or indirectly through its wholly-owned and controlled subsidiaries, in shares, certificates, notes or other securities issued by a special purpose entity (“SPE”) sponsored by an alternative lending platform or its affiliates (the “Sponsor”) that represent the right to receive principal and interest payments due on pools of whole loans or fractions of whole loans, which may (but may not) be issued by the Sponsor, held by the SPE (“Alt Lending ABS”). Any such Alt Lending ABS may be backed by consumer, residential or other loans. When acquiring and/or originating loans, or purchasing Alt Lending ABS, the Fund is not restricted by any particular borrower credit criteria. Accordingly, certain loans acquired or originated by the Fund or underlying any Alt Lending ABS purchased by the Fund may be subprime in quality, or may become subprime in quality. Although there is no specific legal or market definition of “subprime,” subprime loans are generally understood to refer to loans made to borrowers that display poor credit histories and other characteristics that correlate with a higher default risk. Accordingly, subprime loans, and debt instruments secured by such loans, have speculative characteristics and are subject to heightened risks, including the risk of nonpayment of interest or repayment of principal, and the risks associated with investments in high yield securities. In addition, these instruments could be subject to increased regulatory scrutiny.

 

The Fund may make investments in debt instruments and other securities or instruments directly or through one or more direct or indirect fully-owned subsidiaries formed by the Fund (each, a

 

6   PIMCO INTERVAL FUNDS       
        

 

“Subsidiary”). A Subsidiary may invest, for example, in whole loans or in shares, certificates, notes or other securities representing the right to receive principal and interest payments due on fractions of whole loans or pools of whole loans, or any other security or other instrument that the Fund may hold directly. References herein to the Fund include references to a Subsidiary in respect of the Fund’s investment exposure. The allocation of the Fund’s portfolio in a Subsidiary will vary over time and might not always include all of the different types of investments described herein. By investing through its Subsidiaries, the Fund is exposed to the risks associated with the Subsidiaries’ investments. The Subsidiaries are not registered as investment companies under the Investment Company Act of 1940 (the “Act”) and are not subject to all of the investor protections of the Act, although each Subsidiary is managed pursuant to the compliance policies and procedures of the Fund applicable to it. Changes in the laws of the United States and/or the jurisdiction in which a Subsidiary is organized could result in the inability of the Fund and/or the Subsidiary to operate as described in this report and could adversely affect the Fund.

 

The Fund may be subject to various risks as described in the Fund’s prospectus and in the Principal and Other Risks in the Notes to Financial Statements.

 

On the Fund Summary page in this Shareholder Report, the Average Annual Total Return table measures performance assuming that any dividend and capital gain distributions were reinvested. Returns do not reflect the deduction of taxes that a shareholder would pay on (i) Fund distributions or (ii) the repurchase of Fund shares. Total return for a period of more than one year represents the average annual total return. Performance shown is net of fees and expenses. Historical performance for the Fund or share class may have been positively impacted by fee waivers or expense limitations in place during some or all of the periods shown, if applicable. Future performance (including total return or yield) and distributions may be negatively impacted by the expiration or reduction of any such fee waivers or expense limitations.

 

The dividend rate that the Fund pays on its common shares may vary as portfolio and market conditions change, and will depend on a number of factors, including without limit the amount of the Fund’s undistributed net investment income and net short- and long-term capital gains, as well as the costs of any leverage obtained by the Fund. As portfolio and market conditions change, the rate of distributions on the common shares and the Fund’s dividend policy could change. There can be no assurance that a change in market conditions or other factors will not result in a change in the Fund distribution rate or that the rate will be sustainable in the future.

 

The following table discloses the inception date and diversification status of the Fund:

 

Fund Name         Fund
Inception		     Institutional
Class		     Class A-1     Class A-2     Class A-3     Class A-4     Diversification
Status
PIMCO Flexible Credit Income Fund       02/22/17       02/22/17       01/29/21       10/28/19       11/09/20       11/30/18     Diversified

 

An investment in the Fund is not a bank deposit and is not guaranteed or insured by the Federal Deposit Insurance Corporation or any other government agency. It is possible to lose money on investments in the Fund.

 

The Trustees are responsible generally for overseeing the management of the Fund. The Trustees authorize the Fund to enter into service agreements with the Pacific Investment Management Company LLC and other service providers in order to provide, and in some cases authorize service

 

   
       SEMIANNUAL REPORT     DECEMBER 31, 2021      7  

Important Information About the Fund (Cont.)

 

providers to procure through other parties, necessary or desirable services on behalf of the Fund. Shareholders are not parties to or third-party beneficiaries of such service agreements. Neither the Fund’s prospectus or Statement of Additional Information (“SAI”), any press release or shareholder report, any contracts filed as exhibits to the Fund’s registration statement, nor any other communications, disclosure documents or regulatory filings (including this report) from or on behalf of the Fund creates a contract between or among any shareholders of the Fund, on the one hand, and the Fund, a service provider to the Fund, and/or the Trustees or officers of the Fund, on the other hand.

 

The Trustees (or the Fund and its officers, service providers or other delegates acting under authority of the Trustees) may amend its most recent prospectus or use a new prospectus or SAI with respect to the Fund, adopt and disclose new or amended policies and other changes in press releases and shareholder reports and/or amend, file and/or issue any other communications, disclosure documents or regulatory filings, and may amend or enter into any contracts to which the Fund is a party, and interpret the investment objective(s), policies, restrictions and contractual provisions applicable to the Fund, without shareholder input or approval, except in circumstances in which shareholder approval is specifically required by law (such as changes to fundamental investment policies) or where a shareholder approval requirement was specifically disclosed in the Fund’s prospectus, SAI or shareholder report and is otherwise still in effect.

 

PIMCO has adopted written proxy voting policies and procedures (“Proxy Policy”) as required by Rule 206(4)-6 under the Investment Advisers Act of 1940, as amended. The Proxy Policy has been adopted by the Fund as the policies and procedures that PIMCO will use when voting proxies on behalf of the Fund. A description of the policies and procedures that PIMCO uses to vote proxies relating to portfolio securities of the Fund, and information about how the Fund voted proxies relating to portfolio securities held during the most recent twelve-month period ended June 30th, are available without charge, upon request, by calling the Fund at (844) 312-2113, on the Fund’s website at www.pimco.com, and on the Securities and Exchange Commission’s (“SEC”) website at www.sec.gov.

 

The Fund files portfolio holdings information with the SEC on Form N-PORT within 60 days of the end of each fiscal quarter. The Fund’s complete schedule of securities holdings as of the end of each fiscal quarter will be made available to the public on the SEC’s website at www.sec.gov and on PIMCO’s website at www.pimco.com, and will be made available, upon request, by calling PIMCO at (844) 312-2113.

 

The SEC adopted a rule that allows shareholder reports to be delivered to investors by providing access to such reports online free of charge and by mailing a notice that the report is electronically available. Pursuant to the rule, investors may elect to receive all reports in paper free of charge by contacting their financial intermediary or, if invested directly with the Fund, investors can inform the Fund by calling (844) 312-2113. Any election to receive reports in paper will apply to all funds held with the fund complex if invested directly with the Fund or to all funds held in the investor’s account if invested through a financial intermediary, such as a broker-dealer or bank.

 

In April 2020, the SEC adopted amended rules modifying the registration, communications, and offering processes for registered closed-end funds and interval funds. Among other things, the amendments: (1) permit qualifying closed-end funds to use a short-form registration statement to offer

 

8   PIMCO INTERVAL FUNDS       
        

 

securities in eligible transactions and certain funds to qualify as Well Known Seasoned Issuers; (2) permit interval funds to pay registration fees based on net issuance of shares in a manner similar to mutual funds; (3) require closed-end funds and interval funds to include additional disclosures in their annual reports; and (4) require certain information to be filed in interactive data format. The new rules have phased compliance dates, with some requirements having already taken effect and others requiring compliance as late as February 1, 2023.

 

In October 2020, the SEC adopted a rule related to the use of derivatives, short sales, reverse repurchase agreements and certain other transactions by registered investment companies that rescinds and withdraws the guidance of the SEC and its staff regarding asset segregation and cover transactions. Subject to certain exceptions, and after an eighteen-month transition period, the rule requires funds to trade derivatives and other transactions that create future payment or delivery obligations (except reverse repurchase agreements and similar financing transactions) subject to a value-at-risk leverage limit, certain derivatives risk management program and reporting requirements. These requirements may limit the ability of the Fund to use derivatives and reverse repurchase agreements and similar financing transactions as part of its investment strategies and may increase the cost of the Fund’s investments and cost of doing business, which could adversely affect investors.

 

In October 2020, the SEC adopted a rule regarding the ability of a fund to invest in other funds. The rule allows a fund to acquire shares of another fund in excess of certain limitations currently imposed by the Act without obtaining individual exemptive relief from the SEC, subject to certain conditions. The rule also includes the rescission of certain exemptive relief from the SEC and guidance from the SEC staff for funds to invest in other funds. The effective date for the rule was January 19, 2021, and the compliance date for the rule was January 19, 2022.

 

In December 2020, the SEC adopted a rule addressing fair valuation of fund investments. The new rule sets forth requirements for good faith determinations of fair value as well as for the performance of fair value determinations, including related oversight and reporting obligations. The new rule also defines “readily available market quotations” for purposes of the definition of “value” under the Act, and the SEC noted that this definition will apply in all contexts under the Act. The SEC adopted an eighteen-month transition period beginning from the effective date for both the new rule and the associated new recordkeeping requirements. The impact of the new rule on the Fund is uncertain at this time.

 

   
       SEMIANNUAL REPORT     DECEMBER 31, 2021      9  

PIMCO Flexible Credit Income Fund

 

 

Allocation Breakdown as of December 31, 2021†§       
Corporate Bonds & Notes      28.0 % 
Loan Participations and Assignments      21.9 % 
Non-Agency Mortgage-Backed Securities      21.2 % 
Asset-Backed Securities      13.1 % 
Short-Term Instruments      5.4 % 
Preferred Securities      3.1 % 
Sovereign Issues      2.0 % 
Municipal Bonds & Notes      1.5 % 
Common Stocks      1.3 % 
Convertible Bonds & Notes      1.1 % 
Other      1.4 % 

 

†    % of Investments, at value.
§    Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any.

 

Average Annual Total Return for the period ended December 31, 2021  
     6 Months*     1 Year     Fund Inception
(2/22/17)		  
PIMCO Flexible Credit Income Fund Institutional Class      2.31%       11.10%       7.79%  
PIMCO Flexible Credit Income Fund Class A-1      2.04%       11.18%       7.18%  
PIMCO Flexible Credit Income Fund Class A-2      2.04%       10.54%       6.99%  
PIMCO Flexible Credit Income Fund Class A-2 (adjusted)      (0.03)%       8.31%       6.56%  
PIMCO Flexible Credit Income Fund Class A-3      1.92%       10.27%       6.79%  
PIMCO Flexible Credit Income Fund Class A-4      1.92%       10.29%       6.97%  
PIMCO Flexible Credit Income Fund Class A-4 (adjusted)      (0.14)%       8.07%       6.30%  

 

All Fund returns are net of fees and expenses and include applicable fee waivers and/or expense limitations. Absent any applicable fee waivers and/or expense limitations, performance would have been lower and there can be no assurance that any such waivers or limitations will continue in the future.

 

*

Cumulative return.

 

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. Shares may be worth more or less than original cost when repurchased by the fund. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the repurchase of fund shares. The adjusted returns take into account the maximum sales charge of 3.00% on Class A-2 and Class A-4 shares. Performance current to the most recent month-end is available at www.pimco.com or via (844) 312-2113. Performance is calculated assuming all dividends and distributions are reinvested at prices obtained under the Fund’s dividend reinvestment plan. Performance does not reflect brokerage commissions in connection with the purchase or sale of Fund shares.

 

For periods prior to the inception date of a share class launched subsequent to the Fund’s inception date, the performance information shown is adjusted for the performance of the Fund’s Institutional Class shares. The prior Institutional Class performance has been adjusted to reflect the distribution and/or service fees and other expenses paid by each respective share class.

 

10   PIMCO INTERVAL FUNDS    

Institutional Class - PFLEX   Class A-1 - PFAIX   Class A-2 - PFALX  
Class A-3 - PFASX   Class A-4 - PFFLX    

 

The Fund’s total annual operating expense ratio in effect as of period end, was 3.06% for Institutional Class, 3.56% for Class A-1 share, 3.56% for Class A-2 shares, 3.81% for Class A-3 shares and 3.81% for Class A-4 shares. As of December 30, 2021, the Fund’s Total Effective Leverage(1) was 38.04%.

 

1 

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 Flexible Credit Income Fund seeks to provide attractive risk-adjusted returns and current income by investing, under normal circumstances across a wide array of global credit sectors, including corporate, mortgage, consumer, emerging market and municipal credit markets and utilizing a flexible asset allocation strategy among multiple public and private credit sectors in the global credit markets, including corporate debt (including, among other things, fixed-, variable- and floating-rate bonds, loans, convertible and contingent convertible securities and stressed, distressed and defaulted debt securities issued by U.S. or foreign (non-U.S.) corporations or other business entities, including emerging market issuers), mortgage-related and other consumer-related instruments, collateralized debt obligations, including, without limitation, collateralized loan obligations, government and sovereign debt, municipal bonds and other fixed-, variable- and floating-rate income-producing securities of U.S. and foreign issuers, including emerging market issuers. The Fund may invest without limit in investment grade debt securities and may invest without limit in below investment grade debt securities (commonly referred to as “high yield” securities or “junk bonds”), including securities of stressed and distressed issuers. Please refer to the Fund’s current prospectus for more information regarding the Fund’s strategy.

 

Fund Insights

 

The following affected performance (on a gross basis) during the reporting period:

 

»   Exposure to the U.S. residential mortgage credit sector contributed to absolute performance, as the sector saw positive returns.

 

»   Exposure to the corporate credit sector contributed to absolute performance, as the sector saw positive performance.

 

»   Exposure to the consumer asset-backed securities and residual tranches of collateralized loan obligations sectors contributed to absolute performance, as the sectors saw positive performance.

 

»   Exposure to the emerging market debt sector detracted from absolute performance, as the sector saw negative returns.

 

»   Long interest rate exposure focused on the intermediate portion of the curve and short exposure on the long portion of the curve detracted from absolute performance, as the interest rates curve flattened.

 

»   Exposure to a high yield special situations telecommunications position detracted from performance, as the company underwent an in-court bankruptcy.

 

   
       SEMIANNUAL REPORT     DECEMBER 31, 2021      11  

Financial Highlights PIMCO Flexible Credit Income Fund (Consolidated)

 

        Investment Operations       Less Distributions(c)
                                     

Selected Per Share Data for

the Year or Period Ended^:

   Net Asset
Value
Beginning
of Year
or Period(a)		   Net
Investment
Income
(Loss)(b)		   Net
Realized/
Unrealized
Gain (Loss)		   Total        From Net
Investment
Income		   From Net
Realized
Capital Gains		   Tax Basis
Return of
Capital		   Total

Institutional Class

                                    

07/01/2021 - 12/31/2021+

     $ 9.68     $ 0.41     $ (0.20 )     $ 0.21               $ (0.44 )     $ 0.00     $ 0.00     $ (0.44 )

06/30/2021

       8.21       0.84       1.40       2.24                 (0.77 )       0.00       0.00       (0.77 )

06/30/2020

         10.09         0.73         (1.61 )         (0.88 )                   (1.00 )         0.00         0.00         (1.00 )

06/30/2019

       10.28       0.92       (0.10 )       0.82                 (1.01 )       0.00       0.00       (1.01 )

06/30/2018

       10.32       0.71       0.00       0.71                 (0.75 )       0.00       0.00       (0.75 )

02/22/2017 - 06/30/2017

       10.00       0.19       0.25       0.44                 (0.12 )       0.00       0.00       (0.12 )

Class A-1

                                    

07/01/2021 - 12/31/2021+

       9.68       0.39       (0.20 )       0.19                 (0.42 )       0.00       0.00       (0.42 )

1/29/2021 - 6/30/2021

       9.34       0.32       0.36       0.68                 (0.34 )       0.00       0.00       (0.34 )

Class A-2

                                    

07/01/2021 - 12/31/2021+

       9.68       0.38       (0.19 )       0.19                 (0.42 )       0.00       0.00       (0.42 )

06/30/2021

       8.21       0.78       1.38       2.16                 (0.69 )       0.00       0.00       (0.69 )

10/28/2019 - 06/30/2020

       9.82       0.40       (1.33 )       (0.93 )                 (0.68 )       0.00       0.00       (0.68 )

Class A-3

                                    

07/01/2021 - 12/31/2021+

       9.68       0.37       (0.20 )       0.17                 (0.40 )       0.00       0.00       (0.40 )

11/09/2020 - 06/30/2021

       8.89       0.48       0.75       1.23                 (0.44 )       0.00       0.00       (0.44 )

Class A-4

                                    

07/01/2021 - 12/31/2021+

       9.68       0.37       (0.20 )       0.17                 (0.40 )       0.00       0.00       (0.40 )

06/30/2021

       8.21       0.77       1.39       2.16                 (0.69 )       0.00       0.00       (0.69 )

06/30/2020

       10.09       0.64       (1.60 )       (0.96 )                 (0.92 )       0.00       0.00       (0.92 )

11/30/2018 - 06/30/2019

       10.17       0.52       0.06       0.58                 (0.66 )       0.00       0.00       (0.66 )

 

^

A zero balance may reflect actual amounts rounding to less than $0.01 or 0.01%.

+

Unaudited

*

Annualized, except for organizational expense, if any.

(a) 

Includes adjustments required by U.S. GAAP and may differ from net asset values and performance reported elsewhere by the Fund.

(b) 

Per share amounts based on average number of shares outstanding during the year or period.

(c) 

The tax characterization of distributions is determined in accordance with Federal income tax regulations. The actual tax characterization of distributions paid is determined at the end of the fiscal year. See Note 2, Distributions to Shareholders, in the Notes to Financial Statements for more information.

(d) 

Includes adjustments required by U.S. GAAP and may differ from net asset values and performance reported elsewhere by the Fund. Additionally, excludes initial sales charges and contingent deferred sales charges.

(e) 

Ratio includes interest expense which primarily relates to participation in borrowing and financing transactions. See Note 5, Borrowings and Other Financing Transactions, in the Notes to Financial Statements for more information.

 

12   PIMCO INTERVAL FUNDS   See Accompanying Notes
        

 

        Ratios/Supplemental Data
            Ratios to Average Net Assets    
Net Asset
Value End
of Year
or Period(a)		   Total
Return(d)		   Net Assets
End of Year
or Period
(000s)		   Expenses(e)   Expenses
Excluding
Waivers(e)		   Expenses
Excluding
Interest
Expense		   Expenses
Excluding
Interest
Expense and
Waivers		   Net
Investment
Income (Loss)		   Portfolio
Turnover
Rate
                                        
 

$

9.45

      2.21 %     $   2,387,402       2.50 %*       2.50 %*       2.16 %*       2.16 %*       8.34 %*       28 %
    9.68       28.02       1,971,964       3.06       3.06       2.30       2.30       9.19       34
    8.21       (9.21 )       1,301,140       3.77       3.78       2.23       2.24       8.00       17
    10.09       8.52       931,335       3.91       3.92       2.18       2.19       9.17       13
    10.28       6.98       538,772       3.09       3.11       1.98       2.00       6.84       14
 

 

  10.32

      4.36       68,995       1.44 *       5.70 *       1.39 *       5.65 *       5.24 *       11
                                 
 

 

9.45

      1.94       11       3.00 *       3.00 *       2.66 *       2.66 *       7.92 *       28
 

 

9.68

      7.39       11       3.56 *       3.56 *       2.80 *       2.80 *       8.10 *       34
                                 
 

 

9.45

      1.94       77,669       3.00 *       3.00 *       2.66 *       2.66 *       7.88 *       28
    9.68       27.00       39,835       3.56       3.56       2.80       2.80       8.44       34
 

 

8.21

      (9.77 )       5,476       4.27 *       4.28 *       2.73 *       2.74 *       7.32 *       17
                                 
 

 

9.45

      1.81       240,890       3.25 *       3.25 *       2.91 *       2.91 *       7.55 *       28
 

 

9.68

      14.01       88,868       3.81 *       3.81 *       3.05 *       3.05 *       7.81 *       34
                                 
 

 

9.45

      1.82       138,273       3.25 *       3.25 *       2.91 *       2.91 *       7.60 *       28
    9.68       27.05       116,482       3.81       3.81       3.05       3.05       8.42       34
    8.21       (9.95 )       71,662       4.52       4.53       2.98       2.99       7.07       17
 

 

10.09

      5.99       25,482       4.66 *       4.67 *       2.93 *       2.94 *       9.06 *       14

 

   
       SEMIANNUAL REPORT     DECEMBER 31, 2021      13  

Consolidated Statement of Assets and Liabilities PIMCO Flexible Credit Income Fund

 

(Unaudited)

December 31, 2021

 

(Amounts in thousands†, except per share amounts)       

Assets:

   

Investments, at value

         

Investments in securities*

    $ 4,662,433  

Financial Derivative Instruments

         

Exchange-traded or centrally cleared

      343  

Over the counter

      6,112  

Cash

      3,328  

Deposits with counterparty

      56,813  

Receivable for investments sold

      35,667  

Receivable for Fund shares sold

      24,567  

Interest and/or dividends receivable

      45,699  

Total Assets

      4,834,962  

Liabilities:

   

Borrowings & Other Financing Transactions

         

Payable for reverse repurchase agreements

    $ 1,626,811  

Financial Derivative Instruments

         

Exchange-traded or centrally cleared

      1,142  

Over the counter

      6,610  

Payable for investments purchased

      240,378  

Payable for unfunded loan commitments

      48,766  

Deposits from counterparty

      5,973  

Distributions payable to common shareholders

      35,603  

Overdraft due to custodian

      19,869  

Accrued management fees

      5,147  

Accrued servicing fees

      274  

Accrued taxes payable

      6  

Other liabilities

      138  

Total Liabilities

      1,990,717  

Net Assets

    $ 2,844,245  

Net Assets Consist of:

   

Par value^

    $ 3  

Paid in capital in excess of par

        2,920,567  

Distributable earnings (accumulated loss)

      (76,325 ) 

Net Assets

    $ 2,844,245  

Net Assets:

   

Institutional Class

    $ 2,387,402  

Class A-1

      11  

Class A-2

      77,669  

Class A-3

      240,890  

Class A-4

      138,273  

Common Shares Outstanding:

   

Institutional Class

      252,730  

Class A-1

      1  

Class A-2

      8,222  

Class A-3

      25,500  

Class A-4

      14,638  

Net Asset Value Per Common Share(a)

   

Institutional Class

    $ 9.45  

Class A-1

      9.45  

Class A-2

      9.45  

Class A-3

      9.45  

Class A-4

      9.45  

Cost of investments in securities

    $   4,685,593  

Cost or premiums of financial derivative instruments, net

    $ 6,744  

* Includes repurchase agreements of:

    $ 36,200  

 

† 

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

^ 

($0.00001 per share)

(a) 

Includes adjustments required by U.S. GAAP and may differ from net asset values and performance reported elsewhere by the Fund.

 

14   PIMCO INTERVAL FUNDS   See Accompanying Notes
        

Consolidated Statement of Operations PIMCO Flexible Credit Income Fund

 

Six Months Ended December 31, 2021 (Unaudited)       
(Amounts in thousands†)       

Investment Income:

   

Interest, net of foreign taxes*

    $ 131,075  

Dividends, net of foreign taxes**

      6,751  

Total Income

      137,826  

Expenses:

   

Management fees

      27,318  

Distribution and/or servicing fees - Class A-2

      153  

Distribution and/or servicing fees - Class A-3

      609  

Distribution and/or servicing fees - Class A-4

      476  

Trustee fees and related expenses

      122  

Interest expense

      4,323  

Miscellaneous expense

      5  

Total Expenses

      33,006  

Net Investment Income (Loss)

      104,820  

Net Realized Gain (Loss):

   

Investments in securities

      41,128  

Exchange-traded or centrally cleared financial derivative instruments

      1,913  

Over the counter financial derivative instruments

      23,375  

Foreign currency

      2,352  

Net Realized Gain (Loss)

      68,768  

Net Change in Unrealized Appreciation (Depreciation):

   

Investments in securities

      (98,219 ) 

Exchange-traded or centrally cleared financial derivative instruments

      (8,776 ) 

Over the counter financial derivative instruments

      (14,634 ) 

Foreign currency assets and liabilities

      1,559  

Net Change in Unrealized Appreciation (Depreciation)

        (120,070 ) 

Net Increase (Decrease) in Net Assets Resulting from Operations

    $ 53,518  

* Foreign tax withholdings - Interest

    $ 277  

** Foreign tax withholdings - Dividends

    $ 20  

 

† 

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

 

   
       SEMIANNUAL REPORT     DECEMBER 31, 2021      15  

Consolidated Statements of Changes in Net Assets PIMCO Flexible Credit Income Fund

 

(Amounts in thousands†)    Six Months Ended
December 31, 2021
(Unaudited)		      Year Ended
June 30, 2021		  

Increase (Decrease) in Net Assets from:

      

Operations:

      

Net investment income (loss)

    $ 104,820      $ 154,848  

Net realized gain (loss)

      68,768        (75,161 ) 

Net change in unrealized appreciation (depreciation)

      (120,070 )       325,144  

Net Increase (Decrease) in Net Assets Resulting from Operations

      53,518        404,831  

Distributions to Common Shareholders:

      

From net investment income and/or net realized capital gains

      

Institutional Class

      (100,276 )       (132,114 ) 

Class A-1

      (0 )       (0 )(a) 

Class A-2

      (2,689 )       (1,035 ) 

Class A-3

      (7,139 )       (1,029 )(b) 

Class A-4

      (5,320 )       (6,975 ) 

Total Distributions to Common Shareholders(c)

      (115,424 )       (141,153 ) 

Common Share Transactions:*

      

Receipts for shares sold

      778,925        883,501  

Issued as reinvestment of distributions

      39,754        36,739  

Cost of shares repurchased

      (129,688 )       (345,036 ) 

Net increase (decrease) resulting from common share transactions

      688,991        575,204  

Total Increase (Decrease) in Net Assets

      627,085        838,882  

Net Assets:

      

Beginning of period

      2,217,160        1,378,278  

End of period

    $   2,844,245      $   2,217,160  

 

† 

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

*

See Note 13, Common Shares Offering, in the Notes to Financial Statements.

(a) 

Inception date of Class A-1 was January 29, 2021.

(b) 

Inception date of Class A-3 was November 9, 2020.

(c) 

The tax characterization of distributions is determined in accordance with Federal income tax regulations. The actual tax characterization of distributions paid is determined at the end of the fiscal year. See Note 2, Distributions — Common Shares, in the Notes to Financial Statements for more information.

 

16   PIMCO INTERVAL FUNDS   See Accompanying Notes
        

Consolidated Statement of Cash Flows PIMCO Flexible Credit Income Fund

 

Six Months Ended December 31, 2021

 

(Amounts in thousands†)

       

Cash Flows Provided by (Used for) Operating Activities:

   

Net increase (decrease) in net assets resulting from operations

    $ 53,518  

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

      (2,116,105 ) 

Proceeds from sales of long-term securities

      1,326,513  

(Purchases) Proceeds from sales of short-term portfolio investments, net

      (138,434 ) 

(Increase) decrease in deposits with counterparty

      (8,037 ) 

(Increase) decrease in receivable for investments sold

      38,721  

(Increase) decrease in interest and/or dividends receivable

      (14,333 ) 

Proceeds from (Payments on) exchange-traded or centrally cleared financial derivative instruments

      (6,781 ) 

Proceeds from (Payments on) over the counter financial derivative instruments

      23,141  

Increase (decrease) in payable for investments purchased

      27,283  

Increase (decrease) in payable for unfunded loan commitments

      16,677  

Increase (decrease) in deposits from counterparty

      (17,791 ) 

Increase (decrease) in accrued management fees

      1,314  

Increase (decrease) in accrued servicing fees

      151  

Proceeds from (Payments on) foreign currency transactions

      4,818  

Increase (decrease) in other liabilities

      (3 ) 

Net Realized (Gain) Loss

         

Investments in securities

      (41,128 ) 

Exchange-traded or centrally cleared financial derivative instruments

      (1,913 ) 

Over the counter financial derivative instruments

      (23,375 ) 

Foreign currency

      (2,352 ) 

Net Change in Unrealized (Appreciation) Depreciation

         

Investments in securities

      98,219  

Exchange-traded or centrally cleared financial derivative instruments

      8,776  

Over the counter financial derivative instruments

              14,634  

Foreign currency assets and liabilities

      (1,559 ) 

Net amortization (accretion) on investments

      (11,370 ) 

Net Cash Provided by (Used for) Operating Activities

      (769,416 ) 

Cash Flows Received from (Used for) Financing Activities:

   

Proceeds from shares sold

      790,595  

Payments on shares repurchased

      (129,688 ) 

Increase (decrease) in overdraft due to custodian

      12,985  

Cash distributions paid*

      (67,639 ) 

Proceeds from reverse repurchase agreements

      3,861,642  

Payments on reverse repurchase agreements

      (3,703,660 ) 

Net Cash Received from (Used for) Financing Activities

      764,235  

Net Increase (Decrease) in Cash and Foreign Currency

      (5,181 ) 

Cash and Foreign Currency:

   

Beginning of period

      8,509  

End of period

    $ 3,328  

* Reinvestment of distributions

    $ 39,754  

Supplemental Disclosure of Cash Flow Information:

   

Interest expense paid during the period

    $ 3,198  

Non Cash Payment in Kind

    $ 1,174  

 

†

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

 

A Statement of Cash Flows is presented when the Fund has a significant amount of borrowing during the period, based on the average total borrowing outstanding in relation to total assets or when substantially all of the Fund’s investments are not classified as Level 1 or 2 in the fair value hierarchy.

 

   
       SEMIANNUAL REPORT     DECEMBER 31, 2021      17  

Consolidated Schedule of Investments PIMCO Flexible Credit Income Fund

 

 

(Amounts in thousands*, except number of shares, contracts, units and ounces, if any)

 

        PRINCIPAL
AMOUNT
(000S)		         MARKET
VALUE
(000S)		  
INVESTMENTS IN SECURITIES 163.9%

 

LOAN PARTICIPATIONS AND ASSIGNMENTS 35.9%

 

AAdvantage Loyalty IP Ltd.

 

5.500% (LIBOR03M + 4.750%) due 04/20/2028 ~

   $     4,700     $     4,879  

Air Canada

 

4.250% (LIBOR03M + 3.500%) due 08/11/2028 ~

       2,800         2,802  

Alorica, Inc.

 

7.000% (LIBOR03M + 6.000%) due 12/11/2025 «~

       10,363         10,257  

AP Core Holdings II, LLC

 

6.250% (LIBOR03M + 5.500%) due 09/01/2027 ~

       17,330         17,356  

BWAY Holding Co.

 

3.354% (LIBOR03M + 3.250%) due 04/03/2024 ~

       4,961         4,903  

Caesars Resort Collection LLC

 

2.854% (LIBOR03M + 2.750%) due 12/23/2024 ~

       17,774         17,705  

Carnival Corp.

 

3.750% (EUR003M + 3.750%) due 06/30/2025 ~

   EUR     5,531         6,278  

4.000% (LIBOR03M + 3.250%) due 10/18/2028 ~

   $     3,939         3,905  

Casino Guichard Perrachon S.A.

 

3.419% (EUR003M + 4.000%) due 08/31/2025 ~

   EUR     9,200           10,452  

Cengage Learning, Inc.

 

5.750% (LIBOR03M + 4.750%) due 06/29/2026 ~

   $     15,647         15,708  

Clear Channel Outdoor Holdings, Inc.

 

3.629% (LIBOR03M + 3.500%)
due 08/21/2026 ~

       8,826         8,715  

Cornwallis Corp.

 

TBD% due 01/01/2022 «

       44         44  

Coty, Inc.

 

2.353% (LIBOR03M + 2.250%) due 04/07/2025 ~

       2,402         2,371  

2.500% (EUR003M + 2.500%) due 04/07/2025 ~

   EUR     6,254         6,975  

DirecTV Financing LLC

 

5.750% (LIBOR03M + 5.000%) due 08/02/2027 ~

   $     5,376         5,389  

Emerald TopCo, Inc.

 

3.629% (LIBOR03M + 3.500%) due 07/24/2026 ~

       176         175  

Envision Healthcare Corp.

 

3.854% (LIBOR03M + 3.750%) due 10/10/2025 ~

       69,561         56,188  
        PRINCIPAL
AMOUNT
(000S)		         MARKET
VALUE
(000S)		  

ExGen Texas Power LLC

 

7.750% (LIBOR03M + 6.750%) due 10/08/2026 «~

   $     38,256     $     38,368  

Fintrax International Holdings

 

5.250% (EUR003M + 5.250%) due 12/18/2026 ~

   EUR     9,800         11,161  

First Forest Park Corp.

 

TBD% due 12/11/2024 «

   $     425         459  

Forest City Enterprises LP

 

3.601% (LIBOR03M + 3.500%) due 12/08/2025 ~

       1,296         1,281  

Frontier Communications Corp.

 

4.500% (LIBOR03M + 3.750%) due 05/01/2028 ~

       7,112         7,119  

Gateway Casinos & Entertainment Ltd.

 

TBD% (LIBOR03M + 8.000%) due 10/15/2027 ~

       54,756           54,790  

8.750% due 10/22/2027 «

   CAD     11,946         9,456  

Gibson Brands, Inc.

 

5.750% (LIBOR03M + 5.000%)
due 08/11/2028 «~

   $     6,100         6,054  

GIP Blue Holding LP

 

5.000% (LIBOR03M + 4.500%)
due 09/29/2028 «~

       11,900         11,885  

II-VI, Inc.

 

TBD% (LIBOR03M + 2.750%) due 12/01/2028 ~

       3,643         3,644  

Instant Brands Holdings, Inc.

 

5.750% (LIBOR03M + 5.000%)
due 04/12/2028 «~

       7,946         7,628  

Intelsat Jackson Holdings S.A.

 

4.250% due 12/01/2028 «

       4,437         4,433  

5.392% - 5.750% (LIBOR03M + 4.750%) due 10/13/2022 ~µ(d)

       4,458         4,475  

8.000% (PRIME + 4.750%) due 11/27/2023 ~

       200         200  

Kronos Acquisition Holdings, Inc.

 

7.000% due 12/22/2026 «

       14,000         13,860  

Lealand Finance Company B.V.

 

3.104% (LIBOR03M + 3.000%)
due 06/28/2024 «~

       171         102  

Lealand Finance Company B.V. (1.104% Cash and 3.000% PIK)

 

4.104% (LIBOR03M + 1.000%) due 06/30/2025 ~(d)

       2,319         1,036  

LifeMiles Ltd.

 

6.250% (LIBOR03M + 5.250%) due 08/30/2026 ~

       7,632         7,620  

Lo Duca Bros Realty Co. Westridge LLC

 

TBD% due 01/01/2022 «

       170         170  
 

 

18   PIMCO INTERVAL FUNDS   See Accompanying Notes
        

 

(Unaudited)

December 31, 2021

 

 

        PRINCIPAL
AMOUNT
(000S)		         MARKET
VALUE
(000S)		  

Mattress Firm, Inc.

 

5.000% (LIBOR03M + 4.250%) due 09/25/2028 ~

   $     2,700     $     2,686  

Merrill Lynch Mortgage Investors Trust

 

11.931% due 06/01/2022 «(l)

       8,968         8,912  

Montgomery Plaza Apartments

 

5.900% due 11/11/2024 «

       481         519  

NAC Aviation 29 DAC

 

2.350% due 06/11/2023 «

       5,109         3,584  

2.353% - 2.354% (LIBOR03M + 2.250%) due 06/27/2022 ~

       21,300           14,786  

2.372% due 01/31/2022 «

       4,391         3,081  

9.000% due 09/16/2022 «

       6,439         6,232  

Otterham Property Finance DAC

 

TBD% (EUR003M + 3.000%)
due 09/03/2026 «~(l)

   EUR     23,797         26,703  

Park Springs Apartments

 

TBD% due 02/01/2023 «

   $     1,720         1,778  

Plainfield Commons LLC

 

TBD% due 02/01/2022 «

       792         796  

Preylock Reitman Santa Cruz LLC

 

TBD% - 6.500% (LIBOR03M + 5.500%)
due 11/09/2022 «~(l)

       7,900         7,793  

Project Anfora Senior

 

TBD% (EUR003M + 2.750%)
due 10/01/2026 «~(l)

   EUR     36,830         40,975  

Project Quasar Pledgco SLU

 

TBD% (EUR003M + 3.250%)
due 09/06/2025 «~(l)

       25,424         24,314  

Promotora de Informaciones S.A.

 

TBD% (EUR003M + 4.500%)
due 11/30/2022 ~

       22,076         24,497  

TBD% due 11/30/2022

       6,000         6,658  

PUG LLC

 

3.604% (LIBOR03M + 3.500%)
due 02/12/2027 ~

   $     71         69  

Quantum Bidco Ltd.

 

6.000% due 01/29/2028 «

   GBP     7,000         9,368  

Redstone Buyer LLC

 

8.500% (LIBOR03M + 7.750%)
due 04/27/2029 ~

   $     6,000         5,580  

Rising Tide Holdings, Inc.

 

9.000% (LIBOR03M + 8.250%)
due 05/25/2029 «~

       1,000         989  

Royal Caribbean Cruises Ltd.

 

1.494% due 10/12/2022 (d)µ

       22,400         21,709  

Sasol Ltd.

 

0.603% - 1.803% (LIBOR03M + 1.600%) due 11/23/2022 «~µ(d)

       11,523         11,145  
        PRINCIPAL
AMOUNT
(000S)		         MARKET
VALUE
(000S)		  

Scientific Games International, Inc.

 

2.854% (LIBOR03M + 2.750%)
due 08/14/2024 ~

   $     1,786     $     1,782  

Sequa Mezzanine Holdings LLC

 

7.750% (LIBOR03M + 6.750%)
due 11/28/2023 ~

       31,859           32,118  

11.750% (LIBOR03M + 10.750%) due 04/28/2024 ~

       19,946         19,940  

Shutterfly, Inc.

 

5.750% (LIBOR03M + 5.000%) due 09/25/2026 ~

       44         43  

Sigma Bidco B.V.

 

3.750% (WIBOR03M + 3.500%) due 03/31/2025 ~

   PLN     31,527         7,277  

Softbank Vision Fund

 

5.000% due 12/21/2025 «

   $     37,000         37,012  

Steenbok Lux Finco 2 SARL

 

TBD% due 12/31/2022

   EUR     23,124         23,892  

Steenbok Lux Finco 2 SARL (10.750% PIK)

 

10.750% (EUR003M)
due 12/29/2022 ~(d)

       50,893         52,799  

Steenbok Lux Finco 2 SARL (7.875% PIK)

 

7.875% (EUR003M)
due 12/29/2022 ~(d)

       10,693         12,250  

Stillwater Development LLC

 

TBD% due 05/01/2024 «

   $     888         899  

Stillwater Partners LLC

 

TBD% due 05/01/2024 «

       455         461  

Sunseeker International Ltd.

 

TBD% - 5.550% (LIBOR03M + 5.500%)
due 10/31/2028 «~µ(d)

       31,800         31,800  

Syniverse Holdings, Inc.

 

4.500% due 10/15/2028 «

       67,149         66,845  

6.000% (LIBOR03M + 5.000%)
due 03/09/2023 ~

       49,578         49,300  

10.000% (LIBOR03M + 9.000%) due 03/11/2024 ~

       14,841         14,761  

Team Health Holdings, Inc.

 

3.750% (LIBOR03M + 2.750%) due 02/06/2024 ~

       39,572         38,003  

Telemar Norte Leste S.A.

 

2.336% (LIBOR03M + 1.750%) due 02/26/2035 «~

       41,792         16,508  

U.S. Renal Care, Inc.

 

5.104% (LIBOR03M + 5.000%) due 06/26/2026 ~

       6,352         6,194  

United Airlines, Inc.

 

4.500% (LIBOR03M + 3.750%) due 04/21/2028 ~

       2,482         2,496  

Veritas U.S., Inc.

 

6.000% (LIBOR03M + 5.000%) due 09/01/2025 ~

       8,670         8,680  
 

 

   
See Accompanying Notes   SEMIANNUAL REPORT     DECEMBER 31, 2021      19  

Consolidated Schedule of Investments PIMCO Flexible Credit Income Fund (Cont.)

 

 

 

        PRINCIPAL
AMOUNT
(000S)		         MARKET
VALUE
(000S)		  

Viad Corp.

 

5.500% (LIBOR03M + 5.000%) due 07/30/2028 «~

   $     6,284     $     6,276  

Walgreens

 

TBD% due 03/01/2025 «

       1,162         1,242  

TBD% due 03/06/2030 «

       686         818  

Westmoreland Mining Holdings LLC (15.000% PIK)

 

15.000% due 03/15/2029 (d)

     8,010         2,403  

Windstream Services LLC

 

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

       7,027         7,062  
       

 

 

  

Total Loan Participations and Assignments (Cost $1,028,989)

       1,020,878  
 

 

 

  
CORPORATE BONDS & NOTES 45.9%

 

BANKING & FINANCE 10.9%

 

ADLER Real Estate AG

 

1.875% due 04/27/2023

   EUR     1,000         1,076  

3.000% due 04/27/2026 (n)

       1,100         1,155  

Ally Financial, Inc.

 

8.000% due 11/01/2031

   $     2         3  

Asteroid Private Merger Sub, Inc.

 

8.500% due 11/15/2029

       4,400         4,618  

Banca Monte dei Paschi di Siena SpA

 

1.875% due 01/09/2026 (n)

   EUR     29,241         32,479  

2.625% due 04/28/2025 (n)

     19,390         22,145  

3.625% due 09/24/2024 (n)

     4,664         5,420  

5.375% due 01/18/2028 •(n)

     3,200         2,885  

8.000% due 01/22/2030 •(n)

     9,400         8,943  

8.500% due 09/10/2030 •(n)

     500         490  

10.500% due 07/23/2029 (n)

     9,939         10,798  

Banco de Credito del Peru

 

4.650% due 09/17/2024

   PEN     1,300         319  

Barclays PLC

 

5.875% due 09/15/2024 •(j)(k)(n)

   GBP     1,200         1,712  

6.375% due 12/15/2025 •(j)(k)(n)

       650         955  

7.125% due 06/15/2025 •(j)(k)(n)

       4,100         6,122  

7.750% due 09/15/2023 •(j)(k)(n)

   $     2,410         2,592  

8.000% due 06/15/2024 •(j)(k)(n)

       250         277  

Claveau Re Ltd.

 

17.278% (T-BILL 3MO + 17.250%) due 07/08/2028 ~

       3,400         3,416  
        PRINCIPAL
AMOUNT
(000S)		         MARKET
VALUE
(000S)		  

Corestate Capital Holding S.A.

 

3.500% due 04/15/2023 (n)

   EUR     5,400     $     5,421  

Country Garden Holdings Co. Ltd.

 

3.875% due 10/22/2030 (n)

   $     300         262  

6.150% due 09/17/2025

       1,000         977  

Credit Suisse Group AG

 

7.250% due 09/12/2025 •(j)(k)(n)

     200         220  

7.500% due 07/17/2023 •(j)(k)(n)

     200         212  

Doric Nimrod Air Alpha Pass-Through Trust

 

5.250% due 05/30/2025 (n)

       1,961         1,964  

Doric Nimrod Air Finance Alpha Ltd. Pass-Through Trust

 

5.125% due 11/30/2024 (n)

       101         100  

Fairfax India Holdings Corp.

 

5.000% due 02/26/2028 (n)

       13,450           13,455  

Farringdon Mortgages

 

4.080% due 07/15/2047

   GBP     5,675         5,298  

FloodSmart Re Ltd.

 

13.028% (T-BILL 3MO + 13.000%) due 03/01/2024 ~

   $     2,246         2,274  

16.778% (T-BILL 3MO + 16.750%) due 03/01/2024 ~

       643         648  

Fortress Transportation & Infrastructure Investors LLC

 

6.500% due 10/01/2025 (n)

       471         487  

Huarong Finance Co. Ltd.

 

3.375% due 02/24/2030 (n)

       200         193  

3.625% due 09/30/2030

       400         386  

3.875% due 11/13/2029 (n)

       800         782  

4.250% due 11/07/2027

       300         304  

4.500% due 05/29/2029 (n)

       1,200         1,221  

4.625% due 06/03/2026

       400         413  

4.750% due 04/27/2027 (n)

       1,100         1,137  

4.950% due 11/07/2047 (n)

       600         580  

Jefferson Capital Holdings LLC

 

6.000% due 08/15/2026 (n)

       8,000         8,108  

NAC Aviation DAC

 

4.920% due 02/27/2026 «(c)(l)

       21,663         16,230  

NAC Aviation PPN

 

4.790% due 02/27/2024 «(l)

       1,022         754  

6.580% due 03/14/2025 «(l)

       4,334         3,423  

Natwest Group PLC

 

8.000% due 08/10/2025 •(j)(k)(n)

     6,325         7,352  

Navient Corp.

 

5.625% due 01/25/2025

       139         136  

Piper Sandler Cos.

 

5.200% due 10/15/2023 (n)

       2,900         2,901  

Seazen Group Ltd.

 

4.450% due 07/13/2025

       200         168  

6.150% due 04/15/2023

       200         187  

Sunac China Holdings Ltd.

 

7.000% due 07/09/2025

       300         192  
 

 

20   PIMCO INTERVAL FUNDS   See Accompanying Notes
        

 

(Unaudited)

December 31, 2021

 

 

        PRINCIPAL
AMOUNT
(000S)		         MARKET
VALUE
(000S)		  

Toll Road Investors Partnership LP

 

0.000% due 02/15/2043 (h)

   $     102,200     $     33,332  

Unique Pub Finance Co. PLC

 

5.659% due 06/30/2027 (n)

   GBP     1,190         1,797  

7.395% due 03/28/2024 (n)

       1,849         2,634  

Uniti Group LP

 

6.000% due 01/15/2030 (n)

   $     24,136         23,261  

7.875% due 02/15/2025 (n)

       40,204         42,011  

Voyager Aviation Holdings LLC

 

8.500% due 05/09/2026

       22,311         20,889  

XP, Inc.

 

3.250% due 07/01/2026 (n)

       4,700         4,512  
       

 

 

  
            309,626  
       

 

 

  
INDUSTRIALS 26.8%

 

Air Canada

 

3.875% due 08/15/2026 (n)

       1,200         1,226  

Altice Financing S.A.

 

4.250% due 08/15/2029 (n)

   EUR     2,322         2,593  

5.750% due 08/15/2029 (n)

   $     11,926         11,825  

American Airlines, Inc.

 

5.500% due 04/20/2026 (n)

       1,300         1,354  

5.750% due 04/20/2029 (n)

       4,200         4,497  

Associated Materials LLC

 

9.000% due 09/01/2025 (n)

       6,332         6,782  

BCP Modular Services Finance PLC

 

6.125% due 11/30/2028 (n)

   GBP     9,020         12,201  

Boeing Co.

 

5.705% due 05/01/2040 (n)

   $     2,172         2,794  

5.805% due 05/01/2050 (n)

       2,179         2,956  

5.930% due 05/01/2060 (n)

       3,679         5,119  

Bombardier, Inc.

 

7.125% due 06/15/2026 (n)

       16,904         17,558  

7.500% due 12/01/2024 (n)

       3,978         4,150  

7.500% due 03/15/2025 (n)

       7,513         7,663  

7.875% due 04/15/2027 (n)

       4,227         4,389  

Carnival Corp.

 

10.500% due 02/01/2026 (n)

       700         800  

CGG S.A.

 

7.750% due 04/01/2027 (n)

   EUR     16,600         18,819  

8.750% due 04/01/2027 (n)

   $     22,793         22,540  

Community Health Systems, Inc.

 

6.625% due 02/15/2025 (n)

       2,586         2,679  

8.000% due 03/15/2026 (n)

       5,637         5,932  

Coty, Inc.

 

3.875% due 04/15/2026 (n)

   EUR     15,510         18,073  

5.000% due 04/15/2026 (n)

   $     24,300         25,064  

Delta Air Lines, Inc.

 

7.375% due 01/15/2026 (n)

       2,090         2,463  

Deluxe Corp.

 

8.000% due 06/01/2029 (n)

       8,100         8,476  
        PRINCIPAL
AMOUNT
(000S)		         MARKET
VALUE
(000S)		  

DISH DBS Corp.

 

5.250% due 12/01/2026 (n)

   $     6,730     $     6,849  

5.750% due 12/01/2028

       10,680           10,807  

Dufry One BV

 

2.000% due 02/15/2027 (n)

   EUR     5,300         5,616  

Endure Digital, Inc.

 

6.000% due 02/15/2029 (n)

   $     5,700         5,309  

Envision Healthcare Corp.

 

8.750% due 10/15/2026 (n)

       4,230         2,437  

Exela Intermediate LLC

 

11.500% due 07/15/2026

       10         7  

Ferroglobe PLC

 

9.375% due 12/31/2025 (l)

       15,204         15,718  

First Quantum Minerals Ltd.

 

6.500% due 03/01/2024 (n)

       1,150         1,166  

Fresh Market, Inc.

 

9.750% due 05/01/2023

       50         51  

Frontier Communications Holdings LLC

 

6.000% due 01/15/2030 (n)

       6,200         6,242  

Full House Resorts, Inc.

 

8.250% due 02/15/2028 (n)

       4,094         4,305  

Garda World Security Corp.

 

6.000% due 06/01/2029 (n)

       2,900         2,774  

Greene King Finance PLC

 

2.178% (BP0003M + 2.080%) due 03/15/2036 ~

   GBP     200         224  

Grifols Escrow Issuer S.A.

 

3.875% due 10/15/2028 (n)

   EUR     4,100         4,697  

Hawaiian Brand Intellectual Property Ltd.

 

5.750% due 01/20/2026 (n)

   $     4,000         4,190  

II-VI, Inc.

 

5.000% due 12/15/2029 (n)

       944         966  

Intelsat Connect Finance S.A.

 

9.500% due 02/15/2023 ^(e)(n)

       200         31  

Intelsat Jackson Holdings S.A.

 

1.000% due 12/01/2029 «(c)

       49,498         49,449  

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

       36,644         16,633  

8.000% due 02/15/2024 (n)

       658         669  

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

       30,492         14,007  

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

       3,268         1,504  

Jaguar Land Rover Automotive PLC

 

6.875% due 11/15/2026 (n)

   EUR     900         1,164  

Mclaren Finance PLC

 

7.500% due 08/01/2026 (n)

   $     1,500         1,520  

Melco Resorts Finance Ltd.

 

5.375% due 12/04/2029 (n)

       300         291  

MGM China Holdings Ltd.

 

4.750% due 02/01/2027 (n)

       200         198  

5.250% due 06/18/2025 (n)

       400         397  

5.875% due 05/15/2026 (n)

       200         201  
 

 

   
See Accompanying Notes   SEMIANNUAL REPORT     DECEMBER 31, 2021      21  

Consolidated Schedule of Investments PIMCO Flexible Credit Income Fund (Cont.)

 

 

 

        PRINCIPAL
AMOUNT
(000S)		         MARKET
VALUE
(000S)		  

Midas OpCo Holdings LLC

 

5.625% due 08/15/2029 (n)

   $     3,000     $     3,076  

Mohegan Gaming & Entertainment

 

8.000% due 02/01/2026 (n)

       5,100         5,361  

MPH Acquisition Holdings LLC

 

5.500% due 09/01/2028 (n)

       4,296         4,362  

National Collegiate Student Loan Trust

 

3.602% due 06/01/2045

       50         43  

NCL Corp. Ltd.

 

10.250% due 02/01/2026 (n)

       7,020         8,172  

12.250% due 05/15/2024 (n)

       5,186         6,151  

Noble Corp. PLC (11.000% Cash or 15.000% PIK)

 

11.000% due 02/15/2028 (d)

       95         105  

Ortho-Clinical Diagnostics, Inc.

 

7.375% due 06/01/2025 (n)

       230         243  

Petroleos de Venezuela S.A.

 

5.375% due 04/12/2027 ^(e)

       440         18  

6.000% due 05/16/2024 ^(e)

       650         27  

6.000% due 11/15/2026 ^(e)

       430         18  

Petroleos Mexicanos

 

2.750% due 04/21/2027 (n)

   EUR     2,700         2,859  

5.950% due 01/28/2031 (n)

   $     9,529         9,278  

6.625% due 06/15/2035 (n)

       8,400         8,085  

6.700% due 02/16/2032 (n)

       26,466           26,783  

6.750% due 09/21/2047 (n)

       23,799         21,169  

6.950% due 01/28/2060 (n)

       1,816         1,624  

7.690% due 01/23/2050 (n)

       190         184  

Petrorio Luxembourg SARL

 

6.125% due 06/09/2026 (n)

       2,500         2,511  

Prosus NV

 

2.031% due 08/03/2032 (n)

   EUR     500         565  

3.832% due 02/08/2051 (n)

   $     11,500         10,754  

4.027% due 08/03/2050 (n)

       3,300         3,177  

Rolls-Royce PLC

 

1.625% due 05/09/2028 (n)

   EUR     6,300         6,869  

3.625% due 10/14/2025 (n)

   $     1,000         1,016  

4.625% due 02/16/2026 (n)

   EUR     300         379  

5.750% due 10/15/2027 (n)

   GBP     400         603  

Royal Caribbean Cruises Ltd.

 

9.125% due 06/15/2023 (n)

   $     1,100         1,165  

10.875% due 06/01/2023 (n)

       4,500         4,922  

11.500% due 06/01/2025 (n)

       4,234         4,747  

Sabre GLBL, Inc.

 

7.375% due 09/01/2025 (n)

       2,700         2,825  

Schenck Process Holding GmbH

 

6.875% due 06/15/2023 (n)

   EUR     4,280         4,888  

Seagate HDD Cayman

 

4.091% due 06/01/2029 (n)

   $     2,700         2,799  

Six Flags Theme Parks, Inc.

 

7.000% due 07/01/2025 (n)

       400         428  

Spirit AeroSystems, Inc.

 

3.950% due 06/15/2023 (n)

       5,000         5,039  
        PRINCIPAL
AMOUNT
(000S)		         MARKET
VALUE
(000S)		  

4.600% due 06/15/2028 (n)

   $     1,735     $     1,742  

Strathcona Resources Ltd.

 

6.875% due 08/01/2026 (n)

       1,725         1,697  

Studio City Finance Ltd.

 

5.000% due 01/15/2029 (n)

       1,600         1,434  

Topaz Solar Farms LLC

 

4.875% due 09/30/2039 (n)

       3,089         3,498  

5.750% due 09/30/2039 (n)

       28,726           34,281  

Transocean Pontus Ltd.

 

6.125% due 08/01/2025 (n)

       92         90  

Transocean, Inc.

 

7.250% due 11/01/2025

       346         267  

7.500% due 01/15/2026

       190         142  

8.000% due 02/01/2027

       254         183  

Triumph Group, Inc.

 

6.250% due 09/15/2024 (n)

       137         138  

8.875% due 06/01/2024 (n)

       2,512         2,742  

U.S. Renal Care, Inc.

 

10.625% due 07/15/2027 (n)

       14,057         14,282  

Univision Communications, Inc.

 

5.125% due 02/15/2025 (n)

       890         900  

9.500% due 05/01/2025 (n)

       900         963  

Valaris Ltd. (8.250% Cash or 12.000% PIK)

 

8.250% due 04/30/2028 (d)

       12         12  

8.250% due 04/30/2028 (d)(n)

     2,015         2,100  

Vale Overseas Ltd.

 

6.875% due 11/21/2036 (n)

       781         1,039  

6.875% due 11/10/2039 (n)

       275         370  

Vale S.A.

 

2.762% due 12/29/2049 «~(j)

   BRL     313,730         28,029  

Veritas U.S., Inc.

 

7.500% due 09/01/2025 (n)

   $     13,000         13,472  

Victors Merger Corp.

 

6.375% due 05/15/2029 (n)

       4,000         3,766  

Viking Cruises Ltd.

 

13.000% due 05/15/2025 (n)

     25,187         28,540  

Viking Ocean Cruises Ship Ltd.

 

5.625% due 02/15/2029 (n)

       400         400  

Windstream Escrow LLC

 

7.750% due 08/15/2028 (n)

       30,862         32,775  

Wolverine Escrow LLC

 

8.500% due 11/15/2024 (n)

       48,924         45,428  

9.000% due 11/15/2026 (n)

       28,416         27,027  

Wynn Las Vegas LLC

 

5.250% due 05/15/2027 (n)

       5,940         6,079  

5.500% due 03/01/2025 (n)

       5,830         6,013  

Wynn Macau Ltd.

 

5.125% due 12/15/2029 (n)

       400         364  

5.500% due 01/15/2026 (n)

       400         376  

5.500% due 10/01/2027 (n)

       200         186  

5.625% due 08/26/2028 (n)

       6,000         5,564  
 

 

22   PIMCO INTERVAL FUNDS   See Accompanying Notes
        

 

(Unaudited)

December 31, 2021

 

 

        PRINCIPAL
AMOUNT
(000S)		         MARKET
VALUE
(000S)		  

Wynn Resorts Finance LLC

 

5.125% due 10/01/2029 (n)

   $     400     $     407  

7.750% due 04/15/2025 (n)

     500         525  
       

 

 

  
          762,451  
       

 

 

  
UTILITIES 8.2%

 

DTEK Finance PLC (1.500% Cash and 3.500% PIK)

 

5.000% due 12/31/2027 (d)(n)

     14,565         7,982  

Eskom Holdings SOC Ltd.

 

6.750% due 08/06/2023 (n)

     44,918         46,231  

FEL Energy SARL

 

5.750% due 12/01/2040 (n)

     6,175         6,197  

Genesis Energy LP

 

8.000% due 01/15/2027 (n)

     4,200         4,333  

NGD Holdings BV

 

6.750% due 12/31/2026 (n)

     1,378         1,265  

Odebrecht Offshore Drilling Finance Ltd.

 

6.720% due 12/01/2022 ^(n)

     2,167         2,137  

Oi S.A. (10.000% Cash or 12.000% PIK)

 

10.000% due 07/27/2025 (n)(d)

     31,439         27,623  

Pacific Gas & Electric Co.

 

3.750% due 08/15/2042 (n)

     26         24  

4.000% due 12/01/2046

       4         4  

4.200% due 06/01/2041 (n)

     4,400         4,436  

4.250% due 03/15/2046 (n)

     2,555         2,557  

4.300% due 03/15/2045 (n)

     1,575         1,596  

4.450% due 04/15/2042 (n)

     3,732         3,801  

4.500% due 07/01/2040 (n)

     11,073         11,553  

4.500% due 12/15/2041

     368         368  

4.550% due 07/01/2030 (n)

     9,178         9,932  

4.600% due 06/15/2043

     20         21  

4.750% due 02/15/2044 (n)

     24,633         25,601  

4.950% due 07/01/2050 (n)

     16,566         18,084  

Peru LNG SRL

 

5.375% due 03/22/2030 (n)

     19,962         17,298  

Petrobras Global Finance BV

 

6.750% due 06/03/2050 (n)

     18,212         19,080  

6.850% due 06/05/2115 (n)

     7,030         6,991  

Rio Oil Finance Trust

 

8.200% due 04/06/2028 (n)

     6,193         7,037  

9.250% due 07/06/2024 (n)

     2,993         3,224  

Transocean Phoenix Ltd.

 

7.750% due 10/15/2024 (n)

     1,000         1,012  

Transocean Poseidon Ltd.

 

6.875% due 02/01/2027 (n)

     6,553         6,339  
       

 

 

  
          234,726  
       

 

 

  

Total Corporate Bonds & Notes (Cost $1,322,863)

       1,306,803  
 

 

 

  
        PRINCIPAL
AMOUNT
(000S)		         MARKET
VALUE
(000S)		  
CONVERTIBLE BONDS & NOTES 1.8%

 

BANKING & FINANCE 0.8%

 

CBL & Associates HoldCo LLC

 

7.000% due 11/15/2028

   $     335     $     641  

Corestate Capital Holding S.A.

 

1.375% due 11/28/2022 (n)

   EUR     3,200         3,215  

PennyMac Corp.

 

5.500% due 03/15/2026 (n)

   $     18,075         17,714  
       

 

 

  
          21,570  
       

 

 

  
INDUSTRIALS 1.0%

 

DISH Network Corp.

 

3.375% due 08/15/2026

       3,300         3,132  

Multiplan Corp. (6.000% Cash or 7.000% PIK)

 

6.000% due 10/15/2027 (d)

       10,600         8,400  

NCL Corp. Ltd.

 

6.000% due 05/15/2024

       4,000         6,928  

Royal Caribbean Cruises Ltd.

 

4.250% due 06/15/2023

       3,200         4,088  

Vnet Group Inc

 

0.000% due 02/01/2026 (h)

       9,000         7,245  
       

 

 

  
          29,793  
       

 

 

  

Total Convertible Bonds & Notes (Cost $50,242)

       51,363  
 

 

 

  
MUNICIPAL BONDS & NOTES 2.5%

 

MICHIGAN 0.2%

 

Detroit, Michigan General Obligation Bonds, Series 2014

 

4.000% due 04/01/2044

       7,200         6,874  
       

 

 

  
PUERTO RICO 2.3%

 

Commonwealth of Puerto Rico General Obligation Bonds, Series 2014

 

8.000% due 07/01/2035 ^(e)

       57,900         51,531  

CPR Custodial Receipt, Puerto Rico Revenue Bonds, Series 2021

 

1.000% due 01/01/2045 ^(e)

       12,700         12,255  
       

 

 

  
          63,786  
       

 

 

  
TEXAS 0.0%

 

Texas Public Finance Authority Revenue Notes, Series 2014

 

8.250% due 07/01/2024

       100         101  
       

 

 

  
 

 

   
See Accompanying Notes   SEMIANNUAL REPORT     DECEMBER 31, 2021      23  

Consolidated Schedule of Investments PIMCO Flexible Credit Income Fund (Cont.)

 

 

 

        PRINCIPAL
AMOUNT
(000S)		         MARKET
VALUE
(000S)		  
WEST VIRGINIA 0.0%

 

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

 

0.000% due 06/01/2047 (h)

   $     1,200     $     134  
       

 

 

  

Total Municipal Bonds & Notes
(Cost $63,034)

       70,895  
 

 

 

  
U.S. GOVERNMENT AGENCIES 0.6%

 

Fannie Mae

 

1.500% due 02/25/2036 (a)(n)

       13,757         779  

4.000% due 09/25/2051 (a)(n)

       32,989         5,657  

Freddie Mac

 

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

       1,692         1,421  

0.100% due 02/25/2046 (a)

       1,688         1  

0.700% due 11/25/2055 «~(a)(n)

     64,367         5,024  

2.010% due 11/25/2045 ~(a)(n)

     24,637         2,614  

3.000% due 02/25/2051 (a)(n)

     9,577         1,182  

4.500% due 12/25/2050 (a)(n)

     5,268         868  

6.540% due 08/15/2026 •(a)(n)

     1,891         172  
       

 

 

  

Total U.S. Government Agencies
(Cost $17,129)

     17,718  
 

 

 

  
NON-AGENCY MORTGAGE-BACKED SECURITIES 34.8%

 

280 Park Avenue Mortgage Trust

 

2.937% due 09/15/2034 •(n)

       7,233         7,163  

ACRES Commercial Realty Corp.

 

5.664% due 04/17/2037 •(n)

       2,901         2,898  

Adjustable Rate Mortgage Trust

 

0.642% due 02/25/2036 •

       40         28  

1.102% due 10/25/2035 •

       2,478         2,475  

1.122% due 11/25/2035 •

       1,525         1,527  

1.252% due 01/25/2035 •

       2,861         2,783  

1.902% due 02/25/2035 •

       1,810         1,813  

Alba PLC

 

0.000% due 12/15/2038 (h)

   GBP     0         5,283  

5.098% due 12/15/2038 •

       3,491         4,007  

Anthracite Ltd.

 

5.678% due 06/20/2041

   $     6,511         392  

Ashford Hospitality Trust

 

2.860% due 06/15/2035 •(n)

       2,750         2,744  

3.210% due 04/15/2035 •(n)

       8,900         8,608  

Atrium Hotel Portfolio Trust

 

3.160% due 12/15/2036 •(n)

       21,231         20,135  

3.510% due 06/15/2035 •(n)

       5,250         5,019  

Austin Fairmont Hotel Trust

 

2.360% due 09/15/2032 •

       3,500         3,420  

BAMLL Commercial Mortgage Securities Trust

 

2.504% due 03/15/2037 •(n)

       3,000         2,736  

3.860% due 09/15/2038 •(n)

       10,000         10,017  
        PRINCIPAL
AMOUNT
(000S)		         MARKET
VALUE
(000S)		  

BAMLL Re-REMIC Trust

 

5.884% due 06/17/2050 ~

   $     3,000     $     1,076  

Banc of America Funding Trust

 

0.242% due 10/25/2036 •

       17,401         7,230  

0.512% due 08/25/2047 ^~

       1,602         1,383  

6.000% due 07/25/2036

       705         666  

9.373% due 02/27/2037 ~

       2,618         2,624  

Banc of America Mortgage Trust

 

2.555% due 06/25/2034 ~

       215         194  

4.128% due 07/20/2032 ~

       44         44  

Bancorp Commercial Mortgage Trust

 

3.860% due 08/15/2032 •(n)

       4,100         3,702  

Barclays Commercial Mortgage Securities Trust

 

3.660% due 07/15/2037 •(n)

       19,000         18,829  

6.610% due 02/15/2033 •

       1,466         1,466  

Barclays Commercial Real Estate Trust

 

4.563% due 08/10/2033 ~(n)

       6,020         5,965  

4.563% due 08/10/2033 ~

       660         618  

BCAP LLC Trust

 

0.251% due 05/26/2037 ~

       1,046         978  

3.056% due 08/28/2037 ~

       11,025         7,899  

23.022% due 06/26/2037 ~

       2,000         766  

Bear Stearns Commercial Mortgage Securities Trust

 

5.657% due 10/12/2041 ~

       49         49  

Beneria Cowen & Pritzer Collateral Funding Corp.

 

3.748% due 06/15/2038 •(n)

       4,900         4,861  

BWAY Mortgage Trust

 

3.960% due 09/15/2036 •(n)

       7,654         7,650  

4.960% due 09/15/2036 •(n)

       6,611         6,608  

5.960% due 09/15/2036 •(n)

       3,000         3,008  

BX Commercial Mortgage Trust

 

2.847% due 10/15/2036 •

       3,739         3,619  

3.260% due 07/15/2034 •(n)

       10,617           10,641  

4.360% due 07/15/2034 •

       23,131         23,245  

CD Mortgage Trust

 

5.688% due 10/15/2048

       294         286  

Chase Mortgage Finance Trust

 

3.135% due 03/25/2037 ^~

       53         54  

Chevy Chase Funding LLC Mortgage-Backed Certificates

 

0.472% due 01/25/2036 •

       4,275         2,916  

Citigroup Commercial Mortgage Trust

 

2.910% due 12/15/2036 •(n)

       4,000         3,966  

3.810% due 10/15/2036 •(n)

       13,140         13,133  

5.482% due 10/15/2049

       4,588         3,779  

5.512% due 12/10/2049 ~

       951         428  

Citigroup Mortgage Loan Trust

 

2.652% due 11/25/2036 ~

       551         450  

3.970% due 07/25/2049 ~(n)

       3,750         3,769  

4.250% due 02/25/2054 (n)

       13,555         13,952  

6.000% due 08/25/2035

       3,188         2,831  
 

 

24   PIMCO INTERVAL FUNDS   See Accompanying Notes
        

 

(Unaudited)

December 31, 2021

 

 

        PRINCIPAL
AMOUNT
(000S)		         MARKET
VALUE
(000S)		  

Citigroup Mortgage Loan Trust, Inc.

 

2.669% due 08/25/2035 ~

   $     3,158     $     3,110  

Colony Mortgage Capital Ltd.

 

2.831% due 11/15/2038 •(n)

       4,575         4,533  

3.527% due 11/15/2038 •(n)

       7,800         7,637  

COLT Mortgage Pass-Through Certificates

 

2.695% due 05/25/2065 ~(n)

       1,156         1,156  

3.550% due 05/25/2065 ~(n)

       2,458         2,480  

4.553% due 05/25/2065 ~

       1,998         2,012  

Commercial Mortgage Loan Trust

 

5.956% due 12/10/2049 ~

       2,650         459  

Commercial Mortgage Trust

 

1.228% due 10/10/2048 ~(a)(n)

       28,636         1,156  

2.110% due 06/15/2034 •(n)

       2,929         2,799  

5.509% due 06/10/2044 ~

       1,901         1,867  

6.100% due 12/15/2038 •

       5,260         5,273  

Connecticut Avenue Securities Trust

 

3.150% due 10/25/2041 •

       7,600         7,690  

6.050% due 10/25/2041 •

       10,700         10,983  

Countrywide Alternative Loan Trust

 

0.482% due 07/25/2046 ^•(n)

       2,030         1,961  

0.522% due 05/25/2047 •

       4,941         3,410  

0.582% due 12/25/2046 ^•

       408         287  

0.602% due 10/25/2046 •

       228         240  

0.884% due 12/20/2035 •

       561         182  

6.852% due 02/25/2035 ~

       347         161  

Countrywide Home Loan Mortgage Pass-Through Trust

 

0.802% due 05/25/2035 •(n)

       4,359         2,672  

0.802% due 05/25/2035 •

       3,786         2,402  

2.675% due 09/20/2036 ~

       111         106  

Credit Suisse Commercial Mortgage Trust

 

5.457% due 02/15/2040 ~

       5,847         839  

5.627% due 01/15/2049 ^~(e)

       2,500         3,657  

5.627% due 01/15/2049 ~

       8,570           11,002  

Credit Suisse First Boston Mortgage Securities Corp.

 

2.865% due 12/25/2033 ~

       568         551  

4.981% due 07/15/2037 ~

       53         52  

5.100% due 08/15/2038 ~

       1,437         1,153  

Credit Suisse First Boston Mortgage-Backed Pass-Through Certificates

 

7.500% due 10/25/2032

       753         548  

Credit Suisse Mortgage Capital Certificates

 

0.242% due 10/27/2036 •

       16,216         13,539  

3.111% due 11/27/2037 ~(n)

       5,562         5,567  

11.983% due 06/27/2037 ~

       920         616  

Credit Suisse Mortgage Capital Mortgage-Backed Trust

 

6.500% due 07/25/2036

       501         228  

CTDL Trust

 

4.750% due 05/25/2055 ~(n)

       894         886  

DBGS Mortgage Trust

 

4.260% due 10/15/2036 •

       6,000         5,995  
        PRINCIPAL
AMOUNT
(000S)		         MARKET
VALUE
(000S)		  

Deutsche Mortgage Securities, Inc. Mortgage Loan Trust

 

3.203% due 09/28/2036 ~

   $     4,167     $     3,607  

DOLP Trust

 

3.704% due 05/10/2041 ~

       14,100         12,491  

DROP Mortgage Trust

 

2.860% due 04/15/2026 •(n)

       3,000         3,006  

Dssv SARL

 

3.000% due 10/15/2024 «•

   EUR     39,212         44,152  

Eurosail PLC

 

0.255% due 03/13/2045 •

       250         254  

1.445% due 06/13/2045 •(n)

   GBP     5,421         6,759  

3.595% (BP0003M + 3.500%) due 06/13/2045 ~(n)

       1,976         2,684  

4.095% due 06/13/2045 •

       1,781         2,322  

Extended Stay America Trust

 

3.810% due 07/15/2038 •(n)

   $     18,305         18,372  

FIAC

 

0.000% due 06/25/2039 «

   GBP     1,000         0  

Finsbury Square PLC

 

5.549% due 06/16/2070 •(n)

       1,000         1,402  

Freddie Mac

 

3.400% due 09/25/2041 •(n)

   $     3,100         3,091  

6.300% due 09/25/2041 •

       3,700         3,665  

7.550% due 10/25/2041 •

       12,000         12,511  

Fremont Home Loan Trust

 

2.202% due 01/25/2034 •

       1,883         1,884  

GC Pastor Hipotecario FTA

 

0.000% due 06/21/2046 •(n)

   EUR     5,180         5,383  

GMAC Commercial Mortgage Asset Corp.

 

5.550% due 08/10/2038 (n)

   $     1,361         1,451  

GMAC Commercial Mortgage Securities, Inc. Trust

 

5.349% due 11/10/2045 ~

       427         413  

Great Hall Mortgages PLC

 

0.000% due 06/25/2039 «

   GBP     1,000           18,003  

GS Mortgage Securities Corp. Trust

 

3.360% due 12/15/2036 •

   $     3,500         3,415  

4.591% due 10/10/2032 ~

       5,820         5,680  

GS Mortgage-Backed Securities Corp. Trust

 

0.000% due 12/25/2060 ~(a)

       121,594         4,720  

0.010% due 12/25/2060 ~

       159         158  

0.165% due 12/25/2060 ~(a)

       107,685         596  

3.619% due 12/25/2060 ~

       20,531         20,375  

GS Mortgage-Backed Securities Trust

 

0.000% due 07/25/2059 (b)(h)

       55         55  

0.000% due 07/25/2059 ~(a)

       54,472         262  

0.090% due 07/25/2059 ~(a)

       49,250         147  

3.807% due 07/25/2059 ~(n)

       6,871         6,554  

GSMSC Resecuritization Trust

 

3.518% due 09/26/2037 ~

       38,028         18,577  

HarborView Mortgage Loan Trust

 

0.344% due 12/19/2036 ^•(n)

       3,210         3,221  
 

 

   
See Accompanying Notes   SEMIANNUAL REPORT     DECEMBER 31, 2021      25  

Consolidated Schedule of Investments PIMCO Flexible Credit Income Fund (Cont.)

 

 

 

        PRINCIPAL
AMOUNT
(000S)		         MARKET
VALUE
(000S)		  

0.764% due 03/19/2035 •

   $     1,991     $     1,416  

Hawksmoor Mortgage Funding PLC

 

3.550% due 05/25/2053 •(n)

   GBP     3,166         4,297  

Hilton Orlando Trust

 

2.910% due 12/15/2034 •(n)

   $     10,000         9,949  

HPLY Trust

 

3.260% due 11/15/2036 •(n)

       9,434         9,152  

HSI Asset Loan Obligation Trust

 

6.500% due 06/25/2037 (n)

       7,130         3,937  

J.P. Morgan Chase Commercial Mortgage
Securities Trust

 

3.260% due 02/15/2035 •

       24,000           23,506  

3.756% due 01/05/2031 ~

       3,400         3,309  

4.260% due 02/15/2035 •

       5,000         4,871  

6.500% due 11/15/2038 •

       21,526         21,528  

Jackson Park Trust

 

3.242% due 10/14/2039 ~(n)

       11,347         10,399  

JP Morgan Chase Commercial Mortgage
Securities Trust

 

3.500% due 07/15/2047 ~

       10,000         1,878  

5.884% due 06/15/2049 ~

       15,324         4,676  

JP Morgan Mortgage Trust

 

2.244% due 06/25/2036 ^~

       9         7  

JP Morgan Resecuritization Trust

 

0.000% due 05/26/2036 ~(a)

       8,088         2,140  

KeyCorp Student Loan Trust

 

0.000% due 01/01/2050 «

       100         19,574  

1.000% due 01/01/2050 «

       300         29,829  

KREST Commercial Mortgage Securities Trust

 

2.927% due 11/05/2044 ~(n)

       15,339         13,834  

LB-UBS Commercial Mortgage Trust

 

5.407% due 11/15/2038 ^

       1,080         694  

6.318% due 04/15/2041 ~

       4,469         4,445  

Ludgate Funding PLC

 

0.000% due 12/01/2060 «~

   GBP     750,000         3,533  

LUXE Commercial Mortgage Trust

 

3.360% due 10/15/2038 •(n)

   $     26,640         26,674  

Mansard Mortgages PLC

 

3.634% due 10/15/2048 •(n)

   GBP     2,879         3,807  

MASTR Adjustable Rate Mortgages Trust

 

2.653% due 04/25/2035 ~

   $     1,126         858  

Merrill Lynch Mortgage Investors Trust

 

0.837% due 07/25/2029 •

       705         682  

MFA Trust

 

3.071% due 08/25/2049 ~(n)

       1,185         1,191  

4.978% due 08/25/2049 ~(n)

       6,143         6,202  

Morgan Stanley Capital Trust

 

1.610% due 05/15/2036 •(n)

       4,500         4,419  

3.260% due 11/15/2034 •

       12,482         12,330  

5.316% due 11/14/2042 ~

       7,500         4,212  

6.014% due 06/11/2042 ~

       1,000         1,001  

6.356% due 08/12/2041 ~

       123         84  
        PRINCIPAL
AMOUNT
(000S)		         MARKET
VALUE
(000S)		  

Morgan Stanley Mortgage Capital Holdings Trust

 

3.740% due 09/13/2039 ~(n)

   $     4,006     $     3,829  

Morgan Stanley Resecuritization Trust

 

3.075% due 06/26/2046 ~

       7,983         7,115  

Mortgage Equity Conversion Asset Trust

 

4.000% due 07/25/2060

       65         65  

Mortgage Funding PLC

 

3.295% due 03/13/2046 •(n)

   GBP     1,700         2,336  

MRCD Mortgage Trust

 

2.718% due 12/15/2036

   $     6,000         5,646  

4.250% due 12/15/2036 ~

       5,000         4,471  

4.250% due 12/15/2036 (n)

       12,000         11,538  

Natixis Commercial Mortgage Securities Trust

 

2.851% due 02/15/2033 •(n)

       5,000         4,938  

3.110% due 11/15/2034 •(n)

       1,826         1,811  

3.790% due 11/15/2032 ~(n)

       2,700         2,699  

4.058% due 04/10/2037 ~(n)

       7,000         6,939  

4.110% due 11/15/2034 •

       792         777  

New York Mortgage Trust

 

3.558% due 08/25/2061 þ

       4,450         4,399  

Nomura Resecuritization Trust

 

2.506% due 10/26/2036 •(n)

       10,732           10,228  

4.045% due 07/26/2035 ~

       265         251  

RBSSP Resecuritization Trust

 

0.792% due 10/26/2037 •

       2,495         747  

Residential Accredit Loans, Inc. Trust

 

6.000% due 01/25/2037 ^

       169         165  

Residential Asset Securitization Trust

 

5.750% due 03/25/2037 ^

       1,796         885  

Residential Mortgage Securities PLC

 

4.348% due 06/20/2070 •(n)

   GBP     4,150         5,785  

Seasoned Credit Risk Transfer Trust

 

4.250% due 11/25/2059 ~(n)

   $     5,400         5,525  

5.440% due 11/25/2059 ~(n)

       10,266         6,327  

Sequoia Mortgage Trust

 

0.769% due 10/20/2035 •

       51         48  

1.049% due 10/20/2035 •

       249         226  

1.079% due 07/20/2033 •

       86         83  

1.559% due 12/20/2032 •

       234         198  

Starwood Mortgage Residential Trust

 

3.935% due 11/25/2066 ~

       800         771  

Starwood Mortgage Trust

 

3.110% due 04/15/2034 •(n)

       9,724         9,738  

4.110% due 04/15/2034 •(n)

       6,612         6,622  

Structured Adjustable Rate Mortgage Loan Trust

 

0.632% due 12/25/2034 •

       2,072         1,645  

0.752% due 10/25/2035 •(n)

       5,181         4,994  

Structured Asset Mortgage Investments Trust

 

0.522% due 09/25/2047 ^•

       2,357         2,643  

TBW Mortgage-Backed Trust

 

6.830% due 09/25/2036 þ

       5,000         2,724  
 

 

26   PIMCO INTERVAL FUNDS   See Accompanying Notes
        

 

(Unaudited)

December 31, 2021

 

 

        PRINCIPAL
AMOUNT
(000S)		         MARKET
VALUE
(000S)		  

TDA Mixto Fondo de Titulizacion de Activos

 

0.000% due 10/28/2050 •

   EUR     29,160     $     19,399  

0.000% due 12/28/2050 •

       11,707         11,982  

Tharaldson Hotel Portfolio Trust

 

3.584% due 11/11/2034 •

   $     3,666         3,585  

Wachovia Bank Commercial Mortgage Trust

 

5.720% due 10/15/2048 ~(n)

       1,424         1,413  

Waikiki Beach Hotel Trust

 

2.790% due 12/15/2033 •

       15,000         14,590  

WaMu Mortgage Pass-Through Certificates Trust

 

0.852% due 05/25/2047 •

       1,692         858  

1.002% due 04/25/2045 •

       12,412         9,999  

1.107% due 07/25/2045 •

       8,280         7,207  

1.725% due 08/25/2046 •(n)

       8,582         7,505  

2.829% due 05/25/2035 ~

       479         335  

Wells Fargo Mortgage-Backed Securities Trust

 

2.616% due 08/25/2035 ~

       1,172         851  

Worldwide Plaza Trust

 

3.596% due 11/10/2036 ~(n)

       10,000         9,516  
       

 

 

  

Total Non-Agency Mortgage-Backed Securities (Cost $981,908)

       989,994  
 

 

 

  
ASSET-BACKED SECURITIES 21.6%

 

510 Loan Acquisition Trust

 

5.107% due 09/25/2060 þ(n)

       6,422         6,498  

Acacia CDO Ltd.

 

0.994% due 11/08/2039 •

       29,250         11,191  

Accredited Mortgage Loan Trust

 

0.392% due 02/25/2037 •

       5,235         4,384  

6.000% due 10/25/2034 þ

       1,863         1,806  

ACE Securities Corp. Home Equity Loan Trust

 

0.522% due 04/25/2036 •(n)

       7,454         6,908  

0.747% due 12/25/2035 •

       2,905         3,123  

1.062% due 08/25/2035 •

       3,508         2,559  

1.377% due 02/25/2035 •(n)

       13,979         13,200  

Aegis Asset-Backed Securities Trust

 

1.802% due 03/25/2035 •

       3,100         779  

Aegis Asset-Backed Securities Trust Mortgage Pass-Through Certificates

 

3.252% due 09/25/2034 •

       638         666  

AIM Aviation Finance Ltd.

 

4.213% due 02/15/2040 þ

       9,126         7,958  

Alkali Europe SARL

 

3.800% due 07/15/2022 «•

   EUR     14,455         16,409  

Argent Securities, Inc. Asset-Backed Pass-Through Certificates

 

0.862% due 02/25/2036 •

   $     214         199  

Avoca CLO DAC

 

0.000% due 04/15/2034 ~

   EUR     2,250         1,535  

Ballyrock CLO Ltd.

 

0.000% due 04/20/2031 ~

   $     29,803         10,864  
        PRINCIPAL
AMOUNT
(000S)		         MARKET
VALUE
(000S)		  

Banco Bilbao Vizcaya Argentaria

 

0.062% due 03/22/2046 •

   EUR     673     $     477  

Bear Stearns Asset-Backed Securities Trust

 

0.302% due 08/25/2035 •(n)

   $     8,725         11,608  

1.077% due 08/25/2036 •(n)

       3,672         3,258  

Belle Haven ABS CDO Ltd.

 

0.383% due 07/05/2046 •

       96,561         186  

Bombardier Capital Mortgage Securitization Corp.

 

7.850% due 12/15/2029 ~

       4,066         893  

California Republic Auto Receivables Trust

 

0.000% due 04/15/2025 «(h)

       6,994         7,713  

Carlyle Global Market Strategies CLO Ltd.

 

0.000% due 04/17/2031 ~

       2,900         1,374  

Carvana Auto Receivables Trust

 

0.000% due 09/12/2028 «(h)

       12         3,726  

2.990% due 09/11/2028

       4,000         4,009  

CDC Mortgage Capital Trust

 

2.652% due 06/25/2034 •

       659         645  

Cedar Funding CLO Ltd.

 

0.000% due 04/20/2031 ~

       12,000         8,201  

Citigroup Mortgage Loan Trust

 

1.452% due 11/25/2045 •

       2,756         2,427  

Citigroup Mortgage Loan Trust, Inc.

 

1.242% due 02/25/2035 •

       36         37  

Conseco Finance Securitizations Corp.

 

7.150% due 05/01/2033 ~

       1,778         1,766  

8.260% due 12/01/2030 ~

       15,639         5,623  

8.850% due 12/01/2030 ~

       19,044         5,519  

Consumer Loan Underlying Bond Certificate
Issuer Trust

 

21.647% due 10/15/2043 «~

       515         489  

22.064% due 12/15/2043 «~

       791         763  

Coronado CDO Ltd.

 

1.680% due 09/04/2038 •

       1,902         1,013  

6.000% due 09/04/2038

       272         201  

Countrywide Asset-Backed Certificates

 

0.582% due 02/25/2037 ^•

       2,700         2,550  

0.733% due 06/25/2036 •(n)

       3,915         4,178  

0.762% due 06/25/2036 •(n)

       2,073         2,413  

0.837% due 04/25/2036 •(n)

       2,000         1,803  

1.062% due 02/25/2036 •

       2,390         1,912  

1.362% due 01/25/2036 •

       3,434         3,350  

Countrywide Asset-Backed Certificates Trust

 

1.977% due 10/25/2035 •

       11,937           10,894  

2.202% due 08/25/2035 •(n)

       3,447         3,499  

Credit Suisse First Boston Mortgage Securities Corp.

 

5.850% due 05/25/2035 þ

       978         876  

Credit-Based Asset Servicing & Securitization LLC

 

5.783% due 12/25/2036 þ

       1,800         1,905  

6.767% due 05/25/2035 þ

       1,897         1,594  

Delta Funding Home Equity Loan Trust

 

8.100% due 01/15/2030 þ

       1,887         1,511  
 

 

   
See Accompanying Notes   SEMIANNUAL REPORT     DECEMBER 31, 2021      27  

Consolidated Schedule of Investments PIMCO Flexible Credit Income Fund (Cont.)

 

 

 

        PRINCIPAL
AMOUNT
(000S)		         MARKET
VALUE
(000S)		  

Deutsche Mortgage & Asset Receiving Corp. Re-securitization Trust

 

0.000% due 12/26/2035 (h)

   $     1,634     $     1,075  

Diamond Infrastructure Funding LLC

 

3.475% due 04/15/2049

       4,000         3,925  

ECAF Ltd.

 

3.473% due 06/15/2040 (n)

       4,575         4,405  

Flagship Credit Auto Trust

 

0.000% due 05/15/2025 «(h)

       20         1,505  

0.000% due 12/15/2025 «(h)

       33         4,178  

0.000% due 12/15/2027 «(h)

       20         4,974  

0.000% due 12/15/2028 «(h)

       4         1,874  

FREED ABS Trust

 

0.000% due 09/20/2027 «(h)

       5         1,795  

Fremont Home Loan Trust

 

0.582% due 02/25/2036 •(n)

       10,238         8,161  

Greenpoint Manufactured Housing

 

9.230% due 12/15/2029 ~

       141         123  

GSAMP Trust

 

0.522% due 05/25/2046 •

       2,861         2,804  

0.552% due 06/25/2036 •(n)

       7,264         6,975  

0.762% due 12/25/2035 •(n)

       6,938         5,975  

0.882% due 09/25/2035 •(n)

       4,134         3,719  

1.452% due 07/25/2045 •

       1,277         1,199  

1.827% due 08/25/2034 •

       884         898  

1.977% due 03/25/2034 ^•

       3,150         2,785  

2.727% due 12/25/2034 •(n)

       8,336         7,358  

Harvest CLO DAC

 

0.000% due 05/22/2029 ~

   EUR     2,000         1,226  

Hout Bay Corp.

 

1.627% due 07/05/2041 •

   $     13,654         2,721  

1.827% due 07/05/2041 •

       8,111         1,026  

1.957% due 07/05/2041 •

       3,290         193  

JP Morgan Mortgage Acquisition Trust

 

4.692% due 11/25/2036 þ

       2,288         3,202  

KeyCorp Student Loan Trust

 

1.000% due 01/01/2050 «

       200         31,446  

Labrador Aviation Finance Ltd.

 

4.300% due 01/15/2042 (n)

       7,312         7,182  

Lakeside CDO Ltd.

 

1.118% due 01/03/2040 •

       16,069         6,546  

1.118% due 01/04/2040 •

       21,501         8,758  

LNR CDO Ltd.

 

0.372% due 02/28/2043 •

       2,135         49  

Long Beach Mortgage Loan Trust

 

0.482% due 02/25/2036 •

       139         128  

1.227% due 06/25/2035 •(n)

       15,023           15,085  

1.977% due 04/25/2035 •

       4,346         4,203  

Man GLG Euro CLO DAC

 

0.000% due 10/15/2030 ~

   EUR     1,762         1,226  

Margate Funding Ltd.

 

0.513% due 12/04/2044 •

   $     38,978         13,108  
        PRINCIPAL
AMOUNT
(000S)		         MARKET
VALUE
(000S)		  

Marlette Funding Trust

 

0.000% due 07/17/2028 «(h)

   $     10     $     825  

0.000% due 04/16/2029 «(h)

       17         1,173  

0.000% due 07/16/2029 «(h)

       4         394  

0.000% due 03/15/2030 «(h)

       11         1,414  

MASTR Asset-Backed Securities Trust

 

0.717% due 01/25/2036 •(n)

       8,905         9,403  

5.952% due 12/25/2032 •

       444         328  

Mercury CDO Ltd.

 

1.143% due 12/08/2040 •

       7,372         6,670  

Merrill Lynch Mortgage Investors Trust

 

0.972% due 05/25/2036 •(n)

       4,464         4,019  

Morgan Stanley ABS Capital, Inc. Trust

 

0.172% due 10/25/2036 •

       234         150  

0.807% due 11/25/2035 •(n)

       5,819         5,502  

5.728% due 09/25/2033 •(n)

       1,543         1,588  

Morgan Stanley Capital, Inc. Trust

 

0.657% due 01/25/2036 •(n)

       8,698         7,870  

Morgan Stanley Home Equity Loan Trust

 

1.167% due 05/25/2035 •(n)

       5,569         5,045  

N-Star REL CDO Ltd.

 

0.519% due 02/01/2041 •

       1,582         1,579  

NAC Aviation PPN

 

6.730% due 03/15/2027 «(l)

       4,855         4,066  

National Collegiate Commutation Trust

 

3.748% due 06/01/2045

       22,875         3,977  

Nomura Home Equity Loan, Inc. Home Equity
Loan Trust

 

0.717% due 11/25/2035 •(n)

       11,307         8,396  

1.182% due 09/25/2035 •

       3,000         2,794  

NovaStar Mortgage Funding Trust

 

0.988% due 01/25/2036 •

       4,102         4,097  

Option One Mortgage Loan Trust Asset-Backed Certificates

 

1.002% due 11/25/2035 •

       5,481         6,149  

Orient Point CDO Ltd.

 

0.400% due 10/03/2045 •(n)

       115,074         42,428  

Palisades CDO Ltd.

 

1.078% due 07/22/2039 •

       21,400         10,491  

Park Place Securities, Inc. Asset-Backed Pass-Through Certificates

 

1.572% due 01/25/2035 ^•

       1,730         1,748  

2.052% due 02/25/2035 •(n)

       6,028         6,099  

PRET LLC

 

3.844% due 07/25/2051 þ

       1,000         991  

Putnam Structured Product Funding Ltd.

 

1.584% due 10/15/2038 •

       3,698         2,901  

Rockford Tower CLO Ltd.

 

0.000% due 01/20/2032 ~

       8,300         7,967  

Securitized Asset-Backed Receivables LLC Trust

 

1.077% due 12/25/2034 •

       1,018         971  

1.077% due 04/25/2035 •

       1,829         1,527  
 

 

28   PIMCO INTERVAL FUNDS   See Accompanying Notes
        

 

(Unaudited)

December 31, 2021

 

 

        PRINCIPAL
AMOUNT
(000S)		         MARKET
VALUE
(000S)		  

SG Mortgage Securities Trust

 

0.462% due 02/25/2036 •

   $     4,897     $     3,253  

Sierra Madre Funding Ltd.

 

0.484% due 09/07/2039 •

       12,800         11,426  

0.744% due 09/07/2039 •

       16,000         2,375  

0.984% due 09/07/2039 •

       10,400         1,576  

SMB Private Education Loan Trust

 

0.000% due 09/15/2045 «(h)

       15         1,927  

0.000% due 09/18/2046 «(h)

       10         3,992  

0.000% due 10/15/2048 «(h)

       15         5,992  

0.000% due 09/15/2054 «(h)

       28,185         42,606  

SoFi Professional Loan Program LLC

 

0.000% due 07/25/2040 «(h)

       29         472  

0.000% due 09/25/2040 «(h)

       4,400         864  

South Coast Funding Ltd.

 

1.194% due 08/06/2039 •

       24,731         10,789  

3.394% due 08/06/2039 •

       32,157         3  

START Ireland

 

4.089% due 03/15/2044 (n)

       2,710         2,698  

Structured Asset Securities Corp.

 

1.302% due 02/25/2035 •

       414         412  

Structured Asset Securities Corp. Mortgage
Loan Trust

 

0.302% due 06/25/2037 •(n)

       3,300         2,664  

0.332% due 02/25/2037 •(n)

       10,089         11,472  

0.342% due 01/25/2037 •(n)

       7,800         6,174  

Summer Street Ltd.

 

0.430% due 12/06/2045 •

       33,942         8,800  

Terwin Mortgage Trust

 

3.769% due 07/25/2036 þ

       456         402  

Wells Fargo Home Equity Asset-Backed Securities Trust

 

2.652% due 11/25/2035 •

       250         254  
       

 

 

  

Total Asset-Backed Securities
(Cost $665,540)

       613,032  
 

 

 

  
SOVEREIGN ISSUES 3.2%

 

Argentina Government International Bond

 

0.500% due 07/09/2030 þ

       260         92  

0.500% due 07/09/2030 þ(n)

       970         311  

1.000% due 07/09/2029 (n)

       949         347  

1.125% due 07/09/2035 þ(n)

       14,079         4,554  

2.000% due 01/09/2038 þ(n)

       30,184         11,606  

2.500% due 07/09/2041 þ(n)

       24,633         8,791  

15.500% due 10/17/2026 (n)

   ARS     47,041         92  

16.000% due 10/17/2023

       868         3  

34.191% (BADLARPP) due 10/04/2022 ~(n)

       3,184         7  

36.237% (BADLARPP + 2.000%) due 04/03/2022 ~(n)

       55,100         273  
        PRINCIPAL
AMOUNT
(000S)		         MARKET
VALUE
(000S)		  

Argentina Treasury Bond BONCER

 

1.400% due 03/25/2023 (i)

   $     202,045     $     1,006  

1.450% due 08/13/2023

       35,600         302  

Autonomous City of Buenos Aires

 

37.487% (BADLARPP + 3.250%) due 03/29/2024 ~(n)

       328,937         1,543  

39.182% (BADLARPP + 5.000%) due 01/23/2022 ~(n)

       66,000         329  

Egypt Government International Bond

 

3.875% due 02/16/2026 (n)

   $     1,600         1,501  

6.375% due 04/11/2031 (n)

   EUR     6,300         6,630  

7.500% due 02/16/2061 (n)

   $     4,600         3,768  

Ghana Government International Bond

 

6.375% due 02/11/2027 (n)

       1,100         931  

7.875% due 02/11/2035 (n)

       1,100         866  

8.750% due 03/11/2061 (n)

       400         318  

Ivory Coast Government International Bond

 

4.875% due 01/30/2032 (n)

   EUR     5,800         6,371  

6.625% due 03/22/2048 (n)

       2,000         2,267  

Nigeria Government International Bond

 

8.250% due 09/28/2051 (n)

   $     4,200         3,948  

Peru Government International Bond

 

5.350% due 08/12/2040

   PEN     1,095         235  

5.940% due 02/12/2029

       1,100         283  

6.150% due 08/12/2032

       1,200         303  

6.150% due 08/12/2032 (n)

       2,040         514  

6.900% due 08/12/2037 (n)

       49,300         12,591  

Provincia de Buenos Aires

 

37.922% due 04/12/2025 (n)

   ARS     93,337         410  

37.922% due 04/12/2025

       25,911         114  

38.045% due 05/31/2022 (n)

     32,451         157  

Romania Government International Bond

 

2.625% due 12/02/2040 (n)

   EUR     6,700         6,810  

2.750% due 04/14/2041 (n)

       5,200         5,303  

South Africa Government International Bond

 

5.750% due 09/30/2049 (n)

   $     1,800         1,736  

Turkiye Ihracat Kredi Bankasi A/S

 

8.250% due 01/24/2024 (n)

       200         204  

Ukraine Government International Bond

 

4.375% due 01/27/2030 (n)

   EUR     3,304         3,037  

6.876% due 05/21/2029 (n)

   $     5,000         4,442  

Venezuela Government International Bond

 

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

     650         42  

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

     65         4  
       

 

 

  

Total Sovereign Issues
(Cost $113,696)

       92,041  
 

 

 

  
 

 

   
See Accompanying Notes   SEMIANNUAL REPORT     DECEMBER 31, 2021      29  

Consolidated Schedule of Investments PIMCO Flexible Credit Income Fund (Cont.)

 

 

 

        SHARES         MARKET
VALUE
(000S)		  
COMMON STOCKS 2.1%

 

COMMUNICATION SERVICES 0.3%

 

Clear Channel Outdoor Holdings, Inc. (f)

       725,704     $     2,402  

iHeartMedia, Inc. ‘A’ (f)

       171,118         3,601  

iHeartMedia, Inc. ‘B’ «(f)

       132,822         2,515  
       

 

 

  
          8,518  
       

 

 

  
CONSUMER DISCRETIONARY 0.0%

 

Caesars Entertainment, Inc. (f)

       1         0  
       

 

 

  
ENERGY 0.0%

 

Noble Corp. (f)(l)

       40,134         996  

Valaris Ltd. (f)

       2,258         81  
       

 

 

  
          1,077  
       

 

 

  
FINANCIALS 0.0%

 

Credit Suisse Group AG

       115,607         1,126  
       

 

 

  
INDUSTRIALS 0.9%

 

McDermott International Ltd. (f)

       57,728         24  

Neiman Marcus Group Ltd. LLC «(l)

       178,186         26,076  

Noble Corp.

       2,965         73  

Voyager Aviation Holdings «

       2,201         0  

Westmoreland Mining Holdings LLC «(l)

       63,729         0  
       

 

 

  
          26,173  
       

 

 

  
MATERIALS 0.6%

 

Associated Materials Group, Inc. «(l)

       2,418,841         16,883  
       

 

 

  
REAL ESTATE 0.0%

 

Stearns Holding LLC ‘B’ «

       284,008         196  
       

 

 

  
UTILITIES 0.3%

 

TexGen Power LLC «

       273,307         7,106  
       

 

 

  

Total Common Stocks (Cost $44,369)

       61,079  
 

 

 

  
        SHARES         MARKET
VALUE
(000S)		  
WARRANTS 1.2%

 

FINANCIALS 0.0%

 

Guaranteed Rate, Inc. - Exp. 12/31/2060 «

       1,361     $     0  
       

 

 

  
INFORMATION TECHNOLOGY 1.2%

 

Windstream Holdings LLC - Exp. 09/21/2055 «

     1,366,195         33,849  
       

 

 

  

Total Warrants (Cost $11,709)

     33,849  
 

 

 

  
PREFERRED SECURITIES 5.1%

 

BANKING & FINANCE 4.4%

 

Banco Santander S.A.

 

4.125% due 11/12/2027 •(j)(k)(n)

       4,200,000         4,834  

Nationwide Building Society

 

10.250% ~(n)

       151,500         39,244  

Stichting AK Rabobank Certificaten

 

6.500% due 12/29/2049 þ(j)(n)

       51,963,700         81,642  
       

 

 

  
          125,720  
       

 

 

  
INDUSTRIALS 0.2%

 

General Electric Co.

 

3.533% (US0003M + 3.330%) due 03/15/2022 ~(j)

       299,000         297  

Sequa Corp. (15.000% PIK)

 

15.000% «(d)

       1,204         1,435  

Voyager Aviation Holdings LLC

 

9.500% «

       13,205         4,098  
       

 

 

  
          5,830  
       

 

 

  
UTILITIES 0.5%

 

AT&T Mobility LLC

 

7.000% due 10/20/2022 «(j)(l)

       484,024         12,618  
       

 

 

  

Total Preferred Securities
(Cost $129,694)

       144,168  
 

 

 

  
REAL ESTATE INVESTMENT TRUSTS 0.3%

 

REAL ESTATE 0.3%

 

Uniti Group, Inc.

       544,155         7,624  
       

 

 

  

Total Real Estate Investment Trusts (Cost $3,444)

     7,624  
 

 

 

  
 

 

30   PIMCO INTERVAL FUNDS   See Accompanying Notes
        

 

(Unaudited)

December 31, 2021

 

 

        PRINCIPAL
AMOUNT
(000S)		         MARKET
VALUE
(000S)		  
SHORT-TERM INSTRUMENTS 8.9%

 

REPURCHASE AGREEMENTS (m) 1.3%

 

      $     36,200  
       

 

 

  
ARGENTINA TREASURY BILLS 0.1%

 

42.023% due 02/28/2022 - 04/29/2022 (g)(h)(i)

   ARS     312,980         1,385  
       

 

 

  
U.S. TREASURY BILLS 4.9%

 

0.052% due 01/04/2022 - 03/24/2022 (g)(h)(n)(p)(r)

   $     140,412           140,408  
       

 

 

  
        PRINCIPAL
AMOUNT
(000S)		         MARKET
VALUE
(000S)		  
U.S. TREASURY CASH MANAGEMENT BILLS 2.6%

 

0.057% due 03/01/2022 - 03/15/2022 (g)(h)(n)(p)(r)

   $     75,000     $     74,996  
       

 

 

  

Total Short-Term Instruments (Cost $252,976)

     252,989  
 
Total Investments in Securities
(Cost $4,685,593)		     4,662,433  
 
Total Investments 163.9%
(Cost $4,685,593)

 

   $     4,662,433  
       

Financial Derivative Instruments (o)(q) (0.0)%

(Cost or Premiums, net $6,744)

 

 

       (1,297 ) 
       
Other Assets and Liabilities, net (63.9)%       (1,816,891 ) 
 

 

 

  
Net Assets 100.0%

 

   $     2,844,245  
   

 

 

  
 

NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:

 

*

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

^

Security is in default.

«

Security valued using significant unobservable inputs (Level 3).

µ

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

~

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

•

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

þ

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

(a)

Security is an Interest Only (“IO”) or IO Strip.

(b)

Principal only security.

(c)

When-issued security.

(d)

Payment in-kind security.

(e)

Security is not accruing income as of the date of this report.

(f)

Security did not produce income within the last twelve months.

(g)

Coupon represents a weighted average yield to maturity.

(h)

Zero coupon security.

(i)

Principal amount of security is adjusted for inflation.

(j)

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

(k)

Contingent convertible security.

 

   
See Accompanying Notes   SEMIANNUAL REPORT     DECEMBER 31, 2021      31  

Consolidated Schedule of Investments PIMCO Flexible Credit Income Fund (Cont.)

 

 

 

(l)  RESTRICTED SECURITIES:

 

Issuer Description   Acquisition
Date		     Cost     Market
Value		     Market Value
as Percentage
of Net Assets		  

AT&T Mobility LLC

     09/24/2020     $ 13,092     $ 12,618       0.44 % 

Associated Materials Group, Inc.

     08/24/2020       15,360       16,883       0.59  

Ferroglobe PLC 9.375% due 12/31/2025

     10/04/2021 - 12/09/2021       15,760       15,718       0.55  

Merrill Lynch Mortgage Investors Trust 11.931% due 06/01/2022

     10/02/2018 - 11/14/2019       8,970       8,912       0.31  

NAC Aviation DAC 4.920% due 02/27/2026

     09/21/2021 - 10/26/2021       16,650       16,230       0.57  

NAC Aviation PPN 4.790% due 02/27/2024

     09/22/2021       844       754       0.03  

NAC Aviation PPN 6.580% due 03/14/2025

     09/22/2021       3,556       3,423       0.12  

NAC Aviation PPN 6.730% due 03/15/2027

     09/22/2021       3,964       4,066       0.14  

Neiman Marcus Group Ltd. LLC

     09/25/2020       5,828       26,076       0.92  

Noble Corp.

     02/05/2021 - 02/25/2021       542       996       0.04  

Otterham Property Finance DAC 0.000% due 09/03/2026

     09/26/2019       25,969       26,703       0.94  

Preylock Reitman Santa Cruz LLC 0.000% due 11/09/2022

     04/09/2018       8,097       7,793       0.27  

Project Anfora Senior 0.000% due 10/01/2026

     09/30/2019       40,077       40,975       1.44  

Project Quasar Pledgco SLU 0.000% due 09/06/2025

     12/21/2021       24,133       24,314       0.85  

Westmoreland Mining Holdings LLC

     04/09/2018 - 08/31/2018       726       0       0.00  
   

 

 

    

 

 

    

 

 

  
  $   183,568     $   205,461       7.22 % 
   

 

 

    

 

 

    

 

 

  

 

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)		  

IND

     0.030 %      12/31/2021       01/03/2022     $   36,200     U.S. Treasury Bonds 1.875% due 02/15/2051   $ (36,987 )    $ 36,200     $ 36,200  
           

 

 

    

 

 

    

 

 

  

Total Repurchase Agreements

 

     $   (36,987 )    $   36,200     $   36,200  
   

 

 

    

 

 

    

 

 

  

 

REVERSE REPURCHASE AGREEMENTS:

 

Counterparty   Borrowing
Rate(2)		      Settlement
Date		      Maturity
Date		     Amount
Borrowed(2)		     Payable for
Reverse
Repurchase
Agreements		  

BCY

     0.500 %       12/23/2021        03/24/2022         $     (5,539 )    $ (5,538 ) 

BOS

     0.798        09/17/2021        03/17/2022       (4,958 )      (4,970 ) 
    0.800        09/02/2021        03/02/2022       (2,812 )      (2,820 ) 

BPS

     (3.750 )       03/10/2021        TBD (3)    EUR     (1,099 )      (1,237 ) 
    (3.750 )       05/19/2021        TBD (3)      (752 )      (849 ) 
    (2.250 )       09/23/2021        TBD (3)      (427 )      (484 ) 
    (1.750 )       11/24/2021        TBD (3)        $ (275 )      (274 ) 
    (0.400 )       10/26/2021        01/21/2022     EUR (2,806 )      (3,192 ) 
    (0.380 )       11/11/2021        02/03/2022       (13,912 )          (15,830 ) 
    (0.350 )       09/24/2021        01/13/2022       (6,225 )      (7,080 ) 
    (0.350 )       10/26/2021        TBD (3)      (4,478 )      (5,095 ) 
    (0.350 )       11/15/2021        02/09/2022       (2,357 )      (2,682 ) 
    (0.300 )       10/26/2021        01/17/2022       (378 )      (430 ) 
    (0.300 )       10/26/2021        TBD (3)      (4,887 )      (5,560 ) 
    (0.300 )       11/03/2021        01/28/2022       (1,715 )      (1,951 ) 
    (0.300 )       11/15/2021        02/09/2022       (2,702 )      (3,075 ) 
    0.350        08/13/2021        TBD (3)        $ (4,723 )      (4,730 ) 

 

32   PIMCO INTERVAL FUNDS   See Accompanying Notes
        

 

(Unaudited)

December 31, 2021

 

 

Counterparty   Borrowing
Rate(2)		      Settlement
Date		      Maturity
Date		     Amount
Borrowed(2)		     Payable for
Reverse
Repurchase
Agreements		  
    0.350 %       09/30/2021        TBD (3)        $     (2,742 )    $ (2,744 ) 
    0.350        10/19/2021        01/18/2022     GBP (1,168 )      (1,582 ) 
    0.450        08/03/2021        02/03/2022         $ (2,509 )      (2,514 ) 
    0.480        10/12/2021        01/10/2022       (1,113 )      (1,114 ) 
    0.490        08/12/2021        02/15/2022       (1,135 )      (1,138 ) 
    0.490        08/13/2021        02/16/2022       (634 )      (635 ) 
    0.490        08/23/2021        02/16/2022       (118 )      (118 ) 
    0.500        07/12/2021        01/10/2022       (959 )      (962 ) 
    0.500        08/03/2021        02/03/2022       (1,237 )          (1,239 ) 
    0.500        10/27/2021        03/14/2022       (3,386 )      (3,390 ) 
    0.500        11/15/2021        01/14/2022       (1,746 )      (1,747 ) 
    0.510        09/23/2021        03/21/2022       (3,085 )      (3,090 ) 
    0.510        12/27/2021        03/21/2022       (826 )      (826 ) 
    0.520        10/15/2021        04/18/2022       (20,121 )      (20,144 ) 
    0.520        11/15/2021        03/21/2022       (15,685 )      (15,696 ) 
    0.520        12/10/2021        04/18/2022       (1,818 )      (1,819 ) 
    0.530        10/18/2021        05/12/2022       (5,287 )      (5,293 ) 
    0.540        06/08/2021        03/08/2022       (24,668 )      (24,746 ) 
    0.540        11/09/2021        02/09/2022       (13,402 )      (13,413 ) 
    0.540        12/14/2021        03/08/2022       (5,785 )      (5,787 ) 
    0.540        12/27/2021        03/09/2022       (14,568 )      (14,570 ) 
    0.550        07/28/2021        04/28/2022       (24,358 )      (24,417 ) 
    0.550        09/28/2021        04/28/2022       (1,591 )      (1,594 ) 
    0.550        10/04/2021        04/28/2022       (1,955 )      (1,958 ) 
    0.810        10/01/2021        04/01/2022       (1,655 )      (1,659 ) 
    0.810        10/07/2021        04/07/2022       (29,106 )      (29,164 ) 
    0.810        10/20/2021        04/07/2022       (3,281 )      (3,286 ) 
    0.810        12/06/2021        04/07/2022       (3,889 )      (3,892 ) 
    0.810        12/13/2021        04/07/2022       (1,955 )      (1,956 ) 
    0.810        12/21/2021        04/07/2022       (4,866 )      (4,868 ) 

BRC

     (3.250 )       02/17/2021        TBD (3)    EUR (2,279 )      (2,535 ) 
    (1.500 )       10/07/2021        TBD (3)      (633 )      (718 ) 
    (1.000 )       08/24/2021        TBD (3)      (5,481 )      (6,219 ) 
    (1.000 )       09/06/2021        TBD (3)      (372 )      (422 ) 
    (0.550 )       10/26/2021        TBD (3)      (7,268 )      (8,266 ) 
    (0.350 )       10/26/2021        01/19/2022       (9,985 )      (11,361 ) 
    (0.250 )       11/16/2021        02/11/2022       (1,795 )      (2,043 ) 
    0.420        11/15/2021        01/19/2022       (8,253 )      (8,258 ) 
    0.420        12/09/2021        01/19/2022       (5,771 )      (5,772 ) 
    0.450        10/05/2021        01/06/2022       (735 )      (736 ) 
    0.500        08/06/2021        02/07/2022       (451 )      (452 ) 
    0.500        08/17/2021        02/07/2022       (419 )      (419 ) 
    0.500        08/31/2021        03/01/2022       (7,348 )      (7,360 ) 
    0.500        09/24/2021        03/24/2022       (7,722 )      (7,733 ) 
    0.500        09/30/2021        02/07/2022       (2,432 )      (2,436 ) 
    0.500        10/22/2021        03/01/2022       (2,312 )      (2,315 ) 
    0.550        06/18/2021        03/10/2022       (2,806 )      (2,815 ) 
    0.550        07/16/2021        01/18/2022       (1,920 )      (1,925 ) 
    0.550        11/03/2021        01/18/2022       (2,290 )      (2,292 ) 
    0.600        07/16/2021        01/18/2022       (28,574 )      (28,655 ) 
    0.600        08/11/2021        02/11/2022       (4,866 )      (4,878 ) 
    0.604        10/08/2021        01/31/2022       (356 )      (356 ) 
    0.750        08/24/2021        TBD (3)      (4,751 )      (4,764 ) 
    0.796        11/09/2021        02/09/2022       (12,401 )      (12,416 ) 
    0.798        09/17/2021        03/17/2022       (2,256 )      (2,261 ) 
    0.800        08/11/2021        02/11/2022       (2,772 )      (2,780 ) 
    0.800        09/02/2021        03/02/2022       (4,705 )      (4,717 ) 
    0.805        10/06/2021        04/06/2022       (14,189 )      (14,217 ) 

 

   
See Accompanying Notes   SEMIANNUAL REPORT     DECEMBER 31, 2021      33  

Consolidated Schedule of Investments PIMCO Flexible Credit Income Fund (Cont.)

 

 

 

Counterparty   Borrowing
Rate(2)		      Settlement
Date		      Maturity
Date		     Amount
Borrowed(2)		     Payable for
Reverse
Repurchase
Agreements		  
    0.806 %       10/07/2021        04/07/2022          $ (52,204 )    $ (52,307 ) 
    0.806        10/08/2021        04/08/2022       (6,924 )      (6,937 ) 
    0.808        08/26/2021        02/22/2022       (4,549 )      (4,562 ) 
    0.857        08/16/2021        02/16/2022           (12,725 )      (12,768 ) 

CDC

     0.270        10/01/2021        01/05/2022       (8,752 )      (8,758 ) 
    0.270        10/12/2021        01/13/2022       (431 )      (431 ) 
    0.270        10/15/2021        01/13/2022       (2,385 )      (2,386 ) 
    0.270        10/27/2021        01/27/2022       (4,783 )      (4,786 ) 
    0.350        07/21/2021        01/21/2022       (251 )      (252 ) 
    0.430        10/22/2021        01/13/2022       (6,654 )      (6,660 ) 
    0.430        10/28/2021        01/13/2022       (18,100 )      (18,114 ) 
    0.490        09/03/2021        03/03/2022       (1,364 )      (1,366 ) 
    0.490        09/27/2021        03/23/2022       (4,657 )      (4,664 ) 
    0.490        10/06/2021        04/06/2022       (1,366 )      (1,367 ) 
    0.490        10/07/2021        04/07/2022       (11,003 )          (11,017 ) 
    0.490        10/15/2021        04/18/2022       (4,565 )      (4,570 ) 
    0.500        10/07/2021        04/07/2022       (160 )      (160 ) 
    0.500        10/22/2021        02/03/2022       (541 )      (541 ) 
    0.500        12/23/2021        02/03/2022       (324 )      (324 ) 
    0.500        12/27/2021        02/03/2022       (2,619 )      (2,619 ) 

CEW

     0.450        07/22/2021        01/21/2022       (7,385 )      (7,401 ) 
    0.500        07/09/2021        01/05/2022       (2,361 )      (2,367 ) 
    0.540        10/22/2021        TBD (3)      (1,222 )      (1,223 ) 
    0.550        07/26/2021        01/26/2022       (7,120 )      (7,138 ) 
    0.550        11/09/2021        01/26/2022       (1,393 )      (1,395 ) 
    0.550        11/10/2021        TBD (3)      (457 )      (458 ) 
    0.600        08/11/2021        02/11/2022       (6,080 )      (6,095 ) 
    0.600        09/15/2021        03/15/2022       (993 )      (995 ) 
    0.600        09/17/2021        03/17/2022       (5,251 )      (5,261 ) 
    0.600        10/22/2021        01/21/2022       (5,564 )      (5,571 ) 
    0.602        09/22/2021        03/22/2022       (5,856 )      (5,866 ) 
    0.650        07/21/2021        01/21/2022       (3,752 )      (3,764 ) 
    0.650        07/27/2021        01/27/2022       (2,124 )      (2,130 ) 
    0.650        10/01/2021        01/04/2022       (2,429 )      (2,433 ) 
    0.700        05/06/2021        02/04/2022       (1,696 )      (1,704 ) 
    0.750        11/10/2021        TBD (3)      (3,509 )      (3,513 ) 
    0.800        08/11/2021        02/11/2022       (27,831 )      (27,921 ) 
    0.802        09/22/2021        03/22/2022       (4,313 )      (4,323 ) 
    0.850        11/09/2021        05/09/2022       (21,312 )      (21,340 ) 

CIB

     0.570        10/14/2021        01/13/2022       (1,880 )      (1,883 ) 
    0.570        10/22/2021        01/25/2022       (5,436 )      (5,443 ) 

DBL

     0.450        11/16/2021        02/11/2022     GBP (1,699 )      (2,301 ) 
    0.715        11/17/2021        02/15/2022       (3,757 )      (5,090 ) 
    0.769        12/01/2021        03/01/2022       (4,048 )      (5,483 ) 
    0.800        11/16/2021        02/11/2022       (3,736 )      (5,062 ) 
    0.900        11/16/2021        02/11/2022       (969 )      (1,313 ) 
    0.950        11/16/2021        02/11/2022       (1,761 )      (2,387 ) 

FBF

     (3.000 )       06/10/2021        TBD (3)    EUR (1,892 )      (2,132 ) 
    (2.500 )       10/26/2021        TBD (3)      (958 )      (1,086 ) 
    (0.500 )       12/07/2021        TBD (3)        $ (12,143 )      (12,139 ) 

GLM

     0.784        09/22/2021        01/24/2022       (34,063 )      (34,139 ) 

GSC

     0.620        10/12/2021        01/19/2022       (5,685 )      (5,694 ) 

IND

     0.250        12/21/2021        03/21/2022       (9,007 )      (9,007 ) 
    0.260        12/21/2021        03/17/2022       (6,103 )      (6,104 ) 
    0.260        12/21/2021        03/21/2022       (1,715 )      (1,715 ) 
    0.270        08/30/2021        03/01/2022       (1,593 )      (1,593 ) 
    0.280        09/02/2021        03/02/2022       (3,447 )      (3,450 ) 
    0.280        10/12/2021        04/12/2022       (1,798 )      (1,799 ) 

 

34   PIMCO INTERVAL FUNDS   See Accompanying Notes
        

 

(Unaudited)

December 31, 2021

 

 

Counterparty   Borrowing
Rate(2)		      Settlement
Date		      Maturity
Date		     Amount
Borrowed(2)		     Payable for
Reverse
Repurchase
Agreements		  
    0.290 %        08/04/2021        02/04/2022          $ (1,002 )    $ (1,003 ) 
    0.300        06/09/2021        03/09/2022       (2,627 )      (2,632 ) 
    0.300        09/30/2021        03/29/2022           (11,856 )          (11,866 ) 
    0.310        10/06/2021        04/06/2022       (1,034 )      (1,034 ) 
    0.310        10/07/2021        04/06/2022       (1,233 )      (1,234 ) 
    0.410        12/21/2021        03/21/2022       (6,419 )      (6,420 ) 
    0.420        08/04/2021        02/04/2022       (277 )      (278 ) 
    0.430        10/12/2021        04/12/2022       (2,461 )      (2,464 ) 
    0.440        12/21/2021        03/17/2022       (2,803 )      (2,803 ) 
    0.450        06/28/2021        03/25/2022       (11,699 )      (11,726 ) 
    0.450        10/01/2021        04/01/2022       (7,961 )      (7,970 ) 
    0.460        08/04/2021        02/04/2022       (1,222 )      (1,224 ) 
    0.480        05/06/2021        02/04/2022       (10,225 )      (10,258 ) 

JML

     (5.000 )       11/09/2021        TBD (3)    EUR (979 )      (1,106 ) 
    (3.250 )       06/16/2021        TBD (3)      (258 )      (294 ) 
    (3.250 )       07/22/2021        TBD (3)      (360 )      (405 ) 
    (2.500 )       10/26/2021        TBD (3)      (4,697 )      (5,329 ) 
    (1.500 )       08/16/2021        TBD (3)      (307 )      (349 ) 
    (1.500 )       09/23/2021        TBD (3)      (164 )      (186 ) 
    (0.500 )       11/09/2021        TBD (3)      (937 )      (1,066 ) 
    (0.450 )       11/16/2021        TBD (3)      (6,620 )      (7,532 ) 
    (0.420 )       09/23/2021        TBD (3)      (2,323 )      (2,641 ) 
    (0.400 )       10/26/2021        01/13/2022       (4,784 )      (5,442 ) 
    (0.400 )       10/26/2021        TBD (3)      (1,913 )      (2,176 ) 
    (0.400 )       11/09/2021        TBD (3)      (9,749 )      (11,092 ) 
    (0.400 )       11/16/2021        02/11/2022       (3,657 )      (4,161 ) 
    (0.380 )       10/08/2021        01/14/2022       (28,404 )      (32,309 ) 
    (0.380 )       11/11/2021        02/03/2022       (15,000 )      (17,067 ) 
    (0.380 )       12/08/2021        03/08/2022       (13,432 )      (15,297 ) 
    (0.350 )       11/16/2021        02/11/2022       (2,204 )      (2,508 ) 
    (0.300 )       11/15/2021        02/09/2022       (3,754 )      (4,272 ) 
    0.250        12/07/2021        01/19/2022         $ (456 )      (456 ) 
    0.300        10/06/2021        01/19/2022       (10,728 )      (10,735 ) 
    0.300        12/08/2021        01/10/2022       (1,523 )      (1,524 ) 
    0.350        10/19/2021        01/18/2022     GBP (4,059 )      (5,498 ) 
    0.350        10/26/2021        01/13/2022         $ (3,474 )      (3,477 ) 
    0.350        12/15/2021        01/13/2022       (2,355 )      (2,356 ) 
    0.400        10/07/2021        01/13/2022       (3,862 )      (3,866 ) 
    0.400        10/08/2021        01/13/2022       (11,405 )      (11,416 ) 
    0.400        11/16/2021        02/11/2022     GBP (398 )      (538 ) 
    0.400        12/07/2021        01/19/2022         $ (4,258 )      (4,259 ) 
    0.450        11/09/2021        TBD (3)    GBP (7,876 )      (10,665 ) 
    0.450        11/16/2021        02/11/2022       (627 )      (849 ) 
    0.480        11/17/2021        02/15/2022       (26,257 )      (35,562 ) 
    1.134        11/02/2021        01/28/2022       (1,487 )      (2,017 ) 

MBC

     0.805        08/24/2021        02/24/2022         $ (4,738 )      (4,752 ) 
    0.807        08/17/2021        02/17/2022       (55,323 )      (55,495 ) 

MEI

     (0.350 )       10/14/2021        01/17/2022     EUR (455 )      (517 ) 
    0.759        11/17/2021        02/15/2022     GBP (1,391 )      (1,885 ) 

MSB

     0.625        11/29/2021        03/01/2022         $ (8,170 )      (8,175 ) 

NOM

     0.050        12/20/2021        TBD (3)      (7,076 )      (7,076 ) 
    0.080        10/12/2021        TBD (3)      (1,001 )      (1,001 ) 
    0.350        12/15/2021        01/14/2022       (3,082 )      (3,083 ) 

RBC

     0.763        07/08/2021        01/10/2022       (14,831 )      (14,887 ) 
    0.850        08/10/2021        02/10/2022       (11,479 )      (11,518 ) 

RCE

     (0.300 )       08/13/2021        TBD (3)    EUR (2,134 )      (2,424 ) 
    (0.300 )       11/08/2021        02/07/2022       (3,793 )      (4,316 ) 
    (0.250 )       11/15/2021        02/09/2022       (2,237 )      (2,546 ) 

 

   
See Accompanying Notes   SEMIANNUAL REPORT     DECEMBER 31, 2021      35  

Consolidated Schedule of Investments PIMCO Flexible Credit Income Fund (Cont.)

 

 

 

Counterparty   Borrowing
Rate(2)		      Settlement
Date		      Maturity
Date		     Amount
Borrowed(2)		     Payable for
Reverse
Repurchase
Agreements		  

RDR

     (0.700 ) %        11/08/2021        TBD (3)        $ (592 )    $ (591 ) 
    0.270        09/20/2021        01/20/2022       (1,481 )      (1,482 ) 
    0.270        09/21/2021        01/20/2022       (1,069 )      (1,070 ) 
    0.270        09/22/2021        01/20/2022       (996 )      (997 ) 
    0.270        09/23/2021        01/20/2022       (6,539 )      (6,544 ) 
    0.270        10/12/2021        01/20/2022       (1,710 )      (1,711 ) 
    0.270        12/21/2021        01/20/2022           (21,759 )          (21,761 ) 
    0.300        11/08/2021        02/08/2022       (1,499 )      (1,500 ) 

RTA

     0.490        08/04/2021        02/04/2022       (1,088 )      (1,090 ) 
    0.607        10/01/2021        04/01/2022       (15,401 )      (15,425 ) 
    0.710        11/22/2021        02/22/2022       (2,278 )      (2,280 ) 
    0.802        09/03/2021        03/03/2022       (6,315 )      (6,332 ) 

SBI

     0.805        09/01/2021        03/01/2022       (1,065 )      (1,068 ) 
    0.807        08/17/2021        02/17/2022       (12,766 )      (12,806 ) 
    0.810        10/18/2021        10/18/2022       (3,684 )      (3,690 ) 
    0.810        10/28/2021        10/18/2022       (5,715 )      (5,724 ) 

SCX

     (0.320 )       11/04/2021        01/19/2022     EUR (5,229 )      (5,950 ) 
    (0.310 )       11/15/2021        02/09/2022       (4,788 )      (5,448 ) 
    (0.300 )       11/16/2021        02/11/2022       (539 )      (614 ) 

SGY

     0.340        12/23/2021        TBD (3)        $ (1,717 )      (1,717 ) 
    0.500        12/23/2021        02/23/2022       (8,010 )      (8,009 ) 
    0.500        12/23/2021        03/02/2022       (859 )      (859 ) 

SOG

     0.240        08/24/2021        TBD (3)      (483 )      (484 ) 
    0.340        08/24/2021        TBD (3)      (7,406 )      (7,415 ) 
    0.340        12/23/2021        TBD (3)      (2,054 )      (2,054 ) 
    0.430        10/01/2021        01/04/2022       (23,536 )      (23,562 ) 
    0.430        11/26/2021        01/04/2022       (5,403 )      (5,405 ) 
    0.440        11/08/2021        02/08/2022       (4,608 )      (4,612 ) 
    0.500        07/19/2021        01/19/2022       (2,435 )      (2,440 ) 
    0.500        07/21/2021        01/21/2022       (715 )      (717 ) 
    0.500        08/20/2021        02/22/2022       (915 )      (916 ) 
    0.500        08/23/2021        02/23/2022       (10,761 )      (10,781 ) 
    0.500        09/01/2021        01/14/2022       (3,724 )      (3,731 ) 
    0.500        09/01/2021        03/01/2022       (1,800 )      (1,803 ) 
    0.500        09/02/2021        03/02/2022       (9,931 )      (9,948 ) 
    0.500        09/07/2021        03/07/2022       (855 )      (856 ) 
    0.500        09/16/2021        03/16/2022       (5,394 )      (5,403 ) 
    0.500        09/22/2021        03/23/2022       (2,082 )      (2,085 ) 
    0.500        09/23/2021        03/23/2022       (1,935 )      (1,937 ) 
    0.500        09/28/2021        03/23/2022       (918 )      (919 ) 
    0.500        09/28/2021        03/28/2022       (4,310 )      (4,316 ) 
    0.500        09/30/2021        03/07/2022       (9,597 )      (9,610 ) 
    0.500        10/01/2021        04/01/2022       (4,532 )      (4,538 ) 
    0.500        10/07/2021        04/07/2022       (3,301 )      (3,305 ) 
    0.500        10/13/2021        04/13/2022       (1,594 )      (1,596 ) 
    0.500        10/19/2021        04/19/2022       (5,365 )      (5,371 ) 
    0.500        10/22/2021        03/23/2022       (2,491 )      (2,493 ) 
    0.500        10/28/2021        04/19/2022       (695 )      (696 ) 
    0.500        11/09/2021        05/09/2022       (986 )      (986 ) 
    0.500        12/23/2021        02/23/2022       (4,099 )      (4,100 ) 
    0.500        12/23/2021        03/07/2022       (244 )      (244 ) 
    0.500        12/23/2021        05/09/2022       (8,190 )      (8,191 ) 
    0.550        06/24/2021        03/02/2022       (2,831 )      (2,839 ) 
    0.550        07/06/2021        03/02/2022       (2,782 )      (2,789 ) 
    0.550        07/27/2021        04/27/2022       (2,986 )      (2,994 ) 
    0.550        08/23/2021        03/02/2022       (184 )      (184 ) 
    0.550        09/15/2021        05/04/2022       (1,054 )      (1,055 ) 
    0.550        10/01/2021        04/27/2022       (9,939 )      (9,954 ) 

 

36   PIMCO INTERVAL FUNDS   See Accompanying Notes
        

 

(Unaudited)

December 31, 2021

 

 

Counterparty   Borrowing
Rate(2)		      Settlement
Date		      Maturity
Date		     Amount
Borrowed(2)		     Payable for
Reverse
Repurchase
Agreements		  
    0.550 %        10/21/2021        04/27/2022          $ (18,897 )    $ (18,918 ) 
    0.550        11/01/2021        04/27/2022       (1,263 )      (1,265 ) 
    0.753        08/24/2021        02/22/2022           (11,698 )      (11,730 ) 
    0.756        10/06/2021        04/06/2022       (2,970 )      (2,976 ) 
    0.756        10/07/2021        04/07/2022       (5,858 )      (5,869 ) 
    0.808        08/27/2021        02/25/2022       (4,563 )      (4,576 ) 
    0.857        08/13/2021        02/16/2022       (16,221 )      (16,276 ) 

UBS

     0.037        11/16/2021        02/11/2022     EUR (4,029 )      (4,587 ) 
    0.280        11/04/2021        TBD (3)        $ (3,876 )      (3,878 ) 
    0.350        08/23/2021        TBD (3)      (684 )      (685 ) 
    0.350        08/26/2021        TBD (3)      (15,003 )      (15,022 ) 
    0.350        08/30/2021        TBD (3)      (4,871 )      (4,876 ) 
    0.350        09/02/2021        TBD (3)      (8,609 )      (8,619 ) 
    0.350        09/21/2021        TBD (3)      (6,340 )      (6,347 ) 
    0.350        09/30/2021        TBD (3)      (1,880 )      (1,882 ) 
    0.350        09/30/2021        TBD (3)      (14,135 )      (14,147 ) 
    0.350        10/01/2021        TBD (3)      (3,765 )      (3,768 ) 
    0.350        11/23/2021        TBD (3)      (4,060 )      (4,061 ) 
    0.350        11/26/2021        TBD (3)      (775 )      (775 ) 
    0.350        12/08/2021        TBD (3)      (11,620 )      (11,623 ) 
    0.350        12/27/2021        TBD (3)      (4,388 )      (4,388 ) 
    0.350        12/29/2021        08/20/2023 )      (2,570 )      (2,570 ) 
    0.400        10/12/2021        01/07/2022       (800 )      (800 ) 
    0.420        10/01/2021        01/05/2022       (11,168 )      (11,181 ) 
    0.420        10/06/2021        01/05/2022       (6,218 )      (6,224 ) 
    0.430        10/19/2021        01/18/2022       (14,314 )      (14,327 ) 
    0.430        12/23/2021        01/18/2022       (1,109 )      (1,109 ) 
    0.500        07/12/2021        01/10/2022       (6,571 )      (6,587 ) 
    0.500        07/14/2021        01/12/2022       (491 )      (492 ) 
    0.500        09/30/2021        01/10/2022       (923 )      (924 ) 
    0.510        06/14/2021        01/10/2022       (11,299 )      (11,331 ) 
    0.806        10/08/2021        04/08/2022       (6,180 )      (6,193 ) 
    0.852        07/20/2021        01/20/2022       (3,172 )      (3,185 ) 
           

 

 

  

Total Reverse Repurchase Agreements

 

        $     (1,626,811 ) 
           

 

 

  

 

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 December 31, 2021:

 

Counterparty   Repurchase
Agreement
Proceeds to be
Received(1)		     Payable for
Reverse
Repurchase
Agreements		     Payable for
Sale-Buyback
Transactions		     Total
Borrowings and
Other Financing
Transactions		     Collateral
Pledged/
(Received)		     Net
Exposure(4)		  

Global/Master Repurchase Agreement

 

BCY

   $   0     $ (5,538 )    $   0     $ (5,538 )    $ 0     $ (5,538 ) 

BOS

     0       (7,790 )      0       (7,790 )      10,377       2,587  

BPS

     0         (247,830 )      0         (247,830 )        292,817       44,987  

BRC

     0       (225,695 )      0       (225,695 )      279,663         53,968  

BYR

     0       0       0       0       (165 )      (165 ) 

CDC

     0       (68,015 )      0       (68,015 )      74,169       6,154  

CEW

     0       (110,898 )      0       (110,898 )      136,171       25,273  

CIB

     0       (7,326 )      0       (7,326 )      8,969       1,643  

DBL

     0       (21,636 )      0       (21,636 )      25,146       3,510  

FBF

     0       (15,357 )      0       (15,357 )      18,171       2,814  

 

   
See Accompanying Notes   SEMIANNUAL REPORT     DECEMBER 31, 2021      37  

Consolidated Schedule of Investments PIMCO Flexible Credit Income Fund (Cont.)

 

 

 

Counterparty   Repurchase
Agreement
Proceeds to be
Received(1)		     Payable for
Reverse
Repurchase
Agreements		     Payable for
Sale-Buyback
Transactions		     Total
Borrowings and
Other Financing
Transactions		     Collateral
Pledged/
(Received)		     Net
Exposure(4)		  

GLM

   $ 0     $ (34,139 )    $ 0     $ (34,139 )    $ 45,213     $ 11,074  

GSC

     0       (5,694 )      0       (5,694 )      7,113       1,419  

IND

       36,200       (84,580 )      0       (48,383 )      56,260       7,877  

JML

     0         (206,450 )      0         (206,450 )        248,566         42,116  

MBC

     0       (60,247 )      0       (60,247 )      84,219       23,972  

MEI

     0       (2,402 )      0       (2,402 )      2,882       480  

MSB

     0       (8,175 )      0       (8,175 )      10,218       2,043  

NOM

     0       (11,160 )      0       (11,160 )      12,012       852  

RBC

     0       (26,405 )      0       (26,405 )      33,097       6,692  

RCE

     0       (9,286 )      0       (9,286 )      10,010       724  

RDR

     0       (35,656 )      0       (35,656 )      36,920       1,264  

RTA

     0       (25,127 )      0       (25,127 )      30,283       5,156  

SBI

     0       (23,288 )      0       (23,288 )      32,413       9,125  

SCX

     0       (12,012 )      0       (12,012 )      13,272       1,260  

SGY

     0       (10,585 )      0       (10,585 )      0       (10,585 ) 

SOG

     0       (211,939 )      0       (211,939 )      265,134       53,195  

UBS

     0       (149,581 )      0       (149,581 )      175,685       26,104  
 

 

 

    

 

 

    

 

 

        

Total Borrowings and Other Financing Transactions

   $   36,200     $   (1,626,811 )    $   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     $ (256,662 )    $ (302,518 )    $ (351,451 )    $ (910,631 ) 

Convertible Bonds & Notes

     0       0       (2,508 )      (15,425 )      (17,933 ) 

U.S. Government Agencies

     0       (13,019 )      0       0       (13,019 ) 

Non-Agency Mortgage-Backed Securities

     0       (28,416 )      (188,136 )      (116,784 )      (333,336 ) 

Asset-Backed Securities

     0       (39,710 )      (73,567 )      (52,486 )      (165,763 ) 

Sovereign Issues

     0       (61,055 )      (18,386 )      (1,759 )      (81,200 ) 

Preferred Securities

     0       (32,309 )      (72,620 )      0       (104,929 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Borrowings

   $   0     $   (431,171 )    $   (657,735 )    $   (537,905 )    $   (1,626,811 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Payable for reverse repurchase agreements

 

   $ (1,626,811 ) 
 

 

 

  

 

(n)

Securities with an aggregate market value of $1,946,821 and cash of $4,392 have been pledged as collateral under the terms of the above master agreements as of December 31, 2021.

 

(1)

Includes accrued interest.

(2)

The average amount of borrowings outstanding during the period ended December 31, 2021 was $(1,599,552) at a weighted average interest rate of 0.456%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.

(3)

Open maturity reverse repurchase agreement.

(4)

Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information.

 

38   PIMCO INTERVAL FUNDS   See Accompanying Notes
        

 

(Unaudited)

December 31, 2021

 

 

(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
December 31,

2021(2)

     Notional
Amount(3)		     Premiums
Paid/
(Received)		     Unrealized
Appreciation/
(Depreciation)		     Market
Value(4)		     Variation Margin  
  Asset     Liability  

Bombardier, Inc.

     5.000 %      Quarterly       06/20/2024       3.362 %      $    1,100     $ (2 )    $ 46     $ 44     $ 1     $ 0  

Bombardier, Inc.

     5.000       Quarterly       12/20/2024       3.594       600       0       25       25       1       0  

Jaguar Land Rover Automotive

     5.000       Quarterly       06/20/2026       3.521       EUR  17,700       1,189       72       1,261       0       (1 ) 

Jaguar Land Rover Automotive

     5.000       Quarterly       12/20/2026       3.685       20,190       1,115       284       1,399       11       0  

Rolls-Royce PLC

     1.000       Quarterly       06/20/2025       1.367       6,200       (1,152 )      1,066       (86 )      6       0  

Rolls-Royce PLC

     1.000       Quarterly       12/20/2025       1.481       25,200       (3,580 )      3,053       (527 )      38       0  

Rolls-Royce PLC

     1.000       Quarterly       06/20/2026       1.612       17,400       (1,275 )      755       (520 )      15       0  

Rolls-Royce PLC

     1.000       Quarterly       12/20/2026       1.716       10,000       (573 )      185       (388 )      14       0  
           

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
        $   (4,278 )    $   5,486     $   1,208     $   86     $   (1 ) 
       

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

INTEREST RATE SWAPS

 

Pay/
Receive
Floating
Rate		   Floating Rate Index   Fixed
Rate		     Payment
Frequency		   Maturity
Date		     Notional
Amount		     Premiums
Paid/
(Received)		     Unrealized
Appreciation/
(Depreciation)		     Market
Value		     Variation Margin  
  Asset     Liability  

Receive(5)

   1-Day GBP-SONIO Compounded-OIS     0.750 %    Annual     03/16/2032       GBP       13,700     $ (106 )    $ 481     $ 375     $ 0     $ (98 ) 

Receive(5)

   1-Day GBP-SONIO Compounded-OIS     0.750     Annual     03/16/2052         13,700       (204 )      607       403       0       (350 ) 

Receive(5)

   1-Day GBP-SONIO Compounded-OIS     0.750     Annual     09/21/2052         8,300       (55 )      291       236       0       (215 ) 

Pay

   1-Year BRL-CDI     3.978     Maturity     01/03/2022       BRL       33,200       0       (48 )      (48 )      0       0  

Pay

   1-Year BRL-CDI     4.040     Maturity     01/03/2022         33,900       0       (47 )      (47 )      0       0  

Pay

   1-Year BRL-CDI     6.170     Maturity     01/02/2023         203,900       (38 )      (1,422 )      (1,460 )      0       (3 ) 

Pay

   1-Year BRL-CDI     7.655     Maturity     01/02/2024         537,100       18       (3,871 )      (3,853 )      0       (25 ) 

Pay

   3-Month USD-LIBOR     0.500     Semi-Annual     06/16/2026       $       323,700       (7,049 )      (4,564 )      (11,613 )      20       0  

Pay

   3-Month USD-LIBOR     1.500     Semi-Annual     06/21/2027         11,500       (834 )      904       70       6       0  

Pay

   3-Month USD-LIBOR     2.500     Semi-Annual     12/20/2027         2,500       40       119       159       2       0  

Pay

   3-Month USD-LIBOR     2.250     Semi-Annual     06/20/2028         58,100       (3,466 )      6,413       2,947       40       0  

Receive

   3-Month USD-LIBOR     1.420     Semi-Annual     08/17/2028         93,400       0       (273 )      (273 )      0       (65 ) 

Pay

   3-Month USD-LIBOR     1.500     Semi-Annual     12/15/2028         25,600       (100 )      163       63       15       0  

Pay

   3-Month USD-LIBOR     3.000     Semi-Annual     06/19/2029         59,000       4,765       1,645       6,410       36       0  

Pay

   3-Month USD-LIBOR     1.000     Semi-Annual     12/16/2030         53,800       1,769       (4,265 )      (2,496 )      21       0  

Receive

   3-Month USD-LIBOR     1.150     Semi-Annual     09/20/2050         24,300       55       3,234       3,289       0       (94 ) 

Receive

   3-Month USD-LIBOR     1.250     Semi-Annual     06/16/2051         74,500       14,089       (5,445 )      8,644       0       (291 ) 

Pay

   3-Month ZAR-JIBAR     5.873     Quarterly     05/12/2026       ZAR       1,011,400       (18 )      (516 )      (534 )      100       0  

Receive

   6-Month EUR-EURIBOR     0.150     Annual     03/18/2030       EUR       4,400       81       69       150       4       0  

Receive

   6-Month EUR-EURIBOR     0.150     Annual     06/17/2030         900       (1 )      7       6       1       0  

Receive

   6-Month EUR-EURIBOR     0.250     Annual     03/18/2050         4,400       244       74       318       3       0  

Receive

   6-Month EUR-EURIBOR     0.500     Annual     06/17/2050         13,500       (99 )      35       (64 )      9       0  

Pay

   28-Day MXN-TIIE     4.550     Lunar     02/27/2023       MXN       137,300       16       (208 )      (192 )      0       0  

Pay

   28-Day MXN-TIIE     4.500     Lunar     03/03/2023         255,700       (9 )      (358 )      (367 )      0       0  
             

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
    $ 9,098     $ (6,975 )    $ 2,123     $ 257     $ (1,141 ) 
             

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Swap Agreements

 

     $   4,820     $   (1,489 )    $   3,331     $   343     $   (1,142 ) 
   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

   
See Accompanying Notes   SEMIANNUAL REPORT     DECEMBER 31, 2021      39  

Consolidated Schedule of Investments PIMCO Flexible Credit Income Fund (Cont.)

 

 

 

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 December 31, 2021:

 

    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     $   343     $   343       $   0     $   0     $   (1,142 )    $   (1,142 ) 
 

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

    

 

 

    

 

 

  

 

(p)

Securities with an aggregate market value of $28,259 and cash of $52,161 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2021.

 

(1)

If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

(2)

Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

(3)

The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

(4)

The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

(5)

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.

 

(q)  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

      01/2022        EUR       6,201      $         7,019     $ 0     $ (41 ) 
     01/2022        MXN       51,572          2,477       0       (38 ) 
     01/2022      $         1,598        EUR       1,408       5       0  
     01/2022          4        RUB       312       0       0  
     02/2022        CAD       11,708      $         9,349       94       0  
     02/2022        PLN       6,965          1,817       94       0  
     02/2022      $         7,142        INR       542,916           117       0  
     03/2022          17,673        MXN       367,617       56       0  
     04/2022        PEN       48,475      $         11,589       0           (493 ) 
     07/2022          5,609          1,388       2       0  
     07/2022      $         1,707        PEN       6,857       0       (12 ) 

BPS

      01/2022        EUR       64,821      $         73,200       0       (599 ) 

 

40   PIMCO INTERVAL FUNDS   See Accompanying Notes
        

 

(Unaudited)

December 31, 2021

 

 

Counterparty    Settlement
Month		      Currency to
be Delivered		      Currency to
be Received		     Unrealized Appreciation/
(Depreciation)		  
  Asset     Liability  
     01/2022        GBP       43,359      $       57,442     $ 0     $     (1,246 ) 
     01/2022      $         17,983        EUR       15,894       113       0  
     01/2022          5,904        IDR       85,543,781       106       0  
     01/2022          2,518        MXN       51,572       0       (3 ) 
     01/2022          543        RUB       39,734       0       (14 ) 
     02/2022        GBP       41,771      $         56,573       37       0  
     02/2022      $         2,898        INR       219,174       33       0  
     05/2022          82        ZAR       1,324       0       0  
     05/2022        ZAR       5,291      $         335       9       0  
     08/2022          17,887          1,120       31       0  
     11/2022      $         68        ZAR       1,101       0       (2 ) 

BRC

      01/2022        EUR       256,247      $         288,858       0       (2,879 ) 
     01/2022      $         2,674        GBP       2,017       56       0  
     02/2022        EUR       309,967      $         352,696       0       (406 ) 

CBK

      01/2022        BRL       107,329          19,233       0       (36 ) 
     01/2022      $         19,100        BRL       107,329       169       0  
     01/2022          24,930        EUR       22,032       153       0  
     01/2022          1,147        IDR       16,504,835       12       0  
     02/2022        PLN       5,322      $         1,391       75       0  
     02/2022      $         192        ZAR       3,087       0       0  
     03/2022          2,953        PEN       12,233       100       0  
     03/2022          4,713        RUB       355,115       0       (33 ) 
     05/2022          2,291        PEN       9,370       39       0  
     05/2022          244        ZAR       3,968       0       0  
     07/2022          515        PEN       2,088       1       0  

GLM

      01/2022        GBP       1,501      $         1,991       0       (41 ) 
     01/2022      $         5,030        GBP       3,789       99       0  
     01/2022          1,088        PEN       4,493       37       0  
     01/2022          4,938        RUB       358,945       0       (163 ) 
     02/2022        PLN       17,085      $         4,216       0       (11 ) 
     02/2022      $         5,432        RUB       402,487       0       (94 ) 
     02/2022        ZAR       8,474      $         529       0       0  
     03/2022      $         651        RUB       49,222       0       (3 ) 
     08/2022          438        ZAR       7,160       0       (2 ) 
     11/2022        ZAR       1,101      $         66       0       0  

MYI

      01/2022        BRL       107,329          18,797       0       (473 ) 
     01/2022      $         19,233        BRL       107,329       36       0  
     01/2022          3,103        IDR       45,045,550       62       0  
     02/2022        CHF       972      $         1,059       0       (9 ) 
     02/2022      $         18,670        BRL       107,329       468       0  
     02/2022          530        ZAR       8,474       0       (1 ) 
              

 

 

    

 

 

  

Total Forward Foreign Currency Contracts

 

   $     2,004     $     (6,599 ) 
 

 

 

    

 

 

  

 

SWAP AGREEMENTS:

 

CREDIT DEFAULT SWAPS ON ASSET-BACKED SECURITIES - BUY PROTECTION(1)

 

Counterparty   Reference Obligation   Fixed
(Pay) Rate		     Payment
Frequency		     Maturity
Date		     Notional
Amount(4)		     Premiums
Paid/
(Received)		     Unrealized
Appreciation/
(Depreciation)		     Swap
Agreements,
at Value(5)		  
  Asset     Liability  

GST

   Citigroup Commercial Mortgage Trust 5.482% due 10/15/2049     (0.500 )%      Monthly       10/15/2049     $   4,588     $ 275     $ 533     $ 808     $ 0  
  GMAC Commercial Mortgage Securities, Inc. 5.349% due 11/10/2045     (0.125 )      Monthly       11/10/2045       427       128       (115 )      13       0  
  Morgan Stanley Capital Trust 5.545% due 11/14/2042     (0.240 )      Monthly       11/14/2042       7,500       1,350       1,937       3,287       0  
           

 

 

    

 

 

    

 

 

    

 

 

  
          $   1,753     $   2,355     $   4,108     $   0  
         

 

 

    

 

 

    

 

 

    

 

 

  

 

   
See Accompanying Notes   SEMIANNUAL REPORT     DECEMBER 31, 2021      41  

Consolidated Schedule of Investments PIMCO Flexible Credit Income Fund (Cont.)

 

 

 

CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION(2)

 

Counterparty   Reference Entity   Fixed
Receive
Rate		     Payment
Frequency		     Maturity
Date		     Implied Credit
Spread at
December 31,
2021(3)		     Notional
Amount(4)		     Premiums
Paid/
(Received)		     Unrealized
Appreciation/
(Depreciation)		     Swap
Agreements,
at Value(5)		  
  Asset     Liability  

BRC

   Ukraine Government International Bond     5.000 %      Quarterly       12/20/2022       5.561 %    $   3,100     $ 190     $ (201 )    $ 0     $ (11 ) 

GST

   Teva Pharmaceutical Finance Co. BV     1.000       Quarterly       06/20/2022       1.244       340       (19 )      19       0       0  
             

 

 

    

 

 

    

 

 

    

 

 

  
          $ 171     $ (182 )    $ 0     $ (11 ) 
         

 

 

    

 

 

    

 

 

    

 

 

  

Total Swap Agreements

 

   $   1,924     $   2,173     $   4,108     $   (11 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

 

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 December 31, 2021:

 

    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(6)		  

BOA

   $ 368     $ 0     $ 0     $ 368       $ (584 )    $ 0     $ 0     $ (584 )    $ (216 )    $ 231     $ 15  

BPS

     329       0       0       329         (1,864 )      0       0       (1,864 )        (1,535 )      1,227       (308 ) 

BRC

     56       0       0       56         (3,285 )      0       (11 )      (3,296 )      (3,240 )      1,481         (1,759 ) 

CBK

     549       0       0       549         (69 )      0       0       (69 )      480       (360 )      120  

GLM

     136       0       0       136         (314 )      0       0       (314 )      (178 )      0       (178 ) 

GST

     0       0       4,108       4,108         0       0       0       0       4,108         (2,440 )      1,668  

MYI

     566       0       0       566         (483 )      0       0       (483 )      83       0       83  
 

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

    

 

 

    

 

 

        

Total Over the Counter

   $   2,004     $   0     $   4,108     $   6,112       $   (6,599 )    $   0     $   (11 )    $   (6,610 )       
 

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

    

 

 

    

 

 

        

 

(r)

Securities with an aggregate market value of $2,939 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2021.

 

(1)

If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive 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)

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.

(3)

Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

(4)

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.

(5)

The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute

 

42   PIMCO INTERVAL FUNDS   See Accompanying Notes
        

 

(Unaudited)

December 31, 2021

 

 

  terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
(6)

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. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information.

 

FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS

 

The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal and Other Risks, in the Notes to Financial Statements on risks of the Fund.

 

Fair Values of Financial Derivative Instruments on the Consolidated Statement of Assets and Liabilities as of December 31, 2021:

 

    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     $ 86     $ 0     $ 0     $ 257     $ 343  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Over the counter

 

Forward Foreign Currency Contracts

  $ 0     $ 0     $ 0     $ 2,004     $ 0     $ 2,004  

Swap Agreements

    0       4,108       0       0       0       4,108  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
  $ 0     $   4,108     $   0     $   2,004     $ 0     $ 6,112  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
  $   0     $ 4,194     $ 0     $ 2,004     $ 257     $   6,455  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Financial Derivative Instruments - Liabilities

 

Exchange-traded or centrally cleared

 

Swap Agreements

  $ 0     $ 1     $ 0     $ 0     $   1,141     $ 1,142  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Over the counter

 

Forward Foreign Currency Contracts

  $ 0     $ 0     $ 0     $ 6,599     $ 0     $ 6,599  

Swap Agreements

    0       11       0       0       0       11  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
  $ 0     $ 11     $ 0     $ 6,599     $ 0     $ 6,610  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
  $ 0     $ 12     $ 0     $ 6,599     $ 1,141     $ 7,752  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

The effect of Financial Derivative Instruments on the Consolidated Statement of Operations for the period ended December 31, 2021:

 

    Derivatives not accounted for as hedging instruments  
     Commodity
Contracts		     Credit
Contracts		     Equity
Contracts		     Foreign
Exchange
Contracts		     Interest
Rate Contracts		     Total  

Net Realized Gain on Financial Derivative Instruments

 

Exchange-traded or centrally cleared

 

Swap Agreements

  $   0     $   1,081     $   0     $ 0     $ 832     $ 1,913  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Over the counter

 

Forward Foreign Currency Contracts

  $ 0     $ 0     $ 0     $   21,331     $ 0     $ 21,331  

Swap Agreements

    0       369       0       0       1,675       2,044  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
  $ 0     $ 369     $ 0     $ 21,331     $   1,675     $   23,375  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
  $ 0     $ 1,450     $ 0     $ 21,331     $ 2,507     $ 25,288  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

   
See Accompanying Notes   SEMIANNUAL REPORT     DECEMBER 31, 2021      43  

Consolidated Schedule of Investments PIMCO Flexible Credit Income Fund (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 Appreciation (Depreciation) on Financial Derivative Instruments

 

Exchange-traded or centrally cleared

 

Swap Agreements

  $ 0     $ 2,505     $ 0     $ 0     $ (11,281 )    $ (8,776 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Over the counter

 

Forward Foreign Currency Contracts

  $ 0     $ 0     $ 0     $ (13,967 )    $ 0     $ (13,967 ) 

Swap Agreements

    0       814       0       0       (1,481 )      (667 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
  $ 0     $ 814     $ 0     $ (13,967 )    $ (1,481 )    $ (14,634 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
  $   0     $   3,319     $   0     $   (13,967 )    $   (12,762 )    $   (23,410 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

FAIR VALUE MEASUREMENTS

 

The following is a summary of the fair valuations according to the inputs used as of December 31, 2021 in valuing the Fund’s assets and liabilities:

 

Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
12/31/2021		  

Investments in Securities, at Value

 

Loan Participations and Assignments

   $ 0     $ 610,112     $ 410,766     $     1,020,878  

Corporate Bonds & Notes

 

Banking & Finance

     0       289,219       20,407       309,626  

Industrials

     0       684,973       77,478       762,451  

Utilities

     0       234,726       0       234,726  

Convertible Bonds & Notes

 

Banking & Finance

     0       21,570       0       21,570  

Industrials

     0       29,793       0       29,793  

Municipal Bonds & Notes

 

Michigan

     0       6,874       0       6,874  

Puerto Rico

     0       63,786       0       63,786  

Texas

     0       101       0       101  

West Virginia

     0       134       0       134  

U.S. Government Agencies

     0       12,694       5,024       17,718  

Non-Agency Mortgage-Backed Securities

     0           874,903           115,091           989,994  

Asset-Backed Securities

     0       474,435       138,597       613,032  

Sovereign Issues

     0       92,041       0       92,041  

Common Stocks

 

Communication Services

         6,003       0       2,515       8,518  

Energy

     1,077       0       0       1,077  

Financials

     1,126       0       0       1,126  

Industrials

     24       73       26,076       26,173  

Materials

     0       0       16,883       16,883  

Real Estate

     0       0       196       196  

Utilities

     0       0       7,106       7,106  

Warrants

 

Information Technology

     0       0       33,849       33,849  

Preferred Securities

 

Banking & Finance

     0       125,720       0       125,720  

Industrials

     0       297       5,533       5,830  

Utilities

     0       0       12,618       12,618  

Real Estate Investment Trusts

 

Real Estate

     7,624       0       0       7,624  

Short-Term Instruments

 

Repurchase Agreements

     0       36,200       0       36,200  

Argentina Treasury Bills

     0       1,385       0       1,385  

U.S. Treasury Bills

     0       140,408       0       140,408  

 

44   PIMCO INTERVAL FUNDS   See Accompanying Notes
        

 

(Unaudited)

December 31, 2021

 

 

Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
12/31/2021		  

U.S. Treasury Cash Management Bills

   $ 0     $ 74,996     $ 0     $ 74,996  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total Investments

   $ 15,854     $ 3,774,440     $ 872,139     $ 4,662,433  
 

 

 

    

 

 

    

 

 

    

 

 

  

Financial Derivative Instruments - Assets

 

Exchange-traded or centrally cleared

     0       343       0       343  

Over the counter

     0       6,112       0       6,112  
 

 

 

    

 

 

    

 

 

    

 

 

  
  $ 0     $ 6,455     $ 0     $ 6,455  

Financial Derivative Instruments - Liabilities

 

Exchange-traded or centrally cleared

     0       (1,142 )      0       (1,142 ) 

Over the counter

     0       (6,610 )      0       (6,610 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  
  $ 0     $ (7,752 )    $ 0     $ (7,752 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

Total Financial Derivative Instruments

   $ 0     $ (1,297 )    $ 0     $ (1,297 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

Totals

   $     15,854     $     3,773,143     $     872,139     $     4,661,136  
 

 

 

    

 

 

    

 

 

    

 

 

  

 

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended December 31, 2021:

 

Category and Subcategory   Beginning
Balance
at 06/30/2021		     Net
Purchases		     Net
Sales/
Settlements		     Accrued
Discounts/
(Premiums)		     Realized
Gain/
(Loss)		     Net Change in
Unrealized
Appreciation/
(Depreciation)(1)		     Transfers
into
Level 3		     Transfers
out of
Level 3		     Ending
Balance
at 12/31/2021		     Net Change in
Unrealized
Appreciation/
(Depreciation)
on Investments
Held at
12/31/2021(1)		  

Investments in Securities, at Value

 

              

Loan Participations and Assignments

   $  210,938     $  289,344     $ (88,126 )    $  1,326     $ 45     $ (358 )    $ 0     $  (2,403 )    $  410,766     $ (326 ) 

Corporate Bonds & Notes

                    

Banking & Finance

     0       20,874       0       175       0       (642 )      0       0       20,407       (642 ) 

Industrials

     0       49,498       (399 )      0       0       (49 )       28,428       0       77,478       (49 ) 

Convertible Bonds & Notes

                    

Banking & Finance

     1,211       0       (1,095 )      0       0       (116 )      0       0       0       0  

U.S. Government Agencies

     0       0       0       0       0       0       5,024       0       5,024       0  

Non-Agency Mortgage-Backed Securities

     96,597       21,748       (3,823 )      101       267       201       0       0       115,091       439  

Asset-Backed Securities

     150,850       11,973        (19,072 )      63        1,050        (6,267 )      0       0       138,597       (5,188 ) 

Common Stocks

                    

Communication Services

     3,219       0       0       0       0       (704 )      0       0       2,515       (704 ) 

Financials

     409       0       (499 )      0       0       90       0       0       0       0  

Industrials

     19,690       0       0       0       0       6,386       0       0       26,076       6,386  

Materials(2)

     17,126       0       0       0       0       (243 )      0       0       16,883       (241 ) 

Real Estate

     0       499       0       0       0       (303 )      0       0       196       (303 ) 

Utilities

     11,342       0       0       0       0       (4,236 )      0       0       7,106        (4,236 ) 

Warrants

                    

Financials

     165       0       0       0       0       (165 )      0       0       0       0  

Information Technology

     30,487       0       0       0       0       3,362       0       0       33,849       3,362  

Preferred Securities

                    

Industrials

     5,292       0       (34 )      0       0       275       0       0       5,533       275  

Utilities

     12,809       198       (50 )      0       0       (339 )      0       0       12,618       (340 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Totals

   $  560,135     $  394,134     $  (113,098 )    $  1,665     $  1,362     $  (3,108 )    $  33,452     $  (2,403 )    $  872,139     $  (1,567 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

 

   
See Accompanying Notes   SEMIANNUAL REPORT     DECEMBER 31, 2021      45  

Consolidated Schedule of Investments PIMCO Flexible Credit Income Fund (Cont.)

 

(Unaudited)

December 31, 2021

 

 

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 12/31/2021		   Valuation Technique   Unobservable Inputs   (% Unless Noted Otherwise)
  Input Value(s)
   Weighted
Average

Investments in Securities, at Value

 

Loan Participations and Assignments

     $ 16,508   Indicative Market Quotation   Broker Quote           39.500       —  
      108,696   Discounted Cash Flow   Discount Rate           4.400-8.690       5.081
      7,186   Other Valuation Techniques(3)   —             —         —  
      169,813   Proxy Pricing   Base Price           70.202-100.500       98.671
      31,800   Recent Transaction   Purchase Price           100.000       —  
      11,145   Reference Instrument   Yield           6.169       —  
      65,618   Third Party Vendor   Broker Quote           59.500-100.125       98.998

Corporate Bonds & Notes

 

Banking & Finance

       20,407   Proxy Pricing   Base Price           74.120-79.430       76.506

Industrials

       49,449   Proxy Pricing   Base Price           100.000       —  
      28,029   Reference Instrument   Weighted Average       BRL       50.472       —  

U.S. Government Agencies

       5,024   Other Valuation Techniques(3)   —             —         —  

Non-Agency Mortgage-Backed Securities

       44,152   Discounted Cash Flow   Discount rate           4.400       —  
      70,939   Proxy Pricing   Base Price           0.000-19,571.000       10,127.86

Asset-Backed Securities

       16,410   Discounted Cash Flow   Discount rate           5.000       —  
      1,252   Other Valuation Techniques(3)   —             —         —  
      120,935   Proxy Pricing   Base Price           19.630-47,793.182       11,769.157

Common Stocks

 

Communication Services

       2,515   Other Valuation Techniques(3)   —             —         —  

Industrials

       26,076   Discounted Cash Flow   Discount rate           10.750       —  

Materials

       16,883   Comparable Companies   EBITDA multiple       X       9.900       —  

Real Estate

       196  

Discounted Cash Flow

  

Recovery Value

       $       0.692       —  

Utilities

       7,106   Indicative Market Quotation   Broker Quote       $       26.000       —  

Warrants

 

Information Technology

       33,849   Comparable Companies   EBITDA Multiple       X       4.375       —  

Preferred Securities

 

Industrials

       4,098   Discounted Cash Flow/Comparable Companies   Discount Rate/BV Multiple       %/X       19.850/0.290       —  
      1,435   Other Valuation Techniques(3)   —             —         —  

Utilities

       12,618   Current Value Model   Purchase Price       $       27.048       —  
   

 

 

                  

Total

     $   872,139                
   

 

 

                  

 

(1)

Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at December 31, 2021 may be due to an investment no longer held or categorized as Level 3 at period end.

(2)

Sector type updated from Financials to Materials since prior fiscal year end.

(3)

Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not considered significant to the Fund.

 

46   PIMCO INTERVAL FUNDS   See Accompanying Notes
        

Notes to Financial Statements

 

(Unaudited)

December 31, 2021

 

 

1. ORGANIZATION

 

PIMCO Flexible Credit Income Fund (the “Fund”) is organized as a closed-end management investment company registered under the Investment Company Act of 1940, as amended, and the rules and regulations thereunder (the “Act”). The Fund was organized as a Massachusetts business trust on October 25, 2016. The Fund is a closed-end management investment company that continuously offers its shares (“Common Shares”) and is operated as an “interval fund”. The Fund currently offers five classes of Common Shares: Institutional Class, Class A-1, Class A-2, Class A-3 and Class A-4. Institutional Class, Class A-1 and Class A-3 Shares are sold at their offering price, which is net asset value (“NAV”) per share. Class A-2 and Class A-4 Shares are sold at a public offering price equal to their NAV plus an initial sales charge that varies depending on the size of the purchase, unless such purchase of Class A-2 and Class A-4 Shares is eligible for a waiver of the initial sales charge. Institutional Class Shares are offered for investment to investors such as pension and profit-sharing plans, employee benefit trusts, endowments, foundations, corporations and individuals that can meet the minimum investment amount. Class A-1, Class A-2, Class A-3 and Class A-4 Shares are primarily offered and sold to retail investors by broker-dealers which are members of FINRA and which have agreements with the Distributor (as defined below), but may be available through other financial firms, including banks and trust companies and to specified benefit plans and other retirement accounts. Pacific Investment Management Company LLC (“PIMCO” or the “Manager”) serves as the Fund’s investment manager.

 

2. SIGNIFICANT ACCOUNTING POLICIES

 

The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”). The Fund is treated as an investment company under the reporting requirements of U.S. GAAP. The functional and reporting currency for the Fund is the U.S. dollar. The preparation of financial statements in accordance with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

 

(a) Securities Transactions and Investment Income  Securities transactions are recorded as of the trade date for financial reporting purposes. Securities purchased or sold on a when-issued or delayed-delivery basis may be settled beyond a standard settlement period for the security after the trade date. Realized gains (losses) from securities sold are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date, except certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Interest income, adjusted for the accretion of discounts and amortization of premiums, is recorded on the accrual basis from settlement date, with the exception of securities with a forward starting effective date, where interest income is recorded on the accrual basis from effective date. For convertible securities, premiums attributable to the conversion feature are not amortized. Estimated tax liabilities on certain foreign securities are recorded on an accrual basis and are reflected as components of interest income or net change in unrealized appreciation (depreciation) on investments on the Consolidated Statement of Operations, as appropriate. Tax liabilities realized as a result of such security sales are reflected as a component of net realized gain

 

   
       SEMIANNUAL REPORT     DECEMBER 31, 2021      47  

Notes to Financial Statements (Cont.)

 

 

 

(loss) on investments on the Consolidated Statement of Operations. Paydown gains (losses) on mortgage-related and other asset-backed securities, if any, are recorded as components of interest income on the Consolidated Statement of Operations. Income or short-term capital gain distributions received from registered investment companies, if any, are recorded as dividend income. Long-term capital gain distributions received from registered investment companies, if any, are recorded as realized gains.

 

Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivable when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is probable.

 

(b) Foreign Currency Translation  The market values of foreign securities, currency holdings and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars based on the current exchange rates each business day. Purchases and sales of securities and income and expense items denominated in foreign currencies, if any, are translated into U.S. dollars at the exchange rate in effect on the transaction date. The Fund does not separately report the effects of changes in foreign exchange rates from changes in market prices on securities held. Such changes are included in net realized gain (loss) and net change in unrealized appreciation (depreciation) from investments on the Consolidated Statement of Operations. The Fund may invest in foreign currency-denominated securities and may engage in foreign currency transactions either on a spot (cash) basis at the rate prevailing in the currency exchange market at the time or through a forward foreign currency contract. Realized foreign exchange gains (losses) arising from sales of spot foreign currencies, currency gains (losses) realized between the trade and settlement dates on securities transactions and the difference between the recorded amounts of dividends, interest, and foreign withholding taxes and the U.S. dollar equivalent of the amounts actually received or paid are included in net realized gain (loss) on foreign currency transactions on the Consolidated Statement of Operations. Net unrealized foreign exchange gains (losses) arising from changes in foreign exchange rates on foreign denominated assets and liabilities other than investments in securities held at the end of the reporting period are included in net change in unrealized appreciation (depreciation) on foreign currency assets and liabilities on the Consolidated Statement of Operations.

 

(c) Multi-Class Operations  Each class offered by the Fund has equal rights as to assets and voting privileges (except that shareholders of a class have exclusive voting rights regarding any matter relating solely to that class of shares). Income and non-class specific expenses are allocated daily to each class on the basis of the relative net assets. Realized and unrealized capital gains (losses) are allocated daily based on the relative net assets of each class of the Fund. Class specific expenses, where applicable, currently include initial sales load, supervisory and administrative and distribution and servicing fees. Under certain circumstances, the per share NAV of a class of the Fund’s shares may be different from the per share NAV of another class of shares as a result of the different daily expense accruals applicable to each class of shares.

 

(d) Distributions — Common Shares  Distributions from net investment income, if any, are declared daily and distributed to shareholders quarterly. The Fund intends to distribute each year all of its net

 

48   PIMCO INTERVAL FUNDS       
        

 

(Unaudited)

December 31, 2021

 

 

investment income and net short-term capital gains. In addition, at least annually, the Fund intends to distribute net realized long-term capital gains not previously distributed, if any.

 

Income distributions and capital gain distributions are determined in accordance with income tax regulations which may differ from U.S. GAAP. Differences between tax regulations and U.S. GAAP may cause timing differences between income and capital gain recognition. Further, the character of investment income and capital gains may be different for certain transactions under the two methods of accounting. As a result, income distributions and capital gain distributions declared during a fiscal period may differ significantly from the net investment income (loss) and realized gains (losses) reported on the Fund’s annual financial statements presented under U.S. GAAP.

 

The Fund may invest in one or more Subsidiaries that are treated as disregarded entities for U.S. federal income tax purposes. In the case of a Subsidiary that is so treated, for U.S. federal income tax purposes, (i) the Fund is treated as owning the Subsidiary’s assets directly; (ii) any income, gain, loss, deduction or other tax items arising in respect of the Subsidiary’s assets will be treated as if they are realized or incurred, as applicable, directly by the Fund; and (iii) distributions, if any, the Fund receives from the Subsidiary will have no effect on the Fund’s U.S. federal income tax liability.

 

Separately, if the Fund determines or estimates, as applicable, that a portion of a distribution may be comprised of amounts from sources other than net investment income in accordance with its policies, accounting records (if applicable) and accounting practices, the Fund will notify shareholders of the estimated composition of such distribution through a Section 19 Notice. For these purposes, the Fund determines or estimates, as applicable, the source or sources from which a distribution is paid, to the close of the period as of which it is paid, in reference to its internal accounting records and related accounting practices. If, based on such accounting records and practices, it is determined or estimated, as applicable, that a particular distribution does not include capital gains or paid-in surplus or other capital sources, a Section 19 Notice generally would not be issued. It is important to note that differences exist between the Fund’s daily internal accounting records and practices, the Fund’s financial statements presented in accordance with U.S. GAAP, and recordkeeping practices under income tax regulations. For instance, the Fund’s internal accounting records and practices may take into account, among other factors, tax-related characteristics of certain sources of distributions that differ from treatment under U.S. GAAP. Examples of such differences may include but are not limited to, for certain Funds, the treatment of periodic payments under interest rate swap contracts. Accordingly, among other consequences, it is possible that the Fund may not issue a Section 19 Notice in situations where the Fund’s financial statements prepared later and in accordance with U.S. GAAP and/or the final tax character of those distributions might later report that the sources of those distributions included capital gains and/or a return of capital. Please visit www.pimco.com for the most recent Section 19 Notice, if applicable, for additional information regarding the estimated composition of distributions. Final determination of a distribution’s tax character will be provided to shareholders when such information is available.

 

Distributions classified as a tax basis return of capital at the Fund’s fiscal year end, if any, are reflected on the Consolidated Statements of Changes in Net Assets and have been recorded to paid in capital on the Consolidated Statement of Assets and Liabilities. In addition, other amounts have been reclassified between distributable earnings (accumulated loss) and paid in capital on the Consolidated Statement of Assets and Liabilities to more appropriately conform U.S. GAAP to tax characterizations of distributions.

 

   
       SEMIANNUAL REPORT     DECEMBER 31, 2021      49  

Notes to Financial Statements (Cont.)

 

 

 

(e) New Accounting Pronouncements and Regulatory Updates  In March 2020, the Financial Accounting Standards Board issued an Accounting Standards Update (“ASU”), ASU 2020-04, which provides optional guidance to ease the potential accounting burden associated with transitioning away from the London Interbank Offered Rate and other reference rates that are expected to be discontinued. The ASU is effective immediately upon release of the update on March 12, 2020 through December 31, 2022. At this time, management is evaluating implications of these changes on the financial statements.

 

In October 2020, the U.S. Securities and Exchange Commission (“SEC”) adopted a rule related to the use of derivatives, short sales, reverse repurchase agreements and certain other transactions by registered investment companies that rescinds and withdraws the guidance of the SEC and its staff regarding asset segregation and cover transactions. Subject to certain exceptions, the rule requires funds to trade derivatives and other transactions that create future payment or delivery obligations (except reverse repurchase agreements and similar financing transactions) subject to a value-at-risk leverage limit, certain derivatives risk management program and reporting requirements. The rule went into effect on February 19, 2021 and funds will have an eighteen-month transition period to comply with the rule and related reporting requirements. At this time, management is evaluating the implications of these changes on the financial statements.

 

In October 2020, the SEC adopted a rule regarding the ability of a fund to invest in other funds. The rule allows a fund to acquire shares of another fund in excess of certain limitations currently imposed by the Act without obtaining individual exemptive relief from the SEC, subject to certain conditions. The rule also includes the rescission of certain exemptive relief from the SEC and guidance from the SEC staff for funds to invest in other funds. The effective date for the rule was January 19, 2021, and the compliance date for the rule was January 19, 2022. Management has implemented changes in connection with the rule and has determined that there is no material impact to the Fund’s financial statements.

 

In December 2020, the SEC adopted a rule addressing fair valuation of fund investments. The new rule sets forth requirements for good faith determinations of fair value as well as for the performance of fair value determinations, including related oversight and reporting obligations. The new rule also defines “readily available market quotations” for purposes of the definition of “value” under the Act, and the SEC noted that this definition would apply in all contexts under the Act. The effective date for the rule was March 8, 2021. The SEC adopted an eighteen-month transition period beginning from the effective date for both the new rule and the associated new recordkeeping requirements. At this time, management is evaluating the implications of these changes on the financial statements.

 

3. INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS

 

(a) Investment Valuation Policies  The price of the Fund’s shares is based on the Fund’s NAV. The NAV of the Fund, or each of its share classes as applicable, is determined by dividing the total value of portfolio investments and other assets, less any liabilities, attributable to the Fund or class by the total number of shares outstanding of the Fund or class.

 

On each day that the New York Stock Exchange (“NYSE”) is open, Fund shares are ordinarily valued as of the close of regular trading (normally 4:00 p.m., Eastern time) (“NYSE Close”). Information

 

50   PIMCO INTERVAL FUNDS       
        

 

(Unaudited)

December 31, 2021

 

 

that becomes known to the Fund or its agents after the time as of which NAV has been calculated on a particular day will not generally be used to retroactively adjust the price of a security or the NAV determined earlier that day. If regular trading on the NYSE closes earlier than scheduled, the Fund reserves the right to either (i) advance the time as of which the NAV is calculated and, therefore, the time by which purchase orders must be received to receive that day’s NAV or (ii) accept purchase orders until, and calculate its NAV as of, the normally scheduled NYSE Close. The Fund generally does not calculate its NAV on days during which the NYSE is closed. However, if the NYSE is closed on a day it would normally be open for business, the Fund reserves the right to calculate its NAV as of the normally scheduled close of regular trading on the NYSE for that day or such other time that the Fund may determine.

 

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

 

If a foreign (non-U.S.) equity security’s value has materially changed after the close of the security’s primary exchange or principal market but before the NYSE Close, the security may be valued at fair value based on procedures established and approved by the Fund’s Board of Trustees (the “Board”). Foreign (non-U.S.) equity securities that do not trade when the NYSE is open are also valued at fair value. With respect to foreign (non-U.S.) equity securities, the Fund may determine the fair value of investments based on information provided by Pricing Services and other third-party vendors, which may recommend fair value or adjustments with reference to other securities, indices or assets. In considering whether fair valuation is required and in determining fair values, the Fund may, among

 

   
       SEMIANNUAL REPORT     DECEMBER 31, 2021      51  

Notes to Financial Statements (Cont.)

 

 

 

other things, consider significant events (which may be considered to include changes in the value of U.S. securities or securities indices) that occur after the close of the relevant market and before the NYSE Close. The Fund may utilize modeling tools provided by third-party vendors to determine fair values of foreign (non-U.S.) securities. For these purposes, any movement in the applicable reference index or instrument (“zero trigger”) between the earlier close of the applicable foreign market and the NYSE Close may be deemed to be a significant event, prompting the application of the pricing model (effectively resulting in daily fair valuations). Foreign exchanges may permit trading in foreign (non-U.S.) equity securities on days when the Fund is not open for business, which may result in the Fund’s portfolio investments being affected when shareholders are unable to buy or sell shares.

 

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

 

Whole loans may be fair valued using inputs that take into account borrower- or loan-level data (e.g., credit risk of the borrower) that is updated periodically throughout the life of each individual loan; any new borrower- or loan-level data received in written reports periodically by the Fund normally will be taken into account in calculating the NAV. The Fund’s whole loan investments, including those originated by the Fund or through an alternative lending platform, generally are fair valued in accordance with procedures approved by the Board.

 

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

 

Investments for which market quotes or market based valuations are not readily available are valued at fair value as determined in good faith by the Board or persons acting at their direction. The Board has adopted methods for valuing securities and other assets in circumstances where market quotes are not readily available, and has delegated to PIMCO the responsibility for applying the fair valuation methods. In the event that market quotes or market based valuations are not readily available, and the security or asset cannot be valued pursuant to a Board approved valuation method, the value of the security or asset will be determined in good faith by the Board. Market quotes are considered not readily available in circumstances where there is an absence of current or reliable market-based data (e.g., trade information, bid/ask information, indicative market quotations (“Broker Quotes”), Pricing Services’ prices), including where events occur after the close

 

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December 31, 2021

 

 

of the relevant market, but prior to the NYSE Close, that materially affect the values of the Fund’s securities or assets. In addition, market quotes are considered not readily available when, due to extraordinary circumstances, the exchanges or markets on which the securities trade do not open for trading for the entire day and no other market prices are available. The Board has delegated, to the Manager, the responsibility for monitoring significant events that may materially affect the values of the Fund’s securities or assets and for determining whether the value of the applicable securities or assets should be reevaluated in light of such significant events.

 

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

 

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

 

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

 

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

 

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

 

Assets or liabilities categorized as Level 2 or 3 as of period end have been transferred between Levels 2 and 3 since the prior period due to changes in the method utilized in valuing the investments. Transfers from Level 2 to Level 3 are a result of a change, in the normal course of business, from the use of methods used by Pricing Services (Level 2) to the use of a Broker Quote or valuation technique which utilizes significant unobservable inputs due to an absence of current or reliable market-based data (Level 3). Transfers from Level 3 to Level 2 are a result of the availability of current and reliable market-based data provided by Pricing Services or other valuation techniques

 

   
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Notes to Financial Statements (Cont.)

 

 

 

which utilize significant observable inputs. In accordance with the requirements of U.S. GAAP, the amounts of transfers into and out of Level 3, if material, are disclosed in the Notes to Consolidated Schedule of Investments for the Fund.

 

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

 

(c) Valuation Techniques and the Fair Value Hierarchy

Level 1, Level 2 and Level 3 trading assets and trading liabilities, at fair value  The valuation methods (or “techniques”) and significant inputs used in determining the fair values of portfolio securities or other assets and liabilities categorized as Level 1, Level 2 and Level 3 of the fair value hierarchy are as follows:

 

Fixed income securities including corporate, convertible and municipal bonds and notes, U.S. government agencies, U.S. treasury obligations, sovereign issues, bank loans, convertible preferred securities and non-U.S. bonds are normally valued on the basis of quotes obtained from brokers and dealers or Pricing Services that use broker-dealer quotations, reported trades or valuation estimates from their internal pricing models. The Pricing Services’ internal models use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar assets. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.

 

Fixed income securities purchased on a delayed-delivery basis or as a repurchase commitment in a sale-buyback transaction are marked to market daily until settlement at the forward settlement date and are categorized as Level 2 of the fair value hierarchy.

 

Mortgage-related and asset-backed securities are usually issued as separate tranches, or classes, of securities within each deal. These securities are also normally valued by Pricing Services that use broker-dealer quotations, reported trades or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche-level attributes, current market data, estimated cash flows and market-based yield spreads for each tranche, and incorporate deal collateral performance, as available. Mortgage-related and asset-backed securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.

 

Valuation adjustments may be applied to certain securities that are solely traded on a foreign exchange to account for the market movement between the close of the foreign market and the NYSE Close. These securities are valued using Pricing Services that consider the correlation of the trading patterns of the foreign security to the intraday trading in the U.S. markets for investments.

 

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Securities using these valuation adjustments are categorized as Level 2 of the fair value hierarchy. Preferred securities and other equities traded on inactive markets or valued by reference to similar instruments are also categorized as Level 2 of the fair value hierarchy.

 

Valuation adjustments may be applied to certain exchange traded futures and options to account for market movement between the exchange settlement and the NYSE close. These securities are valued using quotes obtained from a quotation reporting system, established market makers or pricing services. Financial derivatives using these valuation adjustments are categorized as Level 2 of the fair value hierarchy.

 

Equity exchange-traded options and over the counter financial derivative instruments, such as forward foreign currency contracts and options contracts derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These contracts are normally valued on the basis of quotes obtained from a quotation reporting system, established market makers or Pricing Services (normally determined as of the NYSE Close). Depending on the product and the terms of the transaction, financial derivative instruments can be valued by Pricing Services using a series of techniques, including simulation pricing models. The pricing models use inputs that are observed from actively quoted markets such as quoted prices, issuer details, indices, bid/ask spreads, interest rates, implied volatilities, yield curves, dividends and exchange rates. Financial derivative instruments that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.

 

Centrally cleared swaps and over the counter swaps derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. They are valued using a broker-dealer bid quotation or on market-based prices provided by Pricing Services (normally determined as of the NYSE Close). Centrally cleared swaps and over the counter swaps can be valued by Pricing Services using a series of techniques, including simulation pricing models. The pricing models may use inputs that are observed from actively quoted markets such as the overnight index swap rate, London Interbank Offered Rate forward rate, interest rates, yield curves and credit spreads. These securities are categorized as Level 2 of the fair value hierarchy.

 

When a fair valuation method is applied by PIMCO that uses significant unobservable inputs, investments will be priced by a method that the Board or persons acting at their direction believe reflects fair value and are categorized as Level 3 of the fair value hierarchy.

 

Proxy pricing procedures set the base price of a fixed income security and subsequently adjust the price proportionally to market value changes of a pre-determined security deemed to be comparable in duration, generally a U.S. Treasury or sovereign note based on country of issuance. The base price may be a broker-dealer quote, transaction price, or an internal value as derived by analysis of market data. The base price of the security may be reset on a periodic basis based on the availability of market data and procedures approved by the Valuation Oversight Committee. Significant changes in the unobservable inputs of the proxy pricing process (the base price) would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.

 

If third-party evaluated vendor pricing is not available or not deemed to be indicative of fair value, the Manager may elect to obtain indicative market quotations directly from the broker-dealer or passed through Broker Quotes from a third-party vendor. In the event that fair value is based upon a

 

   
       SEMIANNUAL REPORT     DECEMBER 31, 2021      55  

Notes to Financial Statements (Cont.)

 

 

 

single sourced Broker Quote, these securities are categorized as Level 3 of the fair value hierarchy. Broker Quotes are typically received from established market participants. Although independently received, the Manager does not have the transparency to view the underlying inputs which support the market quotation. Significant changes in the Broker Quote would have direct and proportional changes in the fair value of the security.

 

Reference instrument valuation estimates fair value by utilizing the correlation of the security to one or more broad-based securities, market indices, and/or other financial instruments, whose pricing information is readily available. Unobservable inputs may include those used in algorithms based on percentage change in the reference instruments and/or weights of each reference instrument. Significant changes in the unobservable inputs would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 2 or Level 3 of the fair value hierarchy depending on the source or input of the reference instrument.

 

The Discounted Cash Flow model is based on future cash flows generated by the investment and may be normalized based on expected investment performance. Future cash flows are discounted to present value using an appropriate rate of return, typically calibrated to the initial transaction date and adjusted based on Capital Asset Pricing Model and/or other market-based inputs. Significant changes in the unobservable inputs would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.

 

The Comparable Companies model is based on application of valuation multiples from publicly traded comparable companies to the financials of the subject company. Adjustments may be made to the market-derived valuation multiples based on differences between the comparable companies and the subject company. Significant changes in the unobservable inputs would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.

 

The Current Value model is utilized for securities that are typically held at cost in the period of the initial investment, and potentially longer if the security is in an early-stage company that has made no material progress on its business plan. Significant changes in the unobservable inputs would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.

 

Securities may be valued based on purchase prices of privately negotiated transactions. Significant changes in the unobservable inputs would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.

 

Short-term debt instruments (such as commercial paper) having a remaining maturity of 60 days or less may be valued at amortized cost, so long as the amortized cost value of such short-term debt instruments is approximately the same as the fair value of the instrument as determined without the use of amortized cost valuation. These securities are categorized as Level 2 or Level 3 of the fair value hierarchy depending on the source of the base price.

 

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December 31, 2021

 

 

4. SECURITIES AND OTHER INVESTMENTS

 

Investments in Securities

The Fund may utilize the investments and strategies described below to the extent permitted by the Fund’s investment policies.

 

Inflation-Indexed Bonds  are fixed income securities whose principal value is periodically adjusted by the rate of inflation. The interest rate on these bonds is generally fixed at issuance at a rate lower than typical bonds. Over the life of an inflation-indexed bond, however, interest will be paid based on a principal value which is adjusted for inflation. Any increase or decrease in the principal amount of an inflation-indexed bond will be included as interest income on the Consolidated Statement of Operations, even though investors do not receive their principal until maturity. Repayment of the original bond principal upon maturity (as adjusted for inflation) is guaranteed in the case of U.S. Treasury Inflation-Protected Securities. For bonds that do not provide a similar guarantee, the adjusted principal value of the bond repaid at maturity may be less than the original principal.

 

Loans and Other Indebtedness, Loan Participations and Assignments  are direct debt instruments which are interests in amounts owed to lenders or lending syndicates by corporate, governmental, or other borrowers. The Fund’s investments in loans may be in the form of direct investments, loans originated by the Fund, participations in loans or assignments of all or a portion of loans from third parties or exposure to investments in loans through investments in a mutual fund or other pooled investment vehicle. A loan is often administered by a bank or other financial institution (the “agent”) that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. The Fund may invest in multiple series or tranches of a loan, which may have varying terms and carry different associated risks. The Fund generally has no right to enforce compliance with the terms of the loan agreement with the borrower. As a result, the Fund may be subject to the credit risk of both the borrower and the agent that is selling the loan agreement.

 

In the event of the insolvency of the agent selling a participation, the Fund may be treated as a general creditor of the agent and may not benefit from any set-off between the agent and the borrower. When the Fund purchases assignments from agents it acquires direct rights against the borrowers of the loans. These loans may include participations in bridge loans, which are loans taken out by borrowers for a short period (typically less than one year) pending arrangement of more permanent financing through, for example, the issuance of bonds, frequently high yield bonds issued for the purpose of acquisitions.

 

Investments in loans are generally subject to risks similar to those of investments in other types of debt obligations, including, among others, credit risk, interest rate risk, variable and floating rate securities risk, and risks associated with mortgage-related securities. In addition, in many cases loans are subject to the risks associated with below-investment grade securities. The Fund may be subject to heightened or additional risks and potential liabilities and costs by investing in mezzanine and other subordinated loans, including those arising under bankruptcy, fraudulent conveyance, equitable subordination, environmental and other laws and regulations, and risks and costs associated with debt servicing and taking foreclosure actions associated with the loans.

 

Additionally, because loans are not ordinarily registered with the SEC or any state securities commission or listed on any securities exchange, there is usually less publicly available information

 

   
       SEMIANNUAL REPORT     DECEMBER 31, 2021      57  

Notes to Financial Statements (Cont.)

 

 

 

about such instruments. In addition, loans may not be considered “securities” for purposes of the anti-fraud provisions under the federal securities laws and, as a result, as a purchaser of these instruments, the Fund may not be entitled to the anti-fraud protections of the federal securities laws. In the course of investing in such instruments, the Fund may come into possession of material nonpublic information and, because of prohibitions on trading in securities of issuers while in possession of such information, the Fund may be unable to enter into a transaction in a publicly-traded security of that issuer when it would otherwise be advantageous for the Fund to do so. Alternatively, the Fund may choose not to receive material nonpublic information about an issuer of such loans, with the result that the Fund may have less information about such issuers than other investors who transact in such assets.

 

The types of loans and related investments in which the Fund may invest include, among others, senior loans, subordinated loans (including second lien loans, B-Notes and mezzanine loans), whole loans, commercial real estate and other commercial loans and structured loans. The Fund may acquire direct interests in loans through primary loan distributions and/or in private transactions. In the case of subordinated loans, there may be significant indebtedness ranking ahead of the borrower’s obligation to the holder of such a loan, including in the event of the borrower’s insolvency. Mezzanine loans are typically secured by a pledge of an equity interest in the mortgage borrower that owns the real estate rather than an interest in a mortgage.

 

The Fund may also seek to originate loans, including, without limitation, residential and/or commercial real estate or mortgage-related loans, consumer loans or other types of loans, which may be in the form of whole loans, secured and unsecured notes, senior and second lien loans, mezzanine loans or similar investments. The Fund may originate loans to corporations and/or other legal entities and individuals, including foreign (non-U.S.) entities and individuals.

 

The Fund may acquire residential mortgage loans and unsecured consumer loans through a Subsidiary. Subsidiaries directly holding a beneficial interest in loans will be formed as domestic common law or statutory trusts with a federally chartered bank serving as trustee. Each such Subsidiary will hold the beneficial interests of loans and the federally chartered bank acting as trustee will hold legal title to the loans for the benefit of the Subsidiary and/or the trust’s beneficial owners (i.e., the Fund or its direct or indirect fully-owned subsidiary). State licensing laws typically exempt federally chartered banks from their licensing requirements, and federally chartered banks may also benefit from federal preemption of state laws, including any licensing requirements. The use of common law or statutory trusts with a federally chartered bank serving as trustee is intended to address any state licensing requirements that may be applicable to purchasers or holders of loans, including state licensing requirements related to foreclosure. The Fund believes that such direct or indirect fully-owned Subsidiaries will not be treated as associations or publicly traded partnerships taxable as corporations for U.S. federal income tax purposes, and that therefore, the Subsidiaries will not be subject to U.S. federal income tax at the subsidiary level. Investments in residential mortgage loans or unsecured consumer loans through entities that are not so treated can potentially be limited by the Fund’s intention to qualify as a regulated investment company, and limit the Fund’s ability to qualify as such.

 

If the Fund or its Subsidiaries are required to be licensed in any particular jurisdiction in order to acquire, hold, dispose or foreclose loans, obtaining the required license may not be viable (because,

 

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for example, it is not possible or practical) and the Fund or its Subsidiary may be unable to restructure its holdings to address the licensing requirement. In that case, the Fund or its Subsidiary may be forced to cease activities involving the affected loans, or may be forced to sell such loans. If a state regulator or court were to determine that the Fund or its Subsidiary acquired, held or foreclosed a loan without a required state license, the Fund or its Subsidiary could be subject to penalties or other sanctions, prohibited or restricted in its ability to enforce its rights under the loan, or subject to litigation risk or other losses or damages.

 

Investments in loans may include unfunded loan commitments, which are contractual obligations for future funding. Unfunded loan commitments may include revolving credit facilities, which may obligate the Fund to supply additional cash to the borrower on demand. Unfunded loan commitments represent a future obligation in full, even though a percentage of the committed amount may not be utilized by the borrower. When investing in a loan participation, the Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the agent selling the loan agreement and only upon receipt of payments by the agent from the borrower. Because investing in unfunded loan commitments creates a future obligation for the Fund to provide funding to a borrower upon demand in exchange for a fee, the Fund will segregate or earmark liquid assets with the Fund’s custodian in amounts sufficient to satisfy any such future obligations. The Fund may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a loan. In certain circumstances, the Fund may receive a penalty fee upon the prepayment of a loan by a borrower. Fees earned or paid are recorded as a component of interest income or interest expense, respectively, on the Consolidated Statement of Operations. Unfunded loan commitments, if any, are reflected as a liability on the Consolidated Statement of Assets and Liabilities.

 

Mortgage-Related and Other Asset-Backed Securities  directly or indirectly represent a participation in, or are secured by and payable from, loans on real property. Mortgage-related securities are created from pools of residential or commercial mortgage loans, including mortgage loans made by savings and loan institutions, mortgage bankers, commercial banks and others. These securities typically provide a monthly payment which consists of both principal and interest. Interest may be determined by fixed or adjustable rates. In times of declining interest rates, there is a greater likelihood that the Fund’s higher yielding securities will be pre-paid with the Fund being unable to reinvest the proceeds in an investment with as great a yield. The rate of prepayments on underlying mortgages will affect the price and volatility of a mortgage-related security, and may have the effect of shortening or extending the effective duration of the security relative to what was anticipated at the time of purchase. Interest-only and principal-only securities are especially sensitive to interest rate changes, which can affect not only their prices but can also change the income flows and repayment assumptions about those investments. The timely payment of principal and interest of certain mortgage-related securities is guaranteed with the full faith and credit of the U.S. Government. Pools created and guaranteed by non-governmental issuers, including government-sponsored corporations, may be supported by various forms of insurance or guarantees, but there can be no assurance that private insurers or guarantors can meet their obligations under the insurance policies or guarantee arrangements. Many of the risks of investing in mortgage-related securities secured by commercial mortgage loans reflect the effects of local and other economic conditions on real estate markets, the ability of tenants to make lease payments, and the ability of a

 

   
       SEMIANNUAL REPORT     DECEMBER 31, 2021      59  

Notes to Financial Statements (Cont.)

 

 

 

property to attract and retain tenants. These securities may be less liquid and may exhibit greater price volatility than other types of mortgage-related or other asset-backed securities. Other asset-backed securities are created from many types of assets, including, but not limited to, auto loans, accounts receivable, such as credit card receivables and hospital account receivables, home equity loans, student loans, boat loans, mobile home loans, recreational vehicle loans, manufactured housing loans, aircraft leases, computer leases and syndicated bank loans. The Fund may invest in any level of the capital structure of an issuer of mortgage-backed or asset-backed securities, including the equity or “first loss” tranche. Performance in securitized investment strategies can be impacted from benefits of purchasing odd lot positions. The impact of these investments can be particularly meaningful when funds have limited assets under management (“AUM”), and may not be a sustainable source of performance as the fund grows in size. Purchasing odd lot positions may also provide diversification benefits when funds have limited AUM as purchasing round lot positions can lead a fund to have more concentrated positions.

 

Collateralized Debt Obligations  (“CDOs”) include Collateralized Bond Obligations (“CBOs”), Collateralized Loan Obligations (“CLOs”) and other similarly structured securities. CBOs and CLOs are types of asset-backed securities. A CBO is a trust which is typically backed by a diversified pool of high risk, below investment grade fixed income securities. A CLO is a trust typically collateralized by a pool of loans, which may include, among others, domestic and foreign senior secured loans, senior unsecured loans, and subordinate corporate loans, including loans that may be rated below investment grade or equivalent unrated loans. For both CBOs and CLOs, the cash flows from the trust are split into two or more portions, called tranches, varying in risk and yield. The riskiest portion is the “equity” tranche which bears the bulk of defaults from the bonds or loans in the trust and serves to protect the other, more senior tranches from default in all but the most severe circumstances. Since it is partially protected from defaults, a senior tranche from a CBO trust or CLO trust typically has higher ratings and lower yields than the underlying securities, and can be rated investment grade. Despite the protection from the equity tranche, CBO or CLO tranches can experience substantial losses due to actual defaults, increased sensitivity to defaults due to collateral default and disappearance of protecting tranches, market anticipation of defaults and aversion to CBO or CLO securities as a class. The risks of an investment in a CDO depend largely on the type of the collateral securities and the class of the CDO in which the Fund invests. CDOs carry additional risks including, but not limited to, (i) the possibility that distributions from collateral securities will not be adequate to make interest or other payments, (ii) the collateral may decline in value or default, (iii) the risk that the Fund may invest in CDOs that are subordinate to other classes, and (iv) the complex structure of the security may not be fully understood at the time of investment and may produce disputes with the issuer or unexpected investment results.

 

Collateralized Mortgage Obligations  (“CMOs”) are debt obligations of a legal entity that are collateralized by whole mortgage loans or private mortgage bonds and divided into classes. CMOs are structured into multiple classes, often referred to as “tranches”, with each class bearing a different stated maturity and entitled to a different schedule for payments of principal and interest, including prepayments. CMOs may be less liquid and may exhibit greater price volatility than other types of mortgage-related or asset-backed securities.

 

As CMOs have evolved, some classes of CMO bonds have become more common. For example, the Fund may invest in parallel-pay and planned amortization class (“PAC”) CMOs and multi-class pass-

 

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through certificates. Parallel-pay CMOs and multi-class pass-through certificates are structured to provide payments of principal on each payment date to more than one class. These simultaneous payments are taken into account in calculating the stated maturity date or final distribution date of each class, which, as with other CMO and multi-class pass-through structures, must be retired by its stated maturity date or final distribution date but may be retired earlier. PACs generally require payments of a specified amount of principal on each payment date. PACs are parallel-pay CMOs with the required principal amount on such securities having the highest priority after interest has been paid to all classes. Any CMO or multi-class pass-through structure that includes PAC securities must also have support tranches — known as support bonds, companion bonds or non-PAC bonds — which lend or absorb principal cash flows to allow the PAC securities to maintain their stated maturities and final distribution dates within a range of actual prepayment experience. These support tranches are subject to a higher level of maturity risk compared to other mortgage-related securities, and usually provide a higher yield to compensate investors. If principal cash flows are received in amounts outside a pre-determined range such that the support bonds cannot lend or absorb sufficient cash flows to the PAC securities as intended, the PAC securities are subject to heightened maturity risk. The Fund may invest in various tranches of CMO bonds, including support bonds and equity or “first loss” tranches (see “Collateralized Debt Obligations” above).

 

Stripped Mortgage-Backed Securities  (“SMBS”) are derivative multi-class mortgage securities. SMBS are usually structured with two classes that receive different proportions of the interest and principal distributions on a pool of mortgage assets. An SMBS will have one class that will receive all of the interest (the interest-only or “IO” class), while the other class will receive the entire principal (the principal-only or “PO” class). IOs and POs can be extremely volatile in response to changes in interest rates. As interest rates rise and fall, the value of IOs tends to move in the same direction as interest rates. POs perform best when prepayments on the underlying mortgages rise since this increases the rate at which the principal is returned and the yield to maturity on the PO. When payments on mortgages underlying a PO are slower than anticipated, the life of the PO is lengthened and the yield to maturity is reduced. The yield to maturity on an IO class is extremely sensitive to the rate of principal payments (including prepayments) on the related underlying mortgage assets, and a rapid rate of principal payments may have a material adverse effect on the Fund’s yield to maturity from these securities. If the underlying mortgage assets experience greater than anticipated prepayments of principal, the Fund may fail to recoup some or all of its initial investment in these securities even if the security is in one of the highest rating categories.

 

Payments received for IOs are included in interest income on the Consolidated Statement of Operations. Because no principal will be received at the maturity of an IO, adjustments are made to the cost of the security on a monthly basis until maturity. These adjustments are included in interest income on the Consolidated Statement of Operations. Payments received for POs are treated as reductions to the cost and par value of the securities.

 

Payment In-Kind Securities  may give the issuer the option at each interest payment date of making interest payments in either cash and/or additional debt securities. Those additional debt securities usually have the same terms, including maturity dates and interest rates, and associated risks as the original bonds. The daily market quotations of the original bonds may include the accrued interest (referred to as a dirty price) and require a pro rata adjustment from the unrealized appreciation (depreciation) on investments to interest receivable on the Consolidated Statement of Assets and Liabilities.

 

   
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Perpetual Bonds  are fixed income securities with no maturity date but pay a coupon in perpetuity (with no specified ending or maturity date). Unlike typical fixed income securities, there is no obligation for perpetual bonds to repay principal. The coupon payments, however, are mandatory. While perpetual bonds have no maturity date, they may have a callable date in which the perpetuity is eliminated and the issuer may return the principal received on the specified call date. Additionally, a perpetual bond may have additional features, such as interest rate increases at periodic dates or an increase as of a predetermined point in the future.

 

Real Estate Investment Trusts  (“REITs”) are pooled investment vehicles that own, and typically operate, income-producing real estate. If a REIT meets certain requirements, including distributing to shareholders substantially all of its taxable income (other than net capital gains), then it is not taxed on the income distributed to shareholders. Distributions received from REITs may be characterized as income, capital gain or a return of capital. A return of capital is recorded by the Fund as a reduction to the cost basis of its investment in the REIT. REITs are subject to management fees and other expenses, and so the Fund that invests in REITs will bear its proportionate share of the costs of the REITs’ operations.

 

Restricted Investments  are subject to legal or contractual restrictions on resale and may generally be sold privately, but may be required to be registered or exempted from such registration before being sold to the public. Private placement securities are generally considered to be restricted except for those securities traded between qualified institutional investors under the provisions of Rule 144A of the Securities Act of 1933. Disposal of restricted investments may involve time-consuming negotiations and expenses, and prompt sale at an acceptable price may be difficult to achieve. Restricted investments held by the Fund as of December 31, 2021, as applicable, are disclosed in the Notes to Consolidated Schedule of Investments.

 

Securities Issued by U.S. Government Agencies or Government-Sponsored Enterprises  are obligations of and, in certain cases, guaranteed by, the U.S. Government, its agencies or instrumentalities. Some U.S. Government securities, such as Treasury bills, notes and bonds, and securities guaranteed by the Government National Mortgage Association, are supported by the full faith and credit of the U.S. Government; others, such as those of the Federal Home Loan Banks, are supported by the right of the issuer to borrow from the U.S. Department of the Treasury (the “U.S. Treasury”); and others, such as those of the Federal National Mortgage Association (“FNMA” or “Fannie Mae”), are supported by the discretionary authority of the U.S. Government to purchase the agency’s obligations. U.S. Government securities may include zero coupon securities which do not distribute interest on a current basis and tend to be subject to a greater risk than interest-paying securities of similar maturities.

 

Government-related guarantors (i.e., not backed by the full faith and credit of the U.S. Government) include FNMA and the Federal Home Loan Mortgage Corporation (“FHLMC” or “Freddie Mac”). FNMA is a government-sponsored corporation. FNMA purchases conventional (i.e., not insured or guaranteed by any government agency) residential mortgages from a list of approved seller/servicers which include state and federally chartered savings and loan associations, mutual savings banks, commercial banks and credit unions and mortgage bankers. Pass-through securities issued by FNMA are guaranteed as to timely payment of principal and interest by FNMA, but are not backed by the full faith and credit of the U.S. Government. FHLMC issues Participation Certificates (“PCs”), which

 

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are pass-through securities, each representing an undivided interest in a pool of residential mortgages. FHLMC guarantees the timely payment of interest and ultimate collection of principal, but PCs are not backed by the full faith and credit of the U.S. Government. Instead, they are supported only by the discretionary authority of the U.S. Government to purchase the agency’s obligations.

 

Warrants  are securities that are usually issued together with a debt security or preferred security and that give the holder the right to buy a proportionate amount of common stock at a specified price. Warrants normally have a life that is measured in years and entitle the holder to buy common stock of a company at a price that is usually higher than the market price at the time the warrant is issued. Warrants may entail greater risks than certain other types of investments. Generally, warrants do not carry the right to receive dividends or exercise voting rights with respect to the underlying securities, and they do not represent any rights in the assets of the issuer. In addition, their value does not necessarily change with the value of the underlying securities, and they cease to have value if they are not exercised on or before their expiration date. If the market price of the underlying stock does not exceed the exercise price during the life of the warrant, the warrant will expire worthless. Warrants may increase the potential profit or loss to be realized from the investment as compared with investing the same amount in the underlying securities. Similarly, the percentage increase or decrease in the value of an equity security warrant may be greater than the percentage increase or decrease in the value of the underlying common stock. Warrants may relate to the purchase of equity or debt securities. Debt obligations with warrants attached to purchase equity securities have many characteristics of convertible securities and their prices may, to some degree, reflect the performance of the underlying stock. Debt obligations also may be issued with warrants attached to purchase additional debt securities at the same coupon rate. A decline in interest rates would permit the Fund to sell such warrants at a profit. If interest rates rise, these warrants would generally expire with no value.

 

When-Issued Transactions  are purchases or sales made on a when-issued basis. These transactions are made conditionally because a security, although authorized, has not yet been issued in the market. Transactions to purchase or sell securities on a when-issued basis involve a commitment by the Fund to purchase or sell these securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. The Fund may sell when-issued securities before they are delivered, which may result in a realized gain (loss).

 

5. BORROWINGS AND OTHER FINANCING TRANSACTIONS

 

The Fund may enter into the borrowings and other financing transactions described below to the extent permitted by the Fund’s investment policies.

 

The following disclosures contain information on the Fund’s ability to lend or borrow cash or securities to the extent permitted under the Act, which may be viewed as borrowing or financing transactions by the Fund. The location of these instruments in the Fund’s financial statements is described below.

 

(a) Repurchase Agreements  Under the terms of a typical repurchase agreement, the Fund purchases an underlying debt obligation (collateral) subject to an obligation of the seller to

 

   
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repurchase, and the Fund to resell, the obligation at an agreed-upon price and time. In an open maturity repurchase agreement, there is no pre-determined repurchase date and the agreement can be terminated by the Fund or counterparty at any time. The underlying securities for all repurchase agreements are held by the Fund’s custodian or designated subcustodians under tri-party repurchase agreements and in certain instances will remain in custody with the counterparty. The market value of the collateral must be equal to or exceed the total amount of the repurchase obligations, including interest. Repurchase agreements, if any, including accrued interest, are included on the Consolidated Statement of Assets and Liabilities. Interest earned is recorded as a component of interest income on the Consolidated Statement of Operations. In periods of increased demand for collateral, the Fund may pay a fee for the receipt of collateral, which may result in interest expense to the Fund.

 

(b) Reverse Repurchase Agreements  In a reverse repurchase agreement, the Fund delivers a security in exchange for cash to a financial institution, the counterparty, with a simultaneous agreement to repurchase the same or substantially the same security at an agreed upon price and date. In an open maturity reverse repurchase agreement, there is no pre-determined repurchase date and the agreement can be terminated by the Fund or counterparty at any time. The Fund is entitled to receive principal and interest payments, if any, made on the security delivered to the counterparty during the term of the agreement. Cash received in exchange for securities delivered plus accrued interest payments to be made by the Fund to counterparties are reflected as a liability on the Consolidated Statement of Assets and Liabilities. Interest payments made by the Fund to counterparties are recorded as a component of interest expense on the Consolidated Statement of Operations. In periods of increased demand for the security, the Fund may receive a fee for use of the security by the counterparty, which may result in interest income to the Fund. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund’s use of the proceeds of the agreement may be restricted pending a determination by the other party, or its trustee or receiver, whether to enforce the Fund’s obligation to repurchase the securities. Reverse repurchase agreements involve leverage risk and also the risk that the market value of the securities to be repurchased may decline below the repurchase price.

 

6. FINANCIAL DERIVATIVE INSTRUMENTS

 

The Fund may enter into the financial derivative instruments described below to the extent permitted by the Fund’s investment policies.

 

The following disclosures contain information on how and why the Fund uses financial derivative instruments, and how financial derivative instruments affect the Fund’s financial position, results of operations and cash flows. The location and fair value amounts of these instruments on the Consolidated Statement of Assets and Liabilities and the net realized gain (loss) and net change in unrealized appreciation (depreciation) on the Consolidated Statement of Operations, each categorized by type of financial derivative contract and related risk exposure, are included in a table in the Notes to Consolidated Schedule of Investments. The financial derivative instruments outstanding as of period end and the amounts of net realized gain (loss) and net change in unrealized appreciation (depreciation) on financial derivative instruments during the period, as disclosed in the Notes to Consolidated Schedule of Investments, serve as indicators of the volume of financial derivative activity for the Fund.

 

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(a) Forward Foreign Currency Contracts  may be engaged, in connection with settling planned purchases or sales of securities, to hedge the currency exposure associated with some or all of the Fund’s securities or as part of an investment strategy. A forward foreign currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. The market value of a forward foreign currency contract fluctuates with changes in foreign currency exchange rates. Forward foreign currency contracts are marked to market daily, and the change in value is recorded by the Fund as an unrealized gain (loss). Realized gains (losses) are equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed and are recorded upon delivery or receipt of the currency. The contractual obligations of a buyer or seller of a forward foreign currency contract may generally be satisfied by taking or making physical delivery of the underlying currency, establishing an opposite position in the contract and recognizing the profit or loss on both positions simultaneously on the delivery date or, in some instances, paying a cash settlement before the designated date of delivery. These contracts may involve market risk in excess of the unrealized gain (loss) reflected on the Consolidated Statement of Assets and Liabilities. Although forwards may be intended to minimize the risk of loss due to a decline in the value of the hedged currencies, at the same time, they tend to limit any potential gain which might result should the value of such currencies increase. In addition, the Fund could be exposed to risk if the counterparties are unable to meet the terms of the contracts or if the value of the currency changes unfavorably to the U.S. dollar. To mitigate such risk, cash or securities may be exchanged as collateral pursuant to the terms of the underlying contracts.

 

(b) Swap Agreements  are bilaterally negotiated agreements between the Fund and a counterparty to exchange or swap investment cash flows, assets, foreign currencies or market-linked returns at specified, future intervals. Swap agreements may be privately negotiated in the over the counter market (“OTC swaps”) or may be cleared through a third party, known as a central counterparty or derivatives clearing organization (“Centrally Cleared Swaps”). The Fund may enter into asset, credit default, cross-currency, interest rate, total return, variance and other forms of swap agreements to manage its exposure to credit, currency, interest rate, commodity, equity and inflation risk. In connection with these agreements, securities or cash may be identified as collateral or margin in accordance with the terms of the respective swap agreements to provide assets of value and recourse in the event of default or bankruptcy/insolvency.

 

Centrally Cleared Swaps are marked to market daily based upon valuations as determined from the underlying contract or in accordance with the requirements of the central counterparty or derivatives clearing organization. Changes in market value, if any, are reflected as a component of net change in unrealized appreciation (depreciation) on the Consolidated Statement of Operations. Daily changes in valuation of centrally cleared swaps, if any, are recorded as variation margin on the Consolidated Statement of Assets and Liabilities. Centrally Cleared and OTC swap payments received or paid at the beginning of the measurement period are included on the Consolidated Statement of Assets and Liabilities and represent premiums paid or received upon entering into the swap agreement to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors). Upfront premiums received (paid) are initially recorded as liabilities (assets) and subsequently marked to market to reflect the current value of the swap. These upfront premiums are recorded as realized gain (loss) on the Consolidated Statement of Operations upon termination or maturity of the swap. A

 

   
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liquidation payment received or made at the termination of the swap is recorded as realized gain (loss) on the Consolidated Statement of Operations. Net periodic payments received or paid by the Fund are included as part of realized gain (loss) on the Consolidated Statement of Operations.

 

For purposes of the Fund’s investment policy adopted pursuant to Rule 35d-1 under the Act, the Fund will account for derivative instruments at market value. For purposes of applying the Fund’s other investment policies and restrictions, swap agreements, like other derivative instruments, may be valued by the Fund at market value, notional value or full exposure value or any combination of the foregoing (e.g., notional value for purposes of calculating the numerator and market value for purposes of calculating the denominator for compliance with a particular policy or restriction). See Note 6 — Asset Segregation below. In the case of a credit default swap, in applying certain of the Fund’s investment policies and restrictions, the Fund will value the credit default swap at its notional value or its full exposure value (i.e., the sum of the notional amount for the contract plus the market value), but may value the credit default swap at market value for purposes of applying certain of the Fund’s other investment policies and restrictions. For example, the Fund may value credit default swaps at full exposure value for purposes of the Fund’s credit quality guidelines (if any) because such value in general better reflects the Fund’s actual economic exposure during the term of the credit default swap agreement. As a result, the Fund may, at times, have notional exposure to an asset class (before netting) that is greater or lesser than the stated limit or restriction noted in the Fund’s prospectus. In this context, both the notional amount and the market value may be positive or negative depending on whether the Fund is selling or buying protection through the credit default swap. The manner in which certain securities or other instruments are valued by the Fund for purposes of applying investment policies and restrictions may differ from the manner in which those investments are valued by other types of investors.

 

Entering into swap agreements involves, to varying degrees, elements of interest, credit, market and documentation risk in excess of the amounts recognized on the Consolidated Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of contractual terms in the agreements and that there may be unfavorable changes in interest rates or the values of the asset upon which the swap is based.

 

The Fund’s maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from the counterparty over the contract’s remaining life, to the extent that amount is positive. The risk may be mitigated by having a master netting arrangement between the Fund and the counterparty and by the posting of collateral to the Fund to cover the Fund’s exposure to the counterparty.

 

To the extent the Fund has a policy to limit the net amount owed to or to be received from a single counterparty under existing swap agreements, such limitation only applies to counterparties to OTC swaps and does not apply to centrally cleared swaps where the counterparty is a central counterparty or derivatives clearing organization.

 

Credit Default Swap Agreements  on corporate, loan, sovereign, U.S. municipal or U.S. Treasury issues are entered into to provide a measure of protection against defaults of the issuers (i.e., to reduce risk where the Fund owns or has exposure to the referenced obligation) or to take an active

 

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long or short position with respect to the likelihood of a particular issuer’s default. Credit default swap agreements involve one party making a stream of payments (referred to as the buyer of protection) to another party (the seller of protection) in exchange for the right to receive a specified return in the event that the referenced entity, obligation or index, as specified in the swap agreement, undergoes a certain credit event. As a seller of protection on credit default swap agreements, the Fund will generally receive from the buyer of protection a fixed rate of income throughout the term of the swap provided that there is no credit event. As the seller, the Fund would effectively add leverage to its portfolio because, in addition to its total net assets, the Fund would be subject to investment exposure on the notional amount of the swap.

 

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, other deliverable obligations or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. Recovery values are estimated by market makers considering either industry standard recovery rates or entity specific factors and considerations until a credit event occurs. If a credit event has occurred, the recovery value is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the settlement value. The ability to deliver other obligations may result in a cheapest-to-deliver option (the buyer of protection’s right to choose the deliverable obligation with the lowest value following a credit event).

 

Credit default swap agreements on corporate or sovereign issues involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a default or other credit event. If a credit event occurs and cash settlement is not elected, a variety of other deliverable obligations may be delivered in lieu of the specific referenced obligation. The ability to deliver other obligations may result in a cheapest-to-deliver option (the buyer of protection’s right to choose the deliverable obligation with the lowest value following a credit event).

 

Credit default swap agreements on asset-backed securities involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the event that the referenced entity, obligation or index, as specified in the agreement, undergoes a certain credit event. Unlike credit default swaps on corporate, loan, sovereign, U.S. municipal or U.S. Treasury issues, deliverable obligations in most instances would be limited to the specific referenced obligation, or in some cases, specific tranches of the specified reference obligation, as performance for asset-backed securities can vary across deals. Prepayments, principal paydowns, and other writedown or loss events on the underlying mortgage loans will reduce the outstanding principal balance of the referenced obligation. These reductions may be temporary or permanent as defined

 

   
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Notes to Financial Statements (Cont.)

 

 

 

under the terms of the swap agreement and the notional amount for the swap agreement will be adjusted by corresponding amounts. The Fund may use credit default swaps on asset-backed securities to provide a measure of protection against defaults of the referenced obligation or to take an active long or short position with respect to the likelihood of a particular referenced obligation’s default.

 

Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate, loan, sovereign, U.S. municipal or U.S. Treasury issues as of period end, if any, are disclosed in the Notes to Consolidated Schedule of Investments. They serve as an indicator of the current status of payment/performance risk and represent the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. For credit default swap agreements on asset-backed securities and credit indices, the quoted market prices and resulting values serve as the indicator of the current status of the payment/performance risk. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

 

The maximum potential amount of future payments (undiscounted) that the Fund as a seller of protection could be required to make under a credit default swap agreement equals the notional amount of the agreement. Notional amounts of each individual credit default swap agreement outstanding as of period end for which the Fund is the seller of protection are disclosed in the Notes to Consolidated Schedule of Investments. These potential amounts would be partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swap agreements entered into by the Fund for the same referenced entity or entities.

 

Interest Rate Swap Agreements  may be entered into to help hedge against interest rate risk exposure and to maintain the Fund’s ability to generate income at prevailing market rates. The value of the fixed rate bonds that the Fund holds may decrease if interest rates rise. To help hedge against this risk and to maintain its ability to generate income at prevailing market rates, the Fund may enter into interest rate swap agreements. Interest rate swap agreements involve the exchange by the Fund with another party for their respective commitment to pay or receive interest on the notional amount of principal. Certain forms of interest rate swap agreements may include: (i) interest rate caps, under which, in return for a premium, one party agrees to make payments to the other to the extent that interest rates exceed a specified rate, or “cap”, (ii) interest rate floors, under which, in return for a premium, one party agrees to make payments to the other to the extent that interest rates fall below a specified rate, or “floor”, (iii) interest rate collars, under which a party sells a cap and purchases a floor or vice versa in an attempt to protect itself against interest rate movements exceeding given minimum or maximum levels, (iv) callable interest rate swaps, under which the buyer pays an upfront fee in consideration for the right to early terminate the swap transaction in whole, at zero cost and at a predetermined date and time prior to the maturity date, (v) spreadlocks, which allow the interest

 

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rate swap users to lock in the forward differential (or spread) between the interest rate swap rate and a specified benchmark, or (vi) basis swaps, under which two parties can exchange variable interest rates based on different segments of money markets.

 

Asset Segregation  Certain transactions described above can be viewed as constituting a form of borrowing or financing transaction by the Fund. In such event, the Fund will cover its commitment under such transactions by segregating or “earmarking” assets in accordance with procedures adopted by the Board, in which case such transactions will not be considered “senior securities” by the Fund. With respect to forwards and futures contracts and interest rate swaps that are contractually required to cash settle (i.e., where physical delivery of the underlying reference asset is not permitted), the Fund is permitted to segregate or earmark liquid assets equal to the Fund’s daily mark-to-market net obligation under the derivative instrument, if any, rather than the derivative’s full notional value, but may segregate full notional value, as applicable, with respect to other derivative instruments (including written credit default swaps and written options) that contractually require or permit physical delivery of securities or other underlying assets. By segregating or earmarking liquid assets equal to only its net mark-to-market obligation under derivatives that are required to cash settle, the Fund will have the ability to employ leverage to a greater extent than if the Fund were to segregate or earmark liquid assets equal to the full notional value of such derivatives.

 

7. PRINCIPAL AND OTHER RISKS

 

(a) Principal Risks

Principal risks associated with investment in the Fund are listed below.

 

Please see “Principal Risks of the Fund” in the Fund’s prospectus for a more detailed description of the risks of investing in the Fund.

 

Call Risk  is the risk that an issuer may exercise its right to redeem a fixed income security earlier than expected (a call). Issuers may call outstanding securities prior to their maturity for a number of reasons (e.g., declining interest rates, changes in credit spreads and improvements in the issuer’s credit quality). If an issuer calls a security that the Fund has invested in, the Fund may not recoup the full amount of its initial investment and may be forced to reinvest in lower-yielding securities, securities with greater credit risks or securities with other, less favorable features.

 

Counterparty Risk  is the risk that the Fund will be subject to credit risk with respect to the counterparties to the derivative contracts and other instruments entered into by the Fund or held by special purpose or structured vehicles in which the Fund invests. If a counterparty becomes bankrupt or otherwise fails to perform its obligations under a derivative contract due to financial difficulties, the Fund may experience significant delays in obtaining any recovery (including recovery of any collateral it has provided to the counterparty) in a dissolution, assignment for the benefit of creditors, liquidation, winding-up, bankruptcy, or other analogous proceeding.

 

“Covenant-Lite” Obligations Risk  is the risk that covenant-lite obligations contain fewer maintenance covenants than other obligations, or no maintenance covenants, and may not include terms that allow the lender to monitor the performance of the borrower and declare a default if certain criteria are breached. Covenant-lite loans may carry more risk than traditional loans as they

 

   
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Notes to Financial Statements (Cont.)

 

 

 

allow individuals and corporations to engage in activities that would otherwise be difficult or impossible under a covenant-heavy loan agreement. In the event of default, covenant-lite loans may exhibit diminished recovery values as the lender may not have the opportunity to negotiate with the borrower prior to default.

 

Credit Default Swaps Risk  is the risk of investing in credit default swaps, including illiquidity risk, counterparty risk, leverage risk and credit risk. A buyer generally also will lose its investment and recover nothing should no credit event occur, and the swap is held to its termination date. When the Fund acts as a seller of a credit default swap, it is exposed to many of the same risks of leverage described herein since if an event of default occurs, the seller must pay the buyer the full notional value of the reference obligation. In addition, selling credit default swaps may not be profitable for the Fund if no secondary market exists or the Fund is otherwise unable to close out these transactions at advantageous times.

 

Credit Risk  is the risk that the Fund could lose money if the issuer or guarantor of a fixed-income security, or the counterparty to a derivatives contract, repurchase agreement or a loan of portfolio securities, is unable or unwilling, or is perceived (whether by market participants, rating agencies, pricing services or otherwise) as unable or unwilling, to meet its financial obligations. Measures such as average credit quality may not accurately reflect the true credit risk of the Fund. This is especially the case if the Fund consists of securities with widely varying credit ratings.

 

Derivatives Risk  is the risk of investing in derivative instruments (such as futures, swaps and structured securities), including leverage, liquidity, interest rate, market, credit and management risks and valuation complexity. Changes in the value of a derivative may not correlate perfectly with, and may be more sensitive to market events than, the underlying asset, rate or index, and the Fund could lose more than the initial amount invested. The Fund’s use of derivatives may result in losses to the Fund, a reduction in the Fund’s returns and/or increased volatility. Over-the-counter (“OTC”) derivatives are also subject to the risk that a counterparty to the transaction will not fulfill its contractual obligations to the other party, as many of the protections afforded to centrally-cleared derivative transactions might not be available for OTC derivatives. The primary credit risk on derivatives that are exchange-traded or traded through a central clearing counterparty resides with the Fund’s clearing broker, or the clearinghouse itself.

 

High Yield Securities Risk  is the risk that high yield securities and unrated securities of similar credit quality (commonly known as “junk bonds”) are subject to greater levels of credit, call and liquidity risks. High yield securities are considered primarily speculative with respect to the issuer’s continuing ability to make principal and interest payments, and may be more volatile than higher-rated securities of similar maturity.

 

Inflation/Deflation Risk  is the risk that the value of assets or income from the Fund’s investments will be worth less in the future as inflation decreases the value of payments at future dates. As inflation increases, the real value of the Fund’s portfolio could decline. Deflation Risk is the risk that prices throughout the economy decline over time. Deflation may have an adverse effect on the creditworthiness of issuers and may make issuer default more likely, which may result in a decline in the value of the Fund’s portfolio and common shares.

 

 

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Interest Rate Risk  is the risk that fixed income securities and other instruments in the Fund’s portfolio will decline in value because of an increase in interest rates; a fund with a longer average portfolio duration will be more sensitive to changes in interest rates than a fund with a short average portfolio duration.

 

Issuer Risk  is the risk that the value of a security may decline for a reason directly related to the issuer, such as management performance, financial leverage and reduced demand for the issuer’s goods or services.

 

Leverage Risk  is the risk that certain transactions of the Fund, such as reverse repurchase agreements, dollar rolls and/or borrowings (as well as from any future issuance of preferred shares), delayed delivery or forward commitment transactions, or derivative instruments, may give rise to leverage, magnifying gains and losses and causing the Fund to be more volatile than if it had not been leveraged. This means that leverage entails a heightened risk of loss.

 

Liquidity Risk  is the risk that a particular investment may be difficult to purchase or sell and that the Fund may be unable to sell illiquid investments at an advantageous time or price or possibly require the Fund to dispose of other investments at unfavorable times or prices in order to satisfy its obligations, which could prevent the Fund from taking advantage of other investment opportunities. Additionally, the market for certain investments may become illiquid under adverse market or economic conditions independent of any specific adverse changes in the conditions of a particular issuer.

 

Loans and Other Indebtedness; Loan Participations and Assignments Risk  is the risk that scheduled interest or principal payments will not be made in a timely manner or at all, either of which may adversely affect the values of a loan. Additionally, there is a risk that the collateral underlying a loan may be unavailable or insufficient to satisfy a borrower’s obligation, and the Fund could become part owner of any collateral if a loan is foreclosed, subjecting the Fund to costs associated with owning and disposing of the collateral.

 

In the event of the insolvency of the lender selling a participation, there is a risk that the Fund may be treated as a general creditor of the lender and may not benefit from any set-off between the lender and the borrower.

 

There is the risk that the Fund may have difficulty disposing of loans and loan participations due to the lack of a liquid secondary market for loans and loan participations.

 

To the extent the Fund acquires loans, including bank loans, the Fund may be subject to greater levels of credit risk, call risk, settlement risk and liquidity risk than funds that do not acquire such instruments.

 

Management Risk  is the risk that the investment techniques and risk analyses applied by PIMCO will not produce the desired results and that actual or potential conflicts of interest, legislative, regulatory, or tax restrictions, policies or developments may affect the investment techniques available to PIMCO and the individual portfolio manager in connection with managing the Fund and

 

   
       SEMIANNUAL REPORT     DECEMBER 31, 2021      71  

Notes to Financial Statements (Cont.)

 

 

 

may cause PIMCO to restrict or prohibit participation in certain investments. There is no guarantee that the investment objective of the Fund will be achieved.

 

Market Risk  is the risk that the value of securities owned by the Fund may go up or down, sometimes rapidly or unpredictably, due to factors affecting securities markets generally or particular industries.

 

Municipal Bond Risk  is the risk that the Fund may be affected significantly by the economic, regulatory or political developments affecting the ability of issuers of debt securities whose interest is, in the opinion of bond counsel for the issuer at the time of issuance, exempt from federal income tax to pay interest or repay principal.

 

Municipal Project-Specific Risk  is the risk that the Fund may be more sensitive to adverse economic, business or political developments if it invests a substantial portion of its assets in the bonds of specific projects (such as those relating to education, health care, housing, transportation, and utilities), industrial development bonds, or in bonds from issuers in a single state.

 

Portfolio Turnover Risk  is the risk that a high portfolio turnover will result in greater expenses to the Fund, including brokerage commissions or dealer mark-ups and other transaction costs on the sale of securities and reinvestments in other securities. Such sales may result in realization of taxable capital gains (including short-term capital gains, which are generally taxed to shareholders at ordinary income tax rates when distributed net of short-term capital losses and net long-term capital losses) and may adversely affect the Fund’s after-tax returns.

 

Reinvestment Risk  is the risk that income from the Fund’s portfolio will decline if and when the Fund invests the proceeds from matured, traded or called debt obligations at market interest rates that are below the portfolio’s current earnings rate. The Fund also may choose to sell higher yielding portfolio securities and to purchase lower yielding securities to achieve greater portfolio diversification, because the portfolio managers believe the current holdings are overvalued or for other investment-related reasons.

 

Repurchase Agreements Risk  is the risk that, if the party agreeing to repurchase a security should default, the Fund will seek to sell the securities which it holds, which could involve procedural costs or delays in addition to a loss on the securities if their value should fall below their repurchase price.

 

Restricted Securities Risk  is the risk that the Fund’s investment in securities that have not been registered for public sale, but that are eligible for purchase and sale pursuant to Rule 144A under the Securities Act, may be relatively less liquid than registered securities traded on established securities markets.

 

Segregation and Coverage Risk  is the risk that certain portfolio management techniques may be considered senior securities unless steps are taken to segregate the Fund’s assets or otherwise cover its obligations. To avoid having these instruments considered senior securities, the Fund may segregate liquid assets with a value equal (on a daily mark-to-market basis) to its obligations under these types of leveraged transactions, enter into offsetting transactions or otherwise cover such transactions. The Fund may be unable to use such segregated assets for certain other purposes,

 

72   PIMCO INTERVAL FUNDS       
        

 

(Unaudited)

December 31, 2021

 

 

which could result in the Fund earning a lower return on its portfolio than it might otherwise earn if it did not have to segregate those assets in respect of, or otherwise cover, such portfolio positions. To the extent the Fund’s assets are segregated or committed as cover, it could limit the Fund’s investment flexibility.

 

Tax Risk  is the risk that if, in any year, the Fund were to fail to qualify for treatment as a regulated investment company under the Tax Code, and were ineligible to or did not otherwise cure such failure, the Fund would be subject to tax on its taxable income at corporate rates and, when such income is distributed, shareholders would be subject to a further tax to the extent of the Fund’s current or accumulated earnings and profits.

 

Valuation Risk  is the risk that fair value pricing used when market quotations are not readily available may not result in adjustments to the prices of securities or other assets, or that fair value pricing may not reflect actual market value. It is possible that the fair value determined in good faith for a security or other asset will be materially different from quoted or published prices, from the prices used by others for the same security or other asset and/or from the value that actually could be or is realized upon the sale of that security or other asset.

 

(b) Other Risks

In general, the Fund may be subject to additional risks, including, but not limited to, risks related to government regulation and intervention in financial markets, operational risks, risks associated with financial, economic and global market disruptions, and cybersecurity risks. Please see the Fund’s prospectus and Statement of Additional Information for a more detailed description of the risks of investing in the Fund. Please see the Important Information section of this report for additional discussion of certain regulatory and market developments (such as the anticipated discontinuation of LIBOR) that may impact the Fund’s performance.

 

Market Disruption Risk  The Fund is subject to investment and operational risks associated with financial, economic and other global market developments and disruptions, including those arising from war, terrorism, market manipulation, government interventions, defaults and shutdowns, political changes or diplomatic developments, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics) and natural/environmental disasters, which can all negatively impact the securities markets, and cause the Fund to lose value. These events can also impair the technology and other operational systems upon which the Fund’s service providers, including PIMCO as the Fund’s investment adviser, rely, and could otherwise disrupt the Fund’s service providers’ ability to fulfill their obligations to the Fund. For example, the recent spread of an infectious respiratory illness caused by a novel strain of coronavirus (known as COVID-19) has caused volatility, severe market dislocations and liquidity constraints in many markets, including markets for the securities the Fund holds, and may adversely affect the Fund’s investments and operations. Please see the Important Information section for additional discussion of the COVID-19 pandemic.

 

Regulatory Risk  Financial entities, such as investment companies and investment advisers, are generally subject to extensive government regulation and intervention. Government regulation and/or intervention may change the way the Fund is regulated, affect the expenses incurred directly by the Fund and the value of its investments, and limit and/or preclude the Fund’s ability to achieve

 

   
       SEMIANNUAL REPORT     DECEMBER 31, 2021      73  

Notes to Financial Statements (Cont.)

 

 

 

its investment objective. Government regulation may change frequently and may have significant adverse consequences. Moreover, government regulation may have unpredictable and unintended effects.

 

Operational Risk  An investment in the Fund, like any fund, can involve operational risks arising from factors such as processing errors, human errors, inadequate or failed internal or external processes, failures in systems and technology, changes in personnel and errors caused by third-party service providers. The occurrence of any of these failures, errors or breaches could result in a loss of information, regulatory scrutiny, reputational damage or other events, any of which could have a material adverse effect on the Fund. While the Fund seeks to minimize such events through controls and oversight, there may still be failures that could cause losses to the Fund.

 

Cyber Security Risk  As the use of technology has become more prevalent in the course of business, the Fund has become potentially more susceptible to operational and information security risks resulting from breaches in cyber security. A breach in cyber security refers to both intentional and unintentional cyber events that may, among other things, cause the Fund to lose proprietary information, suffer data corruption and/or destruction or lose operational capacity, result in the unauthorized release or other misuse of confidential information, or otherwise disrupt normal business operations. Cyber security failures or breaches may result in financial losses to the Fund and its shareholders. These failures or breaches may also result in disruptions to business operations, potentially resulting in financial losses; interference with the Fund’s ability to calculate its net asset value, process shareholder transactions or otherwise transact business with shareholders; impediments to trading; violations of applicable privacy and other laws; regulatory fines; penalties; reputational damage; reimbursement or other compensation costs; additional compliance and cyber security risk management costs and other adverse consequences. In addition, substantial costs may be incurred in order to prevent any cyber incidents in the future.

 

8. MASTER NETTING ARRANGEMENTS

 

The Fund may be subject to various netting arrangements (“Master Agreements”) with select counterparties. Master Agreements govern the terms of certain transactions, and are intended to reduce the counterparty risk associated with relevant transactions by specifying credit protection mechanisms and providing standardization that is intended to improve legal certainty. Each type of Master Agreement governs certain types of transactions. Different types of transactions may be traded out of different legal entities or affiliates of a particular organization, resulting in the need for multiple agreements with a single counterparty. As the Master Agreements are specific to unique operations of different asset types, they allow the Fund to close out and net its total exposure to a counterparty in the event of a default with respect to all the transactions governed under a single Master Agreement with a counterparty. For financial reporting purposes the Consolidated Statement of Assets and Liabilities generally present derivative assets and liabilities on a gross basis, which reflects the full risks and exposures prior to netting.

 

Master Agreements can also help limit counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under most Master Agreements, collateral is routinely transferred if the total net exposure to certain transactions (net of existing collateral already in place) governed under the relevant Master Agreement with a counterparty in a given account exceeds a

 

74   PIMCO INTERVAL FUNDS       
        

 

(Unaudited)

December 31, 2021

 

 

specified threshold, which typically ranges from zero to $250,000 depending on the counterparty and the type of Master Agreement. United States Treasury Bills and U.S. dollar cash are generally the preferred forms of collateral, although other securities may be used depending on the terms outlined in the applicable Master Agreement. Securities and cash pledged as collateral are reflected as assets on the Consolidated Statement of Assets and Liabilities as either a component of Investments at value (securities) or Deposits with counterparty. Cash collateral received is not typically held in a segregated account and as such is reflected as a liability on the Consolidated Statement of Assets and Liabilities as Deposits from counterparty. The market value of any securities received as collateral is not reflected as a component of NAV. The Fund’s overall exposure to counterparty risk can change substantially within a short period, as it is affected by each transaction subject to the relevant Master Agreement.

 

Master Repurchase Agreements and Global Master Repurchase Agreements (individually and collectively “Master Repo Agreements”) govern repurchase, reverse repurchase, and certain sale-buyback transactions between the Fund and select counterparties. Master Repo Agreements maintain provisions for, among other things, initiation, income payments, events of default, and maintenance of collateral. The market value of transactions under the Master Repo Agreement, collateral pledged or received, and the net exposure by counterparty as of period end are disclosed in the Notes to Consolidated Schedule of Investments.

 

Master Securities Forward Transaction Agreements (“Master Forward Agreements”) govern certain forward settling transactions, such as TBA securities, delayed-delivery or certain sale-buyback transactions by and between the Fund and select counterparties. The Master Forward Agreements maintain provisions for, among other things, transaction initiation and confirmation, payment and transfer, events of default, termination, and maintenance of collateral. The market value of forward settling transactions, collateral pledged or received, and the net exposure by counterparty as of period end is disclosed in the Notes to Consolidated Schedule of Investments.

 

Customer Account Agreements and related addenda govern cleared derivatives transactions such as futures, options on futures, and cleared OTC derivatives. Such transactions require posting of initial margin as determined by each relevant clearing agency which is segregated in an account at a futures commission merchant (“FCM”) registered with the Commodity Futures Trading Commission. In the United States, counterparty risk may be reduced as creditors of an FCM cannot have a claim to Fund assets in the segregated account. Portability of exposure reduces risk to the Fund. Variation margin, which reflects changes in market value, is generally exchanged daily, but may not be netted between futures and cleared OTC derivatives unless the parties have agreed to a separate arrangement in respect of portfolio margining. The market value or accumulated unrealized appreciation (depreciation), initial margin posted, and any unsettled variation margin as of period end are disclosed in the Notes to Consolidated Schedule of Investments.

 

International Swaps and Derivatives Association, Inc. Master Agreements and Credit Support Annexes (“ISDA Master Agreements”) govern bilateral OTC derivative transactions entered into by the Fund with select counterparties. ISDA Master Agreements maintain provisions for general obligations, representations, agreements, collateral posting and events of default or termination. Events of termination include conditions that may entitle counterparties to elect to terminate early and cause settlement of all outstanding transactions under the applicable ISDA Master Agreement.

 

   
       SEMIANNUAL REPORT     DECEMBER 31, 2021      75  

Notes to Financial Statements (Cont.)

 

 

 

Any election to terminate early could be material to the financial statements. The ISDA Master Agreement may contain additional provisions that add counterparty protection beyond coverage of existing daily exposure if the counterparty has a decline in credit quality below a predefined level or as required by regulation. Similarly, if required by regulation, the Fund may be required to post additional collateral beyond coverage of daily exposure. These amounts, if any, may (or if required by law, will) be segregated with a third-party custodian. To the extent the Fund is required by regulation to post additional collateral beyond coverage of daily exposure, it could potentially incur costs, including in procuring eligible assets to meet collateral requirements, associated with such posting. The market value of OTC financial derivative instruments, collateral received or pledged, and net exposure by counterparty as of period end are disclosed in the Notes to Consolidated Schedule of Investments.

 

9. FEES AND EXPENSES

 

(a) Management Fee  Pursuant to the Investment Management Agreement with PIMCO (the “Agreement”), and subject to the supervision of the Board, PIMCO is responsible for providing the Fund investment guidance and policy direction in connection with the management of the Fund, including oral and written research, analysis, advice, and statistical and economic data and information. In addition, pursuant to the Agreement and subject to the general supervision of the Board, PIMCO, at its expense, provides or causes to be furnished most other supervisory and administrative services the Fund requires, including but not limited to, expenses of most third-party service providers (e.g., audit, custodial, legal, transfer agency, printing) and other expenses, such as those associated with insurance, proxy solicitations and mailings for shareholder meetings, New York Stock Exchange listing and related fees, tax services, valuation services and other services the Fund requires for its daily operations.

 

Pursuant to the Agreement, PIMCO receives an annual fee, payable monthly, at the annual rate shown in the table below:

 

          Annual Rate(1)  

All Classes

       1.30%  

 

(1)

Management fees calculated based on the Fund’s average daily “total managed assets”. Total managed assets includes total assets of the Fund (including assets attributable to any reverse repurchase agreements, dollar rolls, borrowings and preferred shares that may be outstanding, if any) minus accrued liabilities (other than liabilities representing reverse repurchase agreements, dollar rolls and borrowings).

 

(b) Distribution and Servicing Fees  PIMCO Investments LLC (the “Distributor”) serves as the principal underwriter in the continuous public offering of the Fund’s shares pursuant to a distribution contract (“Distribution Contract”) with the Fund, which is subject to annual approval by the Board. The Distributor is a wholly-owned subsidiary of PIMCO and an indirect subsidiary of Allianz Asset Management.

 

The Fund has adopted separate Distribution and Servicing Plans for the Class A-1, Class A-2, Class A-3 and Class A-4 Common Shares of the Fund. Each Distribution and Servicing Plan operates in a manner consistent with Rule 12b-1 under the Act, which regulates the manner in which an open-end investment company may directly or indirectly bear the expenses of distributing its shares. Although the Fund is not an open-end investment company, it has undertaken to comply with the

 

76   PIMCO INTERVAL FUNDS       
        

 

(Unaudited)

December 31, 2021

 

 

terms of Rule 12b-1 as a condition of an exemptive order under the Act which permits it to have, among other things, a multi-class structure and distribution and/or shareholder servicing fees. Each Distribution and Servicing Plan permits the Fund to compensate the Distributor for providing or procuring through financial firms, distribution, administrative, recordkeeping, shareholder and/or related services with respect to the Class A-1, Class A-2, Class A-3 or Class A-4 Common Shares, as applicable. Most or all of the distribution and/ or service fees are paid to financial firms through which Common Shareholders may purchase and/or hold Class A-1, Class A-2, Class A-3 and Class A-4 Common Shares, as applicable. Because these fees are paid out of the applicable share class’s assets on an ongoing basis, over time they will increase the cost of an investment in Class A-1, Class A-2, Class A-3 or Class A-4 Common Shares and may cost a shareholder more than other sales charges. The maximum annual rates at which the distribution and/or servicing fee may be paid under the Distribution and Servicing Plan for Class A-1 and Class A-2 Common Shares (calculated as a percentage of the Fund’s average daily net assets attributable to the Class A-1 and Class A-2 Common Shares) is 0.50%. The maximum annual rates at which the distribution and/or servicing fee may be paid under the Distribution and Servicing Plan for Class A-3 and Class A-4 Common Shares (calculated as a percentage of the Fund’s average daily net assets attributable to the Class A-3 Common Shares and Class A-4 Common Shares) is 0.75%.

 

(c) Fund Expenses  The Fund bears other expenses, which may vary and affect the total level of expenses paid by shareholders, such as (i) salaries and other compensation or expenses, including travel expenses, of any of the Fund’s executive officers and employees, if any, who are not officers, directors, shareholders, members, partners or employees of PIMCO or its subsidiaries or affiliates; (ii) taxes and governmental fees, if any, levied against the Fund; (iii) brokerage fees and commissions, and other portfolio transaction expenses incurred by or for the Fund (including, without limitation, fees and expenses of outside legal counsel or third-party consultants retained in connection with reviewing, negotiating and structuring specialized loan and other investments made by the Fund, and any costs associated with originating loans, asset securitizations, alternative lending-related strategies and so-called “broken-deal costs” (e.g., fees, costs, expenses and liabilities, including, for example, due diligence-related fees, costs, expenses and liabilities, with respect to unconsummated investments)); (iv) expenses of the Fund’s securities lending (if any), including any securities lending agent fees, as governed by a separate securities lending agreement; (v) costs, including interest expenses, of borrowing money or engaging in other types of leverage financing including, without limitation, through the use by the Fund of reverse repurchase agreements, dollar rolls, bank borrowings, credit facilities and tender option bonds; (vi) costs, including dividend and/or interest expenses and other costs (including, without limitation, offering and related legal costs, fees to brokers, fees to auction agents, fees to transfer agents, fees to ratings agencies and fees to auditors associated with satisfying ratings agency requirements for preferred shares or other securities issued by the Fund and other related requirements in the Fund’s organizational documents) associated with the Fund’s issuance, offering, redemption and maintenance of preferred shares, commercial paper or other instruments (such as the use of reverse repurchase agreements, dollar rolls, bank borrowings, credit facilities and tender option bonds) for the purpose of incurring leverage; (vii) fees and expenses of any underlying funds or other pooled vehicles in which the Fund invests; (viii) dividend and interest expenses on short positions taken by the Fund; (ix) fees and expenses, including travel expenses, and fees and expenses of legal counsel retained for their benefit, of Trustees who are not officers, employees, partners, shareholders or

 

   
       SEMIANNUAL REPORT     DECEMBER 31, 2021      77  

Notes to Financial Statements (Cont.)

 

 

 

members of PIMCO or its subsidiaries or affiliates; (x) extraordinary expenses, including extraordinary legal expenses, as may arise, including, without limitation, expenses incurred in connection with litigation, proceedings, other claims, and the legal obligations of the Fund to indemnify its Trustees, officers, employees, shareholders, distributors, and agents with respect thereto; (xi) fees and expenses, including legal, printing and mailing, solicitation and other fees and expenses associated with and incident to shareholder meetings and proxy solicitations involving contested elections of Trustees, shareholder proposals or other non-routine matters that are not initiated or proposed by Fund management; (xii) organizational and offering expenses of the Fund, including registration (including share registration fees), legal, marketing, printing, accounting and other expenses, associated with organizing the Fund in its state of jurisdiction and in connection with the initial registration of the Fund under the Act and the initial registration of its shares under the Securities Act of 1933 (i.e., through the effectiveness of the Fund’s initial registration statement on Form N-2) and fees and expenses associated with seeking, applying for and obtaining formal exemptive, no-action and/or other relief from the SEC in connection with the issuance of multiple share classes; (xiii) except as otherwise specified herein as an expense of PIMCO, any expenses allocated or allocable to a specific class of shares, including, without limitation, sub-transfer agency expenses and distribution and/or services fees paid pursuant to a Rule 12b-1 or similar plan adopted by the Board for a particular share class; and (xiv) expenses of the Fund which are capitalized in accordance with U.S. GAAP.

 

Each of the Trustees of the Fund who is not an “interested person” under Section 2(a)(19) of the Act, (the “Independent Trustees”) also serves as a trustee of a number of other closed-end funds for which PIMCO serves as investment manager (the “PIMCO Closed-End Funds”), as well as the Fund, PIMCO Flexible Emerging Markets Income Fund and PIMCO Flexible Municipal Income Fund, each a closed end management investment company managed by PIMCO that is operated as an “interval fund” (the “PIMCO Interval Funds”), and PIMCO Managed Accounts Trust, an open-end management investment company with multiple series for which PIMCO serves as investment adviser and administrator (“PMAT” and, together with the PIMCO Closed-End Funds and the PIMCO Interval Funds, the “PIMCO-Managed Funds”). In addition, during the reporting period, each of the Independent Trustees (other than Mr. Kittredge and Ms. Vandecruze) also served as a trustee of certain funds for which Allianz Global Investors U.S. LLC (“AllianzGI”), an affiliate of PIMCO, served as investment manager. Effective February 1, 2021 (and February 26, 2021 with respect to Virtus AllianzGI Artificial Intelligence & Technology Opportunities Fund), Virtus Investment Advisers, Inc. became the primary investment adviser to all of those funds (the “Former Allianz-Managed Funds”), and therefore they are no longer included within the same fund complex as the PIMCO-Managed Funds. AllianzGI has been appointed to serve as sub-adviser to most of the remaining Former Allianz-Managed Funds. The Fund pays no compensation to any Trustee or any other officer who is affiliated with the Manager, all of whom receive remuneration for their services to the Fund from the Manager or its affiliates.

 

(d) Expense Limitation  PIMCO has contractually agreed, through November 1, 2022, to waive its management fee, or reimburse the Fund, to the extent that organizational expenses, pro rata share of expenses related to obtaining or maintaining a Legal Entity Identifier and pro rata Trustees’ fees exceed 0.07% of the Fund’s net assets attributable to Common Shares, (the “Expense Limit”). Under an expense limitation agreement, which, following the completion of the period ending November 1, 2022, renews

 

78   PIMCO INTERVAL FUNDS       
        

 

(Unaudited)

December 31, 2021

 

 

annually for a full year unless terminated by PIMCO upon at least 30 days’ notice prior to the end of the contract term, PIMCO is entitled to reimbursement by the Fund of any portion of the management fee reduced as set forth above (the “Reimbursement Amount”) during the previous thirty-six months, provided that such amount paid to PIMCO will not (i) together with any recoupment of organizational expenses, pro rata share of expenses related to obtaining or maintaining a Legal Entity Identifier and pro rata trustee fees or management fees exceed the Expense Limit; (ii) exceed the total Reimbursement Amount; or (iii) include any amounts previously reimbursed to PIMCO. The waiver is reflected on the Consolidated Statement of Operations as a component of Waiver and/or Reimbursement by PIMCO. For the period ended December 31, 2021, there were no recoverable amounts.

 

10. RELATED PARTY TRANSACTIONS

 

The Manager is a related party. Fees payable to this party are disclosed in Note 9, Fees and Expenses, and the accrued related party fee amounts are disclosed on the Consolidated Statement of Assets and Liabilities.

 

The Fund is permitted to purchase or sell securities from or to certain related affiliated funds under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of securities by the Fund from or to another fund or portfolio that are, or could be, considered an affiliate, or an affiliate of an affiliate, by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule 17a-7 under the Act. Further, as defined under the procedures, each transaction is effected at the current market price. Purchases and sales of securities pursuant to Rule 17a-7 under the Act for the period ended December 31, 2021, were as follows (amounts in thousands†):

 

Purchases     Sales  
$     23,029     $     268,364  

 

† 

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

 

11. GUARANTEES AND INDEMNIFICATIONS

 

Under the Fund’s organizational documents, each Trustee and officer is indemnified, to the extent permitted by the Act, against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the normal course of business, the Fund enters into contracts that contain a variety of indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. However, the Fund has not had prior claims or losses pursuant to these contracts.

 

12. PURCHASES AND SALES OF SECURITIES

 

The length of time the Fund has held a particular security is not generally a consideration in investment decisions. A change in the securities held by the Fund is known as “portfolio turnover.” The Fund may engage in frequent and active trading of portfolio securities to achieve its investment objective, particularly during periods of volatile market movements. High portfolio turnover may involve correspondingly greater transaction costs, including brokerage commissions or dealer mark-ups and other transaction costs on the sale of securities and reinvestments in other securities,

 

   
       SEMIANNUAL REPORT     DECEMBER 31, 2021      79  

Notes to Financial Statements (Cont.)

 

 

 

which are borne by the Fund. Such sales may also result in realization of taxable capital gains, including short-term capital gains (which are generally taxed at ordinary income tax rates when distributed to shareholders). The transaction costs associated with portfolio turnover may adversely affect the Fund’s performance. The portfolio turnover rates are reported in the Financial Highlights.

 

Purchases and sales of securities (excluding short-term investments) for the period ended December 31, 2021, were as follows (amounts in thousands†):

 

U.S. Government/Agency      All Other  
Purchases      Sales      Purchases      Sales  
$   214,993      $   170,885      $   1,897,970      $   947,230  
        

 

† 

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

 

13. COMMON SHARES OFFERING

 

The Fund has authorized an unlimited number of Common Shares at a par value of $0.00001 per share.

 

Changes in common shares of beneficial interest were as follows (shares and amounts in thousands†):

 

      PIMCO Flexible Credit Income Fund (Consolidated)  
      Six Months Ended
12/31/2021		     Year Ended
06/30/2021		  
      Shares     Amount     Shares     Amount  

Receipts for shares sold

 

        

Institutional Class

       58,681     $   562,538       79,248     $   729,868  

Class A-1

       0       0       1 (a)      10 (a) 

Class A-2

       3,966       38,229       3,700       34,957  

Class A-3

       15,860       151,978       9,089 (b)      86,610 (b) 

Class A-4

       2,738       26,180       3,505       32,056  

Issued as reinvestment of distributions

 

        

Institutional Class

       3,163       30,156       3,304       30,630  

Class A-1

       0       0       0 (a)      0 (a) 

Class A-2

       145       1,377       66       621  

Class A-3

       483       4,600       95 (b)      914 (b) 

Class A-4

       380       3,621       495       4,574  

Cost of shares redeemed

 

      

Institutional Class

       (12,903 )      (124,388 )      (37,320 )      (335,824 ) 

Class A-1

       0       0       0 (a)      0 (a) 

Class A-2

       (6 )      (54 )      (316 )      (3,005 ) 

Class A-3

       (27 )      (256 )      0 (b)      0 (b) 

Class A-4

       (518 )      (4,990 )      (695 )      (6,207 ) 

Net increase (decrease) resulting from Fund share transactions

       71,962     $ 688,991       61,172     $ 575,204  

 

†

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

(a)

Inception date of Class A-1 was January 29, 2021.

(b)

Inception date of Class A-3 was November 9, 2020.

 

As of December 31, 2021, one shareholder owned 10% or more of the Fund’s total outstanding shares comprising 31% of the Fund.

 

 

80   PIMCO INTERVAL FUNDS       
        

 

(Unaudited)

December 31, 2021

 

 

14. REPURCHASE OFFERING

 

The Fund is an “interval fund” and, in order to provide liquidity to shareholders, the Fund, subject to applicable law, conducts quarterly repurchase offers of the Fund’s outstanding Common Shares at NAV, subject to approval of the Board. In all cases such repurchases will be for at least 5% and not more than 25% of its outstanding Common Shares at NAV, pursuant to Rule 23c-3 under the Act. The Fund currently expects to conduct quarterly repurchase offers for 5% of its outstanding Common Shares under ordinary circumstances. The Fund believes that these repurchase offers are generally beneficial to the Fund’s shareholders, and repurchases generally will be funded from available cash or sales of portfolio securities. However, repurchase offers and the need to fund repurchase obligations may affect the ability of the Fund to be fully invested or force the Fund to maintain a higher percentage of its assets in liquid investments, which may harm the Fund’s investment performance. Moreover, diminution in the size of the Fund through repurchases may result in untimely sales of portfolio securities (with associated imputed transaction costs, which may be significant), may limit the ability of the Fund to participate in new investment opportunities or to achieve its investment objective and will tend to increase the Fund’s expense ratio per Common Share for remaining shareholders. The Fund may accumulate cash by holding back (i.e., not reinvesting) payments received in connection with the Fund’s investments. The Fund believes that payments received in connection with the Fund’s investments will generate sufficient cash to meet the maximum potential amount of the Fund’s repurchase obligations. If at any time cash and other liquid assets held by the Fund are not sufficient to meet the Fund’s repurchase obligations, the Fund intends, if necessary, to sell investments. If, as expected, the Fund employs investment leverage, repurchases of Common Shares would compound the adverse effects of leverage in a declining market. In addition, if the Fund borrows to finance repurchases, interest on that borrowing will negatively affect Common shareholders who do not tender their Common Shares by increasing the Fund’s expenses and reducing any net investment income.

 

If a repurchase offer is oversubscribed, the Fund may determine to increase the amount repurchased by up to 2% of the Fund’s outstanding shares as of the date of the Repurchase Request Deadline (as defined in the Fund’s prospectus). In the event that the Fund determines not to repurchase more than the repurchase offer amount, or if shareholders tender more than the repurchase offer amount plus 2% of the Fund’s outstanding shares as of the date of the Repurchase Request Deadline, the Fund will repurchase the Common Shares tendered on a pro rata basis, and shareholders will have to wait until the next repurchase offer to make another repurchase request. As a result, shareholders may be unable to liquidate all or a given percentage of their investment in the Fund during a particular repurchase offer. Some shareholders, in anticipation of proration, may tender more Common Shares than they wish to have repurchased in a particular quarter, thereby increasing the likelihood that proration will occur. A shareholder may be subject to market and other risks, and the NAV of Common Shares tendered in a repurchase offer may decline between the Repurchase Request Deadline and the date on which the NAV for tendered Common Shares is determined. In addition, the repurchase of Common Shares by the Fund may be a taxable event to shareholders.

 

   
       SEMIANNUAL REPORT     DECEMBER 31, 2021      81  

Notes to Financial Statements (Cont.)

 

 

 

During the period ended December 31, 2021, the Fund engaged in repurchase offers as follows:

 

Repurchase Request Deadline         Repurchase Offer
Amount (as a
percentage of
outstanding shares)		     Number of Shares
Repurchased		     Percentage of
Outstanding Shares
Repurchased		  

August 5, 2021

                          
Institutional Class       5 %      6,642,762       3.22 % 
Class A-1       5       0       0.00  
Class A-2       5       0       0.00  
Class A-3       5       0       0.00  
Class A-4       5       201,665       1.64  

November 5, 2021

                          
Institutional Class       5       6,259,772       2.71  
Class A-1       5       0       0.00  
Class A-2       5       5,619       0.08  
Class A-3       5       26,598       0.13  
Class A-4       5       309,146       2.32  

 

15. BASIS FOR CONSOLIDATION

 

PFLEXLS I LLC, CLM 13648 LLC and MLM 13648 LLC (each a “Subsidiary” and, collectively, the “Subsidiaries”), each a Delaware limited liability company were formed as wholly owned subsidiaries acting as investment vehicles for the Fund in order to effect certain investments for the Fund consistent with the Fund’s investment objectives and policies in effect from time to time. The Fund’s investment portfolio has been consolidated and includes the portfolio holdings of the Fund and the Subsidiaries. Accordingly, the consolidated financial statements include the accounts of the Fund and the Subsidiaries. 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 Fund. See the table below for details regarding the structure and incorporation as of the period end of the Subsidiaries.

 

Subsidiary         Date of
Organization		     Subsidiary % of
Consolidated Fund
Net Assets		  
PFLEXLS I LLC       12/01/2017       0.6 % 
CLM 13648 LLC       03/29/2018       0.0  
MLM 13648 LLC        04/03/2018       0.3  

 

16. REGULATORY AND LITIGATION MATTERS

 

The Fund is not named as a defendant in any material litigation or arbitration proceedings and is not aware of any material litigation or claim pending or threatened against it.

 

The foregoing speaks only as of the date of this report.

 

82   PIMCO INTERVAL FUNDS       
        

 

(Unaudited)

December 31, 2021

 

 

17. FEDERAL INCOME TAX MATTERS

 

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

 

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

 

In accordance with U.S. GAAP, the Manager has reviewed the Fund’s tax positions for all open tax years. As of December 31, 2021, the Fund has recorded no liability for net unrecognized tax benefits relating to uncertain income tax positions it has taken or expects to take in future tax returns.

 

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

 

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 its last fiscal year ended June 30, 2021, the Fund had the following post-effective capital losses with no expiration (amounts in thousands†):

 

Short-Term     Long-Term  
$     30,264     $     77,309  

 

† 

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

 

As of December 31, 2021, the aggregate cost and the net unrealized appreciation/(depreciation) of investments for federal income tax purposes are as follows (amounts in thousands†):

 

Federal Tax
Cost		     Unrealized
Appreciation		     Unrealized
(Depreciation)		     Net Unrealized
Appreciation/
(Depreciation)(1)		  
$     4,692,337     $     239,212     $     (266,284)     $     (27,072)  

 

† 

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

(1) 

Primary differences, if any, between book and tax net unrealized appreciation/(depreciation) are attributable to wash sale loss deferrals for federal income tax purposes.

 

   
       SEMIANNUAL REPORT     DECEMBER 31, 2021      83  

Glossary: (abbreviations that may be used in the preceding statements)

 

(Unaudited)

 

Counterparty Abbreviations:            
BCY   

Barclays Capital, Inc.

   JML  

JP Morgan Securities Plc

  
BOA   

Bank of America N.A.

   MBC  

HSBC Bank Plc

  
BOS   

BofA Securities, Inc.

   MEI  

Merrill Lynch International

  
BPS   

BNP Paribas S.A.

   MSB  

Morgan Stanley Bank, N.A

  
BRC   

Barclays Bank PLC

   MYI  

Morgan Stanley & Co. International PLC

  
BYR   

The Bank of Nova Scotia - Toronto

   NOM  

Nomura Securities International Inc.

  
CBK   

Citibank N.A.

   RBC  

Royal Bank of Canada

  
CDC   

Natixis Securities Americas LLC

   RCE  

Royal Bank of Canada Europe Limited

  
CEW   

Canadian Imperial Bank of Commerce

   RDR  

RBC Capital Markets LLC

  
CIB   

Canadian Imperial Bank of Commerce

   RTA  

RBC (Barbados) Trading Bank Corp.

  
DBL   

Deutsche Bank AG London

   SBI  

Citigroup Global Markets Ltd.

  
FBF   

Credit Suisse International

   SCX  

Standard Chartered Bank, London

  
GLM   

Goldman Sachs Bank USA

   SGY  

Societe Generale, NY

  
GSC   

Goldman Sachs & Co. LLC

   SOG  

Societe Generale Paris

  
GST   

Goldman Sachs International

   UBS  

UBS Securities LLC

  
IND   

Crédit Agricole Corporate and Investment Bank S.A.

      
Currency Abbreviations:            
ARS   

Argentine Peso

   INR  

Indian Rupee

  
BRL   

Brazilian Real

   MXN  

Mexican Peso

  
CAD   

Canadian Dollar

   PEN  

Peruvian New Sol

  
CHF   

Swiss Franc

   PLN  

Polish Zloty

  
EUR   

Euro

   RUB  

Russian Ruble

  
GBP   

British Pound

   USD (or $)  

United States Dollar

  
IDR   

Indonesian Rupiah

   ZAR  

South African Rand

  
Exchange Abbreviations:            
OTC   

Over the Counter

      
Index/Spread Abbreviations:            
BADLARPP   

Argentina Badlar Floating Rate Notes

   PRIME  

Daily US Prime Rate

  
BP0003M   

3 Month GBP-LIBOR

   SONIO  

Sterling Overnight Interbank Average Rate

  
EUR003M   

3 Month EUR Swap Rate

   US0003M  

ICE 3-Month USD LIBOR

  
LIBOR03M   

3 Month USD-LIBOR

      
Other Abbreviations:            
ABS   

Asset-Backed Security

   Lunar  

Monthly payment based on 28-day periods. One year consists of 13 periods.

  
CDI   

Brazil Interbank Deposit Rate

   OIS  

Overnight Index Swap

  
CDO   

Collateralized Debt Obligation

   PIK  

Payment-in-Kind

  
CLO   

Collateralized Loan Obligation

   REMIC  

Real Estate Mortgage Investment Conduit

  
DAC   

Designated Activity Company

   TBA  

To-Be-Announced

  
EBITDA   

Earnings before Interest, Taxes, Depreciation and Amoritization

   TBD  

To-Be-Determined

  
EURIBOR   

Euro Interbank Offered Rate

   TBD%  

Interest rate to be determined when loan settles or at the time of funding

  
JIBAR   

Johannesburg Interbank Agreed Rate

   TIIE  

Tasa de Interés Interbancaria de Equilibrio “Equilibrium Interbank Interest Rate”

  
LIBOR   

London Interbank Offered Rate

   WIBOR  

Warsaw Interbank Offered Rate

  

 

84   PIMCO INTERVAL FUNDS       
        

Distribution Information

 

(Unaudited)

 

For purposes of Section 19 of the Investment Company Act of 1940 (the “Act”), the Fund estimated the periodic sources of any dividends paid during the period covered by this report in accordance with good accounting practice. Pursuant to Rule 19a-1(e) under the Act, the table below sets forth the actual source information for dividends paid during the six month period ended December 31, 2021 calculated as of each distribution period pursuant to Section 19 of the Act. The information below is not provided for U.S. federal income tax reporting purposes. The tax character of all dividends and distributions is reported on Form 1099-DIV (for shareholders who receive U.S. federal tax reporting) at the end of each calendar year.

 

See the Financial Highlights section of this report for the tax characterization of distributions determined in accordance with federal income tax regulations for the fiscal year.

 

PIMCO Flexible Credit Income Fund

 

Institutional Class         Net Investment
Income*		     Net Realized
Capital Gains*		     Paid-in Surplus or
Other Capital
Sources**		     Total (per
common share)		  
September 2021     $ 0.1950     $ 0.0000     $ 0.0000     $ 0.1950  
December 2021     $ 0.1993     $ 0.0000     $ 0.0000     $ 0.1993  
Class A-2         Net Investment
Income*		     Net Realized
Capital Gains*		     Paid-in Surplus or
Other Capital
Sources**		     Total (per
common share)		  
September 2021     $ 0.1831     $ 0.0000     $ 0.0000     $ 0.1831  
December 2021     $ 0.1861     $ 0.0000     $ 0.0000     $ 0.1861  
Class A-4         Net Investment
Income*		     Net Realized
Capital Gains*		     Paid-in Surplus or
Other Capital
Sources**		     Total (per
common share)		  
September 2021     $ 0.1766     $ 0.0000     $ 0.0000     $ 0.1766  
December 2021     $ 0.1805     $ 0.0000     $ 0.0000     $ 0.1805  
Class A-3         Net Investment
Income*		     Net Realized
Capital Gains*		     Paid-in Surplus or
Other Capital
Sources**		     Total (per
common share)		  
September 2021     $ 0.1766     $ 0.0000     $ 0.0000     $ 0.1766  
December 2021     $ 0.1805     $ 0.0000     $ 0.0000     $ 0.1805  
Class A-1         Net Investment
Income*		     Net Realized
Capital Gains*		     Paid-in Surplus or
Other Capital
Sources**		     Total (per
common share)		  
September 2021     $ 0.1831     $ 0.0000     $ 0.0000     $ 0.1831  
December 2021     $ 0.1861     $ 0.0000     $ 0.0000     $ 0.1861  

 

*

The source of dividends provided in the table differs, in some respects, from information presented in this report prepared in accordance with generally acceptedaccounting principles, or U.S. GAAP. For example, net earnings from certain interest rate swap contracts are included as a source of net investment income for purposes of Section 19(a). Accordingly, the information in the table may differ from information in the accompanying financial statements that are presented on the basis of U.S. GAAP and may differ from tax information presented in the footnotes. Amounts shown may include accumulated, as well as fiscal period net income and net profits.

**

Occurs when a fund distributes an amount greater than its accumulated net income and net profits. Amounts are not reflective of a fund’s net income, yield, earnings or investment performance.

 

   
       SEMIANNUAL REPORT     DECEMBER 31, 2021      85  

Changes to Board of Trustees

 

(Unaudited)

 

Effective December 31, 2021, Hans W. Kertess resigned from his position as Trustee of the Fund.

 

86   PIMCO INTERVAL FUNDS       
        

General Information

 

Investment Manager

Pacific Investment Management Company LLC

650 Newport Center Drive

Newport Beach, CA 92660

 

Distributor

PIMCO Investments 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

DST Asset Manager Solutions, Inc.

430 W. 7th Street, STE 219993

Kansas City, MO 64105-1407

 

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 Fund listed on the report cover.

LOGO

 

PIF4001SAR_123121

Item 2.

Code of Ethics.

The information required by this Item 2 is only required in an annual report on this Form N-CSR.

 

Item 3.

Audit Committee Financial Expert.

The information required by this Item 3 is only required in an annual report on this Form N-CSR.

 

Item 4.

Principal Accountant Fees and Services.

The information required by this Item 4 is only required in an annual report on this Form N-CSR.

 

Item 5.

Audit Committee of Listed Registrants.

The information required by this Item 5 is only required in an annual report on this Form N-CSR.

 

Item 6.

Schedule of Investments.

The information required by this Item 6 is included as part of the semiannual report to shareholders filed under Item 1 of this Form N-CSR.

 

Item 7.

Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

The information required by this Item 7 is only required in an annual report on this Form N-CSR.

 

Item 8.

Portfolio Managers of Closed-End Management Investment Companies.

 

  (a)

The information required by this Item 8(a) is only required in an annual report on this Form N-CSR.

 

  (b)

There have been no changes in any of the Portfolio Managers identified in the registrant’s previous annual report on Form N-CSR.

 

Item 9.

Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

None.

 

Item 10.

Submission of Matters to a Vote of Security Holders.

There have been no material changes to the procedures by which shareholders may recommend nominees to the Fund’s Board of Trustees since the Fund last provided disclosure in response to this item.

 

Item 11.

Controls and Procedures.

 

  (a)

The principal executive officer and principal financial & accounting officer have concluded as of a date within 90 days of the filing date of this report, based on their evaluation of the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the 1940 Act), that the design of such procedures is effective to provide reasonable assurance that material information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the time periods specified in the Commission’s rules and forms.

 

  (b)

There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the last fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 12.

Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

None.

 

Item 13.

Exhibits.

 

  (a)(1)

Exhibit 99.CODE—Code of Ethics is not applicable for semiannual reports.

 

  (a)(2)

Exhibit 99.CERT—Certifications pursuant to Section  302 of the Sarbanes-Oxley Act of 2002.

 

  (a)(3)

None.

 

  (a)(4)

There was no change in the registrant’s independent public accountant for the period covered by the report.

 

  (b)

Exhibit 99.906CERT—Certifications 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 Flexible Credit Income Fund
      By:  

/s/ Eric D. Johnson

 

        Eric D. Johnson
        President (Principal Executive Officer)
      Date:   March 4, 2022

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

      By:  

/s/ Eric D. Johnson

 

        Eric D. Johnson
        President (Principal Executive Officer)
      Date:   March 4, 2022

 

      By:  

/s/ Bijal Y. Parikh

 

        Bijal Y. Parikh
        Treasurer (Principal Financial & Accounting Officer)
      Date:   March 4, 2022