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)
Bijal Y. Parikh
Treasurer (Principal Financial & Accounting Officer)
650 Newport Center Drive
Newport Beach, CA 92660
(Name and address of agent for service)
Copies to:
David C. Sullivan
Ropes & Gray LLP
Prudential Tower
800 Boylston Street
Boston, MA 02199
Registrant’s telephone number, including area code: (844) 337-4626
Date of fiscal year end: June 30
Date of reporting period: December 31, 2021
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
| Item 1. | Reports to Shareholders. |
The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30e-1).
PIMCO CLOSED-END FUNDS
Semiannual Report
December 31, 2021
PCM Fund, Inc. | PCM | NYSE
PIMCO Global StocksPLUS® & Income Fund | PGP | NYSE
PIMCO Strategic Income Fund, Inc. | RCS | NYSE
PIMCO Dynamic Income Fund | PDI | NYSE
PIMCO Dynamic Income Opportunities Fund | PDO | NYSE
Table of Contents
| | (1) | Consolidated Schedule of Investments |
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| Letter from the Chair of the Board & President | | | | |
Dear Shareholder,
We hope that you and your family are remaining safe and healthy during these challenging times. We continue to work tirelessly to navigate markets and manage the assets that you have entrusted to us. Following this letter is the PIMCO Closed-End Funds Semiannual Report, which covers the six-month reporting period ended December 31, 2021. On the subsequent pages, you will find specific details regarding investment results and a discussion of the factors that most affected performance during the reporting period.
For the six-month reporting period ended December 31, 2021
The global economy continued to be affected by the COVID-19 pandemic (“COVID-19”) and its variants. Looking back, second quarter 2021 U.S. annualized gross domestic product (“GDP”) was 6.7%. Growth then moderated to 2.3% during the third quarter of the year. Finally, the Commerce Department’s initial estimate for fourth quarter annualized GDP growth — released after the reporting period ended — was 6.9%.
In the U.S., while the Federal Reserve Board (the “Fed”) maintained the federal funds rate at an all-time low of a range between 0.00% and 0.25%, it took a step toward tightening its monetary policy. At its meeting in early November 2021, the Fed began reducing the monthly pace of its net asset purchases of Treasury securities and agency mortgage-backed securities. At its meeting in mid-December, the Fed further reduced the monthly pace of its purchases. At the current pace, the U.S. central bank will conclude its asset purchases in mid-March 2022, and could raise interest rates during its March 2022 meeting.
Economies outside the U.S. also continued to be impacted by COVID-19. In its October 2021 World Economic Outlook, the International Monetary Fund (“IMF”) said it expects U.S. GDP growth to be 6.0% in 2021, compared to a 3.4% contraction in 2020. Elsewhere, the IMF expects 2021 GDP growth in the eurozone, U.K. and Japan will be 5.0%, 6.8% and 2.4%, respectively. For comparison purposes, the GDP of these economies contracted by -6.3%, -9.8% and -4.6%, respectively, in 2020.
The Bank of England (the “BoE”) also tightened its monetary policy, while several other developed country central banks maintained their accommodative stances. In December 2021, the BoE surprised the market and raised rates for the first time since COVID-19 began. The BoE cited underlying inflation pressures and expects inflation to remain high in the coming months. In contrast, the European Central Bank (the “ECB”) diverged from the Fed and the BoE, as President Christine Lagarde said, “It is very unlikely that we will raise interest rates in the year 2022.” The eurozone economy is still below its pre-pandemic level and the Omicron variant is threatening growth in the region. Elsewhere, the Bank of Japan (the “BoJ”) pared back its emergency pandemic funding in late 2021, but maintained its loose monetary policy. The BoJ appears likely to remain accommodative in the near future given the headwinds facing its economy.
Both short- and long-term U.S. Treasury yields moved higher during the reporting period. The yield on the benchmark 10-year U.S. Treasury note was 1.52% at the end of the reporting period, versus 1.45% on June 30, 2021. The Bloomberg Global Treasury Index (USD Hedged), which tracks fixed-rate, local currency government debt of investment-grade countries, including both developed and emerging markets, returned 0.16%. Meanwhile, the Bloomberg Global Aggregate Credit Index (USD Hedged), a widely used index of global investment-grade credit bonds, returned 0.10%. Riskier fixed income asset classes, including high yield corporate bonds and emerging market debt, produced mixed returns. The ICE BofAML Developed Markets High Yield Constrained Index (USD Hedged), a widely used index of below-investment-grade bonds, returned 1.36%, whereas emerging market external debt, as represented by the JPMorgan Emerging Markets Bond Index (EMBI) Global (USD Hedged), returned -0.52%. Emerging market local bonds, as represented by the JPMorgan Government Bond Index-Emerging Markets Global Diversified Index (Unhedged), returned -5.56%.
Amid periods of volatility, global equities posted mixed results. All told, U.S. equities, as represented by the S&P 500 Index, returned 11.67%, fueled by strong investor demand and growth in the economy. Global equities, as
represented by the MSCI World Index, gained 7.76%, whereas emerging market equities, as measured by the MSCI Emerging Markets Index, returned -0.52%. Meanwhile, Japanese equities, as represented by the Nikkei 225 Index (in JPY), returned 0.82% and European equities, as represented by the MSCI Europe Index (in EUR), gained 8.48%.
Commodity prices were volatile and generated positive results. When the reporting period began, Brent crude oil was approximately $75 a barrel. Brent crude oil ended the reporting period at roughly $78 a barrel. We believe that a driver of the uptick in oil price was stronger demand as global growth improved. Elsewhere, copper and gold prices also moved higher.
Finally, there were also periods of volatility in the foreign exchange markets, in our view due to economic growth expectations, changing central bank monetary policies, rising inflation, COVID-19 variants, and several geopolitical events. The U.S. dollar strengthened against several major currencies. For example, the U.S. dollar returned 4.12%, 2.16% and 3.45% versus the euro, the British pound and the Japanese yen, respectively.
Thank you for the assets you have placed with us. We deeply value your trust, and we will continue to work diligently to meet your broad investment needs. For any questions regarding your PIMCO Closed-End Funds investments, please contact your financial adviser, or call the Funds’ shareholder servicing agent at (844) 33-PIMCO. We also invite you to visit our website at pimco.com to learn more about our global viewpoints.
Sincerely,
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| Deborah A. DeCotis | | Eric D. Johnson |
| Chair of the Board of Trustees | | President |
Past performance is no guarantee of future results. Unless otherwise noted, index returns reflect the reinvestment of income distributions and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. It is not possible to invest directly in an unmanaged index.
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| | | | SEMIANNUAL REPORT | | | | | | | DECEMBER 31, 2021 | | | 3 |
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| Important Information About the Funds | | | | |
The Board approved the reorganization (the “Reorganization”) of PIMCO Income Opportunity Fund and PIMCO Dynamic Credit and Mortgage Income Fund (each an “Acquired Fund”) with and into PIMCO Dynamic Income Fund (the “Acquiring Fund”).
At a Joint Special Meeting of Shareholders of the Acquiring Fund and Acquired Funds, held on August 6, 2021, shareholders of the Acquiring Fund and PIMCO Income Opportunity Fund approved the proposals necessary for the Acquired Funds to reorganize with and into the Acquiring Fund. No action was needed from shareholders of PIMCO Dynamic Credit and Mortgage Income Fund. Pursuant to the Reorganization, shareholders of the Acquired Funds became shareholders of the Acquiring Fund. The Reorganization was completed upon the close of business on December 10, 2021. The transaction was structured to qualify as a tax-free reorganization under Section 368(a) of the Internal Revenue Code (the “Code”). In the Reorganization, the Acquiring Fund acquired all of the assets and assumed all of the liabilities of each of the Acquired Funds in exchange for newly-issued common shares of the Acquiring Fund (“Merger Shares”). Shareholders of the Acquired Funds received Merger Shares (and cash in lieu of fractional Merger Shares, if any), equal to the aggregate net asset value of their holdings of each Acquired Fund, as applicable. The exchange was based on the net asset value per common share (“NAV”) of the Acquiring Fund and each of the Acquired Funds as of the close of business on December 10, 2021.
Effective as of December 13, 2021, the annual management fee rate paid by the Acquiring Fund to PIMCO was reduced from 1.15% to 1.10% of the Acquiring Fund’s average daily total managed assets (the “Fee Reduction”). The Fee Reduction went into effect upon the consummation of the Reorganization. Please see Note 16 — Reorganization in the Notes to Financial Statements for additional information about the Reorganization.
We believe that bond funds have an important role to play in a well-diversified investment portfolio. It is important to note, however, that in an environment where interest rates may trend upward, rising rates would negatively impact the performance of most bond funds, and fixed income securities and other instruments held by a Fund are likely to decrease in value. A wide variety of factors can cause interest rates or yields of U.S. Treasury securities (or yields of other types of bonds) to rise (e.g., central bank monetary policies, inflation rates, general economic conditions, etc.). In addition, changes in interest rates can be sudden and unpredictable, and there is no guarantee that Fund management will anticipate such movement accurately. A Fund may lose money as a result of movements in interest rates.
As of the date of this report, interest rates in the United States and many parts of the world, including certain European countries, are at or near historically low levels. Thus, the Funds currently face a heightened level of risk associated with rising interest rates and/or bond yields. This
could be driven by a variety of factors, including but not limited to central bank monetary policies, changing inflation or real growth rates, general economic conditions, increasing bond issuances or reduced market demand for low yielding investments. Further, while bond markets have steadily grown over the past three decades, dealer inventories of corporate bonds are near historic lows in relation to market size. As a result, there has been a significant reduction in the ability of dealers to “make markets.”
Bond funds and individual bonds with a longer duration (a measure used to determine the sensitivity of a security’s price to changes in interest rates) tend to be more sensitive to changes in interest rates, usually making them more volatile than securities or funds with shorter durations. All of the factors mentioned above, individually or collectively, could lead to increased volatility and/or lower liquidity in the fixed income markets or negatively impact a Fund’s performance or cause a Fund to incur losses.
A Fund may 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 also for the principal purpose of generating distributable gains (characterized as ordinary income for tax purposes) that are not part of a Fund’s duration or yield curve management strategies. In such a “paired swap transaction”, a Fund would generally enter into one or more interest rate swap agreements whereby a Fund agrees to make regular payments starting at the time a Fund enters into the agreements equal to a floating interest rate in return for payments equal to a fixed interest rate (the “initial leg”). A 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, a Fund would make regular payments equal to a fixed interest rate in return for receiving payments equal to a floating interest rate) with respect to a contract whereby the payment obligations do not commence until a date following the commencement of the initial leg (the “forward leg”).
A Fund may engage in investment strategies, including those that employ the use of paired swaps transactions, the use of interest rate swaps to seek to capitalize on differences between short-term and long-term interest rates and other derivatives transactions, to, among other things, seek to 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 a 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 a Fund’s debt investments, or arising from its use of derivatives. For instance, a portion of a Fund’s monthly distributions may be sourced from paired swap transactions utilized to produce current distributable ordinary income for tax purposes on the initial leg, with a substantial possibility that a Fund will later realize a
corresponding capital loss and potential decline in its NAV with respect to the forward leg (to the extent there are not corresponding offsetting capital gains being generated from other sources). Because some or all of these transactions may generate capital losses without corresponding offsetting capital gains, portions of a Fund’s distributions recognized as ordinary income for tax purposes (such as from paired swap transactions) may be economically similar to a taxable return of capital when considered together with such capital losses.
The use of derivatives may subject the Funds to greater volatility than investments in traditional securities. The Funds may use derivative instruments for hedging purposes or as part of an investment strategy. Use of these instruments may involve certain costs and risks such as liquidity risk, interest rate risk, market risk, call risk, credit risk, leverage risk, management risk and the risk that a Fund may not be able to close out a position when it would be most advantageous to do so.
Changes in regulation relating to a Fund’s use of derivatives and related instruments could potentially limit or impact a Fund’s ability to invest in derivatives, limit a Fund’s ability to employ certain strategies that use derivatives and/or adversely affect the value or performance of derivatives and the Fund. Certain derivative transactions may have a leveraging effect on a Fund. For example, a small investment in a derivative instrument may have a significant impact on a Fund’s exposure to interest rates, currency exchange rates or other investments. As a result, a relatively small price movement in an asset, instrument or component of the index underlying a derivative instrument may cause an immediate and substantial loss or gain, which translates into heightened volatility in a Fund’s net asset value (“NAV”). A Fund may engage in such transactions regardless of whether the Fund owns the asset, instrument or components of the index underlying the derivative instrument. A Fund may invest a significant portion of its assets in these types of instruments. If it does, a Fund’s investment exposure could far exceed the value of its portfolio securities and its investment performance could be primarily dependent upon securities it does not own.
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 (including swaps that are paired) may attempt to capitalize on differences between short-term and long-term interest rates as part of 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 longterm 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’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 of leverage to the Fund could exceed the rate of return on the debt obligations and other investments held by the Fund, thereby reducing return to the Fund’s common shareholders. In addition, fees and expenses of any form of leverage used by a Fund will be borne entirely by its common shareholders (and not by preferred shareholders, if any) and will reduce the investment return of the Fund’s common shares. Moreover, to make payments of interest and other loan costs, a Fund may be forced to sell portfolio securities when it is not otherwise advantageous to do so. In addition, because the fees received by PIMCO are based on the total managed assets or the daily NAV of a Fund (including any assets attributable to certain types of leverage outstanding), as applicable, PIMCO has a financial incentive for the Funds to use certain forms of leverage, which may create a conflict of interest between PIMCO, on the one hand, and the Funds’ common shareholders, on the other hand.
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| | | | SEMIANNUAL REPORT | | | | | | | DECEMBER 31, 2021 | | | 5 |
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| Important Information About the Funds | | (Cont.) | | |
There can be no assurance that a Fund’s use of leverage will result in a higher yield on its common shares, and it may result in losses. Leverage creates several major types of risks for a Fund’s common shareholders, including (1) the likelihood of greater volatility of NAV and market price of the Fund’s common shares, and of the investment return to the Fund’s common shareholders, than a comparable portfolio without leverage; (2) the possibility either that the Fund’s common share dividends will fall if the interest and other costs of leverage rise, or that dividends paid on the Fund’s common shares will fluctuate because such costs vary over time; and (3) the effects of leverage in a declining market or a rising interest rate environment, as leverage is likely to cause a greater decline in the NAV of the Fund’s common shares than if the Fund were not leveraged and may result in a greater decline in the market value of the Fund’s common shares.
A Fund’s investments in and exposure to foreign securities involve special risks. For example, the value of these investments may decline in response to unfavorable political and legal developments, unreliable or untimely information or economic and financial instability. Foreign securities may experience more rapid and extreme changes in value than investments in securities of U.S. issuers. The securities markets of certain foreign countries are relatively small, with a limited number of companies representing a small number of industries. Issuers of foreign securities are usually not subject to the same degree of regulation as U.S. issuers.
Reporting, accounting, auditing and custody standards of foreign countries differ, in some cases significantly, from U.S. standards. Also, nationalization, expropriation or other confiscation, currency blockage, political changes or diplomatic developments could adversely affect a Fund’s investments in foreign securities. In the event of nationalization, expropriation or other confiscation, a Fund could lose its entire investment in foreign securities. Investing in foreign (non-U.S.) securities may entail risk due to foreign (non-U.S.) economic and political developments; this risk may be increased when investing in emerging markets. For example, if a Fund invests in emerging market debt, it may face increased exposure to interest rate, liquidity, volatility, and redemption risk due to the specific economic, political, geographical, or legal background of the foreign (non-U.S.) issuer.
Classifications of the Funds’ portfolio holdings in this report are made according to financial reporting standards. The classification of a particular portfolio holding as shown in the Allocation Breakdown and Schedule of Investments or Consolidated Schedule of Investments, as applicable, sections of this report may differ from the classification used for the Funds’ compliance calculations, including those used in the Funds’ prospectus, investment objectives, regulatory, and other investment limitations and policies, which may be based on different asset class, sector or geographical classifications. Each Fund is
separately monitored for compliance with respect to prospectus and regulatory requirements.
Investments in loans through a purchase of a loan or a direct assignment of a financial institution’s interests with respect to a loan are generally subject to risks similar to those of investments in other types of debt obligations, including, among others, credit risk, interest rate risk, variable and floating rate securities risk, and, as applicable, risks associated with mortgage-related securities. In addition, in many cases loans are subject to the risks associated with below-investment grade securities.
In the case of a loan participation or assignment, a Fund generally has no right to enforce compliance with the terms of the loan agreement with the borrower. As a result, a Fund may be subject to the credit risk of both the borrower and the lender that is selling the loan agreement. In the event of the insolvency of the lender selling a loan participation, a Fund may be treated as a general creditor of the lender and may not benefit from any set-off between the lender and the borrower. A Fund may be subject to heightened or additional risks and potential liabilities and costs by investing in mezzanine and other subordinated loans, including those arising under bankruptcy, fraudulent conveyance, equitable subordination, lender liability, environmental and other laws and regulations, and risks and costs associated with debt servicing and taking foreclosure actions associated with the loans.
Loans, and debt instruments collateralized by loans, acquired by certain Funds may be subprime in quality, or may become subprime in quality. Although there is no specific legal or market definition of “subprime,” subprime loans are generally understood to refer to loans made to borrowers that display poor credit histories and other characteristics that correlate with a higher default risk. Accordingly, subprime loans, and debt instruments secured by such loans, have speculative characteristics and are subject to heightened risks, including the risk of nonpayment of interest or repayment of principal, and the risks associated with investments in high yield securities. In addition, these instruments could be subject to increased regulatory scrutiny.
The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security’s country of incorporation may be different from its country of economic exposure.
Certain Funds may invest, either directly or indirectly through its wholly-owned and controlled subsidiaries, in shares, certificates, notes or other securities issued by a special purpose entity (“SPE”) sponsored by an alternative lending platform or its affiliates (the “Sponsor”) that represent the right to receive principal and interest payments due on pools of whole loans or fractions of whole loans, which may (but may not) be issued by the Sponsor, held by the SPE (“Alt Lending ABS”).
Any such Alt Lending ABS may be backed by consumer, residential or other loans. When acquiring and/or originating loans, or purchasing Alt Lending ABS, certain Funds are not restricted by any particular borrower credit criteria. Accordingly, certain loans acquired or originated by these Funds or underlying any Alt Lending ABS purchased by the Fund may be subprime in quality, or may become subprime in quality.
Mortgage-related and other asset-backed instruments represent interests in “pools” of mortgages or other assets such as consumer loans or receivables held in trust and often involve risks that are different from or possibly more acute than risks associated with other types of debt instruments. Generally, rising interest rates tend to extend the duration of fixed rate mortgage-related assets, making them more sensitive to changes in interest rates. As a result, in a period of rising interest rates, if a Fund holds mortgage-related securities, it may exhibit additional volatility since individual mortgage holders are less likely to exercise prepayment options, thereby putting additional downward pressure on the value of these securities and potentially causing the Fund to lose money. The Funds’ investments in other asset-backed instruments are subject to risks similar to those associated with mortgage-related assets, as well as additional risks associated with the nature of the assets and the servicing of those assets. Payment of principal and interest on asset-backed securities may be largely dependent upon the cash flows generated by the assets backing the securities, and asset-backed securities may not have the benefit of any security interest in the related assets. Additionally, investments in subordinate mortgage-backed and other asset-backed instruments will be subject to risks arising from delinquencies and foreclosures, thereby exposing a Fund’s investment portfolio to potential losses. Subordinate securities of mortgage-backed and other asset-backed instruments are also subject to greater credit risk than those mortgage-backed or other asset-backed securities that are more highly rated.
A Fund may also invest in the residual or equity tranches of mortgage-related and other asset-backed instruments, which may be referred to as subordinate mortgage-backed or asset-backed instruments and interest-only mortgage-backed or asset-backed instruments. Because an investment in the residual or equity tranche of a mortgage-related or other asset-backed instrument will be the first to bear losses incurred by such instrument, these investments may involve a significantly greater degree of risk than investments in other tranches of a mortgage-related or other asset-backed instruments.
The risk of investing in collateralized loan obligations (“CLOs”), include prepayment risk, credit risk, liquidity risk, market risk, structural risk, legal risk and interest rate risk. CLOs may carry additional risks, including, but not limited to: (i) the possibility that distributions from collateral securities will not be adequate to make interest or other
payments; (ii) the quality of the collateral may decline in value or default; (iii) the possibility that the investments in CLOs are subordinate to other classes or tranches thereof; and (iv) the complex structure of the security may not be fully understood at the time of investment and may produce disputes with the issuer or unexpected investment results.
High-yield bonds (commonly referred to as “junk bonds”) typically have a lower credit rating than other bonds. Lower-rated bonds generally involve a greater risk to principal than higher-rated bonds. Further, markets for lower-rated bonds are typically less liquid than for higher rated bonds, and public information is usually less abundant in markets for lower-rated bonds. Thus, high yield investments increase the chance that a Fund will lose money. PIMCO does not rely solely on credit ratings, and develops its own analysis of issuer credit quality. A Fund may purchase unrated securities (which are not rated by a rating agency) if PIMCO determines that the security is of comparable quality to a rated security that a Fund may purchase. Unrated securities may be less liquid than comparable rated securities and involve the risk that PIMCO may not accurately evaluate the security’s comparative credit quality, which could result in a Fund’s portfolio having a higher level of credit and/or high yield risk than PIMCO has estimated or desires for the Fund, and could negatively impact the Fund’s performance and/or returns. Certain Funds may invest a substantial portion of their assets in unrated securities and therefore may be particularly subject to the associated risks. To the extent that a Fund invests in high yield and/or unrated securities, the Fund’s success in achieving its investment objectives may depend more heavily on the portfolio manager’s creditworthiness analysis than if the Fund invested exclusively in higher-quality and rated securities. The Funds may hold defaulted securities that may involve special considerations including bankruptcy proceedings, other regulatory and legal restrictions affecting the Funds’ ability to trade, and the availability of prices from independent pricing services or dealer quotations. Defaulted obligations might be repaid only after lengthy workout or bankruptcy proceedings, during which the issuer might not make any interest or other payments. Defaulted securities are often illiquid and may not be actively traded. Sales of securities in bankrupt companies at an acceptable price may be difficult and differences compared to the value of the securities used by the Funds could be material. The credit quality of a particular security or group of securities does not ensure the stability or safety of the overall portfolio.
Contingent convertible securities (“CoCos”) are a form of hybrid debt security issued primarily by non-U.S. issuers, which have loss absorption mechanisms built into their terms. The risks of investing in CoCos include, without limitation, the risk that interest payments will be cancelled by the issuer or a regulatory authority, the risk of ranking junior to other creditors in the event of a liquidation or other
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| | | | SEMIANNUAL REPORT | | | | | | | DECEMBER 31, 2021 | | | 7 |
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| Important Information About the Funds | | (Cont.) | | |
bankruptcy-related event as a result of holding subordinated debt, the risk of the Fund’s investment becoming further subordinated as a result of conversion from debt to equity, the risk that the principal amount due can be written down to a lesser amount, and the general risks applicable to fixed-income investments, including interest rate risk, credit risk, market risk and liquidity risk, any of which could result in losses to the Fund. CoCos may experience a loss absorption mechanism trigger event, which would likely be the result of, or related to, the deterioration of the issuer’s financial condition (e.g., a decrease in the issuer’s capital ratio) and status as a going concern. In such a case, with respect to CoCos that provide for conversion into common stock upon the occurrence of the trigger event, the market price of the issuer’s common stock received by the Fund will have likely declined, perhaps substantially, and may continue to decline, which may adversely affect the Fund’s NAV.
Variable and floating rate securities 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.
Certain Funds may make investments in debt instruments and other securities or instruments directly or through one or more direct or indirect fully-owned subsidiaries formed by the Fund (each, a “Subsidiary”). A Subsidiary may invest, for example, in whole loans or in shares, certificates, notes or other securities representing the right to receive principal and interest payments due on fractions of whole loans or pools of whole loans, or any other security or other instrument that the parent Fund may hold directly. References herein to a Fund include references to a Subsidiary in respect of the Fund’s investment exposure. The allocation of a Fund’s portfolio in a Subsidiary will vary over time and might not always include all of the different types of investments described herein. By investing through its Subsidiaries, a Fund is exposed to the risks associated with the Subsidiaries’ investments. The Subsidiaries are not registered as investment companies under the Investment Company Act of 1940, as amended, and the rules and regulations thereunder (the “Act”) and are not subject to all of the investor protections of the Act, although each Subsidiary is managed pursuant to the compliance policies and procedures of the Fund applicable to it. Changes in the laws of the United States and/or the jurisdiction in which a Subsidiary is organized could result in the inability of certain Funds and/or their Subsidiaries to operate as described in this report and could adversely affect the Funds.
Certain Funds may acquire residential mortgage loans and unsecured consumer loans through a Subsidiary. Subsidiaries directly holding a beneficial interest in loans will be formed as domestic common law or statutory trusts with a federally chartered bank serving as trustee. Each such Subsidiary will hold the beneficial interests of loans and the federally chartered bank acting as trustee will hold legal title to the loans for the benefit of the Subsidiary and/or the trust’s beneficial owners (i.e., a Fund or its Subsidiary). State licensing laws typically exempt federally chartered banks from their licensing requirements, and federally chartered banks may also benefit from federal preemption of state laws, including any licensing requirements. The use of common law or statutory trusts with a federally chartered bank serving as trustee is intended to address any state licensing requirements that may be applicable to purchasers or holders of loans, including state licensing requirements related to foreclosure. The Funds believe that such Subsidiaries will not be treated as associations or publicly traded partnerships taxable as corporations for U.S. federal income tax purposes, and that therefore, the Subsidiaries will not be subject to U.S. federal income tax at the subsidiary level. Investments in residential mortgage loans or unsecured consumer loans through entities that are not so treated can potentially be limited by a Fund’s intention to qualify as a regulated investment company, and limit the Fund’s ability to qualify as such.
If a Fund or its Subsidiary is required to be licensed in any particular jurisdiction in order to acquire, hold, dispose or foreclose loans, obtaining the required license may not be viable (because, for example, it is not possible or practical) and the Fund or its Subsidiary may be unable to restructure its holdings to address the licensing requirement. In that case, a Fund or its Subsidiary may be forced to cease activities involving the affected loans, or may be forced to sell such loans. If a state regulator or court were to determine that a Fund or its Subsidiary acquired, held or foreclosed a loan without a required state license, the Fund or its Subsidiary could be subject to penalties or other sanctions, prohibited or restricted in its ability to enforce its rights under the loan, or subject to litigation risk or other losses or damages.
As the use of technology has become more prevalent in the course of business, the Funds have become potentially more susceptible to operational and information security risks resulting from breaches in cyber security. A breach in cyber security refers to both intentional and unintentional cyber events that may, among other things, cause a Fund to lose proprietary information, suffer data corruption and/or destruction or lose operational capacity, result in the unauthorized release or other misuse of confidential information, or otherwise disrupt normal business operations. Cyber security failures or breaches may result in financial losses to a Fund and its shareholders. These failures or breaches may also result in disruptions to business operations,
potentially resulting in financial losses; interference with a Fund’s ability to calculate its NAV, process shareholder transactions or otherwise transact business with shareholders; impediments to trading; violations of applicable privacy and other laws; regulatory fines; penalties; reputational damage; reimbursement or other compensation costs; additional compliance and cyber security risk management costs and other adverse consequences. In addition, substantial costs may be incurred in an attempt to prevent any cyber incidents in the future.
There is also a risk that cyber security breaches may not be detected. The Funds and their shareholders could be negatively impacted as a result.
Beginning in January 2020, global financial markets have experienced and may continue to experience significant volatility resulting from the spread of a novel coronavirus known as COVID-19. The outbreak of COVID-19 has resulted in travel and border restrictions, quarantines, supply chain disruptions, lower consumer demand and general market uncertainty. The effects of COVID-19 have and may continue to adversely affect the global economy, the economies of certain nations and individual issuers, all of which may negatively impact the Funds’ performance. In addition, COVID-19 and governmental responses to COVID-19 may negatively impact the capabilities of the Funds’ service providers and disrupt the Funds’ operations.
The United States’ enforcement of restrictions on U.S. investments in certain issuers and tariffs on goods from other countries, each with a focus on China, has contributed to international trade tensions and may impact portfolio securities.
The United Kingdom’s withdrawal from the European Union may impact Fund returns. The withdrawal may cause substantial volatility in foreign exchange markets, lead to weakness in the exchange rate of the British pound, result in a sustained period of market uncertainty, and destabilize some or all of the other European Union member countries and/or the Eurozone.
The Funds may invest in certain instruments that rely in some fashion upon the London Interbank Offered Rate (“LIBOR”). LIBOR is an average interest rate, determined by the ICE Benchmark Administration, that banks charge one another for the use of short-term money. The United Kingdom’s Financial Conduct Authority, which regulates LIBOR, has announced plans to ultimately phase out the use of LIBOR. The transition may result in a reduction in the value of certain instruments held by a Fund or a reduction in the effectiveness of related Fund transactions such as hedges. There remains uncertainty regarding future utilization of LIBOR and the nature of any replacement rate (e.g., the Secured Overnight Financing Rate, which is intended to replace U.S. dollar LIBOR and measures the cost of overnight borrowings through repurchase agreement transactions collateralized with U.S. Treasury securities). Any potential effects of the transition away from LIBOR on a Fund or on certain instruments in which a Fund invests can be difficult to ascertain, and they may vary depending on a variety of factors. The transition may
also result in a reduction in the value of certain instruments held by a Fund or a reduction in the effectiveness of related Fund transactions such as hedges. Any such effects of the transition away from LIBOR, as well as other unforeseen effects, could result in losses to a Fund.
The common shares of the Funds trade on the New York Stock Exchange. As with any stock, the price of a Fund’s common shares will fluctuate with market conditions and other factors. If you sell your common shares of a Fund, the price received may be more or less than your original investment. Shares of closed-end management investment companies, such as the Funds, frequently trade at a discount from their NAV and may trade at a price that is less than the initial offering price and/or the NAV of such shares. Further, if a Fund’s shares trade at a price that is more than the initial offering price and/or the NAV of such shares, including at a substantial premium and/or for an extended period of time, there is no assurance that any such premium will be sustained for any period of time and will not decrease, or that the shares will not trade at a discount to NAV thereafter.
The Funds may be subject to various risks, including, but not limited to, the following: asset allocation risk, call risk, collateralized loan obligations risk, confidential information access risk, contingent convertible securities risk, convertible securities risk, counterparty risk, “covenant-lite” obligations risk, credit default swaps risk, credit risk, currency risk, cybersecurity risk debt securities risk, including issuer risk, interest rate risk, prepayment risk, reinvestment risk and duration and maturity risk, derivatives risk, distressed and defaulted securities risk, emerging markets risk, equity securities and related market risk, focused investment risk, foreign (non-U.S.) investment risk, high yield securities risk, inflation/deflation risk, inflation-indexed security risk, leverage risk, liquidity risk, loans and other indebtedness; loan participations and assignments risk; management risk, market discount risk, market disruptions risk, market risk, mortgage-related and other asset-backed instruments risk, operational risk, other investment companies risk, private placements risk, privately issued mortgagerelated securities risk, platform risk, portfolio turnover risk, potential conflicts of interest involving allocation of investment opportunities, preferred securities risk, privacy and data security risk, regulatory changes risk, regulatory risk — LIBOR, regulatory risk — commodity pool operator, repurchase agreements risk, segregation and coverage risk, senior debt risk, smaller company risk, sovereign debt risk, structured investments risk, subprime risk, subsidiary risk, synthetic convertible securities risk, tax risk, U.S. Government securities risk, valuation risk, recent and restricted 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 any dividend and capital gain distributions were reinvested. Total return is calculated by determining the percentage change in NAV or market price
| | | | | | | | | | | | |
| | | | SEMIANNUAL REPORT | | | | | | | DECEMBER 31, 2021 | | | 9 |
| | | | |
| Important Information About the Funds | | (Cont.) | | |
(as applicable) in the specified period. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total return for a period of more than one year represents the average annual total return. Performance at market price will differ from results at NAV. Although market price returns tend to reflect investment results over time, during shorter periods returns at market price can also be influenced by factors such as changing views about a Fund, market conditions, supply and demand for the Fund’s shares, or changes in the Fund’s dividends. Performance shown is net of fees and expenses. Historical NAV performance for a Fund may have been positively impacted by fee waivers or expense limitations in place during some or all of the periods shown, if applicable. Future performance (including total return or yield) and distributions may be negatively impacted by the expiration or reduction of any such fee waivers or expense limitations.
The dividend rate that a Fund pays on its common shares may vary as portfolio and market conditions change, and will depend on a number of factors, including without limit the amount of a Fund’s undistributed net investment income and net short- and long-term capital gains, as well as the costs of any leverage obtained by a Fund. As portfolio and market conditions change, the rate of distributions on the common shares and a Fund’s dividend policy could change. There can be no assurance that a change in market conditions or other factors will not result in a change in a Fund distribution rate or that the rate will be sustainable in the future.
The following table discloses the inception date and diversification status of each Fund:
| | | | | | | | | | | | |
| | | |
| Fund Name | | | | | Inception
Date | | | Diversification
Status | |
PCM Fund, Inc. | | | | | | | 09/02/93 | | | | Diversified | |
PIMCO Global StocksPLUS® & Income Fund | | | | | | | 05/31/05 | | | | Diversified | |
PIMCO Strategic Income Fund, Inc. | | | | | | | 02/24/94 | | | | Diversified | |
PIMCO Dynamic Income Fund | | | | | | | 05/30/12 | | | | Diversified | |
PIMCO Dynamic Income Opportunities Fund | | | | | | | 01/29/21 | | | | Non-Diversified | |
An investment in a Fund is not a bank deposit and is not guaranteed or insured by the Federal Deposit Insurance Corporation or any other government agency. It is possible to lose money on investments in the 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 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 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 (including this report) from or on behalf of a Fund creates a contract between or among any shareholders of a Fund, on
the one hand, and the Fund, a service provider to the Fund, and/or the Trustees or officers of the Fund, on the other hand.
The Trustees (or the Funds and their officers, service providers or other delegates acting under authority of the Trustees) may amend its most recent prospectus 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 then-current prospectus, SAI or shareholder report and is otherwise still in effect.
PIMCO has adopted written proxy voting policies and procedures (“Proxy Policy”) as required by Rule 206(4)-6 under the Investment Advisers Act of 1940, as amended. The Proxy Policy has been adopted by the 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 30th, are available without charge, upon request, by calling the Funds at (844) 33-PIMCO, on the Funds’ website at www.pimco.com, and on the Securities and Exchange Commission’s (“SEC”) website at www.sec.gov.
The Funds file portfolio holdings information with the SEC on Form N-PORT within 60 days of the end of each fiscal quarter. The Funds’ complete schedules of securities holdings as of the end of each fiscal quarter will be made available to the public on the SEC’s website at www.sec.gov and on PIMCO’s website at www.pimco.com, and will be made available, upon request, by calling PIMCO at (844) 33-PIMCO.
The SEC adopted a rule that allows shareholder reports to be delivered to investors by providing access to such reports online free of charge and by mailing a notice that the report is electronically available. Pursuant to the rule, investors may elect to receive all reports in paper free of charge by contacting their financial intermediary or, if invested directly with a Fund, investors can inform the Fund by calling (844) 33-PIMCO. Any election to receive reports in paper will apply to all funds held with the fund complex if invested directly with a Fund or to all funds held in the investor’s account if invested through a financial intermediary, such as a broker-dealer or bank.
In April 2020, the SEC adopted amended rules modifying the registration, communications, and offering processes for registered
| | | | | | |
| 10 | | PIMCO CLOSED-END FUNDS | | | | |
| 1 | Hereinafter, the terms “Trustee” or “Trustees” used herein shall refer to a Director or Directors of applicable Funds. |
closed-end funds and interval funds. Among other things, the amendments: (1) permit qualifying closed-end funds to use a short-form registration statement to offer securities in eligible transactions and certain funds to qualify as Well Known Seasoned Issuers; (2) permit interval funds to pay registration fees based on net issuance of shares in a manner similar to mutual funds; (3) require closed-end funds and interval funds to include additional disclosures in their annual reports; and (4) require certain information to be filed in interactive data format. The new rules have phased compliance dates, with some requirements having already taken effect and others requiring compliance as late as February 1, 2023.
In October 2020, the SEC adopted a rule related to the use of derivatives, short sales, reverse repurchase agreements and certain other transactions by registered investment companies that rescinds and withdraws the guidance of the SEC and its staff regarding asset segregation and cover transactions. Subject to certain exceptions, and after an eighteen-month transition period, the rule requires funds to trade derivatives and other transactions that create future payment or delivery obligations (except reverse repurchase agreements and similar financing transactions) subject to a value-at-risk leverage limit, certain derivatives risk management program and reporting requirements.
These requirements may limit the ability of the Funds to use derivatives and reverse repurchase agreements and similar financing transactions as part of their investment strategies and may increase the cost of the Funds’ investments and cost of doing business, which could adversely affect investors.
In October 2020, the SEC adopted a rule regarding the ability of a fund to invest in other funds. The rule allows a fund to acquire shares of another fund in excess of certain limitations currently imposed by the Investment Company Act of 1940 (the “Act”) without obtaining individual exemptive relief from the SEC, subject to certain conditions. The rule also includes the rescission of certain exemptive relief from the SEC and guidance from the SEC staff for funds to invest in other funds. The effective date for the rule was January 19, 2021, and the compliance date for the rule was January 19, 2022.
In December 2020, the SEC adopted a rule addressing fair valuation of fund investments. The new rule sets forth requirements for good faith determinations of fair value as well as for the performance of fair value determinations, including related oversight and reporting obligations. The new rule also defines “readily available market quotations” for purposes of the definition of “value” under the Act, and the SEC noted that this definition will apply in all contexts under the Act. The SEC adopted an eighteen-month transition period beginning from the effective date for both the new rule and the associated new recordkeeping requirements. The impact of the new rule on the Funds is uncertain at this time.
| | | | | | | | | | | | |
| | | | SEMIANNUAL REPORT | | | | | | | DECEMBER 31, 2021 | | | 11 |
PCM Fund, Inc.
Allocation Breakdown as of December 31, 2021†§
| | | | |
Asset-Backed Securities | | | 25.7% | |
| |
Corporate Bonds & Notes | | | 22.1% | |
| |
Loan Participations and Assignments | | | 19.5% | |
| |
Non-Agency Mortgage-Backed Securities | | | 19.1% | |
| |
Common Stocks | | | 2.9% | |
| |
Preferred Securities | | | 2.5% | |
| |
Short-Term Instruments | | | 2.3% | |
| |
U.S. Government Agencies | | | 2.2% | |
| |
Real Estate Investment Trusts | | | 2.0% | |
| |
Other | | | 1.7% | |
| | † | % 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, 2021)(1)
| | | | |
Market Price | | | $10.72 | |
| |
NAV | | | $9.44 | |
| |
Premium/(Discount) to NAV | | | 13.56% | |
| |
Market Price Distribution Rate(2) | | | 8.96% | |
| |
NAV Distribution Rate(2) | | | 10.17% | |
| |
Total Effective Leverage(3) | | | 44.07% | |
| | | | | | | | | | | | | | | | | | | | |
|
| Average Annual Total Return(1) for the period ended December 31, 2021 | |
| | | | | |
| | | 6 Month* | | | 1 Year | | | 5 Year | | | 10 Year | | | Commencement
of Operations
(09/02/93) | |
| Market Price | | | (5.58)% | | | | 9.09% | | | | 11.21% | | | | 10.39% | | | | 9.07% | |
| NAV | | | 4.32% | | | | 10.05% | | | | 9.99% | | | | 10.82% | | | | 9.18% | |
All Fund returns are net of fees and expenses and include applicable fee waivers and/or expense limitations. Absent any applicable fee waivers and/or expense limitations, performance would have been lower and there can be no assurance that any such waivers or limitations will continue in the future.
* Cumulative return
| (1) | Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the sale of Fund shares. Total return, market price, NAV, market price distribution rate, and NAV distribution rate will fluctuate with changes in market conditions. The NAV presented may differ from the NAV reported for the same period in other Fund materials. Performance current to the most recent month-end is available at www.pimco.com or via (844) 33-PIMCO. Performance is calculated assuming all dividends and distributions are reinvested at prices obtained under the Fund’s dividend reinvestment plan. Performance does not reflect any brokerage commissions in connection with the purchase or sale of Fund shares. |
| (2) | Distribution rates are not performance and are calculated by annualizing the most recent distribution per share and dividing by the NAV or Market Price, as applicable, as of the reported date. Distributions may be comprised of ordinary income, net capital gains, and/or a return of capital (ROC) of your investment in the Fund. Because the distribution rate may include a ROC, it should not be confused with yield or income. If the Fund estimates that a portion of its distribution may be comprised of amounts from sources other than net investment income in accordance with its policies and good accounting practices, the Fund will notify shareholders of the estimated composition of such distribution through a Section 19 Notice. Please refer to the most recent Section 19 Notice, if applicable, for additional information regarding the estimated composition of distributions. Please visit www.pimco.com for most recent Section 19 Notice, if applicable. Final determination of a distribution’s tax character will be provided to shareholders when such information is available. |
| (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 Fund’s primary investment objective is to achieve high current income. Capital gain from the disposition of investments is a secondary objective of the Fund.
Fund Insights at NAV
The following affected performance (on a gross basis) during the reporting period:
| » | | Exposure to corporate credit contributed to absolute performance, as the sector posted positive returns. |
| » | | Exposure to mortgage credit contributed to absolute performance, as the sector posted positive performance. |
| » | | Exposure to corporate special situation investments, which include companies undergoing stress, distress, challenges, or significant transition, contributed to absolute performance, as the positions posted positive returns. |
| » | | Interest rate exposure focused on the intermediate portion of the curve detracted from absolute performance, as interest rates rose. |
| » | | There were no other material detractors for this Fund. |
| | | | | | |
| 12 | | PIMCO CLOSED-END FUNDS | | | | |
PIMCO Global StocksPLUS® & Income Fund
Allocation Breakdown as of December 31, 2021†§
| | | | |
Corporate Bonds & Notes | | | 31.7% | |
| |
U.S. Government Agencies | | | 20.1% | |
| |
Loan Participations and Assignments | | | 13.9% | |
| |
Short-Term Instruments | | | 10.1% | |
| |
Non-Agency Mortgage-Backed Securities | | | 8.1% | |
| |
Asset-Backed Securities | | | 5.5% | |
| |
Preferred Securities | | | 4.7% | |
| |
Sovereign Issues | | | 1.6% | |
| |
Municipal Bonds & Notes | | | 1.4% | |
| |
Other | | | 2.9% | |
| | † | % 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, 2021)(1)
| | | | |
Market Price | | | $10.83 | |
| |
NAV | | | $10.60 | |
| |
Premium/(Discount) to NAV | | | 2.17% | |
| |
Market Price Distribution Rate(2) | | | 7.65% | |
| |
NAV Distribution Rate(2) | | | 7.81% | |
| |
Total Effective Leverage(3) | | | 35.89% | |
| | | | | | | | | | | | | | | | | | | | |
|
| Average Annual Total Return(1) for the period ended December 31, 2021 | |
| | | | | |
| | | 6 Month* | | | 1 Year | | | 5 Year | | | 10 Year | | | Commencement
of Operations
(05/31/05) | |
| Market Price | | | 1.46% | | | | 16.78% | | | | 5.08% | | | | 5.32% | | | | 8.12% | |
| NAV | | | 5.60% | | | | 19.32% | | | | 14.39% | | | | 15.90% | | | | 12.42% | |
All Fund returns are net of fees and expenses and include applicable fee waivers and/or expense limitations. Absent any applicable fee waivers and/or expense limitations, performance would have been lower and there can be no assurance that any such waivers or limitations will continue in the future.
* Cumulative return
| (1) | Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the sale of Fund shares. Total return, market price, NAV, market price distribution rate, and NAV distribution rate will fluctuate with changes in market conditions. The NAV presented may differ from the NAV reported for the same period in other Fund materials. Performance current to the most recent month-end is available at www.pimco.com or via (844) 33-PIMCO. Performance is calculated assuming all dividends and distributions are reinvested at prices obtained under the Fund’s dividend reinvestment plan. Performance does not reflect any brokerage commissions in connection with the purchase or sale of Fund shares. |
| (2) | Distribution rates are not performance and are calculated by annualizing the most recent distribution per share and dividing by the NAV or Market Price, as applicable, as of the reported date. Distributions may be comprised of ordinary income, net capital gains, and/or a return of capital (ROC) of your investment in the Fund. Because the distribution rate may include a ROC, it should not be confused with yield or income. If the Fund estimates that a portion of its distribution may be comprised of amounts from sources other than net investment income in accordance with its policies and good accounting practices, the Fund will notify shareholders of the estimated composition of such distribution through a Section 19 Notice. Please refer to the most recent Section 19 Notice, if applicable, for additional information regarding the estimated composition of distributions. Please visit www.pimco.com for most recent Section 19 Notice, if applicable. Final determination of a distribution’s tax character will be provided to shareholders when such information is available. |
| (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 investment objective is to seek total return comprised of current income, current gains and long-term capital appreciation.
Fund Insights at NAV
The following affected performance (on a gross basis) during the reporting period:
| » | | Exposure to equity index derivatives linked to the S&P 500 Index contributed to absolute performance, as the sector posted positive performance. |
| » | | Exposure to equity index derivatives linked to the MSCI EAFE Index contributed to absolute performance, as the sector posted positive performance. |
| » | | Exposure to corporate credit contributed to absolute performance, as the sector posted positive performance. |
| » | | Interest rate exposure focused on the intermediate portion of the curve detracted from absolute performance, as interest rates rose. |
| » | | Exposure to emerging market debt detracted from absolute performance, as the sector posted negative returns. |
| » | | There were no other material detractors for this Fund. |
| | | | | | | | | | | | |
| | | | SEMIANNUAL REPORT | | | | | | | DECEMBER 31, 2021 | | | 13 |
PIMCO Strategic Income Fund, Inc.
Allocation Breakdown as of December 31, 2021†§
| | | | |
U.S. Government Agencies | | | 44.2% | |
| |
Corporate Bonds & Notes | | | 25.9% | |
| |
Non-Agency Mortgage-Backed Securities | | | 8.3% | |
| |
Loan Participations and Assignments | | | 7.9% | |
| |
Preferred Securities | | | 3.0% | |
| |
Short-Term Instruments | | | 2.8% | |
| |
Asset-Backed Securities | | | 2.5% | |
| |
Sovereign Issues | | | 2.5% | |
| |
Common Stocks | | | 1.5% | |
| |
Other | | | 1.4% | |
| | † | % 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, 2021)(1)
| | | | |
Market Price | | | $6.79 | |
| |
NAV | | | $6.19 | |
| |
Premium/(Discount) to NAV | | | 9.69% | |
| |
Market Price Distribution Rate(2) | | | 9.01% | |
| |
NAV Distribution Rate(2) | | | 9.89% | |
| |
Total Effective Leverage(3) | | | 43.34% | |
| | | | | | | | | | | | | | | | | | | | |
|
| Average Annual Total Return(1) for the period ended December 31, 2021 | |
| | | | | |
| | | 6 Month* | | | 1 Year | | | 5 Year | | | 10 Year | | | Commencement
of Operations
(02/24/94) | |
| Market Price | | | (6.73)% | | | | 6.94% | | | | 4.15% | | | | 5.26% | | | | 8.07% | |
| NAV | | | (0.88)% | | | | 2.88% | | | | 6.80% | | | | 8.52% | | | | 8.26% | |
All Fund returns are net of fees and expenses and include applicable fee waivers and/or expense limitations. Absent any applicable fee waivers and/or expense limitations, performance would have been lower and there can be no assurance that any such waivers or limitations will continue in the future.
* Cumulative return
| (1) | Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the sale of Fund shares. Total return, market price, NAV, market price distribution rate, and NAV distribution rate will fluctuate with changes in market conditions. Performance current to the most recent month-end is available at www.pimco.com or via (844) 33-PIMCO. Performance is calculated assuming all dividends and distributions are reinvested at prices obtained under the Fund’s dividend reinvestment plan. Performance does not reflect any brokerage commissions in connection with the purchase or sale of Fund shares. |
| | The performance information shown for the Fund includes historical performance information for the periods prior to February 8, 2002, during which the Fund had a different investment manager. As of February 8, 2002, PIMCO became the Fund’s investment manager. The Fund’s performance prior to that time may have been different if the Fund were advised by PIMCO |
| (2) | Distribution rates are not performance and are calculated by annualizing the most recent distribution per share and dividing by the NAV or Market Price, as applicable, as of the reported date. Distributions may be comprised of ordinary income, net capital gains, and/or a return of capital (ROC) of your investment in the Fund. Because the distribution rate may include a ROC, it should not be confused with yield or income. If the Fund estimates that a portion of its distribution may be comprised of amounts from sources other than net investment income in accordance with its policies and good accounting practices, the Fund will notify shareholders of the estimated composition of such distribution through a Section 19 Notice. Please refer to the most recent Section 19 Notice, if applicable, for additional information regarding the estimated composition of distributions. Please visit www.pimco.com for most recent Section 19 Notice, if applicable. Final determination of a distribution’s tax character will be provided to shareholders when such information is available. |
| (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 Fund’s primary investment objective is to generate a level of income that is higher than that generated by high quality, intermediate-term U.S. debt securities. The Fund also seeks capital appreciation to the extent consistent with this objective.
Fund Insights at NAV
The following affected performance (on a gross basis) during the reporting period:
| » | | Exposure to the corporate credit sector contributed to absolute performance, as the sector posted positive performance. |
| » | | Exposure to the mortgage credit sector contributed to absolute performance, as the sector posted positive performance. |
| » | | Exposure to corporate special situation investments, which include companies undergoing stress, distress, challenges, or significant transition, contributed to absolute performance, as the positions posted positive returns. |
| » | | Exposure to the emerging market debt sector detracted from absolute performance, as the sector posted negative returns. |
| » | | Exposure to the mortgage backed securities sector detracted from absolute performance, as the sector posted negative returns. |
| » | | Interest rate exposure focused on the intermediate portion of the curve detracted from absolute performance, as interest rates rose. |
| | | | | | |
| 14 | | PIMCO CLOSED-END FUNDS | | | | |
PIMCO Dynamic Income Fund
Allocation Breakdown as of December 31, 2021†§
| | | | |
Corporate Bonds & Notes | | | 29.6% | |
| |
Non-Agency Mortgage-Backed Securities | | | 19.4% | |
| |
Asset-Backed Securities | | | 17.2% | |
| |
Loan Participations and Assignments | | | 16.7% | |
| |
Preferred Securities | | | 4.2% | |
| |
Short-Term Instruments | | | 3.9% | |
| |
Common Stocks | | | 2.6% | |
| |
Sovereign Issues | | | 2.2% | |
| |
U.S. Government Agencies | | | 1.3% | |
| |
Other | | | 2.9% | |
| | † | % 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, 2021)(1)
| | | | |
Market Price | | | $25.91 | |
| |
NAV | | | $24.48 | |
| |
Premium/(Discount) to NAV | | | 5.84% | |
| |
Market Price Distribution Rate(2) | | | 10.21% | |
| |
NAV Distribution Rate(2) | | | 10.81% | |
| |
Total Effective Leverage(3) | | | 42.66% | |
| | | | | | | | | | | | | | | | |
|
| Average Annual Total Return(1) for the period ended December 31, 2021 | |
| | | | |
| | | 6 Month* | | | 1 Year | | | 5 Year | | | Commencement
of Operations
(05/30/12) | |
| Market Price | | | (5.35)% | | | | 8.40% | | | | 9.21% | | | | 13.01% | |
| NAV | | | 2.32% | | | | 9.56% | | | | 10.08% | | | | 13.28% | |
All Fund returns are net of fees and expenses and include applicable fee waivers and/or expense limitations. Absent any applicable fee waivers and/or expense limitations, performance would have been lower and there can be no assurance that any such waivers or limitations will continue in the future.
* Cumulative return
| (1) | Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the sale of Fund shares. Total return, market price, NAV, market price distribution rate, and NAV distribution rate will fluctuate with changes in market conditions. The NAV presented may differ from the NAV reported for the same period in other Fund materials. Performance current to the most recent month-end is available at www.pimco.com or via (844) 33-PIMCO. Performance is calculated assuming all dividends and distributions are reinvested at prices obtained under the Fund’s dividend reinvestment plan. Performance does not reflect any brokerage commissions in connection with the purchase or sale of Fund shares. |
| (2) | Distribution rates are not performance and are calculated by annualizing the most recent distribution per share and dividing by the NAV or Market Price, as applicable, as of the reported date. Distributions may be comprised of ordinary income, net capital gains, and/or a return of capital (ROC) of your investment in the Fund. Because the distribution rate may include a ROC, it should not be confused with yield or income. If the Fund estimates that a portion of its distribution may be comprised of amounts from sources other than net investment income in accordance with its policies and good accounting practices, the Fund will notify shareholders of the estimated composition of such distribution through a Section 19 Notice. Please refer to the most recent Section 19 Notice, if applicable, for additional information regarding the estimated composition of distributions. Please visit www.pimco.com for most recent Section 19 Notice, if applicable. Final determination of a distribution’s tax character will be provided to shareholders when such information is available. |
| (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 affected performance (on a gross basis) during the reporting period:
| » | | Exposure to the mortgage credit sector contributed to absolute performance, as the sector saw positive returns. |
| » | | Exposure to the corporate credit sector contributed to absolute performance, as the sector saw positive performance. |
| » | | Exposure to the structured credit sector contributed to absolute performance, as the sector saw positive performance. |
| » | | Exposure to the emerging market debt sector detracted from absolute performance, as the sector saw negative returns. |
| » | | Interest rate exposure focused on the intermediate portion of the curve detracted from absolute performance, as interest rates rose. |
| » | | There were no other material detractors for this Fund. |
| | | | | | | | | | | | |
| | | | SEMIANNUAL REPORT | | | | | | | DECEMBER 31, 2021 | | | 15 |
PIMCO Dynamic Income Opportunities Fund
Allocation Breakdown as of December 31, 2021†§
| | | | |
Corporate Bonds & Notes | | | 30.8% | |
| |
Non-Agency Mortgage-Backed Securities | | | 24.8% | |
| |
Loan Participations and Assignments | | | 22.1% | |
| |
Asset-Backed Securities | | | 8.1% | |
| |
Short-Term Instruments | | | 3.1% | |
| |
Sovereign Issues | | | 3.0% | |
| |
Preferred Securities | | | 2.0% | |
| |
Municipal Bonds & Notes | | | 1.9% | |
| |
Real Estate Investment Trusts | | | 1.8% | |
| |
Convertible Bonds & Notes | | | 1.3% | |
| |
U.S. Government Agencies | | | 1.1% | |
| | † | % 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, 2021)(1)
| | | | |
Market Price | | | $19.56 | |
| |
NAV | | | $19.40 | |
| |
Premium/(Discount) to NAV | | | 0.82% | |
| |
Market Price Distribution Rate(2) | | | 7.26% | |
| |
NAV Distribution Rate(2) | | | 7.32% | |
| |
Total Effective Leverage(3) | | | 44.17% | |
| | | | | | | | |
|
| Average Annual Total Return(1) for the period ended December 31, 2021 | |
| | |
| | | 6 Month | | | Commencement
of Operations
(01/29/21) | |
| Market Price* | | | (10.38)% | | | | 4.60% | |
| NAV* | | | 0.50% | | | | 5.46% | |
All Fund returns are net of fees and expenses and include applicable fee waivers and/or expense limitations. Absent any applicable fee waivers and/or expense limitations, performance would have been lower and there can be no assurance that any such waivers or limitations will continue in the future.
| (1) | Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the sale of Fund shares. Total return, market price, NAV, market price distribution rate, and NAV distribution rate will fluctuate with changes in market conditions. The NAV presented may differ from the NAV reported for the same period in other Fund materials. Performance current to the most recent month-end is available at www.pimco.com or via (844) 33-PIMCO. Performance is calculated assuming all dividends and distributions are reinvested at prices obtained under the Fund’s dividend reinvestment plan. Performance does not reflect any brokerage commissions in connection with the purchase or sale of Fund shares. |
| (2) | Distribution rates are not performance and are calculated by annualizing the most recent distribution per share and dividing by the NAV or Market Price, as applicable, as of the reported date. Distributions may be comprised of ordinary income, net capital gains, and/or a return of capital (ROC) of your investment in the Fund. Because the distribution rate may include a ROC, it should not be confused with yield or income. If the Fund estimates that a portion of its distribution may be comprised of amounts from sources other than net investment income in accordance with its policies and good accounting practices, the Fund will notify shareholders of the estimated composition of such distribution through a Section 19 Notice. Please refer to the most recent Section 19 Notice, if applicable, for additional information regarding the estimated composition of distributions. Please visit www.pimco.com for most recent Section 19 Notice, if applicable. Final determination of a distribution’s tax character will be provided to shareholders when such information is available. |
| (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 Opportunities Fund’s investment objective is to seek current income as a primary objective and capital appreciation as a secondary objective.
Fund Insights at NAV
The following affected performance (on a gross basis) during the reporting period:
| » | | Exposure to mortgage credit contributed to absolute performance, as the sector mostly saw positive returns. |
| » | | Exposure to corporate credit contributed to absolute performance, as the sector mostly saw positive performance. |
| » | | Exposure to structured credit contributed to absolute performance, as the sector saw positive performance. |
| » | | Exposure to emerging market debt detracted from absolute performance, as the sector saw negative returns. |
| » | | Interest rate exposure focused on the intermediate portion of the curve detracted from absolute performance, as interest rates rose. |
| » | | There were no other material detractors for this Fund. |
| | | | | | |
| 16 | | PIMCO CLOSED-END FUNDS | | | | |
(THIS PAGE INTENTIONALLY LEFT BLANK)
| | | | | | | | | | | | |
| | | | SEMIANNUAL REPORT | | | | | | | DECEMBER 31, 2021 | | | 17 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | Investment Operations | | | Less Distributions(c) | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Selected Per Share Data for the Year or Period Ended^: | |
Net Asset
Value
Beginning
of Year
or Period(a) | | | Net
Investment
Income
(Loss)(b) | | | Net
Realized/
Unrealized
Gain (Loss) | | | Total | | | From Net
Investment
Income | | | From Net
Realized
Capital
Gains | | | Tax Basis
Return of
Capital | | | Total | |
| | | | | | | | |
PCM Fund, Inc. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
07/01/2021 - 12/31/2021+ | | $ | 9.52 | | | $ | 0.39 | | | $ | 0.01 | | | $ | 0.40 | | | $ | (0.48 | ) | | $ | 0.00 | | | $ | 0.00 | | | $ | (0.48 | ) |
| | | | | | | | |
06/30/2021 | | | 8.47 | | | | 0.97 | | | | 1.04 | | | | 2.01 | | | | (0.96 | ) | | | 0.00 | | | | 0.00 | | | | (0.96 | ) |
| | | | | | | | |
06/30/2020 | | | 10.19 | | | | 0.86 | | | | (1.62 | ) | | | (0.76 | ) | | | (0.95 | ) | | | 0.00 | | | | (0.01 | ) | | | (0.96 | ) |
| | | | | | | | |
06/30/2019 | | | 10.23 | | | | 0.69 | | | | 0.23 | | | | 0.92 | | | | (0.96 | ) | | | 0.00 | | | | 0.00 | | | | (0.96 | ) |
| | | | | | | | |
06/30/2018 | | | 10.15 | | | | 0.88 | | | | 0.18 | | | | 1.06 | | | | (0.98 | ) | | | 0.00 | | | | 0.00 | | | | (0.98 | ) |
| | | | | | | | |
06/30/2017 | | | 9.71 | | | | 0.98 | | | | 0.92 | | | | 1.90 | | | | (1.46 | ) | | | 0.00 | | | | 0.00 | | | | (1.46 | ) |
| | | | | | | | |
PIMCO Global StocksPLUS® & Income Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
07/01/2021 - 12/31/2021+ | | $ | 10.44 | | | $ | 0.43 | | | $ | 0.15 | | | $ | 0.58 | | | $ | (0.41 | ) | | $ | 0.00 | | | $ | 0.00 | | | $ | (0.41 | ) |
| | | | | | | | |
06/30/2021 | | | 7.47 | | | | 0.95 | | | | 2.85 | | | | 3.80 | | | | (0.83 | ) | | | 0.00 | | | | 0.00 | | | | (0.83 | ) |
| | | | | | | | |
06/30/2020 | | | 9.89 | | | | 1.10 | | | | (2.42 | ) | | | (1.32 | ) | | | (0.85 | ) | | | 0.00 | | | | (0.25 | ) | | | (1.10 | ) |
| | | | | | | | |
06/30/2019 | | | 10.50 | | | | 1.11 | | | | (0.34 | ) | | | 0.77 | | | | (1.20 | ) | | | 0.00 | | | | (0.18 | ) | | | (1.38 | ) |
| | | | | | | | |
06/30/2018 | | | 11.18 | | | | 1.09 | | | | (0.16 | ) | | | 0.93 | | | | (1.43 | ) | | | 0.00 | | | | (0.18 | ) | | | (1.61 | ) |
| | | | | | | | |
06/30/2017 | | | 9.76 | | | | 1.15 | | | | 2.14 | | | | 3.29 | | | | (1.67 | ) | | | 0.00 | | | | (0.20 | ) | | | (1.87 | ) |
| | | | | | | | |
PIMCO Strategic Income Fund, Inc. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
07/01/2021 - 12/31/2021+ | | $ | 6.55 | | | $ | 0.28 | | | $ | (0.32 | ) | | $ | (0.04 | ) | | $ | (0.31 | ) | | $ | 0.00 | | | $ | 0.00 | | | $ | (0.31 | ) |
| | | | | | | | |
06/30/2021 | | | 5.94 | | | | 0.58 | | | | 0.64 | | | | 1.22 | | | | (0.41 | ) | | | 0.00 | | | | (0.20 | ) | | | (0.61 | ) |
| | | | | | | | |
06/30/2020 | | | 7.12 | | | | 0.74 | | | | (1.20 | ) | | | (0.46 | ) | | | (0.49 | ) | | | 0.00 | | | | (0.23 | ) | | | (0.72 | ) |
| | | | | | | | |
06/30/2019 | | | 7.32 | | | | 0.60 | | | | 0.03 | | | | 0.63 | | | | (0.61 | ) | | | 0.00 | | | | (0.22 | ) | | | (0.83 | ) |
| | | | | | | | |
06/30/2018(f) | | | 7.75 | | | | 0.77 | | | | (0.34 | ) | | | 0.43 | | | | (0.86 | ) | | | 0.00 | | | | 0.00 | | | | (0.86 | ) |
| | | | | | | | |
06/30/2017(f) | | | 7.89 | | | | 0.70 | | | | 0.08 | | | | 0.78 | | | | (0.80 | ) | | | 0.00 | | | | (0.12 | ) | | | (0.92 | ) |
| | | | | | | | |
PIMCO Dynamic Income Fund (Consolidated) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
07/01/2021 - 12/31/2021+ | | $ | 25.23 | | | $ | 1.41 | | | $ | (0.88 | ) | | $ | 0.53 | | | $ | (1.32 | ) | | $ | 0.00 | | | $ | 0.00 | | | $ | (1.32 | ) |
| | | | | | | | |
06/30/2021 | | | 22.59 | | | | 2.51 | | | | 2.57 | | | | 5.08 | | | | (2.52 | ) | | | 0.00 | | | | (0.13 | ) | | | (2.65 | ) |
| | | | | | | | |
06/30/2020 | | | 28.29 | | | | 2.92 | | | | (5.80 | ) | | | (2.88 | ) | | | (3.07 | ) | | | 0.00 | | | | 0.00 | | | | (3.07 | ) |
| | | | | | | | |
06/30/2019 | | | 28.98 | | | | 2.73 | | | | (0.37 | ) | | | 2.36 | | | | (3.15 | ) | | | 0.00 | | | | 0.00 | | | | (3.15 | ) |
| | | | | | | | |
06/30/2018 | | | 28.32 | | | | 2.95 | | | | 0.18 | | | | 3.13 | | | | (2.65 | ) | | | 0.00 | | | | 0.00 | | | | (2.65 | ) |
| | | | | | | | |
06/30/2017 | | | 26.56 | | | | 2.60 | | | | 3.18 | | | | 5.78 | | | | (4.10 | ) | | | 0.00 | | | | 0.00 | | | | (4.10 | ) |
| | | | | | | | |
PIMCO Dynamic Income Opportunities Fund (Consolidated) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
07/01/2021 - 12/31/2021+ | | $ | 20.50 | | | $ | 0.86 | | | $ | (0.74 | ) | | $ | 0.12 | | | $ | (1.08 | ) | | $ | (0.12 | ) | | $ | 0.00 | | | $ | (1.20 | ) |
| | | | | | | | |
01/29/2021 - 06/30/2021 | | | 20.00 | | | | 0.49 | | | | 0.47 | | | | 0.96 | | | | (0.47 | ) | | | 0.00 | | | | 0.00 | | | | (0.47 | ) |
| * | Annualized, except for organizational expense, if any. |
| ^ | A zero balance may reflect actual amounts rounding to less than $0.01 or 0.01%. |
| (a) | Includes adjustments required by U.S. GAAP and may differ from net asset values and performance reported elsewhere by the Funds. |
| (b) | Per share amounts based on average number of shares outstanding during the year or period. |
| (c) | The tax characterization of distributions is determined in accordance with Federal income tax regulations. The actual tax characterization of distributions paid is determined at the end of the fiscal year. See Note 2, Distributions — Common Shares, in the Notes to Financial Statements for more information. |
| (d) | Total investment return is calculated assuming a purchase of a share at the market price on the first day and a sale of a share at the market price on the last day of each year reported. Dividends and distributions, if any, are assumed, for purposes of this calculation, to be reinvested at prices obtained under the Fund’s dividend reinvestment plan. Total investment return does not reflect brokerage commissions in connection with the purchase or sale of Fund shares. |
| (e) | Ratio includes interest expense which primarily relates to participation in borrowing and financing transactions. See Note 5, Borrowings and Other Financing Transactions, in the Notes to Financial Statements for more information. |
| (f) | See Note 2, Distributions - Common Shares, in the Notes to Financial Statements for more information regarding certain prior year values. |
| (g) | Effective December 13, 2021, the Fund’s Investment advisory fee was decreased by 0.05% to an annual rate of 1.10%. |
| | | | | | |
| 18 | | PIMCO CLOSED-END FUNDS | | | See Accompanying Notes | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Common Share | | | Ratios/Supplemental Data | |
| | | | | | | | | | | | | | | | | | | Ratios to Average Net Assets Applicable to Common Shareholders | | | | |
Increase
resulting from
Common Share
offering | | | Offering Cost
Charged to
Paid in Capital | | | Net Asset
Value End of
Year or
Period(a) | | | Market Price
End of Year
or Period | | | Total
Investment
Return(d) | | | Net Assets
Applicable
to Common
Shareholders
End of Year
or Period
(000s) | | | Expenses(e) | | | Expenses
Excluding
Waivers(e) | | | Expenses
Excluding
Interest
Expense | | | Expenses
Excluding
Interest
Expense and
Waivers | | | Net
Investment
Income (Loss) | | | Portfolio
Turnover
Rate | |
| | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | |
| $ | N/A | | | $ | N/A | | | $ | 9.44 | | | $ | 10.72 | | | | (5.58 | )% | | $ | 110,693 | | | | 2.07 | %* | | | 2.07 | %* | | | 1.59 | %* | | | 1.59 | %* | | | 8.06 | %* | | | 49 | % |
| | | | | | | | | | | |
| | N/A | | | | N/A | | | | 9.52 | | | | 11.87 | | | | 38.25 | | | | 111,154 | | | | 2.49 | | | | 2.49 | | | | 1.60 | | | | 1.60 | | | | 10.56 | | | | 127 | |
| | | | | | | | | | | |
| | N/A | | | | N/A | | | | 8.47 | | | | 9.42 | | | | (8.33 | ) | | | 98,539 | | | | 3.39 | | | | 3.39 | | | | 1.54 | | | | 1.54 | | | | 9.09 | | | | 15 | |
| | | | | | | | | | | |
| | N/A | | | | N/A | | | | 10.19 | | | | 11.32 | | | | 8.26 | | | | 118,181 | | | | 3.35 | | | | 3.35 | | | | 1.41 | | | | 1.41 | | | | 6.89 | | | | 8 | |
| | | | | | | | | | | |
| | N/A | | | | N/A | | | | 10.23 | | | | 11.45 | | | | 11.48 | | | | 118,512 | | | | 3.06 | | | | 3.06 | | | | 1.43 | | | | 1.43 | | | | 8.55 | | | | 9 | |
| | | | | | | | | | | |
| | N/A | | | | N/A | | | | 10.15 | | | | 11.23 | | | | 33.80 | | | | 117,402 | | | | 3.05 | | | | 3.05 | | | | 1.54 | | | | 1.54 | | | | 9.81 | | | | 13 | |
| | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | |
| $ | N/A | | | $ | N/A | | | $ | 10.61 | | | $ | 10.83 | | | | 1.46 | % | | $ | 118,204 | | | | 1.92 | %* | | | 1.92 | %* | | | 1.70 | %* | | | 1.70 | %* | | | 8.04 | %* | | | 230 | % |
| | | | | | | | | | | |
| | N/A | | | | N/A | | | | 10.44 | | | | 11.10 | | | | 48.12 | | | | 115,748 | | | | 2.03 | | | | 2.03 | | | | 1.66 | | | | 1.66 | | | | 10.35 | | | | 503 | |
| | | | | | | | | | | |
| | N/A | | | | N/A | | | | 7.47 | | | | 8.19 | | | | (26.51 | ) | | | 82,109 | | | | 2.78 | | | | 2.78 | | | | 1.65 | | | | 1.65 | | | | 12.56 | | | | 395 | |
| | | | | | | | | | | |
| | N/A | | | | N/A | | | | 9.89 | | | | 12.47 | | | | (7.41 | ) | | | 107,562 | | | | 2.64 | | | | 2.64 | | | | 1.53 | | | | 1.53 | | | | 11.37 | | | | 381 | |
| | | | | | | | | | | |
| | N/A | | | | N/A | | | | 10.50 | | | | 14.98 | | | | (8.96 | ) | | | 113,204 | | | | 2.36 | | | | 2.36 | | | | 1.48 | | | | 1.48 | | | | 9.84 | | | | 63 | |
| | | | | | | | | | | |
| | N/A | | | | N/A | | | | 11.18 | | | | 18.40 | | | | 5.06 | | | | 119,538 | | | | 3.20 | | | | 3.20 | | | | 1.88 | | | | 1.88 | | | | 11.09 | | | | 25 | |
| | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | |
| $ | N/A | | | $ | N/A | | | $ | 6.20 | | | $ | 6.79 | | | | (6.73 | )% | | $ | 276,659 | | | | 1.26 | %* | | | 1.26 | %* | | | 0.98 | %* | | | 0.98 | %* | | | 8.45 | %* | | | 349 | % |
| | | | | | | | | | | |
| | N/A | | | | N/A | | | | 6.55 | | | | 7.61 | | | | 30.90 | | | | 290,989 | | | | 1.36 | | | | 1.36 | | | | 0.96 | | | | 0.96 | | | | 8.97 | | | | 774 | |
| | | | | | | | | | | |
| | N/A | | | | N/A | | | | 5.94 | | | | 6.37 | | | | (27.94 | ) | | | 261,163 | | | | 2.61 | | | | 2.61 | | | | 0.98 | | | | 0.98 | | | | 11.28 | | | | 679 | |
| | | | | | | | | | | |
| | N/A | | | | N/A | | | | 7.12 | | | | 9.71 | | | | 9.57 | | | | 309,287 | | | | 3.20 | | | | 3.20 | | | | 0.97 | | | | 0.97 | | | | 8.52 | | | | 655 | |
| | | | | | | | | | | |
| | N/A | | | | N/A | | | | 7.32 | | | | 9.68 | | | | 4.59 | | | | 314,540 | | | | 1.85 | | | | 1.85 | | | | 0.97 | | | | 0.97 | | | | 10.12 | | | | 5 | |
| | | | | | | | | | | |
| | N/A | | | | N/A | | | | 7.75 | | | | 10.19 | | | | 17.12 | | | | 329,673 | | | | 1.52 | | | | 1.52 | | | | 0.97 | | | | 0.97 | | | | 8.94 | | | | 8 | |
| | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | |
| $ | 0.06 | | | $ | 0.00 | | | $ | 24.50 | | | $ | 25.91 | | | | (5.35 | )% | | $ | 5,401,430 | | | | 2.46 | %*(g) | | | 2.46 | %*(g) | | | 2.01 | %*(g) | | | 2.01 | %*(g) | | | 11.18 | %* | | | 21 | % |
| | | | | | | | | | | |
| | 0.21 | | | | 0.00 | | | | 25.23 | | | | 28.81 | | | | 29.29 | | | | 1,781,435 | | | | 2.78 | | | | 2.78 | | | | 2.04 | | | | 2.04 | | | | 10.36 | | | | 38 | |
| | | | | | | | | | | |
| | 0.25 | | | | 0.00 | | | | 22.59 | | | | 24.72 | | | | (14.18 | ) | | | 1,375,107 | | | | 3.72 | | | | 3.72 | | | | 1.99 | | | | 1.99 | | | | 11.44 | | | | 21 | |
| | | | | | | | | | | |
| | 0.10 | | | | (0.00 | ) | | | 28.29 | | | | 32.15 | | | | 12.03 | | | | 1,603,368 | | | | 3.96 | | | | 3.96 | | | | 1.89 | | | | 1.89 | | | | 9.70 | | | | 12 | |
| | | | | | | | | | | |
| | 0.18 | | | | (0.00) | | | | 28.98 | | | | 31.87 | | | | 15.54 | | | | 1,575,523 | | | | 4.07 | | | | 4.07 | | | | 2.01 | | | | 2.01 | | | | 10.26 | | | | 9 | |
| | | | | | | | | | | |
| | 0.08 | | | | 0.00 | | | | 28.32 | | | | 30.18 | | | | 27.07 | | | | 1,372,674 | | | | 4.08 | | | | 4.08 | | | | 2.14 | | | | 2.14 | | | | 9.58 | | | | 20 | |
| | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | |
| $ | N/A | | | $ | N/A | | | $ | 19.42 | | | $ | 19.56 | | | | (10.38 | )% | | $ | 2,134,261 | | | | 2.66 | %* | | | 2.66 | %* | | | 2.11 | %* | | | 2.11 | %* | | | 8.32 | %* | | | 37 | % |
| | | | | | | | | | | |
| | 0.01 | | | | N/A | | | | 20.50 | | | | 23.18 | | | | 16.70 | | | | 2,227,301 | | | | 2.10 | * | | | 2.10 | * | | | 1.78 | * | | | 1.78 | * | | | 5.93 | * | | | 49 | |
| | | | | | | | | | | | |
| | | SEMIANNUAL REPORT | | | | | | | DECEMBER 31, 2021 | | | 19 |
| | | | | | |
| Statements of Assets and Liabilities | | | | December 31, 2021 | | (Unaudited) |
| | | | | | | | | | | | |
| (Amounts in thousands†, except per share amounts) | | PCM Fund,
Inc. | | | PIMCO
Global
StocksPLUS® &
Income
Fund | | | PIMCO
Strategic
Income Fund,
Inc. | |
| | | |
Assets: | | | | | | | | | | | | |
| | | |
Investments, at value | | | | | | | | | | | | |
Investments in securities* | | $ | 194,033 | | | $ | 218,168 | | | $ | 745,282 | |
Financial Derivative Instruments | | | | | | | | | | | | |
Exchange-traded or centrally cleared | | | 34 | | | | 167 | | | | 247 | |
Over the counter | | | 49 | | | | 2,780 | | | | 458 | |
Cash | | | 64 | | | | 0 | | | | 0 | |
Deposits with counterparty | | | 2,748 | | | | 4,530 | | | | 12,676 | |
Foreign currency, at value | | | 0 | | | | 633 | | | | 0 | |
Receivable for investments sold | | | 4,457 | | | | 4,095 | | | | 1,818 | |
Receivable for TBA investments sold | | | 0 | | | | 73,346 | | | | 506,226 | |
Interest and/or dividends receivable | | | 1,375 | | | | 1,762 | | | | 4,995 | |
Other assets | | | 11 | | | | 0 | | | | 0 | |
Total Assets | | | 202,771 | | | | 305,481 | | | | 1,271,702 | |
| | | |
Liabilities: | | | | | | | | | | | | |
| | | |
Borrowings & Other Financing Transactions | | | | | | | | | | | | |
Payable for reverse repurchase agreements | | $ | 84,079 | | | $ | 59,833 | | | $ | 200,557 | |
Payable for short sales | | | 0 | | | | 2,724 | | | | 2,778 | |
Financial Derivative Instruments | | | | | | | | | | | | |
Exchange-traded or centrally cleared | | | 33 | | | | 1,542 | | | | 475 | |
Over the counter | | | 244 | | | | 410 | | | | 999 | |
Payable for investments purchased | | | 5,027 | | | | 9,278 | | | | 24,118 | |
Payable for unfunded loan commitments | | | 1,596 | | | | 40 | | | | 118 | |
Payable for TBA investments purchased | | | 0 | | | | 109,804 | | | | 760,308 | |
Deposits from counterparty | | | 0 | | | | 2,619 | | | | 271 | |
Distributions payable to common shareholders | | | 938 | | | | 769 | | | | 2,275 | |
Overdraft due to custodian | | | 0 | | | | 64 | | | | 2,882 | |
Accrued management fees | | | 157 | | | | 177 | | | | 237 | |
Other liabilities | | | 4 | | | | 17 | | | | 25 | |
Total Liabilities | | | 92,078 | | | | 187,277 | | | | 995,043 | |
| | | |
Net Assets Applicable to Common Shareholders | | $ | 110,693 | | | $ | 118,204 | | | $ | 276,659 | |
| | | |
Net Assets Applicable to Common Shareholders Consist of: | | | | | | | | | | | | |
| | | |
Par value^ | | $ | 12 | | | $ | 0 | | | $ | 0 | |
Paid in capital in excess of par | | | 112,286 | | | | 134,212 | | | | 340,145 | |
Distributable earnings (accumulated loss) | | | (1,605 | ) | | | (16,008 | ) | | | (63,486 | ) |
| | | |
Net Assets Applicable to Common Shareholders | | $ | 110,693 | | | $ | 118,204 | | | $ | 276,659 | |
| | | |
Common Shares Outstanding | | | 11,729 | | | | 11,139 | | | | 44,609 | |
| | | |
Net Asset Value Per Common Share(a) | | $ | 9.44 | | | $ | 10.61 | | | $ | 6.20 | |
| | | |
Cost of investments in securities | | $ | 187,527 | | | $ | 225,151 | | | $ | 754,803 | |
Cost of foreign currency held | | $ | 0 | | | $ | 637 | | | $ | 0 | |
Proceeds received on short sales | | $ | 0 | | | $ | 2,732 | | | $ | 2,782 | |
Cost or premiums of financial derivative instruments, net | | $ | 676 | | | $ | (1,379 | ) | | $ | 667 | |
| | | |
* Includes repurchase agreements of: | | $ | 0 | | | $ | 0 | | | $ | 4,823 | |
| † | A zero balance may reflect actual amounts rounding to less than one thousand. |
| ^ | ($0.001 per share), ($0.00001 per share), ($0.00001 per share), ($0.00001 per share) |
| (a) | Includes adjustments required by U.S. GAAP and may differ from net asset values and performance reported elsewhere by the Funds. |
| | | | | | |
| 20 | | PIMCO CLOSED-END FUNDS | | | See Accompanying Notes | |
| | | | | | |
| Consolidated Statements of Assets and Liabilities | | | | December 31, 2021 | | (Unaudited) |
| | | | | | | | |
| (Amounts in thousands†, except per share amounts) | | PIMCO
Dynamic
Income Fund | | | PIMCO
Dynamic
Income
Opportunities
Fund | |
| | |
Assets: | | | | | | | | |
| | |
Investments, at value | | | | | | | | |
Investments in securities* | | $ | 9,438,660 | | | $ | 3,866,714 | |
Investments in Affiliates | | | 167,876 | | | | 0 | |
Financial Derivative Instruments | | | | | | | | |
Exchange-traded or centrally cleared | | | 665 | | | | 159 | |
Over the counter | | | 7,307 | | | | 3,704 | |
Cash | | | 6,745 | | | | 1,999 | |
Deposits with counterparty | | | 80,721 | | | | 61,008 | |
Foreign currency, at value | | | 0 | | | | 4,544 | |
Receivable for investments sold | | | 122,157 | | | | 17,090 | |
Receivable for Fund shares sold | | | 9,484 | | | | 0 | |
Interest and/or dividends receivable | | | 88,825 | | | | 42,074 | |
Other assets | | | 1,504 | | | | 0 | |
Total Assets | | | 9,923,944 | | | | 3,997,292 | |
| | |
Liabilities: | | | | | | | | |
| | |
Borrowings & Other Financing Transactions | | | | | | | | |
Payable for reverse repurchase agreements | | $ | 3,897,752 | | | $ | 1,627,632 | |
Financial Derivative Instruments | | | | | | | | |
Exchange-traded or centrally cleared | | | 2,400 | | | | 1,113 | |
Over the counter | | | 20,970 | | | | 4,126 | |
Payable for investments purchased | | | 479,531 | | | | 181,049 | |
Payable for unfunded loan commitments | | | 78,761 | | | | 25,827 | |
Payable for TBA investments purchased | | | 0 | | | | 2,988 | |
Deposits from counterparty | | | 15,554 | | | | 3,342 | |
Distributions payable to common shareholders | | | 16,109 | | | | 12,952 | |
Overdraft due to custodian | | | 1,547 | | | | 0 | |
Accrued management fees | | | 9,298 | | | | 3,936 | |
Accrued taxes payable | | | 4 | | | | 0 | |
Other liabilities | | | 588 | | | | 66 | |
Total Liabilities | | | 4,522,514 | | | | 1,863,031 | |
| | |
Net Assets Applicable to Common Shareholders | | $ | 5,401,430 | | | $ | 2,134,261 | |
| | |
Net Assets Applicable to Common Shareholders Consist of: | | | | | | | | |
| | |
Par value^ | | $ | 2 | | | $ | 1 | |
Paid in capital in excess of par | | | 5,452,165 | | | | 2,198,451 | |
Distributable earnings (accumulated loss) | | | (50,737 | ) | | | (64,191 | ) |
| | |
Net Assets Applicable to Common Shareholders | | $ | 5,401,430 | | | $ | 2,134,261 | |
| | |
Common Shares Outstanding | | | 220,508 | | | | 109,926 | |
| | |
Net Asset Value Per Common Share(a) | | $ | 24.50 | | | $ | 19.42 | |
| | |
Cost of investments in securities | | $ | 9,467,317 | | | $ | 3,923,668 | |
Cost of investments in Affiliates | | $ | 99,529 | | | $ | 0 | |
Cost of foreign currency held | | $ | 0 | | | $ | 4,516 | |
Cost or premiums of financial derivative instruments, net | | $ | (36,719 | ) | | $ | (7,898 | ) |
| | |
* Includes repurchase agreements of: | | $ | 200,000 | | | $ | 20,100 | |
| † | A zero balance may reflect actual amounts rounding to less than one thousand. |
| (a) | Includes adjustments required by U.S. GAAP and may differ from net asset values and performance reported elsewhere by the Funds |
| | | | | | | | | | | | |
| | | SEMIANNUAL REPORT | | | | | | | DECEMBER 31, 2021 | | | 21 |
| | | | | | | | | | | | |
| Six Months Ended December 31, 2021 (Unaudited) | | | | | | | | | |
| (Amounts in thousands†) | | PCM Fund,
Inc. | | | PIMCO
Global
StocksPLUS® &
Income
Fund | | | PIMCO
Strategic
Income Fund,
Inc. | |
| | | |
Investment Income: | | | | | | | | | | | | |
| | | |
Interest, net of foreign taxes* | | $ | 5,457 | | | $ | 5,818 | | | $ | 13,779 | |
Dividends, net of foreign taxes** | | | 269 | | | | 116 | | | | 299 | |
Total Income | | | 5,726 | | | | 5,934 | | | | 14,078 | |
| | | |
Expenses: | | | | | | | | | | | | |
| | | |
Management fees | | | 888 | | | | 993 | | | | 1,385 | |
Trustee fees and related expenses | | | 7 | | | | 17 | | | | 18 | |
Interest expense | | | 268 | | | | 132 | | | | 412 | |
Miscellaneous expense | | | 7 | | | | 3 | | | | 5 | |
Total Expenses | | | 1,170 | | | | 1,145 | | | | 1,820 | |
| | | |
Net Investment Income (Loss) | | | 4,556 | | | | 4,789 | | | | 12,258 | |
| | | |
Net Realized Gain (Loss): | | | | | | | | | | | | |
| | | |
Investments in securities | | | 2,300 | | | | 717 | | | | 3,401 | |
Exchange-traded or centrally cleared financial derivative instruments | | | 494 | | | | 2,704 | | | | (4,057 | ) |
Over the counter financial derivative instruments | | | 130 | | | | 7,369 | | | | 3,744 | |
Foreign currency | | | 0 | | | | 110 | | | | 191 | |
| | | |
Net Realized Gain (Loss) | | | 2,924 | | | | 10,900 | | | | 3,279 | |
| | | |
Net Change in Unrealized Appreciation (Depreciation): | | | | | | | | | | | | |
| | | |
Investments in securities | | | (1,853 | ) | | | (3,593 | ) | | | (18,378 | ) |
Exchange-traded or centrally cleared financial derivative instruments | | | (1,040 | ) | | | 57 | | | | 2,558 | |
Over the counter financial derivative instruments | | | 46 | | | | (5,666 | ) | | | (2,097 | ) |
Foreign currency assets and liabilities | | | 0 | | | | 58 | | | | 188 | |
| | | |
Net Change in Unrealized Appreciation (Depreciation) | | | (2,847 | ) | | | (9,144 | ) | | | (17,729 | ) |
| | | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | $ | 4,633 | | | $ | 6,545 | | | $ | (2,192 | ) |
| | | |
* Foreign tax withholdings | | $ | 0 | | | $ | 24 | | | $ | 50 | |
| | | |
** Foreign tax withholdings - Dividends | | $ | 2 | | | $ | 2 | | | $ | 3 | |
| † | A zero balance may reflect actual amounts rounding to less than one thousand. |
| | | | | | |
| 22 | | PIMCO CLOSED-END FUNDS | | | See Accompanying Notes | |
| | | | |
| Consolidated Statements of Operations | | | | |
| | | | | | | | |
| Six Months Ended December 31, 2021 (Unaudited) | |
| (Amounts in thousands†) | | PIMCO
Dynamic
Income Fund | | | PIMCO
Dynamic
Income
Opportunities
Fund | |
| | |
Investment Income: | | | | | | | | |
| | |
Interest, net of foreign taxes* | | $ | 146,235 | | | $ | 119,458 | |
Dividends, net of foreign taxes** | | | 3,663 | | | | 3,733 | |
Total Income | | | 149,898 | | | | 123,191 | |
| | |
Expenses: | | | | | | | | |
| | |
Management fees | | | 22,017 | | | | 23,519 | |
Trustee fees and related expenses | | | 138 | | | | 100 | |
Interest expense | | | 4,919 | | | | 6,136 | |
Miscellaneous expense | | | 22 | | | | 4 | |
Total Expenses | | | 27,096 | | | | 29,759 | |
| | |
Net Investment Income (Loss) | | | 122,802 | | | | 93,432 | |
| | |
Net Realized Gain (Loss): | | | | | | | | |
| | |
Investments in securities | | | (8,314 | ) | | | 19,896 | |
Exchange-traded or centrally cleared financial derivative instruments | | | (1,440 | ) | | | (6,999 | ) |
Over the counter financial derivative instruments | | | 16,202 | | | | 25,119 | |
Short sales | | | 0 | | | | (132 | ) |
Foreign currency | | | 1,656 | | | | (3,787 | ) |
| | |
Net Realized Gain (Loss) | | | 8,104 | | | | 34,097 | |
| | |
Net Change in Unrealized Appreciation (Depreciation): | | | | | | | | |
| | |
Investments in securities | | | (115,302 | ) | | | (100,854 | ) |
Investments in Affiliates | | | 68,347 | | | | 0 | |
Exchange-traded or centrally cleared financial derivative instruments | | | 1,304 | | | | (3,529 | ) |
Over the counter financial derivative instruments | | | (15,773 | ) | | | (12,584 | ) |
Foreign currency assets and liabilities | | | 7,572 | | | | 2,079 | |
| | |
Net Change in Unrealized Appreciation (Depreciation) | | | (53,852 | ) | | | (114,888 | ) |
| | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | $ | 77,054 | | | $ | 12,641 | |
| | |
* Foreign tax withholdings - Interest | | $ | 272 | | | $ | 303 | |
| | |
** Foreign tax withholdings - Dividends | | $ | 23 | | | $ | 0 | |
| † | A zero balance may reflect actual amounts rounding to less than one thousand. |
| | | | | | | | | | | | |
| | | | SEMIANNUAL REPORT | | | | | | | DECEMBER 31, 2021 | | | 23 |
| | | | |
| Statements of Changes in Net Assets | | | | |
| | | | | | | | | | | | | | | | |
| | | PCM Fund, Inc. | | | PIMCO
Global StocksPLUS® &
Income Fund | |
| | | | |
| (Amounts in thousands†) | |
Six Months Ended
December 31, 2021
(Unaudited) | | |
Year Ended
June 30, 2021 | | |
Six Months Ended
December 31, 2021
(Unaudited) | | |
Year Ended
June 30, 2021 | |
| | | | |
Increase (Decrease) in Net Assets from: | | | | | | | | | | | | | | | | |
| | | | |
Operations: | | | | | | | | | | | | | | | | |
| | | | |
Net investment income (loss) | | $ | 4,556 | | | $ | 11,334 | | | $ | 4,789 | | | $ | 10,479 | |
Net realized gain (loss) | | | 2,924 | | | | (2,978 | ) | | | 10,900 | | | | 9,293 | |
Net change in unrealized appreciation (depreciation) | | | (2,847 | ) | | | 14,896 | | | | (9,144 | ) | | | 22,099 | |
| | | | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | 4,633 | | | | 23,252 | | | | 6,545 | | | | 41,871 | |
| | | | |
Distributions to Common Shareholders: | | | | | | | | | | | | | | | | |
| | | | |
From net investment income and/or net realized capital gains | | | (5,620 | ) | | | (11,184 | ) | | | (4,603 | ) | | | (9,146 | ) |
Tax basis return of capital | | | 0 | | | | 0 | | | | 0 | | | | 0 | |
| | | | |
Total Distributions to Common Shareholders(a) | | | (5,620 | ) | | | (11,184 | ) | | | (4,603 | ) | | | (9,146 | ) |
| | | | |
Common Share Transactions*: | | | | | | | | | | | | | | | | |
| | | | |
Issued as reinvestment of distributions | | | 526 | | | | 547 | | | | 514 | | | | 914 | |
| | | | |
Net increase (decrease) resulting from common share transactions | | | 526 | | | | 547 | | | | 514 | | | | 914 | |
| | | | |
Total increase (decrease) in net assets applicable to common shareholders | | | (461 | ) | | | 12,615 | | | | 2,456 | | | | 33,639 | |
| | | | |
Net Assets Applicable to Common Shareholders: | | | | | | | | | | | | | | | | |
| | | | |
Beginning of period | | | 111,154 | | | | 98,539 | | | | 115,748 | | | | 82,109 | |
End of period | | $ | 110,693 | | | $ | 111,154 | | | $ | 118,204 | | | $ | 115,748 | |
| | | | |
* Common Share Transactions: | | | | | | | | | | | | | | | | |
| | | | |
Shares issued as reinvestment of distributions | | | 48 | | | | 53 | | | | 49 | | | | 100 | |
Net increase (decrease) in common shares outstanding | | | 48 | | | | 53 | | | | 49 | | | | 100 | |
| † | 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, Distributions — Common Shares, in the Notes to Financial Statements for more information. |
| | | | | | |
| 24 | | PIMCO CLOSED-END FUNDS | | | See Accompanying Notes | |
| | | | | | |
PIMCO
Strategic Income Fund, Inc. | |
| |
Six Months Ended
December 31, 2021
(Unaudited) | | |
Year Ended
June 30, 2021 | |
| |
| | | | | | |
| |
| | | | | | |
| |
| $ | 12,258 | | | $ | 25,416 | |
| | 3,279 | | | | (17,911 | ) |
| | (17,729 | ) | | | 46,341 | |
| |
| | (2,192 | ) | | | 53,846 | |
| |
| | | | | | |
| |
| | (13,622 | ) | | | (18,313 | ) |
| | 0 | | | | (8,736 | ) |
| |
| | (13,622 | ) | | | (27,049 | ) |
| |
| | | | | | |
| |
| | 1,484 | | | | 3,029 | |
| |
| | 1,484 | | | | 3,029 | |
| |
| | (14,330 | ) | | | 29,826 | |
| |
| | | | | | |
| |
| | 290,989 | | | | 261,163 | |
| $ | 276,659 | | | $ | 290,989 | |
| |
| | | | | | |
| |
| | 212 | | | | 461 | |
| | 212 | | | | 461 | |
| | | | | | | | | | | | |
| | | | SEMIANNUAL REPORT | | | | | | | DECEMBER 31, 2021 | | | 25 |
| | | | |
| Consolidated Statements of Changes in Net Assets | | | | |
| | | | | | | | | | | | | | | | |
| | | PIMCO
Dynamic Income Fund | | | PIMCO
Dynamic Income
Opportunities Fund | |
| | | | |
| (Amounts in thousands†) | | Six Months Ended
December 31, 2021
(Unaudited) | | | Year Ended
June 30, 2021 | | | Six Months Ended
December 31, 2021
(Unaudited) | | | Inception date through June 30, 2021(a) | |
| | | | |
Increase (Decrease) in Net Assets from: | | | | | | | | | | | | | | | | |
| | | | |
Operations: | | | | | | | | | | | | | | | | |
| | | | |
Net investment income (loss) | | $ | 122,802 | | | $ | 167,364 | | | $ | 93,432 | | | $ | 52,235 | |
Net realized gain (loss) | | | 8,104 | | | | (93,129 | ) | | | 34,097 | | | | 6,681 | |
Net change in unrealized appreciation (depreciation) | | | (53,852 | ) | | | 259,142 | | | | (114,888 | ) | | | 46,720 | |
| | | | |
Net Increase (Decrease) in Net Assets Applicable to Common Shareholders Resulting from Operations | | | 77,054 | | | | 333,377 | | | | 12,641 | | | | 105,636 | |
| | | | |
Distributions to Common Shareholders: | | | | | | | | | | | | | | | | |
| | | | |
From net investment income and/or net realized capital gains | | | (95,082 | ) | | | (167,415 | ) | | | (131,093 | ) | | | (51,375 | ) |
Tax basis return of capital | | | 0 | | | | (8,919 | ) | | | 0 | | | | 0 | |
| | | | |
Total Distributions to Common Shareholders(b) | | | (95,082 | ) | | | (176,334 | ) | | | (131,093 | ) | | | (51,375 | ) |
| | | | |
Common Share Transactions*: | | | | | | | | | | | | | | | | |
| | | | |
Net proceeds from at-the-market offering | | | 63,791 | | | | 120,200 | | | | 0 | | | | 0 | |
Net proceeds from equity offering | | | 0 | | | | 106,476 | | | | 0 | | | | 2,166,064 | |
Net proceeds from reorganization | | | 3,562,154 | | | | 0 | | | | 0 | | | | 0 | |
At-the-market offering costs | | | 143 | | | | 240 | | | | 0 | | | | 0 | |
Issued as reinvestment of distributions | | | 11,935 | | | | 22,369 | | | | 25,412 | | | | 6,976 | |
| | | | |
Net increase (decrease) resulting from common share transactions | | | 3,638,023 | | | | 249,285 | | | | 25,412 | | | | 2,173,040 | |
| | | | |
Total increase (decrease) in net assets applicable to common shareholders | | | 3,619,995 | | | | 406,328 | | | | (93,040 | ) | | | 2,227,301 | |
| | | | |
Net Assets Applicable to Common Shareholders: | | | | | | | | | | | | | | | | |
| | | | |
Beginning of period | | | 1,781,435 | | | | 1,375,107 | | | | 2,227,301 | | | | 0 | |
End of period | | $ | 5,401,430 | | | $ | 1,781,435 | | | $ | 2,134,261 | | | $ | 2,227,301 | |
| | | | |
* Common Share Transactions: | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 2,374 | | | | 8,848 | | | | 0 | | | | 108,303 | |
Shares issued in reorganization | | | 147,079 | | | | 0 | | | | 0 | | | | 0 | |
Shares issued as reinvestment of distributions | | | 458 | | | | 890 | | | | 1,274 | | | | 349 | |
Net increase (decrease) in common shares outstanding | | | 149,911 | | | | 9,738 | | | | 1,274 | | | | 108,652 | |
| † | A zero balance may reflect actual amounts rounding to less than one thousand. |
| (a) | Inception date of the Fund was January 29, 2021. |
| (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, Distributions — Common Shares, in the Notes to Financial Statements for more information. |
| | | | | | |
| 26 | | PIMCO CLOSED-END FUNDS | | | See Accompanying Notes | |
| | | | | | | | | | | | |
| Six Months Ended December 31, 2021 (Unaudited) | | | | | | | | | |
| (Amounts in thousands†) | | PCM Fund,
Inc. | | | PIMCO
Global
StocksPLUS®
& Income
Fund | | | PIMCO
Strategic
Income Fund,
Inc. | |
| | | |
Cash Flows Provided by (Used for) Operating Activities: | | | | | | | | | | | | |
| | | |
Net increase (decrease) in net assets resulting from operations | | $ | 4,633 | | | $ | 6,545 | | | $ | (2,192 | ) |
| | | |
Adjustments to Reconcile Net Increase (Decrease) in Net Assets from Operations to Net Cash Provided by (Used for) Operating Activities: | | | | | | | | | | | | |
| | | |
Purchases of long-term securities | | | (102,677 | ) | | | (461,155 | ) | | | (2,637,238 | ) |
Proceeds from sales of long-term securities | | | 102,832 | | | | 452,831 | | | | 2,640,515 | |
(Purchases) Proceeds from sales of short-term portfolio investments, net | | | 7,658 | | | | (5,840 | ) | | | (17,462 | ) |
(Increase) decrease in deposits with counterparty | | | (1,135 | ) | | | (1,188 | ) | | | (3,725 | ) |
(Increase) decrease in receivable for investments sold | | | 7,354 | | | | (22,691 | ) | | | (9,252 | ) |
(Increase) decrease in interest and/or dividends receivable | | | (205 | ) | | | (420 | ) | | | (860 | ) |
Proceeds from (Payments on) exchange-traded or centrally cleared financial derivative instruments | | | (530 | ) | | | 3,202 | | | | (1,529 | ) |
Proceeds from (Payments on) over the counter financial derivative instruments | | | 87 | | | | 7,383 | | | | 3,726 | |
(Increase) decrease in other assets | | | 1 | | | | 2 | | | | 2 | |
Increase (decrease) in payable for investments purchased | | | (7,198 | ) | | | 26,666 | | | | 48,603 | |
Increase (decrease) in payable for unfunded loan commitments | | | (832 | ) | | | (378 | ) | | | 118 | |
Increase (decrease) in deposits from counterparty | | | (10 | ) | | | (6,021 | ) | | | (1,024 | ) |
Increase (decrease) in accrued management fees | | | 11 | | | | 21 | | | | 7 | |
Proceeds from (Payments on) short sales transactions, net | | | (7,526 | ) | | | 1,773 | | | | (17,979 | ) |
Proceeds from (Payments on) foreign currency transactions | | | 0 | | | | 147 | | | | 228 | |
Increase (decrease) in other liabilities | | | (3 | ) | | | (16 | ) | | | (3 | ) |
Net Realized (Gain) Loss | | | | | | | | | | | | |
Investments in securities | | | (2,300 | ) | | | (717 | ) | | | (3,401 | ) |
Exchange-traded or centrally cleared financial derivative instruments | | | (494 | ) | | | (2,704 | ) | | | 4,057 | |
Over the counter financial derivative instruments | | | (130 | ) | | | (7,369 | ) | | | (3,744 | ) |
Foreign currency | | | 0 | | | | (110 | ) | | | (191 | ) |
Net Change in Unrealized (Appreciation) Depreciation | | | | | | | | | | | | |
Investments in securities | | | 1,853 | | | | 3,593 | | | | 18,378 | |
Exchange-traded or centrally cleared financial derivative instruments | | | 1,040 | | | | (57 | ) | | | (2,558 | ) |
Over the counter financial derivative instruments | | | (46 | ) | | | 5,666 | | | | 2,097 | |
Foreign currency assets and liabilities | | | 0 | | | | (58 | ) | | | (188 | ) |
Net amortization (accretion) on investments | | | (238 | ) | | | (162 | ) | | | 3,386 | |
| | | |
Net Cash Provided by (Used for) Operating Activities | | | 2,145 | | | | (1,057 | ) | | | 19,771 | |
| | | |
Cash Flows Received from (Used for) Financing Activities: | | | | | | | | | | | | |
| | | |
Increase (decrease) in overdraft due to custodian | | | 0 | | | | 64 | | | | 2,882 | |
Cash distributions paid* | | | (5,090 | ) | | | (4,085 | ) | | | (12,127 | ) |
Proceeds from reverse repurchase agreements | | | 161,590 | | | | 156,671 | | | | 796,048 | |
Payments on reverse repurchase agreements | | | (159,237 | ) | | | (152,520 | ) | | | (810,355 | ) |
| | | |
Net Cash Received from (Used for) Financing Activities | | | (2,737 | ) | | | 130 | | | | (23,552 | ) |
| | | |
Net Increase (Decrease) in Cash and Foreign Currency | | | (592 | ) | | | (927 | ) | | | (3,781 | ) |
| | | |
Cash and Foreign Currency: | | | | | | | | | | | | |
| | | |
Beginning of period | | | 656 | | | | 1,560 | | | | 3,781 | |
End of period | | $ | 64 | | | $ | 633 | | | $ | 0 | |
| | | |
* Reinvestment of distributions | | $ | 526 | | | $ | 514 | | | $ | 1,484 | |
| | | |
Supplemental Disclosure of Cash Flow Information: | | | | | | | | | | | | |
| | | |
Interest expense paid during the period | | $ | 193 | | | $ | 109 | | | $ | 372 | |
Non Cash Payment in Kind | | $ | 61 | | | $ | 128 | | | $ | 29 | |
| † | A zero balance may reflect actual amounts rounding to less than one thousand. |
A Statement of Cash Flows is presented when a Fund has a significant amount of borrowing during the period, based on the average total borrowing outstanding in relation to total assets or when substantially all of a Fund’s investments are not classified as Level 1 or 2 in the fair value hierarchy.
| | | | | | | | | | | | |
| | | | SEMIANNUAL REPORT | | | | | | | DECEMBER 31, 2021 | | | 27 |
| | | | |
| Consolidated Statements of Cash Flows | | | | |
| | | | | | | | |
| Six Months Ended December 31, 2021 (Unaudited) | | | | | | |
| (Amounts in thousands†) | | PIMCO
Dynamic
Income
Fund | | | PIMCO
Dynamic
Income
Opportunities
Fund | |
| | |
Cash Flows Provided by (Used for) Operating Activities: | | | | | | | | |
| | |
Net increase (decrease) in net assets resulting from operations | | $ | 77,054 | | | $ | 12,641 | |
| | |
Adjustments to Reconcile Net Increase (Decrease) in Net Assets from Operations to Net Cash Provided by (Used for) Operating Activities: | | | | | | | | |
| | |
Purchases of long-term securities | | | (1,121,819 | ) | | | (1,438,321 | ) |
Proceeds from sales of long-term securities | | | 968,397 | | | | 1,685,376 | |
(Purchases) Proceeds from sales of short-term portfolio investments, net | | | (185,197 | ) | | | (47,616 | ) |
(Increase) decrease in deposits with counterparty | | | (39,651 | ) | | | (20,937 | ) |
(Increase) decrease in receivable for investments sold | | | (29,474 | ) | | | 440,250 | |
(Increase) decrease in interest and/or dividends receivable | | | (64,784 | ) | | | (3,082 | ) |
Proceeds from (Payments on) exchange-traded or centrally cleared financial derivative instruments | | | 825 | | | | (10,408 | ) |
Proceeds from (Payments on) over the counter financial derivative instruments | | | 17,330 | | | | 24,902 | |
(Increase) decrease in other assets | | | (505 | ) | | | 0 | |
Increase (decrease) in payable for investments purchased | | | 312,264 | | | | (301,767 | ) |
Increase (decrease) in payable for unfunded loan commitments | | | 57,440 | | | | 12,177 | |
Increase (decrease) in deposits from counterparty | | | 5,029 | | | | (22,531 | ) |
Increase (decrease) in accrued management fees | | | 6,394 | | | | 71 | |
Proceeds from (Payments on) short sales transactions, net | | | 0 | | | | (132 | ) |
Proceeds from (Payments on) foreign currency transactions | | | 1,118 | | | | (3,757 | ) |
Increase (decrease) in other liabilities | | | 413 | | | | (93 | ) |
Net Realized (Gain) Loss | | | | | | | | |
Investments in securities | | | 8,314 | | | | (19,896 | ) |
Exchange-traded or centrally cleared financial derivative instruments | | | 1,440 | | | | 6,999 | |
Over the counter financial derivative instruments | | | (16,202 | ) | | | (25,119 | ) |
Short sales | | | 0 | | | | 132 | |
Foreign currency | | | (1,656 | ) | | | 3,787 | |
Net Change in Unrealized (Appreciation) Depreciation | | | | | | | | |
Investments in securities | | | 115,302 | | | | 100,854 | |
Investments in Affiliates | | | (68,347 | ) | | | 0 | |
Exchange-traded or centrally cleared financial derivative instruments | | | (1,304 | ) | | | 3,529 | |
Over the counter financial derivative instruments | | | 15,773 | | | | 12,584 | |
Foreign currency assets and liabilities | | | (7,572 | ) | | | (2,079 | ) |
Net amortization (accretion) on investments | | | (18,774 | ) | | | (2,536 | ) |
Net (decrease) from Reorganization(a) | | | (228,260 | ) | | | 0 | |
| | |
Net Cash Provided by (Used for) Operating Activities | | | (196,452 | ) | | | 405,028 | |
| | |
Cash Flows Received from (Used for) Financing Activities: | | | | | | | | |
| | |
Net proceeds from at-the-market offering | | | 56,173 | | | | 0 | |
Net at-the-market offering cost | | | 143 | | | | 0 | |
Increase (decrease) in overdraft due to custodian | | | 1,547 | | | | 0 | |
Cash distributions paid* | | | (82,547 | ) | | | (105,594 | ) |
Proceeds from reverse repurchase agreements | | | 3,219,825 | | | | 3,635,053 | |
Payments on reverse repurchase agreements | | | (2,998,005 | ) | | | (3,941,362 | ) |
| | |
Net Cash Received from (Used for) Financing Activities | | | 197,136 | | | | (411,903 | ) |
| | |
Net Increase (Decrease) in Cash and Foreign Currency | | | 684 | | | | (6,875 | ) |
| | |
Cash and Foreign Currency: | | | | | | | | |
| | |
Beginning of period | | | 6,061 | | | | 13,418 | |
End of period | | $ | 6,745 | | | $ | 6,543 | |
| | |
*Reinvestment of distributions | | $ | 11,935 | | | $ | 25,412 | |
| | |
Supplemental Disclosure of Cash Flow Information: | | | | | | | | |
| | |
Interest expense paid during the period | | $ | 272 | | | $ | 4,259 | |
| | |
Non Cash Payment in Kind | | $ | 659 | | | $ | 2,499 | |
| † | A zero balance may reflect actual amounts rounding to less than one thousand. |
| (a) | Includes cash, accruals, assets, and liabilities received in connection with Reorganization. Please see Note 16 — Reorganization in the Notes to Financial Statements for additional information about the Reorganization. |
A Statement of Cash Flows is presented when a Fund has a significant amount of borrowing during the period, based on the average total borrowing outstanding in relation to total assets or when substantially all of a Fund’s investments are not classified as Level 1 or 2 in the fair value hierarchy.
| | | | | | |
| 28 | | PIMCO CLOSED-END FUNDS | | | See Accompanying Notes | |
| | | | | | | | |
| Schedule of Investments | | PIMCO PCM Fund, Inc. | | | | December 31, 2021 | | (Unaudited) |
(Amounts in thousands*, except number of shares, contracts, units and ounces, if any)
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
| INVESTMENTS IN SECURITIES 175.3% | |
| |
| LOAN PARTICIPATIONS AND ASSIGNMENTS 34.3% | |
|
AAdvantage Loyalty IP Ltd. | |
5.500% (LIBOR03M + 4.750%) due 04/20/2028 ~ | | $ | | | 800 | | | $ | | | 830 | |
|
Altar BidCo, Inc. | |
4.250% due 11/17/2028 | | | | | 1,112 | | | | | | 1,109 | |
|
AP Core Holdings II, LLC | |
6.250% (LIBOR03M + 5.500%) due 09/01/2027 ~ | | | | | 1,117 | | | | | | 1,119 | |
|
Caesars Resort Collection LLC | |
2.854% (LIBOR03M + 2.750%) due 12/23/2024 ~ | | | | | 2,627 | | | | | | 2,617 | |
3.604% (LIBOR03M + 3.500%) due 07/21/2025 ~ | | | | | 299 | | | | | | 300 | |
|
Carnival Corp. | |
4.000% (LIBOR03M + 3.250%) due 10/18/2028 ~ | | | | | 178 | | | | | | 176 | |
|
Cengage Learning, Inc. | |
5.750% (LIBOR03M + 4.750%) due 06/29/2026 ~ | | | | | 1,122 | | | | | | 1,126 | |
|
Clear Channel Outdoor Holdings, Inc. | |
3.629% (LIBOR03M + 3.500%) due 08/21/2026 ~ | | | | | 1,431 | | | | | | 1,413 | |
|
Dei Sales, Inc. | |
5.604% (LIBOR03M + 5.500%) due 04/28/2028 «~ | | | | | 1,086 | | | | | | 1,086 | |
|
Emerald TopCo, Inc. | |
3.629% (LIBOR03M + 3.500%) due 07/24/2026 ~ | | | | | 6 | | | | | | 6 | |
|
Encina Private Credit LLC | |
TBD% (LIBOR03M + 3.716%) due 11/30/2025 «~µ | | | | | 2,573 | | | | | | 2,573 | |
|
Envision Healthcare Corp. | |
3.854% (LIBOR03M + 3.750%) due 10/10/2025 ~ | | | | | 3,836 | | | | | | 3,099 | |
|
ExGen Texas Power LLC | |
7.750% (LIBOR03M + 6.750%) due 10/08/2026 «~ | | | | | 1,386 | | | | | | 1,390 | |
|
Forbes Energy Services LLC (7.000% PIK) | |
7.000% due 06/30/2022 «(d) | | | | | 630 | | | | | | 0 | |
|
HUB International Ltd. | |
4.000% (LIBOR03M + 3.250%) due 04/25/2025 ~ | | | | | 1,200 | | | | | | 1,201 | |
|
II-VI, Inc. | |
TBD% (LIBOR03M + 2.750%) due 12/01/2028 ~ | | | | | 142 | | | | | | 142 | |
|
Lealand Finance Company B.V. | |
3.104% (LIBOR03M + 3.000%) due 06/28/2024 «~ | | | | | 27 | | | | | | 16 | |
|
Lealand Finance Company B.V. (1.104% Cash and 3.000% PIK) | |
4.104% (LIBOR03M + 1.000%) due 06/30/2025 ~(d) | | | | | 192 | | | | | | 85 | |
|
Petco Health & Wellness Co. | |
4.000% (LIBOR03M + 3.250%) due 03/03/2028 ~ | | | | | 1,112 | | | | | | 1,112 | |
|
PUG LLC | |
3.604% (LIBOR03M + 3.500%) due 02/12/2027 ~ | | | | | 702 | | | | | | 688 | |
|
Redstone Buyer LLC | |
5.500% (LIBOR03M + 4.750%) due 04/27/2028 ~ | | | | | 1,500 | | | | | | 1,439 | |
|
Rising Tide Holdings, Inc. | |
5.500% (LIBOR03M + 4.750%) due 06/01/2028 ~ | | | | | 1,095 | | | | | | 1,093 | |
|
Scientific Games International, Inc. | |
2.854% (LIBOR03M + 2.750%) due 08/14/2024 ~ | | | | | 898 | | | | | | 896 | |
|
Sequa Mezzanine Holdings LLC | |
11.750% (LIBOR03M + 10.750%) due 04/28/2024 ~ | | | | | 834 | | | | | | 834 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
|
Shutterfly, Inc. | |
5.750% (LIBOR03M + 5.000%) due 09/25/2026 ~ | | $ | | | 15 | | | $ | | | 15 | |
|
SkyMiles IP Ltd. | |
4.750% (LIBOR03M + 3.750%) due 10/20/2027 ~ | | | | | 300 | | | | | | 318 | |
|
Softbank Vision Fund | |
5.000% due 12/21/2025 « | | | | | 800 | | | | | | 800 | |
|
Syniverse Holdings, Inc. | |
4.500% due 10/15/2028 « | | | | | 2,652 | | | | | | 2,640 | |
6.000% (LIBOR03M + 5.000%) due 03/09/2023 ~ | | | | | 2,503 | | | | | | 2,489 | |
10.000% (LIBOR03M + 9.000%) due 03/11/2024 ~ | | | | | 41 | | | | | | 41 | |
|
Team Health Holdings, Inc. | |
3.750% (LIBOR03M + 2.750%) due 02/06/2024 ~ | | | | | 1,791 | | | | | | 1,720 | |
|
U.S. Renal Care, Inc. | |
6.500% (LIBOR03M + 5.500%) due 06/26/2026 ~ | | | | | 1,097 | | | | | | 1,078 | |
|
Uber Technologies, Inc. | |
3.604% (LIBOR03M + 3.500%) due 04/04/2025 ~ | | | | | 698 | | | | | | 699 | |
3.604% (LIBOR03M + 3.500%) due 02/25/2027 ~ | | | | | 299 | | | | | | 300 | |
|
United Airlines, Inc. | |
4.500% (LIBOR03M + 3.750%) due 04/21/2028 ~ | | | | | 798 | | | | | | 803 | |
|
Univision Communications, Inc. | |
3.750% (LIBOR03M + 2.750%) due 03/15/2024 ~ | | | | | 2,298 | | | | | | 2,299 | |
|
Westmoreland Mining Holdings LLC (15.000% PIK) | |
15.000% due 03/15/2029 (d) | | | | | 813 | | | | | | 244 | |
|
Windstream Services LLC | |
7.250% (LIBOR03M + 6.250%) due 09/21/2027 ~ | | | | | 167 | | | | | | 168 | |
| | | | | | | | | | | | |
Total Loan Participations and Assignments (Cost $38,798) | | | 37,964 | |
| | | | |
| |
| CORPORATE BONDS & NOTES 38.8% | |
| |
| BANKING & FINANCE 8.2% | |
|
CURO Finance LLC | |
7.500% due 08/01/2028 (k) | | | | | 900 | | | | | | 906 | |
|
Fortress Transportation & Infrastructure Investors LLC | |
6.500% due 10/01/2025 (k) | | | | | 76 | | | | | | 79 | |
|
MGM Growth Properties Operating Partnership LP | |
3.875% due 02/15/2029 (k) | | | | | 200 | | | | | | 210 | |
4.500% due 09/01/2026 (k) | | | | | 200 | | | | | | 215 | |
5.750% due 02/01/2027 (k) | | | | | 900 | | | | | | 1,018 | |
|
Navient Corp. | |
5.625% due 01/25/2025 | | | | | 51 | | | | | | 50 | |
6.125% due 03/25/2024 (k) | | | | | 102 | | | | | | 109 | |
|
Newmark Group, Inc. | |
6.125% due 11/15/2023 (k) | | | | | 20 | | | | | | 21 | |
|
OneMain Finance Corp. | |
6.125% due 03/15/2024 (k) | | | | | 24 | | | | | | 26 | |
|
Piper Sandler Cos. | |
5.200% due 10/15/2023 | | | | | 900 | | | | | | 900 | |
|
Uniti Group LP | |
6.000% due 01/15/2030 (k) | | | | | 1,065 | | | | | | 1,026 | |
7.875% due 02/15/2025 (k) | | | | | 2,420 | | | | | | 2,529 | |
|
Voyager Aviation Holdings LLC | |
8.500% due 05/09/2026 (k) | | | | | 2,205 | | | | | | 2,065 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 9,154 | |
| | | | | | | | | | | | |
| |
| INDUSTRIALS 27.0% | |
|
American Airlines, Inc. | |
5.500% due 04/20/2026 (k) | | | | | 600 | | | | | | 625 | |
5.750% due 04/20/2029 (k) | | | | | 1,300 | | | | | | 1,392 | |
|
Associated Materials LLC | |
9.000% due 09/01/2025 (k) | | | | | 770 | | | | | | 825 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
|
Boeing Co. | |
5.705% due 05/01/2040 (k) | | $ | | | 193 | | | $ | | | 248 | |
5.805% due 05/01/2050 (k) | | | | | 129 | | | | | | 175 | |
5.930% due 05/01/2060 (k) | | | | | 310 | | | | | | 431 | |
|
Broadcom, Inc. | |
3.137% due 11/15/2035 (k) | | | | | 100 | | | | | | 101 | |
3.187% due 11/15/2036 (k) | | | | | 100 | | | | | | 100 | |
|
Caesars Entertainment, Inc. | |
6.250% due 07/01/2025 (k) | | | | | 200 | | | | | | 210 | |
|
Carnival Corp. | |
10.500% due 02/01/2026 (k) | | | | | 100 | | | | | | 114 | |
|
Charter Communications Operating LLC | |
3.500% due 03/01/2042 (k) | | | | | 200 | | | | | | 194 | |
3.850% due 04/01/2061 (k) | | | | | 200 | | | | | | 189 | |
3.950% due 06/30/2062 (k) | | | | | 1,000 | | | | | | 966 | |
4.400% due 12/01/2061 (k) | | | | | 400 | | | | | | 415 | |
4.800% due 03/01/2050 (k) | | | | | 41 | | | | | | 46 | |
|
Community Health Systems, Inc. | |
6.625% due 02/15/2025 (k) | | | | | 221 | | | | | | 229 | |
8.000% due 03/15/2026 (k) | | | | | 78 | | | | | | 82 | |
|
Coty, Inc. | |
4.750% due 01/15/2029 (k) | | | | | 1,100 | | | | | | 1,120 | |
|
CVS Pass-Through Trust | |
5.880% due 01/10/2028 (k) | | | | | 828 | | | | | | 937 | |
|
Delta Air Lines, Inc. | |
7.375% due 01/15/2026 (k) | | | | | 508 | | | | | | 599 | |
|
DISH DBS Corp. | |
5.250% due 12/01/2026 (k) | | | | | 560 | | | | | | 570 | |
|
Envision Healthcare Corp. | |
8.750% due 10/15/2026 (k) | | | | | 439 | | | | | | 253 | |
|
Exela Intermediate LLC | |
11.500% due 07/15/2026 | | | | | 17 | | | | | | 12 | |
|
Fresh Market, Inc. | |
9.750% due 05/01/2023 (k) | | | | | 350 | | | | | | 360 | |
|
Frontier Communications Holdings LLC | |
6.000% due 01/15/2030 (k) | | | | | 274 | | | | | | 276 | |
|
Hertz Corp. | |
4.625% due 12/01/2026 (k) | | | | | 500 | | | | | | 504 | |
|
II-VI, Inc. | |
5.000% due 12/15/2029 | | | | | 34 | | | | | | 35 | |
|
Kontoor Brands, Inc. | |
4.125% due 11/15/2029 (k) | | | | | 1,200 | | | | | | 1,202 | |
|
NCL Corp. Ltd. | |
10.250% due 02/01/2026 (k) | | | | | 642 | | | | | | 747 | |
|
Noble Corp. PLC (11.000% Cash or 15.000% PIK) | |
11.000% due 02/15/2028 (d) | | | | | 9 | | | | | | 10 | |
|
Oracle Corp. | |
4.100% due 03/25/2061 (j)(k) | | | | | 100 | | | | | | 104 | |
|
Ortho-Clinical Diagnostics, Inc. | |
7.375% due 06/01/2025 | | | | | 4 | | | | | | 4 | |
|
Prime Healthcare Services, Inc. | |
7.250% due 11/01/2025 (k) | | | | | 100 | | | | | | 106 | |
|
Ritchie Bros Holdings, Inc. | |
4.750% due 12/15/2031 (k) | | | | | 800 | | | | | | 837 | |
|
Royal Caribbean Cruises Ltd. | |
9.125% due 06/15/2023 (k) | | | | | 100 | | | | | | 106 | |
|
Spirit AeroSystems, Inc. | |
3.950% due 06/15/2023 (k) | | | | | 520 | | | | | | 524 | |
|
Topaz Solar Farms LLC | |
4.875% due 09/30/2039 (k) | | | | | 296 | | | | | | 336 | |
5.750% due 09/30/2039 (k) | | | | | 2,003 | | | | | | 2,390 | |
|
Transocean Pontus Ltd. | |
6.125% due 08/01/2025 | | | | | 19 | | | | | | 18 | |
|
Transocean, Inc. | |
7.250% due 11/01/2025 | | | | | 51 | | | | | | 39 | |
|
TripAdvisor, Inc. | |
7.000% due 07/15/2025 (k) | | | | | 1,000 | | | | | | 1,056 | |
|
Triumph Group, Inc. | |
6.250% due 09/15/2024 | | | | | 11 | | | | | | 11 | |
|
U.S. Renal Care, Inc. | |
10.625% due 07/15/2027 | | | | | 12 | | | | | | 12 | |
|
UAL Pass-Through Trust | |
6.636% due 01/02/2024 (k) | | | | | 278 | | | | | | 285 | |
| | | | | | | | | | | | |
| See Accompanying Notes | | | SEMIANNUAL REPORT | | | | | | | DECEMBER 31, 2021 | | | 29 |
| | | | | | | | |
| Schedule of Investments | | PIMCO PCM Fund, Inc. | | (Cont.) | | | | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
|
Uber Technologies, Inc. | |
7.500% due 05/15/2025 (k) | | $ | | | 200 | | | $ | | | 210 | |
|
United Airlines, Inc. | |
4.375% due 04/15/2026 (k) | | | | | 200 | | | | | | 209 | |
4.625% due 04/15/2029 (k) | | | | | 1,500 | | | | | | 1,550 | |
|
Univision Communications, Inc. | |
5.125% due 02/15/2025 (k) | | | | | 438 | | | | | | 443 | |
|
Viking Cruises Ltd. | |
13.000% due 05/15/2025 (k) | | | | | 1,000 | | | | | | 1,133 | |
|
Viking Ocean Cruises Ship Ltd. | |
5.625% due 02/15/2029 (k) | | | | | 1,200 | | | | | | 1,200 | |
|
VOC Escrow Ltd. | |
5.000% due 02/15/2028 (k) | | | | | 200 | | | | | | 198 | |
|
Windstream Escrow LLC | |
7.750% due 08/15/2028 (k) | | | | | 1,609 | | | | | | 1,709 | |
|
Wolverine Escrow LLC | |
8.500% due 11/15/2024 (k) | | | | | 1,764 | | | | | | 1,638 | |
9.000% due 11/15/2026 (k) | | | | | 1,406 | | | | | | 1,337 | |
|
Wynn Las Vegas LLC | |
5.250% due 05/15/2027 (k) | | | | | 500 | | | | | | 512 | |
5.500% due 03/01/2025 (k) | | | | | 200 | | | | | | 206 | |
|
Wynn Resorts Finance LLC | |
5.125% due 10/01/2029 (k) | | | | | 100 | | | | | | 102 | |
7.750% due 04/15/2025 (k) | | | | | 600 | | | | | | 630 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 29,872 | |
| | | | | | | | | | | | |
| |
| UTILITIES 3.6% | |
|
Genesis Energy LP | |
8.000% due 01/15/2027 (k) | | | | | 843 | | | | | | 870 | |
|
Pacific Gas & Electric Co. | |
3.750% due 08/15/2042 | | | | | 2 | | | | | | 2 | |
4.000% due 12/01/2046 | | | | | 2 | | | | | | 2 | |
4.300% due 03/15/2045 (k) | | | | | 463 | | | | | | 469 | |
4.450% due 04/15/2042 | | | | | 22 | | | | | | 23 | |
4.500% due 07/01/2040 (k) | | | | | 53 | | | | | | 55 | |
4.500% due 12/15/2041 (k) | | | | | 26 | | | | | | 26 | |
4.600% due 06/15/2043 | | | | | 9 | | | | | | 9 | |
4.750% due 02/15/2044 (k) | | | | | 1,471 | | | | | | 1,529 | |
4.950% due 07/01/2050 (k) | | | | | 826 | | | | | | 901 | |
|
Southern California Edison Co. | |
4.875% due 03/01/2049 (k) | | | | | 40 | | | | | | 49 | |
|
Transocean Poseidon Ltd. | |
6.875% due 02/01/2027 | | | | | 20 | | | | | | 19 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,954 | |
| | | | | | | | | | | | |
Total Corporate Bonds & Notes (Cost $41,663) | | | 42,980 | |
| | | | |
| |
| CONVERTIBLE BONDS & NOTES 0.6% | |
| |
| BANKING & FINANCE 0.1% | |
|
CBL & Associates HoldCo LLC | |
7.000% due 11/15/2028 | | | | | 59 | | | | | | 113 | |
| | | | | | | | | | | | |
| |
| INDUSTRIALS 0.5% | |
|
Multiplan Corp. (6.000% Cash or 7.000% PIK) | |
6.000% due 10/15/2027 (d)(k) | | | | | 700 | | | | | | 555 | |
| | | | | | | | | | | | |
Total Convertible Bonds & Notes (Cost $744) | | | 668 | |
| | | | |
| |
| MUNICIPAL BONDS & NOTES 1.3% | |
| |
| PUERTO RICO 1.3% | |
|
Commonwealth of Puerto Rico General Obligation Bonds, Series 2014 | |
8.000% due 07/01/2035 ^(e) | | | | | 1,600 | | | | | | 1,424 | |
| | | | | | | | | | | | |
Total Municipal Bonds & Notes (Cost $1,308) | | | 1,424 | |
| | | | |
| |
| U.S. GOVERNMENT AGENCIES 3.9% | |
|
Fannie Mae | |
4.000% due 06/25/2050 (a)(k) | | | | | 3,975 | | | | | | 606 | |
5.853% due 07/25/2029 • | | | | | 230 | | | | | | 253 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
|
Freddie Mac | |
0.000% due 02/25/2046 (b)(h) | | $ | | | 232 | | | $ | | | 195 | |
0.100% due 02/25/2046 (a) | | | | | 232 | | | | | | 0 | |
0.700% due 11/25/2055 «~(a)(k) | | | | | 6,139 | | | | | | 479 | |
2.010% due 11/25/2045 ~(a)(k) | | | | | 1,027 | | | | | | 109 | |
3.500% due 02/25/2041 (a)(k) | | | | | 2,299 | | | | | | 278 | |
4.000% due 07/25/2050 (a)(k) | | | | | 7,258 | | | | | | 1,241 | |
5.000% due 03/15/2040 (a)(k) | | | | | 919 | | | | | | 51 | |
5.253% due 10/25/2029 • | | | | | 250 | | | | | | 273 | |
6.048% due 05/25/2050 •(a)(k) | | | | | 2,112 | | | | | | 348 | |
7.653% due 12/25/2027 • | | | | | 445 | | | | | | 478 | |
| | | | | | | | | | | | |
Total U.S. Government Agencies (Cost $4,689) | | | 4,311 | |
| | | | |
| |
| NON-AGENCY MORTGAGE-BACKED SECURITIES 33.4% | |
|
Adjustable Rate Mortgage Trust | |
2.734% due 01/25/2036 ^~ | | | | | 63 | | | | | | 60 | |
|
Banc of America Alternative Loan Trust | |
5.815% due 04/25/2037 ^~ | | | | | 97 | | | | | | 97 | |
|
Banc of America Funding Trust | |
2.001% due 12/20/2034 ~ | | | | | 242 | | | | | | 164 | |
2.522% due 03/20/2036 ~ | | | | | 49 | | | | | | 45 | |
5.806% due 03/25/2037 ^~ | | | | | 47 | | | | | | 54 | |
7.000% due 10/25/2037 ^ | | | | | 379 | | | | | | 313 | |
|
Banc of America Mortgage Trust | |
2.625% due 06/20/2031 ~ | | | | | 223 | | | | | | 229 | |
2.969% due 06/25/2035 ~ | | | | | 40 | | | | | | 39 | |
|
Bancorp Commercial Mortgage Trust | |
3.860% due 08/15/2032 •(k) | | | | | 2,300 | | | | | | 2,077 | |
|
BCAP LLC Trust | |
0.486% due 07/26/2036 ~ | | | | | 87 | | | | | | 79 | |
|
Bear Stearns ALT-A Trust | |
0.442% due 04/25/2037 • | | | | | 460 | | | | | | 453 | |
2.000% due 09/25/2034 ~ | | | | | 69 | | | | | | 71 | |
2.889% due 11/25/2036 ^~ | | | | | 544 | | | | | | 354 | |
3.033% due 05/25/2036 ~ | | | | | 33 | | | | | | 28 | |
3.050% due 01/25/2047 ~ | | | | | 23 | | | | | | 15 | |
3.174% due 05/25/2036 ^~ | | | | | 148 | | | | | | 144 | |
3.398% due 08/25/2036 ^~ | | | | | 200 | | | | | | 127 | |
4.057% due 07/25/2035 ^~ | | | | | 113 | | | | | | 95 | |
|
Bear Stearns Commercial Mortgage Securities Trust | |
5.657% due 10/12/2041 ~ | | | | | 51 | | | | | | 51 | |
|
CBA Commercial Small Balance Commercial Mortgage | |
6.040% due 01/25/2039 ^þ | | | | | 147 | | | | | | 141 | |
|
CD Mortgage Trust | |
5.688% due 10/15/2048 | | | | | 69 | | | | | | 67 | |
|
Chase Mortgage Finance Trust | |
6.000% due 03/25/2037 ^ | | | | | 173 | | | | | | 118 | |
|
Citigroup Commercial Mortgage Trust | |
5.512% due 12/10/2049 ~ | | | | | 427 | | | | | | 192 | |
|
Citigroup Mortgage Loan Trust | |
2.394% due 11/25/2036 ^~ | | | | | 24 | | | | | | 24 | |
2.692% due 11/25/2035 ~ | | | | | 1,240 | | | | | | 819 | |
6.250% due 11/25/2037 ~ | | | | | 691 | | | | | | 428 | |
|
Citigroup Mortgage Loan Trust, Inc. | |
2.533% due 10/25/2035 ~ | | | | | 292 | | | | | | 203 | |
|
Citigroup Mortgage Loan Trust, Inc. Mortgage Pass-Through Certificates | |
3.039% due 09/25/2035 ^~ | | | | | 77 | | | | | | 68 | |
|
Commercial Mortgage Lease-Backed Certificates | |
6.250% due 06/20/2031 ~(k) | | | | | 1,700 | | | | | | 1,720 | |
|
Commercial Mortgage Loan Trust | |
5.956% due 12/10/2049 ~ | | | | | 195 | | | | | | 34 | |
|
Connecticut Avenue Securities Trust | |
3.150% due 10/25/2041 •(k) | | | | | 800 | | | | | | 809 | |
|
Countrywide Alternative Loan Trust | |
0.652% due 10/25/2037 • | | | | | 3,719 | | | | | | 659 | |
0.662% due 02/25/2037 • | | | | | 147 | | | | | | 129 | |
0.682% due 02/25/2036 ^• | | | | | 445 | | | | | | 439 | |
1.082% due 12/25/2035 • | | | | | 697 | | | | | | 642 | |
5.500% due 03/25/2035 | | | | | 393 | | | | | | 239 | |
6.000% due 11/25/2035 ^ | | | | | 163 | | | | | | 45 | |
6.000% due 04/25/2036 ^(k) | | | | | 2,344 | | | | | | 1,593 | |
|
Countrywide Home Loan Mortgage Pass-Through Trust | |
0.742% due 03/25/2035 • | | | | | 81 | | | | | | 74 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
1.972% due 03/25/2046 ^•(k) | | $ | | | 374 | | | $ | | | 260 | |
1.985% due 02/20/2036 ^• | | | | | 4 | | | | | | 4 | |
2.813% due 09/20/2036 ^~ | | | | | 73 | | | | | | 70 | |
2.911% due 09/25/2047 ^~ | | | | | 204 | | | | | | 197 | |
6.000% due 05/25/2037 ^ | | | | | 194 | | | | | | 123 | |
|
Credit Suisse Commercial Mortgage Trust | |
5.457% due 02/15/2040 ~ | | | | | 1,497 | | | | | | 215 | |
|
Credit Suisse First Boston Mortgage Securities Corp. | |
7.000% due 02/25/2033 | | | | | 38 | | | | | | 41 | |
|
Credit Suisse Mortgage Capital Mortgage-Backed Trust | |
6.000% due 07/25/2036 | | | | | 969 | | | | | | 686 | |
6.396% due 04/25/2036 þ | | | | | 172 | | | | | | 119 | |
6.500% due 05/25/2036 ^ | | | | | 147 | | | | | | 76 | |
|
DBGS Mortgage Trust | |
0.194% due 10/15/2036 ~(a) | | | | | 147,870 | | | | | | 787 | |
|
Extended Stay America Trust | |
3.810% due 07/15/2038 •(k) | | | | | 895 | | | | | | 899 | |
|
First Horizon Alternative Mortgage Securities Trust | |
2.279% due 08/25/2035 ^~ | | | | | 9 | | | | | | 1 | |
|
Freddie Mac | |
7.550% due 10/25/2041 • | | | | | 1,100 | | | | | | 1,147 | |
7.850% due 11/25/2041 • | | | | | 1,100 | | | | | | 1,162 | |
|
GS Mortgage Securities Corp. Trust | |
4.591% due 10/10/2032 ~(k) | | | | | 800 | | | | | | 786 | |
4.591% due 10/10/2032 ~ | | | | | 100 | | | | | | 97 | |
|
GS Mortgage Securities Trust | |
0.731% due 08/10/2043 ~(a) | | | | | 3,534 | | | | | | 26 | |
1.723% due 05/10/2045 ~(a) | | | | | 1,201 | | | | | | 1 | |
|
GSR Mortgage Loan Trust | |
2.770% due 03/25/2047 ^~(k) | | | | | 664 | | | | | | 513 | |
|
HarborView Mortgage Loan Trust | |
0.604% due 01/19/2036 • | | | | | 468 | | | | | | 325 | |
|
IndyMac INDA Mortgage Loan Trust | |
3.272% due 06/25/2037 ~ | | | | | 118 | | | | | | 103 | |
|
IndyMac INDX Mortgage Loan Trust | |
0.902% due 11/25/2034 • | | | | | 64 | | | | | | 63 | |
2.813% due 05/25/2036 ~ | | | | | 101 | | | | | | 71 | |
|
J.P. Morgan Chase Commercial Mortgage Securities Trust | |
6.500% due 11/15/2038 •(k) | | | | | 900 | | | | | | 900 | |
|
JP Morgan Alternative Loan Trust | |
6.500% due 03/25/2036 ^(k) | | | | | 816 | | | | | | 638 | |
|
JP Morgan Chase Commercial Mortgage Securities Corp. | |
1.420% due 03/12/2039 ~(a) | | | | | 3 | | | | | | 0 | |
|
JP Morgan Chase Commercial Mortgage Securities Trust | |
0.392% due 02/15/2046 ~(a)(k) | | | | | 55,152 | | | | | | 496 | |
5.868% due 01/12/2038 ~(k) | | | | | 867 | | | | | | 876 | |
6.098% due 02/12/2051 ~ | | | | | 53 | | | | | | 264 | |
|
JP Morgan Mortgage Trust | |
2.314% due 07/25/2035 ~ | | | | | 17 | | | | | | 17 | |
|
LB-UBS Commercial Mortgage Trust | |
5.407% due 11/15/2038 ^ | | | | | 48 | | | | | | 30 | |
5.534% due 02/15/2040 ^~ | | | | | 81 | | | | | | 33 | |
|
Lehman Mortgage Trust | |
5.937% due 04/25/2036 ^~ | | | | | 119 | | | | | | 99 | |
6.000% due 05/25/2037 ^ | | | | | 74 | | | | | | 79 | |
|
MASTR Adjustable Rate Mortgages Trust | |
2.616% due 11/25/2035 ^~ | | | | | 259 | | | | | | 187 | |
|
MASTR Asset Securitization Trust | |
6.000% due 06/25/2036 ^• | | | | | 184 | | | | | | 155 | |
|
Merrill Lynch Mortgage Investors Trust | |
0.522% due 07/25/2030 • | | | | | 31 | | | | | | 30 | |
0.762% due 11/25/2029 • | | | | | 59 | | | | | | 57 | |
2.240% due 02/25/2034 ~ | | | | | 3 | | | | | | 4 | |
2.331% due 05/25/2033 ~ | | | | | 3 | | | | | | 3 | |
2.597% due 11/25/2035 • | | | | | 52 | | | | | | 52 | |
|
Morgan Stanley Capital Trust | |
0.222% due 11/12/2049 ~(a) | | | | | 4,537 | | | | | | 0 | |
4.460% due 11/15/2034 • | | | | | 400 | | | | | | 383 | |
|
Morgan Stanley Mortgage Loan Trust | |
2.552% due 01/25/2035 ^~ | | | | | 197 | | | | | | 179 | |
6.000% due 08/25/2037 ^ | | | | | 146 | | | | | | 84 | |
| | | | | | |
| 30 | | PIMCO CLOSED-END FUNDS | | | See Accompanying Notes | |
| | | | | | | | |
| | | | | | December 31, 2021 | | (Unaudited) |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
|
Morgan Stanley Resecuritization Trust | |
3.160% due 03/26/2037 ~(k) | | $ | | | 2,462 | | | $ | | | 2,471 | |
|
Mortgage Equity Conversion Asset Trust | |
4.000% due 07/25/2060 | | | | | 130 | | | | | | 130 | |
|
Nomura Asset Acceptance Corp. Alternative Loan Trust | |
1.172% due 02/25/2035 •(k) | | | | | 282 | | | | | | 289 | |
|
Regal Trust | |
1.738% due 09/29/2031 • | | | | | 13 | | | | | | 12 | |
|
Residential Accredit Loans, Inc. Trust | |
4.341% due 01/25/2036 ^~ | | | | | 197 | | | | | | 176 | |
6.000% due 08/25/2035 ^ | | | | | 158 | | | | | | 155 | |
6.000% due 06/25/2036 ^ | | | | | 81 | | | | | | 79 | |
6.500% due 09/25/2037 ^ | | | | | 149 | | | | | | 147 | |
|
Residential Asset Securitization Trust | |
6.000% due 03/25/2037 ^ | | | | | 183 | | | | | | 93 | |
|
Residential Funding Mortgage Securities, Inc. Trust | |
6.000% due 06/25/2036 ^ | | | | | 116 | | | | | | 114 | |
|
Structured Adjustable Rate Mortgage Loan Trust | |
2.908% due 04/25/2036 ^~ | | | | | 185 | | | | | | 136 | |
2.911% due 01/25/2036 ^~ | | | | | 209 | | | | | | 154 | |
3.284% due 09/25/2036 ^~ | | | | | 42 | | | | | | 39 | |
|
Structured Asset Mortgage Investments Trust | |
0.522% due 08/25/2036 ^• | | | | | 512 | | | | | | 499 | |
|
TBW Mortgage-Backed Trust | |
6.000% due 07/25/2036 ^ | | | | | 110 | | | | | | 62 | |
|
Tharaldson Hotel Portfolio Trust | |
3.584% due 11/11/2034 • | | | | | 1,126 | | | | | | 1,101 | |
|
Wachovia Bank Commercial Mortgage Trust | |
0.933% due 10/15/2041 ~(a) | | | | | 30 | | | | | | 0 | |
5.720% due 10/15/2048 ~(k) | | | | | 1,367 | | | | | | 1,357 | |
|
WaMu Mortgage Pass-Through Certificates Trust | |
1.002% due 10/25/2045 •(k) | | | | | 2,567 | | | | | | 2,227 | |
1.083% due 06/25/2044 •(k) | | | | | 227 | | | | | | 226 | |
1.725% due 10/25/2046 • | | | | | 884 | | | | | | 867 | |
1.725% due 11/25/2046 • | | | | | 490 | | | | | | 484 | |
2.991% due 12/25/2036 ^~ | | | | | 182 | | | | | | 183 | |
|
Washington Mutual Mortgage Pass-Through Certificates Trust | |
6.500% due 08/25/2036 ^(k) | | | | | 777 | | | | | | 720 | |
| | | | | | | | | | | | |
Total Non-Agency Mortgage-Backed Securities (Cost $36,842) | | | 36,997 | |
| | | | |
| |
| ASSET-BACKED SECURITIES 45.0% | |
|
AIM Aviation Finance Ltd. | |
4.213% due 02/15/2040 þ(k) | | | | | 1,228 | | | | | | 1,071 | |
|
Asset-Backed Securities Corp. Home Equity Loan Trust | |
1.197% due 02/25/2035 •(k) | | | | | 1,983 | | | | | | 2,002 | |
3.353% due 06/21/2029 • | | | | | 61 | | | | | | 61 | |
|
Bear Stearns Asset-Backed Securities Trust | |
0.672% due 04/25/2036 •(k) | | | | | 1,973 | | | | | | 2,783 | |
2.691% due 07/25/2036 ~ | | | | | 166 | | | | | | 166 | |
5.500% due 12/25/2035 | | | | | 32 | | | | | | 27 | |
|
Bombardier Capital Mortgage Securitization Corp. | |
7.830% due 06/15/2030 ~ | | | | | 1,185 | | | | | | 269 | |
|
Citigroup Mortgage Loan Trust | |
0.262% due 12/25/2036 • | | | | | 1,219 | | | | | | 816 | |
0.322% due 12/25/2036 •(k) | | | | | 703 | | | | | | 363 | |
0.777% due 11/25/2045 •(k) | | | | | 790 | | | | | | 790 | |
0.802% due 11/25/2046 •(k) | | | | | 1,100 | | | | | | 1,061 | |
|
Conseco Finance Securitizations Corp. | |
7.960% due 05/01/2031 | | | | | 331 | | | | | | 129 | |
9.163% due 03/01/2033 ~ | | | | | 726 | | | | | | 690 | |
|
Countrywide Asset-Backed Certificates | |
0.252% due 04/25/2047 ^•(k) | | | | | 211 | | | | | | 210 | |
0.302% due 06/25/2037 ^•(k) | | | | | 581 | | | | | | 621 | |
0.362% due 12/25/2036 ^•(k) | | | | | 834 | | | | | | 832 | |
0.582% due 05/25/2036 •(k) | | | | | 7,991 | | | | | | 7,197 | |
1.752% due 06/25/2035 •(k) | | | | | 4,000 | | | | | | 4,019 | |
|
Countrywide Asset-Backed Certificates Trust | |
0.372% due 09/25/2046 • | | | | | 4,047 | | | | | | 3,762 | |
1.977% due 10/25/2035 •(k) | | | | | 2,132 | | | | | | 1,945 | |
|
EMC Mortgage Loan Trust | |
1.152% due 05/25/2040 • | | | | | 182 | | | | | | 193 | |
1.402% due 02/25/2041 • | | | | | 184 | | | | | | 183 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
|
Flagship Credit Auto Trust | |
0.000% due 06/15/2026 «(h) | | $ | | | 2 | | | $ | | | 240 | |
|
Fremont Home Loan Trust | |
0.462% due 04/25/2036 •(k) | | | | | 47 | | | | | | 47 | |
|
GE Capital Mortgage Services, Inc. Trust | |
6.705% due 04/25/2029 ~ | | | | | 39 | | | | | | 35 | |
|
GSAMP Trust | |
1.902% due 06/25/2035 •(k) | | | | | 2,200 | | | | | | 2,240 | |
2.727% due 12/25/2034 •(k) | | | | | 2,151 | | | | | | 1,899 | |
|
Home Equity Mortgage Loan Asset-Backed Trust | |
0.342% due 04/25/2037 •(k) | | | | | 3,715 | | | | | | 2,972 | |
|
HSI Asset Securitization Corp. Trust | |
0.212% due 04/25/2037 •(k) | | | | | 3,127 | | | | | | 1,977 | |
|
Marlette Funding Trust | |
0.000% due 07/16/2029 «(h) | | | | | 5 | | | | | | 436 | |
0.000% due 03/15/2030 «(h) | | | | | 8 | | | | | | 1,055 | |
|
MASTR Asset-Backed Securities Trust | |
0.322% due 08/25/2036 •(k) | | | | | 2,725 | | | | | | 1,384 | |
|
Morgan Stanley ABS Capital, Inc. Trust | |
0.882% due 12/25/2034 • | | | | | 114 | | | | | | 114 | |
|
Morgan Stanley Home Equity Loan Trust | |
1.167% due 05/25/2035 •(k) | | | | | 1,913 | | | | | | 1,733 | |
|
National Collegiate Commutation Trust | |
0.000% due 03/25/2038 • | | | | | 3,500 | | | | | | 1,072 | |
|
People’s Financial Realty Mortgage Securities Trust | |
0.232% due 09/25/2036 • | | | | | 1,424 | | | | | | 391 | |
|
Renaissance Home Equity Loan Trust | |
7.238% due 09/25/2037 ^þ(k) | | | | | 3,539 | | | | | | 2,039 | |
|
Securitized Asset-Backed Receivables LLC Trust | |
0.747% due 01/25/2035 • | | | | | 499 | | | | | | 493 | |
|
SoFi Professional Loan Program LLC | |
0.000% due 01/25/2039 «(h) | | | | | 1,000 | | | | | | 110 | |
0.000% due 05/25/2040 (h) | | | | | 1,000 | | | | | | 135 | |
0.000% due 09/25/2040 «(h) | | | | | 339 | | | | | | 67 | |
|
Structured Asset Investment Loan Trust | |
1.827% due 10/25/2034 •(k) | | | | | 1,986 | | | | | | 1,997 | |
4.602% due 10/25/2033 • | | | | | 68 | | | | | | 74 | |
|
UCFC Manufactured Housing Contract | |
7.900% due 01/15/2028 ^~ | | | | | 125 | | | | | | 117 | |
|
UPS Capital Business Credit | |
7.664% due 04/15/2026 ^«•(e) | | | | | 1,856 | | | | | | 0 | |
| | | | | | | | | | | | |
Total Asset-Backed Securities (Cost $49,237) | | | 49,817 | |
| | | | |
| |
| | | | | SHARES | | | | | | |
| COMMON STOCKS 5.1% | |
| |
| COMMUNICATION SERVICES 1.2% | |
| | | | |
Clear Channel Outdoor Holdings, Inc. (f) | | | | | 108,013 | | | | | | 357 | |
| | | | |
iHeartMedia, Inc. ‘A’ (f) | | | | | 25,745 | | | | | | 542 | |
| | | | |
iHeartMedia, Inc. ‘B’ «(f) | | | | | 20,009 | | | | | | 379 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,278 | |
| | | | | | | | | | | | |
| |
| ENERGY 0.1% | |
| | | | |
Axis Energy Services ‘A’ «(j) | | | | | 3,344 | | | | | | 49 | |
| | | | |
Noble Corp. (f)(j) | | | | | 2,288 | | | | | | 57 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 106 | |
| | | | | | | | | | | | |
| |
| INDUSTRIALS 1.7% | |
| | | | |
McDermott International Ltd. (f) | | | | | 7,216 | | | | | | 3 | |
| | | |
Neiman Marcus Group Ltd. LLC «(j) | | | 13,191 | | | | | | 1,930 | |
| | | | |
Noble Corp. | | | | | 275 | | | | | | 7 | |
| | | | |
Voyager Aviation Holdings « | | | | | 307 | | | | | | 0 | |
| | | | |
Westmoreland Mining Holdings LLC «(j) | | | | | 9,231 | | | | | | 0 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,940 | |
| | | | | | | | | | | | |
| |
| | | | | | | | | | | | |
| | | | | SHARES | | | | | MARKET
VALUE
(000S) | |
| MATERIALS 1.9% | |
| | | | |
Associated Materials Group, Inc. «(j) | | | | | 294,140 | | | $ | | | 2,053 | |
| | | | | | | | | | | | |
| |
| UTILITIES 0.2% | |
| | | | |
TexGen Power LLC « | | | | | 9,914 | | | | | | 258 | |
| | | | | | | | | | | | |
Total Common Stocks (Cost $4,813) | | | 5,635 | |
| | | | |
| |
| WARRANTS 1.0% | |
| |
| INDUSTRIALS 0.1% | |
| | | | |
Sequa Corp. - Exp. 04/28/2024 « | | | | | 118,000 | | | | | | 81 | |
| | | | | | | | | | | | |
| |
| INFORMATION TECHNOLOGY 0.9% | |
| | | | |
Windstream Holdings LLC - Exp. 09/21/2055 « | | | | | 43,518 | | | | | | 1,078 | |
| | | | | | | | | | | | |
Total Warrants (Cost $316) | | | 1,159 | |
| | | | |
| |
| PREFERRED SECURITIES 4.4% | |
| |
| INDUSTRIALS 4.4% | |
|
General Electric Co. | |
3.533% (US0003M + 3.330%) due 03/15/2022 ~(i) | | | | | 53,000 | | | | | | 53 | |
|
Sequa Corp. (15.000% PIK) | |
15.000% «(d) | | | | | 3,520 | | | | | | 4,193 | |
|
Voyager Aviation Holdings LLC | |
9.500% « | | | | | 1,842 | | | | | | 572 | |
| | | | | | | | | | | | |
Total Preferred Securities (Cost $2,841) | | | 4,818 | |
| | | | |
| |
| REAL ESTATE INVESTMENT TRUSTS 3.5% | |
| |
| REAL ESTATE 3.5% | |
| | | | |
Uniti Group, Inc. | | | | | 46,851 | | | | | | 657 | |
| | | | |
VICI Properties, Inc. | | | | | 104,988 | | | | | | 3,161 | |
| | | | | | | | | | | | |
Total Real Estate Investment Trusts (Cost $1,834) | | | 3,818 | |
| | | | |
| |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | | |
| SHORT-TERM INSTRUMENTS 4.0% | |
| |
| U.S. TREASURY BILLS 4.0% | |
0.061% due 03/24/2022 - 04/07/2022 (c)(g)(h)(k)(n) | | $ | | | 4,443 | | | | | | 4,442 | |
| | | | | | | | | | | | |
Total Short-Term Instruments
(Cost $4,442) | | | 4,442 | |
| | | | |
| | | | |
| | | | | | | | | | | | |
Total Investments in Securities
(Cost $187,527) | | | 194,033 | |
| | | | |
| | | | | | | | | | | | |
Total Investments 175.3%
(Cost $187,527) | | | $ | | | 194,033 | |
| |
Financial Derivative Instruments (l)(m) (0.2)% (Cost or Premiums, net $676) | | | | | | | | | | | (194 | ) |
| |
| Other Assets and Liabilities, net (75.1)% | | | (83,146 | ) |
| | | | |
| Net Assets 100.0% | | | $ | | | 110,693 | |
| | | | | | | |
| | | | | | | | | | | | |
| See Accompanying Notes | | | SEMIANNUAL REPORT | | | | | | | DECEMBER 31, 2021 | | | 31 |
| | | | | | | | |
| Schedule of Investments | | PIMCO PCM Fund, Inc. | | (Cont.) | | | | |
NOTES TO SCHEDULE OF INVESTMENTS:
| * | A zero balance may reflect actual amounts rounding to less than one thousand. |
| « | Security valued using significant unobservable inputs (Level 3). |
| µ | All or a portion of this amount represents unfunded loan commitments. The interest rate for the unfunded portion will be determined at the time of funding. |
| ~ | Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description. |
| • | Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description. |
| þ | Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end. |
| (a) | Security is an Interest Only (“IO”) or IO Strip. |
| (b) | Principal only security. |
| (d) | Payment in-kind security. |
| (e) | Security is not accruing income as of the date of this report. |
| (f) | Security did not produce income within the last twelve months. |
| (g) | Coupon represents a weighted average yield to maturity. |
| (i) | Perpetual maturity; date shown, if applicable, represents next contractual call date. |
(j) RESTRICTED SECURITIES:
| | | | | | | | | | | | | | | | | | | | | | | | |
| Issuer Description | | | | | | | | Acquisition
Date | | | Cost | | | Market
Value | | | Market Value
as Percentage
of Net Assets | |
Associated Materials Group, Inc. | | | | | | | | | | | 08/24/2020 | | | $ | 1,868 | | | $ | 2,053 | | | | 1.85 | % |
Axis Energy Services ‘A’ | | | | | | | | | | | 07/01/2021 | | | | 49 | | | | 49 | | | | 0.04 | |
Neiman Marcus Group Ltd. LLC | | | | | | | | | | | 09/25/2020 | | | | 425 | | | | 1,930 | | | | 1.74 | |
Noble Corp. | | | | | | | | | | | 02/05/2021 - 02/08/2021 | | | | 27 | | | | 57 | | | | 0.05 | |
Oracle Corp. 4.100% due 03/25/2061 | | | | | | | | | | | 08/12/2021 | | | | 110 | | | | 104 | | | | 0.09 | |
Westmoreland Mining Holdings LLC | | | | | | | | | | | 12/08/2014 | | | | 269 | | | | 0 | | | | 0.00 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | $ | 2,748 | | | $ | 4,193 | | | | 3.77 | % |
| | | | | | | | | | | | | |
BORROWINGS AND OTHER FINANCING TRANSACTIONS
REVERSE REPURCHASE AGREEMENTS:
| | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Borrowing
Rate(1) | | | Settlement
Date | | | Maturity
Date | | | Amount
Borrowed(1) | | | Payable for
Reverse
Repurchase
Agreements | |
BCY | | | 0.926 | % | | | 12/07/2021 | | | | 06/07/2022 | | | $ | (630 | ) | | $ | (630 | ) |
BNY | | | 0.807 | | | | 08/16/2021 | | | | 02/16/2022 | | | | (6,706 | ) | | | (6,727 | ) |
BOS | | | 0.853 | | | | 09/23/2021 | | | | 03/22/2022 | | | | (3,048 | ) | | | (3,055 | ) |
BPS | | | 0.490 | | | | 08/11/2021 | | | | 02/11/2022 | | | | (417 | ) | | | (418 | ) |
| | | 0.490 | | | | 08/20/2021 | | | | 02/22/2022 | | | | (827 | ) | | | (828 | ) |
| | | 0.500 | | | | 08/03/2021 | | | | 02/03/2022 | | | | (1,404 | ) | | | (1,407 | ) |
| | | 0.500 | | | | 08/10/2021 | | | | 02/10/2022 | | | | (1,175 | ) | | | (1,177 | ) |
| | | 0.520 | | | | 10/14/2021 | | | | 04/18/2022 | | | | (1,119 | ) | | | (1,121 | ) |
| | | 0.530 | | | | 11/22/2021 | | | | 02/24/2022 | | | | (970 | ) | | | (971 | ) |
| | | 0.540 | | | | 11/09/2021 | | | | 02/09/2022 | | | | (444 | ) | | | (444 | ) |
| | | 0.550 | | | | 12/10/2021 | | | | TBD | (2) | | | (1,190 | ) | | | (1,190 | ) |
| | | 0.810 | | | | 10/01/2021 | | | | 04/01/2022 | | | | (3,325 | ) | | | (3,332 | ) |
| | | 0.950 | | | | 12/10/2021 | | | | 06/10/2022 | | | | (753 | ) | | | (754 | ) |
| | | 0.960 | | | | 12/03/2021 | | | | 06/03/2022 | | | | (1,763 | ) | | | (1,765 | ) |
BRC | | | 0.450 | | | | 10/01/2021 | | | | 01/06/2022 | | | | (269 | ) | | | (269 | ) |
| | | 0.500 | | | | 09/03/2021 | | | | 03/03/2022 | | | | (2,064 | ) | | | (2,068 | ) |
| | | 0.500 | | | | 09/08/2021 | | | | 03/08/2022 | | | | (770 | ) | | | (772 | ) |
| | | 0.500 | | | | 09/23/2021 | | | | 03/21/2022 | | | | (509 | ) | | | (510 | ) |
| | | 0.500 | | | | 12/07/2021 | | | | 01/10/2022 | | | | (360 | ) | | | (360 | ) |
| | | 0.550 | | | | 06/18/2021 | | | | 03/10/2022 | | | | (1,118 | ) | | | (1,121 | ) |
| | | 0.598 | | | | 09/08/2021 | | | | 03/08/2022 | | | | (2,999 | ) | | | (3,004 | ) |
| | | 0.763 | | | | 07/08/2021 | | | | 01/10/2022 | | | | (727 | ) | | | (730 | ) |
| | | 0.806 | | | | 10/07/2021 | | | | 04/07/2022 | | | | (4,032 | ) | | | (4,039 | ) |
| | | | | | |
| 32 | | PIMCO CLOSED-END FUNDS | | | See Accompanying Notes | |
| | | | | | | | |
| | | | | | December 31, 2021 | | (Unaudited) |
| | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Borrowing
Rate(1) | | | Settlement
Date | | | Maturity
Date | | | Amount
Borrowed(1) | | | Payable for
Reverse
Repurchase
Agreements | |
CIB | | | 0.570 | % | | | 10/12/2021 | | | | 01/13/2022 | | | $ | (313 | ) | | $ | (314 | ) |
| | | 0.570 | | | | 10/13/2021 | | | | 01/18/2022 | | | | (158 | ) | | | (158 | ) |
| | | 0.570 | | | | 10/14/2021 | | | | 01/13/2022 | | | | (1,786 | ) | | | (1,788 | ) |
CSG | | | 0.400 | | | | 12/13/2021 | | | | 01/13/2022 | | | | (369 | ) | | | (369 | ) |
GSC | | | 0.620 | | | | 10/12/2021 | | | | 01/19/2022 | | | | (424 | ) | | | (425 | ) |
MZF | | | 0.799 | | | | 09/14/2021 | | | | 03/14/2022 | | | | (4,643 | ) | | | (4,654 | ) |
| | | 0.799 | | | | 11/23/2021 | | | | 03/14/2022 | | | | (837 | ) | | | (838 | ) |
RDR | | | 0.270 | | | | 10/21/2021 | | | | 01/20/2022 | | | | (186 | ) | | | (186 | ) |
RTA | | | 0.849 | | | | 08/09/2021 | | | | 02/09/2022 | | | | (2,213 | ) | | | (2,221 | ) |
| | | 0.849 | | | | 08/11/2021 | | | | 02/09/2022 | | | | (1,349 | ) | | | (1,353 | ) |
SOG | | | 0.240 | | | | 11/19/2021 | | | | TBD | (2) | | | (168 | ) | | | (168 | ) |
| | | 0.450 | | | | 11/09/2021 | | | | 02/07/2022 | | | | (131 | ) | | | (131 | ) |
| | | 0.450 | | | | 11/29/2021 | | | | 03/01/2022 | | | | (655 | ) | | | (656 | ) |
| | | 0.500 | | | | 08/20/2021 | | | | 02/22/2022 | | | | (294 | ) | | | (294 | ) |
| | | 0.500 | | | | 09/07/2021 | | | | 03/07/2022 | | | | (447 | ) | | | (448 | ) |
| | | 0.500 | | | | 09/23/2021 | | | | 03/23/2022 | | | | (544 | ) | | | (544 | ) |
| | | 0.500 | | | | 09/30/2021 | | | | 03/07/2022 | | | | (177 | ) | | | (178 | ) |
| | | 0.500 | | | | 10/21/2021 | | | | 04/21/2022 | | | | (1,173 | ) | | | (1,174 | ) |
| | | 0.856 | | | | 08/19/2021 | | | | 02/18/2022 | | | | (747 | ) | | | (750 | ) |
TDM | | | 0.220 | | | | 08/03/2021 | | | | TBD | (2) | | | (1,154 | ) | | | (1,155 | ) |
| | | 0.220 | | | | 08/10/2021 | | | | TBD | (2) | | | (97 | ) | | | (97 | ) |
| | | 0.220 | | | | 09/07/2021 | | | | TBD | (2) | | | (957 | ) | | | (958 | ) |
| | | 0.250 | | | | 04/16/2021 | | | | TBD | (2) | | | (1,300 | ) | | | (1,303 | ) |
| | | 0.250 | | | | 08/18/2021 | | | | TBD | (2) | | | (153 | ) | | | (153 | ) |
| | | 0.260 | | | | 11/09/2021 | | | | TBD | (2) | | | (764 | ) | | | (764 | ) |
| | | 0.300 | | | | 08/18/2021 | | | | TBD | (2) | | | (140 | ) | | | (140 | ) |
| | | 0.350 | | | | 08/18/2021 | | | | TBD | (2) | | | (23 | ) | | | (23 | ) |
UBS | | | 0.250 | | | | 06/25/2021 | | | | TBD | (2) | | | (149 | ) | | | (149 | ) |
| | | 0.350 | | | | 08/13/2021 | | | | TBD | (2) | | | (418 | ) | | | (419 | ) |
| | | 0.350 | | | | 08/24/2021 | | | | TBD | (2) | | | (335 | ) | | | (335 | ) |
| | | 0.350 | | | | 09/03/2021 | | | | TBD | (2) | | | (2,563 | ) | | | (2,566 | ) |
| | | 0.350 | | | | 09/23/2021 | | | | TBD | (2) | | | (749 | ) | | | (749 | ) |
| | | 0.350 | | | | 09/30/2021 | | | | TBD | (2) | | | (1,845 | ) | | | (1,847 | ) |
| | | 0.430 | | | | 10/19/2021 | | | | 01/18/2022 | | | | (517 | ) | | | (518 | ) |
| | | 0.430 | | | | 11/04/2021 | | | | 01/05/2022 | | | | (1,686 | ) | | | (1,687 | ) |
| | | 0.430 | | | | 11/26/2021 | | | | 01/18/2022 | | | | (633 | ) | | | (633 | ) |
| | | 0.450 | | | | 12/27/2021 | | | | TBD | (2) | | | (1,065 | ) | | | (1,065 | ) |
| | | 0.490 | | | | 11/23/2021 | | | | 02/22/2022 | | | | (2,701 | ) | | | (2,702 | ) |
| | | 0.500 | | | | 07/14/2021 | | | | 01/12/2022 | | | | (191 | ) | | | (191 | ) |
| | | 0.500 | | | | 12/03/2021 | | | | 01/28/2022 | | | | (1,838 | ) | | | (1,839 | ) |
| | | 0.510 | | | | 06/14/2021 | | | | 01/10/2022 | | | | (685 | ) | | | (687 | ) |
| | | 0.510 | | | | 09/30/2021 | | | | 01/10/2022 | | | | (260 | ) | | | (261 | ) |
| | | 0.774 | | | | 10/12/2021 | | | | 01/07/2022 | | | | (3,707 | ) | | | (3,714 | ) |
| | | 0.805 | | | | 10/08/2021 | | | | 04/08/2022 | | | | (6,770 | ) | | | (6,783 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Reverse Repurchase Agreements | | | | | | | | | | | $ | (84,079 | ) |
| | | | | | | | | | | | | | | | | | | | |
BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY
The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral pledged/(received) as of December 31, 2021:
| | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Repurchase
Agreement
Proceeds
to be
Received | | | Payable for
Reverse
Repurchase
Agreements | | | Payable for
Sale-Buyback
Transactions | | | Total
Borrowings and
Other Financing
Transactions | | | Collateral
Pledged/(Received) | | | Net Exposure(3) | |
Global/Master Repurchase Agreement | |
BCY | | $ | 0 | | | $ | (630 | ) | | $ | 0 | | | $ | (630 | ) | | $ | 900 | | | $ | 270 | |
BNY | | | 0 | | | | (6,727 | ) | | | 0 | | | | (6,727 | ) | | | 8,502 | | | | 1,775 | |
BOS | | | 0 | | | | (3,055 | ) | | | 0 | | | | (3,055 | ) | | | 4,237 | | | | 1,182 | |
BPS | | | 0 | | | | (13,407 | ) | | | 0 | | | | (13,407 | ) | | | 16,645 | | | | 3,238 | |
BRC | | | 0 | | | | (12,873 | ) | | | 0 | | | | (12,873 | ) | | | 15,577 | | | | 2,704 | |
CIB | | | 0 | | | | (2,260 | ) | | | 0 | | | | (2,260 | ) | | | 2,524 | | | | 264 | |
CSG | | | 0 | | | | (369 | ) | | | 0 | | | | (369 | ) | | | 452 | | | | 83 | |
GSC | | | 0 | | | | (425 | ) | | | 0 | | | | (425 | ) | | | 588 | | | | 163 | |
MZF | | | 0 | | | | (5,492 | ) | | | 0 | | | | (5,492 | ) | | | 6,807 | | | | 1,315 | |
RDR | | | 0 | | | | (186 | ) | | | 0 | | | | (186 | ) | | | 201 | | | | 15 | |
RTA | | | 0 | | | | (3,574 | ) | | | 0 | | | | (3,574 | ) | | | 4,654 | | | | 1,080 | |
SOG | | | 0 | | | | (4,343 | ) | | | 0 | | | | (4,343 | ) | | | 5,072 | | | | 729 | |
TDM | | | 0 | | | | (4,593 | ) | | | 0 | | | | (4,593 | ) | | | 4,771 | | | | 178 | |
UBS | | | 0 | | | | (26,145 | ) | | | 0 | | | | (26,145 | ) | | | 32,360 | | | | 6,215 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Borrowings and Other Financing Transactions | | $ | 0 | | | $ | (84,079 | ) | | $ | 0 | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
| See Accompanying Notes | | | SEMIANNUAL REPORT | | | | | | | DECEMBER 31, 2021 | | | 33 |
| | | | | | | | |
| Schedule of Investments | | PIMCO PCM Fund, Inc. | | (Cont.) | | | | |
CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS
Remaining Contractual Maturity of the Agreements
| | | | | | | | | | | | | | | | | | | | |
| | | Overnight and
Continuous | | | Up to 30 days | | | 31-90 days | | | Greater Than 90 days | | | Total | |
Reverse Repurchase Agreements | |
Corporate Bonds & Notes | | $ | 0 | | | $ | (7,000 | ) | | $ | (14,669 | ) | | $ | (15,376 | ) | | $ | (37,045 | ) |
U.S. Government Agencies | | | 0 | | | | (2,685 | ) | | | 0 | | | | 0 | | | | (2,685 | ) |
Non-Agency Mortgage-Backed Securities | | | 0 | | | | (730 | ) | | | (7,328 | ) | | | (6,434 | ) | | | (14,492 | ) |
Asset-Backed Securities | | | 0 | | | | (3,714 | ) | | | (15,274 | ) | | | (10,869 | ) | | | (29,857 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Borrowings | | $ | 0 | | | $ | (14,129 | ) | | $ | (37,271 | ) | | $ | (32,679 | ) | | $ | (84,079 | ) |
| | | | | | | | | | | | | | | | | | | | |
Payable for reverse repurchase agreements | | | $ | (84,079 | ) |
| | | | | |
| (k) | Securities with an aggregate market value of $103,016 and cash of $280 have been pledged as collateral under the terms of the above master agreements as of December 31, 2021. |
| (1) | The average amount of borrowings outstanding during the period ended December 31, 2021 was $(81,586) at a weighted average interest rate of 0.637%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. |
| (2) | Open maturity reverse repurchase agreement. |
| (3) | Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information. |
(l) FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED
SWAP AGREEMENTS:
INTEREST RATE SWAPS
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Pay/Receive
Floating Rate | | Floating Rate Index | | Fixed Rate | | | Payment
Frequency | | Maturity
Date | | | Notional
Amount | | | Premiums
Paid/(Received) | | | Unrealized
Appreciation/
(Depreciation) | | | Market
Value | | | Variation Margin | |
| | Asset | | | Liability | |
Receive(1) | | 1-Day USD-Federal Funds Rate Compounded-OIS | | | 0.100 | % | | Annual | | | 01/13/2023 | | | $ | 2,500 | | | $ | 0 | | | $ | 9 | | | $ | 9 | | | $ | 0 | | | $ | 0 | |
Pay | | 3-Month USD-LIBOR | | | 2.750 | | | Semi-Annual | | | 12/19/2023 | | | | 15,300 | | | | (131 | ) | | | 691 | | | | 560 | | | | 0 | | | | (1 | ) |
Pay | | 3-Month USD-LIBOR | | | 1.750 | | | Semi-Annual | | | 12/21/2023 | | | | 32,300 | | | | 606 | | | | (67 | ) | | | 539 | | | | 0 | | | | (4 | ) |
Receive | | 3-Month USD-LIBOR | | | 0.250 | | | Semi-Annual | | | 06/16/2024 | | | | 500 | | | | 1 | | | | 9 | | | | 10 | | | | 0 | | | | 0 | |
Pay | | 3-Month USD-LIBOR | | | 1.250 | | | Semi-Annual | | | 12/15/2026 | | | | 200 | | | | (1 | ) | | | 0 | | | | (1 | ) | | | 0 | | | | 0 | |
Pay | | 3-Month USD-LIBOR | | | 1.750 | | | Semi-Annual | | | 12/21/2026 | | | | 3,200 | | | | 77 | | | | (15 | ) | | | 62 | | | | 1 | | | | 0 | |
Receive(1) | | 3-Month USD-LIBOR | | | 1.350 | | | Semi-Annual | | | 01/20/2027 | | | | 1,200 | | | | 0 | | | | 2 | | | | 2 | | | | 0 | | | | (1 | ) |
Receive(1) | | 3-Month USD-LIBOR | | | 1.360 | | | Semi-Annual | | | 02/15/2027 | | | | 850 | | | | 0 | | | | 2 | | | | 2 | | | | 0 | | | | 0 | |
Receive(1) | | 3-Month USD-LIBOR | | | 1.450 | | | Semi-Annual | | | 02/17/2027 | | | | 1,400 | | | | 0 | | | | (3 | ) | | | (3 | ) | | | 0 | | | | (1 | ) |
Pay | | 3-Month USD-LIBOR | | | 0.500 | | | Semi-Annual | | | 06/16/2028 | | | | 140 | | | | (7 | ) | | | (1 | ) | | | (8 | ) | | | 0 | | | | 0 | |
Receive | | 3-Month USD-LIBOR | | | 1.500 | | | Semi-Annual | | | 12/15/2028 | | | | 400 | | | | 2 | | | | (3 | ) | | | (1 | ) | | | 0 | | | | 0 | |
Receive(1) | | 3-Month USD-LIBOR | | | 1.500 | | | Semi-Annual | | | 01/12/2029 | | | | 908 | | | | 0 | | | | (1 | ) | | | (1 | ) | | | 0 | | | | (1 | ) |
Pay | | 3-Month USD-LIBOR | | | 3.000 | | | Semi-Annual | | | 06/19/2029 | | | | 7,800 | | | | 630 | | | | 217 | | | | 847 | | | | 5 | | | | 0 | |
Pay | | 3-Month USD-LIBOR | | | 1.250 | | | Semi-Annual | | | 06/17/2030 | | | | 4,150 | | | | 186 | | | | (279 | ) | | | (93 | ) | | | 2 | | | | 0 | |
Receive | | 3-Month USD-LIBOR | | | 1.000 | | | Semi-Annual | | | 12/16/2030 | | | | 627 | | | | (15 | ) | | | 44 | | | | 29 | | | | 0 | | | | 0 | |
Receive | | 3-Month USD-LIBOR | | | 1.370 | | | Semi-Annual | | | 07/19/2031 | | | | 100 | | | | 0 | | | | 1 | | | | 1 | | | | 0 | | | | 0 | |
Receive | | 3-Month USD-LIBOR | | | 1.360 | | | Semi-Annual | | | 07/20/2031 | | | | 100 | | | | 0 | | | | 1 | | | | 1 | | | | 0 | | | | 0 | |
Receive | | 3-Month USD-LIBOR | | | 3.000 | | | Semi-Annual | | | 12/19/2038 | | | | 5,200 | | | | 17 | | | | (1,019 | ) | | | (1,002 | ) | | | 0 | | | | (12 | ) |
Receive | | 3-Month USD-LIBOR | | | 2.000 | | | Semi-Annual | | | 01/15/2050 | | | | 100 | | | | (1 | ) | | | (6 | ) | | | (7 | ) | | | 0 | | | | 0 | |
Receive | | 3-Month USD-LIBOR | | | 1.625 | | | Semi-Annual | | | 01/16/2050 | | | | 400 | | | | 0 | | | | 8 | | | | 8 | | | | 0 | | | | (2 | ) |
Receive | | 3-Month USD-LIBOR | | | 1.750 | | | Semi-Annual | | | 01/22/2050 | | | | 700 | | | | (4 | ) | | | (3 | ) | | | (7 | ) | | | 0 | | | | (3 | ) |
Receive | | 3-Month USD-LIBOR | | | 1.625 | | | Semi-Annual | | | 02/03/2050 | | | | 400 | | | | (2 | ) | | | 10 | | | | 8 | | | | 0 | | | | (2 | ) |
Receive | | 3-Month USD-LIBOR | | | 1.450 | | | Semi-Annual | | | 04/07/2051 | | | | 1,300 | | | | 0 | | | | 82 | | | | 82 | | | | 0 | | | | (6 | ) |
Pay | | 3-Month USD-LIBOR | | | 1.650 | | | Semi-Annual | | | 04/08/2051 | | | | 5,500 | | | | 0 | | | | (82 | ) | | | (82 | ) | | | 26 | | | | 0 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Swap Agreements | | | | | | | $ | 1,358 | | | $ | (403 | ) | | $ | 955 | | | $ | 34 | | | $ | (33 | ) |
| | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| 34 | | PIMCO CLOSED-END FUNDS | | | See Accompanying Notes | |
| | | | | | | | |
| | | | | | December 31, 2021 | | (Unaudited) |
FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED SUMMARY
The following is a summary of the market value and variation margin of Exchange-Traded or Centrally Cleared Financial Derivative Instruments as of December 31, 2021:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Financial Derivative Assets | | | | | | Financial Derivative Liabilities | |
| | | Market Value | | | Variation Margin
Asset | | | 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 | | | $ | 34 | | | $ | 34 | | | | | | | $ | 0 | | | $ | 0 | | | $ (33) | | $ | (33) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Cash of $1,494 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2021. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information.
| (1) | This instrument has a forward starting effective date. See Note 2, Securities Transactions and Investment Income, in the Notes to Financial Statements for further information. |
(m) FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER
SWAP AGREEMENTS:
CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION(1)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Index/Tranches | | Fixed
Receive Rate | | | Payment
Frequency | | Maturity
Date | | | Notional
Amount(2) | | | Premiums
Paid/(Received) | | | Unrealized
Appreciation/
(Depreciation) | | | Swap Agreements,
at Value(3) | |
| | Asset | | | Liability | |
| GST | | ABX.HE.AA.6-1 Index | | | 0.320 | % | | Monthly | | | 07/25/2045 | | | $ | | | | | 2,439 | | | $ | (485 | ) | | $ | 319 | | | $ | 0 | | | $ | (166 | ) |
| | ABX.HE.PENAAA.7-1 Index | | | 0.090 | | | Monthly | | | 08/25/2037 | | | | | | | | 688 | | | | (193 | ) | | | 115 | | | | 0 | | | | (78 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | $ | (678 | ) | | $ | 434 | | | $ | 0 | | | $ | (244 | ) |
| | | | | | | | | | | | | | | | | |
INTEREST RATE SWAPS
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Pay/Receive
Floating Rate | | Floating Rate Index | | Fixed Rate | | | Payment
Frequency | | | Maturity
Date | | Notional
Amount | | | Premiums
Paid/(Received) | | | Unrealized
Appreciation/
(Depreciation) | | | Swap Agreements,
at Value | |
| | Asset | | | Liability | |
| BOA | | Pay | | 3-Month USD-LIBOR | | | 1.550 | % | | | Semi-Annual | | | 01/20/2027 | | $ | | | | | 5,500 | | | $ | 0 | | | $ | 15 | | | $ | 15 | | | $ | 0 | |
| | | | | | | | | | | |
| GLM | | Pay | | 3-Month USD-LIBOR | | | 1.700 | | | | Semi-Annual | | | 02/17/2027 | | | | | | | 5,500 | | | | (1 | ) | | | 16 | | | | 15 | | | | 0 | |
| | Pay | | 3-Month USD-LIBOR | | | 1.700 | | | | Semi-Annual | | | 01/12/2029 | | | | | | | 3,300 | | | | (2 | ) | | | 15 | | | | 13 | | | | 0 | |
| | | | | | | | | | | |
| MYC | | Pay | | 3-Month USD-LIBOR | | | 1.600 | | | | Semi-Annual | | | 02/15/2027 | | | | | | | 3,400 | | | | (1 | ) | | | 7 | | | | 6 | | | | 0 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | $ | (4 | ) | | $ | 53 | | | $ | 49 | | | $ | 0 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Swap Agreements | | | $ | (682 | ) | | $ | 487 | | | $ | 49 | | | $ | (244 | ) |
| | | | | | | | | | | | | | | | | |
FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER SUMMARY
The following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral pledged/(received) as of December 31, 2021:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Financial Derivative Assets | | | | | | Financial Derivative Liabilities | | | | | | | | | | |
| Counterparty | | Forward
Foreign
Currency
Contracts | | | Purchased
Options | | | Swap
Agreements | | | Total
Over the
Counter | | | | | | Forward
Foreign
Currency
Contracts | | | Written
Options | | | Swap
Agreements | | | Total
Over the
Counter | | | Net Market
Value of OTC
Derivatives | | | Collateral
Pledged/(Received) | | | Net
Exposure(4) | |
BOA | | $ | 0 | | | $ | 0 | | | $ | 15 | | | $ | 15 | | | | | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 15 | | | $ | 0 | | | $ | 15 | |
GLM | | | 0 | | | | 0 | | | | 28 | | | | 28 | | | | | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 28 | | | | 0 | | | | 28 | |
GST | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | | | | | 0 | | | | 0 | | | | (244 | ) | | | (244 | ) | | | (244 | ) | | | 243 | | | | (1 | ) |
MYC | | | 0 | | | | 0 | | | | 6 | | | | 6 | | | | | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 6 | | | | 0 | | | | 6 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Over the Counter | | $ | 0 | | | $ | 0 | | | $ | 49 | | | $ | 49 | | | | | | | $ | 0 | | | $ | 0 | | | $ | (244 | ) | | $ | (244 | ) | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (n) | Securities with an aggregate market value of $243 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2021. |
| (1) | If the Fund is a 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. |
| | | | | | | | | | | | |
| See Accompanying Notes | | | SEMIANNUAL REPORT | | | | | | | DECEMBER 31, 2021 | | | 35 |
| | | | | | | | |
| Schedule of Investments | | PIMCO PCM Fund, Inc. | | (Cont.) | | | | |
| (3) | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| (4) | Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information. |
FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS
The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal and Other Risks, in the Notes to Financial Statements on risks of the Fund.
Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of December 31, 2021:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Derivatives not accounted for as hedging instruments | |
| | | Commodity
Contracts | | | Credit
Contracts | | | Equity
Contracts | | | Foreign
Exchange
Contracts | | | Interest
Rate Contracts | | | Total | |
Financial Derivative Instruments - Assets | |
Exchange-traded or centrally cleared | |
Swap Agreements | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 34 | | | $ | 34 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Over the counter | |
Swap Agreements | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 49 | | | $ | 49 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 83 | | | $ | 83 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
Financial Derivative Instruments - Liabilities | |
Exchange-traded or centrally cleared | |
Swap Agreements | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 33 | | | $ | 33 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Over the counter | |
Swap Agreements | | $ | 0 | | | $ | 244 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 244 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 244 | | | $ | 0 | | | $ | 0 | | | $ | 33 | | | $ | 277 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
The effect of Financial Derivative Instruments on the Statements of Operations for the period ended December 31, 2021:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Derivatives not accounted for as hedging instruments | |
| | | Commodity
Contracts | | | Credit
Contracts | | | Equity
Contracts | | | Foreign
Exchange
Contracts | | | Interest
Rate Contracts | | | Total | |
Net Realized Gain (Loss) on Financial Derivative Instruments | |
Exchange-traded or centrally cleared | |
Swap Agreements | | $ | 0 | | | $ | (1 | ) | | $ | 0 | | | $ | 0 | | | $ | 495 | | | $ | 494 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Over the counter | |
Swap Agreements | | $ | 0 | | | $ | 130 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 130 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 129 | | | $ | 0 | | | $ | 0 | | | $ | 495 | | | $ | 624 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative Instruments | |
Exchange-traded or centrally cleared | |
Swap Agreements | | $ | 0 | | | $ | 2 | | | $ | 0 | | | $ | 0 | | | $ | (1,042 | ) | | $ | (1,040 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Over the counter | |
Swap Agreements | | $ | 0 | | | $ | (7 | ) | | $ | 0 | | | $ | 0 | | | $ | 53 | | | $ | 46 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | (5 | ) | | $ | 0 | | | $ | 0 | | | $ | (989 | ) | | $ | (994 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| 36 | | PIMCO CLOSED-END FUNDS | | | See Accompanying Notes | |
| | | | | | | | |
| | | | | | December 31, 2021 | | (Unaudited) |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2021 in valuing the Fund’s assets and liabilities:
| | | | | | | | | | | | | | | | |
| Category and Subcategory | | Level 1 | | | Level 2 | | | Level 3 | | | Fair
Value at
12/31/2021 | |
Investments in Securities, at Value | |
Loan Participations and Assignments | | $ | 0 | | | $ | 29,459 | | | $ | 8,505 | | | $ | 37,964 | |
Corporate Bonds & Notes | |
Banking & Finance | | | 0 | | | | 9,154 | | | | 0 | | | | 9,154 | |
Industrials | | | 0 | | | | 29,872 | | | | 0 | | | | 29,872 | |
Utilities | | | 0 | | | | 3,954 | | | | 0 | | | | 3,954 | |
Convertible Bonds & Notes | |
Banking & Finance | | | 0 | | | | 113 | | | | 0 | | | | 113 | |
Industrials | | | 0 | | | | 555 | | | | 0 | | | | 555 | |
Municipal Bonds & Notes | |
Puerto Rico | | | 0 | | | | 1,424 | | | | 0 | | | | 1,424 | |
U.S. Government Agencies | | | 0 | | | | 3,832 | | | | 479 | | | | 4,311 | |
Non-Agency Mortgage-Backed Securities | | | 0 | | | | 36,997 | | | | 0 | | | | 36,997 | |
Asset-Backed Securities | | | 0 | | | | 47,909 | | | | 1,908 | | | | 49,817 | |
Common Stocks | |
Communication Services | | | 899 | | | | 0 | | | | 379 | | | | 1,278 | |
Energy | | | 57 | | | | 0 | | | | 49 | | | | 106 | |
Industrials | | | 3 | | | | 7 | | | | 1,930 | | | | 1,940 | |
Materials | | | 0 | | | | 0 | | | | 2,053 | | | | 2,053 | |
Utilities | | | 0 | | | | 0 | | | | 258 | | | | 258 | |
Warrants | |
Industrials | | | 0 | | | | 0 | | | | 81 | | | | 81 | |
Information Technology | | | 0 | | | | 0 | | | | 1,078 | | | | 1,078 | |
Preferred Securities | |
Industrials | | | 0 | | | | 53 | | | | 4,765 | | | | 4,818 | |
| | | | | | | | | | | | | | | | |
| Category and Subcategory | | Level 1 | | | Level 2 | | | Level 3 | | | Fair
Value at
12/31/2021 | |
Real Estate Investment Trusts | |
Real Estate | | $ | 3,818 | | | $ | 0 | | | $ | 0 | | | $ | 3,818 | |
Short-Term Instruments | |
U.S. Treasury Bills | | | 0 | | | | 4,442 | | | | 0 | | | | 4,442 | |
| | | | | | | | | | | | | | | | |
| | | | |
Total Investments | | $ | 4,777 | | | $ | 167,771 | | | $ | 21,485 | | | $ | 194,033 | |
| | | | | | | | | | | | | | | | |
|
Financial Derivative Instruments - Assets | |
Exchange-traded or centrally cleared | | | 0 | | | | 34 | | | | 0 | | | | 34 | |
Over the counter | | | 0 | | | | 49 | | | | 0 | | | | 49 | |
| | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 83 | | | $ | 0 | | | $ | 83 | |
| | | | | | | | | | | | | | | | |
|
Financial Derivative Instruments - Liabilities | |
Exchange-traded or centrally cleared | | | 0 | | | | (33 | ) | | | 0 | | | | (33 | ) |
Over the counter | | | 0 | | | | (244 | ) | | | 0 | | | | (244 | ) |
| | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | (277 | ) | | $ | 0 | | | $ | (277 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
Total Financial Derivative Instruments | | $ | 0 | | | $ | (194 | ) | | $ | 0 | | | $ | (194 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
Totals | | $ | 4,777 | | | $ | 167,577 | | | $ | 21,485 | | | $ | 193,839 | |
| | | | | | | | | | | | | | | | |
The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended December 31, 2021:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Category and Subcategory | | Beginning
Balance
at 06/30/2021 | | | Net
Purchases | | | Net
Sales/
Settlements | | | Accrued
Discounts/
(Premiums) | | | Realized
Gain/(Loss) | | | Net Change in
Unrealized
Appreciation/
(Depreciation)(1) | | | Transfers into
Level 3 | | | Transfers out
of Level 3 | | | Ending
Balance
at 12/31/2021 | | | Net Change in
Unrealized
Appreciation/
(Depreciation)
on Investments
Held at
12/31/2021(1) | |
Investments in Securities, at Value | |
Loan Participations and Assignments | | $ | 4,406 | | | $ | 4,679 | | | $ | (394 | ) | | $ | (19 | ) | | $ | (581 | ) | | $ | 658 | | | $ | 0 | | | $ | (244 | ) | | $ | 8,505 | | | $ | (19 | ) |
U.S. Government Agencies | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 479 | | | | 0 | | | | 479 | | | | 0 | |
Asset-Backed Securities | | | 2,930 | | | | 0 | | | | 0 | | | | 19 | | | | 0 | | | | (906 | ) | | | 0 | | | | (135 | ) | | | 1,908 | | | | (879 | ) |
Common Stocks | |
Communication Services | | | 485 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | (106 | ) | | | 0 | | | | 0 | | | | 379 | | | | (106 | ) |
Energy | | | 0 | | | | 49 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 49 | | | | 0 | |
Industrials | | | 1,458 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 472 | | | | 0 | | | | 0 | | | | 1,930 | | | | 472 | |
Materials(2) | | | 2,083 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | (30 | ) | | | 0 | | | | 0 | | | | 2,053 | | | | (30 | ) |
Utilities | | | 411 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | (153 | ) | | | 0 | | | | 0 | | | | 258 | | | | (153 | ) |
Warrants | |
Industrials | | | 80 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 1 | | | | 0 | | | | 0 | | | | 81 | | | | 2 | |
Information Technology | | | 971 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 107 | | | | 0 | | | | 0 | | | | 1,078 | | | | 107 | |
Preferred Securities | |
Industrials | | | 4,082 | | | | 0 | | | | (102 | ) | | | 0 | | | | 0 | | | | 785 | | | | 0 | | | | 0 | | | | 4,765 | | | | 785 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Totals | | $ | 16,906 | | | $ | 4,728 | | | $ | (496 | ) | | $ | 0 | | | $ | (581 | ) | | $ | 828 | | | $ | 479 | | | $ | (379 | ) | | $ | 21,485 | | | $ | 179 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:
| | | | | | | | | | | | | | | | | | | | |
| Category and Subcategory | | Ending
Balance
at 12/31/2021 | | | Valuation
Technique | | Unobservable
Inputs | | | | | (% Unless Noted Otherwise) | |
| | Input Value(s)
| | | Weighted
Average | |
Investments in Securities, at Value | |
Loan Participations and Assignments | | $ | 4,830 | | | Proxy Pricing | | Base Price | | | | | | | 99.610-100.500 | | | | 99.930 | |
| | | 1,102 | | | Third Party Vendor | | Broker Quote | | | | | | | 59.500-100.000 | | | | 99.407 | |
| | | 2,573 | | | Waterfall Recoverability | | Recovery Value | | | | | | | 100.000 | | | | — | |
| | | | | | | | | | | | |
| See Accompanying Notes | | | SEMIANNUAL REPORT | | | | | | | DECEMBER 31, 2021 | | | 37 |
| | | | | | | | |
| Schedule of Investments | | PIMCO PCM Fund, Inc. | | (Cont.) | | December 31, 2021 | | (Unaudited) |
| | | | | | | | | | | | | | | | | | | | |
| Category and Subcategory | | Ending
Balance
at 12/31/2021 | | | Valuation
Technique | | Unobservable
Inputs | | | | | (% Unless Noted Otherwise) | |
| | Input Value(s)
| | | Weighted
Average | |
U.S. Government Agencies | | $ | 479 | | | Other Valuation Techniques(3) | | — | | | | | | | — | | | | — | |
Asset-Backed Securities | | | 1,908 | | | Proxy Pricing | | Base Price | | | | | | | 0.000-12,568.480 | | | | 10,507.042 | |
Common Stocks | |
Communication Services | | | 379 | | | Other Valuation Techniques(3) | | — | | | | | | | — | | | | — | |
Energy | | | 49 | | | Other Valuation Techniques(3) | | — | | | | | | | — | | | | — | |
Industrials | | | 1,930 | | | Discounted Cash Flow | | Discount Rate | | | | | | | 10.750 | | | | — | |
Materials | | | 2,053 | | | Comparable Companies | | EBITDA Multiple | | | X | | | | 9.900 | | | | — | |
Utilities | | | 258 | | | Indicative Market Quotation | | Broker Quote | | | $ | | | | 26.000 | | | | — | |
Warrants | |
Industrials | | | 81 | | | Other Valuation Techniques(3) | | — | | | | | | | — | | | | — | |
Information Technology | | | 1,078 | | | Comparable Companies | | EBITDA Multiple | | | X | | | | 4.375 | | | | — | |
Preferred Securities | |
Industrials | | | 4,193 | | | Comparable Companies | | EBITDA Multiple | | | X/X | | | | 11.700/9.100 | | | | — | |
| | | 572 | | | Discounted Cash Flow/
Comparable Companies | | Discount Rate/BV Multiple | | | %/X | | | | 19.850/0.290 | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total | | $ | 21,485 | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| (1) | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at December 31, 2021 may be due to an investment no longer held or categorized as Level 3 at period end. |
| (2) | Sector type updated from Financials to Materials since prior fiscal year end. |
| (3) | Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not considered significant to the Fund. |
| | | | | | |
| 38 | | PIMCO CLOSED-END FUNDS | | | See Accompanying Notes | |
| | | | | | | | |
| Schedule of Investments | | PIMCO Global StocksPLUS® & Income Fund | | | | December 31, 2021 | | (Unaudited) |
(Amounts in thousands*, except number of shares, contracts, units and ounces, if any)
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
| INVESTMENTS IN SECURITIES 184.6% | |
| |
| LOAN PARTICIPATIONS AND ASSIGNMENTS 25.7% | |
|
AAdvantage Loyalty IP Ltd. | |
5.500% (LIBOR03M + 4.750%) due 04/20/2028 ~ | | $ | | | 300 | | | $ | | | 312 | |
|
Altar BidCo, Inc. | |
4.250% due 11/17/2028 | | | | | 1,188 | | | | | | 1,185 | |
|
AP Core Holdings II, LLC | |
6.250% (LIBOR03M + 5.500%) due 09/01/2027 ~ | | | | | 1,147 | | | | | | 1,148 | |
|
Caesars Resort Collection LLC | |
2.854% (LIBOR03M + 2.750%) due 12/23/2024 ~ | | | | | 2,462 | | | | | | 2,452 | |
3.604% (LIBOR03M + 3.500%) due 07/21/2025 ~ | | | | | 1,596 | | | | | | 1,599 | |
|
Carnival Corp. | |
3.750% (LIBOR03M + 3.000%) due 06/30/2025 ~ | | | | | 400 | | | | | | 396 | |
4.000% (LIBOR03M + 3.250%) due 10/18/2028 ~ | | | | | 186 | | | | | | 184 | |
|
Clear Channel Outdoor Holdings, Inc. | |
3.629% (LIBOR03M + 3.500%) due 08/21/2026 ~ | | | | | 1,103 | | | | | | 1,089 | |
|
Coty, Inc. | |
2.500% (EUR003M + 2.500%) due 04/07/2025 ~ | | EUR | | | 923 | | | | | | 1,030 | |
|
Emerald TopCo, Inc. | |
3.629% (LIBOR03M + 3.500%) due 07/24/2026 ~ | | $ | | | 5 | | | | | | 5 | |
|
Envision Healthcare Corp. | |
3.854% (LIBOR03M + 3.750%) due 10/10/2025 ~ | | | | | 3,384 | | | | | | 2,733 | |
|
Forbes Energy Services LLC (7.000% PIK) | |
7.000% due 06/30/2022 «(d) | | | | | 97 | | | | | | 0 | |
|
Gateway Casinos & Entertainment Ltd. | |
TBD% (LIBOR03M + 8.000%) due 10/15/2027 ~ | | | | | 1,124 | | | | | | 1,124 | |
8.750% due 10/22/2027 « | | CAD | | | 245 | | | | | | 194 | |
|
HUB International Ltd. | |
4.000% (LIBOR03M + 3.250%) due 04/25/2025 ~ | | $ | | | 1,300 | | | | | | 1,301 | |
|
II-VI, Inc. | |
TBD% (LIBOR03M + 2.750%) due 12/01/2028 ~ | | | | | 150 | | | | | | 150 | |
|
Intelsat Jackson Holdings S.A. | |
4.250% due 12/01/2028 « | | | | | 226 | | | | | | 226 | |
5.392% - 5.750% (LIBOR03M + 4.750%) due 10/13/2022 ~µ | | | | | 238 | | | | | | 239 | |
|
Lealand Finance Company B.V. | |
3.104% (LIBOR03M + 3.000%) due 06/28/2024 «~ | | | | | 7 | | | | | | 4 | |
|
Lealand Finance Company B.V. (1.104% Cash and 3.000% PIK) | |
4.104% (LIBOR03M + 1.000%) due 06/30/2025 ~(d) | | | | | 63 | | | | | | 28 | |
|
Ortho-Clinical Diagnostics S.A. | |
3.081% (LIBOR03M + 3.000%) due 06/30/2025 ~ | | | | | 62 | | | | | | 63 | |
|
PUG LLC | |
3.604% (LIBOR03M + 3.500%) due 02/12/2027 ~ | | | | | 6 | | | | | | 6 | |
|
Redstone Buyer LLC | |
5.500% (LIBOR03M + 4.750%) due 04/27/2028 ~ | | | | | 1,500 | | | | | | 1,439 | |
|
Scientific Games International, Inc. | |
2.854% (LIBOR03M + 2.750%) due 08/14/2024 ~ | | | | | 1,265 | | | | | | 1,262 | |
|
SkyMiles IP Ltd. | |
4.750% (LIBOR03M + 3.750%) due 10/20/2027 ~ | | | | | 400 | | | | | | 424 | |
|
Softbank Vision Fund | |
5.000% due 12/21/2025 « | | | | | 900 | | | | | | 900 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
|
Steenbok Lux Finco 2 SARL (10.750% PIK) | |
10.750% (EUR003M) due 12/29/2022 ~(d) | | EUR | | | 2,194 | | | $ | | | 2,277 | |
|
Syniverse Holdings, Inc. | |
4.500% due 10/15/2028 « | | $ | | | 2,802 | | | | | | 2,789 | |
6.000% (LIBOR03M + 5.000%) due 03/09/2023 ~ | | | | | 2,554 | | | | | | 2,539 | |
10.000% (LIBOR03M + 9.000%) due 03/11/2024 ~ | | | | | 135 | | | | | | 134 | |
|
Team Health Holdings, Inc. | |
3.750% (LIBOR03M + 2.750%) due 02/06/2024 ~ | | | | | 1,094 | | | | | | 1,051 | |
|
TransDigm, Inc. | |
2.354% (LIBOR03M + 2.250%) due 08/22/2024 ~ | | | | | 397 | | | | | | 393 | |
2.354% (LIBOR03M + 2.250%) due 05/30/2025 ~ | | | | | 397 | | | | | | 392 | |
2.354% (LIBOR03M + 2.250%) due 12/09/2025 ~ | | | | | 397 | | | | | | 392 | |
|
United Airlines, Inc. | |
4.500% (LIBOR03M + 3.750%) due 04/21/2028 ~ | | | | | 300 | | | | | | 302 | |
|
Westmoreland Mining Holdings LLC (15.000% PIK) | |
15.000% due 03/15/2029 (d) | | | | | 1,165 | | | | | | 350 | |
|
Windstream Services LLC | |
7.250% (LIBOR03M + 6.250%) due 09/21/2027 ~ | | | | | 236 | | | | | | 238 | |
| | | | | | | | | | | | |
Total Loan Participations and Assignments (Cost $31,493) | | | 30,350 | |
| | | | |
| |
| CORPORATE BONDS & NOTES 58.5% | |
| |
| BANKING & FINANCE 12.2% | |
|
Ambac Assurance Corp. | |
5.100% due 12/31/2099 (j) | | | | | 13 | | | | | | 17 | |
|
Banca Monte dei Paschi di Siena SpA | |
1.875% due 01/09/2026 (m) | | EUR | | | 300 | | | | | | 333 | |
2.625% due 04/28/2025 (m) | | | | | 739 | | | | | | 844 | |
3.625% due 09/24/2024 (m) | | | | | 600 | | | | | | 697 | |
8.000% due 01/22/2030 •(m) | | | | | 721 | | | | | | 686 | |
8.500% due 09/10/2030 •(m) | | | | | 200 | | | | | | 196 | |
10.500% due 07/23/2029 (m) | | | | | 303 | | | | | | 329 | |
|
Banco de Credito del Peru | |
4.650% due 09/17/2024 | | PEN | | | 100 | | | | | | 25 | |
|
Corestate Capital Holding S.A. | |
3.500% due 04/15/2023 (m) | | EUR | | | 600 | | | | | | 602 | |
|
Credit Agricole S.A. | |
7.875% due 01/23/2024 •(j)(k)(m) | | $ | | | 200 | | | | | | 220 | |
|
Credit Suisse Group AG | |
5.250% due 02/11/2027 •(j)(k)(m) | | | | | 600 | | | | | | 621 | |
6.250% due 12/18/2024 •(j)(k)(m) | | | | | 200 | | | | | | 214 | |
6.375% due 08/21/2026 •(j)(k)(m) | | | | | 400 | | | | | | 432 | |
7.250% due 09/12/2025 •(j)(k)(m) | | | | | 200 | | | | | | 220 | |
|
Ford Motor Credit Co. LLC | |
2.330% due 11/25/2025 (m) | | EUR | | | 100 | | | | | | 119 | |
2.386% due 02/17/2026 (m) | | | | | 100 | | | | | | 119 | |
|
Fortress Transportation & Infrastructure Investors LLC | |
6.500% due 10/01/2025 (m) | | $ | | | 73 | | | | | | 76 | |
|
Genworth Holdings, Inc. | |
4.800% due 02/15/2024 (m) | | | | | 900 | | | | | | 937 | |
|
Host Hotels & Resorts LP | |
3.375% due 12/15/2029 (m) | | | | | 100 | | | | | | 102 | |
|
HSBC Holdings PLC | |
6.000% due 09/29/2023 •(j)(k) | | EUR | | | 200 | | | | | | 247 | |
|
Huarong Finance Co. Ltd. | |
3.875% due 11/13/2029 | | $ | | | 200 | | | | | | 195 | |
|
MGM Growth Properties Operating Partnership LP | |
4.500% due 09/01/2026 (m) | | | | | 300 | | | | | | 323 | |
5.750% due 02/01/2027 (m) | | | | | 200 | | | | | | 226 | |
|
Newmark Group, Inc. | |
6.125% due 11/15/2023 | | | | | 18 | | | | | | 19 | |
|
Pinnacol Assurance | |
8.625% due 06/25/2034 «(l) | | | | | 1,100 | | | | | | 1,454 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
|
Societe Generale S.A. | |
7.375% due 10/04/2023 •(j)(k)(m) | | $ | | | 200 | | | $ | | | 215 | |
|
Uniti Group LP | |
6.000% due 01/15/2030 (m) | | | | | 1,127 | | | | | | 1,086 | |
7.875% due 02/15/2025 (m) | | | | | 1,320 | | | | | | 1,379 | |
|
Voyager Aviation Holdings LLC | |
8.500% due 05/09/2026 | | | | | 2,706 | | | | | | 2,534 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 14,467 | |
| | | | | | | | | | | | |
| |
| INDUSTRIALS 40.9% | |
|
Air Canada | |
3.875% due 08/15/2026 (m) | | | | | 900 | | | | | | 919 | |
|
Altice Financing S.A. | |
5.750% due 08/15/2029 (m) | | | | | 1,100 | | | | | | 1,091 | |
|
American Airlines, Inc. | |
5.500% due 04/20/2026 (m) | | | | | 1,800 | | | | | | 1,875 | |
5.750% due 04/20/2029 (m) | | | | | 700 | | | | | | 750 | |
|
Associated Materials LLC | |
9.000% due 09/01/2025 (m) | | | | | 262 | | | | | | 281 | |
|
BCP Modular Services Finance PLC | |
6.125% due 11/30/2028 (m) | | GBP | | | 840 | | | | | | 1,136 | |
|
Boeing Co. | |
5.705% due 05/01/2040 (m) | | $ | | | 181 | | | | | | 233 | |
5.805% due 05/01/2050 (m) | | | | | 173 | | | | | | 235 | |
5.930% due 05/01/2060 (m) | | | | | 239 | | | | | | 333 | |
|
Bombardier, Inc. | |
7.500% due 12/01/2024 (m) | | | | | 576 | | | | | | 601 | |
7.500% due 03/15/2025 (m) | | | | | 1,071 | | | | | | 1,092 | |
7.875% due 04/15/2027 (m) | | | | | 450 | | | | | | 467 | |
|
Broadcom, Inc. | |
3.187% due 11/15/2036 | | | | | 2 | | | | | | 2 | |
4.150% due 11/15/2030 (m) | | | | | 47 | | | | | | 52 | |
|
Caesars Entertainment, Inc. | |
6.250% due 07/01/2025 (m) | | | | | 300 | | | | | | 315 | |
|
CGG S.A. | |
7.750% due 04/01/2027 | | EUR | | | 132 | | | | | | 150 | |
8.750% due 04/01/2027 (m) | | $ | | | 1,887 | | | | | | 1,866 | |
|
Charter Communications Operating LLC | |
3.850% due 04/01/2061 (m) | | | | | 100 | | | | | | 95 | |
3.950% due 06/30/2062 (m) | | | | | 200 | | | | | | 193 | |
4.800% due 03/01/2050 | | | | | 36 | | | | | | 40 | |
|
Community Health Systems, Inc. | |
6.625% due 02/15/2025 (m) | | | | | 800 | | | | | | 829 | |
8.000% due 03/15/2026 (m) | | | | | 481 | | | | | | 506 | |
|
Delta Air Lines, Inc. | |
7.375% due 01/15/2026 (m) | | | | | 508 | | | | | | 599 | |
|
DISH DBS Corp. | |
5.250% due 12/01/2026 (m) | | | | | 600 | | | | | | 611 | |
|
Dufry One BV | |
2.000% due 02/15/2027 (m) | | EUR | | | 1,049 | | | | | | 1,111 | |
|
Envision Healthcare Corp. | |
8.750% due 10/15/2026 (m) | | $ | | | 382 | | | | | | 220 | |
|
Exela Intermediate LLC | |
11.500% due 07/15/2026 | | | | | 17 | | | | | | 12 | |
|
Fresh Market, Inc. | |
9.750% due 05/01/2023 (m) | | | | | 1,200 | | | | | | 1,236 | |
|
Frontier Communications Holdings LLC | |
6.000% due 01/15/2030 (m) | | | | | 283 | | | | | | 285 | |
|
Guara Norte SARL | |
5.198% due 06/15/2034 (m) | | | | | 377 | | | | | | 371 | |
|
HCA, Inc. | |
7.500% due 11/15/2095 (m) | | | | | 300 | | | | | | 439 | |
|
II-VI, Inc. | |
5.000% due 12/15/2029 | | | | | 36 | | | | | | 37 | |
|
Intelsat Connect Finance S.A. | |
9.500% due 02/15/2023 ^(e) | | | | | 35 | | | | | | 5 | |
|
Intelsat Jackson Holdings S.A. | |
1.000% due 12/01/2029 «(c) | | | | | 2,525 | | | | | | 2,522 | |
5.500% due 08/01/2023 ^(e) | | | | | 1,079 | | | | | | 490 | |
8.500% due 10/15/2024 ^(e) | | | | | 1,487 | | | | | | 683 | |
9.750% due 07/15/2025 ^(e) | | | | | 1,026 | | | | | | 472 | |
| | | | | | | | | | | | |
| See Accompanying Notes | | | SEMIANNUAL REPORT | | | | | | | DECEMBER 31, 2021 | | | 39 |
| | | | | | | | |
| Schedule of Investments | | PIMCO Global StocksPLUS® & Income Fund | | (Cont.) | | | | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
|
Intelsat Luxembourg S.A. | |
8.125% due 06/01/2023 ^(e) | | $ | | | 54 | | | $ | | | 0 | |
|
Jaguar Land Rover Automotive PLC | |
6.875% due 11/15/2026 (m) | | EUR | | | 200 | | | | | | 259 | |
|
Kontoor Brands, Inc. | |
4.125% due 11/15/2029 (m) | | $ | | | 1,300 | | | | | | 1,302 | |
|
Mileage Plus Holdings LLC | |
6.500% due 06/20/2027 (m) | | | | | 200 | | | | | | 214 | |
|
NCL Corp. Ltd. | |
10.250% due 02/01/2026 (m) | | | | | 585 | | | | | | 681 | |
12.250% due 05/15/2024 (m) | | | | | 113 | | | | | | 134 | |
|
Nielsen Finance LLC | |
5.625% due 10/01/2028 (m) | | | | | 1,000 | | | | | | 1,034 | |
|
Nissan Motor Co. Ltd. | |
4.810% due 09/17/2030 (m) | | | | | 1,200 | | | | | | 1,343 | |
|
Noble Corp. PLC (11.000% Cash or 15.000% PIK) | |
11.000% due 02/15/2028 (d) | | | | | 10 | | | | | | 12 | |
|
Odebrecht Oil & Gas Finance Ltd. | |
0.000% due 01/31/2022 (h)(j) | | | | | 322 | | | | | | 3 | |
|
Oi Movel S.A. | |
8.750% due 07/30/2026 (m) | | | | | 1,158 | | | | | | 1,196 | |
|
Oracle Corp. | |
4.100% due 03/25/2061 (l)(m) | | | | | 100 | | | | | | 104 | |
|
Ortho-Clinical Diagnostics, Inc. | |
7.375% due 06/01/2025 (m) | | | | | 22 | | | | | | 23 | |
|
Petroleos Mexicanos | |
6.700% due 02/16/2032 | | | | | 381 | | | | | | 386 | |
6.750% due 09/21/2047 (m) | | | | | 2,127 | | | | | | 1,892 | |
6.950% due 01/28/2060 | | | | | 50 | | | | | | 45 | |
7.690% due 01/23/2050 | | | | | 20 | | | | | | 19 | |
|
Rolls-Royce PLC | |
3.625% due 10/14/2025 (m) | | | | | 500 | | | | | | 508 | |
5.750% due 10/15/2027 (m) | | GBP | | | 200 | | | | | | 302 | |
|
Royal Caribbean Cruises Ltd. | |
9.125% due 06/15/2023 (m) | | $ | | | 100 | | | | | | 106 | |
|
Sabre GLBL, Inc. | |
7.375% due 09/01/2025 (m) | | | | | 1,000 | | | | | | 1,046 | |
|
Sands China Ltd. | |
5.400% due 08/08/2028 (m) | | | | | 362 | | | | | | 390 | |
|
Schenck Process Holding GmbH | |
6.875% due 06/15/2023 (m) | | EUR | | | 100 | | | | | | 114 | |
|
Syngenta Finance NV | |
5.676% due 04/24/2048 (m) | | $ | | | 953 | | | | | | 1,176 | |
|
Topaz Solar Farms LLC | |
4.875% due 09/30/2039 (m) | | | | | 162 | | | | | | 183 | |
5.750% due 09/30/2039 (m) | | | | | 1,771 | | | | | | 2,113 | |
|
Transocean Pontus Ltd. | |
6.125% due 08/01/2025 (m) | | | | | 19 | | | | | | 18 | |
|
Transocean, Inc. | |
7.250% due 11/01/2025 | | | | | 36 | | | | | | 28 | |
7.500% due 01/15/2026 | | | | | 6 | | | | | | 4 | |
8.000% due 02/01/2027 | | | | | 13 | | | | | | 9 | |
|
TripAdvisor, Inc. | |
7.000% due 07/15/2025 (m) | | | | | 1,000 | | | | | | 1,056 | |
|
Triumph Group, Inc. | |
6.250% due 09/15/2024 | | | | | 11 | | | | | | 11 | |
8.875% due 06/01/2024 (m) | | | | | 804 | | | | | | 878 | |
|
U.S. Renal Care, Inc. | |
10.625% due 07/15/2027 | | | | | 10 | | | | | | 10 | |
|
Uber Technologies, Inc. | |
4.500% due 08/15/2029 (m) | | | | | 100 | | | | | | 102 | |
|
United Airlines, Inc. | |
4.375% due 04/15/2026 (m) | | | | | 900 | | | | | | 940 | |
4.625% due 04/15/2029 (m) | | | | | 600 | | | | | | 620 | |
|
Valaris Ltd. (8.250% Cash or 12.000% PIK) | |
8.250% due 04/30/2028 (d) | | | | | 2 | | | | | | 2 | |
|
Vale Overseas Ltd. | |
6.250% due 08/10/2026 (m) | | | | | 25 | | | | | | 29 | |
6.875% due 11/21/2036 (m) | | | | | 38 | | | | | | 51 | |
6.875% due 11/10/2039 (m) | | | | | 6 | | | | | | 8 | |
|
Vale S.A. | |
2.762% due 12/29/2049 «~(j) | | BRL | | | 20,000 | | | | | | 1,787 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
|
Viking Cruises Ltd. | |
13.000% due 05/15/2025 (m) | | $ | | | 1,149 | | | $ | | | 1,302 | |
|
Windstream Escrow LLC | |
7.750% due 08/15/2028 (m) | | | | | 720 | | | | | | 765 | |
|
Wolverine Escrow LLC | |
8.500% due 11/15/2024 (m) | | | | | 1,522 | | | | | | 1,413 | |
9.000% due 11/15/2026 (m) | | | | | 1,840 | | | | | | 1,750 | |
|
Wynn Las Vegas LLC | |
5.250% due 05/15/2027 (m) | | | | | 300 | | | | | | 307 | |
|
Wynn Macau Ltd. | |
5.500% due 01/15/2026 (m) | | | | | 600 | | | | | | 565 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 48,394 | |
| | | | | | | | | | | | |
| |
| UTILITIES 5.4% | |
|
AT&T, Inc. | |
3.850% due 06/01/2060 (m) | | | | | 96 | | | | | | 101 | |
|
DTEK Finance PLC (1.500% Cash and 3.500% PIK) | |
5.000% due 12/31/2027 (d)(m) | | | | | 742 | | | | | | 407 | |
|
Genesis Energy LP | |
8.000% due 01/15/2027 (m) | | | | | 857 | | | | | | 884 | |
|
Odebrecht Drilling Norbe Ltd. (6.350% Cash and 1.000% PIK) | |
7.350% due 12/01/2026 ^(d) | | | | | 496 | | | | | | 274 | |
|
Odebrecht Offshore Drilling Finance Ltd. | |
6.720% due 12/01/2022 ^(m) | | | | | 309 | | | | | | 305 | |
|
Odebrecht Offshore Drilling Finance Ltd. (6.720% Cash and 1.000% PIK) | |
7.720% due 12/01/2026 ^(d) | | | | | 749 | | | | | | 150 | |
|
Pacific Gas & Electric Co. | |
3.950% due 12/01/2047 (m) | | | | | 100 | | | | | | 96 | |
4.300% due 03/15/2045 (m) | | | | | 827 | | | | | | 838 | |
4.450% due 04/15/2042 (m) | | | | | 34 | | | | | | 35 | |
4.500% due 07/01/2040 (m) | | | | | 600 | | | | | | 626 | |
4.750% due 02/15/2044 (m) | | | | | 1,391 | | | | | | 1,446 | |
4.950% due 07/01/2050 (m) | | | | | 182 | | | | | | 198 | |
|
Rio Oil Finance Trust | |
9.250% due 07/06/2024 (m) | | | | | 881 | | | | | | 949 | |
|
Transocean Poseidon Ltd. | |
6.875% due 02/01/2027 | | | | | 20 | | | | | | 19 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 6,328 | |
| | | | | | | | | | | | |
Total Corporate Bonds & Notes (Cost $69,292) | | | 69,189 | |
| | | | |
| |
| CONVERTIBLE BONDS & NOTES 1.7% | |
| |
| BANKING & FINANCE 0.1% | |
|
CBL & Associates HoldCo LLC | |
7.000% due 11/15/2028 | | | | | 39 | | | | | | 74 | |
|
Corestate Capital Holding S.A. | |
1.375% due 11/28/2022 | | EUR | | | 100 | | | | | | 101 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 175 | |
| | | | | | | | | | | | |
| |
| INDUSTRIALS 1.6% | |
|
DISH Network Corp. | |
3.375% due 08/15/2026 (m) | | $ | | | 600 | | | | | | 569 | |
|
Royal Caribbean Cruises Ltd. | |
4.250% due 06/15/2023 | | | | | 1,000 | | | | | | 1,278 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,847 | |
| | | | | | | | | | | | |
Total Convertible Bonds & Notes (Cost $1,745) | | | 2,022 | |
| | | | |
| |
| MUNICIPAL BONDS & NOTES 2.7% | |
| |
| ILLINOIS 0.0% | |
|
Chicago, Illinois General Obligation Bonds, Series 2015 | |
7.750% due 01/01/2042 | | | | | 12 | | | | | | 14 | |
| | | | | | | | | | | | |
| |
| PUERTO RICO 1.8% | |
|
Commonwealth of Puerto Rico General Obligation Bonds, Series 2014 | |
8.000% due 07/01/2035 ^(e) | | | | | 2,400 | | | | | | 2,136 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
| WEST VIRGINIA 0.9% | |
|
Tobacco Settlement Finance Authority, West Virginia Revenue Bonds, Series 2007 | |
0.000% due 06/01/2047 (h) | | $ | | | 8,800 | | | $ | | | 980 | |
| | | | | | | | | | | | |
Total Municipal Bonds & Notes (Cost $2,667) | | | 3,130 | |
| | | | |
| |
| U.S. GOVERNMENT AGENCIES 37.2% | |
|
Fannie Mae | |
3.000% due 04/25/2050 (a)(m) | | | | | 13,482 | | | | | | 1,926 | |
5.853% due 07/25/2029 • | | | | | 220 | | | | | | 242 | |
5.898% due 11/25/2049 •(a) | | | | | 129 | | | | | | 24 | |
5.948% due 03/25/2037 •(a) | | | | | 169 | | | | | | 29 | |
6.048% due 11/25/2039 •(a) | | | | | 151 | | | | | | 25 | |
6.198% due 01/25/2038 •(a) | | | | | 219 | | | | | | 36 | |
6.278% due 03/25/2037 •(a) | | | | | 186 | | | | | | 31 | |
6.298% due 12/25/2037 •(a) | | | | | 216 | | | | | | 30 | |
6.308% due 06/25/2037 •(a) | | | | | 87 | | | | | | 12 | |
6.348% due 04/25/2037 •(a)(m) | | | | | 472 | | | | | | 86 | |
6.498% due 11/25/2035 •(a) | | | | | 47 | | | | | | 5 | |
6.698% due 11/25/2036 •(a)(m) | | | | | 870 | | | | | | 173 | |
7.000% due 12/25/2023 | | | | | 17 | | | | | | 17 | |
7.098% due 02/25/2037 •(a) | | | | | 166 | | | | | | 34 | |
7.500% due 06/01/2032 | | | | | 22 | | | | | | 22 | |
7.800% due 06/25/2026 ~ | | | | | 1 | | | | | | 1 | |
8.402% due 06/25/2044 •(m) | | | | | 224 | | | | | | 241 | |
8.698% due 12/25/2042 ~ | | | | | 38 | | | | | | 43 | |
14.057% due 08/25/2022 • | | | | | 5 | | | | | | 6 | |
|
Freddie Mac | |
0.000% due 02/25/2046 (b)(h) | | | | | 235 | | | | | | 198 | |
0.100% due 02/25/2046 (a) | | | | | 235 | | | | | | 0 | |
0.700% due 11/25/2055 «~(a) | | | | | 5,581 | | | | | | 436 | |
5.253% due 10/25/2029 • | | | | | 250 | | | | | | 273 | |
6.048% due 05/25/2050 •(a)(m) | | | | | 1,456 | | | | | | 240 | |
6.330% due 03/15/2037 •(a)(m) | | | | | 373 | | | | | | 65 | |
6.460% due 09/15/2036 •(a) | | | | | 207 | | | | | | 34 | |
6.470% due 09/15/2036 •(a)(m) | | | | | 441 | | | | | | 80 | |
7.000% due 08/15/2023 | | | | | 1 | | | | | | 1 | |
|
Ginnie Mae | |
5.996% due 12/20/2048 •(a)(m) | | | | | 1,279 | | | | | | 196 | |
|
Ginnie Mae, TBA | |
3.500% due 02/01/2052 | | | | | 800 | | | | | | 832 | |
4.500% due 02/01/2052 | | | | | 1,800 | | | | | | 1,901 | |
|
Uniform Mortgage-Backed Security | |
3.500% due 03/01/2048 - 04/01/2048 | | | | | 491 | | | | | | 519 | |
|
Uniform Mortgage-Backed Security, TBA | |
2.500% due 03/01/2052 | | | | | 450 | | | | | | 457 | |
3.500% due 03/01/2052 | | | | | 32,000 | | | | | | 33,595 | |
4.500% due 01/01/2052 | | | | | 2,000 | | | | | | 2,143 | |
| | | | | | | | | | | | |
Total U.S. Government Agencies (Cost $43,732) | | | 43,953 | |
| | | | |
| |
| NON-AGENCY MORTGAGE-BACKED SECURITIES 15.0% | |
|
Banc of America Funding Trust | |
2.001% due 12/20/2034 ~ | | | | | 242 | | | | | | 164 | |
2.371% due 03/20/2036 ~ | | | | | 129 | | | | | | 126 | |
5.846% due 01/25/2037 ^~ | | | | | 113 | | | | | | 115 | |
|
Banc of America Mortgage Trust | |
6.000% due 07/25/2046 ^ | | | | | 1 | | | | | | 1 | |
|
Bear Stearns Adjustable Rate Mortgage Trust | |
3.004% due 07/25/2036 ^~ | | | | | 90 | | | | | | 88 | |
|
Bear Stearns ALT-A Trust | |
2.785% due 11/25/2035 ^~ | | | | | 76 | | | | | | 66 | |
2.868% due 09/25/2035 ^~ | | | | | 72 | | | | | | 55 | |
3.126% due 04/25/2035 ~ | | | | | 94 | | | | | | 89 | |
|
Bear Stearns Commercial Mortgage Securities Trust | |
5.241% due 02/11/2041 ~ | | | | | 160 | | | | | | 159 | |
|
Bear Stearns Structured Products, Inc. Trust | |
2.511% due 12/26/2046 ^~ | | | | | 186 | | | | | | 168 | |
2.697% due 01/26/2036 ^~ | | | | | 373 | | | | | | 314 | |
|
CBA Commercial Small Balance Commercial Mortgage | |
6.040% due 01/25/2039 ^þ | | | | | 147 | | | | | | 141 | |
|
CD Mortgage Trust | |
5.688% due 10/15/2048 | | | | | 74 | | | | | | 72 | |
| | | | | | |
| 40 | | PIMCO CLOSED-END FUNDS | | | See Accompanying Notes | |
| | | | | | | | |
| | | | | | December 31, 2021 | | (Unaudited) |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
|
Chevy Chase Funding LLC Mortgage-Backed Certificates | |
0.402% due 08/25/2035 • | | $ | | | 43 | | | $ | | | 43 | |
0.782% due 10/25/2034 • | | | | | 3 | | | | | | 3 | |
|
Citigroup Commercial Mortgage Trust | |
5.512% due 12/10/2049 ~ | | | | | 577 | | | | | | 260 | |
|
Citigroup Mortgage Loan Trust | |
2.425% due 03/25/2037 ^~ | | | | | 57 | | | | | | 58 | |
2.692% due 11/25/2035 ~ | | | | | 1,181 | | | | | | 780 | |
|
Commercial Mortgage Loan Trust | |
5.956% due 12/10/2049 ~ | | | | | 391 | | | | | | 68 | |
|
Connecticut Avenue Securities Trust | |
3.150% due 10/25/2041 •(m) | | | | | 900 | | | | | | 911 | |
|
Countrywide Alternative Loan Trust | |
0.452% due 05/25/2036 ^• | | | | | 1,251 | | | | | | 340 | |
0.582% due 12/25/2046 ^• | | | | | 69 | | | | | | 48 | |
0.762% due 10/25/2035 • | | | | | 501 | | | | | | 401 | |
2.696% due 10/25/2035 ^~ | | | | | 87 | | | | | | 82 | |
3.130% due 02/25/2037 ^~ | | | | | 85 | | | | | | 85 | |
5.500% due 08/25/2034 | | | | | 204 | | | | | | 210 | |
5.500% due 02/25/2036 ^ | | | | | 14 | | | | | | 11 | |
6.250% due 09/25/2034 | | | | | 33 | | | | | | 34 | |
6.500% due 08/25/2036 ^ | | | | | 1,019 | | | | | | 518 | |
7.048% due 07/25/2036 •(a) | | | | | 828 | | | | | | 220 | |
19.520% due 07/25/2035 • | | | | | 491 | | | | | | 555 | |
|
Countrywide Home Loan Mortgage Pass-Through Trust | |
0.582% due 03/25/2036 • | | | | | 115 | | | | | | 108 | |
0.882% due 02/25/2035 • | | | | | 58 | | | | | | 54 | |
2.165% due 10/20/2035 ~ | | | | | 32 | | | | | | 31 | |
2.627% due 10/20/2035 ^~ | | | | | 46 | | | | | | 47 | |
2.972% due 10/20/2035 ^~ | | | | | 81 | | | | | | 80 | |
3.008% due 08/25/2034 ~ | | | | | 23 | | | | | | 23 | |
3.306% due 03/25/2037 ^~ | | | | | 247 | | | | | | 226 | |
5.500% due 08/25/2035 ^ | | | | | 12 | | | | | | 9 | |
|
Credit Suisse Mortgage Capital Mortgage-Backed Trust | |
6.000% due 11/25/2036 | | | | | 127 | | | | | | 118 | |
|
DBUBS Mortgage Trust | |
4.652% due 11/10/2046 | | | | | 369 | | | | | | 129 | |
|
Extended Stay America Trust | |
3.810% due 07/15/2038 •(m) | | | | | 995 | | | | | | 998 | |
|
First Horizon Alternative Mortgage Securities Trust | |
2.652% due 11/25/2036 ^~ | | | | | 182 | | | | | | 148 | |
|
First Horizon Mortgage Pass-Through Trust | |
2.918% due 01/25/2037 ^~ | | | | | 243 | | | | | | 188 | |
|
Freddie Mac | |
7.550% due 10/25/2041 •(m) | | | | | 1,200 | | | | | | 1,251 | |
|
GSR Mortgage Loan Trust | |
2.903% due 04/25/2035 ~ | | | | | 118 | | | | | | 119 | |
|
HarborView Mortgage Loan Trust | |
0.704% due 04/19/2034 • | | | | | 4 | | | | | | 4 | |
2.254% due 11/19/2034 ~ | | | | | 82 | | | | | | 84 | |
2.548% due 08/19/2036 ^~ | | | | | 4 | | | | | | 4 | |
2.598% due 02/25/2036 ^~ | | | | | 15 | | | | | | 6 | |
|
HSI Asset Loan Obligation Trust | |
2.726% due 01/25/2037 ^~ | | | | | 146 | | | | | | 121 | |
|
IndyMac INDX Mortgage Loan Trust | |
0.372% due 06/25/2037 ^• | | | | | 574 | | | | | | 763 | |
0.662% due 03/25/2035 • | | | | | 6 | | | | | | 6 | |
2.775% due 06/25/2037 ^~ | | | | | 328 | | | | | | 344 | |
|
JP Morgan Chase Commercial Mortgage Securities Trust | |
5.868% due 01/12/2038 ~(m) | | | | | 723 | | | | | | 731 | |
|
JP Morgan Mortgage Trust | |
2.847% due 04/25/2037 ^~ | | | | | 268 | | | | | | 247 | |
5.500% due 01/25/2036 ^ | | | | | 27 | | | | | | 17 | |
5.500% due 06/25/2037 ^ | | | | | 3 | | | | | | 5 | |
|
MASTR Adjustable Rate Mortgages Trust | |
2.616% due 11/25/2035 ^~ | | | | | 368 | | | | | | 266 | |
2.932% due 10/25/2034 ~ | | | | | 104 | | | | | | 104 | |
|
Merrill Lynch Alternative Note Asset Trust | |
0.242% due 01/25/2037 • | | | | | 675 | | | | | | 281 | |
|
Opteum Mortgage Acceptance Corp. Trust | |
0.642% due 07/25/2036 • | | | | | 184 | | | | | | 87 | |
|
RBSSP Resecuritization Trust | |
5.000% due 09/26/2036 ~(m) | | | | | 1,055 | | | | | | 942 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
|
Residential Accredit Loans, Inc. Trust | |
3.179% due 12/26/2034 ^~ | | $ | | | 77 | | | $ | | | 75 | |
4.341% due 01/25/2036 ^~ | | | | | 406 | | | | | | 362 | |
6.000% due 09/25/2035 ^ | | | | | 276 | | | | | | 141 | |
6.000% due 08/25/2036 ^ | | | | | 130 | | | | | | 126 | |
|
Residential Asset Mortgage Products Trust | |
7.500% due 12/25/2031 | | | | | 9 | | | | | | 8 | |
|
Structured Adjustable Rate Mortgage Loan Trust | |
1.482% due 05/25/2035 ^• | | | | | 879 | | | | | | 738 | |
2.908% due 04/25/2036 ^~ | | | | | 185 | | | | | | 136 | |
2.911% due 01/25/2036 ^~ | | | | | 233 | | | | | | 171 | |
2.985% due 09/25/2035 ~ | | | | | 40 | | | | | | 31 | |
3.098% due 09/25/2036 ^~ | | | | | 165 | | | | | | 144 | |
|
Structured Asset Mortgage Investments Trust | |
0.562% due 02/25/2036 • | | | | | 281 | | | | | | 271 | |
0.662% due 02/25/2036 ^• | | | | | 189 | | | | | | 182 | |
|
SunTrust Adjustable Rate Mortgage Loan Trust | |
2.380% due 01/25/2037 ^~ | | | | | 42 | | | | | | 36 | |
|
Tharaldson Hotel Portfolio Trust | |
3.584% due 11/11/2034 •(m) | | | | | 1,205 | | | | | | 1,178 | |
|
WaMu Mortgage Pass-Through Certificates Trust | |
2.991% due 12/25/2036 ^~ | | | | | 204 | | | | | | 205 | |
3.109% due 07/25/2037 ^~ | | | | | 54 | | | | | | 55 | |
|
Wells Fargo-RBS Commercial Mortgage Trust | |
0.244% due 12/15/2046 ~(a) | | | | | 30,000 | | | | | | 164 | |
| | | | | | | | | | | | |
Total Non-Agency Mortgage-Backed Securities (Cost $16,498) | | | 17,749 | |
| | | | |
| |
| ASSET-BACKED SECURITIES 10.1% | |
|
Adagio CLO DAC | |
0.000% due 04/30/2031 ~ | | EUR | | | 250 | | | | | | 165 | |
|
Apidos CLO | |
0.000% due 07/22/2026 ~ | | $ | | | 500 | | | | | | 0 | |
|
Avoca CLO DAC | |
0.000% due 07/15/2032 ~ | | EUR | | | 1,000 | | | | | | 837 | |
|
Bear Stearns Asset-Backed Securities Trust | |
6.500% due 08/25/2036 ^ | | $ | | | 521 | | | | | | 286 | |
23.155% due 03/25/2036 ^• | | | | | 1,632 | | | | | | 1,354 | |
|
Belle Haven ABS CDO Ltd. | |
0.383% due 07/05/2046 • | | | | | 34,966 | | | | | | 67 | |
|
Bombardier Capital Mortgage Securitization Corp. | |
7.830% due 06/15/2030 ~ | | | | | 1,421 | | | | | | 323 | |
|
California Republic Auto Receivables Trust | |
0.000% due 04/15/2025 «(h) | | | | | 1,400 | | | | | | 1,544 | |
|
Carlyle Global Market Strategies CLO Ltd. | |
0.000% due 04/17/2031 ~ | | | | | 1,700 | | | | | | 805 | |
|
Carlyle Global Market Strategies Euro CLO DAC | |
0.000% due 04/15/2027 ~ | | EUR | | | 900 | | | | | | 468 | |
0.000% due 01/25/2032 ~ | | | | | 300 | | | | | | 198 | |
|
Carlyle U.S. CLO Ltd. | |
0.000% due 10/15/2031 ~ | | $ | | | 600 | | | | | | 382 | |
|
Carrington Mortgage Loan Trust | |
0.252% due 08/25/2036 • | | | | | 49 | | | | | | 48 | |
|
Citigroup Mortgage Loan Trust | |
0.262% due 01/25/2037 • | | | | | 137 | | | | | | 71 | |
|
Conseco Finance Securitizations Corp. | |
7.960% due 05/01/2031 | | | | | 372 | | | | | | 145 | |
|
Countrywide Asset-Backed Certificates | |
1.202% due 09/25/2034 • | | | | | 36 | | | | | | 35 | |
|
Flagship Credit Auto Trust | |
0.000% due 05/15/2025 «(h) | | | | | 1 | | | | | | 75 | |
|
Lehman XS Trust | |
4.468% due 05/25/2037 ^þ | | | | | 46 | | | | | | 47 | |
|
Marlette Funding Trust | |
0.000% due 12/15/2028 «(h) | | | | | 2 | | | | | | 180 | |
0.000% due 04/16/2029 «(h) | | | | | 2 | | | | | | 119 | |
0.000% due 07/16/2029 «(h) | | | | | 2 | | | | | | 210 | |
|
Morgan Stanley ABS Capital, Inc. Trust | |
0.162% due 05/25/2037 • | | | | | 61 | | | | | | 55 | |
|
SMB Private Education Loan Trust | |
0.000% due 09/18/2046 «(h) | | | | | 1 | | | | | | 400 | |
0.000% due 10/15/2048 «(h) | | | | | 2 | | | | | | 584 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
|
Soundview Home Loan Trust | |
0.162% due 11/25/2036 • | | $ | | | 166 | | | $ | | | 67 | |
|
South Coast Funding Ltd. | |
0.454% due 01/06/2041 • | | | | | 11,698 | | | | | | 2,924 | |
|
Structured Asset Securities Corp. Mortgage Loan Trust | |
0.552% due 06/25/2035 • | | | | | 111 | | | | | | 112 | |
|
Symphony CLO Ltd. | |
4.727% due 07/14/2026 • | | | | | 400 | | | | | | 400 | |
|
Washington Mutual Asset-Backed Certificates Trust | |
0.162% due 10/25/2036 • | | | | | 88 | | | | | | 46 | |
| | | | | | | | | | | | |
Total Asset-Backed Securities (Cost $21,445) | | | 11,947 | |
| | | | |
| |
| SOVEREIGN ISSUES 3.0% | |
|
Argentina Government International Bond | |
0.500% due 07/09/2030 þ | | | | | 535 | | | | | | 172 | |
1.000% due 07/09/2029 | | | | | 97 | | | | | | 36 | |
1.125% due 07/09/2035 þ | | | | | 573 | | | | | | 176 | |
2.000% due 01/09/2038 þ(m) | | | | | 1,597 | | | | | | 614 | |
2.500% due 07/09/2041 þ(m) | | | | | 905 | | | | | | 323 | |
15.500% due 10/17/2026 | | ARS | | | 8,480 | | | | | | 17 | |
34.191% (BADLARPP) due 10/04/2022 ~ | | | | | 132 | | | | | | 0 | |
|
Argentina Treasury Bond BONCER | |
1.400% due 03/25/2023 (i) | | | | | 11,522 | | | | | | 57 | |
|
Autonomous City of Buenos Aires | |
37.958% (BADLARPP + 3.750%) due 02/22/2028 ~ | | | | | 449 | | | | | | 2 | |
|
Egypt Government International Bond | |
6.375% due 04/11/2031 | | EUR | | | 600 | | | | | | 631 | |
|
Hellenic Republic Government Bond | |
2.000% due 04/22/2027 | | | | | 73 | | | | | | 89 | |
|
Provincia de Buenos Aires | |
37.922% due 04/12/2025 (m) | | ARS | | | 71,001 | | | | | | 312 | |
37.922% due 04/12/2025 | | | | | 8,630 | | | | | | 38 | |
|
Republic of Greece Government International Bond | |
3.900% due 01/30/2033 | | EUR | | | 162 | | | | | | 234 | |
4.000% due 01/30/2037 | | | | | 127 | | | | | | 202 | |
4.200% due 01/30/2042 | | | | | 159 | | | | | | 275 | |
|
South Africa Government International Bond | |
5.750% due 09/30/2049 (m) | | $ | | | 200 | | | | | | 193 | |
|
Ukraine Government International Bond | |
4.375% due 01/27/2030 | | EUR | | | 89 | | | | | | 82 | |
|
Venezuela Government International Bond | |
8.250% due 10/13/2024 ^(e) | | $ | | | 4 | | | | | | 0 | |
9.250% due 09/15/2027 ^(e) | | | | | 62 | | | | | | 4 | |
| | | | | | | | | | | | |
Total Sovereign Issues (Cost $4,986) | | | 3,457 | |
| | | | |
| |
| | | | | SHARES | | | | | | |
| COMMON STOCKS 1.7% | |
| |
| COMMUNICATION SERVICES 0.9% | |
| | | | |
Clear Channel Outdoor Holdings, Inc. (f) | | | | | 97,913 | | | | | | 324 | |
| | | | |
iHeartMedia, Inc. ‘A’ (f) | | | | | 22,927 | | | | | | 482 | |
| | | | |
iHeartMedia, Inc. ‘B’ «(f) | | | | | 17,837 | | | | | | 338 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,144 | |
| | | | | | | | | | | | |
| |
| ENERGY 0.1% | |
| | | | |
Axis Energy Services ‘A’ «(l) | | | | | 514 | | | | | | 7 | |
| | | | |
Noble Corp. (f)(l) | | | | | 3,943 | | | | | | 98 | |
| | | | |
Valaris Ltd. (f) | | | | | 211 | | | | | | 8 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 113 | |
| | | | | | | | | | | | |
| |
| INDUSTRIALS 0.1% | |
| | | |
Neiman Marcus Group Ltd. LLC «(l) | | | 516 | | | | | | 75 | |
| | | | |
Noble Corp. | | | | | 317 | | | | | | 8 | |
| | | |
Sierra Hamilton Holder LLC «(l) | | | 100,456 | | | | | | 0 | |
| | | | |
Voyager Aviation Holdings « | | | | | 377 | | | | | | 0 | |
| | | | | | | | | | | | |
| See Accompanying Notes | | | SEMIANNUAL REPORT | | | | | | | DECEMBER 31, 2021 | | | 41 |
| | | | | | | | |
| Schedule of Investments | | PIMCO Global StocksPLUS® & Income Fund | | (Cont.) | | | | |
| | | | | | | | | | | | |
| | | | | SHARES | | | | | MARKET
VALUE
(000S) | |
| | | | |
Westmoreland Mining Holdings LLC «(l) | | | | | 13,224 | | | $ | | | 0 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 83 | |
| | | | | | | | | | | | |
| |
| MATERIALS 0.6% | |
| | | | |
Associated Materials Group, Inc. «(l) | | | | | 100,208 | | | | | | 700 | |
| | | | | | | | | | | | |
Total Common Stocks (Cost $2,555) | | | 2,040 | |
| | | | |
| |
| WARRANTS 1.2% | |
| |
| INDUSTRIALS 0.1% | |
| | | | |
Sequa Corp. - Exp. 04/28/2024 « | | | | | 121,000 | | | | | | 83 | |
| | | | | | | | | | | | |
| |
| INFORMATION TECHNOLOGY 1.1% | |
| | | | |
Windstream Holdings LLC - Exp. 09/21/2055 « | | | | | 52,536 | | | | | | 1,302 | |
| | | | | | | | | | | | |
Total Warrants (Cost $403) | | | 1,385 | |
| | | | |
| |
| PREFERRED SECURITIES 8.6% | |
| |
| BANKING & FINANCE 4.4% | |
|
AGFC Capital Trust | |
1.874% (US0003M + 1.750%) due 01/15/2067 ~(m) | | | | | 1,000,000 | | | | | | 579 | |
| | | | | | | | | | | | |
| | | | | SHARES | | | | | MARKET
VALUE
(000S) | |
|
Charles Schwab Corp. | |
4.000% due 12/01/2030 •(j) | | | | | 200,000 | | | $ | | | 202 | |
|
OCP CLO Ltd. | |
0.000% due 04/26/2028 (h) | | | | | 1,400 | | | | | | 1,078 | |
|
Stichting AK Rabobank Certificaten | |
6.500% due 12/29/2049 þ(j) | | | | | 2,124,000 | | | | | | 3,337 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,196 | |
| | | | | | | | | | | | |
| |
| INDUSTRIALS 4.2% | |
|
General Electric Co. | |
3.533% (US0003M + 3.330%) due 03/15/2022 ~(j) | | | | | 28,000 | | | | | | 28 | |
|
Sequa Corp. (15.000% PIK) | |
15.000% «(d) | | | | | 3,601 | | | | | | 4,290 | |
|
Voyager Aviation Holdings LLC | |
9.500% « | | | | | 2,260 | | | | | | 701 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,019 | |
| | | | | | | | | | | | |
Total Preferred Securities (Cost $7,942) | | | 10,215 | |
| | | | |
| |
| REAL ESTATE INVESTMENT TRUSTS 0.5% | |
| |
| REAL ESTATE 0.5% | |
| | | | |
Uniti Group, Inc. | | | | | 44,060 | | | | | | 617 | |
| | | | | | | | | | | | |
Total Real Estate Investment Trusts (Cost $279) | | | 617 | |
| | | | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
| SHORT-TERM INSTRUMENTS 18.7% | |
| |
| U.S. TREASURY BILLS 12.6% | |
0.047% due 02/10/2022 - 04/21/2022 (g)(h)(o)(q) | | $ | | | 14,917 | | | $ | | | 14,915 | |
| | | | | | | | | | | | |
| |
| U.S. TREASURY CASH MANAGEMENT BILLS 6.1% | |
0.064% due 03/08/2022 - 04/26/2022 (g)(h)(o) | | | | | 7,200 | | | | | | 7,199 | |
| | | | | | | | | | | | |
Total Short-Term Instruments
(Cost $22,114) | | | 22,114 | |
| | | | |
| | | | |
| | | | | | | | | | | | |
Total Investments in Securities
(Cost $225,151) | | | 218,168 | |
| | | | |
| | | | | | | | | | | | |
Total Investments 184.6%
(Cost $225,151) | | | $ | | | 218,168 | |
| | | | | | | | | | | | |
Financial Derivative
Instruments (n)(p) 0.8% (Cost or Premiums, net $(1,379)) | | | | | | | | | 995 | |
| |
| Other Assets and Liabilities, net (85.4)% | | | (100,959 | ) |
| | | | |
| Net Assets 100.0% | | | $ | | | 118,204 | |
| | | | | | | |
NOTES TO SCHEDULE OF INVESTMENTS:
| * | A zero balance may reflect actual amounts rounding to less than one thousand. |
| « | Security valued using significant unobservable inputs (Level 3). |
| µ | All or a portion of this amount represents unfunded loan commitments. The interest rate for the unfunded portion will be determined at the time of funding. |
| ~ | Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description. |
| • | Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description. |
| þ | Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end. |
| (a) | Security is an Interest Only (“IO”) or IO Strip. |
| (b) | Principal only security. |
| (d) | Payment in-kind security. |
| (e) | Security is not accruing income as of the date of this report. |
| (f) | Security did not produce income within the last twelve months. |
| (g) | Coupon represents a weighted average yield to maturity. |
| (i) | Principal amount of security is adjusted for inflation. |
| (j) | Perpetual maturity; date shown, if applicable, represents next contractual call date. |
| (k) | Contingent convertible security. |
(l) RESTRICTED SECURITIES:
| | | | | | | | | | | | | | | | |
| Issuer Description | | Acquisition
Date | | | Cost | | | Market
Value | | | Market Value
as Percentage
of Net Assets | |
Associated Materials Group, Inc. | | | 08/24/2020 | | | $ | 637 | | | $ | 700 | | | | 0.59 | % |
Axis Energy Services ‘A’ | | | 07/01/2021 | | | | 7 | | | | 8 | | | | 0.01 | |
Neiman Marcus Group Ltd. LLC | | | 09/25/2020 | | | | 0 | | | | 75 | | | | 0.06 | |
Noble Corp. | | | 02/05/2021 - 02/27/2021 | | | | 52 | | | | 98 | | | | 0.08 | |
Oracle Corp. 4.100% due 03/25/2061 | | | 08/02/2021 | | | | 114 | | | | 104 | | | | 0.09 | |
Pinnacol Assurance 8.625% due 06/25/2034 | | | 06/23/2014 | | | | 1,100 | | | | 1,454 | | | | 1.23 | |
| | | | | | |
| 42 | | PIMCO CLOSED-END FUNDS | | | See Accompanying Notes | |
| | | | | | | | |
| | | | | | December 31, 2021 | | (Unaudited) |
| | | | | | | | | | | | | | | | |
| Issuer Description | | Acquisition
Date | | | Cost | | | Market
Value | | | Market Value
as Percentage
of Net Assets | |
Sierra Hamilton Holder LLC | | | 07/31/2017 | | | $ | 26 | | | $ | 0 | | | | 0.00 | % |
Westmoreland Mining Holdings LLC | | | 12/08/2014 - 08/05/2016 | | | | 370 | | | | 0 | | | | 0.00 | |
| | | | | | | | | | | | | | | | |
| | | $ | 2,306 | | | $ | 2,439 | | | | 2.06 | % |
| | | | | | | | | | | | | |
BORROWINGS AND OTHER FINANCING TRANSACTIONS
REVERSE REPURCHASE AGREEMENTS:
| | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Borrowing
Rate(1) | | | Settlement
Date | | | Maturity
Date | | | Amount
Borrowed(1) | | | Payable for
Reverse
Repurchase
Agreements | |
BPS | | | (0.400 | )% | | | 10/26/2021 | | | | 01/21/2022 | | | | EUR | | | | (850 | ) | | $ | (967 | ) |
| | | 0.260 | | | | 12/06/2021 | | | | 01/05/2022 | | | | $ | | | | (168 | ) | | | (168 | ) |
| | | 0.490 | | | | 08/12/2021 | | | | 02/15/2022 | | | | | | | | (1,963 | ) | | | (1,967 | ) |
| | | 0.490 | | | | 08/20/2021 | | | | 02/22/2022 | | | | | | | | (87 | ) | | | (87 | ) |
| | | 0.500 | | | | 07/20/2021 | | | | 01/20/2022 | | | | | | | | (831 | ) | | | (833 | ) |
| | | 0.500 | | | | 07/21/2021 | | | | 01/21/2022 | | | | | | | | (1,013 | ) | | | (1,016 | ) |
| | | 0.500 | | | | 10/22/2021 | | | | 01/10/2022 | | | | | | | | (741 | ) | | | (742 | ) |
| | | 0.520 | | | | 10/14/2021 | | | | 04/18/2022 | | | | | | | | (1,179 | ) | | | (1,180 | ) |
| | | 0.530 | | | | 11/22/2021 | | | | 02/24/2022 | | | | | | | | (975 | ) | | | (976 | ) |
| | | 0.870 | | | | 12/02/2021 | | | | 03/02/2022 | | | | | | | | (1,487 | ) | | | (1,488 | ) |
BRC | | | (0.500 | ) | | | 10/21/2021 | | | | TBD | (2) | | | EUR | | | | (637 | ) | | | (724 | ) |
| | | 0.500 | | | | 09/10/2021 | | | | 03/10/2022 | | | | $ | | | | (233 | ) | | | (233 | ) |
| | | 0.763 | | | | 07/08/2021 | | | | 01/10/2022 | | | | | | | | (808 | ) | | | (811 | ) |
| | | 0.825 | | | | 12/02/2021 | | | | 03/03/2022 | | | | | | | | (2,242 | ) | | | (2,243 | ) |
CDC | | | 0.230 | | | | 11/05/2021 | | | | TBD | (2) | | | | | | | (341 | ) | | | (341 | ) |
| | | 0.230 | | | | 11/10/2021 | | | | TBD | (2) | | | | | | | (584 | ) | | | (584 | ) |
| | | 0.270 | | | | 10/20/2021 | | | | 01/27/2022 | | | | | | | | (1,944 | ) | | | (1,946 | ) |
| | | 0.350 | | | | 11/05/2021 | | | | TBD | (2) | | | | | | | (1,337 | ) | | | (1,338 | ) |
| | | 0.350 | | | | 11/26/2021 | | | | TBD | (2) | | | | | | | (195 | ) | | | (195 | ) |
| | | 0.350 | | | | 12/23/2021 | | | | TBD | (2) | | | | | | | (388 | ) | | | (388 | ) |
| | | 0.360 | | | | 08/19/2021 | | | | TBD | (2) | | | | | | | (1,562 | ) | | | (1,564 | ) |
| | | 0.490 | | | | 10/07/2021 | | | | 04/07/2022 | | | | | | | | (1,094 | ) | | | (1,095 | ) |
CEW | | | 0.450 | | | | 07/22/2021 | | | | 01/21/2022 | | | | | | | | (976 | ) | | | (978 | ) |
| | | 0.500 | | | | 07/09/2021 | | | | 01/05/2022 | | | | | | | | (380 | ) | | | (381 | ) |
CIB | | | 0.570 | | | | 10/13/2021 | | | | 01/18/2022 | | | | | | | | (2,110 | ) | | | (2,113 | ) |
| | | 0.580 | | | | 12/01/2021 | | | | 01/07/2022 | | | | | | | | (541 | ) | | | (541 | ) |
IND | | | 0.420 | | | | 08/03/2021 | | | | 02/03/2022 | | | | | | | | (1,044 | ) | | | (1,046 | ) |
| | | 0.430 | | | | 10/12/2021 | | | | 04/12/2022 | | | | | | | | (912 | ) | | | (913 | ) |
JML | | | (3.250 | ) | | | 12/02/2021 | | | | TBD | (2) | | | EUR | | | | (497 | ) | | | (567 | ) |
| | | (2.500 | ) | | | 10/26/2021 | | | | TBD | (2) | | | | | | | (98 | ) | | | (111 | ) |
| | | (2.500 | ) | | | 12/02/2021 | | | | TBD | (2) | | | | | | | (494 | ) | | | (563 | ) |
| | | (1.500 | ) | | | 12/02/2021 | | | | TBD | (2) | | | | | | | (164 | ) | | | (187 | ) |
| | | (0.550 | ) | | | 12/02/2021 | | | | TBD | (2) | | | | | | | (106 | ) | | | (120 | ) |
| | | (0.500 | ) | | | 12/02/2021 | | | | 01/10/2022 | | | | | | | | (202 | ) | | | (231 | ) |
| | | (0.400 | ) | | | 10/21/2021 | | | | TBD | (2) | | | | | | | (554 | ) | | | (631 | ) |
| | | (0.400 | ) | | | 10/26/2021 | | | | TBD | (2) | | | | | | | (261 | ) | | | (297 | ) |
| | | (0.400 | ) | | | 12/02/2021 | | | | 01/10/2022 | | | | | | | | (386 | ) | | | (439 | ) |
| | | (0.300 | ) | | | 10/14/2021 | | | | 01/17/2022 | | | | | | | | (97 | ) | | | (110 | ) |
| | | (0.250 | ) | | | 12/02/2021 | | | | 01/10/2022 | | | | | | | | (88 | ) | | | (100 | ) |
| | | 0.400 | | | | 10/08/2021 | | | | 01/13/2022 | | | | $ | | | | (787 | ) | | | (787 | ) |
| | | 0.400 | | | | 12/07/2021 | | | | 01/19/2022 | | | | | | | | (341 | ) | | | (341 | ) |
| | | 0.500 | | | | 12/02/2021 | | | | 01/10/2022 | | | | GBP | | | | (922 | ) | | | (1,249 | ) |
| | | 0.600 | | | | 12/15/2021 | | | | 01/13/2022 | | | | $ | | | | (792 | ) | | | (793 | ) |
NOM | | | 0.380 | | | | 10/04/2021 | | | | TBD | (2) | | | | | | | (1,213 | ) | | | (1,214 | ) |
| | | 0.400 | | | | 08/25/2021 | | | | TBD | (2) | | | | | | | (1,448 | ) | | | (1,450 | ) |
| | | 0.450 | | | | 11/16/2021 | | | | 01/19/2022 | | | | | | | | (943 | ) | | | (943 | ) |
| | | 0.450 | | | | 11/26/2021 | | | | 01/19/2022 | | | | | | | | (134 | ) | | | (134 | ) |
| | | 0.750 | | | | 08/25/2021 | | | | TBD | (2) | | | | | | | (547 | ) | | | (548 | ) |
RDR | | | 0.270 | | | | 09/22/2021 | | | | 01/20/2022 | | | | | | | | (199 | ) | | | (200 | ) |
| | | 0.270 | | | | 09/24/2021 | | | | 01/20/2022 | | | | | | | | (113 | ) | | | (113 | ) |
| | | 0.270 | | | | 09/28/2021 | | | | 01/20/2022 | | | | | | | | (1,301 | ) | | | (1,302 | ) |
| | | 0.300 | | | | 12/01/2021 | | | | 01/20/2022 | | | | | | | | (103 | ) | | | (103 | ) |
SOG | | | 0.240 | | | | 11/19/2021 | | | | TBD | (2) | | | | | | | (213 | ) | | | (213 | ) |
| | | 0.350 | | | | 11/16/2021 | | | | TBD | (2) | | | | | | | (1,407 | ) | | | (1,408 | ) |
| | | 0.350 | | | | 12/23/2021 | | | | TBD | (2) | | | | | | | (1,221 | ) | | | (1,221 | ) |
| | | 0.470 | | | | 11/26/2021 | | | | 01/13/2022 | | | | | | | | (386 | ) | | | (386 | ) |
| | | 0.500 | | | | 07/16/2021 | | | | 01/14/2022 | | | | | | | | (490 | ) | | | (491 | ) |
| | | 0.500 | | | | 07/30/2021 | | | | 01/14/2022 | | | | | | | | (66 | ) | | | (66 | ) |
| | | | | | | | | | | | |
| See Accompanying Notes | | | SEMIANNUAL REPORT | | | | | | | DECEMBER 31, 2021 | | | 43 |
| | | | | | | | |
| Schedule of Investments | | PIMCO Global StocksPLUS® & Income Fund | | (Cont.) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Borrowing
Rate(1) | | | Settlement
Date | | | Maturity
Date | | | Amount
Borrowed(1) | | | Payable for
Reverse
Repurchase
Agreements | |
| | | 0.500 | % | | | 09/16/2021 | | | | 03/16/2022 | | | $ | | | | | (1,258 | ) | | $ | (1,260 | ) |
| | | 0.500 | | | | 09/30/2021 | | | | 03/07/2022 | | | | | | | | (1,795 | ) | | | (1,797 | ) |
| | | 0.500 | | | | 10/19/2021 | | | | 04/19/2022 | | | | | | | | (721 | ) | | | (722 | ) |
| | | 0.500 | | | | 10/20/2021 | | | | 04/19/2022 | | | | | | | | (57 | ) | | | (57 | ) |
TDM | | | 0.250 | | | | 10/27/2021 | | | | TBD | (2) | | | | | | | (912 | ) | | | (912 | ) |
UBS | | | 0.280 | | | | 11/04/2021 | | | | TBD | (2) | | | | | | | (203 | ) | | | (203 | ) |
| | | 0.300 | | | | 10/28/2021 | | | | TBD | (2) | | | | | | | (207 | ) | | | (207 | ) |
| | | 0.350 | | | | 10/05/2021 | | | | TBD | (2) | | | | | | | (1,290 | ) | | | (1,292 | ) |
| | | 0.350 | | | | 10/28/2021 | | | | TBD | (2) | | | | | | | (3,038 | ) | | | (3,040 | ) |
| | | 0.350 | | | | 12/23/2021 | | | | 12/23/2023 | | | | | | | | (323 | ) | | | (323 | ) |
| | | 0.400 | | | | 12/01/2021 | | | | TBD | (2) | | | | | | | (343 | ) | | | (343 | ) |
| | | 0.420 | | | | 10/13/2021 | | | | 01/14/2022 | | | | | | | | (1,488 | ) | | | (1,490 | ) |
| | | 0.420 | | | | 10/14/2021 | | | | 01/14/2022 | | | | | | | | (844 | ) | | | (845 | ) |
| | | 0.430 | | | | 11/04/2021 | | | | 01/05/2022 | | | | | | | | (1,965 | ) | | | (1,967 | ) |
| | | 0.450 | | | | 11/30/2021 | | | | 01/28/2022 | | | | | | | | (590 | ) | | | (590 | ) |
| | | 0.490 | | | | 11/23/2021 | | | | 02/22/2022 | | | | | | | | (1,440 | ) | | | (1,441 | ) |
| | | 0.500 | | | | 07/14/2021 | | | | 01/12/2022 | | | | | | | | (167 | ) | | | (168 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Reverse Repurchase Agreements | | | | | | | | | | | | | | | | | | | $ | (59,833 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
SHORT SALES:
| | | | | | | | | | | | | | | | | | | | |
| Description | | Coupon | | | Maturity
Date | | | Principal
Amount | | | Proceeds | | | Payable for
Short Sales | |
U.S. Government Agencies (2.3)% | |
Uniform Mortgage-Backed Security, TBA | | | 2.000 | % | | | 02/01/2052 | | | $ | 800 | | | $ | (798 | ) | | $ | (796 | ) |
Uniform Mortgage-Backed Security, TBA | | | 4.500 | | | | 02/01/2052 | | | | 1,800 | | | | (1,934 | ) | | | (1,928 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Short Sales (2.3)% | | | | | | | | | | | | | | $ | (2,732 | ) | | $ | (2,724 | ) |
| | | | | | | | | | | | | | | | | | | | |
BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY
The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral pledged/(received) as of December 31, 2021:
| | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Repurchase
Agreement
Proceeds
to be
Received | | | Payable for
Reverse
Repurchase
Agreements | | | Payable for
Sale-Buyback
Transactions | | | Total
Borrowings and
Other Financing
Transactions | | | Collateral
Pledged/(Received) | | | Net Exposure(3) | |
Global/Master Repurchase Agreement | |
BPS | | $ | 0 | | | $ | (9,424 | ) | | $ | 0 | | | $ | (9,424 | ) | | $ | 11,343 | | | $ | 1,919 | |
BRC | | | 0 | | | | (4,011 | ) | | | 0 | | | | (4,011 | ) | | | 4,772 | | | | 761 | |
CDC | | | 0 | | | | (7,451 | ) | | | 0 | | | | (7,451 | ) | | | 8,126 | | | | 675 | |
CEW | | | 0 | | | | (1,359 | ) | | | 0 | | | | (1,359 | ) | | | 1,615 | | | | 256 | |
CIB | | | 0 | | | | (2,654 | ) | | | 0 | | | | (2,654 | ) | | | 2,997 | | | | 343 | |
IND | | | 0 | | | | (1,959 | ) | | | 0 | | | | (1,959 | ) | | | 2,222 | | | | 263 | |
JML | | | 0 | | | | (6,526 | ) | | | 0 | | | | (6,526 | ) | | | 7,202 | | | | 676 | |
NOM | | | 0 | | | | (4,289 | ) | | | 0 | | | | (4,289 | ) | | | 4,529 | | | | 240 | |
RDR | | | 0 | | | | (1,718 | ) | | | 0 | | | | (1,718 | ) | | | 1,766 | | | | 48 | |
SOG | | | 0 | | | | (7,621 | ) | | | 0 | | | | (7,621 | ) | | | 8,965 | | | | 1,344 | |
TDM | | | 0 | | | | (912 | ) | | | 0 | | | | (912 | ) | | | 963 | | | | 51 | |
UBS | | | 0 | | | | (11,909 | ) | | | 0 | | | | (11,909 | ) | | | 14,061 | | | | 2,152 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Borrowings and Other Financing Transactions | | $ | 0 | | | $ | (59,833 | ) | | $ | 0 | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS
Remaining Contractual Maturity of the Agreements
| | | | | | | | | | | | | | | | | | | | |
| | | Overnight and
Continuous | | | Up to 30 days | | | 31-90 days | | | Greater Than 90 days | | | Total | |
Reverse Repurchase Agreements | |
Corporate Bonds & Notes | | $ | 0 | | | $ | (18,748 | ) | | $ | (8,643 | ) | | $ | (22,901 | ) | | $ | (50,292 | ) |
Convertible Bonds & Notes | | | 0 | | | | 0 | | | | 0 | | | | (548 | ) | | | (548 | ) |
U.S. Government Agencies | | | 0 | | | | (2,654 | ) | | | 0 | | | | 0 | | | | (2,654 | ) |
Non-Agency Mortgage-Backed Securities | | | 0 | | | | (811 | ) | | | (3,731 | ) | | | 0 | | | | (4,542 | ) |
Sovereign Issues | | | 0 | | | | (1,129 | ) | | | (165 | ) | | | 0 | | | | (1,294 | ) |
Preferred Securities | | | 0 | | | | 0 | | | | 0 | | | | (503 | ) | | | (503 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Borrowings | | $ | 0 | | | $ | (23,342 | ) | | $ | (12,539 | ) | | $ | (23,952 | ) | | $ | (59,833 | ) |
| | | | | | | | | | | | | | | | | | | | |
Payable for reverse repurchase agreements | | | $ | (59,833 | ) |
| | | | | |
| | | | | | |
| 44 | | PIMCO CLOSED-END FUNDS | | | See Accompanying Notes | |
| | | | | | | | |
| | | | | | December 31, 2021 | | (Unaudited) |
| (m) | Securities with an aggregate market value of $68,393 and cash of $192 have been pledged as collateral under the terms of the above master agreements as of December 31, 2021. |
| (1) | The average amount of borrowings outstanding during the period ended December 31, 2021 was $(58,221) at a weighted average interest rate of 0.391%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. |
| (2) | Open maturity reverse repurchase agreement. |
| (3) | Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information. |
(n) FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED
PURCHASED OPTIONS:
OPTIONS ON EXCHANGE-TRADED FUTURES CONTRACTS
| | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Strike
Price | | | Expiration
Date | | | # of
Contracts | | | Notional
Amount | | | Cost | | | Market
Value | |
Put - CME E-mini S&P 500 January 2021 Futures | | $ | 4,450.000 | | | | 01/21/2022 | | | | 232 | | | $ | 12 | | | $ | 528 | | | $ | 119 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Purchased Options | | | $ | 528 | | | $ | 119 | |
| | | | | | | | | |
WRITTEN OPTIONS:
OPTIONS ON EXCHANGE-TRADED FUTURES CONTRACTS
| | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Strike
Price | | | Expiration
Date | | | # of
Contracts | | | Notional
Amount | | | Premiums
(Received) | | | Market
Value | |
Call - CME E-mini S&P 500 January 2021 Futures | | $ | 4,680.000 | | | | 01/21/2022 | | | | 232 | | | $ | 12 | | | $ | (1,035 | ) | | $ | (1,305 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Written Options | | | $ | (1,035 | ) | | $ | (1,305 | ) |
| | | | | | | | | |
FUTURES CONTRACTS:
LONG FUTURES CONTRACTS
| | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Expiration
Month | | | # of
Contracts | | | Notional
Amount | | | Unrealized
Appreciation/
(Depreciation) | | | Variation Margin | |
| | Asset | | | Liability | |
E-mini S&P 500 Index March Futures | | | 03/2022 | | | | 248 | | | $ | 59,005 | | | $ | 1,023 | | | $ | 0 | | | $ | (169 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Futures Contracts | | | $ | 1,023 | | | $ | 0 | | | $ | (169 | ) |
| | | | | | | | | | | | | |
SWAP AGREEMENTS:
CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION(1)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Entity | | Fixed
Receive Rate | | | Payment
Frequency | | Maturity
Date | | | Implied
Credit Spread at
December 31, 2021(2) | | | Notional
Amount(3) | | | Premiums
Paid/(Received) | | | Unrealized
Appreciation/
(Depreciation) | | | Market
Value(4) | | | Variation Margin | |
| | Asset | | | Liability | |
Jaguar Land Rover Automotive | | | 5.000 | % | | Quarterly | | | 06/20/2026 | | | | 3.521 | % | | | EUR | | | | 1,100 | | | $ | 78 | | | $ | 1 | | | $ | 79 | | | $ | 0 | | | $ | 0 | |
Jaguar Land Rover Automotive | | | 5.000 | | | Quarterly | | | 12/20/2026 | | | | 3.685 | | | | | | | | 300 | | | | 18 | | | | 2 | | | | 20 | | | | 0 | | | | 0 | |
Rolls-Royce PLC | | | 1.000 | | | Quarterly | | | 12/20/2025 | | | | 1.481 | | | | | | | | 1,100 | | | | (214 | ) | | | 191 | | | | (23 | ) | | | 2 | | | | 0 | |
Rolls-Royce PLC | | | 1.000 | | | Quarterly | | | 06/20/2026 | | | | 1.612 | | | | | | | | 1,300 | | | | (102 | ) | | | 63 | | | | (39 | ) | | | 1 | | | | 0 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | $ | (220 | ) | | $ | 257 | | | $ | 37 | | | $ | 3 | | | $ | 0 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
INTEREST RATE SWAPS
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Pay/Receive
Floating Rate | | Floating Rate Index | | Fixed Rate | | | Payment
Frequency | | Maturity
Date | | | Notional
Amount | | | Premiums
Paid/(Received) | | | Unrealized
Appreciation/
(Depreciation) | | | Market
Value | | | Variation Margin | |
| | Asset | | | Liability | |
Receive(5) | | 1-Day GBP-SONIO Compounded-OIS | | | 0.750 | % | | Annual | | | 03/16/2052 | | | GBP | | | 1,100 | | | $ | (19 | ) | | $ | 51 | | | $ | 32 | | | $ | 0 | | | $ | (28 | ) |
Receive(5) | | 1-Day USD-Federal Funds Rate Compounded-OIS | | | 0.100 | | | Annual | | | 01/13/2023 | | | $ | | | 3,500 | | | | 0 | | | | 12 | | | | 12 | | | | 0 | | | | 0 | |
Pay | | 1-Year BRL-CDI | | | 3.700 | | | Maturity | | | 01/03/2022 | | | BRL | | | 35,800 | | | | (12 | ) | | | (50 | ) | | | (62 | ) | | | 0 | | | | 0 | |
Pay | | 1-Year BRL-CDI | | | 3.978 | | | Maturity | | | 01/03/2022 | | | | | | 1,500 | | | | 0 | | | | (2 | ) | | | (2 | ) | | | 0 | | | | 0 | |
Pay | | 1-Year BRL-CDI | | | 4.040 | | | Maturity | | | 01/03/2022 | | | | | | 1,500 | | | | 0 | | | | (2 | ) | | | (2 | ) | | | 0 | | | | 0 | |
Pay | | 1-Year BRL-CDI | | | 6.170 | | | Maturity | | | 01/02/2023 | | | | | | 19,600 | | | | (4 | ) | | | (136 | ) | | | (140 | ) | | | 0 | | | | 0 | |
Pay | | 3-Month CAD-Bank Bill | | | 3.300 | | | Semi-Annual | | | 06/19/2024 | | | CAD | | | 4,900 | | | | 369 | | | | (211 | ) | | | 158 | | | | 2 | | | | 0 | |
Receive | | 3-Month CAD-Bank Bill | | | 3.500 | | | Semi-Annual | | | 06/20/2044 | | | | | | 1,600 | | | | (285 | ) | | | (29 | ) | | | (314 | ) | | | 0 | | | | (6 | ) |
Receive | | 3-Month USD-LIBOR | | | 0.250 | | | Semi-Annual | | | 06/16/2024 | | | $ | | | 3,000 | | | | 8 | | | | 51 | | | | 59 | | | | 1 | | | | 0 | |
Receive | | 3-Month USD-LIBOR | | | 3.000 | | | Semi-Annual | | | 06/19/2024 | | | | | | 4,400 | | | | (73 | ) | | | (139 | ) | | | (212 | ) | | | 0 | | | | 0 | |
| | | | | | | | | | | | |
| See Accompanying Notes | | | SEMIANNUAL REPORT | | | | | | | DECEMBER 31, 2021 | | | 45 |
| | | | | | | | |
| Schedule of Investments | | PIMCO Global StocksPLUS® & Income Fund | | (Cont.) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Pay/Receive
Floating Rate | | Floating Rate Index | | Fixed Rate | | | Payment
Frequency | | Maturity
Date | | | Notional
Amount | | | Premiums
Paid/(Received) | | | Unrealized
Appreciation/
(Depreciation) | | | Market
Value | | | Variation Margin | |
| | Asset | | | Liability | |
Receive | | 3-Month USD-LIBOR | | | 1.500 | % | | Semi-Annual | | | 12/15/2028 | | | $ | | | 1,250 | | | $ | (15 | ) | | $ | 12 | | | $ | (3 | ) | | $ | 0 | | | $ | (1 | ) |
Receive | | 3-Month USD-LIBOR | | | 1.750 | | | Semi-Annual | | | 01/15/2030 | | | | | | 600 | | | | (7 | ) | | | (8 | ) | | | (15 | ) | | | 0 | | | | 0 | |
Receive | | 3-Month USD-LIBOR | | | 2.000 | | | Semi-Annual | | | 02/12/2030 | | | | | | 4,400 | | | | (78 | ) | | | (119 | ) | | | (197 | ) | | | 0 | | | | (2 | ) |
Receive | | 3-Month USD-LIBOR | | | 2.000 | | | Semi-Annual | | | 03/10/2030 | | | | | | 500 | | | | 0 | | | | (22 | ) | | | (22 | ) | | | 0 | | | | 0 | |
Receive | | 3-Month USD-LIBOR | | | 1.000 | | | Semi-Annual | | | 12/16/2030 | | | | | | 400 | | | | (15 | ) | | | 34 | | | | 19 | | | | 0 | | | | 0 | |
Pay | | 3-Month USD-LIBOR | | | 0.750 | | | Semi-Annual | | | 06/16/2031 | | | | | | 2,229 | | | | (211 | ) | | | 49 | | | | (162 | ) | | | 1 | | | | 0 | |
Pay | | 3-Month USD-LIBOR | | | 3.000 | | | Semi-Annual | | | 12/19/2048 | | | | | | 5,700 | | | | (17 | ) | | | 1,615 | | | | 1,598 | | | | 28 | | | | 0 | |
Pay | | 6-Month EUR-EURIBOR | | | 0.650 | | | Annual | | | 02/26/2029 | | | EUR | | | 34,900 | | | | 35 | | | | 1,675 | | | | 1,710 | | | | 0 | | | | (30 | ) |
Receive | | 6-Month EUR-EURIBOR | | | 0.150 | | | Annual | | | 03/18/2030 | | | | | | 1,300 | | | | (18 | ) | | | 62 | | | | 44 | | | | 1 | | | | 0 | |
Receive | | 6-Month EUR-EURIBOR | | | 0.150 | | | Annual | | | 06/17/2030 | | | | | | 3,000 | | | | (132 | ) | | | 151 | | | | 19 | | | | 3 | | | | 0 | |
Receive(5) | | 6-Month EUR-EURIBOR | | | 0.250 | | | Annual | | | 03/16/2032 | | | | | | 800 | | | | (15 | ) | | | 23 | | | | 8 | | | | 1 | | | | 0 | |
Receive | | 6-Month EUR-EURIBOR | | | 1.250 | | | Annual | | | 08/19/2049 | | | | | | 8,800 | | | | 37 | | | | (2,080 | ) | | | (2,043 | ) | | | 8 | | | | 0 | |
Pay | | 6-Month EUR-EURIBOR | | | 0.250 | | | Annual | | | 03/18/2050 | | | | | | 400 | | | | 48 | | | | (77 | ) | | | (29 | ) | | | 0 | | | | 0 | |
Pay | | 6-Month EUR-EURIBOR | | | 0.500 | | | Annual | | | 06/17/2050 | | | | | | 1,000 | | | | 171 | | | | (166 | ) | | | 5 | | | | 0 | | | | (1 | ) |
Pay | | 28-Day MXN-TIIE | | | 4.550 | | | Lunar | | | 02/27/2023 | | | MXN | | | 21,600 | | | | 3 | | | | (33 | ) | | | (30 | ) | | | 0 | | | | 0 | |
Pay | | 28-Day MXN-TIIE | | | 4.500 | | | Lunar | | | 03/03/2023 | | | | | | 14,200 | | | | (1 | ) | | | (19 | ) | | | (20 | ) | | | 0 | | | | 0 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | $ | (231 | ) | | $ | 642 | | | $ | 411 | | | $ | 45 | | | $ | (68 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Swap Agreements | | | | | | $ | (451 | ) | | $ | 899 | | | $ | 448 | | | $ | 48 | | | $ | (68 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED SUMMARY
The following is a summary of the market value and variation margin of Exchange-Traded or Centrally Cleared Financial Derivative Instruments as of December 31, 2021:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Financial Derivative Assets | | | | | | Financial Derivative Liabilities | |
| | | Market Value | | | Variation Margin
Asset | | | Total | | | | | | Market Value | | | Variation Margin
Liability | | | Total | |
| | | Purchased
Options | | | Futures | | | Swap
Agreements | | | | | | Written
Options | | | Futures | | | Swap
Agreements | |
Total Exchange-Traded or Centrally Cleared | | $ | 119 | | | $ | 0 | | | $ | 48 | | | $ | 167 | | | | | | | $ | (1,305) | | | $ | | (169) | | $ | (68) | | | $ | (1,542) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (o) | Securities with an aggregate market value of $2,175 and cash of $4,338 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2021. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information. |
| (1) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (2) | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| (3) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| (4) | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| (5) | This instrument has a forward starting effective date. See Note 2, Securities Transactions and Investment Income, in the Notes to Financial Statements for further information. |
(p) FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER
FORWARD FOREIGN CURRENCY CONTRACTS:
| | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Settlement
Month | | | Currency to
be Delivered | | | Currency to
be Received | | | Unrealized Appreciation/
(Depreciation) | |
| | Asset | | | Liability | |
BOA | | | 01/2022 | | | CNY | | | 750 | | | $ | | | 117 | | | $ | 0 | | | $ | (1 | ) |
| | | 01/2022 | | | $ | | | 16 | | | MXN | | | 334 | | | | 0 | | | | 0 | |
| | | 01/2022 | | | | | | 38 | | | RUB | | | 2,819 | | | | 0 | | | | (1 | ) |
| | | 02/2022 | | | | | | 68 | | | INR | | | 5,149 | | | | 1 | | | | 0 | |
| | | 03/2022 | | | MXN | | | 334 | | | $ | | | 16 | | | | 0 | | | | 0 | |
| | | 03/2022 | | | $ | | | 205 | | | MXN | | | 4,262 | | | | 0 | | | | 0 | |
| | | 06/2022 | | | PEN | | | 225 | | | $ | | | 54 | | | | 0 | | | | (2 | ) |
| | | 07/2022 | | | $ | | | 82 | | | PEN | | | 332 | | | | 0 | | | | (1 | ) |
| | | 11/2022 | | | | | | 7 | | | ZAR | | | 108 | | | | 0 | | | | 0 | |
| | | | | | |
| 46 | | PIMCO CLOSED-END FUNDS | | | See Accompanying Notes | |
| | | | | | | | |
| | | | | | December 31, 2021 | | (Unaudited) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Settlement
Month | | | Currency to
be Delivered | | | Currency to
be Received | | | Unrealized Appreciation/
(Depreciation) | |
| | Asset | | | Liability | |
BPS | | | 01/2022 | | | CAD | | | 329 | | | $ | | | 258 | | | $ | 0 | | | $ | (2 | ) |
| | | 01/2022 | | | GBP | | | 1,113 | | | | | | 1,474 | | | | 0 | | | | (33 | ) |
| | | 01/2022 | | | MXN | | | 334 | | | | | | 16 | | | | 0 | | | | 0 | |
| | | 01/2022 | | | $ | | | 2,204 | | | EUR | | | 1,942 | | | | 7 | | | | 0 | |
| | | 01/2022 | | | | | | 122 | | | GBP | | | 92 | | | | 2 | | | | 0 | |
| | | 01/2022 | | | | | | 145 | | | IDR | | | 2,095,108 | | | | 2 | | | | 0 | |
| | | 01/2022 | | | | | | 39 | | | RUB | | | 2,877 | | | | 0 | | | | (1 | ) |
| | | 02/2022 | | | | | | 120 | | | INR | | | 9,057 | | | | 2 | | | | 0 | |
| | | 02/2022 | | | | | | 517 | | | NOK | | | 4,505 | | | | 0 | | | | (6 | ) |
| | | 05/2022 | | | | | | 6 | | | ZAR | | | 103 | | | | 0 | | | | 0 | |
| | | 08/2022 | | | | | | 17 | | | | | | 279 | | | | 0 | | | | (1 | ) |
| | | 10/2022 | | | | | | 125 | | | PEN | | | 509 | | | | 0 | | | | 0 | |
| | | 11/2022 | | | | | | 20 | | | ZAR | | | 315 | | | | 0 | | | | (1 | ) |
| | | | | | | |
CBK | | | 01/2022 | | | BRL | | | 7,823 | | | $ | | | 1,402 | | | | 0 | | | | (3 | ) |
| | | 01/2022 | | | CLP | | | 8,589 | | | | | | 10 | | | | 0 | | | | 0 | |
| | | 01/2022 | | | PEN | | | 1,251 | | | | | | 307 | | | | 0 | | | | (7 | ) |
| | | 01/2022 | | | $ | | | 1,392 | | | BRL | | | 7,823 | | | | 12 | | | | 0 | |
| | | 01/2022 | | | | | | 354 | | | PEN | | | 1,441 | | | | 7 | | | | 0 | |
| | | 01/2022 | | | | | | 67 | | | RUB | | | 4,958 | | | | 0 | | | | (1 | ) |
| | | 02/2022 | | | | | | 10 | | | CLP | | | 8,589 | | | | 0 | | | | 0 | |
| | | 03/2022 | | | | | | 174 | | | RUB | | | 13,125 | | | | 0 | | | | (2 | ) |
| | | 05/2022 | | | | | | 90 | | | PEN | | | 367 | | | | 2 | | | | 0 | |
| | | 08/2022 | | | PEN | | | 200 | | | $ | | | 50 | | | | 0 | | | | 0 | |
| | | 12/2022 | | | $ | | | 298 | | | PEN | | | 1,251 | | | | 7 | | | | 0 | |
| | | | | | | |
DUB | | | 02/2022 | | | | | | 113 | | | INR | | | 8,587 | | | | 2 | | | | 0 | |
| | | 02/2022 | | | | | | 180 | | | RUB | | | 13,359 | | | | 0 | | | | (3 | ) |
| | | | | | | |
FBF | | | 01/2022 | | | BRL | | | 7,823 | | | $ | | | 1,375 | | | | 0 | | | | (30 | ) |
| | | 01/2022 | | | $ | | | 1,402 | | | BRL | | | 7,823 | | | | 3 | | | | 0 | |
| | | 02/2022 | | | | | | 1,366 | | | | | | 7,823 | | | | 29 | | | | 0 | |
| | | | | | | |
GLM | | | 01/2022 | | | | | | 1,228 | | | GBP | | | 921 | | | | 19 | | | | 0 | |
| | | 01/2022 | | | | | | 44 | | | PEN | | | 181 | | | | 2 | | | | 0 | |
| | | 01/2022 | | | | | | 292 | | | RUB | | | 21,236 | | | | 0 | | | | (10 | ) |
| | | 02/2022 | | | | | | 127 | | | | | | 9,379 | | | | 0 | | | | (3 | ) |
| | | 03/2022 | | | | | | 203 | | | MXN | | | 4,223 | | | | 1 | | | | 0 | |
| | | 03/2022 | | | | | | 49 | | | RUB | | | 3,678 | | | | 0 | | | | 0 | |
| | | 11/2022 | | | | | | 7 | | | ZAR | | | 114 | | | | 0 | | | | 0 | |
| | | | | | | |
HUS | | | 01/2022 | | | GBP | | | 59 | | | $ | | | 79 | | | | 0 | | | | (1 | ) |
| | | 01/2022 | | | $ | | | 330 | | | IDR | | | 4,795,529 | | | | 6 | | | | 0 | |
| | | 02/2022 | | | JPY | | | 10,583 | | | $ | | | 93 | | | | 1 | | | | 0 | |
| | | 02/2022 | | | $ | | | 192 | | | RUB | | | 13,887 | | | | 0 | | | | (8 | ) |
| | | 03/2022 | | | | | | 119 | | | | | | 8,933 | | | | 0 | | | | (1 | ) |
| | | | | | | |
JPM | | | 01/2022 | | | CNY | | | 2,768 | | | $ | | | 430 | | | | 0 | | | | (4 | ) |
| | | 01/2022 | | | PEN | | | 190 | | | | | | 46 | | | | 0 | | | | (2 | ) |
| | | 01/2022 | | | $ | | | 28 | | | IDR | | | 404,973 | | | | 0 | | | | 0 | |
| | | 02/2022 | | | | | | 274 | | | INR | | | 20,739 | | | | 4 | | | | 0 | |
| | | | | | | |
MYI | | | 01/2022 | | | | | | 76 | | | IDR | | | 1,103,237 | | | | 1 | | | | 0 | |
| | | | | | | |
RBC | | | 01/2022 | | | CAD | | | 50 | | | $ | | | 39 | | | | 0 | | | | 0 | |
| | | 02/2022 | | | $ | | | 137 | | | JPY | | | 15,400 | | | | 0 | | | | (3 | ) |
| | | | | | | |
SCX | | | 01/2022 | | | EUR | | | 9,908 | | | $ | | | 11,169 | | | | 0 | | | | (111 | ) |
| | | 01/2022 | | | $ | | | 11 | | | CLP | | | 8,589 | | | | 0 | | | | (1 | ) |
| | | 01/2022 | | | | | | 547 | | | CNY | | | 3,499 | | | | 2 | | | | 0 | |
| | | 02/2022 | | | EUR | | | 7,966 | | | $ | | | 9,064 | | | | 0 | | | | (10 | ) |
| | | 02/2022 | | | GBP | | | 1,113 | | | | | | 1,507 | | | | 1 | | | | 0 | |
| | | | | | | |
TOR | | | 03/2022 | | | $ | | | 641 | | | MXN | | | 13,584 | | | | 14 | | | | 0 | |
| | | | | | | |
UAG | | | 01/2022 | | | | | | 65 | | | RUB | | | 4,688 | | | | 0 | | | | (2 | ) |
| | | 03/2022 | | | | | | 148 | | | | | | 11,196 | | | | 0 | | | | (1 | ) |
| | | 11/2022 | | | | | | 16 | | | ZAR | | | 253 | | | | 0 | | | | (1 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Forward Foreign Currency Contracts | | | $ | 127 | | | $ | (253 | ) |
| | | | | | | | | |
| | | | | | | | | | | | |
| See Accompanying Notes | | | SEMIANNUAL REPORT | | | | | | | DECEMBER 31, 2021 | | | 47 |
| | | | | | | | |
| Schedule of Investments | | PIMCO Global StocksPLUS® & Income Fund | | (Cont.) | | | | |
SWAP AGREEMENTS:
CREDIT DEFAULT SWAPS ON ASSET-BACKED SECURITIES - SELL PROTECTION(1)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Reference Obligation | | Fixed
Receive Rate | | | Payment
Frequency | | Maturity
Date | | | Notional
Amount(2) | | | Premiums
Paid/(Received) | | | Unrealized
Appreciation/
(Depreciation) | | | Swap Agreements,
at Value(3) | |
| | Asset | | | Liability | |
| BOA | | Long Beach Mortgage Loan Trust 7.654% due 07/25/2033 | | | 6.250% | | | Monthly | | | 07/25/2033 | | | $ | | | | | 116 | | | $ | 0 | | | $ | 1 | | | $ | 1 | | | $ | 0 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION(1)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Index/Tranches | | Fixed
Receive Rate | | | Payment
Frequency | | Maturity
Date | | | Notional
Amount(2) | | | Premiums
Paid/(Received) | | | Unrealized
Appreciation/
(Depreciation) | | | Swap Agreements,
at Value(3) | |
| | Asset | | | Liability | |
| GST | | ABX.HE.AA.6-1 Index | | | 0.320 | % | | Monthly | | | 07/25/2045 | | | $ | | | | | 1,084 | | | $ | (215 | ) | | $ | 141 | | | $ | 0 | | | $ | (74 | ) |
| | ABX.HE.PENAAA.7-1 Index | | | 0.090 | | | Monthly | | | 08/25/2037 | | | | | | | | 734 | | | | (206 | ) | | | 123 | | | | 0 | | | | (83 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | $ | (421 | ) | | $ | 264 | | | $ | 0 | | | $ | (157 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
TOTAL RETURN SWAPS ON EQUITY INDICES
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Counterparty | | Pay/Receive(4) | | Underlying Reference | | # of Units | | | Financing Rate | | Payment
Frequency | | Maturity
Date | | Notional
Amount | | | Premiums
Paid/(Received) | | | Unrealized
Appreciation/
(Depreciation) | | | Swap Agreements,
at Value | |
| | Asset | | | Liability | |
JPM | | Receive | | NDDUEAFE Index | | | 688 | | | 0.023% (3-Month USD-LIBOR less a specified spread) | | Quarterly | | 05/11/2022 | | $ | | | | | 5,037 | | | $ | 0 | | | $ | 258 | | | $ | 258 | | | $ | 0 | |
| | | | | | | | | | | | |
MYI | | Receive | | NDDUEAFE Index | | | 1,089 | | | 0.078% (3-Month USD-LIBOR less a specified spread) | | Quarterly | | 06/01/2022 | | | | | | | 7,972 | | | | 0 | | | | 407 | | | | 407 | | | | 0 | |
| | Receive | | NDDUEAFE Index | | | 5,867 | | | 0.057% (1-Month USD-LIBOR less a specified spread) | | Maturity | | 10/12/2022 | | | | | | | 43,157 | | | | 0 | | | | 1,987 | | | | 1,987 | | | | 0 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | $ | 0 | | | $ | 2,652 | | | $ | 2,652 | | | $ | 0 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Swap Agreements | | | $ | (421 | ) | | $ | 2,917 | | | $ | 2,653 | | | $ | (157 | ) |
| | | | | | | | | | | | | | | | | |
FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER SUMMARY
The following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral pledged/(received) as of December 31, 2021:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Financial Derivative Assets | | | | | | Financial Derivative Liabilities | | | | | | | | | | |
| Counterparty | | Forward
Foreign
Currency
Contracts | | | Purchased
Options | | | Swap
Agreements | | | Total
Over the
Counter | | | | | | Forward
Foreign
Currency
Contracts | | | Written
Options | | | Swap
Agreements | | | Total
Over the
Counter | | | Net Market
Value of OTC
Derivatives | | | Collateral
Pledged/
(Received) | | | Net
Exposure(5) | |
BOA | | $ | 1 | | | $ | 0 | | | $ | 1 | | | $ | 2 | | | | | | | $ | (5 | ) | | $ | 0 | | | $ | 0 | | | $ | (5 | ) | | $ | (3 | ) | | $ | 0 | | | $ | (3 | ) |
BPS | | | 13 | | | | 0 | | | | 0 | | | | 13 | | | | | | | | (44 | ) | | | 0 | | | | 0 | | | | (44 | ) | | | (31 | ) | | | 0 | | | | (31 | ) |
CBK | | | 28 | | | | 0 | | | | 0 | | | | 28 | | | | | | | | (13 | ) | | | 0 | | | | 0 | | | | (13 | ) | | | 15 | | | | 0 | | | | 15 | |
DUB | | | 2 | | | | 0 | | | | 0 | | | | 2 | | | | | | | | (3 | ) | | | 0 | | | | 0 | | | | (3 | ) | | | (1 | ) | | | 0 | | | | (1 | ) |
FBF | | | 32 | | | | 0 | | | | 0 | | | | 32 | | | | | | | | (30 | ) | | | 0 | | | | 0 | | | | (30 | ) | | | 2 | | | | 0 | | | | 2 | |
GLM | | | 22 | | | | 0 | | | | 0 | | | | 22 | | | | | | | | (13 | ) | | | 0 | | | | 0 | | | | (13 | ) | | | 9 | | | | 0 | | | | 9 | |
GST | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | | | | | 0 | | | | 0 | | | | (157 | ) | | | (157 | ) | | | (157 | ) | | | 375 | | | | 218 | |
HUS | | | 7 | | | | 0 | | | | 0 | | | | 7 | | | | | | | | (10 | ) | | | 0 | | | | 0 | | | | (10 | ) | | | (3 | ) | | | 0 | | | | (3 | ) |
JPM | | | 4 | | | | 0 | | | | 258 | | | | 262 | | | | | | | | (6 | ) | | | 0 | | | | 0 | | | | (6 | ) | | | 256 | | | | (260 | ) | | | (4 | ) |
MYI | | | 1 | | | | 0 | | | | 2,394 | | | | 2,395 | | | | | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 2,395 | | | | (2,339 | ) | | | 56 | |
RBC | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | | | | | (3 | ) | | | 0 | | | | 0 | | | | (3 | ) | | | (3 | ) | | | 0 | | | | (3 | ) |
SCX | | | 3 | | | | 0 | | | | 0 | | | | 3 | | | | | | | | (122 | ) | | | 0 | | | | 0 | | | | (122 | ) | | | (119 | ) | | | 0 | | | | (119 | ) |
TOR | | | 14 | | | | 0 | | | | 0 | | | | 14 | | | | | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 14 | | | | 0 | | | | 14 | |
UAG | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | | | | | (4 | ) | | | 0 | | | | 0 | | | | (4 | ) | | | (4 | ) | | | 0 | | | | (4 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Over the Counter | | $ | 127 | | | $ | 0 | | | $ | 2,653 | | | $ | 2,780 | | | | | | | $ | (253 | ) | | $ | 0 | | | $ | (157 | ) | | $ | (410 | ) | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (q) | Securities with an aggregate market value of $375 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2021. |
| (1) | If the Fund is a 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. |
| | | | | | |
| 48 | | PIMCO CLOSED-END FUNDS | | | See Accompanying Notes | |
| | | | | | | | |
| | | | | | December 31, 2021 | | (Unaudited) |
| (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 serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| (4) | Receive represents that the Fund receives payments for any positive net return on the underlying reference. The Fund makes payments for any negative net return on such underlying reference. Pay represents that the Fund receives payments for any negative net return on the underlying reference. The Fund makes payments for any positive net return on such underlying reference. |
| (5) | Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information. |
FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS
The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal and Other Risks, in the Notes to Financial Statements on risks of the Fund.
Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of December 31, 2021:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Derivatives not accounted for as hedging instruments | |
| | | Commodity
Contracts | | | Credit
Contracts | | | Equity
Contracts | | | Foreign
Exchange
Contracts | | | Interest
Rate Contracts | | | Total | |
Financial Derivative Instruments - Assets | |
Exchange-traded or centrally cleared | |
Purchased Options | | $ | 0 | | | $ | 0 | | | $ | 119 | | | $ | 0 | | | $ | 0 | | | $ | 119 | |
Swap Agreements | | | 0 | | | | 3 | | | | 0 | | | | 0 | | | | 45 | | | | 48 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 3 | | | $ | 119 | | | $ | 0 | | | $ | 45 | | | $ | 167 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Over the counter | |
Forward Foreign Currency Contracts | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 127 | | | $ | 0 | | | $ | 127 | |
Swap Agreements | | | 0 | | | | 1 | | | | 2,652 | | | | 0 | | | | 0 | | | | 2,653 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 1 | | | $ | 2,652 | | | $ | 127 | | | $ | 0 | | | $ | 2,780 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 4 | | | $ | 2,771 | | | $ | 127 | | | $ | 45 | | | $ | 2,947 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
Financial Derivative Instruments - Liabilities | |
Exchange-traded or centrally cleared | |
Written Options | | $ | 0 | | | $ | 0 | | | $ | 1,305 | | | $ | 0 | | | $ | 0 | | | $ | 1,305 | |
Futures | | | 0 | | | | 0 | | | | 169 | | | | 0 | | | | 0 | | | | 169 | |
Swap Agreements | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 68 | | | | 68 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 0 | | | $ | 1,474 | | | $ | 0 | | | $ | 68 | | | $ | 1,542 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Over the counter | |
Forward Foreign Currency Contracts | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 253 | | | $ | 0 | | | $ | 253 | |
Swap Agreements | | | 0 | | | | 157 | | | | 0 | | | | 0 | | | | 0 | | | | 157 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 157 | | | $ | 0 | | | $ | 253 | | | $ | 0 | | | $ | 410 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 157 | | | $ | 1,474 | | | $ | 253 | | | $ | 68 | | | $ | 1,952 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
The effect of Financial Derivative Instruments on the Statements of Operations for the period ended December 31, 2021:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Derivatives not accounted for as hedging instruments | |
| | | Commodity
Contracts | | | Credit
Contracts | | | Equity
Contracts | | | Foreign
Exchange
Contracts | | | Interest
Rate Contracts | | | Total | |
Net Realized Gain (Loss) on Financial Derivative Instruments | |
Exchange-traded or centrally cleared | |
Purchased Options | | $ | 0 | | | $ | 0 | | | $ | (1,937 | ) | | $ | 0 | | | $ | 0 | | | $ | (1,937 | ) |
Written Options | | | 0 | | | | 0 | | | | (1,345 | ) | | | 0 | | | | 0 | | | | (1,345 | ) |
Futures | | | 0 | | | | 0 | | | | 6,116 | | | | 0 | | | | 0 | | | | 6,116 | |
Swap Agreements | | | 0 | | | | 35 | | | | 0 | | | | 0 | | | | (165 | ) | | | (130 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 35 | | | $ | 2,834 | | | $ | 0 | | | $ | (165 | ) | | $ | 2,704 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Over the counter | |
Forward Foreign Currency Contracts | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 866 | | | $ | 0 | | | $ | 866 | |
Purchased Options | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | (1 | ) | | | (1 | ) |
Swap Agreements | | | 0 | | | | 75 | | | | 6,429 | | | | 0 | | | | 0 | | | | 6,504 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 75 | | | $ | 6,429 | | | $ | 866 | | | $ | (1 | ) | | $ | 7,369 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 110 | | | $ | 9,263 | | | $ | 866 | | | $ | (166 | ) | | $ | 10,073 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
| See Accompanying Notes | | | SEMIANNUAL REPORT | | | | | | | DECEMBER 31, 2021 | | | 49 |
| | | | | | | | |
| Schedule of Investments | | PIMCO Global StocksPLUS® & Income Fund | | (Cont.) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Derivatives not accounted for as hedging instruments | |
| | | Commodity
Contracts | | | Credit
Contracts | | | Equity
Contracts | | | Foreign
Exchange
Contracts | | | Interest
Rate Contracts | | | Total | |
Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative Instruments | |
Exchange-traded or centrally cleared | |
Purchased Options | | $ | 0 | | | $ | 0 | | | $ | (195 | ) | | $ | 0 | | | $ | 0 | | | $ | (195 | ) |
Written Options | | | 0 | | | | 0 | | | | 147 | | | | 0 | | | | 0 | | | | 147 | |
Futures | | | 0 | | | | 0 | | | | 267 | | | | 0 | | | | 0 | | | | 267 | |
Swap Agreements | | | 0 | | | | 105 | | | | 0 | | | | 0 | | | | (267 | ) | | | (162 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 105 | | | $ | 219 | | | $ | 0 | | | $ | (267 | ) | | $ | 57 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Over the counter | |
Forward Foreign Currency Contracts | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | (550 | ) | | $ | 0 | | | $ | (550 | ) |
Swap Agreements | | | 0 | | | | 14 | | | | (5,130 | ) | | | 0 | | | | 0 | | | | (5,116 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 14 | | | $ | (5,130 | ) | | $ | (550 | ) | | $ | 0 | | | $ | (5,666 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 119 | | | $ | (4,911 | ) | | $ | (550 | ) | | $ | (267 | ) | | $ | (5,609 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2021 in valuing the Fund’s assets and liabilities:
| | | | | | | | | | | | | | | | |
| Category and Subcategory | | Level 1 | | | Level 2 | | | Level 3 | | | Fair Value at
12/31/2021 | |
Investments in Securities, at Value | |
Loan Participations and Assignments | | $ | 0 | | | $ | 26,237 | | | $ | 4,113 | | | $ | 30,350 | |
Corporate Bonds & Notes | |
Banking & Finance | | | 0 | | | | 13,013 | | | | 1,454 | | | | 14,467 | |
Industrials | | | 0 | | | | 44,085 | | | | 4,309 | | | | 48,394 | |
Utilities | | | 0 | | | | 6,328 | | | | 0 | | | | 6,328 | |
Convertible Bonds & Notes | |
Banking & Finance | | | 0 | | | | 175 | | | | 0 | | | | 175 | |
Industrials | | | 0 | | | | 1,847 | | | | 0 | | | | 1,847 | |
Municipal Bonds & Notes | |
Illinois | | | 0 | | | | 14 | | | | 0 | | | | 14 | |
Puerto Rico | | | 0 | | | | 2,136 | | | | 0 | | | | 2,136 | |
West Virginia | | | 0 | | | | 980 | | | | 0 | | | | 980 | |
U.S. Government Agencies | | | 0 | | | | 43,517 | | | | 436 | | | | 43,953 | |
Non-Agency Mortgage-Backed Securities | | | 0 | | | | 17,749 | | | | 0 | | | | 17,749 | |
Asset-Backed Securities | | | 0 | | | | 8,835 | | | | 3,112 | | | | 11,947 | |
Sovereign Issues | | | 0 | | | | 3,457 | | | | 0 | | | | 3,457 | |
Common Stocks | |
Communication Services | | | 806 | | | | 0 | | | | 338 | | | | 1,144 | |
Energy | | | 106 | | | | 0 | | | | 7 | | | | 113 | |
Industrials | | | 0 | | | | 8 | | | | 75 | | | | 83 | |
Materials | | | 0 | | | | 0 | | | | 700 | | | | 700 | |
Warrants | |
Industrials | | | 0 | | | | 0 | | | | 83 | | | | 83 | |
Information Technology | | | 0 | | | | 0 | | | | 1,302 | | | | 1,302 | |
Preferred Securities | |
Banking & Finance | | | 0 | | | | 5,196 | | | | 0 | | | | 5,196 | |
Industrials | | | 0 | | | | 28 | | | | 4,991 | | | | 5,019 | |
Real Estate Investment Trusts | |
Real Estate | | | 617 | | | | 0 | | | | 0 | | | | 617 | |
| | | | | | | | | | | | | | | | |
| Category and Subcategory | | Level 1 | | | Level 2 | | | Level 3 | | | Fair Value at
12/31/2021 | |
Short-Term Instruments | |
U.S. Treasury Bills | | $ | 0 | | | $ | 14,915 | | | $ | 0 | | | $ | 14,915 | |
U.S. Treasury Cash Management Bills | | | 0 | | | | 7,199 | | | | 0 | | | | 7,199 | |
| | | | | | | | | | | | | | | | |
| | | | |
Total Investments | | $ | 1,529 | | | $ | 195,719 | | | $ | 20,920 | | | $ | 218,168 | |
| | | | | | | | | | | | | | | | |
|
Short Sales, at Value - Liabilities | |
U.S. Government Agencies | | $ | 0 | | | $ | (2,724 | ) | | $ | 0 | | | $ | (2,724 | ) |
| | | | | | | | | | | | | | | | |
|
Financial Derivative Instruments - Assets | |
Exchange-traded or centrally cleared | | | 119 | | | | 48 | | | | 0 | | | | 167 | |
Over the counter | | | 0 | | | | 2,780 | | | | 0 | | | | 2,780 | |
| | | | | | | | | | | | | | | | |
| | $ | 119 | | | $ | 2,828 | | | $ | 0 | | | $ | 2,947 | |
| | | | | | | | | | | | | | | | |
|
Financial Derivative Instruments - Liabilities | |
Exchange-traded or centrally cleared | | | (1,474 | ) | | | (68 | ) | | | 0 | | | | (1,542 | ) |
Over the counter | | | 0 | | | | (410 | ) | | | 0 | | | | (410 | ) |
| | | | | | | | | | | | | | | | |
| | $ | (1,474 | ) | | $ | (478 | ) | | $ | 0 | | | $ | (1,952 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
Total Financial Derivative Instruments | | $ | (1,355 | ) | | $ | 2,350 | | | $ | 0 | | | $ | 995 | |
| | | | | | | | | | | | | | | | |
| | | | |
Totals | | $ | 174 | | | $ | 195,345 | | | $ | 20,920 | | | $ | 216,439 | |
| | | | | | | | | | | | | | | | |
The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended December 31, 2021:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Category and Subcategory | | Beginning
Balance
at 06/30/2021 | | | Net
Purchases | | | Net
Sales/
Settlements | | | Accrued
Discounts/
(Premiums) | | | Realized
Gain/(Loss) | | | Net Change in
Unrealized
Appreciation/
(Depreciation)(1) | | | Transfers into
Level 3 | | | Transfers out
of Level 3 | | | Ending
Balance
at 12/31/2021 | | | Net Change in
Unrealized
Appreciation/
(Depreciation)
on Investments
Held at
12/31/2021(1) | |
Investments in Securities, at Value | |
Loan Participations and Assignments | | $ | 1,368 | | | $ | 5,290 | | | $ | (2,235 | ) | | $ | (27 | ) | | $ | (70 | ) | | $ | 136 | | | $ | 0 | | | $ | (349 | ) | | $ | 4,113 | | | $ | (21 | ) |
Corporate Bonds & Notes | |
Banking & Finance | | | 1,405 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 49 | | | | 0 | | | | 0 | | | | 1,454 | | | | 49 | |
Industrials | | | 0 | | | | 2,525 | | | | (25 | ) | | | 0 | | | | 0 | | | | (3 | ) | | | 1,812 | | | | 0 | | | | 4,309 | | | | (3 | ) |
U.S. Government Agencies | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 436 | | | | 0 | | | | 436 | | | | 0 | |
Asset-Backed Securities | | | 3,011 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 101 | | | | 0 | | | | 0 | | | | 3,112 | | | | 101 | |
| | | | | | |
| 50 | | PIMCO CLOSED-END FUNDS | | | See Accompanying Notes | |
| | | | | | | | |
| | | | | | December 31, 2021 | | (Unaudited) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Category and Subcategory | | Beginning
Balance
at 06/30/2021 | | | Net
Purchases | | | Net
Sales/
Settlements | | | Accrued
Discounts/
(Premiums) | | | Realized
Gain/(Loss) | | | Net Change in
Unrealized
Appreciation/
(Depreciation)(1) | | | Transfers into
Level 3 | | | Transfers out
of Level 3 | | | Ending
Balance
at 12/31/2021 | | | Net Change in
Unrealized
Appreciation/
(Depreciation)
on Investments
Held at
12/31/2021(1) | |
Common Stocks | |
Communication Services | | $ | 432 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | (94 | ) | | $ | 0 | | | $ | 0 | | | $ | 338 | | | $ | (94 | ) |
Energy | | | 0 | | | | 7 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 7 | | | | 0 | |
Industrials | | | 57 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 18 | | | | 0 | | | | 0 | | | | 75 | | | | 18 | |
Materials(2) | | | 709 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | (9 | ) | | | 0 | | | | 0 | | | | 700 | | | | (9 | ) |
Warrants | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Industrials | | | 82 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 1 | | | | 0 | | | | 0 | | | | 83 | | | | 2 | |
Information Technology | | | 1,172 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 130 | | | | 0 | | | | 0 | | | | 1,302 | | | | 130 | |
Preferred Securities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Industrials | | | 4,291 | | | | 0 | | | | (104 | ) | | | 0 | | | | 0 | | | | 804 | | | | 0 | | | | 0 | | | | 4,991 | | | | 804 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Totals | | $ | 12,527 | | | $ | 7,822 | | | $ | (2,364 | ) | | $ | (27 | ) | | $ | (70 | ) | | $ | 1,134 | | | $ | 2,248 | | | $ | (349 | ) | | $ | 20,920 | | | $ | 977 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:
| | | | | | | | | | | | | | | | | | | | |
| Category and Subcategory | | Ending
Balance
at 12/31/2021 | | | Valuation
Technique | | Unobservable
Inputs | | | | | (% Unless Noted Otherwise) | |
| | Input Value(s)
| | | Weighted
Average | |
Investments in Securities, at Value | |
Loan Participations and Assignments | | $ | 3,915 | | | Proxy Pricing | | Base Price | | | | | | | 99.610-100.000 | | | | 99.722 | |
| | | 198 | | | Third Party Vendor | | Broker Quote | | | | | | | 59.500-100.125 | | | | 99.259 | |
Corporate Bonds & Notes | |
Banking & Finance | | | 1,454 | | | Discounted Cash Flow | | Discount Rate | | | | | | | 4.560 | | | | — | |
Industrials | | | 1,787 | | | Reference Instrument | | Weighted Average | | | BRL | | | | 50.472 | | | | — | |
| | | 2,522 | | | Proxy Pricing | | Base Price | | | | | | | 100.000 | | | | — | |
U.S. Government Agencies | | | 436 | | | Other Valuation Techniques(3) | | — | | | | | | | — | | | | — | |
Asset-Backed Securities | | | 3,112 | | | Proxy Pricing | | Base Price | | | | | | | 110.300-40,000.000 | | | | 14,048.859 | |
Common Stocks | |
Communication Services | | | 338 | | | Other Valuation Techniques(3) | | — | | | | | | | — | | | | — | |
Energy | | | 7 | | | Other Valuation Techniques(3) | | — | | | | | | | — | | | | — | |
Industrials | | | 75 | | | Discounted Cash Flow | | Discount Rate | | | | | | | 10.750 | | | | — | |
Materials | | | 700 | | | Comparable Companies | | EBITDA Multiple | | | X | | | | 9.900 | | | | — | |
Warrants | |
Industrials | | | 83 | | | Other Valuation Techniques(3) | | — | | | | | | | — | | | | — | |
Information Technology | | | 1,302 | | | Comparable Companies | | EBITDA Multiple | | | X | | | | 4.375 | | | | — | |
Preferred Securities | | | | | | | | | | | | |
Industrials | | | 4,289 | | | Comparable Companies | | EBITDA Multiple | | | X/X | | | | 11.700/9.100 | | | | | |
| | | 702 | | | Discounted Cash Flow/
Comparable Companies | | Discount Rate/
BV Multiple | | | %/X | | | | 19.850/0.290 | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total | | $ | 20,920 | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| (1) | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at December 31, 2021 may be due to an investment no longer held or categorized as Level 3 at period end. |
| (2) | Sector type updated from Financials to Materials since prior fiscal year end. |
| (3) | Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not considered significant to the Fund. |
| | | | | | | | | | | | |
| See Accompanying Notes | | | SEMIANNUAL REPORT | | | | | | | DECEMBER 31, 2021 | | | 51 |
| | | | | | | | |
| Schedule of Investments | | PIMCO Strategic Income Fund, Inc. | | | | | | |
(Amounts in thousands*, except number of shares, contracts, units and ounces, if any)
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
| INVESTMENTS IN SECURITIES 269.4% | |
| |
| LOAN PARTICIPATIONS AND ASSIGNMENTS 21.2% | |
|
Altar BidCo, Inc. | |
7.000% due 11/04/2029 | | $ | | | 700 | | | $ | | | 705 | |
|
Caesars Resort Collection LLC | |
2.854% (LIBOR03M + 2.750%) due 12/23/2024 ~ | | | | | 100 | | | | | | 99 | |
|
Carnival Corp. | |
4.000% (LIBOR03M + 3.250%) due 10/18/2028 ~ | | | | | 465 | | | | | | 461 | |
|
Envision Healthcare Corp. | |
3.854% (LIBOR03M + 3.750%) due 10/10/2025 ~ | | | | | 8,366 | | | | | | 6,757 | |
|
Forbes Energy Services LLC (7.000% PIK) | |
7.000% due 06/30/2022 «(d) | | | | | 80 | | | | | | 0 | |
|
Gateway Casinos & Entertainment Ltd. | |
TBD% (LIBOR03M + 8.000%) due 10/15/2027 ~ | | | | | 2,700 | | | | | | 2,701 | |
8.750% due 10/22/2027 « | | CAD | | | 589 | | | | | | 466 | |
|
II-VI, Inc. | |
3.500% (LIBOR03M + 2.750%) due 12/01/2028 ~ | | $ | | | 360 | | | | | | 360 | |
|
Instant Brands Holdings, Inc. | |
5.750% (LIBOR03M + 5.000%) due 04/12/2028 «~ | | | | | 2,825 | | | | | | 2,712 | |
|
Intelsat Jackson Holdings S.A. | |
4.250% due 12/01/2028 « | | | | | 650 | | | | | | 650 | |
5.392% - 5.750% (LIBOR03M + 4.750%) due 10/13/2022 ~µ | | | | | 710 | | | | | | 713 | |
8.000% (PRIME + 4.750%) due 11/27/2023 ~ | | | | | 10 | | | | | | 10 | |
|
Lealand Finance Company B.V. | |
3.104% (LIBOR03M + 3.000%) due 06/28/2024 «~ | | | | | 28 | | | | | | 16 | |
|
Lealand Finance Company B.V. (1.104% Cash and 3.000% PIK) | |
4.104% (LIBOR03M + 1.000%) due 06/30/2025 ~(d) | | | | | 184 | | | | | | 82 | |
|
Ortho-Clinical Diagnostics S.A. | |
3.081% (LIBOR03M + 3.000%) due 06/30/2025 ~ | | | | | 186 | | | | | | 186 | |
|
Promotora de Informaciones S.A. | |
TBD% (EUR003M + 4.500%) due 11/30/2022 ~ | | EUR | | | 2,433 | | | | | | 2,700 | |
|
PUG LLC | |
3.604% (LIBOR03M + 3.500%) due 02/12/2027 ~ | | $ | | | 16 | | | | | | 15 | |
|
Sequa Mezzanine Holdings LLC | |
7.750% (LIBOR03M + 6.750%) due 11/28/2023 ~ | | | | | 162 | | | | | | 164 | |
11.750% (LIBOR03M + 10.750%) due 04/28/2024 ~ | | | | | 8,329 | | | | | | 8,327 | |
|
SkyMiles IP Ltd. | |
4.750% (LIBOR03M + 3.750%) due 10/20/2027 ~ | | | | | 3,100 | | | | | | 3,286 | |
|
Softbank Vision Fund | |
5.000% due 12/21/2025 « | | | | | 1,900 | | | | | | 1,901 | |
|
Steenbok Lux Finco 2 SARL | |
TBD% due 12/31/2022 | | EUR | | | 4,000 | | | | | | 4,344 | |
|
Steenbok Lux Finco 2 SARL (10.750% PIK) | |
10.750% (EUR003M) due 12/29/2022 ~(d) | | | | | 4,505 | | | | | | 4,673 | |
|
Steenbok Lux Finco 2 SARL (7.875% PIK) | |
7.875% (EUR003M) due 12/29/2022 ~(d) | | | | | 557 | | | | | | 638 | |
|
Syniverse Holdings, Inc. | |
4.500% due 10/15/2028 « | | $ | | | 6,054 | | | | | | 6,027 | |
6.000% (LIBOR03M + 5.000%) due 03/09/2023 ~ | | | | | 5,808 | | | | | | 5,776 | |
|
Team Health Holdings, Inc. | |
3.750% (LIBOR03M + 2.750%) due 02/06/2024 ~ | | | | | 3,275 | | | | | | 3,145 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
|
Univision Communications, Inc. | |
3.750% (LIBOR03M + 2.750%) due 03/15/2024 ~ | | $ | | | 1,842 | | | $ | | | 1,842 | |
|
Westmoreland Mining Holdings LLC (15.000% PIK) | |
15.000% due 03/15/2029 (d) | | | | | 6 | | | | | | 2 | |
|
Windstream Services LLC | |
7.250% (LIBOR03M + 6.250%) due 09/21/2027 ~ | | | | | 17 | | | | | | 17 | |
| | | | | | | | | | | | |
Total Loan Participations and Assignments (Cost $58,328) | | | 58,775 | |
| | | | |
| |
| CORPORATE BONDS & NOTES 69.7% | |
| |
| BANKING & FINANCE 16.0% | |
|
Ally Financial, Inc. | |
8.000% due 11/01/2031 | | | | | 1 | | | | | | 1 | |
|
American Assets Trust LP | |
3.375% due 02/01/2031 (o) | | | | | 600 | | | | | | 613 | |
|
Asteroid Private Merger Sub, Inc. | |
8.500% due 11/15/2029 (o) | | | | | 2,400 | | | | | | 2,519 | |
|
Banca Monte dei Paschi di Siena SpA | |
1.875% due 01/09/2026 | | EUR | | | 400 | | | | | | 444 | |
2.625% due 04/28/2025 (o) | | | | | 2,100 | | | | | | 2,398 | |
3.625% due 09/24/2024 (o) | | | | | 1,300 | | | | | | 1,511 | |
5.375% due 01/18/2028 • | | | | | 400 | | | | | | 361 | |
8.000% due 01/22/2030 •(o) | | | | | 1,304 | | | | | | 1,241 | |
8.500% due 09/10/2030 • | | | | | 400 | | | | | | 392 | |
10.500% due 07/23/2029 (o) | | | | | 1,360 | | | | | | 1,477 | |
|
Banco de Credito del Peru | |
4.650% due 09/17/2024 | | PEN | | | 400 | | | | | | 98 | |
|
Bank of Nova Scotia | |
4.900% due 06/04/2025 •(k)(l)(o) | | $ | | | 1,811 | | | | | | 1,945 | |
|
Barclays PLC | |
6.375% due 12/15/2025 •(k)(l) | | GBP | | | 200 | | | | | | 294 | |
7.125% due 06/15/2025 •(k)(l)(o) | | | | | 900 | | | | | | 1,344 | |
7.875% due 03/15/2022 •(k)(l)(o) | | $ | | | 200 | | | | | | 203 | |
|
BNP Paribas S.A. | |
4.625% due 02/25/2031 •(k)(l)(o) | | | | | 1,900 | | | | | | 1,910 | |
|
Corestate Capital Holding S.A. | |
3.500% due 04/15/2023 (o) | | EUR | | | 600 | | | | | | 602 | |
|
Country Garden Holdings Co. Ltd. | |
6.150% due 09/17/2025 | | $ | | | 200 | | | | | | 195 | |
|
Credit Suisse Group AG | |
6.375% due 08/21/2026 •(k)(l)(o) | | | | | 600 | | | | | | 648 | |
7.500% due 07/17/2023 •(k)(l)(o) | | | | | 200 | | | | | | 212 | |
|
Erste Group Bank AG | |
4.250% due 10/15/2027 •(k)(l)(o) | | EUR | | | 1,000 | | | | | | 1,194 | |
|
Essential Properties LP | |
2.950% due 07/15/2031 (o) | | $ | | | 100 | | | | | | 99 | |
|
Fairfax India Holdings Corp. | |
5.000% due 02/26/2028 (o) | | | | | 2,900 | | | | | | 2,901 | |
|
Fortress Transportation & Infrastructure Investors LLC | |
6.500% due 10/01/2025 (o) | | | | | 100 | | | | | | 103 | |
|
Future Diamond Ltd. | |
4.250% due 09/22/2022 | | | | | 200 | | | | | | 189 | |
|
GLP Capital LP | |
3.250% due 01/15/2032 | | | | | 100 | | | | | | 101 | |
|
Host Hotels & Resorts LP | |
2.900% due 12/15/2031 | | | | | 100 | | | | | | 97 | |
|
HSBC Holdings PLC | |
4.600% due 12/17/2030 •(k)(l) | | | | | 200 | | | | | | 200 | |
4.700% due 03/09/2031 •(k)(l) | | | | | 200 | | | | | | 200 | |
5.875% due 09/28/2026 •(k)(l) | | GBP | | | 400 | | | | | | 585 | |
6.000% due 05/22/2027 •(k)(l)(o) | | $ | | | 600 | | | | | | 647 | |
|
Huarong Finance Co. Ltd. | |
4.625% due 06/03/2026 | | | | | 200 | | | | | | 207 | |
4.750% due 04/27/2027 | | | | | 200 | | | | | | 207 | |
|
ING Groep NV | |
5.750% due 11/16/2026 •(k)(l)(o) | | | | | 200 | | | | | | 215 | |
|
MGM Growth Properties Operating Partnership LP | |
4.500% due 09/01/2026 | | | | | 100 | | | | | | 108 | |
5.750% due 02/01/2027 | | | | | 100 | | | | | | 113 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
|
Natwest Group PLC | |
4.600% due 06/28/2031 •(k)(l)(o) | | $ | | | 800 | | | $ | | | 786 | |
8.000% due 08/10/2025 •(k)(l)(o) | | | | | 300 | | | | | | 349 | |
|
New Metro Global Ltd. | |
5.000% due 08/08/2022 | | | | | 200 | | | | | | 189 | |
|
Newmark Group, Inc. | |
6.125% due 11/15/2023 | | | | | 52 | | | | | | 56 | |
|
Pinnacol Assurance | |
8.625% due 06/25/2034 «(m) | | | | | 2,600 | | | | | | 3,437 | |
|
Sabra Health Care LP | |
3.200% due 12/01/2031 (o) | | | | | 600 | | | | | | 587 | |
|
Sberbank of Russia Via SB Capital S.A. | |
6.125% due 02/07/2022 (o) | | | | | 2,000 | | | | | | 2,007 | |
|
Seazen Group Ltd. | |
6.450% due 06/11/2022 | | | | | 200 | | | | | | 188 | |
|
Societe Generale S.A. | |
7.375% due 10/04/2023 •(k)(l)(o) | | | | | 200 | | | | | | 215 | |
|
Standard Chartered PLC | |
4.750% due 01/14/2031 •(k)(l)(o) | | | | | 1,000 | | | | | | 993 | |
|
Tesco Property Finance PLC | |
5.411% due 07/13/2044 | | GBP | | | 93 | | | | | | 160 | |
5.661% due 10/13/2041 | | | | | 98 | | | | | | 171 | |
5.744% due 04/13/2040 | | | | | 106 | | | | | | 186 | |
5.801% due 10/13/2040 (o) | | | | | 448 | | | | | | 787 | |
|
UBS Group AG | |
5.125% due 07/29/2026 •(k)(l)(o) | | $ | | | 200 | | | | | | 213 | |
|
UniCredit SpA | |
7.830% due 12/04/2023 (o) | | | | | 2,240 | | | | | | 2,499 | |
|
Uniti Group LP | |
6.000% due 01/15/2030 (o) | | | | | 2,738 | | | | | | 2,639 | |
7.875% due 02/15/2025 (o) | | | | | 2,954 | | | | | | 3,087 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 44,123 | |
| | | | | | | | | | | | |
| |
| INDUSTRIALS 44.7% | |
|
AA Bond Co. Ltd. | |
5.500% due 07/31/2050 (o) | | GBP | | | 2,500 | | | | | | 3,766 | |
|
Air Canada Pass-Through Trust | |
3.600% due 09/15/2028 (o) | | $ | | | 2,013 | | | | | | 2,033 | |
|
Altice Financing S.A. | |
4.250% due 08/15/2029 (o) | | EUR | | | 405 | | | | | | 452 | |
5.750% due 08/15/2029 (o) | | $ | | | 945 | | | | | | 937 | |
|
American Airlines Pass-Through Trust | |
3.000% due 04/15/2030 | | | | | 154 | | | | | | 154 | |
3.350% due 04/15/2031 (o) | | | | | 973 | | | | | | 992 | |
3.575% due 07/15/2029 | | | | | 381 | | | | | | 388 | |
3.700% due 04/01/2028 (o) | | | | | 625 | | | | | | 636 | |
|
Associated Materials LLC | |
9.000% due 09/01/2025 (o) | | | | | 1,042 | | | | | | 1,116 | |
|
Boeing Co. | |
5.705% due 05/01/2040 (o) | | | | | 586 | | | | | | 754 | |
5.805% due 05/01/2050 (o) | | | | | 557 | | | | | | 756 | |
5.930% due 05/01/2060 (o) | | | | | 878 | | | | | | 1,222 | |
6.125% due 02/15/2033 (o) | | | | | 716 | | | | | | 908 | |
|
Bombardier, Inc. | |
7.125% due 06/15/2026 (o) | | | | | 1,785 | | | | | | 1,854 | |
7.500% due 12/01/2024 (o) | | | | | 430 | | | | | | 449 | |
7.500% due 03/15/2025 | | | | | 6 | | | | | | 6 | |
7.875% due 04/15/2027 (o) | | | | | 1,296 | | | | | | 1,346 | |
|
Broadcom, Inc. | |
3.137% due 11/15/2035 (o) | | | | | 200 | | | | | | 201 | |
3.187% due 11/15/2036 (o) | | | | | 1,110 | | | | | | 1,110 | |
3.469% due 04/15/2034 (o) | | | | | 100 | | | | | | 105 | |
3.500% due 02/15/2041 (o) | | | | | 800 | | | | | | 822 | |
3.750% due 02/15/2051 (o) | | | | | 300 | | | | | | 314 | |
4.150% due 11/15/2030 (o) | | | | | 190 | | | | | | 211 | |
|
CDW LLC | |
2.670% due 12/01/2026 (o) | | | | | 800 | | | | | | 821 | |
3.276% due 12/01/2028 (o) | | | | | 200 | | | | | | 205 | |
3.569% due 12/01/2031 (o) | | | | | 700 | | | | | | 730 | |
|
Cellnex Finance Co. S.A. | |
3.875% due 07/07/2041 (o) | | | | | 1,400 | | | | | | 1,341 | |
|
CGG S.A. | |
7.750% due 04/01/2027 | | EUR | | | 416 | | | | | | 472 | |
| | | | | | |
| 52 | | PIMCO CLOSED-END FUNDS | | | See Accompanying Notes | |
| | | | | | | | |
| | | | | | December 31, 2021 | | (Unaudited) |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
8.750% due 04/01/2027 (o) | | $ | | | 4,612 | | | $ | | | 4,561 | |
|
Charter Communications Operating LLC | |
3.500% due 06/01/2041 (o) | | | | | 500 | | | | | | 488 | |
3.850% due 04/01/2061 (o) | | | | | 300 | | | | | | 284 | |
3.900% due 06/01/2052 (o) | | | | | 2,900 | | | | | | 2,914 | |
4.400% due 12/01/2061 (o) | | | | | 4,700 | | | | | | 4,874 | |
4.800% due 03/01/2050 (o) | | | | | 105 | | | | | | 118 | |
|
Community Health Systems, Inc. | |
8.000% due 03/15/2026 (o) | | | | | 294 | | | | | | 309 | |
|
CVS Pass-Through Trust | |
7.507% due 01/10/2032 (o) | | | | | 640 | | | | | | 793 | |
|
Delta Air Lines, Inc. | |
7.375% due 01/15/2026 (o) | | | | | 785 | | | | | | 925 | |
|
Energy Transfer LP | |
5.300% due 04/01/2044 (o) | | | | | 100 | | | | | | 115 | |
|
Envision Healthcare Corp. | |
8.750% due 10/15/2026 (o) | | | | | 2,108 | | | | | | 1,214 | |
|
Exela Intermediate LLC | |
11.500% due 07/15/2026 | | | | | 48 | | | | | | 34 | |
|
Ferroglobe PLC | |
9.375% due 12/31/2025 (m)(o) | | | | | 1,000 | | | | | | 1,035 | |
9.375% due 12/31/2025 (m) | | | | | 400 | | | | | | 413 | |
|
Frontier Communications Holdings LLC | |
6.000% due 01/15/2030 (o) | | | | | 706 | | | | | | 711 | |
|
Gazprom PJSC Via Gaz Capital S.A. | |
8.625% due 04/28/2034 (o) | | | | | 1,710 | | | | | | 2,419 | |
|
HollyFrontier Corp. | |
4.500% due 10/01/2030 (o) | | | | | 4,029 | | | | | | 4,345 | |
|
II-VI, Inc. | |
5.000% due 12/15/2029 | | | | | 87 | | | | | | 89 | |
|
Intelsat Connect Finance S.A. | |
9.500% due 02/15/2023 ^(e)(o) | | | | | 105 | | | | | | 16 | |
|
Intelsat Jackson Holdings S.A. | |
1.000% due 12/01/2029 «(c) | | | | | 7,256 | | | | | | 7,249 | |
5.500% due 08/01/2023 ^(e) | | | | | 1,970 | | | | | | 894 | |
8.000% due 02/15/2024 (o) | | | | | 60 | | | | | | 61 | |
8.500% due 10/15/2024 ^(e)(o) | | | | | 4,184 | | | | | | 1,922 | |
9.750% due 07/15/2025 ^(e)(o) | | | | | 4,167 | | | | | | 1,917 | |
|
Las Vegas Sands Corp. | |
3.200% due 08/08/2024 (o) | | | | | 100 | | | | | | 102 | |
3.500% due 08/18/2026 (o) | | | | | 200 | | | | | | 203 | |
3.900% due 08/08/2029 (o) | | | | | 300 | | | | | | 302 | |
|
NCL Corp. Ltd. | |
10.250% due 02/01/2026 (o) | | | | | 1,935 | | | | | | 2,253 | |
|
Nissan Motor Co. Ltd. | |
4.810% due 09/17/2030 (o) | | | | | 5,400 | | | | | | 6,046 | |
|
Noble Corp. PLC (11.000% Cash or 15.000% PIK) | |
11.000% due 02/15/2028 (d) | | | | | 54 | | | | | | 60 | |
|
Oi Movel S.A. | |
8.750% due 07/30/2026 | | | | | 950 | | | | | | 981 | |
|
Oracle Corp. | |
3.850% due 04/01/2060 (o) | | | | | 200 | | | | | | 198 | |
4.100% due 03/25/2061 (m)(o) | | | | | 1,000 | | | | | | 1,045 | |
|
Ortho-Clinical Diagnostics, Inc. | |
7.375% due 06/01/2025 | | | | | 11 | | | | | | 12 | |
|
Petroleos Mexicanos | |
2.750% due 04/21/2027 (o) | | EUR | | | 3,538 | | | | | | 3,746 | |
5.950% due 01/28/2031 (o) | | $ | | | 1,088 | | | | | | 1,059 | |
6.750% due 09/21/2047 (o) | | | | | 2,996 | | | | | | 2,665 | |
6.950% due 01/28/2060 (o) | | | | | 150 | | | | | | 134 | |
7.690% due 01/23/2050 | | | | | 60 | | | | | | 58 | |
|
Prosus NV | |
1.985% due 07/13/2033 (o) | | EUR | | | 500 | | | | | | 556 | |
3.061% due 07/13/2031 (o) | | $ | | | 1,100 | | | | | | 1,073 | |
3.680% due 01/21/2030 (o) | | | | | 2,900 | | | | | | 2,988 | |
|
Rolls-Royce PLC | |
3.625% due 10/14/2025 (o) | | | | | 200 | | | | | | 203 | |
4.625% due 02/16/2026 | | EUR | | | 200 | | | | | | 253 | |
|
Sands China Ltd. | |
2.300% due 03/08/2027 (o) | | $ | | | 400 | | | | | | 377 | |
2.850% due 03/08/2029 (o) | | | | | 400 | | | | | | 377 | |
3.250% due 08/08/2031 (o) | | | | | 200 | | | | | | 188 | |
3.800% due 01/08/2026 (o) | | | | | 400 | | | | | | 402 | |
4.375% due 06/18/2030 (o) | | | | | 200 | | | | | | 204 | |
5.125% due 08/08/2025 (o) | | | | | 200 | | | | | | 210 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
5.400% due 08/08/2028 (o) | | $ | | | 2,998 | | | $ | | | 3,232 | |
|
Santos Finance Ltd. | |
3.649% due 04/29/2031 (o) | | | | | 500 | | | | | | 510 | |
|
Schenck Process Holding GmbH | |
6.875% due 06/15/2023 | | EUR | | | 200 | | | | | | 228 | |
|
Spirit AeroSystems, Inc. | |
3.950% due 06/15/2023 (o) | | $ | | | 1,360 | | | | | | 1,371 | |
|
Studio City Finance Ltd. | |
5.000% due 01/15/2029 (o) | | | | | 400 | | | | | | 359 | |
|
Syngenta Finance NV | |
5.182% due 04/24/2028 (o) | | | | | 200 | | | | | | 225 | |
5.676% due 04/24/2048 (o) | | | | | 3,209 | | | | | | 3,961 | |
|
T-Mobile USA, Inc. | |
3.400% due 10/15/2052 (o) | | | | | 500 | | | | | | 499 | |
|
Tencent Holdings Ltd. | |
3.680% due 04/22/2041 (o) | | | | | 300 | | | | | | 312 | |
3.840% due 04/22/2051 (o) | | | | | 1,200 | | | | | | 1,263 | |
3.940% due 04/22/2061 (o) | | | | | 800 | | | | | | 848 | |
|
Topaz Solar Farms LLC | |
4.875% due 09/30/2039 (o) | | | | | 805 | | | | | | 912 | |
5.750% due 09/30/2039 | | | | | 2,060 | | | | | | 2,458 | |
|
Transocean Pontus Ltd. | |
6.125% due 08/01/2025 (o) | | | | | 54 | | | | | | 52 | |
|
Transocean, Inc. | |
7.250% due 11/01/2025 | | | | | 120 | | | | | | 92 | |
8.000% due 02/01/2027 | | | | | 38 | | | | | | 27 | |
|
Triumph Group, Inc. | |
6.250% due 09/15/2024 | | | | | 12 | | | | | | 12 | |
|
U.S. Airways Pass-Through Trust | |
3.950% due 05/15/2027 (o) | | | | | 102 | | | | | | 103 | |
|
U.S. Renal Care, Inc. | |
10.625% due 07/15/2027 (o) | | | | | 4,154 | | | | | | 4,220 | |
|
UAL Pass-Through Trust | |
6.636% due 01/02/2024 (o) | | | | | 835 | | | | | | 854 | |
|
Unigel Luxembourg S.A. | |
8.750% due 10/01/2026 (o) | | | | | 200 | | | | | | 212 | |
|
United Airlines Pass-Through Trust | |
4.150% due 02/25/2033 | | | | | 82 | | | | | | 90 | |
|
Valaris Ltd. (8.250% Cash or 12.000% PIK) | |
8.250% due 04/30/2028 (d) | | | | | 1,969 | | | | | | 2,051 | |
|
Vale Overseas Ltd. | |
6.875% due 11/21/2036 (o) | | | | | 26 | | | | | | 35 | |
6.875% due 11/10/2039 (o) | | | | | 25 | | | | | | 34 | |
|
Vale S.A. | |
2.762% due 12/29/2049 «~(k) | | BRL | | | 50,000 | | | | | | 4,467 | |
|
Viking Cruises Ltd. | |
13.000% due 05/15/2025 (o) | | $ | | | 100 | | | | | | 113 | |
|
Windstream Escrow LLC | |
7.750% due 08/15/2028 | | | | | 50 | | | | | | 53 | |
|
Wolverine Escrow LLC | |
8.500% due 11/15/2024 (o) | | | | | 5,978 | | | | | | 5,551 | |
9.000% due 11/15/2026 (o) | | | | | 2,216 | | | | | | 2,108 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 123,748 | |
| | | | | | | | | | | | |
| |
| UTILITIES 9.0% | |
|
AT&T, Inc. | |
3.850% due 06/01/2060 (o) | | | | | 625 | | | | | | 655 | |
|
DTEK Finance PLC (1.500% Cash and 3.500% PIK) | |
5.000% due 12/31/2027 (d) | | | | | 2,318 | | | | | | 1,270 | |
|
FEL Energy SARL | |
5.750% due 12/01/2040 (o) | | | | | 1,254 | | | | | | 1,259 | |
|
Gazprom Neft OAO Via GPN Capital S.A. | |
6.000% due 11/27/2023 (o) | | | | | 5,600 | | | | | | 6,007 | |
|
NGD Holdings BV | |
6.750% due 12/31/2026 (o) | | | | | 1,479 | | | | | | 1,357 | |
|
Odebrecht Offshore Drilling Finance Ltd. | |
6.720% due 12/01/2022 ^(o) | | | | | 264 | | | | | | 260 | |
|
Oi S.A. (10.000% Cash or 12.000% PIK) | |
10.000% due 07/27/2025 (o)(d) | | | | | 3,220 | | | | | | 2,829 | |
|
Pacific Gas & Electric Co. | |
3.500% due 08/01/2050 (o) | | | | | 574 | | | | | | 533 | |
3.750% due 08/15/2042 (o) | | | | | 100 | | | | | | 93 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
3.950% due 12/01/2047 (o) | | $ | | | 300 | | | $ | | | 290 | |
4.000% due 12/01/2046 (o) | | | | | 200 | | | | | | 195 | |
4.200% due 06/01/2041 (o) | | | | | 200 | | | | | | 202 | |
4.300% due 03/15/2045 (o) | | | | | 950 | | | | | | 963 | |
4.450% due 04/15/2042 (o) | | | | | 220 | | | | | | 224 | |
4.500% due 07/01/2040 (o) | | | | | 708 | | | | | | 739 | |
4.550% due 07/01/2030 (o) | | | | | 1,104 | | | | | | 1,195 | |
4.600% due 06/15/2043 (o) | | | | | 100 | | | | | | 103 | |
4.750% due 02/15/2044 (o) | | | | | 2,296 | | | | | | 2,386 | |
4.950% due 07/01/2050 (o) | | | | | 765 | | | | | | 835 | |
|
Peru LNG SRL | |
5.375% due 03/22/2030 (o) | | | | | 2,800 | | | | | | 2,426 | |
|
Rio Oil Finance Trust | |
9.250% due 07/06/2024 (o) | | | | | 345 | | | | | | 371 | |
9.750% due 01/06/2027 (o) | | | | | 574 | | | | | | 660 | |
|
Southern California Edison Co. | |
4.875% due 03/01/2049 (o) | | | | | 100 | | | | | | 122 | |
|
Transocean Poseidon Ltd. | |
6.875% due 02/01/2027 | | | | | 60 | | | | | | 58 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 25,032 | |
| | | | | | | | | | | | |
Total Corporate Bonds & Notes
(Cost $193,251) | | | 192,903 | |
| | | | |
| |
| CONVERTIBLE BONDS & NOTES 0.3% | |
| |
| BANKING & FINANCE 0.3% | |
|
CBL & Associates HoldCo LLC | |
7.000% due 11/15/2028 | | | | | 27 | | | | | | 53 | |
|
Corestate Capital Holding S.A. | |
1.375% due 11/28/2022 (o) | | EUR | | | 700 | | | | | | 703 | |
| | | | | | | | | | | | |
Total Convertible Bonds & Notes (Cost $770) | | | 756 | |
| | | | |
| |
| MUNICIPAL BONDS & NOTES 2.5% | |
| |
| CALIFORNIA 0.8% | |
|
Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2021 | |
3.000% due 06/01/2046 | | $ | | | 100 | | | | | | 103 | |
3.487% due 06/01/2036 | | | | | 1,000 | | | | | | 1,015 | |
3.850% due 06/01/2050 | | | | | 1,000 | | | | | | 1,018 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,136 | |
| | | | | | | | | | | | |
| |
| ILLINOIS 0.1% | |
|
Chicago, Illinois General Obligation Bonds, Series 2017 | |
7.045% due 01/01/2029 | | | | | 60 | | | | | | 69 | |
|
Illinois State General Obligation Bonds, (BABs), Series 2010 | |
6.725% due 04/01/2035 | | | | | 15 | | | | | | 18 | |
|
Illinois State General Obligation Bonds, Series 2003 | |
5.100% due 06/01/2033 | | | | | 55 | | | | | | 64 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 151 | |
| | | | | | | | | | | | |
| |
| PUERTO RICO 0.6% | |
|
Commonwealth of Puerto Rico General Obligation Bonds, Series 2014 | |
8.000% due 07/01/2035 ^(e) | | | | | 1,900 | | | | | | 1,691 | |
| | | | | | | | | | | | |
| |
| WEST VIRGINIA 1.0% | |
|
Tobacco Settlement Finance Authority, West Virginia Revenue Bonds, Series 2007 | |
0.000% due 06/01/2047 (h) | | | | | 25,300 | | | | | | 2,819 | |
| | | | | | | | | | | | |
Total Municipal Bonds & Notes (Cost $6,036) | | | 6,797 | |
| | | | |
| |
| U.S. GOVERNMENT AGENCIES 119.2% | |
|
Fannie Mae | |
1.116% due 12/25/2042 ~(a) | | | | | 3,501 | | | | | | 108 | |
1.729% due 08/25/2054 ~(a)(o) | | | | | 6,805 | | | | | | 445 | |
2.135% due 09/01/2028 • | | | | | 2 | | | | | | 2 | |
2.320% due 12/01/2028 • | | | | | 12 | | | | | | 12 | |
2.325% due 11/01/2027 • | | | | | 9 | | | | | | 9 | |
| | | | | | | | | | | | |
| See Accompanying Notes | | | SEMIANNUAL REPORT | | | | | | | DECEMBER 31, 2021 | | | 53 |
| | | | | | | | |
| Schedule of Investments | | PIMCO Strategic Income Fund, Inc. | | (Cont.) | | | | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
2.400% due 03/01/2032 • | | $ | | | 58 | | | $ | | | 59 | |
2.500% due 12/25/2027 - 01/25/2051 (a)(o) | | | | | 1,941 | | | | | | 137 | |
3.000% due 06/25/2050 (a)(o) | | | | | 1,349 | | | | | | 195 | |
3.500% due 07/25/2036 (a)(o) | | | | | 4,216 | | | | | | 487 | |
3.500% due 07/25/2042 - 12/25/2049 (a) | | | | | 516 | | | | | | 56 | |
4.000% due 06/25/2050 (a)(o) | | | | | 804 | | | | | | 126 | |
4.250% due 11/25/2024 (o) | | | | | 91 | | | | | | 93 | |
4.500% due 07/25/2040 (o) | | | | | 423 | | | | | | 451 | |
5.000% due 07/25/2037 (a) | | | | | 696 | | | | | | 90 | |
5.000% due 01/25/2038 - 07/25/2038 (o) | | | | | 3,356 | | | | | | 3,760 | |
5.038% due 12/25/2042 ~ | | | | | 20 | | | | | | 21 | |
5.199% due 02/25/2042 ~ | | | | | 312 | | | | | | 338 | |
5.489% due 10/25/2042 ~ | | | | | 8 | | | | | | 9 | |
5.500% due 07/25/2024 | | | | | 2 | | | | | | 2 | |
5.500% due 11/25/2032 - 04/25/2035 (o) | | | | | 3,758 | | | | | | 4,196 | |
5.750% due 06/25/2033 | | | | | 14 | | | | | | 15 | |
5.807% due 08/25/2043 | | | | | 962 | | | | | | 1,067 | |
5.853% due 07/25/2029 • | | | | | 660 | | | | | | 725 | |
5.898% due 10/25/2049 •(a)(o) | | | | | 7,682 | | | | | | 1,668 | |
5.933% due 10/25/2042 ~ | | | | | 232 | | | | | | 262 | |
5.948% due 02/25/2049 •(a) | | | | | 148 | | | | | | 18 | |
5.998% due 07/25/2050 •(a)(o) | | | | | 1,316 | | | | | | 199 | |
6.000% due 09/25/2031 (o) | | | | | 102 | | | | | | 113 | |
6.000% due 01/25/2044 | | | | | 686 | | | | | | 776 | |
6.500% due 06/25/2023 -
11/01/2047 | | | | | 2,110 | | | | | | 2,413 | |
6.500% due 09/25/2031 - 04/01/2037 (o) | | | | | 497 | | | | | | 561 | |
6.648% due 07/25/2041 •(a)(o) | | | | | 627 | | | | | | 69 | |
6.850% due 12/18/2027 | | | | | 5 | | | | | | 6 | |
7.000% due 06/18/2027 -
01/01/2047 | | | | | 657 | | | | | | 741 | |
7.000% due 02/25/2035 (o) | | | | | 90 | | | | | | 100 | |
7.000% due 09/25/2041 ~ | | | | | 255 | | | | | | 275 | |
7.500% due 10/25/2022 -
06/25/2044 | | | | | 639 | | | | | | 739 | |
7.500% due 06/19/2041 ~ | | | | | 68 | | | | | | 79 | |
7.700% due 03/25/2023 | | | | | 2 | | | | | | 2 | |
8.000% due 06/19/2041 ~ | | | | | 530 | | | | | | 616 | |
8.500% due 06/18/2027 -
06/25/2030 | | | | | 126 | | | | | | 140 | |
|
Freddie Mac | |
0.000% due 02/25/2046 (b)(h) | | | | | 644 | | | | | | 541 | |
0.100% due 02/25/2046 (a) | | | | | 644 | | | | | | 0 | |
1.837% due 08/15/2036 ~(a)(o) | | | | | 1,533 | | | | | | 72 | |
1.852% due 05/15/2038 ~(a)(o) | | | | | 2,964 | | | | | | 135 | |
1.910% due 11/15/2038 ~(a)(o) | | | | | 12,356 | | | | | | 739 | |
2.010% due 11/25/2045 ~(a) | | | | | 5,336 | | | | | | 566 | |
2.262% due 12/01/2026 • | | | | | 2 | | | | | | 3 | |
3.000% due 11/25/2050 - 01/25/2051 (a)(o) | | | | | 11,175 | | | | | | 1,362 | |
3.500% due 05/25/2050 (a)(o) | | | | | 654 | | | | | | 98 | |
4.200% due 11/15/2048 •(a)(o) | | | | | 8,149 | | | | | | 655 | |
4.500% due 06/25/2050 (a)(o) | | | | | 918 | | | | | | 123 | |
4.718% due 07/25/2032 ~ | | | | | 76 | | | | | | 83 | |
5.000% due 02/15/2024 | | | | | 1 | | | | | | 1 | |
5.253% due 10/25/2029 • | | | | | 650 | | | | | | 709 | |
5.500% due 04/01/2039 - 06/15/2041 (o) | | | | | 2,643 | | | | | | 3,015 | |
5.898% due 04/25/2048 - 11/25/2049 •(a)(o) | | | | | 31,913 | | | | | | 6,022 | |
6.000% due 12/15/2028 - 03/15/2035 (o) | | | | | 1,085 | | | | | | 1,225 | |
6.000% due 04/15/2031 -
02/01/2034 | | | | | 41 | | | | | | 45 | |
6.048% due 05/25/2050 •(a)(o) | | | | | 874 | | | | | | 144 | |
6.500% due 09/15/2023 -
09/01/2047 | | | | | 1,936 | | | | | | 2,277 | |
6.500% due 10/15/2023 - 07/01/2037 (o) | | | | | 1,881 | | | | | | 2,141 | |
6.500% due 09/25/2043 ~ | | | | | 38 | | | | | | 46 | |
6.900% due 09/15/2023 | | | | | 36 | | | | | | 37 | |
7.000% due 05/15/2023 -
10/25/2043 | | | | | 484 | | | | | | 558 | |
7.000% due 01/15/2024 - 09/01/2036 (o) | | | | | 1,411 | | | | | | 1,586 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
7.500% due 05/15/2024 - 03/01/2037 (o) | | $ | | | 683 | | | $ | | | 747 | |
7.500% due 12/01/2025 -
02/25/2042 | | | | | 117 | | | | | | 128 | |
7.653% due 12/25/2027 • | | | | | 1,582 | | | | | | 1,699 | |
8.000% due 08/15/2022 -
04/15/2030 | | | | | 78 | | | | | | 86 | |
10.853% due 03/25/2025 • | | | | | 232 | | | | | | 237 | |
|
Ginnie Mae | |
5.946% due 08/20/2049 - 09/20/2049 •(a)(o) | | | | | 68,424 | | | | | | 10,964 | |
6.000% due 04/15/2029 - 12/15/2038 | | | | | 39 | | | | | | 42 | |
6.000% due 07/15/2037 - 11/15/2038 (o) | | | | | 701 | | | | | | 780 | |
6.096% due 06/20/2047 •(a)(o) | | | | | 7,065 | | | | | | 1,239 | |
6.500% due 11/20/2024 - 10/20/2038 | | | | | 30 | | | | | | 31 | |
6.500% due 04/15/2032 - 05/15/2032 (o) | | | | | 205 | | | | | | 226 | |
7.000% due 04/15/2024 - 06/15/2026 | | | | | 16 | | | | | | 16 | |
7.500% due 06/15/2023 - 03/15/2029 | | | | | 266 | | | | | | 267 | |
7.500% due 04/15/2027 (o) | | | | | 69 | | | | | | 75 | |
8.500% due 05/15/2022 - 02/15/2031 | | | | | 6 | | | | | | 7 | |
|
Ginnie Mae, TBA | |
3.500% due 02/01/2052 | | | | | 1,500 | | | | | | 1,561 | |
4.000% due 01/01/2052 - 03/01/2052 | | | | | 21,700 | | | | | | 23,009 | |
|
Small Business Administration | |
4.625% due 02/01/2025 | | | | | 30 | | | | | | 31 | |
5.510% due 11/01/2027 | | | | | 118 | | | | | | 128 | |
5.780% due 08/01/2027 | | | | | 8 | | | | | | 9 | |
5.820% due 07/01/2027 | | | | | 11 | | | | | | 12 | |
|
Uniform Mortgage-Backed Security | |
4.000% due 06/01/2047 | | | | | 8 | | | | | | 9 | |
4.000% due 09/01/2047 - 06/01/2048 (o) | | | | | 7,908 | | | | | | 8,467 | |
4.500% due 09/01/2023 - 08/01/2041 | | | | | 77 | �� | | | | | 83 | |
4.500% due 04/01/2041 (o) | | | | | 80 | | | | | | 89 | |
6.000% due 12/01/2032 - 02/01/2033 | | | | | 43 | | | | | | 48 | |
6.000% due 12/01/2032 - 06/01/2040 (o) | | | | | 2,605 | | | | | | 3,004 | |
6.500% due 09/01/2028 - 02/01/2038 | | | | | 688 | | | | | | 780 | |
6.500% due 10/01/2033 - 12/01/2036 (o) | | | | | 231 | | | | | | 264 | |
8.000% due 12/01/2022 - 06/01/2032 | | | | | 100 | | | | | | 105 | |
|
Uniform Mortgage-Backed Security, TBA | |
2.500% due 01/01/2052 - 03/01/2052 | | | | | 43,600 | | | | | | 44,276 | |
3.000% due 02/01/2052 | | | | | 30,500 | | | | | | 31,553 | |
3.500% due 03/01/2052 | | | | | 65,000 | | | | | | 68,239 | |
4.000% due 02/01/2052 | | | | | 81,600 | | | | | | 86,754 | |
|
Vendee Mortgage Trust | |
6.500% due 03/15/2029 | | | | | 58 | | | | | | 62 | |
6.750% due 02/15/2026 - 06/15/2026 | | | | | 37 | | | | | | 40 | |
7.500% due 09/15/2030 | | | | | 1,090 | | | | | | 1,268 | |
| | | | | | | | | | | | |
Total U.S. Government Agencies
(Cost $332,838) | | | 329,698 | |
| | | | |
| |
| NON-AGENCY MORTGAGE-BACKED SECURITIES 22.4% | |
|
Adjustable Rate Mortgage Trust | |
2.652% due 07/25/2035 ~ | | | | | 229 | | | | | | 230 | |
2.803% due 08/25/2035 ~ | | | | | 248 | | | | | | 247 | |
|
Banc of America Mortgage Trust | |
2.509% due 02/25/2035 ~ | | | | | 6 | | | | | | 7 | |
|
Bancorp Commercial Mortgage Trust | |
3.860% due 08/15/2032 •(o) | | | | | 3,300 | | | | | | 2,980 | |
|
BCAP LLC Trust | |
0.486% due 07/26/2036 ~ | | | | | 210 | | | | | | 191 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
|
Bear Stearns ALT-A Trust | |
3.398% due 08/25/2036 ^~ | | $ | | | 227 | | | $ | | | 144 | |
|
Bear Stearns Commercial Mortgage Securities Trust | |
5.657% due 10/12/2041 ~ | | | | | 183 | | | | | | 182 | |
5.743% due 12/11/2040 ~ | | | | | 712 | | | | | | 679 | |
|
Citigroup Commercial Mortgage Trust | |
5.512% due 12/10/2049 ~ | | | | | 1,218 | | | | | | 548 | |
|
Citigroup Mortgage Loan Trust, Inc. | |
7.000% due 09/25/2033 | | | | | 1 | | | | | | 1 | |
|
Commercial Mortgage Loan Trust | |
5.956% due 12/10/2049 ~ | | | | | 1,144 | | | | | | 198 | |
|
Commercial Mortgage Trust | |
6.100% due 12/15/2038 • | | | | | 1,380 | | | | | | 1,383 | |
|
Countrywide Alternative Loan Trust | |
0.522% due 07/25/2046 ^• | | | | | 1,119 | | | | | | 1,058 | |
|
Countrywide Home Loan Mortgage Pass-Through Trust | |
0.742% due 03/25/2035 • | | | | | 846 | | | | | | 778 | |
1.972% due 03/25/2046 ^• | | | | | 1,073 | | | | | | 747 | |
2.720% due 08/25/2034 ~ | | | | | 225 | | | | | | 226 | |
|
Countrywide Home Loan Reperforming REMIC Trust | |
7.500% due 11/25/2034 | | | | | 379 | | | | | | 399 | |
7.500% due 06/25/2035 ^ | | | | | 74 | | | | | | 79 | |
|
Credit Suisse Commercial Mortgage Trust | |
5.457% due 02/15/2040 ~ | | | | | 2,175 | | | | | | 312 | |
|
Credit Suisse First Boston Mortgage-Backed Pass-Through Certificates | |
7.000% due 02/25/2034 | | | | | 262 | | | | | | 271 | |
|
Credit Suisse Mortgage Capital Mortgage-Backed Trust | |
6.500% due 03/25/2036 ^ | | | | | 759 | | | | | | 216 | |
|
Eurosail PLC | |
1.695% due 09/13/2045 • | | GBP | | | 1,582 | | | | | | 2,067 | |
2.345% due 09/13/2045 • | | | | | 1,130 | | | | | | 1,485 | |
3.945% due 09/13/2045 • | | | | | 960 | | | | | | 1,368 | |
|
Freddie Mac | |
7.550% due 10/25/2041 • | | $ | | | 2,800 | | | | | | 2,919 | |
7.850% due 11/25/2041 • | | | | | 2,800 | | | | | | 2,958 | |
|
GC Pastor Hipotecario FTA | |
0.000% due 06/21/2046 • | | EUR | | | 983 | | | | | | 1,021 | |
|
GMAC Mortgage Corp. Loan Trust | |
2.806% due 08/19/2034 ~ | | $ | | | 20 | | | | | | 18 | |
|
GS Mortgage Securities Corp. Trust | |
4.591% due 10/10/2032 ~ | | | | | 2,600 | | | | | | 2,550 | |
|
GSAA Home Equity Trust | |
6.000% due 04/01/2034 | | | | | 512 | | | | | | 552 | |
|
GSMPS Mortgage Loan Trust | |
7.000% due 06/25/2043 | | | | | 1,409 | | | | | | 1,603 | |
7.500% due 06/19/2027 ~ | | | | | 15 | | | | | | 15 | |
8.000% due 09/19/2027 ~ | | | | | 339 | | | | | | 335 | |
|
GSR Mortgage Loan Trust | |
0.432% due 12/25/2034 • | | | | | 119 | | | | | | 116 | |
6.500% due 01/25/2034 | | | | | 9 | | | | | | 9 | |
|
IM Pastor Fondo de Titluzacion Hipotecaria | |
0.000% due 03/22/2043 • | | EUR | | | 289 | | | | | | 305 | |
|
J.P. Morgan Chase Commercial Mortgage Securities Trust | |
6.500% due 11/15/2038 •(o) | | $ | | | 2,200 | | | | | | 2,200 | |
|
JP Morgan Mortgage Trust | |
2.616% due 10/25/2036 ^~ | | | | | 854 | | | | | | 793 | |
5.500% due 06/25/2037 ^ | | | | | 33 | | | | | | 34 | |
|
LUXE Commercial Mortgage Trust | |
2.860% due 10/15/2038 • | | | | | 2,887 | | | | | | 2,889 | |
|
MASTR Adjustable Rate Mortgages Trust | |
2.932% due 10/25/2034 ~ | | | | | 414 | | | | | | 418 | |
|
MASTR Alternative Loan Trust | |
6.250% due 07/25/2036 | | | | | 263 | | | | | | 211 | |
6.500% due 03/25/2034 | | | | | 521 | | | | | | 537 | |
7.000% due 04/25/2034 | | | | | 21 | | | | | | 22 | |
|
MASTR Reperforming Loan Trust | |
7.000% due 05/25/2035 | | | | | 2,635 | | | | | | 2,381 | |
7.500% due 07/25/2035 | | | | | 1,363 | | | | | | 1,274 | |
|
MFA Trust | |
3.661% due 01/26/2065 ~ | | | | | 300 | | | | | | 301 | |
|
Morgan Stanley Resecuritization Trust | |
2.704% due 12/26/2046 ~ | | | | | 7,476 | | | | | | 6,911 | |
| | | | | | |
| 54 | | PIMCO CLOSED-END FUNDS | | | See Accompanying Notes | |
| | | | | | | | |
| | | | | | December 31, 2021 | | (Unaudited) |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
|
NAAC Reperforming Loan REMIC Trust | |
7.000% due 10/25/2034 ^ | | $ | | | 614 | | | $ | | | 613 | |
7.500% due 03/25/2034 ^ | | | | | 1,789 | | | | | | 1,827 | |
7.500% due 10/25/2034 ^ | | | | | 1,842 | | | | | | 1,848 | |
|
Newgate Funding PLC | |
0.647% due 12/15/2050 • | | EUR | | | 1,480 | | | | | | 1,640 | |
0.897% due 12/15/2050 • | | | | | 1,480 | | | | | | 1,610 | |
|
RBSSP Resecuritization Trust | |
6.000% due 02/26/2037 ~ | | $ | | | 2,509 | | | | | | 1,861 | |
6.250% due 12/26/2036 ~ | | | | | 5,246 | | | | | | 2,673 | |
|
Residential Accredit Loans, Inc. Trust | |
6.000% due 08/25/2035 ^ | | | | | 996 | | | | | | 978 | |
|
Residential Asset Mortgage Products Trust | |
8.500% due 10/25/2031 | | | | | 235 | | | | | | 258 | |
8.500% due 11/25/2031 | | | | | 639 | | | | | | 462 | |
|
Structured Asset Securities Corp. Mortgage Loan Trust | |
7.500% due 10/25/2036 ^ | | | | | 2,317 | | | | | | 1,605 | |
|
WaMu Mortgage Pass-Through Certificates Trust | |
2.829% due 05/25/2035 ~ | | | | | 75 | | | | | | 79 | |
|
Washington Mutual Mortgage Pass-Through Certificates Trust | |
7.000% due 03/25/2034 | | | | | 61 | | | | | | 65 | |
7.500% due 04/25/2033 | | | | | 146 | | | | | | 150 | |
| | | | | | | | | | | | |
Total Non-Agency Mortgage-Backed Securities (Cost $61,269) | | | 61,837 | |
| | | | |
| |
| ASSET-BACKED SECURITIES 6.8% | |
|
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates | |
3.627% due 11/25/2032 ^• | | | | | 39 | | | | | | 1 | |
|
Bear Stearns Asset-Backed Securities Trust | |
0.500% due 09/25/2034 • | | | | | 224 | | | | | | 218 | |
|
Conseco Finance Corp. | |
6.530% due 02/01/2031 ~ | | | | | 74 | | | | | | 70 | |
|
Conseco Finance Securitizations Corp. | |
7.960% due 05/01/2031 | | | | | 1,447 | | | | | | 563 | |
|
Countrywide Asset-Backed Certificates | |
0.302% due 06/25/2037 ^• | | | | | 1,706 | | | | | | 1,824 | |
0.362% due 12/25/2036 ^• | | | | | 2,235 | | | | | | 2,231 | |
|
Countrywide Asset-Backed Certificates Trust | |
1.742% due 11/25/2034 • | | | | | 2,297 | | | | | | 2,225 | |
|
Credit-Based Asset Servicing & Securitization LLC | |
4.759% due 12/25/2037 þ | | | | | 59 | | | | | | 59 | |
|
ECAF Ltd. | |
4.947% due 06/15/2040 | | | | | 1,516 | | | | | | 1,393 | |
|
Elmwood CLO Ltd. | |
0.000% due 04/20/2034 ~ | | | | | 1,213 | | | | | | 1,053 | |
|
Encore Credit Receivables Trust | |
0.837% due 07/25/2035 • | | | | | 576 | | | | | | 574 | |
|
Flagship Credit Auto Trust | |
0.000% due 12/15/2025 «(h) | | | | | 12 | | | | | | 1,519 | |
|
Madison Park Funding Ltd. | |
0.000% due 07/27/2047 ~ | | | | | 500 | | | | | | 341 | |
|
Marlette Funding Trust | |
0.000% due 12/15/2028 «(h) | | | | | 6 | | | | | | 498 | |
0.000% due 04/16/2029 «(h) | | | | | 10 | | | | | | 694 | |
0.000% due 07/16/2029 «(h) | | | | | 7 | | | | | | 609 | |
|
National Collegiate Commutation Trust | |
0.000% due 03/25/2038 • | | | | | 10,400 | | | | | | 3,181 | |
|
Oakwood Mortgage Investors, Inc. | |
0.340% due 06/15/2032 • | | | | | 5 | | | | | | 4 | |
|
Residential Asset Mortgage Products Trust | |
8.500% due 12/25/2031 | | | | | 9 | | | | | | 6 | |
|
SMB Private Education Loan Trust | |
0.000% due 10/15/2048 «(h) | | | | | 5 | | | | | | 1,751 | |
| | | | | | | | | | | | |
Total Asset-Backed Securities (Cost $32,638) | | | 18,814 | |
| | | | |
| |
| SOVEREIGN ISSUES 6.7% | |
|
Argentina Government International Bond | |
0.500% due 07/09/2030 þ | | | | | 647 | | | | | | 212 | |
1.000% due 07/09/2029 | | | | | 269 | | | | | | 99 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
1.125% due 07/09/2035 þ | | $ | | | 1,131 | | | $ | | | 351 | |
1.125% due 07/09/2046 þ | | | | | 115 | | | | | | 37 | |
2.000% due 01/09/2038 þ(o) | | | | | 4,388 | | | | | | 1,687 | |
2.500% due 07/09/2041 þ(o) | | | | | 1,880 | | | | | | 671 | |
|
Argentina Treasury Bond BONCER | |
1.450% due 08/13/2023 | | ARS | | | 35,000 | | | | | | 297 | |
|
Egypt Government International Bond | |
6.375% due 04/11/2031 | | EUR | | | 1,600 | | | | | | 1,684 | |
|
Ghana Government International Bond | |
6.375% due 02/11/2027 (o) | | $ | | | 323 | | | | | | 273 | |
7.875% due 02/11/2035 (o) | | | | | 388 | | | | | | 305 | |
|
Panama Government International Bond | |
4.500% due 04/16/2050 (o) | | | | | 1,700 | | | | | | 1,877 | |
|
Peru Government International Bond | |
6.900% due 08/12/2037 | | PEN | | | 10,700 | | | | | | 2,733 | |
|
Romania Government International Bond | |
2.000% due 04/14/2033 | | EUR | | | 7,500 | | | | | | 7,799 | |
|
South Africa Government International Bond | |
5.750% due 09/30/2049 (o) | | $ | | | 400 | | | | | | 386 | |
|
Venezuela Government International Bond | |
8.250% due 10/13/2024 ^(e) | | | | | 13 | | | | | | 1 | |
9.250% due 09/15/2027 ^(e) | | | | | 171 | | | | | | 11 | |
| | | | | | | | | | | | |
Total Sovereign Issues (Cost $21,318) | | | 18,423 | |
| | | | |
| |
| | | | | SHARES | | | | | | |
| COMMON STOCKS 4.2% | |
| |
| COMMUNICATION SERVICES 1.2% | |
| | | | |
Clear Channel Outdoor Holdings, Inc. (f) | | | | | 291,816 | | | | | | 966 | |
| | | | |
iHeartMedia, Inc. ‘A’ (f) | | | | | 68,102 | | | | | | 1,433 | |
| | | | |
iHeartMedia, Inc. ‘B’ «(f) | | | | | 52,880 | | | | | | 1,001 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,400 | |
| | | | | | | | | | | | |
| |
| ENERGY 0.2% | |
| | | | |
Axis Energy Services ‘A’ «(m) | | | | | 422 | | | | | | 6 | |
| | | | |
Noble Corp. (f)(m) | | | | | 17,389 | | | | | | 432 | |
| | | | |
Valaris Ltd. (f) | | | | | 1,412 | | | | | | 51 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 489 | |
| | | | | | | | | | | | |
| |
| INDUSTRIALS 1.8% | |
| | | | |
Neiman Marcus Group Ltd. LLC «(m) | | | | | 32,851 | | | | | | 4,807 | |
| | | | |
Noble Corp. | | | | | 1,690 | | | | | | 42 | |
| | | | |
Westmoreland Mining Holdings LLC «(m) | | | | | 70 | | | | | | 0 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,849 | |
| | | | | | | | | | | | |
| |
| MATERIALS 1.0% | |
| | | | |
Associated Materials Group, Inc. «(m) | | | | | 397,884 | | | | | | 2,777 | |
| | | | | | | | | | | | |
Total Common Stocks (Cost $7,519) | | | 11,515 | |
| | | | |
| |
| WARRANTS 0.2% | |
| |
| INFORMATION TECHNOLOGY 0.2% | |
| | | | |
Windstream Holdings LLC - Exp. 09/21/2055 « | | | | | 28,052 | | | | | | 695 | |
| | | | | | | | | | | | |
Total Warrants (Cost $129) | | | 695 | |
| | | | |
| |
| PREFERRED SECURITIES 8.0% | |
| |
| BANKING & FINANCE 8.0% | |
|
Capital Farm Credit ACA | |
5.000% due 03/15/2026 •(k) | | | | | 1,300,000 | | | | | | 1,326 | |
|
Charles Schwab Corp. | |
4.000% due 12/01/2030 •(k) | | | | | 100,000 | | | | | | 101 | |
| | | | | | | | | | | | |
| | | | | SHARES | | | | | MARKET
VALUE
(000S) | |
|
Farm Credit Bank of Texas | |
5.700% due 09/15/2025 •(k) | | | | | 1,000,000 | | | $ | | | 1,073 | |
|
Nationwide Building Society | |
10.250% ~ | | | | | 36,440 | | | | | | 9,439 | |
|
Stichting AK Rabobank Certificaten | |
6.500% due 12/29/2049 þ(k) | | | | | 5,317,100 | | | | | | 8,354 | |
|
Wells Fargo & Co. | |
3.900% due 03/15/2026 •(k) | | | | | 1,700,000 | | | | | | 1,748 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 22,041 | |
| | | | | | | | | | | | |
| |
| INDUSTRIALS 0.0% | |
|
General Electric Co. | |
3.533% (US0003M + 3.330%) due 03/15/2022 ~(k) | | | | | 139,000 | | | | | | 138 | |
| | | | | | | | | | | | |
Total Preferred Securities (Cost $19,033) | | | 22,179 | |
| | | | |
| |
| REAL ESTATE INVESTMENT TRUSTS 0.8% | |
| |
| REAL ESTATE 0.8% | |
| | | | |
Uniti Group, Inc. | | | | | 73,539 | | | | | | 1,030 | |
| | | | |
VICI Properties, Inc. | | | | | 44,227 | | | | | | 1,332 | |
| | | | | | | | | | | | |
Total Real Estate Investment Trusts
(Cost $1,133) | | | 2,362 | |
| | | | |
| |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | | |
| SHORT-TERM INSTRUMENTS 7.4% | |
| |
| REPURCHASE AGREEMENTS (n) 1.7% | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,823 | |
| | | | | | | | | | | | |
| |
| SHORT-TERM NOTES 1.1% | |
|
Federal Home Loan Bank | |
0.039% due 01/21/2022 (h)(i) | | $ | | | 3,000 | | | | | | 3,000 | |
| | | | | | | | | | | | |
| |
| ARGENTINA TREASURY BILLS 0.0% | |
31.816% due 02/28/2022 (h)(i)(j) | | ARS | | | 21,696 | | | | | | 108 | |
| | | | | | | | | | | | |
| |
| U.S. TREASURY BILLS 4.6% | |
0.042% due 01/04/2022 - 04/21/2022 (g)(h)(o)(r) | | $ | | | 12,598 | | | | | | 12,597 | |
| | | | | | | | | | | | |
Total Short-Term Instruments
(Cost $20,541) | | | 20,528 | |
| | | | |
| | | | |
| | | | | | | | | | | | |
Total Investments in Securities
(Cost $754,803) | | | 745,282 | |
| |
| | | | |
Total Investments 269.4%
(Cost $754,803) | | | $ | | | 745,282 | |
| |
Financial Derivative
Instruments (p)(q) (0.3)% (Cost or Premiums, net $667) | | | | | | | | | | | (769 | ) |
| |
| Other Assets and Liabilities, net (169.1)% | | | (467,854 | ) |
| | | | |
| Net Assets 100.0% | | | $ | | | 276,659 | |
| | | | | | | |
| | | | | | | | | | | | |
| See Accompanying Notes | | | SEMIANNUAL REPORT | | | | | | | DECEMBER 31, 2021 | | | 55 |
| | | | | | | | |
| Schedule of Investments | | PIMCO Strategic Income Fund, Inc. | | (Cont.) | | | | |
NOTES TO SCHEDULE OF INVESTMENTS:
| * | A zero balance may reflect actual amounts rounding to less than one thousand. |
| « | Security valued using significant unobservable inputs (Level 3). |
| µ | All or a portion of this amount represents unfunded loan commitments. The interest rate for the unfunded portion will be determined at the time of funding. |
| ~ | Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description. |
| • | Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description. |
| þ | Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end. |
| (a) | Security is an Interest Only (“IO”) or IO Strip. |
| (b) | Principal only security. |
| (d) | Payment in-kind security. |
| (e) | Security is not accruing income as of the date of this report. |
| (f) | Security did not produce income within the last twelve months. |
| (g) | Coupon represents a weighted average yield to maturity. |
| (i) | Coupon represents a yield to maturity. |
| (j) | Principal amount of security is adjusted for inflation. |
| (k) | Perpetual maturity; date shown, if applicable, represents next contractual call date. |
| (l) | Contingent convertible security. |
(m) RESTRICTED SECURITIES:
| | | | | | | | | | | | | | | | |
| Issuer Description | | Acquisition
Date | | | Cost | | | Market
Value | | | Market Value
as Percentage
of Net Assets | |
Associated Materials Group, Inc. | | | 08/24/2020 | | | $ | 2,527 | | | $ | 2,777 | | | | 1.00 | % |
Axis Energy Services ‘A’ | | | 07/01/2021 | | | | 6 | | | | 6 | | | | 0.00 | |
Ferroglobe PLC 9.375% due 12/31/2025 | | | 11/05/2019 - 10/04/2021 | | | | 1,350 | | | | 1,448 | | | | 0.52 | |
Neiman Marcus Group Ltd. LLC | | | 09/25/2020 | | | | 1,058 | | | | 4,807 | | | | 1.74 | |
Noble Corp. | | | 02/05/2021 - 02/27/2021 | | | | 219 | | | | 432 | | | | 0.16 | |
Oracle Corp. 4.100% due 03/25/2061 | | | 06/17/2021 - 10/05/2021 | | | | 1,112 | | | | 1,045 | | | | 0.38 | |
Pinnacol Assurance 8.625% due 06/25/2034 | | | 06/23/2014 | | | | 2,600 | | | | 3,437 | | | | 1.24 | |
Westmoreland Mining Holdings LLC | | | 03/26/2019 | | | | 0 | | | | 0 | | | | 0.00 | |
| | | | | | | | | | | | | | | | |
| | | $ | 8,872 | | | $ | 13,952 | | | | 5.04% | |
| | | | | | | | | | | | | | | | |
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(n) 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) | |
| BPS | | | 0.030 | % | | | 12/31/2021 | | | | 01/03/2022 | | | $ | 3,600 | | | U.S. Treasury Notes 2.500% due 05/15/2024 | | $ | (3,674 | ) | | $ | 3,600 | | | $ | 3,600 | |
| FICC | | | 0.000 | | | | 12/31/2021 | | | | 01/03/2022 | | | | 1,223 | | | U.S. Treasury Notes 1.125% due 08/31/2028 | | | (1,247 | ) | | | 1,223 | | | | 1,223 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Repurchase Agreements | | | | | $ | (4,921 | ) | | $ | 4,823 | | | $ | 4,823 | |
| | | | | | | | | | | | | | | |
REVERSE REPURCHASE AGREEMENTS:
| | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Borrowing
Rate(2) | | | Settlement
Date | | | Maturity
Date | | | Amount
Borrowed(2) | | | Payable for
Reverse
Repurchase
Agreements | |
BCY | | | 0.926 | % | | | 12/07/2021 | | | | 06/07/2022 | | | $ | | | (1,540 | ) | | $ | (1,541 | ) |
BOM | | | 0.520 | | | | 10/13/2021 | | | | 01/11/2022 | | | | | | (4,470 | ) | | | (4,475 | ) |
BOS | | | 0.120 | | | | 12/13/2021 | | | | 01/13/2022 | | | | | | (10,030 | ) | | | (10,031 | ) |
BPS | | | (3.250 | ) | | | 08/19/2021 | | | | TBD | (3) | | EUR | | | (563 | ) | | | (635 | ) |
| | | (0.350 | ) | | | 10/27/2021 | | | | 01/19/2022 | | | | | | (2,938 | ) | | | (3,343 | ) |
| | | (0.350 | ) | | | 11/16/2021 | | | | 02/11/2022 | | | | | | (970 | ) | | | (1,104 | ) |
| | | (0.300 | ) | | | 11/15/2021 | | | | 02/09/2022 | | | | | | (351 | ) | | | (399 | ) |
| | | | | | |
| 56 | | PIMCO CLOSED-END FUNDS | | | See Accompanying Notes | |
| | | | | | | | |
| | | | | | December 31, 2021 | | (Unaudited) |
| | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Borrowing
Rate | | | Settlement
Date | | | Maturity
Date | | | Amount
Borrowed | | | Payable for
Reverse
Repurchase
Agreements | |
| | | 0.190 | % | | | 12/08/2021 | | | | 01/10/2022 | | | $ | | | (8,946 | ) | | $ | (8,947 | ) |
| | | 0.260 | | | | 12/06/2021 | | | | 01/05/2022 | | | | | | (4,805 | ) | | | (4,806 | ) |
| | | 0.300 | | | | 11/10/2021 | | | | 01/12/2022 | | | | | | (8,558 | ) | | | (8,562 | ) |
| | | 0.300 | | | | 11/15/2021 | | | | 01/14/2022 | | | | | | (16,586 | ) | | | (16,593 | ) |
| | | 0.300 | | | | 12/06/2021 | | | | 01/06/2022 | | | | | | (1,690 | ) | | | (1,691 | ) |
| | | 0.350 | | | | 07/20/2021 | | | | 01/20/2022 | | | | | | (1,500 | ) | | | (1,502 | ) |
| | | 0.350 | | | | 11/05/2021 | | | | TBD | (3) | | GBP | | | (941 | ) | | | (1,274 | ) |
| | | 0.350 | | | | 12/01/2021 | | | | 01/05/2022 | | | $ | | | (1,727 | ) | | | (1,727 | ) |
| | | 0.480 | | | | 12/06/2021 | | | | 01/06/2022 | | | | | | (3,031 | ) | | | (3,032 | ) |
| | | 0.490 | | | | 08/27/2021 | | | | 02/28/2022 | | | | | | (3,017 | ) | | | (3,022 | ) |
| | | 0.490 | | | | 09/03/2021 | | | | 03/03/2022 | | | | | | (1,165 | ) | | | (1,167 | ) |
| | | 0.500 | | | | 07/09/2021 | | | | 01/05/2022 | | | | | | (2,543 | ) | | | (2,549 | ) |
| | | 0.500 | | | | 07/14/2021 | | | | 01/12/2022 | | | | | | (1,173 | ) | | | (1,176 | ) |
| | | 0.500 | | | | 07/20/2021 | | | | 01/20/2022 | | | | | | (8,260 | ) | | | (8,280 | ) |
| | | 0.500 | | | | 08/03/2021 | | | | 02/03/2022 | | | | | | (474 | ) | | | (475 | ) |
| | | 0.500 | | | | 10/20/2021 | | | | 02/03/2022 | | | | | | (815 | ) | | | (816 | ) |
| | | 0.500 | | | | 11/26/2021 | | | | 02/03/2022 | | | | | | (1,882 | ) | | | (1,883 | ) |
| | | 0.500 | | | | 12/01/2021 | | | | 01/05/2022 | | | | | | (3,476 | ) | | | (3,478 | ) |
| | | 0.510 | | | | 09/03/2021 | | | | 03/03/2022 | | | | | | (378 | ) | | | (379 | ) |
| | | 0.520 | | | | 09/23/2021 | | | | 03/21/2022 | | | | | | (4,411 | ) | | | (4,418 | ) |
| | | 0.530 | | | | 10/07/2021 | | | | 05/12/2022 | | | | | | (744 | ) | | | (745 | ) |
| | | 0.530 | | | | 11/22/2021 | | | | 02/24/2022 | | | | | | (987 | ) | | | (988 | ) |
| | | 0.550 | | | | 09/03/2021 | | | | 03/03/2022 | | | | | | (844 | ) | | | (845 | ) |
| | | 0.570 | | | | 11/22/2021 | | | | 02/24/2022 | | | | | | (639 | ) | | | (639 | ) |
| | | 0.570 | | | | 12/08/2021 | | | | 01/10/2022 | | | | | | (12,516 | ) | | | (12,522 | ) |
BRC | | | (0.320 | ) | | | 11/05/2021 | | | | TBD | (3) | | EUR | | | (1,178 | ) | | | (1,341 | ) |
| | | 0.450 | | | | 10/05/2021 | | | | 01/06/2022 | | | $ | | | (2,545 | ) | | | (2,548 | ) |
| | | 0.450 | | | | 11/15/2021 | | | | 02/09/2022 | | | GBP | | | (2,528 | ) | | | (3,424 | ) |
| | | 0.500 | | | | 07/19/2021 | | | | 01/19/2022 | | | $ | | | (1,209 | ) | | | (1,211 | ) |
| | | 0.500 | | | | 07/26/2021 | | | | 01/26/2022 | | | | | | (283 | ) | | | (284 | ) |
| | | 0.500 | | | | 09/24/2021 | | | | 03/21/2022 | | | | | | (1,553 | ) | | | (1,555 | ) |
| | | 0.550 | | | | 12/27/2021 | | | | 03/10/2022 | | | | | | (1,460 | ) | | | (1,460 | ) |
CEW | | | (0.300 | ) | | | 11/15/2021 | | | | 02/09/2022 | | | EUR | | | (455 | ) | | | (518 | ) |
| | | 0.450 | | | | 07/22/2021 | | | | 01/21/2022 | | | $ | | | (970 | ) | | | (972 | ) |
| | | 0.600 | | | | 09/14/2021 | | | | 03/14/2022 | | | | | | (2,378 | ) | | | (2,382 | ) |
CIB | | | 0.120 | | | | 12/13/2021 | | | | 01/13/2022 | | | | | | (6,319 | ) | | | (6,320 | ) |
| | | 0.140 | | | | 11/15/2021 | | | | 01/11/2022 | | | | | | (259 | ) | | | (259 | ) |
| | | 0.570 | | | | 10/12/2021 | | | | 01/13/2022 | | | | | | (1,541 | ) | | | (1,543 | ) |
| | | 0.570 | | | | 10/13/2021 | | | | 01/18/2022 | | | | | | (2,044 | ) | | | (2,046 | ) |
| | | 0.570 | | | | 10/14/2021 | | | | 01/13/2022 | | | | | | (3,961 | ) | | | (3,966 | ) |
FBF | | | (2.500 | ) | | | 10/26/2021 | | | | TBD | (3) | | EUR | | | (890 | ) | | | (1,009 | ) |
| | | (0.500 | ) | | | 11/18/2021 | | | | TBD | (3) | | $ | | | (976 | ) | | | (975 | ) |
IND | | | 0.300 | | | | 08/16/2021 | | | | 03/09/2022 | | | | | | (95 | ) | | | (95 | ) |
| | | 0.300 | | | | 10/21/2021 | | | | 03/09/2022 | | | | | | (1,291 | ) | | | (1,292 | ) |
| | | 0.400 | | | | 12/21/2021 | | | | 03/17/2022 | | | | | | (549 | ) | | | (549 | ) |
JML | | | (0.450 | ) | | | 11/16/2021 | | | | TBD | (3) | | EUR | | | (825 | ) | | | (939 | ) |
| | | (0.400 | ) | | | 11/05/2021 | | | | TBD | (3) | | | | | (1,888 | ) | | | (2,148 | ) |
| | | (0.350 | ) | | | 11/16/2021 | | | | 02/11/2022 | | | | | | (482 | ) | | | (549 | ) |
| | | 0.400 | | | | 10/08/2021 | | | | 01/13/2022 | | | $ | | | (1,975 | ) | | | (1,976 | ) |
| | | 0.400 | | | | 12/15/2021 | | | | 01/13/2022 | | | | | | (261 | ) | | | (261 | ) |
NOM | | | 0.080 | | | | 10/27/2021 | | | | TBD | (3) | | | | | (1,799 | ) | | | (1,800 | ) |
| | | 0.250 | | | | 11/08/2021 | | | | TBD | (3) | | | | | (166 | ) | | | (166 | ) |
| | | 0.250 | | | | 12/23/2021 | | | | 11/05/2023 | | | | | | (2,083 | ) | | | (2,082 | ) |
RDR | | | 0.270 | | | | 10/01/2021 | | | | 01/20/2022 | | | | | | (1,376 | ) | | | (1,377 | ) |
| | | 0.300 | | | | 11/08/2021 | | | | 02/08/2022 | | | | | | (1,573 | ) | | | (1,574 | ) |
| | | 0.300 | | | | 11/22/2021 | | | | 01/20/2022 | | | | | | (12,767 | ) | | | (12,772 | ) |
SCX | | | 0.340 | | | | 11/15/2021 | | | | 02/09/2022 | | | GBP | | | (535 | ) | | | (725 | ) |
SOG | | | 0.240 | | | | 11/16/2021 | | | | TBD | (3) | | $ | | | (202 | ) | | | (202 | ) |
| | | 0.350 | | | | 11/16/2021 | | | | TBD | (3) | | | | | (5,457 | ) | | | (5,459 | ) |
| | | 0.470 | | | | 10/12/2021 | | | | 01/13/2022 | | | | | | (682 | ) | | | (682 | ) |
| | | 0.500 | | | | 08/20/2021 | | | | 02/22/2022 | | | | | | (746 | ) | | | (747 | ) |
| | | 0.500 | | | | 10/01/2021 | | | | 04/01/2022 | | | | | | (6,643 | ) | | | (6,652 | ) |
| | | 0.550 | | | | 10/26/2021 | | | | 04/27/2022 | | | | | | (496 | ) | | | (496 | ) |
TDM | | | 0.220 | | | | 08/03/2021 | | | | TBD | (3) | | | | | (329 | ) | | | (329 | ) |
| | | 0.220 | | | | 08/04/2021 | | | | TBD | (3) | | | | | (497 | ) | | | (497 | ) |
| | | 0.220 | | | | 08/18/2021 | | | | TBD | (3) | | | | | (3,147 | ) | | | (3,150 | ) |
| | | 0.220 | | | | 09/01/2021 | | | | TBD | (3) | | | | | (964 | ) | | | (965 | ) |
| | | 0.220 | | | | 09/30/2021 | | | | TBD | (3) | | | | | (107 | ) | | | (107 | ) |
| | | 0.250 | | | | 09/14/2021 | | | | TBD | (3) | | | | | (214 | ) | | | (214 | ) |
UBS | | | 0.420 | | | | 10/14/2021 | | | | 01/14/2022 | | | | | | (1,639 | ) | | | (1,641 | ) |
| | | 0.430 | | | | 11/04/2021 | | | | 01/05/2022 | | | | | | (6,249 | ) | | | (6,254 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
Total Reverse Repurchase Agreements | | | | | | | | | $ | (200,557 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
| See Accompanying Notes | | | SEMIANNUAL REPORT | | | | | | | DECEMBER 31, 2021 | | | 57 |
| | | | | | | | |
| Schedule of Investments | | PIMCO Strategic Income Fund, Inc. | | (Cont.) | | | | |
SHORT SALES:
| | | | | | | | | | | | | | | | | | | | |
| Description | | Coupon | | | Maturity
Date | | | Principal
Amount | | | Proceeds | | | Payable for
Short Sales | |
U.S. Government Agencies (1.0)% | |
Uniform Mortgage-Backed Security, TBA | | | 2.000 | % | | | 02/01/2037 | | | $ | 300 | | | $ | (306 | ) | | $ | (307 | ) |
Uniform Mortgage-Backed Security, TBA | | | 2.000 | | | | 02/01/2052 | | | | 1,950 | | | | (1,944 | ) | | | (1,940 | ) |
Uniform Mortgage-Backed Security, TBA | | | 2.500 | | | | 01/01/2052 | | | | 40,740 | | | | 0 | | | | 0 | |
Uniform Mortgage-Backed Security, TBA | | | 4.000 | | | | 01/01/2052 | | | | 5,000 | | | | 0 | | | | 0 | |
Uniform Mortgage-Backed Security, TBA | | | 4.000 | | | | 03/01/2052 | | | | 500 | | | | (532 | ) | | | (531 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Short Sales (1.0)% | | | | | | | | | | | | | | $ | (2,782 | ) | | $ | (2,778 | ) |
| | | | | | | | | | | | | | | | | | | | |
BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY
The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral pledged/(received) as of December 31, 2021:
| | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Repurchase
Agreement
Proceeds
to be
Received(1) | | | Payable for
Reverse
Repurchase
Agreements | | | Payable for
Sale-Buyback
Transactions | | | Total
Borrowings and
Other Financing
Transactions | | | Collateral
Pledged/(Received) | | | Net Exposure(4) | |
Global/Master Repurchase Agreement | |
BCY | | $ | 0 | | | $ | (1,541 | ) | | $ | 0 | | | $ | (1,541 | ) | | $ | 2,200 | | | $ | 659 | |
BOM | | | 0 | | | | (4,475 | ) | | | 0 | | | | (4,475 | ) | | | 5,766 | | | | 1,291 | |
BOS | | | 0 | | | | (10,031 | ) | | | 0 | | | | (10,031 | ) | | | 10,343 | | | | 312 | |
BPS | | | 3,600 | | | | (96,997 | ) | | | 0 | | | | (93,397 | ) | | | 104,954 | | | | 11,557 | |
BRC | | | 0 | | | | (11,823 | ) | | | 0 | | | | (11,823 | ) | | | 13,418 | | | | 1,595 | |
CEW | | | 0 | | | | (3,872 | ) | | | 0 | | | | (3,872 | ) | | | 4,650 | | | | 778 | |
CIB | | | 0 | | | | (14,134 | ) | | | 0 | | | | (14,134 | ) | | | 15,633 | | | | 1,499 | |
FBF | | | 0 | | | | (1,984 | ) | | | 0 | | | | (1,984 | ) | | | 2,215 | | | | 231 | |
FICC | | | 1,223 | | | | 0 | | | | 0 | | | | 1,223 | | | | (1,247 | ) | | | (24 | ) |
IND | | | 0 | | | | (1,936 | ) | | | 0 | | | | (1,936 | ) | | | 2,112 | | | | 176 | |
JML | | | 0 | | | | (5,873 | ) | | | 0 | | | | (5,873 | ) | | | 6,801 | | | | 928 | |
NOM | | | 0 | | | | (4,048 | ) | | | 0 | | | | (4,048 | ) | | | 5,420 | | | | 1,372 | |
RDR | | | 0 | | | | (15,723 | ) | | | 0 | | | | (15,723 | ) | | | 16,397 | | | | 674 | |
SCX | | | 0 | | | | (725 | ) | | | 0 | | | | (725 | ) | | | 787 | | | | 62 | |
SOG | | | 0 | | | | (14,238 | ) | | | 0 | | | | (14,238 | ) | | | 17,106 | | | | 2,868 | |
TDM | | | 0 | | | | (5,262 | ) | | | 0 | | | | (5,262 | ) | | | 5,255 | | | | (7 | ) |
UBS | | | 0 | | | | (7,895 | ) | | | 0 | | | | (7,895 | ) | | | 9,030 | | | | 1,135 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Borrowings and Other Financing Transactions | | $ | 4,823 | | | $ | (200,557 | ) | | $ | 0 | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS
Remaining Contractual Maturity of the Agreements
| | | | | | | | | | | | | | | | | | | | |
| | | Overnight and
Continuous | | | Up to 30 days | | | 31-90 days | | | Greater Than 90 days | | | Total | |
Reverse Repurchase Agreements | | | | | | | | | | | | | | | | | | | | |
Corporate Bonds & Notes | | $ | 0 | | | $ | (84,194 | ) | | $ | (27,764 | ) | | $ | (29,386 | ) | | $ | (141,344 | ) |
Convertible Bonds & Notes | | | 0 | | | | 0 | | | | (549 | ) | | | 0 | | | | (549 | ) |
U.S. Government Agencies | | | 0 | | | | (50,109 | ) | | | 0 | | | | 0 | | | | (50,109 | ) |
Non-Agency Mortgage-Backed Securities | | | 0 | | | | 0 | | | | (2,382 | ) | | | (1,541 | ) | | | (3,923 | ) |
Sovereign Issues | | | 0 | | | | (2,521 | ) | | | (311 | ) | | | (1,800 | ) | | | (4,632 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Borrowings | | $ | 0 | | | $ | (136,824 | ) | | $ | (31,006 | ) | | $ | (32,727 | ) | | $ | (200,557 | ) |
| | | | | | | | | | | | | | | | | | | | |
Payable for reverse repurchase agreements | | | $ | (200,557 | ) |
| | | | | |
| (o) | Securities with an aggregate market value of $224,992 and cash of $1,023 have been pledged as collateral under the terms of the above master agreements as of December 31, 2021. |
| (1) | Includes accrued interest. |
| (2) | The average amount of borrowings outstanding during the period ended December 31, 2021 was $(217,751) at a weighted average interest rate of 0.326%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. |
| (3) | Open maturity reverse repurchase agreement. |
| (4) | Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information. |
| | | | | | |
| 58 | | PIMCO CLOSED-END FUNDS | | | See Accompanying Notes | |
| | | | | | | | |
| | | | | | December 31, 2021 | | (Unaudited) |
(p) FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED
SWAP AGREEMENTS:
CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION(1)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Entity | | Fixed
Receive Rate | | | Payment
Frequency | | | Maturity
Date | | | Implied
Credit Spread at
December 31, 2021(2) | | | Notional
Amount(3) | | | Premiums
Paid/(Received) | | | Unrealized
Appreciation/
(Depreciation) | | | Market
Value(4) | | | Variation Margin | |
| | Asset | | | Liability | |
Boeing Co. | | | 1.000 | % | | | Quarterly | | | | 06/20/2026 | | | | 0.974 | % | | | $ | | | | 2,300 | | | $ | (42 | ) | | $ | 45 | | | $ | 3 | | | $ | 0 | | | $ | (1 | ) |
Rolls-Royce PLC | | | 1.000 | | | | Quarterly | | | | 12/20/2025 | | | | 1.481 | | | | EUR | | | | 3,500 | | | | (381 | ) | | | 308 | | | | (73 | ) | | | 5 | | | | 0 | |
Rolls-Royce PLC | | | 1.000 | | | | Quarterly | | | | 06/20/2026 | | | | 1.612 | | | | | | | | 300 | | | | (27 | ) | | | 18 | | | | (9 | ) | | | 0 | | | | 0 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | $ | (450 | ) | | $ | 371 | | | $ | (79 | ) | | $ | 5 | | | $ | (1 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION(1)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Index/Tranches | | Fixed
Receive Rate | | | Payment
Frequency | | Maturity
Date | | | Notional
Amount(3) | | | Premiums
Paid/(Received) | | | Unrealized
Appreciation/
(Depreciation) | | | Market
Value(4) | | | Variation Margin | |
| | Asset | | | Liability | |
iTraxx Asia Ex-Japan 36 5-Year Index | | | 1.000 | % | | Quarterly | | | 12/20/2026 | | | $ | 4,400 | | | $ | 17 | | | $ | 29 | | | $ | 46 | | | $ | 1 | | | $ | 0 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
INTEREST RATE SWAPS
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Pay/Receive
Floating Rate | | Floating Rate Index | | Fixed Rate | | | Payment
Frequency | | Maturity
Date | | | Notional
Amount | | | Premiums
Paid/(Received) | | | Unrealized
Appreciation/
(Depreciation) | | | Market
Value | | | Variation Margin | |
| | Asset | | | Liability | |
Receive(5) | | 1-Day GBP-SONIO Compounded-OIS | | | 0.750 | % | | Annual | | | 03/16/2052 | | | | GBP | | | | 3,500 | | | $ | (61 | ) | | $ | 164 | | | $ | 103 | | | $ | 0 | | | $ | (89 | ) |
Receive(5) | | 1-Day GBP-SONIO Compounded-OIS | | | 0.750 | | | Annual | | | 09/21/2052 | | | | | | | | 2,600 | | | | (17 | ) | | | 91 | | | | 74 | | | | 0 | | | | (67 | ) |
Receive(5) | | 1-Day USD-SOFR Compounded-OIS | | | 1.000 | | | Annual | | | 06/15/2027 | | | | $ | | | | 900 | | | | 11 | | | | 0 | | | | 11 | | | | 0 | | | | 0 | |
Pay | | 1-Year BRL-CDI | | | 3.700 | | | Maturity | | | 01/03/2022 | | | | BRL | | | | 96,800 | | | | (34 | ) | | | (135 | ) | | | (169 | ) | | | 0 | | | | 0 | |
Pay | | 1-Year BRL-CDI | | | 3.978 | | | Maturity | | | 01/03/2022 | | | | | | | | 4,100 | | | | 0 | | | | (6 | ) | | | (6 | ) | | | 0 | | | | 0 | |
Pay | | 1-Year BRL-CDI | | | 4.040 | | | Maturity | | | 01/03/2022 | | | | | | | | 4,200 | | | | 0 | | | | (6 | ) | | | (6 | ) | | | 0 | | | | 0 | |
Pay | | 1-Year BRL-CDI | | | 7.655 | | | Maturity | | | 01/02/2024 | | | | | | | | 79,200 | | | | 0 | | | | (568 | ) | | | (568 | ) | | | 0 | | | | (4 | ) |
Pay | | 3-Month CAD-Bank Bill | | | 3.300 | | | Semi-Annual | | | 06/19/2024 | | | | CAD | | | | 11,200 | | | | 624 | | | | (262 | ) | | | 362 | | | | 5 | | | | 0 | |
Receive | | 3-Month CAD-Bank Bill | | | 3.500 | | | Semi-Annual | | | 06/20/2044 | | | | | | | | 3,800 | | | | (534 | ) | | | (211 | ) | | | (745 | ) | | | 0 | | | | (13 | ) |
Receive | | 3-Month USD-LIBOR | | | 0.250 | | | Semi-Annual | | | 12/18/2022 | | | | $ | | | | 101,000 | | | | 49 | | | | 208 | | | | 257 | | | | 1 | | | | 0 | |
Receive | | 3-Month USD-LIBOR | | | 1.000 | | | Semi-Annual | | | 06/17/2023 | | | | | | | | 3,400 | | | | (76 | ) | | | 62 | | | | (14 | ) | | | 0 | | | | 0 | |
Receive | | 3-Month USD-LIBOR | | | 0.500 | | | Semi-Annual | | | 12/15/2023 | | | | | | | | 85,300 | | | | (4 | ) | | | 685 | | | | 681 | | | | 17 | | | | 0 | |
Receive | | 3-Month USD-LIBOR | | | 3.000 | | | Semi-Annual | | | 06/19/2024 | | | | | | | | 32,500 | | | | (1,241 | ) | | | (328 | ) | | | (1,569 | ) | | | 3 | | | | 0 | |
Receive | | 3-Month USD-LIBOR | | | 1.500 | | | Semi-Annual | | | 12/18/2024 | | | | | | | | 14,000 | | | | 46 | | | | (189 | ) | | | (143 | ) | | | 2 | | | | 0 | |
Receive | | 3-Month USD-LIBOR | | | 2.000 | | | Semi-Annual | | | 06/20/2025 | | | | | | | | 8,400 | | | | 399 | | | | (622 | ) | | | (223 | ) | | | 1 | | | | 0 | |
Receive(5) | | 3-Month USD-LIBOR | | | 1.350 | | | Semi-Annual | | | 01/20/2027 | | | | | | | | 3,200 | | | | 0 | | | | 4 | | | | 4 | | | | 0 | | | | (1 | ) |
Receive(5) | | 3-Month USD-LIBOR | | | 1.360 | | | Semi-Annual | | | 02/15/2027 | | | | | | | | 2,130 | | | | 0 | | | | 4 | | | | 4 | | | | 0 | | | | (1 | ) |
Receive(5) | | 3-Month USD-LIBOR | | | 1.450 | | | Semi-Annual | | | 02/17/2027 | | | | | | | | 3,500 | | | | 0 | | | | (8 | ) | | | (8 | ) | | | 0 | | | | (2 | ) |
Receive(5) | | 3-Month USD-LIBOR | | | 1.420 | | | Semi-Annual | | | 02/24/2027 | | | | | | | | 1,000 | | | | 0 | | | | (1 | ) | | | (1 | ) | | | 0 | | | | 0 | |
Pay | | 3-Month USD-LIBOR | | | 0.500 | | | Semi-Annual | | | 06/16/2028 | | | | | | | | 75,556 | | | | (4,247 | ) | | | (207 | ) | | | (4,454 | ) | | | 42 | | | | 0 | |
Receive | | 3-Month USD-LIBOR | | | 1.420 | | | Semi-Annual | | | 08/17/2028 | | | | | | | | 3,800 | | | | 0 | | | | (11 | ) | | | (11 | ) | | | 0 | | | | (3 | ) |
Receive | | 3-Month USD-LIBOR | | | 1.370 | | | Semi-Annual | | | 08/25/2028 | | | | | | | | 11,363 | | | | 0 | | | | 10 | | | | 10 | | | | 0 | | | | (8 | ) |
Pay | | 3-Month USD-LIBOR | | | 1.500 | | | Semi-Annual | | | 12/15/2028 | | | | | | | | 66,541 | | | | 1,190 | | | | (1,025 | ) | | | 165 | | | | 40 | | | | 0 | |
Receive(5) | | 3-Month USD-LIBOR | | | 1.500 | | | Semi-Annual | | | 01/12/2029 | | | | | | | | 2,365 | | | | 0 | | | | (3 | ) | | | (3 | ) | | | 0 | | | | (1 | ) |
Pay | | 3-Month USD-LIBOR | | | 3.000 | | | Semi-Annual | | | 06/19/2029 | | | | | | | | 65,000 | | | | 5,159 | | | | 1,903 | | | | 7,062 | | | | 40 | | | | 0 | |
Pay | | 3-Month USD-LIBOR | | | 1.500 | | | Semi-Annual | | | 12/18/2029 | | | | | | | | 4,500 | | | | (68 | ) | | | 65 | | | | (3 | ) | | | 2 | | | | 0 | |
Receive | | 3-Month USD-LIBOR | | | 1.000 | | | Semi-Annual | | | 12/16/2030 | | | | | | | | 4,805 | | | | 28 | | | | 195 | | | | 223 | | | | 0 | | | | (2 | ) |
Receive | | 3-Month USD-LIBOR | | | 1.750 | | | Semi-Annual | | | 12/15/2031 | | | | | | | | 19,500 | | | | (299 | ) | | | (41 | ) | | | (340 | ) | | | 0 | | | | (12 | ) |
Receive(5) | | 3-Month USD-LIBOR | | | 1.350 | | | Semi-Annual | | | 02/03/2032 | | | | | | | | 95,700 | | | | (718 | ) | | | 2,867 | | | | 2,149 | | | | 0 | | | | (65 | ) |
Receive | | 3-Month USD-LIBOR | | | 2.000 | | | Semi-Annual | | | 01/15/2050 | | | | | | | | 4,400 | | | | (32 | ) | | | (268 | ) | | | (300 | ) | | | 0 | | | | (20 | ) |
Receive | | 3-Month USD-LIBOR | | | 1.750 | | | Semi-Annual | | | 01/22/2050 | | | | | | | | 4,100 | | | | (9 | ) | | | (29 | ) | | | (38 | ) | | | 0 | | | | (18 | ) |
Receive | | 3-Month USD-LIBOR | | | 1.875 | | | Semi-Annual | | | 02/07/2050 | | | | | | | | 1,400 | | | | (5 | ) | | | (48 | ) | | | (53 | ) | | | 0 | | | | (6 | ) |
Receive | | 3-Month USD-LIBOR | | | 1.150 | | | Semi-Annual | | | 12/11/2050 | | | | | | | | 17,500 | | | | 36 | | | | 2,390 | | | | 2,426 | | | | 0 | | | | (68 | ) |
Receive | | 3-Month USD-LIBOR | | | 1.250 | | | Semi-Annual | | | 12/16/2050 | | | | | | | | 9,000 | | | | 909 | | | | 127 | | | | 1,036 | | | | 0 | | | | (35 | ) |
Receive | | 3-Month USD-LIBOR | | | 1.450 | | | Semi-Annual | | | 04/07/2051 | | | | | | | | 3,500 | | | | 0 | | | | 220 | | | | 220 | | | | 0 | | | | (16 | ) |
Pay | | 3-Month USD-LIBOR | | | 1.650 | | | Semi-Annual | | | 04/08/2051 | | | | | | | | 14,600 | | | | 0 | | | | (216 | ) | | | (216 | ) | | | 70 | | | | 0 | |
Pay | | 3-Month ZAR-JIBAR | | | 5.873 | | | Quarterly | | | 05/12/2026 | | | | ZAR | | | | 149,000 | | | | (3 | ) | | | (76 | ) | | | (79 | ) | | | 15 | | | | 0 | |
Pay | | 6-Month CZK-PRIBOR | | | 1.800 | | | Annual | | | 05/17/2026 | | | | CZK | | | | 146,800 | | | | 0 | | | | (519 | ) | | | (519 | ) | | | 0 | | | | (23 | ) |
Receive | | 6-Month EUR-EURIBOR | | | 0.260 | | | Annual | | | 09/06/2024 | | | | EUR | | | | 15,100 | | | | 2 | | | | (249 | ) | | | (247 | ) | | | 3 | | | | 0 | |
Pay | | 6-Month HUF-BBR | | | 2.121 | | | Annual | | | 05/17/2026 | | | | HUF | | | | 2,037,400 | | | | 0 | | | | (577 | ) | | | (577 | ) | | | 0 | | | | (20 | ) |
Pay | | 28-Day MXN-TIIE | | | 4.550 | | | Lunar | | | 02/27/2023 | | | | MXN | | | | 59,400 | | | | 7 | | | | (90 | ) | | | (83 | ) | | | 0 | | | | 0 | |
Pay | | 28-Day MXN-TIIE | | | 4.500 | | | Lunar | | | 03/03/2023 | | | | | | | | 39,200 | | | | (1 | ) | | | (55 | ) | | | (56 | ) | | | 0 | | | | 0 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | $ | 1,111 | | | $ | 3,245 | | | $ | 4,356 | | | $ | 241 | | | $ | (474 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Swap Agreements | | | | | | | $ | 678 | | | $ | 3,645 | | | $ | 4,323 | | | $ | 247 | | | $ | (475 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
| See Accompanying Notes | | | SEMIANNUAL REPORT | | | | | | | DECEMBER 31, 2021 | | | 59 |
| | | | | | | | |
| Schedule of Investments | | PIMCO Strategic Income 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, 2021:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 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 | | | $ | 247 | | | $ | 247 | | | | | | | $ | 0 | | | $ | 0 | | | $ | (475) | | | $ | (475) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Cash of $11,653 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2021. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information.
| (1) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (2) | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| (3) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| (4) | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| (5) | This instrument has a forward starting effective date. See Note 2, Securities Transactions and Investment Income, in the Notes to Financial Statements for further information. |
(q) FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER
FORWARD FOREIGN CURRENCY CONTRACTS:
| | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Settlement
Month | | | Currency to
be Delivered | | | Currency to
be Received | | | Unrealized Appreciation/
(Depreciation) | |
| | Asset | | | Liability | |
BOA | | | 01/2022 | | | CZK | | | 1,631 | | | $ | | | 76 | | | $ | 1 | | | $ | 0 | |
| | | 01/2022 | | | $ | | | 22,784 | | | EUR | | | 20,129 | | | | 133 | | | | 0 | |
| | | 02/2022 | | | EUR | | | 20,000 | | | $ | | | 22,652 | | | | 0 | | | | (131 | ) |
| | | 03/2022 | | | MXN | | | 2,567 | | | | | | 123 | | | | 0 | | | | (1 | ) |
| | | 06/2022 | | | PEN | | | 705 | | | | | | 169 | | | | 0 | | | | (6 | ) |
| | | 07/2022 | | | $ | | | 205 | | | PEN | | | 825 | | | | 0 | | | | (1 | ) |
| | | | | | | |
BPS | | | 01/2022 | | | CAD | | | 682 | | | $ | | | 535 | | | | 0 | | | | (4 | ) |
| | | 01/2022 | | | EUR | | | 3,306 | | | | | | 3,733 | | | | 0 | | | | (31 | ) |
| | | 01/2022 | | | GBP | | | 13,372 | | | | | | 17,706 | | | | 0 | | | | (393 | ) |
| | | 01/2022 | | | $ | | | 328 | | | EUR | | | 290 | | | | 2 | | | | 0 | |
| | | 01/2022 | | | | | | 478 | | | GBP | | | 360 | | | | 9 | | | | 0 | |
| | | 02/2022 | | | HUF | | | 44,282 | | | $ | | | 135 | | | | 0 | | | | (1 | ) |
| | | 05/2022 | | | ZAR | | | 673 | | | | | | 43 | | | | 1 | | | | 0 | |
| | | 08/2022 | | | | | | 668 | | | | | | 42 | | | | 1 | | | | 0 | |
| | | 11/2022 | | | | | | 961 | | | | | | 60 | | | | 2 | | | | 0 | |
| | | | | | | |
BRC | | | 11/2022 | | | | | | 697 | | | | | | 43 | | | | 1 | | | | 0 | |
| | | | | | | |
CBK | | | 01/2022 | | | BRL | | | 4,474 | | | | | | 802 | | | | 0 | | | | (2 | ) |
| | | 01/2022 | | | EUR | | | 1,111 | | | | | | 1,260 | | | | 0 | | | | (5 | ) |
| | | 01/2022 | | | PEN | | | 3,716 | | | | | | 911 | | | | 0 | | | | (20 | ) |
| | | 01/2022 | | | $ | | | 796 | | | BRL | | | 4,474 | | | | 7 | | | | 0 | |
| | | 01/2022 | | | | | | 4,530 | | | EUR | | | 4,003 | | | | 28 | | | | 0 | |
| | | 01/2022 | | | | | | 912 | | | PEN | | | 3,716 | | | | 19 | | | | 0 | |
| | | 03/2022 | | | PEN | | | 11,415 | | | $ | | | 2,756 | | | | 0 | | | | (93 | ) |
| | | 04/2022 | | | | | | 562 | | | | | | 140 | | | | 0 | | | | 0 | |
| | | 05/2022 | | | $ | | | 175 | | | PEN | | | 715 | | | | 3 | | | | 0 | |
| | | 08/2022 | | | PEN | | | 669 | | | $ | | | 165 | | | | 0 | | | | 0 | |
| | | 12/2022 | | | $ | | | 886 | | | PEN | | | 3,716 | | | | 21 | | | | 0 | |
| | | | | | | |
DUB | | | 01/2022 | | | CZK | | | 5,966 | | | $ | | | 272 | | | | 0 | | | | (1 | ) |
| | | 02/2022 | | | HUF | | | 150,847 | | | | | | 471 | | | | 7 | | | | 0 | |
| | | | | | | |
FBF | | | 01/2022 | | | BRL | | | 4,474 | | | | | | 786 | | | | 0 | | | | (17 | ) |
| | | 01/2022 | | | $ | | | 802 | | | BRL | | | 4,474 | | | | 1 | | | | 0 | |
| | | 02/2022 | | | | | | 781 | | | | | | 4,474 | | | | 17 | | | | 0 | |
| | | | | | |
| 60 | | PIMCO CLOSED-END FUNDS | | | See Accompanying Notes | |
| | | | | | | | |
| | | | | | December 31, 2021 | | (Unaudited) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Settlement
Month | | | Currency to
be Delivered | | | Currency to
be Received | | | Unrealized Appreciation/
(Depreciation) | |
| | Asset | | | Liability | |
GLM | | | 01/2022 | | | $ | | | 5,729 | | | EUR | | | 5,060 | | | $ | 32 | | | $ | 0 | |
| | | 01/2022 | | | | | | 105 | | | PEN | | | 435 | | | | 4 | | | | 0 | |
| | | 02/2022 | | | EUR | | | 5,060 | | | $ | | | 5,732 | | | | 0 | | | | (32 | ) |
| | | 02/2022 | | | HUF | | | 42,434 | | | | | | 130 | | | | 0 | | | | 0 | |
| | | | | | | |
HUS | | | 01/2022 | | | CAD | | | 85 | | | | | | 67 | | | | 0 | | | | (1 | ) |
| | | 01/2022 | | | CZK | | | 4,224 | | | | | | 192 | | | | 0 | | | | (1 | ) |
| | | 01/2022 | | | $ | | | 380 | | | GBP | | | 285 | | | | 6 | | | | 0 | |
| | | | | | | |
RBC | | | 01/2022 | | | CAD | | | 90 | | | $ | | | 70 | | | | 0 | | | | (1 | ) |
| | | | | | | |
RYL | | | 01/2022 | | | $ | | | 641 | | | GBP | | | 486 | | | | 17 | | | | 0 | |
| | | 08/2022 | | | | | | 114 | | | ZAR | | | 1,884 | | | | 1 | | | | 0 | |
| | | | | | | |
SCX | | | 01/2022 | | | EUR | | | 23,000 | | | $ | | | 25,927 | | | | 0 | | | | (258 | ) |
| | | 02/2022 | | | GBP | | | 13,372 | | | | | | 18,110 | | | | 12 | | | | 0 | |
| | | 11/2022 | | | PEN | | | 140 | | | | | | 34 | | | | 0 | | | | 0 | |
| | | | | | | |
TOR | | | 01/2022 | | | MXN | | | 740 | | | | | | 36 | | | | 0 | | | | 0 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Forward Foreign Currency Contracts | | | $ | 325 | | | $ | (999 | ) |
| | | | | | | | | |
SWAP AGREEMENTS:
INTEREST RATE SWAPS
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Pay/Receive
Floating Rate | | Floating Rate Index | | Fixed Rate | | | Payment
Frequency | | | Maturity
Date | | Notional
Amount | | | Premiums
Paid/(Received) | | | Unrealized
Appreciation/
(Depreciation) | | | Swap Agreements,
at Value | |
| | Asset | | | Liability | |
| BOA | | Pay | | 3-Month USD-LIBOR | | | 1.550 | % | | | Semi-Annual | | | 01/20/2027 | | $ | 14,200 | | | $ | 0 | | | $ | 40 | | | $ | 40 | | | $ | 0 | |
| | | | | | | | | | |
| GLM | | Pay | | 3-Month USD-LIBOR | | | 1.700 | | | | Semi-Annual | | | 02/17/2027 | | | 14,000 | | | | (3 | ) | | | 41 | | | | 38 | | | | 0 | |
| | Pay | | 3-Month USD-LIBOR | | | 1.650 | | | | Semi-Annual | | | 02/24/2027 | | | 3,400 | | | | 0 | | | | 6 | | | | 6 | | | | 0 | |
| | Pay | | 3-Month USD-LIBOR | | | 1.700 | | | | Semi-Annual | | | 01/12/2029 | | | 8,600 | | | | (6 | ) | | | 39 | | | | 33 | | | | 0 | |
| | | | | | | | | | |
| MYC | | Pay | | 3-Month USD-LIBOR | | | 1.600 | | | | Semi-Annual | | | 02/15/2027 | | | 8,500 | | | | (2 | ) | | | 18 | | | | 16 | | | | 0 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Swap Agreements | | | $ | (11 | ) | | $ | 144 | | | $ | 133 | | | $ | 0 | |
| | | | | | | | | | | | | | | | | |
FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER SUMMARY
The following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral pledged/(received) as of December 31, 2021:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Financial Derivative Assets | | | | | | Financial Derivative Liabilities | | | | | | | | | | |
| Counterparty | | Forward
Foreign
Currency
Contracts | | | Purchased
Options | | | Swap
Agreements | | | Total
Over the
Counter | | | | | | Forward
Foreign
Currency
Contracts | | | Written
Options | | | Swap
Agreements | | | Total
Over the
Counter | | | Net Market
Value of OTC
Derivatives | | | Collateral
Pledged/
(Received) | | | Net
Exposure(1) | |
BOA | | $ | 134 | | | $ | 0 | | | $ | 40 | | | $ | 174 | | | | | | | $ | (139 | ) | | $ | 0 | | | $ | 0 | | | $ | (139 | ) | | $ | 35 | | | $ | 0 | | | $ | 35 | |
BPS | | | 15 | | | | 0 | | | | 0 | | | | 15 | | | | | | | | (429 | ) | | | 0 | | | | 0 | | | | (429 | ) | | | (414 | ) | | | 342 | | | | (72 | ) |
BRC | | | 1 | | | | 0 | | | | 0 | | | | 1 | | | | | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 1 | | | | 0 | | | | 1 | |
CBK | | | 78 | | | | 0 | | | | 0 | | | | 78 | | | | | | | | (120 | ) | | | 0 | | | | 0 | | | | (120 | ) | | | (42 | ) | | | 0 | | | | (42 | ) |
DUB | | | 7 | | | | 0 | | | | 0 | | | | 7 | | | | | | | | (1 | ) | | | 0 | | | | 0 | | | | (1 | ) | | | 6 | | | | 0 | | | | 6 | |
FBF | | | 18 | | | | 0 | | | | 0 | | | | 18 | | | | | | | | (17 | ) | | | 0 | | | | 0 | | | | (17 | ) | | | 1 | | | | 0 | | | | 1 | |
GLM | | | 36 | | | | 0 | | | | 77 | | | | 113 | | | | | | | | (32 | ) | | | 0 | | | | 0 | | | | (32 | ) | | | 81 | | | | 0 | | | | 81 | |
HUS | | | 6 | | | | 0 | | | | 0 | | | | 6 | | | | | | | | (2 | ) | | | 0 | | | | 0 | | | | (2 | ) | | | 4 | | | | 0 | | | | 4 | |
MYC | | | 0 | | | | 0 | | | | 16 | | | | 16 | | | | | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 16 | | | | 0 | | | | 16 | |
RBC | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | | | | | (1 | ) | | | 0 | | | | 0 | | | | (1 | ) | | | (1 | ) | | | 0 | | | | (1 | ) |
RYL | | | 18 | | | | 0 | | | | 0 | | | | 18 | | | | | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 18 | | | | 0 | | | | 18 | |
SCX | | | 12 | | | | 0 | | | | 0 | | | | 12 | | | | | | | | (258 | ) | | | 0 | | | | 0 | | | | (258 | ) | | | (246 | ) | | | 0 | | | | (246 | ) |
TOR | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | (10 | ) | | | (10 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Over the Counter | | $ | 325 | | | $ | 0 | | | $ | 133 | | | $ | 458 | | | | | | | $ | (999 | ) | | $ | 0 | | | $ | 0 | | | $ | (999 | ) | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (r) | Securities with an aggregate market value of $342 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2021. |
| (1) | Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information. |
| | | | | | | | | | | | |
| See Accompanying Notes | | | SEMIANNUAL REPORT | | | | | | | DECEMBER 31, 2021 | | | 61 |
| | | | | | | | |
| Schedule of Investments | | PIMCO Strategic Income Fund, Inc. | | (Cont.) | | | | |
FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS
The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal and Other Risks, in the Notes to Financial Statements on risks of the Fund.
Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of December 31, 2021:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Derivatives not accounted for as hedging instruments | |
| | | Commodity
Contracts | | | Credit
Contracts | | | Equity
Contracts | | | Foreign
Exchange
Contracts | | | Interest
Rate Contracts | | | Total | |
Financial Derivative Instruments - Assets | |
Exchange-traded or centrally cleared | |
Swap Agreements | | $ | 0 | | | $ | 6 | | | $ | 0 | | | $ | 0 | | | $ | 241 | | | $ | 247 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Over the counter | |
Forward Foreign Currency Contracts | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 325 | | | $ | 0 | | | $ | 325 | |
Swap Agreements | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 133 | | | | 133 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 325 | | | $ | 133 | | | $ | 458 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 6 | | | $ | 0 | | | $ | 325 | | | $ | 374 | | | $ | 705 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
Financial Derivative Instruments - Liabilities | |
Exchange-traded or centrally cleared | |
Swap Agreements | | $ | 0 | | | $ | 1 | | | $ | 0 | | | $ | 0 | | | $ | 474 | | | $ | 475 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Over the counter | |
Forward Foreign Currency Contracts | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 999 | | | $ | 0 | | | $ | 999 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 1 | | | $ | 0 | | | $ | 999 | | | $ | 474 | | | $ | 1,474 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
The effect of Financial Derivative Instruments on the Statements of Operations for the period ended December 31, 2021:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Derivatives not accounted for as hedging instruments | |
| | | Commodity
Contracts | | | Credit
Contracts | | | Equity
Contracts | | | Foreign
Exchange
Contracts | | | Interest
Rate Contracts | | | Total | |
Net Realized Gain (Loss) on Financial Derivative Instruments | |
Exchange-traded or centrally cleared | |
Futures | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 951 | | | $ | 951 | |
Swap Agreements | | | 0 | | | | 40 | | | | 0 | | | | 0 | | | | (5,048 | ) | | | (5,008 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 40 | | | $ | 0 | | | $ | 0 | | | $ | (4,097 | ) | | $ | (4,057 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Over the counter | |
Forward Foreign Currency Contracts | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 3,472 | | | $ | 0 | | | $ | 3,472 | |
Purchased Options | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | (1 | ) | | | (1 | ) |
Swap Agreements | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 273 | | | | 273 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 3,472 | | | $ | 272 | | | $ | 3,744 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 40 | | | $ | 0 | | | $ | 3,472 | | | $ | (3,825 | ) | | $ | (313 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative Instruments | |
Exchange-traded or centrally cleared | |
Futures | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | (458 | ) | | $ | (458 | ) |
Swap Agreements | | | 0 | | | | 195 | | | | 0 | | | | 0 | | | | 2,821 | | | | 3,016 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 195 | | | $ | 0 | | | $ | 0 | | | $ | 2,363 | | | $ | 2,558 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Over the counter | |
Forward Foreign Currency Contracts | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | (2,032 | ) | | $ | 0 | | | $ | (2,032 | ) |
Purchased Options | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 1 | | | | 1 | |
Swap Agreements | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | (66 | ) | | | (66 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | (2,032 | ) | | $ | (65 | ) | | $ | (2,097 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 195 | | | $ | 0 | | | $ | (2,032 | ) | | $ | 2,298 | | | $ | 461 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| 62 | | PIMCO CLOSED-END FUNDS | | | See Accompanying Notes | |
| | | | | | | | |
| | | | | | December 31, 2021 | | (Unaudited) |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2021 in valuing the Fund’s assets and liabilities:
| | | | | | | | | | | | | | | | |
| Category and Subcategory | | Level 1 | | | Level 2 | | | Level 3 | | | Fair
Value at
12/31/2021 | |
Investments in Securities, at Value | |
Loan Participations and Assignments | | $ | 0 | | | $ | 47,003 | | | $ | 11,772 | | | $ | 58,775 | |
Corporate Bonds & Notes | |
Banking & Finance | | | 0 | | | | 40,686 | | | | 3,437 | | | | 44,123 | |
Industrials | | | 0 | | | | 112,032 | | | | 11,716 | | | | 123,748 | |
Utilities | | | 0 | | | | 25,032 | | | | 0 | | | | 25,032 | |
Convertible Bonds & Notes | |
Banking & Finance | | | 0 | | | | 756 | | | | 0 | | | | 756 | |
Municipal Bonds & Notes | |
California | | | 0 | | | | 2,136 | | | | 0 | | | | 2,136 | |
Illinois | | | 0 | | | | 151 | | | | 0 | | | | 151 | |
Puerto Rico | | | 0 | | | | 1,691 | | | | 0 | | | | 1,691 | |
West Virginia | | | 0 | | | | 2,819 | | | | 0 | | | | 2,819 | |
U.S. Government Agencies | | | 0 | | | | 329,698 | | | | 0 | | | | 329,698 | |
Non-Agency Mortgage-Backed Securities | | | 0 | | | | 61,837 | | | | 0 | | | | 61,837 | |
Asset-Backed Securities | | | 0 | | | | 13,743 | | | | 5,071 | | | | 18,814 | |
Sovereign Issues | | | 0 | | | | 18,423 | | | | 0 | | | | 18,423 | |
Common Stocks | |
Communication Services | | | 2,399 | | | | 0 | | | | 1,001 | | | | 3,400 | |
Energy | | | 483 | | | | 0 | | | | 6 | | | | 489 | |
Industrials | | | 0 | | | | 42 | | | | 4,807 | | | | 4,849 | |
Materials | | | 0 | | | | 0 | | | | 2,777 | | | | 2,777 | |
Warrants | |
Information Technology | | | 0 | | | | 0 | | | | 695 | | | | 695 | |
Preferred Securities | |
Banking & Finance | | | 0 | | | | 22,041 | | | | 0 | | | | 22,041 | |
Industrials | | | 0 | | | | 138 | | | | 0 | | | | 138 | |
Real Estate Investment Trusts | |
Real Estate | | | 2,362 | | | | 0 | | | | 0 | | | | 2,362 | |
| | | | | | | | | | | | | | | | |
| Category and Subcategory | | Level 1 | | | Level 2 | | | Level 3 | | | Fair
Value at
12/31/2021 | |
Short-Term Instruments | |
Repurchase Agreements | | $ | 0 | | | $ | 4,823 | | | $ | 0 | | | $ | 4,823 | |
Short-Term Notes | | | 0 | | | | 3,000 | | | | 0 | | | | 3,000 | |
Argentina Treasury Bills | | | 0 | | | | 108 | | | | 0 | | | | 108 | |
U.S. Treasury Bills | | | 0 | | | | 12,597 | | | | 0 | | | | 12,597 | |
| | | | | | | | | | | | | | | | |
| | | | |
Total Investments | | $ | 5,244 | | | $ | 698,756 | | | $ | 41,282 | | | $ | 745,282 | |
| | | | | | | | | | | | | | | | |
|
Short Sales, at Value - Liabilities 21. | |
U.S. Government Agencies | | $ | 0 | | | $ | (2,778 | ) | | $ | 0 | | | $ | (2,778 | ) |
| | | | | | | | | | | | | | | | |
|
Financial Derivative Instruments - Assets | |
Exchange-traded or centrally cleared | | | 0 | | | | 247 | | | | 0 | | | | 247 | |
Over the counter | | | 0 | | | | 458 | | | | 0 | | | | 458 | |
| | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 705 | | | $ | 0 | | | $ | 705 | |
| | | | | | | | | | | | | | | | |
|
Financial Derivative Instruments - Liabilities | |
Exchange-traded or centrally cleared | | | 0 | | | | (475 | ) | | | 0 | | | | (475 | ) |
Over the counter | | | 0 | | | | (999 | ) | | | 0 | | | | (999 | ) |
| | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | (1,474 | ) | | $ | 0 | | | $ | (1,474 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
Total Financial Derivative Instruments | | $ | 0 | | | $ | (769 | ) | | $ | 0 | | | $ | (769 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
Totals | | $ | 5,244 | | | $ | 695,209 | | | $ | 41,282 | | | $ | 741,735 | |
| | | | | | | | | | | | | | | | |
The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended December 31, 2021:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Category and Subcategory | | Beginning
Balance
at 06/30/2021 | | | Net
Purchases | | | Net
Sales/
Settlements | | | Accrued
Discounts/
(Premiums) | | | Realized
Gain/(Loss) | | | Net Change in
Unrealized
Appreciation/
(Depreciation)(1) | | | Transfers into
Level 3 | | | Transfers out
of Level 3 | | | Ending
Balance
at 12/31/2021 | | | Net Change in
Unrealized
Appreciation/
(Depreciation)
on Investments
Held at
12/31/2021(1) | |
Investments in Securities, at Value | |
Loan Participations and Assignments | | $ | 2,996 | | | $ | 9,072 | | | $ | (159 | ) | | $ | 2 | | | $ | (73 | ) | | $ | (64 | ) | | $ | 0 | | | $ | (2 | ) | | $ | 11,772 | | | $ | (144 | ) |
Corporate Bonds & Notes | |
Banking & Finance | | | 3,320 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 117 | | | | 0 | | | | 0 | | | | 3,437 | | | | 117 | |
Industrials | | | 0 | | | | 7,256 | | | | (64 | ) | | | 0 | | | | 0 | | | | (7 | ) | | | 4,531 | | | | 0 | | | | 11,716 | | | | (7 | ) |
Asset-Backed Securities | | | 5,781 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | (710 | ) | | | 0 | | | | 0 | | | | 5,071 | | | | (710 | ) |
Common Stocks | |
Communication Services | | | 1,282 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | (281 | ) | | | 0 | | | | 0 | | | | 1,001 | | | | (281 | ) |
Energy | | | 0 | | | | 6 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 6 | | | | 0 | |
Industrials | | | 3,630 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 1,177 | | | | 0 | | | | 0 | | | | 4,807 | | | | 1,177 | |
Materials(2) | | | 2,817 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | (40 | ) | | | 0 | | | | 0 | | | | 2,777 | | | | (40 | ) |
Warrants | |
Information Technology | | | 626 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 69 | | | | 0 | | | | 0 | | | | 695 | | | | 69 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Totals | | $ | 20,452 | | | $ | 16,334 | | | $ | (223 | ) | | $ | 2 | | | $ | (73 | ) | | $ | 261 | | | $ | 4,531 | | | $ | (2 | ) | | $ | 41,282 | | | $ | 181 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
| See Accompanying Notes | | | SEMIANNUAL REPORT | | | | | | | DECEMBER 31, 2021 | | | 63 |
| | | | | | | | |
| Schedule of Investments | | PIMCO Strategic Income Fund, Inc. | | (Cont.) | | December 31, 2021 | | (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 12/31/2021 | | | Valuation
Technique | | Unobservable
Inputs | | | | | (% Unless Noted Otherwise) | |
| | Input Value(s)
| | | Weighted
Average | |
Investments in Securities, at Value | |
Loan Participations and Assignments | | $ | 8,578 | | | Proxy Pricing | | Base Price | | | | | | | 99.610-100.000 | | | | 99.726 | |
| | | 3,194 | | | Third Party Vendor | | Broker Quote | | | | | | | 59.500-100.125 | | | | 96.415 | |
Corporate Bonds & Notes | |
Banking & Finance | | | 3,437 | | | Discounted Cash Flow | | Discount Rate | | | | | | | 4.560 | | | | — | |
Industrials | | | 4,467 | | | Reference Instrument | | Weighted Average | | | BRL | | | | 50.472 | | | | — | |
| | | 7,249 | | | Proxy Pricing | | Base Price | | | | | | | 100.000 | | | | — | |
Asset-Backed Securities | | | 5,071 | | | Proxy Pricing | | Base Price | | | | | | | 7,069.430-38,911.497 | | | | 20,115.465 | |
Common Stocks | |
Communication Services | | | 1,001 | | | Other Valuation Techniques(3) | | — | | | | | | | — | | | | — | |
Energy | | | 6 | | | Other Valuation Techniques(3) | | — | | | | | | | — | | | | — | |
Industrials | | | 4,807 | | | Discounted Cash Flow | | Discount Rate | | | | | | | 10.750 | | | | — | |
Materials | | | 2,777 | | | Comparable Companies | | EBITDA Multiple | | | X | | | | 9.900 | | | | — | |
Warrants | |
Information Technology | | | 695 | | | Comparable Companies | | EBITDA Multiple | | | X | | | | 4.375 | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total | | $ | 41,282 | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| (1) | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at December 31, 2021 may be due to an investment no longer held or categorized as Level 3 at period end. |
| (2) | Sector type updated from Financials to Materials since prior fiscal year end. |
| (3) | Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not considered significant to the Fund. |
| | | | | | |
| 64 | | PIMCO CLOSED-END FUNDS | | | See Accompanying Notes | |
| | | | | | |
| Consolidated Schedule of Investments | | PIMCO Dynamic Income Fund | | December 31, 2021 | | (Unaudited) |
(Amounts in thousands*, except number of shares, contracts, units and ounces, if any)
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
| INVESTMENTS IN SECURITIES 174.8% | |
| |
| LOAN PARTICIPATIONS AND ASSIGNMENTS 29.8% | |
|
AAdvantage Loyalty IP Ltd. | |
5.500% (LIBOR03M + 4.750%) due 04/20/2028 ~ | | $ | | | 9,397 | | | $ | | | 9,755 | |
|
Air Canada | |
4.250% (LIBOR03M + 3.500%) due 08/11/2028 ~ | | | | | 6,000 | | | | | | 6,005 | |
|
Albion Financing 3 SARL | |
5.750% (LIBOR03M + 5.250%) due 08/17/2026 ~ | | | | | 1,700 | | | | | | 1,707 | |
|
AP Core Holdings II, LLC | |
6.250% (LIBOR03M + 5.500%) due 09/01/2027 ~ | | | | | 9,875 | | | | | | 9,893 | |
|
BWAY Holding Co. | |
3.354% (LIBOR03M + 3.250%) due 04/03/2024 ~ | | | | | 9,922 | | | | | | 9,807 | |
|
Caesars Resort Collection LLC | |
2.854% (LIBOR03M + 2.750%) due 12/23/2024 ~ | | | | | 7,622 | | | | | | 7,592 | |
3.604% (LIBOR03M + 3.500%) due 07/21/2025 ~ | | | | | 199 | | | | | | 200 | |
|
Carnival Corp. | |
3.750% (EUR003M + 3.750%) due 06/30/2025 ~ | | EUR | | | 22,734 | | | | | | 25,806 | |
4.000% (LIBOR03M + 3.250%) due 10/18/2028 ~ | | $ | | | 8,469 | | | | | | 8,395 | |
|
Casino Guichard Perrachon S.A. | |
3.419% (EUR003M + 4.000%) due 08/31/2025 ~ | | EUR | | | 3,200 | | | | | | 3,636 | |
|
Cengage Learning, Inc. | |
5.750% (LIBOR03M + 4.750%) due 06/29/2026 ~ | | $ | | | 11,749 | | | | | | 11,795 | |
|
Clear Channel Outdoor Holdings, Inc. | |
3.629% (LIBOR03M + 3.500%) due 08/21/2026 ~ | | | | | 9,727 | | | | | | 9,605 | |
|
Cobham Ultra SeniorCo SARL | |
3.750% due 11/16/2028 | | EUR | | | 1,400 | | | | | | 1,585 | |
4.250% due 11/16/2028 | | $ | | | 2,400 | | | | | | 2,403 | |
|
Coty, Inc. | |
2.353% (LIBOR03M + 2.250%) due 04/07/2025 ~ | | | | | 32,506 | | | | | | 32,085 | |
|
Cromwell EREIT Lux Finco SARL | |
0.942% (EUR003M + 1.500%) due 11/21/2024 «~ | | EUR | | | 2,000 | | | | | | 2,243 | |
|
Dei Sales, Inc. | |
5.604% (LIBOR03M + 5.500%) due 04/28/2028 «~ | | $ | | | 4,839 | | | | | | 4,839 | |
|
DirecTV Financing LLC | |
5.750% (LIBOR03M + 5.000%) due 08/02/2027 ~ | | | | | 3,910 | | | | | | 3,920 | |
|
Emerald TopCo, Inc. | |
3.629% (LIBOR03M + 3.500%) due 07/24/2026 ~ | | | | | 693 | | | | | | 691 | |
|
Encina Private Credit LLC | |
TBD% (LIBOR03M + 3.716%) due 11/30/2025 «~µ | | | | | 9,276 | | | | | | 9,276 | |
|
Envision Healthcare Corp. | |
3.854% (LIBOR03M + 3.750%) due 10/10/2025 ~ | | | | | 162,357 | | | | | | 131,144 | |
|
Excel Fitness Holdings, Inc. | |
6.250% (LIBOR03M + 5.250%) due 10/07/2025 ~ | | | | | 1,691 | | | | | | 1,685 | |
|
ExGen Texas Power LLC | |
7.750% (LIBOR03M + 6.750%) due 10/08/2026 «~ | | | | | 63,003 | | | | | | 63,189 | |
|
Fintrax International Holdings | |
5.250% (EUR003M + 5.250%) due 12/18/2026 ~ | | EUR | | | 2,200 | | | | | | 2,505 | |
|
Fly Funding SARL | |
7.000% (LIBOR03M + 6.000%) due 10/08/2025 «~ | | $ | | | 8,898 | | | | | | 8,676 | |
|
Forbes Energy Services LLC (7.000% PIK) | |
7.000% due 06/30/2022 «(d) | | | | | 3,225 | | | | | | 0 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
|
Forest City Enterprises LP | |
3.601% (LIBOR03M + 3.500%) due 12/08/2025 ~ | | $ | | | 84 | | | $ | | | 83 | |
|
Frontier Communications Corp. | |
4.500% (LIBOR03M + 3.750%) due 05/01/2028 ~ | | | | | 14,039 | | | | | | 14,053 | |
|
Gateway Casinos & Entertainment Ltd. | |
TBD% (LIBOR03M + 8.000%) due 10/15/2027 ~ | | | | | 90,421 | | | | | | 90,478 | |
8.750% due 10/22/2027 « | | CAD | | | 19,727 | | | | | | 15,615 | |
|
Gibson Brands, Inc. | |
5.750% (LIBOR03M + 5.000%) due 08/11/2028 «~ | | $ | | | 3,400 | | | | | | 3,374 | |
|
GIP Blue Holding LP | |
5.000% (LIBOR03M + 4.500%) due 09/29/2028 «~ | | | | | 21,700 | | | | | | 21,673 | |
|
Grinding Media, Inc. | |
4.750% (LIBOR03M + 4.000%) due 10/12/2028 ~ | | | | | 1,895 | | | | | | 1,896 | |
|
II-VI, Inc. | |
TBD% (LIBOR03M + 2.750%) due 12/01/2028 ~ | | | | | 2,248 | | | | | | 2,248 | |
|
Instant Brands Holdings, Inc. | |
5.750% (LIBOR03M + 5.000%) due 04/12/2028 «~ | | | | | 4,198 | | | | | | 4,030 | |
|
Intelsat Jackson Holdings S.A. | |
4.250% due 12/01/2028 « | | | | | 11,575 | | | | | | 11,566 | |
5.392% (LIBOR03M + 4.750%) due 10/13/2022 ~µ | | | | | 13,841 | | | | | | 13,893 | |
8.000% (PRIME + 4.750%) due 11/27/2023 ~ | | | | | 1,920 | | | | | | 1,922 | |
8.750% (PRIME + 5.500%) due 01/02/2024 ~ | | | | | 34 | | | | | | 34 | |
|
KKR Apple Bidco, LLC | |
6.250% (LIBOR03M + 5.750%) due 09/21/2029 ~ | | | | | 1,225 | | | | | | 1,244 | |
|
Kronos Acquisition Holdings, Inc. | |
7.000% due 12/22/2026 « | | | | | 8,300 | | | | | | 8,217 | |
|
Lealand Finance Company B.V. | |
3.104% (LIBOR03M + 3.000%) due 06/28/2024 «~ | | | | | 385 | | | | | | 229 | |
|
Lealand Finance Company B.V. (1.104% Cash and 3.000% PIK) | |
4.104% (LIBOR03M + 1.000%) due 06/30/2025 ~(d) | | | | | 5,553 | | | | | | 2,480 | |
|
LifeMiles Ltd. | |
6.250% (LIBOR03M + 5.250%) due 08/30/2026 ~ | | | | | 17,847 | | | | | | 17,819 | |
|
Mattress Firm, Inc. | |
5.000% (LIBOR03M + 4.250%) due 09/25/2028 ~ | | | | | 1,900 | | | | | | 1,890 | |
|
Mavenir Systems, Inc. | |
5.250% (LIBOR03M + 4.750%) due 08/18/2028 ~ | | | | | 4,000 | | | | | | 4,012 | |
|
MPH Acquisition Holdings LLC | |
4.750% (LIBOR03M + 4.250%) due 08/17/2028 ~ | | | | | 10,000 | | | | | | 9,803 | |
|
Otterham Property Finance DAC | |
TBD% (EUR003M + 3.000%) due 09/03/2026 «~(l) | | EUR | | | 5,949 | | | | | | 6,676 | |
|
Preylock Reitman Santa Cruz LLC | |
TBD% - 6.500% (LIBOR03M + 5.500%) due 11/09/2022 «~(l) | | $ | | | 3,700 | | | | | | 36,599 | |
|
Project Anfora Senior | |
TBD% (EUR003M + 2.750%) due 10/01/2026 «~(l) | | EUR | | | 36,830 | | | | | | 40,975 | |
|
Project Quasar Pledgco SLU | |
TBD% (EUR003M + 3.250%) due 09/06/2025 «~(l) | | | | | 33,438 | | | | | | 31,978 | |
|
Promotora de Informaciones S.A. | |
TBD% (EUR003M + 4.500%) due 11/30/2022 ~ | | | | | 45,722 | | | | | | 50,737 | |
TBD% due 11/30/2022 | | | | | 1,000 | | | | | | 1,110 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
|
PUG LLC | |
3.604% (LIBOR03M + 3.500%) due 02/12/2027 ~ | | $ | | | 2,454 | | | $ | | | 2,405 | |
4.750% (LIBOR03M + 4.250%) due 02/12/2027 ~ | | | | | 1,496 | | | | | | 1,496 | |
|
Quantum Bidco Ltd. | |
6.000% due 01/29/2028 « | | GBP | | | 1,500 | | | | | | 2,007 | |
6.079% due 01/29/2028 « | | | | | 15,000 | | | | | | 20,075 | |
|
Redstone Buyer LLC | |
8.500% (LIBOR03M + 7.750%) due 04/27/2029 ~ | | $ | | | 2,000 | | | | | | 1,860 | |
|
RegionalCare Hospital Partners Holdings, Inc. | |
3.852% (LIBOR03M + 3.750%) due 11/16/2025 ~ | | | | | 260 | | | | | | 260 | |
|
Republic of Cote d’lvoire | |
5.000% (EUR003M + 5.000%) due 03/19/2027 «~ | | EUR | | | 1,000 | | | | | | 1,138 | |
|
Rising Tide Holdings, Inc. | |
5.500% (LIBOR03M + 4.750%) due 06/01/2028 ~ | | $ | | | 17,114 | | | | | | 17,093 | |
|
Royal Caribbean Cruises Ltd. | |
1.494% due 10/12/2022 µ | | | | | 31,250 | | | | | | 30,286 | |
|
Sasol Ltd. | |
0.603% (LIBOR03M + 1.600%) due 11/23/2022 «~µ | | | | | 35,194 | | | | | | 34,039 | |
|
Scientific Games International, Inc. | |
2.854% (LIBOR03M + 2.750%) due 08/14/2024 ~ | | | | | 1,588 | | | | | | 1,584 | |
|
Sequa Mezzanine Holdings LLC | |
7.750% (LIBOR03M + 6.750%) due 11/28/2023 ~ | | | | | 15,373 | | | | | | 15,498 | |
11.750% (LIBOR03M + 10.750%) due 04/28/2024 ~ | | | | | 76,240 | | | | | | 76,216 | |
|
Sierra Hamilton LLC | |
TBD% due 09/12/2023 « | | | | | 6 | | | | | | 6 | |
|
Sigma Bidco B.V. | |
3.500% (EUR003M + 3.500%) due 07/02/2025 ~ | | EUR | | | 690 | | | | | | 764 | |
3.750% (WIBOR03M + 3.500%) due 03/31/2025 ~ | | PLN | | | 85,527 | | | | | | 19,741 | |
|
SkyMiles IP Ltd. | |
4.750% (LIBOR03M + 3.750%) due 10/20/2027 ~ | | $ | | | 1,400 | | | | | | 1,484 | |
|
Softbank Vision Fund | |
5.000% due 12/21/2025 « | | | | | 39,100 | | | | | | 39,112 | |
|
Southwestern Energy Co. | |
3.000% due 06/22/2027 | | | | | 1,200 | | | | | | 1,204 | |
|
Spirit AeroSystems Holdings, Inc. | |
4.250% (LIBOR03M + 3.750%) due 01/15/2025 ~ | | | | | 2,479 | | | | | | 2,486 | |
|
Steenbok Lux Finco 2 SARL | |
TBD% due 12/31/2022 | | EUR | | | 24,176 | | | | | | 24,978 | |
|
Steenbok Lux Finco 2 SARL (10.750% PIK) | |
10.750% (EUR003M) due 12/29/2022 ~(d) | | | | | 100,567 | | | | | | 104,333 | |
|
Steenbok Lux Finco 2 SARL (7.875% PIK) | |
7.875% (EUR003M) due 12/29/2022 ~(d) | | | | | 13,800 | | | | | | 15,809 | |
|
Sunseeker International Ltd. | |
TBD% (LIBOR03M + 5.500%) due 10/31/2028 «~µ | | $ | | | 25,100 | | | | | | 25,100 | |
|
Sunshine Luxembourg VII SARL | |
4.500% (LIBOR03M + 3.750%) due 10/01/2026 ~ | | | | | 1 | | | | | | 1 | |
|
Surgery Center Holdings, Inc. | |
4.500% (LIBOR03M + 3.750%) due 08/31/2026 ~ | | | | | 794 | | | | | | 795 | |
|
Syniverse Holdings, Inc. | |
4.500% due 10/15/2028 « | | | | | 129,530 | | | | | | 128,944 | |
6.000% (LIBOR03M + 5.000%) due 03/09/2023 ~ | | | | | 105,375 | | | | | | 104,782 | |
10.000% (LIBOR03M + 9.000%) due 03/11/2024 ~ | | | | | 18,877 | | | | | | 18,775 | |
|
Team Health Holdings, Inc. | |
3.750% (LIBOR03M + 2.750%) due 02/06/2024 ~ | | | | | 73,612 | | | | | | 70,694 | |
| | | | | | | | | | | | |
| See Accompanying Notes | | | SEMIANNUAL REPORT | | | | | | | DECEMBER 31, 2021 | | | 65 |
| | | | | | | | |
| Consolidated Schedule of Investments | | PIMCO Dynamic Income Fund | | (Cont.) | | | | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
|
Telemar Norte Leste S.A. | |
2.336% (LIBOR03M + 1.750%) due 02/26/2035 «~ | | $ | | | 51,145 | | | $ | | | 20,202 | |
|
TK Elevator Midco GmbH | |
3.625% (EUR003M + 3.625%) due 07/29/2027 ~ | | EUR | | | 4,700 | | | | | | 5,337 | |
|
U.S. Foods, Inc. | |
2.841% due 11/17/2028 | | $ | | | 1,400 | | | | | | 1,401 | |
|
U.S. Renal Care, Inc. | |
5.104% (LIBOR03M + 5.000%) due 06/26/2026 ~ | | | | | 2,494 | | | | | | 2,432 | |
6.500% (LIBOR03M + 5.500%) due 06/26/2026 ~ | | | | | 10,075 | | | | | | 9,898 | |
|
United Airlines, Inc. | |
4.500% (LIBOR03M + 3.750%) due 04/21/2028 ~ | | | | | 6,650 | | | | | | 6,687 | |
|
Univision Communications, Inc. | |
3.750% (LIBOR03M + 2.750%) due 03/15/2024 ~ | | | | | 6,810 | | | | | | 6,813 | |
|
Veritas U.S., Inc. | |
6.000% (LIBOR03M + 5.000%) due 09/01/2025 ~ | | | | | 4,719 | | | | | | 4,724 | |
|
Viad Corp. | |
5.500% (LIBOR03M + 5.000%) due 07/30/2028 «~ | | | | | 3,791 | | | | | | 3,786 | |
|
Westmoreland Mining Holdings LLC (15.000% PIK) | |
15.000% due 03/15/2029 (d) | | | | | 20,589 | | | | | | 6,177 | |
|
Windstream Services LLC | |
7.250% (LIBOR03M + 6.250%) due 09/21/2027 ~ | | | | | 14,386 | | | | | | 14,457 | |
| | | | | | | | | | | | |
Total Loan Participations and Assignments (Cost $1,626,704) | | | 1,607,950 | |
| | | | | | | | | | | | |
| |
| CORPORATE BONDS & NOTES 52.7% | |
| |
| BANKING & FINANCE 11.5% | |
|
ADLER Real Estate AG | |
1.875% due 04/27/2023 | | EUR | | | 200 | | | | | | 215 | |
3.000% due 04/27/2026 | | | | | 200 | | | | | | 210 | |
|
Ally Financial, Inc. | |
8.000% due 11/01/2031 (n) | | $ | | | 478 | | | | | | 658 | |
|
Ambac Assurance Corp. | |
5.100% due 12/31/2099 (j)(n) | | | | | 185 | | | | | | 250 | |
|
Apollo Commercial Real Estate Finance, Inc. | |
4.625% due 06/15/2029 (n) | | | | | 4,700 | | | | | | 4,554 | |
|
Asteroid Private Merger Sub, Inc. | |
8.500% due 11/15/2029 | | | | | 5,100 | | | | | | 5,353 | |
|
Banca Monte dei Paschi di Siena SpA | |
1.875% due 01/09/2026 (n) | | EUR | | | 20,232 | | | | | | 22,473 | |
2.625% due 04/28/2025 (n) | | | | | 27,530 | | | | | | 31,442 | |
3.625% due 09/24/2024 (n) | | | | | 35,346 | | | | | | 41,075 | |
5.375% due 01/18/2028 •(n) | | | | | 13,989 | | | | | | 12,612 | |
8.000% due 01/22/2030 •(n) | | | | | 13,920 | | | | | | 13,244 | |
8.500% due 09/10/2030 •(n) | | | | | 4,762 | | | | | | 4,670 | |
10.500% due 07/23/2029 (n) | | | | | 17,716 | | | | | | 19,246 | |
|
Banco de Credito del Peru | |
4.650% due 09/17/2024 | | PEN | | | 6,500 | | | | | | 1,594 | |
|
Barclays PLC | |
6.125% due
12/15/2025 •(j)(k)(n) | | $ | | | 1,400 | | | | | | 1,517 | |
6.375% due
12/15/2025 •(j)(k)(n) | | GBP | | | 1,250 | | | | | | 1,836 | |
7.125% due
06/15/2025 •(j)(k)(n) | | | | | 6,200 | | | | | | 9,257 | |
7.250% due
03/15/2023 •(j)(k)(n) | | | | | 2,055 | | | | | | 2,914 | |
7.750% due
09/15/2023 •(j)(k)(n) | | $ | | | 4,800 | | | | | | 5,163 | |
7.875% due
09/15/2022 •(j)(k)(n) | | GBP | | | 1,970 | | | | | | 2,782 | |
8.000% due
06/15/2024 •(j)(k)(n) | | $ | | | 2,400 | | | | | | 2,659 | |
|
CIFI Holdings Group Co. Ltd. | |
4.375% due 04/12/2027 (n) | | | | | 400 | | | | | | 368 | |
4.450% due 08/17/2026 (n) | | | | | 300 | | | | | | 279 | |
5.250% due 05/13/2026 | | | | | 200 | | | | | | 190 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
|
Claveau Re Ltd. | |
17.278% (T-BILL 3MO + 17.250%) due 07/08/2028 ~(n) | | $ | | | 8,500 | | | $ | | | 8,540 | |
|
Corestate Capital Holding S.A. | |
3.500% due 04/15/2023 | | EUR | | | 200 | | | | | | 201 | |
|
Cosaint Re Pte Ltd. | |
9.273% (T-BILL 1MO + 9.250%) due 04/03/2028 ~ | | $ | | | 600 | | | | | | 618 | |
|
Country Garden Holdings Co. Ltd. | |
2.700% due 07/12/2026 | | | | | 200 | | | | | | 171 | |
3.125% due 10/22/2025 | | | | | 200 | | | | | | 177 | |
3.875% due 10/22/2030 (n) | | | | | 800 | | | | | | 698 | |
4.800% due 08/06/2030 | | | | | 200 | | | | | | 182 | |
6.150% due 09/17/2025 | | | | | 1,000 | | | | | | 977 | |
8.000% due 01/27/2024 | | | | | 200 | | | | | | 202 | |
|
Credit Agricole S.A. | |
7.875% due 01/23/2024 •(j)(k)(n) | | | | | 300 | | | | | | 329 | |
|
Credit Suisse Group AG | |
5.250% due 02/11/2027 •(j)(k)(n) | | | | | 200 | | | | | | 207 | |
7.250% due 09/12/2025 •(j)(k)(n) | | | | | 960 | | | | | | 1,055 | |
7.500% due 07/17/2023 •(j)(k)(n) | | | | | 3,200 | | | | | | 3,390 | |
|
Doric Nimrod Air Alpha Pass-Through Trust | |
5.250% due 05/30/2025 (n) | | | | | 75 | | | | | | 75 | |
|
Doric Nimrod Air Finance Alpha Ltd. Pass-Through Trust | |
5.125% due 11/30/2024 (n) | | | | | 58 | | | | | | 57 | |
|
Fairfax India Holdings Corp. | |
5.000% due 02/26/2028 (n) | | | | | 13,400 | | | | | | 13,405 | |
|
FloodSmart Re Ltd. | |
13.028% (T-BILL 3MO + 13.000%) due 03/01/2024 ~(n) | | | | | 6,084 | | | | | | 6,160 | |
16.778% (T-BILL 3MO + 16.750%) due 03/01/2024 ~(n) | | | | | 1,737 | | | | | | 1,750 | |
|
Ford Motor Credit Co. LLC | |
2.330% due 11/25/2025 (n) | | EUR | | | 500 | | | | | | 594 | |
2.386% due 02/17/2026 (n) | | | | | 600 | | | | | | 716 | |
|
Fortress Transportation & Infrastructure Investors LLC | |
6.500% due 10/01/2025 (n) | | $ | | | 3,286 | | | | | | 3,400 | |
|
Huarong Finance Co. Ltd. | |
3.375% due 02/24/2030 (n) | | | | | 800 | | | | | | 771 | |
3.625% due 09/30/2030 (n) | | | | | 900 | | | | | | 868 | |
3.875% due 11/13/2029 (n) | | | | | 1,200 | | | | | | 1,173 | |
4.250% due 11/07/2027 | | | | | 200 | | | | | | 203 | |
4.500% due 05/29/2029 (n) | | | | | 1,300 | | | | | | 1,323 | |
4.750% due 04/27/2027 (n) | | | | | 1,200 | | | | | | 1,241 | |
4.950% due 11/07/2047 (n) | | | | | 800 | | | | | | 773 | |
|
Jefferson Capital Holdings LLC | |
6.000% due 08/15/2026 (n) | | | | | 18,685 | | | | | | 18,938 | |
|
MGM Growth Properties Operating Partnership LP | |
3.875% due 02/15/2029 (n) | | | | | 7,100 | | | | | | 7,465 | |
4.500% due 09/01/2026 (n) | | | | | 200 | | | | | | 215 | |
4.500% due 01/15/2028 (n) | | | | | 300 | | | | | | 325 | |
5.750% due 02/01/2027 (n) | | | | | 1,100 | | | | | | 1,244 | |
|
National Health Investors, Inc. | |
3.000% due 02/01/2031 | | | | | 200 | | | | | | 193 | |
|
Natwest Group PLC | |
6.000% due 12/29/2025 •(j)(k)(n) | | | | | 2,800 | | | | | | 3,071 | |
8.000% due 08/10/2025 •(j)(k)(n) | | | | | 10,802 | | | | | | 12,555 | |
|
Newmark Group, Inc. | |
6.125% due 11/15/2023 (n) | | | | | 66 | | | | | | 71 | |
|
PennyMac Financial Services, Inc. | |
5.750% due 09/15/2031 (n) | | | | | 1,482 | | | | | | 1,499 | |
|
Pinnacol Assurance | |
8.625% due 06/25/2034 «(l) | | | | | 36,300 | | | | | | 47,984 | |
|
PRA Group, Inc. | |
7.375% due 09/01/2025 (n) | | | | | 4,300 | | | | | | 4,573 | |
|
Preferred Term Securities Ltd. | |
0.583% (US0003M + 0.380%) due 09/23/2035 ~ | | | | | 106 | | | | | | 105 | |
|
Sberbank of Russia Via SB Capital S.A. | |
6.125% due 02/07/2022 (n) | | | | | 600 | | | | | | 602 | |
|
Seazen Group Ltd. | |
4.450% due 07/13/2025 | | | | | 200 | | | | | | 168 | |
6.000% due 08/12/2024 | | | | | 200 | | | | | | 170 | |
6.150% due 04/15/2023 | | | | | 200 | | | | | | 187 | |
|
Sunac China Holdings Ltd. | |
7.000% due 07/09/2025 (n) | | | | | 600 | | | | | | 384 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
|
Tesco Property Finance PLC | |
6.052% due 10/13/2039 (n) | | GBP | | | 4,326 | | | $ | | | 7,542 | |
|
Toll Road Investors Partnership LP | |
0.000% due 02/15/2043 (h)(n) | | $ | | | 32,800 | | | | | | 10,697 | |
|
Unique Pub Finance Co. PLC | |
5.659% due 06/30/2027 (n) | | GBP | | | 1,106 | | | | | | 1,670 | |
7.395% due 03/28/2024 | | | | | 5,358 | | | | | | 7,630 | |
|
Uniti Group LP | |
6.000% due 01/15/2030 (n) | | $ | | | 51,751 | | | | | | 49,875 | |
6.500% due 02/15/2029 (n) | | | | | 9,015 | | | | | | 8,998 | |
7.875% due 02/15/2025 (n) | | | | | 76,481 | | | | | | 79,919 | |
|
Voyager Aviation Holdings LLC | |
8.500% due 05/09/2026 (n) | | | | | 122,450 | | | | | | 114,645 | |
|
XP, Inc. | |
3.250% due 07/01/2026 (n) | | | | | 10,100 | | | | | | 9,697 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 624,239 | |
| | | | | | | | | | | | |
| |
| INDUSTRIALS 33.1% | | | | | | | | | | | | |
|
Air Canada | |
3.875% due 08/15/2026 (n) | | | | | 3,800 | | | | | | 3,881 | |
4.625% due 08/15/2029 | | CAD | | | 700 | | | | | | 553 | |
|
Air Canada Pass-Through Trust | |
5.250% due 10/01/2030 (n) | | $ | | | 874 | | | | | | 954 | |
|
Altice Financing S.A. | |
4.250% due 08/15/2029 (n) | | EUR | | | 3,695 | | | | | | 4,126 | |
5.750% due 08/15/2029 (n) | | $ | | | 19,867 | | | | | | 19,698 | |
|
Altice France S.A. | |
4.250% due 10/15/2029 (n) | | EUR | | | 2,100 | | | | | | 2,382 | |
5.500% due 10/15/2029 (n) | | $ | | | 5,100 | | | | | | 5,032 | |
|
American Airlines Pass-Through Trust | |
3.350% due 04/15/2031 (n) | | | | | 648 | | | | | | 662 | |
3.375% due 11/01/2028 (n) | | | | | 68 | | | | | | 67 | |
3.700% due 04/01/2028 (n) | | | | | 813 | | | | | | 826 | |
|
American Airlines, Inc. | |
5.500% due 04/20/2026 (n) | | | | | 4,000 | | | | | | 4,166 | |
5.750% due 04/20/2029 (n) | | | | | 300 | | | | | | 321 | |
|
Arches Buyer, Inc. | |
4.250% due 06/01/2028 (n) | | | | | 5,000 | | | | | | 5,006 | |
|
Associated Materials LLC | |
9.000% due 09/01/2025 (n) | | | | | 29,873 | | | | | | 31,995 | |
|
BCP Modular Services Finance PLC | |
6.125% due 11/30/2028 (n) | | GBP | | | 2,560 | | | | | | 3,463 | |
|
Boeing Co. | |
5.705% due 05/01/2040 (n) | | $ | | | 7,234 | | | | | | 9,305 | |
5.805% due 05/01/2050 (n) | | | | | 6,065 | | | | | | 8,228 | |
5.930% due 05/01/2060 (n) | | | | | 8,393 | | | | | | 11,679 | |
|
Bombardier, Inc. | |
7.125% due 06/15/2026 (n) | | | | | 30,988 | | | | | | 32,187 | |
7.500% due 12/01/2024 (n) | | | | | 17,648 | | | | | | 18,410 | |
7.500% due 03/15/2025 (n) | | | | | 29,390 | | | | | | 29,977 | |
7.875% due 04/15/2027 (n) | | | | | 23,201 | | | | | | 24,090 | |
|
British Airways Pass-Through Trust | |
4.250% due 05/15/2034 (n) | | | | | 57 | | | | | | 61 | |
|
Buffalo Thunder Development Authority | |
0.000% due 11/15/2029 «(l) | | | | | 2,483 | | | | | | 2 | |
11.000% due 12/09/2022 ^(e) | | | | | 5,598 | | | | | | 2,855 | |
|
Carnival Corp. | |
4.000% due 08/01/2028 (n) | | | | | 4,493 | | | | | | 4,468 | |
10.500% due 02/01/2026 (n) | | | | | 200 | | | | | | 229 | |
|
CGG S.A. | |
7.750% due 04/01/2027 (n) | | EUR | | | 38,535 | | | | | | 43,686 | |
8.750% due 04/01/2027 (n) | | $ | | | 56,461 | | | | | | 55,834 | |
|
Charter Communications Operating LLC | |
3.950% due 06/30/2062 (n) | | | | | 100 | | | | | | 97 | |
|
Cia de Minas Buenaventura SAA | |
5.500% due 07/23/2026 (n) | | | | | 400 | | | | | | 391 | |
|
Community Health Systems, Inc. | |
6.625% due 02/15/2025 (n) | | | | | 10,100 | | | | | | 10,465 | |
8.000% due 03/15/2026 (n) | | | | | 4,179 | | | | | | 4,398 | |
|
Constellation Oil Services Holding S.A. (10.000% PIK) | |
10.000% due 11/09/2024 ^(d)(e) | | | | | 570 | | | | | | 159 | |
|
Corp. GEO S.A.B. de C.V. | |
8.875% due 03/27/2022 ^«(e) | | | | | 200 | | | | | | 0 | |
| | | | | | |
| 66 | | PIMCO CLOSED-END FUNDS | | | See Accompanying Notes | |
| | | | | | | | |
| | | | | | December 31, 2021 | | (Unaudited) |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
|
Coty, Inc. | |
3.875% due 04/15/2026 (n) | | EUR | | | 9,600 | | | $ | | | 11,186 | |
4.000% due 04/15/2023 (n) | | | | | 300 | | | | | | 344 | |
4.750% due 01/15/2029 (n) | | $ | | | 3,900 | | | | | | 3,969 | |
5.000% due 04/15/2026 (n) | | | | | 8,100 | | | | | | 8,355 | |
|
CVS Pass-Through Trust | |
7.507% due 01/10/2032 (n) | | | | | 1,931 | | | | | | 2,392 | |
|
Delta Air Lines, Inc. | |
7.375% due 01/15/2026 (n) | | | | | 5,488 | | | | | | 6,467 | |
|
Deluxe Corp. | |
8.000% due 06/01/2029 (n) | | | | | 23,650 | | | | | | 24,748 | |
|
DIRECTV Holdings LLC | |
5.875% due 08/15/2027 (n) | | | | | 1,800 | | | | | | 1,845 | |
|
DISH DBS Corp. | |
5.250% due 12/01/2026 (n) | | | | | 13,540 | | | | | | 13,779 | |
5.750% due 12/01/2028 (n) | | | | | 21,710 | | | | | | 21,968 | |
|
Dufry One BV | |
2.000% due 02/15/2027 (n) | | EUR | | | 6,156 | | | | | | 6,523 | |
2.500% due 10/15/2024 | | | | | 100 | | | | | | 112 | |
3.625% due 04/15/2026 | | CHF | | | 3,000 | | | | | | 3,287 | |
|
Endure Digital, Inc. | |
6.000% due 02/15/2029 (n) | | $ | | | 8,500 | | | | | | 7,917 | |
|
Envision Healthcare Corp. | |
8.750% due 10/15/2026 (n) | | | | | 24,896 | | | | | | 14,343 | |
|
Exela Intermediate LLC | |
11.500% due 07/15/2026 | | | | | 697 | | | | | | 495 | |
|
Fair Isaac Corp. | |
4.000% due 06/15/2028 (n) | | | | | 4,800 | | | | | | 4,942 | |
|
Ferroglobe PLC | |
9.375% due 12/31/2025 (l)(n) | | | | | 3,100 | | | | | | 3,206 | |
|
First Quantum Minerals Ltd. | |
6.500% due 03/01/2024 (n) | | | | | 6,456 | | | | | | 6,544 | |
6.875% due 03/01/2026 (n) | | | | | 3,270 | | | | | | 3,401 | |
|
Fresh Market, Inc. | |
9.750% due 05/01/2023 (n) | | | | | 33,556 | | | | | | 34,561 | |
|
Frontier Communications Holdings LLC | |
6.000% due 01/15/2030 (n) | | | | | 13,262 | | | | | | 13,351 | |
|
Full House Resorts, Inc. | |
8.250% due 02/15/2028 (n) | | | | | 7,199 | | | | | | 7,569 | |
|
Garda World Security Corp. | |
6.000% due 06/01/2029 (n) | | | | | 1,400 | | | | | | 1,339 | |
|
Gazprom PJSC Via Gaz Capital S.A. | |
7.288% due 08/16/2037 (n) | | | | | 300 | | | | | | 400 | |
8.625% due 04/28/2034 (n) | | | | | 1,081 | | | | | | 1,529 | |
|
Grifols Escrow Issuer S.A. | |
3.875% due 10/15/2028 (n) | | EUR | | | 8,000 | | | | | | 9,164 | |
|
Guara Norte SARL | |
5.198% due 06/15/2034 (n) | | $ | | | 10,027 | | | | | | 9,866 | |
|
Hawaiian Brand Intellectual Property Ltd. | |
5.750% due 01/20/2026 (n) | | | | | 1,200 | | | | | | 1,257 | |
|
Hertz Corp. | |
5.000% due 12/01/2029 (n) | | | | | 2,900 | | | | | | 2,908 | |
|
Howard Midstream Energy Partners LLC | |
6.750% due 01/15/2027 (n) | | | | | 600 | | | | | | 616 | |
|
II-VI, Inc. | |
5.000% due 12/15/2029 (n) | | | | | 543 | | | | | | 556 | |
|
Intelsat Connect Finance S.A. | |
9.500% due 02/15/2023 ^(e) | | | | | 2,038 | | | | | | 313 | |
|
Intelsat Jackson Holdings S.A. | |
1.000% due 12/01/2029 «(c) | | | | | 129,139 | | | | | | 129,012 | |
5.500% due 08/01/2023 ^(e)(n) | | | | | 66,494 | | | | | | 30,182 | |
8.000% due 02/15/2024 (n) | | | | | 1,763 | | | | | | 1,793 | |
8.500% due 10/15/2024 ^(e)(n) | | | | | 73,169 | | | | | | 33,612 | |
9.750% due 07/15/2025 ^(e)(n) | | | | | 44,018 | | | | | | 20,255 | |
|
Intelsat Luxembourg S.A. | |
8.125% due 06/01/2023 ^(e)(n) | | | | | 11,040 | | | | | | 97 | |
|
Iris Holdings, Inc. (8.750% Cash or 9.500% PIK) | |
8.750% due 02/15/2026 (d)(n) | | | | | 1,900 | | | | | | 1,924 | |
|
Jaguar Land Rover Automotive PLC | |
4.500% due 01/15/2026 (n) | | EUR | | | 4,300 | | | | | | 5,097 | |
6.875% due 11/15/2026 (n) | | | | | 2,400 | | | | | | 3,104 | |
|
Kleopatra Holdings S.C.A. | |
6.500% due 09/01/2026 (n) | | | | | 200 | | | | | | 210 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
|
Las Vegas Sands Corp. | |
3.200% due 08/08/2024 (n) | | $ | | | 100 | | | $ | | | 102 | |
|
Marriott Ownership Resorts, Inc. | |
6.125% due 09/15/2025 (n) | | | | | 100 | | | | | | 104 | |
|
Match Group Holdings LLC | |
3.625% due 10/01/2031 (n) | | | | | 3,400 | | | | | | 3,307 | |
|
Mclaren Finance PLC | |
7.500% due 08/01/2026 (n) | | | | | 4,750 | | | | | | 4,813 | |
|
Melco Resorts Finance Ltd. | |
5.375% due 12/04/2029 (n) | | | | | 2,400 | | | | | | 2,332 | |
5.750% due 07/21/2028 (n) | | | | | 37,128 | | | | | | 37,385 | |
|
MGM China Holdings Ltd. | |
4.750% due 02/01/2027 (n) | | | | | 1,400 | | | | | | 1,388 | |
5.250% due 06/18/2025 (n) | | | | | 1,400 | | | | | | 1,391 | |
5.375% due 05/15/2024 (n) | | | | | 200 | | | | | | 200 | |
5.875% due 05/15/2026 (n) | | | | | 1,500 | | | | | | 1,505 | |
|
Midas OpCo Holdings LLC | |
5.625% due 08/15/2029 (n) | | | | | 900 | | | | | | 923 | |
|
Mohegan Gaming & Entertainment | |
8.000% due 02/01/2026 (n) | | | | | 3,000 | | | | | | 3,154 | |
|
Molina Healthcare, Inc. | |
3.875% due 05/15/2032 (n) | | | | | 2,000 | | | | | | 2,016 | |
|
MPH Acquisition Holdings LLC | |
5.500% due 09/01/2028 (n) | | | | | 10,535 | | | | | | 10,696 | |
|
NCL Corp. Ltd. | |
10.250% due 02/01/2026 (n) | | | | | 29,357 | | | | | | 34,176 | |
12.250% due 05/15/2024 (n) | | | | | 4,241 | | | | | | 5,030 | |
|
Nissan Motor Co. Ltd. | |
4.810% due 09/17/2030 (n) | | | | | 2,400 | | | | | | 2,687 | |
|
Noble Corp. PLC (11.000% Cash or 15.000% PIK) | |
11.000% due 02/15/2028 (d) | | | | | 447 | | | | | | 497 | |
|
Norfolk Southern Corp. | |
4.100% due 05/15/2121 | | | | | 100 | | | | | | 114 | |
|
Odebrecht Oil & Gas Finance Ltd. | |
0.000% due 01/31/2022 (h)(j) | | | | | 5,220 | | | | | | 50 | |
|
Oi Movel S.A. | |
8.750% due 07/30/2026 | | | | | 7,421 | | | | | | 7,662 | |
|
Olympus Water U.S. Holding Corp. | |
5.375% due 10/01/2029 (n) | | EUR | | | 2,200 | | | | | | 2,429 | |
|
Ortho-Clinical Diagnostics, Inc. | |
7.250% due 02/01/2028 (n) | | $ | | | 1,302 | | | | | | 1,402 | |
7.375% due 06/01/2025 (n) | | | | | 785 | | | | | | 829 | |
|
Petroleos Mexicanos | |
5.950% due 01/28/2031 (n) | | | | | 14,145 | | | | | | 13,773 | |
6.625% due 06/15/2035 (n) | | | | | 13,250 | | | | | | 12,753 | |
6.700% due 02/16/2032 (n) | | | | | 69,051 | | | | | | 69,878 | |
6.750% due 09/21/2047 (n) | | | | | 25,820 | | | | | | 22,966 | |
6.950% due 01/28/2060 (n) | | | | | 1,000 | | | | | | 894 | |
7.690% due 01/23/2050 (n) | | | | | 18,477 | | | | | | 17,867 | |
|
Petrorio Luxembourg SARL | |
6.125% due 06/09/2026 (n) | | | | | 12,785 | | | | | | 12,839 | |
|
Prosus NV | |
2.031% due 08/03/2032 (n) | | EUR | | | 500 | | | | | | 565 | |
3.832% due 02/08/2051 (n) | | $ | | | 25,600 | | | | | | 23,938 | |
4.027% due 08/03/2050 (n) | | | | | 7,800 | | | | | | 7,510 | |
|
QVC, Inc. | |
5.950% due 03/15/2043 (n) | | | | | 4,390 | | | | | | 4,380 | |
|
Rolls-Royce PLC | |
1.625% due 05/09/2028 (n) | | EUR | | | 1,300 | | | | | | 1,417 | |
3.375% due 06/18/2026 (n) | | GBP | | | 200 | | | | | | 272 | |
3.625% due 10/14/2025 (n) | | $ | | | 1,000 | | | | | | 1,016 | |
4.625% due 02/16/2026 (n) | | EUR | | | 1,800 | | | | | | 2,275 | |
5.750% due 10/15/2027 (n) | | GBP | | | 4,200 | | | | | | 6,335 | |
5.750% due 10/15/2027 (n) | | $ | | | 2,100 | | | | | | 2,325 | |
|
Royal Caribbean Cruises Ltd. | |
9.125% due 06/15/2023 (n) | | | | | 500 | | | | | | 529 | |
10.875% due 06/01/2023 (n) | | | | | 1,400 | | | | | | 1,531 | |
11.500% due 06/01/2025 (n) | | | | | 1,650 | | | | | | 1,850 | |
|
Russian Railways via RZD Capital PLC | |
7.487% due 03/25/2031 (n) | | GBP | | | 200 | | | | | | 359 | |
|
Sabre GLBL, Inc. | |
7.375% due 09/01/2025 (n) | | $ | | | 4,300 | | | | | | 4,499 | |
|
Sands China Ltd. | |
4.375% due 06/18/2030 (n) | | | | | 400 | | | | | | 409 | |
5.400% due 08/08/2028 (n) | | | | | 1,758 | | | | | | 1,895 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
|
Schenck Process Holding GmbH | |
6.875% due 06/15/2023 (n) | | EUR | | | 6,970 | | | $ | | | 7,960 | |
|
Seagate HDD Cayman | |
4.091% due 06/01/2029 (n) | | $ | | | 2,700 | | | | | | 2,799 | |
4.125% due 01/15/2031 (n) | | | | | 200 | | | | | | 208 | |
|
Six Flags Theme Parks, Inc. | |
7.000% due 07/01/2025 (n) | | | | | 100 | | | | | | 107 | |
|
Southwestern Energy Co. | |
4.750% due 02/01/2032 (n) | | | | | 700 | | | | | | 739 | |
|
Spirit AeroSystems, Inc. | |
3.950% due 06/15/2023 (n) | | | | | 13,764 | | | | | | 13,873 | |
4.600% due 06/15/2028 (n) | | | | | 1,400 | | | | | | 1,406 | |
|
Spirit Airlines Pass-Through Trust | |
4.100% due 10/01/2029 (n) | | | | | 330 | | | | | | 341 | |
|
Standard Industries, Inc. | |
4.375% due 07/15/2030 | | | | | 5,000 | | | | | | 5,111 | |
|
Strathcona Resources Ltd. | |
6.875% due 08/01/2026 (n) | | | | | 3,530 | | | | | | 3,473 | |
|
Studio City Finance Ltd. | |
5.000% due 01/15/2029 (n) | | | | | 2,000 | | | | | | 1,794 | |
6.000% due 07/15/2025 (n) | | | | | 3,200 | | | | | | 3,115 | |
6.500% due 01/15/2028 (n) | | | | | 3,000 | | | | | | 2,884 | |
|
Tasty Bondco S.A. | |
6.250% due 05/15/2026 (n) | | EUR | | | 1,200 | | | | | | 1,268 | |
|
Times Square Hotel Trust | |
8.528% due 08/01/2026 (n) | | $ | | | 2,675 | | | | | | 2,849 | |
|
Topaz Solar Farms LLC | |
4.875% due 09/30/2039 (n) | | | | | 17,121 | | | | | | 19,389 | |
5.750% due 09/30/2039 (n) | | | | | 92,694 | | | | | | 110,619 | |
|
Transocean Pontus Ltd. | |
6.125% due 08/01/2025 (n) | | | | | 886 | | | | | | 867 | |
|
Transocean, Inc. | |
7.250% due 11/01/2025 (n) | | | | | 764 | | | | | | 589 | |
7.500% due 01/15/2026 (n) | | | | | 389 | | | | | | 290 | |
8.000% due 02/01/2027 (n) | | | | | 884 | | | | | | 637 | |
|
Triumph Group, Inc. | |
6.250% due 09/15/2024 (n) | | | | | 568 | | | | | | 572 | |
|
U.S. Renal Care, Inc. | |
10.625% due 07/15/2027 (n) | | | | | 21,168 | | | | | | 21,507 | |
|
Unigel Luxembourg S.A. | |
8.750% due 10/01/2026 (n) | | | | | 2,200 | | | | | | 2,334 | |
|
United Airlines Pass-Through Trust | |
3.500% due 09/01/2031 (n) | | | | | 859 | | | | | | 897 | |
|
United Airlines, Inc. | |
4.375% due 04/15/2026 (n) | | | | | 1,300 | | | | | | 1,357 | |
4.625% due 04/15/2029 (n) | | | | | 600 | | | | | | 620 | |
|
United Group BV | |
4.875% due 07/01/2024 (n) | | EUR | | | 300 | | | | | | 346 | |
|
Univision Communications, Inc. | |
5.125% due 02/15/2025 (n) | | $ | | | 2,497 | | | | | | 2,525 | |
9.500% due 05/01/2025 (n) | | | | | 300 | | | | | | 321 | |
|
Valaris Ltd. (8.250% Cash or 12.000% PIK) | |
8.250% due 04/30/2028 (d)(n) | | | | | 3,573 | | | | | | 3,723 | |
8.250% due 04/30/2028 (d) | | | | | 59 | | | | | | 61 | |
|
Vale Overseas Ltd. | |
3.750% due 07/08/2030 (n) | | | | | 300 | | | | | | 311 | |
6.875% due 11/21/2036 (n) | | | | | 668 | | | | | | 889 | |
6.875% due 11/10/2039 (n) | | | | | 269 | | | | | | 362 | |
|
Vale S.A. | |
2.762% due 12/29/2049 «~(j) | | BRL | | | 827,370 | | | | | | 73,918 | |
|
Veritas U.S., Inc. | |
7.500% due 09/01/2025 (n) | | $ | | | 21,985 | | | | | | 22,783 | |
|
Victors Merger Corp. | |
6.375% due 05/15/2029 (n) | | | | | 10,100 | | | | | | 9,508 | |
|
Viking Cruises Ltd. | |
13.000% due 05/15/2025 (n) | | | | | 47,633 | | | | | | 53,975 | |
|
Viking Ocean Cruises Ship Ltd. | |
5.625% due 02/15/2029 (n) | | | | | 12,300 | | | | | | 12,302 | |
|
VOC Escrow Ltd. | |
5.000% due 02/15/2028 (n) | | | | | 7,600 | | | | | | 7,535 | |
|
Windstream Escrow LLC | |
7.750% due 08/15/2028 (n) | | | | | 66,630 | | | | | | 70,760 | |
|
Wolverine Escrow LLC | |
8.500% due 11/15/2024 (n) | | | | | 90,499 | | | | | | 84,032 | |
9.000% due 11/15/2026 (n) | | | | | 65,719 | | | | | | 62,506 | |
| | | | | | | | | | | | |
| See Accompanying Notes | | | SEMIANNUAL REPORT | | | | | | | DECEMBER 31, 2021 | | | 67 |
| | | | | | | | |
| Consolidated Schedule of Investments | | PIMCO Dynamic Income Fund | | (Cont.) | | | | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
|
Wynn Las Vegas LLC | |
5.250% due 05/15/2027 (n) | | $ | | | 15,100 | | | $ | | | 15,454 | |
5.500% due 03/01/2025 (n) | | | | | 7,400 | | | | | | 7,632 | |
|
Wynn Macau Ltd. | |
4.875% due 10/01/2024 (n) | | | | | 600 | | | | | | 565 | |
5.125% due 12/15/2029 (n) | | | | | 4,100 | | | | | | 3,731 | |
5.500% due 01/15/2026 (n) | | | | | 2,000 | | | | | | 1,882 | |
5.500% due 10/01/2027 (n) | | | | | 2,300 | | | | | | 2,141 | |
5.625% due 08/26/2028 (n) | | | | | 7,700 | | | | | | 7,142 | |
|
Wynn Resorts Finance LLC | |
7.750% due 04/15/2025 (n) | | | | | 300 | | | | | | 315 | |
|
Yellowstone Energy LP | |
5.750% due 12/31/2026 « | | | | | 2,701 | | | | | | 2,989 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,785,771 | |
| | | | | | | | | | | | |
| |
| UTILITIES 8.1% | |
|
AT&T, Inc. | |
3.500% due 02/01/2061 (n) | | | | | 2,300 | | | | | | 2,269 | |
3.850% due 06/01/2060 (n) | | | | | 1,779 | | | | | | 1,864 | |
|
DTEK Finance PLC (1.500% Cash and 3.500% PIK) | |
5.000% due 12/31/2027 (d)(n) | | | | | 45,970 | | | | | | 25,192 | |
|
Eskom Holdings SOC Ltd. | |
6.750% due 08/06/2023 (n) | | | | | 53,680 | | | | | | 55,249 | |
|
FEL Energy SARL | |
5.750% due 12/01/2040 (n) | | | | | 17,077 | | | | | | 17,137 | |
|
Gazprom Neft OAO Via GPN Capital S.A. | |
4.375% due 09/19/2022 (n) | | | | | 200 | | | | | | 204 | |
|
Genesis Energy LP | |
6.500% due 10/01/2025 (n) | | | | | 4,700 | | | | | | 4,646 | |
8.000% due 01/15/2027 (n) | | | | | 4,300 | | | | | | 4,436 | |
|
NGD Holdings BV | |
6.750% due 12/31/2026 (n) | | | | | 6,185 | | | | | | 5,674 | |
|
Odebrecht Drilling Norbe Ltd. (6.350% Cash and 1.000% PIK) | |
7.350% due 12/01/2026 ^(d)(n) | | | 4,908 | | | | | | 2,718 | |
|
Odebrecht Offshore Drilling Finance Ltd. | |
6.720% due 12/01/2022 ^(n) | | | | | 9,937 | | | | | | 9,800 | |
|
Odebrecht Offshore Drilling Finance Ltd. (6.720% Cash and 1.000% PIK) | |
7.720% due 12/01/2026 ^(d) | | | | | 23,912 | | | | | | 4,782 | |
|
Oi S.A. (10.000% Cash or 12.000% PIK) | |
10.000% due 07/27/2025 (d)(n) | | | | | 39,214 | | | | | | 34,454 | |
|
Pacific Gas & Electric Co. | |
3.450% due 07/01/2025 (n) | | | | | 1,168 | | | | | | 1,212 | |
3.500% due 08/01/2050 (n) | | | | | 1,200 | | | | | | 1,115 | |
3.750% due 08/15/2042 (n) | | | | | 2,842 | | | | | | 2,657 | |
3.950% due 12/01/2047 (n) | | | | | 700 | | | | | | 676 | |
4.000% due 12/01/2046 | | | | | 57 | | | | | | 56 | |
4.250% due 03/15/2046 (n) | | | | | 2,332 | | | | | | 2,334 | |
4.300% due 03/15/2045 (n) | | | | | 1,115 | | | | | | 1,130 | |
4.450% due 04/15/2042 (n) | | | | | 5,473 | | | | | | 5,575 | |
4.500% due 07/01/2040 (n) | | | | | 22,912 | | | | | | 23,906 | |
4.500% due 12/15/2041 (n) | | | | | 1,802 | | | | | | 1,802 | |
4.550% due 07/01/2030 (n) | | | | | 17,261 | | | | | | 18,680 | |
4.600% due 06/15/2043 (n) | | | | | 1,221 | | | | | | 1,261 | |
4.750% due 02/15/2044 (n) | | | | | 57,224 | | | | | | 59,474 | |
4.950% due 07/01/2050 (n) | | | | | 23,854 | | | | | | 26,040 | |
|
Peru LNG SRL | |
5.375% due 03/22/2030 (n) | | | | | 40,751 | | | | | | 35,313 | |
|
Petrobras Global Finance BV | |
6.250% due 12/14/2026 (n) | | GBP | | | 2,484 | | | | | | 3,665 | |
6.625% due 01/16/2034 (n) | | | | | 11,917 | | | | | | 17,863 | |
6.750% due 06/03/2050 (n) | | $ | | | 23,373 | | | | | | 24,487 | |
6.850% due 06/05/2115 (n) | | | | | 20,767 | | | | | | 20,652 | |
|
Rio Oil Finance Trust | |
8.200% due 04/06/2028 (n) | | | | | 306 | | | | | | 348 | |
9.250% due 07/06/2024 (n) | | | | | 12,978 | | | | | | 13,976 | |
9.750% due 01/06/2027 (n) | | | | | 4,959 | | | | | | 5,701 | |
|
Southern California Edison Co. | |
4.875% due 03/01/2049 | | | | | 11 | | | | | | 13 | |
|
Transocean Poseidon Ltd. | |
6.875% due 02/01/2027 (n) | | | | | 1,040 | | | | | | 1,006 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 437,367 | |
| | | | | | | | | | | | |
Total Corporate Bonds & Notes (Cost $2,878,115) | | | 2,847,377 | |
| | | | | | | | | | | | |
| |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
| CONVERTIBLE BONDS & NOTES 1.1% | |
| |
| BANKING & FINANCE 0.3% | |
|
CBL & Associates HoldCo LLC | |
7.000% due 11/15/2028 | | $ | | | 234 | | | $ | | | 448 | |
|
Corestate Capital Holding S.A. | |
1.375% due 11/28/2022 (n) | | EUR | | | 9,900 | | | | | | 9,947 | |
|
PennyMac Corp. | |
5.500% due 03/15/2026 (n) | | $ | | | 7,700 | | | | | | 7,546 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 17,941 | |
| | | | | | | | | | | | |
| |
| INDUSTRIALS 0.8% | |
|
Multiplan Corp. (6.000% Cash or 7.000% PIK) | |
6.000% due 10/15/2027 (d) | | | | | 33,700 | | | | | | 26,707 | |
|
Vnet Group Inc | |
0.000% due 02/01/2026 (h) | | | | | 21,000 | | | | | | 16,905 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 43,612 | |
| | | | | | | | | | | | |
Total Convertible Bonds & Notes (Cost $69,043) | | | 61,553 | |
| | | | | | | | | | | | |
| |
| MUNICIPAL BONDS & NOTES 1.6% | |
| |
| ILLINOIS 0.0% | |
|
Chicago, Illinois General Obligation Bonds, Series 2015 | |
7.750% due 01/01/2042 | | | | | 165 | | | | | | 188 | |
|
Chicago, Illinois General Obligation Bonds, Series 2017 | |
7.045% due 01/01/2029 | | | | | 560 | | | | | | 643 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 831 | |
| | | | | | | | | | | | |
| |
| PUERTO RICO 0.8% | |
|
Commonwealth of Puerto Rico General Obligation Bonds, Series 2014 | |
8.000% due 07/01/2035 ^(e) | | | | | 35,600 | | | | | | 31,684 | |
|
CPR Custodial Receipt, Puerto Rico Revenue Bonds, Series 2021 | |
1.000% due 01/01/2045 ^(e) | | | | | 13,000 | | | | | | 12,545 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 44,229 | |
| | | | | | | | | | | | |
| |
| VIRGINIA 0.0% | |
|
Tobacco Settlement Financing Corp., Virginia Revenue Bonds, Series 2007 | |
6.706% due 06/01/2046 | | | | | 95 | | | | | | 100 | |
| | | | | | | | | | | | |
| |
| WEST VIRGINIA 0.8% | |
|
Tobacco Settlement Finance Authority, West Virginia Revenue Bonds, Series 2007 | |
0.000% due 06/01/2047 (h) | | | | | 355,485 | | | | | | 39,614 | |
| | | | | | | | | | | | |
Total Municipal Bonds & Notes (Cost $73,023) | | | 84,774 | |
| | | | | | | | | | | | |
| |
| U.S. GOVERNMENT AGENCIES 2.3% | |
|
Fannie Mae | |
1.017% due 08/25/2043 ~(a) | | | | | 24,751 | | | | | | 853 | |
1.762% due 10/25/2060 ~(a)(n) | | | | | 29,570 | | | | | | 1,554 | |
3.000% due 01/25/2042 (a)(n) | | | | | 237 | | | | | | 9 | |
3.500% due 08/25/2032 - 06/25/2050 (a)(n) | | | | | 22,491 | | | | | | 3,335 | |
4.000% due 06/25/2050 (a)(n) | | | | | 13,362 | | | | | | 2,039 | |
4.500% due 04/25/2042 (a)(n) | | | | | 922 | | | | | | 104 | |
5.000% due 01/25/2048 - 06/25/2050 (a)(n) | | | | | 6,641 | | | | | | 1,258 | |
5.818% due 07/25/2041 •(a)(n) | | | | | 2,602 | | | | | | 406 | |
5.853% due 07/25/2029 •(n) | | | | | 9,180 | | | | | | 10,089 | |
5.898% due 08/25/2038 •(a) | | | | | 450 | | | | | | 65 | |
5.948% due 08/25/2049 •(a) | | | | | 234 | | | | | | 40 | |
5.948% due 07/25/2059 •(a)(n) | | | | | 8,863 | | | | | | 1,654 | |
5.968% due 10/25/2040 •(a)(n) | | | | | 3,163 | | | | | | 358 | |
6.048% due 02/25/2043 •(a)(n) | | | | | 1,914 | | | | | | 286 | |
6.248% due 12/25/2037 •(a) | | | | | 85 | | | | | | 14 | |
6.418% due 09/25/2037 •(a)(n) | | | | | 436 | | | | | | 72 | |
6.498% due 03/25/2040 •(a)(n) | | | | | 2,685 | | | | | | 302 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
6.538% due 12/25/2036 •(a)(n) | | $ | | | 1,738 | | | $ | | | 333 | |
6.548% due 11/25/2036 •(a) | | | | | 58 | | | | | | 8 | |
6.618% due 06/25/2037 •(a) | | | | | 251 | | | | | | 36 | |
6.878% due 03/25/2038 •(a)(n) | | | | | 1,051 | | | | | | 192 | |
6.898% due 02/25/2038 •(a)(n) | | | | | 617 | | | | | | 122 | |
6.998% due 06/25/2023 •(a)(n) | | | | | 201 | | | | | | 8 | |
8.862% due 10/25/2042 •(n) | | | | | 1,436 | | | | | | 1,529 | |
12.146% due 01/25/2041 •(n) | | | | | 4,736 | | | | | | 6,023 | |
|
Freddie Mac | |
0.000% due 02/25/2046 (b)(h)(n) | | | | | 9,824 | | | | | | 8,252 | |
0.100% due 02/25/2046 (a) | | | | | 9,826 | | | | | | 3 | |
0.700% due 11/25/2055 «~(a)(n) | | | | | 268,391 | | | | | | 20,949 | |
2.010% due 11/25/2045 ~(a)(n) | | | | | 75,137 | | | | | | 7,972 | |
3.000% due 06/25/2050 (a)(n) | | | | | 13,405 | | | | | | 1,942 | |
3.500% due 07/25/2050 (a)(n) | | | | | 29,267 | | | | | | 5,299 | |
4.000% due 03/15/2027 (a) | | | | | 219 | | | | | | 15 | |
4.000% due 07/25/2050 (a)(n) | | | | | 24,269 | | | | | | 4,149 | |
4.200% due 11/15/2048 •(a)(n) | | | | | 55,006 | | | | | | 4,420 | |
4.500% due 06/25/2050 (a)(n) | | | | | 3,030 | | | | | | 406 | |
5.000% due 05/25/2048 (a)(n) | | | | | 9,752 | | | | | | 1,318 | |
5.253% due 10/25/2029 •(n) | | | | | 8,600 | | | | | | 9,381 | |
5.840% due 04/15/2039 •(a)(n) | | | | | 1,523 | | | | | | 323 | |
5.998% due 06/25/2050 •(a)(n) | | | | | 1,478 | | | | | | 238 | |
6.040% due 01/15/2047 •(a) | | | | | 347 | | | | | | 65 | |
6.048% due 05/25/2050 •(a)(n) | | | | | 10,122 | | | | | | 1,669 | |
6.090% due 09/15/2042 •(a)(n) | | | | | 773 | | | | | | 116 | |
6.190% due 05/15/2037 •(a)(n) | | | | | 1,113 | | | | | | 193 | |
6.250% due 01/25/2051 •(a)(n) | | | | | 10,658 | | | | | | 2,348 | |
6.300% due 05/15/2037 •(a) | | | | | 104 | | | | | | 15 | |
6.360% due 07/15/2036 •(a)(n) | | | | | 1,374 | | | | | | 236 | |
6.390% due 12/15/2034 •(a) | | | | | 6 | | | | | | 0 | |
6.470% due 09/15/2036 •(a)(n) | | | | | 454 | | | | | | 83 | |
6.490% due 05/15/2041 •(a)(n) | | | | | 870 | | | | | | 176 | |
6.590% due 04/15/2036 •(a)(n) | | | | | 392 | | | | | | 52 | |
7.670% due 09/15/2036 •(a)(n) | | | | | 784 | | | | | | 169 | |
9.102% due 03/25/2029 • | | | | | 6,859 | | | | | | 7,369 | |
10.603% due 10/25/2028 • | | | | | 1,484 | | | | | | 1,709 | |
10.853% due 03/25/2025 • | | | | | 6,170 | | | | | | 6,320 | |
14.252% due 09/15/2041 •(n) | | | | | 602 | | | | | | 832 | |
|
Ginnie Mae | |
2.500% due 09/20/2036 (a)(n) | | | | | 61,815 | | | | | | 5,078 | |
3.500% due 06/20/2042 (a)(n) | | | | | 272 | | | | | | 28 | |
5.996% due 12/20/2048 •(a)(n) | | | | | 4,365 | | | | | | 668 | |
6.016% due 08/20/2042 •(a)(n) | | | | | 1,732 | | | | | | 313 | |
6.146% due 12/20/2040 •(a)(n) | | | | | 1,429 | | | | | | 150 | |
6.593% due 08/16/2039 •(a)(n) | | | | | 496 | | | | | | 14 | |
| | | | | | | | | | | | |
Total U.S. Government Agencies (Cost $124,915) | | | 122,959 | |
| | | | | | | | | | | | |
| |
| NON-AGENCY MORTGAGE-BACKED SECURITIES 34.4% | |
|
245 Park Avenue Trust | |
3.657% due 06/05/2037 ~(n) | | | | | 2,500 | | | | | | 2,410 | |
|
280 Park Avenue Mortgage Trust | |
2.937% due 09/15/2034 • | | | | | 2,500 | | | | | | 2,476 | |
|
Adjustable Rate Mortgage Trust | |
0.362% due 03/25/2036 •(n) | | | | | 3,725 | | | | | | 2,645 | |
0.402% due 03/25/2037 • | | | | | 961 | | | | | | 1,076 | |
3.305% due 03/25/2037 ~ | | | | | 1,756 | | | | | | 1,698 | |
5.130% due 11/25/2037 ^~ | | | | | 982 | | | | | | 877 | |
|
Alba PLC | |
0.358% due 12/15/2038 •(n) | | GBP | | | 5,932 | | | | | | 7,564 | |
|
American Home Mortgage Assets Trust | |
0.642% due 11/25/2035 • | | $ | | | 774 | | | | | | 770 | |
0.672% due 08/25/2037 ^•(n) | | | | | 10,503 | | | | | | 10,179 | |
|
American Home Mortgage Investment Trust | |
0.642% due 03/25/2037 • | | | | | 2,778 | | | | | | 1,250 | |
0.702% due 09/25/2045 • | | | | | 3,336 | | | | | | 3,089 | |
1.002% due 02/25/2044 •(n) | | | | | 9,739 | | | | | | 9,397 | |
6.600% due 01/25/2037 þ | | | | | 4,709 | | | | | | 1,486 | |
|
Anthracite Ltd. | |
5.678% due 06/20/2041 | | | | | 2,149 | | | | | | 129 | |
|
ASG Resecuritization Trust | |
2.587% due 01/28/2037 ~(n) | | | | | 10,610 | | | | | | 9,036 | |
6.000% due 06/28/2037 ~(n) | | | | | 28,524 | | | | | | 19,360 | |
|
Ashford Hospitality Trust | |
3.210% due 04/15/2035 •(n) | | | | | 6,800 | | | | | | 6,577 | |
| | | | | | |
| 68 | | PIMCO CLOSED-END FUNDS | | | See Accompanying Notes | |
| | | | | | | | |
| | | | | | December 31, 2021 | | (Unaudited) |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
|
Austin Fairmont Hotel Trust | |
2.910% due 09/15/2032 • | | $ | | | 5,000 | | | $ | | | 4,858 | |
|
Avon Finance PLC | |
0.000% due 09/20/2048 (b)(h) | | GBP | | | 28,441 | | | | | | 33,574 | |
0.000% due 09/20/2048 ~ | | | | | 10 | | | | | | 39,754 | |
3.048% due 09/20/2048 • | | | | | 20,316 | | | | | | 26,920 | |
3.298% due 09/20/2048 • | | | | | 8,126 | | | | | | 10,556 | |
|
BAMLL Commercial Mortgage Securities Trust | |
2.260% due 03/15/2037 •(n) | | $ | | | 7,579 | | | | | | 7,293 | |
2.360% due 03/15/2037 •(n) | | | | | 6,728 | | | | | | 6,384 | |
|
Banc of America Alternative Loan Trust | |
0.462% due 06/25/2037 • | | | | | 361 | | | | | | 275 | |
6.000% due 06/25/2037 | | | | | 129 | | | | | | 127 | |
6.000% due 06/25/2046 | | | | | 61 | | | | | | 61 | |
6.000% due 07/25/2046 ^ | | | | | 873 | | | | | | 848 | |
6.538% due 06/25/2037 ^•(a) | | | | | 388 | | | | | | 69 | |
|
Banc of America Funding Corp. | |
0.426% due 05/26/2036 ~(n) | | | | | 6,053 | | | | | | 5,527 | |
|
Banc of America Funding Trust | |
0.000% due 06/26/2035 ~(n) | | | | | 2,448 | | | | | | 2,359 | |
0.000% due 11/26/2036 ~ | | | | | 27,634 | | | | | | 8,012 | |
0.512% due 08/25/2047 ^~ | | | | | 2,779 | | | | | | 2,399 | |
0.522% due 04/25/2037 ^•(n) | | | | | 1,212 | | | | | | 1,170 | |
0.524% due 04/20/2047 ^•(n) | | | | | 6,090 | | | | | | 6,037 | |
0.763% due 02/20/2035 • | | | | | 4,300 | | | | | | 4,447 | |
2.001% due 12/20/2034 ~ | | | | | 525 | | | | | | 356 | |
2.105% due 12/20/2036 ~ | | | | | 36 | | | | | | 37 | |
2.649% due 04/20/2035 ^~ | | | | | 1,486 | | | | | | 1,437 | |
2.663% due 09/20/2046 ^~ | | | | | 1,128 | | | | | | 1,120 | |
2.680% due 01/25/2035 ~ | | | | | 147 | | | | | | 153 | |
2.981% due 03/20/2036 ^~ | | | | | 1,091 | | | | | | 1,083 | |
3.022% due 09/20/2047 ^~ | | | | | 197 | | | | | | 175 | |
3.063% due 10/20/2046 ^~ | | | | | 391 | | | | | | 345 | |
3.146% due 01/20/2047 ^~ | | | | | 101 | | | | | | 99 | |
3.245% due 09/20/2037 ~ | | | | | 442 | | | | | | 352 | |
5.188% due 08/26/2036 ~(n) | | | | | 744 | | | | | | 586 | |
6.000% due 10/25/2037 ^(n) | | | | | 3,991 | | | | | | 3,169 | |
6.619% due 07/26/2036 ~ | | | | | 9,574 | | | | | | 4,238 | |
|
Banc of America Mortgage Trust | |
2.122% due 10/20/2046 ^~ | | | | | 133 | | | | | | 93 | |
3.025% due 01/25/2036 ~ | | | | | 178 | | | | | | 176 | |
5.750% due 10/25/2036 ^ | | | | | 754 | | | | | | 732 | |
5.750% due 05/25/2037 ^ | | | | | 717 | | | | | | 662 | |
6.000% due 10/25/2036 ^ | | | | | 92 | | | | | | 90 | |
|
Bancorp Commercial Mortgage Trust | |
3.860% due 08/15/2032 •(n) | | | | | 7,270 | | | | | | 6,564 | |
|
Barclays Commercial Mortgage Securities Trust | |
4.760% due 02/15/2033 •(n) | | | | | 7,589 | | | | | | 7,624 | |
|
Bayview Commercial Asset Trust | |
0.322% due 03/25/2037 • | | | | | 196 | | | | | | 190 | |
|
BCAP LLC Trust | |
0.333% due 02/26/2037 ~ | | | | | 10,784 | | | | | | 9,795 | |
0.452% due 05/26/2036 • | | | | | 4,660 | | | | | | 4,024 | |
0.592% due 05/26/2035 • | | | | | 6,488 | | | | | | 5,864 | |
0.784% due 02/26/2047 •(n) | | | | | 13,603 | | | | | | 11,817 | |
1.903% due 07/26/2045 ~(n) | | | | | 4,433 | | | | | | 4,367 | |
2.562% due 07/26/2035 ~ | | | | | 888 | | | | | | 774 | |
2.613% due 05/26/2037 ~(n) | | | | | 1,879 | | | | | | 1,885 | |
2.706% due 11/26/2035 ~(n) | | | | | 2,999 | | | | | | 2,878 | |
2.922% due 02/26/2036 ~ | | | | | 3,864 | | | | | | 2,994 | |
3.028% due 06/26/2036 ~ | | | | | 2,601 | | | | | | 2,355 | |
3.069% due 04/26/2037 ~(n) | | | | | 7,331 | | | | | | 6,572 | |
3.098% due 07/26/2036 ~ | | | | | 474 | | | | | | 448 | |
3.144% due 03/26/2037 ~ | | | | | 913 | | | | | | 799 | |
3.255% due 03/27/2037 ~ | | | | | 5,801 | | | | | | 5,109 | |
5.500% due 12/26/2035 ~ | | | | | 11,362 | | | | | | 8,572 | |
6.000% due 06/26/2037 ~ | | | | | 2,257 | | | | | | 2,251 | |
6.000% due 08/26/2037 ~ | | | | | 2,449 | | | | | | 2,476 | |
6.000% due 10/26/2037 ~ | | | | | 2,243 | | | | | | 2,058 | |
7.936% due 01/26/2036 ~ | | | | | 18,119 | | | | | | 6,406 | |
|
Bear Stearns Adjustable Rate Mortgage Trust | |
2.106% due 09/25/2034 ~ | | | | | 42 | | | | | | 40 | |
2.166% due 09/25/2034 ~ | | | | | 18 | | | | | | 17 | |
2.811% due 10/25/2036 ^~ | | | | | 197 | | | | | | 194 | |
2.937% due 08/25/2047 ^~ | | | | | 190 | | | | | | 178 | |
3.222% due 02/25/2036 ^~ | | | | | 384 | | | | | | 381 | |
3.274% due 06/25/2047 ^~(n) | | | | | 1,828 | | | | | | 1,827 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
|
Bear Stearns ALT-A Trust | |
0.422% due 06/25/2046 ^• | | $ | | | 1,448 | | | $ | | | 1,418 | |
0.442% due 08/25/2036 ^•(n) | | | | | 17,580 | | | | | | 16,471 | |
0.502% due 02/25/2034 •(n) | | | | | 3,087 | | | | | | 3,016 | |
0.602% due 01/25/2036 ^• | | | | | 4,941 | | | | | | 5,962 | |
1.227% due 01/25/2035 • | | | | | 982 | | | | | | 1,057 | |
1.227% due 03/25/2035 • | | | | | 5,806 | | | | | | 6,947 | |
2.000% due 09/25/2034 ~ | | | | | 207 | | | | | | 212 | |
2.704% due 11/25/2035 ~ | | | | | 35 | | | | | | 28 | |
2.723% due 04/25/2035 ~ | | | | | 179 | | | | | | 167 | |
2.735% due 05/25/2035 ~ | | | | | 183 | | | | | | 184 | |
2.807% due 03/25/2036 ~ | | | | | 1,472 | | | | | | 982 | |
2.871% due 08/25/2046 ^~ | | | | | 2,856 | | | | | | 2,255 | |
2.881% due 04/25/2037 ~(n) | | | | | 4,852 | | | | | | 4,133 | |
2.895% due 11/25/2035 ^~(n) | | | | | 11,850 | | | | | | 8,878 | |
2.939% due 09/25/2035 ^~(n) | | | | | 9,039 | | | | | | 4,965 | |
3.027% due 07/25/2036 ~(n) | | | | | 57,811 | | | | | | 38,461 | |
3.158% due 12/25/2046 ^~ | | | | | 3,845 | | | | | | 2,614 | |
3.174% due 05/25/2036 ^~ | | | | | 406 | | | | | | 395 | |
3.241% due 11/25/2036 ^~ | | | | | 1,834 | | | | | | 1,224 | |
3.398% due 08/25/2036 ^~ | | | | | 307 | | | | | | 194 | |
4.057% due 07/25/2035 ^~ | | | | | 241 | | | | | | 203 | |
|
Bear Stearns Mortgage Funding Trust | |
7.500% due 08/25/2036 þ | | | | | 951 | | | | | | 955 | |
|
Beast Mortgage Trust | |
3.700% due 03/15/2036 •(n) | | | | | 5,000 | | | | | | 4,996 | |
|
Beneria Cowen & Pritzer Collateral Funding Corp. | |
3.748% due 06/15/2038 •(n) | | | | | 11,100 | | | | | | 11,011 | |
|
BX Commercial Mortgage Trust | |
2.347% due 10/15/2036 •(n) | | | | | 1,010 | | | | | | 982 | |
3.030% due 05/15/2030 • | | | | | 5,500 | | | | | | 5,438 | |
3.260% due 07/15/2034 •(n) | | | | | 16,973 | | | | | | 17,010 | |
|
CBA Commercial Small Balance Commercial Mortgage | |
6.040% due 01/25/2039 ^þ | | | | | 447 | | | | | | 429 | |
|
CD Mortgage Trust | |
5.688% due 10/15/2048 (n) | | | | | 1,606 | | | | | | 1,563 | |
|
Chase Mortgage Finance Trust | |
2.795% due 01/25/2036 ^~(n) | | | | | 4,351 | | | | | | 4,027 | |
2.965% due 03/25/2037 ^~(n) | | | | | 1,222 | | | | | | 1,235 | |
6.000% due 03/25/2037 ^ | | | | | 561 | | | | | | 382 | |
|
Citigroup Commercial Mortgage Trust | |
5.512% due 12/10/2049 ~ | | | | | 10,805 | | | | | | 4,862 | |
|
Citigroup Global Markets Mortgage Securities, Inc. | |
6.500% due 02/25/2029 | | | | | 155 | | | | | | 158 | |
|
Citigroup Mortgage Loan Trust | |
2.125% due 08/25/2037 ~ | | | | | 1,876 | | | | | | 1,179 | |
2.219% due 03/25/2037 ^~(n) | | | | | 2,153 | | | | | | 1,915 | |
2.425% due 03/25/2037 ^~ | | | | | 189 | | | | | | 190 | |
2.460% due 04/25/2037 ^~ | | | | | 447 | | | | | | 402 | |
2.490% due 03/25/2036 ^• | | | | | 144 | | | | | | 144 | |
2.570% due 08/25/2034 ~(n) | | | | | 6,115 | | | | | | 6,048 | |
2.751% due 07/25/2036 ^~ | | | | | 1,991 | | | | | | 1,344 | |
2.777% due 02/25/2036 ~ | | | | | 7,083 | | | | | | 6,827 | |
3.017% due 10/25/2035 ^~(n) | | | | | 1,510 | | | | | | 1,542 | �� |
3.153% due 09/25/2037 ^~(n) | | | | | 2,733 | | | | | | 2,720 | |
3.334% due 03/25/2037 ^~ | | | | | 792 | | | | | | 797 | |
5.500% due 12/25/2035 | | | | | 2,186 | | | | | | 1,513 | |
6.000% due 07/25/2036 (n) | | | | | 4,614 | | | | | | 3,346 | |
6.500% due 09/25/2036 | | | | | 1,011 | | | | | | 794 | |
|
Citigroup Mortgage Loan Trust, Inc. | |
5.500% due 11/25/2035 ^ | | | | | 294 | | | | | | 289 | |
|
Colony Mortgage Capital Ltd. | |
3.527% due 11/15/2038 •(n) | | | | | 14,200 | | | | | | 13,903 | |
|
Commercial Mortgage Lease-Backed Certificates | |
6.250% due 06/20/2031 ~ | | | | | 6,007 | | | | | | 6,076 | |
|
Commercial Mortgage Loan Trust | |
5.956% due 12/10/2049 ~(n) | | | | | 6,904 | | | | | | 1,196 | |
|
Commercial Mortgage Trust | |
4.250% due 12/15/2038 •(n) | | | | | 10,004 | | | | | | 10,029 | |
5.100% due 12/15/2038 • | | | | | 5,000 | | | | | | 5,012 | |
6.012% due 07/10/2038 ~(n) | | | | | 4,688 | | | | | | 3,946 | |
6.100% due 12/15/2038 • | | | | | 3,360 | | | | | | 3,368 | |
|
Connecticut Avenue Securities Trust | |
2.800% due 12/25/2041 • | | | | | 2,600 | | | | | | 2,604 | |
5.550% due 12/25/2041 • | | | | | 1,200 | | | | | | 1,209 | |
6.050% due 10/25/2041 • | | | | | 3,600 | | | | | | 3,695 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
|
Countrywide Alternative Loan Resecuritization Trust | |
7.000% due 01/25/2037 ^ | | $ | | | 5,254 | | | $ | | | 1,658 | |
|
Countrywide Alternative Loan Trust | |
0.294% due 03/20/2047 • | | | | | 516 | | | | | | 447 | |
0.352% due 06/25/2037 •(n) | | | | | 7,289 | | | | | | 5,712 | |
0.352% due 06/25/2037 ^• | | | | | 641 | | | | | | 565 | |
0.452% due 05/25/2036 ^• | | | | | 1,251 | | | | | | 340 | |
0.452% due 08/25/2036 ^• | | | | | 901 | | | | | | 443 | |
0.462% due 05/25/2036 •(n) | | | | | 9,893 | | | | | | 9,638 | |
0.482% due 09/25/2046 ^•(n) | | | | | 6,787 | | | | | | 6,462 | |
0.522% due 08/25/2047 ^• | | | | | 951 | | | | | | 904 | |
0.542% due 05/25/2047 • | | | | | 6,023 | | | | | | 3,722 | |
0.562% due 03/25/2036 •(n) | | | | | 9,616 | | | | | | 9,882 | |
0.622% due 07/25/2036 • | | | | | 5,632 | | | | | | 5,045 | |
0.703% due 11/20/2035 • | | | | | 117 | | | | | | 113 | |
0.782% due 09/25/2035 • | | | | | 2,681 | | | | | | 1,746 | |
0.782% due 10/25/2046 ^• | | | | | 111 | | | | | | 83 | |
0.801% due 12/25/2035 ~(a) | | | | | 8,748 | | | | | | 313 | |
0.802% due 10/25/2035 ^• | | | | | 562 | | | | | | 394 | |
0.932% due 11/25/2046 • | | | | | 2,893 | | | | | | 2,643 | |
1.392% due 07/20/2035 ^• | | | | | 7,249 | | | | | | 6,228 | |
1.562% due 11/25/2035 •(n) | | | | | 9,648 | | | | | | 9,517 | |
1.714% due 12/25/2035 ~(a) | | | | | 3,834 | | | | | | 229 | |
2.683% due 06/25/2037 ^~ | | | | | 101 | | | | | | 91 | |
2.825% due 05/25/2036 ~(n) | | | | | 3,325 | | | | | | 3,128 | |
5.500% due 07/25/2035 ^ | | | | | 810 | | | | | | 590 | |
5.500% due 10/25/2035 ^ | | | | | 137 | | | | | | 123 | |
5.500% due 11/25/2035 ^ | | | | | 353 | | | | | | 275 | |
5.500% due 11/25/2035 | | | | | 1,595 | | | | | | 1,253 | |
5.500% due 12/25/2035 ^ | | | | | 789 | | | | | | 557 | |
5.500% due 01/25/2036 ^ | | | | | 76 | | | | | | 76 | |
5.500% due 02/25/2036 ^ | | | | | 983 | | | | | | 768 | |
5.500% due 02/25/2036 | | | | | 957 | | | | | | 859 | |
5.500% due 05/25/2036 | | | | | 3,134 | | | | | | 3,032 | |
5.500% due 05/25/2036 ^ | | | | | 1,017 | | | | | | 984 | |
5.500% due 04/25/2037 ^(n) | | | | | 1,724 | | | | | | 1,217 | |
5.750% due 01/25/2036 | | | | | 149 | | | | | | 110 | |
5.750% due 05/25/2036 ^ | | | | | 157 | | | | | | 94 | |
5.750% due 01/25/2037 ^(n) | | | | | 8,575 | | | | | | 6,355 | |
5.750% due 04/25/2037 ^(n) | | | | | 1,217 | | | | | | 1,210 | |
6.000% due 03/25/2035 ^ | | | | | 299 | | | | | | 196 | |
6.000% due 11/25/2035 ^ | | | | | 325 | | | | | | 90 | |
6.000% due 04/25/2036 | | | | | 512 | | | | | | 326 | |
6.000% due 04/25/2036 ^ | | | | | 198 | | | | | | 139 | |
6.000% due 08/25/2036 ^ | | | | | 262 | | | | | | 204 | |
6.000% due 11/25/2036 ^ | | | | | 239 | | | | | | 183 | |
6.000% due 12/25/2036 | | | | | 158 | | | | | | 95 | |
6.000% due 01/25/2037 ^ | | | | | 1,725 | | | | | | 1,606 | |
6.000% due 02/25/2037 ^ | | | | | 2,259 | | | | | | 1,239 | |
6.000% due 03/25/2037 ^ | | | | | 11,347 | | | | | | 6,554 | |
6.000% due 04/25/2037 ^ | | | | | 9,595 | | | | | | 5,907 | |
6.000% due 09/25/2037 (n) | | | | | 8,002 | | | | | | 4,112 | |
6.250% due 12/25/2036 ^• | | | | | 558 | | | | | | 360 | |
6.500% due 09/25/2032 ^ | | | | | 154 | | | | | | 154 | |
6.500% due 06/25/2036 ^ | | | | | 334 | | | | | | 241 | |
6.500% due 11/25/2036 | | | | | 8,332 | | | | | | 3,572 | |
7.048% due 07/25/2036 •(a) | | | | | 7,676 | | | | | | 2,043 | |
19.520% due 07/25/2035 • | | | | | 73 | | | | | | 82 | |
38.389% due 05/25/2037 ^• | | | | | 714 | | | | | | 1,185 | |
|
Countrywide Home Loan Mortgage Pass-Through Trust | |
0.702% due 03/25/2035 • | | | | | 147 | | | | | | 119 | |
0.782% due 03/25/2036 • | | | | | 565 | | | | | | 364 | |
1.972% due 03/25/2046 ^•(n) | | | | | 28,315 | | | | | | 19,702 | |
2.484% due 11/25/2035 ^~ | | | | | 882 | | | | | | 846 | |
2.595% due 06/20/2035 ~ | | | | | 20 | | | | | | 20 | |
2.668% due 08/20/2035 ^~ | | | | | 37 | | | | | | 37 | |
2.675% due 09/20/2036 ~ | | | | | 2,815 | | | | | | 2,687 | |
2.716% due 11/20/2035 ~(n) | | | | | 7,127 | | | | | | 6,626 | |
2.733% due 05/20/2036 ^~ | | | | | 1,098 | | | | | | 922 | |
3.008% due 08/25/2034 ^~ | | | | | 6 | | | | | | 6 | |
3.146% due 06/25/2047 ^~(n) | | | | | 1,644 | | | | | | 1,720 | |
3.306% due 03/25/2037 ^~ | | | | | 757 | | | | | | 693 | |
3.434% due 09/25/2047 ^~ | | | | | 385 | | | | | | 364 | |
5.000% due 11/25/2035 ^ | | | | | 24 | | | | | | 17 | |
5.500% due 12/25/2034 | | | | | 61 | | | | | | 63 | |
5.500% due 08/25/2035 ^ | | | | | 33 | | | | | | 23 | |
5.500% due 11/25/2035 ^ | | | | | 29 | | | | | | 21 | |
6.000% due 07/25/2037 ^ | | | | | 160 | | | | | | 112 | |
6.000% due 08/25/2037 ^ | | | | | 1 | | | | | | 1 | |
6.000% due 08/25/2037 | | | | | 3,385 | | | | | | 2,250 | |
| | | | | | | | | | | | |
| See Accompanying Notes | | | SEMIANNUAL REPORT | | | | | | | DECEMBER 31, 2021 | | | 69 |
| | | | | | | | |
| Consolidated Schedule of Investments | | PIMCO Dynamic Income Fund | | (Cont.) | | | | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
|
Credit Suisse Commercial Mortgage Trust | |
5.627% due 01/15/2049 ~(n) | | $ | | | 10,300 | | | $ | | | 12,317 | |
|
Credit Suisse First Boston Mortgage Securities Corp. | |
5.100% due 08/15/2038 ~ | | | | | 958 | | | | | | 769 | |
6.000% due 01/25/2036 ^ | | | | | 250 | | | | | | 200 | |
7.500% due 05/25/2032 (n) | | | | | 854 | | | | | | 902 | |
|
Credit Suisse Mortgage Capital Certificates | |
1.694% due 11/25/2037 • | | | | | 8,244 | | | | | | 7,979 | |
1.694% due 11/27/2037 • | | | | | 8,379 | | | | | | 7,381 | |
2.136% due 06/25/2036 ~ | | | | | 4,754 | | | | | | 4,765 | |
2.437% due 12/29/2037 ~ | | | | | 3,333 | | | | | | 2,509 | |
2.720% due 02/27/2047 ~ | | | | | 36,228 | | | | | | 18,429 | |
2.892% due 04/26/2035 ~ | | | | | 9,292 | | | | | | 9,183 | |
2.956% due 10/26/2036 ~ | | | | | 11,875 | | | | | | 11,739 | |
3.043% due 05/27/2036 ~(n) | | | | | 2,922 | | | | | | 2,294 | |
3.092% due 09/26/2047 ~(n) | | | | | 18,748 | | | | | | 11,363 | |
3.109% due 07/26/2037 ~(n) | | | | | 6,498 | | | | | | 6,023 | |
3.174% due 05/26/2036 ~ | | | | | 5,438 | | | | | | 4,657 | |
3.281% due 04/28/2037 ~(n) | | | | | 2,675 | | | | | | 2,701 | |
5.750% due 05/26/2037 | | | | | 14,481 | | | | | | 12,317 | |
7.000% due 08/26/2036 | | | | | 14,482 | | | | | | 4,505 | |
7.000% due 08/27/2036 | | | | | 3,052 | | | | | | 1,719 | |
|
Credit Suisse Mortgage Capital Mortgage-Backed Trust | |
0.702% due 07/25/2036 ^• | | | | | 417 | | | | | | 68 | |
6.000% due 07/25/2036 | | | | | 1,939 | | | | | | 1,373 | |
6.396% due 04/25/2036 þ | | | | | 5,539 | | | | | | 3,815 | |
6.500% due 05/25/2036 ^ | | | | | 2,882 | | | | | | 1,463 | |
|
Credit Suisse Mortgage Capital Trust | |
3.010% due 07/15/2038 •(n) | | | | | 15,850 | | | | | | 15,864 | |
4.010% due 07/15/2038 •(n) | | | | | 13,700 | | | | | | 13,725 | |
6.500% due 07/26/2036 ^ | | | | | 11,358 | | | | | | 4,109 | |
|
DBGS Mortgage Trust | |
3.260% due 10/15/2036 •(n) | | | | | 26,404 | | | | | | 26,378 | |
|
DBUBS Mortgage Trust | |
4.652% due 11/10/2046 (n) | | | | | 10,123 | | | | | | 3,543 | |
|
Debussy DTC PLC | |
8.250% due 07/12/2025 | | GBP | | | 15,000 | | | | | | 6,852 | |
|
Deutsche ALT-A Securities, Inc. Mortgage Loan Trust | |
0.402% due 04/25/2037 • | | $ | | | 4,613 | | | | | | 3,280 | |
|
Deutsche ALT-A Securities, Inc. Mortgage Loan Trust | |
0.252% due 02/25/2047 • | | | | | 360 | | | | | | 261 | |
5.500% due 12/25/2035 ^ | | | | | 414 | | | | | | 412 | |
|
Deutsche ALT-B Securities, Inc. Mortgage Loan Trust | |
6.250% due 07/25/2036 ^~ | | | | | 45 | | | | | | 45 | |
|
Deutsche Mortgage Securities, Inc. Mortgage Loan Trust | |
5.500% due 09/25/2033 | | | | | 72 | | | | | | 74 | |
|
DOLP Trust | |
3.704% due 05/10/2041 ~ | | | | | 20,000 | | | | | | 18,432 | |
|
Downey Savings & Loan Association Mortgage Loan Trust | |
0.284% due 04/19/2047 ^• | | | | | 221 | | | | | | 257 | |
|
Dssv SARL | |
3.000% due 10/15/2024 «• | | EUR | | | 11,764 | | | | | | 13,246 | |
|
Eurosail PLC | |
0.000% due 06/13/2045 ~ | | GBP | | | 6 | | | | | | 5,688 | |
0.255% due 03/13/2045 • | | EUR | | | 7,067 | | | | | | 7,174 | |
1.345% (BP0003M + 1.250%) due 06/13/2045 ~(n) | | GBP | | | 17,617 | | | | | | 22,806 | |
1.695% due 09/13/2045 •(n) | | | | | 15,554 | | | | | | 20,321 | |
1.845% (BP0003M + 1.750%) due 06/13/2045 ~(n) | | | | | 11,115 | | | | | | 14,018 | |
2.345% due 09/13/2045 •(n) | | | | | 11,113 | | | | | | 14,604 | |
3.595% (BP0003M + 3.500%) due 06/13/2045 ~(n) | | | | | 3,952 | | | | | | 5,369 | |
3.945% due 09/13/2045 •(n) | | | | | 9,266 | | | | | | 13,196 | |
|
Extended Stay America Trust | |
3.810% due 07/15/2038 •(n) | | $ | | | 45,662 | | | | | | 45,829 | |
|
Finsbury Square PLC | |
5.549% due 06/16/2070 • | | GBP | | | 1,000 | | | | | | 1,402 | |
|
First Horizon Alternative Mortgage Securities Trust | |
2.279% due 08/25/2035 ^~ | | $ | | | 443 | | | | | | 69 | |
2.442% due 05/25/2036 ^~ | | | | | 614 | | | | | | 578 | |
2.652% due 11/25/2036 ^~ | | | | | 547 | | | | | | 444 | |
2.695% due 02/25/2036 ~ | | | | | 39 | | | | | | 33 | |
6.250% due 11/25/2036 ^ | | | | | 62 | | | | | | 32 | |
6.998% due 11/25/2036 •(a) | | | | | 819 | | | | | | 220 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
|
First Horizon Mortgage Pass-Through Trust | |
2.830% due 05/25/2037 ^~ | | $ | | | 2,660 | | | $ | | | 1,484 | |
2.918% due 01/25/2037 ^~ | | | | | 273 | | | | | | 211 | |
3.289% due 07/25/2037 ^~ | | | | | 15 | | | | | | 11 | |
5.500% due 08/25/2037 ^ | | | | | 242 | | | | | | 139 | |
|
Freddie Mac | |
3.400% due 09/25/2041 •(n) | | | | | 6,000 | | | | | | 5,982 | |
4.800% due 01/25/2051 • | | | | | 2,300 | | | | | | 2,340 | |
4.850% due 10/25/2050 •(n) | | | | | 2,500 | | | | | | 2,653 | |
6.300% due 09/25/2041 • | | | | | 6,400 | | | | | | 6,340 | |
7.050% due 12/25/2041 • | | | | | 500 | | | | | | 508 | |
7.550% due 10/25/2041 • | | | | | 4,900 | | | | | | 5,109 | |
|
GC Pastor Hipotecario FTA | |
0.000% due 06/21/2046 •(n) | | EUR | | | 24,856 | | | | | | 25,830 | |
|
GMAC Mortgage Corp. Loan Trust | |
3.559% due 07/19/2035 ~ | | $ | | | 25 | | | | | | 25 | |
|
GreenPoint Mortgage Funding Trust | |
0.282% due 01/25/2037 • | | | | | 620 | | | | | | 604 | |
0.302% due 12/25/2046 ^•(n) | | | | | 3,102 | | | | | | 3,028 | |
|
GS Mortgage Securities Corp. Trust | |
4.591% due 10/10/2032 ~(n) | | | | | 39,357 | | | | | | 38,586 | |
|
GS Mortgage Securities Trust | |
0.731% due 08/10/2043 ~(a) | | | | | 2,006 | | | | | | 15 | |
|
GS Mortgage-Backed Securities Trust | |
0.000% due 07/25/2059 (b)(h) | | | | | 163 | | | | | | 162 | |
0.000% due 07/25/2059 ~(a) | | | | | 159,130 | | | | | | 766 | |
0.090% due 07/25/2059 ~(a) | | | | | 144,025 | | | | | | 430 | |
3.807% due 07/25/2059 ~ | | | | | 20,073 | | | | | | 19,147 | |
|
GSC Capital Corp. Mortgage Trust | |
0.462% due 05/25/2036 ^• | | | | | 1,530 | | | | | | 1,497 | |
|
GSR Mortgage Loan Trust | |
0.552% due 07/25/2037 ^• | | | | | 242 | | | | | | 55 | |
2.434% due 11/25/2035 ~ | | | | | 132 | | | | | | 90 | |
2.660% due 12/25/2034 ~ | | | | | 10 | | | | | | 11 | |
2.873% due 01/25/2036 ^~ | | | | | 387 | | | | | | 399 | |
6.000% due 09/25/2034 | | | | | 261 | | | | | | 276 | |
6.500% due 08/25/2036 ^• | | | | | 627 | | | | | | 308 | |
|
HarborView Mortgage Loan Trust | |
0.484% due 02/19/2046 • | | | | | 889 | | | | | | 819 | |
0.524% due 11/19/2036 • | | | | | 1,330 | | | | | | 1,260 | |
0.584% due 03/19/2036 ^•(n) | | | | | 8,281 | | | | | | 8,273 | |
0.604% due 01/19/2036 • | | | | | 5,098 | | | | | | 3,543 | |
0.664% due 06/19/2034 • | | | | | 105 | | | | | | 103 | |
0.744% due 01/19/2035 • | | | | | 136 | | | | | | 126 | |
1.079% due 06/20/2035 •(n) | | | | | 5,411 | | | | | | 5,368 | |
1.454% due 06/20/2035 • | | | | | 1,249 | | | | | | 1,193 | |
2.075% due 06/19/2045 ^• | | | | | 1,005 | | | | | | 572 | |
3.255% due 08/19/2036 ^~ | | | | | 78 | | | | | | 75 | |
|
HomeBanc Mortgage Trust | |
0.602% due 03/25/2035 • | | | | | 119 | | | | | | 108 | |
2.508% due 04/25/2037 ^~(n) | | | | | 3,396 | | | | | | 3,384 | |
|
HSI Asset Loan Obligation Trust | |
6.000% due 06/25/2037 ^ | | | | | 3,018 | | | | | | 2,847 | |
|
IM Pastor Fondo de Titluzacion Hipotecaria | |
0.000% due 03/22/2043 •(n) | | EUR | | | 19,319 | | | | | | 20,419 | |
|
IM Pastor Fondo de Titulizacion de Activos | |
0.000% due 03/22/2044 •(n) | | | | | 890 | | | | | | 940 | |
|
Impac CMB Trust | |
0.622% due 11/25/2035 ^• | | $ | | | 142 | | | | | | 135 | |
0.822% due 10/25/2034 • | | | | | 93 | | | | | | 91 | |
|
Impac Secured Assets Trust | |
0.212% due 05/25/2037 ^• | | | | | 3 | | | | | | 3 | |
|
IndyMac IMSC Mortgage Loan Trust | |
2.889% due 06/25/2037 ^~ | | | | | 3,156 | | | | | | 2,534 | |
|
IndyMac INDA Mortgage Loan Trust | |
2.825% due 03/25/2037 ~ | | | | | 20 | | | | | | 19 | |
2.979% due 12/25/2036 ^~ | | | | | 512 | | | | | | 483 | |
|
IndyMac INDX Mortgage Loan Trust | |
0.312% due 11/25/2036 • | | | | | 129 | | | | | | 131 | |
0.352% due 02/25/2037 •(n) | | | | | 2,530 | | | | | | 2,012 | |
0.502% due 11/25/2046 •(n) | | | | | 3,974 | | | | | | 4,009 | |
0.562% due 04/25/2035 • | | | | | 52 | | | | | | 49 | |
0.702% due 07/25/2036 • | | | | | 375 | | | | | | 298 | |
0.902% due 08/25/2034 • | | | | | 133 | | | | | | 127 | |
0.962% due 09/25/2034 • | | | | | 226 | | | | | | 217 | |
2.639% due 06/25/2037 ^~ | | | | | 164 | | | | | | 154 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
2.811% due 11/25/2035 ^~(n) | | $ | | | 2,681 | | | $ | | | 2,635 | |
2.975% due 06/25/2036 ~ | | | | | 704 | | | | | | 708 | |
2.979% due 05/25/2037 ^~ | | | | | 2,005 | | | | | | 1,887 | |
3.059% due 11/25/2036 ^~ | | | | | 651 | | | | | | 646 | |
3.100% due 02/25/2035 ~ | | | | | 222 | | | | | | 221 | |
|
J.P. Morgan Chase Commercial Mortgage Securities Trust | |
3.625% due 11/15/2038 • | | | | | 11,300 | | | | | | 11,229 | |
5.370% due 11/15/2038 • | | | | | 19,700 | | | | | | 19,708 | |
|
Jackson Park Trust | |
3.242% due 10/14/2039 ~ | | | | | 3,900 | | | | | | 3,574 | |
|
Jefferies Resecuritization Trust | |
6.000% due 12/26/2036 ~ | | | | | 3,587 | | | | | | 1,454 | |
|
JP Morgan Alternative Loan Trust | |
0.502% due 06/25/2037 •(n) | | | | | 24,286 | | | | | | 12,097 | |
0.593% due 06/27/2037 • | | | | | 5,977 | | | | | | 4,637 | |
2.559% due 11/25/2036 ^~(n) | | | | | 186 | | | | | | 184 | |
2.695% due 05/25/2036 ^~ | | | | | 656 | | | | | | 481 | |
5.500% due 11/25/2036 ^~ | | | | | 8 | | | | | | 5 | |
6.000% due 12/25/2035 ^ | | | | | 646 | | | | | | 575 | |
6.460% due 12/25/2036 ^þ | | | | | 3,725 | | | | | | 3,724 | |
9.574% due 06/27/2037 ~ | | | | | 13,381 | | | | | | 8,086 | |
|
JP Morgan Chase Commercial Mortgage Securities Trust | |
0.863% due 06/15/2045 ~(a) | | | | | 14,289 | | | | | | 34 | |
1.610% due 12/15/2036 •(n) | | | | | 2,500 | | | | | | 2,434 | |
6.372% due 06/12/2041 ~(n) | | | | | 8,084 | | | | | | 7,869 | |
|
JP Morgan Mortgage Trust | |
2.538% due 10/25/2036 ~ | | | | | 412 | | | | | | 339 | |
2.622% due 07/25/2035 ~ | | | | | 30 | | | | | | 30 | |
3.037% due 05/25/2036 ^~ | | | | | 232 | | | | | | 209 | |
3.226% due 10/25/2036 ^~ | | | | | 16 | | | | | | 14 | |
3.231% due 06/25/2037 ^~(n) | | | | | 2,080 | | | | | | 1,860 | |
6.000% due 08/25/2037 ^ | | | | | 366 | | | | | | 259 | |
|
JP Morgan Resecuritization Trust | |
2.282% due 03/21/2037 ~ | | | | | 892 | | | | | | 849 | |
6.000% due 09/26/2036 ~ | | | | | 1,438 | | | | | | 1,216 | |
6.500% due 04/26/2036 ~ | | | | | 4,201 | | | | | | 1,963 | |
|
Lansdowne Mortgage Securities PLC | |
0.000% due 06/15/2045 • | | EUR | | | 800 | | | | | | 737 | |
0.000% due 09/16/2048 •(n) | | | | | 7,744 | | | | | | 8,127 | |
|
Lavender Trust | |
6.000% due 11/26/2036 (n) | | $ | | | 7,951 | | | | | | 8,028 | |
6.250% due 10/26/2036 (n) | | | | | 3,779 | | | | | | 2,624 | |
|
LB-UBS Commercial Mortgage Trust | |
0.157% due 02/15/2040 ~(a) | | | | | 3,344 | | | | | | 0 | |
|
Lehman Mortgage Trust | |
5.937% due 04/25/2036 ^~ | | | | | 206 | | | | | | 172 | |
6.000% due 08/25/2036 ^ | | | | | 564 | | | | | | 555 | |
6.000% due 09/25/2036 ^ | | | | | 431 | | | | | | 351 | |
6.000% due 05/25/2037 ^ | | | | | 259 | | | | | | 277 | |
6.000% due 01/25/2038 ^ | | | | | 599 | | | | | | 587 | |
6.500% due 09/25/2037 ^ | | | | | 3,164 | | | | | | 1,573 | |
7.250% due 09/25/2037 ^(n) | | | | | 31,191 | | | | | | 12,252 | |
|
Lehman XS Trust | |
0.662% due 07/25/2037 •(n) | | | | | 22,485 | | | | | | 16,937 | |
1.002% due 08/25/2047 ^• | | | | | 285 | | | | | | 262 | |
1.102% due 07/25/2047 • | | | | | 3,420 | | | | | | 3,096 | |
|
LoanCore Issuer Ltd. | |
3.214% due 07/15/2035 •(n) | | | | | 2,705 | | | | | | 2,700 | |
|
LUXE Commercial Mortgage Trust | |
3.360% due 10/15/2038 •(n) | | | | | 5,211 | | | | | | 5,218 | |
|
MASTR Adjustable Rate Mortgages Trust | |
0.502% due 05/25/2047 •(n) | | | | | 11,914 | | | | | | 14,712 | |
0.782% due 05/25/2047 ^• | | | | | 4,133 | | | | | | 5,184 | |
0.822% due 01/25/2047 ^• | | | | | 184 | | | | | | 413 | |
2.932% due 10/25/2034 ~ | | | | | 331 | | | | | | 334 | |
|
MASTR Alternative Loan Trust | |
0.452% due 03/25/2036 • | | | | | 20,060 | | | | | | 1,404 | |
0.502% due 03/25/2036 ^• | | | | | 26,515 | | | | | | 1,906 | |
|
Merrill Lynch Alternative Note Asset Trust | |
6.000% due 05/25/2037 ^(n) | | | | | 2,606 | | | | | | 2,513 | |
|
Merrill Lynch Mortgage Investors Trust | |
2.704% due 05/25/2036 ~ | | | | | 2,795 | | | | | | 2,811 | |
2.711% due 03/25/2036 ^~ | | | | | 7,450 | | | | | | 4,731 | |
|
MFA Trust | |
4.039% due 04/25/2065 ~(n) | | | | | 14,456 | | | | | | 14,572 | |
| | | | | | |
| 70 | | PIMCO CLOSED-END FUNDS | | | See Accompanying Notes | |
| | | | | | | | |
| | | | | | December 31, 2021 | | (Unaudited) |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
|
Morgan Stanley Capital Trust | |
3.744% due 12/15/2036 •(n) | | $ | | | 18,590 | | | $ | | | 18,579 | |
4.305% due 12/15/2023 • | | | | | 18,000 | | | | | | 17,934 | |
5.204% due 12/15/2023 • | | | | | 19,500 | | | | | | 19,404 | |
|
Morgan Stanley Mortgage Loan Trust | |
0.412% due 01/25/2035 • | | | | | 376 | | | | | | 414 | |
0.442% due 05/25/2036 • | | | | | 152 | | | | | | 44 | |
2.332% due 07/25/2035 ^~ | | | | | 716 | | | | | | 670 | |
2.552% due 01/25/2035 ^~ | | | | | 197 | | | | | | 179 | |
3.318% due 05/25/2036 ^~ | | | | | 1,958 | | | | | | 1,277 | |
5.750% due 12/25/2035 ^ | | | | | 204 | | | | | | 186 | |
5.962% due 06/25/2036 ^~ | | | | | 1,886 | | | | | | 780 | |
6.000% due 08/25/2037 ^ | | | | | 146 | | | | | | 84 | |
|
Morgan Stanley Re-REMIC Trust | |
0.648% due 02/26/2037 • | | | | | 2,605 | | | | | | 2,520 | |
1.109% due 03/26/2037 þ(n) | | | | | 1,607 | | | | | | 1,643 | |
2.622% due 07/26/2035 ~(n) | | | | | 9,213 | | | | | | 9,305 | |
2.669% due 09/26/2035 ~(n) | | | | | 1,206 | | | | | | 1,290 | |
6.000% due 04/26/2036 (n) | | | | | 7,969 | | | | | | 8,480 | |
|
Morgan Stanley Resecuritization Trust | |
2.652% due 06/26/2035 ~ | | | | | 10,864 | | | | | | 8,531 | |
|
Mortgage Equity Conversion Asset Trust | |
4.000% due 07/25/2060 | | | | | 5,251 | | | | | | 5,223 | |
|
Mortgage Funding PLC | |
3.295% due 03/13/2046 •(n) | | GBP | | | 1,000 | | | | | | 1,374 | |
|
Natixis Commercial Mortgage Securities Trust | |
3.110% due 11/15/2034 •(n) | | $ | | | 8,574 | | | | | | 8,504 | |
4.110% due 11/15/2034 •(n) | | | | | 3,718 | | | | | | 3,647 | |
|
New York Mortgage Trust | |
3.558% due 08/25/2061 þ | | | | | 1,000 | | | | | | 989 | |
|
Newgate Funding PLC | |
0.647% due 12/15/2050 •(n) | | EUR | | | 1,335 | | | | | | 1,479 | |
0.897% due 12/15/2050 •(n) | | | | | 2,548 | | | | | | 2,772 | |
|
Nomura Resecuritization Trust | |
4.989% due 09/26/2035 ~ | | $ | | | 3,968 | | | | | | 3,865 | |
|
NovaStar Mortgage Funding Trust | |
0.430% due 09/25/2046 • | | | | | 209 | | | | | | 206 | |
|
PMT Credit Risk Transfer Trust | |
3.002% due 02/27/2024 •(n) | | | | | 6,042 | | | | | | 6,130 | |
|
PRET LLC | |
3.967% due 09/25/2051 þ | | | | | 3,900 | | | | | | 3,810 | |
|
Prime Mortgage Trust | |
0.452% due 06/25/2036 ^• | | | | | 1,971 | | | | | | 1,327 | |
7.000% due 07/25/2034 | | | | | 60 | | | | | | 57 | |
|
RBSSP Resecuritization Trust | |
2.048% due 07/26/2045 ~(n) | | | | | 15,621 | | | | | | 15,609 | |
2.796% due 05/26/2037 ~ | | | | | 3,209 | | | | | | 2,395 | |
3.170% due 09/26/2035 ~ | | | | | 4,142 | | | | | | 2,786 | |
5.834% due 06/26/2037 ~ | | | | | 520 | | | | | | 490 | |
6.000% due 03/26/2036 ^~ | | | | | 3,848 | | | | | | 2,767 | |
|
Regal Trust | |
1.738% due 09/29/2031 • | | | | | 1 | | | | | | 1 | |
|
Residential Accredit Loans, Inc. Trust | |
0.292% due 05/25/2037 •(n) | | | | | 8,868 | | | | | | 8,576 | |
0.402% due 02/25/2037 • | | | | | 391 | | | | | | 399 | |
0.462% due 07/25/2036 ^• | | | | | 7,608 | | | | | | 3,955 | |
0.522% due 06/25/2037 • | | | | | 844 | | | | | | 834 | |
1.082% due 01/25/2046 ^• | | | | | 3,423 | | | | | | 3,195 | |
5.332% due 01/25/2036 ~ | | | | | 145 | | | | | | 138 | |
5.500% due 04/25/2037 | | | | | 54 | | | | | | 52 | |
6.000% due 08/25/2035 ^ | | | | | 819 | | | | | | 804 | |
6.000% due 12/25/2035 ^ | | | | | 1,700 | | | | | | 1,708 | |
6.000% due 06/25/2036 | | | | | 180 | | | | | | 178 | |
6.000% due 09/25/2036 ^ | | | | | 3,465 | | | | | | 2,132 | |
6.000% due 11/25/2036 ^ | | | | | 1,759 | | | | | | 1,726 | |
6.000% due 01/25/2037 ^ | | | | | 270 | | | | | | 263 | |
6.250% due 02/25/2037 ^(n) | | | | | 2,691 | | | | | | 2,625 | |
6.500% due 09/25/2037 ^ | | | | | 992 | | | | | | 977 | |
7.000% due 10/25/2037 (n) | | | | | 5,463 | | | | | | 5,261 | |
|
Residential Asset Mortgage Products Trust | |
8.000% due 05/25/2032 | | | | | 503 | | | | | | 400 | |
|
Residential Asset Securitization Trust | |
5.500% due 07/25/2035 | | | | | 623 | | | | | | 492 | |
6.000% due 02/25/2037 ^ | | | | | 173 | | | | | | 110 | |
6.000% due 03/25/2037 ^ | | | | | 2,808 | | | | | | 1,463 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
6.000% due 07/25/2037 ^ | | $ | | | 6,339 | | | $ | | | 3,589 | |
6.250% due 08/25/2037 ^ | | | | | 4,089 | | | | | | 1,546 | |
|
Residential Funding Mortgage Securities, Inc. Trust | |
4.751% due 07/27/2037 ^~ | | | | | 136 | | | | | | 116 | |
5.188% due 08/25/2036 ^~ | | | | | 189 | | | | | | 148 | |
5.850% due 11/25/2035 ^ | | | | | 70 | | | | | | 66 | |
6.000% due 04/25/2037 ^ | | | | | 507 | | | | | | 490 | |
6.000% due 06/25/2037 ^ | | | | | 197 | | | | | | 194 | |
|
RiverView HECM Trust | |
0.780% due 05/25/2047 •(n) | | | | | 13,366 | | | | | | 12,617 | |
|
Seasoned Credit Risk Transfer Trust | |
4.250% due 11/25/2059 ~ | | | | | 2,400 | | | | | | 2,456 | |
4.250% due 09/25/2060 | | | | | 1,500 | | | | | | 1,533 | |
4.250% due 03/25/2061 ~ | | | | | 700 | | | | | | 712 | |
5.440% due 11/25/2059 ~ | | | | | 6,813 | | | | | | 4,199 | |
7.858% due 03/25/2061 ~ | | | | | 500 | | | | | | 378 | |
8.787% due 11/25/2060 ~ | | | | | 1,200 | | | | | | 1,141 | |
14.422% due 09/25/2060 ~ | | | | | 1,600 | | | | | | 1,527 | |
|
Sequoia Mortgage Trust | |
0.752% due 02/20/2034 • | | | | | 221 | | | | | | 204 | |
0.844% due 07/20/2036 • | | | | | 160 | | | | | | 4 | |
1.304% due 10/20/2027 • | | | | | 468 | | | | | | 453 | |
1.648% due 09/20/2032 ~ | | | | | 257 | | | | | | 260 | |
2.978% due 01/20/2038 ^~ | | | | | 115 | | | | | | 105 | |
|
SG Commercial Mortgage Securities Trust | |
4.509% due 02/15/2041 ~(n) | | | | | 9,000 | | | | | | 9,192 | |
|
Starwood Mortgage Residential Trust | |
3.935% due 11/25/2066 ~ | | | | | 500 | | | | | | 480 | |
|
Starwood Mortgage Trust | |
3.110% due 04/15/2034 •(n) | | | | | 9,724 | | | | | | 9,738 | |
4.110% due 04/15/2034 •(n) | | | | | 6,612 | | | | | | 6,622 | |
|
Structured Adjustable Rate Mortgage Loan Trust | |
2.911% due 01/25/2036 ^~ | | | | | 684 | | | | | | 501 | |
2.994% due 02/25/2037 ^~(n) | | | | | 7,051 | | | | | | 5,891 | |
3.083% due 04/25/2047 ~ | | | | | 1,312 | | | | | | 828 | |
3.200% due 08/25/2036 ~ | | | | | 2,431 | | | | | | 857 | |
|
Structured Asset Mortgage Investments Trust | |
0.442% due 03/25/2037 ^• | | | | | 1,008 | | | | | | 325 | |
0.482% due 07/25/2046 ^•(n) | | | | | 9,993 | | | | | | 8,520 | |
0.522% due 05/25/2036 • | | | | | 1,518 | | | | | | 1,342 | |
0.522% due 08/25/2036 ^• | | | | | 1,281 | | | | | | 1,249 | |
0.562% due 05/25/2045 • | | | | | 78 | | | | | | 76 | |
2.799% due 02/25/2036 ~ | | | | | 3,290 | | | | | | 2,088 | |
|
Structured Asset Securities Corp. Mortgage Pass-Through Certificates | |
2.684% due 01/25/2034 ~ | | | | | 98 | | | | | | 100 | |
|
SunTrust Adjustable Rate Mortgage Loan Trust | |
2.149% due 02/25/2037 ^~(n) | | | | | 1,808 | | | | | | 1,706 | |
|
SunTrust Alternative Loan Trust | |
7.048% due 04/25/2036 ^•(a) | | | | | 4,088 | | | | | | 1,132 | |
|
TBW Mortgage-Backed Trust | |
6.000% due 07/25/2036 ^ | | | | | 222 | | | | | | 126 | |
6.500% due 07/25/2036 (n) | | | | | 18,260 | | | | | | 6,312 | |
|
TDA Mixto Fondo de Titulizacion de Activos | |
0.000% due 10/28/2050 • | | EUR | | | 8,942 | | | | | | 5,949 | |
0.000% due 12/28/2050 • | | | | | 3,374 | | | | | | 3,453 | |
|
Tharaldson Hotel Portfolio Trust | |
3.584% due 11/11/2034 • | | $ | | | 2,530 | | | | | | 2,473 | |
|
VNDO Mortgage Trust | |
3.903% due 01/10/2035 ~ | | | | | 4,814 | | | | | | 4,614 | |
|
Wachovia Bank Commercial Mortgage Trust | |
5.720% due 10/15/2048 ~ | | | | | 342 | | | | | | 339 | |
|
WaMu Mortgage Pass-Through Certificates Trust | |
0.642% due 07/25/2045 • | | | | | 138 | | | | | | 136 | |
0.832% due 06/25/2047 ^• | | | | | 1,876 | | | | | | 1,554 | |
0.892% due 07/25/2047 •(n) | | | | | 13,538 | | | | | | 12,246 | |
0.943% due 06/25/2044 • | | | | | 112 | | | | | | 111 | |
0.962% due 10/25/2046 ^• | | | | | 252 | | | | | | 242 | |
1.475% due 07/25/2047 ^• | | | | | 474 | | | | | | 448 | |
1.725% due 07/25/2046 • | | | | | 3,121 | | | | | | 3,068 | |
2.353% due 03/25/2033 ~ | | | | | 36 | | | | | | 36 | |
2.419% due 11/25/2036 ^~ | | | | | 137 | | | | | | 135 | |
2.814% due 06/25/2037 ^~ | | | | | 774 | | | | | | 758 | |
2.832% due 03/25/2037 ^~ | | | | | 270 | | | | | | 250 | |
2.873% due 08/25/2036 ^~(n) | | | | | 1,221 | | | | | | 1,179 | |
2.973% due 07/25/2037 ^~ | | | | | 603 | | | | | | 616 | |
3.008% due 07/25/2037 ^~ | | | | | 1,239 | | | | | | 1,019 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
3.051% due 02/25/2037 ^~ | | $ | | | 236 | | | $ | | | 234 | |
3.256% due 03/25/2037 ^~(n) | | | | | 1,920 | | | | | | 1,932 | |
|
Warwick Finance Residential Mortgages PLC | |
0.000% due 12/21/2049 (h) | | GBP | | | 0 | | | | | | 698 | |
2.698% due 12/21/2049 • | | | | | 646 | | | | | | 878 | |
3.198% due 12/21/2049 • | | | | | 646 | | | | | | 875 | |
|
Washington Mutual Mortgage Pass-Through Certificates Trust | |
0.342% due 01/25/2047 ^•(n) | | $ | | | 8,807 | | | | | | 9,052 | |
0.702% due 07/25/2036 ^• | | | | | 3,935 | | | | | | 2,688 | |
0.932% due 10/25/2046 ^• | | | | | 295 | | | | | | 270 | |
1.052% due 06/25/2046 •(n) | | | | | 6,307 | | | | | | 4,068 | |
3.725% due 06/25/2033 ~ | | | | | 67 | | | | | | 69 | |
5.750% due 11/25/2035 ^ | | | | | 994 | | | | | | 1,028 | |
6.000% due 04/25/2037 ^ | | | | | 1,636 | | | | | | 1,608 | |
6.467% due 05/25/2036 ^þ | | | | | 4,262 | | | | | | 4,215 | |
|
Wells Fargo Alternative Loan Trust | |
2.598% due 07/25/2037 ^~ | | | | | 2,012 | | | | | | 1,860 | |
5.750% due 07/25/2037 ^ | | | | | 224 | | | | | | 227 | |
|
Wells Fargo Mortgage Loan Trust | |
2.770% due 03/27/2037 ~(n) | | | | | 3,861 | | | | | | 2,977 | |
2.793% due 04/27/2036 ~(n) | | | | | 4,681 | | | | | | 4,515 | |
|
Wells Fargo Mortgage-Backed Securities Trust | |
2.514% due 09/25/2036 ^~ | | | | | 6 | | | | | | 6 | |
2.539% due 10/25/2036 ^~ | | | | | 6 | | | | | | 6 | |
6.000% due 06/25/2037 ^ | | | | | 78 | | | | | | 77 | |
|
Worldwide Plaza Trust | |
3.596% due 11/10/2036 ~(n) | | | | | 5,000 | | | | | | 4,758 | |
| | | | | | | | | | | | |
Total Non-Agency Mortgage-Backed Securities (Cost $1,752,741) | | | 1,861,202 | |
| | | | | | | | | | | | |
| |
| ASSET-BACKED SECURITIES 30.5% | |
|
510 Loan Acquisition Trust | |
5.107% due 09/25/2060 þ(n) | | | | | 18,914 | | | | | | 19,137 | |
|
Acacia CDO Ltd. | |
0.994% due 11/08/2039 • | | | | | 9,100 | | | | | | 3,482 | |
|
ACE Securities Corp. Home Equity Loan Trust | |
0.212% due 12/25/2036 •(n) | | | | | 22,553 | | | | | | 8,012 | |
1.062% due 08/25/2035 • | | | | | 4,970 | | | | | | 3,625 | |
1.197% due 07/25/2035 ^•(n) | | | | | 17,938 | | | | | | 17,202 | |
|
Adagio CLO DAC | |
0.000% due 04/30/2031 ~ | | EUR | | | 1,800 | | | | | | 1,187 | |
|
Aegis Asset-Backed Securities Trust Mortgage Pass-Through Certificates | |
2.202% due 09/25/2034 • | | $ | | | 740 | | | | | | 771 | |
|
AIM Aviation Finance Ltd. | |
4.213% due 02/15/2040 þ(n) | | | | | 2,166 | | | | | | 1,889 | |
|
Alkali Europe SARL | |
3.800% due 07/15/2022 «• | | EUR | | | 4,337 | | | | | | 4,923 | |
|
American Money Management Corp. CLO Ltd. | |
6.187% due 04/14/2029 • | | $ | | | 6,100 | | | | | | 6,043 | |
|
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates | |
1.827% due 05/25/2034 • | | | | | 154 | | | | | | 155 | |
2.052% due 09/25/2032 •(n) | | | | | 1,148 | | | | | | 1,198 | |
2.952% due 08/25/2032 • | | | | | 413 | | | | | | 415 | |
|
Argent Securities Trust | |
0.252% due 09/25/2036 •(n) | | | | | 8,084 | | | | | | 3,529 | |
0.302% due 06/25/2036 • | | | | | 1,865 | | | | | | 704 | |
0.342% due 04/25/2036 • | | | | | 1,081 | | | | | | 467 | |
0.402% due 06/25/2036 • | | | | | 3,913 | | | | | | 1,496 | |
0.482% due 03/25/2036 •(n) | | | | | 11,059 | | | | | | 7,798 | |
|
Argent Securities, Inc. Asset-Backed Pass-Through Certificates | |
0.792% due 11/25/2035 •(n) | | | | | 5,851 | | | | | | 5,649 | |
0.862% due 02/25/2036 •(n) | | | | | 24,138 | | | | | | 22,399 | |
|
Asset-Backed Funding Certificates Trust | |
0.252% due 10/25/2036 • | | | | | 2,703 | | | | | | 2,680 | |
0.662% due 10/25/2033 • | | | | | 167 | | | | | | 162 | |
1.152% due 03/25/2034 ^• | | | | | 582 | | | | | | 576 | |
|
Banco Bilbao Vizcaya Argentaria | |
0.062% due 03/22/2046 • | | EUR | | | 628 | | | | | | 445 | |
|
Bear Stearns Asset-Backed Securities Trust | |
0.242% due 12/25/2036 •(n) | | $ | | | 11,518 | | | | | | 15,034 | |
0.500% due 09/25/2034 • | | | | | 267 | | | | | | 260 | |
| | | | | | | | | | | | |
| See Accompanying Notes | | | SEMIANNUAL REPORT | | | | | | | DECEMBER 31, 2021 | | | 71 |
| | | | | | | | |
| Consolidated Schedule of Investments | | PIMCO Dynamic Income Fund | | (Cont.) | | | | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
1.602% due 10/27/2032 • | | $ | | | 12 | | | $ | | | 14 | |
1.977% due 12/25/2034 •(n) | | | | | 18,650 | | | | | | 18,663 | |
2.691% due 07/25/2036 ~ | | | | | 202 | | | | | | 203 | |
2.742% due 10/25/2036 ~ | | | | | 246 | | | | | | 240 | |
2.743% due 10/25/2036 ~(n) | | | | | 2,778 | | | | | | 1,830 | |
6.000% due 12/25/2035 ^ | | | | | 401 | | | | | | 325 | |
|
Bombardier Capital Mortgage Securitization Corp. | |
7.830% due 06/15/2030 ~ | | | | | 3,549 | | | | | | 807 | |
|
California Republic Auto Receivables Trust | |
0.000% due 04/15/2025 «(h) | | | | | 10,100 | | | | | | 11,137 | |
|
Carlyle Global Market Strategies CLO Ltd. | |
0.000% due 04/17/2031 ~ | | | | | 2,900 | | | | | | 1,374 | |
|
Carrington Mortgage Loan Trust | |
0.182% due 03/25/2035 • | | | | | 704 | | | | | | 651 | |
0.522% due 12/26/2036 •(n) | | | | | 13,201 | | | | | | 11,990 | |
|
Cavendish Square Funding PLC | |
1.285% due 02/11/2055 • | | EUR | | | 2,605 | | | | | | 2,958 | |
|
CIFC Funding Ltd. | |
0.000% due 04/24/2030 ~ | | $ | | | 3,390 | | | | | | 1,407 | |
|
Citigroup Mortgage Loan Trust | |
0.252% due 12/25/2036 • | | | | | 19,074 | | | | | | 9,719 | |
0.262% due 12/25/2036 •(n) | | | | | 13,249 | | | | | | 8,878 | |
0.302% due 05/25/2037 • | | | | | 503 | | | | | | 421 | |
0.322% due 12/25/2036 •(n) | | | | | 13,975 | | | | | | 7,213 | |
0.423% due 09/25/2036 •(n) | | | | | 12,588 | | | | | | 10,847 | |
0.802% due 11/25/2046 • | | | | | 4,267 | | | | | | 4,118 | |
4.818% due 03/25/2036 ^þ | | | | | 1,572 | | | | | | 941 | |
6.352% due 05/25/2036 ^þ | | | | | 403 | | | | | | 197 | |
6.851% due 05/25/2036 ^þ | | | | | 2,341 | | | | | | 1,146 | |
|
Conseco Finance Corp. | |
6.530% due 02/01/2031 ~ | | | | | 628 | | | | | | 599 | |
7.060% due 02/01/2031 ~ | | | | | 2,732 | | | | | | 2,656 | |
7.500% due 03/01/2030 ~ | | | | | 6,697 | | | | | | 3,565 | |
|
Conseco Finance Securitizations Corp. | |
7.770% due 09/01/2031 þ | | | | | 448 | | | | | | 470 | |
7.960% due 05/01/2031 | | | | | 1,488 | | | | | | 579 | |
8.060% due 09/01/2029 ~ | | | | | 2,914 | | | | | | 855 | |
8.260% due 12/01/2030 ~ | | | | | 4,649 | | | | | | 1,672 | |
8.850% due 12/01/2030 ~ | | | | | 5,630 | | | | | | 1,632 | |
9.163% due 03/01/2033 ~ | | | | | 9,592 | | | | | | 9,108 | |
9.546% due 12/01/2033 ~ | | | | | 6,480 | | | | | | 6,780 | |
|
Cork Street CLO Designated Activity Co. | |
0.000% due 11/27/2028 ~ | | EUR | | | 2,301 | | | | | | 2,035 | |
|
Coronado CDO Ltd. | |
1.680% due 09/04/2038 • | | $ | | | 26,148 | | | | | | 13,931 | |
6.000% due 09/04/2038 | | | | | 4,143 | | | | | | 3,064 | |
|
Countrywide Asset-Backed Certificates | |
0.302% due 06/25/2037 ^•(n) | | | | | 21,588 | | | | | | 23,082 | |
0.332% due 04/25/2047 •(n) | | | | | 5,000 | | | | | | 4,816 | |
0.362% due 12/25/2036 ^•(n) | | | | | 9,674 | | | | | | 9,657 | |
0.362% due 01/25/2046 ^•(n) | | | | | 35,501 | | | | | | 33,125 | |
0.382% due 03/25/2037 •(n) | | | | | 13,760 | | | | | | 14,181 | |
0.422% due 05/25/2036 •(n) | | | | | 2,296 | | | | | | 2,551 | |
0.582% due 03/25/2036 •(n) | | | | | 18,938 | | | | | | 18,880 | |
0.582% due 04/25/2036 ^• | | | | | 447 | | | | | | 418 | |
0.652% due 05/25/2047 ^• | | | | | 1,944 | | | | | | 1,729 | |
0.687% due 04/25/2036 •(n) | | | | | 8,762 | | | | | | 8,162 | |
0.782% due 12/25/2036 ^• | | | | | 325 | | | | | | 277 | |
0.837% due 04/25/2036 •(n) | | | | | 15,850 | | | | | | 14,291 | |
1.002% due 03/25/2047 ^• | | | | | 1,173 | | | | | | 1,049 | |
4.132% due 02/25/2036 ~ | | | | | 6 | | | | | | 6 | |
4.447% due 10/25/2046 ^~ | | | | | 2 | | | | | | 4 | |
4.628% due 10/25/2032 ^~(n) | | | | | 8,888 | | | | | | 8,812 | |
|
Countrywide Asset-Backed Certificates Trust | |
0.342% due 03/25/2047 ^•(n) | | | | | 7,655 | | | | | | 7,202 | |
2.127% due 11/25/2035 • | | | | | 3,106 | | | | | | 2,081 | |
5.859% due 10/25/2046 ^~ | | | | | 1,004 | | | | | | 1,028 | |
|
Credit Suisse First Boston Mortgage Securities Corp. | |
1.152% due 02/25/2031 • | | | | | 610 | | | | | | 607 | |
|
Credit-Based Asset Servicing & Securitization CBO Corp. | |
0.430% due 09/06/2041 • | | | | | 98,839 | | | | | | 2,824 | |
|
Credit-Based Asset Servicing & Securitization LLC | |
6.250% due 10/25/2036 þ(n) | | | | | 1,388 | | | | | | 1,397 | |
|
CSAB Mortgage-Backed Trust | |
5.500% due 05/25/2037 ^ | | | | | 2,448 | | | | | | 2,146 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
|
Deutsche ALT-A Securities, Inc. Mortgage Loan Trust | |
6.000% due 10/25/2021 ^ | | $ | | | 68 | | | $ | | | 68 | |
|
Diamond Infrastructure Funding LLC | |
3.475% due 04/15/2049 | | | | | 1,000 | | | | | | 981 | |
|
Duke Funding Ltd. | |
0.624% due 04/08/2039 • | | | | | 7,626 | | | | | | 936 | |
|
ECAF Ltd. | |
3.473% due 06/15/2040 | | | | | 1,367 | | | | | | 1,316 | |
4.947% due 06/15/2040 | | | | | 8,835 | | | | | | 8,120 | |
|
EMC Mortgage Loan Trust | |
3.477% due 04/25/2042 • | | | | | 2,095 | | | | | | 2,094 | |
|
Encore Credit Receivables Trust | |
0.792% due 07/25/2035 • | | | | | 421 | | | | | | 420 | |
|
Euromax ABS PLC | |
0.000% due 11/10/2095 • | | EUR | | | 9,565 | | | | | | 10,105 | |
|
FAB UK Ltd. | |
0.000% due 12/06/2045 ~ | | GBP | | | 13,222 | | | | | | 5,718 | |
|
FBR Securitization Trust | |
0.782% due 10/25/2035 • | | $ | | | 22 | | | | | | 22 | |
|
Fieldstone Mortgage Investment Trust | |
0.432% due 07/25/2036 • | | | | | 4,770 | | | | | | 3,037 | |
|
First Franklin Mortgage Loan Trust | |
0.672% due 02/25/2036 • | | | | | 5,500 | | | | | | 5,301 | |
1.047% due 09/25/2035 • | | | | | 5,830 | | | | | | 5,591 | |
1.077% due 05/25/2036 • | | | | | 13,619 | | | | | | 12,987 | |
|
Flagship Credit Auto Trust | |
0.000% due 12/15/2027 «(h) | | | | | 9 | | | | | | 2,238 | |
|
FREED ABS Trust | |
0.000% due 09/20/2027 «(h) | | | | | 10 | | | | | | 3,684 | |
|
Fremont Home Loan Trust | |
0.252% due 01/25/2037 • | | | | | 3,158 | | | | | | 1,812 | |
0.582% due 02/25/2037 • | | | | | 1,226 | | | | | | 624 | |
|
Glacier Funding CDO Ltd. | |
0.415% due 08/04/2035 • | | | | | 31,902 | | | | | | 5,492 | |
|
GMAC Mortgage Corp. Home Equity Loan Trust | |
6.749% due 12/25/2037 þ | | | | | 1,134 | | | | | | 1,185 | |
|
Greenpoint Manufactured Housing | |
9.230% due 12/15/2029 ~ | | | | | 6,318 | | | | | | 5,546 | |
|
GSAMP Trust | |
0.162% due 01/25/2037 • | | | | | 2,954 | | | | | | 2,148 | |
0.192% due 01/25/2037 • | | | | | 881 | | | | | | 644 | |
0.242% due 12/25/2036 • | | | | | 896 | | | | | | 601 | |
0.302% due 11/25/2036 • | | | | | 3,781 | | | | | | 2,321 | |
0.352% due 12/25/2036 • | | | | | 4,185 | | | | | | 2,742 | |
0.422% due 04/25/2036 • | | | | | 503 | | | | | | 394 | |
0.642% due 04/25/2036 •(n) | | | | | 17,936 | | | | | | 14,320 | |
1.752% due 10/25/2034 • | | | | | 117 | | | | | | 120 | |
1.978% due 06/25/2034 •(n) | | | | | 1,253 | | | | | | 1,293 | |
|
Hillcrest CDO Ltd. | |
0.541% due 12/10/2039 • | | | | | 35,256 | | | | | | 9,887 | |
|
Home Equity Mortgage Loan Asset-Backed Trust | |
0.262% due 11/25/2036 •(n) | | | | | 4,063 | | | | | | 3,892 | |
0.342% due 04/25/2037 •(n) | | | | | 14,176 | | | | | | 11,343 | |
0.422% due 04/25/2037 • | | | | | 3,204 | | | | | | 3,035 | |
|
Hout Bay Corp. | |
1.627% due 07/05/2041 • | | | | | 110,887 | | | | | | 22,101 | |
1.827% due 07/05/2041 • | | | | | 4,871 | | | | | | 616 | |
1.957% due 07/05/2041 • | | | | | 1,690 | | | | | | 99 | |
|
HSI Asset Securitization Corp. Trust | |
0.292% due 01/25/2037 •(n) | | | | | 32,857 | | | | | | 28,605 | |
0.322% due 12/25/2036 • | | | | | 21,130 | | | | | | 8,120 | |
0.422% due 10/25/2036 • | | | | | 7,106 | | | | | | 3,733 | |
0.442% due 12/25/2036 •(n) | | | | | 12,942 | | | | | | 4,965 | |
|
IndyMac Home Equity Mortgage Loan Asset-Backed Trust | |
5.778% due 12/25/2031 ^þ | | | | | 500 | | | | | | 216 | |
|
IXIS Real Estate Capital Trust | |
1.077% due 09/25/2035 ^• | | | | | 4,224 | | | | | | 4,225 | |
|
JP Morgan Mortgage Acquisition Trust | |
0.262% due 08/25/2036 • | | | | | 6 | | | | | | 3 | |
0.292% due 03/25/2047 • | | | | | 801 | | | | | | 798 | |
0.403% due 07/25/2036 • | | | | | 1,442 | | | | | | 838 | |
0.422% due 07/25/2036 ^• | | | | | 1,067 | | | | | | 389 | |
5.462% due 09/25/2029 ^þ | | | | | 3,115 | | | | | | 2,380 | |
5.888% due 10/25/2036 ^þ(n) | | | | | 8,535 | | | | | | 6,517 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
|
Jubilee CLO BV | |
0.000% due 01/15/2028 «~ | | EUR | | | 7,000 | | | $ | | | 1,446 | |
|
KGS-Alpha SBA COOF Trust | |
1.002% due 04/25/2038 «~(a) | | $ | | | 1,207 | | | | | | 27 | |
|
Labrador Aviation Finance Ltd. | |
4.300% due 01/15/2042 (n) | | | | | 3,726 | | | | | | 3,660 | |
|
Lehman ABS Mortgage Loan Trust | |
0.192% due 06/25/2037 • | | | | | 4,103 | | | | | | 3,375 | |
|
Lehman XS Trust | |
4.511% due 05/25/2037 ^~(n) | | | | | 8,664 | | | | | | 8,539 | |
6.670% due 06/24/2046 þ | | | | | 597 | | | | | | 642 | |
|
Long Beach Mortgage Loan Trust | |
0.482% due 02/25/2036 •(n) | | | | | 46,412 | | | | | | 42,597 | |
0.642% due 05/25/2046 • | | | | | 2,894 | | | | | | 1,336 | |
0.807% due 11/25/2035 •(n) | | | | | 56,090 | | | | | | 55,892 | |
|
Madison Park Funding Ltd. | |
0.000% due 07/27/2047 ~ | | | | | 5,600 | | | | | | 3,814 | |
|
Margate Funding Ltd. | |
0.513% due 12/04/2044 • | | | | | 18,447 | | | | | | 6,204 | |
|
Marlette Funding Trust | |
0.000% due 07/16/2029 «(h) | | | | | 16 | | | | | | 1,465 | |
0.000% due 09/17/2029 «(h) | | | | | 35 | | | | | | 3,617 | |
0.000% due 03/15/2030 «(h) | | | | | 33 | | | | | | 4,149 | |
0.000% due 09/16/2030 «(h) | | | | | 9 | | | | | | 1,789 | |
|
MASTR Asset-Backed Securities Trust | |
0.402% due 03/25/2036 •(n) | | | | | 6,263 | | | | | | 4,975 | |
0.442% due 06/25/2036 •(n) | | | | | 4,794 | | | | | | 4,605 | |
0.462% due 02/25/2036 •(n) | | | | | 6,722 | | | | | | 3,421 | |
0.582% due 06/25/2036 • | | | | | 2,947 | | | | | | 1,574 | |
0.642% due 12/25/2035 •(n) | | | | | 15,056 | | | | | | 13,345 | |
0.672% due 01/25/2036 • | | | | | 273 | | | | | | 272 | |
|
Mid-State Capital Corp. Trust | |
6.742% due 10/15/2040 | | | | | 3,600 | | | | | | 3,860 | |
|
Morgan Stanley ABS Capital, Inc. Trust | |
0.172% due 10/25/2036 • | | | | | 1,542 | | | | | | 902 | |
0.202% due 11/25/2036 • | | | | | 1,349 | | | | | | 985 | |
0.222% due 09/25/2036 • | | | | | 3,442 | | | | | | 1,606 | |
0.242% due 10/25/2036 • | | | | | 8,018 | | | | | | 4,741 | |
0.252% due 11/25/2036 •(n) | | | | | 14,708 | | | | | | 10,803 | |
0.322% due 10/25/2036 • | | | | | 3,864 | | | | | | 2,312 | |
0.402% due 06/25/2036 • | | | | | 5,788 | | | | | | 3,961 | |
0.402% due 09/25/2036 • | | | | | 6,915 | | | | | | 3,294 | |
0.432% due 02/25/2037 • | | | | | 5,017 | | | | | | 3,049 | |
1.137% due 01/25/2035 • | | | | | 6,376 | | | | | | 6,007 | |
2.052% due 05/25/2034 • | | | | | 887 | | | | | | 896 | |
|
Morgan Stanley Capital, Inc. Trust | |
0.462% due 03/25/2036 • | | | | | 12 | | | | | | 11 | |
|
Morgan Stanley Home Equity Loan Trust | |
0.332% due 04/25/2037 •(n) | | | | | 24,969 | | | | | | 16,534 | |
|
National Collegiate Commutation Trust | |
0.000% due 03/25/2038 • | | | | | 135,200 | | | | | | 41,348 | |
|
New Century Home Equity Loan Trust | |
3.102% due 01/25/2033 ^• | | | | | 304 | | | | | | 286 | |
|
Nomura Home Equity Loan, Inc. Home Equity Loan Trust | |
0.382% due 07/25/2036 •(n) | | | | | 3,500 | | | | | | 3,287 | |
0.432% due 10/25/2036 ^• | | | | | 4,406 | | | | | | 1,202 | |
|
NovaStar Mortgage Funding Trust | |
0.442% due 11/25/2036 • | | | | | 1,187 | | | | | | 521 | |
|
Oakwood Mortgage Investors, Inc. | |
0.340% due 06/15/2032 • | | | | | 5 | | | | | | 4 | |
7.840% due 11/15/2029 ~ | | | | | 1,708 | | | | | | 1,829 | |
8.490% due 10/15/2030 ^ | | | | | 1,163 | | | | | | 1,057 | |
|
OCP CLO Ltd. | |
0.000% due 07/20/2032 ~ | | | | | 11 | | | | | | 5,948 | |
|
Option One Mortgage Loan Trust | |
0.232% due 07/25/2037 •(n) | | | | | 13,172 | | | | | | 11,430 | |
0.242% due 01/25/2037 • | | | | | 9,259 | | | | | | 6,640 | |
0.322% due 01/25/2037 • | | | | | 1,824 | | | | | | 1,323 | |
0.352% due 03/25/2037 • | | | | | 549 | | | | | | 351 | |
0.432% due 04/25/2037 • | | | | | 2,178 | | | | | | 1,388 | |
5.662% due 01/25/2037 ^þ | | | | | 3 | | | | | | 3 | |
|
Orient Point CDO Ltd. | |
0.400% due 10/03/2045 •(n) | | | | | 411,872 | | | | | | 151,857 | |
|
Origen Manufactured Housing Contract Trust | |
8.150% due 03/15/2032 þ | | | | | 97 | | | | | | 97 | |
| | | | | | |
| 72 | | PIMCO CLOSED-END FUNDS | | | See Accompanying Notes | |
| | | | | | | | |
| | | | | | December 31, 2021 | | (Unaudited) |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
|
Ownit Mortgage Loan Trust | |
3.109% due 10/25/2035 þ | | $ | | | 1,729 | | | $ | | | 1,222 | |
|
Palisades CDO Ltd. | |
1.078% due 07/22/2039 • | | | | | 6,700 | | | | | | 3,285 | |
|
Park Place Securities, Inc. Asset-Backed Pass-Through Certificates | |
1.977% due 10/25/2034 • | | | | | 1,161 | | | | | | 1,194 | |
2.127% due 12/25/2034 •(n) | | | | | 25,974 | | | | | | 26,292 | |
|
PRET LLC | |
3.721% due 07/25/2051 þ | | | | | 1,200 | | | | | | 1,185 | |
3.844% due 07/25/2051 þ | | | | | 2,900 | | | | | | 2,874 | |
|
Putnam Structured Product Funding Ltd. | |
1.584% due 10/15/2038 • | | | | | 1,057 | | | | | | 829 | |
|
RAAC Trust | |
2.728% due 05/25/2046 •(n) | | | | | 17,151 | | | | | | 16,473 | |
|
Renaissance Home Equity Loan Trust | |
5.612% due 04/25/2037 þ | | | | | 3,152 | | | | | | 1,234 | |
|
Residential Asset Mortgage Products Trust | |
0.853% due 04/25/2034 •(n) | | | | | 2,152 | | | | | | 2,142 | |
0.973% due 04/25/2034 •(n) | | | | | 2,134 | | | | | | 2,133 | |
1.182% due 02/25/2035 • | | | | | 83 | | | | | | 83 | |
1.217% due 08/25/2033 • | | | | | 522 | | | | | | 519 | |
1.678% due 04/25/2034 ^• | | | | | 1,080 | | | | | | 1,063 | |
2.083% due 04/25/2034 ^• | | | | | 1,738 | | | | | | 1,684 | |
|
Residential Asset Securities Corp. Trust | |
0.362% due 11/25/2036 • | | | | | 5,809 | | | | | | 5,528 | |
0.442% due 10/25/2036 • | | | | | 5,177 | | | | | | 4,887 | |
0.582% due 08/25/2036 •(n) | | | | | 10,675 | | | | | | 9,969 | |
0.597% due 04/25/2036 • | | | | | 5,880 | | | | | | 5,369 | |
0.762% due 12/25/2035 •(n) | | | | | 8,747 | | | | | | 8,198 | |
|
Rockford Tower CLO Ltd. | |
0.000% due 10/15/2029 ~ | | | | | 11,667 | | | | | | 8,445 | |
0.000% due 10/20/2030 ~ | | | | | 4,967 | | | | | | 3,826 | |
0.000% due 10/20/2031 ~ | | | | | 4,967 | | | | | | 3,495 | |
0.000% due 04/20/2034 ~ | | | | | 22,000 | | | | | | 15,605 | |
|
Saxon Asset Securities Trust | |
1.067% due 11/25/2035 • | | | | | 5,547 | | | | | | 4,499 | |
1.787% due 03/25/2035 • | | | | | 5,754 | | | | | | 3,909 | |
|
Securitized Asset-Backed Receivables LLC Trust | |
0.332% due 02/25/2037 ^• | | | | | 256 | | | | | | 159 | |
0.382% due 07/25/2036 •(n) | | | | | 15,577 | | | | | | 14,382 | |
0.422% due 07/25/2036 • | | | | | 2,399 | | | | | | 1,153 | |
0.602% due 05/25/2036 •(n) | | | | | 15,140 | | | | | | 10,416 | |
0.702% due 11/25/2035 •(n) | | | | | 11,735 | | | | | | 10,874 | |
0.762% due 08/25/2035 ^• | | | | | 1,992 | | | | | | 1,680 | |
0.777% due 01/25/2035 • | | | | | 7 | | | | | | 7 | |
|
Segovia European CLO DAC | |
0.000% due 04/15/2035 ~ | | EUR | | | 1,400 | | | | | | 1,056 | |
|
SLM Student Loan EDC Repackaging Trust | |
0.000% due 10/28/2029 «(h) | | $ | | | 36 | | | | | | 33,638 | |
|
SLM Student Loan Trust | |
0.000% due 01/25/2042 «(h) | | | | | 31 | | | | | | 14,543 | |
|
SMB Private Education Loan Trust | |
0.000% due 10/15/2048 «(h) | | | | | 8 | | | | | | 3,112 | |
0.000% due 09/15/2054 «(h) | | | | | 64,983 | | | | | | 98,484 | |
|
SoFi Professional Loan Program LLC | |
0.000% due 01/25/2039 «(h) | | | | | 33,000 | | | | | | 3,630 | |
0.000% due 05/25/2040 (h) | | | | | 31,475 | | | | | | 4,253 | |
0.000% due 07/25/2040 «(h) | | | | | 157 | | | | | | 2,594 | |
0.000% due 09/25/2040 «(h) | | | | | 14,219 | | | | | | 2,792 | |
|
Soloso CDO Ltd. | |
0.444% due 10/07/2037 • | | | | | 17,418 | | | | | | 14,718 | |
|
Soundview Home Loan Trust | |
0.252% due 06/25/2037 • | | | | | 2,608 | | | | | | 2,222 | |
0.282% due 02/25/2037 • | | | | | 7,530 | | | | | | 2,732 | |
0.362% due 02/25/2037 • | | | | | 8,739 | | | | | | 3,244 | |
0.382% due 06/25/2037 •(n) | | | | | 6,444 | | | | | | 5,569 | |
1.053% due 10/25/2037 • | | | | | 4,768 | | | | | | 4,408 | |
1.202% due 09/25/2037 • | | | | | 2,060 | | | | | | 1,966 | |
|
South Coast Funding Ltd. | |
0.454% due 01/06/2041 • | | | | | 172,119 | | | | | | 43,030 | |
|
Specialty Underwriting & Residential Finance Trust | |
0.402% due 06/25/2037 • | | | | | 3,349 | | | | | | 2,185 | |
0.452% due 03/25/2037 • | | | | | 338 | | | | | | 255 | |
3.661% due 02/25/2037 ^þ | | | | | 2,818 | | | | | | 1,425 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
|
START Ireland | |
4.089% due 03/15/2044 | | $ | | | 825 | | | $ | | | 821 | |
|
Structured Asset Securities Corp. | |
6.102% due 05/25/2032 ^•(n) | | | | | 5,977 | | | | | | 5,272 | |
|
Structured Asset Securities Corp. Mortgage Loan Trust | |
0.552% due 06/25/2035 • | | | | | 111 | | | | | | 112 | |
|
Symphony CLO Ltd. | |
4.727% due 07/14/2026 • | | | | | 15,100 | | | | | | 15,083 | |
|
Taberna Preferred Funding Ltd. | |
0.480% due 05/05/2038 •(n) | | | | | 3,022 | | | | | | 2,855 | |
0.480% due 05/05/2038 • | | | | | 918 | | | | | | 868 | |
0.490% due 02/05/2037 •(n) | | | | | 17,008 | | | | | | 14,967 | |
0.520% due 08/05/2036 • | | | | | 3,163 | | | | | | 2,799 | |
0.520% due 08/05/2036 ^• | | | | | 12,722 | | | | | | 11,259 | |
|
Talon Funding Ltd. | |
0.670% due 06/05/2035 • | | | | | 682 | | | | | | 136 | |
|
Towd Point Mortgage Trust | |
5.500% due 11/25/2058 ~(n) | | | | | 3,300 | | | | | | 3,388 | |
|
Tropic CDO Ltd. | |
0.444% due 07/15/2036 •(n) | | | | | 3,636 | | | | | | 3,418 | |
|
UCFC Home Equity Loan Trust | |
7.750% due 04/15/2030 ~ | | | | | 452 | | | | | | 465 | |
|
Verde CDO Ltd. | |
0.363% due 10/05/2045 • | | | | | 247,308 | | | | | | 70,276 | |
| | | | | | | | | | | | |
Total Asset-Backed Securities (Cost $1,794,418) | | | 1,649,674 | |
| | | | | | | | | | | | |
| |
| SOVEREIGN ISSUES 3.8% | |
|
Argentina Government International Bond | |
0.500% due 07/09/2030 þ(n) | | | | | 36,860 | | | | | | 11,985 | |
1.000% due 07/09/2029 (n) | | | | | 5,302 | | | | | | 1,942 | |
1.125% due 07/09/2035 þ(n) | | | | | 35,144 | | | | | | 10,791 | |
1.125% due 07/09/2035 þ | | | | | 1,112 | | | | | | 361 | |
1.125% due 07/09/2046 þ | | | | | 230 | | | | | | 75 | |
2.000% due 01/09/2038 þ(n) | | | | | 93,277 | | | | | | 35,865 | |
2.500% due 07/09/2041 þ(n) | | | | | 20,323 | | | | | | 7,253 | |
15.500% due 10/17/2026 (n) | | ARS | | | 555,410 | | | | | | 1,087 | |
34.191% (BADLARPP) due 10/04/2022 ~ | | | | | 1,476 | | | | | | 3 | |
|
Argentina Treasury Bond BONCER | |
1.400% due 03/25/2023 (i) | | | | | 425,782 | | | | | | 2,120 | |
1.450% due 08/13/2023 | | | | | 398,700 | | | | | | 3,381 | |
|
Autonomous City of Buenos Aires | |
37.958% (BADLARPP + 3.750%) due
02/22/2028 ~(n) | | | | | 155,766 | | | | | | 670 | |
|
Ecuador Government International Bond | |
5.000% due 07/31/2030 þ(n) | | $ | | | 2,960 | | | | | | 2,453 | |
|
Egypt Government International Bond | |
3.875% due 02/16/2026 (n) | | | | | 5,550 | | | | | | 5,205 | |
6.375% due 04/11/2031 (n) | | EUR | | | 6,728 | | | | | | 7,081 | |
7.500% due 02/16/2061 (n) | | $ | | | 18,050 | | | | | | 14,784 | |
|
Ghana Government International Bond | |
6.375% due 02/11/2027 (n) | | | | | 4,477 | | | | | | 3,790 | |
7.875% due 02/11/2035 (n) | | | | | 5,412 | | | | | | 4,262 | |
8.750% due 03/11/2061 (n) | | | | | 1,500 | | | | | | 1,194 | |
|
Ivory Coast Government International Bond | |
4.875% due 01/30/2032 (n) | | EUR | | | 14,700 | | | | | | 16,147 | |
6.625% due 03/22/2048 (n) | | | | | 8,000 | | | | | | 9,067 | |
|
Nigeria Government International Bond | |
8.250% due 09/28/2051 (n) | | $ | | | 7,300 | | | | | | 6,862 | |
|
Peru Government International Bond | |
5.350% due 08/12/2040 | | PEN | | | 221 | | | | | | 47 | |
5.400% due 08/12/2034 | | | | | 7 | | | | | | 2 | |
5.940% due 02/12/2029 | | | | | 137 | | | | | | 35 | |
5.940% due 02/12/2029 (n) | | | | | 2,457 | | | | | | 632 | |
6.150% due 08/12/2032 | | | | | 493 | | | | | | 125 | |
6.350% due 08/12/2028 | | | | | 1,052 | | | | | | 278 | |
6.350% due 08/12/2028 (n) | | | | | 3,215 | | | | | | 849 | |
6.900% due 08/12/2037 | | | | | 935 | | | | | | 239 | |
6.950% due 08/12/2031 | | | | | 602 | | | | | | 162 | |
8.200% due 08/12/2026 (n) | | | | | 1,824 | | | | | | 522 | |
8.200% due 08/12/2026 | | | | | 250 | | | | | | 72 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
|
Provincia de Buenos Aires | |
37.922% due 04/12/2025 (n) | | ARS | | | 2,209,837 | | | $ | | | 9,696 | |
37.922% due 04/12/2025 | | | | | 75,030 | | | | | | 329 | |
|
Romania Government International Bond | |
2.625% due 12/02/2040 (n) | | EUR | | | 8,600 | | | | | | 8,741 | |
2.750% due 04/14/2041 (n) | | | | | 2,500 | | | | | | 2,549 | |
2.875% due 04/13/2042 (n) | | | | | 8,600 | | | | | | 8,791 | |
|
South Africa Government International Bond | |
5.750% due 09/30/2049 (n) | | $ | | | 5,400 | | | | | | 5,207 | |
|
Turkiye Ihracat Kredi Bankasi A/S | |
8.250% due 01/24/2024 (n) | | | | | 1,400 | | | | | | 1,426 | |
|
Ukraine Government International Bond | |
4.375% due 01/27/2030 (n) | | EUR | | | 10,155 | | | | | | 9,334 | |
6.876% due 05/21/2029 (n) | | $ | | | 13,000 | | | | | | 11,549 | |
|
Venezuela Government International Bond | |
8.250% due 10/13/2024 ^(e) | | | | | 136 | | | | | | 9 | |
9.250% due 09/15/2027 ^(e) | | | | | 734 | | | | | | 48 | |
| | | | | | | | | | | | |
Total Sovereign Issues (Cost $273,975) | | | 207,020 | |
| | | | | | | | | | | | |
| |
| | | | | SHARES | | | | | | |
| COMMON STOCKS 1.5% | |
| |
| COMMUNICATION SERVICES 1.1% | |
| | | |
Clear Channel Outdoor Holdings, Inc. (f) | | | 4,853,248 | | | | | | 16,064 | |
| | | |
iHeartMedia, Inc. ‘A’ (f) | | | 2,021,190 | | | | | | 42,526 | |
| | | | | | | | | | |
| | | | | | | | | | | 58,590 | |
| | | | | | | | | | | | |
| |
| CONSUMER DISCRETIONARY 0.0% | |
| | | |
Caesars Entertainment, Inc. (f) | | | 2 | | | | | | 0 | |
| | | |
Desarrolladora Homex S.A.B. de C.V. (f) | | | 719,113 | | | | | | 2 | |
| | | |
Urbi Desarrollos Urbanos S.A.B. de C.V. (f) | | | 4,776 | | | | | | 2 | |
| | | | | | | | | | |
| | | | | | | | | | | 4 | |
| | | | | | | | | | | | |
| |
| ENERGY 0.1% | |
| | | |
Axis Energy Services ‘A’ «(l) | | | 17,105 | | | | | | 252 | |
| | | |
Noble Corp. (f)(l) | | | 179,072 | | | | | | 4,443 | |
| | | |
Valaris Ltd. (f) | | | 10,960 | | | | | | 394 | |
| | | | | | | | | | |
| | | | | | | | | | | 5,089 | |
| | | | | | | | | | | | |
| |
| FINANCIALS 0.1% | |
| | | |
Credit Suisse Group AG | | | 277,457 | | | | | | 2,702 | |
| | | | | | | | | | |
| |
| INDUSTRIALS 0.0% | |
| | | |
McDermott International Ltd. (f) | | | 945,293 | | | | | | 388 | |
| | | |
Noble Corp. | | | 13,982 | | | | | | 347 | |
| | | |
Voyager Aviation Holdings « | | | 16,278 | | | | | | 0 | |
| | | |
Westmoreland Mining Holdings LLC «(l) | | | 240,900 | | | | | | 0 | |
| | | | | | | | | | |
| | | | | | | | | | | 735 | |
| | | | | | | | | | | | |
| |
| REAL ESTATE 0.0% | |
| | | |
Stearns Holding LLC ‘B’ « | | | 59,964 | | | | | | 41 | |
| | | | | | | | | | |
| |
| UTILITIES 0.2% | |
| | | |
TexGen Power LLC « | | | 450,094 | | | | | | 11,702 | |
| | | | | | | | | | |
Total Common Stocks (Cost $114,102) | | | 78,863 | |
| | | | | | | | | | | | |
| |
| WARRANTS 1.5% | |
| |
| FINANCIALS 0.0% | |
| | | |
Guaranteed Rate, Inc. - Exp. 12/31/2060 « | | | 288 | | | | | | 0 | |
| | | | | | | | | | |
| |
| | | | | | | | | | | | |
| See Accompanying Notes | | | SEMIANNUAL REPORT | | | | | | | DECEMBER 31, 2021 | | | 73 |
| | | | | | | | |
| Consolidated Schedule of Investments | | PIMCO Dynamic Income Fund | | (Cont.) | | | | |
| | | | | | | | | | | | |
| | | | | SHARES | | | | | MARKET
VALUE
(000S) | |
| INDUSTRIALS 0.0% | |
| | | |
Sequa Corp. -
Exp. 04/28/2024 « | | | 2,809,304 | | | $ | | | 1,930 | |
| | | | | | | | | | |
| |
| INFORMATION TECHNOLOGY 1.5% | |
| | | |
Windstream Holdings LLC - Exp. 09/21/2055 « | | | 3,155,914 | | | | | | 78,191 | |
| | | | | | | | | | |
Total Warrants (Cost $25,147) | | | 80,121 | |
| | | | | | | | | | | | |
| |
| PREFERRED SECURITIES 7.4% | |
| |
| BANKING & FINANCE 4.3% | |
|
AGFC Capital Trust | |
1.874% (US0003M + 1.750%) due 01/15/2067 ~(n) | | | | | 35,500,000 | | | | | | 20,537 | |
|
American AgCredit Corp. | |
5.250% due 06/15/2026 •(j) | | | | | 10,000,000 | | | | | | 10,200 | |
|
Capital Farm Credit ACA | |
5.000% due 03/15/2026 •(j) | | | | | 4,300,000 | | | | | | 4,386 | |
|
Compeer Financial ACA | |
4.875% due 08/15/2026 •(j) | | | | | 1,900,000 | | | | | | 1,919 | |
|
Nationwide Building Society | |
10.250% ~ | | | | | 114,542 | | | | | | 29,670 | |
|
OCP CLO Ltd. | |
0.000% due 04/26/2028 (h) | | | | | 2,600 | | | | | | 2,002 | |
|
Stichting AK Rabobank Certificaten | |
6.500% due 12/29/2049 þ(j)(n) | | | | | 103,752,850 | | | | | | 163,009 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 231,723 | |
| | | | | | | | | | | | |
| |
| INDUSTRIALS 2.5% | |
|
General Electric Co. | |
3.533% (US0003M + 3.330%) due 03/15/2022 ~(j)(n) | | | | | 2,372,000 | | | | | | 2,360 | |
|
Sequa Corp. (15.000% PIK) | |
15.000% «(d) | | | | | 83,995 | | | | | | 100,067 | |
| | | | | | | | | | | | |
| | | | | SHARES | | | | | MARKET
VALUE
(000S) | |
|
Voyager Aviation Holdings LLC | |
9.500% « | | | | | 97,668 | | | $ | | | 30,310 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 132,737 | |
| | | | | | | | | | | | |
| |
| UTILITIES 0.6% | |
|
AT&T Mobility LLC | |
7.000% due 10/20/2022 «(j)(l) | | | | | 1,336,067 | | | | | | 34,829 | |
| | | | | | | | | | | | |
Total Preferred Securities (Cost $329,413) | | | 399,289 | |
| | | | | | | | | | | | |
| |
| REAL ESTATE INVESTMENT TRUSTS 1.1% | |
| |
| REAL ESTATE 1.1% | |
| | | |
Uniti Group, Inc. | | | 2,146,174 | | | | | | 30,068 | |
| | | |
VICI Properties, Inc. | | | 934,710 | | | | | | 28,144 | |
| | | | | | | | | | |
Total Real Estate Investment Trusts (Cost $26,023) | | | 58,212 | |
| | | | | | | | | | | | |
| |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | | |
| SHORT-TERM INSTRUMENTS 7.0% | |
| |
| REPURCHASE AGREEMENTS (m) 3.7% | |
| | | | | | | | | | | 200,000 | |
| | | | | | | | | | | | |
| |
| ARGENTINA TREASURY BILLS 0.0% | |
30.245% due 02/28/2022 - 03/31/2022 (g)(h)(i) | | ARS | | | 55,416 | | | | | | 275 | |
| | | | | | | | | | | | |
| |
| U.S. TREASURY BILLS 2.2% | |
0.056% due 01/18/2022 - 05/05/2022 (c)(g)(h)(n)(p)(r) | | $ | | | 116,895 | | | | | | 116,883 | |
| | | | | | | | | | | | |
| |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
| U.S. TREASURY CASH MANAGEMENT BILLS 1.1% | |
0.096% due 03/22/2022 - 04/26/2022 (g)(h)(n)(p)(r) | | $ | | | 62,520 | | | $ | | | 62,508 | |
| | | | | | | | | | | | |
Total Short-Term Instruments (Cost $379,699) | | | 379,666 | |
| | | | | | | | | | | | |
| | | | |
| | | | | | | | | | | | |
Total Investments in Securities (Cost $9,467,317) | | | 9,438,660 | |
| | | | | | | | | | | | |
| |
| | | | | SHARES | | | | | | |
| INVESTMENTS IN AFFILIATES 3.1% | |
| |
| COMMON STOCKS 3.1% | |
| |
| AFFILIATED INVESTMENTS 3.1% | |
| | | |
Associated Materials Group, Inc. «(l) | | | 11,411,610 | | | | | | 79,653 | |
| | | |
Neiman Marcus Group Ltd. LLC «(l) | | | 602,840 | | | | | | 88,220 | |
| | | | |
Sierra Hamilton Holder LLC «(l) | | | | | 30,337,712 | | | | | | 3 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 167,876 | |
| | | | | | | | | | | | |
| Total Common Stocks (Cost $99,529) | | | 167,876 | |
| | | | |
| | | | |
| | | | | | | | | | | | |
Total Investments in Affiliates (Cost $99,529) | | | 167,876 | |
| |
| | | | |
Total Investments 177.9% (Cost $9,566,846) | | | $ | | | 9,606,536 | |
| |
Financial Derivative
Instruments (o)(q) (0.3)% (Cost or Premiums, net $(36,524)) | | | | | | (15,398 | ) |
| |
| Other Assets and Liabilities, net (77.6)% | | | (4,189,708 | ) |
| | | | |
| Net Assets 100.0% | | | $ | | | 5,401,430 | |
| | | | | | | |
NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:
| * | A zero balance may reflect actual amounts rounding to less than one thousand. |
| « | Security valued using significant unobservable inputs (Level 3). |
| µ | All or a portion of this amount represents unfunded loan commitments. The interest rate for the unfunded portion will be determined at the time of funding. |
| ~ | Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description. |
| • | Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description. |
| þ | Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end. |
| (a) | Security is an Interest Only (“IO”) or IO Strip. |
| (b) | Principal only security. |
| (d) | Payment in-kind security. |
| (e) | Security is not accruing income as of the date of this report. |
| (f) | Security did not produce income within the last twelve months. |
| (g) | Coupon represents a weighted average yield to maturity. |
| (i) | Principal amount of security is adjusted for inflation. |
| (j) | Perpetual maturity; date shown, if applicable, represents next contractual call date. |
| (k) | Contingent convertible security. |
| | | | | | |
| 74 | | PIMCO CLOSED-END FUNDS | | | See Accompanying Notes | |
| | | | | | | | |
| | | | | | December 31, 2021 | | (Unaudited) |
(l) RESTRICTED SECURITIES:
| | | | | | | | | | | | | | | | |
| Issuer Description | | Acquisition
Date | | | Cost | | | Market
Value | | | Market Value
as Percentage
of Net Assets | |
AT&T Mobility LLC 7.000% due 10/20/2022 | | | 09/24/2020 | | | $ | 36,138 | | | $ | 34,829 | | | | 0.64 | % |
Associated Materials Group, Inc. | | | 08/24/2020 | | | | 72,464 | | | | 79,653 | | | | 1.47 | |
Axis Energy Services ‘A’ | | | 07/01/2021 | | | | 252 | | | | 252 | | | | 0.00 | |
Buffalo Thunder Development Authority 0.000% due 11/15/2029 | | | 12/08/2014 | | | | 6 | | | | 2 | | | | 0.00 | |
Ferroglobe PLC 9.375% due 12/31/2025 | | | 10/08/2021 - 12/09/2021 | | | | 3,180 | | | | 3,206 | | | | 0.06 | |
Neiman Marcus Group Ltd. LLC | | | 09/25/2020 | | | | 19,376 | | | | 88,220 | | | | 1.63 | |
Noble Corp. | | | 02/05/2021 - 02/27/2021 | | | | 2,389 | | | | 4,443 | | | | 0.08 | |
Otterham Property Finance DAC 0.000% due 09/03/2026 | | | 09/26/2019 | | | | 6,492 | | | | 6,676 | | | | 0.12 | |
Pinnacol Assurance 8.625% due 06/25/2034 | | | 06/23/2014 | | | | 36,300 | | | | 47,984 | | | | 0.89 | |
Preylock Reitman Santa Cruz LLC 0.005% due 11/09/2022 | | | 04/09/2018 | | | | 11,089 | | | | 10,930 | | | | 0.20 | |
Project Anfora Senior 0.000% due 10/01/2026 | | | 09/30/2019 | | | | 40,065 | | | | 40,975 | | | | 0.76 | |
Project Quasar Pledgco SLU 0.000% due 09/06/2025 | | | 12/21/2021 | | | | 31,741 | | | | 31,978 | | | | 0.60 | |
Sierra Hamilton Holder LLC | | | 07/31/2017 | | | | 7,690 | | | | 3 | | | | 0.00 | |
Westmoreland Mining Holdings LLC | | | 12/08/2014 - 03/26/2019 | | | | 7,008 | | | | 0 | | | | 0.00 | |
| | | | | | | | | | | | | | | | |
| | | $ | 274,190 | | | $ | 349,151 | | | | 6.45 | % |
| | | | | | | | | | | | | |
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(m) REPURCHASE AGREEMENTS:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Lending
Rate | | | Settlement
Date | | | Maturity
Date | | | Principal
Amount | | | Collateralized By | | Collateral
(Received) | | | Repurchase
Agreements,
at Value | | | Repurchase
Agreement
Proceeds
to be
Received(1) | |
| JPS | | | 0.040 | % | | | 12/31/2021 | | | | 01/03/2022 | | | $ | 100,000 | | | U.S. Treasury Bonds 1.250% due 05/15/2050 | | $ | (102,582 | ) | | $ | 100,000 | | | $ | 100,000 | |
| MBC | | | 0.050 | | | | 12/30/2021 | | | | 01/04/2022 | | | | 100,000 | | | U.S. Treasury Notes 0.375% - 0.750% due 11/30/2025 - 05/31/2026 | | | (103,275 | ) | | | 100,000 | | | | 100,001 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Repurchase Agreements | | | | | $ | (205,857 | ) | | $ | 200,000 | | | $ | 200,001 | |
| | | | | | | | | | | | | | | |
REVERSE REPURCHASE AGREEMENTS:
| | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Borrowing
Rate(2) | | | Settlement
Date | | | Maturity
Date | | | Amount
Borrowed(2) | | | Payable for
Reverse
Repurchase
Agreements | |
BCY | | | 0.320 | % | | | 12/23/2021 | | | | 10/25/2023 | | | $ | | | (263 | ) | | $ | (263 | ) |
| | | 0.320 | | | | 12/23/2021 | | | | 12/08/2023 | | | | | | (295 | ) | | | (295 | ) |
| | | 0.450 | | | | 12/23/2021 | | | | 01/10/2022 | | | | | | (3,645 | ) | | | (3,645 | ) |
| | | 0.500 | | | | 12/23/2021 | | | | 03/03/2022 | | | | | | (4,510 | ) | | | (4,510 | ) |
| | | 0.500 | | | | 12/23/2021 | | | | 03/07/2022 | | | | | | (3,882 | ) | | | (3,881 | ) |
BNY | | | 0.800 | | | | 08/11/2021 | | | | 02/11/2022 | | | | | | (13,304 | ) | | | (13,347 | ) |
| | | 0.802 | | | | 09/03/2021 | | | | 03/03/2022 | | | | | | (35,547 | ) | | | (35,644 | ) |
| | | 0.802 | | | | 09/07/2021 | | | | 03/07/2022 | | | | | | (45,610 | ) | | | (45,730 | ) |
| | | 0.805 | | | | 08/19/2021 | | | | 02/18/2022 | | | | | | (22,620 | ) | | | (22,689 | ) |
| | | 0.806 | | | | 10/08/2021 | | | | 04/08/2022 | | | | | | (50,211 | ) | | | (50,309 | ) |
| | | 0.807 | | | | 08/16/2021 | | | | 02/16/2022 | | | | | | (38,209 | ) | | | (38,329 | ) |
BOM | | | 0.510 | | | | 12/16/2021 | | | | 02/03/2022 | | | | | | (9,846 | ) | | | (9,849 | ) |
| | | 0.520 | | | | 10/13/2021 | | | | 01/11/2022 | | | | | | (4,654 | ) | | | (4,660 | ) |
BOS | | | 0.603 | | | | 09/22/2021 | | | | 03/22/2022 | | | | | | (6,807 | ) | | | (6,819 | ) |
| | | 0.855 | | | | 08/18/2021 | | | | 02/18/2022 | | | | | | (7,551 | ) | | | (7,575 | ) |
BPS | | | (3.750 | ) | | | 03/10/2021 | | | | TBD | (3) | | EUR | | | (2,564 | ) | | | (2,888 | ) |
| | | (3.750 | ) | | | 04/20/2021 | | | | TBD | (3) | | | | | (912 | ) | | | (1,029 | ) |
| | | (3.000 | ) | | | 08/13/2021 | | | | TBD | (3) | | | | | (1,137 | ) | | | (1,290 | ) |
| | | (2.250 | ) | | | 08/19/2021 | | | | TBD | (3) | | | | | (2,636 | ) | | | (2,989 | ) |
| | | (2.250 | ) | | | 09/23/2021 | | | | TBD | (3) | | | | | (1,461 | ) | | | (1,654 | ) |
| | | (0.650 | ) | | | 11/08/2021 | | | | TBD | (3) | | $ | | | (4,572 | ) | | | (4,567 | ) |
| | | (0.500 | ) | | | 10/19/2021 | | | | TBD | (3) | | EUR | | | (2,124 | ) | | | (2,415 | ) |
| | | (0.350 | ) | | | 10/19/2021 | | | | 01/13/2022 | | | | | | (11,560 | ) | | | (13,152 | ) |
| | | (0.350 | ) | | | 10/19/2021 | | | | 01/19/2022 | | | | | | (446 | ) | | | (507 | ) |
| | | (0.350 | ) | | | 10/19/2021 | | | | TBD | (3) | | | | | (310 | ) | | | (353 | ) |
| | | (0.300 | ) | | | 10/19/2021 | | | | TBD | (3) | | | | | (6,820 | ) | | | (7,760 | ) |
| | | (0.300 | ) | | | 11/03/2021 | | | | 01/14/2022 | | | | | | (3,789 | ) | | | (4,311 | ) |
| | | (0.300 | ) | | | 11/05/2021 | | | | 02/02/2022 | | | | | | (3,484 | ) | | | (3,965 | ) |
| | | (0.300 | ) | | | 11/15/2021 | | | | 02/09/2022 | | | | | | (5,271 | ) | | | (5,999 | ) |
| | | (0.250 | ) | | | 10/29/2021 | | | | 01/28/2022 | | | | | | (1,852 | ) | | | (2,108 | ) |
| | | | | | | | | | | | |
| See Accompanying Notes | | | SEMIANNUAL REPORT | | | | | | | DECEMBER 31, 2021 | | | 75 |
| | | | | | | | |
| Consolidated Schedule of Investments | | PIMCO Dynamic Income Fund | | (Cont.) | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Borrowing
Rate(2) | | | Settlement
Date | | | Maturity
Date | | | Amount
Borrowed(2) | | | Payable for
Reverse
Repurchase
Agreements | |
| | | 0.150 | % | | | 02/08/2021 | | | | TBD | (3) | | $ | | | (412 | ) | | $ | (413 | ) |
| | | 0.300 | | | | 12/06/2021 | | | | 01/14/2022 | | | | | | (1,295 | ) | | | (1,295 | ) |
| | | 0.350 | | | | 08/13/2021 | | | | TBD | (3) | | | | | (1,052 | ) | | | (1,054 | ) |
| | | 0.350 | | | | 09/28/2021 | | | | 01/13/2022 | | | GBP | | | (952 | ) | | | (1,290 | ) |
| | | 0.380 | | | | 10/08/2021 | | | | 01/14/2022 | | | | | | (210 | ) | | | (285 | ) |
| | | 0.380 | | | | 10/19/2021 | | | | 01/18/2022 | | | | | | (410 | ) | | | (556 | ) |
| | | 0.380 | | | | 11/15/2021 | | | | 02/09/2022 | | | | | | (1,071 | ) | | | (1,450 | ) |
| | | 0.400 | | | | 11/15/2021 | | | | 02/09/2022 | | | | | | (2,649 | ) | | | (3,587 | ) |
| | | 0.450 | | | | 08/03/2021 | | | | 02/03/2022 | | | $ | | | (3,340 | ) | | | (3,347 | ) |
| | | 0.480 | | | | 10/12/2021 | | | | 01/10/2022 | | | | | | (2,220 | ) | | | (2,222 | ) |
| | | 0.490 | | | | 08/13/2021 | | | | 02/16/2022 | | | | | | (6,244 | ) | | | (6,256 | ) |
| | | 0.490 | | | | 08/18/2021 | | | | 02/15/2022 | | | | | | (4,127 | ) | | | (4,135 | ) |
| | | 0.490 | | | | 11/09/2021 | | | | 02/16/2022 | | | | | | (896 | ) | | | (898 | ) |
| | | 0.500 | | | | 07/09/2021 | | | | 01/05/2022 | | | | | | (15,220 | ) | | | (15,258 | ) |
| | | 0.500 | | | | 07/12/2021 | | | | 01/10/2022 | | | | | | (733 | ) | | | (735 | ) |
| | | 0.500 | | | | 07/14/2021 | | | | 01/12/2022 | | | | | | (1,725 | ) | | | (1,729 | ) |
| | | 0.500 | | | | 07/22/2021 | | | | 01/24/2022 | | | | | | (713 | ) | | | (714 | ) |
| | | 0.500 | | | | 08/03/2021 | | | | 02/03/2022 | | | | | | (179 | ) | | | (180 | ) |
| | | 0.500 | | | | 08/04/2021 | | | | 02/04/2022 | | | | | | (2,269 | ) | | | (2,274 | ) |
| | | 0.500 | | | | 10/06/2021 | | | | 01/10/2022 | | | | | | (861 | ) | | | (862 | ) |
| | | 0.500 | | | | 11/26/2021 | | | | 02/03/2022 | | | | | | (486 | ) | | | (486 | ) |
| | | 0.510 | | | | 09/20/2021 | | | | 03/21/2022 | | | | | | (1,093 | ) | | | (1,095 | ) |
| | | 0.510 | | | | 09/23/2021 | | | | 03/21/2022 | | | | | | (5,464 | ) | | | (5,472 | ) |
| | | 0.510 | | | | 12/27/2021 | | | | 03/21/2022 | | | | | | (2,703 | ) | | | (2,703 | ) |
| | | 0.520 | | | | 09/21/2021 | | | | 03/21/2022 | | | | | | (859 | ) | | | (860 | ) |
| | | 0.520 | | | | 10/14/2021 | | | | 04/18/2022 | | | | | | (22,992 | ) | | | (23,019 | ) |
| | | 0.520 | | | | 11/08/2021 | | | | 03/21/2022 | | | | | | (10,493 | ) | | | (10,509 | ) |
| | | 0.520 | | | | 12/09/2021 | | | | 04/18/2022 | | | | | | (2,599 | ) | | | (2,600 | ) |
| | | 0.530 | | | | 11/05/2021 | | | | 05/12/2022 | | | | | | (3,063 | ) | | | (3,065 | ) |
| | | 0.530 | | | | 11/08/2021 | | | | 05/12/2022 | | | | | | (1,643 | ) | | | (1,644 | ) |
| | | 0.540 | | | | 06/08/2021 | | | | 03/08/2022 | | | | | | (1,133 | ) | | | (1,137 | ) |
| | | 0.540 | | | | 06/09/2021 | | | | 03/09/2022 | | | | | | (21,139 | ) | | | (21,205 | ) |
| | | 0.540 | | | | 07/02/2021 | | | | 03/01/2022 | | | | | | (2,142 | ) | | | (2,148 | ) |
| | | 0.540 | | | | 08/03/2021 | | | | 03/08/2022 | | | | | | (746 | ) | | | (748 | ) |
| | | 0.540 | | | | 09/28/2021 | | | | 03/08/2022 | | | | | | (381 | ) | | | (382 | ) |
| | | 0.540 | | | | 09/30/2021 | | | | 03/08/2022 | | | | | | (96 | ) | | | (97 | ) |
| | | 0.738 | | | | 11/04/2021 | | | | 02/02/2022 | | | GBP | | | (4,946 | ) | | | (6,702 | ) |
| | | 0.810 | | | | 09/02/2021 | | | | 03/02/2022 | | | $ | | | (42,490 | ) | | | (42,607 | ) |
| | | 0.810 | | | | 09/08/2021 | | | | 03/08/2022 | | | | | | (40,239 | ) | | | (40,344 | ) |
| | | 0.810 | | | | 10/07/2021 | | | | 04/07/2022 | | | | | | (7,394 | ) | | | (7,409 | ) |
| | | 0.810 | | | | 10/19/2021 | | | | 03/08/2022 | | | | | | (2,604 | ) | | | (2,608 | ) |
| | | 0.810 | | | | 10/20/2021 | | | | 04/07/2022 | | | | | | (6,673 | ) | | | (6,686 | ) |
| | | 0.838 | | | | 11/04/2021 | | | | 02/02/2022 | | | GBP | | | (10,459 | ) | | | (14,176 | ) |
| | | 0.850 | | | | 08/16/2021 | | | | 02/16/2022 | | | $ | | | (71,146 | ) | | | (71,381 | ) |
| | | 0.950 | | | | 12/10/2021 | | | | 06/10/2022 | | | | | | (1,329 | ) | | | (1,329 | ) |
| | | 1.050 | | | | 12/17/2021 | | | | 06/23/2022 | | | | | | (3,651 | ) | | | (3,653 | ) |
BRC | | | (4.000 | ) | | | 01/28/2021 | | | | TBD | (3) | | EUR | | | (3,320 | ) | | | (3,735 | ) |
| | | (4.000 | ) | | | 10/21/2021 | | | | TBD | (3) | | | | | (903 | ) | | | (1,022 | ) |
| | | (2.000 | ) | | | 11/24/2021 | | | | TBD | (3) | | $ | | | (184 | ) | | | (183 | ) |
| | | (1.000 | ) | | | 09/06/2021 | | | | TBD | (3) | | EUR | | | (1,212 | ) | | | (1,376 | ) |
| | | (0.750 | ) | | | 11/15/2021 | | | | 02/09/2022 | | | | | | (591 | ) | | | (672 | ) |
| | | (0.500 | ) | | | 12/17/2021 | | | | 01/18/2022 | | | | | | (269 | ) | | | (307 | ) |
| | | (0.420 | ) | | | 08/03/2021 | | | | TBD | (3) | | | | | (3,103 | ) | | | (3,523 | ) |
| | | (0.420 | ) | | | 12/17/2021 | | | | TBD | (3) | | | | | (8,533 | ) | | | (9,713 | ) |
| | | (0.400 | ) | | | 11/05/2021 | | | | 02/04/2022 | | | | | | (493 | ) | | | (561 | ) |
| | | (0.350 | ) | | | 12/17/2021 | | | | 01/18/2022 | | | | | | (223 | ) | | | (253 | ) |
| | | 0.250 | | | | 12/09/2021 | | | | 08/18/2022 | | | | | | (1,083 | ) | | | (1,083 | ) |
| | | 0.300 | | | | 07/02/2021 | | | | TBD | (3) | | | | | (1,325 | ) | | | (1,327 | ) |
| | | 0.350 | | | | 10/25/2021 | | | | TBD | (3) | | | | | (1,853 | ) | | | (1,854 | ) |
| | | 0.350 | | | | 11/02/2021 | | | | 01/13/2022 | | | GBP | | | (270 | ) | | | (366 | ) |
| | | 0.350 | | | | 12/09/2021 | | | | TBD | (3) | | $ | | | (2,243 | ) | | | (2,243 | ) |
| | | 0.400 | | | | 08/16/2021 | | | | TBD | (3) | | | | | (6,540 | ) | | | (6,550 | ) |
| | | 0.420 | | | | 11/15/2021 | | | | 01/19/2022 | | | | | | (1,889 | ) | | | (1,890 | ) |
| | | 0.420 | | | | 12/09/2021 | | | | 01/19/2022 | | | | | | (6,350 | ) | | | (6,354 | ) |
| | | 0.450 | | | | 10/05/2021 | | | | 01/06/2022 | | | | | | (3,900 | ) | | | (3,904 | ) |
| | | 0.450 | | | | 11/02/2021 | | | | 02/03/2022 | | | | | | (11,920 | ) | | | (11,929 | ) |
| | | 0.450 | | | | 12/09/2021 | | | | 01/06/2022 | | | | | | (1,890 | ) | | | (1,893 | ) |
| | | 0.450 | | | | 12/09/2021 | | | | 01/10/2022 | | | | | | (12,038 | ) | | | (12,042 | ) |
| | | 0.450 | | | | 12/09/2021 | | | | 02/03/2022 | | | | | | (5,475 | ) | | | (5,479 | ) |
| | | 0.480 | | | | 12/09/2021 | | | | 01/20/2022 | | | | | | (30,975 | ) | | | (30,986 | ) |
| | | | | | |
| 76 | | PIMCO CLOSED-END FUNDS | | | See Accompanying Notes | |
| | | | | | | | |
| | | | | | December 31, 2021 | | (Unaudited) |
| | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Borrowing
Rate(2) | | | Settlement
Date | | | Maturity
Date | | | Amount
Borrowed(2) | | | Payable for
Reverse
Repurchase
Agreements | |
| | | 0.500 | % | | | 07/16/2021 | | | | 01/18/2022 | | | $ | | | (3,192 | ) | | $ | (3,199 | ) |
| | | 0.500 | | | | 07/27/2021 | | | | 01/18/2022 | | | | | | (359 | ) | | | (360 | ) |
| | | 0.500 | | | | 08/05/2021 | | | | 01/18/2022 | | | | | | (1,035 | ) | | | (1,037 | ) |
| | | 0.500 | | | | 08/17/2021 | | | | TBD | (3) | | | | | (143 | ) | | | (143 | ) |
| | | 0.500 | | | | 09/03/2021 | | | | 03/03/2022 | | | | | | (768 | ) | | | (770 | ) |
| | | 0.500 | | | | 09/30/2021 | | | | 02/07/2022 | | | | | | (5,113 | ) | | | (5,120 | ) |
| | | 0.500 | | | | 11/02/2021 | | | | 02/03/2022 | | | | | | (11,295 | ) | | | (11,305 | ) |
| | | 0.500 | | | | 12/06/2021 | | | | 03/03/2022 | | | | | | (5,711 | ) | | | (5,713 | ) |
| | | 0.500 | | | | 12/09/2021 | | | | 01/10/2022 | | | | | | (12,942 | ) | | | (12,947 | ) |
| | | 0.500 | | | | 12/09/2021 | | | | 01/18/2022 | | | | | | (1,305 | ) | | | (1,305 | ) |
| | | 0.500 | | | | 12/09/2021 | | | | 01/24/2022 | | | | | | (2,456 | ) | | | (2,457 | ) |
| | | 0.500 | | | | 12/09/2021 | | | | 01/26/2022 | | | | | | (360 | ) | | | (361 | ) |
| | | 0.500 | | | | 12/09/2021 | | | | 02/07/2022 | | | | | | (14,059 | ) | | | (14,078 | ) |
| | | 0.500 | | | | 12/09/2021 | | | | 03/01/2022 | | | | | | (5,381 | ) | | | (5,382 | ) |
| | | 0.500 | | | | 12/09/2021 | | | | 03/03/2022 | | | | | | (4,062 | ) | | | (4,069 | ) |
| | | 0.500 | | | | 12/09/2021 | | | | 03/07/2022 | | | | | | (2,190 | ) | | | (2,194 | ) |
| | | 0.500 | | | | 12/09/2021 | | | | 03/14/2022 | | | | | | (3,939 | ) | | | (3,940 | ) |
| | | 0.500 | | | | 12/09/2021 | | | | 03/17/2022 | | | | | | (1,261 | ) | | | (1,262 | ) |
| | | 0.500 | | | | 12/09/2021 | | | | 03/21/2022 | | | | | | (2,255 | ) | | | (2,256 | ) |
| | | 0.500 | | | | 12/09/2021 | | | | TBD | (3) | | | | | (7 | ) | | | (7 | ) |
| | | 0.500 | | | | 12/29/2021 | | | | 01/18/2022 | | | | | | (5,424 | ) | | | (5,424 | ) |
| | | 0.500 | | | | 12/29/2021 | | | | 02/07/2022 | | | | | | (1,259 | ) | | | (1,259 | ) |
| | | 0.550 | | | | 08/09/2021 | | | | 03/10/2022 | | | | | | (256 | ) | | | (256 | ) |
| | | 0.550 | | | | 12/09/2021 | | | | 03/10/2022 | | | | | | (8,754 | ) | | | (8,773 | ) |
| | | 0.598 | | | | 09/07/2021 | | | | 03/07/2022 | | | | | | (1,232 | ) | | | (1,234 | ) |
| | | 0.599 | | | | 12/09/2021 | | | | 03/14/2022 | | | | | | (2,732 | ) | | | (2,733 | ) |
| | | 0.600 | | | | 07/19/2021 | | | | 01/19/2022 | | | | | | (16,048 | ) | | | (16,092 | ) |
| | | 0.600 | | | | 12/09/2021 | | | | 01/19/2022 | | | | | | (26,018 | ) | | | (26,091 | ) |
| | | 0.605 | | | | 09/28/2021 | | | | 03/24/2022 | | | | | | (7,775 | ) | | | (7,788 | ) |
| | | 0.716 | | | | 12/16/2021 | | | | 03/17/2022 | | | | | | (2,647 | ) | | | (2,648 | ) |
| | | 0.750 | | | | 12/09/2021 | | | | TBD | (3) | | | | | (6,558 | ) | | | (6,562 | ) |
| | | 0.763 | | | | 12/09/2021 | | | | 01/10/2022 | | | | | | (3,359 | ) | | | (3,361 | ) |
| | | 0.798 | | | | 09/03/2021 | | | | 03/03/2022 | | | | | | (12,545 | ) | | | (12,579 | ) |
| | | 0.800 | | | | 12/09/2021 | | | | 03/02/2022 | | | | | | (50,951 | ) | | | (50,979 | ) |
| | | 0.802 | | | | 09/03/2021 | | | | 03/03/2022 | | | | | | (33,160 | ) | | | (33,250 | ) |
| | | 0.802 | | | | 12/09/2021 | | | | 03/03/2022 | | | | | | (10,628 | ) | | | (10,657 | ) |
| | | 0.803 | | | | 12/09/2021 | | | | 03/21/2022 | | | | | | (28,977 | ) | | | (28,993 | ) |
| | | 0.806 | | | | 10/07/2021 | | | | 04/07/2022 | | | | | | (9,051 | ) | | | (9,069 | ) |
| | | 0.806 | | | | 12/09/2021 | | | | 04/07/2022 | | | | | | (23,201 | ) | | | (23,247 | ) |
| | | 0.808 | | | | 08/27/2021 | | | | 02/28/2022 | | | | | | (14,725 | ) | | | (14,768 | ) |
| | | 0.808 | | | | 12/09/2021 | | | | 02/28/2022 | | | | | | (21,629 | ) | | | (21,691 | ) |
| | | 0.850 | | | | 12/09/2021 | | | | TBD | (3) | | | | | (775 | ) | | | (776 | ) |
| | | 0.866 | | | | 12/16/2021 | | | | 03/17/2022 | | | | | | (17,864 | ) | | | (17,872 | ) |
| | | 0.916 | | | | 12/16/2021 | | | | 03/17/2022 | | | | | | (4,136 | ) | | | (4,138 | ) |
| | | 0.939 | | | | 12/10/2021 | | | | 06/10/2022 | | | | | | (11,825 | ) | | | (11,832 | ) |
BYR | | | 0.500 | | | | 07/26/2021 | | | | 01/26/2022 | | | | | | (1,833 | ) | | | (1,837 | ) |
| | | 0.500 | | | | 08/09/2021 | | | | 01/26/2022 | | | | | | (1,479 | ) | | | (1,482 | ) |
| | | 0.500 | | | | 08/10/2021 | | | | 01/26/2022 | | | | | | (1,116 | ) | | | (1,118 | ) |
| | | 0.610 | | | | 12/23/2021 | | | | 03/25/2022 | | | | | | (2,052 | ) | | | (2,052 | ) |
| | | 0.650 | | | | 03/31/2021 | | | | 03/25/2022 | | | | | | (26,885 | ) | | | (27,012 | ) |
| | | 0.650 | | | | 06/14/2021 | | | | 03/25/2022 | | | | | | (2,042 | ) | | | (2,052 | ) |
| | | 0.650 | | | | 06/24/2021 | | | | 03/25/2022 | | | | | | (2,015 | ) | | | (2,022 | ) |
| | | 0.650 | | | | 06/30/2021 | | | | 03/25/2022 | | | | | | (599 | ) | | | (601 | ) |
| | | 0.650 | | | | 07/30/2021 | | | | 03/25/2022 | | | | | | (990 | ) | | | (994 | ) |
| | | 0.650 | | | | 08/05/2021 | | | | 03/25/2022 | | | | | | (1,830 | ) | | | (1,836 | ) |
| | | 0.650 | | | | 09/16/2021 | | | | 03/25/2022 | | | | | | (892 | ) | | | (894 | ) |
| | | 0.650 | | | | 11/01/2021 | | | | 03/25/2022 | | | | | | (12,890 | ) | | | (12,926 | ) |
| | | 0.650 | | | | 11/17/2021 | | | | 03/25/2022 | | | | | | (640 | ) | | | (642 | ) |
CDC | | | 0.230 | | | | 11/10/2021 | | | | TBD | (3) | | | | | (16,591 | ) | | | (16,597 | ) |
| | | 0.270 | | | | 09/27/2021 | | | | 01/27/2022 | | | | | | (3,079 | ) | | | (3,081 | ) |
| | | 0.270 | | | | 10/01/2021 | | | | 01/27/2022 | | | | | | (7,345 | ) | | | (7,350 | ) |
| | | 0.270 | | | | 10/07/2021 | | | | 01/05/2022 | | | | | | (3,357 | ) | | | (3,359 | ) |
| | | 0.270 | | | | 10/15/2021 | | | | 01/13/2022 | | | | | | (206 | ) | | | (206 | ) |
| | | 0.270 | | | | 10/19/2021 | | | | 01/27/2022 | | | | | | (4,475 | ) | | | (4,477 | ) |
| | | 0.270 | | | | 10/20/2021 | | | | 01/27/2022 | | | | | | (3,732 | ) | | | (3,735 | ) |
| | | 0.270 | | | | 10/22/2021 | | | | 01/27/2022 | | | | | | (1,447 | ) | | | (1,448 | ) |
| | | 0.270 | | | | 10/27/2021 | | | | 01/27/2022 | | | | | | (311 | ) | | | (312 | ) |
| | | 0.350 | | | | 07/21/2021 | | | | 01/21/2022 | | | | | | (2,525 | ) | | | (2,529 | ) |
| | | 0.360 | | | | 08/24/2021 | | | | TBD | (3) | | | | | (299 | ) | | | (299 | ) |
| | | 0.360 | | | | 09/28/2021 | | | | TBD | (3) | | | | | (188 | ) | | | (189 | ) |
| | | | | | | | | | | | |
| See Accompanying Notes | | | SEMIANNUAL REPORT | | | | | | | DECEMBER 31, 2021 | | | 77 |
| | | | | | | | |
| Consolidated Schedule of Investments | | PIMCO Dynamic Income Fund | | (Cont.) | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Borrowing
Rate(2) | | | Settlement
Date | | | Maturity
Date | | | Amount
Borrowed(2) | | | Payable for
Reverse
Repurchase
Agreements | |
| | | 0.420 | % | | | 10/05/2021 | | | | 01/05/2022 | | | $ | | | (3,712 | ) | | $ | (3,716 | ) |
| | | 0.430 | | | | 10/12/2021 | | | | 01/13/2022 | | | | | | (1,484 | ) | | | (1,486 | ) |
| | | 0.490 | | | | 09/03/2021 | | | | 03/03/2022 | | | | | | (27,222 | ) | | | (27,268 | ) |
| | | 0.490 | | | | 09/14/2021 | | | | 03/14/2022 | | | | | | (2,529 | ) | | | (2,533 | ) |
| | | 0.490 | | | | 09/20/2021 | | | | 03/21/2022 | | | | | | (508 | ) | | | (509 | ) |
| | | 0.490 | | | | 10/06/2021 | | | | 04/06/2022 | | | | | | (1,591 | ) | | | (1,593 | ) |
| | | 0.490 | | | | 10/07/2021 | | | | 04/07/2022 | | | | | | (3,939 | ) | | | (3,944 | ) |
| | | 0.490 | | | | 10/19/2021 | | | | 04/01/2022 | | | | | | (611 | ) | | | (612 | ) |
| | | 0.490 | | | | 12/09/2021 | | | | 04/18/2022 | | | | | | (3,348 | ) | | | (3,349 | ) |
| | | 0.490 | | | | 12/14/2021 | | | | 04/06/2022 | | | | | | (4,267 | ) | | | (4,268 | ) |
| | | 0.490 | | | | 12/14/2021 | | | | 04/18/2022 | | | | | | (6,814 | ) | | | (6,816 | ) |
| | | 0.500 | | | | 07/30/2021 | | | | 01/31/2022 | | | | | | (542 | ) | | | (544 | ) |
| | | 0.500 | | | | 08/03/2021 | | | | 02/03/2022 | | | | | | (33,681 | ) | | | (33,753 | ) |
| | | 0.500 | | | | 10/07/2021 | | | | 04/07/2022 | | | | | | (10,419 | ) | | | (10,432 | ) |
| | | 0.500 | | | | 10/22/2021 | | | | 02/03/2022 | | | | | | (4,865 | ) | | | (4,875 | ) |
| | | 0.500 | | | | 10/26/2021 | | | | 01/31/2022 | | | | | | (4,171 | ) | | | (4,175 | ) |
| | | 0.500 | | | | 10/28/2021 | | | | 02/03/2022 | | | | | | (6,068 | ) | | | (6,074 | ) |
| | | 0.500 | | | | 11/01/2021 | | | | 01/31/2022 | | | | | | (5,236 | ) | | | (5,240 | ) |
| | | 0.500 | | | | 12/21/2021 | | | | 02/03/2022 | | | | | | (3,966 | ) | | | (3,966 | ) |
| | | 0.500 | | | | 12/23/2021 | | | | 01/31/2022 | | | | | | (3,047 | ) | | | (3,047 | ) |
| | | 0.500 | | | | 12/23/2021 | | | | 02/03/2022 | | | | | | (1,638 | ) | | | (1,638 | ) |
CEW | | | (0.300 | ) | | | 10/19/2021 | | | | 01/13/2022 | | | EUR | | | (187 | ) | | | (212 | ) |
| | | (0.300 | ) | | | 10/19/2021 | | | | 01/19/2022 | | | | | | (92 | ) | | | (105 | ) |
| | | 0.400 | | | | 11/08/2021 | | | | TBD | (3) | | GBP | | | (11,591 | ) | | | (15,699 | ) |
| | | 0.400 | | | | 11/08/2021 | | | | TBD | (3) | | | | | (947 | ) | | | (1,282 | ) |
| | | 0.420 | | | | 10/29/2021 | | | | TBD | (3) | | | | | (1,192 | ) | | | (1,614 | ) |
| | | 0.450 | | | | 07/12/2021 | | | | 01/11/2022 | | | $ | | | (672 | ) | | | (674 | ) |
| | | 0.450 | | | | 10/22/2021 | | | | TBD | (3) | | | | | (2,941 | ) | | | (2,944 | ) |
| | | 0.450 | | | | 11/09/2021 | | | | TBD | (3) | | | | | (3,873 | ) | | | (3,876 | ) |
| | | 0.500 | | | | 07/09/2021 | | | | 01/05/2022 | | | | | | (6,898 | ) | | | (6,915 | ) |
| | | 0.500 | | | | 08/09/2021 | | | | 02/09/2022 | | | | | | (1,706 | ) | | | (1,709 | ) |
| | | 0.500 | | | | 11/09/2021 | | | | TBD | (3) | | | | | (20,212 | ) | | | (20,227 | ) |
| | | 0.500 | | | | 12/23/2021 | | | | 02/09/2022 | | | | | | (1,073 | ) | | | (1,072 | ) |
| | | 0.550 | | | | 07/19/2021 | | | | 01/19/2022 | | | | | | (6,188 | ) | | | (6,204 | ) |
| | | 0.550 | | | | 12/09/2021 | | | | TBD | (3) | | | | | (1,981 | ) | | | (1,982 | ) |
| | | 0.560 | | | | 12/16/2021 | | | | TBD | (3) | | | | | (23,183 | ) | | | (23,190 | ) |
| | | 0.600 | | | | 08/11/2021 | | | | 02/11/2022 | | | | | | (14,476 | ) | | | (14,511 | ) |
| | | 0.600 | | | | 08/19/2021 | | | | 02/22/2022 | | | | | | (1,888 | ) | | | (1,893 | ) |
| | | 0.600 | | | | 10/22/2021 | | | | 01/21/2022 | | | | | | (3,072 | ) | | | (3,075 | ) |
| | | 0.650 | | | | 07/19/2021 | | | | 01/19/2022 | | | | | | (5,113 | ) | | | (5,129 | ) |
| | | 0.650 | | | | 12/16/2021 | | | | TBD | (3) | | | | | (20,471 | ) | | | (20,478 | ) |
| | | 0.750 | | | | 08/24/2021 | | | | 02/22/2022 | | | | | | (14,321 | ) | | | (14,360 | ) |
| | | 0.800 | | | | 08/11/2021 | | | | 02/11/2022 | | | | | | (19,219 | ) | | | (19,281 | ) |
| | | 0.802 | | | | 09/22/2021 | | | | 03/22/2022 | | | | | | (5,776 | ) | | | (5,790 | ) |
CIB | | | 0.570 | | | | 10/12/2021 | | | | 01/13/2022 | | | | | | (1,623 | ) | | | (1,625 | ) |
| | | 0.570 | | | | 10/13/2021 | | | | 01/18/2022 | | | | | | (5,709 | ) | | | (5,716 | ) |
| | | 0.570 | | | | 10/14/2021 | | | | 01/13/2022 | | | | | | (20,955 | ) | | | (20,982 | ) |
DBL | | | (0.410 | ) | | | 11/05/2021 | | | | 02/04/2022 | | | EUR | | | (5,321 | ) | | | (6,054 | ) |
| | | (0.400 | ) | | | 11/15/2021 | | | | 02/09/2022 | | | | | | (307 | ) | | | (349 | ) |
| | | (0.350 | ) | | | 11/15/2021 | | | | 02/09/2022 | | | | | | (192 | ) | | | (218 | ) |
| | | (0.340 | ) | | | 11/05/2021 | | | | TBD | (3) | | | | | (914 | ) | | | (1,040 | ) |
| | | (0.340 | ) | | | 11/08/2021 | | | | 02/07/2022 | | | | | | (13,379 | ) | | | (15,223 | ) |
| | | (0.340 | ) | | | 11/15/2021 | | | | 02/09/2022 | | | | | | (4,734 | ) | | | (5,387 | ) |
| | | (0.330 | ) | | | 10/19/2021 | | | | TBD | (3) | | | | | (476 | ) | | | (541 | ) |
| | | (0.320 | ) | | | 11/02/2021 | | | | 01/31/2022 | | | | | | (1,054 | ) | | | (1,199 | ) |
| | | (0.320 | ) | | | 11/05/2021 | | | | TBD | (3) | | | | | (9,231 | ) | | | (10,504 | ) |
| | | (0.300 | ) | | | 10/19/2021 | | | | 01/13/2022 | | | | | | (886 | ) | | | (1,008 | ) |
| | | (0.300 | ) | | | 10/19/2021 | | | | 01/14/2022 | | | | | | (7,454 | ) | | | (8,482 | ) |
| | | (0.300 | ) | | | 10/19/2021 | | | | 01/17/2022 | | | | | | (440 | ) | | | (501 | ) |
| | | (0.300 | ) | | | 11/05/2021 | | | | 01/19/2022 | | | | | | (751 | ) | | | (855 | ) |
| | | (0.300 | ) | | | 11/05/2021 | | | | 02/04/2022 | | | | | | (931 | ) | | | (1,059 | ) |
FOB | | | 0.250 | | | | 09/22/2020 | | | | TBD | (3) | | $ | | | (1,734 | ) | | | (1,739 | ) |
GLM | | | 0.784 | | | | 09/22/2021 | | | | 01/24/2022 | | | | | | (121,864 | ) | | | (122,137 | ) |
GSC | | | 0.620 | | | | 10/12/2021 | | | | 01/19/2022 | | | | | | (21,251 | ) | | | (21,281 | ) |
IND | | | (0.150 | ) | | | 10/07/2021 | | | | 01/13/2022 | | | EUR | | | (3,493 | ) | | | (3,976 | ) |
| | | 0.250 | | | | 12/21/2021 | | | | 03/21/2022 | | | $ | | | (13,306 | ) | | | (13,307 | ) |
| | | 0.250 | | | | 12/21/2021 | | | | 03/24/2022 | | | | | | (3,107 | ) | | | (3,108 | ) |
| | | 0.260 | | | | 12/21/2021 | | | | 03/17/2022 | | | | | | (14,322 | ) | | | (14,323 | ) |
| | | 0.260 | | | | 12/21/2021 | | | | 03/21/2022 | | | | | | (2,248 | ) | | | (2,248 | ) |
| | | 0.260 | | | | 12/21/2021 | | | | 03/24/2022 | | | | | | (3,872 | ) | | | (3,873 | ) |
| | | | | | |
| 78 | | PIMCO CLOSED-END FUNDS | | | See Accompanying Notes | |
| | | | | | | | |
| | | | | | December 31, 2021 | | (Unaudited) |
| | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Borrowing
Rate(2) | | | Settlement
Date | | | Maturity
Date | | | Amount
Borrowed(2) | | | Payable for
Reverse
Repurchase
Agreements | |
| | | 0.280 | % | | | 08/27/2021 | | | | 02/28/2022 | | | $ | | | (23,693 | ) | | $ | (23,716 | ) |
| | | 0.280 | | | | 09/02/2021 | | | | 03/02/2022 | | | | | | (2,989 | ) | | | (2,992 | ) |
| | | 0.280 | | | | 10/22/2021 | | | | 03/10/2022 | | | | | | (6,301 | ) | | | (6,305 | ) |
| | | 0.280 | | | | 12/28/2021 | | | | 02/28/2022 | | | | | | (901 | ) | | | (901 | ) |
| | | 0.290 | | | | 08/03/2021 | | | | 02/03/2022 | | | | | | (634 | ) | | | (634 | ) |
| | | 0.300 | | | | 06/09/2021 | | | | 03/09/2022 | | | | | | (561 | ) | | | (562 | ) |
| | | 0.300 | | | | 09/29/2021 | | | | 03/29/2022 | | | | | | (2,850 | ) | | | (2,852 | ) |
| | | 0.300 | | | | 10/21/2021 | | | | 03/09/2022 | | | | | | (809 | ) | | | (810 | ) |
| | | 0.310 | | | | 10/01/2021 | | | | 04/01/2022 | | | | | | (8,678 | ) | | | (8,685 | ) |
| | | 0.310 | | | | 10/06/2021 | | | | 04/06/2022 | | | | | | (963 | ) | | | (964 | ) |
| | | 0.310 | | | | 10/07/2021 | | | | 04/06/2022 | | | | | | (15,301 | ) | | | (15,313 | ) |
| | | 0.320 | | | | 10/21/2021 | | | | 04/14/2022 | | | | | | (204 | ) | | | (204 | ) |
| | | 0.330 | | | | 10/21/2021 | | | | 04/14/2022 | | | | | | (181 | ) | | | (181 | ) |
| | | 0.360 | | | | 12/21/2021 | | | | 03/24/2022 | | | | | | (13,893 | ) | | | (13,894 | ) |
| | | 0.360 | | | | 12/23/2021 | | | | 03/24/2022 | | | | | | (7,926 | ) | | | (7,927 | ) |
| | | 0.370 | | | | 12/21/2021 | | | | 03/17/2022 | | | | | | (6,393 | ) | | | (6,394 | ) |
| | | 0.370 | | | | 12/21/2021 | | | | 03/24/2022 | | | | | | (9,630 | ) | | | (9,631 | ) |
| | | 0.370 | | | | 12/23/2021 | | | | 03/24/2022 | | | | | | (18,663 | ) | | | (18,665 | ) |
| | | 0.410 | | | | 12/21/2021 | | | | 03/21/2022 | | | | | | (18,856 | ) | | | (18,859 | ) |
| | | 0.420 | | | | 08/02/2021 | | | | 02/02/2022 | | | | | | (632 | ) | | | (632 | ) |
| | | 0.420 | | | | 09/28/2021 | | | | 02/02/2022 | | | | | | (1,228 | ) | | | (1,230 | ) |
| | | 0.420 | | | | 09/30/2021 | | | | 02/03/2022 | | | | | | (1,852 | ) | | | (1,854 | ) |
| | | 0.420 | | | | 12/15/2021 | | | | 02/10/2022 | | | | | | (1,590 | ) | | | (1,591 | ) |
| | | 0.420 | | | | 12/17/2021 | | | | 02/07/2022 | | | | | | (10,082 | ) | | | (10,084 | ) |
| | | 0.420 | | | | 12/27/2021 | | | | 02/07/2022 | | | | | | (4,461 | ) | | | (4,462 | ) |
| | | 0.430 | | | | 08/02/2021 | | | | 02/02/2022 | | | | | | (1,831 | ) | | | (1,834 | ) |
| | | 0.430 | | | | 08/03/2021 | | | | 02/03/2022 | | | | | | (2,790 | ) | | | (2,795 | ) |
| | | 0.430 | | | | 08/31/2021 | | | | 03/01/2022 | | | | | | (2,390 | ) | | | (2,394 | ) |
| | | 0.430 | | | | 11/09/2021 | | | | 02/03/2022 | | | | | | (2,027 | ) | | | (2,031 | ) |
| | | 0.440 | | | | 08/02/2021 | | | | 02/02/2022 | | | | | | (1,171 | ) | | | (1,173 | ) |
| | | 0.440 | | | | 08/03/2021 | | | | 02/03/2022 | | | | | | (7,244 | ) | | | (7,257 | ) |
| | | 0.440 | | | | 08/06/2021 | | | | 02/07/2022 | | | | | | (172 | ) | | | (172 | ) |
| | | 0.440 | | | | 08/27/2021 | | | | 02/28/2022 | | | | | | (4,953 | ) | | | (4,961 | ) |
| | | 0.440 | | | | 11/03/2021 | | | | 02/02/2022 | | | | | | (529 | ) | | | (530 | ) |
| | | 0.440 | | | | 11/03/2021 | | | | 02/03/2022 | | | | | | (1,237 | ) | | | (1,239 | ) |
| | | 0.440 | | | | 12/21/2021 | | | | 03/17/2022 | | | | | | (1,498 | ) | | | (1,498 | ) |
| | | 0.450 | | | | 08/02/2021 | | | | 02/02/2022 | | | | | | (5,931 | ) | | | (5,943 | ) |
| | | 0.460 | | | | 08/06/2021 | | | | 02/07/2022 | | | | | | (2,294 | ) | | | (2,299 | ) |
| | | 0.480 | | | | 05/06/2021 | | | | 02/04/2022 | | | | | | (7,647 | ) | | | (7,672 | ) |
| | | 0.480 | | | | 12/22/2021 | | | | 02/04/2022 | | | | | | (4,126 | ) | | | (4,126 | ) |
JML | | | (5.000 | ) | | | 09/23/2021 | | | | TBD | (3) | | EUR | | | (472 | ) | | | (530 | ) |
| | | (5.000 | ) | | | 10/26/2021 | | | | TBD | (3) | | | | | (699 | ) | | | (788 | ) |
| | | (5.000 | ) | | | 10/29/2021 | | | | TBD | (3) | | | | | (1,137 | ) | | | (1,282 | ) |
| | | (4.000 | ) | | | 08/03/2021 | | | | TBD | (3) | | | | | (1,074 | ) | | | (1,209 | ) |
| | | (2.500 | ) | | | 10/21/2021 | | | | TBD | (3) | | | | | (349 | ) | | | (395 | ) |
| | | (1.500 | ) | | | 08/13/2021 | | | | TBD | (3) | | | | | (702 | ) | | | (797 | ) |
| | | (1.500 | ) | | | 09/23/2021 | | | | TBD | (3) | | | | | (2,509 | ) | | | (2,848 | ) |
| | | (0.800 | ) | | | 09/01/2021 | | | | TBD | (3) | | | | | (420 | ) | | | (477 | ) |
| | | (0.500 | ) | | | 09/01/2021 | | | | TBD | (3) | | | | | (3,769 | ) | | | (4,284 | ) |
| | | (0.500 | ) | | | 10/29/2021 | | | | 01/28/2022 | | | | | | (4,510 | ) | | | (5,130 | ) |
| | | (0.450 | ) | | | 11/16/2021 | | | | TBD | (3) | | | | | (378 | ) | | | (430 | ) |
| | | (0.420 | ) | | | 09/23/2021 | | | | TBD | (3) | | | | | (2,769 | ) | | | (3,149 | ) |
| | | (0.420 | ) | | | 10/29/2021 | | | | 01/28/2022 | | | | | | (93 | ) | | | (105 | ) |
| | | (0.400 | ) | | | 10/08/2021 | | | | TBD | (3) | | | | | (18,274 | ) | | | (20,786 | ) |
| | | (0.400 | ) | | | 10/29/2021 | | | | TBD | (3) | | | | | (1,830 | ) | | | (2,082 | ) |
| | | (0.400 | ) | | | 11/02/2021 | | | | TBD | (3) | | | | | (11,875 | ) | | | (13,510 | ) |
| | | (0.380 | ) | | | 10/08/2021 | | | | 01/14/2022 | | | | | | (39,985 | ) | | | (45,481 | ) |
| | | (0.380 | ) | | | 10/28/2021 | | | | 01/27/2022 | | | | | | (6,340 | ) | | | (7,213 | ) |
| | | (0.380 | ) | | | 11/03/2021 | | | | 01/28/2022 | | | | | | (1,271 | ) | | | (1,446 | ) |
| | | (0.380 | ) | | | 11/11/2021 | | | | 02/03/2022 | | | | | | (76,680 | ) | | | (87,251 | ) |
| | | (0.350 | ) | | | 10/25/2021 | | | | 01/13/2022 | | | | | | (3,978 | ) | | | (4,526 | ) |
| | | (0.350 | ) | | | 10/29/2021 | | | | 01/28/2022 | | | | | | (761 | ) | | | (866 | ) |
| | | (0.350 | ) | | | 12/09/2021 | | | | TBD | (3) | | | | | (3,982 | ) | | | (4,532 | ) |
| | | (0.340 | ) | | | 12/09/2021 | | | | TBD | (3) | | | | | (1,789 | ) | | | (2,036 | ) |
| | | (0.300 | ) | | | 10/06/2021 | | | | 01/14/2022 | | | | | | (3,718 | ) | | | (4,230 | ) |
| | | (0.300 | ) | | | 10/14/2021 | | | | 01/17/2022 | | | | | | (3,667 | ) | | | (4,172 | ) |
| | | (0.300 | ) | | | 11/15/2021 | | | | 02/09/2022 | | | | | | (1,916 | ) | | | (2,180 | ) |
| | | (0.250 | ) | | | 12/17/2021 | | | | 01/18/2022 | | | | | | (891 | ) | | | (1,014 | ) |
| | | (0.250 | ) | | | 12/23/2021 | | | | 01/20/2022 | | | $ | | | (971 | ) | | | (971 | ) |
| | | 0.083 | | | | 11/16/2021 | | | | 02/11/2022 | | | EUR | | | (2,268 | ) | | | (2,583 | ) |
| | | | | | | | | | | | |
| See Accompanying Notes | | | SEMIANNUAL REPORT | | | | | | | DECEMBER 31, 2021 | | | 79 |
| | | | | | | | |
| Consolidated Schedule of Investments | | PIMCO Dynamic Income Fund | | (Cont.) | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Borrowing
Rate(2) | | | Settlement
Date | | | Maturity
Date | | | Amount
Borrowed(2) | | | Payable for
Reverse
Repurchase
Agreements | |
| | | 0.250 | % | | | 12/07/2021 | | | | 01/19/2022 | | | $ | | | (1,014 | ) | | $ | (1,014 | ) |
| | | 0.300 | | | | 10/06/2021 | | | | 01/19/2022 | | | | | | (1,692 | ) | | | (1,693 | ) |
| | | 0.320 | | | | 12/09/2021 | | | | 03/09/2022 | | | GBP | | | (1,736 | ) | | | (2,351 | ) |
| | | 0.350 | | | | 10/14/2021 | | | | 01/17/2022 | | | | | | (7,111 | ) | | | (9,632 | ) |
| | | 0.350 | | | | 10/19/2021 | | | | 01/18/2022 | | | | | | (5,742 | ) | | | (7,777 | ) |
| | | 0.350 | | | | 10/26/2021 | | | | 01/13/2022 | | | $ | | | (5,972 | ) | | | (5,976 | ) |
| | | 0.350 | | | | 11/15/2021 | | | | 02/09/2022 | | | GBP | | | (110 | ) | | | (149 | ) |
| | | 0.380 | | | | 12/01/2021 | | | | 03/01/2022 | | | | | | (608 | ) | | | (823 | ) |
| | | 0.400 | | | | 10/08/2021 | | | | 01/13/2022 | | | $ | | | (44,299 | ) | | | (44,342 | ) |
| | | 0.400 | | | | 11/02/2021 | | | | TBD | (3) | | GBP | | | (1,001 | ) | | | (1,356 | ) |
| | | 0.400 | | | | 12/07/2021 | | | | 01/19/2022 | | | $ | | | (15,879 | ) | | | (15,884 | ) |
| | | 0.400 | | | | 12/15/2021 | | | | 01/13/2022 | | | | | | (732 | ) | | | (732 | ) |
| | | 0.500 | | | | 11/12/2021 | | | | 01/24/2022 | | | | | | (5,796 | ) | | | (5,800 | ) |
| | | 0.984 | | | | 11/02/2021 | | | | 01/28/2022 | | | GBP | | | (6,035 | ) | | | (8,182 | ) |
| | | 1.084 | | | | 11/02/2021 | | | | 01/28/2022 | | | | | | (6,996 | ) | | | (9,487 | ) |
| | | 1.134 | | | | 11/02/2021 | | | | 01/28/2022 | | | | | | (2,112 | ) | | | (2,864 | ) |
MBC | | | 0.800 | | | | 11/02/2021 | | | | 01/28/2022 | | | | | | (11,424 | ) | | | (15,483 | ) |
| | | 0.805 | | | | 08/24/2021 | | | | 02/24/2022 | | | $ | | | (9,689 | ) | | | (9,718 | ) |
| | | 0.900 | | | | 11/02/2021 | | | | 01/28/2022 | | | GBP | | | (7,619 | ) | | | (10,328 | ) |
MEI | | | 0.500 | | | | 12/23/2021 | | | | 12/23/2023 | | | | | | (2,777 | ) | | | (2,777 | ) |
| | | 0.759 | | | | 12/14/2021 | | | | 02/15/2022 | | | GBP | | | (814 | ) | | | (1,102 | ) |
MSB | | | 0.625 | | | | 11/29/2021 | | | | 03/01/2022 | | | $ | | | (3,666 | ) | | | (3,668 | ) |
| | | 0.803 | | | | 09/22/2021 | | | | 03/22/2022 | | | | | | (24,965 | ) | | | (25,022 | ) |
| | | 0.950 | | | | 06/03/2021 | | | | 01/14/2022 | | | | | | (13,584 | ) | | | (13,661 | ) |
NOM | | | 0.250 | | | | 06/24/2021 | | | | TBD | (3) | | | | | (409 | ) | | | (410 | ) |
| | | 0.250 | | | | 12/09/2021 | | | | TBD | (3) | | | | | (185 | ) | | | (185 | ) |
| | | 0.300 | | | | 07/16/2021 | | | | TBD | (3) | | | | | (3,287 | ) | | | (3,292 | ) |
| | | 0.350 | | | | 08/04/2020 | | | | TBD | (3) | | | | | (725 | ) | | | (728 | ) |
| | | 0.380 | | | | 10/04/2021 | | | | TBD | (3) | | | | | (4,459 | ) | | | (4,463 | ) |
| | | 0.380 | | | | 10/22/2021 | | | | TBD | (3) | | | | | (10,178 | ) | | | (10,186 | ) |
| | | 0.430 | | | | 12/09/2021 | | | | TBD | (3) | | | | | (990 | ) | | | (991 | ) |
| | | 0.450 | | | | 12/15/2021 | | | | 01/14/2022 | | | | | | (6,334 | ) | | | (6,335 | ) |
| | | 0.470 | | | | 08/05/2021 | | | | TBD | (3) | | | | | (5,436 | ) | | | (5,446 | ) |
RCE | | | (2.100 | ) | | | 10/26/2021 | | | | TBD | (3) | | EUR | | | (2,348 | ) | | | (2,662 | ) |
| | | (1.000 | ) | | | 10/26/2021 | | | | TBD | (3) | | | | | (503 | ) | | | (571 | ) |
| | | (0.450 | ) | | | 10/26/2021 | | | | TBD | (3) | | | | | (7,532 | ) | | | (8,568 | ) |
| | | (0.350 | ) | | | 11/15/2021 | | | | TBD | (3) | | | | | (1,634 | ) | | | (1,859 | ) |
| | | (0.300 | ) | | | 08/13/2021 | | | | TBD | (3) | | | | | (2,569 | ) | | | (2,918 | ) |
| | | (0.300 | ) | | | 11/08/2021 | | | | 02/07/2022 | | | | | | (7,401 | ) | | | (8,422 | ) |
| | | (0.250 | ) | | | 11/15/2021 | | | | 02/09/2022 | | | | | | (2,918 | ) | | | (3,321 | ) |
| | | 0.087 | | | | 11/16/2021 | | | | 02/11/2022 | | | | | | (9,423 | ) | | | (10,730 | ) |
| | | 0.430 | | | | 11/15/2021 | | | | 02/09/2022 | | | GBP | | | (1,574 | ) | | | (2,132 | ) |
RDR | | | (0.700 | ) | | | 11/08/2021 | | | | TBD | (3) | | $ | | | (10,262 | ) | | | (10,251 | ) |
| | | 0.270 | | | | 09/20/2021 | | | | 01/20/2022 | | | | | | (3,061 | ) | | | (3,064 | ) |
| | | 0.270 | | | | 09/21/2021 | | | | 01/20/2022 | | | | | | (1,917 | ) | | | (1,919 | ) |
| | | 0.270 | | | | 09/22/2021 | | | | 01/20/2022 | | | | | | (471 | ) | | | (472 | ) |
| | | 0.270 | | | | 09/23/2021 | | | | 01/20/2022 | | | | | | (16,099 | ) | | | (16,111 | ) |
| | | 0.270 | | | | 09/24/2021 | | | | 01/20/2022 | | | | | | (304 | ) | | | (304 | ) |
| | | 0.270 | | | | 09/28/2021 | | | | 01/20/2022 | | | | | | (178 | ) | | | (178 | ) |
| | | 0.270 | | | | 10/12/2021 | | | | 01/20/2022 | | | | | | (10,261 | ) | | | (10,269 | ) |
| | | 0.270 | | | | 10/21/2021 | | | | 01/20/2022 | | | | | | (60 | ) | | | (60 | ) |
| | | 0.270 | | | | 10/22/2021 | | | | 01/20/2022 | | | | | | (3,321 | ) | | | (3,323 | ) |
| | | 0.270 | | | | 12/21/2021 | | | | 01/20/2022 | | | | | | (8,136 | ) | | | (8,137 | ) |
| | | 0.300 | | | | 12/01/2021 | | | | 01/20/2022 | | | | | | (1,080 | ) | | | (1,080 | ) |
RTA | | | 0.454 | | | | 11/10/2021 | | | | 01/31/2022 | | | | | | (15,209 | ) | | | (15,220 | ) |
| | | 0.454 | | | | 12/23/2021 | | | | 01/31/2022 | | | | | | (213 | ) | | | (213 | ) |
| | | 0.480 | | | | 08/03/2021 | | | | 02/03/2022 | | | | | | (2,127 | ) | | | (2,131 | ) |
| | | 0.487 | | | | 09/03/2021 | | | | 03/03/2022 | | | | | | (9,089 | ) | | | (9,104 | ) |
| | | 0.607 | | | | 10/01/2021 | | | | 04/01/2022 | | | | | | (6,561 | ) | | | (6,571 | ) |
SBI | | | 0.805 | | | | 09/01/2021 | | | | 03/01/2022 | | | | | | (53,100 | ) | | | (53,247 | ) |
| | | 0.808 | | | | 08/27/2021 | | | | 02/28/2022 | | | | | | (9,415 | ) | | | (9,442 | ) |
| | | 0.937 | | | | 05/25/2021 | | | | 02/22/2022 | | | | | | (11,936 | ) | | | (12,006 | ) |
| | | 0.937 | | | | 10/20/2021 | | | | 02/22/2022 | | | | | | (9,452 | ) | | | (9,507 | ) |
| | | 0.937 | | | | 10/22/2021 | | | | 02/22/2022 | | | | | | (13,397 | ) | | | (13,475 | ) |
SCX | | | (0.440 | ) | | | 10/19/2021 | | | | 01/19/2022 | | | EUR | | | (9,592 | ) | | | (10,910 | ) |
| | | (0.420 | ) | | | 11/16/2021 | | | | 02/11/2022 | | | | | | (1,984 | ) | | | (2,257 | ) |
| | | (0.320 | ) | | | 10/19/2021 | | | | 01/19/2022 | | | | | | (996 | ) | | | (1,133 | ) |
| | | (0.320 | ) | | | 11/04/2021 | | | | 01/19/2022 | | | | | | (1,517 | ) | | | (1,726 | ) |
| | | (0.320 | ) | | | 11/16/2021 | | | | 02/11/2022 | | | | | | (8,603 | ) | | | (9,791 | ) |
| | | (0.310 | ) | | | 11/15/2021 | | | | 02/09/2022 | | | | | | (2,792 | ) | | | (3,177 | ) |
| | | | | | |
| 80 | | PIMCO CLOSED-END FUNDS | | | See Accompanying Notes | |
| | | | | | | | |
| | | | | | December 31, 2021 | | (Unaudited) |
| | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Borrowing
Rate(2) | | | Settlement
Date | | | Maturity
Date | | | Amount
Borrowed(2) | | | Payable for
Reverse
Repurchase
Agreements | |
SGY | | | 0.240 | % | | | 12/08/2021 | | | | TBD | (3) | | $ | | | (1,261 | ) | | $ | (1,261 | ) |
| | | 0.340 | | | | 12/08/2021 | | | | TBD | (3) | | | | | (515 | ) | | | (515 | ) |
| | | 0.350 | | | | 12/23/2021 | | | | 10/20/2023 | | | | | | (11,689 | ) | | | (11,688 | ) |
| | | 0.500 | | | | 12/23/2021 | | | | 01/07/2022 | | | | | | (430 | ) | | | (430 | ) |
| | | 0.500 | | | | 12/23/2021 | | | | 03/23/2022 | | | | | | (1,022 | ) | | | (1,022 | ) |
| | | 0.500 | | | | 12/23/2021 | | | | 04/19/2022 | | | | | | (541 | ) | | | (541 | ) |
SOG | | | 0.240 | | | | 11/16/2021 | | | | TBD | (3) | | | | | (574 | ) | | | (574 | ) |
| | | 0.240 | | | | 11/19/2021 | | | | TBD | (3) | | | | | (1,721 | ) | | | (1,721 | ) |
| | | 0.340 | | | | 08/24/2021 | | | | TBD | (3) | | | | | (3,344 | ) | | | (3,348 | ) |
| | | 0.350 | | | | 10/22/2021 | | | | TBD | (3) | | | | | (28,973 | ) | | | (28,994 | ) |
| | | 0.350 | | | | 11/26/2021 | | | | TBD | (3) | | | | | (3,874 | ) | | | (3,876 | ) |
| | | 0.400 | | | | 08/30/2021 | | | | 03/01/2022 | | | | | | (149 | ) | | | (149 | ) |
| | | 0.400 | | | | 10/06/2021 | | | | 03/01/2022 | | | | | | (217 | ) | | | (217 | ) |
| | | 0.400 | | | | 10/19/2021 | | | | 03/01/2022 | | | | | | (3,084 | ) | | | (3,089 | ) |
| | | 0.440 | | | | 11/08/2021 | | | | 02/08/2022 | | | | | | (12,943 | ) | | | (12,952 | ) |
| | | 0.440 | | | | 11/26/2021 | | | | 02/08/2022 | | | | | | (2,649 | ) | | | (2,651 | ) |
| | | 0.450 | | | | 12/21/2021 | | | | 02/07/2022 | | | | | | (882 | ) | | | (883 | ) |
| | | 0.470 | | | | 10/12/2021 | | | | 01/13/2022 | | | | | | (6,032 | ) | | | (6,039 | ) |
| | | 0.500 | | | | 07/15/2021 | | | | 01/14/2022 | | | | | | (8,464 | ) | | | (8,484 | ) |
| | | 0.500 | | | | 07/16/2021 | | | | 01/14/2022 | | | | | | (4,774 | ) | | | (4,785 | ) |
| | | 0.500 | | | | 07/16/2021 | | | | 01/18/2022 | | | | | | (787 | ) | | | (789 | ) |
| | | 0.500 | | | | 07/19/2021 | | | | 01/19/2022 | | | | | | (5,390 | ) | | | (5,403 | ) |
| | | 0.500 | | | | 07/20/2021 | | | | 01/20/2022 | | | | | | (683 | ) | | | (684 | ) |
| | | 0.500 | | | | 07/21/2021 | | | | 01/21/2022 | | | | | | (4,438 | ) | | | (4,448 | ) |
| | | 0.500 | | | | 07/27/2021 | | | | 01/20/2022 | | | | | | (678 | ) | | | (679 | ) |
| | | 0.500 | | | | 08/12/2021 | | | | 01/20/2022 | | | | | | (7,058 | ) | | | (7,072 | ) |
| | | 0.500 | | | | 08/20/2021 | | | | 02/22/2022 | | | | | | (3,288 | ) | | | (3,294 | ) |
| | | 0.500 | | | | 09/01/2021 | | | | 03/01/2022 | | | | | | (14,278 | ) | | | (14,302 | ) |
| | | 0.500 | | | | 09/02/2021 | | | | 03/02/2022 | | | | | | (14,827 | ) | | | (14,853 | ) |
| | | 0.500 | | | | 09/03/2021 | | | | 03/03/2022 | | | | | | (5,536 | ) | | | (5,545 | ) |
| | | 0.500 | | | | 09/07/2021 | | | | 03/07/2022 | | | | | | (23,193 | ) | | | (23,231 | ) |
| | | 0.500 | | | | 09/09/2021 | | | | 03/02/2022 | | | | | | (3,792 | ) | | | (3,799 | ) |
| | | 0.500 | | | | 09/13/2021 | | | | 03/15/2022 | | | | | | (2,266 | ) | | | (2,269 | ) |
| | | 0.500 | | | | 09/16/2021 | | | | 03/16/2022 | | | | | | (24,324 | ) | | | (24,361 | ) |
| | | 0.500 | | | | 09/17/2021 | | | | 03/17/2022 | | | | | | (11,337 | ) | | | (11,354 | ) |
| | | 0.500 | | | | 09/22/2021 | | | | 03/23/2022 | | | | | | (4,551 | ) | | | (4,557 | ) |
| | | 0.500 | | | | 09/23/2021 | | | | 03/23/2022 | | | | | | (11,509 | ) | | | (11,526 | ) |
| | | 0.500 | | | | 09/27/2021 | | | | 03/23/2022 | | | | | | (412 | ) | | | (412 | ) |
| | | 0.500 | | | | 09/28/2021 | | | | 03/16/2022 | | | | | | (921 | ) | | | (922 | ) |
| | | 0.500 | | | | 09/28/2021 | | | | 03/28/2022 | | | | | | (7,053 | ) | | | (7,062 | ) |
| | | 0.500 | | | | 09/30/2021 | | | | 03/16/2022 | | | | | | (1,670 | ) | | | (1,672 | ) |
| | | 0.500 | | | | 10/01/2021 | | | | 04/01/2022 | | | | | | (8,520 | ) | | | (8,531 | ) |
| | | 0.500 | | | | 10/04/2021 | | | | 04/01/2022 | | | | | | (1,075 | ) | | | (1,076 | ) |
| | | 0.500 | | | | 10/07/2021 | | | | 04/07/2022 | | | | | | (9,478 | ) | | | (9,489 | ) |
| | | 0.500 | | | | 10/12/2021 | | | | 01/14/2022 | | | | | | (91 | ) | | | (91 | ) |
| | | 0.500 | | | | 10/13/2021 | | | | 04/13/2022 | | | | | | (28,620 | ) | | | (28,653 | ) |
| | | 0.500 | | | | 10/14/2021 | | | | 04/13/2022 | | | | | | (10,640 | ) | | | (10,653 | ) |
| | | 0.500 | | | | 10/19/2021 | | | | 04/19/2022 | | | | | | (35,200 | ) | | | (35,237 | ) |
| | | 0.500 | | | | 10/20/2021 | | | | 04/19/2022 | | | | | | (160 | ) | | | (160 | ) |
| | | 0.500 | | | | 10/21/2021 | | | | 04/21/2022 | | | | | | (3,357 | ) | | | (3,360 | ) |
| | | 0.500 | | | | 10/22/2021 | | | | 01/21/2022 | | | | | | (16,068 | ) | | | (16,105 | ) |
| | | 0.500 | | | | 10/22/2021 | | | | 03/23/2022 | | | | | | (9,534 | ) | | | (9,547 | ) |
| | | 0.500 | | | | 10/22/2021 | | | | 03/28/2022 | | | | | | (2,388 | ) | | | (2,391 | ) |
| | | 0.500 | | | | 10/29/2021 | | | | 04/19/2022 | | | | | | (1,588 | ) | | | (1,590 | ) |
| | | 0.500 | | | | 11/03/2021 | | | | 01/19/2022 | | | | | | (884 | ) | | | (886 | ) |
| | | 0.500 | | | | 11/12/2021 | | | | 03/16/2022 | | | | | | (1,112 | ) | | | (1,114 | ) |
| | | 0.500 | | | | 11/16/2021 | | | | 05/16/2022 | | | | | | (7,271 | ) | | | (7,276 | ) |
| | | 0.500 | | | | 11/26/2021 | | | | 03/17/2022 | | | | | | (3,691 | ) | | | (3,693 | ) |
| | | 0.500 | | | | 12/14/2021 | | | | 04/19/2022 | | | | | | (10,787 | ) | | | (10,790 | ) |
| | | 0.500 | | | | 12/20/2021 | | | | 01/21/2022 | | | | | | (1,194 | ) | | | (1,194 | ) |
| | | 0.500 | | | | 12/20/2021 | | | | 05/16/2022 | | | | | | (1,199 | ) | | | (1,199 | ) |
| | | 0.500 | | | | 12/23/2021 | | | | 01/11/2022 | | | | | | (450 | ) | | | (450 | ) |
| | | 0.520 | | | | 10/19/2021 | | | | 04/19/2022 | | | | | | (993 | ) | | | (994 | ) |
| | | 0.550 | | | | 06/02/2021 | | | | 03/02/2022 | | | | | | (2,200 | ) | | | (2,207 | ) |
| | | 0.550 | | | | 06/07/2021 | | | | 03/07/2022 | | | | | | (1,273 | ) | | | (1,277 | ) |
| | | 0.550 | | | | 06/09/2021 | | | | 03/02/2022 | | | | | | (489 | ) | | | (491 | ) |
| | | 0.550 | | | | 06/24/2021 | | | | 03/02/2022 | | | | | | (355 | ) | | | (356 | ) |
| | | 0.550 | | | | 07/09/2021 | | | | 03/07/2022 | | | | | | (5,806 | ) | | | (5,825 | ) |
| | | 0.550 | | | | 07/12/2021 | | | | 03/14/2022 | | | | | | (1,866 | ) | | | (1,871 | ) |
| | | 0.550 | | | | 07/27/2021 | | | | 04/27/2022 | | | | | | (2,854 | ) | | | (2,861 | ) |
| | | | | | | | | | | | |
| See Accompanying Notes | | | SEMIANNUAL REPORT | | | | | | | DECEMBER 31, 2021 | | | 81 |
| | | | | | | | |
| Consolidated Schedule of Investments | | PIMCO Dynamic Income Fund | | (Cont.) | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Borrowing
Rate(2) | | | Settlement
Date | | | Maturity
Date | | | Amount
Borrowed(2) | | | Payable for
Reverse
Repurchase
Agreements | |
| | | 0.550 | % | | | 08/04/2021 | | | | 05/04/2022 | | | $ | | | (11,353 | ) | | $ | (11,380 | ) |
| | | 0.550 | | | | 08/05/2021 | | | | 05/04/2022 | | | | | | (360 | ) | | | (361 | ) |
| | | 0.550 | | | | 08/31/2021 | | | | 04/27/2022 | | | | | | (2,140 | ) | | | (2,144 | ) |
| | | 0.550 | | | | 09/27/2021 | | | | 04/27/2022 | | | | | | (888 | ) | | | (890 | ) |
| | | 0.550 | | | | 09/30/2021 | | | | 03/07/2022 | | | | | | (4,505 | ) | | | (4,519 | ) |
| | | 0.550 | | | | 09/30/2021 | | | | 05/04/2022 | | | | | | (25,731 | ) | | | (25,783 | ) |
| | | 0.550 | | | | 10/01/2021 | | | | 04/27/2022 | | | | | | (32,700 | ) | | | (32,759 | ) |
| | | 0.550 | | | | 10/21/2021 | | | | 05/04/2022 | | | | | | (4,406 | ) | | | (4,411 | ) |
| | | 0.550 | | | | 10/26/2021 | | | | 04/27/2022 | | | | | | (1,828 | ) | | | (1,832 | ) |
| | | 0.550 | | | | 11/04/2021 | | | | 04/27/2022 | | | | | | (319 | ) | | | (320 | ) |
| | | 0.550 | | | | 12/14/2021 | | | | 03/02/2022 | | | | | | (13,536 | ) | | | (13,540 | ) |
| | | 0.550 | | | | 12/21/2021 | | | | 04/27/2022 | | | | | | (4,108 | ) | | | (4,109 | ) |
| | | 0.550 | | | | 12/23/2021 | | | | 04/27/2022 | | | | | | (1,778 | ) | | | (1,779 | ) |
| | | 0.763 | | | | 07/08/2021 | | | | 01/13/2022 | | | | | | (33,516 | ) | | | (33,644 | ) |
| | | 0.808 | | | | 08/27/2021 | | | | 02/25/2022 | | | | | | (11,836 | ) | | | (11,870 | ) |
| | | 0.853 | | | | 08/03/2021 | | | | 02/03/2022 | | | | | | (71,007 | ) | | | (71,264 | ) |
| | | 0.856 | | | | 08/19/2021 | | | | 02/18/2022 | | | | | | (26,608 | ) | | | (26,695 | ) |
| | | 0.857 | | | | 08/13/2021 | | | | 02/16/2022 | | | | | | (3,581 | ) | | | (3,593 | ) |
| | | 0.888 | | | | 12/14/2021 | | | | 06/16/2022 | | | | | | (2,209 | ) | | | (2,210 | ) |
| | | 0.938 | | | | 12/14/2021 | | | | 06/16/2022 | | | | | | (15,450 | ) | | | (15,458 | ) |
TDM | | | 0.250 | | | | 12/07/2021 | | | | TBD | (3) | | | | | (147 | ) | | | (147 | ) |
| | | 0.250 | | | | 12/16/2021 | | | | TBD | (3) | | | | | (18,540 | ) | | | (18,543 | ) |
| | | 0.300 | | | | 08/27/2021 | | | | TBD | (3) | | | | | (91 | ) | | | (91 | ) |
| | | 0.350 | | | | 08/27/2021 | | | | TBD | (3) | | | | | (274 | ) | | | (274 | ) |
UBS | | | (0.048 | ) | | | 10/27/2021 | | | | 01/25/2022 | | | EUR | | | (3,162 | ) | | | (3,599 | ) |
| | | (0.022 | ) | | | 12/01/2021 | | | | 03/01/2022 | | | | | | (2,697 | ) | | | (3,071 | ) |
| | | 0.037 | | | | 11/16/2021 | | | | 02/11/2022 | | | EUR | | | (10,515 | ) | | | (11,972 | ) |
| | | 0.142 | | | | 11/19/2021 | | | | 02/17/2022 | | | | | | (5,621 | ) | | | (6,401 | ) |
| | | 0.280 | | | | 11/04/2021 | | | | TBD | (3) | | $ | | | (385 | ) | | | (385 | ) |
| | | 0.350 | | | | 08/13/2021 | | | | TBD | (3) | | | | | (2,946 | ) | | | (2,950 | ) |
| | | 0.350 | | | | 08/18/2021 | | | | TBD | (3) | | | | | (9,273 | ) | | | (9,285 | ) |
| | | 0.350 | | | | 08/19/2021 | | | | TBD | (3) | | | | | (3,743 | ) | | | (3,748 | ) |
| | | 0.350 | | | | 08/24/2021 | | | | TBD | (3) | | | | | (21,591 | ) | | | (21,619 | ) |
| | | 0.350 | | | | 08/26/2021 | | | | TBD | (3) | | | | | (800 | ) | | | (801 | ) |
| | | 0.350 | | | | 08/30/2021 | | | | TBD | (3) | | | | | (1,648 | ) | | | (1,650 | ) |
| | | 0.350 | | | | 08/30/2021 | | | | TBD | (3) | | | | | (5,295 | ) | | | (5,301 | ) |
| | | 0.350 | | | | 09/01/2021 | | | | TBD | (3) | | | | | (941 | ) | | | (942 | ) |
| | | 0.350 | | | | 09/02/2021 | | | | TBD | (3) | | | | | (1,169 | ) | | | (1,171 | ) |
| | | 0.350 | | | | 09/03/2021 | | | | TBD | (3) | | | | | (12,279 | ) | | | (12,293 | ) |
| | | 0.350 | | | | 09/20/2021 | | | | TBD | (3) | | | | | (4,337 | ) | | | (4,342 | ) |
| | | 0.350 | | | | 09/21/2021 | | | | TBD | (3) | | | | | (6,903 | ) | | | (6,910 | ) |
| | | 0.350 | | | | 09/23/2021 | | | | TBD | (3) | | | | | (186 | ) | | | (187 | ) |
| | | 0.350 | | | | 09/30/2021 | | | | TBD | (3) | | | | | (7,554 | ) | | | (7,561 | ) |
| | | 0.350 | | | | 09/30/2021 | | | | TBD | (3) | | | | | (663 | ) | | | (664 | ) |
| | | 0.350 | | | | 10/01/2021 | | | | TBD | (3) | | | | | (3,531 | ) | | | (3,534 | ) |
| | | 0.350 | | | | 10/05/2021 | | | | TBD | (3) | | | | | (5,749 | ) | | | (5,754 | ) |
| | | 0.350 | | | | 10/21/2021 | | | | TBD | (3) | | | | | (186 | ) | | | (186 | ) |
| | | 0.350 | | | | 10/22/2021 | | | | TBD | (3) | | | | | (1,925 | ) | | | (1,926 | ) |
| | | 0.350 | | | | 10/28/2021 | | | | TBD | (3) | | | | | (10,261 | ) | | | (10,267 | ) |
| | | 0.350 | | | | 11/04/2021 | | | | TBD | (3) | | GBP | | | (1,881 | ) | | | (2,547 | ) |
| | | 0.350 | | | | 11/23/2021 | | | | TBD | (3) | | $ | | | (930 | ) | | | (931 | ) |
| | | 0.350 | | | | 11/26/2021 | | | | TBD | (3) | | | | | (575 | ) | | | (576 | ) |
| | | 0.350 | | | | 12/01/2021 | | | | TBD | (3) | | | | | (307 | ) | | | (307 | ) |
| | | 0.350 | | | | 12/08/2021 | | | | TBD | (3) | | | | | (2,207 | ) | | | (2,207 | ) |
| | | 0.350 | | | | 12/23/2021 | | | | 12/23/2023 | | | | | | (1,165 | ) | | | (1,164 | ) |
| | | 0.350 | | | | 12/23/2021 | | | | 01/06/2024 | | | | | | (884 | ) | | | (884 | ) |
| | | 0.400 | | | | 12/01/2021 | | | | TBD | (3) | | | | | (5,131 | ) | | | (5,133 | ) |
| | | 0.400 | | | | 12/10/2021 | | | | TBD | (3) | | | | | (21,882 | ) | | | (21,888 | ) |
| | | 0.400 | | | | 12/23/2021 | | | | 01/06/2024 | | | | | | (1,238 | ) | | | (1,238 | ) |
| | | 0.420 | | | | 10/13/2021 | | | | 01/14/2022 | | | | | | (29,716 | ) | | | (29,745 | ) |
| | | 0.420 | | | | 10/14/2021 | | | | 01/14/2022 | | | | | | (15,730 | ) | | | (15,745 | ) |
| | | 0.420 | | | | 12/23/2021 | | | | 01/14/2022 | | | | | | (825 | ) | | | (825 | ) |
| | | 0.430 | | | | 10/19/2021 | | | | 01/18/2022 | | | | | | (36,000 | ) | | | (36,033 | ) |
| | | 0.430 | | | | 11/04/2021 | | | | 01/05/2022 | | | | | | (12,411 | ) | | | (12,420 | ) |
| | | 0.430 | | | | 12/23/2021 | | | | 01/18/2022 | | | | | | (82 | ) | | | (82 | ) |
| | | 0.450 | | | | 11/30/2021 | | | | 01/28/2022 | | | | | | (18,963 | ) | | | (18,971 | ) |
| | | 0.450 | | | | 12/23/2021 | | | | 01/28/2022 | | | | | | (5,554 | ) | | | (5,553 | ) |
| | | 0.450 | | | | 12/27/2021 | | | | 01/28/2022 | | | | | | (2,526 | ) | | | (2,527 | ) |
| | | 0.500 | | | | 07/08/2021 | | | | 01/04/2022 | | | | | | (181 | ) | | | (181 | ) |
| | | 0.500 | | | | 07/12/2021 | | | | 01/10/2022 | | | | | | (13,449 | ) | | | (13,482 | ) |
| | | | | | |
| 82 | | PIMCO CLOSED-END FUNDS | | | See Accompanying Notes | |
| | | | | | | | |
| | | | | | December 31, 2021 | | (Unaudited) |
| | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Borrowing
Rate(2) | | | Settlement
Date | | | Maturity
Date | | | Amount
Borrowed(2) | | | Payable for
Reverse
Repurchase
Agreements | |
| | | 0.500 | % | | | 07/13/2021 | | | | 01/11/2022 | | | $ | | | (1,020 | ) | | $ | (1,022 | ) |
| | | 0.500 | | | | 07/14/2021 | | | | 01/12/2022 | | | | | | (25,280 | ) | | | (25,341 | ) |
| | | 0.500 | | | | 07/16/2021 | | | | 01/14/2022 | | | | | | (2,356 | ) | | | (2,362 | ) |
| | | 0.500 | | | | 09/30/2021 | | | | 01/14/2022 | | | | | | (3,239 | ) | | | (3,243 | ) |
| | | 0.500 | | | | 12/23/2021 | | | | 01/10/2022 | | | | | | (1,743 | ) | | | (1,743 | ) |
| | | 0.510 | | | | 06/14/2021 | | | | 01/10/2022 | | | | | | (1,261 | ) | | | (1,264 | ) |
| | | 0.510 | | | | 06/15/2021 | | | | 01/18/2022 | | | | | | (2,406 | ) | | | (2,413 | ) |
| | | 0.510 | | | | 08/23/2021 | | | | 01/18/2022 | | | | | | (367 | ) | | | (368 | ) |
| | | 0.751 | | | | 11/10/2021 | | | | 02/02/2022 | | | GBP | | | (2,616 | ) | | | (3,544 | ) |
| | | 0.798 | | | | 09/07/2021 | | | | 03/07/2022 | | | $ | | | (30,808 | ) | | | (30,889 | ) |
| | | 0.802 | | | | 09/03/2021 | | | | 03/03/2022 | | | | | | (14,562 | ) | | | (14,601 | ) |
| | | 0.806 | | | | 10/08/2021 | | | | 04/08/2022 | | | | | | (24,855 | ) | | | (24,903 | ) |
| | | 0.852 | | | | 07/20/2021 | | | | 01/20/2022 | | | | | | (66,511 | ) | | | (66,774 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
Total Reverse Repurchase Agreements | | | | | | | | | | | | | $ | (3,897,752 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY
The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral pledged/(received) as of December 31, 2021:
| | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Repurchase
Agreement
Proceeds
to be
Received(1) | | | Payable for
Reverse
Repurchase
Agreements | | | Payable for
Sale-Buyback
Transactions | | | Total
Borrowings and
Other Financing
Transactions | | | Collateral
Pledged/(Received) | | | Net Exposure(4) | |
Global/Master Repurchase Agreement | |
BCY | | $ | 0 | | | $ | (12,594 | ) | | $ | 0 | | | $ | (12,594 | ) | | $ | 0 | | | $ | (12,594 | ) |
BNY | | | 0 | | | | (206,048 | ) | | | 0 | | | | (206,048 | ) | | | 261,416 | | | | 55,368 | |
BOM | | | 0 | | | | (14,509 | ) | | | 0 | | | | (14,509 | ) | | | 18,177 | | | | 3,668 | |
BOS | | | 0 | | | | (14,394 | ) | | | 0 | | | | (14,394 | ) | | | 18,748 | | | | 4,354 | |
BPS | | | 0 | | | | (377,592 | ) | | | 0 | | | | (377,592 | ) | | | 450,733 | | | | 73,141 | |
BRC | | | 0 | | | | (509,222 | ) | | | 0 | | | | (509,222 | ) | | | 638,622 | | | | 129,400 | |
BYR | | | 0 | | | | (55,468 | ) | | | 0 | | | | (55,468 | ) | | | 67,954 | | | | 12,486 | |
CDC | | | 0 | | | | (173,420 | ) | | | 0 | | | | (173,420 | ) | | | 193,174 | | | | 19,754 | |
CEW | | | 0 | | | | (172,222 | ) | | | 0 | | | | (172,222 | ) | | | 214,464 | | | | 42,242 | |
CIB | | | 0 | | | | (28,323 | ) | | | 0 | | | | (28,323 | ) | | | 32,154 | | | | 3,831 | |
DBL | | | 0 | | | | (52,420 | ) | | | 0 | | | | (52,420 | ) | | | 57,565 | | | | 5,145 | |
FOB | | | 0 | | | | (1,739 | ) | | | 0 | | | | (1,739 | ) | | | 1,847 | | | | 108 | |
GLM | | | 0 | | | | (122,137 | ) | | | 0 | | | | (122,137 | ) | | | 155,487 | | | | 33,350 | |
GSC | | | 0 | | | | (21,281 | ) | | | 0 | | | | (21,281 | ) | | | 27,113 | | | | 5,832 | |
IND | | | 0 | | | | (246,101 | ) | | | 0 | | | | (246,101 | ) | | | 262,741 | | | | 16,640 | |
JML | | | 0 | | | | (344,365 | ) | | | 0 | | | | (344,365 | ) | | | 405,986 | | | | 61,621 | |
JPS | | | 100,000 | | | | 0 | | | | 0 | | | | 100,000 | | | | (102,582 | ) | | | (2,582 | ) |
MBC | | | 100,001 | | | | (35,529 | ) | | | 0 | | | | 64,472 | | | | (58,311 | ) | | | 6,161 | |
MEI | | | 0 | | | | (3,879 | ) | | | 0 | | | | (3,879 | ) | | | 5,318 | | | | 1,439 | |
MSB | | | 0 | | | | (42,351 | ) | | | 0 | | | | (42,351 | ) | | | 53,360 | | | | 11,009 | |
NOM | | | 0 | | | | (32,036 | ) | | | 0 | | | | (32,036 | ) | | | 35,583 | | | | 3,547 | |
RCE | | | 0 | | | | (41,183 | ) | | | 0 | | | | (41,183 | ) | | | 43,924 | | | | 2,741 | |
RDR | | | 0 | | | | (55,168 | ) | | | 0 | | | | (55,168 | ) | | | 57,318 | | | | 2,150 | |
RTA | | | 0 | | | | (33,239 | ) | | | 0 | | | | (33,239 | ) | | | 38,326 | | | | 5,087 | |
SBI | | | 0 | | | | (97,677 | ) | | | 0 | | | | (97,677 | ) | | | 127,835 | | | | 30,158 | |
SCX | | | 0 | | | | (28,994 | ) | | | 0 | | | | (28,994 | ) | | | 31,426 | | | | 2,432 | |
SGY | | | 0 | | | | (15,457 | ) | | | 0 | | | | (15,457 | ) | | | 1,951 | | | | (13,506 | ) |
SOG | | | 0 | | | | (663,924 | ) | | | 0 | | | | (663,924 | ) | | | 771,613 | | | | 107,689 | |
TDM | | | 0 | | | | (19,055 | ) | | | 0 | | | | (19,055 | ) | | | 19,614 | | | | 559 | |
UBS | | | 0 | | | | (477,425 | ) | | | 0 | | | | (477,425 | ) | | | 586,935 | | | | 109,510 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Borrowings and Other Financing Transactions | | $ | 200,001 | | | $ | (3,897,752 | ) | | $ | 0 | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
| See Accompanying Notes | | | SEMIANNUAL REPORT | | | | | | | DECEMBER 31, 2021 | | | 83 |
| | | | | | | | |
| Consolidated Schedule of Investments | | PIMCO Dynamic Income Fund | | (Cont.) | | | | |
CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS
Remaining Contractual Maturity of the Agreements
| | | | | | | | | | | | | | | | | | | | |
| | | Overnight and
Continuous | | | Up to 30 days | | | 31-90 days | | | Greater Than 90 days | | | Total | |
Reverse Repurchase Agreements | |
Corporate Bonds & Notes | | $ | 0 | | | $ | (538,390 | ) | | $ | (749,946 | ) | | $ | (729,653 | ) | | $ | (2,017,989 | ) |
Convertible Bonds & Notes | | | 0 | | | | (8,482 | ) | | | 0 | | | | (6,571 | ) | | | (15,053 | ) |
U.S. Government Agencies | | | 0 | | | | (54,264 | ) | | | (27,680 | ) | | | 0 | | | | (81,944 | ) |
Non-Agency Mortgage-Backed Securities | | | 0 | | | | (158,154 | ) | | | (497,529 | ) | | | (132,497 | ) | | | (788,180 | ) |
Asset-Backed Securities | | | 0 | | | | (149,750 | ) | | | (432,156 | ) | | | (72,203 | ) | | | (654,109 | ) |
Sovereign Issues | | | 0 | | | | (88,439 | ) | | | (74,321 | ) | | | (19,501 | ) | | | (182,261 | ) |
Preferred Securities | | | 0 | | | | (59,398 | ) | | | (87,251 | ) | | | (11,567 | ) | | | (158,216 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Borrowings | | $ | 0 | | | $ | (1,056,877 | ) | | $ | (1,868,883 | ) | | $ | (971,992 | ) | | $ | (3,897,752 | ) |
| | | | | | | | | | | | | | | | | | | | |
Payable for reverse repurchase agreements | | | $ | (3,897,752 | ) |
| | | | | |
| (n) | Securities with an aggregate market value of $4,603,359 and cash of $26,427 have been pledged as collateral under the terms of the above master agreements as of December 31, 2021. |
| (1) | Includes accrued interest. |
| (2) | The average amount of borrowings outstanding during the period ended December 31, 2021 was $(3,995,573) at a weighted average interest rate of 1.380%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. The amounts reflect the cumulative total activity of PIMCO Dynamic Income Fund, PIMCO Income Opportunity Fund, and PIMCO Dynamic Credit and Mortgage Income Fund during the period. |
| (3) | Open maturity reverse repurchase agreement. |
| (4) | Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information. |
(o) FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED
SWAP AGREEMENTS:
CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION(1)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Entity | | Fixed
Receive Rate | | | Payment
Frequency | | | Maturity
Date | | | Implied
Credit Spread at
December 31, 2021(2) | | | Notional
Amount(3) | | | Premiums
Paid/(Received) | | | Unrealized
Appreciation/
(Depreciation) | | | Market
Value(4) | | | Variation Margin | |
| | Asset | | | Liability | |
Atlantia SPA | | | 1.000 | % | | | Quarterly | | | | 12/20/2025 | | | | 0.859 | % | | | EUR 100 | | | $ | (4 | ) | | $ | 5 | | | $ | 1 | | | $ | 0 | | | $ | 0 | |
Bombardier, Inc. | | | 5.000 | | | | Quarterly | | | | 06/20/2024 | | | | 3.362 | | | | $ 3,000 | | | | (6 | ) | | | 127 | | | | 121 | | | | 4 | | | | 0 | |
Bombardier, Inc. | | | 5.000 | | | | Quarterly | | | | 12/20/2024 | | | | 3.594 | | | | 2,100 | | | | (7 | ) | | | 93 | | | | 86 | | | | 3 | | | | 0 | |
Jaguar Land Rover Automotive | | | 5.000 | | | | Quarterly | | | | 06/20/2026 | | | | 3.521 | | | | EUR 9,900 | | | | 675 | | | | 30 | | | | 705 | | | | 0 | | | | 0 | |
Jaguar Land Rover Automotive | | | 5.000 | | | | Quarterly | | | | 12/20/2026 | | | | 3.685 | | | | 15,613 | | | | 823 | | | | 259 | | | | 1,082 | | | | 9 | | | | 0 | |
Rolls-Royce PLC | | | 1.000 | | | | Quarterly | | | | 12/20/2025 | | | | 1.481 | | | | 25,500 | | | | (3,879 | ) | | | 3,346 | | | | (533 | ) | | | 38 | | | | 0 | |
Rolls-Royce PLC | | | 1.000 | | | | Quarterly | | | | 06/20/2026 | | | | 1.612 | | | | 21,400 | | | | (1,566 | ) | | | 926 | | | | (640 | ) | | | 18 | | | | 0 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | $ | (3,964 | ) | | $ | 4,786 | | | $ | 822 | | | $ | 72 | | | $ | 0 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
INTEREST RATE SWAPS
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Pay/Receive
Floating Rate | | Floating Rate Index | | Fixed Rate | | | Payment
Frequency | | Maturity
Date | | | Notional
Amount | | | Premiums
Paid/(Received) | | | Unrealized
Appreciation/
(Depreciation) | | | Market
Value | | | Variation Margin | |
| | Asset | | | Liability | |
Receive | | 1-Day GBP-SONIO Compounded-OIS | | | 0.500 | % | | Annual | | | 09/16/2030 | | | | GBP | | | | 27,000 | | | $ | 335 | | | $ | 1,006 | | | $ | 1,341 | | | $ | 0 | | | $ | (172 | ) |
Receive(5) | | 1-Day GBP-SONIO Compounded-OIS | | | 0.750 | | | Annual | | | 03/16/2052 | | | | | | | | 9,300 | | | | (163 | ) | | | 437 | | | | 274 | | | | 0 | | | | (238 | ) |
Receive(5) | | 1-Day GBP-SONIO Compounded-OIS | | | 0.750 | | | Annual | | | 09/21/2052 | | | | | | | | 38,300 | | | | (3,084 | ) | | | 4,173 | | | | 1,089 | | | | 0 | | | | (995 | ) |
Pay | | 1-Day USD-SOFR Compounded-OIS | | | 1.000 | | | Annual | | | 12/15/2026 | | | | $ | | | | 11,200 | | | | 21 | | | | (79 | ) | | | (58 | ) | | | 4 | | | | 0 | |
Receive | | 1-Day USD-SOFR Compounded-OIS | | | 1.500 | | | Annual | | | 12/15/2031 | | | | | | | | 98,500 | | | | (2,199 | ) | | | 487 | | | | (1,712 | ) | | | 0 | | | | (11 | ) |
Receive | | 1-Day USD-SOFR Compounded-OIS | | | 1.750 | | | Annual | | | 12/15/2051 | | | | | | | | 25,100 | | | | (2,442 | ) | | | 652 | | | | (1,790 | ) | | | 0 | | | | (80 | ) |
Receive | | 1-Year BRL-CDI | | | 2.840 | | | Maturity | | | 01/03/2022 | | | | BRL | | | | 1,900 | | | | 0 | | | | 5 | | | | 5 | | | | 0 | | | | 0 | |
Receive | | 1-Year BRL-CDI | | | 2.848 | | | Maturity | | | 01/03/2022 | | | | | | | | 1,600 | | | | 0 | | | | 4 | | | | 4 | | | | 0 | | | | 0 | |
Receive | | 1-Year BRL-CDI | | | 2.859 | | | Maturity | | | 01/03/2022 | | | | | | | | 8,100 | | | | 0 | | | | 22 | | | | 22 | | | | 0 | | | | 0 | |
Receive | | 1-Year BRL-CDI | | | 2.860 | | | Maturity | | | 01/03/2022 | | | | | | | | 57,600 | | | | 0 | | | | 159 | | | | 159 | | | | 0 | | | | 0 | |
Receive | | 1-Year BRL-CDI | | | 2.865 | | | Maturity | | | 01/03/2022 | | | | | | | | 2,900 | | | | 0 | | | | 8 | | | | 8 | | | | 0 | | | | 0 | |
Receive | | 1-Year BRL-CDI | | | 2.870 | | | Maturity | | | 01/03/2022 | | | | | | | | 20,000 | | | | 0 | | | | 54 | | | | 54 | | | | 0 | | | | 0 | |
Receive | | 1-Year BRL-CDI | | | 2.880 | | | Maturity | | | 01/03/2022 | | | | | | | | 48,500 | | | | 0 | | | | 131 | | | | 131 | | | | 0 | | | | 0 | |
Receive | | 1-Year BRL-CDI | | | 2.883 | | | Maturity | | | 01/03/2022 | | | | | | | | 76,800 | | | | 0 | | | | 204 | | | | 204 | | | | 0 | | | | 0 | |
| | | | | | |
| 84 | | PIMCO CLOSED-END FUNDS | | | See Accompanying Notes | |
| | | | | | | | |
| | | | | | December 31, 2021 | | (Unaudited) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Pay/Receive
Floating Rate | | Floating Rate Index | | Fixed Rate | | | Payment
Frequency | | Maturity
Date | | | Notional
Amount | | | Premiums
Paid/(Received) | | | Unrealized
Appreciation/
(Depreciation) | | | Market
Value | | | Variation Margin | |
| | Asset | | | Liability | |
Receive | | 1-Year BRL-CDI | | | 2.884 | % | | Maturity | | | 01/03/2022 | | | | BRL | | | | 16,300 | | | $ | 0 | | | $ | 43 | | | $ | 43 | | | $ | 0 | | | $ | 0 | |
Receive | | 1-Year BRL-CDI | | | 2.886 | | | Maturity | | | 01/03/2022 | | | | | | | | 23,800 | | | | 0 | | | | 63 | | | | 63 | | | | 0 | | | | 0 | |
Receive | | 1-Year BRL-CDI | | | 3.360 | | | Maturity | | | 01/03/2022 | | | | | | | | 85,500 | | | | (127 | ) | | | 235 | | | | 108 | | | | 0 | | | | 0 | |
Pay | | 1-Year BRL-CDI | | | 4.640 | | | Maturity | | | 01/03/2022 | | | | | | | | 2,762,800 | | | | 200 | | | | (2,459 | ) | | | (2,259 | ) | | | 0 | | | | (1 | ) |
Pay | | 1-Year BRL-CDI | | | 6.170 | | | Maturity | | | 01/02/2023 | | | | | | | | 599,300 | | | | (111 | ) | | | (4,180 | ) | | | (4,291 | ) | | | 0 | | | | (8 | ) |
Pay | | 1-Year BRL-CDI | | | 7.655 | | | Maturity | | | 01/02/2024 | | | | | | | | 872,700 | | | | 0 | | | | (6,261 | ) | | | (6,261 | ) | | | 0 | | | | (40 | ) |
Pay | | 3-Month USD-LIBOR | | | 2.860 | | | Semi-Annual | | | 04/26/2023 | | | | $ | | | | 7,100 | | | | (19 | ) | | | 261 | | | | 242 | | | | 1 | | | | 0 | |
Pay | | 3-Month USD-LIBOR | | | 2.750 | | | Semi-Annual | | | 12/19/2023 | | | | | | | | 30,600 | | | | (284 | ) | | | 1,404 | | | | 1,120 | | | | 0 | | | | (2 | ) |
Pay | | 3-Month USD-LIBOR | | | 1.750 | | | Semi-Annual | | | 12/21/2023 | | | | | | | | 152,800 | | | | 2,868 | | | | (320 | ) | | | 2,548 | | | | 0 | | | | (20 | ) |
Pay | | 3-Month USD-LIBOR | | | 0.500 | | | Semi-Annual | | | 06/16/2026 | | | | | | | | 184,100 | | | | (3,836 | ) | | | (2,769 | ) | | | (6,605 | ) | | | 12 | | | | 0 | |
Pay | | 3-Month USD-LIBOR | | | 0.660 | | | Semi-Annual | | | 12/21/2026 | | | | | | | | 483,000 | | | | (86 | ) | | | (16,269 | ) | | | (16,355 | ) | | | 165 | | | | 0 | |
Pay | | 3-Month USD-LIBOR | | | 1.750 | | | Semi-Annual | | | 12/21/2026 | | | | | | | | 303,000 | | | | 7,433 | | | | (1,582 | ) | | | 5,851 | | | | 121 | | | | 0 | |
Receive(5) | | 3-Month USD-LIBOR | | | 1.360 | | | Semi-Annual | | | 02/15/2027 | | | | | | | | 13,450 | | | | 0 | | | | 27 | | | | 27 | | | | 0 | | | | (6 | ) |
Pay | | 3-Month USD-LIBOR | | | 1.500 | | | Semi-Annual | | | 06/21/2027 | | | | | | | | 209,400 | | | | (15,186 | ) | | | 16,466 | | | | 1,280 | | | | 113 | | | | 0 | |
Pay | | 3-Month USD-LIBOR | | | 2.500 | | | Semi-Annual | | | 12/20/2027 | | | | | | | | 91,250 | | | | 1,072 | | | | 4,686 | | | | 5,758 | | | | 61 | | | | 0 | |
Pay | | 3-Month USD-LIBOR | | | 0.500 | | | Semi-Annual | | | 06/16/2028 | | | | | | | | 660 | | | | (33 | ) | | | (6 | ) | | | (39 | ) | | | 0 | | | | 0 | |
Pay | | 3-Month USD-LIBOR | | | 2.250 | | | Semi-Annual | | | 06/20/2028 | | | | | | | | 8,200 | | | | (489 | ) | | | 905 | | | | 416 | | | | 6 | | | | 0 | |
Receive | | 3-Month USD-LIBOR | | | 1.750 | | | Semi-Annual | | | 12/15/2031 | | | | | | | | 16,600 | | | | (254 | ) | | | (36 | ) | | | (290 | ) | | | 0 | | | | (11 | ) |
Receive | | 3-Month USD-LIBOR | | | 0.930 | | | Semi-Annual | | | 12/19/2038 | | | | | | | | 142,200 | | | | 381 | | | | 16,879 | | | | 17,260 | | | | 0 | | | | (260 | ) |
Receive | | 3-Month USD-LIBOR | | | 2.750 | | | Semi-Annual | | | 03/20/2043 | | | | | | | | 1,300 | | | | (4 | ) | | | (241 | ) | | | (245 | ) | | | 0 | | | | (5 | ) |
Receive | | 3-Month USD-LIBOR | | | 2.750 | | | Semi-Annual | | | 12/16/2045 | | | | | | | | 3,800 | | | | (52 | ) | | | (721 | ) | | | (773 | ) | | | 0 | | | | (16 | ) |
Receive | | 3-Month USD-LIBOR | | | 2.500 | | | Semi-Annual | | | 06/20/2048 | | | | | | | | 3,100 | | | | 288 | | | | (802 | ) | | | (514 | ) | | | 0 | | | | (14 | ) |
Receive | | 3-Month USD-LIBOR | | | 2.000 | | | Semi-Annual | | | 01/15/2050 | | | | | | | | 1,200 | | | | (9 | ) | | | (73 | ) | | | (82 | ) | | | 0 | | | | (5 | ) |
Receive | | 3-Month USD-LIBOR | | | 2.250 | | | Semi-Annual | | | 03/12/2050 | | | | | | | | 20,500 | | | | (33 | ) | | | (2,510 | ) | | | (2,543 | ) | | | 0 | | | | (94 | ) |
Receive | | 3-Month USD-LIBOR | | | 1.150 | | | Semi-Annual | | | 12/11/2050 | | | | | | | | 63,900 | | | | (3,148 | ) | | | 12,006 | | | | 8,858 | | | | 0 | | | | (247 | ) |
Receive | | 3-Month USD-LIBOR | | | 1.250 | | | Semi-Annual | | | 06/16/2051 | | | | | | | | 44,700 | | | | 8,405 | | | | (3,219 | ) | | | 5,186 | | | | 0 | | | | (175 | ) |
Pay | | 3-Month ZAR-JIBAR | | | 5.873 | | | Quarterly | | | 05/12/2026 | | | | ZAR | | | | 882,000 | | | | (16 | ) | | | (450 | ) | | | (466 | ) | | | 88 | | | | 0 | |
Receive | | 6-Month EUR-EURIBOR | | | 0.150 | | | Annual | | | 03/18/2030 | | | | EUR | | | | 20,400 | | | | 373 | | | | 321 | | | | 694 | | | | 19 | | | | 0 | |
Receive | | 6-Month EUR-EURIBOR | | | 0.150 | | | Annual | | | 06/17/2030 | | | | | | | | 1,200 | | | | (1 | ) | | | 9 | | | | 8 | | | | 1 | | | | 0 | |
Receive | | 6-Month EUR-EURIBOR | | | 0.250 | | | Annual | | | 03/18/2050 | | | | | | | | 2,500 | | | | 139 | | | | 42 | | | | 181 | | | | 2 | | | | 0 | |
Receive | | 6-Month EUR-EURIBOR | | | 0.500 | | | Annual | | | 06/17/2050 | | | | | | | | 500 | | | | (16 | ) | | | 14 | | | | (2 | ) | | | 0 | | | | 0 | |
Pay | | 28-Day MXN-TIIE | | | 4.550 | | | Lunar | | | 02/27/2023 | | | | MXN | | | | 346,600 | | | | 41 | | | | (525 | ) | | | (484 | ) | | | 0 | | | | 0 | |
Pay | | 28-Day MXN-TIIE | | | 4.500 | | | Lunar | | | 03/03/2023 | | | | | | | | 229,100 | | | | (8 | ) | | | (321 | ) | | | (329 | ) | | | 0 | | | | 0 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | $ | (10,044 | ) | | $ | 17,880 | | | $ | 7,836 | | | $ | 593 | | | $ | (2,400 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Swap Agreements | | | | | | | $ | (14,008 | ) | | $ | 22,666 | | | $ | 8,658 | | | $ | 665 | | | $ | (2,400 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED SUMMARY
The following is a summary of the market value and variation margin of Exchange-Traded or Centrally Cleared Financial Derivative Instruments as of December 31, 2021:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Financial Derivative Assets | | | | | | Financial Derivative Liabilities | |
| | | Market Value | | | Variation Margin
Asset | | | | | | | | | Market Value | | | Variation Margin
Liability | | | | |
| | | Purchased
Options | | | Futures | | | Swap
Agreements | | | Total | | | | | | Written
Options | | | Futures | | | Swap
Agreements | | | Total | |
Total Exchange-Traded or Centrally Cleared | | $ | 0 | | | $ | 0 | | | $ | 665 | | | $ | 665 | | | | | | | $ | 0 | | | $ | 0 | | | $ | (2,400) | | | $ | (2,400) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (p) | Securities with an aggregate market value of $36,058 and cash of $52,507 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2021. |
| (1) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (2) | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| (3) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| (4) | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| (5) | This instrument has a forward starting effective date. See Note 2, Securities Transactions and Investment Income, in the Notes to Financial Statements for further information. |
| | | | | | | | | | | | |
| See Accompanying Notes | | | SEMIANNUAL REPORT | | | | | | | DECEMBER 31, 2021 | | | 85 |
| | | | | | | | |
| Consolidated Schedule of Investments | | PIMCO Dynamic Income Fund | | (Cont.) | | | | |
(q) FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER
FORWARD FOREIGN CURRENCY CONTRACTS:
| | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Settlement
Month | | | Currency to
be Delivered | | | Currency to
be Received | | | Unrealized Appreciation/
(Depreciation) | |
| | Asset | | | Liability | |
BOA | | | 01/2022 | | | CZK | | | 2,672 | | | $ | | | 124 | | | $ | 2 | | | $ | 0 | |
| | | 01/2022 | | | GBP | | | 792 | | | | | | 1,050 | | | | 0 | | | | (22 | ) |
| | | 01/2022 | | | $ | | | 8,756 | | | GBP | | | 6,605 | | | | 184 | | | | 0 | |
| | | 01/2022 | | | | | | 28 | | | RUB | | | 2,112 | | | | 0 | | | | 0 | |
| | | 02/2022 | | | MXN | | | 9,499 | | | $ | | | 460 | | | | 0 | | | | 0 | |
| | | 02/2022 | | | PLN | | | 18,885 | | | | | | 4,929 | | | | 257 | | | | 0 | |
| | | 02/2022 | | | $ | | | 2,903 | | | CAD | | | 3,635 | | | | 0 | | | | (29 | ) |
| | | 02/2022 | | | | | | 1,030 | | | INR | | | 78,328 | | | | 19 | | | | 0 | |
| | | 02/2022 | | | ZAR | | | 40,253 | | | $ | | | 2,537 | | | | 27 | | | | 0 | |
| | | 03/2022 | | | MXN | | | 15,138 | | | | | | 727 | | | | 0 | | | | (3 | ) |
| | | 03/2022 | | | $ | | | 1,291 | | | MXN | | | 26,845 | | | | 3 | | | | 0 | |
| | | 04/2022 | | | PEN | | | 2,020 | | | $ | | | 483 | | | | 0 | | | | (21 | ) |
| | | 06/2022 | | | | | | 1,051 | | | | | | 252 | | | | 0 | | | | (9 | ) |
| | | 07/2022 | | | $ | | | 5,229 | | | PEN | | | 21,042 | | | | 0 | | | | (28 | ) |
| | | | | | | |
BPS | | | 01/2022 | | | AUD | | | 445 | | | $ | | | 318 | | | | 0 | | | | (5 | ) |
| | | 01/2022 | | | EUR | | | 27,668 | | | | | | 31,270 | | | | 0 | | | | (230 | ) |
| | | 01/2022 | | | GBP | | | 27,803 | | | | | | 36,887 | | | | 0 | | | | (747 | ) |
| | | 01/2022 | | | $ | | | 4,419 | | | CAD | | | 5,629 | | | | 31 | | | | 0 | |
| | | 01/2022 | | | | | | 15,888 | | | EUR | | | 14,079 | | | | 141 | | | | 0 | |
| | | 01/2022 | | | | | | 2,207 | | | IDR | | | 31,980,716 | | | | 34 | | | | 0 | |
| | | 01/2022 | | | | | | 2,424 | | | RUB | | | 177,640 | | | | 0 | | | | (66 | ) |
| | | 02/2022 | | | | | | 1,822 | | | INR | | | 137,782 | | | | 25 | | | | 0 | |
| | | 02/2022 | | | | | | 2,771 | | | ZAR | | | 44,016 | | | | 0 | | | | (26 | ) |
| | | 05/2022 | | | ZAR | | | 8,195 | | | $ | | | 518 | | | | 13 | | | | 0 | |
| | | 08/2022 | | | | | | 9,648 | | | | | | 606 | | | | 19 | | | | 0 | |
| | | 10/2022 | | | PEN | | | 10,080 | | | | | | 2,469 | | | | 0 | | | | (7 | ) |
| | | 11/2022 | | | ZAR | | | 15,901 | | | | | | 985 | | | | 28 | | | | 0 | |
| | | | | | | |
BRC | | | 11/2022 | | | | | | 10,948 | | | | | | 682 | | | | 23 | | | | 0 | |
| | | | | | | |
CBK | | | 01/2022 | | | BRL | | | 39,019 | | | | | | 6,992 | | | | 0 | | | | (13 | ) |
| | | 01/2022 | | | EUR | | | 3,266 | | | | | | 3,704 | | | | 0 | | | | (14 | ) |
| | | 01/2022 | | | PEN | | | 11,564 | | | | | | 2,834 | | | | 0 | | | | (61 | ) |
| | | 01/2022 | | | $ | | | 6,944 | | | BRL | | | 39,019 | | | | 61 | | | | 0 | |
| | | 01/2022 | | | | | | 23,407 | | | EUR | | | 20,686 | | | | 144 | | | | 0 | |
| | | 01/2022 | | | | | | 2,838 | | | PEN | | | 11,564 | | | | 58 | | | | 0 | |
| | | 02/2022 | | | CLP | | | 1,054,219 | | | $ | | | 1,259 | | | | 26 | | | | 0 | |
| | | 02/2022 | | | PLN | | | 14,500 | | | | | | 3,791 | | | | 204 | | | | 0 | |
| | | 02/2022 | | | $ | | | 97 | | | ZAR | | | 1,562 | | | | 0 | | | | 0 | |
| | | 03/2022 | | | | | | 4,657 | | | PEN | | | 19,220 | | | | 143 | | | | 0 | |
| | | 03/2022 | | | | | | 17,805 | | | RUB | | | 1,341,626 | | | | 0 | | | | (206 | ) |
| | | 04/2022 | | | | | | 10,556 | | | MXN | | | 229,074 | | | | 421 | | | | 0 | |
| | | 05/2022 | | | | | | 10,729 | | | PEN | | | 43,878 | | | | 182 | | | | 0 | |
| | | 05/2022 | | | | | | 284 | | | ZAR | | | 4,617 | | | | 0 | | | | 0 | |
| | | 07/2022 | | | PEN | | | 13,786 | | | $ | | | 3,398 | | | | 0 | | | | (9 | ) |
| | | 07/2022 | | | $ | | | 586 | | | PEN | | | 2,378 | | | | 1 | | | | 0 | |
| | | 08/2022 | | | PEN | | | 1,100 | | | $ | | | 272 | | | | 0 | | | | 0 | |
| | | 12/2022 | | | $ | | | 2,757 | | | PEN | | | 11,564 | | | | 67 | | | | 0 | |
| | | | | | | |
DUB | | | 01/2022 | | | CZK | | | 9,980 | | | $ | | | 454 | | | | 0 | | | | (2 | ) |
| | | 01/2022 | | | $ | | | 30,002 | | | CNH | | | 191,894 | | | | 154 | | | | 0 | |
| | | 01/2022 | | | | | | 1,094 | | | GBP | | | 826 | | | | 24 | | | | 0 | |
| | | 02/2022 | | | HUF | | | 158,288 | | | $ | | | 494 | | | | 8 | | | | 0 | |
| | | 02/2022 | | | PLN | | | 46,644 | | | | | | 11,486 | | | | 0 | | | | (53 | ) |
| | | 02/2022 | | | $ | | | 1,720 | | | INR | | | 130,625 | | | | 30 | | | | 0 | |
| | | 02/2022 | | | | | | 4,691 | | | RUB | | | 344,924 | | | | 0 | | | | (136 | ) |
| | | | | | | |
FBF | | | 01/2022 | | | CLP | | | 17,335 | | | $ | | | 21 | | | | 0 | | | | 0 | |
| | | 03/2022 | | | $ | | | 20 | | | CLP | | | 17,335 | | | | 0 | | | | 0 | |
| | | | | | | |
GLM | | | 01/2022 | | | CNH | | | 136 | | | $ | | | 21 | | | | 0 | | | | 0 | |
| | | 01/2022 | | | GBP | | | 2,350 | | | | | | 3,130 | | | | 0 | | | | (50 | ) |
| | | 01/2022 | | | MXN | | | 11,441 | | | | | | 561 | | | | 4 | | | | 0 | |
| | | 01/2022 | | | $ | | | 11,725 | | | EUR | | | 10,312 | | | | 15 | | | | 0 | |
| | | 01/2022 | | | | | | 1,626 | | | GBP | | | 1,206 | | | | 7 | | | | 0 | |
| | | 01/2022 | | | | | | 2,407 | | | PEN | | | 9,940 | | | | 81 | | | | 0 | |
| | | 01/2022 | | | | | | 17,564 | | | RUB | | | 1,278,069 | | | | 0 | | | | (595 | ) |
| | | 02/2022 | | | | | | 7,616 | | | | | | 564,278 | | | | 0 | | | | (165 | ) |
| | | 02/2022 | | | ZAR | | | 8,866 | | | $ | | | 553 | | | | 0 | | | | 0 | |
| | | 03/2022 | | | $ | | | 12,972 | | | MXN | | | 269,602 | | | | 26 | | | | 0 | |
| | | 03/2022 | | | | | | 667 | | | RUB | | | 50,399 | | | | 0 | | | | (6 | ) |
| | | | | | | |
HUS | | | 01/2022 | | | CNH | | | 64,649 | | | $ | | | 10,049 | | | | 0 | | | | (111 | ) |
| | | 01/2022 | | | $ | | | 6,614 | | | EUR | | | 5,832 | | | | 26 | | | | 0 | |
| | | 01/2022 | | | | | | 6,451 | | | GBP | | | 4,857 | | | | 124 | | | | 0 | |
| | | 01/2022 | | | | | | 23,195 | | | IDR | | | 336,691,859 | | | | 399 | | | | 0 | |
| | | 02/2022 | | | | | | 11,531 | | | RUB | | | 835,700 | | | | 0 | | | | (496 | ) |
| | | 03/2022 | | | | | | 1,632 | | | | | | 122,868 | | | | 0 | | | | (20 | ) |
| | | | | | |
| 86 | | PIMCO CLOSED-END FUNDS | | | See Accompanying Notes | |
| | | | | | | | |
| | | | | | December 31, 2021 | | (Unaudited) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Settlement
Month | | | Currency to
be Delivered | | | Currency to
be Received | | | Unrealized Appreciation/
(Depreciation) | |
| | Asset | | | Liability | |
IND | | | 02/2022 | | | $ | | | 4,349 | | | CLP | | | 3,385,737 | | | $ | 0 | | | $ | (400 | ) |
| | | | | | | |
JPM | | | 01/2022 | | | BRL | | | 199,573 | | | $ | | | 35,074 | | | | 0 | | | | (756 | ) |
| | | 01/2022 | | | CNH | | | 90,848 | | | | | | 14,181 | | | | 0 | | | | (96 | ) |
| | | 01/2022 | | | $ | | | 35,763 | | | BRL | | | 199,573 | | | | 67 | | | | 0 | |
| | | 01/2022 | | | | | | 429 | | | IDR | | | 6,181,604 | | | | 4 | | | | 0 | |
| | | 02/2022 | | | | | | 34,838 | | | BRL | | | 199,573 | | | | 748 | | | | 0 | |
| | | 02/2022 | | | | | | 22,221 | | | INR | | | 1,679,806 | | | | 288 | | | | 0 | |
| | | 02/2022 | | | | | | 5,836 | | | MXN | | | 124,390 | | | | 192 | | | | 0 | |
| | | 02/2022 | | | ZAR | | | 129 | | | $ | | | 8 | | | | 0 | | | | 0 | |
| | | | | | | |
MYI | | | 01/2022 | | | BRL | | | 139,928 | | | | | | 25,074 | | | | 0 | | | | (47 | ) |
| | | 01/2022 | | | EUR | | | 28,560 | | | | | | 32,190 | | | | 0 | | | | (326 | ) |
| | | 01/2022 | | | $ | | | 24,843 | | | BRL | | | 139,928 | | | | 278 | | | | 0 | |
| | | 01/2022 | | | | | | 1,160 | | | IDR | | | 16,840,372 | | | | 20 | | | | 0 | |
| | | 02/2022 | | | CHF | | | 5,286 | | | $ | | | 5,760 | | | | 0 | | | | (48 | ) |
| | | 02/2022 | | | $ | | | 574 | | | ZAR | | | 9,280 | | | | 5 | | | | 0 | |
| | | | | | | |
RBC | | | 01/2022 | | | | | | 1,485 | | | GBP | | | 1,119 | | | | 30 | | | | 0 | |
| | | | | | | |
RYL | | | 01/2022 | | | | | | 4,634 | | | | | | 3,514 | | | | 122 | | | | 0 | |
| | | | | | | |
SCX | | | 01/2022 | | | CNH | | | 35,548 | | | $ | | | 5,529 | | | | 0 | | | | (57 | ) |
| | | 01/2022 | | | EUR | | | 378,827 | | | | | | 427,145 | | | | 0 | | | | (4,150 | ) |
| | | 01/2022 | | | GBP | | | 139,924 | | | | | | 185,279 | | | | 0 | | | | (4,116 | ) |
| | | 01/2022 | | | $ | | | 50 | | | CLP | | | 39,369 | | | | 0 | | | | (4 | ) |
| | | 01/2022 | | | | | | 22,495 | | | EUR | | | 19,878 | | | | 136 | | | | 0 | |
| | | 02/2022 | | | EUR | | | 395,335 | | | $ | | | 449,832 | | | | 0 | | | | (518 | ) |
| | | 02/2022 | | | GBP | | | 163,858 | | | | | | 221,923 | | | | 146 | | | | 0 | |
| | | 02/2022 | | | $ | | | 2,784 | | | ZAR | | | 44,161 | | | | 0 | | | | (30 | ) |
| | | | | | | |
SSB | | | 01/2022 | | | BRL | | | 230,991 | | | $ | | | 40,578 | | | | 0 | | | | (892 | ) |
| | | 01/2022 | | | $ | | | 44,558 | | | BRL | | | 251,618 | | | | 616 | | | | 0 | |
| | | 02/2022 | | | | | | 40,305 | | | | | | 230,991 | | | | 884 | | | | 0 | |
| | | 02/2022 | | | ZAR | | | 92,251 | | | $ | | | 5,809 | | | | 57 | | | | 0 | |
| | | | | | | |
TOR | | | 03/2022 | | | $ | | | 22,030 | | | MXN | | | 466,775 | | | | 473 | | | | 0 | |
| | | | | | | |
UAG | | | 01/2022 | | | | | | 3,886 | | | RUB | | | 282,096 | | | | 0 | | | | (140 | ) |
| | | 02/2022 | | | CLP | | | 2,287,755 | | | $ | | | 2,771 | | | | 97 | | | | 0 | |
| | | 02/2022 | | | $ | | | 104 | | | MXN | | | 2,187 | | | | 2 | | | | 0 | |
| | | 02/2022 | | | | | | 3,069 | | | ZAR | | | 48,713 | | | | 0 | | | | (31 | ) |
| | | 03/2022 | | | | | | 3,268 | | | RUB | | | 247,199 | | | | 0 | | | | (25 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Forward Foreign Currency Contracts | | | $ | 7,176 | | | $ | (14,766 | ) |
| | | | | | | | | |
SWAP AGREEMENTS:
CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION(1)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Reference Entity | | Fixed
Receive Rate | | | Payment
Frequency | | Maturity
Date | | | Implied
Credit Spread at
December 31,
2021(2) | | | Notional
Amount(3) | | | Premiums
Paid/(Received) | | | Unrealized
Appreciation/
(Depreciation) | | | Swap Agreements,
at Value(4) | |
| | Asset | | | Liability | |
| GST | | Teva Pharmaceutical Finance Co. BV | | | 1.000% | | | Quarterly | | | 06/20/2022 | | | | 1.244% | | | $ | 100 | | | $ | (5 | ) | | $ | 5 | | | $ | 0 | | | $ | 0 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION(1)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Index/Tranches | | Fixed
Receive Rate | | | Payment
Frequency | | Maturity
Date | | | Notional
Amount(3) | | | Premiums
Paid/(Received) | | | Unrealized
Appreciation/
(Depreciation) | | | Swap Agreements,
at Value(4) | |
| | Asset | | | Liability | |
| FBF | | ABX.HE.AA.6-2 Index | | | 0.170 | % | | Monthly | | | 05/25/2046 | | | $ | 23,287 | | | $ | (20,698 | ) | | $ | 15,210 | | | $ | 0 | | | $ | (5,488 | ) |
| | | | | | | | | |
| GST | | ABX.HE.AA.6-1 Index | | | 0.320 | | | Monthly | | | 07/25/2045 | | | | 6,977 | | | | (1,388 | ) | | | 914 | | | | 0 | | | | (474 | ) |
| | ABX.HE.PENAAA.7-1 Index | | | 0.090 | | | Monthly | | | 08/25/2037 | | | | 2,133 | | | | (413 | ) | | | 171 | | | | 0 | | | | (242 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | $ | (22,499 | ) | | $ | 16,295 | | | $ | 0 | | | $ | (6,204 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
INTEREST RATE SWAPS
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Pay/Receive
Floating Rate | | Floating Rate Index | | Fixed Rate | | | Payment
Frequency | | | Maturity
Date | | Notional
Amount | | | Premiums
Paid/(Received) | | | Unrealized
Appreciation/
(Depreciation) | | | Swap Agreements,
at Value | |
| | Asset | | | Liability | |
| MYC | | Pay | | 3-Month USD-LIBOR | | | 1.600% | | | | Semi-Annual | | | 02/15/2027 | | $ | 53,800 | | | $ | (11 | ) | | $ | 110 | | | $ | 99 | | | $ | 0 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
| See Accompanying Notes | | | SEMIANNUAL REPORT | | | | | | | DECEMBER 31, 2021 | | | 87 |
| | | | | | | | |
| Consolidated Schedule of Investments | | PIMCO Dynamic Income Fund | | (Cont.) | | | | |
TOTAL RETURN SWAPS ON INTEREST RATE INDICES
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Pay/Receive(5) | | Underlying Reference | | # of Units | | | Financing Rate | | Payment
Frequency | | | Maturity
Date | | Notional
Amount | | | Premiums
Paid/(Received) | | | Unrealized
Appreciation/
(Depreciation) | | | Swap Agreements,
at Value | |
| | Asset | | | Liability | |
BPS | | Receive | | iBoxx USD Liquid High Yield Index | | | N/A | | | 0.213% (3-Month USD-LIBOR plus a specified spread) | | | Maturity | | | 03/21/2022 | | $ | 600 | | | $ | 0 | | | $ | 12 | | | $ | 12 | | | $ | 0 | |
| | | | | | | | | | | |
BRC | | Receive | | iBoxx USD Liquid High Yield Index | | | N/A | | | 0.214% (3-Month USD-LIBOR plus a specified spread) | | | Maturity | | | 03/21/2022 | | | 100 | | | | 0 | | | | 1 | | | | 1 | | | | 0 | |
| | | | | | | | | | | |
MYC | | Receive | | iBoxx USD Liquid High Yield Index | | | N/A | | | 0.214% (3-Month USD-LIBOR plus a specified spread) | | | Maturity | | | 03/21/2022 | | | 500 | | | | 0 | | | | 9 | | | | 9 | | | | 0 | |
| | Receive | | iBoxx USD Liquid High Yield Index | | | N/A | | | 0.214% (3-Month USD-LIBOR plus a specified spread) | | | Maturity | | | 06/20/2022 | | | 900 | | | | (1 | ) | | | 11 | | | | 10 | | | | 0 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | $ | (1 | ) | | $ | 33 | | | $ | 32 | | | $ | 0 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Swap Agreements | | | $ | (22,516 | ) | | $ | 16,443 | | | $ | 131 | | | $ | (6,204 | ) |
| | | | | | | | | | | | | | | | | |
FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER SUMMARY
The following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral pledged/(received) as of December 31, 2021:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Financial Derivative Assets | | | | | | Financial Derivative Liabilities | | | | | | | | | | |
| Counterparty | | Forward
Foreign
Currency
Contracts | | | Purchased
Options | | | Swap
Agreements | | | Total
Over the
Counter | | | | | | Forward
Foreign
Currency
Contracts | | | Written
Options | | | Swap
Agreements | | | Total
Over the
Counter | | | Net Market
Value of OTC
Derivatives | | | Collateral
Pledged/
(Received) | | | Net
Exposure(6) | |
BOA | | $ | 492 | | | $ | 0 | | | $ | 0 | | | $ | 492 | | | | | | | $ | (112 | ) | | $ | 0 | | | $ | 0 | | | $ | (112 | ) | | $ | 380 | | | $ | (310 | ) | | $ | 70 | |
BPS | | | 291 | | | | 0 | | | | 12 | | | | 303 | | | | | | | | (1,081 | ) | | | 0 | | | | 0 | | | | (1,081 | ) | | | (778 | ) | | | 635 | | | | (143 | ) |
BRC | | | 23 | | | | 0 | | | | 1 | | | | 24 | | | | | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 24 | | | | 0 | | | | 24 | |
CBK | | | 1,307 | | | | 0 | | | | 0 | | | | 1,307 | | | | | | | | (303 | ) | | | 0 | | | | 0 | | | | (303 | ) | | | 1,004 | | | | (830 | ) | | | 174 | |
DUB | | | 216 | | | | 0 | | | | 0 | | | | 216 | | | | | | | | (191 | ) | | | 0 | | | | 0 | | | | (191 | ) | | | 25 | | | | 0 | | | | 25 | |
FBF | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | | | | | 0 | | | | 0 | | | | (5,488 | ) | | | (5,488 | ) | | | (5,488 | ) | | | 5,610 | | | | 122 | |
GLM | | | 133 | | | | 0 | | | | 0 | | | | 133 | | | | | | | | (816 | ) | | | 0 | | | | 0 | | | | (816 | ) | | | (683 | ) | | | 381 | | | | (302 | ) |
GST | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | | | | | 0 | | | | 0 | | | | (716 | ) | | | (716 | ) | | | (716 | ) | | | 741 | | | | 25 | |
HUS | | | 549 | | | | 0 | | | | 0 | | | | 549 | | | | | | | | (627 | ) | | | 0 | | | | 0 | | | | (627 | ) | | | (78 | ) | | | 0 | | | | (78 | ) |
IND | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | | | | | (400 | ) | | | 0 | | | | 0 | | | | (400 | ) | | | (400 | ) | | | 372 | | | | (28 | ) |
JPM | | | 1,299 | | | | 0 | | | | 0 | | | | 1,299 | | | | | | | | (852 | ) | | | 0 | | | | 0 | | | | (852 | ) | | | 447 | | | | (370 | ) | | | 77 | |
MYC | | | 0 | | | | 0 | | | | 118 | | | | 118 | | | | | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 118 | | | | 0 | | | | 118 | |
MYI | | | 303 | | | | 0 | | | | 0 | | | | 303 | | | | | | | | (421 | ) | | | 0 | | | | 0 | | | | (421 | ) | | | (118 | ) | | | 2 | | | | (116 | ) |
RBC | | | 30 | | | | 0 | | | | 0 | | | | 30 | | | | | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 30 | | | | 0 | | | | 30 | |
RYL | | | 122 | | | | 0 | | | | 0 | | | | 122 | | | | | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 122 | | | | 0 | | | | 122 | |
SCX | | | 282 | | | | 0 | | | | 0 | | | | 282 | | | | | | | | (8,875 | ) | | | 0 | | | | 0 | | | | (8,875 | ) | | | (8,593 | ) | | | 5,731 | | | | (2,862 | ) |
SSB | | | 1,557 | | | | 0 | | | | 0 | | | | 1,557 | | | | | | | | (892 | ) | | | 0 | | | | 0 | | | | (892 | ) | | | 665 | | | | (590 | ) | | | 75 | |
TOR | | | 473 | | | | 0 | | | | 0 | | | | 473 | | | | | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 473 | | | | (350 | ) | | | 123 | |
UAG | | | 99 | | | | 0 | | | | 0 | | | | 99 | | | | | | | | (196 | ) | | | 0 | | | | 0 | | | | (196 | ) | | | (97 | ) | | | 0 | | | | (97 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Over the Counter | | $ | 7,176 | | | $ | 0 | | | $ | 131 | | | $ | 7,307 | | | | | | | $ | (14,766 | ) | | $ | 0 | | | $ | (6,204 | ) | | $ | (20,970 | ) | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (r) | Securities with an aggregate market value of $13,472 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2021. |
| (1) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (2) | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| (3) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| (4) | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| (5) | Receive represents that the Fund receives payments for any positive net return on the underlying reference. The Fund makes payments for any negative net return on such underlying reference. Pay represents that the Fund receives payments for any negative net return on the underlying reference. The Fund makes payments for any positive net return on such underlying reference. |
| | | | | | |
| 88 | | PIMCO CLOSED-END FUNDS | | | See Accompanying Notes | |
| | | | | | | | |
| | | | | | December 31, 2021 | | (Unaudited) |
| (6) | Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information. |
FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS
The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal and Other 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, 2021:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | Derivatives not accounted for as hedging instruments | |
| | | Commodity
Contracts | | | Credit
Contracts | | | Equity
Contracts | | | Foreign
Exchange
Contracts | | | Interest
Rate Contracts | | | Total | |
Financial Derivative Instruments - Assets | |
Exchange-traded or centrally cleared | |
Swap Agreements | | $ | 0 | | | $ | 72 | | | $ | 0 | | | $ | 0 | | | $ | 593 | | | $ | 665 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Over the counter | |
Forward Foreign Currency Contracts | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 7,176 | | | $ | 0 | | | $ | 7,176 | |
Swap Agreements | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 131 | | | | 131 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 7,176 | | | $ | 131 | | | $ | 7,307 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 72 | | | $ | 0 | | | $ | 7,176 | | | $ | 724 | | | $ | 7,972 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
Financial Derivative Instruments - Liabilities | |
Exchange-traded or centrally cleared | |
Swap Agreements | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 2,400 | | | $ | 2,400 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Over the counter | |
Forward Foreign Currency Contracts | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 14,766 | | | $ | 0 | | | $ | 14,766 | |
Swap Agreements | | | 0 | | | | 6,204 | | | | 0 | | | | 0 | | | | 0 | | | | 6,204 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 6,204 | | | $ | 0 | | | $ | 14,766 | | | $ | 0 | | | $ | 20,970 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 6,204 | | | $ | 0 | | | $ | 14,766 | | | $ | 2,400 | | | $ | 23,370 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
The effect of Financial Derivative Instruments on the Consolidated Statements of Operations for the period ended December 31, 2021: | |
| | | Derivatives not accounted for as hedging instruments | |
| | | Commodity
Contracts | | | Credit
Contracts | | | Equity
Contracts | | | Foreign
Exchange
Contracts | | | Interest
Rate Contracts | | | Total | |
Net Realized Gain (Loss) on Financial Derivative Instruments | |
Exchange-traded or centrally cleared | |
Swap Agreements | | $ | 0 | | | $ | 827 | | | $ | 0 | | | $ | 0 | | | $ | (2,267 | ) | | $ | (1,440 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Over the counter | |
Forward Foreign Currency Contracts | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 13,193 | | | $ | 0 | | | $ | 13,193 | |
Swap Agreements | | | 0 | | | | 449 | | | | 0 | | | | 0 | | | | 2,560 | | | | 3,009 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 449 | | | $ | 0 | | | $ | 13,193 | | | $ | 2,560 | | | $ | 16,202 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 1,276 | | | $ | 0 | | | $ | 13,193 | | | $ | 293 | | | $ | 14,762 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative Instruments | |
Exchange-traded or centrally cleared | |
Swap Agreements | | $ | 0 | | | $ | 2,242 | | | $ | 0 | | | $ | 0 | | | $ | (938 | ) | | $ | 1,304 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Over the counter | |
Forward Foreign Currency Contracts | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | (14,858 | ) | | $ | 0 | | | $ | (14,858 | ) |
Swap Agreements | | | 0 | | | | 1,050 | | | | 0 | | | | 0 | | | | (1,965 | ) | | | (915 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 1,050 | | | $ | 0 | | | $ | (14,858 | ) | | $ | (1,965 | ) | | $ | (15,773 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 3,292 | | | $ | 0 | | | $ | (14,858 | ) | | $ | (2,903 | ) | | $ | (14,469 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
| See Accompanying Notes | | | SEMIANNUAL REPORT | | | | | | | DECEMBER 31, 2021 | | | 89 |
| | | | | | | | |
| Consolidated Schedule of Investments | | PIMCO Dynamic Income Fund | | (Cont.) | | | | |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2021 in valuing the Fund’s assets and liabilities:
| | | | | | | | | | | | | | | | |
| Category and Subcategory | | Level 1 | | | Level 2 | | | Level 3 | | | Fair
Value at
12/31/2021 | |
Investments in Securities, at Value | |
Loan Participations and Assignments | | $ | 0 | | | $ | 1,064,386 | | | $ | 543,564 | | | $ | 1,607,950 | |
Corporate Bonds & Notes | |
Banking & Finance | | | 0 | | | | 576,255 | | | | 47,984 | | | | 624,239 | |
Industrials | | | 0 | | | | 1,579,850 | | | | 205,921 | | | | 1,785,771 | |
Utilities | | | 0 | | | | 437,367 | | | | 0 | | | | 437,367 | |
Convertible Bonds & Notes | |
Banking & Finance | | | 0 | | | | 17,941 | | | | 0 | | | | 17,941 | |
Industrials | | | 0 | | | | 43,612 | | | | 0 | | | | 43,612 | |
Municipal Bonds & Notes | |
Illinois | | | 0 | | | | 831 | | | | 0 | | | | 831 | |
Puerto Rico | | | 0 | | | | 44,229 | | | | 0 | | | | 44,229 | |
Virginia | | | 0 | | | | 100 | | | | 0 | | | | 100 | |
West Virginia | | | 0 | | | | 39,614 | | | | 0 | | | | 39,614 | |
U.S. Government Agencies | | | 0 | | | | 102,010 | | | | 20,949 | | | | 122,959 | |
Non-Agency Mortgage-Backed Securities | | | 0 | | | | 1,847,956 | | | | 13,246 | | | | 1,861,202 | |
Asset-Backed Securities | | | 0 | | | | 1,456,406 | | | | 193,268 | | | | 1,649,674 | |
Sovereign Issues | | | 0 | | | | 207,020 | | | | 0 | | | | 207,020 | |
Common Stocks | |
Communication Services | | | 58,590 | | | | 0 | | | | 0 | | | | 58,590 | |
Consumer Discretionary | | | 4 | | | | 0 | | | | 0 | | | | 4 | |
Energy | | | 4,837 | | | | 0 | | | | 252 | | | | 5,089 | |
Financials | | | 2,702 | | | | 0 | | | | 0 | | | | 2,702 | |
Industrials | | | 388 | | | | 347 | | | | 0 | | | | 735 | |
Real Estate | | | 0 | | | | 0 | | | | 41 | | | | 41 | |
Utilities | | | 0 | | | | 0 | | | | 11,702 | | | | 11,702 | |
Warrants | |
Industrials | | | 0 | | | | 0 | | | | 1,930 | | | | 1,930 | |
Information Technology | | | 0 | | | | 0 | | | | 78,191 | | | | 78,191 | |
Preferred Securities | |
Banking & Finance | | | 0 | | | | 231,723 | | | | 0 | | | | 231,723 | |
Industrials | | | 0 | | | | 2,360 | | | | 130,377 | | | | 132,737 | |
Utilities | | | 0 | | | | 0 | | | | 34,829 | | | | 34,829 | |
| | | | | | | | | | | | | | | | |
| Category and Subcategory | | Level 1 | | | Level 2 | | | Level 3 | | | Fair
Value at
12/31/2021 | |
Real Estate Investment Trusts | |
Real Estate | | $ | 58,212 | | | $ | 0 | | | $ | 0 | | | $ | 58,212 | |
Short-Term Instruments | |
Repurchase Agreements | | | 0 | | | | 200,000 | | | | 0 | | | | 200,000 | |
Argentina Treasury Bills | | | 0 | | | | 275 | | | | 0 | | | | 275 | |
U.S. Treasury Bills | | | 0 | | | | 116,883 | | | | 0 | | | | 116,883 | |
U.S. Treasury Cash Management Bills | | | 0 | | | | 62,508 | | | | 0 | | | | 62,508 | |
| | | | | | | | | | | | | | | | |
| | $ | 124,733 | | | $ | 8,031,673 | | | $ | 1,282,254 | | | $ | 9,438,660 | |
| | | | | | | | | | | | | | | | |
|
Investments in Affiliates, at Value | |
Common Stocks | |
Affiliated Investments | | | 0 | | | | 0 | | | | 167,876 | | | | 167,876 | |
| | | | | | | | | | | | | | | | |
| | | | |
Total Investments | | $ | 124,733 | | | $ | 8,031,673 | | | $ | 1,450,130 | | | $ | 9,606,536 | |
| | | | | | | | | | | | | | | | |
|
Financial Derivative Instruments - Assets | |
Exchange-traded or centrally cleared | | | 0 | | | | 665 | | | | 0 | | | | 665 | |
Over the counter | | | 0 | | | | 7,307 | | | | 0 | | | | 7,307 | |
| | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 7,972 | | | $ | 0 | | | $ | 7,972 | |
| | | | | | | | | | | | | | | | |
|
Financial Derivative Instruments - Liabilities | |
Exchange-traded or centrally cleared | | | 0 | | | | (2,400 | ) | | | 0 | | | | (2,400 | ) |
Over the counter | | | 0 | | | | (20,970 | ) | | | 0 | | | | (20,970 | ) |
| | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | (23,370 | ) | | $ | 0 | | | $ | (23,370 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
Total Financial Derivative Instruments | | $ | 0 | | | $ | (15,398 | ) | | $ | 0 | | | $ | (15,398 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
Totals | | $ | 124,733 | | | $ | 8,016,275 | | | $ | 1,450,130 | | | $ | 9,591,138 | |
| | | | | | | | | | | | | | | | |
The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended December 31, 2021:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Category and Subcategory | | Beginning
Balance
at 06/30/2021 | | | Net
Purchases | | | Net
Sales/
Settlements | | | Accrued
Discounts/
(Premiums) | | | Realized
Gain/(Loss) | | | Net Change in
Unrealized
Appreciation/
(Depreciation)(1) | | | Transfers into
Level 3 | | | Transfers out
of Level 3 | | | Ending
Balance
at 12/31/2021 | | | Net Change in
Unrealized
Appreciation/
(Depreciation)
on Investments
Held at
12/31/2021(1) | |
Investments in Securities, at Value | |
Loan Participations and Assignments | | $ | 57,628 | | | $ | 517,642 | | | $ | (14,617 | ) | | $ | 376 | | | $ | (4 | ) | | $ | (21,098 | ) | | $ | 9,814 | | | $ | (6,177 | ) | | $ | 543,564 | | | $ | 2,318 | |
Corporate Bonds & Notes | |
Banking & Finance | | | 13,023 | | | | 26,100 | | | | 0 | | | | 0 | | | | 0 | | | | 8,861 | | | | 0 | | | | 0 | | | | 47,984 | | | | 8,861 | |
Industrials | | | 2 | | | | 132,000 | | | | (1,052 | ) | | | 2 | | | | 0 | | | | (2 | ) | | | 74,971 | | | | 0 | | | | 205,921 | | | | 158 | |
Convertible Bonds & Notes | |
Banking & Finance | | | 1,211 | | | | 0 | | | | (1,095 | ) | | | 0 | | | | 0 | | | | (116 | ) | | | 0 | | | | 0 | | | | 0 | | | | 0 | |
U.S. Government Agencies | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 20,949 | | | | 0 | | | | 20,949 | | | | 0 | |
Non-Agency Mortgage-Backed Securities | | | 14,836 | | | | 0 | | | | (1,145 | ) | | | 2 | | | | 78 | | | | (525 | ) | | | 0 | | | | 0 | | | | 13,246 | | | | (453 | ) |
Asset-Backed Securities | | | 63,838 | | | | 210,257 | | | | (4,890 | ) | | | 238 | | | | 318 | | | | (72,240 | ) | | | 0 | | | | (4,253 | ) | | | 193,268 | | | | (61,403 | ) |
Common Stocks | |
Communication Services | | | 6,573 | | | | 0 | | | | (4,973 | ) | | | 0 | | | | 0 | | | | (1,600 | ) | | | 0 | | | | 0 | | | | 0 | | | | 0 | |
Energy | | | 0 | | | | 252 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 252 | | | | 0 | |
Industrials | | | 0 | | | | 7,007 | | | | 0 | | | | 0 | | | | 0 | | | | (7,007 | ) | | | 0 | | | | 0 | | | | 0 | | | | (7,007 | ) |
Real Estate | | | 0 | | | | 105 | | | | 0 | | | | 0 | | | | 0 | | | | (64 | ) | | | 0 | | | | 0 | | | | 41 | | | | (64 | ) |
Utilities | | | 5,431 | | | | 10,116 | | | | 0 | | | | 0 | | | | 0 | | | | (3,845 | ) | | | 0 | | | | 0 | | | | 11,702 | | | | (3,845 | ) |
Warrants | |
Financials | | | 0 | | | | 38 | | | | 0 | | | | 0 | | | | 0 | | | | (38 | ) | | | 0 | | | | 0 | | | | 0 | | | | 0 | |
Industrials | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 1,930 | | | | 0 | | | | 0 | | | | 1,930 | | | | 1,930 | |
| | | | | | |
| 90 | | PIMCO CLOSED-END FUNDS | | | See Accompanying Notes | |
| | | | | | | | |
| | | | | | December 31, 2021 | | (Unaudited) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Category and Subcategory | | Beginning
Balance
at 06/30/2021 | | | Net
Purchases | | | Net
Sales/
Settlements | | | Accrued
Discounts/
(Premiums) | | | Realized
Gain/(Loss) | | | Net Change in
Unrealized
Appreciation/
(Depreciation)(1) | | | Transfers into
Level 3 | | | Transfers out
of Level 3 | | | Ending
Balance
at 12/31/2021 | | | Net Change in
Unrealized
Appreciation/
(Depreciation)
on Investments
Held at
12/31/2021(1) | |
Information Technology | | $ | 18,870 | | | $ | 18,507 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 40,814 | | | $ | 0 | | | $ | 0 | | | $ | 78,191 | | | $ | 40,814 | |
Preferred Securities | |
Industrials | | | 2,861 | | | | 81,116 | | | | 0 | | | | 0 | | | | 0 | | | | 46,400 | | | | 0 | | | | 0 | | | | 130,377 | | | | 46,400 | |
Utilities | | | 12,174 | | | | 23,884 | | | | (47 | ) | | | 0 | | | | 0 | | | | (1,182 | ) | | | 0 | | | | 0 | | | | 34,829 | | | | (1,182 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 196,447 | | | $ | 1,027,024 | | | $ | (27,819 | ) | | $ | 618 | | | $ | 392 | | | $ | (9,712 | ) | | $ | 105,734 | | | $ | (10,430 | ) | | $ | 1,282,254 | | | $ | 26,527 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
|
Investments in Affiliates, at Value | |
Common Stocks | |
Affiliated Investments(2) | | | 37,231 | | | | 78,319 | | | | 0 | | | | 0 | | | | 0 | | | | 52,326 | | | | 0 | | | | 0 | | | | 167,876 | | | | 52,326 | |
| | | | | �� | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Totals | | $ | 233,678 | | | $ | 1,105,343 | | | $ | (27,819 | ) | | $ | 618 | | | $ | 392 | | | $ | 42,614 | | | $ | 105,734 | | | $ | (10,430 | ) | | $ | 1,450,130 | | | $ | 78,853 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:
| | | | | | | | | | | | | | | | | | |
Category and Subcategory | | Ending
Balance
at 12/31/2021 | | | Valuation
Technique | | Unobservable
Inputs | | | | (% Unless Noted Otherwise) | |
| | Input Value(s)
| | | Weighted
Average | |
Investments in Securities, at Value | |
Loan Participations and Assignments | | $ | 116,227 | | | Discounted Cash Flow | | Discount Rate | | | | | 4.400-8.367 | | | | 5.704 | |
| | | 20,202 | | | Indicative Market Quotation | | Broker Quote | | | | | 39.500 | | | | — | |
| | | 2,249 | | | Other Valuation Techniques(3) | | — | | | | | — | | | | — | |
| | | 242,811 | | | Proxy Pricing | | Base Price | | | | | 99.610-100.500 | | | | 99.923 | |
| | | 25,100 | | | Recent Transaction | | Purchase Price | | | | | 100.000 | | | | — | |
| | | 34,039 | | | Reference Instrument | | Yield | | | | | 6.169 | | | | — | |
| | | 93,660 | | | Third Party Vendor | | Broker Quote | | | | | 59.500-100.125 | | | | 99.104 | |
| | | 9,276 | | | Waterfall Recoverability | | Recovery Value | | | | | 100.000 | | | | — | |
Corporate Bonds & Notes | |
Banking & Finance | | | 47,984 | | | Discounted Cash Flow | | Discount Rate | | | | | 4.560 | | | | — | |
Industrials | | | 2,989 | | | Other Valuation Techniques(3) | | — | | | | | — | | | | — | |
| | | 129,014 | | | Proxy Pricing | | Base Price | | | | | 0.081-100.000 | | | | 99.998 | |
| | | 73,918 | | | Reference Instrument | | Weighted Average | | BRL | | | 50.472 | | | | — | |
U.S. Government Agencies | | | 20,949 | | | Other Valuation Techniques(3) | | — | | | | | — | | | | — | |
Non-Agency Mortgage-Backed Securities | | | 13,246 | | | Discounted Cash Flow | | Discount Rate | | | | | 4.400 | | | | — | |
Asset-Backed Securities | | | 4,923 | | | Discounted Cash Flow | | Discount Rate | | | | | 5.000 | | | | — | |
| | | 188,345 | | | Proxy Pricing | | Base Price | | | | | 2.250-92,150.000 | | | | 22,587.373 | |
Common Stocks | |
Energy | | | 252 | | | Other Valuation Techniques(3) | | — | | | | | — | | | | — | |
Real Estate | | | 41 | | | Discounted Cash Flow | | Recovery Value | | $ | | | 0.692 | | | | — | |
Utilities | | | 11,702 | | | Indicative Market Quotation | | Broker Quote | | $ | | | 26.000 | | | | — | |
Warrants | |
Industrials | | | 1,930 | | | Other Valuation Techniques(3) | | — | | | | | — | | | | — | |
Information Technology | | | 78,191 | | | Comparable Companies | | EBITDA Multiple | | X | | | 4.375 | | | | — | |
Preferred Securities | |
Industrials | | | 100,067 | | | Comparable Companies | | EBITDA Multiple | | X/X | | | 11.700/9.100 | | | | — | |
| | | 30,310 | | | Discounted Cash Flow/
Comparable Companies | | Discount Rate/BV Multiple | | %/X | | | 19.850/0.290 | | | | — | |
Utilities | | | 34,829 | | | Current Value Model | | Purchase Price | | $ | | | 27.048 | | | | — | |
| | | | | | | | | | | | | | | | | | |
| | | 1,282,254 | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
|
Investments in Affiliates, at Value | |
Common Stocks | |
Affiliated Investments | | | 79,653 | | | Comparable Companies | | EBITDA Multiple | | X | | | 9.900 | | | | — | |
| | | 88,220 | | | Discounted Cash Flow | | Discount Rate | | | | | 10.750 | | | | — | |
| | | 3 | | | Other Valuation Techniques(3) | | — | | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | |
Total | | $ | 1,450,130 | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| (1) | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at December 31, 2021 may be due to an investment no longer held or categorized as Level 3 at period end. |
| (2) | Sector types updated from Financials and Industrials to Affiliated Investments since prior fiscal year end. |
| (3) | Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not considered significant to the Fund. |
| | | | | | | | | | | | |
| See Accompanying Notes | | | SEMIANNUAL REPORT | | | | | | | DECEMBER 31, 2021 | | | 91 |
| | | | | | | | |
| Consolidated Schedule of Investments | | PIMCO Dynamic Income Opportunities Fund | | | | | | |
(Amounts in thousands*, except number of shares, contracts, units and ounces, if any)
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
| INVESTMENTS IN SECURITIES 181.2% | |
| |
| LOAN PARTICIPATIONS AND ASSIGNMENTS 40.1% | |
|
Air Canada | |
4.250% (LIBOR03M + 3.500%) due 08/11/2028 ~ | | $ | | | 2,800 | | | $ | | | 2,802 | |
|
Alorica, Inc. | |
7.000% (LIBOR03M + 6.000%) due 12/11/2025 ~« | | | | | 18,957 | | | | | | 18,762 | |
|
AP Core Holdings II, LLC | |
6.250% (LIBOR03M + 5.500%) due 09/01/2027 ~ | | | | | 15,775 | | | | | | 15,780 | |
|
Caesars Resort Collection LLC | |
2.854% (LIBOR03M + 2.750%) due 12/23/2024 ~ | | | | | 12,377 | | | | | | 12,329 | |
|
Carnival Corp. | |
3.750% (EUR003M + 3.750%) due 06/30/2025 ~ | | EUR | | | 29,698 | | | | | | 33,711 | |
4.000% (LIBOR03M + 3.250%) due 10/18/2028 ~ | | $ | | | 3,457 | | | | | | 3,427 | |
|
Cengage Learning, Inc. | |
5.750% (LIBOR03M + 4.750%) due 06/29/2026 ~ | | | | | 29,107 | | | | | | 29,221 | |
|
Clear Channel Outdoor Holdings, Inc. | |
3.629% (LIBOR03M + 3.500%) due 08/21/2026 ~ | | | | | 11,575 | | | | | | 11,429 | |
|
Coty, Inc. | |
2.353% (LIBOR03M + 2.250%) due 04/07/2025 ~ | | | | | 1,931 | | | | | | 1,906 | |
2.500% (EUR003M + 2.500%) due 04/07/2025 ~ | | EUR | | | 31,379 | | | | | | 34,995 | |
|
Cromwell EREIT Lux Finco SARL | |
0.942% (EUR003M + 1.500%) due 11/21/2024 ~« | | | | | 6,800 | | | | | | 7,625 | |
|
Dei Sales, Inc. | |
5.604% (LIBOR03M + 5.500%) due 04/28/2028 ~« | | $ | | | 988 | | | | | | 988 | |
|
DirecTV Financing LLC | |
5.750% (LIBOR03M + 5.000%) due 08/02/2027 ~ | | | | | 5,279 | | | | | | 5,291 | |
|
Envision Healthcare Corp. | |
3.854% (LIBOR03M + 3.750%) due 10/10/2025 ~ | | | | | 56,145 | | | | | | 45,351 | |
|
Forest City Enterprises LP | |
3.601% (LIBOR03M + 3.500%) due 12/08/2025 ~ | | | | | 126 | | | | | | 125 | |
|
Frontier Communications Corp. | |
4.500% (LIBOR03M + 3.750%) due 05/01/2028 ~ | | | | | 26,311 | | | | | | 26,337 | |
|
Gateway Casinos & Entertainment Ltd. | |
TBD% (LIBOR03M + 8.000%) due 10/15/2027 ~ | | | | | 46,664 | | | | | | 46,693 | |
8.750% due 10/22/2027 « | | CAD | | | 10,181 | | | | | | 8,058 | |
|
Gibson Brands, Inc. | |
5.750% (LIBOR03M + 5.000%) due 08/11/2028 ~« | | $ | | | 6,300 | | | | | | 6,253 | |
|
II-VI, Inc. | |
TBD% (LIBOR03M + 2.750%) due 12/01/2028 ~ | | | | | 3,009 | | | | | | 3,010 | |
|
Instant Brands Holdings, Inc. | |
5.750% (LIBOR03M + 5.000%) due 04/12/2028 ~« | | | | | 20,613 | | | | | | 19,788 | |
|
Intelsat Jackson Holdings S.A. | |
4.250% due 12/01/2028 « | | | | | 4,385 | | | | | | 4,382 | |
5.392% - 5.750% (LIBOR03M + 4.750%) due 10/13/2022 ~µ | | | | | 6,766 | | | | | | 6,792 | |
8.000% (PRIME + 4.750%) due 11/27/2023 ~ | | | | | 3,000 | | | | | | 3,004 | |
|
KKR Apple Bidco, LLC | |
6.250% (LIBOR03M + 5.750%) due 09/21/2029 ~ | | | | | 1,700 | | | | | | 1,726 | |
|
LifeMiles Ltd. | |
6.250% (LIBOR03M + 5.250%) due 08/30/2026 ~ | | | | | 7,161 | | | | | | 7,150 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
|
Mattress Firm, Inc. | |
5.000% (LIBOR03M + 4.250%) due 09/25/2028 ~ | | $ | | | 2,394 | | | $ | | | 2,382 | |
|
NAC Aviation 29 DAC | |
2.350% due 06/11/2023 « | | | | | 4,571 | | | | | | 3,206 | |
2.353% - 2.354% (LIBOR03M + 2.250%) due 06/27/2022 ~ | | | | | 19,000 | | | | | | 13,189 | |
2.372% due 01/31/2022 « | | | | | 3,929 | | | | | | 2,757 | |
9.000% due 09/16/2022 « | | | | | 4,524 | | | | | | 4,379 | |
|
Parexel International Corp. | |
4.000% (LIBOR03M + 3.500%) due 11/15/2028 ~ | | | | | 3,644 | | | | | | 3,649 | |
|
Project Quasar Pledgco SLU | |
TBD% (EUR003M + 3.250%) due 09/06/2025 ~«(i) | | EUR | | | 19,340 | | | | | | 18,496 | |
|
Promotora de Informaciones S.A. | |
TBD% (EUR003M + 4.500%) due 11/30/2022 ~ | | | | | 18,966 | | | | | | 21,047 | |
|
PUG LLC | |
3.604% (LIBOR03M + 3.500%) due 02/12/2027 ~ | | $ | | | 10,894 | | | | | | 10,676 | |
|
Quantum Bidco Ltd. | |
6.079% due 01/29/2028 « | | GBP | | | 20,000 | | | | | | 26,766 | |
|
Republic of Cote d’lvoire | |
5.000% (EUR003M + 5.000%) due 03/19/2027 ~« | | EUR | | | 1,000 | | | | | | 1,138 | |
|
Royal Caribbean Cruises Ltd. | |
1.494% due 10/12/2022 µ | | $ | | | 14,200 | | | | | | 13,762 | |
|
Scientific Games International, Inc. | |
2.854% (LIBOR03M + 2.750%) due 08/14/2024 ~ | | | | | 1,786 | | | | | | 1,782 | |
|
Sequa Mezzanine Holdings LLC | |
7.750% (LIBOR03M + 6.750%) due 11/28/2023 ~ | | | | | 21,343 | | | | | | 21,517 | |
|
Sigma Bidco B.V. | |
3.750% (WIBOR03M + 3.500%) due 03/31/2025 ~ | | PLN | | | 31,054 | | | | | | 7,168 | |
4.105% (BP0003M + 4.000%) due 07/02/2025 ~ | | GBP | | | 20,000 | | | | | | 26,095 | |
|
Softbank Vision Fund | |
5.000% due 12/21/2025 « | | $ | | | 27,900 | | | | | | 27,909 | |
|
Southwestern Energy Co. | |
3.000% due 06/22/2027 | | | | | 3,100 | | | | | | 3,110 | |
|
Steenbok Lux Finco 2 SARL (10.750% PIK) | |
10.750% (EUR003M) due 12/29/2022 ~(c) | | EUR | | | 50,452 | | | | | | 52,342 | |
|
Steenbok Lux Finco 2 SARL (7.875% PIK) | |
7.875% (EUR003M) due 12/29/2022 ~(c) | | | | | 1,670 | | | | | | 1,914 | |
|
Sunseeker International Ltd. | |
TBD% - 5.550% (LIBOR03M + 5.500%) due 10/31/2028 ~«µ | | $ | | | 22,100 | | | | | | 22,100 | |
|
Sunshine Luxembourg VII SARL | |
4.500% (LIBOR03M + 3.750%) due 10/01/2026 ~ | | | | | 6 | | | | | | 6 | |
|
Syniverse Holdings, Inc. | |
4.500% due 10/15/2028 « | | | | | 64,194 | | | | | | 63,904 | |
6.000% (LIBOR03M + 5.000%) due 03/09/2023 ~ | | | | | 39,024 | | | | | | 38,804 | |
10.000% (LIBOR03M + 9.000%) due 03/11/2024 ~ | | | | | 22,468 | | | | | | 22,347 | |
|
Team Health Holdings, Inc. | |
3.750% (LIBOR03M + 2.750%) due 02/06/2024 ~ | | | | | 32,933 | | | | | | 31,627 | |
|
Telemar Norte Leste S.A. | |
2.336% (LIBOR03M + 1.750%) due 02/26/2035 ~« | | | | | 34,940 | | | | | | 13,801 | |
|
TransDigm, Inc. | |
2.354% (LIBOR03M + 2.250%) due 08/22/2024 ~ | | | | | 9,899 | | | | | | 9,802 | |
2.354% (LIBOR03M + 2.250%) due 12/09/2025 ~ | | | | | 9,899 | | | | | | 9,778 | |
|
U.S. Renal Care, Inc. | |
5.104% (LIBOR03M + 5.000%) due 06/26/2026 ~ | | | | | 5,103 | | | | | | 4,976 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
|
United Airlines, Inc. | |
4.500% (LIBOR03M + 3.750%) due 04/21/2028 ~ | | $ | | | 2,382 | | | $ | | | 2,395 | |
|
Veritas U.S., Inc. | |
6.000% (LIBOR03M + 5.000%) due 09/01/2025 ~ | | | | | 8,330 | | | | | | 8,339 | |
|
Viad Corp. | |
5.500% (LIBOR03M + 5.000%) due 07/30/2028 ~« | | | | | 6,185 | | | | | | 6,177 | |
| | | | | | | | | | | | |
Total Loan Participations and Assignments (Cost $864,998) | | | 854,295 | |
| | | | |
| |
| CORPORATE BONDS & NOTES 55.8% | |
| |
| BANKING & FINANCE 11.9% | |
|
Banca Monte dei Paschi di Siena SpA | |
1.875% due 01/09/2026 (k) | | EUR | | | 20,227 | | | | | | 22,467 | |
2.625% due 04/28/2025 (k) | | | | | 7,000 | | | | | | 7,995 | |
3.625% due 09/24/2024 (k) | | | | | 7,800 | | | | | | 9,064 | |
5.375% due 01/18/2028 •(k) | | | | | 6,000 | | | | | | 5,409 | |
8.000% due 01/22/2030 •(k) | | | | | 2,514 | | | | | | 2,392 | |
10.500% due 07/23/2029 (k) | | | | | 12,177 | | | | | | 13,229 | |
|
Barclays PLC | |
7.125% due 06/15/2025 •(g)(h)(k) | | GBP | | | 300 | | | | | | 448 | |
|
Claveau Re Ltd. | |
17.278% (T-BILL 3MO + 17.250%) due 07/08/2028 ~ | | $ | | | 3,400 | | | | | | 3,416 | |
|
Credit Suisse Group AG | |
5.250% due 02/11/2027 •(g)(h)(k) | | | | | 700 | | | | | | 725 | |
6.375% due 08/21/2026 •(g)(h)(k) | | | | | 600 | | | | | | 648 | |
7.125% due 07/29/2022 •(g)(h)(k) | | | | | 200 | | | | | | 205 | |
7.250% due 09/12/2025 •(g)(h)(k) | | | | | 200 | | | | | | 220 | |
|
Fairfax India Holdings Corp. | |
5.000% due 02/26/2028 (k) | | | | | 19,750 | | | | | | 19,758 | |
|
FloodSmart Re Ltd. | |
13.028% (T-BILL 3MO + 13.000%) due 03/01/2024 ~ | | | 3,920 | | | | | | 3,969 | |
16.778% (T-BILL 3MO + 16.750%) due 03/01/2024 ~ | | | 1,120 | | | | | | 1,128 | |
|
Ford Motor Credit Co. LLC | |
2.330% due 11/25/2025 (k) | | EUR | | | 300 | | | | | | 356 | |
2.386% due 02/17/2026 | | | | | 100 | | | | | | 119 | |
|
Jefferson Capital Holdings LLC | |
6.000% due 08/15/2026 (k) | | $ | | | 7,900 | | | | | | 8,007 | |
|
JPMorgan Chase Bank N.A. | |
7.500% due 06/19/2035 | | IDR | | | 228,824,000 | | | | | | 16,911 | |
|
MGM Growth Properties Operating Partnership LP | |
3.875% due 02/15/2029 (k) | | $ | | | 3,600 | | | | | | 3,785 | |
4.500% due 09/01/2026 (k) | | | | | 1,200 | | | | | | 1,293 | |
4.500% due 01/15/2028 (k) | | | | | 200 | | | | | | 217 | |
5.750% due 02/01/2027 (k) | | | | | 5,100 | | | | | | 5,769 | |
|
NAC Aviation DAC | |
4.920% due 02/27/2026 «(i) | | | | | 6,138 | | | | | | 4,598 | |
|
NAC Aviation PPN | |
4.790% due 02/27/2024 «(i) | | | | | 2,453 | | | | | | 1,811 | |
6.580% due 03/14/2025 «(i) | | | | | 3,921 | | | | | | 3,097 | |
|
Uniti Group LP | |
6.000% due 01/15/2030 (k) | | | | | 21,202 | | | | | | 20,433 | |
6.500% due 02/15/2029 (k) | | | | | 26,904 | | | | | | 26,852 | |
7.875% due 02/15/2025 (k) | | | | | 19,000 | | | | | | 19,854 | |
|
Voyager Aviation Holdings LLC | |
8.500% due 05/09/2026 | | | | | 49,287 | | | | | | 46,146 | |
|
XP, Inc. | |
3.250% due 07/01/2026 (k) | | | | | 4,600 | | | | | | 4,416 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 254,737 | |
| | | | | | | | | | | | |
| |
| INDUSTRIALS 34.6% | |
|
Air Canada | |
3.875% due 08/15/2026 (k) | | | | | 1,100 | | | | | | 1,123 | |
| | | | | | |
| 92 | | PIMCO CLOSED-END FUNDS | | | See Accompanying Notes | |
| | | | | | | | |
| | | | | | December 31, 2021 | | (Unaudited) |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
|
Altice Financing S.A. | |
5.750% due 08/15/2029 (k) | | $ | | | 6,453 | | | $ | | | 6,398 | |
|
American Airlines Pass-Through Trust | |
3.350% due 04/15/2031 (k) | | | | | 811 | | | | | | 827 | |
3.575% due 07/15/2029 (k) | | | | | 686 | | | | | | 698 | |
3.700% due 04/01/2028 (k) | | | | | 2,189 | | | | | | 2,225 | |
|
American Airlines, Inc. | |
5.500% due 04/20/2026 (k) | | | | | 4,000 | | | | | | 4,166 | |
|
BCP Modular Services Finance PLC | |
4.750% due 11/30/2028 | | EUR | | | 1,500 | | | | | | 1,727 | |
|
Bombardier, Inc. | |
7.125% due 06/15/2026 (k) | | $ | | | 21,846 | | | | | | 22,692 | |
|
CGG S.A. | |
7.750% due 04/01/2027 (k) | | EUR | | | 8,900 | | | | | | 10,090 | |
8.750% due 04/01/2027 (k) | | $ | | | 25,253 | | | | | | 24,972 | |
|
Community Health Systems, Inc. | |
6.625% due 02/15/2025 (k) | | | | | 5,000 | | | | | | 5,181 | |
8.000% due 03/15/2026 (k) | | | | | 28,000 | | | | | | 29,466 | |
|
Coty, Inc. | |
3.875% due 04/15/2026 (k) | | EUR | | | 7,300 | | | | | | 8,506 | |
|
Deluxe Corp. | |
8.000% due 06/01/2029 (k) | | $ | | | 3,100 | | | | | | 3,244 | |
|
DISH DBS Corp. | |
5.250% due 12/01/2026 (k) | | | | | 5,630 | | | | | | 5,729 | |
|
Dufry One BV | |
2.000% due 02/15/2027 (k) | | EUR | | | 2,000 | | | | | | 2,119 | |
|
Endure Digital, Inc. | |
6.000% due 02/15/2029 (k) | | $ | | | 15,400 | | | | | | 14,344 | |
|
Envision Healthcare Corp. | |
8.750% due 10/15/2026 (k) | | | | | 23,228 | | | | | | 13,382 | |
|
Frontier Communications Holdings LLC | |
6.000% due 01/15/2030 (k) | | | | | 5,398 | | | | | | 5,434 | |
|
Full House Resorts, Inc. | |
8.250% due 02/15/2028 (k) | | | | | 7,765 | | | | | | 8,164 | |
|
Garda World Security Corp. | |
6.000% due 06/01/2029 (k) | | | | | 3,200 | | | | | | 3,061 | |
|
Grifols Escrow Issuer S.A. | |
3.875% due 10/15/2028 (k) | | EUR | | | 3,600 | | | | | | 4,124 | |
|
Guara Norte SARL | |
5.198% due 06/15/2034 (k) | | $ | | | 5,490 | | | | | | 5,401 | |
|
II-VI, Inc. | |
5.000% due 12/15/2029 (k) | | | | | 780 | | | | | | 798 | |
|
Intelsat Jackson Holdings S.A. | |
5.500% due 08/01/2023 ^(d) | | | | | 69,585 | | | | | | 31,585 | |
6.500% due 12/01/2029 «(b) | | | | | 48,922 | | | | | | 48,874 | |
|
Iris Holdings, Inc. (8.750% Cash or 9.500% PIK) | |
8.750% due 02/15/2026 (c)(k) | | | | | 17,500 | | | | | | 17,718 | |
|
Jaguar Land Rover Automotive PLC | |
4.500% due 01/15/2026 (k) | | EUR | | | 800 | | | | | | 948 | |
6.875% due 11/15/2026 (k) | | | | | 6,600 | | | | | | 8,536 | |
|
Kleopatra Holdings S.C.A. | |
6.500% due 09/01/2026 (k) | | | | | 700 | | | | | | 733 | |
|
Mclaren Finance PLC | |
7.500% due 08/01/2026 (k) | | $ | | | 1,400 | | | | | | 1,419 | |
|
Melco Resorts Finance Ltd. | |
5.375% due 12/04/2029 | | | | | 200 | | | | | | 194 | |
|
MGM China Holdings Ltd. | |
4.750% due 02/01/2027 (k) | | | | | 1,300 | | | | | | 1,289 | |
5.375% due 05/15/2024 (k) | | | | | 2,600 | | | | | | 2,594 | |
|
Midas OpCo Holdings LLC | |
5.625% due 08/15/2029 (k) | | | | | 2,500 | | | | | | 2,563 | |
|
Mohegan Gaming & Entertainment | |
8.000% due 02/01/2026 (k) | | | | | 8,118 | | | | | | 8,534 | |
|
MPH Acquisition Holdings LLC | |
5.500% due 09/01/2028 (k) | | | | | 4,109 | | | | | | 4,172 | |
5.750% due 11/01/2028 (k) | | | | | 17,000 | | | | | | 16,193 | |
|
NCL Corp. Ltd. | |
12.250% due 05/15/2024 (k) | | | | | 9,715 | | | | | | 11,522 | |
|
Nissan Motor Co. Ltd. | |
4.810% due 09/17/2030 (k) | | | | | 200 | | | | | | 224 | |
|
Petroleos Mexicanos | |
6.625% due 06/15/2035 (k) | | | | | 5,250 | | | | | | 5,053 | |
6.700% due 02/16/2032 | | | | | 2,379 | | | | | | 2,408 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
6.750% due 09/21/2047 (k) | | $ | | | 42,909 | | | $ | | | 38,166 | |
|
Petrorio Luxembourg SARL | |
6.125% due 06/09/2026 (k) | | | | | 3,445 | | | | | | 3,460 | |
|
Rolls-Royce PLC | |
1.625% due 05/09/2028 (k) | | EUR | | | 3,000 | | | | | | 3,271 | |
3.375% due 06/18/2026 (k) | | GBP | �� | | 300 | | | | | | 408 | |
3.625% due 10/14/2025 (k) | | $ | | | 6,972 | | | | | | 7,084 | |
4.625% due 02/16/2026 | | EUR | | | 100 | | | | | | 126 | |
5.750% due 10/15/2027 (k) | | GBP | | | 4,200 | | | | | | 6,335 | |
5.750% due 10/15/2027 (k) | | $ | | | 16,584 | | | | | | 18,357 | |
|
Seagate HDD Cayman | |
4.091% due 06/01/2029 (k) | | | | | 2,600 | | | | | | 2,696 | |
|
Southwestern Energy Co. | |
4.750% due 02/01/2032 (k) | | | | | 1,900 | | | | | | 2,005 | |
|
Spirit Airlines Pass-Through Trust | |
4.100% due 10/01/2029 (k) | | | | | 330 | | | | | | 341 | |
|
Standard Industries, Inc. | |
2.250% due 11/21/2026 (k) | | EUR | | | 2,000 | | | | | | 2,238 | |
4.375% due 07/15/2030 (k) | | $ | | | 11,400 | | | | | | 11,654 | |
|
Strathcona Resources Ltd. | |
6.875% due 08/01/2026 (k) | | | | | 1,695 | | | | | | 1,668 | |
|
Studio City Finance Ltd. | |
5.000% due 01/15/2029 (k) | | | | | 7,700 | | | | | | 6,904 | |
|
Tasty Bondco S.A. | |
6.250% due 05/15/2026 (k) | | EUR | | | 9,000 | | | | | | 9,511 | |
|
Times Square Hotel Trust | |
8.528% due 08/01/2026 | | $ | | | 557 | | | | | | 594 | |
|
Topaz Solar Farms LLC | |
5.750% due 09/30/2039 (k) | | | | | 17,690 | | | | | | 21,111 | |
|
Turkish Airlines Pass-Through Trust | |
4.200% due 09/15/2028 (k) | | | | | 304 | | | | | | 282 | |
|
U.S. Renal Care, Inc. | |
10.625% due 07/15/2027 (k) | | | | | 20,402 | | | | | | 20,728 | |
|
Vale S.A. | |
2.762% due 12/29/2049 ~«(g) | | BRL | | | 340,000 | | | | | | 30,376 | |
|
Veritas U.S., Inc. | |
7.500% due 09/01/2025 (k) | | $ | | | 22,099 | | | | | | 22,901 | |
|
Victors Merger Corp. | |
6.375% due 05/15/2029 (k) | | | | | 4,400 | | | | | | 4,142 | |
|
Viking Cruises Ltd. | |
13.000% due 05/15/2025 (k) | | | | | 100 | | | | | | 113 | |
|
Viking Ocean Cruises Ship Ltd. | |
5.625% due 02/15/2029 (k) | | | | | 14,500 | | | | | | 14,502 | |
|
VOC Escrow Ltd. | |
5.000% due 02/15/2028 (k) | | | | | 15,000 | | | | | | 14,872 | |
|
Windstream Escrow LLC | |
7.750% due 08/15/2028 (k) | | | | | 53,575 | | | | | | 56,896 | |
|
Wolverine Escrow LLC | |
8.500% due 11/15/2024 (k) | | | | | 41,004 | | | | | | 38,074 | |
9.000% due 11/15/2026 (k) | | | | | 22,676 | | | | | | 21,567 | |
|
Wynn Las Vegas LLC | |
5.250% due 05/15/2027 (k) | | | | | 200 | | | | | | 205 | |
5.500% due 03/01/2025 (k) | | | | | 24,976 | | | | | | 25,759 | |
|
Wynn Macau Ltd. | |
4.875% due 10/01/2024 (k) | | | | | 500 | | | | | | 471 | |
5.500% due 01/15/2026 (k) | | | | | 1,800 | | | | | | 1,694 | |
5.500% due 10/01/2027 (k) | | | | | 600 | | | | | | 559 | |
|
Wynn Resorts Finance LLC | |
7.750% due 04/15/2025 | | | | | 300 | | | | | | 315 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 737,815 | |
| | | | | | | | | | | | |
| |
| UTILITIES 9.3% | |
|
DTEK Finance PLC (1.500% Cash and 3.500% PIK) | |
5.000% due 12/31/2027 (c)(k) | | | | | 4,625 | | | | | | 2,535 | |
|
Eskom Holdings SOC Ltd. | |
6.750% due 08/06/2023 (k) | | | | | 48,000 | | | | | | 49,403 | |
|
FEL Energy SARL | |
5.750% due 12/01/2040 (k) | | | | | 9,648 | | | | | | 9,682 | |
|
NGD Holdings BV | |
6.750% due 12/31/2026 (k) | | | | | 1,113 | | | | | | 1,021 | |
|
Oi S.A. (10.000% Cash or 12.000% PIK) | |
10.000% due 07/27/2025 (c)(k) | | | | | 25,900 | | | | | | 22,756 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
|
Pacific Gas & Electric Co. | |
4.200% due 06/01/2041 (k) | | $ | | | 7,500 | | | $ | | | 7,561 | |
4.450% due 04/15/2042 (k) | | | | | 448 | | | | | | 456 | |
4.600% due 06/15/2043 (k) | | | | | 8,128 | | | | | | 8,397 | |
4.750% due 02/15/2044 (k) | | | | | 21,408 | | | | | | 22,250 | |
4.950% due 07/01/2050 (k) | | | | | 24,700 | | | | | | 26,964 | |
|
Peru LNG SRL | |
5.375% due 03/22/2030 (k) | | | | | 12,625 | | | | | | 10,940 | |
|
Petrobras Global Finance BV | |
6.750% due 06/03/2050 (k) | | | | | 19,771 | | | | | | 20,713 | |
6.900% due 03/19/2049 (k) | | | | | 15,000 | | | | | | 15,998 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 198,676 | |
| | | | | | | | | | | | |
Total Corporate Bonds & Notes
(Cost $1,228,583) | | | 1,191,228 | |
| | | | |
| |
| CONVERTIBLE BONDS & NOTES 2.4% | |
| |
| BANKING & FINANCE 1.5% | |
|
Corestate Capital Holding S.A. | |
1.375% due 11/28/2022 (k) | | EUR | | | 7,300 | | | | | | 7,334 | |
|
PennyMac Corp. | |
5.500% due 03/15/2026 (k) | | $ | | | 24,225 | | | | | | 23,741 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 31,075 | |
| | | | | | | | | | | | |
| |
| INDUSTRIALS 0.9% | |
|
DISH Network Corp. | |
3.375% due 08/15/2026 (k) | | | | | 3,700 | | | | | | 3,511 | |
|
Vnet Group Inc | |
0.000% due 02/01/2026 (f) | | | | | 20,000 | | | | | | 16,100 | �� |
| | | | | | | | | | | | |
| | | | | | | | | | | 19,611 | |
| | | | | | | | | | | | |
Total Convertible Bonds & Notes (Cost $53,257) | | | 50,686 | |
| | | | |
| |
| MUNICIPAL BONDS & NOTES 3.4% | |
| |
| PUERTO RICO 3.3% | |
|
Commonwealth of Puerto Rico General Obligation Bonds, Series 2014 | |
8.000% due 07/01/2035 ^(d) | | | | | 64,550 | | | | | | 57,449 | |
|
CPR Custodial Receipt, Puerto Rico Revenue Bonds, Series 2021 | |
1.000% due 01/01/2045 ^(d) | | | | | 13,300 | | | | | | 12,835 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 70,284 | |
| | | | | | | | | | | | |
| |
| WEST VIRGINIA 0.1% | |
|
Tobacco Settlement Finance Authority, West Virginia Revenue Bonds, Series 2007 | |
0.000% due 06/01/2047 (f) | | | | | 25,000 | | | | | | 2,786 | |
| | | | | | | | | | | | |
Total Municipal Bonds & Notes (Cost $64,722) | | | 73,070 | |
| | | | |
| |
| U.S. GOVERNMENT AGENCIES 2.0% | |
|
Fannie Mae | |
2.500% due 04/25/2049 - 02/25/2050 (a)(k) | | | | | 26,951 | | | | | | 2,696 | |
3.000% due 12/25/2032 - 01/25/2051 (a)(k) | | | | | 16,236 | | | | | | 2,143 | |
3.500% due 05/25/2030 - 04/25/2050 (a)(k) | | | | | 18,780 | | | | | | 2,789 | |
4.000% due 09/25/2051 (a)(k) | | | | | 32,296 | | | | | | 5,539 | |
4.500% due 07/25/2045 - 12/25/2047 (a)(k) | | | | | 5,237 | | | | | | 849 | |
5.000% due 08/25/2043 (a)(k) | | | | | 3,719 | | | | | | 715 | |
|
Freddie Mac | |
2.000% due 11/25/2050 - 01/25/2051 (a)(k) | | | | | 21,578 | | | | | | 2,157 | |
2.500% due 03/25/2051 (a)(k) | | | | | 17,889 | | | | | | 2,390 | |
3.000% due 11/25/2050 - 09/25/2051 (a)(k) | | | | | 55,433 | | | | | | 8,071 | |
3.500% due 04/25/2041 - 08/25/2051 (a)(k) | | | | | 33,603 | | | | | | 4,359 | |
| | | | | | | | | | | | |
| See Accompanying Notes | | | SEMIANNUAL REPORT | | | | | | | DECEMBER 31, 2021 | | | 93 |
| | | | | | | | |
| Consolidated Schedule of Investments | | PIMCO Dynamic Income Opportunities Fund | | (Cont.) | | | | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
4.000% due 11/25/2048 - 06/25/2051 (a)(k) | | $ | | | 19,076 | | | $ | | | 3,319 | |
4.500% due 12/25/2050 - 07/25/2051 (a)(k) | | | | | 12,818 | | | | | | 1,993 | |
5.890% due 07/15/2042 •(a)(k) | | | | | 2,409 | | | | | | 398 | |
6.090% due 03/15/2043 - 11/15/2047 •(a)(k) | | | | | 12,037 | | | | | | 2,017 | |
|
Uniform Mortgage-Backed Security, TBA | |
2.000% due 01/01/2052 | | | | | 3,000 | | | | | | 2,991 | |
| | | | | | | | | | | | |
Total U.S. Government Agencies (Cost $41,040) | | | 42,426 | |
| | | | |
| |
| NON-AGENCY MORTGAGE-BACKED SECURITIES 44.9% | |
|
280 Park Avenue Mortgage Trust | |
2.937% due 09/15/2034 •(k) | | | | | 4,750 | | | | | | 4,704 | |
|
Ashford Hospitality Trust | |
2.210% due 04/15/2035 •(k) | | | | | 2,500 | | | | | | 2,477 | |
3.210% due 04/15/2035 • | | | | | 8,700 | | | | | | 8,414 | |
|
Atrium Hotel Portfolio Trust | |
3.160% due 12/15/2036 •(k) | | | | | 1,111 | | | | | | 1,054 | |
3.510% due 06/15/2035 •(k) | | | | | 11,037 | | | | | | 10,552 | |
|
Austin Fairmont Hotel Trust | |
2.360% due 09/15/2032 • | | | | | 6,000 | | | | | | 5,863 | |
|
Banc of America Funding Trust | |
0.343% due 06/26/2036 •(k) | | | | | 4,030 | | | | | | 3,868 | |
1.119% due 09/26/2036 ~ | | | | | 4,502 | | | | | | 3,985 | |
5.750% due 05/26/2036 | | | | | 429 | | | | | | 374 | |
|
Barclays Commercial Mortgage Securities Trust | |
3.660% due 07/15/2037 •(k) | | | | | 4,278 | | | | | | 4,240 | |
3.688% due 02/15/2053 ~(k) | | | | | 15,650 | | | | | | 15,527 | |
4.760% due 02/15/2033 •(k) | | | | | 5,000 | | | | | | 5,023 | |
|
Barclays Commercial Real Estate Trust | |
4.563% due 08/10/2033 ~(k) | | | | | 16,240 | | | | | | 16,091 | |
|
Bear Stearns Commercial Mortgage Securities Trust | |
5.430% due 01/12/2045 ~ | | | | | 5,126 | | | | | | 3,884 | |
|
Beast Mortgage Trust | |
2.750% due 03/15/2036 •(k) | | | | | 24,870 | | | | | | 24,884 | |
3.700% due 03/15/2036 •(k) | | | | | 5,750 | | | | | | 5,745 | |
4.700% due 03/15/2036 •(k) | | | | | 6,125 | | | | | | 6,133 | |
|
Beneria Cowen & Pritzer Collateral Funding Corp. | |
3.748% due 06/15/2038 •(k) | | | | | 5,000 | | | | | | 4,960 | |
|
Braemar Hotels & Resorts Trust | |
2.510% due 06/15/2035 • | | | | | 5,000 | | | | | | 4,878 | |
|
BX Commercial Mortgage Trust | |
3.260% due 07/15/2034 •(k) | | | | | 9,412 | | | | | | 9,434 | |
4.360% due 07/15/2034 •(k) | | | | | 6,800 | | | | | | 6,815 | |
|
Citigroup Commercial Mortgage Trust | |
2.520% due 02/15/2039 •(k) | | | | | 14,327 | | | | | | 14,236 | |
2.910% due 12/15/2036 •(k) | | | | | 8,811 | | | | | | 8,735 | |
3.518% due 05/10/2035 ~(k) | | | | | 1,300 | | | | | | 1,289 | |
3.790% due 12/15/2072 ~ | | | | | 4,600 | | | | | | 4,250 | |
|
Colony Mortgage Capital Ltd. | |
2.831% due 11/15/2038 •(k) | | | | | 15,000 | | | | | | 14,862 | |
|
Commercial Mortgage Trust | |
1.660% due 06/15/2034 •(k) | | | | | 4,950 | | | | | | 4,754 | |
2.504% due 06/15/2034 •(k) | | | | | 7,400 | | | | | | 6,979 | |
|
Connecticut Avenue Securities Trust | |
2.800% due 12/25/2041 • | | | | | 4,300 | | | | | | 4,307 | |
|
CRSNT Commercial Mortgage Trust | |
3.610% due 04/15/2036 •(k) | | | | | 7,000 | | | | | | 7,012 | |
|
DBWF Mortgage Trust | |
3.122% due 12/19/2030 •(k) | | | | | 29,075 | | | | | | 28,974 | |
|
Deutsche Mortgage & Asset Receiving Corp. | |
0.592% due 11/27/2036 • | | | | | 6,300 | | | | | | 5,612 | |
|
DOLP Trust | |
0.665% due 05/10/2041 ~(a)(k) | | | | | 309,500 | | | | | | 15,218 | |
3.704% due 05/10/2041 ~ | | | | | 29,000 | | | | | | 26,348 | |
|
DROP Mortgage Trust | |
2.860% due 04/15/2026 •(k) | | | | | 5,500 | | | | | | 5,511 | |
|
Extended Stay America Trust | |
3.810% due 07/15/2038 •(k) | | | | | 18,703 | | | | | | 18,771 | |
|
Freddie Mac | |
7.550% due 10/25/2041 • | | | | | 22,000 | | | | | | 22,937 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
|
GCT Commercial Mortgage Trust | |
3.460% due 02/15/2038 •(k) | | $ | | | 49,700 | | | $ | | | 49,652 | |
|
Greenwood Park CLO Ltd. | |
0.000% due 10/20/2030 « | | | | | 13,000 | | | | | | 260 | |
0.000% due 04/15/2031 « | | | | | 27,000 | | | | | | 540 | |
|
GS Mortgage Securities Corp. Trust | |
2.660% due 11/15/2032 •(k) | | | | | 10,632 | | | | | | 10,533 | |
4.610% due 07/15/2032 •(k) | | | | | 25,400 | | | | | | 25,475 | |
|
GS Mortgage-Backed Securities Corp. Trust | |
0.000% due 12/25/2060 ~(a) | | | | | 204,132 | | | | | | 7,924 | |
0.010% due 12/25/2060 ~ | | | | | 267 | | | | | | 266 | |
0.165% due 12/25/2060 ~(a) | | | | | 180,782 | | | | | | 1,000 | |
3.619% due 12/25/2060 ~ | | | | | 34,468 | | | | | | 34,206 | |
|
Hawaii Hotel Trust | |
2.860% due 05/15/2038 • | | | | | 5,000 | | | | | | 4,965 | |
2.860% due 05/15/2038 •(k) | | | | | 34,335 | | | | | | 34,094 | |
|
Hilton Orlando Trust | |
2.910% due 12/15/2034 •(k) | | | | | 10,953 | | | | | | 10,898 | |
|
Hilton USA Trust | |
6.155% due 11/05/2035 | | | | | 6,017 | | | | | | 6,032 | |
|
HPLY Trust | |
3.260% due 11/15/2036 •(k) | | | | | 1,781 | | | | | | 1,728 | |
|
InTown Hotel Portfolio Trust | |
4.210% due 01/15/2033 •(k) | | | | | 13,100 | | | | | | 13,166 | |
|
J.P. Morgan Chase Commercial Mortgage Securities Trust | |
2.310% due 02/15/2035 •(k) | | | | | 1,000 | | | | | | 998 | |
|
JP Morgan Alternative Loan Trust | |
0.382% due 03/25/2037 •(k) | | | | | 17,857 | | | | | | 19,049 | |
|
JP Morgan Chase Commercial Mortgage Securities Trust | |
2.604% due 07/05/2033 •(k) | | | | | 5,012 | | | | | | 5,016 | |
2.954% due 07/05/2033 •(k) | | | | | 10,000 | | | | | | 10,010 | |
3.110% due 06/15/2035 •(k) | | | | | 27,417 | | | | | | 27,416 | |
3.210% due 03/15/2036 •(k) | | | | | 25,550 | | | | | | 25,499 | |
3.960% due 03/15/2036 •(k) | | | | | 9,500 | | | | | | 9,481 | |
5.868% due 01/12/2038 ~(k) | | | | | 2,203 | | | | | | 2,225 | |
|
JP Morgan Resecuritization Trust | |
0.282% due 12/27/2046 • | | | | | 9,433 | | | | | | 8,176 | |
|
ML-CFC Commercial Mortgage Trust | |
5.324% due 12/12/2049 ~ | | | | | 199 | | | | | | 197 | |
|
Morgan Stanley Capital Trust | |
2.310% due 11/15/2034 •(k) | | | | | 5,370 | | | | | | 5,342 | |
3.260% due 11/15/2034 • | | | | | 3,357 | | | | | | 3,316 | |
3.744% due 12/15/2036 • | | | | | 3,000 | | | | | | 2,998 | |
|
Morgan Stanley Re-REMIC Trust | |
1.109% due 03/26/2037 þ(k) | | | | | 4,016 | | | | | | 4,106 | |
|
MRCD Mortgage Trust | |
2.718% due 12/15/2036 (k) | | | | | 28,715 | | | | | | 27,348 | |
|
Natixis Commercial Mortgage Securities Trust | |
2.360% due 11/15/2034 •(k) | | | | | 6,000 | | | | | | 5,978 | |
3.790% due 11/15/2032 ~ | | | | | 2,042 | | | | | | 2,028 | |
3.790% due 11/15/2032 ~(k) | | | | | 13,150 | | | | | | 13,144 | |
|
New Orleans Hotel Trust | |
2.799% due 04/15/2032 • | | | | | 7,491 | | | | | | 7,230 | |
|
New Residential Mortgage Loan Trust | |
3.528% due 07/25/2055 ~ | | | | | 1,242 | | | | | | 1,242 | |
4.002% due 07/25/2059 ~ | | | | | 5,000 | | | | | | 4,708 | |
4.328% due 07/25/2055 ~ | | | | | 1,000 | | | | | | 999 | |
|
PMT Credit Risk Transfer Trust | |
3.002% due 02/27/2024 •(k) | | | | | 23,297 | | | | | | 23,633 | |
|
PRET LLC | |
3.967% due 09/25/2051 þ | | | | | 17,900 | | | | | | 17,488 | |
|
Ready Capital Mortgage Financing LLC | |
3.852% due 04/25/2038 •(k) | | | | | 7,000 | | | | | | 6,981 | |
|
Residential Accredit Loans, Inc. Trust | |
0.522% due 06/25/2037 • | | | | | 983 | | | | | | 971 | |
|
Seasoned Credit Risk Transfer Trust | |
4.250% due 09/25/2060 | | | | | 6,220 | | | | | | 6,359 | |
4.250% due 03/25/2061 ~ | | | | | 3,263 | | | | | | 3,319 | |
4.750% due 10/25/2058 ~ | | | | | 2,360 | | | | | | 2,426 | |
5.159% due 05/25/2057 ~ | | | | | 17,989 | | | | | | 10,799 | |
8.787% due 11/25/2060 ~ | | | | | 5,548 | | | | | | 5,275 | |
14.422% due 09/25/2060 ~ | | | | | 4,250 | | | | | | 4,056 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
|
SFO Commercial Mortgage Trust | |
3.010% due 05/15/2038 •(k) | | $ | | | 18,000 | | | $ | | | 18,099 | |
3.760% due 05/15/2038 •(k) | | | | | 6,000 | | | | | | 6,071 | |
|
Tharaldson Hotel Portfolio Trust | |
3.584% due 11/11/2034 • | | | | | 5,025 | | | | | | 4,913 | |
|
Trinity Square PLC | |
0.000% due 07/15/2059 (f) | | GBP | | | 10,853 | | | | | | 38,059 | |
3.550% due 07/15/2059 • | | | | | 10,843 | | | | | | 14,702 | |
4.550% due 07/15/2059 • | | | | | 5,421 | | | | | | 7,379 | |
5.050% due 07/15/2059 • | | | | | 10,844 | | | | | | 14,700 | |
6.050% due 07/15/2059 • | | | | | 7,683 | | | | | | 10,413 | |
|
VASA Trust | |
3.260% due 07/15/2039 •(k) | | $ | | | 10,000 | | | | | | 10,035 | |
4.010% due 07/15/2039 • | | | | | 7,000 | | | | | | 7,028 | |
|
Verus Securitization Trust | |
3.195% due 10/25/2063 ~(k) | | | | | 1,800 | | | | | | 1,798 | |
|
Waikiki Beach Hotel Trust | |
2.140% due 12/15/2033 •(k) | | | | | 3,000 | | | | | | 2,976 | |
2.790% due 12/15/2033 • | | | | | 5,000 | | | | | | 4,863 | |
|
WaMu Mortgage Pass-Through Certificates Trust | |
0.892% due 07/25/2047 • | | | | | 2,598 | | | | | | 2,350 | |
1.152% due 12/25/2045 • | | | | | 7,315 | | | | | | 6,758 | |
|
Wells Fargo Mortgage-Backed Securities Trust | |
2.602% due 10/25/2036 ~ | | | | | 335 | | | | | | 330 | |
| | | | | | | | | | | | |
Total Non-Agency Mortgage-Backed Securities (Cost $953,895) | | | 957,726 | |
| | | | |
| |
| ASSET-BACKED SECURITIES 14.6% | |
|
ACE Securities Corp. Home Equity Loan Trust | |
0.687% due 02/25/2036 •(k) | | | | | 6,042 | | | | | | 6,149 | |
|
Asset-Backed Securities Corp. Home Equity Loan Trust | |
0.332% due 05/25/2037 • | | | | | 6,135 | | | | | | 5,051 | |
|
Ayresome CDO Ltd. | |
0.560% due 12/08/2045 • | | | | | 29,302 | | | | | | 16,628 | |
|
Bear Stearns Asset-Backed Securities Trust | |
0.432% due 01/25/2037 • | | | | | 6,302 | | | | | | 6,359 | |
|
BSPRT Issuer Ltd. | |
2.510% due 05/15/2029 •(k) | | | | | 5,000 | | | | | | 4,973 | |
|
Carvana Auto Receivables Trust | |
0.000% due 01/10/2028 «(f) | | | | | 10 | | | | | | 4,280 | |
|
College Avenue Student Loans LLC | |
4.120% due 07/25/2051 | | | | | 1,750 | | | | | | 1,756 | |
|
Duke Funding High Grade Ltd. | |
0.090% due 08/02/2049 (a) | | | | | 843,310 | | | | | | 1,102 | |
0.234% due 08/02/2049 • | | | | | 30,014 | | | | | | 838 | |
|
First Franklin Mortgage Loan Trust | |
0.412% due 10/25/2036 • | | | | | 4,000 | | | | | | 3,549 | |
|
First NLC Trust | |
1.122% due 12/25/2035 • | | | | | 3,250 | | | | | | 3,188 | |
|
Flagship Credit Auto Trust | |
0.000% due 04/17/2028 «(f) | | | | | 10 | | | | | | 3,681 | |
|
FREED ABS Trust | |
0.000% due 09/20/2027 «(f) | | | | | 4 | | | | | | 1,564 | |
|
Greenwood Park CLO Ltd. | |
0.000% due 04/15/2031 ~ | | | | | 27,000 | | | | | | 18,967 | |
|
Home Equity Mortgage Loan Asset-Backed Trust | |
0.272% due 04/25/2037 • | | | | | 8,105 | | | | | | 6,638 | |
|
KKR CLO Ltd. | |
0.000% due 04/20/2034 ~ | | | | | 10,000 | | | | | | 8,803 | |
|
Long Beach Mortgage Loan Trust | |
0.807% due 11/25/2035 •(k) | | | | | 10,014 | | | | | | 9,978 | |
|
Madison Park Funding Ltd. | |
0.000% due 07/27/2047 ~ | | | | | 5,600 | | | | | | 3,814 | |
|
Marlette Funding Trust | |
0.000% due 09/16/2030 «(f) | | | | | 38 | | | | | | 7,694 | |
|
Mill City Mortgage Loan Trust | |
0.000% due 04/25/2057 ~ | | | | | 362,773 | | | | | | 5,985 | |
0.000% due 11/25/2058 ~ | | | | | 305,356 | | | | | | 1,381 | |
0.653% due 11/25/2058 ~ | | | | | 16,205 | | | | | | 14,929 | |
1.913% due 04/25/2057 ~ | | | | | 19,586 | | | | | | 19,227 | |
|
Montauk Point CDO Ltd. | |
0.437% due 04/06/2046 • | | | | | 327,058 | | | | | | 10,173 | |
0.442% due 10/06/2042 • | | | | | 213,556 | | | | | | 19,786 | |
| | | | | | |
| 94 | | PIMCO CLOSED-END FUNDS | | | See Accompanying Notes | |
| | | | | | | | |
| | | | | | December 31, 2021 | | (Unaudited) |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
|
Morgan Stanley ABS Capital, Inc. Trust | |
1.212% due 07/25/2035 • | | $ | | | 6,908 | | | $ | | | 6,496 | |
|
Morgan Stanley Capital, Inc. Trust | |
0.462% due 03/25/2036 • | | | | | 2,695 | | | | | | 2,439 | |
|
Myers Park CLO Ltd. | |
0.000% due 10/20/2030 ~ | | | | | 13,000 | | | | | | 9,257 | |
|
NAC Aviation PPN | |
6.730% due 03/15/2027 «(i) | | | | | 4,442 | | | | | | 3,720 | |
|
Option One Mortgage Loan Trust | |
0.342% due 04/25/2037 • | | | | | 4,060 | | | | | | 2,855 | |
|
PRET LLC | |
3.721% due 07/25/2051 þ | | | | | 2,600 | | | | | | 2,567 | |
|
Renaissance Home Equity Loan Trust | |
5.586% due 11/25/2036 þ | | | | | 7,958 | | | | | | 3,970 | |
|
Securitized Asset-Backed Receivables LLC Trust | |
0.602% due 03/25/2036 • | | | | | 1,612 | | | | | | 1,292 | |
|
Sierra Madre Funding Ltd. | |
0.484% due 09/07/2039 • | | | | | 1,383 | | | | | | 1,235 | |
|
Specialty Underwriting & Residential Finance Trust | |
0.402% due 09/25/2037 •(k) | | | | | 24,987 | | | | | | 12,759 | |
|
Structured Asset Investment Loan Trust | |
0.622% due 05/25/2036 • | | | | | 14,747 | | | | | | 7,111 | |
|
Structured Asset Securities Corp. Mortgage Loan Trust | |
0.302% due 06/25/2037 • | | | | | 6,434 | | | | | | 5,195 | |
0.342% due 01/25/2037 •(k) | | | | | 10,000 | | | | | | 7,916 | |
0.402% due 04/25/2036 • | | | | | 20,088 | | | | | | 19,904 | |
|
Structured Finance Advisors ABS CDO Ltd. | |
0.214% due 07/02/2037 • | | | | | 43,989 | | | | | | 11,745 | |
|
Summer Street Ltd. | |
0.430% due 12/06/2045 • | | | | | 50,668 | | | | | | 13,136 | |
|
Towd Point Mortgage Trust | |
5.250% due 11/25/2058 ~ | | | | | 2,816 | | | | | | 2,836 | |
5.750% due 11/25/2058 ~ | | | | | 5,278 | | | | | | 5,323 | |
6.250% due 11/25/2058 ~ | | | | | 5,460 | | | | | | 5,530 | |
| | | | | | | | | | | | |
Total Asset-Backed Securities (Cost $324,094) | | | 311,779 | |
| | | | |
| |
| SOVEREIGN ISSUES 5.5% | |
|
Argentina Government International Bond | |
0.500% due 07/09/2030 þ(k) | | | | | 17,043 | | | | | | 6,050 | |
1.125% due 07/09/2035 þ | | | | | 3,348 | | | | | | 1,088 | |
2.000% due 01/09/2038 þ(k) | | | | | 2,899 | | | | | | 1,115 | |
2.500% due 07/09/2041 þ(k) | | | | | 41,970 | | | | | | 14,978 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
|
Ecuador Government International Bond | |
1.000% due 07/31/2035 þ(k) | | $ | | | 3,300 | | | $ | | | 2,170 | |
5.000% due 07/31/2030 þ(k) | | | | | 19,720 | | | | | | 16,343 | |
|
Egypt Government International Bond | |
3.875% due 02/16/2026 (k) | | | | | 2,350 | | | | | | 2,204 | |
6.375% due 04/11/2031 | | EUR | | | 5,240 | | | | | | 5,515 | |
7.500% due 02/16/2061 (k) | | $ | | | 6,650 | | | | | | 5,447 | |
|
Nigeria Government International Bond | |
8.250% due 09/28/2051 (k) | | | | | 3,600 | | | | | | 3,384 | |
|
Romania Government International Bond | |
2.750% due 04/14/2041 (k) | | EUR | | | 5,800 | | | | | | 5,915 | |
2.875% due 04/13/2042 (k) | | | | | 4,000 | | | | | | 4,089 | |
|
South Africa Government International Bond | |
8.875% due 02/28/2035 (k) | | ZAR | | | 682,900 | | | | | | 38,556 | |
|
Ukraine Government International Bond | |
6.876% due 05/21/2029 (k) | | $ | | | 10,700 | | | | | | 9,505 | |
| | | | | | | | | | | | |
Total Sovereign Issues (Cost $121,339) | | | 116,359 | |
| | | | |
| |
| | | | | SHARES | | | | | | |
| COMMON STOCKS 0.1% | |
| |
| FINANCIALS 0.1% | |
| | | | |
Credit Suisse Group AG | | | | | 115,607 | | | | | | 1,126 | |
| | | | | | | | | | | | |
| |
| INDUSTRIALS 0.0% | |
| | | |
Voyager Aviation Holdings « | | | 6,860 | | | | | | 0 | |
| | | | | | | | | | | | |
Total Common Stocks (Cost $1,095) | | | 1,126 | |
| | | | |
| |
| PREFERRED SECURITIES 3.6% | |
| |
| BANKING & FINANCE 3.0% | |
|
Nationwide Building Society | |
10.250% ~ | | | | | 4,600 | | | | | | 1,191 | |
|
Stichting AK Rabobank Certificaten | |
6.500% due 12/29/2049 þ(g)(k) | | | 40,671,275 | | | | | | 63,900 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 65,091 | |
| | | | | | | | | | | | |
| |
| INDUSTRIALS 0.6% | |
|
Voyager Aviation Holdings LLC | |
9.500% « | | | | | 41,160 | | | | | | 12,774 | |
| | | | | | | | | | | | |
Total Preferred Securities (Cost $79,601) | | | 77,865 | |
| | | | |
| | | | | | | | | | | | |
| | | | | SHARES | | | | | MARKET
VALUE
(000S) | |
| REAL ESTATE INVESTMENT TRUSTS 3.3% | |
| |
| FINANCIALS 3.3% | |
| | | | |
AGNC Investment Corp. | | | | | 1,270,500 | | | $ | | | 19,109 | |
| | | | |
Annaly Capital Management, Inc. | | | | | 2,438,000 | | | | | | 19,065 | |
| | | | |
KKR Real Estate Finance Trust, Inc. | | | | | 1,082,100 | | | | | | 22,540 | |
| | | | |
PennyMac Mortgage Investment Trust | | | | | 556,200 | | | | | | 9,639 | |
| | | | | | | | | | | | |
Total Real Estate Investment Trusts
(Cost $71,245) | | | 70,353 | |
| | | | |
| |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | | |
| SHORT-TERM INSTRUMENTS 5.5% | |
| |
| REPURCHASE AGREEMENTS (j) 0.9% | |
| | | | | | | | | | | 20,100 | |
| | | | | | | | | | | | |
| |
| U.S. TREASURY BILLS 0.6% | |
0.051% due 01/04/2022 - 03/24/2022 (e)(f)(k)(m)(o) | | | | $ | 13,713 | | | | | | 13,713 | |
| | | | | | | | | | | | |
| |
| U.S. TREASURY CASH MANAGEMENT BILLS 4.0% | |
0.068% due 03/15/2022 - 03/29/2022 (e)(f)(k)(m)(o) | | | | | 86,000 | | | | | | 85,988 | |
| | | | | | | | | | | | |
Total Short-Term Instruments
(Cost $119,799) | | | 119,801 | |
| | | | |
| |
| | | | |
Total Investments in Securities
(Cost $3,923,668) | | | 3,866,714 | |
| |
| | | | |
Total Investments 181.2%
(Cost $3,923,668) | | | $ | | | 3,866,714 | |
| |
Financial Derivative
Instruments (l)(n) (0.1)% (Cost or Premiums, net $(7,898)) | | | | | | (1,376 | ) |
| |
| Other Assets and Liabilities, net (81.1)% | | | (1,731,077 | ) |
| | | | |
| Net Assets 100.0% | | | $ | | | 2,134,261 | |
| | | | | | | |
NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:
| * | A zero balance may reflect actual amounts rounding to less than one thousand. |
| « | Security valued using significant unobservable inputs (Level 3). |
| µ | All or a portion of this amount represents unfunded loan commitments. The interest rate for the unfunded portion will be determined at the time of funding. |
| ~ | Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description. |
| • | Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description. |
| þ | Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end. |
| (a) | Security is an Interest Only (“IO”) or IO Strip. |
| (c) | Payment in-kind security. |
| (d) | Security is not accruing income as of the date of this report. |
| (e) | Coupon represents a weighted average yield to maturity. |
| (g) | Perpetual maturity; date shown, if applicable, represents next contractual call date. |
| (h) | Contingent convertible security. |
| | | | | | | | | | | | |
| See Accompanying Notes | | | SEMIANNUAL REPORT | | | | | | | DECEMBER 31, 2021 | | | 95 |
| | | | | | | | |
| Consolidated Schedule of Investments | | PIMCO Dynamic Income Opportunities Fund | | (Cont.) | | | | |
(i) RESTRICTED SECURITIES:
| | | | | | | | | | | | | | | | | | | | | | | | |
| Issuer Description | | Coupon | | | Maturity
Date | | | Acquisition
Date | | | Cost | | | Market
Value | | | Market Value
as Percentage
of Net Assets | |
NAC Aviation DAC | | | 4.920 | % | | | 02/27/2026 | | | | 09/17/2021 | | | $ | 4,967 | | | $ | 4,598 | | | | 0.22 | % |
NAC Aviation PPN | | | 4.790 | | | | 02/27/2024 | | | | 09/22/2021 | | | | 2,025 | | | | 1,811 | | | | 0.08 | |
NAC Aviation PPN | | | 6.580 | | | | 03/14/2025 | | | | 09/22/2021 | | | | 3,217 | | | | 3,097 | | | | 0.15 | |
NAC Aviation PPN | | | 6.730 | | | | 03/15/2027 | | | | 09/22/2021 | | | | 3,627 | | | | 3,720 | | | | 0.17 | |
Project Quasar Pledgco SLU | | | 3.250 | | | | 09/06/2025 | | | | 12/21/2021 | | | | 18,359 | | | | 18,496 | | | | 0.87 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | $ | 32,195 | | | $ | 31,722 | | | | 1.49 | % |
| | | | | | | | | | | | | | | | | | | | |
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) | |
| BPS | | | 0.030 | % | | | 12/31/2021 | | | | 01/03/2022 | | | $ | 20,100 | | | U.S. Treasury Notes 2.500% due 05/15/2024 | | $ | (20,513 | ) | | $ | 20,100 | | | $ | 20,100 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Repurchase Agreements | | | | | $ | (20,513 | ) | | $ | 20,100 | | | $ | 20,100 | |
| | | | | | | | | | | | | | | |
REVERSE REPURCHASE AGREEMENTS:
| | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Borrowing
Rate(2) | | | Settlement
Date | | | Maturity
Date | | | Amount
Borrowed(2) | | | Payable for
Reverse
Repurchase
Agreements | |
BOM | | | 0.520 | % | | | 10/13/2021 | | | | 01/11/2022 | | | $ | | | (17,311 | ) | | $ | (17,331 | ) |
BOS | | | 0.260 | | | | 10/18/2021 | | | | 01/12/2022 | | | | | | (10,202 | ) | | | (10,208 | ) |
| | | 0.450 | | | | 06/30/2021 | | | | 03/30/2022 | | | | | | (6,794 | ) | | | (6,810 | ) |
BPS | | | (2.250 | ) | | | 10/08/2021 | | | | TBD | (3) | | EUR | | | (1,984 | ) | | | (2,250 | ) |
| | | (0.650 | ) | | | 12/08/2021 | | | | TBD | (3) | | $ | | | (4,484 | ) | | | (4,482 | ) |
| | | (0.400 | ) | | | 10/22/2021 | | | | 01/19/2022 | | | EUR | | | (380 | ) | | | (432 | ) |
| | | (0.380 | ) | | | 10/08/2021 | | | | 01/14/2022 | | | | | | (49,368 | ) | | | (56,154 | ) |
| | | (0.350 | ) | | | 09/24/2021 | | | | 01/13/2022 | | | | | | (1,315 | ) | | | (1,495 | ) |
| | | (0.350 | ) | | | 10/08/2021 | | | | 01/14/2022 | | | | | | (6,937 | ) | | | (7,891 | ) |
| | | (0.350 | ) | | | 11/16/2021 | | | | 02/11/2022 | | | | | | (4,714 | ) | | | (5,364 | ) |
| | | (0.300 | ) | | | 10/08/2021 | | | | 01/14/2022 | | | | | | (6,055 | ) | | | (6,888 | ) |
| | | (0.300 | ) | | | 11/03/2021 | | | | 01/28/2022 | | | | | | (3,001 | ) | | | (3,415 | ) |
| | | (0.300 | ) | | | 11/08/2021 | | | | 02/07/2022 | | | | | | (3,258 | ) | | | (3,707 | ) |
| | | (0.300 | ) | | | 11/15/2021 | | | | 02/09/2022 | | | | | | (1,033 | ) | | | (1,176 | ) |
| | | 0.260 | | | | 12/06/2021 | | | | 01/05/2022 | | | $ | | | (2,835 | ) | | | (2,835 | ) |
| | | 0.350 | | | | 10/22/2021 | | | | 01/20/2022 | | | | | | (9,040 | ) | | | (9,046 | ) |
| | | 0.350 | | | | 11/08/2021 | | | | TBD | (3) | | GBP | | | (3,042 | ) | | | (4,120 | ) |
| | | 0.480 | | | | 10/12/2021 | | | | 01/10/2022 | | | $ | | | (12,990 | ) | | | (13,005 | ) |
| | | 0.500 | | | | 07/09/2021 | | | | 01/05/2022 | | | | | | (23,881 | ) | | | (23,940 | ) |
| | | 0.500 | | | | 07/14/2021 | | | | 01/12/2022 | | | | | | (4,076 | ) | | | (4,086 | ) |
| | | 0.500 | | | | 07/21/2021 | | | | 01/21/2022 | | | | | | (9,479 | ) | | | (9,500 | ) |
| | | 0.500 | | | | 09/13/2021 | | | | 03/14/2022 | | | | | | (148 | ) | | | (148 | ) |
| | | 0.500 | | | | 10/06/2021 | | | | 01/10/2022 | | | | | | (8,672 | ) | | | (8,683 | ) |
| | | 0.500 | | | | 11/09/2021 | | | | 01/21/2022 | | | | | | (1,357 | ) | | | (1,358 | ) |
| | | 0.500 | | | | 12/29/2021 | | | | 03/14/2022 | | | | | | (2,224 | ) | | | (2,224 | ) |
| | | 0.510 | | | | 09/20/2021 | | | | 03/21/2022 | | | | | | (6,504 | ) | | | (6,514 | ) |
| | | 0.510 | | | | 09/23/2021 | | | | 03/21/2022 | | | | | | (943 | ) | | | (945 | ) |
| | | 0.510 | | | | 10/21/2021 | | | | 02/17/2022 | | | | | | (6,712 | ) | | | (6,719 | ) |
| | | 0.530 | | | | 08/12/2021 | | | | 05/12/2022 | | | | | | (5,533 | ) | | | (5,545 | ) |
| | | 0.530 | | | | 11/02/2021 | | | | 05/12/2022 | | | | | | (1,682 | ) | | | (1,683 | ) |
| | | 0.540 | | | | 12/27/2021 | | | | 03/09/2022 | | | | | | (18,818 | ) | | | (18,820 | ) |
| | | 0.550 | | | | 07/23/2021 | | | | 04/25/2022 | | | | | | (817 | ) | | | (819 | ) |
| | | 0.550 | | | | 09/28/2021 | | | | 04/25/2022 | | | | | | (1,479 | ) | | | (1,481 | ) |
| | | 1.050 | | | | 06/11/2021 | | | | 06/01/2022 | | | | | | (6,017 | ) | | | (6,053 | ) |
| | | 1.100 | | | | 04/16/2021 | | | | 04/18/2022 | | | | | | (32,026 | ) | | | (32,282 | ) |
| | | 1.100 | | | | 06/11/2021 | | | | 04/18/2022 | | | | | | (4,554 | ) | | | (4,583 | ) |
BRC | | | (4.000 | ) | | | 03/12/2021 | | | | TBD | (3) | | EUR | | | (2,731 | ) | | | (3,077 | ) |
| | | (0.950 | ) | | | 10/21/2021 | | | | TBD | (3) | | | | | (1,892 | ) | | | (2,150 | ) |
| | | (0.950 | ) | | | 10/22/2021 | | | | TBD | (3) | | | | | (1,953 | ) | | | (2,220 | ) |
| | | (0.650 | ) | | | 09/23/2021 | | | | TBD | (3) | | | | | (421 | ) | | | (478 | ) |
| | | (0.550 | ) | | | 11/05/2021 | | | | 02/04/2022 | | | | | | (1,761 | ) | | | (2,003 | ) |
| | | 0.420 | | | | 11/15/2021 | | | | 01/19/2022 | | | $ | | | (2,303 | ) | | | (2,305 | ) |
| | | | | | |
| 96 | | PIMCO CLOSED-END FUNDS | | | See Accompanying Notes | |
| | | | | | | | |
| | | | | | December 31, 2021 | | (Unaudited) |
| | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Borrowing
Rate(2) | | | Settlement
Date | | | Maturity
Date | | | Amount
Borrowed(2) | | | Payable for
Reverse
Repurchase
Agreements | |
| | | 0.450 | % | | | 11/08/2021 | | | | 01/10/2022 | | | $ | | | (17,992 | ) | | $ | (18,005 | ) |
| | | 0.500 | | | | 09/03/2021 | | | | 03/03/2022 | | | | | | (3,554 | ) | | | (3,560 | ) |
| | | 0.500 | | | | 09/10/2021 | | | | 03/10/2022 | | | | | | (20,249 | ) | | | (20,282 | ) |
| | | 0.500 | | | | 09/13/2021 | | | | 03/14/2022 | | | | | | (42,601 | ) | | | (42,667 | ) |
| | | 0.500 | | | | 12/14/2021 | | | | 01/10/2022 | | | | | | (2,836 | ) | | | (2,837 | ) |
| | | 0.598 | | | | 09/07/2021 | | | | 03/07/2022 | | | | | | (384 | ) | | | (385 | ) |
| | | 0.600 | | | | 08/09/2021 | | | | 02/09/2022 | | | | | | (546 | ) | | | (548 | ) |
| | | 0.604 | | | | 07/29/2021 | | | | 01/31/2022 | | | | | | (27,222 | ) | | | (27,294 | ) |
| | | 0.605 | | | | 08/18/2021 | | | | 02/18/2022 | | | | | | (6,461 | ) | | | (6,476 | ) |
| | | 0.606 | | | | 08/12/2021 | | | | 02/15/2022 | | | | | | (15,453 | ) | | | (15,490 | ) |
| | | 0.750 | | | | 05/03/2021 | | | | 02/03/2022 | | | | | | (31,410 | ) | | | (31,570 | ) |
| | | 0.750 | | | | 08/16/2021 | | | | 02/03/2022 | | | | | | (8,139 | ) | | | (8,163 | ) |
| | | 0.753 | | | | 12/27/2021 | | | | 01/31/2022 | | | | | | (3,328 | ) | | | (3,329 | ) |
| | | 0.763 | | | | 07/08/2021 | | | | 01/10/2022 | | | | | | (15,190 | ) | | | (15,248 | ) |
| | | 0.764 | | | | 04/06/2021 | | | | 01/06/2022 | | | | | | (21,192 | ) | | | (21,312 | ) |
| | | 0.803 | | | | 09/21/2021 | | | | 03/21/2022 | | | | | | (869 | ) | | | (871 | ) |
| | | 0.803 | | | | 09/22/2021 | | | | 03/21/2022 | | | | | | (36,573 | ) | | | (36,657 | ) |
| | | 0.805 | | | | 10/06/2021 | | | | 04/06/2022 | | | | | | (16,613 | ) | | | (16,646 | ) |
| | | 0.821 | | | | 08/13/2021 | | | | 01/06/2022 | | | | | | (8,675 | ) | | | (8,703 | ) |
| | | 1.050 | | | | 04/16/2021 | | | | 01/18/2022 | | | | | | (25,687 | ) | | | (25,883 | ) |
| | | 1.050 | | | | 04/20/2021 | | | | 01/20/2022 | | | | | | (46,280 | ) | | | (46,628 | ) |
BYR | | | 0.500 | | | | 07/26/2021 | | | | 01/26/2022 | | | | | | (94,969 | ) | | | (95,181 | ) |
| | | 0.500 | | | | 12/08/2021 | | | | 01/26/2022 | | | | | | (17,418 | ) | | | (17,424 | ) |
| | | 0.500 | | | | 12/23/2021 | | | | 01/26/2022 | | | | | | (2,003 | ) | | | (2,003 | ) |
| | | 0.500 | | | | 12/27/2021 | | | | 01/26/2022 | | | | | | (7,404 | ) | | | (7,404 | ) |
| | | 0.650 | | | | 04/09/2021 | | | | 03/25/2022 | | | | | | (19,955 | ) | | | (20,046 | ) |
| | | 0.650 | | | | 04/12/2021 | | | | 03/25/2022 | | | | | | (11,563 | ) | | | (11,615 | ) |
| | | 0.650 | | | | 12/08/2021 | | | | 03/25/2022 | | | | | | (8,903 | ) | | | (8,907 | ) |
| | | 0.650 | | | | 12/15/2021 | | | | 03/25/2022 | | | | | | (2,977 | ) | | | (2,978 | ) |
CEW | | | (0.320 | ) | | | 09/24/2021 | | | | 01/13/2022 | | | EUR | | | (2,883 | ) | | | (3,280 | ) |
| | | 0.280 | | | | 09/24/2021 | | | | 01/13/2022 | | | GBP | | | (274 | ) | | | (371 | ) |
| | | 0.450 | | | | 07/22/2021 | | | | 01/21/2022 | | | $ | | | (3,549 | ) | | | (3,557 | ) |
| | | 0.457 | | | | 07/09/2021 | | | | 01/06/2022 | | | | | | (6,287 | ) | | | (6,301 | ) |
| | | 0.457 | | | | 10/26/2021 | | | | 01/06/2022 | | | | | | (3,985 | ) | | | (3,988 | ) |
| | | 0.457 | | | | 11/03/2021 | | | | 01/06/2022 | | | | | | (2,282 | ) | | | (2,284 | ) |
| | | 0.550 | | | | 07/20/2021 | | | | 01/20/2022 | | | | | | (12,891 | ) | | | (12,924 | ) |
| | | 0.700 | | | | 04/01/2021 | | | | 01/04/2022 | | | | | | (21,815 | ) | | | (21,933 | ) |
| | | 0.800 | | | | 08/16/2021 | | | | 02/16/2022 | | | | | | (4,842 | ) | | | (4,857 | ) |
| | | 0.850 | | | | 07/12/2021 | | | | 01/12/2022 | | | | | | (45,409 | ) | | | (45,597 | ) |
| | | 0.850 | | | | 07/14/2021 | | | | 01/12/2022 | | | | | | (60,278 | ) | | | (60,524 | ) |
| | | 0.950 | | | | 06/14/2021 | | | | 03/14/2022 | | | | | | (12,700 | ) | | | (12,768 | ) |
CIB | | | 0.570 | | | | 10/13/2021 | | | | 01/18/2022 | | | | | | (8,827 | ) | | | (8,838 | ) |
| | | 0.570 | | | | 10/14/2021 | | | | 01/13/2022 | | | | | | (7,026 | ) | | | (7,035 | ) |
| | | 0.580 | | | | 12/27/2021 | | | | 01/26/2022 | | | | | | (597 | ) | | | (597 | ) |
IND | | | 0.280 | | | | 09/13/2021 | | | | 03/14/2022 | | | | | | (7,154 | ) | | | (7,160 | ) |
| | | 0.290 | | | | 08/02/2021 | | | | 02/02/2022 | | | | | | (13,460 | ) | | | (13,477 | ) |
| | | 0.330 | | | | 11/05/2021 | | | | 05/05/2022 | | | | | | (1,188 | ) | | | (1,189 | ) |
| | | 0.430 | | | | 12/27/2021 | | | | 05/05/2022 | | | | | | (7,152 | ) | | | (7,152 | ) |
| | | 0.440 | | | | 08/02/2021 | | | | 02/02/2022 | | | | | | (551 | ) | | | (552 | ) |
JML | | | (4.000 | ) | | | 07/01/2021 | | | | TBD | (3) | | EUR | | | (2,362 | ) | | | (2,672 | ) |
| | | (2.250 | ) | | | 09/24/2021 | | | | TBD | (3) | | | | | (167 | ) | | | (189 | ) |
| | | (0.950 | ) | | | 10/21/2021 | | | | TBD | (3) | | | | | (5,211 | ) | | | (5,921 | ) |
| | | (0.700 | ) | | | 09/24/2021 | | | | TBD | (3) | | | | | (675 | ) | | | (767 | ) |
| | | (0.500 | ) | | | 11/17/2021 | | | | 01/10/2022 | | | $ | | | (4,374 | ) | | | (4,371 | ) |
| | | (0.500 | ) | | | 12/08/2021 | | | | 01/20/2022 | | | | | | (3,058 | ) | | | (3,057 | ) |
| | | (0.420 | ) | | | 09/23/2021 | | | | TBD | (3) | | EUR | | | (2,055 | ) | | | (2,336 | ) |
| | | (0.420 | ) | | | 10/21/2021 | | | | 01/19/2022 | | | | | | (371 | ) | | | (422 | ) |
| | | (0.400 | ) | | | 10/01/2021 | | | | TBD | (3) | | | | | (23,273 | ) | | | (26,468 | ) |
| | | (0.400 | ) | | | 10/21/2021 | | | | 01/13/2022 | | | | | | (2,789 | ) | | | (3,172 | ) |
| | | (0.350 | ) | | | 10/25/2021 | | | | 01/13/2022 | | | | | | (762 | ) | | | (867 | ) |
| | | (0.350 | ) | | | 11/05/2021 | | | | 01/19/2022 | | | | | | (7,284 | ) | | | (8,288 | ) |
| | | 0.300 | | | | 12/08/2021 | | | | 01/10/2022 | | | $ | | | (6,116 | ) | | | (6,117 | ) |
| | | 0.350 | | | | 10/26/2021 | | | | 01/13/2022 | | | | | | (2,978 | ) | | | (2,980 | ) |
| | | 0.400 | | | | 11/05/2021 | | | | TBD | (3) | | GBP | | | (1,103 | ) | | | (1,493 | ) |
| | | 0.400 | | | | 12/15/2021 | | | | 01/13/2022 | | | $ | | | (16,963 | ) | | | (16,967 | ) |
| | | 0.450 | | | | 12/15/2021 | | | | 01/13/2022 | | | | | | (15,517 | ) | | | (15,521 | ) |
| | | 0.500 | | | | 10/22/2021 | | | | 01/24/2022 | | | | | | (11,071 | ) | | | (11,083 | ) |
| | | 0.500 | | | | 10/25/2021 | | | | TBD | (3) | | GBP | | | (298 | ) | | | (404 | ) |
| | | 0.500 | | | | 11/26/2021 | | | | 01/24/2022 | | | $ | | | (10,002 | ) | | | (10,007 | ) |
MBC | | | 5.850 | | | | 12/15/2021 | | | | 01/05/2022 | | | ZAR | | | (573,392 | ) | | | (36,094 | ) |
| | | | | | | | | | | | |
| See Accompanying Notes | | | SEMIANNUAL REPORT | | | | | | | DECEMBER 31, 2021 | | | 97 |
| | | | | | | | |
| Consolidated Schedule of Investments | | PIMCO Dynamic Income Opportunities Fund | | (Cont.) | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Borrowing
Rate(2) | | | Settlement
Date | | | Maturity
Date | | | Amount
Borrowed(2) | | | Payable for
Reverse
Repurchase
Agreements | |
MEI | | | (0.200 | )% | | | 10/08/2021 | | | | TBD | (3) | | EUR | | | (1,826 | ) | | $ | (2,077 | ) |
| | | 0.500 | | | | 12/23/2021 | | | | 01/11/2022 | | | | | | (34,534 | ) | | | (34,539 | ) |
NOM | | | 0.300 | | | | 07/16/2021 | | | | TBD | (3) | | | | | (4,017 | ) | | | (4,023 | ) |
| | | 0.450 | | | | 12/15/2021 | | | | 01/14/2022 | | | | | | (9,221 | ) | | | (9,223 | ) |
RBC | | | 0.749 | | | | 08/09/2021 | | | | 02/09/2022 | | | | | | (5,794 | ) | | | (5,812 | ) |
RTA | | | 0.550 | | | | 06/04/2021 | | | | 03/07/2022 | | | | | | (3,429 | ) | | | (3,440 | ) |
| | �� | 0.600 | | | | 10/07/2021 | | | | 10/05/2022 | | | | | | (10,445 | ) | | | (10,460 | ) |
| | | 0.607 | | | | 10/01/2021 | | | | 04/01/2022 | | | | | | (20,641 | ) | | | (20,674 | ) |
| | | 0.650 | | | | 09/20/2021 | | | | 03/17/2022 | | | | | | (13,101 | ) | | | (13,126 | ) |
| | | 0.840 | | | | 08/09/2021 | | | | 05/09/2022 | | | | | | (19,398 | ) | | | (19,464 | ) |
SBI | | | (0.250 | ) | | | 11/18/2021 | | | | TBD | (3) | | | | | (3,625 | ) | | | (3,624 | ) |
SCX | | | (0.440 | ) | | | 10/22/2021 | | | | 01/19/2022 | | | EUR | | | (3,449 | ) | | | (3,923 | ) |
| | | 0.500 | | | | 07/14/2021 | | | | 01/11/2022 | | | $ | | | (22,057 | ) | | | (22,110 | ) |
| | | 0.500 | | | | 10/26/2021 | | | | 01/11/2022 | | | | | | (15,590 | ) | | | (15,604 | ) |
| | | 0.500 | | | | 10/28/2021 | | | | 01/11/2022 | | | | | | (19,694 | ) | | | (19,712 | ) |
SGY | | | 0.240 | | | | 12/08/2021 | | | | TBD | (3) | | | | | (4,784 | ) | | | (4,785 | ) |
SOG | | | 0.500 | | | | 09/02/2021 | | | | 03/02/2022 | | | | | | (2,436 | ) | | | (2,440 | ) |
| | | 0.500 | | | | 09/13/2021 | | | | 03/07/2022 | | | | | | (747 | ) | | | (748 | ) |
| | | 0.500 | | | | 09/15/2021 | | | | 03/15/2022 | | | | | | (594 | ) | | | (595 | ) |
| | | 0.500 | | | | 09/22/2021 | | | | 03/23/2022 | | | | | | (935 | ) | | | (936 | ) |
| | | 0.500 | | | | 09/28/2021 | | | | 03/23/2022 | | | | | | (915 | ) | | | (916 | ) |
| | | 0.500 | | | | 10/25/2021 | | | | 03/02/2022 | | | | | | (1,323 | ) | | | (1,324 | ) |
| | | 0.500 | | | | 12/22/2021 | | | | 03/23/2022 | | | | | | (680 | ) | | | (680 | ) |
| | | 0.550 | | | | 06/14/2021 | | | | 03/14/2022 | | | | | | (349 | ) | | | (350 | ) |
| | | 0.550 | | | | 06/25/2021 | | | | 03/02/2022 | | | | | | (8,504 | ) | | | (8,529 | ) |
| | | 0.550 | | | | 07/02/2021 | | | | 03/02/2022 | | | | | | (4,695 | ) | | | (4,708 | ) |
| | | 0.550 | | | | 10/12/2021 | | | | 04/27/2022 | | | | | | (1,790 | ) | | | (1,793 | ) |
| | | 0.550 | | | | 12/22/2021 | | | | 05/04/2022 | | | | | | (1,457 | ) | | | (1,457 | ) |
| | | 0.756 | | | | 10/06/2021 | | | | 04/06/2022 | | | | | | (7,579 | ) | | | (7,594 | ) |
| | | 0.799 | | | | 08/09/2021 | | | | 02/10/2022 | | | | | | (32,476 | ) | | | (32,582 | ) |
TDM | | | 0.220 | | | | 06/02/2021 | | | | TBD | (3) | | | | | (1,504 | ) | | | (1,506 | ) |
| | | 0.220 | | | | 07/09/2021 | | | | TBD | (3) | | | | | (7,837 | ) | | | (7,846 | ) |
| | | 0.220 | | | | 08/09/2021 | | | | TBD | (3) | | | | | (570 | ) | | | (571 | ) |
| | | 0.220 | | | | 08/09/2021 | | | | TBD | (3) | | | | | (94 | ) | | | (94 | ) |
| | | 0.350 | | | | 08/13/2021 | | | | TBD | (3) | | | | | (2,023 | ) | | | (2,026 | ) |
UBS | | | 0.250 | | | | 10/20/2021 | | | | TBD | (3) | | | | | (6,859 | ) | | | (6,862 | ) |
| | | 0.350 | | | | 08/18/2021 | | | | TBD | (3) | | | | | (3,777 | ) | | | (3,782 | ) |
| | | 0.350 | | | | 08/23/2021 | | | | TBD | (3) | | | | | (1,043 | ) | | | (1,044 | ) |
| | | 0.350 | | | | 09/07/2021 | | | | TBD | (3) | | | | | (2,669 | ) | | | (2,672 | ) |
| | | 0.350 | | | | 09/22/2021 | | | | TBD | (3) | | | | | (2,380 | ) | | | (2,382 | ) |
| | | 0.450 | | | | 12/27/2021 | | | | TBD | (3) | | | | | (17,973 | ) | | | (17,975 | ) |
| | | 0.500 | | | | 07/14/2021 | | | | 01/12/2022 | | | | | | (13,245 | ) | | | (13,277 | ) |
| | | 0.510 | | | | 06/07/2021 | | | | 01/07/2022 | | | | | | (39,041 | ) | | | (39,157 | ) |
| | | 0.510 | | | | 06/15/2021 | | | | 01/11/2022 | | | | | | (9,919 | ) | | | (9,947 | ) |
| | | 0.510 | | | | 09/30/2021 | | | | 01/07/2022 | | | | | | (17,597 | ) | | | (17,621 | ) |
| | | 0.510 | | | | 10/04/2021 | | | | 01/07/2022 | | | | | | (21,919 | ) | | | (21,947 | ) |
| | | 0.510 | | | | 11/23/2021 | | | | 01/11/2022 | | | | | | (8,668 | ) | | | (8,673 | ) |
| | | 0.510 | | | | 12/22/2021 | | | | 01/07/2022 | | | | | | (7,083 | ) | | | (7,085 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
Total Reverse Repurchase Agreements | | | | | | $ | (1,627,632 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY
The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral pledged/(received) as of December 31, 2021:
| | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Repurchase
Agreement
Proceeds
to be
Received(1) | | | Payable for
Reverse
Repurchase
Agreements | | | Payable for
Sale-Buyback
Transactions | | | Total
Borrowings and
Other Financing
Transactions | | | Collateral
Pledged/(Received) | | | Net Exposure(4) | |
Global/Master Repurchase Agreement | |
BOM | | $ | 0 | | | $ | (17,331 | ) | | $ | 0 | | | $ | (17,331 | ) | | $ | 22,244 | | | $ | 4,913 | |
BOS | | | 0 | | | | (17,018 | ) | | | 0 | | | | (17,018 | ) | | | 17,622 | | | | 604 | |
BPS | | | 20,100 | | | | (257,643 | ) | | | 0 | | | | (237,543 | ) | | | 274,776 | | | | 37,233 | |
BRC | | | 0 | | | | (364,787 | ) | | | 0 | | | | (364,787 | ) | | | 439,219 | | | | 74,432 | |
BYR | | | 0 | | | | (165,558 | ) | | | 0 | | | | (165,558 | ) | | | 192,606 | | | | 27,048 | |
CEW | | | 0 | | | | (178,384 | ) | | | 0 | | | | (178,384 | ) | | | 218,360 | | | | 39,976 | |
CIB | | | 0 | | | | (16,470 | ) | | | 0 | | | | (16,470 | ) | | | 19,988 | | | | 3,518 | |
IND | | | 0 | | | | (29,530 | ) | | | 0 | | | | (29,530 | ) | | | 32,245 | | | | 2,715 | |
JML | | | 0 | | | | (123,102 | ) | | | 0 | | | | (123,102 | ) | | | 141,156 | | | | 18,054 | |
| | | | | | |
| 98 | | PIMCO CLOSED-END FUNDS | | | See Accompanying Notes | |
| | | | | | | | |
| | | | | | December 31, 2021 | | (Unaudited) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Repurchase
Agreement
Proceeds
to be
Received(1) | | | Payable for
Reverse
Repurchase
Agreements | | | Payable for
Sale-Buyback
Transactions | | | Total
Borrowings and
Other Financing
Transactions | | | Collateral
Pledged/(Received) | | | Net Exposure(4) | |
MBC | | $ | 0 | | | $ | (36,094 | ) | | $ | 0 | | | $ | (36,094 | ) | | $ | 38,106 | | | $ | 2,012 | |
MEI | | | 0 | | | | (36,616 | ) | | | 0 | | | | (36,616 | ) | | | 59,488 | | | | 22,872 | |
NOM | | | 0 | | | | (13,246 | ) | | | 0 | | | | (13,246 | ) | | | 13,970 | | | | 724 | |
RBC | | | 0 | | | | (5,812 | ) | | | 0 | | | | (5,812 | ) | | | 6,815 | | | | 1,003 | |
RTA | | | 0 | | | | (67,164 | ) | | | 0 | | | | (67,164 | ) | | | 80,095 | | | | 12,931 | |
SBI | | | 0 | | | | (3,624 | ) | | | 0 | | | | (3,624 | ) | | | 4,763 | | | | 1,139 | |
SCX | | | 0 | | | | (61,349 | ) | | | 0 | | | | (61,349 | ) | | | 69,615 | | | | 8,266 | |
SGY | | | 0 | | | | (4,785 | ) | | | 0 | | | | (4,785 | ) | | | 4,912 | | | | 127 | |
SOG | | | 0 | | | | (64,652 | ) | | | 0 | | | | (64,652 | ) | | | 80,734 | | | | 16,082 | |
TDM | | | 0 | | | | (12,043 | ) | | | 0 | | | | (12,043 | ) | | | 12,812 | | | | 769 | |
UBS | | | 0 | | | | (152,424 | ) | | | 0 | | | | (152,424 | ) | | | 176,306 | | | | 23,882 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Borrowings and Other Financing Transactions | | $ | 20,100 | | | $ | (1,627,632 | ) | | $ | 0 | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS
Remaining Contractual Maturity of the Agreements
| | | | | | | | | | | | | | | | | | | | |
| | | Overnight and
Continuous | | | Up to 30 days | | | 31-90 days | | | Greater Than 90 days | | | Total | |
Reverse Repurchase Agreements | |
Corporate Bonds & Notes | | $ | 0 | | | $ | (508,230 | ) | | $ | (204,977 | ) | | $ | (151,875 | ) | | $ | (865,082 | ) |
Convertible Bonds & Notes | | | 0 | | | | (10,431 | ) | | | 0 | | | | (20,674 | ) | | | (31,105 | ) |
U.S. Government Agencies | | | 0 | | | | (33,801 | ) | | | 0 | | | | 0 | | | | (33,801 | ) |
Non-Agency Mortgage-Backed Securities | | | 0 | | | | (258,752 | ) | | | (177,806 | ) | | | (75,986 | ) | | | (512,544 | ) |
Asset-Backed Securities | | | 0 | | | | 0 | | | | (22,121 | ) | | | (10,636 | ) | | | (32,757 | ) |
Sovereign Issues | | | 0 | | | | (90,825 | ) | | | (5,364 | ) | | | 0 | | | | (96,189 | ) |
Preferred Securities | | | 0 | | | | (56,154 | ) | | | 0 | | | | 0 | | | | (56,154 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Borrowings | | $ | 0 | | | $ | (958,193 | ) | | $ | (410,268 | ) | | $ | (259,171 | ) | | $ | (1,627,632 | ) |
| | | | | | | | | | | | | | | | | | | | |
Payable for reverse repurchase agreements | | | $ | (1,627,632 | ) |
| | | | | |
| (k) | Securities with an aggregate market value of $1,906,787 and cash of $21,463 have been pledged as collateral under the terms of the above master agreements as of December 31, 2021. |
| (1) | Includes accrued interest. |
| (2) | The average amount of borrowings outstanding during the period ended December 31, 2021 was $(1,773,738) at a weighted average interest rate of 0.622%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. |
| (3) | Open maturity reverse repurchase agreement. |
| (4) | Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information. |
(l) FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED
SWAP AGREEMENTS:
CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION(1)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Entity | | Fixed
Receive Rate | | | Payment
Frequency | | | Maturity
Date | | | Implied
Credit Spread at
December 31, 2021(2) | | | Notional
Amount(3) | | | Premiums
Paid/(Received) | | | Unrealized
Appreciation/
(Depreciation) | | | Market
Value(4) | | | Variation Margin | |
| | Asset | | | Liability | |
| Jaguar Land Rover Automotive | | | 5.000 | % | | | Quarterly | | | | 06/20/2026 | | | | 3.521 | % | | | EUR 12,000 | | | $ | 787 | | | $ | 68 | | | $ | 855 | | | $ | 0 | | | $ | 0 | |
| Jaguar Land Rover Automotive | | | 5.000 | | | | Quarterly | | | | 12/20/2026 | | | | 3.685 | | | | 16,500 | | | | 937 | | | | 206 | | | | 1,143 | | | | 9 | | | | 0 | |
| Rolls-Royce PLC | | | 1.000 | | | | Quarterly | | | | 12/20/2025 | | | | 1.481 | | | | 6,200 | | | | (642 | ) | | | 512 | | | | (130 | ) | | | 9 | | | | 0 | |
| Rolls-Royce PLC | | | 1.000 | | | | Quarterly | | | | 06/20/2026 | | | | 1.612 | | | | 18,300 | | | | (1,383 | ) | | | 836 | | | | (547 | ) | | | 16 | | | | 0 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | $ | (301 | ) | | $ | 1,622 | | | $ | 1,321 | | | $ | 34 | | | $ | 0 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION(1)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Index/Tranches | | Fixed
Receive Rate | | | Payment
Frequency | | Maturity
Date | | | Notional
Amount(3) | | | Premiums
Paid/ (Received) | | | Unrealized
Appreciation/
(Depreciation) | | | Market
Value(4) | | | Variation Margin | |
| | Asset | | | Liability | |
CDX.HY-35 5-Year Index | | | 5.000 | % | | Quarterly | | | 12/20/2025 | | | $ | 700 | | | $ | 62 | | | $ | 1 | | | $ | 63 | | | $ | 1 | | | $ | 0 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
| See Accompanying Notes | | | SEMIANNUAL REPORT | | | | | | | DECEMBER 31, 2021 | | | 99 |
| | | | | | | | |
| Consolidated Schedule of Investments | | PIMCO Dynamic Income Opportunities Fund | | (Cont.) | | | | |
INTEREST RATE SWAPS
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Pay/Receive
Floating Rate | | Floating Rate Index | | Fixed Rate | | | Payment
Frequency | | | Maturity
Date | | | Notional
Amount | | | Premiums
Paid/(Received) | | | Unrealized
Appreciation/
(Depreciation) | | | Market
Value | | | Variation Margin | |
| | Asset | | | Liability | |
Receive(5) | | 1-Day GBP-SONIO Compounded-OIS | | | 0.750 | % | | | Annual | | | | 09/21/2052 | | | | GBP | | | | 18,400 | | | $ | 674 | | | $ | (151 | ) | | $ | 523 | | | $ | 0 | | | $ | (478 | ) |
Pay | | 1-Year BRL-CDI | | | 6.170 | | | | Maturity | | | | 01/02/2023 | | | | BRL | | | | 77,400 | | | | (14 | ) | | | (540 | ) | | | (554 | ) | | | 0 | | | | (1 | ) |
Pay | | 1-Year BRL-CDI | | | 7.655 | | | | Maturity | | | | 01/02/2024 | | | | | | | | 248,000 | | | | 0 | | | | (1,779 | ) | | | (1,779 | ) | | | 0 | | | | (12 | ) |
Pay | | 1-Year BRL-CDI | | | 6.990 | | | | Maturity | | | | 01/04/2027 | | | | | | | | 318,400 | | | | 2,522 | | | | (5,882 | ) | | | (3,360 | ) | | | 0 | | | | (70 | ) |
Pay | | 3-Month USD-LIBOR | | | 0.250 | | | | Semi-Annual | | | | 06/16/2023 | | | | | | | | 40,100 | | | | (57 | ) | | | (222 | ) | | | (279 | ) | | | 0 | | | | (5 | ) |
Pay | | 3-Month USD-LIBOR | | | 0.500 | | | | Semi-Annual | | | | 06/16/2026 | | | | | | | | 574,100 | | | | (9,673 | ) | | | (10,924 | ) | | | (20,597 | ) | | | 36 | | | | 0 | |
Pay | | 3-Month USD-LIBOR | | | 0.500 | | | | Semi-Annual | | | | 06/16/2028 | | | | | | | | 6,300 | | | | (352 | ) | | | (19 | ) | | | (371 | ) | | | 3 | | | | 0 | |
Receive | | 3-Month USD-LIBOR | | | 1.420 | | | | Semi-Annual | | | | 08/17/2028 | | | | | | | | 76,800 | | | | 0 | | | | (225 | ) | | | (225 | ) | | | 0 | | | | (53 | ) |
Pay | | 3-Month USD-LIBOR | | | 1.500 | | | | Semi-Annual | | | | 12/15/2028 | | | | | | | | 43,200 | | | | (62 | ) | | | 169 | | | | 107 | | | | 26 | | | | 0 | |
Receive | | 3-Month USD-LIBOR | | | 0.750 | | | | Semi-Annual | | | | 06/16/2031 | | | | | | | | 25,450 | | | | 2,132 | | | | (279 | ) | | | 1,853 | | | | 0 | | | | (9 | ) |
Pay | | 3-Month USD-LIBOR | | | 1.750 | | | | Semi-Annual | | | | 12/15/2031 | | | | | | | | 10,500 | | | | 297 | | | | (127 | ) | | | 170 | | | | 5 | | | | 0 | |
Receive(5) | | 3-Month USD-LIBOR | | | 1.700 | | | | Semi-Annual | | | | 02/01/2052 | | | | | | | | 114,200 | | | | (2,036 | ) | | | 3,089 | | | | 1,053 | | | | 0 | | | | (485 | ) |
Receive(5) | | 6-Month EUR-EURIBOR | | | 0.250 | | | | Annual | | | | 03/16/2032 | | | | EUR | | | | 57,100 | | | | (1,096 | ) | | | 1,702 | | | | 606 | | | | 54 | | | | 0 | |
Pay | | 28-Day MXN-TIIE | | | 4.550 | | | | Lunar | | | | 02/27/2023 | | | | MXN | | | | 151,500 | | | | 17 | | | | (228 | ) | | | (211 | ) | | | 0 | | | | 0 | |
Pay | | 28-Day MXN-TIIE | | | 4.500 | | | | Lunar | | | | 03/03/2023 | | | | | | | | 282,100 | | | | (10 | ) | | | (395 | ) | | | (405 | ) | | | 0 | | | | 0 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | $ | (7,658 | ) | | $ | (15,811 | ) | | $ | (23,469 | ) | | $ | 124 | | | $ | (1,113 | ) |
| | | | | | | | | | | | | | | | | | | | | |
Total Swap Agreements | | | | | | | | | | | | | | | | | | | $ | (7,897 | ) | | $ | (14,188 | ) | | $ | (22,085 | ) | | $ | 159 | | | $ | (1,113 | ) |
| | | | | | | | | | | | | | | | | | | | | |
FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED SUMMARY
The following is a summary of the market value and variation margin of Exchange-Traded or Centrally Cleared Financial Derivative Instruments as of December 31, 2021:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Financial Derivative Assets | | | | | | Financial Derivative Liabilities | |
| | | Market Value | | | Variation Margin
Asset | | | | | | | | | Market Value | | | Variation Margin
Liability | | | | |
| | | Purchased
Options | | | Futures | | | Swap
Agreements | | | Total | | | | | | Written
Options | | | Futures | | | Swap
Agreements | | | Total | |
Total Exchange-Traded or Centrally Cleared | | $ | 0 | | | $ | 0 | | | $ | 159 | | | $ | 159 | | | | | | | $ | 0 | | | $ | 0 | | | $ | (1,113) | | | $ | (1,113) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (m) | Securities with an aggregate market value of $12,730 and cash of $39,545 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2021. |
| (1) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (2) | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| (3) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| (4) | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| (5) | This instrument has a forward starting effective date. See Note 2, Securities Transactions and Investment Income, in the Notes to Financial Statements for further information. |
(n) FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER
FORWARD FOREIGN CURRENCY CONTRACTS:
| | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Settlement
Month | | | Currency to
be Delivered | | | Currency to
be Received | | | Unrealized Appreciation/
(Depreciation) | |
| | Asset | | | Liability | |
BOA | | | 02/2022 | | | CAD | | | 9,889 | | | $ | | | 7,897 | | | $ | 79 | | | $ | 0 | |
| | | 02/2022 | | | MXN | | | 1,905 | | | | | | 92 | | | | 0 | | | | 0 | |
| | | 02/2022 | | | PLN | | | 23,952 | | | | | | 5,985 | | | | 94 | | | | (35 | ) |
| | | 02/2022 | | | $ | | | 30,285 | | | EUR | | | 26,719 | | | | 162 | | | | 0 | |
| | | 02/2022 | | | | | | 2,047 | | | ZAR | | | 30,626 | | | | 0 | | | | (139 | ) |
| | | 02/2022 | | | ZAR | | | 78,033 | | | $ | | | 5,296 | | | | 435 | | | | 0 | |
| | | 03/2022 | | | MXN | | | 7,256 | | | | | | 348 | | | | 0 | | | | (2 | ) |
| | | 07/2022 | | | $ | | | 2,185 | | | PEN | | | 8,779 | | | | 0 | | | | (15 | ) |
| | | | | | |
| 100 | | PIMCO CLOSED-END FUNDS | | | See Accompanying Notes | |
| | | | | | | | |
| | | | | | December 31, 2021 | | (Unaudited) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Settlement
Month | | | Currency to
be Delivered | | | Currency to
be Received | | | Unrealized Appreciation/
(Depreciation) | |
| | Asset | | | Liability | |
BPS | | | 01/2022 | | | IDR | | | 47,911,624 | | | $ | | | 3,307 | | | $ | 0 | | | $ | (59 | ) |
| | | 01/2022 | | | $ | | | 1,512 | | | RUB | | | 110,726 | | | | 0 | | | | (39 | ) |
| | | 02/2022 | | | EUR | | | 9,159 | | | $ | | | 10,396 | | | | 0 | | | | (41 | ) |
| | | 02/2022 | | | GBP | | | 1,332 | | | | | | 1,788 | | | | 0 | | | | (15 | ) |
| | | 02/2022 | | | $ | | | 4,487 | | | RUB | | | 335,732 | | | | 0 | | | | (34 | ) |
| | | 05/2022 | | | | | | 1,425 | | | ZAR | | | 22,531 | | | | 0 | | | | (37 | ) |
| | | 08/2022 | | | | | | 1,398 | | | | | | 22,378 | | | | 0 | | | | (35 | ) |
| | | 11/2022 | | | | | | 4,054 | | | | | | 65,421 | | | | 0 | | | | (114 | ) |
| | | | | | | |
BRC | | | 01/2022 | | | | | | 12,291 | | | RUB | | | 887,752 | | | | 0 | | | | (481 | ) |
| | | 02/2022 | | | EUR | | | 153,914 | | | $ | | | 175,368 | | | | 0 | | | | (17 | ) |
| | | 02/2022 | | | $ | | | 1,062 | | | GBP | | | 801 | | | | 23 | | | | 0 | |
| | | | | | | |
CBK | | | 01/2022 | | | PEN | | | 77,853 | | | $ | | | 19,081 | | | | 0 | | | | (412 | ) |
| | | 01/2022 | | | $ | | | 19,092 | | | PEN | | | 77,853 | | | | 401 | | | | 0 | |
| | | 02/2022 | | | PLN | | | 5,315 | | | $ | | | 1,390 | | | | 75 | | | | 0 | |
| | | 02/2022 | | | $ | | | 110 | | | MXN | | | 2,299 | | | | 1 | | | | 0 | |
| | | 02/2022 | | | | | | 2,335 | | | PEN | | | 9,589 | | | | 63 | | | | 0 | |
| | | 02/2022 | | | | | | 7,365 | | | RUB | | | 546,944 | | | | 0 | | | | (111 | ) |
| | | 02/2022 | | | | | | 5,188 | | | ZAR | | | 80,629 | | | | 34 | | | | (197 | ) |
| | | 02/2022 | | | ZAR | | | 8,105 | | | $ | | | 501 | | | | 0 | | | | (4 | ) |
| | | 03/2022 | | | $ | | | 6,590 | | | PEN | | | 27,260 | | | | 215 | | | | 0 | |
| | | 03/2022 | | | | | | 5,009 | | | RUB | | | 377,426 | | | | 0 | | | | (35 | ) |
| | | 04/2022 | | | | | | 19,037 | | | MXN | | | 413,124 | | | | 760 | | | | 0 | |
| | | 07/2022 | | | PEN | | | 71,585 | | | $ | | | 17,643 | | | | 0 | | | | (45 | ) |
| | | 12/2022 | | | $ | | | 18,563 | | | PEN | | | 77,853 | | | | 449 | | | | 0 | |
| | | | | | | |
MYI | | | 01/2022 | | | BRL | | | 116,788 | | | $ | | | 20,453 | | | | 0 | | | | (514 | ) |
| | | 01/2022 | | | IDR | | | 25,229,250 | | | | | | 1,738 | | | | 0 | | | | (35 | ) |
| | | 01/2022 | | | $ | | | 20,928 | | | BRL | | | 116,788 | | | | 40 | | | | 0 | |
| | | 02/2022 | | | CHF | | | 972 | | | $ | | | 1,059 | | | | 0 | | | | (9 | ) |
| | | 02/2022 | | | EUR | | | 50,985 | | | | | | 57,586 | | | | 0 | | | | (512 | ) |
| | | 02/2022 | | | $ | | | 20,316 | | | BRL | | | 116,788 | | | | 509 | | | | 0 | |
| | | 02/2022 | | | | | | 1,767 | | | EUR | | | 1,562 | | | | 13 | | | | 0 | |
| | | | | | | |
SCX | | | 02/2022 | | | EUR | | | 5,492 | | | $ | | | 6,211 | | | | 0 | | | | (47 | ) |
| | | 02/2022 | | | $ | | | 20,438 | | | EUR | | | 18,007 | | | | 81 | | | | 0 | |
| | | 02/2022 | | | | | | 1,585 | | | GBP | | | 1,196 | | | | 33 | | | | 0 | |
| | | | | | | |
SSB | | | 01/2022 | | | | | | 20,786 | | | BRL | | | 116,788 | | | | 181 | | | | 0 | |
| | | | | | | |
TOR | | | 01/2022 | | | IDR | | | 9,250,598 | | | $ | | | 643 | | | | 0 | | | | (7 | ) |
| | | 03/2022 | | | MXN | | | 6,857 | | | | | | 324 | | | | 0 | | | | (7 | ) |
| | | | | | | |
UAG | | | 01/2022 | | | $ | | | 2,925 | | | RUB | | | 212,362 | | | | 0 | | | | (100 | ) |
| | | 02/2022 | | | GBP | | | 105,961 | | | $ | | | 142,384 | | | | 0 | | | | (1,020 | ) |
| | | 03/2022 | | | $ | | | 2,323 | | | RUB | | | 175,713 | | | | 0 | | | | (8 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Forward Foreign Currency Contracts | | | $ | 3,648 | | | $ | (4,126 | ) |
| | | | | | | | | |
SWAP AGREEMENTS:
TOTAL RETURN SWAPS ON INTEREST RATE INDICES
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Pay/Receive(1) | | Underlying Reference | | # of Units | | | Financing Rate | | Payment
Frequency | | Maturity
Date | | Notional
Amount | | | Premiums
Paid/(Received) | | | Unrealized
Appreciation/
(Depreciation) | | | Swap Agreements,
at Value | |
| | Asset | | | Liability | |
BPS | | Receive | | iBoxx USD Liquid High Yield Index | | | N/A | | | 0.213% (3-Month USD-LIBOR plus a specified spread) | | Maturity | | 03/21/2022 | | $ | | | | | 900 | | | $ | 0 | | | $ | 19 | | | $ | 19 | | | $ | 0 | |
| | | | | | | | | | | | |
BRC | | Receive | | iBoxx USD Liquid High Yield Index | | | N/A | | | 0.214% (3-Month USD-LIBOR plus a specified spread) | | Maturity | | 03/21/2022 | | | | | | | 700 | | | | 0 | | | | 9 | | | | 9 | | | | 0 | |
| | | | | | | | | | | | |
MYC | | Receive | | iBoxx USD Liquid High Yield Index | | | N/A | | | 0.214% (3-Month USD-LIBOR plus a specified spread) | | Maturity | | 06/20/2022 | | | | | | | 2,600 | | | | (1 | ) | | | 29 | | | | 28 | | | | 0 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Swap Agreements | | | $ | (1 | ) | | $ | 57 | | | $ | 56 | | | $ | 0 | |
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
| See Accompanying Notes | | | SEMIANNUAL REPORT | | | | | | | DECEMBER 31, 2021 | | | 101 |
| | | | | | | | |
| Consolidated Schedule of Investments | | PIMCO Dynamic Income Opportunities Fund | | (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, 2021:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Financial Derivative Assets | | | | | | Financial Derivative Liabilities | | | | | | | | | | |
| Counterparty | | Forward
Foreign
Currency
Contracts | | | Purchased
Options | | | Swap
Agreements | | | Total
Over the
Counter | | | | | | Forward
Foreign
Currency
Contracts | | | Written
Options | | | Swap
Agreements | | | Total
Over the
Counter | | | Net Market
Value of OTC
Derivatives | | | Collateral
Pledged/
(Received) | | | Net
Exposure(2) | |
BOA | | $ | 770 | | | $ | 0 | | | $ | 0 | | | $ | 770 | | | | | | | $ | (191 | ) | | $ | 0 | | | $ | 0 | | | $ | (191 | ) | | $ | 579 | | | $ | (580 | ) | | $ | (1 | ) |
BPS | | | 0 | | | | 0 | | | | 19 | | | | 19 | | | | | | | | (374 | ) | | | 0 | | | | 0 | | | | (374 | ) | | | (355 | ) | | | 273 | | | | (82 | ) |
BRC | | | 23 | | | | 0 | | | | 9 | | | | 32 | | | | | | | | (498 | ) | | | 0 | | | | 0 | | | | (498 | ) | | | (466 | ) | | | (679 | ) | | | (1,145 | ) |
CBK | | | 1,998 | | | | 0 | | | | 0 | | | | 1,998 | | | | | | | | (804 | ) | | | 0 | | | | 0 | | | | (804 | ) | | | 1,194 | | | | (1,120 | ) | | | 74 | |
MYC | | | 0 | | | | 0 | | | | 28 | | | | 28 | | | | | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 28 | | | | 0 | | | | 28 | |
MYI | | | 562 | | | | 0 | | | | 0 | | | | 562 | | | | | | | | (1,070 | ) | | | 0 | | | | 0 | | | | (1,070 | ) | | | (508 | ) | | | 264 | | | | (244 | ) |
SCX | | | 114 | | | | 0 | | | | 0 | | | | 114 | | | | | | | | (47 | ) | | | 0 | | | | 0 | | | | (47 | ) | | | 67 | | | | 0 | | | | 67 | |
SSB | | | 181 | | | | 0 | | | | 0 | | | | 181 | | | | | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 181 | | | | 2 | | | | 183 | |
TOR | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | | | | | (14 | ) | | | 0 | | | | 0 | | | | (14 | ) | | | (14 | ) | | | 0 | | | | (14 | ) |
UAG | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | | | | | (1,128 | ) | | | 0 | | | | 0 | | | | (1,128 | ) | | | (1,128 | ) | | | 721 | | | | (407 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Over the Counter | | $ | 3,648 | | | $ | 0 | | | $ | 56 | | | $ | 3,704 | | | | | | | $ | (4,126 | ) | | $ | 0 | | | $ | 0 | | | $ | (4,126 | ) | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (o) | Securities with an aggregate market value of $1,260 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2021. |
| (1) | Receive represents that the Fund receives payments for any positive net return on the underlying reference. The Fund makes payments for any negative net return on such underlying reference. Pay represents that the Fund receives payments for any negative net return on the underlying reference. The Fund makes payments for any positive net return on such underlying reference. |
| (2) | Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information. |
FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS
The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal and Other 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, 2021:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Derivatives not accounted for as hedging instruments | |
| | | Commodity
Contracts | | | Credit
Contracts | | | Equity
Contracts | | | Foreign
Exchange
Contracts | | | Interest
Rate Contracts | | | Total | |
Financial Derivative Instruments - Assets | |
Exchange-traded or centrally cleared | |
Swap Agreements | | $ | 0 | | | $ | 35 | | | $ | 0 | | | $ | 0 | | | $ | 124 | | | $ | 159 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Over the counter | |
Forward Foreign Currency Contracts | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 3,648 | | | $ | 0 | | | $ | 3,648 | |
Swap Agreements | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 56 | | | | 56 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 3,648 | | | $ | 56 | | | $ | 3,704 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 35 | | | $ | 0 | | | $ | 3,648 | | | $ | 180 | | | $ | 3,863 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
Financial Derivative Instruments - Liabilities | |
Exchange-traded or centrally cleared | |
Swap Agreements | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 1,113 | | | $ | 1,113 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Over the counter | |
Forward Foreign Currency Contracts | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 4,126 | | | $ | 0 | | | $ | 4,126 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 4,126 | | | $ | 1,113 | | | $ | 5,239 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| 102 | | PIMCO CLOSED-END FUNDS | | | See Accompanying Notes | |
| | | | | | | | |
| | | | | | December 31, 2021 | | (Unaudited) |
The effect of Financial Derivative Instruments on the Consolidated Statements of Operations for the period ended December 31, 2021:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Derivatives not accounted for as hedging instruments | |
| | | Commodity
Contracts | | | Credit
Contracts | | | Equity
Contracts | | | Foreign
Exchange
Contracts | | | Interest
Rate Contracts | | | Total | |
Net Realized Gain (Loss) on Financial Derivative Instruments | |
Exchange-traded or centrally cleared | |
Futures | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 50 | | | $ | 50 | |
Swap Agreements | | | 0 | | | | 4,351 | | | | 0 | | | | 0 | | | | (11,400 | ) | | | (7,049 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 4,351 | | | $ | 0 | | | $ | 0 | | | $ | (11,350 | ) | | $ | (6,999 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Over the counter | |
Forward Foreign Currency Contracts | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 23,721 | | | $ | 0 | | | $ | 23,721 | |
Swap Agreements | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 1,398 | | | | 1,398 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 23,721 | | | $ | 1,398 | | | $ | 25,119 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 4,351 | | | $ | 0 | | | $ | 23,721 | | | $ | (9,952 | ) | | $ | 18,120 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
Net Change in Unrealized (Depreciation) on Financial Derivative Instruments | |
Exchange-traded or centrally cleared | |
Futures | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | (7 | ) | | $ | (7 | ) |
Swap Agreements | | | 0 | | | | (1,330 | ) | | | 0 | | | | 0 | | | | (2,192 | ) | | | (3,522 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | (1,330 | ) | | $ | 0 | | | $ | 0 | | | $ | (2,199 | ) | | $ | (3,529 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Over the counter | |
Forward Foreign Currency Contracts | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | (11,423 | ) | | $ | 0 | | | $ | (11,423 | ) |
Swap Agreements | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | (1,161 | ) | | | (1,161 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | (11,423 | ) | | $ | (1,161 | ) | | $ | (12,584 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | (1,330 | ) | | $ | 0 | | | $ | (11,423 | ) | | $ | (3,360 | ) | | $ | (16,113 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2021 in valuing the Fund’s assets and liabilities:
| | | | | | | | | | | | | | | | |
| Category and Subcategory | | Level 1 | | | Level 2 | | | Level 3 | | | Fair
Value at
12/31/2021 | |
Investments in Securities, at Value | |
Loan Participations and Assignments | | $ | 0 | | | $ | 597,806 | | | $ | 256,489 | | | $ | 854,295 | |
Corporate Bonds & Notes | |
Banking & Finance | | | 0 | | | | 245,231 | | | | 9,506 | | | | 254,737 | |
Industrials | | | 0 | | | | 658,565 | | | | 79,250 | | | | 737,815 | |
Utilities | | | 0 | | | | 198,676 | | | | 0 | | | | 198,676 | |
Convertible Bonds & Notes | |
Banking & Finance | | | 0 | | | | 31,075 | | | | 0 | | | | 31,075 | |
Industrials | | | 0 | | | | 19,611 | | | | 0 | | | | 19,611 | |
Municipal Bonds & Notes | |
Puerto Rico | | | 0 | | | | 70,284 | | | | 0 | | | | 70,284 | |
West Virginia | | | 0 | | | | 2,786 | | | | 0 | | | | 2,786 | |
U.S. Government Agencies | | | 0 | | | | 42,426 | | | | 0 | | | | 42,426 | |
Non-Agency Mortgage-Backed Securities | | | 0 | | | | 956,926 | | | | 800 | | | | 957,726 | |
Asset-Backed Securities | | | 0 | | | | 290,840 | | | | 20,939 | | | | 311,779 | |
Sovereign Issues | | | 0 | | | | 116,359 | | | | 0 | | | | 116,359 | |
Common Stocks | |
Financials | | | 1,126 | | | | 0 | | | | 0 | | | | 1,126 | |
Preferred Securities | |
Banking & Finance | | | 0 | | | | 65,091 | | | | 0 | | | | 65,091 | |
Industrials | | | 0 | | | | 0 | | | | 12,774 | | | | 12,774 | |
Real Estate Investment Trusts | |
Financials | | | 70,353 | | | | 0 | | | | 0 | | | | 70,353 | |
| | | | | | | | | | | | | | | | |
| Category and Subcategory | | Level 1 | | | Level 2 | | | Level 3 | | | Fair
Value at
12/31/2021 | |
Short-Term Instruments | |
Repurchase Agreements | | $ | 0 | | | $ | 20,100 | | | $ | 0 | | | $ | 20,100 | |
U.S. Treasury Bills | | | 0 | | | | 13,713 | | | | 0 | | | | 13,713 | |
U.S. Treasury Cash Management Bills | | | 0 | | | | 85,988 | | | | 0 | | | | 85,988 | |
| | | | | | | | | | | | | | | | |
| | | | |
Total Investments | | $ | 71,479 | | | $ | 3,415,477 | | | $ | 379,758 | | | $ | 3,866,714 | |
| | | | | | | | | | | | | | | | |
|
Financial Derivative Instruments - Assets | |
Exchange-traded or centrally cleared | | | 0 | | | | 159 | | | | 0 | | | | 159 | |
Over the counter | | | 0 | | | | 3,704 | | | | 0 | | | | 3,704 | |
| | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 3,863 | | | $ | 0 | | | $ | 3,863 | |
| | | | | | | | | | | | | | | | |
|
Financial Derivative Instruments - Liabilities | |
Exchange-traded or centrally cleared | | | 0 | | | | (1,113 | ) | | | 0 | | | | (1,113 | ) |
Over the counter | | | 0 | | | | (4,126 | ) | | | 0 | | | | (4,126 | ) |
| | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | (5,239 | ) | | $ | 0 | | | $ | (5,239 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
Total Financial Derivative Instruments | | $ | 0 | | | $ | (1,376 | ) | | $ | 0 | | | $ | (1,376 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
Totals | | $ | 71,479 | | | $ | 3,414,101 | | | $ | 379,758 | | | $ | 3,865,338 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
| See Accompanying Notes | | | SEMIANNUAL REPORT | | | | | | | DECEMBER 31, 2021 | | | 103 |
| | | | | | | | |
| Consolidated Schedule of Investments | | PIMCO Dynamic Income Opportunities Fund | | (Cont.) | | December 31, 2021 | | (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, 2021:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Category and Subcategory | | Beginning
Balance
at 06/30/2021 | | | Net
Purchases | | | Net
Sales/
Settlements | | | Accrued
Discounts/
(Premiums) | | | Realized
Gain/(Loss) | | | Net Change in
Unrealized
Appreciation/
(Depreciation)(1) | | | Transfers into
Level 3 | | | Transfers out
of Level 3 | | | Ending
Balance
at 12/31/2021 | | | Net Change in
Unrealized
Appreciation/
(Depreciation)
on Investments
Held at
12/31/2021(1) | |
Investments in Securities, at Value | |
Loan Participations and Assignments | | $ | 98,710 | | | $ | 175,149 | | | $ | (44,413 | ) | | $ | 445 | | | $ | (1,093 | ) | | $ | (213 | ) | | $ | 27,904 | | | $ | 0 | | | $ | 256,489 | | | $ | 714 | |
Corporate Bonds & Notes | |
Banking & Finance | | | 0 | | | | 10,089 | | | | 0 | | | | 121 | | | | 0 | | | | (704 | ) | | | 0 | | | | 0 | | | | 9,506 | | | | (704 | ) |
Industrials | | | 0 | | | | 48,922 | | | | (433 | ) | | | 0 | | | | 0 | | | | (48 | ) | | | 30,809 | | | | 0 | | | | 79,250 | | | | (48 | ) |
Convertible Bonds & Notes | |
Banking & Finance | | | 1,211 | | | | 0 | | | | (1,096 | ) | | | 0 | | | | 0 | | | | (115 | ) | | | 0 | | | | 0 | | | | 0 | | | | 0 | |
Non-Agency Mortgage-Backed Securities | | | 1,000 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | (200 | ) | | | 0 | | | | 0 | | | | 800 | | | | (200 | ) |
Asset-Backed Securities | | | 22,057 | | | | 5,611 | | | | 0 | | | | 23 | | | | 0 | | | | (6,752 | ) | | | 0 | | | | 0 | | | | 20,939 | | | | (6,752 | ) |
Preferred Securities | |
Industrials | | | 12,789 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | (15 | ) | | | 0 | | | | 0 | | | | 12,774 | | | | (15 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Totals | | $ | 135,767 | | | $ | 239,771 | | | $ | (45,942 | ) | | $ | 589 | | | $ | (1,093 | ) | | $ | (8,047 | ) | | $ | 58,713 | | | $ | 0 | | | $ | 379,758 | | | $ | (7,005 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:
| | | | | | | | | | | | | | | | | | | | |
Category and Subcategory | | Ending
Balance
at 12/31/2021 | | | Valuation
Technique | | Unobservable
Inputs | | | | | (% Unless Noted Otherwise) | |
| | Input Value(s)
| | | Weighted
Average | |
Investments in Securities, at Value | |
Loan Participations and Assignments | | $ | 18,496 | | | Discounted Cash Flow | | Discount Rate | | | | | | | 4.600 | | | | — | |
| | | 13,801 | | | Indicative Market Quotation | | Broker Quote | | | | | | | 39.500 | | | | — | |
| | | 7,625 | | | Other Valuation Techniques(2) | | — | | | | | | | — | | | | — | |
| | | 125,299 | | | Proxy Pricing | | Base Price | | | | | | | 70.202-100.000 | | | | 98.329 | |
| | | 22,100 | | | Recent Transaction | | Purchase Price | | | | | | | 100.000 | | | | — | |
| | | 69,168 | | | Third Party Vendor | | Broker Quote | | | | | | | 96.000-100.125 | | | | 98.256 | |
Corporate Bonds & Notes | |
Banking & Finance | | | 9,506 | | | Proxy Pricing | | Base Price | | | | | | | 74.120-79.430 | | | | 76.759 | |
Industrials | | | 48,874 | | | Proxy Pricing | | Base Price | | | | | | | 100.000 | | | | — | |
| | | 30,376 | | | Reference Instrument | | Weighted Average | | | BRL | | | | 50.472 | | | | — | |
Non-Agency Mortgage-Backed Securities | | | 800 | | | Other Valuation
Techniques(2) | | — | | | | | | | — | | | | — | |
Asset-Backed Securities | | | 20,939 | | | Proxy Pricing | | Base Price | | | | | | | 84.210-42,578.250 | | | | 25,437.882 | |
Preferred Securities | |
Industrials | | | 12,774 | | | Discounted Cash Flow/
Comparable Companies | | Discount Rate/
BV Multiple | | | %/X | | | | 19.850/0.290 | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total | | $ | 379,758 | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| (1) | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at December 31, 2021 may be due to an investment no longer held or categorized as Level 3 at period end. |
| (2) | Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not considered significant to the Fund. |
| | | | | | |
| 104 | | PIMCO CLOSED-END FUNDS | | | See Accompanying Notes | |
| | | | | | |
| Notes to Financial Statements | | | | December 31, 2021 | | (Unaudited) |
1. ORGANIZATION
PCM Fund, Inc., PIMCO Global StocksPLUS® & Income Fund, PIMCO Strategic Income Fund, Inc., PIMCO Dynamic Income Fund, and PIMCO Dynamic Income Opportunities 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 Dynamic Income Fund, and PIMCO Dynamic Income Opportunities 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 Strategic Income Fund, Inc. | | | | | | | December 9, 1993 | |
| | |
PIMCO Dynamic Income Fund | | | | | | | January 19, 2011 | |
| | |
PIMCO Dynamic Income Opportunities Fund | | | | | | | December 23, 2019 | |
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 functional and reporting currency for the Funds is the U.S. dollar. The preparation of financial statements in accordance with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
(a) Securities Transactions and Investment Income Securities transactions are recorded as of the trade date for financial reporting purposes. Securities purchased or sold on a when-issued or delayed-delivery basis may be settled beyond a standard settlement period for the security after the trade date. Realized gains (losses) from securities sold are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date, except certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as a Fund is informed of the ex-dividend date. Interest income, adjusted for the accretion of discounts and
amortization of premiums, is recorded on the accrual basis from settlement date, with the exception of securities with a forward starting effective date, where interest income is recorded on the accrual basis from effective date. For convertible securities, premiums attributable to the conversion feature are not amortized. Estimated tax liabilities on certain foreign securities are recorded on an accrual basis and are reflected as components of interest income or net change in unrealized appreciation (depreciation) on investments on the Statements of Operations, as appropriate. Tax liabilities realized as a result of such security sales are reflected as a component of net realized gain (loss) on investments on the Statements of Operations. Paydown gains (losses) on mortgage-related and other asset-backed securities, if any, are recorded as components of interest income on the Statements of Operations. Income or short-term capital gain distributions received from registered investment companies, if any, are recorded as dividend income. Long-term capital gain distributions received from registered investment companies, if any, are recorded as realized gains.
Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivable when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is probable.
(b) Foreign Currency Translation The market values of foreign securities, currency holdings and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars based on the current exchange rates each business day. Purchases and sales of securities and income and expense items denominated in foreign currencies, if any, are translated into U.S. dollars at the exchange rate in effect on the transaction date. The Funds do not separately report the effects of changes in foreign exchange rates from changes in market prices on securities held. Such changes are included in net realized gain (loss) and net change in unrealized appreciation (depreciation) from investments on the Statements of Operations. The Funds may invest in foreign currency-denominated securities and may engage in foreign currency transactions either on a spot (cash) basis at the rate prevailing in the currency exchange market at the time or through a forward foreign currency contract. Realized foreign exchange gains (losses) arising from sales of spot foreign currencies, currency gains (losses) realized between the trade and settlement dates on securities transactions and the difference between the recorded amounts of dividends, interest, and foreign withholding taxes and the U.S. dollar equivalent of the amounts actually received or paid are included in net realized gain (loss) on foreign currency transactions on the Statements of Operations. Net unrealized foreign exchange gains (losses) arising from changes in foreign exchange rates on foreign
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| Notes to Financial Statements | | (Cont.) | | | | |
denominated assets and liabilities other than investments in securities held at the end of the reporting period are included in net change in unrealized appreciation (depreciation) on foreign currency assets and liabilities on the Statements of Operations.
(c) Distributions — Common Shares The following table shows the anticipated frequency of distributions from net investment income to common shareholders.
| | | | | | | | | | | | |
| | | | Distribution Frequency | |
| | | |
| Fund Name | | | | | Declared | | | Distributed | |
| | | |
PCM Fund, Inc. | | | | | | | Monthly | | | | Monthly | |
| | | |
PIMCO Global StocksPLUS® & Income Fund | | | | | | | Monthly | | | | Monthly | |
| | | |
PIMCO Strategic Income Fund, Inc. | | | | | | | Monthly | | | | Monthly | |
| | | |
PIMCO Dynamic Income Fund | | | | | | | Monthly | | | | Monthly | |
| | | |
PIMCO Dynamic Income Opportunities Fund | | | | | | | Monthly | | | | Monthly | |
Each Fund other than the PIMCO Global StocksPLUS® & Income Fund and PIMCO Strategic Income Fund, Inc. generally distributes each year all of its net investment income and net short-term capital gains. The PIMCO Global StocksPLUS® & Income Fund and PIMCO Strategic Income Fund, Inc. intend to distribute all or substantially all of their net investment income and net short-term capital gains over time. In addition, at least annually, each Fund generally distributes net realized long-term capital gains not previously distributed, if any.
Certain funds may invest in one or more Subsidiaries that are treated as disregarded entities for U.S. federal income tax purposes. In the case of a Subsidiary that is so treated, for U.S. federal income tax purposes, (i) the Fund is treated as owning the Subsidiary’s assets directly; (ii) any income, gain, loss, deduction or other tax items arising in respect of the Subsidiary’s assets will be treated as if they are realized or incurred, as applicable, directly by the Fund; and (iii) distributions, if any, the Fund receives from the Subsidiary will have no effect on the Fund’s U.S. federal income tax liability.
A Fund may engage in investment strategies, including those that employ the use of derivatives, to, among other things, seek to generate current, distributable income without regard to possible declines in the Fund’s net asset value (“NAV”). A Fund’s income and gain generating strategies, including certain derivatives strategies, may generate
current, distributable income, even if such strategies could potentially result in declines in the Fund’s NAV. 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 and with a substantial possibility that the Fund will experience a corresponding capital loss and decline in NAV with respect to the opposite side transaction (to the extent it does not have corresponding offsetting capital gains). Consequently, common shareholders may receive distributions and owe tax on amounts that are effectively a taxable return of the shareholder’s investment in the Fund at a time when their investment in a Fund has declined in value, which may be taxed at ordinary income rates. The tax treatment of certain derivatives in which a Fund invests may be unclear and thus subject to recharacterization. Any recharacterization of payments made or received by a Fund pursuant to derivatives potentially could affect the amount, timing or character of Fund distributions. In addition, the tax treatment of such investment strategies may be changed by regulation or otherwise.
For tax years ending before July 1, 2018, PIMCO Strategic Income Fund, Inc. (“RCS”) accounted for mortgage dollar rolls as financing transactions. On July 18, 2019, the Internal Revenue Service (“IRS”) granted RCS’ application for a change in accounting method for mortgage dollar rolls. Accordingly, for tax years ending after June 30, 2018, RCS accounts for mortgage dollar rolls as sales or exchanges. Please see “Federal Income Tax Matters” in the Notes to Financial Statements for information regarding RCS’ treatment of mortgage dollar rolls and its impact on the Fund’s distributions and related consequences.
RCS Financial Highlights (as adjusted)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Selected Per Share Data
for the Year or Period Ended: | | | | | Net Asset
Value Beginning
of Year or Period | | | Net Investment Income from Investment Operations | | | Net
Realized/
Unrealized Gain (Loss) from Investment Operations | | | Net Asset
Value End of Year
or Period | | | Net Assets
End of Year
or Period
(000s) | | | Net
Investment
Income (Loss)
Ratio to Average
Net Assets | | | Portfolio Turnover Rate | |
| | | | | | | | |
6/30/2018 | | | | | | $ | 7.77 | | | $ | 0.49 | | | $ | (0.06 | ) | | $ | 7.34 | | | $ | 315,577 | | | | 6.39 | % | | | 755 | % |
| | | | | | | | |
6/30/2017 | | | | | | | 7.90 | | | | 0.49 | | | | 0.29 | | | | 7.77 | | | | 330,686 | | | | 6.36 | | | | 621 | |
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Income distributions and capital gain distributions are determined in accordance with income tax regulations which may differ from U.S. GAAP. Differences between tax regulations and U.S. GAAP may cause timing differences between income and capital gain recognition. Further, the character of investment income and capital gains may be different for certain transactions under the two methods of accounting. As a result, income distributions and capital gain distributions declared during a fiscal period may differ significantly from the net investment income (loss) and realized gains (losses) reported on each Fund’s annual financial statements presented under U.S. GAAP.
Separately, if a Fund determines or estimates, as applicable, that a portion of a distribution may be comprised of amounts from sources other than net investment income in accordance with its policies, accounting records (if applicable), and accounting practices, the Fund will notify shareholders of the estimated composition of such distribution through a Section 19 Notice. For these purposes, a Fund determines or estimates, as applicable, the source or sources from which a distribution is paid, to the close of the period as of which it is paid, in reference to its internal accounting records and related accounting practices. If, based on such accounting records and practices, it is determined or estimated, as applicable, that a particular distribution does not include capital gains or paid-in surplus or other capital sources, a Section 19 Notice generally would not be issued. It is important to note that differences exist between a Fund’s daily internal accounting records and practices, a Fund’s financial statements presented in accordance with U.S. GAAP, and recordkeeping practices under income tax regulations. For instance, a Fund’s internal accounting records and practices may take into account, among other factors, tax-related characteristics of certain sources of distributions that differ from treatment under U.S. GAAP. Examples of such differences may include, but are not limited to, for certain Funds, the treatment of periodic payments under interest rate swap contracts. Accordingly, among other consequences, it is possible that a Fund may not issue a Section 19 Notice in situations where a Fund’s financial statements prepared later and in accordance with U.S. GAAP and/or the final tax character of those distributions might later report that the sources of those distributions included capital gains and/or a return of capital. Please visit www.pimco.com for the most recent Section 19 Notice, if applicable, for additional information regarding the estimated composition of distributions. Final determination of a distribution’s tax character will be provided to shareholders when such information is available.
Distributions classified as a tax basis return of capital at a Fund’s fiscal year end, if any, are reflected on the Statements of Changes in Net Assets and have been recorded to paid in capital on the Statements of Assets and Liabilities. In addition, other amounts have been reclassified between distributable earnings (accumulated loss) and paid in capital
on the Statements of Assets and Liabilities to more appropriately conform U.S. GAAP to tax characterizations of distributions.
(d) New Accounting Pronouncements and Regulatory Updates In March 2020, the Financial Accounting Standards Board issued an Accounting Standards Update (“ASU”), ASU 2020-04, which provides optional guidance to ease the potential accounting burden associated with transitioning away from the London Interbank Offered Rate and other reference rates that are expected to be discontinued. The ASU is effective immediately upon release of the update on March 12, 2020 through December 31, 2022. At this time, management is evaluating implications of these changes on the financial statements.
In October 2020, the U.S. Securities and Exchange Commission (“SEC”) adopted a rule related to the use of derivatives, short sales, reverse repurchase agreements and certain other transactions by registered investment companies that rescinds and withdraws the guidance of the SEC and its staff regarding asset segregation and cover transactions. Subject to certain exceptions, the rule requires funds to trade derivatives and other transactions that create future payment or delivery obligations (except reverse repurchase agreements and similar financing transactions) subject to a value-at-risk leverage limit, certain derivatives risk management program and reporting requirements. The rule went into effect on February 19, 2021 and funds will have an eighteen-month transition period to comply with the rule and related reporting requirements. At this time, management is evaluating the implications of these changes on the financial statements.
In October 2020, the SEC adopted a rule regarding the ability of a fund to invest in other funds. The rule allows a fund to acquire shares of another fund in excess of certain limitations currently imposed by the Act without obtaining individual exemptive relief from the SEC, subject to certain conditions. The rule also includes the rescission of certain exemptive relief from the SEC and guidance from the SEC staff for funds to invest in other funds. The effective date for the rule was January 19, 2021, and the compliance date for the rule was January 19, 2022. Management has implemented changes in connection with the rule and has determined that there is no material impact to the Funds’ financial statements.
In December 2020, the SEC adopted a rule addressing fair valuation of fund investments. The new rule sets forth requirements for good faith determinations of fair value as well as for the performance of fair value determinations, including related oversight and reporting obligations. The new rule also defines “readily available market quotations” for purposes of the definition of “value” under the Act, and the SEC noted that this definition would apply in all contexts under the Act. The effective date for the rule was March 8, 2021. The SEC adopted an eighteen-month transition period beginning from the effective date for both the new rule and the associated new recordkeeping requirements.
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| Notes to Financial Statements | | (Cont.) | | | | |
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, or each of its share classes as applicable, is determined by dividing the total value of portfolio investments and other assets, less any liabilities, attributable to that Fund or class by the total number of shares outstanding of that Fund or class.
On each day that the New York Stock Exchange (“NYSE”) is open, Fund shares are ordinarily valued as of the close of regular trading (normally 4:00 p.m., Eastern time) (“NYSE Close”). Information 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. If regular trading on the NYSE closes earlier than scheduled, each Fund reserves the right to either (i) calculate its NAV as of the earlier closing time or (ii) calculate its NAV as of the normally scheduled close of regular trading on the NYSE for that day. Each Fund generally does not calculate its NAV on days during which the NYSE is closed. However, if the NYSE is closed on a day it would normally be open for business, each Fund reserves the right to calculate its NAV as of the normally scheduled close of regular trading on the NYSE for that day or such other time that the Fund may determine.
For purposes of calculating NAV, portfolio securities and other assets for which market quotes are readily available are valued at market value. Market value is generally determined on the basis of official closing prices or the last reported sales prices, or if no sales are reported, based on quotes obtained from established market makers or prices (including evaluated prices) supplied by the Funds’ approved pricing services, quotation reporting systems and other third-party sources (together, “Pricing Services”). The Funds will normally use pricing data for domestic equity securities received shortly after the NYSE Close and do not normally take into account trading, clearances or settlements that take place after the NYSE Close. If market value pricing is used, a foreign (non-U.S.) equity security traded on a foreign exchange or on more than one exchange is typically valued using pricing information from the exchange considered by PIMCO to be the primary exchange. A foreign (non-U.S.) equity security will be valued as of the close of trading on the foreign exchange, or the NYSE Close, if the NYSE Close occurs before the end of trading on the foreign exchange. Domestic and foreign (non-U.S.) fixed income securities, non-exchange traded derivatives, and equity options are normally valued on the basis of quotes obtained from brokers and dealers or Pricing Services using such data reflecting the principal markets for those securities. Prices obtained from Pricing Services may be based on,
among other things, information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. Certain fixed income securities purchased on a delayed-delivery basis are marked to market daily until settlement at the forward settlement date. Exchange-traded options, except equity options, futures and options on futures are valued at the settlement price determined by the relevant exchange, quotes obtained from a quotation reporting system, established market makers or pricing services. Swap agreements are valued on the basis of market-based prices supplied by Pricing Services or quotes obtained from brokers and dealers. 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. Foreign (non-U.S.) equity securities that do not trade when the NYSE is open are also valued at fair value. With respect to foreign (non-U.S.) equity securities, a Fund may determine the fair value of investments based on information provided by Pricing Services and other third-party vendors, which may recommend fair value or adjustments with reference to other securities, indices or assets. In considering whether fair valuation is required and in determining fair values, a Fund may, among other things, consider significant events (which may be considered to include changes in the value of U.S. securities or securities indices) that occur after the close of the relevant market and before the NYSE Close. A Fund may utilize modeling tools provided by third-party vendors to determine fair values of non-U.S. securities. For these purposes, any movement in the applicable reference index or instrument (“zero trigger”) between the earlier close of the applicable foreign market and the NYSE Close may be deemed to be a significant event, prompting the application of the pricing model (effectively resulting in daily fair valuations). Foreign exchanges may permit trading in foreign (non-U.S.) equity securities on days when a Fund is not open for business, which may result in a Fund’s portfolio investments being affected when shareholders are unable to buy or sell shares.
Senior secured floating rate loans for which an active secondary market exists to a reliable degree are valued at the mean of the last available bid/ask prices in the market for such loans, as provided by a Pricing Service. Senior secured floating rate loans for which an active secondary market does not exist to a reliable degree are valued at fair value, which is intended to approximate market value. In valuing a senior secured floating rate loan at fair value, the factors considered may include, but are not limited to, the following: (a) the creditworthiness of the borrower and any intermediate participants, (b) the terms of the loan, (c) recent prices in the market for similar
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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 Board. Market quotes are considered not readily available in circumstances where there is an absence of current or reliable market-based data (e.g., trade information, bid/ask information, indicative market quotations (“Broker Quotes”), Pricing Services’ prices), including where events occur after the close of the relevant market, but prior to the NYSE Close, that materially affect the values of a Fund’s securities or assets. In addition, market quotes are considered not readily available when, due to extraordinary circumstances, the exchanges or markets on which the securities trade do not open for trading for the entire day and no other market prices are available. The Board has delegated, to the Manager, the responsibility for monitoring significant events that may materially affect the values of a Fund’s securities or assets and for determining whether the value of the applicable securities or assets should be reevaluated in light of such significant events.
When a Fund uses fair valuation to determine the value of a portfolio security or other asset for purposes of calculating its NAV, such investments will not be priced on the basis of quotes from the primary market in which they are traded, but rather may be priced by another method that the Board or persons acting at their direction believe reflects fair value. Fair valuation may require subjective determinations about the value of a security. While the Funds’ policy is intended to result in a calculation of a Fund’s NAV that fairly reflects security values
as of the time of pricing, a Fund cannot ensure that fair values determined by the Board or persons acting at their direction would accurately reflect the price that a Fund could obtain for a security if it were to dispose of that security as of the time of pricing (for instance, in a forced or distressed sale). The prices used by a Fund may differ from the value that would be realized if the securities were sold.
(b) Fair Value Hierarchy U.S. GAAP describes fair value as the price that a Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. It establishes a fair value hierarchy that prioritizes inputs to valuation methods and requires disclosure of the fair value hierarchy, separately for each major category of assets and liabilities, that segregates fair value measurements into levels (Level 1, 2, or 3). The inputs or methodology used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. Levels 1, 2, and 3 of the fair value hierarchy are defined as follows:
| ∎ | | Level 1 — Quoted prices in active markets or exchanges for identical assets and liabilities. |
| ∎ | | Level 2 — Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs. |
| ∎ | | Level 3 — Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair value of investments. |
Assets or liabilities categorized as Level 2 or 3 as of period end have been transferred between Levels 2 and 3 since the prior period due to changes in the method utilized in valuing the investments. Transfers from Level 2 to Level 3 are a result of a change, in the normal course of business, from the use of methods used by Pricing Services (Level 2) to the use of a Broker Quote or valuation technique which utilizes significant unobservable inputs due to an absence of current or reliable market-based data (Level 3). Transfers from Level 3 to Level 2 are a result of the availability of current and reliable market-based data provided by Pricing Services or other valuation techniques which utilize significant observable inputs. In accordance with the requirements of U.S. GAAP, the amounts of transfers into and out of Level 3, if material, are disclosed in the Notes to Schedule of Investments for each respective Fund.
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| Notes to Financial Statements | | (Cont.) | | | | |
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, Level 2 and Level 3 trading assets and trading liabilities, at fair value The valuation methods (or “techniques”) and significant inputs used in determining the fair values of portfolio securities or other assets and liabilities categorized as Level 1, Level 2 and Level 3 of the fair value hierarchy are as follows:
Fixed income securities including corporate, convertible and municipal bonds and notes, U.S. government agencies, U.S. treasury obligations, sovereign issues, bank loans, convertible preferred securities and non-U.S. bonds are normally valued on the basis of quotes obtained from brokers and dealers or Pricing Services that use broker-dealer quotations, reported trades or valuation estimates from their internal pricing models. The Pricing Services’ internal models use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar assets. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.
Fixed income securities purchased on a delayed-delivery basis or as a repurchase commitment in a sale-buyback transaction are marked to market daily until settlement at the forward settlement date and are categorized as Level 2 of the fair value hierarchy.
Mortgage-related and asset-backed securities are usually issued as separate tranches, or classes, of securities within each deal. These securities are also normally valued by Pricing Services that use broker-dealer quotations, reported trades or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche-level attributes, current market data, estimated cash flows and market-based yield spreads for each tranche, and incorporate deal collateral performance, as available. Mortgage-related and asset-backed securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.
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.
Valuation adjustments may be applied to certain exchange traded futures and options to account for market movement between the exchange settlement and the NYSE close. These securities are valued using quotes obtained from a quotation reporting system, established market makers or pricing services. Financial derivatives using these valuation adjustments are categorized as Level 2 of the fair value hierarchy.
Equity exchange-traded options and over the counter financial derivative instruments, such as forward foreign currency contracts and options contracts derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These contracts are normally valued on the basis of quotes obtained from a quotation reporting system, established market makers or Pricing Services (normally determined as of the NYSE Close). Depending on the product and the terms of the transaction, financial derivative instruments can be valued by Pricing Services using a series of techniques, including simulation pricing models. The pricing models use inputs that are observed from actively quoted markets such as quoted prices, issuer details, indices, bid/ask spreads, interest rates, implied volatilities, yield curves, dividends and exchange rates. Financial derivative instruments that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.
Centrally cleared swaps and over the counter swaps derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. They are valued using a broker-dealer bid quotation or on market-based prices provided by Pricing
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Services (normally determined as of the NYSE Close). Centrally cleared swaps and over the counter swaps can be valued by Pricing Services using a series of techniques, including simulation pricing models. The pricing models may use inputs that are observed from actively quoted markets such as the overnight index swap rate, London Interbank Offered Rate forward rate, interest rates, yield curves and credit spreads. These securities are categorized as Level 2 of the fair value hierarchy.
When a fair valuation method is applied by PIMCO that uses significant unobservable inputs, investments will be priced by a method that the Board or persons acting at their direction believe reflects fair value and are categorized as Level 3 of the fair value hierarchy.
Proxy pricing procedures set the base price of a fixed income security and subsequently adjust the price proportionally to market value changes of a pre-determined security deemed to be comparable in duration, generally a U.S. Treasury or sovereign note based on country of issuance. The base price may be a broker-dealer quote, transaction price, or an internal value as derived by analysis of market data. The base price of the security may be reset on a periodic basis based on the availability of market data and procedures approved by the Valuation Oversight Committee. Significant changes in the unobservable inputs of the proxy pricing process (the base price) would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.
If third-party evaluated vendor pricing is not available or not deemed to be indicative of fair value, the Manager may elect to obtain 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.
Reference instrument valuation estimates fair value by utilizing the correlation of the security to one or more broad-based securities, market indices, and/or other financial instruments, whose pricing information is readily available. Unobservable inputs may include those used in algorithms based on percentage change in the reference instruments and/or weights of each reference instrument. Significant changes in the unobservable inputs would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 2 or Level 3 of the fair value hierarchy depending on the source or input of the reference instrument.
The Discounted Cash Flow model is based on future cash flows generated by the investment and may be normalized based on expected investment performance. Future cash flows are discounted to present value using an appropriate rate of return, typically calibrated to the initial transaction date and adjusted based on Capital Asset Pricing Model and/or other market-based inputs. Significant changes in the unobservable inputs would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.
The Comparable Companies model is based on application of valuation multiples from publicly traded comparable companies to the financials of the subject company. Adjustments may be made to the market-derived valuation multiples based on differences between the comparable companies and the subject company. Significant changes in the unobservable inputs would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.
The Current Value model is utilized for securities that are typically held at cost in the period of the initial investment, and potentially longer if the security is in an early-stage company that has made no material progress on its business plan. Significant changes in the unobservable inputs would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.
The Waterfall Recoverability model is based on liquidation or net asset value approaches. Typically this model would be used in distressed scenarios or when a business is worth more through the sale of individual assets than continuing as an operating business. Significant changes in the unobservable inputs would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.
Securities may be valued based on purchase prices of privately negotiated transactions. Significant changes in the unobservable inputs would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.
Short-term debt instruments (such as commercial paper) having a remaining maturity of 60 days or less may be valued at amortized cost, so long as the amortized cost value of such short-term debt instruments is approximately the same as the fair value of the instrument as determined without the use of amortized cost valuation. These securities are categorized as Level 2 or Level 3 of the fair value hierarchy depending on the source of the base price.
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4. SECURITIES AND OTHER INVESTMENTS
(a) Investments in Affiliates
An affiliate includes any company in which a Fund owns 5% or more of the company’s outstanding voting shares. The table below represents transactions in and earnings from these affiliated issuers for the period ended December 31, 2021 (amounts in thousands†, except number of shares).
PIMCO Dynamic Income Fund
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| Security Name | | | Market Value
at 06/30/2021 | | | Purchases
at cost | | | Proceeds
from Sale | | | Net
Realized
Gain/(Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Market Value
at 12/31/2021 | | | Dividend
Income | | | Shares Held
at 12/31/2021 | |
| | | | | | | | | |
Associated Materials Group, Inc. | | | | | | $ | 0 | | | $ | 72,463 | | | $ | 0 | | | $ | 0 | | | $ | 7,190 | | | $ | 79,653 | | | $ | 0 | | | | 11,411,610 | |
| | | | | | | | | |
Neiman Marcus Group Ltd. LLC | | | | | | | 0 | | | | 19,376 | | | | 0 | | | | 0 | | | | 68,844 | | | | 88,220 | | | | 0 | | | | 602,840 | |
| | | | | | | | | |
Sierra Hamilton Holder LLC | | | | | | | 0 | | | | 7,690 | | | | 0 | | | | 0 | | | | (7,687 | ) | | | 3 | | | | 0 | | | | 30,337,712 | |
| † | A zero balance may reflect actual amounts rounding to less than one thousand. |
(b) Investments in Securities
The Funds may utilize the investments and strategies described below to the extent permitted by each Fund’s respective investment policies.
Inflation-Indexed Bonds are fixed income securities whose principal value is periodically adjusted by the rate of inflation. The interest rate on these bonds is generally fixed at issuance at a rate lower than typical bonds. Over the life of an inflation-indexed bond, however, interest will be paid based on a principal value which is adjusted for inflation. Any increase or decrease in the principal amount of an inflation-indexed bond will be included as interest income on the Statements of Operations, even though investors do not receive their principal until maturity. Repayment of the original bond principal upon maturity (as adjusted for inflation) is guaranteed in the case of U.S. Treasury Inflation-Protected Securities. For bonds that do not provide a similar guarantee, the adjusted principal value of the bond repaid at maturity may be less than the original principal.
Loans and Other Indebtedness, Loan Participations and Assignments are direct debt instruments which are interests in amounts owed to lenders or lending syndicates by corporate, governmental, or other borrowers. 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 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, including those arising under bankruptcy, fraudulent conveyance, equitable subordination, environmental and other laws and regulations, and risks and costs associated with debt servicing and taking foreclosure actions associated with the loans.
Additionally, because loans are not ordinarily registered with the SEC or any state securities commission or listed on any securities exchange, there is usually less publicly available information about such instruments. In addition, loans may not be considered “securities” for purposes of the anti-fraud provisions under the federal securities laws and, as a result, as a purchaser of these instruments, a Fund may not be entitled to the anti-fraud protections of the federal securities laws. In the course of investing in such instruments, a Fund may come into possession of material nonpublic information and, because of prohibitions on trading in securities of issuers while in possession of such information, the Fund may be unable to enter into a transaction in
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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 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 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. Unfunded loan commitments, if any, are reflected as a liability on the Statements of Assets and Liabilities.
Mortgage-Related and Other Asset-Backed Securities directly or indirectly represent a participation in, or are secured by and payable from, loans on real property. Mortgage-related securities are created from pools of residential or commercial mortgage loans, including mortgage loans made by savings and loan institutions, mortgage bankers, commercial banks and others. These securities typically provide a monthly payment which consists of both principal and interest. Interest may be determined by fixed or adjustable rates. In
times of declining interest rates, there is a greater likelihood that a Fund’s higher yielding securities will be pre-paid with the Fund being unable to reinvest the proceeds in an investment with as great a yield. The rate of prepayments on underlying mortgages will affect the price and volatility of a mortgage-related security, and may have the effect of shortening or extending the effective duration of the security relative to what was anticipated at the time of purchase. Interest-only and principal-only securities are especially sensitive to interest rate changes, which can affect not only their prices but can also change the income flows and repayment assumptions about those investments. The timely payment of principal and interest of certain mortgage-related securities is guaranteed with the full faith and credit of the U.S. Government. Pools created and guaranteed by non-governmental issuers, including government-sponsored corporations, may be supported by various forms of insurance or guarantees, but there can be no assurance that private insurers or guarantors can meet their obligations under the insurance policies or guarantee arrangements. Many of the risks of investing in mortgage-related securities secured by commercial mortgage loans (“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, but not limited to, auto loans, accounts receivable such as credit card receivables and hospital account receivables, home equity loans, student loans, boat loans, mobile home loans, recreational vehicle loans, manufactured housing loans, aircraft leases, computer leases and syndicated bank loans. The Funds may invest in any level of the capital structure of an issuer of mortgage-backed or asset-backed securities, including the equity or “first loss” tranche.
Collateralized Debt Obligations (“CDOs”) include Collateralized Bond Obligations (“CBOs”), Collateralized Loan Obligations (“CLOs”) and other similarly structured securities. CBOs and CLOs are types of asset-backed securities. A CBO is a trust which is typically backed by a diversified pool of high risk, below investment grade fixed income securities. A CLO is a trust typically collateralized by a pool of loans, which may include, among others, domestic and foreign senior secured loans, senior unsecured loans, and subordinate corporate loans, including loans that may be rated below investment grade or equivalent unrated loans. For both CBOs and CLOs, the cash flows from the trust are split into two or more portions, called tranches, varying in risk and yield. The riskiest portion is the “equity” tranche which bears the bulk of defaults from the bonds or loans in the trust and serves to protect the other, more senior tranches from default in all but the most severe circumstances. Since it is partially protected from
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defaults, a senior tranche from a CBO trust or CLO trust typically has higher ratings and lower yields than the underlying securities, and can be rated investment grade. Despite the protection from the equity tranche, CBO or CLO tranches can experience substantial losses due to actual defaults, increased sensitivity to defaults due to collateral default and disappearance of protecting tranches, market anticipation of defaults and aversion to CBO or CLO securities as a class. The risks of an investment in a CDO depend largely on the type of the collateral securities and the class of the CDO in which a Fund invests. CDOs carry additional risks including, but not limited to, (i) the possibility that distributions from collateral securities will not be adequate to make interest or other payments, (ii) the collateral may decline in value or default, (iii) the risk that a Fund may invest in CDOs that are subordinate to other classes, and (iv) the complex structure of the security may not be fully understood at the time of investment and may produce disputes with the issuer or unexpected investment results.
Collateralized Mortgage Obligations (“CMOs”) are debt obligations of a legal entity that are collateralized by whole mortgage loans or private mortgage bonds and divided into classes. CMOs are structured into multiple classes, often referred to as “tranches”, with each class bearing a different stated maturity and entitled to a different schedule for payments of principal and interest, including prepayments. CMOs may be less liquid and may exhibit greater price volatility than other types of mortgage-related or asset-backed securities.
As CMOs have evolved, some classes of CMO bonds have become more common. For example, a Fund may invest in parallel-pay and planned amortization class (“PAC”) CMOs and multi-class pass-through certificates. Parallel-pay CMOs and multi-class pass-through certificates are structured to provide payments of principal on each payment date to more than one class. These simultaneous payments are taken into account in calculating the stated maturity date or final distribution date of each class, which, as with other CMO and multi-class pass-through structures, must be retired by its stated maturity date or final distribution date but may be retired earlier. PACs generally require payments of a specified amount of principal on each payment date. PACs are parallel-pay CMOs with the required principal amount on such securities having the highest priority after interest has been paid to all classes. Any CMO or multi-class pass-through structure that includes PAC securities must also have support tranches — known as support bonds, companion bonds or non-PAC bonds — which lend or absorb principal cash flows to allow the PAC securities to maintain their stated maturities and final distribution dates within a range of actual prepayment experience. These support tranches are subject to a higher level of maturity risk compared to other mortgage-related securities, and usually provide a higher yield to compensate investors. If principal cash flows are received in amounts outside a pre-determined range such that the support bonds cannot lend or absorb sufficient
cash flows to the PAC securities as intended, the PAC securities are subject to heightened maturity risk. A Fund may invest in various tranches of CMO bonds, including support bonds and equity or “first loss” tranches (see “Collateralized Debt Obligations” above).
Stripped Mortgage-Backed Securities (“SMBS”) are derivative multi-class mortgage securities. SMBS are usually structured with two classes that receive different proportions of the interest and principal distributions on a pool of mortgage assets. An SMBS will have one class that will receive all of the interest (the interest-only or “IO” class), while the other class will receive the entire principal (the principal-only or “PO” class). IOs and POs can be extremely volatile in response to changes in interest rates. As interest rates rise and fall, the value of IOs tends to move in the same direction as interest rates. POs perform best when prepayments on the underlying mortgages rise since this increases the rate at which the principal is returned and the yield to maturity on the PO. When payments on mortgages underlying a PO are slower than anticipated, the life of the PO is lengthened and the yield to maturity is reduced. The yield to maturity on an IO class is extremely sensitive to the rate of principal payments (including prepayments) on the related underlying mortgage assets, and a rapid rate of principal payments may have a material adverse effect on a Fund’s yield to maturity from these securities. If the underlying mortgage assets experience greater than anticipated prepayments of principal, the Funds may fail to recoup some or all of its initial investment in these securities even if the security is in one of the highest rating categories.
Payments received for IOs are included in interest income on the Statements of Operations. Because no principal will be received at the maturity of an IO, adjustments are made to the cost of the security on a monthly basis until maturity. These adjustments are included in interest income on the Statements of Operations. Payments received for POs are treated as reductions to the cost and par value of the securities.
Payment In-Kind Securities may give the issuer the option at each interest payment date of making interest payments in either cash and/or additional debt securities. Those additional debt securities usually have the same terms, including maturity dates and interest rates, and associated risks as the original bonds. The daily market quotations of the original bonds may include the accrued interest (referred to as a dirty price) and require a pro rata adjustment from the unrealized appreciation (depreciation) on investments to interest receivable on the Statements of Assets and Liabilities.
Perpetual Bonds are fixed income securities with no maturity date but pay a coupon in perpetuity (with no specified ending or maturity date). Unlike typical fixed income securities, there is no obligation for perpetual bonds to repay principal. The coupon payments, however, are mandatory. While perpetual bonds have no maturity date, they may have a callable date in which the perpetuity is eliminated and the issuer
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may return the principal received on the specified call date. Additionally, a perpetual bond may have additional features, such as interest rate increases at periodic dates or an increase as of a predetermined point in the future.
Real Estate Investment Trusts (“REITs”) are pooled investment vehicles that own, and typically operate, income-producing real estate. If a REIT meets certain requirements, including distributing to shareholders substantially all of its taxable income (other than net capital gains), then it is not taxed on the income distributed to shareholders. Distributions received from REITs may be characterized as income, capital gain or a return of capital. A return of capital is recorded by a Fund as a reduction to the cost basis of its investment in the REIT. REITs are subject to management fees and other expenses, and so the Funds that invest in REITs will bear their proportionate share of the costs of the REITs’ operations.
Restricted Investments are subject to legal or contractual restrictions on resale and may generally be sold privately, but may be required to be registered or exempted from such registration before being sold to the public. Private placement securities are generally considered to be restricted except for those securities traded between qualified institutional investors under the provisions of Rule 144A of the Securities Act of 1933. Disposal of restricted investments may involve time-consuming negotiations and expenses, and prompt sale at an acceptable price may be difficult to achieve. Restricted investments held by the Funds as of December 31, 2021, as applicable, are disclosed in the Notes to Schedules of Investments.
Securities Issued by U.S. Government Agencies or Government-Sponsored Enterprises are obligations of and, in certain cases, guaranteed by, the U.S. Government, its agencies or instrumentalities. Some U.S. Government securities, such as Treasury bills, notes and bonds, and securities guaranteed by the Government National Mortgage Association, are supported by the full faith and credit of the U.S. Government; others, such as those of the Federal Home Loan Banks, are supported by the right of the issuer to borrow from the U.S. Department of the Treasury (the “U.S. Treasury”); and others, such as those of the Federal National Mortgage Association (“FNMA” or “Fannie Mae”), are supported by the discretionary authority of the U.S. Government to purchase the agency’s obligations. U.S. Government securities may include zero coupon securities which do not distribute interest on a current basis and tend to be subject to a greater risk than interest-paying securities of similar maturities.
Government-related guarantors (i.e., not backed by the full faith and credit of the U.S. Government) include FNMA and the Federal Home Loan Mortgage Corporation (“FHLMC” or “Freddie Mac”). FNMA is a government-sponsored corporation. FNMA purchases conventional
(i.e., not insured or guaranteed by any government agency) residential mortgages from a list of approved seller/servicers which include state and federally chartered savings and loan associations, mutual savings banks, commercial banks and credit unions and mortgage bankers. Pass-through securities issued by FNMA are guaranteed as to timely payment of principal and interest by FNMA, but are not backed by the full faith and credit of the U.S. Government. FHLMC issues Participation Certificates (“PCs”), which are pass-through securities, each representing an undivided interest in a pool of residential mortgages. FHLMC guarantees the timely payment of interest and ultimate collection of principal, but PCs are not backed by the full faith and credit of the U.S. Government. Instead, they are supported only by the discretionary authority of the U.S. Government to purchase the agency’s obligations.
In June 2019, FNMA and FHLMC started issuing Uniform Mortgage Backed Securities in place of their current offerings of TBA-eligible securities (the “Single Security Initiative”). The Single Security Initiative seeks to support the overall liquidity of the TBA market and aligns the characteristics of FNMA and FHLMC certificates. The effects that the Single Security Initiative may have on the market for TBA and other mortgage-backed securities are uncertain.
Roll-timing strategies can be used where a Fund seeks to extend the expiration or maturity of a position, such as a TBA security on an underlying asset, by closing out the position before expiration and opening a new position with respect to substantially 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. Recently finalized FINRA rules include mandatory margin requirements for the TBA market that require the Funds to post collateral in connection with their TBA transactions. There is no similar requirement applicable to the Funds’ TBA counterparties. The required collateralization of TBA trades could increase the cost of TBA transactions to the Funds and impose added operational complexity.
Warrants are securities that are usually issued together with a debt security or preferred security and that give the holder the right to buy a proportionate amount of common stock at a specified price. Warrants normally have a life that is measured in years and entitle the holder to buy common stock of a company at a price that is usually higher than the market price at the time the warrant is issued. Warrants may entail greater risks than certain other types of investments. Generally, warrants do not carry the right to receive dividends or exercise voting rights with respect to the underlying securities, and they do not represent any rights in the assets of the issuer. In addition, their value does not necessarily change with the value of the underlying securities, and they cease to have value if they are not exercised on or before their
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| Notes to Financial Statements | | (Cont.) | | | | |
expiration date. If the market price of the underlying stock does not exceed the exercise price during the life of the warrant, the warrant will expire worthless. Warrants may increase the potential profit or loss to be realized from the investment as compared with investing the same amount in the underlying securities. Similarly, the percentage increase or decrease in the value of an equity security warrant may be greater than the percentage increase or decrease in the value of the underlying common stock. Warrants may relate to the purchase of equity or debt securities. Debt obligations with warrants attached to purchase equity securities have many characteristics of convertible securities and their prices may, to some degree, reflect the performance of the underlying stock. Debt obligations also may be issued with warrants attached to purchase additional debt securities at the same coupon rate. A decline in interest rates would permit a Fund to sell such warrants at a profit. If interest rates rise, these warrants would generally expire with no value.
When-Issued Transactions are purchases or sales made on a when-issued basis. These transactions are made conditionally because a security, although authorized, has not yet been issued in the market. Transactions to purchase or sell securities on a when-issued basis involve a commitment by a Fund to purchase or sell these securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. A Fund may sell when-issued securities before they are delivered, which may result in a realized gain (loss).
5. BORROWINGS AND OTHER FINANCING TRANSACTIONS
The Funds may enter into the borrowings and other financing transactions described below to the extent permitted by each Fund’s respective investment policies.
The following disclosures contain information on a Fund’s ability to lend or borrow cash or securities to the extent permitted under the Act, which may be viewed as borrowing or financing transactions by a Fund. The location of these instruments in each Fund’s financial statements is described below.
(a) Repurchase Agreements Under the terms of a typical repurchase agreement, a Fund purchases an underlying debt obligation (collateral) subject to an obligation of the seller to repurchase, and a Fund to resell, the obligation at an agreed-upon price and time. In an open maturity repurchase agreement, there is no pre-determined repurchase date and the agreement can be terminated by the Fund or counterparty at any time. The underlying securities for all repurchase agreements are held by a Fund’s custodian or designated subcustodians under tri-party repurchase agreements and in certain instances will remain in custody with the counterparty. The market value of the collateral must be equal to or exceed the total amount of the repurchase obligations, including
interest. Repurchase agreements, if any, including accrued interest, are included on the Statements of Assets and Liabilities. Interest earned is recorded as a component of interest income on the Statements of Operations. In periods of increased demand for collateral, a Fund may pay a fee for the receipt of collateral, which may result in interest expense to the Fund.
(b) Reverse Repurchase Agreements In a reverse repurchase agreement, a Fund delivers a security in exchange for cash to a financial institution, the counterparty, with a simultaneous agreement to repurchase the same or substantially the same security at an agreed upon price and date. In an open maturity reverse repurchase agreement, there is no pre-determined repurchase date and the agreement can be terminated by the Fund or counterparty at any time. A Fund is entitled to receive principal and interest payments, if any, made on the security delivered to the counterparty during the term of the agreement. Cash received in exchange for securities delivered plus accrued interest payments to be made by a Fund to counterparties are reflected as a liability on the Statements of Assets and Liabilities. Interest payments made by a Fund to counterparties are recorded as a component of interest expense on the Statements of Operations. In periods of increased demand for the security, a Fund may receive a fee for use of the security by the counterparty, which may result in interest income to the Fund. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, a Fund’s use of the proceeds of the agreement may be restricted pending a determination by the other party, or its trustee or receiver, whether to enforce a Fund’s obligation to repurchase the securities. Reverse repurchase agreements involve leverage risk and also the risk that the market value of the securities to be repurchased may decline below the repurchase price.
(c) Sale-Buybacks A sale-buyback financing 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
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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 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.
(d) Short Sales Short sales are transactions in which a Fund sells a security that it may not own. A Fund may make short sales of securities to (i) offset potential declines in long positions in similar securities, (ii) to increase the flexibility of the Fund, (iii) for investment return, (iv) as part of a risk arbitrage strategy, and (v) as part of its overall portfolio management strategies involving the use of derivative instruments. When a Fund engages in a short sale, it may borrow the security sold short and deliver it to the counterparty. A Fund will ordinarily have to pay a fee or premium to borrow a security and be obligated to repay the lender of the security any dividend or interest that accrues on the security during the period of the loan. Securities sold in short sale transactions and the dividend or interest payable on such securities, if any, are reflected as payable for short sales on the Statements of Assets and Liabilities. Short sales expose a Fund to the risk that it will be required to cover its short position at a time when the security or other asset has appreciated in value, thus resulting in losses to a Fund. A short sale is “against the box” if a Fund holds in its portfolio or has the right to acquire the security sold short, or securities identical to the security sold short, at no additional cost. A Fund will be subject to additional risks to the extent that it engages in short sales that are not “against the box.” A Fund’s loss on a short sale could theoretically be unlimited in cases where a Fund is unable, for whatever reason, to close out its short position.
6. FINANCIAL DERIVATIVE INSTRUMENTS
The Funds may enter into the financial derivative instruments described below to the extent permitted by each Fund’s respective investment policies.
The following disclosures contain information on how and why the Funds use financial derivative instruments, and how financial derivative instruments affect the Funds’ financial position, results of operations and cash flows. The location and fair value amounts of these instruments on the Statements of Assets and Liabilities and the net realized gain (loss) and net change in unrealized appreciation (depreciation) on the Statements of Operations, each categorized by type of financial derivative contract and related risk exposure, are included in a table in the Notes to Schedules of Investments. The financial derivative instruments outstanding as of period end and the amounts of net realized gain (loss) and net change in unrealized appreciation (depreciation) on financial derivative instruments during
the period, as disclosed in the Notes to Schedules of Investments, serve as indicators of the volume of financial derivative activity for the Funds.
PIMCO 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.
(a) Forward Foreign Currency Contracts may be engaged, in connection with settling planned purchases or sales of securities, to hedge the currency exposure associated with some or all of a Fund’s securities or as part of an investment strategy. A forward foreign currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. The market value of a forward foreign currency contract fluctuates with changes in foreign currency exchange rates. Forward foreign currency contracts are marked to market daily, and the change in value is recorded by a Fund as an unrealized gain (loss). Realized gains (losses) are equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed and are recorded upon delivery or receipt of the currency. The contractual obligations of a buyer or seller of a forward foreign currency contract may generally be satisfied by taking or making physical delivery of the underlying currency, establishing an opposite position in the contract and recognizing the profit or loss on both positions simultaneously on the delivery date or, in some instances, paying a cash settlement before the designated date of delivery. These contracts may involve market risk in excess of the unrealized gain (loss) reflected on the Statements of Assets and Liabilities. Although forwards may be intended to minimize the risk of loss due to a decline in the value of the hedged currencies, at the same time, they tend to limit any potential gain which might result should the value of such currencies increase. In addition, a Fund could be exposed to risk if the counterparties are unable to meet the terms of the contracts or if the value of the currency changes unfavorably to the U.S. dollar. To mitigate such risk, cash or securities may be exchanged as collateral pursuant to the terms of the underlying contracts.
(b) Futures Contracts are agreements to buy or sell a security or other asset for a set price on a future date and are traded on an exchange. 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
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| Notes to Financial Statements | | (Cont.) | | | | |
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 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”). Futures Variation Margins, if any, are disclosed within centrally cleared financial derivative instruments on the Statements of Assets and Liabilities. 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 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 and subsequently marked to market to reflect the current value of the option written. These amounts 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.
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.
Interest Rate Swaptions may be written or purchased to enter into a pre-defined swap agreement or to shorten, extend, cancel or otherwise modify an existing swap agreement, by some specified date in the future. The writer of the swaption becomes the counterparty to the swap if the buyer exercises. The interest rate swaption agreement will specify whether the buyer of the swaption will be a fixed-rate receiver or a fixed-rate payer upon exercise.
Options on Exchange-Traded Futures Contracts (“Futures Option”) may be written or purchased 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 may be written or purchased to enhance returns or to hedge an existing position or future investment. An option on a security uses a specified security as the underlying instrument for the option contract.
(d) 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
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| 118 | | PIMCO CLOSED-END FUNDS | | | | |
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| | | | December 31, 2021 | | (Unaudited) |
the Statements of Operations. Daily changes in valuation of centrally cleared swaps, if any, are recorded as variation margin on the Statements of Assets and Liabilities. Centrally Cleared and OTC swap payments received or paid at the beginning of the measurement period are included on the Statements of Assets and Liabilities and represent premiums paid or received upon entering into the swap agreement to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors). Upfront premiums received (paid) are initially recorded as liabilities (assets) and subsequently marked to market to reflect the current value of the swap. These upfront premiums are recorded as realized gain (loss) on the Statements of Operations upon termination or maturity of the swap. A liquidation payment received or made at the termination of the swap is recorded as realized gain (loss) on the Statements of Operations. Net periodic payments received or paid by a Fund are included as part of realized gain (loss) on the Statements of Operations.
For purposes of a Fund’s investment policy adopted pursuant to Rule 35d-1 under the Act (if any), the Fund will account for derivative instruments at market value. For purposes of applying a Fund’s other investment policies and restrictions, swap agreements, like other derivative instruments, may be valued by a Fund at market value, notional value or full exposure value (i.e., the sum of the notional amount for the contract plus the market value) or any combination of the foregoing (e.g., notional value for purposes of calculating the numerator and market value for purposes of calculating the denominator for compliance with a particular policy or restriction). See Note 6 — Asset Segregation below. In the case of a credit default swap, in applying certain of a Fund’s investment policies and restrictions, the Funds will value the credit default swap at its notional value or its full exposure value (i.e., the sum of the notional amount for the contract plus the market value), but may value the credit default swap at market value for purposes of applying certain of a Fund’s other investment policies and restrictions. For example, a Fund may value credit default swaps at full exposure value for purposes of a Fund’s credit quality guidelines (if any) because such value in general better reflects a Fund’s actual economic exposure during the term of the credit default swap agreement. As a result, a Fund may, at times, have notional exposure to an asset class (before netting) that is greater or lesser than the stated limit or restriction noted in a Fund’s prospectus. In this context, both the notional amount and the market value may be positive or negative depending on whether a Fund is selling or buying protection through the credit default swap. The manner in which certain securities or other instruments are valued by a Fund for purposes of applying investment policies and restrictions may differ from the manner in which those investments are valued by other types of investors.
Entering into swap agreements involves, to varying degrees, elements of interest, credit, market and documentation risk in excess of the amounts recognized on the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of contractual terms in the agreements and that there may be unfavorable changes in interest rates or the values of the asset upon which the swap is based.
A Fund’s maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from the counterparty over the contract’s remaining life, to the extent that amount is positive. The risk may be mitigated by having a master netting arrangement between a Fund and the counterparty and by the posting of collateral to a Fund to cover a Fund’s exposure to the counterparty.
To the extent a Fund has a policy to limit the net amount owed to or to be received from a single counterparty under existing swap agreements, such limitation only applies to counterparties to OTC swaps and does not apply to centrally cleared swaps where the counterparty is a central counterparty or derivatives clearing organization.
Credit Default Swap Agreements on corporate, loan, sovereign, U.S. municipal or U.S. Treasury issues are entered into to provide a measure of protection against defaults of the issuers (i.e., to reduce risk where a Fund owns or has exposure to the referenced obligation) or to take an active long or short position with respect to the likelihood of a particular issuer’s default. Credit default swap agreements involve one party making a stream of payments (referred to as the buyer of protection) to another party (the seller of protection) in exchange for the right to receive a specified return in the event that the referenced entity, obligation or index, as specified in the swap agreement, undergoes a certain credit event. As a seller of protection on credit default swap agreements, a Fund will generally receive from the buyer of protection a fixed rate of income throughout the term of the swap provided that there is no credit event. As the seller, a Fund would effectively add leverage to its portfolio because, in addition to its total net assets, a Fund would be subject to investment exposure on the notional amount of the swap.
If a Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising
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| | | | | | |
| Notes to Financial Statements | | (Cont.) | | | | |
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 the right to receive a specified return in the event that the referenced entity, obligation or index, as specified in the agreement, undergoes a certain credit event. Unlike credit default swaps on corporate, loan, sovereign, U.S. municipal or U.S. Treasury issues, deliverable obligations in most instances would be limited to the specific referenced obligation, or in some cases, specific tranches of the specified reference obligation, as performance for asset-backed securities can vary across deals. Prepayments, principal paydowns, and other writedown or loss events on the underlying mortgage loans will reduce the outstanding principal balance of the referenced obligation. These reductions may be temporary or permanent as defined 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. Credit default swaps on indices are instruments for protecting investors owning bonds against default, and traders use them to speculate on changes in credit quality.
Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate, loan, sovereign, U.S. municipal or U.S. Treasury issues as of period end, if any, are disclosed in the Notes to Schedules of Investments. They serve as an indicator of the current status of payment/performance risk and represent the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. For credit default swap agreements on asset-backed securities and credit indices, the quoted market prices and resulting values serve as the indicator of the current status of the payment/performance risk. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
The maximum potential amount of future payments (undiscounted) that a Fund as a seller of protection could be required to make under a
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| 120 | | PIMCO CLOSED-END FUNDS | | | | |
| | | | | | |
| | | | December 31, 2021 | | (Unaudited) |
credit default swap agreement equals the notional amount of the agreement. Notional amounts of each individual credit default swap agreement outstanding as of period end for which a Fund is the seller of protection are disclosed in the Notes to Schedules of Investments. These potential amounts would be partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swap agreements entered into by a Fund for the same referenced entity or entities.
Interest Rate Swap Agreements may be entered into to help hedge against interest rate risk exposure and to maintain a Fund’s ability to generate income at prevailing market rates. The value of the fixed rate bonds that the Funds hold may decrease if interest rates rise. To help hedge against this risk and to maintain its ability to generate income at prevailing market rates, a Fund may enter into interest rate swap agreements. Interest rate swap agreements involve the exchange by a Fund with another party for their respective commitment to pay or receive interest on the notional amount of principal. Certain forms of interest rate swap agreements may include: (i) interest rate caps, under which, in return for a premium, one party agrees to make payments to the other to the extent that interest rates exceed a specified rate, or “cap”, (ii) interest rate floors, under which, in return for a premium, one party agrees to make payments to the other to the extent that interest rates fall below a specified rate, or “floor”, (iii) interest rate collars, under which a party sells a cap and purchases a floor or vice versa in an attempt to protect itself against interest rate movements exceeding given minimum or maximum levels, (iv) callable interest rate swaps, under which the buyer pays an upfront fee in consideration for the right to early terminate the swap transaction in whole, at zero cost and at a predetermined date and time prior to the maturity date, (v) spreadlocks, which allow the interest rate swap users to lock in the forward differential (or spread) between the interest rate swap rate and a specified benchmark, or (vi) basis swaps, under which two parties can exchange variable interest rates based on different segments of money markets.
Total Return Swap Agreements are entered into to gain or mitigate exposure to the underlying reference asset. Total return swap agreements involve commitments where single or multiple cash flows are exchanged based on the price of an underlying reference asset and on a fixed or variable interest rate. Total return swap agreements may involve commitments to pay interest in exchange for a market-linked return. One counterparty pays out the total return of a specific
underlying reference asset, which may include a single security, a basket of securities, or an index, and in return receives a fixed or variable rate. At the maturity date, a net cash flow is exchanged where the total return is equivalent to the return of the underlying reference asset less a financing rate, if any. As a receiver, a Fund would receive payments based on any net positive total return and would owe payments in the event of a net negative total return. As the payer, a Fund would owe payments on any net positive total return, and would receive payments in the event of a net negative total return. A Fund’s
use of a total return swap exposes the Fund to credit loss in the event of nonperformance by the swap counterparty. Risk may also arise from the unanticipated movements in value of exchange rates, interest rates, securities, or the index.
Asset Segregation Certain transactions described above can be viewed as constituting a form of borrowing or financing transaction by a Fund. In such event, a Fund will cover its obligation under such transactions by segregating or “earmarking” assets in accordance with procedures adopted by the Board, in which case such transactions will not be considered “senior securities” by a Fund. With respect to forwards, futures contracts, options and swaps that are contractually required to cash settle (i.e., where physical delivery of the underlying reference asset is not permitted), a Fund (other than PIMCO Dynamic Income Fund and PIMCO Dynamic Income Opportunities Fund) is permitted to segregate or earmark liquid assets equal to a Fund’s daily marked-to-market net obligation under the derivative instrument, if any, rather than the derivative’s full notional value. For PIMCO Dynamic Income Fund and PIMCO Dynamic Income Opportunities Fund, with respect to forwards and futures contracts and interest rate swaps that are contractually required to cash settle (i.e., where physical delivery of the underlying reference asset is not permitted), the Fund is permitted to segregate or earmark liquid assets equal to the Fund’s daily marked-to-market net obligation under the derivative instrument, if any, rather than the derivative’s full notional value, but may segregate full notional value, as applicable, with respect to certain other derivative instruments (including written credit default swaps and written options) that contractually require or permit physical delivery of securities or other underlying assets. By segregating or earmarking liquid assets equal to only its net marked-to-market obligation under certain derivatives that are required to cash settle, a Fund will have the ability to employ leverage to a greater extent than if a Fund were to segregate or earmark liquid assets equal to the full notional value of the derivative.
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| | | | | | |
| Notes to Financial Statements | | (Cont.) | | | | |
7. PRINCIPAL AND OTHER RISKS
(a) 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 the principal risks the Funds may be subject to, please see the Principal Risks of the Funds section of the Funds’ annual report dated June 30, 2021.
| | | | | | | | | | | | | | |
| | | | | | PCM
Fund,
Inc. (PCM) | | PIMCO
Global
StocksPLUS® &
Income
Fund (PGP) | | PIMCO
Strategic
Income Fund,
Inc. (RCS) | | PIMCO
Dynamic
Income
Fund (PDI) | | PIMCO
Dynamic
Income
Opportunities
Fund (PDO) |
| | | | | | |
Call Risk | | | | | | X | | X | | X | | X | | X |
| | | | | | |
Collateralized Loan Obligations Risk | | | | | | X | | X | | X | | X | | X |
| | | | | | |
Contingent Convertible Securities Risk | | | | | | X | | X | | X | | X | | X |
| | | | | | |
Counterparty Risk | | | | | | X | | X | | X | | X | | X |
| | | | | | |
Credit Default Swaps Risk | | | | | | X | | X | | X | | X | | X |
| | | | | | |
Credit Risk | | | | | | X | | X | | X | | X | | X |
| | | | | | |
Derivatives Risk | | | | | | X | | X | | X | | X | | X |
| | | | | | |
Distribution Risk | | | | | | X | | X | | X | | X | | X |
| | | | | | |
Emerging Markets Risk | | | | | | X | | X | | X | | X | | X |
| | | | | | |
Equity Securities and Related Market Risk | | | | | | X | | X | | X | | X | | X |
| | | | | | |
Foreign (Non-U.S.) Investment Risk | | | | | | X | | X | | X | | X | | X |
| | | | | | |
High Yield Securities Risk | | | | | | X | | X | | X | | X | | X |
| | | | | | |
Inflation/Deflation Risk | | | | | | X | | X | | X | | X | | X |
| | | | | | |
Inflation-Indexed Security Risk | | | | | | X | | X | | X | | X | | X |
| | | | | | |
Interest Rate Risk | | | | | | X | | X | | X | | X | | X |
| | | | | | |
Issuer Risk | | | | | | X | | X | | X | | X | | X |
| | | | | | |
Issuer Non-Diversification Risk | | | | | | — | | — | | — | | — | | X |
| | | | | | |
Leverage Risk | | | | | | X | | X | | X | | X | | X |
| | | | | | |
Liquidity Risk | | | | | | X | | X | | X | | X | | X |
| | | | | | |
Loans and Other Indebtedness; Loan Participations and Assignments Risk | | | | | | X | | X | | — | | X | | X |
| | | | | | |
Management Risk | | | | | | X | | X | | X | | X | | X |
| | | | | | |
Market Risk | | | | | | X | | X | | X | | X | | X |
| | | | | | |
Mortgage-Related and Other Asset-Backed Securities Risk | | | | | | X | | X | | X | | X | | X |
| | | | | | |
New/Small Fund Risk | | | | | | — | | — | | — | | — | | X |
| | | | | | |
Other Investment Companies Risk | | | | | | X | | X | | X | | X | | X |
| | | | | | |
Portfolio Turnover Risk | | | | | | X | | X | | X | | X | | X |
| | | | | | |
Preferred Securities Risk | | | | | | X | | X | | X | | X | | X |
| | | | | | |
Private Placements Risk | | | | | | X | | X | | X | | X | | X |
| | | | | | |
Privately-Issued Mortgage-Related Securities Risk | | | | | | X | | X | | X | | X | | X |
| | | | | | |
Regulatory Risk | | | | | | X | | X | | X | | X | | X |
| | | | | | |
Reinvestment Risk | | | | | | X | | X | | X | | X | | X |
| | | | | | |
Repurchase Agreements Risk | | | | | | X | | X | | X | | X | | X |
| | | | | | |
Restricted Securities Risk | | | | | | X | | X | | X | | X | | X |
| | | | | | |
Segregation and Coverage Risk | | | | | | X | | X | | X | | X | | X |
| | | | | | |
Senior Debt Risk | | | | | | X | | X | | X | | X | | X |
| | | | | | |
Sovereign Debt Risk | | | | | | X | | X | | X | | X | | X |
| | | | | | |
Structured Investments Risk | | | | | | X | | X | | X | | X | | X |
| | | | | | |
Subsidiary Risk | | | | | | — | | — | | — | | X | | X |
| | | | | | |
Tax Risk | | | | | | X | | X | | X | | X | | X |
| | | | | | |
Valuation Risk | | | | | | X | | X | | X | | X | | X |
| | | | | | |
| 122 | | PIMCO CLOSED-END FUNDS | | | | |
| | | | | | |
| | | | December 31, 2021 | | (Unaudited) |
Call Risk is the risk that an issuer may exercise its right to redeem a fixed income security earlier than expected (a call). Issuers may call outstanding securities prior to their maturity for a number of reasons (e.g., declining interest rates, changes in credit spreads and improvements in the issuer’s credit quality). If an issuer calls a security that the Fund has invested in, the Fund may not recoup the full amount of its initial investment and may be forced to reinvest in lower-yielding securities, securities with greater credit risks or securities with other, less favorable features.
Collateral Loan Obligations Risk is the risk of investing in a trust typically collateralized by a pool of loans issued by banks, corporations or any other public or private entity or person, which may include, among others, domestic and foreign senior secured loans, senior unsecured loans and subordinate or mezzanine loans, including loans that may be rated below investment grade or equivalent unrated loans (“Collateralized Loan Obligations Risk”) or (“CLOs”). In addition to the normal risks associated with debt instruments (e.g., interest rate risk and credit risk), CLOs carry additional risks including, but not limited to: (i) the possibility that distributions from the collateral will not be adequate to make interest or other payments; (ii) the risk that the quality of the collateral may decline in value or default; (iii) the risk that the Fund may invest in CBOs, CLOs or other 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 others and may produce unexpected investment results.
Contingent Convertible Securities Risk is the risk of investing in contingent convertible securities, which includes the risk that interest payments will be cancelled by the issuer or a regulatory authority, the risk of ranking junior to other creditors in the event of a liquidation or other bankruptcy-related event as a result of holding subordinated debt, the risk of the Fund’s investment becoming further subordinated as a result of conversion from debt to equity, the risk that the principal amount due can be written down to a lesser amount, and the general risks applicable to fixed income investments, including interest rate risk, credit risk, market risk and liquidity risk, any of which could result in losses to the Fund.
Counterparty Risk is the risk that the Fund will be subject to credit risk with respect to the counterparties to the derivative contracts and other instruments entered into by the Fund or held by special purpose or structured vehicles in which the Fund invests. If a counterparty becomes bankrupt or otherwise fails to perform its obligations under a derivative contract due to financial difficulties, the Fund may experience significant delays in obtaining any recovery (including recovery of any collateral it has provided to the counterparty) in a dissolution, assignment for the benefit of creditors, liquidation, winding-up, bankruptcy, or other analogous proceeding.
Credit Default Swaps Risk is the risk of investing in credit default swaps, including illiquidity risk, counterparty risk, leverage risk and credit risk. A buyer generally also will lose its investment and recover nothing should no credit event occur and the swap is held to its termination date. When the Fund acts as a seller of a credit default swap, it is exposed to many of the same risks of leverage described herein since if an event of default occurs, the seller must pay the buyer the full notional value of the reference obligation. In addition, selling credit default swaps may not be profitable for the Fund if no secondary market exists or the Fund is otherwise unable to close out these transactions at advantageous times.
Credit Risk is the risk that the Fund could lose money if the issuer or guarantor of a fixed-income security, or the counterparty to a derivatives contract, repurchase agreement or a loan of portfolio securities, is unable or unwilling, or is perceived (whether by market participants, rating agencies, pricing services or otherwise) as unable or unwilling, to meet its financial obligations. Measures such as average credit quality may not accurately reflect the true credit risk of the Fund. This is especially the case if the Fund consists of securities with widely varying credit ratings.
Derivatives Risk is the risk of investing in derivative instruments (such as futures, swaps and structured securities), including leverage, liquidity, interest rate, market, credit and management risks and valuation complexity. Changes in the value of a derivative may not correlate perfectly with, and may be more sensitive to market events than, the underlying asset, rate or index, and the Fund could lose more than the initial amount invested. The Fund’s use of derivatives may result in losses to the Fund, a reduction in the Fund’s returns and/or increased volatility. Over-the-counter (“OTC”) derivatives are also subject to the risk that a counterparty to the transaction will not fulfill its contractual obligations to the other party, as many of the protections afforded to centrally-cleared derivative transactions might not be available for OTC derivatives. The primary credit risk on derivatives that are exchange-traded or traded through a central clearing counterparty resides with the Fund’s clearing broker, or the clearinghouse itself.
Distribution Risk is the risk that, to the extent the Fund seeks to maintain a level distribution rate, the Fund’s distribution rate may be affected by numerous factors, including but not limited to changes in realized and projected market returns, fluctuations in market interest rates, Fund performance, and other factors. For instance, during periods of low or declining interest rates, the Fund’s distributable income and dividend levels may decline for many reasons. There can be no assurance that a change in market conditions or other factors will not result in a change in the Fund’s distribution rate or that the rate will be sustainable in the future.
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| | | | | | |
| Notes to Financial Statements | | (Cont.) | | | | |
Emerging Markets Risk is the risk of investing in emerging market securities, primarily increased foreign (non-U.S.) investment risk.
Equity Securities and Related Market Risk is the risk that the value of equity securities, such as common stocks and preferred securities, may decline due to general market conditions which are not specifically related to a particular company or to factors affecting a particular industry or industries. Equity securities generally have greater price volatility than fixed income securities.
Foreign (Non-U.S.) Investment Risk is the risk that investing in foreign (non-U.S.) securities may result in the Fund experiencing more rapid and extreme changes in value than a fund that invests exclusively in securities of U.S. companies. due to smaller markets, differing reporting, accounting and auditing standards, increased risk of delayed settlement of portfolio transactions or loss of certificates of portfolio securities, and the risk of unfavorable foreign government actions, including nationalization, expropriation or confiscatory taxation, currency blockage, or political changes or diplomatic developments. Foreign securities may also be less liquid and more difficult to value than securities of U.S. issuers.
High Yield Securities Risk is the risk that high yield securities and unrated securities of similar credit quality (commonly known as “junk bonds”) are subject to greater levels of credit, call and liquidity risks. High yield securities are considered primarily speculative with respect to the issuer’s continuing ability to make principal and interest payments and may be more volatile than higher-rated securities of similar maturity.
Inflation/Deflation Risk is the risk that the value of assets or income from the Fund’s investments will be worth less in the future as inflation decreases the value of payments at future dates. As inflation increases, the real value of the Fund’s portfolio could decline. Deflation Risk is the risk that prices throughout the economy decline over time. Deflation may have an adverse effect on the creditworthiness of issuers and may make issuer default more likely, which may result in a decline in the value of the Fund’s portfolio and common shares.
Inflation-Indexed Security Risk is the risk that inflation-indexed debt securities are subject to the effects of changes in market interest rates caused by factors other than inflation (real interest rates). In general, the value of an inflation-indexed security, including TIPS, tends to decrease when real interest rates increase and can increase when real interest rates decrease. Interest payments on inflation-indexed securities are unpredictable and will fluctuate as the principal and interest are adjusted for inflation. There can be no assurance that the inflation index used will accurately measure the real rate of inflation in the prices of goods and services. Any increase in the principal amount of an inflation-indexed debt security will be considered taxable ordinary income, even though the Fund will not receive the principal until maturity.
Interest Rate Risk is the risk that fixed income securities and other instruments in the Fund’s portfolio will decline in value because of an increase in interest rates; a fund with a longer average portfolio duration will be more sensitive to changes in interest rates than a fund with a short average portfolio duration.
Issuer Risk is the risk that the value of a security may decline for a reason directly related to the issuer, such as management performance, financial leverage and reduced demand for the issuer’s goods or services.
Issuer Non-Diversification Risk is the risk of focusing investments in a small number of issuers, including being more susceptible to risks associated with a single economic, political or regulatory occurrence than a more diversified portfolio might be. Funds that are “non-diversified” may invest a greater percentage of their assets in the securities of a single issuer (such as bonds issued by a particular state) than funds that are “diversified.”
Leverage Risk is the risk that certain transactions of the Fund, such as reverse repurchase agreements, dollar rolls and/or borrowings (as well as from any future issuance of preferred shares), delayed delivery or forward commitment transactions, or derivative instruments, may give rise to leverage, magnifying gains and losses and causing the Fund to be more volatile than if it had not been leveraged. This means that leverage entails a heightened risk of loss.
Liquidity Risk is the risk that a particular investment may be difficult to purchase or sell and that the Fund may be unable to sell illiquid investments at an advantageous time or price or possibly require the Fund to dispose of other investments at unfavorable times or prices in order to satisfy its obligations, which could prevent the Fund from taking advantage of other investment opportunities. Additionally, the market for certain investments may become illiquid under adverse market or economic conditions independent of any specific adverse changes in the conditions of a particular issuer.
Loans and Other Indebtedness; Loan Participations and Assignments Risk is the risk that scheduled interest or principal payments will not be made in a timely manner or at all, either of which may adversely affect the values of a loan. Additionally, there is a risk that the collateral underlying a loan may be unavailable or insufficient to satisfy a borrower’s obligation, and the Fund could become part owner of any collateral if a loan is foreclosed, subjecting the Fund to costs associated with owning and disposing of the collateral.
In the event of the insolvency of the lender selling a participation, there is a risk that the Fund may be treated as a general creditor of the lender and may not benefit from any set-off between the lender and the borrower.
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There is the risk that the Fund may have difficulty disposing of loans and loan participations due to the lack of a liquid secondary market for loans and loan participations.
To the extent the Fund acquires loans, including bank loans, the Fund may be subject to greater levels of credit risk, call risk, settlement risk and liquidity risk than funds that do not acquire such instruments.
Management Risk is the risk that the investment techniques and risk analyses applied by PIMCO will not produce the desired results and that actual or potential conflicts of interest, legislative, regulatory, or tax restrictions, policies or developments may affect the investment techniques available to PIMCO and the individual portfolio manager in connection with managing the Fund and may cause PIMCO to restrict or prohibit participation in certain investments. There is no guarantee that the investment objective of the Fund will be achieved.
Market Risk is the risk that the value of securities owned by the Fund may go up or down, sometimes rapidly or unpredictably, due to factors affecting securities markets generally or particular industries.
Mortgage-Related and Other Asset-Backed Securities Risk is the risk of investing in mortgage-related and other asset-backed securities, including interest rate risk, extension risk, prepayment risk and credit risk.
New/Small Fund Risk is the risk that a new or smaller fund’s performance may not represent how a Fund is expected to or may perform in the long term. In addition, new funds have limited operating histories for investors to evaluate and new and smaller funds may not attract sufficient assets to achieve investment and trading efficiencies.
Other Investment Companies Risk is the risk that Common Shareholders may be subject to duplicative expenses to the extent the Fund invests in other investment companies. In addition, these other investment companies may utilize leverage, in which case an investment would subject the Fund to additional risks associated with leverage.
Portfolio Turnover Risk is the risk that a high portfolio turnover will result in greater expenses to the Fund, including brokerage commissions or dealer mark-ups and other transaction costs on the sale of securities and reinvestments in other securities. Such sales may result in realization of taxable capital gains (including short-term capital gains, which are generally taxed to shareholders at ordinary income tax rates when distributed net of short-term capital losses and net long-term capital losses) and may adversely affect the Fund’s after-tax returns.
Preferred Securities Risk is the risk that certain preferred securities contain provisions that allow an issuer under certain conditions to skip
or defer distributions which may require the Fund to include the amount of the deferred distribution in its taxable income for tax purposes although it does not currently receive such amount in cash. Additionally, preferred securities are subordinated to bonds and other debt securities in an issuer’s capital structure in terms of priority for corporate income and liquidation payments, and therefore will be subject to greater credit risk than those debt securities. Preferred securities may trade less frequently and in a more limited volume and may be subject to more abrupt or erratic price movements than many other securities, such as common stocks, corporate debt securities and U.S. Government securities.
Private Placements Risk is the risk that securities received in a private placement may be subject to strict restrictions on resale, and there may be no liquid secondary market or ready purchaser for such securities. Therefore, the Fund may be unable to dispose of such securities when it desires to do so, or at the most favorable time or price. Private placements may also raise valuation risks.
Privately-Issued Mortgage-Related Securities Risk is the risk of nonpayment because there are no direct or indirect government or agency guarantees of payments in the pools created by non-governmental issuers.
Reinvestment Risk is the risk that income from the Fund’s portfolio will decline if and when the Fund invests the proceeds from matured, traded or called debt obligations at market interest rates that are below the portfolio’s current earnings rate. The Fund also may choose to sell higher yielding portfolio securities and to purchase lower yielding securities to achieve greater portfolio diversification, because the portfolio managers believe the current holdings are overvalued or for other investment-related reasons.
Repurchase Agreements Risk is the risk that, if the party agreeing to repurchase a security should default, the Fund will seek to sell the securities which it holds, which could involve procedural costs or delays in addition to a loss on the securities if their value should fall below their repurchase price.
Restricted Securities Risk is the risk that the Fund’s investment in securities that have not been registered for public sale, but that are eligible for purchase and sale pursuant to Rule 144A under the Securities Act, may be relatively less liquid than registered securities traded on established securities markets.
Segregation and Coverage Risk is the risk that certain portfolio management techniques may be considered senior securities unless steps are taken to segregate the Fund’s assets or otherwise cover its obligations. To avoid having these instruments considered senior securities, the Fund may segregate liquid assets with a value equal (on
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a daily mark-to-market basis) to its obligations under these types of leveraged transactions, enter into offsetting transactions or otherwise cover such transactions. The Fund may be unable to use such segregated assets for certain other purposes, which could result in the Fund earning a lower return on its portfolio than it might otherwise earn if it did not have to segregate those assets in respect of, or otherwise cover, such portfolio positions. To the extent the Fund’s assets are segregated or committed as cover, it could limit the Fund’s investment flexibility.
Senior Debt Risk is the risk that the Fund may be subject to greater levels of credit risk than funds that do not invest in below investment grade senior debt. The Fund may also be subject to greater levels of liquidity risk than funds that do not invest in senior debt. Restrictions on transfers in loan agreements, a lack of publicly available information and other factors may, in certain instances, make senior debt more difficult to sell at an advantageous time or price than other types of securities or instruments.
Sovereign Debt Risk is the risk that investments in fixed income instruments issued by sovereign entities may decline in value as a result of default or other adverse credit event resulting from an issuer’s inability or unwillingness to make principal or interest payments in a timely fashion.
Structured Investments Risk is the risk that the Fund’s investment in structured products, including, structured notes, credit-linked notes and other types of structured products bear the risks of the underlying investments, index or reference obligation and are subject to counterparty risk. The Fund may have the right to receive payments only from the structured product, and generally does not have direct rights against the issuer or the entity that sold the assets to be securitized. Structured products generally entail risks associated with derivative instruments.
Subsidiary Risk is the risk that, by investing in a Fund’s Subsidiary, the Fund would be exposed to the risks associated with the Subsidiaries’ investments. The Subsidiaries are not registered under the Act and may not be subject to all the investor protections of the Act. There is no guarantee that the investment objective of a subsidiary will be achieved.
Tax Risk is the risk that if, in any year, the Fund were to fail to qualify for treatment as a regulated investment company under the Tax Code, and were ineligible to or did not otherwise cure such failure, the Fund would be subject to tax on its taxable income at corporate rates and, when such income is distributed, shareholders would be subject to a further tax to the extent of the Fund’s current or accumulated earnings and profits.
Valuation Risk is the risk that fair value pricing used when market quotations are not readily available may not result in adjustments to the prices of securities or other assets, or that fair value pricing may not reflect actual market value. It is possible that the fair value determined in good faith for a security or other asset will be materially different from quoted or published prices, from the prices used by others for the same security or other asset and/or from the value that actually could be or is realized upon the sale of that security or other asset.
(b) Other Risks
In general, a Fund may be subject to additional risks, including, but not limited to, risks related to government regulation and intervention in financial markets, operational risks, risks associated with financial, economic and global market disruptions, and cybersecurity risks. Please see the Principal Risks of the Funds section of the Funds’ annual report dated June 30, 2021 for a more comprehensive list of the principal risks the Funds may be subject to. Please see the Important Information section of this report for additional discussion of certain regulatory and market developments (such as the anticipated discontinuation of LIBOR) that may impact a Fund’s performance.
Market Disruption Risk A Fund is subject to investment and operational risks associated with financial, economic and other global market developments and disruptions, including those arising from war, terrorism, market manipulation, government interventions, defaults and shutdowns, political changes or diplomatic developments, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics) and natural/environmental disasters, which can all negatively impact the securities markets, and cause a Fund to lose value. These events can also impair the technology and other operational systems upon which a Fund’s service providers, including PIMCO as a Fund’s investment adviser, rely, and could otherwise disrupt a Fund’s service providers’ ability to fulfill their obligations to a Fund. For example, the recent spread of an infectious respiratory illness caused by a novel strain of coronavirus (known as COVID-19) has caused volatility, severe market dislocations and liquidity constraints in many markets, including markets for the securities a Fund holds, and may adversely affect a Fund’s investments and operations. Please see the Important Information section for additional discussion of the COVID-19 pandemic.
Regulatory Risk Financial entities, such as investment companies and investment advisers, are generally subject to extensive government regulation and intervention. Government regulation and/or intervention may change the way a Fund is regulated, affect the expenses incurred directly by a Fund and the value of its investments, and limit and/or preclude a Fund’s ability to achieve its investment objective. Government regulation may change frequently and may have significant adverse consequences. Moreover, government regulation may have unpredictable and unintended effects.
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Operational Risk An investment in a Fund, like any fund, can involve operational risks arising from factors such as processing errors, human errors, inadequate or failed internal or external processes, failures in systems and technology, changes in personnel and errors caused by third-party service providers. The occurrence of any of these failures, errors or breaches could result in a loss of information, regulatory scrutiny, reputational damage or other events, any of which could have a material adverse effect on a Fund. While a Fund seeks to minimize such events through controls and oversight, there may still be failures that could cause losses to the Fund.
Cyber Security Risk As the use of technology has become more prevalent in the course of business, the Funds have become potentially more susceptible to operational and information security risks resulting from breaches in cyber security. A breach in cyber security refers to both intentional and unintentional cyber events that may, among other things, cause a Fund to lose proprietary information, suffer data corruption and/or destruction or lose operational capacity, result in the unauthorized release or other misuse of confidential information, or otherwise disrupt normal business operations. Cyber security failures or breaches may result in financial losses to a Fund and its shareholders. These failures or breaches may also result in disruptions to business operations, potentially resulting in financial losses; interference with a Fund’s ability to calculate its net asset value, process shareholder transactions or otherwise transact business with shareholders; impediments to trading; violations of applicable privacy and other laws; regulatory fines; penalties; reputational damage; reimbursement or other compensation costs; additional compliance and cyber security risk management costs and other adverse consequences. In addition, substantial costs may be incurred in order to prevent any cyber incidents in the future.
8. MASTER NETTING ARRANGEMENTS
A Fund may be subject to various netting arrangements (“Master Agreements”) with select counterparties. Master Agreements govern the terms of certain transactions, and are intended to reduce the counterparty risk associated with relevant transactions by specifying credit protection mechanisms and providing standardization that is intended to improve legal certainty. Each type of Master Agreement governs certain types of transactions. Different types of transactions may be traded out of different legal entities or affiliates of a particular organization, resulting in the need for multiple agreements with a single counterparty. As the Master Agreements are specific to unique operations of different asset types, they allow a Fund to close out and net its total exposure to a counterparty in the event of a default with respect to all the transactions governed under a single Master Agreement with a counterparty. For financial reporting purposes the Statements of Assets and Liabilities generally present derivative assets
and liabilities on a gross basis, which reflects the full risks and exposures prior to netting.
Master Agreements can also help limit counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under most Master Agreements, collateral is routinely transferred if the total net exposure to certain transactions (net of existing collateral already in place) governed under the relevant Master Agreement with a counterparty in a given account exceeds a specified threshold, which typically ranges from zero to $250,000 depending on the counterparty and the type of Master Agreement. United States Treasury Bills and U.S. dollar cash are generally the preferred forms of collateral, although other securities may be used depending on the terms outlined in the applicable Master Agreement. Securities and cash pledged as collateral are reflected as assets on the Statements of Assets and Liabilities as either a component of Investments at value (securities) or Deposits with counterparty. Cash collateral received is not typically held in a segregated account and as such is reflected as a liability on the Statements of Assets and Liabilities as Deposits from counterparty. The market value of any securities received as collateral is not reflected as a component of NAV. A Fund’s overall exposure to counterparty risk can change substantially within a short period, as it is affected by each transaction subject to the relevant Master Agreement.
Master Repurchase Agreements and Global Master Repurchase Agreements (individually and collectively “Master Repo Agreements”) govern repurchase, reverse repurchase, and certain sale-buyback transactions between a Fund and select counterparties. Master Repo Agreements maintain provisions for, among other things, initiation, income payments, events of default, and maintenance of collateral. The market value of transactions under the Master Repo Agreement, collateral pledged or received, and the net exposure by counterparty as of period end are disclosed in the Notes to Schedules of Investments.
Master Securities Forward Transaction Agreements (“Master Forward Agreements”) govern certain forward settling transactions, such as TBA securities, delayed-delivery or certain sale-buyback transactions by and between a Fund and select counterparties. The Master Forward Agreements maintain provisions for, among other things, transaction initiation and confirmation, payment and transfer, events of default, termination, and maintenance of collateral. The market value of forward settling transactions, collateral pledged or received, and the net exposure by counterparty as of period end is disclosed in the Notes to Schedules of Investments.
Customer Account Agreements and related addenda govern cleared derivatives transactions such as futures, options on futures, and cleared OTC derivatives. Such transactions require posting of initial margin as determined by each relevant clearing agency which is segregated in an
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account at a futures commission merchant (“FCM”) registered with the CFTC. In the United States, counterparty risk may be reduced as creditors of an FCM cannot have a claim to Fund assets in the segregated account. Portability of exposure reduces risk to the Funds. Variation margin, which reflects changes in market value, is generally exchanged daily, but may not be netted between futures and cleared OTC derivatives unless the parties have agreed to a separate arrangement in respect of portfolio margining. The market value or accumulated unrealized appreciation (depreciation), initial margin posted, and any unsettled variation margin as of period end are disclosed in the Notes to Schedules of Investments.
Prime Broker Arrangements may be entered into to facilitate execution and/or clearing of listed equity option transactions or short sales of equity securities between a Fund and selected counterparties. The arrangements provide guidelines surrounding the rights, obligations, and other events, including, but not limited to, margin, execution, and settlement. These agreements maintain provisions for, among other things, payments, maintenance of collateral, events of default, and termination. Margin and other assets delivered as collateral are typically in the possession of the prime broker and would offset any obligations due to the prime broker. The market values of listed options and securities sold short and related collateral are disclosed in the Notes to Schedules of Investments.
International Swaps and Derivatives Association, Inc. Master Agreements and Credit Support Annexes (“ISDA Master Agreements”) govern bilateral OTC derivative transactions entered into by a Fund with select counterparties. ISDA Master Agreements maintain provisions for general obligations, representations, agreements, collateral posting and events of default or termination. Events of termination include conditions that may entitle counterparties to elect to terminate early and cause settlement of all outstanding transactions under the applicable ISDA Master Agreement. Any election to terminate early could be material to the financial statements. The ISDA Master Agreement may contain additional provisions that add counterparty protection beyond coverage of existing daily exposure if the counterparty has a decline in credit quality below a predefined level or as required by regulation. Similarly, if required by regulation, the Funds may be required to post additional collateral beyond coverage of daily exposure. These amounts, if any, may (or if required by law, will) be segregated with a third-party custodian. To the extent the Funds are required by regulation to post additional collateral beyond coverage of daily exposure, they could potentially incur costs, including in procuring eligible assets to meet collateral requirements, associated with such posting. The market value of OTC financial derivative instruments, collateral received or pledged, and net exposure by counterparty as of period end are disclosed in the Notes to Schedules of Investments.
9. FEES AND EXPENSES
(a) Management Fee Pursuant to the Investment Management Agreements with PIMCO (the “Agreement”), and subject to the supervision of the Board, PIMCO is responsible for providing to each Fund investment guidance and policy direction in connection with the management of the Fund, including oral and written research, analysis, advice, and statistical and economic data and information. In addition, pursuant to the Agreement and subject to the general supervision of the Board, PIMCO, at its expense, provides or causes to be furnished most other supervisory and administrative services the Funds require, including but not limited to, expenses of most third-party service providers (e.g., audit, custodial, legal, transfer agency, printing) and other expenses, such as those associated with insurance, proxy solicitations and mailings for shareholder meetings, NYSE listing and related fees, tax services, valuation services and other services the Funds require for their daily operations. Pursuant to the Agreements, 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 Strategic Income Fund, Inc. | | | | | | | 0.955% | (3) |
| | |
PIMCO Dynamic Income Fund | | | | | | | 1.100% | (4)(5) |
| | |
PIMCO Dynamic Income Opportunities 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 the 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 the 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). |
| (5) | Effective December 13, 2021, the annual management fee was reduced from 1.15% to 1.10%. |
(b) Fund Expenses With respect to each Fund other than PIMCO Dynamic Income Opportunities Fund, 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
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transaction expenses incurred by or for the Fund (including, without limitation, fees and expenses of outside legal counsel or third-party consultants retained in connection with reviewing, negotiating and structuring specialized loans and other investments made by the Fund, subject to specific or general authorization by the Fund’s Board (for example, so-called “broken-deal costs” (e.g., fees, costs, expenses and liabilities, including, for example, due diligence-related fees, costs, expenses and liabilities, with respect to unconsummated investments))); (iv) expenses of the Fund’s securities lending (if any), including any securities lending agent fees, as governed by a separate securities lending agreement; (v) costs, including interest expenses, of borrowing money or engaging in other types of leverage financing, including, without limitation, through the use by the Fund of reverse repurchase agreements, 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 vehicles in which the Fund invests; (viii) dividend and interest expenses on short positions taken by the Fund; (ix) fees and expenses, including travel expenses, and fees and expenses of legal counsel retained for their benefit, of Trustees who are not officers, employees, partners, shareholders or members of PIMCO or its subsidiaries or affiliates; (x) extraordinary expenses, including extraordinary legal expenses, that may arise, including expenses incurred in connection with litigation, proceedings, other claims, and the legal obligations of the Fund to indemnify its Trustees, officers, employees, shareholders, distributors, and agents with respect thereto; (xi) organizational and offering expenses of the Fund, including with respect to share offerings, such as rights offerings and shelf offerings, following the Fund’s initial offering, and expenses associated with tender offers and other share repurchases and redemptions; and (xii) expenses of the Fund which are capitalized in accordance with U.S. GAAP.
With respect to PIMCO Dynamic Income Opportunities Fund, the Fund bears other expenses, which may vary and affect the total level of expenses paid by shareholders, such as (i) salaries and other compensation or expenses, including travel expenses, of any of the Fund’s executive officers and employees, if any, who are not officers, directors, shareholders, members, partners or employees of PIMCO or its subsidiaries or affiliates; (ii) taxes and governmental fees, if any, levied against the Fund; (iii) brokerage fees and commissions, and
other portfolio transaction expenses incurred by or for the Fund (including, without limitation, fees and expenses of outside legal counsel or third-party consultants retained in connection with reviewing, negotiating and structuring specialized loans and other investments made by the Fund, and any costs associated with originating loans, asset securitizations, alternative lending-related strategies and so-called “broken-deal costs” (e.g., fees, costs, expenses and liabilities, including, for example, due diligence-related fees, costs, expenses and liabilities, with respect to unconsummated investments)); (iv) expenses of the Fund’s securities lending (if any), including any securities lending agent fees, as governed by a separate securities lending agreement; (v) costs, including interest expenses, of borrowing money or engaging in other types of leverage financing including, without limitation, through the use by the Fund of reverse repurchase agreements, dollar rolls, 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 instruments (such as the use of reverse repurchase agreements, dollar rolls, bank borrowings, credit facilities and tender option bonds) for the purpose of incurring leverage; (vii) fees and expenses of any underlying funds or other pooled vehicles in which the Fund invests; (viii) dividend and interest expenses on short positions taken by the Fund; (ix) fees and expenses, including travel expenses, and fees and expenses of legal counsel retained for their benefit, of Trustees who are not officers, employees, partners, shareholders or members of PIMCO or its subsidiaries or affiliates; (x) extraordinary expenses, including extraordinary legal expenses, as may arise, including, without limitation, expenses incurred in connection with litigation, proceedings, other claims, and the legal obligations of the Fund to indemnify its trustees, officers, employees, shareholders, distributors, and agents with respect thereto; (xi) fees and expenses, including legal, printing and mailing, solicitation and other fees and expenses associated with, and incident to, shareholder meetings and proxy solicitations involving contested elections of trustees, shareholder proposals or other non-routine matters that are not initiated or proposed by Fund management; (xii) organizational and offering expenses of the Fund, including registration (including registration fees), legal, marketing, printing, accounting and other expenses, associated with organizing the Fund in its state of jurisdiction and in connection with the initial registration of the Fund under the Act, and the rules and regulations thereunder, and the initial registration of its Shares under the Securities Act of 1933, as amended, and with respect
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to Share offerings, such as rights offerings and shelf offerings, following the Fund’s initial offering, expenses associated with tender offers and other repurchases and redemptions, and fees and expenses associated with seeking, applying for and obtaining formal exemptive, no-action and/or other relief from the SEC in connection with the operation of a managed distribution plan; and (xiii) 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 Emerging Markets Income Fund, PIMCO Flexible Credit Income Fund and PIMCO Flexible Municipal Income Fund, each a closed end management investment company managed by PIMCO that is operated as an “interval fund” (the ”PIMCO Interval Funds”), and PIMCO Managed Accounts Trust, an open-end management investment company with multiple series for which PIMCO serves as investment adviser and administrator (“PMAT” and, together with the PIMCO Closed-End Funds and the PIMCO Interval Funds, the “PIMCO-Managed Funds”). In addition, during the reporting period, each of the Independent Trustees (other than Mr. Kittredge and Ms. Vandecruze) also served as a trustee of certain funds for which Allianz Global Investors U.S. LLC (“AllianzGI”), an affiliate of PIMCO, served as investment manager. Effective February 1, 2021 (and February 26, 2021 with respect to Virtus AllianzGI Artificial Intelligence & Technology Opportunities Fund), Virtus Investment Advisers, Inc. became the primary investment adviser to all of those funds (the “Former Allianz-Managed Funds”), and therefore they are no longer included within the same fund complex as the PIMCO-Managed Funds. AllianzGI has been appointed to serve as sub-adviser to most of the remaining Former Allianz-Managed Funds.
The Funds pay no compensation directly to any Trustee or any other officer who is affiliated with the Manager, all of whom receive remuneration for their services to the Funds from the Manager or its affiliates.
10. RELATED PARTY TRANSACTIONS
The Manager is a related party. Fees payable to this party are disclosed in Note 9, Fees and Expenses, and the accrued related party fee amounts are disclosed on the Statements of Assets and Liabilities.
Certain Funds are permitted to purchase or sell securities from or to certain related affiliated funds under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of securities by the Funds from or to another fund or portfolio that are, or could be, considered an affiliate, or an affiliate of an affiliate, by virtue of having a common
investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule 17a-7 under the Act. Further, as defined under the procedures, each transaction is effected at the current market price. Purchases and sales of securities pursuant
to Rule 17a-7 under the Act for the period ended December 31, 2021, were as follows (amounts in thousands†):
| | | | | | | | | | | | |
| Fund Name | | | | | Purchases | | | Sales | |
| | | |
PCM Fund, Inc. | | | | | | $ | 2,040 | | | $ | 15,609 | |
| | | |
PIMCO Global StocksPLUS® & Income Fund | | | | | | | 2,029 | | | | 15,965 | |
| | | |
PIMCO Strategic Income Fund, Inc. | | | | | | | 16,394 | | | | 41,279 | |
| | | |
PIMCO Dynamic Income Fund | | | | | | | 30,118 | | | | 225,458 | |
| | | |
PIMCO Dynamic Income Opportunities Fund | | | | | | | 9,144 | | | | 451,889 | |
| † | A zero balance may reflect actual amounts rounding to less than one thousand. |
11. GUARANTEES AND INDEMNIFICATIONS
Under the organizational documents of PIMCO Global StocksPLUS® & Income Fund, PIMCO Dynamic Income Fund and PIMCO Dynamic Income Opportunities 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 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.
12. PURCHASES AND SALES OF SECURITIES
The length of time a Fund has held a particular security is not generally a consideration in investment decisions. A change in the securities held by a Fund is known as “portfolio turnover.” Each Fund may engage in frequent and active trading of portfolio securities to achieve its investment objective, particularly during periods of volatile market movements. High portfolio turnover may involve correspondingly greater transaction costs, including brokerage commissions or dealer mark-ups and other transaction costs on the sale of securities and reinvestments in other securities, which are borne by the Fund. Such sales may also result in realization of taxable capital gains, including short-term capital gains (which are generally taxed at ordinary income tax rates when distributed to shareholders). The transaction costs associated with portfolio turnover may adversely affect a Fund’s performance. The portfolio turnover rates are reported in the Financial Highlights.
| | | | | | |
| 130 | | PIMCO CLOSED-END FUNDS | | | | |
| | | | | | |
| | | | December 31, 2021 | | (Unaudited) |
Purchases and sales of securities (excluding short-term investments) for the period ended December 31, 2021, were as follows (amounts in thousands†):
| | | | | | | | | | | | | | | | | | | | |
| | | | U.S. Government/Agency | | | All Other | |
| | | | |
| Fund Name | | | Purchases | | | Sales | | | Purchases | | | Sales | |
| | | | | |
PCM Fund, Inc. | | | | | | $ | 26,888 | | | $ | 25,327 | | | $ | 75,716 | | | $ | 67,229 | |
| | | | | |
PIMCO Global StocksPLUS® & Income Fund | | | | | | | 383,460 | | | | 379,569 | | | | 77,850 | | | | 66,741 | |
| | | | | |
PIMCO Strategic Income Fund, Inc. | | | | | | | 2,519,002 | | | | 2,375,418 | | | | 133,898 | | | | 134,169 | |
| | | | | |
PIMCO Dynamic Income Fund | | | | | | | 16,392 | | | | 8,819 | | | | 1,394,064 | | | | 802,829 | |
| | | | | |
PIMCO Dynamic Income Opportunities Fund | | | | | | | 418,121 | | | | 313,215 | | | | 1,020,733 | | | | 1,208,565 | |
| † | A zero balance may reflect actual amounts rounding to less than one thousand. |
13. COMMON SHARES OFFERING
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. Each of PIMCO Global StocksPLUS® & Income Fund, PIMCO Dynamic Income Fund (“PDI”) and PIMCO Dynamic Income Opportunities Fund (“PDO”) has been authorized to issue an unlimited number of Common Shares at a par value of $0.00001 per share (each of the foregoing Fund’s shares as the context requires, “Common Shares”).
As of the end of the reporting period, PDI had an effective registration statement on file with the SEC authorizing the Fund to issue shares through the “shelf” registration process pursuant to Rule 415 under the Securities Act (each, a “Shelf Registration Statement”). Pursuant to such Shelf Registration Statements, PDI may offer and sell Common Shares having an aggregate offering value of up to $600,000,000. PDI may have had one or more prior Shelf Registration Statements in effect during this and/or previous fiscal periods authorizing the sale of additional Common Shares.
PDI has entered into a sales agreement (a “Sales Agreement”) with JonesTrading Institutional Services LLC (“JonesTrading”), pursuant to the Fund may offer and sell its Common Shares offered by an applicable prospectus supplement through JonesTrading as its agent in negotiated transactions or transactions that are deemed to be “at the market” as defined in Rule 415 under the Securities Act, including sales made directly on the NYSE or sales made to or through a market maker other than on an exchange, at prices related to the prevailing market prices or at negotiated prices. The Fund will pay JonesTrading compensation of up to 1.00% of the gross proceeds with respect to sales of the Common Shares actually effected by JonesTrading under the Sales Agreement.
The aggregate dollar amount of Common Shares registered under PDI’s Shelf Registration Statement as of the end of the periods described
below, as well as the number of Common Shares sold and the total amount of offering proceeds (net of offering costs, if any) received by each Fund under one or more Shelf Registration Statements during the Fund’s most recent and prior fiscal periods were as follows:
| | | | | | | | | | | | |
| | | | | | PDI | |
| | | |
| | | | | | Six Months Ended
12/31/2021 | | | Year Ended
06/30/2021 | |
| | | |
Common Shares registered (aggregate $) | | | | | | $ | 600,000,000 | | | $ | 600,000,000 | |
| | | |
Common Shares sold | | | | | | | 2,374,368 | | | | 8,847,510 | |
| | | |
Common Shares sold in Reorganization | | | | | | | 147,078,553 | | | | 0 | |
| | | |
Offering proceeds (net of offering costs) | | | | | | | 63,933,875 | | | | 226,915,535 | |
| | | |
Offering proceeds (net of offering costs) in Reorganization | | | | | | | 3,562,154,298 | | | | 0 | |
A Fund may not sell any Common Shares at a price below the NAV of such Common Shares, exclusive of any distributing commission or discount. Sales of the Common Shares, if any, may be made in negotiated transactions or transactions that are deemed to be “at the market”, including sales made directly on the NYSE or sales made to or through a market maker other than on an exchange, at prices related to the prevailing market prices or at negotiated prices.
14. BASIS FOR CONSOLIDATION
PCILS I LLC, PDILS I LLC, PDOLS I LLC, CLM 4365 LLC and RLM 4365 LLC (each a “Subsidiary” and, collectively, the “Subsidiaries”), each a Delaware LLC exempted company, were formed as wholly owned subsidiaries acting as investment vehicles for PIMCO Dynamic Income Fund and PIMCO Dynamic Income Opportunities Fund (for purposes of this section, each a “Fund” and, collectively, the “Funds”), as applicable, in order to effect certain investments consistent with each Fund’s objectives and policies in effect from time to time. PIMCO Dynamic Income Fund’s and PIMCO Dynamic Income Opportunities 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
| | | | | | | | | | | | |
| | | | SEMIANNUAL REPORT | | | | | | | DECEMBER 31, 2021 | | | 131 |
| | | | | | |
| Notes to Financial Statements | | (Cont.) | | | | |
transactions and balances have been eliminated. This structure was established so that certain loans could be held by a separate legal entity from the Funds. See the table below for details regarding the structure, incorporation and relationship as of period end of the Subsidiaries.
| | | | | | | | | | | | |
| Subsidiary | | | | | Date of
Formation | | | Subsidiary %
of Consolidated
Fund Net Assets | |
| | | |
PCILS I LLC | | | | | | | 03/07/2013 | | | | 0.6% | |
| | | |
PDILS I LLC | | | | | | | 03/12/2013 | | | | 0.1% | |
| | | |
PDOLS I LLC | | | | | | | 01/15/2021 | | | | 0.0% | |
| | | |
CLM 4365 LLC | | | | | | | 01/15/2021 | | | | 0.0% | |
| | | |
RLM 4365 LLC | | | | | | | 01/15/2021 | | | | 0.0% | |
15. REGULATORY AND LITIGATION MATTERS
The Funds are not named as defendants in any material litigation or arbitration proceedings and are not aware of any material litigation or claim pending or threatened against them.
The foregoing speaks only as of the date of this report.
16. REORGANIZATION
The Board approved the reorganization (the “Reorganization”) of PIMCO Income Opportunity Fund and PIMCO Dynamic Credit and Mortgage Income Fund (each an “Acquired Fund”) with and into PIMCO Dynamic Income Fund (the “Acquiring Fund”). Pursuant to the Reorganization, shareholders of the Acquired Funds became shareholders of the Acquiring Fund. The Reorganization was completed upon the close of business on December 10, 2021. The transaction was structured to qualify as a tax-free reorganization under Section 368(a) of the Internal Revenue Code (the “Code”). In the Reorganization, the Acquiring Fund acquired all of the assets and assumed of all the liabilities of each of the Acquired Funds in exchange for newly-issued common shares of the Acquiring Fund (“Merger Shares”). Shareholders of the Acquired Funds received Merger Shares (and cash in lieu of fractional Merger Shares, if any), equal to the aggregate net asset value of their holdings of each Acquired Fund, as applicable. The exchange was based on the net asset value per common share (“NAV”) of the Acquiring Fund and each of the Acquired Funds as of the close of business on December 10, 2021. The investment portfolios of the Acquired Funds, with an aggregate fair value of approximately $6,239,358,055 and aggregate identified cost of approximately $6,269,110,151 as of the date of the Reorganization, was the principal asset acquired by the Acquiring Fund. For financial statement purposes, assets received and shares issued by the Acquiring Fund were recorded at fair value; however, the cost basis of the investments received from each Acquired Fund was carried forward to align ongoing reporting of the Acquiring Fund’s realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes. The following is a summary of Shares Outstanding, Net Assets, Net Asset Value Per Share and Net Unrealized Appreciation (Depreciation) immediately before and after the Reorganization (amounts in thousands):
| | | | | | | | | | | | | | | | | | | | |
| | | | | | Shares
Outstanding | | | Net
Assets | | | Net Asset
Value Per
Share | | | Net Unrealized
Appreciation
(Depreciation) | |
Acquired Fund | | | | | | | | | | | | | | | | | | | | |
| | | | | |
PIMCO Income Opportunity Fund | | | | | | | 21,513 | | | | 494,490 | | | | 22.99 | | | | 2,056 | |
| | | | | |
PIMCO Dynamic Credit and Mortgage Income Fund | | | | | | | 154,747 | | | | 3,067,680 | | | | 19.82 | | | | (31,809 | ) |
Acquiring Fund | | | | | | | | | | | | | | | | | | | | |
| | | | | |
PIMCO Dynamic Income Fund | | | | | | | 73,058 | | | | 1,769,430 | | | | 24.22 | | | | 1,387 | |
Post Reorganization | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Acquiring Fund | | | | | | | | | | | | | | | | | | | | |
| | | | | |
PIMCO Dynamic Income Fund | | | | | | | 220,137 | | | | 5,331,584 | | | | 24.22 | | | | (28,366 | ) |
PIMCO paid all fees and expenses, including legal and accounting expenses, printing and mailing expenses, or other similar expenses incurred in connection with the Reorganization transaction, excluding transaction costs in connection with the purchase or sale of portfolio securities, if any. Assuming the Reorganization had been completed on July 1, 2021, the beginning of the semi-annual reporting period, the pro forma results of operations for the period ended December 31, 2021, are as follows (amounts in thousands):
| | | | | | | | |
| | |
Net Income | | | | | | $ | 286,204 | |
| | |
Net realized and unrealized gain/loss | | | | | | | 87,180 | |
| | |
Total increase in net assets from investments operations | | | | | | $ | 373,384 | |
Because the combined investment portfolios have been managed as a single integrated portfolio since the Reorganization was completed, it is not practicable to separate the amounts of revenue and earnings of the Acquired Funds that have been included in the Consolidated Statements of Operations since December 10, 2021.
| | | | | | |
| 132 | | PIMCO CLOSED-END FUNDS | | | | |
| | | | | | |
| | | | December 31, 2021 | | (Unaudited) |
17. FEDERAL INCOME TAX MATTERS
Each Fund intends to qualify as a regulated investment company under Subchapter M of the Code and distribute all of its taxable income and net realized gains, if applicable, to shareholders. Accordingly, no provision for Federal income taxes has been made.
A Fund may be subject to local withholding taxes, including those imposed on realized capital gains. Any applicable foreign capital gains tax is accrued daily based upon net unrealized gains, and may be payable following the sale of any applicable investments.
In accordance with U.S. GAAP, the Manager has reviewed the Funds’ tax positions for all open tax years. As of December 31, 2021, 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.
The Funds file U.S. federal, state, and local tax returns as required. The Funds’ tax returns are subject to examination by relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return but which can be extended to six years in certain circumstances. Tax returns for open years have incorporated no uncertain tax positions that require a provision for income taxes.
Under the Regulated Investment Company Modernization Act of 2010, a fund is permitted to carry forward any new capital losses for an unlimited period. Additionally, such capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term under previous law.
As of their last fiscal year ended June 30, 2021, the Funds had the following post-effective capital losses with no expiration (amounts in thousands†):
| | | | | | | | | | | | |
| | | | | | Short-Term | | | Long-Term | |
| | | |
PCM Fund, Inc. | | | | | | $ | 1,040 | | | $ | 11,195 | |
| | | |
PIMCO Global StocksPLUS® & Income Fund | | | | | | | 26,665 | | | | 0 | |
| | | |
PIMCO Strategic Income Fund, Inc. | | | | | | | 5,905 | | | | 51,148 | |
| | | |
PIMCO Dynamic Income Fund | | | | | | | 78,217 | | | | 34,635 | |
| | | |
PIMCO Dynamic Income Opportunities Fund | | | | | | | 0 | | | | 0 | |
| † | A zero balance may reflect actual amounts rounding to less than one thousand. |
As of December 31, 2021, the aggregate cost and the net unrealized appreciation/(depreciation) of investments for federal income tax purposes are as follows (amounts in thousands†):
| | | | | | | | | | | | | | | | | | | | |
| | | | | | Federal
Tax Cost | | | Unrealized
Appreciation | | | Unrealized
(Depreciation) | | | Net Unrealized
Appreciation/
(Depreciation)(1) | |
| | | | | |
PCM Fund, Inc. | | | | | | $ | 188,785 | | | $ | 22,612 | | | $ | (16,604 | ) | | $ | 6,008 | |
| | | | | |
PIMCO Global StocksPLUS® & Income Fund | | | | | | | 221,129 | | | | 19,456 | | | | (22,486 | ) | | | (3,030 | ) |
| | | | | |
PIMCO Strategic Income Fund, Inc. | | | | | | | 752,899 | | | | 38,565 | | | | (45,177 | ) | | | (6,612 | ) |
| | | | | |
PIMCO Dynamic Income Fund | | | | | | | 9,535,524 | | | | 884,552 | | | | (818,545 | ) | | | 66,007 | |
| | | | | |
PIMCO Dynamic Income Opportunities Fund | | | | | | | 3,917,019 | | | | 61,897 | | | | (134,709 | ) | | | (72,812 | ) |
| † | 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) on investments are attributable to open wash sale loss deferrals, passive foreign investment companies (PFICs), defaulted securities, Real Estate Investment Trusts (REITs), Grantor Trust Adjustments, hyperinflationary adjustments, unrealized gain or loss on certain futures, options and forward contracts, realized and unrealized gain (loss) swap contracts, straddle loss deferrals and partnership adjustments. |
For tax years ending before July 1, 2018, RCS accounted for mortgage dollar rolls as financing transactions, such that the Fund treated 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. On July 18, 2019, the IRS granted RCS’ application for a change in accounting method for mortgage dollar rolls. Accordingly, for tax years ending after June 30, 2018, RCS accounts for mortgage dollar rolls as sales or exchanges for U.S. federal income tax purposes.
The Fund’s treatment of mortgage dollar rolls for U.S. federal income tax purposes determines the character and source of the Fund’s distributions relating to income earned thereon. Treatment of mortgage dollar rolls as financing transactions may increase the amount of distributions received by Fund shareholders, or may increase the portion thereof that is taxed as ordinary income, and cause shareholders to be taxed on distributions that effectively represent a return of the shareholder’s investment therein. As a result of the change in accounting method granted by the IRS, for tax years ending
| | | | | | | | | | | | |
| | | | SEMIANNUAL REPORT | | | | | | | DECEMBER 31, 2021 | | | 133 |
| | | | | | |
| Notes to Financial Statements | | (Cont.) | | December 31, 2021 | | (Unaudited) |
after June 30, 2018, the Fund expects that any gain or loss it recognizes on mortgage dollar rolls will generally be treated as short-term capital gain or loss, as applicable. Any such short-term capital gains for a taxable year will be offset by the Fund’s capital losses for such year, and any available capital loss carryforwards. The application of sale or exchange treatment to mortgage dollar rolls may therefore increase the portion of the Fund’s distributions to shareholders that are treated as returns of capital for U.S. federal income tax purposes, or lead the Fund to decrease its distributions to reduce or avoid returns of capital.
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 uncertain. If the IRS 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. A taxpayer requesting a voluntary accounting method change generally receives audit protection for all taxable years prior to the year of change with respect to the item that is being changed. Because the IRS has approved the Fund’s requested change in accounting method for mortgage dollar rolls, the IRS will not, subject to certain exceptions that the Fund does not expect to apply, challenge or recharacterize the Fund’s treatment of mortgage dollar rolls as financing transactions for taxable years ending before July 1, 2018.
18. 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, 2022, the following distributions were declared to common shareholders payable February 1, 2022 to shareholders of record on January 13, 2022:
| | | | | | | | |
| | |
PCM Fund, Inc. | | | | | | $ | 0.080000 per common share | |
| | |
PIMCO Global StocksPLUS® & Income Fund | | | | | | $ | 0.069000 per common share | |
| | |
PIMCO Strategic Income Fund, Inc. | | | | | | $ | 0.051000 per common share | |
| | |
PIMCO Dynamic Income Fund | | | | | | $ | 0.220500 per common share | |
| | |
PIMCO Dynamic Income Opportunities Fund | | | | | | $ | 0.118400 per common share | |
On February 1, 2022, the following distributions were declared to common shareholders payable March 1, 2022 to shareholders of record February 11, 2022:
| | | | | | | | |
| | |
PCM Fund, Inc. | | | | | | $ | 0.080000 per common share | |
| | |
PIMCO Global StocksPLUS® & Income Fund | | | | | | $ | 0.069000 per common share | |
| | |
PIMCO Strategic Income Fund, Inc. | | | | | | $ | 0.051000 per common share | |
| | |
PIMCO Dynamic Income Fund | | | | | | $ | 0.220500 per common share | |
| | |
PIMCO Dynamic Income Opportunities Fund | | | | | | $ | 0.118400 per common share | |
There were no other subsequent events identified that require recognition or disclosure.
| | | | | | |
| 134 | | PIMCO CLOSED-END FUNDS | | | | |
| | | | | | |
| Glossary: | | (abbreviations that may be used in the preceding statements) | | | | (Unaudited) |
| | | | | | | | | | |
|
Counterparty Abbreviations: |
| | | | | |
| BCY | | Barclays Capital, Inc. | | FICC | | Fixed Income Clearing Corporation | | NOM | | Nomura Securities International Inc. |
| | | | | |
| BNY | | Bank of New York Mellon | | FOB | | Credit Suisse Securities (USA) LLC | | RBC | | Royal Bank of Canada |
| | | | | |
| BOA | | Bank of America N.A. | | GLM | | Goldman Sachs Bank USA | | RCE | | Royal Bank of Canada Europe Limited |
| | | | | |
| BOM | | Bank of Montreal | | GSC | | Goldman Sachs & Co. LLC | | RDR | | RBC Capital Markets LLC |
| | | | | |
| BOS | | BofA Securities, Inc. | | GST | | Goldman Sachs International | | RTA | | RBC (Barbados) Trading Bank Corp. |
| | | | | |
| BPS | | BNP Paribas S.A. | | HUS | | HSBC Bank USA N.A. | | RYL | | NatWest Markets Plc |
| | | | | |
| BRC | | Barclays Bank PLC | | IND | | Crédit Agricole Corporate and Investment Bank S.A. | | SBI | | Citigroup Global Markets Ltd. |
| | | | | |
| BYR | | The Bank of Nova Scotia - Toronto | | JML | | JP Morgan Securities Plc | | SCX | | Standard Chartered Bank, London |
| | | | | |
| CBK | | Citibank N.A. | | JPM | | JP Morgan Chase Bank N.A. | | SGY | | Societe Generale, NY |
| | | | | |
| CDC | | Natixis Securities Americas LLC | | JPS | | J.P. Morgan Securities LLC | | SOG | | Societe Generale Paris |
| | | | | |
| CEW | | Canadian Imperial Bank of Commerce | | MBC | | HSBC Bank Plc | | SSB | | State Street Bank and Trust Co. |
| | | | | |
| CIB | | Canadian Imperial Bank of Commerce | | MEI | | Merrill Lynch International | | TDM | | TD Securities (USA) LLC |
| | | | | |
| CSG | | Credit Suisse AG Cayman | | MSB | | Morgan Stanley Bank, N.A | | TOR | | The Toronto-Dominion Bank |
| | | | | |
| DBL | | Deutsche Bank AG London | | MYC | | Morgan Stanley Capital Services LLC | | UAG | | UBS AG Stamford |
| | | | | |
| DUB | | Deutsche Bank AG | | MYI | | Morgan Stanley & Co. International PLC | | UBS | | UBS Securities LLC |
| | | | | |
| FBF | | Credit Suisse International | | MZF | | Mizuho Securities USA LLC | | | | |
| | | | |
Currency Abbreviations: | | | | | | | | |
| | | | | |
| ARS | | Argentine Peso | | CZK | | Czech Koruna | | MXN | | Mexican Peso |
| | | | | |
| AUD | | Australian Dollar | | EUR | | Euro | | NOK | | Norwegian Krone |
| | | | | |
| BRL | | Brazilian Real | | GBP | | British Pound | | PEN | | Peruvian New Sol |
| | | | | |
| CAD | | Canadian Dollar | | HUF | | Hungarian Forint | | PLN | | Polish Zloty |
| | | | | |
| CHF | | Swiss Franc | | IDR | | Indonesian Rupiah | | RUB | | Russian Ruble |
| | | | | |
| CLP | | Chilean Peso | | INR | | Indian Rupee | | USD (or $) | | United States Dollar |
| | | | | |
| CNH | | Chinese Renminbi (Offshore) | | JPY | | Japanese Yen | | ZAR | | South African Rand |
| | | | | |
| CNY | | Chinese Renminbi (Mainland) | | | | | | | | |
| | | | |
Exchange Abbreviations: | | | | | | | | |
| | | | | |
| CME | | Chicago Mercantile Exchange | | OTC | | Over the Counter | | | | |
| | | | |
Index/Spread Abbreviations: | | | | | | | | |
| | | | | |
| ABX.HE | | Asset-Backed Securities Index - Home Equity | | LIBOR03M | | 3 Month USD-LIBOR | | SOFR | | Secured Overnight Financing Rate |
| | | | | |
| BADLARPP | | Argentina Badlar Floating Rate Notes | | NDDUEAFE | | MSCI EAFE Index | | SONIO | | Sterling Overnight Interbank Average Rate |
| | | | | |
| BP0003M | | 3 Month GBP-LIBOR | | PRIME | | Daily US Prime Rate | | US0003M | | ICE 3-Month USD LIBOR |
| | | | | |
| CDX.HY | | Credit Derivatives Index - High Yield | | S&P 500 | | Standard & Poor’s 500 Index | | WIBOR03M | | 3 Month Warsaw Inter Bank Offering Rate |
| | | | | |
| EUR003M | | 3 Month EUR Swap Rate | | | | | | | | |
| | | | |
Other Abbreviations: | | | | | | | | |
| | | | | |
| ABS | | Asset-Backed Security | | DAC | | Designated Activity Company | | PIK | | Payment-in-Kind |
| | | | | |
| ALT | | Alternate Loan Trust | | EBITDA | | Earnings before Interest, Taxes, Depreciation and Amoritization | | PRIBOR | | Prague Interbank Offered Rate |
| | | | | |
| BABs | | Build America Bonds | | EURIBOR | | Euro Interbank Offered Rate | | REMIC | | Real Estate Mortgage Investment Conduit |
| | | | | |
| BBR | | Bank Bill Rate | | JIBAR | | Johannesburg Interbank Agreed Rate | | TBA | | To-Be-Announced |
| | | | | |
| CBO | | Collateralized Bond Obligation | | LIBOR | | London Interbank Offered Rate | | TBD | | To-Be-Determined |
| | | | | |
| CDI | | Brazil Interbank Deposit Rate | | Lunar | | Monthly payment based on 28-day periods. One year consists of 13 periods. | | TBD% | | Interest rate to be determined when loan settles or at the time of funding |
| | | | | |
| CDO | | Collateralized Debt Obligation | | OIS | | Overnight Index Swap | | TIIE | | Tasa de Interés Interbancaria de Equilibrio “Equilibrium Interbank Interest Rate” |
| | | | | |
| CLO | | Collateralized Loan Obligation | | | | | | | | |
| | | | | | | | | | | | |
| | | | SEMIANNUAL REPORT | | | | | | | DECEMBER 31, 2021 | | | 135 |
For purposes of Section 19 of the Investment Company Act of 1940 (the “Act”), the Funds estimated the periodic sources of any dividends paid during the period covered by this report in accordance with good accounting practice. Pursuant to Rule 19a-1(e) under the Act, the table below sets forth the actual source information for dividends paid during the six month period ended December 31, 2021 calculated as of each distribution period pursuant to Section 19 of the Act. The information below is not provided for U.S. federal income tax reporting purposes. The tax character of all dividends and distributions is reported on Form 1099-DIV (for shareholders who receive U.S. federal tax reporting) at the end of each calendar year.
See the Financial Highlights section of this report for the tax characterization of distributions determined in accordance with federal income tax regulations for the fiscal year.
| | | | | | | | | | | | | | | | | | | | |
| PCM Fund, Inc | | | | | Net Investment
Income* | | | Net Realized
Capital Gains* | | | Paid-in Surplus or
Other Capital
Sources** | | | Total (per
common share) | |
| | | | | |
July 2021 | | | | | | $ | 0.0800 | | | $ | 0.0000 | | | $ | 0.0000 | | | $ | 0.0800 | |
| | | | | |
August 2021 | | | | | | $ | 0.0800 | | | $ | 0.0000 | | | $ | 0.0000 | | | $ | 0.0800 | |
| | | | | |
September 2021 | | | | | | $ | 0.0800 | | | $ | 0.0000 | | | $ | 0.0000 | | | $ | 0.0800 | |
| | | | | |
October 2021 | | | | | | $ | 0.0800 | | | $ | 0.0000 | | | $ | 0.0000 | | | $ | 0.0800 | |
| | | | | |
November 2021 | | | | | | $ | 0.0800 | | | $ | 0.0000 | | | $ | 0.0000 | | | $ | 0.0800 | |
| | | | | |
December 2021 | | | | | | $ | 0.0800 | | | $ | 0.0000 | | | $ | 0.0000 | | | $ | 0.0800 | |
| | | | | |
| PIMCO Global StocksPLUS® & Income Fund | | | | | Net Investment
Income* | | | Net Realized
Capital Gains* | | | Paid-in Surplus or
Other Capital
Sources** | | | Total (per
common share) | |
| | | | | |
July 2021 | | | | | | $ | 0.0690 | | | $ | 0.0000 | | | $ | 0.0000 | | | $ | 0.0690 | |
| | | | | |
August 2021 | | | | | | $ | 0.0690 | | | $ | 0.0000 | | | $ | 0.0000 | | | $ | 0.0690 | |
| | | | | |
September 2021 | | | | | | $ | 0.0690 | | | $ | 0.0000 | | | $ | 0.0000 | | | $ | 0.0690 | |
| | | | | |
October 2021 | | | | | | $ | 0.0690 | | | $ | 0.0000 | | | $ | 0.0000 | | | $ | 0.0690 | |
| | | | | |
November 2021 | | | | | | $ | 0.0690 | | | $ | 0.0000 | | | $ | 0.0000 | | | $ | 0.0690 | |
| | | | | |
December 2021 | | | | | | $ | 0.0690 | | | $ | 0.0000 | | | $ | 0.0000 | | | $ | 0.0690 | |
| | | | | |
| PIMCO Income Opportunity Fund | | | | | Net Investment
Income* | | | Net Realized
Capital Gains* | | | Paid-in Surplus or
Other Capital
Sources** | | | Total (per
common share) | |
| | | | | |
July 2021 | | | | | | $ | 0.1900 | | | $ | 0.0000 | | | $ | 0.0000 | | | $ | 0.1900 | |
| | | | | |
August 2021 | | | | | | $ | 0.1900 | | | $ | 0.0000 | | | $ | 0.0000 | | | $ | 0.1900 | |
| | | | | |
September 2021 | | | | | | $ | 0.1900 | | | $ | 0.0000 | | | $ | 0.0000 | | | $ | 0.1900 | |
| | | | | |
October 2021 | | | | | | $ | 0.1900 | | | $ | 0.0000 | | | $ | 0.0000 | | | $ | 0.1900 | |
| | | | | |
November 2021 | | | | | | $ | 0.1900 | | | $ | 0.0000 | | | $ | 0.0000 | | | $ | 0.1900 | |
| | | | | |
December 2021(1) | | | | | | $ | 0.1616 | | | $ | 0.0000 | | | $ | 0.0284 | | | $ | 0.1900 | |
| | | | | |
| PIMCO Strategic Income Fund, Inc | | | | | Net Investment
Income* | | | Net Realized
Capital Gains* | | | Paid-in Surplus or
Other Capital
Sources** | | | Total (per
common share) | |
| | | | | |
July 2021 | | | | | | $ | 0.0485 | | | $ | 0.0000 | | | $ | 0.0025 | | | $ | 0.0510 | |
| | | | | |
August 2021 | | | | | | $ | 0.0486 | | | $ | 0.0000 | | | $ | 0.0024 | | | $ | 0.0510 | |
| | | | | |
September 2021 | | | | | | $ | 0.0503 | | | $ | 0.0000 | | | $ | 0.0007 | | | $ | 0.0510 | |
| | | | | |
October 2021 | | | | | | $ | 0.0488 | | | $ | 0.0000 | | | $ | 0.0022 | | | $ | 0.0510 | |
| | | | | |
November 2021 | | | | | | $ | 0.0442 | | | $ | 0.0000 | | | $ | 0.0068 | | | $ | 0.0510 | |
| | | | | |
December 2021 | | | | | | $ | 0.0505 | | | $ | 0.0000 | | | $ | 0.0005 | | | $ | 0.0510 | |
| | | | | |
| PIMCO Dynamic Credit and Mortgage Income Fund | | | | | Net Investment
Income* | | | Net Realized
Capital Gains* | | | Paid-in Surplus or
Other Capital
Sources** | | | Total (per
common share) | |
| | | | | |
July 2021 | | | | | | $ | 0.1740 | | | $ | 0.0000 | | | $ | 0.0000 | | | $ | 0.1740 | |
| | | | | |
August 2021 | | | | | | $ | 0.1740 | | | $ | 0.0000 | | | $ | 0.0000 | | | $ | 0.1740 | |
| | | | | |
September 2021 | | | | | | $ | 0.1740 | | | $ | 0.0000 | | | $ | 0.0000 | | | $ | 0.1740 | |
| | | | | |
October 2021 | | | | | | $ | 0.1740 | | | $ | 0.0000 | | | $ | 0.0000 | | | $ | 0.1740 | |
| | | | | |
November 2021 | | | | | | $ | 0.1740 | | | $ | 0.0000 | | | $ | 0.0000 | | | $ | 0.1740 | |
| | | | | |
December 2021(1) | | | | | | $ | 0.1493 | | | $ | 0.0000 | | | $ | 0.0247 | | | $ | 0.1740 | |
| | | | | | |
| 136 | | PIMCO CLOSED-END FUNDS | | | | |
| | | | | | | | | | | | | | | | | | | | |
| PIMCO Dynamic Income Fund | | | | | Net Investment
Income* | | | Net Realized
Capital Gains* | | | Paid-in Surplus or
Other Capital
Sources** | | | Total (per
common share) | |
| | | | | |
July 2021 | | | | | | $ | 0.2205 | | | $ | 0.0000 | | | $ | 0.0000 | | | $ | 0.2205 | |
| | | | | |
August 2021 | | | | | | $ | 0.2205 | | | $ | 0.0000 | | | $ | 0.0000 | | | $ | 0.2205 | |
| | | | | |
September 2021 | | | | | | $ | 0.2205 | | | $ | 0.0000 | | | $ | 0.0000 | | | $ | 0.2205 | |
| | | | | |
October 2021 | | | | | | $ | 0.2205 | | | $ | 0.0000 | | | $ | 0.0000 | | | $ | 0.2205 | |
| | | | | |
November 2021 | | | | | | $ | 0.2205 | | | $ | 0.0000 | | | $ | 0.0000 | | | $ | 0.2205 | |
| | | | | |
December 2021 | | | | | | $ | 0.2205 | | | $ | 0.0000 | | | $ | 0.0000 | | | $ | 0.2205 | |
| | | | | |
| PIMCO Dynamic Income Opportunities Fund | | | | | Net Investment
Income* | | | Net Realized
Capital Gains* | | | Paid-in Surplus or
Other Capital
Sources** | | | Total (per
common share) | |
| | | | | |
July 2021 | | | | | | $ | 0.1184 | | | $ | 0.0000 | | | $ | 0.0000 | | | $ | 0.1184 | |
| | | | | |
August 2021 | | | | | | $ | 0.1184 | | | $ | 0.0000 | | | $ | 0.0000 | | | $ | 0.1184 | |
| | | | | |
September 2021 | | | | | | $ | 0.1184 | | | $ | 0.0000 | | | $ | 0.0000 | | | $ | 0.1184 | |
| | | | | |
October 2021 | | | | | | $ | 0.1184 | | | $ | 0.0000 | | | $ | 0.0000 | | | $ | 0.1184 | |
| | | | | |
November 2021 | | | | | | $ | 0.1184 | | | $ | 0.0000 | | | $ | 0.0000 | | | $ | 0.1184 | |
| | | | | |
December 2021 | | | | | | $ | 0.1184 | | | $ | 0.0000 | | | $ | 0.0000 | | | $ | 0.1184 | |
| * | The source of dividends provided in the table differs, in some respects, from information presented in this report prepared in accordance with generally accepted accounting principles, or U.S. GAAP. For example, net earnings from certain interest rate swap contracts are included as a source of net investment income for purposes of Section 19(a). Accordingly, the information in the table may differ from information in the accompanying financial statements that are presented on the basis of U.S. GAAP and may differ from tax information presented in the footnotes. Amounts shown may include accumulated, as well as fiscal period net income and net profits. |
| ** | Occurs when a fund distributes an amount greater than its accumulated net income and net profits. Amounts are not reflective of a fund’s net income, yield, earnings or investment performance. |
| (1) | December distributions for PIMCO Income Opportunity Fund and PIMCO Dynamic Credit and Mortgage Income Fund represent the Funds’ final distributions, in connection with the Reorganization. Please see Note 16 - Reorganization in the Notes to Financial Statements for additional information about the Reorganization. |
| | | | | | | | | | | | |
| | | | SEMIANNUAL REPORT | | | | | | | DECEMBER 31, 2021 | | | 137 |
| | | | |
| Shareholder Meeting Results | | | | (Unaudited) |
PIMCO Dynamic Income Fund (“PDI”), PIMCO Dynamic Credit and Mortgage Income Fund (“PCI”) and PIMCO Income Opportunity Fund (“PKO”) held a special meeting of shareholders on August 6, 2021. Shareholders of PDI and PKO approved the proposals necessary for PCI and PKO to reorganize with and into PDI. No action was needed from shareholders of PCI.
PIMCO Dynamic Income Fund
Common shareholders voted as indicated below:
| | | | | | | | | | | | | | | | |
| | | | | | Affirmative | | | Against | | | Abstain | |
| | | | |
To approve the issuance of additional common shares of beneficial interest of PIMCO Dynamic Income Fund (“PDI”) to be issued to the common shareholders of PIMCO Income Opportunity Fund (“PKO”) and PIMCO Dynamic Credit and Mortgage Income Fund (“PCI”) in connection with the acquisition by PDI of all of the assets and liabilities of each of PKO and PCI. | | | | | | | 28,012,551 | | | | 2,841,495 | | | | 1,360,791 | |
PIMCO Income Opportunity Fund
Common shareholders voted as indicated below:
| | | | | | | | | | | | | | | | |
| | | | | | Affirmative | | | Against | | | Abstain | |
| | | | |
To approve an Agreement and Plan of Reorganization pursuant to which PIMCO Income Opportunity Fund would be reorganized with and into PIMCO Dynamic Income Fund. | | | | | | | 8,335,726 | | | | 2,762,789 | | | | 544,130 | |
| | | | | | |
| 138 | | PIMCO CLOSED-END FUNDS | | | | |
| | | | |
| Changes to Board of Trustees | | | | (Unaudited) |
Effective December 31, 2021, Hans W. Kertess resigned from his position as Trustee of the Funds.
| | | | | | | | | | | | |
| | | | ANNUAL REPORT | | | | | | | JUNE 30, 2021 | | | 139 |
General Information
Investment Manager
Pacific Investment Management Company LLC
650 Newport Center Drive,
Newport Beach, CA, 92660
Custodian
State Street Bank and Trust Company
801 Pennsylvania Avenue
Kansas City, MO 64105
Transfer Agent, Dividend Paying Agent and Registrar
American Stock Transfer & Trust Company, LLC
6201 15th Avenue
Brooklyn, NY 11219
Legal Counsel
Ropes & Gray LLP
Prudential Tower
800 Boylston Street
Boston, MA 02199
Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
1100 Walnut Street, Suite 1300
Kansas City, MO 64106
This report is submitted for the general information of the shareholders of the Funds listed on the Report cover.
CEF4010SAR_123121
The information required by this Item 2 is only required in an annual report on this Form N-CSR.
| Item 3. | Audit Committee Financial Expert. |
The information required by this Item 3 is only required in an annual report on this Form N-CSR.
| Item 4. | Principal Accountant Fees and Services. |
The information required by this Item 4 is only required in an annual report on this Form N-CSR.
| Item 5. | Audit Committee of Listed Registrants. |
The information required by this Item 5 is only required in an annual report on this Form N-CSR.
| Item 6. | Schedule of Investments. |
The information required by this Item 6 is included as part of the semiannual report to shareholders filed under Item 1 of this Form N-CSR.
| Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
The information required by this Item 7 is only required in an annual report on this Form N-CSR.
| Item 8. | Portfolio Managers of Closed-End Management Investment Companies. |
| | (a) | The information required by this Item 8(a) is only required in an annual report on this Form N-CSR. |
| | (b) | There have been no changes in any of the Portfolio Managers identified in the registrant’s previous annual report on Form N-CSR. |
| Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
None.
| Item 10. | Submission of Matters to a Vote of Security Holders. |
There have been no material changes to the procedures by which shareholders may recommend nominees to the Fund’s Board of Trustees since the Fund last provided disclosure in response to this item.
| Item 11. | Controls and Procedures. |
| | (a) | The principal executive officer and principal financial & accounting officer have concluded as of a date within 90 days of the filing date of this report, based on their evaluation of the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the 1940 Act), that the design of such procedures is effective to provide reasonable assurance that material information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the time periods specified in the Commission’s rules and forms. |
| | (b) | There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the last fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
| Item 12. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies. |
None.
(a)(1) Exhibit 99.CODE—Code of Ethics is not applicable for semiannual reports.
(a)(2) Exhibit 99.CERT—Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
(a)(3) None.
(a)(4) There was no change in the registrant’s independent public accountant for the period covered by the report.
(b) Exhibit 99.906CERT—Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
Signatures
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| | |
| PIMCO Dynamic Credit and Mortgage Income Fund |
| |
| By: | | /s/ Eric D. Johnson |
| | |
| | Eric D. Johnson |
| | President (Principal Executive Officer) |
| |
| Date: | | March 4, 2022 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| | |
| By: | | /s/ Eric D. Johnson |
| | |
| | Eric D. Johnson |
| | President (Principal Executive Officer) |
| |
| Date: | | March 4, 2022 |
| | |
| By: | | /s/ Bijal Y. Parikh |
| | |
| | Bijal Y. Parikh |
| | Treasurer (Principal Financial & Accounting Officer) |
| |
| Date: | | March 4, 2022 |
