N-CSRS
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UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

Investment Company Act file number: 811-21734

PIMCO Global StocksPlus® & Income Fund

(Exact name of registrant as specified in charter)

1633 Broadway, New York, NY 10019

(Address of principal executive offices)

Trent W. Walker

Treasurer (Principal Financial & Accounting Officer)

650 Newport Center Drive

Newport Beach, CA 92660

(Name and address of agent for service)

Copies to:

David C. Sullivan

Ropes & Gray LLP

Prudential Tower

800 Boylston Street

Boston, MA 02199

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

Date of fiscal year end: June 30

Date of reporting period: December 31, 2018

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.


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Item 1.

Reports to Shareholders.

The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30e-1).


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LOGO

 

PIMCO CLOSED-END FUNDS

Semiannual Report

 

December 31, 2018

 

PCM Fund, Inc. | PCM | NYSE

 

PIMCO Global StocksPLUS® & Income Fund | PGP | NYSE

 

PIMCO Income Opportunity Fund | PKO | NYSE

 

PIMCO Strategic Income Fund, Inc. | RCS | NYSE

 

PIMCO Dynamic Credit and Mortgage Income Fund | PCI | NYSE

 

PIMCO Dynamic Income Fund | PDI | NYSE

 

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Fund’s website, pimco.com/literature, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

 

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically by visiting pimco.com/edelivery or by contacting your financial intermediary, such as a broker-dealer or bank.

 

Beginning January 1, 2019, you may elect to receive all future reports in paper free of charge. If you own these shares through a financial intermediary, such as a broker-dealer or bank, you may contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. If you invest directly with the Fund, you can inform the Fund that you wish to continue receiving paper copies of your shareholder reports by calling 844.337.4626. Your election to receive reports in paper will apply to all funds held with the fund complex if you invest directly with the Fund or to all funds held in your account if you invest through a financial intermediary, such as a broker-dealer or bank.


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Table of Contents

 

            Page  
     

Letter from the Chair of the Board & President

        2  

Important Information About the Funds

        4  

Financial Highlights

        18  

Statements of Assets and Liabilities

        20  

Consolidated Statements of Assets and Liabilities

        21  

Statements of Operations

        22  

Consolidated Statements of Operations

        23  

Statements of Changes in Net Assets

        24  

Consolidated Statements of Changes in Net Assets

        26  

Statements of Cash Flows

        27  

Consolidated Statements of Cash Flows

        28  

Notes to Financial Statements

        105  

Glossary

        129  

Changes to Boards of Trustees

        130  
     
Fund    Fund
Summary
     Schedule of
Investments
 
     

PCM Fund, Inc.

     11        29  

PIMCO Global StocksPLUS® & Income Fund

     12        38  

PIMCO Income Opportunity Fund

     13        50  

PIMCO Strategic Income Fund, Inc.

     14        63  

PIMCO Dynamic Credit and Mortgage Income Fund(1)

     15        75  

PIMCO Dynamic Income Fund(1)

     16        91  

 

  (1)  

Consolidated Schedule of Investments


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Letter from the Chair of the Board & President

 

Dear Shareholder,

 

Following this letter is the PIMCO Closed-End Funds Semiannual Report, which covers the six-month reporting period ended December 31, 2018. On the subsequent pages you will find specific details regarding investment results and discussion of the factors that most affected performance during the reporting period.

 

For the six-month reporting period ended December 31, 2018

 

The U.S. economy continued to expand during the reporting period. Looking back, U.S. gross domestic product (“GDP”) grew at an annual pace of 4.2% during the second quarter of 2018, the strongest since the third quarter of 2014. GDP then expanded at an annual pace of 3.4% during the third quarter of the year. Finally, the Commerce Department’s initial reading for fourth-quarter 2018 GDP has been delayed due to the partial government shutdown.

 

The Federal Reserve (the “Fed”) continued to normalize monetary policy during the reporting period. After raising rates in March and June, the Fed again moved rates higher at its September and December 2018 meetings. The Fed’s December rate hike pushed the federal funds rate to a range between 2.25% and 2.50%. In addition, the Fed continued to reduce its balance sheet during the reporting period.

 

Economic activity outside the U.S. initially accelerated during the reporting period, but moderated as it progressed. Against this backdrop, the European Central Bank (the “ECB”) and the Bank of Japan largely maintained their highly accommodative monetary policies, while other central banks took a more hawkish stance. The Bank of England raised rates at its meeting in August 2018 and the Bank of Canada raised rates twice during the reporting period. Meanwhile, the ECB ended its quantitative easing program in December 2018, but indicated that it does not expect to raise interest rates “at least through the summer of 2019.”

 

The U.S. Treasury yield curve flattened during the reporting period as longer-term rates fell more than short-term rates. The yield on the benchmark 10-year U.S. Treasury note was 2.69% at the end of the reporting period, down from 2.85% on June 30, 2018. U.S. Treasuries, as measured by the Bloomberg Barclays U.S. Treasury Index, returned 1.96% over the six months ended December 31, 2018. Meanwhile, the Bloomberg Barclays U.S. Aggregate Bond Index, a widely used index of U.S. investment grade bonds, returned 1.65% over the period. Riskier fixed income asset classes, including high yield corporate bonds and emerging market debt, generated weaker results versus the broad U.S. market. The ICE BofAML U.S. High Yield Index returned -2.34% over the reporting period, whereas emerging market external debt, as represented by the JPMorgan Emerging Markets Bond Index (EMBI) Global, returned 0.65% over the reporting period. Emerging market local bonds, as represented by the JPMorgan Government Bond Index-Emerging Markets Global Diversified Index (Unhedged), returned 0.25% over the period.

 

Global equities produced poor results during the reporting period. U.S. equities moved sharply higher over the first half of the period. We believe this rally was driven by a number of factors, including corporate profits that often exceeded expectations. However, U.S. equities fell sharply during the fourth quarter of 2018. We believe this was triggered by a number of factors, including signs of moderating global growth, concerns over future Fed rate hikes, the ongoing trade dispute between the U.S. and China and the partial U.S. government shutdown. All told, U.S. equities, as represented by the S&P 500 Index, returned -6.85% during the reporting period. Elsewhere, emerging market equities, as measured by the MSCI Emerging Markets Index, returned -8.49% during the reporting period, whereas global equities, as represented by the MSCI World Index, returned -9.10%. Elsewhere, Japanese equities, as represented by the Nikkei 225 Index (in JPY), returned -9.45% during the reporting period and European equities, as represented by the MSCI Europe Index (in EUR), returned -10.14%.

 

Commodity prices fluctuated and generally declined during the reporting period. When the reporting period began, West Texas crude oil was approximately $70 a barrel, but by the end it was roughly $45 a barrel. This was driven in part by increased supply and declining global demand. Elsewhere, gold prices rose, whereas copper prices declined during the reporting period.

 

 

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Finally, during the reporting period the foreign exchange markets experienced periods of volatility, due in part to signs of decoupling economic growth and central bank policies, along with a number of geopolitical events. The U.S. dollar produced mixed results against other major currencies during the reporting period. For example, the U.S. dollar appreciated 1.92% and 3.53% versus the euro and the British pound, respectively, whereas the U.S. dollar depreciated 0.97% versus the yen during the reporting period.

 

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,

 

LOGO   LOGO
LOGO   LOGO
Deborah A. DeCotis   Peter G. Strelow
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.

 

  SEMIANNUAL REPORT   DECEMBER 31, 2018   3


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Important Information About the Funds

 

 

We believe that bond funds have an important role to play in a well-diversified investment portfolio. It is important to note, however, that in an environment where interest rates 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 to rise (e.g., central bank monetary policies, inflation rates, general economic conditions). In addition, changes in interest rates can be sudden and unpredictable, and there is no guarantee that Fund management will anticipate such movement accurately. A Fund may lose money as a result of movement in interest rates.

 

As of the date of this report, interest rates in the U.S. and many parts of the world, including certain European countries, are near historically low levels. Thus, the Funds currently face a heightened level of interest rate risk, especially since the Federal Reserve Board has ended its quantitative easing program and has begun, and may continue, to raise interest rates. To the extent the Federal Reserve Board continues to raise interest rates, there is a risk that rates across the financial system may rise. 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. In addition, in the current low interest rate environment, the market price of the Funds’ common shares may be particularly sensitive to changes in interest rates or the perception that there will be a change in interest rates. 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.

 

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 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 long-term fixed interest rate for a stipulated period of time, thereby generating payments as a function of the difference between current short-term interest rates and long-term interest rates, so long as the floating short-term interest rate (which may rise) is lower than the fixed long-term interest rate.

 

PGP and other Funds may also enter into opposite sides of multiple interest rate swaps or other derivatives with respect to the same underlying reference instrument (e.g., a 10-year U.S. treasury) that have different effective dates with respect to interest accrual time periods for the principal purpose of generating distributable gains (characterized as ordinary income for tax purposes) and that are not part of the Fund’s duration or yield curve management strategies (“paired swap transactions”). In a paired swap transaction, a Fund would generally enter into one or more interest rate swap agreements whereby the Fund agrees to make regular payments starting at the time the Fund enters into the agreements equal to a floating interest rate in return for payments equal to a fixed interest rate (the “initial leg”). The Fund would also enter into one or more interest rate swap agreements on the same underlying instrument, but take the opposite position (i.e., in this example, the Fund would make regular payments equal to a fixed interest rate in return for receiving payments equal to a

 

 

4   PIMCO CLOSED-END FUNDS     


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floating interest rate) with respect to a contract whereby the payment obligations do not commence until a date following the commencement of the initial leg (the “forward leg”).

 

A Fund may engage in investment strategies, including the use of derivatives, 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. 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. For instance, a significant portion of PGP’s monthly distributions may be sourced from paired swap transactions utilized to produce current distributable ordinary income for tax purposes on the initial leg, with a substantial possibility that the Fund will later realize a corresponding capital loss and potential decline in its net asset value with respect to the forward leg (to the extent there are not corresponding offsetting capital gains being generated from other sources). Because some or all of these transactions may generate capital losses without corresponding offsetting capital gains, portions of a Fund’s distributions recognized as ordinary income for tax purposes (such as from paired swap transactions) may be economically similar to a taxable return of capital when considered together with such capital losses.

 

PGP’s index option strategy, to the extent utilized, seeks to generate payments and premiums from writing options that may offset some or all of the capital losses incurred as a result of paired swaps transactions. However, the Fund may use paired swap transactions to support monthly distributions where the index option strategy does not produce an equivalent amount of offsetting gains, including without limitation when such strategy is not being used to a significant extent.

 

In addition, gains (if any) generated from the index option strategy may be offset by the Fund’s realized capital losses, including any available capital loss carryforwards. PGP currently has significant capital loss carryforwards, some of which will expire at particular dates, and to the extent that the Fund’s capital losses exceed capital gains, the Fund cannot use its capital loss carryforwards to offset capital gains.

 

The notional exposure of a Fund’s interest rate derivatives may represent a multiple of the Fund’s total net assets. There can be no assurance a Fund’s strategies involving interest rate derivatives will work as intended and such strategies are subject to the risks related to the use of derivatives generally, as discussed above (see also Notes 6 and 7 in the Notes to Financial Statements for further discussion on the use of derivative instruments and certain of the risks associated therewith).

A Fund’s use of leverage creates the opportunity for increased income for the Fund’s common shareholders, but also creates special risks. Leverage is a speculative technique that may expose a Fund to greater risk and increased costs. If shorter-term interest rates rise relative to the rate of return on a Fund’s portfolio, the interest and other costs 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 net asset value 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.

 

There can be no assurance that a Fund’s use of leverage will result in a higher yield on its common shares, and it may result in losses. Leverage creates several major types of risks for a Fund’s common shareholders, including (1) the likelihood of greater volatility of net asset value and market price of the Fund’s common shares, and of the investment return to the Fund’s common shareholders, than a comparable portfolio without leverage; (2) the possibility either that the Fund’s common share dividends will fall if the interest and other costs of leverage rise, or that dividends paid on the Fund’s common shares will fluctuate because such costs vary over time; and (3) the effects of leverage in a declining market or a rising interest rate environment, as leverage is likely to cause a greater decline in the net asset value of the Fund’s common shares than if the Fund were not leveraged and may result in a greater decline in the market value of the Fund’s common shares.

 

A Fund’s investments in and exposure to foreign securities involve special risks. For example, the value of these investments may decline in response to unfavorable political and legal developments, unreliable or untimely information or economic and financial instability. Foreign securities may experience more rapid and extreme changes in value than investments in securities of U.S. issuers. The securities markets of certain foreign countries are relatively small, with a limited number of companies representing a small number of industries. Issuers of foreign securities are usually not subject to the same degree of regulation as U.S. issuers.

 

Reporting, accounting, auditing and custody standards of foreign countries differ, in some cases significantly, from U.S. standards. Also, nationalization, expropriation or other confiscation, currency blockage,

 

 

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Important Information About the Funds (Cont.)

 

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.

 

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

 

The United States presidential administration’s enforcement of tariffs on goods from other countries, with a focus on China, has contributed to international trade tensions and may impact portfolio securities.

 

Investments in loans (including whole loans) are generally subject to risks similar to those of investments in other types of debt obligations, including, among others, credit risk, interest rate risk, variable and floating rate securities risk, and, as applicable, risks associated with mortgage-related 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.

 

Mortgage-related and other asset-backed securities 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 securities, making them more sensitive to changes in interest rates. As a result, in a period of rising interest rates, if a Fund holds mortgage-related securities, it may 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. This is known as extension risk. Mortgage-backed securities can be highly sensitive to rising interest rates, such that even small movements can cause an investing Fund to lose value. Mortgage-backed securities, and in particular those not backed by a government guarantee, are subject to credit risk. In addition, adjustable and fixed rate mortgage-related securities are subject to prepayment risk. When interest rates decline, borrowers may pay off their mortgages sooner than expected. This can reduce the returns of the Funds because the Funds may have to reinvest that money at the lower prevailing interest rates. The Funds’ investments in other asset-backed securities are subject to risks similar to those associated with mortgage-related securities, as well as additional risks associated with the nature of the assets and the servicing of those assets. Payment of principal and interest on asset-backed securities may be largely dependent upon the cash flows generated by the assets backing the securities, and asset-backed securities may not have the benefit of any security interest in the related assets. Additionally, investments in subordinate mortgage-backed and other asset-backed securities 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 securities 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. Subordinate mortgage-backed or asset-backed instruments are paid interest only to the extent that there are funds available to make payments. To the extent the collateral pool includes a large percentage of delinquent loans, there is a risk that interest payment on subordinate mortgage-backed or asset-backed instruments will not be fully paid. Investments in subordinate mortgage-backed and other asset-backed instruments may be subject to risks arising from delinquencies and foreclosures, thereby exposing its 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. There are multiple tranches of mortgage-backed and asset-backed instruments, offering investors various maturity and credit risk characteristics. Tranches are categorized as senior, mezzanine, and subordinated/equity or “first loss,” according to their degree of risk. The most senior tranche of a mortgage-backed or asset-backed instrument has the greatest collateralization and pays the lowest interest rate. If there are defaults or the collateral otherwise underperforms, scheduled payments to senior tranches take precedence over those of mezzanine

 

 

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tranches, and scheduled payments to mezzanine tranches take precedence over those to subordinated/equity tranches. Lower tranches represent lower degrees of credit quality and pay higher interest rates intended to compensate for the attendant risks. The return on the lower tranches is especially sensitive to the rate of defaults in the collateral pool. The lowest tranche (i.e., the “equity” or “residual” tranche) specifically receives the residual interest payments (i.e., money that is left over after the higher tranches have been paid and expenses of the issuing entities have been paid) rather than a fixed interest rate. 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 instrument.

 

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. Analysis of the creditworthiness of issuers of high yield securities may be more complex than for issuers of higher-quality debt obligations. 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 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 generally are less sensitive to interest rate changes but may decline in value if their interest rates do not rise as much, or as quickly, as interest rates in general. Conversely, floating rate securities will not generally increase in value if interest rates decline. Inverse floating rate securities may decrease in value if interest rates increase. Inverse floating rate securities may also exhibit greater price volatility than a fixed rate obligation with similar credit quality. When a Fund holds variable or floating rate securities, a decrease (or, in the case of inverse floating rate securities, an increase) in market interest rates will adversely affect the income received from such securities and the NAV of the Funds’ shares.

 

The global economic crisis brought several small countries in Europe to the brink of default and many other economies into recession and weakened the banking and financial sectors of many European

 

 

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Important Information About the Funds (Cont.)

 

countries. For example, the governments of Greece, Spain, Portugal, and the Republic of Ireland have all experienced large public budget deficits, the effects of which are still yet unknown and may slow the overall recovery of the European economies from the global economic crisis. In addition, due to large public deficits, some European countries may be dependent on assistance from other European governments and institutions or other central banks or supranational agencies such as the International Monetary Fund. Assistance may be dependent on a country’s implementation of reforms or reaching a certain level of performance. Failure to reach those objectives or an insufficient level of assistance could result in a deep economic downturn which could significantly affect the value of a Fund’s European investments. It is possible that one or more Economic and Monetary Union of the European Union member countries could abandon the euro and return to a national currency and/or that the euro will cease to exist as a single currency in its current form. The exit of any country out of the euro may have an extremely destabilizing effect on other eurozone countries and their economies and a negative effect on the global economy as a whole. Such an exit by one country may also increase the possibility that additional countries may exit the euro should they face similar financial difficulties. In June 2016, the United Kingdom approved a referendum to leave the European Union. Significant uncertainty remains in the market regarding the ramifications of that development, and the range and potential implications of possible political, regulatory, economic and market outcomes are difficult to predict.

 

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 1940 Act and are not subject to all of the investor protections of the 1940 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 breaches may involve unauthorized access to a Fund’s digital information systems (e.g., through “hacking” or malicious software coding), but may also result from outside attacks such as denial-of-service attacks (i.e., efforts to make network services unavailable to intended users). In addition, cyber security breaches involving a Fund’s third party service providers (including but not limited to advisers, sub-advisers, administrators, transfer agents, custodians,

 

 

8   PIMCO CLOSED-END FUNDS     


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distributors and other third parties), trading counterparties or issuers in which a Fund invests can also subject a Fund to many of the same risks associated with direct cyber security breaches. Moreover, cyber security breaches involving trading counterparties or issuers in which a Fund invests could adversely impact such counterparties or issuers and cause the Fund’s investment to lose value.

 

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.

 

Like with operational risk in general, the Funds have established business continuity plans and risk management systems designed to reduce the risks associated with cyber security. However, there are inherent limitations in these plans and systems, including that certain risks may not have been identified, in large part because different or unknown threats may emerge in the future. As such, there is no guarantee that such efforts will succeed, especially because the Funds do not directly control the cyber security systems of issuers in which a Fund may invest, trading counterparties or third party service providers to the Funds. 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.

 

The Funds may invest in securities and instruments that are economically tied to Russia. Investments in Russia are subject to various risks such as political, economic, legal, market and currency risks. The risks include uncertain political and economic policies, short-term market volatility, poor accounting standards, corruption and crime, an inadequate regulatory system, and unpredictable taxation. Investments in Russia are particularly subject to the risk that economic sanctions may be imposed by the United States and/or other countries. Such sanctions — which may impact companies in many sectors, including energy, financial services and defense, among others — may negatively impact the Funds’ performance and/or ability to achieve their investment objectives. The Russian securities market is characterized by limited volume of trading, resulting in difficulty in obtaining accurate prices. The Russian securities market, as compared to U.S. markets, has significant price volatility, less liquidity, a smaller market capitalization and a smaller number of traded securities. There may be little publicly available information about issuers. Settlement, clearing and registration of securities transactions are subject to risks because of

registration systems that may not be subject to effective government supervision. This may result in significant delays or problems in registering the transfer of securities. Russian securities laws may not recognize foreign nominee accounts held with a custodian bank, and therefore the custodian may be considered the ultimate owner of securities they hold for their clients. Ownership of securities issued by Russian companies is recorded by companies themselves and by registrars instead of through a central registration system. It is possible that the ownership rights of the Funds could be lost through fraud or negligence. While applicable Russian regulations impose liability on registrars for losses resulting from their errors, it may be difficult for the Funds to enforce any rights they may have against the registrar or issuer of the securities in the event of loss of share registration. Adverse currency exchange rates are a risk and there may be a lack of available currency hedging instruments. Investments in Russia may be subject to the risk of nationalization or expropriation of assets. Oil, natural gas, metals, and timber account for a significant portion of Russia’s exports, leaving the country vulnerable to swings in world prices.

 

The common shares of the Funds trade on the New York Stock Exchange. As with any stock, the price of a Fund’s common shares will fluctuate with market conditions and other factors. If you sell your common shares of a Fund, the price received may be more or less than your original investment.

 

Shares of closed-end investment management companies, such as the Funds, frequently trade at a discount from their net asset value and may trade at a price that is less than the initial offering price of such shares. Further, if a Fund’s shares trade at a price that is more than the initial offering price and/or the net asset value of such shares, including at a substantial premium and/or for an extended period of time, there is no assurance that any such premium will be sustained for any period of time and will not decrease, or that the shares will not trade at a discount to net asset value thereafter.

 

The Funds may be subject to various risks, including, but not limited to, the following: asset allocation risk, credit risk, stressed securities risk, distressed and defaulted securities risk, corporate bond risk, contingent convertible securities risk, high yield risk, market risk, issuer risk, liquidity risk, equity securities and related market risk, mortgage-related and other asset-backed securities risk, extension risk, prepayment risk, privately issued mortgage-related securities risk, mortgage market/ subprime risk, foreign (non-U.S.) investment risk, emerging markets risk, currency risk, redenomination risk, non-diversification risk, management risk, municipal bond risk, inflation-indexed security risk, senior debt risk, loans, participations and assignments risk, reinvestment risk, real estate risk, U.S. Government securities risk, foreign (non-U.S.) government securities risk, valuation risk, segregation and cover risk, focused investment risk, credit default

 

 

  SEMIANNUAL REPORT   DECEMBER 31, 2018   9


Table of Contents

Important Information About the Funds (Cont.)

 

swaps risk, event-linked securities risk, counterparty risk, preferred securities risk, confidential information access risk, other investment companies risk, private placements risk, inflation/deflation risk, regulatory risk, tax risk, recent economic conditions risk, market disruptions and geopolitical risk, potential conflicts of interest involving allocation of investment opportunities, repurchase agreements risk, securities lending risk, zero-coupon bond and payment-in-kind securities risk, portfolio turnover risk, smaller company risk, short sale risk and convertible securities risk. A description of certain of these risks is available in the Notes to Financial Statements of this report.

 

On each Fund Summary page in this Shareholder Report, the Average Annual Total Return table measures performance assuming that all dividend and capital gain distributions were reinvested. Total return is calculated by determining the percentage change in NAV or market price (as applicable) in the specified period. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total return for a period of more than one year represents the average annual total return. Performance at market price will differ from results at NAV. Although market price returns tend to reflect investment results over time, during shorter periods returns at market price can also be influenced by factors such as changing views about a Fund, market conditions, supply and demand for the Fund’s shares, or changes in the Fund’s dividends. Performance shown is net of fees and expenses.

 

The following table discloses the commencement of operations and diversification status of each Fund:

 

Fund Name         Commencement
of Operations
    Diversification
Status
 

PCM Fund, Inc.

      09/02/93       Diversified  

PIMCO Global StocksPLUS® & Income Fund

      05/31/05       Diversified  

PIMCO Income Opportunity Fund

      11/30/07       Diversified  

PIMCO Strategic Income Fund, Inc.

      02/24/94       Diversified  

PIMCO Dynamic Credit and Mortgage Income Fund

      01/31/13       Diversified  

PIMCO Dynamic Income Fund

      05/30/12       Diversified  

 

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

 

The Trustees/Directors1 are responsible generally for overseeing the management of the Funds. The Trustees authorize the Funds to enter into service agreements with the Investment Manager and other service providers in order to provide, and in some cases authorize service providers to procure through other parties, necessary or desirable services on behalf of the Funds. Shareholders are not parties to or third-party beneficiaries of such service agreements. Neither a Fund’s original or any subsequent prospectus or Statement of Additional Information (SAI), any press release or shareholder report, any contracts filed as exhibits to a

Fund’s registration statement, nor any other communications, disclosure documents or regulatory filings from or on behalf of a Fund creates a contract between or among any 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 or use a new prospectus or SAI with respect to a Fund, adopt and disclose new or amended policies and other changes in press releases and shareholder reports and/or amend, file and/or issue any other communications, disclosure documents or regulatory filings, and may amend or enter into any contracts to which a Fund is a party, and interpret the investment objective(s), policies, restrictions and contractual provisions applicable to any Fund, without shareholder input or approval, except in circumstances in which shareholder approval is specifically required by law (such as changes to fundamental investment policies) or where a shareholder approval requirement was specifically disclosed in a Fund’s prospectus, SAI or shareholder report and is otherwise still in effect.

 

PIMCO has adopted written proxy voting policies and procedures (“Proxy Policy”) as required by Rule 206(4)-6 under the Investment Advisers Act of 1940. The Proxy Policy has been adopted by the Funds as the policies and procedures that PIMCO will use when voting proxies on behalf of the Funds. A description of the policies and procedures that PIMCO uses to vote proxies relating to portfolio securities of each Fund, and information about how each Fund voted proxies relating to portfolio securities held during the most recent twelve-month period ended June 30, are available without charge, upon request, by calling the Funds at (844) 33-PIMCO, on the Funds’ website at www.pimco.com, and on the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.

 

Each Fund files a complete schedule of its portfolio holdings with the SEC for the first and third quarters of its fiscal year on Form N-Q. A copy of each Fund’s Form N-Q is available on the SEC’s website at http://www.sec.gov and is available without charge, upon request by calling the Funds at (844) 33-PIMCO and on the Funds’ website at www.pimco.com.

 

The SEC adopted a rule that, beginning in 2021, will generally allow funds to fulfill their obligation to deliver shareholder reports 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 still elect to receive a complete shareholder report in the mail. Instructions for electing to receive paper copies of the Fund’s shareholder reports going forward may be found on the front cover of this report.

 

 

 

1 

Hereinafter, the terms “Trustee” or “Trustees” used herein shall refer to a Director or Directors of applicable Funds.

 

10   PIMCO CLOSED-END FUNDS     


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PCM Fund, Inc.

 

  Symbol on NYSE -  PCM

 

Allocation Breakdown as of 12/31/2018§

 

Asset-Backed Securities

    45.7%  

Non-Agency Mortgage-Backed Securities

    29.1%  

Corporate Bonds & Notes

    9.0%  

Loan Participations and Assignments

    4.8%  

Short-Term Instruments

    4.7%  

U.S. Government Agencies

    3.5%  

Real Estate Investment Trusts

    1.1%  

Preferred Securities

    1.0%  

Other

    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, 2018)(1)

 

Market Price

    $10.15  

NAV

    $9.81  

Premium/(Discount) to NAV

    3.47%  

Market Price Distribution Rate(2)

    9.46%  

NAV Distribution Rate(2)

    9.79%  

Total Effective Leverage(3)

    39%  
 

 

Average Annual Total Return(1) for the period ended December 31, 2018  
    6 Month*     1 Year     5 Year     10 Year     Commencement
of Operations
(09/02/93)
 
Market Price     (7.22)%       (4.03)%       7.95%       17.41%       8.75%  
NAV     0.56%       4.65%       8.21%       18.04%       9.16%  

 

All Fund returns are net of fees and expenses.

 

* Cumulative return

 

(1) 

Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. 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.

 

(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 made on Form 1099 DIV sent to shareholders each January.

 

(3) 

Represents total effective leverage outstanding, as a percentage of total managed assets. Total effective leverage consists of preferred shares, reverse repurchase agreements and other borrowings, credit default swap notional and floating rate notes issued in tender option bond transactions, as applicable (collectively “Total Effective Leverage”). The Fund may engage in other transactions not included in Total Effective Leverage disclosed above that may give rise to a form of leverage, including certain derivative transactions. For the purpose of calculating Total Effective Leverage outstanding as a percentage of total managed assets, total managed assets refer to total assets (including assets attributable to Total Effective Leverage that may be outstanding) minus accrued liabilities (other than liabilities representing Total Effective Leverage).

 

Investment Objective and Strategy Overview

 

PCM Fund, Inc.’s primary investment objective is to achieve high current income. Capital gains from the disposition of investments are a secondary objective of the Fund.

 

Fund Insights at NAV

 

The following affected performance during the reporting period:

 

»  

Exposure to the intermediate portion of the U.S. yield curve contributed to absolute performance, as intermediate rates declined.

 

»  

Exposure to the U.S. dollar contributed to absolute performance, as the dollar appreciated against most major currencies.

 

»  

Exposure to commercial mortgage-backed securities contributed to absolute performance, as the asset class generated positive performance.

 

»  

Exposure to high yield corporate bonds detracted from absolute performance, as the asset class posted negative total returns.

 

»  

Exposure to non-agency residential mortgage-backed securities detracted from absolute performance, due to falling prices and security selection.

 

»  

Exposure to special situation corporate debt detracted from performance amid the broader weakness in corporate credit.

 

 

  SEMIANNUAL REPORT   DECEMBER 31, 2018   11


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PIMCO Global StocksPLUS® & Income Fund

 

  Symbol on NYSE -  PGP

 

Allocation Breakdown as of 12/31/2018§

 

U.S. Government Agencies

    25.1%  

Corporate Bonds & Notes

    23.7%  

Non-Agency Mortgage-Backed Securities

    17.8%  

Short-Term Instruments

    13.0%  

Asset-Backed Securities

    9.3%  

Preferred Securities

    2.6%  

Sovereign Issues

    2.5%  

Loan Participations and Assignments

    2.4%  

Real Estate Investment Trusts

    1.2%  

Municipal Bonds & Notes

    1.2%  

Other

    1.2%  
    

% 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, 2018)(1)

 

Market Price

    $11.68  

NAV

    $8.89  

Premium/(Discount) to NAV

    31.38%  

Market Price Distribution Rate(2)

    12.53%  

NAV Distribution Rate(2)

    16.47%  

Total Effective Leverage(3)

    33%  
 

 

Average Annual Total Return(1) for the period ended December 31, 2018  
    6 Month*     1 Year     5 Year     10 Year     Commencement
of Operations
(05/31/05)
 
Market Price     (17.53)%       (15.08)%       (2.41)%       14.84%       8.27%  
NAV     (8.97)%       (8.95)%       6.74%       19.27%       11.18%  

 

All Fund returns are net of fees and expenses.

 

* Cumulative return

 

(1) 

Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. 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.

 

(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 made on Form 1099 DIV sent to shareholders each January.

 

(3) 

Represents total effective leverage outstanding, as a percentage of total managed assets. Total effective leverage consists of preferred shares, reverse repurchase agreements and other borrowings, credit default swap notional and floating rate notes issued in tender option bond transactions, as applicable (collectively “Total Effective Leverage”). The Fund may engage in other transactions not included in Total Effective Leverage disclosed above that may give rise to a form of leverage, including certain derivative transactions. For the purpose of calculating Total Effective Leverage outstanding as a percentage of total managed assets, total managed assets refer to total assets (including assets attributable to Total Effective Leverage that may be outstanding) minus accrued liabilities (other than liabilities representing Total Effective Leverage).

 

Investment Objective and Strategy Overview

 

PIMCO Global StocksPLUS® & Income Fund’s primary investment objective is to seek total return comprised of current income, current gains and long-term capital appreciation.

 

Fund Insights at NAV

 

The following affected performance during the reporting period:

 

»  

The Fund’s exposure to equity index derivatives linked to the S&P 500 Index detracted from absolute returns, as the S&P 500 Index returned -6.85%.

 

»  

The Fund’s exposure to equity index derivatives linked to the MSCI EAFE Index detracted from absolute returns, as the MSCI EAFE Index returned -11.35%.

 

»  

A defensive options strategy involving written calls and purchased puts on the S&P 500 Index contributed to absolute performance, as the S&P 500 Index returned -6.85% during the period.

 

»  

U.S. duration strategies contributed to returns, driven by exposure to intermediate rates where yield decreased.

 

»  

Holdings of non-agency mortgages contributed to absolute returns, as this sector generated positive returns.

 

»  

Holdings of high yield corporate debt detracted from returns.

 

»  

Exposure to Argentina external bonds detracted from absolute returns, as spreads widened.

 

 

12   PIMCO CLOSED-END FUNDS     


Table of Contents

PIMCO Income Opportunity Fund

 

  Symbol on NYSE -  PKO

 

Allocation Breakdown as of 12/31/2018§

 

Corporate Bonds & Notes

    32.0%  

Asset-Backed Securities

    25.3%  

Non-Agency Mortgage-Backed Securities

    24.5%  

Loan Participations and Assignments

    5.9%  

Short-Term Instruments

    3.3%  

Sovereign Issues

    2.5%  

Preferred Securities

    1.6%  

U.S. Government Agencies

    1.6%  

Real Estate Investment Trusts

    1.2%  

Common Stocks

    1.2%  

Other

    0.9%  
    

% 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, 2018)(1)

 

Market Price

    $25.39  

NAV

    $23.72  

Premium/(Discount) to NAV

    7.04%  

Market Price Distribution Rate(2)

    8.98%  

NAV Distribution Rate(2)

    9.61%  

Total Effective Leverage(3)

    34%  
 

 

Average Annual Total Return(1) for the period ended December 31, 2018  
    6 Month*     1 Year     5 Year     10 Year     Commencement
of Operations
(11/30/07)
 
Market Price     (1.24)%       8.80%       9.79%       16.65%       12.02%  
NAV     0.65%       3.30%       8.49%       15.85%       11.81%  

 

All Fund returns are net of fees and expenses.

 

* Cumulative return

 

(1) 

Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. 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.

 

(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 made on Form 1099 DIV sent to shareholders each January.

 

(3) 

Represents total effective leverage outstanding, as a percentage of total managed assets. Total effective leverage consists of preferred shares, reverse repurchase agreements and other borrowings, credit default swap notional and floating rate notes issued in tender option bond transactions, as applicable (collectively “Total Effective Leverage”). The Fund may engage in other transactions not included in Total Effective Leverage disclosed above that may give rise to a form of leverage, including certain derivative transactions. For the purpose of calculating Total Effective Leverage outstanding as a percentage of total managed assets, total managed assets refer to total assets (including assets attributable to Total Effective Leverage that may be outstanding) minus accrued liabilities (other than liabilities representing Total Effective Leverage).

 

Investment Objective and Strategy Overview

 

PIMCO Income Opportunity Fund’s investment objective is to seek current income as a primary focus and also capital appreciation.

 

Fund Insights at NAV

 

The following affected performance during the reporting period:

 

»  

Exposure to the intermediate portion of the U.S. yield curve contributed to absolute performance, as intermediate rates declined.

 

»  

Exposure to the U.S. dollar contributed to absolute performance, as the dollar appreciated against most major currencies.

 

»  

Exposure to commercial mortgage-backed securities contributed to absolute performance, as the asset class generated positive performance.

 

»  

Exposure to high yield corporate bonds detracted from absolute performance, as the asset class posted negative total returns.

 

»  

Exposure to non-agency residential mortgage-backed securities detracted from absolute performance, due to falling prices and security selection.

 

»  

Exposure to special situation corporate debt detracted from performance amid the broader weakness in corporate credit.

 

 

  SEMIANNUAL REPORT   DECEMBER 31, 2018   13


Table of Contents

PIMCO Strategic Income Fund, Inc.

 

  Symbol on NYSE -  RCS

 

Allocation Breakdown as of 12/31/2018§

 

U.S. Government Agencies

    67.5%  

Non-Agency Mortgage-Backed Securities

    9.1%  

Corporate Bonds & Notes

    8.3%  

Asset-Backed Securities

    6.1%  

U.S. Treasury Obligations

    5.7%  

Loan Participations and Assignments

    1.5%  

Short-Term Instruments

    0.1%  

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, 2018)(1)

 

Market Price

    $9.68  

NAV

    $6.93  

Premium/(Discount) to NAV

    39.68%  

Market Price Distribution Rate(2)

    8.93%  

NAV Distribution Rate(2)

    12.47%  

Total Effective Leverage(3)

    42%  
 

 

Average Annual Total Return(1) for the period ended December 31, 2018  
    6 Month*     1 Year     5 Year     10 Year     Commencement
of Operations
(02/24/94)
 
Market Price     4.74%       15.91%       10.64%       13.58%       9.44%  
NAV     0.60%       0.93%       6.35%       13.15%       8.68%  

 

All Fund returns are net of fees and expenses.

 

* Cumulative return

 

(1) 

Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. 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.

 

(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 made on Form 1099 DIV sent to shareholders each January.

 

(3) 

Represents total effective leverage outstanding, as a percentage of total managed assets. Total effective leverage consists of preferred shares, reverse repurchase agreements and other borrowings, credit default swap notional and floating rate notes issued in tender option bond transactions, as applicable (collectively “Total Effective Leverage”). The Fund may engage in other transactions not included in Total Effective Leverage disclosed above that may give rise to a form of leverage, including certain derivative transactions. For the purpose of calculating Total Effective Leverage outstanding as a percentage of total managed assets, total managed assets refer to total assets (including assets attributable to Total Effective Leverage that may be outstanding) minus accrued liabilities (other than liabilities representing Total Effective Leverage).

 

Investment Objective and Strategy Overview

 

The primary investment objective of PIMCO Strategic Income Fund, Inc. is to generate a level of income that is higher than that generated by high quality, intermediate-term U.S. debt securities. The Fund also seeks capital appreciation to the extent consistent with this objective.

 

Fund Insights at NAV

 

The following affected performance during the reporting period:

 

»  

Exposure to the intermediate portion of the U.S. yield curve contributed to absolute performance, as intermediate rates declined.

 

»  

Exposure to the U.S. dollar contributed to absolute performance, as the dollar appreciated against most major currencies.

 

»  

Exposure to commercial mortgage-backed securities contributed to absolute performance, as the asset class generated positive performance.

 

»  

Exposure to high yield corporate bonds detracted from absolute performance, as the asset class posted negative total returns.

 

»  

Exposure to non-agency residential mortgage-backed securities detracted from absolute performance, due to falling prices and security selection.

 

»  

Exposure to investment grade corporate bonds detracted from absolute performance, as the asset class underperformed like-duration Treasuries.

 

 

14   PIMCO CLOSED-END FUNDS     


Table of Contents

PIMCO Dynamic Credit and Mortgage Income Fund

 

  Symbol on NYSE -  PCI

 

Allocation Breakdown as of 12/31/2018§

 

Asset-Backed Securities

    35.4%  

Non-Agency Mortgage-Backed Securities

    26.5%  

Corporate Bonds & Notes

    23.4%  

Loan Participations and Assignments

    4.2%  

U.S. Government Agencies

    2.5%  

Sovereign Issues

    2.0%  

Short-Term Instruments

    1.9%  

Preferred Securities

    1.6%  

Other

    2.5%  
    

% of Investments, at value.

 

  § 

Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any.

Fund Information (as of December 31, 2018)(1)

 

Market Price

    $21.05  

NAV

    $22.40  

Premium/(Discount) to NAV

    (6.03)%  

Market Price Distribution Rate(2)

    9.35%  

NAV Distribution Rate(2)

    8.79%  

Total Effective Leverage(3)

    47%  
 

 

Average Annual Total Return(1) for the period ended December 31, 2018  
    6 Month*     1 Year     5 Year     Commencement
of Operations
(01/31/13)
 
Market Price     (5.23)%       3.87%       10.03%       7.90%  
NAV     (0.09)%       4.89%       9.16%       9.27%  

 

All Fund returns are net of fees and expenses.

 

* Cumulative return

 

(1) 

Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. 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.

 

(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 made on Form 1099 DIV sent to shareholders each January.

 

(3) 

Represents total effective leverage outstanding, as a percentage of total managed assets. Total effective leverage consists of preferred shares, reverse repurchase agreements and other borrowings, credit default swap notional and floating rate notes issued in tender option bond transactions, as applicable (collectively “Total Effective Leverage”). The Fund may engage in other transactions not included in Total Effective Leverage disclosed above that may give rise to a form of leverage, including certain derivative transactions. For the purpose of calculating Total Effective Leverage outstanding as a percentage of total managed assets, total managed assets refer to total assets (including assets attributable to Total Effective Leverage that may be outstanding) minus accrued liabilities (other than liabilities representing Total Effective Leverage).

 

Investment Objective and Strategy Overview

 

PIMCO Dynamic Credit and Mortgage Income Fund’s primary investment objective is to seek current income and capital appreciation as a secondary objective.

 

Fund Insights at NAV

 

The following affected performance during the reporting period:

 

»  

Exposure to the intermediate portion of the U.S. yield curve contributed to absolute performance, as intermediate rates declined.

 

»  

Exposure to the U.S. dollar contributed to absolute performance, as the dollar appreciated against most major currencies.

 

»  

Exposure to commercial mortgage-backed securities contributed to absolute performance, as the asset class generated positive performance.

 

»  

Exposure to high yield corporate bonds detracted from absolute performance, as the asset class posted negative total returns.

 

»  

Exposure to non-agency residential mortgage-backed securities detracted from absolute performance, due to falling prices and security selection.

 

»  

Exposure to investment grade corporate bonds detracted from absolute performance, as the asset class underperformed like-duration Treasuries.

 

 

  SEMIANNUAL REPORT   DECEMBER 31, 2018   15


Table of Contents

PIMCO Dynamic Income Fund

 

  Symbol on NYSE -  PDI

 

Allocation Breakdown as of 12/31/2018§

 

Non-Agency Mortgage-Backed Securities

    39.2%  

Asset-Backed Securities

    25.7%  

Corporate Bonds & Notes

    21.0%  

Loan Participations and Assignments

    4.0%  

Short-Term Instruments

    3.2%  

U.S. Government Agencies

    2.6%  

Sovereign Issues

    1.8%  

Other

    2.5%  
    

% of Investments, at value.

 

  § 

Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any.

Fund Information (as of December 31, 2018)(1)

 

Market Price

    $29.18  

NAV

    $27.26  

Premium/(Discount) to NAV

    7.04%  

Market Price Distribution Rate(2)

    9.07%  

NAV Distribution Rate(2)

    9.71%  

Total Effective Leverage(3)

    42%  
 

 

Average Annual Total Return(1) for the period ended December 31, 2018  
    6 Month*     1 Year     5 Year     Commencement
of Operations
(05/30/12)
 
Market Price     (2.64)%       7.97%       14.10%       16.07%  
NAV     0.29%       5.79%       11.82%       15.90%  

 

All Fund returns are net of fees and expenses.

 

* Cumulative return

 

(1) 

Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. 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.

 

(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 made on Form 1099 DIV sent to shareholders each January.

 

(3) 

Represents total effective leverage outstanding, as a percentage of total managed assets. Total effective leverage consists of preferred shares, reverse repurchase agreements and other borrowings, credit default swap notional and floating rate notes issued in tender option bond transactions, as applicable (collectively “Total Effective Leverage”). The Fund may engage in other transactions not included in Total Effective Leverage disclosed above that may give rise to a form of leverage, including certain derivative transactions. For the purpose of calculating Total Effective Leverage outstanding as a percentage of total managed assets, total managed assets refer to total assets (including assets attributable to Total Effective Leverage that may be outstanding) minus accrued liabilities (other than liabilities representing Total Effective Leverage).

 

Investment Objective and Strategy Overview

 

PIMCO Dynamic Income Fund’s primary investment objective is to seek current income, and capital appreciation is a secondary objective.

 

Fund Insights at NAV

 

The following affected performance during the reporting period:

 

»  

Exposure to the intermediate portion of the U.S. yield curve contributed to absolute performance, as intermediate rates declined.

 

»  

Exposure to the U.S. dollar contributed to absolute performance, as the dollar appreciated against most major currencies.

 

»  

Exposure to commercial mortgage-backed securities contributed to absolute performance, as the asset class generated positive performance.

 

»  

Exposure to high yield corporate bonds detracted from absolute performance, as the asset class posted negative total returns.

 

»  

Exposure to non-agency residential mortgage-backed securities detracted from absolute performance, due to falling prices and security selection.

 

»  

Exposure to investment grade corporate bonds detracted from absolute performance, as the asset class underperformed like-duration Treasuries.

 

 

16   PIMCO CLOSED-END FUNDS     


Table of Contents

 

 

 

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  SEMIANNUAL REPORT   DECEMBER 31, 2018   17


Table of Contents

Financial Highlights

 

          Investment Operations     Less Distributions(b)  
                                                 
Selected Per Share Data for the Year or Period Ended^:   Net Asset
Value
Beginning
of Year
or Period
    Net
Investment
Income (loss)(a)
    Net
Realized/
Unrealized
Gain (Loss)
    Total     From Net
Investment
Income
    From Net
Realized
Capital
Gains
    Tax Basis
Return of
Capital
    Total  

PCM Fund, Inc.

               

07/01/2018 - 12/31/2018+

  $ 10.23     $ 0.38     $ (0.32   $ 0.06     $ (0.48   $ 0.00     $ 0.00     $ (0.48

06/30/2018

    10.15       0.88       0.18       1.06       (0.98     0.00       0.00       (0.98

06/30/2017

    9.71       0.98       0.92       1.90       (1.46     0.00       0.00       (1.46

06/30/2016

    10.68       1.22       (1.23     (0.01     (0.96     0.00       0.00       (0.96

01/01/2015 - 06/30/2015(e)

    10.72       0.44       0.00       0.44       (0.48     0.00       0.00       (0.48 )(i) 

12/31/2014

    11.17       0.94       (0.34     0.60       (1.05     0.00       0.00       (1.05

12/31/2013

    11.35       1.12       (0.20     0.92       (1.10     0.00       0.00       (1.10

PIMCO Global StocksPLUS® & Income Fund

               

07/01/2018 - 12/31/2018+

  $   10.50     $   0.57     $   (1.45   $   (0.88   $   (0.73   $ 0.00     $ 0.00     $   (0.73

06/30/2018

    11.18       1.09       (0.16     0.93       (1.43     0.00       (0.18     (1.61

06/30/2017

    9.76       1.15       2.14       3.29       (1.67     0.00       (0.20     (1.87

06/30/2016

    12.88       1.15       (2.07     (0.92     (2.02     0.00       (0.18     (2.20

04/01/2015 - 06/30/2015(f)

    12.82       0.34       0.27       0.61       (0.55     0.00       0.00       (0.55 )(i) 

03/31/2015

    14.72       1.15       (0.85     0.30       (2.20     0.00       0.00       (2.20

03/31/2014

    14.32       1.39       1.21       2.60       (2.20     0.00       0.00       (2.20

PIMCO Income Opportunity Fund

               

07/01/2018 - 12/31/2018+

  $ 25.06     $ 1.01     $ (0.89   $ 0.12     $ (1.51   $ 0.00     $ 0.00     $ (1.51

06/30/2018

    25.17       2.18       (0.01     2.17       (2.28     0.00       0.00       (2.28

06/30/2017

    22.59       2.28       2.92       5.20       (2.56     0.00       (0.06     (2.62

06/30/2016

    25.94       2.33       (2.89     (0.56     (2.28       (0.51     0.00       (2.79

11/01/2014 - 06/30/2015(g)

    28.38       1.54       (0.86     0.68       (2.34     (0.77       (0.01     (3.12 )(i) 

10/31/2014

    28.67       2.71       (0.12     2.59       (2.88     0.00       0.00       (2.88

10/31/2013

    27.86       2.87       0.77       3.64       (2.83     0.00       0.00       (2.83

PIMCO Strategic Income Fund, Inc.

               

07/01/2018 - 12/31/2018+

  $ 7.32     $ 0.36     $ (0.32   $ 0.04     $ (0.43   $ 0.00     $ 0.00     $ (0.43

06/30/2018

    7.75       0.77       (0.34     0.43       (0.86     0.00       0.00       (0.86

06/30/2017

    7.89       0.70       0.08       0.78       (0.80     0.00       (0.12     (0.92

06/30/2016

    8.58       0.76       (0.45     0.31       (1.00     0.00       0.00       (1.00

02/01/2015 - 06/30/2015(h)

    8.57       0.30       0.11       0.41       (0.40     0.00       0.00       (0.40 )(i) 

01/31/2015

    9.24       0.90       (0.55     0.35       (1.02     0.00       0.00       (1.02

01/31/2014

    9.66       0.99       (0.30     0.69       (1.11     0.00       0.00       (1.11

PIMCO Dynamic Credit and Mortgage Income Fund (Consolidated)

               

07/01/2018 - 12/31/2018+

  $ 23.74     $ 1.01     $ (1.02   $ (0.01   $ (1.33   $ 0.00     $ 0.00     $ (1.33

06/30/2018

    22.91       1.95       0.85       2.80       (1.97     0.00       0.00       (1.97

06/30/2017

    20.43       1.62       3.46       5.08       (2.60     0.00       0.00       (2.60

06/30/2016

    23.00       2.01       (2.40     (0.39     (2.18     0.00       0.00       (2.18

01/01/2015 - 06/30/2015(e)

    22.83       0.76       0.35       1.11       (0.94     0.00       0.00       (0.94 )(i) 

12/31/2014

    24.04       1.79       (0.53     1.26       (2.47     0.00       0.00       (2.47

01/31/2013 - 12/31/2013

    23.88       1.33       0.76       2.09       (1.68     (0.24     0.00       (1.92

PIMCO Dynamic Income Fund (Consolidated)

               

07/01/2018 - 12/31/2018+

  $ 28.98     $ 1.34     $ (1.34   $ 0.00     $ (1.82   $ 0.00     $ 0.00     $ (1.82

06/30/2018

    28.32       2.95       0.18       3.13       (2.65     0.00       0.00       (2.65

06/30/2017

    26.56       2.60       3.18       5.78       (4.10     0.00       0.00       (4.10

06/30/2016

    31.38       3.87       (3.45     0.42       (4.25     (0.99     0.00       (5.24

04/01/2015 - 06/30/2015(f)

    30.74       0.80       0.47       1.27       (0.63     0.00       0.00       (0.63 )(i) 

03/31/2015

    32.11       3.25       (0.49     2.76       (4.13     0.00       0.00       (4.13

03/31/2014

    30.69       3.70       1.24       4.94       (3.29     (0.23     0.00       (3.52

 

^

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

+

Unaudited

*

Annualized

(a) 

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

(b) 

The tax characterization of distributions is determined in accordance with Federal income tax regulations. 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.

(c) 

Total investment return is calculated assuming a purchase of a share at the market price on the first day and a sale of a share at the market price on the last day of each year reported. Dividends and distributions, if any, are assumed, for purposes of this calculation, to be reinvested at prices obtained under the Funds’ dividend reinvestment plan. Total investment return does not reflect brokerage commissions in connection with the purchase or sale of Fund shares.

(d) 

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.

(e) 

Fiscal year end changed from December 31st to June 30th.

(f) 

Fiscal year end changed from March 31st to June 30th.

(g) 

Fiscal year end changed from October 31st to June 30th.

(h) 

Fiscal year end changed from January 31st to June 30th.

(i) 

Total distributions for the period ended June 30, 2015 may be lower than prior fiscal years due to fiscal year end changes resulting in a reduction of the amount of days in the period ended June 30, 2015.

 

18   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


Table of Contents
            Common Share     Ratios/Supplemental Data  
                                          Ratios to Average Net Assets        
Increase
resulting  from
at-the-market
offering
    Offering
Cost
Charged to
Paid in Capital
    Net Asset
Value End of
Year or
Period
    Market Price
End of Year
or Period
    Total
Return(c)
    Net Assets
End of Year or
Period (000s)
    Expenses(d)     Expenses
Excluding
Waivers(d)
    Expenses
Excluding
Interest
Expense(d)
    Expenses
Excluding
Interest
Expense and
Waivers(d)
    Net
Investment
Income (Loss)
    Portfolio
Turnover
Rate
 
                     
$ N/A     $ N/A     $ 9.81     $ 10.15       (7.22 )%    $ 113,711       3.23 %*      3.23 %*      1.40 %*      1.40 %*      7.46 %*      6
  N/A       N/A       10.23       11.45       11.48       118,512       3.06       3.06       1.43       1.43       8.55       9  
  N/A       N/A       10.15       11.23       33.80       117,402       3.05       3.05       1.54       1.54       9.81       13  
  N/A       N/A       9.71       9.72       6.91       112,099       2.69       2.69       1.58       1.58       12.25       12  
  N/A       N/A       10.68       10.05       (1.28     123,235       2.26     2.26     1.54     1.54     8.32     20  
  N/A       N/A       10.72       10.65       0.34       123,633       1.89       1.89       1.40       1.40       8.38       11  
  N/A       N/A       11.17       11.65       6.49       128,672       2.05       2.05       1.52       1.52       9.75       6  
                     
$ N/A     $ N/A     $ 8.89     $ 11.68       (17.53 )%    $ 96,242       2.31 %*      2.31 %*      1.45 %*      1.45 %*      11.22 %*      206
  N/A       N/A       10.50       14.98       (8.96     113,204       2.36       2.36       1.48       1.48       9.84       63  
  N/A       N/A       11.18       18.40       5.06       119,538       3.20       3.20       1.88       1.88       11.09       25  
  N/A       N/A       9.76       19.53       31.38       103,627       2.75       2.75       1.82       1.82       10.56       26  
  N/A       N/A       12.88       16.92       (21.82     135,468       2.34     2.34     1.72     1.72     10.35     3  
  N/A       N/A       12.82       22.27       4.05       134,594       2.30       2.30       1.78       1.78       8.29       92  
  N/A       N/A       14.72       23.67       19.44       153,393       1.94       1.94       1.67       1.67       9.62       197  
                     
$   0.05     $ 0.00     $ 23.72     $ 25.39       (1.24 )%    $ 370,699       2.85 %*      2.85 %*      1.54 %*      1.54 %*      8.11 %*      11
  N/A       N/A       25.06       27.31       11.13       379,378       2.99       2.99       1.64       1.64       8.58       17  
  N/A       N/A       25.17       26.85       30.30       378,706       2.94       2.94       1.72       1.72       9.57       28  
  N/A       N/A       22.59       23.00       7.87       338,292       2.63       2.63       1.73       1.73       9.99       16  
  N/A       N/A       25.94       24.20       0.22       388,353       2.43     2.43     1.79     1.79     8.93     14  
  N/A       N/A       28.38       27.26       4.39       424,632       2.01       2.01       1.65       1.65       9.44       175  
  N/A       N/A       28.67       28.90       6.81       426,561       1.93       1.93       1.66       1.66       10.03       65  
                     
$ N/A     $ N/A     $ 6.93     $ 9.68       4.74   $ 299,621       3.06 %*      3.06 %*      0.97 %*      0.97 %*      9.95 %*      10
  N/A       N/A       7.32       9.68       4.59       314,540       1.85       1.85       0.97       0.97       10.12       5  
  N/A       N/A       7.75       10.19       17.12       329,673       1.52       1.52       0.97       0.97       8.94       8  
  N/A       N/A       7.89       9.61       24.14       332,051       1.27       1.27       0.96       0.96       9.43       39  
  N/A       N/A       8.58       8.69       (5.81     357,692       1.16     1.16     0.96     0.96     8.58     17  
  N/A       N/A       8.57       9.65       5.92       355,942       1.18       1.18       0.98       0.98       10.01       90  
  N/A       N/A       9.24       10.12       (4.58     379,762       1.39       1.39       1.00       1.00       10.48       208  
                     
$ N/A     $ N/A     $ 22.40     $ 21.05       (5.23 )%    $ 3,077,538       4.49 %*      4.49 %*      2.08 %*      2.08 %*      8.49 %*      8
  N/A       N/A       23.74       23.57       15.03       3,257,195       4.20       4.20       2.10       2.10       8.30       22  
  N/A       N/A       22.91       22.32       32.10       3,144,154       3.80       3.80       2.09       2.09       7.41       32  
  N/A       N/A       20.43       19.13       6.69       2,804,003       3.20       3.20       2.03       2.03       9.63       26  
  N/A       N/A       23.00       20.18       2.23       3,155,689       2.63     2.63     1.97     1.97     6.71     31  
  N/A       (0.00     22.83       20.65       2.68       3,132,146       2.36       2.36       1.91       1.91       7.29       35  
  N/A       (0.01     24.04       22.48       (2.79     3,298,673       1.52     1.52     1.42     1.42     6.06     76  
                     
$ 0.10     $ 0.00     $   27.26     $   29.18       (2.64 )%    $   1,536,711       3.80 %*      3.80 %*      1.85 %*      1.85 %*      9.29 %*      6
  0.18       (0.00     28.98       31.87       15.54       1,575,523       4.07       4.07       2.01       2.01       10.26       9  
  0.08          0.00       28.32       30.18       27.07       1,372,674       4.08       4.08       2.14       2.14       9.58       20  
  N/A       N/A       26.56       27.57       13.75       1,222,499       3.60       3.60       2.12       2.12       13.67       13  
  N/A       N/A       31.38       29.21       2.87       1,426,891       2.83     2.83     2.01     2.01     10.23     5  
  N/A       N/A       30.74       29.00       9.04       1,397,987       3.12       3.12       2.12       2.12       9.98       10  
  N/A       N/A       32.11       30.32       9.62       1,458,961       3.15       3.15       2.17       2.17       11.90       18  

 

  SEMIANNUAL REPORT   DECEMBER 31, 2018   19


Table of Contents

Statements of Assets and Liabilities

 

December 31, 2018 (Unaudited)

 

(Amounts in thousands, except per share amounts)   PCM Fund,
Inc.
    PIMCO
Global
StocksPLUS® &
Income
Fund
    PIMCO
Income
Opportunity
Fund
    PIMCO
Strategic
Income Fund,
Inc.
 

Assets:

       

Investments, at value

                               

Investments in securities*

  $   174,140     $   183,727     $   525,515     $   1,216,167  

Financial Derivative Instruments

                               

Exchange-traded or centrally cleared

    247       1,043       818       25  

Over the counter

    0       1,345       264       149  

Cash

    0       5       80       0  

Deposits with counterparty

    2,508       3,802       7,916       14,137  

Foreign currency, at value

    0       48       408       732  

Receivable for investments sold

    2,313       537       7,905       2,048  

Receivable for mortgage dollar rolls

    0       0       0       370,939  

Receivable for TBA investments sold

    0       43,692       0       0  

Receivable for Fund shares sold

    0       0       1,041       0  

Interest and/or dividends receivable

    942       1,601       4,920       4,166  

Other assets

    11       1       116       2  

Total Assets

    180,161       235,801       548,983       1,608,365  

Liabilities:

       

Borrowings & Other Financing Transactions

                               

Payable for reverse repurchase agreements

  $ 61,313     $ 39,441     $ 162,210     $ 196,488  

Payable for sale-buyback transactions

    0       0       0       56,304  

Payable for mortgage dollar rolls

    0       0       0       370,939  

Financial Derivative Instruments

                               

Exchange-traded or centrally cleared

    135       2,294       512       1,214  

Over the counter

    1,139       7,302       1,969       2,401  

Payable for investments purchased

    2,689       3,102       9,581       980  

Payable for TBA investments purchased

    0       84,152       0       665,557  

Payable for unfunded loan commitments

    50       71       0       0  

Deposits from counterparty

    65       1,752       579       11,230  

Distributions payable to common shareholders

    927       1,320       2,958       3,112  

Overdraft due to custodian

    0       0       0       50  

Accrued management fees

    129       122       468       234  

Other liabilities

    3       3       7       235  

Total Liabilities

    66,450       139,559       178,284       1,308,744  

Net Assets

  $ 113,711     $ 96,242     $ 370,699     $ 299,621  

Net Asset Consist of:

       

Shares:

                               

Par value^

  $ 0     $ 0     $ 0     $ 0  

Paid in capital in excess of par

    110,906       136,411       359,468       359,291  

Distributable earnings (accumulated loss)

    2,805       (40,169     11,231       (59,670

Net Assets Applicable to Common Shareholders

  $ 113,711     $ 96,242     $ 370,699     $ 299,621  

Common Shares Outstanding

    11,588       10,823       15,628       43,221  

Net Asset Value Per Common Share

  $ 9.81     $ 8.89     $ 23.72     $ 6.93  

Cost of investments in securities

  $ 169,009     $ 187,732     $ 515,088     $ 1,236,839  

Cost of foreign currency held

  $ 0     $ 48     $ 431     $ 726  

Cost or premiums of financial derivative instruments, net

  $ (584   $ 5,867     $ (8,972   $ 8,188  

* Includes repurchase agreements of:

  $ 6,923     $ 10,711     $ 13,971     $ 1,698  

 

  

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)

 

20   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


Table of Contents

Consolidated Statements of Assets and Liabilities

 

December 31, 2018 (Unaudited)

 

(Amounts in thousands, except per share amounts)   PIMCO
Dynamic
Credit and
Mortgage
Income Fund
    PIMCO
Dynamic
Income Fund
 

Assets:

   

Investments, at value

               

Investments in securities*

  $   5,479,170     $   2,531,499  

Investments in Affiliates

    10,091       0  

Financial Derivative Instruments

               

Exchange-traded or centrally cleared

    6,230       2,669  

Over the counter

    3,018       971  

Cash

    290       0  

Deposits with counterparty

    111,939       28,158  

Foreign currency, at value

    0       1,894  

Receivable for investments sold

    67,665       2,986  

Interest and/or dividends receivable

    43,303       18,549  

Other assets

    8       185  

Total Assets

    5,721,714       2,586,911  

Liabilities:

   

Borrowings & Other Financing Transactions

               

Payable for reverse repurchase agreements

  $ 2,568,264     $ 1,006,534  

Financial Derivative Instruments

               

Exchange-traded or centrally cleared

    4,338       2,378  

Over the counter

    22,133       13,976  

Payable for investments purchased

    13,763       10,889  

Payable for unfunded loan commitments

    1,294       0  

Deposits from counterparty

    5,156       1,492  

Distributions payable to common shareholders

    22,537       12,419  

Overdraft due to custodian

    1,230       67  

Accrued management fees

    5,396       2,417  

Other liabilities

    65       28  

Total Liabilities

    2,644,176       1,050,200  

Net Assets

  $ 3,077,538     $ 1,536,711  

Net Asset Consist of:

   

Shares:

               

Par value^

  $ 1     $ 1  

Paid in capital in excess of par

    3,277,820       1,415,426  

Distributable earnings (accumulated loss)

    (200,283     121,284  

Net Assets Applicable to Common Shareholders

  $ 3,077,538     $ 1,536,711  

Common Shares Outstanding

    137,367       56,384  

Net Asset Value Per Common Share

  $ 22.40     $ 27.26  

Cost of investments in securities

  $ 5,465,654     $ 2,390,096  

Cost of investments in Affiliates

  $ 7,639     $ 0  

Cost of foreign currency held

  $ 0     $ 1,897  

Cost or premiums of financial derivative instruments, net

  $ (7,792   $ (35,120

* Includes repurchase agreements of:

  $ 71,865     $ 59,388  

 

  

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

^

($0.00001 per share)

 

  SEMIANNUAL REPORT   DECEMBER 31, 2018   21


Table of Contents

Statements of Operations

 

Six Months Ended December 31, 2018 (Unaudited)                        
(Amounts in thousands)   PCM Fund,
Inc.
    PIMCO
Global
StocksPLUS® &
Income
Fund
    PIMCO
Income
Opportunity
Fund
    PIMCO
Strategic
Income Fund,
Inc.
 

Investment Income:

       

Interest, net of foreign taxes*

  $ 5,910     $ 6,919     $ 19,489     $ 19,883  

Dividends

    399       520       1,577       218  

Total Income

    6,309       7,439       21,066         20,101  

Expenses:

       

Management fees

    811       786       2,905       1,476  

Trustee fees and related expenses

    6       7       21       16  

Interest expense

    1,082       472       2,511       3,226  

Miscellaneous expense

    11       4       34       3  

Total Expenses

    1,910       1,269       5,471       4,721  

Net Investment Income (Loss)

    4,399       6,170       15,595       15,380  

Net Realized Gain (Loss):

       

Investments in securities

    (12     1,298       8,045       (6,390

Exchange-traded or centrally cleared financial derivative instruments

    1,184       4,589       (47     150  

Over the counter financial derivative instruments

    194       1,817       2,897       2,554  

Foreign currency

    0       (119     (79     (181

Net Realized Gain (Loss)

    1,366       7,585       10,816       (3,867

Net Change in Unrealized Appreciation (Depreciation):

       

Investments in securities

      (5,111       (7,887       (27,773       (1,381

Exchange-traded or centrally cleared financial derivative instruments

    221       (8,103     3,307       (7,747

Over the counter financial derivative instruments

    (205     (7,367     (338     (910

Foreign currency assets and liabilities

    (3     (53     18       55  

Net Change in Unrealized Appreciation (Depreciation)

    (5,098     (23,410     (24,786     (9,983

Net Increase (Decrease) in Net Assets Resulting from Operations

  $ 667     $ (9,655   $ 1,625     $ 1,530  

* Foreign tax withholdings

  $ 0     $ 0     $ 0     $ 1  

 

  

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

 

22   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


Table of Contents

Consolidated Statements of Operations

 

Six Months Ended December 31, 2018 (Unaudited)            
(Amounts in thousands)   PIMCO
Dynamic
Credit and
Mortgage
Income Fund
    PIMCO
Dynamic
Income Fund
 

Investment Income:

   

Interest, net of foreign taxes*

  $ 200,045     $ 104,201  

Dividends

    11,020       1,583  

Total Income

    211,065       105,784  

Expenses:

   

Management fees

    33,607       14,837  

Trustee fees and related expenses

    183       84  

Interest expense

    39,203       15,743  

Miscellaneous expense

    42       27  

Total Expenses

    73,035       30,691  

Net Investment Income (Loss)

    138,030       75,093  

Net Realized Gain (Loss):

   

Investments in securities

    23,531       8,662  

Exchange-traded or centrally cleared financial derivative instruments

    6,526       13,116  

Over the counter financial derivative instruments

    33,313       12,568  

Foreign currency

    (4,293     (494

Net Realized Gain (Loss)

    59,077       33,852  

Net Change in Unrealized Appreciation (Depreciation):

   

Investments in securities

    (208,781     (99,914

Investments in Affiliates

    (765     0  

Exchange-traded or centrally cleared financial derivative instruments

    20,344       (6,386

Over the counter financial derivative instruments

    (8,014     (3,023

Foreign currency assets and liabilities

    (2,961     (1,014

Net Change in Unrealized Appreciation (Depreciation)

      (200,177       (110,337

Net Increase (Decrease) in Net Assets Resulting from Operations

  $ (3,070   $ (1,392

* Foreign tax withholdings

  $ 10     $ 5  

 

  

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

 

  SEMIANNUAL REPORT   DECEMBER 31, 2018   23


Table of Contents

Statements of Changes in Net Assets

 

   

PCM Fund, Inc.

    PIMCO
Global StocksPLUS® &
Income Fund
 
(Amounts in thousands)   Six Months Ended
December 31, 2018
(Unaudited)
    Year Ended
June 30, 2018
    Six Months Ended
December 31, 2018
(Unaudited)
    Year Ended
June 30, 2018
 

Increase (Decrease) in Net Assets from:

       

Operations:

       

Net investment income (loss)

  $ 4,399     $ 10,158     $ 6,170     $ 11,727  

Net realized gain (loss)

    1,366       3,921       7,585       5,180  

Net change in unrealized appreciation (depreciation)

    (5,098     (1,808     (23,410     (7,188

Net Increase (Decrease) in Net Assets Resulting from Operations

    667       12,271       (9,655     9,719  

Distributions to Common Shareholders:

       

From net investment income and/or net realized capital gains*

    (5,561     (11,341     (7,908     (15,394

Tax basis return of capital

    0       0       0       (1,915

Total Distributions to Common Shareholders(a)

    (5,561     (11,341     (7,908     (17,309

Common Share Transactions**:

       

Net proceeds from at-the-market offering

    0       0       0       0  

At-the-market offering costs

    0       0       0       0  

Issued as reinvestment of distributions

    93       180       601       1,256  

Total increase (decrease) in Net assets

    (4,801     1,110       (16,962     (6,334

Net Assets Applicable to Common Shareholders:

       

Beginning of period

    118,512       117,402       113,204       119,538  

End of period

  $   113,711     $   118,512     $   96,242     $   113,204  

** Common Share Transactions:

       

Shares sold

    0       0       0       0  

Shares issued as reinvestment of distributions

    8       17       44       85  

Net increase (decrease) in common shares outstanding

    8       17       44       85  

 

  

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

*

See Note 2, New Accounting Pronouncements, in the Notes to Financial Statements for more information.

(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  


Table of Contents

 

PIMCO
Income Opportunity Fund

    PIMCO
Strategic Income Fund, Inc.
 
Six Months Ended
December 31, 2018
(Unaudited)
    Year Ended
June 30, 2018
    Six Months Ended
December 31, 2018
(Unaudited)
    Year Ended
June 30, 2018
 
     
     
$ 15,595     $ 32,852     $ 15,380     $ 32,874  
  10,816       6,410       (3,867     14,833  
  (24,786     (6,591     (9,983     (29,935
  1,625       32,671       1,530       17,772  
     
  (23,323     (34,421     (18,629     (36,951
  0       0       0       0  
  (23,323     (34,421     (18,629     (36,951
     
  11,277       0       0       0  
  31       0       0       0  
  1,711       2,422       2,180       4,046  
  (8,679     672       (14,919     (15,133
     
  379,378       378,706       314,540       329,673  
$   370,699     $   379,378     $   299,621     $   314,540  
     
  420       0       0       0  
  68       95       235       451  
  488       95       235       451  

 

  SEMIANNUAL REPORT   DECEMBER 31, 2018   25


Table of Contents

Consolidated Statements of Changes in Net Assets

 

    PIMCO
Dynamic Credit and
Mortgage Income Fund
    PIMCO
Dynamic Income Fund
 
(Amounts in thousands)   Six Months Ended
December 31, 2018
(Unaudited)
    Year Ended
June 30, 2018
    Six Months Ended
December 31, 2018
(Unaudited)
    Year Ended
June 30, 2018
 

Increase (Decrease) in Net Assets from:

       

Operations:

       

Net investment income (loss)

  $ 138,030     $ 268,053     $ 75,093     $ 149,825  

Net realized gain (loss)

    59,077       14,283       33,852       294  

Net change in unrealized appreciation (depreciation)

    (196,961     100,860       (110,337     7,049  

Net Increase (Decrease) in Net Assets Resulting from Operations

    146       383,196       (1,392     157,168  

Distributions to Common Shareholders:

       

From net investment income and/or net realized capital gains*

    (183,233     (270,155     (102,118     (134,192

Tax basis return of capital

    0       0       0       0  

Total Distributions to Common Shareholders(a)

    (183,233     (270,155     (102,118     (134,192

Common Share Transactions**:

       

Net proceeds from at-the-market offering

    0       0       54,997       166,334  

At-the-market offering costs

    0       0       6       (104

Issued as reinvestment of distributions

    3,430       0       9,695       13,643  

Net increase (decrease) resulting from common share transactions

    3,430       0       64,698       179,873  

Total increase (decrease) in net assets applicable to common shareholders

    (179,657     113,041       (38,812     202,849  

Net Assets Applicable to Common Shareholders:

       

Beginning of period

    3,257,195       3,144,154       1,575,523       1,372,674  

End of period

  $   3,077,538     $   3,257,195     $   1,536,711     $   1,575,523  

** Common Share Transactions:

       

Shares sold

    0       0       1,702       5,434  

Shares issued as reinvestment of distributions

    146       0       321       467  

Net increase (decrease) in common shares outstanding

    146       0       2,023       5,901  

 

  

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

*

See Note 2, New Accounting Pronouncements, in the Notes to Financial Statements for more information.

(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.

 

26   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


Table of Contents

Statements of Cash Flows

 

Six Months Ended December 31, 2018 (Unaudited)                        
(Amounts in thousands)   PCM Fund, Inc.    

PIMCO Global

StocksPLUS®  &
Income Fund

    PIMCO Income
Opportunity Fund
    PIMCO Strategic
Income Fund, Inc.
 

Cash Flows Provided by (Used for) Operating Activities:

       

Net increase (decrease) in net assets resulting from operations

  $ 667     $ (9,655   $ 1,625     $ 1,530  

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

    (15,048     (348,225     (76,593     (154,660

Proceeds from sales of long-term securities

    16,100       340,609       73,820       135,035  

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

    1,324       (11,057     710       1,733  

(Increase) decrease in deposits with counterparty

    (736     589       2,452       (1,426

(Increase) decrease in receivable for investments sold

    592       (35,055     3,246       (707

(Increase) decrease in interest and/or dividends receivable

    (82     (23     (280     (892

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

    1,251       (1,996     2,795       (6,147

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

    78       1,749       2,558       2,516  

(Increase) decrease in other assets

    0       0       (31     0  

Increase (decrease) in payable for investments purchased

    1,496       44,948       6,292       (83,959

Increase (decrease) in payable for unfunded loan commitments

    (2,210     (2,605     (6,252     (198

Increase (decrease) in deposits from counterparty

    (68     290       (867     7,129  

Increase (decrease) in accrued management fees

    (10     (13     (36     (21

Proceeds from (Payments on) foreign currency transactions

    (3     (108     (44     (126

Increase (decrease) in other liabilities

    0       1       (3     (113

Net Realized (Gain) Loss

                               

Investments in securities

    12       (1,298     (8,045     6,390  

Exchange-traded or centrally cleared financial derivative instruments

    (1,184     (4,589     47       (150

Over the counter financial derivative instruments

    (194     (1,817     (2,897     (2,554

Foreign currency

    0       119       79       181  

Net Change in Unrealized (Appreciation) Depreciation

                               

Investments in securities

    5,111       7,887       27,773       1,381  

Exchange-traded or centrally cleared financial derivative instruments

    (221     8,103       (3,307     7,747  

Over the counter financial derivative instruments

    205       7,367       338       910  

Foreign currency assets and liabilities

    3       53       (18     (55

Non Cash Payment in Kind

    (286     (309     (751     (20

Net amortization (accretion) on investments

    (180     (229     (2,069     (259

Net Cash Provided by (Used for) Operating Activities

    6,617       (5,264     20,542       (86,735

Cash Flows Received from (Used for) Financing Activities:

       

Proceeds from shares sold

    0       0       10,236       0  

Net at-the-market offering

    0       0       31       0  

Increase (decrease) in overdraft due to custodian

    0       (168     0       50  

Cash distributions paid*

    (5,467     (7,302     (21,531     (16,432

Proceeds from reverse repurchase agreements

    81,448       92,227       400,112       710,345  

Payments on reverse repurchase agreements

      (82,599       (79,851       (410,681     (617,046

Proceeds from sale-buyback transactions

    0       0       0       2,349,495  

Payments on sale-buyback transactions

    0       0       0       (2,341,173

Proceeds from mortgage dollar rolls

    0       0       0       3,849,924  

Payments on mortgage dollar rolls

    0       0       0         (3,849,924

Net Cash Received from (Used for) Financing Activities

    (6,618     4,906       (21,833     85,239  

Net Increase (Decrease) in Cash and Foreign Currency

    (1     (358     (1,291     (1,496

Cash and Foreign Currency:

       

Beginning of period

    1       411       1,779       2,228  

End of period

  $ 0     $ 53     $ 488     $ 732  

* Reinvestment of distributions

  $ 93     $ 601     $ 1,711     $ 2,180  

Supplemental Disclosure of Cash Flow Information:

       

Interest expense paid during the period

  $ 1,067     $ 422     $ 2,632     $ 2,866  

 

 

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, 2018   27


Table of Contents

Consolidated Statements of Cash Flows

 

Six Months Ended December 31, 2018 (Unaudited)            
(Amounts in thousands)   PIMCO
Dynamic
Credit and
Mortgage
Income Fund
    PIMCO
Dynamic
Income Fund
 

Cash Flows Provided by (Used for) Operating Activities:

   

Net increase (decrease) in net assets resulting from operations

  $ (3,070   $ (1,392

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

    (685,692     (311,007

Proceeds from sales of long-term securities

    644,022       244,465  

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

    57,879       63,249  

(Increase) decrease in deposits with counterparty

    7,507       (2,552

(Increase) decrease in receivable for investments sold

    37,144       3,277  

(Increase) decrease in interest and/or dividends receivable

    (5,143     (3,231

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

    24,069       6,243  

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

    34,230       12,803  

(Increase) decrease in other assets

    0       1  

Increase (decrease) in payable for investments purchased

    (78,864     (16,752

Increase (decrease) in payable for unfunded loan commitments

    (33,541     (32,252

Increase (decrease) in deposits from counterparty

    (13,265     (2,558

Increase (decrease) in accrued management fees

    (311     (106

Proceeds from (Payments on) foreign currency transactions

    (3,844     (444

Increase (decrease) in other liabilities

    10       (1

Net Realized (Gain) Loss

               

Investments in securities

    (23,531     (8,662

Exchange-traded or centrally cleared financial derivative instruments

    (6,526     (13,116

Over the counter financial derivative instruments

    (33,313     (12,568

Foreign currency

    4,293       494  

Net Change in Unrealized (Appreciation) Depreciation

               

Investments in securities

    208,781       99,914  

Investments in Affiliates

    765       0  

Exchange-traded or centrally cleared financial derivative instruments

    (20,344     6,386  

Over the counter financial derivative instruments

    8,014       3,023  

Foreign currency assets and liabilities

    2,961       1,014  

Non Cash Payment in Kind

    (6,877     (154

Net amortization (accretion) on investments

    (21,434     (10,631

Net Cash Provided by (Used for) Operating Activities

    93,920       25,443  

Cash Flows Received from (Used for) Financing Activities:

   

Proceeds from shares sold

    1       55,680  

Net at-the-market offering

    0       6  

Increase (decrease) in overdraft due to custodian

    1,230       58  

Cash distributions paid*

    (179,780     (91,896

Proceeds from reverse repurchase agreements

    5,372,158       1,796,105  

Payments on reverse repurchase agreements

      (5,296,459       (1,786,499

Net Cash Received from (Used for) Financing Activities

    (102,850     (26,546

Net Increase (Decrease) in Cash and Foreign Currency

    (8,930     (1,103

Cash and Foreign Currency:

   

Beginning of period

    9,220       2,997  

End of period

  $ 290     $ 1,894  

* Reinvestment of distributions

  $ 3,429     $ 9,695  

Supplemental Disclosure of Cash Flow Information:

   

Interest expense paid during the period

  $ 38,156     $ 16,224  

 

 

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.

 

28   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


Table of Contents

Schedule of Investments PCM Fund, Inc.

 

December 31, 2018 (Unaudited)

 

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

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
INVESTMENTS IN SECURITIES 153.1%

 

LOAN PARTICIPATIONS AND ASSIGNMENTS 7.4%

 

Community Health Systems, Inc.

 

5.957% due 01/27/2021

  $     126     $     121  

Diamond Resorts Corp.

 

6.272% due 09/02/2023

      648         606  

Envision Healthcare Corp.

 

6.273% due 10/10/2025

      100         94  

Financial & Risk U.S. Holdings, Inc.

 

6.272% due 10/01/2025

      200         188  

Forbes Energy Services LLC

 

5.000% - 9.000% due 04/13/2021

      597         599  

Frontier Communications Corp.

 

6.280% due 06/15/2024

      99         92  

iHeartCommunications, Inc.

 

TBD% due 01/30/2019 ^(c)

      3,162         2,114  

TBD% due 07/30/2019 ^(c)

      40         27  

IRB Holding Corp.

 

5.682% - 6.053% due 02/05/2025

      170         162  

McDermott Technology Americas, Inc.

 

7.522% due 05/12/2025

      399         373  

MH Sub LLC

 

6.254% due 09/13/2024

      20         19  

Multi Color Corp.

 

4.522% due 10/31/2024 «

      3         3  

NCI Building Systems, Inc.

 

6.175% due 04/12/2025 «

      10         9  

Neiman Marcus Group Ltd. LLC

 

5.630% due 10/25/2020

      855         729  

PetSmart, Inc.

 

5.380% due 03/11/2022

      20         16  

Sequa Mezzanine Holdings LLC

 

7.408% due 11/28/2021 «

      139         133  

11.520% due 04/28/2022 «

      800         768  

Starfruit Finco B.V

 

5.599% due 10/01/2025 «

      100         94  

Univision Communications, Inc.

 

5.272% due 03/15/2024

      2,116         1,924  

Valeant Pharmaceuticals International, Inc.

 

5.129% due 11/27/2025

      30         28  

Verscend Holding Corp.

 

7.022% due 08/27/2025

      30         29  

West Corp.

 

6.527% due 10/10/2024

      9         8  

Westmoreland Coal Co.

 

TBD% - 10.896% (LIBOR03M + 8.250%) due 05/21/2019 µ

      273         279  
       

 

 

 

Total Loan Participations and Assignments (Cost $9,553)

      8,415  
 

 

 

 
CORPORATE BONDS & NOTES 13.8%

 

BANKING & FINANCE 4.9%

 

Athene Holding Ltd.

 

4.125% due 01/12/2028

      10         9  

AXA Equitable Holdings, Inc.

 

4.350% due 04/20/2028

      24         23  

5.000% due 04/20/2048

      14         12  

Cantor Fitzgerald LP

 

7.875% due 10/15/2019 (j)

      740         762  

CBL & Associates LP

 

5.950% due 12/15/2026

      2         2  

Fortress Transportation & Infrastructure Investors LLC

 

6.500% due 10/01/2025

      50         47  

6.750% due 03/15/2022

      74         74  

Freedom Mortgage Corp.

 

8.250% due 04/15/2025

      2         2  

Hunt Cos., Inc.

 

6.250% due 02/15/2026

      6         5  

Intrepid Aviation Group Holdings LLC

 

8.500% due 08/15/2021 (j)

      1,580         1,568  

iStar, Inc.

 

4.625% due 09/15/2020

      3         3  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

5.250% due 09/15/2022

  $     10     $     9  

Jefferies Finance LLC

 

7.500% due 04/15/2021

      387         388  

Kennedy-Wilson, Inc.

 

5.875% due 04/01/2024

      14         13  

LoanCore Capital Markets LLC

 

6.875% due 06/01/2020 (j)

      1,200         1,201  

MetLife, Inc.

 

5.875% due 03/15/2028 •(g)

      2         2  

Nationstar Mortgage LLC

 

6.500% due 07/01/2021

      146         143  

Navient Corp.

 

5.875% due 03/25/2021 (j)

      465         447  

6.500% due 06/15/2022

      16         15  

Newmark Group, Inc.

 

6.125% due 11/15/2023

      14         14  

Oppenheimer Holdings, Inc.

 

6.750% due 07/01/2022

      10         10  

Provident Funding Associates LP

 

6.375% due 06/15/2025

      6         5  

Springleaf Finance Corp.

 

5.625% due 03/15/2023

      200         185  

6.125% due 05/15/2022 (j)

      131         128  

6.875% due 03/15/2025

      25         22  

7.750% due 10/01/2021 (j)

      150         151  

Toll Road Investors Partnership LP

 

0.000% due 02/15/2045 (f)

      1,174         297  

WeWork Cos., Inc.

 

7.875% due 05/01/2025

      14         13  
       

 

 

 
          5,550  
       

 

 

 
INDUSTRIALS 8.8%

 

Associated Materials LLC

 

9.000% due 01/01/2024 (j)

      1,838         1,783  

Charter Communications Operating LLC

 

4.200% due 03/15/2028

      27         25  

Chesapeake Energy Corp.

 

5.686% (US0003M + 3.250%) due 04/15/2019 ~

      10         10  

Clear Channel Worldwide Holdings, Inc.

 

7.625% due 03/15/2020

      200         198  

7.625% due 03/15/2020 (j)

      700         685  

Cleveland-Cliffs, Inc.

 

4.875% due 01/15/2024

      6         6  

Community Health Systems, Inc.

 

5.125% due 08/01/2021 (j)

      529         493  

6.250% due 03/31/2023 (j)

      1,896           1,730  

8.625% due 01/15/2024

      136         135  

CVS Pass-Through Trust

 

5.880% due 01/10/2028

      1,140         1,202  

DAE Funding LLC

 

4.000% due 08/01/2020

      2         2  

4.500% due 08/01/2022

      10         10  

5.000% due 08/01/2024

      28         27  

5.250% due 11/15/2021

      100         99  

5.750% due 11/15/2023

      100         99  

Diamond Resorts International, Inc.

 

7.750% due 09/01/2023

      20         19  

10.750% due 09/01/2024 (j)

      500         451  

Envision Healthcare Corp.

 

8.750% due 10/15/2026

      382         331  

Exela Intermediate LLC

 

10.000% due 07/15/2023

      23         22  

Fresh Market, Inc.

 

9.750% due 05/01/2023 (j)

      350         254  

Full House Resorts, Inc.

 

8.575% due 01/31/2024 «

      100         92  

General Electric Co.

 

2.200% due 01/09/2020

      48         47  

3.100% due 01/09/2023

      17         16  

3.150% due 09/07/2022

      20         19  

5.000% due 01/21/2021 •(g)

      56         43  

5.550% due 05/04/2020

      11         11  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

5.550% due 01/05/2026

  $     41     $     40  

5.875% due 01/14/2038

      4         4  

6.150% due 08/07/2037

      2         2  

6.875% due 01/10/2039

      10         10  

Hilton Domestic Operating Co., Inc.

 

5.125% due 05/01/2026

      25         24  

iHeartCommunications, Inc.

 

9.000% due 12/15/2019 ^(c)

      463         313  

9.000% due 03/01/2021 ^(c)

      374         252  

Kronos Acquisition Holdings, Inc.

 

9.000% due 08/15/2023

      200         154  

Marriott Ownership Resorts, Inc.

 

6.500% due 09/15/2026

      14         14  

Ortho-Clinical Diagnostics, Inc.

 

6.625% due 05/15/2022

      60         54  

PetSmart, Inc.

 

5.875% due 06/01/2025

      22         16  

Radiate Holdco LLC

 

6.875% due 02/15/2023

      10         9  

Refinitiv U.S. Holdings, Inc.

 

6.250% due 05/15/2026

      22         21  

Sunoco LP

 

4.875% due 01/15/2023

      10         10  

T-Mobile USA, Inc.

 

4.750% due 02/01/2028

      5         5  

Transocean Pontus Ltd.

 

6.125% due 08/01/2025

      28         27  

Triumph Group, Inc.

 

4.875% due 04/01/2021

      18         16  

5.250% due 06/01/2022

      4         4  

UAL Pass-Through Trust

 

6.636% due 01/02/2024

      473         492  

Univision Communications, Inc.

 

5.125% due 05/15/2023

      40         36  

5.125% due 02/15/2025

      28         25  

ViaSat, Inc.

 

5.625% due 09/15/2025

      18         17  

VOC Escrow Ltd.

 

5.000% due 02/15/2028

      10         9  

WellCare Health Plans, Inc.

 

5.375% due 08/15/2026

      16         15  

Westmoreland Coal Co.

 

8.750% due 01/01/2022 ^(c)

      1,225         475  

Wyndham Destinations, Inc.

 

3.900% due 03/01/2023

      14         13  

5.750% due 04/01/2027

      178         164  
       

 

 

 
            10,030  
       

 

 

 
UTILITIES 0.1%

 

AT&T, Inc.

 

4.900% due 08/15/2037

      70         66  

Pacific Gas & Electric Co.

 

2.450% due 08/15/2022

      16         14  

2.950% due 03/01/2026

      11         9  

3.250% due 09/15/2021

      4         4  

3.250% due 06/15/2023

      5         4  

3.500% due 10/01/2020

      25         24  

3.750% due 02/15/2024

      4         4  

3.750% due 08/15/2042

      2         1  

4.250% due 05/15/2021

      2         2  

Southern California Edison Co.

 

3.650% due 03/01/2028

      2         2  

5.750% due 04/01/2035

      2         2  

6.650% due 04/01/2029

      4         4  
       

 

 

 
          136  
       

 

 

 

Total Corporate Bonds & Notes (Cost $16,957)

    15,716  
 

 

 

 
CONVERTIBLE BONDS & NOTES 0.0%

 

INDUSTRIALS 0.0%

 

Caesars Entertainment Corp.

 

5.000% due 10/01/2024

      28         34  
       

 

 

 

Total Convertible Bonds & Notes (Cost $51)

    34  
 

 

 

 
 

 

See Accompanying Notes   SEMIANNUAL REPORT   DECEMBER 31, 2018   29


Table of Contents

Schedule of Investments PCM Fund, Inc. (Cont.)

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
MUNICIPAL BONDS & NOTES 0.8%

 

ARKANSAS 0.1%

 

Little Rock Municipal Property Owners Multipurpose Improvement District No. 10, Arkansas Special Tax Bonds, Series 2007

 

7.200% due 03/01/2032

  $     165     $     160  
       

 

 

 
WEST VIRGINIA 0.7%

 

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

 

7.467% due 06/01/2047

      800         785  
       

 

 

 

Total Municipal Bonds & Notes (Cost $919)

    945  
 

 

 

 
U.S. GOVERNMENT AGENCIES 5.3%

 

Fannie Mae

 

6.056% due 07/25/2029 •

      170         180  

8.256% due 07/25/2029 •

      230         265  

Freddie Mac

 

0.000% due 04/25/2045 - 11/25/2050 (b)(f)

      2,907         2,126  

0.100% due 05/25/2020 - 11/25/2050 (a)

      42,322         118  

0.200% due 04/25/2045 (a)

      1,136         0  

0.524% due 01/25/2021 ~(a)

      2,542         24  

0.661% due 10/25/2020 ~(a)

      8,175         77  

2.011% due 11/25/2045 ~(a)

      1,027         146  

3.615% due 06/25/2041 ~(a)

      10,500         840  

4.118% due 04/25/2025 ~

      1,300         1,175  

7.656% due 10/25/2029 •

      500         562  

10.056% due 12/25/2027 •

      448         520  
       

 

 

 

Total U.S. Government Agencies (Cost $5,631)

      6,033  
 

 

 

 
NON-AGENCY MORTGAGE-BACKED SECURITIES 44.6%

 

Adjustable Rate Mortgage Trust

 

4.229% due 01/25/2036 ^~

      161         150  

Banc of America Alternative Loan Trust

 

6.100% due 04/25/2037 ^~

      176         173  

Banc of America Funding Trust

 

3.711% due 12/20/2034 ~

      336         268  

3.773% due 03/20/2036 ~

      97         91  

5.806% due 03/25/2037 ^~

      99         92  

7.000% due 10/25/2037 ^

      601         480  

Banc of America Mortgage Trust

 

4.309% due 06/25/2035 ~

      100         97  

4.553% due 06/20/2031 ~

      388         396  

4.587% due 11/25/2034 ~

      123         125  

Bancorp Commercial Mortgage Trust

 

6.150% due 08/15/2032 •(j)

      2,300         2,316  

Barclays Commercial Mortgage Securities Trust

 

7.455% due 08/15/2027 •(j)

      900         890  

BCAP LLC Trust

 

2.501% due 07/26/2036 ~

      87         71  

Bear Stearns ALT-A Trust

 

2.676% due 04/25/2037 •(j)

      796         615  

3.654% due 05/25/2036 ^~

      251         233  

3.772% due 05/25/2036 ~

      43         35  

3.806% due 01/25/2047 ~

      42         37  

3.848% due 08/25/2036 ^~

      481         480  

3.867% due 08/25/2036 ^~

      282         187  

3.877% due 07/25/2035 ^~

      152         133  

3.939% due 11/25/2036 ^~

      726         601  

4.383% due 09/25/2034 ~

      98         96  

Bear Stearns Commercial Mortgage Securities Trust

 

5.657% due 10/12/2041 ~(j)

      1,009         954  

5.707% due 04/12/2038 ~

      40         40  

BRAD Resecuritization Trust

 

2.187% due 03/12/2021 «

      1,879         83  

6.550% due 03/12/2021 «

      351         352  

CBA Commercial Small Balance Commercial Mortgage

 

5.540% due 01/25/2039 ^Ø

      338         284  

CD Commercial Mortgage Trust

 

5.398% due 12/11/2049 ~

      32         23  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

CD Mortgage Trust

 

5.688% due 10/15/2048 (j)

  $     1,448     $     738  

Chase Mortgage Finance Trust

 

6.000% due 03/25/2037 ^

      251         205  

Citigroup Commercial Mortgage Trust

 

5.592% due 12/10/2049 ~(j)

      681         461  

Citigroup Mortgage Loan Trust

 

4.297% due 11/25/2035 ~

      1,868         1,458  

4.318% due 11/25/2036 ^~

      107         103  

4.641% due 08/25/2035 ^~

      68         62  

Citigroup Mortgage Loan Trust, Inc.

 

4.100% due 10/25/2035 ~

      536         407  

Citigroup Mortgage Loan Trust, Inc. Mortgage Pass-Through Certificates

 

4.191% due 09/25/2035 ^~

      166         142  

CitiMortgage Alternative Loan Trust

 

5.500% due 04/25/2022 ^

      20         19  

Commercial Mortgage Asset Trust

 

6.000% due 11/17/2032

      114         114  

Commercial Mortgage Loan Trust

 

6.050% due 12/10/2049 ~

      857         526  

Commercial Mortgage Trust

 

6.126% due 07/10/2046 ~(j)

      690         704  

Countrywide Alternative Loan Trust

 

2.786% due 02/25/2037 •

      239         217  

2.796% due 02/25/2036 ^•

      805         663  

3.056% due 10/25/2037 •

      4,778         1,451  

3.157% due 12/25/2035 •(j)

      1,357         1,198  

5.500% due 03/25/2035

      551         405  

6.000% due 11/25/2035 ^

      176         60  

6.000% due 04/25/2036 ^(j)

      3,299           2,496  

Countrywide Home Loan Mortgage Pass-Through Trust

 

3.146% due 03/25/2035 •

      163         145  

3.837% due 09/20/2036 ^~

      117         101  

4.058% due 09/25/2047 ^~

      428         400  

4.376% due 03/25/2046 ^•(j)

      845         546  

4.592% due 02/20/2036 ^•

      10         8  

6.000% due 05/25/2037 ^

      297         230  

Credit Suisse First Boston Mortgage Securities Corp.

 

7.000% due 02/25/2033

      61         66  

Credit Suisse Mortgage Capital Certificates

 

2.781% due 11/30/2037 ~

      2,900         2,538  

Credit Suisse Mortgage Capital Mortgage-Backed Trust

 

5.896% due 04/25/2036 Ø

      241         160  

6.000% due 07/25/2036

      1,330         1,088  

6.500% due 05/25/2036 ^

      171         100  

First Horizon Alternative Mortgage Securities Trust

 

4.158% due 08/25/2035 ^~

      29         5  

First Horizon Mortgage Pass-Through Trust

 

3.934% due 04/25/2035 ~

      40         40  

GCCFC Commercial Mortgage Trust

 

5.505% due 03/10/2039 ~(j)

      313         152  

GE Commercial Mortgage Corp. Trust

 

5.606% due 12/10/2049 ~

      312         294  

GS Mortgage Securities Corp.

 

4.591% due 10/10/2032 ~

      1,000         900  

GS Mortgage Securities Trust

 

1.354% due 08/10/2043 ~(a)

      13,439         226  

2.209% due 05/10/2045 ~(a)

      4,179         177  

5.622% due 11/10/2039 (j)

      729         629  

GSR Mortgage Loan Trust

 

4.152% due 03/25/2047 ^~(j)

      1,250         1,128  

HarborView Mortgage Loan Trust

 

2.970% due 01/19/2036 •

      736         580  

IndyMac Mortgage Loan Trust

 

3.306% due 11/25/2034 •

      110         104  

3.457% due 05/25/2036 ~

      169         125  

4.222% due 06/25/2037 ~

      288         266  

JPMorgan Alternative Loan Trust

 

6.500% due 03/25/2036 ^ (j)

      1,172         1,006  

JPMorgan Chase Commercial Mortgage Securities Corp.

 

1.676% due 03/12/2039 ~(a)

      193         1  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

JPMorgan Chase Commercial Mortgage Securities Trust

 

0.518% due 02/15/2046 ~(a)

  $     59,583     $     663  

5.590% due 01/12/2043 ~

      117         117  

JPMorgan Mortgage Trust

 

4.570% due 07/25/2035 ~

      66         67  

LB-UBS Commercial Mortgage Trust

 

5.350% due 09/15/2040 ~(j)

      1,200         1,208  

5.407% due 11/15/2038 ^ (j)

      343         265  

5.562% due 02/15/2040 ^~(j)

      239         147  

5.769% due 02/15/2040 ~

      135         135  

Lehman Mortgage Trust

 

5.000% due 08/25/2021 ^

      141         140  

5.785% due 04/25/2036 ^~

      155         140  

6.000% due 05/25/2037 ^

      341         339  

MASTR Adjustable Rate Mortgages Trust

 

4.244% due 11/25/2035 ^~(j)

      429         348  

MASTR Asset Securitization Trust

 

6.000% due 06/25/2036 ^•(j)

      394         375  

Merrill Lynch Mortgage Investors Trust

 

2.926% due 07/25/2030 •

      92         87  

2.975% due 11/25/2029 •

      98         96  

4.674% due 11/25/2035 •

      136         137  

Merrill Lynch Mortgage Trust

 

5.791% due 06/12/2050 ~(j)

      4         4  

Morgan Stanley Capital Trust

 

0.138% due 11/12/2049 ~(a)

      6,011         23  

5.399% due 12/15/2043 (j)

      352         270  

6.121% due 06/11/2049 ~

      68         68  

Morgan Stanley Mortgage Loan Trust

 

4.425% due 01/25/2035 ^~

      269         221  

6.000% due 08/25/2037 ^

      240         186  

Morgan Stanley Resecuritization Trust

 

3.925% due 03/26/2037 ~

      5,455         5,091  

Mortgage Equity Conversion Asset Trust

 

4.000% due 07/25/2060 «

      198         184  

Motel 6 Trust

 

9.382% due 08/15/2019 •(j)

      1,531         1,557  

Regal Trust

 

2.515% due 09/29/2031 •

      24         24  

Residential Accredit Loans, Inc. Trust

 

4.753% due 01/25/2036 ^~(j)

      360         322  

6.000% due 08/25/2035 ^

      262         241  

6.500% due 09/25/2037 ^

      253         219  

Residential Asset Securitization Trust

 

6.000% due 03/25/2037 ^

      224         142  

Residential Funding Mortgage Securities, Inc. Trust

 

6.000% due 06/25/2036 ^

      233         223  

Structured Adjustable Rate Mortgage Loan Trust

 

3.790% due 04/25/2036 ^~

      333         278  

3.959% due 01/25/2036 ^~

      316         235  

4.411% due 09/25/2036 ^~

      149         136  

Structured Asset Mortgage Investments Trust

 

2.716% due 08/25/2036 ^•

      826         763  

TBW Mortgage-Backed Trust

 

6.000% due 07/25/2036 ^

      149         112  

Wachovia Bank Commercial Mortgage Trust

 

0.854% due 10/15/2041 ~(a)

      1,136         0  

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

      1,989         1,875  

WaMu Mortgage Pass-Through Certificates Trust

 

2.579% due 11/25/2046 •

      454         447  

2.996% due 06/25/2044 •

      472         463  

3.645% due 12/25/2036 ^~(j)

      341         334  

Washington Mutual Mortgage Pass-Through Certificates Trust

 

6.500% due 08/25/2036 ^(j)

      1,355         1,024  

Wells Fargo Alternative Loan Trust

 

5.500% due 07/25/2022

      17         17  

Wells Fargo-RBS Commercial Mortgage Trust

 

0.783% due 02/15/2044 ~(a)

      14,152         197  
       

 

 

 

Total Non-Agency Mortgage-Backed Securities (Cost $47,553)

      50,666  
 

 

 

 
 

 

30   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


Table of Contents

 

December 31, 2018 (Unaudited)

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
ASSET-BACKED SECURITIES 69.9%

 

Airspeed Ltd.

 

2.725% due 06/15/2032 •

  $     387     $     372  

Asset-Backed Securities Corp. Home Equity Loan Trust

 

3.601% due 02/25/2035 •(j)

      3,374         3,406  

4.231% due 12/25/2034 •(j)

      1,659         1,651  

5.729% (US0001M + 3.250%) due 06/21/2029 ~

      128         127  

Bayview Financial Acquisition Trust

 

2.786% due 12/28/2036 •

      81         80  

Bear Stearns Asset-Backed Securities Trust

 

2.886% due 04/25/2036 •

      2,377         2,781  

2.886% due 06/25/2036 •

      6         6  

4.240% due 07/25/2036 ~

      346         350  

5.500% due 12/25/2035

      42         37  

Bombardier Capital Mortgage Securitization Corp.

 

7.830% due 06/15/2030 ~

      1,185         405  

Centex Home Equity Loan Trust

 

3.256% due 01/25/2035 •(j)

      1,643         1,601  

Chrysler Capital Auto Receivables Trust

 

0.000% due 01/16/2023 «(f)

      1         338  

Citigroup Mortgage Loan Trust

 

2.666% due 12/25/2036 •(j)

      1,604         1,027  

2.726% due 12/25/2036 •

      877         444  

2.956% due 11/25/2045 •(j)

      4,086         4,038  

3.206% due 11/25/2046 •

      1,900         1,431  

Citigroup Mortgage Loan Trust, Inc.

 

2.766% due 03/25/2037 •(j)

      3,733         3,372  

Conseco Finance Securitizations Corp.

 

7.960% due 05/01/2031

      358         211  

9.163% due 03/01/2033 ~

      848         787  

Countrywide Asset-Backed Certificates

 

2.636% due 12/25/2036 ^•(j)

      1,172         1,079  

2.646% due 06/25/2035 •(j)

      2,452         2,228  

2.646% due 06/25/2047 ^•(j)

      2,737         2,479  

2.656% due 04/25/2047 ^•(j)

      948         908  

2.706% due 06/25/2037 ^•(j)

      781         704  

2.746% due 05/25/2036 •(j)

      8,438           6,021  

4.156% due 06/25/2035 •(j)

      4,000         3,562  

Countrywide Asset-Backed Certificates Trust

 

2.776% due 09/25/2046 •

      4,948         3,332  

4.381% due 10/25/2035 •

      2,422         1,894  

Crecera Americas LLC

 

5.563% due 08/31/2020 •

      1,900         1,902  

EMC Mortgage Loan Trust

 

3.556% due 05/25/2040 •

      524         526  

3.806% due 02/25/2041 •

      318         313  

Fremont Home Loan Trust

 

2.686% due 04/25/2036 •

      932         748  

GE Capital Mortgage Services, Inc. Trust

 

6.705% due 04/25/2029 ~

      84         70  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

GSAMP Trust

 

4.256% due 12/25/2034 •

  $     1,969     $     1,180  

4.306% due 06/25/2035 •

      2,200         2,134  

Harley Marine Financing LLC

 

7.869% due 05/15/2043

      1,000         705  

Home Equity Mortgage Loan Asset-Backed Trust

 

2.746% due 04/25/2037 •(j)

      4,701         3,532  

HSI Asset Securitization Corp. Trust

 

2.616% due 04/25/2037 •(j)

      3,690         2,085  

MASTR Asset-Backed Securities Trust

 

2.616% due 08/25/2036 •(j)

      3,227         1,706  

Morgan Stanley ABS Capital, Inc. Trust

 

3.286% due 12/25/2034 •

      158         152  

Morgan Stanley Home Equity Loan Trust

 

3.571% due 05/25/2035 •

      1,978         1,185  

National Collegiate Commutation Trust

 

0.000% due 03/25/2038 •

      3,473         1,960  

People’s Financial Realty Mortgage Securities Trust

 

2.636% due 09/25/2036 •

      1,518         437  

Renaissance Home Equity Loan Trust

 

7.238% due 09/25/2037 ^Ø(j)

      3,974         2,344  

Residential Asset Securities Corp. Trust

 

3.196% due 08/25/2035 •(j)

      4,350         4,018  

Securitized Asset-Backed Receivables LLC Trust

 

2.936% due 01/25/2035 •

      1,004         943  

2.956% due 10/25/2035 •(j)

      5,500         5,277  

SoFi Professional Loan Program LLC

 

0.000% due 03/25/2036 «(f)

      10         130  

0.000% due 01/25/2039 (f)

      1,000         379  

0.000% due 05/25/2040 (f)

      1,000         517  

0.000% due 09/25/2040 (f)

      339         219  

Southern Pacific Secured Asset Corp.

 

2.846% due 07/25/2029 •

      4         4  

Structured Asset Investment Loan Trust

 

4.231% due 10/25/2034 •

      1,986         1,950  

7.006% due 10/25/2033 •

      68         67  

UCFC Manufactured Housing Contract

 

7.900% due 01/15/2028 ^~

      330         324  

UPS Capital Business Credit

 

8.205% due 04/15/2026 «•

      1,856         39  
       

 

 

 

Total Asset-Backed Securities (Cost $73,259)

      79,517  
 

 

 

 
        SHARES            
COMMON STOCKS 0.9%

 

CONSUMER DISCRETIONARY 0.4%

 

Caesars Entertainment Corp. (d)

      71,398         485  
       

 

 

 
ENERGY 0.1%

 

Forbes Energy Services Ltd. (d)(h)

      35,625         89  
       

 

 

 
        SHARES         MARKET
VALUE
(000S)
 
UTILITIES 0.4%

 

TexGen Power LLC «

      9,914     $     397  
       

 

 

 

Total Common Stocks (Cost $2,910)

    971  
 

 

 

 
WARRANTS 0.0%

 

INDUSTRIALS 0.0%

 

Sequa Corp. - Exp. 04/28/2024 «

      118,000         28  
       

 

 

 

Total Warrants (Cost $0)

    28  
 

 

 

 
PREFERRED SECURITIES 1.5%

 

INDUSTRIALS 1.5%

 

Sequa Corp.

 

9.000% «

      2,480         1,656  
       

 

 

 

Total Preferred Securities (Cost $2,451)

    1,656  
 

 

 

 
REAL ESTATE INVESTMENT TRUSTS 1.7%

 

REAL ESTATE 1.7%

 

VICI Properties, Inc.

      104,988         1,972  
       

 

 

 

Total Real Estate Investment Trusts (Cost $1,538)

    1,972  
 

 

 

 
SHORT-TERM INSTRUMENTS 7.2%

 

REPURCHASE AGREEMENTS (i) 6.1%

 

          6,923  
       

 

 

 
U.S. TREASURY BILLS 1.1%

 

2.325% due 01/03/2019 - 02/26/2019 (e)(f)(m)

      1,266         1,264  
       

 

 

 
Total Short-Term Instruments
(Cost $8,187)
    8,187  
 

 

 

 
       
Total Investments in Securities (Cost $169,009)       174,140  
 
Total Investments 153.1%
(Cost $169,009)

 

  $     174,140  

Financial Derivative
Instruments (k)(l) (0.9)%

(Cost or Premiums, net $(584))

          (1,027
Other Assets and Liabilities, net (52.2)%       (59,402
 

 

 

 
Net Assets Applicable to Common Shareholders 100.0%

 

  $     113,711  
   

 

 

 
 

NOTES TO SCHEDULE OF INVESTMENTS:

 

*

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

^

Security is in default.

«

Security valued using significant unobservable inputs (Level 3).

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. See Note 4, Securities and Other Investments, in the Notes to Financial Statements for more information regarding unfunded loan commitments.

~

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

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

Ø

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)

Interest only security.

(b)

Principal only security.

(c)

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

(d)

Security did not produce income within the last twelve months.

 

See Accompanying Notes   SEMIANNUAL REPORT   DECEMBER 31, 2018   31


Table of Contents

Schedule of Investments PCM Fund, Inc. (Cont.)

 

(e)

Coupon represents a weighted average yield to maturity.

(f)

Zero coupon security.

(g)

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

 

(h)  RESTRICTED SECURITIES:

 

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

Forbes Energy Services Ltd.

         07/29/2014       $    1,769     $     89       0.08%  
        

 

 

   

 

 

   

 

 

 

 

BORROWINGS AND OTHER FINANCING TRANSACTIONS

 

(i)  REPURCHASE AGREEMENTS:

 

Counterparty   Lending
Rate
    Settlement
Date
    Maturity
Date
    Principal
Amount
    Collateralized By   Collateral
(Received)
    Repurchase
Agreements,
at Value
    Repurchase
Agreement
Proceeds
to be
Received(1)
 
FICC     2.000     12/31/2018       01/02/2019     $ 523     U.S. Treasury Notes 2.875% due 09/30/2023   $ (536   $ 523     $ 523  
TDM     3.130       12/31/2018       01/02/2019           6,400     U.S. Treasury Notes 2.000% due 04/30/2024     (6,577     6,400       6,401  
           

 

 

   

 

 

   

 

 

 

Total Repurchase Agreements

 

    $     (7,113   $     6,923     $     6,924  
           

 

 

   

 

 

   

 

 

 

 

REVERSE REPURCHASE AGREEMENTS:

 

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

BCY

    3.799     01/17/2018       01/17/2019     $ (2,832   $ (2,854

BRC

    3.398       10/03/2018       01/03/2019       (2,445     (2,466

JPS

    3.501       12/04/2018       03/05/2019       (3,728     (3,739

MSB

    3.982       02/05/2018       02/05/2019       (1,110     (1,116

NOM

    3.250       11/26/2018       02/26/2019       (231     (232

RBC

    3.620       08/07/2018       02/07/2019       (691     (701
    3.620       08/29/2018       03/01/2019       (117     (118
    3.630       08/02/2018       02/04/2019           (1,923     (1,953

RDR

    2.950       11/30/2018       03/04/2019       (693     (695

RTA

    3.529       07/31/2018       01/31/2019       (1,778     (1,805
    3.544       09/07/2018       03/07/2019       (2,643     (2,673
    3.608       09/12/2018       03/12/2019       (5,982     (6,049
    3.624       10/05/2018       04/05/2019       (3,878     (3,913
    3.624       10/09/2018       04/09/2019       (4,206     (4,242
    3.628       08/29/2018       03/01/2019       (204     (207
    3.842       11/07/2018       05/07/2019       (6,751     (6,791
    3.842       11/08/2018       05/08/2019       (2,796     (2,812

SOG

    2.960       10/03/2018       01/03/2019       (2,128     (2,144
    3.020       10/24/2018       01/24/2019       (427     (430
    3.250       12/04/2018       03/05/2019       (261     (262
    3.370       10/10/2018       01/10/2019       (858     (865
    3.579       11/15/2018       02/15/2019       (398     (400

UBS

    2.860       10/05/2018       01/07/2019       (3,368     (3,392
    2.960       10/05/2018       01/07/2019       (1,479     (1,490
    3.350       10/03/2018       01/03/2019       (3,108     (3,134
    3.540       11/07/2018       02/07/2019       (1,643     (1,652
    3.565       11/09/2018       02/11/2019       (3,266     (3,283
    3.690       12/03/2018       03/04/2019       (1,889     (1,895
         

 

 

 

Total Reverse Repurchase Agreements

 

    $     (61,313
         

 

 

 

 

32   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


Table of Contents

 

December 31, 2018 (Unaudited)

 

 

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, 2018:

 

Counterparty   Repurchase
Agreement
Proceeds
to be
Received(1)
    Payable for
Reverse
Repurchase
Agreements
    Payable for
Sale-Buyback
Transactions
     Total
Borrowings and
Other Financing
Transactions
    Collateral
Pledged/(Received)
    Net  Exposure(3)  

Global/Master Repurchase Agreement

 

BCY

  $ 0     $ (2,854   $ 0      $ (2,854   $ 3,936     $ 1,082  

BRC

    0       (2,466     0        (2,466     3,532       1,066  

FICC

    523       0       0        523       (536     (13

JPS

    0       (3,739     0        (3,739     4,038       299  

MSB

    0       (1,116     0        (1,116     1,557       441  

NOM

    0       (232     0        (232     254       22  

RBC

    0       (2,772     0        (2,772     3,524       752  

RDR

    0       (695     0        (695     721       26  

RTA

    0       (28,492     0        (28,492         37,571           9,079  

SOG

    0       (4,101     0        (4,101     4,528       427  

TDM

    6,401       0       0        6,401       (6,577     (176

UBS

    0       (14,846     0            (14,846     18,543       3,697  
 

 

 

   

 

 

   

 

 

        

Total Borrowings and Other Financing Transactions

  $     6,924     $     (61,313   $     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     $ (7,455   $ (1,188   $ 0     $ (8,643

Non-Agency Mortgage-Backed Securities

    0       (865     (10,545     0       (11,410

Asset-Backed Securities

    0       (8,455     (15,047     (17,758     (41,260
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Borrowings

  $     0     $     (16,775   $     (26,780   $     (17,758   $     (61,313
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Payable for reverse repurchase agreements

 

  $ (61,313
         

 

 

 

 

(j)

Securities with an aggregate market value of $77,590 and cash of $614 have been pledged as collateral under the terms of the above master agreements as of December 31, 2018.

 

(1)

Includes accrued interest.

(2)

The average amount of borrowings outstanding during the period ended December 31, 2018 was $(61,607) at a weighted average interest rate of 3.385%. Average borrowings may include sale-buyback transactions and reverse repurchase agreements, if held during the period.

(3)

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

 

(k)  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, 2018(2)
    Notional
Amount(3)
    Premiums
Paid/(Received)
    Unrealized
Appreciation/
(Depreciation)
    Market
Value(4)
    Variation Margin  
  Asset     Liability  

Frontier Communications Corp.

    5.000     Quarterly     06/20/2020     19.721   $     590     $     (33   $     (68   $     (101   $     0     $     (1

General Electric Co.

    1.000       Quarterly     12/20/2023     2.039       400       (21     3       (18     0       0  

Sprint Communications, Inc.

    5.000       Quarterly     12/20/2021     2.346       300       9       14       23       0       0  
           

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
          $ (45   $ (51   $ (96   $ 0     $ (1
           

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

INTEREST RATE SWAPS

 

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

Pay

 

3-Month USD-LIBOR

    2.860     Semi-Annual       04/26/2023     $     50,000     $ (137   $ 767     $ 630     $ 94     $     0  

Pay

 

3-Month USD-LIBOR

    2.750       Semi-Annual       12/19/2023       15,300       (131     250       119       30       0  

Pay

 

3-Month USD-LIBOR

    1.750       Semi-Annual       12/21/2023       60,000           1,130           (3,482         (2,352         113       0  

 

See Accompanying Notes   SEMIANNUAL REPORT   DECEMBER 31, 2018   33


Table of Contents

Schedule of Investments PCM Fund, Inc. (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  

Pay

 

3-Month USD-LIBOR

    1.750     Semi-Annual       12/21/2026     $ 3,200     $ 77     $ (289   $ (212   $ 10     $ 0  

Receive

 

3-Month USD-LIBOR

    3.000       Semi-Annual       12/19/2038           19,200       64       (494     (430     0       (98

Receive

 

3-Month USD-LIBOR

    2.500       Semi-Annual       06/20/2048       1,600       132       (12     120       0       (9

Receive

 

3-Month USD-LIBOR

    3.000       Semi-Annual       12/19/2048       4,500       36       (165     (129     0       (27
           

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
        $ 1,171     $ (3,425   $ (2,254   $ 247     $ (134
           

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Swap Agreements

 

  $     1,126     $     (3,476   $     (2,350   $     247     $     (135
           

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

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, 2018:

 

    Financial Derivative Assets           Financial Derivative Liabilities  
    Market Value     Variation Margin
Asset
    Total           Market Value     Variation Margin
Liability
    Total  
     Purchased
Options
    Futures     Swap
Agreements
          Written
Options
    Futures     Swap
Agreements
 

Total Exchange-Traded or Centrally Cleared

  $     0     $     0     $     247     $     247       $     0     $     0     $     (135)     $     (135)  
 

 

 

   

 

 

   

 

 

   

 

 

     

 

 

   

 

 

   

 

 

   

 

 

 

 

Cash of $1,894 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2018. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information regarding master netting arrangements.

 

(1)

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

(2)

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

 

(l)  FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER

 

SWAP AGREEMENTS:

 

CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION(1)

 

Counterparty   Index/Tranches   Fixed
Receive Rate
    Payment
Frequency
  Maturity
Date
    Notional
Amount(2)
   

Premiums
Paid/(Received)

    Unrealized
Appreciation/
(Depreciation)
    Swap Agreements,
at  Value(3)
 
  Asset     Liability  
DUB  

CMBX.NA.BBB-.6 Index

    3.000   Monthly     05/11/2063       $       300     $ (16   $ (32   $ 0     $ (48
 

CMBX.NA.BBB-.8 Index

    3.000     Monthly     10/17/2057       600       (69     0       0       (69
 

CMBX.NA.BBB-.9 Index

    3.000     Monthly     09/17/2058       300       (38     2       0       (36
FBF  

CMBX.NA.BBB-.8 Index

    3.000     Monthly     10/17/2057       100       (16     4       0       (12
GST  

ABX.HE.AA.6-1 Index

    0.320     Monthly     07/25/2045           4,830       (961     673       0       (288
 

ABX.HE.PENAAA.7-1 Index

    0.090     Monthly     08/25/2037       1,162       (225     60       0       (165
 

CMBX.NA.A.6 Index

    2.000     Monthly     05/11/2063       500       (25     3       0       (22
 

CMBX.NA.BB.6 Index

    5.000     Monthly     05/11/2063       300       (41     (43     0       (84
 

CMBX.NA.BBB-.6 Index

    3.000     Monthly     05/11/2063       700       (39     (73     0       (112
 

CMBX.NA.BBB-.7 Index

    3.000     Monthly     01/17/2047       100       (5     (3     0       (8
 

CMBX.NA.BBB-.9 Index

    3.000     Monthly     09/17/2058       700       (87     2       0       (85
MYC  

CMBX.NA.BBB-.10 Index

    3.000     Monthly     11/17/2059       1,200       (126     (11     0       (137
 

CMBX.NA.BBB-.7 Index

    3.000     Monthly     01/17/2047       300       (13     (12     0       (25
 

CMBX.NA.BBB-.8 Index

    3.000     Monthly     10/17/2057       100       (12     0       0       (12
 

CMBX.NA.BBB-.9 Index

    3.000     Monthly     09/17/2058       300       (37     1       0       (36
           

 

 

   

 

 

   

 

 

   

 

 

 

Total Swap Agreements

    $     (1,710   $     571     $     0     $     (1,139
           

 

 

   

 

 

   

 

 

   

 

 

 

 

34   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


Table of Contents

 

December 31, 2018 (Unaudited)

 

 

FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER SUMMARY

 

The following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral pledged/(received) as of December 31, 2018:

 

    Financial Derivative Assets           Financial Derivative Liabilities                     
Counterparty   Forward
Foreign
Currency
Contracts
     Purchased
Options
     Swap
Agreements
     Total
Over the
Counter
           Forward
Foreign
Currency
Contracts
     Written
Options
     Swap
Agreements
    Total
Over the
Counter
    Net Market
Value of OTC
Derivatives
    Collateral
Pledged/
(Received)
     Net
Exposure(4)
 

DUB

  $ 0      $ 0      $ 0      $ 0       $ 0      $ 0      $ (153   $ (153   $     (153   $ 0      $     (153

FBF

    0        0        0        0         0        0        (12     (12     (12     0        (12

GST

    0        0        0        0         0        0        (764     (764     (764         966        202  

MYC

    0        0        0        0         0        0        (210     (210     (210     229        19  
 

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

    

 

 

   

 

 

        

Total Over the Counter

  $     0      $     0      $     0      $     0       $     0      $     0      $     (1,139   $     (1,139       
 

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

    

 

 

   

 

 

        

 

(m)

Securities with an aggregate market value of $1,261 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2018.

 

(1)

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

(2)

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

(3)

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

(4)

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

 

FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS

 

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

 

Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of December 31, 2018:

 

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

Financial Derivative Instruments - Assets

 

Exchange-traded or centrally cleared

 

Swap Agreements

  $ 0     $ 0     $ 0     $ 0     $ 247     $ 247  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Financial Derivative Instruments - Liabilities

 

Exchange-traded or centrally cleared

 

Swap Agreements

  $ 0     $ 1     $ 0     $ 0     $ 134     $ 135  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Over the counter

 

Swap Agreements

  $ 0     $ 1,139     $ 0     $ 0     $ 0     $ 1,139  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $     0     $     1,140     $     0     $     0     $     134     $     1,274  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

The effect of Financial Derivative Instruments on the Statements of Operations for the period ended December 31, 2018:

 

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

Net Realized Gain on Financial Derivative Instruments

 

Exchange-traded or centrally cleared

 

Swap Agreements

  $     0     $ 22     $ 0     $ 0     $ 1,162     $ 1,184  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Over the counter

 

Swap Agreements

  $ 0     $     194     $     0     $     0     $ 0     $ 194  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 216     $ 0     $ 0     $     1,162     $     1,378  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

See Accompanying Notes   SEMIANNUAL REPORT   DECEMBER 31, 2018   35


Table of Contents

Schedule of Investments PCM Fund, Inc. (Cont.)

 

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

Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative Instruments

 

Exchange-traded or centrally cleared

 

Swap Agreements

  $     0     $ (60   $ 0     $ 0     $ 281     $ 221  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Over the counter

 

Swap Agreements

  $ 0     $ (205   $ 0     $ 0     $ 0     $     (205
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $     (265   $     0     $     0     $     281     $ 16  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

FAIR VALUE MEASUREMENTS

 

The following is a summary of the fair valuations according to the inputs used as of December 31, 2018 in valuing the Fund’s assets and liabilities:

 

Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
12/31/2018
 

Investments in Securities, at Value

 

Loan Participations and Assignments

  $ 0     $ 7,408     $     1,007     $ 8,415  

Corporate Bonds & Notes

 

Banking & Finance

    0       5,550       0       5,550  

Industrials

    0       9,938       92       10,030  

Utilities

    0       136       0       136  

Convertible Bonds & Notes

 

Industrials

    0       34       0       34  

Municipal Bonds & Notes

 

Arkansas

    0       160       0       160  

West Virginia

    0       785       0       785  

U.S. Government Agencies

    0       6,033       0       6,033  

Non-Agency Mortgage-Backed Securities

    0       50,047       619       50,666  

Asset-Backed Securities

    0           79,010       507           79,517  

Common Stocks

 

Consumer Discretionary

        485       0       0       485  

Energy

    89       0       0       89  

Utilities

    0       0       397       397  

Warrants

 

Industrials

    0       0       28       28  

Preferred Securities

 

Industrials

    0       0       1,656       1,656  
Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
12/31/2018
 

Real Estate Investment Trusts

 

Real Estate

  $ 1,972     $ 0     $ 0     $ 1,972  

Short-Term Instruments

 

Repurchase Agreements

    0       6,923       0       6,923  

U.S. Treasury Bills

    0       1,264       0       1,264  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

  $     2,546     $     167,288     $     4,306     $     174,140  
 

 

 

   

 

 

   

 

 

   

 

 

 

Financial Derivative Instruments - Assets

 

Exchange-traded or centrally cleared

  $ 0     $ 247     $ 0     $ 247  
 

 

 

   

 

 

   

 

 

   

 

 

 

Financial Derivative Instruments - Liabilities

 

Exchange-traded or centrally cleared

    0       (135     0       (135

Over the counter

    0       (1,139     0       (1,139
 

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ (1,274   $ 0     $ (1,274
 

 

 

   

 

 

   

 

 

   

 

 

 

Total Financial Derivative Instruments

  $ 0     $ (1,027   $ 0     $ (1,027
 

 

 

   

 

 

   

 

 

   

 

 

 

Totals

  $ 2,546     $ 166,261     $ 4,306     $ 173,113  
 

 

 

   

 

 

   

 

 

   

 

 

 
 

 

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended December 31, 2018:

 

Category and Subcategory   Beginning
Balance
at 06/30/2018
    Net
Purchases
    Net
Sales
    Accrued
Discounts/
(Premiums)
    Realized
Gain/(Loss)
    Net Change in
Unrealized
Appreciation/
(Depreciation) (1)
    Transfers into
Level 3
    Transfers out
of Level 3
    Ending
Balance
at 12/31/2018
    Net Change in
Unrealized
Appreciation/
(Depreciation)
on Investments
Held at
12/31/2018(1)
 

Investments in Securities, at Value

 

Loan Participations and Assignments

  $ 224     $ 685     $ 0     $ (1   $ 0     $ (37   $ 136     $ 0     $ 1,007     $ (37

Corporate Bonds & Notes

 

Banking & Finance

    798       0       (800     0       4       (2     0       0       0       0  

Industrials

    96       0       0       0       0       (4     0       0       92       (4

Non-Agency Mortgage-Backed Securities

    649       0       (35     2       2       1       0       0       619       1  

Asset-Backed Securities

    1,491       346       0       20       0       (235     0       (1,115     507       (65

Common Stocks

 

Utilities

    314       0       0       0       0       83       0       0       397       83  

Warrants

 

Industrials

    30       0       0       0       0       (2     0       0       28       (2

Preferred Securities

 

Industrials

    1,967       265       0       0       0       (576     0       0       1,656       (576
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Totals

  $     5,569     $     1,296     $     (835   $     21     $     6     $     (772   $     136     $     (1,115   $     4,306     $     (600
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

36   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


Table of Contents

 

December 31, 2018 (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 12/31/2018
     Valuation
Technique
   Unobservable
Inputs
   Input Value(s)
(% Unless
Noted
Otherwise)
 

Investments in Securities, at Value

 

Loan Participations and Assignments

  $ 1,007      Third Party Vendor    Broker Quote      91.500-96.000  

Corporate Bonds & Notes

 

Industrials

    92      Reference Instrument    Yield      11.566  

Non-Agency Mortgage-Backed Securities

    435      Proxy Pricing    Base Price      4.365-99.000  
    184      Third Party Vendor    Broker Quote      93.000  

Asset-Backed Securities

    468      Proxy Pricing    Base Price      1,304.310-49,000.000  
    39      Proxy Pricing    Base Price      2.125  

Common Stocks

 

Utilities

    397      Indicative Market Quotation    Broker Quote      40.000  

Warrants

 

Industrials

    28      Other Valuation Techniques(2)          

Preferred Securities

 

Industrials

    1,656      Fundamental Valuation    Company Equity Value      $    417,000,000.000  
 

 

 

          

Total

  $     4,306           
 

 

 

          

 

(1) 

Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at December 31, 2018 may be due to an investment no longer held or categorized as Level 3 at period end.

(2)

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

 

See Accompanying Notes   SEMIANNUAL REPORT   DECEMBER 31, 2018   37


Table of Contents

Schedule of Investments PIMCO Global StocksPLUS® & Income Fund

 

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

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
INVESTMENTS IN SECURITIES 190.9%

 

LOAN PARTICIPATIONS AND ASSIGNMENTS 4.6%

 

Concordia International Corp.

 

7.887% (LIBOR03M + 5.500%) due 09/06/2024 ~

  $     498     $     474  

Diamond Resorts Corp.

 

6.272% (LIBOR03M + 3.750%) due 09/02/2023 ~

      618         578  

Dubai World

 

1.750% - 2.000% (LIBOR03M + 2.000%) due 09/30/2022 ~

      100         94  

Envision Healthcare Corp.

 

6.273% (LIBOR03M + 3.750%) due 10/10/2025 ~

      100         94  

Financial & Risk U.S. Holdings, Inc.

 

6.272% (LIBOR03M + 3.750%) due 10/01/2025 ~

      200         188  

Forbes Energy Services LLC

 

5.000% - 9.000% due 04/13/2021

      92         92  

Frontier Communications Corp.

 

6.280% (LIBOR03M + 3.750%) due 06/15/2024 ~

      99         92  

iHeartCommunications, Inc.

 

TBD% due 01/30/2019 ^(d)

      1,400         936  

IRB Holding Corp.

 

5.682% - 6.053% (LIBOR03M + 3.250%) due 02/05/2025 ~

      150         143  

McDermott Technology Americas, Inc.

 

7.522% (LIBOR03M + 5.000%) due 05/12/2025 ~

      200         187  

MH Sub LLC

 

6.254% (LIBOR03M + 3.750%) due 09/13/2024 ~

      20         19  

Multi Color Corp.

 

4.522% (LIBOR03M + 2.000%) due 10/31/2024 «~

      3         3  

NCI Building Systems, Inc.

 

6.175% (LIBOR03M + 3.750%) due 04/12/2025 «~

      10         9  

Neiman Marcus Group Ltd. LLC

 

5.630% (LIBOR03M + 3.250%) due 10/25/2020 ~

      783         667  

PetSmart, Inc.

 

5.380% (LIBOR03M + 3.000%) due 03/11/2022 ~

      20         16  

Sequa Mezzanine Holdings LLC

 

7.408% (LIBOR03M + 5.000%) due 11/28/2021 «~

      39         38  

11.520% (LIBOR03M + 9.000%) due 04/28/2022 «~

      320         307  

Valeant Pharmaceuticals International, Inc.

 

5.129% (LIBOR03M + 2.750%) due 11/27/2025 ~

      20         19  

Verscend Holding Corp.

 

7.022% (LIBOR03M + 4.500%) due 08/27/2025 ~

      30         29  

West Corp.

 

6.527% (LIBOR03M + 4.000%) due 10/10/2024 ~

      9         8  

Westmoreland Coal Co.

 

TBD% - 10.896% (LIBOR03M + 8.250%) due 05/21/2019 ~µ

      391         399  
       

 

 

 

Total Loan Participations and Assignments
(Cost $4,857)

      4,392  
 

 

 

 
CORPORATE BONDS & NOTES 45.2%

 

BANKING & FINANCE 23.3%

 

AGFC Capital Trust

 

4.186% (US0003M + 1.750%) due 01/15/2067 ~(l)

      1,000         450  

Ambac Assurance Corp.

 

5.100% due 06/07/2020

      13         17  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Ambac LSNI LLC

 

7.803% due 02/12/2023 •

  $     145     $     145  

Ardonagh Midco PLC

 

8.375% due 07/15/2023

  GBP     1,870           2,027  

Athene Holding Ltd.

 

4.125% due 01/12/2028

  $     10         9  

Avolon Holdings Funding Ltd.

 

5.500% due 01/15/2023

      30         29  

AXA Equitable Holdings, Inc.

 

4.350% due 04/20/2028

      24         23  

5.000% due 04/20/2048

      14         12  

Banco Bilbao Vizcaya Argentaria S.A.

 

6.750% due 02/18/2020 •(h)(i)

  EUR     400         456  

Banco Espirito Santo S.A.

 

4.000% due 01/21/2019 ^(d)

      700         233  

Barclays Bank PLC

 

14.000% due 06/15/2019 •(h)

  GBP     100         134  

Barclays PLC

 

6.500% due 09/15/2019 •(h)(i)

  EUR     600         672  

7.875% due 09/15/2022 •(h)(i)(l)

  GBP     1,250         1,599  

Brookfield Finance, Inc.

 

3.900% due 01/25/2028

  $     18         17  

4.700% due 09/20/2047

      16         15  

CBL & Associates LP

 

5.950% due 12/15/2026

      2         2  

Credit Agricole S.A.

 

7.875% due 01/23/2024 •(h)(i)

      200         200  

Emerald Bay S.A.

 

0.000% due 10/08/2020 (g)

  EUR     6         6  

Fortress Transportation & Infrastructure Investors LLC

 

6.500% due 10/01/2025

  $     50         47  

6.750% due 03/15/2022

      64         64  

Freedom Mortgage Corp.

 

8.250% due 04/15/2025

      2         2  

GE Capital European Funding Unlimited Co.

 

0.000% due 05/17/2021 •

  EUR     50         55  

HSBC Bank PLC

 

6.330% due 05/23/2023

  $     1,100         1,125  

HSBC Holdings PLC

 

6.000% due 09/29/2023 •(h)(i)

  EUR     200         243  

Hunt Cos., Inc.

 

6.250% due 02/15/2026

  $     6         5  

Intrepid Aviation Group Holdings LLC

 

8.500% due 08/15/2021 (l)

      2,430         2,412  

iStar, Inc.

 

4.625% due 09/15/2020

      3         3  

5.250% due 09/15/2022

      10         9  

Jefferies Finance LLC

 

7.500% due 04/15/2021 (l)

      967         969  

Kennedy-Wilson, Inc.

 

5.875% due 04/01/2024

      14         13  

Lloyds Banking Group PLC

 

7.625% due 06/27/2023 •(h)(i)(l)

  GBP     1,600         2,103  

LoanCore Capital Markets LLC

 

6.875% due 06/01/2020 (l)

  $     1,400         1,401  

MetLife, Inc.

 

5.875% due 03/15/2028 •(h)

      2         2  

Nationstar Mortgage LLC

 

6.500% due 07/01/2021 (l)

      138         135  

Navient Corp.

 

5.875% due 03/25/2021 (l)

      531         510  

6.500% due 06/15/2022

      16         15  

Newmark Group, Inc.

 

6.125% due 11/15/2023

      12         12  

Oppenheimer Holdings, Inc.

 

6.750% due 07/01/2022

      10         10  

Pinnacol Assurance

 

8.625% due 06/25/2034 «(j)

      1,100         1,066  

Provident Funding Associates LP

 

6.375% due 06/15/2025

      6         5  

Royal Bank of Scotland Group PLC

 

7.500% due 08/10/2020 •(h)(i)(l)

      1,730         1,717  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

8.000% due 08/10/2025 •(h)(i)

  $     300     $     300  

8.625% due 08/15/2021 •(h)(i)

      200         208  

Santander UK Group Holdings PLC

 

6.750% due 06/24/2024 •(h)(i)

  GBP     450         565  

7.375% due 06/24/2022 •(h)(i)(l)

      1,100         1,411  

Societe Generale S.A.

 

7.375% due 10/04/2023 •(h)(i)

  $     200         187  

Stichting AK Rabobank Certificaten

 

6.500% due 12/29/2049 (h)

  EUR     140         174  

Toll Road Investors Partnership LP

 

0.000% due 02/15/2045 (g)

  $     337         85  

UniCredit SpA

 

7.830% due 12/04/2023 (l)

      730         764  

Unique Pub Finance Co. PLC

 

5.659% due 06/30/2027

  GBP     582         813  

WeWork Cos., Inc.

 

7.875% due 05/01/2025

  $     14         13  
       

 

 

 
            22,489  
       

 

 

 
INDUSTRIALS 17.0%

 

Air Canada Pass-Through Trust

 

3.700% due 07/15/2027

      4         4  

Altice Financing S.A.

 

7.500% due 05/15/2026 (l)

      800         732  

Altice France S.A.

 

7.375% due 05/01/2026 (l)

      1,327         1,221  

Associated Materials LLC

 

9.000% due 01/01/2024 (l)

      680         660  

Charter Communications Operating LLC

 

4.200% due 03/15/2028

      27         25  

Chesapeake Energy Corp.

 

5.686% (US0003M + 3.250%) due 04/15/2019 ~

      10         10  

Clear Channel Worldwide Holdings, Inc.

 

7.625% due 03/15/2020 (l)

      900         882  

Cleveland-Cliffs, Inc.

 

4.875% due 01/15/2024

      6         6  

Community Health Systems, Inc.

 

5.125% due 08/01/2021 (l)

      702         655  

6.250% due 03/31/2023 (l)

      1,547         1,412  

8.625% due 01/15/2024 (l)

      106         105  

Corp. GEO S.A.B. de C.V.

 

9.250% due 06/30/2020 ^(d)

      470         0  

CSN Resources S.A.

 

6.500% due 07/21/2020 (l)

      140         136  

CVS Pass-Through Trust

 

5.880% due 01/10/2028

      434         458  

DAE Funding LLC

 

5.750% due 11/15/2023 (l)

      100         99  

Diamond Resorts International, Inc.

 

7.750% due 09/01/2023 (l)

      262         253  

DriveTime Automotive Group, Inc.

 

8.000% due 06/01/2021 (l)

      1,170         1,176  

EI Group PLC

 

6.875% due 05/09/2025

  GBP     10         14  

Envision Healthcare Corp.

 

8.750% due 10/15/2026 (l)

  $     382         331  

Exela Intermediate LLC

 

10.000% due 07/15/2023

      23         22  

First Quantum Minerals Ltd.

 

6.500% due 03/01/2024 (l)

      284         237  

6.875% due 03/01/2026 (l)

      312         252  

7.000% due 02/15/2021 (l)

      116         112  

Fresh Market, Inc.

 

9.750% due 05/01/2023 (l)

      1,200         870  

Full House Resorts, Inc.

 

8.575% due 01/31/2024 «

      100         92  

General Electric Co.

 

2.200% due 01/09/2020

      46         45  

3.100% due 01/09/2023

      42         39  

5.000% due 01/21/2021 •(h)

      29         22  

5.550% due 05/04/2020

      11         11  
 

 

38   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


Table of Contents

 

December 31, 2018 (Unaudited)

 

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

5.875% due 01/14/2038

  $     2     $     2  

6.150% due 08/07/2037

      2         2  

6.875% due 01/10/2039

      32         34  

HCA, Inc.

 

7.500% due 11/15/2095 (l)

      300         292  

Hilton Domestic Operating Co., Inc.

 

5.125% due 05/01/2026

      25         24  

iHeartCommunications, Inc.

 

9.000% due 12/15/2019 ^(d)

      86         58  

9.000% due 03/01/2021 ^(d)

      1,052         710  

9.000% due 09/15/2022 ^(d)

      1,073         719  

11.250% due 03/01/2021 ^(d)

      75         50  

Intelsat Connect Finance S.A.

 

9.500% due 02/15/2023

      35         30  

Intelsat Jackson Holdings S.A.

 

5.500% due 08/01/2023

      300         262  

8.500% due 10/15/2024

      22         21  

9.750% due 07/15/2025

      23         23  

Intelsat Luxembourg S.A.

 

7.750% due 06/01/2021 (l)

      2,113         1,933  

8.125% due 06/01/2023

      54         42  

Kinder Morgan, Inc.

 

7.750% due 01/15/2032 (l)

      300         361  

Mallinckrodt International Finance S.A.

 

5.500% due 04/15/2025

      134         93  

Marriott Ownership Resorts, Inc.

 

6.500% due 09/15/2026

      14         14  

Metinvest BV

 

8.500% due 04/23/2026 (l)

      200         181  

Odebrecht Oil & Gas Finance Ltd.

 

0.000% due 01/31/2019 (g)(h)

      322         6  

Ortho-Clinical Diagnostics, Inc.

 

6.625% due 05/15/2022

      58         52  

Park Aerospace Holdings Ltd.

 

3.625% due 03/15/2021

      16         15  

4.500% due 03/15/2023

      32         30  

5.250% due 08/15/2022

      3         3  

5.500% due 02/15/2024

      8         8  

Petroleos Mexicanos

 

6.500% due 03/13/2027

      50         47  

6.750% due 09/21/2047

      10         8  

PetSmart, Inc.

 

5.875% due 06/01/2025

      22         16  

Platin GmbH

 

6.875% due 06/15/2023

  EUR     100         111  

QVC, Inc.

 

5.950% due 03/15/2043 (l)

  $     200         180  

Radiate Holdco LLC

 

6.875% due 02/15/2023

      10         9  

Refinitiv U.S. Holdings, Inc.

 

6.250% due 05/15/2026

      22         21  

Rockpoint Gas Storage Canada Ltd.

 

7.000% due 03/31/2023

      2         2  

Shelf Drilling Holdings Ltd.

 

8.250% due 02/15/2025

      6         5  

Sunoco LP

 

4.875% due 01/15/2023

      12         12  

T-Mobile USA, Inc.

 

4.750% due 02/01/2028

      5         5  

Teva Pharmaceutical Finance Netherlands BV

 

3.250% due 04/15/2022

  EUR     100         116  

Transocean Pontus Ltd.

 

6.125% due 08/01/2025

  $     28         27  

Triumph Group, Inc.

 

4.875% due 04/01/2021

      18         16  

5.250% due 06/01/2022

      4         3  

Univision Communications, Inc.

 

5.125% due 05/15/2023

      38         34  

5.125% due 02/15/2025

      28         25  

ViaSat, Inc.

 

5.625% due 09/15/2025

      18         17  

VOC Escrow Ltd.

 

5.000% due 02/15/2028

      12         11  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

WellCare Health Plans, Inc.

 

5.375% due 08/15/2026

  $     15     $     15  

Westmoreland Coal Co.

 

8.750% due 01/01/2022 ^(d)(l)

      1,755         680  

Wyndham Destinations, Inc.

 

3.900% due 03/01/2023

      12         11  

5.750% due 04/01/2027 (l)

      155         143  
       

 

 

 
          16,360  
       

 

 

 
UTILITIES 4.9%

 

AT&T, Inc.

 

4.900% due 08/15/2037

      72         67  

Odebrecht Drilling Norbe Ltd.

 

6.350% due 12/01/2021 (l)

      207         200  

Odebrecht Drilling Norbe Ltd. (6.350% Cash or 7.350% PIK)

 

7.350% due 12/01/2026 (c)

      439         250  

Odebrecht Offshore Drilling Finance Ltd.

 

6.720% due 12/01/2022 (l)

      1,331         1,243  

Odebrecht Offshore Drilling Finance Ltd. (6.720% Cash or 7.720% PIK)

 

7.720% due 12/01/2026 (c)

      613         164  

Pacific Gas & Electric Co.

 

2.450% due 08/15/2022

      6         5  

2.950% due 03/01/2026

      9         7  

3.250% due 09/15/2021

      3         3  

3.250% due 06/15/2023

      19         17  

3.500% due 10/01/2020

      16         15  

3.750% due 08/15/2042

      2         2  

Petrobras Global Finance BV

 

5.999% due 01/27/2028

      20         19  

6.125% due 01/17/2022

      27         28  

6.850% due 06/05/2115 (l)

      150         135  

7.375% due 01/17/2027 (l)

      161         166  

Rio Oil Finance Trust

 

9.250% due 07/06/2024 (l)

      1,496         1,602  

Southern California Edison Co.

 

5.750% due 04/01/2035

      2         2  

6.650% due 04/01/2029

      4         4  

Sprint Communications, Inc.

 

7.000% due 08/15/2020 (l)

      750         770  
       

 

 

 
          4,699  
       

 

 

 

Total Corporate Bonds & Notes (Cost $46,487)

      43,548  
 

 

 

 
CONVERTIBLE BONDS & NOTES 0.5%

 

INDUSTRIALS 0.5%

 

DISH Network Corp.

 

3.375% due 08/15/2026

      600         486  
       

 

 

 

Total Convertible Bonds & Notes (Cost $600)

    486  
 

 

 

 
MUNICIPAL BONDS & NOTES 2.3%

 

ILLINOIS 0.2%

 

Chicago, Illinois General Obligation Bonds, Series 2015

 

7.375% due 01/01/2033

      40         44  

7.750% due 01/01/2042

      70         75  

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

 

6.725% due 04/01/2035

      10         11  

7.350% due 07/01/2035

      5         6  

Illinois State General Obligation Bonds, Series 2003

 

5.100% due 06/01/2033

      35         33  
       

 

 

 
          169  
       

 

 

 
WEST VIRGINIA 2.1%

 

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

 

0.000% due 06/01/2047 (g)

      8,800         495  

7.467% due 06/01/2047

      1,620         1,591  
       

 

 

 
          2,086  
       

 

 

 

Total Municipal Bonds & Notes (Cost $2,201)

    2,255  
 

 

 

 
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
U.S. GOVERNMENT AGENCIES 47.9%

 

Fannie Mae

 

3.500% due 03/01/2048

  $     487     $     487  

3.544% due 03/25/2037 •(a)

      319         39  

3.644% due 11/25/2039 •(a)

      266         36  

3.794% due 01/25/2038 •(a)

      397         54  

3.874% due 03/25/2037 •(a)

      342         46  

3.894% due 12/25/2037 •(a)

      395         45  

3.904% due 06/25/2037 •(a)

      142         13  

3.944% due 04/25/2037 •(a)(l)

      871         133  

4.094% due 11/25/2035 •(a)

      119         12  

4.294% due 11/25/2036 •(a)(l)

      1,690         274  

4.694% due 02/25/2037 •(a)

      290         42  

6.056% due 07/25/2029 •

      170         180  

7.000% due 12/25/2023

      75         80  

7.500% due 06/01/2032

      41         42  

7.800% due 06/25/2026 ~

      2         2  

8.256% due 07/25/2029 •

      220         254  

10.503% due 12/25/2042 ~

      63         71  

10.691% due 08/25/2022 •

      70         78  

Fannie Mae, TBA

 

3.500% due 02/01/2049

      36,000         35,984  

4.000% due 02/01/2049

      5,500         5,604  

Freddie Mac

 

0.000% due 04/25/2045 - 02/25/2046 (b)(g)

      1,820         1,631  

0.100% due 02/25/2046 (a)

      16,293         25  

0.200% due 04/25/2045 (a)

      1,129         0  

0.661% due 10/25/2020 ~(a)

      9,793         92  

3.985% due 03/15/2037 •(a)

      624         95  

4.115% due 09/15/2036 •(a)

      363         53  

4.125% due 09/15/2036 •(a)(l)

      810         127  

7.000% due 08/15/2023

      3         3  

7.656% due 10/25/2029 •

      500         562  
       

 

 

 

Total U.S. Government Agencies (Cost $45,557)

      46,064  
 

 

 

 
NON-AGENCY MORTGAGE-BACKED SECURITIES 34.0%

 

Banc of America Alternative Loan Trust

 

11.426% due 09/25/2035 ^•(l)

      1,264         1,451  

Banc of America Funding Trust

 

3.711% due 12/20/2034 ~

      336         268  

3.945% due 03/20/2036 ~

      472         456  

5.846% due 01/25/2037 ^~

      190         178  

Banc of America Mortgage Trust

 

6.000% due 07/25/2046 ^

      2         2  

Bear Stearns Adjustable Rate Mortgage Trust

 

4.176% due 07/25/2036 ^~

      241         225  

Bear Stearns ALT-A Trust

 

3.466% due 04/25/2035 ~

      170         153  

4.144% due 11/25/2035 ^~

      136         118  

4.209% due 09/25/2035 ~

      124         103  

Bear Stearns Commercial Mortgage Securities Trust

 

5.426% due 02/11/2041 ~

      237         236  

5.707% due 04/12/2038 ~

      40         40  

Bear Stearns Structured Products, Inc. Trust

 

4.348% due 01/26/2036 ~

      681         617  

5.425% due 12/26/2046 ~

      311         291  

BRAD Resecuritization Trust

 

2.187% due 03/12/2021 «

      1,576         69  

6.550% due 03/12/2021 «

      295         295  

CBA Commercial Small Balance Commercial Mortgage

 

5.540% due 01/25/2039 ^Ø

      338         284  

CD Commercial Mortgage Trust

 

5.398% due 12/11/2049 ~

      29         21  

CD Mortgage Trust

 

5.688% due 10/15/2048 (l)

      1,546         788  

Chevy Chase Funding LLC Mortgage-Backed Certificates

 

2.806% due 08/25/2035 •

      97         96  

3.186% due 10/25/2034 •

      8         8  

Citigroup Commercial Mortgage Trust

 

5.592% due 12/10/2049 ~

      919         620  

Citigroup Mortgage Loan Trust

 

3.909% due 03/25/2037 ^~(l)

      406         341  

4.297% due 11/25/2035 ~

      1,779         1,389  
 

 

See Accompanying Notes   SEMIANNUAL REPORT   DECEMBER 31, 2018   39


Table of Contents

Schedule of Investments PIMCO Global StocksPLUS® & Income Fund (Cont.)

 

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

Commercial Mortgage Loan Trust

 

6.050% due 12/10/2049 ~

  $     583     $     358  

Commercial Mortgage Trust

 

0.133% due 10/10/2046 ~(a)

      77,000         506  

6.126% due 07/10/2046 ~(l)

      760         776  

Countrywide Alternative Loan Trust

 

2.746% due 12/25/2046 ^•

      127         88  

2.856% due 05/25/2036 ^•(l)

      1,659         842  

3.166% due 10/25/2035 •(l)

      719         591  

3.863% due 10/25/2035 ^~

      148         127  

3.888% due 02/25/2037 ^~

      164         159  

4.644% due 07/25/2036 •(a)

      1,186         311  

5.500% due 08/25/2034 (l)

      390         388  

5.500% due 02/25/2036 ^

      22         19  

6.250% due 09/25/2034

      64         64  

12.908% due 07/25/2035 •(l)

      866         993  

Countrywide Home Loan Mortgage Pass-Through Trust

 

2.746% due 03/25/2036 •

      171         163  

3.286% due 02/25/2035 •

      98         96  

3.289% due 03/25/2037 ^~

      339         283  

3.735% due 10/20/2035 ^~

      122         105  

3.910% due 08/25/2034 ~

      158         153  

3.943% due 10/20/2035 ~

      326         288  

4.083% due 10/20/2035 ^~

      134         124  

4.592% due 02/20/2036 ^•

      264         35  

5.500% due 08/25/2035 ^

      27         24  

Credit Suisse Commercial Mortgage Trust

 

5.746% due 02/15/2039 ~

      40         40  

5.869% due 09/15/2040 ~

      418         405  

Credit Suisse Mortgage Capital Mortgage-Backed Trust

 

6.000% due 11/25/2036

      234         203  

DBUBS Mortgage Trust

 

4.652% due 11/10/2046

      700         562  

First Horizon Alternative Mortgage Securities Trust

 

4.086% due 11/25/2036 ^~(l)

      349         280  

First Horizon Mortgage Pass-Through Trust

 

4.304% due 01/25/2037 ^~(l)

      546         491  

GCCFC Commercial Mortgage Trust

 

5.505% due 03/10/2039 ~

      313         152  

GE Commercial Mortgage Corp. Trust

 

5.606% due 12/10/2049 ~

      312         294  

GMAC Mortgage Corp. Loan Trust

 

4.500% due 06/25/2034 ~

      63         62  

GS Mortgage Securities Trust

 

5.622% due 11/10/2039

      182         157  

GSR Mortgage Loan Trust

 

3.850% due 04/25/2035 ~

      239         240  

4.282% due 05/25/2035 ~

      70         65  

5.500% due 06/25/2036 ^

      7         16  

HarborView Mortgage Loan Trust

 

3.070% due 04/19/2034 •

      16         15  

3.462% due 11/19/2034 ~

      107         96  

4.105% due 08/19/2036 ^~

      14         13  

4.597% due 02/25/2036 ^~

      29         20  

HSI Asset Loan Obligation Trust

 

4.384% due 01/25/2037 ^~

      283         241  

IndyMac Mortgage Loan Trust

 

2.776% due 06/25/2037 ^•

      1,128           1,062  

3.066% due 03/25/2035 •

      25         25  

3.349% due 06/25/2037 ^~(l)

      553         480  

JPMBB Commercial Mortgage Securities Trust

 

0.273% due 11/15/2045 ~(a)

      76,047         1,056  

JPMorgan Chase Commercial Mortgage Securities Trust

 

5.411% due 05/15/2047

      700         399  

JPMorgan Mortgage Trust

 

3.991% due 04/25/2037 ^~(l)

      626         524  

5.500% due 01/25/2036 ^

      51         44  

5.500% due 06/25/2037 ^

      21         21  

MASTR Adjustable Rate Mortgages Trust

 

4.122% due 10/25/2034 ~

      204         190  

4.244% due 11/25/2035 ^~

      610         495  

Merrill Lynch Alternative Note Asset Trust

 

2.576% due 01/25/2037 •

      819         378  

Merrill Lynch Mortgage Trust

 

5.791% due 06/12/2050 ~(l)

      4         4  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Morgan Stanley Capital Trust

 

6.121% due 06/11/2049 ~

  $     68     $     68  

Motel 6 Trust

 

9.382% due 08/15/2019 •(l)

      1,531         1,557  

Opteum Mortgage Acceptance Corp. Trust

 

2.776% due 07/25/2036 •

      264         158  

Prime Mortgage Trust

 

4.044% due 11/25/2036 •(a)

      2,282         116  

Provident Funding Mortgage Loan Trust

 

4.464% due 10/25/2035 ~

      56         56  

RBSSP Resecuritization Trust

 

5.000% due 09/26/2036 ~

      1,929         1,724  

Residential Accredit Loans, Inc. Trust

 

4.579% due 12/26/2034 ^~

      203         168  

4.753% due 01/25/2036 ^~(l)

      739         663  

6.000% due 09/25/2035 (l)

      382         250  

6.000% due 08/25/2036 ^

      241         218  

Residential Asset Mortgage Products Trust

 

7.500% due 12/25/2031

      82         83  

Structured Adjustable Rate Mortgage Loan Trust

 

3.557% due 05/25/2035 ^•(l)

      1,608         1,348  

3.790% due 04/25/2036 ^~

      333         278  

3.922% due 09/25/2036 ^~

      296         227  

3.959% due 01/25/2036 ^~

      351         261  

4.267% due 09/25/2035 ~

      75         60  

Structured Asset Mortgage Investments Trust

 

2.736% due 02/25/2036 •

      400         356  

2.786% due 02/25/2036 ^•

      293         278  

Suntrust Adjustable Rate Mortgage Loan Trust

 

4.496% due 01/25/2037 ^~

      100         94  

Theatre Hospitals PLC

 

3.813% due 10/15/2031 •(l)

  GBP     960         1,141  

WaMu Mortgage Pass-Through Certificates Trust

 

3.645% due 12/25/2036 ^~(l)

  $     381         374  

3.898% due 07/25/2037 ^~

      100         92  

Wells Fargo Mortgage-Backed Securities Trust

 

6.000% due 03/25/2037 ^

      180         175  

Wells Fargo-RBS Commercial Mortgage Trust

 

0.275% due 12/15/2046 ~(a)

      30,000         435  
       

 

 

 

Total Non-Agency Mortgage-Backed Securities (Cost $28,928)

      32,752  
 

 

 

 
ASSET-BACKED SECURITIES 17.8%

 

Adagio CLO DAC

 

0.000% due 04/30/2031 ~

  EUR     250         238  

Apidos CLO

 

0.000% due 07/22/2026 ~

  $     500         5  

Bear Stearns Asset-Backed Securities Trust

 

6.500% due 08/25/2036 ^(l)

      599         390  

15.258% due 03/25/2036 ^•(l)

      1,710         1,497  

Belle Haven ABS CDO Ltd.

 

2.658% due 07/05/2046 •

      34,966         112  

Bombardier Capital Mortgage Securitization Corp.

 

7.830% due 06/15/2030 ~

      1,421         486  

California Republic Auto Receivables Trust

 

0.000% due 04/15/2025 «(g)

      1,400         1,417  

Carlyle Global Market Strategies CLO Ltd.

 

0.000% due 04/17/2031 ~

      1,700         1,216  

CARLYLE U.S. CLO Ltd.

 

0.000% due 10/15/2031 ~

      600         523  

Carrington Mortgage Loan Trust

 

2.656% due 08/25/2036 •

      91         80  

Chrysler Capital Auto Receivables Trust

 

0.000% due 01/16/2023 «(g)

      1         661  

Citigroup Mortgage Loan Trust

 

2.666% due 12/25/2036 •(l)

      1,546         989  

2.666% due 01/25/2037 •

      181         113  

Conseco Finance Securitizations Corp.

 

7.960% due 05/01/2031

      402         238  

Countrywide Asset-Backed Certificates

 

3.606% due 09/25/2034 •

      77         76  

EMC Mortgage Loan Trust

 

3.446% due 05/25/2039 •

      125         124  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Flagship Credit Auto Trust

 

0.000% due 05/15/2025 «(g)

  $     1     $     198  

Lehman XS Trust

 

4.727% due 05/25/2037 ^Ø

      130         128  

Marlette Funding Trust

 

0.000% due 12/15/2028 (g)

      2,057         954  

Morgan Stanley ABS Capital, Inc. Trust

 

2.566% due 05/25/2037 •

      88         77  

Residential Asset Mortgage Products Trust

 

5.572% due 06/25/2032 ~

      55         56  

SMB Private Education Loan Trust

 

0.000% due 09/18/2046 «(g)

      1         1,191  

0.000% due 10/15/2048 «(g)

      2         1,784  

Soundview Home Loan Trust

 

2.566% due 11/25/2036 •

      188         80  

South Coast Funding Ltd.

 

2.597% due 01/06/2041 •

      13,306         3,788  

2.668% due 01/06/2041 •

      18         5  

Structured Asset Securities Corp. Mortgage Loan Trust

 

2.806% due 06/25/2035 •

      247         241  

Symphony CLO Ltd.

 

7.036% due 07/14/2026 •

      400         374  

Washington Mutual Asset-Backed Certificates Trust

 

2.566% due 10/25/2036 •

      104         51  
       

 

 

 

Total Asset-Backed Securities (Cost $19,534)

      17,092  
 

 

 

 
SOVEREIGN ISSUES 4.7%

 

Argentina Government International Bond

 

2.260% due 12/31/2038 Ø

  EUR     760         486  

7.820% due 12/31/2033

      1,760         1,711  

41.328% (BADLARPP) due 10/04/2022 ~

  ARS     132         6  

48.797% (BADLARPP + 3.250%) due 03/01/2020 ~

      400         11  

50.225% (BADLARPP + 2.000%) due 04/03/2022 ~(a)

      13,063         334  

50.950% (BADLARPP + 2.500%) due 03/11/2019 ~(a)

      540         14  

59.257% due 06/21/2020 ~(a)

      29,119         833  

Peru Government International Bond

 

5.940% due 02/12/2029

  PEN     345         104  

6.350% due 08/12/2028

      600         187  

Republic of Greece Government International Bond

 

3.000% due 02/24/2023 Ø

  EUR     33         38  

3.000% due 02/24/2024 Ø

      33         38  

3.000% due 02/24/2025 Ø

      33         37  

3.000% due 02/24/2026 Ø

      33         37  

3.000% due 02/24/2027 Ø

      33         36  

3.000% due 02/24/2028 Ø

      33         36  

3.000% due 02/24/2029 Ø

      33         35  

3.000% due 02/24/2030 Ø

      33         35  

3.000% due 02/24/2031 Ø

      33         34  

3.000% due 02/24/2032 Ø

      33         34  

3.000% due 02/24/2033 Ø

      33         34  

3.000% due 02/24/2034 Ø

      33         33  

3.000% due 02/24/2035 Ø

      33         32  

3.000% due 02/24/2036 Ø

      33         32  

3.000% due 02/24/2037 Ø

      33         32  

3.000% due 02/24/2038 Ø

      33         32  

3.000% due 02/24/2039 Ø

      33         31  

3.000% due 02/24/2040 Ø

      33         31  

3.000% due 02/24/2041 Ø

      33         31  

3.000% due 02/24/2042 Ø

      33         31  

4.750% due 04/17/2019

      100         116  

Venezuela Government International Bond

 

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

  $     50         12  

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

      4         1  

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

      62         15  
       

 

 

 

Total Sovereign Issues (Cost $6,158)

    4,509  
 

 

 

 
        SHARES            
COMMON STOCKS 1.8%

 

CONSUMER DISCRETIONARY 0.6%

 

Caesars Entertainment Corp. (e)

    76,053         516  
       

 

 

 
 

 

40   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


Table of Contents

 

December 31, 2018 (Unaudited)

 

        SHARES         MARKET
VALUE
(000S)
 
ENERGY 0.6%

 

Dommo Energia S.A. «(e)(j)

      3,005,980     $     577  

Dommo Energia S.A. SP - ADR «(e)

      547         14  

Forbes Energy Services Ltd. (e)(j)

      5,475         14  
       

 

 

 
          605  
       

 

 

 
FINANCIALS 0.6%

 

Ardonagh Group Ltd. «(j)

      431,831         532  
       

 

 

 
INDUSTRIALS 0.0%

 

Sierra Hamilton Holder LLC «(e)(j)

      100,456         34  
       

 

 

 
UTILITIES 0.0%

 

Eneva S.A. (e)(j)

      2,076         8  
       

 

 

 

Total Common Stocks (Cost $1,806)

      1,695  
 

 

 

 
WARRANTS 0.0%

 

INDUSTRIALS 0.0%

 

Sequa Corp. - Exp. 04/28/2024 «

      121,000         29  
       

 

 

 

Total Warrants (Cost $0)

    29  
 

 

 

 
        SHARES         MARKET
VALUE
(000S)
 
PREFERRED SECURITIES 5.0%

 

BANKING & FINANCE 3.2%

 

Nationwide Building Society

 

10.250% ~

      10,940     $     1,949  

OCP CLO Ltd.

 

0.000% due 04/26/2028 (g)

      1,400         1,135  
       

 

 

 
          3,084  
       

 

 

 
INDUSTRIALS 1.8%

 

Sequa Corp.

 

9.000% «

      2,536         1,693  
       

 

 

 

Total Preferred Securities (Cost $5,988)

    4,777  
 

 

 

 
REAL ESTATE INVESTMENT TRUSTS 2.4%

 

REAL ESTATE 2.4%

 

VICI Properties, Inc.

      121,529         2,282  
       

 

 

 

Total Real Estate Investment Trusts (Cost $1,780)

    2,282  
 

 

 

 
SHORT-TERM INSTRUMENTS 24.7%

 

REPURCHASE AGREEMENTS (k) 11.1%

 

            10,711  
       

 

 

 
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
ARGENTINA TREASURY BILLS 0.4%

 

(1.581)% due 01/31/2019 -
06/28/2019 (f)(g)

  ARS     14,446     $     411  
       

 

 

 
U.S. TREASURY BILLS 13.2%

 

2.345% due 01/03/2019 -
03/14/2019 (f)(g)(n)(p)

  $     12,752         12,724  
       

 

 

 
Total Short-Term Instruments (Cost $23,836)

 

      23,846  
 

 

 

 
       
Total Investments in Securities (Cost $187,732)     183,727  
 
Total Investments 190.9% (Cost $187,732)     $       183,727  

Financial Derivative
Instruments (m)(o) (7.5)%

(Cost or Premiums, net $5,867)

        (7,208
Other Assets and Liabilities, net (83.4)%       (80,277
 

 

 

 
Net Assets 100.0%

 

  $     96,242  
   

 

 

 
 

NOTES TO SCHEDULE OF INVESTMENTS:

 

*

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

^

Security is in default.

«

Security valued using significant unobservable inputs (Level 3).

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. See Note 4, Securities and Other Investments, in the Notes to Financial Statements for more information regarding unfunded loan commitments.

~

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

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

Ø

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)

Interest only security.

(b)

Principal only security.

(c)

Payment in-kind security.

(d)

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

(e)

Security did not produce income within the last twelve months.

(f)

Coupon represents a weighted average yield to maturity.

(g)

Zero coupon security.

(h)

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

(i)

Contingent convertible security.

 

(j)  RESTRICTED SECURITIES:

 

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

Ardonagh Group Ltd.

         04/02/2015 - 07/20/2017     $ 579     $ 532       0.55

Dommo Energia S.A.

         12/21/2017 - 12/26/2017       78       577       0.60  

Eneva S.A.

         12/21/2017       9       8       0.01  

Forbes Energy Services Ltd.

         03/11/2014 - 12/03/2014       241       14       0.01  

Pinnacol Assurance 8.625% due 06/25/2034

         06/23/2014       1,100       1,066       1.11  

Sierra Hamilton Holder LLC

         07/31/2017       25       34       0.04  
        

 

 

   

 

 

   

 

 

 
           $    2,032     $     2,231       2.32
        

 

 

   

 

 

   

 

 

 

 

See Accompanying Notes   SEMIANNUAL REPORT   DECEMBER 31, 2018   41


Table of Contents

Schedule of Investments PIMCO Global StocksPLUS® & Income Fund (Cont.)

 

 

BORROWINGS AND OTHER FINANCING TRANSACTIONS

 

(k)  REPURCHASE AGREEMENTS:

 

Counterparty   Lending
Rate
    Settlement
Date
    Maturity
Date
    Principal
Amount
    Collateralized By   Collateral
(Received)
    Repurchase
Agreements,
at Value
    Repurchase
Agreement
Proceeds
to be
Received(1)
 
FICC     2.000     12/31/2018       01/02/2019     $ 811     U.S. Treasury Notes 2.875% due 09/30/2023   $ (832   $ 811     $ 811  
TDM     3.130       12/31/2018       01/02/2019           9,900     U.S. Treasury Notes 2.000% due 04/30/2024     (10,169     9,900       9,902  
           

 

 

   

 

 

   

 

 

 

Total Repurchase Agreements

 

    $     (11,001   $     10,711     $     10,713  
   

 

 

   

 

 

   

 

 

 

 

REVERSE REPURCHASE AGREEMENTS:

 

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

BPS

    1.150     11/29/2018       01/29/2019       GBP       (1,040    $ (1,327
    3.401       12/04/2018       03/05/2019       $       (403      (404

BRC

    3.398       10/03/2018       01/03/2019         (292      (294
    3.430       12/14/2018       03/14/2019         (452      (453
    3.508       10/25/2018       01/25/2019         (1,045      (1,052

CIW

    2.850       12/19/2018       01/18/2019         (354      (354

FOB

    2.900       12/06/2018       01/07/2019         (698      (699

JML

    3.100       12/17/2018       01/17/2019         (1,868      (1,871

MSB

    3.982       02/05/2018       02/05/2019         (1,110      (1,116

NOM

    3.250       11/26/2018       02/26/2019         (792      (795

RTA

    3.529       07/31/2018       01/31/2019         (1,232      (1,251
    3.544       09/07/2018       03/07/2019         (1,226      (1,240
    3.592       09/24/2018       03/25/2019         (1,096      (1,107
    3.608       09/12/2018       03/12/2019         (34      (34
    3.813       12/27/2018       03/27/2019         (1,158      (1,159
    3.863       12/27/2018       03/27/2019         (1,160      (1,161

SGY

    3.310       12/27/2018       03/27/2019         (2,458      (2,459

SOG

    3.050       11/08/2018       02/08/2019         (1,176      (1,181
    3.250       11/21/2018       02/21/2019             (1,743      (1,750
    3.250       12/06/2018       02/21/2019         (324      (325

UBS

    1.150       11/22/2018       02/22/2019       GBP       (2,376      (3,032
    1.558       10/26/2018       01/28/2019         (711      (909
    3.010       10/25/2018       01/25/2019       $       (518      (521
    3.120       11/13/2018       02/13/2019         (5,626      (5,650
    3.120       12/12/2018       02/13/2019         (640      (642
    3.240       12/06/2018       03/05/2019         (667      (669
    3.280       12/12/2018       03/12/2019         (3,515      (3,522
    3.290       12/03/2018       03/04/2019         (1,482      (1,486
    3.360       10/05/2018       01/07/2019         (2,953      (2,978
            

 

 

 

Total Reverse Repurchase Agreements

 

         $     (39,441
            

 

 

 

 

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, 2018:

 

Counterparty   Repurchase
Agreement
Proceeds
to be
Received(1)
    Payable for
Reverse
Repurchase
Agreements
    Payable for
Sale-Buyback
Transactions
     Total
Borrowings and
Other Financing
Transactions
    Collateral
Pledged/(Received)
    Net  Exposure(3)  

Global/Master Repurchase Agreement

 

BPS

  $ 0     $ (1,731   $ 0      $ (1,731   $ 1,933     $ 202  

BRC

    0       (1,799     0        (1,799     2,288       489  

CIW

    0       (354     0        (354     361       7  

FICC

    811       0       0        811       (832     (21

FOB

    0       (699     0        (699     764       65  

JML

    0       (1,871     0        (1,871     2,309       438  

MSB

    0       (1,116     0        (1,116     1,557       441  

NOM

    0       (795     0        (795     870       75  

RTA

    0       (5,952     0        (5,952     7,739           1,787  

SGY

    0       (2,459     0        (2,459     2,682       223  

SOG

    0       (3,256     0        (3,256     3,423       167  

TDM

    9,902       0       0        9,902           (10,169     (267

UBS

    0       (19,409     0            (19,409     22,248       2,839  
 

 

 

   

 

 

   

 

 

        

Total Borrowings and Other Financing Transactions

  $     10,713     $     (39,441   $     0         
 

 

 

   

 

 

   

 

 

        

 

42   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


Table of Contents

 

December 31, 2018 (Unaudited)

 

 

CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS

 

Remaining Contractual Maturity of the Agreements

 

     Overnight and
Continuous
    Up to 30 days     31-90 days     Greater Than 90 days     Total  

Reverse Repurchase Agreements

 

Corporate Bonds & Notes

  $ 0     $ (4,773   $ (21,963   $ 0     $ (26,736

U.S. Government Agencies

    0       0       (404     0       (404

Non-Agency Mortgage-Backed Securities

    0       (2,256     (5,817     0       (8,073

Asset-Backed Securities

    0       (2,977     (1,251     0       (4,228
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Borrowings

  $     0     $     (10,006   $     (29,435   $     0     $     (39,441
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Payable for reverse repurchase agreements

 

  $ (39,441
 

 

 

 

 

(l)

Securities with an aggregate market value of $46,174 have been pledged as collateral under the terms of the above master agreements as of December 31, 2018.

 

(1)

Includes accrued interest.

(2)

The average amount of borrowings outstanding during the period ended December 31, 2018 was $(31,339) at a weighted average interest rate of 2.759%. Average borrowings may include sale-buyback transactions and reverse repurchase agreements, if held during the period.

(3)

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

 

(m)  FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED

 

PURCHASED OPTIONS:

 

OPTIONS ON EXCHANGE-TRADED FUTURES CONTRACTS

 

Description    Strike
Price
     Expiration
Date
     # of
Contracts
    Notional
Amount
    Cost     Market
Value
 

Put - CME S&P 500 January 2019 Futures

   $     2,330.000        01/18/2019        71     $     18     $ 533     $ 225  
            

 

 

   

 

 

 

Total Purchased Options

 

  $     533     $     225  
            

 

 

   

 

 

 

 

WRITTEN OPTIONS:

 

OPTIONS ON EXCHANGE-TRADED FUTURES CONTRACTS

 

Description   Strike
Price
    Expiration
Date
    # of
Contracts
    Notional
Amount
    Premiums
(Received)
    Market
Value
 

Call - CME S&P 500 January 2019 Futures

  $     2,450.000       01/18/2019       71     $     18     $ (1,278   $ (1,601
         

 

 

   

 

 

 

Total Written Options

 

  $     (1,278   $     (1,601
 

 

 

   

 

 

 

 

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

    03/2019       384     $     19,200     $ (1,905   $ 369      $ 0  
       

 

 

   

 

 

    

 

 

 

Total Futures Contracts

 

  $     (1,905   $     369      $     0  
 

 

 

   

 

 

    

 

 

 

 

SWAP AGREEMENTS:

 

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

 

Reference Entity   Fixed
Receive Rate
    Payment
Frequency
  Maturity
Date
    Implied
Credit Spread at
December 31, 2018(2)
    Notional
Amount(3)
    Premiums
Paid/(Received)
    Unrealized
Appreciation/
(Depreciation)
    Market
Value(4)
    Variation Margin  
  Asset     Liability  

Frontier Communications Corp.

    5.000   Quarterly     06/20/2020       19.721%     $     1,910     $     (77   $ (248   $ (325   $ 0     $ (3

General Electric Co.

    1.000     Quarterly     12/20/2020       1.653       100       (3     2       (1     0       0  

General Electric Co.

    1.000     Quarterly     12/20/2023       2.039       100       (7     2       (5     0       0  
           

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
          $ (87   $     (244   $     (331   $     0     $     (3
         

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

See Accompanying Notes   SEMIANNUAL REPORT   DECEMBER 31, 2018   43


Table of Contents

Schedule of Investments PIMCO Global StocksPLUS® & Income Fund (Cont.)

 

 

INTEREST RATE SWAPS

 

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

Pay

 

3-Month CAD-Bank Bill

    3.300     Semi-Annual       06/19/2024     CAD     4,900     $ 369     $ (183   $ 186     $ 5     $ 0  

Receive

 

3-Month CAD-Bank Bill

    3.500       Semi-Annual       06/20/2044         1,600       (285     98       (187     5       0  

Pay

 

3-Month USD-LIBOR

    2.860       Semi-Annual       04/26/2023     $     50,000       (137     766       629       94       0  

Pay

 

3-Month USD-LIBOR

    2.750       Semi-Annual       06/19/2023         150,300       5,854       (4,746     1,108       267       0  

Receive

 

3-Month USD-LIBOR

    2.750       Semi-Annual       12/19/2023         97,800       927       (1,685     (758     0       (191

Pay

 

3-Month USD-LIBOR

    3.000       Semi-Annual       06/18/2024         19,700       1,188       (777     411       44       0  

Receive

 

3-Month USD-LIBOR

    3.000       Semi-Annual       12/19/2028         122,000       (427     (2,510     (2,937     0       (473

Pay

 

3-Month USD-LIBOR

    3.000       Semi-Annual       12/19/2048         5,700       (17     180       163       34       0  

Receive(5)

 

6-Month EUR-EURIBOR

    1.000       Annual       03/20/2029     EUR     2,200       9       (46     (37     0       (3

Receive(5)

 

6-Month EUR-EURIBOR

    1.000       Annual       06/19/2029         300       (1     (2     (3     0       (1

Receive(5)

 

6-Month GBP-LIBOR

    1.500       Semi-Annual       03/20/2029     GBP     4,062       65       (92     (27     0       (19

Receive(5)

 

6-Month GBP-LIBOR

    1.750       Semi-Annual       03/20/2049         300       (2     (18     (20     0       (3
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
          $ 7,543     $ (9,015   $ (1,472   $ 449     $ (690
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Swap Agreements

 

  $     7,456     $     (9,259   $     (1,803   $     449     $     (693
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

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, 2018:

 

    Financial Derivative Assets           Financial Derivative Liabilities  
    Market Value     Variation Margin
Asset
    Total            Market Value     Variation Margin
Liability
   

Total

 
     Purchased
Options
    Futures     Swap
Agreements
          Written
Options
    Futures     Swap
Agreements
 

Total Exchange-Traded or Centrally Cleared

  $     225     $     369     $     449     $     1,043       $     (1,601)     $     0     $     (693)     $     (2,294)  
 

 

 

   

 

 

   

 

 

   

 

 

     

 

 

   

 

 

   

 

 

   

 

 

 

 

(n)

Securities with an aggregate market value of $1,909 and cash of $3,802 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2018. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information regarding master netting arrangements.

 

(1)

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

(2)

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

(5)

This instrument has a forward starting effective date. See Note 2, Securities Transactions and Investment Income, in the Notes to Financial Statements for further information.

 

(o)  FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER

 

FORWARD FOREIGN CURRENCY CONTRACTS:

 

Counterparty    Settlement
Month
    Currency to
be Delivered
    Currency to
be Received
    Unrealized Appreciation/
(Depreciation)
 
  Asset     Liability  

AZD

     02/2019     JPY     7,900     $     70     $     0     $ (2

BOA

     01/2019     ARS     1,784         44       0       (3
     01/2019     EUR     5,074         5,793       0         (25
     01/2019     GBP     64         82       0       0  

BPS

     01/2019     ARS     14,007         361       0       (5
     01/2019     $     56     ARS     2,230       2       0  
     02/2019     PEN     695     $     205       0       (1
     03/2019     $     31     ARS     1,302       1       0  

 

44   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


Table of Contents

 

December 31, 2018 (Unaudited)

 

Counterparty    Settlement
Month
    Currency to
be Delivered
    Currency to
be Received
    Unrealized Appreciation/
(Depreciation)
 
  Asset     Liability  

BRC

     01/2019     $     18     ARS     721     $ 1     $ 0  
     01/2019         133     GBP     105       1       0  

CBK

     01/2019     BRL     3,565     $     913       0       (7
     01/2019     $     53     ARS     2,180       4       0  
     01/2019         920     BRL     3,565       0       0  
     01/2019         186     GBP     146       0       0  
     02/2019     CHF     56     $     56       0       (1
     02/2019     $     303     BRL     1,179       1       0  

DUB

     01/2019     BRL     3,565     $     920       0       0  
     01/2019     $     926     BRL     3,565       0       (6
     02/2019     BRL     3,565     $     924       6       0  

FBF

     01/2019     $     114     RUB     7,744       0       (4

GLM

     01/2019     GBP     6,336     $     8,101       23       (1
     01/2019     $     128     EUR     112       0       0  
     01/2019         251     GBP     197       0       0  
     02/2019     JPY     13,800     $     123       0       (3

HUS

     01/2019     AUD     71         51       1       0  
     01/2019     $     1,063     MXN     21,362       21       0  

JPM

     01/2019     EUR     111     $     127       0       (1
     01/2019     $     43     ARS     1,672       1       0  
     01/2019         196     EUR     171       0       0  

SOG

     01/2019         1,014     RUB     67,198       0       (53

SSB

     01/2019         267     GBP     210       1       0  

UAG

     01/2019     CAD     30     $     22       0       0  
            

 

 

   

 

 

 

Total Forward Foreign Currency Contracts

 

  $     63     $     (112
 

 

 

   

 

 

 

 

PURCHASED OPTIONS:

 

OPTIONS ON SECURITIES

 

Counterparty   Description   Strike
Price
    Expiration
Date
    Notional
Amount
    Cost     Market
Value
 
FAR  

Put - OTC Fannie Mae, TBA 3.500% due 02/01/2049

  $     70.000       02/06/2019       $       8,000     $     1     $     0  
 

Put - OTC Fannie Mae, TBA 3.500% due 02/01/2049

    72.500       02/06/2019         5,000       0       0  
SAL  

Put - OTC Fannie Mae, TBA 3.500% due 01/01/2049

    63.000       01/07/2019         5,000       0       0  
           

 

 

   

 

 

 

Total Purchased Options

    $ 1     $ 0  
 

 

 

   

 

 

 

 

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 1-Month USD-LIBOR plus 6.250% due 07/25/2033

    6.250%     Monthly     07/25/2033     $         122     $     0     $     7     $     7     $     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  
DUB  

CMBX.NA.BBB-.8 Index

    3.000     Monthly       10/17/2057     $         400     $ (46   $ 0     $ 0     $ (46
FBF  

CMBX.NA.BBB-.8 Index

    3.000       Monthly       10/17/2057         100       (16     4       0       (12
GST  

ABX.HE.AA.6-1 Index

    0.320       Monthly       07/25/2045         2,147       (427     299       0       (128
 

ABX.HE.PENAAA.7-1 Index

    0.090       Monthly       08/25/2037         1,239       (240     64       0       (176
 

CMBX.NA.A.6 Index

    2.000       Monthly       05/11/2063         500       (25     3       0       (22
 

CMBX.NA.BB.6 Index

    5.000       Monthly       05/11/2063         100       (14     (14     0       (28
 

CMBX.NA.BBB-.6 Index

    3.000       Monthly       05/11/2063         100       (6     (10     0       (16
 

CMBX.NA.BBB-.7 Index

    3.000       Monthly       01/17/2047         100       (5     (3     0       (8
MYC  

CMBX.NA.BBB-.6 Index

    3.000       Monthly       05/11/2063         700       (41     (71     0       (112
 

CMBX.NA.BBB-.7 Index

    3.000       Monthly       01/17/2047         300       (13     (12     0       (25
 

CMBX.NA.BBB-.8 Index

    3.000       Monthly       10/17/2057         100       (12     0       0       (12
             

 

 

   

 

 

   

 

 

   

 

 

 
            $     (845   $     260     $     0     $     (585
           

 

 

   

 

 

   

 

 

   

 

 

 

 

See Accompanying Notes   SEMIANNUAL REPORT   DECEMBER 31, 2018   45


Table of Contents

Schedule of Investments PIMCO Global StocksPLUS® & Income Fund (Cont.)

 

 

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

    3.850%       Semi-Annual     07/13/2022   $         75,000     $     0     $     1,275     $     1,275     $     0  
               

 

 

   

 

 

   

 

 

   

 

 

 

 

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

    473    

3-Month USD-LIBOR less a specified spread

  Quarterly   08/14/2019   $     2,617     $ 0     $ (140   $ 0     $ (140

SOG

 

Receive

 

NDDUEAFE Index

    8,666    

3-Month USD-LIBOR less a specified spread

  Maturity   08/08/2019     51,475       0       (6,465     0       (6,465
               

 

 

   

 

 

   

 

 

   

 

 

 
              $ 0     $ (6,605   $ 0     $ (6,605
             

 

 

   

 

 

   

 

 

   

 

 

 

Total Swap Agreements

 

  $     (845   $     (5,063   $     1,282     $     (7,190
 

 

 

   

 

 

   

 

 

   

 

 

 

 

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, 2018:

 

    Financial Derivative Assets           Financial Derivative Liabilities     Total
Over the
Counter
    Net Market
Value of OTC
Derivatives
    Collateral
Pledged/
(Received)
    Net
Exposure(5)
 
Counterparty   Forward
Foreign
Currency
Contracts
     Purchased
Options
     Swap
Agreements
     Total
Over the
Counter
           Forward
Foreign
Currency
Contracts
    Written
Options
     Swap
Agreements
 

AZD

  $ 0      $ 0      $ 0      $ 0       $ (2   $ 0      $ 0     $ (2   $ (2   $ 0     $ (2

BOA

    0        0        7        7         (28     0        0       (28     (21     0       (21

BPS

    3        0        0        3         (6     0        0       (6     (3     0       (3

BRC

    2        0        0        2         0       0        0       0       2       0       2  

CBK

    5        0        0        5         (8     0        0       (8     (3     0       (3

DUB

    6        0        0        6         (6     0        (46     (52     (46     0       (46

FBF

    0        0        0        0         (4     0        (12     (16     (16     0       (16

GLM

    23        0        0        23         (4     0        0       (4     19       0       19  

GST

    0        0        0        0         0       0        (378     (378     (378     593       215  

HUS

    22        0        0        22         0       0        0       0       22       0       22  

JPM

    1        0        0        1         (1     0        (140     (141     (140     266           126  

MYC

    0        0        1,275        1,275         0       0        (149     (149     1,126           (1,106     20  

SOG

    0        0        0        0         (53     0        (6,465     (6,518         (6,518     6,775       257  

SSB

    1        0        0        1         0       0        0       0       1       0       1  
 

 

 

    

 

 

    

 

 

    

 

 

     

 

 

   

 

 

    

 

 

   

 

 

       

Total Over the Counter

  $     63      $     0      $     1,282      $     1,345       $     (112   $     0      $     (7,190   $     (7,302      
 

 

 

    

 

 

    

 

 

    

 

 

     

 

 

   

 

 

    

 

 

   

 

 

       

 

(p)

Securities with an aggregate market value of $7,634 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2018.

 

(1)

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

(2)

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

(3)

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

(4)

Receive represents that the Fund receives payments for any positive net return on the underlying reference. The Fund makes payments for any negative net return on such underlying reference. Pay represents that the Fund receives payments for any negative net return on the underlying reference. The Fund makes payments for any positive net return on such underlying reference.

(5)

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

 

46   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


Table of Contents

 

December 31, 2018 (Unaudited)

 

 

FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS

 

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

 

Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of December 31, 2018:

 

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

Financial Derivative Instruments - Assets

 

Exchange-traded or centrally cleared

 

Purchased Options

  $ 0     $ 0     $ 225     $ 0     $ 0     $ 225  

Futures

    0       0       369       0       0       369  

Swap Agreements

    0       0       0       0       449       449  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 0     $ 594     $ 0     $ 449     $ 1,043  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Over the counter

 

Forward Foreign Currency Contracts

  $ 0     $ 0     $ 0     $ 63     $ 0     $ 63  

Swap Agreements

    0       7       0       0       1,275       1,282  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 7     $ 0     $ 63     $ 1,275     $ 1,345  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 7     $ 594     $ 63     $     1,724     $ 2,388  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Financial Derivative Instruments - Liabilities

 

Exchange-traded or centrally cleared

 

Written Options

  $ 0     $ 0     $ 1,601     $ 0     $ 0     $ 1,601  

Swap Agreements

    0       3       0       0       690       693  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 3     $ 1,601     $ 0     $ 690     $ 2,294  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Over the counter

 

Forward Foreign Currency Contracts

  $ 0     $ 0     $ 0     $ 112     $ 0     $ 112  

Swap Agreements

    0       585       6,605       0       0       7,190  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 585     $ 6,605     $ 112     $ 0     $ 7,302  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $     0     $     588     $     8,206     $     112     $ 690     $     9,596  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

The effect of Financial Derivative Instruments on the Statements of Operations for the period ended December 31, 2018:

 

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

Net Realized Gain (Loss) on Financial Derivative Instruments

 

Exchange-traded or centrally cleared

 

Purchased Options

  $ 0     $ 0     $ 1,521     $ 0     $ 0     $ 1,521  

Written Options

    0       0       1,293       0       0       1,293  

Futures

    0       0       (3,294     0       (1     (3,295

Swap Agreements

    0       49       0       0       5,021       5,070  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 49     $ (480   $ 0     $ 5,020     $ 4,589  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Over the counter

 

Forward Foreign Currency Contracts

  $ 0     $ 0     $ 0     $ 664     $ 0     $ 664  

Swap Agreements

    0       94       1,317       0       (258     1,153  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 94     $ 1,317     $ 664     $ (258   $ 1,817  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 143     $ 837     $ 664     $ 4,762     $ 6,406  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative Instruments

 

Exchange-traded or centrally cleared

 

Purchased Options

  $ 0     $ 0     $ (445   $ 0     $ 0     $ (445

Written Options

    0       0       (840     0       0       (840

Futures

    0       0       (713     0       0       (713

Swap Agreements

    0       (194     0       0       (5,911     (6,105
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ (194   $ (1,998   $ 0     $ (5,911   $ (8,103
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Over the counter

 

Forward Foreign Currency Contracts

  $ 0     $ 0     $ 0     $ (193   $ 0     $ (193

Purchased Options

    0       0       0       0       (1     (1

Swap Agreements

    0       (88     (8,359     0       1,274       (7,173
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ (88   $ (8,359   $ (193   $ 1,273     $ (7,367
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $     0     $     (282   $     (10,357   $     (193   $     (4,638   $     (15,470
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

See Accompanying Notes   SEMIANNUAL REPORT   DECEMBER 31, 2018   47


Table of Contents

Schedule of Investments PIMCO Global StocksPLUS® & Income Fund (Cont.)

 

 

FAIR VALUE MEASUREMENTS

 

The following is a summary of the fair valuations according to the inputs used as of December 31, 2018 in valuing the Fund’s assets and liabilities:

 

Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
12/31/2018
 

Investments in Securities, at Value

 

Loan Participations and Assignments

  $ 0     $ 4,035     $ 357     $ 4,392  

Corporate Bonds & Notes

 

Banking & Finance

    0       21,423       1,066       22,489  

Industrials

    0       16,268       92       16,360  

Utilities

    0       4,699       0       4,699  

Convertible Bonds & Notes

 

Industrials

    0       486       0       486  

Municipal Bonds & Notes

 

Illinois

    0       169       0       169  

West Virginia

    0       2,086       0       2,086  

U.S. Government Agencies

    0           46,064       0       46,064  

Non-Agency Mortgage-Backed Securities

    0       32,388       364       32,752  

Asset-Backed Securities

    0       11,841           5,251           17,092  

Sovereign Issues

    0       4,509       0       4,509  

Common Stocks

 

Consumer Discretionary

        516       0       0       516  

Energy

    14       0       591       605  

Financials

    0       0       532       532  

Industrials

    0       0       34       34  

Utilities

    8       0       0       8  

Warrants

 

Industrials

    0       0       29       29  

Preferred Securities

 

Banking & Finance

    0       3,084       0       3,084  

Industrials

    0       0       1,693       1,693  
Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
12/31/2018
 

Real Estate Investment Trusts

 

Real Estate

  $ 2,282     $ 0     $ 0     $ 2,282  

Short-Term Instruments

 

Repurchase Agreements

    0       10,711       0       10,711  

Argentina Treasury Bills

    0       411       0       411  

U.S. Treasury Bills

    0       12,724       0       12,724  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

  $ 2,820     $ 170,898     $ 10,009     $ 183,727  
 

 

 

   

 

 

   

 

 

   

 

 

 

Financial Derivative Instruments - Assets

 

Exchange-traded or centrally cleared

    369       674       0       1,043  

Over the counter

    0       1,345       0       1,345  
 

 

 

   

 

 

   

 

 

   

 

 

 
  $ 369     $ 2,019     $ 0     $ 2,388  
 

 

 

   

 

 

   

 

 

   

 

 

 

Financial Derivative Instruments - Liabilities

 

Exchange-traded or centrally cleared

    0       (2,294     0       (2,294

Over the counter

    0       (7,302     0       (7,302
 

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ (9,596   $ 0     $ (9,596
 

 

 

   

 

 

   

 

 

   

 

 

 

Total Financial Derivative Instruments

  $ 369     $ (7,577   $ 0     $ (7,208
 

 

 

   

 

 

   

 

 

   

 

 

 

Totals

  $     3,189     $     163,321     $     10,009     $     176,519  
 

 

 

   

 

 

   

 

 

   

 

 

 
 

 

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended December 31, 2018:

 

Category and Subcategory   Beginning
Balance
at 06/30/2018
    Net
Purchases
    Net
Sales
    Accrued
Discounts/
(Premiums)
    Realized
Gain/(Loss)
    Net Change in
Unrealized
Appreciation/
(Depreciation)(1)
    Transfers into
Level 3
    Transfers out
of Level 3
    Ending
Balance
at 12/31/2018
    Net Change in
Unrealized
Appreciation/
(Depreciation)
on Investments
Held at
12/31/2018(1)
 

Investments in Securities, at Value

 

Loan Participations and Assignments

  $ 122     $ 211     $ 0     $ 0     $ 0     $ (17   $ 41     $ 0     $ 357     $ (17

Corporate Bonds & Notes

 

Banking & Finance

    2,040       0       (900     0       4       (78     0       0       1,066       (76

Industrials

    96       0       0       0       0       (4     0       0       92       (4

Non-Agency Mortgage-Backed Securities

    387       0       (18     1       0       (6     0       0       364       (6

Asset-Backed Securities

    1,405       4,309       0       0       0       (463     0       0       5,251       (463

Common Stocks

 

Energy

    842       0       0       0       0       (251     0       0       591       (251

Financials

    684       0       0       0       0       (152     0       0       532       (152

Industrials

    36       0       0       0       0       (2     0       0       34       (2

Warrants

 

Industrials

    31       0       0       0       0       (2     0       0       29       (2

Preferred Securities

 

Industrials

    2,011       271       0       0       0       (589     0       0       1,693       (589
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Totals

  $     7,654     $     4,791     $     (918   $     1     $     4     $     (1,564   $     41     $     0     $     10,009     $     (1,562
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

48   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


Table of Contents

 

December 31, 2018 (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 12/31/2018
     Valuation
Technique
   Unobservable
Inputs
   Input Value(s)
(% Unless
Noted
Otherwise)
 

Investments in Securities, at Value

 

Loan Participations and Assignments

  $ 357      Third Party Vendor    Broker Quote      91.500-96.000  

Corporate Bonds & Notes

 

Banking & Finance

    1,066      Reference Instrument    Option Adjusted Spread      625.508 bps  

Industrials

    92      Reference Instrument    Yield      11.566  

Non-Agency Mortgage-Backed Securities

    364      Proxy Pricing    Base Price      4.365-99.000  

Asset-Backed Securities

    5,251      Proxy Pricing    Base Price      100.540-120,000.000  

Common Stocks

 

Energy

    591      Other Valuation Techniques(2)          

Financials

    532      Fundamental Valuation    Company Equity Value      GBP    659,300,000.000  

Industrials

    34      Other Valuation Techniques(2)          

Warrants

 

Industrials

    29      Other Valuation Techniques(2)          

Preferred Securities

 

Industrials

    1,693      Fundamental Valuation    Company Equity Value      $    417,000,000.000  
 

 

 

          

Total

  $     10,009           
 

 

 

          

 

(1) 

Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at December 31, 2018 may be due to an investment no longer held or categorized as Level 3 at period end.

(2)

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

 

See Accompanying Notes   SEMIANNUAL REPORT   DECEMBER 31, 2018   49


Table of Contents

Schedule of Investments PIMCO Income Opportunity Fund

 

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

 

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
INVESTMENTS IN SECURITIES 141.8%

 

LOAN PARTICIPATIONS AND ASSIGNMENTS 8.3%

 

Altice France S.A.

 

6.455% (LIBOR03M + 4.000%) due 08/14/2026 ~

  $     200     $     189  

Avantor, Inc.

 

6.572% (LIBOR03M + 3.750%) due 11/21/2024 ~

      47         46  

Community Health Systems, Inc.

 

5.957% (LIBOR03M + 3.250%) due 01/27/2021 ~

      1,695         1,628  

Concordia International Corp.

 

7.887% (LIBOR03M + 5.500%) due 09/06/2024 ~

      1,891         1,802  

Diamond Resorts Corp.

 

6.272% (LIBOR03M + 3.750%) due 09/02/2023 ~

      2,943         2,751  

Dubai World

 

1.750% - 2.000% (LIBOR03M + 2.000%) due 09/30/2022 ~

      4,155         3,892  

Envision Healthcare Corp.

 

6.273% (LIBOR03M + 3.750%) due 10/10/2025 ~

      300         281  

Financial & Risk U.S. Holdings, Inc.

 

4.000% (EUR003M + 4.000%) due 10/01/2025 ~

  EUR     1,000           1,127  

6.272% (LIBOR03M + 3.750%) due 10/01/2025 ~

  $     600         563  

Forbes Energy Services LLC

 

5.000% - 9.000% due 04/13/2021

      496         499  

Forest City Enterprises LP

 

6.383% (LIBOR03M + 4.000%) due 12/07/2025 «~

      100         98  

FrontDoor, Inc.

 

5.063% (LIBOR03M + 2.500%) due 08/14/2025 «~

      20         19  

Frontier Communications Corp.

 

6.280% (LIBOR03M + 3.750%) due 06/15/2024 ~

      395         367  

Gray Television, Inc.

 

TBD% due 11/02/2025

      100         97  

iHeartCommunications, Inc.

 

TBD% due 01/30/2019 ^(d)

      5,744         3,841  

TBD% due 07/30/2019 ^(d)

      110         74  

IRB Holding Corp.

 

5.682% - 6.053% (LIBOR03M + 3.250%) due 02/05/2025 ~

      559         534  

McDermott Technology Americas, Inc.

 

7.522% (LIBOR03M + 5.000%) due 05/12/2025 ~

      649         607  

Messer Industrie GmbH

 

TBD% due 10/01/2025

      80         77  

MH Sub LLC

 

6.254% (LIBOR03M + 3.750%) due 09/13/2024 ~

      69         66  

Multi Color Corp.

 

4.522% (LIBOR03M + 2.000%) due 10/31/2024 «~

      10         9  

NCI Building Systems, Inc.

 

6.175% (LIBOR03M + 3.750%) due 04/12/2025 «~

      30         27  

Neiman Marcus Group Ltd. LLC

 

5.630% (LIBOR03M + 3.250%) due 10/25/2020 ~

      2,711         2,312  

PetSmart, Inc.

 

5.380% (LIBOR03M + 3.000%) due 03/11/2022 ~

      50         39  

Sequa Mezzanine Holdings LLC

 

7.408% (LIBOR03M + 5.000%) due 11/28/2021 «~

      457         437  

11.520% (LIBOR03M + 9.000%) due 04/28/2022 «~

      3,120         2,995  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Starfruit Finco B.V

 

5.599% (LIBOR03M + 3.250%) due 10/01/2025 «~

  $     200     $     188  

Syniverse Holdings, Inc.

 

7.455% (LIBOR03M + 5.000%) due 03/09/2023 «~

      10         9  

Univision Communications, Inc.

 

5.272% due 03/15/2024

      6,562         5,965  

Valeant Pharmaceuticals International, Inc.

 

5.129% (LIBOR03M + 2.750%) due 11/27/2025 ~

      89         84  

Verscend Holding Corp.

 

7.022% (LIBOR03M + 4.500%) due 08/27/2025 ~

      100         97  

West Corp.

 

6.527% (LIBOR03M + 4.000%) due 10/10/2024 ~

      35         32  
       

 

 

 

Total Loan Participations and Assignments (Cost $33,046)

      30,752  
 

 

 

 
CORPORATE BONDS & NOTES 45.3%

 

BANKING & FINANCE 21.7%

 

AGFC Capital Trust

 

4.186% (US0003M + 1.750%) due 01/15/2067 ~

      2,300         1,035  

Ally Financial, Inc.

 

8.000% due 11/01/2031 (l)

      1,567         1,745  

Ambac Assurance Corp.

 

5.100% due 06/07/2020

      1         1  

Ambac LSNI LLC

 

7.803% due 02/12/2023 •

      517         520  

Ardonagh Midco PLC

 

8.375% due 07/15/2023 (l)

  GBP     4,700         5,095  

Athene Holding Ltd.

 

4.125% due 01/12/2028

  $     34         31  

Avolon Holdings Funding Ltd.

 

5.500% due 01/15/2023

      113         110  

AXA Equitable Holdings, Inc.

 

4.350% due 04/20/2028

      80         76  

5.000% due 04/20/2048

      48         42  

Banco Espirito Santo S.A.

 

4.000% due 01/21/2019 ^(d)

  EUR     3,100         1,030  

Bank of Ireland

 

7.375% due 06/18/2020 •(h)(i)

      400         479  

Barclays Bank PLC

 

7.625% due 11/21/2022 (i)(l)

  $     400         415  

Barclays PLC

 

3.250% due 01/17/2033

  GBP     100         113  

6.500% due 09/15/2019 •(h)(i)

  EUR     2,000         2,239  

7.250% due 03/15/2023 •(h)(i)(l)

  GBP     2,055         2,624  

7.875% due 09/15/2022 •(h)(i)(l)

      1,970         2,520  

8.000% due 12/15/2020 •(h)(i)

  EUR     200         243  

Brookfield Finance, Inc.

 

3.900% due 01/25/2028

  $     56         53  

4.700% due 09/20/2047

      48         44  

Cantor Fitzgerald LP

 

7.875% due 10/15/2019 (l)

      3,160         3,254  

CBL & Associates LP

 

5.950% due 12/15/2026

      16         12  

Co-operative Group Holdings Ltd.

 

7.500% due 07/08/2026 Ø

  GBP     1,400         1,980  

Credit Agricole S.A.

 

7.875% due 01/23/2024 •(h)(i)(l)

  $     300         301  

Credit Suisse AG

 

6.500% due 08/08/2023 (i)

      200         209  

Credit Suisse Group AG

 

7.500% due 07/17/2023 •(h)(i)

      200         196  

Emerald Bay S.A.

 

0.000% due 10/08/2020 (g)

  EUR     18         19  

Equinix, Inc.

 

2.875% due 03/15/2024

      100         115  

2.875% due 02/01/2026

      100         109  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Fortress Transportation & Infrastructure Investors LLC

 

6.500% due 10/01/2025

  $     167     $     157  

6.750% due 03/15/2022

      220         221  

Freedom Mortgage Corp.

 

8.250% due 04/15/2025

      8         7  

GE Capital European Funding Unlimited Co.

 

0.000% due 05/17/2021 •

  EUR     200         218  

GE Capital UK Funding Unlimited Co.

 

4.375% due 07/31/2019

  GBP     10         13  

HSBC Bank PLC

 

6.330% due 05/23/2023

  $     5,500         5,626  

HSBC Holdings PLC

 

5.875% due 09/28/2026 •(h)(i)(l)

  GBP     200         244  

6.000% due 09/29/2023 •(h)(i)(l)

  EUR     1,400         1,701  

6.500% due 03/23/2028 •(h)(i)

  $     310         282  

Hunt Cos., Inc.

 

6.250% due 02/15/2026

      16         14  

Intrepid Aviation Group Holdings LLC

 

8.500% due 08/15/2021 (l)

      7,000         6,947  

iStar, Inc.

 

4.625% due 09/15/2020

      9         9  

5.250% due 09/15/2022

      31         29  

Jefferies Finance LLC

 

6.875% due 04/15/2022 (l)

      200         196  

7.500% due 04/15/2021 (l)

      2,885         2,892  

Kennedy-Wilson, Inc.

 

5.875% due 04/01/2024

      42         39  

Lloyds Banking Group PLC

 

7.500% due 06/27/2024 •(h)(i)

      200         193  

7.500% due 09/27/2025 •(h)(i)(l)

      1,740           1,684  

7.625% due 06/27/2023 •(h)(i)

  GBP     700         920  

LoanCore Capital Markets LLC

 

6.875% due 06/01/2020 (l)

  $     1,450         1,451  

Meiji Yasuda Life Insurance Co.

 

5.100% due 04/26/2048 •

      200         198  

MetLife, Inc.

 

5.875% due 03/15/2028 •(h)

      6         6  

Nationstar Mortgage LLC

 

6.500% due 07/01/2021 (l)

      466         456  

Navient Corp.

 

5.625% due 08/01/2033

      55         37  

6.500% due 06/15/2022

      50         47  

8.000% due 03/25/2020 (l)

      1,100         1,120  

Newmark Group, Inc.

 

6.125% due 11/15/2023

      46         45  

Oppenheimer Holdings, Inc.

 

6.750% due 07/01/2022

      28         28  

Pinnacol Assurance

 

8.625% due 06/25/2034 «(j)

      2,900         2,811  

Provident Funding Associates LP

 

6.375% due 06/15/2025

      17         15  

Royal Bank of Scotland Group PLC

 

7.500% due 08/10/2020 •(h)(i)(l)

      2,650         2,630  

8.000% due 08/10/2025 •(h)(i)(l)

      1,900         1,900  

8.625% due 08/15/2021 •(h)(i)(l)

      1,600         1,660  

Santander UK Group Holdings PLC

 

6.750% due 06/24/2024 •(h)(i)

  GBP     800         1,004  

7.375% due 06/24/2022 •(h)(i)(l)

      2,500         3,207  

Sberbank of Russia Via SB Capital S.A.

 

6.125% due 02/07/2022 (l)

  $     4,000         4,115  

Societe Generale S.A.

 

6.750% due 04/06/2028 •(h)(i)

      200         170  

7.375% due 10/04/2023 •(h)(i)

      400         373  

Springleaf Finance Corp.

 

5.625% due 03/15/2023 (l)

      800         740  

6.125% due 05/15/2022 (l)

      414         404  

6.875% due 03/15/2025

      59         53  

Stichting AK Rabobank Certificaten

 

6.500% due 12/29/2049 (h)

  EUR     370         460  

Tesco Property Finance PLC

 

6.052% due 10/13/2039

  GBP     1,679         2,472  

Toll Road Investors Partnership LP

 

0.000% due 02/15/2045 (g)

  $     4,887         1,237  
 

 

50   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


Table of Contents

 

December 31, 2018 (Unaudited)

 

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

TP ICAP PLC

 

5.250% due 01/26/2024

  GBP     1,000     $     1,194  

UBS Group Funding Switzerland AG

 

5.750% due 02/19/2022 •(h)(i)

  EUR     400         487  

UniCredit SpA

 

7.830% due 12/04/2023 (l)

  $     2,820         2,953  

Unigel Luxembourg S.A.

 

10.500% due 01/22/2024

      370         387  

Unique Pub Finance Co. PLC

 

5.659% due 06/30/2027

  GBP     1,175         1,641  

7.395% due 03/28/2024

      800         1,119  

WeWork Cos., Inc.

 

7.875% due 05/01/2025

  $     46         41  
       

 

 

 
            80,463  
       

 

 

 
INDUSTRIALS 18.4%

 

AA Bond Co. Ltd.

 

2.875% due 07/31/2043

  GBP     2,200         2,613  

Air Canada Pass-Through Trust

 

3.700% due 07/15/2027

  $     14         13  

Altice Financing S.A.

 

7.500% due 05/15/2026 (l)

      2,000         1,830  

Altice France S.A.

 

7.375% due 05/01/2026 (l)

      2,938         2,703  

8.125% due 02/01/2027 (l)

      700         661  

Associated Materials LLC

 

9.000% due 01/01/2024 (l)

      5,560         5,393  

Baffinland Iron Mines Corp.

 

8.750% due 07/15/2026 (l)

      800         721  

Charter Communications Operating LLC

 

4.200% due 03/15/2028

      86         81  

Cheniere Corpus Christi Holdings LLC

 

5.875% due 03/31/2025

      100         100  

Chesapeake Energy Corp.

 

5.686% (US0003M + 3.250%) due 04/15/2019 ~

      29         29  

Clear Channel Worldwide Holdings, Inc.

 

6.500% due 11/15/2022

      410         412  

7.625% due 03/15/2020 (l)

      2,280         2,232  

Cleveland-Cliffs, Inc.

 

4.875% due 01/15/2024

      22         21  

Community Health Systems, Inc.

 

5.125% due 08/01/2021 (l)

      914         852  

6.250% due 03/31/2023 (l)

      5,527         5,044  

8.625% due 01/15/2024

      256         253  

Continental Airlines Pass-Through Trust

 

7.707% due 10/02/2022 «

      218         227  

8.048% due 05/01/2022 «

      357         369  

Corp. GEO S.A.B. de C.V.

 

8.875% due 03/27/2022 ^(d)

      200         0  

9.250% due 06/30/2020 ^(d)

      1,800         0  

CSN Resources S.A.

 

6.500% due 07/21/2020 (l)

      400         388  

6.500% due 07/21/2020

      100         97  

CVS Pass-Through Trust

 

7.507% due 01/10/2032

      2,310         2,673  

DAE Funding LLC

 

5.250% due 11/15/2021

      200         197  

5.750% due 11/15/2023

      200         198  

Delta Air Lines Pass-Through Trust

 

7.750% due 06/17/2021

      276         285  

Diamond Resorts International, Inc.

 

7.750% due 09/01/2023

      70         67  

10.750% due 09/01/2024 (l)

      1,600         1,444  

DJO Finance LLC

 

8.125% due 06/15/2021

      1,122         1,158  

DriveTime Automotive Group, Inc.

 

8.000% due 06/01/2021 (l)

      1,500         1,508  

EI Group PLC

 

6.875% due 05/09/2025

  GBP     20         28  

Envision Healthcare Corp.

 

8.750% due 10/15/2026 (l)

  $     1,344         1,166  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Exela Intermediate LLC

 

10.000% due 07/15/2023

  $     74     $     71  

First Quantum Minerals Ltd.

 

6.500% due 03/01/2024 (l)

      924         770  

6.875% due 03/01/2026 (l)

      1,018         821  

7.000% due 02/15/2021

      380         366  

Fresh Market, Inc.

 

9.750% due 05/01/2023 (l)

      3,490           2,530  

Frontier Finance PLC

 

8.000% due 03/23/2022

  GBP     2,900         3,601  

Full House Resorts, Inc.

 

8.575% due 01/31/2024 «

  $     197         181  

General Electric Co.

 

2.200% due 01/09/2020

      159         157  

3.100% due 01/09/2023

      50         47  

3.450% due 05/15/2024

      1         1  

5.000% due 01/21/2021 •(h)

      186         143  

5.550% due 05/04/2020

      40         41  

5.550% due 01/05/2026

      166         163  

5.875% due 01/14/2038

      10         10  

6.150% due 08/07/2037

      109         107  

6.875% due 01/10/2039

      28         29  

HCA, Inc.

 

4.500% due 02/15/2027 (l)

      600         568  

Hilton Domestic Operating Co., Inc.

 

5.125% due 05/01/2026

      80         77  

iHeartCommunications, Inc.

 

9.000% due 12/15/2019 ^(d)

      1,700         1,147  

9.000% due 03/01/2021 ^(d)

      5,754         3,884  

Intelsat Connect Finance S.A.

 

9.500% due 02/15/2023

      125         108  

Intelsat Jackson Holdings S.A.

 

8.000% due 02/15/2024

      85         88  

8.500% due 10/15/2024

      952         928  

9.750% due 07/15/2025

      74         75  

Intelsat Luxembourg S.A.

 

7.750% due 06/01/2021 (l)

      4,867         4,453  

8.125% due 06/01/2023 (l)

      966         753  

Mallinckrodt International Finance S.A.

 

5.500% due 04/15/2025 (l)

      400         278  

Marriott Ownership Resorts, Inc.

 

6.500% due 09/15/2026

      40         39  

Metinvest BV

 

8.500% due 04/23/2026 (l)

      600         542  

Netflix, Inc.

 

4.625% due 05/15/2029

  EUR     200         226  

Odebrecht Oil & Gas Finance Ltd.

 

0.000% due 01/31/2019 (g)(h)

  $     1,150         20  

Ortho-Clinical Diagnostics, Inc.

 

6.625% due 05/15/2022 (l)

      760         688  

Park Aerospace Holdings Ltd.

 

3.625% due 03/15/2021

      51         49  

4.500% due 03/15/2023

      103         97  

5.250% due 08/15/2022

      8         8  

5.500% due 02/15/2024

      22         21  

Petroleos Mexicanos

 

6.500% due 03/13/2027

      110         104  

6.750% due 09/21/2047

      30         25  

PetSmart, Inc.

 

5.875% due 06/01/2025

      70         51  

Platin GmbH

 

6.875% due 06/15/2023

  EUR     300         332  

Radiate Holdco LLC

 

6.875% due 02/15/2023

  $     40         36  

Refinitiv U.S. Holdings, Inc.

 

4.500% due 05/15/2026

  EUR     100         112  

6.250% due 05/15/2026

  $     69         67  

Rockpoint Gas Storage Canada Ltd.

 

7.000% due 03/31/2023

      4         4  

Russian Railways via RZD Capital PLC

 

7.487% due 03/25/2031

  GBP     100         153  

Sabine Pass Liquefaction LLC

 

5.875% due 06/30/2026

  $     1,500         1,591  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Sands China Ltd.

 

4.600% due 08/08/2023

  $     200     $     199  

5.125% due 08/08/2025

      200         198  

5.400% due 08/08/2028

      200         194  

Shelf Drilling Holdings Ltd.

 

8.250% due 02/15/2025

      13         11  

SoftBank Group Corp.

 

4.000% due 04/20/2023 (l)

  EUR     1,100           1,301  

Spirit Issuer PLC

 

6.582% due 03/28/2025

  GBP     979         1,262  

Sunoco LP

 

4.875% due 01/15/2023

  $     32         31  

T-Mobile USA, Inc.

 

4.750% due 02/01/2028

      12         11  

Teva Pharmaceutical Finance Netherlands BV

 

3.250% due 04/15/2022

  EUR     200         231  

Times Square Hotel Trust

 

8.528% due 08/01/2026

  $     3,911         4,509  

Transocean Pontus Ltd.

 

6.125% due 08/01/2025

      96         93  

Triumph Group, Inc.

 

4.875% due 04/01/2021

      53         48  

5.250% due 06/01/2022

      22         19  

United Group BV

 

4.375% due 07/01/2022

  EUR     100         114  

4.875% due 07/01/2024

      100         113  

Univision Communications, Inc.

 

5.125% due 05/15/2023

  $     137         123  

5.125% due 02/15/2025

      96         84  

UPCB Finance Ltd.

 

3.625% due 06/15/2029

  EUR     120         131  

ViaSat, Inc.

 

5.625% due 09/15/2025

  $     58         54  

VOC Escrow Ltd.

 

5.000% due 02/15/2028

      34         32  

WellCare Health Plans, Inc.

 

5.375% due 08/15/2026

      52         50  

Wind Tre SpA

 

2.625% due 01/20/2023

  EUR     200         208  

2.750% due 01/20/2024 •

      200         206  

Wyndham Destinations, Inc.

 

3.900% due 03/01/2023

  $     48         44  

4.250% due 03/01/2022

      2         2  

5.400% due 04/01/2024

      2         2  

5.750% due 04/01/2027 (l)

      594         547  
       

 

 

 
            68,142  
       

 

 

 
UTILITIES 5.2%

 

AT&T, Inc.

 

4.900% due 08/15/2037 (l)

      228         213  

Gazprom Neft OAO Via GPN Capital S.A.

 

4.375% due 09/19/2022

      200         197  

Gazprom OAO Via Gaz Capital S.A.

 

5.999% due 01/23/2021

      381         393  

6.510% due 03/07/2022 (l)

      3,400         3,559  

8.625% due 04/28/2034 (l)

      1,081         1,340  

9.250% due 04/23/2019

      100         102  

Odebrecht Drilling Norbe Ltd.

 

6.350% due 12/01/2021 (l)

      1,033         998  

Odebrecht Drilling Norbe Ltd. (6.350% Cash or 7.350% PIK)

 

7.350% due 12/01/2026 (c)

      2,196         1,249  

Pacific Gas & Electric Co.

 

2.450% due 08/15/2022

      54         48  

2.950% due 03/01/2026

      35         29  

3.250% due 09/15/2021

      15         14  

3.250% due 06/15/2023

      4         4  

3.500% due 10/01/2020

      66         63  

3.750% due 02/15/2024

      16         14  

3.750% due 08/15/2042

      16         12  

4.250% due 05/15/2021

      45         43  

Petrobras Global Finance BV

 

5.999% due 01/27/2028 (l)

      460         434  
 

 

See Accompanying Notes   SEMIANNUAL REPORT   DECEMBER 31, 2018   51


Table of Contents

Schedule of Investments PIMCO Income Opportunity Fund (Cont.)

 

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

6.125% due 01/17/2022 (l)

  $     84     $     86  

6.250% due 12/14/2026 (l)

  GBP     3,100         4,095  

6.625% due 01/16/2034

      200         257  

7.375% due 01/17/2027 (l)

  $     1,875         1,930  

Rio Oil Finance Trust

 

9.250% due 07/06/2024 (l)

      1,444         1,546  

9.750% due 01/06/2027 (l)

      590         648  

Southern California Edison Co.

 

3.650% due 03/01/2028

      4         4  

5.750% due 04/01/2035

      8         9  

6.000% due 01/15/2034

      2         2  

6.650% due 04/01/2029

      16         18  

Sprint Capital Corp.

 

6.900% due 05/01/2019 (l)

      1,000         1,009  

Sprint Communications, Inc.

 

7.000% due 08/15/2020 (l)

      1,100         1,129  
       

 

 

 
          19,445  
       

 

 

 

Total Corporate Bonds & Notes (Cost $175,283)

      168,050  
 

 

 

 
CONVERTIBLE BONDS & NOTES 0.0%

 

INDUSTRIALS 0.0%

 

Caesars Entertainment Corp.

 

5.000% due 10/01/2024

      33         41  
       

 

 

 

Total Convertible Bonds & Notes (Cost $61)

    41  
 

 

 

 
MUNICIPAL BONDS & NOTES 1.3%

 

ILLINOIS 0.2%

 

Chicago, Illinois General Obligation Bonds, Series 2014

 

6.314% due 01/01/2044

      50         49  

Chicago, Illinois General Obligation Bonds, Series 2015

 

7.375% due 01/01/2033

      120         132  

7.750% due 01/01/2042

      210         225  

Chicago, Illinois General Obligation Bonds, Series 2017

 

7.045% due 01/01/2029

      70         75  

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

 

6.725% due 04/01/2035

      25         27  

7.350% due 07/01/2035

      15         17  

Illinois State General Obligation Bonds, Series 2003

 

5.100% due 06/01/2033

      165         158  
       

 

 

 
          683  
       

 

 

 
IOWA 0.0%

 

Iowa Tobacco Settlement Authority Revenue Bonds, Series 2005

 

6.500% due 06/01/2023

      125         127  
       

 

 

 
WEST VIRGINIA 1.1%

 

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

 

0.000% due 06/01/2047 (g)

      28,100         1,581  

7.467% due 06/01/2047

      2,565         2,519  
       

 

 

 
          4,100  
       

 

 

 

Total Municipal Bonds & Notes (Cost $4,870)

    4,910  
 

 

 

 
U.S. GOVERNMENT AGENCIES 2.3%

 

Fannie Mae

 

4.000% due 10/01/2040

      22         23  

6.056% due 07/25/2029 •

      530         562  

8.256% due 07/25/2029 •

      720         831  

Freddie Mac

 

0.000% due 04/25/2045 -02/25/2046 (b)(g)(l)

      5,794         5,190  

0.100% due 05/25/2020 - 02/25/2046 (a)

      90,985         117  

0.200% due 04/25/2045 (a)

      3,595         1  

0.661% due 10/25/2020 ~(a)

      26,317         248  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

7.656% due 10/25/2029 •

  $     1,300     $     1,461  
       

 

 

 

Total U.S. Government Agencies (Cost $8,038)

      8,433  
 

 

 

 
NON-AGENCY MORTGAGE-BACKED SECURITIES 34.8%

 

American Home Mortgage Investment Trust

 

2.776% due 03/25/2037 •

      3,993         2,537  

Anthracite Ltd.

 

5.678% due 06/20/2041

      2,700         843  

Banc of America Alternative Loan Trust

 

11.426% due 09/25/2035 ^•

      1,070         1,228  

Banc of America Funding Trust

 

3.711% due 12/20/2034 ~

      728         580  

3.767% due 03/20/2036 ^~

      752         650  

4.281% due 12/20/2036 ~

      82         85  

6.020% due 10/20/2046 ^~

      542         424  

Banc of America Mortgage Trust

 

4.451% due 09/25/2034 ~

      108         107  

4.747% due 10/20/2046 ^~

      78         51  

Bancorp Commercial Mortgage Trust

 

6.150% due 08/15/2032 •(l)

      3,800         3,826  

Barclays Commercial Mortgage Securities Trust

 

7.455% due 08/15/2027 •(l)

      2,900         2,868  

Bayview Commercial Asset Trust

 

2.726% due 03/25/2037 •

      130         123  

BCAP LLC Trust

 

3.345% due 05/26/2037 ~

      3,278         2,852  

Bear Stearns Adjustable Rate Mortgage Trust

 

3.578% due 03/25/2035 ~

      78         77  

3.875% due 08/25/2047 ^~

      304         270  

3.924% due 06/25/2047 ^~

      210         193  

4.372% due 09/25/2034 ~

      77         74  

4.498% due 10/25/2036 ^~

      727         699  

4.750% due 09/25/2034 ~

      25         25  

Bear Stearns ALT-A Trust

 

2.666% due 06/25/2046 ^•(l)

      2,647         2,821  

3.206% due 01/25/2035 •

      273         273  

3.654% due 05/25/2036 ^~

      691         641  

3.848% due 08/25/2036 ^~(l)

      1,926         1,922  

3.867% due 08/25/2036 ^~

      433         286  

3.877% due 07/25/2035 ^~

      326         284  

3.899% due 04/25/2035 ~

      269         250  

3.952% due 11/25/2036 ^~

      440         391  

4.032% due 05/25/2035 ~

      424         398  

4.309% due 11/25/2035 ~

      54         47  

4.383% due 09/25/2034 ~

      294         290  

BRAD Resecuritization Trust

 

2.187% due 03/12/2021 «

      2,560         113  

6.550% due 03/12/2021 «

      479         479  

CBA Commercial Small Balance Commercial Mortgage

 

5.540% due 01/25/2039 ^Ø

      1,029         865  

CD Commercial Mortgage Trust

 

5.398% due 12/11/2049 ~

      104         76  

CD Mortgage Trust

 

5.688% due 10/15/2048 (l)

      4,858         2,476  

Chase Mortgage Finance Trust

 

5.500% due 11/25/2021 ^

      744         523  

6.000% due 03/25/2037 ^

      817         665  

Citigroup Commercial Mortgage Trust

 

5.592% due 12/10/2049 ~(l)

      1,633         1,103  

Citigroup Global Markets Mortgage Securities, Inc.

 

6.500% due 02/25/2029

      248         248  

Citigroup Mortgage Loan Trust

 

3.909% due 03/25/2037 ^~

      1,330         1,117  

Citigroup Mortgage Loan Trust, Inc.

 

5.500% due 11/25/2035 ^

      533         500  

Commercial Mortgage Loan Trust

 

6.050% due 12/10/2049 ~(l)

      2,424         1,488  

Commercial Mortgage Trust

 

6.126% due 07/10/2046 ~(l)

      2,170         2,215  

Countrywide Alternative Loan Trust

 

2.756% due 06/25/2037 ^•(l)

      939         748  

2.856% due 05/25/2036 ^•

      1,659         842  

2.856% due 08/01/2036 ^•

      1,295         813  

5.500% due 10/25/2035 ^

      279         250  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

5.500% due 12/25/2035 ^

  $     1,388     $     1,154  

5.750% due 05/25/2036 ^

      270         197  

6.000% due 11/25/2035 ^

      352         120  

6.000% due 04/25/2036 ^

      298         244  

6.000% due 04/25/2037 ^

      580         398  

6.500% due 09/25/2032 ^

      347         335  

6.500% due 07/25/2035 ^

      348         281  

6.500% due 06/25/2036 ^

      454         343  

Countrywide Home Loan Mortgage Pass-Through Trust

 

3.289% due 03/25/2037 ^~

      1,037         867  

3.796% due 06/20/2035 ~

      150         145  

3.855% due 08/20/2035 ^~

      72         69  

3.910% due 08/25/2034 ^~

      41         39  

4.078% due 11/25/2035 ^~

      1,738           1,542  

4.376% due 03/25/2046 ^•

      2,550         1,650  

4.517% due 09/25/2047 ^~

      731         710  

5.500% due 08/25/2035 ^

      72         63  

Credit Suisse First Boston Mortgage Securities Corp.

 

7.500% due 05/25/2032

      1,208         1,293  

Credit Suisse Mortgage Capital Certificates

 

2.781% due 11/30/2037 ~(l)

      9,500         8,315  

Credit Suisse Mortgage Capital Mortgage-Backed Trust

 

3.106% due 07/25/2036 ^•

      506         166  

5.896% due 04/25/2036 Ø

      422         280  

6.500% due 05/25/2036 ^

      371         217  

Credit Suisse Mortgage Capital Trust

 

6.500% due 07/26/2036 ^

      463         235  

Debussy DTC PLC

 

5.930% due 07/12/2025 (l)

  GBP     7,000         8,913  

Deutsche ALT-A Securities, Inc. Mortgage Loan Trust

 

2.656% due 02/25/2047 •

  $     540         423  

Deutsche ALT-B Securities, Inc. Mortgage Loan Trust

 

6.250% due 07/25/2036 ^~

      77         69  

Deutsche Mortgage Securities, Inc. Mortgage Loan Trust

 

5.500% due 09/25/2033

      144         149  

Downey Savings & Loan Association Mortgage Loan Trust

 

2.650% due 04/19/2047 ^•

      333         295  

EMF-NL BV

 

0.682% due 07/17/2041 •

  EUR     800         866  

Epic Drummond Ltd.

 

0.000% due 01/25/2022 •

      87         98  

Eurosail PLC

 

2.500% due 09/13/2045 •

  GBP     1,814           2,197  

3.150% due 09/13/2045 •

      1,314         1,595  

4.750% due 09/13/2045 •

      1,126         1,511  

First Horizon Alternative Mortgage Securities Trust

 

3.819% due 02/25/2036 ~

  $     77         63  

3.906% due 05/25/2036 ^~

      1,261         1,134  

4.086% due 11/25/2036 ^~

      1,047         840  

4.158% due 08/25/2035 ^~

      52         9  

6.250% due 11/25/2036 ^

      88         59  

First Horizon Mortgage Pass-Through Trust

 

3.938% due 07/25/2037 ^~

      42         34  

4.304% due 01/25/2037 ^~

      612         551  

GE Commercial Mortgage Corp. Trust

 

5.606% due 12/10/2049 ~

      1,014         957  

GMAC Mortgage Corp. Loan Trust

 

4.190% due 06/25/2034 ~

      122         120  

4.268% due 07/19/2035 ~

      46         45  

4.500% due 06/25/2034 ~

      81         80  

GreenPoint Mortgage Funding Trust

 

2.686% due 01/25/2037 •

      957         894  

GS Mortgage Securities Corp.

 

4.591% due 10/10/2032 ~

      3,400         3,058  

GS Mortgage Securities Trust

 

1.354% due 08/10/2043 ~(a)

      7,628         128  

GSR Mortgage Loan Trust

 

2.956% due 07/25/2037 ^•

      355         173  

4.354% due 01/25/2036 ^~

      863         857  

4.715% due 12/25/2034 ~

      29         28  

6.000% due 09/25/2034

      219         216  

HarborView Mortgage Loan Trust

 

2.660% due 02/19/2046 •(l)

      1,566         1,532  

2.680% due 11/19/2036 •(l)

      2,701         2,400  
 

 

52   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


Table of Contents

 

December 31, 2018 (Unaudited)

 

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

3.030% due 06/19/2034 •

  $     204     $     197  

3.110% due 01/19/2035 •

      237         221  

4.028% due 08/19/2036 ^~

      188         151  

HomeBanc Mortgage Trust

 

2.756% due 03/25/2035 •

      247         214  

IM Pastor Fondo de Titulizacion de Activos

 

0.000% due 03/22/2044 •

  EUR     583         606  

Impac CMB Trust

 

3.026% due 11/25/2035 ^•

  $     296         267  

IndyMac Mortgage Loan Trust

 

2.966% due 04/25/2035 •

      153         145  

3.279% due 06/25/2037 ^~

      288         263  

3.306% due 08/25/2034 •

      157         143  

3.366% due 09/25/2034 •

      380         357  

3.595% due 05/25/2037 ^~

      3,045           2,820  

3.948% due 11/25/2036 ^~

      925         904  

4.395% due 12/25/2036 ^~

      958         910  

JPMorgan Alternative Loan Trust

 

4.001% due 05/25/2036 ^~

      368         292  

5.500% due 11/25/2036 ^~

      7         5  

JPMorgan Chase Commercial Mortgage Securities Trust

 

5.590% due 01/12/2043 ~

      357         357  

JPMorgan Mortgage Trust

 

3.789% due 05/25/2036 ^~

      565         548  

4.196% due 10/25/2036 ^~

      36         32  

4.200% due 07/25/2035 ~

      86         87  

6.000% due 08/25/2037 ^

      565         446  

Landmark Mortgage Securities PLC

 

0.088% due 06/17/2038 •

  EUR     192         213  

1.126% due 06/17/2038 •

  GBP     504         621  

Lehman Mortgage Trust

 

5.785% due 04/25/2036 ~

  $     269         243  

6.000% due 05/25/2037 ^(l)

      1,190         1,184  

MASTR Adjustable Rate Mortgages Trust

 

2.897% due 01/25/2047 ^•

      349         285  

4.122% due 10/25/2034 ~

      652         608  

Merrill Lynch Mortgage Trust

 

5.791% due 06/12/2050 ~(l)

      13         13  

Morgan Stanley Capital Trust

 

6.121% due 06/11/2049 ~

      205         205  

Morgan Stanley Mortgage Loan Trust

 

4.065% due 07/25/2035 ^~(l)

      1,283         1,181  

4.425% due 01/25/2035 ^~

      269         221  

5.750% due 12/25/2035 ^

      369         342  

6.000% due 08/25/2037 ^

      240         186  

Mortgage Equity Conversion Asset Trust

 

4.000% due 07/25/2060 «

      627         583  

Motel 6 Trust

 

9.382% due 08/15/2019 •

      4,975         5,059  

Prime Mortgage Trust

 

2.856% due 06/25/2036 ^•

      3,302         2,027  

7.000% due 07/25/2034

      175         174  

Regal Trust

 

2.515% due 09/29/2031 •

      2         2  

Residential Accredit Loans, Inc. Trust

 

2.716% due 06/25/2037 •

      1,640         1,406  

5.500% due 04/25/2037

      98         89  

6.000% due 08/25/2035 ^

      540         497  

6.000% due 01/25/2037 ^

      459         425  

Residential Asset Securitization Trust

 

6.000% due 03/25/2037 ^

      448         283  

6.000% due 07/25/2037

      6,992         4,549  

Residential Funding Mortgage Securities, Inc. Trust

 

5.358% due 07/27/2037 ^~

      193         165  

6.000% due 06/25/2037 ^

      348         324  

Sequoia Mortgage Trust

 

3.902% due 01/20/2038 ^~

      241         226  

Structured Adjustable Rate Mortgage Loan Trust

 

3.959% due 01/25/2036 ^~

      1,031         767  

4.233% due 08/25/2034 ~

      18         17  

Structured Asset Mortgage Investments Trust

 

2.716% due 08/25/2036 ^•(l)

      2,064         1,907  

2.966% due 05/25/2045 •

      131         128  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Structured Asset Securities Corp. Mortgage Pass-Through Certificates

 

4.293% due 01/25/2034 ~

  $     302     $     302  

TBW Mortgage-Backed Trust

 

6.000% due 07/25/2036 ^

      299         224  

Theatre Hospitals PLC

 

4.563% due 10/15/2031 •

  GBP     237         278  

WaMu Mortgage Pass-Through Certificates Trust

 

2.579% due 07/25/2046 •

  $     1,837         1,799  

3.172% due 03/25/2037 ^~

      456         422  

3.500% due 03/25/2033 ~

      73         74  

3.591% due 06/25/2037 ^~(l)

      1,439         1,345  

3.689% due 07/25/2037 ^~(l)

      2,479         2,080  

3.708% due 11/25/2036 ^~

      279         270  

3.756% due 07/25/2037 ^~

      1,092         996  

Washington Mutual Mortgage Pass-Through Certificates Trust

 

3.007% due 10/25/2046 ^•

      449         391  

3.725% due 06/25/2033 ~

      67         68  

Wells Fargo Mortgage-Backed Securities Trust

 

3.006% due 07/25/2037 ^•

      173         155  

4.603% due 09/25/2036 ^~

      16         16  

4.620% due 04/25/2036 ^~

      15         15  

4.754% due 10/25/2036 ^~

      15         14  
       

 

 

 

Total Non-Agency Mortgage-Backed Securities (Cost $118,119)

      128,937  
 

 

 

 
ASSET-BACKED SECURITIES 35.9%

 

Access Financial Manufactured Housing Contract Trust

 

7.650% due 05/15/2021

      201         40  

Airspeed Ltd.

 

2.725% due 06/15/2032 •

      269         258  

Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates

 

4.231% due 05/25/2034 •

      154         155  

5.356% due 08/25/2032 •

      789         792  

Asset-Backed Funding Certificates Trust

 

2.656% due 10/25/2036 •(l)

      5,418         5,182  

3.066% due 10/25/2033 •

      167         158  

3.166% due 03/25/2035 •(l)

      4,431         4,391  

Bear Stearns Asset-Backed Securities Trust

 

2.222% due 09/25/2034 •

      510         492  

4.240% due 07/25/2036 ~

      422         270  

Bombardier Capital Mortgage Securitization Corp.

 

7.830% due 06/15/2030 ~

      3,549         1,214  

Conseco Finance Corp.

 

6.220% due 03/01/2030

      60         63  

6.530% due 02/01/2031 ~

      1,022         986  

7.050% due 01/15/2027

      8         8  

Conseco Finance Securitizations Corp.

 

7.770% due 09/01/2031 Ø

      727         790  

7.960% due 05/01/2031

      1,610         950  

8.060% due 09/01/2029 ~(l)

      2,942         1,391  

9.163% due 03/01/2033 ~

      2,684         2,491  

Countrywide Asset-Backed Certificates

 

2.646% due 06/25/2035 •(l)

      7,715         7,008  

2.756% due 01/25/2037 •(l)

      15,575         14,940  

2.846% due 12/25/2036 ^•

      483         258  

3.066% due 08/25/2032 ^•

      331         310  

3.781% due 02/25/2035 •(l)

      1,884         1,902  

Countrywide Asset-Backed Certificates Trust

 

3.286% due 11/25/2034 •

      246         246  

4.693% due 10/25/2035 ~

      4         5  

Crecera Americas LLC

 

5.563% due 08/31/2020 •

      6,000         6,006  

Credit Suisse First Boston Mortgage Securities Corp.

 

3.556% due 02/25/2031 •

      1,233         1,256  

Credit-Based Asset Servicing & Securitization CBO Corp.

 

2.989% due 09/06/2041 •

      7,846         804  

Credit-Based Asset Servicing & Securitization LLC

 

3.635% due 12/25/2035 •

      1,377         1,358  

Euromax ABS PLC

 

0.024% due 11/10/2095 •

  EUR     5,000         5,221  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Greenpoint Manufactured Housing

 

8.300% due 10/15/2026 ~

  $     445     $     472  

Home Equity Asset Trust

 

4.906% due 10/25/2033 •

      14         13  

Home Equity Loan Trust

 

2.846% due 04/25/2037 •(l)

      8,700         7,162  

Home Equity Mortgage Loan Asset-Backed Trust

 

2.746% due 04/25/2037 •

      14,104           10,597  

2.826% due 04/25/2037 •(l)

      4,487         3,996  

JPMorgan Mortgage Acquisition Trust

 

2.586% due 08/25/2036 •

      7         4  

2.696% due 03/25/2047 •

      1,849         1,798  

KGS-Alpha SBA COOF Trust

 

1.077% due 04/25/2038 «~(a)

      889         24  

Lehman ABS Mortgage Loan Trust

 

2.596% due 06/25/2037 •

      5,453         3,909  

Long Beach Mortgage Loan Trust

 

2.696% due 02/25/2036 •

      2,909         2,377  

2.776% due 05/25/2046 •

      3,314         1,374  

3.211% due 11/25/2035 •(l)

      4,233         3,347  

4.981% (US0001M + 2.475%) due 03/25/2032 ~

      42         43  

Morgan Stanley ABS Capital, Inc. Trust

 

3.541% due 01/25/2035 •

      588         257  

Morgan Stanley Dean Witter Capital, Inc. Trust

 

3.931% due 02/25/2033 •

      228         228  

National Collegiate Commutation Trust

 

0.000% due 03/25/2038 •

      10,400         5,869  

NovaStar Mortgage Funding Trust

 

2.676% due 11/25/2036 •

      1,372         625  

Oakwood Mortgage Investors, Inc.

 

2.685% due 06/15/2032 •

      14         14  

Option One Mortgage Loan Trust

 

5.662% due 01/25/2037 ^Ø

      8         8  

Origen Manufactured Housing Contract Trust

 

8.150% due 03/15/2032 Ø

      1,103         1,131  

Ownit Mortgage Loan Trust

 

3.415% due 10/25/2035 Ø

      2,098         1,282  

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

 

4.381% due 10/25/2034 •

      1,161         971  

Residential Asset Mortgage Products Trust

 

3.631% due 08/25/2033 •

      536         527  

Saxon Asset Securities Trust

 

3.481% due 12/26/2034 •

      629         576  

Securitized Asset-Backed Receivables LLC Trust

 

2.736% due 02/25/2037 ^•

      366         172  

3.181% due 01/25/2035 •

      22         22  

SLM Student Loan Trust

 

0.000% due 01/25/2042 «(g)

      2         1,444  

SMB Private Education Loan Trust

 

0.000% due 10/15/2048 «(g)

      1         1,189  

SoFi Professional Loan Program LLC

 

0.000% due 01/25/2039 (g)

      2,540         962  

0.000% due 09/25/2040 (g)

      1,094         706  

Soloso CDO Ltd.

 

2.728% due 10/07/2037 •

      1,300         1,082  

South Coast Funding Ltd.

 

2.597% due 01/06/2041 •

      40,855         11,631  

2.668% due 01/06/2041 •

      55         16  

Specialty Underwriting & Residential Finance Trust

 

2.656% due 06/25/2037 •

      5,433         3,973  

Structured Asset Investment Loan Trust

 

2.946% due 01/25/2036 •(l)

      5,451         5,226  

Structured Asset Securities Corp. Mortgage Loan Trust

 

2.806% due 06/25/2035 •

      247         241  

Talon Funding Ltd.

 

3.241% due 06/05/2035 •

      796         307  

UCFC Home Equity Loan Trust

 

7.750% due 04/15/2030 ~

      660         632  
       

 

 

 

Total Asset-Backed Securities (Cost $117,354)

      133,152  
 

 

 

 
 

 

See Accompanying Notes   SEMIANNUAL REPORT   DECEMBER 31, 2018   53


Table of Contents

Schedule of Investments PIMCO Income Opportunity Fund (Cont.)

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
SOVEREIGN ISSUES 3.5%

 

Argentina Government International Bond

 

2.260% due 12/31/2038 Ø

  EUR     3,180     $     2,033  

3.375% due 01/15/2023

      100         91  

5.250% due 01/15/2028

      100         83  

6.250% due 11/09/2047

      100         83  

7.820% due 12/31/2033

      6,784         6,597  

41.328% (BADLARPP) due 10/04/2022 ~

  ARS     36         2  

48.797% (BADLARPP + 3.250%) due 03/01/2020 ~

      400         11  

50.225% (BADLARPP + 2.000%) due 04/03/2022 ~(a)

      39,487         1,011  

50.950% (BADLARPP + 2.500%) due 03/11/2019 ~(a)

      2,157         57  

59.257% due 06/21/2020 ~(a)

      44,396         1,270  

Kazakhstan Government International Bond

 

1.550% due 11/09/2023

  EUR     100         115  

2.375% due 11/09/2028

      120         136  

Peru Government International Bond

 

5.940% due 02/12/2029

  PEN     1,266         383  

6.150% due 08/12/2032

      1,160         351  

6.350% due 08/12/2028

      250         78  

8.200% due 08/12/2026

      250         87  

Qatar Government International Bond

 

3.875% due 04/23/2023

  $     200         203  

Republic of Greece Government International Bond

 

4.750% due 04/17/2019

  EUR     200         232  

Venezuela Government International Bond

 

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

  $     165         38  

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

      19         4  

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

      198         47  
       

 

 

 

Total Sovereign Issues (Cost $17,900)

      12,912  
 

 

 

 
        SHARES            
COMMON STOCKS 1.7%

 

COMMUNICATION SERVICES 0.1%

 

Tribune Media Co. ‘A’

      5,969         271  
       

 

 

 
CONSUMER DISCRETIONARY 0.4%

 

Caesars Entertainment Corp. (e)

    219,638         1,491  
       

 

 

 
        SHARES         MARKET
VALUE
(000S)
 
ENERGY 0.3%

 

Dommo Energia S.A. «(e)(j)

      6,101,134     $     1,171  

Dommo Energia S.A. SP - ADR «(e)

      1,108         28  

Forbes Energy Services Ltd. (e)(j)

      29,625         75  
       

 

 

 
          1,274  
       

 

 

 
FINANCIALS 0.5%

 

Ardonagh Group Ltd. «(j)

      1,377,983         1,698  
       

 

 

 
INDUSTRIALS 0.0%

 

Sierra Hamilton Holder LLC «(e)(j)

      200,912         67  
       

 

 

 
UTILITIES 0.4%

 

Eneva S.A. (e)(j)

      4,214         18  

TexGen Power LLC «

      33,708         1,348  
       

 

 

 
          1,366  
       

 

 

 

Total Common Stocks (Cost $7,459)

      6,167  
 

 

 

 
WARRANTS 0.0%

 

INDUSTRIALS 0.0%

 

Sequa Corp. - Exp. 04/28/2024 «

      279,000         67  
       

 

 

 

Total Warrants (Cost $0)

    67  
 

 

 

 
PREFERRED SECURITIES 2.3%

 

BANKING & FINANCE 1.2%

 

Nationwide Building Society

 

10.250% ~

      25,550         4,551  
       

 

 

 
INDUSTRIALS 1.1%

 

Sequa Corp.

 

9.000% «

      5,875         3,923  
       

 

 

 

Total Preferred Securities (Cost $10,765)

    8,474  
 

 

 

 
        SHARES         MARKET
VALUE
(000S)
 
REAL ESTATE INVESTMENT TRUSTS 1.7%

 

REAL ESTATE 1.7%

 

VICI Properties, Inc.

      340,104     $     6,387  
       

 

 

 

Total Real Estate Investment Trusts (Cost $4,976)

    6,387  
 

 

 

 
SHORT-TERM INSTRUMENTS 4.7%

 

REPURCHASE AGREEMENTS (k) 3.8%

 

          13,971  
       

 

 

 
        PRINCIPAL
AMOUNT
(000S)
           
ARGENTINA TREASURY BILLS 0.2%

 

(1.357)% due 01/31/2019 - 06/28/2019 (f)(g)

  ARS     25,173         722  
       

 

 

 
U.S. TREASURY BILLS 0.7%

 

2.325% due 01/22/2019 - 01/31/2019 (f)(g)(o)

  $     2,544         2,540  
       

 

 

 
Total Short-Term Instruments
(Cost $17,217)
    17,233  
 

 

 

 
       
Total Investments in Securities (Cost $515,088)     525,515  
 
Total Investments 141.8% (Cost $515,088)

 

  $     525,515  

Financial Derivative
Instruments (m)(n) (0.4)%

(Cost or Premiums, net $(8,972))

 

 

      (1,399
Other Assets and Liabilities, net (41.4)%     (153,417
 

 

 

 
Net Assets 100.0%

 

  $       370,699  
   

 

 

 
 

NOTES TO SCHEDULE OF INVESTMENTS:

 

*

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

^

Security is in default.

«

Security valued using significant unobservable inputs (Level 3).

~

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.

Ø

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)

Interest only security.

(b)

Principal only security.

(c)

Payment in-kind security.

(d)

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

(e)

Security did not produce income within the last twelve months.

(f)

Coupon represents a weighted average yield to maturity.

(g)

Zero coupon security.

(h)

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

(i)

Contingent convertible security.

 

54   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


Table of Contents

 

December 31, 2018 (Unaudited)

 

 

(j)  RESTRICTED SECURITIES:

 

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

Ardonagh Group Ltd.

     04/02/2015 - 07/20/2017     $ 1,846     $ 1,698       0.46

Dommo Energia S.A.

     12/21/2017 - 12/26/2017       159       1,171       0.32  

Eneva S.A.

     12/21/2017       18       18       0.00  

Forbes Energy Services Ltd.

     03/11/2014 - 07/31/2014       1,470       75       0.02  

Pinnacol Assurance 8.625% due 06/25/2034

     06/23/2014       2,900       2,811       0.76  

Sierra Hamilton Holder LLC

     07/31/2017       51       67       0.02  
    

 

 

   

 

 

   

 

 

 
  $     6,444     $     5,840       1.58
 

 

 

   

 

 

   

 

 

 

 

BORROWINGS AND OTHER FINANCING TRANSACTIONS

 

(k)  REPURCHASE AGREEMENTS:

 

Counterparty   Lending
Rate
    Settlement
Date
    Maturity
Date
    Principal
Amount
    Collateralized By   Collateral
(Received)
    Repurchase
Agreements,
at Value
    Repurchase
Agreement
Proceeds
to be
Received(1)
 
FICC     2.000     12/31/2018       01/02/2019     $ 1,871     U.S. Treasury Notes 2.875% due 09/30/2023   $ (1,909   $ 1,871     $ 1,871  
MBC     3.200       12/31/2018       01/02/2019           12,100     U.S. Treasury Notes 2.875% due 04/30/2025     (12,528     12,100       12,102  
           

 

 

   

 

 

   

 

 

 

Total Repurchase Agreements

 

    $     (14,437   $     13,971     $     13,973  
   

 

 

   

 

 

   

 

 

 

 

REVERSE REPURCHASE AGREEMENTS:

 

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

BPS

    1.140     11/22/2018       01/22/2019       GBP       (966   $ (1,233
    3.290       11/29/2018       03/01/2019       $       (274     (275
    3.616       11/14/2018       02/14/2019         (5,416     (5,443

BRC

    2.600       12/24/2018       TBD (3)         (1,041     (1,042
    3.449       10/16/2018       01/16/2019         (3,922     (3,951
    3.615       11/09/2018       02/11/2019         (10,030         (10,084
    3.616       11/14/2018       02/14/2019         (2,330     (2,342
    3.792       12/21/2018       03/21/2019         (5,124     (5,131
    4.822       08/14/2018       06/27/2019         (1,596     (1,597

FOB

    2.900       12/06/2018       01/07/2019         (2,696     (2,702

JML

    (0.250     11/21/2018       01/21/2019       EUR       (980     (1,122
    0.950       11/21/2018       01/22/2019       GBP       (3,643     (4,648
    0.950       12/03/2018       03/04/2019         (170     (217
    1.050       11/15/2018       02/18/2019         (1,831     (2,337
    3.050       12/21/2018       TBD (3)       $       (7,342     (7,350

MSB

    3.940       08/17/2018       08/19/2019         (5,453     (5,479
    4.088       09/20/2018       09/17/2019         (1,059     (1,061

NOM

    3.250       11/26/2018       02/26/2019         (6,516     (6,538

RDR

    2.650       12/10/2018       01/10/2019         (989     (991
    2.950       11/30/2018       03/04/2019         (1,981     (1,986

RTA

    3.140       11/16/2018       02/15/2019         (3,272     (3,285
    3.161       10/18/2018       04/18/2019         (3,726     (3,751
    3.531       08/02/2018       02/04/2019         (4,449     (4,516
    3.544       09/07/2018       03/07/2019         (2,087     (2,111
    3.608       09/12/2018       03/12/2019         (7,960     (8,049
    3.642       09/24/2018       03/25/2019         (1,127     (1,138
    3.774       10/26/2018       04/26/2019         (4,748     (4,782

SAL

    3.258       10/05/2018       01/08/2019         (1,767     (1,781

SOG

    3.020       10/24/2018       01/24/2019         (1,701     (1,711
    3.250       11/20/2018       02/20/2019         (5,346     (5,367
    3.250       12/06/2018       03/06/2019         (5,869     (5,883
    3.250       12/07/2018       03/07/2019         (2,234     (2,239
    3.250       12/21/2018       02/20/2019         (400     (401
    3.250       12/31/2018       02/20/2019         (355     (356
    3.270       12/12/2018       03/12/2019         (850     (852
    3.290       12/14/2018       03/14/2019         (2,284     (2,288
    3.440       10/23/2018       01/23/2019         (1,194     (1,202

UBS

    (0.250     10/24/2018       01/24/2019       EUR       (1,126     (1,290
    1.150       11/22/2018       02/22/2019       GBP       (3,948     (5,038
    1.630       09/24/2018       01/15/2019         (4,150     (5,313

 

See Accompanying Notes   SEMIANNUAL REPORT   DECEMBER 31, 2018   55


Table of Contents

Schedule of Investments PIMCO Income Opportunity Fund (Cont.)

 

Counterparty   Borrowing
Rate(2)
    Settlement
Date
    Maturity
Date
    Amount
Borrowed(2)
    Payable for
Reverse
Repurchase
Agreements
 
    2.880     10/11/2018       01/11/2019       $       (1,025   $ (1,032
    3.030       12/13/2018       03/13/2019         (207     (207
    3.120       11/14/2018       02/14/2019         (2,075     (2,084
    3.200       11/20/2018       02/20/2019         (704     (707
    3.280       12/12/2018       03/12/2019         (2,648     (2,653
    3.290       12/06/2018       03/05/2019         (3,695     (3,704
    3.300       12/17/2018       03/18/2019         (13,268     (13,287
    3.330       12/13/2018       03/13/2019         (1,067     (1,069
    3.360       10/05/2018       01/07/2019         (1,029     (1,038
    3.370       10/10/2018       01/10/2019         (4,061     (4,093
    3.440       10/23/2018       01/23/2019         (5,417     (5,454
           

 

 

 

Total Reverse Repurchase Agreements

 

        $     (162,210
           

 

 

 

 

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, 2018:

 

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

Global/Master Repurchase Agreement

 

BPS

  $ 0     $ (6,951   $ 0      $ (6,951   $ 8,784     $ 1,833  

BRC

    0       (24,147     0            (24,147     34,864           10,717  

FICC

    1,871       0       0        1,871       (1,909     (38

FOB

    0       (2,702     0        (2,702     2,953       251  

JML

    0       (15,674     0        (15,674     18,279       2,605  

MBC

    12,102       0       0        12,102           (12,528     (426

MSB

    0       (6,540     0        (6,540     9,561       3,021  

NOM

    0       (6,538     0        (6,538     7,429       891  

RDR

    0       (2,977     0        (2,977     3,089       112  

RTA

    0       (27,632     0        (27,632     34,722       7,090  

SAL

    0       (1,781     0        (1,781     2,215       434  

SOG

    0       (20,299     0        (20,299     21,878       1,579  

UBS

    0       (46,969     0        (46,969     56,817       9,848  
 

 

 

   

 

 

   

 

 

        

Total Borrowings and Other Financing Transactions

  $     13,973     $     (162,210   $     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     $ (14,729   $ (60,773   $ (12,143   $ (87,645

U.S. Government Agencies

    0       0       (7,473     0       (7,473

Non-Agency Mortgage-Backed Securities

    0       (9,334     (11,298     (5,479     (26,111

Asset-Backed Securities

    0       (13,498     (20,043     (7,440     (40,981
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Borrowings

  $     0     $     (37,561   $     (99,587   $     (25,062   $     (162,210
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Payable for reverse repurchase agreements

 

  $ (162,210
 

 

 

 

 

(l)

Securities with an aggregate market value of $201,404 have been pledged as collateral under the terms of the above master agreements as of December 31, 2018.

 

(1)

Includes accrued interest.

(2)

The average amount of borrowings outstanding during the period ended December 31, 2018 was $(162,084) at a weighted average interest rate of 2.994%. Average borrowings may include sale-buyback transactions and reverse repurchase agreements, if held during the period.

(3)

Open maturity reverse repurchase agreement.

(4)

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

 

56   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


Table of Contents

 

December 31, 2018 (Unaudited)

 

 

(m)  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, 2018(2)
    Notional
Amount(3)
    Premiums
Paid/(Received)
    Unrealized
Appreciation/
(Depreciation)
    Market
Value(4)
    Variation Margin  
  Asset     Liability  

Frontier Communications Corp.

    5.000     Quarterly       06/20/2020       19.721   $     4,200     $ (140   $ (575   $ (715   $ 0     $ (6

General Electric Co.

    1.000       Quarterly       12/20/2020       1.653       100       (3     2       (1     0       0  

General Electric Co.

    1.000       Quarterly       12/20/2023       2.039       800       (43     7       (36     1       0  

Sprint Communications, Inc.

    5.000       Quarterly       12/20/2021       2.346       1,000       22       53       75       0       0  
           

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
          $     (164   $     (513   $     (677   $     1     $     (6
         

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

INTEREST RATE SWAPS

 

Pay/Receive
Floating Rate
  Floating Rate Index   Fixed Rate     Payment
Frequency
  Maturity
Date
   

Notional
Amount

    Premiums
Paid/(Received)
    Unrealized
Appreciation/
(Depreciation)
    Market
Value
    Variation Margin  
  Asset     Liability  

Pay

 

3-Month CAD-Bank Bill

    3.300   Semi-Annual     06/19/2024       CAD       13,300     $ 618     $ (112   $ 506     $ 12     $ 0  

Receive

 

3-Month CAD-Bank Bill

    3.500     Semi-Annual     06/20/2044         4,400       (154     (361     (515     14       0  

Pay

 

3-Month USD-LIBOR

    2.860     Semi-Annual     04/26/2023       $       165,100       (452     2,530       2,078       310       0  

Pay

 

3-Month USD-LIBOR

    2.000     Semi-Annual     06/20/2023         63,400       (2,639     1,086       (1,553     109       0  

Pay

 

3-Month USD-LIBOR

    2.750     Semi-Annual     12/19/2023         35,800       (332     610       278       70       0  

Pay

 

3-Month USD-LIBOR

    1.500     Semi-Annual     06/21/2027         22,000       (1,596     (392     (1,988     73       0  

Pay

 

3-Month USD-LIBOR

    2.500     Semi-Annual     12/20/2027         9,100       152       (285     (133     33       0  

Pay

 

3-Month USD-LIBOR

    2.250     Semi-Annual     06/20/2028         52,200       (3,333     1,285       (2,048     185       0  

Receive

 

3-Month USD-LIBOR

    3.000     Semi-Annual     12/19/2038         43,000       144       (1,108     (964     0       (221

Receive

 

3-Month USD-LIBOR

    2.500     Semi-Annual     06/20/2048         25,500       2,291       (373     1,918       0       (141

Receive

 

3-Month USD-LIBOR

    3.000     Semi-Annual     12/19/2048         8,000       40       (269     (229     0       (48

Pay

 

6-Month  AUD-BBR-BBSW

    3.500     Semi-Annual     06/17/2025       AUD       5,200       129       134       263       11       0  

Receive(5)

 

6-Month EUR-EURIBOR

    1.000     Annual     03/20/2029       EUR       10,100       41       (210     (169     0       (15

Receive(5)

 

6-Month GBP-LIBOR

    1.500     Semi-Annual     03/20/2029       GBP       17,050       274       (389     (115     0       (81
             

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
    $ (4,817   $ 2,146     $ (2,671   $ 817     $ (506
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Swap Agreements

 

  $     (4,981   $     1,633     $     (3,348   $     818     $     (512
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

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, 2018:

 

    Financial Derivative Assets           Financial Derivative Liabilities  
    Market Value     Variation Margin
Asset
                Market Value     Variation Margin
Liability
       
     Purchased
Options
    Futures     Swap
Agreements
    Total           Written
Options
    Futures     Swap
Agreements
    Total  

Total Exchange-Traded or Centrally Cleared

  $     0     $     0     $     818     $     818       $     0     $     0     $     (512)     $     (512)  
 

 

 

   

 

 

   

 

 

   

 

 

     

 

 

   

 

 

   

 

 

   

 

 

 

 

Cash of $7,916 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2018. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information regarding master netting arrangements.

 

(1)

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

(2)

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

(5)

This instrument has a forward starting effective date. See Note 2, Securities Transactions and Investment Income, in the Notes to Financial Statements for further information.

 

See Accompanying Notes   SEMIANNUAL REPORT   DECEMBER 31, 2018   57


Table of Contents

Schedule of Investments PIMCO Income Opportunity Fund (Cont.)

 

 

(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

     01/2019     EUR     22,522     $     25,712     $ 0     $ (109
     01/2019     $     382     ARS     15,560       24       0  

BPS

     01/2019     ARS     5,159     $     133       0       (4
     01/2019     BRL     3,185         822       0       0  
     01/2019     $     254     ARS     10,032       10       0  
     01/2019         820     BRL     3,185       2       0  
     02/2019     PEN     1,929     $     569       0       (3
     03/2019     $     122     ARS     5,159       3       0  

BRC

     01/2019         65         2,576       3       0  

CBK

     01/2019     BRL     10,472     $     2,682       0       (20
     01/2019     EUR     258         295       0       (1
     01/2019     GBP     1,168         1,488       0       (1
     01/2019     $     220     ARS     9,000       14       0  
     01/2019         2,703     BRL     10,472       0       (1

DUB

     01/2019     BRL     7,287     $     1,881       0       0  
     01/2019     $     1,885     BRL     7,287       0       (5
     02/2019     BRL     7,287     $     1,881       4       0  

FBF

     01/2019     $     610     RUB     41,258       0       (19

GLM

     01/2019     GBP     30,805     $     39,392       113       0  
     01/2019     $     350     EUR     306       1       0  
     01/2019         629     GBP     496       4       0  

HUS

     01/2019         22     ARS     881       1       0  
     01/2019         3,619     MXN     72,746       71       0  

JPM

     01/2019     EUR     385     $     439       0       (2
     01/2019     GBP     367         469       1       0  
     01/2019     $     445     ARS     17,244       8       0  
     01/2019         315     EUR     275       0       0  

SCX

     01/2019         381     GBP     301       3       0  

SOG

     01/2019         3,232     RUB     214,136       0       (168

SSB

     01/2019         602     GBP     474       2       0  
            

 

 

   

 

 

 

Total Forward Foreign Currency Contracts

 

  $     264     $     (333
 

 

 

   

 

 

 

 

SWAP AGREEMENTS:

 

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

 

Counterparty   Reference Entity   Fixed
Receive Rate
    Payment
Frequency
    Maturity
Date
    Implied
Credit Spread at
December 31, 2018(2)
    Notional
Amount(3)
    Premiums
Paid/(Received)
    Unrealized
Appreciation/
(Depreciation)
    Swap Agreements,
at  Value(4)
 
  Asset     Liability  
BOA  

Russia Government International Bond

    1.000     Quarterly       06/20/2024       1.623   $     400     $ (40   $ 28     $ 0     $ (12
BRC  

Russia Government International Bond

    1.000       Quarterly       06/20/2024       1.623       400       (46     34       0       (12
 

Russia Government International Bond

    1.000       Quarterly       09/20/2024       1.664       300       (25     15       0       (10
CBK  

Russia Government International Bond

    1.000       Quarterly       06/20/2024       1.623       500       (53     38       0       (15
 

Russia Government International Bond

    1.000       Quarterly       09/20/2024       1.664       300       (26     16       0       (10
GST  

Petrobras Global Finance BV

    1.000       Quarterly       09/20/2020       1.479       110       (16     15       0       (1
 

Russia Government International Bond

    1.000       Quarterly       03/20/2020       0.995       100       (19     19       0       0  
 

Russia Government International Bond

    1.000       Quarterly       06/20/2024       1.623       200       (23     17       0       (6
HUS  

Russia Government International Bond

    1.000       Quarterly       06/20/2019       0.816       130       (5     5       0       0  
 

Russia Government International Bond

    1.000       Quarterly       06/20/2024       1.623       130       (13     9       0       (4
 

Russia Government International Bond

    1.000       Quarterly       09/20/2024       1.664       69       (10     7       0       (3
JPM  

Russia Government International Bond

    1.000       Quarterly       06/20/2024       1.623       200       (18     12       0       (6
             

 

 

   

 

 

   

 

 

   

 

 

 
            $     (294   $     215     $     0     $     (79
           

 

 

   

 

 

   

 

 

   

 

 

 

 

58   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


Table of Contents

 

December 31, 2018 (Unaudited)

 

 

CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION(1)

 

Counterparty   Index/Tranches   Fixed
Receive Rate
    Payment
Frequency
    Maturity
Date
    Notional
Amount(3)
    Premiums
Paid/(Received)
    Unrealized
Appreciation/
(Depreciation)
    Swap Agreements,
at  Value(4)
 
  Asset     Liability  
DUB  

CMBX.NA.BBB-.6 Index

    3.000     Monthly       05/11/2063     $ 100     $ (12   $ (4   $ 0     $ (16
 

CMBX.NA.BBB-.9 Index

    3.000       Monthly       09/17/2058       100       (13     1       0       (12
FBF  

CMBX.NA.BBB-.6 Index

    3.000       Monthly       05/11/2063       100       (12     (4     0       (16
 

CMBX.NA.BBB-.7 Index

    3.000       Monthly       01/17/2047       100       (10     2       0       (8
 

CMBX.NA.BBB-.8 Index

    3.000       Monthly       10/17/2057       500       (78     21       0       (57
GST  

ABX.HE.AA.6-1 Index

    0.320       Monthly       07/25/2045           13,821       (2,750     1,925       0       (825
 

ABX.HE.PENAAA.7-1 Index

    0.090       Monthly       08/25/2037       3,602       (698     187       0       (511
 

CMBX.NA.A.6 Index

    2.000       Monthly       05/11/2063       1,500       (76     11       0       (65
MYC  

CMBX.NA.BBB-.10 Index

    3.000       Monthly       11/17/2059       200       (24     1       0       (23
 

CMBX.NA.BBB-.9 Index

    3.000       Monthly       09/17/2058       200       (24     0       0       (24
           

 

 

   

 

 

   

 

 

   

 

 

 
          $ (3,697   $ 2,140     $ 0     $ (1,557
         

 

 

   

 

 

   

 

 

   

 

 

 

Total Swap Agreements

    $     (3,991   $     2,355     $     0     $     (1,636
 

 

 

   

 

 

   

 

 

   

 

 

 

 

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, 2018:

 

    Financial Derivative Assets           Financial Derivative Liabilities                    
Counterparty   Forward
Foreign
Currency
Contracts
     Purchased
Options
     Swap
Agreements
     Total
Over the
Counter
           Forward
Foreign
Currency
Contracts
    Written
Options
     Swap
Agreements
    Total
Over the
Counter
    Net Market
Value of OTC
Derivatives
    Collateral
Pledged/
(Received)
    Net
Exposure(5)
 

BOA

  $ 24      $ 0      $ 0      $ 24       $ (109   $ 0      $ (12   $ (121   $ (97   $ 0     $ (97

BPS

    15        0        0        15         (7     0        0       (7     8       0       8  

BRC

    3        0        0        3         0       0        (22     (22     (19     0       (19

CBK

    14        0        0        14         (23     0        (25     (48     (34     0       (34

DUB

    4        0        0        4         (5     0        (28     (33     (29     (10     (39

FBF

    0        0        0        0         (19     0        (81     (100     (100     0           (100

GLM

    118        0        0        118         0       0        0       0       118       (350     (232

GST

    0        0        0        0         0       0        (1,408     (1,408         (1,408         1,909       501  

HUS

    72        0        0        72         0       0        (7     (7     65       0       65  

JPM

    9        0        0        9         (2     0        (6     (8     1       0       1  

MYC

    0        0        0        0         0       0        (47     (47     (47     (74     (121

SCX

    3        0        0        3         0       0        0       0       3       0       3  

SOG

    0        0        0        0         (168     0        0       (168     (168     0       (168

SSB

    2        0        0        2         0       0        0       0       2       0       2  
 

 

 

    

 

 

    

 

 

    

 

 

     

 

 

   

 

 

    

 

 

   

 

 

       

Total Over the Counter

  $     264      $     0      $     0      $     264       $     (333   $     0      $     (1,636   $     (1,969      
 

 

 

    

 

 

    

 

 

    

 

 

     

 

 

   

 

 

    

 

 

   

 

 

       

 

(o)

Securities with an aggregate market value of $1,909 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2018.

 

(1)

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

(2)

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

(5)

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

 

See Accompanying Notes   SEMIANNUAL REPORT   DECEMBER 31, 2018   59


Table of Contents

Schedule of Investments PIMCO Income Opportunity Fund (Cont.)

 

 

FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS

 

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

 

Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of December 31, 2018:

 

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

Financial Derivative Instruments - Assets

 

Exchange-traded or centrally cleared

 

Swap Agreements

  $ 0     $ 1     $ 0     $ 0     $ 817     $ 818  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Over the counter

 

Forward Foreign Currency Contracts

  $ 0     $ 0     $ 0     $ 264     $ 0     $ 264  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 1     $ 0     $ 264     $ 817     $ 1,082  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Financial Derivative Instruments - Liabilities

 

Exchange-traded or centrally cleared

 

Swap Agreements

  $ 0     $ 6     $ 0     $ 0     $ 506     $ 512  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Over the counter

 

Forward Foreign Currency Contracts

  $ 0     $ 0     $ 0     $ 333     $ 0     $ 333  

Swap Agreements

    0       1,636       0       0       0       1,636  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 1,636     $ 0     $ 333     $ 0     $ 1,969  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $     0     $     1,642     $     0     $     333     $     506     $     2,481  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

The effect of Financial Derivative Instruments on the Statements of Operations for the period ended December 31, 2018:

 

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

Net Realized Gain (Loss) on Financial Derivative Instruments

 

Exchange-traded or centrally cleared

 

Swap Agreements

  $ 0     $ 133     $ 0     $ 0     $ (180   $ (47
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Over the counter

 

Forward Foreign Currency Contracts

  $ 0     $ 0     $ 0     $ 2,531     $ 0     $ 2,531  

Swap Agreements

    0       366       0       0       0       366  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 366     $ 0     $ 2,531     $ 0     $ 2,897  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $     499     $     0     $     2,531     $     (180   $     2,850  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative Instruments

 

Exchange-traded or centrally cleared

 

Swap Agreements

  $ 0     $ (435   $ 0     $ 0     $ 3,742     $ 3,307  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Over the counter

 

Forward Foreign Currency Contracts

  $ 0     $ 0     $ 0     $ (138   $ 0     $ (138

Swap Agreements

    0       (200     0       0       0       (200
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ (200   $ 0     $ (138   $ 0     $ (338
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $     0     $ (635   $ 0     $ (138   $ 3,742     $ 2,969  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

FAIR VALUE MEASUREMENTS

 

The following is a summary of the fair valuations according to the inputs used as of December 31, 2018 in valuing the Fund’s assets and liabilities:

 

Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
12/31/2018
 

Investments in Securities, at Value

 

Loan Participations and Assignments

  $     0     $     26,970     $     3,782     $     30,752  

Corporate Bonds & Notes

 

Banking & Finance

    0       77,652       2,811       80,463  

Industrials

    0       67,365       777       68,142  

Utilities

    0       19,445       0       19,445  
Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
12/31/2018
 

Convertible Bonds & Notes

 

Industrials

  $     0     $ 41     $     0     $ 41  

Municipal Bonds & Notes

 

Illinois

    0       683       0       683  

Iowa

    0       127       0       127  

West Virginia

    0           4,100       0           4,100  

U.S. Government Agencies

    0       8,433       0       8,433  
 

 

60   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


Table of Contents

 

December 31, 2018 (Unaudited)

 

Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
12/31/2018
 

Non-Agency Mortgage-Backed Securities

  $ 0     $     127,762     $     1,175     $     128,937  

Asset-Backed Securities

    0       130,495       2,657       133,152  

Sovereign Issues

    0       12,912       0       12,912  

Common Stocks

 

Communication Services

    271       0       0       271  

Consumer Discretionary

    1,491       0       0       1,491  

Energy

    75       0       1,199       1,274  

Financials

    0       0       1,698       1,698  

Industrials

    0       0       67       67  

Utilities

    18       0       1,348       1,366  

Warrants

 

Industrials

    0       0       67       67  

Preferred Securities

 

Banking & Finance

    0       4,551       0       4,551  

Industrials

    0       0       3,923       3,923  

Real Estate Investment Trusts

 

Real Estate

        6,387       0       0       6,387  

Short-Term Instruments

 

Repurchase Agreements

    0       13,971       0       13,971  

Argentina Treasury Bills

    0       722       0       722  
Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
12/31/2018
 

U.S. Treasury Bills

  $ 0     $ 2,540     $ 0     $ 2,540  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

  $     8,242     $     497,769     $     19,504     $     525,515  
 

 

 

   

 

 

   

 

 

   

 

 

 

Financial Derivative Instruments - Assets

 

Exchange-traded or centrally cleared

    0       818       0       818  

Over the counter

    0       264       0       264  
 

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 1,082     $ 0     $ 1,082  
 

 

 

   

 

 

   

 

 

   

 

 

 

Financial Derivative Instruments - Liabilities

 

Exchange-traded or centrally cleared

    0       (512     0       (512

Over the counter

    0       (1,969     0       (1,969
 

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ (2,481   $ 0     $ (2,481
 

 

 

   

 

 

   

 

 

   

 

 

 

Total Financial Derivative Instruments

  $ 0     $ (1,399   $ 0     $ (1,399
 

 

 

   

 

 

   

 

 

   

 

 

 

Totals

  $ 8,242     $ 496,370     $ 19,504     $ 524,116  
 

 

 

   

 

 

   

 

 

   

 

 

 
 

 

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended December 31, 2018:

 

Category and Subcategory   Beginning
Balance
at 06/30/2018
    Net
Purchases
    Net
Sales
    Accrued
Discounts/
(Premiums)
    Realized
Gain/(Loss)
    Net Change in
Unrealized
Appreciation/
(Depreciation)(1)
    Transfers into
Level 3
    Transfers out
of Level 3
    Ending
Balance
at 12/31/2018
    Net Change in
Unrealized
Appreciation/
(Depreciation)
on Investments
Held at
12/31/2018(1)
 

Investments in Securities, at Value

 

Loan Participations and Assignments

  $ 469     $ 2,965     $ 0     $ (1   $ 0     $ (132   $ 481     $ 0     $ 3,782     $ (132

Corporate Bonds & Notes

 

Banking & Finance

    5,806       0       (2,800     0       12       (207     0       0       2,811       (200

Industrials

    811       0       (12     3       1       (26     0       0       777       (26

Non-Agency Mortgage-Backed Securities

    1,222       0       (73     3       7       16       0       0       1,175       16  

Asset-Backed Securities

    3,415       1,295       0       22       0       (407     0       (1,668     2,657       (166

Common Stocks

 

Energy

    1,709       0       0       0       0       (510     0       0       1,199       (510

Financials

    2,182       0       0       0       0       (484     0       0       1,698       (484

Industrials

    72       0       0       0       0       (5     0       0       67       (5

Utilities

    1,069       0       0       0       0       279       0       0       1,348       279  

Warrants

 

Industrials

    71       0       0       0       0       (4     0       0       67       (4

Preferred Securities

 

Industrials

    4,659       628       0       0       0       (1,364     0       0       3,923       (1,364
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Totals

  $     21,485     $     4,888     $     (2,885   $     27     $     20     $     (2,844   $     481     $     (1,668   $     19,504     $     (2,596
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

See Accompanying Notes   SEMIANNUAL REPORT   DECEMBER 31, 2018   61


Table of Contents

Schedule of Investments PIMCO Income Opportunity Fund (Cont.)

 

December 31, 2018 (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 12/31/2018
     Valuation
Technique
   Unobservable
Inputs
   Input Value(s)
(% Unless
Noted
Otherwise)
 

Investments in Securities, at Value

 

Loan Participations and Assignments

  $ 3,782      Third Party Vendor    Broker Quote      88.000-100.125  

Corporate Bonds & Notes

 

Banking & Finance

    2,811      Reference Instrument    Option Adjusted Spread      625.508 bps  

Industrials

    181      Reference Instrument    Yield      11.566  
    596      Third Party Vendor    Broker Quote      103.330-104.300  

Non-Agency Mortgage-Backed Securities

    592      Proxy Pricing    Base Price      4.365-99.000  
    583      Third Party Vendor    Broker Quote      93.000  

Asset-Backed Securities

    2,657      Proxy Pricing    Base Price      2.641-120,000.000  

Common Stocks

 

Energy

    1,199      Other Valuation Techniques(2)          

Financials

    1,698      Fundamental Valuation    Company Equity Value    GBP     659,300,000.000  

Industrials

    67      Other Valuation Techniques(2)          

Utilities

    1,348      Indicative Market Quotation    Broker Quote        $ 40.000  

Warrants

 

Industrials

    67      Other Valuation Techniques(2)          

Preferred Securities

 

Industrials

    3,923      Fundamental Valuation    Company Equity Value        $ 417,000,000.000  
 

 

 

          

Total

  $     19,504           
 

 

 

          

 

(1) 

Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at December 31, 2018 may be due to an investment no longer held or categorized as Level 3 at period end.

(2)

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

 

62   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


Table of Contents

Schedule of Investments PIMCO Strategic Income Fund, Inc.

 

December 31, 2018 (Unaudited)

 

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

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
INVESTMENTS IN SECURITIES 405.9%

 

LOAN PARTICIPATIONS AND ASSIGNMENTS 6.0%

 

Altice France S.A.

 

6.455% (LIBOR03M + 4.000%) due 08/14/2026 ~

  $     100     $     94  

Avantor, Inc.

 

6.572% (LIBOR03M + 3.750%) due 11/21/2024 ~

      47         46  

Community Health Systems, Inc.

 

5.957% (LIBOR03M + 3.250%) due 01/27/2021 ~

      1,384         1,330  

Concordia International Corp.

 

7.887% (LIBOR03M + 5.500%) due 09/06/2024 ~

      1,493         1,423  

Core & Main LP

 

5.707% - 5.738% (LIBOR03M + 3.000%) due 08/01/2024 ~

      20         19  

Diamond Resorts Corp.

 

6.272% (LIBOR03M + 3.750%) due 09/02/2023 ~

      60         56  

Dubai World

 

1.750% - 2.000% (LIBOR03M + 2.000%) due 09/30/2022 ~

      1,880         1,761  

Envision Healthcare Corp.

 

6.273% (LIBOR03M + 3.750%) due 10/10/2025 ~

      300         281  

Forbes Energy Services LLC

 

5.000% - 9.000% due 04/13/2021

      75         76  

Forest City Enterprises LP

 

6.383% (LIBOR03M + 4.000%) due 12/07/2025 «~

      100         98  

FrontDoor, Inc.

 

5.063% (LIBOR03M + 2.500%) due 08/14/2025 «~

      10         10  

Frontier Communications Corp.

 

6.280% (LIBOR03M + 3.750%) due 06/15/2024 ~

      296         275  

iHeartCommunications, Inc.

 

TBD% due 01/30/2019 ^(c)

      2,462         1,646  

TBD% due 07/30/2019 ^(c)

      220         147  

IRB Holding Corp.

 

5.682% - 6.053% (LIBOR03M + 3.250%) due 02/05/2025 ~

      439         420  

McDermott Technology Americas, Inc.

 

7.522% (LIBOR03M + 5.000%) due 05/12/2025 ~

      461         431  

Messer Industrie GmbH

 

TBD% due 10/01/2025

      60         57  

MH Sub LLC

 

6.254% (LIBOR03M + 3.750%) due 09/13/2024 ~

      59         57  

NCI Building Systems, Inc.

 

6.175% (LIBOR03M + 3.750%) due 04/12/2025 «~

      20         18  

Neiman Marcus Group Ltd. LLC

 

5.630% (LIBOR03M + 3.250%) due 10/25/2020 ~

      2,038         1,737  

PetSmart, Inc.

 

5.380% (LIBOR03M + 3.000%) due 03/11/2022 ~

      199         158  

Sequa Mezzanine Holdings LLC

 

7.408% (LIBOR03M + 5.000%) due 11/28/2021 «~

      168         160  

11.520% (LIBOR03M + 9.000%) due 04/28/2022 «~

      7,490           7,190  

SS&C Technologies, Inc.

 

4.772% (LIBOR03M + 2.250%) due 04/16/2025 ~

      258         245  

Starfruit Finco B.V

 

5.599% (LIBOR03M + 3.250%) due 10/01/2025 «~

      100         94  

Valeant Pharmaceuticals International, Inc.

 

5.129% (LIBOR03M + 2.750%) due 11/27/2025 ~

      20         19  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

West Corp.

 

6.527% (LIBOR03M + 4.000%) due 10/10/2024 ~

  $     35     $     32  
       

 

 

 

Total Loan Participations and Assignments
(Cost $19,004)

      17,880  
 

 

 

 
CORPORATE BONDS & NOTES 33.8%

 

BANKING & FINANCE 14.7%

 

Ally Financial, Inc.

 

8.000% due 11/01/2031

      3         3  

Ambac LSNI LLC

 

7.803% due 02/12/2023 •(j)

      323         325  

Ardonagh Midco PLC

 

8.375% due 07/15/2023

  GBP     4,910         5,323  

Athene Holding Ltd.

 

4.125% due 01/12/2028

  $     28         25  

Avolon Holdings Funding Ltd.

 

5.500% due 01/15/2023 (j)

      90         88  

AXA Equitable Holdings, Inc.

 

4.350% due 04/20/2028

      68         64  

5.000% due 04/20/2048

      40         35  

Bank of Ireland

 

7.375% due 06/18/2020 •(f)(g)

  EUR     200         240  

Barclays Bank PLC

 

7.625% due 11/21/2022 (g)(j)

  $     800         830  

14.000% due 06/15/2019 •(f)

  GBP     1,300         1,738  

Barclays PLC

 

3.250% due 01/17/2033

      100         113  

5.875% due 09/15/2024 •(f)(g)

      1,100         1,272  

7.250% due 03/15/2023 •(f)(g)

      1,000         1,277  

Brookfield Finance, Inc.

 

3.900% due 01/25/2028

  $     48         45  

4.700% due 09/20/2047 (j)

      110         102  

Cantor Fitzgerald LP

 

7.875% due 10/15/2019 (j)

      930         958  

CBL & Associates LP

 

5.950% due 12/15/2026

      16         12  

Credit Suisse Group AG

 

7.500% due 07/17/2023 •(f)(g)(j)

      200         195  

Deutsche Bank AG

 

4.250% due 10/14/2021 (j)

      3,200         3,131  

Emerald Bay S.A.

 

0.000% due 10/08/2020 (e)

  EUR     15         16  

Equinix, Inc.

 

2.875% due 03/15/2024

      100         115  

2.875% due 02/01/2026

      100         109  

Fortress Transportation & Infrastructure Investors LLC

 

6.500% due 10/01/2025 (j)

  $     127         119  

6.750% due 03/15/2022 (j)

      176         177  

Freedom Mortgage Corp.

 

8.250% due 04/15/2025

      8         7  

GE Capital International Funding Co. Unlimited Co.

 

3.373% due 11/15/2025

      200         178  

GE Capital UK Funding Unlimited Co.

 

4.375% due 07/31/2019

  GBP     10         13  

HSBC Holdings PLC

 

5.875% due 09/28/2026 •(f)(g)

      200         244  

6.500% due 03/23/2028 •(f)(g)(j)

  $     300         273  

Hudson Pacific Properties LP

 

3.950% due 11/01/2027

      18         17  

Hunt Cos., Inc.

 

6.250% due 02/15/2026

      14         12  

iStar, Inc.

 

4.625% due 09/15/2020

      7         7  

5.250% due 09/15/2022

      27         25  

Kennedy-Wilson, Inc.

 

5.875% due 04/01/2024

      36         34  

Lloyds Banking Group PLC

 

7.500% due 09/27/2025 •(f)(g)(j)

      200         194  

7.625% due 06/27/2023 •(f)(g)

  GBP     250         329  

7.875% due 06/27/2029 •(f)(g)

      1,440         1,973  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

LoanCore Capital Markets LLC

 

6.875% due 06/01/2020 (j)

  $     1,000     $     1,001  

Meiji Yasuda Life Insurance Co.

 

5.100% due 04/26/2048 •(j)

      200         198  

MetLife, Inc.

 

5.875% due 03/15/2028 •(f)

      6         6  

Nationstar Mortgage LLC

 

6.500% due 07/01/2021 (j)

      386         377  

Navient Corp.

 

5.875% due 03/25/2021 (j)

      1,009         970  

6.500% due 06/15/2022

      44         41  

Newmark Group, Inc.

 

6.125% due 11/15/2023

      36         35  

Oppenheimer Holdings, Inc.

 

6.750% due 07/01/2022

      26         26  

Pinnacol Assurance

 

8.625% due 06/25/2034 «(h)

      2,600         2,520  

Reckson Operating Partnership LP

 

7.750% due 03/15/2020 (j)

      4,500         4,710  

Royal Bank of Scotland Group PLC

 

7.500% due 08/10/2020 •(f)(g)(j)

      600         595  

8.000% due 08/10/2025 •(f)(g)(j)

      300         300  

8.625% due 08/15/2021 •(f)(g)(j)

      1,200         1,245  

Santander UK Group Holdings PLC

 

6.750% due 06/24/2024 •(f)(g)

  GBP     2,100         2,635  

Sberbank of Russia Via SB Capital S.A.

 

6.125% due 02/07/2022 (j)

  $     2,000         2,058  

Societe Generale S.A.

 

7.375% due 10/04/2023 •(f)(g)(j)

      200         187  

Spirit Realty LP

 

4.450% due 09/15/2026 (j)

      3,300         3,177  

Springleaf Finance Corp.

 

5.625% due 03/15/2023 (j)

      700         647  

6.125% due 05/15/2022 (j)

      208         203  

6.875% due 03/15/2025

      54         48  

TP ICAP PLC

 

5.250% due 01/26/2024

  GBP     700         836  

UniCredit SpA

 

7.830% due 12/04/2023 (j)

  $     2,240         2,346  

Unigel Luxembourg S.A.

 

10.500% due 01/22/2024

      300         313  

WeWork Cos., Inc.

 

7.875% due 05/01/2025

      40         36  
       

 

 

 
            44,128  
       

 

 

 
INDUSTRIALS 15.3%

 

AA Bond Co. Ltd.

 

2.875% due 07/31/2043

  GBP     1,700         2,019  

Air Canada Pass-Through Trust

 

3.700% due 07/15/2027

  $     12         11  

Altice Financing S.A.

 

6.625% due 02/15/2023 (j)

      420         404  

7.500% due 05/15/2026 (j)

        1,350         1,235  

Altice France S.A.

 

8.125% due 02/01/2027 (j)

      600         567  

Andeavor Logistics LP

 

3.500% due 12/01/2022

      6         6  

Associated Materials LLC

 

9.000% due 01/01/2024 (j)

      2,700         2,619  

Baffinland Iron Mines Corp.

 

8.750% due 07/15/2026 (j)

      700         631  

Bausch Health Cos., Inc.

 

7.000% due 03/15/2024 (j)

      216         219  

Charter Communications Operating LLC

 

4.200% due 03/15/2028 (j)

      74         69  

Clear Channel Worldwide Holdings, Inc.

 

6.500% due 11/15/2022 (j)

      345         347  

7.625% due 03/15/2020 (j)

      1,672         1,636  

Cleveland-Cliffs, Inc.

 

4.875% due 01/15/2024

      18         17  

Community Health Systems, Inc.

 

5.125% due 08/01/2021 (j)

      574         535  
 

 

See Accompanying Notes   SEMIANNUAL REPORT   DECEMBER 31, 2018   63


Table of Contents

Schedule of Investments PIMCO Strategic Income Fund, Inc. (Cont.)

 

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

6.250% due 03/31/2023 (j)

  $     4,499     $     4,106  

8.625% due 01/15/2024 (j)

      294         291  

CSN Resources S.A.

 

6.500% due 07/21/2020 (j)

      420         407  

CVS Pass-Through Trust

 

7.507% due 01/10/2032

      770         891  

DAE Funding LLC

 

5.250% due 11/15/2021

      100         99  

5.750% due 11/15/2023 (j)

      200         198  

Diamond Resorts International, Inc.

 

7.750% due 09/01/2023 (j)

      507         489  

EI Group PLC

 

6.875% due 05/09/2025

  GBP     620         853  

Envision Healthcare Corp.

 

8.750% due 10/15/2026 (j)

  $     1,059         919  

Exela Intermediate LLC

 

10.000% due 07/15/2023 (j)

      65         62  

First Quantum Minerals Ltd.

 

6.500% due 03/01/2024 (j)

      766         639  

6.875% due 03/01/2026 (j)

      844         680  

7.000% due 02/15/2021 (j)

      316         304  

Frontier Finance PLC

 

8.000% due 03/23/2022

  GBP     2,600         3,228  

Full House Resorts, Inc.

 

8.575% due 01/31/2024 «

  $     198         183  

General Electric Co.

 

2.200% due 01/09/2020

      129         127  

3.100% due 01/09/2023

      92         86  

3.150% due 09/07/2022

      20         19  

3.450% due 05/15/2024

      3         3  

5.000% due 01/21/2021 •(f)

      148         113  

5.550% due 05/04/2020

      39         40  

5.550% due 01/05/2026 (j)

      303         297  

5.875% due 01/14/2038

      8         8  

6.150% due 08/07/2037

      7         7  

iHeartCommunications, Inc.

 

9.000% due 12/15/2019 ^(c)

      400         270  

9.000% due 03/01/2021 ^(c)

      6,166           4,162  

9.000% due 09/15/2022 ^(c)

      1,206         808  

10.625% due 03/15/2023 ^(c)

      24         16  

Intelsat Connect Finance S.A.

 

9.500% due 02/15/2023 (j)

      105         91  

Intelsat Jackson Holdings S.A.

 

8.000% due 02/15/2024 (j)

      60         62  

8.500% due 10/15/2024 (j)

      60         58  

9.750% due 07/15/2025 (j)

      64         64  

Intelsat Luxembourg S.A.

 

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

      4,458         4,079  

Kinder Morgan, Inc.

 

5.300% due 12/01/2034 (j)

      1,500         1,477  

7.750% due 01/15/2032 (j)

      4,500         5,410  

Marriott Ownership Resorts, Inc.

 

6.500% due 09/15/2026

      32         31  

Metinvest BV

 

8.500% due 04/23/2026 (j)

      600         542  

Netflix, Inc.

 

4.625% due 05/15/2029

  EUR     100         113  

Ortho-Clinical Diagnostics, Inc.

 

6.625% due 05/15/2022 (j)

  $     162         147  

Park Aerospace Holdings Ltd.

 

3.625% due 03/15/2021

      44         42  

4.500% due 03/15/2023 (j)

      88         82  

5.250% due 08/15/2022

      7         7  

5.500% due 02/15/2024

      20         19  

Petroleos Mexicanos

 

6.500% due 03/13/2027

      90         85  

6.750% due 09/21/2047

      20         17  

Platin GmbH

 

6.875% due 06/15/2023

  EUR     200         221  

Radiate Holdco LLC

 

6.875% due 02/15/2023

  $     40         37  

Rockpoint Gas Storage Canada Ltd.

 

7.000% due 03/31/2023

      4         4  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Sands China Ltd.

 

4.600% due 08/08/2023 (j)

  $     200     $     199  

5.125% due 08/08/2025 (j)

      200         198  

5.400% due 08/08/2028 (j)

      200         194  

Shelf Drilling Holdings Ltd.

 

8.250% due 02/15/2025

      9         8  

Sunoco LP

 

4.875% due 01/15/2023

      28         27  

T-Mobile USA, Inc.

 

4.750% due 02/01/2028

      11         10  

Teva Pharmaceutical Finance Netherlands BV

 

3.250% due 04/15/2022

  EUR     200         231  

Transocean Pontus Ltd.

 

6.125% due 08/01/2025 (j)

  $     80         78  

Triumph Group, Inc.

 

4.875% due 04/01/2021

      20         18  

5.250% due 06/01/2022

      14         12  

UAL Pass-Through Trust

 

6.636% due 01/02/2024

      1,419         1,477  

Univision Communications, Inc.

 

5.125% due 05/15/2023 (j)

      152         137  

5.125% due 02/15/2025

      33         29  

UPCB Finance Ltd.

 

3.625% due 06/15/2029

  EUR     110         120  

ViaSat, Inc.

 

5.625% due 09/15/2025

  $     50         46  

VOC Escrow Ltd.

 

5.000% due 02/15/2028

      30         28  

WellCare Health Plans, Inc.

 

5.375% due 08/15/2026

      42         41  

Wind Tre SpA

 

2.625% due 01/20/2023

  EUR     200         208  

2.750% due 01/20/2024 •

      200         206  

Wyndham Destinations, Inc.

 

3.900% due 03/01/2023

  $     36         33  

4.250% due 03/01/2022

      2         2  

5.750% due 04/01/2027 (j)

      443         408  
       

 

 

 
            45,918  
       

 

 

 
UTILITIES 3.8%

 

AT&T, Inc.

 

4.900% due 08/15/2037 (j)

      198         185  

Gazprom Neft OAO Via GPN Capital S.A.

 

6.000% due 11/27/2023 (j)

      5,600         5,802  

Gazprom OAO Via Gaz Capital S.A.

 

8.625% due 04/28/2034 (j)

      1,710         2,120  

Odebrecht Offshore Drilling Finance Ltd.

 

6.720% due 12/01/2022 (j)

      1,137         1,062  

Pacific Gas & Electric Co.

 

2.450% due 08/15/2022

      38         34  

2.950% due 03/01/2026

      28         23  

3.250% due 09/15/2021

      14         13  

3.250% due 06/15/2023

      20         18  

3.500% due 10/01/2020

      55         53  

3.750% due 02/15/2024

      12         11  

3.750% due 08/15/2042

      12         9  

4.250% due 05/15/2021

      4         4  

Petrobras Global Finance BV

 

5.999% due 01/27/2028

      10         9  

6.125% due 01/17/2022 (j)

      76         78  

7.375% due 01/17/2027 (j)

      424         437  

Rio Oil Finance Trust

 

9.250% due 07/06/2024 (j)

      585         627  

9.750% due 01/06/2027 (j)

      784         862  

Southern California Edison Co.

 

3.650% due 03/01/2028

      3         3  

5.750% due 04/01/2035

      6         6  

6.000% due 01/15/2034

      2         2  

6.650% due 04/01/2029

      12         13  
       

 

 

 
          11,371  
       

 

 

 

Total Corporate Bonds & Notes
(Cost $105,111)

      101,417  
 

 

 

 
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
MUNICIPAL BONDS & NOTES 1.1%

 

ILLINOIS 0.1%

 

Chicago, Illinois General Obligation Bonds, Series 2014

 

6.314% due 01/01/2044

  $     50     $     49  

Chicago, Illinois General Obligation Bonds, Series 2017

 

7.045% due 01/01/2029

      70         76  

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

 

6.725% due 04/01/2035

      15         16  

7.350% due 07/01/2035

      10         11  

Illinois State General Obligation Bonds, Series 2003

 

5.100% due 06/01/2033

      145         139  
       

 

 

 
          291  
       

 

 

 
WEST VIRGINIA 1.0%

 

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

 

0.000% due 06/01/2047 (e)

      25,300         1,423  

7.467% due 06/01/2047

      1,620         1,591  
       

 

 

 
          3,014  
       

 

 

 

Total Municipal Bonds & Notes
(Cost $3,287)

      3,305  
 

 

 

 
U.S. GOVERNMENT AGENCIES 273.8%

 

Fannie Mae

 

1.723% due 08/25/2054 ~(a)(j)

      14,713         762  

2.500% due 12/25/2027 (a)

      3,459         244  

3.933% due 03/01/2032 •

      71         71  

4.000% due 06/01/2047

      37         38  

4.000% due 09/01/2047 - 07/01/2048 (j)

      56,913           58,075  

4.250% due 11/25/2024 (j)

      484         483  

4.385% due 09/01/2028 •

      3         3  

4.500% due 09/01/2023 - 03/01/2028

      73         77  

4.500% due 07/25/2040 - 08/01/2041 (j)

      1,397         1,459  

4.541% due 12/01/2028 •

      18         18  

4.752% due 11/01/2027 •

      42         43  

5.000% due 01/25/2038 (j)

      6,779         7,265  

5.000% due 07/25/2038

      184         198  

5.379% due 12/25/2042 ~

      29         31  

5.500% due 07/25/2024

      11         12  

5.500% due 11/25/2032 - 04/25/2035 (j)

      6,062         6,544  

5.750% due 06/25/2033

      24         26  

5.807% due 08/25/2043

      1,605         1,720  

6.000% due 09/25/2031 - 01/25/2044

      1,648         1,804  

6.000% due 12/01/2032 - 06/01/2040 (j)

      5,011         5,465  

6.056% due 07/25/2029 •

      490         520  

6.500% due 06/25/2023 - 11/01/2047

      5,028         5,546  

6.500% due 03/25/2032 - 07/01/2039 (j)

      1,188         1,318  

6.500% due 10/25/2042 ~

      12         14  

6.850% due 12/18/2027

      11         12  

7.000% due 07/01/2021 - 01/01/2047

      1,252         1,351  

7.000% due 09/25/2041 ~

      427         456  

7.000% due 03/25/2045 (j)

      729         823  

7.500% due 05/01/2022 - 06/25/2044

      1,232         1,391  

7.500% due 06/19/2041 - 10/25/2042 ~

      914         1,002  

7.700% due 03/25/2023

      11         12  

8.000% due 09/25/2021 - 06/01/2032

      248         267  

8.000% due 06/19/2041 ~

      760         855  

8.256% due 07/25/2029 •

      660         762  

8.500% due 10/25/2021 - 06/25/2030

      116         125  

8.500% due 06/18/2027 (j)

      261         293  

9.428% due 05/15/2021

      15         16  

9.641% due 07/15/2027

      7         8  
 

 

64   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


Table of Contents

 

December 31, 2018 (Unaudited)

 

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

Fannie Mae, TBA

 

3.000% due 08/01/2048 - 03/01/2049

  $     193,000     $       188,265  

3.500% due 09/01/2048 - 06/01/2049

      234,000         233,983  

4.000% due 08/01/2048 - 03/01/2049

      228,750         233,257  

Freddie Mac

 

0.000% due 04/25/2045 - 11/25/2050 (b)(e)

      10,782         7,175  

0.100% due 02/25/2046 - 11/25/2050 (a)

      120,665         492  

0.200% due 04/25/2045 (a)

      3,268         1  

1.436% due 05/15/2038 ~(a)(j)

      9,442         520  

1.686% due 11/15/2038 ~(a)(j)

      27,513         1,520  

1.745% due 08/15/2036 ~(a)

      4,180         267  

2.011% due 11/25/2045 ~(a)

      5,336         757  

3.833% due 04/01/2033 •

      1         2  

4.624% due 09/01/2031 •

      31         31  

4.637% due 12/01/2026 •

      5         5  

5.000% due 02/15/2024

      5         5  

5.487% due 07/25/2032 ~

      109         116  

5.500% due 04/01/2039 - 06/15/2041 (j)

      5,023         5,458  

6.000% due 12/15/2028 - 03/15/2035

      642         700  

6.000% due 02/15/2032 (j)

      1,546         1,685  

6.500% due 08/01/2021 - 09/01/2047

      4,278         4,923  

6.500% due 10/15/2023 - 09/15/2031 (j)

      2,228         2,473  

6.500% due 09/25/2043 ~

      50         56  

6.900% due 09/15/2023

      176         186  

6.950% due 07/15/2021

      63         65  

7.000% due 08/01/2021 - 10/25/2043

      1,780         1,955  

7.000% due 03/15/2029 - 01/01/2036 (j)

      2,161         2,410  

7.500% due 05/15/2024 - 02/25/2042

      680         730  

7.500% due 08/01/2024 - 12/01/2030 (j)

      1,069         1,186  

7.656% due 10/25/2029 •

      1,200         1,349  

8.000% due 08/15/2022 - 04/15/2030

      80         87  

8.000% due 12/01/2026 (j)

      118         126  

10.056% due 12/25/2027 •

      1,593         1,851  

13.256% due 03/25/2025 •

      388         511  

Freddie Mac, TBA

 

4.000% due 11/01/2048

      3,000         3,059  

Ginnie Mae

 

6.000% due 04/15/2029 - 12/15/2038

      104         111  

6.000% due 07/15/2037 - 11/15/2038 (j)

      1,234         1,342  

6.500% due 11/20/2024 - 10/20/2038

      76         77  

6.500% due 04/15/2032 - 05/15/2032 (j)

      460         502  

7.000% due 04/15/2024 - 06/15/2026

      37         37  

7.500% due 06/15/2023 - 03/15/2029

      464         475  

7.500% due 04/15/2027 - 01/15/2029 (j)

      194         204  

8.000% due 11/15/2021 - 11/15/2022

      3         2  

8.500% due 05/15/2022 - 02/15/2031

      10         10  

9.000% due 10/15/2019 - 01/15/2020

      16         16  

Ginnie Mae, TBA

 

4.000% due 09/01/2048

      20,000           20,487  

Small Business Administration

 

4.625% due 02/01/2025

      85         87  

5.510% due 11/01/2027

      243         259  

5.780% due 08/01/2027

      20         21  

5.820% due 07/01/2027

      24         25  

Vendee Mortgage Trust

 

6.500% due 03/15/2029

      129         141  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

6.750% due 02/15/2026 - 06/15/2026

  $     85     $     93  

7.500% due 09/15/2030

      1,970         2,245  
       

 

 

 

Total U.S. Government Agencies
(Cost $843,613)

      820,449  
 

 

 

 
U.S. TREASURY OBLIGATIONS 23.2%

 

U.S. Treasury Notes

 

2.000% due 08/15/2025 (j)

      41,000         39,552  

2.000% due 11/15/2026 (j)(m)

      21,800         20,831  

2.875% due 11/30/2025 (j)

      8,900         9,066  
       

 

 

 

Total U.S. Treasury Obligations
(Cost $67,268)

    69,449  
 

 

 

 
NON-AGENCY MORTGAGE-BACKED SECURITIES 36.8%

 

Adjustable Rate Mortgage Trust

 

4.347% due 07/25/2035 ~

      479         464  

4.392% due 08/25/2035 ~

      801         790  

Banc of America Mortgage Trust

 

3.681% due 02/25/2035 ~

      17         17  

Bancorp Commercial Mortgage Trust

 

6.150% due 08/15/2032 •

      3,300         3,322  

8.343% due 11/15/2033 •

      4,500         4,514  

Barclays Commercial Mortgage Securities Trust

 

7.455% due 08/15/2027 •

      2,700         2,671  

BCAP LLC Trust

 

2.501% due 07/26/2036 ~

      211         172  

4.424% due 06/26/2035 ~

      43         40  

4.667% due 10/26/2033 ~

      130         115  

4.748% due 10/26/2036 ~

      1,181         1,172  

Bear Stearns ALT-A Trust

 

3.867% due 08/25/2036 ^~

      320         212  

Bear Stearns Commercial Mortgage Securities Trust

 

5.605% due 12/11/2040 ~

      5,728         5,456  

5.657% due 10/12/2041 ~

      3,583         3,388  

5.707% due 04/12/2038 ~

      120         121  

CD Commercial Mortgage Trust

 

5.398% due 12/11/2049 ~

      4         3  

Citigroup Commercial Mortgage Trust

 

5.592% due 12/10/2049 ~

      1,939         1,313  

Citigroup Mortgage Loan Trust, Inc.

 

7.000% due 09/25/2033

      3         3  

Commercial Mortgage Loan Trust

 

6.050% due 12/10/2049 ~

      2,235         1,372  

Countrywide Alternative Loan Trust

 

2.716% due 07/25/2046 ^•(j)

      1,942         1,750  

5.500% due 05/25/2022 ^

      7         5  

6.500% due 07/25/2035 ^

      348         281  

Countrywide Home Loan Mortgage Pass-Through Trust

 

3.146% due 03/25/2035 •(j)

      1,701         1,510  

3.436% due 08/25/2034 ~

      421         416  

4.376% due 03/25/2046 ^•

      2,421         1,566  

Countrywide Home Loan Reperforming REMIC Trust

 

7.500% due 11/25/2034

      783         789  

7.500% due 06/25/2035 ^

      157         159  

Credit Suisse First Boston Mortgage-Backed Pass-through Certificates

 

7.000% due 02/25/2034

      370         404  

Credit Suisse Mortgage Capital Mortgage-Backed Trust

 

6.500% due 03/25/2036 ^

      1,019         542  

Epic Drummond Ltd.

 

0.000% due 01/25/2022 •

  EUR     82         92  

Eurosail PLC

 

2.500% due 09/13/2045 •

  GBP     1,751         2,122  

3.150% due 09/13/2045 •

      1,251         1,519  

4.750% due 09/13/2045 •

      1,063         1,427  

GC Pastor Hipotecario FTA

 

0.000% due 06/21/2046 •

  EUR     1,490         1,474  

GCCFC Commercial Mortgage Trust

 

5.505% due 03/10/2039 ~

  $     917         445  

GE Commercial Mortgage Corp. Trust

 

5.606% due 12/10/2049 ~

      936         883  

GMAC Mortgage Corp. Loan Trust

 

4.696% due 08/19/2034 ~

      59         56  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

GS Mortgage Securities Corp.

 

4.591% due 10/10/2032 ~

  $     2,900     $     2,609  

GSAA Trust

 

6.000% due 04/01/2034

      897         945  

GSMPS Mortgage Loan Trust

 

5.756% due 06/19/2027 ~

      30         31  

7.000% due 06/25/2043

      2,179         2,407  

8.000% due 09/19/2027 ~

      510         503  

GSR Mortgage Loan Trust

 

2.836% due 12/25/2034 •

      264         253  

3.830% due 03/25/2033 •

      2         2  

6.500% due 01/25/2034

      194         205  

IM Pastor Fondo de Titluzacion Hipotecaria

 

0.000% due 03/22/2043 •

  EUR     503         514  

JPMorgan Chase Commercial Mortgage Securities Trust

 

5.411% due 05/15/2047

  $     1,900         1,083  

5.623% due 05/12/2045

      614         497  

JPMorgan Mortgage Trust

 

4.380% due 10/25/2036 ^~

      1,830         1,786  

5.500% due 08/25/2022 ^

      15         14  

5.500% due 06/25/2037 ^

      262         257  

LB-UBS Commercial Mortgage Trust

 

5.350% due 09/15/2040 ~

      3,620         3,645  

Lehman XS Trust

 

3.356% due 09/25/2047 •(j)

      4,428         4,222  

MASTR Adjustable Rate Mortgages Trust

 

4.122% due 10/25/2034 ~

      815         760  

MASTR Alternative Loan Trust

 

6.250% due 07/25/2036

      370         317  

6.500% due 03/25/2034

      793         838  

7.000% due 04/25/2034

      33         36  

MASTR Reperforming Loan Trust

 

7.000% due 05/25/2035

      3,538         3,378  

7.500% due 07/25/2035

      1,854         1,910  

Merrill Lynch Mortgage Trust

 

5.791% due 06/12/2050 ~

      12         12  

Morgan Stanley Capital Trust

 

6.121% due 06/11/2049 ~

      192         191  

Morgan Stanley Resecuritization Trust

 

3.676% due 12/26/2046 ~

      7,696         6,814  

Motel 6 Trust

 

9.382% due 08/15/2019 •

      4,305         4,378  

NAAC Reperforming Loan REMIC Trust

 

7.000% due 10/25/2034 ^

      975         969  

7.500% due 03/25/2034 ^

      2,495           2,395  

7.500% due 10/25/2034 ^

      2,925         3,117  

Newgate Funding PLC

 

0.939% due 12/15/2050 •

  EUR     2,017         2,184  

1.189% due 12/15/2050 •

      2,017         2,150  

1.906% due 12/15/2050 •

  GBP     2,778         3,371  

2.156% due 12/15/2050 •

      2,282         2,755  

RBSSP Resecuritization Trust

 

3.825% due 12/26/2036 ~

  $     5,804         3,782  

6.000% due 02/26/2037 ~

      3,720         3,071  

Residential Accredit Loans, Inc. Trust

 

6.000% due 08/25/2035 ^

      1,653         1,522  

Residential Asset Mortgage Products Trust

 

8.500% due 10/25/2031

      422         465  

8.500% due 11/25/2031

      755         750  

Structured Asset Mortgage Investments Trust

 

3.657% due 08/25/2047 ^•(j)

      2,636         2,484  

Structured Asset Securities Corp. Mortgage Loan Trust

 

7.500% due 10/25/2036 ^

      2,763         2,304  

WaMu Mortgage Pass-Through Certificates Trust

 

3.909% due 05/25/2035 ~

      203         205  

Washington Mutual Mortgage Pass-Through Certificates Trust

 

7.000% due 03/25/2034

      124         134  

7.500% due 04/25/2033

      273         287  

Wells Fargo Mortgage-Backed Securities Trust

 

4.513% due 06/25/2035 ~

      193         199  

4.620% due 04/25/2036 ^~

      19         19  
       

 

 

 

Total Non-Agency Mortgage-Backed Securities (Cost $104,170)

      110,355  
 

 

 

 
 

 

See Accompanying Notes   SEMIANNUAL REPORT   DECEMBER 31, 2018   65


Table of Contents

Schedule of Investments PIMCO Strategic Income Fund, Inc. (Cont.)

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
ASSET-BACKED SECURITIES 24.9%

 

Access Financial Manufactured Housing Contract Trust

 

7.650% due 05/15/2021

  $     201     $     39  

Airspeed Ltd.

 

2.725% due 06/15/2032 •

      1,012         972  

Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates

 

6.031% due 11/25/2032 ^•

      218         10  

Bear Stearns Asset-Backed Securities Trust

 

2.222% due 09/25/2034 •

      429         414  

Citigroup Mortgage Loan Trust

 

2.666% due 12/25/2036 •(j)

      4,754         3,042  

2.726% due 12/25/2036 •

      2,562         1,297  

Citigroup Mortgage Loan Trust, Inc.

 

2.766% due 03/25/2037 •(j)

      5,653         5,105  

Conseco Finance Corp.

 

6.530% due 02/01/2031 ~

      120         116  

7.050% due 01/15/2027

      8         8  

Conseco Finance Securitizations Corp.

 

7.960% due 05/01/2031

      1,565         924  

Countrywide Asset-Backed Certificates

 

2.636% due 12/25/2036 ^•(j)

      3,141         2,892  

2.646% due 06/25/2047 ^•(j)

      8,015         7,259  

2.706% due 06/25/2037 ^•(j)

      2,293         2,066  

2.706% due 06/25/2047 ^•(j)

      5,806         5,135  

2.796% due 06/25/2037 •(j)

      8,449         8,192  

4.789% due 07/25/2036 ~(j)

      11,700           11,944  

Countrywide Asset-Backed Certificates Trust

 

4.156% due 11/25/2034 •

      2,297         1,499  

Crecera Americas LLC

 

5.563% due 08/31/2020 •

      5,200         5,205  

Credit-Based Asset Servicing & Securitization LLC

 

5.582% due 12/25/2037 Ø

      392         400  

Encore Credit Receivables Trust

 

3.241% due 07/25/2035 •

      576         527  

Flagship Credit Auto Trust

 

0.000% due 12/15/2025 «(e)

      12         3,150  

Greenpoint Manufactured Housing

 

8.300% due 10/15/2026 ~

      445         472  

Marlette Funding Trust

 

0.000% due 12/15/2028 (e)

      5,682         2,636  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

National Collegiate Commutation Trust

 

0.000% due 03/25/2038 •

  $     10,400     $     5,868  

Oakwood Mortgage Investors, Inc.

 

2.685% due 06/15/2032 •

      14         14  

Residential Asset Mortgage Products Trust

 

8.500% due 12/25/2031

      18         12  

SMB Private Education Loan Trust

 

0.000% due 10/15/2048 «(e)

      5         5,352  
       

 

 

 

Total Asset-Backed Securities (Cost $69,367)

      74,550  
 

 

 

 
SOVEREIGN ISSUES 3.6%

 

Argentina Government International Bond

 

2.260% due 12/31/2038 Ø

  EUR     1,570         1,004  

3.375% due 01/15/2023

      100         91  

5.250% due 01/15/2028

      100         83  

6.250% due 11/09/2047

      100         83  

7.820% due 12/31/2033

      3,702         3,602  

41.328% (BADLARPP) due 10/04/2022 ~

  ARS     32         1  

48.797% (BADLARPP + 3.250%) due 03/01/2020 ~

      500         13  

50.225% (BADLARPP + 2.000%) due 04/03/2022 ~(a)

      33,957         869  

50.950% (BADLARPP + 2.500%) due 03/11/2019 ~(a)

      11,386         302  

59.257% (ARLLMONP) due 06/21/2020 ~(a)

      120,625         3,450  

Kazakhstan Government International Bond

 

1.550% due 11/09/2023

  EUR     100         115  

2.375% due 11/09/2028

      100         114  

Peru Government International Bond

 

5.940% due 02/12/2029

  PEN     998         302  

6.150% due 08/12/2032

      1,020         309  

6.350% due 08/12/2028

      220         69  

8.200% due 08/12/2026

      220         77  

Qatar Government International Bond

 

5.103% due 04/23/2048

  $     200         210  

Venezuela Government International Bond

 

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

      135         31  

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

      13         3  

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

      171         41  
       

 

 

 

Total Sovereign Issues (Cost $16,270)

      10,769  
 

 

 

 
        SHARES         MARKET
VALUE
(000S)
 
COMMON STOCKS 0.1%

 

CONSUMER DISCRETIONARY 0.1%

 

Caesars Entertainment Corp. (d)

      27,655     $     188  
       

 

 

 
ENERGY 0.0%

 

Forbes Energy Services Ltd. (d)(h)

      4,500         11  
       

 

 

 

Total Common Stocks (Cost $550)

    199  
 

 

 

 
PREFERRED SECURITIES 1.7%

 

BANKING & FINANCE 1.7%

 

Nationwide Building Society

 

10.250% ~

      29,560         5,265  
       

 

 

 

Total Preferred Securities (Cost $5,834)

    5,265  
 

 

 

 
REAL ESTATE INVESTMENT TRUSTS 0.3%

 

REAL ESTATE 0.3%

 

VICI Properties, Inc.

      44,227         831  
       

 

 

 

Total Real Estate Investment Trusts
(Cost $667)

    831  
 

 

 

 
SHORT-TERM INSTRUMENTS 0.6%

 

REPURCHASE AGREEMENTS (i) 0.6%

 

          1,698  
       

 

 

 
Total Short-Term Instruments
(Cost $1,698)
    1,698  
 

 

 

 
       
Total Investments in Securities
(Cost $1,236,839)
      1,216,167  
 
Total Investments 405.9%
(Cost $1,236,839)

 

  $     1,216,167  

Financial Derivative Instruments (k)(l) (1.1)%

(Cost or Premiums, net $8,188)

        (3,441)  
Other Assets and Liabilities, net (304.8)%     (913,105
 

 

 

 
Net Assets 100.0%

 

  $     299,621  
   

 

 

 
 

NOTES TO SCHEDULE OF INVESTMENTS:

 

*

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

^

Security is in default.

«

Security valued using significant unobservable inputs (Level 3).

~

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.

Ø

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)

Interest only security.

(b)

Principal only security.

(c)

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

(d)

Security did not produce income within the last twelve months.

(e)

Zero coupon security.

(f)

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

(g)

Contingent convertible security.

 

66   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


Table of Contents

 

December 31, 2018 (Unaudited)

 

 

(h)  RESTRICTED SECURITIES:

 

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

Forbes Energy Services Ltd.

   03/11/2014   $ 222     $ 11       0.00

Pinnacol Assurance 8.625% due 06/25/2034

   06/23/2014     2,600       2,520       0.84  
    

 

 

   

 

 

   

 

 

 
  $     2,822     $     2,531       0.84
 

 

 

   

 

 

   

 

 

 

 

BORROWINGS AND OTHER FINANCING TRANSACTIONS

 

(i)  REPURCHASE AGREEMENTS:

 

Counterparty   Lending
Rate
    Settlement
Date
    Maturity
Date
    Principal
Amount
    Collateralized By   Collateral
(Received)
    Repurchase
Agreements,
at Value
    Repurchase
Agreement
Proceeds
to be
Received(1)
 
FICC     2.000     12/31/2018       01/02/2019     $     1,698     U.S. Treasury Notes 2.875% due 09/30/2023   $ (1,735   $ 1,698     $ 1,698  
           

 

 

   

 

 

   

 

 

 

Total Repurchase Agreements

 

    $     (1,735   $     1,698     $     1,698  
   

 

 

   

 

 

   

 

 

 

 

REVERSE REPURCHASE AGREEMENTS:

 

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

BPS

    2.780     11/14/2018       02/14/2019     $ (951   $ (955
    2.820       10/23/2018       01/24/2019       (5,447     (5,477
    2.900       12/13/2018       01/14/2019       (58,097     (58,191
    2.900       12/17/2018       01/14/2019       (7,673     (7,684
    2.930       11/09/2018       02/11/2019       (7,562     (7,595
    2.930       12/04/2018       02/11/2019       (169     (169
    2.930       12/12/2018       03/12/2019       (15,724     (15,750
    2.990       11/14/2018       02/14/2019       (5,344     (5,366
    2.990       11/15/2018       02/15/2019       (2,380     (2,389
    3.020       10/12/2018       01/14/2019       (1,453     (1,463
    3.020       12/06/2018       01/14/2019       (876     (878
    3.050       10/22/2018       01/22/2019       (2,399     (2,414
    3.050       12/11/2018       01/22/2019       (111     (111
    3.080       12/04/2018       03/05/2019       (3,014     (3,021
    3.080       12/04/2018       03/06/2019       (2,681     (2,688
    3.180       11/09/2018       02/11/2019       (3,380     (3,396
    3.250       11/14/2018       02/14/2019       (913     (917
    3.250       11/19/2018       02/19/2019       (2,960     (2,971
    3.250       12/13/2018       01/14/2019       (786     (787
    3.250       12/17/2018       01/14/2019       (100     (100
    3.266       11/14/2018       02/14/2019       (7,825     (7,859
    3.310       12/04/2018       03/05/2019       (6,267     (6,283
    3.330       12/03/2018       03/04/2019       (4,816     (4,829
    3.330       12/04/2018       03/06/2019       (2,259     (2,265
    3.330       12/10/2018       03/11/2019       (2,972     (2,978
    3.330       12/31/2018       03/06/2019       (242     (242
    3.400       12/13/2018       03/13/2019       (2,528     (2,533
    3.400       12/18/2018       03/18/2019       (944     (945
    3.430       12/12/2018       03/12/2019       (1,281     (1,283
    3.436       10/15/2018       01/15/2019       (9,547     (9,619
    3.601       11/08/2018       02/08/2019       (4,891     (4,918
    3.629       11/14/2018       02/14/2019       (5,433     (5,460
    3.629       11/15/2018       02/15/2019           (17,980     (18,066
    3.792       12/19/2018       03/19/2019       (6,876     (6,886
         

 

 

 

Total Reverse Repurchase Agreements

 

      $     (196,488
         

 

 

 

 

SALE-BUYBACK TRANSACTIONS:

 

Counterparty   Borrowing
Rate(2)
    Borrowing
Date
    Maturity
Date
    Amount
Borrowed(2)
    Payable for
Sale-Buyback
Transactions(3)
 

BOS

    2.950     12/28/2018       01/04/2019     $ (1,117   $ (1,117

MSC

    3.400       12/27/2018       01/03/2019           (55,156     (55,187
         

 

 

 

Total Sale-Buyback Transactions

 

      $     (56,304
         

 

 

 

 

See Accompanying Notes   SEMIANNUAL REPORT   DECEMBER 31, 2018   67


Table of Contents

Schedule of Investments PIMCO Strategic Income Fund, Inc. (Cont.)

 

 

MORTGAGE DOLLAR ROLLS:

 

Counterparty   Borrowing
Rate(2)
    Borrowing
Date
    Maturity
Date
    Amount
Received
   

Amount

Borrowed(2)

 

FOB

    0.563     01/14/2019       02/12/2019     $  181,647     $  (181,647
    0.820       01/14/2019       02/12/2019       64,323       (64,323
    0.984       01/14/2019       02/12/2019       25,294       (25,294
    1.008       01/14/2019       02/12/2019       60,714       (60,714

JML

    1.008       01/14/2019       02/12/2019       10,133       (10,133

MSC

    0.844       01/14/2019       02/12/2019       9,878       (9,878
    1.055       01/14/2019       02/12/2019       3,034       (3,034

SAL

    1.055       01/14/2019       02/12/2019       10,874       (10,874
    1.125       01/14/2019       02/12/2019       5,042       (5,042
       

 

 

   

 

 

 

Total Mortgage Dollar Rolls

 

    $     370,939     $     (370,939
       

 

 

   

 

 

 

 

BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY

 

The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral pledged/(received) as of June 30, 2018:

 

Counterparty   Repurchase
Agreement
Proceeds
to be
Received(1)
    Payable for
Reverse
Repurchase
Agreements
    Payable for
Sale-Buyback
Transactions(3)
   

Receivable for
Mortgage

Dollar Rolls

   

Payable for
Mortgage

Dollar Rolls

    Total
Borrowings and
Other Financing
Transactions
    Collateral
(Received)/
Pledged
     Net  Exposure(4)  

Global/Master Repurchase Agreement

 

BPS

  $ 0     $ (196,488   $ 0     $ 0     $ 0     $     (196,488   $     218,672      $     22,184  

FICC

    1,698       0       0       0       0       1,698       (1,735      (37

Master Securities Forward Transaction Agreement

 

BOS

    0       0       (1,117     0       0       (1,117     1,120        3  

FOB

    0       0       0       331,978       (331,978     0       0        0  

JML

    0       0       0       10,133       (10,133     0       0        0  

MSC

    0       0       (55,187     12,912       (12,912     (55,187     55,128        (59

SAL

    0       0       0       15,916       (15,916     0       0        0  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

        

Total Borrowings and Other Financing Transactions

  $     1,698     $     (196,488   $     (56,304   $     370,939     $     (370,939       
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

        

 

CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS

 

Remaining Contractual Maturity of the Agreements

 

     Overnight and
Continuous
    Up to 30 days     31-90 days     Greater Than 90 days     Total  

Reverse Repurchase Agreements

 

Corporate Bonds & Notes

  $ 0     $ (11,287   $ (48,587   $ 0     $ (59,874

U.S. Government Agencies

    0       (65,818     (25,847     0       (91,665

Non-Agency Mortgage-Backed Securities

    0       0       (2,511     0       (2,511

Asset-Backed Securities

    0       (9,619     (32,819     0       (42,438
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $     0     $ (86,724   $ (109,764   $ 0     $ (196,488
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Sale-Buyback Transactions

 

U.S. Treasury Obligations

    0       (56,304     0       0       (56,304
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 0     $ (56,304   $ 0     $ 0     $ (56,304
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Borrowings

  $ 0     $     (143,028   $     (109,764   $     0     $     (252,792
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Payable for reverse repurchase agreements and sale-buyback financing transactions

 

  $ (252,792
 

 

 

 

 

(j)

Securities with an aggregate market value of $274,441 and cash of $480 have been pledged as collateral under the terms of the above master agreements as of December 31, 2018.

 

(1)

Includes accrued interest.

(2)

The average amount of borrowings outstanding during the period ended December 31, 2018 was $(913,166) at a weighted average interest rate of 1.610%. Average borrowings may include sale-buyback transactions, mortgage dollar rolls and reverse repurchase agreements, if held during the period.

(3)

Payable for sale-buyback transactions includes $(5) of deferred price drop.

(4)

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

 

68   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


Table of Contents

 

December 31, 2018 (Unaudited)

 

 

(k)  FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED

 

FUTURES CONTRACTS:

 

LONG FUTURES CONTRACTS

 

Description   Expiration
Month
    # of
Contracts
    Notional
Amount
    Unrealized
Appreciation/
(Depreciation)
     Variation Margin  
   Asset      Liability  

90-Day Eurodollar June Futures

    06/2019       212     $     51,577     $ (408    $ 3      $ 0  
       

 

 

    

 

 

    

 

 

 

Total Futures Contracts

 

  $     (408    $     3      $     0  
 

 

 

    

 

 

    

 

 

 

 

SWAP AGREEMENTS:

 

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

 

Reference Entity   Fixed
Receive Rate
    Payment
Frequency
    Maturity
Date
    Implied
Credit Spread at
December 31, 2018(2)
    Notional
Amount(3)
    Premiums
Paid/(Received)
    Unrealized
Appreciation/
(Depreciation)
    Market
Value(4)
    Variation Margin  
  Asset     Liability  

General Electric Co.

    1.000     Quarterly       12/20/2020       1.653   $ 200     $ (4   $ 2     $ (2   $ 0     $ 0  

General Electric Co.

    1.000       Quarterly       12/20/2023       2.039           300           (17         3           (14         0           0  
           

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
          $ (21   $ 5     $ (16   $ 0     $ 0  
           

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

INTEREST RATE SWAPS

 

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

Pay

 

3-Month CAD-Bank Bill

    3.300   Semi-Annual     06/19/2024       CAD       11,200     $ 624     $ (198    $ 426      $ 10      $ 0  

Receive

 

3-Month CAD-Bank Bill

    3.500     Semi-Annual     06/20/2044         3,800       (534     90        (444      12        0  

Receive

 

3-Month USD-LIBOR

    2.000     Semi-Annual     06/20/2025     $         34,400       1,632       (358      1,274        0        (92

Receive

 

3-Month USD-LIBOR

    2.250     Semi-Annual     06/20/2028         100,300       3,585       212        3,797        0        (375

Receive

 

3-Month USD-LIBOR

    3.000     Semi-Annual     12/19/2028         22,400       (78     (461      (539      0        (87

Receive

 

3-Month USD-LIBOR

    2.500     Semi-Annual     06/20/2048         87,000       3,543       3,001        6,544        0        (480

Receive

 

3-Month USD-LIBOR

    3.000     Semi-Annual     12/19/2048         25,300       1,638           (2,361      (723      0        (151

Receive(5)

 

6-Month EUR-EURIBOR

    1.000     Annual     03/20/2029       EUR       2,300       9       (47      (38      0        (3

Receive(5)

 

6-Month EUR-EURIBOR

    1.000     Annual     06/19/2029         600       (1     (6      (7      0        (1

Receive(5)

 

6-Month GBP-LIBOR

    1.500     Semi-Annual     03/20/2029       GBP       1,500       24       (34      (10      0        (7

Receive(5)

 

6-Month GBP-LIBOR

    1.750     Semi-Annual     03/20/2049         1,600       (10     (95      (105      0        (18
             

 

 

   

 

 

    

 

 

    

 

 

    

 

 

 
              $ 10,432     $ (257    $ 10,175      $ 22      $ (1,214
             

 

 

   

 

 

    

 

 

    

 

 

    

 

 

 

Total Swap Agreements

 

  $     10,411     $ (252    $     10,159      $     22      $     (1,214
             

 

 

   

 

 

    

 

 

    

 

 

    

 

 

 

 

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, 2018:

 

    Financial Derivative Assets           Financial Derivative Liabilities  
    Market Value     Variation Margin
Asset
    Total           Market Value     Variation Margin
Liability
    Total  
     Purchased
Options
    Futures     Swap
Agreements
          Written
Options
    Futures     Swap
Agreements
 

Total Exchange-Traded or Centrally Cleared

  $     0     $     3     $     22     $     25       $     0     $     0     $     (1,214)     $     (1,214)  
 

 

 

   

 

 

   

 

 

   

 

 

     

 

 

   

 

 

   

 

 

   

 

 

 

 

Cash of $13,657 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2018. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information regarding master netting arrangements.

 

(1)

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

(2)

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

(3)

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

 

See Accompanying Notes   SEMIANNUAL REPORT   DECEMBER 31, 2018   69


Table of Contents

Schedule of Investments PIMCO Strategic Income Fund, Inc. (Cont.)

 

(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 referenced indices’ credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

(5)

This instrument has a forward starting effective date. See Note 2, Securities Transactions and Investment Income, in the Notes to Financial Statements for further information.

 

(l)  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

     01/2019     ARS     6,267     $     154     $ 0     $ (9
     01/2019     EUR     11,969         13,665       0       (58
     01/2019     GBP     96         123       1       0  

BPS

     01/2019     ARS     60,108         1,547       0       (22
     01/2019     BRL     1,429         369       0       0  
     01/2019     $     149     ARS     5,873       6       0  
     01/2019         368     BRL     1,429       1       0  
     02/2019     PEN     1,700     $     501       0       (2
     03/2019     $     70     ARS     2,953       2       0  

BRC

     01/2019         1,557         60,267       15       0  
     01/2019         447     GBP     353       3       0  
     04/2019     ARS     65,546     $     1,521       0       (1

CBK

     01/2019     BRL     1,447         371       0       (3
     01/2019     EUR     131         150       0       0  
     01/2019     GBP     1,101         1,403       0       (1
     01/2019     $     111     ARS     4,553       7       0  
     01/2019         374     BRL     1,447       0       0  

GLM

     01/2019     GBP     30,306     $     38,754       111       0  
     01/2019     $     167     EUR     146       0       0  
     01/2019         569     GBP     447       1       0  

JPM

     01/2019         108     ARS     4,179       2       0  
     01/2019         234     EUR     204       0       0  

SOG

     01/2019         2,829     RUB     187,426       0       (147
            

 

 

   

 

 

 

Total Forward Foreign Currency Contracts

 

  $     149     $     (243
 

 

 

   

 

 

 

 

PURCHASED OPTIONS:

 

FOREIGN CURRENCY OPTIONS

 

Counterparty   Description   Strike
Price
    Expiration
Date
    Notional
Amount
    Cost     Market
Value
 
HUS  

Call - OTC USD versus RUB

    RUB       95.000       02/06/2019     $     2,700     $     0     $     0  
           

 

 

   

 

 

 

 

OPTIONS ON SECURITIES

 

Counterparty   Description   Strike
Price
    Expiration
Date
    Notional
Amount
    Cost     Market
Value
 
DUB  

Put - OTC Fannie Mae, TBA 3.000% due 02/01/2049

  $         66.000       02/06/2019     $ 16,000     $ 1     $ 0  
 

Put - OTC Fannie Mae, TBA 3.500% due 02/01/2049

      68.500       02/06/2019       38,000       2       0  
 

Put - OTC Fannie Mae, TBA 4.000% due 02/01/2049

      71.000       02/06/2019           219,000       9       0  
FAR  

Put - OTC Fannie Mae, TBA 3.000% due 02/01/2049

      67.500       02/06/2019       162,000       6       0  
 

Put - OTC Fannie Mae, TBA 3.500% due 02/01/2049

      72.500       02/06/2019       185,000       7       0  
GSC  

Put - OTC Fannie Mae, TBA 4.000% due 01/01/2049

      80.000       01/07/2019       9,000       0       0  
 

Put - OTC Fannie Mae, TBA 4.000% due 02/01/2049

      80.000       02/06/2019       1,000       0       0  
JPM  

Put - OTC Fannie Mae, TBA 3.000% due 01/01/2049

      68.000       01/07/2019       15,000       1       0  
 

Put - OTC Fannie Mae, TBA 3.500% due 01/01/2049

      69.000       01/07/2019       11,000       0       0  
 

Put - OTC Freddie Mac, TBA 4.000% due 01/01/2049

      70.000       01/07/2019       3,000       0       0  
 

Put - OTC Ginnie Mae, TBA 4.000% due 01/01/2049

      70.000       01/07/2019       20,000       1       0  
           

 

 

   

 

 

 
          $ 27     $ 0  
           

 

 

   

 

 

 

Total Purchased Options

          $     27     $     0  
           

 

 

   

 

 

 

 

70   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


Table of Contents

 

December 31, 2018 (Unaudited)

 

 

SWAP AGREEMENTS:

 

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

 

Counterparty   Reference Entity   Fixed
Receive Rate
    Payment
Frequency
  Maturity
Date
    Implied
Credit Spread at
December 31, 2018(2)
    Notional
Amount(3)
    Premiums
Paid/(Received)
    Unrealized
Appreciation/
(Depreciation)
    Swap Agreements,
at  Value(4)
 
  Asset     Liability  
BPS  

Petrobras Global Finance BV

    1.000   Quarterly     12/20/2019       1.143   $     3,100     $     (306   $     303     $     0     $     (3
GST  

Petrobras Global Finance BV

    1.000     Quarterly     09/20/2020       1.479       10       (1     1       0       0  
HUS  

Petrobras Global Finance BV

    1.000     Quarterly     12/20/2019       1.143       3,400       (338     334       0       (4
JPM  

Russia Government International Bond

    1.000     Quarterly     12/20/2020       1.062       200       (23     23       0       0  
             

 

 

   

 

 

   

 

 

   

 

 

 
            $ (668   $ 661     $ 0     $ (7
           

 

 

   

 

 

   

 

 

   

 

 

 

 

CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION(1)

 

Counterparty   Index/Tranches   Fixed
Receive Rate
    Payment
Frequency
  Maturity
Date
    Notional
Amount(3)
    Premiums
Paid/(Received)
    Unrealized
Appreciation/
(Depreciation)
    Swap Agreements,
at  Value(4)
 
  Asset     Liability  
DUB  

CMBX.NA.BBB-.6 Index

    3.000   Monthly     05/11/2063     $     1,100     $ (67   $ (110   $ 0     $ (177
 

CMBX.NA.BBB-.8 Index

    3.000     Monthly     10/17/2057       1,400       (161     0       0       (161
 

CMBX.NA.BBB-.9 Index

    3.000     Monthly     09/17/2058       900       (113     4       0       (109
FBF  

CMBX.NA.BBB-.6 Index

    3.000     Monthly     05/11/2063       100       (12     (4     0       (16
 

CMBX.NA.BBB-.7 Index

    3.000     Monthly     01/17/2047       100       (10     2       0       (8
 

CMBX.NA.BBB-.8 Index

    3.000     Monthly     10/17/2057       400       (63     17       0       (46
GST  

CMBX.NA.A.6 Index

    2.000     Monthly     05/11/2063       1,400       (71     11       0       (60
 

CMBX.NA.BB.6 Index

    5.000     Monthly     05/11/2063       1,000       (135     (145     0       (280
 

CMBX.NA.BBB-.6 Index

    3.000     Monthly     05/11/2063       2,200       (121     (232     0       (353
 

CMBX.NA.BBB-.7 Index

    3.000     Monthly     01/17/2047       400       (20     (14     0       (34
 

CMBX.NA.BBB-.9 Index

    3.000     Monthly     09/17/2058       2,200       (274     8       0       (266
MYC  

CMBX.NA.BBB-.10 Index

    3.000     Monthly     11/17/2059       2,750       (293     (22     0       (315
 

CMBX.NA.BBB-.6 Index

    3.000     Monthly     05/11/2063       550       (29     (59     0       (88
 

CMBX.NA.BBB-.7 Index

    3.000     Monthly     01/17/2047       700       (31     (28     0       (59
 

CMBX.NA.BBB-.8 Index

    3.000     Monthly     10/17/2057       400       (46     0       0       (46
 

CMBX.NA.BBB-.9 Index

    3.000     Monthly     09/17/2058       1,100       (136     3       0       (133
           

 

 

   

 

 

   

 

 

   

 

 

 
          $ (1,582   $     (569   $ 0     $ (2,151
           

 

 

   

 

 

   

 

 

   

 

 

 

Total Swap Agreements

    $     (2,250   $ 92     $     0     $     (2,158
           

 

 

   

 

 

   

 

 

   

 

 

 

 

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, 2018:

 

    Financial Derivative Assets           Financial Derivative Liabilities  
Counterparty   Forward
Foreign
Currency
Contracts
     Purchased
Options
     Swap
Agreements
     Total
Over the
Counter
           Forward
Foreign
Currency
Contracts
    Written
Options
     Swap
Agreements
    Total
Over the
Counter
    Net Market
Value of OTC
Derivatives
    Collateral
Pledged/
(Received)
    Net
Exposure(5)
 

BOA

  $ 1      $ 0      $ 0      $ 1       $ (67   $ 0      $ 0     $ (67   $ (66   $ 0     $ (66

BPS

    9        0        0        9         (24     0        (3     (27     (18     0       (18

BRC

    18        0        0        18         (1     0        0       (1     17       0       17  

CBK

    7        0        0        7         (4     0        0       (4     3       0       3  

DUB

    0        0        0        0         0       0        (447     (447     (447     461       14  

FBF

    0        0        0        0         0       0        (70     (70     (70     0       (70

GLM

    112        0        0        112         0       0        0       0       112           (340         (228

GST

    0        0        0        0         0       0        (993     (993         (993     883       (110

HUS

    0        0        0        0         0       0        (4     (4     (4     0       (4

JPM

    2        0        0        2         0       0        0       0       2       0       2  

MYC

    0        0        0        0         0       0        (641     (641     (641     567       (74

SOG

    0        0        0        0         (147     0        0       (147     (147     0       (147
 

 

 

    

 

 

    

 

 

    

 

 

     

 

 

   

 

 

    

 

 

   

 

 

       

Total Over the Counter

  $     149      $     0      $     0      $     149       $     (243   $     0      $     (2,158   $     (2,401      
 

 

 

    

 

 

    

 

 

    

 

 

     

 

 

   

 

 

    

 

 

   

 

 

       

 

(m)

Securities with an aggregate market value of $2,001 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2018.

 

(1)

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

 

See Accompanying Notes   SEMIANNUAL REPORT   DECEMBER 31, 2018   71


Table of Contents

Schedule of Investments PIMCO Strategic Income Fund, Inc. (Cont.)

 

(2)

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

(3)

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

(4)

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

(5)

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

 

FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS

 

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

 

Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of December 31, 2018:

 

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

Financial Derivative Instruments - Assets

 

Exchange-traded or centrally cleared

 

Futures

  $ 0     $ 0     $ 0     $ 0     $ 3     $ 3  

Swap Agreements

    0       0       0       0       22       22  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 0     $ 0     $ 0     $ 25     $ 25  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Over the counter

 

Forward Foreign Currency Contracts

  $ 0     $ 0     $ 0     $ 149     $ 0     $ 149  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 0     $ 0     $ 149     $ 25     $ 174  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Financial Derivative Instruments - Liabilities

 

Exchange-traded or centrally cleared

 

Swap Agreements

  $ 0     $ 0     $ 0     $ 0     $ 1,214     $ 1,214  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Over the counter

 

Forward Foreign Currency Contracts

  $ 0     $ 0     $ 0     $ 243     $ 0     $ 243  

Swap Agreements

    0       2,158       0       0       0       2,158  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 2,158     $ 0     $ 243     $ 0     $ 2,401  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $     0     $     2,158     $     0     $     243     $     1,214     $     3,615  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

The effect of Financial Derivative Instruments on the Statements of Operations for the period ended December 31, 2018:

 

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

Net Realized Gain (Loss) on Financial Derivative Instruments

 

Exchange-traded or centrally cleared

 

Swap Agreements

  $ 0     $ 0     $ 0     $ 0     $ 150     $ 150  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Over the counter

 

Forward Foreign Currency Contracts

  $ 0     $ 0     $ 0     $ 2,296     $ 0     $ 2,296  

Purchased Options

    0       0       0       0       (85     (85

Swap Agreements

    0       343       0       0       0       343  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $     343     $     0     $ 2,296     $     (85   $     2,554  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $     0     $ 343     $ 0     $     2,296     $ 65     $ 2,704  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

72   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


Table of Contents

 

December 31, 2018 (Unaudited)

 

    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

 

Futures

  $     0     $ 0     $ 0     $ 0     $ 90     $ 90  

Swap Agreements

    0       6       0       0       (7,843     (7,837
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 6     $ 0     $ 0     $     (7,753   $     (7,747
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Over the counter

 

Forward Foreign Currency Contracts

  $ 0     $ 0     $ 0     $ (413   $ 0     $ (413

Purchased Options

    0       0       0       0       2       2  

Swap Agreements

    0       (499     0       0       0       (499
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ (499   $ 0     $ (413   $ 2     $ (910
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $     0     $     (493   $     0     $     (413   $     (7,751   $     (8,657
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

FAIR VALUE MEASUREMENTS

 

The following is a summary of the fair valuations according to the inputs used as of December 31, 2018 in valuing the Fund’s assets and liabilities:

 

Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
12/31/2018
 

Investments in Securities, at Value

 

Loan Participations and Assignments

  $ 0     $ 10,310     $ 7,570     $ 17,880  

Corporate Bonds & Notes

 

Banking & Finance

    0       41,608       2,520       44,128  

Industrials

    0       45,735       183       45,918  

Utilities

    0       11,371       0       11,371  

Municipal Bonds & Notes

 

Illinois

    0       291       0       291  

West Virginia

    0       3,014       0       3,014  

U.S. Government Agencies

    0           820,449       0           820,449  

U.S. Treasury Obligations

    0       69,449       0       69,449  

Non-Agency Mortgage-Backed Securities

    0       110,355       0       110,355  

Asset-Backed Securities

    0       66,048           8,502       74,550  

Sovereign Issues

    0       10,769       0       10,769  

Common Stocks

 

Consumer Discretionary

    188       0       0       188  

Energy

    11       0       0       11  

Preferred Securities

 

Banking & Finance

    0       5,265       0       5,265  

Real Estate Investment Trusts

 

Real Estate

        831       0       0       831  
Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
12/31/2018
 

Short-Term Instruments

 

Repurchase Agreements

  $ 0     $ 1,698     $ 0     $ 1,698  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

  $     1,030     $     1,196,362     $     18,775     $     1,216,167  
 

 

 

   

 

 

   

 

 

   

 

 

 

Financial Derivative Instruments - Assets

 

Exchange-traded or centrally cleared

    3       22       0       25  

Over the counter

    0       149       0       149  
 

 

 

   

 

 

   

 

 

   

 

 

 
  $ 3     $ 171     $ 0     $ 174  
 

 

 

   

 

 

   

 

 

   

 

 

 

Financial Derivative Instruments - Liabilities

 

Exchange-traded or centrally cleared

    0       (1,214     0       (1,214

Over the counter

    0       (2,401     0       (2,401
 

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ (3,615   $ 0     $ (3,615
 

 

 

   

 

 

   

 

 

   

 

 

 

Total Financial Derivative Instruments

  $ 3     $ (3,444   $ 0     $ (3,441
 

 

 

   

 

 

   

 

 

   

 

 

 

Totals

  $ 1,033     $ 1,192,918     $ 18,775     $ 1,212,726  
 

 

 

   

 

 

   

 

 

   

 

 

 
 

 

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended December 31, 2018:

 

Category and Subcategory   Beginning
Balance
at 06/30/2018
    Net
Purchases
    Net
Sales
    Accrued
Discounts/
(Premiums)
    Realized
Gain/(Loss)
    Net Change in
Unrealized
Appreciation/
(Depreciation)(1)
    Transfers into
Level 3
    Transfers out
of Level 3
    Ending
Balance
at 12/31/2018
    Net Change in
Unrealized
Appreciation/
(Depreciation)
on Investments
Held at
12/31/2018(1)
 

Investments in Securities, at Value

 

Loan Participations and Assignments

  $ 1,377     $ 6,298     $ 0     $ 0     $ 0     $ (283   $ 178     $ 0     $ 7,570     $ (283

Corporate Bonds & Notes

 

Banking & Finance

    5,095       0       (2,400     0       10       (185     0       0       2,520       (179

Industrials

    190       0       (1     0       1       (7     0       0       183       (7

Asset-Backed Securities

    0       8,960       0       0       0       (458     0       0       8,502       (458
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Totals

  $     6,662     $     15,258     $     (2,401   $     0     $     11     $     (933   $     178     $     0     $     18,775     $     (927
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

See Accompanying Notes   SEMIANNUAL REPORT   DECEMBER 31, 2018   73


Table of Contents

Schedule of Investments PIMCO Strategic Income Fund, Inc. (Cont.)

 

December 31, 2018 (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 12/31/2018
     Valuation
Technique
   Unobservable
Inputs
   Input Value(s)
(% Unless
Noted
Otherwise)
 

Investments in Securities, at Value

 

Loan Participations and Assignments

   $ 7,570      Third Party Vendor    Broker Quote      91.500-97.750  

Corporate Bonds & Notes

 

Banking & Finance

     2,520      Reference Instrument    Option Adjusted Spread      625.508 bps  

Industrials

     183      Reference Instrument    Yield      11.566  

Asset-Backed Securities

     8,502      Proxy Pricing    Base Price      26,100.000-120,000.000  
  

 

 

          

Total

   $     18,775           
  

 

 

          

 

(1) 

Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at December 31, 2018 may be due to an investment no longer held or categorized as Level 3 at period end.

 

74   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


Table of Contents

Consolidated Schedule of Investments PIMCO Dynamic Credit and Mortgage Income Fund

 

December 31, 2018 (Unaudited)

 

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

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
INVESTMENTS IN SECURITIES 178.1%

 

LOAN PARTICIPATIONS AND ASSIGNMENTS 7.5%

 

Alphabet Holding Co., Inc.

 

6.022% due 09/26/2024

  $     99     $     90  

Altice France S.A.

 

6.455% due 08/14/2026

      1,500         1,414  

Avantor, Inc.

 

6.572% due 11/21/2024

      348         338  

CenturyLink, Inc.

 

5.272% due 01/31/2025

      724         678  

Community Health Systems, Inc.

 

5.957% due 01/27/2021

      3,079         2,958  

Concordia International Corp.

 

7.887% due 09/06/2024

      16,219         15,462  

Diamond Resorts Corp.

 

6.272% due 09/02/2023

      9,109         8,517  

Dubai World

 

1.750% - 2.000% due 09/30/2022

      41,870         39,218  

Envision Healthcare Corp.

 

6.273% due 10/10/2025

      2,650         2,481  

Financial & Risk U.S. Holdings, Inc.

 

4.000% due 10/01/2025

  EUR     2,800         3,157  

6.272% due 10/01/2025

  $     3,300         3,095  

Forbes Energy Services LLC

 

5.000% - 9.000% due 04/13/2021

      2,557         2,568  

Forest City Enterprises LP

 

6.383% due 12/07/2025 «

      700         684  

FrontDoor, Inc.

 

5.063% due 08/14/2025 «

      140         135  

Frontier Communications Corp.

 

6.280% due 06/15/2024

      6,122         5,686  

Genworth Holdings, Inc.

 

6.955% due 03/07/2023 «

      169         167  

Gray Television, Inc.

 

TBD% due 11/02/2025

      550         533  

iHeartCommunications, Inc.

 

TBD% due 01/30/2019 ^(d)

      40,381           27,005  

TBD% due 07/30/2019 ^(d)

      680         456  

IRB Holding Corp.

 

5.682% - 6.053% due 02/05/2025

      4,937         4,722  

Klockner-Pentaplast of America, Inc.

 

4.750% due 06/30/2022

  EUR     350         339  

McDermott Technology Americas, Inc.

 

7.522% due 05/12/2025

  $     10,954         10,248  

Messer Industrie GmbH

 

TBD% due 10/01/2025

      590         565  

MH Sub LLC

 

6.254% due 09/13/2024

      602         575  

Ministry of Finance of Tanzania

 

7.741% due 12/10/2019 «

      430         423  

Multi Color Corp.

 

4.522% due 10/31/2024 «

      86         82  

NCI Building Systems, Inc.

 

6.175% due 04/12/2025 «

      209         191  

Neiman Marcus Group Ltd. LLC

 

5.630% due 10/25/2020

      21,761         18,552  

Parexel International Corp.

 

5.272% due 09/27/2024

      306         279  

PetSmart, Inc.

 

5.380% due 03/11/2022

      1,035         820  

Preylock Reitman Santa Cruz Mezz LLC

 

7.887% (LIBOR03M + 5.500%) due 11/09/2022 «~(j)

      31,560         31,479  

Sequa Mezzanine Holdings LLC

 

7.408% due 11/28/2021 «

      1,133         1,082  

11.520% due 04/28/2022 «

      36,300         34,848  

Sigma Bidco BV

 

3.500% due 07/02/2025

  EUR     1,000         1,115  

Starfruit Finco B.V

 

3.750% due 10/01/2025

      1,100         1,245  

5.599% due 10/01/2025 «

  $     1,300         1,222  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Syniverse Holdings, Inc.

 

7.455% due 03/09/2023 «

  $     198     $     174  

TerraForm Power Operating LLC

 

4.522% due 11/08/2022 «

      99         96  

Valeant Pharmaceuticals International, Inc.

 

5.129% due 11/27/2025

      642         609  

Verscend Holding Corp.

 

7.022% due 08/27/2025

      700         679  

West Corp.

 

6.527% due 10/10/2024

      99         91  

Westmoreland Coal Co.

 

TBD% - 10.896% (LIBOR03M + 8.250%) due 05/21/2019 µ

      7,117         7,259  
       

 

 

 

Total Loan Participations and Assignments (Cost $249,083)

      231,337  
 

 

 

 
CORPORATE BONDS & NOTES 41.7%

 

BANKING & FINANCE 17.7%

 

AGFC Capital Trust

 

4.186% (US0003M + 1.750%) due 01/15/2067 ~(l)

      20,300         9,135  

Ally Financial, Inc.

 

8.000% due 11/01/2031

      36         40  

Ambac LSNI LLC

 

7.803% due 02/12/2023 •(l)

      2,974         2,989  

Ardonagh Midco PLC

 

8.375% due 07/15/2023 (l)

  GBP     51,829         56,184  

Athene Holding Ltd.

 

4.125% due 01/12/2028 (l)

  $     282         257  

Avolon Holdings Funding Ltd.

 

5.500% due 01/15/2023 (l)

      941         915  

AXA Equitable Holdings, Inc.

 

4.350% due 04/20/2028 (l)

      690         654  

5.000% due 04/20/2048 (l)

      402         354  

Banco Bilbao Vizcaya Argentaria S.A.

 

6.750% due 02/18/2020 •(h)(i)

  EUR     200         228  

Banco Espirito Santo S.A.

 

4.000% due 01/21/2019 ^(d)

      15,000         4,984  

Bank of Ireland

 

7.375% due 06/18/2020 •(h)(i)

      600         719  

Barclays PLC

 

3.250% due 01/17/2033 (l)

  GBP     1,000         1,127  

6.500% due 09/15/2019 •(h)(i)

  EUR     300         336  

7.250% due 03/15/2023 •(h)(i)(l)

  GBP     48,751         62,239  

7.750% due 09/15/2023 •(h)(i)(l)

  $     5,200         5,015  

7.875% due 09/15/2022 •(h)(i)(l)

  GBP     3,400         4,350  

BNP Paribas S.A.

 

7.000% due 08/16/2028 •(h)(i)(l)

  $     500         477  

Brookfield Finance, Inc.

 

3.900% due 01/25/2028 (l)

      476         450  

4.700% due 09/20/2047 (l)

      406         375  

CBL & Associates LP

 

5.950% due 12/15/2026

      634         487  

Credit Suisse Group AG

 

7.250% due 09/12/2025 •(h)(i)(l)

      560         530  

7.500% due 07/17/2023 •(h)(i)(l)

      1,600         1,564  

Emerald Bay S.A.

 

0.000% due 10/08/2020 (g)(l)

  EUR     1,574         1,700  

Equinix, Inc.

 

2.875% due 03/15/2024 (l)

      800         917  

2.875% due 10/01/2025

      100         110  

2.875% due 02/01/2026 (l)

      1,000         1,089  

Fortress Transportation & Infrastructure Investors LLC

 

6.500% due 10/01/2025 (l)

  $     1,441         1,351  

6.750% due 03/15/2022 (l)

      1,870         1,882  

Freedom Mortgage Corp.

 

8.250% due 04/15/2025 (l)

      70         60  

GE Capital European Funding Unlimited Co.

 

0.000% due 05/17/2021 •

  EUR     150         164  

GE Capital International Funding Co. Unlimited Co.

 

2.342% due 11/15/2020 (l)

  $     500         483  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

3.373% due 11/15/2025 (l)

  $     600     $     534  

4.418% due 11/15/2035

      710         599  

GE Capital UK Funding Unlimited Co.

 

4.375% due 07/31/2019

  GBP     58         75  

GLP Capital LP

 

5.250% due 06/01/2025

  $     70         70  

Growthpoint Properties International Pty. Ltd.

 

5.872% due 05/02/2023 (l)

      600         601  

High Street Funding Trust

 

4.682% due 02/15/2048

      100         95  

HSBC Bank PLC

 

6.330% due 05/23/2023

      48,900           50,019  

HSBC Holdings PLC

 

4.750% due 07/04/2029 •(h)(i)

  EUR     240         249  

5.875% due 09/28/2026 •(h)(i)

  GBP     1,200         1,467  

6.000% due 09/29/2023 •(h)(i)

  EUR     900         1,094  

6.500% due 03/23/2028 •(h)(i)(l)

  $     2,870         2,612  

Hunt Cos., Inc.

 

6.250% due 02/15/2026

      136         117  

Intrepid Aviation Group Holdings LLC

 

8.500% due 08/15/2021 (l)

      69,440         68,912  

iStar, Inc.

 

4.625% due 09/15/2020

      71         69  

5.250% due 09/15/2022

      255         239  

Jefferies Finance LLC

 

6.875% due 04/15/2022 (l)

      2,200         2,150  

7.250% due 08/15/2024 (l)

      4,570         4,250  

7.375% due 04/01/2020 (l)

      900         901  

7.500% due 04/15/2021 (l)

      16,604         16,645  

Kennedy-Wilson, Inc.

 

5.875% due 04/01/2024 (l)

      358         337  

Legg Mason PT

 

7.130% due 01/10/2021 «

      9,439         9,498  

Lloyds Banking Group PLC

 

7.000% due 06/27/2019 •(h)(i)

  GBP     200         255  

7.500% due 09/27/2025 •(h)(i)(l)

  $     2,600         2,516  

7.625% due 06/27/2023 •(h)(i)(l)

  GBP     2,680         3,523  

7.875% due 06/27/2029 •(h)(i)(l)

      24,586         33,689  

LoanCore Capital Markets LLC

 

6.875% due 06/01/2020 (l)

  $     7,600         7,605  

Meiji Yasuda Life Insurance Co.

 

5.100% due 04/26/2048 •(l)

      1,000         990  

MetLife, Inc.

 

5.875% due 03/15/2028 •(h)

      46         44  

Nationstar Mortgage LLC

 

6.500% due 07/01/2021 (l)

      3,991         3,901  

Navient Corp.

 

5.875% due 03/25/2021

      132         127  

6.500% due 06/15/2022 (l)

      4,410         4,115  

7.250% due 01/25/2022 (l)

      3,400         3,294  

8.000% due 03/25/2020 (l)

      9,500         9,677  

Newmark Group, Inc.

 

6.125% due 11/15/2023

      170         168  

Oppenheimer Holdings, Inc.

 

6.750% due 07/01/2022 (l)

      2,986         2,971  

Pinnacol Assurance

 

8.625% due 06/25/2034 «(j)

      23,200         22,485  

Provident Funding Associates LP

 

6.375% due 06/15/2025

      136         124  

Royal Bank of Scotland Group PLC

 

7.500% due 08/10/2020 •(h)(i)(l)

      13,143         13,044  

8.000% due 08/10/2025 •(h)(i)(l)

      7,027         7,027  

8.625% due 08/15/2021 •(h)(i)(l)

      4,500         4,669  

Santander UK Group Holdings PLC

 

6.750% due 06/24/2024 •(h)(i)(l)

  GBP     23,460         29,441  

7.375% due 06/24/2022 •(h)(i)

      900         1,155  

Societe Generale S.A.

 

6.750% due 04/06/2028 •(h)(i)(l)

  $     850         724  

7.375% due 10/04/2023 •(h)(i)(l)

      3,300         3,081  

Springleaf Finance Corp.

 

6.875% due 03/15/2025 (l)

      565         507  

7.750% due 10/01/2021 (l)

      3,650         3,677  

Stearns Holdings LLC

 

9.375% due 08/15/2020 (l)

      855         808  
 

 

See Accompanying Notes   SEMIANNUAL REPORT   DECEMBER 31, 2018   75


Table of Contents

Consolidated Schedule of Investments PIMCO Dynamic Credit and Mortgage Income Fund (Cont.)

 

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

TP ICAP PLC

 

5.250% due 01/26/2024 (l)

  GBP     12,100     $     14,452  

UBS Group Funding Switzerland AG

 

5.750% due 02/19/2022 •(h)(i)(l)

  EUR     3,600         4,384  

UniCredit SpA

 

7.830% due 12/04/2023 (l)

  $     22,840         23,917  

Unigel Luxembourg S.A.

 

10.500% due 01/22/2024 (l)

      3,140         3,281  

Unique Pub Finance Co. PLC

 

5.659% due 06/30/2027 (l)

  GBP     6,712         9,370  

7.395% due 03/28/2024

      6,155         8,608  

WeWork Cos., Inc.

 

7.875% due 05/01/2025 (l)

  $     306         273  
       

 

 

 
            545,600  
       

 

 

 
INDUSTRIALS 19.9%

 

AA Bond Co. Ltd.

 

2.750% due 07/31/2043 (l)

  GBP     4,500         5,070  

Air Canada Pass-Through Trust

 

3.700% due 07/15/2027

  $     126         120  

Altice Financing S.A.

 

5.250% due 02/15/2023 (l)

  EUR     21,005         24,330  

5.250% due 02/15/2023

      100         116  

6.625% due 02/15/2023 (l)

  $     13,595         13,085  

7.500% due 05/15/2026 (l)

      10,400         9,516  

Altice France S.A.

 

5.875% due 02/01/2027 (l)

  EUR     4,800         5,462  

6.250% due 05/15/2024 (l)

  $     350         328  

8.125% due 02/01/2027 (l)

      12,700         12,001  

Associated Materials LLC

 

9.000% due 01/01/2024 (l)

      50,691         49,170  

Baffinland Iron Mines Corp.

 

8.750% due 07/15/2026 (l)

      7,500         6,758  

Charter Communications Operating LLC

 

4.200% due 03/15/2028 (l)

      720         676  

Chesapeake Energy Corp.

 

5.686% (US0003M + 3.250%) due 04/15/2019 ~

      134         134  

Clear Channel Worldwide Holdings, Inc.

 

6.500% due 11/15/2022 (l)

      3,530         3,548  

7.625% due 03/15/2020 (l)

      28,350         27,748  

Cleveland-Cliffs, Inc.

 

4.875% due 01/15/2024

      178         166  

Community Health Systems, Inc.

 

5.125% due 08/01/2021 (l)

      21,668         20,205  

6.250% due 03/31/2023 (l)

      60,190         54,926  

8.625% due 01/15/2024 (l)

      2,173         2,151  

Constellation Oil Services Holding S.A. (9.000% Cash and 0.500% PIK)

 

9.500% due 11/09/2024 ^(c)(d)

      452         188  

CSN Resources S.A.

 

6.500% due 07/21/2020 (l)

      1,140         1,106  

DAE Funding LLC

 

5.250% due 11/15/2021 (l)

      1,514         1,493  

5.750% due 11/15/2023

      1,518         1,507  

Diamond Resorts International, Inc.

 

7.750% due 09/01/2023 (l)

      565         545  

10.750% due 09/01/2024 (l)

      16,800         15,162  

DJO Finance LLC

 

8.125% due 06/15/2021 (l)

      28,200         29,116  

DriveTime Automotive Group, Inc.

 

8.000% due 06/01/2021 (l)

      16,047         16,129  

EI Group PLC

 

6.875% due 05/09/2025 (l)

  GBP     2,210         3,039  

Envision Healthcare Corp.

 

8.750% due 10/15/2026 (l)

  $     12,973         11,254  

Exela Intermediate LLC

 

10.000% due 07/15/2023 (l)

      618         592  

First Quantum Minerals Ltd.

 

6.500% due 03/01/2024 (l)

      8,692         7,247  

6.875% due 03/01/2026 (l)

      9,630         7,764  

7.000% due 02/15/2021 (l)

      3,250         3,126  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Fresh Market, Inc.

 

9.750% due 05/01/2023 (l)

  $     21,546     $     15,621  

Frontier Finance PLC

 

8.000% due 03/23/2022 (l)

  GBP     24,200         30,046  

Full House Resorts, Inc.

 

8.575% due 01/31/2024 «

  $     1,778         1,641  

General Electric Co.

 

0.000% (EUR003M + 0.300%) due 05/28/2020 •

  EUR     100         112  

0.375% due 05/17/2022

      100         108  

2.200% due 01/09/2020

  $     53         52  

3.100% due 01/09/2023

      158         148  

3.150% due 09/07/2022

      8         8  

3.450% due 05/15/2024

      56         53  

4.375% due 09/16/2020

      4         4  

5.000% due 01/21/2021 •(h)

      1,557         1,193  

5.550% due 05/04/2020

      97         99  

5.550% due 01/05/2026 (l)

      1,376         1,348  

5.875% due 01/14/2038

      22         21  

6.150% due 08/07/2037

      26         25  

6.875% due 01/10/2039 (l)

      204         214  

Hilton Domestic Operating Co., Inc.

 

5.125% due 05/01/2026 (l)

      668         643  

iHeartCommunications, Inc.

 

9.000% due 12/15/2019 ^(d)

      8,360         5,643  

9.000% due 03/01/2021 ^(d)

      49,470         33,392  

9.000% due 09/15/2022 ^(d)

      2,100         1,407  

11.250% due 03/01/2021 ^(d)

      10,530         7,029  

Indonesia Asahan Aluminium Persero PT

 

5.230% due 11/15/2021

      500         507  

5.710% due 11/15/2023

      600         611  

Intelsat Connect Finance S.A.

 

9.500% due 02/15/2023 (l)

      1,479         1,279  

Intelsat Jackson Holdings S.A.

 

8.000% due 02/15/2024 (l)

      1,383         1,428  

8.500% due 10/15/2024 (l)

      13,078         12,751  

9.750% due 07/15/2025 (l)

      614         619  

Intelsat Luxembourg S.A.

 

7.750% due 06/01/2021 (l)

      23,499         21,502  

8.125% due 06/01/2023 (l)

      1,289         1,005  

Kronos Acquisition Holdings, Inc.

 

9.000% due 08/15/2023 (l)

      4,800         3,696  

Mallinckrodt International Finance S.A.

 

5.500% due 04/15/2025 (l)

      4,352         3,025  

Marriott Ownership Resorts, Inc.

 

6.500% due 09/15/2026

      471         456  

Metinvest BV

 

7.750% due 04/23/2023 (l)

      800         731  

8.500% due 04/23/2026 (l)

      5,400         4,881  

Netflix, Inc.

 

4.625% due 05/15/2029 (l)

  EUR     1,500         1,692  

Odebrecht Oil & Gas Finance Ltd.

 

0.000% due 01/31/2019 (g)(h)

  $     4,070         72  

Ortho-Clinical Diagnostics, Inc.

 

6.625% due 05/15/2022 (l)

      6,714         6,076  

Park Aerospace Holdings Ltd.

 

3.625% due 03/15/2021 (l)

      430         415  

4.500% due 03/15/2023 (l)

      856         802  

5.250% due 08/15/2022 (l)

      20,007           19,432  

5.500% due 02/15/2024 (l)

      8,290         8,021  

Pelabuhan Indonesia Persero PT

 

4.500% due 05/02/2023

      500         492  

Perstorp Holding AB

 

11.000% due 09/30/2021 (l)

      4,000         4,263  

Petroleos Mexicanos

 

6.500% due 03/13/2027 (l)

      930         877  

6.750% due 09/21/2047

      260         216  

PetSmart, Inc.

 

5.875% due 06/01/2025 (l)

      496         361  

Platin GmbH

 

6.875% due 06/15/2023 (l)

  EUR     2,300         2,544  

QVC, Inc.

 

5.950% due 03/15/2043 (l)

  $     4,700         4,233  

Radiate Holdco LLC

 

6.875% due 02/15/2023 (l)

      360         328  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Refinitiv U.S. Holdings, Inc.

 

4.500% due 05/15/2026

  EUR     1,100     $     1,233  

6.250% due 05/15/2026 (l)

  $     546         528  

6.875% due 11/15/2026

  EUR     200         212  

Rockpoint Gas Storage Canada Ltd.

 

7.000% due 03/31/2023

  $     44         42  

Russian Railways via RZD Capital PLC

 

7.487% due 03/25/2031

  GBP     100         153  

Sands China Ltd.

 

4.600% due 08/08/2023 (l)

  $     1,200         1,195  

5.125% due 08/08/2025 (l)

      1,300         1,290  

5.400% due 08/08/2028 (l)

      2,000         1,936  

Scientific Games International, Inc.

 

3.375% due 02/15/2026

  EUR     210         224  

Shelf Drilling Holdings Ltd.

 

8.250% due 02/15/2025

  $     64         55  

SoftBank Group Corp.

 

4.000% due 04/20/2023 (l)

  EUR     29,900         35,368  

Starfruit Finco BV

 

6.500% due 10/01/2026

      300         319  

Sunoco LP

 

4.875% due 01/15/2023 (l)

  $     272         266  

Syngenta Finance NV

 

4.441% due 04/24/2023 (l)

      300         289  

4.892% due 04/24/2025 (l)

      300         284  

5.182% due 04/24/2028 (l)

      700         651  

T-Mobile USA, Inc.

 

4.750% due 02/01/2028

      108         98  

Teva Pharmaceutical Finance Netherlands BV

 

3.250% due 04/15/2022 (l)

  EUR     1,600         1,851  

Transocean Pontus Ltd.

 

6.125% due 08/01/2025 (l)

  $     824         799  

Triumph Group, Inc.

 

4.875% due 04/01/2021 (l)

      638         576  

5.250% due 06/01/2022

      136         119  

United Group BV

 

4.375% due 07/01/2022

  EUR     390         444  

4.875% due 07/01/2024 (l)

      430         485  

Univision Communications, Inc.

 

5.125% due 05/15/2023 (l)

  $     942         848  

5.125% due 02/15/2025 (l)

      2,729         2,402  

UPCB Finance Ltd.

 

3.625% due 06/15/2029 (l)

  EUR     990         1,081  

ViaSat, Inc.

 

5.625% due 09/15/2025 (l)

  $     496         459  

VOC Escrow Ltd.

 

5.000% due 02/15/2028

      295         274  

WellCare Health Plans, Inc.

 

5.375% due 08/15/2026 (l)

      448         433  

Westmoreland Coal Co.

 

8.750% due 01/01/2022 ^(d)

      31,910         12,365  

Wind Tre SpA

 

2.625% due 01/20/2023 (l)

  EUR     1,000         1,038  

2.750% due 01/20/2024 •(l)

      500         514  

3.125% due 01/20/2025

      650         665  

5.000% due 01/20/2026 (l)

  $     600         497  

Wyndham Destinations, Inc.

 

3.900% due 03/01/2023 (l)

      409         377  

4.250% due 03/01/2022

      28         27  

5.400% due 04/01/2024

      174         167  

5.750% due 04/01/2027 (l)

      4,605         4,242  

Wynn Macau Ltd.

 

4.875% due 10/01/2024 (l)

      400         357  

5.500% due 10/01/2027 (l)

      400         349  

Yellowstone Energy LP

 

5.750% due 12/31/2026 «

      3,520         3,742  
       

 

 

 
            613,154  
       

 

 

 
UTILITIES 4.1%

 

AT&T, Inc.

 

4.900% due 08/15/2037 (l)

      1,904         1,782  

DTEK Finance PLC (10.750% Cash or 10.750% PIK)

 

10.750% due 12/31/2024 (c)(l)

      11,651         10,761  
 

 

76   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


Table of Contents

 

December 31, 2018 (Unaudited)

 

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

Gazprom OAO Via Gaz Capital S.A.

 

7.288% due 08/16/2037

  $     300     $     335  

Odebrecht Drilling Norbe Ltd.

 

6.350% due 12/01/2021 (l)

      7,079         6,835  

Odebrecht Drilling Norbe Ltd. (6.350% Cash or 7.350% PIK)

 

7.350% due 12/01/2026 (c)(l)

      2,152         1,224  

Odebrecht Offshore Drilling Finance Ltd.

 

6.720% due 12/01/2022 (l)

      32,471         30,320  

Odebrecht Offshore Drilling Finance Ltd. (6.720% Cash or 7.720% PIK)

 

7.720% due 12/01/2026 (c)(l)

      19,583         5,238  

Pacific Gas & Electric Co.

 

2.450% due 08/15/2022 (l)

      307         274  

2.950% due 03/01/2026 (l)

      262         217  

3.250% due 09/15/2021

      26         24  

3.250% due 06/15/2023

      121         108  

3.300% due 12/01/2027

      200         164  

3.500% due 10/01/2020

      176         169  

3.750% due 08/15/2042

      116         87  

4.250% due 05/15/2021

      48         46  

4.250% due 08/01/2023

      100         93  

Petrobras Global Finance BV

 

5.375% due 10/01/2029 (l)

  GBP     2,320         2,776  

5.999% due 01/27/2028 (l)

  $     5,456         5,151  

6.125% due 01/17/2022 (l)

      9,114         9,376  

6.250% due 12/14/2026 (l)

  GBP     9,298         12,282  

6.625% due 01/16/2034 (l)

      11,017         14,138  

7.375% due 01/17/2027 (l)

  $     3,946         4,062  

Rio Oil Finance Trust

 

9.250% due 07/06/2024 (l)

      15,150         16,229  

9.750% due 01/06/2027 (l)

      3,780         4,153  

Southern California Edison Co.

 

3.650% due 03/01/2028

      29         28  

5.750% due 04/01/2035

      54         59  

6.000% due 01/15/2034

      12         13  

6.650% due 04/01/2029

      120         134  
       

 

 

 
          126,078  
       

 

 

 

Total Corporate Bonds & Notes (Cost $1,395,520)

      1,284,832  
 

 

 

 
CONVERTIBLE BONDS & NOTES 0.1%

 

INDUSTRIALS 0.1%

 

Caesars Entertainment Corp.

 

5.000% due 10/01/2024

      2,952         3,671  
       

 

 

 

Total Convertible Bonds & Notes (Cost $5,509)

    3,671  
 

 

 

 
MUNICIPAL BONDS & NOTES 1.2%

 

ILLINOIS 0.1%

 

Chicago, Illinois General Obligation Bonds, Series 2014

 

6.314% due 01/01/2044

      350         345  

Chicago, Illinois General Obligation Bonds, Series 2017

 

7.045% due 01/01/2029

      580         625  

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

 

6.725% due 04/01/2035

      145         155  

7.350% due 07/01/2035

      115         128  

Illinois State General Obligation Bonds, Series 2003

 

5.100% due 06/01/2033

      1,360         1,299  
       

 

 

 
          2,552  
       

 

 

 
IOWA 0.0%

 

Iowa Tobacco Settlement Authority Revenue Bonds, Series 2005

 

6.500% due 06/01/2023

      1,140         1,156  
       

 

 

 
NEW JERSEY 0.2%

 

New Jersey Economic Development Authority Revenue Bonds, Series 2005

 

6.500% due 09/01/2036 «

      6,280         6,014  
       

 

 

 
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
TEXAS 0.0%

 

Texas Public Finance Authority Revenue Notes, Series 2014

 

8.250% due 07/01/2024

  $     100     $     102  
       

 

 

 
VIRGINIA 0.0%

 

Tobacco Settlement Financing Corp., Virginia Revenue Bonds, Series 2007

 

6.706% due 06/01/2046

      95         90  
       

 

 

 
WEST VIRGINIA 0.9%

 

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

 

0.000% due 06/01/2047 (g)

      231,485         13,023  

7.467% due 06/01/2047

      13,785         13,537  
       

 

 

 
          26,560  
       

 

 

 

Total Municipal Bonds & Notes (Cost $35,363)

    36,474  
 

 

 

 
U.S. GOVERNMENT AGENCIES 4.4%

 

Fannie Mae

 

3.000% due 01/25/2042 (a)(l)

      967         87  

3.252% due 10/25/2042 •

      2,795         2,676  

3.494% due 08/25/2038 •(a)

      822         93  

3.500% due 08/25/2032 (a)(l)

      2,194         308  

3.644% due 02/25/2043 •(a)(l)

      4,474         496  

4.134% due 12/25/2036 •(a)(l)

      3,228         452  

6.056% due 07/25/2029 •

      4,480         4,753  

8.256% due 07/25/2029 •(l)

      6,000         6,927  

Freddie Mac

 

0.000% due 04/25/2045 - 11/25/2050 (b)(g)(l)

      104,051         68,961  

0.100% due 02/25/2046 - 11/25/2050 (a)

      1,175,065         4,788  

0.200% due 04/25/2045 (a)

      29,734         7  

2.011% due 11/25/2045 ~(a)(l)

      51,924         7,369  

3.745% due 09/15/2042 •(a)

      1,544         184  

4.000% due 03/15/2027 (a)

      764         78  

4.045% due 12/15/2034 •(a)

      1,240         56  

4.118% due 04/25/2025 ~

      5,400         4,879  

7.656% due 10/25/2029 •

      10,650         11,970  

11.506% due 03/25/2029 •

      4,787         5,436  

12.097% due 12/25/2045 •

      4,173         4,112  

13.006% due 10/25/2028 •

      996         1,303  

13.256% due 03/25/2025 •

      7,126         9,391  

Ginnie Mae

 

3.500% due 06/20/2042 (a)(l)

      1,081         164  

3.650% due 08/20/2042 •(a)(l)

      2,966         543  

3.780% due 12/20/2040 •(a)(l)

      2,835         356  

4.245% due 08/16/2039 •(a)(l)

      2,771         215  
       

 

 

 

Total U.S. Government Agencies (Cost $126,895)

      135,604  
 

 

 

 
NON-AGENCY MORTGAGE-BACKED SECURITIES 47.3%

 

Adjustable Rate Mortgage Trust

 

2.656% due 03/25/2037 •

      1,715         1,687  

2.766% due 03/25/2036 •(l)

      5,111         3,575  

4.443% due 03/25/2037 ~(l)

      4,370         3,954  

5.597% due 11/25/2037 ^~

      1,357         1,215  

American Home Mortgage Investment Trust

 

6.600% due 01/25/2037 Ø

      5,032         2,122  

ASG Resecuritization Trust

 

3.030% due 01/28/2037 ~(l)

      16,218         13,432  

6.000% due 06/28/2037 ~(l)

      38,284         28,442  

Banc of America Alternative Loan Trust

 

2.866% due 06/25/2037 •

      622         489  

4.134% due 06/25/2037 ^•(a)

      669         102  

6.000% due 07/25/2035 ^

      117         116  

6.000% due 04/25/2036

      1,354         1,256  

6.000% due 07/25/2046 ^

      1,508         1,322  

6.500% due 02/25/2036 ^

      2,725         2,599  

11.426% due 09/25/2035 ^•

      348         399  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Banc of America Funding Trust

 

0.000% due 11/26/2036 ~(l)

  $     32,501     $     6,626  

2.716% due 04/25/2037 ^•(l)

      2,033         1,645  

4.145% due 09/20/2037 ~

      824         611  

4.375% due 09/20/2047 ^~

      349         306  

4.470% due 04/20/2035 ^~

      2,517         2,293  

4.732% due 09/20/2046 ~

      2,933         2,793  

5.299% due 08/26/2036 ~

      5,884         5,023  

6.000% due 10/25/2037 ^

      5,483         3,971  

Banc of America Mortgage Trust

 

5.750% due 10/25/2036 ^

      1,498         1,415  

5.750% due 05/25/2037 ^

      1,196         1,046  

6.000% due 10/25/2036 ^

      182         173  

Bancorp Commercial Mortgage Trust

 

6.150% due 08/15/2032 •(l)

      3,470         3,493  

Barclays Commercial Mortgage Securities Trust

 

7.455% due 08/15/2027 •(l)

      24,090         23,827  

Bayview Commercial Asset Trust

 

2.726% due 03/25/2037 •

      217         205  

2.736% due 12/25/2036 •

      311         301  

2.936% due 08/25/2034 •

      139         138  

BCAP LLC Trust

 

2.495% due 05/26/2036 •

      6,145         5,746  

2.572% due 02/26/2037 ~(l)

      18,571         12,768  

2.753% due 02/26/2047 •(l)

      21,107         17,524  

2.815% due 05/26/2035 •

      7,239         5,995  

3.732% due 03/26/2037 ~

      2,034         1,787  

3.881% due 07/26/2036 ~

      956         874  

3.922% due 03/27/2037 ~

      7,835         5,774  

4.206% due 07/26/2036 ~

      4,452         4,249  

5.500% due 12/26/2035 ~(l)

      11,931         10,697  

6.000% due 06/26/2037 ~(l)

      6,167         6,113  

6.000% due 10/26/2037 ~

      4,540         4,016  

6.086% due 07/26/2036 ~

      777         827  

6.233% due 11/26/2035 ~

      3,116         3,133  

11.164% due 01/26/2036 ~

      14,287         3,425  

Bear Stearns Adjustable Rate Mortgage Trust

 

4.088% due 02/25/2036 ^~

      1,232         1,156  

Bear Stearns ALT-A Trust

 

2.846% due 08/25/2036 •(l)

      31,711         24,246  

3.006% due 01/25/2036 ^•(l)

      10,366         10,561  

3.504% due 04/25/2037 ~(l)

      7,078         5,653  

3.631% due 03/25/2035 •(l)

      7,189         6,562  

3.927% due 08/25/2046 ~

      4,653         4,424  

4.040% due 03/25/2036 ~

      2,791         2,033  

4.115% due 12/25/2046 ^~(l)

      5,815         4,808  

4.135% due 09/25/2035 ^~(l)

      6,621         4,606  

4.206% due 07/25/2036 ~(l)

      55,005         32,310  

Bear Stearns Commercial Mortgage Securities Trust

 

5.707% due 04/12/2038 ~

      1,120         1,125  

Bear Stearns Mortgage Funding Trust

 

7.500% due 08/25/2036 Ø

      3,691         3,283  

CD Commercial Mortgage Trust

 

5.398% due 12/11/2049 ~

      523         384  

CD Mortgage Trust

 

5.688% due 10/15/2048

      19,870         10,127  

Citigroup Commercial Mortgage Trust

 

5.592% due 12/10/2049 ~(l)

      15,165         10,275  

Citigroup Mortgage Loan Trust

 

3.433% due 07/25/2036 ^~

      3,316         2,500  

3.510% due 03/25/2037 ~

      3,828         3,347  

3.704% due 03/25/2037 ^~

      2,264         2,193  

4.156% due 08/25/2034 ~

      6,115         5,176  

4.175% due 08/25/2037 ~

      3,727         2,647  

4.539% due 04/25/2037 ^~

      640         555  

5.500% due 12/25/2035

      3,767         3,054  

6.000% due 07/25/2036

      5,315         3,760  

6.500% due 09/25/2036

      1,637         1,290  

Commercial Mortgage Loan Trust

 

6.050% due 12/10/2049 ~(l)

      19,041         11,692  

Countrywide Alternative Loan Resecuritization Trust

 

5.105% due 03/25/2047 ~

      1,093         1,091  

7.000% due 01/25/2037

      5,951         2,726  

Countrywide Alternative Loan Trust

 

2.660% due 03/20/2047 •

      853         721  

2.686% due 05/25/2036 •(l)

      18,433           13,972  

2.716% due 08/25/2047 ^•

      1,692         1,489  
 

 

See Accompanying Notes   SEMIANNUAL REPORT   DECEMBER 31, 2018   77


Table of Contents

Consolidated Schedule of Investments PIMCO Dynamic Credit and Mortgage Income Fund (Cont.)

 

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

2.726% due 05/25/2047 •(l)

  $     14,303     $     9,127  

2.736% due 03/25/2036 •(l)

      19,087         16,358  

2.766% due 07/25/2036 •(l)

      8,773         6,918  

2.770% due 11/20/2035 •

      213         204  

3.206% due 10/25/2035 ^•

      1,143         950  

3.467% due 07/20/2035 ^•(l)

      14,060         11,546  

3.643% due 05/25/2036 ~

      7,655         6,766  

5.500% due 11/25/2035

      2,297         1,758  

5.500% due 02/25/2036 ^

      1,605         1,388  

5.500% due 02/25/2036 (l)

      1,722         1,542  

5.500% due 05/25/2036 ^(l)

      1,795         1,653  

5.500% due 05/25/2036 (l)

      5,531         5,093  

6.000% due 03/25/2035 ^

      420         311  

6.000% due 04/25/2036

      732         542  

6.000% due 01/25/2037 ^

      1,303         1,270  

6.000% due 02/25/2037 ^

      1,964         1,316  

6.000% due 04/25/2037 ^(l)

      6,126         4,437  

6.250% due 12/25/2036 ^•

      727         532  

12.908% due 07/25/2035 •

      128         147  

Countrywide Asset-Backed Certificates

 

2.746% due 04/25/2036 •(l)

      672         536  

Countrywide Home Loan Mortgage Pass-Through Trust

 

3.575% due 05/20/2036 ^~

      2,491         2,034  

4.236% due 09/20/2036 ~

      4,805         4,117  

4.376% due 03/25/2046 ^•(l)

      52,122         33,720  

Credit Suisse Commercial Mortgage Trust

 

5.746% due 02/15/2039 ~(l)

      2,118         2,126  

Credit Suisse First Boston Mortgage Securities Corp.

 

4.952% due 07/15/2037 ~(l)

      3,982         4,022  

5.100% due 08/15/2038 ~

      3,400         3,292  

6.000% due 01/25/2036

      366         326  

Credit Suisse Mortgage Capital Certificates

 

2.781% due 11/30/2037 ~

      10,750         9,409  

3.325% due 05/27/2036 ~(l)

      9,297         7,393  

3.654% due 05/26/2036 ~(l)

      8,904         7,052  

3.834% due 12/29/2037 ~

      5,079         4,201  

3.881% due 10/26/2036 ~(l)

      21,326         20,189  

3.975% due 09/26/2047 ~(l)

      24,885         17,292  

4.101% due 11/25/2037 •(l)

      11,226         8,503  

4.296% due 11/27/2037 •

      9,363         5,240  

4.490% due 04/28/2037 ~

      6,075         5,829  

5.750% due 05/26/2037 (l)

      25,320         21,993  

Credit Suisse Mortgage Capital Mortgage-Backed Trust

 

6.000% due 07/25/2036

      2,662         2,177  

6.500% due 05/25/2036 ^

      3,337         2,328  

DBUBS Mortgage Trust

 

4.652% due 11/10/2046 (l)

      19,203         15,427  

Debussy DTC PLC

 

5.930% due 07/12/2025 (l)

  GBP     55,000         70,033  

8.250% due 07/12/2025

      10,000         12,619  

Deutsche ALT-A Securities, Inc.

 

2.806% due 04/25/2037 •(l)

  $     7,829         5,050  

Deutsche ALT-A Securities, Inc. Mortgage Loan Trust

 

5.500% due 12/25/2035 ^

      678         603  

Epic Drummond Ltd.

 

0.000% due 01/25/2022 •(l)

  EUR     3,514         3,953  

Eurosail PLC

 

0.000% due 06/13/2045 ~

  GBP     4         6,646  

0.528% due 03/13/2045 •

  EUR     7,067         5,933  

1.200% due 06/13/2045 •

  GBP     1,594         1,814  

1.900% (BP0003M + 1.000%) due 06/13/2045 ~

      16,515         20,223  

2.150% (BP0003M + 1.250%) due 06/13/2045 ~

      17,041         20,624  

2.500% due 09/13/2045 •

      15,406         18,662  

2.650% (BP0003M + 1.750%) due 06/13/2045 ~

      10,489         12,424  

3.150% due 09/13/2045 •

      10,990           13,344  

4.400% (BP0003M + 3.500%) due 06/13/2045 ~

      3,721         4,563  

4.750% due 09/13/2045 •

      9,132         12,255  

First Horizon Alternative Mortgage Securities Trust

 

0.000% due 02/25/2020 (b)(g)

  $     4         4  

0.000% due 05/25/2020 (b)(g)

      9         7  

0.000% due 03/25/2035 (b)(g)

      95         80  

First Horizon Mortgage Pass-Through Trust

 

4.010% due 05/25/2037 ^~

      5,877         4,748  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Fondo de Titulizacion de Activos UCI

 

0.000% due 06/16/2049 •

  EUR     3,171     $     3,424  

GC Pastor Hipotecario FTA

 

0.000% due 06/21/2046 •(l)

      24,747         24,491  

GCCFC Commercial Mortgage Trust

 

5.505% due 03/10/2039 ~

  $     939         456  

5.666% due 07/10/2038 ~(l)

      10,700         9,858  

6.391% due 06/10/2036 ~(l)

      2,850         2,847  

GE Commercial Mortgage Corp. Trust

 

5.606% due 12/10/2049 ~(l)

      8,310         7,841  

Grifonas Finance PLC

 

0.014% due 08/28/2039 •

  EUR     9,383         9,507  

GS Mortgage Securities Corp.

 

4.591% due 10/10/2032 ~(l)

  $     28,657         25,754  

GSC Capital Corp. Mortgage Trust

 

2.686% due 05/25/2036 ^•(l)

      2,718         2,488  

HarborView Mortgage Loan Trust

 

2.929% due 06/19/2045 ^•

      1,250         806  

Hipocat FTA

 

0.000% due 01/15/2050 •

  EUR     2,838         3,193  

HomeBanc Mortgage Trust

 

3.594% due 04/25/2037 ^~(l)

  $     6,637         6,075  

HSI Asset Loan Obligation Trust

 

6.000% due 06/25/2037 ^(l)

      10,668         9,551  

IM Pastor Fondo de Titluzacion Hipotecaria

 

0.000% due 03/22/2043 •(l)

  EUR     30,644         31,314  

IM Pastor Fondo de Titulizacion de Activos

 

0.000% due 03/22/2044 •

      979         1,017  

Impac Secured Assets Trust

 

2.676% due 01/25/2037 •(l)

  $     3,269         3,160  

IndyMac Mortgage Loan Trust

 

2.716% due 11/25/2036 •

      234         227  

3.735% due 11/25/2035 ^~

      4,332         3,994  

3.875% due 06/25/2036 ~

      1,169         1,090  

Jefferies Resecuritization Trust

 

6.000% due 12/26/2036 ~

      3,943         1,980  

JPMorgan Alternative Loan Trust

 

2.822% due 06/27/2037 •(l)

      12,268         10,934  

4.001% due 05/25/2036 ^~

      902         714  

4.052% due 11/25/2036 ^~

      861         906  

6.000% due 12/25/2035 ^

      1,147         1,088  

9.170% due 06/27/2037 ~

      14,266         10,660  

JPMorgan Chase Commercial Mortgage Securities Trust

 

5.010% due 07/15/2042 ~

      2,077         2,098  

5.590% due 01/12/2043 ~(l)

      2,985         2,985  

5.882% (LIBOR01M + 3.427%) due 10/15/2032 ~

      4,700         4,638  

6.059% due 06/12/2041 ~

      10,975         10,926  

JPMorgan Resecuritization Trust

 

4.468% due 03/21/2037 ~

      4,650         4,064  

6.000% due 09/26/2036

      2,478         2,158  

6.500% due 04/26/2036 ~

      6,027         3,819  

Lansdowne Mortgage Securities PLC

 

0.029% due 09/16/2048 •

  EUR     10,327           10,679  

Lavender Trust

 

6.250% due 10/26/2036

  $     5,257         4,156  

LB-UBS Commercial Mortgage Trust

 

5.769% due 02/15/2040 ~

      4,522         4,515  

6.190% due 06/15/2038 ~

      388         396  

Lehman Mortgage Trust

 

6.000% due 01/25/2038 ^

      2,888         2,952  

Lehman XS Trust

 

3.406% due 08/25/2047 •

      491         421  

Merrill Lynch Alternative Note Asset Trust

 

6.000% due 05/25/2037 ^

      3,601         3,487  

Merrill Lynch Mortgage Investors Trust

 

3.677% due 03/25/2036 ^~

      11,660         8,681  

Morgan Stanley Capital Trust

 

5.399% due 12/15/2043

      2,847         2,183  

6.121% due 06/11/2049 ~(l)

      1,684         1,682  

6.132% due 08/12/2041 ~(l)

      6,204         6,401  

Morgan Stanley Mortgage Loan Trust

 

2.676% due 05/25/2036 •

      182         70  

4.001% due 05/25/2036 ^~(l)

      2,644         1,987  

5.962% due 06/25/2036 ~

      2,237         949  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Morgan Stanley Re-REMIC Trust

 

2.828% due 02/26/2037 •

  $     4,646     $     4,051  

4.437% due 03/26/2037 Ø

      2,815         2,538  

Morgan Stanley Resecuritization Trust

 

4.151% due 06/26/2035 ~(l)

      11,000         8,296  

Mortgage Equity Conversion Asset Trust

 

4.000% due 07/25/2060 «(l)

      5,096         4,739  

Motel 6 Trust

 

9.382% due 08/15/2019 •(l)

      41,284         41,982  

Natixis Commercial Mortgage Securities Trust

 

4.705% due 11/15/2034 •

      5,611         5,631  

5.455% due 11/15/2034 •

      7,294         7,333  

6.455% due 11/15/2034 •

      3,163         3,163  

PHH Alternative Mortgage Trust

 

0.000% due 02/25/2037 ^(b)(g)

      6         5  

RBSSP Resecuritization Trust

 

4.575% due 09/26/2035 ~

      7,649         5,863  

6.000% due 06/26/2037 ~

      1,842         1,519  

Residential Accredit Loans, Inc. Trust

 

2.656% due 02/25/2037 •

      652         603  

6.000% due 12/25/2035 ^(l)

      2,839         2,727  

6.000% due 11/25/2036 ^

      3,503         3,112  

6.250% due 02/25/2037 ^(l)

      4,552         4,130  

6.500% due 09/25/2037 ^

      1,680         1,455  

Residential Asset Mortgage Products Trust

 

8.000% due 05/25/2032

      820         660  

Residential Asset Securitization Trust

 

6.000% due 05/25/2036

      1,023         983  

6.000% due 02/25/2037 ^

      222         163  

6.000% due 03/25/2037 ^

      3,023         1,912  

6.250% due 10/25/2036 ^

      126         125  

RiverView HECM Trust

 

3.120% due 05/25/2047 «•(l)

      17,746         16,193  

Sequoia Mortgage Trust

 

3.127% due 02/20/2034 •

      472         453  

4.020% due 09/20/2032 ~

      575         562  

Structured Adjustable Rate Mortgage Loan Trust

 

4.222% due 04/25/2036 ^~

      163         272  

Structured Asset Mortgage Investments Trust

 

2.716% due 05/25/2036 •

      35         32  

Structured Asset Securities Corp. Trust

 

5.500% due 10/25/2035 ^

      1,480         1,041  

Suntrust Adjustable Rate Mortgage Loan Trust

 

4.102% due 02/25/2037 ^~(l)

      5,884         5,653  

Theatre Hospitals PLC

 

3.813% due 10/15/2031 •(l)

  GBP     36,604         43,536  

4.563% due 10/15/2031 •

      1,739         2,041  

Wachovia Bank Commercial Mortgage Trust

 

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

  $     497         469  

WaMu Mortgage Pass-Through Certificates Trust

 

2.579% due 07/25/2046 •

      324         317  

3.909% due 08/25/2036 ^~

      2,208         2,133  

Warwick Finance Residential Mortgages PLC

 

0.000% due 09/21/2049 ~

  GBP     0         132,525  

0.000% due 12/21/2049 (g)

      0         1,793  

1.710% due 12/21/2049 •

      22,414         28,359  

2.410% due 12/21/2049 •

      2,261         2,866  

2.910% due 12/21/2049 •

      1,130         1,435  

3.410% due 12/21/2049 •

      646         819  

3.910% due 12/21/2049 •

      646         813  

Washington Mutual Mortgage Pass-Through Certificates Trust

 

2.746% due 01/25/2047 ^•

  $     2,374         2,148  

2.947% (12MTA + 0.970%) due 06/25/2046 ~(l)

      8,751         5,445  

5.750% due 11/25/2035 ^

      1,749         1,567  

5.967% due 05/25/2036 ^Ø(l)

      7,204         6,220  

Wells Fargo Mortgage Loan Trust

 

4.152% due 03/27/2037 ~(l)

      7,071         6,328  
       

 

 

 

Total Non-Agency Mortgage-Backed Securities (Cost $1,414,626)

      1,454,551  
 

 

 

 
 

 

78   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


Table of Contents

 

December 31, 2018 (Unaudited)

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
ASSET-BACKED SECURITIES 63.1%

 

Aames Mortgage Investment Trust

 

3.305% due 07/25/2035 •

  $     19,113     $     19,021  

ACE Securities Corp. Home Equity Loan Trust

 

2.616% due 12/25/2036 •(l)

      25,480         9,510  

3.126% due 02/25/2036 ^•(l)

      5,955         5,588  

3.601% due 07/25/2035 ^•

      17,938         12,401  

Adagio CLO DAC

 

0.000% due 04/30/2031 ~

  EUR     1,800         1,716  

Aegis Asset-Backed Securities Trust

 

2.986% due 06/25/2035 •

  $     12,094         10,740  

Airspeed Ltd.

 

2.725% due 06/15/2032 •

      9,707         9,324  

American Money Management Corp. CLO Ltd.

 

8.496% due 04/14/2029 •(l)

      6,100         6,097  

Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates

 

3.116% due 09/25/2035 •(l)

      13,750         13,007  

4.456% due 09/25/2032 •

      1,148         1,130  

Arbor Realty Commercial Real Estate Notes Ltd.

 

6.955% due 04/15/2027 •

      5,300         5,400  

Argent Securities Trust

 

2.606% due 06/25/2036 •

      2,073         732  

2.626% due 04/25/2036 •

      1,199         483  

2.656% due 06/25/2036 •

      4,349         1,546  

2.656% due 09/25/2036 •

      9,047         3,677  

2.696% due 03/25/2036 •(l)

      12,795         7,570  

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

 

2.826% due 01/25/2036 •(l)

      16,862         15,443  

2.886% due 02/25/2036 •(l)

      32,970         25,458  

2.966% due 11/25/2035 •(l)

      5,851         4,855  

3.781% due 11/25/2034 •(l)

      9,031         8,437  

Asset-Backed Funding Certificates Trust

 

3.331% due 07/25/2035 •(l)

      7,400         7,085  

3.556% due 03/25/2034 •

      1,066         992  

Asset-Backed Securities Corp. Home Equity Loan Trust

 

4.319% due 08/15/2033 •

      573         564  

Banco Bilbao Vizcaya Argentaria S.A.

 

0.340% due 03/22/2046 «•

  EUR     1,114         868  

Bear Stearns Asset-Backed Securities Trust

 

2.646% due 12/25/2036 •(l)

  $     16,725         17,621  

3.706% due 07/25/2035 •(l)

      39,756         38,400  

4.006% due 10/27/2032 •

      244         241  

4.381% due 12/25/2034 •(l)

      18,650         18,017  

4.438% due 10/25/2036 ~

      450         418  

6.000% due 12/25/2035 ^

      553         481  

BSPRT Issuer Ltd.

 

6.530% due 06/15/2027 •

      12,900         12,932  

California Republic Auto Receivables Trust

 

0.000% due 04/15/2025 «(g)

      10,100           10,223  

Carlyle Global Market Strategies CLO Ltd.

 

0.000% due 04/17/2031 ~

      2,900         2,075  

Carrington Mortgage Loan Trust

 

2.586% due 10/25/2036 •

      988         727  

2.766% due 02/25/2037 •(l)

      8,300         7,756  

2.926% due 02/25/2037 •(l)

      13,201         9,912  

3.556% due 05/25/2035 •

      4,400         4,296  

Cavendish Square Funding PLC

 

0.624% due 02/11/2055 •

  EUR     1,500         1,664  

1.534% due 02/11/2055 •

      3,500         3,900  

CIFC Funding Ltd.

 

0.000% due 05/24/2026 ~

  $     3,390         1,928  

Citigroup Mortgage Loan Trust

 

2.646% due 01/25/2037 •(l)

      26,970         23,668  

2.656% due 12/25/2036 •(l)

      23,794         11,904  

2.666% due 09/25/2036 •(l)

      17,485         13,067  

2.706% due 05/25/2037 •

      698         522  

2.726% due 12/25/2036 •

      4,792         2,425  

3.206% due 11/25/2046 •

      4,867         3,666  

6.351% due 05/25/2036 ^Ø

      2,878         1,635  

Conseco Finance Securitizations Corp.

 

9.546% due 12/01/2033 ~(l)

      6,480         6,881  

Cork Street CLO Designated Activity Co.

 

0.000% due 11/27/2028 ~

  EUR     2,667         3,074  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

3.600% due 11/27/2028

  EUR     1,197     $     1,375  

4.500% due 11/27/2028

      1,047         1,203  

6.200% due 11/27/2028

      1,296         1,489  

Coronado CDO Ltd.

 

4.236% due 09/04/2038 •

  $     26,800         17,621  

6.000% due 09/04/2038

      4,300         3,354  

Countrywide Asset-Backed Certificates

 

2.636% due 12/25/2036 ^•(l)

      30,076         27,689  

2.646% due 06/25/2035 •(l)

      62,777         57,027  

2.646% due 03/25/2037 •(l)

      20,453         18,668  

2.646% due 07/25/2037 ^•(l)

      10,067         8,774  

2.646% due 06/25/2047 ^•(l)

      45,481         41,189  

2.666% due 05/25/2036 •(l)

      7,504         6,714  

2.706% due 06/25/2037 ^•(l)

      19,841         17,876  

2.726% due 05/25/2037 •(l)

      10,900         10,367  

2.726% due 08/25/2037 •(l)

      26,000           22,901  

2.726% due 05/25/2047 •(l)

      17,951         17,014  

2.726% due 06/25/2047 ^•(l)

      19,000         15,500  

2.736% due 04/25/2047 •(l)

      35,000         27,695  

2.746% due 03/25/2036 •(l)

      30,257         27,037  

2.796% due 10/25/2047 •(l)

      59,229         49,859  

2.896% due 04/25/2036 •

      8,762         7,646  

2.956% due 03/25/2047 ^•

      1,707         1,292  

2.996% due 04/25/2036 •

      15,850         9,027  

3.056% due 05/25/2047 •

      3,393         2,689  

3.706% due 06/25/2033 •

      128         116  

4.700% due 10/25/2046 ^~

      508         496  

4.788% due 10/25/2032 ^~

      20,844         18,762  

Countrywide Asset-Backed Certificates Trust

 

2.656% due 03/25/2047 •(l)

      11,471         11,213  

3.026% due 05/25/2036 •(l)

      32,300         26,423  

4.040% due 11/25/2034 •(l)

      13,611         13,300  

Crecera Americas LLC

 

5.563% due 08/31/2020 •

      49,923         49,972  

Credit-Based Asset Servicing & Securitization CBO Corp.

 

2.989% due 09/06/2041 •

      65,385         6,702  

Credit-Based Asset Servicing & Securitization LLC

 

3.136% due 07/25/2035 •

      3,000         2,720  

ECAF Ltd.

 

4.947% due 06/15/2040

      5,833         6,024  

Encore Credit Receivables Trust

 

3.196% due 07/25/2035 •

      421         407  

Euromax ABS PLC

 

0.024% due 11/10/2095 •

  EUR     6,000         6,265  

FAB UK Ltd.

 

0.000% due 12/06/2045 ~

  GBP     11,059         5,641  

Fieldstone Mortgage Investment Trust

 

2.485% due 07/25/2036 •

  $     5,990         3,415  

First Franklin Mortgage Loan Trust

 

0.000% due 04/25/2036 (g)(l)

      8,040         6,991  

2.746% due 04/25/2036 •(l)

      6,825         6,280  

2.886% due 02/25/2036 •

      5,500         4,915  

3.451% due 09/25/2035 •

      6,041         4,649  

3.481% due 05/25/2036 •

      14,571         7,630  

Fremont Home Loan Trust

 

2.656% due 01/25/2037 •

      3,674         2,085  

2.746% due 02/25/2037 •

      1,529         806  

Glacier Funding CDO Ltd.

 

2.852% due 08/04/2035 •

      23,884         6,023  

Greenpoint Manufactured Housing

 

9.230% due 12/15/2029 ~(l)

      8,882         7,319  

Greystone Commercial Real Estate Ltd.

 

7.205% due 03/15/2027 •(l)

      25,000         25,107  

GSAA Trust

 

5.058% due 05/25/2035 Ø(l)

      5,158         5,180  

GSAMP Trust

 

2.566% due 01/25/2037 •

      3,799         2,517  

2.596% due 01/25/2037 •

      1,133         753  

2.666% due 04/25/2036 •

      669         489  

2.706% due 11/25/2036 •

      4,637         2,809  

2.756% due 12/25/2036 •

      5,064         3,090  

2.776% due 04/25/2036 •(l)

      23,836           17,826  

4.156% due 10/25/2034 •

      421         409  

5.056% due 10/25/2033 •

      250         252  

Halcyon Loan Advisors European Funding BV

 

0.000% due 04/15/2030 ~

  EUR     1,400         1,345  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Hillcrest CDO Ltd.

 

3.107% due 12/10/2039 •

  $     45,367     $     19,054  

Home Equity Asset Trust

 

3.601% due 05/25/2035 •

      3,800         3,790  

3.706% due 07/25/2035 •

      4,000         3,736  

Home Equity Loan Trust

 

2.846% due 04/25/2037 •(l)

      13,500         11,114  

Home Equity Mortgage Loan Asset-Backed Trust

 

2.666% due 11/25/2036 •(l)

      5,652         4,495  

2.746% due 04/25/2037 •(l)

      3,836         2,882  

2.946% due 03/25/2036 •

      1,504         1,413  

House of Europe Funding PLC

 

0.000% due 11/08/2090 •

  EUR     1,138         1,297  

Hout Bay Corp.

 

2.629% due 07/05/2041 •

  $     82,407         24,269  

HSI Asset Securitization Corp. Trust

 

2.616% due 12/25/2036 •

      25,083         9,115  

2.666% due 10/25/2036 •

      9,666         4,806  

2.676% due 12/25/2036 •

      15,363         5,583  

2.696% due 01/25/2037 •(l)

      42,635           33,541  

2.896% due 11/25/2035 •(l)

      5,830         5,641  

IXIS Real Estate Capital Trust

 

3.481% due 09/25/2035 ^•

      5,457         4,786  

JPMorgan Mortgage Acquisition Trust

 

2.656% due 07/25/2036 •

      1,834         1,090  

2.666% due 07/25/2036 ^•

      1,322         557  

5.462% due 09/25/2029 ^Ø

      3,793         3,028  

5.888% due 10/25/2036 ^Ø(l)

      12,643         10,087  

Jubilee CLO BV

 

0.000% due 01/15/2028 ~

  EUR     7,000         4,747  

Lehman XS Trust

 

4.771% due 05/25/2037 ^~(l)

  $     11,881         10,636  

Long Beach Mortgage Loan Trust

 

2.696% due 02/25/2036 •(l)

      44,878         36,660  

3.156% due 09/25/2034 •

      1,216         1,157  

3.211% due 11/25/2035 •(l)

      39,486         31,225  

MASTR Asset-Backed Securities Trust

 

2.676% due 06/25/2036 •(l)

      7,289         6,229  

2.686% due 02/25/2036 •(l)

      8,390         4,443  

2.746% due 06/25/2036 •

      3,768         2,114  

3.046% due 12/25/2035 •

      11,682         7,133  

Morgan Stanley ABS Capital, Inc. Trust

 

2.566% due 09/25/2036 •

      4,016         1,925  

2.576% due 10/25/2036 •

      4         3  

2.646% due 10/25/2036 •(l)

      9,954         6,077  

2.656% due 06/25/2036 •(l)

      7,121         4,768  

2.656% due 06/25/2036 •

      905         760  

2.656% due 09/25/2036 •

      8,069         3,932  

2.656% due 11/25/2036 •(l)

      19,055         13,065  

2.726% due 10/25/2036 •

      4,797         2,958  

3.181% due 09/25/2035 •(l)

      18,121         16,360  

3.541% due 01/25/2035 •

      4,799         2,101  

4.456% due 05/25/2034 •

      2,108         2,081  

National Collegiate Commutation Trust

 

0.000% due 03/25/2038 •

      87,000         49,092  

New Century Home Equity Loan Trust

 

5.506% due 01/25/2033 ^•

      500         461  

Nomura Home Equity Loan, Inc. Home Equity Loan Trust

 

2.836% due 10/25/2036 ^•

      4,978         1,643  

2.926% due 02/25/2036 •(l)

      31,899         25,311  

Ocean Trails CLO

 

7.718% due 08/13/2025 •

      3,500         3,297  

Option One Mortgage Loan Trust

 

2.636% due 07/25/2037 •(l)

      17,278         12,004  

2.646% due 01/25/2037 •(l)

      11,417         7,221  

2.726% due 01/25/2037 •

      2,329         1,484  

2.756% due 03/25/2037 •

      711         419  

2.836% due 04/25/2037 •

      2,756         1,750  

Option One Mortgage Loan Trust Asset-Backed Certificates

 

2.966% due 11/25/2035 •(l)

      13,200         12,684  

Park Place Securities, Inc.

 

3.136% due 09/25/2035 •(l)

      7,240         6,748  

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

 

2.996% due 08/25/2035 •(l)

      8,350         8,062  
 

 

See Accompanying Notes   SEMIANNUAL REPORT   DECEMBER 31, 2018   79


Table of Contents

Consolidated Schedule of Investments PIMCO Dynamic Credit and Mortgage Income Fund (Cont.)

 

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

3.331% due 07/25/2035 •(l)

  $     30,950     $     29,182  

3.541% due 03/25/2035 ^•(l)

      7,500         7,009  

3.631% due 10/25/2034 •

      10,000         9,589  

4.231% due 02/25/2035 •(l)

      29,447         28,160  

4.531% due 12/25/2034 •(l)

      25,974         22,641  

Popular ABS Mortgage Pass-Through Trust

 

3.196% due 06/25/2035 •

      626         613  

3.656% due 06/25/2035 •

      1,349         1,300  

RAAC Trust

 

4.256% due 05/25/2046 •

      17,151         14,464  

Renaissance Home Equity Loan Trust

 

5.612% due 04/25/2037 Ø

      3,161         1,430  

Residential Asset Mortgage Products Trust

 

2.826% due 01/25/2036 •(l)

      11,438         10,323  

2.886% due 01/25/2036 •

      4,360         4,294  

3.226% due 02/25/2035 •

      250         250  

3.256% due 04/25/2034 •

      3,922         3,871  

3.376% due 04/25/2034 •(l)

      4,214         4,159  

4.081% due 04/25/2034 ^•

      1,211         944  

4.486% due 04/25/2034 ^•

      1,738         1,333  

Residential Asset Securities Corp. Trust

 

2.636% due 11/25/2036 •(l)

      10,675         8,899  

2.676% due 10/25/2036 •(l)

      11,717         8,593  

2.786% due 04/25/2036 •(l)

      5,270         5,091  

2.836% due 04/25/2036 •

      7,205         4,969  

2.846% due 05/25/2037 •(l)

      9,275         9,078  

3.166% due 12/25/2035 •

      15,978         13,205  

3.631% due 02/25/2035 •

      1,900         1,893  

Securitized Asset-Backed Receivables LLC Trust

 

2.646% due 07/25/2036 •(l)

      21,955         18,123  

2.666% due 07/25/2036 •

      2,860         1,368  

2.756% due 05/25/2036 •(l)

      18,867         12,030  

2.776% due 03/25/2036 •(l)

      7,752         7,155  

2.956% due 10/25/2035 •

      13,000           12,474  

3.106% due 11/25/2035 •

      11,037         8,204  

3.166% due 08/25/2035 •(l)

      3,378         2,272  

SLM Student Loan EDC Repackaging Trust

 

0.000% due 10/28/2029 «(g)

      25         22,760  

SLM Student Loan Trust

 

0.000% due 01/25/2042 «(g)

      20         14,440  

SMB Private Education Loan Trust

 

0.000% due 10/15/2048 «(g)

      5         5,352  

SoFi Professional Loan Program LLC

 

0.000% due 03/25/2036 «(g)

      200         2,609  

0.000% due 01/25/2039 (g)

      21,280         8,060  

0.000% due 05/25/2040 (g)

      22,175         11,473  

0.000% due 07/25/2040 «(g)

      110         6,380  

0.000% due 09/25/2040 (g)

      9,122         5,891  

Soloso CDO Ltd.

 

2.728% due 10/07/2037 •

      11,318         9,422  

Soundview Home Loan Trust

 

2.656% due 06/25/2037 •(l)

      3,465         2,439  

2.666% due 11/25/2036 •(l)

      6,990         6,819  

2.686% due 02/25/2037 •

      8,345         3,228  

2.766% due 02/25/2037 •

      9,685         3,800  

2.786% due 05/25/2036 •(l)

      14,665         14,174  

2.856% due 03/25/2036 •(l)

      7,933         7,680  

3.456% due 10/25/2037 •(l)

      6,924         5,885  

3.606% due 09/25/2037 •(l)

      2,642         2,467  

Specialty Underwriting & Residential Finance Trust

 

2.856% due 03/25/2037 •

      614         331  

3.481% due 12/25/2035 •

      3,364         3,347  

3.981% due 02/25/2037 ^Ø

      3,306         1,791  

4.306% due 05/25/2035 •

      2,011         1,957  

Symphony CLO Ltd.

 

7.036% due 07/14/2026 •

      10,700         10,015  

7.336% due 10/15/2025 •(l)

      9,850         9,729  

Taberna Preferred Funding Ltd.

 

2.922% due 05/05/2038 •

      11,581         11,089  

2.932% due 02/05/2037 •

      24,009         21,428  

2.962% due 08/05/2036 ^•

      15,373         13,797  

2.962% due 08/05/2036 •

      3,822         3,430  

Trapeza CDO LLC

 

3.377% due 01/20/2034 •(l)

      6,666         6,663  

Wachovia Mortgage Loan Trust

 

3.196% due 10/25/2035 •(l)

      8,000         7,494  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Wells Fargo Home Equity Asset-Backed Securities Trust

 

2.836% due 05/25/2036 •(l)

  $     5,000     $     4,925  
       

 

 

 

Total Asset-Backed Securities (Cost $1,788,779)

      1,941,639  
 

 

 

 
SOVEREIGN ISSUES 3.6%

 

Argentina Government International Bond

 

2.260% due 12/31/2038 Ø(l)

  EUR     26,572         16,987  

3.375% due 01/15/2023

      800         727  

3.875% due 01/15/2022 (l)

      7,800         7,561  

5.250% due 01/15/2028

      400         331  

6.250% due 11/09/2047

      400         331  

7.820% due 12/31/2033 (l)

      54,148         52,650  

41.328% (BADLARPP) due 10/04/2022 ~

  ARS     1,302         55  

48.797% (BADLARPP + 3.250%) due 03/01/2020 ~

    4,700         124  

50.225% (BADLARPP + 2.000%) due 04/03/2022 ~(a)

    329,220         8,430  

50.950% (BADLARPP + 2.500%) due 03/11/2019 ~(a)

    18,541         492  

59.257% due 06/21/2020 ~(a)

    309,791         8,861  

Autonomous Community of Catalonia

 

4.900% due 09/15/2021

  EUR     100         123  

4.950% due 02/11/2020

      100         119  

Kazakhstan Government International Bond

 

1.550% due 11/09/2023

      300         346  

2.375% due 11/09/2028 (l)

      1,200         1,364  

Peru Government International Bond

 

5.940% due 02/12/2029

  PEN     11,596         3,511  

6.350% due 08/12/2028

      14,900         4,649  

Republic of Greece Government International Bond

 

4.750% due 04/17/2019

  EUR     1,900         2,202  

Venezuela Government International Bond

 

6.000% due 12/09/2020 ^(d)

  $     1,330         308  

8.250% due 10/13/2024 ^(d)

    188         44  

9.250% due 09/15/2027 ^(d)

    1,654         393  
       

 

 

 

Total Sovereign Issues (Cost $150,472)

    109,608  
 

 

 

 
        SHARES            
COMMON STOCKS 1.4%

 

CONSUMER DISCRETIONARY 0.5%

 

Caesars Entertainment Corp. (e)

      2,222,152         15,088  
       

 

 

 
ENERGY 0.4%

 

Dommo Energia S.A. «(e)(j)

    54,507,381         10,464  

Dommo Energia S.A. SP - ADR «(e)

    8,580         217  

Forbes Energy Services Ltd. (e)(j)

    152,625         383  
       

 

 

 
          11,064  
       

 

 

 
FINANCIALS 0.1%

 

Ardonagh Group Ltd. «(j)

      2,651,536         3,267  
       

 

 

 
UTILITIES 0.4%

 

Eneva S.A. (e)(j)

      32,781         136  

TexGen Power LLC «

      285,522         11,421  
       

 

 

 
          11,557  
       

 

 

 

Total Common Stocks (Cost $47,940)

    40,976  
 

 

 

 
        SHARES         MARKET
VALUE
(000S)
 
WARRANTS 0.0%

 

INDUSTRIALS 0.0%

 

Sequa Corp. - Exp. 04/28/2024 «

      2,530,304     $     608  
       

 

 

 

Total Warrants (Cost $0)

    608  
 

 

 

 
PREFERRED SECURITIES 2.9%

 

BANKING & FINANCE 1.7%

 

Nationwide Building Society

 

10.250% ~

      285,475         50,850  

OCP CLO Ltd.

 

0.000% due 04/26/2028 (g)

      2,600         2,108  
       

 

 

 
          52,958  
       

 

 

 
INDUSTRIALS 1.2%

 

Sequa Corp.

 

9.000% «

      53,285         35,584  
       

 

 

 

Total Preferred Securities (Cost $111,308)

    88,542  
 

 

 

 
REAL ESTATE INVESTMENT TRUSTS 1.6%

 

REAL ESTATE 1.6%

 

VICI Properties, Inc.

      2,572,665         48,315  
       

 

 

 

Total Real Estate Investment Trusts (Cost $37,244)

    48,315  
 

 

 

 
SHORT-TERM INSTRUMENTS 3.3%

 

REPURCHASE AGREEMENTS (k) 2.3%

 

          71,865  
       

 

 

 
        PRINCIPAL
AMOUNT
(000S)
           
ARGENTINA TREASURY BILLS 0.2%

 

(1.167)% due 01/31/2019 - 06/28/2019 (f)(g)

  ARS     212,312         6,168  
       

 

 

 
U.S. TREASURY BILLS 0.8%

 

2.355% due 01/31/2019 - 03/14/2019 (f)(g)(l)(n)(p)

  $     25,050         24,980  
       

 

 

 
Total Short-Term Instruments (Cost $102,915)     103,013  
 

 

 

 
       
Total Investments in Securities (Cost $5,465,654)     5,479,170  
 

 

 

 
        SHARES            
INVESTMENTS IN AFFILIATES 0.3%

 

COMMON STOCKS 0.3%

 

INDUSTRIALS 0.3%

 

Sierra Hamilton Holder LLC «(e)(j)

    30,136,800         10,091  
       

 

 

 

Total Common Stocks (Cost $7,639)

    10,091  
 

 

 

 
       
Total Investments in Affiliates
(Cost $7,639)
    10,091  
 
Total Investments 178.4%
(Cost $5,473,293)

 

  $     5,489,261  

Financial Derivative
Instruments (m)(o) (0.6)%

(Cost or Premiums, net $(7,792))

 

 

      (17,223
Other Assets and Liabilities, net (77.8)%       (2,394,500
 

 

 

 
Net Assets 100.0%

 

  $     3,077,538  
   

 

 

 
 

 

80   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


Table of Contents

 

December 31, 2018 (Unaudited)

 

 

NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:

 

*

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

^

Security is in default.

«

Security valued using significant unobservable inputs (Level 3).

µ

All or a portion of this amount represents unfunded loan commitments. The interest rate for the unfunded portion will be determined at the time of funding. See Note 4, Securities and Other Investments, in the Notes to Financial Statements for more information regarding unfunded loan commitments.

~

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

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

Ø

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)

Interest only security.

(b)

Principal only security.

(c)

Payment in-kind security.

(d)

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

(e)

Security did not produce income within the last twelve months.

(f)

Coupon represents a weighted average yield to maturity.

(g)

Zero coupon security.

(h)

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

(i)

Contingent convertible security.

 

(j)  RESTRICTED SECURITIES:

 

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

Ardonagh Group Ltd.

     04/02/2015     $ 3,931     $ 3,267       0.11

Dommo Energia S.A.

     12/21/2017 - 12/26/2017       1,423       10,464       0.34  

Eneva S.A.

     12/21/2017       141       136       0.00  

Forbes Energy Services Ltd.

     02/27/2013 - 03/11/2014       7,380       383       0.01  

Pinnacol Assurance 8.625% due 06/25/2034

     06/23/2014       23,200       22,485       0.73  

Preylock Reitman Santa Cruz Mezz LLC 7.887% due 11/09/2022

     04/09/2018       31,560       31,479       1.02  

Sierra Hamilton Holder LLC

     07/31/2017       7,639       10,091       0.33  
    

 

 

   

 

 

   

 

 

 
  $     75,274     $     78,305       2.54
 

 

 

   

 

 

   

 

 

 

 

BORROWINGS AND OTHER FINANCING TRANSACTIONS

 

(k)  REPURCHASE AGREEMENTS:

 

Counterparty   Lending
Rate
    Settlement
Date
    Maturity
Date
    Principal
Amount
    Collateralized By   Collateral
(Received)
    Repurchase
Agreements,
at Value
    Repurchase
Agreement
Proceeds
to be
Received(1)
 
BOS     5.500     12/31/2018       01/02/2019     $ 5,900     U.S. Treasury Bonds 2.875% due 11/15/2046   $ (6,048   $ 5,900     $ 5,902  
FICC     2.000       12/31/2018       01/02/2019       965     U.S. Treasury Notes 2.875% due 09/30/2023     (985     965       965  
NOM     3.150       12/31/2018       01/02/2019           65,000     U.S. Treasury Bonds 3.125% due 02/15/2043     (66,588     65,000       65,011  
           

 

 

   

 

 

   

 

 

 

Total Repurchase Agreements

 

    $     (73,621   $     71,865     $     71,878  
   

 

 

   

 

 

   

 

 

 

 

REVERSE REPURCHASE AGREEMENTS:

 

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

BPS

    (0.150 )%      12/03/2018       03/04/2019       EUR       (1,069   $ (1,225
    (0.050     12/03/2018       03/04/2019         (7,527     (8,623
    0.100       10/23/2018       01/23/2019         (3,790     (4,343
    1.140       11/29/2018       01/29/2019       GBP       (19,163         (24,450
    1.200       11/15/2018       01/08/2019         (4,888     (6,240
    1.200       12/05/2018       01/07/2019         (10,809     (13,789
    1.350       11/29/2018       02/28/2019         (5,783     (7,381
    3.330       12/12/2018       03/12/2019       $       (7,579     (7,594
    3.360       11/29/2018       03/01/2019         (1,634     (1,639
    3.425       10/11/2018       01/11/2019         (21,706     (21,877

 

See Accompanying Notes   SEMIANNUAL REPORT   DECEMBER 31, 2018   81


Table of Contents

Consolidated Schedule of Investments PIMCO Dynamic Credit and Mortgage Income Fund (Cont.)

 

Counterparty   Borrowing
Rate(2)
    Settlement
Date
    Maturity
Date
    Amount
Borrowed(2)
    Payable for
Reverse
Repurchase
Agreements
 
    3.616     11/14/2018       02/14/2019       $       (4,980   $ (5,004
    3.629       11/16/2018       02/19/2019         (20,620     (20,718
    3.751       12/04/2018       03/05/2019         (22,500     (22,568
    3.792       12/19/2018       03/19/2019         (45,053     (45,119
    3.792       12/21/2018       03/21/2019         (6,707     (6,715
    3.879       11/16/2018       TBD (3)         (58,554     (58,851

BRC

    1.200       12/24/2018       TBD (3)         (13,718     (13,722
    1.750       12/24/2018       TBD (3)         (808     (808
    2.600       12/24/2018       TBD (3)         (10,046     (10,053
    3.025       10/11/2018       01/11/2019         (13,031     (13,122
    3.050       10/19/2018       01/22/2019         (9,958     (10,021
    3.100       11/09/2018       02/11/2019         (4,333     (4,353
    3.250       12/24/2018       TBD (3)         (2,377     (2,379
    3.400       12/06/2018       03/05/2019         (3,748     (3,758
    3.425       10/11/2018       01/11/2019         (36,497     (36,785
    3.430       12/14/2018       03/14/2019         (5,419     (5,429
    3.449       10/16/2018       01/16/2019         (43,102     (43,424
    3.450       10/18/2018       01/18/2019         (19,829     (19,973
    3.487       10/23/2018       01/23/2019         (7,898     (7,952
    3.792       12/21/2018       03/21/2019         (6,559     (6,567
    4.408       08/16/2017       07/05/2019         (14,167     (14,319
    4.408       04/13/2018       07/05/2019         (23,570     (23,823
    4.822       06/27/2017       TBD (3)         (12,534     (12,544
    4.822       04/13/2018       06/27/2019         (19,233     (19,248

DBL

    0.650       10/16/2018       01/16/2019       EUR       (538     (617

FOB

    2.900       12/06/2018       01/07/2019       $       (21,839     (21,886

GLM

    0.450       11/13/2018       02/13/2019       EUR       (15,560     (17,838
    3.470       12/17/2018       01/17/2019       $       (52,322     (52,403
    3.616       11/15/2018       02/15/2019         (6,524     (6,555
    3.707       11/29/2018       03/01/2019         (31,840     (31,951
    3.753       11/21/2018       02/21/2019         (12,901     (12,957
    3.767       12/07/2018       03/07/2019         (4,978     (4,992
    3.957       11/29/2018       03/01/2019         (11,845     (11,888

JML

    (0.320     11/09/2018       02/11/2019       EUR       (1,763     (2,019
    (0.320     12/03/2018       03/04/2019         (12,959     (14,844
    (0.200     12/05/2018       03/05/2019         (28,569     (32,728
    (0.150     10/22/2018       TBD (3)         (1,148     (1,315
    (0.150     12/05/2018       03/05/2019         (6,974     (7,989
    0.050       11/26/2018       01/28/2019         (11,767     (13,483
    0.284       11/26/2018       02/26/2019         (1,873     (2,147
    0.484       11/26/2018       02/26/2019         (3,629     (4,160
    0.900       10/22/2018       01/22/2019       GBP       (31,637     (40,397
    0.900       11/22/2018       01/22/2019         (4,005     (5,110
    0.950       12/03/2018       03/04/2019         (24,475     (31,221
    0.950       12/05/2018       03/05/2019         (15,114     (19,278
    1.050       11/15/2018       02/18/2019         (45,372         (57,910
    3.100       12/13/2018       01/14/2019       $       (5,830     (5,840

JPS

    3.608       10/25/2018       01/25/2019         (20,009     (20,147

MEI

    0.100       11/26/2018       01/25/2019       EUR       (38,866     (44,535

MSB

    3.698       10/03/2018       10/03/2019       $       (2,126     (2,146
    3.736       07/13/2018       07/15/2019         (5,943     (5,992
    3.777       10/23/2018       10/23/2019         (52,189     (52,578
    3.859       04/27/2018       04/26/2019         (21,053     (21,200
    3.879       08/16/2018       08/16/2019         (9,590     (9,635
    3.891       05/01/2018       05/01/2019         (5,179     (5,212
    3.929       08/16/2018       08/16/2019         (4,549     (4,570
    3.941       05/08/2018       05/08/2019         (21,588     (21,710
    3.982       02/05/2018       02/05/2019         (29,927     (30,101
    4.001       06/05/2018       06/05/2019         (22,795     (22,858
    4.088       09/20/2018       09/17/2019         (34,243     (34,298
    4.142       08/14/2018       03/20/2019         (21,014     (21,045

NOM

    3.230       11/13/2018       02/13/2019         (9,302     (9,344
    3.250       11/19/2018       02/19/2019         (12,156     (12,204
    3.250       11/26/2018       02/26/2019         (12,163     (12,204
    3.290       11/14/2018       02/14/2019         (12,511     (12,567
    3.290       12/14/2018       02/14/2019         (510     (511
    3.350       12/11/2018       03/11/2019         (17,541     (17,577
    4.607       08/04/2017       TBD (3)         (25,721     (25,899
    4.607       05/04/2018       08/05/2019         (19,176     (19,309

RBC

    3.720       08/08/2018       02/08/2019         (4,586     (4,656

 

82   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


Table of Contents

 

December 31, 2018 (Unaudited)

 

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

RCE

    1.700     09/18/2018       01/18/2019       GBP       (2,113   $ (2,706

RCY

    3.330       12/10/2018       03/11/2019       $       (372     (373

RDR

    2.690       10/23/2018       01/23/2019         (2,051     (2,062
    2.970       12/10/2018       03/11/2019         (2,916     (2,922

RTA

    3.039       09/06/2018       03/06/2019         (3,585     (3,621
    3.044       09/07/2018       03/07/2019         (4,755     (4,802
    3.058       09/12/2018       03/12/2019         (1,236     (1,248
    3.224       10/22/2018       04/22/2019         (1,447     (1,456
    3.248       10/24/2018       04/24/2019         (12,380         (12,458
    3.274       10/26/2018       04/26/2019         (17,777     (17,887
    3.519       07/16/2018       01/16/2019         (5,816     (5,913
    3.521       07/17/2018       01/17/2019         (1,485     (1,510
    3.521       07/25/2018       01/25/2019         (19,318     (19,622
    3.522       08/08/2018       02/08/2019         (7,210     (7,314
    3.529       07/31/2018       01/31/2019         (7,488     (7,602
    3.531       08/06/2018       02/06/2019         (8,557     (8,682
    3.544       09/07/2018       03/07/2019         (32,424     (32,797
    3.608       09/12/2018       03/12/2019         (3,254     (3,291
    3.622       09/20/2018       03/20/2019         (18,698     (18,894
    3.642       09/24/2018       03/25/2019         (8,855     (8,945
    3.703       11/21/2018       02/21/2019         (1,560     (1,567
    3.751       12/04/2018       03/04/2019         (7,607     (7,630
    3.788       12/14/2018       03/14/2019         (19,608     (19,647
    3.842       11/06/2018       05/07/2019         (4,132     (4,157
    3.842       11/07/2018       05/07/2019         (3,085     (3,103
    3.863       11/16/2018       05/16/2019         (17,302     (17,389
    4.227       10/31/2017       TBD (3)         (3,884     (3,911
    4.241       11/23/2018       10/31/2019         (11,096     (11,148

SBI

    3.208       10/26/2018       01/28/2019         (5,666     (5,700
    3.425       10/11/2018       04/11/2019         (73,265     (73,844
    3.517       08/09/2018       02/11/2019         (30,215     (30,646
    3.577       10/23/2018       01/23/2019         (56,986     (57,388

SOG

    0.484       12/05/2018       03/05/2019       EUR       (4,309     (4,939
    2.960       10/05/2018       01/08/2019       $       (2,434     (2,452
    2.975       07/12/2018       01/11/2019         (747     (752
    3.020       10/23/2018       01/23/2019         (14,663     (14,750
    3.020       10/31/2018       01/31/2019         (8,428     (8,473
    3.040       11/02/2018       02/04/2019         (12,926     (12,993
    3.250       11/16/2018       02/19/2019         (15,946     (16,014
    3.250       11/21/2018       02/21/2019         (53,026     (53,227
    3.250       12/04/2018       03/05/2019         (10,592     (10,620
    3.250       12/07/2018       03/07/2019         (1,741     (1,745
    3.257       08/28/2018       02/28/2019         (26,781     (26,856
    3.270       12/07/2018       03/07/2019         (22,103     (22,155
    3.270       12/12/2018       03/12/2019         (9,571     (9,589
    3.290       12/17/2018       03/14/2019         (212     (212
    3.290       12/18/2018       03/18/2019         (5,439     (5,446
    3.310       12/21/2018       03/21/2019         (19,751     (19,773
    3.370       10/10/2018       01/10/2019         (22,047     (22,220
    3.440       10/24/2018       01/24/2019         (21,123     (21,264
    3.566       11/14/2018       02/14/2019         (49,559     (49,800
    3.751       12/17/2018       03/18/2019         (10,893     (10,911
    3.817       09/10/2018       03/11/2019         (35,712     (35,789
    3.828       09/14/2018       03/14/2019         (21,240     (21,278

UBS

    (0.250     10/22/2018       01/22/2019       EUR       (1,532     (1,754
    (0.200     10/22/2018       01/22/2019         (779     (892
    (0.200     12/03/2018       03/04/2019         (1,252     (1,435
    0.640       11/01/2018       02/01/2019         (16,626     (19,070
    1.050       11/08/2018       01/08/2019       GBP       (8,379     (10,697
    1.200       12/03/2018       02/04/2019         (3,165     (4,039
    1.558       10/26/2018       01/28/2019         (27,121     (34,669
    1.630       09/24/2018       01/15/2019         (32,605     (41,746
    2.820       11/06/2018       02/06/2019       $       (1,514     (1,521
    2.860       10/05/2018       01/07/2019         (1,110     (1,118
    2.870       10/10/2018       01/10/2019         (32,147     (32,362
    2.870       12/21/2018       01/10/2019         (1,510     (1,512
    2.880       10/11/2018       01/11/2019         (8,370     (8,426
    2.980       10/22/2018       01/22/2019         (5,850     (5,885
    2.980       12/04/2018       01/22/2019         (4,063     (4,076
    2.980       12/19/2018       01/22/2019         (495     (496

 

See Accompanying Notes   SEMIANNUAL REPORT   DECEMBER 31, 2018   83


Table of Contents

Consolidated Schedule of Investments PIMCO Dynamic Credit and Mortgage Income Fund (Cont.)

 

Counterparty   Borrowing
Rate(2)
    Settlement
Date
    Maturity
Date
    Amount
Borrowed(2)
    Payable for
Reverse
Repurchase
Agreements
 
    2.990     09/11/2018       03/11/2019     $         (43,319   $ (43,726
    2.990       12/03/2018       03/04/2019         (825     (827
    2.990       12/04/2018       03/04/2019         (1,671     (1,675
    2.990       12/18/2018       03/11/2019         (7,694     (7,727
    3.030       10/22/2018       01/22/2019         (3,904     (3,928
    3.040       10/24/2018       01/24/2019         (4,394     (4,420
    3.040       11/06/2018       02/06/2019         (14,054     (14,122
    3.040       12/11/2018       02/06/2019         (58     (58
    3.090       09/11/2018       03/11/2019         (2,836     (2,863
    3.090       11/07/2018       02/07/2019         (13,931     (13,998
    3.120       11/13/2018       02/13/2019         (37,080     (37,241
    3.160       11/02/2018       02/04/2019         (22,070     (22,188
    3.250       12/04/2018       03/05/2019         (6,433     (6,450
    3.270       12/07/2018       03/07/2019         (7,878     (7,897
    3.270       12/19/2018       03/07/2019         (596     (597
    3.280       12/13/2018       03/13/2019         (1,115     (1,117
    3.300       12/04/2018       03/05/2019         (1,474     (1,478
    3.300       12/18/2018       03/18/2019         (6,937     (6,947
    3.330       12/13/2018       03/13/2019         (5,575     (5,585
    3.350       12/04/2018       03/05/2019         (7,364     (7,384
    3.350       12/18/2018       03/18/2019         (19,326     (19,353
    3.370       10/10/2018       01/10/2019         (8,961     (9,031
    3.370       12/07/2018       03/07/2019         (1,680     (1,684
    3.440       10/24/2018       01/24/2019         (17,686     (17,804
    3.565       11/09/2018       02/11/2019         (7,225     (7,264
    3.637       04/24/2018       04/24/2019         (42,389     (42,677
    3.750       12/17/2018       03/18/2019         (10,265     (10,282

WFS

    3.542       11/06/2018       02/06/2019         (14,427     (14,508
           

 

 

 

Total Reverse Repurchase Agreements

 

        $     (2,568,264
           

 

 

 

 

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, 2018:

 

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

Global/Master Repurchase Agreement

 

BOS

  $ 5,902     $ 0     $ 0      $ 5,902     $ (6,048   $ (146

BPS

    0       (256,136     0            (256,136         317,284           61,148  

BRC

    0       (248,280     0        (248,280     335,224       86,944  

DBL

    0       (617     0        (617     745       128  

FICC

    965       0       0        965       (985     (20

FOB

    0       (21,886     0        (21,886     23,657       1,771  

GLM

    0       (138,584     0        (138,584     178,974       40,390  

JML

    0       (238,441     0        (238,441     276,183       37,742  

JPS

    0       (20,147     0        (20,147     25,564       5,417  

MEI

    0       (44,535     0        (44,535     54,022       9,487  

MSB

    0       (231,345     0        (231,345     322,003       90,658  

NOM

    65,011       (109,615     0        (44,604     64,493       19,889  

RBC

    0       (4,656     0        (4,656     6,097       1,441  

RCE

    0       (2,706     0        (2,706     3,039       333  

RCY

    0       (373     0        (373     496       123  

RDR

    0       (4,984     0        (4,984     5,158       174  

RTA

    0       (224,594     0        (224,594     286,628       62,034  

SBI

    0       (167,578     0        (167,578     211,347       43,769  

SOG

    0       (371,258     0        (371,258     426,365       55,107  

UBS

    0       (468,021     0        (468,021     565,377       97,356  

WFS

    0       (14,508     0        (14,508     19,542       5,034  
 

 

 

   

 

 

   

 

 

        

Total Borrowings and Other Financing Transactions

  $     71,878     $     (2,568,264   $     0         
 

 

 

   

 

 

   

 

 

        

 

84   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


Table of Contents

 

December 31, 2018 (Unaudited)

 

 

CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS

 

Remaining Contractual Maturity of the Agreements

 

     Overnight and
Continuous
    Up to 30 days     31-90 days     Greater Than 90 days     Total  

Reverse Repurchase Agreements

 

Corporate Bonds & Notes

  $ 0     $ (243,486   $ (668,519   $ (60,078   $ (972,083

U.S. Government Agencies

    0       (19,973     (2,012     0       (21,985

Non-Agency Mortgage-Backed Securities

    0       (182,381     (232,226     (261,258     (675,865

Asset-Backed Securities

    0       (237,691     (343,611     (249,163     (830,465

Sovereign Issues

    0       (58,018     (9,848     0       (67,866
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Borrowings

  $     0     $     (741,549   $     (1,256,216   $     (570,499   $     (2,568,264
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Payable for reverse repurchase agreements

 

  $ (2,568,264
 

 

 

 

 

(l)

Securities with an aggregate market value of $3,185,320 and cash of $3,729 have been pledged as collateral under the terms of the above master agreements as of December 31, 2018.

 

(1)

Includes accrued interest.

(2)

The average amount of borrowings outstanding during the period ended December 31, 2018 was $(2,526,044) at a weighted average interest rate of 2.929%. Average borrowings may include sale-buyback transactions and reverse repurchase agreements, if held during the period.

(3)

Open maturity reverse repurchase agreement.

(4)

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

 

(m)  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, 2018(2)
    Notional
Amount(3)
    Premiums
Paid/(Received)
    Unrealized
Appreciation/
(Depreciation)
    Market
Value(4)
    Variation Margin  
  Asset     Liability  

Frontier Communications Corp.

    5.000     Quarterly       06/20/2020       19.721   $     31,430     $ (1,130   $ (4,221   $ (5,351   $ 0     $ (45

Frontier Communications Corp.

    5.000       Quarterly       06/20/2022       22.668       2,800       (378     (582     (960     0       (11

General Electric Co.

    1.000       Quarterly       12/20/2020       1.653       600       (15     8       (7     0       0  

General Electric Co.

    1.000       Quarterly       12/20/2023       2.039       2,800       (159     33       (126     1       0  

Sprint Communications, Inc.

    5.000       Quarterly       12/20/2021       2.346       13,300       249       755       1,004       3       0  
           

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
          $     (1,433   $     (4,007   $     (5,440   $     4     $     (56
         

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

INTEREST RATE SWAPS

 

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

Pay

 

3-Month CAD-Bank Bill

    3.300%       Semi-Annual       06/19/2024     CAD     102,200     $ 4,746     $ (856   $ 3,890     $ 91     $ 0  

Receive

 

3-Month CAD-Bank Bill

    3.500       Semi-Annual       06/20/2044         46,900       (1,672     (3,815     (5,487     150       0  

Pay

 

3-Month USD-LIBOR

    2.200       Semi-Annual       01/18/2023     $     1,800,000       (6,930     (9,675     (16,605     3,019       0  

Pay

 

3-Month USD-LIBOR

    1.750       Semi-Annual       12/21/2023         164,300       3,084       (9,524     (6,440     308       0  

Pay

 

3-Month USD-LIBOR

    1.750       Semi-Annual       12/21/2026         464,100       11,168       (41,922     (30,754     1,499       0  

Pay

 

3-Month USD-LIBOR

    1.500       Semi-Annual       06/21/2027         245,900           (17,834     (4,391     (22,225     820       0  

Pay

 

3-Month USD-LIBOR

    2.500       Semi-Annual       12/20/2027         64,900       1,045       (1,995     (950     233       0  

Receive

 

3-Month USD-LIBOR

    3.000       Semi-Annual       12/19/2028         14,000       (49     (288     (337     0       (54

Receive

 

3-Month USD-LIBOR

    3.000       Semi-Annual       12/19/2038         178,500       599       (4,600     (4,001     0       (919

Receive

 

3-Month USD-LIBOR

    2.500       Semi-Annual       06/20/2048         8,900       825       (156     669       0       (49

Receive

 

3-Month USD-LIBOR

    2.500       Semi-Annual       06/20/2048         401,700       10,997       17,152       28,149       0       (2,399

Pay

 

6-Month  AUD-BBR-BBSW

    3.631       Semi-Annual       03/06/2019     AUD     150,000       0       789       789       9       0  

Pay

 

6-Month  AUD-BBR-BBSW

    3.635       Semi-Annual       03/06/2019         175,000       0       923       923       10       0  

Pay

 

6-Month  AUD-BBR-BBSW

    3.500       Semi-Annual       06/17/2025         41,800       1,036       1,081       2,117       87       0  

Receive(5)

 

6-Month EUR-EURIBOR

    1.000       Annual       03/20/2029     EUR     69,700       286       (1,454     (1,168     0       (102

Receive(5)

 

6-Month EUR-EURIBOR

    1.000       Annual       06/19/2029         5,500       (12     (48     (60     0       (8

Receive(5)

 

6-Month GBP-LIBOR

    1.500       Semi-Annual       03/20/2029     GBP     156,975       2,456       (3,513     (1,057     0       (751
             

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
    $ 9,745     $ (62,292   $ (52,547   $ 6,226     $ (4,282
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Swap Agreements

 

  $ 8,312     $     (66,299   $     (57,987   $     6,230     $     (4,338
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

See Accompanying Notes   SEMIANNUAL REPORT   DECEMBER 31, 2018   85


Table of Contents

Consolidated Schedule of Investments PIMCO Dynamic Credit and Mortgage Income Fund (Cont.)

 

 

FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED SUMMARY

 

The following is a summary of the market value and variation margin of Exchange-Traded or Centrally Cleared Financial Derivative Instruments as of December 31, 2018:

 

    Financial Derivative Assets           Financial Derivative Liabilities  
    Market Value     Variation Margin
Asset
    Total           Market Value     Variation Margin
Liability
    Total  
     Purchased
Options
    Futures     Swap
Agreements
          Written
Options
    Futures     Swap
Agreements
 

Total Exchange-Traded or Centrally Cleared

  $     0     $     0     $     6,230     $     6,230       $     0     $     0     $     (4,338)     $     (4,338)  
 

 

 

   

 

 

   

 

 

   

 

 

     

 

 

   

 

 

   

 

 

   

 

 

 

 

(n)

Securities with an aggregate market value of $994 and cash of $110,046 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2018.

 

(1)

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

(2)

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

(5)

This instrument has a forward starting effective date. See Note 2, Securities Transactions and Investment Income, in the Notes to Financial Statements for further information.

 

(o)  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

     01/2019     $     4,296     ARS     174,879     $ 264     $ 0  

BPS

     01/2019     ARS     23,101     $     594       0       (19
     01/2019     BRL     22,508         5,809       1       0  
     01/2019     $     1,253     ARS     49,592       52       0  
     01/2019         5,795     BRL     22,508       12       0  
     02/2019     PEN     17,220     $     5,078       0       (25
     03/2019     $     546     ARS     23,101       15       0  

BRC

     01/2019         94         3,716       4       0  
     01/2019         1,258     GBP     993       9       0  

CBK

     01/2019     BRL     88,528     $     22,675       0       (166
     01/2019     CAD     2,415         1,835       66       0  
     01/2019     EUR     140,123         159,934       0       (718
     01/2019     GBP     12,044         15,421       64       0  
     01/2019     $     5,693     ARS     224,735       194       0  
     01/2019         22,847     BRL     88,528       0       (6
     01/2019         26,044     EUR     22,837       139       0  
     01/2019         13,490     GBP     10,537       0       (54

DUB

     01/2019     BRL     66,021     $     17,038       4       0  
     01/2019     $     17,077     BRL     66,021       0       (43
     02/2019     BRL     66,021     $     17,044       41       0  

FBF

     01/2019     $     5,414     RUB     366,446       0       (170

GLM

     01/2019     EUR     1,196     $     1,367       0       (4
     01/2019     GBP     370,079         473,216           1,349       (22
     01/2019     $     3,058     EUR     2,672       6       0  
     01/2019         14,633     GBP     11,533       73       0  
     01/2019         27,479     RUB     1,856,002       0           (918
     07/2019         523     ARS     24,601       7       0  

HUS

     01/2019     EUR     2,152     $     2,448       0       (20
     01/2019     $     736     ARS     29,197       14       0  
     01/2019         1,770     EUR     1,551       8       0  
     01/2019         30,906     MXN     621,299       606       0  
     02/2019     NZD     65     $     44       1       0  
     02/2019     $     141     ARS     5,833       3       0  

 

86   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


Table of Contents

 

December 31, 2018 (Unaudited)

 

Counterparty    Settlement
Month
    Currency to
be Delivered
    Currency to
be Received
    Unrealized Appreciation/
(Depreciation)
 
  Asset     Liability  

JPM

     01/2019     GBP     9,064     $     11,587     $ 29     $ 0  
     01/2019     $     334     ARS     12,690       0       (2
     01/2019         2,434     EUR     2,121       0       (2
     01/2019         3,715     GBP     2,959       57       0  
            

 

 

   

 

 

 

Total Forward Foreign Currency Contracts

 

  $     3,018     $     (2,169
 

 

 

   

 

 

 

 

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, 2018(2)
    Notional
Amount(3)
    Premiums
Paid/(Received)
    Unrealized
Appreciation/
(Depreciation)
    Swap Agreements,
at  Value(4)
 
  Asset     Liability  
GST  

Petrobras Global Finance BV

    1.000%     Quarterly     09/20/2020       1.479%     $     1,120     $     (163   $     154     $     0     $     (9
             

 

 

   

 

 

   

 

 

   

 

 

 

 

CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION(1)

 

Counterparty   Index/Tranches   Fixed
Receive Rate
    Payment
Frequency
    Maturity
Date
    Notional
Amount(3)
    Premiums
Paid/(Received)
    Unrealized
Appreciation/
(Depreciation)
    Swap Agreements,
at  Value(4)
 
  Asset     Liability  
BRC  

ABX.HE.AAA.6-2 Index

    0.110     Monthly       05/25/2046     $ 8,114     $ (1,817   $ 1,230     $ 0     $ (587
DUB  

CMBX.NA.BBB-.6 Index

    3.000       Monthly       05/11/2063       9,700       (605     (953     0       (1,558
 

CMBX.NA.BBB-.8 Index

    3.000       Monthly       10/17/2057           13,200       (1,520     2       0       (1,518
 

CMBX.NA.BBB-.9 Index

    3.000       Monthly       09/17/2058       8,300       (1,040     38       0       (1,002
FBF  

CMBX.NA.BBB-.10 Index

    3.000       Monthly       11/17/2059       400       (45     (1     0       (46
 

CMBX.NA.BBB-.6 Index

    3.000       Monthly       05/11/2063       900       (108     (37     0       (145
 

CMBX.NA.BBB-.7 Index

    3.000       Monthly       01/17/2047       1,600       (146     11       0       (135
 

CMBX.NA.BBB-.8 Index

    3.000       Monthly       10/17/2057       3,800       (594     157       0       (437
GST  

CMBX.NA.A.6 Index

    2.000       Monthly       05/11/2063       13,000       (662     101       0       (561
 

CMBX.NA.BB.6 Index

    5.000       Monthly       05/11/2063       8,500       (1,150     (1,230     0       (2,380
 

CMBX.NA.BBB-.6 Index

    3.000       Monthly       05/11/2063       18,900       (1,042     (1,993     0       (3,035
 

CMBX.NA.BBB-.7 Index

    3.000       Monthly       01/17/2047       3,300       (169     (110     0       (279
 

CMBX.NA.BBB-.9 Index

    3.000       Monthly       09/17/2058       19,300       (2,404     73       0       (2,331
JPS  

CMBX.NA.BBB-.9 Index

    3.000       Monthly       09/17/2058       400       (49     1       0       (48
MYC  

CMBX.NA.BBB-.10 Index

    3.000       Monthly       11/17/2059       21,800       (2,324     (169     0       (2,493
 

CMBX.NA.BBB-.6 Index

    3.000       Monthly       05/11/2063       8,300       (447     (886     0       (1,333
 

CMBX.NA.BBB-.7 Index

    3.000       Monthly       01/17/2047       6,500       (286     (263     0       (549
 

CMBX.NA.BBB-.8 Index

    3.000       Monthly       10/17/2057       3,300       (382     2       0       (380
 

CMBX.NA.BBB-.9 Index

    3.000       Monthly       09/17/2058       9,300       (1,149     26       0       (1,123
           

 

 

   

 

 

   

 

 

   

 

 

 
          $     (15,939   $     (4,001   $     0     $     (19,940
         

 

 

   

 

 

   

 

 

   

 

 

 

 

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  

GST

  Receive  

iBoxx USD Liquid High Yield Index

    N/A    

3-Month USD LIBOR

  Maturity   03/20/2019   $     700     $ (2   $ (13   $ 0     $ (15
               

 

 

   

 

 

   

 

 

   

 

 

 

Total Swap Agreements

 

  $     (16,104   $     (3,860   $     0     $     (19,964
               

 

 

   

 

 

   

 

 

   

 

 

 

 

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, 2018:

 

    Financial Derivative Assets           Financial Derivative Liabilities                     
Counterparty   Forward
Foreign
Currency
Contracts
     Purchased
Options
     Swap
Agreements
     Total
Over the
Counter
           Forward
Foreign
Currency
Contracts
    Written
Options
     Swap
Agreements
    Total
Over the
Counter
    Net Market
Value of OTC
Derivatives
    Collateral
Pledged/
(Received)
     Net
Exposure(6)
 

BOA

  $     264      $     0      $     0      $     264       $ 0     $ 0      $ 0     $ 0     $ 264     $ 0      $ 264  

BPS

    80        0        0        80         (44     0        0       (44     36       0        36  

BRC

    13        0        0        13         0       0        (587     (587     (574     615        41  

CBK

    463        0        0        463             (944     0        0       (944     (481     337        (144

DUB

    45        0        0        45         (43         0            (4,078         (4,121         (4,076         3383            (693

 

See Accompanying Notes   SEMIANNUAL REPORT   DECEMBER 31, 2018   87


Table of Contents

Consolidated Schedule of Investments PIMCO Dynamic Credit and Mortgage Income Fund (Cont.)

 

    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)
 

FBF

  $ 0      $ 0      $ 0      $ 0       $ (170   $ 0      $ (763   $ (933   $ (933   $ 955     $ 22  

GLM

    1,435        0        0        1,435         (944     0        0       (944     491           (2,480         (1,989

GST

    0        0        0        0         0       0        (8,610     (8,610         (8,610     8558       (52

HUS

    632        0        0        632         (20     0        0       (20     612       (620     (8

JPM

    86        0        0        86         (4     0        0       (4     82       0       82  

JPS

    0        0        0        0         0       0        (48     (48     (48     0       (48

MYC

    0        0        0        0         0       0        (5,878     (5,878     (5,878     5143       (735
 

 

 

    

 

 

    

 

 

    

 

 

     

 

 

   

 

 

    

 

 

   

 

 

       

Total Over the Counter

  $     3,018      $     0      $     0      $     3,018       $     (2,169   $     0      $     (19,964   $     (22,133      
 

 

 

    

 

 

    

 

 

    

 

 

     

 

 

   

 

 

    

 

 

   

 

 

       

 

(p)

Securities with an aggregate market value of $20,516 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2018.

 

(1)

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

(2)

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

(5)

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.

(6)

Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC derivatives can only be netted across transactions governed under the same master agreement with the same legal entity. The Fund and Subsidiary are recognized as two separate legal entities. As such, exposure cannot be netted. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information regarding master netting arrangements.

 

FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS

 

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

 

Fair Values of Financial Derivative Instruments on the Consolidated Statements of Assets and Liabilities as of December 31, 2018:

 

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

Financial Derivative Instruments - Assets

 

Exchange-traded or centrally cleared

 

Swap Agreements

  $ 0     $ 4     $ 0     $ 0     $ 6,226     $ 6,230  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Over the counter

 

Forward Foreign Currency Contracts

  $ 0     $ 0     $ 0     $ 3,018     $ 0     $ 3,018  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 4     $ 0     $ 3,018     $ 6,226     $ 9,248  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Financial Derivative Instruments - Liabilities

 

Exchange-traded or centrally cleared

 

Swap Agreements

  $ 0     $ 56     $ 0     $ 0     $ 4,282     $ 4,338  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Over the counter

 

Forward Foreign Currency Contracts

  $ 0     $ 0     $ 0     $ 2,169     $ 0     $ 2,169  

Swap Agreements

    0       19,949       0       0       15       19,964  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 19,949     $ 0     $ 2,169     $ 15     $ 22,133  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $     0     $     20,005     $     0     $     2,169     $     4,297     $     26,471  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

88   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


Table of Contents

 

December 31, 2018 (Unaudited)

 

 

The effect of Financial Derivative Instruments on the Consolidated Statements of Operations for the period ended December 31, 2018:

 

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

Net Realized Gain (Loss) on Financial Derivative Instruments

 

Exchange-traded or centrally cleared

 

Swap Agreements

  $ 0     $ 1,696     $ 0     $ 0     $ 4,830     $ 6,526  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Over the counter

 

Forward Foreign Currency Contracts

  $ 0     $ 0     $ 0     $ 30,238     $ 0     $ 30,238  

Swap Agreements

    0       3,083       0       0       (8     3,075  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 3,083     $ 0     $ 30,238     $ (8   $ 33,313  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 4,779     $ 0     $     30,238     $ 4,822     $ 39,839  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative Instruments

 

Exchange-traded or centrally cleared

 

Swap Agreements

  $ 0     $ (4,241   $ 0     $ 0     $ 24,585     $     20,344  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Over the counter

 

Forward Foreign Currency Contracts

  $ 0     $ 0     $ 0     $ (2,875   $ 0     $ (2,875

Swap Agreements

    0       (5,127     0       0       (12     (5,139
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ (5,127   $ 0     $ (2,875   $ (12   $ (8,014
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $     0     $     (9,368   $     0     $ (2,875   $     24,573     $ 12,330  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

FAIR VALUE MEASUREMENTS

 

The following is a summary of the fair valuations according to the inputs used as of December 31, 2018 in valuing the Fund’s assets and liabilities:

 

Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
12/31/2018
 

Investments in Securities, at Value

 

Loan Participations and Assignments

  $ 0     $ 160,754     $   70,583     $ 231,337  

Corporate Bonds & Notes

 

Banking & Finance

    0       513,617       31,983       545,600  

Industrials

    0       607,771       5,383       613,154  

Utilities

    0       126,078       0       126,078  

Convertible Bonds & Notes

 

Industrials

    0       3,671       0       3,671  

Municipal Bonds & Notes

 

Illinois

    0       2,552       0       2,552  

Iowa

    0       1,156       0       1,156  

New Jersey

    0       0       6,014       6,014  

Texas

    0       102       0       102  

Virginia

    0       90       0       90  

West Virginia

    0       26,560       0       26,560  

U.S. Government Agencies

    0       135,604       0       135,604  

Non-Agency Mortgage-Backed Securities

    0         1,433,619       20,932         1,454,551  

Asset-Backed Securities

    0       1,879,007       62,632       1,941,639  

Sovereign Issues

    0       109,608       0       109,608  

Common Stocks

 

Consumer Discretionary

      15,088       0       0       15,088  

Energy

    383       0       10,681       11,064  

Financials

    0       0       3,267       3,267  

Utilities

    136       0       11,421       11,557  

Warrants

 

Industrials

    0       0       608       608  

Preferred Securities

 

Banking & Finance

    0       52,958       0       52,958  

Industrials

    0       0       35,584       35,584  
Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
12/31/2018
 

Real Estate Investment Trusts

 

Real Estate

  $ 48,315     $ 0     $ 0     $ 48,315  

Short-Term Instruments

 

Repurchase Agreements

    0       71,865       0       71,865  

Argentina Treasury Bills

    0       6,168       0       6,168  

U.S. Treasury Bills

    0       24,980       0       24,980  
 

 

 

   

 

 

   

 

 

   

 

 

 
  $   63,922     $   5,156,160     $   259,088     $   5,479,170  
 

 

 

   

 

 

   

 

 

   

 

 

 

Investments in Affiliates, at Value

 

Common Stocks

 

Industrials

    0       0       10,091       10,091  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

  $ 63,922     $ 5,156,160     $ 269,179     $ 5,489,261  
 

 

 

   

 

 

   

 

 

   

 

 

 

Financial Derivative Instruments - Assets

 

Exchange-traded or centrally cleared

    0       6,230       0       6,230  

Over the counter

    0       3,018       0       3,018  
 

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 9,248     $ 0     $ 9,248  
 

 

 

   

 

 

   

 

 

   

 

 

 

Financial Derivative Instruments - Liabilities

 

Exchange-traded or centrally cleared

    0       (4,338     0       (4,338

Over the counter

    0       (22,133     0       (22,133
 

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ (26,471   $ 0     $ (26,471
 

 

 

   

 

 

   

 

 

   

 

 

 

Total Financial Derivative Instruments

  $ 0     $ (17,223   $ 0     $ (17,223
 

 

 

   

 

 

   

 

 

   

 

 

 

Totals

  $ 63,922     $ 5,138,937     $ 269,179     $ 5,472,038  
 

 

 

   

 

 

   

 

 

   

 

 

 
 

 

See Accompanying Notes   SEMIANNUAL REPORT   DECEMBER 31, 2018   89


Table of Contents

Consolidated Schedule of Investments PIMCO Dynamic Credit and Mortgage Income Fund (Cont.)

 

December 31, 2018 (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, 2018:

 

Category and Subcategory   Beginning
Balance
at 06/30/2018
    Net
Purchases
    Net
Sales
    Accrued
Discounts/
(Premiums)
    Realized
Gain/(Loss)
    Net Change in
Unrealized
Appreciation/
(Depreciation)(1)
    Transfers into
Level 3
    Transfers out
of Level 3
    Ending
Balance
at 12/31/2018
    Net Change in
Unrealized
Appreciation/
(Depreciation)
on Investments
Held at
12/31/2018(1)
 

Investments in Securities, at Value

 

Loan Participations and Assignments

  $ 32,361     $ 24,435     $ (16,723   $ (87   $ (653   $ (2,022   $ 33,272     $ 0     $ 70,583     $ (1,916

Corporate Bonds & Notes

 

Banking & Finance

    55,952       0       (22,400     (41     84       (1,612     0       0       31,983       (1,557

Industrials

    5,522       0       (238     2       0       97       0       0       5,383       97  

Municipal Bonds & Notes

 

New Jersey

    6,040       0       (90     (2     0       66       0       0       6,014       66  

Non-Agency Mortgage-Backed Securities

    21,699       0       (1,104     30       200       107       0       0       20,932       107  

Asset-Backed Securities

    80,048       16,412       (300     402       116       (8,622     0       (25,424     62,632       (5,049

Common Stocks

                   

Energy

    15,221       0       0       0       0       (4,540     0       0       10,681       (4,540

Financials

    4,199       0       0       0       0       (932     0       0       3,267       (932

Utilities

    9,048       0       0       0       0       2,373       0       0       11,421       2,373  

Warrants

                   

Industrials

    648       0       0       0       0       (40     0       0       608       (40

Preferred Securities

 

Industrials

    42,258       5,699       0       0       0       (12,373     0       0       35,584       (12,373
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Totals

  $ 272,996     $ 46,546     $ (40,855   $ 304     $ (253   $ (27,498   $ 33,272     $ (25,424   $ 259,088     $ (23,764
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Investments in Affiliates, at Value

 

Common Stocks

 

Industrials

  $ 10,856       0       0       0       0       (765     0       0       10,091       (765
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Totals

  $     283,852     $     46,546     $     (40,855   $     304     $     (253   $     (28,263   $     33,272     $     (25,424   $     269,179     $     (24,529
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

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 12/31/2018
     Valuation
Technique
   Unobservable
Inputs
   Input Value(s)
(% Unless
Noted
Otherwise)
 

Investments in Securities, at Value

 

Loan Participations and Assignments

  $ 423      Proxy Pricing    Base Price      98.326  
    70,160      Third Party Vendor    Broker Quote      88.000-100.125  

Corporate Bonds & Notes

 

Banking & Finance

    9,498      Proxy Pricing    Base Price      99.500  
    22,485      Reference Instrument    Option Adjusted Spread      625.508 bps  

Industrials

    3,742      Proxy Pricing    Base Price      106.000  
    1,641      Reference Instrument    Yield      11.566  

Municipal Bonds & Notes

 

New Jersey

    6,014      Proxy Pricing    Base Price      93.295  

Non-Agency Mortgage-Backed  Securities

    20,932      Third Party Vendor    Broker Quote      91.250-93.000  

Asset-Backed Securities

    62,632      Proxy Pricing    Base Price      68.000-120,000.000  

Common Stocks

 

Energy

    10,681      Other Valuation Techniques(2)          

Financials

    3,267      Fundamental Valuation    Company Equity Value    GBP  659,300,000.000  

Utilities

    11,421      Indicative Market Quotation    Broker Quote      40.000  

Warrants

 

Industrials

    608      Other Valuation Techniques(2)          

Preferred Securities

 

Industrials

    35,584      Fundamental Valuation    Company Equity Value        $     417,000,000.000  

Investments in Affiliates, at Value

 

Common Stocks

 

Industrials

    10,091      Other Valuation Techniques(2)          
 

 

 

          

Total

  $     269,179           
 

 

 

          

 

(1) 

Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at December 31, 2018 may be due to an investment no longer held or categorized as Level 3 at period end.

(2)

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

 

90   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


Table of Contents

Consolidated Schedule of Investments PIMCO Dynamic Income Fund

 

December 31, 2018 (Unaudited)

 

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

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
INVESTMENTS IN SECURITIES 164.7%

 

LOAN PARTICIPATIONS AND ASSIGNMENTS 6.7%

 

Alphabet Holding Co., Inc.

 

6.022% due 09/26/2024

  $     296     $     269  

Altice France S.A.

 

6.455% due 08/14/2026

      700         660  

Avantor, Inc.

 

6.572% due 11/21/2024

      150         146  

CenturyLink, Inc.

 

5.272% due 01/31/2025

      348         326  

Community Health Systems, Inc.

 

5.957% due 01/27/2021

      3,788         3,639  

Concordia International Corp.

 

7.887% due 09/06/2024

      8,159         7,778  

Diamond Resorts Corp.

 

6.272% due 09/02/2023

      7,642         7,145  

Dubai World

 

1.750% - 2.000% due 09/30/2022

      17,028           15,949  

Envision Healthcare Corp.

 

6.273% due 10/10/2025

      1,300         1,217  

Financial & Risk U.S. Holdings, Inc.

 

4.000% due 10/01/2025

  EUR     2,000         2,255  

6.272% due 10/01/2025

  $     2,600         2,439  

Forest City Enterprises LP

 

6.383% due 12/07/2025 «

      300         293  

FrontDoor, Inc.

 

5.063% due 08/14/2025 «

      70         67  

Frontier Communications Corp.

 

6.280% due 06/15/2024

      2,765         2,568  

Genworth Holdings, Inc.

 

6.955% due 03/07/2023 «

      50         49  

Gray Television, Inc.

 

TBD% due 11/02/2025

      350         339  

iHeartCommunications, Inc.

 

TBD% due 01/30/2019 ^(c)

      6,420         4,293  

TBD% due 07/30/2019 ^(c)

      310         208  

IRB Holding Corp.

 

5.682% - 6.053% due 02/05/2025

      2,453         2,347  

Klockner-Pentaplast of America, Inc.

 

4.750% due 06/30/2022

  EUR     100         97  

McDermott Technology Americas, Inc.

 

7.522% due 05/12/2025

  $     5,162         4,829  

Messer Industrie GmbH

 

TBD% due 10/01/2025

      320         306  

MH Sub LLC

 

6.254% due 09/13/2024

      267         255  

Ministry of Finance of Tanzania

 

7.741% due 12/10/2019 «

      200         197  

Multi Color Corp.

 

4.522% due 10/31/2024 «

      39         37  

NCI Building Systems, Inc.

 

6.175% due 04/12/2025 «

      130         119  

Neiman Marcus Group Ltd. LLC

 

5.630% due 10/25/2020

      12,812         10,922  

Parexel International Corp.

 

5.272% due 09/27/2024

      99         90  

PetSmart, Inc.

 

5.380% due 03/11/2022

      368         292  

Preylock Reitman Santa Cruz Mezz LLC

 

7.887% (LIBOR03M + 5.500%) due 11/09/2022 «~(i)

      5,540         5,526  

Sequa Mezzanine Holdings LLC

 

7.408% due 11/28/2021 «

      80         76  

11.520% due 04/28/2022 «

      25,775         24,744  

Starfruit Finco B.V

 

3.750% due 10/01/2025

  EUR     600         679  

5.599% due 10/01/2025 «

  $     700         658  

Syniverse Holdings, Inc.

 

7.455% due 03/09/2023 «

      89         78  

TerraForm Power Operating LLC

 

4.522% due 11/08/2022 «

      99         96  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Univision Communications, Inc.

 

5.272% due 03/15/2024

  $     500     $     455  

Valeant Pharmaceuticals International, Inc.

 

5.129% due 11/27/2025

      356         337  

Verscend Holding Corp.

 

7.022% due 08/27/2025

      440         427  

West Corp.

 

6.527% due 10/10/2024

      71         65  
       

 

 

 

Total Loan Participations and Assignments (Cost $106,514)

      102,272  
 

 

 

 
CORPORATE BONDS & NOTES 34.5%

 

BANKING & FINANCE 15.2%

 

AGFC Capital Trust

 

4.186% (US0003M + 1.750%) due 01/15/2067 ~(k)

      12,900         5,805  

Ally Financial, Inc.

 

8.000% due 11/01/2031

      17         19  

Ambac Assurance Corp.

 

5.100% due 06/07/2020 (k)

      184         246  

Ambac LSNI LLC

 

7.803% due 02/12/2023 •(k)

      2,083         2,093  

Ardonagh Midco PLC

 

8.375% due 07/15/2023 (k)

  GBP     26,850         29,106  

Athene Holding Ltd.

 

4.125% due 01/12/2028 (k)

  $     126         115  

Avolon Holdings Funding Ltd.

 

5.500% due 01/15/2023 (k)

      418         406  

AXA Equitable Holdings, Inc.

 

4.350% due 04/20/2028 (k)

      318         301  

5.000% due 04/20/2048 (k)

      186         164  

Banco Bilbao Vizcaya Argentaria S.A.

 

6.750% due 02/18/2020 •(g)(h)

  EUR     200         228  

Bank of Ireland

 

7.375% due 06/18/2020 •(g)(h)

      1,200         1,438  

Barclays Bank PLC

 

7.625% due 11/21/2022 (h)(k)

  $     10,100         10,485  

Barclays PLC

 

1.500% due 09/03/2023

  EUR     300         335  

3.250% due 01/17/2033 (k)

  GBP     400         451  

3.684% due 01/10/2023

  $     200         192  

5.875% due 09/15/2024 •(g)(h)

  GBP     400         463  

6.500% due 09/15/2019 •(g)(h)(k)

  EUR     2,300         2,575  

7.250% due 03/15/2023 •(g)(h)(k)

  GBP     3,200         4,085  

7.875% due 09/15/2022 •(g)(h)(k)

      1,400         1,791  

8.000% due 12/15/2020 •(g)(h)(k)

  EUR     2,800         3,407  

BNP Paribas S.A.

 

7.000% due 08/16/2028 •(g)(h)

  $     300         286  

Brookfield Finance, Inc.

 

3.900% due 01/25/2028 (k)

      212         201  

4.700% due 09/20/2047 (k)

      182         168  

Cantor Fitzgerald LP

 

7.875% due 10/15/2019 (k)

      6,540         6,734  

CBL & Associates LP

 

5.950% due 12/15/2026

      58         45  

Cooperatieve Rabobank UA

 

6.625% due 06/29/2021 •(g)(h)

  EUR     200         249  

Credit Suisse Group AG

 

7.250% due 09/12/2025 •(g)(h)(k)

  $     400         378  

7.500% due 07/17/2023 •(g)(h)(k)

      800         782  

Emerald Bay S.A.

 

0.000% due 10/08/2020 (f)

  EUR     63         68  

Equinix, Inc.

 

2.875% due 03/15/2024

      300         344  

2.875% due 10/01/2025

      100         110  

2.875% due 02/01/2026

      300         327  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Fortress Transportation & Infrastructure Investors LLC

 

6.500% due 10/01/2025 (k)

  $     686     $     643  

6.750% due 03/15/2022 (k)

      928         934  

Freedom Mortgage Corp.

 

8.250% due 04/15/2025

      32         28  

GE Capital European Funding Unlimited Co.

 

0.000% due 05/17/2021 •

  EUR     650         710  

0.063% (EUR003M + 0.380%) due 01/21/2020 ~

      100         113  

GE Capital International Funding Co. Unlimited Co.

 

2.342% due 11/15/2020

  $     400         386  

3.373% due 11/15/2025

      600         534  

4.418% due 11/15/2035

      340         287  

GE Capital UK Funding Unlimited Co.

 

4.375% due 07/31/2019

  GBP     28         36  

Growthpoint Properties International Pty. Ltd.

 

5.872% due 05/02/2023

  $     300         301  

High Street Funding Trust

 

4.682% due 02/15/2048 (k)

      100         95  

HSBC Bank PLC

 

6.330% due 05/23/2023

      24,300         24,856  

HSBC Holdings PLC

 

5.875% due 09/28/2026 •(g)(h)

  GBP     1,000         1,222  

6.000% due 09/29/2023 •(g)(h)

  EUR     200         243  

6.500% due 03/23/2028 •(g)(h)(k)

  $     1,220         1,110  

Hunt Cos., Inc.

 

6.250% due 02/15/2026

      60         51  

Intrepid Aviation Group Holdings LLC

 

8.500% due 08/15/2021 (k)

      9,900         9,825  

iStar, Inc.

 

4.625% due 09/15/2020

      32         31  

5.250% due 09/15/2022

      114         107  

Jefferies Finance LLC

 

6.875% due 04/15/2022 (k)

      700         684  

7.250% due 08/15/2024

      200         186  

7.500% due 04/15/2021 (k)

      2,500         2,506  

Kennedy-Wilson, Inc.

 

5.875% due 04/01/2024

      162         152  

Lloyds Banking Group PLC

 

7.000% due 06/27/2019 •(g)(h)

  GBP     200         256  

7.500% due 09/27/2025 •(g)(h)(k)

  $     1,500         1,452  

7.625% due 06/27/2023 •(g)(h)(k)

  GBP     1,700         2,235  

7.875% due 06/27/2029 •(g)(h)(k)

      14,473         19,832  

LoanCore Capital Markets LLC

 

6.875% due 06/01/2020 (k)

  $     3,800         3,802  

Meiji Yasuda Life Insurance Co.

 

5.100% due 04/26/2048 •(k)

      600         594  

MetLife, Inc.

 

5.875% due 03/15/2028 •(g)

      22         21  

Nationstar Mortgage LLC

 

6.500% due 07/01/2021 (k)

      1,932         1,889  

Navient Corp.

 

6.500% due 06/15/2022 (k)

      1,784         1,665  

Newmark Group, Inc.

 

6.125% due 11/15/2023

      192         189  

Oppenheimer Holdings, Inc.

 

6.750% due 07/01/2022 (k)

      1,474         1,467  

Pinnacol Assurance

 

8.625% due 06/25/2034 «(i)

      10,200         9,886  

Preferred Term Securities Ltd.

 

3.168% (US0003M + 0.380%) due 09/23/2035 ~

      379         360  

Provident Funding Associates LP

 

6.375% due 06/15/2025

      58         53  

Royal Bank of Scotland Group PLC

 

2.000% due 03/08/2023 •

  EUR     250         288  

3.875% due 09/12/2023

  $     200         192  

7.500% due 08/10/2020 •(g)(h)(k)

      5,989         5,944  

8.000% due 08/10/2025 •(g)(h)(k)

      4,775         4,775  

8.625% due 08/15/2021 •(g)(h)(k)

      4,520         4,689  

Santander UK Group Holdings PLC

 

6.750% due 06/24/2024 •(g)(h)(k)

  GBP     9,200         11,546  

7.375% due 06/24/2022 •(g)(h)(k)

      1,920         2,463  
 

 

See Accompanying Notes   SEMIANNUAL REPORT   DECEMBER 31, 2018   91


Table of Contents

Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.)

 

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

Societe Generale S.A.

 

6.750% due 04/06/2028 •(g)(h)

  $     400     $     341  

7.375% due 10/04/2023 •(g)(h)(k)

      1,600         1,494  

Springleaf Finance Corp.

 

5.625% due 03/15/2023 (k)

      2,900         2,682  

6.125% due 05/15/2022 (k)

      1,463         1,426  

6.875% due 03/15/2025 (k)

      269         241  

Stichting AK Rabobank Certificaten

 

6.500% due 12/29/2049 (g)

  EUR     440         547  

Tesco Property Finance PLC

 

6.052% due 10/13/2039 (k)

  GBP     3,228         4,753  

Toll Road Investors Partnership LP

 

0.000% due 02/15/2045 (f)

  $     11,877         3,006  

TP ICAP PLC

 

5.250% due 01/26/2024 (k)

  GBP     6,198         7,403  

UniCredit SpA

 

7.830% due 12/04/2023 (k)

  $     12,010         12,577  

Unigel Luxembourg S.A.

 

10.500% due 01/22/2024 (k)

      1,470         1,536  

Unique Pub Finance Co. PLC

 

5.659% due 06/30/2027

  GBP     1,811         2,528  

6.542% due 03/30/2021

      2,391         3,174  

WeWork Cos., Inc.

 

7.875% due 05/01/2025

  $     188         168  
       

 

 

 
            233,911  
       

 

 

 
INDUSTRIALS 15.7%

 

Air Canada Pass-Through Trust

 

3.700% due 07/15/2027

      56         53  

Altice Financing S.A.

 

5.250% due 02/15/2023 (k)

  EUR     10,500         12,162  

6.625% due 02/15/2023 (k)

  $     5,900         5,679  

7.500% due 05/15/2026 (k)

      5,250         4,804  

Altice France S.A.

 

5.875% due 02/01/2027 (k)

  EUR     2,300         2,617  

7.375% due 05/01/2026

  $     300         276  

8.125% due 02/01/2027 (k)

      3,400         3,213  

Altice Luxembourg S.A.

 

7.250% due 05/15/2022 (k)

  EUR     755         808  

Associated Materials LLC

 

9.000% due 01/01/2024 (k)

  $     14,272         13,844  

Baffinland Iron Mines Corp.

 

8.750% due 07/15/2026 (k)

      3,600         3,244  

Buffalo Thunder Development Authority

 

0.000% due 11/15/2029 «(i)

      2,483         2  

11.000% due 12/09/2022 ^(c)

      5,598         2,939  

Charter Communications Operating LLC

 

4.200% due 03/15/2028 (k)

      320         300  

Chesapeake Energy Corp.

 

5.686% (US0003M + 3.250%) due 04/15/2019 ~

      57         57  

Clear Channel Worldwide Holdings, Inc.

 

6.500% due 11/15/2022 (k)

      1,890         1,899  

7.625% due 03/15/2020 (k)

      9,110         8,916  

Cleveland-Cliffs, Inc.

 

4.875% due 01/15/2024

      80         75  

Community Health Systems, Inc.

 

5.125% due 08/01/2021 (k)

      7,205         6,719  

6.250% due 03/31/2023 (k)

      21,665         19,770  

8.625% due 01/15/2024 (k)

      1,638         1,622  

CSN Resources S.A.

 

6.500% due 07/21/2020 (k)

      2,142         2,077  

DAE Funding LLC

 

5.250% due 11/15/2021 (k)

      800         789  

5.750% due 11/15/2023 (k)

      800         794  

Diamond Resorts International, Inc.

 

7.750% due 09/01/2023 (k)

      480         463  

10.750% due 09/01/2024 (k)

      5,500         4,964  

DJO Finance LLC

 

8.125% due 06/15/2021 (k)

      14,100         14,558  

Envision Healthcare Corp.

 

8.750% due 10/15/2026 (k)

      5,765         5,001  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Exela Intermediate LLC

 

10.000% due 07/15/2023 (k)

  $     267     $     256  

First Quantum Minerals Ltd.

 

6.500% due 03/01/2024 (k)

      3,902         3,253  

6.875% due 03/01/2026 (k)

      4,282         3,452  

7.000% due 02/15/2021 (k)

      1,640         1,577  

Fresh Market, Inc.

 

9.750% due 05/01/2023 (k)

      8,520         6,177  

Frontier Finance PLC

 

8.000% due 03/23/2022 (k)

  GBP     10,500         13,036  

Full House Resorts, Inc.

 

8.575% due 01/31/2024 «

  $     792         731  

General Electric Co.

 

2.200% due 01/09/2020

      60         59  

3.100% due 01/09/2023

      150         140  

3.450% due 05/15/2024

      10         9  

5.000% due 01/21/2021 •(g)

      785         601  

5.550% due 05/04/2020 (k)

      196         199  

5.550% due 01/05/2026 (k)

      644         631  

5.875% due 01/14/2038

      46         44  

6.150% due 08/07/2037 (k)

      235         230  

Hilton Domestic Operating Co., Inc.

 

5.125% due 05/01/2026 (k)

      307         295  

iHeartCommunications, Inc.

 

9.000% due 12/15/2019 ^(c)

      11,570         7,810  

9.000% due 03/01/2021 ^(c)

      20,918           14,120  

9.000% due 09/15/2022 ^(c)

      4,046         2,711  

10.625% due 03/15/2023 ^(c)

      8,782         5,928  

11.250% due 03/01/2021 ^(c)

      3,550         2,370  

Indonesia Asahan Aluminium Persero PT

 

5.230% due 11/15/2021 (k)

      400         406  

5.710% due 11/15/2023 (k)

      400         408  

Intelsat Connect Finance S.A.

 

9.500% due 02/15/2023 (k)

      434         375  

Intelsat Jackson Holdings S.A.

 

5.500% due 08/01/2023 (k)

      1,500         1,312  

8.000% due 02/15/2024 (k)

      295         305  

8.500% due 10/15/2024 (k)

      3,377         3,293  

9.750% due 07/15/2025 (k)

      269         271  

Intelsat Luxembourg S.A.

 

7.750% due 06/01/2021 (k)

      15,242         13,946  

8.125% due 06/01/2023 (k)

      8,785         6,852  

Mallinckrodt International Finance S.A.

 

5.500% due 04/15/2025 (k)

      318         221  

Marriott Ownership Resorts, Inc.

 

6.500% due 09/15/2026

      168         163  

Metinvest BV

 

7.750% due 04/23/2023 (k)

      350         320  

8.500% due 04/23/2026 (k)

      2,600         2,350  

Netflix, Inc.

 

4.625% due 05/15/2029 (k)

  EUR     700         789  

Ortho-Clinical Diagnostics, Inc.

 

6.625% due 05/15/2022 (k)

  $     1,147         1,038  

Park Aerospace Holdings Ltd.

 

3.625% due 03/15/2021

      190         183  

4.500% due 03/15/2023 (k)

      380         356  

5.250% due 08/15/2022 (k)

      5,329         5,176  

5.500% due 02/15/2024 (k)

      3,747         3,625  

Pelabuhan Indonesia Persero PT

 

4.500% due 05/02/2023 (k)

      300         295  

Perstorp Holding AB

 

11.000% due 09/30/2021 (k)

      2,000         2,132  

Petroleos Mexicanos

 

6.500% due 03/13/2027 (k)

      430         405  

6.750% due 09/21/2047 (k)

      120         100  

PetSmart, Inc.

 

5.875% due 06/01/2025

      243         177  

Platin GmbH

 

6.875% due 06/15/2023 (k)

  EUR     1,200         1,327  

QVC, Inc.

 

5.950% due 03/15/2043 (k)

  $     2,100         1,892  

Radiate Holdco LLC

 

6.875% due 02/15/2023

      160         146  

Refinitiv U.S. Holdings, Inc.

 

4.500% due 05/15/2026

  EUR     400         448  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

6.250% due 05/15/2026 (k)

  $     281     $     272  

Rockpoint Gas Storage Canada Ltd.

 

7.000% due 03/31/2023

      18         17  

Sands China Ltd.

 

4.600% due 08/08/2023 (k)

      600         598  

5.125% due 08/08/2025 (k)

      600         595  

5.400% due 08/08/2028 (k)

      800         774  

Scientific Games International, Inc.

 

3.375% due 02/15/2026

  EUR     100         107  

Shelf Drilling Holdings Ltd.

 

8.250% due 02/15/2025

  $     45         39  

Starfruit Finco BV

 

6.500% due 10/01/2026

  EUR     100         106  

Sunoco LP

 

4.875% due 01/15/2023

  $     128         125  

Syngenta Finance NV

 

4.441% due 04/24/2023

      200         193  

4.892% due 04/24/2025

      200         189  

5.182% due 04/24/2028 (k)

      300         279  

T-Mobile USA, Inc.

 

4.750% due 02/01/2028

      47         43  

Telenet Finance Luxembourg Notes SARL

 

5.500% due 03/01/2028

      200         182  

Teva Pharmaceutical Finance Netherlands BV

 

3.250% due 04/15/2022 (k)

  EUR     800         926  

Transocean Pontus Ltd.

 

6.125% due 08/01/2025 (k)

  $     402         390  

Triumph Group, Inc.

 

4.875% due 04/01/2021 (k)

      227         205  

5.250% due 06/01/2022

      84         73  

United Group BV

 

4.375% due 07/01/2022

  EUR     200         228  

4.875% due 07/01/2024

      200         226  

Univision Communications, Inc.

 

5.125% due 05/15/2023 (k)

  $     580         522  

5.125% due 02/15/2025 (k)

      511         450  

UPCB Finance Ltd.

 

3.625% due 06/15/2029 (k)

  EUR     430         470  

ViaSat, Inc.

 

5.625% due 09/15/2025 (k)

  $     218         202  

VOC Escrow Ltd.

 

5.000% due 02/15/2028

      131         121  

WellCare Health Plans, Inc.

 

5.375% due 08/15/2026 (k)

      218         211  

Wind Tre SpA

 

2.625% due 01/20/2023 (k)

  EUR     400         415  

2.750% due 01/20/2024 •(k)

      400         411  

3.125% due 01/20/2025

      200         205  

5.000% due 01/20/2026

  $     200         166  

Wyndham Destinations, Inc.

 

3.900% due 03/01/2023

      204         188  

4.250% due 03/01/2022

      6         6  

5.400% due 04/01/2024

      50         48  

5.750% due 04/01/2027 (k)

      2,340         2,156  

Wynn Macau Ltd.

 

4.875% due 10/01/2024 (k)

      300         268  

5.500% due 10/01/2027 (k)

      300         262  
       

 

 

 
            241,253  
       

 

 

 
UTILITIES 3.6%

 

AT&T, Inc.

 

4.900% due 08/15/2037 (k)

      836         783  

Gazprom Neft OAO Via GPN Capital S.A.

 

4.375% due 09/19/2022 (k)

      2,000         1,967  

6.000% due 11/27/2023 (k)

      25,400         26,315  

Odebrecht Drilling Norbe Ltd.

 

6.350% due 12/01/2021 (k)

      1,922         1,856  

Odebrecht Offshore Drilling Finance Ltd.

 

6.720% due 12/01/2022 (k)

      10,334         9,649  

Pacific Gas & Electric Co.

 

2.450% due 08/15/2022 (k)

      144         128  

2.950% due 03/01/2026 (k)

      129         107  

3.250% due 09/15/2021

      24         22  
 

 

92   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


Table of Contents

 

December 31, 2018 (Unaudited)

 

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

3.250% due 06/15/2023

  $     67     $     60  

3.300% due 12/01/2027 (k)

      100         82  

3.500% due 10/01/2020 (k)

      288         276  

3.750% due 02/15/2024

      8         7  

3.750% due 08/15/2042

      58         43  

4.250% due 05/15/2021

      29         28  

4.250% due 08/01/2023

      100         93  

Petrobras Global Finance BV

 

5.999% due 01/27/2028 (k)

      207         195  

6.125% due 01/17/2022 (k)

      292         300  

6.250% due 12/14/2026 (k)

  GBP     1,500         1,981  

6.625% due 01/16/2034 (k)

      700         898  

6.850% due 06/05/2115 (k)

  $     560         502  

7.375% due 01/17/2027 (k)

      1,648         1,697  

Rio Oil Finance Trust

 

8.200% due 04/06/2028 (k)

      330         347  

9.250% due 07/06/2024 (k)

      4,943         5,295  

9.250% due 07/06/2024

      163         174  

9.750% due 01/06/2027 (k)

      2,409         2,647  

Southern California Edison Co.

 

3.650% due 03/01/2028

      21         20  

5.750% due 04/01/2035

      32         35  

6.000% due 01/15/2034

      6         7  

6.650% due 04/01/2029 (k)

      64         71  
       

 

 

 
          55,585  
       

 

 

 

Total Corporate Bonds & Notes
(Cost $548,633)

      530,749  
 

 

 

 
CONVERTIBLE BONDS & NOTES 0.4%

 

INDUSTRIALS 0.4%

 

Caesars Entertainment Corp.

 

5.000% due 10/01/2024

      4,394         5,466  
       

 

 

 

Total Convertible Bonds & Notes
(Cost $8,200)

    5,466  
 

 

 

 
MUNICIPAL BONDS & NOTES 0.5%

 

ILLINOIS 0.1%

 

Chicago, Illinois General Obligation Bonds, Series 2015

 

7.375% due 01/01/2033

      430         474  

7.750% due 01/01/2042

      760         814  

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

 

6.725% due 04/01/2035

      70         75  

7.350% due 07/01/2035

      50         55  

Illinois State General Obligation Bonds, Series 2003

 

5.100% due 06/01/2033

      580         554  
       

 

 

 
          1,972  
       

 

 

 
TEXAS 0.0%

 

Texas Public Finance Authority Revenue Notes, Series 2014

 

8.250% due 07/01/2024

      100         102  
       

 

 

 
WEST VIRGINIA 0.4%

 

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

 

0.000% due 06/01/2047 (f)

        95,900           5,395  
       

 

 

 

Total Municipal Bonds & Notes
(Cost $7,554)

    7,469  
 

 

 

 
U.S. GOVERNMENT AGENCIES 4.3%

 

Fannie Mae

 

3.414% due 07/25/2041 •(a)

      4,459         552  

3.564% due 10/25/2040 •(a)(k)

      6,616         695  

3.844% due 12/25/2037 •(a)

      211         24  

4.014% due 09/25/2037 •(a)(k)

      800         110  

4.144% due 11/25/2036 •(a)

      122         15  

4.214% due 06/25/2037 •(a)

      542         72  

4.474% due 03/25/2038 •(a)

      1,754         298  

4.494% due 02/25/2038 •(a)(k)

      1,137         199  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

4.594% due 06/25/2023 •(a)(k)

  $     1,244     $     90  

6.056% due 07/25/2029 •

      1,830         1,942  

6.736% due 01/25/2041 •(k)

      5,985         6,983  

8.256% due 07/25/2029 •

      2,460         2,840  

Freddie Mac

 

0.000% due 04/25/2045 -
11/25/2050 (b)(f)(k)

      45,968         30,300  

0.100% due 02/25/2046 -
11/25/2050 (a)

      524,284         2,139  

0.200% due 04/25/2045 (a)

      12,268         3  

2.011% due 11/25/2045 ~(a)

      23,213         3,294  

3.955% due 05/15/2037 •(a)

      167         18  

4.015% due 07/15/2036 •(a)

      2,300         347  

4.118% due 04/25/2025 ~

      2,680         2,421  

4.125% due 09/15/2036 •(a)(k)

      834         131  

4.245% due 04/15/2036 •(a)

      1,095         99  

5.325% due 09/15/2036 •(a)(k)

      1,387         269  

7.502% due 09/15/2041 •

      602         750  

7.656% due 10/25/2029 •

      4,500         5,058  

10.737% due 09/15/2034 •

      96         102  

11.506% due 03/25/2029 •

      2,094         2,378  

13.006% due 10/25/2028 •

      498         652  

13.256% due 03/25/2025 •

      3,200         4,216  
       

 

 

 

Total U.S. Government Agencies
(Cost $63,704)

      65,997  
 

 

 

 
NON-AGENCY MORTGAGE-BACKED SECURITIES 64.6%

 

Alba PLC

 

1.166% due 12/15/2038 •

  GBP     8,292         9,372  

American Home Mortgage Assets Trust

 

2.796% due 08/25/2037 ^•(k)

  $     11,171         10,099  

3.046% due 11/25/2035 •

      1,759         1,686  

American Home Mortgage Investment Trust

 

3.106% due 09/25/2045 •(k)

      5,837         5,589  

3.406% due 02/25/2044 •(k)

      9,739         8,155  

Banc of America Alternative Loan Trust

 

2.906% due 05/25/2035 ^•

      692         578  

6.000% due 06/25/2037

      242         221  

6.000% due 06/25/2046

      106         96  

Banc of America Funding Trust

 

0.000% due 06/26/2035 ~(k)

      7,179         7,159  

2.526% due 08/25/2047 ^~

      5,400         4,231  

2.680% due 04/20/2047 ^•(k)

      11,540         10,342  

2.920% due 02/20/2035 •(k)

      4,612         4,503  

3.767% due 03/20/2036 ^~

      1,542         1,332  

4.101% due 01/20/2047 ^~

      201         177  

4.282% due 01/25/2035 ~

      322         318  

6.119% due 07/26/2036 ~

      12,167         5,920  

Banc of America Mortgage Trust

 

4.118% due 01/25/2036 ~

      573         538  

4.747% due 10/20/2046 ^~

      179         117  

Bancaja Fondo de Titulizacion de Activos

 

0.000% due 10/25/2037 •

  EUR     1,835         2,068  

Barclays Commercial Mortgage Securities Trust

 

7.455% due 08/15/2027 •

  $     9,900         9,792  

Bayview Commercial Asset Trust

 

2.936% due 08/25/2034 •

      113         113  

BCAP LLC Trust

 

3.527% due 04/26/2037 ~(k)

      13,135         11,344  

3.753% due 07/26/2045 ~(k)

      7,018         6,301  

4.035% due 02/26/2036 ~

      6,047         4,684  

4.220% due 11/26/2035 ~(k)

      6,365         6,228  

4.226% due 03/26/2035 ~(k)

      5,067         4,942  

4.249% due 06/26/2036 ~

      5,252         4,708  

4.308% due 07/26/2035 ~

      1,253         1,239  

4.752% due 10/26/2035 ~

      4,945         4,770  

5.500% due 12/26/2035 ~(k)

      5,973         4,817  

6.000% due 08/26/2037 ~

      3,136         2,710  

Bear Stearns Adjustable Rate Mortgage Trust

 

3.924% due 06/25/2047 ^~(k)

      3,215         2,951  

Bear Stearns ALT-A Trust

 

2.706% due 02/25/2034 •

      5,814         5,198  

3.957% due 11/25/2035 ^~

      16,490         13,250  

4.135% due 09/25/2035 ^~(k)

      8,999         6,261  

BRAD Resecuritization Trust

 

2.187% due 03/12/2021 «

      21,197         934  

6.550% due 03/12/2021 «

      3,963           3,968  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

CD Commercial Mortgage Trust

 

5.398% due 12/11/2049 ~

  $     63     $     47  

CD Mortgage Trust

 

5.688% due 10/15/2048

      8,942         4,557  

Chase Mortgage Finance Trust

 

3.743% due 01/25/2036 ~

      9,238         8,417  

4.075% due 03/25/2037 ^~(k)

      2,573         2,522  

Citigroup Commercial Mortgage Trust

 

5.592% due 12/10/2049 ~

      408         276  

Citigroup Mortgage Loan Trust

 

4.236% due 02/25/2036 ~

      9,149         8,376  

4.238% due 09/25/2037 ^~

      6,034         5,801  

4.326% due 10/25/2035 ^~

      2,577         2,565  

4.980% due 03/25/2036 ^•

      343         330  

Commercial Mortgage Loan Trust

 

6.050% due 12/10/2049 ~(k)

      8,832         5,423  

Countrywide Alternative Loan Trust

 

0.793% due 12/25/2035 ~(a)

      13,263         481  

1.644% due 12/25/2035 ~(a)

      7,999         457  

2.696% due 09/25/2046 ^•(k)

      11,936         10,734  

2.756% due 06/25/2037 •

      14,561         10,453  

3.045% due 11/25/2035 •(k)

      15,731         15,817  

3.710% due 06/25/2037 ~

      192         160  

4.644% due 07/25/2036 •(a)

      10,992         2,885  

5.500% due 02/25/2020

      36         35  

5.500% due 07/25/2035 ^

      1,468         1,229  

5.500% due 11/25/2035 ^

      675         602  

5.500% due 01/25/2036 ^

      131         130  

5.500% due 04/25/2037 (k)

      2,551         2,026  

5.750% due 01/25/2036

      225         180  

5.750% due 01/25/2037 ^

      8,140         7,064  

5.750% due 04/25/2037 ^(k)

      2,218         2,050  

6.000% due 08/01/2036 ^

      377         318  

6.000% due 11/25/2036 ^

      371         317  

6.000% due 12/25/2036

      206         139  

6.000% due 01/25/2037 ^

      1,672         1,529  

6.000% due 02/25/2037 ^

      1,093         711  

6.000% due 03/25/2037 ^

      13,475         8,890  

6.000% due 04/25/2037 ^

      6,342         4,354  

6.000% due 07/25/2037 ^

      690         672  

6.000% due 09/25/2037

      9,769         6,184  

23.963% due 05/25/2037 ^•

      1,021         1,626  

Countrywide Home Loan Mortgage Pass-Through Trust

 

2.846% due 03/25/2036 •

      1,403         547  

3.106% due 03/25/2035 •

      223         206  

3.846% due 11/20/2035 ~(k)

      12,526         11,580  

3.956% due 06/25/2047 ^~(k)

      4,938         4,674  

4.376% due 03/25/2046 ^•

      9,218         5,963  

5.000% due 11/25/2035 ^

      48         34  

5.500% due 12/25/2034

      121         117  

5.500% due 11/25/2035 ^

      58         50  

6.000% due 07/25/2037 ^

      246         200  

6.000% due 08/25/2037 (k)

      5,664         4,521  

6.000% due 08/25/2037 ^

      3         2  

Credit Suisse Mortgage Capital Certificates

 

2.806% due 02/27/2047 ~(k)

      49,166         31,261  

3.898% due 07/26/2037 ~(k)

      11,871         11,006  

3.963% due 06/25/2036 ~(k)

      9,249         9,005  

4.089% due 04/26/2035 ~(k)

      15,725         15,378  

7.000% due 08/26/2036

      14,706         6,416  

7.000% due 08/27/2036

      3,646         2,084  

Credit Suisse Mortgage Capital Mortgage-Backed Trust

 

5.896% due 04/25/2036 Ø

      7,318         4,859  

Credit Suisse Mortgage Capital Trust

 

6.500% due 07/26/2036 ^(k)

      12,133         6,168  

Debussy DTC PLC

 

5.930% due 07/12/2025

  GBP       21,250           27,058  

8.250% due 07/12/2025

      5,000         6,309  

Deutsche ALT-A Securities, Inc. Mortgage Loan Trust

 

6.000% due 10/25/2021 ^

  $     411         362  

Epic Drummond Ltd.

 

0.000% due 01/25/2022 •

  EUR     329         370  

Eurosail PLC

 

0.000% due 06/13/2045 ~

  GBP     2         2,749  

1.900% (BP0003M + 1.000%) due 06/13/2045 ~

      6,804         8,332  

2.150% (BP0003M + 1.250%) due 06/13/2045 ~

      7,065         8,550  
 

 

See Accompanying Notes   SEMIANNUAL REPORT   DECEMBER 31, 2018   93


Table of Contents

Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.)

 

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

2.650% (BP0003M + 1.750%) due 06/13/2045 ~

  GBP     4,357     $     5,160  

4.400% (BP0003M + 3.500%) due 06/13/2045 ~

      1,558         1,911  

First Horizon Alternative Mortgage Securities Trust

 

4.158% due 08/25/2035 ^~

  $     1,397         249  

4.594% due 11/25/2036 •(a)

      1,154         302  

First Horizon Mortgage Pass-Through Trust

 

5.500% due 08/25/2037 ^

      458         358  

Fondo de Titulizacion de Activos UCI

 

0.000% due 06/16/2049 •

  EUR     1,359         1,468  

GC Pastor Hipotecario FTA

 

0.000% due 06/21/2046 •

      5,628         5,570  

GCCFC Commercial Mortgage Trust

 

5.505% due 03/10/2039 ~

  $     410         199  

GreenPoint Mortgage Funding Trust

 

2.706% due 12/25/2046 ^•(k)

      4,555         4,144  

Grifonas Finance PLC

 

0.014% due 08/28/2039 •

  EUR     10,236         10,372  

GS Mortgage Securities Corp.

 

4.591% due 10/10/2032 ~

  $     10,000         9,085  

4.591% due 10/10/2032 ~(k)

      2,800         2,421  

GSR Mortgage Loan Trust

 

4.592% due 11/25/2035 ~

      201         164  

6.500% due 08/25/2036 ^•

      879         607  

HarborView Mortgage Loan Trust

 

2.710% due 03/19/2036 •(k)

      16,427         15,139  

2.970% due 01/19/2036 •

      8,025         6,326  

3.120% due 06/20/2035 •

      9,461         9,422  

3.370% due 06/20/2035 •

      2,184         2,146  

Hipocat FTA

 

0.000% due 10/24/2039 •

  EUR     5,241         5,809  

0.000% due 01/15/2050 •

      6,566         6,976  

IM Pastor Fondo de Titluzacion Hipotecaria

 

0.000% due 03/22/2043 •

      1,946         1,988  

Impac CMB Trust

 

3.226% due 10/25/2034 •

  $     247         242  

Impac Secured Assets Trust

 

2.616% due 05/25/2037 ^•

      9         7  

IndyMac Mortgage Loan Trust

 

2.706% due 11/25/2046 •

      6,787         6,209  

2.756% due 02/25/2037 •(k)

      4,130         2,887  

2.806% due 07/25/2036 •

      565         459  

3.264% due 03/25/2037 ~

      36         34  

3.736% due 06/25/2037 ^~(k)

      4,526         3,823  

3.936% due 02/25/2035 ~

      375         361  

JPMorgan Alternative Loan Trust

 

2.706% due 06/25/2037 •(k)

      32,288         17,730  

4.052% due 11/25/2036 ^~(k)

      1,232         1,388  

5.960% due 12/25/2036 ^Ø

      8,823         8,129  

JPMorgan Chase Commercial Mortgage Securities Trust

 

2.066% due 06/15/2045 ~(a)(k)

      44,301         1,552  

5.590% due 01/12/2043 ~

      1,282         1,282  

JPMorgan Mortgage Trust

 

3.895% due 06/25/2037 ^~(k)

      4,554         4,476  

4.021% due 10/25/2036 ~

      910         800  

Lavender Trust

 

5.500% due 09/26/2035 ~

      4,584         4,360  

6.000% due 11/26/2036 (k)

      13,286         13,012  

LB-UBS Commercial Mortgage Trust

 

0.182% due 02/15/2040 ~(a)

      9,909         1  

5.769% due 02/15/2040 ~

      1,150         1,148  

Lehman Mortgage Trust

 

5.500% due 11/25/2035 ^

      62         59  

6.000% due 08/25/2036 ^

      1,061         1,006  

6.000% due 09/25/2036 ^

      652         564  

6.500% due 09/25/2037 ^

      4,184         2,556  

7.250% due 09/25/2037 ^(k)

      31,995         13,540  

Lehman XS Trust

 

2.786% due 07/25/2037 •(k)

      21,350         14,733  

3.006% due 07/25/2047 •

      3,246         2,403  

MASTR Adjustable Rate Mortgages Trust

 

2.706% due 05/25/2047 •(k)

      18,223         15,252  

3.186% due 05/25/2047 ^•

      4,316         2,619  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

MASTR Alternative Loan Trust

 

2.856% due 03/25/2036 •

  $     20,552     $     3,788  

2.906% due 03/25/2036 •

      27,165         5,077  

Merrill Lynch Mortgage Investors Trust

 

3.826% due 05/25/2036 ~

      5,780         5,551  

Morgan Stanley Capital Trust

 

6.121% due 06/11/2049 ~

      698         697  

Morgan Stanley Re-REMIC Trust

 

4.093% due 01/26/2035 ~(k)

      8,196         8,089  

4.093% due 02/26/2037 ~(k)

      4,687         4,776  

4.200% due 07/26/2035 ~(k)

      26,634           26,376  

4.471% due 09/26/2035 ~

      3,624         3,693  

6.000% due 04/26/2036 (k)

      7,969         8,608  

Mortgage Equity Conversion Asset Trust

 

4.000% due 07/25/2060 «

      2,244         2,087  

Motel 6 Trust

 

9.382% due 08/15/2019 •(k)

      18,370         18,680  

Natixis Commercial Mortgage Securities Trust

 

4.705% due 11/15/2034 •

      985         988  

5.455% due 11/15/2034 •

      1,280         1,287  

6.455% due 11/15/2034 •

      555         555  

Newgate Funding PLC

 

0.939% due 12/15/2050 •

  EUR     1,819         1,969  

1.106% due 12/15/2050 •

  GBP     1,589         1,838  

1.189% due 12/15/2050 •

  EUR     3,473         3,700  

2.156% due 12/15/2050 •

  GBP     2,745         3,315  

Nomura Resecuritization Trust

 

7.644% due 09/26/2035 ~

  $     3,968         3,791  

NovaStar Mortgage Funding Trust

 

2.696% due 09/25/2046 •

      499         457  

RBSSP Resecuritization Trust

 

4.044% due 07/26/2045 ~(k)

      20,150         20,335  

4.285% due 05/26/2037 ~(k)

      6,444         5,763  

6.000% due 03/26/2036 ^

      6,713         5,460  

Residential Accredit Loans, Inc. Trust

 

2.686% due 07/25/2036 •

      10,446         6,631  

2.696% due 05/25/2037 •(k)

      15,539         14,759  

3.157% due 01/25/2046 ^•

      5,800         5,349  

5.359% due 01/25/2036 ~

      622         552  

6.000% due 08/25/2035 ^

      818         753  

6.000% due 06/25/2036

      326         295  

6.000% due 09/25/2036 ^

      4,930         3,381  

7.000% due 10/25/2037 (k)

      9,765         8,475  

Residential Asset Securitization Trust

 

5.500% due 07/25/2035

      832         703  

6.250% due 08/25/2037 ^

      4,337         1,900  

Residential Funding Mortgage Securities, Inc. Trust

 

5.299% due 08/25/2036 ^~(k)

      1,560         1,355  

5.850% due 11/25/2035 ^

      156         152  

6.000% due 04/25/2037 ^

      1,307         1,208  

Rite Aid Pass-Through Certificates

 

6.784% due 01/02/2021 ~

      8,690         8,972  

RiverView HECM Trust

 

3.120% due 05/25/2047 «•(k)

      7,471         6,817  

Sequoia Mortgage Trust

 

2.840% due 07/20/2036 •

      2,142         1,235  

3.670% due 10/20/2027 •

      967         930  

Structured Adjustable Rate Mortgage Loan Trust

 

3.736% due 02/25/2037 ^~

      12,097         10,325  

3.960% due 04/25/2047 ~(k)

      2,134         1,662  

4.036% due 08/25/2036 ~

      3,305         1,464  

Structured Asset Mortgage Investments Trust

 

2.696% due 07/25/2046 ^•(k)

      15,849         13,135  

2.846% due 03/25/2037 ^•

      885         490  

4.000% due 02/25/2036 ~

      5,034         4,681  

SunTrust Alternative Loan Trust

 

4.644% due 04/25/2036 ^•(a)

      4,845         1,282  

TBW Mortgage-Backed Trust

 

6.500% due 07/25/2036 (k)

      20,560         10,734  

Theatre Hospitals PLC

 

3.813% due 10/15/2031 •

  GBP     5,558         6,627  

3.813% due 10/15/2031 •(k)

      11,279         13,398  

4.563% due 10/15/2031 •

      790         928  

WaMu Mortgage Pass-Through Certificates Trust

 

2.204% due 07/25/2047 ^•

  $     742         613  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

2.678% due 07/25/2047 •(k)

  $     21,081     $     19,204  

2.907% due 06/25/2047 ^•

      4,447         1,838  

2.926% due 06/25/2044 •

      234         229  

3.037% due 10/25/2046 ^•

      448         420  

3.485% due 02/25/2037 ^~

      256         238  

3.570% due 03/25/2037 ^~(k)

      4,025         3,866  

Washington Mutual Mortgage Pass-Through Certificates Trust

 

2.746% due 01/25/2047 ^•(k)

      11,814         10,687  

3.106% due 07/25/2036 ^•

      6,661         4,578  

6.000% due 04/25/2037 ^

      3,370         3,247  

Wells Fargo Alternative Loan Trust

 

4.486% due 07/25/2037 ^~

      3,548         3,310  

5.750% due 07/25/2037 ^(k)

      355         331  

Wells Fargo Mortgage Loan Trust

 

4.209% due 04/27/2036 ~(k)

      15,682         14,717  

Wells Fargo Mortgage-Backed Securities Trust

 

6.000% due 07/25/2036 ^

      149         149  

6.000% due 09/25/2036 ^

      294         278  

6.000% due 04/25/2037 ^

      1,062         1,056  

6.000% due 06/25/2037 ^

      218         215  
       

 

 

 

Total Non-Agency Mortgage-Backed Securities (Cost $840,586)

      992,366  
 

 

 

 
ASSET-BACKED SECURITIES 42.4%

 

ACE Securities Corp. Home Equity Loan Trust

 

3.466% due 08/25/2035 •

      5,939         2,537  

Aegis Asset-Backed Securities Trust Mortgage Pass-Through Certificates

 

4.606% due 09/25/2034 •

      740         725  

Airspeed Ltd.

 

2.725% due 06/15/2032 •

      4,176         4,011  

Asset-Backed Funding Certificates Trust

 

3.556% due 03/25/2034 •

      1,191         1,109  

Bear Stearns Asset-Backed Securities Trust

 

3.056% due 06/25/2036 •(k)

      8,846         8,775  

3.559% due 10/25/2036 ~

      4,533         3,166  

BSPRT Issuer Ltd.

 

6.530% due 06/15/2027

      6,000         6,015  

Citigroup Mortgage Loan Trust

 

2.666% due 12/25/2036 •(k)

      17,443         11,162  

2.726% due 12/25/2036 •

      10,079         5,101  

3.206% due 11/25/2046 •

      2,100         1,582  

4.952% due 03/25/2036 ^Ø

      2,146         1,417  

5.852% due 05/25/2036 ^Ø

      495         281  

Citigroup Mortgage Loan Trust, Inc.

 

2.766% due 03/25/2037 •(k)

      22,665         20,470  

Conseco Finance Corp.

 

7.060% due 02/01/2031 ~

      4,446         4,388  

7.500% due 03/01/2030 ~(k)

      8,046         5,619  

Conseco Finance Securitizations Corp.

 

9.163% due 03/01/2033 ~

      8,516         7,905  

Cork Street CLO Designated Activity Co.

 

0.000% due 11/27/2028 ~

  EUR     2,667         3,074  

3.600% due 11/27/2028

      1,197         1,375  

4.500% due 11/27/2028

      1,047         1,203  

6.200% due 11/27/2028

      1,296         1,489  

Coronado CDO Ltd.

 

4.236% due 09/04/2038 •

  $     11,700         7,693  

6.000% due 09/04/2038

      1,800         1,404  

Countrywide Asset-Backed Certificates

 

2.636% due 12/25/2036 ^•(k)

      13,594         12,516  

2.676% due 06/25/2047 •

      2,822         2,802  

2.706% due 06/25/2037 ^•(k)

      9,172         8,264  

2.706% due 06/25/2047 •(k)

      23,191         20,511  

2.766% due 01/25/2046 ^•

      34,723         17,319  

2.926% due 06/25/2036 ^•(k)

      8,000         7,400  

3.306% due 03/25/2033 •

      13         13  

4.437% due 02/25/2036 ~

      58         59  

4.789% due 07/25/2036 ~

      200         201  

5.505% due 04/25/2036 ~

      107         108  

5.588% due 08/25/2036 ~

      110         110  

Countrywide Asset-Backed Certificates Trust

 

2.746% due 03/25/2047 •

      7,655         6,771  

3.236% due 04/25/2036 •(k)

      21,300         20,848  
 

 

94   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


Table of Contents

 

December 31, 2018 (Unaudited)

 

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

3.856% due 11/25/2035 •

  $     4,064     $     649  

5.859% due 10/25/2046 ^~

      2,637         2,453  

Countrywide Home Equity Loan Trust

 

5.657% due 03/25/2034 ~

      106         108  

Crecera Americas LLC

 

5.563% due 08/31/2020 •

      22,300         22,322  

Credit-Based Asset Servicing & Securitization CBO Corp.

 

2.989% due 09/06/2041 •

      27,723         2,842  

Credit-Based Asset Servicing & Securitization LLC

 

6.250% due 10/25/2036 Ø(k)

      10,800         11,092  

CSAB Mortgage-Backed Trust

 

5.500% due 05/25/2037 ^(k)

      4,143         3,775  

ECAF Ltd.

 

4.947% due 06/15/2040

      2,369         2,447  

EMC Mortgage Loan Trust

 

2.956% due 12/25/2042 •

      7         7  

3.446% due 04/25/2042 •

      2,873         2,841  

5.881% due 04/25/2042 •

      2,813         2,491  

First Franklin Mortgage Loan Trust

 

2.976% due 11/25/2036 •(k)

      5,000         4,404  

3.006% due 12/25/2035 •(k)

      23,487         21,848  

Glacier Funding CDO Ltd.

 

2.852% due 08/04/2035 •

      10,274         2,591  

GMAC Mortgage Corp. Home Equity Loan Trust

 

6.749% due 12/25/2037 Ø

      3,117         3,092  

GSAMP Trust

 

4.381% due 06/25/2034 •

      1,331         1,274  

Hart, Inc.

 

0.010% due 12/15/2022 «

      7,500         6,240  

Hout Bay Corp.

 

2.629% due 07/05/2041 •

      34,782         10,243  

IndyMac Home Equity Mortgage Loan Asset-Backed Trust

 

6.274% due 12/25/2031 ^Ø

      604         217  

JPMorgan Mortgage Acquisition Corp.

 

3.126% due 12/25/2035 •(k)

      16,459         15,832  

KGS-Alpha SBA COOF Trust

 

1.077% due 04/25/2038 «~(a)

      2,234         59  

Lehman XS Trust

 

6.170% due 06/24/2046 Ø

      2,564         2,527  

Long Beach Mortgage Loan Trust

 

2.696% due 02/25/2036 •

      10,474         8,556  

3.026% due 08/25/2045 •(k)

      29,012         28,092  

3.211% due 11/25/2035 •(k)

      16,915         13,376  

3.556% due 02/25/2034 •

      132         131  

3.556% due 06/25/2035 •(k)

      32,300         32,051  

MASTR Asset-Backed Securities Trust

 

2.656% due 03/25/2036 •(k)

      8,451         6,009  

3.076% due 01/25/2036 •

      400         391  

Mid-State Capital Corp. Trust

 

6.742% due 10/15/2040 (k)

      5,493         6,133  

Morgan Stanley ABS Capital, Inc. Trust

 

2.606% due 11/25/2036 •

      1,748         1,192  

2.836% due 02/25/2037 •

      6,085         3,895  

3.541% due 01/25/2035 •

      2,000         876  

Morgan Stanley Home Equity Loan Trust

 

2.736% due 04/25/2037 •

      30,764           20,178  

National Collegiate Commutation Trust

 

0.000% due 03/25/2038 •

      37,800         21,330  

Oakwood Mortgage Investors, Inc.

 

7.840% due 11/15/2029 ~

      3,112         3,300  

8.490% due 10/15/2030 ^

      1,235         442  

Ocean Trails CLO

 

7.718% due 08/13/2025 •

      1,500         1,413  

Option One Mortgage Loan Trust

 

2.866% due 01/25/2036 •(k)

      20,000         17,753  

Popular ABS Mortgage Pass-Through Trust

 

3.756% due 08/25/2035 •(k)

      3,663         3,761  

Residential Asset Mortgage Products Trust

 

3.481% due 04/25/2034 •(k)

      4,765         4,664  

Residential Asset Securities Corp. Trust

 

2.746% due 08/25/2036 •(k)

      11,000         8,421  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Saxon Asset Securities Trust

 

2.956% due 11/25/2037 •(k)

  $     13,000     $     12,363  

SLM Student Loan EDC Repackaging Trust

 

0.000% due 10/28/2029 «(f)

      11         9,957  

SLM Student Loan Trust

 

0.000% due 01/25/2042 «(f)

      9         6,498  

SMB Private Education Loan Trust

 

0.000% due 10/15/2048 «(f)

      3         2,973  

SoFi Professional Loan Program LLC

 

0.000% due 03/25/2036 «(f)

      80         1,044  

0.000% due 01/25/2039 (f)

      9,180         3,477  

0.000% due 05/25/2040 (f)

      9,300         4,812  

0.000% due 07/25/2040 «(f)

      47         2,703  

0.000% due 09/25/2040 (f)

      4,003         2,585  

Soloso CDO Ltd.

 

2.728% due 10/07/2037 •

      4,800         3,996  

Soundview Home Loan Trust

 

2.786% due 06/25/2037 •

      8,562         6,086  

3.006% due 03/25/2036 •(k)

      16,905         16,014  

South Coast Funding Ltd.

 

2.597% due 01/06/2041 •

      155,143         44,164  

Structured Asset Securities Corp.

 

8.506% due 05/25/2032 ^•

      7,363         6,083  

Symphony CLO Ltd.

 

7.036% due 07/14/2026 •(k)

      4,400         4,118  

Tropic CDO Ltd.

 

2.756% due 07/15/2036 •

      4,415         4,016  

3.316% due 07/15/2034 •(k)

      22,500         21,206  
       

 

 

 

Total Asset-Backed Securities
(Cost $603,421)

      650,836  
 

 

 

 
SOVEREIGN ISSUES 2.9%

 

Argentina Government International Bond

 

2.260% due 12/31/2038 Ø(k)

  EUR     13,491         8,624  

3.375% due 01/15/2023

      400         364  

3.875% due 01/15/2022 (k)

      3,000         2,908  

5.250% due 01/15/2028

      300         248  

6.250% due 11/09/2047

      200         165  

7.820% due 12/31/2033

      405         386  

7.820% due 12/31/2033 (k)

      13,197         12,841  

41.328% (BADLARPP) due 10/04/2022 ~

  ARS     138         6  

48.797% (BADLARPP + 3.250%) due 03/01/2020 ~

      2,300         61  

50.225% (BADLARPP + 2.000%) due 04/03/2022 ~(a)

      146,454         3,750  

50.950% (BADLARPP + 2.500%) due 03/11/2019 ~(a)

      6,625         176  

59.257% due 06/21/2020 ~(a)

      371,732         10,633  

Autonomous Community of Catalonia

 

4.900% due 09/15/2021

  EUR     50         62  

4.950% due 02/11/2020

      50         60  

Kazakhstan Government International Bond

 

1.550% due 11/09/2023

      300         346  

2.375% due 11/09/2028

      510         580  

Peru Government International Bond

 

5.940% due 02/12/2029

  PEN     5,291         1,602  

6.350% due 08/12/2028

      6,600         2,059  

Venezuela Government International Bond

 

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

  $     590         136  

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

      136         32  

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

      734         174  
       

 

 

 

Total Sovereign Issues (Cost $67,832)

    45,213  
 

 

 

 
        SHARES            
COMMON STOCKS 1.1%

 

CONSUMER DISCRETIONARY 0.5%

 

Caesars Entertainment Corp. (d)

      1,283,486         8,715  

Desarrolladora Homex S.A.B. de C.V. (d)

      719,113         5  

Urbi Desarrollos Urbanos S.A.B. de C.V. (d)

      95,515         12  
       

 

 

 
          8,732  
       

 

 

 
        SHARES         MARKET
VALUE
(000S)
 
ENERGY 0.2%

 

Dommo Energia S.A. «(d)(i)

      14,555,779     $     2,794  

Dommo Energia S.A. SP -
ADR «(d)

      2,627         67  
       

 

 

 
          2,861  
       

 

 

 
FINANCIALS 0.1%

 

Ardonagh Group Ltd. «(i)

      662,196         816  
       

 

 

 
UTILITIES 0.3%

 

Eneva S.A. (d)(i)

      10,054         42  

TexGen Power LLC «

      130,864         5,234  
       

 

 

 
          5,276  
       

 

 

 

Total Common Stocks (Cost $30,677)

    17,685  
 

 

 

 
PREFERRED SECURITIES 1.3%

 

BANKING & FINANCE 1.3%

 

Nationwide Building Society

 

10.250% ~

      115,107         20,503  
       

 

 

 

Total Preferred Securities (Cost $23,834)

    20,503  
 

 

 

 
REAL ESTATE INVESTMENT TRUSTS 0.7%

 

REAL ESTATE 0.7%

 

VICI Properties, Inc.

      594,589         11,166  
       

 

 

 

Total Real Estate Investment Trusts
(Cost $7,461)

    11,166  
 

 

 

 
SHORT-TERM INSTRUMENTS 5.3%

 

REPURCHASE AGREEMENTS (j) 3.9%

 

          59,388  
       

 

 

 
        PRINCIPAL
AMOUNT
(000S)
           
ARGENTINA TREASURY BILLS 0.3%

 

(1.412)% due 01/31/2019 -
06/28/2019 (e)(f)

  ARS     185,976         5,322  
       

 

 

 
U.S. TREASURY BILLS 1.1%

 

2.348% due 01/03/2019 -
03/14/2019 (e)(f)(k)(m)(o)

  $     17,105         17,067  
       

 

 

 
Total Short-Term Instruments
(Cost $81,680)
    81,777  
 

 

 

 
       
Total Investments in Securities
(Cost $2,390,096)
    2,531,499  
 
Total Investments 164.7%
(Cost $2,390,096)

 

  $       2,531,499  

Financial Derivative
Instruments (l)(n) (0.8)%

(Cost or Premiums, net $(35,120))

    (12,714
Other Assets and Liabilities, net (63.9)%     (982,074
 

 

 

 
Net Assets 100.0%

 

  $     1,536,711  
   

 

 

 
 

 

See Accompanying Notes   SEMIANNUAL REPORT   DECEMBER 31, 2018   95


Table of Contents

Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.)

 

 

NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:

 

*

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

^

Security is in default.

«

Security valued using significant unobservable inputs (Level 3).

~

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.

Ø

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)

Interest only security.

(b)

Principal only security.

(c)

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

(d)

Security did not produce income within the last twelve months.

(e)

Coupon represents a weighted average yield to maturity.

(f)

Zero coupon security.

(g)

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

(h)

Contingent convertible security.

 

(i)  RESTRICTED SECURITIES:

 

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

Ardonagh Group Ltd.

     04/02/2015     $ 982     $ 816       0.05

Buffalo Thunder Development Authority 0.000% due 11/15/2029

     12/08/2014       1       2       0.00  

Dommo Energia S.A.

     12/21/2017 - 12/26/2017       380       2,794       0.18  

Eneva S.A.

     12/21/2017       43       42       0.00  

Pinnacol Assurance 8.625% due 06/25/2034

     06/23/2014       10,200       9,886       0.65  

Preylock Reitman Santa Cruz Mezz LLC 7.887% due 11/09/2022

     04/09/2018       5,540       5,526       0.36  
    

 

 

   

 

 

   

 

 

 
  $     17,146     $     19,066       1.24
 

 

 

   

 

 

   

 

 

 

 

BORROWINGS AND OTHER FINANCING TRANSACTIONS

 

(j)  REPURCHASE AGREEMENTS:

 

Counterparty   Lending
Rate
    Settlement
Date
    Maturity
Date
    Principal
Amount
    Collateralized By   Collateral
(Received)
    Repurchase
Agreements,
at Value
    Repurchase
Agreement
Proceeds
to be
Received(1)
 
FICC     2.000     12/31/2018       01/02/2019     $ 6,388     U.S. Treasury Notes 2.875% due 09/30/2023   $ (6,518   $ 6,388     $ 6,388  
AZD     3.200       12/31/2018       01/02/2019           53,000     U.S. Treasury Bonds 2.750% due 11/15/2042     (54,143     53,000       53,010  
           

 

 

   

 

 

   

 

 

 

Total Repurchase Agreements

 

    $     (60,661   $     59,388     $     59,398  
   

 

 

   

 

 

   

 

 

 

 

REVERSE REPURCHASE AGREEMENTS:

 

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

BPS

    1.150     11/29/2018       01/29/2019       GBP       (1,607    $ (2,051
    1.200       11/15/2018       01/08/2019         (2,022      (2,581
    1.200       12/05/2018       01/07/2019         (628      (801
    3.050       12/11/2018       03/11/2019       $       (1,015      (1,017
    3.360       11/29/2018       03/01/2019         (602      (604
    3.400       12/19/2018       03/19/2019         (8,434      (8,445
    3.425       10/11/2018       01/11/2019         (2,378      (2,397
    3.751       12/04/2018       03/05/2019         (64,020          (64,213
    3.792       12/19/2018       03/19/2019         (15,441      (15,464
    4.029       12/14/2018       TBD (3)         (24,480      (24,532

BRC

    2.600       12/24/2018       TBD (3)         (4,464      (4,467
    2.850       12/03/2018       01/03/2019         (2,391      (2,397
    3.025       10/11/2018       01/11/2019         (2,471      (2,488
    3.200       12/24/2018       TBD (3)         (25,594      (25,614
    3.430       12/14/2018       03/14/2019         (4,154      (4,162

 

96   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


Table of Contents

 

December 31, 2018 (Unaudited)

 

Counterparty   Borrowing
Rate(2)
    Settlement
Date
    Maturity
Date
    Amount
Borrowed(2)
     Payable for
Reverse
Repurchase
Agreements
 
    3.508     10/25/2018       01/25/2019       $       (10,642    $ (10,714
    3.646       11/20/2018       02/20/2019         (9,116      (9,155
    3.792       12/21/2018       03/21/2019         (12,086      (12,101
    3.799       01/17/2018       01/17/2019         (2,769      (2,792
    4.408       04/13/2018       07/05/2019         (1,792      (1,812
    4.822       06/27/2017       TBD (3)         (27,448          (27,470
    4.822       01/05/2018       06/27/2019         (4,046      (4,049

FOB

    2.900       12/06/2018       01/07/2019         (11,484      (11,509

JML

    (2.000     11/15/2018       02/13/2019       EUR       (703      (803
    (0.320     11/15/2018       02/13/2019         (9,244      (10,587
    (0.300     11/15/2018       02/13/2019         (911      (1,043
    (0.200     11/21/2018       01/22/2019         (1,023      (1,172
    (0.150     11/09/2018       01/09/2019         (2,028      (2,323
    0.900       11/15/2018       02/13/2019       GBP       (4,101      (5,233
    0.900       12/28/2018       03/05/2019         (10,938      (13,943
    0.950       11/26/2018       01/22/2019         (7,458      (9,515
    0.950       12/05/2018       03/05/2019         (21,936      (27,980
    1.050       11/15/2018       02/18/2019         (3,317      (4,234

JPS

    3.325       10/11/2018       01/11/2019       $       (15,987      (16,110

MSB

    3.891       05/01/2018       05/01/2019         (39,908      (40,162
    3.982       02/05/2018       02/05/2019         (13,316      (13,393
    3.991       08/27/2018       08/27/2019         (42,263      (42,416
    4.006       08/29/2018       08/29/2019         (65,890      (66,115

NOM

    3.230       11/13/2018       02/13/2019         (2,804      (2,817
    3.250       11/19/2018       02/19/2019         (2,855      (2,866
    3.250       11/26/2018       02/26/2019         (855      (858
    3.290       11/14/2018       02/14/2019         (17,931      (18,011
    3.290       12/18/2018       02/14/2019         (3,255      (3,264
    4.607       08/04/2017       TBD (3)         (21,953      (22,105

RBC

    3.640       10/12/2018       04/12/2019         (17,173      (17,315
    4.005       11/15/2018       05/15/2019         (3,303      (3,321

RCE

    1.700       09/18/2018       01/18/2019       GBP       (3,264      (4,181

RCY

    3.400       12/17/2018       03/18/2019       $       (5,398      (5,406
    3.400       12/19/2018       03/19/2019         (500      (501

RDR

    2.650       12/10/2018       01/10/2019         (6,469      (6,480
    3.050       12/19/2018       03/19/2019         (911      (912

RTA

    3.260       10/25/2018       04/25/2019         (4,032      (4,057
    3.519       07/16/2018       01/16/2019         (4,397      (4,470
    3.642       09/24/2018       03/25/2019         (4,107      (4,149
    3.653       11/21/2018       02/21/2019         (12,509      (12,562
    3.813       12/27/2018       03/27/2019         (18,746      (18,758
    3.842       11/07/2018       05/07/2019         (21,955      (22,086
    3.855       11/14/2018       05/14/2019         (26,202      (26,339
    4.227       10/31/2017       TBD (3)         (1,710      (1,722

SBI

    3.387       10/24/2018       01/24/2019         (1,781      (1,793
    3.666       11/14/2018       02/14/2019         (21,539      (21,646

SOG

    (0.050     11/26/2018       01/28/2019       EUR       (20,160      (23,099
    2.960       10/04/2018       01/04/2019       $       (11,241      (11,324
    3.020       10/25/2018       01/25/2019         (24,320      (24,461
    3.070       12/06/2018       03/06/2019         (3,662      (3,670
    3.250       11/15/2018       02/15/2019         (4,492      (4,511
    3.250       11/19/2018       02/19/2019         (6,626      (6,652
    3.250       12/04/2018       03/05/2019         (8,463      (8,485
    3.250       12/19/2018       02/15/2019         (255      (256
    3.250       12/21/2018       02/19/2019         (180      (180
    3.270       12/07/2018       03/07/2019         (5,315      (5,328
    3.290       12/14/2018       03/14/2019         (1,071      (1,073
    3.541       11/08/2018       02/08/2019         (21,101      (21,215
    3.566       11/14/2018       02/14/2019         (31,580      (31,733
    3.568       11/13/2018       02/13/2019         (9,217      (9,263
    3.595       11/16/2018       02/19/2019         (7,436      (7,471
    3.828       09/14/2018       03/14/2019         (12,985      (13,008

UBS

    (0.250     11/15/2018       02/15/2019       EUR       (312      (358
    (0.250     11/21/2018       01/21/2019         (680      (779
    (0.250     11/21/2018       01/22/2019         (361      (414
    (0.250     11/29/2018       01/08/2019         (4,222      (4,837
    1.000       11/12/2018       01/14/2019       GBP       (1,401      (1,788
    1.200       12/03/2018       02/04/2019         (2,302      (2,937
    1.558       10/26/2018       01/28/2019         (8,357      (10,682
    2.860       10/04/2018       01/04/2019       $       (2,723      (2,742

 

See Accompanying Notes   SEMIANNUAL REPORT   DECEMBER 31, 2018   97


Table of Contents

Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.)

 

Counterparty   Borrowing
Rate(2)
    Settlement
Date
    Maturity
Date
    Amount
Borrowed(2)
     Payable for
Reverse
Repurchase
Agreements
 
    2.860     12/17/2018       01/04/2019     $         (1,293    $ (1,295
    2.880       10/11/2018       01/11/2019         (1,482      (1,492
    2.910       10/04/2018       01/04/2019         (1,473      (1,484
    3.010       12/31/2018       01/25/2019         (94      (94
    3.030       12/13/2018       03/13/2019         (757      (758
    3.060       10/25/2018       01/25/2019         (3,154      (3,173
    3.120       11/14/2018       02/14/2019         (4,098      (4,115
    3.150       11/21/2018       02/21/2019         (14,272      (14,324
    3.160       11/02/2018       02/04/2019         (10,283      (10,338
    3.200       11/20/2018       02/20/2019         (3,036      (3,048
    3.200       11/21/2018       02/21/2019         (334      (335
    3.250       11/21/2018       02/21/2019         (1,284      (1,289
    3.280       12/12/2018       03/12/2019         (33,223      (33,287
    3.280       12/13/2018       03/13/2019         (465      (466
    3.290       12/03/2018       03/04/2019         (4,958      (4,972
    3.300       12/19/2018       03/19/2019         (20,585      (20,611
    3.330       12/12/2018       03/12/2019         (1,439      (1,442
    3.350       12/19/2018       03/19/2019         (4,823      (4,829
    3.460       10/25/2018       01/25/2019         (1,424      (1,433
            

 

 

 

Total Reverse Repurchase Agreements

 

         $     (1,006,534
            

 

 

 

 

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, 2018:

 

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

Global/Master Repurchase Agreement

 

AZD

  $ 53,010     $ 0     $ 0      $ 53,010     $ (54,143   $ (1,133

BPS

    0       (122,105     0            (122,105     151,368       29,263  

BRC

    0       (107,221     0        (107,221     135,786       28,565  

FICC

    6,388       0       0        6,388       (6,518     (130

FOB

    0       (11,509     0        (11,509     12,307       798  

JML

    0       (76,833     0        (76,833     88,566       11,733  

JPS

    0       (16,110     0        (16,110     21,206       5,096  

MSB

    0       (162,086     0        (162,086     228,829       66,743  

NOM

    0       (49,921     0        (49,921     60,332       10,411  

RBC

    0       (20,636     0        (20,636     29,151       8,515  

RCE

    0       (4,181     0        (4,181     4,753       572  

RCY

    0       (5,907     0        (5,907     7,678       1,771  

RDR

    0       (7,392     0        (7,392     7,683       291  

RTA

    0       (94,143     0        (94,143         124,748           30,605  

SBI

    0       (23,439     0        (23,439     27,652       4,213  

SOG

    0       (171,729     0        (171,729     199,720       27,991  

UBS

    0       (133,322     0        (133,322     151,043       17,721  
 

 

 

   

 

 

   

 

 

        

Total Borrowings and Other Financing Transactions

  $     59,398     $     (1,006,534   $     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     $ (99,381   $ (239,439   $ (34,138   $ (372,958

U.S. Government Agencies

    0       0       (6,511     (17,315     (23,826

Non-Agency Mortgage-Backed Securities

    0       (34,281     (109,322     (226,806     (370,409

Asset-Backed Securities

    0       (16,110     (144,809     (55,323     (216,242

Sovereign Issues

    0       (23,099     0       0       (23,099
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Borrowings

  $     0     $     (172,871   $     (500,081   $     (333,582   $     (1,006,534
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Payable for reverse repurchase agreements

 

  $ (1,006,534
 

 

 

 

 

98   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


Table of Contents

 

December 31, 2018 (Unaudited)

 

 

(k)

Securities with an aggregate market value of $1,249,895 and cash of $1,198 have been pledged as collateral under the terms of the above master agreements as of December 31, 2018.

 

(1)

Includes accrued interest.

(2)

The average amount of borrowings outstanding during the period ended December 31, 2018 was $(954,842) at a weighted average interest rate of 3.088%. Average borrowings may include sale-buyback transactions and reverse repurchase agreements, if held during the period.

(3)

Open maturity reverse repurchase agreement.

(4)

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

 

(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, 2018(2)

   

Notional
Amount(3)

   

Premiums
Paid/(Received)

   

Unrealized
Appreciation/
(Depreciation)

   

Market
Value(4)

    Variation Margin  
  Asset     Liability  

Frontier Communications Corp.

    5.000   Quarterly     06/20/2020       19.721   $     14,700     $ (505   $ (1,998   $ (2,503   $ 0     $ (21

Frontier Communications Corp.

    5.000     Quarterly     06/20/2022       22.668       1,200       (162     (249     (411     0       (5

General Electric Co.

    1.000     Quarterly     12/20/2020       1.653       700       (18     10       (8     0       0  

General Electric Co.

    1.000     Quarterly     12/20/2023       2.039       2,700       (148     26       (122     1       0  
           

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
          $     (833   $     (2,211   $     (3,044   $     1     $     (26
         

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

INTEREST RATE SWAPS

 

Pay/Receive
Floating Rate

 

Floating Rate Index

 

Fixed Rate

   

Payment
Frequency

 

Maturity
Date

   

Notional
Amount

   

Premiums
Paid/(Received)

   

Unrealized
Appreciation/
(Depreciation)

   

Market
Value

    Variation Margin  
  Asset     Liability  

Pay

 

3-Month USD-LIBOR

    2.750   Semi-Annual     12/19/2023       $       262,100     $ (2,249   $ 4,281     $ 2,032     $ 511     $ 0  

Pay

 

3-Month USD-LIBOR

    1.750     Semi-Annual     12/21/2023         177,200       3,327       (10,273     (6,946     332       0  

Pay

 

3-Month USD-LIBOR

    1.750     Semi-Annual     12/21/2026         303,000       7,433       (27,512     (20,079     979       0  

Pay

 

3-Month USD-LIBOR

    2.500     Semi-Annual     12/20/2027         91,250       1,072       (2,509     (1,437     332       0  

Pay

 

3-Month USD-LIBOR

    3.000     Semi-Annual     12/19/2028         132,600       (138     3,330       3,192       514       0  

Receive

 

3-Month USD-LIBOR

    2.500     Semi-Annual     06/15/2036         19,800       (1,952     2,919       967       0       (96

Receive

 

3-Month USD-LIBOR

    2.750     Semi-Annual     03/20/2043         76,400       (255     1,282       1,027       0       (436

Receive

 

3-Month USD-LIBOR

    3.750     Semi-Annual     06/18/2044         12,200       (2,516     492       (2,024     0       (80

Receive

 

3-Month USD-LIBOR

    3.500     Semi-Annual     12/17/2044         44,200       (6,956     1,621       (5,335     0       (283

Receive

 

3-Month USD-LIBOR

    3.250     Semi-Annual     06/17/2045         45,600       (3,730     346       (3,384     0       (283

Receive

 

3-Month USD-LIBOR

    2.750     Semi-Annual     12/16/2045         3,800       (52     128       76       0       (22

Receive

 

3-Month USD-LIBOR

    2.500     Semi-Annual     06/20/2048         3,100       288       (55     233       0       (17

Receive

 

3-Month USD-LIBOR

    3.000     Semi-Annual     12/19/2048         138,300       2,392       (6,342     (3,950     0       (824

Receive(5)

 

6-Month EUR-EURIBOR

    1.000     Annual     03/20/2029       EUR       20,400       84       (426     (342     0       (30

Receive(5)

 

6-Month EUR-EURIBOR

    1.000     Annual     06/19/2029         1,200       (3     (10     (13     0       (2

Receive(5)

 

6-Month GBP-LIBOR

    1.500     Semi-Annual     03/20/2029       GBP       52,170       897       (1,248     (351     0       (250

Receive(5)

 

6-Month GBP-LIBOR

    1.750     Semi-Annual     03/20/2049         2,600       (16     (155     (171     0       (29
             

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
    $ (2,374   $ (34,131   $ (36,505   $ 2,668     $ (2,352
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Swap Agreements

 

  $     (3,207   $     (36,342   $     (39,549   $     2,669     $     (2,378
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

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, 2018:

 

    Financial Derivative Assets           Financial Derivative Liabilities  
    Market Value     Variation Margin
Asset
   

Total

          Market Value     Variation Margin
Liability
   

Total

 
     Purchased
Options
    Futures     Swap
Agreements
          Written
Options
    Futures     Swap
Agreements
 

Total Exchange-Traded or Centrally Cleared

  $     0     $     0     $     2,669     $     2,669       $     0     $     0     $     (2,378)     $     (2,378)  
 

 

 

   

 

 

   

 

 

   

 

 

     

 

 

   

 

 

   

 

 

   

 

 

 

 

(m)

Securities with an aggregate market value of $3,041 and cash of $26,960 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2018.

 

(1)

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

 

See Accompanying Notes   SEMIANNUAL REPORT   DECEMBER 31, 2018   99


Table of Contents

Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.)

 

(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 referenced indices’ credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

(5)

This instrument has a forward starting effective date. See Note 2, Securities Transactions and Investment Income, in the Notes to Financial Statements for further information.

 

(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

     01/2019     EUR     56,932     $     64,997     $ 0     $ (276
     01/2019     $     202     ARS     8,207       12       0  

BPS

     01/2019     ARS     9,711     $     250       0       (8
     01/2019     BRL     6,028         1,556       0       0  
     01/2019     $     1,427     ARS     56,669       60       0  
     01/2019         1,552     BRL     6,028       3       0  
     02/2019     PEN     7,631     $     2,250       0       (11
     03/2019     $     230     ARS     9,711       6       0  

CBK

     01/2019     BRL     24,736     $     6,336       0       (47
     01/2019     GBP     1,220         1,562       7       0  
     01/2019     $     2,014     ARS     79,806       76       0  
     01/2019         6,384     BRL     24,736       0       (2
     01/2019         6,176     GBP     4,824       0       (25

DUB

     01/2019     BRL     18,708     $     4,828       1       0  
     01/2019     $     4,839     BRL     18,708       0       (12
     02/2019     BRL     18,708     $     4,830       12       0  

FBF

     01/2019     $     3,982     RUB     269,510       0       (125
     02/2019     ARS     193,018     $     4,574       0       (240

GLM

     01/2019     EUR     659         754       0       (1
     01/2019     GBP     118,507         151,530       431       (10
     01/2019     $     5,227     GBP     4,112       17       0  

HUS

     01/2019     EUR     386     $     439       0       (3
     01/2019     $     485     ARS     19,353       9       0  
     01/2019         15,282     MXN     307,220       300       0  
     02/2019         102     ARS     4,222       2       0  
     04/2019     ARS     2,427     $     57       0       0  

JPM

     01/2019     EUR     468         534       0       (3
     01/2019     GBP     2,000         2,555       4       0  
     01/2019     $     150     ARS     5,689       0       (1
     01/2019         1,345     EUR     1,172       0       (1
     01/2019         1,990     GBP     1,585       31       0  

SOG

     02/2019         12,439     RUB     829,268       0       (597
            

 

 

   

 

 

 

Total Forward Foreign Currency Contracts

 

  $     971     $     (1,362
 

 

 

   

 

 

 

 

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, 2018(2)
    Notional
Amount(3)
    Premiums
Paid/(Received)
    Unrealized
Appreciation/
(Depreciation)
    Swap Agreements,
at  Value(4)
 
  Asset      Liability  
BPS  

Petrobras Global Finance BV

    1.000     Quarterly       06/20/2021       1.795   $         4,600     $ (1,243   $ 1,158     $ 0      $ (85
 

Petrobras Global Finance BV

    1.000       Quarterly       12/20/2021       1.967         100       (16     13       0        (3
BRC  

Petrobras Global Finance BV

    1.000       Quarterly       06/20/2021       1.795         800       (218     203       0        (15
GST  

Petrobras Global Finance BV

    1.000       Quarterly       06/20/2021       1.795         3,931       (1,070     998       0        (72
 

Petrobras Global Finance BV

    1.000       Quarterly       12/20/2021       1.967         500       (78     65       0        (13
HUS  

Petrobras Global Finance BV

    1.000       Quarterly       09/20/2020       1.479         240       (34     32       0        (2
 

Petrobras Global Finance BV

    1.000       Quarterly       06/20/2021       1.795         7,200       (1,968     1,836       0        (132
               

 

 

   

 

 

   

 

 

    

 

 

 
              $     (4,627   $     4,305     $     0      $     (322
             

 

 

   

 

 

   

 

 

    

 

 

 

 

100   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


Table of Contents

 

December 31, 2018 (Unaudited)

 

 

CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION(1)

 

Counterparty   Index/Tranches   Fixed
Receive Rate
    Payment
Frequency
    Maturity
Date
    Notional
Amount(3)
    Premiums
Paid/(Received)
    Unrealized
Appreciation/
(Depreciation)
    Swap Agreements,
at  Value(4)
 
  Asset     Liability  
DUB  

CMBX.NA.BBB-.6 Index

    3.000     Monthly       05/11/2063     $         2,700     $ (178   $ (256   $ 0     $ (434
 

CMBX.NA.BBB-.9 Index

    3.000       Monthly       09/17/2058         3,500       (439     16       0       (423
FBF  

ABX.HE.AA.6-2 Index

    0.170       Monthly       05/25/2046         26,855       (23,868     16,353       0       (7,515
 

CMBX.NA.BBB-.10 Index

    3.000       Monthly       11/17/2059         100       (11     0       0       (11
 

CMBX.NA.BBB-.6 Index

    3.000       Monthly       05/11/2063         400       (48     (16     0       (64
 

CMBX.NA.BBB-.7 Index

    3.000       Monthly       01/17/2047         600       (55     4       0       (51
 

CMBX.NA.BBB-.8 Index

    3.000       Monthly       10/17/2057         1,500       (234     62       0       (172
GST  

CMBX.NA.A.6 Index

    2.000       Monthly       05/11/2063         5,400       (275     42       0       (233
 

CMBX.NA.BB.6 Index

    5.000       Monthly       05/11/2063         2,200       (294     (322     0       (616
 

CMBX.NA.BBB-.6 Index

    3.000       Monthly       05/11/2063         6,600       (361     (699     0       (1,060
 

CMBX.NA.BBB-.9 Index

    3.000       Monthly       09/17/2058         6,700       (839     30       0       (809
MYC  

CMBX.NA.BBB-.10 Index

    3.000       Monthly       11/17/2059         700       (85     5       0       (80
 

CMBX.NA.BBB-.6 Index

    3.000       Monthly       05/11/2063         2,200       (117     (236     0       (353
 

CMBX.NA.BBB-.9 Index

    3.000       Monthly       09/17/2058         3,900       (482     11       0       (471
             

 

 

   

 

 

   

 

 

   

 

 

 
            $ (27,286   $ 14,994     $ 0     $ (12,292
           

 

 

   

 

 

   

 

 

   

 

 

 

Total Swap Agreements

    $     (31,913   $     19,299     $     0     $     (12,614
 

 

 

   

 

 

   

 

 

   

 

 

 

 

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, 2018:

 

    Financial Derivative Assets           Financial Derivative Liabilities                    
Counterparty   Forward
Foreign
Currency
Contracts
     Purchased
Options
     Swap
Agreements
     Total
Over the
Counter
           Forward
Foreign
Currency
Contracts
    Written
Options
     Swap
Agreements
    Total
Over the
Counter
    Net Market
Value of OTC
Derivatives
    Collateral
Pledged/
(Received)
    Net
Exposure(5)
 

BOA

  $ 12      $ 0      $ 0      $ 12       $ (276   $ 0      $ 0     $ (276   $ (264   $ 0     $ (264

BPS

    69        0        0        69         (19     0        (88     (107     (38     0       (38

BRC

    0        0        0        0         0       0        (15     (15     (15     0       (15

CBK

    83        0        0        83         (74     0        0       (74     9       0       9  

DUB

    13        0        0        13         (12     0        (857     (869     (856     573       (283

FBF

    0        0        0        0         (365     0        (7,813     (8,178     (8,178     8,177       (1

GLM

    448        0        0        448         (11     0        0       (11     437           (1,050         (613

GST

    0        0        0        0         0       0        (2,803     (2,803         (2,803     2,688       (115

HUS

    311        0        0        311         (3     0        (134     (137     174       0       174  

JPM

    35        0        0        35         (5     0        0       (5     30       0       30  

MYC

    0        0        0        0         0       0        (904     (904     (904     719       (185

SOG

    0        0        0        0         (597     0        0       (597     (597     408       (189
 

 

 

    

 

 

    

 

 

    

 

 

     

 

 

   

 

 

    

 

 

   

 

 

       

Total Over the Counter

  $     971      $     0      $     0      $     971       $     (1,362   $     0      $     (12,614   $     (13,976      
 

 

 

    

 

 

    

 

 

    

 

 

     

 

 

   

 

 

    

 

 

   

 

 

       

 

(o)

Securities with an aggregate market value of $12,826 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2018.

 

(1)

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

(2)

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

(5)

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

 

See Accompanying Notes   SEMIANNUAL REPORT   DECEMBER 31, 2018   101


Table of Contents

Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.)

 

 

FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS

 

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

 

Fair Values of Financial Derivative Instruments on the Consolidated Statements of Assets and Liabilities as of December 31, 2018:

 

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

Financial Derivative Instruments - Assets

 

Exchange-traded or centrally cleared

 

Swap Agreements

  $ 0     $ 1     $ 0     $ 0     $ 2,668     $ 2,669  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Over the counter

 

Forward Foreign Currency Contracts

  $ 0     $ 0     $ 0     $ 971     $ 0     $ 971  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 1     $ 0     $ 971     $ 2,668     $ 3,640  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Financial Derivative Instruments - Liabilities

 

Exchange-traded or centrally cleared

 

Swap Agreements

  $ 0     $ 26     $ 0     $ 0     $ 2,352     $ 2,378  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Over the counter

 

Forward Foreign Currency Contracts

  $ 0     $ 0     $ 0     $ 1,362     $ 0     $ 1,362  

Swap Agreements

    0       12,614       0       0       0       12,614  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 12,614     $ 0     $ 1,362     $ 0     $ 13,976  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $     0     $     12,640     $     0     $     1,362     $     2,352     $     16,354  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

The effect of Financial Derivative Instruments on the Consolidated Statements of Operations for the period ended December 31, 2018:

 

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

Net Realized Gain on Financial Derivative Instruments

 

Exchange-traded or centrally cleared

 

Swap Agreements

  $ 0     $ 745     $ 0     $ 0     $ 12,371     $ 13,116  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Over the counter

 

Forward Foreign Currency Contracts

  $ 0     $ 0     $ 0     $ 11,654     $ 0     $ 11,654  

Swap Agreements

    0       914       0       0       0       914  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 914     $ 0     $ 11,654     $ 0     $ 12,568  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 1,659     $ 0     $ 11,654     $ 12,371     $ 25,684  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Change in Unrealized (Depreciation) on Financial Derivative Instruments

 

Exchange-traded or centrally cleared

 

Swap Agreements

  $ 0     $ (1,896   $ 0     $ 0     $     (4,490   $     (6,386
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Over the counter

 

Forward Foreign Currency Contracts

  $ 0     $ 0     $ 0     $ (1,736   $ 0     $ (1,736

Swap Agreements

    0       (1,287     0       0       0       (1,287
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $     0     $     (1,287   $     0     $     (1,736   $ 0     $ (3,023
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ (3,183   $ 0     $ (1,736   $ (4,490   $ (9,409
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

102   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


Table of Contents

 

December 31, 2018 (Unaudited)

 

 

FAIR VALUE MEASUREMENTS

 

The following is a summary of the fair valuations according to the inputs used as of December 31, 2018 in valuing the Fund’s assets and liabilities:

 

Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
12/31/2018
 

Investments in Securities, at Value

 

Loan Participations and Assignments

  $ 0     $ 70,332     $ 31,940     $ 102,272  

Corporate Bonds & Notes

 

Banking & Finance

    0       224,025       9,886       233,911  

Industrials

    0       240,520       733       241,253  

Utilities

    0       55,585       0       55,585  

Convertible Bonds & Notes

 

Industrials

    0       5,466       0       5,466  

Municipal Bonds & Notes

 

Illinois

    0       1,972       0       1,972  

Texas

    0       102       0       102  

West Virginia

    0       5,395       0       5,395  

U.S. Government Agencies

    0       65,997       0       65,997  

Non-Agency Mortgage-Backed Securities

    0           978,560           13,806       992,366  

Asset-Backed Securities

    0       621,362       29,474           650,836  

Sovereign Issues

    0       45,213       0       45,213  

Common Stocks

 

Consumer Discretionary

    8,732       0       0       8,732  

Energy

    0       0       2,861       2,861  

Financials

    0       0       816       816  

Utilities

    42       0       5,234       5,276  

Preferred Securities

 

Banking & Finance

    0       20,503       0       20,503  

Real Estate Investment Trusts

 

Real Estate

        11,166       0       0       11,166  
Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
12/31/2018
 

Short-Term Instruments

 

Repurchase Agreements

  $ 0     $ 59,388     $ 0     $ 59,388  

Argentina Treasury Bills

    0       5,322       0       5,322  

U.S. Treasury Bills

    0       17,067       0       17,067  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

  $ 19,940     $ 2,416,809     $ 94,750     $ 2,531,499  
 

 

 

   

 

 

   

 

 

   

 

 

 

Financial Derivative Instruments - Assets

 

Exchange-traded or centrally cleared

    0       2,669       0       2,669  

Over the counter

    0       971       0       971  
 

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 3,640     $ 0     $ 3,640  
 

 

 

   

 

 

   

 

 

   

 

 

 

Financial Derivative Instruments - Liabilities

 

Exchange-traded or centrally cleared

    0       (2,378     0       (2,378

Over the counter

    0       (13,976     0       (13,976
 

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ (16,354   $ 0     $ (16,354
 

 

 

   

 

 

   

 

 

   

 

 

 

Total Financial Derivative Instruments

  $ 0     $ (12,714   $ 0     $ (12,714
 

 

 

   

 

 

   

 

 

   

 

 

 

Totals

  $     19,940     $     2,404,095     $     94,750     $     2,518,785  
 

 

 

   

 

 

   

 

 

   

 

 

 
 

 

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended December 31, 2018:

 

Category and Subcategory   Beginning
Balance
at 06/30/2018
   

Net
Purchases

    Net
Sales
    Accrued
Discounts/
(Premiums)
    Realized
Gain/(Loss)
    Net Change in
Unrealized
Appreciation/
(Depreciation)(1)
    Transfers into
Level 3
    Transfers out
of Level 3
    Ending
Balance
at 12/31/2018
    Net Change in
Unrealized
Appreciation/
(Depreciation)
on Investments
Held  at
12/31/2018(1)
 

Investments in Securities, at Value

 

Loan Participations and Assignments

  $ 16,305     $ 17,285     $ (6,109   $ (29   $ (221   $ (1,196   $ 5,905     $ 0     $ 31,940     $ (1,141

Corporate Bonds & Notes

 

Banking & Finance

    20,271       0       (9,700     0       42       (727     0       0       9,886       (703

Industrials

    764       0       (4     1       0       (28     0       0       733       (28

Non-Agency Mortgage-Backed Securities

    23,705       0       (1,222     5       84       206       0       (8,972     13,806       (35

Asset-Backed Securities

    40,927       3,239       0       155       0       (3,973     0       (10,874     29,474       (2,452

Common Stocks

 

Energy

    4,077       0       0       0       0       (1,216     0       0       2,861       (1,216

Financials

    1,049       0       0       0       0       (233     0       0       816       (233

Utilities

    4,147       0       0       0       0       1,087       0       0       5,234       1,087  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Totals

  $     111,245     $     20,524     $     (17,035   $     132     $     (95   $     (6,080   $     5,905     $     (19,846   $     94,750     $     (4,721
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

See Accompanying Notes   SEMIANNUAL REPORT   DECEMBER 31, 2018   103


Table of Contents

Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.)

 

December 31, 2018 (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 12/31/2018
     Valuation
Technique
   Unobservable
Inputs
           Input Value(s)
(% Unless
Noted
Otherwise)
 

Investments in Securities, at Value

 

Loan Participations and Assignments

  $ 197      Proxy Pricing    Base Price         98.326  
    31,743      Third Party Vendor    Broker Quote         88.000-100.125  

Corporate Bonds & Notes

 

Banking & Finance

    9,886      Reference Instrument    Option Adjusted Spread         625.508 bps  

Industrials

    2      Proxy Pricing    Base Price         0.069  
    731      Reference Instrument    Yield         11.566  

Non-Agency Mortgage-Backed  Securities

    4,902      Proxy Pricing    Base Price         4.365-99.000  
    8,904      Third Party Vendor    Broker Quote         91.250-93.000  

Asset-Backed Securities

    29,474      Proxy Pricing    Base Price         2.641-120,000.000  

Common Stocks

 

Energy

    2,861      Other Valuation Techniques(2)    —            

Financials

    816      Fundamental Valuation    Company Equity Value      GBP        659,300,000.000  

Utilities

    5,234      Indicative Market Quotation    Broker Quote         40.000  
 

 

 

             

Total

  $     94,750              
 

 

 

             

 

(1) 

Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at December 31, 2018 may be due to an investment no longer held or categorized as Level 3 at period end.

(2)

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

 

104   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


Table of Contents

Notes to Financial Statements

 

December 31, 2018 (Unaudited)

 

1. ORGANIZATION

 

PCM Fund, Inc., PIMCO Global StocksPLUS® & Income Fund, PIMCO Income Opportunity Fund, PIMCO Strategic Income Fund, Inc., PIMCO Dynamic Credit and Mortgage Income Fund and PIMCO Dynamic Income Fund (each a “Fund” and collectively the “Funds”) are organized as closed-end management investment companies registered under the Investment Company Act of 1940, as amended, and the rules and regulations thereunder (the “Act”). PIMCO Global StocksPLUS® & Income Fund, PIMCO Income Opportunity Fund, PIMCO Dynamic Credit and Mortgage Income Fund and PIMCO Dynamic Income Fund were organized as Massachusetts business trusts on the dates shown in the table below. PCM Fund, Inc. and PIMCO Strategic Income Fund, Inc. were organized as Maryland corporations on the dates shown in the table below. Pacific Investment Management Company LLC (“PIMCO” or the “Manager”) serves as the Funds’ investment manager.

 

Fund Name         Formation Date  

PCM Fund, Inc.

      June  23, 1993  

PIMCO Global StocksPLUS® & Income Fund

      February  16, 2005  

PIMCO Income Opportunity Fund

      September  12, 2007  

PIMCO Strategic Income Fund, Inc.

      December  9, 1993  

PIMCO Dynamic Credit and Mortgage Income Fund

      September  27, 2012  

PIMCO Dynamic Income Fund

      January  19, 2011  

 

PCM Fund, Inc. has the authority to issue 300 million shares of $0.001 par value common stock. PIMCO Strategic Income Fund, Inc. has the authority to issue 500 million shares of $0.00001 par value common stock. PIMCO Global StocksPLUS® & Income Fund, PIMCO Income Opportunity Fund, PIMCO Dynamic Credit and Mortgage Income Fund and PIMCO Dynamic Income Fund have authorized an unlimited number of Common Shares at a par value of $0.00001 per share.

 

Hereinafter, the terms “Trustee” or “Trustees” shall refer to a Director or Directors of applicable Funds.

 

2. SIGNIFICANT ACCOUNTING POLICIES

 

The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”). Each Fund is treated as an investment company under the reporting requirements of U.S. GAAP. The 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. Realized gains (losses) from securities sold are recorded on the identified cost basis. 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. 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

 

 

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Notes to Financial Statements (Cont.)

 

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 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 and gains from the sale of portfolio securities and other sources to common shareholders.

 

          Distribution Frequency  
Fund Name         Declared     Distributed  

PCM Fund, Inc.

      Monthly       Monthly  

PIMCO Global StocksPLUS® & Income Fund

      Monthly       Monthly  

PIMCO Income Opportunity Fund

      Monthly       Monthly  

PIMCO Strategic Income Fund, Inc.

      Monthly       Monthly  

PIMCO Dynamic Credit and Mortgage Income Fund

      Monthly       Monthly  

PIMCO Dynamic Income Fund

      Monthly       Monthly  

 

Net realized capital gains earned by each Fund, if any, will be distributed no less frequently than once each year.

 

A Fund may engage in investment strategies, including the use of derivatives, to, among other things, 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 (“paired swap transactions”), and with a substantial possibility that the Fund will experience a corresponding capital loss

and decline in NAV with respect to the opposite side transaction (to the extent it does not have corresponding offsetting capital gains). Consequently, common shareholders may receive distributions and owe tax 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 tax may be 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. RCS has applied to the IRS for a change in accounting method which, if granted, will result in RCS, for tax years ending after June 30, 2018, accounting for mortgage dollar rolls as a sale or exchange for U.S. federal income tax purposes. 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 tax consequences.

 

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.

 

If a 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. For these purposes, a Fund estimates 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 estimated 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

 

 

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December 31, 2018 (Unaudited)

 

factors, tax-related characteristics of certain sources of distributions that differ from treatment under U.S. GAAP. Examples of such differences may include, among others, the treatment of paydowns on mortgage-backed securities purchased at a discount and periodic payments under interest rate swap contracts. Accordingly, among other consequences, it is possible that a Fund may not issue a Section 19 Notice in situations where the Fund’s financial statements prepared later and in accordance with U.S. GAAP 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 reported on Form 1099 DIV sent to shareholders for the calendar year.

 

Distributions classified as a tax basis return of capital, if any, are reflected on the Statements of Changes in Net Assets and have been recorded to paid in capital 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  In August 2016, the Financial Accounting Standards Board (“FASB”) issued an Accounting Standards Update (“ASU”), ASU 2016-15, which amends Accounting Standards Codification (“ASC”) 230 to clarify guidance on the classification of certain cash receipts and cash payments in the Statement of Cash Flows. The ASU is effective for annual periods beginning after December 15, 2017, and interim periods within those annual periods. The Funds have adopted the ASU. The implementation of the ASU did not have an impact on the Funds’ financial statements.

 

In November 2016, the FASB issued ASU 2016-18 which amends ASC 230 to provide guidance on the classification and presentation of changes in restricted cash and restricted cash equivalents on the Statement of Cash Flows. The ASU is effective for annual periods beginning after December 15, 2017, and interim periods within those annual periods. The Funds have adopted the ASU. The implementation of the ASU did not have an impact on the Funds’ financial statements.

 

In March 2017, the FASB issued ASU 2017-08 which provides guidance related to the amortization period for certain purchased callable debt securities held at a premium. The ASU is effective for annual periods beginning after December 15, 2018, and interim periods within those annual periods. The Funds have adopted the ASU. The implementation of the ASU did not have an impact on the Funds’ financial statements.

In August 2018, the FASB issued ASU 2018-13 which modifies certain disclosure requirements for fair value measurements in ASC 820. The ASU is effective for annual periods beginning after December 15, 2019, and interim periods within those annual periods. At this time, management has elected to early adopt the amendments that allow for removal of certain disclosure requirements. Management plans to adopt the amendments that require additional fair value measurement disclosures for annual periods beginning after December 15, 2019, and interim periods within those annual periods. Management is currently evaluating the impact of these changes on the financial statements.

 

In August 2018, the U.S. Securities and Exchange Commission (“SEC”) adopted amendments to certain rules and forms for the purpose of disclosure update and simplification. The compliance date for these amendments is 30 days after date of publication in the Federal Register, which was on October 4, 2018. Management has adopted these amendments and the changes are incorporated throughout all periods presented in 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 attributable to that Fund or class less any liabilities 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 (“NYSE Close”). Information that becomes known to the Funds or their agents after the time as of which NAV has been calculated on a particular day will not generally be used to retroactively adjust the price of a security or the NAV determined earlier that day. Each Fund reserves the right to change the time as of which its respective NAV is calculated if the Fund closes earlier, or as permitted by the SEC.

 

For purposes of calculating a NAV, portfolio securities and other assets for which market quotes are readily available are valued at market value. Market value is generally determined on the basis of official closing prices or the last reported sales prices, or if no sales are reported, based on quotes obtained from established market makers or prices (including evaluated prices) supplied by the 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

 

 

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Notes to Financial Statements (Cont.)

 

pricing information from the exchange considered by PIMCO to be the primary exchange. A foreign (non-U.S.) equity security will be valued as of the close of trading on the foreign exchange, or the NYSE Close, if the NYSE Close occurs before the end of trading on the foreign exchange. Domestic and foreign (non-U.S.) fixed income securities, non-exchange traded derivatives, and equity options are normally valued on the basis of quotes obtained from brokers and dealers or Pricing Services using data reflecting the earlier closing of the principal markets for those securities. Prices obtained from Pricing Services may be based on, among other things, information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. Certain fixed income securities purchased on a delayed-delivery basis are marked to market daily until settlement at the forward settlement date. Exchange-traded options, except equity options, futures and options on futures are valued at the settlement price determined by the relevant exchange. Swap agreements are valued on the basis of bid quotes obtained from brokers and dealers or market-based prices supplied by Pricing Services. A Fund’s investments in open-end management investment companies, other than exchange-traded funds (“ETFs”), are valued at the NAVs of such investments.

 

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

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

 

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

 

Investments for which market quotes or market based valuations are not readily available are valued at fair value as determined in good faith by the Board or persons acting at their direction. The Board has adopted methods for valuing securities and other assets in circumstances where market quotes are not readily available, and has delegated to PIMCO the responsibility for applying the fair valuation methods. In the event that market quotes or market based valuations are not readily available, and the security or asset cannot be valued pursuant to a Board approved valuation method, the value of the security or asset will be determined in good faith by the 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

 

 

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December 31, 2018 (Unaudited)

 

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.

 

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

 

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

 

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

 

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

 

 

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Notes to Financial Statements (Cont.)

 

 

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

 

Common stocks, ETFs, exchange-traded notes and financial derivative instruments, such as futures contracts, rights and warrants, or options on futures that are traded on a national securities exchange, are stated at the last reported sale or settlement price on the day of valuation. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy.

 

Valuation adjustments may be applied to certain securities that are solely traded on a foreign exchange to account for the market movement between the close of the foreign market and the NYSE Close. These securities are valued using Pricing Services that consider the correlation of the trading patterns of the foreign security to the intraday trading in the U.S. markets for investments. Securities using these valuation adjustments are categorized as Level 2 of the fair value hierarchy. Preferred securities and other equities traded on inactive markets or valued by reference to similar instruments are also categorized as Level 2 of the fair value hierarchy.

 

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

 

Centrally cleared swaps and over the counter swaps derive their value from underlying asset prices, indices, reference rates, and other inputs

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

 

Level 3 trading assets and trading liabilities, at fair value  When a fair valuation method is applied by PIMCO that uses significant unobservable inputs, investments will be priced by a method that the Board or persons acting at their direction believe reflects fair value and are categorized as Level 3 of the fair value hierarchy. The valuation techniques and significant inputs used in determining the fair values of portfolio assets and liabilities categorized as Level 3 of the fair value hierarchy are as follows:

 

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

 

If third-party evaluated vendor pricing is not available or not deemed to be indicative of fair value, the Manager may elect to obtain Broker Quotes directly from the broker-dealer or passed through from a third-party vendor. In the event that fair value is based upon a single sourced Broker Quote, these securities are categorized as Level 3 of the fair value hierarchy. Broker Quotes are typically received from established market participants. Although independently received, the Manager does not have the transparency to view the underlying inputs which support the market quotation. Significant changes in the Broker Quote would have direct and proportional changes in the fair value of the security.

 

Reference instrument valuation estimates fair value by utilizing the correlation of the security to one or more broad-based securities, market indices, and/or other financial instruments, whose pricing information is readily available. Unobservable inputs may include those used in algorithm formulas based on percentage change in the

 

 

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reference instruments and/or weights of each reference instrument. Significant changes in the unobservable inputs would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.

 

Fundamental analysis valuation estimates fair value by using an internal model that utilizes financial statements of the non-public underlying company. Significant changes in the unobservable inputs would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.

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.

 

 

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 at December 31, 2018 (amounts in thousands, except number of shares).

 

PIMCO Dynamic Credit and Mortgage Income Fund

 

Security Name         Shares Held
at 06/30/2018
    Shares
Purchased
    Shares
Sold
    Shares Held
at 12/31/2018
    Net
Realized
Gain/(Loss)
   

Change in
Unrealized
Appreciation

(Depreciation)

    Market Value
12/31/2018
    Dividend
Income
 

Sierra Hamilton Holder LLC

      30,136,800       0       0       30,136,800     $   0     $   (765   $   10,091     $   0  

 

  

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.

 

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

 

 

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prohibitions on trading in securities of issuers while in possession of such information, the Fund may be unable to enter into a transaction in a publicly-traded security of that issuer when it would otherwise be advantageous for the Fund to do so. Alternatively, a Fund may choose not to receive material nonpublic information about an issuer of such loans, with the result that the Fund may have less information about such issuers than other investors who transact in such assets.

 

The types of loans and related investments in which the Funds may invest include, among others, senior loans, subordinated loans (including second lien loans, B-Notes and mezzanine loans), whole loans, commercial real estate and other commercial loans and structured loans. The Funds may 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 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

 

 

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and serves to protect the other, more senior tranches from default in all but the most severe circumstances. Since it is partially protected from defaults, a senior tranche from a CBO trust or CLO trust typically has higher ratings and lower yields than the underlying securities, and can be rated investment grade. Despite the protection from the equity tranche, CBO or CLO tranches can experience substantial losses due to actual defaults, increased sensitivity to defaults due to collateral default and disappearance of protecting tranches, market anticipation of defaults and aversion to CBO or CLO securities as a class. The risks of an investment in a CDO depend largely on the type of the collateral securities and the class of the CDO in which a Fund invests. CDOs carry additional risks including, but not limited to, (i) the possibility that distributions from collateral securities will not be adequate to make interest or other payments, (ii) the collateral may decline in value or default, (iii) 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.

 

Payment In-Kind Securities  (“PIKs”) 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 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.

 

 

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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.

 

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.

 

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 at December 31, 2018 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 (“GNMA” or “Ginnie Mae”), are supported by the full faith and credit of the U.S. Government; others, such as those of the Federal Home Loan Banks, are supported by the right of the issuer to borrow from the U.S. Department of the Treasury (the “U.S. Treasury”); and others, such as those of the Federal National Mortgage Association (“FNMA” or “Fannie Mae”), are supported by the discretionary authority of the U.S. Government to purchase the agency’s obligations. U.S. Government securities may include zero coupon securities. Zero coupon securities do not distribute interest on a current basis and tend to be subject to a greater risk than interest-paying securities.

 

Government-related guarantors (i.e., not backed by the full faith and 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.

 

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 are freely transferable and are often traded on major exchanges. Warrants normally have a life that is measured in years and entitle the holder to buy common stock of a company at a price that is usually higher than the market price at the time the warrant is issued. Warrants may entail greater risks than certain other types of investments. Generally, warrants do not carry the right to receive dividends or exercise voting rights with respect to the underlying securities, and they do not represent any rights in the assets of the issuer. In addition, their value does not necessarily change with the value of the underlying securities, and they cease to have value if they are not exercised on or before their expiration date. If the market price of the underlying stock does not exceed the exercise price during the life of the warrant, the warrant will expire worthless. Warrants may increase the potential profit or loss to be realized from the investment as compared with investing the same amount in the underlying

 

 

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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.

 

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. For a detailed description of credit and counterparty risks that can be associated with borrowings and other financing transactions; please see Note 7, Principal Risks.

 

(a) Repurchase Agreements  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; please see Note 7, Principal Risks.

 

(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 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; please see Note 7, Principal Risks.

 

(d) Mortgage Dollar Rolls  Mortgage dollar rolls involve a Fund selling securities for delivery in the current month and simultaneously

 

 

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contracting to repurchase substantially similar (same type, same or similar interest rate and maturity) securities on a specified future date. The difference between the selling price and future purchase price is an adjustment to interest income on the Statements of Operations. During the roll period, a Fund forgoes principal and interest paid on the securities. A Fund’s dollar roll transactions are intended to enhance the Fund’s yield by earning a spread between the yield on the underlying mortgage securities and short-term interest rates. Dollar rolls involve leverage risk and also the risk that the market value of the securities to be repurchased may decline below the repurchase price, please see Note 7, Principal Risks. For tax years ending before July 1, 2018, RCS accounted for mortgage dollar rolls as financing transactions. Subject to IRS approval, for tax years ending after June 30, 2018, RCS intends to account for mortgage dollar rolls in each case as a sale or exchange. 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 tax consequences.

 

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. A Fund may use futures contracts to manage its exposure to the securities markets or to movements in interest rates and currency values or for other investment purposes. Generally, a futures contract provides for the future sale by one party and purchase by another party of a specified quantity of the security or other financial instrument at a specified price and time. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in market value of the securities held by a Fund and the prices of futures contracts and the possibility of an illiquid market. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, a Fund is required to deposit with its futures 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

 

 

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contract (“variation margin”). Gains (losses) are recognized but not considered realized until the contracts expire or close. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin included within exchange traded or centrally cleared financial derivative instruments on the Statements of Assets and Liabilities.

 

(c) Options Contracts  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.

 

Foreign Currency Options  may be written or purchased to be used as a short or long hedge against possible variations in foreign exchange rates or to gain exposure to foreign currencies.

 

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 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.

 

 

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For purposes of a Fund’s investment policy adopted pursuant to Rule 35d-1 under the 1940 Act (if any), the Fund will count 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 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).

 

 

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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 or to take an active long or short position with respect to the likelihood of a particular referenced obligation’s default. Credit default swaps on indices are instruments often used to attempt to protect investors owning bonds against default, but may also be used for speculative purposes.

 

Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate, 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 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

 

 

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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 Income Opportunity 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 Income Opportunity 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.

 

7. PRINCIPAL RISKS

 

In the normal course of business, the Funds trade financial instruments and enter into financial transactions where risk of potential loss exists due to such things as changes in the market (market risk) or failure or inability of the other party to a transaction to perform (credit and counterparty risk). See below for a detailed description of select principal risks. For a more comprehensive list of potential risks the Funds may be subject to, please see the Important Information About the Funds.

 

Market Risks  A Fund’s investments in financial derivative instruments and other financial instruments expose the Fund to various risks such as, but not limited to, interest rate, foreign (non-U.S.) currency, equity and commodity risks.

 

Interest rate risk is the risk that fixed income securities and other instruments held by a Fund will decline in value because of changes in interest rates. As nominal interest rates rise, the value of certain fixed income securities held by a Fund is likely to decrease. A nominal interest rate can be described as the sum of a real interest rate and an expected inflation rate. Interest rate changes can be sudden and unpredictable, and a Fund may lose money if these changes are not anticipated by the Fund’s management. Variable rate securities may decline in value if their interest rates do not rise as much, or as quickly,

 

 

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as interest rates in general. A Fund may not be able to hedge against changes in interest rates or may choose not to do so for cost or other reasons. In addition, any hedges may not work as intended.

 

Fixed income securities with longer durations tend to be more sensitive to changes in interest rates, usually making them more volatile than securities with shorter durations. Duration is a measure used to determine the sensitivity of a security’s price to changes in interest rates that incorporates a security’s yield, coupon, final maturity and call features, among other characteristics. Duration is useful primarily as a measure of the sensitivity of a fixed income security’s market price to interest rate (i.e. yield) movements. All other things remaining equal, for each one percentage point increase in interest rates, the value of a portfolio of fixed income investments would generally be expected to decline by one percent for every year of the portfolio’s average duration above zero. For example, the value of a portfolio of fixed income securities with an average duration of three years would generally be expected to decline by approximately 3% if interest rates rose by one percentage point. Convexity is an additional measure used to understand a security’s interest rate sensitivity. Convexity measures the rate of change of duration in response to changes in interest rates and may be positive or negative. Securities with negative convexity may experience greater losses during periods of rising interest rates, and accordingly Funds holding such securities may be subject to a greater risk of losses in periods of rising interest rates.

 

A wide variety of factors can cause interest rates to rise (e.g., central bank monetary policies, inflation rates, general economic conditions, etc.). This risk may be particularly acute in the current market environment because market interest rates are currently near historically low levels. Thus, the Funds currently face a heightened level of interest rate risk, especially since the Federal Reserve Board has ended its quantitative easing program and has begun, and may continue, to raise interest rates. To the extent the Federal Reserve Board continues to raise interest rates, there is a risk that rates across the financial system may rise. During periods of very low or negative interest rates, a Fund may be unable to maintain positive returns. Changing interest rates, including rates that fall below zero, may have unpredictable effects on markets, may result in heightened market volatility and may detract from Fund performance to the extent a Fund is exposed to such interest rates. Rising interest rates may result in a decline in value of a Fund’s fixed-income investments and in periods of volatility. Further, while U.S. bond markets have steadily grown over the past three decades, dealer “market making” ability has remained relatively stagnant. As a result, dealer inventories of certain types of bonds and similar instruments, which provide a core indication of the ability of financial intermediaries to “make markets,” are at or near historic lows in relation to market size. Because market makers provide

stability to a market through their intermediary services, the significant reduction in dealer inventories could potentially lead to decreased liquidity and increased volatility in the fixed income markets. Such issues may be exacerbated during periods of economic uncertainty. All of these factors, collectively and/or individually, could cause a Fund to lose value.

 

Foreign (non-U.S.) securities in this report are classified by the country of incorporation of a holding. In certain instances, a security’s country of incorporation may be different from its country of economic exposure. If a Fund invests directly in foreign (non-U.S.) currencies or in securities that trade in, and receive revenues in, foreign (non-U.S.) currencies, or in financial derivatives that provide exposure to foreign (non-U.S.) currencies, it will be subject to the risk that those currencies will decline in value relative to the base currency of the Fund, or, in the case of hedging positions, that the Fund’s base currency will decline in value relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons, including changes in interest rates, intervention (or the failure to intervene) by U.S. or foreign governments, central banks or supranational entities such as the International Monetary Fund, or by the imposition of currency controls or other political developments in the United States or abroad. As a result, a Fund’s investments in foreign currency denominated securities may reduce the Fund’s returns.

 

The market values of a Fund’s investments may decline due to general market conditions which are not specifically related to a particular company or issuer, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates or adverse investor sentiment. They may also decline due to factors which affect a particular industry or industries, such as labor shortages or increased production costs and competitive conditions within an industry. Equity securities and equity related investments generally have greater market price volatility than fixed income securities, although under certain market conditions fixed income securities may have comparable or greater price volatility. Credit ratings downgrades may also negatively affect securities held by a Fund. Even when markets perform well, there is no assurance that the investments held by a Fund will increase in value along with the broader market. In addition, market risk includes the risk that geopolitical events will disrupt the economy on a national or global level.

 

A Fund’s investments in commodity-linked financial derivative instruments may subject the Fund to greater market price volatility than investments in traditional securities. The value of commodity-linked financial derivative instruments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity, such as

 

 

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drought, floods, weather, livestock disease, embargoes, tariffs and international economic, political and regulatory developments.

 

Credit and Counterparty Risks  A Fund will be exposed to credit risk to parties with whom it trades and will also bear the risk of settlement default. A Fund seeks to minimize concentrations of credit risk by undertaking transactions with a large number of counterparties on recognized and reputable exchanges, where applicable. OTC derivative transactions are subject to the risk that a counterparty to the transaction will not fulfill its contractual obligations to the other party, as many of the protections afforded to centrally cleared derivative transactions might not be available for OTC derivative transactions. For derivatives traded on an exchange or through a central counterparty, credit risk resides with a Fund’s clearing broker, or the clearinghouse itself, rather than with a counterparty in an OTC derivative transaction. A Fund could lose money if the issuer or guarantor of a fixed income security, or the counterparty to a financial derivatives contract, repurchase agreement or a loan of portfolio securities, is unable or unwilling to make timely principal and/or interest payments, or to otherwise honor its obligations. Securities are subject to varying degrees of credit risk, which are often reflected in credit ratings.

 

Similar to credit risk, a Fund may be exposed to counterparty risk, or the risk that an institution or other entity with which the Fund has unsettled or open transactions will default. PIMCO, as the Manager, seeks to minimize counterparty risks to the Funds through a number of ways. Prior to entering into transactions with a new counterparty, the PIMCO Counterparty Risk Committee conducts an extensive credit review of such counterparty and must approve the use of such counterparty. Furthermore, pursuant to the terms of the underlying contract, to the extent that unpaid amounts owed to a Fund exceed a predetermined threshold, such counterparty is required to advance collateral to the Fund in the form of cash or securities equal in value to the unpaid amount owed to the Fund. A Fund may invest such collateral in securities or other instruments and will typically pay interest to the counterparty on the collateral received. If the unpaid amount owed to a Fund subsequently decreases, the Fund would be required to return to the counterparty all or a portion of the collateral previously advanced. PIMCO’s attempts to minimize counterparty risk may, however, be unsuccessful.

 

All transactions in listed securities are settled/paid for upon delivery using approved counterparties. The risk of default is considered minimal, as delivery of securities sold is only made once a Fund has received payment. Payment is made on a purchase once the securities have been delivered by the counterparty. The trade will fail if either party fails to meet its obligation.

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.

 

 

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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 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, or changes in market value, are exchanged daily, but may not be netted between futures and cleared OTC derivatives unless the parties have agreed to a separate arrangement in respect of portfolio margining. The market value or accumulated unrealized appreciation (depreciation), initial margin posted, and any unsettled variation margin as of period end 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. In limited circumstances, the ISDA Master Agreement may contain additional provisions that add counterparty protection beyond coverage of existing daily exposure if the counterparty has a decline in credit quality below a predefined level. These amounts, if any, may be segregated with a third-party custodian. The market value of OTC financial derivative instruments, collateral received or pledged, and net exposure by counterparty as of period end are disclosed in the Notes to Schedules of Investments.

 

9. FEES AND EXPENSES

 

(a) Management Fee  Pursuant to the Investment Management Agreement with PIMCO (the “Agreement”), and subject to the supervision of the Board, PIMCO is responsible for providing 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 Agreement, PIMCO receives an annual fee, payable monthly, at the annual rates shown in the table below:

 

Fund Name         Annual
Rate
 

PCM Fund, Inc.

      0.900% (1)  

PIMCO Global StocksPLUS® & Income Fund

      1.105% (2)  

PIMCO Income Opportunity Fund

      1.055% (1)  

PIMCO Strategic Income Fund, Inc.

      0.955% (3)  

PIMCO Dynamic Credit and Mortgage Income Fund

      1.150% (4)  

PIMCO Dynamic Income Fund

      1.150% (4)  

 

(1)  

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

(2) 

Management fees calculated based on the Fund’s average daily “total managed assets”. Total managed assets refer to the total assets of each Fund (including assets attributable to any preferred shares and borrowings that may be outstanding) minus accrued liabilities (other than liabilities representing borrowings).

(3) 

Management fees calculated based on the Fund’s average daily net asset value (including daily net assets attributable to any preferred shares of the Fund that may be outstanding).

(4) 

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

 

 

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(b) Fund Expenses  Each Fund bears other expenses, which may vary and affect the total level of expenses paid by shareholders, such as (i) salaries and other compensation or expenses, including travel expenses of any of the Fund’s executive officers and employees, if any, who are not officers, directors, shareholders, members, partners or employees of PIMCO or its subsidiaries or affiliates; (ii) taxes and governmental fees, if any, levied against the Fund; (iii) brokerage fees and commissions and other portfolio transaction expenses incurred by or for the Fund (including, without limitation, fees and expenses of outside legal counsel or third-party consultants retained in connection with reviewing, negotiating and structuring specialized loan and other investments made by the Fund, subject to specific or general authorization by the Fund’s Board (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 expense, of borrowing money or engaging in other types of leverage financing, including, without limitation, through the use by the Fund of reverse repurchase agreements, tender option bonds, bank borrowings and credit facilities; (vi) costs, including dividend and/or interest expenses and other costs (including, without limitation, offering and related legal costs, fees to brokers, fees to auction agents, fees to transfer agents, fees to ratings agencies and fees to auditors associated with satisfying ratings agency requirements for preferred shares or other securities issued by the Fund and other related requirements in the Fund’s organizational documents) associated with the Fund’s issuance, offering, redemption and maintenance of preferred shares, commercial paper or other senior securities for the purpose of incurring leverage; (vii) fees and expenses of any underlying funds or other pooled investment vehicles in which the Fund invests; (viii) dividend and interest expenses on short positions taken by the Fund; (ix) fees and expenses, including travel expenses, and fees and expenses of legal counsel retained for their benefit, of Trustees who are not officers, employees, partners, shareholders or members of PIMCO or its subsidiaries or affiliates; (x) extraordinary expenses, including extraordinary legal expenses, that may arise, including expenses incurred in connection with litigation, proceedings, other claims, and the legal obligations of the Fund to indemnify its Trustees, officers, employees, shareholders, distributors, and agents with respect thereto; (xi) organizational and offering expenses of the Fund, including with respect to share offerings, such as rights offerings and shelf offerings, following the Fund’s initial offering, and expenses associated with tender offers and other share repurchases and redemptions; and (xii) expenses of the Fund which are capitalized in accordance with U.S. GAAP.

Each of the Trustees of the Funds who is not an interested person under Section 2(a)(19) of the Act, (the “Independent Trustees”) also serves as a trustee of a number of other closed-end funds for which PIMCO serves as investment manager (together with the Funds, the “PIMCO Closed-End Funds”), as well as PIMCO Flexible Credit Income Fund 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, each of the Independent Trustees also serves as a trustee of certain investment companies (together, the “Allianz-Managed Funds”), for which Allianz Global Investors U.S. LLC (“AllianzGI U.S.”), an affiliate of PIMCO, serves as investment manager. Prior to the close of business on September 5, 2014, a predecessor entity of AllianzGI U.S. served as investment manager of PMAT and the PIMCO Closed-End Funds other than PIMCO Energy and Tactical Credit Opportunities Fund.

 

Each Independent Trustee currently receives annual compensation of $225,000 for his or her service on the Boards of the PIMCO-Managed Funds, payable quarterly. The Independent Chairman of the Boards receives an additional $75,000 per year, payable quarterly. The Audit Oversight Committee Chairman receives an additional $50,000 annually, payable quarterly. Trustees are also reimbursed for meeting-related expenses.

 

Each Trustee’s compensation for his or her service as a Trustee on the Boards of the PIMCO-Managed Funds and other costs in connection with joint meetings of such Funds are allocated among the PIMCO-Managed Funds, as applicable, on the basis of fixed percentages among PMAT, the PIMCO Interval Funds and the PIMCO Closed-End Funds. Trustee compensation and other costs will then be further allocated pro rata among the individual PIMCO-Managed Funds within each grouping based on each such PIMCO-Managed Fund’s relative net assets.

 

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

 

 

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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, 2018, were as follows (amounts in thousands):

 

Fund Name         Purchases     Sales  

PCM Fund, Inc.

    $ 567     $ 265  

PIMCO Global StocksPLUS® & Income Fund

      89       7,321  

PIMCO Income Opportunity Fund

      8,655       1,824  

PIMCO Strategic Income Fund, Inc.

      3,039       1,432  

PIMCO Dynamic Credit and Mortgage Income Fund

        69,574         12,974  

PIMCO Dynamic Income Fund

      41,795       6,529  

 

  

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 Income Opportunity Fund, PIMCO Dynamic Credit and Mortgage Income Fund and PIMCO Dynamic Income Fund each Trustee and officer is indemnified, to the extent permitted by the Act, against certain liabilities that may arise out of performance of their duties to the Funds. Under the organizational documents of PCM Fund, Inc., and PIMCO Strategic Income Fund, Inc., each Director and officer is indemnified to the fullest extent permitted by Maryland law and the Act. For PCM Fund, Inc., employees and agents of the Fund are also

indemnified to the maximum extent permitted by Maryland Law and the Act. For PIMCO Strategic Income Fund, Inc., employees and agents of the Fund may be indemnified to the extent determined by the Board and subject to the limitations of the Act. Additionally, in the normal course of business, the Funds enter into contracts that contain a variety of indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds have not had prior claims or losses pursuant to these contracts.

 

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 to a Fund, including brokerage commissions or dealer mark-ups and other transaction costs on the sale of securities and reinvestments in other securities. Such sales may also result in realization of taxable capital gains, including short-term capital gains (which are generally taxed at ordinary income tax rates). The transaction costs and tax effects associated with portfolio turnover may adversely affect a shareholder’s performance. The portfolio turnover rates are reported in the Financial Highlights.

 

 

Purchases and sales of securities (excluding short-term investments) for the period ended December 31, 2018, were as follows (amounts in thousands):

 

          U.S. Government/Agency     All Other  
Fund Name         Purchases     Sales     Purchases     Sales  

PCM Fund, Inc.

    $ 1,132     $ 1,406     $ 13,904     $ 8,444  

PIMCO Global StocksPLUS® & Income Fund

        325,656       319,320       22,569       17,542  

PIMCO Income Opportunity Fund

      0       4,501       75,694       53,281  

PIMCO Strategic Income Fund, Inc.

      92,223         102,874       62,438       13,730  

PIMCO Dynamic Credit and Mortgage Income Fund

      4,703       38,485         676,633         417,646  

PIMCO Dynamic Income Fund

      2,334       15,730       306,587       140,554  

 

  

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

 

13. COMMON SHARES OFFERING

 

On March 23, 2017, the SEC declared effective a registration statement filed using the “shelf” registration process for PIMCO Dynamic Income Fund. Pursuant to the shelf registration, PIMCO Dynamic Income Fund may offer and sell, from time to time, in one or more offerings, up to 9,500,000 of its Common Shares, par value $0.00001 per share. The aggregate sale proceeds for the sales of the PIMCO Dynamic Income Fund Common Shares are subject to an aggregate cap of $275,685,250. The Fund may not sell any Common Shares at a price below the NAV of such Common Shares, exclusive of any distributing commission or discount. Sales of the Common Shares, if any, may be

made in negotiated transactions or transactions that are deemed to be “at the market”, including sales made directly on the NYSE or sales made to or through a market maker other than on an exchange. During the period ended December 31, 2018, the Fund sold 1,701,693 Common Shares. Proceeds from the offerings during the period ended December 31, 2018 (net of commissions and fees) were $54,996,940.

 

On July 6, 2018, the SEC declared effective a registration statement filed using the “shelf” registration process for PIMCO Income Opportunity Fund. Pursuant to the shelf registration, PIMCO Income Opportunity Fund may offer and sell, from time to time, in one or more

 

 

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offerings, up to 3,000,000 of its Common Shares, par value $0.00001 per share. The aggregate sale proceeds for the sales of the PIMCO Income Opportunity Fund Common Shares are subject to an aggregate cap of $85,000,000. The Fund may not sell any Common Shares at a price below the NAV of such Common Shares, exclusive of any distributing commission or discount. Sales of the Common Shares, if any, may be made in negotiated transactions or transactions that are deemed to be “at the market”, including sales made directly on the NYSE or sales made to or through a market maker other than on an exchange. During the period ended December 31, 2018, the Fund sold 419,884 Common Shares. Proceeds from the offerings during the period ended December 31, 2018 (net of commissions and fees) were $11,276,841.

 

14. BASIS FOR CONSOLIDATION

 

PCILS I LLC and PDILS I LLC (each a “Subsidiary” and, collectively, the “Subsidiaries”), both Delaware LLC exempted companies, were formed as wholly owned subsidiaries acting as investment vehicles for PIMCO Dynamic Credit and Mortgage Income Fund and PIMCO Dynamic Income Fund (for purposes of this section, each a “Fund” and, collectively, the “Funds”), respectively, in order to effect certain investments consistent with each Fund’s objectives and policies in effect from time to time. PCILS I LLC and PDILS I LLC were formed on March 7, 2013 and March 12, 2013, respectively. PIMCO Dynamic Income Credit and Mortgage Fund’s and PIMCO Dynamic Income Fund’s investment portfolios have been consolidated and include the portfolio holdings of each Fund’s respective Subsidiary. Accordingly, the consolidated financial statements for each Fund include the accounts of each Fund’s respective subsidiary. All inter-company transactions and balances have been eliminated. This structure was established so that certain loans could be held by a separate legal entity from the Funds. The net assets of PCILS I LLC and PDILS I LLC as of period end represented 1.0% and 0.4%, respectively, of each respective Fund’s consolidated net assets.

 

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. FEDERAL INCOME TAX MATTERS

 

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

 

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, 2018, 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, 2018, the Funds had the following post-effective capital losses with no expiration (amounts in thousands):

 

          Short-Term     Long-Term  

PCM Fund, Inc.

    $ 0     $ 1,314  

PIMCO Global StocksPLUS® & Income Fund

      24,381       0  

PIMCO Income Opportunity Fund

      0       5,431  

PIMCO Strategic Income Fund, Inc.

      28,047       0  

PIMCO Dynamic Credit and Mortgage Income Fund

        112,745         52,030  

PIMCO Dynamic Income Fund

      0       22,236  

 

  

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

 

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As of December 31, 2018, the aggregate cost and the net unrealized appreciation/(depreciation) of investments for Federal income tax purposes are as follows (amounts in thousands):

 

           Federal
Tax Cost
     Unrealized
Appreciation
     Unrealized
(Depreciation)
     Net Unrealized
Appreciation/
(Depreciation)(1)
 

PCM Fund, Inc.

     $ 168,425      $ 18,341      $ (16,115    $ 2,226  

PIMCO Global StocksPLUS® & Income Fund

       193,599        11,964        (32,877      (20,913

PIMCO Income Opportunity Fund

       506,116        53,114        (38,768      14,346  

PIMCO Strategic Income Fund, Inc.

       1,249,853        28,857        (55,044      (26,187

PIMCO Dynamic Credit and Mortgage Income Fund

         5,465,502          420,093          (473,436        (53,343

PIMCO Dynamic Income Fund

       2,354,882        328,578        (204,642      123,936  

 

  

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

(1) 

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

 

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. RCS has applied to the IRS for a change in accounting method which, if granted, will result in RCS, for tax years ending after June 30, 2018, accounting for mortgage dollar rolls as a sale or exchange 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. Assuming the IRS grants the change in accounting method, the Fund will account for mortgage dollar rolls as sales or exchanges for tax years ending after June 30, 2018, and 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 Internal Revenue Service were to challenge or recharacterize RCS’s treatment of mortgage dollar rolls successfully, it would affect the amount, timing and character of distributions received by the Fund’s shareholders. 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. Thus if the IRS approves 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.

 

17. SUBSEQUENT EVENTS

 

In preparing these financial statements, the Funds’ management has evaluated events and transactions for potential recognition or disclosure through the date the financial statements were issued.

 

On January 2, 2019, the following distributions were declared to common shareholders payable February 1, 2019 to shareholders of record on January 14, 2019:

 

PCM Fund, Inc.

    $   0.080000 per common share  

PIMCO Global StocksPLUS® & Income Fund

    $ 0.122000 per common share  

PIMCO Income Opportunity Fund

    $ 0.190000 per common share  

PIMCO Strategic Income Fund, Inc.

    $ 0.072000 per common share  

PIMCO Dynamic Credit and Mortgage Income Fund

    $ 0.164063 per common share  

PIMCO Dynamic Income Fund

    $ 0.220500 per common share  

 

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December 31, 2018 (Unaudited)

 

 

On February 1, 2019, the following distributions were declared to common shareholders payable March 1, 2019 to shareholders of record on February 11, 2019:

 

PCM Fund, Inc.

    $   0.080000 per common share  

PIMCO Global StocksPLUS® & Income Fund

    $ 0.122000 per common share  

PIMCO Income Opportunity Fund

    $ 0.190000 per common share  

PIMCO Strategic Income Fund, Inc.

    $ 0.072000 per common share  

PIMCO Dynamic Credit and Mortgage Income Fund

    $ 0.164063 per common share  

PIMCO Dynamic Income Fund

    $ 0.220500 per common share  

 

There were no other subsequent events identified that require recognition or disclosure.

 

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

 

(Unaudited)

 

Counterparty Abbreviations:

AZD  

Australia and New Zealand Banking Group

  GLM  

Goldman Sachs Bank USA

  RCE  

Royal Bank of Canada Europe Limited

BCY  

Barclays Capital, Inc.

  GSC  

Goldman Sachs & Co.

  RCY  

Royal Bank of Canada

BOA  

Bank of America N.A.

  GST  

Goldman Sachs International

  RDR  

RBC Capital Markets LLC

BOS  

Banc of America Securities LLC

  HUS  

HSBC Bank USA N.A.

  RTA  

Bank of New York Mellon Corp.

BPS  

BNP Paribas S.A.

  JML  

JP Morgan Securities Plc

  SAL  

Citigroup Global Markets, Inc.

BRC  

Barclays Bank PLC

  JPM  

JP Morgan Chase Bank N.A.

  SBI  

Citigroup Global Markets Ltd.

CBK  

Citibank N.A.

  JPS  

JP Morgan Securities, Inc.

  SCX  

Standard Chartered Bank

CIW  

CIBC World Markets Corp.

  MBC  

HSBC Bank Plc

  SGY  

Societe Generale, New York

DBL  

Deutsche Bank AG London

  MEI  

Merrill Lynch International

  SOG  

Societe Generale

DUB  

Deutsche Bank AG

  MSB  

Morgan Stanley Bank, N.A

  SSB  

State Street Bank and Trust Co.

FAR  

Wells Fargo Bank National Association

  MSC  

Morgan Stanley & Co., Inc.

  TDM  

TD Securities (USA) LLC

FBF  

Credit Suisse International

  MYC  

Morgan Stanley Capital Services, Inc.

  UAG  

UBS AG Stamford

FICC  

Fixed Income Clearing Corporation

  NOM  

Nomura Securities International Inc.

  UBS  

UBS Securities LLC

FOB  

Credit Suisse Securities (USA) LLC

  RBC  

Royal Bank of Canada

  WFS  

Wells Fargo Securities, LLC

Currency Abbreviations:

ARS  

Argentine Peso

  EUR  

Euro

  NZD  

New Zealand Dollar

AUD  

Australian Dollar

  GBP  

British Pound

  PEN  

Peruvian New Sol

BRL  

Brazilian Real

  JPY  

Japanese Yen

  RUB  

Russian Ruble

CAD  

Canadian Dollar

  MXN  

Mexican Peso

  USD (or $)  

United States Dollar

CHF  

Swiss Franc

       

Exchange Abbreviations:

CME  

Chicago Mercantile Exchange

  OTC  

Over the Counter

   

Index/Spread Abbreviations:

12MTA  

12 Month Treasury Average

  CMBX  

Commercial Mortgage-Backed Index

  NDDUEAFE  

MSCI EAFE Index

ABX.HE  

Asset-Backed Securities Index - Home Equity

  EUR003M  

3 Month EUR Swap Rate

  S&P 500  

Standard & Poor’s 500 Index

BADLARPP  

Argentina Badlar Floating Rate Notes

  LIBOR01M  

1 Month USD-LIBOR

  US0001M  

1 Month USD Swap Rate

BP0003M  

3 Month GBP-LIBOR

  LIBOR03M  

3 Month USD-LIBOR

  US0003M  

3 Month USD Swap Rate

Other Abbreviations:

ABS  

Asset-Backed Security

  CDO  

Collateralized Debt Obligation

  REMIC  

Real Estate Mortgage Investment Conduit

ALT  

Alternate Loan Trust

  CLO  

Collateralized Loan Obligation

  SP - ADR  

Sponsored American Depositary Receipt

BABs  

Build America Bonds

  DAC  

Designated Activity Company

  TBA  

To-Be-Announced

BBR  

Bank Bill Rate

  EURIBOR  

Euro Interbank Offered Rate

  TBD  

To-Be-Determined

BBSW  

Bank Bill Swap Reference Rate

  LIBOR  

London Interbank Offered Rate

  TBD%  

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

CBO  

Collateralized Bond Obligation

  PIK  

Payment-in-Kind

   

 

  SEMIANNUAL REPORT   DECEMBER 31, 2018   129


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Changes to Boards of Trustees

 

(Unaudited)

 

Effective January 1, 2019, Craig Dawson resigned from the Board of each Fund.

 

Effective January 1, 2019, Sarah Cogan was appointed by the Board of Trustees/Directors of each Fund as a Class I Director of PCM, a Class II Trustee of PKO, a Class III Trustee of PCI, a Class I Director of RCS, a Class III Trustee of PGP and Class III Trustee of PDI.

 

Effective January 1, 2019, David Fisher was appointed by the Board of Trustees/Directors of each Fund as a Class III Director of PCM, a Class III Trustee of PKO, a Class II Trustee of PCI, a Class III Director of RCS, a Class I Trustee of PGP and a Class II Trustee of PDI.

 

130   PIMCO CLOSED-END FUNDS     


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General Information

 

Investment Manager

Pacific Investment Management Company LLC

1633 Broadway

New York, NY 10019

 

Custodian

State Street Bank and Trust Company

801 Pennsylvania Avenue

Kansas City, MO 64105

 

Transfer Agent, Dividend Paying Agent and Registrar

American Stock Transfer & Trust Company, LLC

6201 15th Avenue

Brooklyn, NY 11219

 

Legal Counsel

Ropes & Gray LLP

Prudential Tower

800 Boylston Street

Boston, MA 02199

 

Independent Registered Public Accounting Firm

PricewaterhouseCoopers LLP

1100 Walnut Street, Suite 1300

Kansas City, MO 64106

 

This report is submitted for the general information of the shareholders of the Funds listed on the Report cover.


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LOGO

 

CEF4010SAR_123118


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Item 2.

Code of Ethics.

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

 

Item 3.

Audit Committee Financial Expert.

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

 

Item 4.

Principal Accountant Fees and Services.

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

 

Item 5.

Audit Committee of Listed Registrants.

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

 

Item 6.

Schedule of Investments.

The Schedule of Investments is included as part of the reports to shareholders under Item 1.

 

Item 7.

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

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

 

Item 8.

Portfolio Managers of Closed-End Management Investment Companies.

Not applicable.

 

Item 9.

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

None.

 

Item 10.

Submission of Matters to a Vote of Security Holders.

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

 

Item 11.

Controls and Procedures.

 

  (a)

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

 

  (b)

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

 

Item 12.

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

None.

 

Item 13.

Exhibits.

 

  (a)(1)

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

 

  (a)(2)

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


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  (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.


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Signatures

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

PIMCO Global StocksPlus® & Income Fund
By:  

/s/    Peter G. Strelow

     

  Peter G. Strelow
  President (Principal Executive Officer)
Date:   February 28, 2019

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

 

By:  

/s/    Peter G. Strelow

     

  Peter G. Strelow
  President (Principal Executive Officer)
Date:   February 28, 2019
By:  

/s/    Trent W. Walker

     

  Trent W. Walker
  Treasurer (Principal Financial & Accounting Officer)
Date:   February 28, 2019