Item 1. | Reports to Shareholders. |
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Fund | Fund Summary | Schedule of Investments | ||||||
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12 | 40 | |||||||
13 | 51 | |||||||
14 | 62 | |||||||
15 | 73 |
Letter from the Chair of the Board & President |
2 | PIMCO CLOSED-END FUNDS |
Deborah A. DeCotis | Eric D. Johnson | |
Chair of the Board of Trustees | President |
SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 3 |
Important Information About the Funds |
4 | PIMCO CLOSED-END FUNDS |
SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 5 |
Important Information About the Funds | (Cont.) |
6 | PIMCO CLOSED-END FUNDS |
SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 7 |
Important Information About the Funds | (Cont.) |
Fund Name | Inception Date | Diversification Status | ||||||||||
PIMCO Corporate & Income Opportunity Fund | 12/27/02 | Diversified | ||||||||||
PIMCO Corporate & Income Strategy Fund | 12/21/01 | Diversified | ||||||||||
PIMCO High Income Fund | 04/30/03 | Diversified | ||||||||||
PIMCO Income Strategy Fund | 08/29/03 | Diversified | ||||||||||
PIMCO Income Strategy Fund II | 10/29/04 | Diversified |
8 | PIMCO CLOSED-END FUNDS |
SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 9 |
Important Information About the Funds | (Cont.) |
10 | PIMCO CLOSED-END FUNDS |
Corporate Bonds & Notes | 37.3% | |||
Loan Participations and Assignments | 31.9% | |||
Non‑Agency Mortgage-Backed Securities | 7.3% | |||
Asset-Backed Securities | 6.8% | |||
Short-Term Instruments | 6.2% | |||
Common Stocks | 2.6% | |||
Preferred Securities | 1.9% | |||
Sovereign Issues | 1.8% | |||
U.S. Government Agencies | 1.2% | |||
Warrants | 1.2% | |||
Municipal Bonds & Notes | 1.1% | |||
Other | 0.7% |
† | % of Investments, at value. |
§ | Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any. |
Market Price | $12.01 | |||
NAV | $10.92 | |||
Premium/(Discount) to NAV | 9.98% | |||
Market Price Distribution Rate(2) | 11.87% | |||
NAV Distribution Rate(2) | 13.05% | |||
Total Effective Leverage(3) | 38.68% |
Average Annual Total Return(1) for the period ended December 31, 2022 | ||||||||||||||||||||
6 Month* | 1 Year | 5 Year | 10 Year | Commencement of Operations (12/27/02) | ||||||||||||||||
Market Price | 3.06% | (17.97)% | 3.83% | 7.04% | 11.40% | |||||||||||||||
NAV | 5.21% | (12.32)% | 5.54% | 9.08% | 12.24% |
(1) | Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the sale of Fund shares. Total return, market price, NAV, market price distribution rate, and NAV distribution rate will fluctuate with changes in market conditions. The NAV presented may differ from the NAV reported for the same period in other Fund materials. Performance current to the most recent month‑end is available at www.pimco.com or via (844) 33‑PIMCO. Performance is calculated assuming all dividends and distributions are reinvested at prices obtained under the Fund’s dividend reinvestment plan. Performance does not reflect any brokerage commissions in connection with the purchase or sale of Fund shares. |
(2) | Distribution rates are not performance and are calculated by annualizing the most recent distribution per share and dividing by the NAV or market price, as applicable, as of the reported date. Distributions may be comprised of ordinary income, net capital gains, and/or a return of capital (‘‘ROC’’) of your investment in the Fund. Because the distribution rate may include a ROC, it should not be confused with yield or income. If the Fund estimates that a portion of its distribution may be comprised of amounts from sources other than net investment income in accordance with its policies and good accounting practices, the Fund will notify shareholders of the estimated composition of such distribution through a Section 19 Notice. Please refer to the most recent Section 19 Notice, if applicable, for additional information regarding the estimated composition of distributions. Please visit www.pimco.com for most recent Section 19 Notice, if applicable. Final determination of a distribution’s tax character will be 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). |
» | Exposure to emerging market debt contributed to absolute performance as the sector posted positive performance. |
» | Exposure to high yield corporate credit contributed to absolute performance as the sector posted positive performance. |
» | Interest rate positioning, most notably short exposure at the 30-year portion of the curve, contributed to absolute performance as rates rose. |
» | Exposure to U.S. residential mortgage credit detracted from absolute performance as the sector posted negative performance. |
» | Exposure to asset-backed securities detracted from absolute performance as the sector posted negative performance. |
» | Security selection within municipal bonds detracted from performance as select municipal securities posted negative returns. |
SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 11 |
Symbol on NYSE ‑ PCN |
Corporate Bonds & Notes | 36.3% | |||
Loan Participations and Assignments | 26.0% | |||
Asset-Backed Securities | 9.3% | |||
Short-Term Instruments | 9.0% | |||
Non‑Agency Mortgage-Backed Securities | 6.8% | |||
Common Stocks | 3.3% | |||
Preferred Securities | 2.3% | |||
U.S. Government Agencies | 1.7% | |||
Sovereign Issues | 1.6% | |||
Warrants | 1.5% | |||
Municipal Bonds & Notes | 1.3% | |||
Other | 0.9% |
† | % of Investments, at value. |
§ | Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any. |
Market Price | $11.85 | |||
NAV | $11.25 | |||
Premium/(Discount) to NAV | 5.33% | |||
Market Price Distribution Rate(2) | 11.39% | |||
NAV Distribution Rate(2) | 12.00% | |||
Total Effective Leverage(3) | 30.07% |
Average Annual Total Return(1) for the period ended December 31, 2022 | ||||||||||||||||||
6 Month* | 1 Year | 5 Year | 10 Year | Commencement of Operations (12/21/01) | ||||||||||||||
Market Price | 0.30% | (22.23)% | 1.65% | 6.27% | 9.72% | |||||||||||||
NAV | 4.15% | (11.47)% | 4.39% | 7.51% | 10.37% |
(1) | Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the sale of Fund shares. Total return, market price, NAV, market price distribution rate, and NAV distribution rate will fluctuate with changes in market conditions. The NAV presented may differ from the NAV reported for the same period in other Fund materials. Performance current to the most recent month‑end is available at www.pimco.com or via (844) 33‑PIMCO. Performance is calculated assuming all dividends and distributions are reinvested at prices obtained under the Fund’s dividend reinvestment plan. Performance does not reflect any brokerage commissions in connection with the purchase or sale of Fund shares. |
(2) | Distribution rates are not performance and are calculated by annualizing the most recent distribution per share and dividing by the NAV or market price, as applicable, as of the reported date. Distributions may be comprised of ordinary income, net capital gains, and/or a return of capital (‘‘ROC’’) of your investment in the Fund. Because the distribution rate may include a ROC, it should not be confused with yield or income. If the Fund estimates that a portion of its distribution may be comprised of amounts from sources other than net investment income in accordance with its policies and good accounting practices, the Fund will notify shareholders of the estimated composition of such distribution through a Section 19 Notice. Please refer to the most recent Section 19 Notice, if applicable, for additional information regarding the estimated composition of distributions. Please visit www.pimco.com for most recent Section 19 Notice, if applicable. Final determination of a distribution’s tax character will be 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). |
» | Exposure to emerging market debt contributed to absolute performance as the sector posted positive performance. |
» | Exposure to holdings related to special situation investments, which include companies undergoing stress, distress, challenges, or significant transition, contributed to absolute performance as the securities posted positive returns. |
» | Exposure to high yield corporate credit contributed to absolute performance as the sector posted positive performance. |
» | Exposure to U.S. residential mortgage credit detracted from absolute performance as the sector posted negative performance. |
» | Security selection within municipal bonds detracted from performance as a select taxable municipal security posted negative returns. |
» | Exposure to asset-backed securities detracted from absolute performance as the sector posted negative performance. |
12 | PIMCO CLOSED-END FUNDS |
Symbol on NYSE ‑ PHK |
Corporate Bonds & Notes | 34.5% | |||
Loan Participations and Assignments | 22.3% | |||
Short-Term Instruments | 12.2% | |||
Non‑Agency Mortgage-Backed Securities | 6.9% | |||
Asset-Backed Securities | 6.4% | |||
Municipal Bonds & Notes | 4.5% | |||
Preferred Securities | 4.3% | |||
Common Stocks | 3.7% | |||
U.S. Government Agencies | 1.8% | |||
Warrants | 1.3% | |||
Sovereign Issues | 1.1% | |||
Other | 1.0% |
† | % of Investments, at value. |
§ | Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any. |
Market Price | $4.73 | |||
NAV | $4.64 | |||
Premium/(Discount) to NAV | 1.94% | |||
Market Price Distribution Rate(2) | 12.18% | |||
NAV Distribution Rate(2) | 12.41% | |||
Total Effective Leverage(3) | 28.18% |
Average Annual Total Return(1) for the period ended December 31, 2022 | ||||||||||||||||||||
6 Month* | 1 Year | 5 Year | 10 Year | Commencement of Operations (04/30/03) | ||||||||||||||||
Market Price | (2.81)% | (13.84)% | 1.95% | 4.24% | 7.19% | |||||||||||||||
NAV | 4.27% | (10.44)% | 4.82% | 9.30% | 10.17% |
(1) | Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the sale of Fund shares. Total return, market price, NAV, market price distribution rate, and NAV distribution rate will fluctuate with changes in market conditions. The NAV presented may differ from the NAV reported for the same period in other Fund materials. Performance current to the most recent month‑end is available at www.pimco.com or via (844) 33‑PIMCO. Performance is calculated assuming all dividends and distributions are reinvested at prices obtained under the Fund’s dividend reinvestment plan. Performance does not reflect any brokerage commissions in connection with the purchase or sale of Fund shares. |
(2) | Distribution rates are not performance and are calculated by annualizing the most recent distribution per share and dividing by the NAV or market price, as applicable, as of the reported date. Distributions may be comprised of ordinary income, net capital gains, and/or a return of capital (‘‘ROC’’) of your investment in the Fund. Because the distribution rate may include a ROC, it should not be confused with yield or income. If the Fund estimates that a portion of its distribution may be comprised of amounts from sources other than net investment income in accordance with its policies and good accounting practices, the Fund will notify shareholders of the estimated composition of such distribution through a Section 19 Notice. Please refer to the most recent Section 19 Notice, if applicable, for additional information regarding the estimated composition of distributions. Please visit www.pimco.com for most recent Section 19 Notice, if applicable. Final determination of a distribution’s tax character will be 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). |
» | Exposure to holdings related to special situation investments, which include companies undergoing stress, distress, challenges, or significant transition, contributed to absolute performance as the securities posted positive returns. |
» | Exposure to emerging market debt contributed to absolute performance as the sector posted positive performance. |
» | Interest rate positioning, most notably short exposure at the 30-year portion of the curve, contributed to absolute performance as rates rose. |
» | Security selection within municipal bonds detracted from performance as select municipal securities posted negative returns. |
» | Exposure to U.S. residential mortgage credit detracted from absolute performance as the sector posted negative performance. |
» | Security selection within bank loans detracted from absolute performance as select securities posted negative returns. |
» | Exposure to bank capital detracted from absolute performance as the sector posted negative returns. |
SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 13 |
Symbol on NYSE ‑ PFL |
Corporate Bonds & Notes | 36.1% | |||
Loan Participations and Assignments | 26.0% | |||
Short-Term Instruments | 17.5% | |||
Asset-Backed Securities | 5.2% | |||
Non‑Agency Mortgage-Backed Securities | 4.6% | |||
Common Stocks | 3.2% | |||
Preferred Securities | 1.6% | |||
U.S. Government Agencies | 1.4% | |||
Warrants | 1.3% | |||
Sovereign Issues | 1.2% | |||
Municipal Bonds & Notes | 1.1% | |||
Other | 0.8% |
† | % of Investments, at value. |
§ | Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any. |
Market Price | $8.11 | |||
NAV | $8.04 | |||
Premium/(Discount) to NAV | 0.87% | |||
Market Price Distribution Rate(2) | 12.04% | |||
NAV Distribution Rate(2) | 12.15% | |||
Total Effective Leverage(3) | 33.23% |
Average Annual Total Return(1) for the period ended December 31, 2022 | ||||||||||||||||||||
6 Month* | 1 Year | 5 Year | 10 Year | Commencement of Operations (08/29/03) | ||||||||||||||||
Market Price | (4.36)% | (17.47)% | 2.86% | 5.63% | 5.85% | |||||||||||||||
NAV | 1.66% | (13.61)% | 3.43% | 6.13% | 6.19% |
(1) | Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the sale of Fund shares. Total return, market price, NAV, market price distribution rate, and NAV distribution rate will fluctuate with changes in market conditions. The NAV presented may differ from the NAV reported for the same period in other Fund materials. Performance current to the most recent month‑end is available at www.pimco.com or via (844) 33‑PIMCO. Performance is calculated assuming all dividends and distributions are reinvested at prices obtained under the Fund’s dividend reinvestment plan. Performance does not reflect any brokerage commissions in connection with the purchase or sale of Fund shares. |
(2) | Distribution rates are not performance and are calculated by annualizing the most recent distribution per share and dividing by the NAV or market price, as applicable, as of the reported date. Distributions may be comprised of ordinary income, net capital gains, and/or a return of capital (‘‘ROC’’) of your investment in the Fund. Because the distribution rate may include a ROC, it should not be confused with yield or income. If the Fund estimates that a portion of its distribution may be comprised of amounts from sources other than net investment income in accordance with its policies and good accounting practices, the Fund will notify shareholders of the estimated composition of such distribution through a Section 19 Notice. Please refer to the most recent Section 19 Notice, if applicable, for additional information regarding the estimated composition of distributions. Please visit www.pimco.com for most recent Section 19 Notice, if applicable. Final determination of a distribution’s tax character will be 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). |
» | Exposure to emerging market debt contributed to absolute performance as the sector posted positive performance. |
» | Exposure to holdings related to special situation investments, which include companies undergoing stress, distress, challenges, or significant transition, contributed to absolute performance as the securities posted positive returns. |
» | Exposure to high yield corporate credit contributed to absolute performance as the sector posted positive performance. |
» | Exposure to U.S. residential mortgage credit detracted from absolute performance as the sector posted negative performance. |
» | Security selection within bank loans detracted from absolute performance as the securities posted negative returns. |
» | Exposure to bank capital detracted from absolute performance as the sector posted negative returns. |
14 | PIMCO CLOSED-END FUNDS |
Symbol on NYSE ‑ PFN |
Corporate Bonds & Notes | 36.0% | |||
Loan Participations and Assignments | 24.7% | |||
Short-Term Instruments | 14.5% | |||
Non‑Agency Mortgage-Backed Securities | 7.5% | |||
Asset-Backed Securities | 5.4% | |||
Common Stocks | 3.5% | |||
Preferred Securities | 2.0% | |||
Warrants | 1.5% | |||
U.S. Government Agencies | 1.4% | |||
Municipal Bonds & Notes | 1.4% | |||
Sovereign Issues | 1.2% | |||
Other | 0.9% |
† | % of Investments, at value. |
§ | Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any. |
Market Price | $7.07 | |||
NAV | $7.09 | |||
Premium/(Discount) to NAV | (0.28)% | |||
Market Price Distribution Rate(2) | 12.19% | |||
NAV Distribution Rate(2) | 12.15% | |||
Total Effective Leverage(3) | 31.22% |
Average Annual Total Return(1) for the period ended December 31, 2022 | ||||||||||||||||||||
6 Month* | 1 Year | 5 Year | 10 Year | Commencement of Operations (10/29/04) | ||||||||||||||||
Market Price | (5.33)% | (17.31)% | 2.54% | 5.87% | 5.04% | |||||||||||||||
NAV | 1.93% | (13.66)% | 3.13% | 6.41% | 5.36% |
(1) | Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the sale of Fund shares. Total return, market price, NAV, market price distribution rate, and NAV distribution rate will fluctuate with changes in market conditions. The NAV presented may differ from the NAV reported for the same period in other Fund materials. Performance current to the most recent month‑end is available at www.pimco.com or via (844) 33‑PIMCO. Performance is calculated assuming all dividends and distributions are reinvested at prices obtained under the Fund’s dividend reinvestment plan. Performance does not reflect any brokerage commissions in connection with the purchase or sale of Fund shares. |
(2) | Distribution rates are not performance and are calculated by annualizing the most recent distribution per share and dividing by the NAV or market price, as applicable, as of the reported date. Distributions may be comprised of ordinary income, net capital gains, and/or a return of capital (‘‘ROC’’) of your investment in the Fund. Because the distribution rate may include a ROC, it should not be confused with yield or income. If the Fund estimates that a portion of its distribution may be comprised of amounts from sources other than net investment income in accordance with its policies and good accounting practices, the Fund will notify shareholders of the estimated composition of such distribution through a Section 19 Notice. Please refer to the most recent Section 19 Notice, if applicable, for additional information regarding the estimated composition of distributions. Please visit www.pimco.com for most recent Section 19 Notice, if applicable. Final determination of a distribution’s tax character will be 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). |
» | Exposure to emerging market debt contributed to absolute performance as the sector posted positive performance. |
» | Exposure to holdings related to special situation investments, which include companies undergoing stress, distress, challenges, or significant transition, contributed to absolute performance as the securities posted positive returns. |
» | Exposure to high yield corporate credit contributed to absolute performance as the sector posted positive performance. |
» | Security selection within municipal bonds detracted from performance as municipal securities posted negative returns. |
» | Exposure to U.S. residential mortgage credit detracted from absolute performance as the sector posted negative performance. |
» | Security selection within bank loans detracted from absolute performance as the securities posted negative returns. |
SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 15 |
Financial Highlights |
Investment Operations | Less Distributions to ARPS(c) | Less Distributions to Common Shareholders(d) | ||||||||||||||||||||||||||||||||||||||
Selected Per Share Data for the Year or Period Ended^: | Net Asset Value Beginning of Year or Period(a) | Net Investment Income (Loss)(b) | Net Realized/ Unrealized Gain (Loss) | From Net Investment Income | From Net Realized Capital Gains | Net Increase (Decrease) in Net Assets Applicable to Common Shareholders Resulting from Operations | From Net Investment Income | From Net Realized Capital Gains | Tax Basis Return of Capital | Total | ||||||||||||||||||||||||||||||
PIMCO Corporate & Income Opportunity Fund | ||||||||||||||||||||||||||||||||||||||||
07/01/2022 - 12/31/2022+ | $ | 11.21 | $ | 0.68 | $ | (0.15 | ) | $ | (0.05 | ) | $ | 0.00 | $ | 0.48 | $ | (0.86 | ) | $ | 0.00 | $ | 0.00 | $ | (0.86 | ) | ||||||||||||||||
08/01/2021 ‑ 06/30/2022(i) | 14.40 | 1.21 | (3.22 | ) | (0.01 | ) | 0.00 | (2.02 | ) | (1.32 | ) | 0.00 | 0.00 | (1.32 | )(j) | |||||||||||||||||||||||||
07/31/2021 | 12.44 | 1.32 | 1.78 | 0.00 | 0.00 | 3.10 | (1.22 | ) | 0.00 | (0.34 | ) | (1.56 | ) | |||||||||||||||||||||||||||
07/31/2020 | 14.66 | 1.36 | (2.41 | ) | (0.05 | ) | 0.00 | (1.10 | ) | (1.59 | ) | 0.00 | 0.00 | (1.59 | ) | |||||||||||||||||||||||||
07/31/2019 | 14.80 | (h) | 1.36 | 0.09 | (0.13 | ) | 0.00 | 1.32 | (1.63 | ) | 0.00 | 0.00 | (1.63 | ) | ||||||||||||||||||||||||||
07/31/2018 | 14.87 | 1.30 | 0.16 | (0.09 | ) | 0.00 | 1.37 | (1.56 | ) | 0.00 | 0.00 | (1.56 | ) | |||||||||||||||||||||||||||
07/31/2017 | 13.27 | 1.21 | 2.06 | (0.04 | ) | 0.00 | 3.23 | (1.59 | ) | 0.00 | (0.14 | ) | (1.73 | ) | ||||||||||||||||||||||||||
PIMCO Corporate & Income Strategy Fund | ||||||||||||||||||||||||||||||||||||||||
07/01/2022 - 12/31/2022+ | $ | 11.60 | $ | 0.61 | $ | (0.17 | ) | $ | (0.01 | ) | $ | 0.00 | $ | 0.43 | $ | (0.83 | ) | $ | 0.00 | $ | 0.00 | $ | (0.83 | ) | ||||||||||||||||
08/01/2021 ‑ 06/30/2022(i) | 14.54 | 1.11 | (2.93 | ) | 0.00 | 0.00 | (1.82 | ) | (1.24 | ) | 0.00 | 0.00 | (1.24 | )(j) | ||||||||||||||||||||||||||
07/31/2021 | 12.76 | 1.24 | 1.77 | 0.00 | 0.00 | 3.01 | (1.35 | ) | 0.00 | 0.00 | (1.35 | ) | ||||||||||||||||||||||||||||
07/31/2020 | 14.94 | 1.31 | (2.07 | ) | (0.01 | ) | 0.00 | (0.77 | ) | (1.41 | ) | 0.00 | 0.00 | (1.41 | ) | |||||||||||||||||||||||||
07/31/2019 | 14.90 | (h) | 1.22 | 0.20 | (0.05 | ) | 0.00 | 1.37 | (1.43 | ) | 0.00 | 0.00 | (1.43 | ) | ||||||||||||||||||||||||||
07/31/2018 | 15.32 | 1.20 | (0.24 | ) | (0.03 | ) | 0.00 | 0.93 | (1.35 | ) | 0.00 | 0.00 | (1.35 | ) | ||||||||||||||||||||||||||
07/31/2017 | 14.28 | 1.12 | 1.70 | (0.01 | ) | 0.00 | 2.81 | (1.75 | ) | 0.00 | (0.02 | ) | (1.77 | ) | ||||||||||||||||||||||||||
PIMCO High Income Fund | ||||||||||||||||||||||||||||||||||||||||
07/01/2022 - 12/31/2022+ | $ | 4.72 | $ | 0.25 | $ | (0.04 | ) | $ | (0.01 | ) | $ | 0.00 | $ | 0.20 | $ | (0.29 | ) | $ | 0.00 | $ | 0.00 | $ | (0.29 | ) | ||||||||||||||||
08/01/2021 ‑ 06/30/2022(i) | 5.92 | 0.47 | (1.14 | ) | 0.00 | 0.00 | (0.67 | ) | (0.53 | ) | 0.00 | 0.00 | (0.53 | )(j) | ||||||||||||||||||||||||||
07/31/2021 | 5.01 | 0.56 | 0.93 | 0.00 | 0.00 | 1.49 | (0.44 | ) | 0.00 | (0.14 | ) | (0.58 | ) | |||||||||||||||||||||||||||
07/31/2020 | 6.38 | 0.65 | (1.30 | ) | (0.01 | ) | 0.00 | (0.66 | ) | (0.68 | ) | 0.00 | (0.03 | ) | (0.71 | ) | ||||||||||||||||||||||||
07/31/2019 | 6.54 | (h) | 0.61 | 0.11 | (0.03 | ) | 0.00 | 0.69 | (0.73 | ) | 0.00 | (0.16 | ) | (0.89 | ) | |||||||||||||||||||||||||
07/31/2018 | 6.90 | 0.62 | 0.01 | (0.02 | ) | 0.00 | 0.61 | (0.84 | ) | 0.00 | (0.13 | ) | (0.97 | ) | ||||||||||||||||||||||||||
07/31/2017 | 6.63 | 0.67 | 0.71 | (0.01 | ) | 0.00 | 1.37 | (0.91 | ) | 0.00 | (0.19 | ) | (1.10 | ) | ||||||||||||||||||||||||||
PIMCO Income Strategy Fund | ||||||||||||||||||||||||||||||||||||||||
07/01/2022 - 12/31/2022+ | $ | 8.39 | $ | 0.43 | $ | (0.27 | ) | $ | (0.04 | ) | $ | 0.00 | $ | 0.12 | $ | (0.49 | ) | $ | 0.00 | $ | 0.00 | $ | (0.49 | ) | ||||||||||||||||
08/01/2021 ‑ 06/30/2022(i) | 10.66 | 0.75 | (2.11 | ) | (0.02 | ) | 0.00 | (1.38 | ) | (0.90 | ) | 0.00 | 0.00 | (0.90 | )(j) | |||||||||||||||||||||||||
07/31/2021 | 9.46 | 0.91 | 1.32 | (0.02 | ) | 0.00 | 2.21 | (0.84 | ) | 0.00 | (0.24 | ) | (1.08 | ) | ||||||||||||||||||||||||||
07/31/2020 | 11.00 | 1.01 | (1.52 | ) | (0.04 | ) | 0.00 | (0.55 | ) | (0.97 | ) | 0.00 | (0.11 | ) | (1.08 | ) | ||||||||||||||||||||||||
07/31/2019 | 11.14 | (h) | 0.90 | 0.02 | (0.07 | ) | 0.00 | 0.85 | (0.99 | ) | 0.00 | (0.09 | ) | (1.08 | ) | |||||||||||||||||||||||||
07/31/2018 | 11.60 | 0.87 | (0.19 | ) | (0.06 | ) | 0.00 | 0.62 | (1.07 | ) | 0.00 | (0.01 | ) | (1.08 | ) | |||||||||||||||||||||||||
07/31/2017 | 10.53 | 0.88 | 1.31 | (0.04 | ) | 0.00 | 2.15 | (1.08 | ) | 0.00 | 0.00 | (1.08 | ) | |||||||||||||||||||||||||||
PIMCO Income Strategy Fund II | ||||||||||||||||||||||||||||||||||||||||
07/01/2022 - 12/31/2022+ | $ | 7.38 | $ | 0.38 | $ | (0.21 | ) | $ | (0.03 | ) | $ | 0.00 | $ | 0.14 | $ | (0.43 | ) | $ | 0.00 | $ | 0.00 | $ | (0.43 | ) | ||||||||||||||||
08/01/2021 ‑ 06/30/2022(i) | 9.42 | 0.67 | (1.90 | ) | (0.02 | ) | 0.00 | (1.25 | ) | (0.80 | ) | 0.00 | 0.00 | (0.80 | )(j) | |||||||||||||||||||||||||
07/31/2021 | 8.53 | 0.78 | 1.05 | (0.02 | ) | 0.00 | 1.81 | (0.75 | ) | 0.00 | (0.21 | ) | (0.96 | ) | ||||||||||||||||||||||||||
07/31/2020 | 9.91 | 0.86 | (1.32 | ) | (0.03 | ) | 0.00 | (0.49 | ) | (0.90 | ) | 0.00 | (0.06 | ) | (0.96 | ) | ||||||||||||||||||||||||
07/31/2019 | 10.07 | (h) | 0.83 | 0.04 | (0.05 | ) | 0.00 | 0.82 | (1.03 | ) | `0.00 | 0.00 | (1.03 | ) | ||||||||||||||||||||||||||
07/31/2018 | 10.33 | 0.79 | (0.05 | ) | (0.04 | ) | 0.00 | 0.70 | (0.96 | ) | 0.00 | 0.00 | (0.96 | ) | ||||||||||||||||||||||||||
07/31/2017 | 9.42 | 0.80 | 1.10 | (0.03 | ) | 0.00 | 1.87 | (0.96 | ) | 0.00 | 0.00 | (0.96 | ) |
16 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
Common Share | Ratios/Supplemental Data | |||||||||||||||||||||||||||||||||||||||||||||||||
Ratios to Average Net Assets Applicable to Common Shareholders(f) | ||||||||||||||||||||||||||||||||||||||||||||||||||
Increase resulting from Common Share offering | Offering Cost Charged to Paid in Capital | Increase Resulting from Tender of ARPS(c) | Net Asset Value End of Year or Period(a) | Market Price End of Year or Period | Total Investment Return(e) | Net Assets Applicable to Common Shareholders End of Year (000s) | Expense(g) | Expenses Excluding Waivers(g) | Expenses Excluding Interest Expense | Expenses Excluding Interest Expense and Waivers | Net Investment Income (Loss) | Portfolio Turnover Rate | ||||||||||||||||||||||||||||||||||||||
$ | 0.10 | $ | 0.00 | $ | 0.00 | $ | 10.93 | $ | 12.01 | 3.06 | % | $ | 1,423,827 | 2.16 | %* | 2.16 | %* | 0.77 | %* | 0.77 | %* | 11.95 | %* | 19 | % | |||||||||||||||||||||||||
0.15 | 0.00 | 0.00 | 11.21 | 12.51 | (33.71 | ) | 1,361,439 | 1.13 | * | 1.13 | * | 0.77 | * | 0.77 | * | 9.86 | 58 | |||||||||||||||||||||||||||||||||
0.42 | (0.00 | ) | 0.00 | 14.40 | 20.56 | 46.75 | 1,643,538 | 1.06 | 1.06 | 0.76 | 0.76 | 9.60 | 58 | |||||||||||||||||||||||||||||||||||||
0.47 | 0.00 | 0.00 | 12.44 | 15.34 | (8.77 | ) | 1,248,837 | 1.30 | 1.30 | 0.82 | 0.82 | 10.20 | 34 | |||||||||||||||||||||||||||||||||||||
0.15 | 0.00 | 0.02 | 14.66 | 18.60 | 14.48 | 1,291,233 | 1.35 | 1.35 | 0.80 | 0.80 | 9.44 | 22 | ||||||||||||||||||||||||||||||||||||||
0.12 | 0.00 | 0.00 | 14.80 | (h) | 17.95 | 16.78 | 1,219,515 | 1.26 | 1.26 | 0.81 | 0.81 | 8.73 | 19 | |||||||||||||||||||||||||||||||||||||
0.10 | 0.00 | 0.00 | 14.87 | 16.92 | 29.18 | 1,140,768 | 1.08 | 1.08 | 0.83 | 0.83 | 8.68 | 39 | ||||||||||||||||||||||||||||||||||||||
$ | 0.06 | $ | 0.00 | $ | 0.00 | $ | 11.26 | $ | 11.85 | 0.30 | % | $ | 521,650 | 2.35 | %* | 2.35 | %* | 0.87 | %* | 0.87 | %* | 10.40 | %* | 17 | % | |||||||||||||||||||||||||
0.12 | 0.00 | 0.00 | 11.60 | 12.65 | (27.59 | ) | 509,542 | 1.22 | * | 1.22 | * | 0.88 | * | 0.88 | * | 8.89 | * | 47 | ||||||||||||||||||||||||||||||||
0.12 | (0.00 | ) | 0.00 | 14.54 | 18.93 | 34.41 | 605,830 | 1.15 | 1.15 | 0.87 | 0.87 | 8.95 | 48 | |||||||||||||||||||||||||||||||||||||
N/A | N/A | 0.00 | 12.76 | 15.29 | (7.72 | ) | 509,488 | 1.57 | 1.57 | 0.87 | 0.87 | 9.57 | 31 | |||||||||||||||||||||||||||||||||||||
N/A | N/A | 0.10 | 14.94 | 18.08 | 9.20 | 591,931 | 1.60 | 1.60 | 0.94 | 0.94 | 8.39 | 18 | ||||||||||||||||||||||||||||||||||||||
N/A | N/A | 0.00 | 14.90 | (h) | 18.09 | 9.61 | 586,592 | 1.36 | 1.36 | 0.94 | 0.94 | 7.97 | 20 | |||||||||||||||||||||||||||||||||||||
N/A | N/A | 0.00 | 15.32 | 17.92 | 30.63 | 599,266 | 1.17 | 1.17 | 0.93 | 0.93 | 7.65 | 38 | ||||||||||||||||||||||||||||||||||||||
$ | 0.01 | $ | 0.00 | $ | 0.00 | $ | 4.64 | $ | 4.73 | (2.81 | )% | $ | 647,071 | 2.54 | %* | 2.54 | %* | 0.84 | %* | 0.84 | %* | 10.26 | %* | 16 | % | |||||||||||||||||||||||||
0.00 | 0.00 | 0.00 | 4.72 | 5.17 | (18.39 | ) | 640,448 | 1.18 | * | 1.18 | * | 0.86 | * | 0.86 | * | 9.30 | * | 37 | ||||||||||||||||||||||||||||||||
N/A | N/A | 0.00 | 5.92 | 6.95 | 47.82 | 792,773 | 1.14 | 1.14 | 0.86 | 0.86 | 9.96 | 60 | ||||||||||||||||||||||||||||||||||||||
N/A | N/A | 0.00 | 5.01 | 5.18 | (27.55 | ) | 664,144 | 1.73 | 1.73 | 0.86 | 0.86 | 11.42 | 40 | |||||||||||||||||||||||||||||||||||||
N/A | N/A | 0.04 | 6.38 | 8.03 | 3.57 | 835,988 | 1.86 | 1.86 | 0.91 | 0.91 | 9.74 | 20 | ||||||||||||||||||||||||||||||||||||||
N/A | N/A | 0.00 | 6.54 | (h) | 8.67 | 13.13 | 847,052 | 1.48 | 1.48 | 0.90 | 0.90 | 9.30 | 27 | |||||||||||||||||||||||||||||||||||||
N/A | N/A | 0.00 | 6.90 | 8.71 | (1.45 | ) | 884,912 | 1.25 | 1.25 | 0.90 | 0.90 | 10.08 | 32 | |||||||||||||||||||||||||||||||||||||
$ | 0.02 | $ | 0.00 | $ | 0.00 | $ | 8.04 | $ | 8.11 | (4.36 | )% | $ | 296,426 | 2.68 | %* | 2.68 | %* | 1.29 | %* | 1.29 | %* | 10.21 | %* | 20 | % | |||||||||||||||||||||||||
0.01 | 0.00 | 0.00 | 8.39 | 8.99 | (21.16 | ) | 297,796 | 1.64 | * | 1.64 | * | 1.37 | * | 1.37 | * | 8.31 | * | 47 | ||||||||||||||||||||||||||||||||
0.07 | 0.00 | 0.00 | 10.66 | 12.47 | 38.31 | 365,580 | 1.62 | 1.62 | 1.36 | 1.36 | 8.81 | 42 | ||||||||||||||||||||||||||||||||||||||
0.09 | (0.00 | ) | 0.00 | 9.46 | 9.95 | (7.65 | ) | 295,167 | 1.69 | 1.69 | 1.21 | 1.21 | 10.03 | 21 | ||||||||||||||||||||||||||||||||||||
0.06 | 0.00 | 0.03 | 11.00 | 11.99 | 8.10 | 305,453 | 1.69 | 1.69 | 1.18 | 1.18 | 8.39 | 17 | ||||||||||||||||||||||||||||||||||||||
N/A | N/A | 0.00 | 11.14 | (h) | 12.23 | 10.37 | 284,677 | 1.48 | 1.48 | 1.17 | 1.17 | 7.67 | 21 | |||||||||||||||||||||||||||||||||||||
N/A | N/A | 0.00 | 11.60 | 12.17 | 28.11 | 294,525 | 1.35 | 1.35 | 1.17 | 1.17 | 8.01 | 40 | ||||||||||||||||||||||||||||||||||||||
$ | 0.01 | $ | 0.00 | $ | 0.00 | $ | 7.10 | $ | 7.07 | (5.33 | )% | $ | 575,456 | 2.45 | %* | 2.45 | %* | 1.23 | %* | 1.23 | %* | 10.24 | %* | 18 | % | |||||||||||||||||||||||||
0.01 | 0.00 | 0.00 | 7.38 | 7.92 | (21.31 | ) | 581,955 | 1.54 | * | 1.54 | * | 1.29 | * | 1.29 | * | 8.32 | * | 45 | ||||||||||||||||||||||||||||||||
0.04 | 0.00 | 0.00 | 9.42 | 11.01 | 37.03 | 723,617 | 1.54 | 1.54 | 1.29 | 1.29 | 8.58 | 38 | ||||||||||||||||||||||||||||||||||||||
0.07 | (0.00 | ) | 0.00 | 8.53 | 8.88 | (7.75 | ) | 605,851 | 1.62 | 1.62 | 1.15 | 1.15 | 9.49 | 21 | ||||||||||||||||||||||||||||||||||||
0.04 | 0.00 | 0.01 | 9.91 | 10.70 | 11.03 | 632,927 | 1.66 | 1.66 | 1.12 | 1.12 | 8.57 | 17 | ||||||||||||||||||||||||||||||||||||||
N/A | N/A | 0.00 | 10.07 | (h) | 10.70 | 9.19 | 600,890 | 1.41 | 1.41 | 1.10 | 1.10 | 7.79 | 18 | |||||||||||||||||||||||||||||||||||||
N/A | N/A | 0.00 | 10.33 | 10.76 | 26.32 | 612,310 | 1.26 | 1.26 | 1.09 | 1.09 | 8.15 | 26 |
SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 17 |
Financial Highlights | (Cont.) |
Ratios/Supplemental Data | ||||||||||||||||
ARPS | ||||||||||||||||
Selected Per Share Data for the Year or Period Ended^: | Total Amount Outstanding | Asset Coverage per Preferred Share(1) | Involuntary Liquidating Preference per Preferred Share(2) | Average Market Value per ARPS(3) | ||||||||||||
PIMCO Corporate & Income Opportunity Fund | ||||||||||||||||
07/1/2022 ‑ 12/31/2022+ | $ | 212,650,000 | $ | 192,163 | $ | 25,000 | N/A | |||||||||
08/01/2021 - 06/30/2022(i) | 212,650,000 | 184,988 | 25,000 | N/A | ||||||||||||
07/31/2021 | 212,650,000 | 218,218 | 25,000 | N/A | ||||||||||||
07/31/2020 | 212,650,000 | 171,815 | 25,000 | N/A | ||||||||||||
07/31/2019 | 212,650,000 | 176,730 | 25,000 | N/A | ||||||||||||
07/31/2018 | 237,950,000 | 153,072 | 25,000 | N/A | ||||||||||||
07/31/2017 | 237,950,000 | 144,819 | 25,000 | N/A | ||||||||||||
PIMCO Corporate & Income Strategy Fund | ||||||||||||||||
07/1/2022 ‑ 12/31/2022+ | $ | 23,525,000 | $ | 578,738 | $ | 25,000 | N/A | |||||||||
08/01/2021 - 06/30/2022(i) | 23,525,000 | 566,333 | 25,000 | N/A | ||||||||||||
07/31/2021 | 23,525,000 | 668,805 | 25,000 | N/A | ||||||||||||
07/31/2020 | 23,525,000 | 566,423 | 25,000 | N/A | ||||||||||||
07/31/2019 | 23,525,000 | 653,838 | 25,000 | N/A | ||||||||||||
07/31/2018 | 55,525,000 | 289,023 | 25,000 | N/A | ||||||||||||
07/31/2017 | 55,525,000 | 294,755 | 25,000 | N/A | ||||||||||||
PIMCO High Income Fund | ||||||||||||||||
07/1/2022 ‑ 12/31/2022+ | $ | 58,050,000 | $ | 303,363 | $ | 25,000 | N/A | |||||||||
08/01/2021 - 06/30/2022(i) | 58,050,000 | 300,723 | 25,000 | N/A | ||||||||||||
07/31/2021 | 58,050,000 | 366,413 | 25,000 | N/A | ||||||||||||
07/31/2020 | 58,050,000 | 311,018 | 25,000 | N/A | ||||||||||||
07/31/2019 | 58,050,000 | 384,900 | 25,000 | N/A | ||||||||||||
07/31/2018 | 101,975,000 | 232,587 | 25,000 | N/A | ||||||||||||
07/31/2017 | 101,975,000 | 241,894 | 25,000 | N/A | ||||||||||||
PIMCO Income Strategy Fund | ||||||||||||||||
07/1/2022 ‑ 12/31/2022+ | $ | 45,200,000 | $ | 188,753 | $ | 25,000 | N/A | |||||||||
08/01/2021 - 06/30/2022(i) | 45,200,000 | 189,645 | 25,000 | N/A | ||||||||||||
07/31/2021 | 45,200,000 | 227,165 | 25,000 | N/A | ||||||||||||
07/31/2020 | 45,200,000 | 188,225 | 25,000 | N/A | ||||||||||||
07/31/2019 | 45,200,000 | 193,873 | 25,000 | N/A | ||||||||||||
07/31/2018 | 51,275,000 | 163,725 | 25,000 | N/A | ||||||||||||
07/31/2017 | 51,275,000 | 168,552 | 25,000 | N/A | ||||||||||||
PIMCO Income Strategy Fund II | ||||||||||||||||
07/1/2022 ‑ 12/31/2022+ | $ | 87,425,000 | $ | 189,330 | $ | 25,000 | N/A | |||||||||
08/01/2021 - 06/30/2022(i) | 87,425,000 | 191,350 | 25,000 | N/A | ||||||||||||
07/31/2021 | 87,425,000 | 231,880 | 25,000 | N/A | ||||||||||||
07/31/2020 | 87,425,000 | 198,210 | 25,000 | N/A | ||||||||||||
07/31/2019 | 87,425,000 | 205,928 | 25,000 | N/A | ||||||||||||
07/31/2018 | 92,450,000 | 187,429 | 25,000 | N/A | ||||||||||||
07/31/2017 | 92,450,000 | 190,527 | 25,000 | N/A |
^ | A zero balance may reflect actual amounts rounding to less than $0.01 or 0.01%. |
+ | Unaudited. |
* | Annualized, except for organizational expense, if any. |
(a) | Includes adjustments required by U.S. GAAP and may differ from net asset values and performance reported elsewhere by the Funds. |
(b) | Per share amounts based on average number of common shares outstanding during the year or period. |
(c) | Auction Rate Preferred Shareholders (“ARPS”). See Note 14, Auction Rate Preferred Shares, in the Notes to Financial Statements for more information. |
(d) | 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. |
(e) | Total investment return is calculated assuming a purchase of a common share at the market price on the first day and a sale of a common share at the market price on the last day of each year or period reported. Dividends and distributions, if any, are assumed, for purposes of this calculation, to be reinvested at prices obtained under the Funds’ dividend reinvestment plan. Total investment return does not reflect brokerage commissions in connection with the purchase or sale of Fund shares. |
18 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
(e) | Total investment return is calculated assuming a purchase of a common share at the market price on the first day and a sale of a common share at the market price on the last day of each year or period reported. Dividends and distributions, if any, are assumed, for purposes of this calculation, to be reinvested at prices obtained under the Funds’ dividend reinvestment plan. Total investment return does not reflect brokerage commissions in connection with the purchase or sale of Fund shares. |
(f) | Calculated on the basis of income and expenses applicable to both common and preferred shares relative to the average net assets of common shareholders. The expense ratio and net investment income do not reflect the effects of dividend payments to preferred shareholders. |
(g) | 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. |
(h) | The NAV presented may differ from the NAV reported for the same period in other Fund materials. |
(i) | Fiscal year end changed from July 31st to June 30th. |
(j) | Total distributions for the period ended June 30, 2022 may be lower than prior fiscal years due to fiscal year end change resulting in a reduction of the amount of days in the period ended June 30, 2022. |
1 | “Asset Coverage per Preferred Share” means the ratio that the value of the total assets of the Fund, less all liabilities and indebtedness not represented by ARPS, bears to the aggregate of the involuntary liquidation preference of ARPS, expressed as a dollar amount per ARPS. |
2 | “Involuntary Liquidating Preference” means the amount to which a holder of ARPS would be entitled upon the involuntary liquidation of the Fund in preference to the Common Shareholders, expressed as a dollar amount per Preferred Share. |
3 | The ARPS have no readily ascertainable market value. Auctions for the ARPS have failed since February 2008, there is currently no active trading market for the ARPS and the Fund is not able to reliably estimate what their value would be in a third-party market sale. The liquidation value of the ARPS represents its liquidation preference, which approximates fair value of the shares less any accumulated unpaid dividends. See Note 14, Auction-Rate Preferred Shares, in the notes to Financial Statements for more information. |
SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 19 |
Statements of Assets and Liabilities | December 31, 2022 | (Unaudited) |
(Amounts in thousands†, except per share amounts) | PIMCO Corporate & Income Opportunity Fund | PIMCO Corporate & Income Strategy Fund | PIMCO High Income Fund | PIMCO Income Strategy Fund | PIMCO Income Strategy Fund II | |||||||||||||||
Assets: | ||||||||||||||||||||
Investments, at value | ||||||||||||||||||||
Investments in securities* | $ | 2,029,050 | $ | 690,522 | $ | 846,141 | $ | 420,231 | $ | 789,643 | ||||||||||
Financial Derivative Instruments | ||||||||||||||||||||
Exchange-traded or centrally cleared | 2,110 | 813 | 2,048 | 437 | 880 | |||||||||||||||
Over the counter | 2,484 | 181 | 100 | 69 | 168 | |||||||||||||||
Cash | 0 | 0 | 0 | 15 | 24 | |||||||||||||||
Deposits with counterparty | 75,901 | 25,617 | 25,940 | 14,505 | 25,583 | |||||||||||||||
Foreign currency, at value | 6,875 | 1,816 | 1,315 | 1,257 | 3,663 | |||||||||||||||
Receivable for investments sold | 97,729 | 19,762 | 18,035 | 1,864 | 8,705 | |||||||||||||||
Receivable for TBA investments sold | 0 | 0 | 89 | 0 | 0 | |||||||||||||||
Receivable for Fund shares sold | 1,198 | 677 | 0 | 0 | 0 | |||||||||||||||
Interest and/or dividends receivable | 36,642 | 13,261 | 14,516 | 6,855 | 13,042 | |||||||||||||||
Other assets | 2,555 | 1,691 | 2,605 | 1,074 | 1,501 | |||||||||||||||
Total Assets | 2,254,544 | 754,340 | 910,789 | 446,307 | 843,209 | |||||||||||||||
Liabilities: | ||||||||||||||||||||
Borrowings & Other Financing Transactions | ||||||||||||||||||||
Payable for reverse repurchase agreements | $ | 460,193 | $ | 175,886 | $ | 179,422 | $ | 88,008 | $ | 144,098 | ||||||||||
Financial Derivative Instruments | ||||||||||||||||||||
Exchange-traded or centrally cleared | 1,559 | 658 | 1,602 | 468 | 900 | |||||||||||||||
Over the counter | 9,460 | 1,252 | 1,745 | 831 | 1,697 | |||||||||||||||
Payable for investments purchased | 94,087 | 18,180 | 7,966 | 7,358 | 20,129 | |||||||||||||||
Payable for TBA investments purchased | 0 | 0 | 176 | 0 | 0 | |||||||||||||||
Payable for unfunded loan commitments | 17,963 | 1,252 | 1,604 | 2,825 | 1,512 | |||||||||||||||
Deposits from counterparty | 17,529 | 6,252 | 5,618 | 1,801 | 5,411 | |||||||||||||||
Distributions payable to common shareholders | 15,328 | 5,178 | 6,693 | 3,000 | 5,819 | |||||||||||||||
Distributions payable to auction rate preferred shareholders | 292 | 26 | 64 | 55 | 121 | |||||||||||||||
Overdraft due to custodian | 612 | 79 | 291 | 0 | 0 | |||||||||||||||
Accrued management fees | 966 | 402 | 487 | 335 | 607 | |||||||||||||||
Accrued taxes payable | 78 | 0 | 0 | 0 | 34 | |||||||||||||||
Total Liabilities | 618,067 | 209,165 | 205,668 | 104,681 | 180,328 | |||||||||||||||
Auction Rate Preferred Shares^ | 212,650 | 23,525 | 58,050 | 45,200 | 87,425 | |||||||||||||||
Net Assets Applicable to Common Shareholders | $ | 1,423,827 | $ | 521,650 | $ | 647,071 | $ | 296,426 | $ | 575,456 | ||||||||||
Net Assets Applicable to Common Shareholders Consist of: | ||||||||||||||||||||
Par value ^^ | $ | 1 | $ | 0 | $ | 1 | $ | 0 | $ | 1 | ||||||||||
Paid in capital in excess of par | 1,946,786 | 690,196 | 1,004,655 | 402,602 | 799,619 | |||||||||||||||
Distributable earnings (accumulated loss) | (522,960 | ) | (168,546 | ) | (357,585 | ) | (106,176 | ) | (224,164 | ) | ||||||||||
Net Assets Applicable to Common Shareholders | $ | 1,423,827 | $ | 521,650 | $ | 647,071 | $ | 296,426 | $ | 575,456 | ||||||||||
Net Asset Value Per Common Share(a) | $ | 10.93 | $ | 11.26 | $ | 4.64 | $ | 8.04 | $ | 7.10 | ||||||||||
Common Shares Outstanding | 130,294 | 46,319 | 139,463 | 36,849 | 81,045 | |||||||||||||||
Auction Rate Preferred Shares Issued and Outstanding | 9 | 1 | 2 | 2 | 3 | |||||||||||||||
Cost of investments in securities | $ | 2,433,056 | $ | 822,616 | $ | 1,046,627 | $ | 503,877 | $ | 949,134 | ||||||||||
Cost of foreign currency held | $ | 6,856 | $ | 1,877 | $ | 1,512 | $ | 1,293 | $ | 3,725 | ||||||||||
Cost or premiums of financial derivative instruments, net | $ | (62,126 | ) | $ | (9,603 | ) | $ | 54,492 | $ | (2,170 | ) | $ | 2,491 | |||||||
* Includes repurchase agreements of: | $ | 112,093 | $ | 59,330 | $ | 98,910 | $ | 62,195 | $ | 96,917 |
† | A zero balance may reflect actual amounts rounding to less than one thousand. |
^ | ($0.00001 par value and $25,000 liquidation preference per share) |
^^ | ($0.00001 per share) |
(a) | Includes adjustments required by U.S. GAAP and may differ from net asset values and performance reported elsewhere by the Funds. |
20 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
Statements of Operations |
Six Months Ended December 31, 2022 (Unaudited) | ||||||||||||||||||||
(Amounts in thousands†) | PIMCO Corporate & Income Opportunity Fund | PIMCO Corporate & Income Strategy Fund | PIMCO High Income Fund | PIMCO Income Strategy Fund | PIMCO Income Strategy Fund II | |||||||||||||||
Investment Income: | ||||||||||||||||||||
Interest, net of foreign taxes* | $ | 100,406 | $ | 33,645 | $ | 41,703 | $ | 19,541 | $ | 37,304 | ||||||||||
Dividends | 691 | 258 | 698 | 173 | 307 | |||||||||||||||
Total Income | 101,097 | 33,903 | 42,401 | 19,714 | 37,611 | |||||||||||||||
Expenses: | ||||||||||||||||||||
Management fees | 5,361 | 2,252 | 2,741 | 1,925 | 3,544 | |||||||||||||||
Trustee fees and related expenses | 13 | 2 | 2 | 1 | 2 | |||||||||||||||
Interest expense | 9,973 | 3,941 | 5,643 | 2,127 | 3,623 | |||||||||||||||
Auction agent fees and commissions | 104 | 9 | 24 | 20 | 48 | |||||||||||||||
Auction rate preferred shares related expenses | 1 | 22 | 13 | 14 | 29 | |||||||||||||||
Miscellaneous expense | 12 | 9 | 10 | 4 | 7 | |||||||||||||||
Total Expenses | 15,464 | 6,235 | 8,433 | 4,091 | 7,253 | |||||||||||||||
Net Investment Income (Loss) | 85,633 | 27,668 | 33,968 | 15,623 | 30,358 | |||||||||||||||
Net Realized Gain (Loss): | ||||||||||||||||||||
Investments in securities | (3,149 | ) | 8,502 | 33,542 | 2,208 | 5,227 | ||||||||||||||
Exchange-traded or centrally cleared financial derivative instruments | 41,964 | 29,867 | 38,713 | 2,527 | 5,503 | |||||||||||||||
Over the counter financial derivative instruments | (8,223 | ) | 2,171 | 3,400 | 2,674 | 4,025 | ||||||||||||||
Foreign currency | (2,760 | ) | (1,773 | ) | (150 | ) | (214 | ) | (384 | ) | ||||||||||
Net Realized Gain (Loss) | 27,832 | 38,767 | 75,505 | 7,195 | 14,371 | |||||||||||||||
Net Change in Unrealized Appreciation (Depreciation): | ||||||||||||||||||||
Investments in securities | (23,367 | ) | (19,216 | ) | (46,703 | ) | (13,948 | ) | (23,157 | ) | ||||||||||
Exchange-traded or centrally cleared financial derivative instruments | (15,838 | ) | (21,882 | ) | (28,175 | ) | 68 | (1,968 | ) | |||||||||||
Over the counter financial derivative instruments | (1,012 | ) | (2,623 | ) | (4,137 | ) | (2,257 | ) | (3,992 | ) | ||||||||||
Short sales | (11 | ) | 0 | 0 | 0 | 0 | ||||||||||||||
Foreign currency assets and liabilities | (8,684 | ) | (3,164 | ) | (2,179 | ) | (926 | ) | (1,629 | ) | ||||||||||
Net Change in Unrealized Appreciation (Depreciation) | (48,912 | ) | (46,885 | ) | (81,194 | ) | (17,063 | ) | (30,746 | ) | ||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 64,553 | $ | 19,550 | $ | 28,279 | $ | 5,755 | $ | 13,983 | ||||||||||
Distributions on Auction Rate Preferred Shares from Net Investment Income and/or Realized Capital Gains | $ | (6,170 | ) | $ | (547 | ) | $ | (1,347 | ) | $ | (1,292 | ) | $ | (2,497 | ) | |||||
Net Increase (Decrease) in Net Assets Applicable to Common Shareholders Resulting from Operations | $ | 58,383 | $ | 19,003 | $ | 26,932 | $ | 4,463 | $ | 11,486 | ||||||||||
* Foreign tax withholdings - Interest | $ | 76 | $ | 27 | $ | 36 | $ | 18 | $ | 35 |
† | A zero balance may reflect actual amounts rounding to less than one thousand. |
SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 21 |
Statements of Changes in Net Assets |
PIMCO Corporate & Income Opportunity Fund | PIMCO Corporate & Income Strategy Fund | |||||||||||||||||||||||
(Amounts in thousands†) | Six Months Ended December 31, 2022 (Unaudited) | Period from August 1, 2021 to June 30, 2022(a) | Year Ended July 31, 2021 | Six Months Ended December 31, 2022 (Unaudited) | Period from August 1, 2021 to June 30, 2022(a) | Year Ended July 31, 2021 | ||||||||||||||||||
Increase (Decrease) in Net Assets from: | ||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net investment income (loss) | $ | 85,633 | $ | 142,611 | $ | 143,594 | $ | 27,668 | $ | 47,576 | $ | 50,459 | ||||||||||||
Net realized gain (loss) | 27,832 | 127,805 | (30,612 | ) | 38,767 | 55,173 | (25,010 | ) | ||||||||||||||||
Net change in unrealized appreciation (depreciation) | (48,912 | ) | (516,355 | ) | 217,812 | (46,885 | ) | (183,070 | ) | 95,304 | ||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 64,553 | (245,939 | ) | 330,794 | 19,550 | (80,321 | ) | 120,753 | ||||||||||||||||
Distributions on auction rate preferred shares from net investment income and/or realized capital gains | (6,170 | ) | (997 | ) | (318 | ) | (547 | ) | (87 | ) | (27 | ) | ||||||||||||
Net Increase (Decrease) in Net Assets Applicable to Common Shareholders Resulting from Operations | 58,383 | (246,936 | ) | 330,476 | 19,003 | (80,408 | ) | 120,726 | ||||||||||||||||
Distributions to Common Shareholders: | ||||||||||||||||||||||||
From net investment income and/or net realized capital gains | (108,869 | ) | (154,695 | ) | (133,020 | ) | (37,341 | ) | (52,821 | ) | (54,756 | ) | ||||||||||||
Tax basis return of capital | 0 | 0 | (36,889 | ) | 0 | 0 | 0 | |||||||||||||||||
Total Distributions to Common Shareholders(b) | (108,869 | ) | (154,695 | ) | (169,909 | ) | (37,341 | ) | (52,821 | ) | (54,756 | ) | ||||||||||||
Common Share Transactions*: | ||||||||||||||||||||||||
Net proceeds from at‑the‑market offering | 98,900 | 99,728 | 213,794 | 26,348 | 31,500 | 25,618 | ||||||||||||||||||
Net at‑the‑market offering costs | 0 | 102 | 88 | 0 | 149 | (46 | ) | |||||||||||||||||
Issued as reinvestment of distributions | 13,974 | 19,702 | 20,252 | 4,098 | 5,292 | 4,800 | ||||||||||||||||||
Total increase (decrease) resulting from common share transactions | 112,874 | 119,532 | 234,134 | 30,446 | 36,941 | 30,372 | ||||||||||||||||||
Total increase (decrease) in net assets applicable to common shareholders | 62,388 | (282,099 | ) | 394,701 | 12,108 | (96,288 | ) | 96,342 | ||||||||||||||||
Net Assets Applicable to Common Shareholders: | ||||||||||||||||||||||||
Beginning of year or period | 1,361,439 | 1,643,538 | 1,248,837 | 509,542 | 605,830 | 509,488 | ||||||||||||||||||
End of year or period | $ | 1,423,827 | $ | 1,361,439 | $ | 1,643,538 | $ | 521,650 | $ | 509,542 | $ | 605,830 | ||||||||||||
* Common Share Transactions: | ||||||||||||||||||||||||
Shares sold | 7,677 | 6,129 | 12,480 | 2,038 | 1,932 | 1,454 | ||||||||||||||||||
Shares issued as reinvestment of distributions | 1,149 | 1,229 | 1,205 | 339 | 333 | 297 | ||||||||||||||||||
Net increase (decrease) in common shares outstanding | 8,826 | 7,358 | 13,685 | 2,377 | 2,265 | 1,751 |
† | A zero balance may reflect actual amounts rounding to less than one thousand. |
(a) | Fiscal year end changed from July 31st to June 30th. |
(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. |
22 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
PIMCO High Income Fund | PIMCO Income Strategy Fund | PIMCO Income Strategy Fund II | ||||||||||||||||||||||||||||||||
Six Months Ended December 31, 2022 (Unaudited) | Period from August 1, 2021 to June 30, 2022(a) | Year Ended July 31, 2021 | Six Months Ended December 31, 2022 (Unaudited) | Period from August 1, 2021 to June 30, 2022(a) | Year Ended July 31, 2021 | Six Months Ended December 31, 2022 (Unaudited) | Period from August 1, 2021 to June 30, 2022(a) | Year Ended July 31, 2021 | ||||||||||||||||||||||||||
$ | 33,968 | $ | 63,684 | $ | 74,602 | $ | 15,623 | $ | 26,309 | $ | 29,956 | $ | 30,358 | $ | 52,001 | $ | 58,329 | |||||||||||||||||
75,505 | 104,357 | (26,302 | ) | 7,195 | 22,077 | (12,033 | ) | 14,371 | 77,080 | (26,509 | ) | |||||||||||||||||||||||
(81,194 | ) | (258,669 | ) | 149,376 | (17,063 | ) | (96,771 | ) | 55,184 | (30,746 | ) | (226,310 | ) | 102,442 | ||||||||||||||||||||
28,279 | (90,628 | ) | 197,676 | 5,755 | (48,385 | ) | 73,107 | 13,983 | (97,229 | ) | 134,262 | |||||||||||||||||||||||
(1,347 | ) | (217 | ) | (69 | ) | (1,292 | ) | (726 | ) | (718 | ) | (2,497 | ) | (1,396 | ) | (1,388 | ) | |||||||||||||||||
26,932 | (90,845 | ) | 197,607 | 4,463 | (49,111 | ) | 72,389 | 11,486 | (98,625 | ) | 132,874 | |||||||||||||||||||||||
(39,642 | ) | (71,078 | ) | (57,461 | ) | (17,766 | ) | (31,501 | ) | (27,617 | ) | (34,497 | ) | (62,269 | ) | (55,505 | ) | |||||||||||||||||
0 | 0 | (19,329 | ) | 0 | 0 | (8,099 | ) | 0 | 0 | (15,939 | ) | |||||||||||||||||||||||
(39,642 | ) | (71,078 | ) | (76,790 | ) | (17,766 | ) | (31,501 | ) | (35,716 | ) | (34,497 | ) | (62,269 | ) | (71,444 | ) | |||||||||||||||||
14,912 | 1,990 | 0 | 10,184 | 9,688 | 30,494 | 12,888 | 12,114 | 48,744 | ||||||||||||||||||||||||||
0 | 0 | 0 | 0 | 13 | 60 | 0 | 38 | 63 | ||||||||||||||||||||||||||
4,421 | 7,608 | 7,812 | 1,749 | 3,127 | 3,186 | 3,624 | 7,080 | 7,529 | ||||||||||||||||||||||||||
| 19,333 | 9,598 | 7,812 | 11,933 | 12,828 | 33,740 | 16,512 | 19,232 | 56,336 | |||||||||||||||||||||||||
| 6,623 | (152,325 | ) | 128,629 | (1,370 | ) | (67,784 | ) | 70,413 | (6,499 | ) | (141,662 | ) | 117,766 | ||||||||||||||||||||
640,448 | 792,773 | 664,144 | 297,796 | 365,580 | 295,167 | 581,955 | 723,617 | 605,851 | ||||||||||||||||||||||||||
$ | 647,071 | $ | 640,448 | $ | 792,773 | $ | 296,426 | $ | 297,796 | $ | 365,580 | $ | 575,456 | $ | 581,955 | $ | 723,617 | |||||||||||||||||
2,982 | 345 | 0 | 1,134 | 925 | 2,766 | 1,664 | 1,259 | 4,997 | ||||||||||||||||||||||||||
926 | 1,306 | 1,349 | 208 | 301 | 297 | 492 | 774 | 800 | ||||||||||||||||||||||||||
3,908 | 1,651 | 1,349 | 1,342 | 1,226 | 3,063 | 2,156 | 2,033 | 5,797 |
SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 23 |
Statements of Cash Flows |
Six Months Ended December 31, 2022 (Unaudited) | ||||||||||||||||||||
(Amounts in thousands†) | PIMCO Corporate & Income Opportunity Fund | PIMCO Corporate & Income Strategy Fund | PIMCO High Income Fund | PIMCO Income Strategy Fund | PIMCO Income Strategy Fund II | |||||||||||||||
Cash Flows Provided by (Used for) Operating Activities: | ||||||||||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | 64,553 | $ | 19,550 | $ | 28,279 | $ | 5,755 | $ | 13,983 | ||||||||||
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 | (404,798 | ) | (117,673 | ) | (134,966 | ) | (71,858 | ) | (128,994 | ) | ||||||||||
Proceeds from sales of long-term securities | 622,551 | 213,850 | 259,249 | 102,729 | 199,933 | |||||||||||||||
(Purchases) Proceeds from sales of short-term portfolio investments, net | 1,368 | (24,842 | ) | (61,354 | ) | (42,099 | ) | (54,190 | ) | |||||||||||
(Increase) decrease in deposits with counterparty | 23,116 | 15,961 | 9,817 | 5,198 | 8,640 | |||||||||||||||
(Increase) decrease in receivable for investments sold | (12,921 | ) | 7,348 | 1,075 | 7,413 | 13,768 | ||||||||||||||
(Increase) decrease in interest and/or dividends receivable | (2,785 | ) | (2,044 | ) | (1,247 | ) | (775 | ) | (1,409 | ) | ||||||||||
Proceeds from (Payments on) exchange-traded or centrally cleared financial derivative instruments | 23,706 | 7,036 | 8,947 | 2,561 | 3,659 | |||||||||||||||
Proceeds from (Payments on) over the counter financial derivative instruments | (7,318 | ) | 2,171 | 3,400 | 2,674 | 3,991 | ||||||||||||||
(Increase) decrease in other assets | (1,851 | ) | (1,056 | ) | (2,592 | ) | (538 | ) | (1,117 | ) | ||||||||||
Increase (decrease) in payable for investments purchased | 2,311 | (8,588 | ) | (23,408 | ) | (7,367 | ) | (7,528 | ) | |||||||||||
Increase (decrease) in payable for unfunded loan commitments | (10,544 | ) | (3,348 | ) | (4,501 | ) | (2,314 | ) | (4,040 | ) | ||||||||||
Increase (decrease) in deposits from counterparty | 9,654 | 900 | 2,865 | 109 | 2,689 | |||||||||||||||
Increase (decrease) in accrued management fees | 84 | 32 | 32 | 8 | 1 | |||||||||||||||
Proceeds from (Payments on) short sales transactions, net | (392 | ) | 0 | 0 | 0 | 0 | ||||||||||||||
Proceeds from (Payments on) foreign currency transactions | (3,275 | ) | (1,822 | ) | (291 | ) | (231 | ) | (416 | ) | ||||||||||
Increase (decrease) in other liabilities | (160 | ) | (65 | ) | (57 | ) | (35 | ) | (53 | ) | ||||||||||
Net Realized (Gain) Loss | ||||||||||||||||||||
Investments in securities | 3,149 | (8,502 | ) | (33,542 | ) | (2,208 | ) | (5,227 | ) | |||||||||||
Exchange-traded or centrally cleared financial derivative instruments | (41,964 | ) | (29,867 | ) | (38,713 | ) | (2,527 | ) | (5,503 | ) | ||||||||||
Over the counter financial derivative instruments | 8,223 | (2,171 | ) | (3,400 | ) | (2,674 | ) | (4,025 | ) | |||||||||||
Foreign currency | 2,760 | 1,773 | 150 | 214 | 384 | |||||||||||||||
Net Change in Unrealized (Appreciation) Depreciation | ||||||||||||||||||||
Investments in securities | 23,367 | 19,216 | 46,703 | 13,948 | 23,157 | |||||||||||||||
Exchange-traded or centrally cleared financial derivative instruments | 15,838 | 21,882 | 28,175 | (68 | ) | 1,968 | ||||||||||||||
Over the counter financial derivative instruments | 1,012 | 2,623 | 4,137 | 2,257 | 3,992 | |||||||||||||||
Short sales | 11 | 0 | 0 | 0 | 0 | |||||||||||||||
Foreign currency assets and liabilities | 8,684 | 3,164 | 2,179 | 926 | 1,629 | |||||||||||||||
Net amortization (accretion) on investments | (12,116 | ) | (3,466 | ) | (5,006 | ) | (1,982 | ) | (3,947 | ) | ||||||||||
Net Cash Provided by (Used for) Operating Activities | 312,263 | 112,062 | 85,931 | 9,116 | 61,345 | |||||||||||||||
Cash Flows Received from (Used for) Financing Activities: | ||||||||||||||||||||
Net proceeds from at‑the‑market offering | 97,702 | 25,671 | 14,912 | 10,683 | 13,337 | |||||||||||||||
Increase (decrease) in overdraft due to custodian | 612 | 79 | 291 | 0 | 0 | |||||||||||||||
Cash distributions paid to common shareholders* | (93,976 | ) | (32,999 | ) | (35,034 | ) | (15,903 | ) | (30,714 | ) | ||||||||||
Cash distributions paid to auction rate preferred shareholders | (5,969 | ) | (528 | ) | (1,303 | ) | (1,255 | ) | (2,410 | ) | ||||||||||
Proceeds from reverse repurchase agreements | 1,736,517 | 661,350 | 609,884 | 231,160 | 461,723 | |||||||||||||||
Payments on reverse repurchase agreements | (2,050,196 | ) | (765,936 | ) | (675,905 | ) | (233,825 | ) | (502,474 | ) | ||||||||||
Net Cash Received from (Used for) Financing Activities | (315,310 | ) | (112,363 | ) | (87,155 | ) | (9,140 | ) | (60,538 | ) | ||||||||||
Net Increase (Decrease) in Cash and Foreign Currency | (3,047 | ) | (301 | ) | (1,224 | ) | (24 | ) | 807 | |||||||||||
Cash and Foreign Currency: | ||||||||||||||||||||
Beginning of period | 9,922 | 2,117 | 2,539 | 1,296 | 2,880 | |||||||||||||||
End of period | $ | 6,875 | $ | 1,816 | $ | 1,315 | $ | 1,272 | $ | 3,687 | ||||||||||
* Reinvestment of distributions to common shareholders | $ | 13,974 | $ | 4,098 | $ | 4,421 | $ | 1,749 | $ | 3,624 | ||||||||||
Supplemental Disclosure of Cash Flow Information: | ||||||||||||||||||||
Interest expense paid during the period | $ | 7,288 | $ | 2,792 | $ | 4,582 | $ | 1,579 | $ | 2,715 | ||||||||||
Non Cash Payment in Kind | $ | 6,674 | $ | 2,128 | $ | 5,111 | $ | 1,181 | $ | 2,747 |
† | A zero balance may reflect actual amounts rounding to less than one thousand. |
24 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
Schedule of Investments | PIMCO Corporate & Income Opportunity Fund | December 31, 2022 | (Unaudited) |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
INVESTMENTS IN SECURITIES 142.5% | ||||||||||||
LOAN PARTICIPATIONS AND ASSIGNMENTS 45.5% | ||||||||||||
Altar Bidco, Inc. | ||||||||||||
10.512% due 02/01/2030 | $ | 3,450 | $ | 2,961 | ||||||||
American Airlines, Inc. | ||||||||||||
8.993% (LIBOR03M + 4.750%) due 04/20/2028 ~ | 12,003 | 11,971 | ||||||||||
AmSurg LLC | ||||||||||||
TBD% due 04/29/2027 µ | 3,446 | 3,373 | ||||||||||
AP Core Holdings LLC | ||||||||||||
9.884% (LIBOR01M + 5.500%) due 09/01/2027 ~ | 39,237 | 35,552 | ||||||||||
Arches Buyer, Inc. | ||||||||||||
7.634% (LIBOR01M + 3.250%) due 12/06/2027 ~ | 2,270 | 2,108 | ||||||||||
Carnival Corp. | ||||||||||||
5.648% (EUR001M + 3.750%) due 06/30/2025 ~ | EUR | 23,575 | 24,325 | |||||||||
7.384% (LIBOR01M + 3.000%) due 06/30/2025 ~ | $ | 1,777 | 1,709 | |||||||||
Casino Guichard-Perrachon SA | ||||||||||||
5.340% (EUR003M + 4.000%) due 08/31/2025 ~ | EUR | 5,600 | 5,101 | |||||||||
Cengage Learning, Inc. | ||||||||||||
7.814% (LIBOR06M + 4.750%) due 07/14/2026 ~ | $ | 3,095 | 2,791 | |||||||||
Comexposium | ||||||||||||
4.969% (EUR001Y + 4.000%) due 03/28/2026 ~ | EUR | 24,800 | 22,255 | |||||||||
Coty, Inc. | ||||||||||||
4.019% (EUR001M + 2.500%) due 04/07/2025 ~ | 6,045 | 6,257 | ||||||||||
Diamond Sports Group LLC | ||||||||||||
12.317% due 05/25/2026 | $ | 30,952 | 29,411 | |||||||||
DirecTV Financing LLC | ||||||||||||
9.384% (LIBOR01M + 5.000%) due 08/02/2027 ~ | 23,091 | 22,531 | ||||||||||
Encina Private Credit LLC | ||||||||||||
TBD% - 8.684% (LIBOR01M + 4.366%) due 11/30/2025 «~µ | 27,444 | 26,855 | ||||||||||
Endure Digital, Inc. | ||||||||||||
7.717% (LIBOR01M + 3.500%) due 02/10/2028 ~ | 7,000 | 6,318 | ||||||||||
Envision Healthcare Corp. | ||||||||||||
12.119% due 04/29/2027 | 18,954 | 18,551 | ||||||||||
15.744% due 04/28/2028 | 44,402 | 36,335 | ||||||||||
Forbes Energy Services LLC | ||||||||||||
7.000% due 06/30/2023 « | 935 | 0 | ||||||||||
11.000% due 06/30/2023 « | 13 | 0 | ||||||||||
Gateway Casinos & Entertainment Ltd. | ||||||||||||
12.138% due 10/15/2027 | 15,435 | 15,242 | ||||||||||
12.565% due 10/18/2027 | CAD | 9,245 | 6,743 | |||||||||
GIP Blue Holding LP | ||||||||||||
9.230% (LIBOR03M + 4.500%) due 09/29/2028 ~ | $ | 1 | 1 | |||||||||
Hudson River Trading LLC | ||||||||||||
7.438% due 03/20/2028 | 4,752 | 4,505 | ||||||||||
Intelsat Jackson Holdings SA | ||||||||||||
7.445% due 02/01/2029 | 8,809 | 8,522 | ||||||||||
Lealand Finance Co. BV | ||||||||||||
7.384% (LIBOR01M + 3.000%) due 06/28/2024 ~ | 189 | 123 | ||||||||||
Lealand Finance Co. BV (5.384% Cash and 3.000% PIK) | ||||||||||||
8.384% (LIBOR01M + 1.000%) due 06/30/2025 ~(b) | 2,116 | 1,136 | ||||||||||
MPH Acquisition Holdings LLC | ||||||||||||
8.985% (LIBOR03M + 4.250%) due 09/01/2028 ~ | 15,741 | 13,518 | ||||||||||
Naked Juice LLC | ||||||||||||
10.680% due 01/24/2030 | 2,200 | 1,778 | ||||||||||
Nuuday AS | ||||||||||||
TBD% due 12/31/2027 | EUR | 6,600 | 6,579 | |||||||||
Poseidon Bidco SASU | ||||||||||||
7.452% (EUR003M + 5.250%) due 07/14/2028 «~ | 15,800 | 14,572 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Promotora de Informaciones SA | ||||||||||||
6.708% (EUR003M + 5.250%) due 12/31/2026 «~ | EUR | 24,591 | $ | 22,638 | ||||||||
8.000% (EUR003M + 8.000%) due 06/30/2027 «~ | 8,037 | 7,528 | ||||||||||
PUG LLC | ||||||||||||
7.884% (LIBOR01M + 3.500%) due 02/12/2027 ~ | $ | 18,985 | 15,805 | |||||||||
8.634% (LIBOR01M + 4.250%) due 02/12/2027 «~ | 9,950 | 8,283 | ||||||||||
Redstone Holdco 2 LP | ||||||||||||
9.108% (LIBOR03M + 4.750%) due 04/27/2028 ~ | 21,124 | 14,726 | ||||||||||
RegionalCare Hospital Partners Holdings, Inc. | ||||||||||||
8.165% (LIBOR03M + 3.750%) due 11/16/2025 ~ | 2,279 | 2,154 | ||||||||||
Rising Tide Holdings, Inc. | ||||||||||||
9.485% (LIBOR03M + 4.750%) due 06/01/2028 «~ | 5,135 | 2,439 | ||||||||||
Sigma Bidco BV | ||||||||||||
3.738% (EUR006M + 3.500%) due 07/02/2025 ~ | EUR | 23,000 | 21,450 | |||||||||
Steenbok Lux Finco 2 SARL (10.750% PIK) | ||||||||||||
10.750% (EUR006M) due 06/30/2023 ~(b) | 57,140 | 39,350 | ||||||||||
Sunshine Luxembourg SARL | ||||||||||||
8.480% (LIBOR03M + 3.750%) due 10/01/2026 ~ | $ | 486 | 467 | |||||||||
Surgery Center Holdings, Inc. | ||||||||||||
8.050% (LIBOR03M + 3.750%) due 08/31/2026 ~ | 5,522 | 5,466 | ||||||||||
Syniverse Holdings, Inc. | ||||||||||||
11.580% due 05/13/2027 | 41,969 | 36,827 | ||||||||||
Team Health Holdings, Inc. | ||||||||||||
7.134% (LIBOR01M + 2.750%) due 02/06/2024 ~ | 32,653 | 28,082 | ||||||||||
9.573% due 03/02/2027 | 7,080 | 5,357 | ||||||||||
Telemar Norte Leste SA | ||||||||||||
TBD% due 02/26/2035 « | 34,951 | 12,233 | ||||||||||
TransDigm, Inc. | ||||||||||||
6.980% (LIBOR03M + 2.250%) due 05/30/2025 ~ | 27 | 27 | ||||||||||
7.830% due 02/22/2027 | 11,505 | 11,480 | ||||||||||
U.S. Renal Care, Inc. | ||||||||||||
9.438% (LIBOR01M + 5.000%) due 06/26/2026 ~ | 34,695 | 19,581 | ||||||||||
9.938% (LIBOR01M + 5.500%) due 06/26/2026 ~ | 18,412 | 10,391 | ||||||||||
Uber Technologies, Inc. | ||||||||||||
8.235% (LIBOR03M + 3.500%) due 02/25/2027 ~ | 1,385 | 1,385 | ||||||||||
Veritas U.S., Inc. | ||||||||||||
9.730% (LIBOR03M + 5.000%) due 09/01/2025 ~ | 31,177 | 22,152 | ||||||||||
Viad Corp. | ||||||||||||
9.384% (LIBOR01M + 5.000%) due 07/30/2028 ~ | 4,444 | 4,215 | ||||||||||
Westmoreland Mining Holdings LLC (15.000% PIK) | ||||||||||||
15.000% due 03/15/2029 (b) | 4,243 | 3,299 | ||||||||||
Windstream Services LLC | ||||||||||||
8.423% due 02/28/2027 « | 14,910 | 14,224 | ||||||||||
10.673% (LIBOR01M + 6.250%) due 09/21/2027 ~ | 7,488 | 6,811 | ||||||||||
Total Loan Participations and Assignments (Cost $739,658) | 647,493 | |||||||||||
CORPORATE BONDS & NOTES 53.2% | ||||||||||||
BANKING & FINANCE 14.3% | ||||||||||||
ADLER Real Estate AG | ||||||||||||
3.000% due 04/27/2026 | EUR | 400 | 299 | |||||||||
Ally Financial, Inc. | ||||||||||||
8.000% due 11/01/2031 (l) | $ | 3,550 | 3,701 | |||||||||
Apollo Commercial Real Estate Finance, Inc. | ||||||||||||
4.625% due 06/15/2029 (l) | 2,060 | 1,651 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Armor Holdco, Inc. | ||||||||||||
8.500% due 11/15/2029 (l) | $ | 14,000 | $ | 10,533 | ||||||||
Banca Monte dei Paschi di Siena SpA | ||||||||||||
1.875% due 01/09/2026 | EUR | 500 | 460 | |||||||||
2.625% due 04/28/2025 | 19,170 | 18,621 | ||||||||||
3.625% due 09/24/2024 | 9,609 | 9,789 | ||||||||||
5.375% due 01/18/2028 • | 8,500 | 7,357 | ||||||||||
8.000% due 01/22/2030 • | 3,909 | 3,671 | ||||||||||
8.500% due 09/10/2030 • | 4,500 | 4,249 | ||||||||||
10.500% due 07/23/2029 | 6,159 | 6,123 | ||||||||||
Banco de Credito del Peru SA | ||||||||||||
4.650% due 09/17/2024 | PEN | 1,600 | 394 | |||||||||
Barclays PLC | ||||||||||||
7.437% due 11/02/2033 • | $ | 4,670 | 4,907 | |||||||||
BNP Paribas SA | ||||||||||||
3.132% due 01/20/2033 • | 4,119 | 3,262 | ||||||||||
BOI Finance BV | ||||||||||||
7.500% due 02/16/2027 | EUR | 7,100 | 6,138 | |||||||||
Corsair International Ltd. | ||||||||||||
5.473% due 01/28/2027 • | 1,300 | 1,381 | ||||||||||
5.823% due 01/28/2029 • | 1,100 | 1,166 | ||||||||||
Cosaint Re Pte. Ltd. | ||||||||||||
13.850% (T‑BILL 1MO + 9.250%) due 04/03/2028 ~ | $ | 1,900 | 1,539 | |||||||||
Country Garden Holdings Co. Ltd. | ||||||||||||
2.700% due 07/12/2026 | 300 | 172 | ||||||||||
3.125% due 10/22/2025 | 200 | 123 | ||||||||||
4.800% due 08/06/2030 | 200 | 107 | ||||||||||
6.150% due 09/17/2025 | 200 | 131 | ||||||||||
8.000% due 01/27/2024 | 300 | 232 | ||||||||||
Credit Agricole SA | ||||||||||||
7.875% due 01/23/2024 •(h)(i) | 400 | 398 | ||||||||||
Credit Suisse Group AG | ||||||||||||
6.373% due 07/15/2026 •(l) | 1,200 | 1,128 | ||||||||||
6.375% due 08/21/2026 •(h)(i)(l) | 1,300 | 935 | ||||||||||
6.442% due 08/11/2028 •(l) | 4,000 | 3,649 | ||||||||||
6.537% due 08/12/2033 •(l) | 2,300 | 2,024 | ||||||||||
7.250% due 09/12/2025 •(h)(i)(l) | 200 | 144 | ||||||||||
7.500% due 07/17/2023 •(h)(i)(l) | 600 | 481 | ||||||||||
7.500% due 07/17/2023 •(h)(i) | 700 | 561 | ||||||||||
7.500% due 12/11/2023 •(h)(i) | 2,736 | 2,397 | ||||||||||
7.500% due 12/11/2023 •(h)(i)(l) | 1,100 | 964 | ||||||||||
Doric Nimrod Air Alpha Pass-Through Trust | ||||||||||||
5.250% due 05/30/2025 | 13 | 13 | ||||||||||
Essential Properties LP | ||||||||||||
2.950% due 07/15/2031 (l) | 500 | 365 | ||||||||||
GLP Capital LP | ||||||||||||
3.250% due 01/15/2032 (l) | 400 | 320 | ||||||||||
GSPA Monetization Trust | ||||||||||||
6.422% due 10/09/2029 | 4,940 | 4,747 | ||||||||||
Hampton Roads PPV LLC | ||||||||||||
6.171% due 06/15/2053 | 1,800 | 1,560 | ||||||||||
Hestia Re Ltd. | ||||||||||||
13.840% (T‑BILL 1MO + 9.500%) due 04/22/2025 ~ | 1,878 | 1,549 | ||||||||||
Huarong Finance Co. Ltd. | ||||||||||||
3.375% due 02/24/2030 | 300 | 229 | ||||||||||
3.875% due 11/13/2029 | 700 | 554 | ||||||||||
4.250% due 11/07/2027 | 200 | 171 | ||||||||||
4.500% due 05/29/2029 | 1,300 | 1,080 | ||||||||||
4.750% due 04/27/2027 | 200 | 175 | ||||||||||
Intesa Sanpaolo SpA | ||||||||||||
7.750% due 01/11/2027 •(h)(i) | EUR | 2,400 | 2,485 | |||||||||
8.248% due 11/21/2033 • | $ | 14,304 | 14,552 | |||||||||
MPT Operating Partnership LP | ||||||||||||
3.375% due 04/24/2030 | GBP | 2,100 | 1,664 | |||||||||
National Health Investors, Inc. | ||||||||||||
3.000% due 02/01/2031 (l) | $ | 800 | 578 | |||||||||
Sanders Re Ltd. | ||||||||||||
16.090% (T‑BILL 3MO + 11.750%) due 04/09/2029 ~ | 3,241 | 3,078 | ||||||||||
Seazen Group Ltd. | ||||||||||||
6.000% due 08/12/2024 | 200 | 157 | ||||||||||
Unique Pub Finance Co. PLC | ||||||||||||
5.659% due 06/30/2027 | GBP | 711 | 849 |
See Accompanying Notes | SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 25 |
Schedule of Investments | PIMCO Corporate & Income Opportunity Fund | (Cont.) |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Uniti Group LP | ||||||||||||
6.000% due 01/15/2030 (l) | $ | 20,566 | $ | 13,040 | ||||||||
7.875% due 02/15/2025 (l) | 30,470 | 29,560 | ||||||||||
VICI Properties LP | ||||||||||||
3.875% due 02/15/2029 (l) | 3,300 | 2,897 | ||||||||||
4.500% due 09/01/2026 (l) | 4,050 | 3,817 | ||||||||||
4.500% due 01/15/2028 (l) | 3,050 | 2,816 | ||||||||||
5.750% due 02/01/2027 (l) | 600 | 586 | ||||||||||
Voyager Aviation Holdings LLC | ||||||||||||
8.500% due 05/09/2026 | 20,412 | 16,202 | ||||||||||
Yosemite Re Ltd. | ||||||||||||
14.087% (T‑BILL 3MO + 9.750%) due 06/06/2025 ~ | 1,790 | 1,725 | ||||||||||
203,456 | ||||||||||||
INDUSTRIALS 33.1% | ||||||||||||
AA Bond Co. Ltd. | ||||||||||||
5.500% due 07/31/2050 | GBP | 3,541 | 3,714 | |||||||||
Air Canada Pass-Through Trust | ||||||||||||
5.250% due 10/01/2030 | $ | 1,198 | 1,133 | |||||||||
Altice Financing SA | ||||||||||||
5.750% due 08/15/2029 (l) | 6,551 | 5,165 | ||||||||||
Altice France Holding SA | ||||||||||||
10.500% due 05/15/2027 (l) | 12,200 | 9,329 | ||||||||||
American Airlines Pass-Through Trust | ||||||||||||
3.350% due 04/15/2031 (l) | 1,135 | 982 | ||||||||||
3.375% due 11/01/2028 (l) | 438 | 366 | ||||||||||
3.700% due 04/01/2028 (l) | 1,842 | 1,594 | ||||||||||
Arches Buyer, Inc. | ||||||||||||
4.250% due 06/01/2028 (l) | 3,400 | 2,664 | ||||||||||
Boeing Co. | ||||||||||||
5.705% due 05/01/2040 (l) | 7,570 | 7,251 | ||||||||||
5.930% due 05/01/2060 (l) | 1,804 | 1,653 | ||||||||||
6.125% due 02/15/2033 (l) | 3,988 | 4,066 | ||||||||||
British Airways Pass-Through Trust | ||||||||||||
4.250% due 05/15/2034 | 54 | 48 | ||||||||||
Carvana Co. | ||||||||||||
10.250% due 05/01/2030 | 5,800 | 2,736 | ||||||||||
CDW LLC | ||||||||||||
3.569% due 12/01/2031 (l) | 2,300 | 1,900 | ||||||||||
CGG SA | ||||||||||||
7.750% due 04/01/2027 | EUR | 16,519 | 14,511 | |||||||||
8.750% due 04/01/2027 (l) | $ | 8,648 | 6,927 | |||||||||
Champion Path Holdings Ltd. | ||||||||||||
4.500% due 01/27/2026 | 3,300 | 2,881 | ||||||||||
4.850% due 01/27/2028 | 2,800 | 2,362 | ||||||||||
Community Health Systems, Inc. | ||||||||||||
8.000% due 03/15/2026 (l) | 29,415 | 26,841 | ||||||||||
CVS Pass-Through Trust | ||||||||||||
7.507% due 01/10/2032 (l) | 1,371 | 1,428 | ||||||||||
DISH DBS Corp. | ||||||||||||
5.250% due 12/01/2026 (l) | 10,002 | 8,444 | ||||||||||
5.750% due 12/01/2028 (l) | 17,500 | 14,000 | ||||||||||
DTEK Energy BV (3.500% Cash and 3.500% PIK) | ||||||||||||
7.000% due 12/31/2027 (b) | 8,767 | 2,416 | ||||||||||
Dufry One BV | ||||||||||||
3.625% due 04/15/2026 | CHF | 9,345 | 8,898 | |||||||||
Endurance International Group Holdings, Inc. | ||||||||||||
6.000% due 02/15/2029 | $ | 1,000 | 689 | |||||||||
Exela Intermediate LLC | ||||||||||||
11.500% due 07/15/2026 | 158 | 28 | ||||||||||
Ford Motor Co. | ||||||||||||
7.700% due 05/15/2097 (l) | 26,551 | 25,176 | ||||||||||
Greene King Finance PLC | ||||||||||||
5.322% (SONIO/N + 1.919%) due 12/15/2034 ~ | GBP | 350 | 327 | |||||||||
HCA, Inc. | ||||||||||||
7.500% due 11/15/2095 (l) | $ | 4,800 | 5,168 | |||||||||
HF Sinclair Corp. | ||||||||||||
4.500% due 10/01/2030 (l) | 10,345 | 9,106 | ||||||||||
IHO Verwaltungs GmbH (3.875% Cash or 4.625% PIK) | ||||||||||||
3.875% due 05/15/2027 (b) | EUR | 256 | 233 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Intelsat Jackson Holdings SA | ||||||||||||
6.500% due 03/15/2030 (l) | $ | 33,857 | $ | 30,352 | ||||||||
Inter Media & Communication SpA | ||||||||||||
6.750% due 02/09/2027 | EUR | 7,000 | 7,122 | |||||||||
Market Bidco Finco PLC | ||||||||||||
4.750% due 11/04/2027 | 1,800 | 1,555 | ||||||||||
Melco Resorts Finance Ltd. | ||||||||||||
4.875% due 06/06/2025 (l) | $ | 4,300 | 3,956 | |||||||||
5.375% due 12/04/2029 (l) | 200 | 161 | ||||||||||
5.750% due 07/21/2028 (l) | 4,100 | 3,435 | ||||||||||
5.750% due 07/21/2028 | 200 | 168 | ||||||||||
MGM China Holdings Ltd. | ||||||||||||
5.250% due 06/18/2025 (l) | 2,400 | 2,261 | ||||||||||
Nissan Motor Co. Ltd. | ||||||||||||
4.810% due 09/17/2030 (l) | 21,100 | 17,953 | ||||||||||
Noble Corp. PLC (11.000% Cash or 15.000% PIK) | ||||||||||||
11.000% due 02/15/2028 (b) | 105 | 116 | ||||||||||
NPC Ukrenergo | ||||||||||||
6.875% due 11/09/2028 ^(c) | 1,000 | 178 | ||||||||||
Odebrecht Oil & Gas Finance Ltd. | ||||||||||||
0.000% due 01/30/2023 (f)(h) | 1,279 | 3 | ||||||||||
Olympus Water U.S. Holding Corp. | ||||||||||||
5.375% due 10/01/2029 | EUR | 6,300 | 4,918 | |||||||||
Oracle Corp. | ||||||||||||
3.850% due 04/01/2060 | $ | 200 | 134 | |||||||||
4.100% due 03/25/2061 (j)(l) | 2,600 | 1,817 | ||||||||||
Petroleos Mexicanos | ||||||||||||
6.700% due 02/16/2032 (l) | 7,494 | 5,899 | ||||||||||
Prime Healthcare Services, Inc. | ||||||||||||
7.250% due 11/01/2025 (l) | 10,800 | 9,143 | ||||||||||
Prosus NV | ||||||||||||
1.985% due 07/13/2033 | EUR | 1,100 | 800 | |||||||||
2.778% due 01/19/2034 | 1,600 | 1,237 | ||||||||||
3.832% due 02/08/2051 | $ | 1,900 | 1,154 | |||||||||
QVC, Inc. | ||||||||||||
5.950% due 03/15/2043 (l) | 3,261 | 1,617 | ||||||||||
Russian Railways Via RZD Capital PLC | ||||||||||||
7.487% due 03/25/2031 ^(c) | GBP | 1,500 | 980 | |||||||||
Sands China Ltd. | ||||||||||||
2.800% due 03/08/2027 (l) | $ | 1,800 | 1,544 | |||||||||
3.350% due 03/08/2029 (l) | 1,600 | 1,309 | ||||||||||
3.750% due 08/08/2031 (l) | 330 | 260 | ||||||||||
5.900% due 08/08/2028 (l) | 11,531 | 10,812 | ||||||||||
Studio City Finance Ltd. | ||||||||||||
5.000% due 01/15/2029 (l) | 1,200 | 888 | ||||||||||
5.000% due 01/15/2029 | 200 | 148 | ||||||||||
6.000% due 07/15/2025 (l) | 4,400 | 3,822 | ||||||||||
6.500% due 01/15/2028 (l) | 4,200 | 3,268 | ||||||||||
Syngenta Finance NV | ||||||||||||
4.892% due 04/24/2025 (l) | 200 | 194 | ||||||||||
Topaz Solar Farms LLC | ||||||||||||
4.875% due 09/30/2039 (l) | 3,900 | 3,470 | ||||||||||
5.750% due 09/30/2039 (l) | 31,181 | 29,638 | ||||||||||
U.S. Airways Pass-Through Trust | ||||||||||||
3.950% due 05/15/2027 (l) | 533 | 485 | ||||||||||
U.S. Renal Care, Inc. | ||||||||||||
10.625% due 07/15/2027 (l) | 8,644 | 1,902 | ||||||||||
United Airlines Pass-Through Trust | ||||||||||||
4.150% due 02/25/2033 | 77 | 69 | ||||||||||
United Group BV | ||||||||||||
4.875% due 07/01/2024 | EUR | 200 | 200 | |||||||||
Valaris Ltd. (8.250% Cash or 12.000% PIK) | ||||||||||||
8.250% due 04/30/2028 (b)(l) | $ | 11,533 | 11,615 | |||||||||
Vale SA | ||||||||||||
3.202% due 12/29/2049 ~(h) | BRL | 250,000 | 17,666 | |||||||||
Veritas U.S., Inc. | ||||||||||||
7.500% due 09/01/2025 (l) | $ | 12,780 | 8,829 | |||||||||
Viking Cruises Ltd. | ||||||||||||
13.000% due 05/15/2025 (l) | 13,655 | 14,428 | ||||||||||
Viking Ocean Cruises Ship Ltd. | ||||||||||||
5.625% due 02/15/2029 | 100 | 81 | ||||||||||
VOC Escrow Ltd. | ||||||||||||
5.000% due 02/15/2028 (l) | 13,238 | 11,407 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Wesco Aircraft Holdings, Inc. (7.500% Cash and 3.000% PIK) | ||||||||||||
10.500% due 11/15/2026 (b) | $ | 62,397 | $ | 57,561 | ||||||||
Windstream Escrow LLC | ||||||||||||
7.750% due 08/15/2028 (l) | 17,165 | 14,027 | ||||||||||
Wynn Macau Ltd. | ||||||||||||
4.875% due 10/01/2024 (l) | 600 | 567 | ||||||||||
5.125% due 12/15/2029 (l) | 1,200 | 973 | ||||||||||
5.500% due 01/15/2026 (l) | 500 | 459 | ||||||||||
5.500% due 01/15/2026 | 4,100 | 3,768 | ||||||||||
5.500% due 10/01/2027 (l) | 1,300 | 1,138 | ||||||||||
5.625% due 08/26/2028 (l) | 4,535 | 3,883 | ||||||||||
471,406 | ||||||||||||
UTILITIES 5.8% | ||||||||||||
Eskom Holdings SOC Ltd. | ||||||||||||
6.750% due 08/06/2023 | 3,900 | 3,765 | ||||||||||
7.125% due 02/11/2025 | 8,800 | 8,035 | ||||||||||
7.125% due 02/11/2025 (l) | 1,800 | 1,644 | ||||||||||
Mountain States Telephone & Telegraph Co. | ||||||||||||
7.375% due 05/01/2030 (l) | 6,900 | 6,714 | ||||||||||
NGD Holdings BV | ||||||||||||
6.750% due 12/31/2026 | 1,261 | 587 | ||||||||||
Odebrecht Drilling Norbe Ltd. (6.350% Cash and 1.000% PIK) | ||||||||||||
7.350% due 12/01/2026 ^(b) | 355 | 196 | ||||||||||
Odebrecht Offshore Drilling Finance Ltd. (6.720% Cash and 1.000% PIK) | ||||||||||||
7.720% due 12/01/2026 ^(b) | 9,761 | 2,611 | ||||||||||
Oi SA | ||||||||||||
10.000% due 07/27/2025 | 64,484 | 11,143 | ||||||||||
Pacific Gas & Electric Co. | ||||||||||||
3.300% due 03/15/2027 (l) | 3,862 | 3,441 | ||||||||||
3.750% due 08/15/2042 | 46 | 31 | ||||||||||
4.000% due 12/01/2046 (l) | 1,006 | 677 | ||||||||||
4.200% due 03/01/2029 (l) | 4,200 | 3,759 | ||||||||||
4.300% due 03/15/2045 (l) | 257 | 183 | ||||||||||
4.450% due 04/15/2042 (l) | 2,491 | 1,863 | ||||||||||
4.500% due 12/15/2041 (l) | 65 | 46 | ||||||||||
4.600% due 06/15/2043 (l) | 1,036 | 787 | ||||||||||
4.750% due 02/15/2044 (l) | 15,063 | 11,582 | ||||||||||
4.950% due 07/01/2050 (l) | 8,191 | 6,382 | ||||||||||
Peru LNG SRL | ||||||||||||
5.375% due 03/22/2030 | 18,496 | 15,475 | ||||||||||
Rio Oil Finance Trust | ||||||||||||
9.250% due 07/06/2024 | 1,696 | 1,722 | ||||||||||
9.250% due 07/06/2024 (l) | 1,614 | 1,638 | ||||||||||
82,281 | ||||||||||||
Total Corporate Bonds & Notes (Cost $906,555) | 757,143 | |||||||||||
CONVERTIBLE BONDS & NOTES 0.3% | ||||||||||||
INDUSTRIALS 0.3% | ||||||||||||
DISH Network Corp. | ||||||||||||
3.375% due 08/15/2026 | 5,900 | 3,711 | ||||||||||
Total Convertible Bonds & Notes (Cost $5,900) | 3,711 | |||||||||||
MUNICIPAL BONDS & NOTES 1.6% | ||||||||||||
CALIFORNIA 0.2% | ||||||||||||
Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2021 | ||||||||||||
3.850% due 06/01/2050 | 1,000 | 886 | ||||||||||
4.214% due 06/01/2050 | 2,400 | 1,879 | ||||||||||
2,765 | ||||||||||||
ILLINOIS 0.4% | ||||||||||||
Chicago, Illinois General Obligation Bonds, (BABs), Series 2010 | ||||||||||||
7.517% due 01/01/2040 | 5,000 | 5,278 |
26 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
December 31, 2022 | (Unaudited) |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Chicago, Illinois General Obligation Bonds, Series 2015 | ||||||||||||
7.750% due 01/01/2042 | $ | 51 | $ | 52 | ||||||||
Chicago, Illinois General Obligation Bonds, Series 2017 | ||||||||||||
7.045% due 01/01/2029 | 145 | 147 | ||||||||||
5,477 | ||||||||||||
PUERTO RICO 0.6% | ||||||||||||
Commonwealth of Puerto Rico Bonds, Series 2022 | ||||||||||||
0.000% due 11/01/2043 (f) | 10,868 | 4,768 | ||||||||||
0.000% due 11/01/2051 (f) | 11,793 | 3,980 | ||||||||||
8,748 | ||||||||||||
WEST VIRGINIA 0.4% | ||||||||||||
Tobacco Settlement Finance Authority, West Virginia Revenue Bonds, Series 2007 | ||||||||||||
0.000% due 06/01/2047 (f) | 78,700 | 5,860 | ||||||||||
Total Municipal Bonds & Notes (Cost $27,264) | 22,850 | |||||||||||
U.S. GOVERNMENT AGENCIES 1.8% | ||||||||||||
Fannie Mae | ||||||||||||
3.000% due 01/25/2042 (a)(l) | 141 | 9 | ||||||||||
3.500% due 02/25/2033 (a)(l) | 973 | 93 | ||||||||||
4.500% due 07/25/2050 (a) | 4,856 | 998 | ||||||||||
5.000% due 02/25/2036 ~(a) | 235 | 34 | ||||||||||
10.139% due 07/25/2029 • | 2,010 | 2,194 | ||||||||||
Freddie Mac | ||||||||||||
0.040% due 03/15/2043 •(l) | 69 | 44 | ||||||||||
0.217% due 09/15/2042 • | 711 | 413 | ||||||||||
0.325% due 03/15/2044 • | 1,822 | 1,211 | ||||||||||
0.542% due 07/15/2039 • | 2,207 | 1,566 | ||||||||||
1.013% due 02/15/2036 ~ | 5,228 | 4,309 | ||||||||||
3.000% due 12/25/2050 (a) | 7,730 | 1,243 | ||||||||||
3.227% due 02/15/2034 ~(a) | 993 | 88 | ||||||||||
3.500% due 10/15/2035 (a)(l) | 980 | 106 | ||||||||||
5.992% due 11/25/2055 «~ | 13,654 | 8,392 | ||||||||||
11.939% due 12/25/2027 ~ | 4,170 | 4,189 | ||||||||||
Ginnie Mae | ||||||||||||
2.397% due 01/20/2042 •(a) | 874 | 81 | ||||||||||
3.500% due 09/16/2041 (a) | 255 | 31 | ||||||||||
3.500% due 06/20/2042 (a)(l) | 141 | 25 | ||||||||||
Total U.S. Government Agencies (Cost $28,396) | 25,026 | |||||||||||
NON‑AGENCY MORTGAGE-BACKED SECURITIES 10.3% | ||||||||||||
Adjustable Rate Mortgage Trust | ||||||||||||
4.729% due 05/25/2036 • | 1,474 | 566 | ||||||||||
5.539% due 01/25/2035 • | 2,515 | 2,183 | ||||||||||
Banc of America Funding Trust | ||||||||||||
4.629% due 06/26/2036 ~ | 4,629 | 3,719 | ||||||||||
5.500% due 01/25/2036 | 51 | 51 | ||||||||||
6.000% due 07/25/2037 ^ | 313 | 245 | ||||||||||
BCAP LLC Trust | ||||||||||||
3.082% due 03/27/2036 ~ | 2,421 | 1,746 | ||||||||||
3.733% due 02/26/2036 ~ | 1,451 | 1,307 | ||||||||||
4.611% due 03/26/2037 þ | 1,236 | 1,676 | ||||||||||
7.000% due 12/26/2036 ~ | 2,088 | 1,397 | ||||||||||
Bear Stearns ALT‑A Trust | ||||||||||||
3.586% due 11/25/2036 ^~ | 499 | 267 | ||||||||||
3.642% due 08/25/2046 ^~ | 2,636 | 1,872 | ||||||||||
3.697% due 08/25/2036 ^~ | 2,073 | 1,103 | ||||||||||
3.908% due 09/25/2035 ^~ | 470 | 279 | ||||||||||
3.923% due 11/25/2034 ~ | 181 | 167 | ||||||||||
Bear Stearns Asset-Backed Securities Trust | ||||||||||||
4.789% due 04/25/2037 ~ | 7,998 | 6,597 | ||||||||||
Bear Stearns Mortgage Funding Trust | ||||||||||||
7.500% due 08/25/2036 þ | 178 | 178 | ||||||||||
Benchmark Mortgage Trust | ||||||||||||
2.760% due 02/15/2054 ~ | 8,388 | 4,921 | ||||||||||
BFLD Trust | ||||||||||||
8.018% due 10/15/2035 • | 4,700 | 3,853 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
CD Mortgage Trust | ||||||||||||
5.688% due 10/15/2048 | $ | 604 | $ | 532 | ||||||||
Chase Mortgage Finance Trust | ||||||||||||
3.946% due 12/25/2035 ^~ | 8 | 7 | ||||||||||
6.000% due 02/25/2037 ^ | 1,193 | 492 | ||||||||||
6.000% due 03/25/2037 ^ | 289 | 157 | ||||||||||
6.000% due 07/25/2037 ^ | 1,000 | 489 | ||||||||||
Citigroup Commercial Mortgage Trust | ||||||||||||
5.447% due 12/10/2049 ~ | 328 | 162 | ||||||||||
Citigroup Mortgage Loan Trust | ||||||||||||
3.463% due 03/25/2037 ^~ | 252 | 220 | ||||||||||
3.762% due 11/25/2035 ~ | 10,845 | 6,262 | ||||||||||
3.993% due 04/25/2037 ^~ | 1,750 | 1,463 | ||||||||||
6.000% due 11/25/2036 ~ | 9,341 | 5,544 | ||||||||||
CitiMortgage Alternative Loan Trust | ||||||||||||
5.750% due 04/25/2037 ^ | 1,242 | 1,108 | ||||||||||
Commercial Mortgage Loan Trust | ||||||||||||
6.480% due 12/10/2049 ~ | 928 | 149 | ||||||||||
Countrywide Alternative Loan Resecuritization Trust | ||||||||||||
6.000% due 08/25/2037 ^~ | 1,426 | 854 | ||||||||||
Countrywide Alternative Loan Trust | ||||||||||||
0.861% due 04/25/2037 ^•(a) | 13,611 | 1,143 | ||||||||||
3.594% due 06/25/2037 ^~ | 915 | 783 | ||||||||||
4.773% due 03/20/2046 • | 2,640 | 2,061 | ||||||||||
4.929% due 08/25/2035 ~ | 227 | 125 | ||||||||||
5.500% due 03/25/2035 | 381 | 174 | ||||||||||
5.500% due 09/25/2035 ^ | 3,071 | 2,098 | ||||||||||
5.541% due 02/25/2036 • | 925 | 748 | ||||||||||
5.750% due 01/25/2035 | 245 | 231 | ||||||||||
5.750% due 02/25/2035 | 366 | 257 | ||||||||||
6.000% due 02/25/2035 | 457 | 349 | ||||||||||
6.000% due 04/25/2036 | 1,241 | 613 | ||||||||||
6.000% due 05/25/2036 ^ | 1,394 | 710 | ||||||||||
6.000% due 02/25/2037 ^ | 497 | 192 | ||||||||||
6.000% due 02/25/2037 | 1,486 | 840 | ||||||||||
6.000% due 04/25/2037 ^ | 4,094 | 2,068 | ||||||||||
6.000% due 08/25/2037 ^• | 6,438 | 3,388 | ||||||||||
6.250% due 10/25/2036 ^ | 1,433 | 909 | ||||||||||
6.250% due 12/25/2036 ^• | 2,366 | 1,094 | ||||||||||
6.500% due 08/25/2036 ^ | 659 | 237 | ||||||||||
6.500% due 09/25/2036 ^ | 321 | 185 | ||||||||||
Countrywide Home Loan Mortgage Pass-Through Trust | ||||||||||||
5.500% due 07/25/2037 ^ | 410 | 191 | ||||||||||
6.000% due 04/25/2036 ^ | 248 | 153 | ||||||||||
Credit Suisse Mortgage Capital Mortgage-Backed Trust | ||||||||||||
5.750% due 04/25/2036 ^ | 904 | 501 | ||||||||||
Eurosail PLC | ||||||||||||
4.861% due 06/13/2045 ~ | GBP | 4,487 | 3,863 | |||||||||
7.511% due 06/13/2045 ~ | 1,394 | 1,385 | ||||||||||
First Horizon Alternative Mortgage Securities Trust | ||||||||||||
6.250% due 11/25/2036 ^ | $ | 981 | 366 | |||||||||
Freddie Mac | ||||||||||||
9.428% due 01/25/2034 • | 5,000 | 3,946 | ||||||||||
11.728% due 11/25/2041 ~ | 8,800 | 7,529 | ||||||||||
GS Mortgage Securities Corp. | ||||||||||||
7.736% due 08/15/2039 ~ | 2,600 | 2,624 | ||||||||||
GS Mortgage Securities Corp. Trust | ||||||||||||
4.591% due 10/10/2032 ~ | 9,200 | 8,673 | ||||||||||
GSR Mortgage Loan Trust | ||||||||||||
3.338% due 03/25/2037 ^~ | 1,345 | 822 | ||||||||||
3.954% due 11/25/2035 ^~ | 531 | 437 | ||||||||||
HomeBanc Mortgage Trust | ||||||||||||
5.589% due 03/25/2035 ~ | 80 | 61 | ||||||||||
IndyMac IMSC Mortgage Loan Trust | ||||||||||||
6.500% due 07/25/2037 ^ | 6,455 | 2,096 | ||||||||||
Jackson Park Trust | ||||||||||||
3.242% due 10/14/2039 ~ | 4,368 | 3,158 | ||||||||||
JP Morgan Alternative Loan Trust | ||||||||||||
3.585% due 03/25/2037 ~ | 4,330 | 3,860 | ||||||||||
JP Morgan Mortgage Trust | ||||||||||||
3.340% due 06/25/2036 ^~ | 334 | 240 | ||||||||||
3.478% due 02/25/2036 ^~ | 947 | 704 | ||||||||||
3.850% due 01/25/2037 ^~ | 441 | 359 | ||||||||||
4.006% due 10/25/2035 ~ | 11 | 10 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Lehman Mortgage Trust | ||||||||||||
6.000% due 07/25/2037 ^ | $ | 65 | $ | 58 | ||||||||
Lehman XS Trust | ||||||||||||
4.829% due 06/25/2047 • | 1,599 | 1,426 | ||||||||||
MASTR Alternative Loan Trust | ||||||||||||
6.750% due 07/25/2036 | 2,815 | 1,045 | ||||||||||
Merrill Lynch Mortgage Investors Trust | ||||||||||||
2.736% due 03/25/2036 ^~ | 2,035 | 1,118 | ||||||||||
Morgan Stanley Capital Trust | ||||||||||||
6.118% due 12/15/2036 • | 8,125 | 6,421 | ||||||||||
Natixis Commercial Mortgage Securities Trust | ||||||||||||
6.718% due 11/15/2034 • | 4,500 | 4,327 | ||||||||||
RBSSP Resecuritization Trust | ||||||||||||
4.256% due 08/27/2037 • | 8,000 | 3,966 | ||||||||||
4.609% due 10/27/2036 ~ | 3,609 | 1,123 | ||||||||||
Residential Accredit Loans, Inc. Trust | ||||||||||||
4.769% due 08/25/2036 ^~ | 350 | 335 | ||||||||||
4.849% due 05/25/2037 ^• | 165 | 138 | ||||||||||
6.000% due 08/25/2036 ^ | 314 | 262 | ||||||||||
6.000% due 05/25/2037 ^ | 1,056 | 843 | ||||||||||
Residential Asset Securitization Trust | ||||||||||||
5.750% due 02/25/2036 ^ | 295 | 114 | ||||||||||
6.000% due 02/25/2037 ^ | 1,460 | 681 | ||||||||||
6.250% due 09/25/2037 ^ | 4,633 | 1,867 | ||||||||||
Residential Funding Mortgage Securities, Inc. Trust | ||||||||||||
4.412% due 02/25/2037 ~ | 1,470 | 1,021 | ||||||||||
Structured Adjustable Rate Mortgage Loan Trust | ||||||||||||
3.688% due 07/25/2035 ^~ | 912 | 776 | ||||||||||
3.694% due 01/25/2036 ^~ | 3,971 | 2,500 | ||||||||||
4.022% due 11/25/2036 ^~ | 2,134 | 1,791 | ||||||||||
Structured Asset Mortgage Investments Trust | ||||||||||||
4.509% due 08/25/2036 • | 74 | 63 | ||||||||||
SunTrust Adjustable Rate Mortgage Loan Trust | ||||||||||||
2.278% due 04/25/2037 ^~ | 215 | 130 | ||||||||||
3.128% due 02/25/2037 ^~ | 1,518 | 1,315 | ||||||||||
3.232% due 02/25/2037 ^~ | 181 | 157 | ||||||||||
Wachovia Mortgage Loan Trust LLC | ||||||||||||
1.464% due 08/25/2036 • | 2,346 | 924 | ||||||||||
WaMu Mortgage Pass-Through Certificates Trust | ||||||||||||
3.211% due 02/25/2037 ^~ | 531 | 477 | ||||||||||
3.367% due 07/25/2037 ^~ | 423 | 354 | ||||||||||
3.672% due 10/25/2036 ^~ | 763 | 657 | ||||||||||
3.864% due 07/25/2037 ^~ | 865 | 794 | ||||||||||
Washington Mutual Mortgage Pass-Through Certificates Trust | ||||||||||||
2.888% due 05/25/2047 ^• | 118 | 15 | ||||||||||
6.000% due 10/25/2035 ^ | 926 | 636 | ||||||||||
6.000% due 03/25/2036 ^ | 1,154 | 1,064 | ||||||||||
6.000% due 02/25/2037 | 2,538 | 1,998 | ||||||||||
Total Non‑Agency Mortgage-Backed Securities (Cost $167,099) | 147,145 | |||||||||||
ASSET-BACKED SECURITIES 9.6% | ||||||||||||
Adagio CLO DAC | ||||||||||||
0.000% due 04/30/2031 ~ | EUR | 1,800 | 503 | |||||||||
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates | ||||||||||||
5.739% due 03/25/2033 • | $ | 37 | 36 | |||||||||
Apidos CLO | ||||||||||||
0.000% due 01/20/2031 ~ | 8,800 | 2,931 | ||||||||||
Belle Haven ABS CDO Ltd. | ||||||||||||
3.998% due 07/05/2046 ~ | 324,260 | 2,395 | ||||||||||
Carlyle Global Market Strategies CLO Ltd. | ||||||||||||
0.000% due 04/17/2031 ~ | 6,000 | 1,801 | ||||||||||
CIFC Funding Ltd. | ||||||||||||
0.000% due 04/24/2030 ~ | 4,100 | 942 | ||||||||||
0.000% due 10/22/2031 ~ | 3,000 | 630 | ||||||||||
Cork Street CLO Designated Activity Co. | ||||||||||||
0.000% due 11/27/2028 ~ | EUR | 800 | 251 | |||||||||
Credit-Based Asset Servicing & Securitization LLC | ||||||||||||
3.221% due 12/25/2035 ^þ | $ | 1 | 1 | |||||||||
Crown City CLO | ||||||||||||
0.000% due 04/20/2035 ~ | 1,600 | 1,081 |
See Accompanying Notes | SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 27 |
Schedule of Investments | PIMCO Corporate & Income Opportunity Fund | (Cont.) |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Dryden CLO Ltd. | ||||||||||||
0.000% due 07/17/2031 ~ | $ | 14,311 | $ | 6,855 | ||||||||
First Franklin Mortgage Loan Trust | ||||||||||||
4.709% due 10/25/2036 • | 2,918 | 1,992 | ||||||||||
Fremont Home Loan Trust | ||||||||||||
4.539% due 01/25/2037 ~ | 5,450 | 2,490 | ||||||||||
4.869% due 02/25/2036 • | 12,460 | 8,086 | ||||||||||
Glacier Funding CDO Ltd. | ||||||||||||
4.778% due 08/04/2035 ~ | 7,164 | 930 | ||||||||||
Grosvenor Place CLO BV | ||||||||||||
0.000% due 04/30/2029 ~ | EUR | 750 | 141 | |||||||||
GSAMP Trust | ||||||||||||
4.529% due 12/25/2036 ~ | $ | 1,339 | 726 | |||||||||
Home Equity Mortgage Loan Asset-Backed Trust | ||||||||||||
4.549% due 07/25/2037 ~ | 2,560 | 1,384 | ||||||||||
JP Morgan Mortgage Acquisition Trust | ||||||||||||
6.330% due 07/25/2036 ^þ | 100 | 30 | ||||||||||
Lehman XS Trust | ||||||||||||
6.790% due 06/24/2046 þ | 373 | 402 | ||||||||||
LNR CDO Ltd. | ||||||||||||
4.669% due 02/28/2043 ~ | 3,231 | 52 | ||||||||||
Long Beach Mortgage Loan Trust | ||||||||||||
4.989% due 01/25/2036 • | 4,251 | 3,856 | ||||||||||
Marlette Funding Trust | ||||||||||||
0.000% due 09/17/2029 «(f) | 15 | 1,174 | ||||||||||
Merrill Lynch Mortgage Investors Trust | ||||||||||||
3.881% due 03/25/2037 þ | 6,069 | 1,420 | ||||||||||
Morgan Stanley ABS Capital, Inc. Trust | ||||||||||||
4.539% due 10/25/2036 ~ | 5,765 | 2,853 | ||||||||||
Morgan Stanley Mortgage Loan Trust | ||||||||||||
6.250% due 02/25/2037 ^~ | 773 | 365 | ||||||||||
N‑Star REL CDO Ltd. | ||||||||||||
4.540% due 02/01/2041 • | 468 | 466 | ||||||||||
Orient Point CDO Ltd. | ||||||||||||
4.013% due 10/03/2045 • | 57,125 | 19,108 | ||||||||||
4.013% due 10/03/2045 ~ | 57,300 | 19,166 | ||||||||||
Renaissance Home Equity Loan Trust | ||||||||||||
5.612% due 04/25/2037 þ | 11,496 | 3,476 | ||||||||||
7.238% due 09/25/2037 ^þ | 7,971 | 3,741 | ||||||||||
Securitized Asset-Backed Receivables LLC Trust | ||||||||||||
4.809% due 03/25/2036 ~ | 11,074 | 10,172 | ||||||||||
SLM Student Loan EDC Repackaging Trust | ||||||||||||
0.000% due 10/28/2029 «(f) | 8 | 4,688 | ||||||||||
SLM Student Loan Trust | ||||||||||||
0.000% due 01/25/2042 «(f) | 7 | 2,394 | ||||||||||
SMB Private Education Loan Trust | ||||||||||||
0.000% due 09/18/2046 «(f) | 3 | 900 | ||||||||||
0.000% due 10/15/2048 «(f) | 3 | 1,020 | ||||||||||
Sofi Professional Loan Program LLC | ||||||||||||
0.000% due 05/25/2040 (f) | 7,500 | 760 | ||||||||||
0.000% due 07/25/2040 «(f) | 38 | 457 | ||||||||||
SoFi Professional Loan Program LLC | ||||||||||||
0.000% due 09/25/2040 «(f) | 3,226 | 441 | ||||||||||
South Coast Funding Ltd. | ||||||||||||
5.192% due 08/10/2038 • | 18,693 | 1,468 | ||||||||||
Structured Asset Investment Loan Trust | ||||||||||||
5.364% due 06/25/2035 ~ | 6,263 | 4,803 | ||||||||||
Symphony CLO Ltd. | ||||||||||||
8.611% due 07/14/2026 • | 3,600 | 3,427 | ||||||||||
Taberna Preferred Funding Ltd. | ||||||||||||
4.892% due 12/05/2036 • | 10,299 | 9,090 | ||||||||||
4.912% due 08/05/2036 • | 469 | 418 | ||||||||||
4.912% due 08/05/2036 ^~ | 9,083 | 8,107 | ||||||||||
Total Asset-Backed Securities (Cost $218,846) | 137,429 | |||||||||||
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
SOVEREIGN ISSUES 2.6% | ||||||||||||
Argentina Government International Bond | ||||||||||||
0.500% due 07/09/2030 þ | $ | 9,499 | $ | 2,198 | ||||||||
1.000% due 07/09/2029 | 1,352 | 362 | ||||||||||
1.400% due 03/25/2023 | ARS | 175,495 | 533 | |||||||||
1.500% due 07/09/2035 þ | $ | 9,460 | 2,143 | |||||||||
1.500% due 07/09/2046 þ | 115 | 30 | ||||||||||
3.500% due 07/09/2041 þ | 17,491 | 5,015 | ||||||||||
3.875% due 01/09/2038 þ(l) | 22,691 | 7,225 | ||||||||||
15.500% due 10/17/2026 | ARS | 92,410 | 72 | |||||||||
Ghana Government International Bond | ||||||||||||
6.375% due 02/11/2027 ^(c) | $ | 1,100 | 426 | |||||||||
7.875% due 02/11/2035 ^(c) | 1,300 | 471 | ||||||||||
8.750% due 03/11/2061 ^(c) | 400 | 142 | ||||||||||
10.750% due 10/14/2030 ^ | 800 | 566 | ||||||||||
Provincia de Buenos Aires | ||||||||||||
72.913% due 04/12/2025 | ARS | 857,105 | 2,365 | |||||||||
Russia Government International Bond | ||||||||||||
5.625% due 04/04/2042 ^(c) | $ | 13,400 | 8,509 | |||||||||
5.875% due 09/16/2043 ^(c) | 200 | 119 | ||||||||||
12.750% due 06/24/2028 ^(c) | 100 | 78 | ||||||||||
State Agency of Roads of Ukraine | ||||||||||||
6.250% due 06/24/2030 | 1,300 | 230 | ||||||||||
Ukraine Government International Bond | ||||||||||||
4.375% due 01/27/2032 ^(c) | EUR | 17,523 | 3,493 | |||||||||
7.750% due 09/01/2024 ^(c) | $ | 9,800 | 2,464 | |||||||||
Venezuela Government International Bond | ||||||||||||
8.250% due 10/13/2024 ^(c) | 70 | 6 | ||||||||||
9.250% due 09/15/2027 ^(c) | 598 | 57 | ||||||||||
Total Sovereign Issues (Cost $73,233) | 36,504 | |||||||||||
SHARES | ||||||||||||
COMMON STOCKS 3.7% | ||||||||||||
COMMUNICATION SERVICES 0.3% | ||||||||||||
Clear Channel Outdoor Holdings, Inc. (d) | 1,167,686 | 1,226 | ||||||||||
iHeartMedia, Inc. ‘A’ (d) | 275,106 | 1,686 | ||||||||||
iHeartMedia, Inc. ‘B’ «(d) | 213,502 | 1,178 | ||||||||||
4,090 | ||||||||||||
CONSUMER STAPLES 0.0% | ||||||||||||
Promotora de Informaciones SA | 1,233,318 | 371 | ||||||||||
ENERGY 0.1% | ||||||||||||
Axis Energy Services ‘A’ «(d)(j) | 6,085 | 212 | ||||||||||
Noble Corp. PLC (d) | 27,545 | 1,039 | ||||||||||
1,251 | ||||||||||||
FINANCIALS 1.1% | ||||||||||||
Banca Monte dei Paschi di Siena SpA (d) | 2,152,500 | 4,435 | ||||||||||
Credit Suisse Group AG | 92,485 | 276 | ||||||||||
Intelsat SA «(d)(j) | 459,445 | 11,027 | ||||||||||
15,738 | ||||||||||||
INDUSTRIALS 2.2% | ||||||||||||
Mcdermott International Ltd. (d) | 57,729 | 18 | ||||||||||
Neiman Marcus Group Ltd. LLC «(d)(j) | 152,491 | 26,847 | ||||||||||
Syniverse Holdings, Inc. «(j) | 4,987,151 | 4,793 |
SHARES | MARKET VALUE (000S) | |||||||||||
Voyager Aviation Holdings LLC «(d) | 2,841 | $ | 0 | |||||||||
Westmoreland Mining Holdings «(d)(j) | 45,070 | 338 | ||||||||||
31,996 | ||||||||||||
REAL ESTATE 0.0% | ||||||||||||
Stearns Holding LLC ‘B’ «(d) | 42,113 | 0 | ||||||||||
Total Common Stocks (Cost $66,427) | 53,446 | |||||||||||
RIGHTS 0.0% | ||||||||||||
FINANCIALS 0.0% | ||||||||||||
Intelsat Jackson Holdings SA «(d) | 48,585 | 328 | ||||||||||
Total Rights (Cost $0) | 328 | |||||||||||
WARRANTS 1.7% | ||||||||||||
FINANCIALS 0.0% | ||||||||||||
Guranteed Rate, Inc. - Exp. 12/31/2060 « | 202 | 0 | ||||||||||
Intelsat Emergence SA - Exp. 02/17/2027 « | 1,383 | 5 | ||||||||||
Intelsat Jackson Holdings SA ‑ Exp. 12/05/2025 « | 48,071 | 360 | ||||||||||
365 | ||||||||||||
INFORMATION TECHNOLOGY 1.7% | ||||||||||||
Windstream Holdings LLC - Exp. 9/21/2055 « | 1,181,266 | 23,913 | ||||||||||
Total Warrants (Cost $19,985) | 24,278 | |||||||||||
PREFERRED SECURITIES 2.6% | ||||||||||||
BANKING & FINANCE 2.3% | ||||||||||||
AGFC Capital Trust | ||||||||||||
5.829% (US0003M + 1.750%) due 01/15/2067 ~(l) | 1,800,000 | 1,009 | ||||||||||
Brighthouse Holdings LLC | ||||||||||||
6.500% due 07/27/2037 þ(h) | 110,000 | 98 | ||||||||||
Charles Schwab Corp. | ||||||||||||
4.000% due 12/01/2030 •(h) | 100,000 | 80 | ||||||||||
Compeer Financial ACA | ||||||||||||
4.875% due 08/15/2026 •(h) | 4,400,000 | 4,375 | ||||||||||
Farm Credit Bank of Texas | ||||||||||||
5.700% due 09/15/2025 •(h) | 1,000,000 | 930 | ||||||||||
Stichting AK Rabobank Certificaten | ||||||||||||
6.500% due 12/29/2049 þ(h) | 25,700,000 | 26,457 | ||||||||||
32,949 | ||||||||||||
INDUSTRIALS 0.3% | ||||||||||||
Voyager Aviation Holdings LLC « | 17,047 | 4,575 | ||||||||||
Total Preferred Securities (Cost $48,350) | 37,524 | |||||||||||
REAL ESTATE INVESTMENT TRUSTS 0.7% | ||||||||||||
REAL ESTATE 0.7% | ||||||||||||
CBL & Associates Properties, Inc. | 11,978 | 277 | ||||||||||
Uniti Group, Inc. | 572,252 | 3,165 | ||||||||||
VICI Properties, Inc. | 210,228 | 6,811 | ||||||||||
Total Real Estate Investment Trusts (Cost $5,302) | 10,253 | |||||||||||
28 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
December 31, 2022 | (Unaudited) |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
SHORT-TERM INSTRUMENTS 8.9% | ||||||||||||
REPURCHASE AGREEMENTS (k) 7.9% | ||||||||||||
$ | 112,093 | |||||||||||
ARGENTINA TREASURY BILLS 0.1% | ||||||||||||
19.474% due 05/19/2023 - 06/16/2023 (e)(f)(g) | ARS | 278,198 | 845 | |||||||||
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
U.S. TREASURY BILLS 0.9% | ||||||||||||
4.045% due 01/05/2023 - 03/02/2023 (e)(f)(o) | $ | 13,025 | $ | 12,982 | ||||||||
Total Short-Term Instruments (Cost $126,041) | 125,920 | |||||||||||
Total Investments in Securities (Cost $2,433,056) | $ | 2,029,050 | ||||||||||
Total Investments 142.5% (Cost $2,433,056) | $ | 2,029,050 | ||||||||||
MARKET VALUE (000S) | ||||||||||
Financial Derivative Instruments (m)(n) (0.5)% (Cost or Premiums, net $(62,126)) | $ | (6,425 | ) | |||||||
Auction-Rate Preferred Shares (14.9)% | (212,650 | ) | ||||||||
Other Assets and Liabilities, net (27.1)% | (386,148 | ) | ||||||||
Net Assets Applicable to Common Shareholders 100.0% | $ | 1,423,827 | ||||||||
* | 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. |
þ | Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end. |
(a) | Security is an Interest Only (“IO”) or IO Strip. |
(b) | Payment in‑kind 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) | Principal amount of security is adjusted for inflation. |
(h) | Perpetual maturity; date shown, if applicable, represents next contractual call date. |
(i) | Contingent convertible security. |
Issuer Description | Acquisition Date | Cost | Market Value | Market Value as Percentage of Net Assets Applicable to Common Shareholders | ||||||||||||
Axis Energy Services ‘A’ | 07/01/2021 | $ | 89 | $ | 212 | 0.01 | % | |||||||||
Intelsat SA | 06/19/2017 ‑ 02/23/2022 | 31,412 | 11,027 | 0.77 | ||||||||||||
Neiman Marcus Group Ltd. LLC | 09/25/2020 | 4,911 | 26,847 | 1.89 | ||||||||||||
Oracle Corp. 4.100% due 03/25/2061 | 03/22/2021 - 10/05/2021 | 2,737 | 1,817 | 0.13 | ||||||||||||
Syniverse Holdings, Inc. | 05/12/2022 - 11/30/2022 | 4,894 | 4,793 | 0.34 | ||||||||||||
Westmoreland Mining Holdings | 07/29/2015 - 03/26/2019 | 1,172 | 338 | 0.02 | ||||||||||||
$ | 45,215 | $ | 45,034 | 3.16 | % | |||||||||||
Counterparty | Lending Rate | Settlement Date | Maturity Date | Principal Amount | Collateralized By | Collateral (Received) | Repurchase Agreements, at Value | Repurchase Agreement Proceeds to be Received(1) | ||||||||||||||||||||||
FICC | 1.900 | % | 12/30/2022 | 01/03/2023 | $ | 893 | U.S. Treasury Bills 0.000% due 06/29/2023 | $ | (911 | ) | $ | 893 | $ | 893 | ||||||||||||||||
4.280 | 12/30/2022 | 01/03/2023 | 111,200 | U.S. Treasury Inflation Protected Securities 0.250% due 07/15/2029 | (113,424 | ) | 111,200 | 111,253 | ||||||||||||||||||||||
Total Repurchase Agreements | $ | (114,335 | ) | $ | 112,093 | $ | 112,146 | |||||||||||||||||||||||
See Accompanying Notes | SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 29 |
Schedule of Investments | PIMCO Corporate & Income Opportunity Fund | (Cont.) |
Counterparty | Borrowing Rate(2) | Settlement Date | Maturity Date | Amount Borrowed(2) | Payable for Reverse Repurchase Agreements | |||||||||||||||||||
BOS | 3.760 | % | 09/12/2022 | 01/10/2023 | $ | (2,353 | ) | $ (2,381 | ) | |||||||||||||||
BPS | 3.550 | 08/18/2022 | 02/02/2023 | (710 | ) | (720 | ) | |||||||||||||||||
3.640 | 10/27/2022 | 02/13/2023 | (1,720 | ) | (1,732 | ) | ||||||||||||||||||
3.760 | 08/31/2022 | 02/13/2023 | (2,876 | ) | (2,913 | ) | ||||||||||||||||||
3.760 | 10/20/2022 | 02/13/2023 | (2,563 | ) | (2,583 | ) | ||||||||||||||||||
3.760 | 11/15/2022 | 02/13/2023 | (1,877 | ) | (1,886 | ) | ||||||||||||||||||
3.760 | 11/29/2022 | 02/13/2023 | (1,442 | ) | (1,447 | ) | ||||||||||||||||||
3.900 | 10/27/2022 | 03/02/2023 | (742 | ) | (748 | ) | ||||||||||||||||||
3.900 | 11/08/2022 | 03/02/2023 | (945 | ) | (951 | ) | ||||||||||||||||||
3.935 | 10/27/2022 | 03/01/2023 | (1,210 | ) | (1,219 | ) | ||||||||||||||||||
4.420 | 10/07/2022 | 01/09/2023 | (8,136 | ) | (8,224 | ) | ||||||||||||||||||
4.450 | 10/31/2022 | 02/03/2023 | (698 | ) | (704 | ) | ||||||||||||||||||
4.500 | 11/14/2022 | 01/17/2023 | (3,151 | ) | (3,171 | ) | ||||||||||||||||||
4.600 | 09/22/2022 | 03/23/2023 | (18,643 | ) | (18,889 | ) | ||||||||||||||||||
4.600 | 10/19/2022 | 01/19/2023 | (1,940 | ) | (1,959 | ) | ||||||||||||||||||
4.600 | 11/14/2022 | 01/19/2023 | (6,598 | ) | (6,640 | ) | ||||||||||||||||||
4.620 | 09/23/2022 | 03/23/2023 | (9,358 | ) | (9,480 | ) | ||||||||||||||||||
4.650 | 11/21/2022 | 01/27/2023 | (2,587 | ) | (2,602 | ) | ||||||||||||||||||
4.720 | 10/27/2022 | 01/30/2023 | (6,556 | ) | (6,615 | ) | ||||||||||||||||||
4.720 | 10/31/2022 | 02/03/2023 | (2,676 | ) | (2,698 | ) | ||||||||||||||||||
4.720 | 11/08/2022 | 01/30/2023 | (1,261 | ) | (1,270 | ) | ||||||||||||||||||
4.720 | 11/08/2022 | 01/31/2023 | (1,576 | ) | (1,587 | ) | ||||||||||||||||||
4.720 | 12/12/2022 | 01/30/2023 | (629 | ) | (631 | ) | ||||||||||||||||||
4.720 | 12/22/2022 | 01/30/2023 | (415 | ) | (416 | ) | ||||||||||||||||||
4.970 | 11/14/2022 | 02/10/2023 | (1,200 | ) | (1,208 | ) | ||||||||||||||||||
4.970 | 11/18/2022 | 02/10/2023 | (1,647 | ) | (1,658 | ) | ||||||||||||||||||
BRC | 7.000 | 12/21/2022 | TBD | (3) | EUR | (4,053 | ) | (4,340 | ) | |||||||||||||||
BYR | 4.950 | 09/26/2022 | 03/24/2023 | $ | (14,837 | ) | (14,956 | ) | ||||||||||||||||
4.960 | 10/03/2022 | 04/03/2023 | (18,892 | ) | (19,067 | ) | ||||||||||||||||||
4.960 | 10/06/2022 | 04/03/2023 | (829 | ) | (836 | ) | ||||||||||||||||||
4.960 | 10/11/2022 | 04/11/2023 | (5,611 | ) | (5,659 | ) | ||||||||||||||||||
4.960 | 11/29/2022 | 04/03/2023 | (6,522 | ) | (6,550 | ) | ||||||||||||||||||
CDC | 3.270 | 07/14/2022 | 01/09/2023 | (7,619 | ) | (7,739 | ) | |||||||||||||||||
3.270 | 11/14/2022 | 01/09/2023 | (670 | ) | (673 | ) | ||||||||||||||||||
3.990 | 09/06/2022 | 03/03/2023 | (7,291 | ) | (7,387 | ) | ||||||||||||||||||
3.990 | 11/09/2022 | 03/03/2023 | (931 | ) | (936 | ) | ||||||||||||||||||
4.170 | 10/06/2022 | 01/04/2023 | (945 | ) | (955 | ) | ||||||||||||||||||
4.170 | 12/14/2022 | 01/04/2023 | (1,314 | ) | (1,317 | ) | ||||||||||||||||||
4.450 | 10/14/2022 | 02/13/2023 | (3,750 | ) | (3,787 | ) | ||||||||||||||||||
4.450 | 10/28/2022 | 01/30/2023 | (1,000 | ) | (1,008 | ) | ||||||||||||||||||
4.450 | 10/31/2022 | 01/30/2023 | (17,973 | ) | (18,116 | ) | ||||||||||||||||||
4.450 | 11/01/2022 | 01/30/2023 | (1,222 | ) | (1,231 | ) | ||||||||||||||||||
4.450 | 11/08/2022 | 01/30/2023 | (1,208 | ) | (1,216 | ) | ||||||||||||||||||
4.550 | 10/13/2022 | 02/10/2023 | (9,816 | ) | (9,917 | ) | ||||||||||||||||||
4.600 | 11/18/2022 | 01/17/2023 | (3,065 | ) | (3,083 | ) | ||||||||||||||||||
4.620 | 10/14/2022 | 02/13/2023 | (23,649 | ) | (23,894 | ) | ||||||||||||||||||
4.620 | 11/01/2022 | 02/13/2023 | (1,118 | ) | (1,127 | ) | ||||||||||||||||||
4.620 | 11/02/2022 | 02/13/2023 | (4,153 | ) | (4,186 | ) | ||||||||||||||||||
4.640 | 11/23/2022 | 02/13/2023 | (3,828 | ) | (3,848 | ) | ||||||||||||||||||
4.650 | 10/28/2022 | 04/06/2023 | (1,000 | ) | (1,009 | ) | ||||||||||||||||||
4.680 | 11/14/2022 | 02/13/2023 | (2,788 | ) | (2,806 | ) | ||||||||||||||||||
4.680 | 11/15/2022 | 02/13/2023 | (1,182 | ) | (1,189 | ) | ||||||||||||||||||
4.730 | 10/31/2022 | 01/30/2023 | (6,826 | ) | (6,884 | ) | ||||||||||||||||||
4.730 | 11/15/2022 | 01/30/2023 | (4,327 | ) | (4,355 | ) | ||||||||||||||||||
4.730 | 11/23/2022 | 01/30/2023 | (5,069 | ) | (5,096 | ) | ||||||||||||||||||
4.760 | 10/07/2022 | 04/05/2023 | (3,684 | ) | (3,727 | ) | ||||||||||||||||||
4.810 | 10/21/2022 | 02/17/2023 | (3,288 | ) | (3,321 | ) | ||||||||||||||||||
4.850 | 10/11/2022 | 04/06/2023 | (2,728 | ) | (2,759 | ) | ||||||||||||||||||
4.860 | 11/10/2022 | 02/10/2023 | (2,140 | ) | (2,156 | ) | ||||||||||||||||||
4.860 | 11/18/2022 | 02/07/2023 | (662 | ) | (667 | ) | ||||||||||||||||||
4.860 | 12/13/2022 | 02/10/2023 | (186 | ) | (186 | ) | ||||||||||||||||||
4.910 | 10/24/2022 | 02/21/2023 | (11,702 | ) | (11,816 | ) | ||||||||||||||||||
CEW | 2.400 | 08/05/2022 | TBD | (3) | GBP | (3,294 | ) | (4,012 | ) | |||||||||||||||
CIB | 4.600 | 10/17/2022 | 01/17/2023 | $ | (235 | ) | (237 | ) | ||||||||||||||||
DBL | 2.040 | 11/18/2022 | 02/06/2023 | EUR | (1,355 | ) | (1,455 | ) | ||||||||||||||||
2.120 | 11/24/2022 | 02/22/2023 | (1,025 | ) | (1,100 | ) | ||||||||||||||||||
2.180 | 11/18/2022 | 02/06/2023 | (1,706 | ) | (1,831 | ) | ||||||||||||||||||
2.230 | 11/22/2022 | 02/20/2023 | (5,032 | ) | (5,400 | ) |
30 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
December 31, 2022 | (Unaudited) |
Counterparty | Borrowing Rate(2) | Settlement Date | Maturity Date | Amount Borrowed(2) | Payable for Reverse Repurchase Agreements | |||||||||||||||||||
3.590 | % | 11/18/2022 | 02/06/2023 | GBP | (1,268 | ) | $ (1,540 | ) | ||||||||||||||||
IND | 4.530 | 10/28/2022 | 01/31/2023 | $ | (1,877 | ) | (1,893 | ) | ||||||||||||||||
4.530 | 11/08/2022 | 01/31/2023 | (566 | ) | (570 | ) | ||||||||||||||||||
4.720 | 10/28/2022 | 01/31/2023 | (8,354 | ) | (8,428 | ) | ||||||||||||||||||
4.740 | 11/07/2022 | 01/31/2023 | (1,206 | ) | (1,215 | ) | ||||||||||||||||||
4.820 | 10/28/2022 | 01/31/2023 | (2,101 | ) | (2,120 | ) | ||||||||||||||||||
4.880 | 11/07/2022 | 03/07/2023 | (305 | ) | (307 | ) | ||||||||||||||||||
4.980 | 11/07/2022 | 03/07/2023 | (1,628 | ) | (1,641 | ) | ||||||||||||||||||
JML | 1.500 | 09/14/2022 | TBD | (3) | EUR | (2,201 | ) | (2,358 | ) | |||||||||||||||
2.050 | 09/14/2022 | TBD | (3) | (370 | ) | (397 | ) | |||||||||||||||||
2.070 | 09/14/2022 | TBD | (3) | (8,136 | ) | (8,730 | ) | |||||||||||||||||
2.160 | 11/15/2022 | 02/15/2023 | (5,950 | ) | (6,388 | ) | ||||||||||||||||||
2.160 | 11/22/2022 | 02/20/2023 | (2,353 | ) | (2,525 | ) | ||||||||||||||||||
2.200 | 11/24/2022 | 02/22/2023 | (3,186 | ) | (3,419 | ) | ||||||||||||||||||
MBC | 2.050 | 11/02/2022 | TBD | (3) | (15,552 | ) | (16,690 | ) | ||||||||||||||||
MEI | 3.860 | 10/11/2022 | 02/28/2023 | $ | (561 | ) | (566 | ) | ||||||||||||||||
3.860 | 10/26/2022 | 02/28/2023 | (2,897 | ) | (2,919 | ) | ||||||||||||||||||
4.350 | 10/07/2022 | 01/09/2023 | (286 | ) | (289 | ) | ||||||||||||||||||
4.700 | 11/04/2022 | 02/13/2023 | (2,573 | ) | (2,594 | ) | ||||||||||||||||||
4.700 | 11/09/2022 | 02/13/2023 | (1,409 | ) | (1,419 | ) | ||||||||||||||||||
4.720 | 10/24/2022 | 01/27/2023 | (1,284 | ) | (1,296 | ) | ||||||||||||||||||
4.720 | 11/09/2022 | 01/27/2023 | (2,554 | ) | (2,572 | ) | ||||||||||||||||||
4.770 | 10/24/2022 | 01/27/2023 | (1,785 | ) | (1,802 | ) | ||||||||||||||||||
RDR | 4.260 | 10/06/2022 | 02/03/2023 | (874 | ) | (883 | ) | |||||||||||||||||
4.430 | 10/26/2022 | 01/30/2023 | (8,295 | ) | (8,365 | ) | ||||||||||||||||||
4.430 | 11/23/2022 | 01/30/2023 | (1,507 | ) | (1,514 | ) | ||||||||||||||||||
4.500 | 10/31/2022 | 01/30/2023 | (2,020 | ) | (2,036 | ) | ||||||||||||||||||
4.600 | 11/04/2022 | 02/03/2023 | (11,354 | ) | (11,441 | ) | ||||||||||||||||||
4.700 | 11/10/2022 | 02/10/2023 | (1,386 | ) | (1,396 | ) | ||||||||||||||||||
4.700 | 12/09/2022 | 01/30/2023 | (714 | ) | (716 | ) | ||||||||||||||||||
SCX | 2.020 | 11/10/2022 | 02/09/2023 | EUR | (602 | ) | (647 | ) | ||||||||||||||||
4.530 | 10/07/2022 | 04/06/2023 | $ | (4,889 | ) | (4,943 | ) | |||||||||||||||||
SOG | 3.830 | 10/24/2022 | 02/17/2023 | (2,035 | ) | (2,051 | ) | |||||||||||||||||
3.980 | 09/12/2022 | 01/12/2023 | (936 | ) | (947 | ) | ||||||||||||||||||
4.250 | 09/15/2022 | 01/13/2023 | (501 | ) | (507 | ) | ||||||||||||||||||
4.250 | 11/16/2022 | 01/13/2023 | (1,050 | ) | (1,056 | ) | ||||||||||||||||||
4.340 | 10/06/2022 | 02/06/2023 | (980 | ) | (991 | ) | ||||||||||||||||||
4.360 | 09/30/2022 | 01/30/2023 | (5,618 | ) | (5,683 | ) | ||||||||||||||||||
4.390 | 11/14/2022 | 01/27/2023 | (1,629 | ) | (1,639 | ) | ||||||||||||||||||
4.540 | 12/12/2022 | 02/06/2023 | (7,691 | ) | (7,712 | ) | ||||||||||||||||||
4.620 | 10/13/2022 | 02/13/2023 | (3,022 | ) | (3,054 | ) | ||||||||||||||||||
4.640 | 10/14/2022 | 02/14/2023 | (439 | ) | (443 | ) | ||||||||||||||||||
4.640 | 11/07/2022 | 02/14/2023 | (5,785 | ) | (5,828 | ) | ||||||||||||||||||
4.640 | 11/15/2022 | 02/14/2023 | (2,029 | ) | (2,042 | ) | ||||||||||||||||||
4.660 | 11/16/2022 | 01/24/2023 | (1,050 | ) | (1,056 | ) | ||||||||||||||||||
4.750 | 10/31/2022 | 01/31/2023 | (810 | ) | (816 | ) | ||||||||||||||||||
4.750 | 11/16/2022 | 01/31/2023 | (1,050 | ) | (1,056 | ) | ||||||||||||||||||
4.760 | 10/17/2022 | 02/17/2023 | (1,383 | ) | (1,397 | ) | ||||||||||||||||||
4.790 | 11/02/2022 | 02/02/2023 | (7,566 | ) | (7,628 | ) | ||||||||||||||||||
4.790 | 11/07/2022 | 02/02/2023 | (1,928 | ) | (1,943 | ) | ||||||||||||||||||
4.820 | 11/30/2022 | 02/22/2023 | (1,032 | ) | (1,036 | ) | ||||||||||||||||||
4.830 | 11/04/2022 | 02/06/2023 | (4,678 | ) | (4,716 | ) | ||||||||||||||||||
4.830 | 11/16/2022 | 02/06/2023 | (990 | ) | (996 | ) | ||||||||||||||||||
4.900 | 10/12/2022 | 04/12/2023 | (7,690 | ) | (7,777 | ) | ||||||||||||||||||
UBS | 2.110 | 11/24/2022 | 02/22/2023 | EUR | (4,012 | ) | (4,305 | ) | ||||||||||||||||
4.220 | 09/19/2022 | 01/19/2023 | $ | (5,658 | ) | (5,729 | ) | |||||||||||||||||
Total Reverse Repurchase Agreements | $ (460,193 | ) | ||||||||||||||||||||||
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 | $ | 0 | $ | (2,381 | ) | $ | 0 | $ | (2,381 | ) | $ | 2,621 | $ | 240 | ||||||||||
BPS | 0 | (81,951 | ) | 0 | (81,951 | ) | 96,417 | 14,466 |
See Accompanying Notes | SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 31 |
Schedule of Investments | PIMCO Corporate & Income Opportunity Fund | (Cont.) |
Counterparty | Repurchase Agreement Proceeds to be Received(1) | Payable for Reverse Repurchase Agreements | Payable for Sale‑Buyback Transactions | Total Borrowings and Other Financing Transactions | Collateral Pledged/(Received) | Net Exposure(4) | ||||||||||||||||||
BRC | $ | 0 | $ | (4,340 | ) | $ | 0 | $ | (4,340 | ) | $ | 4,188 | $ | (152 | ) | |||||||||
BYR | 0 | (47,068 | ) | 0 | (47,068 | ) | 55,845 | 8,777 | ||||||||||||||||
CDC | 0 | (136,391 | ) | 0 | (136,391 | ) | 153,158 | 16,767 | ||||||||||||||||
CEW | 0 | (4,012 | ) | 0 | (4,012 | ) | 3,714 | (298 | ) | |||||||||||||||
CIB | 0 | (237 | ) | 0 | (237 | ) | 277 | 40 | ||||||||||||||||
DBL | 0 | (11,326 | ) | 0 | (11,326 | ) | 13,227 | 1,901 | ||||||||||||||||
FICC | 112,146 | 0 | 0 | 112,146 | (114,335 | ) | (2,189 | ) | ||||||||||||||||
IND | 0 | (16,174 | ) | 0 | (16,174 | ) | 18,963 | 2,789 | ||||||||||||||||
JML | 0 | (23,817 | ) | 0 | (23,817 | ) | 26,047 | 2,230 | ||||||||||||||||
MBC | 0 | (16,690 | ) | 0 | (16,690 | ) | 18,246 | 1,556 | ||||||||||||||||
MEI | 0 | (13,457 | ) | 0 | (13,457 | ) | 15,765 | 2,308 | ||||||||||||||||
RDR | 0 | (26,351 | ) | 0 | (26,351 | ) | 27,335 | 984 | ||||||||||||||||
SCX | 0 | (5,590 | ) | 0 | (5,590 | ) | 5,939 | 349 | ||||||||||||||||
SOG | 0 | (60,374 | ) | 0 | (60,374 | ) | 70,806 | 10,432 | ||||||||||||||||
UBS | 0 | (10,034 | ) | 0 | (10,034 | ) | 11,286 | 1,252 | ||||||||||||||||
Total Borrowings and Other Financing Transactions | $ | 112,146 | $ | (460,193 | ) | $ | 0 | |||||||||||||||||
Overnight and Continuous | Up to 30 days | 31‑90 days | Greater Than 90 days | Total | ||||||||||||||||
Reverse Repurchase Agreements | ||||||||||||||||||||
Corporate Bonds & Notes | $ | 0 | $ | (120,500 | ) | $ | (250,313 | ) | $ | (88,063 | ) | $ | (458,876 | ) | ||||||
U.S. Government Agencies | 0 | (237 | ) | 0 | 0 | (237 | ) | |||||||||||||
Sovereign Issues | 0 | (289 | ) | 0 | 0 | (289 | ) | |||||||||||||
Preferred Securities | 0 | 0 | 0 | (791 | ) | (791 | ) | |||||||||||||
Total Borrowings | $ | 0 | $ | (121,026 | ) | $ | (250,313 | ) | $ | (88,854 | ) | $ | (460,193 | ) | ||||||
Payable for reverse repurchase agreements | $ | (460,193 | ) | |||||||||||||||||
(l) | Securities with an aggregate market value of $536,501 and cash of $755 have been pledged as collateral under the terms of the above master agreements as of December 31, 2022. |
(1) | Includes accrued interest. |
(2) | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(590,692) at a weighted average interest rate of 2.673%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. |
(3) | Open maturity reverse repurchase agreement. |
(4) | Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information. |
Reference Entity | Fixed Receive Rate | Payment Frequency | Maturity Date | Implied Credit Spread at December 31, 2022(2) | Notional Amount(3) | Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | Market Value(4) | Variation Margin | |||||||||||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||||||||||||
Atlantia SPA | 1.000 | % | Quarterly | 12/20/2025 | 1.872 | % | EUR | 1,000 | $ (45 | ) | $ 20 | $ (25 | ) | $ 0 | $ 0 | |||||||||||||||||||||||||||||
Atlantia SpA | 1.000 | Quarterly | 06/20/2026 | 2.054 | 4,500 | (155 | ) | (4 | ) | (159 | ) | 0 | (3 | ) | ||||||||||||||||||||||||||||||
Boeing Co. | 1.000 | Quarterly | 12/20/2024 | 1.077 | $ | 1,200 | (20 | ) | 19 | (1 | ) | 0 | 0 | |||||||||||||||||||||||||||||||
Boeing Co. | 1.000 | Quarterly | 06/20/2025 | 1.165 | 700 | (10 | ) | 7 | (3 | ) | 0 | 0 | ||||||||||||||||||||||||||||||||
Boeing Co. | 1.000 | Quarterly | 12/20/2025 | 1.224 | 400 | (7 | ) | 5 | (2 | ) | 0 | 0 | ||||||||||||||||||||||||||||||||
Boeing Co. | 1.000 | Quarterly | 06/20/2026 | 1.265 | 12,700 | (231 | ) | 130 | (101 | ) | 2 | 0 | ||||||||||||||||||||||||||||||||
Boeing Co. | 1.000 | Quarterly | 06/20/2027 | 1.357 | 9,100 | (397 | ) | 272 | (125 | ) | 1 | 0 | ||||||||||||||||||||||||||||||||
Bombardier, Inc. | 5.000 | Quarterly | 06/20/2024 | 2.622 | 5,200 | (29 | ) | 211 | 182 | 0 | (12 | ) | ||||||||||||||||||||||||||||||||
Bombardier, Inc. | 5.000 | Quarterly | 12/20/2024 | 2.780 | 1,000 | (2 | ) | 44 | 42 | 0 | 0 | |||||||||||||||||||||||||||||||||
Bombardier, Inc. | 5.000 | Quarterly | 06/20/2025 | 3.222 | 200 | (15 | ) | 23 | 8 | 0 | 0 | |||||||||||||||||||||||||||||||||
Bombardier, Inc. | 5.000 | Quarterly | 06/20/2027 | 4.245 | 5,300 | (619 | ) | 775 | 156 | 0 | (5 | ) | ||||||||||||||||||||||||||||||||
Energy Transfer Operating LP | 1.000 | Quarterly | 06/20/2026 | 0.840 | 100 | (2 | ) | 3 | 1 | 0 | 0 |
32 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
December 31, 2022 | (Unaudited) |
Reference Entity | Fixed Receive Rate | Payment Frequency | Maturity Date | Implied Credit Spread at December 31, 2022(2) | Notional Amount(3) | Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | Market Value(4) | Variation Margin | |||||||||||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||||||||||||
Jaguar Land Rover Automotive | 5.000 | % | Quarterly | 06/20/2026 | 9.564 | % | EUR | 300 | $ | 21 | $ | (59 | ) | $ | (38 | ) | $ | 0 | $ | 0 | ||||||||||||||||||||||||
Jaguar Land Rover Automotive | 5.000 | Quarterly | 12/20/2026 | 9.896 | 11,447 | 424 | (2,134 | ) | (1,710 | ) | 8 | 0 | ||||||||||||||||||||||||||||||||
Rolls-Royce PLC | 1.000 | Quarterly | 12/20/2025 | 2.767 | 16,300 | (2,597 | ) | 1,764 | (833 | ) | 1 | 0 | ||||||||||||||||||||||||||||||||
Rolls-Royce PLC | 1.000 | Quarterly | 06/20/2026 | 2.993 | 11,400 | (853 | ) | 101 | (752 | ) | 0 | (5 | ) | |||||||||||||||||||||||||||||||
Rolls-Royce PLC | 1.000 | Quarterly | 06/20/2027 | 3.357 | 6,100 | (460 | ) | (128 | ) | (588 | ) | 0 | (5 | ) | ||||||||||||||||||||||||||||||
The GAP, Inc. | 1.000 | Quarterly | 06/20/2027 | 5.744 | $ | 16,800 | (3,173 | ) | 367 | (2,806 | ) | 36 | 0 | |||||||||||||||||||||||||||||||
$ | (8,170 | ) | $ | 1,416 | $ | (6,754 | ) | $ | 48 | $ | (30 | ) | ||||||||||||||||||||||||||||||||
Index/Tranches | Fixed Receive Rate | Payment Frequency | Maturity Date | Notional Amount(3) | Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | Market Value(4) | Variation Margin | ||||||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||||||
iTraxx Asia Ex‑Japan 38 5‑Year Index | 1.000 | % | Quarterly | 12/20/2027 | $ | 17,600 | $ | (632 | ) | $ | 389 | $ | (243 | ) | $ | 10 | $ | 0 | ||||||||||||||||||||
Pay/ Receive Floating Rate | Floating Rate Index | Fixed Rate | Payment Frequency | Maturity Date | Notional Amount | Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | Market Value | Variation Margin | |||||||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||||||||
Receive | 1‑Day GBP‑SONIO Compounded‑OIS | 0.750 | % | Annual | 09/21/2032 | GBP | 15,700 | $ | 1,524 | $ | 3,122 | $ | 4,646 | $ | 12 | $ | 0 | |||||||||||||||||||||||
Receive(5) | 1‑Day GBP‑SONIO Compounded‑OIS | 2.000 | Annual | 03/15/2033 | 8,000 | 891 | 472 | 1,363 | 5 | 0 | ||||||||||||||||||||||||||||||
Receive | 1‑Day GBP‑SONIO Compounded‑OIS | 0.750 | Annual | 09/21/2052 | 3,900 | 800 | 1,538 | 2,338 | 6 | 0 | ||||||||||||||||||||||||||||||
Receive | 1‑Day USD‑Federal Funds Rate Compounded‑OIS | 0.100 | Annual | 01/13/2023 | $ | 10,000 | (1 | ) | 183 | 182 | 5 | 0 | ||||||||||||||||||||||||||||
Receive(5) | 1‑Day USD‑SOFR Compounded‑OIS | 2.450 | Annual | 12/20/2024 | 58,200 | (4 | ) | 870 | 866 | 30 | 0 | |||||||||||||||||||||||||||||
Receive(5) | 1‑Day USD‑SOFR Compounded‑OIS | 2.350 | Annual | 01/17/2025 | 29,400 | 3 | 433 | 436 | 11 | 0 | ||||||||||||||||||||||||||||||
Receive(5) | 1‑Day USD‑SOFR Compounded‑OIS | 2.300 | Annual | 01/17/2026 | 4,600 | 2 | 108 | 110 | 4 | 0 | ||||||||||||||||||||||||||||||
Pay | 1‑Day USD‑SOFR Compounded‑OIS | 2.000 | Annual | 12/21/2027 | 83,700 | (7,417 | ) | 775 | (6,642 | ) | 0 | (123 | ) | |||||||||||||||||||||||||||
Pay | 1‑Day USD‑SOFR Compounded‑OIS | 2.000 | Annual | 12/21/2029 | 386,500 | (39,813 | ) | 2,034 | (37,779 | ) | 173 | 0 | ||||||||||||||||||||||||||||
Pay | 1‑Day USD‑SOFR Compounded‑OIS | 2.000 | Annual | 12/21/2032 | 69,800 | (9,546 | ) | 417 | (9,129 | ) | 0 | (200 | ) | |||||||||||||||||||||||||||
Receive | 1‑Year BRL‑CDI | 6.170 | Maturity | 01/02/2023 | BRL | 204,900 | 1,960 | (7 | ) | 1,953 | 1 | 0 | ||||||||||||||||||||||||||||
Receive | 1‑Year BRL‑CDI | 12.670 | Maturity | 01/02/2023 | 6,600 | 0 | 4 | 4 | 0 | 0 | ||||||||||||||||||||||||||||||
Receive | 1‑Year BRL‑CDI | 12.690 | Maturity | 01/02/2023 | 4,400 | 0 | 3 | 3 | 0 | 0 | ||||||||||||||||||||||||||||||
Receive | 1‑Year BRL‑CDI | 12.740 | Maturity | 01/02/2023 | 11,400 | 0 | 6 | 6 | 0 | 0 | ||||||||||||||||||||||||||||||
Receive | 1‑Year BRL‑CDI | 12.750 | Maturity | 01/02/2023 | 5,500 | 0 | 3 | 3 | 0 | 0 | ||||||||||||||||||||||||||||||
Receive | 1‑Year BRL‑CDI | 12.760 | Maturity | 01/02/2023 | 11,400 | 0 | 5 | 5 | 0 | 0 | ||||||||||||||||||||||||||||||
Receive | 1‑Year BRL‑CDI | 12.900 | Maturity | 01/02/2023 | 23,300 | 0 | 6 | 6 | 0 | 0 | ||||||||||||||||||||||||||||||
Receive | 1‑Year BRL‑CDI | 12.930 | Maturity | 01/02/2023 | 2,900 | 0 | 1 | 1 | 0 | 0 | ||||||||||||||||||||||||||||||
Receive | 1‑Year BRL‑CDI | 12.939 | Maturity | 01/02/2023 | 11,600 | 0 | 2 | 2 | 0 | 0 | ||||||||||||||||||||||||||||||
Receive | 1‑Year BRL‑CDI | 12.946 | Maturity | 01/02/2023 | 29,200 | 0 | 6 | 6 | 0 | 0 | ||||||||||||||||||||||||||||||
Receive | 1‑Year BRL‑CDI | 12.960 | Maturity | 01/02/2023 | 23,300 | 0 | 4 | 4 | 0 | 0 | ||||||||||||||||||||||||||||||
Receive | 1‑Year BRL‑CDI | 12.970 | Maturity | 01/02/2023 | 38,300 | 0 | 7 | 7 | 0 | 0 | ||||||||||||||||||||||||||||||
Pay | 1‑Year BRL‑CDI | 11.140 | Maturity | 01/02/2025 | 2,200 | 0 | (14 | ) | (14 | ) | 0 | 0 | ||||||||||||||||||||||||||||
Pay | 1‑Year BRL‑CDI | 11.160 | Maturity | 01/02/2025 | 1,500 | 0 | (9 | ) | (9 | ) | 0 | 0 | ||||||||||||||||||||||||||||
Pay | 1‑Year BRL‑CDI | 11.350 | Maturity | 01/02/2025 | 1,800 | 0 | (10 | ) | (10 | ) | 0 | 0 | ||||||||||||||||||||||||||||
Pay | 1‑Year BRL‑CDI | 12.000 | Maturity | 01/02/2025 | 4,900 | 0 | (14 | ) | (14 | ) | 0 | 0 | ||||||||||||||||||||||||||||
Pay | 1‑Year BRL‑CDI | 12.080 | Maturity | 01/02/2025 | 8,200 | 0 | (21 | ) | (21 | ) | 0 | 0 | ||||||||||||||||||||||||||||
Pay | 1‑Year BRL‑CDI | 12.140 | Maturity | 01/02/2025 | 4,100 | 0 | (9 | ) | (9 | ) | 0 | 0 | ||||||||||||||||||||||||||||
Pay | 1‑Year BRL‑CDI | 12.145 | Maturity | 01/02/2025 | 4,000 | 0 | (9 | ) | (9 | ) | 0 | 0 | ||||||||||||||||||||||||||||
Pay | 1‑Year BRL‑CDI | 12.160 | Maturity | 01/02/2025 | 8,200 | 0 | (18 | ) | (18 | ) | 0 | 0 | ||||||||||||||||||||||||||||
Pay | 1‑Year BRL‑CDI | 11.220 | Maturity | 01/04/2027 | 2,600 | 0 | (19 | ) | (19 | ) | 0 | 0 | ||||||||||||||||||||||||||||
Pay | 1‑Year BRL‑CDI | 11.245 | Maturity | 01/04/2027 | 1,300 | 0 | (9 | ) | (9 | ) | 0 | 0 | ||||||||||||||||||||||||||||
Pay | 1‑Year BRL‑CDI | 11.260 | Maturity | 01/04/2027 | 1,300 | 0 | (9 | ) | (9 | ) | 0 | 0 | ||||||||||||||||||||||||||||
Pay | 1‑Year BRL‑CDI | 11.700 | Maturity | 01/04/2027 | 700 | 0 | (3 | ) | (3 | ) | 0 | 0 | ||||||||||||||||||||||||||||
Pay | 1‑Year BRL‑CDI | 11.715 | Maturity | 01/04/2027 | 3,000 | 0 | (14 | ) | (14 | ) | 0 | 0 | ||||||||||||||||||||||||||||
Pay | 1‑Year BRL‑CDI | 11.870 | Maturity | 01/04/2027 | 7,100 | 0 | (27 | ) | (27 | ) | 0 | 0 | ||||||||||||||||||||||||||||
Receive | 3‑Month USD‑LIBOR | 0.250 | Semi‑Annual | 06/16/2024 | $ | 10,000 | 27 | 658 | 685 | 12 | 0 | |||||||||||||||||||||||||||||
Pay | 3‑Month USD‑LIBOR | 2.750 | Semi-Annual | 06/17/2025 | 8,580 | 541 | (901 | ) | (360 | ) | 0 | (13 | ) | |||||||||||||||||||||||||||
Pay | 3‑Month USD‑LIBOR | 2.250 | Semi-Annual | 06/15/2026 | 44,400 | 2,099 | (4,973 | ) | (2,874 | ) | 0 | (73 | ) | |||||||||||||||||||||||||||
Receive | 3‑Month USD‑LIBOR | 0.500 | Semi-Annual | 06/16/2026 | 35,000 | 544 | 3,697 | 4,241 | 41 | 0 | ||||||||||||||||||||||||||||||
Receive | 3‑Month USD‑LIBOR | 1.360 | Semi-Annual | 02/15/2027 | 12,450 | 0 | 1,306 | 1,306 | 19 | 0 | ||||||||||||||||||||||||||||||
Pay | 3‑Month USD‑LIBOR | 1.600 | Semi-Annual | 02/15/2027 | 49,800 | (171 | ) | (4,559 | ) | (4,730 | ) | 0 | (75 | ) | ||||||||||||||||||||||||||
Receive | 3‑Month USD‑LIBOR | 1.450 | Semi-Annual | 02/17/2027 | 20,600 | 0 | 2,083 | 2,083 | 31 | 0 | ||||||||||||||||||||||||||||||
Pay | 3‑Month USD‑LIBOR | 1.700 | Semi-Annual | 02/17/2027 | 82,200 | (309 | ) | (7,153 | ) | (7,462 | ) | 0 | (124 | ) | ||||||||||||||||||||||||||
Receive | 3‑Month USD‑LIBOR | 1.420 | Semi-Annual | 02/24/2027 | 6,000 | 0 | 613 | 613 | 9 | 0 | ||||||||||||||||||||||||||||||
Pay | 3‑Month USD‑LIBOR | 1.650 | Semi-Annual | 02/24/2027 | 19,900 | (72 | ) | (1,773 | ) | (1,845 | ) | 0 | (31 | ) |
See Accompanying Notes | SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 33 |
Schedule of Investments | PIMCO Corporate & Income Opportunity Fund | (Cont.) |
Pay/Receive Floating Rate | Floating Rate Index | Fixed Rate | Payment Frequency | Maturity Date | Notional Amount | Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | Market Value | Variation Margin | |||||||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||||||||
Pay | 3‑Month USD‑LIBOR | 2.500 | % | Semi‑Annual | 12/20/2027 | $ | 73,900 | $ | 530 | $ | (5,645 | ) | $ | (5,115 | ) | $ | 0 | $ | (127 | ) | ||||||||||||||||||||
Receive | 3‑Month USD‑LIBOR | 1.420 | Semi-Annual | 08/17/2028 | 47,100 | 0 | 6,057 | 6,057 | 87 | 0 | ||||||||||||||||||||||||||||||
Receive | 3‑Month USD‑LIBOR | 1.380 | Semi-Annual | 08/24/2028 | 71,000 | 0 | 9,272 | 9,272 | 135 | 0 | ||||||||||||||||||||||||||||||
Pay | 3‑Month USD‑LIBOR | 3.000 | Semi-Annual | 06/19/2029 | 263,700 | 13,372 | (27,542 | ) | (14,170 | ) | 0 | (569 | ) | |||||||||||||||||||||||||||
Receive | 3‑Month USD‑LIBOR | 1.000 | Semi-Annual | 12/16/2030 | 1,600 | (72 | ) | 389 | 317 | 4 | 0 | |||||||||||||||||||||||||||||
Receive | 3‑Month USD‑LIBOR | 1.000 | Semi-Annual | 12/16/2030 | 2,000 | (3 | ) | 398 | 395 | 4 | 0 | |||||||||||||||||||||||||||||
Receive | 3‑Month USD‑LIBOR | 1.160 | Semi-Annual | 04/12/2031 | 6,100 | 0 | 1,202 | 1,202 | 13 | 0 | ||||||||||||||||||||||||||||||
Receive | 3‑Month USD‑LIBOR | 0.750 | Semi-Annual | 06/16/2031 | 19,700 | 1,395 | 3,051 | 4,446 | 47 | 0 | ||||||||||||||||||||||||||||||
Receive | 3‑Month USD‑LIBOR | 1.750 | Semi-Annual | 12/15/2031 | 97,600 | (1,547 | ) | 17,189 | 15,642 | 187 | 0 | |||||||||||||||||||||||||||||
Receive | 3‑Month USD‑LIBOR | 1.350 | Semi-Annual | 02/09/2032 | 128,200 | 1,004 | 23,745 | 24,749 | 306 | 0 | ||||||||||||||||||||||||||||||
Pay | 3‑Month USD‑LIBOR | 3.500 | Semi-Annual | 06/19/2044 | 161,500 | (5,269 | ) | 868 | (4,401 | ) | 120 | 0 | ||||||||||||||||||||||||||||
Receive | 3‑Month USD‑LIBOR | 2.250 | Semi-Annual | 12/11/2049 | 2,200 | (3 | ) | 513 | 510 | 11 | 0 | |||||||||||||||||||||||||||||
Receive | 3‑Month USD‑LIBOR | 2.000 | Semi-Annual | 01/15/2050 | 19,800 | (143 | ) | 5,550 | 5,407 | 95 | 0 | |||||||||||||||||||||||||||||
Receive | 3‑Month USD‑LIBOR | 1.750 | Semi-Annual | 01/22/2050 | 28,200 | (65 | ) | 9,032 | 8,967 | 132 | 0 | |||||||||||||||||||||||||||||
Receive | 3‑Month USD‑LIBOR | 1.875 | Semi-Annual | 02/07/2050 | 29,300 | (113 | ) | 8,768 | 8,655 | 141 | 0 | |||||||||||||||||||||||||||||
Receive | 3‑Month USD‑LIBOR | 2.250 | Semi-Annual | 03/12/2050 | 9,800 | (29 | ) | 2,250 | 2,221 | 51 | 0 | |||||||||||||||||||||||||||||
Receive | 3‑Month USD‑LIBOR | 1.250 | Semi-Annual | 12/16/2050 | 17,000 | 1,650 | 5,343 | 6,993 | 80 | 0 | ||||||||||||||||||||||||||||||
Receive | 3‑Month USD‑LIBOR | 1.700 | Semi-Annual | 02/01/2052 | 144,400 | 1,028 | 46,234 | 47,262 | 0 | (184 | ) | |||||||||||||||||||||||||||||
Pay | 6‑Month AUD‑BBR‑BBSW | 3.500 | Semi-Annual | 06/17/2025 | AUD | 13,400 | 332 | (482 | ) | (150 | ) | 0 | (1 | ) | ||||||||||||||||||||||||||
Receive | 6‑Month EUR‑EURIBOR | 0.150 | Annual | 03/18/2030 | EUR | 21,400 | 392 | 4,616 | 5,008 | 81 | 0 | |||||||||||||||||||||||||||||
Receive | 6‑Month EUR‑EURIBOR | 0.250 | Annual | 09/21/2032 | 17,200 | 1,607 | 2,972 | 4,579 | 83 | 0 | ||||||||||||||||||||||||||||||
Receive(5) | 6‑Month EUR‑EURIBOR | 1.750 | Annual | 03/15/2033 | 1,900 | 149 | 105 | 254 | 10 | 0 | ||||||||||||||||||||||||||||||
Receive | 6‑Month EUR‑EURIBOR | 0.500 | Annual | 09/21/2052 | 8,100 | 702 | 2,865 | 3,567 | 71 | 0 | ||||||||||||||||||||||||||||||
Receive(5) | 6‑Month EUR‑EURIBOR | 0.830 | Annual | 12/09/2052 | 22,000 | 54 | 653 | 707 | 30 | 0 | ||||||||||||||||||||||||||||||
Pay | 28‑Day MXN‑TIIE | 4.550 | Lunar | 02/27/2023 | MXN | 84,800 | 10 | (74 | ) | (64 | ) | 0 | (3 | ) | ||||||||||||||||||||||||||
Pay | 28‑Day MXN‑TIIE | 4.500 | Lunar | 03/03/2023 | 184,900 | (5 | ) | (137 | ) | (142 | ) | 0 | (6 | ) | ||||||||||||||||||||||||||
Receive | 28‑Day MXN‑TIIE | 8.675 | Lunar | 04/03/2024 | 27,500 | 0 | 34 | 34 | 1 | 0 | ||||||||||||||||||||||||||||||
Receive | 28‑Day MXN‑TIIE | 8.660 | Lunar | 04/04/2024 | 11,400 | 0 | 14 | 14 | 0 | 0 | ||||||||||||||||||||||||||||||
Receive | 28‑Day MXN‑TIIE | 8.750 | Lunar | 04/05/2024 | 8,700 | 0 | 10 | 10 | 0 | 0 | ||||||||||||||||||||||||||||||
Receive | 28‑Day MXN‑TIIE | 8.410 | Lunar | 03/31/2027 | 3,300 | 0 | 3 | 3 | 0 | 0 | ||||||||||||||||||||||||||||||
Receive | 28‑Day MXN‑TIIE | 8.730 | Lunar | 04/06/2027 | 3,700 | 0 | 1 | 1 | 1 | 0 | ||||||||||||||||||||||||||||||
Receive | 28‑Day MXN‑TIIE | 7.495 | Lunar | 01/14/2032 | 1,800 | 7 | 0 | 7 | 0 | 0 | ||||||||||||||||||||||||||||||
Receive | 28‑Day MXN‑TIIE | 7.498 | Lunar | 01/15/2032 | 7,400 | 30 | (1 | ) | 29 | 2 | 0 | |||||||||||||||||||||||||||||
Receive | 28‑Day MXN‑TIIE | 8.732 | Lunar | 03/30/2032 | 1,800 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||||||
Receive | 28‑Day MXN‑TIIE | 8.701 | Lunar | 03/31/2032 | 4,300 | 0 | 0 | 0 | 1 | 0 | ||||||||||||||||||||||||||||||
$ | (33,929 | ) | $ | 116,058 | $ | 82,129 | $ | 2,052 | $ | (1,529 | ) | |||||||||||||||||||||||||||||
Total Swap Agreements | $ | (42,731 | ) | $ | 117,863 | $ | 75,132 | $ | 2,110 | $ | (1,559 | ) | ||||||||||||||||||||||||||||
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 | $ | 2,110 | $ | 2,110 | $ | 0 | $ | 0 | $ | (1,559) | $ | (1,559) | ||||||||||||||||||||
(1) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(3) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(4) | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(5) | This instrument has a forward starting effective date. See Note 2, Securities Transactions and Investment Income, in the Notes to Financial Statements for further information. |
34 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
December 31, 2022 | (Unaudited) |
Counterparty | Settlement Month | Currency to be Delivered | Currency to be Received | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||
BOA | 01/2023 | $ | 9,426 | AUD | 13,917 | $ | 52 | $ | 0 | |||||||||||||||
01/2023 | 14 | HUF | 6,170 | 3 | 0 | |||||||||||||||||||
02/2023 | CHF | 6,093 | $ | 6,433 | 0 | (186 | ) | |||||||||||||||||
02/2023 | $ | 2,460 | NOK | 24,414 | 37 | 0 | ||||||||||||||||||
05/2023 | PEN | 2,775 | $ | 701 | 0 | (22 | ) | |||||||||||||||||
BPS | 02/2023 | $ | 662 | IDR | 10,403,628 | 6 | 0 | |||||||||||||||||
03/2023 | INR | 3,568 | $ | 43 | 0 | 0 | ||||||||||||||||||
03/2023 | MXN | 98,502 | 4,887 | 0 | (98 | ) | ||||||||||||||||||
03/2023 | PEN | 2,531 | 651 | 0 | (11 | ) | ||||||||||||||||||
BRC | 01/2023 | $ | 1,580 | EUR | 1,486 | 11 | 0 | |||||||||||||||||
02/2023 | CHF | 3,131 | $ | 3,338 | 0 | (64 | ) | |||||||||||||||||
CBK | 01/2023 | EUR | 2,721 | 2,905 | 0 | (9 | ) | |||||||||||||||||
01/2023 | PEN | 621 | 154 | 0 | (9 | ) | ||||||||||||||||||
01/2023 | $ | 1,062 | AUD | 1,567 | 5 | 0 | ||||||||||||||||||
01/2023 | 137 | CLP | 130,274 | 17 | 0 | |||||||||||||||||||
01/2023 | 634 | PEN | 2,546 | 35 | 0 | |||||||||||||||||||
02/2023 | CAD | 10,096 | $ | 7,391 | 0 | (67 | ) | |||||||||||||||||
03/2023 | MXN | 148,675 | 7,578 | 54 | 0 | |||||||||||||||||||
04/2023 | PEN | 19,672 | 4,918 | 0 | (218 | ) | ||||||||||||||||||
04/2023 | $ | 6,847 | PEN | 27,039 | 204 | 0 | ||||||||||||||||||
05/2023 | PEN | 3,110 | $ | 784 | 0 | (26 | ) | |||||||||||||||||
DUB | 01/2023 | HUF | 2,526,071 | 5,587 | 0 | (1,166 | ) | |||||||||||||||||
GLM | 01/2023 | $ | 4,332 | BRL | 23,087 | 41 | 0 | |||||||||||||||||
01/2023 | 16 | HUF | 6,204 | 1 | 0 | |||||||||||||||||||
03/2023 | 11,976 | MXN | 246,200 | 484 | 0 | |||||||||||||||||||
04/2023 | BRL | 23,087 | $ | 4,256 | 0 | (42 | ) | |||||||||||||||||
JPM | 01/2023 | 148,851 | 28,194 | 1 | 0 | |||||||||||||||||||
01/2023 | GBP | 7,580 | 9,153 | 0 | (12 | ) | ||||||||||||||||||
01/2023 | $ | 23,733 | BRL | 125,764 | 87 | 0 | ||||||||||||||||||
01/2023 | 11 | CNY | 77 | 0 | 0 | |||||||||||||||||||
01/2023 | 6,365 | HUF | 2,538,774 | 422 | 0 | |||||||||||||||||||
02/2023 | NOK | 205 | $ | 21 | 0 | 0 | ||||||||||||||||||
02/2023 | $ | 1,140 | IDR | 17,969,393 | 13 | 0 | ||||||||||||||||||
03/2023 | IDR | 29,764,172 | $ | 1,902 | 0 | (9 | ) | |||||||||||||||||
03/2023 | $ | 20 | CNY | 138 | 0 | 0 | ||||||||||||||||||
MBC | 01/2023 | EUR | 226,134 | $ | 237,029 | 0 | (5,139 | ) | ||||||||||||||||
01/2023 | $ | 94 | AUD | 141 | 1 | 0 | ||||||||||||||||||
01/2023 | 2,133 | EUR | 2,006 | 15 | 0 | |||||||||||||||||||
01/2023 | 1,184 | GBP | 973 | 0 | (8 | ) | ||||||||||||||||||
01/2023 | 7,382 | JPY | 1,005,423 | 284 | 0 | |||||||||||||||||||
02/2023 | 5,048 | CAD | 6,690 | 0 | (106 | ) | ||||||||||||||||||
03/2023 | IDR | 18,065,324 | $ | 1,154 | 0 | (5 | ) | |||||||||||||||||
MYI | 01/2023 | $ | 3,003 | AUD | 4,472 | 42 | 0 | |||||||||||||||||
01/2023 | 6,306 | JPY | 863,852 | 281 | 0 | |||||||||||||||||||
03/2023 | IDR | 25,453,713 | $ | 1,623 | 0 | (11 | ) | |||||||||||||||||
RBC | 01/2023 | $ | 34 | AUD | 51 | 1 | 0 | |||||||||||||||||
02/2023 | 3,731 | NOK | 37,225 | 75 | 0 | |||||||||||||||||||
SCX | 02/2023 | 1,201 | IDR | 18,907,826 | 13 | 0 | ||||||||||||||||||
TOR | 01/2023 | 4,590 | CZK | 105,785 | 88 | 0 | ||||||||||||||||||
UAG | 01/2023 | CZK | 106,254 | $ | 4,178 | 0 | (521 | ) | ||||||||||||||||
02/2023 | $ | 1,768 | IDR | 28,062,140 | 34 | 0 | ||||||||||||||||||
Total Forward Foreign Currency Contracts | $ | 2,307 | $ | (7,729 | ) | |||||||||||||||||||
Counterparty | Reference Entity | Fixed Receive Rate | Payment Frequency | Maturity Date | Implied Credit Spread at December 31, 2022(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 | 12/20/2024 | 1.522 | % | $ | 1,800 | $ | (351 | ) | $ | 334 | $ | 0 | $ | (17 | ) | |||||||||||||||||||||
BRC | Colombia Government International Bond | 1.000 | Quarterly | 12/20/2026 | 2.315 | 3,500 | (160 | ) | (1 | ) | 0 | (161 | ) |
See Accompanying Notes | SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 35 |
Schedule of Investments | PIMCO Corporate & Income Opportunity Fund | (Cont.) |
Counterparty | Reference Entity | Fixed Receive Rate | Payment Frequency | Maturity Date | Implied Credit Spread at December 31, 2022(2) | Notional Amount(3) | Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | Swap Agreements, at Value(4) | |||||||||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||||||||||
GST | Equinix, Inc. | 5.000 | % | Quarterly | 06/20/2027 | 1.569 | % | $ | 1,000 | $ | 140 | $ | (2 | ) | $ | 138 | $ | 0 | ||||||||||||||||||||||||
Petrobras Global Finance BV | 1.000 | Quarterly | 12/20/2024 | 1.522 | 2,400 | (476 | ) | 454 | 0 | (22 | ) | |||||||||||||||||||||||||||||||
HUS | Petrobras Global Finance BV | 1.000 | Quarterly | 12/20/2024 | 1.522 | 3,000 | (623 | ) | 595 | 0 | (28 | ) | ||||||||||||||||||||||||||||||
JPM | Banca Monte Dei Paschi Di | 5.000 | Quarterly | 06/20/2025 | 4.967 | EUR | 300 | (6 | ) | 7 | 1 | 0 | ||||||||||||||||||||||||||||||
$ | (1,476 | ) | $ | 1,387 | $ | 139 | $ | (228 | ) | |||||||||||||||||||||||||||||||||
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 | $ | 22,769 | $ | (5,689 | ) | $ | 5,464 | $ | 0 | $ | (225 | ) | |||||||||||||||||||
GST | ABX.HE.AA.6‑1 Index | 0.320 | Monthly | 07/25/2045 | 8,335 | (396 | ) | (254 | ) | 0 | (650 | ) | ||||||||||||||||||||||||
ABX.HE.AAA.6‑2 Index | 0.110 | Monthly | 05/25/2046 | 1,926 | (479 | ) | 460 | 0 | (19 | ) | ||||||||||||||||||||||||||
MEI | ABX.HE.AAA.6‑2 Index | 0.110 | Monthly | 05/25/2046 | 26,538 | (6,602 | ) | 6,340 | 0 | (262 | ) | |||||||||||||||||||||||||
MYC | ABX.HE.AAA.6‑2 Index | 0.110 | Monthly | 05/25/2046 | 28,891 | (4,726 | ) | 4,440 | 0 | (286 | ) | |||||||||||||||||||||||||
$ | (17,892 | ) | $ | 16,450 | $ | 0 | $ | (1,442 | ) | |||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||
BOA | Receive | iBoxx USD Liquid High Yield Index | N/A | 1.059% | Maturity | 03/20/2023 | $ | 1,000 | $ | (1 | ) | $ | 39 | $ | 38 | $ | 0 | |||||||||||||||||||||||||
GST | Receive | iBoxx USD Liquid High Yield Index | N/A | 1.058% | Maturity | 06/20/2023 | 3,300 | (26 | ) | (35 | ) | 0 | (61 | ) | ||||||||||||||||||||||||||||
$ | (27 | ) | $ | 4 | $ | 38 | $ | (61 | ) | |||||||||||||||||||||||||||||||||
Total Swap Agreements | $ | (19,395 | ) | $ | 17,841 | $ | 177 | $ | (1,731 | ) | ||||||||||||||||||||||||||||||||
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 | $ | 92 | $ | 0 | $ | 38 | $ | 130 | $ | (208 | ) | $ | 0 | $ | 0 | $ | (208 | ) | $ | (78 | ) | $ | 272 | $ | 194 | |||||||||||||||||||||||
BPS | 6 | 0 | 0 | 6 | (109 | ) | 0 | (17 | ) | (126 | ) | (120 | ) | 424 | 304 | |||||||||||||||||||||||||||||||||
BRC | 11 | 0 | 0 | 11 | (64 | ) | 0 | (386 | ) | (450 | ) | (439 | ) | 489 | 50 | |||||||||||||||||||||||||||||||||
CBK | 315 | 0 | 0 | 315 | (329 | ) | 0 | 0 | (329 | ) | (14 | ) | 0 | (14 | ) | |||||||||||||||||||||||||||||||||
DUB | 0 | 0 | 0 | 0 | (1,166 | ) | 0 | 0 | (1,166 | ) | (1,166 | ) | 939 | (227 | ) | |||||||||||||||||||||||||||||||||
GLM | 526 | 0 | 0 | 526 | (42 | ) | 0 | 0 | (42 | ) | 484 | (540 | ) | (56 | ) | |||||||||||||||||||||||||||||||||
GST | 0 | 0 | 138 | 138 | 0 | 0 | (752 | ) | (752 | ) | (614 | ) | 553 | (61 | ) | |||||||||||||||||||||||||||||||||
HUS | 0 | 0 | 0 | 0 | 0 | 0 | (28 | ) | (28 | ) | (28 | ) | 34 | 6 | ||||||||||||||||||||||||||||||||||
JPM | 523 | 0 | 1 | 524 | (21 | ) | 0 | 0 | (21 | ) | 503 | (270 | ) | 233 | ||||||||||||||||||||||||||||||||||
MBC | 300 | 0 | 0 | 300 | (5,258 | ) | 0 | 0 | (5,258 | ) | (4,958 | ) | 3,831 | (1,127 | ) | |||||||||||||||||||||||||||||||||
MEI | 0 | 0 | 0 | 0 | 0 | 0 | (262 | ) | (262 | ) | (262 | ) | 286 | 24 | ||||||||||||||||||||||||||||||||||
MYC | 0 | 0 | 0 | 0 | 0 | 0 | (286 | ) | (286 | ) | (286 | ) | 366 | 80 | ||||||||||||||||||||||||||||||||||
MYI | 323 | 0 | 0 | 323 | (11 | ) | 0 | 0 | (11 | ) | 312 | (263 | ) | 49 | ||||||||||||||||||||||||||||||||||
RBC | 76 | 0 | 0 | 76 | 0 | 0 | 0 | 0 | 76 | 0 | 76 | |||||||||||||||||||||||||||||||||||||
SCX | 13 | 0 | 0 | 13 | 0 | 0 | 0 | 0 | 13 | 0 | 13 | |||||||||||||||||||||||||||||||||||||
TOR | 88 | 0 | 0 | 88 | 0 | 0 | 0 | 0 | 88 | 0 | 88 | |||||||||||||||||||||||||||||||||||||
UAG | 34 | 0 | 0 | 34 | (521 | ) | 0 | 0 | (521 | ) | (487 | ) | 555 | 68 | ||||||||||||||||||||||||||||||||||
Total Over the Counter | $ | 2,307 | $ | 0 | $ | 177 | $ | 2,484 | $ | (7,729 | ) | $ | 0 | $ | (1,731 | ) | $ | (9,460 | ) | |||||||||||||||||||||||||||||
(o) | Securities with an aggregate market value of $7,750 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022. |
(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. |
36 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
December 31, 2022 | (Unaudited) |
(2) | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(3) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(4) | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(5) | 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 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. |
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 | $ | 58 | $ | 0 | $ | 0 | $ | 2,052 | $ | 2,110 | ||||||||||||
Over the counter | ||||||||||||||||||||||||
Forward Foreign Currency Contracts | $ | 0 | $ | 0 | $ | 0 | $ | 2,307 | $ | 0 | $ | 2,307 | ||||||||||||
Swap Agreements | 0 | 139 | 0 | 0 | 38 | 177 | ||||||||||||||||||
$ | 0 | $ | 139 | $ | 0 | $ | 2,307 | $ | 38 | $ | 2,484 | |||||||||||||
$ | 0 | $ | 197 | $ | 0 | $ | 2,307 | $ | 2,090 | $ | 4,594 | |||||||||||||
Financial Derivative Instruments - Liabilities | ||||||||||||||||||||||||
Exchange-traded or centrally cleared | ||||||||||||||||||||||||
Swap Agreements | $ | 0 | $ | 30 | $ | 0 | $ | 0 | $ | 1,529 | $ | 1,559 | ||||||||||||
Over the counter | ||||||||||||||||||||||||
Forward Foreign Currency Contracts | $ | 0 | $ | 0 | $ | 0 | $ | 7,729 | $ | 0 | $ | 7,729 | ||||||||||||
Swap Agreements | 0 | 1,670 | 0 | 0 | 61 | 1,731 | ||||||||||||||||||
$ | 0 | $ | 1,670 | $ | 0 | $ | 7,729 | $ | 61 | $ | 9,460 | |||||||||||||
$ | 0 | $ | 1,700 | $ | 0 | $ | 7,729 | $ | 1,590 | $ | 11,019 | |||||||||||||
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 | $ | 364 | $ | 0 | $ | 0 | $ | 41,600 | $ | 41,964 | ||||||||||||
Over the counter | ||||||||||||||||||||||||
Forward Foreign Currency Contracts | $ | 0 | $ | 0 | $ | 0 | $ | 5,853 | $ | 0 | $ | 5,853 | ||||||||||||
Swap Agreements | 0 | (14,162 | ) | 0 | 0 | 86 | (14,076 | ) | ||||||||||||||||
$ | 0 | $ | (14,162 | ) | $ | 0 | $ | 5,853 | $ | 86 | $ | (8,223 | ) | |||||||||||
$ | 0 | $ | (13,798 | ) | $ | 0 | $ | 5,853 | $ | 41,686 | $ | 33,741 | ||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative Instruments | ||||||||||||||||||||||||
Exchange-traded or centrally cleared | ||||||||||||||||||||||||
Swap Agreements | $ | 0 | $ | 6,152 | $ | 0 | $ | 0 | $ | (21,990 | ) | $ | (15,838 | ) | ||||||||||
Over the counter | ||||||||||||||||||||||||
Forward Foreign Currency Contracts | $ | 0 | $ | 0 | $ | 0 | $ | (9,042 | ) | $ | 0 | $ | (9,042 | ) | ||||||||||
Swap Agreements | 0 | 7,951 | 0 | 0 | 79 | 8,030 | ||||||||||||||||||
$ | 0 | $ | 7,951 | $ | 0 | $ | (9,042 | ) | $ | 79 | $ | (1,012 | ) | |||||||||||
$ | 0 | $ | 14,103 | $ | 0 | $ | (9,042 | ) | $ | (21,911 | ) | $ | (16,850 | ) | ||||||||||
See Accompanying Notes | SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 37 |
Schedule of Investments | PIMCO Corporate & Income Opportunity Fund | (Cont.) |
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2022 | ||||||||||||
Investments in Securities, at Value | ||||||||||||||||
Loan Participations and Assignments | $ | 0 | $ | 538,721 | $ | 108,772 | $ | 647,493 | ||||||||
Corporate Bonds & Notes | ||||||||||||||||
Banking & Finance | 0 | 203,456 | 0 | 203,456 | ||||||||||||
Industrials | 0 | 471,406 | 0 | 471,406 | ||||||||||||
Utilities | 0 | 82,281 | 0 | 82,281 | ||||||||||||
Convertible Bonds & Notes | ||||||||||||||||
Industrials | 0 | 3,711 | 0 | 3,711 | ||||||||||||
Municipal Bonds & Notes | ||||||||||||||||
California | 0 | 2,765 | 0 | 2,765 | ||||||||||||
Illinois | 0 | 5,477 | 0 | 5,477 | ||||||||||||
Puerto Rico | 0 | 8,748 | 0 | 8,748 | ||||||||||||
West Virginia | 0 | 5,860 | 0 | 5,860 | ||||||||||||
U.S. Government Agencies | 0 | 16,634 | 8,392 | 25,026 | ||||||||||||
Non‑Agency Mortgage-Backed Securities | 0 | 147,145 | 0 | 147,145 | ||||||||||||
Asset-Backed Securities | 0 | 126,355 | 11,074 | 137,429 | ||||||||||||
Sovereign Issues | 0 | 36,504 | 0 | 36,504 | ||||||||||||
Common Stocks | ||||||||||||||||
Communication Services | 2,912 | 0 | 1,178 | 4,090 | ||||||||||||
Consumer Staples | 371 | 0 | 0 | 371 | ||||||||||||
Energy | 1,039 | 0 | 212 | 1,251 | ||||||||||||
Financials | 4,711 | 0 | 11,027 | 15,738 | ||||||||||||
Industrials | 18 | 0 | 31,978 | 31,996 | ||||||||||||
Rights | ||||||||||||||||
Financials | 0 | 0 | 328 | 328 | ||||||||||||
Warrants | ||||||||||||||||
Financials | 0 | 0 | 365 | 365 | ||||||||||||
Information Technology | 0 | 0 | 23,913 | 23,913 | ||||||||||||
Preferred Securities | ||||||||||||||||
Banking & Finance | 0 | 32,949 | 0 | 32,949 | ||||||||||||
Industrials | 0 | 0 | 4,575 | 4,575 |
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2022 | ||||||||||||
Real Estate Investment Trusts | ||||||||||||||||
Real Estate | $ | 10,253 | $ | 0 | $ | 0 | $ | 10,253 | ||||||||
Short-Term Instruments | ||||||||||||||||
Repurchase Agreements | 0 | 112,093 | 0 | 112,093 | ||||||||||||
Argentina Treasury Bills | 0 | 845 | 0 | 845 | ||||||||||||
U.S. Treasury Bills | 0 | 12,982 | 0 | 12,982 | ||||||||||||
Total Investments | $ | 19,304 | $ | 1,807,932 | $ | 201,814 | $ | 2,029,050 | ||||||||
Financial Derivative Instruments - Assets | ||||||||||||||||
Exchange-traded or centrally cleared | 0 | 2,110 | 0 | 2,110 | ||||||||||||
Over the counter | 0 | 2,484 | 0 | 2,484 | ||||||||||||
$ | 0 | $ | 4,594 | $ | 0 | $ | 4,594 | |||||||||
Financial Derivative Instruments - Liabilities | ||||||||||||||||
Exchange-traded or centrally cleared | 0 | (1,559 | ) | 0 | (1,559 | ) | ||||||||||
Over the counter | 0 | (9,460 | ) | 0 | (9,460 | ) | ||||||||||
$ | 0 | $ | (11,019 | ) | $ | 0 | $ | (11,019 | ) | |||||||
Total Financial Derivative Instruments | $ | 0 | $ | (6,425 | ) | $ | 0 | $ | (6,425 | ) | ||||||
Totals | $ | 19,304 | $ | 1,801,507 | $ | 201,814 | $ | 2,022,625 | ||||||||
Category and Subcategory | Beginning Balance at 06/30/2022 | Net Purchases | Net Sales/ Settlements | Accrued Discounts/ (Premiums) | Realized Gain/(Loss) | Net Change in Unrealized Appreciation/ (Depreciation)(1) | Transfers into Level 3 | Transfers out of Level 3 | Ending Balance at 12/31/2022 | Net Change in Unrealized Appreciation/ (Depreciation) on Investments Held at 12/31/2022(1) | ||||||||||||||||||||||||||||||
Investments in Securities, at Value | ||||||||||||||||||||||||||||||||||||||||
Loan Participations and Assignments | $ | 130,842 | $ | 60,744 | $ | (12,912 | ) | $ | 1,956 | $ | (136 | ) | $ | (7,170 | ) | $ | 32,605 | $ | (97,157 | ) | $ | 108,772 | $ | 144 | ||||||||||||||||
Corporate Bonds & Notes | ||||||||||||||||||||||||||||||||||||||||
Industrials | 78,440 | 1,299 | 0 | 138 | 0 | (4,264 | ) | 0 | (75,613 | ) | 0 | 0 | ||||||||||||||||||||||||||||
U.S. Government Agencies | 8,421 | 0 | (104 | ) | 19 | 34 | 22 | 0 | 0 | 8,392 | 16 | |||||||||||||||||||||||||||||
Asset-Backed Securities | 15,427 | 0 | (947 | ) | 26 | (2,613 | ) | (819 | ) | 0 | 0 | 11,074 | (3,419 | ) | ||||||||||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||||||||||||||||||
Communication Services | 1,516 | 0 | 0 | 0 | 0 | (338 | ) | 0 | 0 | 1,178 | (338 | ) | ||||||||||||||||||||||||||||
Energy | 90 | 0 | 0 | 0 | 0 | 122 | 0 | 0 | 212 | 122 | ||||||||||||||||||||||||||||||
Financials | 12,865 | 0 | 0 | 0 | 0 | (1,838 | ) | 0 | 0 | 11,027 | (1,838 | ) | ||||||||||||||||||||||||||||
Industrials | 30,965 | 319 | 0 | 0 | 0 | 712 | 0 | (18 | ) | 31,978 | 726 | |||||||||||||||||||||||||||||
Materials | 95 | 0 | (104 | ) | 0 | 104 | (95 | ) | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||||
Rights | ||||||||||||||||||||||||||||||||||||||||
Financials | 231 | 0 | 0 | 0 | 0 | 97 | 0 | 0 | 328 | 97 | ||||||||||||||||||||||||||||||
Warrants | ||||||||||||||||||||||||||||||||||||||||
Financials | 244 | 0 | 0 | 0 | 0 | 121 | 0 | 0 | 365 | 121 | ||||||||||||||||||||||||||||||
Industrials | 812 | 0 | (164 | ) | 0 | 164 | (812 | ) | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||||
Information Technology | 25,189 | 0 | 0 | 0 | 0 | (1,276 | ) | 0 | 0 | 23,913 | (1,276 | ) | ||||||||||||||||||||||||||||
Preferred Securities Industrials | 54,575 | 0 | (60,537 | ) | 0 | 33,654 | (23,117 | ) | 0 | 0 | 4,575 | (579 | ) | |||||||||||||||||||||||||||
Totals | $ | 359,712 | $ | 62,362 | $ | (74,768 | ) | $ | 2,139 | $ | 31,207 | $ | (38,655 | ) | $ | 32,605 | $ | (172,788 | ) | $ | 201,814 | $ | (6,224 | ) | ||||||||||||||||
38 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
December 31, 2022 | (Unaudited) |
Category and Subcategory | Ending Balance at 12/31/2022 | Valuation Technique | Unobservable Inputs | (% Unless Noted Otherwise) | ||||||||||||||
Input Value(s) | Weighted Average | |||||||||||||||||
Investments in Securities, at Value | ||||||||||||||||||
Loan Participations and Assignments | $ | 26,855 | Discounted Cash Flow | Discount Rate | 6.180 | — | ||||||||||||
14,572 | Discounted Cash Flow | Discount Spread | 9.080 | — | ||||||||||||||
14,224 | Proxy Pricing | Base Price | 95.286 | — | ||||||||||||||
53,121 | Third Party Vendor | Broker Quote | 35.000-87.500 | 72.272 | ||||||||||||||
U.S. Government Agencies | 8,392 | Discounted Cash Flow | Discount Rate | 12.000 | — | |||||||||||||
Asset-Backed Securities | 11,074 | Discounted Cash Flow | Discount Rate | 10.000-20.000 | 16.751 | |||||||||||||
Common Stocks | ||||||||||||||||||
Communication Services | 1,178 | Reference Instrument | Stock Price W/Liquidity Discount | 10.000 | — | |||||||||||||
Energy | 212 | Market Comparable Valuation | EBITDA Multiple | X | 4.600 | — | ||||||||||||
Financials | 11,027 | Indicative Market Quotation | Price | $ | 24.000 | — | ||||||||||||
Industrials | 26,847 | Market Comparable Valuation / Discounted Cash Flow | Revenue | EBITDA Multiple / Discount Rate | X/% | 0.620|6.160/10.000 | — | ||||||||||||
4,793 | Discounted Cash Flow | Discount Rate | 11.590 | — | ||||||||||||||
338 | Indicative Market Quotation | Price | $ | 7.500 | — | |||||||||||||
Rights | ||||||||||||||||||
Financials | 328 | Other Valuation Techniques(2) | — | — | — | |||||||||||||
Warrants | ||||||||||||||||||
Financials | 5 | Indicative Market Quotation | Price | $ | 2.000-3.500 | 3.271 | ||||||||||||
360 | Other Valuation Techniques(2) | — | — | — | ||||||||||||||
Information Technology | 23,913 | Market Comparable Valuation | EBITDA Multiple | X | 4.500 | — | ||||||||||||
Preferred Securities | ||||||||||||||||||
Industrials | 4,575 | Market Comparable Valuation / Discounted Cash Flow | TBV Multiple/Discount Rate | X/ % | 0.370/24.820 | — | ||||||||||||
Total | $ | 201,814 | ||||||||||||||||
(1) | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at December 31, 2022 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, 2022 | 39 |
Schedule of Investments | PIMCO Corporate & Income Strategy Fund |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
INVESTMENTS IN SECURITIES 132.4% | ||||||||||||
LOAN PARTICIPATIONS AND ASSIGNMENTS 34.4% | ||||||||||||
American Airlines, Inc. | ||||||||||||
8.993% (LIBOR03M + 4.750%) due 04/20/2028 ~ | $ | 2,300 | $ | 2,294 | ||||||||
AmSurg LLC | ||||||||||||
TBD% due 04/29/2027 µ | 1,262 | 1,235 | ||||||||||
AP Core Holdings LLC | ||||||||||||
9.884% (LIBOR01M + 5.500%) due 09/01/2027 ~ | 14,264 | 12,924 | ||||||||||
Arches Buyer, Inc. | ||||||||||||
7.634% (LIBOR01M + 3.250%) due 12/06/2027 ~ | 831 | 772 | ||||||||||
Carnival Corp. | ||||||||||||
5.648% (EUR001M + 3.750%) due 06/30/2025 ~ | EUR | 2,164 | 2,233 | |||||||||
Cengage Learning, Inc. | ||||||||||||
7.814% (LIBOR06M + 4.750%) due 07/14/2026 ~ | $ | 1,086 | 979 | |||||||||
Diamond Sports Group LLC | ||||||||||||
12.317% due 05/25/2026 | 11,926 | 11,332 | ||||||||||
DirecTV Financing LLC | ||||||||||||
9.384% (LIBOR01M + 5.000%) due 08/02/2027 ~ | 8,475 | 8,269 | ||||||||||
Envision Healthcare Corp. | ||||||||||||
12.119% due 04/29/2027 | 6,938 | 6,791 | ||||||||||
15.744% due 04/28/2028 | 17,044 | 13,947 | ||||||||||
Forbes Energy Services LLC | ||||||||||||
7.000% due 06/30/2023 « | 164 | 0 | ||||||||||
11.000% due 06/30/2023 « | 2 | 0 | ||||||||||
Gateway Casinos & Entertainment Ltd. | ||||||||||||
12.138% due 10/15/2027 | 5,740 | 5,668 | ||||||||||
12.565% due 10/18/2027 | CAD | 3,452 | 2,518 | |||||||||
Intelsat Jackson Holdings SA | ||||||||||||
7.445% due 02/01/2029 | $ | 3,301 | 3,193 | |||||||||
Lealand Finance Co. BV | ||||||||||||
7.384% (LIBOR01M + 3.000%) due 06/28/2024 ~ | 75 | 49 | ||||||||||
Lealand Finance Co. BV (5.384% Cash and 3.000% PIK) | ||||||||||||
8.384% (LIBOR01M + 1.000%) due 06/30/2025 ~(b) | 364 | 195 | ||||||||||
MPH Acquisition Holdings LLC | ||||||||||||
8.985% (LIBOR03M + 4.250%) due 09/01/2028 ~ | 5,841 | 5,016 | ||||||||||
Oi SA | ||||||||||||
TBD% due 02/26/2035 « | 7,418 | 2,596 | ||||||||||
Poseidon Bidco SASU | ||||||||||||
7.452% (EUR003M + 5.250%) due 07/14/2028 «~ | EUR | 5,900 | 5,442 | |||||||||
Promotora de Informaciones SA | ||||||||||||
6.708% (EUR003M + 5.250%) due 12/31/2026 «~ | 8,300 | 7,641 | ||||||||||
8.000% (EUR003M + 8.000%) due 06/30/2027 «~ | 2,743 | 2,569 | ||||||||||
PUG LLC | ||||||||||||
7.884% (LIBOR01M + 3.500%) due 02/12/2027 ~ | $ | 9,259 | 7,708 | |||||||||
8.634% (LIBOR01M + 4.250%) due 02/12/2027 «~ | 369 | 307 | ||||||||||
Redstone Holdco 2 LP | ||||||||||||
9.108% (LIBOR03M + 4.750%) due 04/27/2028 ~ | 7,767 | 5,415 | ||||||||||
Rising Tide Holdings, Inc. | ||||||||||||
9.485% (LIBOR03M + 4.750%) due 06/01/2028 «~ | 988 | 469 | ||||||||||
Steenbok Lux Finco 2 SARL (10.750% PIK) | ||||||||||||
10.750% (EUR006M) due 06/30/2023 ~(b) | EUR | 12,536 | 8,633 | |||||||||
Syniverse Holdings, Inc. | ||||||||||||
11.580% due 05/13/2027 | $ | 15,594 | 13,683 | |||||||||
Team Health Holdings, Inc. | ||||||||||||
7.134% (LIBOR01M + 2.750%) due 02/06/2024 ~ | 12,019 | 10,337 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Telemar Norte Leste SA | ||||||||||||
TBD% due 02/26/2035 « | $ | 6,117 | $ | 2,141 | ||||||||
TransDigm, Inc. | ||||||||||||
6.980% (LIBOR03M + 2.250%) due 05/30/2025 ~ | 14 | 14 | ||||||||||
7.830% due 02/22/2027 | 2,019 | 2,015 | ||||||||||
U.S. Renal Care, Inc. | ||||||||||||
9.438% (LIBOR01M + 5.000%) due 06/26/2026 ~ | 19,052 | 10,753 | ||||||||||
9.938% (LIBOR01M + 5.500%) due 06/26/2026 ~ | 910 | 514 | ||||||||||
Veritas U.S., Inc. | ||||||||||||
9.730% (LIBOR03M + 5.000%) due 09/01/2025 ~ | 13,067 | 9,284 | ||||||||||
Westmoreland Mining Holdings LLC (15.000% PIK) | ||||||||||||
15.000% due 03/15/2029 (b) | 4,754 | 3,696 | ||||||||||
Windstream Services LLC | ||||||||||||
8.423% due 02/28/2027 « | 5,480 | 5,228 | ||||||||||
10.673% (LIBOR01M + 6.250%) due 09/21/2027 ~ | 2,423 | 2,204 | ||||||||||
Zayo Group Holdings, Inc. | ||||||||||||
7.384% (LIBOR01M + 3.000%) due 03/09/2027 ~ | 2,000 | 1,629 | ||||||||||
Total Loan Participations and Assignments (Cost $208,228) | 179,693 | |||||||||||
CORPORATE BONDS & NOTES 48.1% | ||||||||||||
BANKING & FINANCE 10.8% | ||||||||||||
Apollo Commercial Real Estate Finance, Inc. | ||||||||||||
4.625% due 06/15/2029 (m) | 1,800 | 1,443 | ||||||||||
Armor Holdco, Inc. | ||||||||||||
8.500% due 11/15/2029 (m) | 3,400 | 2,558 | ||||||||||
Banca Monte dei Paschi di Siena SpA | ||||||||||||
1.875% due 01/09/2026 | EUR | 1,000 | 921 | |||||||||
2.625% due 04/28/2025 | 7,669 | 7,450 | ||||||||||
3.625% due 09/24/2024 | 1,714 | 1,746 | ||||||||||
5.375% due 01/18/2028 • | 600 | 519 | ||||||||||
8.000% due 01/22/2030 • | 2,296 | 2,157 | ||||||||||
8.500% due 09/10/2030 • | 2,300 | 2,172 | ||||||||||
10.500% due 07/23/2029 | 2,167 | 2,154 | ||||||||||
Banco de Credito del Peru SA | ||||||||||||
4.650% due 09/17/2024 | PEN | 700 | 172 | |||||||||
Barclays PLC | ||||||||||||
7.437% due 11/02/2033 • | $ | 1,708 | 1,795 | |||||||||
BNP Paribas SA | ||||||||||||
3.132% due 01/20/2033 • | 1,506 | 1,193 | ||||||||||
BOI Finance BV | ||||||||||||
7.500% due 02/16/2027 | EUR | 2,600 | 2,248 | |||||||||
Corsair International Ltd. | ||||||||||||
5.473% due 01/28/2027 • | 1,000 | 1,062 | ||||||||||
Cosaint Re Pte. Ltd. | ||||||||||||
13.850% (T‑BILL 1MO + 9.250%) due 04/03/2028 ~ | $ | 700 | 567 | |||||||||
Credit Agricole SA | ||||||||||||
7.875% due 01/23/2024 •(i)(j) | 200 | 199 | ||||||||||
Credit Suisse Group AG | ||||||||||||
6.373% due 07/15/2026 •(m) | 400 | 376 | ||||||||||
6.442% due 08/11/2028 •(m) | 600 | 547 | ||||||||||
GSPA Monetization Trust | ||||||||||||
6.422% due 10/09/2029 | 2,655 | 2,551 | ||||||||||
Hestia Re Ltd. | ||||||||||||
13.840% (T‑BILL 1MO + 9.500%) due 04/22/2025 ~ | 704 | 581 | ||||||||||
Lloyds Banking Group PLC | ||||||||||||
4.947% due 06/27/2025 •(i)(j) | EUR | 1,542 | 1,585 | |||||||||
Park Aerospace Holdings Ltd. | ||||||||||||
5.500% due 02/15/2024 | $ | 6 | 6 | |||||||||
Sanders Re Ltd. | ||||||||||||
16.090% (T‑BILL 3MO + 11.750%) due 04/09/2029 ~ | 1,207 | 1,146 | ||||||||||
Unique Pub Finance Co. PLC | ||||||||||||
5.659% due 06/30/2027 | GBP | 415 | 495 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Uniti Group LP | ||||||||||||
4.750% due 04/15/2028 (m) | $ | 2,200 | $ | 1,763 | ||||||||
6.000% due 01/15/2030 (m) | 7,721 | 4,896 | ||||||||||
6.500% due 02/15/2029 (m) | 2,600 | 1,727 | ||||||||||
VICI Properties LP | ||||||||||||
3.875% due 02/15/2029 (m) | 5,800 | 5,092 | ||||||||||
5.750% due 02/01/2027 (m) | 700 | 683 | ||||||||||
Voyager Aviation Holdings LLC | ||||||||||||
8.500% due 05/09/2026 | 7,150 | 5,675 | ||||||||||
Yosemite Re Ltd. | ||||||||||||
14.087% (T‑BILL 3MO + 9.750%) due 06/06/2025 ~ | 660 | 636 | ||||||||||
56,115 | ||||||||||||
INDUSTRIALS 31.5% | ||||||||||||
AA Bond Co. Ltd. | ||||||||||||
5.500% due 07/31/2050 | GBP | 2,332 | 2,446 | |||||||||
Altice Financing SA | ||||||||||||
5.750% due 08/15/2029 (m) | $ | 1,925 | 1,518 | |||||||||
Altice France Holding SA | ||||||||||||
10.500% due 05/15/2027 (m) | 4,500 | 3,441 | ||||||||||
Boeing Co. | ||||||||||||
6.125% due 02/15/2033 (m) | 1,447 | 1,475 | ||||||||||
Carvana Co. | ||||||||||||
10.250% due 05/01/2030 | 2,200 | 1,038 | ||||||||||
CDW LLC | ||||||||||||
3.569% due 12/01/2031 (m) | 800 | 661 | ||||||||||
CGG SA | ||||||||||||
7.750% due 04/01/2027 | EUR | 2,550 | 2,240 | |||||||||
8.750% due 04/01/2027 (m) | $ | 6,964 | 5,578 | |||||||||
Champion Path Holdings Ltd. | ||||||||||||
4.500% due 01/27/2026 | 1,000 | 873 | ||||||||||
4.850% due 01/27/2028 | 1,100 | 928 | ||||||||||
Community Health Systems, Inc. | ||||||||||||
8.000% due 03/15/2026 (m) | 9,682 | 8,835 | ||||||||||
CVS Pass-Through Trust | ||||||||||||
7.507% due 01/10/2032 (m) | 586 | 610 | ||||||||||
DISH DBS Corp. | ||||||||||||
5.250% due 12/01/2026 (m) | 3,700 | 3,124 | ||||||||||
5.750% due 12/01/2028 (m) | 5,720 | 4,576 | ||||||||||
DTEK Energy BV (3.500% Cash and 3.500% PIK) | ||||||||||||
7.000% due 12/31/2027 (b) | 3,597 | 991 | ||||||||||
Dufry One BV | ||||||||||||
3.625% due 04/15/2026 | CHF | 2,741 | 2,610 | |||||||||
Exela Intermediate LLC | ||||||||||||
11.500% due 07/15/2026 | $ | 85 | 15 | |||||||||
Ford Motor Co. | ||||||||||||
7.700% due 05/15/2097 (m) | 6,540 | 6,201 | ||||||||||
HCA, Inc. | ||||||||||||
7.500% due 11/15/2095 (m) | 1,200 | 1,292 | ||||||||||
HF Sinclair Corp. | ||||||||||||
4.500% due 10/01/2030 (m) | 3,721 | 3,275 | ||||||||||
Intelsat Jackson Holdings SA | ||||||||||||
6.500% due 03/15/2030 (m) | 12,686 | 11,373 | ||||||||||
Inter Media & Communication SpA | ||||||||||||
6.750% due 02/09/2027 | EUR | 2,600 | 2,645 | |||||||||
Market Bidco Finco PLC | ||||||||||||
4.750% due 11/04/2027 | 700 | 605 | ||||||||||
Melco Resorts Finance Ltd. | ||||||||||||
4.875% due 06/06/2025 (m) | $ | 1,732 | 1,594 | |||||||||
5.750% due 07/21/2028 (m) | 1,500 | 1,257 | ||||||||||
New Albertsons LP | ||||||||||||
6.570% due 02/23/2028 | 5,600 | 5,759 | ||||||||||
Nissan Motor Co. Ltd. | ||||||||||||
4.810% due 09/17/2030 (m) | 11,300 | 9,615 | ||||||||||
Noble Corp. PLC (11.000% Cash or 15.000% PIK) | ||||||||||||
11.000% due 02/15/2028 (b) | 47 | 52 | ||||||||||
Norfolk Southern Corp. | ||||||||||||
4.100% due 05/15/2121 (m) | 600 | 418 | ||||||||||
Odebrecht Oil & Gas Finance Ltd. | ||||||||||||
0.000% due 01/30/2023 (f)(i) | 753 | 2 |
40 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
December 31, 2022 | (Unaudited) |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Olympus Water U.S. Holding Corp. | ||||||||||||
5.375% due 10/01/2029 | EUR | 2,400 | $ | 1,874 | ||||||||
Oracle Corp. | ||||||||||||
4.100% due 03/25/2061 (k)(m) | $ | 200 | 140 | |||||||||
Petroleos Mexicanos | ||||||||||||
2.750% due 04/21/2027 | EUR | 2,422 | 2,035 | |||||||||
Prime Healthcare Services, Inc. | ||||||||||||
7.250% due 11/01/2025 (m) | $ | 4,000 | 3,386 | |||||||||
QVC, Inc. | ||||||||||||
5.950% due 03/15/2043 (m) | 1,774 | 880 | ||||||||||
Russian Railways Via RZD Capital PLC | ||||||||||||
7.487% due 03/25/2031 ^(c) | GBP | 1,000 | 653 | |||||||||
Sands China Ltd. | ||||||||||||
2.800% due 03/08/2027 (m) | $ | 600 | 515 | |||||||||
3.350% due 03/08/2029 (m) | 500 | 409 | ||||||||||
5.900% due 08/08/2028 (m) | 5,128 | 4,808 | ||||||||||
Seagate HDD Cayman | ||||||||||||
4.091% due 06/01/2029 (m) | 2,000 | 1,661 | ||||||||||
Times Square Hotel Trust | ||||||||||||
8.528% due 08/01/2026 | 836 | 826 | ||||||||||
Topaz Solar Farms LLC | ||||||||||||
4.875% due 09/30/2039 (m) | 1,998 | 1,778 | ||||||||||
5.750% due 09/30/2039 (m) | 8,259 | 7,851 | ||||||||||
U.S. Renal Care, Inc. | ||||||||||||
10.625% due 07/15/2027 | 1,655 | 364 | ||||||||||
United Group BV | ||||||||||||
4.875% due 07/01/2024 | EUR | 100 | 100 | |||||||||
Valaris Ltd. (8.250% Cash or 12.000% PIK) | ||||||||||||
8.250% due 04/30/2028 (b)(m) | $ | 1,106 | 1,114 | |||||||||
8.250% due 04/30/2028 (b) | 909 | 915 | ||||||||||
Vale SA | ||||||||||||
3.202% due 12/29/2049 ~(i) | BRL | 90,000 | 6,360 | |||||||||
Veritas U.S., Inc. | ||||||||||||
7.500% due 09/01/2025 (m) | $ | 3,610 | 2,494 | |||||||||
Viking Cruises Ltd. | ||||||||||||
13.000% due 05/15/2025 (m) | 3,697 | 3,906 | ||||||||||
VOC Escrow Ltd. | ||||||||||||
5.000% due 02/15/2028 (m) | 4,200 | 3,619 | ||||||||||
Wesco Aircraft Holdings, Inc. | ||||||||||||
9.000% due 11/15/2026 | 2,966 | 2,009 | ||||||||||
Wesco Aircraft Holdings, Inc. (7.500% Cash and 3.000% PIK) | ||||||||||||
10.500% due 11/15/2026 (b)(m) | 19,131 | 17,648 | ||||||||||
Windstream Escrow LLC | ||||||||||||
7.750% due 08/15/2028 (m) | 8,500 | 6,946 | ||||||||||
Wynn Macau Ltd. | ||||||||||||
5.125% due 12/15/2029 | 200 | 162 | ||||||||||
5.500% due 01/15/2026 (m) | 416 | 382 | ||||||||||
5.500% due 10/01/2027 | 200 | 175 | ||||||||||
5.625% due 08/26/2028 (m) | 7,284 | 6,237 | ||||||||||
164,294 | ||||||||||||
UTILITIES 5.8% | ||||||||||||
Eskom Holdings SOC Ltd. | ||||||||||||
6.750% due 08/06/2023 | 1,600 | 1,545 | ||||||||||
7.125% due 02/11/2025 | 4,070 | 3,716 | ||||||||||
Mountain States Telephone & Telegraph Co. | ||||||||||||
7.375% due 05/01/2030 | 3,600 | 3,503 | ||||||||||
NGD Holdings BV | ||||||||||||
6.750% due 12/31/2026 | 377 | 176 | ||||||||||
Odebrecht Drilling Norbe Ltd. (6.350% Cash and 1.000% PIK) | ||||||||||||
7.350% due 12/01/2026 ^(b) | 202 | 112 | ||||||||||
Odebrecht Offshore Drilling Finance Ltd. (6.720% Cash and 1.000% PIK) | ||||||||||||
7.720% due 12/01/2026 ^(b) | 5,677 | 1,519 | ||||||||||
Oi SA | ||||||||||||
10.000% due 07/27/2025 | 24,519 | 4,237 | ||||||||||
Pacific Gas & Electric Co. | ||||||||||||
3.750% due 08/15/2042 | 22 | 15 | ||||||||||
4.000% due 12/01/2046 | 7 | 5 | ||||||||||
4.200% due 03/01/2029 (m) | 1,500 | 1,342 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
4.250% due 03/15/2046 (m) | $ | 1,700 | $ | 1,189 | ||||||||
4.300% due 03/15/2045 (m) | 27 | 19 | ||||||||||
4.450% due 04/15/2042 (m) | 213 | 159 | ||||||||||
4.500% due 12/15/2041 (m) | 275 | 195 | ||||||||||
4.600% due 06/15/2043 (m) | 118 | 90 | ||||||||||
4.750% due 02/15/2044 (m) | 3,754 | 2,886 | ||||||||||
4.950% due 07/01/2050 (m) | 3,358 | 2,616 | ||||||||||
Peru LNG SRL | ||||||||||||
5.375% due 03/22/2030 | 6,860 | 5,739 | ||||||||||
Rio Oil Finance Trust | ||||||||||||
9.250% due 07/06/2024 (m) | 142 | 144 | ||||||||||
9.250% due 07/06/2024 | 1,030 | 1,045 | ||||||||||
30,252 | ||||||||||||
Total Corporate Bonds & Notes (Cost $301,433) | 250,661 | |||||||||||
CONVERTIBLE BONDS & NOTES 0.4% | ||||||||||||
INDUSTRIALS 0.4% | ||||||||||||
DISH Network Corp. | ||||||||||||
3.375% due 08/15/2026 | 3,400 | 2,139 | ||||||||||
Total Convertible Bonds & Notes (Cost $3,400) | 2,139 | |||||||||||
MUNICIPAL BONDS & NOTES 1.8% | ||||||||||||
CALIFORNIA 0.1% | ||||||||||||
Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2021 | ||||||||||||
3.000% due 06/01/2046 | 530 | 491 | ||||||||||
ILLINOIS 1.0% | ||||||||||||
Chicago, Illinois General Obligation Bonds, (BABs), Series 2010 | ||||||||||||
7.517% due 01/01/2040 | 4,600 | 4,855 | ||||||||||
Chicago, Illinois General Obligation Bonds, Series 2017 | ||||||||||||
7.045% due 01/01/2029 | 85 | 86 | ||||||||||
Illinois State General Obligation Bonds, (BABs), Series 2010 | ||||||||||||
7.350% due 07/01/2035 | 19 | 20 | ||||||||||
4,961 | ||||||||||||
PUERTO RICO 0.1% | ||||||||||||
Commonwealth of Puerto Rico Bonds, Series 2022 | ||||||||||||
0.000% due 11/01/2043 (f) | 1,227 | 539 | ||||||||||
WEST VIRGINIA 0.6% | ||||||||||||
Tobacco Settlement Finance Authority, West Virginia Revenue Bonds, Series 2007 | ||||||||||||
0.000% due 06/01/2047 (f) | 44,400 | 3,306 | ||||||||||
Total Municipal Bonds & Notes (Cost $10,430) | 9,297 | |||||||||||
U.S. GOVERNMENT AGENCIES 2.3% | ||||||||||||
Fannie Mae | ||||||||||||
3.000% due 02/25/2043 - 06/25/2050 (a)(m) | 15,389 | 2,454 | ||||||||||
10.139% due 07/25/2029 • | 1,150 | 1,255 | ||||||||||
Freddie Mac | ||||||||||||
3.500% due 05/25/2050 (a)(m) | 1,802 | 377 | ||||||||||
5.992% due 11/25/2055 «~ | 7,697 | 4,731 | ||||||||||
11.939% due 12/25/2027 ~ | 3,093 | 3,106 | ||||||||||
Total U.S. Government Agencies (Cost $16,655) | 11,923 | |||||||||||
NON‑AGENCY MORTGAGE-BACKED SECURITIES 9.0% | ||||||||||||
Banc of America Funding Trust | ||||||||||||
6.000% due 07/25/2037 ^ | 162 | 127 | ||||||||||
Banc of America Mortgage Trust | ||||||||||||
6.000% due 03/25/2037 ^ | 122 | 98 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
BCAP LLC Trust | ||||||||||||
3.071% due 08/28/2037 ~ | $ | 1,822 | $ | 1,788 | ||||||||
3.082% due 03/27/2036 ~ | 1,399 | 1,009 | ||||||||||
4.611% due 03/26/2037 þ | 646 | 876 | ||||||||||
Bear Stearns ALT‑A Trust | ||||||||||||
3.336% due 11/25/2035 ^~ | 2,739 | 2,415 | ||||||||||
3.580% due 09/25/2047 ^~ | 3,803 | 1,999 | ||||||||||
3.586% due 11/25/2036 ^~ | 2,550 | 1,366 | ||||||||||
3.697% due 08/25/2036 ^~ | 578 | 308 | ||||||||||
3.908% due 09/25/2035 ^~ | 243 | 144 | ||||||||||
4.889% due 01/25/2036 ^• | 495 | 639 | ||||||||||
Bear Stearns Mortgage Funding Trust | ||||||||||||
7.500% due 08/25/2036 þ | 96 | 96 | ||||||||||
CD Mortgage Trust | ||||||||||||
5.688% due 10/15/2048 | 337 | 297 | ||||||||||
Chase Mortgage Finance Trust | ||||||||||||
3.946% due 12/25/2035 ^~ | 4 | 3 | ||||||||||
6.000% due 07/25/2037 ^ | 515 | 252 | ||||||||||
Citigroup Mortgage Loan Trust | ||||||||||||
3.993% due 04/25/2037 ^~ | 129 | 108 | ||||||||||
Commercial Mortgage Loan Trust | ||||||||||||
6.480% due 12/10/2049 ~ | 510 | 82 | ||||||||||
Countrywide Alternative Loan Resecuritization Trust | ||||||||||||
6.000% due 08/25/2037 ^~ | 724 | 433 | ||||||||||
Countrywide Alternative Loan Trust | ||||||||||||
5.500% due 03/25/2035 | 196 | 89 | ||||||||||
5.750% due 01/25/2035 | 133 | 126 | ||||||||||
5.750% due 02/25/2035 | 198 | 139 | ||||||||||
5.750% due 03/25/2037 ^ | 405 | 233 | ||||||||||
6.000% due 02/25/2035 | 641 | 489 | ||||||||||
6.000% due 04/25/2036 | 706 | 349 | ||||||||||
6.000% due 02/25/2037 ^ | 3,948 | 1,584 | ||||||||||
6.000% due 04/25/2037 ^ | 713 | 360 | ||||||||||
6.250% due 12/25/2036 ^• | 1,020 | 471 | ||||||||||
6.500% due 08/25/2036 ^ | 369 | 133 | ||||||||||
Countrywide Home Loan Mortgage Pass-Through Trust | ||||||||||||
3.501% due 09/20/2036 ^~ | 134 | 116 | ||||||||||
6.000% due 07/25/2037 | 1,093 | 526 | ||||||||||
Credit Suisse Mortgage Capital Certificates | ||||||||||||
3.902% due 10/26/2036 ~ | 5,862 | 4,880 | ||||||||||
GS Mortgage Securities Corp. | ||||||||||||
7.736% due 08/15/2039 ~ | 950 | 959 | ||||||||||
GS Mortgage Securities Corp. Trust | ||||||||||||
4.591% due 10/10/2032 ~ | 4,600 | 4,336 | ||||||||||
GSR Mortgage Loan Trust | ||||||||||||
3.814% due 08/25/2034 ~ | 221 | 193 | ||||||||||
6.000% due 02/25/2036 ^ | 1,304 | 597 | ||||||||||
HarborView Mortgage Loan Trust | ||||||||||||
3.764% due 06/19/2036 ^~ | 3,739 | 1,748 | ||||||||||
4.819% due 01/19/2036 ^• | 440 | 402 | ||||||||||
IndyMac IMSC Mortgage Loan Trust | ||||||||||||
6.500% due 07/25/2037 ^ | 3,320 | 1,078 | ||||||||||
Jackson Park Trust | ||||||||||||
3.242% due 10/14/2039 ~ | 1,772 | 1,281 | ||||||||||
Jefferies Resecuritization Trust | ||||||||||||
6.000% due 05/26/2036 | 6,794 | 3,087 | ||||||||||
JP Morgan Alternative Loan Trust | ||||||||||||
3.699% due 03/25/2037 ^~ | 715 | 633 | ||||||||||
6.000% due 12/25/2035 ^ | 820 | 596 | ||||||||||
JP Morgan Mortgage Trust | ||||||||||||
3.478% due 02/25/2036 ^~ | 1,007 | 748 | ||||||||||
3.480% due 04/25/2037 ~ | 3 | 2 | ||||||||||
3.850% due 01/25/2037 ^~ | 229 | 187 | ||||||||||
Lehman Mortgage Trust | ||||||||||||
6.000% due 07/25/2037 ^ | 44 | 40 | ||||||||||
Lehman XS Trust | ||||||||||||
4.829% due 06/25/2047 • | 941 | 840 | ||||||||||
MASTR Alternative Loan Trust | ||||||||||||
6.750% due 07/25/2036 | 1,447 | 537 | ||||||||||
Merrill Lynch Mortgage Investors Trust | ||||||||||||
2.736% due 03/25/2036 ^~ | 420 | 231 | ||||||||||
Residential Accredit Loans, Inc. Trust | ||||||||||||
4.623% due 12/26/2034 ^~ | 814 | 317 | ||||||||||
4.849% due 05/25/2037 ^• | 82 | 68 | ||||||||||
6.000% due 08/25/2036 ^ | 151 | 126 |
See Accompanying Notes | SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 41 |
Schedule of Investments | PIMCO Corporate & Income Strategy Fund | (Cont.) |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Residential Asset Securitization Trust | ||||||||||||
6.000% due 11/25/2036 ^ | $ | 2,382 | $ | 908 | ||||||||
6.250% due 09/25/2037 ^ | 2,396 | 966 | ||||||||||
Residential Funding Mortgage Securities, Inc. Trust | ||||||||||||
4.412% due 02/25/2037 ~ | 778 | 541 | ||||||||||
6.500% due 03/25/2032 | 83 | 79 | ||||||||||
Sequoia Mortgage Trust | ||||||||||||
3.051% due 07/20/2037 ^~ | 265 | 218 | ||||||||||
3.227% due 02/20/2047 ~ | 141 | 117 | ||||||||||
Structured Adjustable Rate Mortgage Loan Trust | ||||||||||||
3.688% due 07/25/2035 ^~ | 315 | 268 | ||||||||||
3.694% due 01/25/2036 ^~ | 1,250 | 787 | ||||||||||
4.022% due 11/25/2036 ^~ | 1,116 | 936 | ||||||||||
SunTrust Adjustable Rate Mortgage Loan Trust | ||||||||||||
2.278% due 04/25/2037 ^~ | 164 | 99 | ||||||||||
3.232% due 02/25/2037 ^~ | 94 | 82 | ||||||||||
WaMu Mortgage Pass-Through Certificates Trust | ||||||||||||
3.211% due 02/25/2037 ^~ | 266 | 239 | ||||||||||
3.367% due 07/25/2037 ^~ | 221 | 185 | ||||||||||
3.672% due 10/25/2036 ^~ | 1,017 | 876 | ||||||||||
3.864% due 07/25/2037 ^~ | 459 | 421 | ||||||||||
Washington Mutual Mortgage Pass-Through Certificates Trust | ||||||||||||
2.888% due 05/25/2047 ^• | 58 | 8 | ||||||||||
6.000% due 10/25/2035 ^ | 975 | 670 | ||||||||||
Total Non‑Agency Mortgage-Backed Securities (Cost $59,680) | 46,941 | |||||||||||
ASSET-BACKED SECURITIES 12.3% | ||||||||||||
ACE Securities Corp. Home Equity Loan Trust | ||||||||||||
4.974% due 02/25/2036 • | 24,062 | 20,249 | ||||||||||
Adagio CLO DAC | ||||||||||||
0.000% due 04/30/2031 ~ | EUR | 1,800 | 503 | |||||||||
Apidos CLO | ||||||||||||
0.000% due 01/20/2031 ~ | $ | 4,500 | 1,499 | |||||||||
Argent Securities Trust | ||||||||||||
4.769% due 03/25/2036 ~ | 3,054 | 1,632 | ||||||||||
Avoca CLO DAC | ||||||||||||
0.000% due 04/15/2034 ~ | EUR | 1,600 | 775 | |||||||||
Bear Stearns Asset-Backed Securities Trust | ||||||||||||
4.529% due 10/25/2036 ^~ | $ | 1,873 | 2,704 | |||||||||
6.500% due 10/25/2036 ^ | 333 | 180 | ||||||||||
Belle Haven ABS CDO Ltd. | ||||||||||||
3.998% due 07/05/2046 ~ | 175,347 | 1,295 | ||||||||||
Carlyle U.S. CLO Ltd. | ||||||||||||
0.000% due 07/20/2029 ~ | 1,895 | 550 | ||||||||||
CIFC Funding Ltd. | ||||||||||||
0.000% due 04/24/2030 ~ | 2,300 | 528 | ||||||||||
0.000% due 10/22/2031 ~ | 1,500 | 315 | ||||||||||
Citigroup Mortgage Loan Trust | ||||||||||||
4.549% due 12/25/2036 ~ | 1,318 | 743 | ||||||||||
First Franklin Mortgage Loan Trust | ||||||||||||
5.334% due 09/25/2035 ~ | 3,443 | 3,027 | ||||||||||
5.364% due 05/25/2036 • | 6,602 | 5,760 | ||||||||||
Grosvenor Place CLO BV | ||||||||||||
0.000% due 04/30/2029 ~ | EUR | 500 | 94 | |||||||||
Home Equity Mortgage Loan Asset-Backed Trust | ||||||||||||
4.549% due 07/25/2037 ~ | $ | 7,893 | 4,269 | |||||||||
JP Morgan Mortgage Acquisition Trust | ||||||||||||
4.442% due 10/25/2030 ^þ | 3,586 | 1,991 | ||||||||||
Lehman XS Trust | ||||||||||||
5.670% due 08/25/2035 ^þ | 19 | 19 | ||||||||||
LNR CDO Ltd. | ||||||||||||
4.669% due 02/28/2043 ~ | 1,616 | 26 | ||||||||||
Marlette Funding Trust | ||||||||||||
0.000% due 09/17/2029 «(f) | 7 | 542 | ||||||||||
Merrill Lynch Mortgage Investors Trust | ||||||||||||
4.336% due 04/25/2037 ~ | 376 | 188 | ||||||||||
Morgan Stanley ABS Capital, Inc. Trust | ||||||||||||
4.689% due 06/25/2036 • | 260 | 227 | ||||||||||
Morgan Stanley Mortgage Loan Trust | ||||||||||||
6.250% due 02/25/2037 ^~ | 412 | 195 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Park Place Securities, Inc. Asset-Backed Pass- Through Certificates | ||||||||||||
6.159% due 10/25/2034 ~ | $ | 573 | $ | 546 | ||||||||
Residential Asset Mortgage Products Trust | ||||||||||||
5.589% due 01/25/2035 ^~ | 2,013 | 1,823 | ||||||||||
SLM Student Loan EDC Repackaging Trust | ||||||||||||
0.000% due 10/28/2029 «(f) | 3 | 1,909 | ||||||||||
SLM Student Loan Trust | ||||||||||||
0.000% due 01/25/2042 «(f) | 4 | 1,368 | ||||||||||
SMB Private Education Loan Trust | ||||||||||||
0.000% due 09/18/2046 «(f) | 1 | 422 | ||||||||||
0.000% due 10/15/2048 «(f) | 1 | 324 | ||||||||||
SoFi Professional Loan Program LLC | ||||||||||||
0.000% due 05/25/2040 (f) | 4,300 | 436 | ||||||||||
0.000% due 07/25/2040 «(f) | 21 | 249 | ||||||||||
0.000% due 09/25/2040 «(f) | 1,718 | 235 | ||||||||||
South Coast Funding Ltd. | ||||||||||||
5.192% due 08/10/2038 • | 9,503 | 747 | ||||||||||
Symphony CLO Ltd. | ||||||||||||
8.611% due 07/14/2026 • | 2,000 | 1,904 | ||||||||||
Taberna Preferred Funding Ltd. | ||||||||||||
4.218% due 07/05/2035 ~ | 2,071 | 1,887 | ||||||||||
4.912% due 08/05/2036 • | 278 | 248 | ||||||||||
4.912% due 08/05/2036 ^~ | 5,141 | 4,588 | ||||||||||
Total Asset-Backed Securities (Cost $82,355) | 63,997 | |||||||||||
SOVEREIGN ISSUES 2.1% | ||||||||||||
Argentina Government International Bond | ||||||||||||
0.500% due 07/09/2030 þ | 2,782 | 644 | ||||||||||
1.000% due 07/09/2029 | 669 | 179 | ||||||||||
1.400% due 03/25/2023 | ARS | 56,606 | 172 | |||||||||
1.500% due 07/09/2035 þ | $ | 3,003 | 680 | |||||||||
1.500% due 07/09/2046 þ | 115 | 30 | ||||||||||
3.500% due 07/09/2041 þ(m) | 5,955 | 1,708 | ||||||||||
3.875% due 01/09/2038 þ(m) | 10,995 | 3,501 | ||||||||||
15.500% due 10/17/2026 | ARS | 53,560 | 41 | |||||||||
Autonomous City of Buenos Aires | ||||||||||||
72.479% (BADLARPP + 3.250%) due 03/29/2024 ~ | 90,469 | 282 | ||||||||||
72.986% (BADLARPP + 3.750%) due 02/22/2028 ~ | 22,091 | 63 | ||||||||||
Ghana Government International Bond | ||||||||||||
6.375% due 02/11/2027 ^(c) | $ | 600 | 233 | |||||||||
7.875% due 02/11/2035 ^(c) | 600 | 217 | ||||||||||
8.750% due 03/11/2061 ^(c) | 200 | 71 | ||||||||||
Provincia de Buenos Aires | ||||||||||||
72.913% due 04/12/2025 | ARS | 136,752 | 377 | |||||||||
Republic of Greece Government International Bond | ||||||||||||
2.000% due 04/22/2027 | EUR | 314 | 315 | |||||||||
3.900% due 01/30/2033 | 693 | 710 | ||||||||||
4.000% due 01/30/2037 | 543 | 546 | ||||||||||
4.200% due 01/30/2042 | 678 | 723 | ||||||||||
Russia Government International Bond | ||||||||||||
1.125% due 11/20/2027 ^(c) | 100 | 31 | ||||||||||
Ukraine Government International Bond | ||||||||||||
4.375% due 01/27/2032 ^(c) | 1,054 | 210 | ||||||||||
Venezuela Government International Bond | ||||||||||||
8.250% due 10/13/2024 ^(c) | $ | 28 | 2 | |||||||||
9.250% due 09/15/2027 ^(c) | 308 | 29 | ||||||||||
Total Sovereign Issues (Cost $20,751) | 10,764 | |||||||||||
SHARES | ||||||||||||
COMMON STOCKS 4.4% | ||||||||||||
COMMUNICATION SERVICES 0.3% | ||||||||||||
Clear Channel Outdoor Holdings, Inc. (d) | 531,903 | 559 | ||||||||||
iHeartMedia, Inc. ‘A’ (d) | 126,306 | 774 | ||||||||||
iHeartMedia, Inc. ‘B’ «(d) | 98,039 | 541 | ||||||||||
1,874 | ||||||||||||
SHARES | MARKET VALUE (000S) | |||||||||||
CONSUMER STAPLES 0.0% | ||||||||||||
Promotora de Informaciones SA | 454,519 | $ | 137 | |||||||||
ENERGY 0.1% | ||||||||||||
Axis Energy Services ‘A’ «(d)(k) | 1,070 | 37 | ||||||||||
Noble Corp. PLC (d) | 13,102 | 494 | ||||||||||
531 | ||||||||||||
FINANCIALS 1.1% | ||||||||||||
Banca Monte dei Paschi di Siena SpA (d) | 687,000 | 1,415 | ||||||||||
Intelsat SA «(d)(k) | 172,828 | 4,148 | ||||||||||
5,563 | ||||||||||||
INDUSTRIALS 2.9% | ||||||||||||
Neiman Marcus Group Ltd. LLC «(d)(k) | 73,491 | 12,938 | ||||||||||
Syniverse Holdings, Inc. «(k) | 1,842,774 | 1,771 | ||||||||||
Voyager Aviation Holdings LLC «(d) | 995 | 0 | ||||||||||
Westmoreland Mining Holdings «(d)(k) | 50,497 | 379 | ||||||||||
15,088 | ||||||||||||
Total Common Stocks (Cost $27,343) | 23,193 | |||||||||||
RIGHTS 0.0% | ||||||||||||
FINANCIALS 0.0% | ||||||||||||
Intelsat Jackson Holdings SA «(d) | 18,304 | 124 | ||||||||||
Total Rights (Cost $0) | 124 | |||||||||||
WARRANTS 1.9% | ||||||||||||
FINANCIALS 0.0% | ||||||||||||
Intelsat Emergence SA - Exp. 02/17/2027 « | 605 | 2 | ||||||||||
Intelsat Jackson Holdings SA ‑ Exp. 12/05/2025 « | 18,079 | 136 | ||||||||||
138 | ||||||||||||
INFORMATION TECHNOLOGY 1.9% | ||||||||||||
Windstream Holdings LLC - Exp. 9/21/2055 « | 493,740 | 9,995 | ||||||||||
Total Warrants (Cost $8,255) | 10,133 | |||||||||||
PREFERRED SECURITIES 3.0% | ||||||||||||
BANKING & FINANCE 2.7% | ||||||||||||
AGFC Capital Trust | ||||||||||||
5.829% (US0003M + 1.750%) due 01/15/2067 ~(m) | 2,300,000 | 1,290 | ||||||||||
Brighthouse Holdings LLC | ||||||||||||
6.500% due 07/27/2037 þ(i) | 70,000 | 62 | ||||||||||
Compeer Financial ACA | ||||||||||||
4.875% due 08/15/2026 •(i)(m) | 1,600,000 | 1,591 | ||||||||||
Farm Credit Bank of Texas | ||||||||||||
5.700% due 09/15/2025 •(i) | 1,000,000 | 930 | ||||||||||
Stichting AK Rabobank Certificaten | ||||||||||||
6.500% due 12/29/2049 þ(i) | 10,020,000 | 10,315 | ||||||||||
14,188 | ||||||||||||
INDUSTRIALS 0.3% | ||||||||||||
Voyager Aviation Holdings LLC « | 5,971 | 1,603 | ||||||||||
Total Preferred Securities (Cost $20,440) | 15,791 | |||||||||||
42 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
December 31, 2022 | (Unaudited) |
SHARES | MARKET VALUE (000S) | |||||||||||
REAL ESTATE INVESTMENT TRUSTS 0.7% | ||||||||||||
REAL ESTATE 0.7% | ||||||||||||
CBL & Associates Properties, Inc. | 2,634 | $ | 61 | |||||||||
Uniti Group, Inc. | 239,397 | 1,324 | ||||||||||
VICI Properties, Inc. | 77,566 | 2,513 | ||||||||||
Total Real Estate Investment Trusts (Cost $1,645) | 3,898 | |||||||||||
SHORT-TERM INSTRUMENTS 11.9% | ||||||||||||
REPURCHASE AGREEMENTS (l) 11.4% | ||||||||||||
59,330 | ||||||||||||
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
ARGENTINA TREASURY BILLS 0.0% | ||||||||||||
18.872% due 05/19/2023 (f)(g)(h) | ARS | 70,467 | $ | 214 | ||||||||
U.S. TREASURY BILLS 0.5% | ||||||||||||
3.936% due 01/05/2023 - 03/02/2023 (e)(f)(p) | $ | 2,432 | 2,424 | |||||||||
Total Short-Term Instruments (Cost $62,001) | 61,968 | |||||||||||
Total Investments in Securities (Cost $822,616) | 690,522 | |||||||||||
Total Investments 132.4% (Cost $822,616) | $ | 690,522 |
MARKET VALUE (000S) | ||||||||||||
Financial Derivative Instruments (n)(o) (0.2)% (Cost or Premiums, net $(9,603)) | $ | (916 | ) | |||||||||
Auction-Rate Preferred Shares (4.5)% | (23,525 | ) | ||||||||||
Other Assets and Liabilities, net (27.7)% | (144,431 | ) | ||||||||||
Net Assets Applicable to Common Shareholders 100.0% | $ | 521,650 | ||||||||||
* | 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. |
þ | Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end. |
(a) | Security is an Interest Only (“IO”) or IO Strip. |
(b) | Payment in‑kind 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) | Coupon represents a yield to maturity. |
(h) | Principal amount of security is adjusted for inflation. |
(i) | Perpetual maturity; date shown, if applicable, represents next contractual call date. |
(j) | Contingent convertible security. |
Issuer Description | Acquisition Date | Cost | Market Value | Market Value as Percentage of Net Assets Applicable to Common Shareholders | ||||||||||||||||||||
Axis Energy Services ‘A’ | 07/01/2021 | $ | 16 | $ | 37 | 0.01 | % | |||||||||||||||||
Intelsat SA | 06/19/2017 ‑ 02/23/2022 | 12,540 | 4,148 | 0.80 | ||||||||||||||||||||
Neiman Marcus Group Ltd. LLC | 09/25/2020 | 2,408 | 12,938 | 2.48 | ||||||||||||||||||||
Oracle Corp. 4.100% due 03/25/2061 | 06/17/2021 ‑ 08/12/2021 | 220 | 140 | 0.02 | ||||||||||||||||||||
Syniverse Holdings, Inc. | 05/12/2022 ‑ 11/30/2022 | 1,808 | 1,771 | 0.34 | ||||||||||||||||||||
Westmoreland Mining Holdings | 12/08/2014 ‑ 10/19/2016 | 1,455 | 379 | 0.07 | ||||||||||||||||||||
$ | 18,447 | $ | 19,413 | 3.72 | % | |||||||||||||||||||
See Accompanying Notes | SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 43 |
Schedule of Investments | PIMCO Corporate & Income Strategy Fund | (Cont.) |
Counterparty | Lending Rate | Settlement Date | Maturity Date | Principal Amount | Collateralized By | Collateral (Received) | Repurchase Agreements, at Value | Repurchase Agreement Proceeds to be Received(1) | ||||||||||||||||||||||
FICC | 1.900 | % | 12/30/2022 | 01/03/2023 | $ | 130 | U.S. Treasury Bills 0.000% due 06/29/2023 | $ | (133 | ) | $ | 130 | $ | 130 | ||||||||||||||||
NOM | 4.320 | 12/30/2022 | 01/03/2023 | 59,200 | U.S. Treasury Bonds 2.875% due 05/15/2043 | (60,381 | ) | 59,200 | 59,228 | |||||||||||||||||||||
Total Repurchase Agreements | $ | (60,514 | ) | $ | 59,330 | $ | 59,358 | |||||||||||||||||||||||
Counterparty | Borrowing Rate(2) | Settlement Date | Maturity Date | Amount Borrowed(2) | Payable for Reverse Repurchase Agreements | |||||||||||||||||
BOS | 3.760 | % | 09/12/2022 | 01/10/2023 | $ | (956 | ) | $ | (967 | ) | ||||||||||||
3.760 | 10/21/2022 | 01/10/2023 | (1,277 | ) | (1,287 | ) | ||||||||||||||||
BPS | (1.500 | ) | 12/21/2022 | TBD | (3) | EUR | (302 | ) | (323 | ) | ||||||||||||
0.000 | 11/15/2022 | 01/30/2023 | $ | (621 | ) | (621 | ) | |||||||||||||||
2.270 | 11/24/2022 | 02/22/2023 | EUR | (518 | ) | (556 | ) | |||||||||||||||
2.330 | 11/22/2022 | 02/22/2023 | (2,358 | ) | (2,530 | ) | ||||||||||||||||
3.640 | 08/12/2022 | 02/13/2023 | $ | (4,097 | ) | (4,156 | ) | |||||||||||||||
3.900 | 09/02/2022 | 03/02/2023 | (3,942 | ) | (3,995 | ) | ||||||||||||||||
4,220 | 09/15/2022 | 03/14/2023 | (2,369 | ) | (2,400 | ) | ||||||||||||||||
4.400 | 10/27/2022 | 01/30/2023 | (2,517 | ) | (2,538 | ) | ||||||||||||||||
4.420 | 10/07/2022 | 01/09/2023 | (3,027 | ) | (3,060 | ) | ||||||||||||||||
4.500 | 11/16/2022 | 01/17/2023 | (3,382 | ) | (3,402 | ) | ||||||||||||||||
4.600 | 09/22/2022 | 03/23/2023 | (3,075 | ) | (3,115 | ) | ||||||||||||||||
4.600 | 09/30/2022 | 03/23/2023 | (136 | ) | (138 | ) | ||||||||||||||||
4.600 | 11/15/2022 | 01/19/2023 | (501 | ) | (504 | ) | ||||||||||||||||
4.620 | 09/23/2022 | 03/23/2023 | (2,605 | ) | (2,639 | ) | ||||||||||||||||
4.620 | 12/12/2022 | 03/23/2023 | (1,708 | ) | (1,713 | ) | ||||||||||||||||
4.650 | 11/16/2022 | 01/17/2023 | (1,798 | ) | (1,809 | ) | ||||||||||||||||
4.720 | 10/27/2022 | 01/30/2023 | (525 | ) | (530 | ) | ||||||||||||||||
4.970 | 11/18/2022 | 02/10/2023 | (1,070 | ) | (1,076 | ) | ||||||||||||||||
BRC | 1.900 | 12/21/2022 | TBD | (3) | EUR | (193 | ) | (207 | ) | |||||||||||||
BYR | 4.950 | 09/26/2022 | 03/24/2023 | $ | (896 | ) | (903 | ) | ||||||||||||||
4.960 | 10/17/2022 | 03/17/2023 | (1,950 | ) | (1,966 | ) | ||||||||||||||||
CDC | 3.270 | 08/04/2022 | 01/09/2023 | (2,289 | ) | (2,320 | ) | |||||||||||||||
3.270 | 10/04/2022 | 01/09/2023 | (1,076 | ) | (1,085 | ) | ||||||||||||||||
3.270 | 10/06/2022 | 01/09/2023 | (562 | ) | (566 | ) | ||||||||||||||||
3.990 | 09/06/2022 | 03/03/2023 | (695 | ) | (704 | ) | ||||||||||||||||
3.990 | 10/27/2022 | 03/03/2023 | (1,341 | ) | (1,351 | ) | ||||||||||||||||
3.990 | 12/14/2022 | 03/03/2023 | (1,288 | ) | (1,291 | ) | ||||||||||||||||
4.450 | 10/31/2022 | 01/30/2023 | (3,032 | ) | (3,056 | ) | ||||||||||||||||
4.610 | 10/21/2022 | 02/17/2023 | (1,109 | ) | (1,119 | ) | ||||||||||||||||
4.620 | 10/14/2022 | 02/13/2023 | (326 | ) | (329 | ) | ||||||||||||||||
4.620 | 10/28/2022 | 02/13/2023 | (1,737 | ) | (1,752 | ) | ||||||||||||||||
4.620 | 11/02/2022 | 02/13/2023 | (588 | ) | (593 | ) | ||||||||||||||||
4.620 | 11/15/2022 | 02/13/2023 | (1,031 | ) | (1,037 | ) | ||||||||||||||||
4.620 | 12/22/2022 | 02/13/2023 | (532 | ) | (533 | ) | ||||||||||||||||
4.640 | 11/14/2022 | 02/13/2023 | (62 | ) | (63 | ) | ||||||||||||||||
4.680 | 11/14/2022 | 02/13/2023 | (1,243 | ) | (1,251 | ) | ||||||||||||||||
4.730 | 10/31/2022 | 01/30/2023 | (795 | ) | (802 | ) | ||||||||||||||||
4.760 | 10/07/2022 | 04/05/2023 | (6,709 | ) | (6,787 | ) | ||||||||||||||||
4.850 | 10/11/2022 | 04/06/2023 | (4,794 | ) | (4,849 | ) | ||||||||||||||||
4.880 | 11/16/2022 | 02/07/2023 | (1,127 | ) | (1,134 | ) | ||||||||||||||||
CEW | 2.400 | 08/05/2022 | TBD | (3) | GBP | (2,168 | ) | (2,640 | ) | |||||||||||||
IND | 4.530 | 10/28/2022 | 01/31/2023 | $ | (2,767 | ) | (2,790 | ) | ||||||||||||||
4.660 | 11/08/2022 | 01/31/2023 | (875 | ) | (881 | ) | ||||||||||||||||
4.740 | 10/28/2022 | 01/31/2023 | (2,607 | ) | (2,630 | ) | ||||||||||||||||
5.010 | 12/12/2022 | 03/07/2023 | (196 | ) | (197 | ) | ||||||||||||||||
JML | 1.500 | 09/14/2022 | TBD | (3) | EUR | (299 | ) | (320 | ) | |||||||||||||
2.000 | 11/08/2022 | 02/07/2023 | (1,292 | ) | (1,387 | ) | ||||||||||||||||
2.050 | 09/14/2022 | TBD | (3) | (6,035 | ) | (6,475 | ) | |||||||||||||||
2.120 | 11/04/2022 | 02/07/2023 | (1,515 | ) | (1,627 | ) | ||||||||||||||||
2.150 | 11/07/2022 | 02/09/2023 | (1,691 | ) | (1,817 | ) | ||||||||||||||||
2.150 | 11/08/2022 | 02/07/2023 | (8,306 | ) | (8,920 | ) | ||||||||||||||||
4.700 | 12/16/2022 | 02/03/2023 | $ | (234 | ) | (235 | ) | |||||||||||||||
4.750 | 12/16/2022 | 02/03/2023 | (4,043 | ) | (4,052 | ) |
44 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
December 31, 2022 | (Unaudited) |
Counterparty | Borrowing Rate(2) | Settlement Date | Maturity Date | Amount Borrowed(2) | Payable for Reverse Repurchase Agreements | |||||||||||||||||
MBC | 2.050 | 11/02/2022 | TBD | (3) | EUR | (583 | ) | $ | (626 | ) | ||||||||||||
MEI | 4.700 | 11/14/2022 | 02/13/2023 | $ | (186 | ) | (187 | ) | ||||||||||||||
4.700 | 11/15/2022 | 02/13/2023 | (307 | ) | (309 | ) | ||||||||||||||||
4.700 | 11/29/2022 | 02/13/2023 | (951 | ) | (955 | ) | ||||||||||||||||
4.720 | 10/24/2022 | 01/27/2023 | (1,174 | ) | (1,185 | ) | ||||||||||||||||
4.770 | 10/24/2022 | 01/27/2023 | (649 | ) | (655 | ) | ||||||||||||||||
RCY | 4.170 | 09/16/2022 | 01/17/2023 | (1,995 | ) | (2,020 | ) | |||||||||||||||
4.590 | 10/17/2022 | 02/17/2023 | (279 | ) | (282 | ) | ||||||||||||||||
RDR | 4.260 | 10/06/2022 | 02/03/2023 | (82 | ) | (83 | ) | |||||||||||||||
4.430 | 10/26/2022 | 01/30/2023 | (2,133 | ) | (2,152 | ) | ||||||||||||||||
4.500 | 10/31/2022 | 01/30/2023 | (4,569 | ) | (4,606 | ) | ||||||||||||||||
4.600 | 11/04/2022 | 02/03/2023 | (17 | ) | (18 | ) | ||||||||||||||||
4.700 | 11/10/2022 | 02/10/2023 | (183 | ) | (184 | ) | ||||||||||||||||
SCX | 4.530 | 10/03/2022 | 04/03/2023 | (878 | ) | (889 | ) | |||||||||||||||
SOG | 3.830 | 10/25/2022 | 02/17/2023 | (1,585 | ) | (1,596 | ) | |||||||||||||||
4.250 | 09/15/2022 | 01/13/2023 | (3,269 | ) | (3,311 | ) | ||||||||||||||||
4.450 | 10/24/2022 | 02/06/2023 | (1,163 | ) | (1,173 | ) | ||||||||||||||||
4.640 | 10/14/2022 | 02/14/2023 | (6,923 | ) | (6,995 | ) | ||||||||||||||||
4.660 | 10/25/2022 | 01/25/2023 | (557 | ) | (562 | ) | ||||||||||||||||
4.660 | 11/09/2022 | 01/24/2023 | (2,057 | ) | (2,072 | ) | ||||||||||||||||
4.760 | 11/09/2022 | 02/17/2023 | (707 | ) | (712 | ) | ||||||||||||||||
4.790 | 11/02/2022 | 02/02/2023 | (5,048 | ) | (5,090 | ) | ||||||||||||||||
4.820 | 11/30/2022 | 02/22/2023 | (455 | ) | (457 | ) | ||||||||||||||||
4.820 | 12/23/2022 | 02/22/2023 | (655 | ) | (656 | ) | ||||||||||||||||
4.830 | 11/04/2022 | 02/06/2023 | (1,281 | ) | (1,292 | ) | ||||||||||||||||
4.900 | 10/12/2022 | 04/12/2023 | (6,008 | ) | (6,076 | ) | ||||||||||||||||
UBS | 2.150 | 11/22/2022 | 02/20/2023 | EUR | (1,801 | ) | (1,932 | ) | ||||||||||||||
4.220 | 09/19/2022 | 01/19/2023 | $ | (919 | ) | (931 | ) | |||||||||||||||
4.320 | 09/27/2022 | 01/27/2023 | (7,766 | ) | (7,857 | ) | ||||||||||||||||
4.380 | 10/03/2022 | 02/03/2023 | (1,772 | ) | (1,792 | ) | ||||||||||||||||
4.590 | 10/14/2022 | 01/17/2023 | (7,871 | ) | (7,953 | ) | ||||||||||||||||
4.840 | 11/02/2022 | 02/03/2023 | (6,198 | ) | (6,250 | ) | ||||||||||||||||
Total Reverse Repurchase Agreements | $ | (175,886 | ) | |||||||||||||||||||
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 | $ | 0 | $ | (2,254 | ) | $ | 0 | $ | (2,254 | ) | $ | 2,429 | $ | 175 | ||||||||||
BPS | 0 | (35,105 | ) | 0 | (35,105 | ) | 40,267 | 5,162 | ||||||||||||||||
BRC | 0 | (207 | ) | 0 | (207 | ) | 103 | (104 | ) | |||||||||||||||
BYR | 0 | (2,869 | ) | 0 | (2,869 | ) | 3,295 | 426 | ||||||||||||||||
CDC | 0 | (30,622 | ) | 0 | (30,622 | ) | 34,318 | 3,696 | ||||||||||||||||
CEW | 0 | (2,640 | ) | 0 | (2,640 | ) | 2,444 | (196 | ) | |||||||||||||||
FICC | 130 | 0 | 0 | 130 | (133 | ) | (3 | ) | ||||||||||||||||
IND | 0 | (6,498 | ) | 0 | (6,498 | ) | 7,488 | 990 | ||||||||||||||||
JML | 0 | (24,833 | ) | 0 | (24,833 | ) | 27,482 | 2,649 | ||||||||||||||||
MBC | 0 | (626 | ) | 0 | (626 | ) | 698 | 72 | ||||||||||||||||
MEI | 0 | (3,291 | ) | 0 | (3,291 | ) | 4,242 | 951 | ||||||||||||||||
NOM | 59,228 | 0 | 0 | 59,228 | (60,381 | ) | (1,153 | ) | ||||||||||||||||
RCY | 0 | (2,302 | ) | 0 | (2,302 | ) | 3,081 | 779 | ||||||||||||||||
RDR | 0 | (7,043 | ) | 0 | (7,043 | ) | 7,384 | 341 | ||||||||||||||||
SCX | 0 | (889 | ) | 0 | (889 | ) | 923 | 34 | ||||||||||||||||
SOG | 0 | (29,992 | ) | 0 | (29,992 | ) | 35,285 | 5,293 | ||||||||||||||||
UBS | 0 | (26,715 | ) | 0 | (26,715 | ) | 31,219 | 4,504 | ||||||||||||||||
Total Borrowings and Other Financing Transactions | $ | 59,358 | $ | (175,886 | ) | $ | 0 | |||||||||||||||||
See Accompanying Notes | SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 45 |
Schedule of Investments | PIMCO Corporate & Income Strategy Fund | (Cont.) |
Overnight and Continuous | Up to 30 days | 31‑90 days | Greater Than 90 days | Total | ||||||||||||||||
Reverse Repurchase Agreements | ||||||||||||||||||||
Corporate Bonds & Notes | $ | 0 | $ | (53,831 | ) | $ | (76,002 | ) | $ | (28,181 | ) | $ | 158,014 | |||||||
U.S. Government Agencies | 0 | (2,020 | ) | (282 | ) | 0 | (2,302 | ) | ||||||||||||
Sovereign Issues | 0 | 0 | (4,287 | ) | 0 | (4,287 | ) | |||||||||||||
Preferred Securities | 0 | 0 | (10,273 | ) | (1,010 | ) | (11,283 | ) | ||||||||||||
Total Borrowings | $ | 0 | $ | (55,851 | ) | $ | (90,844 | ) | $ | (29,191 | ) | $ | (175,886 | ) | ||||||
Payable for reverse repurchase agreements | $ | (175,886 | ) | |||||||||||||||||
(m) | Securities with an aggregate market value of $204,889 and cash of $1,154 have been pledged as collateral under the terms of the above master agreements as of December 31, 2022. |
(1) | Includes accrued interest. |
(2) | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(217,617) at a weighted average interest rate of 2.698%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. |
(3) | Open maturity reverse repurchase agreement. |
(4) | Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information. |
Reference Entity | Fixed Receive Rate | Payment Frequency | Maturity Date | Implied Credit Spread at December 31, 2022(2) | Notional Amount(3) | Premiums Paid/(Received) | Unrealized Appreciation/ (Depreciation) | Market Value(4) | Variation Margin | |||||||||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||||||||||
Bombardier, Inc. | 5.000 | % | Quarterly | 06/20/2024 | 2.622 | % | $ | 3,600 | $ | (163 | ) | $ | 289 | $ | 126 | $ | 0 | $ | (8 | ) | ||||||||||||||||||||||
Bombardier, Inc. | 5.000 | Quarterly | 06/20/2025 | 3.222 | 100 | (8 | ) | 12 | 4 | 0 | 0 | |||||||||||||||||||||||||||||||
Bombardier, Inc. | 5.000 | Quarterly | 06/20/2027 | 4.245 | 3,100 | (265 | ) | 356 | 91 | 0 | (2 | ) | ||||||||||||||||||||||||||||||
Ford Motor Credit Co. LLC | 5.000 | Quarterly | 06/20/2027 | 3.169 | 3,500 | 371 | (125 | ) | 246 | 1 | 0 | |||||||||||||||||||||||||||||||
Jaguar Land Rover Automotive | 5.000 | Quarterly | 12/20/2026 | 9.896 | EUR | 3,363 | 123 | (625 | ) | (502 | ) | 2 | 0 | |||||||||||||||||||||||||||||
Rolls-Royce PLC | 1.000 | Quarterly | 12/20/2025 | 2.767 | 6,200 | (677 | ) | 360 | (317 | ) | 1 | 0 | ||||||||||||||||||||||||||||||
Rolls-Royce PLC | 1.000 | Quarterly | 06/20/2026 | 2.993 | 2,000 | (149 | ) | 17 | (132 | ) | 0 | (1 | ) | |||||||||||||||||||||||||||||
Rolls-Royce PLC | 1.000 | Quarterly | 06/20/2027 | 3.357 | 2,100 | (160 | ) | (42 | ) | (202 | ) | 0 | (2 | ) | ||||||||||||||||||||||||||||
$ | (928 | ) | $ | 242 | $ | (686 | ) | $ | 4 | $ | (13 | ) | ||||||||||||||||||||||||||||||
Pay/Receive Floating Rate | Floating Rate Index | Fixed Rate | Payment Frequency | Maturity Date | Notional Amount | Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | Market Value | Variation Margin | |||||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||||||
Receive | 1‑Day GBP‑SONIO Compounded‑OIS | 0.750 | % | Annual | 09/21/2032 | GBP | 7,800 | $ | 757 | $ | 1,551 | $ | 2,308 | $ | 6 | $ | 0 | |||||||||||||||||||||
Receive(5) | 1‑Day GBP‑SONIO Compounded‑OIS | 2.000 | Annual | 03/15/2033 | 2,800 | 311 | 166 | 477 | 2 | 0 | ||||||||||||||||||||||||||||
Receive | 1‑Day GBP‑SONIO Compounded‑OIS | 0.750 | Annual | 09/21/2052 | 1,600 | 328 | 631 | 959 | 2 | 0 | ||||||||||||||||||||||||||||
Receive | 1‑Day USD‑Federal Funds Rate Compounded‑OIS | 0.100 | Annual | 01/13/2023 | $ | 1,000 | 0 | 18 | 18 | 0 | 0 | |||||||||||||||||||||||||||
Receive(5) | 1‑Day USD‑SOFR Compounded‑OIS | 2.450 | Annual | 12/20/2024 | 21,800 | (1 | ) | 326 | 325 | 11 | 0 | |||||||||||||||||||||||||||
Receive(5) | 1‑Day USD‑SOFR Compounded‑OIS | 2.350 | Annual | 01/17/2025 | 11,000 | 1 | 162 | 163 | 4 | 0 | ||||||||||||||||||||||||||||
Receive(5) | 1‑Day USD‑SOFR Compounded‑OIS | 2.300 | Annual | 01/17/2026 | 1,700 | 1 | 40 | 41 | 2 | 0 | ||||||||||||||||||||||||||||
Pay | 1‑Day USD‑SOFR Compounded‑OIS | 2.000 | Annual | 12/21/2027 | 32,300 | (2,862 | ) | 299 | (2,563 | ) | 0 | (48 | ) | |||||||||||||||||||||||||
Pay | 1‑Day USD‑SOFR Compounded‑OIS | 2.000 | Annual | 12/21/2029 | 118,700 | (12,228 | ) | 625 | (11,603 | ) | 53 | 0 | ||||||||||||||||||||||||||
Pay | 1‑Day USD‑SOFR Compounded‑OIS | 2.000 | Annual | 12/21/2032 | 23,900 | (3,269 | ) | 143 | (3,126 | ) | 0 | (69 | ) | |||||||||||||||||||||||||
Pay | 3‑Month USD‑LIBOR | 2.750 | Semi‑Annual | 12/19/2023 | 64,000 | (594 | ) | (887 | ) | (1,481 | ) | 0 | (40 | ) | ||||||||||||||||||||||||
Pay | 3‑Month USD‑LIBOR | 2.750 | Semi-Annual | 06/17/2025 | 75,590 | 4,664 | (7,834 | ) | (3,170 | ) | 0 | (111 | ) | |||||||||||||||||||||||||
Receive | 3‑Month USD‑LIBOR | 1.250 | Semi‑Annual | 12/15/2026 | 56,800 | (960 | ) | 7,025 | 6,065 | 94 | 0 | |||||||||||||||||||||||||||
Pay | 3‑Month USD‑LIBOR | 2.500 | Semi-Annual | 12/20/2027 | 44,900 | 325 | (3,433 | ) | (3,108 | ) | 0 | (77 | ) | |||||||||||||||||||||||||
Receive | 3‑Month USD‑LIBOR | 1.370 | Semi-Annual | 08/25/2028 | 16,898 | 0 | 2,218 | 2,218 | 32 | 0 | ||||||||||||||||||||||||||||
Pay | 3‑Month USD‑LIBOR | 3.000 | Semi-Annual | 06/19/2029 | 68,300 | 3,736 | (7,406 | ) | (3,670 | ) | 0 | (147 | ) | |||||||||||||||||||||||||
Receive | 3‑Month USD‑LIBOR | 0.750 | Semi-Annual | 06/16/2031 | 46,800 | 3,315 | 7,247 | 10,562 | 111 | 0 | ||||||||||||||||||||||||||||
Receive | 3‑Month USD‑LIBOR | 0.750 | Semi-Annual | 06/16/2031 | 10,400 | 860 | 1,484 | 2,344 | 19 | 0 | ||||||||||||||||||||||||||||
Receive | 3‑Month USD‑LIBOR | 1.750 | Semi-Annual | 12/15/2031 | 36,100 | (572 | ) | 6,358 | 5,786 | 69 | 0 | |||||||||||||||||||||||||||
Pay | 3‑Month USD‑LIBOR | 3.500 | Semi-Annual | 06/19/2044 | 93,400 | (3,047 | ) | 502 | (2,545 | ) | 70 | 0 |
46 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
December 31, 2022 | (Unaudited) |
Pay/Receive Floating Rate | Floating Rate Index | Fixed Rate | Payment Frequency | Maturity Date | Notional Amount | Premiums Paid/ (Received) | �� | Unrealized Appreciation/ (Depreciation) | Market Value | Variation Margin | ||||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||||||
Receive | 3‑Month USD‑LIBOR | 2.000 | Semi‑Annual | 01/15/2050 | $ | 8,300 | $ | (60 | ) | $ | 2,326 | $ | 2,266 | $ | 40 | $ | 0 | |||||||||||||||||||||
Receive | 3‑Month USD‑LIBOR | 1.750 | Semi-Annual | 01/22/2050 | 14,500 | (33 | ) | 4,644 | 4,611 | 68 | 0 | |||||||||||||||||||||||||||
Receive | 3‑Month USD‑LIBOR | 1.875 | Semi-Annual | 02/07/2050 | 15,100 | (58 | ) | 4,519 | 4,461 | 73 | 0 | |||||||||||||||||||||||||||
Receive | 3‑Month USD‑LIBOR | 2.250 | Semi-Annual | 03/12/2050 | 10,800 | (33 | ) | 2,480 | 2,447 | 56 | 0 | |||||||||||||||||||||||||||
Pay | 3‑Month USD‑LIBOR | 2.000 | Semi-Annual | 12/15/2051 | 10,900 | 798 | (3,844 | ) | (3,046 | ) | 0 | (55 | ) | |||||||||||||||||||||||||
Receive | 3‑Month USD‑LIBOR | 1.700 | Semi-Annual | 02/01/2052 | 76,450 | (1,229 | ) | 26,251 | 25,022 | 0 | (97 | ) | ||||||||||||||||||||||||||
Pay | 6‑Month AUD‑BBR‑BBSW | 3.500 | Semi-Annual | 06/17/2025 | AUD | 7,600 | 188 | (273 | ) | (85 | ) | 0 | (1 | ) | ||||||||||||||||||||||||
Receive | 6‑Month EUR‑EURIBOR | 0.150 | Annual | 03/18/2030 | EUR | 8,700 | 159 | 1,877 | 2,036 | 33 | 0 | |||||||||||||||||||||||||||
Receive | 6‑Month EUR‑EURIBOR | 0.250 | Annual | 09/21/2032 | 6,200 | 583 | 1,068 | 1,651 | 30 | 0 | ||||||||||||||||||||||||||||
Receive | 6‑Month EUR‑EURIBOR | 0.500 | Annual | 09/21/2052 | 2,600 | 225 | 920 | 1,145 | 23 | 0 | ||||||||||||||||||||||||||||
Receive(5) | 6‑Month EUR‑EURIBOR | 0.830 | Annual | 12/09/2052 | 8,100 | 20 | 240 | 260 | 11 | 0 | ||||||||||||||||||||||||||||
$ | (8,675 | ) | $ | 49,443 | $ | 40,768 | $ | 809 | $ | (645 | ) | |||||||||||||||||||||||||||
Total Swap Agreements | $ | (9,603 | ) | $ | 49,685 | $ | 40,082 | $ | 813 | $ | (658 | ) | ||||||||||||||||||||||||||
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 | $ | 813 | $ | 813 | $ | 0 | $ | 0 | $ | (658) | $ | (658 | ) | |||||||||||||||||||
(1) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(3) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(4) | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(5) | This instrument has a forward starting effective date. See Note 2, Securities Transactions and Investment Income, in the Notes to Financial Statements for further information. |
Counterparty | Settlement Month | Currency to be Delivered | Currency to be Received | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||
BOA | 01/2023 | EUR | 1,486 | $ | 1,573 | $ | 0 | $ | (19 | ) | ||||||||||||||
02/2023 | CHF | 1,648 | 1,741 | 0 | (50 | ) | ||||||||||||||||||
02/2023 | PEN | 1,457 | 371 | 0 | (11 | ) | ||||||||||||||||||
BPS | 01/2023 | $ | 605 | EUR | 568 | 3 | 0 | |||||||||||||||||
BRC | 01/2023 | 519 | GBP | 431 | 2 | 0 | ||||||||||||||||||
02/2023 | CHF | 847 | $ | 903 | 0 | (17 | ) | |||||||||||||||||
CBK | 01/2023 | EUR | 1,511 | $ | 1,613 | $ | 0 | $ | (5 | ) | ||||||||||||||
01/2023 | PEN | 5,135 | 1,279 | 0 | (71 | ) | ||||||||||||||||||
01/2023 | $ | 393 | EUR | 370 | 3 | 0 | ||||||||||||||||||
02/2023 | BRL | 4,635 | $ | 859 | 0 | (14 | ) | |||||||||||||||||
03/2023 | PEN | 1,627 | 421 | 0 | (5 | ) | ||||||||||||||||||
05/2023 | 1,239 | 312 | 0 | (10 | ) | |||||||||||||||||||
GLM | 03/2023 | $ | 88 | MXN | 1,800 | 4 | 0 | |||||||||||||||||
05/2023 | 2,536 | PEN | 10,265 | 139 | 0 |
See Accompanying Notes | SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 47 |
Schedule of Investments | PIMCO Corporate & Income Strategy Fund | (Cont.) |
Counterparty | Settlement Month | Currency to be Delivered | Currency to be Received | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||
MBC | 01/2023 | EUR | 46,163 | $ | 48,389 | 0 | (1,047 | ) | ||||||||||||||||
01/2023 | GBP | 974 | 1,187 | 9 | 0 | |||||||||||||||||||
01/2023 | $ | 362 | EUR | 341 | 3 | 0 | ||||||||||||||||||
02/2023 | CAD | 1,139 | $ | 859 | 18 | 0 | ||||||||||||||||||
MYI | 01/2023 | AUD | 285 | 191 | 0 | (3 | ) | |||||||||||||||||
Total Forward Foreign Currency Contracts | $ | 181 | $ | (1,252 | ) | |||||||||||||||||||
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||||||||||||||||||
Counterparty | Forward Foreign Currency Contracts | Purchased Options | Swap Agreements | Total Over the Counter | Forward Foreign Currency Contracts | Written Options | Swap Agreements | Total Over the Counter | Net Market Value of OTC Derivatives | Collateral Pledged/ (Received) | Net Exposure(1) | |||||||||||||||||||||||||||||||||||||
BOA | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | (80 | ) | $ | 0 | $ | 0 | $ | (80 | ) | $ | (80 | ) | $ | 71 | $ | (9 | ) | ||||||||||||||||||||||
BPS | 3 | 0 | 0 | 3 | 0 | 0 | 0 | 0 | 3 | 0 | 3 | |||||||||||||||||||||||||||||||||||||
BRC | 2 | 0 | 0 | 2 | (17 | ) | 0 | 0 | (17 | ) | (15 | ) | 0 | (15 | ) | |||||||||||||||||||||||||||||||||
CBK | 3 | 0 | 0 | 3 | (105 | ) | 0 | 0 | (105 | ) | (102 | ) | 0 | (102 | ) | |||||||||||||||||||||||||||||||||
GLM | 143 | 0 | 0 | 143 | 0 | 0 | 0 | 0 | 143 | 0 | 143 | |||||||||||||||||||||||||||||||||||||
MBC | 30 | 0 | 0 | 30 | (1,047 | ) | 0 | 0 | (1,047 | ) | (1,017 | ) | 804 | (213 | ) | |||||||||||||||||||||||||||||||||
MYI | 0 | 0 | 0 | 0 | (3 | ) | 0 | 0 | (3 | ) | (3 | ) | 0 | (3 | ) | |||||||||||||||||||||||||||||||||
Total Over the Counter | $ | 181 | $ | 0 | $ | 0 | $ | 181 | $ | (1,252 | ) | $ | 0 | $ | 0 | $ | (1,252 | ) | ||||||||||||||||||||||||||||||
(p) | Securities with an aggregate market value of $874 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022. |
(1) | Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information. |
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 | $ | 809 | $ | 813 | ||||||||||||
Over the counter | ||||||||||||||||||||||||
Forward Foreign Currency Contracts | $ | 0 | $ | 0 | $ | 0 | $ | 181 | $ | 0 | $ | 181 | ||||||||||||
$ | 0 | $ | 4 | $ | 0 | $ | 181 | $ | 809 | $ | 994 | |||||||||||||
Financial Derivative Instruments - Liabilities | ||||||||||||||||||||||||
Exchange-traded or centrally cleared | ||||||||||||||||||||||||
Swap Agreements | $ | 0 | $ | 13 | $ | 0 | $ | 0 | $ | 645 | $ | 658 | ||||||||||||
Over the counter | ||||||||||||||||||||||||
Forward Foreign Currency Contracts | $ | 0 | $ | 0 | $ | 0 | $ | 1,252 | $ | 0 | $ | 1,252 | ||||||||||||
$ | 0 | $ | 13 | $ | 0 | $ | 1,252 | $ | 645 | $ | 1,910 | |||||||||||||
48 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
December 31, 2022 | (Unaudited) |
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 | $ | 423 | $ | 0 | $ | 0 | $ | 29,444 | $ | 29,867 | ||||||||||||
Over the counter | ||||||||||||||||||||||||
Forward Foreign Currency Contracts | $ | 0 | $ | 0 | $ | 0 | $ | 2,171 | $ | 0 | $ | 2,171 | ||||||||||||
$ | 0 | $ | 423 | $ | 0 | $ | 2,171 | $ | 29,444 | $ | 32,038 | |||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative Instruments | ||||||||||||||||||||||||
Exchange-traded or centrally cleared | ||||||||||||||||||||||||
Swap Agreements | $ | 0 | $ | 1,583 | $ | 0 | $ | 0 | $ | (23,465 | ) | $ | (21,882 | ) | ||||||||||
Over the counter | ||||||||||||||||||||||||
Forward Foreign Currency Contracts | $ | 0 | $ | 0 | $ | 0 | $ | (2,623 | ) | $ | 0 | $ | (2,623 | ) | ||||||||||
$ | 0 | $ | 1,583 | $ | 0 | $ | (2,623 | ) | $ | (23,465 | ) | $ | (24,505 | ) | ||||||||||
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2022 | ||||||||||||
Investments in Securities, at Value | ||||||||||||||||
Loan Participations and Assignments | $ | 0 | $ | 153,300 | $ | 26,393 | $ | 179,693 | ||||||||
Corporate Bonds & Notes | ||||||||||||||||
Banking & Finance | 0 | 56,115 | 0 | 56,115 | ||||||||||||
Industrials | 0 | 164,294 | 0 | 164,294 | ||||||||||||
Utilities | 0 | 30,252 | 0 | 30,252 | ||||||||||||
Convertible Bonds & Notes | ||||||||||||||||
Industrials | 0 | 2,139 | 0 | 2,139 | ||||||||||||
Municipal Bonds & Notes | ||||||||||||||||
California | 0 | 491 | 0 | 491 | ||||||||||||
Illinois | 0 | 4,961 | 0 | 4,961 | ||||||||||||
Puerto Rico | 0 | 539 | 0 | 539 | ||||||||||||
West Virginia | 0 | 3,306 | 0 | 3,306 | ||||||||||||
U.S. Government Agencies | 0 | 7,192 | 4,731 | 11,923 | ||||||||||||
Non‑Agency Mortgage-Backed Securities | 0 | 46,941 | 0 | 46,941 | ||||||||||||
Asset-Backed Securities | 0 | 58,948 | 5,049 | 63,997 | ||||||||||||
Sovereign Issues | 0 | 10,764 | 0 | 10,764 | ||||||||||||
Common Stocks | ||||||||||||||||
Communication Services | 1,333 | 0 | 541 | 1,874 | ||||||||||||
Consumer Staples | 137 | 0 | 0 | 137 | ||||||||||||
Energy | 494 | 0 | 37 | 531 | ||||||||||||
Financials | 1,415 | 0 | 4,148 | 5,563 | ||||||||||||
Industrials | 0 | 0 | 15,088 | 15,088 | ||||||||||||
Rights | ||||||||||||||||
Financials | 0 | 0 | 124 | 124 | ||||||||||||
Warrants | ||||||||||||||||
Financials | 0 | 0 | 138 | 138 | ||||||||||||
Information Technology | 0 | 0 | 9,995 | 9,995 | ||||||||||||
Preferred Securities | ||||||||||||||||
Banking & Finance | 0 | 14,188 | 0 | 14,188 |
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2022 | ||||||||||||
Industrials | $ | 0 | $ | 0 | $ | 1,603 | $ | 1,603 | ||||||||
Real Estate Investment Trusts | ||||||||||||||||
Real Estate | 3,898 | 0 | 0 | 3,898 | ||||||||||||
Short-Term Instruments | ||||||||||||||||
Repurchase Agreements | 0 | 59,330 | 0 | 59,330 | ||||||||||||
Argentina Treasury Bills | 0 | 214 | 0 | 214 | ||||||||||||
U.S. Treasury Bills | 0 | 2,424 | 0 | 2,424 | ||||||||||||
Total Investments | $ | 7,277 | $ | 615,398 | $ | 67,847 | $ | 690,522 | ||||||||
Financial Derivative Instruments - Assets | ||||||||||||||||
Exchange-traded or centrally cleared | 0 | 813 | 0 | 813 | ||||||||||||
Over the counter | 0 | 181 | 0 | 181 | ||||||||||||
$ | 0 | $ | 994 | $ | 0 | $ | 994 | |||||||||
Financial Derivative Instruments - Liabilities | ||||||||||||||||
Exchange-traded or centrally cleared | $ | 0 | $ | (658 | ) | $ | 0 | $ | (658 | ) | ||||||
Over the counter | 0 | (1,252 | ) | 0 | (1,252 | ) | ||||||||||
$ | 0 | $ | (1,910 | ) | $ | 0 | $ | (1,910 | ) | |||||||
Total Financial Derivative Instruments | $ | 0 | $ | (916 | ) | $ | 0 | $ | (916 | ) | ||||||
Totals | $ | 7,277 | $ | 614,482 | $ | 67,847 | $ | 689,606 | ||||||||
Category and Subcategory | Beginning Balance at 06/30/2022 | Net Purchases | Net Sales/ Settlements | Accrued Discounts/ (Premiums) | Realized Gain/(Loss) | Net Change in Unrealized Appreciation/ (Depreciation)(1) | Transfers into Level 3 | Transfers out of Level 3 | Ending Balance at 12/31/2022 | Net Change in Unrealized Appreciation/ (Depreciation) on Investments Held at 12/31/2022(1) | ||||||||||||||||||||||||||||||
Investments in Securities, at Value | ||||||||||||||||||||||||||||||||||||||||
Loan Participations and Assignments | $ | 28,415 | $ | 17,838 | $ | (4,526 | ) | $ | (362 | ) | $ | (42 | ) | $ | (461 | ) | $ | 10,678 | $ | (25,147 | ) | $ | 26,393 | $ | 579 | |||||||||||||||
Corporate Bonds & Notes Industrials | 25,248 | 287 | 0 | 50 | 0 | (1,438 | ) | 0 | (24,147 | ) | 0 | 0 |
See Accompanying Notes | SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 49 |
Schedule of Investments | PIMCO Corporate & Income Strategy Fund | (Cont.) | December 31, 2022 | (Unaudited) |
Category and Subcategory | Beginning Balance at 06/30/2022 | Net Purchases | Net Sales/ Settlements | Accrued Discounts/ (Premiums) | Realized Gain/(Loss) | Net Change in Unrealized Appreciation/ (Depreciation)(1) | Transfers into Level 3 | Transfers out of Level 3 | Ending Balance at 12/31/2022 | Net Change in Unrealized Appreciation/ (Depreciation) on Investments Held at 12/31/2022(1) | ||||||||||||||||||||||||||||||
U.S. Government Agencies | 4,747 | 0 | (59 | ) | 10 | 20 | 13 | 0 | 0 | 4,731 | 9 | |||||||||||||||||||||||||||||
Asset-Backed Securities | 6,934 | 0 | (473 | ) | 14 | (1,306 | ) | (120 | ) | 0 | 0 | 5,049 | (1,421 | ) | ||||||||||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||||||||||||||||||
Communication Services | 696 | 0 | 0 | 0 | 0 | (155 | ) | 0 | 0 | 541 | (155 | ) | ||||||||||||||||||||||||||||
Energy | 16 | 0 | 0 | 0 | 0 | 21 | 0 | 0 | 37 | 21 | ||||||||||||||||||||||||||||||
Financials | 4,839 | 0 | 0 | 0 | 0 | (691 | ) | 0 | 0 | 4,148 | (691 | ) | ||||||||||||||||||||||||||||
Industrials | 14,393 | 118 | 0 | 0 | 0 | 577 | 0 | 0 | 15,088 | 577 | ||||||||||||||||||||||||||||||
Materials | 27 | 0 | (29 | ) | 0 | 29 | (27 | ) | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||||
Rights | ||||||||||||||||||||||||||||||||||||||||
Financials | 87 | 0 | 0 | 0 | 0 | 37 | 0 | 0 | 124 | 37 | ||||||||||||||||||||||||||||||
Warrants | ||||||||||||||||||||||||||||||||||||||||
Financials | 92 | 0 | 0 | 0 | 0 | 46 | 0 | 0 | 138 | 46 | ||||||||||||||||||||||||||||||
Industrials | 464 | 0 | (94 | ) | 0 | 94 | (464 | ) | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||||
Information Technology | 10,529 | 0 | 0 | 0 | 0 | (534 | ) | 0 | 0 | 9,995 | (534 | ) | ||||||||||||||||||||||||||||
Preferred Securities | ||||||||||||||||||||||||||||||||||||||||
Industrials | 30,044 | 0 | (34,591 | ) | 0 | 19,229 | (13,079 | ) | 0 | 0 | 1,603 | (203 | ) | |||||||||||||||||||||||||||
Totals | $ | 126,531 | $ | 18,243 | $ | (39,772 | ) | $ | (288 | ) | $ | 18,024 | $ | (16,275 | ) | $ | 10,678 | $ | (49,294 | ) | $ | 67,847 | $ | (1,735 | ) | |||||||||||||||
Category and Subcategory | Ending Balance at 12/31/2022 | Valuation Technique | Unobservable Inputs | (% Unless Noted Otherwise) | ||||||||||||||||
Input Value(s) | Weighted Average | |||||||||||||||||||
Investments in Securities, at Value | ||||||||||||||||||||
Loan Participations and Assignments | $ | 5,442 | Discounted Cash Flow | Discount Spread | 9.080 | — | ||||||||||||||
5,228 | Proxy Pricing | Base Price | 95.286 | — | ||||||||||||||||
15,723 | Third Party Vendor | Broker Quote | 35.000-87.500 | 69.678 | ||||||||||||||||
U.S. Government Agencies | 4,731 | Discounted Cash Flow | Discount Rate | 12.000 | — | |||||||||||||||
Asset-Backed Securities | 5,049 | Discounted Cash Flow | Discount Rate | 10.000-20.000 | 16.856 | |||||||||||||||
Common Stocks | ||||||||||||||||||||
Communication Services | 541 | Reference Instrument | Stock Price W/ Liquidity Discount | 10.000 | — | |||||||||||||||
Energy | 37 | Market Comparable Valuation | EBITDA Multiple | X | 4.600 | — | ||||||||||||||
Financials | 4,148 | Indicative Market Quotation | Price | $ | 24.000 | — | ||||||||||||||
Industrials | 12,938 | Market Comparable Valuation / Discounted Cash Flow | Revenue | EBITDA Multiple / Discount Rate | X | /% | 0.620|6.160/10.000 | — | |||||||||||||
1,771 | Discounted Cash Flow | Discount Rate | 11.590 | — | ||||||||||||||||
379 | Indicative Market Quotation | Price | $ | 7.500 | — | |||||||||||||||
Rights | ||||||||||||||||||||
Financials | 124 | Other Valuation Techniques(2) | — | — | — | |||||||||||||||
Warrants | ||||||||||||||||||||
Financials | 2 | Indicative Market Quotation | Price | $ | 2.000-3.500 | 3.273 | ||||||||||||||
136 | Other Valuation Techniques(2) | — | — | — | ||||||||||||||||
Information Technology | 9,995 | Market Comparable Valuation | EBITDA Multiple | X | 4.500 | — | ||||||||||||||
Preferred Securities | ||||||||||||||||||||
Industrials | 1,603 | Market Comparable Valuation / Discounted Cash Flow | TBV Multiple/ Discount Rate | X | /% | 0.370/24.820 | — | |||||||||||||
Total | $ | 67,847 | ||||||||||||||||||
(1) | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at December 31, 2022 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. |
50 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
Schedule of Investments | PIMCO High Income Fund | December 31, 2022 | (Unaudited) |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
INVESTMENTS IN SECURITIES 130.8% | ||||||||||||
LOAN PARTICIPATIONS AND ASSIGNMENTS 29.2% | ||||||||||||
AmSurg LLC | ||||||||||||
TBD% due 04/29/2027 µ | $ | 1,615 | $ | 1,581 | ||||||||
AP Core Holdings LLC | ||||||||||||
9.884% (LIBOR01M + 5.500%) due 09/01/2027 ~ | 15,313 | 13,858 | ||||||||||
Carnival Corp. | ||||||||||||
5.648% (EUR001M + 3.750%) due 06/30/2025 ~ | EUR | 2,462 | 2,540 | |||||||||
Diamond Sports Group LLC | ||||||||||||
12.317% due 05/25/2026 | $ | 13,924 | 13,231 | |||||||||
DirecTV Financing LLC | ||||||||||||
9.384% (LIBOR01M + 5.000%) due 08/02/2027 ~ | 2,642 | 2,578 | ||||||||||
Envision Healthcare Corp. | ||||||||||||
12.119% due 04/29/2027 | 8,885 | 8,696 | ||||||||||
15.744% due 04/28/2028 | 21,083 | 17,253 | ||||||||||
Forbes Energy Services LLC | ||||||||||||
7.000% due 06/30/2023 « | 954 | 0 | ||||||||||
11.000% due 06/30/2023 « | 13 | 0 | ||||||||||
Gateway Casinos & Entertainment Ltd. | ||||||||||||
12.138% due 10/15/2027 | 7,395 | 7,303 | ||||||||||
12.565% due 10/18/2027 | CAD | 1,613 | 1,177 | |||||||||
Intelsat Jackson Holdings SA | ||||||||||||
7.445% due 02/01/2029 | $ | 4,244 | 4,106 | |||||||||
Lealand Finance Co. BV | ||||||||||||
7.384% (LIBOR01M + 3.000%) due 06/28/2024 ~ | 105 | 68 | ||||||||||
Lealand Finance Co. BV (5.384% Cash and 3.000% PIK) | ||||||||||||
8.384% (LIBOR01M + 1.000%) due 06/30/2025 ~(b) | 513 | 276 | ||||||||||
MPH Acquisition Holdings LLC | ||||||||||||
8.985% (LIBOR03M + 4.250%) due 09/01/2028 ~ | 7,623 | 6,546 | ||||||||||
Oi SA | ||||||||||||
TBD% due 02/26/2035 « | 3,485 | 1,220 | ||||||||||
Poseidon Bidco SASU | ||||||||||||
7.452% (EUR003M + 5.250%) due 07/14/2028 «~ | EUR | 7,400 | 6,825 | |||||||||
Promotora de Informaciones SA | ||||||||||||
6.708% (EUR003M + 5.250%) due 12/31/2026 «~ | 11,661 | 10,735 | ||||||||||
8.000% (EUR003M + 8.000%) due 06/30/2027 «~ | 1,706 | 1,598 | ||||||||||
PUG LLC | ||||||||||||
7.884% (LIBOR01M + 3.500%) due 02/12/2027 ~ | $ | 12,680 | 10,556 | |||||||||
Redstone Holdco 2 LP | ||||||||||||
9.108% (LIBOR03M + 4.750%) due 04/27/2028 ~ | 4,100 | 2,858 | ||||||||||
Rising Tide Holdings, Inc. | ||||||||||||
9.485% (LIBOR03M + 4.750%) due 06/01/2028 «~ | 1,284 | 610 | ||||||||||
Steenbok Lux Finco 2 SARL (10.750% PIK) | ||||||||||||
10.750% (EUR006M) due 06/30/2023 ~(b) | EUR | 16,066 | 11,064 | |||||||||
Syniverse Holdings, Inc. | ||||||||||||
11.580% due 05/13/2027 | $ | 19,788 | 17,364 | |||||||||
Team Health Holdings, Inc. | ||||||||||||
7.134% (LIBOR01M + 2.750%) due 02/06/2024 ~ | 15,164 | 13,041 | ||||||||||
Telemar Norte Leste SA | ||||||||||||
TBD% due 02/26/2035 « | 19,258 | 6,741 | ||||||||||
U.S. Renal Care, Inc. | ||||||||||||
9.438% (LIBOR01M + 5.000%) due 06/26/2026 ~ | 23,731 | 13,393 | ||||||||||
9.938% (LIBOR01M + 5.500%) due 06/26/2026 ~ | 1,749 | 987 | ||||||||||
Veritas U.S., Inc. | ||||||||||||
9.730% (LIBOR03M + 5.000%) due 09/01/2025 ~ | 5,400 | 3,837 | ||||||||||
Westmoreland Mining Holdings LLC (15.000% PIK) | ||||||||||||
15.000% due 03/15/2029 (b) | 8,312 | 6,463 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Windstream Services LLC | ||||||||||||
10.673% (LIBOR01M + 6.250%) due 09/21/2027 ~ | $ | 2,646 | $ | 2,407 | ||||||||
Total Loan Participations and Assignments (Cost $223,394) | 188,912 | |||||||||||
CORPORATE BONDS & NOTES 45.1% | ||||||||||||
BANKING & FINANCE 10.8% | ||||||||||||
Ally Financial, Inc. | ||||||||||||
8.000% due 11/01/2031 | 1,108 | 1,155 | ||||||||||
Apollo Commercial Real Estate Finance, Inc. | ||||||||||||
4.625% due 06/15/2029 (k) | 1,870 | 1,499 | ||||||||||
Armor Holdco, Inc. | ||||||||||||
8.500% due 11/15/2029 (k) | 1,900 | 1,429 | ||||||||||
Atlantic Marine Corps Communities LLC | ||||||||||||
5.383% due 02/15/2048 (k) | 4,221 | 3,452 | ||||||||||
Banca Monte dei Paschi di Siena SpA | ||||||||||||
1.875% due 01/09/2026 | EUR | 1,400 | 1,289 | |||||||||
2.625% due 04/28/2025 | 9,492 | 9,220 | ||||||||||
3.625% due 09/24/2024 | 2,131 | 2,171 | ||||||||||
5.375% due 01/18/2028 • | 1,700 | 1,471 | ||||||||||
8.000% due 01/22/2030 • | 2,230 | 2,095 | ||||||||||
8.500% due 09/10/2030 • | 3,500 | 3,305 | ||||||||||
10.500% due 07/23/2029 | 2,067 | 2,055 | ||||||||||
Banco de Credito del Peru SA | ||||||||||||
4.650% due 09/17/2024 | PEN | 1,000 | 246 | |||||||||
Barclays PLC | ||||||||||||
7.437% due 11/02/2033 • | $ | 2,112 | 2,219 | |||||||||
BNP Paribas SA | ||||||||||||
3.132% due 01/20/2033 • | 1,861 | 1,474 | ||||||||||
BOI Finance BV | ||||||||||||
7.500% due 02/16/2027 | EUR | 3,300 | 2,853 | |||||||||
Claveau Re Ltd. | ||||||||||||
21.590% (T‑BILL 3MO + 17.250%) due 07/08/2028 ~ | $ | 1,200 | 1,175 | |||||||||
Corsair International Ltd. | ||||||||||||
5.473% due 01/28/2027 • | EUR | 1,000 | 1,062 | |||||||||
Cosaint Re Pte. Ltd. | ||||||||||||
13.850% (T‑BILL 1MO + 9.250%) due 04/03/2028 ~ | $ | 1,000 | 810 | |||||||||
Credit Agricole SA | ||||||||||||
7.875% due 01/23/2024 •(g)(h) | 250 | 249 | ||||||||||
Credit Suisse Group AG | ||||||||||||
6.373% due 07/15/2026 •(k) | 500 | 470 | ||||||||||
6.442% due 08/11/2028 •(k) | 700 | 639 | ||||||||||
7.250% due 09/12/2025 •(g)(h) | 200 | 144 | ||||||||||
7.500% due 07/17/2023 •(g)(h)(k) | 400 | 321 | ||||||||||
GSPA Monetization Trust | ||||||||||||
6.422% due 10/09/2029 | 4,384 | 4,213 | ||||||||||
Hestia Re Ltd. | ||||||||||||
13.840% (T‑BILL 1MO + 9.500%) due 04/22/2025 ~ | 939 | 775 | ||||||||||
Lloyds Banking Group PLC | ||||||||||||
4.947% due 06/27/2025 •(g)(h) | EUR | 716 | 736 | |||||||||
Sanders Re Ltd. | ||||||||||||
16.090% (T‑BILL 3MO + 11.750%) due 04/09/2029 ~ | $ | 1,545 | 1,467 | |||||||||
Uniti Group LP | ||||||||||||
4.750% due 04/15/2028 (k) | 2,800 | 2,244 | ||||||||||
6.000% due 01/15/2030 (k) | 8,363 | 5,303 | ||||||||||
6.500% due 02/15/2029 (k) | 3,100 | 2,060 | ||||||||||
VICI Properties LP | ||||||||||||
3.875% due 02/15/2029 (k) | 6,900 | 6,057 | ||||||||||
Voyager Aviation Holdings LLC | ||||||||||||
8.500% due 05/09/2026 | 7,250 | 5,755 | ||||||||||
Yosemite Re Ltd. | ||||||||||||
14.087% (T‑BILL 3MO + 9.750%) due 06/06/2025 ~ | 840 | 809 | ||||||||||
70,222 | ||||||||||||
INDUSTRIALS 27.5% | ||||||||||||
AA Bond Co. Ltd. | ||||||||||||
5.500% due 07/31/2050 | GBP | 895 | 939 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Altice Financing SA | ||||||||||||
5.750% due 08/15/2029 (k) | $ | 972 | $ | 766 | ||||||||
American Airlines Pass-Through Trust | ||||||||||||
3.375% due 11/01/2028 (k) | 1,377 | 1,151 | ||||||||||
3.700% due 04/01/2028 (k) | 979 | 847 | ||||||||||
Arches Buyer, Inc. | ||||||||||||
4.250% due 06/01/2028 (k) | 1,000 | 783 | ||||||||||
Boeing Co. | ||||||||||||
5.930% due 05/01/2060 (k) | 1,007 | 923 | ||||||||||
6.125% due 02/15/2033 (k) | 1,909 | 1,946 | ||||||||||
CGG SA | ||||||||||||
7.750% due 04/01/2027 | EUR | 1,400 | 1,229 | |||||||||
8.750% due 04/01/2027 (k) | $ | 7,789 | 6,239 | |||||||||
Champion Path Holdings Ltd. | ||||||||||||
4.500% due 01/27/2026 | 1,700 | 1,484 | ||||||||||
4.850% due 01/27/2028 | 1,400 | 1,181 | ||||||||||
Community Health Systems, Inc. | ||||||||||||
8.000% due 03/15/2026 (k) | 11,838 | 10,802 | ||||||||||
DISH DBS Corp. | ||||||||||||
5.250% due 12/01/2026 (k) | 4,800 | 4,052 | ||||||||||
5.750% due 12/01/2028 (k) | 7,850 | 6,280 | ||||||||||
DTEK Energy BV (3.500% Cash and 3.500% PIK) | ||||||||||||
7.000% due 12/31/2027 (b) | 2,200 | 606 | ||||||||||
Dufry One BV | ||||||||||||
3.625% due 04/15/2026 | CHF | 3,691 | 3,515 | |||||||||
Exela Intermediate LLC | ||||||||||||
11.500% due 07/15/2026 | $ | 125 | 22 | |||||||||
Ford Motor Co. | ||||||||||||
7.700% due 05/15/2097 (k) | 13,830 | 13,114 | ||||||||||
General Shopping Investments Ltd. | ||||||||||||
15.335% due 03/20/2023 ^(c)(g) | 2,500 | 269 | ||||||||||
HCA, Inc. | ||||||||||||
7.500% due 11/15/2095 (k) | 3,462 | 3,727 | ||||||||||
IHO Verwaltungs GmbH (3.875% Cash or 4.625% PIK) | ||||||||||||
3.875% due 05/15/2027 (b) | EUR | 337 | 306 | |||||||||
Intelsat Jackson Holdings SA | ||||||||||||
6.500% due 03/15/2030 (k) | $ | 16,312 | 14,624 | |||||||||
Inter Media & Communication SpA | ||||||||||||
6.750% due 02/09/2027 | EUR | 3,300 | 3,358 | |||||||||
Market Bidco Finco PLC | ||||||||||||
4.750% due 11/04/2027 | 900 | 777 | ||||||||||
Melco Resorts Finance Ltd. | ||||||||||||
4.875% due 06/06/2025 (k) | $ | 2,000 | 1,840 | |||||||||
MGM China Holdings Ltd. | ||||||||||||
5.250% due 06/18/2025 (k) | 1,800 | 1,696 | ||||||||||
New Albertsons LP | ||||||||||||
6.570% due 02/23/2028 | 4,021 | 4,135 | ||||||||||
Nissan Motor Co. Ltd. | ||||||||||||
4.810% due 09/17/2030 (k) | 8,700 | 7,403 | ||||||||||
Noble Corp. PLC (11.000% Cash or 15.000% PIK) | ||||||||||||
11.000% due 02/15/2028 (b) | 60 | 67 | ||||||||||
Odebrecht Oil & Gas Finance Ltd. | ||||||||||||
0.000% due 01/30/2023 (f)(g) | 3,371 | 8 | ||||||||||
Petroleos Mexicanos | ||||||||||||
6.750% due 09/21/2047 (k) | 1,098 | 703 | ||||||||||
Prime Healthcare Services, Inc. | ||||||||||||
7.250% due 11/01/2025 (k) | 5,000 | 4,233 | ||||||||||
QVC, Inc. | ||||||||||||
5.950% due 03/15/2043 (k) | 1,169 | 580 | ||||||||||
Sands China Ltd. | ||||||||||||
5.900% due 08/08/2028 (k) | 3,379 | 3,168 | ||||||||||
Topaz Solar Farms LLC | ||||||||||||
4.875% due 09/30/2039 | 2,208 | 1,965 | ||||||||||
5.750% due 09/30/2039 (k) | 7,167 | 6,813 | ||||||||||
U.S. Renal Care, Inc. | ||||||||||||
10.625% due 07/15/2027 (k) | 1,934 | 425 | ||||||||||
United Group BV | ||||||||||||
4.875% due 07/01/2024 | EUR | 100 | 100 | |||||||||
Valaris Ltd. (8.250% Cash or 12.000% PIK) | ||||||||||||
8.250% due 04/30/2028 (b)(k) | $ | 1,428 | 1,438 | |||||||||
Vale SA | ||||||||||||
3.202% due 12/29/2049 ~(g) | BRL | 120,000 | 8,480 |
See Accompanying Notes | SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 51 |
Schedule of Investments | PIMCO High Income Fund | (Cont.) |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Veritas U.S., Inc. | ||||||||||||
7.500% due 09/01/2025 (k) | $ | 3,960 | $ | 2,736 | ||||||||
Viking Cruises Ltd. | ||||||||||||
13.000% due 05/15/2025 (k) | 8,659 | 9,149 | ||||||||||
Wesco Aircraft Holdings, Inc. | ||||||||||||
9.000% due 11/15/2026 | 1,424 | 965 | ||||||||||
10.500% due 11/15/2026 | 662 | 611 | ||||||||||
Wesco Aircraft Holdings, Inc. (7.500% Cash and 3.000% PIK) | ||||||||||||
10.500% due 11/15/2026 (b)(k) | 27,010 | 24,917 | ||||||||||
Windstream Escrow LLC | ||||||||||||
7.750% due 08/15/2028 (k) | 9,423 | 7,700 | ||||||||||
Wynn Macau Ltd. | ||||||||||||
5.125% due 12/15/2029 (k) | 400 | 324 | ||||||||||
5.500% due 01/15/2026 (k) | 1,226 | 1,127 | ||||||||||
5.500% due 10/01/2027 (k) | 3,800 | 3,328 | ||||||||||
5.625% due 08/26/2028 (k) | 5,773 | 4,943 | ||||||||||
177,794 | ||||||||||||
UTILITIES 6.8% | ||||||||||||
Eskom Holdings SOC Ltd. | ||||||||||||
6.750% due 08/06/2023 | 1,000 | 965 | ||||||||||
Mountain States Telephone & Telegraph Co. | ||||||||||||
7.375% due 05/01/2030 | 5,130 | 4,991 | ||||||||||
NGD Holdings BV | ||||||||||||
6.750% due 12/31/2026 | 846 | 394 | ||||||||||
Odebrecht Drilling Norbe Ltd. (6.350% Cash and 1.000% PIK) | ||||||||||||
7.350% due 12/01/2026 ^(b) | 3,307 | 1,826 | ||||||||||
Odebrecht Offshore Drilling Finance Ltd. (6.720% Cash and 1.000% PIK) | ||||||||||||
7.720% due 12/01/2026 ^(b) | 16,575 | 4,434 | ||||||||||
Oi SA | ||||||||||||
10.000% due 07/27/2025 | 20,600 | 3,560 | ||||||||||
Pacific Gas & Electric Co. | ||||||||||||
4.000% due 12/01/2046 (k) | 600 | 404 | ||||||||||
4.200% due 03/01/2029 (k) | 2,000 | 1,790 | ||||||||||
4.250% due 03/15/2046 (k) | 2,300 | 1,609 | ||||||||||
4.450% due 04/15/2042 (k) | 1,203 | 900 | ||||||||||
4.600% due 06/15/2043 | 200 | 152 | ||||||||||
4.750% due 02/15/2044 (k) | 7,809 | 6,004 | ||||||||||
4.950% due 07/01/2050 (k) | 1,054 | 821 | ||||||||||
5.450% due 06/15/2027 (k) | 1,400 | 1,383 | ||||||||||
Peru LNG SRL | ||||||||||||
5.375% due 03/22/2030 | 8,700 | 7,279 | ||||||||||
Rio Oil Finance Trust | ||||||||||||
9.250% due 07/06/2024 (k) | 7,285 | 7,395 | ||||||||||
43,907 | ||||||||||||
Total Corporate Bonds & Notes (Cost $347,957) | 291,923 | |||||||||||
CONVERTIBLE BONDS & NOTES 0.5% | ||||||||||||
INDUSTRIALS 0.5% | ||||||||||||
DISH Network Corp. | ||||||||||||
3.375% due 08/15/2026 | 5,100 | 3,208 | ||||||||||
Total Convertible Bonds & Notes (Cost $5,100) | 3,208 | |||||||||||
MUNICIPAL BONDS & NOTES 5.8% | ||||||||||||
DISTRICT OF COLUMBIA 1.7% | ||||||||||||
District of Columbia Revenue Bonds, Series 2011 | ||||||||||||
7.625% due 10/01/2035 | 9,740 | 10,803 | ||||||||||
ILLINOIS 2.0% | ||||||||||||
Chicago, Illinois General Obligation Bonds, (BABs), Series 2010 | ||||||||||||
6.257% due 01/01/2040 | 11,000 | 10,316 | ||||||||||
7.517% due 01/01/2040 | 2,805 | 2,961 | ||||||||||
13,277 | ||||||||||||
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
PUERTO RICO 0.1% | ||||||||||||
Commonwealth of Puerto Rico Bonds, Series 2022 | ||||||||||||
0.000% due 11/01/2043 (f) | $ | 1,631 | $ | 716 | ||||||||
TEXAS 1.2% | ||||||||||||
El Paso Downtown Development Corp., Texas Revenue Bonds, Series 2013 | ||||||||||||
7.250% due 08/15/2043 | 7,425 | 8,086 | ||||||||||
WEST VIRGINIA 0.8% | ||||||||||||
Tobacco Settlement Finance Authority, West Virginia Revenue Bonds, Series 2007 | ||||||||||||
0.000% due 06/01/2047 (f) | 66,200 | 4,929 | ||||||||||
Total Municipal Bonds & Notes (Cost $38,567) | 37,811 | |||||||||||
U.S. GOVERNMENT AGENCIES 2.3% | ||||||||||||
Fannie Mae | ||||||||||||
1.711% due 07/25/2050 ~(a)(k) | 3,449 | 344 | ||||||||||
3.500% due 09/25/2027 (a) | 87 | 5 | ||||||||||
4.000% due 06/25/2050 (a)(k) | 2,179 | 408 | ||||||||||
5.000% due 06/25/2050 (a)(k) | 3,522 | 755 | ||||||||||
10.000% due 01/25/2034 ~ | 162 | 172 | ||||||||||
Freddie Mac | ||||||||||||
1.711% due 06/25/2050 •(a)(k) | 3,788 | 396 | ||||||||||
1.782% due 07/15/2035 •(a) | 472 | 31 | ||||||||||
1.882% due 02/15/2042 ~(a) | 739 | 41 | ||||||||||
2.822% due 08/15/2036 •(a) | 280 | 34 | ||||||||||
4.364% due 05/15/2033 • | 23 | 21 | ||||||||||
5.000% due 06/15/2033 ~(a) | 584 | 84 | ||||||||||
5.992% due 11/25/2055 «~ | 13,287 | 8,167 | ||||||||||
13.589% due 10/25/2027 ~ | 4,296 | 4,383 | ||||||||||
Ginnie Mae | ||||||||||||
3.500% due 06/20/2042 (a)(k) | 39 | 7 | ||||||||||
3.500% due 03/20/2043 (a) | 519 | 109 | ||||||||||
4.500% due 07/20/2042 (a) | 88 | 11 | ||||||||||
5.000% due 09/20/2042 (a) | 162 | 25 | ||||||||||
Uniform Mortgage-Backed Security, TBA | ||||||||||||
3.000% due 02/01/2053 | 100 | 88 | ||||||||||
Total U.S. Government Agencies (Cost $17,326) | 15,081 | |||||||||||
NON‑AGENCY MORTGAGE-BACKED SECURITIES 9.1% | ||||||||||||
Adjustable Rate Mortgage Trust | ||||||||||||
4.729% due 05/25/2036 • | 3,135 | 1,203 | ||||||||||
Banc of America Alternative Loan Trust | ||||||||||||
1.211% due 06/25/2046 ^•(a) | 2,627 | 136 | ||||||||||
2.251% due 06/25/2037 ^•(a) | 2,186 | 196 | ||||||||||
4.749% due 06/25/2037 ~ | 2,013 | 1,499 | ||||||||||
Banc of America Funding Trust | ||||||||||||
6.000% due 07/25/2037 ^ | 281 | 220 | ||||||||||
6.250% due 10/26/2036 | 4,060 | 1,968 | ||||||||||
Banc of America Mortgage Trust | ||||||||||||
2.843% due 02/25/2036 ^~ | 6 | 5 | ||||||||||
BCAP LLC Trust | ||||||||||||
4.611% due 03/26/2037 þ | 1,215 | 1,648 | ||||||||||
6.000% due 05/26/2037 ~ | 4,233 | 1,895 | ||||||||||
Bear Stearns Adjustable Rate Mortgage Trust | ||||||||||||
3.728% due 11/25/2034 ~ | 7 | 7 | ||||||||||
CD Mortgage Trust | ||||||||||||
5.688% due 10/15/2048 | 138 | 122 | ||||||||||
Chase Mortgage Finance Trust | ||||||||||||
3.707% due 09/25/2036 ^~ | 42 | 34 | ||||||||||
3.946% due 12/25/2035 ^~ | 8 | 7 | ||||||||||
5.500% due 05/25/2036 ^ | 1 | 1 | ||||||||||
Citigroup Commercial Mortgage Trust | ||||||||||||
5.447% due 12/10/2049 ~ | 2,847 | 1,405 | ||||||||||
Citigroup Mortgage Loan Trust | ||||||||||||
3.595% due 07/25/2037 ^~ | 37 | 32 | ||||||||||
3.762% due 11/25/2035 ~ | 9,923 | 5,730 | ||||||||||
6.500% due 09/25/2036 | 2,368 | 1,401 | ||||||||||
Commercial Mortgage Loan Trust | ||||||||||||
6.480% due 12/10/2049 ~ | 2,620 | 420 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Countrywide Alternative Loan Trust | ||||||||||||
0.611% due 04/25/2035 •(a) | $ | 2,054 | $ | 53 | ||||||||
3.435% due 02/25/2037 ^~ | 96 | 81 | ||||||||||
4.889% due 12/25/2046 • | 1,705 | 1,375 | ||||||||||
6.000% due 02/25/2037 ^ | 4,106 | 1,684 | ||||||||||
6.250% due 12/25/2036 ^• | 2,140 | 989 | ||||||||||
6.500% due 06/25/2036 ^ | 609 | 306 | ||||||||||
Countrywide Home Loan Mortgage Pass-Through Trust | ||||||||||||
0.961% due 12/25/2036 •(a) | 1,661 | 75 | ||||||||||
3.501% due 09/20/2036 ^~ | 236 | 204 | ||||||||||
3.632% due 09/25/2047 ^~ | 17 | 15 | ||||||||||
Credit Suisse First Boston Mortgage Securities Corp. | ||||||||||||
6.000% due 01/25/2036 ^ | 1,263 | 781 | ||||||||||
Eurosail PLC | ||||||||||||
4.861% due 06/13/2045 ~ | GBP | 3,347 | 2,882 | |||||||||
7.511% due 06/13/2045 ~ | 988 | 981 | ||||||||||
GS Mortgage Securities Corp. | ||||||||||||
7.736% due 08/15/2039 ~ | $ | 1,200 | 1,211 | |||||||||
HarborView Mortgage Loan Trust | ||||||||||||
3.321% due 08/19/2036 ^~ | 3 | 3 | ||||||||||
3.508% due 08/19/2036 ^~ | 151 | 130 | ||||||||||
IM Pastor Fondo de Titluzacion Hipotecaria | ||||||||||||
2.221% due 03/22/2043 • | EUR | 2,804 | 2,551 | |||||||||
Jackson Park Trust | ||||||||||||
3.242% due 10/14/2039 ~ | $ | 2,311 | 1,671 | |||||||||
JP Morgan Alternative Loan Trust | ||||||||||||
3.699% due 03/25/2037 ^~ | 2,806 | 2,488 | ||||||||||
JP Morgan Mortgage Trust | ||||||||||||
2.231% due 01/25/2037 ^•(a) | 13,185 | 2,375 | ||||||||||
3.196% due 07/27/2037 ~ | 3,934 | 2,783 | ||||||||||
Lehman XS Trust | ||||||||||||
4.829% due 06/25/2047 • | 1,454 | 1,297 | ||||||||||
Nomura Asset Acceptance Corp. Alternative Loan Trust | ||||||||||||
3.544% due 04/25/2036 ^~ | 2,770 | 2,353 | ||||||||||
Nomura Resecuritization Trust | ||||||||||||
3.808% due 07/26/2035 ~ | 4,371 | 3,740 | ||||||||||
Residential Asset Securitization Trust | ||||||||||||
4.789% due 01/25/2046 ^~ | 168 | 53 | ||||||||||
6.250% due 09/25/2037 ^ | 4,522 | 1,822 | ||||||||||
6.500% due 08/25/2036 ^ | 795 | 268 | ||||||||||
Structured Adjustable Rate Mortgage Loan Trust | ||||||||||||
3.490% due 04/25/2047 ~ | 290 | 149 | ||||||||||
3.694% due 01/25/2036 ^~ | 100 | 63 | ||||||||||
Structured Asset Mortgage Investments Trust | ||||||||||||
4.769% due 07/25/2046 ^~ | 5,417 | 4,049 | ||||||||||
WaMu Mortgage Pass-Through Certificates Trust | ||||||||||||
3.347% due 05/25/2037 ^~ | 70 | 55 | ||||||||||
Washington Mutual Mortgage Pass-Through Certificates Trust | ||||||||||||
2.291% due 04/25/2037 ~(a) | 7,428 | 1,226 | ||||||||||
6.500% due 03/25/2036 ^ | 4,228 | 2,898 | ||||||||||
Total Non‑Agency Mortgage-Backed Securities (Cost $69,887) | 58,540 | |||||||||||
ASSET-BACKED SECURITIES 8.3% | ||||||||||||
ACE Securities Corp. Home Equity Loan Trust | ||||||||||||
4.669% due 07/25/2036 • | 1,699 | 1,353 | ||||||||||
Apidos CLO | ||||||||||||
0.000% due 07/22/2026 ~ | 3,000 | 1 | ||||||||||
Avoca CLO DAC | ||||||||||||
0.000% due 04/15/2034 ~ | EUR | 2,150 | 1,041 | |||||||||
Belle Haven ABS CDO Ltd. | ||||||||||||
3.998% due 07/05/2046 ~ | $ | 185,947 | 1,373 | |||||||||
Carlyle Global Market Strategies Euro CLO DAC | ||||||||||||
0.000% due 04/15/2027 ~ | EUR | 800 | 254 | |||||||||
0.000% due 01/25/2032 ~ | 2,200 | 741 | ||||||||||
Carlyle U.S. CLO Ltd. | ||||||||||||
0.000% due 10/15/2031 ~ | $ | 4,200 | 1,909 | |||||||||
CIFC Funding Ltd. | ||||||||||||
0.000% due 04/24/2030 ~ | 4,000 | 919 | ||||||||||
0.000% due 10/22/2031 ~ | 3,000 | 630 | ||||||||||
Cork Street CLO Designated Activity Co. | ||||||||||||
0.000% due 11/27/2028 ~ | EUR | 800 | 251 |
52 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
December 31, 2022 | (Unaudited) |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Countrywide Asset-Backed Certificates Trust | ||||||||||||
4.659% due 09/25/2046 ~ | $ | 12,389 | $ | 10,078 | ||||||||
CVC Cordatus Loan Fund DAC | ||||||||||||
0.000% due 04/15/2032 ~ | EUR | 2,500 | 619 | |||||||||
Duke Funding Ltd. | ||||||||||||
5.172% due 08/07/2033 • | $ | 13,845 | 2,275 | |||||||||
Glacier Funding CDO Ltd. | ||||||||||||
4.778% due 08/04/2035 ~ | 6,310 | 819 | ||||||||||
Grosvenor Place CLO BV | ||||||||||||
0.000% due 04/30/2029 ~ | EUR | 1,000 | 188 | |||||||||
Jay Park CLO Ltd. | ||||||||||||
0.000% due 10/20/2027 ~ | $ | 7,503 | 1,351 | |||||||||
Long Beach Mortgage Loan Trust | ||||||||||||
4.769% due 02/25/2036 ~ | 999 | 819 | ||||||||||
Man GLG Euro CLO DAC | ||||||||||||
0.000% due 10/15/2030 ~ | EUR | 4,150 | 1,289 | |||||||||
Marlette Funding Trust | ||||||||||||
0.000% due 12/15/2028 «(f) | $ | 24 | 1,778 | |||||||||
0.000% due 04/16/2029 «(f) | 7 | 400 | ||||||||||
0.000% due 07/16/2029 «(f) | 10 | 740 | ||||||||||
Merrill Lynch Mortgage Investors Trust | ||||||||||||
4.336% due 04/25/2037 ~ | 627 | 314 | ||||||||||
Morgan Stanley Mortgage Loan Trust | ||||||||||||
6.459% due 11/25/2036 ^~ | 692 | 267 | ||||||||||
6.465% due 09/25/2046 ^þ | 5,754 | 2,205 | ||||||||||
People’s Financial Realty Mortgage Securities Trust | ||||||||||||
4.549% due 09/25/2036 • | 19,933 | 3,996 | ||||||||||
Renaissance Home Equity Loan Trust | ||||||||||||
6.998% due 09/25/2037 ^þ | 6,563 | 3,081 | ||||||||||
7.238% due 09/25/2037 ^þ | 5,678 | 2,665 | ||||||||||
Segovia European CLO DAC | ||||||||||||
0.000% due 04/15/2035 ~ | EUR | 1,100 | 449 | |||||||||
Sherwood Funding CDO Ltd. | ||||||||||||
4.545% due 11/06/2039 ~ | $ | 31,208 | 7,510 | |||||||||
SLM Student Loan Trust | ||||||||||||
0.000% due 01/25/2042 «(f) | 2 | 545 | ||||||||||
SMB Private Education Loan Trust | ||||||||||||
0.000% due 10/15/2048 «(f) | 5 | 1,460 | ||||||||||
South Coast Funding Ltd. | ||||||||||||
5.192% due 08/10/2038 • | 24,720 | 1,942 | ||||||||||
Specialty Underwriting & Residential Finance Trust | ||||||||||||
5.364% due 06/25/2036 ~ | 409 | 316 | ||||||||||
Washington Mutual Asset-Backed Certificates Trust | ||||||||||||
4.689% due 05/25/2036 • | 154 | 118 | ||||||||||
Total Asset-Backed Securities (Cost $124,365) | 53,696 | |||||||||||
SOVEREIGN ISSUES 1.5% | ||||||||||||
Argentina Government International Bond | ||||||||||||
0.500% due 07/09/2030 þ | 9,019 | 2,086 | ||||||||||
1.000% due 07/09/2029 | 163 | 44 | ||||||||||
1.500% due 07/09/2035 þ | 8,535 | 1,933 | ||||||||||
1.500% due 07/09/2046 þ | 115 | 30 | ||||||||||
3.500% due 07/09/2041 þ(k) | 9,486 | 2,720 | ||||||||||
3.875% due 01/09/2038 þ(k) | 1,326 | 422 | ||||||||||
15.500% due 10/17/2026 | ARS | 38,100 | 29 | |||||||||
Autonomous City of Buenos Aires | ||||||||||||
72.479% (BADLARPP + 3.250%) due 03/29/2024 ~ | 47,730 | 149 | ||||||||||
72.986% (BADLARPP + 3.750%) due 02/22/2028 ~ | 34,626 | 99 | ||||||||||
Ghana Government International Bond | ||||||||||||
6.375% due 02/11/2027 ^(c) | $ | 600 | 233 | |||||||||
7.875% due 02/11/2035 ^(c) | 600 | 218 | ||||||||||
8.750% due 03/11/2061 ^(c) | 200 | 71 | ||||||||||
Provincia de Buenos Aires | ||||||||||||
72.913% due 04/12/2025 | ARS | 270,895 | 747 | |||||||||
Republic of Greece Government International Bond | ||||||||||||
2.000% due 04/22/2027 | EUR | 55 | 55 | |||||||||
3.900% due 01/30/2033 | 122 | 125 | ||||||||||
4.000% due 01/30/2037 | 96 | 96 | ||||||||||
4.200% due 01/30/2042 | 119 | 128 | ||||||||||
Ukraine Government International Bond | ||||||||||||
4.375% due 01/27/2032 ^(c) | 1,471 | 293 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Venezuela Government International Bond | ||||||||||||
8.250% due 10/13/2024 ^(c) | $ | 34 | $ | 3 | ||||||||
9.250% due 09/15/2027 ^(c) | 452 | 43 | ||||||||||
Total Sovereign Issues (Cost $24,022) | 9,524 | |||||||||||
SHARES | ||||||||||||
COMMON STOCKS 4.9% | ||||||||||||
COMMUNICATION SERVICES 0.4% | ||||||||||||
Clear Channel Outdoor Holdings, Inc. (d) | 754,306 | 792 | ||||||||||
iHeartMedia, Inc. ‘A’ (d) | 178,528 | 1,095 | ||||||||||
iHeartMedia, Inc. ‘B’ «(d) | 138,545 | 764 | ||||||||||
2,651 | ||||||||||||
CONSUMER STAPLES 0.0% | ||||||||||||
Promotora de Informaciones SA | 282,619 | 85 | ||||||||||
ENERGY 0.5% | ||||||||||||
Axis Energy Services ‘A’ «(d)(i) | 6,207 | 216 | ||||||||||
Noble Corp. PLC (d) | 71,622 | 2,701 | ||||||||||
2,917 | ||||||||||||
FINANCIALS 1.1% | ||||||||||||
Banca Monte dei Paschi di Siena SpA (d) | 886,500 | 1,826 | ||||||||||
Intelsat SA «(d)(i) | 221,868 | 5,325 | ||||||||||
7,151 | ||||||||||||
INDUSTRIALS 2.9% | ||||||||||||
Neiman Marcus Group Ltd. LLC «(d)(i) | 90,604 | 15,951 | ||||||||||
Syniverse Holdings, Inc. «(i) | 2,333,246 | 2,243 | ||||||||||
Voyager Aviation Holdings LLC «(d) | 1,009 | 0 | ||||||||||
Westmoreland Mining Holdings «(d)(i) | 88,291 | 662 | ||||||||||
18,856 | ||||||||||||
Total Common Stocks (Cost $37,165) | 31,660 | |||||||||||
RIGHTS 0.0% | ||||||||||||
FINANCIALS 0.0% | ||||||||||||
Intelsat Jackson Holdings SA «(d) | 23,289 | 157 | ||||||||||
Total Rights (Cost $0) | 157 | |||||||||||
WARRANTS 1.7% | ||||||||||||
FINANCIALS 0.0% | ||||||||||||
Intelsat Emergence SA - Exp. 02/17/2027 « | 250 | 1 | ||||||||||
Intelsat Jackson Holdings SA‑Exp. 12/05/2025 « | 23,229 | 174 | ||||||||||
175 | ||||||||||||
INFORMATION TECHNOLOGY 1.7% | ||||||||||||
Windstream Holdings LLC - Exp. 9/21/2055 « | 537,548 | 10,882 | ||||||||||
Total Warrants (Cost $13,446) | 11,057 | |||||||||||
PREFERRED SECURITIES 5.6% | ||||||||||||
BANKING & FINANCE 5.4% | ||||||||||||
AGFC Capital Trust | ||||||||||||
5.829% (US0003M + 1.750%) due 01/15/2067 ~(k) | 27,410,000 | 15,372 |
SHARES | MARKET VALUE (000S) | |||||||||||
Brighthouse Holdings LLC | ||||||||||||
6.500% due 07/27/2037 þ(g) | 70,000 | $ | 63 | |||||||||
Compeer Financial ACA | ||||||||||||
4.875% due 08/15/2026 •(g) | 2,100,000 | 2,088 | ||||||||||
OCP CLO Ltd. | ||||||||||||
0.000% due 04/26/2028 (f) | 8,700 | 3,957 | ||||||||||
Stichting AK Rabobank Certificaten | ||||||||||||
6.500% due 12/29/2049 þ(g) | 12,890,000 | 13,269 | ||||||||||
34,749 | ||||||||||||
INDUSTRIALS 0.2% | ||||||||||||
Voyager Aviation Holdings LLC « | 6,055 | 1,625 | ||||||||||
Total Preferred Securities (Cost $40,285) | 36,374 | |||||||||||
REAL ESTATE INVESTMENT TRUSTS 0.8% | ||||||||||||
REAL ESTATE 0.8% | ||||||||||||
CBL & Associates Properties, Inc. | 14,084 | 325 | ||||||||||
Uniti Group, Inc. | 261,443 | 1,446 | ||||||||||
VICI Properties, Inc. | 95,221 | 3,085 | ||||||||||
Total Real Estate Investment Trusts (Cost $1,770) | 4,856 | |||||||||||
PRINCIPAL AMOUNT (000S) | ||||||||||||
SHORT-TERM INSTRUMENTS 16.0% | ||||||||||||
REPURCHASE AGREEMENTS (j) 15.3% | ||||||||||||
98,910 | ||||||||||||
U.S. TREASURY BILLS 0.7% | ||||||||||||
3.779% due 01/05/2023 - 03/02/2023 (e)(f)(n) | $ | 4,442 | 4,432 | |||||||||
Total Short-Term Instruments (Cost $103,343) | 103,342 | |||||||||||
Total Investments in Securities (Cost $1,046,627) | 846,141 | |||||||||||
Total Investments 130.8% (Cost $1,046,627) | $ | 846,141 | ||||||||||
Financial Derivative Instruments (l)(m) (0.2)% (Cost or Premiums, net $54,492) | (1,199 | ) | ||||||||||
Auction-Rate Preferred Shares (9.0)% | (58,050 | ) | ||||||||||
Other Assets and Liabilities, net (21.6)% | (139,821 | ) | ||||||||||
Net Assets Applicable to Common Shareholders 100.0% | $ | 647,071 | ||||||||||
See Accompanying Notes | SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 53 |
Schedule of Investments | PIMCO High Income Fund | (Cont.) |
* | 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. |
þ | Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end. |
(a) | Security is an Interest Only (“IO”) or IO Strip. |
(b) | Payment in‑kind 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. |
Issuer Description | Acquisition Date | Cost | Market Value | Market Value as Percentage of Net Assets Applicable to Common Shareholders | ||||||||||||
Axis Energy Services ‘A’ | 07/01/2021 | $ | 91 | $ | 216 | 0.03 | % | |||||||||
Intelsat SA | 06/19/2017 ‑ 02/23/2022 | 15,920 | 5,325 | 0.82 | ||||||||||||
Neiman Marcus Group Ltd. LLC | 09/25/2020 | 2,918 | 15,951 | 2.47 | ||||||||||||
Syniverse Holdings, Inc. | 05/12/2022 - 11/30/2022 | 2,289 | 2,243 | 0.35 | ||||||||||||
Westmoreland Mining Holdings | 07/11/2016 - 10/19/2016 | 2,160 | 662 | 0.10 | ||||||||||||
$ | 23,378 | $ | 24,397 | 3.77 | % | |||||||||||
Counterparty | Lending Rate | Settlement Date | Maturity Date | Principal Amount | Collateralized By | Collateral (Received) | Repurchase Agreements, at Value | Repurchase Agreement Proceeds to be Received(1) | ||||||||||||||||||||||
FICC | 1.900 | % | 12/30/2022 | 01/03/2023 | $ | 910 | U.S. Treasury Bills 0.000% due 06/08/2023 | $ | (928 | ) | $ | 910 | $ | 910 | ||||||||||||||||
4.280 | 12/30/2022 | 01/03/2023 | 98,000 | U.S. Treasury Inflation Protected Securities 0.250% due 07/15/2029 | (9,644 | ) | 98,000 | 98,047 | ||||||||||||||||||||||
U.S. Treasury Notes 2.625% due 07/31/2029 | (90,316 | ) | ||||||||||||||||||||||||||||
Total Repurchase Agreements | $ | (100,888 | ) | $ | 98,910 | $ | 98,957 | |||||||||||||||||||||||
Counterparty | Borrowing Rate(2) | Settlement Date | Maturity Date | Amount Borrowed(2) | Payable for Reverse Repurchase Agreements | |||||||||||||||||||
BOS | 3.760 | % | 11/17/2022 | 01/10/2023 | $ | (2,619 | ) | $ | (2,632 | ) | ||||||||||||||
3.760 | 11/25/2022 | 01/10/2023 | (3,489 | ) | (3,503 | ) | ||||||||||||||||||
BPS | 0.000 | 11/15/2022 | 02/13/2023 | (803 | ) | (803 | ) | |||||||||||||||||
2.330 | 11/22/2022 | 02/22/2023 | EUR | (2,992 | ) | (3,212 | ) | |||||||||||||||||
3.550 | 08/02/2022 | 02/02/2023 | $ | (6,207 | ) | (6,301 | ) | |||||||||||||||||
3.550 | 09/02/2022 | 02/02/2023 | (764 | ) | (774 | ) | ||||||||||||||||||
3.550 | 12/14/2022 | 02/02/2023 | (1,321 | ) | (1,324 | ) | ||||||||||||||||||
3.760 | 08/31/2022 | 02/13/2023 | (2,295 | ) | (2,325 | ) | ||||||||||||||||||
3.760 | 10/07/2022 | 02/13/2023 | (254 | ) | (256 | ) |
54 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
December 31, 2022 | (Unaudited) |
Counterparty | Borrowing Rate(2) | Settlement Date | Maturity Date | Amount Borrowed(2) | Payable for Reverse Repurchase Agreements | |||||||||||||||||||
3.760 | % | 11/09/2022 | 02/13/2023 | $ | (4,173 | ) | $ | (4,197 | ) | |||||||||||||||
3.760 | 11/15/2022 | 02/13/2023 | (1,840 | ) | (1,850 | ) | ||||||||||||||||||
3.935 | 09/01/2022 | 03/01/2023 | (912 | ) | (924 | ) | ||||||||||||||||||
4.220 | 11/14/2022 | 03/14/2023 | (1,046 | ) | (1,052 | ) | ||||||||||||||||||
4.600 | 09/22/2022 | 03/23/2023 | (3,397 | ) | (3,442 | ) | ||||||||||||||||||
4.600 | 10/26/2022 | 01/19/2023 | (4,019 | ) | (4,055 | ) | ||||||||||||||||||
4.620 | 09/23/2022 | 03/23/2023 | (1,821 | ) | (1,845 | ) | ||||||||||||||||||
4.620 | 10/05/2022 | 03/23/2023 | (1,567 | ) | (1,585 | ) | ||||||||||||||||||
4.720 | 10/26/2022 | 01/30/2023 | (1,938 | ) | (1,955 | ) | ||||||||||||||||||
4.720 | 10/27/2022 | 01/30/2023 | (3,366 | ) | (3,396 | ) | ||||||||||||||||||
4.720 | 10/28/2022 | 01/31/2023 | (518 | ) | (522 | ) | ||||||||||||||||||
BRC | 7.000 | 12/21/2022 | TBD | (3) | EUR | (1,441 | ) | (1,543 | ) | |||||||||||||||
BYR | 4.950 | 09/26/2022 | 03/24/2023 | $ | (6,912 | ) | (6,967 | ) | ||||||||||||||||
4.950 | 11/23/2022 | 03/24/2023 | (1,253 | ) | (1,259 | ) | ||||||||||||||||||
4.950 | 12/01/2022 | 03/24/2023 | (507 | ) | (509 | ) | ||||||||||||||||||
4.960 | 10/11/2022 | 04/11/2023 | (1,822 | ) | (1,837 | ) | ||||||||||||||||||
4.960 | 10/17/2022 | 03/17/2023 | (14 | ) | (14 | ) | ||||||||||||||||||
CDC | 3.270 | 08/04/2022 | 01/09/2023 | (2,137 | ) | (2,166 | ) | |||||||||||||||||
3.270 | 09/26/2022 | 01/09/2023 | (3,052 | ) | (3,079 | ) | ||||||||||||||||||
3.270 | 12/14/2022 | 01/09/2023 | (1,144 | ) | (1,146 | ) | ||||||||||||||||||
3.990 | 10/27/2022 | 03/03/2023 | (2,747 | ) | (2,767 | ) | ||||||||||||||||||
3.990 | 11/03/2022 | 03/03/2023 | (263 | ) | (265 | ) | ||||||||||||||||||
4.450 | 10/14/2022 | 02/13/2023 | (545 | ) | (551 | ) | ||||||||||||||||||
4.450 | 10/31/2022 | 01/30/2023 | (2,524 | ) | (2,544 | ) | ||||||||||||||||||
4.450 | 11/07/2022 | 01/30/2023 | (1,374 | ) | (1,384 | ) | ||||||||||||||||||
4.610 | 10/21/2022 | 02/17/2023 | (1,500 | ) | (1,514 | ) | ||||||||||||||||||
4.620 | 10/14/2022 | 02/13/2023 | (7,089 | ) | (7,163 | ) | ||||||||||||||||||
4.620 | 11/02/2022 | 02/13/2023 | (498 | ) | (502 | ) | ||||||||||||||||||
4.620 | 11/07/2022 | 02/13/2023 | (8,485 | ) | (8,547 | ) | ||||||||||||||||||
4.620 | 11/15/2022 | 02/13/2023 | (2,308 | ) | (2,323 | ) | ||||||||||||||||||
4.620 | 11/23/2022 | 02/13/2023 | (2,190 | ) | (2,202 | ) | ||||||||||||||||||
4.730 | 10/31/2022 | 01/30/2023 | (12,668 | ) | (12,774 | ) | ||||||||||||||||||
4.760 | 10/07/2022 | 04/05/2023 | (885 | ) | (895 | ) | ||||||||||||||||||
4.860 | 11/07/2022 | 02/07/2023 | (4,141 | ) | (4,173 | ) | ||||||||||||||||||
4.860 | 11/23/2022 | 02/07/2023 | (2,190 | ) | (2,202 | ) | ||||||||||||||||||
CEW | 2.400 | 08/05/2022 | TBD | (3) | GBP | (791 | ) | (963 | ) | |||||||||||||||
CIB | 4.600 | 10/17/2022 | 01/17/2023 | $ | (6 | ) | (6 | ) | ||||||||||||||||
IND | 4.530 | 10/28/2022 | 01/31/2023 | (2,681 | ) | (2,704 | ) | |||||||||||||||||
4.980 | 11/07/2022 | 03/07/2023 | (4,330 | ) | (4,364 | ) | ||||||||||||||||||
5.080 | 11/07/2022 | 03/07/2023 | (586 | ) | (591 | ) | ||||||||||||||||||
JML | 1.000 | 09/14/2022 | TBD | (3) | EUR | (95 | ) | (101 | ) | |||||||||||||||
1.500 | 09/14/2022 | TBD | (3) | (451 | ) | (484 | ) | |||||||||||||||||
2.050 | 09/14/2022 | TBD | (3) | (8,267 | ) | (8,871 | ) | |||||||||||||||||
4.750 | 12/16/2022 | 02/03/2023 | $ | (1,619 | ) | (1,623 | ) | |||||||||||||||||
MEI | 4.720 | 10/24/2022 | 01/27/2023 | (207 | ) | (209 | ) | |||||||||||||||||
4.770 | 10/24/2022 | 01/27/2023 | (704 | ) | (710 | ) | ||||||||||||||||||
RCY | 4.170 | 09/16/2022 | 01/17/2023 | (1,323 | ) | (1,340 | ) | |||||||||||||||||
4.590 | 10/17/2022 | 02/17/2023 | (332 | ) | (335 | ) | ||||||||||||||||||
RDR | 4.260 | 10/06/2022 | 02/03/2023 | (2,294 | ) | (2,318 | ) | |||||||||||||||||
4.430 | 10/26/2022 | 01/30/2023 | (750 | ) | (756 | ) | ||||||||||||||||||
4.500 | 10/31/2022 | 01/30/2023 | (2,533 | ) | (2,553 | ) | ||||||||||||||||||
4.700 | 11/10/2022 | 02/10/2023 | (1,286 | ) | (1,295 | ) | ||||||||||||||||||
SOG | 4.640 | 10/14/2022 | 02/14/2023 | (2,087 | ) | (2,109 | ) | |||||||||||||||||
4.640 | 11/16/2022 | 02/14/2023 | (522 | ) | (525 | ) | ||||||||||||||||||
4.660 | 10/24/2022 | 01/24/2023 | (1,570 | ) | (1,585 | ) | ||||||||||||||||||
4.660 | 10/25/2022 | 01/25/2023 | (504 | ) | (509 | ) | ||||||||||||||||||
4.660 | 10/28/2022 | 01/24/2023 | (1,092 | ) | (1,101 | ) | ||||||||||||||||||
4.660 | 11/18/2022 | 01/24/2023 | (2,809 | ) | (2,825 | ) | ||||||||||||||||||
4.750 | 10/31/2022 | 01/31/2023 | (499 | ) | (503 | ) | ||||||||||||||||||
4.790 | 11/02/2022 | 02/02/2023 | (1,193 | ) | (1,203 | ) | ||||||||||||||||||
4.790 | 11/04/2022 | 02/02/2023 | (682 | ) | (687 | ) | ||||||||||||||||||
4.820 | 12/23/2022 | 02/22/2023 | (834 | ) | (835 | ) | ||||||||||||||||||
4.830 | 11/04/2022 | 02/06/2023 | (1,221 | ) | (1,231 | ) | ||||||||||||||||||
4.830 | 12/12/2022 | 02/06/2023 | (702 | ) | (705 | ) | ||||||||||||||||||
4.900 | 10/12/2022 | 04/12/2023 | (5,740 | ) | (5,805 | ) | ||||||||||||||||||
4.900 | 11/04/2022 | 04/12/2023 | (801 | ) | (807 | ) | ||||||||||||||||||
4.990 | 11/16/2022 | 03/07/2023 | (3,339 | ) | (3,361 | ) | ||||||||||||||||||
UBS | 2.150 | 11/22/2022 | 02/20/2023 | EUR | (2,286 | ) | (2,453 | ) | ||||||||||||||||
4.840 | 11/02/2022 | 02/03/2023 | $ | (9,596 | ) | (9,676 | ) | |||||||||||||||||
Total Reverse Repurchase Agreements | $ | (179,422 | ) | |||||||||||||||||||||
See Accompanying Notes | SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 55 |
Schedule of Investments | PIMCO High Income Fund | (Cont.) |
Counterparty | Repurchase Agreement Proceeds to be Received(1) | Payable for Reverse Repurchase Agreements | Payable for Sale‑Buyback Transactions | Total Borrowings and Other Financing Transactions | Collateral Pledged/(Received) | Net Exposure(4) | ||||||||||||||||||
Global/Master Repurchase Agreement | ||||||||||||||||||||||||
BOS | $ | 0 | $ | (6,135 | ) | $ | 0 | $ | (6,135 | ) | $ | 6,538 | $ | 403 | ||||||||||
BPS | 0 | (39,818 | ) | 0 | (39,818 | ) | 46,693 | 6,875 | ||||||||||||||||
BRC | 0 | (1,543 | ) | 0 | (1,543 | ) | 1,248 | (295 | ) | |||||||||||||||
BYR | 0 | (10,586 | ) | 0 | (10,586 | ) | 12,057 | 1,471 | ||||||||||||||||
CDC | 0 | (56,197 | ) | 0 | (56,197 | ) | 64,731 | 8,534 | ||||||||||||||||
CEW | 0 | (963 | ) | 0 | (963 | ) | 891 | (72 | ) | |||||||||||||||
CIB | 0 | (6 | ) | 0 | (6 | ) | 7 | 1 | ||||||||||||||||
FICC | 98,957 | 0 | 0 | 98,957 | (100,888 | ) | (1,931 | ) | ||||||||||||||||
IND | 0 | (7,659 | ) | 0 | (7,659 | ) | 9,129 | 1,470 | ||||||||||||||||
JML | 0 | (11,079 | ) | 0 | (11,079 | ) | 12,030 | 951 | ||||||||||||||||
MEI | 0 | (919 | ) | 0 | (919 | ) | 1,094 | 175 | ||||||||||||||||
RCY | 0 | (1,675 | ) | 0 | (1,675 | ) | 1,904 | 229 | ||||||||||||||||
RDR | 0 | (6,922 | ) | 0 | (6,922 | ) | 6,954 | 32 | ||||||||||||||||
SOG | 0 | (23,791 | ) | 0 | (23,791 | ) | 27,497 | 3,706 | ||||||||||||||||
UBS | 0 | (12,129 | ) | 0 | (12,129 | ) | 14,362 | 2,233 | ||||||||||||||||
Total Borrowings and Other Financing Transactions | $ | 98,957 | $ | (179,422 | ) | $ | 0 | |||||||||||||||||
Overnight and Continuous | Up to 30 days | 31‑90 days | Greater Than 90 days | Total | ||||||||||||||||
Reverse Repurchase Agreements | ||||||||||||||||||||
Corporate Bonds & Notes | $ | 0 | $ | (36,308 | ) | $ | (105,930 | ) | $ | (21,305 | ) | $ | (163,543 | ) | ||||||
U.S. Government Agencies | 0 | (1,346 | ) | (335 | ) | 0 | (1,681 | ) | ||||||||||||
Sovereign Issues | 0 | 0 | (1,623 | ) | 0 | (1,623 | ) | |||||||||||||
Preferred Securities | 0 | (12,575 | ) | 0 | 0 | (12,575 | ) | |||||||||||||
Total Borrowings | $ | 0 | $ | (50,229 | ) | $ | (107,888 | ) | $ | (21,305 | ) | $ | (179,422 | ) | ||||||
Payable for reverse repurchase agreements | $ | (179,422 | ) | |||||||||||||||||
(k) | Securities with an aggregate market value of $211,410 have been pledged as collateral under the terms of the above master agreements as of December 31, 2022. |
(1) | Includes accrued interest. |
(2) | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(213,714) at a weighted average interest rate of 2.778%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. |
(3) | Open maturity reverse repurchase agreement. |
(4) | Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information. |
Reference Entity | Fixed Receive Rate | Payment Frequency | Maturity Date | Implied Credit Spread at December 31, 2022(2) | Notional Amount(3) | Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | Market Value(4) | Variation Margin | |||||||||||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||||||||||||
Bombardier, Inc. | 5.000 | % | Quarterly | 12/20/2024 | 2.780 | % | $ | 2,000 | $ | (8 | ) | $ | 93 | $ | 85 | $ | 0 | $ | 0 | |||||||||||||||||||||||||
Jaguar Land Rover Automotive | 5.000 | Quarterly | 06/20/2026 | 9.564 | EUR | 900 | 63 | (178 | ) | (115 | ) | 1 | 0 | |||||||||||||||||||||||||||||||
Rolls-Royce PLC | 1.000 | Quarterly | 12/20/2025 | 2.767 | 9,400 | (1,005 | ) | 525 | (480 | ) | 1 | 0 | ||||||||||||||||||||||||||||||||
Rolls-Royce PLC | 1.000 | Quarterly | 06/20/2027 | 3.357 | 3,000 | (227 | ) | (62 | ) | (289 | ) | 0 | (3 | ) | ||||||||||||||||||||||||||||||
$ | (1,177 | ) | $ | 378 | $ | (799 | ) | $ | 2 | $ | (3 | ) | ||||||||||||||||||||||||||||||||
56 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
December 31, 2022 | (Unaudited) |
Pay/Receive Floating Rate | Floating Rate Index | Fixed Rate | Payment Frequency | Maturity Date | Notional Amount | Premiums Paid/(Received) | Unrealized Appreciation/ (Depreciation) | Market Value | Variation Margin | |||||||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||||||||
Receive | 1‑Day GBP‑SONIO Compounded‑OIS | 0.750 | % | Annual | 09/21/2032 | GBP | 13,400 | $ | 1,297 | $ | 2,668 | $ | 3,965 | $ | 10 | $ | 0 | |||||||||||||||||||||||
Receive(5) | 1‑Day GBP‑SONIO Compounded‑OIS | 2.000 | Annual | 03/15/2033 | 6,900 | 768 | 407 | 1,175 | 4 | 0 | ||||||||||||||||||||||||||||||
Receive | 1‑Day GBP‑SONIO Compounded‑OIS | 0.750 | Annual | 09/21/2052 | 2,700 | (7 | ) | 1,625 | 1,618 | 4 | 0 | |||||||||||||||||||||||||||||
Receive(5) | 1‑Day USD‑SOFR Compounded‑OIS | 2.450 | Annual | 12/20/2024 | $ | 27,200 | (2 | ) | 407 | 405 | 14 | 0 | ||||||||||||||||||||||||||||
Pay | 1‑Day USD‑SOFR Compounded‑OIS | 2.000 | Annual | 12/21/2024 | 370,800 | (16,297 | ) | (1,231 | ) | (17,528 | ) | 0 | (341 | ) | ||||||||||||||||||||||||||
Receive(5) | 1‑Day USD‑SOFR Compounded‑OIS | 2.350 | Annual | 01/17/2025 | 13,700 | 2 | 201 | 203 | 5 | 0 | ||||||||||||||||||||||||||||||
Receive(5) | 1‑Day USD‑SOFR Compounded‑OIS | 2.300 | Annual | 01/17/2026 | 2,200 | 1 | 51 | 52 | 2 | 0 | ||||||||||||||||||||||||||||||
Pay | 1‑Day USD‑SOFR Compounded‑OIS | 1.750 | Annual | 06/15/2027 | 112,200 | (2,687 | ) | (7,328 | ) | (10,015 | ) | 0 | (229 | ) | ||||||||||||||||||||||||||
Pay | 1‑Day USD‑SOFR Compounded‑OIS | 2.000 | Annual | 12/21/2029 | 53,300 | (5,501 | ) | 162 | (5,339 | ) | 0 | (105 | ) | |||||||||||||||||||||||||||
Receive | 1‑Day USD‑SOFR Compounded‑OIS | 1.250 | Annual | 06/15/2032 | 87,000 | 4,224 | 12,522 | 16,746 | 299 | 0 | ||||||||||||||||||||||||||||||
Receive | 1‑Day USD‑SOFR Compounded‑OIS | 1.750 | Annual | 06/15/2032 | 59,500 | 2,570 | 6,354 | 8,924 | 206 | 0 | ||||||||||||||||||||||||||||||
Receive | 3‑Month USD‑LIBOR | 1.000 | Semi-Annual | 06/17/2023 | 17,400 | (376 | ) | 726 | 350 | 9 | 0 | |||||||||||||||||||||||||||||
Receive | 3‑Month USD‑LIBOR | 0.250 | Semi-Annual | 06/16/2024 | 14,250 | 39 | 938 | 977 | 17 | 0 | ||||||||||||||||||||||||||||||
Receive | 3‑Month USD‑LIBOR | 3.000 | Semi-Annual | 06/19/2024 | 1,900 | (32 | ) | 87 | 55 | 2 | 0 | |||||||||||||||||||||||||||||
Receive | 3‑Month USD‑LIBOR | 0.400 | Semi-Annual | 12/18/2024 | 72,000 | (205 | ) | 6,153 | 5,948 | 109 | 0 | |||||||||||||||||||||||||||||
Receive | 3‑Month USD‑LIBOR | 0.850 | Semi-Annual | 02/01/2027 | 43,700 | 343 | 5,165 | 5,508 | 63 | 0 | ||||||||||||||||||||||||||||||
Receive | 3‑Month USD‑LIBOR | 1.370 | Semi-Annual | 08/25/2028 | 27,135 | 0 | 3,561 | 3,561 | 52 | 0 | ||||||||||||||||||||||||||||||
Pay | 3‑Month USD‑LIBOR | 3.000 | Semi-Annual | 06/19/2029 | 79,200 | 1,687 | (5,942 | ) | (4,255 | ) | 0 | (171 | ) | |||||||||||||||||||||||||||
Receive | 3‑Month USD‑LIBOR | 1.000 | Semi-Annual | 12/16/2030 | 127 | 1 | 24 | 25 | 0 | 0 | ||||||||||||||||||||||||||||||
Receive | 3‑Month USD‑LIBOR | 0.750 | Semi-Annual | 06/16/2031 | 7,300 | 517 | 1,131 | 1,648 | 17 | 0 | ||||||||||||||||||||||||||||||
Receive | 3‑Month USD‑LIBOR | 1.350 | Semi‑Annual | 02/09/2032 | 139,800 | 581 | 26,015 | 26,596 | 0 | (59 | ) | |||||||||||||||||||||||||||||
Pay | 3‑Month USD‑LIBOR | 3.500 | Semi-Annual | 06/19/2044 | 395,600 | 70,742 | (81,523 | ) | (10,781 | ) | 295 | 0 | ||||||||||||||||||||||||||||
Receive | 3‑Month USD‑LIBOR | 2.000 | Semi-Annual | 01/15/2050 | 35,600 | (256 | ) | 9,977 | 9,721 | 170 | 0 | |||||||||||||||||||||||||||||
Receive | 3‑Month USD‑LIBOR | 1.750 | Semi-Annual | 01/22/2050 | 55,100 | (127 | ) | 17,648 | 17,521 | 258 | 0 | |||||||||||||||||||||||||||||
Receive | 3‑Month USD‑LIBOR | 1.875 | Semi-Annual | 02/07/2050 | 42,480 | (165 | ) | 12,714 | 12,549 | 205 | 0 | |||||||||||||||||||||||||||||
Pay | 3‑Month USD‑LIBOR | 2.000 | Semi-Annual | 12/15/2051 | 29,200 | 2,124 | (10,283 | ) | (8,159 | ) | 0 | (146 | ) | |||||||||||||||||||||||||||
Receive | 3‑Month USD‑LIBOR | 1.700 | Semi-Annual | 02/01/2052 | 223,450 | (4,286 | ) | 77,420 | 73,134 | 0 | (285 | ) | ||||||||||||||||||||||||||||
Receive | 6‑Month EUR‑EURIBOR | 0.270 | Annual | 09/11/2024 | EUR | 25,600 | 4 | 1,455 | 1,459 | 37 | 0 | |||||||||||||||||||||||||||||
Pay | 6‑Month EUR‑EURIBOR | 0.650 | Annual | 02/26/2029 | 65,500 | 66 | (9,729 | ) | (9,663 | ) | 0 | (203 | ) | |||||||||||||||||||||||||||
Receive | 6‑Month EUR‑EURIBOR | 0.150 | Annual | 06/17/2030 | 24,100 | (1,059 | ) | 6,222 | 5,163 | 77 | 0 | |||||||||||||||||||||||||||||
Receive | 6‑Month EUR‑EURIBOR | 0.250 | Annual | 09/21/2032 | 3,200 | 290 | 562 | 852 | 16 | 0 | ||||||||||||||||||||||||||||||
Receive | 6‑Month EUR‑EURIBOR | 1.250 | Annual | 08/19/2049 | 18,200 | 76 | 4,880 | 4,956 | 161 | 0 | ||||||||||||||||||||||||||||||
Pay | 6‑Month EUR‑EURIBOR | 0.500 | Annual | 06/17/2050 | 7,700 | 1,317 | (4,599 | ) | (3,282 | ) | 0 | (60 | ) | |||||||||||||||||||||||||||
Receive(5) | 6‑Month EUR‑EURIBOR | 0.830 | Annual | 12/09/2052 | 9,900 | 24 | 294 | 318 | 14 | 0 | ||||||||||||||||||||||||||||||
$ | 55,673 | $ | 78,734 | $ | 134,407 | $ | 2,046 | $ | (1,599 | ) | ||||||||||||||||||||||||||||||
Total Swap Agreements | $ | 54,496 | $ | 79,112 | $ | 133,608 | $ | 2,048 | $ | (1,602 | ) | |||||||||||||||||||||||||||||
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 | $ | 2,048 | $ | 2,048 | $ | 0 | $ | 0 | $ | (1,602) | $ | (1,602) | ||||||||||||||||||||
(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, 2022 | 57 |
Schedule of Investments | PIMCO High 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 underlying referenced instrument’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(5) | This instrument has a forward starting effective date. See Note 2, Securities Transactions and Investment Income, in the Notes to Financial Statements for further information. |
Counterparty | Settlement Month | Currency to be Delivered | Currency to be Received | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||
BOA | 01/2023 | EUR | 1,711 | $ | 1,811 | $ | 0 | $ | (21 | ) | ||||||||||||||
01/2023 | $ | 785 | GBP | 647 | 0 | (3 | ) | |||||||||||||||||
02/2023 | CHF | 2,069 | $ | 2,185 | 0 | (63 | ) | |||||||||||||||||
BPS | 01/2023 | $ | 356 | EUR | 334 | 2 | 0 | |||||||||||||||||
BRC | 01/2023 | 429 | 403 | 3 | 0 | |||||||||||||||||||
02/2023 | CHF | 1,064 | $ | 1,134 | 0 | (22 | ) | |||||||||||||||||
CBK | 01/2023 | $ | 343 | EUR | 323 | 2 | 0 | |||||||||||||||||
02/2023 | BRL | 6,874 | $ | 1,274 | 0 | (21 | ) | |||||||||||||||||
05/2023 | PEN | 4,729 | 1,192 | 0 | (40 | ) | ||||||||||||||||||
GLM | 05/2023 | $ | 907 | PEN | 3,610 | 33 | 0 | |||||||||||||||||
MBC | 01/2023 | EUR | 69,272 | $ | 72,611 | 0 | (1,573 | ) | ||||||||||||||||
01/2023 | GBP | 3,714 | 4,526 | 36 | 0 | |||||||||||||||||||
02/2023 | CAD | 1,431 | 1,080 | 23 | 0 | |||||||||||||||||||
MYI | 02/2023 | CHF | 156 | 167 | 0 | (2 | ) | |||||||||||||||||
Total Forward Foreign Currency Contracts | $ | 99 | $ | (1,745 | ) | |||||||||||||||||||
Counterparty | Reference Entity | Fixed Receive Rate | Payment Frequency | Maturity Date | Implied Credit Spread at December 31, 2022(2) | Notional Amount(3) | Premiums Paid/(Received) | Unrealized Appreciation/ (Depreciation) | Swap Agreements, at Value(4) | |||||||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||||||||
JPM | Banca Monte Dei Paschi Di | 5.000% | Quarterly | 06/20/2025 | 4.967% | EUR | 200 | $ | (4 | ) | $ | 5 | $ | 1 | $ | 0 | ||||||||||||||||||||||||
Total Swap Agreements | $ | (4 | ) | $ | 5 | $ | 1 | $ | 0 | |||||||||||||||||||||||||||||||
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||||||||||||||||||
Counterparty | Forward Foreign Currency Contracts | Purchased Options | Swap Agreements | Total Over the Counter | Forward Foreign Currency Contracts | Written Options | Swap Agreements | Total Over the Counter | Net Market Value of OTC Derivatives | Collateral Pledged/ (Received) | Net Exposure(5) | |||||||||||||||||||||||||||||||||||||
BOA | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | (87 | ) | $ | 0 | $ | 0 | $ | (87 | ) | $ | (87 | ) | $ | 47 | $ | (40 | ) | ||||||||||||||||||||||
BPS | 2 | 0 | 0 | 2 | 0 | 0 | 0 | 0 | 2 | 0 | 2 | |||||||||||||||||||||||||||||||||||||
BRC | 3 | 0 | 0 | 3 | (22 | ) | 0 | 0 | (22 | ) | (19 | ) | 0 | (19 | ) | |||||||||||||||||||||||||||||||||
CBK | 2 | 0 | 0 | 2 | (61 | ) | 0 | 0 | (61 | ) | (59 | ) | 0 | (59 | ) | |||||||||||||||||||||||||||||||||
GLM | 33 | 0 | 0 | 33 | 0 | 0 | 0 | 0 | 33 | 0 | 33 | |||||||||||||||||||||||||||||||||||||
JPM | 0 | 0 | 1 | 1 | 0 | 0 | 0 | 0 | 1 | 0 | 1 | |||||||||||||||||||||||||||||||||||||
MBC | 59 | 0 | 0 | 59 | (1,573 | ) | 0 | 0 | (1,573 | ) | (1,514 | ) | 991 | (523 | ) | |||||||||||||||||||||||||||||||||
MYI | 0 | 0 | 0 | 0 | (2 | ) | 0 | 0 | (2 | ) | (2 | ) | 0 | (2 | ) | |||||||||||||||||||||||||||||||||
Total Over the Counter | $ | 99 | $ | 0 | $ | 1 | $ | 100 | $ | (1,745 | ) | $ | 0 | $ | 0 | $ | (1,745 | ) | ||||||||||||||||||||||||||||||
(n) | Securities with an aggregate market value of $1,038 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022. |
(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. |
58 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
December 31, 2022 | (Unaudited) |
(2) | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(3) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(4) | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(5) | 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. |
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Exchange Contracts | Interest Rate Contracts | Total | |||||||||||||||||||
Financial Derivative Instruments - Assets | ||||||||||||||||||||||||
Exchange-traded or centrally cleared | ||||||||||||||||||||||||
Swap Agreements | $ | 0 | $ | 2 | $ | 0 | $ | 0 | $ | 2,046 | $ | 2,048 | ||||||||||||
Over the counter | ||||||||||||||||||||||||
Forward Foreign Currency Contracts | $ | 0 | $ | 0 | $ | 0 | $ | 99 | $ | 0 | $ | 99 | ||||||||||||
Swap Agreements | 0 | 1 | 0 | 0 | 0 | 1 | ||||||||||||||||||
$ | 0 | $ | 1 | $ | 0 | $ | 99 | $ | 0 | $ | 100 | |||||||||||||
$ | 0 | $ | 3 | $ | 0 | $ | 99 | $ | 2,046 | $ | 2,148 | |||||||||||||
Financial Derivative Instruments - Liabilities | ||||||||||||||||||||||||
Exchange-traded or centrally cleared | ||||||||||||||||||||||||
Swap Agreements | $ | 0 | $ | 3 | $ | 0 | $ | 0 | $ | 1,599 | $ | 1,602 | ||||||||||||
Over the counter | ||||||||||||||||||||||||
Forward Foreign Currency Contracts | $ | 0 | $ | 0 | $ | 0 | $ | 1,745 | $ | 0 | $ | 1,745 | ||||||||||||
$ | 0 | $ | 3 | $ | 0 | $ | 1,745 | $ | 1,599 | $ | 3,347 | |||||||||||||
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 | $ | 173 | $ | 0 | $ | 0 | $ | 38,540 | $ | 38,713 | ||||||||||||
Over the counter | ||||||||||||||||||||||||
Forward Foreign Currency Contracts | $ | 0 | $ | 0 | $ | 0 | $ | 3,395 | $ | 0 | $ | 3,395 | ||||||||||||
Swap Agreements | 0 | 5 | 0 | 0 | 0 | 5 | ||||||||||||||||||
$ | 0 | $ | 5 | $ | 0 | $ | 3,395 | $ | 0 | $ | 3,400 | |||||||||||||
$ | 0 | $ | 178 | $ | 0 | $ | 3,395 | $ | 38,540 | $ | 42,113 | |||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative Instruments | ||||||||||||||||||||||||
Exchange-traded or centrally cleared | ||||||||||||||||||||||||
Swap Agreements | $ | 0 | $ | 922 | $ | 0 | $ | 0 | $ | (29,097 | ) | $ | (28,175 | ) | ||||||||||
Over the counter | ||||||||||||||||||||||||
Forward Foreign Currency Contracts | $ | 0 | $ | 0 | $ | 0 | $ | (4,146 | ) | $ | 0 | $ | (4,146 | ) | ||||||||||
Swap Agreements | 0 | 9 | 0 | 0 | 0 | 9 | ||||||||||||||||||
$ | 0 | $ | 9 | $ | 0 | $ | (4,146 | ) | $ | 0 | $ | (4,137 | ) | |||||||||||
$ | 0 | $ | 931 | $ | 0 | $ | (4,146 | ) | $ | (29,097 | ) | $ | (32,312 | ) | ||||||||||
See Accompanying Notes | SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 59 |
Schedule of Investments | PIMCO High Income Fund | (Cont.) |
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2022 | ||||||||||||
Investments in Securities, at Value | ||||||||||||||||
Loan Participations and Assignments | $ | 0 | $ | 161,183 | $ | 27,729 | $ | 188,912 | ||||||||
Corporate Bonds & Notes | ||||||||||||||||
Banking & Finance | 0 | 70,222 | 0 | 70,222 | ||||||||||||
Industrials | 0 | 177,794 | 0 | 177,794 | ||||||||||||
Utilities | 0 | 43,907 | 0 | 43,907 | ||||||||||||
Convertible Bonds & Notes | ||||||||||||||||
Industrials | 0 | 3,208 | 0 | 3,208 | ||||||||||||
Municipal Bonds & Notes | ||||||||||||||||
District of Columbia | 0 | 10,803 | 0 | 10,803 | ||||||||||||
Illinois | 0 | 13,277 | 0 | 13,277 | ||||||||||||
Puerto Rico | 0 | 716 | 0 | 716 | ||||||||||||
Texas | 0 | 8,086 | 0 | 8,086 | ||||||||||||
West Virginia | 0 | 4,929 | 0 | 4,929 | ||||||||||||
U.S. Government Agencies | 0 | 6,914 | 8,167 | 15,081 | ||||||||||||
Non‑Agency Mortgage-Backed Securities | 0 | 58,540 | 0 | 58,540 | ||||||||||||
Asset-Backed Securities | 0 | 48,773 | 4,923 | 53,696 | ||||||||||||
Sovereign Issues | 0 | 9,524 | 0 | 9,524 | ||||||||||||
Common Stocks | ||||||||||||||||
Communication Services | 1,887 | 0 | 764 | 2,651 | ||||||||||||
Consumer Staples | 85 | 0 | 0 | 85 | ||||||||||||
Energy | 2,701 | 0 | 216 | 2,917 | ||||||||||||
Financials | 1,826 | 0 | 5,325 | 7,151 | ||||||||||||
Industrials | 0 | 0 | 18,856 | 18,856 | ||||||||||||
Rights | ||||||||||||||||
Financials | 0 | 0 | 157 | 157 | ||||||||||||
Warrants | ||||||||||||||||
Financials | 0 | 0 | 175 | 175 |
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2022 | ||||||||||||
Information Technology | $ | 0 | $ | 0 | $ | 10,882 | $ | 10,882 | ||||||||
Preferred Securities | ||||||||||||||||
Banking & Finance | 0 | 34,749 | 0 | 34,749 | ||||||||||||
Industrials | 0 | 0 | 1,625 | 1,625 | ||||||||||||
Real Estate Investment Trusts | ||||||||||||||||
Real Estate | 4,856 | 0 | 0 | 4,856 | ||||||||||||
Short-Term Instruments | ||||||||||||||||
Repurchase Agreements | 0 | 98,910 | 0 | 98,910 | ||||||||||||
U.S. Treasury Bills | 0 | 4,432 | 0 | 4,432 | ||||||||||||
Total Investments | $ | 11,355 | $ | 755,967 | $ | 78,819 | $ | 846,141 | ||||||||
Financial Derivative Instruments - Assets | ||||||||||||||||
Exchange-traded or centrally cleared | 0 | 2,048 | 0 | 2,048 | ||||||||||||
Over the counter | 0 | 100 | 0 | 100 | ||||||||||||
$ | 0 | $ | 2,148 | $ | 0 | $ | 2,148 | |||||||||
Financial Derivative Instruments - Liabilities | ||||||||||||||||
Exchange-traded or centrally cleared | 0 | (1,602 | ) | 0 | (1,602 | ) | ||||||||||
Over the counter | 0 | (1,745 | ) | 0 | (1,745 | ) | ||||||||||
$ | 0 | $ | (3,347 | ) | $ | 0 | $ | (3,347 | ) | |||||||
Total Financial Derivative Instruments | $ | 0 | $ | (1,199 | ) | $ | 0 | $ | (1,199 | ) | ||||||
Totals | $ | 11,355 | $ | 754,768 | $ | 78,819 | $ | 844,942 | ||||||||
Category and Subcategory | Beginning Balance at 06/30/2022 | Net Purchases | Net Sales/ Settlements | Accrued Discounts/ (Premiums) | Realized Gain/(Loss) | Net Change in Unrealized Appreciation/ (Depreciation)(1) | Transfers into Level 3 | Transfers out of Level 3 | Ending Balance at 12/31/2022 | Net Change in Unrealized Appreciation/ (Depreciation) on Investments Held at 12/31/2022(1) | ||||||||||||||||||||||||||||||
Investments in Securities, at Value | ||||||||||||||||||||||||||||||||||||||||
Loan Participations and Assignments | $ | 35,976 | $ | 15,603 | $ | (6,026 | ) | $ | (52 | ) | $ | 107 | $ | (1,259 | ) | $ | 12,942 | $ | (29,562 | ) | $ | 27,729 | $ | 433 | ||||||||||||||||
Corporate Bonds & Notes | ||||||||||||||||||||||||||||||||||||||||
Industrials | 34,901 | 580 | 0 | 67 | 0 | (1,966 | ) | 0 | (33,582 | ) | 0 | 0 | ||||||||||||||||||||||||||||
U.S. Government Agencies | 8,195 | 0 | (101 | ) | 18 | 34 | 21 | 0 | 0 | 8,167 | 16 | |||||||||||||||||||||||||||||
Asset-Backed Securities | 5,577 | 0 | 0 | 0 | 0 | (654 | ) | 0 | 0 | 4,923 | (652 | ) | ||||||||||||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||||||||||||||||||
Communication Services | 984 | 0 | 0 | 0 | 0 | (220 | ) | 0 | 0 | 764 | (219 | ) | ||||||||||||||||||||||||||||
Energy | 91 | 0 | 0 | 0 | 0 | 125 | 0 | 0 | 216 | 125 | ||||||||||||||||||||||||||||||
Financials | 6,212 | 0 | 0 | 0 | 0 | (887 | ) | 0 | 0 | 5,325 | (887 | ) | ||||||||||||||||||||||||||||
Industrials | 17,801 | 149 | 0 | 0 | 0 | 906 | 0 | 0 | 18,856 | 905 | ||||||||||||||||||||||||||||||
Materials | 38 | 0 | (41 | ) | 0 | 41 | (38 | ) | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||||
Rights | ||||||||||||||||||||||||||||||||||||||||
Financials | 111 | 0 | 0 | 0 | 0 | 46 | 0 | 0 | 157 | 47 | ||||||||||||||||||||||||||||||
Warrants | ||||||||||||||||||||||||||||||||||||||||
Financials | 117 | 0 | 0 | 0 | 0 | 58 | 0 | 0 | 175 | 58 | ||||||||||||||||||||||||||||||
Industrials | 1,075 | 0 | (216 | ) | 0 | 216 | (1,075 | ) | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||||
Information Technology | 11,462 | 0 | 0 | 0 | 0 | (580 | ) | 0 | 0 | 10,882 | (581 | ) | ||||||||||||||||||||||||||||
Preferred Securities | ||||||||||||||||||||||||||||||||||||||||
Industrials | 67,316 | 0 | (80,210 | ) | 0 | 44,590 | (30,071 | ) | 0 | 0 | 1,625 | (206 | ) | |||||||||||||||||||||||||||
Totals | $ | 189,856 | $ | 16,332 | $ | (86,594 | ) | $ | 33 | $ | 44,988 | $ | (35,594 | ) | $ | 12,942 | $ | (63,144 | ) | $ | 78,819 | $ | (961 | ) | ||||||||||||||||
60 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
December 31, 2022 | (Unaudited) |
Category and Subcategory | Ending Balance at 12/31/2022 | Valuation Technique | Unobservable Inputs | (% Unless Noted Otherwise) | ||||||||||||||||
Input Value(s) | Weighted Average | |||||||||||||||||||
Investments in Securities, at Value | ||||||||||||||||||||
Loan Participations and Assignments | $ | 6,825 | Discounted Cash Flow | Discount Spread | 9.080 | — | ||||||||||||||
20,904 | Third Party Vendor | Broker Quote | 35.000-87.500 | 65.570 | ||||||||||||||||
U.S. Government Agencies | 8,167 | Discounted Cash Flow | Discount Rate | 12.000 | — | |||||||||||||||
Asset-Backed Securities | 4,923 | Discounted Cash Flow | Discount Rate | 10.000-20.000 | 11.404 | |||||||||||||||
Common Stocks | ||||||||||||||||||||
Communication Services | 764 | Reference Instrument | Stock Price W/ Liquidity Discount | 10.000 | — | |||||||||||||||
Energy | 216 | Market Comparable Valuation | EBITDA Multiple | X | 4.600 | — | ||||||||||||||
Financials | 5,325 | Indicative Market Quotation | Price | $ | 24.000 | — | ||||||||||||||
Industrials | 15,951 | Market Comparable Valuation / Discounted Cash Flow | Revenue | EBITDA Multiple / Discount Rate | X/ | % | 0.620|6.160/10.000 | — | |||||||||||||
2,243 | Discounted Cash Flow | Discount Rate | 11.590 | — | ||||||||||||||||
662 | Indicative Market Quotation | Price | $ | 7.500 | — | |||||||||||||||
Rights | ||||||||||||||||||||
Financials | 157 | Other Valuation Techniques(2) | — | — | — | |||||||||||||||
Warrants | ||||||||||||||||||||
Financials | 1 | Indicative Market Quotation | Price | $ | 2.000-3.500 | 2.943 | ||||||||||||||
174 | Other Valuation Techniques(2) | — | — | — | ||||||||||||||||
Information Technology | 10,882 | Market Comparable Valuation | EBITDA Multiple | X | 4.500 | — | ||||||||||||||
Preferred Securities | ||||||||||||||||||||
Industrials | 1,625 | Market Comparable Valuation / Discounted Cash Flow | TBV Multiple/Discount Rate | X/ | % | 0.370/24.820 | — | |||||||||||||
Total | $ | 78,819 | ||||||||||||||||||
(1) | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at December 31, 2022 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, 2022 | 61 |
Schedule of Investments | PIMCO Income Strategy Fund |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
INVESTMENTS IN SECURITIES 141.8% | ||||||||||||
LOAN PARTICIPATIONS AND ASSIGNMENTS 36.8% | ||||||||||||
American Airlines, Inc. | ||||||||||||
8.993% (LIBOR03M + 4.750%) due 04/20/2028 ~ | $ | 700 | $ | 698 | ||||||||
AmSurg LLC | ||||||||||||
TBD% due 04/29/2027 µ | 738 | 723 | ||||||||||
AP Core Holdings LLC | ||||||||||||
9.884% (LIBOR01M + 5.500%) due 09/01/2027 ~ | 8,193 | 7,424 | ||||||||||
Arches Buyer, Inc. | ||||||||||||
7.634% (LIBOR01M + 3.250%) due 12/06/2027 ~ | 475 | 441 | ||||||||||
Carnival Corp. | ||||||||||||
5.648% (EUR001M + 3.750%) due 06/30/2025 ~ | EUR | 3,177 | 3,278 | |||||||||
Diamond Sports Group LLC | ||||||||||||
12.317% due 05/25/2026 | $ | 9,372 | 8,906 | |||||||||
DirecTV Financing LLC | ||||||||||||
9.384% (LIBOR01M + 5.000%) due 08/02/2027 ~ | 4,837 | 4,720 | ||||||||||
Encina Private Credit LLC | ||||||||||||
TBD% - 8.684% (LIBOR01M + 4.366%) due 11/30/2025 «~µ | 3,945 | 3,860 | ||||||||||
Envision Healthcare Corp. | ||||||||||||
12.119% due 04/29/2027 | 4,062 | 3,975 | ||||||||||
15.744% due 04/28/2028 | 9,601 | 7,857 | ||||||||||
Forbes Energy Services LLC | ||||||||||||
7.000% due 06/30/2023 « | 193 | 0 | ||||||||||
11.000% due 06/30/2023 « | 3 | 0 | ||||||||||
Gateway Casinos & Entertainment Ltd. | ||||||||||||
12.138% due 10/15/2027 | 3,412 | 3,370 | ||||||||||
12.565% due 10/18/2027 | CAD | 1,944 | 1,418 | |||||||||
Intelsat Jackson Holdings SA | ||||||||||||
7.445% due 02/01/2029 | $ | 2,171 | 2,100 | |||||||||
Lealand Finance Co. BV | ||||||||||||
7.384% (LIBOR01M + 3.000%) due 06/28/2024 ~ | 40 | 26 | ||||||||||
Lealand Finance Co. BV (5.384% Cash and 3.000% PIK) | ||||||||||||
8.384% (LIBOR01M + 1.000%) due 06/30/2025 ~(b) | 188 | 101 | ||||||||||
MPH Acquisition Holdings LLC | ||||||||||||
8.985% (LIBOR03M + 4.250%) due 09/01/2028 ~ | 3,465 | 2,976 | ||||||||||
Oi SA | ||||||||||||
TBD% due 02/26/2035 « | 2,161 | 756 | ||||||||||
Poseidon Bidco SASU | ||||||||||||
7.452% (EUR003M + 5.250%) due 07/14/2028 «~ | EUR | 3,500 | 3,228 | |||||||||
Promotora de Informaciones SA | ||||||||||||
6.708% (EUR003M + 5.250%) due 12/31/2026 «~ | 5,715 | 5,261 | ||||||||||
8.000% (EUR003M + 8.000%) due 06/30/2027 «~ | 786 | 736 | ||||||||||
PUG LLC | ||||||||||||
7.884% (LIBOR01M + 3.500%) due 02/12/2027 ~ | $ | 4,632 | 3,856 | |||||||||
8.634% (LIBOR01M + 4.250%) due 02/12/2027 «~ | 1,394 | 1,161 | ||||||||||
Redstone Holdco 2 LP | ||||||||||||
9.108% (LIBOR03M + 4.750%) due 04/27/2028 ~ | 4,569 | 3,185 | ||||||||||
Rising Tide Holdings, Inc. | ||||||||||||
9.485% (LIBOR03M + 4.750%) due 06/01/2028 «~ | 593 | 281 | ||||||||||
Steenbok Lux Finco 2 SARL (10.750% PIK) | ||||||||||||
10.750% (EUR006M) due 06/30/2023 ~(b) | EUR | 7,510 | 5,172 | |||||||||
Syniverse Holdings, Inc. | ||||||||||||
11.580% due 05/13/2027 | $ | 9,118 | 8,001 | |||||||||
Team Health Holdings, Inc. | ||||||||||||
7.134% (LIBOR01M + 2.750%) due 02/06/2024 ~ | 7,088 | 6,095 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Telemar Norte Leste SA | ||||||||||||
TBD% due 02/26/2035 « | $ | 6,275 | $ | 2,197 | ||||||||
U.S. Renal Care, Inc. | ||||||||||||
9.438% (LIBOR01M + 5.000%) due 06/26/2026 ~ | 8,334 | 4,704 | ||||||||||
9.938% (LIBOR01M + 5.500%) due 06/26/2026 ~ | 2,744 | 1,549 | ||||||||||
Veritas U.S., Inc. | ||||||||||||
9.730% (LIBOR03M + 5.000%) due 09/01/2025 ~ | 7,077 | 5,029 | ||||||||||
Westmoreland Mining Holdings LLC (15.000% PIK) | ||||||||||||
15.000% due 03/15/2029 (b) | 2,395 | 1,862 | ||||||||||
Windstream Services LLC | ||||||||||||
8.423% due 02/28/2027 « | 3,130 | 2,986 | ||||||||||
10.673% (LIBOR01M + 6.250%) due 09/21/2027 ~ | 1,349 | 1,227 | ||||||||||
Total Loan Participations and Assignments (Cost $126,816) | 109,159 | |||||||||||
CORPORATE BONDS & NOTES 51.2% | ||||||||||||
BANKING & FINANCE 11.5% | ||||||||||||
Apollo Commercial Real Estate Finance, Inc. | ||||||||||||
4.625% due 06/15/2029 (m) | 1,110 | 890 | ||||||||||
Armor Holdco, Inc. | ||||||||||||
8.500% due 11/15/2029 (m) | 2,000 | 1,505 | ||||||||||
Banca Monte dei Paschi di Siena SpA | ||||||||||||
1.875% due 01/09/2026 | EUR | 700 | 644 | |||||||||
2.625% due 04/28/2025 | 3,774 | 3,666 | ||||||||||
3.625% due 09/24/2024 | 1,483 | 1,511 | ||||||||||
5.375% due 01/18/2028 • | 1,211 | 1,048 | ||||||||||
8.000% due 01/22/2030 • | 918 | 862 | ||||||||||
8.500% due 09/10/2030 • | 1,138 | 1,074 | ||||||||||
10.500% due 07/23/2029 | 2,342 | 2,328 | ||||||||||
Banco de Credito del Peru SA | ||||||||||||
4.650% due 09/17/2024 | PEN | 400 | 98 | |||||||||
Barclays PLC | ||||||||||||
7.437% due 11/02/2033 • | $ | 970 | 1,019 | |||||||||
BNP Paribas SA | ||||||||||||
3.132% due 01/20/2033 • | 855 | 677 | ||||||||||
BOI Finance BV | ||||||||||||
7.500% due 02/16/2027 | EUR | 1,500 | 1,297 | |||||||||
Claveau Re Ltd. | ||||||||||||
21.590% (T‑BILL 3MO + 17.250%) due 07/08/2028 ~ | $ | 600 | 588 | |||||||||
Cosaint Re Pte. Ltd. | ||||||||||||
13.850% (T‑BILL 1MO + 9.250%) due 04/03/2028 ~ | 400 | 324 | ||||||||||
Credit Suisse Group AG | ||||||||||||
6.373% due 07/15/2026 •(m) | 300 | 282 | ||||||||||
6.442% due 08/11/2028 • | 300 | 274 | ||||||||||
7.500% due 12/11/2023 •(i)(j) | 640 | 561 | ||||||||||
7.500% due 12/11/2023 •(i)(j)(m) | 3,200 | 2,803 | �� | |||||||||
GSPA Monetization Trust | ||||||||||||
6.422% due 10/09/2029 | 1,235 | 1,187 | ||||||||||
Hestia Re Ltd. | ||||||||||||
13.840% (T‑BILL 1MO + 9.500%) due 04/22/2025 ~ | 469 | 387 | ||||||||||
Sanders Re Ltd. | ||||||||||||
16.090% (T‑BILL 3MO + 11.750%) due 04/09/2029 ~ | 714 | 678 | ||||||||||
Unique Pub Finance Co. PLC | ||||||||||||
5.659% due 06/30/2027 | GBP | 178 | 212 | |||||||||
Uniti Group LP | ||||||||||||
6.000% due 01/15/2030 (m) | $ | 4,868 | 3,087 | |||||||||
6.500% due 02/15/2029 (m) | 1,400 | 930 | ||||||||||
VICI Properties LP | ||||||||||||
3.875% due 02/15/2029 (m) | 1,800 | 1,580 | ||||||||||
4.500% due 01/15/2028 (m) | 1,280 | 1,182 | ||||||||||
Voyager Aviation Holdings LLC | ||||||||||||
8.500% due 05/09/2026 | 3,865 | 3,068 | ||||||||||
Yosemite Re Ltd. | ||||||||||||
14.087% (T‑BILL 3MO + 9.750%) due 06/06/2025 ~ | 390 | 376 | ||||||||||
34,138 | ||||||||||||
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
INDUSTRIALS 31.7% | ||||||||||||
Altice Financing SA | ||||||||||||
5.750% due 08/15/2029 (m) | $ | 1,105 | $ | 871 | ||||||||
Boeing Co. | ||||||||||||
6.125% due 02/15/2033 (m) | 885 | 902 | ||||||||||
Carvana Co. | ||||||||||||
10.250% due 05/01/2030 | 1,300 | 613 | ||||||||||
CGG SA | ||||||||||||
7.750% due 04/01/2027 | EUR | 2,900 | 2,548 | |||||||||
8.750% due 04/01/2027 (m) | $ | 1,944 | 1,557 | |||||||||
Champion Path Holdings Ltd. | ||||||||||||
4.500% due 01/27/2026 | 600 | 524 | ||||||||||
Community Health Systems, Inc. | ||||||||||||
5.250% due 05/15/2030 (m) | 2,100 | 1,587 | ||||||||||
8.000% due 03/15/2026 (m) | 3,752 | 3,424 | ||||||||||
CVS Pass-Through Trust | ||||||||||||
7.507% due 01/10/2032 (m) | 330 | 343 | ||||||||||
DISH DBS Corp. | ||||||||||||
5.250% due 12/01/2026 (m) | 3,520 | 2,972 | ||||||||||
5.750% due 12/01/2028 (m) | 3,560 | 2,848 | ||||||||||
DTEK Energy BV (3.500% Cash and 3.500% PIK) | ||||||||||||
7.000% due 12/31/2027 (b) | 2,042 | 563 | ||||||||||
Dufry One BV | ||||||||||||
3.625% due 04/15/2026 | CHF | 1,617 | 1,540 | |||||||||
Exela Intermediate LLC | ||||||||||||
11.500% due 07/15/2026 | $ | 42 | 7 | |||||||||
Fertitta Entertainment LLC | ||||||||||||
6.750% due 01/15/2030 (m) | 1,100 | 889 | ||||||||||
Ford Motor Co. | ||||||||||||
7.700% due 05/15/2097 (m) | 6,640 | 6,296 | ||||||||||
HCA, Inc. | ||||||||||||
7.500% due 11/15/2095 (m) | 1,050 | 1,130 | ||||||||||
Intelsat Jackson Holdings SA | ||||||||||||
6.500% due 03/15/2030 (m) | 8,343 | 7,479 | ||||||||||
Inter Media & Communication SpA | ||||||||||||
6.750% due 02/09/2027 | EUR | 1,500 | 1,526 | |||||||||
Market Bidco Finco PLC | ||||||||||||
4.750% due 11/04/2027 | 400 | 346 | ||||||||||
Melco Resorts Finance Ltd. | ||||||||||||
4.875% due 06/06/2025 (m) | $ | 900 | 828 | |||||||||
5.750% due 07/21/2028 (m) | 800 | 670 | ||||||||||
New Albertsons LP | ||||||||||||
6.570% due 02/23/2028 | 2,800 | 2,880 | ||||||||||
Nissan Motor Co. Ltd. | ||||||||||||
4.810% due 09/17/2030 (m) | 5,300 | 4,510 | ||||||||||
Noble Corp. PLC (11.000% Cash or 15.000% PIK) | ||||||||||||
11.000% due 02/15/2028 (b) | 725 | 806 | ||||||||||
Odebrecht Oil & Gas Finance Ltd. | ||||||||||||
0.000% due 01/30/2023 (f)(i) | 450 | 1 | ||||||||||
Olympus Water U.S. Holding Corp. | ||||||||||||
5.375% due 10/01/2029 | EUR | 1,400 | 1,093 | |||||||||
Prime Healthcare Services, Inc. | ||||||||||||
7.250% due 11/01/2025 (m) | $ | 2,400 | 2,032 | |||||||||
Sands China Ltd. | ||||||||||||
2.800% due 03/08/2027 (m) | 400 | 343 | ||||||||||
3.350% due 03/08/2029 (m) | 300 | 246 | ||||||||||
5.900% due 08/08/2028 (m) | 2,702 | 2,534 | ||||||||||
Studio City Finance Ltd. | ||||||||||||
6.000% due 07/15/2025 (m) | 1,000 | 869 | ||||||||||
6.500% due 01/15/2028 (m) | 1,000 | 778 | ||||||||||
Topaz Solar Farms LLC | ||||||||||||
4.875% due 09/30/2039 (m) | 913 | 812 | ||||||||||
5.750% due 09/30/2039 (m) | 5,433 | 5,165 | ||||||||||
U.S. Renal Care, Inc. | ||||||||||||
10.625% due 07/15/2027 (m) | 1,982 | 436 | ||||||||||
Valaris Ltd. (8.250% Cash or 12.000% PIK) | ||||||||||||
8.250% due 04/30/2028 (b)(m) | 2,952 | 2,973 | ||||||||||
Vale SA | ||||||||||||
3.202% due 12/29/2049 ~(i) | BRL | 60,000 | 4,240 | |||||||||
Veritas U.S., Inc. | ||||||||||||
7.500% due 09/01/2025 (m) | $ | 2,040 | 1,409 |
62 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
December 31, 2022 | (Unaudited) |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Viking Cruises Ltd. | ||||||||||||
13.000% due 05/15/2025 (m) | $ | 3,217 | $ | 3,399 | ||||||||
VOC Escrow Ltd. | ||||||||||||
5.000% due 02/15/2028 (m) | 1,000 | 862 | ||||||||||
Wesco Aircraft Holdings, Inc. (7.500% Cash and 3.000% PIK) | ||||||||||||
10.500% due 11/15/2026 (b) | 13,610 | 12,555 | ||||||||||
Windstream Escrow LLC | ||||||||||||
7.750% due 08/15/2028 (m) | 4,700 | 3,841 | ||||||||||
Wynn Macau Ltd. | ||||||||||||
5.500% due 01/15/2026 (m) | 1,000 | 919 | ||||||||||
5.500% due 10/01/2027 (m) | 1,300 | 1,138 | ||||||||||
5.625% due 08/26/2028 (m) | 500 | 428 | ||||||||||
93,732 | ||||||||||||
UTILITIES 8.0% | ||||||||||||
Eskom Holdings SOC Ltd. | ||||||||||||
7.125% due 02/11/2025 | 2,000 | 1,826 | ||||||||||
7.125% due 02/11/2025 (m) | 1,000 | 913 | ||||||||||
NGD Holdings BV | ||||||||||||
6.750% due 12/31/2026 | 188 | 87 | ||||||||||
Northwestern Bell Telephone | ||||||||||||
7.750% due 05/01/2030 (m) | 7,000 | 6,633 | ||||||||||
Odebrecht Drilling Norbe Ltd. (6.350% Cash and 1.000% PIK) | ||||||||||||
7.350% due 12/01/2026 ^(b) | 155 | 86 | ||||||||||
Odebrecht Offshore Drilling Finance Ltd. (6.720% Cash and 1.000% PIK) | ||||||||||||
7.720% due 12/01/2026 ^(b) | 3,322 | 889 | ||||||||||
Oi SA | ||||||||||||
10.000% due 07/27/2025 | 13,514 | 2,335 | ||||||||||
Pacific Gas & Electric Co. | ||||||||||||
3.750% due 08/15/2042 | 10 | 7 | ||||||||||
4.000% due 12/01/2046 (m) | 1,004 | 676 | ||||||||||
4.200% due 03/01/2029 (m) | 900 | 805 | ||||||||||
4.300% due 03/15/2045 | 11 | 8 | ||||||||||
4.450% due 04/15/2042 | 322 | 241 | ||||||||||
4.500% due 12/15/2041 | 10 | 7 | ||||||||||
4.600% due 06/15/2043 | 8 | 6 | ||||||||||
4.750% due 02/15/2044 (m) | 2,810 | 2,161 | ||||||||||
4.950% due 07/01/2050 (m) | 2,360 | 1,838 | ||||||||||
Peru LNG SRL | ||||||||||||
5.375% due 03/22/2030 | 4,800 | 4,016 | ||||||||||
Rio Oil Finance Trust | ||||||||||||
9.250% due 07/06/2024 (m) | 1,184 | 1,202 | ||||||||||
23,736 | ||||||||||||
Total Corporate Bonds & Notes (Cost $181,224) | 151,606 | |||||||||||
CONVERTIBLE BONDS & NOTES 0.4% | ||||||||||||
INDUSTRIALS 0.4% | ||||||||||||
DISH Network Corp. | ||||||||||||
3.375% due 08/15/2026 | 1,600 | 1,006 | ||||||||||
Total Convertible Bonds & Notes (Cost $1,600) | 1,006 | |||||||||||
MUNICIPAL BONDS & NOTES 1.6% | ||||||||||||
ILLINOIS 0.7% | ||||||||||||
Chicago, Illinois General Obligation Bonds, (BABs), Series 2010 | ||||||||||||
7.517% due 01/01/2040 | 1,800 | 1,900 | ||||||||||
Chicago, Illinois General Obligation Bonds, Series 2017 | ||||||||||||
7.045% due 01/01/2029 | 45 | 45 | ||||||||||
1,945 | ||||||||||||
PUERTO RICO 0.4% | ||||||||||||
Commonwealth of Puerto Rico Bonds, Series 2022 | ||||||||||||
0.000% due 11/01/2043 (f) | 316 | 139 | ||||||||||
0.000% due 11/01/2051 (f) | 3,260 | 1,100 | ||||||||||
1,239 | ||||||||||||
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
WEST VIRGINIA 0.5% | ||||||||||||
Tobacco Settlement Finance Authority, West Virginia Revenue Bonds, Series 2007 | ||||||||||||
0.000% due 06/01/2047 (f) | $ | 21,900 | $ | 1,631 | ||||||||
Total Municipal Bonds & Notes (Cost $5,692) | 4,815 | |||||||||||
U.S. GOVERNMENT AGENCIES 2.0% | ||||||||||||
Fannie Mae | ||||||||||||
1.661% due 02/25/2049 •(a) | 261 | 27 | ||||||||||
2.640% due 12/25/2040 • | 132 | 115 | ||||||||||
3.500% due 12/25/2032 - 12/25/2049 (a) | 1,615 | 188 | ||||||||||
4.000% due 11/25/2042 (a) | 780 | 107 | ||||||||||
10.139% due 07/25/2029 • | 570 | 622 | ||||||||||
Freddie Mac | ||||||||||||
0.700% due 11/25/2055 ~(a) | 16,220 | 1,038 | ||||||||||
1.760% due 11/15/2040 • | 116 | 89 | ||||||||||
3.000% due 11/15/2033 (a) | 1,177 | 80 | ||||||||||
5.992% due 11/25/2055 «~ | 3,849 | 2,366 | ||||||||||
11.939% due 12/25/2027 ~ | 1,406 | 1,412 | ||||||||||
Total U.S. Government Agencies (Cost $6,503) | 6,044 | |||||||||||
NON‑AGENCY MORTGAGE-BACKED SECURITIES 6.5% | ||||||||||||
Banc of America Funding Trust | ||||||||||||
6.000% due 08/25/2036 ^ | 427 | 376 | ||||||||||
BCAP LLC Trust | ||||||||||||
3.082% due 03/27/2036 ~ | 656 | 473 | ||||||||||
4.611% due 03/26/2037 þ | 310 | 421 | ||||||||||
Bear Stearns ALT‑A Trust | ||||||||||||
3.580% due 09/25/2047 ^~ | 1,817 | 955 | ||||||||||
3.586% due 11/25/2036 ^~ | 143 | 76 | ||||||||||
3.908% due 09/25/2035 ^~ | 119 | 71 | ||||||||||
4.709% due 06/25/2046 ^• | 832 | 694 | ||||||||||
Bear Stearns Mortgage Funding Trust | ||||||||||||
7.500% due 08/25/2036 þ | 46 | 46 | ||||||||||
CD Mortgage Trust | ||||||||||||
5.688% due 10/15/2048 | 164 | 145 | ||||||||||
Chase Mortgage Finance Trust | ||||||||||||
3.946% due 12/25/2035 ^~ | 2 | 2 | ||||||||||
6.000% due 02/25/2037 ^ | 298 | 123 | ||||||||||
6.000% due 07/25/2037 ^ | 200 | 98 | ||||||||||
6.250% due 10/25/2036 ^ | 548 | 242 | ||||||||||
Citicorp Mortgage Securities Trust | ||||||||||||
5.500% due 04/25/2037 | 4 | 4 | ||||||||||
Commercial Mortgage Loan Trust | ||||||||||||
6.480% due 12/10/2049 ~ | 185 | 30 | ||||||||||
Countrywide Alternative Loan Resecuritization Trust | ||||||||||||
6.000% due 05/25/2036 ^ | 725 | 441 | ||||||||||
6.000% due 08/25/2037 ^~ | 362 | 217 | ||||||||||
Countrywide Alternative Loan Trust | ||||||||||||
2.963% due 04/25/2036 ^~ | 173 | 144 | ||||||||||
4.739% due 05/25/2037 ^• | 117 | 44 | ||||||||||
5.500% due 03/25/2035 | 98 | 45 | ||||||||||
5.500% due 12/25/2035 ^ | 847 | 481 | ||||||||||
5.750% due 01/25/2035 | 64 | 60 | ||||||||||
6.000% due 02/25/2035 | 116 | 88 | ||||||||||
6.000% due 08/25/2036 ^• | 126 | 78 | ||||||||||
6.000% due 04/25/2037 ^ | 356 | 180 | ||||||||||
6.250% due 11/25/2036 ^ | 216 | 161 | ||||||||||
6.250% due 12/25/2036 ^• | 620 | 287 | ||||||||||
6.500% due 08/25/2036 ^ | 185 | 66 | ||||||||||
Countrywide Home Loan Mortgage Pass-Through Trust | ||||||||||||
3.671% due 02/20/2035 ~ | 2 | 2 | ||||||||||
5.500% due 10/25/2035 ^ | 162 | 99 | ||||||||||
6.250% due 09/25/2036 ^ | 159 | 62 | ||||||||||
Deutsche Mortgage Securities, Inc. Mortgage Loan Trust | ||||||||||||
6.339% due 06/25/2034 • | 2,030 | 1,935 | ||||||||||
Eurosail PLC | ||||||||||||
7.511% due 06/13/2045 ~ | GBP | 239 | 237 | |||||||||
Freddie Mac | ||||||||||||
11.728% due 11/25/2041 ~ | $ | 1,900 | 1,626 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
GS Mortgage Securities Corp. | ||||||||||||
7.736% due 08/15/2039 ~ | $ | 550 | $ | 555 | ||||||||
GSR Mortgage Loan Trust | ||||||||||||
6.000% due 02/25/2036 ^ | 1,040 | 476 | ||||||||||
HarborView Mortgage Loan Trust | ||||||||||||
3.275% due 07/19/2035 ^~ | 13 | 10 | ||||||||||
5.059% due 01/19/2035 • | 23 | 21 | ||||||||||
IndyMac IMSC Mortgage Loan Trust | ||||||||||||
6.500% due 07/25/2037 ^ | 1,623 | 527 | ||||||||||
Jackson Park Trust | ||||||||||||
3.242% due 10/14/2039 ~ | 1,033 | 747 | ||||||||||
JP Morgan Alternative Loan Trust | ||||||||||||
3.203% due 03/25/2036 ^~ | 379 | 313 | ||||||||||
3.699% due 03/25/2037 ^~ | 357 | 317 | ||||||||||
JP Morgan Mortgage Trust | ||||||||||||
3.478% due 02/25/2036 ^~ | 89 | 66 | ||||||||||
3.850% due 01/25/2037 ^~ | 88 | 72 | ||||||||||
Lehman XS Trust | ||||||||||||
4.829% due 06/25/2047 • | 450 | 402 | ||||||||||
Merrill Lynch Mortgage Investors Trust | ||||||||||||
2.736% due 03/25/2036 ^~ | 551 | 303 | ||||||||||
Morgan Stanley Capital Trust | ||||||||||||
8.793% due 11/15/2034 ~ | 1,200 | 1,096 | ||||||||||
Morgan Stanley Mortgage Loan Trust | ||||||||||||
5.962% due 06/25/2036 ^~ | 2,126 | 651 | ||||||||||
Natixis Commercial Mortgage Securities Trust | ||||||||||||
6.718% due 11/15/2034 • | 1,065 | 1,024 | ||||||||||
Residential Asset Securitization Trust | ||||||||||||
5.750% due 02/25/2036 ^ | 374 | 146 | ||||||||||
6.000% due 07/25/2037 ^ | 619 | 250 | ||||||||||
6.250% due 09/25/2037 ^ | 1,160 | 467 | ||||||||||
Residential Funding Mortgage Securities, Inc. Trust | ||||||||||||
4.875% due 08/25/2036 ^~ | 36 | 33 | ||||||||||
6.000% due 09/25/2036 ^ | 49 | 37 | ||||||||||
6.000% due 06/25/2037 ^ | 603 | 449 | ||||||||||
Structured Adjustable Rate Mortgage Loan Trust | ||||||||||||
3.694% due 01/25/2036 ^~ | 428 | 269 | ||||||||||
4.022% due 11/25/2036 ^~ | 380 | 319 | ||||||||||
SunTrust Adjustable Rate Mortgage Loan Trust | ||||||||||||
2.278% due 04/25/2037 ^~ | 232 | 140 | ||||||||||
3.232% due 02/25/2037 ^~ | 39 | 34 | ||||||||||
WaMu Mortgage Pass-Through Certificates Trust | ||||||||||||
3.030% due 12/25/2046 • | 161 | 150 | ||||||||||
3.211% due 02/25/2037 ^~ | 133 | 119 | ||||||||||
3.672% due 10/25/2036 ^~ | 194 | 168 | ||||||||||
Wells Fargo Mortgage-Backed Securities Trust | ||||||||||||
6.000% due 06/25/2037 ^ | 16 | 14 | ||||||||||
Total Non‑Agency Mortgage-Backed Securities (Cost $23,108) | 19,184 | |||||||||||
ASSET-BACKED SECURITIES 7.3% | ||||||||||||
Adagio CLO DAC | ||||||||||||
0.000% due 04/30/2031 ~ | EUR | 1,750 | 489 | |||||||||
Apidos CLO | ||||||||||||
0.000% due 01/20/2031 ~ | $ | 2,200 | 733 | |||||||||
Argent Securities Trust | ||||||||||||
4.769% due 03/25/2036 ~ | 5,977 | 3,194 | ||||||||||
Asset-Backed Funding Certificates Trust | ||||||||||||
4.539% due 10/25/2036 • | 1,368 | 1,335 | ||||||||||
Avoca CLO DAC | ||||||||||||
0.000% due 07/15/2032 ~ | EUR | 1,070 | 657 | |||||||||
Bear Stearns Asset-Backed Securities Trust | ||||||||||||
6.500% due 10/25/2036 ^ | $ | 208 | 113 | |||||||||
Belle Haven ABS CDO Ltd. | ||||||||||||
3.998% due 07/05/2046 ~ | 85,896 | 634 | ||||||||||
CIFC Funding Ltd. | ||||||||||||
0.000% due 04/24/2030 ~ | 1,200 | 276 | ||||||||||
0.000% due 10/22/2031 ~ | 1,000 | 210 | ||||||||||
Citigroup Mortgage Loan Trust | ||||||||||||
4.539% due 12/25/2036 ~ | 2,737 | 1,144 | ||||||||||
Dryden CLO Ltd. | ||||||||||||
0.000% due 07/17/2031 ~ | 5,689 | 2,725 |
See Accompanying Notes | SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 63 |
Schedule of Investments | PIMCO Income Strategy Fund | (Cont.) |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Grosvenor Place CLO BV | ||||||||||||
0.000% due 04/30/2029 ~ | EUR | 250 | $ | 47 | ||||||||
Jay Park CLO Ltd. | ||||||||||||
0.000% due 10/20/2027 ~ | $ | 2,700 | 486 | |||||||||
Lehman XS Trust | ||||||||||||
6.790% due 06/24/2046 þ | 209 | 225 | ||||||||||
Marlette Funding Trust | ||||||||||||
0.000% due 07/16/2029 «(f) | 6 | 483 | ||||||||||
0.000% due 03/15/2030 «(f) | 3 | 101 | ||||||||||
Merrill Lynch Mortgage Investors Trust | ||||||||||||
4.336% due 04/25/2037 ~ | 188 | 94 | ||||||||||
Morgan Stanley Mortgage Loan Trust | ||||||||||||
4.629% due 04/25/2037 ~ | 2,522 | 753 | ||||||||||
6.250% due 02/25/2037 ^~ | 206 | 97 | ||||||||||
Residential Asset Mortgage Products Trust | ||||||||||||
4.949% due 09/25/2036 • | 111 | 104 | ||||||||||
Securitized Asset-Backed Receivables LLC Trust | ||||||||||||
4.669% due 05/25/2036 • | 4,018 | 2,188 | ||||||||||
SLM Student Loan EDC Repackaging Trust | ||||||||||||
0.000% due 10/28/2029 «(f) | 1 | 764 | ||||||||||
SLM Student Loan Trust | ||||||||||||
0.000% due 01/25/2042 «(f) | 2 | 684 | ||||||||||
SoFi Professional Loan Program LLC | ||||||||||||
0.000% due 05/25/2040 (f) | 2,100 | 213 | ||||||||||
0.000% due 09/25/2040 «(f) | 846 | 116 | ||||||||||
South Coast Funding Ltd. | ||||||||||||
5.192% due 08/10/2038 • | 5,398 | 424 | ||||||||||
Symphony CLO Ltd. | ||||||||||||
8.611% due 07/14/2026 • | 1,000 | 952 | ||||||||||
Taberna Preferred Funding Ltd. | ||||||||||||
4.912% due 08/05/2036 • | 139 | 124 | ||||||||||
4.912% due 08/05/2036 ^~ | 2,605 | 2,325 | ||||||||||
Total Asset-Backed Securities (Cost $41,910) | 21,690 | |||||||||||
SOVEREIGN ISSUES 1.7% | ||||||||||||
Argentina Government International Bond | ||||||||||||
0.500% due 07/09/2030 þ | 1,735 | 401 | ||||||||||
1.000% due 07/09/2029 | 366 | 98 | ||||||||||
1.400% due 03/25/2023 | ARS | 119,242 | 362 | |||||||||
1.500% due 07/09/2035 þ | $ | 1,948 | 441 | |||||||||
1.500% due 07/09/2046 þ | 115 | 30 | ||||||||||
3.500% due 07/09/2041 þ | 2,872 | 824 | ||||||||||
3.875% due 01/09/2038 þ | 6,188 | 1,970 | ||||||||||
15.500% due 10/17/2026 | ARS | 26,000 | 20 | |||||||||
Ghana Government International Bond | ||||||||||||
6.375% due 02/11/2027 ^(c) | $ | 300 | 116 | |||||||||
7.875% due 02/11/2035 ^(c) | 400 | 145 | ||||||||||
8.750% due 03/11/2061 ^(c) | 200 | 71 | ||||||||||
Provincia de Buenos Aires | ||||||||||||
72.913% due 04/12/2025 | ARS | 217,314 | 600 | |||||||||
Venezuela Government International Bond | ||||||||||||
8.250% due 10/13/2024 ^(c) | $ | 12 | 1 | |||||||||
9.250% due 09/15/2027 ^(c) | 151 | 14 | ||||||||||
Total Sovereign Issues (Cost $12,550) | 5,093 | |||||||||||
SHARES | ||||||||||||
COMMON STOCKS 4.5% | ||||||||||||
COMMUNICATION SERVICES 0.3% | ||||||||||||
Clear Channel Outdoor Holdings, Inc. (d) | 261,329 | 275 | ||||||||||
iHeartMedia, Inc. ‘A’ (d) | 62,317 | 382 | ||||||||||
iHeartMedia, Inc. ‘B’ «(d) | 48,387 | 267 | ||||||||||
924 | ||||||||||||
CONSUMER STAPLES 0.0% | ||||||||||||
Promotora de Informaciones SA | 130,203 | 39 | ||||||||||
SHARES | MARKET VALUE (000S) | |||||||||||
ENERGY 0.1% | ||||||||||||
Axis Energy Services ‘A’ «(d)(k) | 1,253 | $ | 44 | |||||||||
Noble Corp. PLC (d) | 6,668 | 251 | ||||||||||
295 | ||||||||||||
FINANCIALS 1.3% | ||||||||||||
Banca Monte dei Paschi di Siena SpA (d) | 523,500 | 1,079 | ||||||||||
Intelsat SA «(d)(k) | 113,460 | 2,723 | ||||||||||
3,802 | ||||||||||||
INDUSTRIALS 2.8% | ||||||||||||
Neiman Marcus Group Ltd. LLC «(d)(k) | 39,846 | 7,015 | ||||||||||
Syniverse Holdings, Inc. «(k) | 1,089,841 | 1,047 | ||||||||||
Voyager Aviation Holdings LLC «(d) | 538 | 0 | ||||||||||
Westmoreland Mining Holdings «(d)(k) | 25,438 | 191 | ||||||||||
8,253 | ||||||||||||
Total Common Stocks (Cost $16,030) | 13,313 | |||||||||||
RIGHTS 0.0% | ||||||||||||
FINANCIALS 0.0% | ||||||||||||
Intelsat Jackson Holdings SA «(d) | 11,974 | 81 | ||||||||||
Total Rights (Cost $0) | 81 | |||||||||||
WARRANTS 1.9% | ||||||||||||
FINANCIALS 0.0% | ||||||||||||
Intelsat Emergence SA - Exp. 02/17/2027 « | 277 | 1 | ||||||||||
Intelsat Jackson Holdings SA‑Exp. 12/05/2025 « | 11,872 | 89 | ||||||||||
90 | ||||||||||||
INFORMATION TECHNOLOGY 1.9% | ||||||||||||
Windstream Holdings LLC - Exp. 9/21/2055 « | 272,031 | 5,507 | ||||||||||
Total Warrants (Cost $4,520) | 5,597 | |||||||||||
PREFERRED SECURITIES 2.3% | ||||||||||||
BANKING & FINANCE 2.0% | ||||||||||||
Brighthouse Holdings LLC | ||||||||||||
6.500% due 07/27/2037 þ(i) | 35,000 | 31 | ||||||||||
Stichting AK Rabobank Certificaten | ||||||||||||
6.500% due 12/29/2049 þ(i) | 5,760,000 | 5,930 | ||||||||||
5,961 | ||||||||||||
INDUSTRIALS 0.3% | ||||||||||||
Voyager Aviation Holdings LLC « | 3,228 | 866 | ||||||||||
Total Preferred Securities (Cost $9,224) | 6,827 | |||||||||||
REAL ESTATE INVESTMENT TRUSTS 0.8% | ||||||||||||
REAL ESTATE 0.8% | ||||||||||||
CBL & Associates Properties, Inc. | 9,309 | 215 |
SHARES | MARKET VALUE (000S) | |||||||||||
Uniti Group, Inc. | 133,286 | $ | 737 | |||||||||
VICI Properties, Inc. | 45,844 | 1,485 | ||||||||||
Total Real Estate Investment Trusts (Cost $1,281) | 2,437 | |||||||||||
PRINCIPAL AMOUNT (000S) | ||||||||||||
SHORT-TERM INSTRUMENTS 24.8% | ||||||||||||
REPURCHASE AGREEMENTS (l) 21.0% | ||||||||||||
62,195 | ||||||||||||
SHORT-TERM NOTES 3.0% | ||||||||||||
Federal Home Loan Bank | ||||||||||||
4.320% due 01/06/2023 • | $ | 3,000 | 3,000 | |||||||||
4.340% due 02/10/2023 •(o) | 2,900 | 2,900 | ||||||||||
4.345% due 02/23/2023 • | 2,900 | 2,900 | ||||||||||
8,800 | ||||||||||||
ARGENTINA TREASURY BILLS 0.1% | ||||||||||||
19.435% due 05/19/2023 (f)(g)(h) | ARS | 90,531 | 275 | |||||||||
U.S. TREASURY BILLS 0.7% | ||||||||||||
3.848% due 01/05/2023 - 03/02/2023 (e)(f)(q) | $ | 2,114 | 2,109 | |||||||||
Total Short-Term Instruments (Cost $73,419) | 73,379 | |||||||||||
Total Investments in Securities (Cost $503,877) | 420,231 | |||||||||||
Total Investments 141.8% (Cost $503,877) | $ | 420,231 | ||||||||||
Financial Derivative Instruments (n)(p) (0.3)% (Cost or Premiums, net $(2,170)) | (793 | ) | ||||||||||
Auction-Rate Preferred Shares (15.2)% | (45,200 | ) | ||||||||||
Other Assets and Liabilities, net (26.3)% | (77,812 | ) | ||||||||||
Net Assets Applicable to Common Shareholders 100.0% | $ | 296,426 | ||||||||||
64 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
December 31, 2022 | (Unaudited) |
* | 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. |
þ | Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end. |
(a) | Security is an Interest Only (“IO”) or IO Strip. |
(b) | Payment in‑kind 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) | Coupon represents a yield to maturity. |
(h) | Principal amount of security is adjusted for inflation. |
(i) | Perpetual maturity; date shown, if applicable, represents next contractual call date. |
(j) | Contingent convertible security. |
Issuer Description | Acquisition Date | Cost | Market Value | Market Value as Percentage of Net Assets Applicable to Common Shareholders | ||||||||||||||||||||
Axis Energy Services ‘A’ | 07/01/2021 | $ | 19 | $ | 44 | 0.02 | % | |||||||||||||||||
Intelsat SA | 06/19/2017 ‑ 02/23/2022 | 7,942 | 2,723 | 0.92 | ||||||||||||||||||||
Neiman Marcus Group Ltd. LLC | 09/25/2020 | 1,307 | 7,015 | 2.37 | ||||||||||||||||||||
Syniverse Holdings, Inc. | 05/12/2022 ‑ 11/30/2022 | 1,069 | 1,047 | 0.35 | ||||||||||||||||||||
Westmoreland Mining Holdings | 12/08/2014 ‑ 10/19/2016 | 733 | 191 | 0.06 | ||||||||||||||||||||
$ | 11,070 | $ | 11,020 | 3.72 | % | |||||||||||||||||||
Counterparty | Lending Rate | Settlement Date | Maturity Date | Principal Amount | Collateralized By | Collateral (Received) | Repurchase Agreements, at Value | Repurchase Agreement Proceeds to be Received(1) | ||||||||||||||||||||||
FICC | 1.900 | % | 12/30/2022 | 01/03/2023 | $ | 495 | U.S. Treasury Bills 0.000% due 06/29/2023 | $ | (505 | ) | $ | 495 | $ | 495 | ||||||||||||||||
MBC | 4.320 | 12/30/2022 | 01/03/2023 | 61,700 | U.S. Treasury Bills 0.000% due 01/05/2023 | (63,200 | ) | 61,700 | 61,730 | |||||||||||||||||||||
Total Repurchase Agreements | $ | (63,705 | ) | $ | 62,195 | $ | 62,225 | |||||||||||||||||||||||
Counterparty | Borrowing Rate(2) | Settlement Date | Maturity Date | Amount Borrowed(2) | Payable for Reverse Repurchase Agreements | |||||||||||||||||
BPS | 0.000 | % | 11/15/2022 | 01/27/2023 | $ | (369 | ) | $ | (369 | ) | ||||||||||||
0.000 | 11/15/2022 | 01/30/2023 | (816 | ) | (816 | ) | ||||||||||||||||
3.550 | 08/09/2022 | 02/02/2023 | (1,533 | ) | (1,556 | ) | ||||||||||||||||
3.550 | 08/18/2022 | 02/02/2023 | (1,971 | ) | (1,998 | ) | ||||||||||||||||
3.760 | 08/12/2022 | 02/13/2023 | (1,981 | ) | (2,011 | ) | ||||||||||||||||
3.760 | 08/30/2022 | 02/13/2023 | (852 | ) | (864 | ) | ||||||||||||||||
3.760 | 10/04/2022 | 02/13/2023 | (5,387 | ) | (5,438 | ) | ||||||||||||||||
3.760 | 10/06/2022 | 02/13/2023 | (1,021 | ) | (1,030 | ) | ||||||||||||||||
3.760 | 10/07/2022 | 02/13/2023 | (545 | ) | (550 | ) |
See Accompanying Notes | SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 65 |
Schedule of Investments | PIMCO Income Strategy Fund | (Cont.) |
Counterparty | Borrowing Rate(2) | Settlement Date | Maturity Date | Amount Borrowed(2) | Payable for Reverse Repurchase Agreements | |||||||||||||||||
4.220 | 11/14/2022 | 03/14/2023 | $ | (575 | ) | $ | (579 | ) | ||||||||||||||
4.720 | 10/27/2022 | 01/30/2023 | (718 | ) | (724 | ) | ||||||||||||||||
4.720 | 10/28/2022 | 01/31/2023 | (437 | ) | (441 | ) | ||||||||||||||||
4.720 | 11/29/2022 | 01/30/2023 | (744 | ) | (748 | ) | ||||||||||||||||
4.720 | 12/14/2022 | 01/30/2023 | (1,699 | ) | (1,704 | ) | ||||||||||||||||
BYR | 4.950 | 09/26/2022 | 03/24/2023 | (1,362 | ) | (1,373 | ) | |||||||||||||||
CDC | 3.270 | 08/04/2022 | 01/09/2023 | (3,088 | ) | (3,130 | ) | |||||||||||||||
3.990 | 10/27/2022 | 03/03/2023 | (541 | ) | (545 | ) | ||||||||||||||||
3.990 | 11/03/2022 | 03/03/2023 | (409 | ) | (412 | ) | ||||||||||||||||
4.450 | 10/31/2022 | 01/30/2023 | (566 | ) | (570 | ) | ||||||||||||||||
4.600 | 11/18/2022 | 01/17/2023 | (1,330 | ) | (1,338 | ) | ||||||||||||||||
4.620 | 10/14/2022 | 02/13/2023 | (1,782 | ) | (1,801 | ) | ||||||||||||||||
4.620 | 11/15/2022 | 02/13/2023 | (380 | ) | (382 | ) | ||||||||||||||||
4.620 | 12/22/2022 | 02/13/2023 | (359 | ) | (360 | ) | ||||||||||||||||
4.730 | 10/31/2022 | 01/30/2023 | (5,086 | ) | (5,129 | ) | ||||||||||||||||
4.730 | 12/14/2022 | 01/30/2023 | (705 | ) | (706 | ) | ||||||||||||||||
4.760 | 10/07/2022 | 04/05/2023 | (2,887 | ) | (2,921 | ) | ||||||||||||||||
4.860 | 11/07/2022 | 02/07/2023 | (6,639 | ) | (6,690 | ) | ||||||||||||||||
4.880 | 11/16/2022 | 02/07/2023 | (1,121 | ) | (1,129 | ) | ||||||||||||||||
4.880 | 12/14/2022 | 02/07/2023 | (2,490 | ) | (2,497 | ) | ||||||||||||||||
IND | 4.530 | 11/08/2022 | 01/31/2023 | (506 | ) | (510 | ) | |||||||||||||||
4.660 | 10/25/2022 | 01/31/2023 | (4,017 | ) | (4,053 | ) | ||||||||||||||||
4.740 | 11/07/2022 | 01/31/2023 | (1,122 | ) | (1,130 | ) | ||||||||||||||||
4.980 | 11/07/2022 | 03/07/2023 | (6,061 | ) | (6,109 | ) | ||||||||||||||||
5.000 | 11/07/2022 | 03/07/2023 | (716 | ) | (721 | ) | ||||||||||||||||
JML | 1.500 | 09/14/2022 | TBD | (3) | EUR | (339 | ) | (363 | ) | |||||||||||||
2.050 | 09/14/2022 | TBD | (3) | (518 | ) | (556 | ) | |||||||||||||||
2.070 | 09/14/2022 | TBD | (3) | (1,229 | ) | (1,319 | ) | |||||||||||||||
MBC | 2.050 | 11/02/2022 | TBD | (3) | (3,062 | ) | (3,286 | ) | ||||||||||||||
MEI | 3.860 | 10/11/2022 | 02/28/2023 | $ | (354 | ) | (357 | ) | ||||||||||||||
3.860 | 10/17/2022 | 02/28/2023 | (583 | ) | (588 | ) | ||||||||||||||||
4.700 | 11/04/2022 | 02/13/2023 | (388 | ) | (392 | ) | ||||||||||||||||
4.700 | 11/14/2022 | 02/13/2023 | (193 | ) | (194 | ) | ||||||||||||||||
4.720 | 10/24/2022 | 01/27/2023 | (1,214 | ) | (1,225 | ) | ||||||||||||||||
RDR | 4.430 | 10/26/2022 | 01/30/2023 | (1,005 | ) | (1,013 | ) | |||||||||||||||
4.500 | 10/31/2022 | 01/30/2023 | (1,343 | ) | (1,353 | ) | ||||||||||||||||
4.700 | 11/10/2022 | 02/10/2023 | (1,614 | ) | (1,625 | ) | ||||||||||||||||
SOG | 3.830 | 10/25/2022 | 02/17/2023 | (1,584 | ) | (1,596 | ) | |||||||||||||||
4.450 | 11/02/2022 | 02/06/2023 | (510 | ) | (513 | ) | ||||||||||||||||
4.640 | 10/14/2022 | 02/14/2023 | (3,970 | ) | (4,011 | ) | ||||||||||||||||
4.760 | 10/12/2022 | 04/12/2023 | (813 | ) | (822 | ) | ||||||||||||||||
4.790 | 11/04/2022 | 02/02/2023 | (699 | ) | (704 | ) | ||||||||||||||||
4.820 | 11/30/2022 | 02/22/2023 | (611 | ) | (614 | ) | ||||||||||||||||
4.900 | 10/12/2022 | 04/12/2023 | (5,171 | ) | (5,229 | ) | ||||||||||||||||
4.900 | 11/29/2022 | 04/12/2023 | (1,461 | ) | (1,468 | ) | ||||||||||||||||
UBS | 4.840 | 11/02/2022 | 02/03/2023 | (442 | ) | (446 | ) | |||||||||||||||
Total Reverse Repurchase Agreements | $ | (88,008 | ) | |||||||||||||||||||
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 | $ | (18,828 | ) | $ | 0 | $ | (18,828 | ) | $ | 22,457 | $ | 3,629 | ||||||||||
BYR | 0 | (1,373 | ) | 0 | (1,373 | ) | 1,533 | 160 | ||||||||||||||||
CDC | 0 | (27,610 | ) | 0 | (27,610 | ) | 31,739 | 4,129 | ||||||||||||||||
FICC | 495 | 0 | 0 | 495 | (505 | ) | (10 | ) | ||||||||||||||||
IND | 0 | (12,523 | ) | 0 | (12,523 | ) | 13,964 | 1,441 | ||||||||||||||||
JML | 0 | (2,238 | ) | 0 | (2,238 | ) | 2,389 | 151 | ||||||||||||||||
MBC | 61,730 | (3,286 | ) | 0 | 58,444 | (59,530 | ) | (1,086 | ) | |||||||||||||||
MEI | 0 | (2,756 | ) | 0 | (2,756 | ) | 3,671 | 915 | ||||||||||||||||
RDR | 0 | (3,991 | ) | 0 | (3,991 | ) | 4,107 | 116 | ||||||||||||||||
SOG | 0 | (14,957 | ) | 0 | (14,957 | ) | 17,085 | 2,128 | ||||||||||||||||
UBS | 0 | (446 | ) | 0 | (446 | ) | 581 | 135 | ||||||||||||||||
Total Borrowings and Other Financing Transactions | $ | 62,225 | $ | (88,008 | ) | $ | 0 | |||||||||||||||||
66 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
December 31, 2022 | (Unaudited) |
Overnight and Continuous | Up to 30 days | 31‑90 days | Greater Than 90 days | Total | ||||||||||||||||
Reverse Repurchase Agreements | ||||||||||||||||||||
Corporate Bonds & Notes | $ | 0 | $ | (18,825 | ) | $ | (53,219 | ) | $ | (15,964 | ) | $ | (88,008 | ) | ||||||
Total Borrowings | $ | 0 | $ | (18,825 | ) | $ | (53,219 | ) | $ | (15,964 | ) | $ | (88,008 | ) | ||||||
Payable for reverse repurchase agreements | $ | (88,008 | ) | |||||||||||||||||
(m) | Securities with an aggregate market value of $102,773 and cash of $72 have been pledged as collateral under the terms of the above master agreements as of December 31, 2022. |
(1) | Includes accrued interest. |
(2) | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(91,184) at a weighted average interest rate of 2.940%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. |
(3) | Open maturity reverse repurchase agreement. |
(4) | Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information. |
Reference Entity | Fixed Receive Rate | Payment Frequency | Maturity Date | Implied Credit Spread at December 31, 2022(2) | Notional Amount(3) | Premiums Paid/(Received) | Unrealized Appreciation/ (Depreciation) | Market Value(4) | Variation Margin | |||||||||||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||||||||||||
Bombardier, Inc. | 5.000 | % | Quarterly | 06/20/2024 | 2.622 | % | $ | 1,900 | $ | (89 | ) | $ | 156 | $ | 67 | $ | 0 | $ | (4 | ) | ||||||||||||||||||||||||
Bombardier, Inc. | 5.000 | Quarterly | 12/20/2024 | 2.780 | 700 | (3 | ) | 33 | 30 | 0 | 0 | |||||||||||||||||||||||||||||||||
Bombardier, Inc. | 5.000 | Quarterly | 06/20/2027 | 4.245 | 1,300 | (105 | ) | 143 | 38 | 0 | (1 | ) | ||||||||||||||||||||||||||||||||
Jaguar Land Rover Automotive | 5.000 | Quarterly | 06/20/2026 | 9.564 | EUR | 200 | 14 | (39 | ) | (25 | ) | 0 | 0 | |||||||||||||||||||||||||||||||
Jaguar Land Rover Automotive | 5.000 | Quarterly | 12/20/2026 | 9.896 | 1,986 | 76 | (373 | ) | (297 | ) | 2 | 0 | ||||||||||||||||||||||||||||||||
Rolls-Royce PLC | 1.000 | Quarterly | 12/20/2025 | 2.767 | 4,200 | (459 | ) | 244 | (215 | ) | 0 | 0 | ||||||||||||||||||||||||||||||||
Rolls-Royce PLC | 1.000 | Quarterly | 06/20/2027 | 3.357 | 1,400 | (106 | ) | (29 | ) | (135 | ) | 0 | (1 | ) | ||||||||||||||||||||||||||||||
$ | (672 | ) | $ | 135 | $ | (537 | ) | $ | 2 | $ | (6 | ) | ||||||||||||||||||||||||||||||||
Pay/Receive Floating Rate | Floating Rate Index | Fixed Rate | Payment Frequency | Maturity Date | Notional Amount | Premiums Paid/(Received) | Unrealized Appreciation/ (Depreciation) | Market Value | Variation Margin | |||||||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||||||||
Receive | 1‑Day GBP‑SONIO Compounded‑OIS | 0.750 | % | Annual | 09/21/2032 | GBP | 7,300 | $ | 709 | $ | 1,451 | $ | 2,160 | $ | 6 | $ | 0 | |||||||||||||||||||||||
Receive(5) | 1‑Day GBP‑SONIO Compounded‑OIS | 2.000 | Annual | 03/15/2033 | 3,700 | 412 | 218 | 630 | 2 | 0 | ||||||||||||||||||||||||||||||
Receive | 1‑Day GBP‑SONIO Compounded‑OIS | 0.750 | Annual | 09/21/2052 | 300 | (1 | ) | 181 | 180 | 0 | 0 | |||||||||||||||||||||||||||||
Receive(5) | 1‑Day USD‑SOFR Compounded‑OIS | 2.450 | Annual | 12/20/2024 | $ | 12,700 | (1 | ) | 190 | 189 | 7 | 0 | ||||||||||||||||||||||||||||
Receive(5) | 1‑Day USD‑SOFR Compounded‑OIS | 2.350 | Annual | 01/17/2025 | 6,400 | 1 | 94 | 95 | 2 | 0 | ||||||||||||||||||||||||||||||
Receive(5) | 1‑Day USD‑SOFR Compounded‑OIS | 2.300 | Annual | 01/17/2026 | 1,000 | 0 | 24 | 24 | 1 | 0 | ||||||||||||||||||||||||||||||
Pay | 1‑Day USD‑SOFR Compounded‑OIS | 2.000 | Annual | 12/21/2029 | 61,800 | (6,367 | ) | 326 | (6,041 | ) | 28 | 0 | ||||||||||||||||||||||||||||
Pay | 1‑Day USD‑SOFR Compounded‑OIS | 2.000 | Annual | 12/21/2032 | 12,500 | (1,710 | ) | 75 | (1,635 | ) | 0 | (36 | ) | |||||||||||||||||||||||||||
Pay | 3‑Month USD‑LIBOR | 2.750 | Semi‑Annual | 06/17/2025 | 43,420 | 2,555 | (4,376 | ) | (1,821 | ) | 0 | (64 | ) | |||||||||||||||||||||||||||
Pay | 3‑Month USD‑LIBOR | 2.250 | Semi-Annual | 06/15/2026 | 15,300 | 723 | (1,713 | ) | (990 | ) | 0 | (25 | ) | |||||||||||||||||||||||||||
Receive | 3‑Month USD‑LIBOR | 1.350 | Semi-Annual | 01/20/2027 | 4,900 | 0 | 516 | 516 | 7 | 0 | ||||||||||||||||||||||||||||||
Pay | 3‑Month USD‑LIBOR | 1.550 | Semi-Annual | 01/20/2027 | 21,600 | (75 | ) | (2,020 | ) | (2,095 | ) | 0 | (29 | ) | ||||||||||||||||||||||||||
Receive | 3‑Month USD‑LIBOR | 1.360 | Semi-Annual | 02/15/2027 | 2,730 | 0 | 286 | 286 | 4 | 0 | ||||||||||||||||||||||||||||||
Pay | 3‑Month USD‑LIBOR | 1.600 | Semi-Annual | 02/15/2027 | 10,900 | (38 | ) | (997 | ) | (1,035 | ) | 0 | (16 | ) | ||||||||||||||||||||||||||
Receive | 3‑Month USD‑LIBOR | 1.450 | Semi-Annual | 02/17/2027 | 4,500 | 0 | 455 | 455 | 7 | 0 | ||||||||||||||||||||||||||||||
Pay | 3‑Month USD‑LIBOR | 1.700 | Semi-Annual | 02/17/2027 | 18,000 | (68 | ) | (1,566 | ) | (1,634 | ) | 0 | (27 | ) | ||||||||||||||||||||||||||
Pay | 3‑Month USD‑LIBOR | 2.500 | Semi-Annual | 12/20/2027 | 28,100 | 200 | (2,145 | ) | (1,945 | ) | 0 | (48 | ) | |||||||||||||||||||||||||||
Receive | 3‑Month USD‑LIBOR | 1.420 | Semi-Annual | 08/17/2028 | 15,100 | 0 | 1,942 | 1,942 | 28 | 0 | ||||||||||||||||||||||||||||||
Receive | 3‑Month USD‑LIBOR | 1.380 | Semi-Annual | 08/24/2028 | 16,100 | 0 | 2,103 | 2,103 | 31 | 0 | ||||||||||||||||||||||||||||||
Pay | 3‑Month USD‑LIBOR | 3.000 | Semi-Annual | 06/19/2029 | 49,900 | 2,148 | (4,829 | ) | (2,681 | ) | 0 | (108 | ) | |||||||||||||||||||||||||||
Receive | 3‑Month USD‑LIBOR | 1.160 | Semi-Annual | 04/12/2031 | 1,400 | 0 | 276 | 276 | 3 | 0 | ||||||||||||||||||||||||||||||
Pay | 3‑Month USD‑LIBOR | 1.380 | Semi-Annual | 04/12/2031 | 7,000 | (19 | ) | (1,249 | ) | (1,268 | ) | 0 | (15 | ) | ||||||||||||||||||||||||||
Receive | 3‑Month USD‑LIBOR | 0.750 | Semi-Annual | 06/16/2031 | 36,300 | 3,000 | 5,181 | 8,181 | 68 | 0 | ||||||||||||||||||||||||||||||
Receive | 3‑Month USD‑LIBOR | 1.750 | Semi-Annual | 12/15/2031 | 20,100 | (318 | ) | 3,539 | 3,221 | 38 | 0 | |||||||||||||||||||||||||||||
Pay | 3‑Month USD‑LIBOR | 3.500 | Semi-Annual | 06/19/2044 | 83,100 | (2,711 | ) | 446 | (2,265 | ) | 62 | 0 | ||||||||||||||||||||||||||||
Receive | 3‑Month USD‑LIBOR | 2.000 | Semi-Annual | 01/15/2050 | 3,200 | (23 | ) | 897 | 874 | 15 | 0 |
See Accompanying Notes | SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 67 |
Schedule of Investments | PIMCO Income Strategy Fund | (Cont.) |
Pay/Receive Floating Rate | Floating Rate Index | Fixed Rate | Payment Frequency | Maturity Date | Notional Amount | Premiums Paid/(Received) | Unrealized Appreciation/ (Depreciation) | Market Value | Variation Margin | |||||||||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||||||||||
Receive | 3‑Month USD‑LIBOR | 1.750 | % | Semi‑Annual | 01/22/2050 | $ | 8,400 | $ | (19 | ) | $ | 2,690 | $ | 2,671 | $ | 39 | $ | 0 | ||||||||||||||||||||||||
Receive | 3‑Month USD‑LIBOR | 1.875 | Semi-Annual | 02/07/2050 | 8,800 | (34 | ) | 2,634 | 2,600 | 42 | 0 | |||||||||||||||||||||||||||||||
Receive | 3‑Month USD‑LIBOR | 2.250 | Semi-Annual | 03/12/2050 | 1,700 | (5 | ) | 390 | 385 | 9 | 0 | |||||||||||||||||||||||||||||||
Receive | 3‑Month USD‑LIBOR | 1.150 | Semi-Annual | 12/11/2050 | 91,100 | 52 | 38,567 | 38,619 | 0 | (93 | ) | |||||||||||||||||||||||||||||||
Pay | 6‑Month AUD‑BBR‑BBSW | 3.500 | Semi-Annual | 06/17/2025 | AUD | 3,900 | 97 | (141 | ) | (44 | ) | 0 | (1 | ) | ||||||||||||||||||||||||||||
Receive | 6‑Month EUR‑EURIBOR | 0.150 | Annual | 03/18/2030 | EUR | 3,400 | 62 | 734 | 796 | 13 | 0 | |||||||||||||||||||||||||||||||
Receive | 6‑Month EUR‑EURIBOR | 0.250 | Annual | 09/21/2032 | 3,600 | 326 | 633 | 959 | 17 | 0 | ||||||||||||||||||||||||||||||||
Receive(5) | 6‑Month EUR‑EURIBOR | 0.830 | Annual | 12/09/2052 | 4,600 | 11 | 137 | 148 | 6 | 0 | ||||||||||||||||||||||||||||||||
Receive | 28‑Day MXN‑TIIE | 8.675 | Lunar | 04/03/2024 | MXN | 100 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||||||||||
$ | (1,093 | ) | $ | 44,949 | $ | 43,856 | $ | 435 | $ | (462 | ) | |||||||||||||||||||||||||||||||
Total Swap Agreements | $ | (1,765 | ) | $ | 45,084 | $ | 43,319 | $ | 437 | $ | (468 | ) | ||||||||||||||||||||||||||||||
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 | $ | 437 | $ | 437 | $ | 0 | $ | 0 | $ | (468) | $ | (468) | ||||||||||||||||||||
(o) | Securities with an aggregate market value of $925 and cash of $14,433 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information. |
(1) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(3) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(4) | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(5) | This instrument has a forward starting effective date. See Note 2, Securities Transactions and Investment Income, in the Notes to Financial Statements for further information. |
Counterparty | Settlement Month | Currency to be Delivered | Currency to be Received | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||
BOA | 02/2023 | CHF | 972 | $ | 1,027 | $ | 0 | $ | (30 | ) | ||||||||||||||
02/2023 | PEN | 690 | 176 | 0 | (5 | ) | ||||||||||||||||||
BPS | 01/2023 | $ | 309 | EUR | 290 | 2 | 0 | |||||||||||||||||
BRC | 02/2023 | CHF | 500 | $ | 533 | 0 | (10 | ) | ||||||||||||||||
CBK | 01/2023 | PEN | 1,134 | 282 | 0 | (16 | ) | |||||||||||||||||
02/2023 | BRL | 3,440 | 637 | 0 | (11 | ) | ||||||||||||||||||
03/2023 | PEN | 1,070 | 277 | 0 | (3 | ) | ||||||||||||||||||
05/2023 | 812 | 204 | 0 | (7 | ) | |||||||||||||||||||
GLM | 03/2023 | MXN | 681 | 33 | 0 | (1 | ) | |||||||||||||||||
05/2023 | $ | 881 | PEN | 3,543 | 43 | 0 | ||||||||||||||||||
JPM | 02/2023 | 134 | MXN | 2,759 | 6 | 0 | ||||||||||||||||||
MBC | 01/2023 | EUR | 32,033 | $ | 33,577 | 0 | (727 | ) | ||||||||||||||||
01/2023 | GBP | 744 | 907 | 7 | 0 | |||||||||||||||||||
01/2023 | $ | 168 | EUR | 158 | 1 | 0 |
68 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
December 31, 2022 | (Unaudited) |
Counterparty | Settlement Month | Currency to be Delivered | Currency to be Received | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||
01/2023 | $ | 355 | GBP | 292 | $ | 0 | $ | (2 | ) | |||||||||||||||
02/2023 | CAD | 657 | $ | 496 | 10 | 0 | ||||||||||||||||||
RBC | 03/2023 | MXN | 11 | 1 | 0 | 0 | ||||||||||||||||||
Total Forward Foreign Currency Contracts | $ | 69 | $ | (812 | ) | |||||||||||||||||||
Counterparty | Reference Entity | Fixed Receive Rate | Payment Frequency | Maturity Date | Implied Credit Spread at December 31, 2022(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 | 12/20/2024 | 1.522 | % | $ | 500 | $ | (98 | ) | $ | 93 | $ | 0 | $ | (5 | ) | |||||||||||||||||||||||
GST | Petrobras Global Finance BV | 1.000 | Quarterly | 12/20/2024 | 1.522 | 700 | (139 | ) | 132 | 0 | (7 | ) | ||||||||||||||||||||||||||||||
HUS | Petrobras Global Finance BV | 1.000 | Quarterly | 12/20/2024 | 1.522 | 800 | (166 | ) | 159 | 0 | (7 | ) | ||||||||||||||||||||||||||||||
JPM | Banca Monte Dei Paschi Di | 5.000 | Quarterly | 06/20/2025 | 4.967 | EUR | 100 | (2 | ) | 2 | 0 | 0 | ||||||||||||||||||||||||||||||
Total Swap Agreements | $ | (405 | ) | $ | 386 | $ | 0 | $ | (19 | ) | ||||||||||||||||||||||||||||||||
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||||||||||||||||||
Counterparty | Forward Foreign Currency Contracts | Purchased Options | Swap Agreements | Total Over the Counter | Forward Foreign Currency Contracts | Written Options | Swap Agreements | Total Over the Counter | Net Market Value of OTC Derivatives | Collateral Pledged/ (Received) | Net Exposure(5) | |||||||||||||||||||||||||||||||||||||
BOA | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | (35 | ) | $ | 0 | $ | 0 | $ | (35 | ) | $ | (35 | ) | $ | 23 | $ | (12 | ) | ||||||||||||||||||||||
BPS | 2 | 0 | 0 | 2 | 0 | 0 | (5 | ) | (5 | ) | (3 | ) | 0 | (3 | ) | |||||||||||||||||||||||||||||||||
BRC | 0 | 0 | 0 | 0 | (10 | ) | 0 | 0 | (10 | ) | (10 | ) | 0 | (10 | ) | |||||||||||||||||||||||||||||||||
CBK | 0 | 0 | 0 | 0 | (37 | ) | 0 | 0 | (37 | ) | (37 | ) | 0 | (37 | ) | |||||||||||||||||||||||||||||||||
GLM | 43 | 0 | 0 | 43 | (1 | ) | 0 | 0 | (1 | ) | 42 | 0 | 42 | |||||||||||||||||||||||||||||||||||
GST | 0 | 0 | 0 | 0 | 0 | 0 | (7 | ) | (7 | ) | (7 | ) | 90 | 83 | ||||||||||||||||||||||||||||||||||
HUS | 0 | 0 | 0 | 0 | 0 | 0 | (7 | ) | (7 | ) | (7 | ) | 0 | (7 | ) | |||||||||||||||||||||||||||||||||
JPM | 6 | 0 | 0 | 6 | 0 | 0 | 0 | 0 | 6 | 0 | 6 | |||||||||||||||||||||||||||||||||||||
MBC | 18 | 0 | 0 | 18 | (729 | ) | 0 | 0 | (729 | ) | (711 | ) | 562 | (149 | ) | |||||||||||||||||||||||||||||||||
Total Over the Counter | $ | 69 | $ | 0 | $ | 0 | $ | 69 | $ | (812 | ) | $ | 0 | $ | (19 | ) | $ | (831 | ) | |||||||||||||||||||||||||||||
(q) | Securities with an aggregate market value of $675 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022. |
(1) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(3) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(4) | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(5) | Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information. |
See Accompanying Notes | SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 69 |
Schedule of Investments | PIMCO Income Strategy Fund | (Cont.) |
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Exchange Contracts | Interest Rate Contracts | Total | |||||||||||||||||||
Financial Derivative Instruments - Assets | ||||||||||||||||||||||||
Exchange-traded or centrally cleared | ||||||||||||||||||||||||
Swap Agreements | $ | 0 | $ | 2 | $ | 0 | $ | 0 | $ | 435 | $ | 437 | ||||||||||||
Over the counter | ||||||||||||||||||||||||
Forward Foreign Currency Contracts | $ | 0 | $ | 0 | $ | 0 | $ | 69 | $ | 0 | $ | 69 | ||||||||||||
$ | 0 | $ | 2 | $ | 0 | $ | 69 | $ | 435 | $ | 506 | |||||||||||||
Financial Derivative Instruments - Liabilities | ||||||||||||||||||||||||
Exchange-traded or centrally cleared | ||||||||||||||||||||||||
Swap Agreements | $ | 0 | $ | 6 | $ | 0 | $ | 0 | $ | 462 | $ | 468 | ||||||||||||
Over the counter | ||||||||||||||||||||||||
Forward Foreign Currency Contracts | $ | 0 | $ | 0 | $ | 0 | $ | 812 | $ | 0 | $ | 812 | ||||||||||||
Swap Agreements | 0 | 19 | 0 | 0 | 0 | 19 | ||||||||||||||||||
$ | 0 | $ | 19 | $ | 0 | $ | 812 | $ | 0 | $ | 831 | |||||||||||||
$ | 0 | $ | 25 | $ | 0 | $ | 812 | $ | 462 | $ | 1,299 | |||||||||||||
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 | $ | 199 | $ | 0 | $ | 0 | $ | 2,328 | $ | 2,527 | ||||||||||||
Over the counter | ||||||||||||||||||||||||
Forward Foreign Currency Contracts | $ | 0 | $ | 0 | $ | 0 | $ | 2,661 | $ | 0 | $ | 2,661 | ||||||||||||
Swap Agreements | 0 | 13 | 0 | 0 | 0 | 13 | ||||||||||||||||||
$ | 0 | $ | 13 | $ | 0 | $ | 2,661 | $ | 0 | $ | 2,674 | |||||||||||||
$ | 0 | $ | 212 | $ | 0 | $ | 2,661 | $ | 2,328 | $ | 5,201 | |||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative Instruments | ||||||||||||||||||||||||
Exchange-traded or centrally cleared | ||||||||||||||||||||||||
Swap Agreements | $ | 0 | $ | 794 | $ | 0 | $ | 0 | $ | (726 | ) | $ | 68 | |||||||||||
Over the counter | ||||||||||||||||||||||||
Forward Foreign Currency Contracts | $ | 0 | $ | 0 | $ | 0 | $ | (2,304 | ) | $ | 0 | $ | (2,304 | ) | ||||||||||
Swap Agreements | 0 | 47 | 0 | 0 | 0 | 47 | ||||||||||||||||||
$ | 0 | $ | 47 | $ | 0 | $ | (2,304 | ) | $ | 0 | $ | (2,257 | ) | |||||||||||
$ | 0 | $ | 841 | $ | 0 | $ | (2,304 | ) | $ | (726 | ) | $ | (2,189 | ) | ||||||||||
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2022 | ||||||||||||
Investments in Securities, at Value | ||||||||||||||||
Loan Participations and Assignments | $ | 0 | $ | 88,693 | $ | 20,466 | $ | 109,159 | ||||||||
Corporate Bonds & Notes | ||||||||||||||||
Banking & Finance | 0 | 34,138 | 0 | 34,138 | ||||||||||||
Industrials | 0 | 93,732 | 0 | 93,732 | ||||||||||||
Utilities | 0 | 23,736 | 0 | 23,736 | ||||||||||||
Convertible Bonds & Notes | ||||||||||||||||
Industrials | 0 | 1,006 | 0 | 1,006 |
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2022 | ||||||||||||
Municipal Bonds & Notes | ||||||||||||||||
Illinois | $ | 0 | $ | 1,945 | $ | 0 | $ | 1,945 | ||||||||
Puerto Rico | 0 | 1,239 | 0 | 1,239 | ||||||||||||
West Virginia | 0 | 1,631 | 0 | 1,631 | ||||||||||||
U.S. Government Agencies | 0 | 3,678 | 2,366 | 6,044 | ||||||||||||
Non‑Agency Mortgage-Backed Securities | 0 | 19,184 | 0 | 19,184 | ||||||||||||
Asset-Backed Securities | 0 | 19,542 | 2,148 | 21,690 | ||||||||||||
Sovereign Issues | 0 | 5,093 | 0 | 5,093 |
70 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
December 31, 2022 | (Unaudited) |
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2022 | ||||||||||||
Common Stocks | ||||||||||||||||
Communication Services | $ | 657 | $ | 0 | $ | 267 | $ | 924 | ||||||||
Consumer Staples | 39 | 0 | 0 | 39 | ||||||||||||
Energy | 251 | 0 | 44 | 295 | ||||||||||||
Financials | 1,079 | 0 | 2,723 | 3,802 | ||||||||||||
Industrials | 0 | 0 | 8,253 | 8,253 | ||||||||||||
Rights | ||||||||||||||||
Financials | 0 | 0 | 81 | 81 | ||||||||||||
Warrants | ||||||||||||||||
Financials | 0 | 0 | 90 | 90 | ||||||||||||
Information Technology | 0 | 0 | 5,507 | 5,507 | ||||||||||||
Preferred Securities | ||||||||||||||||
Banking & Finance | 0 | 5,961 | 0 | 5,961 | ||||||||||||
Industrials | 0 | 0 | 866 | 866 | ||||||||||||
Real Estate Investment Trusts | ||||||||||||||||
Real Estate | 2,437 | 0 | 0 | 2,437 | ||||||||||||
Short-Term Instruments | ||||||||||||||||
Repurchase Agreements | 0 | 62,195 | 0 | 62,195 | ||||||||||||
Short-Term Notes | 0 | 8,800 | 0 | 8,800 | ||||||||||||
Argentina Treasury Bills | 0 | 275 | 0 | 275 | ||||||||||||
U.S. Treasury Bills | 0 | 2,109 | 0 | 2,109 | ||||||||||||
Total Investments | $ | 4,463 | $ | 372,957 | $ | 42,811 | $ | 420,231 | ||||||||
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2022 | ||||||||||||
Financial Derivative Instruments - Assets | ||||||||||||||||
Exchange-traded or centrally cleared | $ | 0 | $ | 437 | $ | 0 | $ | 437 | ||||||||
Over the counter | 0 | 69 | 0 | 69 | ||||||||||||
$ | 0 | $ | 506 | $ | 0 | $ | 506 | |||||||||
Financial Derivative Instruments - Liabilities | ||||||||||||||||
Exchange-traded or centrally cleared | 0 | (468 | ) | 0 | (468 | ) | ||||||||||
Over the counter | 0 | (831 | ) | 0 | (831 | ) | ||||||||||
$ | 0 | $ | (1,299 | ) | $ | 0 | $ | (1,299 | ) | |||||||
Total Financial Derivative Instruments | $ | 0 | $ | (793 | ) | $ | 0 | $ | (793 | ) | ||||||
Totals | $ | 4,463 | $ | 372,164 | $ | 42,811 | $ | 419,438 | ||||||||
Category and Subcategory | Beginning Balance at 06/30/2022 | Net Purchases | Net Sales/ Settlements | Accrued Discounts/ (Premiums) | Realized Gain/(Loss) | Net Change in Unrealized Appreciation/ (Depreciation)(1) | Transfers into Level 3 | Transfers out of Level 3 | Ending Balance at 12/31/2022 | Net Change in Unrealized Appreciation/ (Depreciation) on Investments Held at 12/31/2022(1) | ||||||||||||||||||||||||||||||
Investments in Securities, at Value | ||||||||||||||||||||||||||||||||||||||||
Loan Participations and Assignments | $ | 24,535 | $ | 9,591 | $ | (2,866 | ) | $ | (29 | ) | $ | 50 | $ | (1,071 | ) | $ | 6,278 | $ | (16,022 | ) | $ | 20,466 | $ | 57 | ||||||||||||||||
Corporate Bonds & Notes | ||||||||||||||||||||||||||||||||||||||||
Industrials | 17,691 | 142 | 0 | 33 | 0 | (978 | ) | 0 | (16,888 | ) | 0 | 0 | ||||||||||||||||||||||||||||
U.S. Government Agencies | 2,374 | 0 | (29 | ) | 5 | 10 | 6 | 0 | 0 | 2,366 | 5 | |||||||||||||||||||||||||||||
Asset-Backed Securities | 2,912 | 0 | (237 | ) | 7 | (653 | ) | 119 | 0 | 0 | 2,148 | (531 | ) | |||||||||||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||||||||||||||||||
Communication Services | 343 | 0 | 0 | 0 | 0 | (76 | ) | 0 | 0 | 267 | (76 | ) | ||||||||||||||||||||||||||||
Energy | 19 | 0 | 0 | 0 | 0 | 25 | 0 | 0 | 44 | 25 | ||||||||||||||||||||||||||||||
Financials | 3,177 | 0 | 0 | 0 | 0 | (454 | ) | 0 | 0 | 2,723 | (454 | ) | ||||||||||||||||||||||||||||
Industrials | 7,887 | 70 | 0 | 0 | 0 | 296 | 0 | 0 | 8,253 | 296 | ||||||||||||||||||||||||||||||
Materials | 13 | 0 | (14 | ) | 0 | 14 | (13 | ) | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||||
Rights | ||||||||||||||||||||||||||||||||||||||||
Financials | 57 | 0 | 0 | 0 | 0 | 24 | 0 | 0 | 81 | 24 | ||||||||||||||||||||||||||||||
Warrants | ||||||||||||||||||||||||||||||||||||||||
Financials | 60 | 0 | 0 | 0 | 0 | 30 | 0 | 0 | 90 | 30 | ||||||||||||||||||||||||||||||
Industrials | 236 | 0 | (48 | ) | 0 | 48 | (236 | ) | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||||
Information Technology | 5,801 | 0 | 0 | 0 | 0 | (294 | ) | 0 | 0 | 5,507 | (294 | ) | ||||||||||||||||||||||||||||
Preferred Securities | ||||||||||||||||||||||||||||||||||||||||
Industrials | 15,336 | 0 | (17,589 | ) | 0 | 9,778 | (6,659 | ) | 0 | 0 | 866 | (110 | ) | |||||||||||||||||||||||||||
Totals | $ | 80,441 | $ | 9,803 | $ | (20,783 | ) | $ | 16 | $ | 9,247 | $ | (9,281 | ) | $ | 6,278 | $ | (32,910 | ) | $ | 42,811 | $ | (1,028 | ) | ||||||||||||||||
See Accompanying Notes | SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 71 |
Schedule of Investments | PIMCO Income Strategy Fund | (Cont.) | December 31, 2022 | (Unaudited) |
Category and Subcategory | Ending Balance at 12/31/2022 | Valuation Technique | Unobservable Inputs | (% Unless Noted Otherwise) | ||||||||||||||
Input Value(s) | Weighted Average | |||||||||||||||||
Investments in Securities, at Value | ||||||||||||||||||
Loan Participations and Assignments | $ | 3,860 | Discounted Cash Flow | Discount Rate | 6.180 | — | ||||||||||||
3,228 | Discounted Cash Flow | Discount Spread | 9.080 | — | ||||||||||||||
2,986 | Proxy Pricing | Base Price | 95.286 | — | ||||||||||||||
10,392 | Third Party Vendor | Broker Quote | 35.000-87.500 | 70.265 | ||||||||||||||
U.S. Government Agencies | 2,366 | Discounted Cash Flow | Discount Rate | 12.000 | — | |||||||||||||
Asset-Backed Securities | 2,148 | Discounted Cash Flow | Discount Rate | 10.000-20.000 | 16.849 | |||||||||||||
Common Stocks | ||||||||||||||||||
Communication Services | 267 | Reference Instrument | Stock Price W/Liquidity Discount | 10.000 | — | |||||||||||||
Energy | 44 | Market Comparable Valuation | EBITDA Multiple | X | 4.600 | — | ||||||||||||
Financials | 2,723 | Indicative Market Quotation | Price | $ | 24.000 | — | ||||||||||||
Industrials | 7,015 | Market Comparable Valuation / Discounted Cash Flow | Revenue | EBITDA Multiple / Discount Rate | X/% | 0.620|6.160/10.000 | — | ||||||||||||
1,047 | Discounted Cash Flow | Discount Rate | 11.590 | — | ||||||||||||||
191 | Indicative Market Quotation | Price | $ | 7.500 | — | |||||||||||||
Rights | ||||||||||||||||||
Financials | 81 | Other Valuation Techniques(2) | — | — | — | |||||||||||||
Warrants | ||||||||||||||||||
Financials | 1 | Indicative Market Quotation | Price | $ | 2.000-3.500 | 3.265 | ||||||||||||
89 | Other Valuation Techniques(2) | — | — | — | ||||||||||||||
Information Technology | 5,507 | Market Comparable Valuation | EBITDA Multiple | X | 4.500 | — | ||||||||||||
Preferred Securities | ||||||||||||||||||
Industrials | 866 | Market Comparable Valuation / Discounted Cash Flow | TBV Multiple/Discount Rate | X/% | 0.370/24.820 | — | ||||||||||||
Total | $ | 42,811 | ||||||||||||||||
(1) | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at December 31, 2022 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. |
72 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
Schedule of Investments | PIMCO Income Strategy Fund II | December 31, 2022 | (Unaudited) |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
INVESTMENTS IN SECURITIES 137.2% | ||||||||||||
LOAN PARTICIPATIONS AND ASSIGNMENTS 33.9% | ||||||||||||
American Airlines, Inc. | ||||||||||||
8.993% (LIBOR03M + 4.750%) due 04/20/2028 ~ | $ | 900 | $ | 898 | ||||||||
AmSurg LLC | ||||||||||||
TBD% due 04/29/2027 µ | 1,523 | 1,491 | ||||||||||
AP Core Holdings LLC | ||||||||||||
9.884% (LIBOR01M + 5.500%) due 09/01/2027 ~ | 16,499 | 14,949 | ||||||||||
Arches Buyer, Inc. | ||||||||||||
7.634% (LIBOR01M + 3.250%) due 12/06/2027 ~ | 922 | 856 | ||||||||||
Carnival Corp. | ||||||||||||
5.648% (EUR001M + 3.750%) due 06/30/2025 ~ | EUR | 2,265 | 2,337 | |||||||||
Diamond Sports Group LLC | ||||||||||||
12.317% due 05/25/2026 | $ | 18,010 | 17,113 | |||||||||
DirecTV Financing LLC | ||||||||||||
9.384% (LIBOR01M + 5.000%) due 08/02/2027 ~ | 4,876 | 4,758 | ||||||||||
Envision Healthcare Corp. | ||||||||||||
12.119% due 04/29/2027 | 8,377 | 8,199 | ||||||||||
15.744% due 04/28/2028 | 19,678 | 16,103 | ||||||||||
Forbes Energy Services LLC | ||||||||||||
7.000% due 06/30/2023 « | 315 | 0 | ||||||||||
11.000% due 06/30/2023 « | 4 | 0 | ||||||||||
Gateway Casinos & Entertainment Ltd. | ||||||||||||
12.138% due 10/15/2027 | 6,761 | 6,676 | ||||||||||
12.565% due 10/18/2027 | CAD | 3,869 | 2,822 | |||||||||
Intelsat Jackson Holdings SA | ||||||||||||
7.445% due 02/01/2029 | $ | 4,461 | 4,316 | |||||||||
Lealand Finance Co. BV | ||||||||||||
7.384% (LIBOR01M + 3.000%) due 06/28/2024 ~ | 88 | 57 | ||||||||||
Lealand Finance Co. BV (5.384% Cash and 3.000% PIK) | ||||||||||||
8.384% (LIBOR01M + 1.000%) due 06/30/2025 ~(b) | 806 | 433 | ||||||||||
MPH Acquisition Holdings LLC | ||||||||||||
8.985% (LIBOR03M + 4.250%) due 09/01/2028 ~ | 6,930 | 5,951 | ||||||||||
Oi SA | ||||||||||||
TBD% due 02/26/2035 « | 4,206 | 1,472 | ||||||||||
Poseidon Bidco SASU | ||||||||||||
7.452% (EUR003M + 5.250%) due 07/14/2028 «~ | EUR | 6,700 | 6,179 | |||||||||
Promotora de Informaciones SA | ||||||||||||
6.708% (EUR003M + 5.250%) due 12/31/2026 «~ | 11,126 | 10,243 | ||||||||||
8.000% (EUR003M + 8.000%) due 06/30/2027 «~ | 1,559 | 1,460 | ||||||||||
PUG LLC | ||||||||||||
7.884% (LIBOR01M + 3.500%) due 02/12/2027 ~ | $ | 9,665 | 8,046 | |||||||||
8.634% (LIBOR01M + 4.250%) due 02/12/2027 «~ | 409 | 340 | ||||||||||
Redstone Holdco 2 LP | ||||||||||||
9.108% (LIBOR03M + 4.750%) due 04/27/2028 ~ | 6,067 | 4,230 | ||||||||||
Rising Tide Holdings, Inc. | ||||||||||||
9.485% (LIBOR03M + 4.750%) due 06/01/2028 «~ | 1,086 | 516 | ||||||||||
Steenbok Lux Finco 2 SARL (10.750% PIK) | ||||||||||||
10.750% (EUR006M) due 06/30/2023 ~(b) | EUR | 14,659 | 10,095 | |||||||||
Syniverse Holdings, Inc. | ||||||||||||
11.580% due 05/13/2027 | $ | 17,864 | 15,676 | |||||||||
Team Health Holdings, Inc. | ||||||||||||
7.134% (LIBOR01M + 2.750%) due 02/06/2024 ~ | 13,794 | 11,863 | ||||||||||
Telemar Norte Leste SA | ||||||||||||
TBD% due 02/26/2035 « | 12,380 | 4,333 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
U.S. Renal Care, Inc. | ||||||||||||
9.438% (LIBOR01M + 5.000%) due 06/26/2026 ~ | $ | 15,132 | $ | 8,540 | ||||||||
9.938% (LIBOR01M + 5.500%) due 06/26/2026 ~ | 5,865 | 3,310 | ||||||||||
Veritas U.S., Inc. | ||||||||||||
9.730% (LIBOR03M + 5.000%) due 09/01/2025 ~ | 13,215 | 9,390 | ||||||||||
Westmoreland Mining Holdings LLC (15.000% PIK) | ||||||||||||
15.000% due 03/15/2029 (b) | 5,013 | 3,898 | ||||||||||
Windstream Services LLC | ||||||||||||
8.423% due 02/28/2027 « | 6,060 | 5,781 | ||||||||||
10.673% (LIBOR01M + 6.250%) due 09/21/2027 ~ | 2,777 | 2,526 | ||||||||||
Total Loan Participations and Assignments (Cost $229,537) | 194,857 | |||||||||||
CORPORATE BONDS & NOTES 49.4% | ||||||||||||
BANKING & FINANCE 11.3% | ||||||||||||
Apollo Commercial Real Estate Finance, Inc. | ||||||||||||
4.625% due 06/15/2029 (m) | 1,660 | 1,331 | ||||||||||
Armor Holdco, Inc. | ||||||||||||
8.500% due 11/15/2029 (m) | 2,700 | 2,031 | ||||||||||
Banca Monte dei Paschi di Siena SpA | ||||||||||||
1.875% due 01/09/2026 | EUR | 2,800 | 2,578 | |||||||||
2.625% due 04/28/2025 | 6,685 | 6,494 | ||||||||||
3.625% due 09/24/2024 | 1,200 | 1,222 | ||||||||||
5.375% due 01/18/2028 • | 2,100 | 1,818 | ||||||||||
8.000% due 01/22/2030 • | 2,361 | 2,218 | ||||||||||
8.500% due 09/10/2030 • | 1,400 | 1,322 | ||||||||||
10.500% due 07/23/2029 | 5,318 | 5,287 | ||||||||||
Banco de Credito del Peru SA | ||||||||||||
4.650% due 09/17/2024 | PEN | 800 | 197 | |||||||||
Barclays PLC | ||||||||||||
7.437% due 11/02/2033 • | $ | 1,882 | 1,978 | |||||||||
BNP Paribas SA | ||||||||||||
3.132% due 01/20/2033 • | 1,659 | 1,314 | ||||||||||
BOI Finance BV | ||||||||||||
7.500% due 02/16/2027 | EUR | 3,000 | 2,593 | |||||||||
Corsair International Ltd. | ||||||||||||
5.473% due 01/28/2027 • | 1,000 | 1,062 | ||||||||||
Cosaint Re Pte. Ltd. | ||||||||||||
13.850% (T‑BILL 1MO + 9.250%) due 04/03/2028 ~ | $ | 900 | 729 | |||||||||
Credit Agricole SA | ||||||||||||
7.875% due 01/23/2024 •(i)(j) | 300 | 298 | ||||||||||
Credit Suisse Group AG | ||||||||||||
6.373% due 07/15/2026 •(m) | 500 | 470 | ||||||||||
6.442% due 08/11/2028 •(m) | 600 | 547 | ||||||||||
7.500% due 12/11/2023 •(i)(j) | 1,463 | 1,282 | ||||||||||
7.500% due 12/11/2023 •(i)(j)(m) | 5,780 | 5,063 | ||||||||||
GSPA Monetization Trust | ||||||||||||
6.422% due 10/09/2029 | 2,655 | 2,551 | ||||||||||
Hestia Re Ltd. | ||||||||||||
13.840% (T‑BILL 1MO + 9.500%) due 04/22/2025 ~ | 704 | 581 | ||||||||||
Sanders Re Ltd. | ||||||||||||
16.090% (T‑BILL 3MO + 11.750%) due 04/09/2029 ~ | 1,405 | 1,334 | ||||||||||
Unique Pub Finance Co. PLC | ||||||||||||
5.659% due 06/30/2027 | GBP | 356 | 425 | |||||||||
Uniti Group LP | ||||||||||||
6.000% due 01/15/2030 (m) | $ | 9,565 | 6,065 | |||||||||
6.500% due 02/15/2029 (m) | 2,900 | 1,927 | ||||||||||
VICI Properties LP | ||||||||||||
5.750% due 02/01/2027 (m) | 5,300 | 5,173 | ||||||||||
Voyager Aviation Holdings LLC | ||||||||||||
8.500% due 05/09/2026 | 8,297 | 6,586 | ||||||||||
Yosemite Re Ltd. | ||||||||||||
14.087% (T‑BILL 3MO + 9.750%) due 06/06/2025 ~ | 760 | 732 | ||||||||||
65,208 | ||||||||||||
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
INDUSTRIALS 30.8% | ||||||||||||
Altice Financing SA | ||||||||||||
5.750% due 08/15/2029 (m) | $ | 2,739 | $ | 2,160 | ||||||||
Boeing Co. | ||||||||||||
6.125% due 02/15/2033 (m) | 1,755 | 1,789 | ||||||||||
Carvana Co. | ||||||||||||
10.250% due 05/01/2030 | 2,500 | 1,179 | ||||||||||
CGG SA | ||||||||||||
7.750% due 04/01/2027 | EUR | 5,500 | 4,831 | |||||||||
8.750% due 04/01/2027 (m) | $ | 3,656 | 2,929 | |||||||||
Champion Path Holdings Ltd. | ||||||||||||
4.500% due 01/27/2026 | 1,100 | 960 | ||||||||||
4.850% due 01/27/2028 | 1,200 | 1,012 | ||||||||||
Community Health Systems, Inc. | ||||||||||||
5.250% due 05/15/2030 (m) | 4,100 | 3,099 | ||||||||||
8.000% due 03/15/2026 (m) | 4,014 | 3,663 | ||||||||||
CVS Pass-Through Trust | ||||||||||||
7.507% due 01/10/2032 (m) | 685 | 713 | ||||||||||
DISH DBS Corp. | ||||||||||||
5.250% due 12/01/2026 (m) | 7,000 | 5,909 | ||||||||||
5.750% due 12/01/2028 (m) | 7,260 | 5,808 | ||||||||||
DTEK Energy BV (3.500% Cash and 3.500% PIK) | ||||||||||||
7.000% due 12/31/2027 (b) | 4,193 | 1,156 | ||||||||||
Dufry One BV | ||||||||||||
3.625% due 04/15/2026 | CHF | 3,090 | 2,942 | |||||||||
Exela Intermediate LLC | ||||||||||||
11.500% due 07/15/2026 | $ | 88 | 15 | |||||||||
Fertitta Entertainment LLC | ||||||||||||
6.750% due 01/15/2030 (m) | 2,300 | 1,860 | ||||||||||
Ford Motor Co. | ||||||||||||
7.700% due 05/15/2097 (m) | 8,720 | 8,268 | ||||||||||
HCA, Inc. | ||||||||||||
7.500% due 11/15/2095 (m) | 1,200 | 1,292 | ||||||||||
Intelsat Jackson Holdings SA | ||||||||||||
6.500% due 03/15/2030 (m) | 17,148 | 15,373 | ||||||||||
Inter Media & Communication SpA | ||||||||||||
6.750% due 02/09/2027 | EUR | 3,000 | 3,052 | |||||||||
Market Bidco Finco PLC | ||||||||||||
4.750% due 11/04/2027 | 800 | 691 | ||||||||||
Melco Resorts Finance Ltd. | ||||||||||||
4.875% due 06/06/2025 (m) | $ | 1,800 | 1,656 | |||||||||
5.750% due 07/21/2028 (m) | 1,900 | 1,592 | ||||||||||
New Albertsons LP | ||||||||||||
6.570% due 02/23/2028 | 6,800 | 6,993 | ||||||||||
Nissan Motor Co. Ltd. | ||||||||||||
4.810% due 09/17/2030 (m) | 10,500 | 8,934 | ||||||||||
Noble Corp. PLC (11.000% Cash or 15.000% PIK) | ||||||||||||
11.000% due 02/15/2028 (b) | 1,387 | 1,543 | ||||||||||
Odebrecht Oil & Gas Finance Ltd. | ||||||||||||
0.000% due 01/30/2023 (f)(i) | 1,101 | 3 | ||||||||||
Petroleos Mexicanos | ||||||||||||
2.750% due 04/21/2027 | EUR | 2,376 | 1,996 | |||||||||
Prime Healthcare Services, Inc. | ||||||||||||
7.250% due 11/01/2025 (m) | $ | 4,500 | 3,810 | |||||||||
Russian Railways Via RZD Capital PLC | ||||||||||||
7.487% due 03/25/2031 ^(c) | GBP | 1,300 | 849 | |||||||||
Sands China Ltd. | ||||||||||||
5.900% due 08/08/2028 (m) | $ | 5,811 | 5,449 | |||||||||
Studio City Finance Ltd. | ||||||||||||
6.000% due 07/15/2025 (m) | 2,100 | 1,824 | ||||||||||
6.500% due 01/15/2028 (m) | 2,100 | 1,634 | ||||||||||
Topaz Solar Farms LLC | ||||||||||||
4.875% due 09/30/2039 | 1,900 | 1,691 | ||||||||||
5.750% due 09/30/2039 (m) | 11,220 | 10,665 | ||||||||||
U.S. Renal Care, Inc. | ||||||||||||
10.625% due 07/15/2027 (m) | 4,044 | 890 | ||||||||||
United Group BV | ||||||||||||
4.875% due 07/01/2024 | EUR | 100 | 100 | |||||||||
Valaris Ltd. (8.250% Cash or 12.000% PIK) | ||||||||||||
8.250% due 04/30/2028 (b)(m) | $ | 5,271 | 5,309 | |||||||||
Vale SA | ||||||||||||
3.202% due 12/29/2049 ~(i) | BRL | 110,000 | 7,773 |
See Accompanying Notes | SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 73 |
Schedule of Investments | PIMCO Income Strategy Fund II | (Cont.) |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Veritas U.S., Inc. | ||||||||||||
7.500% due 09/01/2025 (m) | $ | 2,750 | $ | 1,900 | ||||||||
Viking Cruises Ltd. | ||||||||||||
13.000% due 05/15/2025 (m) | 6,375 | 6,736 | ||||||||||
VOC Escrow Ltd. | ||||||||||||
5.000% due 02/15/2028 (m) | 2,100 | 1,810 | ||||||||||
Wesco Aircraft Holdings, Inc. (7.500% Cash and 3.000% PIK) | ||||||||||||
10.500% due 11/15/2026 (b) | 27,315 | 25,198 | ||||||||||
Windstream Escrow LLC | ||||||||||||
7.750% due 08/15/2028 (m) | 4,800 | 3,923 | ||||||||||
Wynn Macau Ltd. | ||||||||||||
5.125% due 12/15/2029 | 200 | 162 | ||||||||||
5.500% due 01/15/2026 (m) | 1,600 | 1,470 | ||||||||||
5.500% due 01/15/2026 | 1,800 | 1,654 | ||||||||||
5.500% due 10/01/2027 (m) | 2,300 | 2,014 | ||||||||||
5.625% due 08/26/2028 (m) | 1,000 | 856 | ||||||||||
177,135 | ||||||||||||
UTILITIES 7.3% | ||||||||||||
Eskom Holdings SOC Ltd. | ||||||||||||
6.750% due 08/06/2023 | 1,600 | 1,545 | ||||||||||
7.125% due 02/11/2025 | 1,415 | 1,292 | ||||||||||
7.125% due 02/11/2025 (m) | 2,200 | 2,009 | ||||||||||
NGD Holdings BV | ||||||||||||
6.750% due 12/31/2026 | 396 | 184 | ||||||||||
Northwestern Bell Telephone | ||||||||||||
7.750% due 05/01/2030 | 12,625 | 11,963 | ||||||||||
Odebrecht Drilling Norbe Ltd. (6.350% Cash and 1.000% PIK) | ||||||||||||
7.350% due 12/01/2026 ^(b) | 258 | 143 | ||||||||||
Odebrecht Offshore Drilling Finance Ltd. (6.720% Cash and 1.000% PIK) | ||||||||||||
7.720% due 12/01/2026 ^(b) | 8,607 | 2,303 | ||||||||||
Oi SA | ||||||||||||
10.000% due 07/27/2025 | 26,307 | 4,546 | ||||||||||
Pacific Gas & Electric Co. | ||||||||||||
3.750% due 08/15/2042 | 22 | 15 | ||||||||||
4.000% due 12/01/2046 | 8 | 5 | ||||||||||
4.200% due 03/01/2029 (m) | 1,800 | 1,611 | ||||||||||
4.300% due 03/15/2045 | 27 | 19 | ||||||||||
4.450% due 04/15/2042 (m) | 535 | 400 | ||||||||||
4.500% due 12/15/2041 | 22 | 16 | ||||||||||
4.600% due 06/15/2043 | 18 | 14 | ||||||||||
4.750% due 02/15/2044 (m) | 6,295 | 4,840 | ||||||||||
4.950% due 07/01/2050 (m) | 4,703 | 3,664 | ||||||||||
Peru LNG SRL | ||||||||||||
5.375% due 03/22/2030 | 7,840 | 6,559 | ||||||||||
Rio Oil Finance Trust | ||||||||||||
9.250% due 07/06/2024 (m) | 309 | 314 | ||||||||||
9.250% due 07/06/2024 | 644 | 653 | ||||||||||
42,095 | ||||||||||||
Total Corporate Bonds & Notes (Cost $341,054) | 284,438 | |||||||||||
CONVERTIBLE BONDS & NOTES 0.4% | ||||||||||||
INDUSTRIALS 0.4% | ||||||||||||
DISH Network Corp. | ||||||||||||
3.375% due 08/15/2026 | 3,400 | 2,139 | ||||||||||
Total Convertible Bonds & Notes (Cost $3,400) | 2,139 | |||||||||||
MUNICIPAL BONDS & NOTES 1.9% | ||||||||||||
ILLINOIS 0.0% | ||||||||||||
Chicago, Illinois General Obligation Bonds, Series 2015 | ||||||||||||
7.750% due 01/01/2042 | 56 | 57 | ||||||||||
OHIO 0.9% | ||||||||||||
Ohio State University Revenue Bonds, Series 2011 | ||||||||||||
4.800% due 06/01/2111 | 6,000 | 4,955 | ||||||||||
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
PUERTO RICO 0.4% | ||||||||||||
Commonwealth of Puerto Rico Bonds, Series 2022 | ||||||||||||
0.000% due 11/01/2043 (f) | $ | 614 | $ | 269 | ||||||||
0.000% due 11/01/2051 (f) | 6,328 | 2,136 | ||||||||||
2,405 | ||||||||||||
WEST VIRGINIA 0.6% | ||||||||||||
Tobacco Settlement Finance Authority, West Virginia Revenue Bonds, Series 2007 | ||||||||||||
0.000% due 06/01/2047 (f) | 45,700 | 3,403 | ||||||||||
Total Municipal Bonds & Notes (Cost $12,947) | 10,820 | |||||||||||
U.S. GOVERNMENT AGENCIES 1.9% | ||||||||||||
Fannie Mae | ||||||||||||
1.861% due 01/25/2040 •(a) | 141 | 10 | ||||||||||
3.500% due 02/25/2042 (a) | 316 | 30 | ||||||||||
4.500% due 11/25/2042 (a) | 901 | 114 | ||||||||||
Freddie Mac | ||||||||||||
0.700% due 11/25/2055 ~(a) | 33,631 | 2,153 | ||||||||||
1.013% due 09/15/2035 ~ | 776 | 582 | ||||||||||
3.000% due 02/15/2033 (a) | 829 | 72 | ||||||||||
3.500% due 12/15/2032 (a) | 1,165 | 127 | ||||||||||
5.992% due 11/25/2055 «~ | 8,156 | 5,013 | ||||||||||
11.939% due 12/25/2027 ~ | 2,718 | 2,730 | ||||||||||
Ginnie Mae | ||||||||||||
3.500% due 06/20/2042 - 10/20/2042 (a) | 185 | 23 | ||||||||||
4.000% due 10/16/2042 - 10/20/2042 (a) | 157 | 18 | ||||||||||
Total U.S. Government Agencies (Cost $11,928) | 10,872 | |||||||||||
NON‑AGENCY MORTGAGE-BACKED SECURITIES 10.3% | ||||||||||||
Banc of America Funding Trust | ||||||||||||
4.273% due 01/20/2047 ^~ | 387 | 354 | ||||||||||
6.000% due 01/25/2037 | 2,955 | 2,474 | ||||||||||
BCAP LLC Trust | ||||||||||||
0.000% due 05/26/2037 ~ | 837 | 335 | ||||||||||
3.071% due 08/28/2037 ~ | 1,855 | 1,820 | ||||||||||
3.251% due 08/26/2037 ~ | 8,811 | 6,732 | ||||||||||
3.758% due 07/26/2037 ~ | 4,413 | 3,746 | ||||||||||
3.836% due 09/26/2036 ~ | 3,400 | 3,084 | ||||||||||
4.611% due 03/26/2037 þ | 646 | 876 | ||||||||||
5.750% due 12/26/2035 ~ | 1,602 | 1,301 | ||||||||||
6.250% due 11/26/2036 | 2,400 | 1,774 | ||||||||||
Bear Stearns ALT‑A Trust | ||||||||||||
3.580% due 09/25/2047 ^~ | 3,841 | 2,018 | ||||||||||
3.586% due 11/25/2036 ^~ | 285 | 153 | ||||||||||
3.619% due 11/25/2035 ~ | 3,593 | 2,632 | ||||||||||
3.908% due 09/25/2035 ^~ | 248 | 148 | ||||||||||
4.889% due 01/25/2036 ^• | 501 | 646 | ||||||||||
CD Mortgage Trust | ||||||||||||
5.688% due 10/15/2048 | 93 | 82 | ||||||||||
Chase Mortgage Finance Trust | ||||||||||||
3.946% due 12/25/2035 ^~ | 3 | 3 | ||||||||||
5.500% due 05/25/2036 ^ | 6 | 4 | ||||||||||
Citicorp Mortgage Securities Trust | ||||||||||||
5.500% due 04/25/2037 | 9 | 8 | ||||||||||
6.000% due 09/25/2037 | 314 | 303 | ||||||||||
Commercial Mortgage Loan Trust | ||||||||||||
6.480% due 12/10/2049 ~ | 426 | 68 | ||||||||||
Countrywide Alternative Loan Resecuritization Trust | ||||||||||||
6.000% due 05/25/2036 ^ | 1,489 | 906 | ||||||||||
6.000% due 08/25/2037 ^~ | 754 | 451 | ||||||||||
Countrywide Alternative Loan Trust | ||||||||||||
2.963% due 04/25/2036 ^~ | 357 | 298 | ||||||||||
5.500% due 03/25/2035 | 202 | 92 | ||||||||||
5.500% due 01/25/2036 | 279 | 171 | ||||||||||
5.750% due 01/25/2035 | 133 | 126 | ||||||||||
5.750% due 02/25/2035 | 198 | 139 | ||||||||||
5.750% due 12/25/2036 ^ | 550 | 237 | ||||||||||
6.000% due 02/25/2035 | 241 | 184 | ||||||||||
6.000% due 04/25/2036 | 365 | 180 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
6.000% due 04/25/2037 ^ | $ | 1,209 | $ | 596 | ||||||||
6.250% due 11/25/2036 ^ | 444 | 332 | ||||||||||
6.250% due 12/25/2036 ^• | 400 | 185 | ||||||||||
6.500% due 08/25/2036 ^ | 369 | 133 | ||||||||||
Countrywide Home Loan Mortgage Pass-Through Trust | ||||||||||||
4.969% due 03/25/2035 ^• | 2,152 | 1,753 | ||||||||||
6.000% due 07/25/2037 | 1,150 | 554 | ||||||||||
6.250% due 09/25/2036 ^ | 327 | 128 | ||||||||||
Credit Suisse First Boston Mortgage-Backed Pass-Through Certificates | ||||||||||||
6.000% due 11/25/2035 ^ | 201 | 150 | ||||||||||
Credit Suisse Mortgage Capital Certificates | ||||||||||||
3.902% due 10/26/2036 ~ | 5,899 | 4,911 | ||||||||||
Credit Suisse Mortgage Capital Mortgage-Backed Trust | ||||||||||||
5.750% due 04/25/2036 ^ | 98 | 54 | ||||||||||
First Horizon Mortgage Pass-Through Trust | ||||||||||||
2.848% due 05/25/2037 ^~ | 122 | 54 | ||||||||||
4.625% due 11/25/2035 ^~ | 153 | 134 | ||||||||||
Freddie Mac | ||||||||||||
11.728% due 11/25/2041 ~ | 3,800 | 3,251 | ||||||||||
GS Mortgage Securities Corp. | ||||||||||||
7.736% due 08/15/2039 ~ | 1,100 | 1,110 | ||||||||||
IndyMac IMSC Mortgage Loan Trust | ||||||||||||
6.500% due 07/25/2037 ^ | 3,430 | 1,114 | ||||||||||
Jackson Park Trust | ||||||||||||
3.242% due 10/14/2039 ~ | 2,116 | 1,530 | ||||||||||
JP Morgan Alternative Loan Trust | ||||||||||||
3.133% due 05/25/2036 ^~ | 811 | 464 | ||||||||||
3.203% due 03/25/2036 ^~ | 801 | 662 | ||||||||||
3.699% due 03/25/2037 ^~ | 491 | 436 | ||||||||||
JP Morgan Mortgage Trust | ||||||||||||
3.478% due 02/25/2036 ^~ | 155 | 115 | ||||||||||
4.006% due 10/25/2035 ~ | 57 | 53 | ||||||||||
6.500% due 09/25/2035 | 33 | 24 | ||||||||||
Lehman Mortgage Trust | ||||||||||||
6.000% due 07/25/2037 ^ | 252 | 224 | ||||||||||
6.500% due 09/25/2037 ^ | 1,751 | 631 | ||||||||||
Lehman XS Trust | ||||||||||||
4.829% due 06/25/2047 • | 951 | 848 | ||||||||||
MASTR Asset Securitization Trust | ||||||||||||
6.500% due 11/25/2037 ^ | 326 | 86 | ||||||||||
Merrill Lynch Mortgage Investors Trust | ||||||||||||
2.736% due 03/25/2036 ^~ | 1,074 | 590 | ||||||||||
Morgan Stanley Capital Trust | ||||||||||||
8.793% due 11/15/2034 ~ | 2,400 | 2,192 | ||||||||||
Nomura Asset Acceptance Corp. Alternative Loan Trust | ||||||||||||
5.476% due 05/25/2035 ^þ | 7 | 4 | ||||||||||
Residential Accredit Loans, Inc. Trust | ||||||||||||
4.623% due 12/26/2034 ^~ | 489 | 190 | ||||||||||
6.000% due 08/25/2036 ^ | 151 | 126 | ||||||||||
Residential Asset Securitization Trust | ||||||||||||
5.750% due 02/25/2036 ^ | 774 | 301 | ||||||||||
6.000% due 07/25/2037 ^ | 1,316 | 532 | ||||||||||
6.250% due 09/25/2037 ^ | 2,474 | 997 | ||||||||||
Residential Funding Mortgage Securities, Inc. Trust | ||||||||||||
4.709% due 09/25/2035 ~ | 442 | 292 | ||||||||||
4.875% due 08/25/2036 ^~ | 63 | 57 | ||||||||||
Structured Adjustable Rate Mortgage Loan Trust | ||||||||||||
3.694% due 01/25/2036 ^~ | 1,284 | 808 | ||||||||||
4.022% due 11/25/2036 ^~ | 1,116 | 936 | ||||||||||
SunTrust Adjustable Rate Mortgage Loan Trust | ||||||||||||
3.232% due 02/25/2037 ^~ | 79 | 68 | ||||||||||
WaMu Mortgage Pass-Through Certificates Trust | ||||||||||||
3.211% due 02/25/2037 ^~ | 266 | 239 | ||||||||||
3.342% due 05/25/2037 ^~ | 514 | 448 | ||||||||||
3.672% due 10/25/2036 ^~ | 389 | 335 | ||||||||||
3.864% due 07/25/2037 ^~ | 451 | 414 | ||||||||||
Total Non‑Agency Mortgage-Backed Securities (Cost $66,237) | 59,406 | |||||||||||
ASSET-BACKED SECURITIES 7.4% | ||||||||||||
Adagio CLO DAC | ||||||||||||
0.000% due 04/30/2031 ~ | EUR | 1,800 | 503 |
74 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
December 31, 2022 | (Unaudited) |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Apidos CLO | ||||||||||||
0.000% due 07/22/2026 ~ | $ | 1,500 | $ | 0 | ||||||||
0.000% due 01/20/2031 ~ | 4,500 | 1,499 | ||||||||||
Argent Securities Trust | ||||||||||||
4.769% due 03/25/2036 ~ | 3,076 | 1,644 | ||||||||||
Avoca CLO DAC | ||||||||||||
0.000% due 07/15/2032 ~ | EUR | 2,230 | 1,369 | |||||||||
Bear Stearns Asset-Backed Securities Trust | ||||||||||||
4.529% due 10/25/2036 ^~ | $ | 1,997 | 2,884 | |||||||||
6.500% due 10/25/2036 ^ | 333 | 180 | ||||||||||
Belle Haven ABS CDO Ltd. | ||||||||||||
3.998% due 07/05/2046 ~ | 180,259 | 1,331 | ||||||||||
CIFC Funding Ltd. | ||||||||||||
0.000% due 04/24/2030 ~ | 2,400 | 551 | ||||||||||
0.000% due 10/22/2031 ~ | 1,500 | 315 | ||||||||||
Citigroup Mortgage Loan Trust | ||||||||||||
4.539% due 12/25/2036 ~ | 11,554 | 4,832 | ||||||||||
4.549% due 12/25/2036 ~ | 1,328 | 749 | ||||||||||
Cork Street CLO Designated Activity Co. | ||||||||||||
0.000% due 11/27/2028 ~ | EUR | 709 | 223 | |||||||||
Fremont Home Loan Trust | ||||||||||||
4.539% due 01/25/2037 ~ | $ | 11,513 | 5,259 | |||||||||
Grosvenor Place CLO BV | ||||||||||||
0.000% due 04/30/2029 ~ | EUR | 500 | 94 | |||||||||
Home Equity Mortgage Loan Asset-Backed Trust | ||||||||||||
4.549% due 07/25/2037 ~ | $ | 2,400 | 1,298 | |||||||||
KKR CLO Ltd. | ||||||||||||
0.000% due 10/17/2031 ~ | 3,000 | 1,777 | ||||||||||
Lehman XS Trust | ||||||||||||
6.790% due 06/24/2046 þ | 352 | 380 | ||||||||||
Magnetite Ltd. | ||||||||||||
0.000% due 01/15/2028 ~ | 5,650 | 1,576 | ||||||||||
Marlette Funding Trust | ||||||||||||
0.000% due 09/17/2029 «(f) | 7 | 574 | ||||||||||
0.000% due 03/15/2030 «(f) | 6 | 209 | ||||||||||
Merrill Lynch Mortgage Investors Trust | ||||||||||||
4.336% due 04/25/2037 ~ | 376 | 188 | ||||||||||
Morgan Stanley Mortgage Loan Trust | ||||||||||||
6.250% due 02/25/2037 ^~ | 412 | 195 | ||||||||||
SLM Student Loan EDC Repackaging Trust | ||||||||||||
0.000% due 10/28/2029 «(f) | 1 | 811 | ||||||||||
SLM Student Loan Trust | ||||||||||||
0.000% due 01/25/2042 «(f) | 4 | 1,368 | ||||||||||
SMB Private Education Loan Trust | ||||||||||||
0.000% due 09/18/2046 «(f) | 1 | 433 | ||||||||||
0.000% due 10/15/2048 «(f) | 1 | 324 | ||||||||||
Sofi Professional Loan Program LLC | ||||||||||||
0.000% due 05/25/2040 (f) | 4,400 | 446 | ||||||||||
0.000% due 07/25/2040 «(f) | 21 | 256 | ||||||||||
SoFi Professional Loan Program LLC | ||||||||||||
0.000% due 09/25/2040 «(f) | 1,758 | 240 | ||||||||||
South Coast Funding Ltd. | ||||||||||||
5.192% due 08/10/2038 • | 11,442 | 899 | ||||||||||
Taberna Preferred Funding Ltd. | ||||||||||||
4.218% due 07/05/2035 ~ | 1,368 | 1,247 | ||||||||||
4.892% due 12/05/2036 • | 4,561 | 4,025 | ||||||||||
4.912% due 08/05/2036 • | 278 | 248 | ||||||||||
4.912% due 08/05/2036 ^~ | 5,488 | 4,898 | ||||||||||
Total Asset-Backed Securities (Cost $79,310) | 42,825 | |||||||||||
SOVEREIGN ISSUES 1.7% | ||||||||||||
Argentina Government International Bond | ||||||||||||
0.500% due 07/09/2030 þ | 3,626 | 839 | ||||||||||
1.000% due 07/09/2029 | 683 | 183 | ||||||||||
1.400% due 03/25/2023 | ARS | 253,793 | 771 | |||||||||
1.500% due 07/09/2035 þ | $ | 3,741 | 847 | |||||||||
1.500% due 07/09/2046 þ | 115 | 30 | ||||||||||
3.500% due 07/09/2041 þ | 5,512 | 1,580 | ||||||||||
3.875% due 01/09/2038 þ | 11,605 | 3,695 | ||||||||||
15.500% due 10/17/2026 | ARS | 61,630 | 48 | |||||||||
Ghana Government International Bond | ||||||||||||
6.375% due 02/11/2027 ^(c) | $ | 500 | 194 | |||||||||
7.875% due 02/11/2035 ^(c) | 600 | 218 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
8.750% due 03/11/2061 ^(c) | $ | 200 | $ | 71 | ||||||||
Provincia de Buenos Aires | ||||||||||||
72.913% due 04/12/2025 | ARS | 363,012 | 1,001 | |||||||||
Ukraine Government International Bond | ||||||||||||
4.375% due 01/27/2032 ^(c) | EUR | 1,205 | 240 | |||||||||
Venezuela Government International Bond | ||||||||||||
8.250% due 10/13/2024 ^(c) | $ | 28 | 2 | |||||||||
9.250% due 09/15/2027 ^(c) | 315 | 30 | ||||||||||
Total Sovereign Issues (Cost $23,436) | 9,749 | |||||||||||
SHARES | ||||||||||||
COMMON STOCKS 4.8% | ||||||||||||
COMMUNICATION SERVICES 0.3% | ||||||||||||
Clear Channel Outdoor Holdings, Inc. (d) | 549,096 | 577 | ||||||||||
iHeartMedia, Inc. ‘A’ (d) | 129,909 | 796 | ||||||||||
iHeartMedia, Inc. ‘B’ «(d) | 100,822 | 556 | ||||||||||
1,929 | ||||||||||||
CONSUMER STAPLES 0.0% | ||||||||||||
Promotora de Informaciones SA | 258,261 | 78 | ||||||||||
ENERGY 0.1% | ||||||||||||
Axis Energy Services ‘A’ «(d)(k) | 2,048 | 72 | ||||||||||
Noble Corp. PLC (d) | 13,839 | 522 | ||||||||||
594 | ||||||||||||
FINANCIALS 1.4% | ||||||||||||
Banca Monte dei Paschi di Siena SpA (d) | 1,043,000 | 2,149 | ||||||||||
Intelsat SA «(d)(k) | 233,192 | 5,596 | ||||||||||
7,745 | ||||||||||||
INDUSTRIALS 3.0% | ||||||||||||
Neiman Marcus Group Ltd. LLC «(d)(k) | 82,915 | 14,598 | ||||||||||
Syniverse Holdings, Inc. «(k) | 2,129,109 | 2,046 | ||||||||||
Voyager Aviation Holdings LLC «(d) | 1,155 | 0 | ||||||||||
Westmoreland Mining Holdings «(d)(k) | 53,248 | 399 | ||||||||||
17,043 | ||||||||||||
Total Common Stocks (Cost $32,640) | 27,389 | |||||||||||
RIGHTS 0.0% | ||||||||||||
FINANCIALS 0.0% | ||||||||||||
Intelsat Jackson Holdings SA «(d) | 24,544 | 166 | ||||||||||
Total Rights (Cost $0) | 166 | |||||||||||
WARRANTS 2.0% | ||||||||||||
FINANCIALS 0.0% | ||||||||||||
Intelsat Emergence SA - Exp. 02/17/2027 « | 401 | 1 | ||||||||||
Intelsat Jackson Holdings SA‑Exp. 12/05/2025 « | 24,408 | 183 | ||||||||||
184 | ||||||||||||
INFORMATION TECHNOLOGY 2.0% | ||||||||||||
Windstream Holdings LLC - Exp. 9/21/2055 « | 565,698 | 11,452 | ||||||||||
Total Warrants (Cost $10,079) | 11,636 | |||||||||||
SHARES | MARKET VALUE (000S) | |||||||||||
PREFERRED SECURITIES 2.8% | ||||||||||||
BANKING & FINANCE 2.5% | ||||||||||||
AGFC Capital Trust | ||||||||||||
5.829% (US0003M + 1.750%) due 01/15/2067 ~(m) | 1,800,000 | $ | 1,009 | |||||||||
Brighthouse Holdings LLC | ||||||||||||
6.500% due 07/27/2037 þ(i) | 70,000 | 63 | ||||||||||
Farm Credit Bank of Texas | ||||||||||||
5.700% due 09/15/2025 •(i) | 1,000,000 | 930 | ||||||||||
Stichting AK Rabobank Certificaten | ||||||||||||
6.500% due 12/29/2049 þ(i) | 12,110,000 | 12,467 | ||||||||||
14,469 | ||||||||||||
INDUSTRIALS 0.3% | ||||||||||||
Voyager Aviation Holdings LLC « | 6,929 | 1,859 | ||||||||||
Total Preferred Securities (Cost $21,698) | 16,328 | |||||||||||
REAL ESTATE INVESTMENT TRUSTS 0.8% | ||||||||||||
REAL ESTATE 0.8% | ||||||||||||
CBL & Associates Properties, Inc. | 6,516 | 150 | ||||||||||
Uniti Group, Inc. | 274,273 | 1,517 | ||||||||||
VICI Properties, Inc. | 89,142 | 2,888 | ||||||||||
Total Real Estate Investment Trusts (Cost $2,373) | 4,555 | |||||||||||
PRINCIPAL AMOUNT (000S) | ||||||||||||
SHORT-TERM INSTRUMENTS 19.9% | ||||||||||||
REPURCHASE AGREEMENTS (l) 16.8% | ||||||||||||
96,917 | ||||||||||||
SHORT-TERM NOTES 2.5% | ||||||||||||
Federal Home Loan Bank | ||||||||||||
4.320% due 01/06/2023 • | $ | 3,000 | 3,000 | |||||||||
4.340% due 02/10/2023 •(o) | 5,600 | 5,600 | ||||||||||
4.345% due 02/23/2023 • | 5,600 | 5,600 | ||||||||||
14,200 | ||||||||||||
ARGENTINA TREASURY BILLS 0.0% | ||||||||||||
18.499% due 05/19/2023 (f)(g)(h) | ARS | 63,616 | 193 | |||||||||
U.S. TREASURY BILLS 0.6% | ||||||||||||
3.783% due 01/05/2023 - 03/02/2023 (e)(f)(q) | $ | 3,163 | 3,153 | |||||||||
Total Short-Term Instruments (Cost $114,495) | 114,463 | |||||||||||
Total Investments in Securities (Cost $949,134) | 789,643 | |||||||||||
Total Investments 137.2% (Cost $949,134) | $ | 789,643 | ||||||||||
Financial Derivative Instruments (n)(p) (0.2)% (Cost or Premiums, net $2,491) | (1,549 | ) | ||||||||||
Auction-Rate Preferred Shares (15.2)% | (87,425 | ) | ||||||||||
Other Assets and Liabilities, net (21.8)% | (125,213 | ) | ||||||||||
Net Assets Applicable to Common Shareholders 100.0% | $ | 575,456 | ||||||||||
See Accompanying Notes | SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 75 |
Schedule of Investments | PIMCO Income Strategy Fund II | (Cont.) |
* | 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. |
þ | Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end. |
(a) | Security is an Interest Only (“IO”) or IO Strip. |
(b) | Payment in‑kind 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) | Coupon represents a yield to maturity. |
(h) | Principal amount of security is adjusted for inflation. |
(i) | Perpetual maturity; date shown, if applicable, represents next contractual call date. |
(j) | Contingent convertible security. |
Issuer Description | Acquisition Date | Cost | Market Value | Market Value as Percentage of Net Assets Applicable to Common Shareholders | ||||||||||||||||||||
Axis Energy Services ‘A’ | 07/01/2021 | $ | 30 | $ | 72 | 0.01 | % | |||||||||||||||||
Intelsat SA | 06/19/2017 ‑ 02/23/2022 | 16,395 | 5,596 | 0.97 | ||||||||||||||||||||
Neiman Marcus Group Ltd. LLC | 09/25/2020 | 2,719 | 14,598 | 2.54 | ||||||||||||||||||||
Syniverse Holdings, Inc. | 05/12/2022 -11/30/2022 | 2,089 | 2,046 | 0.36 | ||||||||||||||||||||
Westmoreland Mining Holdings | 12/08/2014 -10/19/2016 | 1,535 | 399 | 0.07 | ||||||||||||||||||||
$ | 22,768 | $ | 22,711 | 3.95 | % | |||||||||||||||||||
Counterparty | Lending Rate | Settlement Date | Maturity Date | Principal Amount | Collateralized By | Collateral (Received) | Repurchase Agreements, at Value | Repurchase Agreement Proceeds to be Received(1) | ||||||||||||||||||||||
FICC | 1.900 | % | 12/30/2022 | 01/03/2023 | $ | 1,317 | U.S. Treasury Bills 0.000% due 06/29/2023 | $ | (1,343 | ) | $ | 1,317 | $ | 1,317 | ||||||||||||||||
MBC | 4.320 | 12/30/2022 | 01/03/2023 | 95,600 | U.S. Treasury Bills 0.000% due 01/05/2023 | (97,924 | ) | 95,600 | 95,646 | |||||||||||||||||||||
Total Repurchase Agreements | $ | (99,267 | ) | $ | 96,917 | $ | 96,963 | |||||||||||||||||||||||
Counterparty | Borrowing Rate(2) | Settlement Date | Maturity Date | Amount Borrowed(2) | Payable for Reverse Repurchase Agreements | |||||||||||||||||||
BOS | 3.760 | % | 11/16/2022 | 01/10/2023 | $ | (3,368 | ) | $ | (3,385 | ) | ||||||||||||||
3.760 | 11/17/2022 | 01/10/2023 | (1,367 | ) | (1,373 | ) | ||||||||||||||||||
BPS | 0.000 | 11/15/2022 | 01/27/2023 | (1,027 | ) | (1,027 | ) | |||||||||||||||||
0.000 | 11/15/2022 | 02/13/2023 | (522 | ) | (522 | ) | ||||||||||||||||||
3.760 | 08/12/2022 | 02/13/2023 | (1,336 | ) | (1,356 | ) | ||||||||||||||||||
3.760 | 08/26/2022 | 02/13/2023 | (2,865 | ) | (2,904 | ) | ||||||||||||||||||
3.760 | 08/30/2022 | 02/13/2023 | (302 | ) | (306 | ) | ||||||||||||||||||
3.760 | 08/31/2022 | 02/13/2023 | (1,170 | ) | (1,185 | ) |
76 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
December 31, 2022 | (Unaudited) |
Counterparty | Borrowing Rate(2) | Settlement Date | Maturity Date | Amount Borrowed(2) | Payable for Reverse Repurchase Agreements | |||||||||||||||||||
3.760 | % | 09/09/2022 | 02/13/2023 | $ | (598 | ) | $ | (605 | ) | |||||||||||||||
4.600 | 10/26/2022 | 01/19/2023 | (3,765 | ) | (3,798 | ) | ||||||||||||||||||
4.600 | 11/15/2022 | 01/19/2023 | (1,077 | ) | (1,083 | ) | ||||||||||||||||||
4.600 | 12/05/2022 | 03/23/2023 | (4,267 | ) | (4,283 | ) | ||||||||||||||||||
4.620 | 09/23/2022 | 03/23/2023 | (2,034 | ) | (2,061 | ) | ||||||||||||||||||
4.720 | 10/27/2022 | 01/30/2023 | (1,715 | ) | (1,730 | ) | ||||||||||||||||||
4.720 | 12/12/2022 | 01/30/2023 | (617 | ) | (618 | ) | ||||||||||||||||||
4.720 | 12/14/2022 | 01/30/2023 | (1,018 | ) | (1,021 | ) | ||||||||||||||||||
BRC | 1.900 | 12/21/2022 | TBD | (3) | EUR | (530 | ) | (568 | ) | |||||||||||||||
BYR | 4.950 | 09/26/2022 | 03/24/2023 | $ | (5,102 | ) | (5,143 | ) | ||||||||||||||||
4.950 | 09/30/2022 | 03/24/2023 | (1,809 | ) | (1,826 | ) | ||||||||||||||||||
4.960 | 10/06/2022 | 04/03/2023 | (2,172 | ) | (2,192 | ) | ||||||||||||||||||
CDC | 3.270 | 08/04/2022 | 01/09/2023 | (2,864 | ) | (2,903 | ) | |||||||||||||||||
3.270 | 08/18/2022 | 01/09/2023 | (1,192 | ) | (1,207 | ) | ||||||||||||||||||
3.270 | 09/14/2022 | 01/09/2023 | (313 | ) | (316 | ) | ||||||||||||||||||
3.270 | 09/21/2022 | 01/09/2023 | (1,666 | ) | (1,682 | ) | ||||||||||||||||||
3.270 | 10/20/2022 | 01/09/2023 | (254 | ) | (256 | ) | ||||||||||||||||||
3.990 | 09/06/2022 | 03/03/2023 | (4,296 | ) | (4,353 | ) | ||||||||||||||||||
3.990 | 11/09/2022 | 03/03/2023 | (630 | ) | (634 | ) | ||||||||||||||||||
4.450 | 10/14/2022 | 02/13/2023 | (467 | ) | (472 | ) | ||||||||||||||||||
4.450 | 10/31/2022 | 01/30/2023 | (2,489 | ) | (2,509 | ) | ||||||||||||||||||
4.450 | 11/07/2022 | 02/13/2023 | (687 | ) | (692 | ) | ||||||||||||||||||
4.450 | 11/14/2022 | 01/30/2023 | (1,287 | ) | (1,295 | ) | ||||||||||||||||||
4.620 | 10/14/2022 | 02/13/2023 | (7,376 | ) | (7,452 | ) | ||||||||||||||||||
4.620 | 11/07/2022 | 02/13/2023 | (1,543 | ) | (1,554 | ) | ||||||||||||||||||
4.620 | 12/22/2022 | 02/13/2023 | (1,991 | ) | (1,994 | ) | ||||||||||||||||||
4.680 | 11/14/2022 | 02/13/2023 | (963 | ) | (969 | ) | ||||||||||||||||||
4.730 | 10/31/2022 | 01/30/2023 | (10,428 | ) | (10,516 | ) | ||||||||||||||||||
4.760 | 10/07/2022 | 04/05/2023 | (781 | ) | (791 | ) | ||||||||||||||||||
4.850 | 10/11/2022 | 04/06/2023 | (152 | ) | (154 | ) | ||||||||||||||||||
4.860 | 11/07/2022 | 02/07/2023 | (7,662 | ) | (7,721 | ) | ||||||||||||||||||
IND | 0.000 | 11/08/2022 | 01/31/2023 | (1,045 | ) | (1,045 | ) | |||||||||||||||||
0.000 | 11/08/2022 | 04/10/2023 | (563 | ) | (563 | ) | ||||||||||||||||||
4.530 | 10/28/2022 | 01/31/2023 | (4,290 | ) | (4,326 | ) | ||||||||||||||||||
4.720 | 10/28/2022 | 01/31/2023 | (7,059 | ) | (7,121 | ) | ||||||||||||||||||
5.000 | 11/07/2022 | 03/07/2023 | (1,503 | ) | (1,515 | ) | ||||||||||||||||||
JML | 1.500 | 09/14/2022 | TBD | (3) | EUR | (536 | ) | (574 | ) | |||||||||||||||
2.050 | 09/14/2022 | TBD | (3) | (2,073 | ) | (2,224 | ) | |||||||||||||||||
2.070 | 09/14/2022 | TBD | (3) | (1,017 | ) | (1,091 | ) | |||||||||||||||||
MBC | 2.050 | 11/02/2022 | TBD | (3) | (5,423 | ) | (5,820 | ) | ||||||||||||||||
MEI | 3.860 | 10/05/2022 | 02/28/2023 | $ | (4,764 | ) | (4,810 | ) | ||||||||||||||||
3.860 | 10/11/2022 | 02/28/2023 | (236 | ) | (238 | ) | ||||||||||||||||||
3.860 | 10/17/2022 | 02/28/2023 | (804 | ) | (811 | ) | ||||||||||||||||||
4.700 | 11/04/2022 | 02/13/2023 | (177 | ) | (178 | ) | ||||||||||||||||||
4.700 | 11/15/2022 | 02/13/2023 | (695 | ) | (700 | ) | ||||||||||||||||||
4.770 | 12/15/2022 | 01/27/2023 | (3,433 | ) | (3,442 | ) | ||||||||||||||||||
RDR | 4.260 | 10/06/2022 | 02/03/2023 | (1,636 | ) | (1,653 | ) | |||||||||||||||||
4.430 | 10/26/2022 | 01/30/2023 | (1,056 | ) | (1,065 | ) | ||||||||||||||||||
4.700 | 11/10/2022 | 02/10/2023 | (546 | ) | (550 | ) | ||||||||||||||||||
SOG | 3.980 | 10/14/2022 | 01/12/2023 | (1,028 | ) | (1,037 | ) | |||||||||||||||||
4.360 | 09/30/2022 | 01/30/2023 | (1,085 | ) | (1,098 | ) | ||||||||||||||||||
4.390 | 11/16/2022 | 01/27/2023 | (1,532 | ) | (1,541 | ) | ||||||||||||||||||
4.450 | 10/26/2022 | 02/06/2023 | (761 | ) | (767 | ) | ||||||||||||||||||
4.450 | 11/02/2022 | 02/06/2023 | (559 | ) | (563 | ) | ||||||||||||||||||
4.640 | 10/14/2022 | 02/14/2023 | (1,642 | ) | (1,659 | ) | ||||||||||||||||||
4.660 | 10/25/2022 | 01/25/2023 | (1,162 | ) | (1,172 | ) | ||||||||||||||||||
4.660 | 10/26/2022 | 01/25/2023 | (696 | ) | (702 | ) | ||||||||||||||||||
4.660 | 11/29/2022 | 01/25/2023 | (1,575 | ) | (1,582 | ) | ||||||||||||||||||
4.760 | 10/17/2022 | 02/17/2023 | (1,071 | ) | (1,082 | ) | ||||||||||||||||||
4.790 | 11/02/2022 | 02/02/2023 | (5,500 | ) | (5,546 | ) | ||||||||||||||||||
4.790 | 11/04/2022 | 02/02/2023 | (1,467 | ) | (1,479 | ) | ||||||||||||||||||
4.790 | 11/29/2022 | 02/02/2023 | (539 | ) | (542 | ) | ||||||||||||||||||
4.820 | 12/23/2022 | 02/22/2023 | (715 | ) | (716 | ) | ||||||||||||||||||
4.830 | 11/04/2022 | 02/06/2023 | (368 | ) | (371 | ) | ||||||||||||||||||
4.900 | 10/12/2022 | 04/12/2023 | (1,317 | ) | (1,332 | ) | ||||||||||||||||||
4.900 | 11/04/2022 | 04/12/2023 | (721 | ) | (727 | ) | ||||||||||||||||||
Total Reverse Repurchase Agreements | $ | (144,098 | ) | |||||||||||||||||||||
See Accompanying Notes | SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 77 |
Schedule of Investments | PIMCO Income Strategy Fund II | (Cont.) |
Counterparty | Repurchase Agreement Proceeds to be Received(1) | Payable for Reverse Repurchase Agreements | Payable for Sale‑Buyback Transactions | Total Borrowings and Other Financing Transactions | Collateral Pledged/(Received) | Net Exposure(4) | ||||||||||||||||||
Global/Master Repurchase Agreement | ||||||||||||||||||||||||
BOS | $ | 0 | $ | (4,758 | ) | $ | 0 | $ | (4,758 | ) | $ | 4,788 | $ | 30 | ||||||||||
BPS | 0 | (22,499 | ) | 0 | (22,499 | ) | 26,492 | 3,993 | ||||||||||||||||
BRC | 0 | (568 | ) | 0 | (568 | ) | 547 | (21 | ) | |||||||||||||||
BYR | 0 | (9,161 | ) | 0 | (9,161 | ) | 11,305 | 2,144 | ||||||||||||||||
CDC | 0 | (47,470 | ) | 0 | (47,470 | ) | 54,350 | 6,880 | ||||||||||||||||
FICC | 1,317 | 0 | 0 | 1,317 | (1,343 | ) | (26 | ) | ||||||||||||||||
IND | 0 | (14,570 | ) | 0 | (14,570 | ) | 16,586 | 2,016 | ||||||||||||||||
JML | 0 | (3,889 | ) | 0 | (3,889 | ) | 3,798 | (91 | ) | |||||||||||||||
MBC | 95,646 | (5,820 | ) | 0 | 89,826 | (91,465 | ) | (1,639 | ) | |||||||||||||||
MEI | 0 | (10,179 | ) | 0 | (10,179 | ) | 12,675 | 2,496 | ||||||||||||||||
RDR | 0 | (3,268 | ) | 0 | (3,268 | ) | 3,234 | (34 | ) | |||||||||||||||
SOG | 0 | (21,916 | ) | 0 | (21,916 | ) | 25,549 | 3,633 | ||||||||||||||||
Total Borrowings and Other Financing Transactions | $ | 96,963 | $ | (144,098 | ) | $ | 0 | |||||||||||||||||
Overnight and Continuous | Up to 30 days | 31‑90 days | Greater Than 90 days | Total | ||||||||||||||||
Reverse Repurchase Agreements | ||||||||||||||||||||
Corporate Bonds & Notes | $ | 0 | $ | (46,359 | ) | $ | (81,704 | ) | $ | (15,245 | ) | $ | (143,308 | ) | ||||||
Preferred Securities | 0 | 0 | 0 | (790 | ) | (790 | ) | |||||||||||||
Total Borrowings | $ | 0 | $ | (46,359 | ) | $ | (81,704 | ) | $ | (16,035 | ) | $ | (144,098 | ) | ||||||
Payable for reverse repurchase agreements | $ | (144,098 | ) | |||||||||||||||||
(m) | Securities with an aggregate market value of $170,515 and cash of $580 have been pledged as collateral under the terms of the above master agreements as of December 31, 2022. |
(1) | Includes accrued interest. |
(2) | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(164,698) at a weighted average interest rate of 2.825%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. |
(3) | Open maturity reverse repurchase agreement. |
(4) | Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information. |
Reference Entity | Fixed Receive Rate | Payment Frequency | Maturity Date | Implied Credit Spread at December 31, 2022(2) | Notional Amount(3) | Premiums Paid/(Received) | Unrealized Appreciation/ (Depreciation) | Market Value(4) | Variation Margin | |||||||||||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||||||||||||
Bombardier, Inc. | 5.000 | % | Quarterly | 06/20/2024 | 2.622 | % | $ | 5,400 | $ | (175 | ) | $ | 364 | $ | 189 | $ | 0 | $ | (12 | ) | ||||||||||||||||||||||||
Bombardier, Inc. | 5.000 | Quarterly | 12/20/2024 | 2.780 | 1,600 | (7 | ) | 75 | 68 | (1 | ) | 0 | ||||||||||||||||||||||||||||||||
Bombardier, Inc. | 5.000 | Quarterly | 06/20/2027 | 4.245 | 1,300 | (38 | ) | 76 | 38 | 0 | (1 | ) | ||||||||||||||||||||||||||||||||
Ford Motor Credit Co. LLC | 5.000 | Quarterly | 06/20/2027 | 3.169 | 3,100 | 328 | (110 | ) | 218 | 1 | 0 | |||||||||||||||||||||||||||||||||
Jaguar Land Rover Automotive | 5.000 | Quarterly | 06/20/2026 | 9.564 | EUR | 700 | 49 | (138 | ) | (89 | ) | 0 | 0 | |||||||||||||||||||||||||||||||
Jaguar Land Rover Automotive | 5.000 | Quarterly | 12/20/2026 | 9.896 | 1,000 | 39 | (188 | ) | (149 | ) | 1 | 0 | ||||||||||||||||||||||||||||||||
Rolls-Royce PLC | 1.000 | Quarterly | 12/20/2025 | 2.767 | 8,500 | (929 | ) | 494 | (435 | ) | 1 | 0 | ||||||||||||||||||||||||||||||||
Rolls-Royce PLC | 1.000 | Quarterly | 06/20/2027 | 3.357 | 2,900 | (220 | ) | (59 | ) | (279 | ) | 0 | (3 | ) | ||||||||||||||||||||||||||||||
$ | (953 | ) | $ | 514 | $ | (439 | ) | $ | 2 | $ | (16 | ) | ||||||||||||||||||||||||||||||||
78 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
December 31, 2022 | (Unaudited) |
Pay/Receive Floating Rate | Floating Rate Index | Fixed Rate | Payment Frequency | Maturity Date | Notional Amount | Premiums Paid/(Received) | Unrealized Appreciation/ (Depreciation) | Market Value | Variation Margin | |||||||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||||||||
Receive | 1‑Day GBP‑SONIO Compounded‑OIS | 0.750 | % | Annual | 09/21/2032 | GBP | 8,700 | $ | 845 | $ | 1,730 | $ | 2,575 | $ | 6 | $ | 0 | |||||||||||||||||||||||
Receive(5) | 1‑Day GBP‑SONIO Compounded‑OIS | 2.000 | Annual | 03/15/2033 | 4,600 | 512 | 272 | 784 | 3 | 0 | ||||||||||||||||||||||||||||||
Receive | 1‑Day GBP‑SONIO Compounded‑OIS | 0.750 | Annual | 09/21/2052 | 2,300 | 171 | 1,208 | 1,379 | 4 | 0 | ||||||||||||||||||||||||||||||
Receive(5) | 1‑Day USD‑SOFR Compounded‑OIS | 2.450 | Annual | 12/20/2024 | $ | 24,600 | (2 | ) | 368 | 366 | 13 | 0 | ||||||||||||||||||||||||||||
Receive(5) | 1‑Day USD‑SOFR Compounded‑OIS | 2.350 | Annual | 01/17/2025 | 12,500 | 1 | 184 | 185 | 4 | 0 | ||||||||||||||||||||||||||||||
Receive(5) | 1‑Day USD‑SOFR Compounded‑OIS | 2.300 | Annual | 01/17/2026 | 2,000 | 1 | 47 | 48 | 2 | 0 | ||||||||||||||||||||||||||||||
Pay | 1‑Day USD‑SOFR Compounded‑OIS | 2.000 | Annual | 12/21/2029 | 106,500 | (10,975 | ) | 565 | (10,410 | ) | 48 | 0 | ||||||||||||||||||||||||||||
Pay | 3‑Month USD‑LIBOR | 2.750 | Semi‑Annual | 06/17/2025 | 149,020 | 9,092 | (15,341 | ) | (6,249 | ) | 0 | (220 | ) | |||||||||||||||||||||||||||
Pay | 3‑Month USD‑LIBOR | 2.250 | Semi-Annual | 06/15/2026 | 26,800 | 1,267 | (3,001 | ) | (1,734 | ) | 0 | (44 | ) | |||||||||||||||||||||||||||
Receive | 3‑Month USD‑LIBOR | 1.350 | Semi-Annual | 01/20/2027 | 8,100 | 0 | 853 | 853 | 11 | 0 | ||||||||||||||||||||||||||||||
Pay | 3‑Month USD‑LIBOR | 1.550 | Semi‑Annual | 01/20/2027 | 35,800 | (124 | ) | (3,348 | ) | (3,472 | ) | 0 | (48 | ) | ||||||||||||||||||||||||||
Receive | 3‑Month USD‑LIBOR | 1.360 | Semi-Annual | 02/15/2027 | 5,430 | 0 | 569 | 569 | 8 | 0 | ||||||||||||||||||||||||||||||
Pay | 3‑Month USD‑LIBOR | 1.600 | Semi-Annual | 02/15/2027 | 21,700 | (75 | ) | (1,985 | ) | (2,060 | ) | 0 | (32 | ) | ||||||||||||||||||||||||||
Receive | 3‑Month USD‑LIBOR | 1.450 | Semi-Annual | 02/17/2027 | 9,000 | 0 | 910 | 910 | 14 | 0 | ||||||||||||||||||||||||||||||
Pay | 3‑Month USD‑LIBOR | 1.700 | Semi-Annual | 02/17/2027 | 35,800 | (135 | ) | (3,115 | ) | (3,250 | ) | 0 | (54 | ) | ||||||||||||||||||||||||||
Pay | 3‑Month USD‑LIBOR | 2.500 | Semi-Annual | 12/20/2027 | 49,000 | 343 | (3,734 | ) | (3,391 | ) | 0 | (84 | ) | |||||||||||||||||||||||||||
Receive | 3‑Month USD‑LIBOR | 1.420 | Semi-Annual | 08/17/2028 | 29,500 | 0 | 3,794 | 3,794 | 55 | 0 | ||||||||||||||||||||||||||||||
Receive | 3‑Month USD‑LIBOR | 1.380 | Semi-Annual | 08/24/2028 | 32,500 | 0 | 4,244 | 4,244 | 62 | 0 | ||||||||||||||||||||||||||||||
Pay | 3‑Month USD‑LIBOR | 3.000 | Semi-Annual | 06/19/2029 | 75,000 | 4,675 | (8,705 | ) | (4,030 | ) | 0 | (162 | ) | |||||||||||||||||||||||||||
Receive | 3‑Month USD‑LIBOR | 1.160 | Semi-Annual | 04/12/2031 | 2,800 | 0 | 552 | 552 | 6 | 0 | ||||||||||||||||||||||||||||||
Receive | 3‑Month USD‑LIBOR | 0.750 | Semi-Annual | 06/16/2031 | 38,000 | 3,140 | 5,424 | 8,564 | 71 | 0 | ||||||||||||||||||||||||||||||
Receive | 3‑Month USD‑LIBOR | 1.750 | Semi-Annual | 12/15/2031 | 40,600 | (643 | ) | 7,150 | 6,507 | 78 | 0 | |||||||||||||||||||||||||||||
Pay | 3‑Month USD‑LIBOR | 3.500 | Semi-Annual | 06/19/2044 | 201,500 | (6,573 | ) | 1,082 | (5,491 | ) | 150 | 0 | ||||||||||||||||||||||||||||
Receive | 3‑Month USD‑LIBOR | 2.000 | Semi-Annual | 01/15/2050 | 1,400 | (10 | ) | 392 | 382 | 7 | 0 | |||||||||||||||||||||||||||||
Receive | 3‑Month USD‑LIBOR | 1.750 | Semi-Annual | 01/22/2050 | 21,100 | (49 | ) | 6,759 | 6,710 | 99 | 0 | |||||||||||||||||||||||||||||
Receive | 3‑Month USD‑LIBOR | 1.875 | Semi-Annual | 02/07/2050 | 22,000 | (85 | ) | 6,584 | 6,499 | 106 | 0 | |||||||||||||||||||||||||||||
Receive | 3‑Month USD‑LIBOR | 2.250 | Semi-Annual | 03/12/2050 | 6,000 | (18 | ) | 1,377 | 1,359 | 31 | 0 | |||||||||||||||||||||||||||||
Receive | 3‑Month USD‑LIBOR | 1.250 | Semi-Annual | 12/16/2050 | 2,400 | 233 | 754 | 987 | 11 | 0 | ||||||||||||||||||||||||||||||
Receive | 3‑Month USD‑LIBOR | 1.700 | Semi-Annual | 02/01/2052 | 187,400 | 1,405 | 59,930 | 61,335 | 0 | (239 | ) | |||||||||||||||||||||||||||||
Pay | 6‑Month AUD‑BBR‑BBSW | 3.500 | Semi-Annual | 06/17/2025 | AUD | 8,100 | 201 | (292 | ) | (91 | ) | 0 | (1 | ) | ||||||||||||||||||||||||||
Receive | 6‑Month EUR‑EURIBOR | 0.150 | Annual | 03/18/2030 | EUR | 8,300 | 152 | 1,790 | 1,942 | 31 | 0 | |||||||||||||||||||||||||||||
Receive | 6‑Month EUR‑EURIBOR | 0.250 | Annual | 09/21/2032 | 9,600 | 902 | 1,654 | 2,556 | 46 | 0 | ||||||||||||||||||||||||||||||
Receive(5) | 6‑Month EUR‑EURIBOR | 0.830 | Annual | 12/09/2052 | 8,900 | 21 | 265 | 286 | 12 | 0 | ||||||||||||||||||||||||||||||
Receive | 28‑Day MXN‑TIIE | 8.675 | Lunar | 04/03/2024 | MXN | 200 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||||||||
Receive | 28‑Day MXN‑TIIE | 8.660 | Lunar | 04/04/2024 | 100 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||||||
$ | 4,272 | $ | 68,936 | $ | 73,208 | $ | 878 | $ | (884 | ) | ||||||||||||||||||||||||||||||
Total Swap Agreements | $ | 3,319 | $ | 69,450 | $ | 72,769 | $ | 880 | $ | (900 | ) | |||||||||||||||||||||||||||||
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 | $ | 880 | $ | 880 | $ | 0 | $ | 0 | $ | (900 | ) | $ | (900 | ) | ||||||||||||||||||
(o) | Securities with an aggregate market value of $1,765 and cash of $25,253 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information. |
(1) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on 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. |
See Accompanying Notes | SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 79 |
Schedule of Investments | PIMCO Income Strategy Fund II | (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 underlying referenced instrument’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(5) | This instrument has a forward starting effective date. See Note 2, Securities Transactions and Investment Income, in the Notes to Financial Statements for further information. |
Counterparty | Settlement Month | Currency to be Delivered | Currency to be Received | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||
BOA | 02/2023 | CHF | 1,858 | $ | 1,963 | $ | 0 | $ | (57 | ) | ||||||||||||||
05/2023 | PEN | 1,254 | 317 | 0 | (10 | ) | ||||||||||||||||||
BPS | 01/2023 | $ | 422 | EUR | 396 | 2 | 0 | |||||||||||||||||
BRC | 02/2023 | CHF | 955 | $ | 1,018 | 0 | (19 | ) | ||||||||||||||||
CBK | 01/2023 | PEN | 6,140 | 1,529 | 0 | (85 | ) | |||||||||||||||||
01/2023 | $ | 352 | EUR | 331 | 3 | 0 | ||||||||||||||||||
02/2023 | BRL | 6,516 | $ | 1,207 | 0 | (20 | ) | |||||||||||||||||
03/2023 | PEN | 1,942 | 503 | 0 | (6 | ) | ||||||||||||||||||
05/2023 | 1,483 | 374 | 0 | (12 | ) | |||||||||||||||||||
GLM | 03/2023 | MXN | 1,336 | 65 | 0 | (3 | ) | |||||||||||||||||
05/2023 | $ | 2,604 | PEN | 10,447 | 119 | 0 | ||||||||||||||||||
JPM | 02/2023 | 279 | MXN | 5,716 | 12 | 0 | ||||||||||||||||||
MBC | 01/2023 | EUR | 63,713 | $ | 66,784 | 0 | (1,446 | ) | ||||||||||||||||
01/2023 | GBP | 1,200 | 1,462 | 11 | 0 | |||||||||||||||||||
02/2023 | CAD | 1,307 | 986 | 21 | 0 | |||||||||||||||||||
RBC | 03/2023 | MXN | 23 | 1 | 0 | 0 | ||||||||||||||||||
Total Forward Foreign Currency Contracts | $ | 168 | $ | (1,658 | ) | |||||||||||||||||||
Counterparty | Reference Entity | Fixed Receive Rate | Payment Frequency | Maturity Date | Implied Credit Spread at December 31, 2022(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 | 12/20/2024 | 1.522 | % | $ | 1,000 | $ | (195 | ) | $ | 185 | $ | 0 | $ | (10 | ) | |||||||||||||||||||||||
GST | Petrobras Global Finance BV | 1.000 | Quarterly | 12/20/2024 | 1.522 | 1,400 | (278 | ) | 265 | 0 | (13 | ) | ||||||||||||||||||||||||||||||
HUS | Petrobras Global Finance BV | 1.000 | Quarterly | 12/20/2024 | 1.522 | 1,700 | (353 | ) | 337 | 0 | (16 | ) | ||||||||||||||||||||||||||||||
JPM | Banca Monte Dei Paschi Di | 5.000 | Quarterly | 06/20/2025 | 4.967 | EUR | 100 | (2 | ) | 2 | 0 | 0 | ||||||||||||||||||||||||||||||
Total Swap Agreements | $ | (828 | ) | $ | 789 | $ | 0 | $ | (39 | ) | ||||||||||||||||||||||||||||||||
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||||||||||||||||||
Counterparty | Forward Foreign Currency Contracts | Purchased Options | Swap Agreements | Total Over the Counter | Forward Foreign Currency Contracts | Written Options | Swap Agreements | Total Over the Counter | Net Market Value of OTC Derivatives | Collateral Pledged/ (Received) | Net Exposure(5) | |||||||||||||||||||||||||||||||||||||
BOA | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | (67 | ) | $ | 0 | $ | 0 | $ | (67 | ) | $ | (67 | ) | $ | 48 | $ | (19 | ) | ||||||||||||||||||||||
BPS | 2 | 0 | 0 | 2 | 0 | 0 | (10 | ) | (10 | ) | (8 | ) | 11 | 3 | ||||||||||||||||||||||||||||||||||
BRC | 0 | 0 | 0 | 0 | (19 | ) | 0 | 0 | (19 | ) | (19 | ) | 0 | (19 | ) | |||||||||||||||||||||||||||||||||
CBK | 3 | 0 | 0 | 3 | (123 | ) | 0 | 0 | (123 | ) | (120 | ) | 0 | (120 | ) | |||||||||||||||||||||||||||||||||
GLM | 119 | 0 | 0 | 119 | (3 | ) | 0 | 0 | (3 | ) | 116 | 0 | 116 | |||||||||||||||||||||||||||||||||||
GST | 0 | 0 | 0 | 0 | 0 | 0 | (13 | ) | (13 | ) | (13 | ) | 117 | 104 | ||||||||||||||||||||||||||||||||||
HUS | 0 | 0 | 0 | 0 | 0 | 0 | (16 | ) | (16 | ) | (16 | ) | 0 | (16 | ) | |||||||||||||||||||||||||||||||||
JPM | 12 | 0 | 0 | 12 | 0 | 0 | 0 | 0 | 12 | 0 | 12 | |||||||||||||||||||||||||||||||||||||
MBC | 32 | 0 | 0 | 32 | (1,446 | ) | 0 | 0 | (1,446 | ) | (1,414 | ) | 1,082 | (332 | ) | |||||||||||||||||||||||||||||||||
Total Over the Counter | $ | 168 | $ | 0 | $ | 0 | $ | 168 | $ | (1,658 | ) | $ | 0 | $ | (39 | ) | $ | (1,697 | ) | |||||||||||||||||||||||||||||
(q) | Securities with an aggregate market value of $1,257 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022. |
80 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
December 31, 2022 | (Unaudited) |
(1) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(3) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(4) | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(5) | 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. |
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Exchange Contracts | Interest Rate Contracts | Total | |||||||||||||||||||
Financial Derivative Instruments - Assets | ||||||||||||||||||||||||
Exchange-traded or centrally cleared | ||||||||||||||||||||||||
Swap Agreements | $ | 0 | $ | 2 | $ | 0 | $ | 0 | $ | 878 | $ | 880 | ||||||||||||
Over the counter | ||||||||||||||||||||||||
Forward Foreign Currency Contracts | $ | 0 | $ | 0 | $ | 0 | $ | 168 | $ | 0 | $ | 168 | ||||||||||||
$ | 0 | $ | 2 | $ | 0 | $ | 168 | $ | 878 | $ | 1,048 | |||||||||||||
Financial Derivative Instruments - Liabilities | ||||||||||||||||||||||||
Exchange-traded or centrally cleared | ||||||||||||||||||||||||
Swap Agreements | $ | 0 | $ | 16 | $ | 0 | $ | 0 | $ | 884 | $ | 900 | ||||||||||||
Over the counter | ||||||||||||||||||||||||
Forward Foreign Currency Contracts | $ | 0 | $ | 0 | $ | 0 | $ | 1,658 | $ | 0 | $ | 1,658 | ||||||||||||
Swap Agreements | 0 | 39 | 0 | 0 | 0 | 39 | ||||||||||||||||||
$ | 0 | $ | 39 | $ | 0 | $ | 1,658 | $ | 0 | $ | 1,697 | |||||||||||||
$ | 0 | $ | 55 | $ | 0 | $ | 1,658 | $ | 884 | $ | 2,597 | |||||||||||||
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 | $ | 420 | $ | 0 | $ | 0 | $ | 5,083 | $ | 5,503 | ||||||||||||
Over the counter | ||||||||||||||||||||||||
Forward Foreign Currency Contracts | $ | 0 | $ | 0 | $ | 0 | $ | 3,938 | $ | 0 | $ | 3,938 | ||||||||||||
Swap Agreements | 0 | 87 | 0 | 0 | 0 | 87 | ||||||||||||||||||
$ | 0 | $ | 87 | $ | 0 | $ | 3,938 | $ | 0 | $ | 4,025 | |||||||||||||
$ | 0 | $ | 507 | $ | 0 | $ | 3,938 | $ | 5,083 | $ | 9,528 | |||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative Instruments | ||||||||||||||||||||||||
Exchange-traded or centrally cleared | ||||||||||||||||||||||||
Swap Agreements | $ | 0 | $ | 1,624 | $ | 0 | $ | 0 | $ | (3,592 | ) | $ | (1,968 | ) | ||||||||||
Over the counter | ||||||||||||||||||||||||
Forward Foreign Currency Contracts | $ | 0 | $ | 0 | $ | 0 | $ | (4,065 | ) | $ | 0 | $ | (4,065 | ) | ||||||||||
Swap Agreements | 0 | 73 | 0 | 0 | 0 | 73 | ||||||||||||||||||
$ | 0 | $ | 73 | $ | 0 | $ | (4,065 | ) | $ | 0 | $ | (3,992 | ) | |||||||||||
$ | 0 | $ | 1,697 | $ | 0 | $ | (4,065 | ) | $ | (3,592 | ) | $ | (5,960 | ) | ||||||||||
See Accompanying Notes | SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 81 |
Schedule of Investments | PIMCO Income Strategy Fund II | (Cont.) |
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2022 | ||||||||||||
Investments in Securities, at Value | ||||||||||||||||
Loan Participations and Assignments | $ | 0 | $ | 164,533 | $ | 30,324 | $ | 194,857 | ||||||||
Corporate Bonds & Notes | ||||||||||||||||
Banking & Finance | 0 | 65,208 | 0 | 65,208 | ||||||||||||
Industrials | 0 | 177,135 | 0 | 177,135 | ||||||||||||
Utilities | 0 | 42,095 | 0 | 42,095 | ||||||||||||
Convertible Bonds & Notes | ||||||||||||||||
Industrials | 0 | 2,139 | 0 | 2,139 | ||||||||||||
Municipal Bonds & Notes | ||||||||||||||||
Illinois | 0 | 57 | 0 | 57 | ||||||||||||
Ohio | 0 | 4,955 | 0 | 4,955 | ||||||||||||
Puerto Rico | 0 | 2,405 | 0 | 2,405 | ||||||||||||
West Virginia | 0 | 3,403 | 0 | 3,403 | ||||||||||||
U.S. Government Agencies | 0 | 5,859 | 5,013 | 10,872 | ||||||||||||
Non‑Agency Mortgage-Backed Securities | 0 | 59,406 | 0 | 59,406 | ||||||||||||
Asset-Backed Securities | 0 | 38,610 | 4,215 | 42,825 | ||||||||||||
Sovereign Issues | 0 | 9,749 | 0 | 9,749 | ||||||||||||
Common Stocks | ||||||||||||||||
Communication Services | 1,373 | 0 | 556 | 1,929 | ||||||||||||
Consumer Staples | 78 | 0 | 0 | 78 | ||||||||||||
Energy | 522 | 0 | 72 | 594 | ||||||||||||
Financials | 2,149 | 0 | 5,596 | 7,745 | ||||||||||||
Industrials | 0 | 0 | 17,043 | 17,043 | ||||||||||||
Rights | ||||||||||||||||
Financials | 0 | 0 | 166 | 166 | ||||||||||||
Warrants | ||||||||||||||||
Financials | 0 | 0 | 184 | 184 | ||||||||||||
Information Technology | 0 | 0 | 11,452 | 11,452 |
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2022 | ||||||||||||
Preferred Securities | ||||||||||||||||
Banking & Finance | $ | 0 | $ | 14,469 | $ | 0 | $ | 14,469 | ||||||||
Industrials | 0 | 0 | 1,859 | 1,859 | ||||||||||||
Real Estate Investment Trusts | ||||||||||||||||
Real Estate | 4,555 | 0 | 0 | 4,555 | ||||||||||||
Short-Term Instruments | ||||||||||||||||
Repurchase Agreements | 0 | 96,917 | 0 | 96,917 | ||||||||||||
Short-Term Notes | 0 | 14,200 | 0 | 14,200 | ||||||||||||
Argentina Treasury Bills | 0 | 193 | 0 | 193 | ||||||||||||
U.S. Treasury Bills | 0 | 3,153 | 0 | 3,153 | ||||||||||||
Total Investments | $ | 8,677 | $ | 704,486 | $ | 76,480 | $ | 789,643 | ||||||||
Financial Derivative Instruments - Assets | ||||||||||||||||
Exchange-traded or centrally cleared | 0 | 880 | 0 | 880 | ||||||||||||
Over the counter | 0 | 168 | 0 | 168 | ||||||||||||
$ | 0 | $ | 1,048 | $ | 0 | $ | 1,048 | |||||||||
Financial Derivative Instruments - Liabilities | ||||||||||||||||
Exchange-traded or centrally cleared | 0 | (900 | ) | 0 | (900 | ) | ||||||||||
Over the counter | 0 | (1,697 | ) | 0 | (1,697 | ) | ||||||||||
$ | 0 | $ | (2,597 | ) | $ | 0 | $ | (2,597 | ) | |||||||
Total Financial Derivative Instruments | $ | 0 | $ | (1,549 | ) | $ | 0 | $ | (1,549 | ) | ||||||
Totals | $ | 8,677 | $ | 702,937 | $ | 76,480 | $ | 788,094 | ||||||||
Category and Subcategory | Beginning Balance at 06/30/2022 | Net Purchases | Net Sales/ Settlements | Accrued Discounts/ (Premiums) | Realized Gain/ (Loss) | Net Change in Unrealized Appreciation/ (Depreciation)(1) | Transfers into Level 3 | Transfers out of Level 3 | Ending Balance at 12/31/2022 | Net Change in Unrealized Appreciation/ (Depreciation) on Investments Held at 12/31/2022(1) | ||||||||||||||||||||||||||||||
Investments in Securities, at Value | ||||||||||||||||||||||||||||||||||||||||
Loan Participations and Assignments | $ | 39,148 | $ | 18,851 | $ | (5,466 | ) | $ | (54 | ) | $ | 85 | $ | (2,071 | ) | $ | 12,218 | $ | (32,387 | ) | $ | 30,324 | $ | 286 | ||||||||||||||||
Corporate Bonds & Notes | ||||||||||||||||||||||||||||||||||||||||
Industrials | 34,383 | 569 | 0 | 61 | 0 | (1,872 | ) | 0 | (33,141 | ) | 0 | 0 | ||||||||||||||||||||||||||||
U.S. Government Agencies | 5,030 | 0 | (62 | ) | 11 | 21 | 13 | 0 | 0 | 5,013 | 10 | |||||||||||||||||||||||||||||
Asset-Backed Securities | 5,798 | 0 | (474 | ) | 14 | (1,307 | ) | 184 | 0 | 0 | 4,215 | (1,116 | ) | |||||||||||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||||||||||||||||||
Communication Services | 716 | 0 | 0 | 0 | 0 | (160 | ) | 0 | 0 | 556 | (160 | ) | ||||||||||||||||||||||||||||
Energy | 30 | 0 | 0 | 0 | 0 | 42 | 0 | 0 | 72 | 41 | ||||||||||||||||||||||||||||||
Financials | 6,529 | 0 | 0 | 0 | 0 | (933 | ) | 0 | 0 | 5,596 | (933 | ) | ||||||||||||||||||||||||||||
Industrials | 16,285 | 136 | 0 | 0 | 0 | 622 | 0 | 0 | 17,043 | 622 | ||||||||||||||||||||||||||||||
Materials | 27 | 0 | (29 | ) | 0 | 29 | (27 | ) | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||||
Rights | ||||||||||||||||||||||||||||||||||||||||
Financials | 117 | 0 | 0 | 0 | 0 | 49 | 0 | 0 | 166 | 49 | ||||||||||||||||||||||||||||||
Warrants | ||||||||||||||||||||||||||||||||||||||||
Financials | 123 | 0 | 0 | 0 | 0 | 61 | 0 | 0 | 184 | 61 | ||||||||||||||||||||||||||||||
Industrials | 490 | 0 | (99 | ) | 0 | 99 | (490 | ) | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||||
Information Technology | 12,063 | 0 | 0 | 0 | 0 | (611 | ) | 0 | 0 | 11,452 | (611 | ) | ||||||||||||||||||||||||||||
Preferred Securities | ||||||||||||||||||||||||||||||||||||||||
Industrials | 31,984 | 0 | (36,612 | ) | 0 | 20,354 | (13,867 | ) | 0 | 0 | 1,859 | (235 | ) | |||||||||||||||||||||||||||
Totals | $ | 152,723 | $ | 19,556 | $ | (42,742 | ) | $ | 32 | $ | 19,281 | $ | (19,060 | ) | $ | 12,218 | $ | (65,528 | ) | $ | 76,480 | $ | (1,986 | ) | ||||||||||||||||
82 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
December 31, 2022 | (Unaudited) |
Category and Subcategory | Ending Balance at 12/31/2022 | Valuation Technique | Unobservable Inputs | (% Unless Noted Otherwise) | ||||||||||||||
Input Value(s) | Weighted Average | |||||||||||||||||
Investments in Securities, at Value | ||||||||||||||||||
Loan Participations and Assignments | $ | 6,179 | Discounted Cash Flow | Discount Spread | 9.080 | — | ||||||||||||
5,781 | Proxy Pricing | Base Price | 95.286 | — | ||||||||||||||
18,364 | Third Party Vendor | Broker Quote | 35.000-87.500 | 68.865 | ||||||||||||||
U.S. Government Agencies | 5,013 | Discounted Cash Flow | Discount Rate | 12.000 | — | |||||||||||||
Asset-Backed Securities | 4,215 | Discounted Cash Flow | Discount Rate | 10.000-20.000 | 15.614 | |||||||||||||
Common Stocks | ||||||||||||||||||
Communication Services | 556 | Reference Instrument | Stock Price W/Liquidity Discount | 10.000 | — | |||||||||||||
Energy | 72 | Market Comparable Valuation | EBITDA Multiple | X | 4.600 | — | ||||||||||||
Financials | 5,596 | Indicative Market Quotation | Price | $ | 24.000 | — | ||||||||||||
Industrials | 14,598 | Market Comparable Valuation / Discounted Cash Flow | Revenue | EBITDA Multiple / Discount Rate | X/% | 0.620|6.160/10.000 | — | ||||||||||||
2,046 | Discounted Cash Flow | Discount Rate | 11.590 | — | ||||||||||||||
399 | Indicative Market Quotation | Price | $ | 7.500 | — | |||||||||||||
Rights | ||||||||||||||||||
Financials | 166 | Other Valuation Techniques(2) | — | — | — | |||||||||||||
Warrants | ||||||||||||||||||
Financials | 1 | Indicative Market Quotation | Price | $ | 2.000-3.500 | 3.200 | ||||||||||||
183 | Other Valuation Techniques(2) | — | — | — | ||||||||||||||
Information Technology | 11,452 | Market Comparable Valuation | EBITDA Multiple | X | 4.500 | — | ||||||||||||
Preferred Securities | ||||||||||||||||||
Industrials | 1,859 | Market Comparable Valuation / Discounted Cash Flow | TBV Multiple/Discount Rate | X/ % | 0.370/24.820 | — | ||||||||||||
Total | $ | 76,480 | ||||||||||||||||
(1) | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at December 31, 2022 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, 2022 | 83 |
Notes to Financial Statements |
Fund Name | Formation Date | |||||||
PIMCO Corporate & Income Opportunity Fund | September 13, 2002 | |||||||
PIMCO Corporate & Income Strategy Fund | October 17, 2001 | |||||||
PIMCO High Income Fund | February 18, 2003 | |||||||
PIMCO Income Strategy Fund | June 19, 2003 | |||||||
PIMCO Income Strategy Fund II | June 30, 2004 |
84 | PIMCO CLOSED-END FUNDS |
December 31, 2022 | (Unaudited) |
Distribution Frequency | ||||||||||||
Fund Name | Declared | Distributed | ||||||||||
PIMCO Corporate & Income Opportunity Fund | Monthly | Monthly | ||||||||||
PIMCO Corporate & Income Strategy Fund | Monthly | Monthly | ||||||||||
PIMCO High Income Fund | Monthly | Monthly | ||||||||||
PIMCO Income Strategy Fund | Monthly | Monthly | ||||||||||
PIMCO Income Strategy Fund II | Monthly | Monthly |
SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 85 |
Notes to Financial Statements | (Cont.) |
86 | PIMCO CLOSED-END FUNDS |
December 31, 2022 | (Unaudited) |
SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 87 |
Notes to Financial Statements | (Cont.) |
∎ | Level 1 — Quoted prices (unadjusted) 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 Valuation Designee that are used in determining the fair value of investments. |
88 | PIMCO CLOSED-END FUNDS |
December 31, 2022 | (Unaudited) |
SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 89 |
Notes to Financial Statements | (Cont.) |
90 | PIMCO CLOSED-END FUNDS |
December 31, 2022 | (Unaudited) |
SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 91 |
Notes to Financial Statements | (Cont.) |
92 | PIMCO CLOSED-END FUNDS |
December 31, 2022 | (Unaudited) |
SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 93 |
Notes to Financial Statements | (Cont.) |
94 | PIMCO CLOSED-END FUNDS |
December 31, 2022 | (Unaudited) |
SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 95 |
Notes to Financial Statements | (Cont.) |
96 | PIMCO CLOSED-END FUNDS |
December 31, 2022 | (Unaudited) |
SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 97 |
Notes to Financial Statements | (Cont.) |
PIMCO Corporate & Income Opportunity Fund (PTY) | PIMCO Corporate & Income Strategy Fund (PCN) | PIMCO High Income Fund (PHK) | PIMCO Income Strategy Fund (PFL) | PIMCO Income Strategy Fund II (PFN) | ||||||||||
Asset Allocation Risk | X | X | X | X | X | |||||||||
Call Risk | X | X | X | X | X | |||||||||
Risk of Investing in China | — | — | X | — | — | |||||||||
Collateralized Bond Obligations, Collateralized Loan Obligations and Collateralized Debt Obligations Risk | — | — | X | — | — | |||||||||
Collateralized Loan Obligations Risk | X | X | — | X | X | |||||||||
Confidential Information Access Risk | X | X | X | X | X | |||||||||
Contingent Convertible Securities Risk | X | X | X | X | X | |||||||||
Convertible Securities Risk | X | X | X | X | X | |||||||||
Counterparty Risk | X | X | X | X | X | |||||||||
“Covenant-lite” Obligations Risk | X | X | X | X | X | |||||||||
Credit Default Swaps Risk | X | X | X | X | X | |||||||||
Credit Risk | X | X | X | X | X | |||||||||
Currency Risk | X | X | X | X | X | |||||||||
Cyber Security Risk | X | X | X | X | X | |||||||||
Debt Securities Risk | X | X | X | X | X | |||||||||
Derivatives Risk | X | X | X | X | X | |||||||||
Distressed and Defaulted Securities Risk | X | X | X | X | X | |||||||||
Distribution Rate Risk | X | X | X | X | X | |||||||||
Emerging Markets Risk | X | X | X | X | X | |||||||||
Equity Securities and Related Market Risk | X | X | X | X | X | |||||||||
Focused Investment Risk | — | X | X | X | X | |||||||||
Foreign (Non‑U.S.) Investment Risk | X | X | X | X | X | |||||||||
High Yield Securities Risk | X | X | X | X | X | |||||||||
Inflation/Deflation Risk | X | X | X | X | X | |||||||||
Inflation-Indexed Security Risk | X | X | X | X | X | |||||||||
Interest Rate Risk | X | X | X | X | X | |||||||||
Issuer Risk | X | X | X | X | X | |||||||||
Leverage Risk | X | X | X | X | X | |||||||||
Liquidity Risk | X | X | X | X | X | |||||||||
Loans and Other Indebtedness; Loan Participations and Assignments Risk | X | X | X | X | X | |||||||||
Management Risk | X | X | X | X | X | |||||||||
Market Discount Risk | X | X | X | X | X | |||||||||
Market Disruptions Risk | X | X | X | X | X | |||||||||
Market Risk | X | X | X | X | X | |||||||||
Mortgage-Related and Other Asset-Backed Instruments Risk | X | X | X | X | X | |||||||||
Mortgage-Related Derivative Instruments Risk | — | — | X | — | — | |||||||||
Operational Risk | X | X | X | X | X | |||||||||
Other Investment Companies Risk | X | X | X | X | X | |||||||||
Platform Risk | — | — | X | — | — | |||||||||
Potential Conflicts of Interest Risk — Allocation of Investment Opportunities | X | X | X | X | X | |||||||||
Portfolio Turnover Risk | X | X | X | X | X | |||||||||
Preferred Securities Risk | X | X | X | X | X | |||||||||
Privacy and Data Security Risk | — | X | X | — | — | |||||||||
Private Placements Risk | X | X | X | X | X | |||||||||
Privately-Issued Mortgage-Related Securities Risk | X | X | X | X | X | |||||||||
Real Estate Risk | X | X | X | X | X | |||||||||
Reinvestment Risk | X | X | X | X | X | |||||||||
REIT Risk | — | — | X | — | — | |||||||||
Regulatory Changes Risk | X | X | X | X | X | |||||||||
Regulatory Risk — Commodity Pool Operator | X | X | X | X | X |
98 | PIMCO CLOSED-END FUNDS |
December 31, 2022 | (Unaudited) |
PIMCO Corporate & Income Opportunity Fund (PTY) | PIMCO Corporate & Income Strategy Fund (PCN) | PIMCO High Income Fund (PHK) | PIMCO Income Strategy Fund (PFL) | PIMCO Income Strategy Fund II (PFN) | ||||||||||
Regulatory Risk — London Interbank Offered Rate | X | X | X | X | X | |||||||||
Repurchase Agreements Risk | X | X | X | X | X | |||||||||
Restricted Securities Risk | X | X | X | X | X | |||||||||
Risk Retention Investment Risk | — | — | X | — | — | |||||||||
Securities Lending Risk | — | X | X | — | — | |||||||||
Senior Debt Risk | X | X | X | X | X | |||||||||
Short Exposure Risk | — | — | X | — | — | |||||||||
Smaller Company Risk | — | X | X | — | — | |||||||||
Sovereign Debt Risk | X | X | X | X | X | |||||||||
Special Purpose Acquisition Companies (“SPACs”) Risk | — | — | X | — | — | |||||||||
Structured Investments Risk | X | X | X | X | X | |||||||||
Subprime Risk | X | X | X | X | X | |||||||||
Subsidiary Risk | — | — | X | — | — | |||||||||
Synthetic Convertible Securities Risk | X | X | X | X | X | |||||||||
Tax Risk | X | X | X | X | X | |||||||||
U.S. Government Securities Risk | X | X | X | X | X | |||||||||
Valuation Risk | X | X | X | X | X | |||||||||
Zero-Coupon Bond, Step-Ups and Payment-in-Kind Securities Risk | X | X | X | X | X |
SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 99 |
Notes to Financial Statements | (Cont.) |
100 | PIMCO CLOSED-END FUNDS |
December 31, 2022 | (Unaudited) |
SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 101 |
Notes to Financial Statements | (Cont.) |
102 | PIMCO CLOSED-END FUNDS |
December 31, 2022 | (Unaudited) |
SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 103 |
Notes to Financial Statements | (Cont.) |
104 | PIMCO CLOSED-END FUNDS |
December 31, 2022 | (Unaudited) |
SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 105 |
Notes to Financial Statements | (Cont.) |
106 | PIMCO CLOSED-END FUNDS |
December 31, 2022 | (Unaudited) |
SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 107 |
Notes to Financial Statements | (Cont.) |
Fund Name | Annual Rate | |||||||
PIMCO Corporate & Income Opportunity Fund | 0.65% | (1) | ||||||
PIMCO Corporate & Income Strategy Fund | 0.81% | (1) | ||||||
PIMCO High Income Fund | 0.76% | (1) | ||||||
PIMCO Income Strategy Fund | 0.86% | (2) | ||||||
PIMCO Income Strategy Fund II | 0.83% | (2) |
(1) | 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). |
(2) | Management fees calculated based on the Fund’s average weekly “total managed assets.” Total managed assets include total assets of each Fund (including any assets attributable to any preferred shares or other forms of leverage that may be outstanding) minus accrued liabilities (other than liabilities representing leverage). |
108 | PIMCO CLOSED-END FUNDS |
December 31, 2022 | (Unaudited) |
Fund Name | Purchases | Sales | Realized Gain/(Loss) | |||||||||||||
PIMCO Corporate & Income Opportunity Fund | $ | 19,171 | $ | 30,562 | $ | (677 | ) | |||||||||
PIMCO Corporate & Income Strategy Fund | $ | 2,847 | $ | 2,421 | $ | (32 | ) | |||||||||
PIMCO High Income Fund | $ | 5,702 | $ | 2,455 | $ | (147 | ) | |||||||||
PIMCO Income Strategy Fund | $ | 1,963 | $ | 2,021 | $ | 4 | ||||||||||
PIMCO Income Strategy Fund II | $ | 9,512 | $ | 9,195 | $ | (83 | ) |
† | A zero balance may reflect actual amounts rounding to less than one thousand. |
U.S. Government/Agency | All Other | |||||||||||||||||||
Fund Name | Purchases | Sales | Purchases | Sales | ||||||||||||||||
PIMCO Corporate & Income Opportunity Fund | $ | 3,870 | $ | 0 | $ | 391,922 | $ | 526,068 | ||||||||||||
PIMCO Corporate & Income Strategy Fund | 0 | 0 | 115,091 | 154,393 | ||||||||||||||||
PIMCO High Income Fund | 909 | 909 | 134,817 | 163,663 | ||||||||||||||||
PIMCO Income Strategy Fund | 0 | 0 | 73,563 | 79,189 | ||||||||||||||||
PIMCO Income Strategy Fund II | 0 | 0 | 132,143 | 150,357 |
† | A zero balance may reflect actual amounts rounding to less than one thousand. |
SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 109 |
Notes to Financial Statements | (Cont.) |
PTY | PCN | PHK | ||||||||||||||||||||||||||||||||||
Six Months Ended 12/31/2022 | Period from August 1, 2021 to June 30, 2022 | Six Months Ended 12/31/2022 | Period from August 1, 2021 to June 30, 2022 | Six Months Ended 12/31/2022 | Period from August 1, 2021 to June 30, 2022 | |||||||||||||||||||||||||||||||
Common Shares registered (aggregate $) | $ | 600,000,000 | $ | 600,000,000 | $ | 200,000,000 | $ | 200,000,000 | $ | 200,000,000 | $ | 200,000,000 | ||||||||||||||||||||||||
Common Shares sold | 7,677,084 | 6,128,527 | 2,038,098 | 1,932,049 | 2,981,513 | 345,046 | ||||||||||||||||||||||||||||||
Offering proceeds (net of offering costs) | $ | 98,900,098 | $ | 99,829,867 | $ | 26,348,048 | $ | 31,648,774 | $ | 14,912,162 | $ | 1,989,722 |
PFL | PFN | |||||||||||||||||||||||
Six Months Ended 12/31/2022 | Period from August 1, 2021 to June 30, 2022 | Six Months Ended 12/31/2022 | Period from August 1, 2021 to June 30, 2022 | |||||||||||||||||||||
Common Shares registered (aggregate $) | $ | 200,000,000 | $ | 200,000,000 | $ | 250,000,000 | $ | 250,000,000 | ||||||||||||||||
Common Shares sold | 1,133,535 | 925,313 | 1,663,729 | 1,258,596 | ||||||||||||||||||||
Offering proceeds (net of offering costs) | $ | 10,184,225 | $ | 9,700,744 | $ | 12,887,684 | $ | 12,151,886 |
Fund Name | Shares Issued Outstanding | High | Low | As of December 31, 2022 | ||||||||||||||||
PIMCO Corporate & Income Opportunity Fund | ||||||||||||||||||||
Series M | 1,748 | 8.628% | 3.102% | 8.608% | ||||||||||||||||
Series T | 1,596 | 8.668% | 3.082% | 8.668% | ||||||||||||||||
Series W | 1,634 | 8.668% | 3.122% | 8.668% | ||||||||||||||||
Series TH | 1,786 | 8.668% | 3.142% | 8.668% | ||||||||||||||||
Series F | 1,742 | 8.608% | 3.102% | 8.608% | ||||||||||||||||
PIMCO Corporate & Income Strategy Fund | ||||||||||||||||||||
Series M | 242 | 6.902% | 2.482% | 6.886% | ||||||||||||||||
Series T | 180 | 6.934% | 2.466% | 6.934% | ||||||||||||||||
Series W | 214 | 6.934% | 2.498% | 6.934% | ||||||||||||||||
Series TH | 138 | 6.934% | 2.514% | 6.934% | ||||||||||||||||
Series F | 167 | 6.886% | 2.482% | 6.886% | ||||||||||||||||
PIMCO High Income Fund | ||||||||||||||||||||
Series M | 455 | 6.902% | 2.482% | 6.886% | ||||||||||||||||
Series T | 526 | 6.934% | 2.466% | 6.934% | ||||||||||||||||
Series W | 369 | 6.934% | 2.498% | 6.934% | ||||||||||||||||
Series TH | 476 | 6.934% | 2.514% | 6.934% | ||||||||||||||||
Series F | 496 | 6.886% | 2.482% | 6.886% | ||||||||||||||||
PIMCO Income Strategy Fund | ||||||||||||||||||||
Series T | 698 | 8.716% | 3.038% | 8.676% | ||||||||||||||||
Series W | 636 | 8.676% | 3.058% | 8.676% | ||||||||||||||||
Series TH | 474 | 8.676% | 3.068% | 8.676% |
110 | PIMCO CLOSED-END FUNDS |
December 31, 2022 | (Unaudited) |
Fund Name | Shares Issued Outstanding | High | Low | As of December 31, 2022 | ||||||||||||||||
PIMCO Income Strategy Fund II | ||||||||||||||||||||
Series M | 671 | 8.716% | 3.048% | 8.676% | ||||||||||||||||
Series T | 855 | 8.716% | 3.038% | 8.676% | ||||||||||||||||
Series W | 627 | 8.676% | 3.058% | 8.676% | ||||||||||||||||
Series TH | 706 | 8.676% | 3.068% | 8.676% | ||||||||||||||||
Series F | 638 | 8.676% | 3.048% | 8.676% |
Fund Name | Applicable % | Reference Rate | Maximum Rate(1) | |||||||||||||||||||||||
PIMCO Corporate & Income Opportunity Fund | 200% | x | 7‑day “AA” Financial Composite Commercial Paper Rates | = | Maximum Rate for PTY | |||||||||||||||||||||
PIMCO Corporate & Income Strategy Fund | 160% | x | 7‑day “AA” Financial Composite Commercial Paper Rates | = | Maximum Rate for PCN | |||||||||||||||||||||
PIMCO High Income Fund | 160% | x | 7‑day “AA” Financial Composite Commercial Paper Rates | = | Maximum Rate for PHK | |||||||||||||||||||||
PIMCO Income Strategy Fund | The higher of | | 200% 2.00% | | | x + | | LIBOR Replacement Rate(3) OR LIBOR Replacement Rate(3) | | = = | | Maximum Rate for PFL | (2) | |||||||||||||
PIMCO Income Strategy Fund II | The higher of | | 200% 2.00% | | | x + | | LIBOR Replacement Rate(3) OR LIBOR Replacement Rate(3) | | = = | | Maximum Rate for PFN | (2) |
(1) | In any event, the Maximum Rate will not be lower than 0%. |
(2) | For the avoidance of doubt, the Maximum Rate for PFL and PFN may be less than the Applicable %, but will not be lower than 0%. |
(3) | LIBOR Replacement Rate means prior business day’s SOFR rate plus the spread adjustment of 0.03839%. |
SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 111 |
Notes to Financial Statements | (Cont.) |
Short-Term | Long-Term | |||||||||||
PIMCO Corporate & Income Opportunity Fund | $ | 181,890 | $ | 94,902 | ||||||||
PIMCO Corporate & Income Strategy Fund | 69,963 | 43,047 | ||||||||||
PIMCO High Income Fund | 174,633 | 148,390 | ||||||||||
PIMCO Income Strategy Fund | 41,093 | 28,060 | ||||||||||
PIMCO Income Strategy Fund II | 95,427 | 43,143 |
† | A zero balance may reflect actual amounts rounding to less than one thousand. |
Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation/ (Depreciation)(1) | |||||||||||||||
PIMCO Corporate & Income Opportunity Fund | $ | 2,371,834 | $ | 269,514 | $ | (544,142 | ) | $ (274,628) | ||||||||||
PIMCO Corporate & Income Strategy Fund | 813,208 | 116,664 | (200,339 | ) | (83,675) | |||||||||||||
PIMCO High Income Fund | 1,102,057 | 245,835 | (369,788 | ) | (123,953) | |||||||||||||
PIMCO Income Strategy Fund | 501,971 | 79,441 | (118,624 | ) | (39,183) | |||||||||||||
PIMCO Income Strategy Fund II | 951,956 | 142,645 | (233,718 | ) | (91,073) |
† | 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. |
112 | PIMCO CLOSED-END FUNDS |
December 31, 2022 | (Unaudited) |
PIMCO Corporate & Income Opportunity Fund | $ | 0.118800 per common share | ||||||
PIMCO Corporate & Income Strategy Fund | $ | 0.112500 per common share | ||||||
PIMCO High Income Fund | $ | 0.048000 per common share | ||||||
PIMCO Income Strategy Fund | $ | 0.081400 per common share | ||||||
PIMCO Income Strategy Fund II | $ | 0.071800 per common share |
PIMCO Corporate & Income Opportunity Fund | $ | 0.118800 per common share | ||||||
PIMCO Corporate & Income Strategy Fund | $ | 0.112500 per common share | ||||||
PIMCO High Income Fund | $ | 0.048000 per common share | ||||||
PIMCO Income Strategy Fund | $ | 0.081400 per common share | ||||||
PIMCO Income Strategy Fund II | $ | 0.071800 per common share |
SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 113 |
Glossary: | (abbreviations that may be used in the preceding statements) | (Unaudited) |
Counterparty Abbreviations: | ||||||||||
BOA | Bank of America N.A. | DUB | Deutsche Bank AG | MYI | Morgan Stanley & Co. International PLC | |||||
BOS | BofA Securities, Inc. | FICC | Fixed Income Clearing Corporation | NOM | Nomura Securities International, Inc. | |||||
BPS | BNP Paribas S.A. | GLM | Goldman Sachs Bank USA | RBC | Royal Bank of Canada | |||||
BRC | Barclays Bank PLC | GST | Goldman Sachs International | RCY | Royal Bank of Canada | |||||
BYR | The Bank of Nova Scotia - Toronto | HUS | HSBC Bank USA N.A. | RDR | RBC Capital Markets LLC | |||||
CBK | Citibank N.A. | IND | Crédit Agricole Corporate and Investment Bank S.A. | SCX | Standard Chartered Bank, London | |||||
CDC | Natixis Securities Americas LLC | JML | JP Morgan Securities Plc | SOG | Societe Generale Paris | |||||
CDI | Natixis Singapore | JPM | JP Morgan Chase Bank N.A. | TOR | The Toronto-Dominion Bank | |||||
CEW | Canadian Imperial Bank of Commerce World Markets | MBC | HSBC Bank Plc | UAG | UBS AG Stamford | |||||
CIB | Canadian Imperial Bank of Commerce | MEI | Merrill Lynch International | UBS | UBS Securities LLC | |||||
DBL | Deutsche Bank AG London | MYC | Morgan Stanley Capital Services LLC | |||||||
Currency Abbreviations: | ||||||||||
ARS | Argentine Peso | CNY | Chinese Renminbi (Mainland) | INR | Indian Rupee | |||||
AUD | Australian Dollar | CZK | Czech Koruna | JPY | Japanese Yen | |||||
BRL | Brazilian Real | EUR | Euro | MXN | Mexican Peso | |||||
CAD | Canadian Dollar | GBP | British Pound | NOK | Norwegian Krone | |||||
CHF | Swiss Franc | HUF | Hungarian Forint | PEN | Peruvian New Sol | |||||
CLP | Chilean Peso | IDR | Indonesian Rupiah | USD (or $) | United States Dollar | |||||
Exchange Abbreviations: | ||||||||||
OTC | Over the Counter | |||||||||
Index/Spread Abbreviations: | ||||||||||
ABX.HE | Asset-Backed Securities Index - Home Equity | EUR001Y | 1 Year EUR Swap Rate | SOFR | Secured Overnight Financing Rate | |||||
BADLARPP | Argentina Badlar Floating Rate Notes | LIBOR01M | 1 Month USD‑LIBOR | SONIO | Sterling Overnight Interbank Average Rate | |||||
EUR001M | 1 Month EUR Swap Rate | LIBOR03M | 3 Month USD‑LIBOR | US0003M | ICE 3‑Month USD LIBOR | |||||
EUR003M | 3 Month EUR Swap Rate | LIBOR06M | 6 Month USD‑LIBOR | |||||||
EUR006M | 6 Month EUR Swap Rate | |||||||||
Municipal Bond or Agency Abbreviations: | ||||||||||
ACA | American Capital Access Holding Ltd. | |||||||||
Other Abbreviations: | ||||||||||
ABS | Asset-Backed Security | CLO | Collateralized Loan Obligation | OIS | Overnight Index Swap | |||||
ALT | Alternate Loan Trust | DAC | Designated Activity Company | PIK | Payment‑in‑Kind | |||||
BABs | Build America Bonds | EBITDA | Earnings before Interest, Taxes, Depreciation and Amoritization | 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 | |||||
BRL‑CDI | Brazil Interbank Deposit Rate | Lunar | Monthly payment based on 28‑day periods. One year consists of 13 periods. | TIIE | Tasa de Interés Interbancaria de Equilibrio “Equilibrium Interbank Interest Rate” | |||||
CDO | Collateralized Debt Obligation |
114 | PIMCO CLOSED-END FUNDS |
Distribution Information | (Unaudited) |
PIMCO Corporate & Income Opportunity Fund | Net Investment Income* | Net Realized Capital Gains* | Paid‑in Surplus or Other Capital Sources** | Total (per common share) | ||||||||||||||||
July 2022 | $ | 0.1188 | $ | 0.0000 | $ | 0.0000 | $ | 0.1188 | ||||||||||||
August 2022 | $ | 0.1188 | $ | 0.0000 | $ | 0.0000 | $ | 0.1188 | ||||||||||||
September 2022 | $ | 0.1188 | $ | 0.0000 | $ | 0.0000 | $ | 0.1188 | ||||||||||||
October 2022 | $ | 0.1188 | $ | 0.0000 | $ | 0.0000 | $ | 0.1188 | ||||||||||||
November 2022 | $ | 0.1188 | $ | 0.0000 | $ | 0.0000 | $ | 0.1188 | ||||||||||||
December 2022 | $ | 0.1188 | $ | 0.0000 | $ | 0.0000 | $ | 0.1188 | ||||||||||||
PIMCO Corporate & Income Strategy Fund | Net Investment Income* | Net Realized Capital Gains* | Paid‑in Surplus or Other Capital Sources** | Total (per common share) | ||||||||||||||||
July 2022 | $ | 0.1125 | $ | 0.0000 | $ | 0.0000 | $ | 0.1125 | ||||||||||||
August 2022 | $ | 0.1125 | $ | 0.0000 | $ | 0.0000 | $ | 0.1125 | ||||||||||||
September 2022 | $ | 0.1125 | $ | 0.0000 | $ | 0.0000 | $ | 0.1125 | ||||||||||||
October 2022 | $ | 0.1125 | $ | 0.0000 | $ | 0.0000 | $ | 0.1125 | ||||||||||||
November 2022 | $ | 0.1125 | $ | 0.0000 | $ | 0.0000 | $ | 0.1125 | ||||||||||||
December 2022 | $ | 0.1125 | $ | 0.0000 | $ | 0.0000 | $ | 0.1125 | ||||||||||||
PIMCO High Income Fund | Net Investment Income* | Net Realized Capital Gains* | Paid‑in Surplus or Other Capital Sources** | Total (per common share) | ||||||||||||||||
July 2022 | $ | 0.0480 | $ | 0.0000 | $ | 0.0000 | $ | 0.0480 | ||||||||||||
August 2022 | $ | 0.0480 | $ | 0.0000 | $ | 0.0000 | $ | 0.0480 | ||||||||||||
September 2022 | $ | 0.0480 | $ | 0.0000 | $ | 0.0000 | $ | 0.0480 | ||||||||||||
October 2022 | $ | 0.0480 | $ | 0.0000 | $ | 0.0000 | $ | 0.0480 | ||||||||||||
November 2022 | $ | 0.0480 | $ | 0.0000 | $ | 0.0000 | $ | 0.0480 | ||||||||||||
December 2022 | $ | 0.0480 | $ | 0.0000 | $ | 0.0000 | $ | 0.0480 | ||||||||||||
PIMCO Income Strategy Fund | Net Investment Income* | Net Realized Capital Gains* | Paid‑in Surplus or Other Capital Sources** | Total (per common share) | ||||||||||||||||
July 2022 | $ | 0.0814 | $ | 0.0000 | $ | 0.0000 | $ | 0.0814 | ||||||||||||
August 2022 | $ | 0.0814 | $ | 0.0000 | $ | 0.0000 | $ | 0.0814 | ||||||||||||
September 2022 | $ | 0.0814 | $ | 0.0000 | $ | 0.0000 | $ | 0.0814 | ||||||||||||
October 2022 | $ | 0.0814 | $ | 0.0000 | $ | 0.0000 | $ | 0.0814 | ||||||||||||
November 2022 | $ | 0.0814 | $ | 0.0000 | $ | 0.0000 | $ | 0.0814 | ||||||||||||
December 2022 | $ | 0.0814 | $ | 0.0000 | $ | 0.0000 | $ | 0.0814 | ||||||||||||
PIMCO Income Strategy Fund II | Net Investment Income* | Net Realized Capital Gains* | Paid‑in Surplus or Other Capital Sources** | Total (per common share) | ||||||||||||||||
July 2022 | $ | 0.0718 | $ | 0.0000 | $ | 0.0000 | $ | 0.0718 | ||||||||||||
August 2022 | $ | 0.0718 | $ | 0.0000 | $ | 0.0000 | $ | 0.0718 | ||||||||||||
September 2022 | $ | 0.0718 | $ | 0.0000 | $ | 0.0000 | $ | 0.0718 | ||||||||||||
October 2022 | $ | 0.0718 | $ | 0.0000 | $ | 0.0000 | $ | 0.0718 | ||||||||||||
November 2022 | $ | 0.0687 | $ | 0.0000 | $ | 0.0031 | $ | 0.0718 | ||||||||||||
December 2022 | $ | 0.0718 | $ | 0.0000 | $ | 0.0000 | $ | 0.0718 |
* | The source of dividends provided in the table differs, in some respects, from information presented in this report prepared in accordance with generally accepted accounting principles, or U.S. GAAP. For example, net earnings from certain interest rate swap contracts are included as a source of net investment income for purposes of Section 19(a). Accordingly, the information in the table may differ from information in the accompanying financial statements that are presented on the basis of U.S. GAAP and may differ from tax information presented in the footnotes. Amounts shown may include accumulated, as well as fiscal period net income and net profits. |
** | Occurs when a fund distributes an amount greater than its accumulated net income and net profits. Amounts are not reflective of a fund’s net income, yield, earnings or investment performance. |
SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 115 |
Investment Strategy Updates | (Unaudited) |
116 | PIMCO CLOSED-END FUNDS |
Changes to Boards of Trustees | (Unaudited) |
SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 117 |
Item 2. | Code of Ethics. |
The information required by this Item 2 is only required in an annual report on this Form N-CSR.
Item 3. | Audit Committee Financial Expert. |
The information required by this Item 3 is only required in an annual report on this Form N-CSR.
Item 4. | Principal Accountant Fees and Services. |
The information required by this Item 4 is only required in an annual report on this Form N-CSR.
Item 5. | Audit Committee of Listed Registrants. |
The information required by this Item 5 is only required in an annual report on this Form N-CSR.
Item 6. | Schedule of Investments. |
The information required by this Item 6 is included as part of the annual report to shareholders filed under Item 1 of this Form N-CSR.
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
The information required by this Item 7 is only required in an annual report on this Form N-CSR.
Item 8. | Portfolio Managers of Closed-End Management Investment Companies. |
(a) | The information required by this Item 8(a) is only required in an annual report on this Form N-CSR. |
(b) | There have been no changes in any of the Portfolio Managers identified in the registrant’s previous annual report on Form N-CSR. |
Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
None.
Item 10. | Submission of Matters to a Vote of Security Holders. |
There have been no material changes to the procedures by which shareholders may recommend nominees to the Fund’s Board of Trustees since the Fund last provided disclosure in response to this item.
Item 11. | Controls and Procedures. |
(a) | The principal executive officer and principal financial & accounting officer have concluded as of a date within 90 days of the filing date of this report, based on their evaluation of the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the 1940 Act), that the design of such procedures is effective to provide reasonable assurance that material information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the time periods specified in the Commission’s rules and forms. |
(b) | There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
Item 12. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies. |
None.
Item 13. | Exhibits. |
(a)(1) | Exhibit 99.CODE—Code of Ethics is not applicable for semiannual reports. |
(a)(2) | Exhibit 99.CERT—Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. |
(a)(3) | None. |
(a)(4) | There was no change in the registrant’s independent public accountant for the period covered by the report. |
(b) | Exhibit 99.906CERT—Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. |
Signatures
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
PIMCO Income Strategy Fund | ||
By: | /s/ Eric D. Johnson
| |
Eric D. Johnson | ||
President (Principal Executive Officer) | ||
Date: March 8, 2023 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ Eric D. Johnson
| |
Eric D. Johnson | ||
President (Principal Executive Officer) | ||
Date: March 8, 2023 | ||
By: | /s/ Bijal Y. Parikh
| |
Bijal Y. Parikh | ||
Treasurer (Principal Financial & Accounting Officer) | ||
Date: March 8, 2023 |