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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: 811-22758
PIMCO Dynamic Credit and Mortgage Income
Fund
(Exact name of registrant as specified in charter)
1633 Broadway, New York, NY 10019
(Address of principal executive offices)
William G. Galipeau
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, 2016
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.
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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).
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PIMCO Closed-End Funds
Semiannual Report
December 31, 2016
PCM Fund, Inc.
PIMCO Global StocksPLUS® & Income Fund
PIMCO Income Opportunity Fund
PIMCO Strategic Income Fund, Inc.
PIMCO Dynamic Credit and Mortgage Income Fund
(formerly PIMCO Dynamic Credit Income Fund)
PIMCO Dynamic Income Fund
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(1) | Consolidated Schedule of Investments |
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Letter from the Chairman of the Board & President
Dear Shareholder,
The global financial markets generated mixed results during the reporting period. Investor sentiment fluctuated as investors reacted to incoming economic data, shifting monetary policy, volatile commodity prices and numerous geopolitical issues.
For the six-month reporting period ended December 31, 2016
The U.S. economy continued to expand during the reporting period, although the pace was relatively modest overall. Looking back, U.S. gross domestic product (“GDP”), which represents the value of goods and services produced in the country, the broadest measure of economic activity and the principal indicator of economic performance, expanded at a 0.9% annual pace during the second quarter of 2016. GDP grew at a 3.5% annual pace during the third quarter — the strongest reading in two years. Finally, the Commerce Department’s initial reading — released after the reporting period had ended — showed that fourth quarter 2016 GDP grew at an annual pace of 1.9%.
At its meeting in December 2015, the Federal Reserve (“Fed”) took its initial step toward normalizing monetary policy. In particular, the Fed raised interest rates from a range between 0% and 0.25% to a range between 0.25% and 0.50%. During its first seven meetings in 2016, the Fed remained on hold as it monitored incoming economic data, as well as several geopolitical events. Then, in a well-telegraphed move, the Fed again raised interest rates in December 2016 to a range between 0.50% and 0.75%. In its official statement following the Fed’s December 2016 meeting it said, “The Committee expects that economic conditions will evolve in a manner that will warrant only gradual increases in the federal funds rate; the federal funds rate is likely to remain, for some time, below levels that are expected to prevail in the longer run. However, the actual path of the federal funds rate will depend on the economic outlook as informed by incoming data.”
Economic activity outside the U.S. was generally tepid during the reporting period. In the eurozone, growth was modest and inflation remained lower than the European Central Bank’s (“ECB”) target. As a result, the ECB maintained its highly accommodative monetary policy and extended the duration of its bond buying program through December 2017. In the aftermath of the United Kingdom’s decision to leave the European Union (“Brexit”), the Bank of England lowered rates in October 2016 from 0.50% to 0.25% — an all-time low. Elsewhere, uneven growth in Japan prompted the Bank of Japan to push the rate on current accounts that commercial banks hold to negative territory.
After weakness earlier in 2016, commodity prices generally stabilized and moved higher during the six months ended December 31, 2016. Crude oil rose from approximately $48 a barrel when the reporting period began to roughly $54 at the end of December 2016. Finally, foreign exchange markets fluctuated given economic data, decoupling central bank policy, Brexit and the surprise outcome from the U.S. November elections that propelled the U.S. dollar higher.
Outlook
PIMCO’s baseline view is for the aging U.S. economic expansion to continue during the remainder of 2017. PIMCO foresees U.S. GDP growth of 2%–2.5% in 2017, twice the annualized growth rate from the fourth quarter of 2015 through the second quarter of 2016, but below the 3.5% rate during the third quarter of 2016. PIMCO believes business investment will likely snap back, helped by higher energy prices and, eventually, more clarity on corporate tax reform. In PIMCO’s view, consumer spending will be supported by a further decline in unemployment, rising wages and expectations of personal income tax cuts to be enacted at the end of 2017. Meanwhile PIMCO expects headline Consumer Price Index (“CPI”) inflation to increase and to converge with core inflation above 2%, with the Fed raising interest rates two or three times during 2017 (with risks to the upside).
Overseas, PIMCO’s baseline view is for eurozone growth to be in a 1%–1.5% range as political uncertainty remains elevated ahead of crucial elections in France, Germany, the Netherlands and, potentially, in Italy. While PIMCO believes that headline inflation will rise above 1%, core inflation should make little headway toward the European
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Central Bank’s “below but close to 2%” objective. In the UK, PIMCO’s baseline view is for growth to moderate into a 0.75%–1.5% range, reflecting fairly robust momentum so far, but also the ongoing uncertainty over the impact of Brexit. PIMCO’s baseline view in Japan is that fiscal stimulus and recent yen weakening will propel GDP growth into a 0.75%–1.25% range in 2017. However, PIMCO believes inflation will remain subdued and significantly below the Bank of Japan’s 2% target. Finally, for China, PIMCO’s baseline view is that the public sector credit bubble and its private sector capital outflows will likely remain under control and growth will slow into a 6%–6.5% range as policymakers prioritize financial stability over economic stimulus ahead of the 19th National Party Congress in the fourth quarter of 2017.
In the following pages of this PIMCO Closed-End Funds Semiannual Report, please find specific details regarding investment performance and a discussion of factors that most affected the Funds’ performance over the six months ended December 31, 2016.
Thank you for investing with us. We value your trust and will continue to work diligently to meet your investment needs. If you have questions regarding any of your PIMCO Closed-End Funds investments, please contact your financial advisor or call the Funds’ shareholder servicing agent at (844) 33-PIMCO or (844) 337-4626. We also invite you to visit our website at www.pimco.com to learn more about our views.
Sincerely,
Hans W. Kertess | Peter G. Strelow | |
Chairman of the Board | President |
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Important Information About the Funds
We believe that bond funds have an important role to play in a well- diversified investment portfolio. It is important to note, however, that in an environment where interest rates trend upward, rising rates would negatively impact the performance of most bond funds, and fixed- income securities held by a Fund are likely to decrease in value. A number of factors can cause interest rates to rise (e.g., central bank monetary policies, inflation rates, general economic conditions, etc.). Accordingly, changes in interest rates can be sudden, and there is no guarantee that Fund Management will anticipate such movement. As of the date of this report, interest rates in the U.S. are at or near historically low levels. As such, bond funds may currently face an increased exposure to the risks associated with rising interest rates. This is especially true since the Federal Reserve Board has concluded its quantitative easing program and, at its meetings on December 16, 2015 and December 14, 2016, raised interest rates for the first time since 2006. Further, while the U.S. bond market has steadily grown over the past three decades, dealer inventories of corporate bonds have remained relatively stagnant. As a result, there has been a significant reduction in the ability of dealers to “make markets” in corporate bonds. All of the factors mentioned above, individually or collectively, could lead to increased volatility and/or lower liquidity in the fixed income markets, which could result in increased losses to a Fund. Bond funds and individual bonds with a longer duration (a measure of the sensitivity of a security’s price to changes in interest rates) tend to be more sensitive to changes in interest rates, usually making them more volatile than securities or funds with shorter durations. In addition, in the current low interest rate environment, the market price of the Funds’ common shares may be particularly sensitive to changes in interest rates or the perception that there will be a change in interest rates.
The use of derivatives may subject the Funds to greater volatility than investments in traditional securities. The Funds may use derivative instruments for hedging purposes or as part of an investment strategy. Use of these instruments may involve certain costs and risks such as liquidity risk, interest rate risk, market risk, call risk, credit risk, management risk and the risk that a Fund could not close out a position when it would be most advantageous to do so. Certain derivative transactions may have a leveraging effect on a Fund. For example, a small investment in a derivative instrument may have a significant impact on a Fund’s exposure to interest rates, currency exchange rates or other investments. As a result, a relatively small price movement in a derivative instrument may cause an immediate and substantial loss or gain, which translates into heightened volatility in a Fund’s net asset value (“NAV”). A Fund may engage in such transactions regardless of whether the Fund owns the asset, instrument or components of the index underlying a derivative instrument. A Fund may invest a significant portion of its assets in these types of instruments. If it does, a Fund’s investment exposure could far exceed
the value of its portfolio securities and its investment performance could be primarily dependent upon securities it does not directly own. Changes in regulation relating to a mutual fund’s use of derivatives and related instruments could potentially limit or impact a Fund’s ability to invest in derivatives, limit a Fund’s ability to employ certain strategies that use derivatives and adversely affect the value or performance of derivatives and a Fund. For instance, in December 2015, the SEC proposed new regulations applicable to mutual fund’s use of derivatives and related instruments. If adopted as proposed, these regulations could significantly limit or impact a fund’s ability to invest in derivatives and other instruments, limit a fund’s ability to employ certain strategies that use derivatives and adversely affect fund’s performance, efficiency in implementing its strategy, liquidity and ability to pursue its investment objectives.
PIMCO Global StocksPLUS® & Income Fund’s (“PGP”) monthly distributions are expected to include, among other possible sources, interest income from its debt portfolio and payments and premiums (characterized as capital for financial accounting purposes and as ordinary income for tax purposes) generated by certain types of interest rate derivatives.
Strategies involving interest rate derivatives may attempt to capitalize on differences between short-term and long-term interest rates as part of the PGP’s duration and yield curve active management strategies. For instance, in the event that long-term interest rates are higher than short-term interest rates, the Fund may elect to pay a floating short- term interest rate and to receive a long-term fixed interest rate for a stipulated period of time, thereby generating payments as a function of the difference between current short-term interest rates and long-term interest rates, so long as the floating short-term interest rate (which may rise) is lower than the fixed long-term interest rate.
PGP and other Funds may also enter into opposite sides of multiple interest rate swaps or other derivatives with respect to the same underlying reference instrument (e.g., a 10-year U.S. treasury) that have different effective dates with respect to interest accrual time periods for the principal purpose of generating distributable gains (characterized as ordinary income for tax purposes) and that are not part of the Fund’s duration or yield curve management strategies (“paired swap transactions”). In a paired swap transaction, a Fund would generally enter into one or more interest rate swap agreements whereby the Fund agrees to make regular payments starting at the time the Fund enters into the agreements equal to a floating interest rate in return for payments equal to a fixed interest rate (the “initial leg”). The Fund would also enter into one or more interest rate swap agreements on the same underlying instrument, but take the opposite position (i.e., in this example, the Fund would make regular payments equal to a fixed interest rate in return for receiving payments equal to a
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floating interest rate) with respect to a contract whereby the payment obligations do not commence until a date following the commencement of the initial leg (the “forward leg”).
A Fund’s income- and gain-generating strategies may generate current income and gains taxable as ordinary income sufficient to support monthly distributions even in situations when the Fund has experienced a decline in net assets due to, for example, adverse changes in the broad U.S. or non-U.S. equity markets or the Fund’s debt investments, or arising from its use of derivatives. For instance, a significant portion of PGP’s monthly distributions may be sourced from paired swap transactions utilized to produce current distributable ordinary income for tax purposes on the initial leg, with a substantial possibility that the Fund will later realize a corresponding capital loss and potential decline in its net asset value with respect to the forward leg (to the extent there are not corresponding offsetting capital gains being generated from other sources). Because some or all of these transactions may generate capital losses without corresponding offsetting capital gains, portions of a Fund’s distributions recognized as ordinary income for tax purposes (such as from paired swap transactions) may be economically similar to a taxable return of capital when considered together with such capital losses.
PGP’s index option strategy, to the extent utilized, seeks to generate payments and premiums from writing options that may offset some or all of the capital losses incurred as a result of paired swaps transactions. However, the Fund may use paired swap transactions to support monthly distributions where the index option strategy does not produce an equivalent amount of offsetting gains, including without limitation when such strategy is not being used to a significant extent. In addition, gains (if any) generated from the index option strategy may be offset by the Fund’s realized capital losses, including any available capital loss carryforwards. PGP currently has significant capital loss carryforwards, some of which will expire at particular dates, and to the extent that the Fund’s capital losses exceed capital gains, the Fund cannot use its capital loss carryforwards to offset capital gains.
The notional exposure of a Fund’s interest rate derivatives may represent a multiple of the Fund’s total net assets. There can be no assurance a Fund’s strategies involving interest rate derivatives will work as intended and such strategies are subject to the risks related to the use of derivatives generally, as discussed above (see also Notes 6 and 7 in the Notes to Financial Statements for further discussion on the use of derivative instruments and certain of the risks associated therewith).
A Fund’s use of leverage creates the opportunity for increased income for the Fund’s common shareholders, but also creates special risks. Leverage is a speculative technique that may expose a Fund to greater risk and increased costs. If shorter-term interest rates rise relative to the
rate of return on a Fund’s portfolio, the interest and other costs to the Fund of leverage could exceed the rate of return on the debt obligations and other investments held by the Fund, thereby reducing return to the Fund’s common shareholders. In addition, fees and expenses of any form of leverage used by a Fund will be borne entirely by its common shareholders (and not by preferred shareholders, if any) and will reduce the investment return of the Fund’s common shares. There can be no assurance that a Fund’s use of leverage will result in a higher yield on its common shares, and it may result in losses. Leverage creates several major types of risks for a Fund’s common shareholders, including: (1) the likelihood of greater volatility of net asset value and market price of the Fund’s common shares, and of the investment return to the Fund’s common shareholders, than a comparable portfolio without leverage; (2) the possibility either that the Fund’s common share dividends will fall if the interest and other costs of leverage rise, or that dividends paid on the Fund’s common shares will fluctuate because such costs vary over time; and (3) the effects of leverage in a declining market or a rising interest rate environment, as leverage is likely to cause a greater decline in the net asset value of the Fund’s common shares than if the Fund were not leveraged and may result in a greater decline in the market value of the Fund’s common shares.
A Fund’s investments in and exposure to foreign securities involve special risks. For example, the value of these investments may decline in response to unfavorable political and legal developments, unreliable or untimely information or economic and financial instability. Foreign securities may experience more rapid and extreme changes in value than investments in securities of U.S. issuers. The securities markets of certain foreign countries are relatively small, with a limited number of companies representing a small number of industries. Issuers of foreign securities are usually not subject to the same degree of regulation as U.S. issuers. Reporting, accounting, auditing and custody standards of foreign countries differ, in some cases significantly, from U.S. standards. Also, nationalization, expropriation or other confiscation, currency blockage, political changes or diplomatic developments could adversely affect a Fund’s investments in foreign securities. In the event of nationalization, expropriation or other confiscation, a Fund could lose its entire investment in foreign securities. Risks associated with investing in foreign securities may be increased when a Fund invests in emerging markets. For example, if a Fund invests in emerging market debt, it may face increased exposure to interest rate, liquidity, volatility, and redemption risk due to the specific economic, political, geographical, or legal background of the emerging market.
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, as applicable, risks associated with mortgage-related
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Important Information About the Funds (Cont.)
securities. In addition, in many cases loans are subject to the risks associated with below-investment grade securities. In the case of a loan participation or assignment, a Fund generally has no right to enforce compliance with the terms of the loan agreement with the borrower. As a result, a Fund may be subject to the credit risk of both the borrower and the lender that is selling the loan agreement. In the event of the insolvency of the lender selling a loan participation, a Fund may be treated as a general creditor of the lender and may not benefit from any set-off between the lender and the borrower. The Funds may be subject to heightened or additional risks and potential liabilities and costs by investing in mezzanine and other subordinated loans or acting as an originator of loans, including those arising under bankruptcy, fraudulent conveyance, equitable subordination, lender liability, environmental and other laws and regulations, and risks and costs associated with debt servicing and taking foreclosure actions associated with the loans. To the extent that a Fund originates a loan, it may be responsible for all or a substantial portion of the expenses associated with initiating the loan, irrespective of whether the loan transaction is ultimately consummated or closed. This may include significant legal and due diligence expenses, which will be indirectly borne by a Fund and its shareholders.
Mortgage-related and other asset-backed securities often involve risks that are different from or more acute than risks associated with other types of debt instruments. Generally, rising interest rates tend to extend the duration of fixed rate mortgage-related securities, making them more sensitive to changes in interest rates. As a result, in a period of rising interest rates, if a Fund holds mortgage-related securities, it may experience additional volatility since individual mortgage holders are less likely to exercise prepayment options, thereby putting additional downward pressure on the value of these securities and potentially causing the Fund to lose money. This is known as extension risk. Mortgage-backed securities can be highly sensitive to rising interest rates, such that even small movements can cause an investing Fund to lose value. Mortgage-backed securities, and in particular those not backed by a government guarantee, are subject to credit risk. In addition, adjustable and fixed rate mortgage-related securities are subject to prepayment risk. When interest rates decline, borrowers may pay off their mortgages sooner than expected. This can reduce the returns of the Funds because the Funds may have to reinvest that money at the lower prevailing interest rates. The Funds’ investments in other asset-backed securities are subject to risks similar to those associated with mortgage-related securities, as well as additional risks associated with the nature of the assets and the servicing of those assets. Payment of principal and interest on asset-backed securities may be largely dependent upon the cash flows generated by the assets backing the securities, and asset-backed securities may not have the benefit of any security interest in the related assets.
High-yield bonds (commonly referred to as “junk bonds”) typically have a lower credit rating than other bonds. Lower-rated bonds generally involve a greater risk to principal than higher-rated bonds. Further, markets for lower-rated bonds are typically less liquid than for higher rated bonds, and public information is usually less abundant in such markets. Thus, high yield investments increase the chance that a Fund will lose money on its investment. The Funds may also invest in bonds and other instruments that are not rated, but which PIMCO considers to be equivalent to high-yield investments. The Funds may hold defaulted securities that may involve special considerations including bankruptcy proceedings, other regulatory and legal restrictions affecting the Funds’ ability to trade, and the availability of prices from independent pricing services or dealer quotations. Defaulted securities are often illiquid and may not be actively traded. Sale of securities in bankrupt companies at an acceptable price may be difficult and differences compared to the value of the securities used by the Funds could be material.
Variable and floating rate securities generally are less sensitive to interest rate changes but may decline in value if their interest rates do not rise as much, or as quickly, as interest rates in general. Conversely floating rate securities will not generally increase in value if interest rates decline. Inverse floating rate securities may decrease in value if interest rates increase. Inverse floating rate securities may also exhibit greater price volatility than a fixed rate obligation with similar credit quality. When a Fund holds variable or floating rate securities, a decrease (or, in the case of inverse floating rate securities, an increase) in market interest rates will adversely affect the income received from such securities and the NAV of the Funds’ shares.
The global economic crisis brought several small economies in Europe to the brink of bankruptcy and many other economies into recession and weakened the banking and financial sectors of many European countries. For example, the governments of Greece, Spain, Portugal, and the Republic of Ireland have all experienced large public budget deficits, the effects of which are still yet unknown and may slow the overall recovery of the European economies from the global economic crisis. In addition, due to large public deficits, some European countries may be dependent on assistance from other European governments and institutions or other central banks or supranational agencies such as the International Monetary Fund. Assistance may be dependent on a country’s implementation of reforms or reaching a certain level of performance. Failure to reach those objectives or an insufficient level of assistance could result in a deep economic downturn which could significantly affect the value of a Fund’s European investments. It is possible that one or more Economic and Monetary Union of the European Union (“EMU”) member countries could abandon the euro and return to a national currency and/or that the euro will cease to
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exist as a single currency in its current form. The exit of any country out of the euro may have an extremely destabilizing effect on other eurozone countries and their economies and a negative effect on the global economy as a whole. Such an exit by one country may also increase the possibility that additional countries may exit the euro should they face similar financial difficulties. In June 2016, the United Kingdom approved a referendum to leave the European Union. Significant uncertainty remains in the market regarding the ramifications of that development, and the range and potential implications of possible political, regulatory, economic and market outcomes are difficult to predict.
As the use of technology has become more prevalent in the course of business, the Funds have become potentially more susceptible to operational risks through breaches in cyber security. A breach in cyber security refers to both intentional and unintentional cyber events that may cause a Fund to lose proprietary information, suffer data corruption, or lose operational capacity. Cyber security breaches may involve unauthorized access to a Fund’s digital information systems (e.g., through “hacking” or malicious software coding), but may also result from outside attacks such as denial-of-service attacks (i.e., efforts to make network services unavailable to intended users). In addition, cyber security breaches of a Fund’s third party service providers (including but not limited to advisers, sub-advisers, administrators, transfer agents, custodians, distributors and other third parties) or issuers that a Fund invests in can also subject a Fund to many of the same risks associated with direct cyber security breaches. Cyber security failures or breaches may result in financial losses to a Fund and its shareholders. These failures or breaches may also result in disruptions to business operations, potentially resulting in financial losses; interference with a Fund’s ability to calculate its 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; or additional compliance costs. In addition, substantial costs may be incurred in order to prevent any cyber incidents in the future. Like with operational risk in general, the Funds have established risk management systems designed to reduce the risks associated with cyber security. However, there is no guarantee that such efforts will succeed, especially since the Funds do not directly control the cyber security systems of issuers or third party service providers. The Funds and their shareholders could be negatively impacted as a result.
The Funds may invest in securities and instruments that are economically tied to Russia. Investments in Russia are subject to various risks such as political, economic, legal, market and currency risks. The risks include uncertain political and economic policies, short
term market volatility, poor accounting standards, corruption and crime, an inadequate regulatory system, and unpredictable taxation. Investments in Russia are particularly subject to the risk that economic sanctions may be imposed by the United States and/or other countries. Such sanctions — which may impact companies in many sectors, including energy, financial services and defense, among others — may negatively impact the Funds’ performance and/or ability to achieve their investment objectives. The Russian securities market is characterized by limited volume of trading, resulting in difficulty in obtaining accurate prices. The Russian securities market, as compared to U.S. markets, has significant price volatility, less liquidity, a smaller market capitalization and a smaller number of traded securities. There may be little publicly available information about issuers. Settlement, clearing and registration of securities transactions are subject to risks because of registration systems that may not be subject to effective government supervision. This may result in significant delays or problems in registering the transfer of securities. Russian securities laws may not recognize foreign nominee accounts held with a custodian bank, and therefore the custodian may be considered the ultimate owner of securities they hold for their clients. Ownership of securities issued by Russian companies is recorded by companies themselves and by registrars instead of through a central registration system. It is possible that the ownership rights of the Funds could be lost through fraud or negligence. While applicable Russian regulations impose liability on registrars for losses resulting from their errors, it may be difficult for the Funds to enforce any rights it may have against the registrar or issuer of the securities in the event of loss of share registration. Adverse currency exchange rates are a risk and there may be a lack of available currency hedging instruments. Investments in Russia may be subject to the risk of nationalization or expropriation of assets. Oil, natural gas, metals, and timber account for a significant portion of Russia’s exports, leaving the country vulnerable to swings in world prices.
The common shares of the Funds trade on the New York Stock Exchange. As with any stock, the price of a Fund’s common shares will fluctuate with market conditions and other factors. If you sell your common shares of a Fund, the price received may be more or less than your original investment. Shares of closed-end management investment companies frequently trade at a discount from their net asset value. The common shares of a Fund may trade at a price that is less than the initial offering price and/or the net asset value of such shares. Further, if a Fund’s shares trade at a price that is more than the initial offering price and/or the net asset value of such shares, including at a substantial premium and/or for an extended period of time, there is no assurance that any such premium will be sustained for any period of time and will not decrease, or that the shares will not trade at a discount to net asset value thereafter.
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Important Information About the Funds (Cont.)
The Funds may be subject to various risks in addition to those described above. Some of these risks may include, but are not limited to, the following: asset allocation risk, credit risk, stressed securities risk, distressed and defaulted securities risk, corporate bond risk, market risk, issuer risk, liquidity risk, equity securities and related market risk, mortgage-related and other asset-backed securities risk, extension risk, prepayment risk, privately issued mortgage-related securities risk, mortgage market/ subprime risk, foreign (non-U.S.) investment risk, emerging markets risk, currency risk, redenomination risk, non- diversification risk, management risk, municipal bond risk, inflation- indexed security risk, senior debt risk, loans, participations and assignments risk, reinvestment risk, real estate risk, U.S. Government securities risk, foreign (non-U.S.) government securities risk, valuation risk, segregation and cover risk, focused investment risk, credit default swaps risk, event-linked securities risk, counterparty risk, preferred securities risk, confidential information access risk, other investment companies risk, private placements risk, inflation/deflation risk, regulatory risk, tax risk, recent economic conditions risk, market disruptions and geopolitical risk, potential conflicts of interest involving allocation of investment opportunities, repurchase agreements risk, securities lending risk, zero-coupon bond and payment-in-kind securities risk, portfolio turnover risk, smaller company risk, short sale risk and convertible securities risk. A description of certain of these risks is available in the Notes to Financial Statements of this Report.
On each Fund Summary page in this Shareholder Report, the Average Annual Total Return table measures performance assuming that all dividend and capital gain distributions were reinvested. Total return is calculated by determining the percentage change in NAV or market price (as applicable) in the specified period. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total return for a period of more than one year represents the average annual total return. Performance at market price will differ from results at NAV. Although market price returns tend to reflect investment results over time, during shorter periods returns at market price can also be influenced by factors such as changing views about a Fund, market conditions, supply and demand for the Fund’s shares, or changes in the Fund’s dividends. Performance shown is net of fees and expenses.
The following table discloses the commencement of operations and diversification status of each Fund:
Fund Name | Commencement of Operations | Diversification Status | ||||||||
PCM Fund, Inc. | 09/02/93 | Diversified | ||||||||
PIMCO Global StocksPLUS® & Income Fund | 05/31/05 | Diversified | ||||||||
PIMCO Income Opportunity Fund | 11/30/07 | Diversified | ||||||||
PIMCO Strategic Income Fund, Inc. | 02/24/94 | Diversified | ||||||||
PIMCO Dynamic Credit and Mortgage Income Fund | 01/31/13 | Diversified | ||||||||
PIMCO Dynamic Income Fund | 05/30/12 | Diversified |
An investment in a Fund is not a deposit of a bank and is not guaranteed or insured by the Federal Deposit Insurance Corporation or any other government agency. It is possible to lose money on investments in the Funds.
The Trustees/Directors1 are responsible generally for overseeing the management of the Funds. The Trustees authorize the Funds to enter into service agreements with the Investment Manager and other service providers in order to provide, and in some cases authorize service providers to procure through other parties, necessary or desirable services on behalf of the Funds. Shareholders are not parties to or third-party beneficiaries of such service agreements. Neither a Fund’s original or any subsequent prospectus or Statement of Additional Information (SAI), any press release or shareholder report, any contracts filed as exhibits to a Fund’s registration statement, nor any other communications, disclosure documents or regulatory filings from or on behalf of a Fund creates a contract between or among any shareholder of a Fund, on the one hand, and the Fund, a service provider to the Fund, and/or the Trustees or officers of the Fund, on the other hand. The Trustees (or the Funds and their officers, service providers or other delegates acting under authority of the Trustees) may amend its most recent or use a new prospectus or SAI with respect to a Fund, adopt and disclose new or amended policies and other changes in press releases and shareholder reports and/or amend, file and/or issue any other communications, disclosure documents or regulatory filings, and may amend or enter into any contracts to which a Fund is a party, and interpret the investment objective(s), policies, restrictions and contractual provisions applicable to any Fund, without shareholder input or approval, except in circumstances in which shareholder approval is specifically required by law (such as changes to fundamental investment policies) or where a shareholder approval requirement was specifically disclosed in a Fund’s prospectus, SAI or shareholder report and is otherwise still in effect.
PIMCO has adopted written proxy voting policies and procedures (“Proxy Policy”) as required by Rule 206(4)-6 under the Investment Advisers Act of 1940. The Proxy Policy has been adopted by the Funds as the policies and procedures that PIMCO will use when voting proxies on behalf of the Funds. A description of the policies and procedures that PIMCO uses to vote proxies relating to portfolio securities of each Fund, and information about how each Fund voted proxies relating to portfolio securities held during the most recent twelve-month period ended June 30, are available without charge, upon request, by calling the Funds at (844) 33-PIMCO (844-337-4626), on the Funds’ website at www.pimco.com, and on the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.
1 | Hereinafter, the terms “Trustee” or “Trustees” used herein shall refer to a Director or Directors of applicable Funds. |
8 | PIMCO CLOSED-END FUNDS |
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Each Fund files a complete schedule of its portfolio holdings with the SEC for the first and third quarters of its fiscal year on Form N-Q. A copy of each Fund’s Form N-Q is available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C., and is available without charge, upon request by calling the Funds at (844) 33-PIMCO (844-337-4626) and on the Funds’ website at www.pimco.com.
Updated portfolio holdings information about a Fund will be available at www.pimco.com approximately 15 calendar days after such Fund’s most recent fiscal quarter end, and will remain accessible until such Fund files a Form N-Q or a shareholder report for the period which includes the date of the information. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
SEMIANNUAL REPORT | DECEMBER 31, 2016 | 9 |
Table of Contents
Symbol on NYSE - PCM |
Allocation Breakdown as of 12/31/2016†§
Non-Agency Mortgage-Backed Securities | 38.7% | |||
Asset-Backed Securities | 37.5% | |||
Corporate Bonds & Notes | 16.1% | |||
Short-Term Instruments | 3.6% | |||
Bank Loan Obligations | 2.3% | |||
Other | 1.8% |
† | % of Investments, at value. |
§ | Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any. |
Fund Information (as of December 31, 2016)(1)
Market Price | $10.00 | |||
NAV | $9.63 | |||
Premium/(Discount) to NAV | 3.84% | |||
Market Price Distribution Yield(2) | 9.60% | |||
NAV Distribution Yield(2) | 9.97% | |||
Total Effective Leverage(3) | 46% |
Average Annual Total Return(1) for the period ended December 31, 2016 | ||||||||||||||||||||
6 Month* | 1 Year | 5 Year | 10 Year | Commencement of Operations (09/02/93) | ||||||||||||||||
Market Price | 13.61% | 25.71% | 9.59% | 8.07% | 8.61% | |||||||||||||||
NAV | 9.50% | 13.85% | 11.66% | 9.98% | 9.00% |
All Fund returns are net of fees and expenses.
* Cumulative return
(1) | Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Total return, market price, NAV, market price distribution yield, and NAV distribution yield will fluctuate with changes in market conditions. For performance current to the most recent month-end, visit www.pimco.com or call (844) 33-PIMCO. |
(2) | Distribution yields are not performance and are calculated by annualizing the most recent distribution per share and dividing by the NAV or Market Price, as applicable, as of the reported date. Distributions may be comprised of ordinary income, net capital gains, and/or a return of capital (ROC) of your investment in the Fund. Because the distribution rate may include a ROC, it should not be confused with yield or income. If the Fund estimates that a portion of its distribution may be comprised of amounts from sources other than net investment income, the Fund will notify shareholders of the estimated composition of such distribution through a Section 19 Notice. Please refer to the most recent Section 19 Notice, if applicable, for additional information regarding the composition of distributions. Please visit www.pimco.com for most recent Section 19 Notice, if applicable. Final determination of a distribution’s tax character will be made on Form 1099 DIV sent to shareholders each January. |
(3) | Represents total effective leverage outstanding, as a percentage of total managed assets. Total effective leverage consists of preferred shares, reverse repurchase agreements and other borrowings, credit default swap notional and floating rate notes issued in tender option bond transactions, as applicable (collectively “Total Effective Leverage”). The Fund may engage in other transactions not included in Total Effective Leverage disclosed above that may give rise to a form of leverage, including certain derivative transactions. For the purpose of calculating Total Effective Leverage outstanding as a percentage of total managed assets, total managed assets refer to total assets (including assets attributable to Total Effective Leverage that may be outstanding) minus accrued liabilities (other than liabilities representing Total Effective Leverage). |
Investment Objective and Strategy Overview
PCM’s primary investment objective is to seek to achieve high current income. Capital gains from the disposition of investments are a secondary objective of the Fund.
Fund Insights at NAV
The following impacted performance during the reporting period:
» | The Fund’s exposure to non-agency mortgage-backed securities contributed to performance, as the sector had positive returns. |
» | The Fund’s exposure to high yield industrials contributed to performance, as the sector had positive returns. |
» | The Fund’s exposure to high yield financials contributed to performance, as the sector had positive returns. |
» | The Fund’s selection of commercial mortgage-backed securities (CMBS) contributed to performance, as select subordinated issues outperformed the broader CMBS sector. |
» | The Fund’s U.S. duration exposure detracted from performance, as U.S. interest rates increased. |
» | The Fund’s selection of high yield utilities issues detracted modestly from performance, as select issuers underperformed the broader high yield utilities sector. |
10 | PIMCO CLOSED-END FUNDS |
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PIMCO Global StocksPLUS® & Income Fund
Symbol on NYSE - PGP |
Allocation Breakdown as of 12/31/2016†§
Non-Agency Mortgage-Backed Securities | 37.5% | |||
Corporate Bonds & Notes | 36.3% | |||
Short-Term Instruments | 13.5% | |||
Asset-Backed Securities | 7.8% | |||
U.S. Government Agencies | 1.5% | |||
Other | 3.4% |
† | % of Investments, at value. |
§ | Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any. |
Fund Information (as of December 31, 2016)(1)
Market Price | $14.07 | |||
NAV | $10.11 | |||
Premium/(Discount) to NAV | 39.17% | |||
Market Price Distribution Yield(2) | 12.51% | |||
NAV Distribution Yield(2) | 17.41% | |||
Total Effective Leverage(3) | 44% |
Average Annual Total Return(1) for the period ended December 31, 2016 | ||||||||||||||||||||
6 Month* | 1 Year | 5 Year | 10 Year | Commencement of Operations (05/31/05) | ||||||||||||||||
Market Price | (23.67)% | (12.45)% | 5.55% | 7.96% | 9.46% | |||||||||||||||
NAV | 14.49% | 14.82% | 17.43% | 10.16% | 11.58% |
All Fund returns are net of fees and expenses.
* Cumulative return
(1) | Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Total return, market price, NAV, market price distribution yield, and NAV distribution yield will fluctuate with changes in market conditions. For performance current to the most recent month-end, visit www.pimco.com or call (844) 33-PIMCO. |
(2) | Distribution yields are not performance and are calculated by annualizing the most recent distribution per share and dividing by the NAV or Market Price, as applicable, as of the reported date. Distributions may be comprised of ordinary income, net capital gains, and/or a return of capital (ROC) of your investment in the Fund. Because the distribution rate may include a ROC, it should not be confused with yield or income. If the Fund estimates that a portion of its distribution may be comprised of amounts from sources other than net investment income, the Fund will notify shareholders of the estimated composition of such distribution through a Section 19 Notice. Please refer to the most recent Section 19 Notice, if applicable, for additional information regarding the composition of distributions. Please visit www.pimco.com for most recent Section 19 Notice, if applicable. Final determination of a distribution’s tax character will be made on Form 1099 DIV sent to shareholders each January. |
(3) | Represents total effective leverage outstanding, as a percentage of total managed assets. Total effective leverage consists of preferred shares, reverse repurchase agreements and other borrowings, credit default swap notional and floating rate notes issued in tender option bond transactions, as applicable (collectively “Total Effective Leverage”). The Fund may engage in other transactions not included in Total Effective Leverage disclosed above that may give rise to a form of leverage, including certain derivative transactions. For the purpose of calculating Total Effective Leverage outstanding as a percentage of total managed assets, total managed assets refer to total assets (including assets attributable to Total Effective Leverage that may be outstanding) minus accrued liabilities (other than liabilities representing Total Effective Leverage). |
Investment Objective and Strategy Overview
PIMCO Global StocksPLUS® & Income Fund’s primary investment objective is to seek total return comprised of current income, current gains and long-term capital appreciation.
Fund Insights at NAV
The following impacted performance during the reporting period:
» | The Fund’s exposure to equity index derivatives linked to the S&P 500 Index contributed to performance, as the S&P 500 Index returned 7.82%. |
» | The Fund’s exposure to equity index derivatives linked to the MSCI EAFE Index contributed to performance, as the MSCI EAFE Index returned 5.67%. |
» | The Fund’s exposure to high yield corporate credit contributed to performance, as the Bloomberg Barclays U.S. Corporate High Yield Index returned 7.40%. |
» | The Fund’s exposure to non-agency mortgage-backed securities contributed to performance. The Markit iBoxx Broad U.S. Non-Agency RMBS USD Index gained 11.66%. |
» | The Fund’s exposure to U.S. dollar-denominated Brazilian corporate debt contributed to performance, as the JPMorgan Brazil CEMBI returned 9.54%. |
» | The Fund’s exposure to a defensive equity options strategy on the S&P 500 Index detracted from performance, as the S&P 500 Index returned 7.82%. |
» | The Fund’s exposure to U.S. duration detracted from performance, as Treasury yields increased. |
SEMIANNUAL REPORT | DECEMBER 31, 2016 | 11 |
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Symbol on NYSE - PKO |
Allocation Breakdown as of 12/31/2016†§
Corporate Bonds & Notes | 32.6% | |||
Asset-Backed Securities | 28.5% | |||
Non-Agency Mortgage-Backed Securities | 26.2% | |||
Short-Term Instruments | 4.2% | |||
Convertible Preferred Securities | 3.0% | |||
Other | 5.5% |
† | % of Investments, at value. |
§ | Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any. |
Fund Information (as of December 31, 2016)(1)
Market Price | $23.16 | |||
NAV | $23.30 | |||
Premium/(Discount) to NAV | (0.60)% | |||
Market Price Distribution Yield(2) | 9.84% | |||
NAV Distribution Yield(2) | 9.79% | |||
Total Effective Leverage(3) | 43% |
Average Annual Total Return(1) for the period ended December 31, 2016 | ||||||||||||||||
6 Month* | 1 Year | 5 Year | Commencement of Operations (11/30/07) | |||||||||||||
Market Price | 7.31% | 22.96% | 10.50% | 11.28% | ||||||||||||
NAV | 9.91% | 15.29% | 12.37% | 11.90% |
All Fund returns are net of fees and expenses.
* Cumulative return
(1) | Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Total return, market price, NAV, market price distribution yield, and NAV distribution yield will fluctuate with changes in market conditions. For performance current to the most recent month-end, visit www.pimco.com or call (844) 33-PIMCO. |
(2) | Distribution yields are not performance and are calculated by annualizing the most recent distribution per share and dividing by the NAV or Market Price, as applicable, as of the reported date. Distributions may be comprised of ordinary income, net capital gains, and/or a return of capital (ROC) of your investment in the Fund. Because the distribution rate may include a ROC, it should not be confused with yield or income. If the Fund estimates that a portion of its distribution may be comprised of amounts from sources other than net investment income, the Fund will notify shareholders of the estimated composition of such distribution through a Section 19 Notice. Please refer to the most recent Section 19 Notice, if applicable, for additional information regarding the composition of distributions. Please visit www.pimco.com for most recent Section 19 Notice, if applicable. Final determination of a distribution’s tax character will be made on Form 1099 DIV sent to shareholders each January. |
(3) | Represents total effective leverage outstanding, as a percentage of total managed assets. Total effective leverage consists of preferred shares, reverse repurchase agreements and other borrowings, credit default swap notional and floating rate notes issued in tender option bond transactions, as applicable (collectively “Total Effective Leverage”). The Fund may engage in other transactions not included in Total Effective Leverage disclosed above that may give rise to a form of leverage, including certain derivative transactions. For the purpose of calculating Total Effective Leverage outstanding as a percentage of total managed assets, total managed assets refer to total assets (including assets attributable to Total Effective Leverage that may be outstanding) minus accrued liabilities (other than liabilities representing Total Effective Leverage). |
Investment Objective and Strategy Overview
PIMCO Income Opportunity Fund’s investment objective is to seek current income as a primary focus and also capital appreciation.
Fund Insights at NAV
The following impacted performance during the reporting period:
» | The Fund’s exposure to non-agency mortgage-backed securities contributed to performance, as the sector had positive returns. |
» | The Fund’s exposure to high yield corporates contributed to performance, as the sector had positive returns. |
» | The Fund’s selection of commercial mortgage-backed securities (CMBS) contributed to performance, as select subordinated issues outperformed the broader CMBS sector. |
» | The Fund’s selection of collateralized loan obligations (CLOs) contributed to performance, as select senior tranches outperformed the broader CLO sector. |
» | The Fund’s exposure to U.S. dollar-denominated Brazilian corporate debt contributed to performance, as the asset class had positive returns. |
» | The Fund’s exposure to U.S. dollar-denominated Russian corporate debt contributed to performance, as the asset class had positive returns. |
» | The Fund’s U.S. duration exposure detracted from performance, as U.S. interest rates increased. |
» | The Fund’s exposure to the middle of the Australian and U.K. yield curves detracted modestly from performance, as intermediate term interest rates increased in those countries. |
12 | PIMCO CLOSED-END FUNDS |
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PIMCO Strategic Income Fund, Inc.
Symbol on NYSE - RCS |
Allocation Breakdown as of 12/31/2016†§
U.S. Government Agencies | 59.9% | |||
Non-Agency Mortgage-Backed Securities | 14.7% | |||
Corporate Bonds & Notes | 8.3% | |||
U.S. Treasury Obligations | 6.7% | |||
Asset-Backed Securities | 6.1% | |||
Short-Term Instruments | 3.3% | |||
Other | 1.0% |
† | % of Investments, at value. |
§ | Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any. |
Fund Information (as of December 31, 2016)(1)
Market Price | $8.79 | |||
NAV | $7.66 | |||
Premium/(Discount) to NAV | 14.75% | |||
Market Price Distribution Yield(2) | 10.92% | |||
NAV Distribution Yield(2) | 12.53% | |||
Total Effective Leverage(3) | 28% |
Average Annual Total Return(1) for the period ended December 31, 2016 | ||||||||||||||||||||
6 Month* | 1 Year | 5 Year | 10 Year | Commencement of Operations (02/24/94) | ||||||||||||||||
Market Price | (3.62)% | 9.33% | 6.38% | 10.44% | 8.95% | |||||||||||||||
NAV | 3.24% | 7.82% | 10.25% | 10.48% | 8.58% |
All Fund returns are net of fees and expenses.
* Cumulative return
(1) | Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Total return, market price, NAV, market price distribution yield, and NAV distribution yield will fluctuate with changes in market conditions. For performance current to the most recent month-end, visit www.pimco.com or call (844) 33-PIMCO. |
(2) | Distribution yields are not performance and are calculated by annualizing the most recent distribution per share and dividing by the NAV or Market Price, as applicable, as of the reported date. Distributions may be comprised of ordinary income, net capital gains, and/or a return of capital (ROC) of your investment in the Fund. Because the distribution rate may include a ROC, it should not be confused with yield or income. If the Fund estimates that a portion of its distribution may be comprised of amounts from sources other than net investment income, the Fund will notify shareholders of the estimated composition of such distribution through a Section 19 Notice. Please refer to the most recent Section 19 Notice, if applicable, for additional information regarding the composition of distributions. Please visit www.pimco.com for most recent Section 19 Notice, if applicable. Final determination of a distribution’s tax character will be made on Form 1099 DIV sent to shareholders each January. |
(3) | Represents total effective leverage outstanding, as a percentage of total managed assets. Total effective leverage consists of preferred shares, reverse repurchase agreements and other borrowings, credit default swap notional and floating rate notes issued in tender option bond transactions, as applicable (collectively “Total Effective Leverage”). The Fund may engage in other transactions not included in Total Effective Leverage disclosed above that may give rise to a form of leverage, including certain derivative transactions. For the purpose of calculating Total Effective Leverage outstanding as a percentage of total managed assets, total managed assets refer to total assets (including assets attributable to Total Effective Leverage that may be outstanding) minus accrued liabilities (other than liabilities representing Total Effective Leverage). |
Investment Objective and Strategy Overview
The primary investment objective of PIMCO Strategic Income Fund, Inc. is to generate a level of income that is higher than that generated by high quality, intermediate-term U.S. debt securities. The Fund also seeks capital appreciation to the extent consistent with this objective.
Fund Insights at NAV
The following impacted performance during the reporting period:
» | The Fund’s exposure to non-agency mortgage-backed securities contributed to performance, as the sector had positive returns. |
» | The Fund’s exposure to agency mortgage-backed securities contributed to performance, as select positions outperformed during the reporting period. |
» | The Fund’s exposure to high yield corporates contributed to performance, as the sector had positive returns. |
» | The Fund’s selection of European residential mortgage-backed securities (RMBS) contributed to performance, as select prime and non-conforming issues outperformed the broader European RMBS sector. |
» | The Fund’s selection of commercial mortgage-backed securities (CMBS) contributed to performance, as select subordinated issues outperformed the broader CMBS sector. |
» | The Fund’s exposure to U.S. dollar-denominated Brazilian corporate debt contributed to performance, as the asset class had positive returns. |
» | The Fund’s exposure to U.S. dollar-denominated Russian corporate debt contributed to performance, as the asset class had positive returns. |
» | The Fund’s U.S. duration exposure detracted from performance, as U.S. interest rates increased. |
» | The Fund’s selection of agency collateralized mortgage obligations (CMOs) detracted from performance, as select interest-only bonds underperformed the broader CMO sector. |
SEMIANNUAL REPORT | DECEMBER 31, 2016 | 13 |
Table of Contents
PIMCO Dynamic Credit and Mortgage Income Fund
Symbol on NYSE - PCI |
Allocation Breakdown as of 12/31/2016†§
Asset-Backed Securities | 43.9% | |||
Non-Agency Mortgage-Backed Securities | 27.4% | |||
Corporate Bonds & Notes | 20.2% | |||
Short-Term Instruments | 5.7% | |||
Bank Loan Obligations | 1.5% | |||
Other | 1.3% |
† | % of Investments, at value. |
§ | Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any. |
Fund Information (as of December 31, 2016)(1)
Market Price | $20.22 | |||
NAV | $21.25 | |||
Premium/(Discount) to NAV | (4.85)% | |||
Market Price Distribution Yield(2) | 9.74% | |||
NAV Distribution Yield(2) | 9.26% | |||
Total Effective Leverage(3) | 46% |
Average Annual Total Return(1) for the period ended December 31, 2016 | ||||||||||||
6 Month* | 1 Year | Commencement of Operations (01/31/13) | ||||||||||
Market Price | 14.39% | 28.12% | 5.76% | |||||||||
NAV | 12.15% | 17.91% | 7.58% |
All Fund returns are net of fees and expenses.
* Cumulative return
(1) | Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Total return, market price, NAV, market price distribution yield, and NAV distribution yield will fluctuate with changes in market conditions. For performance current to the most recent month-end, visit www.pimco.com or call (844) 33-PIMCO. |
(2) | Distribution yields are not performance and are calculated by annualizing the most recent distribution per share and dividing by the NAV or Market Price, as applicable, as of the reported date. Distributions may be comprised of ordinary income, net capital gains, and/or a return of capital (ROC) of your investment in the Fund. Because the distribution rate may include a ROC, it should not be confused with yield or income. If the Fund estimates that a portion of its distribution may be comprised of amounts from sources other than net investment income, the Fund will notify shareholders of the estimated composition of such distribution through a Section 19 Notice. Please refer to the most recent Section 19 Notice, if applicable, for additional information regarding the composition of distributions. Please visit www.pimco.com for most recent Section 19 Notice, if applicable. Final determination of a distribution’s tax character will be made on Form 1099 DIV sent to shareholders each January. |
(3) | Represents total effective leverage outstanding, as a percentage of total managed assets. Total effective leverage consists of preferred shares, reverse repurchase agreements and other borrowings, credit default swap notional and floating rate notes issued in tender option bond transactions, as applicable (collectively “Total Effective Leverage”). The Fund may engage in other transactions not included in Total Effective Leverage disclosed above that may give rise to a form of leverage, including certain derivative transactions. For the purpose of calculating Total Effective Leverage outstanding as a percentage of total managed assets, total managed assets refer to total assets (including assets attributable to Total Effective Leverage that may be outstanding) minus accrued liabilities (other than liabilities representing Total Effective Leverage). |
Investment Objective and Strategy Overview
PIMCO Dynamic Credit and Mortgage Income Fund’s (formerly PIMCO Dynamic Credit Income Fund) primary investment objective is to seek current income and capital appreciation as a secondary objective.
Fund Insights at NAV
The following impacted performance during the reporting period:
» | The Fund’s exposure to non-agency mortgage-backed securities contributed to performance, as the sector had positive returns. |
» | The Fund’s exposure to high yield corporates contributed to performance, as the sector had positive returns. |
» | The Fund’s selection of commercial mortgage-backed securities (CMBS) contributed to performance, as select subordinated issues outperformed the broader CMBS sector. |
» | The Fund’s selection of collateralized loan obligations (CLOs) contributed to performance, as select senior tranches outperformed the broader CLO sector. |
» | The Fund’s exposure to U.S. dollar-denominated Brazilian corporate debt contributed to performance, as the asset class had positive returns. |
» | The Fund’s U.S. duration exposure detracted from performance, as U.S. interest rates increased. |
» | The Fund’s selection of asset backed securities (ABS) detracted from performance, as select student loan ABS underperformed the broader ABS sector. |
» | The Fund’s exposure to the middle of the Australian and U.K. yield curves detracted modestly from performance, as intermediate term interest rates increased in those countries. |
14 | PIMCO CLOSED-END FUNDS |
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Symbol on NYSE - PDI |
Allocation Breakdown as of 12/31/2016†§
Non-Agency Mortgage-Backed Securities | 55.1% | |||
Asset-Backed Securities | 26.1% | |||
Corporate Bonds & Notes | 11.1% | |||
Short-Term Instruments | 5.5% | |||
U.S. Government Agencies | 1.2% | |||
Other | 1.0% |
† | % of Investments, at value. |
§ | Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any. |
Fund Information (as of December 31, 2016)(1)
Market Price | $27.70 | |||
NAV | $25.86 | |||
Premium/(Discount) to NAV | 7.12% | |||
Market Price Distribution Yield(2) | 9.55% | |||
NAV Distribution Yield(2) | 10.23% | |||
Total Effective Leverage(3) | 47% |
Average Annual Total Return(1) for the period ended December 31, 2016 | ||||||||||||
6 Month* | 1 Year | Commencement of Operations (05/30/12) | ||||||||||
Market Price | 11.21% | 17.81% | 17.28% | |||||||||
NAV | 7.96% | 10.95% | 16.86% |
All Fund returns are net of fees and expenses.
* Cumulative return
(1) | Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Total return, market price, NAV, market price distribution yield, and NAV distribution yield will fluctuate with changes in market conditions. For performance current to the most recent month-end, visit www.pimco.com or call (844) 33-PIMCO. |
(2) | Distribution yields are not performance and are calculated by annualizing the most recent distribution per share and dividing by the NAV or Market Price, as applicable, as of the reported date. Distributions may be comprised of ordinary income, net capital gains, and/or a return of capital (ROC) of your investment in the Fund. Because the distribution rate may include a ROC, it should not be confused with yield or income. If the Fund estimates that a portion of its distribution may be comprised of amounts from sources other than net investment income, the Fund will notify shareholders of the estimated composition of such distribution through a Section 19 Notice. Please refer to the most recent Section 19 Notice, if applicable, for additional information regarding the composition of distributions. Please visit www.pimco.com for most recent Section 19 Notice, if applicable. Final determination of a distribution’s tax character will be made on Form 1099 DIV sent to shareholders each January. |
(3) | Represents total effective leverage outstanding, as a percentage of total managed assets. Total effective leverage consists of preferred shares, reverse repurchase agreements and other borrowings, credit default swap notional and floating rate notes issued in tender option bond transactions, as applicable (collectively “Total Effective Leverage”). The Fund may engage in other transactions not included in Total Effective Leverage disclosed above that may give rise to a form of leverage, including certain derivative transactions. For the purpose of calculating Total Effective Leverage outstanding as a percentage of total managed assets, total managed assets refer to total assets (including assets attributable to Total Effective Leverage that may be outstanding) minus accrued liabilities (other than liabilities representing Total Effective Leverage). |
Investment Objective and Strategy Overview
PIMCO Dynamic Income Fund’s primary investment objective is to seek current income, and capital appreciation is a secondary objective.
Fund Insights at NAV
The following impacted performance during the reporting period:
» | The Fund’s exposure to non-agency mortgage-backed securities contributed to performance, as the sector had positive returns. |
» | The Fund’s exposure to high yield corporates contributed to performance, as the sector had positive returns. |
» | The Fund’s selection of European residential mortgage-backed securities (RMBS) contributed to performance, as select prime and non-conforming issues outperformed the broader European RMBS sector. |
» | The Fund’s selection of commercial mortgage-backed securities (CMBS) contributed to performance, as select subordinated issues outperformed the broader CMBS sector. |
» | The Fund’s selection of collateralized loan obligations (CLOs) contributed to performance, as select senior tranches outperformed the broader CLO sector. |
» | The Fund’s exposure to U.S. dollar-denominated Brazilian corporate debt contributed to performance, as the asset class had positive returns. |
» | The Fund’s exposure to U.S. dollar-denominated Russian corporate debt contributed to performance, as the asset class had positive returns. |
» | The Fund’s U.S. duration exposure detracted from performance, as U.S. interest rates increased. |
» | The Fund’s selection of asset backed securities (ABS) detracted from performance, as select student loan ABS underperformed the broader ABS sector. |
SEMIANNUAL REPORT | DECEMBER 31, 2016 | 15 |
Table of Contents
Investment Operations | Less Distributions(b) | |||||||||||||||||||||||||||||||||||
Net Asset Value Beginning of Year or Period | Net Investment Income(a) | Net Realized/ Unrealized Gain (Loss) | Total | From Net Investment Income | From Net Realized Capital Gains | Tax Basis Return of Capital | Total | |||||||||||||||||||||||||||||
PCM Fund, Inc. | ||||||||||||||||||||||||||||||||||||
07/01/2016 - 12/31/2016+ | $ | 9.71 | $ | 0.50 | $ | 0.40 | $ | 0.90 | $ | (0.98 | ) | $ | 0.00 | $ | 0.00 | $ | (0.98 | ) | ||||||||||||||||||
06/30/2016 | 10.68 | 1.22 | (1.23 | ) | (0.01 | ) | (0.96 | ) | 0.00 | 0.00 | (0.96 | ) | ||||||||||||||||||||||||
01/01/2015 - 06/30/2015(e) | 10.72 | 0.44 | 0.00 | ^ | 0.44 | (0.48 | ) | 0.00 | 0.00 | (0.48 | )(i) | |||||||||||||||||||||||||
12/31/2014 | 11.17 | 0.94 | (0.34 | ) | 0.60 | (1.05 | ) | 0.00 | 0.00 | (1.05 | ) | |||||||||||||||||||||||||
12/31/2013 | 11.35 | 1.12 | (0.20 | ) | 0.92 | (1.10 | ) | 0.00 | 0.00 | (1.10 | ) | |||||||||||||||||||||||||
12/31/2012 | 9.48 | 1.06 | 1.93 | 2.99 | (1.12 | ) | 0.00 | 0.00 | (1.12 | ) | ||||||||||||||||||||||||||
12/31/2011 | 9.88 | 1.13 | (0.47 | ) | 0.66 | (1.06 | ) | 0.00 | 0.00 | (1.06 | ) | |||||||||||||||||||||||||
PIMCO Global StocksPLUS® & Income Fund | ||||||||||||||||||||||||||||||||||||
07/01/2016 - 12/31/2016+ | $ | 9.76 | $ | 0.51 | $ | 0.83 | $ | 1.34 | $ | (0.99 | ) | $ | 0.00 | $ | 0.00 | $ | (0.99 | ) | ||||||||||||||||||
06/30/2016 | 12.88 | 1.15 | (2.07 | ) | (0.92 | ) | (2.02 | ) | 0.00 | (0.18 | ) | (2.20 | ) | |||||||||||||||||||||||
04/01/2015 - 06/30/2015(f) | 12.82 | 0.34 | 0.27 | 0.61 | (0.55 | ) | 0.00 | 0.00 | (0.55 | )(i) | ||||||||||||||||||||||||||
03/31/2015 | 14.72 | 1.15 | (0.85 | ) | 0.30 | (2.20 | ) | 0.00 | 0.00 | (2.20 | ) | |||||||||||||||||||||||||
03/31/2014 | 14.32 | 1.39 | 1.21 | 2.60 | (2.20 | ) | 0.00 | 0.00 | (2.20 | ) | ||||||||||||||||||||||||||
03/31/2013 | 12.57 | 1.38 | 2.57 | 3.95 | (2.20 | ) | 0.00 | 0.00 | (2.20 | ) | ||||||||||||||||||||||||||
03/31/2012 | 14.88 | 1.61 | (1.72 | ) | (0.11 | ) | (2.20 | ) | 0.00 | 0.00 | (2.20 | ) | ||||||||||||||||||||||||
PIMCO Income Opportunity Fund | ||||||||||||||||||||||||||||||||||||
07/01/2016 - 12/31/2016+ | $ | 22.59 | $ | 1.16 | $ | 1.03 | $ | 2.19 | $ | (1.48 | ) | $ | 0.00 | $ | 0.00 | $ | (1.48 | ) | ||||||||||||||||||
06/30/2016 | 25.94 | 2.33 | (2.89 | ) | (0.56 | ) | (2.28 | ) | (0.51 | ) | 0.00 | (2.79 | ) | |||||||||||||||||||||||
11/01/2014 - 06/30/2015(g) | 28.38 | 1.54 | (0.86 | ) | 0.68 | (2.34 | ) | (0.77 | ) | (0.01 | ) | (3.12 | )(i) | |||||||||||||||||||||||
10/31/2014 | 28.67 | 2.71 | (0.12 | ) | 2.59 | (2.88 | ) | 0.00 | 0.00 | (2.88 | ) | |||||||||||||||||||||||||
10/31/2013 | 27.86 | 2.87 | 0.77 | 3.64 | (2.83 | ) | 0.00 | 0.00 | (2.83 | ) | ||||||||||||||||||||||||||
10/31/2012 | 24.62 | 2.61 | 3.69 | 6.30 | (3.06 | ) | 0.00 | 0.00 | (3.06 | ) | ||||||||||||||||||||||||||
10/31/2011 | 26.97 | 3.24 | (2.20 | ) | 1.04 | (3.39 | ) | 0.00 | 0.00 | (3.39 | ) | |||||||||||||||||||||||||
PIMCO Strategic Income Fund, Inc. | ||||||||||||||||||||||||||||||||||||
07/01/2016 - 12/31/2016+ | $ | 7.89 | $ | 0.33 | $ | (0.08 | ) | $ | 0.25 | $ | (0.48 | ) | $ | 0.00 | $ | 0.00 | $ | (0.48 | ) | |||||||||||||||||
06/30/2016 | 8.58 | 0.76 | (0.45 | ) | 0.31 | (1.00 | ) | 0.00 | 0.00 | (1.00 | ) | |||||||||||||||||||||||||
02/01/2015 - 06/30/2015(h) | 8.57 | 0.30 | 0.11 | 0.41 | (0.40 | ) | 0.00 | 0.00 | (0.40 | )(i) | ||||||||||||||||||||||||||
01/31/2015 | 9.24 | 0.90 | (0.55 | ) | 0.35 | (1.02 | ) | 0.00 | 0.00 | (1.02 | ) | |||||||||||||||||||||||||
01/31/2014 | 9.66 | 0.99 | (0.30 | ) | 0.69 | (1.11 | ) | 0.00 | 0.00 | (1.11 | ) | |||||||||||||||||||||||||
01/31/2013 | 8.91 | 1.05 | 0.95 | 2.00 | (1.25 | ) | 0.00 | 0.00 | (1.25 | ) | ||||||||||||||||||||||||||
01/31/2012 | 9.97 | 1.36 | (1.03 | ) | 0.33 | (1.39 | ) | 0.00 | 0.00 | (1.39 | ) | |||||||||||||||||||||||||
PIMCO Dynamic Credit and Mortgage Income Fund | ||||||||||||||||||||||||||||||||||||
07/01/2016 - 12/31/2016+ | $ | 20.43 | $ | 0.79 | $ | 1.64 | $ | 2.43 | $ | (1.61 | ) | $ | 0.00 | $ | 0.00 | $ | (1.61 | ) | ||||||||||||||||||
06/30/2016 | 23.00 | 2.01 | (2.40 | ) | (0.39 | ) | (2.18 | ) | 0.00 | 0.00 | (2.18 | ) | ||||||||||||||||||||||||
01/01/2015 - 06/30/2015(e) | 22.83 | 0.76 | 0.35 | 1.11 | (0.94 | ) | 0.00 | 0.00 | (0.94 | )(i) | ||||||||||||||||||||||||||
12/31/2014 | 24.04 | 1.79 | (0.53 | ) | 1.26 | (2.47 | ) | 0.00 | 0.00 | (2.47 | ) | |||||||||||||||||||||||||
01/31/2013 -12/31/2013 | 23.88 | 1.33 | 0.76 | 2.09 | (1.68 | ) | (0.24 | ) | 0.00 | (1.92 | ) | |||||||||||||||||||||||||
PIMCO Dynamic Income Fund | ||||||||||||||||||||||||||||||||||||
07/01/2016 - 12/31/2016+ | $ | 26.56 | $ | 1.34 | $ | 0.73 | $ | 2.07 | $ | (2.77 | ) | $ | 0.00 | $ | 0.00 | $ | (2.77 | ) | ||||||||||||||||||
06/30/2016 | 31.38 | 3.87 | (3.45 | ) | 0.42 | (4.25 | ) | (0.99 | ) | 0.00 | (5.24 | ) | ||||||||||||||||||||||||
04/01/2015 - 06/30/2015(f) | 30.74 | 0.80 | 0.47 | 1.27 | (0.63 | ) | 0.00 | 0.00 | (0.63 | )(i) | ||||||||||||||||||||||||||
03/31/2015 | 32.11 | 3.25 | (0.49 | ) | 2.76 | (4.13 | ) | 0.00 | 0.00 | (4.13 | ) | |||||||||||||||||||||||||
03/31/2014 | 30.69 | 3.70 | 1.24 | 4.94 | (3.29 | ) | (0.23 | ) | 0.00 | (3.52 | ) | |||||||||||||||||||||||||
05/30/2012 - 03/31/2013 | 23.88 | 2.79 | 6.50 | 9.29 | (2.18 | ) | (0.27 | ) | 0.00 | (2.45 | ) |
+ | Unaudited |
* | Annualized |
^ | Reflects an amount rounding to less than one cent. |
(a) | Per share amounts based on average number of shares outstanding during the year. |
(b) | 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 in the Notes to Financial Statements for more information. |
(c) | Total investment return is calculated assuming a purchase of a share at the market price on the first day and a sale of a share at the market price on the last day of each year or period reported. Dividends and distributions, if any, are assumed, for purposes of this calculation, to be reinvested at prices obtained under the Funds’ dividend reinvestment plan. Total investment return does not reflect brokerage commissions in connection with the purchase or sale of Fund shares. |
(d) | Interest expense primarily relates to participation in borrowing and financing transactions. See Note 5 in the Notes to Financial Statements for more information. |
(e) | Fiscal year end changed from December 31st to June 30th. |
(f) | Fiscal year end changed from March 31st to June 30th. |
(g) | Fiscal year end changed from October 31st to June 30th. |
(h) | Fiscal year end changed from January 31st to June 30th. |
(i) | Total distributions for the period ended June 30, 2015 may be lower than prior fiscal years due to fiscal year end changes resulting in a reduction of the amount of days in the period ended June 30, 2015. |
16 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
Table of Contents
Common Share | Ratios/Supplemental Data | |||||||||||||||||||||||||||||||||||||
Ratios to Average Net Assets | ||||||||||||||||||||||||||||||||||||||
Offering Cost Charged to Paid in Capital in Excess of Par | Net Asset Value End of Year or Period | Market Price End of Year or Period | Total Investment Return(c) | Net Assets End of Year or Period (000s) | Expenses(d) | Expenses Excluding Interest Expense(d) | Net Investment Income | Portfolio Turnover Rate | ||||||||||||||||||||||||||||||
$ | N/A | $ | 9.63 | $ | 10.00 | 13.61 | % | $ | 111,305 | 3.00 | %* | 1.56 | %* | 9.92 | %* | 4 | % | |||||||||||||||||||||
N/A | 9.71 | 9.72 | 6.91 | 112,099 | 2.69 | 1.58 | 12.25 | 12 | ||||||||||||||||||||||||||||||
N/A | 10.68 | 10.05 | (1.28 | ) | 123,235 | 2.26 | * | 1.54 | * | 8.32 | * | 20 | ||||||||||||||||||||||||||
N/A | 10.72 | 10.65 | 0.34 | 123,633 | 1.89 | 1.40 | 8.38 | 11 | ||||||||||||||||||||||||||||||
N/A | 11.17 | 11.65 | 6.49 | 128,672 | 2.05 | 1.52 | 9.75 | 6 | ||||||||||||||||||||||||||||||
N/A | 11.35 | 12.02 | 23.34 | 130,461 | 2.59 | 1.76 | 10.05 | 13 | ||||||||||||||||||||||||||||||
N/A | 9.48 | 10.77 | 10.43 | 108,810 | 2.44 | 1.75 | 11.30 | 26 | ||||||||||||||||||||||||||||||
$ | N/A | $ | 10.11 | $ | 14.07 | (23.67 | )% | $ | 107,738 | 3.36 | %* | 1.97 | %* | 10.08 | %* | 7 | % | |||||||||||||||||||||
N/A | 9.76 | 19.53 | 31.38 | 103,627 | 2.75 | 1.82 | 10.56 | 26 | ||||||||||||||||||||||||||||||
N/A | 12.88 | 16.92 | (21.82 | ) | 135,468 | 2.34 | * | 1.72 | * | 10.35 | * | 3 | ||||||||||||||||||||||||||
N/A | 12.82 | 22.27 | 4.05 | 134,594 | 2.30 | 1.78 | 8.29 | 92 | ||||||||||||||||||||||||||||||
N/A | 14.72 | 23.67 | 19.44 | 153,393 | 1.94 | 1.67 | 9.62 | 197 | ||||||||||||||||||||||||||||||
N/A | 14.32 | 21.95 | 21.57 | 148,170 | 2.64 | 2.10 | 10.75 | 33 | ||||||||||||||||||||||||||||||
N/A | 12.57 | 20.18 | (8.00 | ) | 128,952 | 2.71 | 2.12 | 12.70 | 90 | |||||||||||||||||||||||||||||
$ | N/A | $ | 23.30 | $ | 23.16 | 7.31 | % | $ | 349,523 | 2.92 | %* | 1.75 | %* | 9.80 | %* | 14 | % | |||||||||||||||||||||
N/A | 22.59 | 23.00 | 7.87 | 338,292 | 2.63 | 1.73 | 9.99 | 16 | ||||||||||||||||||||||||||||||
N/A | 25.94 | 24.20 | 0.22 | 388,353 | 2.43 | * | 1.79 | * | 8.93 | * | 14 | |||||||||||||||||||||||||||
N/A | 28.38 | 27.26 | 4.39 | 424,632 | 2.01 | 1.65 | 9.44 | 175 | ||||||||||||||||||||||||||||||
N/A | 28.67 | 28.90 | 6.81 | 426,561 | 1.93 | 1.66 | 10.03 | 65 | ||||||||||||||||||||||||||||||
N/A | 27.86 | 29.85 | 26.98 | 411,976 | 2.29 | 1.86 | 10.38 | 57 | ||||||||||||||||||||||||||||||
N/A | 24.62 | 26.45 | 11.68 | 359,909 | 2.44 | 1.93 | 12.40 | 194 | ||||||||||||||||||||||||||||||
$ | N/A | $ | 7.66 | $ | 8.79 | (3.62 | )% | $ | 324,260 | 1.41 | %* | 0.97 | %* | 8.36 | %* | 3 | % | |||||||||||||||||||||
N/A | 7.89 | 9.61 | 24.14 | 332,051 | 1.27 | 0.96 | 9.43 | 39 | ||||||||||||||||||||||||||||||
N/A | 8.58 | 8.69 | (5.81 | ) | 357,692 | 1.16 | * | 0.96 | * | 8.58 | * | 17 | ||||||||||||||||||||||||||
N/A | 8.57 | 9.65 | 5.92 | 355,942 | 1.18 | 0.98 | 10.01 | 90 | ||||||||||||||||||||||||||||||
N/A | 9.24 | 10.12 | (4.58 | ) | 379,762 | 1.39 | 1.00 | 10.48 | 208 | |||||||||||||||||||||||||||||
N/A | 9.66 | 11.84 | 12.21 | 392,317 | 1.55 | 1.00 | 11.14 | 293 | ||||||||||||||||||||||||||||||
N/A | 8.91 | 11.80 | 28.34 | 357,712 | 1.48 | 1.01 | 14.27 | 147 | ||||||||||||||||||||||||||||||
$ | N/A | $ | 21.25 | $ | 20.22 | 14.39 | % | $ | 2,915,284 | 3.70 | %* | 2.10 | %* | 7.26 | %* | 15 | % | |||||||||||||||||||||
N/A | 20.43 | 19.13 | 6.69 | 2,804,003 | 3.20 | 2.03 | 9.63 | 26 | ||||||||||||||||||||||||||||||
N/A | 23.00 | 20.18 | 2.23 | 3,155,689 | 2.63 | * | 1.97 | * | 6.71 | * | 31 | |||||||||||||||||||||||||||
(0.00 | )^ | 22.83 | 20.65 | 2.68 | 3,132,146 | 2.36 | 1.91 | 7.29 | 35 | |||||||||||||||||||||||||||||
(0.01 | ) | 24.04 | 22.48 | (2.79 | ) | 3,298,673 | 1.52 | * | 1.42 | * | 6.06 | * | 76 | |||||||||||||||||||||||||
$ | N/A | $ | 25.86 | $ | 27.70 | 11.21 | % | $ | 1,201,904 | 3.96 | %* | 2.13 | %* | 9.70 | %* | 11 | % | |||||||||||||||||||||
N/A | 26.56 | 27.57 | 13.75 | 1,222,499 | 3.60 | 2.12 | 13.67 | 13 | ||||||||||||||||||||||||||||||
N/A | 31.38 | 29.21 | 2.87 | 1,426,891 | 2.83 | * | 2.01 | * | 10.23 | * | 5 | |||||||||||||||||||||||||||
N/A | 30.74 | 29.00 | 9.04 | 1,397,987 | 3.12 | 2.12 | 9.98 | 10 | ||||||||||||||||||||||||||||||
N/A | 32.11 | 30.32 | 9.62 | 1,458,961 | 3.15 | 2.17 | 11.90 | 18 | ||||||||||||||||||||||||||||||
(0.03 | ) | 30.69 | 31.10 | 35.21 | 1,393,099 | 2.91 | * | 2.04 | * | 12.04 | * | 16 |
SEMIANNUAL REPORT | DECEMBER 31, 2016 | 17 |
Table of Contents
Statements of Assets and Liabilities
December 31, 2016 (Unaudited)
(Amounts in thousands†, except per share amounts) | PCM Fund, Inc. | PIMCO Global StocksPLUS® & Income Fund | PIMCO Income Opportunity Fund | PIMCO Strategic Income Fund, Inc. | ||||||||||||
Assets: | ||||||||||||||||
Investments, at value | ||||||||||||||||
Investments in securities* | $ | 193,674 | $ | 168,474 | $ | 568,671 | $ | 954,820 | ||||||||
Financial Derivative Instruments | ||||||||||||||||
Exchange-traded or centrally cleared | 134 | 772 | 380 | 81 | ||||||||||||
Over the counter | 0 | 2,202 | 894 | 706 | ||||||||||||
Cash | 7 | 70 | 294 | 3 | ||||||||||||
Deposits with counterparty | 2,058 | 17,497 | 6,806 | 5,493 | ||||||||||||
Foreign currency, at value | 0 | 0 | 1 | 96 | ||||||||||||
Receivable for investments sold | 5,545 | 980 | 13,525 | 21 | ||||||||||||
Receivable for mortgage dollar rolls | 0 | 0 | 0 | 338,309 | ||||||||||||
Interest and/or dividends receivable | 1,188 | 1,723 | 4,582 | 3,926 | ||||||||||||
Other assets | 2 | 2 | 1 | 2 | ||||||||||||
Total Assets | 202,608 | 191,720 | 595,154 | 1,303,457 | ||||||||||||
Liabilities: | ||||||||||||||||
Borrowings & Other Financing Transactions | ||||||||||||||||
Payable for reverse repurchase agreements | $ | 88,139 | $ | 78,097 | $ | 235,847 | $ | 117,400 | ||||||||
Payable for sale-buyback transactions | 0 | 0 | 0 | 52,975 | ||||||||||||
Payable for mortgage dollar rolls | 0 | 0 | 0 | 338,309 | ||||||||||||
Financial Derivative Instruments | ||||||||||||||||
Exchange-traded or centrally cleared | 151 | 1,453 | 559 | 915 | ||||||||||||
Over the counter | 1,364 | 905 | 4,525 | 781 | ||||||||||||
Payable for investments purchased | 538 | 2 | 11 | 2,094 | ||||||||||||
Payable for TBA investments purchased | 0 | 0 | 0 | 462,125 | ||||||||||||
Deposits from counterparty | 0 | 1,771 | 1,274 | 560 | ||||||||||||
Distributions payable to common shareholders | 924 | 1,563 | 2,850 | 3,386 | ||||||||||||
Overdraft due to custodian | 0 | 1 | 0 | 0 | ||||||||||||
Accrued management fees | 162 | 187 | 552 | 278 | ||||||||||||
Other liabilities | 25 | 3 | 13 | 374 | ||||||||||||
Total Liabilities | 91,303 | 83,982 | 245,631 | 979,197 | ||||||||||||
Net Assets | $ | 111,305 | $ | 107,738 | $ | 349,523 | $ | 324,260 | ||||||||
Net Asset Consist of: | ||||||||||||||||
Shares: | ||||||||||||||||
Par value ($0.001 per share), ($0.00001 per share), ($0.00001 per share), ($0.00001 per share) | $ | 12 | $ | 0 | $ | 0 | $ | 0 | ||||||||
Paid in capital in excess of par | 125,702 | 232,604 | 343,877 | 369,599 | ||||||||||||
(Overdistributed) net investment income | (1,259 | ) | (7,446 | ) | (9,248 | ) | (8,204 | ) | ||||||||
Accumulated undistributed net realized (loss) | (15,803 | ) | (129,179 | ) | (1,589 | ) | (58,775 | ) | ||||||||
Net unrealized appreciation | 2,653 | 11,759 | 16,483 | 21,640 | ||||||||||||
Net Assets Applicable to Common Shareholders | $ | 111,305 | $ | 107,738 | $ | 349,523 | $ | 324,260 | ||||||||
Common shares issued and outstanding | 11,554 | 10,655 | 15,002 | 42,329 | ||||||||||||
Net Asset Value Per Common Share | $ | 9.63 | $ | 10.11 | $ | 23.30 | $ | 7.66 | ||||||||
Cost of investments in securities | $ | 190,949 | $ | 161,812 | $ | 555,421 | $ | 952,081 | ||||||||
Cost of foreign currency held | $ | 0 | $ | 1 | $ | 9 | $ | 96 | ||||||||
Cost or premiums of financial derivative instruments, net | $ | (1,579 | ) | $ | (1,446 | ) | $ | (4,887 | ) | $ | (695 | ) | ||||
* Includes repurchase agreements of: | $ | 1,044 | $ | 1,456 | $ | 17,165 | $ | 5,372 |
† | A zero balance may reflect actual amounts rounding to less than one thousand. |
18 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
Table of Contents
Consolidated Statements of Assets and Liabilities
December 31, 2016 (Unaudited)
(Amounts in thousands†, except per share amounts) | PIMCO Dynamic Credit and Mortgage Income Fund | PIMCO Dynamic Income Fund | ||||||
Assets: | ||||||||
Investments, at value | ||||||||
Investments in securities* | $ | 5,210,941 | $ | 2,217,469 | ||||
Financial Derivative Instruments | ||||||||
Exchange-traded or centrally cleared | 4,466 | 1,764 | ||||||
Over the counter | 4,750 | 2,926 | ||||||
Cash | 14,588 | 6,002 | ||||||
Deposits with counterparty | 71,937 | 25,443 | ||||||
Foreign currency, at value | 555 | 281 | ||||||
Receivable for investments sold | 31,743 | 1,093 | ||||||
Interest and/or dividends receivable | 31,533 | 10,616 | ||||||
Other assets | 8 | 3 | ||||||
Total Assets | 5,370,521 | 2,265,597 | ||||||
Liabilities: | ||||||||
Borrowings & Other Financing Transactions | ||||||||
Payable for reverse repurchase agreements | $ | 2,387,267 | $ | 1,023,014 | ||||
Financial Derivative Instruments | ||||||||
Exchange-traded or centrally cleared | 5,186 | 2,396 | ||||||
Over the counter | 6,881 | 15,676 | ||||||
Payable for investments purchased | 14,196 | 6,042 | ||||||
Deposits from counterparty | 13,547 | 3,954 | ||||||
Distributions payable to common shareholders | 22,513 | 10,196 | ||||||
Accrued management fees | 5,556 | 2,370 | ||||||
Other liabilities | 91 | 45 | ||||||
Total Liabilities | 2,455,237 | 1,063,693 | ||||||
Net Assets | $ | 2,915,284 | $ | 1,201,904 | ||||
Net Asset Consist of: | ||||||||
Shares: | ||||||||
Par value ($0.00001 per share) | $ | 1 | $ | 0 | ||||
Paid in capital in excess of par | 3,274,226 | 1,113,368 | ||||||
(Overdistributed) net investment income | (72,410 | ) | (30,989 | ) | ||||
Accumulated undistributed net realized gain (loss) | (146,101 | ) | 13,978 | |||||
Net unrealized appreciation (depreciation) | (140,432 | ) | 105,547 | |||||
Net Assets Applicable to Common Shareholders | $ | 2,915,284 | $ | 1,201,904 | ||||
Common shares issued and outstanding | 137,221 | 46,470 | ||||||
Net Asset Value Per Common Share | $ | 21.25 | 25.86 | |||||
Cost of investments in securities | $ | 5,356,269 | $ | 2,099,883 | ||||
Cost of foreign currency held | $ | 524 | $ | 282 | ||||
Cost or premiums of financial derivative instruments, net | $ | (5,848 | ) | $ | (30,319 | ) | ||
* Includes repurchase agreements of: | $ | 178,302 | $ | 63,827 |
† | A zero balance may reflect actual amounts rounding to less than one thousand. |
SEMIANNUAL REPORT | DECEMBER 31, 2016 | 19 |
Table of Contents
Six Months Ended December 31, 2016 (Unaudited) | ||||||||||||||||
(Amounts in thousands†) | PCM Fund, Inc. | PIMCO Global StocksPLUS® & Income Fund | PIMCO Income Opportunity Fund | PIMCO Strategic Income Fund, Inc. | ||||||||||||
Investment Income: | ||||||||||||||||
Interest, net of foreign taxes* | $ | 7,566 | $ | 7,180 | $ | 21,992 | $ | 16,349 | ||||||||
Dividends | 2 | 39 | 664 | 7 | ||||||||||||
Total Income | 7,568 | 7,219 | 22,656 | 16,356 | ||||||||||||
Expenses: | ||||||||||||||||
Management fees | 904 | 1,043 | 3,081 | 1,598 | ||||||||||||
Trustee fees and related expenses | 10 | 10 | 31 | 29 | ||||||||||||
Interest expense | 842 | 748 | 2,091 | 732 | ||||||||||||
Miscellaneous expense | 1 | 7 | 3 | 1 | ||||||||||||
Total Expenses | 1,757 | 1,808 | 5,206 | 2,360 | ||||||||||||
Net Investment Income | 5,811 | 5,411 | 17,450 | 13,996 | ||||||||||||
Net Realized Gain (Loss): | ||||||||||||||||
Investments in securities | 73 | 1,873 | 3,590 | (1,007 | ) | |||||||||||
Exchange-traded or centrally cleared financial derivative instruments | 36 | 4,415 | (2,800 | ) | (9,455 | ) | ||||||||||
Over the counter financial derivative instruments | 13 | 803 | 4,918 | 3,450 | ||||||||||||
Foreign currency | 0 | (46 | ) | (262 | ) | 62 | ||||||||||
Net Realized Gain (Loss) | 122 | 7,045 | 5,446 | (6,950 | ) | |||||||||||
Net Change in Unrealized Appreciation (Depreciation): | ||||||||||||||||
Investments in securities | 4,667 | (287 | ) | 7,336 | (23,699 | ) | ||||||||||
Exchange-traded or centrally cleared financial derivative instruments | (367 | ) | (291 | ) | 4,830 | 27,735 | ||||||||||
Over the counter financial derivative instruments | 167 | 2,533 | (1,203 | ) | (521 | ) | ||||||||||
Foreign currency assets and liabilities | 0 | (497 | ) | (1,008 | ) | (51 | ) | |||||||||
Net Change in Unrealized Appreciation | 4,467 | 1,458 | 9,955 | 3,464 | ||||||||||||
Net Increase in Net Assets Resulting from Operations | $ | 10,400 | $ | 13,914 | $ | 32,851 | $ | 10,510 | ||||||||
* Foreign tax withholdings | $ | 0 | $ | 0 | $ | 1 | $ | 0 |
† | A zero balance may reflect actual amounts rounding to less than one thousand. |
20 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
Table of Contents
Consolidated Statements of Operations
Six Months Ended December 31, 2016 (Unaudited) | ||||||||
(Amounts in thousands†) | PIMCO Dynamic Credit and Mortgage Income Fund | PIMCO | ||||||
Investment Income: | ||||||||
Interest, net of foreign taxes* | $ | 163,423 | $ | 87,046 | ||||
Dividends | 813 | 93 | ||||||
Total Income | 164,236 | 87,139 | ||||||
Expenses: | ||||||||
Management fees | 31,129 | 13,477 | ||||||
Trustee fees and related expenses | 257 | 111 | ||||||
Interest expense | 24,012 | 11,644 | ||||||
Miscellaneous expense | 59 | 25 | ||||||
Total Expenses | 55,457 | 25,257 | ||||||
Net Investment Income | 108,779 | 61,882 | ||||||
Net Realized Gain (Loss): | ||||||||
Investments in securities | 43,336 | (6,658 | ) | |||||
Exchange-traded or centrally cleared financial derivative instruments | 14,932 | 23,752 | ||||||
Over the counter financial derivative instruments | 31,402 | 19,816 | ||||||
Foreign currency | (1,918 | ) | 84 | |||||
Net Realized Gain | 87,752 | 36,994 | ||||||
Net Change in Unrealized Appreciation (Depreciation): | ||||||||
Investments in securities | 183,369 | 16,886 | ||||||
Exchange-traded or centrally cleared financial derivative instruments | (16,251 | ) | (16,186 | ) | ||||
Over the counter financial derivative instruments | (8,532 | ) | (4,344 | ) | ||||
Foreign currency assets and liabilities | (22,309 | ) | 299 | |||||
Net Change in Unrealized Appreciation (Depreciation) | 136,277 | (3,345 | ) | |||||
Net Increase in Net Assets Resulting from Operations | $ | 332,808 | $ | 95,531 | ||||
* Foreign tax withholdings | $ | 12 | $ | 0 |
† | A zero balance may reflect actual amounts rounding to less than one thousand. |
SEMIANNUAL REPORT | DECEMBER 31, 2016 | 21 |
Table of Contents
Statements of Changes in Net Assets
PCM Fund, Inc. | PIMCO Global StocksPLUS® & Income Fund | |||||||||||||||||||
(Amounts in thousands†) | Six Months Ended December 31, 2016 (Unaudited) | Year Ended June 30, 2016 | Six Months Ended December 31, 2016 (Unaudited) | Year Ended June 30, 2016 | ||||||||||||||||
Increase (Decrease) in Net Assets from: | ||||||||||||||||||||
Operations: | ||||||||||||||||||||
Net investment income | $ | 5,811 | $ | 14,041 | $ | 5,411 | $ | 12,107 | ||||||||||||
Net realized gain (loss) | 122 | 4,847 | 7,045 | (4,285 | ) | |||||||||||||||
Net change in unrealized appreciation (depreciation) | 4,467 | (18,989 | ) | 1,458 | (18,012 | ) | ||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 10,400 | (101 | ) | 13,914 | (10,190 | ) | ||||||||||||||
Distributions to Common Shareholders: | ||||||||||||||||||||
From net investment income | (11,314 | ) | (11,077 | ) | (10,531 | ) | (21,340 | ) | ||||||||||||
From net realized capital gains | 0 | 0 | 0 | 0 | ||||||||||||||||
Tax basis return of capital | 0 | 0 | 0 | (1,918 | ) | |||||||||||||||
Total Distributions to Common Shareholders(a) | (11,314 | ) | (11,077 | ) | (10,531 | ) | (23,258 | ) | ||||||||||||
Common Share Transactions**: | ||||||||||||||||||||
Issued as reinvestment of distributions | 120 | 42 | 728 | 1,607 | ||||||||||||||||
Total (Decrease) in Net Assets | (794 | ) | (11,136 | ) | 4,111 | (31,841 | ) | |||||||||||||
Net Assets Applicable to Common Shareholders: | ||||||||||||||||||||
Beginning of period | 112,099 | 123,235 | 103,627 | 135,468 | ||||||||||||||||
End of period* | $ | 111,305 | $ | 112,099 | $ | 107,738 | $ | 103,627 | ||||||||||||
* Including undistributed (overdistributed) net investment income of: | $ | (1,259 | ) | $ | 4,244 | $ | (7,446 | ) | $ | (2,326 | ) | |||||||||
** Common Share Transactions: | ||||||||||||||||||||
Shares issued as reinvestment of distributions | 12 | 4 | 41 | 96 |
† | A zero balance may reflect actual amounts rounding to less than one thousand. |
(a) | The tax characterization of distributions is determined in accordance with federal income tax regulations. The actual tax characterization of distributions paid is determined at the end of the fiscal year. See Note 2 in the Notes to Financial Statements for more information. |
22 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
Table of Contents
PIMCO Income Opportunity Fund | PIMCO Strategic Income Fund, Inc. | |||||||||||||
Six Months Ended December 31, 2016 (Unaudited) | Year Ended June 30, 2016 | Six Months Ended December 31, 2016 (Unaudited) | Year Ended June 30, 2016 | |||||||||||
$ | 17,450 | $ | 34,942 | $ | 13,996 | $ | 31,977 | |||||||
5,446 | 5,713 | (6,950 | ) | (14,799 | ) | |||||||||
9,955 | (49,146 | ) | 3,464 | (4,489 | ) | |||||||||
32,851 | (8,491 | ) | 10,510 | 12,689 | �� | |||||||||
(22,198 | ) | (34,129 | ) | (20,274 | ) | (41,907 | ) | |||||||
0 | (7,634 | ) | 0 | 0 | ||||||||||
(22,198 | ) | (41,763 | ) | (20,274 | ) | (41,907 | ) | |||||||
578 | 193 | 1,973 | 3,577 | |||||||||||
11,231 | (50,061 | ) | (7,791 | ) | (25,641 | ) | ||||||||
338,292 | 388,353 | 332,051 | 357,692 | |||||||||||
$ | 349,523 | $ | 338,292 | $ | 324,260 | $ | 332,051 | |||||||
$ | (9,248 | ) | $ | (4,500 | ) | $ | (8,204 | ) | $ | (1,926 | ) | |||
25 | 9 | 213 | 416 |
SEMIANNUAL REPORT | DECEMBER 31, 2016 | 23 |
Table of Contents
Consolidated Statements of Changes in Net Assets
PIMCO Dynamic Credit and Mortgage Income Fund | PIMCO Dynamic Income Fund | |||||||||||||||
(Amounts in thousands†) | Six Months Ended December 31, 2016 (Unaudited) | Year Ended June 30, 2016 | Six Months Ended December 31, 2016 (Unaudited) | Year Ended June 30, 2016 | ||||||||||||
Increase (Decrease) in Net Assets from: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income | $ | 108,779 | $ | 276,227 | $ | 61,882 | $ | 176,980 | ||||||||
Net realized gain (loss) | 87,752 | (88,323 | ) | 36,994 | (197 | ) | ||||||||||
Net change in unrealized appreciation (depreciation) | 136,277 | (240,018 | ) | (3,345 | ) | (157,227 | ) | |||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 332,808 | (52,114 | ) | 95,531 | 19,556 | |||||||||||
Distributions to Common Shareholders: | ||||||||||||||||
From net investment income | (221,527 | ) | (299,572 | ) | (128,104 | ) | (193,676 | ) | ||||||||
From net realized capital gains | 0 | 0 | 0 | (45,024 | ) | |||||||||||
Total Distributions to Common Shareholders(a) | (221,527 | ) | (299,572 | ) | (128,104 | ) | (238,700 | ) | ||||||||
Common Share Transactions**: | ||||||||||||||||
Issued as reinvestment of distributions | 0 | 0 | 11,978 | 14,752 | ||||||||||||
Net increase (decrease) resulting from common share transactions | 0 | 0 | 11,978 | 14,752 | ||||||||||||
Total Increase (Decrease) in Net Assets | 111,281 | (351,686 | ) | (20,595 | ) | (204,392 | ) | |||||||||
Net Assets Applicable to Common Shareholders: | ||||||||||||||||
Beginning of period | 2,804,003 | 3,155,689 | 1,222,499 | 1,426,891 | ||||||||||||
End of period* | $ | 2,915,284 | $ | 2,804,003 | $ | 1,201,904 | $ | 1,222,499 | ||||||||
* Including undistributed (overdistributed) net investment income of: | $ | (72,410 | ) | $ | 40,338 | $ | (30,989 | ) | $ | 35,233 | ||||||
** Common Share Transactions: | ||||||||||||||||
Shares issued as reinvestment of distributions | 0 | 0 | 445 | 546 |
† | A zero balance may reflect actual amounts rounding to less than one thousand. |
(a) | The tax characterization of distributions is determined in accordance with federal income tax regulations. The actual tax characterization of distributions paid is determined at the end of the fiscal year. See Note 2 in the Notes to Financial Statements for more information. |
24 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
Table of Contents
Six Months Ended December 31, 2016 | ||||||||||||||||
(Amounts in thousands†) | PCM Fund, Inc. | PIMCO Global | PIMCO Income Opportunity Fund | PIMCO Strategic Income Fund, Inc. | ||||||||||||
Cash Flows Provided by (Used for) Operating Activities: | ||||||||||||||||
Net increase in net assets resulting from operations | $ | 10,400 | $ | 13,914 | $ | 32,851 | $ | 10,510 | ||||||||
Adjustments to Reconcile Net Increase in Net Assets from Operations to Net Cash Provided by (Used for) Operating Activities: | ||||||||||||||||
Purchases of long-term securities | (27,791 | ) | (17,889 | ) | (108,920 | ) | (161,838 | ) | ||||||||
Proceeds from sales of long-term securities | 24,547 | 17,512 | 106,398 | 47,565 | ||||||||||||
(Purchases) Proceeds from sales of short-term portfolio investments, net | 7,550 | (1,838 | ) | 4,437 | (17,105 | ) | ||||||||||
(Increase) decrease in deposits with counterparty | (462 | ) | 1,704 | (4,327 | ) | (3,339 | ) | |||||||||
(Increase) decrease in receivable for investments sold | 8 | 1,365 | (8,349 | ) | (10 | ) | ||||||||||
(Increase) in interest and/or dividends receivable | (137 | ) | (498 | ) | (1,092 | ) | (1,000 | ) | ||||||||
Proceeds from (Payments on) exchange-traded or centrally cleared financial derivative instruments | (303 | ) | 4,825 | 2,420 | 19,888 | |||||||||||
Proceeds from (Payments on) over the counter financial derivative instruments | (36 | ) | 775 | 4,445 | 3,444 | |||||||||||
Decrease in other assets | 0 | 0 | 2 | 1 | ||||||||||||
Increase (decrease) in payable for investments purchased | 538 | (1,598 | ) | (2,263 | ) | 93,664 | ||||||||||
Increase (decrease) in deposits from counterparty | 0 | 1,751 | (1,287 | ) | (5,441 | ) | ||||||||||
Increase in accrued investment advisory fees | 19 | 22 | 73 | 20 | ||||||||||||
Proceeds from (Payments on) foreign currency transactions | 0 | (45 | ) | (243 | ) | 11 | ||||||||||
Increase (Decrease) in other liabilities | (5 | ) | (3 | ) | 0 | 70 | ||||||||||
Net Realized (Gain) Loss | ||||||||||||||||
Investments in securities | (73 | ) | (1,873 | ) | (3,590 | ) | 1,007 | |||||||||
Exchange-traded or centrally cleared financial derivative instruments | (36 | ) | (4,415 | ) | 2,800 | 9,455 | ||||||||||
Over the counter financial derivative instruments | (13 | ) | (803 | ) | (4,918 | ) | (3,450 | ) | ||||||||
Foreign currency | 0 | 46 | 262 | (62 | ) | |||||||||||
Net Change in Unrealized (Appreciation) Depreciation | ||||||||||||||||
Investments in securities | (4,667 | ) | 287 | (7,336 | ) | 23,699 | ||||||||||
Exchange-traded or centrally cleared financial derivative instruments | 367 | 291 | (4,830 | ) | (27,735 | ) | ||||||||||
Over the counter financial derivative instruments | (167 | ) | (2,533 | ) | 1,203 | 521 | ||||||||||
Foreign currency assets and liabilities | 0 | 497 | 1,008 | 51 | ||||||||||||
Net amortization (accretion) on investments | (230 | ) | (60 | ) | (1,894 | ) | 745 | |||||||||
Net Cash Provided by (Used for) Operating Activities | 9,509 | 11,434 | 6,850 | (9,329 | ) | |||||||||||
Cash Flows Received from (Used for) Financing Activities: | ||||||||||||||||
Increase in overdraft due to custodian | 0 | 1 | 0 | 0 | ||||||||||||
Cash distributions paid* | (11,194 | ) | (10,186 | ) | (21,616 | ) | (18,284 | ) | ||||||||
Proceeds from reverse repurchase agreements | 132,628 | 150,658 | 486,129 | 291,649 | ||||||||||||
Payments on reverse repurchase agreements | (131,358 | ) | (151,892 | ) | (471,502 | ) | (277,581 | ) | ||||||||
Proceeds from sale-buyback transactions | 0 | 0 | 0 | 1,094,249 | ||||||||||||
Payments on sale-buyback transactions | 0 | 0 | 0 | (1,081,169 | ) | |||||||||||
Proceeds from mortgage dollar rolls | 0 | 0 | 0 | 2,695,136 | ||||||||||||
Payments on mortgage dollar rolls | 0 | 0 | 0 | (2,695,136 | ) | |||||||||||
Net Cash Received from (Used for) Financing Activities | (9,924 | ) | (11,419 | ) | (6,989 | ) | 8,864 | |||||||||
Net Increase (Decrease) in Cash and Foreign Currency | (415 | ) | 15 | (139 | ) | (465 | ) | |||||||||
Cash and Foreign Currency: | ||||||||||||||||
Beginning of period | 422 | 55 | 434 | 564 | ||||||||||||
End of period | $ | 7 | $ | 70 | $ | 295 | $ | 99 | ||||||||
* Reinvestment of distributions | $ | 120 | $ | 728 | $ | 578 | $ | 1,973 | ||||||||
Supplemental Disclosure of Cash Flow Information: | ||||||||||||||||
Interest expense paid during the period | $ | 652 | $ | 636 | $ | 1,776 | $ | 552 |
† | A zero balance may reflect actual amounts rounding to less than one thousand. |
SEMIANNUAL REPORT | DECEMBER 31, 2016 | 25 |
Table of Contents
Consolidated Statements of Cash Flows
Period Ended December 31, 2016 | ||||||||
(Amounts in thousands†) | PIMCO Dynamic Credit and Mortgage Income Fund | PIMCO Dynamic Income Fund | ||||||
Cash Flows Provided by Operating Activities: | ||||||||
Net increase in net assets resulting from operations | $ | 332,808 | $ | 95,531 | ||||
Adjustments to Reconcile Net Increase in Net Assets from Operations to Net Cash Provided by Operating Activities: | ||||||||
Purchases of long-term securities | (1,005,548 | ) | (307,098 | ) | ||||
Proceeds from sales of long-term securities | 1,105,043 | 352,483 | ||||||
(Purchases) Proceeds from sales of short-term portfolio investments, net | (6,173 | ) | 12,195 | |||||
Decrease in deposits with counterparty | 31,275 | 4,267 | ||||||
Decrease in receivable for investments sold | 35,139 | 4,371 | ||||||
(Increase) in interest and/or dividends receivable | (4,927 | ) | (728 | ) | ||||
Proceeds from exchange-traded or centrally cleared financial derivative instruments | 1,961 | 9,546 | ||||||
Proceeds from over the counter financial derivative instruments | 30,980 | 18,963 | ||||||
Decrease in other assets | 4 | 2 | ||||||
(Decrease) in payable for investments purchased | (14,997 | ) | (13,257 | ) | ||||
(Decrease) in deposits from counterparty | (5,829 | ) | (8,145 | ) | ||||
Increase in accrued management fees | 725 | 246 | ||||||
(Payments on) Proceeds from foreign currency transactions | (1,927 | ) | 113 | |||||
(Decrease) in other liabilities | (16 | ) | (4 | ) | ||||
Net Realized (Gain) Loss | ||||||||
Investments in securities | (43,336 | ) | 6,658 | |||||
Exchange-traded or centrally cleared financial derivative instruments | (14,932 | ) | (23,752 | ) | ||||
Over the counter financial derivative instruments | (31,402 | ) | (19,816 | ) | ||||
Foreign currency | 1,918 | (84 | ) | |||||
Net Change in Unrealized (Appreciation) Depreciation | ||||||||
Investments in securities | (183,369 | ) | (16,886 | ) | ||||
Exchange-traded or centrally cleared financial derivative instruments | 16,251 | 16,186 | ||||||
Over the counter financial derivative instruments | 8,532 | 4,344 | ||||||
Foreign currency assets and liabilities | 22,309 | (299 | ) | |||||
Net amortization (accretion) on investments | (22,094 | ) | (7,801 | ) | ||||
Net Cash Provided by Operating Activities | 252,395 | 127,035 | ||||||
Cash Flows (Used for) Financing Activities: | ||||||||
(Decrease) in overdraft due to custodian | (593 | ) | (112 | ) | ||||
Cash dividend paid* | (221,527 | ) | (116,078 | ) | ||||
Proceeds from reverse repurchase agreements | 4,237,766 | 1,613,899 | ||||||
Payments on reverse repurchase agreements | (4,253,635 | ) | (1,618,614 | ) | ||||
Net Cash (Used for) Financing Activities | (237,989 | ) | (120,905 | ) | ||||
Net Increase in Cash and Foreign Currency | 14,406 | 6,130 | ||||||
Cash and Foreign Currency: | ||||||||
Beginning of period | 737 | 153 | ||||||
End of year period | $ | 15,143 | $ | 6,283 | ||||
* Reinvestment of distributions | $ | 0 | $ | 11,978 | ||||
Supplemental Disclosure of Cash Flow Information: | ||||||||
Interest expense paid during the period | $ | 19,626 | $ | 10,477 |
† | A zero balance may reflect actual amounts rounding to less than one thousand. |
26 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
Table of Contents
Schedule of Investments PCM Fund, Inc.
December 31, 2016 (Unaudited)
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
INVESTMENTS IN SECURITIES 174.0% | ||||||||||||
BANK LOAN OBLIGATIONS 3.9% | ||||||||||||
Cactus Wellhead LLC |
| |||||||||||
7.000% due 07/31/2020 | $ | 488 | $ | 442 | ||||||||
iHeartCommunications, Inc. |
| |||||||||||
7.520% due 01/30/2019 | 3,000 | 2,447 | ||||||||||
Rackspace Hosting, Inc. |
| |||||||||||
4.500% due 11/03/2023 | 500 | 507 | ||||||||||
Sequa Corp. |
| |||||||||||
5.250% due 06/19/2017 | 1,041 | 996 | ||||||||||
|
| |||||||||||
Total Bank Loan Obligations (Cost $4,973) | 4,392 | |||||||||||
|
| |||||||||||
CORPORATE BONDS & NOTES 28.0% | ||||||||||||
BANKING & FINANCE 9.7% | ||||||||||||
Blackstone CQP Holdco LP |
| |||||||||||
9.296% due 03/19/2019 | 3,787 | 3,820 | ||||||||||
Cantor Fitzgerald LP |
| |||||||||||
7.875% due 10/15/2019 (i) | 740 | 820 | ||||||||||
Communications Sales & Leasing, Inc. |
| |||||||||||
8.250% due 10/15/2023 (i) | 304 | 324 | ||||||||||
Exeter Finance Corp. |
| |||||||||||
9.750% due 05/20/2019 | 800 | 760 | ||||||||||
Jefferies Finance LLC |
| |||||||||||
7.500% due 04/15/2021 (i) | 187 | 186 | ||||||||||
Jefferies LoanCore LLC |
| |||||||||||
6.875% due 06/01/2020 (i) | 1,000 | 960 | ||||||||||
KGH Intermediate Holdco LLC |
| |||||||||||
12.000% due 08/08/2019 (g) | 1,425 | 1,411 | ||||||||||
Navient Corp. |
| |||||||||||
8.450% due 06/15/2018 (i) | 711 | 768 | ||||||||||
OneMain Financial Holdings LLC |
| |||||||||||
6.750% due 12/15/2019 | 9 | 9 | ||||||||||
Springleaf Finance Corp. |
| |||||||||||
5.250% due 12/15/2019 | 14 | 14 | ||||||||||
7.750% due 10/01/2021 (i) | 150 | 159 | ||||||||||
8.250% due 12/15/2020 (i) | 900 | 981 | ||||||||||
Toll Road Investors Partnership LP |
| |||||||||||
0.000% due 02/15/2045 (d) | 2,631 | 577 | ||||||||||
|
| |||||||||||
10,789 | ||||||||||||
|
| |||||||||||
INDUSTRIALS 15.9% | ||||||||||||
BMC Software Finance, Inc. |
| |||||||||||
8.125% due 07/15/2021 | 72 | 68 | ||||||||||
Boxer Parent Co., Inc. (9.000% Cash or 9.750% PIK) |
| |||||||||||
9.000% due 10/15/2019 (b)(i) | 1,017 | 958 | ||||||||||
Caesars Entertainment Operating Co., Inc. |
| |||||||||||
8.500% due 02/15/2020 ^(f) | 3,091 | 3,246 | ||||||||||
9.000% due 02/15/2020 ^(f) | 179 | 187 | ||||||||||
California Resources Corp. |
| |||||||||||
8.000% due 12/15/2022 (i) | 437 | 391 | ||||||||||
Chesapeake Energy Corp. |
| |||||||||||
4.130% due 04/15/2019 | 10 | 10 | ||||||||||
CVS Pass-Through Trust |
| |||||||||||
5.880% due 01/10/2028 (i) | 1,320 | 1,457 | ||||||||||
Diamond Resorts International, Inc. |
| |||||||||||
10.750% due 09/01/2024 (i) | 500 | 492 | ||||||||||
Forbes Energy Services Ltd. |
| |||||||||||
9.000% due 06/15/2019 ^(f) | 1,900 | 684 | ||||||||||
Intrepid Aviation Group Holdings LLC |
| |||||||||||
6.875% due 02/15/2019 (i) | 1,700 | 1,530 | ||||||||||
Kinetic Concepts, Inc. |
| |||||||||||
9.625% due 10/01/2021 (i) | 1,400 | 1,487 | ||||||||||
Prime Security Services Borrower LLC |
| |||||||||||
9.250% due 05/15/2023 (i) | 460 | 502 | ||||||||||
Scientific Games International, Inc. |
| |||||||||||
10.000% due 12/01/2022 | 440 | 440 | ||||||||||
Sequa Corp. |
| |||||||||||
7.000% due 12/15/2017 | 1,140 | 638 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Spanish Broadcasting System, Inc. |
| |||||||||||
12.500% due 04/15/2017 (i) | $ | 2,290 | $ | 2,299 | ||||||||
UAL Pass-Through Trust |
| |||||||||||
6.636% due 01/02/2024 (i) | 566 | 611 | ||||||||||
9.750% due 07/15/2018 (i) | 234 | 235 | ||||||||||
UCP, Inc. |
| |||||||||||
8.500% due 10/21/2017 | 1,300 | 1,292 | ||||||||||
Westmoreland Coal Co. |
| |||||||||||
8.750% due 01/01/2022 (i) | 1,264 | 1,160 | ||||||||||
|
| |||||||||||
17,687 | ||||||||||||
|
| |||||||||||
UTILITIES 2.4% | ||||||||||||
Frontier Communications Corp. |
| |||||||||||
11.000% due 09/15/2025 | 150 | 155 | ||||||||||
Illinois Power Generating Co. |
| |||||||||||
6.300% due 04/01/2020 ^ | 1,515 | 545 | ||||||||||
7.950% due 06/01/2032 ^ | 1,024 | 369 | ||||||||||
Sprint Corp. |
| |||||||||||
7.125% due 06/15/2024 (i) | 946 | 977 | ||||||||||
TerraForm Power Operating LLC |
| |||||||||||
6.375% due 02/01/2023 (i) | 600 | 611 | ||||||||||
|
| |||||||||||
2,657 | ||||||||||||
|
| |||||||||||
Total Corporate Bonds & Notes (Cost $33,270) | 31,133 | |||||||||||
|
| |||||||||||
MUNICIPAL BONDS & NOTES 1.1% | ||||||||||||
ARKANSAS 0.4% | ||||||||||||
Little Rock Municipal Property Owners Multipurpose Improvement District No. 10, Arkansas Special Tax Bonds, Series 2007 |
| |||||||||||
7.200% due 03/01/2032 | 455 | 425 | ||||||||||
|
| |||||||||||
WEST VIRGINIA 0.7% | ||||||||||||
Tobacco Settlement Finance Authority, West Virginia Revenue Bonds, Series 2007 |
| |||||||||||
7.467% due 06/01/2047 | 840 | 760 | ||||||||||
|
| |||||||||||
Total Municipal Bonds & Notes (Cost $1,243) | 1,185 | |||||||||||
|
| |||||||||||
U.S. GOVERNMENT AGENCIES 2.0% | ||||||||||||
Freddie Mac |
| |||||||||||
0.100% due 05/25/2020 (a) | 13,570 | 33 | ||||||||||
0.568% due 01/25/2021 (a) | 2,659 | 53 | ||||||||||
0.701% due 10/25/2020 (a) | 8,628 | 187 | ||||||||||
3.615% due 06/25/2041 (a)(i) | 10,500 | 1,454 | ||||||||||
8.306% due 12/25/2027 | 450 | 475 | ||||||||||
|
| |||||||||||
Total U.S. Government Agencies (Cost $2,064) | 2,202 | |||||||||||
|
| |||||||||||
NON-AGENCY MORTGAGE-BACKED SECURITIES 67.4% | ||||||||||||
Adjustable Rate Mortgage Trust |
| |||||||||||
3.215% due 01/25/2036 ^ | 229 | 197 | ||||||||||
Banc of America Alternative Loan Trust |
| |||||||||||
6.229% due 04/25/2037 ^ | 309 | 279 | ||||||||||
Banc of America Commercial Mortgage Trust |
| |||||||||||
5.695% due 07/10/2046 | 276 | 276 | ||||||||||
Banc of America Funding Trust |
| |||||||||||
2.981% due 12/20/2034 | 370 | 345 | ||||||||||
3.195% due 03/20/2036 | 132 | 119 | ||||||||||
5.806% due 03/25/2037 ^ | 150 | 131 | ||||||||||
7.000% due 10/25/2037 ^ | 844 | 516 | ||||||||||
Banc of America Mortgage Trust |
| |||||||||||
3.398% due 11/25/2034 | 275 | 276 | ||||||||||
3.408% due 06/20/2031 | 452 | 461 | ||||||||||
3.410% due 06/25/2035 | 198 | 192 | ||||||||||
BCAP LLC Trust |
| |||||||||||
0.762% due 07/26/2036 | 87 | 68 | ||||||||||
BCRR Trust |
| |||||||||||
5.858% due 07/17/2040 | 1,000 | 1,001 | ||||||||||
Bear Stearns ALT-A Trust |
| |||||||||||
0.926% due 04/25/2037 (i) | 1,090 | 927 | ||||||||||
2.891% due 09/25/2034 | 108 | 105 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
2.972% due 05/25/2036 | $ | 54 | $ | 38 | ||||||||
3.032% due 01/25/2047 | 66 | 49 | ||||||||||
3.110% due 08/25/2036 ^ | 740 | 689 | ||||||||||
3.112% due 11/25/2036 ^ | 967 | 710 | ||||||||||
3.184% due 08/25/2036 ^ | 401 | 295 | ||||||||||
3.244% due 05/25/2036 ^ | 355 | 275 | ||||||||||
4.661% due 07/25/2035 ^ | 179 | 146 | ||||||||||
Bear Stearns Asset-Backed Securities Trust |
| |||||||||||
5.500% due 12/25/2035 | 68 | 58 | ||||||||||
Bear Stearns Commercial Mortgage Securities Trust |
| |||||||||||
5.711% due 06/11/2040 (i) | 1,257 | 1,258 | ||||||||||
BRAD Resecuritization Trust |
| |||||||||||
2.181% due 03/12/2021 | 2,323 | 153 | ||||||||||
6.550% due 03/12/2021 | 434 | 423 | ||||||||||
CBA Commercial Small Balance Commercial Mortgage |
| |||||||||||
5.540% due 01/25/2039 ^ | 536 | 397 | ||||||||||
Chase Mortgage Finance Trust |
| |||||||||||
6.000% due 03/25/2037 ^ | 303 | 260 | ||||||||||
Citigroup Commercial Mortgage Trust |
| |||||||||||
5.711% due 12/10/2049 (i) | 2,500 | 2,522 | ||||||||||
Citigroup Mortgage Loan Trust, Inc. |
| |||||||||||
3.065% due 10/25/2035 | 788 | 595 | ||||||||||
3.177% due 11/25/2036 ^ | 206 | 171 | ||||||||||
3.237% due 08/25/2035 ^ | 118 | 104 | ||||||||||
3.818% due 11/25/2035 | 1,889 | 1,058 | ||||||||||
Citigroup Mortgage Loan Trust, Inc. Mortgage Pass-Through Certificates |
| |||||||||||
3.191% due 09/25/2035 ^ | 258 | 211 | ||||||||||
Citigroup/Deutsche Bank Commercial Mortgage Trust |
| |||||||||||
5.398% due 12/11/2049 | 825 | 719 | ||||||||||
CitiMortgage Alternative Loan Trust |
| |||||||||||
5.500% due 04/25/2022 ^ | 51 | 52 | ||||||||||
Commercial Mortgage Loan Trust |
| |||||||||||
6.095% due 12/10/2049 | 278 | 176 | ||||||||||
Commercial Mortgage Pass-Through Certificates |
| |||||||||||
4.750% due 10/15/2045 | 1,500 | 1,035 | ||||||||||
Commercial Mortgage Trust |
| |||||||||||
6.139% due 07/10/2046 | 690 | 743 | ||||||||||
Countrywide Alternative Loan Trust |
| |||||||||||
1.036% due 02/25/2037 | 322 | 266 | ||||||||||
1.046% due 02/25/2036 ^(i) | 1,057 | 823 | ||||||||||
1.306% due 10/25/2037 | 6,097 | 1,811 | ||||||||||
1.567% due 12/25/2035 (i) | 1,746 | 1,599 | ||||||||||
5.500% due 03/25/2035 | 762 | 611 | ||||||||||
6.000% due 11/25/2035 ^ | 215 | 99 | ||||||||||
6.000% due 04/25/2036 ^(i) | 4,233 | 3,274 | ||||||||||
Countrywide Home Loan Mortgage Pass-Through Trust |
| |||||||||||
1.396% due 03/25/2035 | 230 | 176 | ||||||||||
2.626% due 03/25/2046 ^(i) | 1,313 | 759 | ||||||||||
3.005% due 09/20/2036 ^ | 184 | 147 | ||||||||||
3.130% due 09/25/2047 ^ | 798 | 739 | ||||||||||
3.309% due 02/20/2036 ^ | 18 | 16 | ||||||||||
6.000% due 05/25/2037 ^ | 404 | 343 | ||||||||||
Credit Suisse First Boston Mortgage Securities Corp. |
| |||||||||||
7.000% due 02/25/2033 | 88 | 95 | ||||||||||
Credit Suisse Mortgage Capital Mortgage-Backed Trust |
| |||||||||||
5.896% due 04/25/2036 | 315 | 233 | ||||||||||
6.000% due 07/25/2036 (i) | 1,733 | 1,300 | ||||||||||
6.500% due 05/25/2036 ^ | 202 | 132 | ||||||||||
First Horizon Alternative Mortgage Securities Trust |
| |||||||||||
2.855% due 08/25/2035 ^ | 83 | 17 | ||||||||||
First Horizon Mortgage Pass-Through Trust |
| |||||||||||
2.922% due 04/25/2035 | 94 | 94 | ||||||||||
GE Commercial Mortgage Corp. Trust |
| |||||||||||
5.606% due 12/10/2049 (i) | 1,700 | 1,702 | ||||||||||
GS Mortgage Securities Trust |
| |||||||||||
1.429% due 08/10/2043 (a) | 14,300 | 592 | ||||||||||
2.386% due 05/10/2045 (a) | 5,308 | 407 | ||||||||||
6.064% due 08/10/2043 (i) | 1,670 | 1,692 | ||||||||||
GSR Mortgage Loan Trust |
| |||||||||||
3.228% due 03/25/2047 (i) | 2,067 | 1,879 | ||||||||||
HarborView Mortgage Loan Trust |
| |||||||||||
0.986% due 01/19/2036 | 973 | 645 | ||||||||||
IndyMac Mortgage Loan Trust |
| |||||||||||
1.556% due 11/25/2034 | 151 | 128 |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2016 | 27 |
Table of Contents
Schedule of Investments PCM Fund, Inc. (Cont.)
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
3.118% due 05/25/2036 | $ | 225 | $ | 157 | ||||||||
3.398% due 06/25/2037 | 562 | 520 | ||||||||||
JPMorgan Alternative Loan Trust |
| |||||||||||
6.500% due 03/25/2036 | 1,457 | 1,283 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Corp. |
| |||||||||||
1.419% due 03/12/2039 (a) | 441 | 4 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust |
| |||||||||||
0.507% due 02/15/2046 (a) | 61,000 | 1,313 | ||||||||||
2.972% due 05/15/2045 | 2,200 | 1,027 | ||||||||||
4.000% due 08/15/2046 | 1,000 | 601 | ||||||||||
5.502% due 01/12/2043 | 299 | 300 | ||||||||||
5.713% due 02/12/2049 (i) | 800 | 805 | ||||||||||
5.794% due 02/12/2051 (i) | 755 | 767 | ||||||||||
6.450% due 05/12/2034 (i) | 1,701 | 1,713 | ||||||||||
JPMorgan Commercial Mortgage-Backed Securities Trust |
| |||||||||||
5.716% due 03/18/2051 (i) | 4,100 | 4,122 | ||||||||||
JPMorgan Mortgage Trust |
| |||||||||||
3.182% due 07/25/2035 | 125 | 125 | ||||||||||
LB Commercial Mortgage Trust |
| |||||||||||
5.600% due 10/15/2035 | 65 | 66 | ||||||||||
5.918% due 07/15/2044 (i) | 750 | 760 | ||||||||||
LB-UBS Commercial Mortgage Trust |
| |||||||||||
5.407% due 11/15/2038 (i) | 383 | 296 | ||||||||||
5.562% due 02/15/2040 (i) | 719 | 541 | ||||||||||
5.752% due 02/15/2040 | 200 | 199 | ||||||||||
Lehman Mortgage Trust |
| |||||||||||
5.000% due 08/25/2021 ^ | 422 | 412 | ||||||||||
5.908% due 04/25/2036 | 247 | 221 | ||||||||||
6.000% due 05/25/2037 ^ | 517 | 506 | ||||||||||
MASTR Adjustable Rate Mortgages Trust |
| |||||||||||
3.012% due 11/25/2035 ^(i) | 636 | 480 | ||||||||||
MASTR Asset Securitization Trust |
| |||||||||||
6.000% due 06/25/2036 ^ | 606 | 580 | ||||||||||
Merrill Lynch Mortgage Investors Trust |
| |||||||||||
1.176% due 07/25/2030 | 254 | 233 | ||||||||||
1.244% due 11/25/2029 | 152 | 147 | ||||||||||
3.026% due 11/25/2035 | 234 | 229 | ||||||||||
Merrill Lynch Mortgage Trust |
| |||||||||||
5.826% due 06/12/2050 (i) | 1,800 | 1,748 | ||||||||||
Morgan Stanley Capital Trust |
| |||||||||||
0.195% due 11/12/2049 (a) | 10,650 | 42 | ||||||||||
5.690% due 04/15/2049 (i) | 2,041 | 2,002 | ||||||||||
5.692% due 04/15/2049 | 234 | 234 | ||||||||||
5.809% due 12/12/2049 | 400 | 406 | ||||||||||
Morgan Stanley Capital, Inc. Trust |
| |||||||||||
6.010% due 11/15/2030 (i) | 458 | 463 | ||||||||||
Morgan Stanley Mortgage Loan Trust |
| |||||||||||
3.326% due 01/25/2035 ^ | 295 | 109 | ||||||||||
6.000% due 08/25/2037 ^ | 342 | 297 | ||||||||||
Morgan Stanley Resecuritization Trust |
| |||||||||||
5.135% due 03/26/2037 | 5,469 | 4,877 | ||||||||||
Regal Trust |
| |||||||||||
2.098% due 09/29/2031 | 158 | 147 | ||||||||||
Residential Accredit Loans, Inc. Trust |
| |||||||||||
4.137% due 01/25/2036 ^ | 509 | 408 | ||||||||||
6.000% due 08/25/2035 ^ | 322 | 293 | ||||||||||
6.500% due 09/25/2037 ^ | 337 | 293 | ||||||||||
Residential Asset Securitization Trust |
| |||||||||||
6.000% due 03/25/2037 ^ | 282 | 190 | ||||||||||
Residential Funding Mortgage Securities, Inc. Trust |
| |||||||||||
6.000% due 06/25/2036 ^ | 341 | 327 | ||||||||||
Royal Bank of Scotland Capital Funding Trust |
| |||||||||||
6.068% due 02/17/2051 | 2,744 | 2,766 | ||||||||||
Structured Adjustable Rate Mortgage Loan Trust |
| |||||||||||
3.013% due 01/25/2036 ^ | 428 | 324 | ||||||||||
3.236% due 09/25/2036 ^ | 307 | 270 | ||||||||||
3.312% due 04/25/2036 ^ | 512 | 403 | ||||||||||
3.317% due 11/25/2036 ^ | 148 | 143 | ||||||||||
Structured Asset Mortgage Investments Trust |
| |||||||||||
0.966% due 08/25/2036 ^ | 1,099 | 893 | ||||||||||
Structured Asset Securities Corp. Trust |
| |||||||||||
5.000% due 05/25/2035 | 41 | 41 | ||||||||||
TBW Mortgage-Backed Trust |
| |||||||||||
6.000% due 07/25/2036 ^ | 187 | 134 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Wachovia Bank Commercial Mortgage Trust |
| |||||||||||
0.652% due 10/15/2041 (a) | $ | 1,743 | $ | 0 | ||||||||
5.509% due 04/15/2047 (i) | 676 | 677 | ||||||||||
WaMu Commercial Mortgage Securities Trust |
| |||||||||||
5.752% due 03/23/2045 (i) | 625 | 625 | ||||||||||
WaMu Mortgage Pass-Through Certificates Trust |
| |||||||||||
1.246% due 06/25/2044 | 644 | 562 | ||||||||||
2.676% due 12/25/2036 ^(i) | 504 | 466 | ||||||||||
Washington Mutual Mortgage Pass-Through Certificates Trust |
| |||||||||||
6.500% due 08/25/2036 ^(i) | 1,779 | 1,324 | ||||||||||
Wells Fargo Alternative Loan Trust |
| |||||||||||
5.500% due 07/25/2022 | 46 | 46 | ||||||||||
Wells Fargo-RBS Commercial Mortgage Trust |
| |||||||||||
0.802% due 02/15/2044 (a)(i) | 18,006 | 466 | ||||||||||
|
| |||||||||||
Total Non-Agency Mortgage-Backed Securities (Cost $67,710) | 74,992 | |||||||||||
|
| |||||||||||
ASSET-BACKED SECURITIES 65.3% | ||||||||||||
Airspeed Ltd. |
| |||||||||||
0.974% due 06/15/2032 | 691 | 541 | ||||||||||
Asset-Backed Securities Corp. Home Equity Loan Trust |
| |||||||||||
1.851% due 02/25/2035 (i) | 3,374 | 2,817 | ||||||||||
2.481% due 12/25/2034 (i) | 1,986 | 1,799 | ||||||||||
3.994% due 06/21/2029 | 156 | 150 | ||||||||||
Associates Manufactured Housing Pass-Through Certificates |
| |||||||||||
7.150% due 03/15/2028 | 422 | 506 | ||||||||||
Bayview Financial Acquisition Trust |
| |||||||||||
1.036% due 12/28/2036 | 172 | 168 | ||||||||||
Bear Stearns Asset-Backed Securities Trust |
| |||||||||||
1.136% due 04/25/2036 | 2,900 | 1,997 | ||||||||||
1.136% due 06/25/2036 | 23 | 23 | ||||||||||
3.012% due 07/25/2036 | 368 | 348 | ||||||||||
Bombardier Capital Mortgage Securitization Corp. |
| |||||||||||
7.830% due 06/15/2030 | 1,187 | 578 | ||||||||||
Centex Home Equity Loan Trust |
| |||||||||||
1.256% due 01/25/2035 (i) | 1,701 | 1,387 | ||||||||||
Citigroup Mortgage Loan Trust, Inc. |
| |||||||||||
0.916% due 12/25/2036 (i) | 1,845 | 1,147 | ||||||||||
0.976% due 12/25/2036 | 956 | 517 | ||||||||||
1.016% due 03/25/2037 (i) | 4,610 | 3,542 | ||||||||||
1.206% due 11/25/2045 (i) | 5,300 | 4,966 | ||||||||||
Conseco Finance Securitizations Corp. |
| |||||||||||
7.960% due 05/01/2031 | 382 | 278 | ||||||||||
9.163% due 03/01/2033 | 939 | 873 | ||||||||||
Countrywide Asset-Backed Certificates |
| |||||||||||
0.886% due 12/25/2036 ^(i) | 1,458 | 1,442 | ||||||||||
0.896% due 06/25/2035 (i) | 3,019 | 2,328 | ||||||||||
0.896% due 01/25/2037 (i) | 1,085 | 890 | ||||||||||
0.896% due 06/25/2047 ^(i) | 3,365 | 2,441 | ||||||||||
0.906% due 04/25/2047 (i) | 1,418 | 1,313 | ||||||||||
0.956% due 06/25/2037 ^(i) | 944 | 698 | ||||||||||
0.996% due 05/25/2036 (i) | 9,015 | 4,481 | ||||||||||
2.406% due 06/25/2035 (i) | 4,000 | 3,408 | ||||||||||
5.253% due 10/25/2032 ^ | 918 | 805 | ||||||||||
Countrywide Asset-Backed Certificates Trust |
| |||||||||||
0.854% due 09/25/2046 | 5,000 | 2,132 | ||||||||||
EMC Mortgage Loan Trust |
| |||||||||||
1.884% due 02/25/2041 | 344 | 338 | ||||||||||
Fremont Home Loan Trust |
| |||||||||||
0.936% due 04/25/2036 (i) | 1,404 | 1,277 | ||||||||||
GE Capital Mortgage Services, Inc. Trust |
| |||||||||||
6.705% due 04/25/2029 | 138 | 116 | ||||||||||
GSAMP Trust |
| |||||||||||
2.556% due 06/25/2035 (i) | 2,200 | 1,856 | ||||||||||
HSI Asset Securitization Corp. Trust |
| |||||||||||
0.866% due 04/25/2037 (i) | 4,346 | 2,473 | ||||||||||
IndyMac Home Equity Mortgage Loan Asset-Backed Trust |
| |||||||||||
0.996% due 04/25/2037 (i) | 5,589 | 3,527 | ||||||||||
Keystone Owner Trust |
| |||||||||||
9.000% due 01/25/2029 | 56 | 36 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Lehman XS Trust |
| |||||||||||
5.420% due 11/25/2035 ^ | $ | 280 | $ | 282 | ||||||||
MASTR Asset-Backed Securities Trust |
| |||||||||||
0.866% due 08/25/2036 (i) | 3,759 | 1,930 | ||||||||||
Morgan Stanley ABS Capital, Inc. Trust |
| |||||||||||
1.536% due 12/25/2034 | 202 | 167 | ||||||||||
National Collegiate Commutation Trust |
| |||||||||||
0.000% due 03/25/2038 | 3,500 | 1,553 | ||||||||||
People’s Financial Realty Mortgage Securities Trust |
| |||||||||||
0.886% due 09/25/2036 | 1,611 | 501 | ||||||||||
Renaissance Home Equity Loan Trust |
| |||||||||||
7.238% due 09/25/2037 ^(i) | 4,244 | 2,577 | ||||||||||
Residential Asset Mortgage Products Trust |
| |||||||||||
1.496% due 09/25/2032 | 45 | 40 | ||||||||||
1.679% due 12/25/2033 | 760 | 705 | ||||||||||
Residential Asset Securities Corp. Trust |
| |||||||||||
1.216% due 06/25/2031 (i) | 1,602 | 1,518 | ||||||||||
1.446% due 08/25/2035 (i) | 4,350 | 3,168 | ||||||||||
Securitized Asset-Backed Receivables LLC Trust |
| |||||||||||
1.206% due 10/25/2035 (i) | 5,500 | 4,641 | ||||||||||
1.401% due 01/25/2035 (i) | 1,662 | 1,468 | ||||||||||
SoFi Professional Loan Program LLC |
| |||||||||||
0.000% due 01/25/2039 (d) | 1,000 | 583 | ||||||||||
Southern Pacific Secured Asset Corp. |
| |||||||||||
1.096% due 07/25/2029 | 16 | 16 | ||||||||||
Structured Asset Investment Loan Trust |
| |||||||||||
2.481% due 10/25/2034 (i) | 1,986 | 1,716 | ||||||||||
5.256% due 10/25/2033 | 68 | 64 | ||||||||||
UCFC Manufactured Housing Contract |
| |||||||||||
7.900% due 01/15/2028 ^ | 508 | 499 | ||||||||||
UPS Capital Business Credit |
| |||||||||||
6.177% due 04/15/2026 | 1,856 | 37 | ||||||||||
|
| |||||||||||
Total Asset-Backed Securities (Cost $73,659) | 72,663 | |||||||||||
|
| |||||||||||
SHARES | ||||||||||||
COMMON STOCKS 0.1% | ||||||||||||
ENERGY 0.1% | ||||||||||||
SemGroup Corp. ‘A’ | 2,654 | 111 | ||||||||||
|
| |||||||||||
UTILITIES 0.0% | ||||||||||||
Warren Resources, Inc. | 7,681 | 28 | ||||||||||
|
| |||||||||||
Total Common Stocks (Cost $1,062) | 139 | |||||||||||
|
| |||||||||||
SHORT-TERM INSTRUMENTS 6.2% | ||||||||||||
REPURCHASE AGREEMENTS (h) 0.9% | ||||||||||||
1,044 | ||||||||||||
|
| |||||||||||
PRINCIPAL AMOUNT (000S) | ||||||||||||
SHORT-TERM NOTES 3.8% | ||||||||||||
Federal Home Loan Bank |
| |||||||||||
0.416% due 01/27/2017 (d)(e) | $ | 200 | 200 | |||||||||
0.457% due 01/20/2017 - 01/27/2017 (d)(e) | 1,600 | 1,599 | ||||||||||
0.497% due 01/18/2017 (d)(e) | 200 | 200 | ||||||||||
0.507% due 01/12/2017 - 01/25/2017 (d)(e) | 2,000 | 2,000 | ||||||||||
0.517% due 02/10/2017 (d)(e) | 200 | 200 | ||||||||||
|
| |||||||||||
4,199 | ||||||||||||
|
|
28 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
Table of Contents
December 31, 2016 (Unaudited)
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
U.S. TREASURY BILLS 1.5% | ||||||||||||
0.475% due 03/02/2017 - 03/09/2017 (c)(d)(l) | $ | 1,726 | $ | 1,725 | ||||||||
|
| |||||||||||
Total Short-Term Instruments (Cost $6,968) | 6,968 | |||||||||||
|
| |||||||||||
Total Investments in Securities (Cost $190,949) | 193,674 | |||||||||||
Total Investments 174.0% (Cost $190,949) | $ | 193,674 | ||||||||||
Financial Derivative (Cost or Premiums, net $(1,579)) | (1,381 | ) | ||||||||||
Other Assets and Liabilities, net (72.8)% | (80,988 | ) | ||||||||||
|
| |||||||||||
Net Assets Applicable to Common Shareholders 100.0% | $ | 111,305 | ||||||||||
|
|
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*):
* | A zero balance may reflect actual amounts rounding to less than one thousand. |
^ | Security is in default. |
(a) | Interest only security. |
(b) | Payment in-kind security. |
(c) | Coupon represents a weighted average yield to maturity. |
(d) | Zero coupon security. |
(e) | Coupon represents a yield to maturity. |
(f) | Security is subject to a forbearance agreement entered into by the Fund which forbears the Fund from taking action to, among other things, accelerate and collect payments on the subject note with respect to specified events of default. |
(g) RESTRICTED SECURITIES:
Issuer Description | Coupon | Maturity Date | Acquisition Date | Cost | Market Value | Market Value as Percentage of Net Assets | ||||||||||||||||
KGH Intermediate Holdco LLC | 12.000% | 08/08/2019 | 08/07/2014 | $ 1,409 | $ | 1,411 | 1.27% | |||||||||||||||
|
|
|
|
|
|
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(h) 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) | ||||||||||||||||||||||
SSB | 0.010 | % | 12/30/2016 | 01/03/2017 | $ | 1,044 | U.S. Treasury Notes 1.000% due 05/15/2018(2) | $ | (1,066 | ) | $ | 1,044 | $ | 1,044 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Total Repurchase Agreements |
| $ | (1,066 | ) | $ | 1,044 | $ | 1,044 | ||||||||||||||||||||||
|
|
|
|
|
|
(1) | Includes accrued interest. |
(2) | Includes accrued interest. Collateral is held in custody by the counterparty. |
REVERSE REPURCHASE AGREEMENTS:
Counterparty | Borrowing Rate(3) | Borrowing Date | Maturity Date | Amount Borrowed(3) | Payable for Reverse Repurchase Agreements | |||||||||||||||
BCY | 0.000 | % | 12/16/2016 | 12/16/2017 | $ | (506 | ) | $ | (506 | ) | ||||||||||
1.150 | 12/16/2016 | TBD | (4) | (1,966 | ) | (1,967 | ) | |||||||||||||
2.114 | 10/05/2016 | 01/05/2017 | (311 | ) | (313 | ) | ||||||||||||||
2.354 | 10/03/2016 | 01/03/2017 | (4,926 | ) | (4,956 | ) | ||||||||||||||
2.442 | 12/02/2016 | 03/02/2017 | (3,672 | ) | (3,680 | ) | ||||||||||||||
2.497 | 01/03/2017 | 04/03/2017 | (4,133 | ) | (4,133 | ) | ||||||||||||||
2.832 | 08/30/2016 | 03/01/2017 | (1,088 | ) | (1,099 | ) |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2016 | 29 |
Table of Contents
Schedule of Investments PCM Fund, Inc. (Cont.)
Counterparty | Borrowing Rate(3) | Borrowing Date | Maturity Date | Amount Borrowed(3) | Payable for Reverse Repurchase Agreements | |||||||||||||||
DEU | 1.850 | % | 11/23/2016 | 01/12/2017 | $ | (221 | ) | $ | (221 | ) | ||||||||||
1.850 | 11/23/2016 | 02/23/2017 | (1,259 | ) | (1,262 | ) | ||||||||||||||
1.950 | 12/02/2016 | 03/02/2017 | (1,200 | ) | (1,202 | ) | ||||||||||||||
1.950 | 12/14/2016 | 03/02/2017 | (269 | ) | (269 | ) | ||||||||||||||
GSC | 2.104 | 12/15/2016 | 01/13/2017 | (913 | ) | (914 | ) | |||||||||||||
JPS | 1.680 | 11/29/2016 | 03/01/2017 | (464 | ) | (465 | ) | |||||||||||||
1.876 | 10/11/2016 | 01/06/2017 | (1,305 | ) | (1,311 | ) | ||||||||||||||
2.430 | 11/29/2016 | 03/01/2017 | (1,246 | ) | (1,249 | ) | ||||||||||||||
MSC | 1.750 | 10/19/2016 | 01/19/2017 | (3,317 | ) | (3,329 | ) | |||||||||||||
2.631 | 08/05/2016 | 02/06/2017 | (1,374 | ) | (1,380 | ) | ||||||||||||||
RBC | 1.940 | 12/01/2016 | 06/01/2017 | (571 | ) | (572 | ) | |||||||||||||
2.550 | 09/13/2016 | 03/13/2017 | (1,511 | ) | (1,523 | ) | ||||||||||||||
2.560 | 09/21/2016 | 03/20/2017 | (2,094 | ) | (2,109 | ) | ||||||||||||||
RDR | (0.250 | ) | 09/28/2016 | 09/28/2017 | (159 | ) | (159 | ) | ||||||||||||
1.320 | 11/22/2016 | 02/22/2017 | (741 | ) | (742 | ) | ||||||||||||||
1.680 | 11/03/2016 | 02/03/2017 | (710 | ) | (712 | ) | ||||||||||||||
2.130 | 11/03/2016 | 02/03/2017 | (680 | ) | (682 | ) | ||||||||||||||
RTA | 2.055 | 02/04/2016 | 02/03/2017 | (1,820 | ) | (1,855 | ) | |||||||||||||
2.209 | 04/15/2016 | 04/13/2017 | (2,566 | ) | (2,607 | ) | ||||||||||||||
2.211 | 03/15/2016 | 03/14/2017 | (971 | ) | (989 | ) | ||||||||||||||
2.224 | 05/09/2016 | 05/08/2017 | (2,643 | ) | (2,682 | ) | ||||||||||||||
2.227 | 05/12/2016 | 05/11/2017 | (5,422 | ) | (5,501 | ) | ||||||||||||||
2.230 | 05/09/2016 | 05/08/2017 | (1,474 | ) | (1,496 | ) | ||||||||||||||
2.231 | 03/15/2016 | 03/14/2017 | (1,373 | ) | (1,398 | ) | ||||||||||||||
2.345 | 07/26/2016 | 07/25/2017 | (2,856 | ) | (2,886 | ) | ||||||||||||||
2.543 | 11/14/2016 | 05/15/2017 | (697 | ) | (699 | ) | ||||||||||||||
2.559 | 10/07/2016 | 10/06/2017 | (2,678 | ) | (2,695 | ) | ||||||||||||||
2.568 | 11/09/2016 | 11/08/2017 | (2,739 | ) | (2,750 | ) | ||||||||||||||
2.574 | 11/28/2016 | 05/26/2017 | (634 | ) | (636 | ) | ||||||||||||||
SAL | 1.658 | 10/05/2016 | 01/05/2017 | (2,113 | ) | (2,122 | ) | |||||||||||||
1.761 | 11/15/2016 | 02/16/2017 | (904 | ) | (906 | ) | ||||||||||||||
1.834 | 11/02/2016 | 02/02/2017 | (2,153 | ) | (2,160 | ) | ||||||||||||||
1.835 | 01/05/2017 | 04/05/2017 | (1,361 | ) | (1,361 | ) | ||||||||||||||
SOG | 1.650 | 11/28/2016 | 02/27/2017 | (870 | ) | (871 | ) | |||||||||||||
1.650 | 12/12/2016 | 02/21/2017 | (812 | ) | (813 | ) | ||||||||||||||
1.700 | 12/14/2016 | 03/14/2017 | (1,251 | ) | (1,252 | ) | ||||||||||||||
1.700 | 12/15/2016 | 03/15/2017 | (1,412 | ) | (1,413 | ) | ||||||||||||||
2.556 | 11/15/2016 | 05/15/2017 | (526 | ) | (528 | ) | ||||||||||||||
2.601 | 09/09/2016 | 03/09/2017 | (1,190 | ) | (1,200 | ) | ||||||||||||||
UBS | 1.780 | 10/20/2016 | 01/20/2017 | (830 | ) | (833 | ) | |||||||||||||
1.830 | 10/20/2016 | 01/20/2017 | (1,173 | ) | (1,177 | ) | ||||||||||||||
1.850 | 12/28/2016 | 03/14/2017 | (2,489 | ) | (2,490 | ) | ||||||||||||||
2.366 | 11/21/2016 | 02/22/2017 | (3,712 | ) | (3,722 | ) | ||||||||||||||
2.376 | 11/03/2016 | 02/03/2017 | (1,734 | ) | (1,741 | ) | ||||||||||||||
2.387 | 11/09/2016 | 02/09/2017 | (2,824 | ) | (2,834 | ) | ||||||||||||||
2.416 | 11/21/2016 | 02/22/2017 | (1,762 | ) | (1,767 | ) | ||||||||||||||
|
| |||||||||||||||||||
Total Reverse Repurchase Agreements |
| $ | (88,139 | ) | ||||||||||||||||
|
|
(3) | The average amount of borrowings outstanding during the period ended December 31, 2016 was $(81,144) at a weighted average interest rate of 2.001%. |
(4) | Open maturity reverse repurchase agreement. |
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, 2016:
(i) | Securities with an aggregate market value of $116,364 and cash of $238 have been pledged as collateral under the terms of the following master agreements as of December 31, 2016. |
Counterparty | Repurchase Agreement Proceeds to be Received | Payable for Reverse Repurchase Agreements | Payable for Sale-Buyback Transactions | Total Borrowings and Other Financing Transactions | Collateral Pledged/(Received) | Net Exposure(5) | ||||||||||||||||||
Global/Master Repurchase Agreement | ||||||||||||||||||||||||
BCY | $ | 0 | $ | (16,654 | ) | $ | 0 | $ | (16,654 | ) | $ | 25,222 | $ | 8,568 | ||||||||||
DEU | 0 | (2,954 | ) | 0 | (2,954 | ) | 3,572 | 618 | ||||||||||||||||
GSC | 0 | (914 | ) | 0 | (914 | ) | 1,001 | 87 | ||||||||||||||||
JPS | 0 | (3,025 | ) | 0 | (3,025 | ) | 3,594 | 569 |
30 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
Table of Contents
December 31, 2016 (Unaudited)
Counterparty | Repurchase Agreement Proceeds to be Received | Payable for Reverse Repurchase Agreements | Payable for Sale-Buyback Transactions | Total Borrowings and Other Financing Transactions | Collateral Pledged/(Received) | Net Exposure(5) | ||||||||||||||||||
MSC | $ | 0 | $ | (4,709 | ) | $ | 0 | $ | (4,709 | ) | $ | 5,978 | $ | 1,269 | ||||||||||
RBC | 0 | (4,204 | ) | 0 | (4,204 | ) | 4,875 | 671 | ||||||||||||||||
RDR | 0 | (2,295 | ) | 0 | (2,295 | ) | 2,319 | 24 | ||||||||||||||||
RTA | 0 | (26,194 | ) | 0 | (26,194 | ) | 37,145 | 10,951 | ||||||||||||||||
SAL | 0 | (6,549 | ) | 0 | (6,549 | ) | 6,083 | (466 | ) | |||||||||||||||
SOG | 0 | (6,077 | ) | 0 | (6,077 | ) | 7,214 | 1,137 | ||||||||||||||||
SSB | 1,044 | 0 | 0 | 1,044 | (1,066 | ) | (22 | ) | ||||||||||||||||
UBS | 0 | (14,564 | ) | 0 | (14,564 | ) | 19,597 | 5,033 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
Total Borrowings and Other Financing Transactions | $ | 1,044 | $ | (88,139 | ) | $ | 0 | |||||||||||||||||
|
|
|
|
|
|
(5) | 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 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS
Remaining Contractual Maturity of the Agreements
Overnight and Continuous | Up to 30 days | 31-90 days | Greater Than 90 days | Total | ||||||||||||||||
Reverse Repurchase Agreements |
| |||||||||||||||||||
Corporate Bonds & Notes | $ | 0 | $ | (2,231 | ) | $ | (10,314 | ) | $ | (3,204 | ) | $ | (15,749 | ) | ||||||
U.S. Government Agencies | 0 | 0 | (1,099 | ) | 0 | (1,099 | ) | |||||||||||||
Non-Agency Mortgage-Backed Securities | 0 | (7,075 | ) | (14,475 | ) | (7,364 | ) | (28,914 | ) | |||||||||||
Asset-Backed Securities | 0 | (5,870 | ) | (15,897 | ) | (15,116 | ) | (36,883 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Borrowings | $ | 0 | $ | (15,176 | ) | $ | (41,785 | ) | $ | (25,684 | ) | $ | (82,645 | ) | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Gross amount of recognized liabilities for reverse repurchase agreements(6) |
| $ | (82,645 | ) | ||||||||||||||||
|
|
(6) | Unsettled reverse repurchase agreements liability of $(5,494) is outstanding at period end. |
(j) FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED
SWAP AGREEMENTS:
CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION(1)
Reference Entity | Fixed Receive Rate | Maturity Date | Implied Credit Spread at December 31, 2016(2) | Notional Amount(3) | Market Value | Unrealized Appreciation | Variation Margin | |||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||
Sprint Communications, Inc. | 5.000% | 12/20/2021 | 3.462% | $ | 300 | $ 21 | $ | 12 | $ | 1 | $ | 0 | ||||||||||||||||||
|
|
|
|
|
|
|
|
(1) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on issues as of period end serve as an indicator 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. |
INTEREST RATE SWAPS
Pay/Receive Floating Rate | Floating Rate Index | Fixed Rate | Maturity Date | Notional Amount | Market | Unrealized Appreciation/ (Depreciation) | Variation Margin | |||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||
Receive | 3-Month USD-LIBOR | 1.500 | % | 12/21/2021 | $ | 1,500 | $ | (34 | ) | $ | (57 | ) | $ | 1 | $ | 0 | ||||||||||||||||||
Pay | 3-Month USD-LIBOR | 1.750 | 12/21/2023 | 60,000 | (1,678 | ) | (2,808 | ) | 121 | 0 | ||||||||||||||||||||||||
Receive | 3-Month USD-LIBOR | 1.750 | 12/21/2026 | 3,200 | (178 | ) | (256 | ) | 11 | 0 | ||||||||||||||||||||||||
Receive | 3-Month USD-LIBOR | 2.500 | 06/15/2036 | 22,800 | 324 | 2,599 | 0 | (137 | ) | |||||||||||||||||||||||||
Receive | 3-Month USD-LIBOR | 2.500 | 06/15/2046 | 1,600 | 27 | 224 | 0 | (14 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | (1,539 | ) | $ | (298 | ) | $ | 133 | $ | (151 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total Swap Agreements |
| $ | (1,518 | ) | $ | (286 | ) | $ | 134 | $ | (151 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2016 | 31 |
Table of Contents
Schedule of Investments PCM Fund, Inc. (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, 2016:
Cash of $1,821 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2016. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements.
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||||||
Market Value | Variation Margin Asset | Total | Market Value | Variation Margin Liability | Total | |||||||||||||||||||||||||||||||
Purchased Options | Futures | Swap Agreements | Written Options | Futures | Swap Agreements | |||||||||||||||||||||||||||||||
Total Exchange-Traded or Centrally Cleared | $ | 0 | $ | 0 | $ | 134 | $ | 134 | $ | 0 | $ | 0 | $ | (151) | $ | (151) | ||||||||||||||||||||
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|
|
|
|
|
|
|
|
|
|
|
|
|
(k) FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER
SWAP AGREEMENTS:
CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION(1)
Counterparty | Index/Tranches | Fixed Receive Rate | Maturity Date | Notional Amount(2) | Premiums (Received) | Unrealized (Depreciation) | Swap Agreements, at Value(3) | |||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||
GST | ABX.HE.AA.6-1 Index | 0.320 | % | 07/25/2045 | $ | 6,328 | $ | (1,259 | ) | $ | 215 | $ | 0 | $ | (1,044 | ) | ||||||||||||||
ABX.HE.PENAAA.7-1 Index | 0.090 | 08/25/2037 | 1,650 | (320 | ) | 0 | 0 | (320 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||
$ | (1,579 | ) | $ | 215 | $ | 0 | $ | (1,364 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||
Total Swap Agreements |
| $ | (1,579 | ) | $ | 215 | $ | 0 | $ | (1,364 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
(1) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(3) | The prices and resulting values for credit default swap agreements on credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced indices’ credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
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 as of December 31, 2016:
(l) | Securities with an aggregate market value of $1,725 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2016. |
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 | Net Exposure(4) | |||||||||||||||||||||||||||||||||||||
GST | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | (1,364 | ) | $ | (1,364 | ) | $ | (1,364 | ) | $ | 1,725 | $ | 361 | |||||||||||||||||||||||
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(4) | Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
32 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
Table of Contents
December 31, 2016 (Unaudited)
FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS
The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal Risks, in the Notes to Financial Statements on risks of the Fund.
Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of December 31, 2016:
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 | $ | 1 | $ | 0 | $ | 0 | $ | 133 | $ | 134 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Financial Derivative Instruments - Liabilities | ||||||||||||||||||||||||
Exchange-traded or centrally cleared | ||||||||||||||||||||||||
Swap Agreements | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 151 | $ | 151 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Over the counter | ||||||||||||||||||||||||
Swap Agreements | $ | 0 | $ | 1,364 | $ | 0 | $ | 0 | $ | 0 | $ | 1,364 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 0 | $ | 1,364 | $ | 0 | $ | 0 | $ | 151 | $ | 1,515 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
The effect of Financial Derivative Instruments on the Statements of Operations for the period ended December 31, 2016:
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 | $ | 0 | $ | 0 | $ | 35 | $ | 36 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Over the counter | ||||||||||||||||||||||||
Swap Agreements | $ | 0 | $ | 13 | $ | 0 | $ | 0 | $ | 0 | $ | 13 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 0 | $ | 14 | $ | 0 | $ | 0 | $ | 35 | $ | 49 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative Instruments |
| |||||||||||||||||||||||
Exchange-traded or centrally cleared | ||||||||||||||||||||||||
Swap Agreements | $ | 0 | $ | 12 | $ | 0 | $ | 0 | $ | (379 | ) | $ | (367 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Over the counter | ||||||||||||||||||||||||
Swap Agreements | $ | 0 | $ | 167 | $ | 0 | $ | 0 | $ | 0 | $ | 167 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 0 | $ | 179 | $ | 0 | $ | 0 | $ | (379 | ) | $ | (200 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2016 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2016 | ||||||||||||
Investments in Securities, at Value |
| |||||||||||||||
Bank Loan Obligations | $ | 0 | $ | 4,392 | $ | 0 | $ | 4,392 | ||||||||
Corporate Bonds & Notes | ||||||||||||||||
Banking & Finance | 0 | 8,618 | 2,171 | 10,789 | ||||||||||||
Industrials | 0 | 16,395 | 1,292 | 17,687 | ||||||||||||
Utilities | 0 | 2,657 | 0 | 2,657 | ||||||||||||
Municipal Bonds & Notes |
| |||||||||||||||
Arkansas | 0 | 425 | 0 | 425 | ||||||||||||
West Virginia | 0 | 760 | 0 | 760 | ||||||||||||
U.S. Government Agencies | 0 | 2,202 | 0 | 2,202 | ||||||||||||
Non-Agency Mortgage-Backed Securities | 0 | 74,415 | 577 | 74,992 | ||||||||||||
Asset-Backed Securities | 0 | 70,454 | 2,209 | 72,663 | ||||||||||||
Common Stocks |
| |||||||||||||||
Energy | 111 | 0 | 0 | 111 | ||||||||||||
Utilities | 0 | 0 | 28 | 28 | ||||||||||||
Short-Term Instruments |
| |||||||||||||||
Repurchase Agreements | 0 | 1,044 | 0 | 1,044 | ||||||||||||
Short-Term Notes | 0 | 4,199 | 0 | 4,199 |
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2016 | ||||||||||||
U.S. Treasury Bills | $ | 0 | $ | 1,725 | $ | 0 | $ | 1,725 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 111 | $ | 187,286 | $ | 6,277 | $ | 193,674 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Financial Derivative Instruments - Assets |
| |||||||||||||||
Exchange-traded or centrally cleared | $ | 0 | $ | 134 | $ | 0 | $ | 134 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Financial Derivative Instruments - Liabilities |
| |||||||||||||||
Exchange-traded or centrally cleared | 0 | (151 | ) | 0 | (151 | ) | ||||||||||
Over the counter | 0 | (1,364 | ) | 0 | (1,364 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 0 | $ | (1,515 | ) | $ | 0 | $ | (1,515 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
Total Financial Derivative Instruments | $ | 0 | $ | (1,381 | ) | $ | 0 | $ | (1,381 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Totals | $ | 111 | $ | 185,905 | $ | 6,277 | $ | 192,293 | ||||||||
|
|
|
|
|
|
|
|
There were no significant transfers between Levels 1 and 2 during the period ended December 31, 2016.
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2016 | 33 |
Table of Contents
Schedule of Investments PCM Fund, Inc. (Cont.)
December 31, 2016 (Unaudited)
The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended December 31, 2016:
Category and Subcategory | Beginning Balance at 06/30/2016 | Net Purchases | Net Sales | Accrued Discounts/ (Premiums) | Realized Gain/(Loss) | Net Change in Unrealized Appreciation/ (Depreciation)(1) | Transfers into Level 3 | Transfers out of Level 3 | Ending Balance at 12/31/2016 | Net Change in Unrealized Appreciation/ (Depreciation) on Investments Held at 12/31/2016(1) | ||||||||||||||||||||||||||||||
Investments in Securities, at Value |
| |||||||||||||||||||||||||||||||||||||||
Bank Loan Obligations | $ | 334 | $ | 0 | $ | (3 | ) | $ | 1 | $ | 0 | $ | 110 | $ | 0 | $ | (442 | ) | $ | 0 | $ | 0 | ||||||||||||||||||
Corporate Bonds & Notes | ||||||||||||||||||||||||||||||||||||||||
Banking & Finance | 2,089 | 0 | (9 | ) | 4 | 0 | 87 | 0 | 0 | 2,171 | 86 | |||||||||||||||||||||||||||||
Industrials | 1,309 | 0 | 0 | 1 | (4 | ) | (14 | ) | 0 | 0 | 1,292 | (17 | ) | |||||||||||||||||||||||||||
Non-Agency Mortgage-Backed Securities | 696 | 0 | (19 | ) | (1 | ) | (548 | ) | 449 | 0 | 0 | 577 | (50 | ) | ||||||||||||||||||||||||||
Asset-Backed Securities | 73 | 2,103 | 0 | 37 | 0 | (4 | ) | 0 | 0 | 2,209 | (4 | ) | ||||||||||||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||||||||||||||||||
Utilities | 0 | 988 | 0 | 0 | 0 | (960 | ) | 0 | 0 | 28 | (960 | ) | ||||||||||||||||||||||||||||
Warrants | ||||||||||||||||||||||||||||||||||||||||
Industrials | 0 | 0 | 0 | 0 | (12 | ) | 12 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Totals | $ | 4,501 | $ | 3,091 | $ | (31 | ) | $ | 42 | $ | (564 | ) | $ | (320 | ) | $ | 0 | $ | (442 | ) | $ | 6,277 | $ | (945 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 12/31/2016 | Valuation Technique | Unobservable Inputs | Input Value(s) (% Unless Noted Otherwise) | ||||||||||||
Investments in Securities, at Value |
| |||||||||||||||
Corporate Bonds & Notes | ||||||||||||||||
Banking & Finance | $ | 2,171 | Reference Instrument | Spread movement | 63.96-170.00 bps | |||||||||||
Industrials | 1,292 | Proxy Pricing | Base Price | 99.50 | ||||||||||||
Non-Agency Mortgage-Backed Securities | 577 | Proxy Pricing | Base Price | 6.65-99.60 | ||||||||||||
Asset-Backed Securities | 2,209 | Proxy Pricing | Base Price | 2.00-63.94 | ||||||||||||
Common Stocks | ||||||||||||||||
Utilities | 28 | Other Valuation Techniques(2) | — | — | ||||||||||||
|
| |||||||||||||||
Total | $ | 6,277 | ||||||||||||||
|
|
(1) | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at December 31, 2016 may be due to an investment no longer held or categorized as Level 3 at period end. |
(2) | Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not considered significant to the Fund |
34 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
Table of Contents
Schedule of Investments PIMCO Global StocksPLUS® & Income Fund
December 31, 2016 (Unaudited)
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
INVESTMENTS IN SECURITIES 156.4% | ||||||||||||
BANK LOAN OBLIGATIONS 1.2% | ||||||||||||
iHeartCommunications, Inc. |
| |||||||||||
7.520% due 01/30/2019 | $ | 200 | $ | 163 | ||||||||
OGX |
| |||||||||||
13.000% due 04/10/2049 ^ | 133 | 63 | ||||||||||
Sequa Corp. |
| |||||||||||
5.250% due 06/19/2017 | 1,122 | 1,074 | ||||||||||
|
| |||||||||||
Total Bank Loan Obligations (Cost $1,400) | 1,300 | |||||||||||
|
| |||||||||||
CORPORATE BONDS & NOTES 56.8% | ||||||||||||
BANKING & FINANCE 27.4% | ||||||||||||
AGFC Capital Trust |
| |||||||||||
6.000% due 01/15/2067 (j) | 1,000 | 500 | ||||||||||
Banco Bilbao Vizcaya Argentaria S.A. |
| |||||||||||
6.750% due 02/18/2020 (f) | EUR | 400 | 403 | |||||||||
Banco do Brasil S.A. |
| |||||||||||
9.000% due 06/18/2024 (f)(j) | $ | 387 | 366 | |||||||||
Banco Espirito Santo S.A. |
| |||||||||||
4.000% due 01/21/2019 ^ | EUR | 200 | 60 | |||||||||
4.750% due 01/15/2018 ^ | 100 | 30 | ||||||||||
Barclays Bank PLC |
| |||||||||||
14.000% due 06/15/2019 (f) | GBP | 100 | 152 | |||||||||
Barclays PLC |
| |||||||||||
6.500% due 09/15/2019 (f) | EUR | 600 | 615 | |||||||||
7.875% due 09/15/2022 (f)(j) | GBP | 1,250 | 1,542 | |||||||||
Blackstone CQP Holdco LP |
| |||||||||||
9.296% due 03/19/2019 | $ | 3,627 | 3,659 | |||||||||
BNP Paribas S.A. |
| |||||||||||
7.375% due 08/19/2025 (f)(j) | 1,100 | 1,108 | ||||||||||
Cantor Commercial Real Estate Co. LP |
| |||||||||||
7.750% due 02/15/2018 | 320 | 321 | ||||||||||
Communications Sales & Leasing, Inc. |
| |||||||||||
8.250% due 10/15/2023 (j) | 336 | 358 | ||||||||||
Cooperatieve Rabobank UA |
| |||||||||||
11.000% due 06/30/2019 (f)(j) | 1,135 | 1,338 | ||||||||||
Credit Agricole S.A. |
| |||||||||||
7.500% due 06/23/2026 (f)(j) | GBP | 700 | 866 | |||||||||
7.875% due 01/23/2024 (f) | $ | 200 | 203 | |||||||||
Exeter Finance Corp. |
| |||||||||||
9.750% due 05/20/2019 | 900 | 855 | ||||||||||
HSBC Holdings PLC |
| |||||||||||
6.000% due 09/29/2023 (f) | EUR | 200 | 218 | |||||||||
Jefferies Finance LLC |
| |||||||||||
7.500% due 04/15/2021 (j) | $ | 967 | 961 | |||||||||
Jefferies LoanCore LLC |
| |||||||||||
6.875% due 06/01/2020 (j) | 1,400 | 1,344 | ||||||||||
KGH Intermediate Holdco LLC |
| |||||||||||
12.000% due 08/08/2019 (h) | 1,805 | 1,787 | ||||||||||
Lloyds Banking Group PLC |
| |||||||||||
7.625% due 06/27/2023 (f)(j) | GBP | 1,600 | 2,070 | |||||||||
Nationwide Building Society |
| |||||||||||
10.250% due 06/29/2049 (f) | 4 | 584 | ||||||||||
Navient Corp. |
| |||||||||||
8.450% due 06/15/2018 (j) | $ | 811 | 876 | |||||||||
OneMain Financial Holdings LLC |
| |||||||||||
6.750% due 12/15/2019 | 8 | 8 | ||||||||||
PHH Corp. |
| |||||||||||
6.375% due 08/15/2021 (j) | 300 | 301 | ||||||||||
7.375% due 09/01/2019 (j) | 260 | 281 | ||||||||||
Pinnacol Assurance |
| |||||||||||
8.625% due 06/25/2034 (h) | 1,100 | 1,100 | ||||||||||
Provident Funding Associates LP |
| |||||||||||
6.750% due 06/15/2021 | 200 | 202 | ||||||||||
Rio Oil Finance Trust |
| |||||||||||
9.250% due 07/06/2024 (j) | 1,608 | 1,519 | ||||||||||
9.250% due 07/06/2024 | 505 | 477 | ||||||||||
Royal Bank of Scotland Group PLC |
| |||||||||||
7.500% due 08/10/2020 (f)(j) | 1,930 | 1,833 | ||||||||||
8.000% due 08/10/2025 (f)(j) | 300 | 288 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Santander UK Group Holdings PLC |
| |||||||||||
7.375% due 06/24/2022 (f)(j) | GBP | 1,100 | $ | 1,364 | ||||||||
Springleaf Finance Corp. |
| |||||||||||
5.250% due 12/15/2019 | $ | 26 | 26 | |||||||||
8.250% due 12/15/2020 (j) | 530 | 578 | ||||||||||
Starwood Property Trust, Inc. |
| |||||||||||
5.000% due 12/15/2021 | 200 | 203 | ||||||||||
TIG FinCo PLC |
| |||||||||||
8.500% due 03/02/2020 | GBP | 132 | 167 | |||||||||
8.750% due 04/02/2020 (j) | 678 | 774 | ||||||||||
Toll Road Investors Partnership LP |
| |||||||||||
0.000% due 02/15/2045 (d) | $ | 756 | 166 | |||||||||
|
| |||||||||||
29,503 | ||||||||||||
|
| |||||||||||
INDUSTRIALS 25.3% | ||||||||||||
ADT Corp. |
| |||||||||||
4.875% due 07/15/2032 | 190 | 158 | ||||||||||
Altice Financing S.A. |
| |||||||||||
7.500% due 05/15/2026 (j) | 800 | 834 | ||||||||||
BCD Acquisition, Inc. |
| |||||||||||
9.625% due 09/15/2023 | 400 | 430 | ||||||||||
BMC Software Finance, Inc. |
| |||||||||||
8.125% due 07/15/2021 | 89 | 84 | ||||||||||
Boxer Parent Co., Inc. (9.000% Cash or 9.750% PIK) |
| |||||||||||
9.000% due 10/15/2019 (b)(j) | 1,229 | 1,158 | ||||||||||
Caesars Entertainment Operating Co., Inc. |
| |||||||||||
8.500% due 02/15/2020 ^(g) | 3,607 | 3,787 | ||||||||||
9.000% due 02/15/2020 ^(g) | 180 | 187 | ||||||||||
Chesapeake Energy Corp. |
| |||||||||||
4.130% due 04/15/2019 | 10 | 10 | ||||||||||
6.250% due 01/15/2017 | EUR | 800 | 841 | |||||||||
Concordia International Corp. |
| |||||||||||
9.000% due 04/01/2022 | $ | 100 | 85 | |||||||||
Corp. GEO S.A.B. de C.V. |
| |||||||||||
9.250% due 06/30/2020 ^ | 470 | 0 | ||||||||||
CVS Pass-Through Trust |
| |||||||||||
5.880% due 01/10/2028 (j) | 503 | 555 | ||||||||||
Diamond Resorts International, Inc. |
| |||||||||||
10.750% due 09/01/2024 (j) | 500 | 493 | ||||||||||
DriveTime Automotive Group, Inc. |
| |||||||||||
8.000% due 06/01/2021 (j) | 1,170 | 1,139 | ||||||||||
Enterprise Inns PLC |
| |||||||||||
6.875% due 05/09/2025 | GBP | 10 | 13 | |||||||||
Forbes Energy Services Ltd. |
| |||||||||||
9.000% due 06/15/2019 ^(g) | $ | 292 | 105 | |||||||||
Fresh Market, Inc. |
| |||||||||||
9.750% due 05/01/2023 (j) | 1,200 | 1,029 | ||||||||||
Harvest Operations Corp. |
| |||||||||||
2.330% due 04/14/2021 | 846 | 830 | ||||||||||
HCA, Inc. |
| |||||||||||
7.500% due 11/15/2095 | 300 | 290 | ||||||||||
iHeartCommunications, Inc. |
| |||||||||||
9.000% due 03/01/2021 (j) | 690 | 513 | ||||||||||
9.000% due 09/15/2022 (j) | 1,000 | 739 | ||||||||||
Intelsat Luxembourg S.A. |
| |||||||||||
7.750% due 06/01/2021 | 1,310 | 436 | ||||||||||
8.125% due 06/01/2023 | 54 | 17 | ||||||||||
Intrepid Aviation Group Holdings LLC |
| |||||||||||
6.875% due 02/15/2019 | 1,890 | 1,701 | ||||||||||
Kinder Morgan Energy Partners LP |
| |||||||||||
6.950% due 01/15/2038 | 100 | 116 | ||||||||||
Kinder Morgan, Inc. |
| |||||||||||
7.750% due 01/15/2032 | 300 | 368 | ||||||||||
MDC Partners, Inc. |
| |||||||||||
6.500% due 05/01/2024 | 200 | 181 | ||||||||||
Millar Western Forest Products Ltd. |
| |||||||||||
8.500% due 04/01/2021 | 30 | 17 | ||||||||||
N&W Global Vending SpA |
| |||||||||||
7.000% due 10/15/2023 | EUR | 400 | 438 | |||||||||
OGX Austria GmbH |
| |||||||||||
8.375% due 04/01/2022 ^ | $ | 2,050 | 0 | |||||||||
8.500% due 06/01/2018 ^ | 1,400 | 0 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Prime Security Services Borrower LLC |
| |||||||||||
9.250% due 05/15/2023 (j) | $ | 460 | $ | 502 | ||||||||
Rowan Cos., Inc. |
| |||||||||||
7.375% due 06/15/2025 | 100 | 102 | ||||||||||
Safeway, Inc. |
| |||||||||||
7.250% due 02/01/2031 | 350 | 343 | ||||||||||
Scientific Games International, Inc. |
| |||||||||||
10.000% due 12/01/2022 | 480 | 480 | ||||||||||
Sequa Corp. |
| |||||||||||
7.000% due 12/15/2017 | 1,166 | 653 | ||||||||||
SFR Group S.A. |
| |||||||||||
7.375% due 05/01/2026 (j) | 1,327 | 1,360 | ||||||||||
Spanish Broadcasting System, Inc. |
| |||||||||||
12.500% due 04/15/2017 (j) | 527 | 529 | ||||||||||
Tembec Industries, Inc. |
| |||||||||||
9.000% due 12/15/2019 (j) | 2,600 | 2,444 | ||||||||||
Transocean, Inc. |
| |||||||||||
9.000% due 07/15/2023 (j) | 199 | 205 | ||||||||||
UAL Pass-Through Trust |
| |||||||||||
6.636% due 01/02/2024 (j) | 1,415 | 1,527 | ||||||||||
Unique Pub Finance Co. PLC |
| |||||||||||
5.659% due 06/30/2027 | GBP | 668 | 874 | |||||||||
Westmoreland Coal Co. |
| |||||||||||
8.750% due 01/01/2022 (j) | $ | 1,815 | 1,665 | |||||||||
|
| |||||||||||
27,238 | ||||||||||||
|
| |||||||||||
UTILITIES 4.1% | ||||||||||||
Frontier Communications Corp. |
| |||||||||||
11.000% due 09/15/2025 | 150 | 155 | ||||||||||
Illinois Power Generating Co. |
| |||||||||||
6.300% due 04/01/2020 ^ | 480 | 173 | ||||||||||
7.950% due 06/01/2032 ^ | 800 | 288 | ||||||||||
Odebrecht Drilling Norbe Ltd. |
| |||||||||||
6.350% due 06/30/2022 | 715 | 327 | ||||||||||
Odebrecht Offshore Drilling Finance Ltd. |
| |||||||||||
6.625% due 10/01/2023 (h) | 769 | 229 | ||||||||||
Petrobras Global Finance BV |
| |||||||||||
6.750% due 01/27/2041 (j) | 1,796 | 1,518 | ||||||||||
6.850% due 06/05/2115 | 263 | 214 | ||||||||||
6.875% due 01/20/2040 (j) | 551 | 476 | ||||||||||
7.875% due 03/15/2019 (j) | 126 | 135 | ||||||||||
Sierra Hamilton LLC |
| |||||||||||
12.250% due 12/15/2018 | 100 | 66 | ||||||||||
Sprint Capital Corp. |
| |||||||||||
6.900% due 05/01/2019 | 50 | 53 | ||||||||||
Sprint Communications, Inc. |
| |||||||||||
7.000% due 08/15/2020 (j) | 750 | 797 | ||||||||||
|
| |||||||||||
4,431 | ||||||||||||
|
| |||||||||||
Total Corporate Bonds & Notes | 61,172 | |||||||||||
|
| |||||||||||
CONVERTIBLE BONDS & NOTES 0.6% | ||||||||||||
INDUSTRIALS 0.6% | ||||||||||||
DISH Network Corp. |
| |||||||||||
3.375% due 08/15/2026 | 600 | 686 | ||||||||||
|
| |||||||||||
Total Convertible Bonds & Notes | 686 | |||||||||||
|
| |||||||||||
MUNICIPAL BONDS & NOTES 1.5% | ||||||||||||
ILLINOIS 0.1% | ||||||||||||
Chicago, Illinois General Obligation Bonds, Series 2015 |
| |||||||||||
7.375% due 01/01/2033 | 40 | 42 | ||||||||||
7.750% due 01/01/2042 | 70 | 71 | ||||||||||
|
| |||||||||||
113 | ||||||||||||
|
| |||||||||||
WEST VIRGINIA 1.4% | ||||||||||||
Tobacco Settlement Finance Authority, West Virginia Revenue Bonds, Series 2007 |
| |||||||||||
7.467% due 06/01/2047 | 1,685 | 1,525 | ||||||||||
|
| |||||||||||
Total Municipal Bonds & Notes | 1,638 | |||||||||||
|
| |||||||||||
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2016 | 35 |
Table of Contents
Schedule of Investments PIMCO Global StocksPLUS® & Income Fund (Cont.)
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
U.S. GOVERNMENT AGENCIES 2.4% | ||||||||||||
Fannie Mae |
| |||||||||||
5.294% due 03/25/2037 (a) | $ | 518 | $ | 85 | ||||||||
5.394% due 11/25/2039 (a) | 444 | 69 | ||||||||||
5.544% due 01/25/2038 (a) | 677 | 88 | ||||||||||
5.624% due 03/25/2037 (a) | 510 | 90 | ||||||||||
5.644% due 12/25/2037 (a)(j) | 799 | 118 | ||||||||||
5.654% due 06/25/2037 (a) | 228 | 31 | ||||||||||
5.684% due 04/25/2037 (a) | 458 | 81 | ||||||||||
5.694% due 04/25/2037 (a)(j) | 1,245 | 220 | ||||||||||
5.844% due 11/25/2035 (a) | 209 | 29 | ||||||||||
6.044% due 11/25/2036 (a)(j) | 2,461 | 477 | ||||||||||
6.444% due 02/25/2037 (a) | 441 | 88 | ||||||||||
7.000% due 12/25/2023 | 127 | 141 | ||||||||||
7.500% due 06/01/2032 | 44 | 46 | ||||||||||
7.800% due 06/25/2026 | 3 | 3 | ||||||||||
10.055% due 12/25/2042 | 88 | 101 | ||||||||||
13.141% due 08/25/2022 | 146 | 183 | ||||||||||
Freddie Mac |
| |||||||||||
0.701% due 10/25/2020 (a)(j) | 10,335 | 224 | ||||||||||
5.736% due 03/15/2037 (a) | 871 | 154 | ||||||||||
5.866% due 09/15/2036 (a) | 519 | 89 | ||||||||||
5.876% due 09/15/2036 (a)(j) | 1,180 | 212 | ||||||||||
7.000% due 08/15/2023 | 6 | 7 | ||||||||||
|
| |||||||||||
Total U.S. Government Agencies | 2,536 | |||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS 0.9% | ||||||||||||
U.S. Treasury Notes |
| |||||||||||
1.500% due 08/31/2018 (l)(n) | 1,000 | 1,006 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations (Cost $998) | 1,006 | |||||||||||
|
| |||||||||||
NON-AGENCY MORTGAGE-BACKED SECURITIES 58.7% | ||||||||||||
Banc of America Alternative Loan Trust |
| |||||||||||
15.277% due 09/25/2035 ^(j) | 1,925 | 2,123 | ||||||||||
Banc of America Funding Trust |
| |||||||||||
2.981% due 12/20/2034 (j) | 370 | 344 | ||||||||||
3.057% due 03/20/2036 (j) | 680 | 629 | ||||||||||
5.846% due 01/25/2037 ^ | 280 | 239 | ||||||||||
Banc of America Mortgage Trust |
| |||||||||||
6.000% due 07/25/2046 ^ | 3 | 3 | ||||||||||
Banc of America/Merrill Lynch Commercial Mortgage, Inc. |
| |||||||||||
5.765% due 03/11/2041 (j) | 1,856 | 1,949 | ||||||||||
BCRR Trust |
| |||||||||||
5.858% due 07/17/2040 (j) | 3,000 | 3,004 | ||||||||||
Bear Stearns Adjustable Rate Mortgage Trust |
| |||||||||||
3.145% due 07/25/2036 ^ | 334 | 313 | ||||||||||
Bear Stearns ALT-A Trust |
| |||||||||||
3.044% due 04/25/2035 | 317 | 280 | ||||||||||
3.118% due 11/25/2035 ^ | 180 | 149 | ||||||||||
3.149% due 09/25/2035 | 198 | 171 | ||||||||||
Bear Stearns Asset-Backed Securities Trust |
| |||||||||||
21.008% due 03/25/2036 ^(j) | 1,855 | 1,914 | ||||||||||
Bear Stearns Commercial Mortgage Securities Trust |
| |||||||||||
5.394% due 02/11/2041 (j) | 1,000 | 989 | ||||||||||
Bear Stearns Structured Products, Inc. Trust |
| |||||||||||
3.006% due 01/26/2036 (j) | 1,047 | 825 | ||||||||||
3.107% due 12/26/2046 | 420 | 326 | ||||||||||
BRAD Resecuritization Trust |
| |||||||||||
2.181% due 03/12/2021 | 1,947 | 129 | ||||||||||
6.550% due 03/12/2021 | 364 | 355 | ||||||||||
CBA Commercial Small Balance Commercial Mortgage |
| |||||||||||
5.540% due 01/25/2039 ^ | 536 | 397 | ||||||||||
Chevy Chase Funding LLC Mortgage-Backed Certificates |
| |||||||||||
1.056% due 08/25/2035 | 163 | 147 | ||||||||||
1.096% due 10/25/2034 | 12 | 11 | ||||||||||
Citigroup Mortgage Loan Trust, Inc. |
| |||||||||||
3.044% due 03/25/2037 ^(j) | 578 | 496 | ||||||||||
3.818% due 11/25/2035 | 1,799 | 1,008 | ||||||||||
Citigroup/Deutsche Bank Commercial Mortgage Trust |
| |||||||||||
5.398% due 12/11/2049 (j) | 733 | 639 | ||||||||||
Commercial Mortgage Trust |
| |||||||||||
0.132% due 10/10/2046 (a)(j) | 77,000 | 697 | ||||||||||
6.139% due 07/10/2046 (j) | 760 | 819 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Countrywide Alternative Loan Trust |
| |||||||||||
0.996% due 12/25/2046 ^ | $ | 197 | $ | 95 | ||||||||
1.086% due 10/25/2035 (j) | 992 | 784 | ||||||||||
1.106% due 05/25/2036 ^(j) | 2,073 | 1,032 | ||||||||||
3.036% due 10/25/2035 ^ | 222 | 184 | ||||||||||
3.102% due 02/25/2037 ^ | 314 | 273 | ||||||||||
5.500% due 08/25/2034 (j) | 563 | 557 | ||||||||||
5.500% due 02/25/2036 ^ | 30 | 26 | ||||||||||
5.500% due 03/25/2036 ^ | 618 | 484 | ||||||||||
6.250% due 09/25/2034 | 88 | 89 | ||||||||||
6.394% due 07/25/2036 (a)(j) | 1,494 | 395 | ||||||||||
17.721% due 07/25/2035 (j) | 1,191 | 1,435 | ||||||||||
Countrywide Home Loan Mortgage Pass-Through Trust |
| |||||||||||
0.996% due 03/25/2036 | 239 | 193 | ||||||||||
1.396% due 03/25/2035 (j) | 1,132 | 961 | ||||||||||
1.536% due 02/25/2035 | 148 | 120 | ||||||||||
2.841% due 03/25/2037 ^(j) | 450 | 348 | ||||||||||
2.867% due 10/20/2035 ^ | 180 | 151 | ||||||||||
3.005% due 10/20/2035 ^ | 241 | 211 | ||||||||||
3.062% due 10/20/2035 (j) | 435 | 380 | ||||||||||
3.172% due 08/25/2034 | 249 | 223 | ||||||||||
3.309% due 02/20/2036 ^(j) | 1,554 | 502 | ||||||||||
5.500% due 08/25/2035 ^ | 39 | 36 | ||||||||||
Credit Suisse Commercial Mortgage Trust |
| |||||||||||
5.685% due 02/15/2039 | 130 | 121 | ||||||||||
6.062% due 02/15/2041 (j) | 2,000 | 2,041 | ||||||||||
Credit Suisse Mortgage Capital Mortgage-Backed Trust |
| |||||||||||
6.000% due 11/25/2036 | 289 | 267 | ||||||||||
DBUBS Mortgage Trust |
| |||||||||||
4.652% due 11/10/2046 | 700 | 477 | ||||||||||
First Horizon Alternative Mortgage Securities Trust |
| |||||||||||
2.800% due 11/25/2036 ^(j) | 552 | 428 | ||||||||||
First Horizon Mortgage Pass-Through Trust |
| |||||||||||
2.900% due 01/25/2037 ^(j) | 973 | 855 | ||||||||||
GE Commercial Mortgage Corp. Trust |
| |||||||||||
5.606% due 12/10/2049 (j) | 1,700 | 1,702 | ||||||||||
GMAC Mortgage Corp. Loan Trust |
| |||||||||||
3.500% due 06/25/2034 | 153 | 152 | ||||||||||
GS Mortgage Securities Trust |
| |||||||||||
6.064% due 08/10/2043 (j) | 730 | 740 | ||||||||||
GSR Mortgage Loan Trust |
| |||||||||||
3.135% due 04/25/2035 | 376 | 363 | ||||||||||
3.193% due 05/25/2035 | 152 | 140 | ||||||||||
5.500% due 06/25/2036 ^ | 39 | 37 | ||||||||||
HarborView Mortgage Loan Trust |
| |||||||||||
1.336% due 04/19/2034 | 30 | 27 | ||||||||||
2.374% due 11/19/2034 | 143 | 113 | ||||||||||
3.224% due 08/19/2036 ^ | 23 | 21 | ||||||||||
3.229% due 02/25/2036 ^ | 56 | 46 | ||||||||||
HSI Asset Loan Obligation Trust |
| |||||||||||
3.201% due 01/25/2037 ^(j) | 481 | 399 | ||||||||||
IndyMac Mortgage Loan Trust |
| |||||||||||
0.862% due 06/25/2037 ^(j) | 1,746 | 1,270 | ||||||||||
1.036% due 03/25/2035 | 46 | 41 | ||||||||||
2.869% due 06/25/2037 ^(j) | 734 | 532 | ||||||||||
JPMBB Commercial Mortgage Securities Trust |
| |||||||||||
0.119% due 11/15/2045 (a)(j) | 76,047 | 1,318 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Corp. Pass-Through Trust |
| |||||||||||
5.575% due 05/15/2041 (j) | 1,500 | 1,514 | ||||||||||
JPMorgan Mortgage Trust |
| |||||||||||
2.987% due 04/25/2037 ^(j) | 1,107 | 875 | ||||||||||
5.500% due 01/25/2036 ^ | 73 | 64 | ||||||||||
5.500% due 06/25/2037 ^ | 53 | 51 | ||||||||||
Luminent Mortgage Trust |
| |||||||||||
0.956% due 10/25/2046 (j) | 785 | 676 | ||||||||||
MASTR Adjustable Rate Mortgages Trust |
| |||||||||||
3.012% due 11/25/2035 ^ | 904 | 683 | ||||||||||
3.307% due 10/25/2034 | 294 | 259 | ||||||||||
Merrill Lynch Alternative Note Asset Trust |
| |||||||||||
0.826% due 01/25/2037 | 302 | 133 | ||||||||||
Merrill Lynch Mortgage Trust |
| |||||||||||
5.826% due 06/12/2050 (j) | 1,600 | 1,554 | ||||||||||
Morgan Stanley Capital Trust |
| |||||||||||
5.569% due 12/15/2044 (j) | 1,149 | 1,172 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Opteum Mortgage Acceptance Corp. Trust |
| |||||||||||
1.026% due 07/25/2036 | $ | 329 | $ | 207 | ||||||||
Prime Mortgage Trust |
| |||||||||||
5.794% due 11/25/2036 (a) | 4,938 | 547 | ||||||||||
Provident Funding Mortgage Loan Trust |
| |||||||||||
3.132% due 10/25/2035 | 117 | 117 | ||||||||||
RBSSP Resecuritization Trust |
| |||||||||||
5.000% due 09/26/2036 (j) | 2,385 | 1,409 | ||||||||||
Residential Accredit Loans, Inc. Trust |
| |||||||||||
3.626% due 12/26/2034 ^ | 309 | 237 | ||||||||||
4.137% due 01/25/2036 ^(j) | 1,046 | 839 | ||||||||||
6.000% due 09/25/2035 (j) | 540 | 404 | ||||||||||
6.000% due 08/25/2036 ^ | 358 | 303 | ||||||||||
Residential Asset Mortgage Products Trust |
| |||||||||||
7.500% due 12/25/2031 | 106 | 106 | ||||||||||
Royal Bank of Scotland Capital Funding Trust |
| |||||||||||
6.068% due 02/17/2051 (j) | 3,000 | 3,024 | ||||||||||
Structured Adjustable Rate Mortgage Loan Trust |
| |||||||||||
1.996% due 05/25/2035 ^(j) | 2,417 | 1,714 | ||||||||||
3.013% due 01/25/2036 ^ | 476 | 360 | ||||||||||
3.139% due 09/25/2036 ^ | 443 | 321 | ||||||||||
3.312% due 04/25/2036 ^(j) | 512 | 403 | ||||||||||
3.317% due 11/25/2036 ^ | 148 | 143 | ||||||||||
3.364% due 09/25/2035 | 110 | 91 | ||||||||||
Structured Asset Mortgage Investments Trust |
| |||||||||||
0.986% due 02/25/2036 (j) | 490 | 416 | ||||||||||
1.036% due 02/25/2036 ^ | 390 | 330 | ||||||||||
Suntrust Adjustable Rate Mortgage Loan Trust |
| |||||||||||
3.234% due 01/25/2037 ^ | 164 | 153 | ||||||||||
Theatre Hospitals PLC |
| |||||||||||
3.401% due 10/15/2031 (j) | GBP | 1,035 | 1,214 | |||||||||
Wachovia Bank Commercial Mortgage Trust |
| |||||||||||
5.743% due 01/15/2041 (j) | $ | 1,500 | 1,462 | |||||||||
5.969% due 02/15/2051 (j) | 2,500 | 2,539 | ||||||||||
WaMu Commercial Mortgage Securities Trust |
| |||||||||||
5.752% due 03/23/2045 (j) | 625 | 625 | ||||||||||
WaMu Mortgage Pass-Through Certificates Trust |
| |||||||||||
1.297% due 01/25/2047 | 130 | 118 | ||||||||||
2.676% due 12/25/2036 ^(j) | 564 | 521 | ||||||||||
4.341% due 07/25/2037 ^ | 150 | 138 | ||||||||||
Washington Mutual Mortgage Pass-Through Certificates Trust |
| |||||||||||
1.337% due 04/25/2047 ^ | 735 | 58 | ||||||||||
Wells Fargo Mortgage-Backed Securities Trust |
| |||||||||||
6.000% due 03/25/2037 ^(j) | 331 | 329 | ||||||||||
Wells Fargo-RBS Commercial Mortgage Trust |
| |||||||||||
0.336% due 12/15/2046 (a) | 30,000 | 618 | ||||||||||
|
| |||||||||||
Total Non-Agency Mortgage-Backed Securities (Cost $52,015) | 63,252 | |||||||||||
|
| |||||||||||
ASSET-BACKED SECURITIES 12.2% | ||||||||||||
Apidos CLO |
| |||||||||||
0.000% due 07/22/2026 | 500 | 286 | ||||||||||
Bear Stearns Asset-Backed Securities Trust |
| |||||||||||
6.500% due 08/25/2036 ^(j) | 675 | 431 | ||||||||||
Bombardier Capital Mortgage Securitization Corp. |
| |||||||||||
7.830% due 06/15/2030 | 1,424 | 694 | ||||||||||
Carrington Mortgage Loan Trust |
| |||||||||||
0.906% due 08/25/2036 | 100 | 68 | ||||||||||
Centex Home Equity Loan Trust |
| |||||||||||
1.206% due 06/25/2035 | 236 | 216 | ||||||||||
Citigroup Mortgage Loan Trust, Inc. |
| |||||||||||
0.916% due 12/25/2036 (j) | 1,778 | 1,106 | ||||||||||
0.916% due 01/25/2037 | 213 | 124 | ||||||||||
5.972% due 01/25/2037 ^(j) | 662 | 470 | ||||||||||
Conseco Finance Securitizations Corp. |
| |||||||||||
7.960% due 05/01/2031 | 430 | 312 | ||||||||||
Countrywide Asset-Backed Certificates |
| |||||||||||
0.886% due 12/25/2036 ^ | 1,620 | 1,602 | ||||||||||
0.906% due 04/25/2047 (j) | 1,376 | 1,274 | ||||||||||
1.306% due 09/25/2034 | 104 | 101 | ||||||||||
5.253% due 10/25/2032 ^ | 918 | 805 |
36 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
Table of Contents
December 31, 2016 (Unaudited)
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
EMC Mortgage Loan Trust |
| |||||||||||
1.696% due 05/25/2039 | $ | 359 | $ | 344 | ||||||||
Lehman XS Trust |
| |||||||||||
5.012% due 05/25/2037 ^ | 270 | 386 | ||||||||||
5.420% due 11/25/2035 ^ | 206 | 207 | ||||||||||
MASTR Asset-Backed Securities Trust |
| |||||||||||
5.233% due 11/25/2035 | 45 | 45 | ||||||||||
Morgan Stanley ABS Capital, Inc. Trust |
| |||||||||||
0.816% due 05/25/2037 | 150 | 97 | ||||||||||
Residential Asset Mortgage Products Trust |
| |||||||||||
1.436% due 03/25/2033 | 54 | 50 | ||||||||||
5.572% due 06/25/2032 | 83 | 81 | ||||||||||
Soundview Home Loan Trust |
| |||||||||||
0.816% due 11/25/2036 | 207 | 85 | ||||||||||
South Coast Funding Ltd. |
| |||||||||||
1.124% due 01/06/2041 | 487 | 124 | ||||||||||
1.124% due 01/06/2041 (j) | 13,732 | 3,495 | ||||||||||
Structured Asset Securities Corp. Mortgage Loan Trust |
| |||||||||||
0.906% due 05/25/2036 (j) | 307 | 299 | ||||||||||
1.056% due 06/25/2035 (j) | 446 | 397 | ||||||||||
Washington Mutual Asset-Backed Certificates Trust |
| |||||||||||
0.816% due 10/25/2036 | 117 | 54 | ||||||||||
|
| |||||||||||
Total Asset-Backed Securities (Cost $12,901) | 13,153 | |||||||||||
|
| |||||||||||
SOVEREIGN ISSUES 0.8% | ||||||||||||
Costa Rica Government International Bond |
| |||||||||||
7.000% due 04/04/2044 (j) | 300 | 275 | ||||||||||
Republic of Greece Government International Bond |
| |||||||||||
3.000% due 02/24/2023 | EUR | 33 | 29 | |||||||||
3.000% due 02/24/2024 | 33 | 28 | ||||||||||
3.000% due 02/24/2025 | 33 | 27 | ||||||||||
3.000% due 02/24/2026 | 33 | 27 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
3.000% due 02/24/2027 | EUR | 33 | $ | 27 | ||||||||
3.000% due 02/24/2028 | 33 | 26 | ||||||||||
3.000% due 02/24/2029 | 33 | 25 | ||||||||||
3.000% due 02/24/2030 | 33 | 25 | ||||||||||
3.000% due 02/24/2031 | 33 | 24 | ||||||||||
3.000% due 02/24/2032 | 33 | 24 | ||||||||||
3.000% due 02/24/2033 | 33 | 23 | ||||||||||
3.000% due 02/24/2034 | 33 | 23 | ||||||||||
3.000% due 02/24/2035 | 33 | 22 | ||||||||||
3.000% due 02/24/2036 | 33 | 22 | ||||||||||
3.000% due 02/24/2037 | 33 | 22 | ||||||||||
3.000% due 02/24/2038 | 33 | 22 | ||||||||||
3.000% due 02/24/2039 | 33 | 22 | ||||||||||
3.000% due 02/24/2040 | 33 | 22 | ||||||||||
3.000% due 02/24/2041 | 33 | 22 | ||||||||||
3.000% due 02/24/2042 | 33 | 22 | ||||||||||
4.750% due 04/17/2019 | 100 | 100 | ||||||||||
�� |
|
| ||||||||||
Total Sovereign Issues (Cost $820) | 859 | |||||||||||
|
| |||||||||||
SHARES | ||||||||||||
COMMON STOCKS 0.1% | ||||||||||||
ENERGY 0.0% | ||||||||||||
OGX Petroleo e Gas S.A. SP - ADR | 54,706 | 0 | ||||||||||
|
| |||||||||||
FINANCIALS 0.1% | ||||||||||||
TIG FinCo PLC (h) | 103,539 | 95 | ||||||||||
|
| |||||||||||
Total Common Stocks (Cost $153) | 95 | |||||||||||
|
| |||||||||||
SHORT-TERM INSTRUMENTS 21.2% | ||||||||||||
REPURCHASE AGREEMENTS (i) 1.4% | ||||||||||||
1,456 | ||||||||||||
|
|
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
SHORT-TERM NOTES 9.5% | ||||||||||||
Federal Home Loan Bank |
| |||||||||||
0.370% due 01/27/2017 (d)(e) | $ | 600 | $ | 600 | ||||||||
0.396% due 01/06/2017 (d)(e) | 1,300 | 1,300 | ||||||||||
0.446% due 01/12/2017 (d)(e) | 400 | 400 | ||||||||||
0.457% due 01/20/2017 (d)(e) | 2,700 | 2,699 | ||||||||||
0.477% due 02/14/2017 - 02/28/2017 (d)(e) | 2,800 | 2,798 | ||||||||||
0.487% due 01/23/2017 (d)(e) | 600 | 600 | ||||||||||
0.492% due 02/13/2017 (d)(e) | 1,300 | 1,299 | ||||||||||
Freddie Mac |
| |||||||||||
0.426% due 02/07/2017 (d)(e) | 500 | 500 | ||||||||||
|
| |||||||||||
10,196 | ||||||||||||
|
| |||||||||||
U.S. TREASURY BILLS 10.3% | ||||||||||||
0.484% due 03/02/2017 - | 11,134 | 11,125 | ||||||||||
|
| |||||||||||
Total Short-Term Instruments (Cost $22,777) | 22,777 | |||||||||||
|
| |||||||||||
Total Investments in Securities (Cost $161,812) | 168,474 | |||||||||||
Total Investments 156.4% (Cost $161,812) | $ | 168,474 | ||||||||||
Financial Derivative (Cost or Premiums, net $(1,446)) | 616 | |||||||||||
Other Assets and Liabilities, net (57.0)% | (61,352 | ) | ||||||||||
|
| |||||||||||
Net Assets 100.0% | $ | 107,738 | ||||||||||
|
|
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*, EXCEPT NUMBER OF CONTRACTS AND UNITS):
* | A zero balance may reflect actual amounts rounding to less than one thousand. |
^ | Security is in default. |
(a) | Interest only security. |
(b) | Payment in-kind security. |
(c) | Coupon represents a weighted average yield to maturity. |
(d) | Zero coupon security. |
(e) | Coupon represents a yield to maturity. |
(f) | Perpetual maturity; date shown, if applicable, represents next contractual call date. |
(g) | Security is subject to a forbearance agreement entered into by the Fund which forbears the Fund from taking action to, among other things, accelerate and collect payments on the subject note with respect to specified events of default. |
(h) RESTRICTED SECURITIES:
Issuer Description | Acquisition Date | Cost | Market Value | Market Value as Percentage of Net Assets | ||||||||||||||||||
KGH Intermediate Holdco LLC 12.000% due 08/08/2019 | 08/07/2014 | $ 1,784 | $ | 1,787 | 1.66 | % | ||||||||||||||||
Odebrecht Offshore Drilling Finance Ltd. 6.625% due 10/01/2023 | 06/23/2015 - 06/24/2015 | 607 | 229 | 0.21 | ||||||||||||||||||
Pinnacol Assurance 8.625% due 06/25/2034 | 06/23/2014 | 1,100 | 1,100 | 1.02 | ||||||||||||||||||
TIG FinCo PLC | 04/02/2015 | 153 | 95 | 0.09 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||
$ 3,644 | $ | 3,211 | 2.98 | % | ||||||||||||||||||
|
|
|
|
|
|
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2016 | 37 |
Table of Contents
Schedule of Investments PIMCO Global StocksPLUS® & Income Fund (Cont.)
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(i) 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) | ||||||||||||||||||||||
SSB | 0.010 | % | 12/30/2016 | 01/03/2017 | $ | 1,356 | U.S. Treasury Notes 3.500% due 02/15/2018(2) | $ | (1,384 | ) | $ | 1,356 | $ | 1,356 | ||||||||||||||||
JPS | 0.610 | 12/30/2016 | 01/03/2017 | 100 | Ginnie Mae 4.000% due 11/20/2046 | (105 | ) | 100 | 100 | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Total Repurchase Agreements |
| $ | (1,489 | ) | $ | 1,456 | $ | 1,456 | ||||||||||||||||||||||
|
|
|
|
|
|
(1) | Includes accrued interest. |
(2) | Collateral is held in custody by the counterparty. |
REVERSE REPURCHASE AGREEMENTS:
Counterparty | Borrowing Rate(3) | Borrowing Date | Maturity Date | Amount Borrowed(3) | Payable for Reverse Repurchase Agreements | |||||||||||||||||||
BCY | 1.150 | % | 12/16/2016 | TBD | (4) | $ | (2,480 | ) | $ | (2,481 | ) | |||||||||||||
1.632 | 10/24/2016 | 01/24/2017 | (276 | ) | (277 | ) | ||||||||||||||||||
1.750 | 11/17/2016 | 02/17/2017 | (482 | ) | (483 | ) | ||||||||||||||||||
1.900 | 11/15/2016 | 02/15/2017 | (482 | ) | (483 | ) | ||||||||||||||||||
2.354 | 10/03/2016 | 01/03/2017 | (945 | ) | (951 | ) | ||||||||||||||||||
2.382 | 10/24/2016 | 01/24/2017 | (1,852 | ) | (1,861 | ) | ||||||||||||||||||
2.406 | 11/17/2016 | 02/17/2017 | (1,433 | ) | (1,438 | ) | ||||||||||||||||||
2.497 | 01/03/2017 | 04/03/2017 | (920 | ) | (920 | ) | ||||||||||||||||||
BOS | 2.820 | 11/23/2016 | 02/23/2017 | (2,228 | ) | (2,235 | ) | |||||||||||||||||
2.913 | 12/15/2016 | 03/15/2017 | (1,256 | ) | (1,258 | ) | ||||||||||||||||||
BPG | 2.731 | 03/16/2016 | 03/16/2017 | (929 | ) | (950 | ) | |||||||||||||||||
BPS | 1.581 | 10/24/2016 | 01/24/2017 | (820 | ) | (823 | ) | |||||||||||||||||
1.720 | 11/08/2016 | 02/08/2017 | (886 | ) | (888 | ) | ||||||||||||||||||
1.720 | 11/22/2016 | 02/08/2017 | (430 | ) | (431 | ) | ||||||||||||||||||
DBL | 3.103 | 12/12/2016 | 12/12/2017 | (2,001 | ) | (2,005 | ) | |||||||||||||||||
DEU | 1.750 | 11/17/2016 | 02/09/2017 | (1,695 | ) | (1,699 | ) | |||||||||||||||||
1.850 | 11/23/2016 | 02/23/2017 | (5,465 | ) | (5,477 | ) | ||||||||||||||||||
FOB | 2.445 | 12/14/2016 | 01/17/2017 | (973 | ) | (974 | ) | |||||||||||||||||
JPS | 1.976 | 10/11/2016 | 01/06/2017 | (1,843 | ) | (1,851 | ) | |||||||||||||||||
2.130 | 11/29/2016 | 03/01/2017 | (1,264 | ) | (1,267 | ) | ||||||||||||||||||
MSC | 1.700 | 12/07/2016 | 03/07/2017 | (1,577 | ) | (1,579 | ) | |||||||||||||||||
1.850 | 12/07/2016 | 03/07/2017 | (1,063 | ) | (1,064 | ) | ||||||||||||||||||
1.900 | 11/02/2016 | 02/02/2017 | (2,572 | ) | (2,580 | ) | ||||||||||||||||||
2.231 | 08/05/2016 | 02/06/2017 | (1,838 | ) | (1,844 | ) | ||||||||||||||||||
PAR | 0.800 | 11/21/2016 | 01/23/2017 | GBP | (565 | ) | (697 | ) | ||||||||||||||||
0.900 | 11/21/2016 | 01/23/2017 | (877 | ) | (1,081 | ) | ||||||||||||||||||
RBC | 2.550 | 09/13/2016 | 03/13/2017 | $ | (1,343 | ) | (1,354 | ) | ||||||||||||||||
2.580 | 11/23/2016 | 05/23/2017 | (1,434 | ) | (1,438 | ) | ||||||||||||||||||
2.630 | 11/23/2016 | 05/23/2017 | (1,130 | ) | (1,133 | ) | ||||||||||||||||||
RDR | 1.660 | 11/22/2016 | 02/22/2017 | (2,340 | ) | (2,345 | ) | |||||||||||||||||
2.260 | 01/14/2016 | 01/13/2017 | (1,040 | ) | (1,063 | ) | ||||||||||||||||||
RTA | 2.065 | 02/09/2016 | 02/03/2017 | (3,467 | ) | (3,532 | ) | |||||||||||||||||
2.207 | 03/11/2016 | 03/10/2017 | (1,718 | ) | (1,749 | ) | ||||||||||||||||||
2.230 | 05/06/2016 | 05/05/2017 | (2,046 | ) | (2,077 | ) | ||||||||||||||||||
2.230 | 07/01/2016 | 06/30/2017 | (1,441 | ) | (1,458 | ) | ||||||||||||||||||
SAL | 1.756 | 11/18/2016 | 02/21/2017 | (605 | ) | (606 | ) | |||||||||||||||||
1.780 | 10/17/2016 | 01/17/2017 | (579 | ) | (581 | ) | ||||||||||||||||||
SOG | 1.600 | 10/14/2016 | 01/13/2017 | (1,315 | ) | (1,320 | ) | |||||||||||||||||
1.650 | 11/21/2016 | 02/21/2017 | (1,995 | ) | (1,999 | ) | ||||||||||||||||||
1.700 | 12/15/2016 | 03/15/2017 | (970 | ) | (971 | ) | ||||||||||||||||||
UBS | 0.900 | 10/13/2016 | 01/13/2017 | GBP | (2,279 | ) | (2,815 | ) | ||||||||||||||||
1.100 | 11/18/2016 | 02/20/2017 | (522 | ) | (644 | ) | ||||||||||||||||||
1.310 | 10/14/2016 | 01/20/2017 | (803 | ) | (992 | ) | ||||||||||||||||||
1.650 | 10/28/2016 | 01/30/2017 | $ | (1,522 | ) | (1,527 | ) | |||||||||||||||||
1.730 | 11/28/2016 | 02/28/2017 | (1,395 | ) | (1,397 | ) | ||||||||||||||||||
1.740 | 11/09/2016 | 02/09/2017 | (265 | ) | (266 | ) | ||||||||||||||||||
1.740 | 12/02/2016 | 03/02/2017 | (2,424 | ) | (2,428 | ) | ||||||||||||||||||
1.780 | 11/30/2016 | 03/02/2017 | (958 | ) | (960 | ) | ||||||||||||||||||
1.850 | 12/28/2016 | 03/14/2017 | (1,725 | ) | (1,726 | ) | ||||||||||||||||||
1.880 | 11/30/2016 | 03/02/2017 | (889 | ) | (891 | ) | ||||||||||||||||||
2.324 | 07/05/2016 | 01/05/2017 | (3,341 | ) | (3,380 | ) |
38 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
Table of Contents
December 31, 2016 (Unaudited)
Counterparty | Borrowing Rate(3) | Borrowing Date | Maturity Date | Amount Borrowed(3) | Payable for Reverse Repurchase Agreements | |||||||||||||||||||
2.424 | % | 07/05/2016 | 01/05/2017 | $ | (762 | ) | $ | (771 | ) | |||||||||||||||
2.474 | 07/05/2016 | 01/05/2017 | (1,064 | ) | (1,077 | ) | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Reverse Repurchase Agreements |
| $ | (78,097 | ) | ||||||||||||||||||||
|
|
(3) | The average amount of borrowings outstanding during the period ended December 31, 2016 was $(78,276) at a weighted average interest rate of 1.833%. |
(4) | Open maturity reverse repurchase agreement. |
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, 2016:
(j) | Securities with an aggregate market value of $97,086 and cash of $10 have been pledged as collateral under the terms of the following master agreements as of December 31, 2016. |
Counterparty | Repurchase Agreement Proceeds to be Received | Payable for Reverse Repurchase Agreements | Payable for Sale-Buyback Transactions | Total Borrowings and Other Financing Transactions | Collateral Pledged/(Received) | Net Exposure(5) | ||||||||||||||||||
Global/Master Repurchase Agreement |
| |||||||||||||||||||||||
BCY | $ | 0 | $ | (8,894 | ) | $ | 0 | $ | (8,894 | ) | $ | 11,257 | $ | 2,363 | ||||||||||
BOS | 0 | (3,493 | ) | 0 | (3,493 | ) | 5,259 | 1,766 | ||||||||||||||||
BPG | 0 | (950 | ) | 0 | (950 | ) | 961 | 11 | ||||||||||||||||
BPS | 0 | (2,142 | ) | 0 | (2,142 | ) | 2,425 | 283 | ||||||||||||||||
DBL | 0 | (2,005 | ) | 0 | (2,005 | ) | 3,495 | 1,490 | ||||||||||||||||
DEU | 0 | (7,176 | ) | 0 | (7,176 | ) | 8,749 | 1,573 | ||||||||||||||||
FOB | 0 | (974 | ) | 0 | (974 | ) | 1,462 | 488 | ||||||||||||||||
JPS | 100 | (3,118 | ) | 0 | (3,018 | ) | 3,450 | 432 | ||||||||||||||||
MSC | 0 | (7,067 | ) | 0 | (7,067 | ) | 8,416 | 1,349 | ||||||||||||||||
PAR | 0 | (1,778 | ) | 0 | (1,778 | ) | 2,230 | 452 | ||||||||||||||||
RBC | 0 | (3,925 | ) | 0 | (3,925 | ) | 5,210 | 1,285 | ||||||||||||||||
RDR | 0 | (3,408 | ) | 0 | (3,408 | ) | 3,571 | 163 | ||||||||||||||||
RTA | 0 | (8,816 | ) | 0 | (8,816 | ) | 11,289 | 2,473 | ||||||||||||||||
SAL | 0 | (1,187 | ) | 0 | (1,187 | ) | 1,437 | 250 | ||||||||||||||||
SOG | 0 | (4,290 | ) | 0 | (4,290 | ) | 4,809 | 519 | ||||||||||||||||
SSB | 1,356 | 0 | 0 | 1,356 | (1,384 | ) | (28 | ) | ||||||||||||||||
UBS | 0 | (18,874 | ) | 0 | (18,874 | ) | 22,891 | 4,017 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
Total Borrowings and Other Financing Transactions | $ | 1,456 | $ | (78,097 | ) | $ | 0 | |||||||||||||||||
|
|
|
|
|
|
(5) | 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 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
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 | $ | (7,440 | ) | $ | (20,477 | ) | $ | (2,481 | ) | $ | (30,398 | ) | ||||||
U.S. Government Agencies | 0 | (1,100 | ) | 0 | 0 | (1,100 | ) | |||||||||||||
Non-Agency Mortgage-Backed Securities | 0 | (13,501 | ) | (23,801 | ) | (6,106 | ) | (43,408 | ) | |||||||||||
Asset-Backed Securities | 0 | 0 | 0 | (2,005 | ) | (2,005 | ) | |||||||||||||
Sovereign Issues | 0 | 0 | (266 | ) | 0 | (266 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Borrowings | $ | 0 | $ | (22,041 | ) | $ | (44,544 | ) | $ | (10,592 | ) | $ | (77,177 | ) | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Gross amount of recognized liabilities for reverse repurchase agreements(6) |
| $ | (77,177 | ) | ||||||||||||||||
|
|
(6) | Unsettled reverse repurchase agreements liability of $(920) is outstanding at period end. |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2016 | 39 |
Table of Contents
Schedule of Investments PIMCO Global StocksPLUS® & Income Fund (Cont.)
(k) FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED
PURCHASED OPTIONS:
OPTIONS ON EXCHANGE-TRADED FUTURES CONTRACTS
Description | Strike Price | Expiration Date | # of Contracts | Cost | Market Value | |||||||||||||||
Put - CME S&P 500 Index January Futures | 2,145.000 | 01/20/2017 | 91 | $ | 182 | $ | 134 | |||||||||||||
|
|
|
| |||||||||||||||||
Total Purchased Options |
| $ | 182 | $ | 134 | |||||||||||||||
|
|
|
|
WRITTEN OPTIONS:
OPTIONS ON EXCHANGE-TRADED FUTURES CONTRACTS
Description | Strike Price | Expiration Date | # of Contracts | Premiums (Received) | Market Value | |||||||||||||||
Call - CME S&P 500 Index January Futures | 2,255.000 | 01/20/2017 | 91 | $ | (728 | ) | $ | (330 | ) | |||||||||||
|
|
|
| |||||||||||||||||
Total Written Options |
| $ | (728 | ) | $ | (330 | ) | |||||||||||||
|
|
|
|
FUTURES CONTRACTS:
Description | Type | Expiration Month | # of Contracts | Unrealized (Depreciation) | Variation Margin | |||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||
E-mini S&P 500 Index March Futures | Long | 03/2017 | 28 | $ | (16 | ) | $ | 0 | $ | (13 | ) | |||||||||||||
S&P 500 Index March Futures | Long | 03/2017 | 90 | (172 | ) | 0 | (200 | ) | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
Total Futures Contracts | $ | (188 | ) | $ | 0 | $ | (213 | ) | ||||||||||||||||
|
|
|
|
|
|
SWAP AGREEMENTS:
INTEREST RATE SWAPS
Pay/Receive Floating Rate | Floating Rate Index | Fixed Rate | Maturity Date | Notional Amount | Market Value | Unrealized Appreciation/ (Depreciation) | Variation Margin | |||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||
Pay | 1-Year BRL-CDI | 12.055 | % | 01/04/2021 | BRL | 3,600 | $ | 7 | $ | 1 | $ | 0 | $ | 0 | ||||||||||||||||||||
Pay | 3-Month CAD-Bank Bill | 3.300 | 06/19/2024 | CAD | 4,900 | 424 | (143 | ) | 12 | 0 | ||||||||||||||||||||||||
Receive | 3-Month CAD-Bank Bill | 3.500 | 06/20/2044 | 1,600 | (299 | ) | 98 | 0 | (14 | ) | ||||||||||||||||||||||||
Pay | 3-Month USD-LIBOR | 2.750 | 06/19/2023 | $ | 308,500 | 11,819 | (15,557 | ) | 579 | 0 | ||||||||||||||||||||||||
Pay | 3-Month USD-LIBOR | 3.000 | 06/18/2024 | 19,700 | 1,096 | (1,101 | ) | 47 | 0 | |||||||||||||||||||||||||
Receive | 3-Month USD-LIBOR | 1.750 | 12/21/2026 | 269,400 | 14,244 | 19,436 | 0 | (896 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | 27,291 | $ | 2,734 | $ | 638 | $ | (910 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total Swap Agreements |
| $ | 27,291 | $ | 2,734 | $ | 638 | $ | (910 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
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, 2016:
(l) | Securities with an aggregate market value of $11,084 and cash of $17,487 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2016. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||||||
Market Value | Variation Margin Asset | Total | Market Value | Variation Margin Liability | Total | |||||||||||||||||||||||||||||||
Purchased Options | Futures | Swap Agreements | Written Options | Futures | Swap Agreements | |||||||||||||||||||||||||||||||
Total Exchange-Traded or Centrally Cleared | $ | 134 | $ | 0 | $ | 638 | $ | 772 | $ | (330 | ) | $ | (213 | ) | $ | (910 | ) | $ | (1,453 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
40 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
Table of Contents
December 31, 2016 (Unaudited)
(m) 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 | |||||||||||||||||||||||
AZD | 01/2017 | $ | 11 | AUD | 15 | $ | 0 | $ | 0 | |||||||||||||||
BOA | 01/2017 | 2,967 | EUR | 2,853 | 36 | 0 | ||||||||||||||||||
01/2017 | 84 | GBP | 67 | 0 | (1 | ) | ||||||||||||||||||
01/2017 | 223 | JPY | 25,362 | 0 | (6 | ) | ||||||||||||||||||
02/2017 | EUR | 2,853 | $ | 2,971 | 0 | (36 | ) | |||||||||||||||||
BPS | 01/2017 | 3,313 | 3,514 | 26 | 0 | |||||||||||||||||||
01/2017 | GBP | 2,774 | 3,469 | 50 | 0 | |||||||||||||||||||
01/2017 | $ | 73 | EUR | 69 | 0 | (1 | ) | |||||||||||||||||
CBK | 01/2017 | DKK | 69 | $ | 10 | 0 | 0 | |||||||||||||||||
01/2017 | JPY | 2,478 | 21 | 0 | 0 | |||||||||||||||||||
01/2017 | $ | 31 | AUD | 42 | 0 | (1 | ) | |||||||||||||||||
01/2017 | 271 | EUR | 255 | 0 | (3 | ) | ||||||||||||||||||
02/2017 | SEK | 91 | $ | 10 | 0 | 0 | ||||||||||||||||||
GLM | 01/2017 | AUD | 59 | 43 | 0 | 0 | ||||||||||||||||||
01/2017 | GBP | 26 | 32 | 0 | 0 | |||||||||||||||||||
01/2017 | JPY | 26,435 | 226 | 0 | 0 | |||||||||||||||||||
01/2017 | $ | 162 | EUR | 155 | 1 | 0 | ||||||||||||||||||
01/2017 | 129 | JPY | 15,176 | 1 | 0 | |||||||||||||||||||
02/2017 | CHF | 11 | $ | 11 | 0 | 0 | ||||||||||||||||||
02/2017 | $ | 32 | CHF | 32 | 0 | 0 | ||||||||||||||||||
HUS | 01/2017 | GBP | 68 | $ | 85 | 2 | 0 | |||||||||||||||||
01/2017 | $ | 22 | EUR | 21 | 0 | 0 | ||||||||||||||||||
IND | 01/2017 | 3,376 | GBP | 2,757 | 22 | 0 | ||||||||||||||||||
02/2017 | GBP | 2,757 | $ | 3,378 | 0 | (23 | ) | |||||||||||||||||
JPM | 01/2017 | CAD | 37 | 28 | 0 | 0 | ||||||||||||||||||
01/2017 | EUR | 299 | 312 | 0 | (3 | ) | ||||||||||||||||||
01/2017 | $ | 22 | AUD | 29 | 0 | (1 | ) | |||||||||||||||||
01/2017 | 117 | EUR | 110 | 0 | (1 | ) | ||||||||||||||||||
01/2017 | 75 | GBP | 61 | 0 | 0 | |||||||||||||||||||
MSB | 01/2017 | CAD | 29 | $ | 22 | 1 | 0 | |||||||||||||||||
NAB | 01/2017 | $ | 11 | JPY | 1,290 | 0 | 0 | |||||||||||||||||
RBC | 01/2017 | GBP | 174 | $ | 215 | 1 | 0 | |||||||||||||||||
01/2017 | $ | 21 | EUR | 20 | 0 | 0 | ||||||||||||||||||
01/2017 | 63 | GBP | 50 | 0 | (2 | ) | ||||||||||||||||||
02/2017 | 11 | CHF | 11 | 0 | 0 | |||||||||||||||||||
SCX | 01/2017 | 131 | GBP | 107 | 1 | 0 | ||||||||||||||||||
01/2017 | 21 | HKD | 163 | 0 | 0 | |||||||||||||||||||
02/2017 | CHF | 75 | $ | 74 | 1 | 0 | ||||||||||||||||||
02/2017 | $ | 11 | CHF | 11 | 0 | 0 | ||||||||||||||||||
TOR | 01/2017 | HKD | 248 | $ | 32 | 0 | 0 | |||||||||||||||||
UAG | 01/2017 | $ | 138 | EUR | 129 | 0 | (2 | ) | ||||||||||||||||
02/2017 | 53 | CHF | 54 | 0 | 0 | |||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Total Forward Foreign Currency Contracts |
| $ | 142 | $ | (80 | ) | ||||||||||||||||||
|
|
|
|
WRITTEN OPTIONS:
TRANSACTIONS IN WRITTEN CALL AND PUT OPTIONS FOR THE PERIOD ENDED DECEMBER 31, 2016:
Balance at Beginning of Period | Sales | Closing Buys | Expirations | Exercised | Balance at End of Period | |||||||||||||||||||
# of Contracts | 95 | 547 | (551 | ) | 0 | 0 | 91 | |||||||||||||||||
Premiums | $ | (917 | ) | $ | (3,871 | ) | $ | 4,060 | $ | 0 | $ | 0 | $ | (728 | ) |
SWAP AGREEMENTS:
CREDIT DEFAULT SWAPS ON ASSET-BACKED SECURITIES - SELL PROTECTION(1)
Counterparty | Reference Obligation | Fixed Receive Rate | Maturity Date | Notional Amount(2) | Premiums Paid/(Received) | Unrealized (Depreciation) | Swap Agreements, at Value(3) | |||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||
BOA | Long Beach Mortgage Loan Trust 1-Month USD-LIBOR plus 5.250% due 07/25/2033 | 6.250% | 07/25/2033 | $ | 384 | $ 0 | $ | (19 | ) | $ | 0 | $ | (19 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2016 | 41 |
Table of Contents
Schedule of Investments PIMCO Global StocksPLUS® & Income Fund (Cont.)
CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION(1)
Counterparty | Index/Tranches | Fixed Receive Rate | Maturity Date | Notional Amount(2) | Premiums (Received) | Unrealized Appreciation/ (Depreciation) | Swap Agreements, at Value(3) | |||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||
GST | ABX.HE.AA.6-1 Index | 0.320 | % | 07/25/2045 | $ | 2,812 | $ (559 | ) | $ | 95 | $ | 0 | $ | (464 | ) | |||||||||||||||
ABX.HE.PENAAA.7-1 Index | 0.090 | 08/25/2037 | 1,760 | (341 | ) | (1 | ) | 0 | (342 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||
$ (900 | ) | $ | 94 | $ | 0 | $ | (806 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
(1) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(3) | The prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced indices’ credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
TOTAL RETURN SWAPS ON EQUITY INDICES
Counterparty | Pay/Receive(4) | Underlying Reference | # of Units | Financing Rate | Maturity | Notional | Premiums | Unrealized | Swap Agreements, at Value | |||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||
FBF | Receive | NDDUEAFE Index | 2,023 | 3-Month USD-LIBOR less a specified spread | 05/11/2017 | $ 9,538 | $ | 0 | $ | 321 | $ | 321 | $ | 0 | ||||||||||||||||||
Receive | NDDUEAFE Index | 8,937 | 3-Month USD-LIBOR less a specified spread | 06/07/2017 | 41,806 | 0 | 1,739 | 1,739 | 0 | |||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
$ | 0 | $ | 2,060 | $ | 2,060 | $ | 0 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Total Swap Agreements |
| $ | (900 | ) | $ | 2,135 | $ | 2,060 | $ | (825 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
(4) | Receive represents that the Fund receives payments for any positive return on the underlying reference. The Fund makes payments for any negative return on such underlying reference. Pay represents that the Fund receives payments for any negative return on the underlying reference. The Fund makes payments for any positive return on such underlying reference. |
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, 2016:
(n) | Securities with an aggregate market value of $1,041 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2016. |
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||||||||||||||||||
Counterparty | Forward Foreign Currency Contracts | Purchased Options | Swap Agreements | Total Over the Counter | Forward Foreign Currency Contracts | Written Options | Swap Agreements | Total Over the Counter | Net Market Value of OTC Derivatives | Collateral Pledged/ (Received) | Net Exposure(5) | |||||||||||||||||||||||||||||||||||||
BOA | $ | 36 | $ | 0 | $ | 0 | $ | 36 | $ | (43 | ) | $ | 0 | $ | (19 | ) | $ | (62 | ) | $ | (26 | ) | $ | 0 | $ | (26 | ) | |||||||||||||||||||||
BPS | 76 | 0 | 0 | 76 | (1 | ) | 0 | 0 | (1 | ) | 75 | 0 | 75 | |||||||||||||||||||||||||||||||||||
CBK | 0 | 0 | 0 | 0 | (4 | ) | 0 | 0 | (4 | ) | (4 | ) | 0 | (4 | ) | |||||||||||||||||||||||||||||||||
FBF | 0 | 0 | 2,060 | 2,060 | 0 | 0 | 0 | 0 | 2,060 | (1,770 | ) | 290 | ||||||||||||||||||||||||||||||||||||
GLM | 2 | 0 | 0 | 2 | 0 | 0 | 0 | 0 | 2 | 0 | 2 | |||||||||||||||||||||||||||||||||||||
GST | 0 | 0 | 0 | 0 | 0 | 0 | (806 | ) | (806 | ) | (806 | ) | 1,041 | 235 | ||||||||||||||||||||||||||||||||||
HUS | 2 | 0 | 0 | 2 | 0 | 0 | 0 | 0 | 2 | 0 | 2 | |||||||||||||||||||||||||||||||||||||
IND | 22 | 0 | 0 | 22 | (23 | ) | 0 | 0 | (23 | ) | (1 | ) | 0 | (1 | ) | |||||||||||||||||||||||||||||||||
JPM | 0 | 0 | 0 | 0 | (5 | ) | 0 | 0 | (5 | ) | (5 | ) | 0 | (5 | ) | |||||||||||||||||||||||||||||||||
MSB | 1 | 0 | 0 | 1 | 0 | 0 | 0 | 0 | 1 | 0 | 1 | |||||||||||||||||||||||||||||||||||||
RBC | 1 | 0 | 0 | 1 | (2 | ) | 0 | 0 | (2 | ) | (1 | ) | 0 | (1 | ) | |||||||||||||||||||||||||||||||||
SCX | 2 | 0 | 0 | 2 | 0 | 0 | 0 | 0 | 2 | 0 | 2 | |||||||||||||||||||||||||||||||||||||
UAG | 0 | 0 | 0 | 0 | (2 | ) | 0 | 0 | (2 | ) | (2 | ) | 0 | (2 | ) | |||||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||||||
Total Over the Counter | $ | 142 | $ | 0 | $ | 2,060 | $ | 2,202 | $ | (80 | ) | $ | 0 | $ | (825 | ) | $ | (905 | ) | |||||||||||||||||||||||||||||
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|
(5) | Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
42 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
Table of Contents
December 31, 2016 (Unaudited)
FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS
The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal Risks, in the Notes to Financial Statements on risks of the Fund.
Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of December 31, 2016:
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Exchange Contracts | Interest Rate Contracts | Total | |||||||||||||||||||
Financial Derivative Instruments - Assets | ||||||||||||||||||||||||
Exchange-traded or centrally cleared | ||||||||||||||||||||||||
Purchased Options | $ | 0 | $ | 0 | $ | 134 | $ | 0 | $ | 0 | $ | 134 | ||||||||||||
Swap Agreements | 0 | 0 | 0 | 0 | 638 | 638 | ||||||||||||||||||
|
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|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 0 | $ | 0 | $ | 134 | $ | 0 | $ | 638 | $ | 772 | |||||||||||||
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|
|
|
|
|
|
|
|
|
| |||||||||||||
Over the counter |
| |||||||||||||||||||||||
Forward Foreign Currency Contracts | $ | 0 | $ | 0 | $ | 0 | $ | 142 | $ | 0 | $ | 142 | ||||||||||||
Swap Agreements | 0 | 0 | 2,060 | 0 | 0 | 2,060 | ||||||||||||||||||
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| |||||||||||||
$ | 0 | $ | 0 | $ | 2,060 | $ | 142 | $ | 0 | $ | 2,202 | |||||||||||||
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|
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|
|
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|
| |||||||||||||
$ | 0 | $ | 0 | $ | 2,194 | $ | 142 | $ | 638 | $ | 2,974 | |||||||||||||
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|
|
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|
| |||||||||||||
Financial Derivative Instruments - Liabilities | ||||||||||||||||||||||||
Exchange-traded or centrally cleared |
| |||||||||||||||||||||||
Written Options | $ | 0 | $ | 0 | $ | 330 | $ | 0 | $ | 0 | $ | 330 | ||||||||||||
Futures | 0 | 0 | 213 | 0 | 0 | 213 | ||||||||||||||||||
Swap Agreements | 0 | 0 | 0 | 0 | 910 | 910 | ||||||||||||||||||
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| |||||||||||||
$ | 0 | $ | 0 | $ | 543 | $ | 0 | $ | 910 | $ | 1,453 | |||||||||||||
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|
|
|
|
|
|
|
| |||||||||||||
Over the counter |
| |||||||||||||||||||||||
Forward Foreign Currency Contracts | $ | 0 | $ | 0 | $ | 0 | $ | 80 | $ | 0 | $ | 80 | ||||||||||||
Swap Agreements | 0 | 825 | 0 | 0 | 0 | 825 | ||||||||||||||||||
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|
|
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| |||||||||||||
$ | 0 | $ | 825 | $ | 0 | $ | 80 | $ | 0 | $ | 905 | |||||||||||||
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| |||||||||||||
$ | 0 | $ | 825 | $ | 543 | $ | 80 | $ | 910 | $ | 2,358 | |||||||||||||
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The effect of Financial Derivative Instruments on the Statements of Operations for the period ended December 31, 2016:
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Exchange Contracts | Interest Rate Contracts | Total | |||||||||||||||||||
Net Realized Gain (Loss) on Financial Derivative Instruments |
| |||||||||||||||||||||||
Exchange-traded or centrally cleared | ||||||||||||||||||||||||
Purchased Options | $ | 0 | $ | 0 | $ | (1,191 | ) | $ | 0 | $ | 0 | $ | (1,191 | ) | ||||||||||
Written Options | 0 | 0 | (1,720 | ) | 0 | 0 | (1,720 | ) | ||||||||||||||||
Futures | 0 | 0 | 4,122 | 0 | 0 | 4,122 | ||||||||||||||||||
Swap Agreements | 0 | 0 | 0 | 0 | 3,204 | 3,204 | ||||||||||||||||||
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|
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|
| |||||||||||||
$ | 0 | $ | 0 | $ | 1,211 | $ | 0 | $ | 3,204 | $ | 4,415 | |||||||||||||
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| |||||||||||||
Over the counter | ||||||||||||||||||||||||
Forward Foreign Currency Contracts | $ | 0 | $ | 0 | $ | 0 | $ | 688 | $ | 0 | $ | 688 | ||||||||||||
Swap Agreements | 0 | 28 | 91 | 0 | (4 | ) | 115 | |||||||||||||||||
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| |||||||||||||
$ | 0 | $ | 28 | $ | 91 | $ | 688 | $ | (4 | ) | $ | 803 | ||||||||||||
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| |||||||||||||
$ | 0 | $ | 28 | $ | 1,302 | $ | 688 | $ | 3,200 | $ | 5,218 | |||||||||||||
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| |||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative Instruments |
| |||||||||||||||||||||||
Exchange-traded or centrally cleared | ||||||||||||||||||||||||
Purchased Options | $ | 0 | $ | 0 | $ | 252 | $ | 0 | $ | 0 | $ | 252 | ||||||||||||
Written Options | 0 | 0 | 398 | 0 | 0 | 398 | ||||||||||||||||||
Futures | 0 | 0 | (246 | ) | 0 | 0 | (246 | ) | ||||||||||||||||
Swap Agreements | 0 | 0 | 0 | 0 | (695 | ) | (695 | ) | ||||||||||||||||
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|
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| |||||||||||||
$ | 0 | $ | 0 | $ | 404 | $ | 0 | $ | (695 | ) | $ | (291 | ) | |||||||||||
|
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|
|
|
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| |||||||||||||
Over the counter | ||||||||||||||||||||||||
Forward Foreign Currency Contracts | $ | 0 | $ | 0 | $ | 0 | $ | (200 | ) | $ | 0 | $ | (200 | ) | ||||||||||
Swap Agreements | 0 | 76 | 2,642 | 0 | 15 | 2,733 | ||||||||||||||||||
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| |||||||||||||
$ | 0 | $ | 76 | $ | 2,642 | $ | (200 | ) | $ | 15 | $ | 2,533 | ||||||||||||
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| |||||||||||||
$ | 0 | $ | 76 | $ | 3,046 | $ | (200 | ) | $ | (680 | ) | $ | 2,242 | |||||||||||
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|
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2016 | 43 |
Table of Contents
Schedule of Investments PIMCO Global StocksPLUS® & Income Fund (Cont.)
December 31, 2016 (Unaudited)
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2016 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2016 | ||||||||||||
Investments in Securities, at Value |
| |||||||||||||||
Bank Loan Obligations | $ | 0 | $ | 1,237 | $ | 63 | $ | 1,300 | ||||||||
Corporate Bonds & Notes |
| |||||||||||||||
Banking & Finance | 0 | 25,761 | 3,742 | 29,503 | ||||||||||||
Industrials | 0 | 27,238 | 0 | 27,238 | ||||||||||||
Utilities | 0 | 4,431 | 0 | 4,431 | ||||||||||||
Convertible Bonds & Notes |
| |||||||||||||||
Industrials | 0 | 686 | 0 | 686 | ||||||||||||
Municipal Bonds & Notes |
| |||||||||||||||
Illinois | 0 | 113 | 0 | 113 | ||||||||||||
West Virginia | 0 | 1,525 | 0 | 1,525 | ||||||||||||
U.S. Government Agencies | 0 | 2,536 | 0 | 2,536 | ||||||||||||
U.S. Treasury Obligations | 0 | 1,006 | 0 | 1,006 | ||||||||||||
Non-Agency Mortgage-Backed Securities | 0 | 62,442 | 810 | 63,252 | ||||||||||||
Asset-Backed Securities | 0 | 13,153 | 0 | 13,153 | ||||||||||||
Sovereign Issues | 0 | 859 | 0 | 859 | ||||||||||||
Common Stocks |
| |||||||||||||||
Financials | 0 | 0 | 95 | 95 | ||||||||||||
Short-Term Instruments |
| |||||||||||||||
Repurchase Agreements | 0 | 1,456 | 0 | 1,456 | ||||||||||||
Short-Term Notes | 0 | 10,196 | 0 | 10,196 |
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2016 | ||||||||||||
U.S. Treasury Bills | $ | 0 | $ | 11,125 | $ | 0 | $ | 11,125 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 0 | $ | 163,764 | $ | 4,710 | $ | 168,474 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Financial Derivative Instruments - Assets |
| |||||||||||||||
Exchange-traded or centrally cleared | 134 | 638 | 0 | 772 | ||||||||||||
Over the counter | 0 | 2,202 | 0 | 2,202 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 134 | $ | 2,840 | $ | 0 | $ | 2,974 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Financial Derivative Instruments - Liabilities |
| |||||||||||||||
Exchange-traded or centrally cleared | (543 | ) | (910 | ) | 0 | (1,453 | ) | |||||||||
Over the counter | 0 | (905 | ) | 0 | (905 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | (543 | ) | $ | (1,815 | ) | $ | 0 | $ | (2,358 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Financial Derivative Instruments | $ | (409 | ) | $ | 1,025 | $ | 0 | $ | 616 | |||||||
|
|
|
|
|
|
|
| |||||||||
Totals | $ | (409 | ) | $ | 164,789 | $ | 4,710 | $ | 169,090 | |||||||
|
|
|
|
|
|
|
|
There were no significant transfers between Levels 1 and 2 during the period ended December 31, 2016.
The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended December 31, 2016:
Category and Subcategory | Beginning Balance at 06/30/2016 | Net Purchases | Net Sales | Accrued Discounts/ (Premiums) | Realized Gain/(Loss) | Net Change in Unrealized Appreciation/ (Depreciation)(1) | Transfers into Level 3 | Transfers out of Level 3 | Ending Balance at 12/31/2016 | Net Change in Unrealized Appreciation/ (Depreciation) on Investments Held at 12/31/2016(1) | ||||||||||||||||||||||||||||||
Investments in Securities, at Value |
| |||||||||||||||||||||||||||||||||||||||
Bank Loan Obligations | $ | 109 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | (46 | ) | $ | 0 | $ | 0 | $ | 63 | $ | (46 | ) | ||||||||||||||||||
Corporate Bonds & Notes | ||||||||||||||||||||||||||||||||||||||||
Banking & Finance | 3,759 | 0 | (12 | ) | 5 | 0 | (10 | ) | 0 | 0 | 3,742 | (11 | ) | |||||||||||||||||||||||||||
Industrials | 850 | 0 | 0 | 4 | (4 | ) | (20 | ) | 0 | (830 | ) | 0 | 0 | |||||||||||||||||||||||||||
Non-Agency Mortgage-Backed Securities | 1,455 | 31 | (177 | ) | 4 | 14 | (40 | ) | 0 | (477 | ) | 810 | (27 | ) | ||||||||||||||||||||||||||
Common Stocks |
| |||||||||||||||||||||||||||||||||||||||
Financials | 66 | 0 | 0 | 0 | 0 | 29 | 0 | 0 | 95 | 29 | ||||||||||||||||||||||||||||||
Warrants |
| |||||||||||||||||||||||||||||||||||||||
Industrials | 0 | 0 | 0 | 0 | (15 | ) | 15 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Totals | $ | 6,239 | $ | 31 | $ | (189 | ) | $ | 13 | $ | (5 | ) | $ | (72 | ) | $ | 0 | $ | (1,307 | ) | $ | 4,710 | $ | (55 | ) | |||||||||||||||
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:
Category and Subcategory | Ending Balance at 12/31/2016 | Valuation Technique | Unobservable Inputs | Input Value(s) (% Unless Noted Otherwise) | ||||||||||
Investments in Securities, at Value | ||||||||||||||
Bank Loan Obligations | $ | 63 | Other Valuation Techniques(2) | — | ||||||||||
Corporate Bonds & Notes |
| |||||||||||||
Banking & Finance | 2,642 | Reference Instrument | Spread movement | 63.96-170 bps | ||||||||||
1,100 | Proxy Pricing | Base Price | 102.67 | |||||||||||
Non-Agency Mortgage-Backed Securities | 484 | Proxy Pricing | Base Price | 6.65-99.60 | ||||||||||
326 | Third Party Vendor | Broker Quote | 77.56 | |||||||||||
Common Stocks | ||||||||||||||
Financials | 95 | Other Valuation Techniques(2) | — | |||||||||||
|
| |||||||||||||
Total | $ | 4,710 | ||||||||||||
|
|
(1) | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at December 31, 2016 may be due to an investment no longer held or categorized as Level 3 at period end. |
(2) | Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not considered significant to the Fund. |
44 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
Table of Contents
Schedule of Investments PIMCO Income Opportunity Fund
December 31, 2016 (Unaudited)
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
INVESTMENTS IN SECURITIES 162.7% | ||||||||||||
BANK LOAN OBLIGATIONS 4.9% | ||||||||||||
Ancestry.com, Inc. |
| |||||||||||
9.250% due 10/19/2024 | $ | 800 | $ | 818 | ||||||||
Energy Future Intermediate Holding Co. LLC |
| |||||||||||
4.250% due 06/30/2017 | 7,707 | 7,767 | ||||||||||
iHeartCommunications, Inc. |
| |||||||||||
7.520% due 01/30/2019 | 4,600 | 3,753 | ||||||||||
OGX |
| |||||||||||
13.000% due 04/10/2049 ^ | 271 | 127 | ||||||||||
Rackspace Hosting, Inc. |
| |||||||||||
4.500% due 11/03/2023 | 1,400 | 1,418 | ||||||||||
Sequa Corp. |
| |||||||||||
5.250% due 06/19/2017 | 3,473 | 3,324 | ||||||||||
|
| |||||||||||
Total Bank Loan Obligations (Cost $18,066) | 17,207 | |||||||||||
|
| |||||||||||
CORPORATE BONDS & NOTES 53.0% | ||||||||||||
BANKING & FINANCE 22.0% | ||||||||||||
AGFC Capital Trust |
| |||||||||||
6.000% due 01/15/2067 (i) | 2,300 | 1,150 | ||||||||||
Ally Financial, Inc. |
| |||||||||||
8.000% due 11/01/2031 | 650 | 757 | ||||||||||
8.000% due 11/01/2031 (i) | 1,020 | 1,186 | ||||||||||
Banco do Brasil S.A. |
| |||||||||||
6.250% due 04/15/2024 (e) | 240 | 177 | ||||||||||
Banco Espirito Santo S.A. |
| |||||||||||
4.000% due 01/21/2019 ^ | EUR | 3,100 | 930 | |||||||||
Banco Popular Espanol S.A. |
| |||||||||||
11.500% due 10/10/2018 (e)(i) | 500 | 532 | ||||||||||
Barclays Bank PLC |
| |||||||||||
7.625% due 11/21/2022 (i) | $ | 400 | 440 | |||||||||
Barclays PLC |
| |||||||||||
6.500% due 09/15/2019 (e) | EUR | 200 | 205 | |||||||||
7.875% due 09/15/2022 (e)(i) | GBP | 1,970 | 2,430 | |||||||||
8.000% due 12/15/2020 (e) | EUR | 200 | 223 | |||||||||
Blackstone CQP Holdco LP |
| |||||||||||
9.296% due 03/19/2019 | $ | 11,311 | 11,410 | |||||||||
Cantor Fitzgerald LP |
| |||||||||||
7.875% due 10/15/2019 (i) | 3,160 | 3,502 | ||||||||||
Co-operative Group Holdings Ltd. |
| |||||||||||
7.500% due 07/08/2026 | GBP | 1,700 | 2,492 | |||||||||
Communications Sales & Leasing, Inc. |
| |||||||||||
8.250% due 10/15/2023 (i) | $ | 582 | 620 | |||||||||
Credit Agricole S.A. |
| |||||||||||
7.500% due 06/23/2026 (e)(i) | GBP | 1,000 | 1,237 | |||||||||
7.875% due 01/23/2024 (e)(i) | $ | 2,700 | 2,737 | |||||||||
Credit Suisse AG |
| |||||||||||
6.500% due 08/08/2023 (i) | 200 | 213 | ||||||||||
Exeter Finance Corp. |
| |||||||||||
9.750% due 05/20/2019 | 2,800 | 2,659 | ||||||||||
HSBC Holdings PLC |
| |||||||||||
6.000% due 09/29/2023 (e)(i) | EUR | 1,200 | 1,310 | |||||||||
Jefferies Finance LLC |
| |||||||||||
7.500% due 04/15/2021 (i) | $ | 2,285 | 2,271 | |||||||||
Jefferies LoanCore LLC |
| |||||||||||
6.875% due 06/01/2020 (i) | 1,450 | 1,392 | ||||||||||
KGH Intermediate Holdco LLC |
| |||||||||||
12.000% due 08/08/2019 (g) | 4,940 | 4,892 | ||||||||||
MPT Operating Partnership LP |
| |||||||||||
5.250% due 08/01/2026 | 805 | 791 | ||||||||||
Nationwide Building Society |
| |||||||||||
10.250% due 06/29/2049 (e) | GBP | 8 | 1,216 | |||||||||
Navient Corp. |
| |||||||||||
5.500% due 01/15/2019 (i) | $ | 845 | 879 | |||||||||
5.625% due 08/01/2033 | 168 | 139 | ||||||||||
8.000% due 03/25/2020 (i) | 1,100 | 1,223 | ||||||||||
OneMain Financial Holdings LLC |
| |||||||||||
6.750% due 12/15/2019 | 288 | 301 | ||||||||||
Pinnacol Assurance |
| |||||||||||
8.625% due 06/25/2034 (g) | 2,900 | 2,899 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Provident Funding Associates LP |
| |||||||||||
6.750% due 06/15/2021 (i) | $ | 1,000 | $ | 1,010 | ||||||||
Rio Oil Finance Trust |
| |||||||||||
9.250% due 07/06/2024 | 1,534 | 1,450 | ||||||||||
9.750% due 01/06/2027 | 282 | 260 | ||||||||||
Royal Bank of Scotland Group PLC |
| |||||||||||
7.500% due 08/10/2020 (e)(i) | 3,250 | 3,087 | ||||||||||
8.000% due 08/10/2025 (e)(i) | 1,900 | 1,824 | ||||||||||
8.625% due 08/15/2021 (e) | 1,000 | 1,023 | ||||||||||
Santander UK Group Holdings PLC |
| |||||||||||
7.375% due 06/24/2022 (e)(i) | GBP | 2,500 | 3,101 | |||||||||
Sberbank of Russia Via SB Capital S.A. |
| |||||||||||
6.125% due 02/07/2022 (i) | $ | 3,400 | 3,704 | |||||||||
6.125% due 02/07/2022 | 600 | 654 | ||||||||||
Springleaf Finance Corp. |
| |||||||||||
5.250% due 12/15/2019 | 84 | 85 | ||||||||||
8.250% due 12/15/2020 (i) | 2,100 | 2,289 | ||||||||||
Tesco Property Finance PLC |
| |||||||||||
6.052% due 10/13/2039 | GBP | 1,754 | 2,244 | |||||||||
TIG FinCo PLC |
| |||||||||||
8.500% due 03/02/2020 | 431 | 546 | ||||||||||
8.750% due 04/02/2020 (i) | 2,336 | 2,670 | ||||||||||
Toll Road Investors Partnership LP |
| |||||||||||
0.000% due 02/15/2045 (d) | $ | 10,954 | 2,402 | |||||||||
UBS Group AG |
| |||||||||||
5.750% due 02/19/2022 (e) | EUR | 400 | 445 | |||||||||
|
| |||||||||||
77,007 | ||||||||||||
|
| |||||||||||
INDUSTRIALS 23.9% | ||||||||||||
ADT Corp. |
| |||||||||||
4.875% due 07/15/2032 | $ | 220 | 183 | |||||||||
Altice Financing S.A. |
| |||||||||||
7.500% due 05/15/2026 (i) | 2,200 | 2,293 | ||||||||||
BCD Acquisition, Inc. |
| |||||||||||
9.625% due 09/15/2023 | 950 | 1,021 | ||||||||||
BMC Software Finance, Inc. |
| |||||||||||
8.125% due 07/15/2021 | 239 | 225 | ||||||||||
Boxer Parent Co., Inc. (9.000% Cash or 9.750% PIK) |
| |||||||||||
9.000% due 10/15/2019 (b)(i) | 3,362 | 3,169 | ||||||||||
Caesars Entertainment Operating Co., Inc. |
| |||||||||||
8.500% due 02/15/2020 ^(f) | 10,025 | 10,526 | ||||||||||
9.000% due 02/15/2020 ^(f) | 573 | 597 | ||||||||||
California Resources Corp. |
| |||||||||||
8.000% due 12/15/2022 | 628 | 562 | ||||||||||
Cheniere Corpus Christi Holdings LLC |
| |||||||||||
5.875% due 03/31/2025 | 100 | 102 | ||||||||||
Chesapeake Energy Corp. |
| |||||||||||
4.130% due 04/15/2019 | 29 | 29 | ||||||||||
6.250% due 01/15/2017 | EUR | 2,000 | 2,102 | |||||||||
Concordia International Corp. |
| |||||||||||
9.000% due 04/01/2022 (i) | $ | 300 | 255 | |||||||||
Continental Airlines Pass-Through Trust |
| |||||||||||
7.707% due 10/02/2022 (i) | 531 | 574 | ||||||||||
8.048% due 05/01/2022 (i) | 567 | 631 | ||||||||||
Corp. GEO S.A.B. de C.V. |
| |||||||||||
8.875% due 03/27/2022 ^ | 200 | 0 | ||||||||||
9.250% due 06/30/2020 ^ | 1,800 | 0 | ||||||||||
CVS Pass-Through Trust |
| |||||||||||
7.507% due 01/10/2032 (i) | 2,508 | 3,056 | ||||||||||
Delta Air Lines Pass-Through Trust |
| |||||||||||
7.750% due 06/17/2021 (i) | 460 | 510 | ||||||||||
Diamond Resorts International, Inc. |
| |||||||||||
10.750% due 09/01/2024 (i) | 1,600 | 1,576 | ||||||||||
DriveTime Automotive Group, Inc. |
| |||||||||||
8.000% due 06/01/2021 (i) | 1,500 | 1,461 | ||||||||||
Enterprise Inns PLC |
| |||||||||||
6.875% due 05/09/2025 | GBP | 20 | 26 | |||||||||
Forbes Energy Services Ltd. |
| |||||||||||
9.000% due 06/15/2019 ^(f) | $ | 1,580 | 569 | |||||||||
Harvest Operations Corp. |
| |||||||||||
2.330% due 04/14/2021 (i) | 2,538 | 2,491 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
HCA, Inc. |
| |||||||||||
4.500% due 02/15/2027 (i) | $ | 900 | $ | 886 | ||||||||
Hellenic Railways Organization S.A. |
| |||||||||||
4.028% due 03/17/2017 | EUR | 800 | 836 | |||||||||
iHeartCommunications, Inc. |
| |||||||||||
9.000% due 03/01/2021 (i) | $ | 3,790 | 2,819 | |||||||||
Intelsat Luxembourg S.A. |
| |||||||||||
7.750% due 06/01/2021 | 3,958 | 1,316 | ||||||||||
8.125% due 06/01/2023 | 166 | 53 | ||||||||||
Intrepid Aviation Group Holdings LLC |
| |||||||||||
6.875% due 02/15/2019 | 6,181 | 5,563 | ||||||||||
Kinetic Concepts, Inc. |
| |||||||||||
9.625% due 10/01/2021 (i) | 4,200 | 4,462 | ||||||||||
Mallinckrodt International Finance S.A. |
| |||||||||||
4.750% due 04/15/2023 | 400 | 350 | ||||||||||
Millar Western Forest Products Ltd. |
| |||||||||||
8.500% due 04/01/2021 | 1,876 | 1,041 | ||||||||||
N&W Global Vending SpA |
| |||||||||||
7.000% due 10/15/2023 | EUR | 690 | 756 | |||||||||
OGX Austria GmbH |
| |||||||||||
8.375% due 04/01/2022 ^ | $ | 3,300 | 0 | |||||||||
8.500% due 06/01/2018 ^ | 3,700 | 0 | ||||||||||
Ortho-Clinical Diagnostics, Inc. |
| |||||||||||
6.625% due 05/15/2022 (i) | 1,000 | 890 | ||||||||||
Petroleos de Venezuela S.A. |
| |||||||||||
6.000% due 11/15/2026 | 130 | 50 | ||||||||||
Prime Security Services Borrower LLC |
| |||||||||||
9.250% due 05/15/2023 (i) | 1,470 | 1,604 | ||||||||||
Russian Railways via RZD Capital PLC |
| |||||||||||
7.487% due 03/25/2031 | GBP | 100 | 140 | |||||||||
Sabine Pass Liquefaction LLC |
| |||||||||||
5.875% due 06/30/2026 | $ | 1,500 | 1,622 | |||||||||
Safeway, Inc. |
| |||||||||||
7.250% due 02/01/2031 | 140 | 137 | ||||||||||
Sequa Corp. |
| |||||||||||
7.000% due 12/15/2017 | 2,700 | 1,512 | ||||||||||
SFR Group S.A. |
| |||||||||||
6.000% due 05/15/2022 (i) | 500 | 515 | ||||||||||
7.375% due 05/01/2026 (i) | 2,938 | 3,011 | ||||||||||
Southern Co. |
| |||||||||||
5.500% due 03/15/2057 | 280 | 283 | ||||||||||
Spanish Broadcasting System, Inc. |
| |||||||||||
12.500% due 04/15/2017 (i) | 7,650 | 7,679 | ||||||||||
Spirit Issuer PLC |
| |||||||||||
6.582% due 12/28/2027 | GBP | 2,175 | 2,933 | |||||||||
Sterigenics-Nordion Topco LLC (8.125% Cash or 8.875% PIK) |
| |||||||||||
8.125% due 11/01/2021 (b) | $ | 400 | 399 | |||||||||
Tembec Industries, Inc. |
| |||||||||||
9.000% due 12/15/2019 (i) | 1,800 | 1,692 | ||||||||||
Times Square Hotel Trust |
| |||||||||||
8.528% due 08/01/2026 (i) | 4,576 | 5,202 | ||||||||||
UAL Pass-Through Trust |
| |||||||||||
9.750% due 07/15/2018 (i) | 702 | 705 | ||||||||||
UCP, Inc. |
| |||||||||||
8.500% due 10/21/2017 | 2,800 | 2,783 | ||||||||||
Unique Pub Finance Co. PLC |
| |||||||||||
5.659% due 06/30/2027 | GBP | 1,348 | 1,764 | |||||||||
7.395% due 03/28/2024 | 500 | 645 | ||||||||||
|
| |||||||||||
83,606 | ||||||||||||
|
| |||||||||||
UTILITIES 7.1% | ||||||||||||
Frontier Communications Corp. |
| |||||||||||
11.000% due 09/15/2025 | $ | 350 | 363 | |||||||||
Gazprom Neft OAO Via GPN Capital S.A. |
| |||||||||||
4.375% due 09/19/2022 | 200 | 198 | ||||||||||
6.000% due 11/27/2023 (i) | 1,350 | 1,438 | ||||||||||
Gazprom OAO Via Gaz Capital S.A. |
| |||||||||||
5.999% due 01/23/2021 | 381 | 412 | ||||||||||
6.510% due 03/07/2022 (i) | 3,400 | 3,764 | ||||||||||
6.605% due 02/13/2018 | EUR | 100 | 112 | |||||||||
8.625% due 04/28/2034 | $ | 1,081 | 1,399 | |||||||||
9.250% due 04/23/2019 | 100 | 114 |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2016 | 45 |
Table of Contents
Schedule of Investments PIMCO Income Opportunity Fund (Cont.)
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Illinois Power Generating Co. |
| |||||||||||
6.300% due 04/01/2020 ^(i) | $ | 4,295 | $ | 1,546 | ||||||||
7.950% due 06/01/2032 ^(i) | 4,033 | 1,452 | ||||||||||
Odebrecht Drilling Norbe Ltd. |
| |||||||||||
6.350% due 06/30/2022 | 3,750 | 1,716 | ||||||||||
Petrobras Global Finance BV |
| |||||||||||
5.750% due 01/20/2020 | 570 | 579 | ||||||||||
6.250% due 03/17/2024 | 20 | 19 | ||||||||||
6.250% due 12/14/2026 | GBP | 600 | 694 | |||||||||
6.625% due 01/16/2034 | 200 | 216 | ||||||||||
7.875% due 03/15/2019 (i) | $ | 2,777 | 2,983 | |||||||||
Sierra Hamilton LLC |
| |||||||||||
12.250% due 12/15/2018 | 200 | 131 | ||||||||||
Sprint Capital Corp. |
| |||||||||||
6.900% due 05/01/2019 (i) | 1,100 | 1,167 | ||||||||||
Sprint Communications, Inc. |
| |||||||||||
7.000% due 08/15/2020 (i) | 1,100 | 1,169 | ||||||||||
Sprint Corp. |
| |||||||||||
7.125% due 06/15/2024 (i) | 3,182 | 3,285 | ||||||||||
7.875% due 09/15/2023 | 65 | 70 | ||||||||||
TerraForm Power Operating LLC |
| |||||||||||
6.375% due 02/01/2023 (i) | 1,900 | 1,933 | ||||||||||
|
| |||||||||||
24,760 | ||||||||||||
|
| |||||||||||
Total Corporate Bonds & Notes | 185,373 | |||||||||||
|
| |||||||||||
CONVERTIBLE BONDS & NOTES 1.5% | ||||||||||||
BANKING & FINANCE 1.5% | ||||||||||||
SL Green Operating Partnership LP |
| |||||||||||
3.000% due 10/15/2017 (i) | 3,800 | 5,299 | ||||||||||
|
| |||||||||||
Total Convertible Bonds & Notes | 5,299 | |||||||||||
|
| |||||||||||
MUNICIPAL BONDS & NOTES 0.8% | ||||||||||||
ILLINOIS 0.1% | ||||||||||||
Chicago, Illinois General Obligation Bonds, Series 2015 |
| |||||||||||
7.375% due 01/01/2033 | 120 | 125 | ||||||||||
7.750% due 01/01/2042 | 210 | 213 | ||||||||||
|
| |||||||||||
338 | ||||||||||||
|
| |||||||||||
IOWA 0.0% | ||||||||||||
Iowa Tobacco Settlement Authority Revenue Bonds, Series 2005 |
| |||||||||||
6.500% due 06/01/2023 | 155 | 153 | ||||||||||
|
| |||||||||||
WEST VIRGINIA 0.7% | ||||||||||||
Tobacco Settlement Finance Authority, West Virginia Revenue Bonds, Series 2007 |
| |||||||||||
7.467% due 06/01/2047 | 2,680 | 2,425 | ||||||||||
|
| |||||||||||
Total Municipal Bonds & Notes (Cost $3,053) | 2,916 | |||||||||||
|
| |||||||||||
U.S. GOVERNMENT AGENCIES 0.4% | ||||||||||||
Fannie Mae |
| |||||||||||
4.000% due 10/01/2040 | 39 | 41 | ||||||||||
Freddie Mac |
| |||||||||||
0.100% due 05/25/2020 (a) | 45,800 | 110 | ||||||||||
0.701% due 10/25/2020 (a)(i) | 27,775 | 602 | ||||||||||
5.406% due 10/25/2028 | 600 | 641 | ||||||||||
|
| |||||||||||
Total U.S. Government Agencies | 1,394 | |||||||||||
|
| |||||||||||
NON-AGENCY MORTGAGE-BACKED SECURITIES 42.7% | ||||||||||||
Adjustable Rate Mortgage Trust |
| |||||||||||
3.215% due 01/25/2036 | 177 | 154 | ||||||||||
American Home Mortgage Investment Trust |
| |||||||||||
1.026% due 03/25/2037 | 5,138 | 3,014 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Auburn Securities PLC |
| |||||||||||
0.655% due 10/01/2041 | GBP | 209 | $ | 254 | ||||||||
Banc of America Alternative Loan Trust |
| |||||||||||
15.277% due 09/25/2035 ^ | $ | 1,630 | 1,797 | |||||||||
Banc of America Funding Trust |
| |||||||||||
2.966% due 12/20/2036 | 161 | 163 | ||||||||||
2.981% due 12/20/2034 | 802 | 747 | ||||||||||
3.051% due 03/20/2036 ^ | 1,131 | 976 | ||||||||||
3.641% due 10/20/2046 ^ | 644 | 486 | ||||||||||
Banc of America Mortgage Trust |
| |||||||||||
3.190% due 09/25/2034 | 188 | 184 | ||||||||||
3.247% due 10/20/2046 ^ | 152 | 94 | ||||||||||
5.750% due 08/25/2034 (i) | 340 | 359 | ||||||||||
Bayview Commercial Asset Trust |
| |||||||||||
0.976% due 03/25/2037 | 183 | 162 | ||||||||||
Bear Stearns Adjustable Rate Mortgage Trust |
| |||||||||||
2.897% due 09/25/2034 | 111 | 104 | ||||||||||
3.036% due 08/25/2047 ^ | 431 | 363 | ||||||||||
3.101% due 03/25/2035 | 393 | 374 | ||||||||||
3.183% due 09/25/2034 | 72 | 70 | ||||||||||
3.343% due 10/25/2036 ^ | 1,083 | 928 | ||||||||||
4.640% due 06/25/2047 ^ | 331 | 304 | ||||||||||
Bear Stearns ALT-A Trust |
| |||||||||||
1.076% due 06/25/2046 ^(i) | 3,843 | 3,297 | ||||||||||
1.456% due 01/25/2035 | 701 | 683 | ||||||||||
2.891% due 09/25/2034 | 326 | 316 | ||||||||||
2.977% due 04/25/2035 | 385 | 324 | ||||||||||
3.110% due 08/25/2036 ^(i) | 2,961 | 2,754 | ||||||||||
3.169% due 11/25/2035 | 75 | 65 | ||||||||||
3.184% due 08/25/2036 ^ | 616 | 452 | ||||||||||
3.217% due 11/25/2036 ^ | 604 | 511 | ||||||||||
3.244% due 05/25/2036 ^ | 977 | 756 | ||||||||||
3.255% due 05/25/2035 | 617 | 555 | ||||||||||
4.661% due 07/25/2035 ^ | 384 | 313 | ||||||||||
Bluestone Securities PLC |
| |||||||||||
0.597% due 06/09/2043 | GBP | 376 | 434 | |||||||||
BRAD Resecuritization Trust |
| |||||||||||
2.181% due 03/12/2021 | $ | 3,164 | 209 | |||||||||
6.550% due 03/12/2021 | 591 | 577 | ||||||||||
CBA Commercial Small Balance Commercial Mortgage |
| |||||||||||
5.540% due 01/25/2039 ^ | 1,630 | 1,208 | ||||||||||
Celtic Residential Irish Mortgage Securitisation PLC |
| |||||||||||
0.000% due 11/13/2047 (i) | EUR | 512 | 535 | |||||||||
Chase Mortgage Finance Trust |
| |||||||||||
5.500% due 11/25/2021 ^ | $ | 981 | 792 | |||||||||
6.000% due 03/25/2037 ^(i) | 984 | 846 | ||||||||||
Citigroup Global Markets Mortgage Securities, Inc. |
| |||||||||||
6.500% due 02/25/2029 | 314 | 316 | ||||||||||
Citigroup Mortgage Loan Trust, Inc. |
| |||||||||||
3.044% due 03/25/2037 ^(i) | 1,891 | 1,623 | ||||||||||
5.500% due 11/25/2035 ^ | 758 | 693 | ||||||||||
Citigroup/Deutsche Bank Commercial Mortgage Trust |
| |||||||||||
5.398% due 12/11/2049 (i) | 2,657 | 2,316 | ||||||||||
Commercial Mortgage Loan Trust |
| |||||||||||
6.095% due 12/10/2049 | 846 | 536 | ||||||||||
Commercial Mortgage Trust |
| |||||||||||
6.139% due 07/10/2046 (i) | 2,170 | 2,338 | ||||||||||
Countrywide Alternative Loan Trust |
| |||||||||||
1.006% due 06/25/2037 ^ | 1,230 | 652 | ||||||||||
1.106% due 05/25/2036 ^ | 2,073 | 1,032 | ||||||||||
1.106% due 06/25/2036 ^(i) | 1,754 | 1,075 | ||||||||||
5.500% due 10/25/2035 ^ | 394 | 354 | ||||||||||
5.500% due 12/25/2035 ^(i) | 1,848 | 1,540 | ||||||||||
5.750% due 05/25/2036 ^ | 362 | 281 | ||||||||||
6.000% due 11/25/2035 ^ | 430 | 197 | ||||||||||
6.000% due 04/25/2036 ^ | 376 | 308 | ||||||||||
6.000% due 04/25/2037 ^ | 704 | 478 | ||||||||||
6.500% due 09/25/2032 ^ | 453 | 442 | ||||||||||
6.500% due 07/25/2035 ^ | 782 | 531 | ||||||||||
6.500% due 06/25/2036 ^ | 589 | 427 | ||||||||||
Countrywide Home Loan Mortgage Pass-Through Trust |
| |||||||||||
1.396% due 03/25/2035 (i) | 756 | 642 | ||||||||||
2.626% due 03/25/2046 ^ | 3,964 | 2,293 | ||||||||||
2.841% due 03/25/2037 ^(i) | 1,379 | 1,066 | ||||||||||
2.913% due 08/20/2035 ^ | 122 | 109 | ||||||||||
3.028% due 06/20/2035 | 265 | 243 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
3.155% due 11/25/2035 ^(i) | $ | 2,714 | $ | 2,246 | ||||||||
3.172% due 08/25/2034 ^ | 65 | 56 | ||||||||||
3.317% due 09/25/2047 ^ | 1,347 | 1,227 | ||||||||||
5.500% due 08/25/2035 ^ | 104 | 96 | ||||||||||
Credit Suisse Commercial Mortgage Trust |
| |||||||||||
6.500% due 07/26/2036 ^ | 531 | 298 | ||||||||||
Credit Suisse First Boston Mortgage Securities Corp. |
| |||||||||||
7.500% due 05/25/2032 | 1,661 | 1,776 | ||||||||||
Credit Suisse Mortgage Capital Mortgage-Backed Trust |
| |||||||||||
1.356% due 07/25/2036 ^ | 614 | 215 | ||||||||||
5.896% due 04/25/2036 | 551 | 407 | ||||||||||
6.500% due 05/25/2036 ^ | 437 | 286 | ||||||||||
Debussy PLC |
| |||||||||||
5.930% due 07/12/2025 (i) | GBP | 7,000 | 8,536 | |||||||||
Deutsche ALT-A Securities, Inc. |
| |||||||||||
0.906% due 02/25/2047 | $ | 733 | 520 | |||||||||
Deutsche ALT-B Securities, Inc. |
| |||||||||||
6.250% due 07/25/2036 ^ | 115 | 96 | ||||||||||
Deutsche Mortgage Securities, Inc. Mortgage Loan Trust |
| |||||||||||
5.500% due 09/25/2033 | 188 | 195 | ||||||||||
Downey Savings & Loan Association Mortgage Loan Trust |
| |||||||||||
0.916% due 04/19/2047 ^ | 463 | 178 | ||||||||||
EMF-NL BV |
| |||||||||||
0.689% due 07/17/2041 | EUR | 800 | 703 | |||||||||
1.939% due 10/17/2041 | 1,000 | 908 | ||||||||||
Epic Drummond Ltd. |
| |||||||||||
0.000% due 01/25/2022 | 965 | 1,005 | ||||||||||
Eurosail PLC |
| |||||||||||
1.977% due 09/13/2045 | GBP | 1,814 | 1,772 | |||||||||
2.627% due 09/13/2045 | 1,314 | 1,227 | ||||||||||
4.227% due 09/13/2045 | 1,126 | 1,034 | ||||||||||
First Horizon Alternative Mortgage Securities Trust |
| |||||||||||
2.800% due 11/25/2036 ^ | $ | 1,657 | 1,283 | |||||||||
2.833% due 05/25/2036 ^ | 2,022 | 1,636 | ||||||||||
2.855% due 08/25/2035 ^ | 148 | 30 | ||||||||||
3.180% due 02/25/2036 | 194 | 156 | ||||||||||
6.250% due 11/25/2036 ^ | 132 | 100 | ||||||||||
First Horizon Mortgage Pass-Through Trust |
| |||||||||||
2.722% due 07/25/2037 ^ | 147 | 124 | ||||||||||
2.900% due 01/25/2037 ^(i) | 1,091 | 959 | ||||||||||
GE Commercial Mortgage Corp. Trust |
| |||||||||||
5.606% due 12/10/2049 (i) | 5,300 | 5,308 | ||||||||||
GMAC Mortgage Corp. Loan Trust |
| |||||||||||
3.500% due 06/25/2034 | 198 | 197 | ||||||||||
3.531% due 06/25/2034 | 199 | 195 | ||||||||||
3.578% due 07/19/2035 | 88 | 80 | ||||||||||
GreenPoint Mortgage Funding Trust |
| |||||||||||
0.936% due 01/25/2037 | 1,354 | 1,089 | ||||||||||
GS Mortgage Securities Trust |
| |||||||||||
1.429% due 08/10/2043 (a) | 8,116 | 336 | ||||||||||
6.064% due 08/10/2043 (i) | 2,100 | 2,128 | ||||||||||
GSR Mortgage Loan Trust |
| |||||||||||
1.206% due 07/25/2037 ^ | 475 | 278 | ||||||||||
3.289% due 01/25/2036 ^(i) | 1,489 | 1,395 | ||||||||||
3.855% due 12/25/2034 | 37 | 36 | ||||||||||
6.000% due 09/25/2034 | 194 | 194 | ||||||||||
HarborView Mortgage Loan Trust |
| |||||||||||
0.926% due 02/19/2046 (i) | 2,116 | 1,631 | ||||||||||
0.946% due 11/19/2036 (i) | 3,919 | 2,818 | ||||||||||
1.296% due 06/19/2034 | 322 | 301 | ||||||||||
1.376% due 01/19/2035 | 315 | 268 | ||||||||||
2.991% due 08/19/2036 ^ | 270 | 201 | ||||||||||
HomeBanc Mortgage Trust |
| |||||||||||
1.006% due 03/25/2035 | 394 | 335 | ||||||||||
IM Pastor Fondo de Titulizacion de Activos |
| |||||||||||
0.000% due 03/22/2044 | EUR | 734 | 635 | |||||||||
Impac CMB Trust |
| |||||||||||
1.276% due 11/25/2035 ^ | $ | 382 | 314 | |||||||||
IndyMac Mortgage Loan Trust |
| |||||||||||
0.986% due 04/25/2035 | 217 | 189 | ||||||||||
1.556% due 08/25/2034 | 203 | 171 | ||||||||||
1.616% due 09/25/2034 | 491 | 449 | ||||||||||
2.658% due 06/25/2037 ^ | 419 | 321 |
46 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
Table of Contents
December 31, 2016 (Unaudited)
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
3.174% due 05/25/2037 ^(i) | $ | 4,725 | $ | 3,822 | ||||||||
3.277% due 11/25/2036 ^ | 1,267 | 1,126 | ||||||||||
3.396% due 12/25/2036 ^ | 1,663 | 1,473 | ||||||||||
4.376% due 05/25/2037 ^ | 25 | 6 | ||||||||||
JPMorgan Alternative Loan Trust |
| |||||||||||
3.148% due 05/25/2036 ^ | 534 | 412 | ||||||||||
5.500% due 11/25/2036 ^ | 7 | 5 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust |
| |||||||||||
5.502% due 01/12/2043 (i) | 910 | 912 | ||||||||||
JPMorgan Commercial Mortgage-Backed Securities Trust |
| |||||||||||
5.716% due 03/18/2051 (i) | 4,000 | 4,021 | ||||||||||
JPMorgan Mortgage Trust |
| |||||||||||
3.046% due 07/25/2035 | 163 | 161 | ||||||||||
3.096% due 05/25/2036 ^ | 905 | 813 | ||||||||||
3.110% due 10/25/2036 ^ | 64 | 55 | ||||||||||
6.000% due 08/25/2037 ^ | 742 | 658 | ||||||||||
Landmark Mortgage Securities PLC |
| |||||||||||
0.088% due 06/17/2038 | EUR | 266 | 266 | |||||||||
0.591% due 06/17/2038 | GBP | 697 | 829 | |||||||||
Lehman Mortgage Trust |
| |||||||||||
5.908% due 04/25/2036 | $ | 428 | 384 | |||||||||
6.000% due 05/25/2037 ^(i) | 1,804 | 1,766 | ||||||||||
MASTR Adjustable Rate Mortgages Trust |
| |||||||||||
1.307% due 01/25/2047 ^ | 467 | 332 | ||||||||||
3.307% due 10/25/2034 | 940 | 830 | ||||||||||
Merrill Lynch Mortgage Trust |
| |||||||||||
5.826% due 06/12/2050 (i) | 5,400 | 5,245 | ||||||||||
Morgan Stanley Capital Trust |
| |||||||||||
5.690% due 04/15/2049 (i) | 1,100 | 1,079 | ||||||||||
Morgan Stanley Mortgage Loan Trust |
| |||||||||||
2.936% due 07/25/2035 ^(i) | 2,098 | 1,722 | ||||||||||
3.326% due 01/25/2035 ^ | 295 | 109 | ||||||||||
5.750% due 12/25/2035 ^ | 525 | 507 | ||||||||||
6.000% due 08/25/2037 ^ | 342 | 297 | ||||||||||
Prime Mortgage Trust |
| |||||||||||
1.106% due 06/25/2036 ^ | 4,015 | 2,282 | ||||||||||
7.000% due 07/25/2034 | 228 | 218 | ||||||||||
Regal Trust |
| |||||||||||
2.098% due 09/29/2031 | 14 | 13 | ||||||||||
Residential Accredit Loans, Inc. Trust |
| |||||||||||
0.966% due 06/25/2037 | 2,484 | 1,942 | ||||||||||
5.500% due 04/25/2037 | 141 | 117 | ||||||||||
6.000% due 08/25/2035 ^ | 664 | 605 | ||||||||||
6.000% due 01/25/2037 ^(i) | 668 | 597 | ||||||||||
Residential Asset Securitization Trust |
| |||||||||||
6.000% due 03/25/2037 ^ | 563 | 379 | ||||||||||
6.000% due 07/25/2037 (i) | 8,505 | 5,919 | ||||||||||
Residential Funding Mortgage Securities, Inc. Trust |
| |||||||||||
4.651% due 07/27/2037 ^ | 358 | 312 | ||||||||||
6.000% due 06/25/2037 ^ | 541 | 496 | ||||||||||
Sequoia Mortgage Trust |
| |||||||||||
3.202% due 01/20/2038 ^ | 403 | 347 | ||||||||||
Structured Adjustable Rate Mortgage Loan Trust |
| |||||||||||
3.013% due 01/25/2036 ^ | 1,397 | 1,056 | ||||||||||
3.049% due 08/25/2034 | 28 | 27 | ||||||||||
3.317% due 11/25/2036 ^ | 469 | 455 | ||||||||||
Structured Asset Mortgage Investments Trust |
| |||||||||||
0.966% due 08/25/2036 ^(i) | 2,747 | 2,232 | ||||||||||
0.986% due 05/25/2045 | 194 | 171 | ||||||||||
Structured Asset Securities Corp. Mortgage Pass-Through Certificates |
| |||||||||||
3.087% due 01/25/2034 | 509 | 507 | ||||||||||
TBW Mortgage-Backed Trust |
| |||||||||||
6.000% due 07/25/2036 ^ | 373 | 269 | ||||||||||
Theatre Hospitals PLC |
| |||||||||||
4.151% due 10/15/2031 | GBP | 254 | 299 | |||||||||
WaMu Commercial Mortgage Securities Trust |
| |||||||||||
5.752% due 03/23/2045 (i) | $ | 3,124 | 3,123 | |||||||||
WaMu Mortgage Pass-Through Certificates Trust |
| |||||||||||
2.098% due 07/25/2046 (i) | 2,389 | 2,221 | ||||||||||
2.468% due 03/25/2037 ^ | 664 | 591 | ||||||||||
2.498% due 03/25/2033 | 107 | 107 | ||||||||||
2.583% due 06/25/2037 ^(i) | 1,961 | 1,770 | ||||||||||
2.625% due 11/25/2036 ^ | 411 | 354 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
2.768% due 07/25/2037 ^(i) | $ | 1,520 | $ | 1,378 | ||||||||
2.898% due 07/25/2037 ^(i) | 3,586 | 3,045 | ||||||||||
Washington Mutual Mortgage Pass-Through Certificates Trust |
| |||||||||||
1.417% due 10/25/2046 ^(i) | 615 | 439 | ||||||||||
2.600% due 06/25/2033 | 67 | 67 | ||||||||||
Wells Fargo Mortgage-Backed Securities Trust |
| |||||||||||
1.256% due 07/25/2037 ^ | 320 | 272 | ||||||||||
3.003% due 09/25/2036 ^ | 31 | 29 | ||||||||||
3.073% due 10/25/2036 ^ | 31 | 29 | ||||||||||
3.083% due 04/25/2036 ^ | 34 | 34 | ||||||||||
|
| |||||||||||
Total Non-Agency Mortgage-Backed Securities (Cost $136,849) | 149,122 | |||||||||||
|
| |||||||||||
ASSET-BACKED SECURITIES 46.4% | ||||||||||||
Access Financial Manufactured Housing Contract Trust |
| |||||||||||
7.650% due 05/15/2021 | 209 | 66 | ||||||||||
American Money Management Corp. CLO Ltd. |
| |||||||||||
7.931% due 12/09/2026 | 1,200 | 1,180 | ||||||||||
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates |
| |||||||||||
2.481% due 05/25/2034 | 154 | 124 | ||||||||||
3.606% due 08/25/2032 | 1,134 | 1,081 | ||||||||||
Asset-Backed Funding Certificates Trust |
| |||||||||||
0.906% due 10/25/2036 (i) | 7,665 | 6,741 | ||||||||||
1.316% due 10/25/2033 | 167 | 152 | ||||||||||
1.416% due 03/25/2035 (i) | 4,431 | 3,670 | ||||||||||
Associates Manufactured Housing Pass-Through Certificates |
| |||||||||||
7.150% due 03/15/2028 (i) | 1,585 | 1,902 | ||||||||||
Bear Stearns Asset-Backed Securities Trust |
| |||||||||||
0.953% due 09/25/2034 | 824 | 731 | ||||||||||
3.012% due 07/25/2036 | 613 | 392 | ||||||||||
Bombardier Capital Mortgage Securitization Corp. |
| |||||||||||
7.830% due 06/15/2030 | 3,556 | 1,733 | ||||||||||
C-BASS CBO Corp. |
| |||||||||||
1.196% due 09/06/2041 | 8,465 | 1,397 | ||||||||||
Conseco Finance Securitizations Corp. |
| |||||||||||
7.770% due 09/01/2031 | 940 | 1,037 | ||||||||||
7.960% due 05/01/2031 | 1,720 | 1,250 | ||||||||||
7.970% due 05/01/2032 | 269 | 155 | ||||||||||
8.060% due 09/01/2029 (i) | 3,048 | 1,806 | ||||||||||
9.163% due 03/01/2033 | 2,971 | 2,762 | ||||||||||
Conseco Financial Corp. |
| |||||||||||
6.220% due 03/01/2030 | 114 | 122 | ||||||||||
6.330% due 11/01/2029 | 38 | 39 | ||||||||||
6.530% due 02/01/2031 | 1,304 | 1,299 | ||||||||||
7.050% due 01/15/2027 | 169 | 178 | ||||||||||
7.140% due 03/15/2028 | 182 | 188 | ||||||||||
7.240% due 06/15/2028 | 48 | 48 | ||||||||||
Countrywide Asset-Backed Certificates |
| |||||||||||
0.834% due 01/25/2037 (i) | 15,575 | 13,365 | ||||||||||
0.896% due 06/25/2035 (i) | 9,498 | 7,322 | ||||||||||
1.096% due 12/25/2036 ^ | 704 | 362 | ||||||||||
1.316% due 08/25/2032 ^ | 383 | 334 | ||||||||||
2.031% due 02/25/2035 (i) | 3,750 | 3,545 | ||||||||||
Countrywide Asset-Backed Certificates Trust |
| |||||||||||
1.536% due 11/25/2034 (i) | 455 | 446 | ||||||||||
4.693% due 10/25/2035 | 21 | 21 | ||||||||||
Credit Suisse First Boston Mortgage Securities Corp. |
| |||||||||||
1.806% due 02/25/2031 | 1,858 | 1,714 | ||||||||||
Credit-Based Asset Servicing and Securitization LLC |
| |||||||||||
1.904% due 12/25/2035 | 1,377 | 1,121 | ||||||||||
Euromax ABS PLC |
| |||||||||||
0.028% due 11/10/2095 | EUR | 5,000 | 3,670 | |||||||||
First Franklin Mortgage Loan Trust |
| |||||||||||
1.206% due 11/25/2036 (i) | $ | 10,000 | 9,319 | |||||||||
1.356% due 07/25/2035 (i) | 8,092 | 6,326 | ||||||||||
Greenpoint Manufactured Housing |
| |||||||||||
8.300% due 10/15/2026 | 814 | 896 | ||||||||||
Home Equity Asset Trust |
| |||||||||||
3.156% due 10/25/2033 | 24 | 22 | ||||||||||
Home Equity Loan Trust |
| |||||||||||
0.986% due 04/25/2037 (i) | 6,015 | 4,485 | ||||||||||
1.096% due 04/25/2037 (i) | 8,700 | 5,216 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
IndyMac Home Equity Mortgage Loan Asset-Backed Trust |
| |||||||||||
0.996% due 04/25/2037 (i) | $ | 16,766 | $ | 10,581 | ||||||||
1.076% due 04/25/2037 (i) | 5,640 | 4,373 | ||||||||||
JPMorgan Mortgage Acquisition Trust |
| |||||||||||
0.664% due 08/25/2036 | 9 | 5 | ||||||||||
0.946% due 03/25/2047 | 1,849 | 1,451 | ||||||||||
KGS Alpha SBA Trust |
| |||||||||||
1.073% due 04/25/2038 (a) | 1,508 | 47 | ||||||||||
Lehman ABS Mortgage Loan Trust |
| |||||||||||
0.846% due 06/25/2037 (i) | 6,544 | 4,059 | ||||||||||
Long Beach Mortgage Loan Trust |
| |||||||||||
0.946% due 02/25/2036 | 3,673 | 2,449 | ||||||||||
1.026% due 05/25/2046 | 3,837 | 1,676 | ||||||||||
1.461% due 11/25/2035 | 3,736 | 2,170 | ||||||||||
3.231% due 03/25/2032 | 291 | 251 | ||||||||||
MASTR Asset-Backed Securities Trust |
| |||||||||||
5.233% due 11/25/2035 | 45 | 45 | ||||||||||
Morgan Stanley ABS Capital, Inc. Trust |
| |||||||||||
1.791% due 01/25/2035 | 678 | 306 | ||||||||||
Morgan Stanley Dean Witter Capital, Inc. Trust |
| |||||||||||
2.181% due 02/25/2033 | 531 | 514 | ||||||||||
Morgan Stanley Home Equity Loan Trust |
| |||||||||||
1.806% due 12/25/2034 (i) | 4,445 | 3,930 | ||||||||||
National Collegiate Commutation Trust |
| |||||||||||
0.000% due 03/25/2038 | 10,400 | 4,620 | ||||||||||
NovaStar Mortgage Funding Trust |
| |||||||||||
0.926% due 11/25/2036 | 1,537 | 760 | ||||||||||
Oakwood Mortgage Investors, Inc. |
| |||||||||||
0.934% due 06/15/2032 | 21 | 19 | ||||||||||
Option One Mortgage Loan Trust |
| |||||||||||
5.662% due 01/25/2037 ^ | 20 | 21 | ||||||||||
Origen Manufactured Housing Contract Trust |
| |||||||||||
7.650% due 03/15/2032 | 2,047 | 2,127 | ||||||||||
Ownit Mortgage Loan Trust |
| |||||||||||
3.563% due 12/25/2036 | 2,435 | 1,574 | ||||||||||
Park Place Securities, Inc. Asset-Backed Pass-Through Certificates |
| |||||||||||
2.631% due 10/25/2034 | 1,161 | 704 | ||||||||||
Residential Asset Mortgage Products Trust |
| |||||||||||
1.709% due 08/25/2033 | 536 | 494 | ||||||||||
2.481% due 09/25/2034 (i) | 3,239 | 2,571 | ||||||||||
4.020% due 04/25/2033 | 2 | 2 | ||||||||||
5.220% due 07/25/2034 ^ | 77 | 74 | ||||||||||
5.767% due 11/25/2033 (i) | 959 | 1,019 | ||||||||||
Residential Asset Securities Corp. Trust |
| |||||||||||
1.196% due 10/25/2035 (i) | 3,526 | 2,780 | ||||||||||
Saxon Asset Securities Trust |
| |||||||||||
1.731% due 12/26/2034 | 629 | 499 | ||||||||||
Securitized Asset-Backed Receivables LLC Trust |
| |||||||||||
0.986% due 02/25/2037 ^ | 406 | 274 | ||||||||||
1.431% due 01/25/2035 | 44 | 41 | ||||||||||
SLM Student Loan Trust |
| |||||||||||
0.000% due 01/25/2042 (d) | 2 | 1,993 | ||||||||||
SoFi Professional Loan Program LLC |
| |||||||||||
0.000% due 01/25/2039 (d) | 2,540 | 1,481 | ||||||||||
Soloso CDO Ltd. |
| |||||||||||
1.188% due 10/07/2037 | 1,300 | 533 | ||||||||||
South Coast Funding Ltd. |
| |||||||||||
1.124% due 01/06/2041 | 43,659 | 11,111 | ||||||||||
Specialty Underwriting & Residential Finance Trust |
| |||||||||||
0.906% due 06/25/2037 (i) | 6,255 | 4,491 | ||||||||||
Structured Asset Investment Loan Trust |
| |||||||||||
0.976% due 01/25/2036 (i) | 6,416 | 4,972 | ||||||||||
Structured Asset Securities Corp. Mortgage Loan Trust |
| |||||||||||
1.056% due 06/25/2035 (i) | 446 | 397 | ||||||||||
Talon Funding Ltd. |
| |||||||||||
1.432% due 06/05/2035 | 1,227 | 659 | ||||||||||
UCFC Home Equity Loan Trust |
| |||||||||||
7.750% due 04/15/2030 | 741 | 724 | ||||||||||
|
| |||||||||||
Total Asset-Backed Securities |
| 162,014 | ||||||||||
|
|
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2016 | 47 |
Table of Contents
Schedule of Investments PIMCO Income Opportunity Fund (Cont.)
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
SOVEREIGN ISSUES 0.7% | ||||||||||||
Costa Rica Government International Bond |
| |||||||||||
7.000% due 04/04/2044 | $ | 500 | $ | 459 | ||||||||
Republic of Greece Government International Bond |
| |||||||||||
3.800% due 08/08/2017 | JPY | 46,000 | 386 | |||||||||
4.500% due 07/03/2017 | 40,000 | 339 | ||||||||||
4.750% due 04/17/2019 | EUR | 200 | 199 | |||||||||
Saudi Government International Bond |
| |||||||||||
3.250% due 10/26/2026 | $ | 200 | 190 | |||||||||
4.500% due 10/26/2046 | 1,000 | 960 | ||||||||||
|
| |||||||||||
Total Sovereign Issues (Cost $2,694) |
| 2,533 | ||||||||||
|
| |||||||||||
SHARES | ||||||||||||
COMMON STOCKS 0.2% | ||||||||||||
CONSUMER DISCRETIONARY 0.1% | ||||||||||||
Tribune Media Co. ‘A’ | 5,969 | 209 | ||||||||||
tronc, Inc. | 1,492 | 21 | ||||||||||
|
| |||||||||||
230 | ||||||||||||
|
| |||||||||||
ENERGY 0.0% | ||||||||||||
OGX Petroleo e Gas S.A. SP - ADR | 110,823 | 0 | ||||||||||
|
|
SHARES | MARKET VALUE (000S) | |||||||||||
FINANCIALS 0.1% | ||||||||||||
TIG FinCo PLC (g) | 330,393 | $ | 301 | |||||||||
|
| |||||||||||
Total Common Stocks (Cost $830) |
| 531 | ||||||||||
|
| |||||||||||
CONVERTIBLE PREFERRED SECURITIES 4.9% | ||||||||||||
BANKING & FINANCE 4.9% | ||||||||||||
Wells Fargo & Co. |
| |||||||||||
7.500% (e) | 14,500 | 17,259 | ||||||||||
|
| |||||||||||
Total Convertible Preferred Securities |
| 17,259 | ||||||||||
|
| |||||||||||
PREFERRED SECURITIES 0.3% | ||||||||||||
BANKING & FINANCE 0.3% | ||||||||||||
Navient Corp. |
| |||||||||||
3.464% due 03/15/2017 | 32,400 | 811 | ||||||||||
3.514% due 01/16/2018 | 8,500 | 215 | ||||||||||
|
| |||||||||||
Total Preferred Securities (Cost $460) |
| 1,026 | ||||||||||
|
| |||||||||||
SHORT-TERM INSTRUMENTS 6.9% | ||||||||||||
REPURCHASE AGREEMENTS (h) 4.9% | ||||||||||||
17,165 | ||||||||||||
|
|
PRINCIPAL | MARKET VALUE (000S) | |||||||||||
U.S. TREASURY BILLS 2.0% | ||||||||||||
0.476% due 02/23/2017 - 03/09/2017 (c)(d)(i)(k)(m) | $ | 6,838 | $ | 6,832 | ||||||||
|
| |||||||||||
Total Short-Term Instruments (Cost $23,998) | 23,997 | |||||||||||
|
| |||||||||||
Total Investments in Securities (Cost $555,421) | 568,671 | |||||||||||
Total Investments 162.7% (Cost $555,421) | $ | 568,671 | ||||||||||
Financial Derivative (Cost or Premiums, net $(4,887)) |
| (3,810 | ) | |||||||||
Other Assets and Liabilities, net (61.6)% | (215,338 | ) | ||||||||||
|
| |||||||||||
Net Assets 100.0% | $ | 349,523 | ||||||||||
|
|
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*):
* | A zero balance may reflect actual amounts rounding to less than one thousand. |
^ | Security is in default. |
(a) | Interest only security. |
(b) | Payment in-kind security. |
(c) | Coupon represents a weighted average yield to maturity. |
(d) | Zero coupon security. |
(e) | Perpetual maturity; date shown, if applicable, represents next contractual call date. |
(f) | Security is subject to a forbearance agreement entered into by the Fund which forbears the Fund from taking action to, among other things, accelerate and collect payments on the subject note with respect to specified events of default. |
(g) RESTRICTED SECURITIES:
Issuer Description | Acquisition Date | Cost | Market Value | Market Value as Percentage of Net Assets | ||||||||||
KGH Intermediate Holdco LLC 12.000% due 08/08/2019 | 08/07/2014 | $ | 4,883 | $ | 4,892 | 1.40 | % | |||||||
Pinnacol Assurance 8.625% due 06/25/2034 | 06/23/2014 | 2,900 | 2,899 | 0.83 | ||||||||||
TIG FinCo PLC | 04/02/2015 | 490 | 301 | 0.09 | ||||||||||
|
|
|
|
|
| |||||||||
$ | 8,273 | $ | 8,092 | 2.32 | % | |||||||||
|
|
|
|
|
|
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(h) 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) | ||||||||||||||||||||||
JPS | 0.610 | % | 12/30/2016 | 01/03/2017 | $ | 11,900 | Ginnie Mae 3.000% due 04/20/2046 | $ | (12,530 | ) | $ | 11,900 | $ | 11,901 | ||||||||||||||||
SSB | 0.010 | 12/30/2016 | 01/03/2017 | 5,265 | U.S. Treasury Notes 1.000% - 3.500% due 02/15/2018 - 05/15/2018(2) | (5,373 | ) | 5,265 | 5,265 | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Total Repurchase Agreements |
| $ | (17,903 | ) | $ | 17,165 | $ | 17,166 | ||||||||||||||||||||||
|
|
|
|
|
|
(1) | Includes accrued interest. |
(2) | Collateral is held in custody by the counterparty. |
48 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
Table of Contents
December 31, 2016 (Unaudited)
REVERSE REPURCHASE AGREEMENTS:
Counterparty | Borrowing Rate(3) | Borrowing Date | Maturity Date | Amount Borrowed(3) | Payable for Reverse Repurchase Agreements | |||||||||||||||||||
BCY | 1.150 | % | 12/16/2016 | TBD | (4) | $ | (6,271 | ) | $ | (6,275 | ) | |||||||||||||
1.900 | 11/30/2016 | 03/02/2017 | (616 | ) | (617 | ) | ||||||||||||||||||
1.982 | 11/09/2016 | 02/09/2017 | (478 | ) | (479 | ) | ||||||||||||||||||
2.354 | 10/03/2016 | 01/03/2017 | (2,829 | ) | (2,846 | ) | ||||||||||||||||||
2.382 | 11/14/2016 | 02/09/2017 | (8,403 | ) | (8,431 | ) | ||||||||||||||||||
2.406 | 11/17/2016 | 02/17/2017 | (1,293 | ) | (1,297 | ) | ||||||||||||||||||
2.420 | 11/23/2016 | 02/23/2017 | (3,892 | ) | (3,903 | ) | ||||||||||||||||||
2.494 | 12/21/2016 | 03/21/2017 | (7,855 | ) | (7,862 | ) | ||||||||||||||||||
2.497 | 01/03/2017 | 04/03/2017 | (2,979 | ) | (2,979 | ) | ||||||||||||||||||
BPS | 1.620 | 10/06/2016 | 01/06/2017 | (1,685 | ) | (1,692 | ) | |||||||||||||||||
1.670 | 11/22/2016 | 01/27/2017 | (925 | ) | (927 | ) | ||||||||||||||||||
1.740 | 12/01/2016 | 03/02/2017 | (1,321 | ) | (1,323 | ) | ||||||||||||||||||
1.780 | 12/08/2016 | 03/08/2017 | (873 | ) | (874 | ) | ||||||||||||||||||
2.743 | 11/10/2016 | 05/10/2017 | (10,169 | ) | (10,211 | ) | ||||||||||||||||||
BRC | 1.550 | 11/10/2016 | 02/03/2017 | (2,262 | ) | (2,267 | ) | |||||||||||||||||
DEU | 1.730 | 11/09/2016 | 01/05/2017 | (582 | ) | (584 | ) | |||||||||||||||||
1.730 | 11/09/2016 | 02/09/2017 | (1,163 | ) | (1,166 | ) | ||||||||||||||||||
1.850 | 11/23/2016 | 02/23/2017 | (1,591 | ) | (1,594 | ) | ||||||||||||||||||
1.900 | 11/28/2016 | 01/13/2017 | (552 | ) | (553 | ) | ||||||||||||||||||
1.900 | 11/28/2016 | 02/27/2017 | (1,543 | ) | (1,546 | ) | ||||||||||||||||||
FOB | 2.445 | 12/14/2016 | 01/17/2017 | (2,399 | ) | (2,402 | ) | |||||||||||||||||
JML | 1.650 | 12/05/2016 | 01/10/2017 | (6,923 | ) | (6,932 | ) | |||||||||||||||||
JPS | 2.526 | 10/12/2016 | 01/12/2017 | (6,547 | ) | (6,585 | ) | |||||||||||||||||
MSC | 1.400 | 11/29/2016 | 02/28/2017 | (3,284 | ) | (3,288 | ) | |||||||||||||||||
1.850 | 12/07/2016 | 03/07/2017 | (3,224 | ) | (3,228 | ) | ||||||||||||||||||
1.900 | 11/02/2016 | 02/02/2017 | (1,104 | ) | (1,108 | ) | ||||||||||||||||||
2.970 | 09/16/2016 | 09/15/2017 | (1,287 | ) | (1,289 | ) | ||||||||||||||||||
PAR | 0.950 | 12/07/2016 | 02/07/2017 | GBP | (802 | ) | (988 | ) | ||||||||||||||||
RBC | 1.660 | 07/20/2016 | 01/19/2017 | $ | (3,734 | ) | (3,763 | ) | ||||||||||||||||
1.940 | 12/07/2016 | 06/07/2017 | (4,565 | ) | (4,572 | ) | ||||||||||||||||||
1.970 | 12/23/2016 | 06/12/2017 | (3,187 | ) | (3,189 | ) | ||||||||||||||||||
2.550 | 09/26/2016 | 03/27/2017 | (5,859 | ) | (5,900 | ) | ||||||||||||||||||
2.560 | 09/13/2016 | 03/13/2017 | (4,510 | ) | (4,546 | ) | ||||||||||||||||||
RDR | 1.260 | 10/07/2016 | 01/09/2017 | (1,093 | ) | (1,096 | ) | |||||||||||||||||
1.320 | 11/22/2016 | 02/22/2017 | (2,116 | ) | (2,119 | ) | ||||||||||||||||||
RTA | 1.501 | 07/14/2016 | 01/13/2017 | (459 | ) | (462 | ) | |||||||||||||||||
2.094 | 01/05/2016 | 01/04/2017 | (7,858 | ) | (8,024 | ) | ||||||||||||||||||
2.209 | 04/15/2016 | 04/13/2017 | (5,337 | ) | (5,423 | ) | ||||||||||||||||||
2.211 | 03/15/2016 | 03/14/2017 | (2,265 | ) | (2,306 | ) | ||||||||||||||||||
2.211 | 01/04/2017 | 01/03/2018 | (7,020 | ) | (7,020 | ) | ||||||||||||||||||
2.230 | 04/29/2016 | 04/27/2017 | (4,791 | ) | (4,865 | ) | ||||||||||||||||||
2.239 | 04/25/2016 | 04/24/2017 | (960 | ) | (975 | ) | ||||||||||||||||||
2.432 | 08/03/2016 | 08/02/2017 | (5,568 | ) | (5,626 | ) | ||||||||||||||||||
2.543 | 11/14/2016 | 05/15/2017 | (912 | ) | (915 | ) | ||||||||||||||||||
SAL | 1.658 | 10/05/2016 | 01/05/2017 | (4,521 | ) | (4,540 | ) | |||||||||||||||||
1.835 | 11/29/2016 | 03/01/2017 | (368 | ) | (369 | ) | ||||||||||||||||||
1.835 | 01/05/2017 | 04/05/2017 | (3,573 | ) | (3,573 | ) | ||||||||||||||||||
1.982 | 10/24/2016 | 01/24/2017 | (2,541 | ) | (2,551 | ) | ||||||||||||||||||
SOG | 1.550 | 12/12/2016 | 01/18/2017 | (895 | ) | (896 | ) | |||||||||||||||||
1.600 | 10/25/2016 | 01/25/2017 | (1,079 | ) | (1,082 | ) | ||||||||||||||||||
1.650 | 08/26/2016 | 02/27/2017 | (1,813 | ) | (1,824 | ) | ||||||||||||||||||
1.650 | 09/02/2016 | 02/27/2017 | (815 | ) | (820 | ) | ||||||||||||||||||
1.650 | 11/15/2016 | 02/15/2017 | (1,485 | ) | (1,488 | ) | ||||||||||||||||||
1.650 | 11/21/2016 | 02/21/2017 | (1,082 | ) | (1,084 | ) | ||||||||||||||||||
1.650 | 11/28/2016 | 02/27/2017 | (2,029 | ) | (2,035 | ) | ||||||||||||||||||
1.650 | 12/06/2016 | 03/02/2017 | (2,390 | ) | (2,393 | ) | ||||||||||||||||||
1.650 | 12/12/2016 | 02/27/2017 | (476 | ) | (476 | ) | ||||||||||||||||||
1.700 | 12/14/2016 | 03/14/2017 | (4,707 | ) | (4,711 | ) | ||||||||||||||||||
1.700 | 12/15/2016 | 03/15/2017 | (3,227 | ) | (3,230 | ) | ||||||||||||||||||
2.607 | 12/09/2016 | 06/09/2017 | (6,938 | ) | (6,946 | ) | ||||||||||||||||||
2.731 | 07/20/2016 | 07/20/2017 | (6,558 | ) | (6,620 | ) | ||||||||||||||||||
UBS | 0.150 | 12/16/2016 | 01/20/2017 | EUR | (1,069 | ) | (1,126 | ) | ||||||||||||||||
0.480 | 10/18/2016 | 01/18/2017 | (424 | ) | (447 | ) | ||||||||||||||||||
0.500 | 09/27/2016 | TBD | (4) | (409 | ) | (431 | ) | |||||||||||||||||
0.900 | 10/13/2016 | 01/13/2017 | GBP | (1,645 | ) | (2,032 | ) | |||||||||||||||||
0.900 | 10/17/2016 | 01/17/2017 | (2,119 | ) | (2,617 | ) | ||||||||||||||||||
1.100 | 11/18/2016 | 02/20/2017 | (1,774 | ) | (2,189 | ) | ||||||||||||||||||
1.300 | 10/20/2016 | 01/20/2017 | (5,152 | ) | (6,366 | ) | ||||||||||||||||||
1.420 | 11/21/2016 | 02/22/2017 | $ | (209 | ) | (209 | ) |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2016 | 49 |
Table of Contents
Schedule of Investments PIMCO Income Opportunity Fund (Cont.)
Counterparty | Borrowing Rate(3) | Borrowing Date | Maturity Date | Amount Borrowed(3) | Payable for Reverse Repurchase Agreements | |||||||||||||||||||
1.630 | % | 11/03/2016 | 02/03/2017 | $ | (203 | ) | $ | (204 | ) | |||||||||||||||
1.650 | 10/28/2016 | 01/30/2017 | (1,546 | ) | (1,551 | ) | ||||||||||||||||||
1.680 | 11/03/2016 | 02/03/2017 | (853 | ) | (855 | ) | ||||||||||||||||||
1.730 | 12/01/2016 | 03/02/2017 | (3,635 | ) | (3,641 | ) | ||||||||||||||||||
1.750 | 12/07/2016 | 03/07/2017 | (1,881 | ) | (1,883 | ) | ||||||||||||||||||
1.850 | 12/28/2016 | 03/14/2017 | (5,433 | ) | (5,435 | ) | ||||||||||||||||||
1.880 | 11/30/2016 | 03/02/2017 | (1,392 | ) | (1,394 | ) | ||||||||||||||||||
2.314 | 10/05/2016 | 01/05/2017 | (2,592 | ) | (2,607 | ) | ||||||||||||||||||
2.318 | 10/06/2016 | 01/06/2017 | (2,552 | ) | (2,567 | ) | ||||||||||||||||||
2.364 | 10/05/2016 | 01/05/2017 | (811 | ) | (816 | ) | ||||||||||||||||||
2.368 | 10/06/2016 | 01/06/2017 | (7,823 | ) | (7,869 | ) | ||||||||||||||||||
2.414 | 10/05/2016 | 01/05/2017 | (1,307 | ) | (1,315 | ) | ||||||||||||||||||
2.418 | 10/06/2016 | 01/06/2017 | (1,598 | ) | (1,608 | ) | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Reverse Repurchase Agreements |
| $ | (235,847 | ) | ||||||||||||||||||||
|
|
(3) | The average amount of borrowings outstanding during the period ended December 31, 2016 was $(218,195) at a weighted average interest rate of 1.852%. |
(4) | Open maturity reverse repurchase agreement. |
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, 2016:
(i) | Securities with an aggregate market value of $307,015 and cash of $360 have been pledged as collateral under the terms of the following master agreements as of December 31, 2016. |
Counterparty | Repurchase Agreement Proceeds to be Received | Payable for Reverse Repurchase Agreements | Payable for Sale-Buyback Transactions | Total Borrowings and Other Financing Transactions | Collateral Pledged/(Received) | Net Exposure(5) | ||||||||||||||||||
Global/Master Repurchase Agreement | ||||||||||||||||||||||||
BCY | $ | 0 | $ | (34,689 | ) | $ | 0 | $ | (34,689 | ) | $ | 50,625 | $ | 15,936 | ||||||||||
BPS | 0 | (15,027 | ) | 0 | (15,027 | ) | 20,880 | 5,853 | ||||||||||||||||
BRC | 0 | (2,267 | ) | 0 | (2,267 | ) | 2,491 | 224 | ||||||||||||||||
DEU | 0 | (5,443 | ) | 0 | (5,443 | ) | 5,846 | 403 | ||||||||||||||||
FOB | 0 | (2,402 | ) | 0 | (2,402 | ) | 4,059 | 1,657 | ||||||||||||||||
JML | 0 | (6,932 | ) | 0 | (6,932 | ) | 8,693 | 1,761 | ||||||||||||||||
JPS | 11,901 | (6,585 | ) | 0 | 5,316 | (3,067 | ) | 2,249 | ||||||||||||||||
MSC | 0 | (8,913 | ) | 0 | (8,913 | ) | 10,702 | 1,789 | ||||||||||||||||
PAR | 0 | (988 | ) | 0 | (988 | ) | 1,237 | 249 | ||||||||||||||||
RBC | 0 | (21,970 | ) | 0 | (21,970 | ) | 25,604 | 3,634 | ||||||||||||||||
RDR | 0 | (3,215 | ) | 0 | (3,215 | ) | 3,325 | 110 | ||||||||||||||||
RTA | 0 | (35,616 | ) | 0 | (35,616 | ) | 48,953 | 13,337 | ||||||||||||||||
SAL | 0 | (11,033 | ) | 0 | (11,033 | ) | 13,634 | 2,601 | ||||||||||||||||
SOG | 0 | (33,605 | ) | 0 | (33,605 | ) | 40,448 | 6,843 | ||||||||||||||||
SSB | 5,265 | 0 | 0 | 5,265 | (5,373 | ) | (108 | ) | ||||||||||||||||
UBS | 0 | (47,162 | ) | 0 | (47,162 | ) | 60,067 | 12,905 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
Total Borrowings and Other Financing Transactions | $ | 17,166 | $ | (235,847 | ) | $ | 0 | |||||||||||||||||
|
|
|
|
|
|
(5) | 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 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
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 | $ | (25,313 | ) | $ | (49,653 | ) | $ | (9,895 | ) | $ | (84,861 | ) | ||||||
Convertible Bonds & Notes | 0 | 0 | 0 | (4,572 | ) | (4,572 | ) | |||||||||||||
U.S. Government Agencies | 0 | 0 | (479 | ) | 0 | (479 | ) | |||||||||||||
Non-Agency Mortgage-Backed Securities | 0 | (20,250 | ) | (24,950 | ) | (14,259 | ) | (59,459 | ) | |||||||||||
Asset-Backed Securities | 0 | (30,293 | ) | (14,000 | ) | (28,611 | ) | (72,904 | ) | |||||||||||
|
|
|
|
|
|
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|
|
| |||||||||||
Total Borrowings | $ | 0 | $ | (75,856 | ) | $ | (89,082 | ) | $ | (57,337 | ) | $ | (222,275 | ) | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Gross amount of recognized liabilities for reverse repurchase agreements(6) |
| $ | (222,275 | ) | ||||||||||||||||
|
|
(6) | Unsettled reverse repurchase agreements liability of $(13,572) is outstanding at period end. |
50 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
Table of Contents
December 31, 2016 (Unaudited)
(j) FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED
CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION(1)
Reference Entity | Fixed Receive Rate | Maturity Date | Implied Credit Spread at December 31, 2016(2) | Notional Amount(3) | Market Value | Unrealized Appreciation | Variation Margin | |||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||
Sprint Communications, Inc. | 5.000% | 12/20/2021 | 3.462% | $ | 1,000 | $ | 69 | $ | 47 | $ | 2 | $ | 0 | |||||||||||||||||
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|
|
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|
|
(1) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues as of period end serve as an indicator 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. |
INTEREST RATE SWAPS
Pay/Receive Floating Rate | Floating Rate Index | Fixed Rate | Maturity Date | Notional Amount | Market Value | Unrealized Appreciation/ (Depreciation) | Variation Margin | |||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||
Pay | 1-Year BRL-CDI | 11.680 | % | 01/04/2021 | BRL | 71,100 | $ | (214 | ) | $ | 133 | $ | 0 | $ | (1 | ) | ||||||||||||||||||
Pay | 1-Year BRL-CDI | 15.590 | 01/04/2021 | 20 | 1 | 0 | 0 | 0 | ||||||||||||||||||||||||||
Pay | 3-Month CAD-Bank Bill | 3.300 | 06/19/2024 | CAD | 13,300 | 1,152 | 534 | 32 | 0 | |||||||||||||||||||||||||
Receive | 3-Month CAD-Bank Bill | 3.500 | 06/20/2044 | 4,400 | (821 | ) | (667 | ) | 0 | (38 | ) | |||||||||||||||||||||||
Receive | 3-Month USD-LIBOR | 1.500 | 12/21/2021 | $ | 18,000 | (413 | ) | (567 | ) | 21 | 0 | |||||||||||||||||||||||
Pay | 3-Month USD-LIBOR | 1.750 | 12/21/2023 | 150,000 | (4,195 | ) | (7,021 | ) | 302 | 0 | ||||||||||||||||||||||||
Receive | 3-Month USD-LIBOR | 2.250 | 06/15/2026 | 6,800 | 29 | 443 | 0 | (21 | ) | |||||||||||||||||||||||||
Receive | 3-Month USD-LIBOR | 2.500 | 06/15/2036 | 56,900 | 812 | 6,487 | 0 | (342 | ) | |||||||||||||||||||||||||
Receive | 3-Month USD-LIBOR | 2.500 | 06/15/2046 | 17,600 | 300 | 2,449 | 0 | (157 | ) | |||||||||||||||||||||||||
Pay | 6-Month AUD-BBR-BBSW | 3.500 | 06/17/2025 | AUD | 5,200 | 172 | 43 | 23 | 0 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | (3,177 | ) | $ | 1,834 | $ | 378 | $ | (559 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total Swap Agreements |
| $ | (3,108 | ) | $ | 1,881 | $ | 380 | $ | (559 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
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, 2016:
(k) | Securities with an aggregate market value of $854 and cash of $6,446 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2016. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||||||
Market Value | Variation Margin Asset | Total | Market Value | Variation Margin Liability | Total | |||||||||||||||||||||||||||||||
Purchased Options | Futures | Swap Agreements | Written Options | Futures | Swap Agreements | |||||||||||||||||||||||||||||||
Total Exchange-Traded or Centrally Cleared | $ | 0 | $ | 0 | $ | 380 | $ | 380 | $ | 0 | $ | 0 | $ | (559) | $ | (559) | ||||||||||||||||||||
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(l) FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER
FORWARD FOREIGN CURRENCY CONTRACTS:
Counterparty | Settlement Month | Currency to | Currency to | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||
BOA | 01/2017 | $ | 13,311 | EUR | 12,799 | $ 164 | $ | 0 | ||||||||||||||||
02/2017 | EUR | 12,799 | $ | 13,329 | 0 | (163 | ) | |||||||||||||||||
BPS | 01/2017 | 10,424 | 11,056 | 82 | 0 | |||||||||||||||||||
01/2017 | GBP | 18,630 | 23,296 | 335 | 0 | |||||||||||||||||||
01/2017 | $ | 190 | EUR | 182 | 1 | 0 | ||||||||||||||||||
CBK | 01/2017 | EUR | 207 | $ | 216 | 0 | (2 | ) | ||||||||||||||||
01/2017 | $ | 685 | EUR | 649 | 1 | (3 | ) |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2016 | 51 |
Table of Contents
Schedule of Investments PIMCO Income Opportunity Fund (Cont.)
Counterparty | Settlement Month | Currency to | Currency to | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||
GLM | 01/2017 | BRL | 955 | $ | 293 | $ | 0 | $ | 0 | |||||||||||||||
01/2017 | EUR | 3,455 | 3,686 | 48 | 0 | |||||||||||||||||||
01/2017 | GBP | 57 | 70 | 0 | 0 | |||||||||||||||||||
01/2017 | JPY | 84,400 | 740 | 17 | 0 | |||||||||||||||||||
01/2017 | $ | 282 | BRL | 955 | 11 | 0 | ||||||||||||||||||
IND | 01/2017 | 22,937 | GBP | 18,735 | 153 | 0 | ||||||||||||||||||
02/2017 | GBP | 18,735 | $ | 22,952 | 0 | (155 | ) | |||||||||||||||||
JPM | 01/2017 | CAD | 94 | 71 | 1 | 0 | ||||||||||||||||||
01/2017 | $ | 555 | EUR | 522 | 0 | (5 | ) | |||||||||||||||||
RBC | 01/2017 | GBP | 253 | $ | 317 | 6 | 0 | |||||||||||||||||
SCX | 01/2017 | BRL | 955 | 292 | 0 | (2 | ) | |||||||||||||||||
01/2017 | EUR | 66 | 70 | 1 | 0 | |||||||||||||||||||
01/2017 | $ | 293 | BRL | 955 | 0 | 0 | ||||||||||||||||||
01/2017 | 388 | GBP | 316 | 2 | 0 | |||||||||||||||||||
02/2017 | 289 | BRL | 955 | 2 | 0 | |||||||||||||||||||
SOG | 01/2017 | GBP | 111 | $ | 140 | 3 | 0 | |||||||||||||||||
|
|
|
| |||||||||||||||||||||
Total Forward Foreign Currency Contracts |
| $ | 827 | $ | (330 | ) | ||||||||||||||||||
|
|
|
|
SWAP AGREEMENTS:
CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION(1)
Counterparty | Reference Entity | Fixed Receive Rate | Maturity Date | Implied Credit Spread at December 31, 2016(2) | Notional Amount(3) | Premiums Paid/(Received) | Unrealized Appreciation/ (Depreciation) | Swap Agreements, at Value | ||||||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||||||
BOA | Russia Government International Bond | 1.000 | % | 06/20/2024 | 2.248 | % | $ | 400 | $ | (40 | ) | $ | 8 | $ | 0 | $ | (32 | ) | ||||||||||||||||||||
BRC | Gazprom S.A. | 1.900 | 12/20/2017 | 0.513 | 1,250 | 0 | 18 | 18 | 0 | |||||||||||||||||||||||||||||
JSC VTB Bank | 2.340 | 12/20/2017 | 1.207 | 1,250 | 0 | 15 | 15 | 0 | ||||||||||||||||||||||||||||||
Russia Government International Bond | 1.000 | 06/20/2024 | 2.248 | 400 | (46 | ) | 14 | 0 | (32 | ) | ||||||||||||||||||||||||||||
Russia Government International Bond | 1.000 | 09/20/2024 | 2.270 | 300 | (25 | ) | 0 | 0 | (25 | ) | ||||||||||||||||||||||||||||
CBK | Russia Government International Bond | 1.000 | 06/20/2024 | 2.248 | 500 | (53 | )�� | 13 | 0 | (40 | ) | |||||||||||||||||||||||||||
Russia Government International Bond | 1.000 | 09/20/2024 | 2.270 | 300 | (26 | ) | 1 | 0 | (25 | ) | ||||||||||||||||||||||||||||
FBF | TNK-BP Finance S.A. | 3.150 | 12/20/2017 | 0.979 | 1,500 | 0 | 33 | 33 | 0 | |||||||||||||||||||||||||||||
GST | Petrobras Global Finance BV | 1.000 | 09/20/2020 | 4.072 | 110 | (16 | ) | 4 | 0 | (12 | ) | |||||||||||||||||||||||||||
Russia Government International Bond | 1.000 | 03/20/2020 | 1.121 | 100 | (19 | ) | 18 | 0 | (1 | ) | ||||||||||||||||||||||||||||
Russia Government International Bond | 1.000 | 06/20/2024 | 2.248 | 200 | (23 | ) | 7 | 0 | (16 | ) | ||||||||||||||||||||||||||||
HUS | Russia Government International Bond | 1.000 | 06/20/2019 | 0.814 | 130 | (5 | ) | 6 | 1 | 0 | ||||||||||||||||||||||||||||
Russia Government International Bond | 1.000 | 06/20/2024 | 2.248 | 130 | (13 | ) | 2 | 0 | (11 | ) | ||||||||||||||||||||||||||||
Russia Government International Bond | 1.000 | 09/20/2024 | 2.270 | 69 | (10 | ) | 4 | 0 | (6 | ) | ||||||||||||||||||||||||||||
JPM | Russia Government International Bond | 1.000 | 06/20/2024 | 2.248 | 200 | (18 | ) | 2 | 0 | (16 | ) | |||||||||||||||||||||||||||
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|
|
|
|
|
|
| |||||||||||||||||||||||||||||||
$ | (294 | ) | $ | 145 | $ | 67 | $ | (216 | ) | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION(1)
Counterparty | Index/Tranches | Fixed Receive Rate | Maturity Date | Notional Amount(3) | Premiums (Received) | Unrealized Appreciation/ (Depreciation) | Swap Agreements, at Value(4) | |||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||
GST | ABX.HE.AA.6-1 Index | 0.320 | % | 07/25/2045 | $ | 18,103 | $ | (3,602 | ) | $ | 616 | $ | 0 | $ | (2,986 | ) | ||||||||||||||
ABX.HE.PENAAA.7-1 Index | 0.090 | 08/25/2037 | 5,116 | (991 | ) | (2 | ) | 0 | (993 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||
$ | (4,593 | ) | $ | 614 | $ | 0 | $ | (3,979 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||
Total Swap Agreements |
| $ | (4,887 | ) | $ | 759 | $ | 67 | $ | (4,195 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
(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 an indicator 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. |
52 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
Table of Contents
December 31, 2016 (Unaudited)
(3) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(4) | The prices and resulting values for credit default swap agreements on credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced indices’ credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
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, 2016:
(m) | Securities with an aggregate market value of $4,875 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2016. |
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||||||||||||||||||
Counterparty | Forward Foreign Currency Contracts | Purchased Options | Swap Agreements | Total Over the Counter | Forward Foreign Currency Contracts | Written Options | Swap Agreements | Total Over the Counter | Net Market Value of OTC Derivatives | Collateral Pledged/ (Received) | Net Exposure(5) | |||||||||||||||||||||||||||||||||||||
BOA | $ | 164 | $ | 0 | $ | 0 | $ | 164 | $ | (163 | ) | $ | 0 | $ | (32 | ) | $ | (195 | ) | $ | (31 | ) | $ | 0 | $ | (31 | ) | |||||||||||||||||||||
BPS | 418 | 0 | 0 | 418 | 0 | 0 | 0 | 0 | 418 | (708 | ) | (290 | ) | |||||||||||||||||||||||||||||||||||
BRC | 0 | 0 | 33 | 33 | 0 | 0 | (57 | ) | (57 | ) | (24 | ) | 3 | (21 | ) | |||||||||||||||||||||||||||||||||
CBK | 1 | 0 | 0 | 1 | (5 | ) | 0 | (65 | ) | (70 | ) | (69 | ) | 0 | (69 | ) | ||||||||||||||||||||||||||||||||
FBF | 0 | 0 | 33 | 33 | 0 | 0 | 0 | 0 | 33 | 0 | 33 | |||||||||||||||||||||||||||||||||||||
GLM | 76 | 0 | 0 | 76 | 0 | 0 | 0 | 0 | 76 | 0 | 76 | |||||||||||||||||||||||||||||||||||||
GST | 0 | 0 | 0 | 0 | 0 | 0 | (4,008 | ) | (4,008 | ) | (4,008 | ) | 4,846 | 838 | ||||||||||||||||||||||||||||||||||
HUS | 0 | 0 | 1 | 1 | 0 | 0 | (17 | ) | (17 | ) | (16 | ) | 26 | 10 | ||||||||||||||||||||||||||||||||||
IND | 153 | 0 | 0 | 153 | (155 | ) | 0 | 0 | (155 | ) | (2 | ) | 0 | (2 | ) | |||||||||||||||||||||||||||||||||
JPM | 1 | 0 | 0 | 1 | (5 | ) | 0 | (16 | ) | (21 | ) | (20 | ) | 0 | (20 | ) | ||||||||||||||||||||||||||||||||
RBC | 6 | 0 | 0 | 6 | 0 | 0 | 0 | 0 | 6 | 0 | 6 | |||||||||||||||||||||||||||||||||||||
SCX | 5 | 0 | 0 | 5 | (2 | ) | 0 | 0 | (2 | ) | 3 | 0 | 3 | |||||||||||||||||||||||||||||||||||
SOG | 3 | 0 | 0 | 3 | 0 | 0 | 0 | 0 | 3 | 0 | 3 | |||||||||||||||||||||||||||||||||||||
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|
| |||||||||||||||||||||||||||||||||
Total Over the Counter | $ | 827 | $ | 0 | $ | 67 | $ | 894 | $ | (330 | ) | $ | 0 | $ | (4,195 | ) | $ | (4,525 | ) | |||||||||||||||||||||||||||||
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|
(5) | Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS
The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal Risks, in the Notes to Financial Statements on risks of the Fund.
Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of December 31, 2016:
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 | $ | 2 | $ | 0 | $ | 0 | $ | 378 | $ | 380 | ||||||||||||
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|
|
|
|
|
|
|
|
|
| |||||||||||||
Over the counter | ||||||||||||||||||||||||
Forward Foreign Currency Contracts | $ | 0 | $ | 0 | $ | 0 | $ | 827 | $ | 0 | $ | 827 | ||||||||||||
Swap Agreements | 0 | 67 | 0 | 0 | 0 | 67 | ||||||||||||||||||
|
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|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 0 | $ | 67 | $ | 0 | $ | 827 | $ | 0 | $ | 894 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 0 | $ | 69 | $ | 0 | $ | 827 | $ | 378 | $ | 1,274 | |||||||||||||
|
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|
|
|
|
|
|
|
|
|
| |||||||||||||
Financial Derivative Instruments - Liabilities | ||||||||||||||||||||||||
Exchange-traded or centrally cleared | ||||||||||||||||||||||||
Swap Agreements | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 559 | $ | 559 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Over the counter | ||||||||||||||||||||||||
Forward Foreign Currency Contracts | $ | 0 | $ | 0 | $ | 0 | $ | 330 | $ | 0 | $ | 330 | ||||||||||||
Swap Agreements | 0 | 4,195 | 0 | 0 | 0 | 4,195 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 0 | $ | 4,195 | $ | 0 | $ | 330 | $ | 0 | $ | 4,525 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 0 | $ | 4,195 | $ | 0 | $ | 330 | $ | 559 | $ | 5,084 | |||||||||||||
|
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|
|
|
|
|
|
|
|
|
|
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2016 | 53 |
Table of Contents
Schedule of Investments PIMCO Income Opportunity Fund (Cont.)
The effect of Financial Derivative Instruments on the Statements of Operations for the period ended December 31, 2016:
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Exchange Contracts | Interest Rate Contracts | Total | |||||||||||||||||||
Net Realized Gain (Loss) on Financial Derivative Instruments |
| |||||||||||||||||||||||
Exchange-traded or centrally cleared | ||||||||||||||||||||||||
Swap Agreements | $ | 0 | $ | 3 | $ | 0 | $ | 0 | $ | (2,803 | ) | $ | (2,800 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Over the counter | ||||||||||||||||||||||||
Forward Foreign Currency Contracts | $ | 0 | $ | 0 | $ | 0 | $ | 4,827 | $ | 0 | $ | 4,827 | ||||||||||||
Swap Agreements | 0 | 112 | 0 | 0 | (21 | ) | 91 | |||||||||||||||||
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|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 0 | $ | 112 | $ | 0 | $ | 4,827 | $ | (21 | ) | $ | 4,918 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 0 | $ | 115 | $ | 0 | $ | 4,827 | $ | (2,824 | ) | $ | 2,118 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative Instruments |
| |||||||||||||||||||||||
Exchange-traded or centrally cleared | ||||||||||||||||||||||||
Swap Agreements | $ | 0 | $ | 47 | $ | 0 | $ | 0 | $ | 4,783 | $ | 4,830 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Over the counter | ||||||||||||||||||||||||
Forward Foreign Currency Contracts | $ | 0 | $ | 0 | $ | 0 | $ | (1,988 | ) | $ | 0 | $ | (1,988 | ) | ||||||||||
Swap Agreements | 0 | 640 | 0 | 0 | 145 | 785 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 0 | $ | 640 | $ | 0 | $ | (1,988 | ) | $ | 145 | $ | (1,203 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 0 | $ | 687 | $ | 0 | $ | (1,988 | ) | $ | 4,928 | $ | 3,627 | ||||||||||||
|
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|
|
|
|
|
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|
|
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2016 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2016 | ||||||||||||
Investments in Securities, at Value |
| |||||||||||||||
Bank Loan Obligations | $ | 0 | $ | 17,080 | $ | 127 | $ | 17,207 | ||||||||
Corporate Bonds & Notes | ||||||||||||||||
Banking & Finance | 0 | 66,557 | 10,450 | 77,007 | ||||||||||||
Industrials | 0 | 80,823 | 2,783 | 83,606 | ||||||||||||
Utilities | 0 | 24,760 | 0 | 24,760 | ||||||||||||
Convertible Bonds & Notes | ||||||||||||||||
Banking & Finance | 0 | 5,299 | 0 | 5,299 | ||||||||||||
Municipal Bonds & Notes | ||||||||||||||||
Illinois | 0 | 338 | 0 | 338 | ||||||||||||
Iowa | 0 | 153 | 0 | 153 | ||||||||||||
West Virginia | 0 | 2,425 | 0 | 2,425 | ||||||||||||
U.S. Government Agencies | 0 | 1,394 | 0 | 1,394 | ||||||||||||
Non-Agency Mortgage-Backed Securities | 0 | 148,336 | 786 | 149,122 | ||||||||||||
Asset-Backed Securities | 0 | 153,873 | 8,141 | 162,014 | ||||||||||||
Sovereign Issues | 0 | 2,533 | 0 | 2,533 | ||||||||||||
Common Stocks | ||||||||||||||||
Consumer Discretionary | 230 | 0 | 0 | 230 | ||||||||||||
Financials | 0 | 0 | 301 | 301 | ||||||||||||
Convertible Preferred Securities | ||||||||||||||||
Banking & Finance | 0 | 17,259 | 0 | 17,259 | ||||||||||||
Preferred Securities | ||||||||||||||||
Banking & Finance | 1,026 | 0 | 0 | 1,026 |
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2016 | ||||||||||||
Short-Term Instruments | ||||||||||||||||
Repurchase Agreements | $ | 0 | $ | 17,165 | $ | 0 | $ | 17,165 | ||||||||
U.S. Treasury Bills | 0 | 6,832 | 0 | 6,832 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 1,256 | $ | 544,827 | $ | 22,588 | $ | 568,671 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Financial Derivative Instruments - Assets |
| |||||||||||||||
Exchange-traded or centrally cleared | 0 | 380 | 0 | 380 | ||||||||||||
Over the counter | 0 | 894 | 0 | 894 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 0 | $ | 1,274 | $ | 0 | $ | 1,274 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Financial Derivative Instruments - Liabilities |
| |||||||||||||||
Exchange-traded or centrally cleared | 0 | (559 | ) | 0 | (559 | ) | ||||||||||
Over the counter | 0 | (4,525 | ) | 0 | (4,525 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 0 | $ | (5,084 | ) | $ | 0 | $ | (5,084 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
Total Financial Derivative Instruments | $ | 0 | $ | (3,810 | ) | $ | 0 | $ | (3,810 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Totals | $ | 1,256 | $ | 541,017 | $ | 22,588 | $ | 564,861 | ||||||||
|
|
|
|
|
|
|
|
There were no significant transfers between Levels 1 and 2 during the period ended December 31, 2016.
54 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
Table of Contents
December 31, 2016 (Unaudited)
The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended December 31, 2016:
Category and Subcategory | Beginning Balance at 06/30/2016 | Net Purchases | Net Sales | Accrued Discounts/ (Premiums) | Realized Gain/(Loss) | Net Change in Unrealized Appreciation/ (Depreciation)(1) | Transfers into Level 3 | Transfers out of Level 3 | Ending Balance at 12/31/2016 | Net Change in Unrealized Appreciation/ (Depreciation) on Investments Held at 12/31/2016(1) | ||||||||||||||||||||||||||||||
Investments in Securities, at Value |
| |||||||||||||||||||||||||||||||||||||||
Bank Loan Obligations | $ | 222 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | (95 | ) | $ | 0 | $ | 0 | $ | 127 | $ | (95 | ) | ||||||||||||||||||
Corporate Bonds & Notes | ||||||||||||||||||||||||||||||||||||||||
Banking & Finance | 10,482 | 0 | (32 | ) | 15 | 0 | (15 | ) | 0 | 0 | 10,450 | (15 | ) | |||||||||||||||||||||||||||
Industrials | 5,369 | 0 | 0 | 16 | (12 | ) | (99 | ) | 0 | (2,491 | ) | 2,783 | (37 | ) | ||||||||||||||||||||||||||
Non-Agency Mortgage-Backed Securities | 879 | 0 | (26 | ) | 3 | 1 | (71 | ) | 0 | 0 | 786 | (71 | ) | |||||||||||||||||||||||||||
Asset-Backed Securities | 66 | 8,119 | 0 | 75 | 0 | (119 | ) | 0 | 0 | 8,141 | (119 | ) | ||||||||||||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||||||||||||||||||
Financials | 211 | 0 | 0 | 0 | 0 | 90 | 0 | 0 | 301 | 90 | ||||||||||||||||||||||||||||||
Warrants | ||||||||||||||||||||||||||||||||||||||||
Industrials | 0 | 0 | 0 | 0 | (40 | ) | 40 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Totals | $ | 17,229 | $ | 8,119 | $ | (58 | ) | $ | 109 | $ | (51 | ) | $ | (269 | ) | $ | 0 | $ | (2,491 | ) | $ | 22,588 | $ | (247 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 12/31/2016 | Valuation Technique | Unobservable Inputs | Input Value(s) (% Unless Noted Otherwise) | ||||||||||||
Investments in Securities, at Value |
| |||||||||||||||
Bank Loan Obligations | $ | 127 | Other Valuation Techniques(2) | — | ||||||||||||
Corporate Bonds & Notes | ||||||||||||||||
Banking & Finance | 2,899 | Proxy Pricing | Base Price | 102.667 | ||||||||||||
7,551 | Reference Instrument | Spread movement | 63.962-170.000 bps | |||||||||||||
Industrials | 2,783 | Proxy Pricing | Base Price | 99.500 | ||||||||||||
Non-Agency Mortgage-Backed Securities | 786 | Proxy Pricing | Base Price | 6.650-99.600 | ||||||||||||
Asset-Backed Securities | 8,141 | Proxy Pricing | Base Price | 3.141-99,920 | ||||||||||||
Common Stocks | ||||||||||||||||
Financials | 301 | Other Valuation Techniques(2) | — | — | ||||||||||||
|
| |||||||||||||||
Total | $ | 22,588 | ||||||||||||||
|
|
(1) | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at December 31, 2016 may be due to an investment no longer held or categorized as Level 3 at period end. |
(2) | Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not considered significant to the Fund. |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2016 | 55 |
Table of Contents
Schedule of Investments PIMCO Strategic Income Fund, Inc.
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
INVESTMENTS IN SECURITIES 294.5% | ||||||||||||
BANK LOAN OBLIGATIONS 2.6% | ||||||||||||
Energy Future Intermediate Holding Co. LLC |
| |||||||||||
4.250% due 06/30/2017 | $ | 7,338 | $ | 7,395 | ||||||||
iHeartCommunications, Inc. |
| |||||||||||
7.520% due 01/30/2019 | 900 | 734 | ||||||||||
Sequa Corp. |
| |||||||||||
5.250% due 06/19/2017 | 485 | 464 | ||||||||||
|
| |||||||||||
Total Bank Loan Obligations (Cost $8,667) |
| 8,593 | ||||||||||
|
| |||||||||||
CORPORATE BONDS & NOTES 24.4% | ||||||||||||
BANKING & FINANCE 15.3% | ||||||||||||
Barclays Bank PLC |
| |||||||||||
7.625% due 11/21/2022 (i) | 800 | 880 | ||||||||||
14.000% due 06/15/2019 (e) | GBP | 1,300 | 1,971 | |||||||||
Blackstone CQP Holdco LP |
| |||||||||||
9.296% due 03/19/2019 | $ | 11,482 | 11,582 | |||||||||
BNP Paribas S.A. |
| |||||||||||
7.375% due 08/19/2025 (e) | 2,000 | 2,015 | ||||||||||
Cantor Fitzgerald LP |
| |||||||||||
7.875% due 10/15/2019 (i) | 930 | 1,031 | ||||||||||
Cooperatieve Rabobank UA |
| |||||||||||
11.000% due 06/30/2019 (e) | 4,166 | 4,912 | ||||||||||
Deutsche Bank AG |
| |||||||||||
4.250% due 10/14/2021 (i) | 3,200 | 3,213 | ||||||||||
Exeter Finance Corp. |
| |||||||||||
9.750% due 05/20/2019 | 2,400 | 2,279 | ||||||||||
Jefferies LoanCore LLC |
| |||||||||||
6.875% due 06/01/2020 (i) | 1,000 | 960 | ||||||||||
KGH Intermediate Holdco LLC |
| |||||||||||
12.000% due 08/08/2019 (g) | 4,275 | 4,233 | ||||||||||
Navient Corp. |
| |||||||||||
8.450% due 06/15/2018 (i) | 1,539 | 1,662 | ||||||||||
Neuberger Berman Group LLC |
| |||||||||||
4.875% due 04/15/2045 (i) | 1,200 | 954 | ||||||||||
Pinnacol Assurance |
| |||||||||||
8.625% due 06/25/2034 (g) | 2,600 | 2,599 | ||||||||||
Royal Bank of Scotland Group PLC |
| |||||||||||
8.625% due 08/15/2021 (e)(i) | 1,000 | 1,023 | ||||||||||
Sberbank of Russia Via SB Capital S.A. |
| |||||||||||
6.125% due 02/07/2022 (i) | 2,000 | 2,179 | ||||||||||
SL Green Realty Corp. |
| |||||||||||
7.750% due 03/15/2020 (i) | 4,500 | 5,081 | ||||||||||
Spirit Realty LP |
| |||||||||||
4.450% due 09/15/2026 (i) | 3,300 | 3,111 | ||||||||||
|
| |||||||||||
49,685 | ||||||||||||
|
| |||||||||||
INDUSTRIALS 5.5% | ||||||||||||
Caesars Entertainment Operating Co., Inc. |
| |||||||||||
8.500% due 02/15/2020 ^(f) | 1,312 | 1,378 | ||||||||||
9.000% due 02/15/2020 ^(f) | 65 | 68 | ||||||||||
Concordia International Corp. |
| |||||||||||
9.000% due 04/01/2022 | 300 | 255 | ||||||||||
CVS Pass-Through Trust |
| |||||||||||
7.507% due 01/10/2032 | 836 | 1,019 | ||||||||||
Enterprise Inns PLC |
| |||||||||||
6.875% due 05/09/2025 | GBP | 620 | 803 | |||||||||
Forbes Energy Services Ltd. |
| |||||||||||
9.000% due 06/15/2019 ^(f) | $ | 240 | 86 | |||||||||
iHeartCommunications, Inc. |
| |||||||||||
9.000% due 03/01/2021 | 400 | 297 | ||||||||||
Kinder Morgan, Inc. |
| |||||||||||
5.300% due 12/01/2034 (i) | 1,500 | 1,524 | ||||||||||
7.750% due 01/15/2032 (i) | 4,500 | 5,521 | ||||||||||
Millar Western Forest Products Ltd. |
| |||||||||||
8.500% due 04/01/2021 | 48 | 27 | ||||||||||
Spanish Broadcasting System, Inc. |
| |||||||||||
12.500% due 04/15/2017 (i) | 1,000 | 1,004 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
UAL Pass-Through Trust |
| |||||||||||
6.636% due 01/02/2024 | $ | 1,698 | $ | 1,832 | ||||||||
9.750% due 07/15/2018 | 234 | 235 | ||||||||||
UCP, Inc. |
| |||||||||||
8.500% due 10/21/2017 | 3,700 | 3,677 | ||||||||||
|
| |||||||||||
17,726 | ||||||||||||
|
| |||||||||||
UTILITIES 3.6% | ||||||||||||
Gazprom Neft OAO Via GPN Capital S.A. |
| |||||||||||
6.000% due 11/27/2023 (i) | 7,150 | 7,615 | ||||||||||
Gazprom OAO Via Gaz Capital S.A. |
| |||||||||||
8.625% due 04/28/2034 (i) | 2,600 | 3,365 | ||||||||||
Illinois Power Generating Co. |
| |||||||||||
6.300% due 04/01/2020 ^ | 115 | 41 | ||||||||||
7.950% due 06/01/2032 ^ | 273 | 98 | ||||||||||
Petrobras Global Finance BV |
| |||||||||||
3.873% due 03/17/2020 | 150 | 147 | ||||||||||
5.750% due 01/20/2020 | 140 | 142 | ||||||||||
7.875% due 03/15/2019 | 144 | 155 | ||||||||||
|
| |||||||||||
11,563 | ||||||||||||
|
| |||||||||||
Total Corporate Bonds & Notes | 78,974 | |||||||||||
|
| |||||||||||
MUNICIPAL BONDS & NOTES 0.5% | ||||||||||||
WEST VIRGINIA 0.5% | ||||||||||||
Tobacco Settlement Finance Authority, West Virginia Revenue Bonds, Series 2007 |
| |||||||||||
7.467% due 06/01/2047 | 1,685 | 1,525 | ||||||||||
|
| |||||||||||
Total Municipal Bonds & Notes | 1,525 | |||||||||||
|
| |||||||||||
U.S. GOVERNMENT AGENCIES 176.4% | ||||||||||||
Fannie Mae |
| |||||||||||
2.072% due 08/25/2054 (a)(i) | 25,995 | 1,617 | ||||||||||
2.500% due 12/25/2027 (a) | 5,261 | 438 | ||||||||||
2.565% due 12/01/2030 | 170 | 174 | ||||||||||
2.699% due 09/01/2028 | 7 | 7 | ||||||||||
2.700% due 04/01/2030 | 1 | 1 | ||||||||||
2.862% due 11/01/2027 | 50 | 51 | ||||||||||
2.900% due 12/01/2028 | 44 | 46 | ||||||||||
2.933% due 03/01/2032 | 79 | 79 | ||||||||||
3.000% due 03/01/2031 | 60 | 61 | ||||||||||
4.250% due 11/25/2024 - 03/25/2033 | 553 | 588 | ||||||||||
4.500% due 09/01/2023 - 08/01/2041 | 286 | 308 | ||||||||||
4.500% due 07/25/2040 - 04/01/2041 (i) | 2,195 | 2,314 | ||||||||||
5.000% due 12/01/2018 - 07/25/2038 | 279 | 300 | ||||||||||
5.000% due 01/25/2038 (i) | 11,129 | 12,106 | ||||||||||
5.500% due 07/25/2024 | 21 | 23 | ||||||||||
5.500% due 11/25/2032 - 04/25/2035 (i) | 7,885 | 8,703 | ||||||||||
5.591% due 12/25/2042 | 39 | 42 | ||||||||||
5.750% due 06/25/2033 | 35 | 39 | ||||||||||
5.807% due 08/25/2043 | 2,191 | 2,413 | ||||||||||
6.000% due 04/25/2017 - 01/25/2044 | 2,304 | 2,585 | ||||||||||
6.000% due 12/01/2032 - 06/01/2040 (i) | 7,990 | 9,086 | ||||||||||
6.181% due 02/25/2042 | 614 | 697 | ||||||||||
6.225% due 10/25/2042 | 17 | 20 | ||||||||||
6.500% due 10/01/2018 - 11/01/2047 | 8,448 | 9,648 | ||||||||||
6.500% due 12/01/2036 - 07/01/2039 (i) | 882 | 1,014 | ||||||||||
6.515% due 09/25/2041 | 583 | 639 | ||||||||||
6.790% due 10/25/2042 | 451 | 519 | ||||||||||
6.850% due 12/18/2027 | 17 | 19 | ||||||||||
7.000% due 05/01/2017 - 01/01/2047 | 1,255 | 1,388 | ||||||||||
7.000% due 07/01/2036 - 03/25/2045 (i) | 1,334 | 1,514 | ||||||||||
7.500% due 12/01/2017 - 06/25/2044 | 1,960 | 2,243 | ||||||||||
7.700% due 03/25/2023 | 21 | 23 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
7.805% due 06/19/2041 | $ | 928 | $ | 1,026 | ||||||||
8.000% due 09/25/2021 - 06/01/2032 | 369 | 404 | ||||||||||
8.500% due 09/25/2021 - 06/25/2030 | 692 | 778 | ||||||||||
9.458% due 05/15/2021 | 67 | 71 | ||||||||||
9.916% due 07/15/2027 | 34 | 35 | ||||||||||
Fannie Mae, TBA |
| |||||||||||
3.000% due 08/01/2046 - 03/01/2047 | 193,000 | 191,312 | ||||||||||
3.500% due 06/01/2046 - 05/01/2047 | 234,000 | 239,347 | ||||||||||
4.000% due 03/01/2047 | 3,000 | 3,148 | ||||||||||
Freddie Mac |
| |||||||||||
1.776% due 07/25/2032 | 133 | 146 | ||||||||||
1.981% due 11/15/2038 (a)(i) | 48,082 | 2,911 | ||||||||||
2.048% due 05/15/2038 (a)(i) | 24,390 | 1,961 | ||||||||||
2.116% due 09/15/2036 (a)(i) | 26,438 | 1,484 | ||||||||||
2.272% due 08/15/2036 (a) | 7,644 | 497 | ||||||||||
2.691% due 12/01/2026 | 6 | 6 | ||||||||||
2.749% due 09/01/2031 | 35 | 35 | ||||||||||
2.908% due 04/01/2033 | 3 | 4 | ||||||||||
5.000% due 02/15/2024 | 9 | 10 | ||||||||||
5.500% due 04/01/2039 - 06/15/2041 (i) | 7,811 | 8,750 | ||||||||||
6.000% due 03/15/2017 - 03/15/2035 | 889 | 1,002 | ||||||||||
6.000% due 02/15/2032 (i) | 2,462 | 2,828 | ||||||||||
6.500% due 08/01/2021 - 09/01/2047 | 6,034 | 6,838 | ||||||||||
6.500% due 06/15/2031 - 07/01/2037 (i) | 3,330 | 3,755 | ||||||||||
6.900% due 09/15/2023 | 328 | 359 | ||||||||||
6.950% due 07/15/2021 | 147 | 157 | ||||||||||
7.000% due 06/01/2017 - 10/25/2043 | 3,295 | 3,674 | ||||||||||
7.000% due 03/15/2029 - 08/01/2036 (i) | 3,135 | 3,521 | ||||||||||
7.500% due 05/15/2024 - 02/25/2042 | 1,329 | 1,468 | ||||||||||
7.500% due 04/01/2028 - 12/01/2030 (i) | 1,478 | 1,719 | ||||||||||
8.000% due 08/15/2022 - 04/15/2030 | 306 | 338 | ||||||||||
8.306% due 12/25/2027 | 1,599 | 1,688 | ||||||||||
11.506% due 03/25/2025 | 396 | 465 | ||||||||||
Freddie Mac, TBA |
| |||||||||||
4.000% due 11/01/2046 | 3,000 | 3,150 | ||||||||||
Ginnie Mae |
| |||||||||||
6.000% due 04/15/2029 - 12/15/2038 | 803 | 917 | ||||||||||
6.000% due 07/15/2037 - 11/15/2038 (i) | 1,462 | 1,715 | ||||||||||
6.500% due 11/20/2024 - 10/20/2038 | 106 | 114 | ||||||||||
6.500% due 04/15/2032 - 05/15/2032 (i) | 708 | 809 | ||||||||||
7.000% due 04/15/2024 - 06/15/2026 | 57 | 61 | ||||||||||
7.500% due 02/15/2017 - 03/15/2029 | 831 | 877 | ||||||||||
8.000% due 04/15/2017 - 11/15/2022 | 7 | 8 | ||||||||||
8.500% due 05/15/2022 - 02/15/2031 | 11 | 13 | ||||||||||
9.000% due 12/15/2017 - 01/15/2020 | 91 | 93 | ||||||||||
Ginnie Mae, TBA |
| |||||||||||
4.000% due 09/01/2046 | 20,000 | 21,226 | ||||||||||
Small Business Administration |
| |||||||||||
4.625% due 02/01/2025 | 149 | 157 | ||||||||||
5.510% due 11/01/2027 | 496 | 542 | ||||||||||
5.780% due 08/01/2027 | 47 | 52 | ||||||||||
5.820% due 07/01/2027 | 52 | 57 | ||||||||||
6.300% due 06/01/2018 | 21 | 22 | ||||||||||
7.200% due 06/01/2017 | 1 | 1 | ||||||||||
Vendee Mortgage Trust |
| |||||||||||
6.500% due 03/15/2029 | 189 | 214 | ||||||||||
6.750% due 02/15/2026 - 06/15/2026 | 128 | 144 | ||||||||||
7.500% due 09/15/2030 | 2,777 | 3,281 | ||||||||||
|
| |||||||||||
Total U.S. Government Agencies | 571,895 | |||||||||||
|
|
56 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
Table of Contents
December 31, 2016 (Unaudited)
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
U.S. TREASURY OBLIGATIONS 19.6% | ||||||||||||
U.S. Treasury Notes |
| |||||||||||
2.000% due 08/15/2025 (i)(k) | $ | 65,700 | $ | 63,563 | ||||||||
|
| |||||||||||
Total U.S. Treasury Obligations | 63,563 | |||||||||||
|
| |||||||||||
NON-AGENCY MORTGAGE-BACKED SECURITIES 43.4% | ||||||||||||
Adjustable Rate Mortgage Trust |
| |||||||||||
2.936% due 07/25/2035 | 791 | 721 | ||||||||||
3.255% due 08/25/2035 | 1,928 | 1,846 | ||||||||||
Banc of America Mortgage Trust |
| |||||||||||
2.961% due 02/25/2035 | 28 | 28 | ||||||||||
Banc of America Re-REMIC Trust |
| |||||||||||
5.686% due 04/24/2049 | 2,833 | 2,840 | ||||||||||
Bancorp Commercial Mortgage Trust |
| |||||||||||
6.741% due 11/15/2033 | 4,500 | 4,517 | ||||||||||
BCAP LLC Trust |
| |||||||||||
0.762% due 07/26/2036 | 211 | 163 | ||||||||||
3.048% due 10/26/2036 | 2,925 | 2,595 | ||||||||||
3.073% due 10/26/2033 | 130 | 113 | ||||||||||
3.075% due 06/26/2035 | 43 | 39 | ||||||||||
Bear Stearns ALT-A Trust |
| |||||||||||
3.184% due 08/25/2036 ^ | 455 | 334 | ||||||||||
Bear Stearns Commercial Mortgage Securities Trust |
| |||||||||||
5.606% due 12/11/2040 | 5,729 | 5,457 | ||||||||||
7.000% due 05/20/2030 | 988 | 1,013 | ||||||||||
Celtic Residential Irish Mortgage Securitisation PLC |
| |||||||||||
0.000% due 11/13/2047 | EUR | 5,602 | 5,854 | |||||||||
0.636% due 12/14/2048 | GBP | 5,063 | 6,194 | |||||||||
Citigroup Mortgage Loan Trust, Inc. |
| |||||||||||
7.000% due 09/25/2033 | $ | 4 | 4 | |||||||||
Commercial Mortgage Loan Trust |
| |||||||||||
6.095% due 12/10/2049 | 805 | 510 | ||||||||||
Countrywide Alternative Loan Trust |
| |||||||||||
0.966% due 07/25/2046 ^ | 2,422 | 1,780 | ||||||||||
5.500% due 05/25/2022 ^ | 37 | 27 | ||||||||||
6.500% due 07/25/2035 ^ | 782 | 531 | ||||||||||
Countrywide Home Loan Mortgage Pass-Through Trust |
| |||||||||||
1.396% due 03/25/2035 | 2,406 | 1,836 | ||||||||||
2.626% due 03/25/2046 ^ | 3,763 | 2,177 | ||||||||||
3.206% due 08/25/2034 | 754 | 689 | ||||||||||
Countrywide Home Loan Reperforming REMIC Trust |
| |||||||||||
7.500% due 11/25/2034 | 1,358 | 1,374 | ||||||||||
7.500% due 06/25/2035 ^ | 236 | 242 | ||||||||||
Credit Suisse Commercial Mortgage Trust |
| |||||||||||
5.695% due 09/15/2040 | 1,522 | 1,544 | ||||||||||
Credit Suisse First Boston Mortgage Securities Corp. |
| |||||||||||
1.906% due 03/25/2034 ^ | 421 | 411 | ||||||||||
Credit Suisse First Boston Mortgage-Backed Trust |
| |||||||||||
7.000% due 02/25/2034 | 548 | 601 | ||||||||||
Credit Suisse Mortgage Capital Certificates |
| |||||||||||
6.500% due 03/25/2036 ^ | 1,227 | 731 | ||||||||||
Emerald Mortgages PLC |
| |||||||||||
0.000% due 07/15/2048 | EUR | 2,983 | 3,080 | |||||||||
Epic Drummond Ltd. |
| |||||||||||
0.000% due 01/25/2022 | 914 | 952 | ||||||||||
Eurosail PLC |
| |||||||||||
1.977% due 09/13/2045 | GBP | 1,751 | 1,711 | |||||||||
2.627% due 09/13/2045 | 1,251 | 1,168 | ||||||||||
4.227% due 09/13/2045 | 1,063 | 976 | ||||||||||
GE Commercial Mortgage Corp. Trust |
| |||||||||||
5.606% due 12/10/2049 | $ | 5,000 | 5,007 | |||||||||
GMAC Mortgage Corp. Loan Trust |
| |||||||||||
3.699% due 08/19/2034 | 154 | 148 | ||||||||||
GSAA Trust |
| |||||||||||
6.000% due 04/01/2034 | 1,198 | 1,246 | ||||||||||
GSMPS Mortgage Loan Trust |
| |||||||||||
6.361% due 06/19/2027 | 46 | 45 | ||||||||||
7.000% due 06/25/2043 | 3,082 | 3,267 | ||||||||||
8.000% due 09/19/2027 | 652 | 670 | ||||||||||
GSR Mortgage Loan Trust |
| |||||||||||
1.086% due 12/25/2034 | 495 | 445 | ||||||||||
2.220% due 03/25/2033 | 3 | 3 | ||||||||||
6.500% due 01/25/2034 | 311 | 323 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
JPMorgan Commercial Mortgage-Backed Securities Trust |
| |||||||||||
5.716% due 03/18/2051 | $ | 4,000 | $ | 4,021 | ||||||||
JPMorgan Mortgage Trust |
| |||||||||||
3.016% due 10/25/2036 ^ | 3,178 | 2,994 | ||||||||||
5.500% due 08/25/2022 ^ | 31 | 30 | ||||||||||
5.500% due 06/25/2037 ^ | 588 | 581 | ||||||||||
Lehman XS Trust |
| |||||||||||
1.434% due 09/25/2047 | 6,630 | 5,481 | ||||||||||
MASTR Adjustable Rate Mortgages Trust |
| |||||||||||
3.307% due 10/25/2034 | 1,174 | 1,038 | ||||||||||
MASTR Alternative Loan Trust |
| |||||||||||
6.250% due 07/25/2036 | 487 | 416 | ||||||||||
6.500% due 03/25/2034 | 954 | 1,018 | ||||||||||
7.000% due 04/25/2034 | 66 | 71 | ||||||||||
MASTR Reperforming Loan Trust |
| |||||||||||
7.000% due 05/25/2035 | 4,564 | 4,521 | ||||||||||
7.500% due 07/25/2035 | 2,435 | 2,475 | ||||||||||
Merrill Lynch Mortgage Trust |
| |||||||||||
5.826% due 06/12/2050 | 5,100 | 4,953 | ||||||||||
Morgan Stanley Capital Trust |
| |||||||||||
5.690% due 04/15/2049 | 6,041 | 5,924 | ||||||||||
Morgan Stanley Resecuritization Trust |
| |||||||||||
2.658% due 12/26/2046 | 7,956 | 5,749 | ||||||||||
NAAC Reperforming Loan REMIC Trust |
| |||||||||||
7.000% due 10/25/2034 ^ | 1,240 | 1,273 | ||||||||||
7.500% due 03/25/2034 ^ | 3,332 | 3,100 | ||||||||||
7.500% due 10/25/2034 ^ | 3,721 | 3,942 | ||||||||||
Newgate Funding PLC |
| |||||||||||
0.934% due 12/15/2050 | EUR | 2,451 | 2,219 | |||||||||
1.184% due 12/15/2050 | 2,451 | 2,105 | ||||||||||
1.373% due 12/15/2050 | GBP | 3,375 | 3,786 | |||||||||
1.623% due 12/15/2050 | 2,772 | 3,022 | ||||||||||
RBSSP Resecuritization Trust |
| |||||||||||
6.000% due 02/26/2037 | $ | 4,790 | 3,705 | |||||||||
6.250% due 12/26/2036 | 6,479 | 4,036 | ||||||||||
Residential Accredit Loans, Inc. Trust |
| |||||||||||
6.000% due 08/25/2035 ^ | 2,033 | 1,851 | ||||||||||
Residential Asset Mortgage Products Trust |
| |||||||||||
8.500% due 10/25/2031 | 583 | 680 | ||||||||||
8.500% due 11/25/2031 | 956 | 949 | ||||||||||
Structured Asset Mortgage Investments Trust |
| |||||||||||
2.067% due 08/25/2047 ^ | 3,595 | 3,039 | ||||||||||
Structured Asset Securities Corp. Mortgage Loan Trust |
| |||||||||||
7.500% due 10/25/2036 ^ | 3,284 | 2,889 | ||||||||||
WaMu Mortgage Pass-Through Certificates Trust |
| |||||||||||
2.720% due 05/25/2035 (i) | 348 | 348 | ||||||||||
Washington Mutual Mortgage Pass-Through Certificates Trust |
| |||||||||||
7.000% due 03/25/2034 | 172 | 188 | ||||||||||
7.500% due 04/25/2033 | 505 | 541 | ||||||||||
Wells Fargo Mortgage-Backed Securities Trust |
| |||||||||||
3.010% due 06/25/2035 | 359 | 371 | ||||||||||
3.083% due 04/25/2036 ^ | 43 | 42 | ||||||||||
|
| |||||||||||
Total Non-Agency Mortgage-Backed Securities (Cost $135,159) | 140,570 | |||||||||||
|
| |||||||||||
ASSET-BACKED SECURITIES 17.8% | ||||||||||||
Access Financial Manufactured Housing Contract Trust |
| |||||||||||
7.650% due 05/15/2021 | 209 | 66 | ||||||||||
Airspeed Ltd. |
| |||||||||||
0.974% due 06/15/2032 | 1,966 | 1,539 | ||||||||||
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates |
| |||||||||||
4.281% due 11/25/2032 ^ | 251 | 8 | ||||||||||
Bear Stearns Asset-Backed Securities Trust |
| |||||||||||
0.953% due 09/25/2034 | 693 | 615 | ||||||||||
Citigroup Mortgage Loan Trust, Inc. |
| |||||||||||
0.916% due 12/25/2036 | 5,469 | 3,401 | ||||||||||
0.976% due 12/25/2036 | 2,795 | 1,512 | ||||||||||
1.016% due 03/25/2037 (i) | 6,980 | 5,363 | ||||||||||
Conseco Finance Securitizations Corp. |
| |||||||||||
7.960% due 05/01/2031 | 1,672 | 1,216 | ||||||||||
7.970% due 05/01/2032 | 269 | 155 |
PRINCIPAL AMOUNT (000S) | MARKET (000S) | |||||||||||
Conseco Financial Corp. |
| |||||||||||
6.530% due 02/01/2031 | $ | 153 | $ | 152 | ||||||||
7.050% due 01/15/2027 | 169 | 178 | ||||||||||
Countrywide Asset-Backed Certificates |
| |||||||||||
0.886% due 12/25/2036 ^ | 3,909 | 3,866 | ||||||||||
0.896% due 06/25/2047 ^(i) | 9,855 | 7,148 | ||||||||||
0.956% due 06/25/2037 ^ | 2,772 | 2,049 | ||||||||||
0.956% due 06/25/2047 | 7,039 | 5,425 | ||||||||||
1.046% due 06/25/2037 (i) | 8,449 | 5,929 | ||||||||||
4.825% due 07/25/2036 (i) | 11,700 | 11,640 | ||||||||||
Countrywide Asset-Backed Certificates Trust |
| |||||||||||
2.234% due 11/25/2034 | 2,297 | 1,221 | ||||||||||
Credit-Based Asset Servicing and Securitization LLC |
| |||||||||||
6.020% due 12/25/2037 | 745 | 776 | ||||||||||
Greenpoint Manufactured Housing |
| |||||||||||
8.300% due 10/15/2026 | 814 | 896 | ||||||||||
National Collegiate Commutation Trust |
| |||||||||||
0.000% due 03/25/2038 | 10,400 | 4,620 | ||||||||||
Oakwood Mortgage Investors, Inc. |
| |||||||||||
0.934% due 06/15/2032 | 21 | �� | 19 | |||||||||
Residential Asset Mortgage Products Trust |
| |||||||||||
8.500% due 12/25/2031 | 21 | 17 | ||||||||||
|
| |||||||||||
Total Asset-Backed Securities | 57,811 | |||||||||||
|
| |||||||||||
SOVEREIGN ISSUES 0.1% | ||||||||||||
Costa Rica Government International Bond |
| |||||||||||
7.000% due 04/04/2044 | 500 | 459 | ||||||||||
|
| |||||||||||
Total Sovereign Issues (Cost $500) |
| 459 | ||||||||||
|
| |||||||||||
SHARES | ||||||||||||
COMMON STOCKS 0.1% | ||||||||||||
ENERGY 0.1% | ||||||||||||
SemGroup Corp. ‘A’ | 7,966 | 333 | ||||||||||
|
| |||||||||||
Total Common Stocks (Cost $221) | 333 | |||||||||||
|
| |||||||||||
SHORT-TERM INSTRUMENTS 9.6% | ||||||||||||
REPURCHASE AGREEMENTS (h) 1.7% | ||||||||||||
5,372 | ||||||||||||
|
| |||||||||||
PRINCIPAL AMOUNT (000S) | ||||||||||||
SHORT-TERM NOTES 3.4% | ||||||||||||
Federal Home Loan Bank |
| |||||||||||
0.487% due 01/23/2017 (c)(d) | $ | 900 | 900 | |||||||||
0.497% due 01/04/2017 (c)(d) | 1,400 | 1,400 | ||||||||||
0.507% due 01/12/2017 - 01/25/2017 (c)(d) | 7,100 | 7,098 | ||||||||||
0.528% due 02/01/2017 (c)(d) | 1,700 | 1,699 | ||||||||||
|
| |||||||||||
11,097 | ||||||||||||
|
| |||||||||||
U.S. TREASURY BILLS 4.5% | ||||||||||||
0.451% due 01/12/2017 - 03/09/2017 (b)(c)(i)(m) | 14,634 | 14,628 | ||||||||||
|
| |||||||||||
Total Short-Term Instruments (Cost $31,097) | 31,097 | |||||||||||
|
| |||||||||||
Total Investments in Securities (Cost $952,081) | 954,820 | |||||||||||
Total Investments 294.5% (Cost $952,081) | $ | 954,820 | ||||||||||
Financial Derivative Instruments (j)(l) (0.3)% (Cost or Premiums, net $(695)) | (909 | ) | ||||||||||
Other Assets and Liabilities, net (194.2)% | (629,651 | ) | ||||||||||
|
| |||||||||||
Net Assets 100.0% | $ | 324,260 | ||||||||||
|
|
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2016 | 57 |
Table of Contents
Schedule of Investments PIMCO Strategic Income Fund, Inc. (Cont.)
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*, EXCEPT NUMBER OF CONTRACTS):
* | A zero balance may reflect actual amounts rounding to less than one thousand. |
^ | Security is in default. |
(a) | Interest only security. |
(b) | Coupon represents a weighted average yield to maturity. |
(c) | Zero coupon security. |
(d) | Coupon represents a yield to maturity. |
(e) | Perpetual maturity; date shown, if applicable, represents next contractual call date. |
(f) | Security is subject to a forbearance agreement entered into by the Fund which forbears the Fund from taking action to, among other things, accelerate and collect payments on the subject note with respect to specified events of default. |
(g) RESTRICTED SECURITIES:
Issuer Description | Coupon | Maturity Date | Acquisition Date | Cost | Market Value | Market Value as Percentage of Net Assets | ||||||||||||||||||
KGH Intermediate Holdco LLC | 12.000% | 08/08/2019 | 08/07/2014 | $ | 4,226 | $ | 4,233 | 1.31 | % | |||||||||||||||
Pinnacol Assurance | 8.625 | 06/25/2034 | 06/23/2014 | 2,600 | 2,599 | 0.80 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 6,826 | $ | 6,832 | 2.11 | % | |||||||||||||||||||
|
|
|
|
|
|
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(h) 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) | ||||||||||||||||||||||
BOS | 0.400 | % | 12/30/2016 | 01/03/2017 | $ | 2,300 | U.S. Treasury Bonds 2.875% due 05/15/2043 | $ | (2,403 | ) | $ | 2,300 | $ | 2,300 | ||||||||||||||||
JPS | 0.610 | 12/30/2016 | 01/03/2017 | 900 | Ginnie Mae 3.000% due 04/20/2046 | (948 | ) | 900 | 900 | |||||||||||||||||||||
SSB | 0.010 | 12/30/2016 | 01/03/2017 | 2,172 | U.S. Treasury Notes 1.000% due 05/15/2018(2) | (2,216 | ) | 2,172 | 2,172 | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Total Repurchase Agreements |
| $ | (5,567 | ) | $ | 5,372 | $ | 5,372 | ||||||||||||||||||||||
|
|
|
|
|
|
(1) | Includes accrued interest. |
(2) | Collateral is held in custody by the counterparty. |
REVERSE REPURCHASE AGREEMENTS:
Counterparty | Borrowing Rate(3) | Borrowing Date | Maturity Date | Amount Borrowed(3) | Payable for Reverse Repurchase Agreements | |||||||||||||||
BPS | 1.200 | % | 11/14/2016 | 01/13/2017 | $ | (18,745 | ) | $ | (18,776 | ) | ||||||||||
1.270 | 10/13/2016 | 01/13/2017 | (5,282 | ) | (5,297 | ) | ||||||||||||||
1.280 | 10/18/2016 | 01/18/2017 | (3,470 | ) | (3,480 | ) | ||||||||||||||
1.290 | 10/31/2016 | 01/31/2017 | (3,032 | ) | (3,039 | ) | ||||||||||||||
1.330 | 12/08/2016 | 03/08/2017 | (4,771 | ) | (4,776 | ) | ||||||||||||||
1.370 | 12/02/2016 | 03/02/2017 | (3,014 | ) | (3,018 | ) | ||||||||||||||
1.376 | 11/14/2016 | 01/13/2017 | (16,390 | ) | (16,421 | ) | ||||||||||||||
1.580 | 10/27/2016 | 01/27/2017 | (10,537 | ) | (10,569 | ) | ||||||||||||||
1.600 | 11/10/2016 | 02/10/2017 | (2,592 | ) | (2,598 | ) | ||||||||||||||
1.600 | 11/14/2016 | 01/13/2017 | (11,339 | ) | (11,364 | ) | ||||||||||||||
1.690 | 10/31/2016 | 01/31/2017 | (1,462 | ) | (1,466 | ) | ||||||||||||||
1.700 | 10/31/2016 | 01/31/2017 | (2,342 | ) | (2,349 | ) | ||||||||||||||
2.386 | 10/31/2016 | 01/31/2017 | (9,371 | ) | (9,411 | ) | ||||||||||||||
2.513 | 12/13/2016 | 03/16/2017 | (9,019 | ) | (9,032 | ) | ||||||||||||||
2.840 | 11/28/2016 | 05/26/2017 | (4,723 | ) | (4,736 | ) | ||||||||||||||
JML | 1.650 | 12/05/2016 | 01/10/2017 | (6,013 | ) | (6,021 | ) | |||||||||||||
1.650 | 12/06/2016 | 01/10/2017 | (2,446 | ) | (2,449 | ) | ||||||||||||||
1.650 | 12/13/2016 | 01/10/2017 | (1,771 | ) | (1,773 | ) | ||||||||||||||
UBS | 1.850 | 12/28/2016 | 03/14/2017 | (825 | ) | (825 | ) | |||||||||||||
|
| |||||||||||||||||||
Total Reverse Repurchase Agreements |
| $ | (117,400 | ) | ||||||||||||||||
|
|
58 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
Table of Contents
December 31, 2016 (Unaudited)
SALE-BUYBACK TRANSACTIONS:
Counterparty | Borrowing Rate(3) | Borrowing Date | Maturity Date | Amount Borrowed(3) | Payable for Sale-Buyback Transactions | |||||||||||||||
MSC | 1.010 | % | 12/13/2016 | 01/03/2017 | $ | (52,944 | ) | $ | (52,975 | ) | ||||||||||
|
| |||||||||||||||||||
Total Sale-Buyback Transactions |
| $ | (52,975 | ) | ||||||||||||||||
|
|
MORTGAGE DOLLAR ROLLS:
Counterparty | Borrowing Rate(3) | Borrowing Date | Maturity Date | Amount Received | Amount Borrowed(3) | |||||||||||||||
BOS | 2.163 | % | 01/18/2017 | 02/12/2017 | $ | 3,980 | $ | (3,980 | ) | |||||||||||
FOB | 2.055 | 01/18/2017 | 02/12/2017 | 28,671 | (28,671 | ) | ||||||||||||||
2.109 | 01/18/2017 | 02/12/2017 | 14,704 | (14,704 | ) | |||||||||||||||
2.163 | 01/18/2017 | 02/12/2017 | 74,467 | (74,467 | ) | |||||||||||||||
2.218 | 01/18/2017 | 02/12/2017 | 5,067 | (5,067 | ) | |||||||||||||||
2.272 | 01/18/2017 | 02/12/2017 | 167,791 | (167,791 | ) | |||||||||||||||
GSC | 2.272 | 01/18/2017 | 02/12/2017 | 30,376 | (30,376 | ) | ||||||||||||||
MSC | 2.055 | 01/18/2017 | 02/12/2017 | 3,124 | (3,124 | ) | ||||||||||||||
2.272 | 01/18/2017 | 02/12/2017 | 10,129 | (10,129 | ) | |||||||||||||||
|
|
|
| |||||||||||||||||
Total Mortgage Dollar Rolls |
| $ | 338,309 | $ | (338,309 | ) | ||||||||||||||
|
|
|
|
(3) | The average amount of borrowings outstanding during the period ended December 31, 2016 was $(560,962) at a weighted average interest rate of 1.578%. |
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, 2016:
(i) | Securities with an aggregate market value of $188,425 and cash of $1,750 have been pledged as collateral under the terms of the following master agreements as of December 31, 2016. |
Counterparty | Repurchase Agreement Proceeds to be Received | Payable for Reverse Repurchase Agreements | Payable for Sale-Buyback Transactions | Receivable for Dollar Rolls | Payable for Dollar Rolls | Total Borrowings and Other Financing Transactions | Collateral Pledged/(Received) | Net Exposure(4) | ||||||||||||||||||||||||
Global/Master Repurchase Agreement |
| |||||||||||||||||||||||||||||||
BOS | $ | 2,300 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 2,300 | $ | (2,403 | ) | $ | (103 | ) | ||||||||||||||
BPS | 0 | (106,332 | ) | 0 | 0 | 0 | (106,332 | ) | 123,288 | 16,956 | ||||||||||||||||||||||
JML | 0 | (10,243 | ) | 0 | 0 | 0 | (10,243 | ) | 13,159 | 2,916 | ||||||||||||||||||||||
JPS | 900 | 0 | 0 | 0 | 0 | 900 | (948 | ) | (48 | ) | ||||||||||||||||||||||
SSB | 2,172 | 0 | 0 | 0 | 0 | 2,172 | (2,216 | ) | (44 | ) | ||||||||||||||||||||||
UBS | 0 | (825 | ) | 0 | 0 | 0 | (825 | ) | 1,023 | 198 | ||||||||||||||||||||||
Master Securities Forward Transaction Agreement |
| |||||||||||||||||||||||||||||||
BOS | 0 | 0 | 0 | 3,980 | (3,980 | ) | 0 | 0 | 0 | |||||||||||||||||||||||
FOB | 0 | 0 | 0 | 290,700 | (290,700 | ) | 0 | 0 | 0 | |||||||||||||||||||||||
GSC | 0 | 0 | 0 | 30,376 | (30,376 | ) | 0 | 0 | 0 | |||||||||||||||||||||||
MSC | 0 | 0 | (52,975 | ) | 13,253 | (13,253 | ) | (52,975 | ) | 52,706 | (269 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
Total Borrowings and Other Financing Transactions | $ | 5,372 | $ | (117,400 | ) | $ | (52,975 | ) | $ | 338,309 | $ | (338,309 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
(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 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
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 | $ | (19,020 | ) | $ | (15,473 | ) | $ | 0 | $ | (34,493 | ) | |||||||
U.S. Government Agencies | 0 | (57,130 | ) | (2,598 | ) | 0 | (59,728 | ) | ||||||||||||
Asset-Backed Securities | 0 | 0 | (18,443 | ) | (4,736 | ) | (23,179 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 0 | $ | (76,150 | ) | $ | (36,514 | ) | $ | (4,736 | ) | $ | (117,400 | ) |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2016 | 59 |
Table of Contents
Schedule of Investments PIMCO Strategic Income Fund, Inc. (Cont.)
Overnight and Continuous | Up to 30 days | 31-90 days | Greater Than 90 days | Total | ||||||||||||||||
Sale-Buyback Transactions |
| |||||||||||||||||||
U.S. Treasury Obligations | $ | 0 | $ | (52,975 | ) | $ | 0 | $ | 0 | $ | (52,975 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 0 | $ | (52,975 | ) | $ | 0 | $ | 0 | $ | (52,975 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Borrowings | $ | 0 | $ | (129,125 | ) | $ | (36,514 | ) | $ | (4,736 | ) | $ | (170,375 | ) | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Gross amount of recognized liabilities for reverse repurchase agreements and sale-buyback financing transactions |
| $ | (170,375 | ) | ||||||||||||||||
|
|
(j) FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED
FUTURES CONTRACTS:
Description | Type | Expiration Month | # of Contracts | Unrealized (Depreciation) | Variation Margin | |||||||||||||||||
Asset | Liability | |||||||||||||||||||||
U.S. Treasury 2-Year Note March Futures | Long | 03/2017 | 138 | $ | (30 | ) | $ | 9 | $ | 0 | ||||||||||||
|
|
|
|
|
| |||||||||||||||||
Total Futures Contracts |
| $ | (30 | ) | $ | 9 | $ | 0 | ||||||||||||||
|
|
|
|
|
|
SWAP AGREEMENTS:
INTEREST RATE SWAPS
Pay/Receive Floating Rate | Floating Rate Index | Fixed Rate | Maturity Date | Notional Amount | Market Value | Unrealized Appreciation/ (Depreciation) | Variation Margin | |||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||
Pay | 1-Year BRL-CDI | 15.590 | % | 01/04/2021 | BRL 7,200 | $ | 248 | $ | 10 | $ | 0 | $ | (3 | ) | ||||||||||||||||
Pay | 3-Month CAD-Bank Bill | 3.300 | 06/19/2024 | CAD 11,200 | 970 | 450 | 26 | 0 | ||||||||||||||||||||||
Receive | 3-Month CAD-Bank Bill | 3.500 | 06/20/2044 | 3,800 | (709 | ) | (576 | ) | 0 | (33 | ) | |||||||||||||||||||
Pay | 3-Month USD-LIBOR | 2.500 | 06/17/2022 | $ 31,500 | 780 | (54 | ) | 46 | 0 | |||||||||||||||||||||
Receive | 3-Month USD-LIBOR | 1.750 | 12/21/2023 | 65,200 | 1,724 | 3,486 | 0 | (134 | ) | |||||||||||||||||||||
Receive | 3-Month USD-LIBOR | 1.750 | 12/21/2026 | 84,800 | 4,545 | 6,382 | 0 | (284 | ) | |||||||||||||||||||||
Receive* | 3-Month USD-LIBOR | 1.500 | 06/21/2027 | 7,000 | 585 | (21 | ) | 0 | (24 | ) | ||||||||||||||||||||
Receive | 3-Month USD-LIBOR | 2.250 | 12/21/2046 | 51,640 | 4,211 | 8,645 | 0 | (437 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||
$ | 12,354 | $ | 18,322 | $ | 72 | $ | (915 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||
Total Swap Agreements |
| $ | 12,354 | $ | 18,322 | $ | 72 | $ | (915 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
* | This instrument has a forward starting effective date. See Note 2(a) in the Notes to Financial Statements for further information. |
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, 2016:
(k) | Securities with an aggregate market value of $10,857 and cash of $3,743 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2016. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||||||
Market Value | Variation Margin Asset | Total | Market Value | Variation Margin Liability | Total | |||||||||||||||||||||||||||||||
Purchased Options | Futures | Swap Agreements | Written Options | Futures | Swap Agreements | |||||||||||||||||||||||||||||||
Total Exchange-Traded or Centrally Cleared | $ | 0 | $ | 9 | $ | 72 | $ | 81 | $ | 0 | $ | 0 | $ | (915) | $ | (915) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(l) FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER
FORWARD FOREIGN CURRENCY CONTRACTS:
Counterparty | Settlement Month | Currency to be Delivered | Currency to | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||
BOA | 01/2017 | BRL | 838 | $ | 245 | $ | 0 | $ | (13 | ) | ||||||||||||||
01/2017 | $ | 772 | BRL | 2,515 | 1 | 0 | ||||||||||||||||||
01/2017 | 14,000 | EUR | 13,461 | 172 | 0 | |||||||||||||||||||
02/2017 | EUR | 13,461 | $ | 14,019 | 0 | (172 | ) | |||||||||||||||||
BPS | 01/2017 | 13,752 | 14,590 | 112 | 0 | |||||||||||||||||||
01/2017 | GBP | 16,170 | 20,205 | 275 | 0 | |||||||||||||||||||
CBK | 01/2017 | $ | 501 | EUR | 473 | 1 | (4 | ) |
60 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
Table of Contents
December 31, 2016 (Unaudited)
Counterparty | Settlement Month | Currency to be Delivered | Currency to | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||
GLM | 01/2017 | $ | 467 | GBP | 375 | $ | 0 | $ | (5 | ) | ||||||||||||||
IND | 01/2017 | 19,558 | 15,975 | 131 | 0 | |||||||||||||||||||
02/2017 | GBP | 15,975 | $ | 19,571 | 0 | (132 | ) | |||||||||||||||||
RBC | 01/2017 | 129 | 160 | 1 | 0 | |||||||||||||||||||
SCX | 01/2017 | BRL | 838 | 257 | 0 | 0 | ||||||||||||||||||
01/2017 | CAD | 171 | 129 | 2 | 0 | |||||||||||||||||||
01/2017 | EUR | 182 | 194 | 3 | 0 | |||||||||||||||||||
01/2017 | $ | 256 | BRL | 838 | 1 | 0 | ||||||||||||||||||
02/2017 | BRL | 838 | $ | 254 | 0 | (2 | ) | |||||||||||||||||
SOG | 01/2017 | GBP | 51 | 64 | 2 | 0 | ||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Total Forward Foreign Currency Contracts |
| $ | 701 | $ | (328 | ) | ||||||||||||||||||
|
|
|
|
PURCHASED OPTIONS:
OPTIONS ON SECURITIES
Counterparty | Description | Strike Price | Expiration Date | Notional Amount | Cost | Market Value | ||||||||||||||||
DUB | Put - OTC Fannie Mae, TBA 3.000% due 03/01/2047 | $ | 64.000 | 03/06/2017 | $ 50,000 | $ | 2 | $ | 0 | |||||||||||||
FAR | Put - OTC Fannie Mae, TBA 3.000% due 01/01/2047 | 80.000 | 01/11/2017 | 61,000 | 2 | 0 | ||||||||||||||||
Put - OTC Fannie Mae, TBA 3.000% due 02/01/2047 | 78.000 | 02/06/2017 | 66,000 | 2 | 0 | |||||||||||||||||
Put - OTC Fannie Mae, TBA 3.500% due 01/01/2047 | 84.000 | 01/11/2017 | 67,000 | 3 | 0 | |||||||||||||||||
Put - OTC Fannie Mae, TBA 3.500% due 02/01/2047 | 82.000 | 02/06/2017 | 118,000 | 5 | 0 | |||||||||||||||||
|
|
|
| |||||||||||||||||||
$ | 14 | $ | 0 | |||||||||||||||||||
|
|
|
| |||||||||||||||||||
Total Purchased Options |
| $ | 14 | $ | 0 | |||||||||||||||||
|
|
|
|
SWAP AGREEMENTS:
CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION(1)
Counterparty | Reference Entity | Fixed | Maturity | Implied Credit Spread at December 31, 2016(2) | Notional | Premiums | Unrealized Appreciation/ (Depreciation) | Swap Agreements, at Value | ||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||
BOA | Indonesia Government International Bond | 1.000 | % | 06/20/2019 | 0.830 | % | $ 100 | $ | (3 | ) | $ | 3 | $ | 0 | $ | 0 | ||||||||||||||||||
BPS | Petrobras Global Finance BV | 1.000 | 12/20/2019 | 3.483 | 3,100 | (306 | ) | 92 | 0 | (214 | ) | |||||||||||||||||||||||
DUB | Indonesia Government International Bond | 1.000 | 06/20/2019 | 0.830 | 300 | (11 | ) | 12 | 1 | 0 | ||||||||||||||||||||||||
GST | Petrobras Global Finance BV | 1.000 | 09/20/2020 | 4.072 | 10 | (1 | ) | 0 | 0 | (1 | ) | |||||||||||||||||||||||
HUS | Petrobras Global Finance BV | 1.000 | 12/20/2019 | 3.483 | 3,400 | (338 | ) | 103 | 0 | (235 | ) | |||||||||||||||||||||||
JPM | Indonesia Government International Bond | 1.000 | 06/20/2019 | 0.830 | 800 | (27 | ) | 31 | 4 | 0 | ||||||||||||||||||||||||
Russia Government International Bond | 1.000 | 12/20/2020 | 1.403 | 200 | (23 | ) | 20 | 0 | (3 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | (709 | ) | $ | 261 | $ | 5 | $ | (453 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total Swap Agreements |
| $ | (709 | ) | $ | 261 | $ | 5 | $ | (453 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
(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 an indicator 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. |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2016 | 61 |
Table of Contents
Schedule of Investments PIMCO Strategic Income Fund, Inc. (Cont.)
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, 2016:
(m) | Securities with an aggregate market value of $406 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2016. |
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||||||||||||||||||
Counterparty | Forward Foreign Currency Contracts | Purchased Options | Swap Agreements | Total Over the Counter | Forward Foreign Currency Contracts | Written Options | Swap Agreements | Total Over the Counter | Net Market Value of OTC Derivatives | Collateral Pledged/ (Received) | Net Exposure(4) | |||||||||||||||||||||||||||||||||||||
BOA | $ | 173 | $ | 0 | $ | 0 | $ | 173 | $ | (185 | ) | $ | 0 | $ | 0 | $ | (185 | ) | $ | (12 | ) | $ | 0 | $ | (12 | ) | ||||||||||||||||||||||
BPS | 387 | 0 | 0 | 387 | 0 | 0 | (214 | ) | (214 | ) | 173 | (300 | ) | (127 | ) | |||||||||||||||||||||||||||||||||
CBK | 1 | 0 | 0 | 1 | (4 | ) | 0 | 0 | (4 | ) | (3 | ) | 0 | (3 | ) | |||||||||||||||||||||||||||||||||
DUB | 0 | 0 | 1 | 1 | 0 | 0 | 0 | 0 | 1 | 0 | 1 | |||||||||||||||||||||||||||||||||||||
GLM | 0 | 0 | 0 | 0 | (5 | ) | 0 | 0 | (5 | ) | (5 | ) | 0 | (5 | ) | |||||||||||||||||||||||||||||||||
GST | 0 | 0 | 0 | 0 | 0 | 0 | (1 | ) | (1 | ) | (1 | ) | 0 | (1 | ) | |||||||||||||||||||||||||||||||||
HUS | 0 | 0 | 0 | 0 | 0 | 0 | (235 | ) | (235 | ) | (235 | ) | 406 | 171 | ||||||||||||||||||||||||||||||||||
IND | 131 | 0 | 0 | 131 | (132 | ) | 0 | 0 | (132 | ) | (1 | ) | 0 | (1 | ) | |||||||||||||||||||||||||||||||||
JPM | 0 | 0 | 4 | 4 | 0 | 0 | (3 | ) | (3 | ) | 1 | 0 | 1 | |||||||||||||||||||||||||||||||||||
RBC | 1 | 0 | 0 | 1 | 0 | 0 | 0 | 0 | 1 | 0 | 1 | |||||||||||||||||||||||||||||||||||||
SCX | 6 | 0 | 0 | 6 | (2 | ) | 0 | 0 | (2 | ) | 4 | 0 | 4 | |||||||||||||||||||||||||||||||||||
SOG | 2 | 0 | 0 | 2 | 0 | 0 | 0 | 0 | 2 | 0 | 2 | |||||||||||||||||||||||||||||||||||||
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|
|
|
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|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Total Over the Counter | $ | 701 | $ | 0 | $ | 5 | $ | 706 | $ | (328 | ) | $ | 0 | $ | (453 | ) | $ | (781 | ) | |||||||||||||||||||||||||||||
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|
|
(4) | Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS
The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal Risks, in the Notes to Financial Statements on risks of the Fund.
Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of December 31, 2016:
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 |
| |||||||||||||||||||||||
Futures | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 9 | $ | 9 | ||||||||||||
Swap Agreements | 0 | 0 | 0 | 0 | 72 | 72 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 81 | $ | 81 | |||||||||||||
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|
|
|
|
|
|
|
|
|
| |||||||||||||
Over the counter | ||||||||||||||||||||||||
Forward Foreign Currency Contracts | $ | 0 | $ | 0 | $ | 0 | $ | 701 | $ | 0 | $ | 701 | ||||||||||||
Swap Agreements | 0 | 5 | 0 | 0 | 0 | 5 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 0 | $ | 5 | $ | 0 | $ | 701 | $ | 0 | $ | 706 | |||||||||||||
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|
|
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|
| |||||||||||||
$ | 0 | $ | 5 | $ | 0 | $ | 701 | $ | 81 | $ | 787 | |||||||||||||
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|
|
|
|
|
|
|
| |||||||||||||
Financial Derivative Instruments - Liabilities | ||||||||||||||||||||||||
Exchange-traded or centrally cleared |
| |||||||||||||||||||||||
Swap Agreements | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 915 | $ | 915 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Over the counter | ||||||||||||||||||||||||
Forward Foreign Currency Contracts | $ | 0 | $ | 0 | $ | 0 | $ | 328 | $ | 0 | $ | 328 | ||||||||||||
Swap Agreements | 0 | 453 | 0 | 0 | 0 | 453 | ||||||||||||||||||
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|
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| |||||||||||||
$ | 0 | $ | 453 | $ | 0 | $ | 328 | $ | 0 | $ | 781 | |||||||||||||
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|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 0 | $ | 453 | $ | 0 | $ | 328 | $ | 915 | $ | 1,696 | |||||||||||||
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62 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
Table of Contents
December 31, 2016 (Unaudited)
The effect of Financial Derivative Instruments on the Statements of Operations for the period ended December 31, 2016:
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Exchange Contracts | Interest Rate Contracts | Total | |||||||||||||||||||
Net Realized Gain (Loss) on Financial Derivative Instruments |
| |||||||||||||||||||||||
Exchange-traded or centrally cleared |
| |||||||||||||||||||||||
Futures | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | (41 | ) | $ | (41 | ) | ||||||||||
Swap Agreements | 0 | 0 | 0 | 0 | (9,414 | ) | (9,414 | ) | ||||||||||||||||
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|
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|
|
|
|
|
| |||||||||||||
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | (9,455 | ) | $ | (9,455 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Over the counter |
| |||||||||||||||||||||||
Forward Foreign Currency Contracts | $ | 0 | $ | 0 | $ | 0 | $ | 3,192 | $ | 0 | $ | 3,192 | ||||||||||||
Purchased Options | 0 | 0 | 0 | 0 | (20 | ) | (20 | ) | ||||||||||||||||
Swap Agreements | 0 | 40 | 0 | 0 | 238 | 278 | ||||||||||||||||||
|
|
|
|
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|
|
|
|
|
|
| |||||||||||||
$ | 0 | $ | 40 | $ | 0 | $ | 3,192 | $ | 218 | $ | 3,450 | |||||||||||||
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|
|
|
|
|
|
| |||||||||||||
$ | 0 | $ | 40 | $ | 0 | $ | 3,192 | $ | (9,237 | ) | $ | (6,005 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative Instruments |
| |||||||||||||||||||||||
Exchange-traded or centrally cleared |
| |||||||||||||||||||||||
Futures | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | (240 | ) | $ | (240 | ) | ||||||||||
Swap Agreements | 0 | 0 | 0 | 0 | 27,975 | 27,975 | ||||||||||||||||||
|
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|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 27,735 | $ | 27,735 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Over the counter |
| |||||||||||||||||||||||
Forward Foreign Currency Contracts | $ | 0 | $ | 0 | $ | 0 | $ | (810 | ) | $ | 0 | $ | (810 | ) | ||||||||||
Purchased Options | 0 | 0 | 0 | 0 | (5 | ) | (5 | ) | ||||||||||||||||
Swap Agreements | 0 | 524 | 0 | 0 | (230 | ) | 294 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 0 | $ | 524 | $ | 0 | $ | (810 | ) | $ | (235 | ) | $ | (521 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 0 | $ | 524 | $ | 0 | $ | (810 | ) | $ | 27,500 | $ | 27,214 | ||||||||||||
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|
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2016 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2016 | ||||||||||||
Investments in Securities, at Value |
| |||||||||||||||
Bank Loan Obligations | $ | 0 | $ | 8,593 | $ | 0 | $ | 8,593 | ||||||||
Corporate Bonds & Notes |
| |||||||||||||||
Banking & Finance | 0 | 40,574 | 9,111 | 49,685 | ||||||||||||
Industrials | 0 | 14,049 | 3,677 | 17,726 | ||||||||||||
Utilities | 0 | 11,563 | 0 | 11,563 | ||||||||||||
Municipal Bonds & Notes |
| |||||||||||||||
West Virginia | 0 | 1,525 | 0 | 1,525 | ||||||||||||
U.S. Government Agencies | 0 | 571,895 | 0 | 571,895 | ||||||||||||
U.S. Treasury Obligations | 0 | 63,563 | 0 | 63,563 | ||||||||||||
Non-Agency Mortgage-Backed Securities | 0 | 140,570 | 0 | 140,570 | ||||||||||||
Asset-Backed Securities | 0 | 53,191 | 4,620 | 57,811 | ||||||||||||
Sovereign Issues | 0 | 459 | 0 | 459 | ||||||||||||
Common Stocks |
| |||||||||||||||
Energy | 333 | 0 | 0 | 333 | ||||||||||||
Short-Term Instruments |
| |||||||||||||||
Repurchase Agreements | 0 | 5,372 | 0 | 5,372 | ||||||||||||
Short-Term Notes | 0 | 11,097 | 0 | 11,097 | ||||||||||||
U.S. Treasury Bills | 0 | 14,628 | 0 | 14,628 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 333 | $ | 937,079 | $ | 17,408 | $ | 954,820 | ||||||||
|
|
|
|
|
|
|
|
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2016 | ||||||||||||
Financial Derivative Instruments - Assets |
| |||||||||||||||
Exchange-traded or centrally cleared | $ | 9 | $ | 72 | $ | 0 | $ | 81 | ||||||||
Over the counter | 0 | 706 | 0 | 706 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 9 | $ | 778 | $ | 0 | $ | 787 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Financial Derivative Instruments - Liabilities |
| |||||||||||||||
Exchange-traded or centrally cleared | 0 | (915 | ) | 0 | (915 | ) | ||||||||||
Over the counter | 0 | (781 | ) | 0 | (781 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 0 | $ | (1,696 | ) | $ | 0 | $ | (1,696 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
Total Financial Derivative Instruments | $ | 9 | $ | (918 | ) | $ | 0 | $ | (909 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Totals | $ | 342 | $ | 936,161 | $ | 17,408 | $ | 953,911 | ||||||||
|
|
|
|
|
|
|
|
There were no significant transfers between Levels 1 and 2 during the period ended December 31, 2016.
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2016 | 63 |
Table of Contents
Schedule of Investments PIMCO Strategic Income Fund, Inc. (Cont.)
December 31, 2016 (Unaudited)
The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended December 31, 2016:
Category and Subcategory | Beginning Balance at 06/30/2016 | Net Purchases | Net Sales | Accrued Discounts/ (Premiums) | Realized Gain/(Loss) | Net Change in Unrealized Appreciation/ (Depreciation)(1) | Transfers into Level 3 | Transfers out of Level 3 | Ending Balance at 12/31/2016 | Net Change in Unrealized Appreciation/ (Depreciation) on Investments Held at 12/31/2016(1) | ||||||||||||||||||||||||||||||
Investments in Securities, at Value |
| |||||||||||||||||||||||||||||||||||||||
Corporate Bonds & Notes |
| |||||||||||||||||||||||||||||||||||||||
Banking & Finance | $ | 9,149 | $ | 0 | $ | (28 | ) | $ | 13 | $ | 0 | $ | (23 | ) | $ | 0 | $ | 0 | $ | 9,111 | $ | (25 | ) | |||||||||||||||||
Industrials | 3,725 | 0 | 0 | 2 | 0 | (50 | ) | 0 | 0 | 3,677 | (50 | ) | ||||||||||||||||||||||||||||
Asset-Backed Securities | 0 | 4,524 | 0 | 80 | 0 | 16 | 0 | 0 | 4,620 | 16 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Totals | $ | 12,874 | $ | 4,524 | $ | (28 | ) | $ | 95 | $ | 0 | $ | (57 | ) | $ | 0 | $ | 0 | $ | 17,408 | $ | (59 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:
Category and Subcategory | Ending Balance at 12/31/2016 | Valuation Technique | Unobservable Inputs | Input Value(s) (% Unless Noted Otherwise) | ||||||||
Investments in Securities, at Value |
| |||||||||||
Corporate Bonds & Notes |
| |||||||||||
Banking & Finance | $ | 2,599 | Proxy Pricing | Base Price | 102.67 | |||||||
6,512 | Reference Instrument | Spread movement | 63.96-170 bps | |||||||||
Industrials | 3,677 | Proxy Pricing | Base Price | 99.50 | ||||||||
Asset-Backed Securities | 4,620 | Proxy Pricing | Base Price | 43.50-45.50 | ||||||||
|
| |||||||||||
Total | $ | 17,408 | ||||||||||
|
|
(1) | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at December 31, 2016 may be due to an investment no longer held or categorized as Level 3 at period end. |
64 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
Table of Contents
Consolidated Schedule of Investments PIMCO Dynamic Credit and Mortgage Income Fund
December 31, 2016 (Unaudited)
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
INVESTMENTS IN SECURITIES 178.7% | ||||||||||||
BANK LOAN OBLIGATIONS 2.7% | ||||||||||||
Ancestry.com, Inc. |
| |||||||||||
9.250% due 10/19/2024 | $ | 7,100 | $ | 7,266 | ||||||||
iHeartCommunications, Inc. |
| |||||||||||
7.520% due 01/30/2019 | 24,775 | 20,212 | ||||||||||
OGX |
| |||||||||||
13.000% due 04/10/2049 ^ | 2,107 | 986 | ||||||||||
Rackspace Hosting, Inc. |
| |||||||||||
4.500% due 11/03/2023 | 11,800 | 11,953 | ||||||||||
Save-A-Lot |
| |||||||||||
7.000% due 11/29/2023 | 12,000 | 11,963 | ||||||||||
Sequa Corp. |
| |||||||||||
5.250% due 06/19/2017 | 28,772 | 27,540 | ||||||||||
|
| |||||||||||
Total Bank Loan Obligations (Cost $85,091) | 79,920 | |||||||||||
|
| |||||||||||
CORPORATE BONDS & NOTES 36.1% | ||||||||||||
BANKING & FINANCE 13.5% | ||||||||||||
AGFC Capital Trust |
| |||||||||||
6.000% due 01/15/2067 (k) | 20,300 | 10,150 | ||||||||||
Banco Espirito Santo S.A. |
| |||||||||||
2.625% due 05/08/2017 ^ | EUR | 6,900 | 2,070 | |||||||||
4.000% due 01/21/2019 ^ | 15,000 | 4,500 | ||||||||||
Banco Popular Espanol S.A. |
| |||||||||||
11.500% due 10/10/2018 (g)(k) | 3,700 | 3,938 | ||||||||||
Barclays Bank PLC |
| |||||||||||
7.625% due 11/21/2022 (k) | $ | 4,500 | 4,947 | |||||||||
Barclays PLC |
| |||||||||||
6.500% due 09/15/2019 (g) | EUR | 100 | 103 | |||||||||
Blackstone CQP Holdco LP |
| |||||||||||
9.296% due 03/19/2019 | $ | 92,893 | 93,706 | |||||||||
Cantor Commercial Real Estate Co. LP |
| |||||||||||
7.750% due 02/15/2018 | 100 | 100 | ||||||||||
Communications Sales & Leasing, Inc. |
| |||||||||||
8.250% due 10/15/2023 | 2,330 | 2,481 | ||||||||||
Credit Agricole S.A. |
| |||||||||||
7.500% due 06/23/2026 (g)(k) | GBP | 20,900 | 25,844 | |||||||||
Exeter Finance Corp. |
| |||||||||||
9.750% due 05/20/2019 | $ | 21,900 | 20,798 | |||||||||
Jefferies Finance LLC |
| |||||||||||
6.875% due 04/15/2022 | 1,200 | 1,164 | ||||||||||
7.500% due 04/15/2021 (k) | 16,104 | 16,003 | ||||||||||
Jefferies LoanCore LLC |
| |||||||||||
6.875% due 06/01/2020 (k) | 6,400 | 6,144 | ||||||||||
KGH Intermediate Holdco LLC |
| |||||||||||
12.000% due 08/08/2019 (i) | 38,950 | 38,569 | ||||||||||
Legg Mason PT |
| |||||||||||
7.130% due 01/10/2021 | 11,348 | 11,595 | ||||||||||
8.600% due 08/10/2021 | 6,610 | 7,091 | ||||||||||
Nationwide Building Society |
| |||||||||||
10.250% due 06/29/2049 (g) | GBP | 62 | 10,127 | |||||||||
Navient Corp. |
| |||||||||||
8.000% due 03/25/2020 (k) | $ | 9,500 | 10,563 | |||||||||
Novo Banco S.A. |
| |||||||||||
5.000% due 05/21/2019 | EUR | 1,500 | 1,090 | |||||||||
OneMain Financial Holdings LLC |
| |||||||||||
6.750% due 12/15/2019 (k) | $ | 7,532 | 7,880 | |||||||||
Pinnacol Assurance |
| |||||||||||
8.625% due 06/25/2034 (i) | 23,200 | 23,191 | ||||||||||
Rio Oil Finance Trust |
| |||||||||||
9.250% due 07/06/2024 (k) | 17,220 | 16,273 | ||||||||||
9.250% due 07/06/2024 | 1,102 | 1,042 | ||||||||||
9.750% due 01/06/2027 (k) | 3,051 | 2,822 | ||||||||||
Royal Bank of Scotland Group PLC |
| |||||||||||
7.500% due 08/10/2020 (g)(k) | 36,143 | 34,336 | ||||||||||
8.000% due 08/10/2025 (g)(k) | 6,627 | 6,362 | ||||||||||
8.625% due 08/15/2021 (g) | 1,500 | 1,534 | ||||||||||
Sberbank of Russia Via SB Capital S.A. |
| |||||||||||
6.125% due 02/07/2022 | 1,900 | 2,070 | ||||||||||
6.125% due 02/07/2022 (k) | 6,500 | 7,081 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Springleaf Finance Corp. |
| |||||||||||
7.750% due 10/01/2021 | $ | 3,650 | $ | 3,864 | ||||||||
8.250% due 12/15/2020 (k) | 4,090 | 4,458 | ||||||||||
TIG FinCo PLC |
| |||||||||||
8.500% due 03/02/2020 (k) | GBP | 3,318 | 4,206 | |||||||||
8.750% due 04/02/2020 | 1,100 | 1,257 | ||||||||||
UBS Group AG |
| |||||||||||
5.750% due 02/19/2022 (g)(k) | EUR | 3,600 | 4,002 | |||||||||
Vnesheconombank Via VEB Finance PLC |
| |||||||||||
6.902% due 07/09/2020 (k) | $ | 2,100 | 2,275 | |||||||||
6.902% due 07/09/2020 | 700 | 758 | ||||||||||
|
| |||||||||||
394,394 | ||||||||||||
|
| |||||||||||
INDUSTRIALS 16.3% | ||||||||||||
Altice Financing S.A. |
| |||||||||||
7.500% due 05/15/2026 (k) | 11,300 | 11,780 | ||||||||||
Altice Luxembourg S.A. |
| |||||||||||
7.250% due 05/15/2022 (k) | EUR | 3,627 | 4,095 | |||||||||
Boxer Parent Co., Inc. (9.000% Cash or 9.750% PIK) |
| |||||||||||
9.000% due 10/15/2019 (c)(k) | $ | 28,642 | 26,995 | |||||||||
Caesars Entertainment Operating Co., Inc. |
| |||||||||||
8.500% due 02/15/2020 ^(h) | 70,792 | 74,332 | ||||||||||
9.000% due 02/15/2020 ^(h) | 4,457 | 4,638 | ||||||||||
11.250% due 06/01/2017 ^(h) | 5,016 | 5,129 | ||||||||||
Carlson Travel, Inc. |
| |||||||||||
6.750% due 12/15/2023 | 750 | 782 | ||||||||||
Chesapeake Energy Corp. |
| |||||||||||
4.130% due 04/15/2019 | 134 | 135 | ||||||||||
6.250% due 01/15/2017 | EUR | 17,100 | 17,971 | |||||||||
Concordia International Corp. |
| |||||||||||
9.000% due 04/01/2022 (k) | $ | 2,700 | 2,298 | |||||||||
Diamond Resorts International, Inc. |
| |||||||||||
10.750% due 09/01/2024 (k) | 13,000 | 12,805 | ||||||||||
DriveTime Automotive Group, Inc. |
| |||||||||||
8.000% due 06/01/2021 (k) | 6,500 | 6,329 | ||||||||||
Enterprise Inns PLC |
| |||||||||||
6.875% due 05/09/2025 (k) | GBP | 2,210 | 2,861 | |||||||||
Forbes Energy Services Ltd. |
| |||||||||||
9.000% due 06/15/2019 ^(h) | $ | 8,140 | 2,930 | |||||||||
Harvest Operations Corp. |
| |||||||||||
2.330% due 04/14/2021 (k) | 20,638 | 20,255 | ||||||||||
Hellenic Railways Organization S.A. |
| |||||||||||
4.028% due 03/17/2017 | EUR | 6,400 | 6,686 | |||||||||
5.014% due 12/27/2017 | 800 | 824 | ||||||||||
iHeartCommunications, Inc. |
| |||||||||||
9.000% due 03/01/2021 (k) | $ | 36,570 | 27,199 | |||||||||
Intelsat Luxembourg S.A. |
| |||||||||||
7.750% due 06/01/2021 | 15,815 | 5,259 | ||||||||||
8.125% due 06/01/2023 | 1,289 | 409 | ||||||||||
Intrepid Aviation Group Holdings LLC |
| |||||||||||
6.875% due 02/15/2019 (k) | 40,120 | 36,108 | ||||||||||
Mallinckrodt International Finance S.A. |
| |||||||||||
4.750% due 04/15/2023 | 3,200 | 2,800 | ||||||||||
Millar Western Forest Products Ltd. |
| |||||||||||
8.500% due 04/01/2021 | 18,266 | 10,138 | ||||||||||
N&W Global Vending SpA |
| |||||||||||
7.000% due 10/15/2023 | EUR | 5,560 | 6,092 | |||||||||
OGX Austria GmbH |
| |||||||||||
8.375% due 04/01/2022 ^ | $ | 6,000 | 0 | |||||||||
8.500% due 06/01/2018 ^ | 48,450 | 1 | ||||||||||
Ortho-Clinical Diagnostics, Inc. |
| |||||||||||
6.625% due 05/15/2022 (k) | 7,905 | 7,035 | ||||||||||
Petroleos de Venezuela S.A. |
| |||||||||||
6.000% due 11/15/2026 | 1,070 | 415 | ||||||||||
Prime Security Services Borrower LLC |
| |||||||||||
9.250% due 05/15/2023 (k) | 3,755 | 4,098 | ||||||||||
Russian Railways via RZD Capital PLC |
| |||||||||||
7.487% due 03/25/2031 | GBP | 100 | 140 | |||||||||
Safeway, Inc. |
| |||||||||||
7.250% due 02/01/2031 (k) | $ | 1,200 | 1,174 | |||||||||
Sequa Corp. |
| |||||||||||
7.000% due 12/15/2017 | 24,447 | 13,690 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
SFR Group S.A. |
| |||||||||||
7.375% due 05/01/2026 (k) | $ | 4,700 | $ | 4,818 | ||||||||
Southern Co. |
| |||||||||||
5.500% due 03/15/2057 | 2,710 | 2,740 | ||||||||||
Spanish Broadcasting System, Inc. |
| |||||||||||
12.500% due 04/15/2017 (k) | 60,430 | 60,657 | ||||||||||
Sterigenics-Nordion Topco LLC (8.125% Cash or 8.875% PIK) |
| |||||||||||
8.125% due 11/01/2021 (c)(k) | 3,600 | 3,591 | ||||||||||
Tembec Industries, Inc. |
| |||||||||||
9.000% due 12/15/2019 (k) | 14,600 | 13,724 | ||||||||||
UCP, Inc. |
| |||||||||||
8.500% due 10/21/2017 | 23,300 | 23,158 | ||||||||||
Unique Pub Finance Co. PLC |
| |||||||||||
5.659% due 06/30/2027 (k) | GBP | 7,690 | 10,063 | |||||||||
7.395% due 03/28/2024 (k) | 3,700 | 4,771 | ||||||||||
Westmoreland Coal Co. |
| |||||||||||
8.750% due 01/01/2022 (k) | $ | 32,972 | 30,252 | |||||||||
Yellowstone Energy LP |
| |||||||||||
5.750% due 12/31/2026 | 4,311 | 4,340 | ||||||||||
|
| |||||||||||
473,517 | ||||||||||||
|
| |||||||||||
UTILITIES 6.3% | ||||||||||||
Frontier Communications Corp. |
| |||||||||||
11.000% due 09/15/2025 | 2,880 | 2,984 | ||||||||||
Gazprom Neft OAO Via GPN Capital S.A. |
| |||||||||||
4.375% due 09/19/2022 (k) | 5,400 | 5,355 | ||||||||||
6.000% due 11/27/2023 (k) | 35,500 | 37,808 | ||||||||||
Gazprom OAO Via Gaz Capital S.A. |
| |||||||||||
5.999% due 01/23/2021 (k) | 2,525 | 2,732 | ||||||||||
6.510% due 03/07/2022 | 400 | 443 | ||||||||||
7.288% due 08/16/2037 (k) | 1,388 | 1,585 | ||||||||||
8.625% due 04/28/2034 (k) | 2,725 | 3,527 | ||||||||||
Illinois Power Generating Co. |
| |||||||||||
6.300% due 04/01/2020 ^ | 34,047 | 12,257 | ||||||||||
7.950% due 06/01/2032 ^ | 31,789 | 11,444 | ||||||||||
Odebrecht Drilling Norbe Ltd. |
| |||||||||||
6.350% due 06/30/2022 | 3,504 | 1,603 | ||||||||||
Odebrecht Offshore Drilling Finance Ltd. |
| |||||||||||
6.625% due 10/01/2023 (i) | 769 | 229 | ||||||||||
6.750% due 10/01/2023 (i) | 23,755 | 6,533 | ||||||||||
Petrobras Global Finance BV |
| |||||||||||
3.250% due 04/01/2019 | EUR | 200 | 216 | |||||||||
3.873% due 03/17/2020 (k) | $ | 5,000 | 4,900 | |||||||||
5.375% due 10/01/2029 (k) | GBP | 2,320 | 2,368 | |||||||||
5.750% due 01/20/2020 (k) | $ | 10,615 | 10,774 | |||||||||
6.250% due 12/14/2026 (k) | GBP | 6,398 | 7,396 | |||||||||
6.625% due 01/16/2034 (k) | 11,017 | 11,888 | ||||||||||
7.875% due 03/15/2019 (k) | $ | 7,877 | 8,463 | |||||||||
Sierra Hamilton LLC |
| |||||||||||
12.250% due 12/15/2018 (k) | 30,000 | 19,650 | ||||||||||
Sprint Capital Corp. |
| |||||||||||
6.900% due 05/01/2019 (k) | 3,550 | 3,767 | ||||||||||
Sprint Communications, Inc. |
| |||||||||||
7.000% due 08/15/2020 (k) | 9,850 | 10,467 | ||||||||||
Sprint Corp. |
| |||||||||||
7.125% due 06/15/2024 (k) | 16,313 | 16,843 | ||||||||||
7.875% due 09/15/2023 | 1,446 | 1,547 | ||||||||||
|
| |||||||||||
184,779 | ||||||||||||
|
| |||||||||||
Total Corporate Bonds & Notes | 1,052,690 | |||||||||||
|
| |||||||||||
MUNICIPAL BONDS & NOTES 0.7% | ||||||||||||
IOWA 0.1% | ||||||||||||
Iowa Tobacco Settlement Authority Revenue Bonds, Series 2005 |
| |||||||||||
6.500% due 06/01/2023 | 1,390 | 1,368 | ||||||||||
|
| |||||||||||
NEW JERSEY 0.2% | ||||||||||||
New Jersey Economic Development Authority Revenue Bonds, Series 2005 |
| |||||||||||
6.500% due 09/01/2036 | 6,635 | 6,521 | ||||||||||
|
|
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2016 | 65 |
Table of Contents
Consolidated Schedule of Investments PIMCO Dynamic Credit and Mortgage Income Fund (Cont.)
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
VIRGINIA 0.0% | ||||||||||||
Tobacco Settlement Financing Corp., Virginia Revenue Bonds, Series 2007 |
| |||||||||||
6.706% due 06/01/2046 | $ | 95 | $ | 76 | ||||||||
|
| |||||||||||
WEST VIRGINIA 0.4% | ||||||||||||
Tobacco Settlement Finance Authority, West Virginia Revenue Bonds, Series 2007 |
| |||||||||||
7.467% due 06/01/2047 | 14,360 | 12,995 | ||||||||||
|
| |||||||||||
Total Municipal Bonds & Notes (Cost $20,354) | 20,960 | |||||||||||
|
| |||||||||||
U.S. GOVERNMENT AGENCIES 1.0% | ||||||||||||
Fannie Mae |
| |||||||||||
3.000% due 01/25/2042 (a)(k) | 1,443 | 149 | ||||||||||
3.500% due 08/25/2032 (a)(k) | 3,138 | 460 | ||||||||||
5.244% due 08/25/2038 (a)(k) | 1,706 | 242 | ||||||||||
5.394% due 02/25/2043 (a)(k) | 6,411 | 996 | ||||||||||
5.884% due 12/25/2036 (a)(k) | 5,081 | 925 | ||||||||||
7.336% due 10/25/2042 (k) | 2,795 | 3,009 | ||||||||||
Freddie Mac |
| |||||||||||
4.000% due 03/15/2027 (a)(k) | 1,406 | 174 | ||||||||||
5.406% due 10/25/2028 | 4,600 | 4,910 | ||||||||||
5.496% due 09/15/2042 (a)(k) | 2,219 | 301 | ||||||||||
5.796% due 12/15/2034 (a) | 2,578 | 191 | ||||||||||
9.756% due 03/25/2029 | 4,800 | 4,808 | ||||||||||
11.256% due 10/25/2028 | 1,000 | 1,131 | ||||||||||
11.506% due 03/25/2025 | 7,271 | 8,541 | ||||||||||
Ginnie Mae |
| |||||||||||
3.500% due 06/20/2042 (a)(k) | 1,542 | 237 | ||||||||||
5.381% due 08/20/2042 (a)(k) | 4,052 | 824 | ||||||||||
5.511% due 12/20/2040 (a)(k) | 3,920 | 616 | ||||||||||
5.993% due 08/16/2039 (a)(k) | 4,750 | 514 | ||||||||||
|
| |||||||||||
Total U.S. Government Agencies | 28,028 | |||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS 0.4% | ||||||||||||
U.S. Treasury Notes |
| |||||||||||
0.875% due 01/31/2017 | 10,600 | 10,604 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations (Cost $10,603) | 10,604 | |||||||||||
|
| |||||||||||
NON-AGENCY MORTGAGE-BACKED SECURITIES 48.9% | ||||||||||||
Adjustable Rate Mortgage Trust |
| |||||||||||
0.906% due 03/25/2037 | 2,623 | 1,985 | ||||||||||
1.016% due 03/25/2036 | 7,407 | 4,597 | ||||||||||
3.589% due 03/25/2037 (k) | 5,976 | 4,802 | ||||||||||
5.044% due 11/25/2037 ^(k) | 1,655 | 1,207 | ||||||||||
American Home Mortgage Investment Trust |
| |||||||||||
6.600% due 01/25/2037 | 5,460 | 3,016 | ||||||||||
ASG Resecuritization Trust |
| |||||||||||
6.000% due 06/28/2037 (k) | 47,049 | 34,016 | ||||||||||
Banc of America Alternative Loan Trust |
| |||||||||||
6.000% due 07/25/2035 ^ | 180 | 172 | ||||||||||
6.000% due 04/25/2036 | 1,812 | 1,486 | ||||||||||
6.000% due 07/25/2046 ^ | 2,202 | 1,931 | ||||||||||
6.500% due 02/25/2036 ^ | 4,021 | 3,773 | ||||||||||
15.277% due 09/25/2035 ^ | 530 | 584 | ||||||||||
Banc of America Commercial Mortgage Trust |
| |||||||||||
5.548% due 06/10/2049 | 5,697 | 5,716 | ||||||||||
5.695% due 07/10/2046 (k) | 7,041 | 7,029 | ||||||||||
Banc of America Funding Trust |
| |||||||||||
0.966% due 04/25/2037 ^ | 3,019 | 2,056 | ||||||||||
3.000% due 09/20/2046 | 3,911 | 3,267 | ||||||||||
3.277% due 09/20/2047 ^ | 746 | 563 | ||||||||||
3.302% due 04/20/2035 ^ | 4,719 | 3,485 | ||||||||||
3.368% due 09/20/2037 | 1,326 | 912 | ||||||||||
4.679% due 08/26/2036 | 6,105 | 4,467 | ||||||||||
6.000% due 10/25/2037 ^ | 6,458 | 4,782 | ||||||||||
Banc of America Mortgage Trust |
| |||||||||||
5.750% due 10/25/2036 ^ | 2,672 | 2,270 | ||||||||||
5.750% due 05/25/2037 ^(k) | 1,876 | 1,429 | ||||||||||
6.000% due 10/25/2036 ^ | 324 | 279 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Bayview Commercial Asset Trust |
| |||||||||||
0.976% due 03/25/2037 | $ | 304 | $ | 271 | ||||||||
0.986% due 12/25/2036 | 475 | 412 | ||||||||||
1.186% due 08/25/2034 | 227 | 210 | ||||||||||
BCAP LLC Trust |
| |||||||||||
0.764% due 05/26/2036 | 6,264 | 3,471 | ||||||||||
0.814% due 02/26/2037 (k) | 19,447 | 11,730 | ||||||||||
1.084% due 05/26/2035 | 7,540 | 4,175 | ||||||||||
1.241% due 02/26/2047 (k) | 21,989 | 12,866 | ||||||||||
3.001% due 03/26/2037 | 3,462 | 2,868 | ||||||||||
3.235% due 07/26/2036 | 5,705 | 5,286 | ||||||||||
3.240% due 07/26/2036 | 1,504 | 1,227 | ||||||||||
3.629% due 03/27/2037 | 9,012 | 6,427 | ||||||||||
5.500% due 12/26/2035 (k) | 14,965 | 12,040 | ||||||||||
6.071% due 10/26/2037 | 4,795 | 4,375 | ||||||||||
7.202% due 06/26/2037 | 8,216 | 7,668 | ||||||||||
7.712% due 11/26/2035 | 2,805 | 2,939 | ||||||||||
8.493% due 07/26/2036 | 824 | 806 | ||||||||||
14.796% due 01/26/2036 | 12,883 | 2,852 | ||||||||||
Bear Stearns Adjustable Rate Mortgage Trust |
| |||||||||||
2.991% due 02/25/2036 ^ | 1,823 | 1,540 | ||||||||||
Bear Stearns ALT-A Trust |
| |||||||||||
1.096% due 08/25/2036 (k) | 44,140 | 37,777 | ||||||||||
1.256% due 01/25/2036 ^(k) | 13,711 | 12,163 | ||||||||||
1.881% due 03/25/2035 (k) | 7,698 | 5,927 | ||||||||||
2.684% due 04/25/2037 (k) | 9,158 | 7,776 | ||||||||||
2.834% due 03/25/2036 | 3,401 | 2,347 | ||||||||||
3.194% due 08/25/2046 | 6,394 | 4,936 | ||||||||||
3.223% due 12/25/2046 ^ | 8,321 | 6,004 | ||||||||||
3.235% due 07/25/2036 (k) | 64,800 | 35,971 | ||||||||||
3.515% due 09/25/2035 ^ | 9,292 | 7,006 | ||||||||||
Bear Stearns Asset-Backed Securities Trust |
| |||||||||||
6.000% due 12/25/2035 ^ | 823 | 724 | ||||||||||
Bear Stearns Commercial Mortgage Securities Trust |
| |||||||||||
5.273% due 12/11/2038 (k) | 6,655 | 6,671 | ||||||||||
Bear Stearns Mortgage Funding Trust |
| |||||||||||
7.500% due 08/25/2036 | 6,250 | 5,999 | ||||||||||
Citigroup Mortgage Loan Trust, Inc. |
| |||||||||||
2.665% due 03/25/2037 | 5,715 | 4,777 | ||||||||||
2.713% due 08/25/2037 | 5,274 | 3,903 | ||||||||||
3.053% due 07/25/2036 ^ | 4,120 | 3,011 | ||||||||||
3.109% due 08/25/2034 | 6,115 | 4,562 | ||||||||||
3.172% due 03/25/2037 ^ | 3,696 | 3,178 | ||||||||||
3.382% due 04/25/2037 ^ | 1,009 | 816 | ||||||||||
5.500% due 12/25/2035 | 5,012 | 4,053 | ||||||||||
6.500% due 09/25/2036 | 1,906 | 1,464 | ||||||||||
Citigroup/Deutsche Bank Commercial Mortgage Trust |
| |||||||||||
5.398% due 12/11/2049 (k) | 11,001 | 9,590 | ||||||||||
Commercial Mortgage Loan Trust |
| |||||||||||
6.095% due 12/10/2049 (k) | 7,131 | 4,517 | ||||||||||
Commercial Mortgage Trust |
| |||||||||||
4.000% due 07/10/2046 | 8,000 | 6,063 | ||||||||||
5.377% due 12/10/2046 (k) | 10,400 | 10,377 | ||||||||||
5.758% due 07/10/2038 (k) | 10,700 | 9,074 | ||||||||||
Countrywide Alternative Loan Resecuritization Trust |
| |||||||||||
2.856% due 03/25/2047 | 5,257 | 5,018 | ||||||||||
7.000% due 01/25/2037 | 6,668 | 3,229 | ||||||||||
Countrywide Alternative Loan Trust |
| |||||||||||
0.929% due 03/20/2047 | 1,068 | 744 | ||||||||||
0.936% due 05/25/2036 (k) | 29,470 | 20,059 | ||||||||||
0.966% due 08/25/2047 ^ | 2,344 | 1,919 | ||||||||||
0.976% due 05/25/2047 (k) | 21,710 | 10,795 | ||||||||||
0.986% due 03/25/2036 (k) | 27,229 | 20,478 | ||||||||||
1.016% due 07/25/2036 (k) | 12,012 | 8,983 | ||||||||||
1.039% due 11/20/2035 | 282 | 226 | ||||||||||
1.456% due 10/25/2035 ^(k) | 1,613 | 1,218 | ||||||||||
1.877% due 07/20/2035 ^(k) | 18,645 | 13,877 | ||||||||||
2.943% due 05/25/2036 (k) | 10,741 | 8,524 | ||||||||||
5.500% due 11/25/2035 | 3,183 | 2,369 | ||||||||||
5.500% due 02/25/2036 ^ | 2,185 | 1,893 | ||||||||||
5.500% due 02/25/2036 | 2,457 | 2,165 | ||||||||||
5.500% due 05/25/2036 ^(k) | 2,624 | 2,459 | ||||||||||
5.500% due 05/25/2036 (k) | 8,092 | 7,584 | ||||||||||
5.500% due 05/25/2037 | 2,399 | 2,071 | ||||||||||
6.000% due 03/25/2035 ^(k) | 606 | 492 | ||||||||||
6.000% due 04/25/2036 (k) | 946 | 700 | ||||||||||
6.000% due 01/25/2037 ^ | 1,865 | 1,794 | ||||||||||
6.000% due 02/25/2037 (k) | 6,771 | 5,931 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
6.000% due 02/25/2037 ^ | $ | 2,494 | $ | 1,735 | ||||||||
6.000% due 04/25/2037 ^ | 8,294 | 5,909 | ||||||||||
6.000% due 08/25/2037 ^(k) | 15,946 | 12,629 | ||||||||||
6.000% due 08/25/2037 | 4,452 | 3,526 | ||||||||||
6.250% due 12/25/2036 ^ | 922 | 684 | ||||||||||
17.721% due 07/25/2035 | 176 | 212 | ||||||||||
Countrywide Asset-Backed Certificates |
| |||||||||||
0.996% due 04/25/2036 | 975 | 647 | ||||||||||
Countrywide Home Loan Mortgage Pass-Through Trust |
| |||||||||||
2.626% due 03/25/2046 ^(k) | 81,022 | 46,870 | ||||||||||
2.935% due 05/20/2036 ^ | 3,927 | 3,141 | ||||||||||
Credit Suisse Commercial Mortgage Trust |
| |||||||||||
5.685% due 02/15/2039 | 3,410 | 3,178 | ||||||||||
Credit Suisse First Boston Mortgage Securities Corp. |
| |||||||||||
4.952% due 07/15/2037 (k) | 4,620 | 4,317 | ||||||||||
6.000% due 01/25/2036 | 443 | 338 | ||||||||||
Credit Suisse Mortgage Capital Certificates |
| |||||||||||
2.448% due 12/29/2037 | 5,389 | 3,738 | ||||||||||
2.582% due 11/25/2037 | 10,890 | 6,187 | ||||||||||
2.758% due 05/27/2036 | 14,671 | 9,838 | ||||||||||
2.850% due 10/26/2036 (k) | 22,284 | 17,083 | ||||||||||
3.024% due 09/26/2047 | 25,999 | 13,804 | ||||||||||
3.067% due 04/28/2037 | 7,125 | 5,306 | ||||||||||
3.244% due 05/26/2036 | 9,325 | 5,736 | ||||||||||
5.750% due 05/26/2037 (k) | 32,140 | 29,191 | ||||||||||
Credit Suisse Mortgage Capital Mortgage-Backed Trust |
| |||||||||||
6.000% due 07/25/2036 | 2,939 | 2,205 | ||||||||||
6.000% due 07/25/2036 (k) | 530 | 405 | ||||||||||
6.500% due 05/25/2036 ^ | 4,095 | 2,982 | ||||||||||
DBUBS Mortgage Trust |
| |||||||||||
4.652% due 11/10/2046 | 19,203 | 13,076 | ||||||||||
Debussy PLC |
| |||||||||||
5.930% due 07/12/2025 (k) | GBP | 55,000 | 67,070 | |||||||||
8.250% due 07/12/2025 | 10,000 | 11,147 | ||||||||||
Deutsche ALT-A Securities, Inc. |
| |||||||||||
1.056% due 04/25/2037 | $ | 10,413 | 5,468 | |||||||||
5.500% due 12/25/2035 ^(k) | 1,035 | 871 | ||||||||||
Epic Drummond Ltd. |
| |||||||||||
0.000% due 01/25/2022 (k) | EUR | 39,096 | 40,717 | |||||||||
Eurosail PLC |
| |||||||||||
1.977% due 09/13/2045 | GBP | 15,406 | 15,052 | |||||||||
2.627% due 09/13/2045 | 10,990 | 10,265 | ||||||||||
4.227% due 09/13/2045 | 9,132 | 8,386 | ||||||||||
First Horizon Alternative Mortgage Securities Trust |
| |||||||||||
0.000% due 02/25/2020 (b)(e) | $ | 19 | 18 | |||||||||
0.000% due 05/25/2020 (b)(e) | 26 | 22 | ||||||||||
0.000% due 06/25/2020 ^(b)(e) | 12 | 12 | ||||||||||
0.000% due 03/25/2035 (b)(e) | 158 | 123 | ||||||||||
First Horizon Mortgage Pass-Through Trust |
| |||||||||||
3.068% due 05/25/2037 ^(k) | 9,953 | 8,201 | ||||||||||
Fondo de Titulizacion de Activos UCI |
| |||||||||||
0.000% due 06/16/2049 | EUR | 3,996 | 3,474 | |||||||||
GC Pastor Hipotecario FTA |
| |||||||||||
0.000% due 06/21/2046 | 14,045 | 11,238 | ||||||||||
GE Commercial Mortgage Corp. Trust |
| |||||||||||
5.606% due 12/10/2049 (k) | $ | 44,200 | 44,263 | |||||||||
Greenwich Capital Commercial Funding Corp. Trust |
| |||||||||||
6.361% due 06/10/2036 | 2,850 | 2,860 | ||||||||||
Grifonas Finance PLC |
| |||||||||||
0.088% due 08/28/2039 | EUR | 7,026 | 5,602 | |||||||||
GS Mortgage Securities Trust |
| |||||||||||
5.647% due 04/10/2038 | $ | 1,518 | 1,517 | |||||||||
GSC Capital Corp. Mortgage Trust |
| |||||||||||
0.936% due 05/25/2036 ^ | 4,314 | 3,349 | ||||||||||
HarborView Mortgage Loan Trust |
| |||||||||||
2.448% due 06/19/2045 ^ | 1,452 | 879 | ||||||||||
HomeBanc Mortgage Trust |
| |||||||||||
2.749% due 04/25/2037 ^ | 7,516 | 4,895 | ||||||||||
HSI Asset Loan Obligation Trust |
| |||||||||||
6.000% due 06/25/2037 ^(k) | 16,099 | 13,984 | ||||||||||
IM Pastor Fondo de Titluzacion Hipotecaria |
| |||||||||||
0.000% due 03/22/2043 (k) | EUR | 34,344 | 28,200 | |||||||||
IM Pastor Fondo de Titulizacion de Activos |
| |||||||||||
0.000% due 03/22/2044 | 1,233 | 1,066 |
66 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
Table of Contents
December 31, 2016 (Unaudited)
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Impac Secured Assets Trust |
| |||||||||||
0.926% due 01/25/2037 (k) | $ | 9,281 | $ | 8,490 | ||||||||
IndyMac Mortgage Loan Trust |
| |||||||||||
0.936% due 02/25/2037 | 2,318 | 1,652 | ||||||||||
0.966% due 11/25/2036 (k) | 348 | 309 | ||||||||||
3.031% due 11/25/2035 ^ | 6,399 | 5,334 | ||||||||||
3.334% due 06/25/2036 | 1,613 | 1,321 | ||||||||||
Infinity SoPRANo |
| |||||||||||
0.018% due 11/05/2019 (k) | EUR | 3,825 | 3,987 | |||||||||
Jefferies Resecuritization Trust |
| |||||||||||
6.000% due 12/26/2036 | $ | 4,029 | 1,631 | |||||||||
JPMorgan Alternative Loan Trust |
| |||||||||||
1.103% due 06/27/2037 (k) | 18,739 | 14,585 | ||||||||||
2.959% due 11/25/2036 ^ | 1,767 | 1,652 | ||||||||||
3.148% due 05/25/2036 ^ | 1,308 | 1,009 | ||||||||||
6.000% due 12/25/2035 ^ | 1,559 | 1,426 | ||||||||||
14.652% due 06/27/2037 (k) | 15,763 | 12,054 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust |
| |||||||||||
2.972% due 05/15/2045 | 4,227 | 1,974 | ||||||||||
4.000% due 08/15/2046 | 2,732 | 1,641 | ||||||||||
5.010% due 07/15/2042 | 3,195 | 3,097 | ||||||||||
5.502% due 01/12/2043 (k) | 7,601 | 7,615 | ||||||||||
5.917% due 06/12/2041 (k) | 10,975 | 10,860 | ||||||||||
6.152% due 02/12/2051 (k) | 12,000 | 12,092 | ||||||||||
JPMorgan Resecuritization Trust |
| |||||||||||
3.033% due 03/21/2037 | 6,659 | 5,665 | ||||||||||
6.000% due 09/26/2036 | 3,478 | 2,522 | ||||||||||
6.500% due 04/26/2036 | 7,347 | 4,490 | ||||||||||
Lavender Trust |
| |||||||||||
6.250% due 10/26/2036 | 5,461 | 4,365 | ||||||||||
LB-UBS Commercial Mortgage Trust |
| |||||||||||
5.752% due 02/15/2040 | 6,683 | 6,641 | ||||||||||
5.872% due 06/15/2038 | 3,079 | 2,912 | ||||||||||
Lehman Mortgage Trust |
| |||||||||||
6.000% due 01/25/2038 ^ | 4,860 | 4,815 | ||||||||||
Lehman XS Trust |
| |||||||||||
1.656% due 08/25/2047 | 774 | 526 | ||||||||||
Merrill Lynch Alternative Note Asset Trust |
| |||||||||||
6.000% due 05/25/2037 ^ | 4,534 | 3,976 | ||||||||||
Merrill Lynch Mortgage Investors Trust |
| |||||||||||
3.243% due 03/25/2036 ^(k) | 14,593 | 9,986 | ||||||||||
Merrill Lynch Mortgage Trust |
| |||||||||||
5.826% due 06/12/2050 (k) | 44,986 | 43,693 | ||||||||||
Mesdag Delta BV |
| |||||||||||
0.094% due 01/25/2020 | EUR | 15,918 | 14,714 | |||||||||
Morgan Stanley Capital Trust |
| |||||||||||
5.690% due 04/15/2049 (k) | $ | 67,828 | 66,515 | |||||||||
5.862% due 07/12/2044 (k) | 4,600 | 4,591 | ||||||||||
6.076% due 08/12/2041 (k) | 7,225 | 7,198 | ||||||||||
Morgan Stanley Mortgage Loan Trust |
| |||||||||||
0.926% due 05/25/2036 | 213 | 91 | ||||||||||
3.123% due 05/25/2036 ^ | 3,452 | 2,435 | ||||||||||
3.253% due 11/25/2037 (k) | 3,354 | 2,831 | ||||||||||
5.962% due 06/25/2036 | 2,449 | 1,212 | ||||||||||
Morgan Stanley Re-REMIC Trust |
| |||||||||||
1.058% due 02/26/2037 | 6,857 | 5,342 | ||||||||||
1.086% due 03/26/2037 | 4,310 | 2,981 | ||||||||||
Morgan Stanley Resecuritization Trust |
| |||||||||||
3.145% due 06/26/2035 | 11,082 | 5,694 | ||||||||||
PHH Alternative Mortgage Trust |
| |||||||||||
0.000% due 02/25/2037 ^(b)(e) | 11 | 8 | ||||||||||
RBSSP Resecuritization Trust |
| |||||||||||
3.392% due 09/26/2035 | 7,852 | 5,484 | ||||||||||
6.000% due 06/26/2037 | 1,785 | 1,560 | ||||||||||
8.884% due 06/26/2037 | 776 | 558 | ||||||||||
Residential Accredit Loans, Inc. Trust |
| |||||||||||
0.906% due 02/25/2037 (k) | 939 | 769 | ||||||||||
6.000% due 12/25/2035 ^(k) | 3,960 | 3,694 | ||||||||||
6.000% due 11/25/2036 ^ | 4,784 | 3,827 | ||||||||||
6.250% due 02/25/2037 ^(k) | 6,369 | 5,235 | ||||||||||
6.500% due 09/25/2037 ^ | 2,240 | 1,949 | ||||||||||
Residential Asset Mortgage Products Trust |
| |||||||||||
8.000% due 05/25/2032 (k) | 1,152 | 992 | ||||||||||
Residential Asset Securitization Trust |
| |||||||||||
6.000% due 05/25/2036 | 1,410 | 1,309 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
6.000% due 02/25/2037 ^ | $ | 294 | $ | 231 | ||||||||
6.000% due 03/25/2037 ^ | 3,781 | 2,544 | ||||||||||
6.250% due 10/25/2036 ^ | 181 | 163 | ||||||||||
RiverView HECM Trust |
| |||||||||||
1.090% due 05/25/2047 | 21,430 | 17,104 | ||||||||||
Sequoia Mortgage Trust |
| |||||||||||
1.603% due 02/20/2034 | 781 | 741 | ||||||||||
2.551% due 09/20/2032 | 752 | 718 | ||||||||||
5.364% due 06/20/2037 ^(k) | 17,503 | 15,801 | ||||||||||
Structured Adjustable Rate Mortgage Loan Trust |
| |||||||||||
3.226% due 04/25/2036 ^ | 1,121 | 1,038 | ||||||||||
Structured Asset Mortgage Investments Trust |
| |||||||||||
0.966% due 05/25/2036 | 45 | 35 | ||||||||||
Structured Asset Securities Corp. Trust |
| |||||||||||
5.500% due 10/25/2035 ^ | 2,680 | 1,849 | ||||||||||
Suntrust Adjustable Rate Mortgage Loan Trust |
| |||||||||||
4.929% due 02/25/2037 ^ | 8,574 | 7,239 | ||||||||||
Theatre Hospitals PLC |
| |||||||||||
3.401% due 10/15/2031 (k) | GBP | 39,464 | 46,320 | |||||||||
4.151% due 10/15/2031 | 1,864 | 2,194 | ||||||||||
Wachovia Bank Commercial Mortgage Trust |
| |||||||||||
5.792% due 05/15/2043 | $ | 5,000 | 4,988 | |||||||||
WaMu Mortgage Pass-Through Certificates Trust |
| |||||||||||
2.098% due 07/25/2046 | 422 | 392 | ||||||||||
2.731% due 08/25/2036 ^ | 3,460 | 3,244 | ||||||||||
Washington Mutual Mortgage Pass-Through Certificates Trust |
| |||||||||||
0.996% due 01/25/2047 ^ | 3,002 | 2,437 | ||||||||||
1.783% due 06/25/2046 | 11,230 | 6,252 | ||||||||||
5.750% due 11/25/2035 ^ | 2,357 | 2,203 | ||||||||||
5.967% due 05/25/2036 ^(k) | 10,018 | 7,471 | ||||||||||
Wells Fargo Mortgage Loan Trust |
| |||||||||||
3.228% due 03/27/2037 | 8,150 | 6,688 | ||||||||||
|
| |||||||||||
Total Non-Agency Mortgage-Backed Securities (Cost $1,458,571) |
| 1,426,578 | ||||||||||
|
| |||||||||||
ASSET-BACKED SECURITIES 78.5% | ||||||||||||
Aames Mortgage Investment Trust |
| |||||||||||
1.574% due 07/25/2035 (k) | 19,113 | 16,180 | ||||||||||
Accredited Mortgage Loan Trust |
| |||||||||||
1.016% due 09/25/2036 (k) | 2,200 | 1,988 | ||||||||||
1.356% due 07/25/2035 | 5,453 | 4,645 | ||||||||||
ACE Securities Corp. Home Equity Loan Trust |
| |||||||||||
0.866% due 12/25/2036 (k) | 27,268 | 11,374 | ||||||||||
1.056% due 02/25/2036 | 5,133 | 4,855 | ||||||||||
1.376% due 02/25/2036 ^ | 7,549 | 6,496 | ||||||||||
1.731% due 07/25/2035 | 2,900 | 2,543 | ||||||||||
1.851% due 07/25/2035 ^ | 17,938 | 8,818 | ||||||||||
2.256% due 11/25/2034 | 1,346 | 1,170 | ||||||||||
Aegis Asset-Backed Securities Trust |
| |||||||||||
1.186% due 12/25/2035 (k) | 22,800 | 16,914 | ||||||||||
1.236% due 06/25/2035 (k) | 12,094 | 9,249 | ||||||||||
Airspeed Ltd. |
| |||||||||||
0.974% due 06/15/2032 | 18,123 | 14,181 | ||||||||||
ALM Ltd. |
| |||||||||||
6.380% due 04/16/2027 | 2,000 | 1,872 | ||||||||||
American Money Management Corp. CLO Ltd. |
| |||||||||||
6.481% due 04/14/2027 | 6,100 | 5,470 | ||||||||||
7.931% due 12/09/2026 | 10,000 | 9,831 | ||||||||||
Ameriquest Mortgage Securities Trust |
| |||||||||||
1.096% due 04/25/2036 (k) | 30,500 | 28,116 | ||||||||||
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates |
| |||||||||||
1.206% due 01/25/2036 (k) | 22,225 | 18,759 | ||||||||||
1.366% due 09/25/2035 (k) | 13,750 | 11,210 | ||||||||||
1.649% due 11/25/2034 | 5,526 | 4,885 | ||||||||||
1.806% due 04/25/2035 (k) | 21,004 | 18,173 | ||||||||||
2.706% due 09/25/2032 | 1,148 | 962 | ||||||||||
4.662% due 05/25/2034 ^ | 2,745 | 2,394 | ||||||||||
Amortizing Residential Collateral Trust |
| |||||||||||
1.881% due 08/25/2032 | 777 | 726 | ||||||||||
Argent Securities Trust |
| |||||||||||
0.856% due 06/25/2036 | 2,215 | 799 | ||||||||||
0.876% due 04/25/2036 | 1,294 | 509 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
0.906% due 06/25/2036 | $ | 4,646 | $ | 1,690 | ||||||||
0.906% due 09/25/2036 | 9,852 | 3,893 | ||||||||||
0.946% due 03/25/2036 (k) | 14,182 | 7,515 | ||||||||||
Argent Securities, Inc. Asset-Backed Pass-Through Certificates |
| |||||||||||
1.076% due 01/25/2036 (k) | 19,114 | 16,274 | ||||||||||
1.136% due 02/25/2036 (k) | 39,711 | 28,178 | ||||||||||
1.216% due 11/25/2035 | 5,851 | 3,088 | ||||||||||
2.031% due 11/25/2034 | 9,031 | 7,033 | ||||||||||
Asset-Backed Funding Certificates Trust |
| |||||||||||
1.306% due 07/25/2035 (k) | 7,400 | 6,114 | ||||||||||
1.806% due 03/25/2034 | 1,360 | 1,262 | ||||||||||
Asset-Backed Securities Corp. Home Equity Loan Trust |
| |||||||||||
3.538% due 08/15/2033 | 819 | 780 | ||||||||||
Bear Stearns Asset-Backed Securities Trust |
| |||||||||||
1.956% due 07/25/2035 (k) | 39,756 | 32,605 | ||||||||||
2.256% due 10/27/2032 | 517 | 476 | ||||||||||
2.631% due 12/25/2034 (k) | 18,650 | 14,432 | ||||||||||
3.260% due 10/25/2036 | 797 | 736 | ||||||||||
C-BASS CBO Corp. |
| |||||||||||
1.196% due 09/06/2041 | 70,538 | 11,639 | ||||||||||
Carlyle Global Market Strategies CLO Ltd. |
| |||||||||||
6.186% due 04/27/2027 | 1,750 | 1,621 | ||||||||||
Carrington Mortgage Loan Trust |
| |||||||||||
0.836% due 10/25/2036 | 1,241 | 766 | ||||||||||
1.016% due 02/25/2037 | 8,300 | 6,487 | ||||||||||
1.176% due 02/25/2037 | 13,201 | 9,091 | ||||||||||
1.806% due 05/25/2035 | 4,400 | 3,477 | ||||||||||
Centex Home Equity Loan Trust |
| |||||||||||
1.236% due 10/25/2035 (k) | 9,213 | 8,452 | ||||||||||
CIFC Funding Ltd. |
| |||||||||||
0.000% due 05/24/2026 (e) | 3,390 | 2,328 | ||||||||||
Citigroup Mortgage Loan Trust, Inc. |
| |||||||||||
0.896% due 01/25/2037 (k) | 33,023 | 25,625 | ||||||||||
0.906% due 12/25/2036 (k) | 25,951 | 13,890 | ||||||||||
0.916% due 09/25/2036 (k) | 21,318 | 15,866 | ||||||||||
0.956% due 05/25/2037 | 1,015 | 759 | ||||||||||
0.976% due 12/25/2036 | 5,226 | 2,827 | ||||||||||
1.156% due 03/25/2037 (k) | 40,086 | 33,368 | ||||||||||
1.166% due 10/25/2035 | 8,200 | 7,798 | ||||||||||
6.351% due 05/25/2036 ^(k) | 3,394 | 2,106 | ||||||||||
Conseco Finance Securitizations Corp. |
| |||||||||||
9.546% due 12/01/2033 | 6,480 | 7,106 | ||||||||||
Cork Street CLO Designated Activity Co. |
| |||||||||||
0.000% due 11/27/2028 (e) | EUR | 2,667 | 2,325 | |||||||||
3.600% due 11/27/2028 | 1,197 | 1,264 | ||||||||||
4.500% due 11/27/2028 | 1,047 | 1,107 | ||||||||||
6.200% due 11/27/2028 | 1,296 | 1,333 | ||||||||||
Countrywide Asset-Backed Certificates |
| |||||||||||
0.886% due 12/25/2036 ^(k) | $ | 37,433 | 37,018 | |||||||||
0.896% due 06/25/2035 (k) | 77,288 | 59,584 | ||||||||||
0.896% due 01/25/2037 (k) | 27,175 | 22,288 | ||||||||||
0.896% due 06/25/2037 (k) | 28,173 | 23,240 | ||||||||||
0.896% due 07/25/2037 ^(k) | 14,234 | 11,832 | ||||||||||
0.896% due 06/25/2047 ^(k) | 55,920 | 40,562 | ||||||||||
0.906% due 04/25/2047 | 2,398 | 2,220 | ||||||||||
0.906% due 06/25/2047 ^(k) | 22,814 | 21,346 | ||||||||||
0.916% due 05/25/2036 (k) | 13,003 | 10,307 | ||||||||||
0.956% due 06/25/2037 ^(k) | 23,987 | 17,732 | ||||||||||
0.976% due 05/25/2037 (k) | 25,000 | 18,522 | ||||||||||
0.976% due 08/25/2037 (k) | 26,000 | 16,378 | ||||||||||
0.976% due 05/25/2047 (k) | 17,951 | 13,111 | ||||||||||
0.976% due 06/25/2047 ^(k) | 19,000 | 11,339 | ||||||||||
0.986% due 04/25/2047 (k) | 35,000 | 21,319 | ||||||||||
0.996% due 03/25/2036 (k) | 46,235 | 37,766 | ||||||||||
1.024% due 04/25/2036 (k) | 10,000 | 8,901 | ||||||||||
1.046% due 10/25/2047 (k) | 59,229 | 37,632 | ||||||||||
1.146% due 04/25/2036 | 8,762 | 4,100 | ||||||||||
1.206% due 03/25/2047 ^ | 2,489 | 1,416 | ||||||||||
1.306% due 05/25/2047 | 5,013 | 3,357 | ||||||||||
1.506% due 03/25/2034 (k) | 803 | 779 | ||||||||||
1.956% due 06/25/2033 | 402 | 358 | ||||||||||
2.256% due 02/25/2035 | 4,300 | 3,934 | ||||||||||
4.902% due 10/25/2046 ^ | 891 | 835 | ||||||||||
5.253% due 10/25/2032 ^(k) | 23,445 | 20,561 | ||||||||||
Countrywide Asset-Backed Certificates Trust |
| |||||||||||
0.906% due 03/25/2047 (k) | 15,355 | 14,419 | ||||||||||
1.044% due 05/25/2036 (k) | 7,400 | 6,811 |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2016 | 67 |
Table of Contents
Consolidated Schedule of Investments PIMCO Dynamic Credit and Mortgage Income Fund (Cont.)
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
1.104% due 05/25/2036 (k) | $ | 32,154 | $ | 19,153 | ||||||||
1.224% due 10/25/2035 (k) | 7,200 | 6,868 | ||||||||||
1.679% due 07/25/2035 (k) | 6,900 | 6,405 | ||||||||||
1.934% due 04/25/2035 (k) | 14,153 | 13,076 | ||||||||||
2.481% due 11/25/2034 (k) | 13,611 | 11,632 | ||||||||||
Credit-Based Asset Servicing and Securitization LLC |
| |||||||||||
1.214% due 07/25/2035 | 3,000 | 2,191 | ||||||||||
Dekania Europe CDO PLC |
| |||||||||||
0.203% due 09/27/2037 | EUR | 6,200 | 5,539 | |||||||||
Encore Credit Receivables Trust |
| |||||||||||
1.446% due 07/25/2035 | $ | 421 | 359 | |||||||||
FAB U.S. Ltd. |
| |||||||||||
0.000% due 12/06/2045 (e) | GBP | 9,932 | 5,835 | |||||||||
Fieldstone Mortgage Investment Trust |
| |||||||||||
0.754% due 07/25/2036 | $ | 7,323 | 4,136 | |||||||||
First Franklin Mortgage Loan Trust |
| |||||||||||
0.996% due 04/25/2036 (k) | 6,825 | 4,566 | ||||||||||
1.136% due 02/25/2036 | 5,500 | 3,208 | ||||||||||
1.206% due 11/25/2036 | 2,066 | 1,925 | ||||||||||
1.386% due 09/25/2035 | 6,688 | 3,575 | ||||||||||
1.731% due 05/25/2036 | 16,387 | 7,269 | ||||||||||
Fremont Home Loan Trust |
| |||||||||||
0.906% due 01/25/2037 | 4,149 | 2,211 | ||||||||||
0.996% due 02/25/2037 | 1,710 | 972 | ||||||||||
1.246% due 07/25/2035 | 2,800 | 2,549 | ||||||||||
Glacier Funding CDO Ltd. |
| |||||||||||
1.146% due 08/04/2035 | 26,928 | 7,500 | ||||||||||
Gramercy Real Estate CDO Ltd. |
| |||||||||||
1.442% due 07/25/2041 | 1,150 | 1,091 | ||||||||||
GSAA Trust |
| |||||||||||
5.058% due 05/25/2035 | 5,158 | 5,044 | ||||||||||
GSAMP Trust |
| |||||||||||
0.816% due 01/25/2037 | 4,381 | 2,660 | ||||||||||
0.846% due 01/25/2037 | 1,307 | 796 | ||||||||||
0.916% due 05/25/2046 | 1,017 | 952 | ||||||||||
0.956% due 11/25/2036 | 5,287 | 3,114 | ||||||||||
1.006% due 12/25/2036 | 5,611 | 3,154 | ||||||||||
1.026% due 04/25/2036 (k) | 26,000 | 15,746 | ||||||||||
2.406% due 10/25/2034 | 731 | 691 | ||||||||||
3.306% due 10/25/2033 | 704 | 674 | ||||||||||
Halcyon Loan Advisors European Funding BV |
| |||||||||||
0.000% due 01/15/2027 (e) | EUR | 1,400 | 1,429 | |||||||||
Hillcrest CDO Ltd. |
| |||||||||||
1.293% due 12/10/2039 | $ | 58,776 | 29,799 | |||||||||
Home Equity Asset Trust |
| |||||||||||
1.851% due 05/25/2035 | 3,800 | 3,437 | ||||||||||
1.956% due 07/25/2035 | 4,000 | 3,297 | ||||||||||
Home Equity Loan Trust |
| |||||||||||
1.096% due 04/25/2037 (k) | 8,000 | 4,796 | ||||||||||
House of Europe Funding PLC |
| |||||||||||
0.025% due 11/08/2090 | EUR | 5,600 | 5,085 | |||||||||
HSI Asset Securitization Corp. Trust |
| |||||||||||
0.866% due 12/25/2036 (k) | $ | 27,931 | 11,730 | |||||||||
0.916% due 10/25/2036 | 10,726 | 5,978 | ||||||||||
0.926% due 12/25/2036 (k) | 17,108 | 7,201 | ||||||||||
0.946% due 01/25/2037 (k) | 49,500 | 35,862 | ||||||||||
1.146% due 11/25/2035 | 5,830 | 4,331 | ||||||||||
IndyMac Home Equity Mortgage Loan Asset-Backed Trust |
| |||||||||||
0.916% due 11/25/2036 | 7,241 | 5,406 | ||||||||||
0.996% due 04/25/2037 (k) | 4,560 | 2,878 | ||||||||||
1.196% due 03/25/2036 (k) | 1,504 | 1,030 | ||||||||||
IXIS Real Estate Capital Trust |
| |||||||||||
1.731% due 09/25/2035 ^ | 5,457 | 3,639 | ||||||||||
JPMorgan Mortgage Acquisition Corp. |
| |||||||||||
1.146% due 05/25/2035 (k) | 5,000 | 4,369 | ||||||||||
JPMorgan Mortgage Acquisition Trust |
| |||||||||||
0.834% due 07/25/2036 (k) | 18,262 | 15,952 | ||||||||||
0.896% due 03/25/2047 (k) | 8,586 | 8,115 | ||||||||||
0.906% due 07/25/2036 | 2,386 | 1,182 | ||||||||||
0.916% due 07/25/2036 ^ | 1,515 | 624 | ||||||||||
0.996% due 08/25/2036 | 2,947 | 2,474 | ||||||||||
5.462% due 10/25/2036 ^ | 4,876 | 3,743 | ||||||||||
5.888% due 10/25/2036 ^(k) | 16,252 | 12,472 | ||||||||||
Lehman XS Trust |
| |||||||||||
5.056% due 05/25/2037 ^(k) | 16,332 | 12,608 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Long Beach Mortgage Loan Trust |
| |||||||||||
0.946% due 02/25/2036 (k) | $ | 31,182 | $ | 20,793 | ||||||||
1.401% due 11/25/2035 (k) | 28,200 | 24,568 | ||||||||||
1.406% due 09/25/2034 | 1,216 | 931 | ||||||||||
1.461% due 11/25/2035 (k) | 31,740 | 18,439 | ||||||||||
1.731% due 04/25/2035 (k) | 38,750 | 34,590 | ||||||||||
Magnetite Ltd. |
| |||||||||||
5.830% due 04/15/2026 | 4,900 | 4,544 | ||||||||||
MASTR Asset-Backed Securities Trust |
| |||||||||||
0.926% due 06/25/2036 | 10,819 | 8,948 | ||||||||||
0.926% due 10/25/2036 (k) | 3,890 | 3,646 | ||||||||||
0.936% due 02/25/2036 | 9,821 | 5,308 | ||||||||||
0.996% due 06/25/2036 | 4,242 | 2,267 | ||||||||||
1.046% due 12/25/2035 (k) | 7,543 | 6,808 | ||||||||||
1.116% due 12/25/2035 | 11,886 | 4,849 | ||||||||||
Morgan Stanley ABS Capital, Inc. Trust |
| |||||||||||
0.816% due 09/25/2036 | 4,347 | 2,120 | ||||||||||
0.826% due 10/25/2036 | 5 | 3 | ||||||||||
0.896% due 10/25/2036 | 11,177 | 6,366 | ||||||||||
0.906% due 06/25/2036 | 12,145 | 8,646 | ||||||||||
0.906% due 09/25/2036 | 8,734 | 4,350 | ||||||||||
0.906% due 11/25/2036 (k) | 22,177 | 13,393 | ||||||||||
0.976% due 10/25/2036 | 5,386 | 3,101 | ||||||||||
1.026% due 03/25/2036 (k) | 29,457 | 26,102 | ||||||||||
1.401% due 09/25/2035 | 6,500 | 6,023 | ||||||||||
1.431% due 09/25/2035 (k) | 18,121 | 14,419 | ||||||||||
1.756% due 07/25/2037 (k) | 32,670 | 30,518 | ||||||||||
1.791% due 01/25/2035 | 5,533 | 2,496 | ||||||||||
2.706% due 05/25/2034 | 2,603 | 2,451 | ||||||||||
Morgan Stanley Capital, Inc. Trust |
| |||||||||||
1.046% due 01/25/2036 (k) | 21,769 | 20,491 | ||||||||||
National Collegiate Commutation Trust |
| |||||||||||
0.000% due 03/25/2038 | 87,000 | 38,646 | ||||||||||
New Century Home Equity Loan Trust |
| |||||||||||
3.756% due 01/25/2033 ^(k) | 675 | 589 | ||||||||||
Nomura Home Equity Loan, Inc. Home Equity Loan Trust |
| |||||||||||
1.086% due 10/25/2036 ^ | 5,500 | 1,889 | ||||||||||
1.176% due 02/25/2036 (k) | 30,900 | 18,989 | ||||||||||
Option One Mortgage Loan Trust |
| |||||||||||
0.886% due 07/25/2037 (k) | 19,815 | 12,686 | ||||||||||
0.896% due 01/25/2037 (k) | 13,057 | 7,613 | ||||||||||
0.976% due 01/25/2037 | 2,663 | 1,568 | ||||||||||
1.006% due 03/25/2037 | 795 | 421 | ||||||||||
1.086% due 04/25/2037 | 3,176 | 2,031 | ||||||||||
Option One Mortgage Loan Trust Asset-Backed Certificates |
| |||||||||||
1.216% due 11/25/2035 (k) | 13,200 | 10,753 | ||||||||||
Park Place Securities, Inc. |
| |||||||||||
1.386% due 09/25/2035 (k) | 9,600 | 6,425 | ||||||||||
Park Place Securities, Inc. Asset-Backed Pass-Through Certificates |
| |||||||||||
1.246% due 08/25/2035 | 8,350 | 7,283 | ||||||||||
1.246% due 09/25/2035 (k) | 10,713 | 9,262 | ||||||||||
1.306% due 07/25/2035 (k) | 30,950 | 25,351 | ||||||||||
1.791% due 03/25/2035 ^ | 7,500 | 5,867 | ||||||||||
1.881% due 10/25/2034 (k) | 10,000 | 8,639 | ||||||||||
2.001% due 01/25/2036 (k) | 4,427 | 4,108 | ||||||||||
2.076% due 01/25/2036 ^(k) | 11,978 | 9,248 | ||||||||||
2.481% due 02/25/2035 (k) | 29,447 | 22,127 | ||||||||||
2.781% due 12/25/2034 (k) | 25,974 | 16,630 | ||||||||||
Popular ABS Mortgage Pass-Through Trust |
| |||||||||||
1.146% due 02/25/2036 | 7,000 | 6,115 | ||||||||||
1.446% due 06/25/2035 (k) | 626 | 518 | ||||||||||
1.906% due 06/25/2035 | 1,349 | 1,036 | ||||||||||
Putnam Structured Product Funding Ltd. |
| |||||||||||
9.092% due 02/25/2037 | 1,937 | 1,966 | ||||||||||
Renaissance Home Equity Loan Trust |
| |||||||||||
5.612% due 04/25/2037 | 3,238 | 1,545 | ||||||||||
Residential Asset Mortgage Products Trust |
| |||||||||||
1.076% due 01/25/2036 (k) | 14,303 | 12,021 | ||||||||||
1.136% due 01/25/2036 | 4,360 | 3,503 | ||||||||||
1.334% due 04/25/2034 | 4,871 | 4,497 | ||||||||||
1.454% due 04/25/2034 | 5,631 | 5,025 | ||||||||||
1.476% due 02/25/2035 | 250 | 230 | ||||||||||
2.159% due 04/25/2034 ^ | 1,465 | 1,051 | ||||||||||
2.564% due 04/25/2034 ^ | 2,007 | 1,445 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Residential Asset Securities Corp. Trust |
| |||||||||||
0.886% due 11/25/2036 (k) | $ | 13,998 | $ | 11,629 | ||||||||
0.926% due 10/25/2036 (k) | 16,125 | 11,415 | ||||||||||
0.986% due 06/25/2036 (k) | 41,332 | 32,371 | ||||||||||
0.996% due 09/25/2036 (k) | 16,782 | 15,490 | ||||||||||
1.016% due 07/25/2036 (k) | 17,800 | 14,811 | ||||||||||
1.036% due 04/25/2036 | 5,270 | 4,757 | ||||||||||
1.086% due 12/25/2035 (k) | 20,321 | 15,059 | ||||||||||
1.086% due 04/25/2036 | 10,000 | 4,055 | ||||||||||
1.086% due 04/25/2036 (k) | 17,500 | 15,270 | ||||||||||
1.096% due 05/25/2037 | 9,275 | 7,059 | ||||||||||
1.166% due 01/25/2036 (k) | 3,200 | 2,954 | ||||||||||
1.881% due 02/25/2035 (k) | 1,900 | 1,627 | ||||||||||
Saxon Asset Securities Trust |
| |||||||||||
2.506% due 12/25/2037 (k) | 53,264 | 50,785 | ||||||||||
Securitized Asset-Backed Receivables LLC Trust |
| |||||||||||
0.896% due 07/25/2036 (k) | 28,272 | 21,921 | ||||||||||
0.916% due 07/25/2036 | 3,206 | 1,597 | ||||||||||
1.006% due 05/25/2036 (k) | 20,784 | 12,665 | ||||||||||
1.026% due 03/25/2036 (k) | 10,002 | 7,929 | ||||||||||
1.156% due 11/25/2035 | 11,532 | 6,050 | ||||||||||
1.206% due 10/25/2035 (k) | 13,000 | 10,970 | ||||||||||
1.416% due 08/25/2035 | 5,685 | 3,733 | ||||||||||
SLM Student Loan Trust |
| |||||||||||
0.000% due 10/28/2029 (e) | 25 | 22,566 | ||||||||||
0.000% due 01/25/2042 (e) | 20 | 19,929 | ||||||||||
SoFi Professional Loan Program LLC |
| |||||||||||
0.000% due 01/25/2039 (e) | 21,280 | 12,408 | ||||||||||
Soloso CDO Ltd. |
| |||||||||||
1.188% due 10/07/2037 | 11,318 | 4,640 | ||||||||||
Sound Point CLO Ltd. |
| |||||||||||
5.732% due 01/23/2027 | 1,000 | 915 | ||||||||||
Soundview Home Loan Trust |
| |||||||||||
0.906% due 06/25/2037 (k) | 4,051 | 2,752 | ||||||||||
0.916% due 11/25/2036 (k) | 12,126 | 11,257 | ||||||||||
0.936% due 02/25/2037 | 8,837 | 3,467 | ||||||||||
1.016% due 02/25/2037 | 10,256 | 4,087 | ||||||||||
1.036% due 05/25/2036 (k) | 14,665 | 12,889 | ||||||||||
1.106% due 03/25/2036 | 7,933 | 6,693 | ||||||||||
1.706% due 10/25/2037 | 8,839 | 6,447 | ||||||||||
1.856% due 09/25/2037 | 2,642 | 1,908 | ||||||||||
Specialty Underwriting & Residential Finance Trust |
| |||||||||||
1.106% due 03/25/2037 | 717 | 386 | ||||||||||
1.731% due 12/25/2035 | 5,225 | 4,752 | ||||||||||
2.556% due 05/25/2035 | 2,416 | 2,240 | ||||||||||
3.895% due 02/25/2037 ^ | 3,749 | 2,025 | ||||||||||
Taberna Preferred Funding Ltd. |
| |||||||||||
1.158% due 08/05/2036 ^ | 20,918 | 15,061 | ||||||||||
1.158% due 08/05/2036 | 5,200 | 3,744 | ||||||||||
1.221% due 05/05/2038 | 17,073 | 14,171 | ||||||||||
1.231% due 02/05/2037 | 43,650 | 38,848 | ||||||||||
Trapeza CDO LLC |
| |||||||||||
1.853% due 01/20/2034 (k) | 27,935 | 25,141 | ||||||||||
Wachovia Mortgage Loan Trust |
| |||||||||||
1.446% due 10/25/2035 | 8,000 | 5,935 | ||||||||||
Wells Fargo Home Equity Asset-Backed Securities Trust |
| |||||||||||
1.086% due 05/25/2036 | 5,000 | 4,206 | ||||||||||
|
| |||||||||||
Total Asset-Backed Securities |
| 2,287,286 | ||||||||||
|
| |||||||||||
SOVEREIGN ISSUES 0.2% | ||||||||||||
Republic of Greece Government International Bond |
| |||||||||||
3.800% due 08/08/2017 | JPY | 347,000 | 2,910 | |||||||||
4.500% due 07/03/2017 | 310,000 | 2,629 | ||||||||||
4.750% due 04/17/2019 | EUR | 1,900 | 1,893 | |||||||||
|
| |||||||||||
Total Sovereign Issues (Cost $8,124) |
| 7,432 | ||||||||||
|
| |||||||||||
SHARES | ||||||||||||
COMMON STOCKS 0.1% | ||||||||||||
ENERGY 0.0% | ||||||||||||
OGX Petroleo e Gas S.A. SP - ADR | 858,034 | 0 | ||||||||||
|
|
68 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
Table of Contents
December 31, 2016 (Unaudited)
SHARES | MARKET VALUE (000S) | |||||||||||
FINANCIALS 0.1% | ||||||||||||
TIG FinCo PLC (i) | 2,651,536 | $ | 2,418 | |||||||||
|
| |||||||||||
Total Common Stocks (Cost $3,931) |
| 2,418 | ||||||||||
|
| |||||||||||
SHORT-TERM INSTRUMENTS 10.1% | ||||||||||||
REPURCHASE AGREEMENTS (j) 6.1% | ||||||||||||
178,302 | ||||||||||||
|
| |||||||||||
PRINCIPAL AMOUNT (000S) | ||||||||||||
SHORT-TERM NOTES 1.9% | ||||||||||||
Federal Home Loan Bank |
| |||||||||||
0.497% due 01/05/2017 (e)(f) | $ | 54,400 | 54,399 | |||||||||
0.507% due 01/06/2017 (e)(f) | 2,200 | 2,200 | ||||||||||
|
| |||||||||||
56,599 | ||||||||||||
|
|
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
U.S. TREASURY BILLS 2.1% | ||||||||||||
0.462% due 01/19/2017 - 03/16/2017 (d)(e)(k)(m)(o) | $ | 60,167 | $ | 60,124 | ||||||||
|
| |||||||||||
Total Short-Term Instruments (Cost $294,481) | 295,025 | |||||||||||
|
| |||||||||||
Total Investments in Securities (Cost $5,356,269) | 5,210,941 | |||||||||||
Total Investments 178.7% (Cost $5,356,269) | $ | 5,210,941 | ||||||||||
Financial Derivative (Cost or Premiums, net $(5,848)) |
| (2,851 | ) | |||||||||
Other Assets and Liabilities, net (78.6)% | (2,292,806 | ) | ||||||||||
|
| |||||||||||
Net Assets 100.0% | $ | 2,915,284 | ||||||||||
|
|
NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*):
* | A zero balance may reflect actual amounts rounding to less than one thousand. |
^ | Security is in default. |
(a) | Interest only security. |
(b) | Principal only security. |
(c) | Payment in-kind security. |
(d) | Coupon represents a weighted average yield to maturity. |
(e) | Zero coupon security. |
(f) | Coupon represents a yield to maturity. |
(g) | Perpetual maturity; date shown, if applicable, represents next contractual call date. |
(h) | Security is subject to a forbearance agreement entered into by the Fund which forbears the Fund from taking action to, among other things, accelerate and collect payments on the subject note with respect to specified events of default. |
(i) RESTRICTED SECURITIES:
Issuer Description | Acquisition Date | Cost | Market Value | Market Value as Percentage of Net Assets | ||||||||||||
KGH Intermediate Holdco LLC 12.000% due 08/08/2019 | 08/07/2014 | $ | 38,503 | $ | 38,569 | 1.32 | % | |||||||||
Odebrecht Offshore Drilling Finance Ltd. 6.625% due 10/01/2023 | 04/02/2015 | 626 | 229 | 0.01 | ||||||||||||
Odebrecht Offshore Drilling Finance Ltd. 6.750% due 10/01/2023 | 04/01/2015 - 04/08/2015 | 19,287 | 6,533 | 0.22 | ||||||||||||
Pinnacol Assurance 8.625% due 06/25/2034 | 06/23/2014 | 23,200 | 23,191 | 0.80 | ||||||||||||
TIG FinCo PLC | 04/02/2015 | 3,931 | 2,418 | 0.08 | ||||||||||||
|
|
|
|
|
| |||||||||||
$ | 85,547 | $ | 70,940 | 2.43 | % | |||||||||||
|
|
|
|
|
|
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(j) REPURCHASE AGREEMENTS:
Counterparty | Lending Rate | Settlement Date | Maturity Date | Principal Amount | Collateralized By | Collateral (Received) | Repurchase Agreements, at Value | Repurchase Agreement Proceeds to be Received(1) | ||||||||||||||||||||||||||
BOS | 0.400 | % | 12/30/2016 | 01/03/2017 | $ | 8,900 | U.S. Treasury Bonds 2.875% due 05/15/2043 | $ | (9,298 | ) | $ | 8,900 | $ | 8,900 | ||||||||||||||||||||
RDR | 0.570 | 12/30/2016 | 01/03/2017 | 65,700 | U.S. Treasury Notes 2.000% due 08/15/2025 | (67,215 | ) | 65,700 | 65,704 | |||||||||||||||||||||||||
SSB | 0.010 | 12/30/2016 | 01/03/2017 | 30,243 | U.S. Treasury Notes 0.750% due 12/31/2017(2) | (30,851 | ) | 30,243 | 30,243 | |||||||||||||||||||||||||
UBS | 0.400 | 11/02/2016 | 01/13/2017 | GBP | 36,075 | Barclays PLC 7.875% due 09/15/2022 | (44,128 | ) | 44,459 | 44,490 | ||||||||||||||||||||||||
Lloyds Banking Group PLC 7.625% - 7.875% due 06/27/2023 - 06/27/2029 | ||||||||||||||||||||||||||||||||||
0.400 | 11/02/2016 | 01/17/2017 | 23,532 | Barclays PLC 7.875% due 09/15/2022 | (29,320 | ) | 29,000 | 29,020 | ||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||
Total Repurchase Agreements |
| $ | (180,812 | ) | $ | 178,302 | $ | 178,357 | ||||||||||||||||||||||||||
|
|
|
|
|
|
(1) | Includes accrued interest. |
(2) | Collateral is held in custody by the counterparty. |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2016 | 69 |
Table of Contents
Consolidated Schedule of Investments PIMCO Dynamic Credit and Mortgage Income Fund (Cont.)
REVERSE REPURCHASE AGREEMENTS:
Counterparty | Borrowing Rate(3) | Borrowing Date | Maturity Date | Amount Borrowed(3) | Payable for Reverse Repurchase Agreements | |||||||||||||||||||
BCY | 1.150 | % | 12/16/2016 | TBD | (4) | $ | (49,702 | ) | $ | (49,731 | ) | |||||||||||||
1.850 | 11/30/2016 | 03/02/2017 | (997 | ) | (999 | ) | ||||||||||||||||||
1.900 | 11/16/2016 | 02/16/2017 | (5,789 | ) | (5,804 | ) | ||||||||||||||||||
1.900 | 11/30/2016 | 03/02/2017 | (3,933 | ) | (3,940 | ) | ||||||||||||||||||
2.354 | 10/03/2016 | 01/03/2017 | (6,661 | ) | (6,701 | ) | ||||||||||||||||||
2.364 | 10/05/2016 | 01/05/2017 | (12,040 | ) | (12,111 | ) | ||||||||||||||||||
2.380 | 10/17/2016 | 01/17/2017 | (20,217 | ) | (20,321 | ) | ||||||||||||||||||
2.381 | 10/21/2016 | 01/18/2017 | (44,767 | ) | (44,986 | ) | ||||||||||||||||||
2.382 | 11/14/2016 | 02/09/2017 | (19,898 | ) | (19,964 | ) | ||||||||||||||||||
2.390 | 10/27/2016 | 01/27/2017 | (15,452 | ) | (15,522 | ) | ||||||||||||||||||
2.431 | 11/30/2016 | 03/02/2017 | (15,907 | ) | (15,943 | ) | ||||||||||||||||||
2.494 | 12/21/2016 | 03/21/2017 | (9,012 | ) | (9,020 | ) | ||||||||||||||||||
2.497 | 01/03/2017 | 04/03/2017 | (6,793 | ) | (6,793 | ) | ||||||||||||||||||
2.845 | 09/26/2016 | 03/24/2017 | (2,665 | ) | (2,686 | ) | ||||||||||||||||||
2.846 | 09/22/2016 | 09/22/2017 | (4,391 | ) | (4,425 | ) | ||||||||||||||||||
BPG | 2.647 | 01/11/2016 | 01/11/2017 | (30,316 | ) | (31,114 | ) | |||||||||||||||||
2.666 | 02/17/2016 | 02/17/2017 | (9,712 | ) | (9,943 | ) | ||||||||||||||||||
2.731 | 03/16/2016 | 03/16/2017 | (36,818 | ) | (37,636 | ) | ||||||||||||||||||
2.745 | 03/17/2016 | 03/16/2017 | (9,049 | ) | (9,250 | ) | ||||||||||||||||||
BPS | 1.620 | 10/06/2016 | 01/06/2017 | (1,855 | ) | (1,862 | ) | |||||||||||||||||
1.670 | 10/24/2016 | 01/24/2017 | (11,632 | ) | (11,670 | ) | ||||||||||||||||||
1.670 | 11/15/2016 | 02/15/2017 | (8,321 | ) | (8,340 | ) | ||||||||||||||||||
1.670 | 12/23/2016 | 01/26/2017 | (3,273 | ) | (3,275 | ) | ||||||||||||||||||
1.680 | 10/06/2016 | 01/19/2017 | (3,643 | ) | (3,658 | ) | ||||||||||||||||||
1.680 | 10/07/2016 | 01/19/2017 | (9,540 | ) | (9,579 | ) | ||||||||||||||||||
1.690 | 07/26/2016 | 01/26/2017 | (3,552 | ) | (3,579 | ) | ||||||||||||||||||
1.700 | 11/08/2016 | 01/31/2017 | (1,034 | ) | (1,037 | ) | ||||||||||||||||||
1.740 | 12/01/2016 | 03/02/2017 | (984 | ) | (986 | ) | ||||||||||||||||||
2.731 | 08/15/2016 | 03/16/2017 | (4,382 | ) | (4,429 | ) | ||||||||||||||||||
2.743 | 11/10/2016 | 05/10/2017 | (3,248 | ) | (3,261 | ) | ||||||||||||||||||
2.840 | 11/30/2016 | 05/30/2017 | (16,435 | ) | (16,479 | ) | ||||||||||||||||||
2.841 | 12/02/2016 | 06/02/2017 | (3,814 | ) | (3,824 | ) | ||||||||||||||||||
2.843 | 12/12/2016 | 06/09/2017 | (11,559 | ) | (11,579 | ) | ||||||||||||||||||
2.969 | 08/19/2016 | 08/18/2017 | (32,458 | ) | (32,825 | ) | ||||||||||||||||||
2.976 | 08/16/2016 | 08/16/2017 | (38,955 | ) | (39,406 | ) | ||||||||||||||||||
BRC | 1.550 | 11/03/2016 | 02/03/2017 | (18,373 | ) | (18,421 | ) | |||||||||||||||||
1.850 | 11/16/2016 | 02/16/2017 | (1,828 | ) | (1,832 | ) | ||||||||||||||||||
1.850 | 12/01/2016 | 03/02/2017 | (3,429 | ) | (3,435 | ) | ||||||||||||||||||
2.718 | 10/11/2016 | 10/11/2017 | (20,946 | ) | (21,079 | ) | ||||||||||||||||||
2.734 | 11/02/2016 | 11/02/2017 | (26,834 | ) | (26,960 | ) | ||||||||||||||||||
2.918 | 10/11/2016 | 04/11/2018 | (36,757 | ) | (37,007 | ) | ||||||||||||||||||
DBL | 0.900 | 10/05/2016 | 01/16/2017 | EUR | (5,941 | ) | (6,268 | ) | ||||||||||||||||
DEU | 1.900 | 11/22/2016 | 02/22/2017 | $ | (7,733 | ) | (7,750 | ) | ||||||||||||||||
1.900 | 12/19/2016 | 01/06/2017 | (2,590 | ) | (2,592 | ) | ||||||||||||||||||
1.950 | 12/16/2016 | 03/16/2017 | (17,466 | ) | (17,483 | ) | ||||||||||||||||||
GLM | 0.750 | 10/11/2016 | 01/11/2017 | EUR | (16,581 | ) | (17,486 | ) | ||||||||||||||||
2.372 | 10/11/2016 | 01/11/2017 | $ | (7,486 | ) | (7,527 | ) | |||||||||||||||||
GSC | 2.154 | 12/15/2016 | 01/13/2017 | (45,062 | ) | (45,113 | ) | |||||||||||||||||
2.236 | 12/16/2016 | 01/17/2017 | (29,302 | ) | (29,335 | ) | ||||||||||||||||||
2.354 | 12/15/2016 | 01/13/2017 | (16,943 | ) | (16,964 | ) | ||||||||||||||||||
JML | 1.650 | 12/05/2016 | 01/10/2017 | (39,151 | ) | (39,203 | ) | |||||||||||||||||
JPS | 2.231 | 10/13/2016 | 01/13/2017 | (16,246 | ) | (16,329 | ) | |||||||||||||||||
MSB | 2.631 | 10/21/2016 | 10/23/2017 | (29,543 | ) | (29,703 | ) | |||||||||||||||||
2.632 | 04/22/2016 | 04/21/2017 | (29,502 | ) | (29,647 | ) | ||||||||||||||||||
2.636 | 04/27/2016 | 04/27/2017 | (21,887 | ) | (21,990 | ) | ||||||||||||||||||
2.637 | 04/29/2016 | 05/01/2017 | (5,339 | ) | (5,363 | ) | ||||||||||||||||||
2.681 | 12/01/2016 | 12/01/2017 | (8,461 | ) | (8,482 | ) | ||||||||||||||||||
2.684 | 06/02/2016 | 04/21/2017 | (2,988 | ) | (2,994 | ) | ||||||||||||||||||
2.696 | 06/06/2016 | 06/06/2017 | (7,146 | ) | (7,160 | ) | ||||||||||||||||||
2.748 | 10/03/2016 | 10/03/2017 | (2,632 | ) | (2,649 | ) | ||||||||||||||||||
MSC | 2.631 | 08/05/2016 | 02/06/2017 | (18,106 | ) | (18,181 | ) | |||||||||||||||||
2.970 | 09/16/2016 | 09/15/2017 | (27,499 | ) | (27,538 | ) | ||||||||||||||||||
3.026 | 07/11/2016 | 01/11/2017 | (19,573 | ) | (19,702 | ) | ||||||||||||||||||
MYI | 1.250 | 11/09/2016 | 02/09/2017 | GBP | (2,891 | ) | (3,569 | ) | ||||||||||||||||
1.530 | 10/05/2016 | 02/06/2017 | EUR | (5,449 | ) | (5,758 | ) | |||||||||||||||||
NOM | 2.480 | 10/14/2016 | 04/13/2017 | $ | (13,815 | ) | (13,892 | ) | ||||||||||||||||
2.481 | 08/03/2016 | 02/03/2017 | (27,256 | ) | (27,365 | ) | ||||||||||||||||||
2.666 | 08/22/2016 | 02/22/2017 | (28,336 | ) | (28,606 | ) | ||||||||||||||||||
PAR | 0.350 | 12/20/2016 | 03/20/2017 | EUR | (3,471 | ) | (3,654 | ) |
70 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
Table of Contents
December 31, 2016 (Unaudited)
Counterparty | Borrowing Rate(3) | Borrowing Date | Maturity Date | Amount Borrowed(3) | Payable for Reverse Repurchase Agreements | |||||||||||||||||||
0.400 | % | 09/29/2016 | TBD | (4) | EUR | (3,464 | ) | $ | (3,651 | ) | ||||||||||||||
0.850 | 11/17/2016 | 01/27/2017 | GBP | (4,108 | ) | (5,068 | ) | |||||||||||||||||
0.850 | 11/24/2016 | 01/27/2017 | (4,995 | ) | (6,162 | ) | ||||||||||||||||||
0.950 | 10/28/2016 | 01/30/2017 | (1,721 | ) | (2,125 | ) | ||||||||||||||||||
RBC | 1.720 | 08/01/2016 | 02/01/2017 | $ | (19,566 | ) | (19,711 | ) | ||||||||||||||||
1.777 | 11/28/2016 | 02/06/2017 | (3,056 | ) | (3,061 | ) | ||||||||||||||||||
1.850 | 08/11/2016 | 02/13/2017 | (10,341 | ) | (10,418 | ) | ||||||||||||||||||
1.900 | 10/04/2016 | 04/04/2017 | (2,856 | ) | (2,870 | ) | ||||||||||||||||||
1.910 | 10/31/2016 | 05/01/2017 | (11,540 | ) | (11,579 | ) | ||||||||||||||||||
2.336 | 04/25/2016 | 04/24/2017 | (29,781 | ) | (30,270 | ) | ||||||||||||||||||
2.397 | 11/04/2016 | 05/04/2017 | (12,552 | ) | (12,602 | ) | ||||||||||||||||||
2.408 | 10/31/2016 | 05/01/2017 | (7,765 | ) | (7,798 | ) | ||||||||||||||||||
2.495 | 08/18/2016 | 02/21/2017 | (14,260 | ) | (14,396 | ) | ||||||||||||||||||
2.543 | 11/14/2016 | 05/15/2017 | (25,462 | ) | (25,552 | ) | ||||||||||||||||||
2.547 | 11/04/2016 | 05/04/2017 | (11,708 | ) | (11,758 | ) | ||||||||||||||||||
2.550 | 09/13/2016 | 03/13/2017 | (37,763 | ) | (38,063 | ) | ||||||||||||||||||
2.550 | 09/26/2016 | 03/27/2017 | (19,973 | ) | (20,113 | ) | ||||||||||||||||||
2.559 | 10/28/2016 | 05/01/2017 | (14,977 | ) | (15,048 | ) | ||||||||||||||||||
2.560 | 09/20/2016 | 03/20/2017 | (55,267 | ) | (55,680 | ) | ||||||||||||||||||
2.560 | 09/22/2016 | 03/22/2017 | (17,834 | ) | (17,965 | ) | ||||||||||||||||||
RCE | 0.788 | 10/26/2016 | 01/27/2017 | EUR | (5,478 | ) | (5,776 | ) | ||||||||||||||||
0.950 | 10/31/2016 | 01/31/2017 | GBP | (4,317 | ) | (5,329 | ) | |||||||||||||||||
1.000 | 10/05/2016 | 02/06/2017 | EUR | (5,108 | ) | (5,391 | ) | |||||||||||||||||
1.050 | 11/30/2016 | 02/28/2017 | GBP | (7,220 | ) | (8,907 | ) | |||||||||||||||||
1.346 | 10/18/2016 | 01/18/2017 | (1,854 | ) | (2,291 | ) | ||||||||||||||||||
1.377 | 12/14/2016 | 03/14/2017 | (3,168 | ) | (3,907 | ) | ||||||||||||||||||
RDR | 1.650 | 10/14/2016 | 01/13/2017 | $ | (861 | ) | (864 | ) | ||||||||||||||||
1.650 | 11/30/2016 | 03/02/2017 | (2,866 | ) | (2,870 | ) | ||||||||||||||||||
RTA | 1.524 | 07/01/2016 | 01/03/2017 | (9,422 | ) | (9,496 | ) | |||||||||||||||||
1.711 | 08/03/2016 | 02/03/2017 | (9,110 | ) | (9,176 | ) | ||||||||||||||||||
1.860 | 08/22/2016 | 02/22/2017 | (11,788 | ) | (11,870 | ) | ||||||||||||||||||
1.897 | 11/07/2016 | 05/01/2017 | (1,954 | ) | (1,960 | ) | ||||||||||||||||||
1.967 | 01/03/2017 | 07/03/2017 | (10,382 | ) | (10,382 | ) | ||||||||||||||||||
2.065 | 02/02/2016 | 02/01/2017 | (11,027 | ) | (11,240 | ) | ||||||||||||||||||
2.103 | 01/04/2016 | 01/03/2017 | (13,468 | ) | (13,755 | ) | ||||||||||||||||||
2.208 | 04/13/2016 | 04/12/2017 | (9,263 | ) | (9,414 | ) | ||||||||||||||||||
2.211 | 03/15/2016 | 03/14/2017 | (76,130 | ) | (77,505 | ) | ||||||||||||||||||
2.212 | 03/08/2016 | 02/21/2017 | (7,694 | ) | (7,836 | ) | ||||||||||||||||||
2.239 | 04/25/2016 | 04/24/2017 | (26,142 | ) | (26,553 | ) | ||||||||||||||||||
2.245 | 03/17/2016 | 03/16/2017 | (11,950 | ) | (12,168 | ) | ||||||||||||||||||
2.253 | 06/16/2016 | 06/15/2017 | (31,616 | ) | (32,014 | ) | ||||||||||||||||||
2.274 | 06/15/2016 | 06/09/2017 | (4,773 | ) | (4,834 | ) | ||||||||||||||||||
2.298 | 07/19/2016 | 07/18/2017 | (2,020 | ) | (2,042 | ) | ||||||||||||||||||
2.337 | 05/31/2016 | 05/30/2017 | (7,767 | ) | (7,876 | ) | ||||||||||||||||||
2.337 | 06/03/2016 | 06/02/2017 | (9,597 | ) | (9,730 | ) | ||||||||||||||||||
2.345 | 11/14/2016 | 07/25/2017 | (5,190 | ) | (5,207 | ) | ||||||||||||||||||
2.417 | 01/03/2017 | 07/03/2017 | (14,139 | ) | (14,139 | ) | ||||||||||||||||||
2.443 | 08/05/2016 | 08/04/2017 | (12,699 | ) | (12,829 | ) | ||||||||||||||||||
2.519 | 08/15/2016 | 08/14/2017 | (28,343 | ) | (28,623 | ) | ||||||||||||||||||
2.570 | 10/21/2016 | 10/20/2017 | (18,547 | ) | (18,645 | ) | ||||||||||||||||||
2.571 | 10/25/2016 | 10/24/2017 | (7,583 | ) | (7,621 | ) | ||||||||||||||||||
2.605 | 11/18/2016 | 11/16/2017 | (12,170 | ) | (12,210 | ) | ||||||||||||||||||
2.610 | 11/17/2016 | 11/16/2017 | (7,889 | ) | (7,916 | ) | ||||||||||||||||||
RYL | 0.629 | 12/19/2016 | 01/19/2017 | EUR | (3,679 | ) | (3,874 | ) | ||||||||||||||||
SOG | 0.732 | 10/05/2016 | 02/06/2017 | (4,906 | ) | (5,174 | ) | |||||||||||||||||
1.550 | 10/18/2016 | 01/18/2017 | $ | (2,636 | ) | (2,645 | ) | |||||||||||||||||
1.600 | 10/20/2016 | 01/20/2017 | (9,453 | ) | (9,484 | ) | ||||||||||||||||||
1.600 | 10/31/2016 | 01/31/2017 | (18,389 | ) | (18,441 | ) | ||||||||||||||||||
1.650 | 08/26/2016 | 02/27/2017 | (7,417 | ) | (7,461 | ) | ||||||||||||||||||
1.650 | 10/14/2016 | 02/27/2017 | (3,186 | ) | (3,198 | ) | ||||||||||||||||||
1.650 | 11/09/2016 | 02/09/2017 | (4,691 | ) | (4,703 | ) | ||||||||||||||||||
1.650 | 11/15/2016 | 02/15/2017 | (4,764 | ) | (4,775 | ) | ||||||||||||||||||
1.650 | 11/21/2016 | 02/21/2017 | (18,974 | ) | (19,011 | ) | ||||||||||||||||||
1.650 | 11/28/2016 | 02/27/2017 | (19,415 | ) | (19,458 | ) | ||||||||||||||||||
1.700 | 12/14/2016 | 03/14/2017 | (7,772 | ) | (7,779 | ) | ||||||||||||||||||
2.522 | 10/07/2016 | 04/07/2017 | (8,232 | ) | (8,283 | ) | ||||||||||||||||||
2.526 | 10/11/2016 | 04/11/2017 | (10,449 | ) | (10,511 | ) | ||||||||||||||||||
2.534 | 07/26/2016 | 01/26/2017 | (20,535 | ) | (20,753 | ) | ||||||||||||||||||
2.540 | 07/28/2016 | 01/30/2017 | (23,611 | ) | (23,861 | ) | ||||||||||||||||||
2.598 | 12/06/2016 | 06/06/2017 | (17,146 | ) | (17,181 | ) | ||||||||||||||||||
2.601 | 12/07/2016 | 06/06/2017 | (24,156 | ) | (24,203 | ) |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2016 | 71 |
Table of Contents
Consolidated Schedule of Investments PIMCO Dynamic Credit and Mortgage Income Fund (Cont.)
Counterparty | Borrowing Rate(3) | Borrowing Date | Maturity Date | Amount Borrowed(3) | Payable for Reverse Repurchase Agreements | |||||||||||||||||||
2.607 | % | 12/09/2016 | 06/09/2017 | $ | (43,012 | ) | $ | (43,090 | ) | |||||||||||||||
2.613 | 12/14/2016 | 06/14/2017 | (41,643 | ) | (41,703 | ) | ||||||||||||||||||
UBS | 0.520 | 09/26/2016 | 01/26/2017 | EUR | (14,796 | ) | (15,598 | ) | ||||||||||||||||
0.900 | 10/13/2016 | 01/13/2017 | GBP | (30,071 | ) | (37,135 | ) | |||||||||||||||||
0.900 | 10/17/2016 | 01/17/2017 | (19,680 | ) | (24,301 | ) | ||||||||||||||||||
0.900 | 10/21/2016 | 01/23/2017 | (13,880 | ) | (17,137 | ) | ||||||||||||||||||
1.100 | 10/25/2016 | 01/25/2017 | (1,726 | ) | (2,131 | ) | ||||||||||||||||||
1.300 | 11/18/2016 | 02/17/2017 | (40,673 | ) | (50,208 | ) | ||||||||||||||||||
1.310 | 10/14/2016 | 01/20/2017 | (30,606 | ) | (37,829 | ) | ||||||||||||||||||
1.640 | 11/08/2016 | 02/08/2017 | $ | (14,322 | ) | (14,359 | ) | |||||||||||||||||
1.650 | 10/28/2016 | 01/30/2017 | (6,636 | ) | (6,656 | ) | ||||||||||||||||||
1.680 | 10/19/2016 | 01/19/2017 | (8,105 | ) | (8,134 | ) | ||||||||||||||||||
1.684 | 10/25/2016 | 01/25/2017 | (2,768 | ) | (2,777 | ) | ||||||||||||||||||
1.730 | 11/14/2016 | 02/14/2017 | (12,031 | ) | (12,060 | ) | ||||||||||||||||||
1.730 | 11/25/2016 | 02/14/2017 | (1,158 | ) | (1,160 | ) | ||||||||||||||||||
1.830 | 11/14/2016 | 02/14/2017 | (8,246 | ) | (8,267 | ) | ||||||||||||||||||
1.850 | 12/28/2016 | 03/14/2017 | (15,291 | ) | (15,296 | ) | ||||||||||||||||||
1.880 | 11/30/2016 | 03/02/2017 | (9,950 | ) | (9,968 | ) | ||||||||||||||||||
2.376 | 10/11/2016 | 01/11/2017 | (9,059 | ) | (9,109 | ) | ||||||||||||||||||
2.380 | 10/14/2016 | 01/18/2017 | (6,192 | ) | (6,225 | ) | ||||||||||||||||||
2.387 | 11/09/2016 | 02/09/2017 | (6,985 | ) | (7,010 | ) | ||||||||||||||||||
2.424 | 07/05/2016 | 01/05/2017 | (20,285 | ) | (20,534 | ) | ||||||||||||||||||
2.426 | 10/11/2016 | 01/11/2017 | (21,172 | ) | (21,292 | ) | ||||||||||||||||||
2.474 | 07/05/2016 | 01/05/2017 | (16,308 | ) | (16,512 | ) | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Reverse Repurchase Agreements |
| $ | (2,387,267 | ) | ||||||||||||||||||||
|
|
(3) | The average amount of borrowings outstanding during the period ended December 31, 2016 was $(2,310,064) at a weighted average interest rate of 1.986%. |
(4) | Open maturity reverse repurchase agreement. |
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, 2016:
(k) | Securities with an aggregate market value of $3,171,231 and cash of $601 have been pledged as collateral under the terms of the following master agreements as of December 31, 2016. |
Counterparty | Repurchase Agreement Proceeds to be Received | Payable for Reverse Repurchase Agreements | Payable for Sale-Buyback Transactions | Total Borrowings and Other Financing Transactions | Collateral Pledged/(Received) | Net Exposure(5) | ||||||||||||||||||
Global/Master Repurchase Agreement |
| |||||||||||||||||||||||
BCY | $ | 0 | $ | (218,946 | ) | $ | 0 | $ | (218,946 | ) | $ | 297,251 | $ | 78,305 | ||||||||||
BOS | 8,900 | 0 | 0 | 8,900 | (9,298 | ) | (398 | ) | ||||||||||||||||
BPG | 0 | (87,943 | ) | 0 | (87,943 | ) | 134,899 | 46,956 | ||||||||||||||||
BPS | 0 | (155,789 | ) | 0 | (155,789 | ) | 213,078 | 57,289 | ||||||||||||||||
BRC | 0 | (108,734 | ) | 0 | (108,734 | ) | 165,607 | 56,873 | ||||||||||||||||
DBL | 0 | (6,268 | ) | 0 | (6,268 | ) | 7,672 | 1,404 | ||||||||||||||||
DEU | 0 | (27,825 | ) | 0 | (27,825 | ) | 34,680 | 6,855 | ||||||||||||||||
GLM | 0 | (25,013 | ) | 0 | (25,013 | ) | 31,761 | 6,748 | ||||||||||||||||
GSC | 0 | (91,412 | ) | 0 | (91,412 | ) | 123,506 | 32,094 | ||||||||||||||||
JML | 0 | (39,203 | ) | 0 | (39,203 | ) | 48,714 | 9,511 | ||||||||||||||||
JPS | 0 | (16,329 | ) | 0 | (16,329 | ) | 24,971 | 8,642 | ||||||||||||||||
MSB | 0 | (107,988 | ) | 0 | (107,988 | ) | 146,340 | 38,352 | ||||||||||||||||
MSC | 0 | (65,421 | ) | 0 | (65,421 | ) | 94,850 | 29,429 | ||||||||||||||||
MYI | 0 | (9,327 | ) | 0 | (9,327 | ) | 10,819 | 1,492 | ||||||||||||||||
NOM | 0 | (69,863 | ) | 0 | (69,863 | ) | 95,385 | 25,522 | ||||||||||||||||
PAR | 0 | (20,660 | ) | 0 | (20,660 | ) | 24,142 | 3,482 | ||||||||||||||||
RBC | 0 | (296,884 | ) | 0 | (296,884 | ) | 366,871 | 69,987 | ||||||||||||||||
RCE | 0 | (31,601 | ) | 0 | (31,601 | ) | 38,107 | 6,506 | ||||||||||||||||
RDR | 65,704 | (3,734 | ) | 0 | 61,970 | (62,493 | ) | (523 | ) | |||||||||||||||
RTA | 0 | (365,041 | ) | 0 | (365,041 | ) | 487,748 | 122,707 | ||||||||||||||||
RYL | 0 | (3,874 | ) | 0 | (3,874 | ) | 4,043 | 169 | ||||||||||||||||
SOG | 0 | (291,714 | ) | 0 | (291,714 | ) | 375,239 | 83,525 | ||||||||||||||||
SSB | 30,243 | 0 | 0 | 30,243 | (30,851 | ) | (608 | ) | ||||||||||||||||
UBS | 73,510 | (343,698 | ) | 0 | (270,188 | ) | 379,514 | 109,326 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
Total Borrowings and Other Financing Transactions | $ | 178,357 | $ | (2,387,267 | ) | $ | 0 | |||||||||||||||||
|
|
|
|
|
|
(5) | Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. The Fund and Subsidiary are recognized as two separate legal entities. As such, exposure cannot be netted. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
72 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
Table of Contents
December 31, 2016 (Unaudited)
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 | $ | (211,255 | ) | $ | (295,565 | ) | $ | (69,791 | ) | $ | (576,611 | ) | ||||||
U.S. Government Agencies | 0 | (4,443 | ) | (2,870 | ) | 0 | (7,313 | ) | ||||||||||||
Non-Agency Mortgage-Backed Securities | 0 | (142,042 | ) | (334,528 | ) | (268,316 | ) | (744,886 | ) | |||||||||||
Asset-Backed Securities | 0 | (338,681 | ) | (177,002 | ) | (511,460 | ) | (1,027,143 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Borrowings | $ | 0 | $ | (696,421 | ) | $ | (809,965 | ) | $ | (849,567 | ) | $ | (2,355,953 | ) | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Gross amount of recognized liabilities for reverse repurchase agreements(6) |
| $ | (2,355,953 | ) | ||||||||||||||||
|
|
(6) | Unsettled reverse repurchase agreements liability of $(31,314) is outstanding at period end. |
(l) FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED
SWAP AGREEMENTS:
CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION(1)
Reference Entity | Fixed Receive Rate | Maturity Date | Implied Credit Spread at December 31, 2016(2) | Notional Amount(3) | Market Value(4) | Unrealized Appreciation | Variation Margin | |||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||
Navient Corp. | 5.000 | % | 09/20/2020 | 2.713 | % | $ | 200 | $ 16 | $ | 8 | $ | 0 | $ | 0 | ||||||||||||||||||
Navient Corp. | 5.000 | 12/20/2021 | 3.595 | 400 | 26 | 24 | 0 | 0 | ||||||||||||||||||||||||
Sprint Communications, Inc. | 5.000 | 12/20/2021 | 3.462 | 13,300 | 917 | 668 | 31 | 0 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
$ 959 | $ | 700 | $ | 31 | $ | 0 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION(1)
Index/Tranches | Fixed Receive Rate | Maturity Date | Notional Amount(3) | Market Value(4) | Unrealized Appreciation | Variation Margin | ||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||
CDX.HY-27 5-Year Index | 5.000 | % | 12/20/2021 | $ | 500 | $ | 32 | $ | 4 | $ | 1 | $ | 0 | |||||||||||||||
|
|
|
|
|
|
|
|
(1) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues as of period end serve as an indicator 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 on credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced indices’ credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
INTEREST RATE SWAPS
Pay/Receive Floating Rate | Floating Rate Index | Fixed Rate | Maturity Date | Notional Amount | Market Value | Unrealized Appreciation/ (Depreciation) | Variation Margin | |||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||
Pay | 3-Month CAD-Bank Bill | 3.300 | % | 06/19/2024 | CAD 102,200 | $ | 8,851 | $ | 4,105 | $ | 244 | $ | 0 | |||||||||||||||||
Receive | 3-Month CAD-Bank Bill | 3.500 | 06/20/2044 | 46,900 | (8,751 | ) | (7,080 | ) | 0 | (406 | ) | |||||||||||||||||||
Pay | 3-Month USD-LIBOR | 1.750 | 12/21/2023 | $ 509,000 | (14,235 | ) | (23,826 | ) | 1,026 | 0 | ||||||||||||||||||||
Receive | 3-Month USD-LIBOR | 1.750 | 12/21/2026 | 801,000 | (44,700 | ) | (64,087 | ) | 2,735 | 0 | ||||||||||||||||||||
Receive | 3-Month USD-LIBOR | 2.500 | 06/15/2036 | 193,000 | 2,753 | 21,999 | 0 | (1,162 | ) | |||||||||||||||||||||
Receive | 3-Month USD-LIBOR | 2.500 | 06/15/2046 | 406,700 | 6,929 | 56,835 | 0 | (3,618 | ) | |||||||||||||||||||||
Pay | 6-Month AUD-BBR-BBSW | 3.631 | 03/06/2019 | AUD 150,000 | 3,775 | 3,775 | 115 | 0 | ||||||||||||||||||||||
Pay | 6-Month AUD-BBR-BBSW | 3.635 | 03/06/2019 | 175,000 | 4,416 | 4,415 | 134 | 0 | ||||||||||||||||||||||
Pay | 6-Month AUD-BBR-BBSW | 3.500 | 06/17/2025 | 41,800 | 1,379 | 344 | 180 | 0 | ||||||||||||||||||||||
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|
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|
| |||||||||||||||||||||||
$ | (39,583 | ) | $ | (3,520 | ) | $ | 4,434 | $ | (5,186 | ) | ||||||||||||||||||||
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|
|
|
|
|
|
| |||||||||||||||||||||||
Total Swap Agreements | $ | (38,592 | ) | $ | (2,816 | ) | $ | 4,466 | $ | (5,186 | ) | |||||||||||||||||||
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|
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2016 | 73 |
Table of Contents
Consolidated Schedule of Investments PIMCO Dynamic Credit and Mortgage 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, 2016:
(m) | Securities with an aggregate market value of $50,037 and cash of $71,336 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2016. |
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 | $ | 4,466 | $ | 4,466 | $ | 0 | $ | 0 | $ | (5,186) | $ | (5,186) | ||||||||||||||||||||
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(n) FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER
FORWARD FOREIGN CURRENCY CONTRACTS:
Counterparty | Settlement Month | Currency to be Delivered | Currency to be Received | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||
AZD | 01/2017 | AUD | 1,628 | $ | 1,177 | $ | 2 | $ | 0 | |||||||||||||||
BOA | 01/2017 | $ | 105,579 | EUR | 101,518 | 1,300 | 0 | |||||||||||||||||
02/2017 | EUR | 101,518 | $ | 105,726 | 0 | (1,295 | ) | |||||||||||||||||
BPS | 01/2017 | BRL | 67,384 | 19,214 | 0 | (1,489 | ) | |||||||||||||||||
01/2017 | EUR | 97,808 | 103,739 | 766 | 0 | |||||||||||||||||||
01/2017 | $ | 20,676 | BRL | 67,384 | 28 | 0 | ||||||||||||||||||
01/2017 | 1,502 | EUR | 1,436 | 10 | 0 | |||||||||||||||||||
CBK | 01/2017 | EUR | 526 | $ | 559 | 6 | (1 | ) | ||||||||||||||||
GLM | 01/2017 | 7,712 | 8,086 | 16 | (49 | ) | ||||||||||||||||||
01/2017 | GBP | 95,265 | 118,700 | 1,287 | 0 | |||||||||||||||||||
01/2017 | $ | 1,014 | CAD | 1,330 | 0 | (23 | ) | |||||||||||||||||
JPM | 01/2017 | AUD | 6,582 | $ | 4,857 | 107 | 0 | |||||||||||||||||
01/2017 | CAD | 3,584 | 2,697 | 27 | 0 | |||||||||||||||||||
01/2017 | GBP | 157 | 199 | 5 | 0 | |||||||||||||||||||
01/2017 | $ | 1,387 | CAD | 1,861 | 0 | (1 | ) | |||||||||||||||||
01/2017 | 2,235 | EUR | 2,103 | 0 | (21 | ) | ||||||||||||||||||
01/2017 | 5,606 | JPY | 658,983 | 33 | 0 | |||||||||||||||||||
02/2017 | JPY | 658,983 | $ | 5,613 | 0 | (34 | ) | |||||||||||||||||
MSB | 01/2017 | $ | 3,856 | AUD | 5,181 | 0 | (118 | ) | ||||||||||||||||
NAB | 01/2017 | GBP | 1,024 | $ | 1,284 | 22 | 0 | |||||||||||||||||
RBC | 01/2017 | 472 | 602 | 20 | 0 | |||||||||||||||||||
SCX | 01/2017 | JPY | 658,983 | 5,897 | 258 | 0 | ||||||||||||||||||
01/2017 | $ | 1,030 | EUR | 989 | 11 | 0 | ||||||||||||||||||
01/2017 | 1,615 | GBP | 1,269 | 0 | (51 | ) | ||||||||||||||||||
SOG | 01/2017 | 119,229 | 96,709 | 0 | (36 | ) | ||||||||||||||||||
02/2017 | GBP | 96,709 | $ | 119,310 | 33 | 0 | ||||||||||||||||||
TOR | 01/2017 | BRL | 64,390 | 19,757 | 0 | (27 | ) | |||||||||||||||||
01/2017 | GBP | 1,945 | 2,409 | 12 | 0 | |||||||||||||||||||
01/2017 | $ | 18,983 | BRL | 64,390 | 801 | 0 | ||||||||||||||||||
UAG | 01/2017 | 1,085 | GBP | 885 | 6 | 0 | ||||||||||||||||||
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|
| |||||||||||||||||||||
Total Forward Foreign Currency Contracts | $ | 4,750 | $ | (3,145 | ) | |||||||||||||||||||
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|
|
SWAP AGREEMENTS:
CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION(1)
Counterparty | Reference Entity | Fixed Receive Rate | Maturity Date | Implied Credit Spread at December 31, 2016(2) | Notional Amount(3) | Premiums (Received) | Unrealized Appreciation/ (Depreciation) | Swap Agreements, at Value | ||||||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||||||
BPS | Petrobras Global Finance BV | 1.000 | % | 03/20/2019 | 2.831 | % | $ | 20,000 | $ | (1,735 | ) | $ | 958 | $ | 0 | $ | (777 | ) | ||||||||||||||||||||
BRC | Banco Espirito Santo S.A. | 5.000 | 12/20/2020 | 20.084 | EUR | 2,500 | (222 | ) | (584 | ) | 0 | (806 | ) | |||||||||||||||||||||||||
GST | Petrobras Global Finance BV | 1.000 | 03/20/2019 | 2.831 | $ | 15,000 | (1,295 | ) | 712 | 0 | (583 | ) | ||||||||||||||||||||||||||
Petrobras Global Finance BV | 1.000 | 09/20/2020 | 4.072 | 1,120 | (163 | ) | 46 | 0 | (117 | ) | ||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||||
$ | (3,415 | ) | $ | 1,132 | $ | 0 | $ | (2,283 | ) | |||||||||||||||||||||||||||||
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74 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
Table of Contents
December 31, 2016 (Unaudited)
CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION(1)
Counterparty | Index/Tranches | Fixed Receive Rate | Maturity Date | Notional Amount(3) | Premiums (Received) | Unrealized Appreciation | Swap Agreements, at Value(4) | |||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||
BRC | ABX.HE.AAA.6-2 Index | 0.110% | 05/25/2046 | $ | 10,969 | $ | (2,433 | ) | $ | 980 | $ | 0 | $ | (1,453 | ) | |||||||||||||||
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|
|
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|
|
| |||||||||||||||||||||||
Total Swap Agreements | $ | (5,848 | ) | $ | 2,112 | $ | 0 | $ | (3,736 | ) | ||||||||||||||||||||
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(1) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues as of period end serve as an indicator 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 on credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced indices’ credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
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, 2016:
(o) | Securities with an aggregate market value of $3,689 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2016. |
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||||||||||||||||||
Counterparty | Forward Foreign Currency Contracts | Purchased Options | Swap Agreements | Total Over the Counter | Forward Foreign Currency Contracts | Written Options | Swap Agreements | Total Over the Counter | Net Market Value of OTC Derivatives | Collateral Pledged/ (Received) | Net Exposure(5) | |||||||||||||||||||||||||||||||||||||
AZD | $ | 2 | $ | 0 | $ | 0 | $ | 2 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 2 | $ | 0 | $ | 2 | ||||||||||||||||||||||||||
BOA | 1,300 | 0 | 0 | 1,300 | (1,295 | ) | 0 | 0 | (1,295 | ) | 5 | 0 | 5 | |||||||||||||||||||||||||||||||||||
BPS | 804 | 0 | 0 | 804 | (1,489 | ) | 0 | (777 | ) | (2,266 | ) | (1,462 | ) | 826 | (636 | ) | ||||||||||||||||||||||||||||||||
BRC | 0 | 0 | 0 | 0 | 0 | 0 | (2,259 | ) | (2,259 | ) | (2,259 | ) | 2,260 | 1 | ||||||||||||||||||||||||||||||||||
CBK | 6 | 0 | 0 | 6 | (1 | ) | 0 | 0 | (1 | ) | 5 | 0 | 5 | |||||||||||||||||||||||||||||||||||
GLM | 1,303 | 0 | 0 | 1,303 | (72 | ) | 0 | 0 | (72 | ) | 1,231 | (1,930 | ) | (699 | ) | |||||||||||||||||||||||||||||||||
GST | 0 | 0 | 0 | 0 | 0 | 0 | (700 | ) | (700 | ) | (700 | ) | 603 | (97 | ) | |||||||||||||||||||||||||||||||||
JPM | 172 | 0 | 0 | 172 | (56 | ) | 0 | 0 | (56 | ) | 116 | 0 | 116 | |||||||||||||||||||||||||||||||||||
MSB | 0 | 0 | 0 | 0 | (118 | ) | 0 | 0 | (118 | ) | (118 | ) | 0 | (118 | ) | |||||||||||||||||||||||||||||||||
MYC | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | (15 | ) | (15 | ) | |||||||||||||||||||||||||||||||||||
NAB | 22 | 0 | 0 | 22 | 0 | 0 | 0 | 0 | 22 | 0 | 22 | |||||||||||||||||||||||||||||||||||||
RBC | 20 | 0 | 0 | 20 | 0 | 0 | 0 | 0 | 20 | 0 | 20 | |||||||||||||||||||||||||||||||||||||
SCX | 269 | 0 | 0 | 269 | (51 | ) | 0 | 0 | (51 | ) | 218 | (100 | ) | 118 | ||||||||||||||||||||||||||||||||||
SOG | 33 | 0 | 0 | 33 | (36 | ) | 0 | 0 | (36 | ) | (3 | ) | 0 | (3 | ) | |||||||||||||||||||||||||||||||||
TOR | 813 | 0 | 0 | 813 | (27 | ) | 0 | 0 | (27 | ) | 786 | (680 | ) | 106 | ||||||||||||||||||||||||||||||||||
UAG | 6 | 0 | 0 | 6 | 0 | 0 | 0 | 0 | 6 | 0 | 6 | |||||||||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||||||
Total Over the Counter | $ | 4,750 | $ | 0 | $ | 0 | $ | 4,750 | $ | (3,145 | ) | $ | 0 | $ | (3,736 | ) | $ | (6,881 | ) | |||||||||||||||||||||||||||||
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(5) | Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC derivatives can only be netted across transactions governed under the same master agreement with the same legal entity. The Fund and Subsidiary are recognized as two separate legal entities. As such, exposure cannot be netted. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting agreements. |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2016 | 75 |
Table of Contents
Consolidated Schedule of Investments PIMCO Dynamic Credit and Mortgage Income Fund (Cont.)
FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS
The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal Risks, in the Notes to Financial Statements on risks of the Fund.
Fair Values of Financial Derivative Instruments on the Consolidated Statements of Assets and Liabilities as of December 31, 2016:
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 | $ | 32 | $ | 0 | $ | 0 | $ | 4,434 | $ | 4,466 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Over the counter | ||||||||||||||||||||||||
Forward Foreign Currency Contracts | $ | 0 | $ | 0 | $ | 0 | $ | 4,750 | $ | 0 | $ | 4,750 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 0 | $ | 32 | $ | 0 | $ | 4,750 | $ | 4,434 | $ | 9,216 | |||||||||||||
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|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Financial Derivative Instruments - Liabilities | ||||||||||||||||||||||||
Exchange-traded or centrally cleared | ||||||||||||||||||||||||
Swap Agreements | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 5,186 | $ | 5,186 | ||||||||||||
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|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Over the counter | ||||||||||||||||||||||||
Forward Foreign Currency Contracts | $ | 0 | $ | 0 | $ | 0 | $ | 3,145 | $ | 0 | $ | 3,145 | ||||||||||||
Swap Agreements | 0 | 3,736 | 0 | 0 | 0 | 3,736 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 0 | $ | 3,736 | $ | 0 | $ | 3,145 | $ | 0 | $ | 6,881 | |||||||||||||
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|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 0 | $ | 3,736 | $ | 0 | $ | 3,145 | $ | 5,186 | $ | 12,067 | |||||||||||||
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|
|
|
|
|
|
|
|
|
|
|
The effect of Financial Derivative Instruments on the Consolidated Statements of Operations for the period ended December 31, 2016:
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Exchange Contracts | Interest Rate Contracts | Total | |||||||||||||||||||
Net Realized Gain (Loss) on Financial Derivative Instruments |
| |||||||||||||||||||||||
Exchange-traded or centrally cleared | ||||||||||||||||||||||||
Swap Agreements | $ | 0 | $ | 512 | $ | 0 | $ | 0 | $ | 14,420 | $ | 14,932 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Over the counter | ||||||||||||||||||||||||
Forward Foreign Currency Contracts | $ | 0 | $ | 0 | $ | 0 | $ | 33,236 | $ | 0 | $ | 33,236 | ||||||||||||
Swap Agreements | 0 | 325 | 0 | 0 | (2,159 | ) | (1,834 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 0 | $ | 325 | $ | 0 | $ | 33,236 | $ | (2,159 | ) | $ | 31,402 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 0 | $ | 837 | $ | 0 | $ | 33,236 | $ | 12,261 | $ | 46,334 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative Instruments |
| |||||||||||||||||||||||
Exchange-traded or centrally cleared | ||||||||||||||||||||||||
Swap Agreements | $ | 0 | $ | 406 | $ | 0 | $ | 0 | $ | (16,657 | ) | $ | (16,251 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Over the counter | ||||||||||||||||||||||||
Forward Foreign Currency Contracts | $ | 0 | $ | 0 | $ | 0 | $ | (13,637 | ) | $ | 0 | $ | (13,637 | ) | ||||||||||
Swap Agreements | 0 | 2,783 | 0 | 0 | 2,322 | 5,105 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 0 | $ | 2,783 | $ | 0 | $ | (13,637 | ) | $ | 2,322 | $ | (8,532 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 0 | $ | 3,189 | $ | 0 | $ | (13,637 | ) | $ | (14,335 | ) | $ | (24,783 | ) | ||||||||||
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|
76 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
Table of Contents
December 31, 2016 (Unaudited)
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2016 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2016 | ||||||||||||
Investments in Securities, at Value |
| |||||||||||||||
Bank Loan Obligations | $ | 0 | $ | 78,934 | $ | 986 | $ | 79,920 | ||||||||
Corporate Bonds & Notes | ||||||||||||||||
Banking & Finance | 0 | 293,150 | 101,244 | 394,394 | ||||||||||||
Industrials | 0 | 446,018 | 27,499 | 473,517 | ||||||||||||
Utilities | 0 | 184,779 | 0 | 184,779 | ||||||||||||
Municipal Bonds & Notes | ||||||||||||||||
Iowa | 0 | 1,368 | 0 | 1,368 | ||||||||||||
New Jersey | 0 | 0 | 6,521 | 6,521 | ||||||||||||
Virginia | 0 | 76 | 0 | 76 | ||||||||||||
West Virginia | 0 | 12,995 | 0 | 12,995 | ||||||||||||
U.S. Government Agencies | 0 | 28,028 | 0 | 28,028 | ||||||||||||
U.S. Treasury Obligations | 0 | 10,604 | 0 | 10,604 | ||||||||||||
Non-Agency Mortgage-Backed Securities | 0 | 1,426,578 | 0 | 1,426,578 | ||||||||||||
Asset-Backed Securities | 0 | 2,188,198 | 99,088 | 2,287,286 | ||||||||||||
Sovereign Issues | 0 | 7,432 | 0 | 7,432 | ||||||||||||
Common Stocks | ||||||||||||||||
Financials | 0 | 0 | 2,418 | 2,418 | ||||||||||||
Short-Term Instruments | ||||||||||||||||
Repurchase Agreements | 0 | 178,302 | 0 | 178,302 | ||||||||||||
Short-Term Notes | 0 | 56,599 | 0 | 56,599 | ||||||||||||
U.S. Treasury Bills | 0 | 60,124 | 0 | 60,124 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 0 | $ | 4,973,185 | $ | 237,756 | $ | 5,210,941 | ||||||||
|
|
|
|
|
|
|
|
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2016 | ||||||||||||
Financial Derivative Instruments - Assets |
| |||||||||||||||
Exchange-traded or centrally cleared | $ | 0 | $ | 4,466 | $ | 0 | $ | 4,466 | ||||||||
Over the counter | 0 | 4,750 | 0 | 4,750 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 0 | $ | 9,216 | $ | 0 | $ | 9,216 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Financial Derivative Instruments - Liabilities |
| |||||||||||||||
Exchange-traded or centrally cleared | 0 | (5,186 | ) | 0 | (5,186 | ) | ||||||||||
Over the counter | 0 | (6,881 | ) | 0 | (6,881 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 0 | $ | (12,067 | ) | $ | 0 | $ | (12,067 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
Total Financial Derivative Instruments | $ | 0 | $ | (2,851 | ) | $ | 0 | $ | (2,851 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Totals | $ | 0 | $ | 4,970,334 | $ | 237,756 | $ | 5,208,090 | ||||||||
|
|
|
|
|
|
|
|
There were no significant transfers between Levels 1 and 2 during the period ended December 31, 2016.
The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended December 31, 2016:
Category and Subcategory | Beginning Balance at 06/30/2016 | Net Purchases | Net Sales | Accrued Discounts/ (Premiums) | Realized Gain/(Loss) | Net Change in Unrealized Appreciation/ (Depreciation)(1) | Transfers into Level 3 | Transfers out of Level 3 | Ending Balance at 12/31/2016 | Net Change in Unrealized Appreciation/ (Depreciation) on Investments Held at 12/31/2016(1) | ||||||||||||||||||||||||||||||
Investments in Securities, at Value |
| |||||||||||||||||||||||||||||||||||||||
Bank Loan Obligations | $ | 1,726 | $ | 0 | $ | 0 | $ | 3 | $ | 0 | $ | (743 | ) | $ | 0 | $ | 0 | $ | 986 | $ | (743 | ) | ||||||||||||||||||
Corporate Bonds & Notes |
| |||||||||||||||||||||||||||||||||||||||
Banking & Finance | 103,051 | 0 | (1,254 | ) | 36 | (49 | ) | (540 | ) | 0 | 0 | 101,244 | (537 | ) | ||||||||||||||||||||||||||
Industrials | 44,189 | 4,359 | (48 | ) | 133 | 0 | (878 | ) | 0 | (20,256 | ) | 27,499 | (283 | ) | ||||||||||||||||||||||||||
Utilities | 4,493 | 0 | (4,309 | ) | 0 | 0 | (184 | ) | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||||
Municipal Bonds & Notes |
| |||||||||||||||||||||||||||||||||||||||
New Jersey | 6,944 | 0 | (80 | ) | (2 | ) | 0 | (341 | ) | 0 | 0 | 6,521 | (339 | ) | ||||||||||||||||||||||||||
Non-Agency Mortgage-Backed Securities | 18,261 | 0 | 0 | 91 | (2 | ) | 420 | 0 | (18,770 | ) | 0 | 0 | ||||||||||||||||||||||||||||
Asset-Backed Securities | 29,864 | 77,142 | 0 | 859 | 0 | (8,777 | ) | 0 | 0 | 99,088 | (8,777 | ) | ||||||||||||||||||||||||||||
Common Stocks |
| |||||||||||||||||||||||||||||||||||||||
Financials | 1,694 | 0 | 0 | 0 | 0 | 724 | 0 | 0 | 2,418 | 724 | ||||||||||||||||||||||||||||||
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Totals | $ | 210,222 | $ | 81,501 | $ | (5,691 | ) | $ | 1,120 | $ | (51 | ) | $ | (10,319 | ) | $ | 0 | $ | (39,026 | ) | $ | 237,756 | $ | (9,955 | ) | |||||||||||||||
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See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2016 | 77 |
Table of Contents
Consolidated Schedule of Investments PIMCO Dynamic Credit and Mortgage Income Fund (Cont.)
December 31, 2016 (Unaudited)
The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:
Category and Subcategory | Ending Balance at 12/31/2016 | Valuation Technique | Unobservable Inputs | Input Value(s) (% Unless Noted Otherwise) | ||||||||||||
Investments in Securities, at Value | ||||||||||||||||
Bank Loan Obligations | $ | 986 | Other Valuation Techniques(2) | — | — | |||||||||||
Corporate Bonds & Notes |
| |||||||||||||||
Banking & Finance | 41,877 | Proxy Pricing | Base Price | 102.360-108.420 | ||||||||||||
59,367 | Reference Instrument | Spread movement | 63.960-170.000 bps | |||||||||||||
Industrials | 27,499 | Proxy Pricing | Base Price | 99.500-101.000 | ||||||||||||
Municipal Bonds & Notes |
| |||||||||||||||
New Jersey | 6,521 | Proxy Pricing | Base Price | 98.860 | ||||||||||||
Asset-Backed Securities | 99,088 | Proxy Pricing | Base Price | 43.500-99,920 | ||||||||||||
Common Stocks |
| |||||||||||||||
Financials | 2,418 | Other Valuation Techniques(2) | — | — | ||||||||||||
|
| |||||||||||||||
Total | $ | 237,756 | ||||||||||||||
|
|
(1) | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at December 31, 2016 may be due to an investment no longer held or categorized as Level 3 at period end. |
(2) | Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not considered significant to the Fund. |
78 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
Table of Contents
Consolidated Schedule of Investments PIMCO Dynamic Income Fund
December 31, 2016 (Unaudited)
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
INVESTMENTS IN SECURITIES 184.5% | ||||||||||||
BANK LOAN OBLIGATIONS 1.1% | ||||||||||||
Ancestry.com, Inc. |
| |||||||||||
9.250% due 10/19/2024 | $ | 3,100 | $ | 3,172 | ||||||||
OGX |
| |||||||||||
13.000% due 04/10/2049 ^ | 646 | 303 | ||||||||||
Rackspace Hosting, Inc. |
| |||||||||||
4.500% due 11/03/2023 | 5,000 | 5,065 | ||||||||||
Save-A-Lot |
| |||||||||||
7.000% due 11/29/2023 | 5,000 | 4,984 | ||||||||||
|
| |||||||||||
Total Bank Loan Obligations (Cost $13,443) | 13,524 | |||||||||||
|
| |||||||||||
CORPORATE BONDS & NOTES 20.4% | ||||||||||||
BANKING & FINANCE 9.5% | ||||||||||||
AGFC Capital Trust |
| |||||||||||
6.000% due 01/15/2067 (j) | 12,900 | 6,450 | ||||||||||
Barclays Bank PLC |
| |||||||||||
7.625% due 11/21/2022 (j) | 10,100 | 11,104 | ||||||||||
Barclays PLC |
| |||||||||||
6.500% due 09/15/2019 (f)(j) | EUR | 2,300 | 2,356 | |||||||||
7.875% due 09/15/2022 (f) | GBP | 600 | 740 | |||||||||
8.000% due 12/15/2020 (f)(j) | EUR | 2,400 | 2,673 | |||||||||
Cantor Fitzgerald LP |
| |||||||||||
7.875% due 10/15/2019 (j) | $ | 6,540 | 7,248 | |||||||||
Communications Sales & Leasing, Inc. |
| |||||||||||
8.250% due 10/15/2023 (j) | 1,476 | 1,572 | ||||||||||
Exeter Finance Corp. |
| |||||||||||
9.750% due 05/20/2019 | 9,700 | 9,212 | ||||||||||
Jefferies Finance LLC |
| |||||||||||
6.875% due 04/15/2022 | 700 | 679 | ||||||||||
7.500% due 04/15/2021 (j) | 2,500 | 2,485 | ||||||||||
Jefferies LoanCore LLC |
| |||||||||||
6.875% due 06/01/2020 (j) | 3,800 | 3,648 | ||||||||||
KGH Intermediate Holdco LLC |
| |||||||||||
12.000% due 08/08/2019 (h) | 17,195 | 17,027 | ||||||||||
Lloyds Banking Group PLC |
| |||||||||||
7.625% due 06/27/2023 (f) | GBP | 1,500 | 1,941 | |||||||||
7.875% due 06/27/2029 (f)(j) | 3,625 | 4,736 | ||||||||||
Pinnacol Assurance |
| |||||||||||
8.625% due 06/25/2034 (h) | $ | 10,200 | 10,196 | |||||||||
Preferred Term Securities Ltd. |
| |||||||||||
1.343% due 09/23/2035 | 909 | 768 | ||||||||||
Rio Oil Finance Trust |
| |||||||||||
9.250% due 07/06/2024 | 3,077 | 2,908 | ||||||||||
Royal Bank of Scotland Group PLC |
| |||||||||||
7.500% due 08/10/2020 (f)(j) | 7,189 | 6,830 | ||||||||||
8.000% due 08/10/2025 (f)(j) | 4,575 | 4,392 | ||||||||||
8.625% due 08/15/2021 (f)(j) | 2,720 | 2,781 | ||||||||||
Santander UK Group Holdings PLC |
| |||||||||||
7.375% due 06/24/2022 (f)(j) | GBP | 1,700 | 2,109 | |||||||||
Springleaf Finance Corp. |
| |||||||||||
8.250% due 12/15/2020 (j) | $ | 580 | 632 | |||||||||
Tesco Property Finance PLC |
| |||||||||||
6.052% due 10/13/2039 (j) | GBP | 3,373 | 4,316 | |||||||||
TIG FinCo PLC |
| |||||||||||
8.500% due 03/02/2020 | 997 | 1,263 | ||||||||||
8.750% due 04/02/2020 | 400 | 457 | ||||||||||
Toll Road Investors Partnership LP |
| |||||||||||
0.000% due 02/15/2045 (d) | $ | 26,623 | 5,838 | |||||||||
|
| |||||||||||
114,361 | ||||||||||||
|
| |||||||||||
INDUSTRIALS 7.3% | ||||||||||||
Buffalo Thunder Development Authority |
| |||||||||||
0.000% due 11/15/2029 (h) | 2,483 | 1 | ||||||||||
11.000% due 12/09/2022 | 5,598 | 2,659 | ||||||||||
Caesars Entertainment Operating Co., Inc. |
| |||||||||||
9.000% due 02/15/2020 ^(g) | 18,491 | 19,277 | ||||||||||
Carlson Travel, Inc. |
| |||||||||||
6.750% due 12/15/2023 | 400 | 417 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Chesapeake Energy Corp. |
| |||||||||||
4.130% due 04/15/2019 | $ | 57 | $ | 58 | ||||||||
Concordia International Corp. |
| |||||||||||
9.000% due 04/01/2022 (j) | 1,100 | 936 | ||||||||||
Diamond Resorts International, Inc. |
| |||||||||||
10.750% due 09/01/2024 (j) | 5,500 | 5,418 | ||||||||||
Hellenic Railways Organization S.A. |
| |||||||||||
5.014% due 12/27/2017 | EUR | 300 | 309 | |||||||||
Intelsat Luxembourg S.A. |
| |||||||||||
7.750% due 06/01/2021 | $ | 6,000 | 1,995 | |||||||||
8.125% due 06/01/2023 | 8,785 | 2,789 | ||||||||||
Intrepid Aviation Group Holdings LLC |
| |||||||||||
6.875% due 02/15/2019 (j) | 8,490 | 7,641 | ||||||||||
Mallinckrodt International Finance S.A. |
| |||||||||||
4.750% due 04/15/2023 | 1,400 | 1,225 | ||||||||||
Millar Western Forest Products Ltd. |
| |||||||||||
8.500% due 04/01/2021 (j) | 5,214 | 2,894 | ||||||||||
N&W Global Vending SpA |
| |||||||||||
7.000% due 10/15/2023 | EUR | 2,420 | 2,652 | |||||||||
OGX Austria GmbH |
| |||||||||||
8.500% due 06/01/2018 ^ | $ | 16,700 | 0 | |||||||||
Petroleos de Venezuela S.A. |
| |||||||||||
5.500% due 04/12/2037 | 7,000 | 2,590 | ||||||||||
Safeway, Inc. |
| |||||||||||
7.250% due 02/01/2031 | 510 | 499 | ||||||||||
Southern Co. |
| |||||||||||
5.500% due 03/15/2057 | 1,150 | 1,163 | ||||||||||
Spirit Issuer PLC |
| |||||||||||
5.472% due 12/28/2028 (j) | GBP | 12,120 | 15,623 | |||||||||
UCP, Inc. |
| |||||||||||
8.500% due 10/21/2017 | $ | 10,600 | 10,535 | |||||||||
Unique Pub Finance Co. PLC |
| |||||||||||
5.659% due 06/30/2027 | GBP | 2,076 | 2,717 | |||||||||
6.542% due 03/30/2021 | 4,464 | 5,979 | ||||||||||
Urbi Desarrollos Urbanos S.A.B. de C.V. |
| |||||||||||
9.750% due 02/03/2022 ^ | $ | 5,000 | 14 | |||||||||
|
| |||||||||||
87,391 | ||||||||||||
|
| |||||||||||
UTILITIES 3.6% | ||||||||||||
Frontier Communications Corp. |
| |||||||||||
11.000% due 09/15/2025 | 1,330 | 1,378 | ||||||||||
Gazprom Neft OAO Via GPN Capital S.A. |
| |||||||||||
4.375% due 09/19/2022 (j) | 2,000 | 1,983 | ||||||||||
6.000% due 11/27/2023 (j) | 28,000 | 29,820 | ||||||||||
Petrobras Global Finance BV |
| |||||||||||
4.875% due 03/17/2020 (j) | 1,960 | 1,943 | ||||||||||
6.250% due 12/14/2026 | GBP | 1,500 | 1,734 | |||||||||
6.625% due 01/16/2034 | 700 | 755 | ||||||||||
6.750% due 01/27/2041 (j) | $ | 6,246 | 5,278 | |||||||||
6.850% due 06/05/2115 | 1,145 | 933 | ||||||||||
6.875% due 01/20/2040 | 113 | 98 | ||||||||||
|
| |||||||||||
43,922 | ||||||||||||
|
| |||||||||||
Total Corporate Bonds & Notes (Cost $263,621) | 245,674 | |||||||||||
|
| |||||||||||
MUNICIPAL BONDS & NOTES 0.1% | ||||||||||||
ILLINOIS 0.1% | ||||||||||||
Chicago, Illinois General Obligation Bonds, Series 2015 |
| |||||||||||
7.375% due 01/01/2033 | 430 | 446 | ||||||||||
7.750% due 01/01/2042 | 760 | 772 | ||||||||||
|
| |||||||||||
Total Municipal Bonds & Notes (Cost $1,170) | 1,218 | |||||||||||
|
| |||||||||||
U.S. GOVERNMENT AGENCIES 2.3% | ||||||||||||
Fannie Mae |
| |||||||||||
5.164% due 07/25/2041 (a)(j) | 6,848 | 1,073 | ||||||||||
5.314% due 10/25/2040 (a)(j) | 11,111 | 1,444 | ||||||||||
5.594% due 12/25/2037 (a) | 386 | 47 | ||||||||||
5.684% due 03/25/2037 - 04/25/2037 (a)(j) | 23,881 | 4,208 | ||||||||||
5.744% due 02/25/2037 (a) | 254 | 40 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
5.764% due 09/25/2037 (a)(j) | $ | 1,226 | $ | 224 | ||||||||
5.894% due 11/25/2036 (a) | 192 | 30 | ||||||||||
5.964% due 06/25/2037 (a) | 912 | 135 | ||||||||||
5.994% due 10/25/2035 (a)(j) | 3,009 | 539 | ||||||||||
6.224% due 03/25/2038 (a)(j) | 2,594 | 538 | ||||||||||
6.244% due 02/25/2038 (a)(j) | 1,690 | 295 | ||||||||||
6.344% due 06/25/2023 (a)(j) | 2,345 | 258 | ||||||||||
10.674% due 01/25/2041 (j) | 5,985 | 7,204 | ||||||||||
Freddie Mac |
| |||||||||||
5.406% due 10/25/2028 | 2,000 | 2,135 | ||||||||||
5.706% due 05/15/2037 (a) | 233 | 30 | ||||||||||
5.766% due 07/15/2036 (a)(j) | 3,364 | 519 | ||||||||||
5.876% due 09/15/2036 (a)(j) | 1,216 | 218 | ||||||||||
5.996% due 04/15/2036 (a)(j) | 2,138 | 279 | ||||||||||
7.076% due 09/15/2036 (a)(j) | 2,109 | 520 | ||||||||||
9.756% due 03/25/2029 | 2,100 | 2,103 | ||||||||||
11.256% due 10/25/2028 | 500 | 565 | ||||||||||
11.506% due 03/25/2025 | 3,264 | 3,835 | ||||||||||
12.700% due 09/15/2041 (j) | 602 | 790 | ||||||||||
15.115% due 09/15/2034 | 214 | 242 | ||||||||||
|
| |||||||||||
Total U.S. Government Agencies | 27,271 | |||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS 0.5% | ||||||||||||
U.S. Treasury Notes |
| |||||||||||
0.875% due 01/31/2017 | 5,800 | 5,802 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations (Cost $5,802) | 5,802 | |||||||||||
|
| |||||||||||
NON-AGENCY MORTGAGE-BACKED SECURITIES 101.7% | ||||||||||||
Alba PLC |
| |||||||||||
0.633% due 12/15/2038 | GBP | 9,797 | 9,685 | |||||||||
American Home Mortgage Assets Trust |
| |||||||||||
0.874% due 08/25/2037 ^ | $ | 11,572 | 5,956 | |||||||||
1.296% due 11/25/2035 (j) | 2,746 | 2,426 | ||||||||||
American Home Mortgage Investment Trust |
| |||||||||||
0.884% due 09/25/2045 (j) | 7,295 | 6,068 | ||||||||||
1.656% due 02/25/2044 (j) | 9,739 | 6,437 | ||||||||||
Banc of America Alternative Loan Trust |
| |||||||||||
1.156% due 05/25/2035 ^(j) | 988 | 793 | ||||||||||
6.000% due 06/25/2037 (j) | 414 | 357 | ||||||||||
6.000% due 06/25/2046 | 162 | 142 | ||||||||||
Banc of America Commercial Mortgage Trust |
| |||||||||||
5.695% due 07/10/2046 (j) | 3,037 | 3,032 | ||||||||||
Banc of America Funding Trust |
| |||||||||||
0.000% due 06/26/2035 | 10,469 | 8,744 | ||||||||||
0.000% due 07/26/2036 | 14,149 | 7,510 | ||||||||||
0.796% due 08/25/2047 ^ | 8,149 | 6,005 | ||||||||||
0.949% due 04/20/2047 ^(j) | 21,430 | 16,944 | ||||||||||
1.189% due 02/20/2035 (j) | 4,612 | 3,697 | ||||||||||
3.051% due 03/20/2036 ^(j) | 2,320 | 2,001 | ||||||||||
3.229% due 01/20/2047 ^ | 301 | 258 | ||||||||||
3.340% due 01/25/2035 | 490 | 217 | ||||||||||
Banc of America Mortgage Trust |
| |||||||||||
3.082% due 01/25/2036 | 1,083 | 1,014 | ||||||||||
3.247% due 10/20/2046 ^ | 349 | 215 | ||||||||||
Banc of America Re-REMIC Trust |
| |||||||||||
5.743% due 02/17/2051 (j) | 38,264 | 38,827 | ||||||||||
Bancaja Fondo de Titulizacion de Activos |
| |||||||||||
0.057% due 10/25/2037 (j) | EUR | 2,501 | 2,577 | |||||||||
Bayview Commercial Asset Trust |
| |||||||||||
1.186% due 08/25/2034 | $ | 185 | 171 | |||||||||
BCAP LLC Trust |
| |||||||||||
2.728% due 07/26/2045 | 7,018 | 6,158 | ||||||||||
2.905% due 07/26/2035 | 3,473 | 2,976 | ||||||||||
2.982% due 11/26/2035 (j) | 9,467 | 8,316 | ||||||||||
3.076% due 03/26/2035 | 8,051 | 7,688 | ||||||||||
3.082% due 10/26/2035 | 6,052 | 5,178 | ||||||||||
3.153% due 04/26/2037 (j) | 21,389 | 15,452 | ||||||||||
3.158% due 02/26/2036 | 7,693 | 5,467 | ||||||||||
3.190% due 06/26/2036 | 6,414 | 5,167 | ||||||||||
5.500% due 12/26/2035 (j) | 9,744 | 7,813 | ||||||||||
6.000% due 08/26/2037 | 6,034 | 5,181 | ||||||||||
Bear Stearns Adjustable Rate Mortgage Trust |
| |||||||||||
4.640% due 06/25/2047 ^(j) | 5,056 | 4,651 |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2016 | 79 |
Table of Contents
Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.)
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Bear Stearns ALT-A Trust |
| |||||||||||
0.956% due 02/25/2034 (j) | $ | 7,997 | $ | 6,586 | ||||||||
3.478% due 11/25/2035 ^(j) | 23,649 | 18,961 | ||||||||||
3.515% due 09/25/2035 ^(j) | 12,630 | 9,522 | ||||||||||
Bear Stearns Commercial Mortgage Securities Trust |
| |||||||||||
5.273% due 12/11/2038 (j) | 2,928 | 2,936 | ||||||||||
BRAD Resecuritization Trust |
| |||||||||||
2.181% due 03/12/2021 | 26,195 | 1,730 | ||||||||||
6.550% due 03/12/2021 | 4,896 | 4,776 | ||||||||||
Celtic Residential Irish Mortgage Securitisation PLC |
| |||||||||||
0.000% due 11/13/2047 (j) | EUR | 22,036 | 23,026 | |||||||||
0.031% due 12/14/2048 | 6,211 | 6,484 | ||||||||||
0.098% due 04/10/2048 | 8,376 | 8,623 | ||||||||||
Chase Mortgage Finance Trust |
| |||||||||||
2.872% due 01/25/2036 (j) | $ | 14,079 | 13,026 | |||||||||
3.097% due 03/25/2037 ^(j) | 3,980 | 3,449 | ||||||||||
Citigroup Mortgage Loan Trust, Inc. |
| |||||||||||
2.990% due 03/25/2036 ^ | 758 | 710 | ||||||||||
3.073% due 02/25/2036 | 8,380 | 5,434 | ||||||||||
3.299% due 10/25/2035 ^(j) | 6,946 | 5,977 | ||||||||||
3.395% due 09/25/2037 ^(j) | 8,995 | 7,707 | ||||||||||
Commercial Mortgage Loan Trust |
| |||||||||||
6.095% due 12/10/2049 (j) | 3,054 | 1,934 | ||||||||||
Commercial Mortgage Pass-Through Certificates |
| |||||||||||
4.750% due 10/15/2045 | 1,668 | 1,151 | ||||||||||
Commercial Mortgage Trust |
| |||||||||||
5.377% due 12/10/2046 (j) | 2,342 | 2,337 | ||||||||||
Countrywide Alternative Loan Trust |
| |||||||||||
0.774% due 12/25/2035 (a) | 17,747 | 644 | ||||||||||
0.946% due 09/25/2046 ^(j) | 16,463 | 12,607 | ||||||||||
1.314% due 11/25/2035 (j) | 20,256 | 17,314 | ||||||||||
1.554% due 12/25/2035 (a) | 11,706 | 786 | ||||||||||
3.166% due 06/25/2047 | 277 | 217 | ||||||||||
5.500% due 02/25/2020 | 281 | 282 | ||||||||||
5.500% due 07/25/2035 ^(j) | 2,443 | 2,048 | ||||||||||
5.500% due 11/25/2035 ^ | 893 | 746 | ||||||||||
5.500% due 01/25/2036 ^ | 189 | 184 | ||||||||||
5.500% due 04/25/2037 (j) | 3,366 | 2,799 | ||||||||||
5.750% due 01/25/2036 | 308 | 252 | ||||||||||
5.750% due 01/25/2037 ^(j) | 10,578 | 8,622 | ||||||||||
5.750% due 04/25/2037 ^(j) | 3,400 | 3,214 | ||||||||||
6.000% due 06/25/2036 ^(j) | 510 | 449 | ||||||||||
6.000% due 11/25/2036 ^(j) | 534 | 468 | ||||||||||
6.000% due 12/25/2036 | 258 | 175 | ||||||||||
6.000% due 01/25/2037 ^(j) | 2,403 | 2,096 | ||||||||||
6.000% due 02/25/2037 ^ | 1,369 | 949 | ||||||||||
6.000% due 03/25/2037 ^(j) | 16,716 | 11,293 | ||||||||||
6.000% due 04/25/2037 ^(j) | 7,705 | 5,230 | ||||||||||
6.000% due 07/25/2037 ^(j) | 1,994 | 1,929 | ||||||||||
6.394% due 07/25/2036 (a) | 13,849 | 3,663 | ||||||||||
34.463% due 05/25/2037 ^ | 1,464 | 2,358 | ||||||||||
Countrywide Home Loan Mortgage Pass-Through Trust |
| |||||||||||
1.096% due 03/25/2036 | 2,792 | 1,579 | ||||||||||
1.356% due 03/25/2035 | 232 | 200 | ||||||||||
2.626% due 03/25/2046 ^ | 14,329 | 8,289 | ||||||||||
2.987% due 11/20/2035 (j) | 12,761 | 10,777 | ||||||||||
4.916% due 06/25/2047 ^(j) | 9,168 | 8,078 | ||||||||||
5.000% due 11/25/2035 ^ | 67 | 56 | ||||||||||
5.500% due 12/25/2034 | 165 | 155 | ||||||||||
5.500% due 11/25/2035 ^ | 82 | 73 | ||||||||||
6.000% due 07/25/2037 ^ | 344 | 288 | ||||||||||
6.000% due 08/25/2037 (j) | 8,200 | 6,937 | ||||||||||
6.000% due 08/25/2037 ^ | 4 | 3 | ||||||||||
Credit Suisse Commercial Mortgage Trust |
| |||||||||||
6.500% due 07/26/2036 ^(j) | 13,923 | 7,815 | ||||||||||
Credit Suisse Mortgage Capital Certificates |
| |||||||||||
2.785% due 07/26/2049 (j) | 9,426 | 7,182 | ||||||||||
3.069% due 04/26/2035 (j) | 25,688 | 21,103 | ||||||||||
3.120% due 02/27/2047 (j) | 60,561 | 38,512 | ||||||||||
4.341% due 07/26/2037 (j) | 12,744 | 10,355 | ||||||||||
5.692% due 04/16/2049 (j) | 10,000 | 9,988 | ||||||||||
7.000% due 08/26/2036 | 18,021 | 8,470 | ||||||||||
7.000% due 08/27/2036 | 4,280 | 2,658 | ||||||||||
Credit Suisse Mortgage Capital Mortgage-Backed Trust |
| |||||||||||
5.896% due 04/25/2036 (j) | 9,566 | 7,059 | ||||||||||
Debussy PLC |
| |||||||||||
5.930% due 07/12/2025 | GBP | 21,250 | 25,914 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
8.250% due 07/12/2025 | GBP | 5,000 | $ | 5,574 | ||||||||
Deutsche ALT-A Securities, Inc. |
| |||||||||||
6.000% due 10/25/2021 ^ | $ | 928 | 822 | |||||||||
Diversity Funding Ltd. |
| |||||||||||
1.483% due 02/10/2046 | GBP | 402 | 493 | |||||||||
1.983% due 02/10/2046 | 1,193 | 1,235 | ||||||||||
2.483% due 02/10/2046 | 1,170 | 1,069 | ||||||||||
3.733% due 02/10/2046 | 702 | 299 | ||||||||||
4.233% due 02/10/2046 ^ | 234 | 0 | ||||||||||
Emerald Mortgages PLC |
| |||||||||||
0.000% due 07/15/2048 (j) | EUR | 23,952 | 24,730 | |||||||||
Epic Drummond Ltd. |
| |||||||||||
0.000% due 01/25/2022 | 3,658 | 3,810 | ||||||||||
First Horizon Alternative Mortgage Securities Trust |
| |||||||||||
2.855% due 08/25/2035 ^ | $ | 4,005 | 818 | |||||||||
6.344% due 11/25/2036 (a) | 1,739 | 495 | ||||||||||
First Horizon Mortgage Pass-Through Trust |
| |||||||||||
5.500% due 08/25/2037 ^ | 646 | 528 | ||||||||||
Fondo de Titulizacion de Activos UCI |
| |||||||||||
0.000% due 06/16/2049 | EUR | 1,713 | 1,489 | |||||||||
GreenPoint Mortgage Funding Trust |
| |||||||||||
0.956% due 12/25/2046 ^ | $ | 4,633 | 3,376 | |||||||||
Grifonas Finance PLC |
| |||||||||||
0.088% due 08/28/2039 | EUR | 13,062 | 10,415 | |||||||||
GSR Mortgage Loan Trust |
| |||||||||||
3.428% due 11/25/2035 | $ | 294 | 258 | |||||||||
6.500% due 08/25/2036 ^ | 1,078 | 807 | ||||||||||
HarborView Mortgage Loan Trust |
| |||||||||||
0.976% due 03/19/2036 (j) | 22,561 | 16,555 | ||||||||||
0.986% due 01/19/2036 (j) | 10,609 | 7,036 | ||||||||||
1.389% due 06/20/2035 (j) | 12,705 | 11,502 | ||||||||||
1.639% due 06/20/2035 (j) | 2,891 | 2,080 | ||||||||||
Hipocat FTA |
| |||||||||||
0.000% due 10/24/2039 | EUR | 7,129 | 6,066 | |||||||||
0.000% due 01/15/2050 | 7,065 | 5,929 | ||||||||||
Impac CMB Trust |
| |||||||||||
1.476% due 10/25/2034 | $ | 331 | 292 | |||||||||
Impac Secured Assets Trust |
| |||||||||||
0.866% due 05/25/2037 ^ | 20 | 15 | ||||||||||
IndyMac Mortgage Loan Trust |
| |||||||||||
0.956% due 11/25/2046 (j) | 9,068 | 7,555 | ||||||||||
1.006% due 02/25/2037 | 4,700 | 3,109 | ||||||||||
1.056% due 07/25/2036 | 767 | 595 | ||||||||||
3.215% due 06/25/2037 ^(j) | 6,738 | 5,408 | ||||||||||
3.374% due 02/25/2035 | 470 | 411 | ||||||||||
4.251% due 03/25/2037 | 79 | 69 | ||||||||||
JPMorgan Alternative Loan Trust |
| |||||||||||
0.956% due 06/25/2037 (j) | 41,872 | 23,908 | ||||||||||
2.959% due 11/25/2036 ^(j) | 3,454 | 3,438 | ||||||||||
5.960% due 12/25/2036 ^(j) | 9,347 | 8,246 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust |
| |||||||||||
1.660% due 06/15/2045 (a)(j) | 51,030 | 2,964 | ||||||||||
5.502% due 01/12/2043 (j) | 3,265 | 3,271 | ||||||||||
5.524% due 12/15/2044 (j) | 10,584 | 10,558 | ||||||||||
6.152% due 02/12/2051 (j) | 3,000 | 3,023 | ||||||||||
JPMorgan Mortgage Trust |
| |||||||||||
3.009% due 06/25/2037 ^(j) | 6,862 | 6,065 | ||||||||||
3.058% due 10/25/2036 | 1,586 | 1,353 | ||||||||||
Lavender Trust |
| |||||||||||
5.500% due 09/26/2035 | 6,808 | 5,924 | ||||||||||
6.000% due 11/26/2036 | 14,877 | 11,380 | ||||||||||
LB-UBS Commercial Mortgage Trust |
| |||||||||||
0.482% due 02/15/2040 (a) | 117,321 | 107 | ||||||||||
5.752% due 02/15/2040 | 1,700 | 1,689 | ||||||||||
5.872% due 06/15/2038 | 3,947 | 3,952 | ||||||||||
Lehman Mortgage Trust |
| |||||||||||
5.500% due 11/25/2035 ^ | 94 | 88 | ||||||||||
6.000% due 08/25/2036 ^ | 1,348 | 1,213 | ||||||||||
6.000% due 09/25/2036 ^(j) | 910 | 766 | ||||||||||
6.500% due 09/25/2037 ^(j) | 5,650 | 4,239 | ||||||||||
7.250% due 09/25/2037 ^(j) | 33,775 | 16,950 | ||||||||||
Lehman XS Trust |
| |||||||||||
1.036% due 07/25/2037 | 24,663 | 8,833 | ||||||||||
1.256% due 07/25/2047 | 3,672 | 1,454 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
MASTR Adjustable Rate Mortgages Trust |
| |||||||||||
0.956% due 05/25/2047 (j) | $ | 25,284 | $ | 19,608 | ||||||||
1.096% due 05/25/2047 ^ | 4,806 | 2,271 | ||||||||||
MASTR Alternative Loan Trust |
| |||||||||||
1.106% due 03/25/2036 | 22,885 | 4,349 | ||||||||||
1.156% due 03/25/2036 | 30,249 | 5,845 | ||||||||||
Merrill Lynch Mortgage Investors Trust |
| |||||||||||
3.147% due 05/25/2036 (j) | 10,376 | 8,430 | ||||||||||
Morgan Stanley Capital Trust |
| |||||||||||
5.690% due 04/15/2049 (j) | 17,700 | 17,357 | ||||||||||
Morgan Stanley Re-REMIC Trust |
| |||||||||||
2.807% due 01/26/2035 (j) | 11,082 | 9,969 | ||||||||||
2.807% due 02/26/2037 | 6,285 | 5,456 | ||||||||||
2.994% due 07/26/2035 (j) | 26,634 | 22,812 | ||||||||||
3.043% due 09/26/2035 | 4,998 | 4,518 | ||||||||||
6.000% due 04/26/2036 | 7,969 | 7,637 | ||||||||||
Newgate Funding PLC |
| |||||||||||
0.573% due 12/15/2050 | GBP | 1,955 | 2,070 | |||||||||
0.934% due 12/15/2050 | EUR | 2,210 | 2,001 | |||||||||
1.184% due 12/15/2050 | 4,219 | 3,624 | ||||||||||
1.623% due 12/15/2050 | GBP | 3,335 | 3,635 | |||||||||
Nomura Resecuritization Trust |
| |||||||||||
9.260% due 09/26/2035 | $ | 4,498 | 3,451 | |||||||||
NovaStar Mortgage Funding Trust |
| |||||||||||
0.782% due 09/25/2046 (j) | 717 | 589 | ||||||||||
RBSSP Resecuritization Trust |
| |||||||||||
2.625% due 07/26/2045 (j) | 20,150 | 16,691 | ||||||||||
3.121% due 05/26/2037 (j) | 10,085 | 7,739 | ||||||||||
6.000% due 03/26/2036 ^(j) | 9,056 | 7,332 | ||||||||||
Residential Accredit Loans, Inc. Trust |
| |||||||||||
0.936% due 07/25/2036 (j) | 13,214 | 8,716 | ||||||||||
0.946% due 05/25/2037 (j) | 22,496 | 18,742 | ||||||||||
1.567% due 01/25/2046 ^(j) | 8,771 | 6,570 | ||||||||||
4.659% due 01/25/2036 (j) | 1,079 | 842 | ||||||||||
6.000% due 08/25/2035 ^ | 1,006 | 916 | ||||||||||
6.000% due 06/25/2036 | 485 | 417 | ||||||||||
6.000% due 09/25/2036 ^ | 6,346 | 4,242 | ||||||||||
7.000% due 10/25/2037 (j) | 13,098 | 11,135 | ||||||||||
Residential Asset Securitization Trust |
| |||||||||||
5.500% due 07/25/2035 (j) | 1,003 | 904 | ||||||||||
6.250% due 08/25/2037 ^ | 4,640 | 2,559 | ||||||||||
Residential Funding Mortgage Securities, Inc. Trust |
| |||||||||||
4.679% due 08/25/2036 ^(j) | 3,077 | 2,689 | ||||||||||
5.850% due 11/25/2035 ^ | 223 | 211 | ||||||||||
6.000% due 04/25/2037 ^(j) | 2,235 | 1,989 | ||||||||||
Rite Aid Pass-Through Certificates |
| |||||||||||
6.789% due 01/02/2021 | 10,541 | 10,780 | ||||||||||
RiverView HECM Trust |
| |||||||||||
1.090% due 05/25/2047 | 9,022 | 7,201 | ||||||||||
Sequoia Mortgage Trust |
| |||||||||||
1.109% due 07/20/2036 | 3,573 | 2,209 | ||||||||||
1.939% due 10/20/2027 | 1,157 | 983 | ||||||||||
Southern Pacific Securities PLC |
| |||||||||||
3.876% due 12/10/2042 | GBP | 2,722 | 3,569 | |||||||||
Structured Adjustable Rate Mortgage Loan Trust |
| |||||||||||
3.043% due 04/25/2047 (j) | $ | 3,398 | 2,619 | |||||||||
3.285% due 08/25/2036 (j) | 4,111 | 2,132 | ||||||||||
4.153% due 02/25/2037 ^(j) | 14,170 | 10,518 | ||||||||||
Structured Asset Mortgage Investments Trust |
| |||||||||||
0.926% due 03/25/2037 ^ | 2,297 | 781 | ||||||||||
0.946% due 07/25/2046 ^(j) | 23,389 | 19,493 | ||||||||||
3.162% due 02/25/2036 (j) | 6,433 | 4,623 | ||||||||||
SunTrust Alternative Loan Trust |
| |||||||||||
6.394% due 04/25/2036 ^(a) | 5,729 | 1,877 | ||||||||||
TBW Mortgage-Backed Trust |
| |||||||||||
6.500% due 07/25/2036 (j) | 23,594 | 12,909 | ||||||||||
Theatre Hospitals PLC |
| |||||||||||
3.401% due 10/15/2031 | GBP | 6,000 | 7,042 | |||||||||
3.401% due 10/15/2031 (j) | 12,152 | 14,264 | ||||||||||
4.151% due 10/15/2031 | 847 | 997 | ||||||||||
WaMu Mortgage Pass-Through Certificates Trust |
| |||||||||||
1.176% due 06/25/2044 | $ | 320 | 299 | |||||||||
1.317% due 06/25/2047 ^ | 8,566 | 2,891 | ||||||||||
1.351% due 07/25/2047 (j) | 27,730 | 23,998 | ||||||||||
1.447% due 10/25/2046 ^ | 619 | 524 |
80 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
Table of Contents
December 31, 2016 (Unaudited)
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
1.567% due 02/25/2046 | $ | 80 | $ | 74 | ||||||||
1.723% due 07/25/2047 ^(j) | 965 | 740 | ||||||||||
3.894% due 03/25/2037 ^(j) | 5,460 | 4,980 | ||||||||||
4.211% due 02/25/2037 ^ | 375 | 354 | ||||||||||
Washington Mutual Mortgage Pass-Through Certificates Trust |
| |||||||||||
0.996% due 01/25/2047 ^(j) | 14,916 | 12,106 | ||||||||||
1.356% due 07/25/2036 ^(j) | 8,932 | 4,968 | ||||||||||
6.000% due 04/25/2037 ^(j) | 5,056 | 4,605 | ||||||||||
Wells Fargo Alternative Loan Trust |
| |||||||||||
3.139% due 07/25/2037 ^(j) | 6,348 | 5,409 | ||||||||||
5.750% due 07/25/2037 ^(j) | 654 | 582 | ||||||||||
Wells Fargo Mortgage Loan Trust |
| |||||||||||
3.200% due 04/27/2036 (j) | 27,359 | 24,482 | ||||||||||
Wells Fargo Mortgage-Backed Securities Trust |
| |||||||||||
6.000% due 07/25/2036 ^ | 279 | 282 | ||||||||||
6.000% due 09/25/2036 ^ | 550 | 531 | ||||||||||
6.000% due 04/25/2037 ^ | 195 | 193 | ||||||||||
6.000% due 06/25/2037 ^ | 447 | 439 | ||||||||||
|
| |||||||||||
Total Non-Agency Mortgage-Backed Securities (Cost $1,089,463) | 1,222,339 | |||||||||||
|
| |||||||||||
ASSET-BACKED SECURITIES 48.2% | ||||||||||||
Aegis Asset-Backed Securities Trust Mortgage Pass-Through Certificates |
| |||||||||||
2.856% due 09/25/2034 | 740 | 565 | ||||||||||
Airspeed Ltd. |
| |||||||||||
0.974% due 06/15/2032 | 7,653 | 5,988 | ||||||||||
ALM Ltd. |
| |||||||||||
6.380% due 04/16/2027 | 1,500 | 1,404 | ||||||||||
American Money Management Corp. CLO Ltd. |
| |||||||||||
7.931% due 12/09/2026 | 4,200 | 4,129 | ||||||||||
Asset-Backed Funding Certificates Trust |
| |||||||||||
1.806% due 03/25/2034 | 1,521 | 1,411 | ||||||||||
Bear Stearns Asset-Backed Securities Trust |
| |||||||||||
1.306% due 06/25/2036 (j) | 8,846 | 8,026 | ||||||||||
2.253% due 10/25/2036 | 5,862 | 4,219 | ||||||||||
C-BASS CBO Corp. |
| |||||||||||
1.196% due 09/06/2041 | 29,908 | 4,935 | ||||||||||
Carlyle Global Market Strategies CLO Ltd. |
| |||||||||||
6.186% due 04/27/2027 | 1,500 | 1,390 | ||||||||||
Citigroup Mortgage Loan Trust, Inc. |
| |||||||||||
0.916% due 12/25/2036 (j) | 20,066 | 12,476 | ||||||||||
0.976% due 12/25/2036 (j) | 10,992 | 5,947 | ||||||||||
1.016% due 03/25/2037 (j) | 27,987 | 21,504 | ||||||||||
5.204% due 03/25/2036 ^(j) | 2,659 | 1,908 | ||||||||||
5.852% due 05/25/2036 ^(j) | 583 | 362 | ||||||||||
Conseco Finance Securitizations Corp. |
| |||||||||||
9.163% due 03/01/2033 (j) | 9,427 | 8,765 | ||||||||||
Conseco Financial Corp. |
| |||||||||||
7.060% due 02/01/2031 (j) | 5,676 | 5,801 | ||||||||||
7.500% due 03/01/2030 | 9,206 | 7,582 | ||||||||||
Cork Street CLO Designated Activity Co. |
| |||||||||||
0.000% due 11/27/2028 (d) | EUR | 2,667 | 2,325 | |||||||||
3.600% due 11/27/2028 | 1,197 | 1,264 | ||||||||||
4.500% due 11/27/2028 | 1,047 | 1,107 | ||||||||||
6.200% due 11/27/2028 | 1,296 | 1,333 | ||||||||||
Countrywide Asset-Backed Certificates |
| |||||||||||
0.886% due 12/25/2036 ^(j) | $ | 16,920 | 16,732 | |||||||||
0.926% due 06/25/2047 (j) | 6,089 | 5,940 | ||||||||||
0.956% due 04/25/2036 (j) | 1,001 | 997 | ||||||||||
0.956% due 06/25/2037 ^(j) | 11,089 | 8,197 | ||||||||||
0.956% due 06/25/2047 (j) | 28,115 | 21,668 | ||||||||||
1.016% due 01/25/2046 ^ | 34,594 | 14,068 | ||||||||||
1.176% due 06/25/2036 ^(j) | 8,000 | 5,396 | ||||||||||
1.556% due 03/25/2033 | 22 | 21 | ||||||||||
2.136% due 12/25/2032 ^ | 274 | 258 | ||||||||||
4.541% due 02/25/2036 (j) | 207 | 212 | ||||||||||
4.825% due 07/25/2036 | 1,222 | 1,253 | ||||||||||
5.505% due 04/25/2036 (j) | 615 | 611 | ||||||||||
5.588% due 08/25/2036 (j) | 617 | 613 | ||||||||||
Countrywide Asset-Backed Certificates Trust |
| |||||||||||
0.996% due 03/25/2047 (j) | 7,655 | 5,039 | ||||||||||
1.486% due 04/25/2036 (j) | 21,300 | 15,169 | ||||||||||
4.745% due 10/25/2046 ^(j) | 3,155 | 2,853 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Countrywide Home Equity Loan Trust |
| |||||||||||
5.657% due 03/25/2034 | $ | 667 | $ | 2,252 | ||||||||
Credit-Based Asset Servicing and Securitization LLC |
| |||||||||||
5.205% due 10/25/2036 (j) | 10,800 | 10,554 | ||||||||||
CSAB Mortgage-Backed Trust |
| |||||||||||
5.500% due 05/25/2037 ^(j) | 5,273 | 4,743 | ||||||||||
Dekania Europe CDO PLC |
| |||||||||||
0.203% due 09/27/2037 | EUR | 2,682 | 2,396 | |||||||||
EMC Mortgage Loan Trust |
| |||||||||||
1.034% due 12/25/2042 | $ | 121 | 117 | |||||||||
1.054% due 04/25/2042 (j) | 7,192 | 6,922 | ||||||||||
3.006% due 04/25/2042 | 2,813 | 2,312 | ||||||||||
First Franklin Mortgage Loan Trust |
| |||||||||||
1.226% due 11/25/2036 (j) | 5,000 | 3,316 | ||||||||||
1.256% due 12/25/2035 (j) | 23,487 | 17,203 | ||||||||||
Glacier Funding CDO Ltd. |
| |||||||||||
1.146% due 08/04/2035 | 11,584 | 3,226 | ||||||||||
GMAC Mortgage Corp. Home Equity Loan Trust |
| |||||||||||
6.249% due 12/25/2037 (j) | 5,247 | 5,214 | ||||||||||
GSAMP Trust |
| |||||||||||
2.631% due 06/25/2034 (j) | 1,826 | 1,612 | ||||||||||
IndyMac Home Equity Mortgage Loan Asset-Backed Trust |
| |||||||||||
6.792% due 12/25/2031 ^ | 992 | 418 | ||||||||||
JPMorgan Mortgage Acquisition Corp. |
| |||||||||||
1.376% due 12/25/2035 (j) | 16,459 | 12,409 | ||||||||||
KGS Alpha SBA Trust |
| |||||||||||
1.073% due 04/25/2038 (a) | 3,791 | 119 | ||||||||||
Lehman XS Trust |
| |||||||||||
6.170% due 06/24/2046 (j) | 5,111 | 4,870 | ||||||||||
Long Beach Mortgage Loan Trust |
| |||||||||||
0.946% due 02/25/2036 (j) | 13,223 | 8,818 | ||||||||||
1.016% due 08/25/2045 (j) | 38,677 | 33,133 | ||||||||||
1.461% due 11/25/2035 (j) | 13,368 | 7,766 | ||||||||||
1.806% due 02/25/2034 | 180 | 174 | ||||||||||
1.806% due 06/25/2035 (j) | 27,300 | 21,384 | ||||||||||
Magnetite Ltd. |
| |||||||||||
5.830% due 04/15/2026 | 2,100 | 1,948 | ||||||||||
MASTR Asset-Backed Securities Trust |
| |||||||||||
0.906% due 03/25/2036 (j) | 8,042 | 5,014 | ||||||||||
1.136% due 01/25/2036 | 400 | 339 | ||||||||||
Mid-State Capital Corp. Trust |
| |||||||||||
6.742% due 10/15/2040 | 6,636 | 7,075 | ||||||||||
Morgan Stanley ABS Capital, Inc. Trust |
| |||||||||||
0.856% due 11/25/2036 | 2,034 | 1,221 | ||||||||||
1.086% due 02/25/2037 (j) | 6,828 | 4,229 | ||||||||||
1.791% due 01/25/2035 | 2,307 | 1,040 | ||||||||||
Morgan Stanley Home Equity Loan Trust |
| |||||||||||
0.986% due 04/25/2037 (j) | 34,750 | 21,960 | ||||||||||
National Collegiate Commutation Trust |
| |||||||||||
0.000% due 03/25/2038 | 37,800 | 16,790 | ||||||||||
Oakwood Mortgage Investors, Inc. |
| |||||||||||
7.840% due 11/15/2029 (j) | 4,206 | 4,201 | ||||||||||
8.490% due 10/15/2030 ^ | 1,465 | 473 | ||||||||||
Option One Mortgage Loan Trust |
| |||||||||||
1.116% due 01/25/2036 (j) | 20,000 | 13,817 | ||||||||||
Popular ABS Mortgage Pass-Through Trust |
| |||||||||||
2.006% due 08/25/2035 | 3,663 | 3,324 | ||||||||||
Putnam Structured Product Funding Ltd. |
| |||||||||||
9.092% due 02/25/2037 | 789 | 801 | ||||||||||
Residential Asset Mortgage Products Trust |
| |||||||||||
1.559% due 04/25/2034 (j) | 10,167 | 8,988 | ||||||||||
Residential Asset Securities Corp. Trust |
| |||||||||||
0.996% due 08/25/2036 (j) | 11,000 | 7,627 | ||||||||||
Saxon Asset Securities Trust |
| |||||||||||
1.206% due 11/25/2037 (j) | 13,000 | 9,804 | ||||||||||
SLM Student Loan Trust |
| |||||||||||
0.000% due 10/28/2029 (d) | 11 | 9,872 | ||||||||||
0.000% due 01/25/2042 (d) | 9 | 8,968 | ||||||||||
SoFi Professional Loan Program LLC |
| |||||||||||
0.000% due 01/25/2039 (d) | 9,180 | 5,353 | ||||||||||
Soloso CDO Ltd. |
| |||||||||||
1.188% due 10/07/2037 | 4,800 | 1,968 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Sorin Real Estate CDO Ltd. |
| |||||||||||
1.420% due 10/28/2046 | $ | 7,400 | $ | 6,727 | ||||||||
Sound Point CLO Ltd. |
| |||||||||||
5.732% due 01/23/2027 | 1,000 | 915 | ||||||||||
Soundview Home Loan Trust |
| |||||||||||
1.036% due 06/25/2037 (j) | 10,010 | 6,902 | ||||||||||
1.256% due 03/25/2036 (j) | 16,905 | 13,165 | ||||||||||
South Coast Funding Ltd. |
| |||||||||||
1.124% due 01/06/2041 | 10,923 | 2,780 | ||||||||||
1.124% due 01/06/2041 (j) | 154,644 | 39,357 | ||||||||||
Structured Asset Securities Corp. |
| |||||||||||
5.932% due 05/25/2032 ^(j) | 7,112 | 5,942 | ||||||||||
Tropic CDO Ltd. |
| |||||||||||
1.200% due 07/15/2036 | 6,058 | 4,301 | ||||||||||
1.760% due 07/15/2034 | 22,500 | 13,725 | ||||||||||
|
| |||||||||||
Total Asset-Backed Securities | 579,052 | |||||||||||
|
| |||||||||||
SHARES | ||||||||||||
COMMON STOCKS 0.1% | ||||||||||||
CONSUMER DISCRETIONARY 0.0% | ||||||||||||
Desarrolladora Homex S.A.B. de C.V. (b) | 719,113 | 39 | ||||||||||
|
| |||||||||||
ENERGY 0.0% | ||||||||||||
OGX Petroleo e Gas S.A. | 262,786 | 0 | ||||||||||
|
| |||||||||||
FINANCIALS 0.1% | ||||||||||||
TIG FinCo PLC (h) | 662,196 | 604 | ||||||||||
|
| |||||||||||
Total Common Stocks (Cost $5,984) | 643 | |||||||||||
|
| |||||||||||
SHORT-TERM INSTRUMENTS 10.1% | ||||||||||||
REPURCHASE AGREEMENTS (i) 5.3% | ||||||||||||
63,827 | ||||||||||||
|
| |||||||||||
PRINCIPAL AMOUNT (000S) | ||||||||||||
SHORT-TERM NOTES 2.2% | ||||||||||||
Federal Home Loan Bank |
| |||||||||||
0.497% due 01/05/2017 - 01/11/2017 (d)(e) | $ | 24,500 | 24,499 | |||||||||
0.507% due 01/18/2017 (d)(e) | 2,600 | 2,600 | ||||||||||
|
| |||||||||||
27,099 | ||||||||||||
|
| |||||||||||
U.S. TREASURY BILLS 2.6% | ||||||||||||
0.455% due 02/02/2017 - 03/16/2017 (c)(d)(l)(n) | 31,042 | 31,020 | ||||||||||
|
| |||||||||||
Total Short-Term Instruments (Cost $121,946) | 121,946 | |||||||||||
|
| |||||||||||
Total Investments in Securities (Cost $2,099,883) | 2,217,469 | |||||||||||
Total Investments 184.5% (Cost $2,099,883) | $ | 2,217,469 | ||||||||||
Financial Derivative (Cost or Premiums, net $(30,319)) |
| (13,382 | ) | |||||||||
Other Assets and Liabilities, net (83.4)% | (1,002,183 | ) | ||||||||||
|
| |||||||||||
Net Assets 100.0% | $ | 1,201,904 | ||||||||||
|
|
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2016 | 81 |
Table of Contents
Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.)
NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*):
* | A zero balance may reflect actual amounts rounding to less than one thousand. |
^ | Security is in default. |
(a) | Interest only security. |
(b) | Security did not produce income within the last twelve months. |
(c) | Coupon represents a weighted average yield to maturity. |
(d) | Zero coupon security. |
(e) | Coupon represents a yield to maturity. |
(f) | Perpetual maturity; date shown, if applicable, represents next contractual call date. |
(g) | Security is subject to a forbearance agreement entered into by the Fund which forbears the Fund from taking action to, among other things, accelerate and collect payments on the subject note with respect to specified events of default. |
(h) RESTRICTED SECURITIES:
Issuer Description | Acquisition Date | Cost | Market Value | Market Value as Percentage of Net Assets | ||||||||||
Buffalo Thunder Development Authority 0.000% due 11/15/2029 | 12/08/2014 | $ | 0 | $ | 1 | 0.00 | % | |||||||
KGH Intermediate Holdco LLC 12.000% due 08/08/2019 | 08/07/2014 | 16,998 | 17,027 | 1.42 | ||||||||||
Pinnacol Assurance 8.625% due 06/25/2034 | 06/23/2014 | 10,200 | 10,196 | 0.85 | ||||||||||
TIG FinCo PLC | 04/02/2015 | 982 | 604 | 0.05 | ||||||||||
|
|
|
|
|
| |||||||||
$ | 28,180 | $ | 27,828 | 2.32 | % | |||||||||
|
|
|
|
|
|
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(i) 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) | ||||||||||||||||||||||
SSB | 0.010 | % | 12/30/2016 | 01/03/2017 | $ | 6,127 | U.S. Treasury Notes 3.500% due 02/15/2018(2) | $ | (6,250 | ) | $ | 6,127 | $ | 6,127 | ||||||||||||||||
BOS | 0.400 | 12/30/2016 | 01/03/2017 | 4,800 | U.S. Treasury Bonds 2.875% due 05/15/2043 | (5,015 | ) | 4,800 | 4,800 | |||||||||||||||||||||
IND | 0.500 | 12/30/2016 | 01/03/2017 | 52,900 | U.S. Treasury Notes 3.750% due 11/15/2018 | (53,994 | ) | 52,900 | 52,903 | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Total Repurchase Agreements |
| $ | (65,259 | ) | $ | 63,827 | $ | 63,830 | ||||||||||||||||||||||
|
|
|
|
|
|
(1) | Includes accrued interest. |
(2) | Collateral is held in custody by the counterparty. |
REVERSE REPURCHASE AGREEMENTS:
Counterparty | Borrowing Rate(3) | Borrowing Date | Maturity Date | Amount Borrowed(3) | Payable for Reverse Repurchase Agreements | |||||||||||||||||||
BCY | 1.500 | % | 12/16/2016 | TBD | (4) | $ (2,695 | ) | $ (2,697 | ) | |||||||||||||||
1.900 | 11/16/2016 | 02/16/2017 | (4,438 | ) | (4,449 | ) | ||||||||||||||||||
2.364 | 10/05/2016 | 01/05/2017 | (4,290 | ) | (4,315 | ) | ||||||||||||||||||
2.382 | 10/24/2016 | 01/24/2017 | (29,598 | ) | (29,737 | ) | ||||||||||||||||||
2.382 | 11/09/2016 | 02/09/2017 | (5,022 | ) | (5,040 | ) | ||||||||||||||||||
2.411 | 11/21/2016 | 02/21/2017 | (7,182 | ) | (7,203 | ) | ||||||||||||||||||
2.431 | 11/30/2016 | 03/02/2017 | (21,268 | ) | (21,317 | ) | ||||||||||||||||||
2.494 | 12/21/2016 | 03/21/2017 | (22,734 | ) | (22,754 | ) | ||||||||||||||||||
2.846 | 09/22/2016 | 09/22/2017 | (1,431 | ) | (1,442 | ) | ||||||||||||||||||
BOS | 2.457 | 12/16/2016 | 01/18/2017 | (12,231 | ) | (12,246 | ) | |||||||||||||||||
BPG | 2.647 | 01/11/2016 | 01/11/2017 | (3,449 | ) | (3,540 | ) | |||||||||||||||||
2.731 | 03/16/2016 | 03/16/2017 | (22,947 | ) | (23,457 | ) | ||||||||||||||||||
BPS | 1.640 | 10/06/2016 | 01/06/2017 | (1,958 | ) | (1,966 | ) | |||||||||||||||||
1.690 | 07/26/2016 | 01/26/2017 | (1,457 | ) | (1,468 | ) | ||||||||||||||||||
1.700 | 11/07/2016 | 01/31/2017 | (2,457 | ) | (2,464 | ) | ||||||||||||||||||
1.740 | 12/01/2016 | 03/02/2017 | (802 | ) | (803 | ) | ||||||||||||||||||
1.840 | 12/22/2016 | 03/16/2017 | (8,979 | ) | (8,985 | ) | ||||||||||||||||||
2.843 | 12/09/2016 | 06/09/2017 | (7,770 | ) | (7,785 | ) | ||||||||||||||||||
2.843 | 12/12/2016 | 06/09/2017 | (11,843 | ) | (11,864 | ) | ||||||||||||||||||
2.996 | 09/01/2016 | 09/01/2017 | (52,941 | ) | (53,487 | ) | ||||||||||||||||||
BRC | 1.850 | 11/16/2016 | 02/16/2017 | (5,481 | ) | (5,495 | ) | |||||||||||||||||
2.734 | 11/02/2016 | 11/02/2017 | (5,655 | ) | (5,682 | ) |
82 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
Table of Contents
December 31, 2016 (Unaudited)
Counterparty | Borrowing Rate(3) | Borrowing Date | Maturity Date | Amount Borrowed(3) | Payable for Reverse Repurchase Agreements | |||||||||||||||||||
DBL | 3.103 | % | 12/12/2016 | 12/12/2017 | $ | (22,539 | ) | $ | (22,582 | ) | ||||||||||||||
DEU | 1.850 | 11/18/2016 | 02/09/2017 | (2,178 | ) | (2,183 | ) | |||||||||||||||||
FOB | 2.445 | 12/14/2016 | 01/17/2017 | (7,164 | ) | (7,174 | ) | |||||||||||||||||
2.611 | 11/23/2016 | 01/23/2017 | (941 | ) | (944 | ) | ||||||||||||||||||
JML | 1.650 | 12/05/2016 | 01/10/2017 | (1,576 | ) | (1,578 | ) | |||||||||||||||||
1.650 | 12/13/2016 | 01/10/2017 | (18,233 | ) | (18,251 | ) | ||||||||||||||||||
JPS | 2.430 | 11/29/2016 | 03/01/2017 | (5,036 | ) | (5,048 | ) | |||||||||||||||||
MSB | 2.631 | 05/04/2016 | 05/01/2017 | (15,074 | ) | (15,105 | ) | |||||||||||||||||
2.634 | 05/02/2016 | 05/01/2017 | (5,460 | ) | (5,485 | ) | ||||||||||||||||||
2.637 | 04/29/2016 | 05/01/2017 | (27,515 | ) | (27,641 | ) | ||||||||||||||||||
2.680 | 08/25/2016 | 08/25/2017 | (43,390 | ) | (43,511 | ) | ||||||||||||||||||
2.681 | 12/01/2016 | 12/01/2017 | (5,650 | ) | (5,664 | ) | ||||||||||||||||||
2.687 | 08/29/2016 | 08/29/2017 | (76,014 | ) | (76,205 | ) | ||||||||||||||||||
NOM | 2.481 | 08/03/2016 | 02/03/2017 | (8,544 | ) | (8,578 | ) | |||||||||||||||||
2.483 | 08/08/2016 | 02/08/2017 | (16,000 | ) | (16,059 | ) | ||||||||||||||||||
PAR | 0.850 | 11/17/2016 | 01/27/2017 | GBP | (3,428 | ) | (4,229 | ) | ||||||||||||||||
RBC | 2.397 | 11/07/2016 | 05/08/2017 | $ | (8,186 | ) | (8,217 | ) | ||||||||||||||||
2.495 | 08/18/2016 | 02/21/2017 | (3,229 | ) | (3,260 | ) | ||||||||||||||||||
2.550 | 09/26/2016 | 03/27/2017 | (4,002 | ) | (4,030 | ) | ||||||||||||||||||
RCE | 1.193 | 10/14/2016 | 01/16/2017 | GBP | (2,978 | ) | (3,680 | ) | ||||||||||||||||
1.296 | 10/18/2016 | 01/18/2017 | (10,624 | ) | (13,129 | ) | ||||||||||||||||||
RDR | 1.390 | 07/19/2016 | 01/19/2017 | $ | (7,071 | ) | (7,117 | ) | ||||||||||||||||
1.650 | 10/28/2016 | 01/30/2017 | (4,640 | ) | (4,654 | ) | ||||||||||||||||||
1.650 | 11/03/2016 | 02/03/2017 | (7,148 | ) | (7,168 | ) | ||||||||||||||||||
1.650 | 11/07/2016 | 02/07/2017 | (2,745 | ) | (2,752 | ) | ||||||||||||||||||
RTA | 2.208 | 04/13/2016 | 04/12/2017 | (7,491 | ) | (7,613 | ) | |||||||||||||||||
2.222 | 04/07/2016 | 04/06/2017 | (28,555 | ) | (29,033 | ) | ||||||||||||||||||
2.225 | 04/22/2016 | 04/21/2017 | (1,542 | ) | (1,566 | ) | ||||||||||||||||||
2.225 | 05/16/2016 | 05/15/2017 | (37,773 | ) | (38,315 | ) | ||||||||||||||||||
2.227 | 05/12/2016 | 05/11/2017 | (22,824 | ) | (23,157 | ) | ||||||||||||||||||
2.227 | 08/19/2016 | 05/11/2017 | (5,539 | ) | (5,586 | ) | ||||||||||||||||||
2.230 | 04/29/2016 | 04/27/2017 | (8,493 | ) | (8,624 | ) | ||||||||||||||||||
2.244 | 04/28/2016 | 04/27/2017 | (14,071 | ) | (14,290 | ) | ||||||||||||||||||
2.247 | 07/11/2016 | 07/10/2017 | (10,836 | ) | (10,955 | ) | ||||||||||||||||||
2.273 | 07/14/2016 | 07/13/2017 | (34,995 | ) | (35,377 | ) | ||||||||||||||||||
2.285 | 06/10/2016 | 06/09/2017 | (9,683 | ) | (9,810 | ) | ||||||||||||||||||
2.312 | 05/31/2016 | 05/30/2017 | (7,720 | ) | (7,828 | ) | ||||||||||||||||||
2.326 | 07/21/2016 | 07/20/2017 | (4,292 | ) | (4,338 | ) | ||||||||||||||||||
2.359 | 07/27/2016 | 07/25/2017 | (9,206 | ) | (9,303 | ) | ||||||||||||||||||
2.543 | 11/14/2016 | 05/15/2017 | (7,496 | ) | (7,522 | ) | ||||||||||||||||||
2.559 | 09/23/2016 | 03/23/2017 | (11,366 | ) | (11,448 | ) | ||||||||||||||||||
2.559 | 10/28/2016 | 05/01/2017 | (2,820 | ) | (2,833 | ) | ||||||||||||||||||
2.574 | 11/22/2016 | 05/22/2017 | (7,287 | ) | (7,309 | ) | ||||||||||||||||||
2.605 | 11/22/2016 | 11/21/2017 | (14,085 | ) | (14,128 | ) | ||||||||||||||||||
2.645 | 12/08/2016 | 12/07/2017 | (9,910 | ) | (9,929 | ) | ||||||||||||||||||
2.790 | 12/22/2016 | 12/21/2017 | (17,914 | ) | (17,931 | ) | ||||||||||||||||||
SBI | 1.782 | 10/24/2016 | 01/24/2017 | (2,662 | ) | (2,671 | ) | |||||||||||||||||
1.835 | 11/29/2016 | 03/01/2017 | (8,499 | ) | (8,514 | ) | ||||||||||||||||||
SOG | 0.200 | 11/23/2016 | 02/23/2017 | EUR | (3,939 | ) | (4,147 | ) | ||||||||||||||||
0.237 | 10/25/2016 | 01/25/2017 | (2,181 | ) | (2,297 | ) | ||||||||||||||||||
0.385 | 09/23/2016 | 01/23/2017 | (19,884 | ) | (20,954 | ) | ||||||||||||||||||
1.600 | 12/05/2016 | 01/31/2017 | $ | (965 | ) | (966 | ) | |||||||||||||||||
1.650 | 08/26/2016 | 02/27/2017 | (5,017 | ) | (5,047 | ) | ||||||||||||||||||
1.650 | 10/24/2016 | 02/27/2017 | (1,370 | ) | (1,374 | ) | ||||||||||||||||||
1.650 | 11/28/2016 | 02/27/2017 | (2,768 | ) | (2,776 | ) | ||||||||||||||||||
2.526 | 08/05/2016 | 02/06/2017 | (19,997 | ) | (20,077 | ) | ||||||||||||||||||
2.526 | 10/11/2016 | 04/11/2017 | (12,018 | ) | (12,089 | ) | ||||||||||||||||||
2.533 | 11/09/2016 | 05/09/2017 | (3,483 | ) | (3,496 | ) | ||||||||||||||||||
2.540 | 10/27/2016 | 04/27/2017 | (8,294 | ) | (8,334 | ) | ||||||||||||||||||
2.556 | 08/17/2016 | 02/17/2017 | (11,445 | ) | (11,482 | ) | ||||||||||||||||||
2.587 | 11/28/2016 | 05/30/2017 | (27,688 | ) | (27,760 | ) | ||||||||||||||||||
2.613 | 12/14/2016 | 06/14/2017 | (15,819 | ) | (15,842 | ) | ||||||||||||||||||
UBS | 0.480 | 10/18/2016 | 01/18/2017 | EUR | (16,976 | ) | (17,889 | ) | ||||||||||||||||
1.080 | 11/18/2016 | 01/20/2017 | GBP | (3,127 | ) | (3,859 | ) | |||||||||||||||||
1.600 | 10/28/2016 | 01/30/2017 | $ | (1,243 | ) | (1,247 | ) | |||||||||||||||||
1.730 | 11/28/2016 | 02/28/2017 | (5,198 | ) | (5,207 | ) | ||||||||||||||||||
1.830 | 11/14/2016 | 02/14/2017 | (5,834 | ) | (5,849 | ) | ||||||||||||||||||
1.850 | 12/28/2016 | 03/14/2017 | (3,573 | ) | (3,574 | ) | ||||||||||||||||||
2.334 | 10/25/2016 | 01/25/2017 | (2,454 | ) | (2,465 | ) | ||||||||||||||||||
2.374 | 07/05/2016 | 01/05/2017 | (2,316 | ) | (2,344 | ) | ||||||||||||||||||
2.387 | 11/09/2016 | 02/09/2017 | (3,407 | ) | (3,419 | ) | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Reverse Repurchase Agreements |
| $ | (1,023,014 | ) | ||||||||||||||||||||
|
|
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2016 | 83 |
Table of Contents
Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.)
(3) | The average amount of borrowings outstanding during the period ended December 31, 2016 was $(1,034,082) at a weighted average interest rate of 2.151%. |
(4) | Open maturity reverse repurchase agreement. |
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, 2016:
(j) | Securities with an aggregate market value of $1,371,835 and cash of $1,405 have been pledged as collateral under the terms of the following master agreements as of December 31, 2016. |
Counterparty | Repurchase Agreement Proceeds to be Received | Payable for Reverse Repurchase Agreements | Payable for Sale-Buyback Transactions | Total Borrowings and Other Financing Transactions | Collateral Pledged/(Received) | Net Exposure(5) | ||||||||||||||||||
Global/Master Repurchase Agreement |
| |||||||||||||||||||||||
BCY | $ | 0 | $ | (98,954 | ) | $ | 0 | $ | (98,954 | ) | $ | 134,720 | $ | 35,766 | ||||||||||
BOS | 4,800 | (12,246 | ) | 0 | (7,446 | ) | 11,936 | 4,490 | ||||||||||||||||
BPG | 0 | (26,997 | ) | 0 | (26,997 | ) | 36,584 | 9,587 | ||||||||||||||||
BPS | 0 | (88,822 | ) | 0 | (88,822 | ) | 120,708 | 31,886 | ||||||||||||||||
BRC | 0 | (11,177 | ) | 0 | (11,177 | ) | 15,527 | 4,350 | ||||||||||||||||
DBL | 0 | (22,582 | ) | 0 | (22,582 | ) | 39,805 | 17,223 | ||||||||||||||||
DEU | 0 | (2,183 | ) | 0 | (2,183 | ) | 2,781 | 598 | ||||||||||||||||
FOB | 0 | (8,118 | ) | 0 | (8,118 | ) | 9,905 | 1,787 | ||||||||||||||||
IND | 52,903 | 0 | 0 | 52,903 | (53,994 | ) | (1,091 | ) | ||||||||||||||||
JML | 0 | (19,829 | ) | 0 | (19,829 | ) | 24,872 | 5,043 | ||||||||||||||||
JPS | 0 | (5,048 | ) | 0 | (5,048 | ) | 7,120 | 2,072 | ||||||||||||||||
MSC | 0 | (173,611 | ) | 0 | (173,611 | ) | 241,523 | 67,912 | ||||||||||||||||
NOM | 0 | (24,637 | ) | 0 | (24,637 | ) | 30,478 | 5,841 | ||||||||||||||||
PAR | 0 | (4,229 | ) | 0 | (4,229 | ) | 5,277 | 1,048 | ||||||||||||||||
RBC | 0 | (15,507 | ) | 0 | (15,507 | ) | 22,313 | 6,806 | ||||||||||||||||
RCE | 0 | (16,809 | ) | 0 | (16,809 | ) | 19,914 | 3,105 | ||||||||||||||||
RDR | 0 | (21,691 | ) | 0 | (21,691 | ) | 23,012 | 1,321 | ||||||||||||||||
RTA | 0 | (276,895 | ) | 0 | (276,895 | ) | 367,804 | 90,909 | ||||||||||||||||
SBI | 0 | (11,185 | ) | 0 | (11,185 | ) | 13,144 | 1,959 | ||||||||||||||||
SOG | 0 | (136,641 | ) | 0 | (136,641 | ) | 180,412 | 43,771 | ||||||||||||||||
SSB | 6,127 | 0 | 0 | 6,127 | (6,250 | ) | (123 | ) | ||||||||||||||||
UBS | 0 | (45,853 | ) | 0 | (45,853 | ) | 57,667 | 11,814 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
Total Borrowings and Other Financing Transactions | $ | 63,830 | $ | (1,023,014 | ) | $ | 0 | |||||||||||||||||
|
|
|
|
|
|
(5) | Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. The Fund and Subsidiary are recognized as two separate legal entities. As such, exposure cannot be netted. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
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 | $ | (51,197 | ) | $ | (53,319 | ) | $ | (2,697 | ) | $ | (107,213 | ) | ||||||
U.S. Government Agencies | 0 | (6,122 | ) | (9,920 | ) | 0 | (16,042 | ) | ||||||||||||
Non-Agency Mortgage-Backed Securities | 0 | (98,001 | ) | (115,880 | ) | (432,270 | ) | (646,151 | ) | |||||||||||
Asset-Backed Securities | 0 | (12,433 | ) | (55,807 | ) | (185,368 | ) | (253,608 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Borrowings | $ | 0 | $ | (167,753 | ) | $ | (234,926 | ) | $ | (620,335 | ) | $ | (1,023,014 | ) | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Gross amount of recognized liabilities for reverse repurchase agreements |
| $ | (1,023,014 | ) | ||||||||||||||||
|
|
(k) FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED
SWAP AGREEMENTS:
CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION(1)
Reference Entity | Fixed | Maturity | Implied Credit Spread at December 31, 2016(2) | Notional | Market | Unrealized | Variation Margin | |||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||
Navient Corp. | 5.000% | 12/20/2021 | 3.595% | $ | 4,600 | $ 292 | $ | 312 | $ | 5 | $ | 0 | ||||||||||||||||||
|
|
|
|
|
|
|
|
84 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
Table of Contents
December 31, 2016 (Unaudited)
(1) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues as of period end serve as an indicator 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. |
INTEREST RATE SWAPS
Pay/Receive | Floating Rate Index | Fixed Rate | Maturity | Notional | Market | Unrealized | Variation Margin | |||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||
Receive | 3-Month USD-LIBOR | 1.500 | % | 12/21/2021 | $ | 117,200 | $ | (2,686 | ) | $ | (4,349 | ) | $ | 138 | $ | 0 | ||||||||||||||
Receive | 3-Month USD-LIBOR | 4.000 | 06/20/2022 | 134,000 | (13,919 | ) | 12,298 | 0 | (214 | ) | ||||||||||||||||||||
Pay | 3-Month USD-LIBOR | 1.750 | 12/21/2023 | 291,000 | (8,138 | ) | (13,620 | ) | 587 | 0 | ||||||||||||||||||||
Receive | 3-Month USD-LIBOR | 1.750 | 12/21/2026 | 303,000 | (16,909 | ) | (24,342 | ) | 1,034 | 0 | ||||||||||||||||||||
Receive | 3-Month USD-LIBOR | 2.500 | 06/15/2036 | 110,300 | 1,573 | 12,579 | 0 | (664 | ) | |||||||||||||||||||||
Receive | 3-Month USD-LIBOR | 2.750 | 03/20/2043 | 76,400 | (2,490 | ) | (4,021 | ) | 0 | (593 | ) | |||||||||||||||||||
Receive | 3-Month USD-LIBOR | 3.750 | 06/18/2044 | 12,200 | (2,836 | ) | (2,809 | ) | 0 | (107 | ) | |||||||||||||||||||
Receive | 3-Month USD-LIBOR | 3.500 | 12/17/2044 | 44,200 | (8,090 | ) | (5,483 | ) | 0 | (387 | ) | |||||||||||||||||||
Receive | 3-Month USD-LIBOR | 3.250 | 06/17/2045 | 45,600 | (6,033 | ) | (2,303 | ) | 0 | (398 | ) | |||||||||||||||||||
Receive | 3-Month USD-LIBOR | 2.750 | 12/16/2045 | 3,800 | (120 | ) | (164 | ) | 0 | (33 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||
$ | (59,648 | ) | $ | (32,214 | ) | $ | 1,759 | $ | (2,396 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||
Total Swap Agreements |
| $ | (59,356 | ) | $ | (31,902 | ) | $ | 1,764 | $ | (2,396 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
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, 2016:
(l) | Securities with an aggregate market value of $11,243 and cash of $24,038 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2016. |
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||||||
Market Value | Variation Margin Asset | Total | Market Value | Variation Margin Liability | Total | |||||||||||||||||||||||||||||||
Purchased Options | Futures | Swap Agreements | Written Options | Futures | Swap Agreements | |||||||||||||||||||||||||||||||
Total Exchange-Traded or Centrally Cleared | $ | 0 | $ | 0 | $ | 1,764 | $ | 1,764 | $ | 0 | $ | 0 | $ | (2,396) | $ | (2,396) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(m) 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 | 01/2017 | GBP | 195 | $ | 239 | $ | 0 | $ | (1 | ) | ||||||||||||||
01/2017 | $ | 68,927 | EUR | 66,276 | 849 | 0 | ||||||||||||||||||
02/2017 | EUR | 66,276 | $ | 69,023 | 0 | (846 | ) | |||||||||||||||||
BPS | 01/2017 | 71,100 | 75,411 | 557 | 0 | |||||||||||||||||||
01/2017 | GBP | 62,936 | 78,699 | 1,130 | 0 | |||||||||||||||||||
CBK | 01/2017 | $ | 8,570 | EUR | 8,190 | 70 | (17 | ) | ||||||||||||||||
GLM | 01/2017 | BRL | 1,563 | $ | 478 | 0 | (2 | ) | ||||||||||||||||
01/2017 | EUR | 3,987 | 4,184 | 7 | (20 | ) | ||||||||||||||||||
01/2017 | GBP | 14,314 | 17,836 | 193 | 0 | |||||||||||||||||||
01/2017 | $ | 480 | BRL | 1,563 | 1 | 0 | ||||||||||||||||||
01/2017 | 1,008 | GBP | 799 | 0 | (24 | ) | ||||||||||||||||||
JPM | 01/2017 | EUR | 969 | $ | 1,012 | 0 | (8 | ) | ||||||||||||||||
01/2017 | $ | 848 | EUR | 796 | 0 | (10 | ) | |||||||||||||||||
NAB | 01/2017 | GBP | 208 | $ | 261 | 4 | 0 | |||||||||||||||||
RBC | 01/2017 | 610 | 759 | 7 | 0 | |||||||||||||||||||
SCX | 01/2017 | EUR | 7,378 | 7,841 | 73 | 0 |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2016 | 85 |
Table of Contents
Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.)
Counterparty | Settlement Month | Currency to be Delivered | Currency to be Received | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||
SOG | 01/2017 | $ | 94,451 | GBP | 76,611 | $ | 0 | $ | (28 | ) | ||||||||||||||
02/2017 | GBP | 76,611 | $ | 94,516 | 26 | 0 | ||||||||||||||||||
UAG | 01/2017 | EUR | 261 | 278 | 3 | 0 | ||||||||||||||||||
01/2017 | $ | 8,957 | EUR | 8,433 | 0 | (79 | ) | |||||||||||||||||
01/2017 | 1,046 | GBP | 853 | 6 | 0 | |||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Total Forward Foreign Currency Contracts |
| $ | 2,926 | $ | (1,035 | ) | ||||||||||||||||||
|
|
|
|
SWAP AGREEMENTS:
CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION(1)
Counterparty | Reference Entity | Fixed Receive Rate | Maturity Date | Implied Credit Spread at December 31, 2016(2) | Notional Amount(3) | Premiums (Received) | Unrealized Appreciation/ (Depreciation) | Swap Agreements, at Value | ||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||
BPS | Petrobras Global Finance BV | 1.000 | % | 06/20/2021 | 4.502 | % | $ 4,600 | $ | (1,243 | ) | $ | 608 | $ | 0 | $ | (635 | ) | |||||||||||||||||
Petrobras Global Finance BV | 1.000 | 12/20/2021 | 4.729 | 100 | (16 | ) | 0 | 0 | (16 | ) | ||||||||||||||||||||||||
Royal Bank of Scotland PLC | 1.000 | 12/20/2018 | 1.677 | 800 | (20 | ) | 9 | 0 | (11 | ) | ||||||||||||||||||||||||
BRC | Petrobras Global Finance BV | 1.000 | 06/20/2021 | 4.502 | 800 | (218 | ) | 108 | 0 | (110 | ) | |||||||||||||||||||||||
GST | Petrobras Global Finance BV | 1.000 | 06/20/2021 | 4.502 | 3,931 | (1,070 | ) | 528 | 0 | (542 | ) | |||||||||||||||||||||||
Petrobras Global Finance BV | 1.000 | 12/20/2021 | 4.729 | 500 | (78 | ) | (2 | ) | 0 | (80 | ) | |||||||||||||||||||||||
HUS | Petrobras Global Finance BV | 1.000 | 09/20/2020 | 4.072 | 240 | (34 | ) | 9 | 0 | (25 | ) | |||||||||||||||||||||||
Petrobras Global Finance BV | 1.000 | 06/20/2021 | 4.502 | 7,200 | (1,968 | ) | 974 | 0 | (994 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | (4,647 | ) | $ | 2,234 | $ | 0 | $ | (2,413 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION(1)
Counterparty | Index/Tranches | Fixed Receive Rate | Maturity | Notional | Premiums | Unrealized | Swap Agreements, at Value(4) | |||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||
FBF | ABX.HE.AA.6-2 Index | 0.170% | 05/25/2046 | $ | 28,886 | $ | (25,672 | ) | $ | 13,444 | $ | 0 | $ | (12,228 | ) | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||
Total Swap Agreements | $ | (30,319 | ) | $ | 15,678 | $ | 0 | $ | (14,641 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
(1) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues as of period end serve as an indicator 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 on credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced indices’ credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
86 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
Table of Contents
December 31, 2016 (Unaudited)
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, 2016:
(n) | Securities with an aggregate market value of $13,993 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2016. |
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||||||||||||||||||
Counterparty | Forward Foreign Currency Contracts | Purchased Options | Swap Agreements | Total Over the Counter | Forward Foreign Currency Contracts | Written Options | Swap Agreements | Total Over the Counter | Net Market Value of OTC Derivatives | Collateral Pledged/ (Received) | Net Exposure(5) | |||||||||||||||||||||||||||||||||||||
BOA | $ | 849 | $ | 0 | $ | 0 | $ | 849 | $ | (847 | ) | $ | 0 | $ | 0 | $ | (847 | ) | $ | 2 | $ | 0 | $ | 2 | ||||||||||||||||||||||||
BPS | 1,687 | 0 | 0 | 1,687 | 0 | 0 | (662 | ) | (662 | ) | 1,025 | (2,070 | ) | (1,045 | ) | |||||||||||||||||||||||||||||||||
BRC | 0 | 0 | 0 | 0 | 0 | 0 | (110 | ) | (110 | ) | (110 | ) | 0 | (110 | ) | |||||||||||||||||||||||||||||||||
CBK | 70 | 0 | 0 | 70 | (17 | ) | 0 | 0 | (17 | ) | 53 | 0 | 53 | |||||||||||||||||||||||||||||||||||
FBF | 0 | 0 | 0 | 0 | 0 | 0 | (12,228 | ) | (12,228 | ) | (12,228 | ) | 12,311 | 83 | ||||||||||||||||||||||||||||||||||
GLM | 201 | 0 | 0 | 201 | (46 | ) | 0 | 0 | (46 | ) | 155 | (330 | ) | (175 | ) | |||||||||||||||||||||||||||||||||
GST | 0 | 0 | 0 | 0 | 0 | 0 | (622 | ) | (622 | ) | (622 | ) | 701 | 79 | ||||||||||||||||||||||||||||||||||
HUS | 0 | 0 | 0 | 0 | 0 | 0 | (1,019 | ) | (1,019 | ) | (1,019 | ) | 981 | (38 | ) | |||||||||||||||||||||||||||||||||
JPM | 0 | 0 | 0 | 0 | (18 | ) | 0 | 0 | (18 | ) | (18 | ) | 0 | (18 | ) | |||||||||||||||||||||||||||||||||
NAB | 4 | 0 | 0 | 4 | 0 | 0 | 0 | 0 | 4 | 0 | 4 | |||||||||||||||||||||||||||||||||||||
RBC | 7 | 0 | 0 | 7 | 0 | 0 | 0 | 0 | 7 | 0 | 7 | |||||||||||||||||||||||||||||||||||||
SCX | 73 | 0 | 0 | 73 | 0 | 0 | 0 | 0 | 73 | 0 | 73 | |||||||||||||||||||||||||||||||||||||
SOG | 26 | 0 | 0 | 26 | (28 | ) | 0 | 0 | (28 | ) | (2 | ) | 0 | (2 | ) | |||||||||||||||||||||||||||||||||
UAG | 9 | 0 | 0 | 9 | (79 | ) | 0 | 0 | (79 | ) | (70 | ) | 0 | (70 | ) | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Total Over the Counter | $ | 2,926 | $ | 0 | $ | 0 | $ | 2,926 | $ | (1,035 | ) | $ | 0 | $ | (14,641 | ) | $ | (15,676 | ) | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(5) | Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC derivatives can only be netted across transactions governed under the same master agreement with the same legal entity. The Fund and Subsidiary are recognized as two separate legal entities. As such, exposure cannot be netted. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting agreements. |
FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS
The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal Risks, in the Notes to Financial Statements on risks of the Fund.
Fair Values of Financial Derivative Instruments on the Consolidated Statements of Assets and Liabilities as of December 31, 2016:
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 | $ | 5 | $ | 0 | $ | 0 | $ | 1,759 | $ | 1,764 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Over the counter |
| |||||||||||||||||||||||
Forward Foreign Currency Contracts | $ | 0 | $ | 0 | $ | 0 | $ | 2,926 | $ | 0 | $ | 2,926 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 0 | $ | 5 | $ | 0 | $ | 2,926 | $ | 1,759 | $ | 4,690 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Financial Derivative Instruments - Liabilities |
| |||||||||||||||||||||||
Exchange-traded or centrally cleared |
| |||||||||||||||||||||||
Swap Agreements | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 2,396 | $ | 2,396 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Over the counter |
| |||||||||||||||||||||||
Forward Foreign Currency Contracts | $ | 0 | $ | 0 | $ | 0 | $ | 1,035 | $ | 0 | $ | 1,035 | ||||||||||||
Swap Agreements | 0 | 14,641 | 0 | 0 | 0 | 14,641 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 0 | $ | 14,641 | $ | 0 | $ | 1,035 | $ | 0 | $ | 15,676 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 0 | $ | 14,641 | $ | 0 | $ | 1,035 | $ | 2,396 | $ | 18,072 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2016 | 87 |
Table of Contents
Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.)
The effect of Financial Derivative Instruments on the Consolidated Statements of Operations for the period ended December 31, 2016:
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 | $ | 26 | $ | 0 | $ | 0 | $ | 23,726 | $ | 23,752 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Over the counter | ||||||||||||||||||||||||
Forward Foreign Currency Contracts | $ | 0 | $ | 0 | $ | 0 | $ | 19,686 | $ | 0 | $ | 19,686 | ||||||||||||
Swap Agreements | 0 | 130 | 0 | 0 | 0 | 130 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 0 | $ | 130 | $ | 0 | $ | 19,686 | $ | 0 | $ | 19,816 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 0 | $ | 156 | $ | 0 | $ | 19,686 | $ | 23,726 | $ | 43,568 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative Instruments |
| |||||||||||||||||||||||
Exchange-traded or centrally cleared | ||||||||||||||||||||||||
Swap Agreements | $ | 0 | $ | 312 | $ | 0 | $ | 0 | $ | (16,498 | ) | $ | (16,186 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Over the counter | ||||||||||||||||||||||||
Forward Foreign Currency Contracts | $ | 0 | $ | 0 | $ | 0 | $ | (7,012 | ) | $ | 0 | $ | (7,012 | ) | ||||||||||
Swap Agreements | 0 | 2,668 | 0 | 0 | 0 | 2,668 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 0 | $ | 2,668 | $ | 0 | $ | (7,012 | ) | $ | 0 | $ | (4,344 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 0 | $ | 2,980 | $ | 0 | $ | (7,012 | ) | $ | (16,498 | ) | $ | (20,530 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2016 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2016 | ||||||||||||
Investments in Securities, at Value |
| |||||||||||||||
Bank Loan Obligations | $ | 0 | $ | 13,221 | $ | 303 | $ | 13,524 | ||||||||
Corporate Bonds & Notes |
| |||||||||||||||
Banking & Finance | 0 | 77,926 | 36,435 | 114,361 | ||||||||||||
Industrials | 0 | 76,856 | 10,535 | 87,391 | ||||||||||||
Utilities | 0 | 43,922 | 0 | 43,922 | ||||||||||||
Municipal Bonds & Notes |
| |||||||||||||||
Illinois | 0 | 1,218 | 0 | 1,218 | ||||||||||||
U.S. Government Agencies | 0 | 27,271 | 0 | 27,271 | ||||||||||||
U.S. Treasury Obligations | 0 | 5,802 | 0 | 5,802 | ||||||||||||
Non-Agency Mortgage-Backed Securities | 0 | 1,202,450 | 19,889 | 1,222,339 | ||||||||||||
Asset-Backed Securities | 0 | 535,554 | 43,498 | 579,052 | ||||||||||||
Common Stocks |
| |||||||||||||||
Consumer Discretionary | 39 | 0 | 0 | 39 | ||||||||||||
Financials | 0 | 0 | 604 | 604 | ||||||||||||
Short-Term Instruments |
| |||||||||||||||
Repurchase Agreements | 0 | 63,827 | 0 | 63,827 | ||||||||||||
Short-Term Notes | 0 | 27,099 | 0 | 27,099 | ||||||||||||
U.S. Treasury Bills | 0 | 31,020 | 0 | 31,020 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 39 | $ | 2,106,166 | $ | 111,264 | $ | 2,217,469 | ||||||||
|
|
|
|
|
|
|
|
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2016 | ||||||||||||
Financial Derivative Instruments - Assets |
| |||||||||||||||
Exchange-traded or centrally cleared | $ | 0 | $ | 1,764 | $ | 0 | $ | 1,764 | ||||||||
Over the counter | 0 | 2,926 | 0 | 2,926 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 0 | $ | 4,690 | $ | 0 | $ | 4,690 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Financial Derivative Instruments - Liabilities |
| |||||||||||||||
Exchange-traded or centrally cleared | 0 | (2,396 | ) | 0 | (2,396 | ) | ||||||||||
Over the counter | 0 | (15,676 | ) | 0 | (15,676 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 0 | $ | (18,072 | ) | $ | 0 | $ | (18,072 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
Total Financial Derivative Instruments | $ | 0 | $ | (13,382 | ) | $ | 0 | $ | (13,382 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Totals | $ | 39 | $ | 2,092,784 | $ | 111,264 | $ | 2,204,087 | ||||||||
|
|
|
|
|
|
|
|
There were no significant transfers between Levels 1 and 2 during the period ended December 31, 2016.
88 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
Table of Contents
December 31, 2016 (Unaudited)
The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended December 31, 2016:
Category and Subcategory | Beginning Balance at 06/30/2016 | Net Purchases | Net Sales | Accrued Discounts/ (Premiums) | Realized Gain/(Loss) | Net Change in Unrealized Appreciation/ (Depreciation)(1) | Transfers into Level 3 | Transfers out of Level 3 | Ending Balance at 12/31/2016 | Net Change in Unrealized Appreciation/ (Depreciation) on Investments Held at 12/31/2016(1) | ||||||||||||||||||||||||||||||
Investments in Securities, at Value |
| |||||||||||||||||||||||||||||||||||||||
Bank Loan Obligations | $ | 529 | $ | 0 | $ | 0 | $ | 1 | $ | 0 | $ | (227 | ) | $ | 0 | $ | 0 | $ | 303 | $ | (228 | ) | ||||||||||||||||||
Corporate Bonds & Notes | ||||||||||||||||||||||||||||||||||||||||
Banking & Finance | 36,558 | 0 | (113 | ) | 53 | 1 | (64 | ) | 0 | 0 | 36,435 | (71 | ) | |||||||||||||||||||||||||||
Industrials | 10,671 | 0 | 0 | 6 | 0 | (142 | ) | 0 | 0 | 10,535 | (142 | ) | ||||||||||||||||||||||||||||
Non-Agency Mortgage-Backed Securities | 29,243 | 10 | (2,171 | ) | 16 | 391 | (1,673 | ) | 0 | (5,927 | ) | 19,889 | (1,177 | ) | ||||||||||||||||||||||||||
Asset-Backed Securities | 28,781 | 33,836 | 0 | 317 | 0 | (5,368 | ) | 0 | (14,068 | ) | 43,498 | (3,847 | ) | |||||||||||||||||||||||||||
Common Stocks |
| |||||||||||||||||||||||||||||||||||||||
Financials | 423 | 0 | 0 | 0 | 0 | 181 | 0 | 0 | 604 | 181 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Totals | $ | 106,205 | $ | 33,846 | $ | (2,284 | ) | $ | 393 | $ | 392 | $ | (7,293 | ) | $ | 0 | $ | (19,995 | ) | $ | 111,264 | $ | (5,284 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 12/31/2016 | Valuation Technique | Unobservable Inputs | Input Value(s) (% Unless Noted Otherwise) | ||||||||
Investments in Securities, at Value |
| |||||||||||
Bank Loan Obligations | $ | 303 | Other Valuation Techniques(2) | — | — | |||||||
Corporate Bonds & Notes |
| |||||||||||
Banking & Finance | 10,196 | Proxy Pricing | Base Price | 102.677 | ||||||||
26,239 | Reference Instrument | Spread Movement | 63.962-170.000 bps | |||||||||
Industrials | 10,535 | Proxy Pricing | Base Price | 99.500 | ||||||||
Non-Agency Mortgage-Backed Securities | 19,889 | Proxy Pricing | Base Price | 6.650-105.500 | ||||||||
Asset-Backed Securities | 43,498 | Proxy Pricing | Base Price | 3.141-99,920 | ||||||||
Common Stocks |
| |||||||||||
Financials | 604 | Other Valuation Techniques(2) | — | — | ||||||||
|
| |||||||||||
Total | $ | 111,264 | ||||||||||
|
|
(1) | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at December 31, 2016 may be due to an investment no longer held or categorized as Level 3 at period end. |
(2) | Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not considered significant to the Fund. |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2016 | 89 |
Table of Contents
1. ORGANIZATION
PCM Fund, Inc., PIMCO Global StocksPLUS® & Income Fund, PIMCO Income Opportunity Fund, PIMCO Strategic Income Fund, Inc., PIMCO Dynamic Credit and Mortgage Income Fund (formerly, PIMCO Dynamic Credit Income Fund) and PIMCO Dynamic Income Fund (each a “Fund” and collectively the “Funds”) are organized as closed-end management investment companies registered under the Investment Company Act of 1940, as amended, and the rules and regulations thereunder (the “Act”). PIMCO Global StocksPLUS® & Income Fund, PIMCO Income Opportunity Fund, PIMCO Dynamic Credit and Mortgage Income Fund and PIMCO Dynamic Income Fund were organized as Massachusetts business trusts on the dates shown in the table below. PCM Fund, Inc. and PIMCO Strategic Income Fund, Inc. were organized as Maryland corporations on the dates shown in the table below. Pacific Investment Management Company LLC (“PIMCO” or the “Manager”) serves as the Funds’ investment manager.
Fund Name | Formation Date | |||||||
PCM Fund, Inc. | June 23, 1993 | |||||||
PIMCO Global StocksPLUS® & Income Fund | February 16, 2005 | |||||||
PIMCO Income Opportunity Fund | September 12, 2007 | |||||||
PIMCO Strategic Income Fund, Inc. | December 9, 1993 | |||||||
PIMCO Dynamic Credit and Mortgage Income Fund | September 27, 2012 | |||||||
PIMCO Dynamic Income Fund | January 19, 2011 |
PCM Fund, Inc. has the authority to issue 300 million shares of $0.001 par value common stock. PIMCO Strategic Income Fund, Inc. has the authority to issue 500 million shares of $0.00001 par value common stock. PIMCO Global StocksPLUS® & Income Fund, PIMCO Income Opportunity Fund, PIMCO Dynamic Credit and Mortgage Income Fund and PIMCO Dynamic Income Fund have authorized an unlimited number of Common Shares at a par value of $0.00001 per share.
Hereinafter, the terms “Trustee” or “Trustees” shall refer to a Director or Directors of applicable Funds.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”). Each Fund is treated as an investment company under the reporting requirements of U.S. GAAP. The 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. Realized gains (losses) from securities sold are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date, except certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as a Fund is informed of the ex-dividend date. Interest income, adjusted for the accretion of discounts and amortization of premiums, is recorded on the accrual basis from settlement date, with the exception of securities with a forward starting effective date, where interest income is recorded on the accrual basis from effective date. For convertible securities, premiums attributable to the conversion feature are not amortized. Estimated tax liabilities on certain foreign securities are recorded on an accrual basis and are reflected as components of interest income or net change in unrealized appreciation (depreciation) on investments on the Statements of Operations, as appropriate. Tax liabilities realized as a result of such security sales are reflected as a component of net realized gain (loss) on investments on the Statements of Operations. Paydown gains (losses) on mortgage-related and other asset-backed securities are recorded as components of interest income on the Statements of Operations. Income or short-term capital gain distributions received from underlying funds are recorded as dividend income. Long-term capital gain distributions received from underlying funds 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) Cash and Foreign Currency The functional and reporting currency for the Funds is the U.S. dollar. The market values of foreign securities, currency holdings and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars based on the current exchange rates each business day. Purchases and sales of securities and income and expense items denominated in foreign currencies, if any, are translated into U.S. dollars at the exchange rate in effect on the transaction date. The Funds do not separately report the effects of changes in foreign exchange rates from changes in market prices on securities held. Such changes are included in net realized and net changes in unrealized appreciation (depreciation) from investments on the Statements of Operations. The Funds may invest in foreign currency-denominated securities and may engage in foreign currency transactions either on a spot (cash) basis at the rate prevailing in the currency exchange market at the time or through a forward foreign currency contract. Realized foreign exchange gains (losses) arising from sales of
90 | PIMCO CLOSED-END FUNDS |
Table of Contents
December 31, 2016 (Unaudited)
spot foreign currencies, currency gains (losses) realized between the trade and settlement dates on securities transactions and the difference between the recorded amounts of dividends, interest, and foreign withholding taxes and the U.S. dollar equivalent of the amounts actually received or paid are included in net realized gain (loss) on foreign currency transactions on the Statements of Operations. Net unrealized foreign exchange gains (losses) arising from changes in foreign exchange rates on foreign denominated assets and liabilities other than investments in securities held at the end of the reporting period are included in net change in unrealized appreciation or depreciation on foreign currency assets and liabilities on the Statements of Operations.
(c) Distributions — Common Shares The following table shows the anticipated frequency of distributions from net investment income and gains from the sale of portfolio securities and other sources to common shareholders.
Distribution Frequency | ||||||||||||
Fund Name | Declared | Distributed | ||||||||||
PCM Fund, Inc. | Monthly | Monthly | ||||||||||
PIMCO Dynamic Credit and Mortgage Income Fund | Monthly | Monthly | ||||||||||
PIMCO Dynamic Income Fund | Monthly | Monthly | ||||||||||
PIMCO Global StocksPLUS® & Income Fund | Monthly | Monthly | ||||||||||
PIMCO Income Opportunity Fund | Monthly | Monthly | ||||||||||
PIMCO Strategic Income Fund, Inc. | Monthly | Monthly |
Net realized capital gains earned by each Fund, if any, will be distributed no less frequently than once each year.
A Fund may engage in investment strategies, including the use of derivatives, to, among other things, generate current, distributable income even if such strategies could potentially result in declines in the Fund’s net asset value (“NAV”). A Fund’s income and gain-generating strategies, including certain derivatives strategies, may generate current income and gains taxable as ordinary income sufficient to support monthly distributions even in situations when the Fund has experienced a decline in net assets due to, for example, adverse changes in the broad U.S. or non-U.S. equity markets or the Fund’s debt investments, or arising from its use of derivatives. A Fund may enter into opposite sides of interest rate swap and other derivatives for the principal purpose of generating distributable gains on the one side (characterized as ordinary income for tax purposes) that are not part of the Fund’s duration or yield curve management strategies (“paired swap transactions”), and with a substantial possibility that the Fund will experience a corresponding capital loss and decline in NAV with respect to the opposite side transaction (to the extent it does not have corresponding offsetting capital gains). Consequently, common shareholders may receive distributions and owe tax at a time when their investment in a Fund has declined in value, which tax may be at
ordinary income rates, and which may be economically similar to a taxable return of capital. The tax treatment of certain derivatives may be open to different interpretations. Any recharacterization of payments made or received by a Fund pursuant to derivatives potentially could affect the amount, timing or character of Fund distributions. In addition, the tax treatment of such investment strategies may be changed by regulation or otherwise.
PIMCO Strategic Income Fund, Inc. (“RCS”) accounts for mortgage dollar rolls as financing transactions. Please see “Federal Income Tax Matters” in the Notes to Financial Statements for information regarding such treatment by RCS and its impact on the Fund’s distributions and related tax consequences.
Income 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. Examples of events that give rise to timing differences include wash sales, straddles and capital loss carryforwards. Further, the character of investment income and capital gains may be different for certain transactions under the two methods of accounting. Examples of transactions that may cause character differences include the treatment of paydowns on mortgage-backed securities, swaps, foreign currency transactions and contingent debt instruments. As a result, income 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.
If a Fund estimates that a portion of one of its dividend distributions may be comprised of amounts from sources other than net investment income, the Fund will notify shareholders of record of the estimated composition of such distribution through a Section 19 Notice. To determine the sources of a Fund’s distributions during the reporting period, the Fund references its internal accounting records at the time the distribution is paid and generally bases its projections of the final tax character of those distributions on the tax characteristics of the distribution reflected in its internal accounting records at the time of such payment. If, based on such records, a particular distribution does not include capital gains or paid-in surplus or other capital sources, a Section 19 Notice generally would not be issued. It is important to note that differences exist between a Fund’s daily internal accounting records, the Fund’s financial statements presented in accordance with U.S. GAAP, and recordkeeping practices under income tax regulations. Examples of such differences may include, among others, the treatment of paydowns on mortgage-backed securities purchased at a discount and periodic payments under interest rate swap contracts. Notwithstanding a Fund’s estimates and projections, it is possible that a Fund may not issue a Section 19 Notice in situations where the
SEMIANNUAL REPORT | DECEMBER 31, 2016 | 91 |
Table of Contents
Notes to Financial Statements (Cont.)
Fund’s financial statements prepared later and in accordance with U.S. GAAP 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. Additionally, given differences in tax and U.S. GAAP treatment of certain distributions, a Fund may not issue a Section 19 Notice in situations where the Fund’s financial statements prepared later and in accordance with U.S. GAAP might report that the sources of these 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 composition of distributions. Final determination of a distribution’s tax character will be reported on Form 1099 DIV sent to shareholders each January.
Distributions classified as a tax basis return of capital, if any, are reflected on the Statements of Changes in Net Assets and have been recorded to paid in capital. In addition, other amounts have been reclassified between undistributed (overdistributed) net investment income (loss), accumulated undistributed (overdistributed) net realized gains (losses) and/or paid in capital to more appropriately conform U.S. GAAP to tax characterizations of distributions.
(d) Statement of Cash Flows U.S. GAAP requires entities providing financial statements that report both financial position and results of operations to also provide a Statement of Cash Flows for each period for which results of operations are provided, but exempts investment companies meeting certain conditions. One of the conditions is that substantially all of the enterprise’s investments were carried at fair value during the period and classified as Level 1 or Level 2 in the fair value hierarchy in accordance with the requirements of U.S. GAAP. Another condition is that the enterprise had little or no debt, based on the average debt outstanding during the period, in relation to average total assets. Funds with certain degrees of borrowing activity, typically through the use of reverse repurchase agreements, sale-buyback transactions or mortgage dollar rolls, have been determined to be at a level requiring a Statement of Cash Flows. Statements of Cash Flows, as applicable, have been prepared using the indirect method which requires net increase (decrease) in net assets resulting from operations to be adjusted to reconcile to net cash flows from operating activities.
(e) New Accounting Pronouncements In August 2014, the Financial Accounting Standards Board (“FASB”) issued an Accounting Standards Update (“ASU”) 2014-15 requiring management to evaluate whether there are conditions or events, considered in the aggregate, that raise substantial doubt about the entity’s ability to continue as a going concern. The ASU is effective prospectively for annual periods ending after December 15, 2016, and interim periods thereafter. The ASU did not have an impact on the Funds’ financial statements.
In May 2015, the FASB issued ASU 2015-07 which removes the requirement to categorize within the fair value hierarchy all investments
for which fair value is measured using the net asset value (“NAV”) per share practical expedient. The ASU also removes the requirement to make certain disclosures for all investments that are eligible to be measured at fair value using the NAV per share practical expedient. The ASU is effective for annual periods beginning after December 15, 2015 and interim periods within those annual periods. The ASU did not have an impact on the Funds’ financial statements.
In August 2016, the FASB issued ASU 2016-15 which amends ASC 230 to clarify guidance on the classification of certain cash receipts and cash payments in the statement of cash flows. The ASU is effective for annual periods beginning after December 15, 2017, and interim periods within those annual periods. At this time, management is evaluating the implications of these changes on the financial statements.
In October 2016, the U.S. Securities and Exchange Commission (“SEC”) adopted new rules and forms, and amendments to certain current rules and forms, to modernize reporting and disclosure of information by registered investment companies. The amendments to Regulation S-X will require standardized, enhanced disclosure about derivatives in investment company financial statements, and will also change the rules governing the form and content of such financial statements. The amendments to Regulation S-X take effect on August 1, 2017. At this time, management is assessing the anticipated impact of these regulatory developments.
In November 2016, the FASB issued ASU 2016-18 which amends ASC 230 to provide guidance on the classification and presentation of changes in restricted cash and restricted cash equivalents on the statement of cash flows. The ASU is effective for annual periods beginning after December 15, 2017, and interim periods within those annual periods. 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 NAV of a Fund’s shares is determined by dividing the total value of portfolio investments and other assets attributable to that Fund less any liabilities by the total number of shares outstanding of that Fund.
On each day that the New York Stock Exchange (“NYSE”) is open, Fund shares are ordinarily valued as of the close of regular trading (“NYSE Close”). Information that becomes known to the Funds or their agents after the time as of which NAV has been calculated on a particular day will not generally be used to retroactively adjust the price of a security or the NAV determined earlier that day. Each Fund reserves the right to change the time as of which its respective NAV is calculated if the Fund closes earlier, or as permitted by the SEC.
92 | PIMCO CLOSED-END FUNDS |
Table of Contents
December 31, 2016 (Unaudited)
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 Funds’ approved pricing services, quotation reporting systems and other third-party sources (together, “Pricing Services”). The Funds will normally use pricing data for domestic equity securities received shortly after the NYSE Close and do not normally take into account trading, clearances or settlements that take place after the NYSE Close. A foreign (non-U.S.) equity security traded on a foreign exchange or on more than one exchange is typically valued using pricing information from the exchange considered by PIMCO to be the primary exchange. A foreign (non-U.S.) equity security will be valued as of the close of trading on the foreign exchange, or the NYSE Close, if the NYSE Close occurs before the end of trading on the foreign exchange. Domestic and foreign (non-U.S.) fixed income securities, non-exchange traded derivatives, and equity options are normally valued on the basis of quotes obtained from brokers and dealers or Pricing Services using data reflecting the earlier closing of the principal markets for those securities. Prices obtained from Pricing Services may be based on, among other things, information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. Certain fixed income securities purchased on a delayed-delivery basis are marked to market daily until settlement at the forward settlement date. Exchange-traded options, except equity options, futures and options on futures are valued at the settlement price determined by the relevant exchange. Swap agreements are valued on the basis of bid quotes obtained from brokers and dealers or market-based prices supplied by Pricing Services or other pricing sources. A Fund’s investments in open-end management investment companies, other than exchange-traded funds (“ETFs”), are valued at the NAVs of such investments.
If a foreign (non-U.S.) equity security’s value has materially changed after the close of the security’s primary exchange or principal market but before the NYSE Close, the security may be valued at fair value based on procedures established and approved by the 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, a Fund may determine the fair value of investments based on information provided by Pricing Services and other third-party vendors, which may recommend fair value or adjustments with reference to other securities, indices or assets. In considering whether fair valuation is required and in determining fair values, a Fund may, among other things, consider significant events (which may be considered to include changes in the value of U.S.
securities or securities indices) that occur after the close of the relevant market and before the NYSE Close. A Fund may utilize modeling tools provided by third-party vendors to determine fair values of non-U.S. securities. Foreign exchanges may permit trading in foreign (non-U.S.) equity securities on days when a Fund is not open for business, which may result in a Fund’s portfolio investments being affected when shareholders are unable to buy or sell shares.
Senior secured floating rate loans for which an active secondary market exists to a reliable degree will be valued at the mean of the last available bid/ask prices in the market for such loans, as provided by a Pricing Service. Senior secured floating rate loans for which an active secondary market does not exist to a reliable degree will be valued at fair value, which is intended to approximate market value. In valuing a senior secured floating rate loan at fair value, the factors considered may include, but are not limited to, the following: (a) the creditworthiness of the borrower and any intermediate participants, (b) the terms of the loan, (c) recent prices in the market for similar loans, if any, and (d) recent prices in the market for instruments of similar quality, rate, period until next interest rate reset and maturity.
Investments valued in currencies other than the U.S. dollar are converted to the U.S. dollar using exchange rates obtained from Pricing Services. As a result, the value of such investments and, in turn, the NAV of a Fund’s shares may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of investments traded in markets outside the United States or denominated in currencies other than the U.S. dollar may be affected significantly on a day that a Fund is not open for business. As a result, to the extent that a Fund holds foreign (non-U.S.) investments, the value of those investments may change at times when shareholders are unable to buy or sell shares and the value of such investments will be reflected in the Fund’s next calculated NAV.
Investments for which market quotes or market-based valuations are not readily available are valued at fair value as determined in good faith by the Board or persons acting at their direction. The Board has adopted methods for valuing securities and other assets in circumstances where market quotes are not readily available, and has delegated to PIMCO the responsibility for applying the fair valuation methods. In the event that market quotes or market-based valuations are not readily available, and the security or asset cannot be valued pursuant to a Board approved valuation method, the value of the security or asset will be determined in good faith by the Valuation Oversight Committee of the Board (“Valuation Oversight Committee”), generally based on recommendations provided by the Manager. 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
SEMIANNUAL REPORT | DECEMBER 31, 2016 | 93 |
Table of Contents
Notes to Financial Statements (Cont.)
Quotes”), Pricing Services’ prices), including where events occur after the close of the relevant market, but prior to the NYSE Close, that materially affect the values of a Fund’s securities or assets. In addition, market quotes are considered not readily available when, due to extraordinary circumstances, the exchanges or markets on which the securities trade do not open for trading for the entire day and no other market prices are available. The Board has delegated to the Manager the responsibility for monitoring significant events that may materially affect the values of a Fund’s securities or assets and for determining whether the value of the applicable securities or assets should be reevaluated in light of such significant events.
When a Fund uses fair valuation to determine the value of a portfolio security or other asset for purposes of calculating its NAV, such investments will not be priced on the basis of quotes from the primary market in which they are traded, but rather may be priced by another method that the Board or persons acting at their direction believe reflects fair value. Fair valuation may require subjective determinations about the value of a security. While the Funds’ policy is intended to result in a calculation of a Fund’s NAV that fairly reflects security values as of the time of pricing, the Funds cannot ensure that fair values determined by the Board or persons acting at their direction would accurately reflect the price that a Fund could obtain for a security if it were to dispose of that security as of the time of pricing (for instance, in a forced or distressed sale). The prices used by a Fund may differ from the value that would be realized if the securities were sold.
(b) Fair Value Hierarchy U.S. GAAP describes fair value as the price that a Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. It establishes a fair value hierarchy that prioritizes inputs to valuation methods and requires disclosure of the fair value hierarchy, separately for each major category of assets and liabilities, that segregates fair value measurements into levels (Level 1, 2, or 3). The inputs or methodology used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. Levels 1, 2, and 3 of the fair value hierarchy are defined as follows:
∎ | Level 1 — Quoted prices in active markets or exchanges for identical assets and liabilities. |
∎ | Level 2 — Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs. |
∎ | Level 3 — Significant unobservable inputs based on the best information available in the circumstances, to the extent observable |
inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair value of investments. |
Assets or liabilities categorized as Level 2 or 3 as of period end have been transferred between Levels 2 and 3 since the prior period due to changes in the method utilized in valuing the investments. Transfers from Level 3 to Level 2 are a result of the availability of current and reliable market-based data provided by Pricing Services or other valuation techniques which utilize significant observable inputs. In accordance with the requirements of U.S. GAAP, the amounts of transfers between Levels 1 and 2 and transfers into and out of Level 3, if material, are disclosed in the Notes to Schedule of Investments of each respective 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 a Fund’s assets and liabilities. Additionally, U.S. GAAP requires quantitative information regarding the significant unobservable inputs used in the determination of fair value of assets or liabilities categorized as Level 3 in the fair value hierarchy. In accordance with the requirements of U.S. GAAP, a fair value hierarchy, and if material, a Level 3 reconciliation and details of significant unobservable inputs, have been included in the Notes to Schedule of Investments for each respective Fund.
(c) Valuation Techniques and the Fair Value Hierarchy
Level 1 and Level 2 trading assets and trading liabilities, at fair value The valuation methods (or “techniques”) and significant inputs used in determining the fair values of portfolio securities or other assets and liabilities categorized as Level 1 and Level 2 of the fair value hierarchy are as follows:
Fixed income securities including corporate, convertible and municipal bonds and notes, U.S. government agencies, U.S. treasury obligations, sovereign issues, bank loans, convertible preferred securities and non-U.S. bonds are normally valued on the basis of quotes obtained from brokers and dealers or Pricing Services that use broker-dealer quotations, reported trades or valuation estimates from their internal pricing models. The Pricing Services’ internal models use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar assets. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.
Fixed income securities purchased on a delayed-delivery basis or as a repurchase commitment in a sale-buyback transaction are marked to
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market daily until settlement at the forward settlement date and are categorized as Level 2 of the fair value hierarchy.
Mortgage-related and asset-backed securities are usually issued as separate tranches, or classes, of securities within each deal. These securities are also normally valued by Pricing Services that use broker-dealer quotations, reported trades or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche-level attributes, current market data, estimated cash flows and market-based yield spreads for each tranche, and incorporate deal collateral performance, as available. Mortgage-related and asset-backed securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.
Common stocks, ETFs, exchange-traded notes and financial derivative instruments, such as futures contracts, rights and warrants, or options on futures that are traded on a national securities exchange, are stated at the last reported sale or settlement price on the day of valuation. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy.
Valuation adjustments may be applied to certain securities that are solely traded on a foreign exchange to account for the market movement between the close of the foreign market and the NYSE Close. These securities are valued using Pricing Services that consider the correlation of the trading patterns of the foreign security to the intraday trading in the U.S. markets for investments. Securities using these valuation adjustments are categorized as Level 2 of the fair value hierarchy. Preferred securities and other equities traded on inactive markets or valued by reference to similar instruments are also categorized as Level 2 of the fair value hierarchy.
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 of such short-term debt instrument is approximately the same as the fair value of the instrument as determined without the use of amortized cost valuation. Short-term debt instruments having a remaining maturity of 60 days or less 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 based on market-based prices provided by Pricing Services (normally determined as of the NYSE close). Centrally cleared swaps and over the counter swaps can be valued by Pricing Services using a series of techniques, including simulation pricing models. The pricing models may use inputs that are observed from actively quoted markets such as the overnight index swap rate (“OIS”), London Interbank Offered Rate (“LIBOR”) forward rate, interest rates, yield curves and credit spreads. These securities are categorized as Level 2 of the fair value hierarchy.
Level 3 trading assets and trading liabilities, at fair value When a fair valuation method is applied by PIMCO that uses significant unobservable inputs, investments will be priced by a method that the Board or persons acting at their direction believe reflects fair value and are categorized as Level 3 of the fair value hierarchy. The valuation techniques and significant inputs used in determining the fair values of portfolio assets and liabilities categorized as Level 3 of the fair value hierarchy are as follows:
Proxy pricing procedures set the base price of a fixed income security and subsequently adjust the price proportionally to market value changes of a pre-determined security deemed to be comparable in duration, generally a U.S. Treasury or sovereign note based on country of issuance. The base price may be a broker-dealer quote, transaction price, or an internal value as derived by analysis of market data. The base price of the security may be reset on a periodic basis based on the availability of market data and procedures approved by the Valuation Oversight Committee. Significant changes in the unobservable inputs of the proxy pricing process (the base price) would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.
If third-party evaluated vendor pricing is not available or not deemed to be indicative of fair value, the Manager may elect to obtain Broker Quotes directly from the broker-dealer or passed through from a third-party vendor. In the event that fair value is based upon a single sourced Broker Quote, these securities are categorized as Level 3 of the fair value hierarchy. Broker Quotes are typically received from established market participants. Although independently received, the Manager does not have the transparency to view the underlying inputs which support the market quotation. Significant changes in the Broker Quote would have direct and proportional changes in the fair value of the security.
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Reference instrument valuation estimates fair value by utilizing the correlation of the security to one or more broad-based securities market indices, and/or other financial instruments, whose pricing information is readily available. Unobservable inputs may include those used in algorithm formulas based on percentage change in the reference instruments and/or weights of each reference instrument. Significant changes in the unobservable inputs would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.
The validity of the fair value is reviewed by the Manager on a periodic basis and may be amended in accordance with a Fund’s valuation procedures.
4. SECURITIES AND OTHER INVESTMENTS
(a) Investments in Securities
Loan Participations, Assignments and Originations Certain Funds may invest in direct debt instruments which are interests in amounts owed to lenders or lending syndicates by corporate, governmental, or other borrowers. A Fund’s investments in loans may be in the form of direct investments, participations in loans or assignments of all or a portion of loans from third parties or exposure to investments in or originations of loans through investments in a mutual fund or other pooled investment vehicle. A loan is often administered by a bank or other financial institution (the “agent”) that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. A Fund may invest in multiple series or tranches of a loan, which may have varying terms and carry different associated risks. A Fund generally has no right to enforce compliance with the terms of the loan agreement with the borrower. As a result, a Fund may be subject to the credit risk of both the borrower and the agent that is selling the loan agreement.
In the event of the insolvency of the agent selling a participation, a Fund may be treated as a general creditor of the agent and may not benefit from any set-off between the agent and the borrower. When a Fund purchases assignments from agents it acquires direct rights against the borrowers of the loans. These loans may include participations in bridge loans, which are loans taken out by borrowers for a short period (typically less than one year) pending arrangement of more permanent 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 Funds may be subject to heightened or
additional risks and potential liabilities and costs by investing in mezzanine and other subordinated loans or acting as an originator of loans, including those arising under bankruptcy, fraudulent conveyance, equitable subordination, lender liability, environmental and other laws and regulations, and risks and costs associated with debt servicing and taking foreclosure actions associated with the loans. To the extent that a Fund originates a loan, it may be responsible for all or a substantial portion of the expenses associated with initiating the loan. This may include significant legal and due diligence expenses, which will be indirectly borne by a Fund and its shareholders. A Fund may pay fees and expenses associated with originating a loan, including significant legal and due diligence expenses, irrespective of whether the loan transaction is ultimately consummated or closed.
Additionally, because loans are not ordinarily registered with the SEC or any state securities commission or listed on any securities exchange, there is usually less publicly available information about such instruments. In addition, loans may not be considered “securities” for purposes of the anti-fraud provisions under the federal securities laws and, as a result, as a purchaser of these instruments, a Fund may not be entitled to the anti-fraud protections of the federal securities laws. In the course of investing in such instruments, a Fund may come into possession of material nonpublic information and, because of prohibitions on trading in securities of issuers while in possession of such information, the Fund may be unable to enter into a transaction in a publicly-traded security of that issuer when it would otherwise be advantageous for the Fund to do so. Alternatively, a Fund may choose not to receive material nonpublic information about an issuer of such loans, with the result that the Fund may have less information about such issuers than other investors who transact in such assets.
The types of loans and related investments in which the Funds 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 Funds may originate loans or 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.
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 a Fund to supply additional cash to the borrower on demand. Unfunded loan commitments represent a future obligation in full, even
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though a percentage of the committed amount may not be utilized by the borrower. When investing in a loan participation, a Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the agent selling the loan agreement and only upon receipt of payments by the agent from the borrower. Because investing in unfunded loan commitments creates a future obligation for a Fund to provide funding to a borrower upon demand in exchange for a fee, the Fund will segregate or earmark liquid assets with the Fund’s custodian in amounts sufficient to satisfy any such future obligations. A Fund may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a loan. In certain circumstances, a Fund may receive a penalty fee upon the prepayment of a loan by a borrower. Fees earned or paid are recorded as a component of interest income or interest expense, respectively, on the Statements of Operations. As of December 31, 2016, the Funds had no unfunded loan commitments outstanding.
Mortgage-Related and Other Asset-Backed Securities Certain Funds may invest in mortgage-related and other asset-backed securities that directly or indirectly represent a participation in, or are secured by and payable from, loans on real property. Mortgage-related securities are created from pools of residential or commercial mortgage loans, including mortgage loans made by savings and loan institutions, mortgage bankers, commercial banks and others. These securities typically provide a monthly payment which consists of both principal and interest. Interest may be determined by fixed or adjustable rates. In times of declining interest rates, there is a greater likelihood that a Fund’s higher yielding securities will be pre-paid with the Fund being unable to reinvest the proceeds in an investment with as great a yield. The rate of prepayments on underlying mortgages will affect the price and volatility of a mortgage-related security, and may have the effect of shortening or extending the effective duration of the security relative to what was anticipated at the time of purchase. Interest-only and principal-only securities are especially sensitive to interest rate changes, which can affect not only their prices but can also change the income flows and repayment assumptions about those investments. The timely payment of principal and interest of certain mortgage-related securities is guaranteed with the full faith and credit of the U.S. Government. Pools created and guaranteed by non-governmental issuers, including government-sponsored corporations, may be supported by various forms of insurance or guarantees, but there can be no assurance that private insurers or guarantors can meet their obligations under the insurance policies or guarantee arrangements. Many of the risks of investing in mortgage-related securities secured by commercial mortgage loans (“CMBS”) reflect the effects of local and other economic conditions on real estate markets, the ability of tenants to make lease payments, and the ability of a property to attract and retain tenants. 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 without limitation, auto loans, credit card receivables, home equity loans, and student loans.
Collateralized Debt Obligations (“CDOs”) include Collateralized Bond Obligations (“CBOs”), Collateralized Loan Obligations (“CLOs”) and other similarly structured securities. CBOs and CLOs are types of asset-backed securities. A CBO is a trust which is typically backed by a diversified pool of high risk, below investment grade fixed income securities. A CLO is a trust typically collateralized by a pool of loans, which may include, among others, domestic and foreign senior secured loans, senior unsecured loans, and subordinate corporate loans, including loans that may be rated below investment grade or equivalent unrated loans. For both CBOs and CLOs, the cash flows from the trust are split into two or more portions, called tranches, varying in risk and yield. The riskiest portion is the “equity” tranche which bears the bulk of defaults from the bonds or loans in the trust and serves to protect the other, more senior tranches from default in all but the most severe circumstances. Since it is partially protected from defaults, a senior tranche from a CBO trust or CLO trust typically has higher ratings and lower yields than the underlying securities, and can be rated investment grade. Despite the protection from the equity tranche, CBO or CLO tranches can experience substantial losses due to actual defaults, increased sensitivity to defaults due to collateral default and disappearance of protecting tranches, market anticipation of defaults and aversion to CBO or CLO securities as a class. The risks of an investment in a CDO depend largely on the type of the collateral securities and the class of the CDO in which a Fund invests. CDOs carry additional risks including, but not limited to, (i) the possibility that distributions from collateral securities will not be adequate to make interest or other payments, (ii) the collateral may decline in value or default, (iii) a Fund may invest in CDOs that are subordinate to other classes, and (iv) the complex structure of the security may not be fully understood at the time of investment and may produce disputes with the issuer or unexpected investment results.
Collateralized Mortgage Obligations (“CMOs”) are debt obligations of a legal entity that are collateralized by whole mortgage loans or private mortgage bonds and divided into classes. CMOs are structured into multiple classes, often referred to as “tranches,” with each class bearing a different stated maturity and entitled to a different schedule for payments of principal and interest, including prepayments. CMOs may be less liquid and may exhibit greater price volatility than other types of mortgage-related or asset-backed securities.
As CMOs have evolved, some classes of CMO bonds have become more common. For example, a Fund may invest in parallel-pay and
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planned amortization class (“PAC”) CMOs and multi-class pass-through certificates. Parallel-pay CMOs and multi-class pass-through certificates are structured to provide payments of principal on each payment date to more than one class. These simultaneous payments are taken into account in calculating the stated maturity date or final distribution date of each class, which, as with other CMO and multi-class pass-through structures, must be retired by its stated maturity date or final distribution date but may be retired earlier. PACs generally require payments of a specified amount of principal on each payment date. PACs are parallel-pay CMOs with the required principal amount on such securities having the highest priority after interest has been paid to all classes. Any CMO or multi-class pass-through structure that includes PAC securities must also have support tranches — known as support bonds, companion bonds or non-PAC bonds — which lend or absorb principal cash flows to allow the PAC securities to maintain their stated maturities and final distribution dates within a range of actual prepayment experience. These support tranches are subject to a higher level of maturity risk compared to other mortgage-related securities, and usually provide a higher yield to compensate investors. If principal cash flows are received in amounts outside a pre-determined range such that the support bonds cannot lend or absorb sufficient cash flows to the PAC securities as intended, the PAC securities are subject to heightened maturity risk. A Fund may invest in various tranches of CMO bonds, including support bonds and equity or “first loss” tranches (see “Collateralized Debt Obligations” below).
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 a Fund’s yield to maturity from these securities. If the underlying mortgage assets experience greater than anticipated prepayments of principal, the Funds may fail to recoup some or all of its initial investment in these securities even if the security is in one of the highest rating categories.
Payments received for IOs are included in interest income on the Statements of Operations. Because no principal will be received at the maturity of an IO, adjustments are made to the cost of the security on a monthly basis until maturity. These adjustments are included in interest income on the Statements of Operations. Payments received for POs are treated as reductions to the cost and par value of the securities.
Payment In-Kind Securities Certain Funds may invest in payment in-kind securities (“PIKs”). PIKs may give the issuer the option at each interest payment date of making interest payments in either cash 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 or depreciation on investments to interest receivable on the Statements of Assets and Liabilities.
Restricted Securities Certain Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities may generally be sold privately, but are 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 securities may involve time-consuming negotiations and expenses, and prompt sale at an acceptable price may be difficult to achieve. Restricted securities held by the Funds at December 31, 2016 are disclosed in the Notes to Schedules of Investments.
U.S. Government Agencies or Government-Sponsored Enterprises Certain Funds may invest in securities of U.S. Government agencies or government-sponsored enterprises. U.S. Government securities 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 (“GNMA” or “Ginnie Mae”), 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. Zero coupon securities do not distribute interest on a current basis and tend to be subject to a greater risk than interest-paying securities. Government-related guarantors (i.e., not backed by the full faith and
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credit of the U.S. Government) include FNMA and the Federal Home Loan Mortgage Corporation (“FHLMC” or “Freddie Mac”). FNMA is a government-sponsored corporation. FNMA purchases conventional (i.e., not insured or guaranteed by any government agency) residential mortgages from a list of approved seller/servicers which include state and federally chartered savings and loan associations, mutual savings banks, commercial banks and credit unions and mortgage bankers. Pass-through securities issued by FNMA are guaranteed as to timely payment of principal and interest by FNMA, but are not backed by the full faith and credit of the U.S. Government. FHLMC issues Participation Certificates (“PCs”), which are pass-through securities, each representing an undivided interest in a pool of residential mortgages. FHLMC guarantees the timely payment of interest and ultimate collection of principal, but PCs are not backed by the full faith and credit of the U.S. Government.
Certain Funds may engage in strategies where they seek to extend the expiration or maturity of a position, such as a To Be Announced (“TBA”) security on an underlying asset, by closing out the position before expiration and opening a new position with respect to the same underlying asset with a later expiration date. TBA securities purchased or sold are reflected on the Statements of Assets and Liabilities as an asset or liability, respectively.
5. BORROWINGS AND OTHER FINANCING TRANSACTIONS
The following disclosures contain information on a Fund’s ability to lend or borrow cash or securities to the extent permitted under the Act, which may be viewed as borrowing or financing transactions by a Fund. The location of these instruments in each Fund’s financial statements is described below. For a detailed description of credit and counterparty risks that can be associated with borrowings and other financing transactions, please see Note 7, Principal Risks.
(a) Repurchase Agreements Certain Funds may engage in repurchase agreements. Under the terms of a typical repurchase agreement, a Fund purchases an underlying debt obligation (collateral) subject to an obligation of the seller to repurchase, and a Fund to resell, the obligation at an agreed-upon price and time. The underlying securities for all repurchase agreements are held by a Fund’s custodian or designated subcustodians under tri-party repurchase agreements. The market value of the collateral must be equal to or exceed the total amount of the repurchase obligations, including interest. Repurchase agreements, if any, including accrued interest, are included on the Statements of Assets and Liabilities. Interest earned is recorded as a component of interest income on the Statements of Operations. In periods of increased demand for collateral, a Fund may pay a fee for the receipt of collateral, which may result in interest expense to the Fund.
(b) Reverse Repurchase Agreements Certain Funds may enter into reverse repurchase agreements. In a reverse repurchase agreement, a Fund delivers a security in exchange for cash to a financial institution, the counterparty, with a simultaneous agreement to repurchase the same or substantially the same security at an agreed upon price and date. In an open maturity reverse repurchase agreement, there is no pre-determined repurchase date and the agreement can be terminated by the Fund or counterparty at any time. A Fund is entitled to receive principal and interest payments, if any, made on the security delivered to the counterparty during the term of the agreement. Cash received in exchange for securities delivered plus accrued interest payments to be made by a Fund to counterparties are reflected as a liability on the Statements of Assets and Liabilities. Interest payments made by a Fund to counterparties are recorded as a component of interest expense on the Statements of Operations. In periods of increased demand for the security, a Fund may receive a fee for use of the security by the counterparty, which may result in interest income to the Fund. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, a Fund’s use of the proceeds of the agreement may be restricted pending a determination by the other party, or its trustee or receiver, whether to enforce 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 (see Note 7, Principal Risks).
(c) Sale-Buybacks Certain Funds may enter into financing transactions referred to as ‘sale-buybacks’. A sale-buyback transaction consists of a sale of a security by a Fund 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. A Fund is not entitled to receive principal and interest payments, if any, made on the security sold to the counterparty during the term of the agreement. The agreed-upon proceeds for securities to be repurchased by a Fund are reflected as a liability on the Statements of Assets and Liabilities. A Fund will recognize net income represented by the price differential between the price received for the transferred security and the agreed-upon repurchase price. This is commonly referred to as the ‘price drop’. A price drop consists of (i) the foregone interest and inflationary income adjustments, if any, a Fund would have otherwise received had the security not been sold and (ii) the negotiated financing terms between a Fund and counterparty. Foregone interest and inflationary income adjustments, if any, are recorded as components of interest income on the Statements of Operations. Interest payments based upon negotiated financing terms made by a Fund to counterparties are recorded as a component of interest expense on the Statements of Operations. In periods of increased demand for the security, a Fund may receive a fee for use of the security by the counterparty, which may
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result in interest income to the Fund. Sale-buybacks involve leverage risk and also the risk that the market value of the securities to be repurchased may decline below the repurchase price (see Note 7, Principal Risks).
(d) Mortgage Dollar Rolls Certain Funds may enter into mortgage dollar roll transactions. Mortgage dollar rolls involve a Fund selling securities for delivery in the current month and simultaneously contracting to repurchase substantially similar (same type, same or similar interest rate and maturity) securities on a specified future date. The difference between the selling price and future purchase price is an adjustment to interest income on the Statements of Operations. During the roll period, a Fund forgoes principal and interest paid on the securities. A Fund’s dollar roll transactions are intended to enhance the Fund’s yield by earning a spread between the yield on the underlying mortgage securities and short-term interest rates. Dollar rolls involve leverage risk and also the risk that the market value of the securities to be repurchased may decline below the repurchase price (see Note 7, Principal Risks). PIMCO Strategic Income Fund, Inc. (“RCS”) accounts for mortgage dollar rolls as financing transactions. Please see “Federal Income Tax Matters” in the Notes to Financial Statements for information regarding such treatment by RCS and its impact on the Fund’s distributions and related tax consequences.
6. FINANCIAL DERIVATIVE INSTRUMENTS
The following disclosures contain information on how and why the Funds may use financial derivative instruments, the credit-risk-related contingent features in certain financial derivative instruments and how financial derivative instruments affect the Funds’ financial position, results of operations and cash flows. The location and fair value amounts of these instruments on the Statements of Assets and Liabilities and of the realized appreciation (depreciation) and changes in unrealized appreciation (depreciation) related to such instruments on the Statements of Operations, each categorized by type of financial derivative contract and related risk exposure, are included in a table in the Notes to Schedules of Investments. The financial derivative instruments outstanding as of period end and the amounts of realized and changes in unrealized appreciation (depreciation) on financial derivative instruments during the period, as disclosed in the Notes to Schedules of Investments, serve as indicators of the volume of financial derivative activity for the Funds.
PIMCO Global StocksPLUS® & Income Fund is subject to regulation as a commodity pool under the Commodity Exchange Act pursuant to recent rule changes by the Commodity Futures Trading Commission (the “CFTC”). The Manager has registered with the CFTC as a Commodity Pool Operator and a Commodity Trading Adviser with respect to the Fund, and is a member of the National Futures
Association. As a result, additional CFTC-mandated disclosure, reporting and recordkeeping obligations apply to PIMCO Global StocksPLUS® & Income Fund. Compliance with the CFTC’s regulatory requirements could increase PIMCO Global StocksPLUS® & Income Fund’s expenses, adversely affecting its total return.
(a) Forward Foreign Currency Contracts Certain Funds may enter into forward foreign currency contracts in connection with settling planned purchases or sales of securities, to hedge the currency exposure associated with some or all of a Fund’s securities or as a part of an investment strategy. A forward foreign currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. The market value of a forward foreign currency contract fluctuates with changes in foreign currency exchange rates. Forward foreign currency contracts are marked to market daily, and the change in value is recorded by a Fund as an unrealized gain (loss).
Realized gains (losses) are equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed and are recorded upon delivery or receipt of the currency. The contractual obligations of a buyer or seller of a forward foreign currency contract may generally be satisfied by taking or making physical delivery of the underlying currency, establishing an opposite position in the contract and recognizing the profit or loss on both positions simultaneously on the delivery date or, in some instances, paying a cash settlement before the designated date of delivery. These contracts may involve market risk in excess of the unrealized gain (loss) reflected on the Statements of Assets and Liabilities. Although forwards may be intended to minimize the risk of loss due to a decline in the value of the hedged currencies, at the same time, they tend to limit any potential gain which might result should the value of such currencies increase. In addition, a Fund could be exposed to risk if the counterparties are unable to meet the terms of the contracts or if the value of the currency changes unfavorably to the U.S. dollar. To mitigate such risk, cash or securities may be exchanged as collateral pursuant to the terms of the underlying contracts.
(b) Futures Contracts Certain Funds may enter into futures contracts. A Fund may use futures contracts to manage its exposure to the securities markets or to movements in interest rates and currency values or for other investment purposes. Generally, a futures contract provides for the future sale by one party and purchase by another party of a specified quantity of the security or other financial instrument at a specified price and time. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in market value of the securities held by a Fund and the prices of futures contracts and the possibility of an illiquid market. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, a Fund is required to deposit with its futures
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broker an amount of cash, U.S. Government and Agency Obligations, or select sovereign debt, in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily, and based on changes in the price of the contracts, a Fund pays or receives cash or other eligible assets equal to the daily change in the value of the contract (“variation margin”). Gains (losses) are recognized but not considered realized until the contracts expire or close. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin included within exchange traded or centrally cleared financial derivative instruments on the Statements of Assets and Liabilities.
(c) Options Contracts Certain Funds may write call and put options on securities and financial derivative instruments they own or in which they may invest. An option on an instrument (or an index) is a contract that gives the holder of the option, in return for a premium, the right to buy from (in the case of a call) or sell to (in the case of a put) the writer of the option the instrument underlying the option (or the cash value of the index) at a specified exercise price at any time during the term of the option. Writing put options tends to increase a Fund’s exposure to the underlying instrument. Writing call options tends to decrease a Fund’s exposure to the underlying instrument. When a Fund writes a call or put, an amount equal to the premium received is recorded as a liability and subsequently marked to market to reflect the current value of the option written. These liabilities are included on the Statements of Assets and Liabilities. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against amounts paid on the underlying futures, swap, security or currency transaction to determine the realized gain (loss). Certain options may be written with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms. A Fund as a writer of an option has no control over whether the underlying instrument may be sold (“call”) or purchased (“put”) and as a result bears the market risk of an unfavorable change in the price of the instrument underlying the written option. There is the risk a Fund may not be able to enter into a closing transaction because of an illiquid market.
Certain Funds may also purchase put and call options. Purchasing call options tends to increase a Fund’s exposure to the underlying instrument. Purchasing put options tends to decrease a Fund’s exposure to the underlying instrument. A Fund pays a premium which is included as an asset on the Statements of Assets and Liabilities and subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options which expire are treated as realized losses. Certain options may be purchased with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms. The risk
associated with purchasing put and call options is limited to the premium paid. Premiums paid for purchasing options which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain (loss) when the underlying transaction is executed.
Options on Exchange-Traded Futures Contracts Certain Funds may write or purchase options on exchange-traded futures contracts (“Futures Options”) to hedge an existing position or future investment, for speculative purposes or to manage exposure to market movements. A Futures Option is an option contract in which the underlying instrument is a single futures contract.
Options on Securities Certain Funds may write or purchase options on securities. An option uses a specified security as the underlying instrument for the option contract. A Fund may write or purchase options to enhance returns or to hedge an existing position or future investment.
(d) Swap Agreements Certain Funds may invest in swap agreements. Swap agreements are bilaterally negotiated agreements between a Fund and a counterparty to exchange or swap investment cash flows, assets, foreign currencies or market-linked returns at specified, future intervals. Swap agreements may be privately negotiated in the over the counter market (“OTC swaps”) or may be cleared through a third party, known as a central counterparty or derivatives clearing organization (“Centrally Cleared Swaps”). A Fund may enter into asset, credit default, cross-currency, interest rate, total return, variance and other forms of swap agreements to manage its exposure to credit, currency, interest rate, commodity, equity and inflation risk. In connection with these agreements, securities or cash may be identified as collateral or margin in accordance with the terms of the respective swap agreements to provide assets of value and recourse in the event of default or bankruptcy/insolvency.
Centrally Cleared Swaps are marked to market daily based upon valuations as determined from the underlying contract or in accordance with the requirements of the central counterparty or derivatives clearing organization. Changes in market value, if any, are reflected as a component of net change in unrealized appreciation (depreciation) on the Statements of Operations. Daily changes in valuation of centrally cleared swaps, if any, are recorded as variation margin on the Statements of Assets and Liabilities. OTC swap payments received or paid at the beginning of the measurement period are included on the Statements of Assets and Liabilities and represent premiums paid or received upon entering into the swap agreement to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors). Upfront premiums received (paid) are initially recorded as liabilities (assets) and subsequently
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marked to market to reflect the current value of the swap. These upfront premiums are recorded as realized gains (losses) on the Statements of Operations upon termination or maturity of the swap. A liquidation payment received or made at the termination of the swap is recorded as realized gain (loss) on the Statements of Operations. Net periodic payments received or paid by a Fund are included as part of realized gains (losses) on the Statements of Operations.
For purposes of applying a Fund’s investment policies and restrictions, swap agreements are generally valued by a Fund at market value. In the case of a credit default swap, however, in applying certain of a Fund’s investment policies and restrictions, the Funds will value the credit default swap at its notional value or its full exposure value (i.e., the sum of the notional amount for the contract plus the market value), but may value the credit default swap at market value for purposes of applying certain of a Fund’s other investment policies and restrictions. For example, a Fund may value credit default swaps at full exposure value for purposes of a Fund’s credit quality guidelines (if any) because such value reflects a Fund’s actual economic exposure during the term of the credit default swap agreement. In this context, both the notional amount and the market value may be positive or negative depending on whether a Fund is selling or buying protection through the credit default swap. The manner in which certain securities or other instruments are valued by a Fund for purposes of applying investment policies and restrictions may differ from the manner in which those investments are valued by other types of investors.
Entering into swap agreements involves, to varying degrees, elements of interest, credit, market and documentation risk in excess of the amounts recognized on the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of contractual terms in the agreements and that there may be unfavorable changes in interest rates or the asset upon which the swap is based.
A Fund’s maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from the counterparty over the contract’s remaining life, to the extent that amount is positive. The risk may be mitigated by having a master netting arrangement between a Fund and the counterparty and by the posting of collateral to a Fund to cover a Fund’s exposure to the counterparty.
Credit Default Swap Agreements A Fund may use credit default swaps on corporate, loan, sovereign, U.S. municipal or U.S. Treasury issues to provide a measure of protection against defaults of the issuers (i.e., to reduce risk where a Fund owns or has exposure to the referenced obligation) or to take an active long or short position with respect to the likelihood of a particular issuer’s default. Credit default swap agreements involve one party making a stream of payments
(referred to as the buyer of protection) to another party (the seller of protection) in exchange for the right to receive a specified return in the event that the referenced entity, obligation or index, as specified in the agreement, undergoes a certain credit event. As a seller of protection on credit default swap agreements, a Fund will generally receive from the buyer of protection a fixed rate of income throughout the term of the swap provided that there is no credit event. As the seller, a Fund would effectively add leverage to its portfolio because, in addition to its total net assets, a Fund would be subject to investment exposure on the notional amount of the swap.
If a Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. If a Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. Recovery values are estimated by market makers considering either industry standard recovery rates or entity specific factors and considerations until a credit event occurs. If a credit event has occurred, the recovery value is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the settlement value. The ability to deliver other obligations may result in a cheapest-to-deliver option (the buyer of protection’s right to choose the deliverable obligation with the lowest value following a credit event).
Credit default swap agreements on corporate or sovereign issues involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a 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
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the right to receive a specified return in the event of a default or other credit event. Unlike credit default swaps on corporate loan, U.S. municipal, U.S. Treasury or sovereign issues, deliverable obligations in most instances would be limited to the specific referenced 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 under the terms of the swap agreement and the notional amount for the swap agreement will be adjusted by corresponding amounts. A 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.
Credit default swap agreements on credit indices involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a write-down, principal shortfall, interest shortfall or default of all or part of the referenced entities comprising the credit index. A credit index is a basket of credit instruments or exposures designed to be representative of some part of the credit market as a whole. These indices are made up of reference credits that are judged by a poll of dealers to be the most liquid entities in the credit default swap market based on the sector of the index. Components of the indices may include, but are not limited to, investment grade securities, high yield securities, asset-backed securities, emerging markets, and/or various credit ratings within each sector. Credit indices are traded using credit default swaps with standardized terms including a fixed spread and standard maturity dates. An index credit default swap references all the names in the index, and if there is a default, the credit event is settled based on that name’s weight in the index. The composition of the indices changes periodically, usually every six months, and for most indices, each name has an equal weight in the index. Credit default swaps on credit indices may be used to hedge a portfolio of credit default swaps or bonds, which is less expensive than it would be to buy many credit default swaps to achieve a similar effect or to take an active long or short position with respect to the likelihood of a particular referenced obligation’s default. Credit default swaps on indices are instruments often used to attempt to protect investors owning bonds against default, but may also be used for speculative purposes.
Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate, sovereign or U.S. municipal issues as of period end are disclosed in the Notes to Schedules of Investments. They serve as an indicator of the current status of payment/performance risk and
represent the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. For credit default swap agreements on asset-backed securities and credit indices, the quoted market prices and resulting values serve as the indicator of the current status of the payment/ performance risk. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
The maximum potential undiscounted amount of future payments that a Fund as a seller of protection could be required to make under a credit default swap agreement equals the notional amount of the agreement. Notional amounts of each individual credit default swap agreement outstanding as of period end for which a Fund is the seller of protection are disclosed in the Notes to Schedules of Investments. These potential amounts would be partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swap agreements entered into by a Fund for the same referenced entity or entities.
Interest Rate Swap Agreements Certain Funds are subject to interest rate risk exposure in the normal course of pursuing their investment objectives. If a Fund holds fixed rate bonds, the value of these bonds may decrease if interest rates rise. To help hedge against this risk and to maintain its ability to generate income at prevailing market rates, a Fund may enter into interest rate swap agreements. Interest rate swap agreements involve the exchange by a Fund with another party for their respective commitment to pay or receive interest on the notional amount of principal. Certain forms of interest rate swap agreements may include: (i) interest rate caps, under which, in return for a premium, one party agrees to make payments to the other to the extent that interest rates exceed a specified rate, or “cap”, (ii) interest rate floors, under which, in return for a premium, one party agrees to make payments to the other to the extent that interest rates fall below a specified rate, or “floor”, (iii) interest rate collars, under which a party sells a cap and purchases a floor or vice versa in an attempt to protect itself against interest rate movements exceeding given minimum or maximum levels, (iv) callable interest rate swaps, under which the buyer pays an upfront fee in consideration for the right to early terminate the swap transaction in whole, at zero cost and at a predetermined date and time prior to the maturity date, (v) spreadlocks, which allow the
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interest rate swap users to lock in the forward differential (or spread) between the interest rate swap rate and a specified benchmark, or (vi) basis swaps, under which two parties can exchange variable interest rates based on different segments of money markets.
Total Return Swap Agreements Certain Funds may enter into total return swap agreements to gain or mitigate exposure to the underlying reference asset. Total return swap agreements involve commitments where single or multiple cash flows are exchanged based on the price of an underlying reference asset and on a fixed or variable interest rate. Total return swap agreements may involve commitments to pay interest in exchange for a market-linked return. One counterparty pays out the total return of a specific reference asset, which may include an underlying equity, index, or bond, and in return receives a fixed or variable rate. At the maturity date, a net cash flow is exchanged where the total return is equivalent to the return of the underlying reference less a financing rate, if any. As a receiver, a Fund would receive payments based on any positive total return and would owe payments in the event of a negative total return. As the payer, a Fund would owe payments on any net positive total return, and would receive payments in the event of a negative total return. A Fund’s use of a total return swap exposes the Fund to credit loss in the event of nonperformance by the swap counterparty. Risk may also arise from the unanticipated movements in value of exchange rates, interest rates, securities, or the index.
Asset Segregation Certain of the transactions described above can be viewed as constituting a form of borrowing or financing transaction by a Fund. In such event, a Fund may but is not required to 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, futures contracts, options and swaps that are contractually permitted or required to cash settle (i.e., where physical delivery of the underlying reference asset is not required), a Fund is permitted to segregate or earmark liquid assets equal to the Fund’s daily marked-to-market net obligation under the derivative instrument, if any, rather than the derivative’s full notional value. By segregating or earmarking liquid assets equal to only its net marked-to-market obligation under derivatives that are required to cash settle, a Fund will have the ability to employ leverage to a greater extent than if a Fund were to segregate or earmark liquid assets equal to the full notional value of the derivative.
7. PRINCIPAL RISKS
In the normal course of business, the Funds trade financial instruments and enter into financial transactions where risk of potential loss exists due to such things as changes in the market (market risk) or failure or
inability of the other party to a transaction to perform (credit and counterparty risk). See below for a detailed description of select principal risks. For a more comprehensive list of potential risks the Funds may be subject to, please see the Important Information About the Funds.
Market Risks A Fund’s investments in financial derivatives and other financial instruments expose the Fund to various risks such as, but not limited to, interest rate, foreign currency, equity and commodity risks.
Interest rate risk is the risk that fixed income securities and other instruments held by a Fund will decline in value because of changes in interest rates. As nominal interest rates rise, the value of certain fixed income securities held by a Fund is likely to decrease. A nominal interest rate can be described as the sum of a real interest rate and an expected inflation rate. Interest rate changes can be sudden and unpredictable, and a Fund may lose money if these changes are not anticipated by Fund management. A Fund may not be able to hedge against changes in interest rates or may choose not to do so for cost or other reasons. In addition, any hedges may not work as intended.
Fixed income securities with longer durations tend to be more sensitive to changes in interest rates, usually making them more volatile than securities with shorter durations. Duration is a measure used to determine the sensitivity of a security’s price to changes in interest rates that incorporates a security’s yield, coupon, final maturity and call features, among other characteristics. Duration is useful primarily as a measure of the sensitivity of a fixed income security’s market price to interest rate (i.e. yield) movements. All other things remaining equal, for each one percentage point increase in interest rates, the value of a portfolio of fixed income investments would generally be expected to decline by one percent for every year of the portfolio’s average duration above zero. For example, the value of a portfolio of fixed income securities with an average duration of three years would generally be expected to decline by approximately 3% if interest rates rose by one percentage point. Convexity is an additional measure used to understand a security’s interest rate sensitivity. Convexity measures the rate of change of duration in response to changes in interest rates and may be positive or negative Securities with negative convexity may experience greater losses during periods of rising interest rates, and accordingly Funds holding such securities may be subject to a greater risk of losses in periods of rising interest rates. A wide variety of factors can cause interest rates to rise (e.g., central bank monetary policies, inflation rates, general economic conditions). At present, the U.S. is experiencing historically low interest rates. This, combined with recent economic recovery, the Federal Reserve Board’s conclusion of its quantitative easing program, and recent increases in interest rates for the first time since 2006, could potentially increase the probability of an upward interest rate environment in the near future. During periods
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of very low or negative interest rates, a Fund may be unable to maintain positive returns. Changing interest rates, including rates that fall below zero, may have unpredictable effects on markets, may result in heightened market volatility and may detract from Fund performance to the extent a Fund is exposed to such interest rates. Rising interest rates may result in a decline in value of a Fund’s fixed-income investments and in periods of volatility. Further, while U.S. bond markets have steadily grown over the past three decades, dealer “market making” ability has remained relatively stagnant. As a result, dealer inventories of certain types of bonds and similar instruments, which provide a core indication of the ability of financial intermediaries to “make markets,” are at or near historic lows in relation to market size. Because market makers provide stability to a market through their intermediary services, the significant reduction in dealer inventories could potentially lead to decreased liquidity and increased volatility in the fixed income markets. Such issues may be exacerbated during periods of economic uncertainty. All of these factors, collectively and/or individually, could cause a Fund to lose value.
Foreign (non-U.S.) securities in this report are classified by the country of incorporation of a holding. In certain instances, a security’s country of incorporation may be different from its country of economic exposure. If a Fund invests directly in foreign (non-U.S.) currencies or in securities that trade in, and receive revenues in, foreign (non-U.S.) currencies, or in financial derivatives that provide exposure to foreign (non-U.S.) currencies, it will be subject to the risk that those currencies will decline in value relative to the base currency of the Fund, or, in the case of hedging positions, that the Fund’s base currency will decline in value relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons, including changes in interest rates, intervention (or the failure to intervene) by U.S. or foreign governments, central banks or supranational entities such as the International Monetary Fund, or by the imposition of currency controls or other political developments in the United States or abroad. As a result, a Fund’s investments in foreign currency denominated securities may reduce the Fund’s returns.
The market values of a Fund’s investments may decline due to general market conditions which are not specifically related to a particular company or issuer, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates or adverse investor sentiment. They may also decline due to factors which affect a particular industry or industries, such as labor shortages or increased production costs and competitive conditions within an industry. Equity securities and equity related investments generally have greater market price volatility than fixed income securities, although under certain market conditions fixed income securities may have comparable or greater price volatility. Credit
ratings downgrades may also negatively affect securities held by a Fund. Even when markets perform well, there is no assurance that the investments held by a Fund will increase in value along with the broader market. In addition, market risk includes the risk that geopolitical events will disrupt the economy on a national or global level.
A Fund’s investments in commodity-linked financial derivative instruments may subject the Fund to greater market price volatility than investments in traditional securities. The value of commodity-linked financial derivative instruments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity, such as drought, floods, weather, livestock disease, embargoes, tariffs and international economic, political and regulatory developments.
Credit and Counterparty Risks A Fund will be exposed to credit risk to parties with whom it trades and will also bear the risk of settlement default. A Fund seeks to minimize concentrations of credit risk by undertaking transactions with a large number of counterparties on recognized and reputable exchanges, where applicable. Over the counter (“OTC”) derivative transactions are subject to the risk that a counterparty to the transaction will not fulfill its contractual obligations to the other party, as many of the protections afforded to centrally cleared derivative transactions might not be available for OTC derivative transactions. For derivatives traded on an exchange or through a central counterparty, credit risk resides with the Fund’s clearing broker, or the clearinghouse itself, rather than with a counterparty in an OTC derivative transaction. A Fund could lose money if the issuer or guarantor of a fixed income security, or the counterparty to a financial derivatives contract, repurchase agreement or a loan of portfolio securities, is unable or unwilling to make timely principal and/or interest payments, or to otherwise honor its obligations. Securities are subject to varying degrees of credit risk, which are often reflected in credit ratings.
Similar to credit risk, a Fund may be exposed to counterparty risk, or the risk that an institution or other entity with which a Fund has unsettled or open transactions will default. PIMCO, as Manager, seeks to minimize counterparty risks to a Fund in a number of ways. Prior to entering into transactions with a new counterparty, the PIMCO Counterparty Risk Committee conducts an extensive credit review of such counterparty and must approve the use of such counterparty. Furthermore, pursuant to the terms of the underlying contract, to the extent that unpaid amounts owed to a Fund exceed a predetermined threshold, such counterparty is required to advance collateral to a Fund in the form of cash or securities equal in value to the unpaid amount owed to the Fund. A Fund may invest such collateral in securities or other instruments and will typically pay interest to the counterparty on the collateral received. If the unpaid amount owed to a Fund
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subsequently decreases, the Fund would be required to return to the counterparty all or a portion of the collateral previously advanced to the Fund. PIMCO’s attempts to minimize counterparty risk may, however, be unsuccessful.
All transactions in listed securities are settled/paid for upon delivery using approved counterparties. The risk of default is considered minimal, as delivery of securities sold is only made once a Fund has received payment. Payment is made on a purchase once the securities have been delivered by the counterparty. The trade will fail if either party fails to meet its obligation.
To the extent a Fund has a policy to limit the net amount owed to or to be received from a single counterparty under existing swap agreements, such limitation only applies to counterparties to over the counter swaps and does not apply to centrally cleared swaps where the counterparty is a central counterparty or derivatives clearing organization.
Master Netting Arrangements The Funds may be subject to various netting arrangements with select counterparties (“Master Agreements”). Master Agreements govern the terms of certain transactions, and are intended to reduce the counterparty risk associated with relevant transactions by specifying credit protection mechanisms and providing standardization that is intended to improve legal certainty. Each type of Master Agreement governs certain types of transactions. Different types of transactions may be traded out of different legal entities or affiliates of a particular organization, resulting in the need for multiple agreements with a single counterparty. As the Master Agreements are specific to unique operations of different asset types, they allow a Fund to close out and net its total exposure to a counterparty in the event of a default with respect to all the transactions governed under a single Master Agreement with a counterparty. For financial reporting purposes the Statements of Assets and Liabilities generally present derivative assets and liabilities on a gross basis, which reflects the full risks and exposures prior to netting.
Master Agreements can also help limit counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under the Master Agreements, collateral is routinely transferred if the total net exposure to certain transactions (net of existing collateral already in place) governed under the relevant Master Agreement with a counterparty in a given account exceeds a specified threshold, which typically ranges from zero to $250,000 depending on the counterparty and the type of Master Agreement. United States Treasury Bills and U.S. dollar cash are generally the preferred forms of collateral, although other forms of AAA rated paper or sovereign securities may be used. Securities and cash pledged as collateral are reflected as assets on the Statements of Assets and Liabilities as either a component of Investments at value (securities) or Deposits with counterparty (cash).
Cash collateral received is typically not held in a segregated account and as such is reflected as a liability on the Statements of Assets and Liabilities as Deposits from counterparty. The market value of any securities received as collateral is not reflected as a component of NAV. A Fund’s overall exposure to counterparty risk can change substantially within a short period, as it is affected by each transaction subject to the relevant Master Agreement.
Master Repurchase Agreements and Global Master Repurchase Agreements (individually and collectively “Master Repo Agreements”) govern repurchase, reverse repurchase, and sale-buyback transactions between the Funds and select counterparties. Master Repo Agreements maintain provisions for, among other things, transaction initiation, income payments, events of default, and maintenance of collateral. The market value of transactions under the Master Repo Agreement, collateral pledged or received, and the net exposure by counterparty as of period end are disclosed in the Notes to Schedules of Investments.
Master Securities Forward Transaction Agreements (“Master Forward Agreements”) govern the considerations and factors surrounding the settlement of certain forward settling transactions, such as TBA securities, delayed-delivery or sale-buyback transactions by and between a Fund and select counterparties. The Master Forward Agreements maintain provisions for, among other things, transaction initiation and confirmation, payment and transfer, events of default, termination, and maintenance of collateral. The market value of forward settling transactions, collateral pledged or received, and the net exposure by counterparty as of period end is disclosed in the Notes to Schedules of Investments.
Customer Account Agreements and related addenda govern cleared derivatives transactions such as futures, options on futures, and cleared OTC derivatives. Cleared derivatives transactions require posting of initial margin as determined by each relevant clearing agency which is segregated at a broker account registered with the CFTC, or the applicable regulator. In the United States, counterparty risk may be reduced as creditors of a futures broker do not have a claim to Fund assets in the segregated account. Portability of exposure reduces risk to the Funds. Variation margin, or changes in market value, are 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 is disclosed in the Notes to Schedule of Investments.
International Swaps and Derivatives Association, Inc. Master Agreements and Credit Support Annexes (“ISDA Master Agreements”) govern OTC financial derivative transactions entered into by a Fund and
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select counterparties. ISDA Master Agreements maintain provisions for general obligations, representations, agreements, collateral posting and events of default or termination. Events of termination include conditions that may entitle counterparties to elect to terminate early and cause settlement of all outstanding transactions under the applicable ISDA Master Agreement. Any election to terminate early could be material to the financial statements. In limited circumstances, the ISDA Master Agreement may contain additional provisions that add counterparty protection beyond coverage of existing daily exposure if the counterparty has a decline in credit quality below a predefined level. These amounts, if any, may be segregated with a third-party custodian. The market value of OTC financial derivative instruments, collateral received or pledged, and net exposure by counterparty as of period end are disclosed in the Notes to Schedules of Investments.
8. FEES AND EXPENSES
(a) Management Fee Pursuant to the Investment Management Agreement with PIMCO (the “Agreement”), and subject to the supervision of the Board, PIMCO is responsible for providing to each Fund investment guidance and policy direction in connection with the management of the Fund, including oral and written research, analysis, advice, and statistical and economic data and information. In addition, pursuant to the Agreement and subject to the general supervision of the Board, PIMCO, at its expense, provides or causes to be furnished most other supervisory and administrative services the Funds require, including but not limited to, expenses of most third-party service providers (e.g., audit, custodial, legal, transfer agency, printing) and other expenses, such as those associated with insurance, proxy solicitations and mailings for shareholder meetings, New York Stock Exchange listing and related fees, tax services, valuation services and other services the Funds require for their daily operations.
Pursuant to the Agreement, PIMCO receives an annual fee, payable monthly, at the annual rates shown in the table below:
Fund Name | Annual Rate | |||||||
PCM Fund, Inc. | 0.900% | (1) | ||||||
PIMCO Global StocksPLUS® & Income Fund | 1.105% | (2) | ||||||
PIMCO Income Opportunity Fund | 1.055% | (1) | ||||||
PIMCO Strategic Income Fund, Inc. | 0.955% | (3) | ||||||
PIMCO Dynamic Credit and Mortgage Income Fund | 1.150% | (4) | ||||||
PIMCO Dynamic Income Fund | 1.150% | (4) |
(1) | Management fees calculated based on the Fund’s average daily “total managed assets”. Total managed assets refer to the total assets of each Fund (including assets attributable to any reverse repurchase agreements, borrowings and preferred shares that may be outstanding) minus accrued liabilities (other than liabilities representing reverse repurchase agreements and borrowings). |
(2) | Management fees calculated based on the Fund’s average daily “total managed assets”. Total managed assets refer to the total assets of each Fund (including assets attributable to any preferred shares and borrowings that may be outstanding) minus accrued liabilities (other than liabilities representing borrowings). |
(3) | Management fees calculated based on the Fund’s average daily net asset value (including daily net assets attributable to any preferred shares of the Fund that may be outstanding). |
(4) | 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) minus accrued liabilities (other than liabilities representing reverse repurchase agreements, dollar rolls and borrowings). |
(b) Fund Expenses Each Fund bears other expenses, which may vary and affect the total level of expenses paid by shareholders, such as (i) salaries and other compensation or expenses, including travel expenses of any of the Fund’s executive officers and employees, if any, who are not officers, directors, shareholders, members, partners or employees of PIMCO or its subsidiaries or affiliates; (ii) taxes and governmental fees, if any, levied against the Fund; (iii) brokerage fees and commissions and other portfolio transaction expenses incurred by or for the Fund (including, without limitation, fees and expenses of outside legal counsel or third-party consultants retained in connection with reviewing, negotiating and structuring specialized loan and other investments made by the Fund, subject to specific or general authorization by the Fund’s Board); (iv) expenses of the Fund’s securities lending (if any), including any securities lending agent fees, as governed by a separate securities lending agreement; (v) costs, including interest expense, of borrowing money or engaging in other types of leverage financing, including, without limitation, through the use by the Fund of reverse repurchase agreements, tender option bonds, bank borrowings and credit facilities; (vi) costs, including dividend and/or interest expenses and other costs (including, without limitation, offering and related legal costs, fees to brokers, fees to auction agents, fees to transfer agents, fees to ratings agencies and fees to auditors associated with satisfying ratings agency requirements for preferred shares or other securities issued by the Fund and other related requirements in the Fund’s organizational documents) associated with the Fund’s issuance, offering, redemption and maintenance of preferred shares, commercial paper or other senior securities for the purpose of incurring leverage; (vii) fees and expenses of any underlying funds or other pooled investment vehicles in which the Fund invests; (viii) dividend and interest expenses on short positions taken by the Fund; (ix) fees and expenses, including travel expenses, and fees and expenses of legal counsel retained for their benefit, of Trustees who are not officers, employees, partners, shareholders or members of PIMCO or its subsidiaries or affiliates; (x) extraordinary expenses, including extraordinary legal expenses, that may arise, including expenses incurred in connection with litigation, proceedings, other claims, and the legal obligations of the Fund to indemnify its Trustees, officers, employees, shareholders, distributors, and agents with respect thereto; (xi) organizational and offering expenses of the Fund, including with respect to share offerings, such as rights offerings and shelf offerings, following the Fund’s initial offering, and expenses
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Notes to Financial Statements (Cont.)
associated with tender offers and other share repurchases and redemptions; and (xii) expenses of the Fund which are capitalized in accordance with U.S. GAAP.
Each of the Trustees of the Funds who is not an “interested person” under Section 2(a)(19) of the Act, (the “Independent Trustees”) also serves as a trustee of a number of other closed-end funds for which PIMCO serves as investment manager (together with the Funds, the “PIMCO Closed-End Funds”), as well as PIMCO Flexible Credit Income Fund, a closed end management investment company managed by PIMCO that is operated as an “interval fund” (the “PIMCO-Managed Interval Fund”) PIMCO Managed Accounts Trust, an open-end 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-Managed Interval Fund, the “PIMCO-Managed Funds”). In addition, each of the Independent Trustees also serves as a trustee of certain investment companies (together, the “Allianz-Managed Funds”), for which Allianz Global Investors Fund Management (“AGIFM”), an affiliate of PIMCO that served as the investment manager of the PIMCO Managed Funds prior to the close of business on September 5, 2014, serves as investment adviser.
Each Independent Trustee currently receives annual compensation of $225,000 for his or her service on the Boards of the PIMCO-Managed Funds, payable quarterly. The Independent Chairman of the Boards receives an additional $75,000 per year, payable quarterly. The Audit Oversight Committee Chairman receives an additional $50,000 annually, payable quarterly. Trustees are also reimbursed for meeting-related expenses.
Each Trustee’s compensation for his or her service as a Trustee on the Boards of the PIMCO Managed Funds and other costs in connection with joint meetings of such Funds are allocated among the PIMCO-Managed Funds, as applicable, on the basis of fixed percentages between PMAT and the PIMCO Closed-End Funds. Trustee compensation and other costs will then be further allocated pro rata among the individual PIMCO-Managed Funds within each grouping based on each such PIMCO-Managed Fund’s relative net assets.
9. RELATED PARTY TRANSACTIONS
The Manager is a related party. Fees payable to this party are disclosed in Note 8 and the accrued related party fee amounts are disclosed on the Statements of Assets and Liabilities.
Certain Funds are permitted to purchase or sell securities from or to certain related affiliated funds under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of securities by the Funds from or
to another fund or portfolio that are, or could be, considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule 17a-7 of the Act. Further, as defined under the procedures, each transaction is effected at the current market price. During the period ended December 31, 2016, the Funds below engaged in purchases and sales of securities pursuant to Rule 17a-7 of the Act (amounts in thousands†):
Purchases | Sales | |||||||||||
PCM Fund, Inc. | $ | — | $ | 5,433 | ||||||||
PIMCO Global StocksPLUS® & Income Fund | 736 | 371 | ||||||||||
PIMCO Income Opportunity Fund | 3,623 | 18,023 | ||||||||||
PIMCO Strategic Income Fund, Inc. | — | 5,217 | ||||||||||
PIMCO Dynamic Credit and Mortgage Income Fund | 27,360 | 314,572 | ||||||||||
PIMCO Dynamic Income Fund | 4,525 | 103,294 |
† | A zero balance may reflect actual amounts rounding to less than one thousand. |
10. GUARANTEES AND INDEMNIFICATIONS
Under the organizational documents of PIMCO Global StocksPLUS® & Income Fund, PIMCO Income Opportunity Fund, PIMCO Dynamic Credit and Mortgage Income Fund and PIMCO Dynamic Income Fund each Trustee and officer is indemnified, to the extent permitted by the Act, against certain liabilities that may arise out of performance of their duties to the Funds. Under the organizational documents of PCM Fund, Inc., and PIMCO Strategic Income Fund, Inc., each Director and officer is indemnified to the fullest extent permitted by Maryland law and the Act. For PCM Fund, Inc., employees and agents of the Fund are also indemnified to the maximum extent permitted by Maryland Law and the Act. For PIMCO Strategic Income Fund, Inc., employees and agents of the Fund may be indemnified to the extent determined by the Board and subject to the limitations of the Act. Additionally, in the normal course of business, the Funds enter into contracts that contain a variety of indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds have not had prior claims or losses pursuant to these contracts.
11. PURCHASES AND SALES OF SECURITIES
The length of time a Fund has held a particular security is not generally a consideration in investment decisions. A change in the securities held by a Fund is known as “portfolio turnover.” Each Fund may engage in frequent and active trading of portfolio securities to achieve its investment objective, particularly during periods of volatile market movements. High portfolio turnover involves correspondingly greater transaction costs to a 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 also result in realization of taxable capital gains, including short-term capital gains
108 | PIMCO CLOSED-END FUNDS |
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December 31, 2016 (Unaudited)
(which are generally taxed at ordinary income tax rates). The transaction costs and tax effects associated with portfolio turnover may adversely affect a 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, 2016, as indicated below, were as follows (amounts in thousands†):
U.S. Government/Agency | All Other | |||||||||||||||||||
Fund Name | Purchases | Sales | Purchases | Sales | ||||||||||||||||
PCM Fund, Inc. | $ | 0 | $ | 0 | $ | 24,004 | $ | 7,927 | ||||||||||||
PIMCO Global StocksPLUS® & Income Fund | 0 | 107 | 17,854 | 10,623 | ||||||||||||||||
PIMCO Income Opportunity Fund | 0 | 400 | 98,437 | 73,128 | ||||||||||||||||
PIMCO Strategic Income Fund, Inc. | 101,037 | 0 | 60,800 | 23,552 | ||||||||||||||||
PIMCO Dynamic Credit and Mortgage Income Fund | 4,817 | 1,498 | 912,201 | 750,197 | ||||||||||||||||
PIMCO Dynamic Income Fund | 2,107 | 6,798 | 292,669 | 239,419 |
† | A zero balance may reflect actual amounts rounding to less than one thousand. |
12. BASIS FOR CONSOLIDATION
PDILS I LLC and PCILS I LLC (each a “Subsidiary” and, collectively, the “Subsidiaries”), both Delaware LLC exempted companies, were formed as wholly owned subsidiaries acting as investment vehicles for PIMCO Dynamic Credit and Mortgage Income Fund and PIMCO Dynamic Income Fund (for purposes of this section, each a “Fund” and, collectively, the “Funds”), respectively, in order to effect certain investments consistent with each Fund’s objectives and policies in effect from time to time. PDILS I LLC and PCILS I LLC were formed on March 12, 2013 and March 7, 2013, respectively. PIMCO Dynamic Income Credit and Mortgage Fund’s and PIMCO Dynamic Income Fund’s investment portfolios have been consolidated and include the portfolio holdings of each Fund’s respective Subsidiary. Accordingly, the consolidated financial statements for each Fund include the accounts of each Fund’s respective subsidiary. All inter-company transactions and balances have been eliminated. This structure was established so that certain loans could be held by a separate legal entity from the Funds.
13. REGULATORY AND LITIGATION MATTERS
The Funds are not named as defendants in any material litigation or arbitration proceedings and are not aware of any material litigation or claim pending or threatened against them.
PIMCO, the investment manager of the PIMCO Total Return Active Exchange-Traded Fund (“BOND”), has entered into a settlement agreement with the SEC that relates to BOND.
The settlement relates to disclosures regarding BOND’s performance attribution during the first four months of its existence in 2012 and the valuation of 43 smaller-sized positions of non-agency mortgage-backed
securities using third-party vendor prices, as well as PIMCO’s policies and procedures related to these matters.
The settlement resolves the SEC’s investigation of BOND
The foregoing speaks only as of the date of this report.
14. FEDERAL INCOME TAX MATTERS
Each Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code (the “Code”) and distribute all of its taxable income and net realized gains, if applicable, to shareholders. Accordingly, no provision for Federal income taxes has been made.
The Funds may be subject to local withholding taxes, including those imposed on realized capital gains. Any applicable foreign capital gains tax is accrued daily based upon net unrealized gains, and may be payable following the sale of any applicable investments.
In accordance with U.S. GAAP, the Manager has reviewed the Funds’ tax positions for all open tax years. As of December 31, 2016, the Funds have recorded no liability for net unrecognized tax benefits relating to uncertain income tax positions they have taken or expect to take in future tax returns.
Each Fund files U.S. tax returns. While the statute of limitations remains open to examine the Funds’ U.S. tax returns filed for the fiscal years from 2013-2015, no examinations are in progress or anticipated at this time. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
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Notes to Financial Statements (Cont.)
As of their last fiscal year ended June 30, 2016 the Funds had accumulated capital losses expiring in the following years (amounts in thousands). The Funds will resume capital gain distributions in the future to the extent gains are realized in excess of accumulated capital losses.
Expiration of Accumulated Capital Losses | ||||||||||||||||
06/30/2017 | 06/30/2018 | 06/30/2019 | ||||||||||||||
PCM Fund Inc. | $ | 13,751 | $ | 1,419 | $ | 0 | ||||||||||
PIMCO Global StocksPlus® & Income Fund | 89,083 | 5,575 | 0 | |||||||||||||
PIMCO Income Opportunity Fund | 0 | 0 | 0 | |||||||||||||
PIMCO Strategic Income Fund, Inc. | 13,338 | 0 | 0 | |||||||||||||
PIMCO Dynamic Credit and Mortgage Income Fund | 0 | 0 | 0 | |||||||||||||
PIMCO Dynamic Income Fund | 0 | 0 | 0 |
† | A zero balance may reflect actual amounts rounding to less than one thousand. |
Under the Regulated Investment Company Modernization Act of 2010, a fund is permitted to carry forward any new capital losses for an unlimited period. Additionally, such capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term under previous law.
As of their last fiscal year ended June 30, 2016, the Funds had the following post-effective capital losses with no expiration (amounts in thousands):
Short-Term | Long-Term | |||||||||||
PCM Fund Inc. | $ | 0 | $ | 0 | ||||||||
PIMCO Global StocksPlus® & Income Fund | 42,063 | 0 | ||||||||||
PIMCO Income Opportunity Fund | 0 | 0 | ||||||||||
PIMCO Strategic Income Fund, Inc. | 37,613 | 504 | ||||||||||
PIMCO Dynamic Credit and Mortgage Income Fund | 190,657 | 38,334 | ||||||||||
PIMCO Dynamic Income Fund | 0 | 0 |
† | A zero balance may reflect actual amounts rounding to less than one thousand. |
As of December 31, 2016, the aggregate cost and the net unrealized appreciation (depreciation) of investments for federal income tax purposes are as follows (amounts in thousands):
Fund Name | Federal Tax Cost | Aggregate Gross Unrealized Appreciation | Aggregate Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation)(1) | ||||||||||||||||
PCM Fund, Inc. | $ | 190,949 | $ | 13,517 | $ | (10,792 | ) | $ | 2,735 | |||||||||||
PIMCO Global StocksPLUS® & Income Fund | 161,816 | 16,987 | (10,329 | ) | 6,658 | |||||||||||||||
PIMCO Income Opportunity Fund | 555,423 | 49,165 | (35,917 | ) | 13,248 | |||||||||||||||
PIMCO Strategic Income Fund, Inc. | 952,085 | 21,244 | (18,509 | ) | 2,735 | |||||||||||||||
PIMCO Dynamic Credit and Mortgage Income Fund | 5,356,281 | 180,070 | (325,410 | ) | (145,340 | ) | ||||||||||||||
PIMCO Dynamic Income Fund | 2,099,883 | 216,383 | (98,797 | ) | 117,586 |
† | 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. |
PIMCO Strategic Income Fund, Inc. (“RCS”) accounts for mortgage dollar rolls as financing transactions, such that the Fund treats the difference between the selling price and future purchase price on a mortgage dollar roll as interest income for U.S. federal income tax purposes. Such treatment determines RCS’s distributions relating thereto, and may increase the amount of distributions received by Fund shareholders that are taxed as ordinary income and cause shareholders to be taxed on distributions that effectively represent a return of the shareholder’s investment therein. The U.S. federal income tax rules governing the treatment of mortgage dollar roll transactions are complex, and the proper treatment of such transactions is unclear. If the Internal Revenue Service were to challenge or recharacterize RCS’s treatment of mortgage dollar rolls successfully, it would affect the amount, timing and character of distributions received by the Fund’s shareholders.
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15. SUBSEQUENT EVENTS
In preparing these financial statements, the Funds’ management has evaluated events and transactions for potential recognition or disclosure through the date the financial statements were issued.
On January 3, 2017, the following distributions were declared to common shareholders payable February 1, 2017 to shareholders of record on January 13, 2017:
PCM Fund, Inc. | $ | 0.080000 per common share | ||||||
PIMCO Global StocksPLUS® & Income Fund | $ | 0.146680 per common share | ||||||
PIMCO Income Opportunity Fund | $ | 0.190000 per common share | ||||||
PIMCO Strategic Income Fund, Inc. | $ | 0.080000 per common share | ||||||
PIMCO Dynamic Credit and Mortgage Income Fund | $ | 0.164063 per common share | ||||||
PIMCO Dynamic Income Fund | $ | 0.220500 per common share |
On February 1, 2017, the following distributions were declared to common shareholders payable March 1, 2017 to shareholders of record on February 13, 2017:
PCM Fund, Inc. | $ | 0.080000 per common share | ||||||
PIMCO Global StocksPLUS® & Income Fund | $ | 0.146680 per common share | ||||||
PIMCO Income Opportunity Fund | $ | 0.190000 per common share | ||||||
PIMCO Strategic Income Fund, Inc. | $ | 0.072000 per common share | ||||||
PIMCO Dynamic Credit and Mortgage Income Fund | $ | 0.164063 per common share | ||||||
PIMCO Dynamic Income Fund | $ | 0.220500 per common share |
There were no other subsequent events identified that require recognition or disclosure.
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Glossary: (abbreviations that may be used in the preceding statements)
(Unaudited)
Counterparty Abbreviations: | ||||||||||
AZD | Australia and New Zealand Banking Group | GLM | Goldman Sachs Bank USA | PAR | Banque Paribas, London | |||||
BCY | Barclays Capital, Inc. | GSC | Goldman Sachs & Co. | RBC | Royal Bank of Canada | |||||
BOA | Bank of America N.A. | GST | Goldman Sachs International | RCE | Royal Bank of Canada Europe Limited | |||||
BOS | Banc of America Securities LLC | HUS | HSBC Bank USA N.A. | RDR | RBC Capital Markets | |||||
BPG | BNP Paribas Securities Corp. | IND | Crédit Agricole Corporate and Investment Bank S.A. | RTA | Bank of New York Mellon Corp. | |||||
BPS | BNP Paribas S.A. | JML | JP Morgan Securities Plc | RYL | Royal Bank of Scotland Group PLC | |||||
BRC | Barclays Bank PLC | JPM | JPMorgan Chase Bank N.A. | SAL | Citigroup Global Markets, Inc. | |||||
CBK | Citibank N.A. | JPS | JPMorgan Securities, Inc. | SBI | Citigroup Global Markets Ltd. | |||||
DBL | Deutsche Bank AG London | MSB | Morgan Stanley Bank, N.A | SCX | Standard Chartered Bank | |||||
DEU | Deutsche Bank Securities, Inc. | MSC | Morgan Stanley & Co., Inc. | SOG | Societe Generale | |||||
DUB | Deutsche Bank AG | MYC | Morgan Stanley Capital Services, Inc. | SSB | State Street Bank and Trust Co. | |||||
FAR | Wells Fargo Bank National Association | MYI | Morgan Stanley & Co. International PLC | TOR | Toronto Dominion Bank | |||||
FBF | Credit Suisse International | NAB | National Australia Bank Ltd. | UAG | UBS AG Stamford | |||||
FOB | Credit Suisse Securities (USA) LLC | NOM | Nomura Securities International Inc. | UBS | UBS Securities LLC | |||||
Currency Abbreviations: | ||||||||||
AUD | Australian Dollar | DKK | Danish Krone | JPY | Japanese Yen | |||||
BRL | Brazilian Real | EUR | Euro | SEK | Swedish Krona | |||||
CAD | Canadian Dollar | GBP | British Pound | USD (or $) | United States Dollar | |||||
CHF | Swiss Franc | HKD | Hong Kong Dollar | |||||||
Exchange Abbreviations: | ||||||||||
CME | Chicago Mercantile Exchange | OTC | Over the Counter | |||||||
Index/Spread Abbreviations: | ||||||||||
ABX.HE | Asset-Backed Securities Index - Home Equity | NDDUEAFE | MSCI EAFE Index | S&P 500 | Standard & Poor’s 500 Index | |||||
CDX.HY | Credit Derivatives Index - High Yield | PENAAA | Penultimate AAA Sub-Index | |||||||
Other Abbreviations: | ||||||||||
ABS | Asset-Backed Security | CDI | Brazil Interbank Deposit Rate | LIBOR | London Interbank Offered Rate | |||||
ALT | Alternate Loan Trust | CDO | Collateralized Debt Obligation | PIK | Payment-in-Kind | |||||
BBR | Bank Bill Rate | CLO | Collateralized Loan Obligation | REMIC | Real Estate Mortgage Investment Conduit | |||||
BBSW | Bank Bill Swap Reference Rate | JSC | Joint Stock Company | SP - ADR | Sponsored American Depositary Receipt | |||||
CBO | Collateralized Bond Obligation |
112 | PIMCO CLOSED-END FUNDS |
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(Unaudited)
Effective July 29, 2016, PIMCO Dynamic Credit Income Fund changed its name to PIMCO Dynamic Credit and Mortgage Income Fund (for purposes of this section, the “Fund”). In connection with the name change, the Fund rescinded the following non-fundamental investment policy (the “Former Policy”):
The Fund will normally invest at least 80% of its net assets (plus any borrowings for investment purposes) in a portfolio of debt instruments of varying maturities (the “80% policy”).
For purposes of the 80% policy, debt instruments may include, without limitation, bonds, debentures, notes, and other debt securities of U.S. and foreign (non-U.S.) corporate and other issuers, including commercial paper; mortgage-related and any other type of asset-backed securities issued on a public or private basis; U.S. Government securities; obligations of foreign governments or their sub-divisions, agencies and government sponsored enterprises and obligations of international agencies and supranational entities; municipal securities and other debt securities issued by states or local governments and their agencies, authorities and other government-sponsored enterprises, including taxable municipal securities (such as Build America Bonds); payment-in-kind securities; zero-coupon bonds; inflation-indexed bonds issued by both governments and corporations; structured notes, including hybrid or indexed securities; catastrophe bonds and other event-linked bonds; credit-linked notes; structured credit products; bank loans (including, among others, senior loans, delayed funding loans, revolving credit facilities and loan participations and assignments); preferred securities; convertible debt securities (i.e., debt securities that may be converted at either a stated price or stated rate into underlying shares of common stock), including synthetic convertible debt securities (i.e., instruments created through a combination of separate securities that possess the two principal characteristics of a traditional convertible security, such as an income-producing security and the right to acquire an equity security); and bank certificates of deposit, fixed time deposits and bankers’ acceptances. The rate of interest on an income-producing security may be fixed, floating or variable. At any given time and from time to time substantially all of the Fund’s portfolio may consist of below investment grade securities. The Fund may invest in debt securities of stressed issuers. The Fund’s investments in derivatives and other synthetic instruments that have economic characteristics similar to debt instruments will be counted toward satisfaction of this 80% policy.
The Former Policy was replaced in its entirety with the following new non-fundamental investment policy (the “New Policy”):
The Fund will normally invest at least 80% of its net assets (plus any borrowings for investment purposes) in a portfolio of mortgage-related securities and other debt instruments of varying maturities (the “80% policy”). For purposes of the 80% policy, mortgage-related securities
may include, without limitation, mortgage pass-through securities, collateralized mortgage obligations (“CMOs”), commercial or residential mortgage-backed securities, mortgage dollar rolls, CMO residuals, stripped mortgage-backed securities (“SMBSs”) and other securities that directly or indirectly represent a participation in, or are secured by and payable from, mortgage loans on real property.
For purposes of the 80% policy, other debt instruments may include, without limitation, bonds, debentures, notes, and other debt securities of U.S. and foreign (non-U.S.) corporate and other issuers, including commercial paper; asset-backed securities issued on a public or private basis; U.S. Government securities; obligations of foreign governments or their sub-divisions, agencies and government sponsored enterprises and obligations of international agencies and supranational entities; municipal securities and other debt securities issued by states or local governments and their agencies, authorities and other government-sponsored enterprises, including taxable municipal securities (such as Build America Bonds); payment-in-kind securities; zero-coupon bonds; inflation-indexed bonds issued by both governments and corporations; structured notes, including hybrid or indexed securities; catastrophe bonds and other event-linked bonds; credit-linked notes; structured credit products; bank loans (including, among others, senior loans, delayed funding loans, revolving credit facilities and loan participations and assignments); preferred securities; convertible debt securities (i.e., debt securities that may be converted at either a stated price or stated rate into underlying shares of common stock), including synthetic convertible debt securities (i.e., instruments created through a combination of separate securities that possess the two principal characteristics of a traditional convertible security, such as an income-producing security and the right to acquire an equity security); and bank certificates of deposit, fixed time deposits and bankers’ acceptances. The rate of interest on an income-producing security may be fixed, floating or variable. At any given time and from time to time substantially all of the Fund’s portfolio may consist of below investment grade securities. The Fund may invest in debt securities of stressed issuers. The Fund’s investments in derivatives and other synthetic instruments that have economic characteristics similar to mortgage-related securities or other debt instruments will be counted toward satisfaction of this 80% policy.
The New Policy became effective on July 29, 2016 and may only be changed by the Board of Trustees of the Fund after providing at least 60 days’ written notice to the Fund’s shareholders pursuant to Rule 35d-1 under the Investment Company Act of 1940, as amended.
The following risks are associated with the policies described above:
To the extent that the Fund has increased exposure to mortgage-related securities, the Fund may be exposed to increased risks associated with such asset classes.
SEMIANNUAL REPORT | DECEMBER 31, 2016 | 113 |
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General Information
Investment Manager
Pacific Investment Management Company LLC
1633 Broadway
New York, NY 10019
Custodian
State Street Bank and Trust Company
801 Pennsylvania Avenue
Kansas City, MO 64105
Transfer Agent, Dividend Paying Agent and Registrar
American Stock Transfer & Trust Company, LLC
6201 15th Avenue
Brooklyn, NY 11219
Legal Counsel
Ropes & Gray LLP
Prudential Tower
800 Boylston Street
Boston, MA 02199
Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
1100 Walnut Street, Suite 1300
Kansas City, MO 64106
This report is submitted for the general information of the shareholders of PCM Fund, Inc., PIMCO Global StocksPLUS® & Income Fund, PIMCO Income Opportunity Fund, PIMCO Strategic Income Fund, Inc., PIMCO Dynamic Credit and Mortgage Income Fund and PIMCO Dynamic Income Fund.
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CEF4010SAR_123116
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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.
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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 Schedule of Investments is included as part of the reports to shareholders under Item 1.
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. |
Not applicable.
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 that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the 1940 Act) provide reasonable assurances that material information relating to the Registrant is made known to them by appropriate persons based on their evaluation of these controls and procedures as of a date within 90 days of the filing of this report. |
(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) that occurred during the second 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. | 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. | |
(b) | Exhibit 99.906CERT—Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. |
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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 Dynamic Credit and Mortgage Income Fund | ||||||
By: | /s/ PETER G. STRELOW | |||||
| ||||||
Peter G. Strelow | ||||||
President (Principal Executive Officer) | ||||||
Date: February 28, 2017 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ PETER G. STRELOW | |||||
| ||||||
Peter G. Strelow | ||||||
President (Principal Executive Officer) | ||||||
Date: February 28, 2017 | ||||||
By: | /s/ WILLIAM G. GALIPEAU | |||||
| ||||||
William G. Galipeau | ||||||
Treasurer (Principal Financial & Accounting Officer) | ||||||
Date: February 28, 2017 |