N-CSR

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

Investment Company Act file number: 811-21734

PIMCO Global StocksPlus® & Income Fund

(Exact name of registrant as specified in charter)

1633 Broadway, New York, NY 10019

(Address of principal executive offices)

Trent W. Walker

Treasurer (Principal Financial & Accounting Officer)

650 Newport Center Drive

Newport Beach, CA 92660

(Name and address of agent for service)

Copies to:

David C. Sullivan

Ropes & Gray LLP

Prudential Tower

800 Boylston Street

Boston, MA 02199

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

Date of fiscal year end: June 30

Date of reporting period: June 30, 2018

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

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


Item 1.

Reports to Shareholders.

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


LOGO

 

PIMCO Closed-End Funds

 

 

Annual Report

 

June 30, 2018

 

 

 

PCM Fund, Inc. | PCM | NYSE

PIMCO Global StocksPLUS® & Income Fund | PGP | NYSE

PIMCO Income Opportunity Fund | PKO | NYSE

PIMCO Strategic Income Fund, Inc. | RCS | NYSE

PIMCO Dynamic Credit and Mortgage Income Fund | PCI | NYSE

PIMCO Dynamic Income Fund | PDI | NYSE


Table of Contents

 

            Page  
     

Letter from the Chairman of the Board & President

        2  

Important Information About the Funds

        4  

Financial Highlights

        18  

Statements of Assets and Liabilities

        20  

Consolidated Statements of Assets and Liabilities

        21  

Statements of Operations

        22  

Consolidated Statements of Operations

        23  

Statements of Changes in Net Assets

        24  

Consolidated Statements of Changes in Net Assets

        26  

Statements of Cash Flows

        27  

Consolidated Statements of Cash Flows

        28  

Notes to Financial Statements

        105  

Report of Independent Registered Public Accounting Firm

        130  

Glossary

        131  

Federal Income Tax Information

        132  

Shareholder Meeting Results

        133  

Changes to Boards of Trustees/Changes to Portfolio Managers

        135  

Dividend Reinvestment Plan

        136  

Management of the Funds

        138  

Approval of Investment Management Agreement

        141  

Privacy Policy

        147  
     
Fund    Fund
Summary
     Schedule of
Investments
 
     

PCM Fund, Inc.

     11        29  

PIMCO Global StocksPLUS® & Income Fund

     12        38  

PIMCO Income Opportunity Fund

     13        50  

PIMCO Strategic Income Fund, Inc.

     14        63  

PIMCO Dynamic Credit and Mortgage Income Fund(1)

     15        74  

PIMCO Dynamic Income Fund(1)

     16        91  

 

  (1)  

Consolidated Schedule of Investments


Letter from the Chairman of the Board & President

 

Dear Shareholder,

 

Following is the PIMCO Closed-End Funds Annual Report, which covers the 12-month reporting period ended June 30, 2018. On the subsequent pages you will find specific details regarding investment results and a discussion of factors that most affected performance over the reporting period.

 

For the 12-month reporting period ended June 30, 2018

 

The U.S. economy continued to expand during the reporting period. Looking back, U.S. gross domestic product (GDP) expanded at a revised annual pace of 2.8% and 2.3% during the third and fourth quarters of 2017, respectively. First-quarter 2018 GDP then moderated to a revised annual pace of 2.2%. The Commerce Department’s initial reading — released after the reporting period had ended — showed that second-quarter 2018 GDP grew at an annual pace of 4.1%.

 

The Federal Reserve (Fed) continued to normalize monetary policy during the reporting period. After raising interest rates in March and June 2017, the Fed again raised rates in December, moving the federal funds rate up to a range between 1.25% and 1.50%. And, in October 2017, the Fed started to reduce its balance sheet. At its March 2018 meeting, the Fed again increased rates to a range between 1.50% and 1.75%. Finally, at its meeting that concluded on June 13, 2018, the Fed raised rates to a range between 1.75% and 2.00%.

 

Economic activity outside the U.S. initially accelerated during the reporting period, but then moderated somewhat as the reporting period progressed. Against this backdrop, the European Central Bank (ECB) and Bank of Japan largely maintained their highly accommodative monetary policies. Other central banks took a more hawkish stance. In November 2017, the Bank of England instituted its first rate hike since 2007, and the Bank of Canada raised rates twice during the reporting period. Meanwhile, in June 2018, the ECB indicated that it plans to end its quantitative easing program by the end of the year, but it did not expect to raise interest rates “at least through the summer of 2019.”

 

The U.S. Treasury yield curve flattened during the reporting period, as short-term rates moved up more than their longer-term counterparts. The increase in rates at the short end of the yield curve was mostly due to Fed interest rate hikes. The yield on the benchmark 10-year U.S. Treasury note was 2.85% at the end of the reporting period, up from 2.31% on June 30, 2017. U.S. Treasuries, as measured by the Bloomberg Barclays U.S. Treasury Index, returned -0.65% over the 12 months ended June 30, 2018. Meanwhile, the Bloomberg Barclays U.S. Aggregate Bond Index, a widely used index of U.S. investment grade bonds, returned -0.40% over the period. Riskier fixed income asset classes, including high yield corporate bonds and emerging market debt, generated mixed results versus the broad U.S. market. The ICE BofAML U.S. High Yield Index gained 2.53% over the reporting period, whereas emerging market external debt, as represented by the JPMorgan Emerging Markets Bond Index (EMBI) Global, returned -2.45% over the reporting period. Emerging market local bonds, as represented by the JPMorgan Government Bond Index-Emerging Markets Global Diversified Index (Unhedged), returned -2.33% over the period.

 

Global equities generally rose over the first seven months of the period. This rally was driven by a number of factors, including improving global growth, corporate profits that often exceeded expectations and, in the U.S., optimism surrounding the passage of a tax reform bill in December 2017. In the U.S., a portion of those gains were given back in February and March 2018. This was partially due to concerns over less accommodative central bank policies and fears of a trade war. However, U.S. equities then rallied over the last three months of the reporting period. All told, U.S. equities, as represented by the S&P 500 Index, returned 14.37% during the reporting period. Emerging market equities, as measured by the MSCI Emerging Markets Index, returned 8.20% over the period, whereas global equities, as represented by the MSCI World Index, returned 11.09%. Elsewhere, Japanese equities, as represented by the Nikkei 225 Index (in JPY), returned 13.45% over the reporting period and European equities, as represented by the MSCI Europe Index (in EUR), returned 2.85%.

 

2   PIMCO CLOSED-END FUNDS     


Commodity prices fluctuated but generally moved higher during the 12 months ended June 30, 2018. When the reporting period began, crude oil was approximately $46 a barrel. By the end of the period, it was roughly $74 a barrel. This ascent was driven in part by planned and observed production cuts by OPEC and the collapse in Venezuelan oil production, as well as global growth maintaining demand. Elsewhere, gold and copper prices moved modestly higher over the reporting period.

 

Finally, during the reporting period, there were periods of volatility in the foreign exchange markets, due in part to signs of improving global growth, decoupling central bank policies, and a number of geopolitical events. The U.S. dollar generally weakened against other major currencies over the reporting period. For example, the U.S. dollar returned -2.26%, -1.40% and -1.45% versus the euro, British pound and Japanese yen, respectively, during the 12 months ended June 30, 2018.

 

Thank you for the assets you have placed with us. We deeply value your trust, and will continue to work diligently to meet your broad investment needs. For any questions regarding your PIMCO Closed-End Funds investments, please contact your financial adviser, or call the Funds’ shareholder servicing agent at (844) 33-PIMCO. We also invite you to visit our website at pimco.com to learn more about our global viewpoints.

 

Sincerely,

 

LOGO   LOGO
LOGO   LOGO
Hans W. Kertess   Peter G. Strelow
Chairman of the Board   President

 

Past performance is no guarantee of future results.

 

  ANNUAL REPORT   JUNE 30, 2018   3


Important Information About the Funds

 

 

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

 

As of the date of this report, interest rates in the U.S. and many parts of the world, including certain European countries, are at or near historically low levels. As such, bond funds may currently face an increased exposure to the risks associated with a rising interest rate environment. This is especially true as the Fed ended its quantitative easing program in October 2014 and has begun, and may continue, to raise interest rates. To the extent the Federal Reserve Board continues to raise interest rates, there is a risk that rates across the financial system may rise. Further, while bond markets have steadily grown over the past three decades, dealer inventories of corporate bonds are near historic lows in relation to market size. As a result, there has been a significant reduction in the ability of dealers to “make markets.” Bond funds and individual bonds with a longer duration (a measure used to determine the sensitivity of a security’s price to changes in interest rates) tend to be more sensitive to changes in interest rates, usually making them more volatile than securities or funds with shorter durations. In addition, in the current low interest rate environment, the market price of the Funds’ common shares may be particularly sensitive to changes in interest rates or the perception that there will be a change in interest rates. All of the factors mentioned above, individually or collectively, could lead to increased volatility and/or lower liquidity in the fixed income markets or negatively impact a Fund’s performance or cause a Fund to incur losses.

 

The use of derivatives may subject the Funds to greater volatility than investments in traditional securities. The Funds may use derivative instruments for hedging purposes or as part of an investment strategy. Use of these instruments may involve certain costs and risks such as liquidity risk, interest rate risk, market risk, call risk, credit risk, leverage risk, management risk and the risk that a Fund may not be able to close out a position when it would be most advantageous to do so. Changes in regulation relating to a Fund’s use of derivatives and related instruments could potentially limit or impact a Fund’s ability to invest in derivatives, limit a Fund’s ability to employ certain strategies that use derivatives and/or adversely affect the value or performance of derivatives and the Fund. Certain derivative transactions may have a

leveraging effect on a Fund. For example, a small investment in a derivative instrument may have a significant impact on a Fund’s exposure to interest rates, currency exchange rates or other investments. As a result, a relatively small price movement in an asset, instrument or component of the index underlying a derivative instrument may cause an immediate and substantial loss or gain, which translates into heightened volatility in a Fund’s net asset value (“NAV”). A Fund may engage in such transactions regardless of whether the Fund owns the asset, instrument or components of the index underlying the derivative instrument. A Fund may invest a significant portion of its assets in these types of instruments. If it does, a Fund’s investment exposure could far exceed the value of its portfolio securities and its investment performance could be primarily dependent upon securities it does not own.

 

PIMCO Global StocksPLUS® & Income Fund’s (“PGP”) monthly distributions are expected to include, among other possible sources, interest income from its debt portfolio and payments and premiums (characterized as capital for financial accounting purposes and as ordinary income for tax purposes) generated by certain types of interest rate derivatives.

 

Strategies involving interest rate derivatives may attempt to capitalize on differences between short-term and long-term interest rates as part of PGP’s duration and yield curve active management strategies. For instance, in the event that long-term interest rates are higher than short-term interest rates, the Fund may elect to pay a floating short-term interest rate and to receive a long-term fixed interest rate for a stipulated period of time, thereby generating payments as a function of the difference between current short-term interest rates and long-term interest rates, so long as the floating short-term interest rate (which may rise) is lower than the fixed long-term interest rate.

 

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

 

 

4   PIMCO CLOSED-END FUNDS     


 

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

 

A Fund’s income- and gain-generating strategies including certain derivative strategies may generate current, distributable income, even if such strategies could potentially result in declines in a Fund’s net asset value. A Fund’s income and gain-generating strategies, including certain derivatives strategies, may generate current income and gains taxable as ordinary income sufficient to support monthly distributions even in situations when the Fund has experienced a decline in net assets due to, for example, adverse changes in the broad U.S. or non-U.S. equity markets or the Fund’s debt investments, or arising from its use of derivatives. For instance, a significant portion of PGP’s monthly distributions may be sourced from paired swap transactions utilized to produce current distributable ordinary income for tax purposes on the initial leg, with a substantial possibility that the Fund will later realize a corresponding capital loss and potential decline in its net asset value with respect to the forward leg (to the extent there are not corresponding offsetting capital gains being generated from other sources). Because some or all of these transactions may generate capital losses without corresponding offsetting capital gains, portions of a Fund’s distributions recognized as ordinary income for tax purposes (such as from paired swap transactions) may be economically similar to a taxable return of capital when considered together with such capital losses.

 

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

 

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

 

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

A Fund’s use of leverage creates the opportunity for increased income for the Fund’s common shareholders, but also creates special risks. Leverage is a speculative technique that may expose a Fund to greater risk and increased costs. If shorter-term interest rates rise relative to the rate of return on a Fund’s portfolio, the interest and other costs of leverage to the Fund could exceed the rate of return on the debt obligations and other investments held by the Fund, thereby reducing return to the Fund’s common shareholders. In addition, fees and expenses of any form of leverage used by a Fund will be borne entirely by its common shareholders (and not by preferred shareholders, if any) and will reduce the investment return of the Fund’s common shares. Moreover, to make payments of interest and other loan costs, a Fund may be forced to sell portfolio securities when it is not otherwise advantageous to do so.

 

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

 

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

 

Reporting, accounting, auditing and custody standards of foreign countries differ, in some cases significantly, from U.S. standards. Also, nationalization, expropriation or other confiscation, currency blockage, political changes or diplomatic developments could adversely affect a Fund’s investments in foreign securities. In the event of nationalization, expropriation or other confiscation, a Fund could lose its entire investment in foreign securities. Investing in foreign (non-U.S.) securities may entail risk due to foreign (non-U.S.) economic and

 

 

  ANNUAL REPORT   JUNE 30, 2018   5


Important Information About the Funds (Cont.)

 

political developments; this risk may be increased when investing in emerging markets. For example, if a Fund invests in emerging market debt, it may face increased exposure to interest rate, liquidity, volatility, and redemption risk due to the specific economic, political, geographical, or legal background of the foreign (non-U.S.) issuer.

 

The geographical classification of foreign (non-U.S.) securities in this report are classified by the country of incorporation of a holding. In certain instances, a security’s country of incorporation may be different from its country of economic exposure. The United States presidential administration’s enforcement of tariffs on goods from other countries, with a focus on China, has contributed to international trade tensions and may impact portfolio securities.

 

Investments in loans (including whole loans) are generally subject to risks similar to those of investments in other types of debt obligations, including, among others, credit risk, interest rate risk, variable and floating rate securities risk, and, as applicable, risks associated with mortgage-related securities. In addition, in many cases loans are subject to the risks associated with below-investment grade securities. In the case of a loan participation or assignment, a Fund generally has no right to enforce compliance with the terms of the loan agreement with the borrower. As a result, a Fund may be subject to the credit risk of both the borrower and the lender that is selling the loan agreement. In the event of the insolvency of the lender selling a loan participation, a Fund may be treated as a general creditor of the lender and may not benefit from any set-off between the lender and the borrower. A Fund may be subject to heightened or additional risks and potential liabilities and costs by investing in mezzanine and other subordinated loans, including those arising under bankruptcy, fraudulent conveyance, equitable subordination, lender liability, environmental and other laws and regulations, and risks and costs associated with debt servicing and taking foreclosure actions associated with the loans.

 

Mortgage-related and other asset-backed securities represent interests in “pools” of mortgages or other assets such as consumer loans or receivables held in trust and often involve risks that are different from or possibly more acute than risks associated with other types of debt instruments. Generally, rising interest rates tend to extend the duration of fixed rate mortgage-related securities, making them more sensitive to changes in interest rates. As a result, in a period of rising interest rates, if a Fund holds mortgage-related securities, it may exhibit additional volatility since individual mortgage holders are less likely to exercise prepayment options, thereby putting additional downward pressure on the value of these securities and potentially causing the Fund to lose money. This is known as extension risk. Mortgage-backed securities can be highly sensitive to rising interest rates, such that even small movements can cause an investing Fund to lose value. Mortgage-backed securities, and in particular those not backed by a government guarantee, are subject to credit risk. In addition, adjustable and fixed

rate mortgage-related securities are subject to prepayment risk. When interest rates decline, borrowers may pay off their mortgages sooner than expected. This can reduce the returns of the Funds because the Funds may have to reinvest that money at the lower prevailing interest rates. The Funds’ investments in other asset-backed securities are subject to risks similar to those associated with mortgage-related securities, as well as additional risks associated with the nature of the assets and the servicing of those assets. Payment of principal and interest on asset-backed securities may be largely dependent upon the cash flows generated by the assets backing the securities, and asset-backed securities may not have the benefit of any security interest in the related assets. Additionally, investments in subordinate mortgage-backed and other asset-backed securities will be subject to risks arising from delinquencies and foreclosures, thereby exposing a Fund’s investment portfolio to potential losses. Subordinate securities of mortgage-backed and other asset-backed securities are also subject to greater credit risk than those mortgage-backed or other asset-backed securities that are more highly rated.

 

A Fund may also invest in the residual or equity tranches of mortgage-related and other asset-backed instruments, which may be referred to as subordinate mortgage-backed or asset-backed instruments and interest-only mortgage-backed or asset-backed instruments. Subordinate mortgage-backed or asset-backed instruments are paid interest only to the extent that there are funds available to make payments. To the extent the collateral pool includes a large percentage of delinquent loans, there is a risk that interest payment on subordinate mortgage-backed or asset-backed instruments will not be fully paid. There are multiple tranches of mortgage-backed and asset-backed instruments, offering investors various maturity and credit risk characteristics. Tranches are categorized as senior, mezzanine, and subordinated/equity or “first loss,” according to their degree of risk. The most senior tranche of a mortgage-backed or asset-backed instrument has the greatest collateralization and pays the lowest interest rate. If there are defaults or the collateral otherwise underperforms, scheduled payments to senior tranches take precedence over those of mezzanine tranches, and scheduled payments to mezzanine tranches take precedence over those to subordinated/equity tranches. Lower tranches represent lower degrees of credit quality and pay higher interest rates intended to compensate for the attendant risks. The return on the lower tranches is especially sensitive to the rate of defaults in the collateral pool. The lowest tranche (i.e., the “equity” or “residual” tranche) specifically receives the residual interest payments (i.e., money that is left over after the higher tranches have been paid and expenses of the issuing entities have been paid) rather than a fixed interest rate. Each Fund expects that investments in subordinate mortgage-backed and other asset-backed instruments will be subject to risks arising from delinquencies and foreclosures, thereby exposing its investment portfolio to potential losses. Subordinate

 

 

6   PIMCO CLOSED-END FUNDS     


 

securities of mortgage-backed and other asset-backed instruments are also subject to greater credit risk than those mortgage-backed or other asset-backed securities that are more highly rated.

 

The risk of investing in collateralized loan obligations (“CLOs”), include prepayment risk, credit risk, liquidity risk, market risk, structural risk, legal risk and interest rate risk. CLOs may carry additional risks, including, but not limited to: (i) the possibility that distributions from collateral securities will not be adequate to make interest or other payments; (ii) the quality of the collateral may decline in value or default; (iii) the possibility that the investments in CLOs are subordinate to other classes or tranches thereof; and (iv) the complex structure of the security may not be fully understood at the time of investment and may produce disputes with the issuer or unexpected investment results.

 

High-yield bonds (commonly referred to as “junk bonds”) typically have a lower credit rating than other bonds. Lower-rated bonds generally involve a greater risk to principal than higher-rated bonds. Further, markets for lower-rated bonds are typically less liquid than for higher-rated bonds, and public information is usually less abundant in markets for lower-rated bonds. Thus, high yield investments increase the chance that a Fund will lose money. PIMCO does not rely solely on credit ratings, and develops its own analysis of issuer credit quality. A Fund may purchase unrated securities (which are not rated by a rating agency) if PIMCO determines that the security is of comparable quality to a rated security that a Fund may purchase. Unrated securities may be less liquid than comparable rated securities and involve the risk that PIMCO may not accurately evaluate the security’s comparative credit quality, which could result in a Fund’s portfolio having a higher level of credit and/or high yield risk than PIMCO has estimated or desires for the Fund, and could negatively impact the Fund’s performance and/or returns. Certain Funds may invest a substantial portion of their assets in unrated securities and therefore may be particularly subject to the associated risks. Analysis of the creditworthiness of issuers of high yield securities may be more complex than for issuers of higher-quality debt obligations. To the extent that a Fund invests in high yield and/or unrated securities, the Fund’s success in achieving its investment objectives may depend more heavily on the portfolio manager’s creditworthiness analysis than if the Fund invested exclusively in higher-quality and rated securities. The Funds may hold defaulted securities that may involve special considerations including bankruptcy proceedings, other regulatory and legal restrictions affecting the Funds’ ability to trade, and the availability of prices from independent pricing services or dealer quotations. Defaulted obligations might be repaid only after lengthy workout or bankruptcy proceedings, during which the issuer might not make any interest or other payments. Defaulted securities are often illiquid and may not be actively traded. Sales of securities in bankrupt companies at an acceptable price may be difficult and differences compared to the value of the securities used by the Funds

could be material. The credit quality of a particular security or group of securities does not ensure the stability or safety of the overall portfolio.

 

Contingent convertible securities (“CoCos”) are a form of hybrid debt security issued primarily by non-U.S. issuers, which have loss absorption mechanisms built into their terms. CoCos have no stated maturity, have fully discretionary coupons and are typically issued in the form of subordinated debt instruments. CoCos generally either convert into equity of the issuer or have their principal written down upon the occurrence of certain triggering events (“triggers”) linked to regulatory capital thresholds or regulatory actions relating to the issuer’s continued viability. As a result, an investment by a Fund in CoCos is subject to the risk that interest payments will be cancelled by the issuer or a regulatory authority, the risk of ranking junior to other creditors in the event of a liquidation or other bankruptcy-related event as a result of holding subordinated debt, the risk of the Fund’s investment becoming further subordinated as a result of conversion from debt to equity, the risk that the principal amount due can be written down to a lesser amount, and the general risks applicable to fixed income investments, including interest rate risk, credit risk, market risk and liquidity risk, any of which could result in losses to the Fund. In certain scenarios, investors in CoCos may suffer a loss of capital ahead of equity holders or when equity holders do not. There is no guarantee that a Fund will receive a return of principal on CoCos. Any indication that an automatic write-down or conversion event may occur can be expected to have an adverse effect on the market price of CoCos. CoCos are often rated below investment grade and are subject to the risks of high yield securities. Because CoCos are issued primarily by financial institutions, CoCos may present substantially increased risks at times of financial turmoil, which could affect financial institutions more than companies in other sectors and industries. Further, the value of an investment in CoCos is unpredictable and will be influenced by many factors and risks, including interest rate risk, credit risk, market risk and liquidity risk. An investment by a Fund in CoCos may result in losses to the Fund.

 

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

 

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

 

 

  ANNUAL REPORT   JUNE 30, 2018   7


Important Information About the Funds (Cont.)

 

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

 

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

 

Certain Funds may acquire residential mortgage loans and unsecured consumer loans through a Subsidiary. Subsidiaries directly holding a beneficial interest in loans will be formed as domestic common law or statutory trusts with a federally chartered bank serving as trustee. Each

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

 

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

 

As the use of technology has become more prevalent in the course of business, the Funds have become potentially more susceptible to operational and information security risks resulting from breaches in cyber security. A breach in cyber security refers to both intentional and unintentional cyber events that may, among other things, cause a Fund to lose proprietary information, suffer data corruption and/or destruction or lose operational capacity, result in the unauthorized release or other misuse of confidential information, or otherwise disrupt normal business operations. Cyber security breaches may involve unauthorized access to a Fund’s digital information systems (e.g., through “hacking” or malicious software coding), but may also result from outside attacks such as denial-of-service attacks (i.e., efforts to make network services unavailable to intended users). In addition, cyber security breaches involving a Fund’s third party service providers (including but not limited to advisers, sub-advisers, administrators, transfer agents, custodians, distributors and other third parties), trading counterparties or issuers in which a Fund invests can also subject a Fund to many of the same risks

 

 

8   PIMCO CLOSED-END FUNDS     


 

associated with direct cyber security breaches. Moreover, cyber security breaches involving trading counterparties or issuers in which a Fund invests could adversely impact such counterparties or issuers and cause the Fund’s investment to lose value.

 

Cyber security failures or breaches may result in financial losses to a Fund and its shareholders. These failures or breaches may also result in disruptions to business operations, potentially resulting in financial losses; interference with a Fund’s ability to calculate its net asset value, process shareholder transactions or otherwise transact business with shareholders; impediments to trading; violations of applicable privacy and other laws; regulatory fines; penalties; reputational damage; reimbursement or other compensation costs; additional compliance and cyber security risk management costs and other adverse consequences. In addition, substantial costs may be incurred in order to prevent any cyber incidents in the future.

 

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

 

The Funds may invest in securities and instruments that are economically tied to Russia. Investments in Russia are subject to various risks such as political, economic, legal, market and currency risks. The risks include uncertain political and economic policies, short-term market volatility, poor accounting standards, corruption and crime, an inadequate regulatory system, and unpredictable taxation. Investments in Russia are particularly subject to the risk that economic sanctions may be imposed by the United States and/or other countries. Such sanctions — which may impact companies in many sectors, including energy, financial services and defense, among others — may negatively impact the Funds’ performance and/or ability to achieve their investment objectives. The Russian securities market is characterized by limited volume of trading, resulting in difficulty in obtaining accurate prices. The Russian securities market, as compared to U.S. markets, has significant price volatility, less liquidity, a smaller market capitalization and a smaller number of traded securities. There may be little publicly available information about issuers. Settlement, clearing and registration of securities transactions are subject to risks because of registration systems that may not be subject to effective government supervision. This may result in significant delays or problems in registering the transfer of securities. Russian securities laws may not recognize foreign nominee accounts held with a custodian bank, and

therefore the custodian may be considered the ultimate owner of securities they hold for their clients. Ownership of securities issued by Russian companies is recorded by companies themselves and by registrars instead of through a central registration system. It is possible that the ownership rights of the Funds could be lost through fraud or negligence. While applicable Russian regulations impose liability on registrars for losses resulting from their errors, it may be difficult for the Funds to enforce any rights they may have against the registrar or issuer of the securities in the event of loss of share registration. Adverse currency exchange rates are a risk and there may be a lack of available currency hedging instruments. Investments in Russia may be subject to the risk of nationalization or expropriation of assets. Oil, natural gas, metals, and timber account for a significant portion of Russia’s exports, leaving the country vulnerable to swings in world prices.

 

The common shares of the Funds trade on the New York Stock Exchange. As with any stock, the price of a Fund’s common shares will fluctuate with market conditions and other factors. If you sell your common shares of a Fund, the price received may be more or less than your original investment. Shares of closed-end management investment companies frequently trade at a discount from their net asset value.

 

The common shares of a Fund may trade at a price that is less than the initial offering price and/or the net asset value of such shares. Further, if a Fund’s shares trade at a price that is more than the initial offering price and/or the net asset value of such shares, including at a substantial premium and/or for an extended period of time, there is no assurance that any such premium will be sustained for any period of time and will not decrease, or that the shares will not trade at a discount to net asset value thereafter.

 

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

assignments risk, reinvestment risk, real estate risk, U.S. Government securities risk, foreign (non-U.S.) government securities risk, valuation risk, segregation and cover risk, focused investment risk, credit default swaps risk, event-linked securities risk, counterparty risk, preferred

securities risk, confidential information access risk, other investment companies risk, private placements risk, inflation/deflation risk, regulatory risk, tax risk, recent economic conditions risk, market disruptions and geopolitical risk, potential conflicts of interest involving allocation of investment opportunities, repurchase agreements risk,

 

 

  ANNUAL REPORT   JUNE 30, 2018   9


Important Information About the Funds (Cont.)

 

securities lending risk, zero-coupon bond and payment-in-kind securities risk, portfolio turnover risk, smaller company risk, short sale risk and convertible securities risk. A description of certain of these risks is available in the Notes to Financial Statements of this Report.

 

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

 

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

 

Fund Name         Commencement
of Operations
    Diversification
Status
 

PCM Fund, Inc.

      09/02/93       Diversified  

PIMCO Global StocksPLUS® & Income Fund

      05/31/05       Diversified  

PIMCO Income Opportunity Fund

      11/30/07       Diversified  

PIMCO Strategic Income Fund, Inc.

      02/24/94       Diversified  

PIMCO Dynamic Credit and Mortgage Income Fund

      01/31/13       Diversified  

PIMCO Dynamic Income Fund

      05/30/12       Diversified  

 

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

 

The Trustees/Directors1 are responsible generally for overseeing the management of the Funds. The Trustees authorize the Funds to enter into service agreements with the Investment Manager and other service providers in order to provide, and in some cases authorize service providers to procure through other parties, necessary or desirable services on behalf of the Funds. Shareholders are not parties to or third-party beneficiaries of such service agreements. Neither a Fund’s original or any subsequent prospectus or Statement of Additional Information (SAI), any press release or shareholder report, any contracts filed as exhibits to a Fund’s registration statement, nor any other communications, disclosure documents or regulatory filings from or on behalf of a Fund creates a contract between or among any shareholders of a Fund, on the one hand, and the Fund, a service provider to the Fund, and/or the Trustees or officers of the Fund, on the other hand.

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

 

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

 

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

 

Updated portfolio holdings information about a Fund will be available at www.pimco.com approximately 15 calendar days after such Fund’s most recent fiscal quarter end, and will remain accessible until such Fund files a Form N-Q or a shareholder report for the period which includes the date of the information. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

 

The SEC adopted a rule that generally allows funds to deliver shareholder reports to investors by providing access to such reports online free of charge and by mailing a notice that the report is electronically available. Pursuant to the rule, investors may still elect to receive a complete shareholder report in the mail. PIMCO is evaluating how to make the electronic delivery option available to shareholders in the future.

 

 

 

1 

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

 

10   PIMCO CLOSED-END FUNDS     


PCM Fund, Inc.

 

  Symbol on NYSE -  PCM

 

Allocation Breakdown as of 06/30/2018†§

 

Asset-Backed Securities

    44.9%  

Non-Agency Mortgage-Backed Securities

    32.8%  

Corporate Bonds & Notes

    8.0%  

Short-Term Instruments

    4.2%  

U.S. Government Agencies

    3.4%  

Loan Participations and Assignments

    3.3%  

Real Estate Investment Trusts

    1.2%  

Preferred Securities

    1.1%  

Other

    1.1%  
    

% of Investments, at value.

 

  § 

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

Fund Information (as of June 30, 2018)(1)

 

Market Price

    $11.45  

NAV

    $10.23  

Premium/(Discount) to NAV

    11.93%  

Market Price Distribution Rate(2)

    8.38%  

NAV Distribution Rate(2)

    9.38%  

Total Effective Leverage(3)

    39%  

 

 

 

Average Annual Total Return(1) for the period ended June 30, 2018  
    1 Year     5 Year     10 Year     Commencement
of Operations
(09/02/93)
 
Market Price     11.48%       10.62%       13.72%       9.26%  
NAV     10.85%       9.06%       12.91%       9.33%  

 

All Fund returns are net of fees and expenses.

 

(1) 

Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the sale of Fund shares. Total return, market price, NAV, market price distribution rate, and NAV distribution rate will fluctuate with changes in market conditions. Performance current to the most recent month-end is available at www.pimco.com or via (844) 33-PIMCO. Performance is calculated assuming all dividends and distributions are reinvested at prices obtained under the Fund’s dividend reinvestment plan. Performance does not reflect any brokerage commissions in connection with the purchase or sale of Fund shares.

 

(2) 

Distribution rates are not performance and are calculated by annualizing the most recent distribution per share and dividing by the NAV or Market Price, as applicable, as of the reported date. Distributions may be comprised of ordinary income, net capital gains, and/or a return of capital (“ROC”) of your investment in the Fund. Because the distribution rate may include a ROC, it should not be confused with yield or income. If the Fund estimates that a portion of its distribution may be comprised of amounts from sources other than net investment income in accordance with its policies and good accounting practices, the Fund will notify shareholders of the estimated composition of such distribution through a Section 19 Notice. Please refer to the most recent Section 19 Notice, if applicable, for additional information regarding the estimated composition of distributions. Please visit www.pimco.com for most recent Section 19 Notice, if applicable. Final determination of a distribution’s tax character will be made on Form 1099 DIV sent to shareholders each January.

 

(3) 

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

 

Investment Objective and Strategy Overview

 

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

 

Fund Insights at NAV

 

The following affected performance during the reporting period:

 

»  

Exposure to non-agency residential mortgage-backed securities contributed to absolute performance, as spreads tightened during the period.

 

»  

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

 

»  

Exposure to non-agency commercial mortgage-backed securities contributed to absolute performance, as the asset class outperformed like-duration Treasuries.

 

»  

Exposure to select asset-backed securities (“ABS”), specifically student loan ABS, contributed to absolute performance, as the asset class outperformed like-duration Treasuries.

 

»  

Exposure to the intermediate portion of the U.S. yield curve detracted from absolute performance, as rates increased during the period.

 

»  

Exposure to a select gaming and entertainment company detracted from absolute performance.

 

  ANNUAL REPORT   JUNE 30, 2018   11


PIMCO Global StocksPLUS® & Income Fund

 

  Symbol on NYSE -  PGP

 

Allocation Breakdown as of 06/30/2018§

 

Corporate Bonds & Notes

    28.1%  

Non-Agency Mortgage-Backed Securities

    23.6%  

U.S. Government Agencies

    22.3%  

Asset-Backed Securities

    6.6%  

Short-Term Instruments

    6.1%  

Sovereign Issues

    3.0%  

Loan Participations and Assignments

    2.9%  

Preferred Securities

    1.9%  

Common Stocks

    1.7%  

Real Estate Investment Trusts

    1.5%  

Municipal Bonds & Notes

    1.4%  

Other

    0.9%  
    

% of Investments, at value.

 

  § 

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

Fund Information (as of June 30, 2018)(1)

 

Market Price

    $14.98  

NAV

    $10.50  

Premium/(Discount) to NAV

    42.67%  

Market Price Distribution Rate(2)

    9.77%  

NAV Distribution Rate(2)

    13.94%  

Total Effective Leverage(3)

    24%  

 

 

 

Average Annual Total Return(1) for the period ended June 30, 2018  
    1 Year     5 Year     10 Year     Commencement
of Operations
(05/31/05)
 
Market Price     (8.96)%       3.95%       12.12%       10.22%  
NAV     8.53%       12.23%       14.10%       12.45%  

 

All Fund returns are net of fees and expenses.

 

(1) 

Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the sale of Fund shares. Total return, market price, NAV, market price distribution rate, and NAV distribution rate will fluctuate with changes in market conditions. Performance current to the most recent month-end is available at www.pimco.com or via (844) 33-PIMCO. Performance is calculated assuming all dividends and distributions are reinvested at prices obtained under the Fund’s dividend reinvestment plan. Performance does not reflect any brokerage commissions in connection with the purchase or sale of Fund shares.

 

(2) 

Distribution rates are not performance and are calculated by annualizing the most recent distribution per share and dividing by the NAV or Market Price, as applicable, as of the reported date. Distributions may be comprised of ordinary income, net capital gains, and/or a return of capital (“ROC”) of your investment in the Fund. Because the distribution rate may include a ROC, it should not be confused with yield or income. If the Fund estimates that a portion of its distribution may be comprised of amounts from sources other than net investment income in accordance with its policies and good accounting practices, the Fund will notify shareholders of the estimated composition of such distribution through a Section 19 Notice. Please refer to the most recent Section 19 Notice, if applicable, for additional information regarding the estimated composition of distributions. Please visit www.pimco.com for most recent Section 19 Notice, if applicable. Final determination of a distribution’s tax character will be made on Form 1099 DIV sent to shareholders each January.

 

(3) 

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

 

Investment Objective and Strategy Overview

 

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

 

Fund Insights at NAV

 

The following affected performance during the reporting period:

 

»  

The Fund’s exposure to equity index derivatives linked to the S&P 500 Index contributed to absolute returns, as the S&P 500 Index returned 14.37%.

 

»  

The Fund’s exposure to equity index derivatives linked to the MSCI EAFE Index contributed to absolute returns, as the MSCI EAFE Index returned 6.84%.

 

»  

A defensive options strategy involving written calls and purchased puts on the S&P 500 Index detracted from absolute performance, as the S&P 500 Index returned 14.37% during the period.

 

»  

U.S. duration strategies detracted from performance, as U.S. Treasury yields increased.

 

»  

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

 

»  

The Fund’s use of paired swap transactions supported the Fund’s monthly distributions, but generally resulted in a decline in the Fund’s net asset value.

 

12   PIMCO CLOSED-END FUNDS     


PIMCO Income Opportunity Fund

 

  Symbol on NYSE -  PKO

 

Allocation Breakdown as of 06/30/2018§

 

Corporate Bonds & Notes

    29.6%  

Asset-Backed Securities

    26.6%  

Non-Agency Mortgage-Backed Securities

    26.3%  

Loan Participations and Assignments

    3.3%  

Sovereign Issues

    2.7%  

Short-Term Instruments

    2.3%  

U.S. Government Agencies

    2.3%  

Convertible Preferred Securities

    2.3%  

Common Stocks

    1.5%  

Real Estate Investments Trusts

    1.3%  

Other

    1.8%  
    

% of Investments, at value.

 

  § 

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

Fund Information (as of June 30, 2018)(1)

 

Market Price

    $27.31  

NAV

    $25.06  

Premium/(Discount) to NAV

    8.98%  

Market Price Distribution Rate(2)

    8.35%  

NAV Distribution Rate(2)

    9.10%  

Total Effective Leverage(3)

    35%  

 

 

 

Average Annual Total Return(1) for the period ended June 30, 2018  
    1 Year     5 Year     10 Year     Commencement
of Operations
(11/30/07)
 
Market Price     11.13%       11.16%       14.42%       12.76%  
NAV     8.91%       9.42%       13.38%       12.34%  

 

All Fund returns are net of fees and expenses.

 

(1) 

Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the sale of Fund shares. Total return, market price, NAV, market price distribution rate, and NAV distribution rate will fluctuate with changes in market conditions. Performance current to the most recent month-end is available at www.pimco.com or via (844) 33-PIMCO. Performance is calculated assuming all dividends and distributions are reinvested at prices obtained under the Fund’s dividend reinvestment plan. Performance does not reflect any brokerage commissions in connection with the purchase or sale of Fund shares.

 

(2) 

Distribution rates are not performance and are calculated by annualizing the most recent distribution per share and dividing by the NAV or Market Price, as applicable, as of the reported date. Distributions may be comprised of ordinary income, net capital gains, and/or a return of capital (“ROC”) of your investment in the Fund. Because the distribution rate may include a ROC, it should not be confused with yield or income. If the Fund estimates that a portion of its distribution may be comprised of amounts from sources other than net investment income in accordance with its policies and good accounting practices, the Fund will notify shareholders of the estimated composition of such distribution through a Section 19 Notice. Please refer to the most recent Section 19 Notice, if applicable, for additional information regarding the estimated composition of distributions. Please visit www.pimco.com for most recent Section 19 Notice, if applicable. Final determination of a distribution’s tax character will be made on Form 1099 DIV sent to shareholders each January.

 

(3) 

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

 

Investment Objective and Strategy Overview

 

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

 

Fund Insights at NAV

 

The following affected performance during the reporting period:

 

»  

Exposure to non-agency residential mortgage-backed securities contributed to absolute performance, as spreads tightened during the period.

 

»  

Exposure to high yield corporate debt securities contributed to absolute performance, as the asset class outperformed like-duration Treasuries.

 

»  

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

 

»  

Exposure to a select energy company contributed to absolute performance.

 

»  

Exposure to the intermediate portion of the U.S. yield curve detracted from absolute performance, as U.S. interest rates increased during the period.

 

»  

Exposure to Argentine debt and currency detracted from absolute performance.

 

  ANNUAL REPORT   JUNE 30, 2018   13


PIMCO Strategic Income Fund, Inc.

 

  Symbol on NYSE -  RCS

 

Allocation Breakdown as of 06/30/2018§

 

U.S. Government Agencies

    70.1%  

Non-Agency Mortgage-Backed Securities

    10.0%  

Corporate Bonds & Notes

    7.1%  

Asset-Backed Securities

    5.5%  

U.S. Treasury Obligations

    4.9%  

Sovereign Issues

    1.0%  

Short-Term Instruments

    0.4%  

Other

    1.0%  
    

% of Investments, at value.

 

  § 

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

Fund Information (as of June 30, 2018)(1)

 

Market Price

    $9.68  

NAV

    $7.32  

Premium/(Discount) to NAV

    32.24%  

Market Price Distribution Rate(2)

    8.93%  

NAV Distribution Rate(2)

    11.80%  

Total Effective Leverage(3)

    29%  

 

 

 

Average Annual Total Return(1) for the period ended June 30, 2018  
    1 Year     5 Year     10 Year     Commencement
of Operations
(02/24/94)
 
Market Price     4.59%       9.43%       12.44%       9.45%  
NAV     5.78%       7.21%       11.48%       8.59%  

 

All Fund returns are net of fees and expenses.

 

(1) 

Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the sale of Fund shares. Total return, market price, NAV, market price distribution rate, and NAV distribution rate will fluctuate with changes in market conditions. Performance current to the most recent month-end is available at www.pimco.com or via (844) 33-PIMCO. Performance is calculated assuming all dividends and distributions are reinvested at prices obtained under the Fund’s dividend reinvestment plan. Performance does not reflect any brokerage commissions in connection with the purchase or sale of Fund shares.

 

(2) 

Distribution rates are not performance and are calculated by annualizing the most recent distribution per share and dividing by the NAV or Market Price, as applicable, as of the reported date. Distributions may be comprised of ordinary income, net capital gains, and/or a return of capital (“ROC”) of your investment in the Fund. Because the distribution rate may include a ROC, it should not be confused with yield or income. If the Fund estimates that a portion of its distribution may be comprised of amounts from sources other than net investment income in accordance with its policies and good accounting practices, the Fund will notify shareholders of the estimated composition of such distribution through a Section 19 Notice. Please refer to the most recent Section 19 Notice, if applicable, for additional information regarding the estimated composition of distributions. Please visit www.pimco.com for most recent Section 19 Notice, if applicable. Final determination of a distribution’s tax character will be made on Form 1099 DIV sent to shareholders each January.

 

(3) 

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

 

Investment Objective and Strategy Overview

 

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

 

Fund Insights at NAV

 

The following affected performance during the reporting period:

 

»  

Exposure to non-agency residential mortgage-backed securities contributed to absolute performance, as spreads tightened during the period.

 

»  

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

 

»  

Exposure to non-agency commercial mortgage-backed securities contributed to absolute performance, as the asset class outperformed like-duration Treasuries.

 

»  

Exposure to asset-backed securities (“ABS”), specifically student loan ABS, contributed to absolute performance, as the asset class outperformed like-duration Treasuries during the period.

 

»  

Exposure to the intermediate portion of the U.S. yield curve detracted from absolute performance, as U.S. interest rates increased during the period.

 

»  

Exposure to agency mortgage-backed securities detracted from absolute performance, as the asset class underperformed like-duration Treasuries during the period.

 

»  

Exposure to Argentine debt and currency detracted from absolute performance.

 

14   PIMCO CLOSED-END FUNDS     


PIMCO Dynamic Credit and Mortgage Income Fund

 

  Symbol on NYSE -  PCI

 

Allocation Breakdown as of 06/30/2018§

 

Asset-Backed Securities

    35.9%  

Non-Agency Mortgage-Backed Securities

    28.0%  

Corporate Bonds & Notes

    21.1%  

Loan Participations and Assignments

    3.8%  

U.S. Government Agencies

    2.9%  

Short-Term Instruments

    2.3%  

Sovereign Issues

    2.2%  

Common Stocks

    1.3%  

Other

    2.5%  
    

% of Investments, at value.

 

  § 

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

Fund Information (as of June 30, 2018)(1)

 

Market Price

    $23.57  

NAV

    $23.74  

Premium/(Discount) to NAV

    (0.72)%  

Market Price Distribution Rate(2)

    8.35%  

NAV Distribution Rate(2)

    8.29%  

Total Effective Leverage(3)

    45%  

 

 

 

Average Annual Total Return(1) for the period ended June 30, 2018  
    1 Year     5 Year     Commencement
of Operations
(01/31/13)
 
Market Price     15.03%       12.09%       9.75%  
NAV     12.64%       10.86%       10.19%  

 

All Fund returns are net of fees and expenses.

 

(1) 

Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the sale of Fund shares. Total return, market price, NAV, market price distribution rate, and NAV distribution rate will fluctuate with changes in market conditions. Performance current to the most recent month-end is available at www.pimco.com or via (844) 33-PIMCO. Performance is calculated assuming all dividends and distributions are reinvested at prices obtained under the Fund’s dividend reinvestment plan. Performance does not reflect any brokerage commissions in connection with the purchase or sale of Fund shares.

 

(2) 

Distribution rates are not performance and are calculated by annualizing the most recent distribution per share and dividing by the NAV or Market Price, as applicable, as of the reported date. Distributions may be comprised of ordinary income, net capital gains, and/or a return of capital (“ROC”) of your investment in the Fund. Because the distribution rate may include a ROC, it should not be confused with yield or income. If the Fund estimates that a portion of its distribution may be comprised of amounts from sources other than net investment income in accordance with its policies and good accounting practices, the Fund will notify shareholders of the estimated composition of such distribution through a Section 19 Notice. Please refer to the most recent Section 19 Notice, if applicable, for additional information regarding the estimated composition of distributions. Please visit www.pimco.com for most recent Section 19 Notice, if applicable. Final determination of a distribution’s tax character will be made on Form 1099 DIV sent to shareholders each January.

 

(3) 

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

 

Investment Objective and Strategy Overview

 

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

 

Fund Insights at NAV

 

The following affected performance during the reporting period:

 

»  

Exposure to non-agency residential mortgage-backed securities benefited absolute performance, as spreads tightened during the period.

 

»  

Exposure to non-agency commercial mortgage-backed securities benefited absolute performance, as the asset class outperformed like-duration Treasuries.

 

»  

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

 

»  

Exposure to high yield corporate debt securities benefited absolute performance, as the asset class outperformed like-duration Treasuries.

 

»  

Exposure to the intermediate portion of the U.S. yield curve detracted from absolute performance, as rates rose during the period.

 

»  

Exposure to Argentine debt and currency detracted from absolute performance.

 

  ANNUAL REPORT   JUNE 30, 2018   15


PIMCO Dynamic Income Fund

 

  Symbol on NYSE -  PDI

 

Allocation Breakdown as of 06/30/2018§

 

Non-Agency Mortgage-Backed Securities

    41.5%  

Asset-Backed Securities

    25.9%  

Corporate Bonds & Notes

    17.7%  

Short-Term Instruments

    4.5%  

Loan Participations and Assignments

    3.5%  

U.S. Government Agencies

    2.9%  

Sovereign Issues

    1.9%  

Common Stocks

    1.0%  

Other

    1.1%  
    

% of Investments, at value.

 

  § 

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

Fund Information (as of June 30, 2018)(1)

 

Market Price

    $31.87  

NAV

    $28.98  

Premium/(Discount) to NAV

    9.97%  

Market Price Distribution Rate(2)

    8.30%  

NAV Distribution Rate(2)

    9.13%  

Total Effective Leverage(3)

    41%  

 

 

 

Average Annual Total Return(1) for the period ended June 30, 2018  
    1 Year     5 Year     Commencement
of Operations
(05/30/12)
 
Market Price     15.54%       16.49%       18.04%  
NAV     12.16%       13.22%       17.28%  

 

All Fund returns are net of fees and expenses.

 

(1) 

Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the sale of Fund shares. Total return, market price, NAV, market price distribution rate, and NAV distribution rate will fluctuate with changes in market conditions. Performance current to the most recent month-end is available at www.pimco.com or via (844) 33-PIMCO. Performance is calculated assuming all dividends and distributions are reinvested at prices obtained under the Fund’s dividend reinvestment plan. Performance does not reflect any brokerage commissions in connection with the purchase or sale of Fund shares.

 

(2) 

Distribution rates are not performance and are calculated by annualizing the most recent distribution per share and dividing by the NAV or Market Price, as applicable, as of the reported date. Distributions may be comprised of ordinary income, net capital gains, and/or a return of capital (“ROC”) of your investment in the Fund. Because the distribution rate may include a ROC, it should not be confused with yield or income. If the Fund estimates that a portion of its distribution may be comprised of amounts from sources other than net investment income in accordance with its policies and good accounting practices, the Fund will notify shareholders of the estimated composition of such distribution through a Section 19 Notice. Please refer to the most recent Section 19 Notice, if applicable, for additional information regarding the estimated composition of distributions. Please visit www.pimco.com for most recent Section 19 Notice, if applicable. Final determination of a distribution’s tax character will be made on Form 1099 DIV sent to shareholders each January.

 

(3) 

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

 

Investment Objective and Strategy Overview

 

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

 

Fund Insights at NAV

 

The following affected performance during the reporting period:

 

»  

Exposure to non-agency residential mortgage-backed securities benefited absolute performance, as spreads tightened during the period.

 

»  

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

 

»  

Exposure to non-agency commercial mortgage-backed securities benefited performance, as the asset class outperformed like-duration Treasuries.

 

»  

Exposure to high yield corporate debt securities benefited absolute performance, as the asset class outperformed like-duration Treasuries.

 

»  

Exposure to the intermediate portion of the U.S. yield curve detracted from absolute performance, as U.S. interest rates increased during the period.

 

»  

Exposure to Argentine debt and currency detracted from absolute performance.

 

16   PIMCO CLOSED-END FUNDS     


 

 

 

(THIS PAGE INTENTIONALLY LEFT BLANK)

 

  ANNUAL REPORT   JUNE 30, 2018   17


Financial Highlights

 

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

PCM Fund, Inc.

                 

06/30/2018

  $ 10.15     $ 0.88     $ 0.18     $ 1.06             $ (0.98   $ 0.00     $ 0.00     $ (0.98

06/30/2017

    9.71       0.98       0.92       1.90               (1.46     0.00       0.00       (1.46

06/30/2016

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

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

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

12/31/2014

    11.17       0.94       (0.34     0.60               (1.05     0.00       0.00       (1.05

12/31/2013

    11.35       1.12       (0.20     0.92               (1.10     0.00       0.00       (1.10

PIMCO Global StocksPLUS® & Income Fund

                 

06/30/2018

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

06/30/2017

    9.76       1.15       2.14       3.29               (1.67     0.00       (0.20     (1.87

06/30/2016

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

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

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

03/31/2015

    14.72       1.15       (0.85     0.30               (2.20     0.00       0.00       (2.20

03/31/2014

    14.32       1.39       1.21       2.60               (2.20     0.00       0.00       (2.20

PIMCO Income Opportunity Fund

                 

06/30/2018

  $ 25.17     $ 2.18     $ (0.01   $ 2.17             $ (2.28   $ 0.00     $ 0.00     $ (2.28

06/30/2017

    22.59       2.28       2.92       5.20               (2.56     0.00       (0.06     (2.62

06/30/2016

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

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

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

10/31/2014

    28.67       2.71       (0.12     2.59               (2.88     0.00       0.00       (2.88

10/31/2013

    27.86       2.87       0.77       3.64               (2.83     0.00       0.00       (2.83

PIMCO Strategic Income Fund, Inc.

                 

06/30/2018

  $ 7.75     $ 0.77     $ (0.34   $ 0.43             $ (0.86   $ 0.00     $ 0.00     $ (0.86

06/30/2017

    7.89       0.70       0.08       0.78               (0.80     0.00         (0.12       (0.92

06/30/2016

    8.58       0.76       (0.45     0.31               (1.00     0.00       0.00       (1.00

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

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

01/31/2015

    9.24       0.90       (0.55     0.35               (1.02     0.00       0.00       (1.02

01/31/2014

    9.66       0.99       (0.30     0.69               (1.11     0.00       0.00       (1.11

PIMCO Dynamic Credit and Mortgage Income Fund (Consolidated)

                 

06/30/2018

  $   22.91     $   1.95     $ 0.85     $ 2.80             $ (1.97   $ 0.00     $ 0.00     $ (1.97

06/30/2017

    20.43       1.62       3.46       5.08               (2.60     0.00       0.00       (2.60

06/30/2016

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

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

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

12/31/2014

    24.04       1.79       (0.53     1.26               (2.47     0.00       0.00       (2.47

01/31/2013 - 12/31/2013

    23.88       1.33       0.76       2.09               (1.68       (0.24     0.00       (1.92

PIMCO Dynamic Income Fund (Consolidated)

                 

06/30/2018

  $   28.32     $   2.95     $ 0.18     $   3.13             $   (2.65   $ 0.00     $   0.00     $   (2.65

06/30/2017

    26.56       2.60       3.18       5.78               (4.10     0.00       0.00       (4.10

06/30/2016

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

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

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

03/31/2015

    32.11       3.25       (0.49     2.76               (4.13     0.00       0.00       (4.13

03/31/2014

    30.69       3.70       1.24       4.94               (3.29     (0.23     0.00       (3.52

 

^

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

*

Annualized

(a) 

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

(b) 

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

(c) 

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

(d) 

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

(e) 

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

(f) 

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

(g) 

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

(h) 

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

(i) 

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

 

18   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


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

 

  ANNUAL REPORT   JUNE 30, 2018   19


Statements of Assets and Liabilities

 

June 30, 2018

 

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

Assets:

       

Investments, at value

                               

Investments in securities*

  $ 181,173     $ 171,105     $ 540,360     $ 1,205,767  

Financial Derivative Instruments

                               

Exchange-traded or centrally cleared

    25       513       168       318  

Over the counter

    0       2,260       646       615  

Cash

    1       0       48       1,550  

Deposits with counterparty

    1,772       4,391       10,368       12,711  

Foreign currency, at value

    0       411       1,731       678  

Receivable for investments sold

    2,905       679       11,151       1,341  

Receivable for mortgage dollar rolls

    0       0       0       552,805  

Receivable for TBA investments sold

    0       8,495       0       0  

Interest and/or dividends receivable

    860       1,578       4,640       3,274  

Other assets

    11       1       85       2  

Total Assets

    186,747       189,433       569,197       1,779,061  

Liabilities:

       

Borrowings & Other Financing Transactions

                               

Payable for reverse repurchase agreements

  $ 62,464     $ 27,001     $ 172,762     $ 103,189  

Payable for sale-buyback transactions

    0       0       0       47,982  

Payable for mortgage dollar rolls

    0       0       0       552,805  

Financial Derivative Instruments

                               

Exchange-traded or centrally cleared

    67       246       327       57  

Over the counter

    1,050       918       2,352       1,995  

Payable for investments purchased

    1,193       1,123       3,289       2,629  

Payable for TBA investments purchased

    0       41,183       0       747,867  

Payable for unfunded loan commitments

    2,260       2,676       6,252       198  

Deposits from counterparty

    133       1,462       1,446       4,101  

Distributions payable to common shareholders

    926       1,315       2,877       3,095  

Overdraft due to custodian

    0       168       0       0  

Accrued management fees

    139       135       504       255  

Other liabilities

    3       2       10       348  

Total Liabilities

    68,235       76,229       189,819       1,464,521  

Net Assets

  $ 118,512     $ 113,204     $ 379,378     $ 314,540  

Net Asset Consist of:

       

Shares:

                               

Par value ($0.001 per share), ($0.00001 per share), ($0.00001 per share), ($0.00001 per share)

  $ 0     $ 0     $ 0     $ 0  

Paid in capital in excess of par

    110,813       135,810       346,449       357,111  

Undistributed (overdistributed) net investment income

    1,275       (1,570     (1,068     (3,145

Accumulated undistributed net realized gain (loss)

    (897     (23,572     (5,343     (28,045

Net unrealized appreciation (depreciation)

    7,321       2,536       39,340       (11,381

Net Assets Applicable to Common Shareholders

  $   118,512     $   113,204     $   379,378     $   314,540  

Common Shares Outstanding

    11,580       10,779       15,140       42,986  

Net Asset Value Per Common Share

  $ 10.23     $ 10.50     $ 25.06     $ 7.32  

Cost of investments in securities

  $ 170,932     $ 167,223     $ 502,160     $   1,225,058  

Cost of foreign currency held

  $ 0     $ 418     $ 1,749     $ 704  

Cost or premiums of financial derivative instruments, net

  $ (29   $ 9,625     $ (8,332   $ 8,407  

* Includes repurchase agreements of:

  $ 6,388     $ 10,183     $ 6,163     $ 1,992  

 

  

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

 

20   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


Consolidated Statements of Assets and Liabilities

 

June 30, 2018

 

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

Assets:

   

Investments, at value

               

Investments in securities*

  $ 5,649,102     $ 2,608,673  

Investments in Affiliates

    10,856       0  

Financial Derivative Instruments

               

Exchange-traded or centrally cleared

    1,464       408  

Over the counter

    14,782       3,982  

Cash

    797       0  

Deposits with counterparty

    119,446       25,606  

Foreign currency, at value

    8,423       2,997  

Receivable for investments sold

    104,809       6,263  

Receivable for Fund shares sold

    0       683  

Interest and/or dividends receivable

    38,160       15,318  

Other assets

    8       186  

Total Assets

    5,947,847       2,664,116  

Liabilities:

   

Borrowings & Other Financing Transactions

               

Payable for reverse repurchase agreements

  $ 2,489,155     $ 995,864  

Financial Derivative Instruments

               

Exchange-traded or centrally cleared

    2,373       604  

Over the counter

    24,966       13,729  

Payable for investments purchased

    92,627       27,641  

Payable for unfunded loan commitments

    34,835       32,252  

Deposits from counterparty

    18,421       4,050  

Distributions payable to common shareholders

    22,513       11,892  

Overdraft due to custodian

    0       9  

Accrued management fees

    5,707       2,523  

Other liabilities

    55       29  

Total Liabilities

    2,690,652       1,088,593  

Net Assets

  $ 3,257,195     $ 1,575,523  

Net Asset Consist of:

   

Shares:

               

Par value ($0.00001 per share)

  $ 1     $ 1  

Paid in capital in excess of par

    3,274,390       1,350,728  

Undistributed (overdistributed) net investment income

    11,191       18,239  

Accumulated undistributed net realized gain (loss)

    (174,421     (27,685

Net unrealized appreciation (depreciation)

    146,034       234,240  

Net Assets Applicable to Common Shareholders

  $   3,257,195     $   1,575,523  

Common Shares Outstanding

    137,221       54,361  

Net Asset Value Per Common Share

  $ 23.74     $ 28.98  

Cost of investments in securities

  $ 5,430,022     $ 2,367,356  

Cost of Investments in Affiliates

  $ 7,639     $ 0  

Cost of foreign currency held

  $ 8,565     $ 3,109  

Cost or premiums of financial derivative instruments, net

  $ (2,621   $ (46,412

* Includes repurchase agreements of:

  $ 97,864     $ 97,512  

 

  

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

 

  ANNUAL REPORT   JUNE 30, 2018   21


Statements of Operations

 

Year Ended June 30, 2018                        
(Amounts in thousands)   PCM Fund,
Inc.
    PIMCO
Global
StocksPLUS® &
Income
Fund
    PIMCO
Income
Opportunity
Fund
    PIMCO
Strategic
Income Fund,
Inc.
 

Investment Income:

       

Interest

  $ 13,753     $ 14,395     $ 43,196     $ 38,843  

Dividends

    45       152       1,111       23  

Total Income

    13,798       14,547       44,307       38,866  

Expenses:

       

Management fees

    1,689       1,742       6,211       3,102  

Trustee fees and related expenses

    14       14       46       42  

Interest expense

    1,936       1,055       5,174       2,843  

Miscellaneous expense

    1       9       24       5  

Total Expenses

    3,640       2,820       11,455       5,992  

Net Investment Income (Loss)

    10,158         11,727       32,852       32,874  

Net Realized Gain (Loss):

       

Investments in securities

    806       (50     4,737       1,644  

Exchange-traded or centrally cleared financial derivative instruments

    2,823       3,269       687       12,230  

Over the counter financial derivative instruments

    293       1,877       871       1,065  

Short sales

    (1     (1     (1     (2

Foreign currency

    0       85       116       (104

Net Realized Gain (Loss)

    3,921       5,180       6,410       14,833  

Net Change in Unrealized Appreciation (Depreciation):

       

Investments in securities

    1,277       (6,226     (5,003     (29,921

Exchange-traded or centrally cleared financial derivative instruments

    (3,634     (3,836     (4,364     (804

Over the counter financial derivative instruments

    546       2,578       2,062       851  

Foreign currency assets and liabilities

    3       296       714       (61

Net Change in Unrealized Appreciation (Depreciation)

    (1,808     (7,188     (6,591       (29,935

Net Increase (Decrease) in Net Assets Resulting from Operations

  $   12,271     $ 9,719     $   32,671     $ 17,772  

 

  

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

 

22   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


Consolidated Statements of Operations

 

Year Ended June 30, 2018            
(Amounts in thousands)   PIMCO
Dynamic
Credit and
Mortgage
Income Fund
    PIMCO
Dynamic
Income Fund
 

Investment Income:

   

Interest

  $   401,067     $   208,675  

Dividends

    2,736       610  

Total Income

    403,803       209,285  

Expenses:

   

Management fees

    67,185       29,060  

Trustee fees and related expenses

    420       172  

Interest expense

    67,907       30,150  

Miscellaneous expense

    238       78  

Total Expenses

    135,750       59,460  

Net Investment Income (Loss)

    268,053       149,825  

Net Realized Gain (Loss):

   

Investments in securities

    44,337       (733

Exchange-traded or centrally cleared financial derivative instruments

    (36,458     (1,001

Over the counter financial derivative instruments

    2,240       1,534  

Short sales

    (55     (7

Foreign currency

    4,219       501  

Net Realized Gain (Loss)

    14,283       294  

Net Change in Unrealized Appreciation (Depreciation):

   

Investments in securities

    82,311       4,864  

Investments in Affiliates

    3,216       0  

Exchange-traded or centrally cleared financial derivative instruments

    (8,012     (6,189

Over the counter financial derivative instruments

    11,665       6,393  

Foreign currency assets and liabilities

    11,680       1,981  

Net Change in Unrealized Appreciation (Depreciation)

    100,860       7,049  

Net Increase (Decrease) in Net Assets Resulting from Operations

  $ 383,196     $ 157,168  

 

  

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

 

  ANNUAL REPORT   JUNE 30, 2018   23


Statements of Changes in Net Assets

 

    PCM Fund, Inc.     PIMCO
Global StocksPLUS® &
Income Fund
 
(Amounts in thousands)   Year Ended
June 30, 2018
    Year Ended
June 30, 2017
    Year Ended
June 30, 2018
    Year Ended
June 30, 2017
 

Increase (Decrease) in Net Assets from:

       

Operations:

       

Net investment income (loss)

  $ 10,158     $ 11,304     $ 11,727     $ 12,253  

Net realized gain (loss)

    3,921       (289     5,180       22,795  

Net change in unrealized appreciation (depreciation)

    (1,808     10,943       (7,188     (577

Net Increase (Decrease) in Net Assets Resulting from Operations

    12,271       21,958       9,719       34,471  

Distributions to Common Shareholders:

       

From net investment income

    (11,341     (16,862     (15,394     (17,812

Tax basis return of capital

    0       0       (1,915     (2,117

Total Distributions to Common Shareholders(a)

    (11,341     (16,862     (17,309     (19,929

Common Share Transactions**:

       

Issued as reinvestment of distributions

    180       207       1,256       1,369  

Total increase (decrease) in Net Assets

    1,110       5,303       (6,334     15,911  

Net Assets Applicable to Common Shareholders:

       

Beginning of year

    117,402       112,099       119,538       103,627  

End of year*

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

* Including undistributed (overdistributed) net investment income of:

  $ 1,275     $ 1,113     $ (1,570   $ (2,155

** Common Share Transactions:

       

Shares issued as reinvestment of distributions

    17       21       85       80  

 

  

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

(a) 

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

 

24   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


 

    
PIMCO
Income Opportunity Fund
    PIMCO
Strategic Income Fund, Inc.
 
Year Ended
June 30, 2018
    Year Ended
June 30, 2017
    Year Ended
June 30, 2018
    Year Ended
June 30, 2017
 
     
     
$ 32,852     $ 34,274     $ 32,874     $ 29,460  
  6,410       4,439       14,833       2,890  
  (6,591     39,403       (29,935     378  
  32,671       78,116       17,772       32,728  
     
  (34,421     (38,429     (36,951     (33,902
  0       (899     0       (5,051
  (34,421     (39,328     (36,951     (38,953
     
  2,422       1,626       4,046       3,847  
  672       40,414       (15,133     (2,378
     
  378,706       338,292       329,673       332,051  
$   379,378     $   378,706     $   314,540     $   329,673  
$ (1,068   $ (2,777   $ (3,145   $ (3,133
     
  95       68       451       419  

 

  ANNUAL REPORT   JUNE 30, 2018   25


Consolidated Statements of Changes in Net Assets

 

    PIMCO
Dynamic Credit and
Mortgage Income Fund
    PIMCO
Dynamic Income Fund
 
(Amounts in thousands)   Year Ended
June 30, 2018
    Year Ended
June 30, 2017
    Year Ended
June 30, 2018
    Year Ended
June 30, 2017
 

Increase (Decrease) in Net Assets from:

       

Operations:

       

Net investment income (loss)

  $ 268,053     $ 221,765     $ 149,825     $ 121,122  

Net realized gain (loss)

    14,283       153,108       294       31,672  

Net change in unrealized appreciation (depreciation)

    100,860       321,883       7,049       118,299  

Net Increase (Decrease) in Net Assets Applicable to Common Shareholders Resulting from Operations

    383,196       696,756       157,168       271,093  

Distributions to Common Shareholders:

       

From net investment income

    (270,155     (356,605     (134,192     (190,382

Tax basis return of capital

    0       0       0       0  

Total Distributions to Common Shareholders(a)

    (270,155     (356,605     (134,192     (190,382

Common Share Transactions**:

       

Net proceeds from at-the-market offering

    0       0       166,334       51,315  

At-the-market offering costs

    0       0       (104     96  

Issued as reinvestment of distributions

    0       0       13,643       18,053  

Net increase (decrease) resulting from common share transactions

    0       0       179,873       69,464  

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

    113,041       340,151       202,849       150,175  

Net Assets Applicable to Common Shareholders:

       

Beginning of year

    3,144,154       2,804,003       1,372,674       1,222,499  

End of year*

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

* Including undistributed (overdistributed) net investment income of:

  $ 11,191     $ (10,953   $ 18,239     $ (5,329

** Common Share Transactions:

       

Shares sold

    0       0       5,434       1,768  

Shares issued as reinvestment of distributions

    0       0       467       667  

Net increase (decrease) in common shares outstanding

    0       0       5,901       2,435  

 

  

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

(a) 

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

 

26   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


Statements of Cash Flows

 

Year Ended June 30, 2018                        
(Amounts in thousands)   PCM Fund, Inc.     PIMCO Global
StocksPLUS® &
Income Fund
    PIMCO Income
Opportunity Fund
    PIMCO Strategic
Income Fund, Inc.
 

Cash Flows Provided by (Used for) Operating Activities:

       

Net increase (decrease) in net assets resulting from operations

  $ 12,271     $ 9,719     $ 32,671     $ 17,772  

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

    (29,548     (132,047     (139,394     (444,486

Proceeds from sales of long-term securities

    36,339       103,600       156,090       118,543  

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

    (1,802     5,228       26,386       9,726  

(Increase) decrease in deposits with counterparty

    (364     18,816       (3,028     (12,132

(Increase) decrease in receivable for investments sold

    5,464       (6,240     6,976       (242

(Increase) decrease in interest and/or dividends receivable

    (25     (156     (1,096     (285

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

    (826     (1,092     (3,609     11,776  

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

    78       1,753       246       1,050  

(Increase) decrease in other assets

    (10     0       (84     0  

Increase (decrease) in payable for investments purchased

    799       40,288       (6,239     284,899  

Increase (decrease) in payable for unfunded loan commitments

    2,260       2,676       6,252       198  

Increase (decrease) in deposits from counterparty

    133       1,202       1,305       3,799  

Increase (decrease) in accrued management fees

    (5     (38     (36     (22

Proceeds from (Payments on) short sales transactions, net

    (1     (1     (1     (2

Proceeds from (Payments on) foreign currency transactions

    3       78       (8     (165

Increase (decrease) in other liabilities

    (27     (12     (23     82  

Net Realized (Gain) Loss

                               

Investments in securities

    (806     50       (4,737     (1,644

Exchange-traded or centrally cleared financial derivative instruments

    (2,823     (3,269     (687     (12,230

Over the counter financial derivative instruments

    (293     (1,877     (871     (1,065

Short sales

    1       1       1       2  

Foreign currency

    0       (85     (116     104  

Net Change in Unrealized (Appreciation) Depreciation

                               

Investments in securities

    (1,277     6,226       5,003       29,921  

Exchange-traded or centrally cleared financial derivative instruments

    3,634       3,836       4,364       804  

Over the counter financial derivative instruments

    (546     (2,578     (2,062     (851

Foreign currency assets and liabilities

    (3     (296     (714     61  

Non Cash Payment in Kind

    (30     (72     (189     (7

Net amortization (accretion) on investments

    (544     (248     (4,279     (130

Net Cash Provided by (Used for) Operating Activities

    22,052       45,462       72,121       5,476  

Cash Flows Received from (Used for) Financing Activities:

       

Increase (decrease) in overdraft due to custodian

    (2     25       (354     (17

Cash distributions paid*

    (11,160     (16,307     (31,981     (32,873

Proceeds from reverse repurchase agreements

    180,409       155,783       818,441       567,851  

Payments on reverse repurchase agreements

      (191,299       (184,555       (856,964     (549,021

Proceeds from sale-buyback transactions

    0       0       0       2,643,036  

Payments on sale-buyback transactions

    0       0       0         (2,632,224

Proceeds from mortgage dollar rolls

    0       0       0       8,939,627  

Payments on mortgage dollar rolls

    0       0       0       (8,939,627

Net Cash Received from (Used for) Financing Activities

    (22,052     (45,054     (70,858     (3,248

Net Increase (Decrease) in Cash and Foreign Currency

    0       408       1,263       2,228  

Cash and Foreign Currency:

       

Beginning of year

    1       3       516       0  

End of year

  $ 1     $ 411     $ 1,779     $ 2,228  

* Reinvestment of distributions

  $ 180     $ 1,256     $ 2,422     $ 4,046  

Supplemental Disclosure of Cash Flow Information:

       

Interest expense paid during the year

  $ 1,931     $ 1,133     $ 5,232     $ 2,775  

 

 

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

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

 

  ANNUAL REPORT   JUNE 30, 2018   27


Consolidated Statements of Cash Flows

 

Year Ended June 30, 2018            
(Amounts in thousands)   PIMCO
Dynamic
Credit and
Mortgage
Income Fund
    PIMCO
Dynamic
Income Fund
 

Cash Flows Provided by (Used for) Operating Activities:

   

Net increase (decrease) in net assets resulting from operations

  $ 383,196     $ 157,168  

Adjustments to Reconcile Net Increase (Decrease) in Net Assets from Operations to Net Cash Provided by (Used for) Operating Activities:

   

Purchases of long-term securities

      (1,677,028       (536,363

Proceeds from sales of long-term securities

    1,625,731       455,861  

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

    37,587       15,712  

(Increase) decrease in deposits with counterparty

    (11,737     (5,686

(Increase) decrease in receivable for investments sold

    210,167       44,886  

(Increase) decrease in interest and/or dividends receivable

    (12,557     (3,026

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

    (45,122     (7,379

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

    944       (114

(Increase) decrease in other assets

    0       64  

Increase (decrease) in payable for investments purchased

    (37,947     (25,555

Increase (decrease) in payable for unfunded loan commitments

    34,835       32,252  

Increase (decrease) in deposits from counterparty

    7,949       (2,794

Increase (decrease) in accrued management fees

    22       37  

Proceeds from (Payments on) short sales transactions, net

    (55     (7

Proceeds from (Payments on) foreign currency transactions

    3,376       187  

Increase (decrease) in other liabilities

    (158     (386

Net Realized (Gain) Loss

               

Investments in securities

    (44,337     733  

Exchange-traded or centrally cleared financial derivative instruments

    36,458       1,001  

Over the counter financial derivative instruments

    (2,240     (1,534

Short sales

    55       7  

Foreign currency

    (4,219     (501

Net Change in Unrealized (Appreciation) Depreciation

               

Investments in securities

    (82,311     (4,864

Investments in Affiliates

    (3,216     0  

Exchange-traded or centrally cleared financial derivative instruments

    8,012       6,189  

Over the counter financial derivative instruments

    (11,665     (6,393

Foreign currency assets and liabilities

    (11,680     (1,981

Non Cash Payment in Kind

    (1,623     (24

Net amortization (accretion) on investments

    (47,487     (19,326

Net Cash Provided by (Used for) Operating Activities

    354,950       98,164  

Cash Flows Received from (Used for) Financing Activities:

   

Net proceeds from at-the-market offering

    0       166,492  

Net at-the-market offering costs

    0       (104

Increase (decrease) in overdraft due to custodian

    (9,365     (4,350

Cash distributions paid*

    (270,155     (119,274

Proceeds from reverse repurchase agreements

    9,903,575       3,189,373  

Payments on reverse repurchase agreements

      (9,982,379       (3,328,615

Net Cash Received from (Used for) Financing Activities

    (358,324     (96,478

Net Increase (Decrease) in Cash and Foreign Currency

    (3,374     1,686  

Cash and Foreign Currency:

   

Beginning of year

    12,594       1,311  

End of year

  $ 9,220     $ 2,997  

* Reinvestment of distributions

  $ 0     $ 13,643  

Supplemental Disclosure of Cash Flow Information:

   

Interest expense paid during the year

  $ 68,596     $ 32,437  

 

  

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

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

 

28   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


Schedule of Investments PCM Fund, Inc.

 

June 30, 2018

 

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

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
INVESTMENTS IN SECURITIES 152.9%

 

LOAN PARTICIPATIONS AND ASSIGNMENTS 5.0%

 

Banff Merger Sub, Inc.

 

TBD% due 06/21/2019

  $     2,000     $     1,992  

Community Health Systems, Inc.

 

5.557% (LIBOR03M + 3.250%) due 01/27/2021 ~

      79         77  

Forbes Energy Services LLC

 

TBD% - 7.000% due 04/13/2021

      462         468  

Frontier Communications Corp.

 

5.850% (LIBOR03M + 3.750%) due 06/15/2024 ~

      99         99  

iHeartCommunications, Inc.

 

TBD% - 9.052% due 01/30/2019 ^(d)

      3,000         2,299  

McDermott International, Inc.

 

7.094% (LIBOR03M + 5.000%) due 05/12/2025 ~

      400         402  

MH Sub LLC

 

5.835% (LIBOR03M + 3.750%) due 09/13/2024 ~

      20         20  

Multi Color Corp.

 

4.344% (LIBOR03M + 2.500%) due 10/31/2024 ~

      3         3  

PetSmart, Inc.

 

5.010% (LIBOR03M + 3.000%) due 03/11/2022 ~

      20         16  

Sequa Mezzanine Holdings LLC

 

7.046% (LIBOR03M + 5.000%) due 11/28/2021 ~

      40         40  

11.099% (LIBOR03M + 9.000%) due 04/28/2022 « ~

      220         224  

West Corp.

 

6.094% (LIBOR03M + 4.000%) due 10/10/2024 ~

      9         9  

Westmoreland Coal Co.

 

TBD% due 05/31/2020

      273         279  
       

 

 

 

Total Loan Participations and Assignments
(Cost $6,563)

 

        5,928  
       

 

 

 
CORPORATE BONDS & NOTES 12.2%

 

BANKING & FINANCE 3.9%

 

Athene Holding Ltd.

 

4.125% due 01/12/2028

      10         9  

AXA Equitable Holdings, Inc.

 

4.350% due 04/20/2028

      24         23  

5.000% due 04/20/2048

      14         13  

Cantor Fitzgerald LP

 

7.875% due 10/15/2019 (k)

      740         774  

CIT Group, Inc.

 

5.250% due 03/07/2025

      10         10  

Exeter Finance Corp.

 

9.750% due 05/20/2019 «

      800         798  

Fortress Transportation & Infrastructure Investors LLC

 

6.750% due 03/15/2022

      24         25  

Freedom Mortgage Corp.

 

8.250% due 04/15/2025

      22         22  

Hunt Cos., Inc.

 

6.250% due 02/15/2026

      6         6  

iStar, Inc.

 

4.625% due 09/15/2020

      3         3  

5.250% due 09/15/2022

      10         10  

Jefferies Finance LLC

 

7.500% due 04/15/2021

      187         191  

Kennedy-Wilson, Inc.

 

5.875% due 04/01/2024

      14         14  

Life Storage LP

 

3.875% due 12/15/2027

      6         6  

LoanCore Capital Markets LLC

 

6.875% due 06/01/2020

      1,000         1,013  

MetLife, Inc.

 

5.875% due 03/15/2028 •(h)

      20         20  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Nationstar Mortgage LLC

 

6.500% due 07/01/2021

  $     146     $     146  

Navient Corp.

 

5.875% due 03/25/2021 (k)

      465         474  

6.500% due 06/15/2022

      16         16  

Oppenheimer Holdings, Inc.

 

6.750% due 07/01/2022

      10         10  

Provident Funding Associates LP

 

6.375% due 06/15/2025

      6         6  

Springleaf Finance Corp.

 

5.625% due 03/15/2023 (k)

      200         199  

6.125% due 05/15/2022 (k)

      131         134  

6.875% due 03/15/2025

      68         68  

7.125% due 03/15/2026

      74         74  

7.750% due 10/01/2021 (k)

      150         162  

Toll Road Investors Partnership LP

 

0.000% due 02/15/2045 (g)

      1,174         291  

Wand Merger Corp.

 

8.125% due 07/15/2023 (c)

      118         120  

WeWork Cos., Inc.

 

7.875% due 05/01/2025

      14         13  
       

 

 

 
            4,650  
       

 

 

 
INDUSTRIALS 8.1%

 

Andeavor Logistics LP

 

3.500% due 12/01/2022

      2         2  

4.250% due 12/01/2027

      4         4  

Associated Materials LLC

 

9.000% due 01/01/2024

      1,040         1,094  

BMC Software Finance, Inc.

 

8.125% due 07/15/2021 (k)

      285         292  

Centene Escrow Corp.

 

5.375% due 06/01/2026

      34         34  

Charles River Laboratories International, Inc.

 

5.500% due 04/01/2026

      6         6  

Charter Communications Operating LLC

 

4.200% due 03/15/2028

      27         25  

Cheniere Energy Partners LP

 

5.250% due 10/01/2025

      5         5  

Chesapeake Energy Corp.

 

5.598% (US0003M + 3.250%) due 04/15/2019 ~

      10         10  

Clear Channel Worldwide Holdings, Inc.

 

7.625% due 03/15/2020

      820         818  

Cleveland-Cliffs, Inc.

 

4.875% due 01/15/2024

      6         6  

Community Health Systems, Inc.

 

5.125% due 08/01/2021

      235         218  

6.250% due 03/31/2023

      1,307         1,202  

8.625% due 01/15/2024 (c)

      50         50  

CVS Pass-Through Trust

 

5.880% due 01/10/2028

      1,187         1,261  

DAE Funding LLC

 

4.500% due 08/01/2022

      10         10  

5.000% due 08/01/2024

      30         29  

Diamond Resorts International, Inc.

 

10.750% due 09/01/2024

      500         539  

Energizer Gamma Acquisition, Inc.

 

6.375% due 07/15/2026 (c)

      58         59  

Exela Intermediate LLC

 

10.000% due 07/15/2023

      23         24  

Flex Acquisition Co., Inc.

 

7.875% due 07/15/2026

      126         126  

Fresh Market, Inc.

 

9.750% due 05/01/2023 (k)

      350         224  

Full House Resorts, Inc.

 

8.575% due 01/31/2024 «

      100         96  

General Electric Co.

 

5.000% due 01/21/2021 •(h)

      30         30  

Hadrian Merger Sub, Inc.

 

8.500% due 05/01/2026

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

Harland Clarke Holdings Corp.

 

8.375% due 08/15/2022

  $     8     $     8  

Hilton Domestic Operating Co., Inc.

 

5.125% due 05/01/2026

      28         28  

iHeartCommunications, Inc.

 

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

      93         71  

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

      374         286  

Intrepid Aviation Group Holdings LLC

 

6.875% due 02/15/2019 (k)

      1,800         1,802  

Kronos Acquisition Holdings, Inc.

 

9.000% due 08/15/2023

      200         180  

Live Nation Entertainment, Inc.

 

5.625% due 03/15/2026

      4         4  

Matterhorn Merger Sub LLC

 

8.500% due 06/01/2026

      30         29  

PetSmart, Inc.

 

5.875% due 06/01/2025

      22         17  

Pisces Midco, Inc.

 

8.000% due 04/15/2026

      36         35  

Pitney Bowes, Inc.

 

4.700% due 04/01/2023

      8         7  

Radiate Holdco LLC

 

6.875% due 02/15/2023

      10         10  

Scientific Games International, Inc.

 

5.000% due 10/15/2025

      3         3  

Standard Industries, Inc.

 

4.750% due 01/15/2028

      22         20  

Sunoco LP

 

4.875% due 01/15/2023

      14         13  

T-Mobile USA, Inc.

 

4.750% due 02/01/2028

      5         5  

UAL Pass-Through Trust

 

6.636% due 01/02/2024

      484         510  

ViaSat, Inc.

 

5.625% due 09/15/2025

      18         17  

VOC Escrow Ltd.

 

5.000% due 02/15/2028

      14         13  

Westmoreland Coal Co.

 

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

      1,225         303  
       

 

 

 
          9,535  
       

 

 

 
UTILITIES 0.2%

 

AT&T, Inc.

 

4.900% due 08/15/2037

      70         66  

5.150% due 02/15/2050

      96         90  

5.300% due 08/15/2058

      32         30  

Enable Midstream Partners LP

 

4.950% due 05/15/2028

      12         12  

Sprint Corp.

 

7.625% due 03/01/2026

      54         55  
       

 

 

 
          253  
       

 

 

 

Total Corporate Bonds & Notes (Cost $15,219)

 

        14,438  
       

 

 

 
CONVERTIBLE BONDS & NOTES 0.0%

 

INDUSTRIALS 0.0%

 

Caesars Entertainment Corp.

 

5.000% due 10/01/2024

      28         47  
       

 

 

 

Total Convertible Bonds & Notes (Cost $51)

    47  
       

 

 

 
MUNICIPAL BONDS & NOTES 0.8%

 

ARKANSAS 0.1%

 

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

 

7.200% due 03/01/2032

      165         160  
       

 

 

 
 

 

See Accompanying Notes   ANNUAL REPORT   JUNE 30, 2018   29


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

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
WEST VIRGINIA 0.7%

 

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

 

7.467% due 06/01/2047

  $     805     $     805  
       

 

 

 

Total Municipal Bonds & Notes (Cost $923)

    965  
       

 

 

 
U.S. GOVERNMENT AGENCIES 5.2%

 

Fannie Mae

 

5.641% (US0001M + 3.550%) due 07/25/2029 ~

      170         185  

7.841% (US0001M + 5.750%) due 07/25/2029 ~

      230         275  

Freddie Mac

 

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

    3,517         2,325  

0.000% due 04/25/2046 (b)(g)(k)

      1,046         896  

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

      52,660         164  

0.200% due 04/25/2045 (a)

      1,136         1  

0.692% due 01/25/2021 ~(a)

      2,572         31  

0.806% due 10/25/2020 ~(a)

      8,377         105  

2.079% due 11/25/2045 ~(a)

      1,027         151  

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

      10,500         952  

7.241% (US0001M + 5.150%) due 10/25/2029 ~

      500         572  

9.641% (US0001M + 7.550%) due 12/25/2027 ~

      448         544  
       

 

 

 

Total U.S. Government Agencies (Cost $5,981)

 

        6,201  
       

 

 

 
NON-AGENCY MORTGAGE-BACKED SECURITIES 50.0%

 

Adjustable Rate Mortgage Trust

 

3.824% due 01/25/2036 ^~

      167         157  

Banc of America Alternative Loan Trust

 

6.112% due 04/25/2037 ^~

      205         202  

Banc of America Funding Trust

 

3.119% due 12/20/2034 ~

      340         280  

3.772% due 03/20/2036 ~

      98         93  

5.806% due 03/25/2037 ^~

      108         103  

7.000% due 10/25/2037 ^

      643         492  

Banc of America Mortgage Trust

 

3.651% due 11/25/2034 ~

      162         166  

4.274% due 06/20/2031 ~

      402         412  

4.361% due 06/25/2035 ~

      102         99  

Bancorp Commercial Mortgage Trust

 

5.796% due 08/15/2032 •(k)

      2,300         2,319  

Barclays Commercial Mortgage Securities Trust

 

7.073% due 08/15/2027 •(k)

      900         887  

BCAP LLC Trust

 

2.148% due 07/26/2036 ~

      87         70  

Bear Stearns ALT-A Trust

 

2.261% due 04/25/2037 •

      858         677  

3.453% due 05/25/2036 ^~

      295         273  

3.530% due 05/25/2036 ~

      46         38  

3.556% due 09/25/2034 ~

      100         99  

3.590% due 11/25/2036 ^~

      808         689  

3.636% due 01/25/2047 ~

      45         35  

3.737% due 08/25/2036 ^~

      308         213  

3.864% due 07/25/2035 ^~

      153         136  

3.911% due 08/25/2036 ^~

      588         588  

Bear Stearns Asset-Backed Securities Trust

 

5.500% due 12/25/2035

      46         40  

Bear Stearns Commercial Mortgage Securities Trust

 

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

      1,152         1,091  

5.911% due 04/12/2038 ~

      40         31  

BRAD Resecuritization Trust

 

2.185% due 03/12/2021 «

      1,996         94  

6.550% due 03/12/2021 «

      373         368  

CBA Commercial Small Balance Commercial Mortgage

 

5.540% due 01/25/2039 ^×

      440         369  

CD Mortgage Trust

 

5.688% due 10/15/2048 (k)

      1,459         737  

Chase Mortgage Finance Trust

 

6.000% due 03/25/2037 ^

      262         222  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Citigroup Commercial Mortgage Trust

 

5.800% due 12/10/2049 ~(k)

  $     707     $     486  

Citigroup Mortgage Loan Trust

 

3.707% due 11/25/2036 ^~

      115         111  

4.011% due 11/25/2035 ~

      1,874         1,316  

4.111% due 08/25/2035 ^~

      80         73  

Citigroup Mortgage Loan Trust, Inc.

 

3.545% due 10/25/2035 ~

      632         493  

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

 

3.698% due 09/25/2035 ^~

      182         159  

Citigroup/Deutsche Bank Commercial Mortgage Trust

 

5.398% due 12/11/2049 ~

      129         77  

CitiMortgage Alternative Loan Trust

 

5.500% due 04/25/2022 ^

      25         25  

Commercial Mortgage Asset Trust

 

6.000% due 11/17/2032

      124         124  

Commercial Mortgage Loan Trust

 

6.254% due 12/10/2049 ~

      856         532  

Commercial Mortgage Trust

 

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

      313         215  

6.285% due 07/10/2046 ~(k)

      690         710  

Countrywide Alternative Loan Trust

 

2.371% due 02/25/2037 •

      260         236  

2.381% due 02/25/2036 ^•

      866         726  

2.558% due 12/25/2035 •(k)

      1,427         1,310  

2.641% due 10/25/2037 •

      5,216         1,779  

5.500% due 03/25/2035

      584         442  

6.000% due 11/25/2035 ^

      182         70  

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

      3,345           2,593  

Countrywide Home Loan Mortgage Pass-Through Trust

 

2.731% due 03/25/2035 •

      178         157  

3.462% due 02/20/2036 ^•

      11         10  

3.466% due 09/25/2047 ^~

      529         499  

3.469% due 09/20/2036 ^~

      126         110  

3.961% due 03/25/2046 ^•(k)

      930         597  

6.000% due 05/25/2037 ^

      319         259  

Credit Suisse First Boston Mortgage Securities Corp.

 

7.000% due 02/25/2033

      68         74  

Credit Suisse Mortgage Capital Certificates

 

2.460% due 11/30/2037 •

      2,900         2,557  

Credit Suisse Mortgage Capital Mortgage-Backed Trust

 

5.896% due 04/25/2036 ×

      256         181  

6.000% due 07/25/2036

      1,399         1,171  

6.500% due 05/25/2036 ^

      171         108  

First Horizon Alternative Mortgage Securities Trust

 

3.645% due 08/25/2035 ^~

      38         7  

First Horizon Mortgage Pass-Through Trust

 

3.978% due 04/25/2035 ~

      51         52  

GE Commercial Mortgage Corp. Trust

 

5.606% due 12/10/2049 ~(k)

      764         760  

GS Mortgage Securities Corp.

 

4.744% due 10/10/2032 ~

      1,000         904  

GS Mortgage Securities Trust

 

1.503% due 08/10/2043 ~(a)

      13,609         300  

2.405% due 05/10/2045 ~(a)

      4,353         227  

5.622% due 11/10/2039 (k)

      729         629  

6.196% due 08/10/2043 ~(k)

      1,670         1,682  

GSR Mortgage Loan Trust

 

3.584% due 03/25/2047 ~(k)

      1,423         1,314  

HarborView Mortgage Loan Trust

 

2.585% due 01/19/2036 •

      777         613  

IndyMac Mortgage Loan Trust

 

2.891% due 11/25/2034 •

      121         110  

3.437% due 05/25/2036 ~

      177         136  

4.229% due 06/25/2037 ~

      329         307  

JPMorgan Alternative Loan Trust

 

6.500% due 03/25/2036 (k)

      1,216         1,085  

JPMorgan Chase Commercial Mortgage Securities Corp.

 

1.776% due 03/12/2039 ~(a)

      225         1  

JPMorgan Chase Commercial Mortgage Securities Trust

 

0.652% due 02/15/2046 ~(a)

      59,583         802  

2.972% due 05/15/2045 ~(k)

      2,200         1,033  

4.000% due 08/15/2046 ~(k)

      1,000         620  

5.768% due 01/12/2043 ~

      126         128  

6.450% due 05/12/2034 ~

      45         45  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

JPMorgan Mortgage Trust

 

4.048% due 07/25/2035 ~

  $     77     $     79  

LB-UBS Commercial Mortgage Trust

 

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

      1,200         1,211  

5.407% due 11/15/2038 (k)

      355         274  

5.562% due 02/15/2040 ~(k)

      346         221  

5.954% due 02/15/2040 ~

      200         200  

Lehman Mortgage Trust

 

5.000% due 08/25/2021 ^

      188         189  

5.763% due 04/25/2036 ~

      180         165  

6.000% due 05/25/2037 ^

      368         370  

MASTR Adjustable Rate Mortgages Trust

 

3.712% due 11/25/2035 ^~(k)

      472         392  

MASTR Asset Securitization Trust

 

6.000% due 06/25/2036 ^•(k)

      427         418  

Merrill Lynch Mortgage Investors Trust

 

2.511% due 07/25/2030 •

      130         124  

2.751% due 11/25/2029 •

      114         111  

3.655% due 11/25/2035 •

      166         168  

Merrill Lynch Mortgage Trust

 

5.986% due 06/12/2050 ~(k)

      218         218  

Morgan Stanley Capital Trust

 

0.508% due 11/12/2049 ~(a)

      6,191         27  

5.399% due 12/15/2043 (k)

      612         474  

6.285% due 06/11/2049 ~

      119         120  

Morgan Stanley Mortgage Loan Trust

 

3.886% due 01/25/2035 ^~

      270         212  

6.000% due 08/25/2037 ^

      256         211  

Morgan Stanley Resecuritization Trust

 

3.828% due 03/26/2037 ~

      5,469           5,145  

Mortgage Equity Conversion Asset Trust

 

4.000% due 07/25/2060 «

      212         187  

Motel 6 Trust

 

9.000% due 08/15/2019 •(k)

      1,564         1,592  

Regal Trust

 

2.316% due 09/29/2031 •

      39         37  

Residential Accredit Loans, Inc. Trust

 

4.566% due 01/25/2036 ^~(k)

      396         344  

6.000% due 08/25/2035 ^

      273         257  

6.500% due 09/25/2037 ^

      267         237  

Residential Asset Securitization Trust

 

6.000% due 03/25/2037 ^

      237         159  

Residential Funding Mortgage Securities, Inc. Trust

 

6.000% due 06/25/2036 ^

      256         251  

Structured Adjustable Rate Mortgage Loan Trust

 

3.688% due 04/25/2036 ^~

      374         334  

3.689% due 09/25/2036 ^~

      187         172  

3.771% due 01/25/2036 ^~

      327         255  

Structured Asset Mortgage Investments Trust

 

2.301% due 08/25/2036 ^•

      887         810  

TBW Mortgage-Backed Trust

 

6.000% due 07/25/2036 ^

      157         122  

Wachovia Bank Commercial Mortgage Trust

 

1.042% due 10/15/2041 ~(a)

      1,146         0  

5.691% due 10/15/2048 ~

      98         100  

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

      2,400         2,380  

WaMu Mortgage Pass-Through Certificates Trust

 

2.395% due 11/25/2046 •

      462         454  

2.581% due 06/25/2044 •

      503         491  

3.438% due 12/25/2036 ^~(k)

      377         370  

Washington Mutual Mortgage Pass-Through Certificates Trust

 

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

      1,463         1,137  

Wells Fargo Alternative Loan Trust

 

5.500% due 07/25/2022

      23         23  

Wells Fargo-RBS Commercial Mortgage Trust

 

0.969% due 02/15/2044 ~(a)(k)

      14,362         258  
       

 

 

 

Total Non-Agency Mortgage-Backed Securities (Cost $54,844)

 

        59,234  
       

 

 

 
ASSET-BACKED SECURITIES 68.5%

 

Airspeed Ltd.

 

2.343% due 06/15/2032 •

      660         577  

Asset-Backed Securities Corp. Home Equity Loan Trust

 

3.186% due 02/25/2035 •(k)

      3,374         3,408  
 

 

30   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


 

June 30, 2018

 

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

3.816% due 12/25/2034 •(k)

  $     1,724     $     1,718  

5.338% (US0001M + 3.250%) due 06/21/2029 ~

      148         146  

Associates Manufactured Housing Pass-Through Certificates

 

7.150% due 03/15/2028 ~

      357         392  

Bayview Financial Acquisition Trust

 

2.382% due 12/28/2036 •

      101         101  

Bear Stearns Asset-Backed Securities Trust

 

2.471% due 04/25/2036 •

      2,462         2,775  

2.471% due 06/25/2036 •

      9         10  

3.647% due 07/25/2036 ~

      383         386  

Bombardier Capital Mortgage Securitization Corp.

 

7.830% due 06/15/2030 ~

      1,185         475  

Centex Home Equity Loan Trust

 

2.841% due 01/25/2035 •(k)

      1,643         1,597  

Citigroup Mortgage Loan Trust

 

2.251% due 12/25/2036 •(k)

      1,667         1,103  

2.311% due 12/25/2036 •

      894         478  

2.541% due 11/25/2045 •(k)

      4,475         4,425  

2.791% due 11/25/2046 •

      1,900         1,119  

Citigroup Mortgage Loan Trust, Inc.

 

2.351% due 03/25/2037 •(k)

      3,943         3,545  

Conseco Finance Securitizations Corp.

 

7.960% due 05/01/2031

      362         231  

9.163% due 03/01/2033 ~

      871         821  

Countrywide Asset-Backed Certificates

 

2.221% due 12/25/2036 ^•

      1,233           1,156  

2.231% due 06/25/2035 •(k)

      2,569         2,354  

2.231% due 06/25/2047 ^•(k)

      2,948         2,727  

2.241% due 04/25/2047 •(k)

      1,065         1,028  

2.291% due 06/25/2037 ^•(k)

      816         737  

2.331% due 05/25/2036 •(k)

      8,428         6,060  

3.741% due 06/25/2035 •(k)

      4,000         3,566  

Countrywide Asset-Backed Certificates Trust

 

2.361% due 09/25/2046 •

      5,000         3,769  

Crecera Americas LLC

 

0.000% due 08/31/2020 •

      1,900         1,902  

EMC Mortgage Loan Trust

 

3.141% due 05/25/2040 •

      551         549  

3.391% due 02/25/2041 •

      318         313  

Fremont Home Loan Trust

 

2.271% due 04/25/2036 •

      1,015         845  

GE Capital Mortgage Services, Inc. Trust

 

6.705% due 04/25/2029 ~

      95         80  

GSAMP Trust

 

3.841% due 12/25/2034 •

      2,050         1,234  

3.891% due 06/25/2035 •

      2,200         2,161  

Harley Marine Financing LLC

 

7.869% due 05/15/2043

      1,000         1,024  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Home Equity Mortgage Loan Asset-Backed Trust

 

2.331% due 04/25/2037 •(k)

  $     4,871     $     3,683  

HSI Asset Securitization Corp. Trust

 

2.201% due 04/25/2037 •(k)

      3,892         2,312  

Lehman XS Trust

 

5.420% due 11/25/2035 ^×

      60         60  

MASTR Asset-Backed Securities Trust

 

2.201% due 08/25/2036 •(k)

      3,332         1,858  

Morgan Stanley ABS Capital, Inc. Trust

 

2.871% due 12/25/2034 •

      166         158  

Morgan Stanley Home Equity Loan Trust

 

3.156% due 05/25/2035 •

      1,978         1,243  

National Collegiate Commutation Trust

 

0.000% due 03/25/2038 •

    3,500         1,888  

People’s Financial Realty Mortgage Securities Trust

 

2.221% due 09/25/2036 •

      1,537         484  

Renaissance Home Equity Loan Trust

 

7.238% due 09/25/2037 ^×(k)

      4,056         2,236  

Residential Asset Securities Corp. Trust

 

2.781% due 08/25/2035 •(k)

      4,350         4,149  

Securitized Asset-Backed Receivables LLC Trust

 

2.521% due 01/25/2035 •

      1,167         1,097  

2.541% due 10/25/2035 •(k)

      5,500         5,276  

SoFi Professional Loan Program LLC

 

0.000% due 03/25/2036 «(g)

      10         185  

0.000% due 01/25/2039 «(g)

      1,000         483  

0.000% due 05/25/2040 «(g)

      1,000         580  

0.000% due 09/25/2040 «(a)(g)

      339         203  

Southern Pacific Secured Asset Corp.

 

2.431% due 07/25/2029 •

      13         12  

Structured Asset Investment Loan Trust

 

3.816% due 10/25/2034 •

      1,986         1,960  

6.591% due 10/25/2033 •

      68         68  

UCFC Manufactured Housing Contract

 

7.900% due 01/15/2028 ^~

      366         361  

UPS Capital Business Credit

 

7.823% due 04/15/2026 «•

      1,856         40  
       

 

 

 

Total Asset-Backed Securities (Cost $73,070)

 

        81,148  
       

 

 

 
        SHARES            
COMMON STOCKS 1.2%

 

CONSUMER DISCRETIONARY 0.6%

 

Caesars Entertainment Corp. (e)

      71,398         764  
       

 

 

 
ENERGY 0.3%

 

Forbes Energy Services Ltd. (e)(i)

      35,625         322  
       

 

 

 
        SHARES         MARKET
VALUE
(000S)
 
Utilities 0.3%

 

TexGen Power LLC «

      9,914     $     314  
       

 

 

 

Total Common Stocks (Cost $2,910)

 

      1,400  
       

 

 

 
WARRANTS 0.0%

 

INDUSTRIALS 0.0%

 

Sequa Corp. - Exp. 04/28/2024 «

      118,000         30  
       

 

 

 

Total Warrants (Cost $0)

 

      30  
       

 

 

 
PREFERRED SECURITIES 1.7%

 

INDUSTRIALS 1.7%

 

Sequa Corp.

 

9.000% «

      2,185         1,967  
       

 

 

 

Total Preferred Securities (Cost $2,185)

 

      1,967  
       

 

 

 
REAL ESTATE INVESTMENT TRUSTS 1.8%

 

REAL ESTATE 1.8%

 

VICI Properties, Inc. (i)

      104,988         2,167  
       

 

 

 

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

 

      2,167  
       

 

 

 
SHORT-TERM INSTRUMENTS 6.5%

 

REPURCHASE AGREEMENTS (j) 5.4%

 

          6,388  
       

 

 

 
U.S. TREASURY BILLS 1.1%

 

1.957% due 08/02/2018 - 10/04/2018 (f)(g)(n)

      1,266         1,260  
       

 

 

 
Total Short-Term Instruments (Cost $7,648)

 

      7,648  
       

 

 

 
       
Total Investments in Securities
(Cost $170,932)

 

      181,173  
       
Total Investments 152.9%
(Cost $170,932)

 

  $     181,173  

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

(Cost or Premiums, net $(29))

        (1,092
Other Assets and Liabilities, net (52.0)%

 

      (61,569
       

 

 

 
Net Assets 100.0%

 

  $       118,512  
       

 

 

 
 

NOTES TO SCHEDULE OF INVESTMENTS:

 

*

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

^

Security is in default.

«

Security valued using significant unobservable inputs (Level 3).

 

All or a portion of this amount represent 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.

×

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

(a)

Interest only security.

(b)

Principal only security.

(c)

When-issued security.

(d)

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

(e)

Security did not produce income within the last twelve months.

 

See Accompanying Notes   ANNUAL REPORT   JUNE 30, 2018   31


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

 

(f)

Coupon represents a weighted average yield to maturity.

(g)

Zero coupon security.

(h)

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

 

(i)  RESTRICTED SECURITIES:

 

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

Forbes Energy Services Ltd.

     07/29/2014     $ 1,769     $ 322       0.27

VICI Properties, Inc.

     04/30/2014 - 11/06/2017       1,538       2,167       1.83  
    

 

 

   

 

 

   

 

 

 
     $     3,307     $     2,489       2.10
    

 

 

   

 

 

   

 

 

 

 

BORROWINGS AND OTHER FINANCING TRANSACTIONS

 

(j)  REPURCHASE AGREEMENTS:

 

Counterparty   Lending
Rate
    Settlement
Date
    Maturity
Date
    Principal
Amount
    Collateralized By   Collateral
(Received)
    Repurchase
Agreements,
at Value
    Repurchase
Agreement
Proceeds
to be
Received(1)
 
FICC     1.500     06/29/2018       07/02/2018     $ 688     U.S. Treasury Notes 2.750% due 11/15/2023   $ (702   $ 688     $ 688  
SAL     2.220       06/29/2018       07/02/2018           5,700     U.S. Treasury Notes 2.000% due 10/31/2022     (5,822     5,700       5,701  
           

 

 

   

 

 

   

 

 

 

Total Repurchase Agreements

 

    $     (6,524   $     6,388     $     6,389  
   

 

 

   

 

 

   

 

 

 

 

REVERSE REPURCHASE AGREEMENTS:

 

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

BCY

    3.072     01/17/2018       01/17/2019     $ (2,832   $ (2,872
    3.300       05/30/2018       08/30/2018       (693     (695
    3.312       04/03/2018       07/03/2018       (4,969     (5,011
    3.362       04/26/2018       07/26/2018       (551     (554

GSC

    3.085       06/18/2018       07/18/2018       (738     (739

JPS

    3.068       06/05/2018       09/04/2018       (4,117     (4,126

MSB

    3.763       02/05/2018       02/05/2019       (1,110     (1,115

NOM

    2.670       05/23/2018       07/23/2018       (201     (202

RBC

    3.220       02/02/2018       08/02/2018       (1,764     (1,788
    3.240       02/07/2018       08/07/2018       (783     (793
    3.450       03/12/2018       09/12/2018       (6,635     (6,706
    3.520       05/29/2018       08/29/2018       (176     (177
    3.530       06/20/2018       09/20/2018       (667     (668

RCY

    3.220       02/02/2018       08/02/2018           (1,139         (1,154

RDR

    2.520       05/30/2018       08/30/2018       (706     (708

RTA

    3.017       01/31/2018       07/31/2018       (1,717     (1,739
    3.296       03/08/2018       09/07/2018       (2,612     (2,640
    3.460       04/05/2018       10/05/2018       (3,954     (3,987
    3.460       04/06/2018       10/09/2018       (4,300     (4,336
    3.513       05/07/2018       11/07/2018       (7,269     (7,309
    3.515       05/08/2018       11/08/2018       (2,845     (2,860
    3.519       05/29/2018       08/29/2018       (208     (209
    3.519       06/18/2018       09/12/2018       (190     (192

SAL

    3.171       04/05/2018       10/05/2018       (1,331     (1,341

SOG

    2.690       04/24/2018       07/24/2018       (719     (723
    2.790       06/04/2018       09/04/2018       (270     (271
    3.443       05/15/2018       11/15/2018       (438     (440
    3.588       01/10/2018       07/10/2018       (924     (927

UBS

    3.060       04/23/2018       07/23/2018       (1,278     (1,286
    3.310       05/31/2018       08/31/2018       (2,084     (2,090
    3.360       05/07/2018       08/07/2018       (1,742     (1,751
    3.370       05/09/2018       08/09/2018       (3,040     (3,055
         

 

 

 

Total Reverse Repurchase Agreements

 

      $     (62,464
         

 

 

 

 

32   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


 

June 30, 2018

 

 

BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY

 

The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral pledged/(received) as of June 30, 2018:

 

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

Global/Master Repurchase Agreement

 

BCY

  $ 0     $ (9,132   $ 0      $ (9,132   $ 13,669     $ 4,537  

FICC

    688       0       0        688       (702     (14

GSC

    0       (739     0        (739     963       224  

JPS

    0       (4,126     0        (4,126     4,425       299  

MSB

    0       (1,115     0        (1,115     1,592       477  

NOM

    0       (202     0        (202     224       22  

RBC

    0       (10,132     0            (10,132         14,196       4,064  

RCY

    0       (1,154     0        (1,154     0           (1,154

RDR

    0       (708     0        (708     732       24  

RTA

    0       (23,272     0        (23,272     31,382       8,110  

SAL

    5,701       (1,341     0        4,360       (4,139     221  

SOG

    0       (2,361     0        (2,361     3,049       688  

UBS

    0       (8,182     0        (8,182     11,087       2,905  
 

 

 

   

 

 

   

 

 

        

Total Borrowings and Other Financing Transactions

  $     6,389     $     (62,464   $     0         
 

 

 

   

 

 

   

 

 

        

 

CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS

 

Remaining Contractual Maturity of the Agreements

 

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

Reverse Repurchase Agreements

 

Corporate Bonds & Notes

  $ 0     $ (2,210   $ (978   $ 0     $ (3,188

U.S. Government Agencies

    0       (554     (695     0       (1,249

Non-Agency Mortgage-Backed Securities

    0       (1,119     (12,363     (6,719     (20,201

Asset-Backed Securities

    0       (5,558     (14,725     (17,543     (37,826
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Borrowings

  $     0     $     (9,441   $     (28,761   $     (24,262   $     (62,464
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Payable for reverse repurchase agreements and sale-buyback financing transactions

 

      $ (62,464
         

 

 

 

 

(k)

Securities with an aggregate market value of $83,002 have been pledged as collateral under the terms of the above master agreements as of June 30, 2018.

 

(1)

Includes accrued interest.

(2)

The average amount of borrowings outstanding during the period ended June 30, 2018 was $(68,248) at a weighted average interest rate of 2.800%. Average borrowings may include sale-buyback transactions and reverse repurchase agreements, if held during the period.

(3)

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

 

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

 

SWAP AGREEMENTS:

 

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

 

Reference Entity   Fixed
Receive Rate
    Payment
Frequency
    Maturity
Date
    Implied
Credit Spread at
June 30, 2018(2)
    Notional
Amount(3)
    Premiums
Paid/(Received)
    Unrealized
Appreciation/
(Depreciation)
    Market
Value
    Variation Margin  
  Asset     Liability  

Frontier Communications Corp.

    5.000     Quarterly       06/20/2020       8.963   $     590     $     (33   $ (6   $ (39   $ 0     $ (2

Sprint Corp.

    5.000       Quarterly       12/20/2021       2.482       300       9       16       25       0       0  
           

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
          $ (24   $     10     $     (14   $     0     $     (2
           

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

See Accompanying Notes   ANNUAL REPORT   JUNE 30, 2018   33


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

 

 

INTEREST RATE SWAPS

 

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

Pay

 

3-Month USD-LIBOR

     1.750     Semi-Annual       12/21/2023     $     60,000     $ 1,131     $ (4,661    $ (3,530    $ 0      $ (41

Pay

 

3-Month USD-LIBOR

     1.750       Semi-Annual       12/21/2026       3,200       77       (366      (289      0        (3

Receive

 

3-Month USD-LIBOR

     2.000       Semi-Annual       06/20/2023       5,500       154       76        230        3        0  

Receive

 

3-Month USD-LIBOR

     2.500       Semi-Annual       06/20/2038       20,200       465       1,122        1,587        19        0  

Receive

 

3-Month USD-LIBOR

     2.500       Semi-Annual       06/20/2048       1,600       132       27        159        3        0  

Pay

 

3-Month USD-LIBOR

     2.860       Semi-Annual       04/26/2023       50,000       (137     95        (42      0        (21
            

 

 

   

 

 

    

 

 

    

 

 

    

 

 

 
        $ 1,822     $ (3,707    $ (1,885    $ 25      $ (65
            

 

 

   

 

 

    

 

 

    

 

 

    

 

 

 

Total Swap Agreements

 

  $     1,798     $     (3,697    $     (1,899    $     25      $     (67
            

 

 

   

 

 

    

 

 

    

 

 

    

 

 

 

 

FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED SUMMARY

 

The following is a summary of the market value and variation margin of Exchange-Traded or Centrally Cleared Financial Derivative Instruments as of June 30, 2018:

 

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

Total Exchange-Traded or Centrally Cleared

  $     0     $     0     $     25     $     25       $     0     $     0     $     (67)     $     (67)  
 

 

 

   

 

 

   

 

 

   

 

 

     

 

 

   

 

 

   

 

 

   

 

 

 

 

Cash of $1,772 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of June 30, 2018. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information regarding master netting arrangements.

 

(1)

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

(2)

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

(3)

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

 

(m)  FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER

 

SWAP AGREEMENTS:

 

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

 

Counterparty   Index/Tranches   Fixed
Receive Rate
    Payment
Frequency
    Maturity
Date
    Notional
Amount(2)
    Premiums
Paid/(Received)
    Unrealized
Appreciation/
(Depreciation)
    Swap Agreements,
at  Value(3)
 
  Asset     Liability  
DUB  

CMBX.NA.BBB-.6 Index

    3.000     Monthly       05/11/2063       $       300     $ (16   $ (15   $ 0     $ (31
 

CMBX.NA.BBB-.8 Index

    3.000       Monthly       10/17/2057       600       (69     (2     0       (71
 

CMBX.NA.BBB-.9 Index

    3.000       Monthly       09/17/2058       300       (38     7       0       (31
FBF  

CMBX.NA.BBB-.8 Index

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

ABX.HE.AA.6-1 Index

    0.320       Monthly       07/25/2045           5,306           (1,056         739           0           (317
 

ABX.HE.PENAAA.7-1 Index

    0.090       Monthly       08/25/2037       1,274       (247     41       0       (206
 

CMBX.NA.A.6 Index

    2.000       Monthly       05/11/2063       500       (25     23       0       (2
 

CMBX.NA.BB.6 Index

    5.000       Monthly       05/11/2063       300       (41     (16     0       (57
 

CMBX.NA.BBB-.6 Index

    3.000       Monthly       05/11/2063       700       (39     (33     0       (72
 

CMBX.NA.BBB-.7 Index

    3.000       Monthly       01/17/2047       100       (5     (2     0       (7
 

CMBX.NA.BBB-.9 Index

    3.000       Monthly       09/17/2058       700       (87     15       0       (72
MYC  

CMBX.NA.BBB-.10 Index

    3.000       Monthly       11/17/2059           1,200       (126     18       0       (108
 

CMBX.NA.BBB-.7 Index

    3.000       Monthly       01/17/2047       300       (13     (8     0       (21
 

CMBX.NA.BBB-.8 Index

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

CMBX.NA.BBB-.9 Index

    3.000       Monthly       09/17/2058       300       (37     6       0       (31
           

 

 

   

 

 

   

 

 

   

 

 

 
          $ (1,827   $ 777     $ 0     $ (1,050
         

 

 

   

 

 

   

 

 

   

 

 

 

Total Swap Agreements

    $     (1,827   $     777     $     0     $     (1,050
 

 

 

   

 

 

   

 

 

   

 

 

 

 

34   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


 

June 30, 2018

 

 

FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER SUMMARY

 

The following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral pledged/(received) as of June 30, 2018:

 

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

DUB

  $ 0      $ 0      $ 0      $ 0       $ 0      $ 0      $ (133   $ (133   $  (133   $ 0      $     (133

FBF

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

GST

    0        0        0        0         0        0        (733     (733     (733      963        230  

MYC

    0        0        0        0         0        0        (172     (172         (172         164        (8
 

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

    

 

 

   

 

 

        

Total Over the Counter

  $     0      $     0      $     0      $     0       $     0      $      0      $     (1,050   $     (1,050       
 

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

    

 

 

   

 

 

        

 

(n)

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 June 30, 2018.

 

(1)

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

(2)

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

(3)

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

(4)

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

 

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

 

Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of June 30, 2018:

 

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

Financial Derivative Instruments - Assets

           

Exchange-traded or centrally cleared

           

Swap Agreements

  $ 0     $ 0     $ 0     $ 0     $ 25     $ 25  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Financial Derivative Instruments - Liabilities

           

Exchange-traded or centrally cleared

           

Swap Agreements

  $ 0     $ 2     $ 0     $ 0     $ 65     $ 67  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Over the counter

           

Swap Agreements

  $ 0     $ 1,050     $ 0     $ 0     $ 0     $ 1,050  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $     0     $     1,052     $     0     $     0     $     65     $     1,117  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

The effect of Financial Derivative Instruments on the Statements of Operations for the period ended June 30, 2018:

 

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

Net Realized Gain (Loss) on Financial Derivative Instruments

 

         

Exchange-traded or centrally cleared

           

Swap Agreements

  $ 0     $ 42     $ 0     $ 0     $ 2,781     $ 2,823  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Over the counter

           

Swap Agreements

  $ 0     $ 377     $ 0     $ 0     $ (84   $ 293  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $     0     $     419     $     0     $     0     $     2,697     $     3,116  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

See Accompanying Notes   ANNUAL REPORT   JUNE 30, 2018   35


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

 

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

Net Change in Unrealized (Depreciation) on Financial Derivative Instruments

 

     

Exchange-traded or centrally cleared

           

Swap Agreements

  $ 0     $ (19   $ 0     $ 0     $ (3,615   $ (3,634
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Over the counter

           

Swap Agreements

  $ 0     $ 546     $ 0     $ 0     $ 0     $ 546  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $     0     $     527     $     0     $     0     $     (3,615   $     (3,088
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

FAIR VALUE MEASUREMENTS

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2018 in valuing the Fund’s assets and liabilities:

 

Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
06/30/2018
 

Investments in Securities, at Value

       

Loan Participations and Assignments

  $ 0     $ 5,704     $ 224     $ 5,928  

Corporate Bonds & Notes

       

Banking & Finance

    0       3,852       798       4,650  

Industrials

    0       9,439       96       9,535  

Utilities

    0       253       0       253  

Convertible Bonds & Notes

       

Industrials

    0       47       0       47  

Municipal Bonds & Notes

       

Arkansas

    0       160       0       160  

West Virginia

    0       805       0       805  

U.S. Government Agencies

    0       6,201       0       6,201  

Non-Agency Mortgage-Backed Securities

    0       58,585       649       59,234  

Asset-Backed Securities

    0         79,657         1,491         81,148  

Common Stocks

       

Consumer Discretionary

      764       0       0       764  

Energy

    322       0       0       322  

Utilities

    0       0       314       314  

Warrants

       

Industrials

    0       0       30       30  

Preferred Securities

       

Industrials

    0       0       1,967       1,967  
Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
06/30/2018
 

Real Estate Investment Trusts

       

Real Estate

  $ 2,167     $ 0     $ 0     $ 2,167  

Short-term Instruments

       

Repurchase Agreements

    0       6,388       0       6,388  

U.S. Treasury Bills

    0       1,260       0       1,260  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

  $ 3,253     $ 172,351     $ 5,569     $ 181,173  
 

 

 

   

 

 

   

 

 

   

 

 

 

Financial Derivative Instruments - Assets

 

Exchange-traded or centrally cleared

  $ 0     $ 25     $ 0     $ 25  
 

 

 

   

 

 

   

 

 

   

 

 

 

Financial Derivative Instruments - Liabilities

 

Exchange-traded or centrally cleared

    0       (67     0       (67

Over the counter

    0       (1,050     0       (1,050
 

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ (1,117   $ 0     $ (1,117
 

 

 

   

 

 

   

 

 

   

 

 

 

Total Financial Derivative Instruments

  $ 0     $ (1,092   $ 0     $ (1,092
 

 

 

   

 

 

   

 

 

   

 

 

 

Totals

  $   3,253     $   171,259     $   5,569     $   180,081  
 

 

 

   

 

 

   

 

 

   

 

 

 
 

 

There were no significant transfers among Levels 1 and 2 during the period ended June 30, 2018.

 

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended June 30, 2018:

 

Category and Subcategory   Beginning
Balance
at 06/30/2017
    Net
Purchases
    Net
Sales
    Accrued
Discounts/
(Premiums)
    Realized
Gain/(Loss)
    Net Change in
Unrealized
Appreciation/
(Depreciation)(1)
    Transfers into
Level 3
    Transfers out
of Level 3
    Ending
Balance
at 06/30/2018
    Net Change in
Unrealized
Appreciation/
(Depreciation)
on Investments
Held  at
06/30/2018(1)
 

Investments in Securities, at Value

 

Loan Participations and Assignments

  $ 438     $ 31     $ 0     $ 12     $ 0     $ (13   $     224     $ (468   $ 224     $ 0  

Corporate Bonds & Notes

 

Banking & Finance

    780       0       0       4       0       14       0       0       798       14  

Industrials

        1,292       98           (1,313     0           14       5       0       0       96       (2

Non-Agency Mortgage-Backed Securities

    767       0       (86     3       8       (43     0       0       649       (41

Asset-Backed Securities

    3,133           192       0           101       0           (46     0           (1,889         1,491           (264

Common Stocks

 

Energy

    10       0       0       0       (988     978       0       0       0       0  

Utilities

    0       314       0       0       0       0       0       0       314       0  

Warrants

 

Industrials

    55       0       0       0       0       (25     0       0       30       (25

Preferred Securities

 

Industrials

    2,131       0       0       0       0           (164     0       0       1,967       (165
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Totals

  $     8,606     $     635     $     (1,399   $     120     $     (966   $ 706     $     224     $     (2,357   $     5,569     $     (483
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

36   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


 

June 30, 2018

 

 

The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:

 

Category and Subcategory   Ending
Balance
at 06/30/2018
     Valuation
Technique
   Unobservable
Inputs
   Input Value(s)
(% Unless
Noted
Otherwise)
 

Investments in Securities, at Value

 

Loan Participations and Assignments

  $ 224      Third Party Vendor    Broker Quote      102.000  

Corporate Bonds & Notes

 

Banking & Finance

    798      Reference Instrument    Spread Movement      24.000 bps  

Industrials

    96      Reference Instrument    Yield      10.153  

Non-Agency Mortgage-Backed Securities

    462      Proxy Pricing    Base Price      4.700-100.250  
    187      Third Party Vendor    Broker Quote      88.470  

Asset-Backed Securities

    1,491      Proxy Pricing    Base Price      2.126-1,847.826  

Common Stocks

 

Utilities

    314      Indicative Market Quotation    Broker Quote      $      35.500  

Warrants

 

Industrials

    30      Other Valuation Techniques(2)          

Preferred Securities

 

Industrials

    1,967      Indicative Market Quotation    Broker Quote      $    900.000  
 

 

 

          

Total

  $     5,569           
 

 

 

          

 

(1)  

Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at June 30, 2018 may be due to an investment no longer held or categorized as Level 3 at period end.

(2) 

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

 

See Accompanying Notes   ANNUAL REPORT   JUNE 30, 2018   37


Schedule of Investments PIMCO Global StocksPLUS® & Income Fund

 

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

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
INVESTMENTS IN SECURITIES 151.1%  
LOAN PARTICIPATIONS AND ASSIGNMENTS 4.3%  

Banff Merger Sub, Inc.

 

TBD% due 06/21/2019

  $     2,300     $     2,291  

Community Health Systems, Inc.

 

5.557% (LIBOR03M + 3.250%) due 01/27/2021 ~

      99         96  

Dryrocks World LLC

 

TBD% due 11/20/2020

      400         383  

Dubai World

 

TBD% - 2.000% due 09/30/2022 ~

      100         95  

Forbes Energy Services LLC

 

5.000% - 7.000% due 04/13/2021

      71         72  

Frontier Communications Corp.

 

5.850% (LIBOR03M + 3.750%) due 06/15/2024 ~

      99         99  

iHeartCommunications, Inc.

 

TBD% - 9.052% due 01/30/2019 ^(e)

      1,400         1,073  

McDermott International, Inc.

 

7.094% (LIBOR03M + 5.000%) due 05/12/2025 ~

      200         201  

MH Sub LLC

 

5.835% (LIBOR03M + 3.750%) due 09/13/2024 ~

      20         20  

Multi Color Corp.

 

4.344% (LIBOR03M + 2.250%) due 10/31/2024 ~

      3         3  

PetSmart, Inc.

 

5.010% (LIBOR03M + 3.000%) due 03/11/2022 ~

      20         16  

Sequa Mezzanine Holdings LLC

 

7.046% (LIBOR03M + 5.000%) due 11/28/2021 ~

      40         40  

11.099% (LIBOR03M + 9.000%) due 04/28/2022 «~

      120         122  

West Corp.

 

6.094% (LIBOR03M + 4.000%) due 10/10/2024 ~

      9         9  

Westmoreland Coal Co.

 

TBD% due 05/31/2020

      391         399  
       

 

 

 

Total Loan Participations and Assignments
(Cost $5,083)

 

        4,919  
       

 

 

 
CORPORATE BONDS & NOTES 42.5%  
BANKING & FINANCE 20.3%  

AGFC Capital Trust

 

4.098% (US0003M + 1.750%) due 01/15/2067 ~(m)

      1,000         605  

Ambac Assurance Corp.

 

5.100% due 06/07/2020

      13         17  

Ambac LSNI LLC

 

7.337% due 02/12/2023 ~

      104         106  

Ardonagh Midco PLC

 

8.375% due 07/15/2023

  GBP     1,500         2,007  

Athene Holding Ltd.

 

4.125% due 01/12/2028

  $     10         9  

Avolon Holdings Funding Ltd.

 

5.500% due 01/15/2023

      30         30  

AXA Equitable Holdings, Inc.

 

4.350% due 04/20/2028

      24         23  

5.000% due 04/20/2048

      14         13  

Banco Bilbao Vizcaya Argentaria S.A.

 

6.750% due 02/18/2020 •(i)(j)

  EUR     400         487  

Banco Espirito Santo S.A.

 

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

      700         245  

Barclays Bank PLC

 

14.000% due 06/15/2019 •(i)

  GBP     100         146  

Barclays PLC

 

6.500% due 09/15/2019 •(i)(j)

  EUR     600         723  

7.875% due 09/15/2022 •(i)(j)(m)

  GBP     1,250         1,754  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Brookfield Finance, Inc.

 

3.900% due 01/25/2028

  $     18     $     17  

4.700% due 09/20/2047

      16         15  

CIT Group, Inc.

 

5.250% due 03/07/2025

      10         10  

Credit Agricole S.A.

 

7.875% due 01/23/2024 •(i)(j)

      200         204  

Emerald Bay S.A.

 

0.000% due 10/08/2020 (h)

  EUR     6         7  

Exeter Finance Corp.

 

9.750% due 05/20/2019 «

  $     900         898  

Fortress Transportation & Infrastructure Investors LLC

 

6.750% due 03/15/2022

      24         25  

Freedom Mortgage Corp.

 

8.250% due 04/15/2025

      20         20  

HSBC Holdings PLC

 

6.000% due 09/29/2023 •(i)(j)

  EUR     200         262  

Hunt Cos., Inc.

 

6.250% due 02/15/2026

  $     6         6  

iStar, Inc.

 

4.625% due 09/15/2020

      3         3  

5.250% due 09/15/2022

      10         10  

Jefferies Finance LLC

 

7.500% due 04/15/2021

      967         986  

Kennedy-Wilson, Inc.

 

5.875% due 04/01/2024

      14         14  

Life Storage LP

 

3.875% due 12/15/2027

      6         6  

Lloyds Banking Group PLC

 

7.625% due 06/27/2023 •(i)(j)(m)

  GBP     1,600         2,314  

LoanCore Capital Markets LLC

 

6.875% due 06/01/2020 (m)

  $     1,400         1,418  

MetLife, Inc.

 

5.875% due 03/15/2028 •(i)

      20         20  

Nationstar Mortgage LLC

 

6.500% due 07/01/2021

      138         138  

Nationwide Building Society

 

10.250% ~(i)

  GBP     10         2,100  

Navient Corp.

 

5.875% due 03/25/2021

  $     531         541  

6.500% due 06/15/2022

      16         16  

Oppenheimer Holdings, Inc.

 

6.750% due 07/01/2022

      10         10  

Pinnacol Assurance

 

8.625% due 06/25/2034 «(k)

      1,100         1,142  

Provident Funding Associates LP

 

6.375% due 06/15/2025

      6         6  

Rio Oil Finance Trust

 

9.250% due 07/06/2024

      1,567         1,685  

Royal Bank of Scotland Group PLC

 

7.500% due 08/10/2020 •(i)(j)(m)

      1,730         1,768  

8.000% due 08/10/2025 •(i)(j)

      300         316  

8.625% due 08/15/2021 •(i)(j)

      200         213  

Santander UK Group Holdings PLC

 

6.750% due 06/24/2024 •(i)(j)

  GBP     450         615  

7.375% due 06/24/2022 •(i)(j)(m)

      1,100         1,514  

Springleaf Finance Corp.

 

7.125% due 03/15/2026

  $     74         74  

Stichting AK Rabobank Certificaten

 

6.500% (i)

  EUR     140         194  

Toll Road Investors Partnership LP

 

0.000% due 02/15/2045 (h)

  $     337         84  

Wand Merger Corp.

 

8.125% due 07/15/2023 (c)

      112         114  

WeWork Cos., Inc.

 

7.875% due 05/01/2025

      14         13  
       

 

 

 
            22,943  
       

 

 

 
INDUSTRIALS 19.6%  

Air Canada Pass-Through Trust

 

3.700% due 07/15/2027

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

Altice Financing S.A.

 

7.500% due 05/15/2026

  $     800     $     776  

Altice France S.A.

 

7.375% due 05/01/2026 (m)

      1,327         1,302  

Andeavor Logistics LP

 

3.500% due 12/01/2022

      2         2  

4.250% due 12/01/2027

      4         4  

Associated Materials LLC

 

9.000% due 01/01/2024

      940         989  

BMC Software Finance, Inc.

 

8.125% due 07/15/2021

      400         409  

Centene Escrow Corp.

 

5.375% due 06/01/2026

      34         35  

Charles River Laboratories International, Inc.

 

5.500% due 04/01/2026

      6         6  

Charter Communications Operating LLC

 

4.200% due 03/15/2028

      27         25  

Cheniere Energy Partners LP

 

5.250% due 10/01/2025

      5         5  

Chesapeake Energy Corp.

 

5.598% (US0003M + 3.250%) due 04/15/2019 ~

      10         10  

Clear Channel Worldwide Holdings, Inc.

 

7.625% due 03/15/2020

      820         818  

Cleveland-Cliffs, Inc.

 

4.875% due 01/15/2024

      6         6  

Community Health Systems, Inc.

 

5.125% due 08/01/2021

      650         604  

6.250% due 03/31/2023 (m)

      1,390           1,279  

8.625% due 01/15/2024 (c)

      50         50  

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

 

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

      470         0  

CSN Resources S.A.

 

6.500% due 07/21/2020

      200         187  

CVS Pass-Through Trust

 

5.880% due 01/10/2028

      452         480  

DriveTime Automotive Group, Inc.

 

8.000% due 06/01/2021 (m)

      1,170         1,188  

EI Group PLC

 

6.875% due 05/09/2025

  GBP     10         15  

Energizer Gamma Acquisition, Inc.

 

6.375% due 07/15/2026 (c)

  $     56         57  

Exela Intermediate LLC

 

10.000% due 07/15/2023

      23         24  

First Quantum Minerals Ltd.

 

6.500% due 03/01/2024

      284         275  

6.875% due 03/01/2026

      312         299  

7.000% due 02/15/2021

      116         117  

Flex Acquisition Co., Inc.

 

7.875% due 07/15/2026

      120         120  

Fresh Market, Inc.

 

9.750% due 05/01/2023 (m)

      1,200         768  

Full House Resorts, Inc.

 

8.575% due 01/31/2024 «

      100         96  

General Electric Co.

 

5.000% due 01/21/2021 •(i)

      26         26  

Hadrian Merger Sub, Inc.

 

8.500% due 05/01/2026

      10         10  

Harland Clarke Holdings Corp.

 

8.375% due 08/15/2022

      8         8  

HCA, Inc.

 

7.500% due 11/15/2095

      300         290  

Hilton Domestic Operating Co., Inc.

 

5.125% due 05/01/2026

      28         28  

iHeartCommunications, Inc.

 

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

      86         66  

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

      1,052         805  

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

      1,073         821  

11.250% due 03/01/2021 ^

      75         58  

Intelsat Jackson Holdings S.A.

 

5.500% due 08/01/2023

      300         270  

7.250% due 10/15/2020 (m)

      1,318         1,318  

9.750% due 07/15/2025

      23         24  
 

 

38   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


 

June 30, 2018

 

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

Intelsat Luxembourg S.A.

 

7.750% due 06/01/2021

  $     1,310     $       1,225  

8.125% due 06/01/2023

      54         44  

Intrepid Aviation Group Holdings LLC

 

6.875% due 02/15/2019

      2,990         2,994  

Kinder Morgan, Inc.

 

7.750% due 01/15/2032

      300         366  

Live Nation Entertainment, Inc.

 

5.625% due 03/15/2026

      4         4  

Mallinckrodt International Finance S.A.

 

5.500% due 04/15/2025

      134         108  

Matterhorn Merger Sub LLC

 

8.500% due 06/01/2026

      30         29  

Metinvest BV

 

8.500% due 04/23/2026

      200         187  

Odebrecht Oil & Gas Finance Ltd.

 

0.000% due 07/30/2018 (h)(i)

      322         5  

Park Aerospace Holdings Ltd.

 

3.625% due 03/15/2021

      16         16  

4.500% due 03/15/2023

      32         30  

5.250% due 08/15/2022

      3         3  

5.500% due 02/15/2024

      8         8  

Petroleos Mexicanos

 

6.500% due 03/13/2027

      50         51  

6.750% due 09/21/2047

      10         9  

PetSmart, Inc.

 

5.875% due 06/01/2025

      22         17  

Pisces Midco, Inc.

 

8.000% due 04/15/2026

      34         33  

Pitney Bowes, Inc.

 

4.700% due 04/01/2023

      8         7  

QVC, Inc.

 

5.950% due 03/15/2043

      200         189  

Radiate Holdco LLC

 

6.875% due 02/15/2023

      10         10  

Rockpoint Gas Storage Canada Ltd.

 

7.000% due 03/31/2023

      2         2  

Safeway, Inc.

 

7.250% due 02/01/2031 (m)

      350         327  

Scientific Games International, Inc.

 

5.000% due 10/15/2025

      2         2  

Shelf Drilling Holdings Ltd.

 

8.250% due 02/15/2025

      10         10  

Standard Industries, Inc.

 

4.750% due 01/15/2028

      22         20  

Stars Group Holdings BV

 

7.000% due 07/15/2026 (c)

      36         36  

Sunoco LP

 

4.875% due 01/15/2023

      16         15  

T-Mobile USA, Inc.

 

4.750% due 02/01/2028

      5         5  

Teva Pharmaceutical Finance Netherlands BV

 

3.250% due 04/15/2022

  EUR     100         119  

UAL Pass-Through Trust

 

6.636% due 01/02/2024

  $     1,211         1,275  

Unique Pub Finance Co. PLC

 

5.659% due 06/30/2027

  GBP     601         879  

Valeant Pharmaceuticals International, Inc.

 

6.500% due 03/15/2022

  $     17         18  

7.000% due 03/15/2024

      33         35  

ViaSat, Inc.

 

5.625% due 09/15/2025

      18         17  

VOC Escrow Ltd.

 

5.000% due 02/15/2028

      16         15  

Westmoreland Coal Co.

 

8.750% due 01/01/2022 ^(e)(m)

      1,755         434  
       

 

 

 
            22,218  
       

 

 

 
UTILITIES 2.6%

 

AT&T, Inc.

 

4.900% due 08/15/2037

      72         68  

5.150% due 02/15/2050

      98         92  

5.300% due 08/15/2058

      32         30  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Enable Midstream Partners LP

 

4.950% due 05/15/2028

  $     12     $     12  

Odebrecht Drilling Norbe Ltd.

 

6.350% due 12/01/2021

      243         230  

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

 

7.350% due 12/01/2026 (d)

      426         212  

Odebrecht Offshore Drilling Finance Ltd.

 

6.720% due 12/01/2022

      1,018         923  

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

 

7.720% due 12/01/2026 (d)

      593         159  

Petrobras Global Finance BV

 

5.299% due 01/27/2025

      1         1  

5.999% due 01/27/2028

      30         27  

6.125% due 01/17/2022

      27         27  

6.850% due 06/05/2115

      150         127  

7.375% due 01/17/2027

      161         161  

Sprint Communications, Inc.

 

7.000% due 08/15/2020 (m)

      750         778  

Sprint Corp.

 

7.625% due 03/01/2026

      55         56  

Vodafone Group PLC

 

4.125% due 05/30/2025

      14         14  
       

 

 

 
          2,917  
       

 

 

 

Total Corporate Bonds & Notes (Cost $49,032)

      48,078  
       

 

 

 
CONVERTIBLE BONDS & NOTES 0.5%

 

INDUSTRIALS 0.5%

 

DISH Network Corp.

 

3.375% due 08/15/2026

      600         583  
       

 

 

 

Total Convertible Bonds & Notes (Cost $600)

    583  
       

 

 

 
MUNICIPAL BONDS & NOTES 2.1%

 

ILLINOIS 0.2%

 

Chicago, Illinois General Obligation Bonds, Series 2015

 

7.375% due 01/01/2033

      40         44  

7.750% due 01/01/2042

      70         76  

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

 

6.725% due 04/01/2035

      10         11  

7.350% due 07/01/2035

      5         6  

Illinois State General Obligation Bonds, Series 2003

 

5.100% due 06/01/2033

      35         33  
       

 

 

 
          170  
       

 

 

 
WEST VIRGINIA 1.9%

 

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

 

0.000% due 06/01/2047 (h)

      8,800         545  

7.467% due 06/01/2047

      1,625         1,625  
       

 

 

 
          2,170  
       

 

 

 

Total Municipal Bonds & Notes (Cost $2,168)

      2,340  
       

 

 

 
U.S. GOVERNMENT AGENCIES 33.8%

 

Fannie Mae

 

3.959% (- 1.0*LIBOR01M + 6.050%) due 03/25/2037 ~(a)

      349         39  

4.059% (- 1.0*LIBOR01M + 6.150%) due 11/25/2039 ~(a)

      301         40  

4.209% (- 1.0*LIBOR01M + 6.300%) due 01/25/2038 ~(a)

      445         50  

4.289% (- 1.0*LIBOR01M + 6.380%) due 03/25/2037 ~(a)

      382         51  

4.309% (- 1.0*LIBOR01M + 6.400%) due 12/25/2037 ~(a)

      440         51  

4.319% (- 1.0*LIBOR01M + 6.410%) due 06/25/2037 ~(a)

      152         14  

4.359% (- 1.0*LIBOR01M + 6.450%) due 04/25/2037 ~(a)(m)

      940         139  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

4.509% (- 1.0*LIBOR01M + 6.600%) due 11/25/2035 ~(a)

  $     137     $     14  

4.709% (- 1.0*LIBOR01M + 6.800%) due 11/25/2036 ~(a)(m)

      1,868         299  

5.109% (- 1.0*LIBOR01M + 7.200%) due 02/25/2037 ~(a)

      310         43  

5.641% (US0001M + 3.550%) due 07/25/2029 ~

      170         185  

7.000% due 12/25/2023

      87         93  

7.500% due 06/01/2032

      42         43  

7.800% due 06/25/2026 ~

      2         3  

7.841% (US0001M + 5.750%) due 07/25/2029 ~

      220         263  

10.411% due 12/25/2042 ~

      69         77  

11.272% (-1.4*LIBOR01M + 14.200%) due 08/25/2022 ~

    86         97  

Fannie Mae, TBA

 

3.500% due 07/01/2048 - 08/01/2048

      30,500         30,342  

4.000% due 08/01/2048

      2,500         2,545  

Freddie Mac

 

0.000% due 04/25/2045 - 08/25/2046 (b)(h)

    2,430         1,912  

0.000% due 04/25/2046 (b)(h)(m)

      1,033         884  

0.100% due 02/25/2046 - 08/25/2046 (a)

    26,385         64  

0.200% due 04/25/2045 (a)

      1,129         1  

0.806% due 10/25/2020 ~(a)

      10,035         126  

4.367% (- 1.0*LIBOR01M + 6.440%) due 03/15/2037 ~(a)

      681         92  

4.497% (- 1.0*LIBOR01M + 6.570%) due 09/15/2036 ~(a)

      387         55  

4.507% (- 1.0*LIBOR01M + 6.580%) due 09/15/2036 ~(a)(m)

      890         111  

7.000% due 08/15/2023

      4         4  

7.241% (US0001M + 5.150%) due 10/25/2029 ~

      500         572  
       

 

 

 

Total U.S. Government Agencies
(Cost $38,084)

      38,209  
       

 

 

 
U.S. TREASURY OBLIGATIONS 0.9%

 

U.S. Treasury Notes

 

1.500% due 08/31/2018 (o)(q)

      1,000         999  
       

 

 

 

Total U.S. Treasury Obligations (Cost $996)

    999  
       

 

 

 
NON-AGENCY MORTGAGE-BACKED SECURITIES 35.7%

 

Banc of America Alternative Loan Trust

 

12.340% due 09/25/2035 ^•(m)

    1,326         1,488  

Banc of America Funding Trust

 

3.119% due 12/20/2034 ~

      340         280  

3.946% due 03/20/2036 ~

      480         465  

5.846% due 01/25/2037 ^~

      204         189  

Banc of America Merrill Lynch Commercial Mortgage, Inc.

 

5.959% due 03/11/2041 ~

      1,558         1,567  

Banc of America Mortgage Trust

 

6.000% due 07/25/2046 ^

      2         2  

Bear Stearns Adjustable Rate Mortgage Trust

 

4.137% due 07/25/2036 ^~

      289         273  

Bear Stearns ALT-A Trust

 

3.563% due 04/25/2035 ~

      172         157  

3.791% due 09/25/2035 ~

      140         116  

3.882% due 11/25/2035 ^~

      149         130  

Bear Stearns Asset-Backed Securities Trust

 

16.622% due 03/25/2036 ^•(m)

    1,710         1,585  

Bear Stearns Commercial Mortgage Securities Trust

 

5.911% due 04/12/2038 ~

      40         31  

6.257% due 02/11/2041 ~

      718         716  

Bear Stearns Structured Products, Inc. Trust

 

3.104% due 12/26/2046 ~

      339         311  

3.664% due 01/26/2036 ~

      775         688  

BRAD Resecuritization Trust

 

2.185% due 03/12/2021 «

      1,673         78  

6.550% due 03/12/2021 «

      313         309  
 

 

See Accompanying Notes   ANNUAL REPORT   JUNE 30, 2018   39


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

 

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

CBA Commercial Small Balance Commercial Mortgage

 

5.540% due 01/25/2039 ^×

  $     440     $     369  

CD Mortgage Trust

 

5.688% due 10/15/2048

      1,557         786  

Chevy Chase Funding LLC Mortgage-Backed Certificates

 

2.391% due 08/25/2035 •

      115         114  

2.771% due 10/25/2034 •

      8         8  

Citigroup Commercial Mortgage Trust

 

5.800% due 12/10/2049 ~

      955         654  

Citigroup Mortgage Loan Trust

 

3.887% due 03/25/2037 ^~(m)

      414         351  

4.011% due 11/25/2035 ~

      1,785           1,254  

Citigroup/Deutsche Bank Commercial Mortgage Trust

 

5.398% due 12/11/2049 ~

      118         71  

Commercial Mortgage Loan Trust

 

6.254% due 12/10/2049 ~(m)

      582         362  

Commercial Mortgage Trust

 

0.199% due 10/10/2046 ~(a)

      77,000         552  

5.505% due 03/10/2039 ~

      313         215  

6.285% due 07/10/2046 ~

      760         783  

Countrywide Alternative Loan Trust

 

2.331% due 12/25/2046 ^•

      136         87  

2.441% due 05/25/2036 ^•

      1,741         958  

2.751% due 10/25/2035 •(m)

      776         645  

3.315% due 10/25/2035 ^~

      155         135  

3.695% due 02/25/2037 ^~

      195         190  

5.059% due 07/25/2036 •(a)

      1,253         319  

5.500% due 08/25/2034 (m)

      428         430  

5.500% due 02/25/2036 ^

      23         21  

6.250% due 09/25/2034

      68         69  

14.049% due 07/25/2035 •(m)

    928         1,044  

Countrywide Home Loan Mortgage Pass-Through Trust

 

2.331% due 03/25/2036 •

      186         178  

2.871% due 02/25/2035 •

      109         105  

3.182% due 03/25/2037 ^~

      387         330  

3.329% due 10/20/2035 ^~

      130         113  

3.381% due 10/20/2035 ~

      346         307  

3.462% due 02/20/2036 ^•

      469         105  

3.510% due 10/20/2035 ^~

      153         142  

3.679% due 08/25/2034 ~

      171         166  

5.500% due 08/25/2035 ^

      30         27  

Credit Suisse Commercial Mortgage Trust

 

5.869% due 09/15/2040 ~

      423         411  

5.886% due 02/15/2039 ~

      117         119  

Credit Suisse Mortgage Capital Mortgage-Backed Trust

 

6.000% due 11/25/2036

      247         230  

DBUBS Mortgage Trust

 

4.652% due 11/10/2046

      700         536  

First Horizon Alternative Mortgage Securities Trust

 

3.653% due 11/25/2036 ^~(m)

      390         320  

First Horizon Mortgage Pass-Through Trust

 

3.664% due 01/25/2037 ^~(m)

      616         560  

GE Commercial Mortgage Corp. Trust

 

5.606% due 12/10/2049 ~

      764         760  

GMAC Mortgage Corp. Loan Trust

 

4.500% due 06/25/2034 ~

      64         63  

GS Mortgage Securities Trust

 

5.622% due 11/10/2039

      182         157  

6.196% due 08/10/2043 ~(m)

      730         735  

GSR Mortgage Loan Trust

 

3.650% due 04/25/2035 ~

      275         277  

4.059% due 05/25/2035 ~

      84         77  

5.500% due 06/25/2036 ^

      9         17  

HarborView Mortgage Loan Trust

 

2.685% due 04/19/2034 •

      17         16  

3.242% due 11/19/2034 ~

      137         122  

4.073% due 08/19/2036 ^~

      15         15  

4.075% due 02/25/2036 ^~

      35         26  

HSI Asset Loan Obligation Trust

 

3.680% due 01/25/2037 ^~

      322         279  

IndyMac Mortgage Loan Trust

 

2.361% due 06/25/2037 ^•

      1,222         943  

2.651% due 03/25/2035 •

      30         30  

3.296% due 06/25/2037 ^~(m)

      581         509  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

JPMBB Commercial Mortgage Securities Trust

 

0.327% due 11/15/2045 ~(a)

  $     76,047     $       1,167  

JPMorgan Chase Commercial Mortgage Securities Trust

 

5.411% due 05/15/2047

      700         504  

JPMorgan Mortgage Trust

 

3.607% due 04/25/2037 ^~(m)

      717         610  

5.500% due 01/25/2036 ^

      55         49  

5.500% due 06/25/2037 ^

      25         25  

MASTR Adjustable Rate Mortgages Trust

 

3.693% due 10/25/2034 ~

      207         196  

3.712% due 11/25/2035 ^~

      671         557  

Merrill Lynch Alternative Note Asset Trust

 

2.161% due 01/25/2037 •

      848         414  

Merrill Lynch Mortgage Trust

 

5.986% due 06/12/2050 ~(m)

      194         193  

Morgan Stanley Capital Trust

 

6.285% due 06/11/2049 ~

      119         120  

Motel 6 Trust

 

9.000% due 08/15/2019 •(m)

      1,564         1,592  

Opteum Mortgage Acceptance Corp. Trust

 

2.361% due 07/25/2036 •

      274         175  

Prime Mortgage Trust

 

4.459% due 11/25/2036 •(a)

    3,032         179  

Provident Funding Mortgage Loan Trust

 

4.188% due 10/25/2035 ~

      78         79  

RBSSP Resecuritization Trust

 

5.000% due 09/26/2036 ~

      2,079         1,842  

Residential Accredit Loans, Inc. Trust

 

4.139% due 12/26/2034 ^~

      237         198  

4.566% due 01/25/2036 ^~

      815         707  

6.000% due 09/25/2035 (m)

      408         286  

6.000% due 08/25/2036 ^

      266         245  

Residential Asset Mortgage Products Trust

 

7.500% due 12/25/2031

      89         91  

Structured Adjustable Rate Mortgage Loan Trust

 

2.958% due 05/25/2035 ^•(m)

      1,834         1,533  

3.522% due 09/25/2036 ^~

      315         248  

3.688% due 04/25/2036 ^~

      374         334  

3.742% due 09/25/2035 ~

      81         66  

3.771% due 01/25/2036 ^~

      363         284  

Structured Asset Mortgage Investments Trust

 

2.321% due 02/25/2036 •

      419         381  

2.371% due 02/25/2036 ^•

      316         294  

Suntrust Adjustable Rate Mortgage Loan Trust

 

4.033% due 01/25/2037 ^~

      116         110  

Theatre Hospitals PLC

 

3.786% due 10/15/2031 •(m)

  GBP     969         1,246  

WaMu Mortgage Pass-Through Certificates Trust

 

3.438% due 12/25/2036 ^~(m)

  $     421         413  

3.565% due 07/25/2037 ^~

      113         105  

Washington Mutual Mortgage Pass-Through Certificates Trust

 

2.328% due 04/25/2047 ^•

      78         2  

Wells Fargo Mortgage-Backed Securities Trust

 

6.000% due 03/25/2037 ^

      208         207  

Wells Fargo-RBS Commercial Mortgage Trust

 

0.505% due 12/15/2046 ~(a)

      30,000         479  
       

 

 

 

Total Non-Agency Mortgage-Backed Securities (Cost $35,240)

      40,408  
       

 

 

 
ASSET-BACKED SECURITIES 9.9%

 

Adagio CLO DAC

 

0.000% due 04/30/2031 ~

  EUR     250         264  

Apidos CLO

 

0.000% due 07/22/2026 ~

  $     500         297  

Bear Stearns Asset-Backed Securities Trust

 

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

      606         416  

Belle Haven ABS CDO Ltd.

 

2.571% due 07/05/2046 •

      34,966         339  

Bombardier Capital Mortgage Securitization Corp.

 

7.830% due 06/15/2030 ~

      1,421         570  

Carlyle Global Market Strategies CLO Ltd.

 

0.000% due 04/07/2031 ~

      1,700         1,343  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Carrington Mortgage Loan Trust

 

2.241% due 08/25/2036 •

  $     97     $     81  

Citigroup Mortgage Loan Trust

 

2.251% due 12/25/2036 •(m)

      1,606         1,063  

2.251% due 01/25/2037 •

      188         123  

Conseco Finance Securitizations Corp.

 

7.960% due 05/01/2031

      407         260  

Countrywide Asset-Backed Certificates

 

3.191% due 09/25/2034 •

      80         79  

EMC Mortgage Loan Trust

 

2.837% due 05/25/2039 •

      183         174  

Lehman XS Trust

 

4.859% due 05/25/2037 ^

      163         162  

5.420% due 11/25/2035 ^×

      44         44  

Morgan Stanley ABS Capital, Inc. Trust

 

2.151% due 05/25/2037 •

      93         85  

Residential Asset Mortgage Products Trust

 

5.572% due 06/25/2032 ~

      64         64  

SMB Private Education Loan Trust

 

0.000% due 09/18/2046 «(h)

      1         1,405  

Soundview Home Loan Trust

 

2.151% due 11/25/2036 •

      191         88  

South Coast Funding Ltd.

 

2.585% due 01/06/2041 •

      13,492         3,643  

Structured Asset Securities Corp. Mortgage Loan Trust

 

2.391% due 06/25/2035 •

      291         286  

Symphony CLO Ltd.

 

6.948% due 07/14/2026 •

      400         398  

Washington Mutual Asset-Backed Certificates Trust

 

2.151% due 10/25/2036 •

      106         61  
       

 

 

 

Total Asset-Backed Securities (Cost $11,995)

      11,245  
       

 

 

 
SOVEREIGN ISSUES 4.6%

 

Argentina Government International Bond

 

2.260% due 12/31/2038 ×

  EUR     760         526  

7.820% due 12/31/2033

      1,760         2,056  

22.844% (BADLARPP) due 10/04/2022 ~

  ARS     132         7  

34.188% (BADLARPP + 2.000%) due 04/03/2022 ~

      13,063         412  

34.660% (BADLARPP + 3.250%) due 03/01/2020 ~

      400         14  

40.000% (ARPP7DRR) due 06/21/2020 ~

      27,379         986  

Egypt Government International Bond

 

5.625% due 04/16/2030

  EUR     100         105  

Peru Government International Bond

 

6.350% due 08/12/2028

  PEN     600         191  

Republic of Greece Government International Bond

 

3.000% due 02/24/2023

  EUR     33         39  

3.000% due 02/24/2024

      33         39  

3.000% due 02/24/2025

      33         39  

3.000% due 02/24/2026

      33         38  

3.000% due 02/24/2027

      33         38  

3.000% due 02/24/2028

      33         37  

3.000% due 02/24/2029

      33         37  

3.000% due 02/24/2030

      33         37  

3.000% due 02/24/2031

      33         36  

3.000% due 02/24/2032

      33         35  

3.000% due 02/24/2033

      33         35  

3.000% due 02/24/2034

      33         35  

3.000% due 02/24/2035

      33         34  

3.000% due 02/24/2036

      33         35  

3.000% due 02/24/2037

      33         35  

3.000% due 02/24/2038

      33         34  

3.000% due 02/24/2039

      33         34  

3.000% due 02/24/2040

      33         34  

3.000% due 02/24/2041

      33         34  

3.000% due 02/24/2042

      33         34  

4.750% due 04/17/2019

      100         120  

Venezuela Government International Bond

 

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

      50         13  

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

      62         18  
       

 

 

 

Total Sovereign Issues (Cost $6,095)

 

        5,167  
       

 

 

 
 

 

40   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


 

June 30, 2018

 

        SHARES         MARKET
VALUE
(000S)
 
COMMON STOCKS 2.6%

 

CONSUMER DISCRETIONARY 0.7%

 

Caesars Entertainment Corp. (f)

    76,053     $     814  
       

 

 

 
ENERGY 1.3%

 

Dommo Energia S.A. «(f)(k)

      3,005,980         822  

Dommo Energia S.A. SP - ADR «

    547         20  

Forbes Energy Services Ltd. (f)(k)

    5,475         49  

Ocean Rig UDW, Inc. (f)

      18,303         540  
       

 

 

 
          1,431  
       

 

 

 
FINANCIALS 0.6%

 

TIG FinCo PLC «(k)

      431,831         684  
       

 

 

 
INDUSTRIALS 0.0%

 

Sierra Hamilton Holder LLC «(k)

    100,456         36  
       

 

 

 
UTILITIES 0.0%

 

Eneva S.A. (f)(k)

      2,076         6  
       

 

 

 

Total Common Stocks (Cost $2,227)

 

        2,971  
       

 

 

 
WARRANTS 0.0%

 

INDUSTRIALS 0.0%

 

Sequa Corp. - Exp. 04/28/2024 «

    121,000         31  
       

 

 

 

Total Warrants (Cost $0)

    31  
       

 

 

 
        SHARES         MARKET
VALUE
(000S)
 
PREFERRED SECURITIES 2.8%

 

BANKING & FINANCE 1.0%

 

OCP CLO 2016-11 Ltd.

 

0.000% due 04/26/2028 (h)

      1,400     $     1,202  
       

 

 

 
INDUSTRIALS 1.8%

 

Sequa Corp.

 

9.000% «

      2,235         2,011  
       

 

 

 
Total Preferred Securities (Cost $3,428)       3,213  
       

 

 

 
REAL ESTATE INVESTMENT TRUSTS 2.2%

 

REAL ESTATE 2.2%

 

VICI Properties, Inc. (k)

      121,529         2,508  
       

 

 

 

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

    2,508  
       

 

 

 
SHORT-TERM INSTRUMENTS 9.2%

 

REPURCHASE AGREEMENTS (l) 9.0%

 

          10,183  
       

 

 

 
        PRINCIPAL
AMOUNT
(000S)
           
ARGENTINA TREASURY BILLS 0.1%

 

9.718% due 09/14/2018 (g)(h)

  ARS     3,460         119  

1.855% due 09/14/2018 (g)(h)

      12         12  
       

 

 

 
          131  
       

 

 

 
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
U.S. TREASURY BILLS 0.1%

 

1.958% due 10/04/2018 (h)(q)

  $     121     $     120  
       

 

 

 
Total Short-Term Instruments
(Cost $10,495)
    10,434  
       

 

 

 
       
Total Investments in Securities
(Cost $167,223)
    171,105  
       
Total Investments 151.1%
(Cost $167,223)

 

  $     171,105  

Financial Derivative
Instruments (n)(p) 1.4%

(Cost or Premiums, net $9,625)

    1,609  
Other Assets and Liabilities, net (52.5)%     (59,510
       

 

 

 
Net Assets 100.0%

 

  $       113,204  
       

 

 

 
       
 

NOTES TO SCHEDULE OF INVESTMENTS:

 

*

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

^

Security is in default.

«

Security valued using significant unobservable inputs (Level 3).

 

All or a portion of this amount represent 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.

×

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

(a)

Interest only security.

(b)

Principal only security.

(c)

When-issued security.

(d)

Payment in-kind security.

(e)

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

(f)

Security did not produce income within the last twelve months.

(g)

Coupon represents a weighted average yield to maturity.

(h)

Zero coupon security.

(i)

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

(j)

Contingent convertible security.

 

(k)  RESTRICTED SECURITIES:

 

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

Dommo Energia S.A.

         12/21/2017 - 12/26/2017     $ 78     $     822       0.73

Eneva S.A.

         12/21/2017       9       6       0.01  

Forbes Energy Services Ltd.

         03/11/2014 - 12/03/2014           241       49       0.04  

 

See Accompanying Notes   ANNUAL REPORT   JUNE 30, 2018   41


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

 

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

Pinnacol Assurance 8.625% due 06/25/2034

         06/23/2014       $    1,100     $ 1,142       1.01

Sierra Hamilton Holder LLC

         07/31/2017       25       36       0.03  

TIG FinCo PLC

         04/02/2015 - 07/20/2017       579       684       0.60  

VICI Properties, Inc.

         03/03/2014 - 11/20/2017       1,780       2,508       2.22  
        

 

 

   

 

 

   

 

 

 
    $    3,812     $     5,247       4.64
 

 

 

   

 

 

   

 

 

 

 

BORROWINGS AND OTHER FINANCING TRANSACTIONS

 

(l)  REPURCHASE AGREEMENTS:

 

Counterparty   Lending
Rate
    Settlement
Date
    Maturity
Date
    Principal
Amount
    Collateralized By   Collateral
(Received)
    Repurchase
Agreements,
at Value
    Repurchase
Agreement
Proceeds
to be
Received(1)
 
FICC     1.500     06/29/2018       07/02/2018     $     1,783     U.S. Treasury Notes 2.125% due 08/15/2021   $ (1,822   $ 1,783     $ 1,783  
RDR     2.220       06/29/2018       07/02/2018       8,400     U.S. Treasury Bills 0.000% due 04/25/2019     (8,577     8,400       8,402  
           

 

 

   

 

 

   

 

 

 

Total Repurchase Agreements

 

    $     (10,399   $     10,183     $     10,185  
   

 

 

   

 

 

   

 

 

 

 

REVERSE REPURCHASE AGREEMENTS:

 

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

BCY

    2.850     05/16/2018       08/16/2018     $     (490   $ (492
    3.312       04/03/2018       07/03/2018         (321     (324
    3.362       04/25/2018       07/25/2018         (1,217     (1,225
    3.362       04/26/2018       07/26/2018         (544     (547

BPS

    0.900       06/29/2018       07/30/2018     GBP         (1,064     (1,405
    2.950       06/04/2018       09/04/2018     $     (466     (467

MSB

    3.763       02/05/2018       02/05/2019         (1,110     (1,116

NOM

    2.670       05/23/2018       07/23/2018         (690     (692

RTA

    3.017       01/31/2018       07/31/2018         (1,322     (1,339
    3.296       03/08/2018       09/07/2018         (1,333     (1,347
    3.337       06/28/2018       09/24/2018         (1,144     (1,144
    3.519       06/18/2018       09/12/2018         (168     (170

SAL

    3.280       05/16/2018       08/16/2018         (580     (583

SOG

    2.750       05/08/2018       08/08/2018         (1,188     (1,193

UBS

    0.950       06/18/2018       07/18/2018     GBP     (2,496     (3,296
    1.601       04/27/2018       07/27/2018         (738     (976
    2.760       06/05/2018       09/05/2018     $     (668     (669
    2.780       06/12/2018       09/12/2018         (3,528     (3,533
    2.780       06/21/2018       09/12/2018         (1,182     (1,183
    2.860       05/31/2018       08/31/2018         (1,557     (1,561
    2.910       04/25/2018       07/25/2018         (415     (417
    3.321       04/05/2018       07/05/2018         (3,295     (3,322
           

 

 

 

Total Reverse Repurchase Agreements

 

  $     (27,001
           

 

 

 

 

BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY

 

The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral pledged/(received) as of June 30, 2018:

 

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

Global/Master Repurchase Agreement

 

BCY

  $ 0     $ (2,588   $ 0      $ (2,588   $ 3,408     $     820  

BPS

    0           (1,872         0            (1,872     2,050       178  

FICC

        1,783       0       0        1,783           (1,822     (39

MSB

    0       (1,116     0        (1,116     1,592       476  

NOM

    0       (692     0        (692     768       76  

RDR

    8,402       0       0        8,402       (8,577     (175

RTA

    0       (4,000     0        (4,000     5,700       1,700  

SAL

    0       (583     0        (583     735       152  

SOG

    0       (1,193     0        (1,193     1,302       109  

UBS

    0       (14,957     0            (14,957         17,544           2,587  
 

 

 

   

 

 

   

 

 

        

Total Borrowings and Other Financing Transactions

  $     10,185     $     (27,001   $     0         
 

 

 

   

 

 

   

 

 

        

 

42   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


 

June 30, 2018

 

 

CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS

 

Remaining Contractual Maturity of the Agreements

 

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

Reverse Repurchase Agreements

 

Corporate Bonds & Notes

  $ 0     $ (5,810   $ (8,632   $ 0     $ (14,442

U.S. Government Agencies

    0       (547     (467     0       (1,014

Non-Agency Mortgage-Backed Securities

    0       (5,847     (3,452     (1,115     (10,414

Asset-Backed Securities

    0       0       (1,131     0       (1,131
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Borrowings

  $     0     $     (12,204   $     (13,682   $     (1,115   $     (27,001
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Payable for reverse repurchase agreements and sale-buyback financing transactions

 

      $ (27,001
         

 

 

 

 

(m)

Securities with an aggregate market value of $33,100 have been pledged as collateral under the terms of the above master agreements as of June 30, 2018.

 

(1)

Includes accrued interest.

(2)

The average amount of borrowings outstanding during the period ended June 30, 2018 was $(37,696) at a weighted average interest rate of 2.339%. Average borrowings may include sale-buyback transactions and reverse repurchase agreements, if held during the period.

(3)

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

 

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

 

PURCHASED OPTIONS:

 

OPTIONS ON EXCHANGE-TRADED FUTURES CONTRACTS

 

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

Put - CME S&P 500 July 2018 Futures

   $     2,650.000       07/20/2018       80     $     20     $ 160     $ 298  
          

 

 

   

 

 

 

Total Purchased Options

 

  $     160     $     298  
          

 

 

   

 

 

 

 

WRITTEN OPTIONS:

 

OPTIONS ON EXCHANGE-TRADED FUTURES CONTRACTS

 

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

Call - CME S&P 500 July 2018 Futures

  $     2,790.000       07/20/2018       80     $     20     $ (614   $ (97
         

 

 

   

 

 

 

Total Written Options

 

  $     (614   $     (97
 

 

 

   

 

 

 

 

FUTURES CONTRACTS:

 

LONG FUTURES CONTRACTS

 

Description   Expiration
Month
    # of
Contracts
    Notional
Amount
    Unrealized
Appreciation/
(Depreciation)
    Variation Margin  
  Asset      Liability  

E-mini S&P 500 Index September Futures

    09/2018       420     $     57,154     $ (1,192   $ 44      $ 0  
       

 

 

   

 

 

    

 

 

 

Total Futures Contracts

 

  $     (1,192   $     44      $     0  
 

 

 

   

 

 

    

 

 

 

 

SWAP AGREEMENTS:

 

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

 

Reference Entity   Fixed
Receive Rate
    Payment
Frequency
  Maturity
Date
    Implied
Credit Spread at
June 30, 2018(2)
  Notional
Amount(3)
    Premiums
Paid/(Received)
    Unrealized
Appreciation/
(Depreciation)
    Market
Value
    Variation Margin  
  Asset     Liability  

Frontier Communications Corp.

    5.000   Quarterly     06/20/2020     8.963%   $     1,910     $     (76   $     (50   $     (126   $     0     $     (5
           

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

See Accompanying Notes   ANNUAL REPORT   JUNE 30, 2018   43


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

 

 

INTEREST RATE SWAPS

 

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

Pay

 

1-Year BRL-CDI

    12.055     Maturity       01/04/2021     BRL     3,600     $ 33     $ 30     $ 63     $ 1     $ 0  

Pay

 

3-Month CAD Bank Bill

    3.300       Semi-Annual       06/19/2024     CAD     4,900       369       (195     174       0       (23

Receive

 

3-Month CAD Bank Bill

    3.500       Semi-Annual       06/20/2044         1,600       (285     79       (206     16       0  

Pay

 

3-Month USD-LIBOR

    2.860       Semi-Annual       04/26/2023     $     50,000       (137     95       (42     0       (21

Pay

 

3-Month USD-LIBOR

    2.750       Semi-Annual       06/19/2023         150,300       5,854       (6,864     (1,010     0       (83

Receive

 

3-Month USD-LIBOR

    2.000       Semi-Annual       06/20/2023         21,500       772       128       900       13       0  

Pay

 

3-Month USD-LIBOR

    3.000       Semi-Annual       06/18/2024         19,700       1,187       (1,081     106       0       (12

Receive

 

3-Month USD-LIBOR

    2.250       Semi-Annual       06/20/2028         128,700       3,214       4,826       8,040       135       0  

Receive(4)

 

6-Month EUR-EURIBOR

    1.250       Annual       09/19/2028     EUR     2,200       (31     (51     (82     0       (4

Receive(4)

 

6-Month EUR-EURIBOR

    1.250       Annual       12/19/2028         300       (5     (4     (9     0       (1

Receive(4)

 

6-Month GBP-LIBOR

    1.500       Semi-Annual       09/19/2028     GBP     4,062       94       (68     26       6       0  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
          $ 11,065     $ (3,105   $ 7,960     $ 171     $ (144
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Swap Agreements

 

  $     10,989     $     (3,155   $     7,834     $     171     $     (149
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED SUMMARY

 

The following is a summary of the market value and variation margin of Exchange-Traded or Centrally Cleared Financial Derivative Instruments as of June 30, 2018:

 

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

Total Exchange-Traded or Centrally Cleared

  $     298     $     44     $     171     $     513       $     (97)     $     0     $     (149)     $     (246)  
 

 

 

   

 

 

   

 

 

   

 

 

     

 

 

   

 

 

   

 

 

   

 

 

 

 

(o)

Securities with an aggregate market value of $538 and cash of $4,391 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of June 30, 2018. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information regarding master netting arrangements.

 

(1) 

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

(2) 

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

(3) 

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

(4) 

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

 

(p)  FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER

 

FORWARD FOREIGN CURRENCY CONTRACTS:

 

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

BPS

     07/2018     ARS     11,670     $     429     $ 28     $ 0  
     07/2018     EUR     5,685         6,594       0       (45
     07/2018     GBP     409         546       6       0  
     07/2018     $     221     ARS     6,071       0           (12
     07/2018         212     PEN     695       0       (1
     08/2018     CHF     78     $     79       0       0  
     09/2018     PEN     695         212       1       0  

BRC

     09/2018     ARS     12,279         442       52       0  

CBK

     07/2018         318         15       4       0  
     07/2018     GBP     5,756         7,626           30       0  
     07/2018     $     11     ARS     318       0       0  
     07/2018         133     EUR     115       1       0  

DUB

     07/2018     ARS     3,832     $     137       5       0  
     07/2018     $     132     ARS     3,832       0       0  

GLM

     07/2018     BRL     1,686     $     437       2       0  

 

44   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


 

June 30, 2018

 

Counterparty    Settlement
Month
    Currency to
be Delivered
    Currency to
be Received
    Unrealized Appreciation/
(Depreciation)
 
  Asset     Liability  
     07/2018     GBP     575     $     774     $ 15     $ 0  
     07/2018     PEN     695         212       0       0  
     07/2018     $     28     ARS     744       0       (3
     07/2018         443     BRL     1,686       0       (8
     07/2018         329     EUR     280       0       (2
     07/2018         180     GBP     135       0       (2
     07/2018         75     RUB     4,693       0       0  
     08/2018         83     EUR     71       0       0  

HUS

     07/2018     RUB     4,693     $     74       0       0  
     08/2018     $     1,074     RUB     67,198       0       (10

JPM

     07/2018     ARS     222     $     10       3       0  
     07/2018     BRL     606         161       5       0  
     07/2018     CAD     35         27       0       0  
     07/2018     $     8     ARS     222       0       0  
     07/2018         157     BRL     606       0       (1
     07/2018         605     GBP     453       0       (7
     08/2018         186     JPY     20,400       0       (1

MSB

     07/2018     BRL     4,000     $     1,046       14       0  
     07/2018     $     1,062     BRL     4,000       0       (30
     08/2018     BRL     4,000     $     1,059       30       0  

SCX

     07/2018         4,414         1,209       70       0  
     07/2018     $     1,145     BRL     4,414       0       (6
     08/2018     JPY     33,217     $     306       5       0  

SSB

     07/2018     $     6,158     EUR     5,290       20       0  
     08/2018     EUR     5,290     $     6,172       0       (19

UAG

     07/2018     $     8,135     GBP     6,152       0       (15
     08/2018     GBP     6,152     $     8,146       16       0  
     09/2018     $     26     RUB     1,607       0       0  
            

 

 

   

 

 

 

Total Forward Foreign Currency Contracts

 

  $     307     $     (162
 

 

 

   

 

 

 

 

SWAP AGREEMENTS:

 

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

 

Counterparty   Reference Obligation   Fixed
Receive Rate
    Payment
Frequency
  Maturity
Date
    Notional
Amount(2)
    Premiums
Paid/(Received)
    Unrealized
Appreciation/
(Depreciation)
    Swap Agreements,
at  Value(3)
 
  Asset     Liability  
BOA  

Long Beach Mortgage Loan Trust

    6.250%     Monthly     07/25/2033       $    128     $     0     $     9     $     9     $     0  
           

 

 

   

 

 

   

 

 

   

 

 

 

 

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

 

Counterparty   Index/Tranches   Fixed
Receive Rate
    Payment
Frequency
  Maturity
Date
    Notional
Amount(2)
    Premiums
Paid/(Received)
    Unrealized
Appreciation/
(Depreciation)
    Swap Agreements,
at  Value(3)
 
  Asset     Liability  
DUB  

CMBX.NA.BBB-.8 Index

    3.000   Monthly     10/17/2057     $ 400     $ (46   $ (2   $ 0     $ (48
FBF  

CMBX.NA.BBB-.8 Index

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

ABX.HE.AA.6-1 Index

    0.320     Monthly     07/25/2045           2,358       (469     328       0       (141
 

ABX.HE.PENAAA.7-1 Index

    0.090     Monthly     08/25/2037       1,359       (263     43       0       (220
 

CMBX.NA.A.6 Index

    2.000     Monthly     05/11/2063       500       (25     23       0       (2
 

CMBX.NA.BB.6 Index

    5.000     Monthly     05/11/2063       100       (14     (5     0       (19
 

CMBX.NA.BBB-.6 Index

    3.000     Monthly     05/11/2063       100       (6     (4     0       (10
 

CMBX.NA.BBB-.7 Index

    3.000     Monthly     01/17/2047       100       (5     (2     0       (7
MYC  

CMBX.NA.BBB-.6 Index

    3.000     Monthly     05/11/2063       700       (41     (31     0       (72
 

CMBX.NA.BBB-.7 Index

    3.000     Monthly     01/17/2047       300       (13     (8     0       (21
 

CMBX.NA.BBB-.8 Index

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

 

 

   

 

 

   

 

 

   

 

 

 
  $     (910   $     346     $     0     $     (564
           

 

 

   

 

 

   

 

 

   

 

 

 

 

See Accompanying Notes   ANNUAL REPORT   JUNE 30, 2018   45


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

 

 

TOTAL RETURN SWAPS ON EQUITY INDICES

 

Counterparty   Pay/Receive(4)   Underlying Reference   # of Units     Financing Rate   Payment
Frequency
    Maturity
Date
  Notional
Amount
    Premiums
Paid/(Received)
    Unrealized
Appreciation/
(Depreciation)
    Swap Agreements,
at Value
 
  Asset     Liability  

FBF

  Receive  

NDDUEAFE Index

    8,666    

3-Month USD-LIBOR plus a specified spread

    Maturity     07/11/2018   $   49,112     $ 0     $ 1,944     $ 1,944     $ 0  

GST

  Receive  

NDDUEAFE Index

    850    

3-Month USD-LIBOR less a specified spread

    Quarterly     08/08/2018     5,219       0       (192     0       (192
               

 

 

   

 

 

   

 

 

   

 

 

 
              $ 0     $ 1, 752     $ 1,944     $ (192
               

 

 

   

 

 

   

 

 

   

 

 

 

Total Swap Agreements

 

  $   (910   $   2,107     $   1,953     $   (756
               

 

 

   

 

 

   

 

 

   

 

 

 

 

FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER SUMMARY

 

The following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral pledged/(received) as of June 30, 2018:

 

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

BOA

  $ 0      $ 0      $ 9      $ 9       $ 0     $ 0      $ 0     $ 0     $ 9     $ 0     $ 9  

BPS

    35        0        0        35         (58     0        0       (58     (23     0       (23

BRC

    52        0        0        52         0       0        0       0       52       0       52  

CBK

    35        0        0        35         0       0        0       0       35       0       35  

DUB

    5        0        0        5         0       0        (48     (48     (43     0       (43

FBF

    0        0        1,944        1,944         0       0        (12     (12       1,932         (1,440     492  

GLM

    17        0        0        17         (15     0        0       (15     2       0       2  

GST

    0        0        0        0         0       0        (591     (591     (591     582       (9

HUS

    0        0        0        0         (10     0        0       (10     (10     0       (10

JPM

    8        0        0        8         (9     0        0       (9     (1     0       (1

MSB

    44        0        0        44         (30     0        0       (30     14       0       14  

MYC

    0        0        0        0         0       0        (105     (105     (105     (126       (231

SCX

    75        0        0        75         (6     0        0       (6     69       (20     49  

SSB

    20        0        0        20         (19     0        0       (19     1       0       1  

UAG

    16        0        0        16         (15     0        0       (15     1       0       1  
 

 

 

    

 

 

    

 

 

    

 

 

     

 

 

   

 

 

    

 

 

   

 

 

       

Total Over the Counter

  $   307      $   0      $   1,953      $   2,260       $   (162   $   0      $   (756   $   (918      
 

 

 

    

 

 

    

 

 

    

 

 

     

 

 

   

 

 

    

 

 

   

 

 

       

 

(q)

Securities with an aggregate market value of $582 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of June 30, 2018.

 

(1)

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

(2)

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

(3)

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

(4)

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

(5)

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

 

46   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


 

June 30, 2018

 

 

FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS

 

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

 

Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of June 30, 2018:

 

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

Financial Derivative Instruments - Assets

 

Exchange-traded or centrally cleared

 

Purchased Options

  $ 0     $ 0     $ 298     $ 0     $ 0     $ 298  

Futures

    0       0       44       0       0       44  

Swap Agreements

    0       0       0       0       171       171  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 0     $ 342     $ 0     $ 171     $ 513  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Over the counter

 

Forward Foreign Currency Contracts

  $ 0     $ 0     $ 0     $ 307     $ 0     $ 307  

Swap Agreements

    0       9       1,944       0       0       1,953  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 9     $     1,944     $ 307     $ 0     $ 2,260  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 9     $ 2,286     $ 307     $ 171     $ 2,773  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Financial Derivative Instruments - Liabilities

 

Exchange-traded or centrally cleared

 

Written Options

  $ 0     $ 0     $ 97     $ 0     $ 0     $ 97  

Swap Agreements

    0       5       0       0       144       149  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 5     $ 97     $ 0     $ 144     $ 246  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Over the counter

 

Forward Foreign Currency Contracts

  $ 0     $ 0     $ 0     $ 162     $ 0     $ 162  

Swap Agreements

    0       564       192       0       0       756  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 564     $ 192     $ 162     $ 0     $ 918  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $     0     $     569     $ 289     $     162     $     144     $     1,164  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

The effect of Financial Derivative Instruments on the Statements of Operations for the period ended June 30, 2018:

 

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

Net Realized Gain (Loss) on Financial Derivative Instruments

 

Exchange-traded or centrally cleared

 

Purchased Options

  $ 0     $ 0     $     (2,042   $ 0     $ 0     $ (2,042

Written Options

    0       0       (4,619     0       0       (4,619

Futures

    0       0       7,908       0       0       7,908  

Swap Agreements

    0       91       0       0       1,931       2,022  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 91     $ 1,247     $ 0     $ 1,931     $ 3,269  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Over the counter

 

Forward Foreign Currency Contracts

  $ 0     $ 0     $ 0     $ 359     $ 0     $ 359  

Swap Agreements

    0       201       1,044       0       273       1,518  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 201     $ 1,044     $ 359     $ 273     $ 1,877  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 292     $ 2,291     $ 359     $ 2,204     $ 5,146  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

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

 

Exchange-traded or centrally cleared

 

Purchased Options

  $ 0     $ 0     $ 215     $ 0     $ 0     $ 215  

Written Options

    0       0       290       0       0       290  

Futures

    0       0       (980     0       0       (980

Swap Agreements

    0       (51     0       0       (3,310     (3,361
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ (51   $ (475   $ 0     $ (3,310   $ (3,836
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Over the counter

 

Forward Foreign Currency Contracts

  $ 0     $ 0     $ 0     $ 242     $ 0     $ 242  

Swap Agreements

    0       251       2,085       0       0       2,336  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 251     $ 2,085     $ 242     $ 0     $ 2,578  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $     0     $     200     $ 1,610     $     242     $     (3,310   $     (1,258
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

See Accompanying Notes   ANNUAL REPORT   JUNE 30, 2018   47


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

 

 

FAIR VALUE MEASUREMENTS

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2018 in valuing the Fund’s assets and liabilities:

 

Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
06/30/2018
 

Investments in Securities, at Value

 

Loan Participations and Assignments

  $ 0     $ 4,797     $ 122     $ 4,919  

Corporate Bonds & Notes

 

Banking & Finance

    0           20,903           2,040           22,943  

Industrials

    0       22,122       96       22,218  

Utilities

    0       2,917       0       2,917  

Convertible Bonds & Notes

 

Industrials

    0       583       0       583  

Municipal Bonds & Notes

 

Illinois

    0       170       0       170  

West Virginia

    0       2,170       0       2,170  

U.S. Government Agencies

    0       38,209       0       38,209  

U.S. Treasury Obligations

    0       999       0       999  

Non-Agency Mortgage-Backed Securities

    0       40,021       387       40,408  

Asset-Backed Securities

    0       9,840       1,405       11,245  

Sovereign Issues

    0       5,167       0       5,167  

Common Stocks

 

Consumer Discretionary

        814       0       0       814  

Energy

    589       0       842       1,431  

Financials

    0       0       684       684  

Industrials

    0       0       36       36  

Utilities

    6       0       0       6  

Warrants

 

Industrials

    0       0       31       31  

Preferred Securities

 

Banking & Finance

    0       1,202       0       1,202  

Industrials

    0       0       2,011       2,011  
Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
06/30/2018
 

Real Estate Investment Trusts

 

Real Estate

  $     2,508     $ 0     $ 0     $ 2,508  

Short-Term Instruments

 

Repurchase Agreements

    0       10,183       0       10,183  

Argentina Treasury Bills

    0       131       0       131  

U.S. Treasury Bills

    0       120       0       120  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

  $ 3,917     $ 159,534     $ 7,654     $ 171,105  
 

 

 

   

 

 

   

 

 

   

 

 

 

Financial Derivative Instruments - Assets

 

Exchange-traded or centrally cleared

    342       171       0       513  

Over the counter

    0       2,260       0       2,260  
 

 

 

   

 

 

   

 

 

   

 

 

 
  $ 342     $ 2,431     $ 0     $ 2,773  
 

 

 

   

 

 

   

 

 

   

 

 

 

Financial Derivative Instruments - Liabilities

 

Exchange-traded or centrally cleared

    (97     (149     0       (246

Over the counter

    0       (918     0       (918
 

 

 

   

 

 

   

 

 

   

 

 

 
  $ (97   $ (1,067   $ 0     $ (1,164
 

 

 

   

 

 

   

 

 

   

 

 

 

Total Financial Derivative Instruments

  $ 245     $ 1,364     $ 0     $ 1,609  
 

 

 

   

 

 

   

 

 

   

 

 

 

Totals

  $     4,162     $     160,898     $     7,654     $     172,714  
 

 

 

   

 

 

   

 

 

   

 

 

 
 

 

There were no significant transfers among Levels 1 and 2 during the period ended June 30, 2018.

 

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended June 30, 2018:

 

Category and Subcategory   Beginning
Balance
at 06/30/2017
    Net
Purchases
    Net
Sales
    Accrued
Discounts/
(Premiums)
    Realized
Gain/(Loss)
    Net Change in
Unrealized
Appreciation/
(Depreciation)(1)
    Transfers into
Level 3
    Transfers out
of Level 3
    Ending
Balance
at 06/30/2018
    Net Change in
Unrealized
Appreciation/
(Depreciation)
on Investments
Held  at
06/30/2018(1)
 

Investments in Securities, at Value

 

Loan Participations and Assignments

  $ 103     $ 5     $ (20   $ 2     $ (93   $ 75     $ 122     $ (72   $ 122     $ 0  

Corporate Bonds & Notes

 

Banking & Finance

    2,068       0       0       4       0       (32     0       0       2,040       (32

Industrials

    0       98       0       0       0       (2     0       0       96       (2

Utilities

    22       0       (32     0       (69     79       0       0       0       0  

Non-Agency Mortgage-Backed Securities

    788       27       (123     6       50       (50     0       (311     387       (41

Asset-Backed Securities

    0       1,450       0       0       0       (45     0       0       1,405       (45

Common Stocks

 

Energy

    0       78       0       0       0       764       0       0       842       764  

Financials

    154       403       0       0       0       127       0       0       684       127  

Industrials

    0       25       0       0       0       11       0       0       36       11  

Warrants

 

Industrials

    57       0       0       0       0       (26     0       0       31       (26

Preferred Securities

 

Industrials

    2,180       0       0       0       0           (169     0       0       2,011           (169
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Totals

  $     5,372     $     2,086     $     (175   $     12     $     (112   $ 732     $     122     $     (383   $     7,654     $ 587  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

48   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


 

June 30, 2018

 

 

The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:

 

Category and Subcategory   Ending
Balance
at 06/30/2018
     Valuation
Technique
   Unobservable
Inputs
   Input Value(s)
(% Unless
Noted
Otherwise)
 

Investments in Securities, at Value

 

Loan Participations and Assignments

  $ 122      Third Party Vendor    Broker Quote      102.000  

Corporate Bonds & Notes

 

Banking & Finance

    1,142      Reference Instrument    OAS Spread      525.729 bps  
    898      Reference Instrument    Spread Movement      24.000 bps  

Industrials

    96      Reference Instrument    Yield      10.153  

Non-Agency Mortgage-Backed Securities

    387      Proxy Pricing    Base Price      4.700-100.250  

Asset-Backed Securities

    1,405      Proxy Pricing    Base Price      140,500.000  

Common Stocks

 

Energy

    842      Other Valuation Techniques(2)    —        —    

Financials

    684      Discounted Cash Flow    Discounted Rate      $        1.200  

Industrials

    36      Other Valuation Techniques(2)    —        —    

Warrants

 

Industrials

    31      Other Valuation Techniques(2)    —        —    

Preferred Securities

 

Industrials

    2,011      Indicative Market Quotation    Broker Quote      $    900.000  
 

 

 

          

Total

  $     7,654           
 

 

 

          

 

(1)  

Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at June 30, 2018 may be due to an investment no longer held or categorized as Level 3 at period end.

(2) 

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

 

See Accompanying Notes   ANNUAL REPORT   JUNE 30, 2018   49


Schedule of Investments PIMCO Income Opportunity Fund

 

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

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
INVESTMENTS IN SECURITIES 142.2%

 

LOAN PARTICIPATIONS AND ASSIGNMENTS 4.6%

 

Altice Financing S.A.

 

5.098% (LIBOR03M + 2.750%) due 01/31/2026 ~

  $     16     $     16  

Avantor, Inc.

 

6.094% (LIBOR03M + 4.000%) due 11/21/2024 ~

      50         50  

Banff Merger Sub, Inc.

 

TBD% due 06/21/2019

      6,000         5,977  

California Resources Corp.

 

6.838% (LIBOR03M + 4.750%) due 12/31/2022 ~

      50         51  

Community Health Systems, Inc.

 

5.557% (LIBOR03M + 3.250%) due 01/27/2021 ~

      1,389         1,357  

Dubai World

 

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

      4,200         3,976  

Energizer Holdings. Inc.

 

TBD% due 05/18/2019

      100         100  

Forbes Energy Services LLC

 

5.000% - 7.000% due 04/13/2021

      384         389  

Frontier Communications Corp.

 

5.850% (LIBOR03M + 3.750%) due 06/15/2024 ~

      397         395  

iHeartCommunications, Inc.

 

TBD% - 9.052% due 01/30/2019 ^(e)

      4,600         3,525  

McDermott International, Inc.

 

7.094% (LIBOR03M + 5.000%) due 05/12/2025 ~

      599         602  

MH Sub LLC

 

5.835% (LIBOR03M + 3.750%) due 09/13/2024 ~

      69         70  

Multi Color Corp.

 

4.344% (LIBOR03M + 2.250%) due 10/31/2024 ~

      10         10  

PetSmart, Inc.

 

5.010% (LIBOR03M + 3.000%) due 03/11/2022 ~

      50         42  

Ply Gem Industries, Inc.

 

6.089% (LIBOR03M + 3.750%) due 04/12/2025 ~

      100         100  

Sequa Mezzanine Holdings LLC

 

7.046% (LIBOR03M + 5.000%) due 11/28/2021 ~

      139         139  

11.099% (LIBOR03M + 9.000%) due 04/28/2022 ~«

      460         469  

Stars Group Holdings BV

 

TBD% due 07/28/2025

      100         100  

Syniverse Holdings, Inc.

 

7.046% (LIBOR03M + 5.000%) due 03/09/2023 ~

      10         10  

Wand Merger Corp.

 

TBD% due 04/27/2019

      200         198  

West Corp.

 

6.094% (LIBOR03M + 4.000%) due 10/10/2024 ~

      35         35  
       

 

 

 

Total Loan Participations and Assignments (Cost $18,615)

 

        17,611  
       

 

 

 
CORPORATE BONDS & NOTES 42.0%

 

BANKING & FINANCE 16.4%

 

AGFC Capital Trust

 

4.098% (US0003M + 1.750%) due 01/15/2067 ~

      2,300         1,392  

Ally Financial, Inc.

 

8.000% due 11/01/2031 (n)

      1,675         1,996  

Ambac Assurance Corp.

 

5.100% due 06/07/2020

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

Ambac LSNI LLC

 

7.337% due 02/12/2023 ·

  $     179     $     182  

Ardonagh Midco PLC

 

8.375% due 07/15/2023

  GBP     700         937  

Athene Holding Ltd.

 

4.125% due 01/12/2028

  $     34         31  

Avolon Holdings Funding Ltd.

 

5.500% due 01/15/2023

      110         110  

AXA Equitable Holdings, Inc.

 

4.350% due 04/20/2028

      80         77  

5.000% due 04/20/2048

      48         44  

Banco Espirito Santo S.A.

 

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

  EUR     3,100         1,086  

Barclays Bank PLC

 

7.625% due 11/21/2022 (k)(n)

  $     400         431  

Barclays PLC

 

3.250% due 01/17/2033

  GBP     100         121  

6.500% due 09/15/2019 •(j)(k)

  EUR     2,000           2,409  

7.250% due 03/15/2023 •(j)(k)(n)

  GBP     2,055         2,791  

7.875% due 09/15/2022 •(j)(k)(n)

      1,970         2,764  

8.000% due 12/15/2020 •(j)(k)

  EUR     200         259  

Brookfield Finance, Inc.

 

3.900% due 01/25/2028

  $     56         53  

4.700% due 09/20/2047

      48         46  

Cantor Fitzgerald LP

 

7.875% due 10/15/2019 (n)

      3,160         3,305  

CIT Group, Inc.

 

5.250% due 03/07/2025

      34         34  

Co-operative Group Holdings Ltd.

 

7.500% due 07/08/2026

  GBP     1,600         2,541  

Credit Agricole S.A.

 

7.875% due 01/23/2024 •(j)(k)(n)

  $     300         307  

Credit Suisse AG

 

6.500% due 08/08/2023 (k)

      200         213  

Emerald Bay S.A.

 

0.000% due 10/08/2020 (h)

  EUR     18         20  

Equinix, Inc.

 

2.875% due 03/15/2024

      100         115  

2.875% due 02/01/2026

      100         111  

Exeter Finance Corp.

 

9.750% due 05/20/2019 «

  $     2,800         2,795  

Fortress Transportation & Infrastructure Investors LLC

 

6.750% due 03/15/2022 (n)

      180         185  

Freedom Mortgage Corp.

 

8.250% due 04/15/2025

      64         63  

HSBC Holdings PLC

 

6.000% due 09/29/2023 •(j)(k)(n)

  EUR     1,200         1,572  

6.500% due 03/23/2028 •(j)(k)

  $     310         298  

Hunt Cos., Inc.

 

6.250% due 02/15/2026

      16         15  

iStar, Inc.

 

4.625% due 09/15/2020

      9         9  

5.250% due 09/15/2022

      31         30  

Jefferies Finance LLC

 

6.875% due 04/15/2022 (n)

      200         201  

7.500% due 04/15/2021 (n)

      2,285         2,331  

Kennedy-Wilson, Inc.

 

5.875% due 04/01/2024

      42         41  

Life Storage LP

 

3.875% due 12/15/2027

      18         17  

Lloyds Banking Group PLC

 

7.625% due 06/27/2023 •(j)(k)

  GBP     200         289  

LoanCore Capital Markets LLC

 

6.875% due 06/01/2020 (n)

  $     1,450         1,469  

Meiji Yasuda Life Insurance Co.

 

5.100% due 04/26/2048 •

      200         202  

MetLife, Inc.

 

5.875% due 03/15/2028 •(j)

      50         51  

MPT Operating Partnership LP

 

5.250% due 08/01/2026 (n)

      315         310  

Nationstar Mortgage LLC

 

6.500% due 07/01/2021

      466         466  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Nationwide Building Society

 

10.250% ~(j)

  GBP     12     $     2,381  

Navient Corp.

 

5.625% due 08/01/2033

  $     74         63  

6.500% due 06/15/2022

      50         51  

8.000% due 03/25/2020 (n)

      1,100         1,163  

Oppenheimer Holdings, Inc.

 

6.750% due 07/01/2022

      28         29  

Pinnacol Assurance

 

8.625% due 06/25/2034 «(l)

      2,900         3,011  

Provident Funding Associates LP

 

6.375% due 06/15/2025

      17         17  

Rio Oil Finance Trust

 

9.250% due 07/06/2024 (n)

      1,138         1,224  

Royal Bank of Scotland Group PLC

 

7.500% due 08/10/2020 •(j)(k)(n)

      2,650         2,708  

8.000% due 08/10/2025 •(j)(k)(n)

      1,900         2,000  

8.625% due 08/15/2021 •(j)(k)(n)

      1,600         1,704  

Santander UK Group Holdings PLC

 

6.750% due 06/24/2024 •(j)(k)

  GBP     800         1,093  

7.375% due 06/24/2022 •(j)(k)(n)

      2,500         3,442  

Sberbank of Russia Via SB Capital S.A.

 

6.125% due 02/07/2022 (n)

  $     4,000         4,187  

Societe Generale S.A.

 

6.750% due 04/06/2028 •(j)(k)

      200         184  

Springleaf Finance Corp.

 

5.625% due 03/15/2023 (n)

      800         798  

6.125% due 05/15/2022 (n)

      414         424  

6.875% due 03/15/2025

      183         182  

7.125% due 03/15/2026

      224         223  

Stichting AK Rabobank Certificaten

 

6.500% (j)

  EUR     370         513  

Tesco Property Finance PLC

 

6.052% due 10/13/2039

  GBP     1,698         2,654  

Toll Road Investors Partnership LP

 

0.000% due 02/15/2045 (h)

  $     4,887         1,211  

UBS Group Funding Switzerland AG

 

5.750% due 02/19/2022 •(j)(k)

  EUR     400         505  

Unigel Luxembourg S.A.

 

10.500% due 01/22/2024

  $     370         383  

Wand Merger Corp.

 

8.125% due 07/15/2023 (c)

      378         384  

WeWork Cos., Inc.

 

7.875% due 05/01/2025

      46         44  
       

 

 

 
            62,298  
       

 

 

 
INDUSTRIALS 20.8%

 

Air Canada Pass-Through Trust

 

3.700% due 07/15/2027

      14         13  

Altice Financing S.A.

 

7.500% due 05/15/2026 (n)

      2,000         1,939  

Altice France S.A.

 

6.000% due 05/15/2022 (n)

      500         504  

7.375% due 05/01/2026 (n)

      2,938         2,883  

Altice Luxembourg S.A.

 

7.250% due 05/15/2022

  EUR     440         518  

7.750% due 05/15/2022 (n)

  $     2,100         2,040  

Andeavor Logistics LP

 

3.500% due 12/01/2022

      6         6  

4.250% due 12/01/2027

      12         12  

Associated Materials LLC

 

9.000% due 01/01/2024

      3,100         3,263  

Bacardi Ltd.

 

4.450% due 05/15/2025

      100         100  

4.700% due 05/15/2028

      100         98  

5.150% due 05/15/2038

      100         95  

Baffinland Iron Mines Corp.

 

8.750% due 07/15/2026

      800         803  

BMC Software Finance, Inc.

 

8.125% due 07/15/2021 (n)

      930         952  

Caesars Resort Collection LLC

 

5.250% due 10/15/2025

      4         4  
 

 

50   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


 

June 30, 2018

 

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

Centene Escrow Corp.

 

5.375% due 06/01/2026

  $     108     $     110  

Charles River Laboratories International, Inc.

 

5.500% due 04/01/2026

      16         16  

Charter Communications Operating LLC

 

4.200% due 03/15/2028

      86         81  

Cheniere Corpus Christi Holdings LLC

 

5.875% due 03/31/2025

      100         104  

Cheniere Energy Partners LP

 

5.250% due 10/01/2025

      20         20  

Chesapeake Energy Corp.

 

5.598% (US0003M + 3.250%) due 04/15/2019 ~

      29         29  

Clear Channel Worldwide Holdings, Inc.

 

6.500% due 11/15/2022

      410         420  

7.625% due 03/15/2020

      2,010           2,006  

Cleveland-Cliffs, Inc.

 

4.875% due 01/15/2024

      22         21  

Community Health Systems, Inc.

 

5.125% due 08/01/2021 (n)

      850         790  

6.250% due 03/31/2023 (n)

      5,110         4,701  

8.625% due 01/15/2024 (c)

      150         151  

Continental Airlines Pass-Through Trust

 

7.707% due 10/02/2022 «

      226         241  

8.048% due 05/01/2022 «(n)

      360         380  

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

       

8.875% due 03/27/2022 ^(e)

      200         0  

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

      1,800         0  

CSN Islands Corp.

 

6.875% due 09/21/2019

      100         99  

CSN Resources S.A.

 

6.500% due 07/21/2020

      500         468  

CVS Pass-Through Trust

 

7.507% due 01/10/2032 (n)

      2,362         2,773  

Delta Air Lines Pass-Through Trust

 

7.750% due 06/17/2021

      318         335  

Diamond Resorts International, Inc.

 

10.750% due 09/01/2024 (n)

      1,600         1,724  

DriveTime Automotive Group, Inc.

 

8.000% due 06/01/2021

      1,500         1,522  

EI Group PLC

 

6.875% due 05/09/2025

  GBP     20         29  

Energizer Gamma Acquisition, Inc.

 

6.375% due 07/15/2026 (c)

  $     188         192  

Exela Intermediate LLC

 

10.000% due 07/15/2023

      74         76  

First Quantum Minerals Ltd.

 

6.500% due 03/01/2024

      924         894  

6.875% due 03/01/2026

      1,018         977  

7.000% due 02/15/2021

      380         384  

Flex Acquisition Co., Inc.

 

7.875% due 07/15/2026

      402         401  

Fresh Market, Inc.

 

9.750% due 05/01/2023 (n)

      3,490         2,234  

Frontier Finance PLC

 

8.000% due 03/23/2022

  GBP     2,900         3,826  

Full House Resorts, Inc.

 

8.575% due 01/31/2024 «

  $     199         190  

General Electric Co.

 

5.000% due 01/21/2021 •(j)

      96         95  

Hadrian Merger Sub, Inc.

 

8.500% due 05/01/2026

      20         19  

Harland Clarke Holdings Corp.

 

8.375% due 08/15/2022

      34         33  

HCA, Inc.

 

4.500% due 02/15/2027 (n)

      600         566  

Hilton Domestic Operating Co., Inc.

 

5.125% due 05/01/2026

      88         87  

iHeartCommunications, Inc.

 

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

      1,500         1,144  

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

      5,754         4,402  

IHS Markit Ltd.

 

4.000% due 03/01/2026

      2         2  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Intelsat Jackson Holdings S.A.

 

7.250% due 10/15/2020 (n)

  $     4,723     $       4,723  

9.750% due 07/15/2025

      74         78  

Intelsat Luxembourg S.A.

 

7.750% due 06/01/2021 (n)

      3,958         3,701  

8.125% due 06/01/2023 (n)

      966         785  

Intrepid Aviation Group Holdings LLC

 

6.875% due 02/15/2019

      7,981         7,991  

Live Nation Entertainment, Inc.

 

5.625% due 03/15/2026

      14         14  

Mallinckrodt International Finance S.A.

 

5.500% due 04/15/2025 (n)

      400         322  

Matterhorn Merger Sub LLC

 

8.500% due 06/01/2026

      90         87  

Metinvest BV

 

8.500% due 04/23/2026

      600         562  

Odebrecht Oil & Gas Finance Ltd.

 

0.000% due 07/30/2018 (h)(j)

      1,150         18  

Ortho-Clinical Diagnostics, Inc.

 

6.625% due 05/15/2022 (n)

      688         676  

Park Aerospace Holdings Ltd.

 

3.625% due 03/15/2021

      51         50  

4.500% due 03/15/2023

      103         98  

5.250% due 08/15/2022

      8         8  

5.500% due 02/15/2024

      22         22  

Petroleos Mexicanos

 

6.500% due 03/13/2027

      110         113  

6.750% due 09/21/2047

      30         29  

PetSmart, Inc.

 

5.875% due 06/01/2025

      70         54  

Pisces Midco, Inc.

 

8.000% due 04/15/2026

      113         109  

Pitney Bowes, Inc.

 

4.700% due 04/01/2023

      22         20  

Radiate Holdco LLC

 

6.875% due 02/15/2023

      40         39  

Rockpoint Gas Storage Canada Ltd.

 

7.000% due 03/31/2023

      4         4  

Russian Railways via RZD Capital PLC

 

7.487% due 03/25/2031

  GBP     100         166  

Sabine Pass Liquefaction LLC

 

5.875% due 06/30/2026

  $     1,500         1,611  

Safeway, Inc.

 

7.250% due 02/01/2031

      140         131  

Scientific Games International, Inc.

 

5.000% due 10/15/2025

      8         8  

Shelf Drilling Holdings Ltd.

 

8.250% due 02/15/2025

      23         23  

SoftBank Group Corp.

 

4.000% due 04/20/2023

  EUR     1,100         1,327  

Spirit Issuer PLC

 

6.582% due 12/28/2027

  GBP     1,501         2,030  

Standard Industries, Inc.

 

4.750% due 01/15/2028

  $     62         57  

Stars Group Holdings BV

 

7.000% due 07/15/2026 (c)

      138         140  

Sunoco LP

 

4.875% due 01/15/2023

      42         40  

T-Mobile USA, Inc.

 

4.750% due 02/01/2028

      12         11  

Teva Pharmaceutical Finance Netherlands BV

 

3.250% due 04/15/2022

  EUR     200         238  

Times Square Hotel Trust

 

8.528% due 08/01/2026

  $     4,088         4,778  

Unique Pub Finance Co. PLC

 

5.659% due 06/30/2027

  GBP     1,214         1,774  

7.395% due 03/28/2024

      800         1,171  

United Group BV

 

4.375% due 07/01/2022

  EUR     100         119  

4.875% due 07/01/2024

      100         119  

UPCB Finance Ltd.

 

3.625% due 06/15/2029

      120         136  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Valeant Pharmaceuticals International, Inc.

 

5.500% due 11/01/2025

  $     10     $     10  

6.500% due 03/15/2022

      55         57  

7.000% due 03/15/2024

      105         110  

ViaSat, Inc.

 

5.625% due 09/15/2025

      58         55  

VOC Escrow Ltd.

 

5.000% due 02/15/2028

      46         44  

Wind Tre SpA

 

2.625% due 01/20/2023

  EUR     200         197  

2.750% due 01/20/2024 ~

      200         195  
       

 

 

 
          78,822  
       

 

 

 
UTILITIES 4.8%

 

AT&T, Inc.

 

4.900% due 08/15/2037 (n)

  $     228         217  

5.150% due 02/15/2050

      306         286  

5.300% due 08/15/2058

      102         95  

Enable Midstream Partners LP

 

4.950% due 05/15/2028

      39         38  

Gazprom Neft OAO Via GPN Capital S.A.

 

4.375% due 09/19/2022

      200         196  

Gazprom OAO Via Gaz Capital S.A.

 

5.999% due 01/23/2021

      381         398  

6.510% due 03/07/2022 (n)

      3,400         3,613  

8.625% due 04/28/2034 (n)

      1,081         1,340  

9.250% due 04/23/2019

      100         104  

Odebrecht Drilling Norbe Ltd.

 

6.350% due 12/01/2021 (n)

      1,217         1,150  

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

 

7.350% due 12/01/2026 (d)

      2,128         1,058  

Petrobras Global Finance BV

 

5.299% due 01/27/2025

      7         7  

5.999% due 01/27/2028 (n)

      886         803  

6.125% due 01/17/2022 (n)

      84         86  

6.250% due 12/14/2026

  GBP     3,100         4,142  

6.625% due 01/16/2034

      200         257  

7.375% due 01/17/2027 (n)

  $     1,875         1,877  

Rio Oil Finance Trust

 

9.750% due 01/06/2027 (n)

      229         246  

Sprint Capital Corp.

 

6.900% due 05/01/2019 (n)

      1,000         1,023  

Sprint Communications, Inc.

 

7.000% due 08/15/2020 (n)

      1,100         1,141  

Sprint Corp.

 

7.625% due 03/01/2026

      177         181  

Vodafone Group PLC

 

4.125% due 05/30/2025

      44         44  
       

 

 

 
          18,302  
       

 

 

 

Total Corporate Bonds & Notes
(Cost $159,705)

          159,422  
       

 

 

 
CONVERTIBLE BONDS & NOTES 0.0%

 

INDUSTRIALS 0.0%

 

Caesars Entertainment Corp.

 

5.000% due 10/01/2024

      33         56  
       

 

 

 

Total Convertible Bonds & Notes
(Cost $61)

        56  
       

 

 

 
MUNICIPAL BONDS & NOTES 1.4%

 

ILLINOIS 0.2%

 

Chicago, Illinois General Obligation Bonds, Series 2014

 

6.314% due 01/01/2044

      50         51  

Chicago, Illinois General Obligation Bonds, Series 2015

 

7.375% due 01/01/2033

      120         134  

7.750% due 01/01/2042

      210         228  

Chicago, Illinois General Obligation Bonds, Series 2017

 

7.045% due 01/01/2029

      70         76  
 

 

See Accompanying Notes   ANNUAL REPORT   JUNE 30, 2018   51


Schedule of Investments PIMCO Income Opportunity Fund (Cont.)

 

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

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

 

6.725% due 04/01/2035

  $     25     $     27  

7.350% due 07/01/2035

      15         17  

Illinois State General Obligation Bonds, Series 2003

 

5.100% due 06/01/2033

      165         156  
       

 

 

 
          689  
       

 

 

 
IOWA 0.0%

 

Iowa Tobacco Settlement Authority Revenue Bonds, Series 2005

 

6.500% due 06/01/2023

      125         127  
       

 

 

 
WEST VIRGINIA 1.2%

 

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

 

0.000% due 06/01/2047 (h)

      28,100         1,740  

7.467% due 06/01/2047

      2,575         2,575  
       

 

 

 
          4,315  
       

 

 

 

Total Municipal Bonds & Notes
(Cost $4,757)

        5,131  
       

 

 

 
U.S. GOVERNMENT AGENCIES 3.3%

 

Fannie Mae

 

4.000% due 10/01/2040

      23         23  

5.641% (US0001M + 3.550%) due 07/25/2029 ~

      530         576  

7.841% (US0001M + 5.750%) due 07/25/2029 ~

      720         860  

Freddie Mac

 

0.000% due 04/25/2045 -
08/25/2046 (b)(h)(n)

      11,101         8,959  

0.100% due 05/25/2020 -
08/25/2046 (a)

      124,388         262  

0.200% due 04/25/2045 (a)

      3,595         4  

0.806% due 10/25/2020 ~(a)

      26,968         337  

7.241% (US0001M + 5.150%) due 10/25/2029 ~

      1,300         1,488  
       

 

 

 

Total U.S. Government Agencies
(Cost $12,291)

 

        12,509  
       

 

 

 
NON-AGENCY MORTGAGE-BACKED SECURITIES 37.4%

 

American Home Mortgage Investment Trust

 

2.361% due 03/25/2037 •

      4,349         2,927  

Banc of America Alternative Loan Trust

 

12.340% due 09/25/2035 ^•

      1,122         1,260  

Banc of America Funding Trust

 

3.119% due 12/20/2034 ~

      737         607  

3.696% due 10/20/2046 ^~

      590         473  

3.725% due 03/20/2036 ^~

      784         682  

3.777% due 12/20/2036 ~

      101         104  

Banc of America Mortgage Trust

 

3.608% due 09/25/2034 ~

      130         129  

3.622% due 10/20/2046 ^~

      79         52  

Bancorp Commercial Mortgage Trust

 

5.796% due 08/15/2032 ~(n)

      3,800         3,831  

Barclays Commercial Mortgage Securities Trust

 

7.073% due 08/15/2027 •(n)

      2,900         2,858  

Bayview Commercial Asset Trust

 

2.311% due 03/25/2037 •

      141         136  

BCAP LLC Trust

 

3.365% due 05/26/2037 ~

      3,517         3,039  

Bear Stearns Adjustable Rate Mortgage Trust

 

3.530% due 09/25/2034 ~

      88         85  

3.616% due 03/25/2035 ~

      130         127  

3.725% due 08/25/2047 ^~

      332         302  

3.750% due 09/25/2034 ~

      29         29  

3.783% due 06/25/2047 ^~

      231         214  

4.232% due 10/25/2036 ^~

      790         763  

Bear Stearns ALT-A Trust

 

2.251% due 06/25/2046 ^•(n)

      3,017           3,107  

2.791% due 01/25/2035 •

      354         355  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

3.453% due 05/25/2036 ^~

  $     812     $     752  

3.555% due 04/25/2035 ~

      301         284  

3.556% due 09/25/2034 ~

      300         298  

3.576% due 11/25/2036 ^~

      465         422  

3.731% due 05/25/2035 ~

      455         427  

3.737% due 11/25/2035 ~

      59         52  

3.737% due 08/25/2036 ^~

      472         327  

3.864% due 07/25/2035 ^~

      329         291  

3.911% due 08/25/2036 ^~(n)

      2,351         2,352  

BRAD Resecuritization Trust

 

2.185% due 03/12/2021 «

      2,719         127  

6.550% due 03/12/2021 «

      508         502  

CBA Commercial Small Balance Commercial Mortgage

 

5.540% due 01/25/2039 ^×

      1,339         1,122  

CD Mortgage Trust

 

5.688% due 10/15/2048 (n)

      4,893         2,471  

Chase Mortgage Finance Trust

 

5.500% due 11/25/2021 ^

      844         637  

6.000% due 03/25/2037 ^

      851         721  

Citigroup Commercial Mortgage Trust

 

5.800% due 12/10/2049 ~(n)

      1,698         1,163  

Citigroup Global Markets Mortgage Securities, Inc.

 

6.500% due 02/25/2029

      280         283  

Citigroup Mortgage Loan Trust

 

3.887% due 03/25/2037 ^~(n)

      1,353         1,147  

5.500% due 11/25/2035 ^

      577         553  

Citigroup/Deutsche Bank Commercial Mortgage Trust

 

5.398% due 12/11/2049 ~

      423         253  

Commercial Mortgage Loan Trust

 

6.254% due 12/10/2049 ~(n)

      2,423         1,506  

Commercial Mortgage Trust

 

6.285% due 07/10/2046 ~(n)

      2,170         2,234  

Countrywide Alternative Loan Trust

 

2.341% due 06/25/2037 ^•

      991         761  

2.441% due 05/25/2036 ^•

      1,741         958  

2.441% due 06/25/2036 ^•(n)

      1,404         916  

5.500% due 10/25/2035 ^

      297         271  

5.500% due 12/25/2035 ^(n)

      1,459         1,265  

5.750% due 05/25/2036 ^

      285         217  

6.000% due 11/25/2035 ^

      364         140  

6.000% due 04/25/2036 ^

      315         267  

6.000% due 04/25/2037 ^

      605         423  

6.500% due 09/25/2032 ^

      393         385  

6.500% due 07/25/2035 ^

      375         307  

6.500% due 06/25/2036 ^(n)

      486         380  

Countrywide Home Loan Mortgage Pass-Through Trust

 

3.182% due 03/25/2037 ^~

      1,184         1,010  

3.453% due 11/25/2035 ^~(n)

      1,763         1,586  

3.640% due 08/20/2035 ^~

      79         75  

3.679% due 08/25/2034 ^~

      45         43  

3.738% due 06/20/2035 ~

      177         172  

3.851% due 09/25/2047 ^~

      940         918  

3.961% due 03/25/2046 ^•

      2,808         1,801  

5.500% due 08/25/2035 ^

      79         72  

Credit Suisse First Boston Mortgage Securities Corp.

 

7.500% due 05/25/2032

      1,334           1,444  

Credit Suisse Mortgage Capital Certificates

 

2.460% due 11/30/2037 •(n)

      9,500         8,377  

Credit Suisse Mortgage Capital Mortgage-Backed Trust

 

2.691% due 07/25/2036 ^•

      536         193  

5.896% due 04/25/2036 ×

      447         316  

6.500% due 05/25/2036 ^

      371         235  

6.500% due 07/26/2036 ^

      471         262  

Debussy DTC PLC

 

5.930% due 07/12/2025 (n)

  GBP     7,000         9,192  

Deutsche ALT-A Securities, Inc.

 

2.241% due 02/25/2047 •

  $     583         483  

Deutsche ALT-B Securities, Inc.

 

6.250% due 07/25/2036 ^~

      85         77  

Deutsche Mortgage Securities, Inc. Mortgage Loan Trust

 

5.500% due 09/25/2033

      148         153  

Downey Savings & Loan Association Mortgage Loan Trust

 

2.265% due 04/19/2047 ^•

      357         298  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

EMF-NL BV

 

0.671% due 07/17/2041 •

  EUR     800     $     909  

Epic Drummond Ltd.

 

0.000% due 01/25/2022 •

      87         101  

Eurosail PLC

 

2.227% due 09/13/2045 •

  GBP     1,814         2,311  

2.877% due 09/13/2045 •

      1,314         1,661  

4.477% due 09/13/2045 •

      1,126         1,567  

First Horizon Alternative Mortgage Securities Trust

 

3.547% due 05/25/2036 ^~

  $     1,423           1,296  

3.645% due 08/25/2035 ^~

      67         13  

3.653% due 11/25/2036 ^~

      1,169         961  

3.838% due 02/25/2036 ~

      119         101  

6.250% due 11/25/2036 ^

      93         67  

First Horizon Mortgage Pass-Through Trust

 

3.619% due 07/25/2037 ^~

      46         38  

3.664% due 01/25/2037 ^~(n)

      691         628  

GE Commercial Mortgage Corp. Trust

 

5.606% due 12/10/2049 ~(n)

      2,484         2,471  

GMAC Mortgage Corp. Loan Trust

 

4.130% due 07/19/2035 ~

      54         52  

4.243% due 06/25/2034 ~

      151         149  

4.500% due 06/25/2034 ~

      83         82  

GreenPoint Mortgage Funding Trust

 

2.271% due 01/25/2037 •

      1,049         990  

GS Mortgage Securities Corp.

 

4.744% due 10/10/2032 ~

      3,400         3,071  

GS Mortgage Securities Trust

 

1.503% due 08/10/2043 ~(a)

      7,724         170  

6.196% due 08/10/2043 ~(n)

      2,100         2,115  

GSR Mortgage Loan Trust

 

2.541% due 07/25/2037 ^•

      380         200  

3.729% due 01/25/2036 ^~(n)

      1,008         1,001  

3.865% due 12/25/2034 ~

      29         29  

6.000% due 09/25/2034

      212         213  

HarborView Mortgage Loan Trust

 

2.275% due 02/19/2046 •(n)

      1,621         1,589  

2.295% due 11/19/2036 •(n)

      3,028         2,616  

2.645% due 06/19/2034 •

      237         230  

2.725% due 01/19/2035 •

      244         233  

3.947% due 08/19/2036 ^~

      205         167  

HomeBanc Mortgage Trust

 

2.341% due 03/25/2035 •

      280         248  

IM Pastor Fondo de Titulizacion de Activos

 

0.000% due 03/22/2044 •

  EUR     616         662  

Impac CMB Trust

 

2.611% due 11/25/2035 ^•

  $     317         264  

IndyMac Mortgage Loan Trust

 

2.551% due 04/25/2035 •

      168         161  

2.891% due 08/25/2034 •

      168         153  

2.951% due 09/25/2034 •

      400         375  

3.273% due 06/25/2037 ^~

      305         282  

3.589% due 05/25/2037 ^~(n)

      3,274         3,064  

3.591% due 11/25/2036 ^~(n)

      1,010         996  

3.686% due 05/25/2037 ^•

      8         2  

3.752% due 12/25/2036 ^~

      1,105         1,063  

JPMorgan Alternative Loan Trust

 

3.735% due 05/25/2036 ^~

      412         335  

5.500% due 11/25/2036 ^~

      7         5  

JPMorgan Chase Commercial Mortgage Securities Trust

 

5.768% due 01/12/2043 ~

      384         389  

JPMorgan Mortgage Trust

 

3.603% due 05/25/2036 ^~

      631         630  

3.653% due 10/25/2036 ^~

      45         41  

3.853% due 07/25/2035 ~

      96         97  

6.000% due 08/25/2037 ^

      601         494  

Landmark Mortgage Securities PLC

 

0.000% due 06/17/2038 •

  EUR     221         253  

0.851% due 06/17/2038 •

  GBP     579         754  

Lehman Mortgage Trust

 

5.763% due 04/25/2036 ~

  $     313         287  

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

      1,284         1,292  

MASTR Adjustable Rate Mortgages Trust

 

2.298% due 01/25/2047 ^•

      372         302  

3.693% due 10/25/2034 ~

      663         627  
 

 

52   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


 

June 30, 2018

 

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

Merrill Lynch Mortgage Trust

 

5.986% due 06/12/2050 ~(n)

  $     653     $     653  

Morgan Stanley Capital Trust

 

6.285% due 06/11/2049 ~

      356         360  

Morgan Stanley Mortgage Loan Trust

 

3.746% due 07/25/2035 ^~(n)

      1,505         1,408  

3.886% due 01/25/2035 ^~

      270         212  

5.750% due 12/25/2035 ^

      416         390  

6.000% due 08/25/2037 ^

      256         211  

Mortgage Equity Conversion Asset Trust

 

4.000% due 07/25/2060 «

      670         593  

Motel 6 Trust

 

9.000% due 08/15/2019 ~

      5,084         5,174  

Prime Mortgage Trust

 

2.441% due 06/25/2036 ^•

      3,443         2,179  

7.000% due 07/25/2034

      180         172  

Regal Trust

 

2.316% due 09/29/2031 •

      3         3  

Residential Accredit Loans, Inc. Trust

 

2.301% due 06/25/2037 •

      1,759         1,527  

5.500% due 04/25/2037

      107         96  

6.000% due 08/25/2035 ^

      564         530  

6.000% due 01/25/2037 ^

      495         465  

Residential Asset Securitization Trust

 

6.000% due 03/25/2037 ^

      473         318  

6.000% due 07/25/2037

      7,220           4,890  

Residential Funding Mortgage Securities, Inc. Trust

 

5.092% due 07/27/2037 ^~

      207         179  

6.000% due 06/25/2037 ^

      377         359  

Sequoia Mortgage Trust

 

3.912% due 01/20/2038 ^~

      275         262  

Structured Adjustable Rate Mortgage Loan Trust

 

3.583% due 08/25/2034 ~

      21         21  

3.771% due 01/25/2036 ^~

      1,066         833  

Structured Asset Mortgage Investments Trust

 

2.301% due 08/25/2036 ^•(n)

      2,217         2,024  

2.551% due 05/25/2045 •

      139         135  

Structured Asset Securities Corp. Mortgage Pass-Through Certificates

 

3.926% due 01/25/2034 ~

      345         348  

TBW Mortgage-Backed Trust

 

6.000% due 07/25/2036 ^

      313         245  

Theatre Hospitals PLC

 

4.536% due 10/15/2031 •

  GBP     239         307  

WaMu Mortgage Pass-Through Certificates Trust

 

2.395% due 07/25/2046 •(n)

  $     1,992         1,948  

3.061% due 11/25/2036 ^~

      311         302  

3.084% due 03/25/2037 ^~

      501         457  

3.404% due 07/25/2037 ^~

      1,201         1,110  

3.450% due 03/25/2033 ~

      76         77  

3.462% due 07/25/2037 ^~(n)

      2,609         2,210  

3.568% due 06/25/2037 ^~(n)

      1,549         1,463  

Washington Mutual Mortgage Pass-Through Certificates Trust

 

2.408% due 10/25/2046 ^•(n)

      481         423  

3.600% due 06/25/2033 ~

      67         68  

Wells Fargo Mortgage-Backed Securities Trust

 

2.591% due 07/25/2037 ^•

      193         174  

3.633% due 10/25/2036 ^~

      20         19  

3.682% due 09/25/2036 ^~

      19         19  

3.933% due 04/25/2036 ^~

      19         19  
       

 

 

 

Total Non-Agency Mortgage-Backed Securities (Cost $127,450)

 

        141,991  
       

 

 

 
ASSET-BACKED SECURITIES 37.8%

 

Access Financial Manufactured Housing Contract Trust

 

7.650% due 05/15/2021

      203         44  

Airspeed Ltd.

 

2.343% due 06/15/2032 •

      458         400  

American Money Management Corp. CLO Ltd.

 

9.307% due 12/09/2026 •

      1,200         1,223  

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

 

3.816% due 05/25/2034 •

      154         155  

4.941% due 08/25/2032 •

      857         853  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Asset-Backed Funding Certificates Trust

 

2.241% due 10/25/2036 •(n)

  $     5,986     $     5,730  

2.651% due 10/25/2033 •

      167         158  

2.751% due 03/25/2035 •(n)

      4,431         4,431  

Associates Manufactured Housing Pass-Through Certificates

 

7.150% due 03/15/2028 ~(n)

      1,343         1,473  

Bear Stearns Asset-Backed Securities Trust

 

1.982% due 09/25/2034 •

      558         541  

3.647% due 07/25/2036 ~

      467         329  

Bombardier Capital Mortgage Securitization Corp.

 

7.830% due 06/15/2030 ~

      3,549         1,424  

C-BASS CBO Corp.

 

2.564% due 09/06/2041 •

      7,846         838  

Conseco Finance Corp.

 

6.220% due 03/01/2030

      72         77  

6.530% due 02/01/2031 ~

      1,086         1,056  

7.050% due 01/15/2027

      45         46  

Conseco Finance Securitizations Corp.

 

7.770% due 09/01/2031

      784         859  

7.960% due 05/01/2031

      1,630         1,039  

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

      2,966         1,545  

9.163% due 03/01/2033 ~

      2,757         2,599  

Countrywide Asset-Backed Certificates

 

2.231% due 06/25/2035 •(n)

      8,082         7,406  

2.341% due 01/25/2037 •(n)

      15,575         14,834  

2.431% due 12/25/2036 ^•

      566         316  

2.520% due 08/25/2032 ^•

      345         327  

3.366% due 02/25/2035 •(n)

      2,313         2,343  

Countrywide Asset-Backed Certificates Trust

 

2.871% due 11/25/2034 •

      275         276  

4.693% due 10/25/2035 ~

      6         7  

Crecera Americas LLC

 

0.000% due 08/31/2020 •

      6,000         6,008  

Credit Suisse First Boston Mortgage Securities Corp.

 

3.141% due 02/25/2031 •

      1,492         1,498  

Credit-Based Asset Servicing & Securitization LLC

 

3.411% due 12/25/2035 •

      1,377         1,357  

Euromax ABS PLC

 

0.012% due 11/10/2095 •

  EUR     5,000         5,323  

Greenpoint Manufactured Housing

 

8.300% due 10/15/2026 ~

  $     542         583  

Home Equity Asset Trust

 

4.491% due 10/25/2033 •

      14         13  

Home Equity Loan Trust

 

2.431% due 04/25/2037 •(n)

      8,700         7,236  

Home Equity Mortgage Loan Asset-Backed Trust

 

2.331% due 04/25/2037 •(n)

      14,614           11,050  

2.411% due 04/25/2037 •

      4,708         4,240  

JPMorgan Mortgage Acquisition Trust

 

2.171% due 08/25/2036 •

      7         4  

2.281% due 03/25/2047 •

      1,849         1,791  

KGS-Alpha SBA COOF Trust

 

1.086% due 04/25/2038 «~(a)

      1,027         29  

Lehman ABS Mortgage Loan Trust

 

2.181% due 06/25/2037 •

      6,006         4,253  

Long Beach Mortgage Loan Trust

 

2.281% due 02/25/2036 •

      3,036         2,566  

2.361% due 05/25/2046 •

      3,364         1,495  

2.796% due 11/25/2035 •(n)

      4,593         3,667  

4.566% due 03/25/2032 •

      67         68  

Morgan Stanley ABS Capital, Inc. Trust

 

3.126% due 01/25/2035 •

      601         280  

Morgan Stanley Dean Witter Capital, Inc. Trust

 

3.516% due 02/25/2033 •

      278         278  

National Collegiate Commutation Trust

 

0.000% due 03/25/2038 •

    10,400         5,612  

NovaStar Mortgage Funding Trust

 

2.261% due 11/25/2036 •

      1,405         672  

Oakwood Mortgage Investors, Inc.

 

2.303% due 06/15/2032 •

      16         15  

Option One Mortgage Loan Trust

 

5.662% due 01/25/2037 ^

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

Origen Manufactured Housing Contract Trust

 

8.150% due 03/15/2032

  $     1,320     $     1,362  

Ownit Mortgage Loan Trust

 

3.384% due 10/25/2035

      2,219         1,404  

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

 

3.966% due 10/25/2034 •

      1,161         965  

Residential Asset Mortgage Products Trust

 

3.216% due 08/25/2033 •

      536         512  

Residential Asset Securities Corp. Trust

 

2.531% due 10/25/2035 •(n)

      3,526         3,225  

Saxon Asset Securities Trust

 

3.066% due 12/26/2034 •

      629         565  

Securitized Asset-Backed Receivables LLC Trust

 

2.321% due 02/25/2037 ^•

      370         220  

2.766% due 01/25/2035 •

      28         27  

SLM Student Loan Trust

 

0.000% due 01/25/2042 «(h)

      2         1,504  

SoFi Professional Loan Program LLC

 

0.000% due 01/25/2039 «(h)

      2,540         1,226  

0.000% due 09/25/2040 «(a)(h)

      1,094         656  

Soloso CDO Ltd.

 

2.651% due 10/07/2037 •

      1,300         1,079  

South Coast Funding Ltd.

 

2.585% due 01/06/2041 •

      41,426         11,185  

Specialty Underwriting & Residential Finance Trust

 

2.241% due 06/25/2037 •(n)

      5,570         4,097  

Structured Asset Investment Loan Trust

 

2.531% due 01/25/2036 •(n)

      5,796         5,600  

Structured Asset Securities Corp. Mortgage Loan Trust

 

2.391% due 06/25/2035 •

      291         286  

Talon Funding Ltd.

 

2.808% due 06/05/2035 •

      885         433  

UCFC Home Equity Loan Trust

 

7.750% due 04/15/2030 ~

      671         644  
       

 

 

 

Total Asset-Backed Securities (Cost $124,368)

      143,367  
       

 

 

 
SOVEREIGN ISSUES 3.9%

 

Argentina Government International Bond

 

2.260% due 12/31/2038 ×

  EUR     3,180         2,200  

3.375% due 01/15/2023

      100         106  

5.250% due 01/15/2028

      100         101  

6.250% due 11/09/2047

      100         91  

7.820% due 12/31/2033

      6,784         7,926  

22.844% (BADLARPP) due 10/04/2022 ~

  ARS     36         2  

34.188% (BADLARPP + 2.000%) due 04/03/2022 ~

      39,487         1,246  

34.194% (BADLARPP + 2.500%) due 03/11/2019 ~

      100         3  

34.660% (BADLARPP + 3.250%) due 03/01/2020 ~

      400         14  

40.000% (ARPP7DRR) due 06/21/2020 ~

      38,881         1,401  

Egypt Government International Bond

 

4.750% due 04/16/2026

  EUR     200         215  

5.625% due 04/16/2030

      200         210  

Peru Government International Bond

 

6.150% due 08/12/2032

  PEN     1,160     $     363  

6.350% due 08/12/2028

      250         80  

8.200% due 08/12/2026

      250         91  

Qatar Government International Bond

 

3.875% due 04/23/2023

  $     200         200  

Republic of Greece Government International Bond

 

4.750% due 04/17/2019

  EUR     200         241  

Venezuela Government International Bond

 

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

  $     165         44  

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

      198         57  
       

 

 

 

Total Sovereign Issues (Cost $17,504)

 

      14,591  
       

 

 

 
 

 

See Accompanying Notes   ANNUAL REPORT   JUNE 30, 2018   53


Schedule of Investments PIMCO Income Opportunity Fund (Cont.)

 

 

        SHARES         MARKET
VALUE
(000S)
 
COMMON STOCKS 2.1%

 

CONSUMER DISCRETIONARY 0.7%

 

Caesars Entertainment Corp. (f)

    219,638     $     2,350  

Tribune Media Co. ‘A’

      5,969         229  
       

 

 

 
          2,579  
       

 

 

 
ENERGY 0.8%

 

Dommo Energia S.A. «(f)(l)

      6,101,134         1,668  

Dommo Energia S.A. SP - ADR «

    1,108         41  

Forbes Energy Services Ltd. (f)(l)

    29,625         268  

Ocean Rig UDW, Inc. (f)

      35,500         1,047  
       

 

 

 
          3,024  
       

 

 

 
FINANCIALS 0.6%

 

TIG FinCo PLC «(l)

      1,377,983         2,182  
       

 

 

 
INDUSTRIALS 0.0%

 

Sierra Hamilton Holder LLC «(l)

    200,912         72  
       

 

 

 
UTILITIES 0.2%

 

Eneva S.A. (f)(l)

      4,214         13  

TexGen Power LLC «

      33,708         1,069  
       

 

 

 

Total Common Stocks (Cost $8,288)

 

        8,939  
       

 

 

 
WARRANTS 0.0%

 

INDUSTRIALS 0.0%

 

Sequa Corp. - Exp. 04/28/2024 «

    279,000         71  
       

 

 

 

Total Warrants (Cost $0)

          71  
       

 

 

 
        SHARES         MARKET
VALUE
(000S)
 
CONVERTIBLE PREFERRED SECURITIES 3.3%

 

BANKING & FINANCE 3.3%

 

Wells Fargo & Co.

 

7.500% (j)

      9,900     $     12,469  
       

 

 

 

Total Convertible Preferred Securities
(Cost $6,294)

 

        12,469  
       

 

 

 
PREFERRED SECURITIES 1.2%

 

INDUSTRIALS 1.2%

 

Sequa Corp.

 

9.000% «

      5,177         4,659  
       

 

 

 

Total Preferred Securities (Cost $5,177)

 

      4,659  
       

 

 

 
REAL ESTATE INVESTMENT TRUSTS 1.9%

 

REAL ESTATE 1.9%

 

VICI Properties, Inc. (l)

      340,104         7,020  
       

 

 

 

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

 

      7,020  
       

 

 

 
SHORT-TERM INSTRUMENTS 3.3%

 

REPURCHASE AGREEMENTS (m) 1.6%

 

          6,163  
       

 

 

 
        PRINCIPAL
AMOUNT
(000S)
           
SHORT-TERM NOTES 0.3%

 

Letras del Banco Central de la Republica Argentina

 

25.150% due 10/17/2018 (i)

  ARS     530         16  

25.600% due 07/18/2018 (i)

      524         18  

25.650% due 08/15/2018 (i)

      570         19  

25.700% due 07/18/2018 (i)

      3,241         110  

33.500% due 07/18/2018 (i)

      80         3  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Nigeria Open Market Operation Bills

 

15.432% due 10/25/2018 (i)

  NGN     70,560     $     188  

15.696% due 11/08/2018 (i)

      7,740         20  

15.703% due 10/25/2018 (i)

      50,100         133  

15.716% due 11/08/2018 (i)

      10,800         29  

15.737% due 11/08/2018 (i)

      122,000         324  

15.798% due 11/08/2018 (i)

      50,000         133  
       

 

 

 
          993  
       

 

 

 
ARGENTINA TREASURY BILLS 0.1%

 

9.357% due 09/14/2018 - 10/12/2018 (g)(h)

  ARS     6,374         219  

4.719% due 08/24/2018 - 09/14/2018 (g)(h)

  $     136         135  
       

 

 

 
          354  
       

 

 

 
NIGERIA TREASURY BILLS 0.5%

 

15.532% due 10/04/2018 - 11/29/2018 (g)(h)

  NGN     706,940         1,884  
       

 

 

 
U.S. TREASURY BILLS 0.8%

 

1.938% due 08/02/2018 - 10/04/2018 (g)(h)(q)

  $     3,143         3,130  
       

 

 

 
Total Short-Term Instruments
(Cost $12,674)

 

      12,524  
       

 

 

 
       
Total Investments in Securities
(Cost $502,160)

 

      540,360  
       

 

 

 
       
Total Investments 142.4%
(Cost $502,160)

 

  $     540,360  

Financial Derivative
Instruments (o)(p) (0.5)%

(Cost or Premiums, net $(8,332))

        (1,865
Other Assets and Liabilities, net (41.9)%

 

        (159,117
       

 

 

 
Net Assets 100.0%       $     379,378  
       

 

 

 
 

NOTES TO SCHEDULE OF INVESTMENTS:

 

*

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

^

Security is in default.

«

Security valued using significant unobservable inputs (Level 3).

 

All or a portion of this amount represent 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.

×

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

(a)

Interest only security.

(b)

Principal only security.

(c)

When-issued security.

(d)

Payment in-kind security.

(e)

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

(f)

Security did not produce income within the last twelve months.

(g)

Coupon represents a weighted average yield to maturity.

(h)

Zero coupon security.

(i)

Coupon represents a yield to maturity.

(j)

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

(k)

Contingent convertible security.

 

54   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


 

June 30, 2018

 

 

(l)  RESTRICTED SECURITIES:

 

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

Dommo Energia S.A.

         12/21/2017 - 12/26/2017     $ 159     $ 1,668       0.44

Eneva S.A.

         12/21/2017       18       13       0.00  

Forbes Energy Services Ltd.

         03/11/2014 - 07/31/2014       1,470       268       0.07  

Pinnacol Assurance 8.625% due 06/25/2034

         06/23/2014       2,900       3,011       0.79  

Sierra Hamilton Holder LLC

         07/31/2017       51       72       0.02  

TIG FinCo PLC

         04/02/2015 - 07/20/2017       1,846       2,182       0.58  

VICI Properties, Inc.

         03/03/2014 - 11/17/2017       4,976       7,020       1.85  
        

 

 

   

 

 

   

 

 

 
         $     11,420     $     14,234       3.75
        

 

 

   

 

 

   

 

 

 

 

BORROWINGS AND OTHER FINANCING TRANSACTIONS

 

(m)  REPURCHASE AGREEMENTS:

 

Counterparty   Lending
Rate
    Settlement
Date
    Maturity
Date
    Principal
Amount
    Collateralized By   Collateral
(Received)
    Repurchase
Agreements,
at Value
    Repurchase
Agreement
Proceeds
to be
Received(1)
 
FICC     1.500     06/29/2018       07/02/2018     $     1,663     U.S. Treasury Notes 2.125% due 08/15/2021   $ (1,697   $ 1,663     $ 1,663  
SAL     2.220       06/29/2018       07/02/2018       4,500     U.S. Treasury Notes 2.000% due 10/31/2022     (4,599     4,500       4,501  
           

 

 

   

 

 

   

 

 

 

Total Repurchase Agreements

  $     (6,296   $     6,163     $     6,164  
           

 

 

   

 

 

   

 

 

 

 

REVERSE REPURCHASE AGREEMENTS:

 

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

BPS

    2.890     05/29/2018       08/29/2018       $         (286   $ (287
    3.455       05/14/2018       08/14/2018       (7,839     (7,876

BRC

    3.326       06/01/2018       08/20/2018       (1,121     (1,124
    3.332       06/21/2018       09/21/2018       (8,163     (8,171
    3.343       06/01/2018       08/14/2018       (2,299     (2,306
    3.353       06/01/2018       07/16/2018       (7,485     (7,507
    3.353       06/01/2018       08/09/2018           (10,374         (10,404
    4.337       06/27/2017       TBD (3)       (1,682     (1,683

JML

    0.850       05/15/2018       08/15/2018       GBP      (1,901     (2,512
    2.550       06/18/2018       07/18/2018       $      (6,913     (6,920
    2.550       06/18/2018       07/18/2018       (511     (511

MSB

    4.041       09/15/2017       09/17/2018       (1,212     (1,214
    4.071       08/17/2017       08/17/2018       (5,187     (5,207

NOM

    2.670       05/23/2018       07/23/2018           (4,960     (4,975
    2.670       05/25/2018       07/25/2018       (3,436     (3,446

RBC

    2.500       01/18/2018       07/18/2018           (1,171     (1,184
    2.550       01/18/2018       07/18/2018       (2,590     (2,620
    3.450       03/12/2018       09/12/2018       (8,252     (8,340
    3.530       06/20/2018       09/20/2018       (2,169     (2,171

RDR

    2.520       05/30/2018       08/30/2018       (2,016     (2,021
    2.670       05/10/2018       08/10/2018       (1,009     (1,013

RTA

    2.538       01/16/2018       07/16/2018       (468     (473
    2.887       01/03/2018       07/03/2018       (7,549     (7,658
    3.016       02/02/2018       08/02/2018       (4,780     (4,840
    3.296       03/08/2018       09/07/2018       (2,275     (2,299
    3.435       06/22/2018       09/24/2018       (1,077     (1,078
    3.460       04/05/2018       10/05/2018       (3,774     (3,806
    3.511       04/23/2018       10/23/2018       (723     (728
    3.519       04/26/2018       10/26/2018       (4,931     (4,963
    3.519       06/18/2018       09/12/2018       (569     (575

SAL

    3.171       04/05/2018       10/05/2018       (3,464     (3,491

SOG

    2.600       04/11/2018       07/11/2018       (1,057     (1,063
    2.630       04/16/2018       07/16/2018       (7,435     (7,477
    2.690       04/24/2018       07/24/2018       (1,237     (1,243
    2.730       04/26/2018       07/24/2018       (1,536     (1,544
    2.730       06/06/2018       07/24/2018       (82     (82
    2.800       06/06/2018       09/06/2018       (7,224     (7,239
    2.810       06/07/2018       09/07/2018       (2,662     (2,667
    2.810       06/12/2018       09/12/2018       (885     (886

 

See Accompanying Notes   ANNUAL REPORT   JUNE 30, 2018   55


Schedule of Investments PIMCO Income Opportunity Fund (Cont.)

 

Counterparty   Borrowing
Rate(2)
    Settlement
Date
    Maturity
Date
    Amount
Borrowed(2)
    Payable for
Reverse
Repurchase
Agreements
 
    2.820 %       06/14/2018       09/14/2018     $     (2,559   $ (2,563
    3.612       01/22/2018       07/23/2018       (1,304     (1,312

UBS

    0.100       04/23/2018       07/23/2018       EUR    (1,186     (1,385
    0.950       06/18/2018       07/18/2018       GBP    (4,113     (5,430
    1.500       06/22/2018       07/23/2018       (2,665     (3,519
    2.560       06/13/2018       09/13/2018       $(212     (212
    2.780       06/11/2018       09/12/2018       (2,667     (2,671
    2.780       06/13/2018       09/13/2018       (1,134     (1,136
    2.860       06/05/2018       09/05/2018       (3,926     (3,934
    2.910       05/14/2018       08/14/2018       (2,959     (2,971
    3.321       04/05/2018       07/05/2018       (3,407     (3,435
    3.337       04/10/2018       07/10/2018       (4,766     (4,803
    3.362       04/23/2018       07/23/2018       (5,749     (5,787
         

 

 

 

Total Reverse Repurchase Agreements

 

    $     (172,762
         

 

 

 

 

BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY

 

The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral pledged/(received) as of June 30, 2018:

 

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

Global/Master Repurchase Agreement

 

BPS

  $ 0     $ (8,163   $ 0      $ (8,163   $ 10,768     $ 2,605  

BRC

    0       (31,195     0            (31,195         44,748           13,553  

FICC

    1,663       0       0        1,663       (1,697     (34

JML

    0       (9,943     0        (9,943     11,931       1,988  

MSB

    0       (6,421     0        (6,421     9,852       3,431  

NOM

    0       (8,421     0        (8,421     9,549       1,128  

RBC

    0       (14,315     0        (14,315     17,652       3,337  

RDR

    0       (3,034     0        (3,034     3,138       104  

RTA

    0       (26,420     0        (26,420     35,255       8,835  

SAL

        4,501       (3,491     0        1,010       (249     761  

SOG

    0       (26,076     0        (26,076     28,423       2,347  

UBS

    0       (35,283     0        (35,283     46,959       11,676  
 

 

 

   

 

 

   

 

 

        

Total Borrowings and Other Financing Transactions

  $     6,164     $     (172,762   $     0         
 

 

 

   

 

 

   

 

 

        

 

CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS

 

Remaining Contractual Maturity of the Agreements

 

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

Reverse Repurchase Agreements

 

Corporate Bonds & Notes

  $ 0     $ (38,354   $ (30,111   $ 0     $ (68,465

U.S. Government Agencies

    0       0       (6,093     0       (6,093

Non-Agency Mortgage-Backed Securities

    0       (11,160     (24,055     (10,071     (45,286

Asset-Backed Securities

    0       (22,860     (25,458     (4,600     (52,918
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Borrowings

  $     0     $     (72,374   $     (85,717   $     (14,671   $     (172,762
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Payable for reverse repurchase agreements and sale-buyback financing transactions

 

      $ (172,762
         

 

 

 

 

(n)

Securities with an aggregate market value of $223,144 have been pledged as collateral under the terms of the above master agreements as of June 30, 2018.

 

(1) 

Includes accrued interest.

(2) 

The average amount of borrowings outstanding during the period ended June 30, 2018 was $(203,741) at a weighted average interest rate of 2.484%. Average borrowings may include sale-buyback transactions and reverse repurchase agreements, if held during the period.

(3) 

Open maturity reverse repurchase agreement.

(4) 

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

 

56   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


 

June 30, 2018

 

 

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

 

SWAP AGREEMENTS:

 

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

 

Reference Entity   Fixed
Receive Rate
    Payment
Frequency
  Maturity
Date
    Implied
Credit Spread at
June 30, 2018(2)
    Notional
Amount(3)
    Premiums
Paid/(Received)
    Unrealized
Appreciation/
(Depreciation)
    Market
Value
    Variation Margin  
  Asset     Liability  

Frontier Communications Corp.

    5.000   Quarterly     06/20/2020       8.963   $ 4,200     $ (139   $ (139   $ (278   $ 0     $ (11

Sprint Corp.

    5.000     Quarterly     12/20/2021       2.482           1,000       22       60       82       0       (1
           

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
          $     (117   $     (79   $     (196   $     0     $     (12
           

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

INTEREST RATE SWAPS

 

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

Pay

 

1-Year BRL-CDI

    11.680   Maturity     01/04/2021     BRL     51,500     $ (252   $ 913     $ 661     $ 14     $ 0  

Pay

 

1-Year BRL-CDI

    15.590     Maturity     01/04/2021         20       1       0       1       0       0  

Pay

 

3-Month CAD Bank Bill

    3.300     Semi-Annual     06/19/2024     CAD     13,300       618       (145     473       0       (63

Receive

 

3-Month CAD Bank Bill

    3.500     Semi-Annual     06/20/2044         4,400       (154     (412     (566     44       0  

Pay

 

3-Month USD-LIBOR

    1.500     Semi-Annual     12/21/2021     $     18,000       154       (976     (822     0       (3

Pay

 

3-Month USD-LIBOR

    1.500     Semi-Annual     06/21/2027         22,000       (1,596     (949     (2,545     0       (21

Pay

 

3-Month USD-LIBOR

    2.000     Semi-Annual     06/20/2023         63,400       (2,639     (16     (2,655     0       (39

Pay

 

3-Month USD-LIBOR

    2.140     Semi-Annual     11/15/2022         73,400       0       (2,308     (2,308     0       (29

Pay

 

3-Month USD-LIBOR

    2.250     Semi-Annual     06/20/2028         52,200       (3,333     72       (3,261     0       (54

Pay

 

3-Month USD-LIBOR

    2.500     Semi-Annual     12/20/2027         9,100       152       (474     (322     0       (7

Receive

 

3-Month USD-LIBOR

    2.500     Semi-Annual     06/20/2038         45,200       1,041       2,510       3,551       44       0  

Receive

 

3-Month USD-LIBOR

    2.500     Semi-Annual     06/20/2048         25,500       2,291       241       2,532       41       0  

Pay

 

3-Month USD-LIBOR

    2.860     Semi-Annual     04/26/2023         200,000       (548     381       (167     0       (83

Pay

 

6-Month AUD-BBR-BBSW

    3.500     Semi-Annual     06/17/2025     AUD     5,200       129       86       215       0       0  

Receive(4)

 

6-Month EUR-EURIBOR

    1.250     Annual     09/19/2028     EUR     10,100       (141     (234     (375     0       (16

Receive(4)

 

6-Month GBP-LIBOR

    1.500     Semi-Annual     09/19/2028     GBP     17,050       392       (284     108       25       0  
             

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
          $ (3,885   $ (1,595   $ (5,480   $ 168     $ (315
             

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Swap Agreements

 

  $     (4,002   $     (1,674   $     (5,676   $     168     $     (327
             

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED SUMMARY

 

The following is a summary of the market value and variation margin of Exchange-Traded or Centrally Cleared Financial Derivative Instruments as of June 30, 2018:

 

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

Total Exchange-Traded or Centrally Cleared

  $     0     $     0     $     168     $     168       $     0     $     0     $     (327)     $     (327)  
 

 

 

   

 

 

   

 

 

   

 

 

     

 

 

   

 

 

   

 

 

   

 

 

 

 

Cash of $10,368 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of June 30, 2018. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information regarding master netting arrangements.

 

(1) 

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

(2) 

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

(3) 

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

(4) 

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

 

See Accompanying Notes   ANNUAL REPORT   JUNE 30, 2018   57


Schedule of Investments PIMCO Income Opportunity Fund (Cont.)

 

 

(p)  FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER

 

FORWARD FOREIGN CURRENCY CONTRACTS:

 

Counterparty

  

Settlement
Month

   

Currency to
be Delivered

   

Currency to
be Received

    Unrealized Appreciation/
(Depreciation)
 
  Asset     Liability  

BPS

     07/2018     EUR     22,885     $     26,544     $ 0     $ (182
     07/2018     PEN     1,929         591       3       0  
     07/2018     $     110     ARS     2,941       0       (10
     08/2018     ARS     570     $     27       8       0  

CBK

     07/2018     GBP     31,287         41,451       160       0  
     07/2018     $     3     ARS     85       0       0  
     07/2018         519     GBP     386       0       (9
     10/2018         34     ARS     1,020       0       (2
     11/2018     NGN     7,334     $     19       0       (1

GLM

     07/2018     BRL     872         226       1       0  
     07/2018     $     232     BRL     872       0       (7
     07/2018         192     EUR     162       0       (3
     07/2018         235     RUB     14,637       0       (1
     08/2018         338     EUR     290       1       0  

HUS

     07/2018     ARS     524     $     25       7       0  
     07/2018     EUR     1,226         1,431       0       (1
     07/2018     RUB     14,637         232       0       (1
     07/2018     $     3     ARS     74       0       0  
     08/2018         3,423     RUB     214,136       1       (33
     10/2018         5     ARS     150       0       0  

JPM

     10/2018     NGN     279,094     $     743       0       (19
     11/2018         535,519         1,423       0       (32

MSB

     07/2018     BRL     12,099         3,176       54       0  
     07/2018     $     3,211     BRL     12,099       0       (89
     08/2018     BRL     12,099     $     3,202       91       0  
     10/2018     NGN     41,371         110       0       (3

RYL

     07/2018     GBP     332         441       3       0  

SCX

     07/2018     BRL     10,018         2,732       147       0  
     07/2018     $     2,598     BRL     10,018       0       (13
     10/2018     NGN     84,245     $     224       0       (6
     11/2018         10,172         27       0       (1

SSB

     07/2018     $     27,879     EUR     23,949       89       0  
     08/2018     EUR     23,949     $     27,941       0       (87

UAG

     07/2018     $     41,298     GBP     31,233       0       (78
     08/2018     GBP     31,233     $     41,356       80       0  
     09/2018     $     77     RUB     4,834       0       0  
            

 

 

   

 

 

 

Total Forward Foreign Currency Contracts

 

      $     645     $     (578
            

 

 

   

 

 

 

 

SWAP AGREEMENTS:

 

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

 

Counterparty   Reference Entity   Fixed
Receive Rate
    Payment
Frequency
  Maturity
Date
    Implied
Credit Spread at
June 30, 2018(2)
    Notional
Amount(3)
    Premiums
Paid/(Received)
    Unrealized
Appreciation/
(Depreciation)
    Swap Agreements,
at Value
 
  Asset     Liability  
BOA  

Russia Government International Bond

    1.000   Quarterly     06/20/2024       1.621   $     400     $ (40   $ 27     $ 0     $ (13
BRC  

Russia Government International Bond

    1.000     Quarterly     06/20/2024       1.621       400       (46     33       0       (13
 

Russia Government International Bond

    1.000     Quarterly     09/20/2024       1.661       300       (25     14       0       (11
CBK  

Russia Government International Bond

    1.000     Quarterly     06/20/2024       1.621       500       (53     37       0       (16
 

Russia Government International Bond

    1.000     Quarterly     09/20/2024       1.661       300       (26     15       0       (11
GST  

Petrobras Global Finance BV

    1.000     Quarterly     09/20/2020       2.175       110       (16     13       0       (3
 

Russia Government International Bond

    1.000     Quarterly     03/20/2020       0.894       100       (19     19       0       0  
 

Russia Government International Bond

    1.000     Quarterly     06/20/2024       1.621       200       (23     17       0       (6
HUS  

Russia Government International Bond

    1.000     Quarterly     06/20/2019       0.804       130       (5     6       1       0  
 

Russia Government International Bond

    1.000     Quarterly     06/20/2024       1.621       130       (13     9       0       (4
 

Russia Government International Bond

    1.000     Quarterly     09/20/2024       1.661       69       (10     8       0       (2
JPM  

Russia Government International Bond

    1.000     Quarterly     06/20/2024       1.621       200       (18     11       0       (7
             

 

 

   

 

 

   

 

 

   

 

 

 
    $     (294   $     209     $     1     $     (86
             

 

 

   

 

 

   

 

 

   

 

 

 

 

58   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


 

June 30, 2018

 

 

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

 

Counterparty   Index/Tranches   Fixed
Receive Rate
    Payment
Frequency
  Maturity
Date
    Notional
Amount(3)
    Premiums
Paid/(Received)
    Unrealized
Appreciation/
(Depreciation)
    Swap Agreements,
at  Value(4)
 
  Asset     Liability  
DUB  

CMBX.NA.BBB-.6 Index

    3.000   Monthly     05/11/2063     $ 100     $ (12   $ 2     $ 0     $ (10
 

CMBX.NA.BBB-.9 Index

    3.000     Monthly     09/17/2058       100       (13     3       0       (10
FBF  

CMBX.NA.BBB-.6 Index

    3.000     Monthly     05/11/2063       100       (12     2       0       (10
 

CMBX.NA.BBB-.7 Index

    3.000     Monthly     01/17/2047       100       (10     3       0       (7
 

CMBX.NA.BBB-.8 Index

    3.000     Monthly     10/17/2057       500       (78     18       0       (60
GST  

ABX.HE.AA.6-1 Index

    0.320     Monthly     07/25/2045           15,182           (3,021     2,115       0       (906
 

ABX.HE.PENAAA.7-1 Index

    0.090     Monthly     08/25/2037       3,949       (765     126       0       (639
 

CMBX.NA.A.6 Index

    2.000     Monthly     05/11/2063       1,500       (76     69       0       (7
MYC  

CMBX.NA.BBB-.10 Index

    3.000     Monthly     11/17/2059       200       (25     7       0       (18
 

CMBX.NA.BBB-.9 Index

    3.000     Monthly     09/17/2058       200       (24     3       0       (21
           

 

 

   

 

 

   

 

 

   

 

 

 
          $ (4,036   $ 2,348     $ 0     $ (1,688
         

 

 

   

 

 

   

 

 

   

 

 

 

Total Swap Agreements

    $     (4,330   $     2,557     $     1     $     (1,774
 

 

 

   

 

 

   

 

 

   

 

 

 

 

FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER SUMMARY

 

The following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral pledged/(received) as of June 30, 2018:

 

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

BOA

  $ 0      $ 0      $ 0      $ 0       $ 0     $ 0      $ (13   $ (13   $ (13   $ 13     $ (0

BPS

    11        0        0        11         (192     0        0       (192     (181     0         (181

BRC

    0        0        0        0         0       0        (24     (24     (24     0       (24

CBK

    160        0        0        160         (12     0        (27     (39     121       (270     (149

DUB

    0        0        0        0         0       0        (20     (20     (20     0       (20

FBF

    0        0        0        0         0       0        (77     (77     (77     0       (77

GLM

    2        0        0        2         (11     0        0       (11     (9     0       (9

GST

    0        0        0        0         0       0          (1,561       (1,561       (1,561       1,903       342  

HUS

    8        0        1        9         (35     0        (6     (41     (32     0       (32

JPM

    0        0        0        0         (51     0        (7     (58     (58     0       (58

MSB

      145        0        0        145         (92     0        0       (92     53       0       53  

MYC

    0        0        0        0         0       0        (39     (39     (39     (595     (634

RYL

    3        0        0        3         0       0        0       0       3       0       3  

SCX

    147        0        0        147         (20     0        0       (20     127       (60     67  

SSB

    89        0        0        89         (87     0        0       (87     2       0       2  

UAG

    80        0        0        80         (78     0        0       (78     2       0       2  
 

 

 

    

 

 

    

 

 

    

 

 

     

 

 

   

 

 

    

 

 

   

 

 

       

Total Over the Counter

  $   645      $   0      $   1      $   646       $   (578   $   0      $   (1,774   $   (2,352      
 

 

 

    

 

 

    

 

 

    

 

 

     

 

 

   

 

 

    

 

 

   

 

 

       

 

(q)

Securities with an aggregate market value of $1,916 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of June 30, 2018.

 

(1) 

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

(2) 

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

(3) 

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

(4) 

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

(5) 

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

 

See Accompanying Notes   ANNUAL REPORT   JUNE 30, 2018   59


Schedule of Investments PIMCO Income Opportunity Fund (Cont.)

 

 

FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS

 

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

 

Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of June 30, 2018:

 

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

Financial Derivative Instruments - Assets

 

Exchange-traded or centrally cleared

 

Swap Agreements

  $ 0     $ 0     $ 0     $ 0     $ 168     $ 168  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Over the counter

 

Forward Foreign Currency Contracts

  $ 0     $ 0     $ 0     $ 645     $ 0     $ 645  

Swap Agreements

    0       1       0       0       0       1  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 1     $ 0     $ 645     $ 0     $ 646  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $     0     $     1     $     0     $     645     $     168     $     814  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Financial Derivative Instruments - Liabilities

 

Exchange-traded or centrally cleared

 

Swap Agreements

  $ 0     $ 12     $ 0     $ 0     $ 315     $ 327  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Over the counter

 

Forward Foreign Currency Contracts

  $ 0     $ 0     $ 0     $ 578     $ 0     $ 578  

Swap Agreements

    0       1,774       0       0       0       1,774  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 1,774     $ 0     $ 578     $ 0     $ 2,352  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $     0     $     1,786     $     0     $     578     $     315     $     2,679  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

The effect of Financial Derivative Instruments on the Statements of Operations for the period ended June 30, 2018:

 

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

Net Realized Gain (Loss) on Financial Derivative Instruments

 

Exchange-traded or centrally cleared

 

Swap Agreements

  $ 0     $ 257     $ 0     $ 0     $ 430     $ 687  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Over the counter

           

Forward Foreign Currency Contracts

  $ 0     $ 0     $ 0     $ 128     $ 0     $ 128  

Swap Agreements

    0       756       0       0       (13     743  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 756     $ 0     $ 128     $ (13   $ 871  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $     0     $     1,013     $     0     $     128     $     417     $     1,558  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

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

 

Exchange-traded or centrally cleared

 

Swap Agreements

  $ 0     $ (187   $ 0     $ 0     $ (4,177   $ (4,364
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Over the counter

           

Forward Foreign Currency Contracts

  $ 0     $ 0     $ 0     $ 633     $ 0     $ 633  

Swap Agreements

    0       1,429       0       0       0       1,429  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 1,429     $ 0     $ 633     $ 0     $ 2,062  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $     0     $     1,242     $     0     $     633     $     (4,177   $     (2,302
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

60   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


 

June 30, 2018

 

 

FAIR VALUE MEASUREMENTS

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2018 in valuing the Fund’s assets and liabilities:

 

Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
06/30/2018
 

Investments in Securities, at Value

 

Loan Participations and Assignments

  $ 99     $ 17,043     $ 469     $ 17,611  

Corporate Bonds & Notes

 

Banking & Finance

    0       56,492           5,806       62,298  

Industrials

    0       78,011       811       78,822  

Utilities

    0       18,302       0       18,302  

Convertible Bonds & Notes

 

Industrials

    0       56       0       56  

Municipal Bonds & Notes

 

Illinois

    0       689       0       689  

Iowa

    0       127       0       127  

West Virginia

    0       4,315       0       4,315  

U.S. Government Agencies

    0           12,509       0           12,509  

Non-Agency Mortgage-Backed Securities

    0           140,769       1,222           141,991  

Asset-Backed Securities

    0       139,952       3,415       143,367  

Sovereign Issues

    0       14,591       0       14,591  

Common Stocks

 

Consumer Discretionary

        2,579       0       0       2,579  

Energy

    1,315       0       1,709       3,024  

Financials

    0       0       2,182       2,182  

Industrials

    0       0       72       72  

Utilities

    13       0       1,069       1,082  

Warrants

 

Industrials

    0       0       71       71  

Convertible Preferred Securities

 

Banking & Finance

        12,469       0       0       12,469  

Preferred Securities

 

Industrials

    0       0       4,659       4,659  
Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
06/30/2018
 

Real Estate Investment Trusts

       

Real Estate

  $ 7,020     $ 0     $ 0     $ 7,020  

Short-Term Instruments

       

Repurchase Agreements

    0       6,163       0       6,163  

Short-Term Notes

    0       993       0       993  

Argentina Treasury Bills

    0       354       0       354  

Nigeria Treasury Bills

    0       1,884       0       1,884  

U.S. Treasury Bills

    0       3,130       0       3,130  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

  $ 23,495     $ 495,380     $ 21,485     $ 540,360  
 

 

 

   

 

 

   

 

 

   

 

 

 

Financial Derivative Instruments - Assets

 

Exchange-traded or centrally cleared

    0       168       0       168  

Over the counter

    0       646       0       646  
 

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 814     $ 0     $ 814  
 

 

 

   

 

 

   

 

 

   

 

 

 

Financial Derivative Instruments - Liabilities

 

Exchange-traded or centrally cleared

    0       (327     0       (327

Over the counter

    0       (2,352     0       (2,352
 

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ (2,679   $ 0     $ (2,679
 

 

 

   

 

 

   

 

 

   

 

 

 

Total Financial Derivative Instruments

  $ 0     $ (1,865   $ 0     $ (1,865
 

 

 

   

 

 

   

 

 

   

 

 

 

Totals

  $     23,495     $     493,515     $     21,485     $     538,495  
 

 

 

   

 

 

   

 

 

   

 

 

 
 

 

There were assets and liabilities valued at $12,737 transferred from Level 2 to Level 1 during the period ended June 30, 2018. There were no significant assets and liabilities transferred from Level 1 to Level 2 during the period ended June 30, 2018.

 

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended June 30, 2018:

 

Category and Subcategory   Beginning
Balance
at 06/30/2017
    Net
Purchases
    Net
Sales
    Accrued
Discounts/
(Premiums)
    Realized
Gain/(Loss)
    Net Change in
Unrealized
Appreciation/
(Depreciation)(1)
    Transfers into
Level 3
    Transfers out
of Level 3
    Ending
Balance
at 06/30/2018
    Net Change in
Unrealized
Appreciation/
(Depreciation)
on Investments
Held at
06/30/2018(1)
 

Investments in Securities, at Value

 

Loan Participations and Assignments

  $ 436     $ 25     $ (40   $ 10     $ (189   $ 147     $ 469     $ (389   $ 469     $ 0  

Corporate Bonds & Notes

 

Banking & Finance

    5,868       0       0       12       0       (74     0       0       5,806       (74

Industrials

    6,476       196       (2,829     0       29       144       621       (3,826     811       (5

Utilities

    44       1       (63     0       (138     156       0       0       0       0  

Non-Agency Mortgage-Backed Securities

    1,437       0       (200     6       23       (44     0       0       1,222       (42

Asset-Backed Securities

    8,243       619       0       222       0       (56     0       (5,613     3,415       (703

Common Stocks

 

Energy

    0       159       0       0       0       1,550       0       0       1,709         1,550  

Financials

    491       1,286       0       0       0       405       0       0       2,182       405  

Industrials

    0       51       0       0       0       21       0       0       72       21  

Utilities

    0       1,069       0       0       0       0       0       0       1,069       0  

Warrants

 

Industrials

    131       0       0       0       0       (60     0       0       71       (60

Preferred Securities

 

Industrials

    5,050       0       0       0       0       (391     0       0       4,659       (391
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Totals

  $   28,176     $   3,406     $   (3,132   $   250     $   (275   $   1,798     $   1,090     $   (9,828   $   21,485     $ 701  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

See Accompanying Notes   ANNUAL REPORT   JUNE 30, 2018   61


Schedule of Investments PIMCO Income Opportunity Fund (Cont.)

 

June 30, 2018

 

 

The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:

 

Category and Subcategory   Ending
Balance
at 06/30/2018
     Valuation
Technique
   Unobservable
Inputs
   Input Value(s)
(% Unless
Noted
Otherwise)
 

Investments in Securities, at Value

 

Loan Participations and Assignments

  $ 469     

Third Party Vendor

  

Broker Quote

     102.000  

Corporate Bonds & Notes

          

Banking & Finance

    3,011     

Reference Instrument

  

OAS Spread

     525.729 bps  
    2,795     

Reference Instrument

  

Spread Movement

     24.000 bps  

Industrials

    190     

Reference Instrument

  

Yield

     10.153  
    621     

Third Party Vendor

  

Broker Quote

     105.620-107.060  

Non-Agency Mortgage-Backed Securities

    629     

Proxy Pricing

  

Base Price

     4.700-100.250  
    593     

Third Party Vendor

  

Broker Quote

     88.470  

Asset-Backed Securities

    3,415     

Proxy Pricing

  

Base Price

     2.780-75,000.000  

Common Stocks

          

Energy

    1,709     

Other Valuation Techniques(2)

  

     —    

Financials

    2,182     

Discounted Cash Flow

  

Discounted Rate

     $        1.200  

Industrials

    72     

Other Valuation Techniques(2)

  

     —    

Common Stocks

          

Utilities

    1,069     

Indicative Market Quotation

  

Broker Quote

     $      35.500  

Warrants

          

Industrials

    71     

Other Valuation Techniques(2)

  

     —    

Preferred Securities

          

Industrials

    4,659     

Indicative Market Quotation

  

Broker Quote

     $    900.000  
 

 

 

          

Total

  $     21,485           
 

 

 

          

 

(1)  

Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at June 30, 2018 may be due to an investment no longer held or categorized as Level 3 at period end.

(2) 

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

 

62   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


Schedule of Investments PIMCO Strategic Income Fund, Inc.

 

June 30, 2018

 

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

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
INVESTMENTS IN SECURITIES 383.3%

 

LOAN PARTICIPATIONS AND ASSIGNMENTS 2.4%

 

Avantor, Inc.

 

6.094% (LIBOR03M + 4.000%) due 11/21/2024 ~

  $     50     $     50  

California Resources Corp.

 

6.838% (LIBOR03M + 4.750%) due 12/31/2022 ~

      50         51  

Community Health Systems, Inc.

 

5.557% (LIBOR03M + 3.250%) due 01/27/2021 ~

      1,290         1,261  

Core & Main LP

 

5.211% - 5.300% (LIBOR03M + 3.000%) due 08/01/2024 ~

      20         20  

Dubai World

 

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

      1,899         1,797  

Forbes Energy Services LLC

 

5.000% - 7.000% due 04/13/2021

      58         59  

Frontier Communications Corp.

 

5.850% (LIBOR03M + 3.750%) due 06/15/2024 ~

      298         297  

iHeartCommunications, Inc.

 

TBD% - 9.052% due 01/30/2019 ^(d)

    1,600         1,226  

McDermott International, Inc.

 

7.094% (LIBOR03M + 5.000%) due 05/12/2025 ~

      409         412  

MH Sub LLC

 

5.835% (LIBOR03M + 3.750%) due 09/13/2024 ~

      60         60  

PetSmart, Inc.

 

5.010% (LIBOR03M + 3.000%) due 03/11/2022 ~

      200         166  

Ply Gem Industries, Inc.

 

6.089% (LIBOR03M + 3.750%) due 04/12/2025 ~

      100         100  

Sequa Mezzanine Holdings LLC

 

7.046% (LIBOR03M + 5.000%) due 11/28/2021 ~

      119         119  

11.099% (LIBOR03M + 9.000%) due 04/28/2022 «~

      1,350         1,377  

SS&C Technologies, Inc.

 

4.594% (LIBOR03M + 2.500%) due 04/16/2025 ~

      278         279  

Stars Group Holdings BV

 

TBD% due 07/28/2025

      100         99  

Wand Merger Corp.

 

TBD% due 04/27/2019

      200         198  

West Corp.

 

6.094% (LIBOR03M + 4.000%) due 10/10/2024 ~

      35         35  
       

 

 

 

Total Loan Participations and Assignments
(Cost $7,859)

 

        7,606  
       

 

 

 
CORPORATE BONDS & NOTES 27.4%

 

BANKING & FINANCE 11.4%

 

Ally Financial, Inc.

 

8.000% due 11/01/2031

      3         3  

Ambac LSNI LLC

 

7.337% due 02/12/2023 ~

      140         142  

Ardonagh Midco PLC

 

8.375% due 07/15/2023

  GBP     700         937  

Athene Holding Ltd.

 

4.125% due 01/12/2028

  $     28         26  

Avolon Holdings Funding Ltd.

 

5.500% due 01/15/2023

      90         90  

AXA Equitable Holdings, Inc.

 

4.350% due 04/20/2028

      68         65  

5.000% due 04/20/2048

      40         37  

Barclays Bank PLC

 

7.625% due 11/21/2022 (i)(l)

      800         863  

14.000% due 06/15/2019 •(h)

  GBP     1,300         1,900  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Barclays PLC

 

3.250% due 01/17/2033

  GBP     100     $     121  

5.875% due 09/15/2024 •(h)(i)

      1,100         1,384  

7.250% due 03/15/2023 •(h)(i)

      1,000         1,358  

Brookfield Finance, Inc.

 

3.900% due 01/25/2028

  $     48         46  

4.700% due 09/20/2047

      110         104  

Cantor Fitzgerald LP

 

7.875% due 10/15/2019 (l)

      930         973  

CIT Group, Inc.

 

4.125% due 03/09/2021

      32         32  

5.250% due 03/07/2025

      28         28  

Deutsche Bank AG

 

4.250% due 10/14/2021 (l)

      3,200         3,153  

Emerald Bay S.A.

 

0.000% due 10/08/2020 (g)

  EUR     15         16  

Equinix, Inc.

 

2.875% due 03/15/2024

      100         115  

2.875% due 02/01/2026

      100         111  

Exeter Finance Corp.

 

9.750% due 05/20/2019 «

  $     2,400         2,396  

Fortress Transportation & Infrastructure Investors LLC

 

6.750% due 03/15/2022 (l)

      166         170  

Freedom Mortgage Corp.

 

8.250% due 04/15/2025

      52         51  

HSBC Holdings PLC

 

6.500% due 03/23/2028 •(h)(i)

      300         288  

Hudson Pacific Properties LP

 

3.950% due 11/01/2027

      18         17  

Hunt Cos., Inc.

 

6.250% due 02/15/2026

      14         13  

iStar, Inc.

 

4.625% due 09/15/2020

      7         7  

5.250% due 09/15/2022

      27         26  

Kennedy-Wilson, Inc.

 

5.875% due 04/01/2024

      36         35  

Life Storage LP

 

3.875% due 12/15/2027

      16         15  

LoanCore Capital Markets LLC

 

6.875% due 06/01/2020 (l)

      1,000         1,013  

Meiji Yasuda Life Insurance Co.

 

5.100% due 04/26/2048 •

      200         202  

MetLife, Inc.

 

5.875% due 03/15/2028 •(h)

      50         51  

Nationstar Mortgage LLC

 

6.500% due 07/01/2021

      386         386  

Navient Corp.

 

5.875% due 03/25/2021 (l)

      1,009         1,028  

6.500% due 06/15/2022

      44         45  

Oppenheimer Holdings, Inc.

 

6.750% due 07/01/2022

      26         27  

Pinnacol Assurance

 

8.625% due 06/25/2034 «(j)

      2,600         2,699  

Reckson Operating Partnership LP

 

7.750% due 03/15/2020 (l)

      4,500           4,809  

Royal Bank of Scotland Group PLC

 

8.625% due 08/15/2021 •(h)(i)

      1,000         1,065  

Santander UK Group Holdings PLC

 

6.750% due 06/24/2024 •(h)(i)

  GBP     2,100         2,870  

Sberbank of Russia Via SB Capital S.A.

 

6.125% due 02/07/2022

  $     2,000         2,094  

Spirit Realty LP

 

4.450% due 09/15/2026 (l)

      3,300         3,170  

Springleaf Finance Corp.

 

5.625% due 03/15/2023 (l)

      700         698  

6.125% due 05/15/2022 (l)

      208         213  

6.875% due 03/15/2025

      174         173  

7.125% due 03/15/2026

      224         224  

Unigel Luxembourg S.A.

 

10.500% due 01/22/2024

      300         310  

Wand Merger Corp.

 

8.125% due 07/15/2023 (c)

      314         319  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

WeWork Cos., Inc.

 

7.875% due 05/01/2025

  $     40     $     39  
       

 

 

 
            35,957  
       

 

 

 
INDUSTRIALS 12.7%

 

Air Canada Pass-Through Trust

 

3.700% due 07/15/2027

      12         11  

Altice Financing S.A.

 

6.625% due 02/15/2023 (l)

      420         415  

Andeavor Logistics LP

 

3.500% due 12/01/2022

      6         6  

4.250% due 12/01/2027

      10         10  

Associated Materials LLC

 

9.000% due 01/01/2024

      2,700         2,842  

Bacardi Ltd.

 

4.450% due 05/15/2025 (l)

      100         100  

4.700% due 05/15/2028 (l)

      100         98  

5.150% due 05/15/2038

      100         95  

Baffinland Iron Mines Corp.

 

8.750% due 07/15/2026

      700         703  

BMC Software Finance, Inc.

 

8.125% due 07/15/2021

      74         76  

Caesars Resort Collection LLC

 

5.250% due 10/15/2025

      4         4  

Centene Escrow Corp.

 

5.375% due 06/01/2026

      86         87  

Charles River Laboratories International, Inc.

 

5.500% due 04/01/2026

      14         14  

Charter Communications Operating LLC

 

4.200% due 03/15/2028

      74         69  

Cheniere Energy Partners LP

 

5.250% due 10/01/2025

      18         18  

Clear Channel Worldwide Holdings, Inc.

 

6.500% due 11/15/2022 (l)

      340         348  

7.625% due 03/15/2020 (l)

      1,672         1,668  

Cleveland-Cliffs, Inc.

 

4.875% due 01/15/2024

      18         17  

Community Health Systems, Inc.

 

5.125% due 08/01/2021 (l)

      530         493  

6.250% due 03/31/2023 (l)

      4,065         3,740  

8.625% due 01/15/2024 (c)

      150         151  

CSN Islands Corp.

 

6.875% due 09/21/2019

      100         99  

CSN Resources S.A.

 

6.500% due 07/21/2020

      400         374  

CVS Pass-Through Trust

 

7.507% due 01/10/2032

      787         924  

EI Group PLC

 

6.875% due 05/09/2025

  GBP     620         906  

Energizer Gamma Acquisition, Inc.

 

6.375% due 07/15/2026 (c)

  $     156         159  

Exela Intermediate LLC

 

10.000% due 07/15/2023

      65         67  

First Quantum Minerals Ltd.

 

6.500% due 03/01/2024 (l)

      766         741  

6.875% due 03/01/2026 (l)

      844         810  

7.000% due 02/15/2021 (l)

      316         320  

Flex Acquisition Co., Inc.

 

7.875% due 07/15/2026

      332         332  

Frontier Finance PLC

 

8.000% due 03/23/2022

  GBP     2,600         3,430  

Full House Resorts, Inc.

 

8.575% due 01/31/2024 «

  $     199         190  

General Electric Co.

 

5.000% due 01/21/2021 •(h)

      78         77  

Hadrian Merger Sub, Inc.

 

8.500% due 05/01/2026

      20         19  

Harland Clarke Holdings Corp.

 

8.375% due 08/15/2022

      28         28  

iHeartCommunications, Inc.

 

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

      5,770         4,414  

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

      1,200         918  
 

 

See Accompanying Notes   ANNUAL REPORT   JUNE 30, 2018   63


Schedule of Investments PIMCO Strategic Income Fund, Inc. (Cont.)

 

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

IHS Markit Ltd.

 

4.000% due 03/01/2026

  $     3     $     3  

Intelsat Jackson Holdings S.A.

 

7.250% due 10/15/2020 (l)

      3,970         3,970  

9.750% due 07/15/2025

      64         68  

Kinder Morgan, Inc.

 

5.300% due 12/01/2034 (l)

      1,500         1,481  

7.750% due 01/15/2032 (l)

      4,500           5,497  

Live Nation Entertainment, Inc.

 

5.625% due 03/15/2026

      12         12  

Matterhorn Merger Sub LLC

 

8.500% due 06/01/2026

      70         68  

Metinvest BV

 

8.500% due 04/23/2026

      600         562  

Park Aerospace Holdings Ltd.

 

3.625% due 03/15/2021

      44         43  

4.500% due 03/15/2023

      88         84  

5.250% due 08/15/2022

      7         7  

5.500% due 02/15/2024

      20         20  

Petroleos Mexicanos

 

6.500% due 03/13/2027

      90         92  

6.750% due 09/21/2047

      20         19  

Pisces Midco, Inc.

 

8.000% due 04/15/2026

      95         92  

Pitney Bowes, Inc.

 

4.700% due 04/01/2023

      20         18  

Radiate Holdco LLC

 

6.875% due 02/15/2023

      40         39  

Rockpoint Gas Storage Canada Ltd.

 

7.000% due 03/31/2023

      4         4  

Scientific Games International, Inc.

 

5.000% due 10/15/2025

      7         7  

Shelf Drilling Holdings Ltd.

 

8.250% due 02/15/2025

      19         19  

Sprint Spectrum Co. LLC

 

4.738% due 09/20/2029

      200         199  

Standard Industries, Inc.

 

4.750% due 01/15/2028

      46         42  

Stars Group Holdings BV

 

7.000% due 07/15/2026 (c)

      94         95  

Sunoco LP

 

4.875% due 01/15/2023

      36         35  

T-Mobile USA, Inc.

 

4.750% due 02/01/2028

      11         10  

Teva Pharmaceutical Finance Netherlands BV

 

3.250% due 04/15/2022

  EUR     200         238  

UAL Pass-Through Trust

 

6.636% due 01/02/2024

  $     1,453         1,530  

UPCB Finance Ltd.

 

3.625% due 06/15/2029

  EUR     110         124  

Valeant Pharmaceuticals International, Inc.

 

5.500% due 11/01/2025

  $     10         10  

6.500% due 03/15/2022

      49         51  

7.000% due 03/15/2024 (l)

      244         256  

ViaSat, Inc.

 

5.625% due 09/15/2025

      50         47  

VOC Escrow Ltd.

 

5.000% due 02/15/2028

      40         38  

Wind Tre SpA

 

2.625% due 01/20/2023

  EUR     200         197  

2.750% due 01/20/2024 ~

      200         195  
       

 

 

 
            39,945  
       

 

 

 
UTILITIES 3.3%

 

AT&T, Inc.

 

4.900% due 08/15/2037 (l)

  $     198         188  

5.150% due 02/15/2050

      268         251  

5.300% due 08/15/2058

      90         84  

Enable Midstream Partners LP

 

4.950% due 05/15/2028

      33         32  

Gazprom Neft OAO Via GPN Capital S.A.

 

6.000% due 11/27/2023

      5,600         5,845  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Gazprom OAO Via Gaz Capital S.A.

 

8.625% due 04/28/2034

  $     1,710     $     2,120  

Odebrecht Offshore Drilling Finance Ltd.

 

6.720% due 12/01/2022

      1,269         1,151  

Petrobras Global Finance BV

 

5.999% due 01/27/2028

      16         15  

6.125% due 01/17/2022 (l)

      76         77  

7.375% due 01/17/2027 (l)

      424         425  

Sprint Corp.

 

7.625% due 03/01/2026 (l)

      151         154  

Vodafone Group PLC

 

4.125% due 05/30/2025

      36         36  
       

 

 

 
          10,378  
       

 

 

 

Total Corporate Bonds & Notes (Cost $85,222)

      86,280  
       

 

 

 
MUNICIPAL BONDS & NOTES 1.1%

 

ILLINOIS 0.1%

 

Chicago, Illinois General Obligation Bonds, Series 2014

 

6.314% due 01/01/2044

      50         51  

Chicago, Illinois General Obligation Bonds, Series 2017

 

7.045% due 01/01/2029

      70         76  

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

 

6.725% due 04/01/2035

      15         16  

7.350% due 07/01/2035

      10         11  

Illinois State General Obligation Bonds, Series 2003

 

5.100% due 06/01/2033

      145         138  
       

 

 

 
          292  
       

 

 

 
WEST VIRGINIA 1.0%

 

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

 

0.000% due 06/01/2047 (g)

      25,300         1,567  

7.467% due 06/01/2047

      1,625         1,625  
       

 

 

 
          3,192  
       

 

 

 

Total Municipal Bonds & Notes (Cost $3,182)

    3,484  
       

 

 

 
U.S. GOVERNMENT AGENCIES 268.7%

 

Fannie Mae

 

1.467% due 08/25/2054 ~(a)(l)

      17,432         892  

2.500% due 12/25/2027 (a)

      3,863         284  

3.260% (H15T1Y + 2.135%) due 09/01/2028 ~

      3         3  

3.538% (H15T1Y + 2.325%) due 11/01/2027 ~

      44         45  

3.724% (H15T1Y + 2.320%) due 12/01/2028 ~

      25         26  

3.933% (H15T1Y + 2.275%) due 03/01/2032 ~

      73         73  

4.250% due 11/25/2024 (l)

      589         594  

4.500% due 09/01/2023 - 08/01/2041

    163         170  

4.500% due 07/25/2040 - 04/01/2041 (l)

      1,409         1,459  

5.000% due 12/01/2018 - 07/25/2038

    202         216  

5.000% due 01/25/2038 (l)

      7,477         7,934  

5.427% due 12/25/2042 ~

      32         33  

5.500% due 07/25/2024 - 08/01/2037

    545         567  

5.500% due 11/25/2032 - 04/25/2035 (l)

    6,400         6,867  

5.641% (US0001M + 3.550%) due 07/25/2029 ~

      490         533  

5.750% due 06/25/2033

      26         29  

5.807% due 08/25/2043 (l)

      1,694         1,801  

6.000% due 09/25/2031 - 01/25/2044

    1,763         1,926  

6.000% due 12/01/2032 - 06/01/2040 (l)

    5,581         6,150  

6.500% due 10/01/2018 - 11/01/2047

    6,159         6,789  

6.500% due 06/01/2036 - 07/01/2039 (l)

      722         799  

6.500% due 10/25/2042 ~

      14         16  

6.850% due 12/18/2027

      12         13  

7.000% due 07/01/2021 - 01/01/2047

    1,306         1,411  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

7.000% due 09/25/2041 ~

  $     467     $     492  

7.000% due 03/25/2045 (l)

      780         877  

7.500% due 05/01/2022 - 06/25/2044

    1,373         1,543  

7.500% due 06/19/2041 - 10/25/2042 ~

    963         1,053  

7.700% due 03/25/2023

      13         14  

7.841% (US0001M + 5.750%) due 07/25/2029 ~

      660         789  

8.000% due 09/25/2021 - 06/01/2032

    272         291  

8.000% due 06/19/2041 ~

      816         924  

8.500% due 10/25/2021 - 06/25/2030

    426         472  

9.428% due 05/15/2021

      20         20  

9.761% due 07/15/2027

      11         12  

Fannie Mae, TBA

 

3.000% due 01/01/2048 - 10/01/2048

    193,000         186,790  

3.500% due 03/01/2048 - 10/01/2048

    234,000           232,626  

4.000% due 03/01/2048 - 08/01/2048

    303,000         308,472  

Freddie Mac

 

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

      15,476         10,088  

0.100% due 02/25/2046 - 11/25/2050 (a)

      149,041         615  

0.200% due 04/25/2045 (a)

      3,268         4  

1.369% due 11/15/2038 ~(a)(l)

      32,926         1,837  

1.624% due 08/15/2036 ~(a)

      4,871         183  

1.774% due 05/15/2038 ~(a)(l)

      11,859         683  

2.079% due 11/25/2045 ~(a)

      5,336         785  

3.387% (H15T1Y + 2.137%) due 12/01/2026 ~

      5         5  

3.499% (H15T1Y + 2.249%) due 09/01/2031 ~

      32         32  

3.834% (US0012M + 1.783%) due 04/01/2033 ~

      2         2  

5.000% due 02/15/2024

      6         6  

5.500% due 04/01/2039 - 06/15/2041 (l)

      5,458         5,921  

5.569% due 07/25/2032 ~

      112         118  

6.000% due 12/15/2028 - 03/15/2035

    686         750  

6.000% due 02/15/2032 (l)

      1,782         1,971  

6.500% due 08/01/2021 - 09/01/2047

    4,932         5,567  

6.500% due 06/15/2031 - 09/15/2031 (l)

      2,038         2,269  

6.500% due 09/25/2043 ~

      52         59  

6.900% due 09/15/2023

      206         219  

6.950% due 07/15/2021

      81         83  

7.000% due 08/01/2021 - 10/25/2043

    2,011         2,212  

7.000% due 03/15/2029 - 10/01/2031 (l)

      2,416         2,683  

7.241% (US0001M + 5.150%) due 10/25/2029 ~

      1,200         1,374  

7.500% due 05/15/2024 - 02/25/2042

    875         934  

7.500% due 04/01/2028 - 12/01/2030 (l)

      1,056         1,173  

8.000% due 08/15/2022 - 04/15/2030

    216         232  

9.641% (US0001M + 7.550%) due 12/25/2027 ~

      1,594         1,935  

12.841% (US0001M + 10.750%) due 03/25/2025 ~

      389         529  

Freddie Mac, TBA

 

4.000% due 11/01/2048

      3,000         3,057  

Ginnie Mae

 

6.000% due 04/15/2029 - 12/15/2038

    214         235  

6.000% due 07/15/2037 - 11/15/2038 (l)

      1,314         1,448  

6.500% due 11/20/2024 - 10/20/2038

    83         86  

6.500% due 04/15/2032 - 05/15/2032 (l)

      539         596  

7.000% due 04/15/2024 - 06/15/2026

    40         40  

7.500% due 06/15/2023 - 03/15/2029

    688         712  

8.000% due 11/15/2021 - 11/15/2022

    4         4  

8.500% due 05/15/2022 - 02/15/2031

    10         10  

9.000% due 10/15/2019 - 01/15/2020

    30         29  

Ginnie Mae, TBA

 

4.000% due 09/01/2048

      20,000         20,495  

Small Business Administration

 

4.625% due 02/01/2025

      96         98  

5.510% due 11/01/2027

      294         311  

5.780% due 08/01/2027

      24         25  

5.820% due 07/01/2027

      27         28  
 

 

64   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


 

June 30, 2018

 

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

Vendee Mortgage Trust

 

6.500% due 03/15/2029

  $     144     $     157  

6.750% due 02/15/2026 - 06/15/2026

      96         105  

7.500% due 09/15/2030

      2,222         2,520  
       

 

 

 

Total U.S. Government Agencies (Cost $875,047)

 

        845,230  
       

 

 

 
U.S. TREASURY OBLIGATIONS 18.9%

 

U.S. Treasury Notes

 

2.000% due 08/15/2025 (l)

      41,000         38,836  

2.000% due 11/15/2026 (l)(o)

      21,800         20,427  
       

 

 

 

Total U.S. Treasury Obligations (Cost $62,027)

 

      59,263  
       

 

 

 
NON-AGENCY MORTGAGE-BACKED SECURITIES 38.3%

 

Adjustable Rate Mortgage Trust

 

3.855% due 07/25/2035 ~

      597         579  

4.099% due 08/25/2035 ~

      857         849  

Banc of America Mortgage Trust

 

3.704% due 02/25/2035 ~

      19         19  

Bancorp Commercial Mortgage Trust

 

5.796% due 08/15/2032 ~

      3,300         3,327  

8.110% (LIBOR01M + 6.037%) due 11/15/2033 ~

      4,500         4,527  

Barclays Commercial Mortgage Securities Trust

 

7.073% (LIBOR01M + 5.000%) due 08/15/2027 ~

      2,700         2,661  

BCAP LLC Trust

 

2.148% due 07/26/2036 ~

      211         168  

3.640% due 10/26/2036 ~

      1,610         1,580  

3.706% due 10/26/2033 ~

      130         114  

3.908% due 06/26/2035 ~

      43         39  

Bear Stearns ALT-A Trust

 

3.737% due 08/25/2036 ^~

      349         242  

Bear Stearns Commercial Mortgage Securities Trust

 

5.657% due 10/12/2041 ~

      4,090         3,874  

5.792% due 12/11/2040 ~

      5,728         5,456  

5.911% due 04/12/2038 ~

      120         94  

Citigroup Commercial Mortgage Trust

 

5.800% due 12/10/2049 ~

      2,016         1,385  

Citigroup Mortgage Loan Trust, Inc.

 

7.000% due 09/25/2033

      4         4  

Citigroup/Deutsche Bank Commercial Mortgage Trust

 

5.398% due 12/11/2049 ~

      16         9  

Commercial Mortgage Loan Trust

 

6.254% due 12/10/2049 ~

      2,234         1,388  

Commercial Mortgage Trust

 

5.505% due 03/10/2039 ~

      917         630  

Countrywide Alternative Loan Trust

 

2.301% (US0001M + 0.210%) due 07/25/2046 ^~

      2,103         1,903  

5.500% due 05/25/2022 ^

      13         10  

6.500% due 07/25/2035 ^

      375         307  

Countrywide Home Loan Mortgage Pass-Through Trust

 

2.731% (US0001M + 0.640%) due 03/25/2035 ~

      1,857         1,634  

3.289% due 08/25/2034 ~

      444         437  

3.961% (US0001M + 1.870%) due 03/25/2046 ^~

      2,666         1,710  

Countrywide Home Loan Reperforming REMIC Trust

 

7.500% due 06/25/2035 ^

      170         176  

Credit Suisse First Boston Mortgage-Backed Pass-through Trust

 

7.000% due 02/25/2034

      399         439  

Credit Suisse Mortgage Capital Mortgage-Backed Trust

 

6.500% due 03/25/2036 ^

      1,081         639  

Epic Drummond Ltd.

 

0.000% (EUR003M + 0.190%) due 01/25/2022 ~

  EUR     82         96  

Eurosail PLC

 

2.227% (BP0003M + 1.600%) due 09/13/2045 ~

  GBP     1,751         2,231  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

2.877% (BP0003M + 2.250%) due 09/13/2045 ~

  GBP     1,251     $     1,582  

4.477% (BP0003M + 3.850%) due 09/13/2045 ~

      1,063         1,480  

GC Pastor Hipotecario FTA

 

0.000% (EUR003M + 0.170%) due 06/21/2046 ~

  EUR     1,583           1,628  

GE Commercial Mortgage Corp. Trust

 

5.606% due 12/10/2049 ~

  $     2,293         2,281  

GMAC Mortgage Corp. Loan Trust

 

4.141% due 08/19/2034 ~

      68         65  

GS Mortgage Securities Corp.

 

4.744% due 10/10/2032 ~

      2,900         2,619  

GSAA Trust

 

6.000% due 04/01/2034

      996         1,040  

GSMPS Mortgage Loan Trust

 

5.885% due 06/19/2027 ~

      33         33  

7.000% due 06/25/2043

      2,291         2,582  

8.000% due 09/19/2027 ~

      541         540  

GSR Mortgage Loan Trust

 

2.421% (US0001M + 0.330%) due 12/25/2034 ~

      320         307  

3.630% (H15T1Y + 1.750%) due 03/25/2033 ~

      2         2  

6.500% due 01/25/2034

      215         231  

IM Pastor Fondo de Titluzacion Hipotecaria

 

0.000% (EUR003M + 0.140%) due 03/22/2043 ~

  EUR     537         570  

JPMorgan Chase Commercial Mortgage Securities Trust

 

5.411% due 05/15/2047

  $     1,900         1,368  

5.623% due 05/12/2045

      745         667  

JPMorgan Mortgage Trust

 

3.847% due 10/25/2036 ^~

      2,180         2,144  

5.500% due 08/25/2022 ^

      16         15  

5.500% due 06/25/2037 ^

      272         270  

LB-UBS Commercial Mortgage Trust

 

5.350% due 09/15/2040 ~

      3,620         3,653  

Lehman XS Trust

 

2.941% (LIBOR01M + 0.850%) due 09/25/2047 ~(l)

      5,068         4,977  

MASTR Adjustable Rate Mortgages Trust

 

3.693% due 10/25/2034 ~

      829         784  

MASTR Alternative Loan Trust

 

6.250% due 07/25/2036

      388         341  

6.500% due 03/25/2034

      809         861  

7.000% due 04/25/2034

      42         45  

MASTR Reperforming Loan Trust

 

7.000% due 05/25/2035

      3,705         3,643  

7.500% due 07/25/2035

      1,965         1,971  

Merrill Lynch Mortgage Trust

 

5.986% due 06/12/2050 ~

      617         617  

Morgan Stanley Capital Trust

 

6.285% due 06/11/2049 ~

      333         336  

Morgan Stanley Resecuritization Trust

 

3.097% due 12/26/2046 ~

      7,710         6,666  

Motel 6 Trust

 

9.000% due 08/15/2019 ~

      4,399         4,478  

NAAC Reperforming Loan REMIC Trust

 

7.000% due 10/25/2034 ^

      1,058         1,088  

7.500% due 03/25/2034 ^

      2,656         2,602  

7.500% due 10/25/2034 ^

      3,173         3,446  

Newgate Funding PLC

 

0.929% (EUR003M + 1.250%) due 12/15/2050 ~

  EUR     2,123         2,442  

1.179% (EUR003M + 1.500%) due 12/15/2050 ~

      2,123         2,405  

1.631% (BP0003M + 1.000%) due 12/15/2050 ~

  GBP     2,924         3,826  

1.881% (BP0003M + 1.250%) due 12/15/2050 ~

      2,402         3,122  

RBSSP Resecuritization Trust

 

6.000% due 02/26/2037 ~

  $     3,955         3,392  

6.250% due 12/26/2036 ~

      5,951         3,966  

Reperforming Loan REMIC Trust

 

7.500% due 11/25/2034

      905         917  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Residential Accredit Loans, Inc. Trust

 

6.000% due 08/25/2035 ^

  $     1,726     $     1,622  

Residential Asset Mortgage Products Trust

 

8.500% due 10/25/2031

      457         512  

8.500% due 11/25/2031

      755         780  

Structured Asset Mortgage Investments Trust

 

3.058% (12MTA + 1.500%) due 08/25/2047 ^~

      2,797         2,642  

Structured Asset Securities Corp. Mortgage Loan Trust

 

7.500% due 10/25/2036 ^

      2,848         2,487  

WaMu Mortgage Pass-Through Certificates Trust

 

3.896% due 05/25/2035 ~

      233         235  

Washington Mutual Mortgage Pass-Through Certificates Trust

 

7.000% due 03/25/2034

      129         141  

7.500% due 04/25/2033

      315         336  

Wells Fargo Mortgage-Backed Securities Trust

 

3.911% due 06/25/2035 ~

      229         237  

3.933% due 04/25/2036 ^~

      24         24  
       

 

 

 

Total Non-Agency Mortgage-Backed Securities (Cost $111,245)

 

        120,545  
       

 

 

 
ASSET-BACKED SECURITIES 21.0%

 

Access Financial Manufactured Housing Contract Trust

 

7.650% due 05/15/2021

      203         44  

Airspeed Ltd.

 

2.343% (LIBOR01M + 0.270%) due 06/15/2032 ~

      1,743         1,523  

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

 

5.616% (US0001M + 3.525%) due 11/25/2032 ^~

      234         10  

Bear Stearns Asset-Backed Securities Trust

 

1.982% (US0001M + 0.500%) due 09/25/2034 ~

      469         455  

Citigroup Mortgage Loan Trust

 

2.251% (US0001M + 0.160%) due 12/25/2036 ~

      4,940         3,269  

2.311% (US0001M + 0.220%) due 12/25/2036 ~

      2,612         1,397  

Citigroup Mortgage Loan Trust, Inc.

 

2.351% (US0001M + 0.260%) due 03/25/2037 ~(l)

      5,969         5,367  

Conseco Finance Corp.

 

6.530% due 02/01/2031 ~

      127         124  

7.050% due 01/15/2027

      45         46  

Conseco Finance Securitizations Corp.

 

7.960% due 05/01/2031

      1,584         1,010  

Countrywide Asset-Backed Certificates

 

2.221% (US0001M + 0.130%) due 12/25/2036 ^~

      3,305         3,099  

2.231% (US0001M + 0.140%) due 06/25/2047 ^~(l)

      8,634         7,985  

2.291% (US0001M + 0.200%) due 06/25/2037 ^~

      2,397         2,165  

2.291% (US0001M + 0.200%) due 06/25/2047 ~(l)

      6,087         5,436  

2.381% (US0001M + 0.290%) due 06/25/2037 ~

      8,449         8,133  

4.788% due 07/25/2036 ~(l)

      11,700         12,053  

Countrywide Asset-Backed Certificates Trust

 

3.741% (US0001M + 1.650%) due 11/25/2034 ~

      2,297         1,596  

Crecera Americas LLC

 

0.000% due 08/31/2020 ~

      5,200         5,207  

Credit-Based Asset Servicing & Securitization LLC

 

5.634% due 12/25/2037 ×

      459         469  

Encore Credit Receivables Trust

 

2.826% (US0001M + 0.735%) due 07/25/2035 ~

      576         534  

Greenpoint Manufactured Housing

 

8.300% due 10/15/2026 ~

      542         583  

National Collegiate Commutation Trust

 

0.000% (7-DayAuc) due 03/25/2038 ~

      10,400         5,612  
 

 

See Accompanying Notes   ANNUAL REPORT   JUNE 30, 2018   65


Schedule of Investments PIMCO Strategic Income Fund, Inc. (Cont.)

 

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

Oakwood Mortgage Investors, Inc.

 

2.303% (US0001M + 0.230%) due 06/15/2032 ~

  $     16     $     15  

Residential Asset Mortgage Products Trust

 

8.500% due 12/25/2031

      19         14  
       

 

 

 

Total Asset-Backed Securities (Cost $59,632)

      66,146  
       

 

 

 
SOVEREIGN ISSUES 3.7%

 

Argentina Government International Bond

 

2.260% due 12/31/2038 ×

  EUR     1,570         1,086  

3.375% due 01/15/2023

      100         106  

5.250% due 01/15/2028

      100         101  

6.250% due 11/09/2047

      100         91  

7.820% due 12/31/2033

      3,702         4,326  

22.844% (BADLARPP) due 10/04/2022 ~

  ARS     32         2  

34.188% (BADLARPP + 2.000%) due 04/03/2022 ~

      33,957         1,071  

34.660% (BADLARPP + 3.250%) due 03/01/2020 ~

      500         17  

40.000% due 06/21/2020 ~

      104,435         3,762  

Egypt Government International Bond

 

4.750% due 04/16/2026

  EUR     100         108  

5.625% due 04/16/2030

      200         211  

Peru Government International Bond

 

6.150% due 08/12/2032

  PEN     1,020         319  

6.350% due 08/12/2028

      220         70  

8.200% due 08/12/2026

      220         80  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Qatar Government International Bond

 

5.103% due 04/23/2048

  $     200     $     200  

Venezuela Government International Bond

 

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

      135         36  

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

      171         49  
       

 

 

 

Total Sovereign Issues (Cost $15,299)

 

        11,635  
       

 

 

 
        SHARES            
COMMON STOCKS 0.1%

 

CONSUMER DISCRETIONARY 0.1%

 

Caesars Entertainment Corp. (e)

      27,655         296  
       

 

 

 
ENERGY 0.0%

 

Forbes Energy Services Ltd. (e)(j)

      4,500         41  
       

 

 

 

Total Common Stocks (Cost $550)

 

      337  
       

 

 

 
REAL ESTATE INVESTMENT TRUSTS 0.3%

 

REAL ESTATE 0.3%

 

VICI Properties, Inc. (j)

      44,227         913  
       

 

 

 

Total Real Estate Investment Trusts (Cost $667)

    913  
       

 

 

 
        SHARES         MARKET
VALUE
(000S)
 
SHORT-TERM INSTRUMENTS 1.4%

 

REPURCHASE AGREEMENTS (k) 0.6%

 

      $     1,992  
       

 

 

 
U.S. TREASURY BILLS 0.8%

 

1.873% due 08/02/2018 - 10/04/2018 (f)(g)

      2,340         2,336  
       

 

 

 
Total Short-Term Instruments (Cost $4,328)

 

      4,328  
       

 

 

 
       
Total Investments in Securities
(Cost $1,225,058)
          1,205,767  
       
Total Investments 383.3%
(Cost $1,225,058)
      $       1,205,767  

Financial Derivative
Instruments (m)(n) (0.4)%

(Cost or Premiums, net $8,407)

    (1,119
Other Assets and Liabilities, net (282.9)%     (890,108
       

 

 

 
Net Assets 100.0%       $     314,540  
       

 

 

 
       

 

 

NOTES TO SCHEDULE OF INVESTMENTS:

 

*

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

^

Security is in default.

«

Security valued using significant unobservable inputs (Level 3).

All or a portion of this amount represent 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.

×

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

(a)

Interest only security.

(b)

Principal only security.

(c)

When-issued security.

(d)

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

(e)

Security did not produce income within the last twelve months.

(f)

Coupon represents a weighted average yield to maturity.

(g)

Zero coupon security.

(h)

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

(i)

Contingent convertible security.

 

(j)  RESTRICTED SECURITIES:

 

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

Forbes Energy Services Ltd.

         03/11/2014     $ 222     $ 41       0.01

Pinnacol Assurance 8.625% due 06/25/2034

         06/23/2014       2,600       2,699       0.86  

VICI Properties, Inc.

         03/06/2014 -11/06/2017       667       913       0.29  
        

 

 

   

 

 

   

 

 

 
  $     3,489     $     3,653       1.16
 

 

 

   

 

 

   

 

 

 

 

66   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


 

June 30, 2018

 

 

BORROWINGS AND OTHER FINANCING TRANSACTIONS

 

(k)  REPURCHASE AGREEMENTS:

 

Counterparty   Lending
Rate
    Settlement
Date
    Maturity
Date
    Principal
Amount
    Collateralized By   Collateral
(Received)
    Repurchase
Agreements,
at Value
    Repurchase
Agreement
Proceeds
to be
Received(1)
 
FICC     1.500     06/29/2018       07/02/2018     $     1,992     U.S. Treasury Notes 2.750% due 11/15/2023   $ (2,037   $ 1,992     $ 1,992  
           

 

 

   

 

 

   

 

 

 

Total Repurchase Agreements

 

    $     (2,037   $     1,992     $     1,992  
   

 

 

   

 

 

   

 

 

 

 

REVERSE REPURCHASE AGREEMENTS:

 

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

BPS

    2.150     05/24/2018       07/24/2018     $ (3,991   $ (4,000
    2.280       06/07/2018       07/09/2018       (181     (181
    2.300       06/07/2018       07/09/2018       (3,037     (3,042
    2.300       06/13/2018       09/12/2018           (15,318         (15,336
    2.310       06/15/2018       07/16/2018       (8,497     (8,506
    2.320       06/12/2018       09/12/2018       (3,368     (3,372
    2.350       06/11/2018       07/09/2018       (4,665     (4,672
    2.450       05/14/2018       08/14/2018       (5,413     (5,431
    2.450       05/15/2018       08/15/2018       (2,391     (2,399
    2.450       06/01/2018       09/04/2018       (3,021     (3,028
    2.590       06/07/2018       07/09/2018       (1,749     (1,752
    2.600       06/08/2018       09/10/2018       (3,408     (3,414
    2.620       06/07/2018       07/09/2018       (1,611     (1,614
    2.880       05/17/2018       08/17/2018       (2,971     (2,982
    2.880       06/04/2018       09/04/2018       (1,030     (1,032
    2.890       05/14/2018       08/14/2018       (4,276     (4,293
    3.010       05/14/2018       08/14/2018       (9,024     (9,060
    3.107       06/13/2018       07/13/2018       (9,547     (9,563
    3.443       05/15/2018       08/15/2018       (19,425     (19,512
         

 

 

 

Total Reverse Repurchase Agreements

 

    $     (103,189
         

 

 

 

 

SALE-BUYBACK TRANSACTIONS:

 

Counterparty   Borrowing
Rate(2)
    Borrowing
Date
    Maturity
Date
    Amount
Borrowed(2)
    Payable for
Sale-Buyback
Transactions(3)
 

BPG

    2.050     05/30/2018       07/05/2018     $ (14,440   $ (14,467
    2.080       06/05/2018       07/05/2018           (33,463     (33,515
         

 

 

 

Total Sale-Buyback Transactions

 

    $     (47,982
         

 

 

 

 

MORTGAGE DOLLAR ROLLS:

 

Counterparty   Borrowing
Rate(2)
    Borrowing
Date
    Maturity
Date
    Amount
Received
   

Amount

Borrowed(2)

 

BOS

    1.165     07/12/2018       08/12/2018     $ 3,852     $ (3,852

FOB

    1.009       07/12/2018       08/12/2018       130,430       (130,430
    1.318       07/12/2018       08/12/2018       119,046       (119,046
    1.362       07/12/2018       08/12/2018       14,842       (14,842
    1.604       07/12/2018       08/12/2018       15,242       (15,242
    1.670       07/12/2018       08/12/2018       187,115       (187,115

GSC

    1.340       07/12/2018       08/12/2018       11,894       (11,894
    1.362       07/12/2018       08/12/2018       15,841       (15,841

MSC

    1.384       07/12/2018       08/12/2018       9,878       (9,878
    1.626       07/12/2018       08/12/2018       3,042       (3,042

RDR

    1.626       07/12/2018       08/12/2018       41,623       (41,623
       

 

 

   

 

 

 

Total Mortgage Dollar Rolls

 

    $     552,805     $     (552,805
       

 

 

   

 

 

 

 

See Accompanying Notes   ANNUAL REPORT   JUNE 30, 2018   67


Schedule of Investments PIMCO Strategic Income Fund, Inc. (Cont.)

 

 

BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY

 

The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral pledged/(received) as of June 30, 2018:

 

Counterparty   Repurchase
Agreement
Proceeds
to be
Received(1)
    Payable for
Reverse
Repurchase
Agreements
    Payable for
Sale-Buyback
Transactions(3)
    

Receivable for
Mortgage

Dollar Rolls

   

Payable for
Mortgage

Dollar Rolls

    Total
Borrowings and
Other Financing
Transactions
    Collateral
(Received)/Pledged
    Net  Exposure(4)  

Global/Master Repurchase Agreement

 

BPS

  $ 0     $ (103,189   $ 0      $ 0     $ 0     $     (103,189   $     117,639     $     14,450  

FICC

    1,992       0       0        0       0       1,992       (2,037     (45

Master Securities Forward Transaction Agreement

 

BOS

    0       0       0        3,852       (3,852     0       0       0  

BPG

    0       0       (47,982      0       0       (47,982     47,867       (115

BPS

    0       0       0        0       0       0       (260     (260

FOB

    0       0       0        466,675       (466,675     0       0       0  

GSC

    0       0       0        27,735       (27,735     0       0       0  

MSC

    0       0       0        12,920       (12,920     0       0       0  

RDR

    0       0       0        41,623       (41,623     0       0       0  
 

 

 

   

 

 

   

 

 

    

 

 

   

 

 

       

Total Borrowings and Other Financing Transactions

  $     1,992     $     (103,189   $     (47,982    $     552,805     $     (552,805      
 

 

 

   

 

 

   

 

 

    

 

 

   

 

 

       

 

CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS

 

Remaining Contractual Maturity of the Agreements

 

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

Reverse Repurchase Agreements

         

Corporate Bonds & Notes

  $ 0     $ (11,080   $ (22,836   $ 0     $ (33,916

U.S. Government Agencies

    0       (12,687     (27,511     0       (40,198

Non-Agency Mortgage-Backed Securities

    0       0       (4,092     0       (4,092

Asset-Backed Securities

    0       (9,563     (15,420     0       (24,983
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $     0     $     (33,330   $     (69,859   $     0     $     (103,189
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Sale-Buyback Transactions

         

U.S. Treasury Obligations

    0       (47,982     0       0       (47,982
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 0     $ (47,982   $ 0     $ 0     $ (47,982
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Borrowings

  $ 0     $ (81,312   $ (69,859   $ 0     $ (151,171
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Payable for reverse repurchase agreements and sale-buyback financing transactions

 

    $ (151,171
         

 

 

 

 

(l)

Securities with an aggregate market value of $165,106 and cash of $400 have been pledged as collateral under the terms of the above master agreements as of June 30, 2018.

 

(1)

Includes accrued interest.

(2)

The average amount of borrowings outstanding during the period ended June 30, 2018 was $(856,335) at a weighted average interest rate of 1.770%. Average borrowings may include sale-buyback transactions, mortgage dollar rolls and reverse repurchase agreements, if held during the period.

(3)

Payable for sale-buyback transactions includes $(8) of deferred price drop.

(4)

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

 

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

 

FUTURES CONTRACTS:

 

LONG FUTURES CONTRACTS

 

    Expiration
Month
    # of
Contracts
    Notional
Amount
    Unrealized
Appreciation/
(Depreciation)
    Variation Margin  
Description   Asset      Liability  

90-Day Eurodollar June Futures

    06/2019       212     $         51,487     $ (498   $ 0      $ 0  
         

 

 

   

 

 

    

 

 

 

Total Futures Contracts

 

  $     (498   $     0      $     0  
 

 

 

   

 

 

    

 

 

 

 

68   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


 

June 30, 2018

 

 

SWAP AGREEMENTS:

 

INTEREST RATE SWAPS

 

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

Pay

 

1-Year BRL-CDI

    15.590     Maturity       01/04/2021       BRL       7,200     $ 1,236     $ (895   $ 341     $ 2     $ 0  

Pay

 

3-Month CAD Bank Bill

    3.300       Semi-Annual       06/19/2024       CAD       11,200       624       (226     398       0       (53

Receive

 

3-Month CAD Bank Bill

    3.500       Semi-Annual       06/20/2044         3,800       (534     45       (489     38       0  

Receive

 

3-Month USD-LIBOR

    2.000       Semi-Annual       06/20/2025       $       34,400       1,632       378       2,010       28       0  

Receive

 

3-Month USD-LIBOR

    2.250       Semi-Annual       06/20/2028         23,600       589       885       1,474       25       0  

Receive

 

3-Month USD-LIBOR

    2.250       Semi-Annual       06/20/2028         100,300       3,585       2,390       5,975       83       0  

Receive

 

3-Month USD-LIBOR

    2.500       Semi-Annual       06/20/2048         87,000       3,543       5,096       8,639       140       0  

Receive(1)

 

6-Month EUR-EURIBOR

    1.250       Annual       09/19/2028       EUR       2,300       (32     (53     (85     0       (3

Receive(1)

 

6-Month EUR-EURIBOR

    1.250       Annual       12/19/2028         600       (10     (8     (18     0       (1

Receive(1)

 

6-Month GBP-LIBOR

    1.500       Semi-Annual       09/19/2028       GBP       1,500       35       (26     9       2       0  
             

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
          $ 10,668     $ 7,586     $ 18,254     $ 318     $ (57
             

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Swap Agreements

 

  $     10,668     $     7,586     $     18,254     $     318     $     (57
             

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED SUMMARY

 

The following is a summary of the market value and variation margin of Exchange-Traded or Centrally Cleared Financial Derivative Instruments as of June 30, 2018:

 

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

Total Exchange-Traded or Centrally Cleared

  $     0     $     0     $     318     $     318       $     0     $     0     $     (57   $     (57
 

 

 

   

 

 

   

 

 

   

 

 

     

 

 

   

 

 

   

 

 

   

 

 

 

 

Cash of $12,311 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of June 30, 2018. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information regarding master netting arrangements.

 

(1)

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

 

(n)  FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER

 

FORWARD FOREIGN CURRENCY CONTRACTS:

 

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

BOA

     07/2018     BRL     1,447     $     375     $ 2     $ 0  
     07/2018     $     383     BRL     1,447       0       (9
     08/2018     BRL     1,447     $     382       10       0  

BPS

     07/2018     ARS     32,653         1,192       69       (1
     07/2018     EUR     13,010         15,090       0           (103
     07/2018     PEN     1,700         520       3       0  
     07/2018     $     687     ARS     18,776       0       (39
     07/2018         519     PEN     1,700       0       (2
     09/2018     PEN     1,700     $     518       2       0  

BRC

     09/2018     ARS     54,068         1,946           229       0  

CBK

     07/2018         671         31       8       0  
     07/2018     GBP     16,109         21,343       83       0  
     07/2018     $     23     ARS     671       0       0  
     07/2018         475     GBP     358       0       (2
     07/2018         80     RUB     5,043       0       0  

DUB

     07/2018     ARS     11,707     $     420       15       0  
     07/2018     $     404     ARS     11,707       1       0  

GLM

     07/2018     GBP     292     $     393       8       0  
     07/2018     $     252     EUR     217       1       0  
     07/2018         202     RUB     12,584       0       (1
     08/2018         245     EUR     210       1       0  

HUS

     07/2018     RUB     17,627     $     280       0       (1
     08/2018     $     2,995     RUB     187,426       1       (28

JPM

     07/2018     ARS     602     $     28       7       0  
     07/2018     CAD     88         68       1       0  
     07/2018     $     21     ARS     602       0       0  

 

See Accompanying Notes   ANNUAL REPORT   JUNE 30, 2018   69


Schedule of Investments PIMCO Strategic Income Fund, Inc. (Cont.)

 

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

RBC

     07/2018     GBP     1,055     $     1,389     $ 0     $ (4

SCX

     07/2018     BRL     1,447         396       23       0  
     07/2018     $     375     BRL     1,447       0       (2

SSB

     07/2018     GBP     2,226     $     2,983       45       0  
     07/2018     $     14,892     EUR     12,793       47       0  
     08/2018     EUR     12,793     $     14,926       0       (47

UAG

     07/2018     $     25,551     GBP     19,324       0       (48
     08/2018     GBP     19,324     $     25,588       50       0  
            

 

 

   

 

 

 

Total Forward Foreign Currency Contracts

 

  $     606     $     (287
 

 

 

   

 

 

 

 

PURCHASED OPTIONS:

 

OPTIONS ON SECURITIES

 

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

Put - OTC Fannie Mae, TBA 3.000% due 08/01/2048

  $     66.000       08/06/2018       $      16,000     $ 1      $ 0  
 

Put - OTC Fannie Mae, TBA 3.500% due 08/01/2048

    69.000       08/06/2018       38,000       2        0  
 

Put - OTC Fannie Mae, TBA 4.000% due 09/01/2048

    71.500       08/06/2018           300,000       12        0  
FAR  

Put - OTC Fannie Mae, TBA 3.000% due 08/01/2048

    68.000       08/06/2018       162,000       6        0  
 

Put - OTC Fannie Mae, TBA 3.500% due 08/01/2048

    73.000       08/06/2018       185,000       7        0  
JPM  

Put - OTC Fannie Mae, TBA 3.000% due 07/01/2048

    67.000       07/05/2018       15,000       1        0  
 

Put - OTC Fannie Mae, TBA 3.500% due 07/01/2048

    69.000       07/05/2018       11,000       0        0  
 

Put - OTC Fannie Mae, TBA 4.000% due 07/01/2048

    71.000       07/05/2018       26,000       1        0  
         

 

 

    

 

 

 
        $ 30      $ 0  
       

 

 

    

 

 

 

Total Purchased Options

    $     30      $     0  
         

 

 

    

 

 

 

 

SWAP AGREEMENTS:

 

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

 

Counterparty   Reference Entity   Fixed
Receive Rate
    Payment
Frequency
    Maturity
Date
    Implied
Credit Spread at
June 30, 2018(2)
    Notional
Amount(3)
    Premiums
Paid/(Received)
    Unrealized
Appreciation/
(Depreciation)
    Swap Agreements,
at Value
 
  Asset     Liability  
BOA  

Indonesia Government International Bond

    1.000     Quarterly       06/20/2019       0.282   $ 100     $ (3   $ 4     $ 1     $ 0  
BPS  

Petrobras Global Finance BV

    1.000       Quarterly       12/20/2019       1.852       3,100       (306     269       0       (37
DUB  

Indonesia Government International Bond

    1.000       Quarterly       06/20/2019       0.282       300       (11     13       2       0  
GST  

Petrobras Global Finance BV

    1.000       Quarterly       09/20/2020       2.175       10       (1     1       0       0  
HUS  

Petrobras Global Finance BV

    1.000       Quarterly       12/20/2019       1.852           3,400       (338     297       0       (41
JPM  

Indonesia Government International Bond

    1.000       Quarterly       06/20/2019       0.282       800       (27     33       6       0  
 

Russia Government International Bond

    1.000       Quarterly       12/20/2020       0.993       200       (23     23       0       0  
             

 

 

   

 

 

   

 

 

   

 

 

 
            $     (709   $     640     $     9     $     (78
             

 

 

   

 

 

   

 

 

   

 

 

 

 

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

 

Counterparty   Index/Tranches   Fixed
Receive Rate
    Payment
Frequency
    Maturity
Date
    Notional
Amount(3)
    Premiums
Paid/(Received)
    Unrealized
Appreciation/
(Depreciation)
    Swap Agreements,
at  Value(4)
 
  Asset     Liability  
DUB  

CMBX.NA.BBB-.6 Index

    3.000     Monthly       05/11/2063     $ 1,100     $ (67   $ (46   $ 0     $ (113
 

CMBX.NA.BBB-.8 Index

    3.000       Monthly       10/17/2057       1,400       (161     (5     0       (166
 

CMBX.NA.BBB-.9 Index

    3.000       Monthly       09/17/2058       900       (113     20       0       (93
FBF  

CMBX.NA.BBB-.6 Index

    3.000       Monthly       05/11/2063       100       (12     2       0       (10
 

CMBX.NA.BBB-.7 Index

    3.000       Monthly       01/17/2047       100       (10     3       0       (7
 

CMBX.NA.BBB-.8 Index

    3.000       Monthly       10/17/2057       400       (63     15       0       (48
GST  

CMBX.NA.A.6 Index

    2.000       Monthly       05/11/2063       1,400       (71     64       0       (7
 

CMBX.NA.BB.6 Index

    5.000       Monthly       05/11/2063       1,000           (135     (56     0       (191
 

CMBX.NA.BBB-.6 Index

    3.000       Monthly       05/11/2063           2,200       (121         (106         0           (227
 

CMBX.NA.BBB-.7 Index

    3.000       Monthly       01/17/2047       400       (20     (8     0       (28
 

CMBX.NA.BBB-.9 Index

    3.000       Monthly       09/17/2058       2,200       (274     48       0       (226
MYC  

CMBX.NA.BBB-.10 Index

    3.000       Monthly       11/17/2059       2,750       (293     46       0       (247
 

CMBX.NA.BBB-.6 Index

    3.000       Monthly       05/11/2063       550       (29     (28     0       (57
 

CMBX.NA.BBB-.7 Index

    3.000       Monthly       01/17/2047       700       (31     (18     0       (49

 

70   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


 

June 30, 2018

 

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  
 

CMBX.NA.BBB-.8 Index

    3.000   Monthly     10/17/2057     $ 400     $ (46   $ (2   $ 0     $ (48
 

CMBX.NA.BBB-.9 Index

    3.000     Monthly     09/17/2058           1,100       (136     23       0       (113
           

 

 

   

 

 

   

 

 

   

 

 

 
          $ (1,582   $ (48   $ 0     $ (1,630
         

 

 

   

 

 

   

 

 

   

 

 

 

Total Swap Agreements

    $     (2,291   $     592     $     9     $     (1,708
 

 

 

   

 

 

   

 

 

   

 

 

 

 

FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER SUMMARY

 

The following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral pledged/(received) as of June 30, 2018:

 

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

BOA

  $ 12      $ 0      $ 1      $ 13       $ (9   $ 0      $ 0     $ (9   $ 4     $ 0     $ 4  

BPS

    74        0        0        74         (145     0        (37     (182         (108     0       (108

BRC

    229        0        0        229         0       0        0       0       229       0       229  

CBK

    91        0        0        91         (2     0        0       (2     89           (260         (171

DUB

    16        0        2        18         0       0        (372     (372     (354     451       97  

FBF

    0        0        0        0         0       0        (65     (65     (65     0       (65

GLM

    10        0        0        10         (1     0        0       (1     9       0       9  

GST

    0        0        0        0         0       0        (679     (679     (679     866       187  

HUS

    1        0        0        1         (29     0        (41     (70     (69     0       (69

JPM

    8        0        6        14         0       0        0       0       14       (10     4  

MYC

    0        0        0        0         0       0        (514     (514     (514     556       42  

RBC

    0        0        0        0         (4     0        0       (4     (4     0       (4

SCX

    23        0        0        23         (2     0        0       (2     21       (20     1  

SSB

    92        0        0        92         (47     0        0       (47     45       0       45  

UAG

    50        0        0        50         (48     0        0       (48     2       0       2  
 

 

 

    

 

 

    

 

 

    

 

 

     

 

 

   

 

 

    

 

 

   

 

 

       

Total Over the Counter

  $     606      $     0      $     9      $     615       $     (287   $     0      $     (1,708   $     (1,995      
 

 

 

    

 

 

    

 

 

    

 

 

     

 

 

   

 

 

    

 

 

   

 

 

       

 

(o)

Securities with an aggregate market value of $1,962 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of June 30, 2018.

 

(1)

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

(2)

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

(3)

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

(4)

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

(5)

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

 

See Accompanying Notes   ANNUAL REPORT   JUNE 30, 2018   71


Schedule of Investments PIMCO Strategic Income Fund, Inc. (Cont.)

 

 

FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS

 

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

 

Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of June 30, 2018:

 

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

Financial Derivative Instruments - Assets

 

Exchange-traded or centrally cleared

 

Swap Agreements

  $ 0     $ 0     $ 0     $ 0     $ 318     $ 318  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Over the counter

 

Forward Foreign Currency Contracts

  $ 0     $ 0     $ 0     $ 606     $ 0     $ 606  

Swap Agreements

    0       9       0       0       0       9  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 9     $ 0     $ 606     $ 0     $ 615  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 9     $ 0     $ 606     $     318     $ 933  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Financial Derivative Instruments - Liabilities

 

Exchange-traded or centrally cleared

 

Swap Agreements

  $ 0     $ 0     $ 0     $ 0     $ 57     $ 57  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Over the counter

 

Forward Foreign Currency Contracts

  $ 0     $ 0     $ 0     $ 287     $ 0     $ 287  

Swap Agreements

    0       1,708       0       0       0       1,708  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 1,708     $ 0     $ 287     $ 0     $ 1,995  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $     0     $     1,708     $     0     $     287     $ 57     $     2,052  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

The effect of Financial Derivative Instruments on the Statements of Operations for the period ended June 30, 2018:

 

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

Net Realized Gain (Loss) on Financial Derivative Instruments

 

Exchange-traded or centrally cleared

 

Futures

  $ 0     $ 0     $ 0     $ 0     $ (41   $ (41

Swap Agreements

    0       0       0       0       12,271       12,271  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 0     $ 0     $ 0     $ 12,230     $ 12,230  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Over the counter

 

Forward Foreign Currency Contracts

  $ 0     $ 0     $ 0     $ 614     $ 0     $ 614  

Purchased Options

    0       0       0       0       (148     (148

Swap Agreements

    0       599       0       0       0       599  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 599     $ 0     $ 614     $ (148   $ 1,065  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 599     $ 0     $ 614     $     12,082     $     13,295  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

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

 

Exchange-traded or centrally cleared

 

Futures

  $ 0     $ 0     $ 0     $ 0     $ (474   $ (474

Swap Agreements

    0       0       0       0       (330     (330
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 0     $ 0     $ 0     $ (804   $ (804
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Over the counter

 

Forward Foreign Currency Contracts

  $ 0     $ 0     $ 0     $ 554     $ 0     $ 554  

Purchased Options

    0       0       0       0       (15     (15

Swap Agreements

    0       312       0       0       0       312  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 312     $ 0     $ 554     $ (15   $ 851  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $     0     $     312     $     0     $     554     $ (819   $ 47  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

72   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


 

June 30, 2018

 

 

FAIR VALUE MEASUREMENTS

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2018 in valuing the Fund’s assets and liabilities:

 

Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
06/30/2018
 

Investments in Securities, at Value

 

Loan Participations and Assignments

  $ 99     $ 6,130     $ 1,377     $ 7,606  

Corporate Bonds & Notes

 

Banking & Finance

    0       30,862       5,095       35,957  

Industrials

    0       39,755       190       39,945  

Utilities

    0       10,378       0       10,378  

Municipal Bonds & Notes

 

Illinois

    0       292       0       292  

West Virginia

    0       3,192       0       3,192  

U.S. Government Agencies

    0       845,230       0       845,230  

U.S. Treasury Obligations

    0       59,263       0       59,263  

Non-Agency Mortgage-Backed Securities

    0       120,545       0       120,545  

Asset-Backed Securities

    0       66,146       0       66,146  

Sovereign Issues

    0       11,635       0       11,635  

Common Stocks

 

Consumer Discretionary

    296       0       0       296  

Energy

    41       0       0       41  

Real Estate Investment Trusts

 

Real Estate

    913       0       0       913  

Short-Term Instruments

 

Repurchase Agreements

    0       1,992       0       1,992  

U.S. Treasury Bills

    0       2,336       0       2,336  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

  $     1,349     $     1,197,756     $     6,662     $     1,205,767  
 

 

 

   

 

 

   

 

 

   

 

 

 
Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
06/30/2018
 

Financial Derivative Instruments - Assets

 

Exchange-traded or centrally cleared

  $ 0     $ 318     $ 0     $ 318  

Over the counter

    0       615       0       615  
 

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 933     $ 0     $ 933  
 

 

 

   

 

 

   

 

 

   

 

 

 

Financial Derivative Instruments - Liabilities

 

Exchange-traded or centrally cleared

    0       (57     0       (57

Over the counter

    0       (1,995     0       (1,995
 

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ (2,052   $ 0     $ (2,052
 

 

 

   

 

 

   

 

 

   

 

 

 

Total Financial Derivative Instruments

  $ 0     $ (1,119   $ 0     $ (1,119
 

 

 

   

 

 

   

 

 

   

 

 

 

Totals

  $     1,349     $     1,196,637     $     6,662     $     1,204,648  
 

 

 

   

 

 

   

 

 

   

 

 

 
 

 

There were no significant transfers among Levels 1 and 2 during the period ended June 30, 2018.

 

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended June 30, 2018:

 

Category and Subcategory   Beginning
Balance
at 06/30/2017
    Net
Purchases
    Net
Sales
    Accrued
Discounts/
(Premiums)
    Realized
Gain/(Loss)
    Net Change in
Unrealized
Appreciation/
(Depreciation)(1)
    Transfers
into
Level 3
    Transfers out
of Level 3
    Ending
Balance
at 06/30/2018
    Net Change in
Unrealized
Appreciation/
(Depreciation)
on Investments
Held at
06/30/2018(1)
 

Investments in Securities, at Value

 

Loan Participations and Assignments

  $ 55     $ 4     $ 0     $ 2     $ 0     $ (2   $ 1,377     $ (59   $ 1,377     $ 0  

Corporate Bonds & Notes

 

Banking & Finance

    5,153       0       0       11       0       (69     0       0       5,095       (69

Industrials

    6,989       196       (3,738     0       38       135       0       (3,430     190       (5

Asset-Backed Securities

    4,784       0       0       183       0       646       0       (5,613     0       0  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Totals

  $     16,981     $     200     $     (3,738   $     196     $     38     $     710     $     1,377     $     (9,102   $     6,662     $     (74
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:

 

Category and Subcategory   Ending
Balance
at 06/30/2018
    

Valuation

Technique

   Unobservable
Inputs
   Input Value(s)
(% Unless
Noted
Otherwise)
 

Investments in Securities, at Value

 

Loan Participations and Assignments

  $     1,377      Third Party Vendor    Broker Quote      102.000  

Corporate Bonds & Notes

 

Banking & Finance

    2,699      Reference Instrument    OAS Spread      525.729 bps  
    2,396      Reference Instrument    Spread Movement      24.000 bps  

Industrials

    190      Reference Instrument    Yield      10.153  
 

 

 

          

Total

  $ 6,662           
 

 

 

          

 

(1) 

Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at June 30, 2018 may be due to an investment no longer held or categorized as Level 3 at period end.

 

See Accompanying Notes   ANNUAL REPORT   JUNE 30, 2018   73


Consolidated Schedule of Investments PIMCO Dynamic Credit and Mortgage Income Fund

 

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

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
INVESTMENTS IN SECURITIES 173.2%

 

LOAN PARTICIPATIONS AND ASSIGNMENTS 6.7%

 

Alphabet Holding Co., Inc.

 

5.594% due 09/26/2024

  $     99     $     93  

Altice Financing S.A.

 

5.098% due 01/31/2026

      68         67  

Altran Technologies S.A.

 

2.750% due 03/20/2025

  EUR     1,468         1,705  

Avantor, Inc.

 

6.094% due 11/21/2024

  $     368         371  

Banff Merger Sub, Inc.

 

TBD% due 06/21/2019

      25,200         25,106  

Barracuda Networks, Inc.

 

5.307% due 02/12/2025

      60         60  

BMC Software Finance, Inc.

 

5.344% due 09/10/2022

      5,328         5,336  

California Resources Corp.

 

6.838% due 12/31/2022

      250         255  

CenturyLink, Inc.

 

4.844% due 01/31/2025

      2,885         2,831  

Community Health Systems, Inc.

 

5.307% due 12/31/2019

      195         195  

5.557% due 01/27/2021

      1,474         1,441  

Drillship Kithira Owners, Inc.

 

TBD% due 09/20/2024 «

      16,177         16,985  

Dryrocks World LLC

 

TBD% due 11/20/2020

      11,900         11,384  

Dubai World

 

TBD% - 2.000% due 09/30/2022

      42,275         40,020  

Energizer Holdings. Inc.

 

TBD% due 05/18/2019

      500         500  

Forbes Energy Services LLC

 

TBD% - 7.000% due 04/13/2021

      1,979         2,004  

Frontier Communications Corp.

 

5.850% due 06/15/2024

      6,153         6,128  

Genworth Financial, Inc.

 

6.546% due 02/22/2023

      170         174  

GTT Communications, Inc.

 

4.875% due 05/31/2025

      300         296  

iHeartCommunications, Inc.

 

TBD% - 9.052% due 01/30/2019 ^(e)

      36,475         27,949  

IRB Holding Corp.

 

TBD% - 5.280% due 02/05/2025

      200         200  

Klockner-Pentaplast of America, Inc.

 

4.750% due 06/30/2022

  EUR     350         388  

McDermott International, Inc.

 

7.094% due 05/12/2025

  $     10,574         10,642  

MH Sub LLC

 

5.835% due 09/13/2024

      605         606  

Ministry of Finance and Economic Affairs

 

7.825% due 12/10/2019 «

      860         861  

Multi Color Corp.

 

4.344% due 10/31/2024

      87         87  

Parexel International Corp.

 

4.844% due 09/27/2024

      308         306  

PetSmart, Inc.

 

5.010% due 03/11/2022

      990         822  

Ply Gem Industries, Inc.

 

6.089% due 04/12/2025

      1,000         1,000  

Preylock Reitman Santa Cruz Mezz LLC

 

7.546% (LIBOR03M + 5.500%) due 11/09/2022 †~(l)

      31,560         31,615  

Sequa Mezzanine Holdings LLC

 

7.046% due 11/28/2021

      1,139         1,142  

11.099% due 04/28/2022 «

      14,230           14,515  

Sigma Bidco BV

 

TBD% due 03/06/2025

  EUR     1,000         1,147  

Stars Group Holdings BV

 

TBD% due 07/28/2025

  $     500         498  

Syniverse Holdings, Inc.

 

7.046% due 03/09/2023

      299         299  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

TerraForm Power Operating LLC

 

4.094% due 11/08/2022

  $     100     $     99  

Traverse Midstream Partners LLC

 

6.340% due 09/27/2024

      147         147  

Wand Merger Corp.

 

TBD% due 04/27/2019

      2,200         2,186  

West Corp.

 

6.094% due 10/10/2024

      99         99  

Westmoreland Coal Co.

 

TBD% due 05/31/2020

      7,117         7,260  
       

 

 

 

Total Loan Participations and Assignments (Cost $223,413)

 

        216,819  
       

 

 

 
CORPORATE BONDS & NOTES 36.5%

 

BANKING & FINANCE 12.8%

 

AGFC Capital Trust

 

4.098% (US0003M + 1.750%) due 01/15/2067 ~(n)

      20,300         12,282  

Ally Financial, Inc.

 

8.000% due 11/01/2031

      36         42  

Ambac LSNI LLC

 

7.337% due 02/12/2023 •(n)

      1,792         1,821  

Ardonagh Midco PLC

 

8.375% due 07/15/2023 (n)

  GBP     2,000         2,676  

8.375% due 07/15/2023

      28,250         37,793  

Athene Holding Ltd.

 

4.125% due 01/12/2028 (n)

  $     282         260  

Avolon Holdings Funding Ltd.

 

5.500% due 01/15/2023 (n)

      910         910  

AXA Equitable Holdings, Inc.

 

4.350% due 04/20/2028 (n)

      690         661  

5.000% due 04/20/2048 (n)

      402         371  

Banco Bilbao Vizcaya Argentaria S.A.

 

6.750% due 02/18/2020 •(j)(k)

  EUR     200         243  

Banco Espirito Santo S.A.

 

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

      15,000         5,255  

Barclays PLC

 

3.250% due 01/17/2033

  GBP     1,000         1,210  

6.500% due 09/15/2019 •(j)(k)

  EUR     100         120  

7.250% due 03/15/2023 •(j)(k)(n)

  GBP     47,451         64,435  

7.875% due 09/15/2022 •(j)(k)(n)

      3,400         4,771  

Brookfield Finance, Inc.

 

3.900% due 01/25/2028 (n)

  $     476         451  

4.700% due 09/20/2047 (n)

      406         385  

CBL & Associates LP

 

5.950% due 12/15/2026

      518         437  

CIT Group, Inc.

 

5.250% due 03/07/2025

      286         289  

Emerald Bay S.A.

 

0.000% due 10/08/2020 (h)

  EUR     1,574         1,721  

Equinix, Inc.

 

2.875% due 03/15/2024

      800         918  

2.875% due 10/01/2025

      100         110  

2.875% due 02/01/2026

      1,000         1,106  

Exeter Finance Corp.

 

9.750% due 05/20/2019 «

  $     21,900         21,861  

Fortress Transportation & Infrastructure Investors LLC

 

6.750% due 03/15/2022 (n)

      1,870         1,919  

Freedom Mortgage Corp.

 

8.250% due 04/15/2025 (n)

      541         534  

Growthpoint Properties International Pty. Ltd.

 

5.872% due 05/02/2023

      600         610  

High Street Funding Trust

 

4.682% due 02/15/2048

      100         100  

HSBC Holdings PLC

 

6.500% due 03/23/2028 •(j)(k)

      2,670         2,567  

Hunt Cos., Inc.

 

6.250% due 02/15/2026

      136         127  

iStar, Inc.

 

4.625% due 09/15/2020

      71         70  

5.250% due 09/15/2022

      255         249  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Jefferies Finance LLC

 

6.875% due 04/15/2022 (n)

  $     2,200     $     2,206  

7.250% due 08/15/2024

      400         394  

7.375% due 04/01/2020 (n)

      900         909  

7.500% due 04/15/2021 (n)

      16,104         16,426  

Kennedy-Wilson, Inc.

 

5.875% due 04/01/2024

      358         349  

Legg Mason PT

 

7.130% due 01/10/2021 «

      9,940         10,006  

Life Storage LP

 

3.875% due 12/15/2027 (n)

      152         144  

Lloyds Banking Group PLC

 

7.875% due 06/27/2029 •(j)(k)(n)

  GBP     24,586         37,761  

LoanCore Capital Markets LLC

 

6.875% due 06/01/2020 (n)

  $     7,600         7,700  

Meiji Yasuda Life Insurance Co.

 

5.100% due 04/26/2048 •

      1,400         1,416  

Mercury Bondco PLC (8.250% Cash or 9.000% PIK)

 

8.250% due 05/30/2021 (d)

  EUR     2,035         2,477  

MetLife, Inc.

 

5.875% due 03/15/2028 •(j)

  $     470         479  

Nationstar Mortgage LLC

 

6.500% due 07/01/2021

      3,991         3,991  

Nationwide Building Society

 

10.250% ~(j)

  GBP     146         29,241  

Navient Corp.

 

5.875% due 03/25/2021

  $     132         134  

6.500% due 06/15/2022 (n)

      4,410         4,520  

7.250% due 01/25/2022 (n)

      3,400         3,570  

8.000% due 03/25/2020 (n)

      9,500         10,046  

Oppenheimer Holdings, Inc.

 

6.750% due 07/01/2022

      236         242  

Pinnacol Assurance

 

8.625% due 06/25/2034 «(l)

      23,200         24,085  

Provident Funding Associates LP

 

6.375% due 06/15/2025

      136         133  

Rio Oil Finance Trust

 

9.250% due 07/06/2024 (n)

      14,815         15,927  

Royal Bank of Scotland Group PLC

 

7.500% due 08/10/2020 •(j)(k)(n)

      13,143         13,432  

8.000% due 08/10/2025 •(j)(k)(n)

      6,627         6,975  

8.625% due 08/15/2021 •(j)(k)(n)

      4,500         4,794  

Santander UK Group Holdings PLC

 

6.750% due 06/24/2024 •(j)(k)(n)

  GBP     23,460         32,062  

7.375% due 06/24/2022 •(j)(k)

      500         688  

Societe Generale S.A.

 

6.750% due 04/06/2028 •(j)(k)

  $     850         781  

Springleaf Finance Corp.

 

6.875% due 03/15/2025

      1,746         1,737  

7.125% due 03/15/2026 (n)

      2,058         2,053  

7.750% due 10/01/2021 (n)

      3,650         3,937  

Stearns Holdings LLC

 

9.375% due 08/15/2020 (n)

      855         859  

UBS Group Funding Switzerland AG

 

5.750% due 02/19/2022 •(j)(k)(n)

  EUR     3,600         4,544  

Unigel Luxembourg S.A.

 

10.500% due 01/22/2024 (n)

  $     3,140         3,246  

Wand Merger Corp.

 

8.125% due 07/15/2023 (c)

      3,776         3,837  

WeWork Cos., Inc.

 

7.875% due 05/01/2025

      306         294  
       

 

 

 
            417,699  
       

 

 

 
INDUSTRIALS 20.2%

 

Air Canada Pass-Through Trust

 

3.700% due 07/15/2027

      126         120  

Altice Financing S.A.

 

6.625% due 02/15/2023 (n)

      13,595         13,432  

Altice France S.A.

 

5.375% due 05/15/2022 (n)

  EUR     3,830         4,604  

Altice Luxembourg S.A.

 

7.250% due 05/15/2022 (n)

      15,927         18,751  

7.750% due 05/15/2022 (n)

  $     3,327         3,231  
 

 

74   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


 

June 30, 2018

 

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

Andeavor Logistics LP

 

3.500% due 12/01/2022

  $     56     $     55  

4.250% due 12/01/2027

      102         98  

Arrow Electronics, Inc.

 

3.250% due 09/08/2024 (n)

      274         256  

Associated Materials LLC

 

9.000% due 01/01/2024 (n)

      27,400         28,839  

Bacardi Ltd.

 

4.450% due 05/15/2025 (n)

      700         698  

4.700% due 05/15/2028 (n)

      800         788  

5.150% due 05/15/2038

      200         189  

Baffinland Iron Mines Corp.

 

8.750% due 07/15/2026

      7,500         7,529  

BMC Software Finance, Inc.

 

8.125% due 07/15/2021 (n)

      32,050         32,811  

Caesars Resort Collection LLC

 

5.250% due 10/15/2025

      40         38  

Centene Escrow Corp.

 

5.375% due 06/01/2026

      850         863  

Charles River Laboratories International, Inc.

 

5.500% due 04/01/2026

      142         143  

Charter Communications Operating LLC

 

4.200% due 03/15/2028 (n)

      720         675  

Cheniere Energy Partners LP

 

5.250% due 10/01/2025 (n)

      173         169  

Chesapeake Energy Corp.

 

5.598% (US0003M + 3.250%) due 04/15/2019 ~

      134         134  

Clear Channel Worldwide Holdings, Inc.

 

6.500% due 11/15/2022 (n)

      3,530         3,618  

7.625% due 03/15/2020 (n)

      17,145         17,107  

Cleveland-Cliffs, Inc.

 

4.875% due 01/15/2024

      178         172  

Community Health Systems, Inc.

 

5.125% due 08/01/2021 (n)

      20,760           19,307  

6.250% due 03/31/2023 (n)

      56,318         51,813  

8.625% due 01/15/2024 (c)

      1,450         1,457  

CSN Islands Corp.

 

6.875% due 09/21/2019

      1,240         1,229  

CSN Resources S.A.

 

6.500% due 07/21/2020 (n)

      6,540         6,123  

6.500% due 07/21/2020

      140         131  

Diamond Resorts International, Inc.

 

7.750% due 09/01/2023

      35         37  

10.750% due 09/01/2024 (n)

      16,800         18,097  

DriveTime Automotive Group, Inc.

 

8.000% due 06/01/2021 (n)

      6,500         6,598  

EI Group PLC

 

6.875% due 05/09/2025 (n)

  GBP     2,210         3,228  

Energizer Gamma Acquisition, Inc.

 

6.375% due 07/15/2026 (c)

  $     1,616         1,646  

Exela Intermediate LLC

 

10.000% due 07/15/2023 (n)

      618         634  

First Quantum Minerals Ltd.

 

6.500% due 03/01/2024 (n)

      8,692         8,410  

6.875% due 03/01/2026 (n)

      9,630         9,245  

7.000% due 02/15/2021 (n)

      3,250         3,289  

Flex Acquisition Co., Inc.

 

7.875% due 07/15/2026

      4,346         4,340  

Fresh Market, Inc.

 

9.750% due 05/01/2023 (n)

      21,546         13,789  

Frontier Finance PLC

 

8.000% due 03/23/2022 (n)

  GBP     24,200         31,930  

Full House Resorts, Inc.

 

8.575% due 01/31/2024 «

  $     1,790         1,714  

General Electric Co.

 

5.000% due 01/21/2021 •(j)

      813         803  

Hadrian Merger Sub, Inc.

 

8.500% due 05/01/2026

      190         185  

Harland Clarke Holdings Corp.

 

8.375% due 08/15/2022

      286         282  

Hilton Domestic Operating Co., Inc.

 

5.125% due 05/01/2026 (n)

      738         729  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

iHeartCommunications, Inc.

 

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

  $     7,100     $     5,414  

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

      48,270         36,927  

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

      2,100         1,607  

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

      10,530         8,108  

IHS Markit Ltd.

 

4.000% due 03/01/2026

      25         24  

Intelsat Jackson Holdings S.A.

 

7.250% due 10/15/2020 (n)

      64,638         64,638  

9.750% due 07/15/2025 (n)

      614         649  

Intelsat Luxembourg S.A.

 

7.750% due 06/01/2021 (n)

      15,815           14,787  

8.125% due 06/01/2023 (n)

      1,289         1,047  

Intrepid Aviation Group Holdings LLC

 

6.875% due 02/15/2019 (n)

      85,353         85,460  

Kronos Acquisition Holdings, Inc.

 

9.000% due 08/15/2023 (n)

      4,800         4,332  

Live Nation Entertainment, Inc.

 

5.625% due 03/15/2026

      110         109  

Mallinckrodt International Finance S.A.

 

5.500% due 04/15/2025 (n)

      4,352         3,503  

Matterhorn Merger Sub LLC

 

8.500% due 06/01/2026 (n)

      730         706  

Merlin Entertainments PLC

 

5.750% due 06/15/2026

      300         305  

Metinvest BV

 

7.750% due 04/23/2023 (n)

      800         752  

8.500% due 04/23/2026 (n)

      5,400         5,060  

Odebrecht Oil & Gas Finance Ltd.

 

0.000% due 07/30/2018 (h)(j)

      4,070         65  

Ortho-Clinical Diagnostics, Inc.

 

6.625% due 05/15/2022 (n)

      5,449         5,354  

Park Aerospace Holdings Ltd.

 

3.625% due 03/15/2021

      430         418  

4.500% due 03/15/2023 (n)

      856         815  

5.250% due 08/15/2022 (n)

      20,007         19,882  

5.500% due 02/15/2024 (n)

      8,588         8,500  

Pelabuhan Indonesia Persero PT

 

4.500% due 05/02/2023

      700         696  

Petroleos Mexicanos

 

6.500% due 03/13/2027 (n)

      930         953  

6.750% due 09/21/2047

      260         248  

PetSmart, Inc.

 

5.875% due 06/01/2025

      496         383  

Pisces Midco, Inc.

 

8.000% due 04/15/2026 (n)

      959         927  

Pitney Bowes, Inc.

 

4.700% due 04/01/2023

      181         163  

QGOG Constellation S.A. (9.000% Cash and 0.500% PIK)

 

9.500% due 11/09/2024 ^(d)(e)

      451         191  

QVC, Inc.

 

5.950% due 03/15/2043 (n)

      4,700         4,446  

Radiate Holdco LLC

 

6.875% due 02/15/2023

      360         347  

Rockpoint Gas Storage Canada Ltd.

 

7.000% due 03/31/2023

      44         44  

Russian Railways via RZD Capital PLC

 

7.487% due 03/25/2031

  GBP     100         166  

Safeway, Inc.

 

7.250% due 02/01/2031 (n)

  $     1,200         1,122  

Scientific Games International, Inc.

 

3.375% due 02/15/2026

  EUR     210         245  

5.000% due 10/15/2025

  $     61         58  

Shelf Drilling Holdings Ltd.

 

8.250% due 02/15/2025

      128         129  

Sigma Holdco BV

 

5.750% due 05/15/2026

  EUR     120         132  

7.875% due 05/15/2026 (n)

  $     570         537  

SoftBank Group Corp.

 

4.000% due 04/20/2023

  EUR     14,100         17,008  

Standard Industries, Inc.

 

4.750% due 01/15/2028

  $     490         452  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Stars Group Holdings BV

 

7.000% due 07/15/2026 (c)

  $     1,020     $     1,033  

Sunoco LP

 

4.875% due 01/15/2023

      346         333  

Syngenta Finance NV

 

3.698% due 04/24/2020

      300         299  

3.933% due 04/23/2021

      300         299  

4.441% due 04/24/2023

      300         299  

4.892% due 04/24/2025

      300         294  

5.182% due 04/24/2028

      700         677  

T-Mobile USA, Inc.

 

4.750% due 02/01/2028

      108         100  

Teva Pharmaceutical Finance Netherlands BV

 

3.250% due 04/15/2022

  EUR     1,600         1,900  

Unique Pub Finance Co. PLC

 

5.659% due 06/30/2027 (n)

  GBP     6,930         10,128  

7.395% due 03/28/2024

      6,155         9,007  

United Group BV

 

4.375% due 07/01/2022

  EUR     390         465  

4.875% due 07/01/2024

      430         512  

UPCB Finance Ltd.

 

3.625% due 06/15/2029

      990         1,120  

Valeant Pharmaceuticals International, Inc.

 

5.500% due 11/01/2025

  $     90         89  

ViaSat, Inc.

 

5.625% due 09/15/2025 (n)

      496         469  

VOC Escrow Ltd.

 

5.000% due 02/15/2028 (n)

      396         376  

Westmoreland Coal Co.

 

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

      31,910         7,898  

Wind Tre SpA

 

2.625% due 01/20/2023

  EUR     1,000         985  

2.750% due 01/20/2024 •

      500         488  

3.125% due 01/20/2025 (n)

      650         618  

5.000% due 01/20/2026 (n)

  $     600         479  

Wynn Macau Ltd.

 

4.875% due 10/01/2024 (n)

      400         383  

5.500% due 10/01/2027

      400         383  

Yellowstone Energy LP

 

5.750% due 12/31/2026 «

      3,745         3,808  
       

 

 

 
            658,487  
       

 

 

 
UTILITIES 3.5%

 

AT&T, Inc.

 

4.900% due 08/15/2037 (n)

      1,904         1,811  

5.150% due 02/15/2050 (n)

      2,564         2,400  

5.300% due 08/15/2058 (n)

      854         798  

DTEK Finance PLC (10.750% Cash or 10.750% PIK)

 

10.750% due 12/31/2024 (d)(n)

      11,651         12,043  

Enable Midstream Partners LP

 

4.950% due 05/15/2028

      335         326  

Gazprom OAO Via Gaz Capital S.A.

 

7.288% due 08/16/2037

      300         339  

Odebrecht Drilling Norbe Ltd.

 

6.350% due 12/01/2021 (n)

      8,419         7,956  

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

 

7.350% due 12/01/2026 (d)

      2,085         1,037  

Odebrecht Offshore Drilling Finance Ltd.

 

6.720% due 12/01/2022 (n)

      30,630         27,797  

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

 

7.720% due 12/01/2026 (d)(n)

      18,941         5,067  

Petrobras Global Finance BV

 

5.299% due 01/27/2025

      67         62  

5.375% due 10/01/2029 (n)

  GBP     2,320         2,770  

5.999% due 01/27/2028 (n)

  $     6,915         6,270  

5.999% due 01/27/2028

      3,000         2,720  

6.125% due 01/17/2022 (n)

      9,114         9,292  

6.250% due 12/14/2026 (n)

  GBP     9,298         12,423  

6.625% due 01/16/2034 (n)

      11,017         14,173  

7.375% due 01/17/2027 (n)

  $     3,946         3,951  
 

 

See Accompanying Notes   ANNUAL REPORT   JUNE 30, 2018   75


Consolidated Schedule of Investments PIMCO Dynamic Credit and Mortgage Income Fund (Cont.)

 

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

Rio Oil Finance Trust

 

9.750% due 01/06/2027 (n)

  $     2,479     $     2,669  

9.750% due 01/06/2027

      275         296  

Verizon Communications, Inc.

 

2.875% due 01/15/2038

  EUR     400         460  

3.375% due 10/27/2036

  GBP     290         375  

Vodafone Group PLC

 

4.125% due 05/30/2025

  $     378         377  
       

 

 

 
          115,412  
       

 

 

 

Total Corporate Bonds & Notes (Cost $1,243,509)

 

        1,191,598  
       

 

 

 
CONVERTIBLE BONDS & NOTES 0.2%

 

INDUSTRIALS 0.2%

 

Caesars Entertainment Corp.

 

5.000% due 10/01/2024

      2,952         5,056  
       

 

 

 

Total Convertible Bonds & Notes (Cost $5,509)

 

      5,056  
       

 

 

 
MUNICIPAL BONDS & NOTES 1.2%

 

ILLINOIS 0.1%

 

Chicago, Illinois General Obligation Bonds, Series 2014

 

6.314% due 01/01/2044

      350         358  

Chicago, Illinois General Obligation Bonds, Series 2017

 

7.045% due 01/01/2029

      580         630  

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

 

6.725% due 04/01/2035

      145         155  

7.350% due 07/01/2035

      115         129  

Illinois State General Obligation Bonds, Series 2003

 

5.100% due 06/01/2033

      1,360         1,289  
       

 

 

 
          2,561  
       

 

 

 
IOWA 0.0%

 

Iowa Tobacco Settlement Authority Revenue Bonds, Series 2005

 

6.500% due 06/01/2023

      1,140         1,160  
       

 

 

 
NEW JERSEY 0.2%

 

New Jersey Economic Development Authority Revenue Bonds, Series 2005

 

6.500% due 09/01/2036 «

      6,370         6,040  
       

 

 

 
VIRGINIA 0.0%

 

Tobacco Settlement Financing Corp., Virginia Revenue Bonds, Series 2007

 

6.706% due 06/01/2046

      95         94  
       

 

 

 
WEST VIRGINIA 0.9%

 

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

 

0.000% due 06/01/2047 (h)

      231,485         14,336  

7.467% due 06/01/2047

      13,825         13,824  
       

 

 

 
          28,160  
       

 

 

 

Total Municipal Bonds & Notes (Cost $34,378)

 

      38,015  
       

 

 

 
U.S. GOVERNMENT AGENCIES 5.0%

 

Fannie Mae

 

3.000% due 01/25/2042 (a)(n)

      1,081         93  

3.500% due 08/25/2032 (a)(n)

      2,390         347  

3.909% (- 1.0*LIBOR01M + 6.000%) due 08/25/2038 ~(a)

    933         94  

4.059% (- 1.0*LIBOR01M + 6.150%) due 02/25/2043 ~(a)(n)

    4,822         529  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

4.221% (- 2.333*LIBOR01M + 9.100%) due 10/25/2042 ~

  $     2,795     $     2,563  

4.549% (- 1.0*LIBOR01M + 6.640%) due 12/25/2036 ~(a)(n)

      3,722         496  

5.641% (US0001M + 3.550%) due 07/25/2029 ~

      4,480         4,871  

7.841% (US0001M + 5.750%) due 07/25/2029 ~(n)

      6,000         7,169  

Freddie Mac

 

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

      149,607         96,944  

0.100% due 02/25/2046 - 11/25/2050 (a)

      1,466,864         6,045  

0.200% due 04/25/2045 (a)

      29,734         36  

2.079% due 11/25/2045 ~(a)(n)

      51,924         7,643  

4.000% due 03/15/2027 (a)

      874         94  

4.127% (- 1.0*LIBOR01M + 6.200%) due 09/15/2042 ~(a)

      1,703         193  

4.427% (- 1.0*LIBOR01M + 6.500%) due 12/15/2034 ~(a)

      1,477         54  

7.241% (US0001M + 5.150%) due 10/25/2029 ~

      10,650         12,191  

11.091% (US0001M + 9.000%) due 03/25/2029 ~

      4,794         5,786  

11.751% (LIBOR01M + 9.750%) due 12/25/2045 ~

      4,173         4,124  

12.591% (US0001M + 10.500%) due 10/25/2028 ~

      998         1,346  

12.841% (US0001M + 10.750%) due 03/25/2025 ~

      7,149         9,728  

Ginnie Mae

 

3.500% due 06/20/2042 (a)(n)

      1,153         180  

4.036% (- 1.0*LIBOR01M + 6.120%) due 08/20/2042 ~(a)(n)

    3,211         515  

4.166% (- 1.0*LIBOR01M + 6.250%) due 12/20/2040 ~(a)(n)

    3,063         341  

4.615% (- 1.0*LIBOR01M + 6.700%) due 08/16/2039 ~(a)(n)

    3,213         203  
       

 

 

 

Total U.S. Government Agencies (Cost $157,384)

 

        161,585  
       

 

 

 
NON-AGENCY MORTGAGE-BACKED SECURITIES 48.5%

 

Adjustable Rate Mortgage Trust

 

2.241% due 03/25/2037 •

      1,897         1,840  

2.351% due 03/25/2036 •

      5,461         3,974  

3.974% due 03/25/2037 ~(n)

      4,491         4,104  

5.477% due 11/25/2037 ^~(n)

      1,409         1,223  

American Home Mortgage Investment Trust

 

6.600% due 01/25/2037 ×

      5,105         2,376  

ASG Resecuritization Trust

 

2.867% due 01/28/2037 ~(n)

      16,201         13,380  

6.000% due 06/28/2037 ~(n)

      39,606         30,121  

Banc of America Alternative Loan Trust

 

6.000% due 07/25/2035 ^

      128         128  

6.000% due 04/25/2036 (n)

      1,372         1,294  

6.000% due 07/25/2046 ^

      1,695         1,525  

6.500% due 02/25/2036 ^

      2,870         2,781  

12.340% due 09/25/2035 ^•

      365         409  

Banc of America Funding Trust

 

0.000% due 11/26/2036 ~(a)(n)

      33,344         7,253  

2.301% due 04/25/2037 ^•

      2,212         1,828  

3.623% due 09/20/2037 ~

      872         659  

3.661% due 09/20/2047 ^~

      462         418  

3.700% due 09/20/2046 ~

      3,122         2,983  

3.915% due 04/20/2035 ^~

      2,979         2,719  

5.209% due 08/26/2036 ~

      5,937         4,978  

6.000% due 10/25/2037 ^

      5,698         4,319  

Banc of America Mortgage Trust

 

5.750% due 10/25/2036 ^

      1,796         1,693  

5.750% due 05/25/2037 ^

      1,292         1,130  

6.000% due 10/25/2036 ^

      218         207  

Bancorp Commercial Mortgage Trust

 

5.796% due 08/15/2032 •(n)

      3,470         3,498  

Barclays Commercial Mortgage Securities Trust

 

7.073% due 08/15/2027 •(n)

      24,090         23,744  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Bayview Commercial Asset Trust

 

2.311% due 03/25/2037 •

  $     235     $     226  

2.321% due 12/25/2036 •

      343         332  

2.521% due 08/25/2034 •

      165         164  

BCAP LLC

 

6.000% due 10/26/2037 ~

      4,728         4,388  

6.619% due 07/26/2036 ~

      789         835  

BCAP LLC Trust

 

2.140% due 05/26/2036 •

      6,136         5,614  

2.164% due 02/26/2047 •(n)

      21,398         17,608  

2.190% due 02/26/2037 ~(n)

      19,447         13,941  

2.460% due 05/26/2035 •

      7,311         5,755  

3.680% due 03/27/2037 ~

      7,937         5,975  

3.798% due 07/26/2036 ~

      4,717         4,456  

3.849% due 07/26/2036 ~

      1,007         921  

3.853% due 03/26/2037 ~

      2,230         1,953  

5.500% due 12/26/2035 ~(n)

      12,754         11,366  

6.021% due 06/26/2037 ~(n)

      7,053         7,141  

6.387% due 11/26/2035 ~

      3,045         3,109  

12.207% due 01/26/2036 ~

      13,939         3,558  

Bear Stearns Adjustable Rate Mortgage Trust

 

3.604% due 02/25/2036 ^~

      1,419         1,349  

Bear Stearns ALT-A Trust

 

2.431% due 08/25/2036 •(n)

      34,761         27,080  

2.591% due 01/25/2036 ^•(n)

      11,286         11,748  

3.216% due 03/25/2035 •(n)

      7,349         6,506  

3.267% due 04/25/2037 ~(n)

      7,535         6,166  

3.544% due 03/25/2036 ~

      2,828         2,098  

3.552% due 08/25/2046 ~(n)

      5,180         4,911  

3.573% due 12/25/2046 ^~(n)

      6,131         4,863  

3.777% due 09/25/2035 ^~(n)

      7,095         5,161  

3.798% due 07/25/2036 ~(n)

      54,987         32,049  

Bear Stearns Asset-Backed Securities Trust

 

6.000% due 12/25/2035 ^

      579         525  

Bear Stearns Commercial Mortgage Securities Trust

 

5.911% due 04/12/2038 ~

      1,120         873  

Bear Stearns Mortgage Funding Trust

 

7.500% due 08/25/2036 ×(n)

      4,053         3,667  

CD Mortgage Trust

 

5.688% due 10/15/2048

      20,013         10,107  

Citigroup Commercial Mortgage Trust

 

5.800% due 12/10/2049 ~(n)

      15,765         10,835  

Citigroup Mortgage Loan Trust

 

3.286% due 03/25/2037 ~

      4,214         3,729  

3.529% due 03/25/2037 ^~

      2,446         2,390  

3.559% due 04/25/2037 ^~

      776         675  

3.646% due 08/25/2037 ~

      4,252         3,161  

3.978% due 08/25/2034 ~

      6,115         5,108  

4.417% due 07/25/2036 ^~

      3,357         2,576  

5.500% due 12/25/2035

      3,961         3,307  

6.000% due 07/25/2036

      5,353         3,913  

6.500% due 09/25/2036

      1,676         1,368  

Citigroup/Deutsche Bank Commercial Mortgage Trust

 

5.398% due 12/11/2049 ~(n)

      2,138         1,278  

Commercial Mortgage Loan Trust

 

6.254% due 12/10/2049 ~(n)

      19,035         11,830  

Commercial Mortgage Trust

 

4.000% due 07/10/2046 (n)

      8,000         6,756  

5.377% due 12/10/2046

      233         235  

5.505% due 03/10/2039 ~

      939         645  

5.951% due 07/10/2038 ~(n)

      10,700         9,866  

6.601% due 06/10/2036 ~(n)

      2,850         2,826  

Countrywide Alternative Loan Resecuritization Trust

 

3.296% due 03/25/2047 ~

      1,880         1,879  

7.000% due 01/25/2037

      6,413         3,271  

Countrywide Alternative Loan Trust

 

2.271% due 05/25/2036 •(n)

      20,923           16,119  

2.274% due 03/20/2047 •(n)

      898         761  

2.301% due 08/25/2047 ^•

      1,856         1,669  

2.311% due 05/25/2047 •(n)

      17,003         11,054  

2.321% due 03/25/2036 •(n)

      21,099         18,434  

2.351% due 07/25/2036 •(n)

      9,570         7,689  

2.384% due 11/20/2035 •

      225         215  

2.791% due 10/25/2035 ^•

      1,216         1,042  

2.868% due 07/20/2035 ^•(n)

      15,249         12,526  

3.590% due 05/25/2036 ~(n)

      8,399         7,449  

5.500% due 11/25/2035

      2,389         1,864  
 

 

76   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


 

June 30, 2018

 

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

5.500% due 02/25/2036 ^

  $     1,704     $     1,516  

5.500% due 02/25/2036

      1,850         1,693  

5.500% due 05/25/2036 ^(n)

      1,959         1,829  

5.500% due 05/25/2036 (n)

      6,036         5,635  

6.000% due 03/25/2035 ^

      445         342  

6.000% due 04/25/2036

      784         608  

6.000% due 01/25/2037 ^(n)

      1,401         1,349  

6.000% due 02/25/2037 ^

      2,003         1,384  

6.000% due 04/25/2037 ^(n)

      6,455         4,880  

6.250% due 12/25/2036 ^•

      772         586  

14.049% due 07/25/2035 •

      137         154  

Countrywide Asset-Backed Certificates

 

2.331% due 04/25/2036 •

      744         603  

Countrywide Home Loan Mortgage Pass-Through Trust

 

3.490% due 05/20/2036 ^~

      2,647         2,159  

3.748% due 09/20/2036 ~

      5,069         4,193  

3.961% due 03/25/2046 ^•(n)

      57,398           36,823  

Credit Suisse Commercial Mortgage Trust

 

5.886% due 02/15/2039 ~(n)

      6,243         6,311  

Credit Suisse First Boston Mortgage Securities Corp.

 

4.952% due 07/15/2037 ~(n)

      4,620         4,737  

5.100% due 08/15/2038 ~

      3,400         3,293  

6.000% due 01/25/2036 (n)

      395         356  

Credit Suisse Mortgage Capital Certificates

 

1.833% due 11/27/2037 •

      7,766         5,259  

2.460% due 11/30/2037 •

      10,750         9,479  

3.151% due 12/29/2037 ~

      5,123         4,272  

3.344% due 05/27/2036 ~(n)

      9,936         7,921  

3.367% due 10/26/2036 ~(n)

      21,830         20,652  

3.453% due 05/26/2036 ~(n)

      9,179         6,933  

3.597% due 09/26/2047 ~(n)

      25,081         17,279  

3.833% due 04/28/2037 ~

      6,441         5,628  

3.952% due 11/25/2037 •(n)

      9,975         7,755  

5.750% due 05/26/2037 (n)

      26,929         24,263  

Credit Suisse Mortgage Capital Mortgage-Backed Trust

 

6.000% due 07/25/2036

      864         723  

6.000% due 07/25/2036 (n)

      1,936         1,621  

6.500% due 05/25/2036 ^

      3,446         2,501  

DBUBS Mortgage Trust

 

4.652% due 11/10/2046 (n)

      19,203         14,713  

Debussy DTC PLC

 

5.930% due 07/12/2025 (n)

  GBP     55,000         72,223  

8.250% due 07/12/2025

      10,000         10,558  

Deutsche ALT-A Securities, Inc.

 

2.391% due 04/25/2037 •(n)

  $     8,382         5,609  

5.500% due 12/25/2035 ^

      743         675  

Epic Drummond Ltd.

 

0.000% due 01/25/2022 •(n)

  EUR     3,514         4,084  

Eurosail PLC

 

0.000% due 06/13/2045 ~

  GBP     4         6,907  

0.519% due 03/13/2045 •

  EUR     7,067         6,388  

0.927% due 06/13/2045 •

  GBP     1,594         1,877  

1.627% (BP0003M + 1.000%) due 06/13/2045 ~

      17,453         22,194  

1.877% (BP0003M + 1.250%) due 06/13/2045 ~

      18,008         22,698  

2.227% due 09/13/2045 •

      15,406         19,625  

2.377% (BP0003M + 1.750%) due 06/13/2045 ~

      11,085         12,633  

2.877% due 09/13/2045 •

      10,990         13,893  

4.127% (BP0003M + 3.500%) due 06/13/2045 ~

      3,932         4,444  

4.477% due 09/13/2045 •

      9,132         12,708  

First Horizon Alternative Mortgage Securities Trust

 

0.000% due 02/25/2020 (b)(h)

  $     7         7  

0.000% due 05/25/2020 (b)(h)

      12         10  

0.000% due 03/25/2035 (b)(h)

      97         82  

First Horizon Mortgage Pass-Through Trust

 

4.039% due 05/25/2037 ^~(n)

      6,703         5,659  

Fondo de Titulizacion de Activos UCI

 

0.000% due 06/16/2049 •

  EUR     3,368         3,751  

GC Pastor Hipotecario FTA

 

0.000% due 06/21/2046 •(n)

      26,290         27,039  

GE Commercial Mortgage Corp. Trust

 

5.606% due 12/10/2049 ~(n)

  $     20,351         20,246  

Grifonas Finance PLC

 

0.009% due 08/28/2039 •

  EUR     10,050         10,551  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

GS Mortgage Securities Corp.

 

4.744% due 10/10/2032 ~(n)

  $     28,657     $     25,860  

GSC Capital Corp. Mortgage Trust

 

2.271% due 05/25/2036 ^•

      3,005         2,675  

HarborView Mortgage Loan Trust

 

2.745% due 06/19/2045 ^•(n)

      1,319         868  

Hipocat FTA

 

0.000% due 01/15/2050 •

  EUR     4,467         5,079  

HomeBanc Mortgage Trust

 

3.616% due 04/25/2037 ^~(n)

  $     7,121         6,428  

HSI Asset Loan Obligation Trust

 

6.000% due 06/25/2037 ^(n)

      11,112         10,116  

IM Pastor Fondo de Titluzacion Hipotecaria

 

0.000% due 03/22/2043 •(n)

  EUR     32,673         34,707  

IM Pastor Fondo de Titulizacion de Activos

 

0.000% due 03/22/2044 •

      1,035         1,113  

Impac Secured Assets Trust

 

2.261% due 01/25/2037 •(n)

  $     4,745         4,567  

IndyMac Mortgage Loan Trust

 

2.301% due 11/25/2036 •

      263         254  

3.504% due 11/25/2035 ^~

      4,745         4,405  

3.905% due 06/25/2036 ~(n)

      1,277         1,220  

Jefferies Resecuritization Trust

 

6.000% due 12/26/2036 ~

      3,978         1,905  

JPMorgan Alternative Loan Trust

 

2.468% due 06/27/2037 •(n)

      13,398           12,053  

3.381% due 11/25/2036 ^~(n)

      1,079         1,121  

3.735% due 05/25/2036 ^~

      1,008         820  

6.000% due 12/25/2035 ^

      1,207         1,177  

10.809% due 06/27/2037 ~(n)

      14,393         9,199  

JPMorgan Chase Commercial Mortgage Securities Trust

 

2.972% due 05/15/2045 ~

      4,227         1,985  

4.000% due 08/15/2046 ~

      2,732         1,693  

5.010% due 07/15/2042 ~

      2,334         2,369  

5.500% due 10/15/2032 •

      4,700         4,546  

5.768% due 01/12/2043 ~(n)

      3,205         3,252  

6.253% due 06/12/2041 ~

      10,975         10,916  

JPMorgan Resecuritization Trust

 

3.521% due 03/21/2037 ~

      5,306         4,646  

6.000% due 09/26/2036

      2,677         2,311  

6.500% due 04/26/2036 ~

      6,447         3,570  

Lansdowne Mortgage Securities PLC

 

0.019% due 09/16/2048 •

  EUR     10,848         11,558  

Lavender Trust

 

6.250% due 10/26/2036

  $     5,311         4,331  

LB-UBS Commercial Mortgage Trust

 

5.954% due 02/15/2040 ~(n)

      6,683         6,687  

6.434% due 06/15/2038 ~

      462         475  

Lehman Mortgage Trust

 

6.000% due 01/25/2038 ^

      3,135         3,327  

Lehman XS Trust

 

2.991% due 08/25/2047 •

      562         476  

Merrill Lynch Alternative Note Asset Trust

 

6.000% due 05/25/2037 ^

      3,732         3,516  

Merrill Lynch Mortgage Investors Trust

 

3.612% due 03/25/2036 ^~

      12,801         9,944  

Morgan Stanley Capital Trust

 

5.399% due 12/15/2043

      4,950         3,836  

6.285% due 06/11/2049 ~(n)

      2,923         2,953  

6.316% due 08/12/2041 ~(n)

      7,225         7,452  

Morgan Stanley Mortgage Loan Trust

 

2.261% due 05/25/2036 •

      188         80  

3.716% due 05/25/2036 ^~(n)

      2,882         2,270  

5.962% due 06/25/2036 ~

      2,309         1,051  

Morgan Stanley Re-REMIC Trust

 

3.113% due 02/26/2037 •

      5,158         4,503  

3.624% due 03/26/2037 ×

      3,104         2,657  

Morgan Stanley Resecuritization Trust

 

4.030% due 06/26/2035 ~(n)

      10,857         8,246  

Mortgage Equity Conversion Asset Trust

 

4.000% due 07/25/2060 «(n)

      5,448         4,820  

Motel 6 Trust

 

9.000% due 08/15/2019 •(n)

      42,184         42,935  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Natixis Commercial Mortgage Securities Trust

 

4.323% due 11/15/2034 •

  $     5,611     $     5,629  

5.073% due 11/15/2034 •

      7,294         7,327  

6.073% due 11/15/2034 •

      3,163         3,169  

PHH Alternative Mortgage Trust

 

0.000% due 02/25/2037 ^(b)(h)

      7         6  

RBSSP Resecuritization Trust

 

3.944% due 09/26/2035 ~

      7,672         5,831  

6.000% due 06/26/2037 ~

      1,232         1,035  

7.445% due 06/26/2037 ~

      674         584  

Residential Accredit Loans, Inc. Trust

 

2.241% due 02/25/2037 •(n)

      742         701  

6.000% due 12/25/2035 ^(n)

      3,094         2,995  

6.000% due 11/25/2036 ^(n)

      3,774         3,387  

6.250% due 02/25/2037 ^(n)

      4,855         4,351  

6.500% due 09/25/2037 ^

      1,777         1,574  

Residential Asset Mortgage Products Trust

 

8.000% due 05/25/2032 (n)

      909         762  

Residential Asset Securitization Trust

 

6.000% due 05/25/2036

      1,126         1,102  

6.000% due 02/25/2037 ^

      227         174  

6.000% due 03/25/2037 ^

      3,190         2,147  

6.250% due 10/25/2036 ^

      129         123  

RiverView HECM Trust

 

2.840% due 05/25/2047 «•(n)

      18,498         16,879  

Sequoia Mortgage Trust

 

2.526% due 02/20/2034 •

      545         525  

3.257% due 09/20/2032 ~

      591         580  

Structured Adjustable Rate Mortgage Loan Trust

 

3.998% due 04/25/2036 ^~

      289         405  

Structured Asset Mortgage Investments Trust

 

2.301% due 05/25/2036 •

      38         35  

Structured Asset Securities Corp. Trust

 

5.500% due 10/25/2035 ^

      1,544         1,335  

Suntrust Adjustable Rate Mortgage Loan Trust

 

3.626% due 02/25/2037 ^~(n)

      6,357         5,514  

Theatre Hospitals PLC

 

3.786% due 10/15/2031 •(n)

  GBP     36,968         47,489  

4.536% due 10/15/2031 •

      1,756         2,251  

Wachovia Bank Commercial Mortgage Trust

 

5.691% due 10/15/2048 ~(n)

  $     8,204         8,314  

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

      600         595  

WaMu Mortgage Pass-Through Certificates Trust

 

2.395% due 07/25/2046 •

      352         344  

3.358% due 08/25/2036 ^~

      2,606         2,550  

Warwick Finance Residential Mortgages Number Three PLC

 

0.000% due 12/21/2049 (h)

  GBP     0         2,033  

1.436% due 12/21/2049 •

      23,844         31,574  

2.136% due 12/21/2049 •

      2,261         3,028  

2.636% due 12/21/2049 •

      1,130         1,516  

3.136% due 12/21/2049 •

      646         867  

3.636% due 12/21/2049 •

      646         857  

Warwick Finance Residential Mortgages PLC

 

0.000% due 09/21/2049 ~

      0           141,220  

Washington Mutual Mortgage Pass-Through Certificates Trust

 

2.331% due 01/25/2047 ^•(n)

  $     2,492         2,294  

2.528% (12MTA + 0.970%) due 06/25/2046 ~(n)

      9,389         5,653  

5.750% due 11/25/2035 ^(n)

      1,945         1,855  

5.967% due 05/25/2036 ^×(n)

      7,827         6,900  

Wells Fargo Mortgage Loan Trust

 

3.584% due 03/27/2037 ~(n)

      8,018         7,174  
       

 

 

 

Total Non-Agency Mortgage-Backed Securities (Cost $1,504,503)

 

        1,581,466  
       

 

 

 
ASSET-BACKED SECURITIES 62.3%

 

Aames Mortgage Investment Trust

 

3.081% due 07/25/2035 •(n)

      19,113         19,112  

ACE Securities Corp. Home Equity Loan Trust

 

2.201% due 12/25/2036 •(n)

      25,867         10,683  

2.711% due 02/25/2036 ^•(n)

      6,298         5,942  

3.186% due 07/25/2035 ^•

      17,938         12,633  
 

 

See Accompanying Notes   ANNUAL REPORT   JUNE 30, 2018   77


Consolidated Schedule of Investments PIMCO Dynamic Credit and Mortgage Income Fund (Cont.)

 

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

Adagio CLO DAC

 

0.000% due 04/30/2031 ~

  EUR     1,800     $     1,898  

Aegis Asset-Backed Securities Trust

 

2.571% due 06/25/2035 •(n)

  $     12,094         10,754  

Airspeed Ltd.

 

2.343% due 06/15/2032 •

      16,538         14,445  

American Money Management Corp. CLO Ltd.

 

8.408% due 04/14/2029 •(n)

      6,100         6,122  

9.307% due 12/09/2026 •

      10,000         10,193  

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

 

2.701% due 09/25/2035 •(n)

      13,750         13,212  

4.041% due 09/25/2032 •

      1,148         1,127  

Arbor Realty Commercial Real Estate Notes Ltd.

 

6.573% due 04/15/2027 •

      5,300         5,470  

Argent Securities Trust

 

2.191% due 06/25/2036 •

      2,093         802  

2.211% due 04/25/2036 •

      1,219         524  

2.241% due 06/25/2036 •

      4,390         1,690  

2.241% due 09/25/2036 •

      9,215         4,027  

2.281% due 03/25/2036 •(n)

      13,096         7,909  

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

 

2.411% due 01/25/2036 •(n)

      17,341         16,016  

2.471% due 02/25/2036 •(n)

      34,545           27,259  

2.551% due 11/25/2035 •(n)

      5,851         4,988  

3.366% due 11/25/2034 •(n)

      9,031         8,343  

Asset-Backed Funding Certificates Trust

 

2.916% due 07/25/2035 •(n)

      7,400         7,066  

3.010% due 03/25/2034 •

      1,131         1,058  

Asset-Backed Securities Corp. Home Equity Loan Trust

 

4.512% due 08/15/2033 •

      631         630  

Banco Bilbao Vizcaya Argentaria S.A.

 

0.327% due 03/22/2046 «•

  EUR     1,373         1,235  

Bear Stearns Asset-Backed Securities Trust

 

2.231% due 12/25/2036 •(n)

  $     17,977         18,874  

3.291% due 07/25/2035 •(n)

      39,756         38,425  

3.591% due 10/27/2032 •

      298         294  

3.937% due 10/25/2036 ~

      524         491  

3.966% due 12/25/2034 •(n)

      18,650         18,038  

BSPRT Issuer Ltd.

 

6.323% due 06/15/2027 •

      12,900         13,011  

C-BASS CBO Corp.

 

2.564% due 09/06/2041 •

      65,385         6,983  

Carlyle Global Market Strategies CLO Ltd.

 

0.000% due 04/07/2031 ~

      2,900         2,291  

Carrington Mortgage Loan Trust

 

2.171% due 10/25/2036 •(n)

      1,052         801  

2.351% due 02/25/2037 •(n)

      8,300         7,644  

2.511% due 02/25/2037 •(n)

      13,201         10,022  

3.141% due 05/25/2035 •

      4,400         4,316  

Cavendish Square Funding PLC

 

0.613% due 02/11/2055 •

  EUR     1,500         1,696  

1.523% due 02/11/2055 •

      3,500         4,014  

CIFC Funding Ltd.

 

0.000% due 05/24/2026 ~

  $     3,390         2,475  

Citigroup Mortgage Loan Trust

 

2.231% due 01/25/2037 •(n)

      28,414         25,179  

2.241% due 12/25/2036 •(n)

      24,257         12,829  

2.251% due 09/25/2036 •(n)

      18,399         14,054  

2.291% due 05/25/2037 •

      724         532  

2.311% due 12/25/2036 •

      4,885         2,612  

2.791% due 11/25/2046 •

      4,867         2,866  

6.351% due 05/25/2036 ^×

      2,993         1,782  

Conseco Finance Securitizations Corp.

 

9.546% due 12/01/2033 ~(n)

      6,480         6,953  

Cork Street CLO Designated Activity Co.

 

0.000% due 11/27/2028 ~

  EUR     2,667         3,139  

3.600% due 11/27/2028

      1,197         1,403  

4.500% due 11/27/2028

      1,047         1,230  

6.200% due 11/27/2028

      1,296         1,521  

Coronado CDO Ltd.

 

3.821% due 09/04/2038 •

  $     26,800         19,068  

6.000% due 09/04/2038

      4,300         3,532  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Countrywide Asset-Backed Certificates

 

2.221% due 12/25/2036 ^•(n)

  $     31,648     $     29,676  

2.231% due 06/25/2035 •(n)

      65,767         60,264  

2.231% due 03/25/2037 •(n)

      22,060         18,928  

2.231% due 07/25/2037 ^•(n)

      11,475         10,244  

2.231% due 06/25/2047 ^•(n)

      48,991         45,310  

2.251% due 05/25/2036 •(n)

      8,572         7,573  

2.291% due 06/25/2037 ^•(n)

      20,738         18,729  

2.311% due 05/25/2037 •(n)

      10,900         10,461  

2.311% due 08/25/2037 •(n)

      26,000         23,118  

2.311% due 05/25/2047 •(n)

      17,951         16,956  

2.311% due 06/25/2047 ^•(n)

      19,000         15,448  

2.321% due 04/25/2047 •(n)

      35,000         26,862  

2.331% due 03/25/2036 •(n)

      33,958         30,722  

2.381% due 10/25/2047 •(n)

      59,229         50,703  

2.481% due 04/25/2036 •(n)

      8,762         6,444  

2.510% due 05/25/2047 ^•

      3,784         3,039  

2.541% due 03/25/2047 ^•

      1,891         1,470  

2.581% due 04/25/2036 •

      15,850         10,584  

3.291% due 06/25/2033 •

      128         115  

4.746% due 10/25/2046 ^~

      580         566  

4.814% due 10/25/2032 ^~(n)

      22,838         20,659  

Countrywide Asset-Backed Certificates Trust

 

2.241% due 03/25/2047 •(n)

      12,270         12,036  

2.611% due 05/25/2036 •(n)

      32,300         27,166  

3.816% due 11/25/2034 •(n)

      13,611         13,037  

Crecera Americas LLC

 

0.000% due 08/31/2020 •

      49,923         49,988  

Credit-Based Asset Servicing & Securitization LLC

 

2.721% due 07/25/2035 •

      3,000         2,757  

Dekania Europe CDO PLC

 

0.196% due 09/27/2037 •

  EUR     1,951         2,254  

ECAF Ltd.

 

4.947% due 06/15/2040

  $     5,833         5,899  

Encore Credit Receivables Trust

 

2.781% due 07/25/2035 •

      421         408  

Euromax ABS PLC

 

0.012% due 11/10/2095 •

  EUR     6,000         6,387  

FAB UK Ltd.

 

0.000% due 12/06/2045 ~

  GBP     10,755         6,171  

Fieldstone Mortgage Investment Trust

 

2.261% due 07/25/2036 •

  $     6,350         3,799  

First Franklin Mortgage Loan Trust

 

0.000% due 04/25/2036 (b)(h)(n)

      8,040         7,040  

2.331% due 04/25/2036 •(n)

      6,825         6,014  

2.471% due 02/25/2036 •

      5,500         4,098  

3.036% due 09/25/2035 •

      6,175         4,823  

3.066% due 05/25/2036 •(n)

      14,889         7,828  

Fremont Home Loan Trust

 

2.241% due 01/25/2037 •

      3,780         2,246  

2.331% due 02/25/2037 •

      1,549         886  

Glacier Funding CDO Ltd.

 

2.633% due 08/04/2035 •

      24,397         6,194  

Greenpoint Manufactured Housing

 

9.230% due 12/15/2029 ~(n)

      9,089         7,524  

Greystone Commercial Real Estate Ltd.

 

6.823% due 03/15/2027 •(n)

      25,000           24,873  

GSAA Home Equity Trust

 

5.058% due 05/25/2035 ×(n)

      5,158         5,280  

GSAMP Trust

 

2.151% due 01/25/2037 •

      3,915         2,679  

2.181% due 01/25/2037 •(n)

      1,168         801  

2.251% due 04/25/2036 •(n)

      682         510  

2.291% due 11/25/2036 •(n)

      4,811         3,042  

2.341% due 12/25/2036 •(n)

      5,169         2,867  

2.361% due 04/25/2036 •(n)

      24,330         18,605  

3.741% due 10/25/2034 •

      488         477  

4.641% due 10/25/2033 •

      340         341  

Halcyon Loan Advisors European Funding BV

 

0.000% due 04/15/2030 ~

  EUR     1,400         1,479  

Hillcrest CDO Ltd.

 

2.667% due 12/10/2039 •

  $     46,963         19,795  

Home Equity Asset Trust

 

3.186% due 05/25/2035 •

      3,800         3,729  

3.291% due 07/25/2035 •

      4,000         3,723  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Home Equity Loan Trust

 

2.431% due 04/25/2037 •(n)

  $     13,500     $       11,228  

Home Equity Mortgage Loan Asset-Backed Trust

 

2.251% due 11/25/2036 •(n)

      5,994         4,918  

2.331% due 04/25/2037 •(n)

      3,975         3,006  

2.531% due 03/25/2036 •

      1,504         1,413  

House of Europe Funding PLC

 

0.000% due 11/08/2090 •

  EUR     2,626         3,046  

Hout Bay Corp.

 

2.255% due 07/05/2041 •

  $     84,596         27,494  

HSI Asset Securitization Corp. Trust

 

2.201% due 12/25/2036 •(n)

      25,655         10,030  

2.251% due 10/25/2036 •

      9,867         5,194  

2.261% due 12/25/2036 •(n)

      15,714         6,141  

2.281% due 01/25/2037 •(n)

      44,628         36,518  

2.481% due 11/25/2035 •(n)

      5,830         5,606  

IXIS Real Estate Capital Trust

 

3.066% due 09/25/2035 ^•

      5,457         4,046  

JPMorgan Mortgage Acquisition Trust

 

2.241% due 07/25/2036 •

      2,240         1,142  

2.251% due 07/25/2036 ^•

      1,367         587  

5.462% due 09/25/2029 ^×

      3,982         3,290  

5.888% due 10/25/2036 ^×(n)

      13,274         10,962  

Jubilee CLO BV

 

0.000% due 01/15/2028 ~

  EUR     7,000         5,608  

Lehman XS Trust

 

4.903% due 05/25/2037 ^~(n)

  $     13,061         11,905  

Long Beach Mortgage Loan Trust

 

2.281% due 02/25/2036 •(n)

      46,827         39,580  

2.741% due 09/25/2034 •

      1,216         1,151  

2.796% due 11/25/2035 •(n)

      39,020         31,156  

MASTR Asset-Backed Securities Trust

 

2.261% due 06/25/2036 •(n)

      7,833         6,860  

2.271% due 02/25/2036 •(n)

      8,638         4,900  

2.331% due 06/25/2036 •(n)

      3,887         2,302  

2.631% due 12/25/2035 •(n)

      11,886         6,840  

Morgan Stanley ABS Capital, Inc. Trust

 

2.151% due 09/25/2036 •

      4,080         2,091  

2.161% due 10/25/2036 •

      4         3  

2.231% due 10/25/2036 •(n)

      10,190         6,327  

2.241% due 06/25/2036 •(n)

      7,471         5,168  

2.241% due 06/25/2036 •

      1,548         1,335  

2.241% due 09/25/2036 •

      8,197         4,263  

2.241% due 11/25/2036 •(n)

      19,662         13,602  

2.311% due 10/25/2036 •

      4,911         3,078  

2.766% due 09/25/2035 •(n)

      18,121         16,391  

3.126% due 01/25/2035 •

      4,906         2,291  

4.041% due 05/25/2034 •

      2,160         2,137  

National Collegiate Commutation Trust

 

0.000% due 03/25/2038 •

      87,000         46,951  

New Century Home Equity Loan Trust

 

5.091% due 01/25/2033 ^•

      549         516  

Nomura Home Equity Loan, Inc. Home Equity Loan Trust

 

2.421% due 10/25/2036 ^•

      5,066         1,843  

2.511% due 02/25/2036 •(n)

      31,899         25,533  

Ocean Trails CLO

 

7.455% due 08/13/2025 •

      3,500         3,509  

Option One Mortgage Loan Trust

 

2.221% due 07/25/2037 •(n)

      17,638         12,140  

2.231% due 01/25/2037 •(n)

      11,873         7,807  

2.311% due 01/25/2037 •

      2,421         1,604  

2.341% due 03/25/2037 •

      726         445  

2.421% due 04/25/2037 •

      2,846         1,893  

Option One Mortgage Loan Trust Asset-Backed Certificates

 

2.551% due 11/25/2035 •(n)

      13,200         12,354  

Park Place Securities, Inc.

 

2.721% due 09/25/2035 •(n)

      7,240         6,689  

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

 

2.581% due 08/25/2035 •(n)

      8,350         8,107  

2.916% due 07/25/2035 •(n)

      30,950         30,044  

3.126% due 03/25/2035 ^•(n)

      7,500         6,971  

3.216% due 10/25/2034 •(n)

      10,000         9,485  

3.816% due 02/25/2035 •(n)

      29,447         28,274  

4.116% due 12/25/2034 •(n)

      25,974         22,957  
 

 

78   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


 

June 30, 2018

 

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

Popular ABS Mortgage Pass-Through Trust

 

2.781% due 06/25/2035 •

  $     626     $     611  

3.241% due 06/25/2035 •

      1,349         1,296  

RAAC Trust

 

3.841% due 05/25/2046 •(n)

      17,151         14,545  

Renaissance Home Equity Loan Trust

 

5.612% due 04/25/2037 ×

      3,169         1,562  

Residential Asset Mortgage Products Trust

 

2.411% due 01/25/2036 •(n)

      12,488         11,306  

2.471% due 01/25/2036 •

      4,360         4,302  

2.811% due 02/25/2035 •

      250         250  

2.841% due 04/25/2034 •(n)

      4,138         4,106  

2.961% due 04/25/2034 •(n)

      4,664         4,619  

3.666% due 04/25/2034 ^•

      1,254         988  

4.071% due 04/25/2034 ^•

      1,738         1,329  

Residential Asset Securities Corp. Trust

 

2.221% due 11/25/2036 •(n)

      11,283         8,994  

2.261% due 10/25/2036 •(n)

      13,206         9,821  

2.371% due 04/25/2036 •

      5,270         5,051  

2.421% due 04/25/2036 •(n)

      7,651         5,408  

2.431% due 05/25/2037 •(n)

      9,275         8,997  

2.751% due 12/25/2035 •(n)

      17,443         14,597  

3.216% due 02/25/2035 •

      1,900         1,905  

Securitized Asset-Backed Receivables LLC Trust

 

2.231% due 07/25/2036 •(n)

      23,720         20,147  

2.251% due 07/25/2036 •

      2,946         1,491  

2.341% due 05/25/2036 •(n)

      19,130         12,625  

2.361% due 03/25/2036 •(n)

      8,285         7,390  

2.541% due 10/25/2035 •(n)

      13,000         12,470  

2.691% due 11/25/2035 •(n)

      11,171         8,406  

2.751% due 08/25/2035 •(n)

      3,778         2,585  

SLM Student Loan EDC Repackaging Trust

 

0.000% due 10/28/2029 «(h)

      25         24,959  

SLM Student Loan Trust

 

0.000% due 01/25/2042 «(h)

      20         15,043  

SoFi Professional Loan Program LLC

 

0.000% due 03/25/2036 «(h)

      200         3,696  

0.000% due 01/25/2039 «(h)

      21,280         10,268  

0.000% due 05/25/2040 «(h)

      22,175         12,861  

0.000% due 07/25/2040 «(h)

      110         6,513  

0.000% due 09/25/2040 «(a)(h)

      9,122         5,473  

Soloso CDO Ltd.

 

2.651% due 10/07/2037 •

      11,318         9,394  

Sound Point CLO Ltd.

 

7.212% due 01/23/2027 •

      1,000         1,001  

Soundview Home Loan Trust

 

2.241% due 06/25/2037 •(n)

      3,596         2,616  

2.251% due 11/25/2036 •(n)

      7,960         7,820  

2.271% due 02/25/2037 •

      8,442         3,602  

2.351% due 02/25/2037 •

      9,798         4,242  

2.371% due 05/25/2036 •(n)

      14,665         14,069  

2.441% due 03/25/2036 •(n)

      7,933         7,682  

3.041% due 10/25/2037 •(n)

      7,386         6,398  

3.191% due 09/25/2037 •

      2,642         2,493  

Specialty Underwriting & Residential Finance Trust

 

2.441% due 03/25/2037 •

      631         356  

3.066% due 12/25/2035 •

      3,871         3,870  

3.891% due 05/25/2035 •

      2,035         1,985  

3.939% due 02/25/2037 ^×

      3,431         1,913  

Symphony CLO Ltd.

 

6.948% due 07/14/2026 •

      10,700         10,647  

7.248% due 10/15/2025 •(n)

      9,850         9,867  

Taberna Preferred Funding Ltd.

 

2.703% due 05/05/2038 •

      13,445         12,908  

2.713% due 02/05/2037 •

      26,298         23,668  

2.749% due 08/05/2036 ^•

      18,662         15,863  

2.749% due 08/05/2036 •

      4,639         3,943  

Trapeza CDO LLC

 

2.776% due 01/20/2034 •(n)

      10,249         10,198  

Wachovia Mortgage Loan Trust

 

2.781% due 10/25/2035 •(n)

      8,000         7,188  

Wells Fargo Home Equity Asset-Backed Securities Trust

 

2.421% due 05/25/2036 •(n)

      5,000         4,922  
       

 

 

 

Total Asset-Backed Securities (Cost $1,833,575)

 

        2,030,830  
       

 

 

 
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
SOVEREIGN ISSUES 3.8%

 

Argentina Government International Bond

 

2.260% due 12/31/2038 ×

  EUR     26,572     $     18,386  

3.375% due 01/15/2023

      800         851  

3.875% due 01/15/2022

      7,800         8,750  

5.250% due 01/15/2028

      400         403  

6.250% due 11/09/2047

      400         366  

7.820% due 12/31/2033

      54,148         63,261  

22.844% (BADLARPP) due 10/04/2022 ~

  ARS     1,302         69  

34.188% (BADLARPP + 2.000%) due 04/03/2022 ~

      329,220         10,386  

34.194% (BADLARPP + 2.500%) due 03/11/2019 ~

      1,210         41  

34.660% (BADLARPP + 3.250%) due 03/01/2020 ~

      4,700         159  

40.000% (ARPP7DRR) due 06/21/2020 ~

      262,906         9,470  

Autonomous Community of Catalonia

 

4.900% due 09/15/2021

  EUR     100         127  

4.950% due 02/11/2020

      100         124  

Egypt Government International Bond

 

4.750% due 04/16/2026

      1,500         1,614  

5.625% due 04/16/2030

      1,500         1,578  

Peru Government International Bond

 

6.350% due 08/12/2028

  PEN     14,900         4,750  

Republic of Greece Government International Bond

 

4.750% due 04/17/2019

  EUR     1,900         2,286  

Venezuela Government International Bond

 

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

  $     1,330         356  

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

      1,654         474  
       

 

 

 

Total Sovereign Issues (Cost $146,762)

 

        123,451  
       

 

 

 
        SHARES            
COMMON STOCKS 2.1%

 

CONSUMER DISCRETIONARY 0.8%

 

Caesars Entertainment Corp. (f)

    2,222,152         23,777  
       

 

 

 
ENERGY 1.0%

 

Dommo Energia S.A. «(f)(l)

      54,507,381         14,904  

Dommo Energia S.A. SP - ADR «

    8,580         317  

Forbes Energy Services Ltd. (f)(l)

      152,625         1,381  

Ocean Rig UDW, Inc. (f)

      545,970         16,095  
       

 

 

 
          32,697  
       

 

 

 
FINANCIALS 0.1%

 

TIG FinCo PLC «(l)

      2,651,536         4,199  
       

 

 

 
UTILITIES 0.2%

 

Eneva S.A. (f)(l)

      32,781         101  

TexGen Power LLC «

      285,522         9,048  
       

 

 

 

Total Common Stocks (Cost $60,724)

 

      69,822  
       

 

 

 
WARRANTS 0.0%

 

INDUSTRIALS 0.0%

 

Sequa Corp. - Exp. 04/28/2024 «

    2,530,304         648  
       

 

 

 

Total Warrants (Cost $0)

 

      648  
       

 

 

 
PREFERRED SECURITIES 1.4%

 

BANKING & FINANCE 0.1%

 

OCP CLO 2016-11 Ltd.

 

0.000% due 04/26/2028 (h)

      2,600         2,232  
       

 

 

 
        SHARES         MARKET
VALUE
(000S)
 
INDUSTRIALS 1.3%

 

Sequa Corp.

 

9.000% «

      46,953     $     42,258  
       

 

 

 

Total Preferred Securities (Cost $49,169)

    44,490  
       

 

 

 
REAL ESTATE INVESTMENT TRUSTS 1.6%

 

REAL ESTATE 1.6%

 

VICI Properties, Inc. (l)

      2,572,665         53,100  
       

 

 

 

Total Real Estate Investment Trusts (Cost $37,243)

 

      53,100  
       

 

 

 
SHORT-TERM INSTRUMENTS 4.1%

 

REPURCHASE AGREEMENTS (m) 3.0%

 

          97,864  
       

 

 

 
        PRINCIPAL
AMOUNT
(000S)
           
SHORT-TERM NOTES 0.1%

 

Letras del Banco Central de la Republica Argentina

 

25.150% due 10/17/2018 (i)

  ARS     6,260         194  

25.700% due 07/18/2018 (i)

      37,600         1,274  

33.500% due 07/18/2018 (i)

      2,680         91  

37.800% due 11/21/2018 (i)

      3,290         98  
       

 

 

 
          1,657  
       

 

 

 
ARGENTINA TREASURY BILLS 0.1%

 

11.765% due 09/14/2018 - 10/12/2018 (g)(h)

      77,971         2,669  

4.125% due 07/27/2018 - 09/14/2018 (g)(h)

  $     858         852  
       

 

 

 
          3,521  
       

 

 

 
U.S. TREASURY BILLS 0.9%

 

1.907% due 08/02/2018 - 09/06/2018 (g)(h)(n)(p)(r)

      29,265         29,180  
       

 

 

 
Total Short-Term Instruments (Cost $133,853)

 

      132,222  
       

 

 

 
       
Total Investments in Securities (Cost $5,430,022)     5,649,102  
       

 

 

 
        SHARES            
INVESTMENTS IN AFFILIATES 0.3%

 

COMMON STOCKS 0.3%

 

INDUSTRIALS 0.3%

 

Sierra Hamilton Holder LLC «(l)

    30,136,800         10,856  
       

 

 

 
Total Common Stocks
(Cost $7,639)

 

      10,856  
       

 

 

 
       
Total Investments in Affiliates (Cost $7,639)

 

      10,856  
       
Total Investments 173.7% (Cost $5,437,661)

 

  $     5,659,958  

Financial Derivative
Instruments (o)(q) (0.3%)

(Cost or Premiums, net $(2,621))

    (11,093
Other Assets and Liabilities, net (73.4)%       (2,391,670
       

 

 

 
Net Assets 100.0%       $     3,257,195  
       

 

 

 
 

 

See Accompanying Notes   ANNUAL REPORT   JUNE 30, 2018   79


Consolidated Schedule of Investments PIMCO Dynamic Credit and Mortgage Income Fund (Cont.)

 

 

NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:

 

*

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

All or a portion of this security is owned by PIMCO ClosedEnd - PCILS I LLC, which is a 100% owned subsidiary of the Fund.

^

Security is in default.

«

Security valued using significant unobservable inputs (Level 3).

 

All or a portion of this amount represent 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.

×

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

(a)

Interest only security.

(b)

Principal only security.

(c)

When-issued security.

(d)

Payment in-kind security.

(e)

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

(f)

Security did not produce income within the last twelve months.

(g)

Coupon represents a weighted average yield to maturity.

(h)

Zero coupon security.

(i)

Coupon represents a yield to maturity.

(j)

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

(k)

Contingent convertible security.

 

(l)  RESTRICTED SECURITIES:

 

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

Dommo Energia S.A.

         12/21/2017 - 12/26/2017     $ 1,423     $ 14,904       0.46

Eneva S.A.

         12/21/2017       141       101       0.00  

Forbes Energy Services Ltd.

         02/27/2013 - 03/11/2014       7,380       1,381       0.04  

Pinnacol Assurance 8.625% due 06/25/2034

         06/23/2014       23,200       24,085       0.74  

Preylock Reitman Santa Cruz Mezz LLC 1.000% due 11/09/2022

      04/09/2018       31,560       31,615       0.97  

Sierra Hamilton Holder LLC

         07/31/2017       7,639       10,855       0.33  

TIG FinCo PLC

         04/02/2015       3,931       4,199       0.13  

VICI Properties, Inc.

         03/03/2014 - 11/06/2017       37,243       53,100       1.63  
        

 

 

   

 

 

   

 

 

 
  $     112,517     $     140,240       4.30
        

 

 

   

 

 

   

 

 

 

 

BORROWINGS AND OTHER FINANCING TRANSACTIONS

 

(m)  REPURCHASE AGREEMENTS:

 

Counterparty   Lending
Rate
    Settlement
Date
    Maturity
Date
    Principal
Amount
    Collateralized By   Collateral
(Received)
    Repurchase
Agreements,
at Value
    Repurchase
Agreement
Proceeds
to be
Received(1)
 
FICC     1.500     06/29/2018       07/02/2018     $     17,964     U.S. Treasury Notes 2.125% due 08/15/2021   $ (18,328   $ 17,964     $ 17,965  
NOM     1.950       06/29/2018       07/02/2018       9,300     U.S. Treasury Bonds 3.000% due 11/15/2044     (9,470     9,300       9,302  
RDR     2.220       06/29/2018       07/02/2018       70,600     U.S. Treasury Notes 2.125% - 2.625% due 07/31/2024 - 03/31/2025     (72,148     70,600       70,613  
           

 

 

   

 

 

   

 

 

 

Total Repurchase Agreements

 

    $     (99,946   $     97,864     $     97,880  
           

 

 

   

 

 

   

 

 

 

 

REVERSE REPURCHASE AGREEMENTS:

 

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

BPS

    0.100     04/23/2018       07/23/2018     $ (3,817   $ (4,458
    0.800       06/25/2018       07/25/2018       (1,787     (2,359
    0.900       06/14/2018       07/16/2018       (5,116     (6,755
    0.900       06/29/2018       07/30/2018           (22,725         (29,994

 

80   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


 

June 30, 2018

 

Counterparty   Borrowing
Rate(2)
    Settlement
Date
    Maturity
Date
    Amount
Borrowed(2)
    Payable for
Reverse
Repurchase
Agreements
 
    2.890 %       06/12/2018       09/12/2018     $ (7,588   $ (7,600
    2.920       05/29/2018       08/29/2018       (1,950     (1,955
    3.049       07/01/2017       07/05/2018       (11,129     (11,129
    3.326       06/19/2018       09/19/2018       (45,837         (45,892
    3.332       06/21/2018       09/21/2018       (6,575     (6,582
    3.337       04/11/2018       07/11/2018       (21,675     (21,840
    3.368       06/04/2018       09/04/2018       (12,312     (12,344
    3.371       06/01/2018       09/04/2018       (10,496     (10,527
    3.380       05/16/2018       08/16/2018       (19,345     (19,430
    3.455       05/14/2018       08/14/2018       (4,980     (5,003
    4.071       08/04/2017       07/05/2018       (9,568     (9,837

BRC

    (1.000     06/07/2018       07/09/2018       (12,426     (14,502
    0.700       06/18/2018       TBD (3)       (13,879     (13,883
    2.500       04/19/2018       07/19/2018       (10,655     (10,710
    2.650       05/09/2018       08/09/2018       (4,818     (4,837
    2.750       06/18/2018       TBD (3)       (2,784     (2,787
    2.850       06/05/2018       09/05/2018       (4,065     (4,074
    2.850       06/06/2018       08/16/2018       (5,920     (5,932
    2.940       06/06/2018       07/11/2018       (13,432     (13,461
    2.980       05/22/2018       08/22/2018       (16,671     (16,728
    3.332       06/21/2018       09/21/2018       (7,699     (7,707
    3.339       06/06/2018       07/11/2018       (28,053     (28,121
    3.339       06/27/2018       07/11/2018       (7,586     (7,590
    3.342       06/06/2018       07/13/2018       (26,670     (26,734
    3.353       06/06/2018       07/16/2018       (57,826     (57,966
    3.355       04/18/2018       07/18/2018       (24,751     (24,924
    3.359       04/23/2018       07/23/2018       (21,519     (21,660
    3.362       06/06/2018       07/26/2018       (15,257     (15,294
    3.363       05/02/2018       08/02/2018       (29,612     (29,781
    4.321       08/16/2017       TBD (3)       (14,167     (14,281
    4.321       04/13/2018       07/05/2019       (23,570     (23,796
    4.337       06/27/2017       TBD (3)       (22,619     (22,633
    4.337       04/13/2018       06/27/2019       (19,233     (19,245

CFR

    (1.750     03/13/2018       TBD (3)       (585     (680
    (1.500     02/01/2018       TBD (3)       (553     (642

DBL

    0.650       04/16/2018       07/16/2018       (541     (632

GLM

    0.450       05/11/2018       08/13/2018       (16,979     (19,841
    3.319       05/29/2018       08/29/2018       (32,807     (32,910
    3.321       05/15/2018       08/15/2018       (6,479     (6,508
    3.321       06/07/2018       09/07/2018       (5,087     (5,099
    3.529       05/21/2018       08/21/2018       (14,284     (14,343
    3.569       05/29/2018       08/29/2018       (12,028     (12,069

GSC

    3.085       06/18/2018       07/18/2018       (48,490     (48,548

GST

    (2.250     04/25/2018       TBD (3)       (1,813     (2,108
    (1.750     05/04/2018       TBD (3)       (3,622     (4,217

JML

    0.272       04/26/2018       07/26/2018       (1,889     (2,207
    0.472       04/26/2018       07/26/2018       (3,959     (4,628
    0.850       05/15/2018       08/15/2018       (47,092     (62,220
    2.700       06/08/2018       07/09/2018       (6,207     (6,218

JPS

    3.462       04/25/2018       07/25/2018       (27,543     (27,723

MSB

    3.054       07/13/2017       07/13/2018       (6,386     (6,429
    3.568       06/05/2018       06/05/2019       (22,795     (22,856
    3.568       06/20/2018       06/05/2019       (4,402     (4,403
    3.675       03/20/2018       03/20/2019       (22,158     (22,184
    3.713       05/01/2018       05/01/2019       (5,179     (5,212
    3.713       05/08/2018       05/08/2019       (21,588     (21,710
    3.716       04/27/2018       04/26/2019       (21,053     (21,196
    3.756       12/01/2017       12/03/2018       (8,439     (8,463
    3.763       02/05/2018       02/05/2019       (29,927     (30,075
    3.930       08/16/2017       08/16/2018       (5,204     (5,226
    3.980       08/16/2017       08/16/2018       (5,487     (5,510
    4.041       09/15/2017       09/17/2018       (32,983     (33,030
    4.058       10/03/2017       10/03/2018       (2,505     (2,524
    4.105       10/23/2017       10/23/2018           (29,157     (29,334
    4.162       10/23/2017       10/23/2018       (24,826     (24,976
    4.180       08/16/2017       08/16/2018       (18,777     (18,855

NOM

    2.550       06/22/2018       07/12/2018       (569     (569
    2.670       06/11/2018       07/06/2018       (454     (455
    2.670       06/11/2018       07/25/2018       (274     (274
    2.670       07/07/2018       07/09/2018       (412     (412

 

See Accompanying Notes   ANNUAL REPORT   JUNE 30, 2018   81


Consolidated Schedule of Investments PIMCO Dynamic Credit and Mortgage Income Fund (Cont.)

 

Counterparty   Borrowing
Rate(2)
    Settlement
Date
    Maturity
Date
    Amount
Borrowed(2)
    Payable for
Reverse
Repurchase
Agreements
 
    2.700 %       06/12/2018       07/12/2018     $ (11,172   $ (11,189
    2.730       06/04/2018       08/06/2018           (19,976     (20,018
    2.750       06/11/2018       07/09/2018       (8,906     (8,920
    2.750       06/12/2018       07/12/2018       (1,163     (1,165
    2.750       06/18/2018       07/02/2018       (3,745     (3,749
    2.750       06/18/2018       07/18/2018       (803     (804
    2.750       06/21/2018       07/18/2018       (9,471     (9,479
    2.750       06/22/2018       07/18/2018       (3,407     (3,410
    3.037       02/05/2018       08/06/2018       (14,998     (15,034
    4.388       08/04/2017       TBD (3)       (25,721     (25,876
    4.388       05/04/2018       08/05/2019       (19,176     (19,314

RBC

    3.200       01/18/2018       07/18/2018       (480     (487
    3.450       03/12/2018       09/12/2018       (3,239     (3,274
    3.530       05/21/2018       08/21/2018       (4,715     (4,734
    3.560       05/08/2018       08/08/2018       (4,592     (4,617

RCE

    1.050       06/04/2018       09/04/2018       (9,019     (11,913
    1.527       06/18/2018       09/18/2018       (2,074     (2,738

RCY

    2.930       06/12/2018       09/10/2018       (429     (430

RTA

    2.487       01/29/2018       07/03/2018       (5,524     (5,583
    2.778       03/06/2018       09/06/2018       (3,607     (3,640
    2.819       03/12/2018       09/12/2018       (24,142     (24,354
    2.821       06/07/2018       09/07/2018       (4,598     (4,607
    2.852       07/18/2017       07/17/2018       (1,789     (1,839
    2.887       01/03/2018       07/03/2018       (12,267     (12,444
    2.938       01/16/2018       07/16/2018       (5,529     (5,604
    2.978       01/25/2018       07/25/2018       (20,423     (20,690
    3.017       01/31/2018       07/31/2018       (8,052     (8,155
    3.042       02/08/2018       08/08/2018       (7,412     (7,502
    3.042       06/14/2018       08/06/2018       (9,036     (9,050
    3.296       03/08/2018       09/07/2018       (35,957     (36,339
    3.435       06/22/2018       09/24/2018       (8,462     (8,470
    3.460       04/05/2018       10/05/2018       (14,226     (14,346
    3.474       06/04/2018       12/04/2018       (8,305     (8,327
    3.493       05/16/2018       11/16/2018       (18,067     (18,149
    3.500       06/14/2018       12/14/2018       (20,790     (20,826
    3.513       05/07/2018       11/07/2018       (7,625     (7,667
    3.514       05/03/2018       11/02/2018       (9,869     (9,927
    3.516       04/24/2018       10/24/2018       (26,184     (26,360
    3.592       03/20/2018       09/20/2018       (11,647     (11,768
    3.592       04/16/2018       09/20/2018       (18,637     (18,780
    3.699       05/21/2018       11/21/2018       (4,587     (4,607
    3.712       05/01/2018       11/01/2018       (15,377     (15,475
    3.714       05/03/2018       11/02/2018       (4,890     (4,920
    4.059       10/31/2017       TBD (3)       (3,884     (3,905

SBI

    3.076       01/22/2018       07/23/2018       (60,985         (61,824
    3.126       02/09/2018       08/09/2018       (26,838     (27,171
    3.387       04/11/2018       10/11/2018       (33,913     (34,174
    3.389       04/11/2018       07/11/2018       (39,890     (40,198

SOG

    0.479       06/05/2018       09/05/2018       (4,702     (5,493
    2.470       04/23/2018       07/23/2018       (2,467     (2,479
    2.580       04/05/2018       07/05/2018       (3,897     (3,922
    2.590       04/10/2018       07/10/2018       (7,759     (7,805
    2.600       04/11/2018       07/11/2018       (8,634     (8,685
    2.700       04/23/2018       07/23/2018       (21,207     (21,318
    2.740       05/02/2018       08/02/2018       (12,989     (13,049
    2.790       05/16/2018       08/16/2018       (15,952     (16,010
    2.790       05/21/2018       08/21/2018       (18,903     (18,965
    2.790       05/22/2018       08/21/2018       (9,223     (9,253
    2.790       06/04/2018       09/04/2018       (12,775     (12,803
    2.810       06/07/2018       09/07/2018       (1,741     (1,744
    2.810       06/12/2018       09/12/2018       (11,657     (11,675
    2.820       06/14/2018       09/14/2018       (808     (809
    2.820       06/21/2018       09/21/2018       (19,930     (19,947
    2.925       09/05/2017       09/05/2018       (20,514     (20,548
    3.189       01/10/2018       07/12/2018       (804     (809
    3.277       06/11/2018       09/10/2018       (35,584     (35,652
    3.287       04/10/2018       07/10/2018       (23,009     (23,183
    3.291       06/14/2018       09/14/2018       (21,626     (21,662
    3.291       06/15/2018       09/17/2018       (11,711     (11,729
    3.306       05/14/2018       08/14/2018       (57,327     (57,585

 

82   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


 

June 30, 2018

 

Counterparty   Borrowing
Rate(2)
    Settlement
Date
    Maturity
Date
    Amount
Borrowed(2)
    Payable for
Reverse
Repurchase
Agreements
 
    3.581 %       04/06/2018       10/05/2018     $ (8,021   $ (8,090
    3.612       01/26/2018       07/26/2018       (40,335     (40,560

UBS

    0.640       05/14/2018       08/02/2018       (17,617     (20,591
    1.000       05/29/2018       07/05/2018       (8,165     (10,785
    1.000       06/25/2018       07/25/2018       (855     (1,128
    1.100       06/25/2018       08/02/2018       (975     (1,287
    1.500       06/22/2018       07/23/2018       (20,942     (27,650
    1.601       04/27/2018       07/27/2018           (28,130     (37,233
    2.540       06/01/2018       08/31/2018       (2,603     (2,609
    2.540       06/21/2018       08/31/2018       (930     (931
    2.560       06/08/2018       09/07/2018       (2,366     (2,370
    2.760       06/05/2018       09/05/2018       (13,737     (13,765
    2.770       06/11/2018       09/11/2018       (53,432     (53,518
    2.770       06/20/2018       09/11/2018       (1,866     (1,868
    2.780       06/08/2018       09/07/2018       (19,634     (19,670
    2.780       06/13/2018       09/13/2018       (6,985     (6,995
    2.830       06/18/2018       09/18/2018       (18,172     (18,192
    2.870       04/05/2018       07/05/2018       (878     (884
    2.870       06/11/2018       09/11/2018       (2,760     (2,765
    2.910       04/26/2018       07/26/2018       (35,224     (35,415
    2.910       05/07/2018       08/07/2018       (14,426     (14,491
    3.000       05/02/2018       08/02/2018       (22,466     (22,580
    3.040       05/15/2018       08/15/2018       (9,124     (9,161
    3.060       04/23/2018       07/23/2018       (13,534     (13,615
    3.337       04/10/2018       07/10/2018       (9,391     (9,463
    3.360       04/24/2018       07/24/2018       (17,627     (17,741
    3.370       05/09/2018       08/09/2018       (7,472     (7,510
    3.512       04/24/2018       04/24/2019       (42,389     (42,674
         

 

 

 

Total Reverse Repurchase Agreements

 

    $     (2,489,155
         

 

 

 

 

BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY

 

The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral pledged/(received) as of June 30, 2018:

 

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

Global/Master Repurchase Agreement

 

BPS

  $ 0     $ (195,705   $ 0      $     (195,705   $     247,664     $ 51,959  

BRC

    0       (386,646     0        (386,646     525,119           138,473  

CFR

    0       (1,322     0        (1,322     1,277       (45

DBL

    0       (632     0        (632     770       138  

FICC

    17,965       0       0        17,965       (18,328     (363

GLM

    0       (90,770     0        (90,770     119,582       28,812  

GSC

    0       (48,548     0        (48,548     59,809       11,261  

GST

    0       (6,325     0        (6,325     6,326       1  

JML

    0       (75,273     0        (75,273     88,749       13,476  

JPS

    0       (27,723     0        (27,723     35,071       7,348  

MSB

    0       (261,983     0        (261,983     361,634       99,651  

NOM

    9,302       (120,668     0        (111,366     138,921       27,555  

RBC

    0       (13,112     0        (13,112     17,354       4,242  

RCE

    0       (14,651     0        (14,651     16,532       1,881  

RCY

    0       (430     0        (430     529       99  

RDR

    70,613       0       0        70,613       (72,148     (1,535

RTA

    0       (313,334     0        (313,334     406,711       93,377  

SBI

    0       (163,367     0        (163,367     209,098       45,731  

SOG

    0       (373,775     0        (373,775     444,137       70,362  

UBS

    0       (394,891     0        (394,891     513,200       118,309  
 

 

 

   

 

 

   

 

 

        

Total Borrowings and Other Financing Transactions

  $     97,880     $     (2,489,155   $     0         
 

 

 

   

 

 

   

 

 

        

 

See Accompanying Notes   ANNUAL REPORT   JUNE 30, 2018   83


Consolidated Schedule of Investments PIMCO Dynamic Credit and Mortgage Income Fund (Cont.)

 

 

CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS

 

Remaining Contractual Maturity of the Agreements

 

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

Reverse Repurchase Agreements

 

Corporate Bonds & Notes

  $ 0     $ (240,897   $ (463,668   $ (24,317   $ (728,882

U.S. Government Agencies

    0       (68,339     (7,610     0       (75,949

Non-Agency Mortgage-Backed Securities

    0       (171,854     (229,456     (278,271     (679,581

Asset-Backed Securities

    0       (373,985     (371,088     (259,258     (1,004,331
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Borrowings

  $     0     $     (855,075   $     (1,071,822   $     (561,846   $     (2,488,743
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Payable for reverse repurchase agreements and sale-buyback financing transactions(5)

 

      $ (2,488,743
         

 

 

 

 

(n)

Securities with an aggregate market value of $3,207,289 have been pledged as collateral under the terms of the above master agreements as of June 30, 2018.

 

(1)

Includes accrued interest.

(2)

The average amount of borrowings outstanding during the period ended June 30, 2018 was $(2,594,093) at a weighted average interest rate of 2.551%. Average borrowings may include sale-buyback transactions and reverse repurchase agreements, if held during the period.

(3)

Open maturity reverse repurchase agreement.

(4)

Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. The Fund and Subsidiary are recognized as two separate legal entities. As such, exposure cannot be netted. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information regarding master netting arrangements.

(5)

Unsettled reverse repurchase agreements liability of $(412) is outstanding at period end.

 

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

 

SWAP AGREEMENTS:

 

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

 

Reference Entity   Fixed
Receive Rate
    Payment
Frequency
    Maturity
Date
    Implied
Credit Spread at
June 30, 2018(2)
    Notional
Amount(3)
    Premiums
Paid/(Received)
    Unrealized
Appreciation/
(Depreciation)
    Market
Value(4)
    Variation Margin  
  Asset     Liability  

Frontier Communications Corp.

    5.000     Quarterly       06/20/2020       8.963%       $    31,430     $     (1,130   $ (949   $     (2,079   $       0     $       (83

Frontier Communications Corp.

    5.000       Quarterly       06/20/2022       12.139       2,800       (378         (172     (550     0       (13

Navient Corp.

    5.000       Quarterly       09/20/2020       1.085       200       8       9       17       0       0  

Navient Corp.

    5.000       Quarterly       12/20/2021       1.998       400       2       37       39       0       (1

Navient Corp.

    5.000       Quarterly       06/20/2022       2.296       2,200       146       74       220       0       (2

Novo Banco S.A.

    5.000       Quarterly       12/20/2020       9.660       EUR      2,500       (519     393       (126     46       0  

Sprint Corp.

    5.000       Quarterly       12/20/2021       2.482       $    13,300       249       843       1,092       0       (5
           

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
          $ (1,622   $ 235     $ (1,387   $ 46     $ (104
           

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

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

 

Index/Tranches   Fixed
Receive Rate
    Payment
Frequency
  Maturity
Date
    Notional
Amount(3)
    Premiums
Paid/(Received)
    Unrealized
Appreciation/
(Depreciation)
    Market
Value(4)
    Variation Margin  
  Asset      Liability  

CDX.HY-30 5-Year Index

    5.000   Quarterly     06/20/2023     $     500     $     30     $     0     $     30     $     0      $     0  
         

 

 

   

 

 

   

 

 

   

 

 

    

 

 

 

 

INTEREST RATE SWAPS

 

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

Pay

 

3-Month CAD Bank Bill

  3.300%   Semi-Annual     06/19/2024     CAD     102,200     $ 4,746     $ (1,115   $ 3,631     $ 0     $ (482

Receive

 

3-Month CAD Bank Bill

  3.500   Semi-Annual     06/20/2044         46,900       (1,672     (4,358     (6,030         472       0  

Pay

 

3-Month USD-LIBOR

  2.200   Semi-Annual     01/18/2023     $     1,800,000       (6,930     (37,523     (44,453     0           (836

Pay

 

3-Month USD-LIBOR

  1.750   Semi-Annual     12/21/2023         164,300       3,084       (12,751     (9,667     0       (114

Pay

 

3-Month USD-LIBOR

  1.750   Semi-Annual     12/21/2026         464,100       11,168       (53,088     (41,920     0       (431

Pay

 

3-Month USD-LIBOR

  1.500   Semi-Annual     06/21/2027         245,900           (17,834         (10,609         (28,443     0       (238

Pay

 

3-Month USD-LIBOR

  2.500   Semi-Annual     12/20/2027         64,900       1,045       (3,343     (2,298     0       (49

Receive

 

3-Month USD-LIBOR

  2.250   Semi-Annual     06/20/2028         14,800       853       72       925       15       0  

Receive

 

3-Month USD-LIBOR

  2.500   Semi-Annual     06/20/2038         187,300       4,314       10,398       14,712       180       0  

Receive

 

3-Month USD-LIBOR

  2.500   Semi-Annual     06/20/2048         410,600       11,822       25,306       37,128       466       0  

Pay

 

6-Month  AUD-BBR-BBSW

  3.631   Semi-Annual     03/06/2019     AUD     150,000       0       1,721       1,721       25       0  

Pay

 

6-Month  AUD-BBR-BBSW

  3.635   Semi-Annual     03/06/2019         175,000       0       2,012       2,012       29       0  

Pay

 

6-Month  AUD-BBR-BBSW

  3.500   Semi-Annual     06/17/2025         41,800       1,036       688       1,724       3       0  

 

84   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


 

June 30, 2018

 

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

Receive(5)

 

6-Month EUR-EURIBOR

  1.250 %     Annual       09/19/2028     EUR     69,700     $ (976   $ (1,610   $ (2,586   $ 0     $ (110

Receive(5)

 

6-Month EUR-EURIBOR

  1.250     Annual       12/19/2028         5,500       (94     (76     (170     0       (9

Receive(5)

 

6-Month GBP-LIBOR

  1.500     Semi-Annual       09/19/2028     GBP     156,975       3,596       (2,602     994       228       0  
             

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
              $ 14,158     $ (86,878   $ (72,720   $ 1,418     $ (2,269
             

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Swap Agreements

 

        $     12,566     $     (86,643   $     (74,077   $     1,464     $     (2,373
             

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED SUMMARY

 

The following is a summary of the market value and variation margin of Exchange-Traded or Centrally Cleared Financial Derivative Instruments as of June 30, 2018:

 

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

Total Exchange-Traded or Centrally Cleared(6)

  $     0     $     0     $     1,464     $     1,464       $     0     $     0     $     (2,373   $     (2,373
 

 

 

   

 

 

   

 

 

   

 

 

     

 

 

   

 

 

   

 

 

   

 

 

 

 

(p)

Securities with an aggregate market value of $6,957 and cash of $119,446 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of June 30, 2018.

 

(1)

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

(2)

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

(3)

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

(4)

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

(5)

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

(6)

The Subsidiary did not have Exchange-Traded or Centrally Cleared financial derivative instruments as of period end.

 

(q)  FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER

 

FORWARD FOREIGN CURRENCY CONTRACTS:

 

Counterparty    Settlement
Month
   

Currency to
be Delivered

   

Currency to
be Received

    Unrealized Appreciation/
(Depreciation)
 
  Asset     Liability  

BOA

     07/2018     ARS     27,570     $     951     $ 0     $ (2
     07/2018     $     1,074     ARS     27,570       0           (121
     07/2018         782     AUD     1,059       2       0  
     08/2018     AUD     1,059     $     782       0       (2

BPS

     07/2018     ARS     27,806         1,013       52       0  
     07/2018     PEN     17,220         5,271           31       0  
     07/2018     $     2,887     ARS     80,236       2       (133

BRC

     07/2018     RUB     1,050,217     $     16,703       0       (8
     07/2018     $     547,942     GBP     419,026           5,067       0  
     08/2018     GBP     419,026     $     548,706       0           (5,058
     08/2018     $     16,625     RUB     1,050,217       6       0  

CBK

     07/2018         3,885     GBP     2,892       0       (68
     07/2018         810     RUB     51,215       5       0  
     10/2018         401     ARS     12,030       0       (25

DUB

     07/2018     ARS     236     $     8       0       0  
     07/2018     $     79     ARS     2,076       0       (8

GLM

     07/2018     EUR     6,965     $     8,193       59       0  
     07/2018     GBP     12,960         17,449       345       0  
     07/2018     $     1,387     EUR     1,191       4       0  
     07/2018         1,974     RUB     123,294       0       (13

 

See Accompanying Notes   ANNUAL REPORT   JUNE 30, 2018   85


Consolidated Schedule of Investments PIMCO Dynamic Credit and Mortgage Income Fund (Cont.)

 

Counterparty    Settlement
Month
   

Currency to
be Delivered

   

Currency to
be Received

    Unrealized Appreciation/
(Depreciation)
 
  Asset     Liability  
     08/2018     NZD     65     $     45     $ 1     $ 0  
     08/2018     $     4,825     EUR     4,135       15       0  

HUS

     07/2018     EUR     8,882     $     10,368       0       (4
     07/2018     $     13,700     RUB     875,708       234       0  
     08/2018         12,892         805,785       0       (131
     10/2018         57     ARS     1,710       0       (3

JPM

     07/2018     AUD     1,059     $     798       14       0  
     07/2018     CAD     4,031         3,110       44       0  
     07/2018     $     6,247     EUR     5,329       0       (24
     07/2018         9,535     GBP     7,158       0       (89

MSB

     07/2018     BRL     88,529     $     23,350       509       0  
     07/2018     $     23,495     BRL     88,529       0       (653
     08/2018     BRL     88,528     $     23,429       669       0  

RYL

     07/2018     GBP     2,634         3,501       24       0  

SCX

     07/2018     BRL     57,967         15,872       916       0  
     07/2018     GBP     414,429         550,936       3,993       0  
     07/2018     $     15,034     BRL     57,967       0       (77

SSB

     07/2018         1,269     GBP     947       0       (19

UAG

     07/2018     EUR     192,939     $     223,473       0       (1,842
     07/2018     $     234,861     EUR     202,266       1,345       0  
     08/2018     EUR     202,266     $     235,386       0       (1,333
            

 

 

   

 

 

 

Total Forward Foreign Currency Contracts

        $     13,337     $     (9,613
            

 

 

   

 

 

 

 

SWAP AGREEMENTS:

 

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

 

Counterparty   Reference Entity   Fixed
Receive Rate
    Payment
Frequency
    Maturity
Date
    Implied
Credit Spread at
June 30, 2018(2)
    Notional
Amount(3)
    Premiums
Paid/(Received)
    Unrealized
Appreciation/
(Depreciation)
    Swap Agreements,
at Value
 
  Asset     Liability  
GST  

Petrobras Global Finance BV

    1.000     Quarterly       09/20/2020       2.175   $ 1,120     $ (163   $ 136     $ 0     $ (27
 

Springleaf Finance Corp.

    5.000       Quarterly       06/20/2022       2.090       1,900       108       97       205       0  
JPM  

Springleaf Finance Corp.

    5.000       Quarterly       06/20/2022       2.090           11,500       966       274       1,240       0  
             

 

 

   

 

 

   

 

 

   

 

 

 
              $     911     $     507     $     1,445     $     (27
             

 

 

   

 

 

   

 

 

   

 

 

 

 

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

 

Counterparty   Index/Tranches   Fixed
Receive Rate
    Payment
Frequency
    Maturity
Date
    Notional
Amount(3)
    Premiums
Paid/(Received)
    Unrealized
Appreciation/
(Depreciation)
    Swap Agreements,
at  Value(4)
 
  Asset     Liability  
BRC  

ABX.HE.AAA.6-2 Index

    0.110     Monthly       05/25/2046     $ 8,852     $ (1,976   $ 1,284     $ 0     $ (692
DUB  

CMBX.NA.BBB-.6 Index

    3.000       Monthly       05/11/2063       9,700       (605     (396     0       (1,001
 

CMBX.NA.BBB-.8 Index

    3.000       Monthly       10/17/2057           13,200       (1,520     (48     0       (1,568
 

CMBX.NA.BBB-.9 Index

    3.000       Monthly       09/17/2058       8,300       (1,040     185       0       (855
FBF  

CMBX.NA.BBB-.10 Index

    3.000       Monthly       11/17/2059       400       (45     9       0       (36
 

CMBX.NA.BBB-.6 Index

    3.000       Monthly       05/11/2063       900       (108     15       0       (93
 

CMBX.NA.BBB-.7 Index

    3.000       Monthly       01/17/2047       1,600       (146     34       0       (112
 

CMBX.NA.BBB-.8 Index

    3.000       Monthly       10/17/2057       3,800       (594     142       0       (452
GST  

CMBX.NA.A.6 Index

    2.000       Monthly       05/11/2063       13,000       (662     598       0       (64
 

CMBX.NA.BB.6 Index

    5.000       Monthly       05/11/2063       8,500       (1,150     (474     0       (1,624
 

CMBX.NA.BBB-.6 Index

    3.000       Monthly       05/11/2063       18,900       (1,042     (908     0       (1,950
 

CMBX.NA.BBB-.7 Index

    3.000       Monthly       01/17/2047       3,300       (169     (63     0       (232
 

CMBX.NA.BBB-.9 Index

    3.000       Monthly       09/17/2058       19,300       (2,404     417       0       (1,987
JPS  

CMBX.NA.BBB-.9 Index

    3.000       Monthly       09/17/2058       400       (49     8       0       (41
MYC  

CMBX.NA.BBB-.10 Index

    3.000       Monthly       11/17/2059       21,800       (2,324     366       0       (1,958
 

CMBX.NA.BBB-.6 Index

    3.000       Monthly       05/11/2063       8,300       (447     (409     0       (856
 

CMBX.NA.BBB-.7 Index

    3.000       Monthly       01/17/2047       6,500       (286     (170     0       (456
 

CMBX.NA.BBB-.8 Index

    3.000       Monthly       10/17/2057       3,300       (382     (10     0       (392
 

CMBX.NA.BBB-.9 Index

    3.000       Monthly       09/17/2058       9,300       (1,149     192       0       (957
           

 

 

   

 

 

   

 

 

   

 

 

 
            $ (16,098   $ 772     $ 0     $ (15,326
           

 

 

   

 

 

   

 

 

   

 

 

 

Total Swap Agreements

    $     (15,187   $     1,279     $     1,445     $     (15,353
           

 

 

   

 

 

   

 

 

   

 

 

 

 

86   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


 

June 30, 2018

 

 

FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER SUMMARY

 

The following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral pledged/(received) as of June 30, 2018:

 

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

BOA

  $ 2     $ 0     $ 0     $ 2       $ (125   $ 0     $ 0     $ (125   $ (123   $ 0     $ (123

BPS

    85       0       0       85         (133     0       0       (133     (48     0       (48

BRC

    5,073       0       0       5,073         (5,066     0       (692     (5,758     (685     726       41  

CBK

    5       0       0       5         (93     0       0       (93     (88     0       (88

DUB

    0       0       0       0         (8     0       (3,424     (3,432         (3,432     2,707       (725

FBF

    0       0       0       0         0       0       (693     (693     (693     692       (1

GLM

    424       0       0       424         (13     0       0       (13     411       (630     (219

GST

    0       0       205       205         0       0       (5,884     (5,884     (5,679     5,670       (9

HUS

    234       0       0       234         (138     0       0       (138     96       0       96  

JPM

    58       0       1,240       1,298         (113     0       0       (113     1,185       (1,156     29  

JPS

    0       0       0       0         0       0       (41     (41     (41     0       (41

MSB

    1,178       0       0       1,178         (653     0       0       (653     525       (260     265  

MYC

    0       0       0       0         0       0       (4,619     (4,619     (4,619     4,090       (529

RYL

    24       0       0       24         0       0       0       0       24       0       24  

SCX

    4,909       0       0       4,909         (77     0       0       (77     4,832           (9,090         (4,258

SSB

    0       0       0       0         (19     0       0       (19     (19     0       (19

UAG

    1,345       0       0       1,345         (3,175     0       0       (3,175     (1,830     (470     (2,300
 

 

 

   

 

 

   

 

 

   

 

 

     

 

 

   

 

 

   

 

 

   

 

 

       

Total Over the Counter

  $     13,337     $     0     $     1,445     $     14,782       $     (9,613   $     0     $     (15,353   $     (24,966      
 

 

 

   

 

 

   

 

 

   

 

 

     

 

 

   

 

 

   

 

 

   

 

 

       

 

(r)

Securities with an aggregate market value of $15,339 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of June 30, 2018.

 

(1)

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

(2)

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

(3)

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

(4)

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

(5)

Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC derivatives can only be netted across transactions governed under the same master agreement with the same legal entity. The Fund and Subsidiary are recognized as two separate legal entities. As such, exposure cannot be netted. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information regarding master netting agreements.

 

FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS

 

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

 

Fair Values of Financial Derivative Instruments on the Consolidated Statements of Assets and Liabilities as of June 30, 2018:

 

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

Financial Derivative Instruments - Assets

 

Exchange-traded or centrally cleared

 

Swap Agreements

  $     0     $ 46     $ 0     $ 0     $ 1,418     $ 1,464  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Over the counter

 

Forward Foreign Currency Contracts

  $ 0     $ 0     $ 0     $ 13,337     $ 0     $ 13,337  

Swap Agreements

    0       1,445       0       0       0       1,445  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 1,445     $ 0     $ 13,337     $ 0     $ 14,782  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $     1,491     $     0     $     13,337     $     1,418     $     16,246  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

See Accompanying Notes   ANNUAL REPORT   JUNE 30, 2018   87


Consolidated Schedule of Investments PIMCO Dynamic Credit and Mortgage Income 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 - Liabilities

 

Exchange-traded or centrally cleared

 

Swap Agreements

  $ 0     $ 104     $ 0     $ 0     $ 2,269     $ 2,373  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Over the counter

 

Forward Foreign Currency Contracts

  $ 0     $ 0     $ 0     $ 9,613     $ 0     $ 9,613  

Swap Agreements

    0       15,353       0       0       0       15,353  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 15,353     $ 0     $ 9,613     $ 0     $ 24,966  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $     0     $     15,457     $     0     $     9,613     $     2,269     $     27,339  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

The effect of Financial Derivative Instruments on the Consolidated Statements of Operations for the period ended June 30, 2018:

 

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

Net Realized Gain (Loss) on Financial Derivative Instruments

 

         

Exchange-traded or centrally cleared

           

Swap Agreements

  $ 0     $ 2,656     $ 0     $ 0     $ (39,114   $ (36,458
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Over the counter

           

Forward Foreign Currency Contracts

  $ 0     $ 0     $ 0     $ (626   $ 0     $ (626

Swap Agreements

    0       5,814       0       0       (2,948     2,866  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 5,814     $ 0     $ (626   $ (2,948   $ 2,240  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 8,470     $ 0     $ (626   $     (42,062   $ (34,218
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

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

 

     

Exchange-traded or centrally cleared

           

Swap Agreements

  $ 0     $     (1,181   $ 0     $ 0     $ (6,831   $ (8,012
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Over the counter

           

Forward Foreign Currency Contracts

  $ 0     $ 0     $ 0     $ 8,966     $ 0     $ 8,966  

Swap Agreements

    0       2,699       0       0       0       2,699  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 2,699     $ 0     $ 8,966     $ 0     $     11,665  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $     0     $ 1,518     $     0     $     8,966     $ (6,831   $ 3,653  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

FAIR VALUE MEASUREMENTS

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2018 in valuing the Fund’s assets and liabilities:

 

Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
06/30/2018
 

Investments in Securities, at Value

 

Loan Participations and Assignments

  $     498     $ 183,960     $ 32,361     $ 216,819  

Corporate Bonds & Notes

 

Banking & Finance

    0       361,747       55,952       417,699  

Industrials

    0       652,965       5,522       658,487  

Utilities

    0       115,412       0       115,412  

Convertible Bonds & Notes

 

Industrials

    0       5,056       0       5,056  

Municipal Bonds & Notes

 

Illinois

    0       2,561       0       2,561  

Iowa

    0       1,160       0       1,160  

New Jersey

    0       0       6,040       6,040  

Virginia

    0       94       0       94  

West Virginia

    0       28,160       0       28,160  

U.S. Government Agencies

    0       161,585       0       161,585  

Non-Agency Mortgage-Backed Securities

    0       1,559,767       21,699       1,581,466  

Asset-Backed Securities

    0           1,950,782           80,048           2,030,830  

Sovereign Issues

    0       123,451       0       123,451  
Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
06/30/2018
 

Common Stocks

 

Consumer Discretionary

  $ 23,777     $ 0     $ 0     $ 23,777  

Energy

        17,476       0       15,221       32,697  

Financials

    0       0       4,199       4,199  

Utilities

    101       0       9,048       9,149  

Warrants

 

Industrials

    0       0       648       648  

Preferred Securities

 

Banking & Finance

    0       2,232       0       2,232  

Industrials

    0       0       42,258       42,258  

Real Estate Investment Trusts

 

Real Estate

    53,100       0       0       53,100  

Short-Term Instruments

 

Repurchase Agreements

    0       97,864       0       97,864  

Short-Term Notes

    0       1,657       0       1,657  

Argentina Treasury Bills

    0       3,521       0       3,521  

U.S. Treasury Bills

    0       29,180       0       29,180  
 

 

 

   

 

 

   

 

 

   

 

 

 
  $     94,952     $     5,281,154     $     272,996     $     5,649,102  
 

 

 

   

 

 

   

 

 

   

 

 

 
 

 

88   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


 

June 30, 2018

 

Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
06/30/2018
 

Investments in Affiliates, at Value

 

Common Stocks

 

Industrials

  $ 0     $ 0     $ 10,856     $ 10,856  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

  $     94,952     $     5,281,154     $     283,852     $     5,659,958  
 

 

 

   

 

 

   

 

 

   

 

 

 

Financial Derivative Instruments - Assets

 

Exchange-traded or centrally cleared

    0       1,464       0       1,464  

Over the counter

    0       14,782       0       14,782  
 

 

 

   

 

 

   

 

 

   

 

 

 
  $     0     $     16,246     $     0     $     16,246  
 

 

 

   

 

 

   

 

 

   

 

 

 
Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
06/30/2018
 

Financial Derivative Instruments - Liabilities

 

Exchange-traded or centrally cleared

  $ 0     $ (2,373   $ 0     $ (2,373

Over the counter

    0       (24,966     0       (24,966
 

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ (27,339   $ 0     $ (27,339
 

 

 

   

 

 

   

 

 

   

 

 

 

Total Financial Derivative Instruments

  $ 0     $ (11,093   $ 0     $ (11,093
 

 

 

   

 

 

   

 

 

   

 

 

 

Totals

  $     94,952     $     5,270,061     $     283,852     $     5,648,865  
 

 

 

   

 

 

   

 

 

   

 

 

 
 

 

There were no significant transfers among Levels 1 and 2 during the period ended June 30, 2018.

 

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended June 30, 2018:

 

Category and Subcategory   Beginning
Balance
at 06/30/2017
    Net
Purchases
    Net
Sales
    Accrued
Discounts/
(Premiums)
    Realized
Gain/
(Loss)
    Net Change in
Unrealized
Appreciation/
(Depreciation)(1)
    Transfers into
Level 3
    Transfers out
of Level 3
    Ending
Balance at
06/30/2018
    Net Change in
Unrealized
Appreciation/
(Depreciation)
on Investments
Held at
06/30/2018(1)
 

Investments in Securities, at Value

 

Loan Participations and Assignments

  $ 14,076     $ 21,063     $ (13,248   $ 77     $ (3,364   $ 1,246     $ 14,515     $ (2,004   $ 32,361     $ 107  

Corporate Bonds & Notes

 

Banking & Finance

    57,549       0       (959     14       (24     (628     0       0       55,952       (635

Industrials

    58,063       1,764       (23,883     5       240       1,263       0       (31,930     5,522       20  

Utilities

    6,600       82       (9,485     0       (20,597     23,400       0       0       0       0  

Municipal Bonds & Notes

 

New Jersey

    6,407       0       (180     (4     0       (183     0       0       6,040       (187

Non-Agency Mortgage-Backed Securities

    22,695       0       (3,200     69       577       1,558       0       0       21,699       1,616  

Asset-Backed Securities

    121,893       5,162       (31     2,305       12       (2,343     0       (46,950     80,048       (7,745

Common Stocks

 

Energy

    0       1,423       0       0       0       13,798       0       0       15,221       13,798  

Financials

    3,367       0       0       0       0       832       0       0       4,199       832  

Utilities

    0       9,048       0       0       0       0       0       0       9,048       0  

Warrants

 

Industrials

    1,187       0       0       0       0       (539     0       0       648       (539

Preferred Securities

 

Industrials

    45,800       0       0       0       0       (3,542     0       0       42,258         (3,542
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $   337,637     $   38,542     $   (50,986   $   2,466     $   (23,156   $   34,862     $   14,515     $   (80,884   $   272,996     $ 3,725  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Investments in Affiliates, at Value

 

Common Stocks

 

Industrials

  $ 0     $ 7,638     $ 0     $ 0     $ 0     $ 3,218     $ 0     $ 0     $ 10,856     $ 3,216  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Totals

  $   337,637     $   46,180     $  (50,986   $   2,466     $   (23,156   $   38,080     $   14,515     $   (80,884   $   283,852     $   6,941  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

See Accompanying Notes   ANNUAL REPORT   JUNE 30, 2018   89


Consolidated Schedule of Investments PIMCO Dynamic Credit and Mortgage Income Fund (Cont.)

 

June 30, 2018

 

 

The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:

 

Category and Subcategory   Ending
Balance
at 06/30/2018
    Valuation
Technique
  Unobservable
Inputs
  Input Value(s)
(% Unless
Noted
Otherwise)
 

Investments in Securities, at Value

 

Loan Participations and Assignments

  $ 861     Proxy Pricing   Base Price     100.074  
    31,500     Third Party Vendor   Broker Quote     102.000 - 105.000  

Corporate Bonds & Notes

 

Banking & Finance

    24,085     Reference Instrument   OAS Spread     525.729 bps  
    21,861     Reference Instrument   Spread Movement     24.000 bps  
    10,006     Proxy Pricing   Base Price     101.000  

Industrials

    3,808     Proxy Pricing   Base Price     101.670  
    1,714     Reference Instrument   Yield     10.153  

Municipal Bonds & Notes

 

New Jersey

    6,040     Proxy Pricing   Base Price     97.818  

Non-Agency Mortgage-Backed Securities

    21,699     Third Party Vendor   Broker Quote     88.470 - 91.250  

Asset-Backed Securities

    80,048     Proxy Pricing   Base Price     48.250 - 100,000.000  

Common Stocks

 

Energy

    15,221     Other Valuation Techniques(2)        

Financials

    4,199     Discounted Cash Flow   Discounted Rate     $        1.200  

Utilities

    9,048     Indicative Market Quotation   Broker Quote     $      35.500  

Warrants

 

Industrials

    648     Other Valuation Techniques(2)        

Preferred Securities

 

Industrials

    42,258     Indicative Market Quotation   Broker Quote     $    900.000  

Investments in Affiliates, at Value

 

Common Stocks

 

Industrials

    10,856     Other Valuation Techniques(2)        
 

 

 

       

Total

  $     283,852        
 

 

 

       
(1) 

Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at June 30, 2018 may be due to an investment no longer held or categorized as Level 3 at period end.

(2)

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

 

90   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


Consolidated Schedule of Investments PIMCO Dynamic Income Fund

 

June 30, 2018

 

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

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
INVESTMENTS IN SECURITIES 165.3%

 

LOAN PARTICIPATIONS AND ASSIGNMENTS 5.7%

 

Alphabet Holding Co., Inc.

 

5.594% (LIBOR03M + 2.500%) due 09/26/2024 ~

  $     298     $     280  

Altice Financing S.A.

 

5.098% (LIBOR03M + 2.500%) due 01/31/2026 ~

      47         47  

Avantor, Inc.

 

6.094% (LIBOR03M + 4.000%) due 11/21/2024 ~

      159         160  

Banff Merger Sub, Inc.

 

TBD% due 06/21/2019

      31,100           30,983  

Barracuda Networks, Inc.

 

5.307% (LIBOR03M + 3.250%) due 02/12/2025 ~

      50         50  

BMC Software Finance, Inc.

 

5.344% (LIBOR03M + 3.250%) due 09/10/2022 ~

      2,148         2,152  

California Resources Corp.

 

6.838% (LIBOR03M + 4.750%) due 12/31/2022 ~

      100         102  

CenturyLink, Inc.

 

4.844% (LIBOR03M + 2.750%) due 01/31/2025 ~

      995         976  

Community Health Systems, Inc.

 

5.557% (LIBOR03M + 3.250%) due 01/27/2021 ~

      620         606  

Drillship Kithira Owners, Inc.

 

TBD% due 09/20/2024 «

      5,822         6,113  

Dryrocks World LLC

 

TBD% due 11/20/2020

      5,700         5,453  

Dubai World

 

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

      17,209         16,291  

Energizer Holdings. Inc.

 

TBD% due 05/18/2019

      200         200  

Frontier Communications Corp.

 

5.850% (LIBOR03M + 3.750%) due 06/15/2024

      2,779         2,768  

Genworth Financial, Inc.

 

6.546% due 02/22/2023

      50         51  

GTT Communications, Inc.

 

4.875% (LIBOR03M + 2.750%) due 05/31/2025 ~

      100         99  

IRB Holding Corp.

 

TBD% - 5.280% (LIBOR03M + 2.500%) due 02/05/2025 ~

      100         100  

Klockner-Pentaplast of America, Inc.

 

4.750% (EUR003M + 4.750%) due 06/30/2022 ~

  EUR     100         111  

McDermott International, Inc.

 

7.094% (LIBOR03M + 5.000%) due 05/12/2025 ~

  $     4,888         4,920  

MH Sub LLC

 

5.835% (LIBOR03M + 3.750%) due 09/13/2024 ~

      268         268  

Ministry of Finance and Economic Affairs

 

7.825% (LIBOR03M + 5.500%) due 12/10/2019 «~

      400         400  

Multi Color Corp.

 

4.344% (LIBOR03M + 2.500%) due 10/31/2024 ~

      39         39  

Parexel International Corp.

 

4.844% (LIBOR03M + 2.500%) due 09/27/2024 ~

      99         99  

PetSmart, Inc.

 

5.010% (LIBOR03M + 3.000%) due 03/11/2022 ~

      370         307  

Ply Gem Industries, Inc.

 

6.089% (LIBOR03M + 3.750%) due 04/12/2025 ~

      500         500  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Preylock Reitman Santa Cruz Mezz LLC

 

7.546% (LIBOR03M + 5.500%) due 11/09/2022 †~(k)

  $     5,540     $     5,550  

Sequa Mezzanine Holdings LLC

 

11.099% (LIBOR03M + 9.000%) due 04/28/2022 «~

      9,600         9,792  

Stars Group Holdings BV

 

TBD% due 07/28/2025

      300         299  

Syniverse Holdings, Inc.

 

7.046% (LIBOR03M + 2.500%) due 03/09/2023 ~

      140         140  

TerraForm Power Operating LLC

 

4.094% (LIBOR03M + 2.000%) due 11/08/2022 ~

      100         99  

Traverse Midstream Partners LLC

 

6.340% (LIBOR03M + 4.000%) due 09/27/2024 ~

      91         91  

Wand Merger Corp.

 

TBD% due 04/27/2019

      1,200         1,192  

West Corp.

 

6.094% (LIBOR03M + 4.000%) due 10/10/2024 ~

      71         71  
       

 

 

 

Total Loan Participations and Assignments (Cost $90,078)

 

        90,309  
       

 

 

 
CORPORATE BONDS & NOTES 29.2%

 

BANKING & FINANCE 10.6%

 

AGFC Capital Trust

 

4.098% (US0003M + 1.750%) due 01/15/2067 ~(m)

      12,900         7,804  

Ally Financial, Inc.

 

8.000% due 11/01/2031

      17         20  

Ambac Assurance Corp.

 

5.100% due 06/07/2020

      184         248  

Ambac LSNI LLC

 

7.337% due 02/12/2023

      1,517         1,542  

Ardonagh Midco PLC

 

8.375% due 07/15/2023 (m)

  GBP     1,500         2,007  

Athene Holding Ltd.

 

4.125% due 01/12/2028

  $     126         116  

Avolon Holdings Funding Ltd.

 

5.500% due 01/15/2023

      410         410  

AXA Equitable Holdings, Inc.

 

4.350% due 04/20/2028

      318         304  

5.000% due 04/20/2048

      186         172  

Banco Bilbao Vizcaya Argentaria S.A.

 

6.750% due 02/18/2020 •(i)(j)

  EUR     200         243  

Barclays Bank PLC

 

7.625% due 11/21/2022 (j)(m)

  $     10,100           10,892  

Barclays PLC

 

3.250% due 01/17/2033

  GBP     400         484  

6.500% due 09/15/2019 •(i)(j)(m)

  EUR     2,300         2,771  

7.250% due 03/15/2023 •(i)(j)(m)

  GBP     2,500         3,395  

7.875% due 09/15/2022 •(i)(j)(m)

      1,200         1,684  

8.000% due 12/15/2020 •(i)(j)(m)

  EUR     2,400         3,111  

Brookfield Finance, Inc.

 

3.900% due 01/25/2028

  $     212         201  

4.700% due 09/20/2047

      182         173  

Cantor Fitzgerald LP

 

7.875% due 10/15/2019 (m)

      6,540         6,841  

CIT Group, Inc.

 

5.250% due 03/07/2025

      130         131  

Emerald Bay S.A.

 

0.000% due 10/08/2020 (g)

  EUR     63         69  

Equinix, Inc.

 

2.875% due 03/15/2024

      300         344  

2.875% due 10/01/2025

      100         110  

2.875% due 02/01/2026

      300         332  

Exeter Finance Corp.

 

9.750% due 05/20/2019 «

  $     9,700         9,682  

Fortress Transportation & Infrastructure Investors LLC

 

6.750% due 03/15/2022 (m)

      808         829  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Freedom Mortgage Corp.

 

8.250% due 04/15/2025

  $     247     $     244  

Growthpoint Properties International Pty. Ltd.

 

5.872% due 05/02/2023

      300         305  

High Street Funding Trust

 

4.682% due 02/15/2048

      100         100  

HSBC Holdings PLC

 

6.500% due 03/23/2028 •(i)(j)

      1,220         1,173  

Hunt Cos., Inc.

 

6.250% due 02/15/2026

      60         56  

iStar, Inc.

 

4.625% due 09/15/2020

      32         32  

5.250% due 09/15/2022

      114         111  

Jefferies Finance LLC

 

6.875% due 04/15/2022 (m)

      700         702  

7.250% due 08/15/2024

      200         197  

7.500% due 04/15/2021 (m)

      2,500         2,550  

Kennedy-Wilson, Inc.

 

5.875% due 04/01/2024

      162         158  

Life Storage LP

 

3.875% due 12/15/2027

      68         64  

Lloyds Banking Group PLC

 

7.625% due 06/27/2023 •(i)(j)

  GBP     1,500         2,169  

7.875% due 06/27/2029 •(i)(j)(m)

      14,473         22,228  

LoanCore Capital Markets LLC

 

6.875% due 06/01/2020 (m)

  $     3,800         3,850  

Meiji Yasuda Life Insurance Co.

 

5.100% due 04/26/2048 •

      600         607  

MetLife, Inc.

 

5.875% due 03/15/2028 •(i)

      220         224  

Nationstar Mortgage LLC

 

6.500% due 07/01/2021

      1,932         1,932  

Nationwide Building Society

 

10.250% ~(i)

  GBP     53         10,631  

Navient Corp.

 

6.500% due 06/15/2022 (m)

  $     1,784         1,829  

Oppenheimer Holdings, Inc.

 

6.750% due 07/01/2022

      104         107  

Pinnacol Assurance

 

8.625% due 06/25/2034 «(k)

      10,200         10,589  

Preferred Term Securities Ltd.

 

2.721% (US0003M + 0.380%) due 09/23/2035 ~

      511         486  

Provident Funding Associates LP

 

6.375% due 06/15/2025

      58         57  

Rio Oil Finance Trust

 

8.200% due 04/06/2028

      330         335  

9.250% due 07/06/2024 (m)

      2,623         2,820  

Royal Bank of Scotland Group PLC

 

7.500% due 08/10/2020 •(i)(j)(m)

      5,789         5,916  

8.000% due 08/10/2025 •(i)(j)(m)

      4,575         4,815  

8.625% due 08/15/2021 •(i)(j)(m)

      4,120         4,389  

Santander UK Group Holdings PLC

 

6.750% due 06/24/2024 •(i)(j)(m)

  GBP     9,200         12,573  

7.375% due 06/24/2022 •(i)(j)(m)

      1,700         2,341  

Societe Generale S.A.

 

6.750% due 04/06/2028 •(i)(j)

  $     400         367  

Springleaf Finance Corp.

 

5.625% due 03/15/2023 (m)

      2,900         2,892  

6.125% due 05/15/2022 (m)

      1,463         1,500  

6.875% due 03/15/2025

      828         824  

7.125% due 03/15/2026 (m)

      956         954  

Stichting AK Rabobank Certificaten

 

6.500% (i)

  EUR     440         610  

Tesco Property Finance PLC

 

6.052% due 10/13/2039 (m)

  GBP     3,266         5,103  

Toll Road Investors Partnership LP

 

0.000% due 02/15/2045 (g)

  $     11,877         2,944  

Unigel Luxembourg S.A.

 

10.500% due 01/22/2024 (m)

      1,470         1,520  

Wand Merger Corp.

 

8.125% due 07/15/2023 (c)

      1,868         1,898  
 

 

See Accompanying Notes   ANNUAL REPORT   JUNE 30, 2018   91


Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.)

 

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

WeWork Cos., Inc.

 

7.875% due 05/01/2025

  $     188     $     181  
       

 

 

 
            166,298  
       

 

 

 
INDUSTRIALS 15.4%

 

Air Canada Pass-Through Trust

 

3.700% due 07/15/2027

      56         53  

Altice Financing S.A.

 

6.625% due 02/15/2023 (m)

      5,900         5,829  

Altice France S.A.

 

5.375% due 05/15/2022

  EUR     1,700         2,044  

Altice Luxembourg S.A.

 

7.250% due 05/15/2022

      6,000         7,064  

7.750% due 05/15/2022 (m)

  $     3,020         2,933  

Andeavor Logistics LP

 

3.500% due 12/01/2022

      26         25  

4.250% due 12/01/2027

      46         44  

Associated Materials LLC

 

9.000% due 01/01/2024 (m)

      12,770         13,440  

Bacardi Ltd.

 

4.450% due 05/15/2025

      300         299  

4.700% due 05/15/2028

      400         394  

5.150% due 05/15/2038

      100         95  

Baffinland Iron Mines Corp.

 

8.750% due 07/15/2026

      3,600         3,614  

BMC Software Finance, Inc.

 

8.125% due 07/15/2021 (m)

      5,450         5,579  

Buffalo Thunder Development Authority

 

0.000% due 11/15/2029 «(k)

      2,483         2  

11.000% due 12/09/2022 ^(d)

      5,598         2,827  

Caesars Resort Collection LLC

 

5.250% due 10/15/2025

      18         17  

Centene Escrow Corp.

 

5.375% due 06/01/2026

      368         374  

Charles River Laboratories International, Inc.

 

5.500% due 04/01/2026

      64         64  

Charter Communications Operating LLC

 

4.200% due 03/15/2028

      320         300  

Cheniere Energy Partners LP

 

5.250% due 10/01/2025

      77         75  

Chesapeake Energy Corp.

 

5.598% (US0003M + 3.250%) due 04/15/2019 ~

      57         57  

Clear Channel Worldwide Holdings, Inc.

 

6.500% due 11/15/2022 (m)

      1,650         1,691  

7.625% due 03/15/2020 (m)

      7,990         7,972  

Cleveland-Cliffs, Inc.

 

4.875% due 01/15/2024

      80         77  

Community Health Systems, Inc.

 

5.125% due 08/01/2021 (m)

      5,855         5,445  

6.250% due 03/31/2023 (m)

      19,199           17,663  

8.625% due 01/15/2024 (c)

      700         704  

CSN Islands Corp.

 

6.875% due 09/21/2019

      500         496  

CSN Resources S.A.

 

6.500% due 07/21/2020 (m)

      2,702         2,530  

Diamond Resorts International, Inc.

 

10.750% due 09/01/2024 (m)

      5,500         5,925  

Energizer Gamma Acquisition, Inc.

 

6.375% due 07/15/2026 (c)

      778         793  

Exela Intermediate LLC

 

10.000% due 07/15/2023

      267         274  

First Quantum Minerals Ltd.

 

6.500% due 03/01/2024 (m)

      3,902         3,775  

6.875% due 03/01/2026 (m)

      4,282         4,111  

7.000% due 02/15/2021 (m)

      1,640         1,659  

Flex Acquisition Co., Inc.

 

7.875% due 07/15/2026

      1,668         1,666  

Fresh Market, Inc.

 

9.750% due 05/01/2023 (m)

      8,520         5,453  

Frontier Finance PLC

 

8.000% due 03/23/2022

  GBP     10,500         13,854  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Full House Resorts, Inc.

 

8.575% due 01/31/2024 «

  $     796     $     762  

General Electric Co.

 

5.000% due 01/21/2021 •(i)

      385         380  

Hadrian Merger Sub, Inc.

 

8.500% due 05/01/2026

      90         88  

Harland Clarke Holdings Corp.

 

8.375% due 08/15/2022

      130         128  

Hilton Domestic Operating Co., Inc.

 

5.125% due 05/01/2026

      339         335  

iHeartCommunications, Inc.

 

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

      11,000         8,388  

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

      15,830           12,110  

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

      4,000         3,060  

10.625% due 03/15/2023 ^(d)

      8,500         6,524  

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

      3,550         2,734  

IHS Markit Ltd.

 

4.000% due 03/01/2026

      12         12  

Intelsat Jackson Holdings S.A.

 

5.500% due 08/01/2023 (m)

      1,500         1,350  

7.250% due 10/15/2020 (m)

      16,357         16,357  

9.750% due 07/15/2025

      269         284  

Intelsat Luxembourg S.A.

 

7.750% due 06/01/2021 (m)

      6,500         6,078  

8.125% due 06/01/2023 (m)

      8,785         7,138  

Intrepid Aviation Group Holdings LLC

 

6.875% due 02/15/2019 (m)

      9,710         9,722  

Live Nation Entertainment, Inc.

 

5.625% due 03/15/2026

      50         50  

Mallinckrodt International Finance S.A.

 

5.500% due 04/15/2025

      318         256  

Matterhorn Merger Sub LLC

 

8.500% due 06/01/2026

      340         329  

Merlin Entertainments PLC

 

5.750% due 06/15/2026

      200         204  

Metinvest BV

 

7.750% due 04/23/2023

      350         329  

8.500% due 04/23/2026 (m)

      2,600         2,436  

Ortho-Clinical Diagnostics, Inc.

 

6.625% due 05/15/2022

      172         169  

Park Aerospace Holdings Ltd.

 

3.625% due 03/15/2021

      190         185  

4.500% due 03/15/2023

      380         362  

5.250% due 08/15/2022 (m)

      5,329         5,296  

5.500% due 02/15/2024 (m)

      3,882         3,842  

Pelabuhan Indonesia Persero PT

 

4.500% due 05/02/2023

      500         497  

Petroleos Mexicanos

 

6.500% due 03/13/2027

      430         440  

6.750% due 09/21/2047

      120         114  

PetSmart, Inc.

 

5.875% due 06/01/2025

      243         188  

Pisces Midco, Inc.

 

8.000% due 04/15/2026

      438         423  

Pitney Bowes, Inc.

 

4.700% due 04/01/2023

      81         73  

QVC, Inc.

 

5.950% due 03/15/2043 (m)

      2,100         1,986  

Radiate Holdco LLC

 

6.875% due 02/15/2023

      160         154  

Rockpoint Gas Storage Canada Ltd.

 

7.000% due 03/31/2023

      18         18  

Safeway, Inc.

 

7.250% due 02/01/2031

      510         477  

Scientific Games International, Inc.

 

3.375% due 02/15/2026

  EUR     100         117  

5.000% due 10/15/2025

  $     27         26  

Shelf Drilling Holdings Ltd.

 

8.250% due 02/15/2025

      87         88  

Sigma Holdco BV

 

5.750% due 05/15/2026

  EUR     130         143  

7.875% due 05/15/2026

  $     270         254  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Spirit Issuer PLC

 

5.472% due 12/28/2034 (m)

  GBP     12,120     $       16,743  

Standard Industries, Inc.

 

4.750% due 01/15/2028

  $     216         199  

Stars Group Holdings BV

 

7.000% due 07/15/2026 (c)

      498         504  

Sunoco LP

 

4.875% due 01/15/2023

      164         158  

Syngenta Finance NV

 

3.698% due 04/24/2020

      200         199  

3.933% due 04/23/2021

      200         200  

4.441% due 04/24/2023

      200         199  

4.892% due 04/24/2025

      200         196  

5.182% due 04/24/2028

      300         290  

T-Mobile USA, Inc.

 

4.750% due 02/01/2028

      47         44  

Telenet Finance Luxembourg Notes SARL

 

5.500% due 03/01/2028

      200         183  

Teva Pharmaceutical Finance Netherlands BV

 

3.250% due 04/15/2022

  EUR     800         950  

Unique Pub Finance Co. PLC

 

5.659% due 06/30/2027

  GBP     1,870         2,733  

6.542% due 03/30/2021

      2,878         4,015  

United Group BV

 

4.375% due 07/01/2022

  EUR     200         238  

4.875% due 07/01/2024

      200         238  

UPCB Finance Ltd.

 

3.625% due 06/15/2029

      430         486  

Valeant Pharmaceuticals International, Inc.

 

5.500% due 11/01/2025

  $     40         40  

6.500% due 03/15/2022

      188         195  

7.000% due 03/15/2024

      360         378  

ViaSat, Inc.

 

5.625% due 09/15/2025

      218         206  

VOC Escrow Ltd.

 

5.000% due 02/15/2028

      176         167  

Wind Tre SpA

 

2.625% due 01/20/2023

  EUR     400         394  

2.750% due 01/20/2024 ~

      400         390  

3.125% due 01/20/2025

      200         190  

5.000% due 01/20/2026

  $     200         160  

Wynn Macau Ltd.

 

4.875% due 10/01/2024

      300         287  

5.500% due 10/01/2027

      300         287  
       

 

 

 
            243,392  
       

 

 

 
UTILITIES 3.2%

 

AT&T, Inc.

 

4.900% due 08/15/2037 (m)

      836         795  

5.150% due 02/15/2050

      1,126         1,054  

5.300% due 08/15/2058 (m)

      376         351  

Enable Midstream Partners LP

 

4.950% due 05/15/2028

      157         153  

Gazprom Neft OAO Via GPN Capital S.A.

 

4.375% due 09/19/2022 (m)

      2,000         1,958  

6.000% due 11/27/2023 (m)

      25,400         26,510  

Odebrecht Drilling Norbe Ltd.

 

6.350% due 12/01/2021

      2,263         2,139  

Odebrecht Offshore Drilling Finance Ltd.

 

6.720% due 12/01/2022

      11,527         10,461  

Petrobras Global Finance BV

 

5.299% due 01/27/2025

      34         31  

5.999% due 01/27/2028

      386         350  

6.125% due 01/17/2022 (m)

      292         298  

6.250% due 12/14/2026

  GBP     1,500         2,004  

6.625% due 01/16/2034

      700         901  

6.850% due 06/05/2115

  $     560         473  

7.375% due 01/17/2027 (m)

      1,648         1,650  

Sprint Corp.

 

7.625% due 03/01/2026 (m)

      741         757  

Verizon Communications, Inc.

 

2.875% due 01/15/2038

  EUR     120         138  

3.375% due 10/27/2036

  GBP     150         194  
 

 

92   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


 

June 30, 2018

 

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

Vodafone Group PLC

 

4.125% due 05/30/2025

  $     178     $     177  
       

 

 

 
          50,394  
       

 

 

 

Total Corporate Bonds & Notes (Cost $448,487)

 

        460,084  
       

 

 

 
CONVERTIBLE BONDS & NOTES 0.5%

 

INDUSTRIALS 0.5%

 

Caesars Entertainment Corp.

 

5.000% due 10/01/2024

      4,394         7,527  
       

 

 

 

Total Convertible Bonds & Notes (Cost $8,201)

 

      7,527  
       

 

 

 
MUNICIPAL BONDS & NOTES 0.5%

 

ILLINOIS 0.1%

 

Chicago, Illinois General Obligation Bonds, Series 2015

 

7.375% due 01/01/2033

      430         479  

7.750% due 01/01/2042

      760         824  

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

 

6.725% due 04/01/2035

      70         75  

7.350% due 07/01/2035

      50         56  

Illinois State General Obligation Bonds, Series 2003

 

5.100% due 06/01/2033

      580         550  
       

 

 

 
          1,984  
       

 

 

 
WEST VIRGINIA 0.4%

 

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

 

0.000% due 06/01/2047 (g)

      95,900         5,939  
       

 

 

 

Total Municipal Bonds & Notes (Cost $7,037)

    7,923  
       

 

 

 
U.S. GOVERNMENT AGENCIES 4.8%

 

Fannie Mae

 

3.829% (- 1.0*LIBOR01M + 5.920%) due 07/25/2041 ~(a)

      4,886         599  

3.979% (- 1.0*LIBOR01M + 6.070%) due 10/25/2040 ~(a)(m)

      7,337         797  

4.259% (- 1.0*LIBOR01M + 6.350%) due 12/25/2037 ~(a)

      249         20  

4.349% (- 1.0*LIBOR01M + 6.440%) due 03/25/2037 ~(a)

      1,886         239  

4.429% (- 1.0*LIBOR01M + 6.520%) due 09/25/2037 ~(a)(m)

      890         118  

4.559% (- 1.0*LIBOR01M + 6.650%) due 11/25/2036 ~(a)

      138         14  

4.629% (- 1.0*LIBOR01M + 6.720%) due 06/25/2037 ~(a)

      603         41  

4.889% (- 1.0*LIBOR01M + 6.980%) due 03/25/2038 ~(a)

      1,900         329  

4.909% (- 1.0*LIBOR01M + 7.000%) due 02/25/2038 ~(a)(m)

      1,222         157  

5.009% (- 1.0*LIBOR01M + 7.100%) due 06/25/2023 ~(a)(m)

      1,476         91  

5.641% (US0001M + 3.550%) due 07/25/2029 ~

      1,830         1,990  

7.670% (- 2.25*LIBOR01M + 12.375%) due 01/25/2041 ~(m)

      5,985         6,823  

7.841% (US0001M + 5.750%) due 07/25/2029 ~

      2,460         2,939  

Freddie Mac

 

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

      64,209           41,288  

0.100% due 02/25/2046 - 11/25/2050 (a)

      636,116         2,635  

0.200% due 04/25/2045 (a)

      12,268         15  

2.079% due 11/25/2045 ~(a)

      23,213         3,417  

4.337% (- 1.0*LIBOR01M + 6.410%) due 05/15/2037 ~(a)

      177         17  

4.397% (- 1.0*LIBOR01M + 6.470%) due 07/15/2036 ~(a)

      2,515         274  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

4.507% (- 1.0*LIBOR01M + 6.580%) due 09/15/2036 ~(a)(m)

  $     918     $     115  

4.627% (- 1.0*LIBOR01M + 6.700%) due 04/15/2036 ~(a)

      1,296         117  

5.707% (- 1.0*LIBOR01M + 7.780%) due 09/15/2036 ~(a)(m)

      1,519         278  

7.241% (US0001M + 5.150%) due 10/25/2029 ~

      4,500         5,151  

8.603% (- 3.0*LIBOR01M + 14.550%) due 09/15/2041 ~

      602         646  

11.091% (US0001M + 9.000%) due 03/25/2029 ~

      2,097         2,531  

11.692% (- 2.5*LIBOR01M + 16.875%) due 09/15/2034 ~

      114         117  

12.591% (US0001M + 10.500%) due 10/25/2028 ~

      499         673  

12.841% (US0001M + 10.750%) due 03/25/2025 ~

      3,210         4,367  
       

 

 

 

Total U.S. Government Agencies (Cost $76,227)

      75,798  
       

 

 

 
NON-AGENCY MORTGAGE-BACKED SECURITIES 68.6%

 

Alba PLC

 

0.891% due 12/15/2038 •

  GBP     8,671         10,504  

American Home Mortgage Assets Trust

 

2.381% due 08/25/2037 ^•(m)

  $     11,189         10,063  

2.631% due 11/25/2035 •(m)

      2,316         2,234  

American Home Mortgage Investment Trust

 

2.691% due 09/25/2045 •(m)

      6,177         5,986  

2.991% due 02/25/2044 •

      9,739         8,212  

Banc of America Alternative Loan Trust

 

2.491% due 05/25/2035 ^•

      755         641  

6.000% due 06/25/2037

      276         256  

6.000% due 06/25/2046

      114         106  

Banc of America Funding Trust

 

0.000% due 06/26/2035 •(m)

      9,331         9,299  

2.171% due 08/25/2047 ^•

      6,093         4,569  

2.294% due 04/20/2047 ^•(m)

      13,773           12,514  

2.534% due 02/20/2035 •

      4,612         4,491  

3.620% due 01/20/2047 ^~

      210         187  

3.654% due 01/25/2035 ~

      374         340  

3.725% due 03/20/2036 ^~(m)

      1,608         1,399  

6.119% due 07/26/2036 ~

      12,521         6,061  

Banc of America Mortgage Trust

 

3.597% due 01/25/2036 ~

      710         674  

3.622% due 10/20/2046 ^~

      182         120  

Bancaja Fondo de Titulizacion de Activos

 

0.000% due 10/25/2037 •

  EUR     1,987         2,305  

Barclays Commercial Mortgage Securities Trust

 

7.073% due 08/15/2027 •

  $     9,900         9,758  

Bayview Commercial Asset Trust

 

2.521% due 08/25/2034 •

      135         134  

BCAP LLC Trust

 

3.439% due 04/26/2037 ~(m)

      14,090         12,166  

3.501% due 11/26/2035 ~(m)

      7,314         7,124  

3.585% due 07/26/2045 ~(m)

      7,018         6,256  

3.591% due 02/26/2036 ~

      6,624         5,180  

3.652% due 10/26/2035 ~

      6,007         5,764  

4.010% due 07/26/2035 ~

      1,279         1,260  

4.020% due 03/26/2035 ~(m)

      5,818         5,662  

4.175% due 06/26/2036 ~

      5,919         5,321  

5.500% due 12/26/2035 ~(m)

      6,525         5,230  

6.000% due 08/26/2037 ~

      3,792         3,369  

Bear Stearns Adjustable Rate Mortgage Trust

 

3.783% due 06/25/2047 ^~(m)

      3,535         3,267  

Bear Stearns ALT-A Trust

 

2.291% due 02/25/2034 •

      6,359         5,721  

3.500% due 11/25/2035 ^~(m)

      17,461         14,439  

3.777% due 09/25/2035 ^~(m)

      9,643         7,015  

BRAD Resecuritization Trust

 

2.185% due 03/12/2021 «

      22,510         1,054  

6.550% due 03/12/2021 «

      4,208         4,153  

CD Mortgage Trust

 

5.688% due 10/15/2048

      9,007         4,548  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Chase Mortgage Finance Trust

 

3.391% due 01/25/2036 ~(m)

  $     10,215     $     9,356  

3.557% due 03/25/2037 ^~(m)

      2,840         2,693  

Citigroup Commercial Mortgage Trust

 

5.800% due 12/10/2049 ~

      424         291  

Citigroup Mortgage Loan Trust

 

3.639% due 02/25/2036 ~

      9,149         8,491  

3.710% due 03/25/2036 ^•(m)

      496         476  

3.712% due 09/25/2037 ^~(m)

      6,737         6,526  

3.798% due 10/25/2035 ^~

      3,123         3,129  

Citigroup/Deutsche Bank Commercial Mortgage Trust

 

5.398% due 12/11/2049 ~(m)

      259         155  

Commercial Mortgage Loan Trust

 

6.254% due 12/10/2049 ~(m)

      8,829         5,487  

Commercial Mortgage Trust

 

5.377% due 12/10/2046

      53         53  

5.505% due 03/10/2039 ~

      410         282  

Countrywide Alternative Loan Trust

 

0.786% due 12/25/2035 ~(a)

      14,291         554  

1.611% due 12/25/2035 ~(a)

      8,855         514  

2.281% due 09/25/2046 ^•(m)

      13,068           11,636  

2.341% due 06/25/2037 •

      16,008         11,446  

2.821% due 11/25/2035 •(m)

      16,523         16,417  

3.693% due 06/25/2047 ~

      201         169  

5.059% due 07/25/2036 •(a)

      11,617         2,955  

5.500% due 02/25/2020

      39         39  

5.500% due 07/25/2035 ^(m)

      1,610         1,389  

5.500% due 11/25/2035 ^(m)

      727         666  

5.500% due 01/25/2036 ^

      141         140  

5.500% due 04/25/2037 ^(m)

      2,698         2,216  

5.750% due 01/25/2036

      236         194  

5.750% due 01/25/2037 ^

      8,560         7,521  

5.750% due 04/25/2037 ^(m)

      2,404         2,250  

6.000% due 06/25/2036 ^

      409         357  

6.000% due 11/25/2036 ^(m)

      396         343  

6.000% due 12/25/2036

      218         154  

6.000% due 01/25/2037 ^

      1,830         1,685  

6.000% due 02/25/2037 ^(m)

      1,111         753  

6.000% due 03/25/2037 ^

      3,333         2,194  

6.000% due 03/25/2037 ^(m)

      10,817         7,121  

6.000% due 04/25/2037 ^

      6,624         4,626  

6.000% due 07/25/2037 ^

      1,027         1,003  

26.453% due 05/25/2037 ^•

      1,114         1,729  

Countrywide Home Loan Mortgage Pass-Through Trust

 

2.431% due 03/25/2036 •

      1,964         913  

2.691% due 03/25/2035 •

      223         203  

3.335% due 11/20/2035 ~(m)

      13,755         12,638  

3.961% due 03/25/2046 ^•

      10,151         6,512  

3.985% due 06/25/2047 ^~(m)

      6,138         5,815  

5.000% due 11/25/2035 ^

      51         40  

5.500% due 12/25/2034

      124         120  

5.500% due 11/25/2035 ^

      62         56  

6.000% due 07/25/2037 ^

      262         222  

6.000% due 08/25/2037 (m)

      5,924         4,994  

6.000% due 08/25/2037 ^

      3         3  

Credit Suisse Mortgage Capital Certificates

 

2.971% due 02/27/2047 ~(m)

      51,513         32,525  

3.565% due 07/26/2037 ~(m)

      12,125         11,214  

3.800% due 04/26/2035 ~(m)

      17,335         17,037  

3.834% due 06/25/2036 ~(m)

      9,252         8,989  

7.000% due 08/26/2036

      15,442         7,311  

7.000% due 08/27/2036

      3,874         2,368  

Credit Suisse Mortgage Capital Mortgage-Backed Trust

 

5.896% due 04/25/2036 ×(m)

      7,755         5,481  

6.500% due 07/26/2036 ^(m)

      12,347         6,886  

CSAB Mortgage-Backed Trust

 

5.500% due 05/25/2037 ^(m)

      4,325         3,914  

Debussy DTC PLC

 

5.930% due 07/12/2025

  GBP     21,250         27,904  

8.250% due 07/12/2025

      5,000         5,279  

Deutsche ALT-A Securities, Inc.

 

6.000% due 10/25/2021 ^

  $     562         510  

Epic Drummond Ltd.

 

0.000% due 01/25/2022 •

  EUR     329         382  

Eurosail PLC

 

0.000% due 06/13/2045 ~

  GBP     2         2,857  

1.627% due 06/13/2045 •

      7,191         9,144  
 

 

See Accompanying Notes   ANNUAL REPORT   JUNE 30, 2018   93


Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.)

 

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

1.877% due 06/13/2045 •

  GBP     7,466     $     9,410  

2.377% due 06/13/2045 •

      4,604         5,247  

4.127% due 06/13/2045 •

      1,647         1,861  

First Horizon Alternative Mortgage Securities Trust

 

3.645% due 08/25/2035 ^~

  $     1,815         350  

5.009% due 11/25/2036 •(a)

      1,232         309  

First Horizon Mortgage Pass-Through Trust

 

5.500% due 08/25/2037 ^

      479         389  

Fondo de Titulizacion de Activos UCI

 

0.000% due 06/16/2049 •

  EUR     1,444     $     1,607  

GC Pastor Hipotecario FTA

 

0.000% due 06/21/2046 •

      5,979         6,149  

GreenPoint Mortgage Funding Trust

 

2.291% due 12/25/2046 ^•(m)

  $     4,554         4,167  

Grifonas Finance PLC

 

0.009% due 08/28/2039 •

  EUR     10,964         11,510  

GS Mortgage Securities Corp.

 

4.744% due 10/10/2032 •(m)

  $     12,800         11,553  

GSR Mortgage Loan Trust

 

3.893% due 11/25/2035 ~

      229         195  

6.500% due 08/25/2036 ^•

      899         638  

HarborView Mortgage Loan Trust

 

2.325% due 03/19/2036 •

      17,732         16,165  

2.585% due 01/19/2036 •

      8,468         6,677  

2.734% due 06/20/2035 •(m)

      10,188         10,140  

2.984% due 06/20/2035 •

      2,351         2,313  

Hipocat FTA

 

0.000% due 10/24/2039 •

  EUR     5,732         6,542  

0.000% due 01/15/2050 •

      5,595         6,108  

0.000% due 01/15/2050 •

      1,861         2,116  

IM Pastor Fondo de Titluzacion Hipotecaria

 

0.000% due 03/22/2043 •

      2,074         2,204  

Impac CMB Trust

 

2.811% due 10/25/2034 •

  $     257         253  

Impac Secured Assets Trust

 

2.201% due 05/25/2037 ^•

      11         9  

IndyMac Mortgage Loan Trust

 

2.291% due 11/25/2046 •

      7,284         6,630  

2.341% due 02/25/2037 •(m)

      4,434         3,150  

2.391% due 07/25/2036 •

      622         516  

3.353% due 03/25/2037 ~

      41         39  

3.607% due 06/25/2037 ^~(m)

      4,911         4,280  

3.775% due 02/25/2035 ~

      387         375  

JPMorgan Alternative Loan Trust

 

2.291% due 06/25/2037 •(m)

      33,732           19,870  

3.381% due 11/25/2036 ^~(m)

      1,620         1,751  

5.960% due 12/25/2036 ^(m)

      8,983         8,392  

JPMorgan Chase Commercial Mortgage Securities Trust

 

1.653% due 06/15/2045 ~(a)(m)

      44,996         1,868  

5.768% due 01/12/2043 ~(m)

      1,377         1,397  

5.895% due 12/15/2044 ~(m)

      3,823         3,819  

JPMorgan Mortgage Trust

 

3.544% due 10/25/2036 ~

      1,084         960  

3.782% due 06/25/2037 ^~(m)

      4,930         4,851  

Lavender Trust

 

5.500% due 09/26/2035

      5,090         4,956  

6.000% due 11/26/2036 (m)

      14,301         14,023  

LB-UBS Commercial Mortgage Trust

 

0.347% due 02/15/2040 ~(a)

      14,338         1  

5.954% due 02/15/2040 ~

      1,700         1,701  

Lehman Mortgage Trust

 

5.500% due 11/25/2035 ^

      70         68  

6.000% due 08/25/2036 ^

      1,121         1,093  

6.000% due 09/25/2036 ^(m)

      690         605  

6.500% due 09/25/2037 ^

      4,748         3,523  

7.250% due 09/25/2037 ^(m)

      32,616         16,739  

Lehman XS Trust

 

2.371% due 07/25/2037 •(m)

      22,344           15,612  

2.591% due 07/25/2047 •

      3,315         2,423  

MASTR Adjustable Rate Mortgages Trust

 

2.291% due 05/25/2047 •(m)

      19,168         15,891  

2.771% due 05/25/2047 ^•

      4,334         2,572  

MASTR Alternative Loan Trust

 

2.441% due 03/25/2036 •

      21,194         4,415  

2.491% due 03/25/2036 •

      28,014         5,913  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Merrill Lynch Mortgage Investors Trust

 

3.846% due 05/25/2036 ~

  $     7,268     $     7,045  

Morgan Stanley Capital Trust

 

6.285% due 06/11/2049 ~

      1,212         1,225  

Morgan Stanley Re-REMIC Trust

 

3.593% due 09/26/2035 ~

      4,746         4,838  

3.839% due 01/26/2035 ~(m)

      9,522         9,364  

3.839% due 02/26/2037 ~(m)

      5,445         5,536  

3.853% due 07/26/2035 ~(m)

      26,634         26,289  

6.000% due 04/26/2036 (m)

      7,969         8,757  

Mortgage Equity Conversion Asset Trust

 

4.000% due 07/25/2060 «

      2,398         2,122  

Motel 6 Trust

 

9.000% due 08/15/2019 ~(m)

      18,770         19,104  

Natixis Commercial Mortgage Securities Trust

 

4.323% due 11/15/2034 ~

      985         988  

5.073% due 11/15/2034 ~

      1,280         1,286  

6.073% due 11/15/2034 ~

      555         556  

Newgate Funding PLC

 

0.831% due 12/15/2050 •

  GBP     1,682         2,034  

0.929% due 12/15/2050 •

  EUR     1,915         2,202  

1.179% due 12/15/2050 •

      3,655         4,140  

1.881% due 12/15/2050 •

  GBP     2,889         3,755  

Nomura Resecuritization Trust

 

8.189% due 09/26/2035 ~

  $     3,994         3,909  

NovaStar Mortgage Funding Trust

 

2.281% due 09/25/2046 •

      551         494  

RBSSP Resecuritization Trust

 

3.644% due 07/26/2045 ~(m)

      20,150         20,153  

3.699% due 05/26/2037 ~(m)

      7,332         6,829  

6.000% due 03/26/2036 ^

      7,179         6,054  

Residential Accredit Loans, Inc. Trust

 

2.271% due 07/25/2036 •

      11,064         7,443  

2.281% due 05/25/2037 •(m)

      17,136         16,230  

2.558% due 01/25/2046 ^•

      6,257         5,549  

5.285% due 01/25/2036 ~

      685         617  

6.000% due 08/25/2035 ^

      854         803  

6.000% due 06/25/2036

      354         326  

6.000% due 09/25/2036 ^(m)

      5,267         3,772  

7.000% due 10/25/2037 (m)

      10,375         9,135  

Residential Asset Securitization Trust

 

5.500% due 07/25/2035

      894         779  

6.250% due 08/25/2037 ^

      4,358         2,106  

Residential Funding Mortgage Securities, Inc. Trust

 

5.209% due 08/25/2036 ^~(m)

      1,813         1,596  

5.850% due 11/25/2035 ^

      163         161  

6.000% due 04/25/2037 ^

      1,534         1,452  

Rite Aid Pass-Through Certificates

 

6.786% due 01/02/2021 «~

      9,196         9,270  

RiverView HECM Trust

 

2.840% due 05/25/2047 «•(m)

      7,788         7,106  

Sequoia Mortgage Trust

 

2.454% due 07/20/2036

      2,607         1,604  

3.284% due 10/20/2027

      1,009         968  

Structured Adjustable Rate Mortgage Loan Trust

 

3.581% due 02/25/2037 ^~

      13,084         11,524  

3.715% due 08/25/2036 ~

      3,425         1,795  

3.827% due 04/25/2047 ~(m)

      2,327         1,858  

Structured Asset Mortgage Investments Trust

 

2.281% due 07/25/2046 ^(m)

      16,692         14,153  

2.431% due 03/25/2037 ^~

      1,174         594  

3.613% due 02/25/2036 ~(m)

      5,405         4,940  

SunTrust Alternative Loan Trust

 

5.059% due 04/25/2036 ^(a)

    4,979         1,290  

TBW Mortgage-Backed Trust

 

6.500% due 07/25/2036 (m)

      20,923         11,668  

Theatre Hospitals PLC

 

3.786% due 10/15/2031

  GBP     5,613         7,149  

3.786% due 10/15/2031 (m)

      11,391         14,694  

4.536% due 10/15/2031 ~

      798         1,023  

Wachovia Bank Commercial Mortgage Trust

 

5.691% due 10/15/2048 ~

  $     3,480         3,527  

WaMu Mortgage Pass-Through Certificates Trust

 

2.047% due 07/25/2047 ^(m)

      788         647  

2.274% due 07/25/2047 (m)

      22,804         20,929  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

2.308% due 06/25/2047 ^

  $     5,737     $     2,652  

2.438% due 10/25/2046 ^

      490         446  

2.511% due 06/25/2044

      250         242  

3.389% due 02/25/2037 ^~

      275         268  

3.475% due 03/25/2037 ^~(m)

      4,234         3,963  

Washington Mutual Mortgage Pass-Through Certificates Trust

 

2.331% due 01/25/2047 ^(m)

      12,380         11,396  

2.691% due 07/25/2036 ^

      7,057         5,018  

6.000% due 04/25/2037 ^(m)

      3,702         3,596  

Wells Fargo Alternative Loan Trust

 

4.260% due 07/25/2037 ^~(m)

      4,315         4,043  

5.750% due 07/25/2037 ^(m)

      399         374  

Wells Fargo Mortgage Loan Trust

 

4.190% due 04/27/2036 ~(m)

      17,663         16,512  

Wells Fargo Mortgage-Backed Securities Trust

 

6.000% due 07/25/2036 ^

      175         177  

6.000% due 09/25/2036 ^

      332         321  

6.000% due 04/25/2037 ^

      1,186         1,197  

6.000% due 06/25/2037 ^

      249         248  
       

 

 

 

Total Non-Agency Mortgage-Backed Securities (Cost $895,175)

      1,080,895  
       

 

 

 
ASSET-BACKED SECURITIES 42.9%

 

ACE Securities Corp. Home Equity Loan Trust

 

3.051% due 08/25/2035

      6,375         2,864  

Aegis Asset-Backed Securities Trust Mortgage Pass-Through Certificates

 

4.191% due 09/25/2034

      740         724  

Airspeed Ltd.

 

2.343% due 06/15/2032

      7,114         6,214  

American Money Management Corp. CLO Ltd.

 

9.307% due 12/09/2026 •(m)

      4,200         4,281  

Asset-Backed Funding Certificates Trust

 

3.010% due 03/25/2034 •

      1,265         1,183  

Bear Stearns Asset-Backed Securities Trust

 

2.641% due 06/25/2036 •(m)

      8,846         8,768  

2.859% due 10/25/2036 ~

      4,913         3,656  

BSPRT Issuer Ltd.

 

6.323% due 06/15/2027 •

      6,000         6,052  

C-BASS CBO Corp.

 

2.564% due 09/06/2041 •

      27,723         2,961  

Citigroup Mortgage Loan Trust

 

2.251% due 12/25/2036 •(m)

      18,125           11,995  

2.311% due 12/25/2036 •(m)

      10,275         5,493  

2.791% due 11/25/2046 •

      2,100         1,237  

4.988% due 03/25/2036 ^(m)

      2,266         1,642  

5.852% due 05/25/2036 ^

      515         307  

Citigroup Mortgage Loan Trust, Inc.

 

2.351% due 03/25/2037 •(m)

      23,935         21,521  

Conseco Finance Corp.

 

7.060% due 02/01/2031 ~

      4,726         4,698  

7.500% due 03/01/2030 ~(m)

      8,332         6,058  

Conseco Finance Securitizations Corp.

 

9.163% due 03/01/2033 ~

      8,746         8,245  

Cork Street CLO Designated Activity Co.

 

0.000% due 11/27/2028 ~

  EUR     2,667         3,139  

3.600% due 11/27/2028

      1,197         1,403  

4.500% due 11/27/2028

      1,047         1,230  

6.200% due 11/27/2028

      1,296         1,521  

Coronado CDO Ltd.

 

3.821% due 09/04/2038 •

  $     11,700         8,325  

6.000% due 09/04/2038

      1,800         1,479  

Countrywide Asset-Backed Certificates

 

2.221% due 12/25/2036 ^•(m)

      14,305         13,414  

2.261% due 06/25/2047 •(m)

      3,808         3,780  

2.291% due 06/25/2037 ^•(m)

      9,587         8,658  

2.291% due 06/25/2047 •(m)

      24,313         21,712  

2.351% due 01/25/2046 ^•

      34,703         19,510  

2.511% due 06/25/2036 ^•(m)

      8,000         6,738  

2.891% due 03/25/2033 •

      14         14  

3.471% due 12/25/2032 ^•

      33         35  

4.450% due 02/25/2036 ~

      71         73  
 

 

94   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


 

June 30, 2018

 

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

4.788% due 07/25/2036 ~(m)

  $     511     $     517  

5.505% due 04/25/2036 ~

      165         165  

5.588% due 08/25/2036 ~

      181         181  

Countrywide Asset-Backed Certificates Trust

 

2.331% due 03/25/2047 •(m)

      7,655         6,989  

2.821% due 04/25/2036 •(m)

      21,300         20,983  

3.441% due 11/25/2035 •

      4,937         1,301  

4.606% due 10/25/2046 ^~(m)

      2,953         2,759  

Countrywide Home Equity Loan Trust

 

5.657% due 03/25/2034 ~

      165         167  

Crecera Americas LLC

 

0.000% due 08/31/2020 •

      22,300         22,329  

Credit-Based Asset Servicing & Securitization LLC

 

6.250% due 10/25/2036 (m)

      10,800         11,230  

Dekania Europe CDO PLC

 

0.196% due 09/27/2037 •

  EUR     844         975  

ECAF Ltd.

 

4.947% due 06/15/2040

  $     2,369         2,396  

EMC Mortgage Loan Trust

 

2.541% due 12/25/2042 •

      16         17  

3.031% due 04/25/2042 •

      3,558         3,518  

5.466% due 04/25/2042 •

      2,813         2,457  

First Franklin Mortgage Loan Trust

 

2.561% due 11/25/2036 •

      5,000         4,432  

2.591% due 12/25/2035 •(m)

      23,487           21,962  

Glacier Funding CDO Ltd.

 

2.633% due 08/04/2035 •

      10,495         2,665  

GMAC Mortgage Corp. Home Equity Loan Trust

 

6.749% due 12/25/2037

      3,555         3,532  

GSAMP Trust

 

3.966% due 06/25/2034 •

      1,442         1,399  

HART, Inc.

 

0.010% due 12/15/2022 «

      7,500         6,703  

Hout Bay Corp.

 

2.255% due 07/05/2041 •

      35,706         11,604  

IndyMac Home Equity Mortgage Loan Asset-Backed Trust

 

6.163% due 12/25/2031 ^

      658         225  

JPMorgan Mortgage Acquisition Corp.

 

2.711% due 12/25/2035 •(m)

      16,459         15,862  

KGS-Alpha SBA COOF Trust

 

1.086% due 04/25/2038 «~(a)

      2,580         72  

Lehman XS Trust

 

6.170% due 06/24/2046 (m)

      3,024         3,085  

Long Beach Mortgage Loan Trust

 

2.281% due 02/25/2036 •(m)

      10,929         9,237  

2.611% due 08/25/2045 •(m)

      29,847         29,136  

2.796% due 11/25/2035 •(m)

      16,434         13,122  

3.141% due 02/25/2034 •

      142         142  

3.141% due 06/25/2035 •(m)

      32,300         30,310  

MASTR Asset-Backed Securities Trust

 

2.241% due 03/25/2036 •(m)

      8,763         6,394  

2.661% due 01/25/2036 •

      400         392  

Mid-State Capital Corp. Trust

 

6.742% due 10/15/2040 (m)

      5,745         6,558  

Morgan Stanley ABS Capital, Inc. Trust

 

2.191% due 11/25/2036 •

      1,804         1,242  

2.421% due 02/25/2037 •

      6,251         4,136  

3.126% due 01/25/2035 •

      2,045         955  

Morgan Stanley Home Equity Loan Trust

 

2.321% due 04/25/2037 •(m)

      31,821         21,869  

National Collegiate Commutation Trust

 

0.000% due 03/25/2038 •

      37,800         20,399  

Oakwood Mortgage Investors, Inc.

 

7.840% due 11/15/2029 ~

      3,394         3,594  

8.490% due 10/15/2030 ^

      1,270         466  

Ocean Trails CLO

 

7.455% due 08/13/2025 •

      1,500         1,504  

Option One Mortgage Loan Trust

 

2.451% due 01/25/2036 •(m)

      20,000         17,726  

Popular ABS Mortgage Pass-Through Trust

 

3.341% due 08/25/2035 •

      3,663         3,791  

Residential Asset Mortgage Products Trust

 

3.066% due 04/25/2034 •(m)

      5,247         5,139  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Residential Asset Securities Corp. Trust

 

2.331% due 08/25/2036 •(m)

  $     11,000     $     8,822  

Saxon Asset Securities Trust

 

2.541% due 11/25/2037 •

      13,000         12,279  

SLM Student Loan EDC Repackaging Trust

 

0.000% due 10/28/2029 «(g)

      11         10,919  

SLM Student Loan Trust

 

0.000% due 01/25/2042 «(g)

      9         6,770  

SoFi Professional Loan Program LLC

 

0.000% due 03/25/2036 «(g)

      80         1,478  

0.000% due 01/25/2039 «(g)

      9,180         4,429  

0.000% due 05/25/2040 «(g)

      9,300         5,394  

0.000% due 07/25/2040 «(g)

      47         2,760  

0.000% due 09/25/2040 «(a)(g)

      4,003         2,402  

Soloso CDO Ltd.

 

2.651% due 10/07/2037 •

      4,800         3,984  

Sorin Real Estate CDO Ltd.

 

1.702% due 10/28/2046 •

      1,058         1,058  

Sound Point CLO Ltd.

 

7.212% due 01/23/2027 •

      1,000         1,001  

Soundview Home Loan Trust

 

2.371% due 06/25/2037 •

      8,887         6,528  

2.591% due 03/25/2036 •(m)

      16,905         16,061  

South Coast Funding Ltd.

 

2.585% due 01/06/2041 •

      157,101         42,415  

Structured Asset Securities Corp.

 

8.091% due 05/25/2032 ^•(m)

    7,356         6,139  

Symphony CLO Ltd.

 

6.948% due 07/14/2026 •(m)

      4,400         4,378  

Tropic CDO Ltd.

 

2.668% due 07/15/2036 •

      5,274         4,852  

3.228% due 07/15/2034 •(m)

      22,500         21,375  
       

 

 

 

Total Asset-Backed Securities (Cost $613,662)

      675,611  
       

 

 

 
SOVEREIGN ISSUES 3.2%

 

Argentina Government International Bond

 

2.260% due 12/31/2038 ×

  EUR     13,491         9,335  

3.375% due 01/15/2023

      400         426  

3.875% due 01/15/2022

      3,000         3,365  

5.250% due 01/15/2028

      300         302  

6.250% due 11/09/2047

      200         183  

7.820% due 12/31/2033

      13,601         15,892  

22.844% (BADLARPP) due 10/04/2022 ~

  ARS     138         7  

34.188% (BADLARPP + 2.000%) due 04/03/2022 ~

      146,454         4,620  

34.194% (BADLARPP + 2.500%) due 03/11/2019 ~

      500         17  

34.660% (BADLARPP + 3.250%) due 03/01/2020 ~

      2,300         78  

40.000% (ARPP7DRR) due 06/21/2020 ~

      348,987         12,570  

Autonomous Community of Catalonia

 

4.900% due 09/15/2021

  EUR     50         63  

4.950% due 02/11/2020

      50         62  

Egypt Government International Bond

 

4.750% due 04/16/2026

      600         645  

5.625% due 04/16/2030

      700         737  

Peru Government International Bond

 

6.350% due 08/12/2028

  PEN     6,600         2,104  

Venezuela Government International Bond

 

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

  $     590         158  

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

      734         210  
       

 

 

 

Total Sovereign Issues (Cost $65,992)

 

        50,774  
       

 

 

 
        SHARES            
COMMON STOCKS 1.9%

 

CONSUMER DISCRETIONARY 0.8%

 

Caesars Entertainment Corp. (e)

    1,283,486     $     13,733  

Desarrolladora Homex S.A.B. de C.V. (e)

      719,113         4  
        SHARES         MARKET
VALUE
(000S)
 

Urbi Desarrollos Urbanos S.A.B. de C.V. (e)

    95,515     $     23  
       

 

 

 
            13,760  
       

 

 

 
ENERGY 0.7%

 

Dommo Energia S.A. «(e)(k)

    14,555,779         3,980  

Dommo Energia S.A. SP - ADR «

    2,627         97  

Ocean Rig UDW, Inc. (e)

      237,414         6,999  
       

 

 

 
          11,076  
       

 

 

 
FINANCIALS 0.1%

 

TIG FinCo PLC «(k)

      662,196         1,049  
       

 

 

 
UTILITIES 0.3%

 

Eneva S.A. (e)(k)

      10,054         31  

TexGen Power LLC «

      130,864         4,147  
       

 

 

 

Total Common Stocks (Cost $36,235)

 

      30,063  
       

 

 

 
REAL ESTATE INVESTMENT TRUSTS 0.8%

 

REAL ESTATE 0.8%

 

VICI Properties, Inc. (k)

      594,589         12,272  
       

 

 

 

Total Real Estate Investment Trusts (Cost $7,462)

 

      12,272  
       

 

 

 
SHORT-TERM INSTRUMENTS 7.5%

 

REPURCHASE AGREEMENTS (l) 6.2%

 

          97,512  
       

 

 

 
        PRINCIPAL
AMOUNT
(000S)
           
SHORT-TERM NOTES 0.1%

 

Letras del Banco Central de la Republica Argentina

 

25.150% due 10/17/2018 (h)

  ARS     2,290         71  

25.500% due 08/15/2018 (h)

    1,190         39  

25.700% due 07/18/2018 (h)

    13,811         468  

25.800% due 07/18/2018 - 08/15/2018 (h)

      5,850         194  

33.500% due 07/18/2018 (h)

      1,036         35  

37.800% due 11/21/2018 (h)

    1,480         44  

40.700% due 07/18/2018 (h)

    560         19  
       

 

 

 
          870  
       

 

 

 
ARGENTINA TREASURY BILLS 0.2%

 

12.430% due 09/14/2018 - 10/12/2018 (f)(g)

      68,372         2,325  

4.094% due 07/13/2018 - 09/14/2018 (f)(g)

  $     348         347  
       

 

 

 
          2,672  
       

 

 

 
U.S. TREASURY BILLS 1.0%

 

1.908% due 08/02/2018 - 09/06/2018 (f)(g)(o)(q)

      16,412         16,363  
       

 

 

 
Total Short-Term Instruments (Cost $118,800)

 

      117,417  
       

 

 

 
       
Total Investments in Securities (Cost $2,367,356)

 

      2,608,673  
       
Total Investments 165.6% (Cost $2,367,356)

 

  $     2,608,673  

Financial Derivative
Instruments (n)(p) (0.6)%

(Cost or Premiums, net $(46,412))

    (9,943
Other Assets and Liabilities, net (65.0)%       (1,023,207
       

 

 

 
Net Assets 100.0%

 

  $     1,575,523  
       

 

 

 
 

 

See Accompanying Notes   ANNUAL REPORT   JUNE 30, 2018   95


Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.)

 

 

NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:

 

*

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

All or a portion of this security is owned by PDILS I LLC, which is a 100% owned subsidiary of the Fund.

^

Security is in default.

«

Security valued using significant unobservable inputs (Level 3).

 

All or a portion of this amount represent 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.

×

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

(a)

Interest only security.

(b)

Principal only security.

(c)

When-issued security.

(d)

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

(e)

Security did not produce income within the last twelve months.

(f)

Coupon represents a weighted average yield to maturity.

(g)

Zero coupon security.

(h)

Coupon represents a yield to maturity.

(i)

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

(j)

Contingent convertible security.

 

(k)  RESTRICTED SECURITIES:

 

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

Buffalo Thunder Development Authority 0.000% due 11/15/2029 †

         12/08/2014     $ 0     $ 2       0.00

Dommo Energia S.A.

         12/21/2017 - 12/26/2017           380           3,980       0.25  

Eneva S.A.

         12/21/2017       43       31       0.00  

Pinnacol Assurance 8.625% due 06/25/2034

         06/23/2014       10,200       10,589       0.67  

Preylock Reitman Santa Cruz Mezz LLC 7.546% due 11/09/2022

         04/09/2018       5,540       5,550       0.35  

TIG FinCo PLC

         04/02/2015       982       1,049       0.07  

VICI Properties, Inc.

         02/25/2015 - 11/20/2017       7,462       12,272       0.78  
        

 

 

   

 

 

   

 

 

 
  $     24,607     $     33,473       2.12
        

 

 

   

 

 

   

 

 

 

 

BORROWINGS AND OTHER FINANCING TRANSACTIONS

 

(l)  REPURCHASE AGREEMENTS:

 

Counterparty   Lending
Rate
    Settlement
Date
    Maturity
Date
    Principal
Amount
    Collateralized By   Collateral
(Received)
    Repurchase
Agreements,
at Value
    Repurchase
Agreement
Proceeds
to be
Received(1)
 
FICC     1.500     06/29/2018       07/02/2018     $ 6,112     U.S. Treasury Notes 2.125% due 08/15/2021   $ (6,238   $ 6,112     $ 6,112  
IND     2.300       06/29/2018       07/02/2018           91,400     U.S. Treasury Notes 1.375% due 01/31/2020     (93,228     91,400       91,418  
           

 

 

   

 

 

   

 

 

 

Total Repurchase Agreements

 

    $     (99,466   $     97,512     $     97,530  
           

 

 

   

 

 

   

 

 

 

 

REVERSE REPURCHASE AGREEMENTS:

 

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

BPS

    0.900     06/14/2018       07/16/2018       GBP      (2,116   $ (2,794
    0.900       06/29/2018       07/30/2018       (4,057     (5,355
    2.870       06/19/2018       09/19/2018       $      (8,797     (8,806
    2.900       06/19/2018       09/19/2018       (11,030         (11,042
    2.920       05/29/2018       08/29/2018       (697     (699
    3.326       06/19/2018       09/19/2018       (16,248     (16,268
    3.337       04/11/2018       07/11/2018       (2,655     (2,675
    3.371       06/01/2018       09/04/2018       (61,298     (61,476

 

96   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


 

June 30, 2018

 

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

BRC

    2.400 %       06/01/2018       08/31/2018       $       (2,556   $ (2,561
    2.700       06/18/2018       TBD (3)       (25,607         (25,638
    2.850       06/20/2018       08/16/2018       (4,788     (4,793
    2.940       06/20/2018       07/11/2018       (2,558     (2,560
    3.072       01/17/2018       01/17/2019       (2,769     (2,771
    3.326       06/20/2018       08/20/2018       (10,737     (10,749
    3.332       06/21/2018       09/21/2018       (22,762     (22,785
    3.353       06/20/2018       08/09/2018       (4,123     (4,128
    3.362       06/20/2018       07/25/2018       (18,375     (18,396
    3.363       05/02/2018       08/02/2018       (6,340     (6,376
    4.321       04/13/2018       07/05/2019       (1,792     (1,809
    4.337       06/27/2017       TBD (3)       (27,448     (27,464
    4.337       01/05/2018       06/27/2019       (4,046     (4,048

JML

    0.850       05/15/2018       08/15/2018       GBP      (2,313     (3,055
    0.850       05/16/2018       08/15/2018       (1,129     (1,490
    0.930       06/25/2018       07/25/2018       (12,254     (16,175

JPS

    3.437       04/11/2018       07/11/2018       $    (15,994     (16,119

MSB

    3.713       05/01/2018       05/01/2019       (39,908     (40,163
    3.734       08/29/2017       08/29/2018       (75,540     (75,806
    3.763       02/05/2018       02/05/2019       (13,316     (13,382
    4.080       08/25/2017       08/27/2018       (40,811     (40,962
    4.080       02/15/2018       08/27/2018       (4,467     (4,484

NOM

    2.670       05/23/2018       07/23/2018       (853     (856
    2.700       06/12/2018       07/12/2018       (8,722     (8,735
    2.750       06/11/2018       07/09/2018       (3,163     (3,168
    2.750       06/12/2018       07/12/2018       (7,859     (7,871
    2.750       06/21/2018       07/12/2018       (7,681     (7,687
    3.043       02/07/2018       08/07/2018       (12,200     (12,350
    3.336       08/04/2017       TBD (3)       (5,190     (5,217
    4.388       08/04/2017       TBD (3)       (16,763     (16,852

RBC

    3.200       01/18/2018       07/18/2018       (194     (197
    3.570       04/12/2018       10/12/2018       (15,913     (16,041
    3.650       05/15/2018       11/15/2018       (6,506     (6,538

RCE

    1.527       06/18/2018       09/18/2018       GBP    (14,156     (18,693

RCY

    2.940       06/19/2018       09/19/2018       $         (499     (500

RDR

    2.670       05/10/2018       08/10/2018             (6,601     (6,627
    3.000       05/02/2018       08/02/2018       (5,494     (5,521

RTA

    2.733       07/20/2017       07/20/2018       (3,411     (3,501
    2.851       07/10/2017       07/09/2018       (10,311     (10,603
    2.938       01/16/2018       07/16/2018       (4,851     (4,917
    3.330       06/21/2018       09/21/2018       (16,889     (16,906
    3.435       06/22/2018       09/24/2018       (3,925     (3,929
    3.460       04/05/2018       10/05/2018       (36,835     (37,147
    3.460       04/06/2018       10/09/2018       (2,931     (2,955
    3.499       05/21/2018       11/21/2018       (13,051     (13,104
    3.513       05/07/2018       11/07/2018       (23,884     (24,015
    3.517       05/14/2018       11/14/2018       (29,981     (30,125
    3.519       04/26/2018       10/26/2018       (18,355     (18,475
    3.529       05/22/2018       08/22/2018       (2,912     (2,924
    3.592       03/20/2018       09/20/2018       (1,210     (1,223
    4.059       10/31/2017       TBD (3)       (1,710     (1,719

SBI

    3.259       04/24/2018       07/24/2018       (1,824     (1,835
    3.405       05/14/2018       11/14/2018       (21,356     (21,455

SOG

    0.150       06/25/2018       07/25/2018       EUR      (4,324     (5,050
    2.600       04/11/2018       07/11/2018       $      (1,515     (1,524
    2.720       04/25/2018       07/25/2018       (28,571     (28,717
    2.780       05/14/2018       08/13/2018       (2,395     (2,404
    2.790       06/01/2018       09/04/2018       (9,008     (9,030
    2.820       06/14/2018       09/14/2018       (1,162     (1,164
    3.189       07/12/2017       07/12/2018       (2,721     (2,737
    3.271       05/16/2018       08/16/2018       (7,293     (7,324
    3.291       06/14/2018       09/14/2018       (13,683     (13,705
    3.306       05/14/2018       08/14/2018       (32,647     (32,794
    3.459       04/27/2018       10/29/2018       (6,211     (6,250
    3.605       02/12/2018       08/13/2018       (10,102     (10,144
    3.613       02/08/2018       08/08/2018       (24,526     (24,640

UBS

    1.601       04/27/2018       07/27/2018       GBP      (8,668     (11,473
    2.560       06/13/2018       09/13/2018       $      (1,128     (1,130
    2.780       06/12/2018       09/12/2018       (38,112     (38,171
    2.780       06/13/2018       09/13/2018       (467     (468

 

See Accompanying Notes   ANNUAL REPORT   JUNE 30, 2018   97


Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.)

 

Counterparty   Borrowing
Rate(2)
    Settlement
Date
    Maturity
Date
    Amount
Borrowed(2)
    Payable for
Reverse
Repurchase
Agreements
 
    2.780 %       06/20/2018       09/12/2018       $          (867   $ (868
    2.860       05/31/2018       08/31/2018       (5,210     (5,223
    2.910       05/14/2018       08/14/2018       (4,273     (4,290
    3.000       05/02/2018       08/02/2018           (10,467     (10,520
    3.040       05/15/2018       08/15/2018       (6,455     (6,481
    3.362       04/25/2018       07/25/2018       (1,569     (1,579
    3.370       05/09/2018       08/09/2018       (3,645     (3,663
         

 

 

 

Total Reverse Repurchase Agreements

 

  $     (995,864
         

 

 

 

 

BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY

 

The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral pledged/(received) as of June 30, 2018:

 

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

Global/Master Repurchase Agreement

 

BPS

  $ 0     $ (109,115   $ 0      $     (109,115   $     136,295     $     27,180  

BRC

    0       (134,078     0        (134,078     184,610       50,532  

FICC

    6,112       0       0        6,112       (6,238     (126

IND

    91,418       0       0        91,418       (93,228     (1,810

JML

    0       (20,720     0        (20,720     24,070       3,350  

JPS

    0       (16,119     0        (16,119     21,375       5,256  

MSB

    0       (174,797     0        (174,797     245,618       70,821  

NOM

    0       (62,736     0        (62,736     76,625       13,889  

RBC

    0       (22,776     0        (22,776     30,618       7,842  

RCE

    0       (18,693     0        (18,693     21,818       3,125  

RCY

    0       (500     0        (500     797       297  

RDR

    0       (12,148     0        (12,148     13,664       1,516  

RTA

    0       (171,543     0        (171,543     230,337       58,794  

SBI

    0       (23,290     0        (23,290     28,711       5,421  

SOG

    0       (145,483     0        (145,483     175,782       30,299  

UBS

    0       (83,866     0        (83,866     98,269       14,403  
 

 

 

   

 

 

   

 

 

        

Total Borrowings and Other Financing Transactions(5)

  $     97,530     $     (995,864   $     0         
 

 

 

   

 

 

   

 

 

        

 

CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS

 

Remaining Contractual Maturity of the Agreements

 

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

Reverse Repurchase Agreements

 

Corporate Bonds & Notes

  $ 0     $ (93,231   $ (136,815   $ (25,638   $ (255,684

U.S. Government Agencies

    0       0       (19,732     (16,041     (35,773

Non-Agency Mortgage-Backed Securities

    0       (38,992     (213,543     (214,873     (467,408

Asset-Backed Securities

    0       (32,303     (146,080     (58,616     (236,999
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Borrowings

  $     0     $     (164,526   $     (516,170   $     (315,168   $     (995,864
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Payable for reverse repurchase agreements and sale-buyback financing transactions

 

      $ (995,864
         

 

 

 

 

(m)

Securities with an aggregate market value of $1,289,094 and cash of $561 have been pledged as collateral under the terms of the above master agreements as of June 30, 2018.

 

(1)

Includes accrued interest.

(2)

The average amount of borrowings outstanding during the period ended June 30, 2018 was $(1,059,683) at a weighted average interest rate of 2.733%. Average borrowings may include sale-buyback transactions and reverse repurchase agreements, if held during the period.

(3)

Open maturity reverse repurchase agreement.

(4)

Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. The Fund and Subsidiary are recognized as two separate legal entities. As such, exposure cannot be netted. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information regarding master netting arrangements.

(5)

The Subsidiary did not have Borrowings and Other Financing Transactions as of period end.

 

98   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


 

June 30, 2018

 

 

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

 

SWAP AGREEMENTS:

 

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

 

Reference Entity   Fixed
Receive Rate
    Payment
Frequency
    Maturity
Date
    Implied
Credit Spread at
June 30, 2018(2)
    Notional
Amount(3)
    Premiums
Paid/(Received)
    Unrealized
Appreciation/
(Depreciation)
    Market
Value
    Variation Margin  
  Asset     Liability  

Frontier Communications Corp.

    5.000     Quarterly       06/20/2020         8.963%     $     14,700     $ (505   $ (467   $ (972   $ 0     $ (39

Frontier Communications Corp.

    5.000       Quarterly       06/20/2022       12.139       1,200       (162     (74     (236     0       (6

Navient Corp.

    5.000       Quarterly       12/20/2021         1.998       4,600       230       224       454       0       (10
           

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
          $     (437   $     (317   $     (754   $     0     $     (55
         

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

INTEREST RATE SWAPS

 

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

Pay

 

3-Month USD-LIBOR

    1.500     Semi-Annual       12/21/2021     $     117,200     $ (3,303   $ (2,048   $ (5,351   $ 0     $ (16

Pay

 

3-Month USD-LIBOR

    1.750       Semi-Annual       12/21/2023         177,200       3,327       (13,753     (10,426     0       (123

Pay

 

3-Month USD-LIBOR

    1.750       Semi-Annual       12/21/2026         303,000       7,433       (34,802     (27,369     0       (281

Pay

 

3-Month USD-LIBOR

    2.500       Semi-Annual       12/20/2027         98,450       1,181       (4,904     (3,723     0       (95

Receive

 

3-Month USD-LIBOR

    2.250       Semi-Annual       06/20/2028         7,000       404       33       437       7       0  

Receive

 

3-Month USD-LIBOR

    2.500       Semi-Annual       06/15/2036         110,300       (11,005     19,014       8,009       100       0  

Receive

 

3-Month USD-LIBOR

    2.750       Semi-Annual       03/20/2043         76,400       (255     3,123       2,868       76       0  

Receive

 

3-Month USD-LIBOR

    3.750       Semi-Annual       06/18/2044         12,200       (2,516     768       (1,748     16       0  

Receive

 

3-Month USD-LIBOR

    3.500       Semi-Annual       12/17/2044         44,200       (6,956     2,638       (4,318     60       0  

Receive

 

3-Month USD-LIBOR

    3.250       Semi-Annual       06/17/2045         45,600       (3,730     1,410       (2,320     63       0  

Receive

 

3-Month USD-LIBOR

    2.750       Semi-Annual       12/16/2045         3,800       (52     212       160       5       0  

Receive

 

3-Month USD-LIBOR

    2.500       Semi-Annual       06/20/2048         3,100       287       21       308       5       0  

Receive(4)

 

6-Month EUR-EURIBOR

    1.250       Annual       09/19/2028     EUR     20,400       (286     (471     (757     0       (32

Receive(4)

 

6-Month EUR-EURIBOR

    1.250       Annual       12/19/2028         1,200       (21     (16     (37     0       (2

Receive(4)

 

6-Month GBP-LIBOR

    1.500       Semi-Annual       09/19/2028     GBP     52,170       1,195       (864     331       76       0  
             

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
          $ (14,297   $ (29,639   $ (43,936   $ 408     $ (549
             

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Swap Agreements

 

  $     (14,734   $     (29,956   $     (44,690   $     408     $     (604
             

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED SUMMARY

 

The following is a summary of the market value and variation margin of Exchange-Traded or Centrally Cleared Financial Derivative Instruments as of June 30, 2018:

 

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

Total Exchange-Traded or Centrally Cleared(5)

  $     0     $     0     $     408     $     408       $     0     $     0     $     (604   $     (604
 

 

 

   

 

 

   

 

 

   

 

 

     

 

 

   

 

 

   

 

 

   

 

 

 

 

(o)

Securities with an aggregate market value of $1,271 and cash of $25,045 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of June 30, 2018.

 

(1)

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

(2)

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

(3)

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

(4)

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.

(5)

The Subsidiary did not have Exchange-Traded or Centrally Cleared financial derivative instruments as of period end.

 

See Accompanying Notes   ANNUAL REPORT   JUNE 30, 2018   99


Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.)

 

 

(p)  FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER

 

FORWARD FOREIGN CURRENCY CONTRACTS:

 

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

BOA

     07/2018     BRL     24,736     $     6,415     $ 33     $ 0  
     07/2018     $     6,542     BRL     24,736       0       (160
     08/2018     ARS     4,680     $     217       62       0  
     08/2018     BRL     24,736         6,524       164       0  
     09/2018     ARS     2,294         104       31       0  

BPS

     07/2018         113,283         4,174       280       (3
     07/2018     PEN     7,631         2,336       14       0  
     07/2018     $     2,156     ARS     59,123       0       (113
     07/2018         102,438     EUR     88,043       379       0  
     07/2018         1,375     GBP     1,026       0       (21
     08/2018     EUR     88,043     $     102,666       0       (374

BRC

     07/2018     RUB     469,253         7,463       0       (3
     08/2018     $     7,429     RUB     469,253       3       0  
     09/2018     ARS     180,651     $     6,503       765       0  

CBK

     07/2018         2,923         135       34       0  
     07/2018     GBP     108,389         143,602       555       0  
     07/2018     $     108     ARS     3,112       0       (1
     07/2018         362     RUB     22,873       2       0  
     10/2018         146     ARS     4,390       0       (9

DUB

     07/2018     ARS     36,133     $     1,295       46       0  
     07/2018     $     1,429     ARS     40,933       3       (18

GLM

     07/2018     GBP     1,033     $     1,378       14       0  
     07/2018     $     183     ARS     4,851       0       (17
     07/2018         847     EUR     725       0       0  
     07/2018         882     RUB     55,087       0       (6
     08/2018         978     EUR     838       3       0  

HUS

     07/2018     ARS     1,170     $     55       15       0  
     07/2018     $     6     ARS     164       0       (1
     07/2018         6,122     RUB     391,293       105       0  
     08/2018     ARS     1,190     $     55       16       0  
     08/2018     $     5,760     RUB     360,015       0       (59
     10/2018         21     ARS     620       0       (1

JPM

     07/2018     ARS     2,882     $     133       34       0  
     07/2018     $     99     ARS     2,882       0       0  
     07/2018         1,240     EUR     1,058       0       (5

MSB

     07/2018     BRL     8,186     $     2,228       116       0  
     07/2018     $     2,123     BRL     8,186       0       (11

NGF

     07/2018     ARS     195     $     7       0       0  

SCX

     07/2018     BRL     16,551         4,532       262       0  
     07/2018     $     4,292     BRL     16,551       0       (22
     07/2018         1,220     GBP     926       2       0  

SSB

     07/2018     EUR     89,826     $     104,006       0       (893
     07/2018     GBP     5,710         7,652       117       0  

UAG

     07/2018     $     149,653     GBP     113,180       0       (283
     08/2018     GBP     113,180     $     149,865       291       0  
            

 

 

   

 

 

 

Total Forward Foreign Currency Contracts

 

      $     3,346     $     (2,000
            

 

 

   

 

 

 

 

SWAP AGREEMENTS:

 

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

 

Counterparty   Reference Entity   Fixed
Receive Rate
    Payment
Frequency
  Maturity
Date
    Implied
Credit Spread at
June 30, 2018(2)
    Notional
Amount(3)
    Premiums
Paid/(Received)
    Unrealized
Appreciation/
(Depreciation)
    Swap Agreements,
at Value
 
  Asset     Liability  
BPS  

Petrobras Global Finance BV

    1.000   Quarterly     06/20/2021       2.499   $     4,600     $     (1,243   $     1,053     $ 0     $ (190
 

Petrobras Global Finance BV

    1.000     Quarterly     12/20/2021       2.789       100       (16     10       0       (6
BRC  

Petrobras Global Finance BV

    1.000     Quarterly     06/20/2021       2.499       800       (218     185       0       (33
GST  

Petrobras Global Finance BV

    1.000     Quarterly     06/20/2021       2.499       3,931       (1,070     908       0           (162
 

Petrobras Global Finance BV

    1.000     Quarterly     12/20/2021       2.789       500       (78     50       0       (28
 

Springleaf Finance Corp.

    5.000     Quarterly     06/20/2022       2.090       900       49       48           97       0  

 

100   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


 

June 30, 2018

 

Counterparty   Reference Entity   Fixed
Receive Rate
    Payment
Frequency
    Maturity
Date
    Implied
Credit Spread at
June 30, 2018(2)
    Notional
Amount(3)
    Premiums
Paid/(Received)
    Unrealized
Appreciation/
(Depreciation)
    Swap Agreements,
at Value
 
  Asset     Liability  
HUS  

Petrobras Global Finance BV

    1.000     Quarterly       09/20/2020       2.175   $ 240     $ (34   $ 28     $ 0     $ (6
 

Petrobras Global Finance BV

    1.000       Quarterly       06/20/2021       2.499           7,200       (1,968     1,671       0       (297
JPM  

Springleaf Finance Corp.

    5.000       Quarterly       06/20/2022       2.090       5,000       420       119       539       0  
             

 

 

   

 

 

   

 

 

   

 

 

 
              $     (4,158   $     4,072     $     636     $     (722
             

 

 

   

 

 

   

 

 

   

 

 

 

 

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

 

Counterparty   Index/Tranches   Fixed
Receive Rate
    Payment
Frequency
    Maturity
Date
    Notional
Amount(3)
    Premiums
Paid/(Received)
    Unrealized
Appreciation/
(Depreciation)
    Swap Agreements,
at  Value(4)
 
  Asset     Liability  
DUB  

CMBX.NA.BBB-.6 Index

    3.000     Monthly       05/11/2063     $ 2,700     $ (178   $ (101   $ 0     $ (279
 

CMBX.NA.BBB-.9 Index

    3.000       Monthly       09/17/2058       3,500       (439     79       0       (360
FBF  

ABX.HE.AA.6-2 Index

    0.170       Monthly       05/25/2046       27,118       (24,101     16,513       0       (7,588
 

CMBX.NA.BBB-.10 Index

    3.000       Monthly       11/17/2059       100       (11     2       0       (9
 

CMBX.NA.BBB-.6 Index

    3.000       Monthly       05/11/2063       400       (48     7       0       (41
 

CMBX.NA.BBB-.7 Index

    3.000       Monthly       01/17/2047       600       (55     13       0       (42
 

CMBX.NA.BBB-.8 Index

    3.000       Monthly       10/17/2057       1,500       (234     56       0       (178
GST  

CMBX.NA.A.6 Index

    2.000       Monthly       05/11/2063       5,400       (275     248       0       (27
 

CMBX.NA.BB.6 Index

    5.000       Monthly       05/11/2063       2,200       (294     (126     0       (420
 

CMBX.NA.BBB-.6 Index

    3.000       Monthly       05/11/2063           6,600       (361     (320     0       (681
 

CMBX.NA.BBB-.9 Index

    3.000       Monthly       09/17/2058       6,700       (839     149       0       (690
MYC  

CMBX.NA.BBB-.10 Index

    3.000       Monthly       11/17/2059       700       (86     23       0       (63
 

CMBX.NA.BBB-.6 Index

    3.000       Monthly       05/11/2063       2,200       (117     (110     0       (227
 

CMBX.NA.BBB-.9 Index

    3.000       Monthly       09/17/2058       3,900       (482     80       0       (402
           

 

 

   

 

 

   

 

 

   

 

 

 
            $ (27,520   $ 16,513     $ 0     $ (11,007
           

 

 

   

 

 

   

 

 

   

 

 

 

Total Swap Agreements

    $     (31,678   $     20,585     $     636     $     (11,729
 

 

 

   

 

 

   

 

 

   

 

 

 

 

FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER SUMMARY

 

The following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral pledged/(received) as of June 30, 2018:

 

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

BOA

  $ 290     $ 0     $ 0     $ 290       $ (160   $ 0     $ 0     $ (160   $ 130     $ 0     $ 130  

BPS

    673       0       0       673         (511     0       (196     (707     (34     0       (34

BRC

    768       0       0       768         (3     0       (33     (36     732       (310     422  

CBK

    591       0       0       591         (10     0       0       (10     581           (1,710         (1,129

DUB

    49       0       0       49         (18     0       (639     (657     (608     546       (62

FBF

    0       0       0       0         0       0       (7,858     (7,858     (7,858     7,805       (53

GLM

    17       0       0       17         (23     0       0       (23     (6     0       (6

GST

    0       0       97       97         0       0       (2,008     (2,008         (1,911     1,769       (142

HUS

    136       0       0       136         (61     0       (303     (364     (228     265       37  

JPM

    34       0       539       573         (5     0       0       (5     568       (570     (2

MSB

    116       0       0       116         (11     0       0       (11     105       0       105  

MYC

    0       0       0       0         0       0       (692     (692     (692     669       (23

SCX

    264       0       0       264         (22     0       0       (22     242       (140     102  

SSB

    117       0       0       117         (893     0       0       (893     (776     (320     (1,096

UAG

    291       0       0       291         (283     0       0       (283     8       0       8  
 

 

 

   

 

 

   

 

 

   

 

 

     

 

 

   

 

 

   

 

 

   

 

 

       

Total Over the Counter

  $     3,346     $     0     $     636     $     3,982       $     (2,000   $     0     $     (11,729   $     (13,729      
 

 

 

   

 

 

   

 

 

   

 

 

     

 

 

   

 

 

   

 

 

   

 

 

       

 

(q)

Securities with an aggregate market value of $11,323 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of June 30, 2018.

 

(1)

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

(2)

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

 

See Accompanying Notes   ANNUAL REPORT   JUNE 30, 2018   101


Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.)

 

(3)

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

(4)

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

(5)

Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC derivatives can only be netted across transactions governed under the same master agreement with the same legal entity. The Fund and Subsidiary are recognized as two separate legal entities. As such, exposure cannot be netted. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information regarding master netting agreements.

 

FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS

 

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

 

Fair Values of Financial Derivative Instruments on the Consolidated Statements of Assets and Liabilities as of June 30, 2018:

 

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

Financial Derivative Instruments - Assets

 

Exchange-traded or centrally cleared

 

Swap Agreements

  $ 0     $ 0     $ 0     $ 0     $ 408     $ 408  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Over the counter

 

Forward Foreign Currency Contracts

  $ 0     $ 0     $ 0     $ 3,346     $ 0     $ 3,346  

Swap Agreements

    0       636       0       0       0       636  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 636     $ 0     $ 3,346     $ 0     $ 3,982  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 636     $ 0     $ 3,346     $ 408     $ 4,390  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Financial Derivative Instruments - Liabilities

 

Exchange-traded or centrally cleared

 

Swap Agreements

  $ 0     $ 55     $ 0     $ 0     $ 549     $ 604  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Over the counter

 

Forward Foreign Currency Contracts

  $ 0     $ 0     $ 0     $ 2,000     $ 0     $ 2,000  

Swap Agreements

    0       11,729       0       0       0       11,729  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 11,729     $ 0     $ 2,000     $ 0     $ 13,729  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $     0     $     11,784     $     0     $     2,000     $     549     $     14,333  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

The effect of Financial Derivative Instruments on the Consolidated Statements of Operations for the period ended June 30, 2018:

 

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

Net Realized Gain (Loss) on Financial Derivative Instruments

 

Exchange-traded or centrally cleared

 

Swap Agreements

  $ 0     $ 1,012     $ 0     $ 0     $ (2,013   $     (1,001
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Over the counter

 

Forward Foreign Currency Contracts

  $ 0     $ 0     $ 0     $ 42     $ 0     $ 42  

Swap Agreements

    0       1,492       0       0       0       1,492  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 1,492     $ 0     $ 42     $ 0     $ 1,534  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $     0     $     2,504     $     0     $     42     $     (2,013   $ 533  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

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

 

Exchange-traded or centrally cleared

 

Swap Agreements

  $ 0     $ (546   $ 0     $ 0     $ (5,643   $     (6,189
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Over the counter

 

Forward Foreign Currency Contracts

  $ 0     $ 0     $ 0     $ 4,056     $ 0     $ 4,056  

Swap Agreements

    0       2,337       0       0       0       2,337  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 2,337     $ 0     $ 4,056     $ 0     $ 6,393  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $     0     $     1,791     $     0     $     4,056     $     (5,643   $     204  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

102   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


 

June 30, 2018

 

 

FAIR VALUE MEASUREMENTS

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2018 in valuing the Fund’s assets and liabilities:

 

Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
06/30/2018
 

Investments in Securities, at Value

 

Loan Participations and Assignments

  $ 299     $ 73,705     $ 16,305     $ 90,309  

Corporate Bonds & Notes

 

Banking & Finance

    0       146,027       20,271       166,298  

Industrials

    0       242,628       764       243,392  

Utilities

    0       50,394       0       50,394  

Convertible Bonds & Notes

 

Industrials

    0       7,527       0       7,527  

Municipal Bonds & Notes

 

Illinois

    0       1,984       0       1,984  

West Virginia

    0       5,939       0       5,939  

U.S. Government Agencies

    0       75,798       0       75,798  

Non-Agency Mortgage-Backed Securities

    0           1,057,190           23,705           1,080,895  

Asset-Backed Securities

    0       634,684       40,927       675,611  

Sovereign Issues

    0       50,774       0       50,774  

Common Stocks

 

Consumer Discretionary

    13,760       0       0       13,760  

Energy

    6,999       0       4,077       11,076  

Financials

    0       0       1,049       1,049  

Utilities

    31       0       4,147       4,178  

Real Estate Investment Trusts

 

Real Estate

        12,272       0       0       12,272  

Short-Term Instruments

 

Repurchase Agreements

    0       97,512       0       97,512  
Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
06/30/2018
 

Short-Term Notes

  $ 0     $ 870     $ 0     $ 870  

Argentina Treasury Bills

    0       2,672       0       2,672  

U.S. Treasury Bills

    0       16,363       0       16,363  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

  $ 33,361     $ 2,464,067     $ 111,245     $ 2,608,673  
 

 

 

   

 

 

   

 

 

   

 

 

 

Financial Derivative Instruments - Assets

 

Exchange-traded or centrally cleared

    0       408       0       408  

Over the counter

    0       3,982       0       3,982  
 

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 4,390     $ 0     $ 4,390  
 

 

 

   

 

 

   

 

 

   

 

 

 

Financial Derivative Instruments - Liabilities

 

Exchange-traded or centrally cleared

    0       (604     0       (604

Over the counter

    0       (13,729     0       (13,729
 

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ (14,333   $ 0     $ (14,333
 

 

 

   

 

 

   

 

 

   

 

 

 

Total Financial Derivative Instruments

  $ 0     $ (9,943   $ 0     $ (9,943
 

 

 

   

 

 

   

 

 

   

 

 

 

Totals

  $     33,361     $     2,454,124     $     111,245     $     2,598,730  
 

 

 

   

 

 

   

 

 

   

 

 

 
 

 

There were no significant transfers among Levels 1 and 2 during the period ended June 30, 2018.

 

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended June 30, 2018:

 

Category and Subcategory   Beginning
Balance
at 06/30/2017
    Net
Purchases
    Net
Sales
    Accrued
Discounts/
(Premiums)
    Realized
Gain/(Loss)
    Net Change in
Unrealized
Appreciation/
(Depreciation)(1)
    Transfers into
Level 3
    Transfers out
of Level 3
    Ending
Balance at
06/30/2018
    Net Change in
Unrealized
Appreciation/
(Depreciation)
on Investments
Held at
06/30/2018(1)
 

Investments in Securities, at Value

 

Loan Participations and Assignments

  $ 5,076     $ 7,844     $ (5,600   $ 11     $     (1,237   $ 419     $ 9,792     $ 0     $ 16,305     $ 58  

Corporate Bonds & Notes

 

Banking & Finance

    20,494       0       0       43       0       (266     0       0       20,271       (266

Industrials

    23,271       1,453         (10,710     2       109       491       2       (13,854     764       (19

Non-Agency Mortgage-Backed Securities

    28,497       0       (5,048     13       1,883           (1,640     0       0       23,705       (75

Asset-Backed Securities

    52,450       9,766       0       960       0       (1,850     0           (20,399     40,927           (4,197

Common Stocks

 

Energy

    0       380       0       0       0       3,697       0       0       4,077       3,697  

Financials

    841       0       0       0       0       208       0       0       1,049       208  

Utilities

    0       4,147       0       0       0       0       0       0       4,147       0  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Totals

  $     130,629     $     23,590     $     (21,358   $     1,029     $   755     $ 1,059     $   9,794     $   (34,253   $     111,245     $ (594
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

See Accompanying Notes   ANNUAL REPORT   JUNE 30, 2018   103


Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.)

 

June 30, 2018

 

 

The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:

 

Category and Subcategory   Ending
Balance
at 06/30/2018
    Valuation
Technique
  Unobservable
Inputs
  Input Value(s)
(% Unless
Noted
Otherwise)
 

Investments in Securities, at Value

 

Loan Participations and Assignments

  $ 15,905     Third Party Vendor   Broker Quote     102.000-105.000  
    400     Proxy Pricing   Base Price     100.070  

Corporate Bonds & Notes

 

Banking & Finance

    10,589     Reference Instrument   OAS Spread     525.729 bps  
    9,682     Reference Instrument   Spread Movement     24.000 bps  

Industrials

    762     Reference Instrument   Yield     10.153  
    2     Proxy Pricing   Base Price     0.070  

Non-Agency Mortgage-Backed Securities

    14,477     Proxy Pricing   Base Price     4.700-102.500  
    9,228     Third Party Vendor   Broker Quote     88.470-91.250  

Asset-Backed Securities

    40,927     Proxy Pricing   Base Price     2.780-100,000.000  

Common Stocks

 

Energy

    4,077     Other Valuation Techniques(2)       —    

Financials

    1,049     Discounted Cash Flow   Discounted Rate     $      1.200  

Common Stocks

       

Utilities

    4,147     Indicative Market Quotation   Broker Quote     $    35.500  
 

 

 

       

Total

  $     111,245        
 

 

 

       

 

(1) 

Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at June 30, 2018 may be due to an investment no longer held or categorized as Level 3 at period end.

(2)

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

 

104   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


Notes to Financial Statements

 

June 30, 2018

 

1. ORGANIZATION

 

PCM Fund, Inc., PIMCO Global StocksPLUS® & Income Fund, PIMCO Income Opportunity Fund, PIMCO Strategic Income Fund, Inc., PIMCO Dynamic Credit and Mortgage Income Fund and PIMCO Dynamic Income Fund (each a “Fund” and collectively the “Funds”) are organized as closed-end management investment companies registered under the Investment Company Act of 1940, as amended, and the rules and regulations thereunder (the “Act”). PIMCO Global StocksPLUS® & Income Fund, PIMCO Income Opportunity Fund, PIMCO Dynamic Credit and Mortgage Income Fund and PIMCO Dynamic Income Fund were organized as Massachusetts business trusts on the dates shown in the table below. PCM Fund, Inc. and PIMCO Strategic Income Fund, Inc. were organized as Maryland corporations on the dates shown in the table below. Pacific Investment Management Company LLC (“PIMCO” or the “Manager”) serves as the Funds’ investment manager.

 

Fund Name         Formation Date  

PCM Fund, Inc.

      June  23,1993  

PIMCO Global StocksPLUS® & Income Fund

      February  16, 2005  

PIMCO Income Opportunity Fund

      September  12, 2007  

PIMCO Strategic Income Fund, Inc.

      December  9, 1993  

PIMCO Dynamic Credit and Mortgage Income Fund

      September  27, 2012  

PIMCO Dynamic Income Fund

      January  19, 2011  

 

PCM Fund, Inc. has the authority to issue 300 million shares of $0.001 par value common stock. PIMCO Strategic Income Fund, Inc. has the authority to issue 500 million shares of $0.00001 par value common stock. PIMCO Global StocksPLUS® & Income Fund, PIMCO Income Opportunity Fund, PIMCO Dynamic Credit and Mortgage Income Fund and PIMCO Dynamic Income Fund have authorized an unlimited number of Common Shares at a par value of $0.00001 per share.

 

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

 

2. SIGNIFICANT ACCOUNTING POLICIES

 

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

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

 

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

 

(b) Cash and Foreign Currency  The market values of foreign securities, currency holdings and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars based on the current exchange rates each business day. Purchases and sales of securities and income and expense items denominated in foreign currencies, if any, are translated into U.S. dollars at the exchange rate in effect on the transaction date. The Funds do not separately report the effects of changes in foreign exchange rates from changes in market prices on securities held. Such changes are included in net realized gain (loss) and net change in unrealized appreciation (depreciation) from investments on the Statements of Operations. The Funds may invest in foreign currency-denominated securities and may engage in foreign currency transactions either on a spot (cash) basis at

 

 

  ANNUAL REPORT   JUNE 30, 2018   105


Notes to Financial Statements (Cont.)

 

the rate prevailing in the currency exchange market at the time or through a forward foreign currency contract. Realized foreign exchange gains (losses) arising from sales of spot foreign currencies, currency gains (losses) realized between the trade and settlement dates on securities transactions and the difference between the recorded amounts of dividends, interest, and foreign withholding taxes and the U.S. dollar equivalent of the amounts actually received or paid are included in net realized gain (loss) on foreign currency transactions on the Statements of Operations. Net unrealized foreign exchange gains (losses) arising from changes in foreign exchange rates on foreign denominated assets and liabilities other than investments in securities held at the end of the reporting period are included in net change in unrealized appreciation (depreciation) on foreign currency assets and liabilities on the Statements of Operations.

 

(c) Distributions — Common Shares  The following table shows the anticipated frequency of distributions from net investment income and gains from the sale of portfolio securities and other sources to common shareholders.

 

          Distribution Frequency  
Fund Name         Declared     Distributed  

PCM Fund, Inc.

      Monthly       Monthly  

PIMCO Global StocksPLUS® & Income Fund

      Monthly       Monthly  

PIMCO Income Opportunity Fund

      Monthly       Monthly  

PIMCO Strategic Income Fund, Inc.

      Monthly       Monthly  

PIMCO Dynamic Credit and Mortgage Income Fund

      Monthly       Monthly  

PIMCO Dynamic Income Fund

      Monthly       Monthly  

 

Net realized capital gains earned by each Fund, if any, will be distributed no less frequently than once each year.

 

A Fund may engage in investment strategies, including the use of derivatives, to, among other things, seek to generate current, distributable income without regard to possible declines in the Fund’s net asset value (“NAV”). A Fund’s income and gain generating strategies, including certain derivatives strategies, may generate current, distributable income, even if such strategies could potentially result in declines in the Fund’s NAV. A Fund’s income and gain-generating strategies, including certain derivatives strategies, may generate current income and gains taxable as ordinary income sufficient to support monthly distributions even in situations when the Fund has experienced a decline in net assets due to, for example, adverse changes in the broad U.S. or non-U.S. equity markets or the Fund’s debt investments, or arising from its use of derivatives. A Fund may enter into opposite sides of interest rate swap and other derivatives for the principal purpose of generating distributable gains on the one side (characterized as ordinary income for tax purposes) that are not part of the Fund’s duration or yield curve management strategies (“paired swap transactions”), and with a substantial possibility that the Fund will experience a corresponding

capital loss and decline in NAV with respect to the opposite side transaction (to the extent it does not have corresponding offsetting capital gains). Consequently, common shareholders may receive distributions and owe tax on amounts that are effectively a taxable return of the shareholder’s investment in the Fund at a time when their investment in a Fund has declined in value, which tax may be at ordinary income rates. The tax treatment of certain derivatives in which a Fund invests may be unclear and thus subject to recharacterization. Any recharacterization of payments made or received by a Fund pursuant to derivatives potentially could affect the amount, timing or character of Fund distributions. In addition, the tax treatment of such investment strategies may be changed by regulation or otherwise.

 

For tax years ending before July 1, 2018, PIMCO Strategic Income Fund, Inc. (“RCS”) accounted for mortgage dollar rolls as financing transactions. Subject to IRS approval, for tax years ending after June 30, 2018, RCS intends to account for mortgage dollar rolls in each case as a sale or exchange. Please see “Federal Income Tax Matters” in the Notes to Financial Statements for information regarding RCS’ treatment of mortgage dollar rolls and its impact on the Fund’s distributions and related tax consequences.

 

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

 

If a Fund estimates that a portion of its distribution may be comprised of amounts from sources other than net investment income in accordance with its policies and good accounting practices, the Fund will notify shareholders of the estimated composition of such distribution through a Section  19 Notice. For these purposes, a Fund estimates the source or sources from which a distribution is paid, to the close of the period as of which it is paid, in reference to its internal accounting records and related accounting practices. If, based on such accounting records and practices, it is estimated that a particular distribution does not include capital gains or paid-in surplus or other capital sources, a Section  19 Notice generally would not be issued. It is important to note that differences exist between a Fund’s daily internal accounting records and practices, a Fund’s financial statements presented in accordance with U.S. GAAP, and recordkeeping practices under income tax regulations. For instance, a Fund’s internal accounting records and practices may take into account, among other

 

 

106   PIMCO CLOSED-END FUNDS     


 

June 30, 2018

 

factors, tax-related characteristics of certain sources of distributions that differ from treatment under U.S. GAAP. Examples of such differences may include, among others, the treatment of paydowns on mortgage-backed securities purchased at a discount and periodic payments under interest rate swap contracts. Accordingly, among other consequences, it is possible that a Fund may not issue a Section  19 Notice in situations where the Fund’s financial statements prepared later and in accordance with U.S. GAAP and/or the final tax character of those distributions might later report that the sources of those distributions included capital gains and/or a return of capital. Please visit www.pimco.com for the most recent Section  19 Notice, if applicable, for additional information regarding the estimated composition of distributions. Final determination of a distribution’s tax character will be reported on Form 1099 DIV sent to shareholders for the calendar year.

 

Distributions classified as a tax basis return of capital, if any, are reflected on the Statements of Changes in Net Assets and have been recorded to paid in capital. In addition, other amounts have been reclassified between undistributed (overdistributed) net investment income (loss), accumulated undistributed (overdistributed) net realized gain (loss) and/or paid in capital to more appropriately conform U.S. GAAP to tax characterizations of distributions.

 

(d) New Accounting Pronouncements  In March 2016, the Financial Accounting Standards Board (“FASB”) issued an Accounting Standards Update (“ASU”), ASU 2016-05, which provides guidance related to the impact of derivative contract novations on certain relationships under Accounting Standards Codification (“ASC”) 815. The ASU is effective for annual periods beginning after December  15, 2016, and interim periods within those annual periods. The Funds have adopted the ASU. The implementation of the ASU did not have an impact on the Funds’ financial statements.

 

In August 2016, the FASB issued ASU 2016-15 which amends ASC 230 to clarify guidance on the classification of certain cash receipts and cash payments in the Statement of Cash Flows. The ASU is effective for annual periods beginning after December  15, 2017, and interim periods within those annual periods. The Funds have adopted the ASU. The implementation of the ASU did not have an impact on the Funds’ financial statements.

 

In October 2016, the U.S. Securities and Exchange Commission (“SEC”) adopted new rules and forms, and amendments to certain current rules and forms, to modernize reporting and disclosure of information by registered investment companies. The amendments to Regulation S-X require standardized, enhanced disclosure about derivatives in investment company financial statements, and also change the rules governing the form and content of such financial

statements. The compliance date for these amendments was August  1, 2017. Compliance is based on reporting period-end date. Management has adopted these amendments and the changes are incorporated in the financial statements.

 

In November 2016, the FASB issued ASU 2016-18 which amends ASC 230 to provide guidance on the classification and presentation of changes in restricted cash and restricted cash equivalents on the Statement of Cash Flows. The ASU is effective for annual periods beginning after December 15, 2017, and interim periods within those annual periods. The Funds have adopted the ASU. The implementation of the ASU did not have an impact on the Funds’ financial statements.

 

In March 2017, the FASB issued ASU 2017-08 which provides guidance related to the amortization period for certain purchased callable debt securities held at a premium. The ASU is effective for annual periods beginning after December 15, 2018, and interim periods within those annual periods. The Funds have adopted the ASU. The implementation of the ASU did not have an impact on the Funds’ financial statements.

 

3. INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS

 

(a) Investment Valuation Policies  The NAV of a Fund’s shares is determined by dividing the total value of portfolio investments and other assets attributable to that Fund less any liabilities by the total number of shares outstanding of that Fund.

 

On each day that the New York Stock Exchange (“NYSE”) is open, Fund shares are ordinarily valued as of the close of regular trading (“NYSE Close”). Information that becomes known to the Funds or their agents after the time as of which NAV has been calculated on a particular day will not generally be used to retroactively adjust the price of a security or the NAV determined earlier that day. Each Fund reserves the right to change the time as of which its respective NAV is calculated if the Fund closes earlier, or as permitted by the SEC.

 

For purposes of calculating a NAV, portfolio securities and other assets for which market quotes are readily available are valued at market value. Market value is generally determined on the basis of official closing prices or the last reported sales prices, or if no sales are reported, based on quotes obtained from established market makers or prices (including evaluated prices) supplied by the Funds’ approved pricing services, quotation reporting systems and other third-party sources (together, “Pricing Services”). The Funds will normally use pricing data for domestic equity securities received shortly after the NYSE Close and do not normally take into account trading, clearances or settlements that take place after the NYSE Close. If market value pricing is used, a foreign (non-U.S.) equity security traded on a foreign exchange or on more than one exchange is typically valued using

 

 

  ANNUAL REPORT   JUNE 30, 2018   107


Notes to Financial Statements (Cont.)

 

pricing information from the exchange considered by PIMCO to be the primary exchange. A foreign (non-U.S.) equity security will be valued as of the close of trading on the foreign exchange, or the NYSE Close, if the NYSE Close occurs before the end of trading on the foreign exchange. Domestic and foreign (non-U.S.) fixed income securities, non-exchange traded derivatives, and equity options are normally valued on the basis of quotes obtained from brokers and dealers or Pricing Services using data reflecting the earlier closing of the principal markets for those securities. Prices obtained from Pricing Services may be based on, among other things, information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. Certain fixed income securities purchased on a delayed-delivery basis are marked to market daily until settlement at the forward settlement date. Exchange-traded options, except equity options, futures and options on futures are valued at the settlement price determined by the relevant exchange. Swap agreements are valued on the basis of bid quotes obtained from brokers and dealers or market-based prices supplied by Pricing Services. A Fund’s investments in open-end management investment companies, other than exchange-traded funds (“ETFs”), are valued at the NAVs of such investments.

 

If a foreign (non-U.S.) equity security’s value has materially changed after the close of the security’s primary exchange or principal market but before the NYSE Close, the security may be valued at fair value based on procedures established and approved by the Board of Trustees (the “Board”). Foreign (non-U.S.) equity securities that do not trade when the NYSE is open are also valued at fair value. With respect to foreign (non-U.S.) equity securities, a Fund may determine the fair value of investments based on information provided by Pricing Services and other third-party vendors, which may recommend fair value or adjustments with reference to other securities, indices or assets. In considering whether fair valuation is required and in determining fair values, a Fund may, among other things, consider significant events (which may be considered to include changes in the value of U.S. securities or securities indices) that occur after the close of the relevant market and before the NYSE Close. A Fund may utilize modeling tools provided by third-party vendors to determine fair values of non-U.S. securities. For these purposes, any movement in the applicable reference index or instrument (“zero trigger”) relating to the non-U.S security being fair valued between the earlier close of the applicable foreign market and the NYSE Close may be deemed to be a significant event, prompting the application of the pricing model (effectively resulting in daily fair valuations). Foreign exchanges may permit trading in foreign (non-U.S.) equity securities on days when a Fund is not open for business, which may result in a Fund’s portfolio investments being affected when shareholders are unable to buy or sell shares.

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

 

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

 

Investments for which market quotes or market based valuations are not readily available are valued at fair value as determined in good faith by the Board or persons acting at their direction. The Board has adopted methods for valuing securities and other assets in circumstances where market quotes are not readily available, and has delegated to PIMCO the responsibility for applying the fair valuation methods. In the event that market quotes or market based valuations are not readily available, and the security or asset cannot be valued pursuant to a Board approved valuation method, the value of the security or asset will be determined in good faith by the Valuation Oversight Committee of the Board (“Valuation Oversight Committee”), generally based on recommendations provided by the Manager. Market quotes are considered not readily available in circumstances where there is an absence of current or reliable market-based data (e.g., trade information, bid/ask information, indicative market quotations (“Broker Quotes”), Pricing Services’ prices), including where events occur after the close of the relevant market, but prior to the NYSE Close, that materially affect the values of a Fund’s securities or assets. In addition, market quotes are considered not readily available when, due to extraordinary circumstances, the exchanges or markets on which the securities trade do not open for trading for the entire day and no other market prices are available. The Board has delegated to the Manager

 

 

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the responsibility for monitoring significant events that may materially affect the values of a Fund’s securities or assets and for determining whether the value of the applicable securities or assets should be reevaluated in light of such significant events.

 

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

 

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

 

   

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

 

   

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

 

   

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

 

Any assets or liabilities categorized as Level 1 or 2 as of period end that have been transferred between Levels 1 and 2 since the prior period

are due to changes in the method utilized in valuing the investments. Transfers from Level 2 to Level 1 are a result of exchange traded products for which quoted prices from an active market were not available (Level 2) and have become available (Level 1). Assets or liabilities categorized as Level 2 or 3 as of period end have been transferred between Levels 2 and 3 since the prior period due to changes in the method utilized in valuing the investments. Transfers from Level 2 to Level 3 are a result of a change, in the normal course of business, from the use of methods used by Pricing Services (Level 2) to the use of a Broker Quote or valuation technique which utilizes significant unobservable inputs due to an absence of current or reliable market-based data (Level 3). Transfers from Level 3 to Level 2 are a result of the availability of current and reliable market-based data provided by Pricing Services or other valuation techniques which utilize significant observable inputs. In accordance with the requirements of U.S. GAAP, the amounts of transfers between Levels 1 and 2 and transfers into and out of Level 3, if material, are disclosed in the Notes to Schedule of Investments for each respective Fund.

 

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

 

(c) Valuation Techniques and the Fair Value Hierarchy  

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

 

Fixed income securities including corporate, convertible and municipal bonds and notes, U.S. government agencies, U.S. treasury obligations, sovereign issues, bank loans, convertible preferred securities and non-U.S. bonds are normally valued on the basis of quotes obtained from brokers and dealers or Pricing Services that use broker-dealer quotations, reported trades or valuation estimates from their internal pricing models. The Pricing Services’ internal models use inputs that are observable such as issuer details, interest rates, yield curves,

 

 

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Notes to Financial Statements (Cont.)

 

prepayment speeds, credit risks/spreads, default rates and quoted prices for similar assets. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.

 

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

 

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

 

Common stocks, ETFs, exchange-traded notes and financial derivative instruments, such as futures contracts, rights and warrants, or options on futures that are traded on a national securities exchange, are stated at the last reported sale or settlement price on the day of valuation. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy.

 

Valuation adjustments may be applied to certain securities that are solely traded on a foreign exchange to account for the market movement between the close of the foreign market and the NYSE Close. These securities are valued using Pricing Services that consider the correlation of the trading patterns of the foreign security to the intraday trading in the U.S. markets for investments. Securities using these valuation adjustments are categorized as Level 2 of the fair value hierarchy. Preferred securities and other equities traded on inactive markets or valued by reference to similar instruments are also categorized as Level 2 of the fair value hierarchy.

 

Equity exchange-traded options and over the counter financial derivative instruments, such as forward foreign currency contracts and options contracts derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These contracts are normally valued on the basis of quotes obtained from a quotation reporting system, established market makers or Pricing Services (normally determined as of the NYSE Close). Depending on the product and the terms of the transaction, financial derivative instruments can be valued by Pricing Services using a series of techniques, including simulation pricing models. The pricing models

use inputs that are observed from actively quoted markets such as quoted prices, issuer details, indices, bid/ask spreads, interest rates, implied volatilities, yield curves, dividends and exchange rates. Financial derivative instruments that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.

 

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

 

Level 3 trading assets and trading liabilities, at fair value  When a fair valuation method is applied by PIMCO that uses significant unobservable inputs, investments will be priced by a method that the Board or persons acting at their direction believe reflects fair value and are categorized as Level 3 of the fair value hierarchy. The valuation techniques and significant inputs used in determining the fair values of portfolio assets and liabilities categorized as Level 3 of the fair value hierarchy are as follows:

 

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

 

If third-party evaluated vendor pricing is not available or not deemed to be indicative of fair value, the Manager may elect to obtain Broker Quotes directly from the broker-dealer or passed through from a third-party vendor. In the event that fair value is based upon a single sourced Broker Quote, these securities are categorized as Level 3 of the fair value hierarchy. Broker Quotes are typically received from established market participants. Although independently received, the Manager does not

 

 

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have the transparency to view the underlying inputs which support the market quotation. Significant changes in the Broker Quote would have direct and proportional changes in the fair value of the security.

 

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

 

Discounted cash flow valuation uses an internal analysis based on the Adviser’s expectation of future income and expenses, capital structure,

exit multiples of a security, and other unobservable inputs which may include contractual and factual loan factors, estimated future payments and credit rating. Significant changes in the unobservable inputs of the models would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.

 

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

 

 

4. SECURITIES AND OTHER INVESTMENTS

 

(a) Investments in Affiliates

An affiliate includes any company in which a Fund owns 5% or more of the company’s outstanding voting shares. The table below represents transactions in and earnings from these affiliated issuers at June 30, 2018 (amounts in thousands, except number of shares).

 

PIMCO Dynamic Credit and Mortgage Income Fund

 

Security Name         Shares Held
at 06/30/2017
    Shares
Purchased
    Shares
Sold
    Shares Held
at 06/30/2018
    Net
Realized
Gain/(Loss)
    Change in
Unrealized
Appreciation
(Depreciation)
    Market Value
06/30/2018
    Dividend
Income
 

Sierra Hamilton Holder LLC

      0       30,136,800       0       30,136,800     $   0     $   3,216     $   10,856     $   0  

 

  

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

 

(b) Investments in Securities

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

 

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

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

 

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

 

 

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Notes to Financial Statements (Cont.)

 

associated with debt servicing and taking foreclosure actions associated with the loans.

 

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

 

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

 

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

a Fund may receive a penalty fee upon the prepayment of a loan by a borrower. Fees earned or paid are recorded as a component of interest income or interest expense, respectively, on the Statements of Operations. Unfunded loan commitments are reflected as a liability on the Statements of Assets and Liabilities.

 

Mortgage-Related and Other Asset-Backed Securities  directly or indirectly represent a participation in, or are secured by and payable from, loans on real property. Mortgage-related securities are created from pools of residential or commercial mortgage loans, including mortgage loans made by savings and loan institutions, mortgage bankers, commercial banks and others. These securities typically provide a monthly payment which consists of both principal and interest. Interest may be determined by fixed or adjustable rates. In times of declining interest rates, there is a greater likelihood that a Fund’s higher yielding securities will be pre-paid with the Fund being unable to reinvest the proceeds in an investment with as great a yield. The rate of prepayments on underlying mortgages will affect the price and volatility of a mortgage-related security, and may have the effect of shortening or extending the effective duration of the security relative to what was anticipated at the time of purchase. Interest-only and principal-only securities are especially sensitive to interest rate changes, which can affect not only their prices but can also change the income flows and repayment assumptions about those investments. The timely payment of principal and interest of certain mortgage-related securities is guaranteed with the full faith and credit of the U.S. Government. Pools created and guaranteed by non-governmental issuers, including government-sponsored corporations, may be supported by various forms of insurance or guarantees, but there can be no assurance that private insurers or guarantors can meet their obligations under the insurance policies or guarantee arrangements. Many of the risks of investing in mortgage-related securities secured by commercial mortgage loans (“CMBS”) reflect the effects of local and other economic conditions on real estate markets, the ability of tenants to make lease payments, and the ability of a property to attract and retain tenants. These securities may be less liquid and may exhibit greater price volatility than other types of mortgage-related or other asset-backed securities. Other asset-backed securities are created from many types of assets, including without limitation, auto loans, credit card receivables, home equity loans, and student loans. The Funds may invest in any level of the capital structure of an issuer of mortgage-backed or asset-backed securities, including the equity or “first loss” tranche.

 

Collateralized Debt Obligations  (“CDOs”) include Collateralized Bond Obligations (“CBOs”), Collateralized Loan Obligations (“CLOs”) and other similarly structured securities. CBOs and CLOs are types of asset-backed securities. A CBO is a trust which is typically backed by a

 

 

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

 

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

 

As CMOs have evolved, some classes of CMO bonds have become more common. For example, a Fund may invest in parallel-pay and planned amortization class (“PAC”) CMOs and multi-class pass-through certificates. Parallel-pay CMOs and multi-class pass-through certificates are structured to provide payments of principal on each payment date to more than one class. These simultaneous payments are taken into account in calculating the stated maturity date or final distribution date of each class, which, as with other CMO and multi-class pass-through structures, must be retired by its stated maturity date or final distribution date but may be retired earlier. PACs generally require payments of a specified amount of principal on each payment

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

 

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

 

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

 

Stripped Mortgage-Backed Securities  (“SMBS”) are derivative multi-class mortgage securities. SMBS are usually structured with two classes that receive different proportions of the interest and principal distributions on a pool of mortgage assets. An SMBS will have one class that will receive all of the interest (the interest-only or “IO” class), while the other class will receive the entire principal (the principal-only or “PO” class). IOs and POs can be extremely volatile in response to changes in interest rates. As interest rates rise and fall, the value of IOs tends to move in the same direction as interest rates. POs perform best when prepayments on the underlying mortgages rise since this

 

 

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Notes to Financial Statements (Cont.)

 

increases the rate at which the principal is returned and the yield to maturity on the PO. When payments on mortgages underlying a PO are slower than anticipated, the life of the PO is lengthened and the yield to maturity is reduced. The yield to maturity on an IO class is extremely sensitive to the rate of principal payments (including prepayments) on the related underlying mortgage assets, and a rapid rate of principal payments may have a material adverse effect on a Fund’s yield to maturity from these securities. If the underlying mortgage assets experience greater than anticipated prepayments of principal, the Funds may fail to recoup some or all of its initial investment in these securities even if the security is in one of the highest rating categories.

 

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

 

Restricted Investments  are subject to legal or contractual restrictions on resale and may generally be sold privately, but may be required to be registered or exempted from such registration before being sold to the public. Private placement securities are generally considered to be restricted except for those securities traded between qualified institutional investors under the provisions of Rule 144A of the Securities Act of 1933. Disposal of restricted investments may involve time-consuming negotiations and expenses, and prompt sale at an acceptable price may be difficult to achieve. Restricted investments held by the Funds at June 30, 2018 are disclosed in the Notes to Schedules of Investments.

 

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

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

 

Roll-timing strategies can be used where a Fund seeks to extend the expiration or maturity of a position, such as a TBA security on an underlying asset, by closing out the position before expiration and opening a new position with respect to substantially the same underlying asset with a later expiration date. TBA securities purchased or sold are reflected on the Statements of Assets and Liabilities as an asset or liability, respectively. Recently finalized FINRA rules include mandatory margin requirements for the TBA market that require the Funds to post collateral in connection with their TBA transactions. There is no similar requirement applicable to the Funds’ TBA counterparties. The required collateralization of TBA trades could increase the cost of TBA transactions to the Funds and impose added operational complexity.

 

Warrants  are securities that are usually issued together with a debt security or preferred security and that give the holder the right to buy a proportionate amount of common stock at a specified price. Warrants are freely transferable and are often traded on major exchanges. Warrants normally have a life that is measured in years and entitle the holder to buy common stock of a company at a price that is usually higher than the market price at the time the warrant is issued. Warrants may entail greater risks than certain other types of investments. Generally, warrants do not carry the right to receive dividends or exercise voting rights with respect to the underlying securities, and they do not represent any rights in the assets of the issuer. In addition, their value does not necessarily change with the value of the underlying securities, and they cease to have value if they are not exercised on or before their expiration date. If the market price of the underlying stock does not exceed the exercise price during the

 

 

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life of the warrant, the warrant will expire worthless. Warrants may increase the potential profit or loss to be realized from the investment as compared with investing the same amount in the underlying securities. Similarly, the percentage increase or decrease in the value of an equity security warrant may be greater than the percentage increase or decrease in the value of the underlying common stock. Warrants may relate to the purchase of equity or debt securities. Debt obligations with warrants attached to purchase equity securities have many characteristics of convertible securities and their prices may, to some degree, reflect the performance of the underlying stock. Debt obligations also may be issued with warrants attached to purchase additional debt securities at the same coupon rate. A decline in interest rates would permit a Fund to sell such warrants at a profit. If interest rates rise, these warrants would generally expire with no value.

 

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

 

5. BORROWINGS AND OTHER FINANCING TRANSACTIONS

 

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

 

The following disclosures contain information on a Fund’s ability to lend or borrow cash or securities to the extent permitted under the Act, which may be viewed as borrowing or financing transactions by a Fund. The location of these instruments in each Fund’s financial statements is described below. For a detailed description of credit and counterparty risks that can be associated with borrowings and other financing transactions; please see Note 7, Principal Risks.

 

(a) Repurchase Agreements  Under the terms of a typical repurchase agreement, a Fund purchases an underlying debt obligation (collateral) subject to an obligation of the seller to repurchase, and a Fund to resell, the obligation at an agreed-upon price and time. In an open maturity repurchase agreement, there is no pre-determined repurchase date and the agreement can be terminated by the Fund or counterparty at any time. The underlying securities for all repurchase agreements are held by a Fund’s custodian or designated subcustodians under tri-party repurchase agreements and in certain instances will remain in custody with the counterparty. The market value of the collateral must be equal

to or exceed the total amount of the repurchase obligations, including interest. Repurchase agreements, if any, including accrued interest, are included on the Statements of Assets and Liabilities. Interest earned is recorded as a component of interest income on the Statements of Operations. In periods of increased demand for collateral, a Fund may pay a fee for the receipt of collateral, which may result in interest expense to the Fund.

 

(b) Reverse Repurchase Agreements  In a reverse repurchase agreement, a Fund delivers a security in exchange for cash to a financial institution, the counterparty, with a simultaneous agreement to repurchase the same or substantially the same security at an agreed upon price and date. In an open maturity reverse repurchase agreement, there is no pre-determined repurchase date and the agreement can be terminated by the Fund or counterparty at any time. A Fund is entitled to receive principal and interest payments, if any, made on the security delivered to the counterparty during the term of the agreement. Cash received in exchange for securities delivered plus accrued interest payments to be made by a Fund to counterparties are reflected as a liability on the Statements of Assets and Liabilities. Interest payments made by a Fund to counterparties are recorded as a component of interest expense on the Statements of Operations. In periods of increased demand for the security, a Fund may receive a fee for use of the security by the counterparty, which may result in interest income to the Fund. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, a Fund’s use of the proceeds of the agreement may be restricted pending a determination by the other party, or its trustee or receiver, whether to enforce a Fund’s obligation to repurchase the securities. Reverse repurchase agreements involve leverage risk and also the risk that the market value of the securities to be repurchased may decline below the repurchase price; please see Note 7, Principal Risks.

 

(c) Sale-Buybacks  A sale-buyback financing transaction consists of a sale of a security by a Fund to a financial institution, the counterparty, with a simultaneous agreement to repurchase the same or substantially the same security at an agreed-upon price and date. A Fund is not entitled to receive principal and interest payments, if any, made on the security sold to the counterparty during the term of the agreement. The agreed-upon proceeds for securities to be repurchased by a Fund are reflected as a liability on the Statements of Assets and Liabilities. A Fund will recognize net income represented by the price differential between the price received for the transferred security and the agreed-upon repurchase price. This is commonly referred to as the ‘price drop’. A price drop consists of (i) the foregone interest and inflationary income adjustments, if any, a Fund would have otherwise received had the security not been sold and (ii) the negotiated financing terms between a Fund and counterparty. Foregone interest and inflationary

 

 

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Notes to Financial Statements (Cont.)

 

income adjustments, if any, are recorded as components of interest income on the Statements of Operations. Interest payments based upon negotiated financing terms made by a Fund to counterparties are recorded as a component of interest expense on the Statements of Operations. In periods of increased demand for the security, a Fund may receive a fee for use of the security by the counterparty, which may result in interest income to the Fund. Sale-buybacks involve leverage risk and also the risk that the market value of the securities to be repurchased may decline below the repurchase price; please see Note 7, Principal Risks.

 

(d) Short Sales  Short sales are transactions in which a Fund sells a security that it may not own. A Fund may make short sales of securities to (i) offset potential declines in long positions in similar securities, (ii) to increase the flexibility of the Fund, (iii) for investment return, (iv) as part of a risk arbitrage strategy, and (v) as part of its overall portfolio management strategies involving the use of derivative instruments. When a Fund engages in a short sale, it may borrow the security sold short and deliver it to the counterparty. A Fund will ordinarily have to pay a fee or premium to borrow a security and be obligated to repay the lender of the security any dividend or interest that accrues on the security during the period of the loan. Securities sold in short sale transactions and the dividend or interest payable on such securities, if any, are reflected as payable for short sales on the Statements of Assets and Liabilities. Short sales expose a Fund to the risk that it will be required to cover its short position at a time when the security or other asset has appreciated in value, thus resulting in losses to a Fund. A short sale is “against the box” if a Fund holds in its portfolio or has the right to acquire the security sold short, or securities identical to the security sold short, at no additional cost. A Fund will be subject to additional risks to the extent that it engages in short sales that are not “against the box.” A Fund’s loss on a short sale could theoretically be unlimited in cases where a Fund is unable, for whatever reason, to close out its short position.

 

(e) Mortgage Dollar Rolls  Mortgage dollar rolls involve a Fund selling securities for delivery in the current month and simultaneously contracting to repurchase substantially similar (same type, same or similar interest rate and maturity) securities on a specified future date. The difference between the selling price and future purchase price is an adjustment to interest income on the Statements of Operations. During the roll period, a Fund forgoes principal and interest paid on the securities. A Fund’s dollar roll transactions are intended to enhance the Fund’s yield by earning a spread between the yield on the underlying mortgage securities and short-term interest rates. Dollar rolls involve leverage risk and also the risk that the market value of the securities to be repurchased may decline below the repurchase price, please see Note 7, Principal Risks. For tax years ending before July 1, 2018, RCS

accounted for mortgage dollar rolls as financing transactions. Subject to IRS approval, for tax years ending after June 30, 2018, RCS intends to account for mortgage dollar rolls in each case as a sale or exchange. Please see “Federal Income Tax Matters” in the Notes to Financial Statements for information regarding RCS’ treatment of mortgage dollar rolls and its impact on the Fund’s distributions and related tax consequences.

 

6. FINANCIAL DERIVATIVE INSTRUMENTS

 

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

 

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

 

PIMCO Global StocksPLUS® & Income Fund is subject to regulation as a commodity pool under the Commodity Exchange Act pursuant to recent rule changes by the Commodity Futures Trading Commission (the “CFTC”). The Manager has registered with the CFTC as a Commodity Pool Operator and a Commodity Trading Adviser with respect to the Fund, and is a member of the National Futures Association. As a result, additional CFTC-mandated disclosure, reporting and recordkeeping obligations apply to PIMCO Global StocksPLUS® & Income Fund. Compliance with the CFTC’s regulatory requirements could increase PIMCO Global StocksPLUS® & Income Fund’s expenses, adversely affecting its total return.

 

(a) Forward Foreign Currency Contracts  may be engaged, in connection with settling planned purchases or sales of securities, to hedge the currency exposure associated with some or all of a Fund’s securities or as part of an investment strategy. A forward foreign currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. The market value of a forward foreign currency contract fluctuates with changes in foreign currency exchange rates. Forward foreign currency contracts are marked to market daily, and the change in value is recorded by a Fund

 

 

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as an unrealized gain (loss). Realized gains (losses) are equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed and are recorded upon delivery or receipt of the currency. The contractual obligations of a buyer or seller of a forward foreign currency contract may generally be satisfied by taking or making physical delivery of the underlying currency, establishing an opposite position in the contract and recognizing the profit or loss on both positions simultaneously on the delivery date or, in some instances, paying a cash settlement before the designated date of delivery. These contracts may involve market risk in excess of the unrealized gain (loss) reflected on the Statements of Assets and Liabilities. Although forwards may be intended to minimize the risk of loss due to a decline in the value of the hedged currencies, at the same time, they tend to limit any potential gain which might result should the value of such currencies increase. In addition, a Fund could be exposed to risk if the counterparties are unable to meet the terms of the contracts or if the value of the currency changes unfavorably to the U.S. dollar. To mitigate such risk, cash or securities may be exchanged as collateral pursuant to the terms of the underlying contracts.

 

(b) Futures Contracts  are agreements to buy or sell a security or other asset for a set price on a future date. A Fund may use futures contracts to manage its exposure to the securities markets or to movements in interest rates and currency values or for other investment purposes. Generally, a futures contract provides for the future sale by one party and purchase by another party of a specified quantity of the security or other financial instrument at a specified price and time. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in market value of the securities held by a Fund and the prices of futures contracts and the possibility of an illiquid market. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, a Fund is required to deposit with its futures broker an amount of cash, U.S. Government and Agency Obligations, or select sovereign debt, in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and based on changes in the price of the contracts, a Fund pays or receives cash or other eligible assets equal to the daily change in the value of the contract (“variation margin”). Gains (losses) are recognized but not considered realized until the contracts expire or close. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin included within exchange traded or centrally cleared financial derivative instruments on the Statements of Assets and Liabilities.

 

(c) Options Contracts  An option on an instrument (or an index) is a contract that gives the holder of the option, in return for a premium, the right to buy from (in the case of a call) or sell to (in the case of a put) the writer of the option the instrument underlying the option (or

the cash value of the index) at a specified exercise price at any time during the term of the option. Writing put options tends to increase a Fund’s exposure to the underlying instrument. Writing call options tends to decrease a Fund’s exposure to the underlying instrument. When a Fund writes a call or put, an amount equal to the premium received is recorded and subsequently marked to market to reflect the current value of the option written. These amounts are included on the Statements of Assets and Liabilities. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against amounts paid on the underlying futures, swap, security or currency transaction to determine the realized gain (loss). Certain options may be written with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms. A Fund as a writer of an option has no control over whether the underlying instrument may be sold (“call”) or purchased (“put”) and as a result bears the market risk of an unfavorable change in the price of the instrument underlying the written option. There is the risk a Fund may not be able to enter into a closing transaction because of an illiquid market.

 

Purchasing call options tends to increase a Fund’s exposure to the underlying instrument. Purchasing put options tends to decrease a Fund’s exposure to the underlying instrument. A Fund pays a premium which is included as an asset on the Statements of Assets and Liabilities and subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options which expire are treated as realized losses. Certain options may be purchased with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms. The risk associated with purchasing put and call options is limited to the premium paid. Premiums paid for purchasing options which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain (loss) when the underlying transaction is executed.

 

Interest Rate Swaptions  may be written or purchased to enter into a pre-defined swap agreement or to shorten, extend, cancel or otherwise modify an existing swap agreement, by some specified date in the future. The writer of the swaption becomes the counterparty to the swap if the buyer exercises. The interest rate swaption agreement will specify whether the buyer of the swaption will be a fixed-rate receiver or a fixed-rate payer upon exercise.

 

Options on Exchange-Traded Futures Contracts  (“Futures Option”) may be written or purchased to hedge an existing position or future investment, for speculative purposes or to manage exposure to market movements. A Futures Option is an option contract in which the underlying instrument is a single futures contract.

 

 

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Notes to Financial Statements (Cont.)

 

 

Options on Indices  (“Index Option”) use a specified index as the underlying instrument for the option contract. The exercise for an Index Option will not include physical delivery of the underlying index but will result in a cash transfer of the amount of the difference between the settlement price of the underlying index and the strike price.

 

Options on Securities  may be written or purchased to enhance returns or to hedge an existing position or future investment. An option on a security uses a specified security as the underlying instrument for the option contract.

 

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

 

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

For purposes of a Fund’s investment policy adopted pursuant to Rule 35d-1 under the 1940 Act (if any), the Fund will count derivative instruments at market value. For purposes of applying a Fund’s other investment policies and restrictions, swap agreements, like other derivative instruments, may be valued by a Fund at market value, notional value or full exposure value or any combination of the foregoing (e.g., notional value for purposes of calculating the numerator and market value for purposes of calculating the denominator for compliance with a particular policy or restriction). See Note 6 — Asset Segregation below. In the case of a credit default swap, in applying certain of a Fund’s investment policies and restrictions, the Funds will value the credit default swap at its notional value or its full exposure value (i.e., the sum of the notional amount for the contract plus the market value), but may value the credit default swap at market value for purposes of applying certain of a Fund’s other investment policies and restrictions. For example, a Fund may value credit default swaps at full exposure value for purposes of a Fund’s credit quality guidelines (if any) because such value in general better reflects a Fund’s actual economic exposure during the term of the credit default swap agreement. As a result, a Fund may, at times, have notional exposure to an asset class (before netting) that is greater or lesser than the stated limit or restriction noted in a Fund’s prospectus. In this context, both the notional amount and the market value may be positive or negative depending on whether a Fund is selling or buying protection through the credit default swap. The manner in which certain securities or other instruments are valued by a Fund for purposes of applying investment policies and restrictions may differ from the manner in which those investments are valued by other types of investors.

 

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

 

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

 

To the extent a Fund has a policy to limit the net amount owed to or to be received from a single counterparty under existing swap agreements, such limitation only applies to counterparties to OTC swaps and does not

 

 

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apply to centrally cleared swaps where the counterparty is a central counterparty or derivatives clearing organization.

 

Credit Default Swap Agreements  on corporate, loan, sovereign, U.S. municipal or U.S. Treasury issues are entered into to provide a measure of protection against defaults of the issuers (i.e., to reduce risk where a Fund owns or has exposure to the referenced obligation) or to take an active long or short position with respect to the likelihood of a particular issuer’s default. Credit default swap agreements involve one party making a stream of payments (referred to as the buyer of protection) to another party (the seller of protection) in exchange for the right to receive a specified return in the event that the referenced entity, obligation or index, as specified in the swap agreement, undergoes a certain credit event. As a seller of protection on credit default swap agreements, a Fund will generally receive from the buyer of protection a fixed rate of income throughout the term of the swap provided that there is no credit event. As the seller, a Fund would effectively add leverage to its portfolio because, in addition to its total net assets, a Fund would be subject to investment exposure on the notional amount of the swap.

 

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

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

 

Credit default swap agreements on asset-backed securities involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the event that the referenced entity, obligation or index, as specified in the agreement, undergoes a certain credit event. Unlike credit default swaps on corporate, loan, sovereign, U.S. municipal or U.S. Treasury issues, deliverable obligations in most instances would be limited to the specific referenced obligation, or in some cases, specific tranches of the specified reference obligation, as performance for asset-backed securities can vary across deals. Prepayments, principal paydowns, and other writedown or loss events on the underlying mortgage loans will reduce the outstanding principal balance of the referenced obligation. These reductions may be temporary or permanent as defined under the terms of the swap agreement and the notional amount for the swap agreement will be adjusted by corresponding amounts. A Fund may use credit default swaps on asset-backed securities to provide a measure of protection against defaults of the referenced obligation or to take an active long or short position with respect to the likelihood of a particular referenced obligation’s default.

 

Credit default swap agreements on credit indices involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a write-down, principal shortfall, interest shortfall or default of all or part of the referenced entities comprising the credit index. A credit index is a basket of credit instruments or exposures designed to be representative of some part of the credit market as a whole. These indices are made up of reference credits that are judged by a poll of dealers to be the most liquid entities in the credit default swap market based on the sector of the index. Components of the indices may include, but are not limited to, investment grade securities, high yield securities, asset-backed securities, emerging markets, and/or various credit ratings within each sector. Credit indices are traded using credit default swaps with standardized terms including a fixed spread and standard maturity dates. An index credit default swap references all the names in the index, and if there is a default, the credit event is settled based on that name’s weight in the index. The composition of the indices changes periodically, usually every six months, and for most indices, each name

 

 

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Notes to Financial Statements (Cont.)

 

has an equal weight in the index. Credit default swaps on credit indices may be used to hedge a portfolio of credit default swaps or bonds, which is less expensive than it would be to buy many credit default swaps to achieve a similar effect or to take an active long or short position with respect to the likelihood of a particular referenced obligation’s default. Credit default swaps on indices are instruments often used to attempt to protect investors owning bonds against default, but may also be used for speculative purposes.

 

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

 

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

 

Interest Rate Swap Agreements  may be entered into to help hedge against interest rate risk exposure and to maintain a Fund’s ability to generate income at prevailing market rates. The value of the fixed rate bonds that the Funds hold may decrease if interest rates rise. To help hedge against this risk and to maintain its ability to generate income at prevailing market rates, a Fund may enter into interest rate swap agreements. Interest rate swap agreements involve the exchange by a

Fund with another party for their respective commitment to pay or receive interest on the notional amount of principal. Certain forms of interest rate swap agreements may include: (i) interest rate caps, under which, in return for a premium, one party agrees to make payments to the other to the extent that interest rates exceed a specified rate, or “cap”, (ii) interest rate floors, under which, in return for a premium, one party agrees to make payments to the other to the extent that interest rates fall below a specified rate, or “floor”, (iii) interest rate collars, under which a party sells a cap and purchases a floor or vice versa in an attempt to protect itself against interest rate movements exceeding given minimum or maximum levels, (iv) callable interest rate swaps, under which the buyer pays an upfront fee in consideration for the right to early terminate the swap transaction in whole, at zero cost and at a predetermined date and time prior to the maturity date, (v) spreadlocks, which allow the interest rate swap users to lock in the forward differential (or spread) between the interest rate swap rate and a specified benchmark, or (vi) basis swaps, under which two parties can exchange variable interest rates based on different segments of money markets.

 

Total Return Swap Agreements  are entered into to gain or mitigate exposure to the underlying reference asset. Total return swap agreements involve commitments where single or multiple cash flows are exchanged based on the price of an underlying reference asset and on a fixed or variable interest rate. Total return swap agreements may involve commitments to pay interest in exchange for a market-linked return. One counterparty pays out the total return of a specific underlying reference asset, which may include a single security, a basket of securities, or an index, and in return receives a fixed or variable rate. At the maturity date, a net cash flow is exchanged where the total return is equivalent to the return of the underlying reference asset less a financing rate, if any. As a receiver, a Fund would receive payments based on any net positive total return and would owe payments in the event of a net negative total return. As the payer, a Fund would owe payments on any net positive total return, and would receive payments in the event of a net negative total return. A Fund’s use of a total return swap exposes the Fund to credit loss in the event of nonperformance by the swap counterparty. Risk may also arise from the unanticipated movements in value of exchange rates, interest rates, securities, or the index.

 

Asset Segregation  Certain transactions described above can be viewed as constituting a form of borrowing or financing transaction by a Fund. In such event, a Fund will cover its obligation under such transactions by segregating or “earmarking” assets in accordance with procedures adopted by the Board, in which case such transactions will not be considered “senior securities” by a Fund. With respect to forwards, futures contracts, options and swaps that are contractually required to cash settle (i.e., where physical delivery of the underlying

 

 

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reference asset is not permitted), a Fund (other than PIMCO Dynamic Income Fund and PIMCO Income Opportunity Fund) is permitted to segregate or earmark liquid assets equal to a Fund’s daily marked-to-market net obligation under the derivative instrument, if any, rather than the derivative’s full notional value. For PIMCO Dynamic Income Fund and PIMCO Income Opportunity Fund, with respect to forwards and futures contracts and interest rate swaps that are contractually required to cash settle (i.e., where physical delivery of the underlying reference asset is not permitted), the Fund is permitted to segregate or earmark liquid assets equal to the Fund’s daily marked-to-market net obligation under the derivative instrument, if any, rather than the derivative’s full notional value, but may segregate full notional value, as applicable, with respect to certain other derivative instruments (including, written credit default swaps, and written options) that contractually require or permit physical delivery of securities or other underlying assets. By segregating or earmarking liquid assets equal to only its net marked-to-market obligation under certain derivatives that are required to cash settle, a Fund will have the ability to employ leverage to a greater extent than if a Fund were to segregate or earmark liquid assets equal to the full notional value of the derivative.

 

7. PRINCIPAL RISKS

 

In the normal course of business, the Funds trade financial instruments and enter into financial transactions where risk of potential loss exists due to such things as changes in the market (market risk) or failure or inability of the other party to a transaction to perform (credit and counterparty risk). See below for a detailed description of select principal risks. For a more comprehensive list of potential risks the Funds may be subject to, please see the Important Information About the Funds.

 

Market Risks  A Fund’s investments in financial derivative instruments and other financial instruments expose the Fund to various risks such as, but not limited to, interest rate, foreign (non-U.S.) currency, equity and commodity risks.

 

Interest rate risk is the risk that fixed income securities and other instruments held by a Fund will decline in value because of changes in interest rates. As nominal interest rates rise, the value of certain fixed income securities held by a Fund is likely to decrease. A nominal interest rate can be described as the sum of a real interest rate and an expected inflation rate. Interest rate changes can be sudden and unpredictable, and a Fund may lose money if these changes are not anticipated by the Fund’s management. Variable rate securities may decline in value if their interest rates do not rise as much, or as quickly, as interest rates in general. A Fund may not be able to hedge against changes in interest rates or may choose not to do so for cost or other reasons. In addition, any hedges may not work as intended.

Fixed income securities with longer durations tend to be more sensitive to changes in interest rates, usually making them more volatile than securities with shorter durations. Duration is a measure used to determine the sensitivity of a security’s price to changes in interest rates that incorporates a security’s yield, coupon, final maturity and call features, among other characteristics. Duration is useful primarily as a measure of the sensitivity of a fixed income security’s market price to interest rate (i.e. yield) movements. All other things remaining equal, for each one percentage point increase in interest rates, the value of a portfolio of fixed income investments would generally be expected to decline by one percent for every year of the portfolio’s average duration above zero. For example, the value of a portfolio of fixed income securities with an average duration of three years would generally be expected to decline by approximately 3% if interest rates rose by one percentage point. Convexity is an additional measure used to understand a security’s interest rate sensitivity. Convexity measures the rate of change of duration in response to changes in interest rates and may be positive or negative. Securities with negative convexity may experience greater losses during periods of rising interest rates, and accordingly Funds holding such securities may be subject to a greater risk of losses in periods of rising interest rates.

 

A wide variety of factors can cause interest rates to rise (e.g., central bank monetary policies, inflation rates, general economic conditions, etc.). Under current economic conditions, interest rates are near historically low levels. The Funds currently face a heightened level of interest rate risk, especially since the Federal Reserve Board has ended its quantitative easing program and has begun, and may continue, to raise interest rates. To the extent the Federal Reserve Board continues to raise interest rates, there is a risk that rates across the financial system may rise. During periods of very low or negative interest rates, a Fund may be unable to maintain positive returns. Changing interest rates, including rates that fall below zero, may have unpredictable effects on markets, may result in heightened market volatility and may detract from Fund performance to the extent a Fund is exposed to such interest rates. Rising interest rates may result in a decline in value of a Fund’s fixed-income investments and in periods of volatility. Further, while U.S. bond markets have steadily grown over the past three decades, dealer “market making” ability has remained relatively stagnant. As a result, dealer inventories of certain types of bonds and similar instruments, which provide a core indication of the ability of financial intermediaries to “make markets,” are at or near historic lows in relation to market size. Because market makers provide stability to a market through their intermediary services, the significant reduction in dealer inventories could potentially lead to decreased liquidity and increased volatility in the fixed income markets. Such issues may be exacerbated during periods of economic uncertainty. All of these factors, collectively and/or individually, could cause a Fund to lose value.

 

 

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Notes to Financial Statements (Cont.)

 

 

Foreign (non-U.S.) securities in this report are classified by the country of incorporation of a holding. In certain instances, a security’s country of incorporation may be different from its country of economic exposure. If a Fund invests directly in foreign (non-U.S.) currencies or in securities that trade in, and receive revenues in, foreign (non-U.S.) currencies, or in financial derivatives that provide exposure to foreign (non-U.S.) currencies, it will be subject to the risk that those currencies will decline in value relative to the base currency of the Fund, or, in the case of hedging positions, that the Fund’s base currency will decline in value relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons, including changes in interest rates, intervention (or the failure to intervene) by U.S. or foreign governments, central banks or supranational entities such as the International Monetary Fund, or by the imposition of currency controls or other political developments in the United States or abroad. As a result, a Fund’s investments in foreign currency denominated securities may reduce the Fund’s returns.

 

The market values of a Fund’s investments may decline due to general market conditions which are not specifically related to a particular company or issuer, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates or adverse investor sentiment. They may also decline due to factors which affect a particular industry or industries, such as labor shortages or increased production costs and competitive conditions within an industry. Equity securities and equity related investments generally have greater market price volatility than fixed income securities, although under certain market conditions fixed income securities may have comparable or greater price volatility. Credit ratings downgrades may also negatively affect securities held by a Fund. Even when markets perform well, there is no assurance that the investments held by a Fund will increase in value along with the broader market. In addition, market risk includes the risk that geopolitical events will disrupt the economy on a national or global level.

 

A Fund’s investments in commodity-linked financial derivative instruments may subject the Fund to greater market price volatility than investments in traditional securities. The value of commodity-linked financial derivative instruments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity, such as drought, floods, weather, livestock disease, embargoes, tariffs and international economic, political and regulatory developments.

 

Credit and Counterparty Risks  A Fund will be exposed to credit risk to parties with whom it trades and will also bear the risk of settlement default. A Fund seeks to minimize concentrations of credit risk by undertaking transactions with a large number of counterparties on recognized and reputable exchanges, where applicable. Over the

counter (“OTC”) derivative transactions are subject to the risk that a counterparty to the transaction will not fulfill its contractual obligations to the other party, as many of the protections afforded to centrally cleared derivative transactions might not be available for OTC derivative transactions. For derivatives traded on an exchange or through a central counterparty, credit risk resides with a Fund’s clearing broker, or the clearinghouse itself, rather than with a counterparty in an OTC derivative transaction. A Fund could lose money if the issuer or guarantor of a fixed income security, or the counterparty to a financial derivatives contract, repurchase agreement or a loan of portfolio securities, is unable or unwilling to make timely principal and/or interest payments, or to otherwise honor its obligations. Securities are subject to varying degrees of credit risk, which are often reflected in credit ratings.

 

Similar to credit risk, a Fund may be exposed to counterparty risk, or the risk that an institution or other entity with which the Fund has unsettled or open transactions will default. PIMCO, as the Manager, seeks to minimize counterparty risks to the Funds through a number of ways. Prior to entering into transactions with a new counterparty, the PIMCO Counterparty Risk Committee conducts an extensive credit review of such counterparty and must approve the use of such counterparty. Furthermore, pursuant to the terms of the underlying contract, to the extent that unpaid amounts owed to a Fund exceed a predetermined threshold, such counterparty is required to advance collateral to the Fund in the form of cash or securities equal in value to the unpaid amount owed to the Fund. A Fund may invest such collateral in securities or other instruments and will typically pay interest to the counterparty on the collateral received. If the unpaid amount owed to a Fund subsequently decreases, the Fund would be required to return to the counterparty all or a portion of the collateral previously advanced. PIMCO’s attempts to minimize counterparty risk may, however, be unsuccessful.

 

All transactions in listed securities are settled/paid for upon delivery using approved counterparties. The risk of default is considered minimal, as delivery of securities sold is only made once a Fund has received payment. Payment is made on a purchase once the securities have been delivered by the counterparty. The trade will fail if either party fails to meet its obligation.

 

8. MASTER NETTING ARRANGEMENTS

 

A Fund may be subject to various netting arrangements (“Master Agreements”) with select counterparties. Master Agreements govern the terms of certain transactions, and are intended to reduce the counterparty risk associated with relevant transactions by specifying credit protection mechanisms and providing standardization that is intended to improve legal certainty. Each type of Master Agreement governs certain types of transactions. Different types of transactions

 

 

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may be traded out of different legal entities or affiliates of a particular organization, resulting in the need for multiple agreements with a single counterparty. As the Master Agreements are specific to unique operations of different asset types, they allow a Fund to close out and net its total exposure to a counterparty in the event of a default with respect to all the transactions governed under a single Master Agreement with a counterparty. For financial reporting purposes the Statements of Assets and Liabilities generally present derivative assets and liabilities on a gross basis, which reflects the full risks and exposures prior to netting.

 

Master Agreements can also help limit counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under most Master Agreements, collateral is routinely transferred if the total net exposure to certain transactions (net of existing collateral already in place) governed under the relevant Master Agreement with a counterparty in a given account exceeds a specified threshold, which typically ranges from zero to $250,000 depending on the counterparty and the type of Master Agreement. United States Treasury Bills and U.S. dollar cash are generally the preferred forms of collateral, although other forms of AAA rated paper or sovereign securities may be used depending on the terms outlined in the applicable Master Agreement. Securities and cash pledged as collateral are reflected as assets on the Statements of Assets and Liabilities as either a component of Investments at value (securities) or Deposits with counterparty. Cash collateral received is not typically held in a segregated account and as such is reflected as a liability on the Statements of Assets and Liabilities as Deposits from counterparty. The market value of any securities received as collateral is not reflected as a component of NAV. A Fund’s overall exposure to counterparty risk can change substantially within a short period, as it is affected by each transaction subject to the relevant Master Agreement.

 

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

 

Master Securities Forward Transaction Agreements (“Master Forward Agreements”) govern certain forward settling transactions, such as TBA securities, delayed-delivery or sale-buyback transactions by and between a Fund and select counterparties. The Master Forward Agreements maintain provisions for, among other things, transaction initiation and confirmation, payment and transfer, events of default,

termination, and maintenance of collateral. The market value of forward settling transactions, collateral pledged or received, and the net exposure by counterparty as of period end is disclosed in the Notes to Schedules of Investments.

 

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

 

Prime Broker Arrangements may be entered into to facilitate execution and/or clearing of listed equity option transactions or short sales of equity securities between a Fund and selected counterparties. The arrangements provide guidelines surrounding the rights, obligations, and other events, including, but not limited to, margin, execution, and settlement. These agreements maintain provisions for, among other things, payments, maintenance of collateral, events of default, and termination. Margin and other assets delivered as collateral are typically in the possession of the prime broker and would offset any obligations due to the prime broker. The market values of listed options and securities sold short and related collateral are disclosed in the Notes to Schedules of Investments.

 

International Swaps and Derivatives Association, Inc. Master Agreements and Credit Support Annexes (“ISDA Master Agreements”) govern bilateral OTC derivative transactions entered into by a Fund with select counterparties. ISDA Master Agreements maintain provisions for general obligations, representations, agreements, collateral posting and events of default or termination. Events of termination include conditions that may entitle counterparties to elect to terminate early and cause settlement of all outstanding transactions under the applicable ISDA Master Agreement. Any election to terminate early could be material to the financial statements. In limited circumstances, the ISDA Master Agreement may contain additional provisions that add counterparty protection beyond coverage of existing daily exposure if the counterparty has a decline in credit quality below a predefined level. These amounts, if any, may be segregated with a third-party custodian. The market value of OTC financial

 

 

  ANNUAL REPORT   JUNE 30, 2018   123


Notes to Financial Statements (Cont.)

 

derivative instruments, collateral received or pledged, and net exposure by counterparty as of period end are disclosed in the Notes to Schedules of Investments.

 

9. FEES AND EXPENSES

 

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

 

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

 

Fund Name         Annual
Rate
 

PCM Fund, Inc.

      0.900% (1)  

PIMCO Global StocksPLUS® & Income Fund

      1.105% (2)  

PIMCO Income Opportunity Fund

      1.055% (1)  

PIMCO Strategic Income Fund, Inc.

      0.955% (3)  

PIMCO Dynamic Credit and Mortgage Income Fund

      1.150% (4)  

PIMCO Dynamic Income Fund

      1.150% (4)  

 

(1)  

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

(2) 

Management fees calculated based on the Fund’s average daily “total managed assets”. Total managed assets refer to the total assets of each Fund (including assets attributable to any preferred shares and borrowings that may be outstanding) minus accrued liabilities (other than liabilities representing borrowings).

(3) 

Management fees calculated based on the Fund’s average daily net asset value (including daily net assets attributable to any preferred shares of the Fund that may be outstanding).

(4) 

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

 

(b) Fund Expenses  Each Fund bears other expenses, which may vary and affect the total level of expenses paid by shareholders, such as (i) salaries and other compensation or expenses, including travel expenses of any of the Fund’s executive officers and employees, if any, who are not officers, directors, shareholders, members, partners or

employees of PIMCO or its subsidiaries or affiliates; (ii) taxes and governmental fees, if any, levied against the Fund; (iii) brokerage fees and commissions and other portfolio transaction expenses incurred by or for the Fund (including, without limitation, fees and expenses of outside legal counsel or third-party consultants retained in connection with reviewing, negotiating and structuring specialized loan and other investments made by the Fund, subject to specific or general authorization by the Fund’s Board); (iv) expenses of the Fund’s securities lending (if any), including any securities lending agent fees, as governed by a separate securities lending agreement; (v) costs, including interest expense, of borrowing money or engaging in other types of leverage financing, including, without limitation, through the use by the Fund of reverse repurchase agreements, tender option bonds, bank borrowings and credit facilities; (vi) costs, including dividend and/or interest expenses and other costs (including, without limitation, offering and related legal costs, fees to brokers, fees to auction agents, fees to transfer agents, fees to ratings agencies and fees to auditors associated with satisfying ratings agency requirements for preferred shares or other securities issued by the Fund and other related requirements in the Fund’s organizational documents) associated with the Fund’s issuance, offering, redemption and maintenance of preferred shares, commercial paper or other senior securities for the purpose of incurring leverage; (vii) fees and expenses of any underlying funds or other pooled investment vehicles in which the Fund invests; (viii) dividend and interest expenses on short positions taken by the Fund; (ix) fees and expenses, including travel expenses, and fees and expenses of legal counsel retained for their benefit, of Trustees who are not officers, employees, partners, shareholders or members of PIMCO or its subsidiaries or affiliates; (x) extraordinary expenses, including extraordinary legal expenses, that may arise, including expenses incurred in connection with litigation, proceedings, other claims, and the legal obligations of the Fund to indemnify its Trustees, officers, employees, shareholders, distributors, and agents with respect thereto; (xi) organizational and offering expenses of the Fund, including with respect to share offerings, such as rights offerings and shelf offerings, following the Fund’s initial offering, and expenses associated with tender offers and other share repurchases and redemptions; and (xii) expenses of the Fund which are capitalized in accordance with U.S. GAAP.

 

Each of the Trustees of the Funds who is not an interested person under Section 2(a)(19) of the Act, (the “Independent Trustees”) also serves as a trustee of a number of other closed-end funds for which PIMCO serves as investment manager (together with the Funds, the “PIMCO Closed-End Funds”), as well as PIMCO Flexible Credit Income Fund and PIMCO Flexible Municipal Income Fund, each a closed end management investment company managed by PIMCO that is operated as an “interval fund” (the “PIMCO Interval Funds”), and

 

 

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PIMCO-Managed Accounts Trust, an open-end management investment company with multiple series for which PIMCO serves as investment adviser and administrator (“PMAT” and, together with the PIMCO Closed-End Funds and the PIMCO Interval Funds, the “PIMCO-Managed Funds”). In addition, each of the Independent Trustees also serves as a trustee of certain investment companies (together, the “Allianz-Managed Funds”), for which Allianz Global Investors U.S. LLC (“AllianzGI U.S.”), an affiliate of PIMCO, serves as investment manager. Prior to the close of business on September 5, 2014, a predecessor entity of AllianzGI U.S. served as investment manager of PMAT and the PIMCO Closed-End Funds.

 

Each Independent Trustee currently receives annual compensation of $225,000 for his or her service on the Boards of the PIMCO-Managed Funds, payable quarterly. The Independent Chairman of the Boards receives an additional $75,000 per year, payable quarterly. The Audit Oversight Committee Chairman receives an additional $50,000 annually, payable quarterly. Trustees are also reimbursed for meeting-related expenses.

 

Each Trustee’s compensation for his or her service as a Trustee on the Boards of the PIMCO-Managed Funds and other costs in connection with joint meetings of such Funds are allocated among the PIMCO-Managed Funds, as applicable, on the basis of fixed percentages among PMAT, the PIMCO Interval Funds and the PIMCO Closed-End Funds. Trustee compensation and other costs will then be further allocated pro rata among the individual PIMCO-Managed Funds within each grouping based on each such PIMCO-Managed Fund’s relative net assets.

 

10. RELATED PARTY TRANSACTIONS

 

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

 

Certain Funds are permitted to purchase or sell securities from or to certain related affiliated funds under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of securities by the Funds from or to another fund or portfolio that are, or could be, considered an affiliate, or an affiliate of an affiliate, by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule 17a-7 under the Act. Further, as defined under the procedures, each transaction is effected at the current market price. During the period ended June 30, 2018,

the Funds below engaged in purchases and sales of securities pursuant to Rule 17a-7 under the Act (amounts in thousands):

 

Fund Name         Purchases     Sales  

PIMCO PCM Fund, Inc.

    $ 387     $ 2,936  

PIMCO Global StocksPLUS® & Income Fund

      1,213       10,178  

PIMCO Income Opportunity Fund

      3,997       17,229  

PIMCO Strategic Income Fund, Inc.

      9,141       7,733  

PIMCO Dynamic Credit and Mortgage Income Fund

        107,428         492,050  

PIMCO Dynamic Income Fund

      24,864       41,000  

 

  

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

 

11. GUARANTEES AND INDEMNIFICATIONS

 

Under the organizational documents of PIMCO Global StocksPLUS® & Income Fund, PIMCO Income Opportunity Fund, PIMCO Dynamic Credit and Mortgage Income Fund and PIMCO Dynamic Income Fund each Trustee and officer is indemnified, to the extent permitted by the Act, against certain liabilities that may arise out of performance of their duties to the Funds. Under the organizational documents of PCM Fund, Inc., and PIMCO Strategic Income Fund, Inc., each Director and officer is indemnified to the fullest extent permitted by Maryland law and the Act. For PCM Fund, Inc., employees and agents of the Fund are also indemnified to the maximum extent permitted by Maryland Law and the Act. For PIMCO Strategic Income Fund, Inc., employees and agents of the Fund may be indemnified to the extent determined by the Board and subject to the limitations of the Act. Additionally, in the normal course of business, the Funds enter into contracts that contain a variety of indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds have not had prior claims or losses pursuant to these contracts.

 

12. PURCHASES AND SALES OF SECURITIES

 

The length of time a Fund has held a particular security is not generally a consideration in investment decisions. A change in the securities held by a Fund is known as “portfolio turnover.” Each Fund may engage in frequent and active trading of portfolio securities to achieve its investment objective, particularly during periods of volatile market movements. High portfolio turnover may involve correspondingly greater transaction costs to a Fund, including brokerage commissions or dealer mark-ups and other transaction costs on the sale of securities and reinvestments in other securities. Such sales may also result in realization of taxable capital gains, including short-term capital gains (which are generally taxed at ordinary income tax rates). The transaction costs and tax effects associated with portfolio turnover may adversely affect a Fund’s performance. The portfolio turnover rates are reported in the Financial Highlights.

 

 

  ANNUAL REPORT   JUNE 30, 2018   125


Notes to Financial Statements (Cont.)

 

 

Purchases and sales of securities (excluding short-term investments) for the period ended June 30, 2018, were as follows (amounts in thousands):

 

          U.S. Government/Agency     All Other  
Fund Name         Purchases     Sales     Purchases     Sales  

PIMCO PCM Fund, Inc.

    $ 1,683     $ 172     $ 27,275     $ 15,809  

PIMCO Global StocksPLUS® & Income Fund

      92,099       58,386       40,573       30,001  

PIMCO Income Opportunity Fund

      3,320       569       127,327       96,716  

PIMCO Strategic Income Fund, Inc.

        345,719         26,633       90,182       32,548  

PIMCO Dynamic Credit and Mortgage Income Fund

      65,943       5,658         1,588,897         1,226,786  

PIMCO Dynamic Income Fund

      27,549       5,171       498,255       211,318  

 

  

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

 

13. COMMON SHARES OFFERING

 

On March 23, 2017, the SEC declared effective a registration statement filed using the “shelf” registration process for PIMCO Dynamic Income Fund. Pursuant to the shelf registration, PIMCO Dynamic Income Fund may offer and sell, from time to time, in one or more offerings, up to 9,500,000 of its Common Shares, par value $0.00001 per share. The aggregate sale proceeds for the sales of the PIMCO Dynamic Income Fund Common Shares are subject to an aggregate cap of $275,685,250. The Fund may not sell any Common Shares at a price

below the NAV of such Common Shares, exclusive of any distributing commission or discount. Sales of the Common Shares, if any, may be made in negotiated transactions or transactions that are deemed to be “at the market”, including sales made directly on the NYSE or sales made to or through a market maker other than on an exchange. During the period ended June 30, 2018, the Fund sold 5,434,102 Common Shares. Proceeds from the offerings during the period ended June 30, 2018 (net of commissions and fees) were $166,334,478.

 

 

14. BASIS FOR CONSOLIDATION

 

PCILS I LLC and PDILS I LLC (each a “Subsidiary” and, collectively, the “Subsidiaries”), both Delaware LLC exempted companies, were formed as wholly owned subsidiaries acting as investment vehicles for PIMCO Dynamic Credit and Mortgage Income Fund and PIMCO Dynamic Income Fund (for purposes of this section, each a “Fund” and, collectively, the “Funds”), respectively, in order to effect certain investments consistent with each Fund’s objectives and policies in effect from time to time. PCILS I LLC and PDILS I LLC were formed on March 7, 2013 and March 12, 2013, respectively. PIMCO Dynamic Income Credit and Mortgage Fund’s and PIMCO Dynamic Income Fund’s investment portfolios have been consolidated and include the portfolio holdings of each Fund’s respective Subsidiary. Accordingly, the consolidated financial statements for each Fund include the accounts of each Fund’s respective subsidiary. All inter-company transactions and balances have been eliminated. This structure was established so that certain loans could be held by a separate legal entity from the Funds. See the table below for details regarding the structure, incorporation and relationship as of period end of the Subsidiaries (amounts in thousands).

 

           PCILS I LLC      PDILS I LLC  

Date of Formation

       03/07/2013        03/12/2013  

Consolidated Fund Net Assets

     $ 3,257,183      $ 1,575,518  

Subsidiary % of Fund Net Assets

       1.0%        0.4%  

Subsidiary Financial Statement Information

                   

Total assets

     $ 31,767      $ 5,576  

Total liabilities

       0        0  

Net assets

     $ 31,767      $ 5,576  

Total income

       1,111        195  

Net investment income (loss)

       1,111        195  

Net realized gain (loss)

       0        0  

Net change in unrealized appreciation (depreciation)

       55        9  

Increase (decrease) in net assets resulting from operations

     $ 1,166      $ 204  

 

  

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

 

126   PIMCO CLOSED-END FUNDS     


 

June 30, 2018

 

15. REGULATORY AND LITIGATION MATTERS

 

The Funds are not named as defendants in any material litigation or arbitration proceedings and are not aware of any material litigation or claim pending or threatened against them.

 

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

 

16. FEDERAL INCOME TAX MATTERS

 

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

 

A Fund may be subject to local withholding taxes, including those imposed on realized capital gains. Any applicable foreign capital gains

tax is accrued daily based upon net unrealized gains, and may be payable following the sale of any applicable investments.

 

In accordance with U.S. GAAP, the Manager has reviewed the Funds’ tax positions for all open tax years. As of June  30, 2018, the Funds have recorded no liability for net unrecognized tax benefits relating to uncertain income tax positions they have taken or expect to take in future tax returns.

 

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

 

 

As of June 30, 2018, the components of distributable taxable earnings are as follows (amounts in thousands):

 

          Undistributed
Ordinary
Income(1)
    Undistributed
Long-Term
Capital Gains
    Net Tax Basis
Unrealized
Appreciation/
(Depreciation)(2)
    Other
Book-to-Tax
Accounting
Differences(3)
    Accumulated
Capital
Losses(4)
    Qualified
Late-Year
Loss
Deferral -
Capital(5)
    Qualified
Late-Year
Loss
Deferral -
Ordinary(6)
 

PCM Fund, Inc.

    $ 2,239     $ 0     $ 7,700     $ (926   $ (1,314   $   0     $   0  

PIMCO Global StocksPLUS® & Income Fund

      0       0       3,090       (1,315     (24,381     0       0  

PIMCO Income Opportunity Fund

      2,193       0       39,044       (2,877     (5,431     0       0  

PIMCO Strategic Income Fund, Inc.

      0       0       (11,429     (3,095     (28,047     0       0  

PIMCO Dynamic Credit and Mortgage Income Fund

        48,619         0         121,473         (22,513       (164,775     0       0  

PIMCO Dynamic Income Fund

      29,744       0       229,178       (11,892     (22,236     0       0  

 

  

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

(1) 

Includes undistributed short-term capital gains, if any.

(2) 

Adjusted for open wash sale loss deferrals and the accelerated recognition of unrealized gain or loss on certain futures, options and forward contracts for federal income tax purposes. Also adjusted for differences between book and tax realized and unrealized gain (loss) on swap contracts, partnership adjustments, passive foreign investment companies (PFICs), convertible preferred securities, straddle loss deferrals, Lehman securities, and sale/buyback transactions.

(3) 

Represents differences in income tax regulations and financial accounting principles generally accepted in the United States of America, mainly for distributions payable at fiscal year-end.

(4) 

Capital losses available to offset future net capital gains expire in varying amounts as shown below.

(5) 

Capital losses realized during the period November 1, 2017 through June 30, 2018 which the Funds elected to defer to the following taxable year pursuant to income tax regulations.

(6) 

Specified losses realized during the period November 1, 2017 through June 30, 2018 and Ordinary losses realized during the period January 1, 2018. through June 30, 2018,

 

Under the Regulated Investment Company Modernization Act of 2010, a fund is permitted to carry forward any new capital losses for an unlimited period. Additionally, such capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term under previous law.

 

As of June 30, 2018, the Funds had the following post-effective capital losses with no expiration (amounts in thousands):

 

           Short-Term      Long-Term  

PCM Fund, Inc.

     $ 0      $ 1,314  

PIMCO Global StocksPLUS® & Income Fund

       24,381        0  

PIMCO Income Opportunity Fund

       0        5,431  

PIMCO Strategic Income Fund, Inc.

       28,047        0  

PIMCO Dynamic Credit and Mortgage Income Fund

         112,745          52,030  

PIMCO Dynamic Income Fund

       0        22,236  

 

  

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

 

  ANNUAL REPORT   JUNE 30, 2018   127


Notes to Financial Statements (Cont.)

 

 

As of June 30, 2018, the aggregate cost and the net unrealized appreciation/(depreciation) of investments for federal income tax purposes are as follows (amounts in thousands):

 

           Federal
Tax Cost
     Unrealized
Appreciation
     Unrealized
(Depreciation)
     Net Unrealized
Appreciation/
(Depreciation)(7)
 

PCM Fund, Inc.

     $ 170,524      $ 21,258      $ (13,559    $ 7,699  

PIMCO Global StocksPLUS® & Income Fund

       176,294        21,617        (18,622      2,995  

PIMCO Income Opportunity Fund

       494,125        67,600        (28,747      38,853  

PIMCO Strategic Income Fund, Inc.

       1,233,511        35,921        (47,290      (11,369

PIMCO Dynamic Credit and Mortgage Income Fund

         5,459,602          494,274          (378,178        116,096  

PIMCO Dynamic Income Fund

       2,326,008        381,892        (153,663      228,229  

 

  

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

(7) 

Primary differences, if any, between book and tax net unrealized appreciation/(depreciation) on investments are attributable to open wash sale loss deferrals, sale/buyback transactions, passive foreign investment companies (PFICs), return of capital distributions from underlying funds, convertible preferred securities, unrealized gain or loss on certain futures, options and forward contracts, realized and unrealized gain (loss) swap contracts, straddle loss deferrals, Lehman securities, and partnership adjustments.

 

For the fiscal years ended June 30, 2018 and June 30, 2017, respectively, the Funds made the following tax basis distributions (amounts in thousands):

 

          June 30, 2018     June 30, 2017  
          Ordinary
Income
Distributions(8)
    Long-Term
Capital Gain
Distributions
    Return of
Capital(9)
    Ordinary
Income
Distributions(8)
    Long-Term
Capital Gain
Distributions
    Return of
Capital(9)
 

PCM Fund, Inc.

    $ 11,341     $ 0     $ 0     $ 16,862     $ 0     $ 0  

PIMCO Global StocksPLUS® & Income Fund

      15,394       0         1,915       17,812       0       2,117  

PIMCO Income Opportunity Fund

      34,421       0       0       38,429       0       899  

PIMCO Strategic Income Fund, Inc.

      36,951       0       0       33,902       0         5,051  

PIMCO Dynamic Credit and Mortgage Income Fund

      270,155       0       0         356,605         0       0  

PIMCO Dynamic Income Fund

        134,192         0       0       190,382       0       0  

 

  

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

(8)

Includes short-term capital gains distributed, if any.

(9) 

A portion of the distributions made represents a tax return of capital. Return of capital distributions have been reclassified from undistributed net investment income to paid-in capital to more appropriately conform financial accounting to tax accounting.

 

For tax years ending before July 1, 2018, RCS accounted for mortgage dollar rolls as financing transactions, such that the Fund treated the difference between the selling price and future purchase price on a mortgage dollar roll as interest income for U.S. federal income tax purposes. RCS intends to apply to the IRS for a change in accounting method which, if granted, will result in RCS, for tax years ending after June 30, 2018, accounting for mortgage dollar rolls as a sale or exchange for U.S. federal income tax purposes.

 

The Fund’s treatment of mortgage dollar rolls for U.S. federal income tax purposes determines the character and source of the Fund’s distributions relating to income earned thereon. Treatment of mortgage dollar rolls as financing transactions may increase the amount of distributions received by Fund shareholders, or may increase the portion thereof that is taxed as ordinary income, and cause shareholders to be taxed on distributions that effectively represent a return of the shareholder’s investment therein. Assuming the IRS grants the change in accounting method, the Fund will account for mortgage dollar rolls as sales or exchanges for tax years ending after June 30, 2018, and the Fund expects that any gain or loss it recognizes on mortgage dollar rolls will generally be treated as short-term capital

gain or loss, as applicable. Any such short-term capital gains for a taxable year will be offset by the Fund’s capital losses for such year, and any available capital loss carryforwards. The application of sale or exchange treatment to mortgage dollar rolls may therefore increase the portion of the Fund’s distributions to shareholders that are treated as returns of capital for U.S. federal income tax purposes, or lead the Fund to decrease its distributions to reduce or avoid returns of capital.

 

The U.S. federal income tax rules governing the treatment of mortgage dollar roll transactions are complex, and the proper treatment of such transactions is uncertain. If the Internal Revenue Service were to challenge or recharacterize RCS’s treatment of mortgage dollar rolls successfully, it would affect the amount, timing and character of distributions received by the Fund’s shareholders. A taxpayer requesting a voluntary accounting method change generally receives audit protection for all taxable years prior to the year of change with respect to the item that is being changed. Thus if the IRS approves the Fund’s requested change in accounting method for mortgage dollar rolls, the IRS will not, subject to certain exceptions that the Fund does not expect to apply, challenge or recharacterize the Fund’s treatment of mortgage dollar rolls as financing transactions for taxable years ending before July 1, 2018.

 

 

128   PIMCO CLOSED-END FUNDS     


 

June 30, 2018

 

 

17. SUBSEQUENT EVENTS

 

In preparing these financial statements, the Funds’ management has evaluated events and transactions for potential recognition or disclosure through the date the financial statements were issued.

 

On July 6, 2018, the SEC declared effective a registration statement filed using the “shelf” registration process for PIMCO Income Opportunity Fund. Pursuant to the shelf registration, PIMCO Income Opportunity Fund may offer and sell, from time to time, in one or more offerings, up to 3,000,000 of its Common Shares, par value $0.00001 per share. The aggregate sale proceeds for the sales of the PIMCO Income Opportunity Fund Common Shares are subject to an aggregate cap of $85,000,000. The Fund may not sell any Common Shares at a price below the NAV of such Common Shares, exclusive of any distributing commission or discount. Sales of the Common Shares, if any, may be made in negotiated transactions or transactions that are deemed to be “at the market”, including sales made directly on the NYSE or sales made to or through a market maker other than on an exchange.

 

On July 2, 2018, the following distributions were declared to common shareholders payable August 1, 2018 to shareholders of record on July 13, 2018:

 

PCM Fund, Inc.

    $   0.080000 per common share  

PIMCO Global StocksPLUS® & Income Fund

    $ 0.122000 per common share  

PIMCO Income Opportunity Fund

    $ 0.190000 per common share  

PIMCO Strategic Income Fund, Inc.

    $ 0.072000 per common share  

PIMCO Dynamic Credit and Mortgage Income Fund

    $ 0.164063 per common share  

PIMCO Dynamic Income Fund

    $ 0.220500 per common share  

 

On August 1, 2018, the following distributions were declared to common shareholders payable September 4, 2018 to shareholders of record on August 13, 2018:

 

PCM Fund, Inc.

    $   0.080000 per common share  

PIMCO Global StocksPLUS® & Income Fund

    $ 0.122000 per common share  

PIMCO Income Opportunity Fund

    $ 0.190000 per common share  

PIMCO Strategic Income Fund, Inc.

    $ 0.072000 per common share  

PIMCO Dynamic Credit and Mortgage Income Fund

    $ 0.164063 per common share  

PIMCO Dynamic Income Fund

    $ 0.220500 per common share  

 

The PIMCO Strategic Income Fund, Inc. intends to apply to the IRS for a change in accounting method with respect to the Fund’s treatment of mortgage dollar rolls for U.S. federal income tax purposes. If granted, such change in accounting method will affect the source and may affect the characterization of the Fund’s distributions to shareholders for U.S. federal income tax purposes. See Note 16 “Federal Income Tax Matters” above.

 

There were no other subsequent events identified that require recognition or disclosure.

 

  ANNUAL REPORT   JUNE 30, 2018   129


Report of Independent Registered Public Accounting Firm

 

To the Board of Directors/Trustees and Shareholders of PCM Fund, Inc., PIMCO Global StocksPLUS® & Income Fund, PIMCO Income Opportunity Fund, PIMCO Strategic Income Fund, Inc., PIMCO Dynamic Credit and Mortgage Income Fund and PIMCO Dynamic Income Fund

 

Opinions on the Financial Statements

 

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of PCM Fund, Inc., PIMCO Global StocksPLUS® & Income Fund, PIMCO Income Opportunity Fund, PIMCO Strategic Income Fund, Inc., PIMCO Dynamic Credit and Mortgage Income Fund and PIMCO Dynamic Income Fund (hereafter collectively referred to as the “Funds”) as of June 30, 2018, the related statements of operations and cash flows for the year ended June 30, 2018, the statements of changes in net assets for each of the two years in the period ended June 30, 2018, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of June 30, 2018, the results of each of their operations and each of their cash flows for the year then ended, the changes in each of their net assets for each of the two years in the period ended June 30, 2018 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.

 

Basis for Opinions

 

These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

 

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

 

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of June 30, 2018 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

 

/s/ PricewaterhouseCoopers LLP

Kansas City, Missouri

 

August 24, 2018

 

We have served as the auditor of one or more investment companies in PIMCO Taxable Closed-End Funds since 1995.

 

130   PIMCO CLOSED-END FUNDS     


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

 

(Unaudited)

 

Counterparty Abbreviations:

               
BCY  

Barclays Capital, Inc.

  GSC  

Goldman Sachs & Co.

  RCE  

Royal Bank of Canada Europe Limited

BOA  

Bank of America N.A.

  GST  

Goldman Sachs International

  RCY  

Royal Bank of Canada

BPG  

BNP Paribas Securities Corp.

  HUS  

HSBC Bank USA N.A.

  RDR  

RBC Capital Markets LLC

BPS  

BNP Paribas S.A.

  IND  

Crédit Agricole Corporate and Investment Bank S.A.

  RTA  

Bank of New York Mellon Corp.

BRC  

Barclays Bank PLC

  JML  

JP Morgan Securities Plc

  RYL  

Royal Bank of Scotland Group PLC

CBK  

Citibank N.A.

  JPM  

JP Morgan Chase Bank N.A.

  SAL  

Citigroup Global Markets, Inc.

CFR  

Credit Suisse Securities (Europe) Ltd.

  JPS  

JP Morgan Securities, Inc.

  SBI  

Citigroup Global Markets Ltd.

DBL  

Deutsche Bank AG London

  MSB  

Morgan Stanley Bank, N.A

  SCX  

Standard Chartered Bank

DUB  

Deutsche Bank AG

  MYC  

Morgan Stanley Capital Services, Inc.

  SOG  

Societe Generale

FAR  

Wells Fargo Bank National Association

  NGF  

Nomura Global Financial Products, Inc.

  SSB  

State Street Bank and Trust Co.

FBF  

Credit Suisse International

  NOM  

Nomura Securities International Inc.

  UAG  

UBS AG Stamford

FICC  

Fixed Income Clearing Corporation

  RBC  

Royal Bank of Canada

  UBS  

UBS Securities LLC

GLM  

Goldman Sachs Bank USA

       

Currency Abbreviations:

               
ARS  

Argentine Peso

  EUR  

Euro

  NZD  

New Zealand Dollar

AUD  

Australian Dollar

  GBP  

British Pound

  PEN  

Peruvian New Sol

BRL  

Brazilian Real

  JPY  

Japanese Yen

  RUB  

Russian Ruble

CAD  

Canadian Dollar

  NGN  

Nigerian Naira

  USD (or $)  

United States Dollar

CHF  

Swiss Franc

       

Exchange Abbreviations:

               
CME  

Chicago Mercantile Exchange

  OTC  

Over the Counter

   

Index/Spread Abbreviations:

               
12MTA  

12 Month Treasury Average

  CMBX  

Commercial Mortgage-Backed Index

  NDDUEAFE  

MSCI EAFE Index

7-DayAuc  

7 Day Auction Rate

  COF 11  

Cost of Funds - 11th District of San Francisco

  S&P 500  

Standard & Poor’s 500 Index

ABX.HE  

Asset-Backed Securities Index - Home Equity

  EUR003M  

3 Month EUR Swap Rate

  T1Y  

1 Year Treasury

ARPP7DRR  

Argentina Central Bank 7 Day Repo Reference Rate

  EUR006M  

6 Month EUR Swap Rate

  US0001M  

1 Month USD Swap Rate

BADLARPP  

Argentina Badlar Floating Rate Notes

  H15T1Y  

1 Year US Treasury Yield Curve Constant Maturity Rate

  US0003M  

3 Month USD Swap Rate

BP0003M  

3 Month GBP-LIBOR

  LIBOR01M  

1 Month USD-LIBOR

  US0006M  

6 Month USD Swap Rate

CDX.HY  

Credit Derivatives Index - High Yield

  LIBOR03M  

3 Month USD-LIBOR

  US0012M  

12 Month USD Swap Rate

Other Abbreviations:

               
ABS  

Asset-Backed Security

  CDI  

Brazil Interbank Deposit Rate

  PIK  

Payment-in-Kind

ALT  

Alternate Loan Trust

  CDO  

Collateralized Debt Obligation

  REMIC  

Real Estate Mortgage Investment Conduit

BABs  

Build America Bonds

  CLO  

Collateralized Loan Obligation

  SP - ADR  

Sponsored American Depositary Receipt

BBR  

Bank Bill Rate

  DAC  

Designated Activity Company

  TBA  

To-Be-Announced

BBSW  

Bank Bill Swap Reference Rate

  EURIBOR  

Euro Interbank Offered Rate

  TBD  

To-Be-Determined

CBO  

Collateralized Bond Obligation

  LIBOR  

London Interbank Offered Rate

  TBD%  

Interest rate to be determined when loan settles

 

  ANNUAL REPORT   JUNE 30, 2018   131


Federal Income Tax Information

 

(Unaudited)

 

As required by the Code and Treasury Regulations, if applicable, shareholders must be notified within 60 days of the Funds’ fiscal year end regarding the status of qualified dividend income and the dividend received deduction.

 

Dividend Received Deduction. Corporate shareholders are generally entitled to take the dividend received deduction on the portion of a Funds’ dividend distribution that qualifies under tax law. The percentage of the following Funds’ Fiscal 2018 ordinary income dividend that qualifies for the corporate dividend received deduction is set forth below:

 

Qualified Dividend Income. Under the Jobs and Growth Tax Relief Reconciliation Act of 2003 (the “2003 Act”), the following percentage of ordinary dividends paid during the fiscal year ended June 30, 2018 was designated as ‘qualified dividend income’ as defined in the 2003 Act subject to reduced tax rates in 2018:

 

Qualified Interest Income and Qualified Short-Term Capital Gain (for non-U.S. resident shareholders only). Under the American Jobs Creation Act of 2004, the following amounts of ordinary dividends paid during the fiscal year ended June 30, 2018 are considered to be derived from “qualified interest income,” as defined in Section 871(k)(1)(E) of the Code, and therefore are designated as interest-related dividends, as defined in Section 871(k)(1)(C) of the Code. Further, the following amounts of ordinary dividends paid during the fiscal year ended June 30, 2018 are considered to be derived from “qualified short-term capital gain,” as defined in Section 871(k)(2)(D) of the Code, and therefore are designated as qualified short-term gain dividends, as defined by Section 871(k)(2)(C) of the Code.

 

            Dividend
Received
Deduction %
     Qualified
Dividend
Income %
     Qualified
Interest
Income
(000s)
     Qualified
Short-Term
Capital Gain
(000s)
 

PCM Fund, Inc.

        0%        0%      $ 9,774      $ 0  

PIMCO Global StocksPLUS® & Income Fund

        0%        0%        8,378        0  

PIMCO Income Opportunity Fund

        0%        2.19%        17,458        0  

PIMCO Strategic Income Fund, Inc.

        0%        0%        13,583        0  

PIMCO Dynamic Credit and Mortgage Income Fund

        0%        0%            135,051            0  

PIMCO Dynamic Income Fund

        0%        0%        69,981        0  

 

  

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

 

Shareholders are advised to consult their own tax advisor with respect to the tax consequences of their investment in the Funds. In January 2019, you will be advised on IRS Form 1099-DIV as to the federal tax status of the dividends and distributions received by you in calendar year 2018.

 

132   PIMCO CLOSED-END FUNDS     


Shareholder Meeting Results

 

(Unaudited)

 

Annual Shareholder Meeting Results

 

PCM Fund, Inc., PIMCO Income Opportunity Fund and PIMCO Dynamic Credit and Mortgage Income Fund held their annual meetings of shareholders on April 27, 2018. Shareholders voted as indicated below:

 

PIMCO Income Opportunity Fund          Affirmative      Withheld
Authority
 

Re-election of Deborah A. DeCotis — Class I to serve until the annual Meeting held during the 2020-2021 fiscal year

       13,043,335        432,618  

Re-election of Hans W. Kertess — Class I to serve until the annual Meeting held during the 2020-2021 fiscal year

       13,017,642        458,311  

Re-election of William B. Ogden, IV — Class I to serve until the annual Meeting held during the 2020-2021 fiscal year

 

       13,028,055        447,898  

The other members of the Board of Trustees at the time of the meeting, namely, Messrs. Bradford K. Gallagher, James A. Jacobson, Alan Rappaport, John C. Maney and Craig A. Dawson continued to serve as Trustees of the Fund.

 

PCM Fund, Inc.          Affirmative      Withheld
Authority
 

Re-election of Craig A. Dawson — Class III to serve until the annual meeting held during the 2020-2021 fiscal year

       10,039,173        182,146  

Re-election of Deborah A. DeCotis — Class III to serve until the annual Meeting held during the 2020-2021 fiscal year

       10,019,024        202,295  

Re-election of Alan Rappaport — Class III to serve until the annual Meeting held during the 2020-2021 fiscal year

 

       10,041,803        179,516  

The other members of the Board of Directors at the time of the meeting, namely, Messrs. Bradford K. Gallagher, Hans W. Kertess, James A. Jacobson, William B. Ogden, IV and John C. Maney continued to serve as Directors of the Fund.

 

 

Interested Trustee

 

PIMCO Dynamic Credit and Mortgage Income Fund          Affirmative      Withheld
Authority
 

Re-election of Craig A. Dawson — Class II to serve until the annual Meeting held during the 2020-2021 fiscal year

       116,631,653        1,941,105  

Re-election of Bradford K. Gallagher — Class II to serve until the annual Meeting held during the 2020-2021 fiscal year

       116,301,315        2,271,443  

Re-election of James A. Jacobson — Class II to serve until the annual Meeting held during the 2020-2021 fiscal year

 

       116,578,603        1,994,155  

The other members of the Board of Trustees at the time of the meeting, namely, Ms. Deborah A. DeCotis and Messrs. Alan Rappaport, William B. Ogden, IV, John C. Maney and Hans W. Kertess continued to serve as Trustees of the Fund.

 

 

Interested Trustee

 

Annual Shareholder Meeting Results

 

PIMCO Strategic Income Fund, Inc., PIMCO Global StocksPLUS & Income Fund and PIMCO Dynamic Income Fund held their annual meetings of shareholders on June 29, 2018. Shareholders voted as indicated below.

 

PIMCO Global StocksPLUS & Income Fund          Affirmative      Withheld
Authority
 

Election of Craig A. Dawson — Class I to serve until the annual meeting held during the 2020-2021 fiscal year

       9,586,026        508,092  

Re-election of Hans W. Kertess — Class I to serve until the annual meeting held during the 2020-2021 fiscal year

       9,585,819        508,299  

Election of William B. Ogden, IV — Class I to serve until the annual Meeting held during the 2020-2021 fiscal year

       8,739,510        1,354,608  

 

The other members of the Board of Trustees at the time of the meeting, namely, Ms. Deborah A. DeCotis and Messrs. Alan Rappaport, Bradford K. Gallagher, James A. Jacobson and John C. Maney continued to serve as Trustees of the Fund.

 

 

Interested Trustee

 

PIMCO Dynamic Income Fund          Affirmative      Withheld
Authority
 

Re-election of Deborah A. DeCotis — Class III to serve until the annual meeting held during the 2020-2021 fiscal year

       44,475,913        787,658  

Re-election of Hans W. Kertess — Class III to serve until the annual meeting held during the 2020-2021 fiscal year

       44,406,628        856,943  

Re-election of John C. Maney — Class I to serve until the annual Meeting held during the 2018-2019 fiscal year

       44,543,301        720,270  

 

The other members of the Board of Trustees at the time of the meeting, namely, Messrs. Bradford K. Gallagher, James A. Jacobson, Craig A. Dawson, William B. Ogden, IV and Alan Rappaport continued to serve as Trustees of the Fund.

 

 

Interested Trustee

 

  ANNUAL REPORT   JUNE 30, 2018   133


Shareholder Meeting Results (Cont.)

 

(Unaudited)

 

 

PIMCO Strategic Income Fund, Inc.           Affirmative      Withheld
Authority
 

Re-election of Craig A. Dawson — Class III to serve until the annual Meeting held during the 2020-2021 fiscal year

        37,471,072        1,330,464  

Re-election of Deborah A. DeCotis — Class III to serve until the annual Meeting held during the 2020-2021 fiscal year

        37,502,517        1,284,479  

Re-election of Alan Rappaport — Class III to serve until the annual Meeting held during the 2020-2021 fiscal year

        37,468,417        1,318,579  

 

The other members of the Board of Directors at the time of the meeting, namely, Messrs. Bradford K. Gallagher, Hans W. Kertess, James A. Jacobson, William B. Ogden, IV and John C. Maney continued to serve as Directors of the Fund.

 

 

Interested Trustee

 

134   PIMCO CLOSED-END FUNDS     


Changes to Boards of Trustees/Changes to Portfolio Managers

 

(Unaudited)

 

Changes to Boards of Trustees

 

Effective June 29, 2018, Mr. Hans W. Kertess, who was previously a Class I Trustee of PIMCO Dynamic Income Fund, became a Class III Trustee of PIMCO Dynamic Income Fund and Mr. John C. Maney, who was previously a Class III Trustee of PIMCO Dynamic Income Fund, became a Class I Trustee of PIMCO Dynamic Income Fund.

 

Changes to Portfolio Managers

 

Effective March 16, 2018, Sai S. Devbhaktuni resigned as a portfolio manager of PIMCO Dynamic Credit and Mortgage Income Fund.

 

  ANNUAL REPORT   JUNE 30, 2018   135


Dividend Reinvestment Plan

 

Each Fund has adopted a Dividend Reinvestment Plan (the “Plan”) which allows common shareholders to reinvest Fund distributions in additional common shares of the Fund. American Stock Transfer & Trust Company, LLC (the “Plan Agent”) serves as agent for common shareholders in administering the Plan. It is important to note that participation in the Plan and automatic reinvestment of Fund distributions does not ensure a profit, nor does it protect against losses in a declining market.

 

Automatic enrollment/voluntary participation  Under the Plan, common shareholders whose shares are registered with the Plan Agent (“registered shareholders”) are automatically enrolled as participants in the Plan and will have all Fund distributions of income, capital gains and returns of capital (together, “distributions”) reinvested by the Plan Agent in additional common shares of a Fund, unless the shareholder elects to receive cash. Registered shareholders who elect not to participate in the Plan will receive all distributions in cash paid by check and mailed directly to the shareholder of record (or if the shares are held in street or other nominee name, to the nominee) by the Plan Agent. Participation in the Plan is voluntary. Participants may terminate or resume their enrollment in the Plan at any time without penalty by notifying the Plan Agent online at www.astfinancial.com, by calling (844) 33-PIMCO, by writing to the Plan Agent, American Stock Transfer & Trust Company, LLC, at P.O. Box 922, Wall Street Station, New York, NY 10269-0560, or, as applicable, by completing and returning the transaction form attached to a Plan statement. A proper notification will be effective immediately and apply to each Fund’s next distribution if received by the Plan Agent at least three (3) days prior to the record date for the distribution; otherwise, a notification will be effective shortly following the Fund’s next distribution and will apply to the Fund’s next succeeding distribution thereafter. If you withdraw from the Plan and so request, the Plan Agent will arrange for the sale of your shares and send you the proceeds, minus a transaction fee and brokerage commissions.

 

How shares are purchased under the Plan  For each Fund distribution, the Plan Agent will acquire common shares for participants either (i) through receipt of newly issued common shares from each Fund (“newly issued shares”) or (ii) by purchasing common shares of the Fund on the open market (“open market purchases”). If, on a distribution payment date, the net asset value per common share of a Fund (“NAV”) is equal to or less than the market price per common share plus estimated brokerage commissions (often referred to as a “market premium”), the Plan Agent will invest the distribution amount on behalf of participants in newly issued shares at a price equal to the greater of (i) NAV or (ii) 95% of the market price per common share on the payment date. If the NAV is greater than the

market price per common shares plus estimated brokerage commissions (often referred to as a “market discount”) on a distribution payment date, the Plan agent will instead attempt to invest the distribution amount through open market purchases. If the Plan Agent is unable to invest the full distribution amount in open market purchases, or if the market discount shifts to a market premium during the purchase period, the Plan Agent will invest any un-invested portion of the distribution in newly issued shares at a price equal to the greater of (i) NAV or (ii) 95% of the market price per share as of the last business day immediately prior to the purchase date (which, in either case, may be a price greater or lesser than the NAV per common shares on the distribution payment date). No interest will be paid on distributions awaiting reinvestment. Under the Plan, the market price of common shares on a particular date is the last sales price on the exchange where the shares are listed on that date or, if there is no sale on the exchange on that date, the mean between the closing bid and asked quotations for the shares on the exchange on that date.

 

The NAV per common share on a particular date is the amount calculated on that date (normally at the close of regular trading on the New York Stock Exchange) in accordance with each Fund’s then current policies.

 

Fees and expenses  No brokerage charges are imposed on reinvestments in newly issued shares under the Plan. However, all participants will pay a pro rata share of brokerage commissions incurred by the Plan Agent when it makes open market purchases. There are currently no direct service charges imposed on participants in the Plan, although each Fund reserves the right to amend the Plan to include such charges. The Plan Agent imposes a transaction fee (in addition to brokerage commissions that are incurred) if it arranges for the sale of your common shares held under the Plan.

 

Shares held through nominees  In the case of a registered shareholder such as a broker, bank or other nominee (together, a “nominee”) that holds common shares for others who are the beneficial owners, the Plan Agent will administer the Plan on the basis of the number of common shares certified by the nominee/record shareholder as representing the total amount registered in such shareholder’s name and held for the account of beneficial owners who are to participate in the Plan. If your common shares are held through a nominee and are not registered with the Plan Agent, neither you nor the nominee will be participants in or have distributions reinvested under the Plan. If you are a beneficial owner of common shares and wish to participate in the Plan, and your nominee is unable or unwilling to become a registered shareholder and a Plan participant on your behalf, you may request that your nominee arrange to have all or a portion of your shares re-registered with the Plan Agent in your

 

 

136   PIMCO CLOSED-END FUNDS     


(Unaudited)

 

name so that you may be enrolled as a participant in the Plan. Please contact your nominee for details or for other possible alternatives. Participants whose shares are registered with the Plan Agent in the name of one nominee firm may not be able to transfer the shares to another firm and continue to participate in the Plan.

 

Tax consequences  Automatically reinvested dividends and distributions are taxed in the same manner as cash dividends and distributions — i.e., automatic reinvestment in additional shares does not relieve shareholders of, or defer the need to pay, any income tax that may be payable (or that is required to be withheld) on Fund dividends and distributions. The Funds and the Plan Agent reserve the right to amend or terminate the Plan. Additional information about the Plan, as well as a copy of the full Plan itself, may be obtained from the Plan Agent, American Stock Transfer & Trust Company, LLC, at P.O. Box 922, Wall Street Station, New York, NY 10269-0560; telephone number: (844) 33-PIMCO; www.astfinancial.com.

 

 

  ANNUAL REPORT   JUNE 30, 2018   137


Management of the Funds

 

The chart below identifies Trustees/Directors and Officers of the Funds. Unless otherwise indicated, the address of all persons below is c/o Pacific Investment Management Company LLC, 1633 Broadway, New York, New York 10019.

 

Trustees/Directors

 

Name And
Year of Birth
  Position(s)
Held
with the
Funds
  Term of
Office and
Length of
Time Served
 

Principal Occupation(s)

During the Past 5 Years

  Number
of Portfolios
in Fund
Complex
Overseen by
Trustee/
Director
   Other
Directorships
Held by
Trustee/Director
During the
Past 5 Years
Independent Trustees/Director

Hans W. Kertess

1939

 

Chairman of the

Board, Trustee/Director

  Director of PCM and RCS since 2008, Trustee of PCI since 2013, Trustee of PGP since 2005, Trustee of PKO since 2007 and Trustee of PDI since 2012, expected to stand for re-election at the annual meeting of shareholders held during the 2019-2020 fiscal year for PCM, PCI, and RCS and the 2020-2021 fiscal year for PKO, PDI and PGP.   President, H. Kertess & Co., a financial advisory company; and Senior Adviser (formerly Managing Director), Royal Bank of Canada Capital Markets (since 2004).   93    None

Deborah A. DeCotis

1952

  Trustee/Director   Trustee/Director of RCS, PGP, PCM and PKO since 2011, Trustee of PDI since 2012 and Trustee of PCI since 2013, expected to stand for re-election at the annual meeting of shareholders held during the 2018-2019 fiscal year for PCI, the 2019-2020 fiscal year for PGP and the 2020-2021 fiscal year for PCM, PKO, RCS and PDI.   Advisory Director, Morgan Stanley & Co., Inc. (since 1996); Member, Circle Financial Group (since 2009); and Member, Council on Foreign Relations (since 2013); Trustee, Smith College (since 2017); and Director, Watford Re (since 2017). Formerly, Co-Chair Special Projects Committee, Memorial Sloan Kettering (2005-2015); Trustee, Stanford University (2010-2015); Principal, LaLoop LLC, a retail accessories company (1999-2014); Director, Helena Rubenstein Foundation (1997-2010); and Director, Armor Holdings (2002-2010).   93    None

Bradford K. Gallagher

1944

  Trustee/Director   Trustee/Director of RCS, PCM, PGP and PKO since 2010, Trustee of PDI since 2012 and Trustee of PCI since 2013, expected to stand for re-election at the annual meeting of shareholders held during the 2018-2019 fiscal year for PGP, the 2019-2020 fiscal year for RCS, PKO, PDI and PCM and the 2020-2021 fiscal year for PCI.   Retired. Founder, Spyglass Investments LLC, a private investment vehicle (since 2001). Formerly, Chairman and Trustee, The Common Fund (2005-2014); Partner, New Technology Ventures Capital Management LLC, a venture capital fund (2011-2013); Chairman and Trustee, Atlantic Maritime Heritage Foundation (2007-2012); and Founder, President and CEO, Cypress Holding Company and Cypress Tree Investment Management Company (1995-2001).   93    Formerly, Chairman and Trustee of Grail Advisors ETF Trust (2009-2010); and Trustee of Nicholas- Applegate Institutional Funds (2007-2010).

James A. Jacobson

1945

  Trustee/Director   Trustee/Director of RCS, PCM, PGP and PKO since 2009, Trustee of PDI since 2012 and Trustee of PCI since 2013, expected to stand for re-election at the annual meeting of shareholders held during the 2018-2019 fiscal year for RCS, PGP, PCM and PKO, the 2019-2020 fiscal year for PDI and the 2020-2021 fiscal year for PCI.   Retired. Trustee (since 2002) and Chairman of Investment Committee (since 2007), Ronald McDonald House of New York; and Trustee, New Jersey City University (since 2014). Formerly, Vice Chairman and Managing Director, Spear, Leeds & Kellogg Specialists, LLC, a specialist firm on the New York Stock Exchange (2003-2008).   93    Formerly, Trustee, Alpine Mutual Funds Complex consisting of 18 funds.

William B. Ogden, IV

1945

  Trustee/Director   Trustee/Director of PCM, RCS and PKO since 2008, Trustee of PGP since 2006, Trustee of PDI since 2012 and Trustee of PCI since 2013, expected to stand for reelection at the annual meeting of shareholders held during the 2018-2019 fiscal year for RCS, PCM and PDI, the 2019-2020 fiscal year for PCI and the 2020-2021 fiscal year for PKO and PGP.   Retired. Formerly, Asset Management Industry Consultant; and Managing Director, Investment Banking Division of Citigroup Global Markets Inc.   93    None

 

138   PIMCO CLOSED-END FUNDS     


 

(Unaudited)

 

Name And
Year of Birth
  Position(s)
Held
with the
Funds
  Term of
Office and
Length of
Time Served
 

Principal Occupation(s)

During the Past 5 Years

  Number
of Portfolios
in Fund
Complex
Overseen by
Trustee/
Director
   Other
Directorships
Held by
Trustee/Director
During the
Past 5 Years

Alan Rappaport

1953

  Trustee/Director   Trustee/Director of RCS, PCM, PGP and PKO since 2010, Trustee of PDI since 2012 and Trustee of PCI since 2013, expected to stand for re-election at the annual meeting of shareholders held during the 2018-2019 fiscal year for PDI, the 2019-2020 fiscal year for PGP, PCI and PKO, and the 2020-2021 fiscal year for RCS and PCM.   Advisory Director (formerly Vice Chairman), Roundtable Investment Partners (since 2009); Adjunct Professor, New York University Stern School of Business (since 2011); Lecturer, Stanford University Graduate School of Business (since 2013); and Director, Victory Capital Holdings, Inc., an asset management firm (since 2013). Formerly, Member of Board of Overseers, NYU Langone Medical Center (2015-2016); Trustee, American Museum of Natural History (2005-2015); Trustee, NYU Langone Medical Center (2007-2015); Vice Chairman (formerly Chairman and President), U.S. Trust (formerly Private Bank of Bank of America, the predecessor entity of U.S. Trust) (2001-2008).   93    None
Interested Trustees/Directors

Craig A. Dawson*

1968

  Trustee/Director   Trustee/Director of the Funds since 2014, expected to stand for re-election at the annual meeting of shareholders held during the 2019-2020 fiscal year for PDI and PKO and the 2020-2021 fiscal year for RCS, PGP, PCI and PCM.   Managing Director and Head of PIMCO Europe, Middle East and Africa (since 2016). Director of a number of PIMCO’s Europeans investment vehicles and affiliates (since 2008). Formerly, Head of Strategic Business Management, PIMCO (2014-2016), head of PIMCO’s Munich office and head of European product management for PIMCO.   27    None

John C. Maney**

1959

  Trustee/Director   Director of RCS and PCM since 2008, Trustee of PGP since 2006, Trustee of PKO since 2007, Trustee of PDI since 2012 and Trustee of PCI since 2013, expected to stand for re-election at the annual meeting of shareholders held during the 2018-2019 fiscal year for PCI, PDI, PKO and PGP, and the 2019-2020 fiscal year for PCM and RCS.   Managing Director of Allianz Asset Management of America L.P. (since January 2005) and a member of the Management Board and Chief Operating Officer of Allianz Asset Management of America L.P. (since November 2006). Formerly, Member of the Management Board of Allianz Global Investors Fund Management LLC (2007-2014) and Managing Director of Allianz Global Investors Fund Management LLC (2011-2014).   27    None

 

*

Mr. Dawson is an “interested person” of the Funds, as defined in Section 2(a)(19) of the Act, due to his affiliation with PIMCO and its affiliates. Mr. Dawson’s address is 11 Baker Street London, WIU 3AH GBR.

**

Mr. Maney is an “interested person” of the Funds, as defined in Section 2(a)(19) of the Act, due to his affiliation with Allianz Asset Management of America L.P. and its affiliates. Mr. Maney’s address is 680 Newport Center Drive, Suite 250, Newport Beach, CA 92660.

 

  ANNUAL REPORT   JUNE 30, 2018   139


Management of the Funds (Cont.)

 

(Unaudited)

 

 

Officers

 

Name, Address and
Year of Birth
   Position(s)
Held
with Funds
  Term of Office
and Length
of Time Served
   Principal Occupation(s) During the Past 5 Years

Peter G. Strelow1

1970

   President   Since 2014    Managing Director and Co-Chief Operating Officer, PIMCO. President, PIMCO-Managed Funds, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series and PIMCO Equity Series VIT. Formerly, Chief Administrative Officer, PIMCO.

Keisha Audain-Pressley

1975

   Chief Compliance Officer   Since 2018    Senior Vice President and Deputy Chief Compliance Officer, PIMCO. Chief Compliance Officer, PIMCO-Managed Funds.

Joshua D. Ratner

1976

   Vice President, Secretary and Chief Legal Officer   Since 2014    Executive Vice President and Deputy General Counsel, PIMCO. Chief Legal Officer, PIMCO Investments LLC. Vice President, Secretary and Chief Legal Officer, PIMCO-Managed Funds. Vice President - Senior Counsel, Secretary, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series and PIMCO Equity Series VIT.

Ryan G. Leshaw1

1980

   Assistant Secretary   Since 2014    Senior Vice President and Senior Counsel, PIMCO. Assistant Secretary, PIMCO-Managed Funds, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series and PIMCO Equity Series VIT. Formerly, Associate, Willkie Farr & Gallagher LLP.

Wu-Kwan Kit1

1981

   Assistant Secretary   Since March 2017    Vice President and Counsel, PIMCO. Assistant Secretary, PIMCO-Managed Funds, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series and PIMCO Equity Series VIT. Formerly, Assistant General Counsel, VanEck Associates Corp.

Stacie D. Anctil1

1969

   Vice President   Since 2015    Executive Vice President, PIMCO. Vice President, PIMCO-Managed Funds, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series and PIMCO Equity Series VIT.

Eric D. Johnson1

1970

   Vice President   Since 2014    Executive Vice President, PIMCO. Vice President, PIMCO-Managed Funds, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series and PIMCO Equity Series VIT.

William G. Galipeau1

1974

  

Vice President

 

Since December 2017

   Executive Vice President, PIMCO. Vice President, PIMCO-Managed Funds, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series and PIMCO Equity Series VIT.

Bijal Parikh1

1978

   Vice President   Since March 2017    Senior Vice President, PIMCO. Vice President, PIMCO-Managed Funds, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust and PIMCO Equity Series.

Trent W. Walker1

1974

  

Treasurer

 

Since December 2017

   Executive Vice President, PIMCO. Treasurer, PIMCO-Managed Funds, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series and PIMCO Equity Series VIT.

Erik C. Brown1

1967

   Assistant Treasurer   Since 2015    Executive Vice President, PIMCO. Assistant Treasurer, PIMCO-Managed Funds, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series and PIMCO Equity Series VIT.

Colleen Miller

1980

   Assistant Treasurer   Since March 2017    Senior Vice President, PIMCO. Assistant Treasurer, PIMCO-Managed Funds, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series and PIMCO Equity Series VIT. Formerly, Vice President, Cohen & Steers Capital Management.

Christopher M. Morin1

1980

   Assistant Treasurer   Since 2016    Senior Vice President, PIMCO. Assistant Treasurer, PIMCO-Managed Funds, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series and PIMCO Equity Series VIT.

Jason J. Nagler

1982

   Assistant Treasurer   Since 2015    Vice President, PIMCO. Assistant Treasurer, PIMCO-Managed Funds, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series and PIMCO Equity Series VIT. Formerly, Head of Mutual Fund Reporting, GMO, and Assistant Treasurer, GMO Trust and GMO Series Trust Funds.

 

1 

The address of these officers is Pacific Investment Management Company LLC, 650 Newport Center Drive, Newport Beach, California 92660.

 

140   PIMCO CLOSED-END FUNDS     


Approval of Investment Management Agreement

 

(Unaudited)

 

At an in-person meeting held on June 14, 2018 (the “Approval Meeting”), the Board of Trustees or Directors (for purposes of this disclosure, all Board members are hereinafter referred to as “Trustees”) of the Funds (the “Board”), including the Trustees who are not interested persons (as that term is defined in the Investment Company Act of 1940) of the Funds or PIMCO (the “Independent Trustees”), formally considered and unanimously approved the continuation of the Investment Management Agreement between each Fund and PIMCO (the “Agreement”) for an additional one-year period commencing on August 1, 2018. Prior to the Approval Meeting, the Contracts Committee of the Board of each Fund (together, the “Committee”) held an in-person meeting on June 14, 2018 (the “Committee Meeting”) and formally considered and recommended to the Board the continuation of the Agreement for each Fund. Prior to the Approval Meeting, on May 11, 2018, the Chair and another member of the Committee participated in a conference call with members of management and PIMCO personnel and counsel to the Independent Trustees (“Independent Counsel”) to discuss the process for the Board’s review of the Agreement and to consider certain information relating to the Funds, including, among other information, information relating to PIMCO’s estimated profitability with respect to the Agreement, comparative fees and expenses and Fund performance. On May 16, 2018, PIMCO provided materials to the Committee for its consideration of the Agreement in response to a request from Independent Counsel (the “Manager Request Letter”), as well as other materials and information PIMCO believed was useful in evaluating the continuation of the Agreement. On May 23, 2018, the Committee held a meeting via conference call (collectively with the May 11, 2018 conference call, the Committee Meeting and the Approval Meeting, the “Contract Renewal Meetings”), at which the members of the Committee, all of whom are Independent Trustees, considered the materials and information provided by PIMCO bearing on the continuation of the Agreement. The Committee also received and reviewed a memorandum from counsel to the Funds regarding the Trustees’ responsibilities in evaluating the Agreement, which they discussed with Independent Counsel.

 

Following the presentation at the Committee Meeting, the Independent Trustees met separately in executive session with Independent Counsel to review and discuss all relevant information, including, but not limited to, information provided in response to the Manager Request Letter and information presented and discussed at the prior Contract Renewal Meetings.

 

In connection with their deliberations regarding the proposed continuation of the Agreement for each Fund, the Trustees, including the Independent Trustees, considered such information and factors as they believed, in light of the legal advice furnished to them and their own business judgment, to be relevant. The Trustees also considered

the nature, quality and extent of the various investment management, administrative and other services performed by PIMCO under the Agreement.

 

It was noted that, in connection with their Contract Renewal Meetings, the Trustees relied upon materials provided by PIMCO which included, among other items: (i) information provided by Broadridge Financial Solutions, Inc./Lipper Inc. (“Lipper”), an independent third party, on the total return investment performance (based on net asset value and common share market price) of each Fund for various time periods, presented through comparisons to the investment performance of a group of funds identified by Lipper with investment classifications/objectives comparable to those of the Fund (for each Fund, its “Lipper Performance Universe”), (ii) information provided by Lipper on each Fund’s management fees and other expenses under the Agreement and the management fees and other expenses of a smaller sample of comparable funds with different investment advisers identified by Lipper (for each Fund, its “Lipper Expense Group”) as well as of a larger sample of comparable funds identified by Lipper (for each Fund, its “Lipper Expense Universe”), (iii) information regarding the market value performance of each Fund’s common shares and related share price premium and/or discount information, (iv) information regarding the investment performance and fees for other funds and accounts managed by PIMCO, if any, with similar investment strategies to those of the Funds, (v) the estimated profitability to PIMCO with respect to each Fund for the one-year period ended December 31, 2017, (vi) descriptions of various functions performed by PIMCO for the Funds, such as portfolio management, compliance monitoring and portfolio trading practices, (vii) information regarding PIMCO’s compliance policies applicable to the Funds, (viii) information regarding the Funds’ use of leverage, (ix) information regarding any economies of scale reached in the operation of the Funds, including in connection with at-the-market offerings contemplated by certain Funds, (x) summaries assigning a quadrant placement to each Fund based on an average of certain measures of performance and fees/expenses versus Lipper peer group medians (the “Fund Scoring Summaries”), (xi) fact cards for each Fund that included summary information regarding each Fund, (xii) information regarding the comparative yields of the Funds, (xiii) information regarding the risk-adjusted returns of the Funds, (xiv) possible “fall-out” benefits to PIMCO from its relationship with the Funds, and (xv) information regarding the overall organization of PIMCO, including information regarding senior management, portfolio managers and other personnel providing investment management, administrative, compliance and other services to the Funds.

 

The Trustees’ conclusions as to the continuation of the Agreement were based on a comprehensive consideration of all information provided to the Trustees and were not the result of any single factor. Some of the

 

 

  ANNUAL REPORT   JUNE 30, 2018   141


Approval of Investment Management Agreement (Cont.)

 

factors that figured particularly in the Trustees’ deliberations are described below, although individual Trustees may have evaluated the information presented differently from one another, attributing different weights to various factors.

 

As part of their review, the Trustees examined PIMCO’s abilities to provide high-quality investment management and other services to the Funds. Among other information, the Trustees considered the investment philosophy and research and decision-making processes of PIMCO; the experience of key advisory personnel of PIMCO responsible for portfolio management of the Funds; the ability of PIMCO to attract and retain capable personnel; and the capabilities of the senior management and staff of PIMCO. In addition, the Trustees reviewed the quality of PIMCO’s services with respect to regulatory compliance and compliance with the investment policies of the Funds; the nature and quality of the supervisory and administrative services PIMCO is responsible for providing to the Funds; and conditions that might affect PIMCO’s ability to provide high-quality services to the Funds in the future under the Agreement, including PIMCO’s financial condition and operational stability. Based on the foregoing, the Trustees concluded that PIMCO’s investment process, research capabilities and philosophy are well suited to the Funds given their investment objectives and policies, and that PIMCO would be able to continue to meet any reasonably foreseeable obligations under the Agreement.

 

In assessing the reasonableness of each Fund’s fees under the Agreement, the Trustees considered, among other information, the Fund’s management fee and its total expense ratio as a percentage of average net assets attributable to common shares and as a percentage of average managed assets (including assets attributable to common shares and leverage outstanding combined), and the management fee and total expense ratios of the Lipper Expense Group and Lipper Expense Universe for each Fund. In each case, the total expense ratio information was provided both inclusive and exclusive of interest and borrowing expenses. Fund-specific comparative fees/expenses reviewed by the Trustees are discussed below. The Fund-specific fee and expense results discussed below were prepared and provided by Lipper and were not independently verified by the Trustees.

 

The Trustees specifically took note of how each Fund compared to its Lipper peers as to performance, management fee expense and total expense ratio. The Trustees noted that, while the Funds are not currently charged a separate administration fee (recognizing that their management fees include a component for administrative services under the unitary fee arrangements), it was not clear in all cases whether the peer funds in the Lipper categories were separately charged such a fee by their investment managers, so that the total expense ratio, as opposed to any individual expense component, represented the most relevant comparison. The Trustees also

considered that the total expense ratio seems to provide a more apt comparison than management fee expense because the Funds’ unitary fee arrangements cover other supervisory and administrative services required by the Fund that are typically paid for or incurred by peer closed-end funds directly in addition to a fund’s management fee (such fees and expenses, “Operating Expenses”) as discussed below. It was noted that the total expense ratio comparisons reflect the effect of expense waivers/reimbursements, if any. The Trustees considered total expense ratio comparisons both including and excluding interest and borrowing expenses. The Trustees noted that only leveraged closed-end funds were considered for inclusion in the Lipper Expense Groups and Lipper Expense Universes presented for comparison with the Funds.

 

The Trustees noted that, for each Fund, the contractual management fee rate for the Fund under its unitary fee arrangement was above the median contractual management fees of the other funds in its Lipper Expense Group, calculated both on average net assets and on average managed assets. However, in this regard, the Trustees took into account that each Fund’s unitary fee arrangement covers substantially all of the Fund’s Operating Expenses and therefore, all other things being equal, would tend to be higher than the contractual management fee rates of other funds in the applicable Lipper Expense Group, which generally do not have a unitary fee structure and bear Operating Expenses directly and in addition to the management fee. The Trustees determined that a review of each Fund’s total expense ratio with the total expense ratios of peer funds would generally provide more meaningful comparisons than considering contractual management fee rates in isolation.

 

In this regard, the Trustees noted PIMCO’s view that the unitary fee arrangements have benefited and will continue to benefit common shareholders because they provide a management fee expense structure (including Operating Expenses) that is essentially fixed for the duration of the contractual period as a percentage of either managed assets (including assets attributable to preferred shares and certain other forms of leverage) or net assets (including assets attributable to preferred shares), as applicable, making it more predictable under ordinary circumstances in comparison to other fee and expense structures, under which the Funds’ Operating Expenses (including certain third-party fees and expenses) could vary significantly over time. The Trustees also considered that the unitary fee arrangements generally insulate the Funds and common shareholders from increases in applicable third-party and certain other expenses because PIMCO, rather than the Funds, would bear the risk of such increases (though the Trustees also noted that PIMCO would benefit from any reductions in such expenses).

 

Fund-specific comparative performance results for the Funds reviewed by the Trustees are discussed below. The comparative performance

 

 

142   PIMCO CLOSED-END FUNDS     


(Unaudited)

 

information was prepared and provided by Lipper and was not independently verified by the Trustees. Due to the passage of time, these performance results may differ from the performance results for more recent periods. With respect to all Funds, the Trustees reviewed, among other information, comparative information showing performance of the Funds against the Lipper Performance Universes for the one-year, three-year, five-year and ten-year periods (to the extent each such Fund had been in existence) ended December 31, 2017. The Trustees also reviewed the Fund Scoring Summaries prepared by PIMCO at the Independent Trustees’ request comparing each Fund’s fees/expenses against those of its Lipper Expense Universe and performance against that of its Lipper Performance Universe, by identifying a quadrant designation based on the average of six different measures of fees/expenses versus performance (one-year, three-year and five-year performance for the period ended December 31, 2017, in each case, versus a Fund’s management fees or total expense ratio). The Fund Scoring Summaries were based on net assets, one showing total expenses inclusive of interest and borrowing expenses and the other showing total expenses exclusive of interest and borrowing expenses. In addition, the Trustees also reviewed fact cards for each Fund that included summary information regarding each Fund, including investment objective and strategy, portfolio managers, assets under management, outstanding leverage, net asset value and market performance comparisons, comparative fee and expense information, premium/discount information and information regarding PIMCO’s estimated profitability.

 

In addition, it was noted that the Trustees considered matters bearing on the Funds and their advisory arrangements at their meetings throughout the year, including a review of performance data at each regular meeting.

 

Among other information, the Trustees took into account the following regarding particular Funds.

 

PGP

 

With respect to the Fund’s common share total return performance (based on net asset value) relative to its respective Lipper Performance Universe, consisting of two funds, the Trustees noted that the Fund ranked first out of two funds for the one-year, three-year, five-year and ten-year periods ended December 31, 2017.

 

The Trustees noted that the Lipper Expense Group for the Fund consisted of a total of nine funds, including the Fund. The Trustees also noted that the average net assets of the common shares of the funds in the Lipper Expense Group ranged from $82.7 million to $240.0 million, and that six of the funds in the group were larger in asset size than the Fund. The Trustees noted that the Lipper Expense Universe for the Fund consisted of a total of 15 funds, including the Fund. The Trustees noted

that the Fund’s total expense ratio (including interest and borrowing expenses) calculated on both average managed assets and average net assets was above the median total expense ratio (including interest and borrowing expenses) of the funds in its Lipper Expense Group and Lipper Expense Universe. The Trustees noted that the Fund’s total expense ratio (excluding interest and borrowing expenses) calculated on average managed assets was below the median total expense ratio (excluding interest and borrowing expenses) of the funds in its Lipper Expense Group and Lipper Expense Universe. The Trustees noted that the Fund’s total expense ratio (excluding interest and borrowing expenses) calculated on average net assets was above the median total expense ratio (excluding interest and borrowing expenses) of the funds in its Lipper Expense Group and Lipper Expense Universe.

 

PKO

 

With respect to the Fund’s common share total return performance (based on net asset value) relative to its respective Lipper Performance Universe, consisting of 12 funds for one-year and three-year performance, 11 funds for five-year performance and seven funds for ten-year performance, the Trustees noted that the Fund had first quintile performance for the one-year, three-year, five-year and ten-year periods ended December 31, 2017.

 

The Trustees noted that the Lipper Expense Group for the Fund consisted of a total of six funds, including the Fund. The Trustees also noted that the average net assets of the common shares of the funds in the Lipper Expense Group ranged from $79.7 million to $358.1 million, and that no funds in the group were larger in asset size than the Fund. The Trustees noted that the Lipper Expense Universe for the Fund consisted of a total of 12 funds, including the Fund. The Trustees noted that the Fund’s total expense ratio (including interest and borrowing expenses) calculated on both average managed assets and average net assets was above the median total expense ratio (including interest and borrowing expenses) of the funds in its Lipper Expense Group and Lipper Expense Universe. The Trustees noted that the Fund’s total expense ratio (excluding interest and borrowing expenses) calculated on both average managed assets and average net assets was below the median total expense ratio (excluding interest and borrowing expenses) of the funds in its Lipper Expense Group. The Trustees noted that the Fund’s total expense ratio (excluding interest and borrowing expenses) calculated on both average managed assets and average net assets was above the median total expense ratio (excluding interest and borrowing expenses) of the funds in its Lipper Expense Universe.

 

PCM

 

With respect to the Fund’s common share total return performance (based on net asset value) relative to its respective Lipper Performance Universe, consisting of 32 funds for one-year performance, 27 funds for

 

 

  ANNUAL REPORT   JUNE 30, 2018   143


Approval of Investment Management Agreement (Cont.)

 

three-year performance, 23 funds for five-year performance and 17 funds for ten-year performance, the Trustees noted that the Fund had first quintile performance for the one-year, three-year and ten-year periods and second quintile performance for the five-year period ended December 31, 2017.

 

The Trustees noted that the Lipper Expense Group for the Fund consisted of a total of 13 funds, including the Fund. The Trustees also noted that the average net assets of the common shares of the funds in the Lipper Expense Group ranged from $115.2 million to $1.737 billion, and that each fund in the group was larger in asset size than the Fund. The Trustees noted that the Lipper Expense Universe for the Fund consisted of a total of 27 funds, including the Fund. The Trustees noted that the Fund’s total expense ratio (including interest and borrowing expenses) calculated on both average managed assets and average net assets was above the median total expense ratio (including interest and borrowing expenses) of the funds in its Lipper Expense Group and Lipper Expense Universe. The Trustees noted that the Fund’s total expense ratio (excluding interest and borrowing expenses) calculated on both average managed assets and average net assets was above the median total expense ratio (excluding interest and borrowing expenses) of the funds in its Lipper Expense Group and Lipper Expense Universe.

 

RCS

 

With respect to the Fund’s common share total return performance (based on net asset value) relative to its respective Lipper Performance Universe, consisting of 12 funds for one-year and three-year performance, 11 funds for five-year performance and seven funds for ten-year performance, the Trustees noted that the Fund had fourth quintile performance for the one-year period, second quintile performance for the three-year period, and first quintile performance for the five-year and ten-year periods ended December 31, 2017.

 

The Trustees noted that the Lipper Expense Group for the Fund consisted of a total of six funds, including the Fund. The Trustees also noted that the average net assets of the common shares of the funds in the Lipper Expense Group ranged from $79.7 million to $329.5 million, and that no funds in the group were larger in asset size than the Fund. The Trustees noted that the Lipper Expense Universe for the Fund consisted of a total of 12 funds, including the Fund. The Trustees noted that the Fund’s total expense ratio (including interest and borrowing expenses) calculated on both average managed assets and average net assets was below the median total expense ratio (including interest and borrowing expenses) of the funds in its Lipper Expense Group and Lipper Expense Universe. The Trustees noted that the Fund’s total expense ratio (excluding interest and borrowing expenses) calculated on both average managed assets and average net assets was below the median total expense ratio (excluding interest and borrowing

expenses) of the funds in its Lipper Expense Group and Lipper Expense Universe.

 

PCI

 

With respect to the Fund’s common share total return performance (based on net asset value) relative to its respective Lipper Performance Universe, consisting of 12 funds, the Trustees noted that the Fund had first quintile performance for the one-year and three-year periods ended December 31, 2017, and for the period from the Fund’s inception on January 31, 2013 until December 31, 2017.

 

The Trustees noted that the Lipper Expense Group for the Fund consisted of a total of six funds, including the Fund. The Trustees also noted that the average net assets of the common shares of the funds in the Lipper Expense Group ranged from $79.7 million to $2.993 billion, and that no funds in the group were larger in asset size than the Fund. The Trustees noted that the Lipper Expense Universe for the Fund consisted of a total of 12 funds, including the Fund. The Trustees noted that the Fund’s total expense ratio (including interest and borrowing expenses) calculated on both average managed assets and average net assets was above the median total expense ratio (including interest and borrowing expenses) of the funds in its Lipper Expense Group and Lipper Expense Universe. The Trustees noted that the Fund’s total expense ratio (excluding interest and borrowing expenses) calculated on average managed assets was below the median total expense ratio (excluding interest and borrowing expenses) of the funds in its Lipper Expense Group. The Trustees noted that the Fund’s total expense ratio (excluding interest and borrowing expenses) calculated on average managed assets was above the median total expense ratio (excluding interest and borrowing expenses) of the funds in its Lipper Expense Universe. The Trustees noted that the Fund’s total expense ratio (excluding interest and borrowing expenses) calculated on average net assets was above the median total expense ratio (excluding interest and borrowing expenses) of the funds in its Lipper Expense Group and Lipper Expense Universe.

 

PDI

 

With respect to the Fund’s common share total return performance (based on net asset value) relative to its respective Lipper Performance Universe, consisting of 12 funds for the one-year and three-year performance, and 11 funds for the five-year performance, the Trustees noted that the Fund had first quintile performance for the one-year, three-year and five-year periods ended December 31, 2017.

 

The Trustees noted that the Lipper Expense Group for the Fund consisted of a total of six funds, including the Fund. The Trustees also noted that the average net assets of the common shares of the funds in the Lipper Expense Group ranged from $79.7 million to $1.264 billion, and that no funds in the group were larger in asset size than the Fund.

 

 

144   PIMCO CLOSED-END FUNDS     


(Unaudited)

 

The Trustees noted that the Lipper Expense Universe for the Fund consisted of a total of 12 funds, including the Fund. The Trustees noted that the Fund’s total expense ratio (including interest and borrowing expenses) calculated on both average managed assets and average net assets was above the median total expense ratio (including interest and borrowing expenses) of the funds in its Lipper Expense Group and Lipper Expense Universe. The Trustees noted that the Fund’s total expense ratio (excluding interest and borrowing expenses) calculated on average managed assets was below the median total expense ratio (excluding interest and borrowing expenses) of the funds in its Lipper Expense Group. The Trustees noted that the Fund’s total expense ratio (excluding interest and borrowing expenses) calculated on average managed assets was above the median total expense ratio (excluding interest and borrowing expenses) of the funds in its Lipper Expense Universe. The Trustees noted that the Fund’s total expense ratio (excluding interest and borrowing expenses) calculated on average net assets was above the median total expense ratio (excluding interest and borrowing expenses) of the funds in its Lipper Expense Group and Lipper Expense Universe.

 

In addition to their review of Fund performance based on net asset value, the Trustees also considered the market value performance of each Fund’s common shares and related share price premium and/or discount information based on the materials provided by Lipper and PIMCO. The Trustees also considered information provided by PIMCO regarding the dividend yields of each Fund in comparison to funds in the following Lipper groupings as of December 31, 2017: Lipper Options Arbitrage/Option Strategies Funds (PGP), Lipper Global Income Funds (PKO, RCS, PDI and PCI), and Lipper General Bond Funds (PCM).

 

The Trustees considered the management fees charged by PIMCO to other funds and accounts with similar strategies to those of the Funds, if any. The Trustees considered information provided by PIMCO indicating that, in comparison to certain other products managed by PIMCO, including open-end funds and exchange traded funds, there are additional portfolio management challenges in managing closed-end funds such as the Funds, such as those associated with less liquid holdings, the use of leverage, issues relating to trading on a national exchange and attempting to meet a regular dividend. The Trustees were advised by PIMCO that, in light of these additional challenges, different pricing structures for closed-end funds such as the Funds and other products managed by PIMCO are to be expected, and that comparisons of pricing structures across these products may not always be apt comparisons, even where other products have similar investment objectives and strategies to those of the Funds. With respect to PGP and RCS, the Trustees were advised that PIMCO does not manage any funds or accounts which have an investment strategy or return profile that are substantially similar to those Funds.

The Trustees also took into account that all Funds, with the exception of RCS, pay management fees on assets attributable to types of leverage that they use (such as reverse repurchase agreements) under the Agreement (because each Fund’s fees, except those of RCS, are calculated based on total managed assets, including assets attributable to reverse repurchase agreements and/or certain other forms of leverage outstanding). They noted that RCS’s management fees are based on daily net assets, including net assets attributable to any preferred shares that may be outstanding, but that RCS does not have any preferred shares outstanding. In this regard, the Trustees took into account that PIMCO has a financial incentive for the Funds to continue to use leverage, which may create a conflict of interest between PIMCO, on one hand, and the Funds’ common shareholders, on the other. The Trustees considered information provided by PIMCO and related presentations as to why each Fund’s use of leverage continues to be appropriate and in the best interests of the respective Fund under current market conditions. The Trustees also considered PIMCO’s representation that it will use leverage for the Funds solely as it determines to be in the best interests of the Funds from an investment perspective and without regard to the level of compensation PIMCO receives. The Trustees noted that RCS does not pay fees on assets attributable to the types of leverage that the Fund currently employs.

 

The Trustees also considered estimated profitability analyses provided by PIMCO, which included, among other information, (i) PIMCO’s estimated pre- and post-distribution operating margin for each Fund, as well as PIMCO’s estimated pre- and post-distribution operating margin for all of the closed-end funds advised by PIMCO, including the Funds (collectively, the “Estimated Margins”), in each case for the one-year period ended December 31, 2017; (ii) a year-over-year comparison of PIMCO’s Estimated Margins for the one-year periods ended December 31, 2017, and December 31, 2016; and (iii) an overview of PIMCO’s average fee rates with respect to all of the closed-end funds advised by PIMCO, including the Funds, compared to PIMCO’s average fee rates with respect to its other clients, including PIMCO-advised separate accounts, open-end funds and hedge funds and private equity funds. The Trustees also took into account explanations from PIMCO regarding how certain corporate and shared expenses were allocated among the Funds and other funds and accounts managed by PIMCO for purposes of developing profitability estimates. Based on the profitability analyses provided by PIMCO, the Trustees determined, taking into account the various assumptions made, that such profitability did not appear to be excessive.

 

The Trustees also took into account the entrepreneurial and business risk PIMCO has undertaken as investment manager and sponsor of the Funds.

 

 

  ANNUAL REPORT   JUNE 30, 2018   145


Approval of Investment Management Agreement (Cont.)

 

(Unaudited)

 

 

The Trustees also took into account that the Funds do not currently have any breakpoints in their management fees. The Trustees considered that, as closed-end investment companies, the Funds do not continually offer new shares to raise additional assets (as does a typical open-end investment company), but may raise additional assets through periodic shelf offerings (such as the shelf offering commenced by PDI in March 2017) and may also experience asset growth through investment performance and/or the increased use of leverage. The Trustees noted that PIMCO shares the benefits of potential economies of scale with the Funds and their shareholders in a number of ways, including investing in portfolio and trade operations management, firm technology, middle and back office support, legal and compliance, and fund administration logistics; senior management supervision and governance of those services; and the enhancement of services provided to the Funds in return for fees paid. The Trustees also considered that the unitary fee arrangements provide inherent economies of scale because a Fund maintains competitive fixed unitary fees even if the particular Fund’s assets decline and/or operating costs rise. The Trustees further considered that, in contrast, breakpoints are a proxy for charging higher fees on lower asset levels and that when a fund’s assets decline, breakpoints may reverse, which causes expense ratios to increase. The Trustees also considered that, unlike the Funds’ unitary fee arrangements, funds with “pass through” administrative fee structures may experience increased expense ratios when fixed dollar fees are charged against declining fund assets. The Trustees also considered that the unitary fee arrangements protect shareholders from a rise in operating costs that may result from, including, among other things, PIMCO’s investments in various business enhancements and infrastructure. The Trustees noted that PIMCO has made extensive investments in these areas.

 

Additionally, the Trustees considered so-called “fall-out benefits” to PIMCO, such as reputational value derived from serving as investment manager to the Funds and research, statistical and quotation services PIMCO may receive from broker-dealers executing the Funds’ portfolio transactions on an agency basis.

After reviewing these and other factors described herein, the Trustees concluded, with respect to each Fund, within the context of their overall conclusions regarding the Agreement and based on the information provided and related representations made by management, that they were satisfied with PIMCO’s responses and efforts relating to the investment performance of the Funds. The Trustees also concluded that the fees payable under the Agreement represent reasonable compensation in light of the nature, extent and quality of services provided by PIMCO. Based on their evaluation of factors that they deemed to be material, including those factors described above, the Trustees, including the Independent Trustees, unanimously concluded that the continuation of the Agreement was in the interests of each Fund and its shareholders, and should be approved.

 

 

146   PIMCO CLOSED-END FUNDS     


Privacy Policy1

 

(Unaudited)

 

The Funds2 consider customer privacy to be a fundamental aspect of their relationships with shareholders and are committed to maintaining the confidentiality, integrity and security of their current, prospective and former shareholders’ non-public personal information. The Funds have developed policies that are designed to protect this confidentiality, while allowing shareholder needs to be served.

 

OBTAINING PERSONAL INFORMATION

 

In the course of providing shareholders with products and services, the Funds and certain service providers to the Funds, such as the Funds’ investment adviser or sub-adviser (“Adviser”), may obtain non-public personal information about shareholders, which may come from sources such as account applications and other forms, from other written, electronic or verbal correspondence, from shareholder transactions, from a shareholder’s brokerage or financial advisory firm, financial advisor or consultant, and/or from information captured on applicable websites.

 

RESPECTING YOUR PRIVACY

 

As a matter of policy, the Funds do not disclose any non-public personal information provided by shareholders or gathered by the Funds to non-affiliated third parties, except as required or permitted by law or as necessary for such third parties to perform their agreements with respect to the Funds. As is common in the industry, non-affiliated companies may from time to time be used to provide certain services, such as preparing and mailing prospectuses, reports, account statements and other information, conducting research on shareholder satisfaction and gathering shareholder proxies. The Funds or their affiliates may also retain non-affiliated companies to market Fund shares or products which use Fund shares and enter into joint marketing arrangements with them and other companies. These companies may have access to a shareholder’s personal and account information, but are permitted to use this information solely to provide the specific service or as otherwise permitted by law. In most cases, the shareholders will be clients of a third party, but the Funds may also provide a shareholder’s personal and account information to the shareholder’s respective brokerage or financial advisory firm and/or financial advisor or consultant.

 

SHARING INFORMATION WITH THIRD PARTIES

 

The Funds reserve the right to disclose or report personal or account information to non-affiliated third parties in limited circumstances where the Funds believe in good faith that disclosure is required under law, to cooperate with regulators or law enforcement authorities, to protect their rights or property, or upon reasonable request by any fund advised by PIMCO in which a shareholder has invested. In addition, the Funds may disclose information about a shareholder or a

shareholder’s accounts to a non-affiliated third party at the shareholder’s request or with the consent of the shareholder.

 

SHARING INFORMATION WITH AFFILIATES

 

The Funds may share shareholder information with their affiliates in connection with servicing shareholders’ accounts, and subject to applicable law may provide shareholders with information about products and services that the Funds or their Adviser or its affiliates (“Service Affiliates”) believe may be of interest to such shareholders. The information that the Funds may share may include, for example, a shareholder’s participation in the Funds or in other investment programs sponsored by a Service Affiliate, a shareholder’s ownership of certain types of accounts (such as IRAs), information about the Funds’ experiences or transactions with a shareholder, information captured on applicable websites, or other data about a shareholder’s accounts, subject to applicable law. The Funds’ Service Affiliates, in turn, are not permitted to share shareholder information with non-affiliated entities, except as required or permitted by law.

 

PROCEDURES TO SAFEGUARD PRIVATE INFORMATION

 

The Funds take seriously the obligation to safeguard shareholder non-public personal information. In addition to this policy, the Funds have implemented procedures that are designed to restrict access to a shareholder’s non-public personal information to internal personnel who need to know that information to perform their jobs, such as servicing shareholder accounts or notifying shareholders of new products or services. Physical, electronic and procedural safeguards are in place to guard a shareholder’s non-public personal information.

 

INFORMATION COLLECTED FROM WEBSITES

 

Websites maintained by the Funds or their service providers may use a variety of technologies to collect information that help the Funds and their service providers understand how the website is used. Information collected from your web browser (including small files stored on your device that are commonly referred to as “cookies”) allow the websites to recognize your web browser and help to personalize and improve your user experience and enhance navigation of the website. In addition, the Funds or their Service Affiliates may use third parties to place advertisements for the Funds on other websites, including banner advertisements. Such third parties may collect anonymous information through the use of cookies or action tags (such as web beacons). The information these third parties collect is generally limited to technical and web navigation information, such as your IP address, web pages visited and browser type, and does not include personally identifiable information such as name, address, phone number or email address. If you are a registered user of the Funds’ website, the Funds or their service providers or third party firms engaged by the Funds or their service providers may collect or share

 

 

  ANNUAL REPORT   JUNE 30, 2018   147


Privacy Policy1 (Cont.)

 

(Unaudited)

 

information submitted by you, which may include personally identifiable information. This information can be useful to the Funds when assessing and offering services and website features. You can change your cookie preferences by changing the setting on your web browser to delete or reject cookies. If you delete or reject cookies, some website pages may not function properly. The Funds do not look for web browser “do not track” requests.

 

CHANGES TO THE PRIVACY POLICY

 

From time to time, the Funds may update or revise this privacy policy. If there are changes to the terms of this privacy policy, documents containing the revised policy on the relevant website will be updated.

 

1 Amended as of February 14, 2017.

2 When distributing this Policy, a Fund may combine the distribution with any similar distribution of its investment adviser’s privacy policy. The distributed, combined policy may be written in the first person (i.e., by using “we” instead of “the Funds”).

 

 

148   PIMCO CLOSED-END FUNDS     


General Information

 

Investment Manager

Pacific Investment Management Company LLC

1633 Broadway

New York, NY 10019

 

Custodian

State Street Bank and Trust Company

801 Pennsylvania Avenue

Kansas City, MO 64105

 

Transfer Agent, Dividend Paying Agent and Registrar

American Stock Transfer & Trust Company, LLC

6201 15th Avenue

Brooklyn, NY 11219

 

Legal Counsel

Ropes & Gray LLP

Prudential Tower

800 Boylston Street

Boston, MA 02199

 

Independent Registered Public Accounting Firm

PricewaterhouseCoopers LLP

1100 Walnut Street, Suite 1300

Kansas City, MO 64106

 

This report is submitted for the general information of the shareholders of the Funds listed on the Report cover.


LOGO

 

CEF3010AR_063018


Item 2.

Code of Ethics.

As of the end of the period covered by this report, the Registrant has adopted a code of ethics (the “Code”) that applies to

the Registrant’s principal executive officer and principal financial & accounting officer. The Registrant did not grant any waivers, including implicit waivers, from any provisions of the Code to the principal executive officer or principal financial & accounting officer during the period covered by this report.

A copy of the Code is included as an exhibit to this report.

 

Item 3.

Audit Committee Financial Expert.

(a) The Board of Trustees has determined that James A. Jacobson, who serves on the Board’s Audit Oversight Committee, qualifies as an “audit committee financial expert” as such term is defined in the instructions to this Item 3. The Board has also determined that Mr. Jacobson is “independent” as such term is interpreted under this Item 3.

 

Item 4.

Principal Accountant Fees and Services.

 

(a)       Fiscal Year Ended      Audit Fees  
  June 30, 2018    $               37,070
  June 30, 2017    $   30,275
(b)  

 

Fiscal Year Ended

    

 

Audit-Related Fees(1)

  June 30, 2018    $  
  June 30, 2017    $  
(c)  

 

Fiscal Year Ended

    

 

Tax Fees(1)

  June 30, 2018    $  
  June 30, 2017    $  
(d)  

 

Fiscal Year Ended

    

 

All Other Fees(1)

  June 30, 2018    $  
  June 30, 2017    $  

“Audit Fees” represents fees billed for each of the last two fiscal years for professional services rendered for the audit and review of the Registrant’s annual financial statements for those fiscal years or services that are normally provided by the accountant in connection with statutory or regulatory filings or engagements for those fiscal years.

“Audit-Related Fees” represents fees billed for each of the last two fiscal years for assurance and related services that are reasonably related to the performance of the audit or review of the Registrant’s financial statements, but not reported under “Audit Fees” above, and that include accounting consultations, agreed-upon procedure reports (inclusive of annual review of basic maintenance testing associated with the Preferred Shares), attestation reports and comfort letters for those fiscal years.

“Tax Fees” represents fees billed for each of the last two fiscal years for professional services related to tax compliance, tax advice and tax planning, including services relating to the filing or amendment of federal, state or local income tax returns, regulated investment company qualification reviews, and tax distribution and analysis reviews.

“All Other Fees” represents fees, if any, billed for other products and services rendered by the principal accountant to the Registrant other than those reported above under “Audit Fees,” “Audit-Related Fees” and “Tax Fees” for the last two fiscal years.

 

(1)There were no “Audit-Related Fees”, “Tax Fees” and “All Other Fees” for the last two fiscal years.


  (e)

Pre-approval policies and procedures

(1) The Registrant’s Audit Oversight Committee has adopted pre-approval policies and procedures (the “Procedures”) to govern the Audit Oversight Committee’s pre-approval of (i) all audit services and permissible non-audit services to be provided to the Registrant by its independent accountant, and (ii) all permissible non-audit services to be provided by such independent accountant to the Registrant’s investment adviser and to any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the Registrant (collectively, the “Service Affiliates”) if the services provided directly relate to the Registrant’s operations and financial reporting. In accordance with the Procedures, the Audit Oversight Committee is responsible for the engagement of the independent accountant to certify the Registrant’s financial statements for each fiscal year. With respect to the pre-approval of non-audit services provided to the Registrant and its Service Affiliates, the Procedures provide that the Audit Oversight Committee may annually pre-approve a list of types or categories of non-audit services that may be provided to the Registrant or its Service Affiliates, or the Audit Oversight Committee may pre-approve such services on a project-by-project basis as they arise. Unless a type of service has received general pre-approval, it will require specific pre-approval by the Audit Oversight Committee if it is to be provided by the independent accountant. The Procedures also permit the Audit Oversight Committee to delegate authority to one or more of its members to pre-approve any proposed non-audit services that have not been previously pre-approved by the Audit Oversight Committee, subject to the ratification by the full Audit Oversight Committee no later than its next scheduled meeting.

(2) With respect to the services described in paragraphs (b) through (d) of this Item 4, no amount was approved by the Audit Oversight Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

 

  f)

Not applicable.

 

  g)

 

         Aggregate Non-Audit Fees Billed to Entity      
  

 

 

 
Entity    June 30, 2018     June 30, 2017  

 

   

 

 

 

  PIMCO Global StocksPlus® & Income Fund

     $ —           $ —              

  Pacific Investment Management Company LLC (“PIMCO”)

     7,397,858         8,531,028    
    
  

 

 

 

    Total

     $             7,397,858           $                 8,531,028    
  

 

 

   

 

 

 

 

  h)

The Registrant’s Audit Oversight Committee has considered whether the provision of non-audit services that were rendered to the Registrant’s investment adviser, and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the Registrant which were not pre-approved (not requiring pre-approval) is compatible with maintaining the principal accountant’s independence.

 

Item 5.

Audit Committee of Listed Registrants.

The Registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934, as amended. The audit committee is comprised of:

Deborah A. DeCotis;

Bradford K. Gallagher;

James A. Jacobson;

Hans W. Kertess;

William B. Ogden, IV; and

Alan Rappaport.

 

Item 6.

Schedule of Investments.

The Schedule of Investments is included as part of the report to shareholders under Item 1.


Item 7.

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

Policy Statement: The proxy voting policy is intended to foster PIMCO’s compliance with its fiduciary obligations and applicable law; the policy applies to any voting or consent rights with respect to securities held in accounts over which PIMCO has discretionary voting authority. The Policy is designed in a manner reasonably expected to ensure that voting and consent rights are exercised in the best interests of PIMCO’s clients.

Overview: PIMCO has adopted a written proxy1 voting policy (“Proxy Policy”) as required by Rule 206(4)-6 under the Advisers Act. As a general matter, when PIMCO has proxy voting authority, PIMCO has a fiduciary obligation to monitor corporate events and to take appropriate action on client proxies that come to its attention. Each proxy is voted on a case-by-case basis, taking into account relevant facts and circumstances. When considering client proxies, PIMCO may determine not to vote a proxy in limited circumstances.

Equity Securities2: PIMCO has retained an Industry Service Provider (“ISP”) to provide research and voting recommendations for proxies relating to equity securities in accordance with the ISP’s guidelines. By following the guidelines of an independent third party, PIMCO seeks to mitigate potential conflicts of interest PIMCO may have with respect to proxies covered by the ISP. PIMCO will follow the recommendations of the ISP unless: (i) the ISP does not provide a voting recommendation; or (ii) a PM decides to override the ISP’s voting recommendation. In either such case as described above, the Legal and Compliance department will review the proxy to determine whether a material conflict of interest, or the appearance of one, exists.

Fixed Income Securities: Fixed income securities can be processed as proxy ballots or corporate action-consents3 at the discretion of the issuer/ custodian. When processed as proxy ballots, the ISP generally does not provide a voting recommendation and their role is limited to election processing and recordkeeping. When processed as corporate action-consents, the Legal and Compliance department will review all election forms to determine whether a conflict of interest, or the appearance of one, exists with respect to the PM’s consent election. PIMCO’s Credit Research and Portfolio Management Groups are responsible for issuing recommendations on how to vote proxy ballots and corporation action-consents with respect to fixed income securities.

Resolution of potential conflicts of interest: The Proxy Policy permits PIMCO to seek to resolve material conflicts of interest by pursuing any one of several courses of action. With respect to material conflicts of interest between PIMCO and a client account, the Proxy Policy permits PIMCO to either: (i) convene a working group to assess and resolve the conflict (the “Proxy Working Group”); or (ii) vote in accordance with protocols previously established by the Proxy Policy, the Proxy Working Group and/or other relevant procedures approved by PIMCO’s Legal and Compliance department with respect to specific types of conflicts.

PIMCO will supervise and periodically review its proxy voting activities and the implementation of the Proxy Policy. PIMCO’s Proxy Policy, and information about how PIMCO voted a client’s proxies, is available upon request.

Sub-Adviser Engagement: As an investment manager, PIMCO may exercise its discretion to engage a Sub-Adviser to provide portfolio management services to certain Funds. Consistent with its management responsibilities, the Sub-Adviser will assume the authority for voting proxies on behalf of PIMCO for these Funds. Sub-Advisers may utilize third parties to perform certain services related to their portfolio management responsibilities. As a fiduciary, PIMCO will maintain oversight of the investment management responsibilities performed by the Sub-Adviser and contracted third parties.

 

 

1 Proxies generally describe corporate action-consent rights (relative to fixed income securities) and proxy voting ballots (relative to fixed income or equity securities) as determined by the issuer or custodian.

2 The term “equity securities” means common and preferred stock, including common and preferred shares issued by investment companies; it does not include debt securities convertible into equity securities.

3 Voting or consent rights shall not include matters which are primarily decisions to buy or sell investments, such as tender offers, exchange offers, conversions, put options, redemptions, and Dutch auctions.


Item 8.

Portfolio Managers of Closed-End Management Investment Companies.

(a)(1)    

As of August 28, 2018, the following individuals have primary responsibility for the day-to-day management of the PIMCO Global StocksPLUS® & Income Fund (the “Fund”):

Daniel J. Ivascyn

Mr. Ivascyn has been the portfolio manager of the Fund since its inception in May 2005. Mr. Ivascyn is Group Chief Investment Officer and a managing director in the Newport Beach office. Prior to joining PIMCO in 1998, he worked at Bear Stearns in the asset-backed securities group, as well as T. Rowe Price and Fidelity Investments.

Alfred T. Murata    

Mr. Murata has been a portfolio manager of the Fund since June 2017. Mr. Murata is a managing director in the Newport Beach office and a portfolio manager on the mortgage credit team. Prior to joining PIMCO in 2001, he researched and implemented exotic equity and interest rate derivatives at Nikko Financial Technologies.

(a)(2)    

The following summarizes information regarding each of the accounts, excluding the Fund, managed by the Portfolio Managers as of June 30, 2018, including accounts managed by a team, committee, or other group that includes a Portfolio Manager. Unless mentioned otherwise, the advisory fee charged for managing each of the accounts listed below is not based on performance.

 

   

Registered Investment

Companies

 

Other Pooled Investment

Vehicles

  Other Accounts

PM

  #    AUM($million)   #   AUM($million)   #    AUM($million)

 

  Daniel J. Ivascyn

 

 

18

 

   $139,799.73   10*   $68,995.57   177**    $10,083.17

 

  Alfred T. Murata

 

 

20

 

   $138,866.64   10   $29,058.45   11    $1,534.68

* Of these Other Pooled Investment Vehicles, 1 account totaling $0.00 in assets pays an advisory fee that is based in part on the performance of the accounts.

**Of these Other Accounts, 1 account totaling $235.61 million in assets pays an advisory fee that is based in part on the performance of the accounts.

From time to time, potential and actual conflicts of interest may arise between a portfolio manager’s management of the investments of the Fund, on the one hand, and the management of other accounts, on the other. Potential and actual conflicts of interest may also arise as a result of PIMCO’s other business activities and PIMCO’s possession of material non-public information about an issuer. Other accounts managed by a portfolio manager might have similar investment objectives or strategies as the Fund, track the same index as the Fund or otherwise hold, purchase, or sell securities that are eligible to be held, purchased or sold by the Fund. The other accounts might also have different investment objectives or strategies than the Fund. Potential and actual conflicts of interest may also arise as a result of PIMCO serving as investment adviser to accounts that invest in the Fund. In this case, such conflicts of interest could in theory give rise to incentives for PIMCO to, among other things, vote proxies of the Fund in a manner beneficial to the investing account but detrimental to the Fund. Conversely, PIMCO’s duties to the Fund, as well as regulatory or other limitations applicable to the Fund, may affect the courses of action available to PIMCO-advised accounts (including certain funds) that invest in the Fund in a manner that is detrimental to such investing accounts. In addition, regulatory restrictions, actual or potential conflicts of interest or other considerations may cause PIMCO to restrict or prohibit participation in certain investments.


Because PIMCO is affiliated with Allianz, a large multi-national financial institution, conflicts similar to those described below may occur between the Fund and other accounts managed by PIMCO and PIMCO’s affiliates or accounts managed by those affiliates. Those affiliates (or their clients), which generally operate autonomously from PIMCO, may take actions that are adverse to the Fund or other accounts managed by PIMCO. In many cases, PIMCO will not be in a position to mitigate those actions or address those conflicts, which could adversely affect the performance of the Fund or other accounts managed by PIMCO.

Knowledge and Timing of Fund Trades. A potential conflict of interest may arise as a result of the portfolio manager’s day-to-day management of the Fund. Because of their positions with the Fund, the portfolio managers know the size, timing and possible market impact of the Fund’s trades. It is theoretically possible that the portfolio managers could use this information to the advantage of other accounts they manage and to the possible detriment of the Fund.

Investment Opportunities. A potential conflict of interest may arise as a result of the portfolio manager’s management of a number of accounts with varying investment guidelines. Often, an investment opportunity may be suitable for both the Fund and other accounts managed by the portfolio manager, but may not be available in sufficient quantities for both the Fund and the other accounts to participate fully. In addition, regulatory issues applicable to PIMCO or the Fund or other accounts may result in the Fund not receiving securities that may otherwise be appropriate for it. Similarly, there may be limited opportunity to sell an investment held by the Fund and another account. PIMCO has adopted policies and procedures reasonably designed to allocate investment opportunities on a fair and equitable basis over time.

Under PIMCO’s allocation procedures, investment opportunities are allocated among various investment strategies based on individual account investment guidelines and PIMCO’s investment outlook. PIMCO has also adopted additional procedures to complement the general trade allocation policy that are designed to address potential conflicts of interest due to the side-by-side management of the Fund and certain pooled investment vehicles, including investment opportunity allocation issues.

Conflicts potentially limiting the Fund’s investment opportunities may also arise when the Fund and other PIMCO clients invest in different parts of an issuer’s capital structure, such as when the Fund owns senior debt obligations of an issuer and other clients own junior tranches of the same issuer. In such circumstances, decisions over whether to trigger an event of default, over the terms of any workout, or how to exit an investment may result in conflicts of interest. In order to minimize such conflicts, a portfolio manager may avoid certain investment opportunities that would potentially give rise to conflicts with other PIMCO clients or PIMCO may enact internal procedures designed to minimize such conflicts, which could have the effect of limiting the Fund’s investment opportunities. Additionally, if PIMCO acquires material non-public confidential information in connection with its business activities for other clients, a portfolio manager may be restricted from purchasing securities or selling securities for the Fund. Moreover, the Fund or other accounts managed by PIMCO may invest in a transaction in which one or more other funds or accounts managed by PIMCO are expected to participate, or already have made or will seek to make, an investment. Such funds or accounts may have conflicting interests and objectives in connection with such investments, including, for example and without limitation, with respect to views on the operations or activities of the issuer involved, the targeted returns from the investment, and the timeframe for, and method of, exiting the investment. Additionally, a fund or other account managed by PIMCO may take an investment position or action that may be different from, or inconsistent with, an investment position or action taken by another fund or other account managed by PIMCO having similar or differing investment objectives. These positions and actions may adversely impact the Fund. For example, the Fund may buy a security and another fund or other account managed by PIMCO may establish a short position in that same security or in another security issued by the same issuer. The subsequent short sale may result in a decrease in the price of the security that the first fund holds. When making investment decisions where a conflict of interest may arise, PIMCO will endeavor to act in a fair and equitable manner as between the Fund and other clients; however, in certain instances the resolution of the conflict may result in PIMCO acting on behalf of another client in a manner that may not be in the best interest, or may be opposed to the best interest, of the Fund.

Performance Fees. A portfolio manager may advise certain accounts with respect to which the advisory fee is based entirely or partially on performance. Performance fee arrangements may create a conflict of interest for the portfolio manager in that the portfolio manager may have an incentive to allocate the investment opportunities that he or she believes might be the most profitable to such other accounts instead of allocating them to the Fund. PIMCO has adopted policies and procedures reasonably designed to allocate investment opportunities between the Fund and certain pooled investment vehicles on a fair and equitable basis over time.


(a)(3)

As of June 30, 2018 the following explains the compensation structure of the individuals who have primary responsibility for day-to-day portfolio management of the Fund:

Portfolio Manager Compensation

PIMCO’s approach to compensation seeks to provide professionals with a Total Compensation Plan and process that is driven by PIMCO’s mission and values. Key Principles on Compensation Philosophy include:

 

   

PIMCO’s pay practices are designed to attract and retain high performers;

 

   

PIMCO’s pay philosophy embraces a corporate culture of rewarding strong performance, a strong work ethic, and meritocracy;

 

   

PIMCO’s goal is to ensure key professionals are aligned to PIMCO’s long-term success through equity participation; and

 

   

PIMCO’s “Discern and Differentiate” discipline guides total compensation levels.

The Total Compensation Plan consists of three components. The compensation program for portfolio managers is designed to align with clients’ interests, emphasizing each portfolio manager’s ability to generate long-term investment success for PIMCO’s clients. A portfolio manager’s compensation is not based solely on the performance of the Fund or any other account managed by that portfolio manager:

Base Salary – Base salary is determined based on core job responsibilities, positions/levels and market factors. Base salary levels are reviewed annually, when there is a significant change in job responsibilities or position, or a significant change in market levels.

Performance Bonus – Performance bonuses are designed to reward risk-adjusted performance and contributions to PIMCO’s broader investment process. The compensation process is not formulaic and the following non-exhaustive list of qualitative and quantitative criteria are considered when determining the total compensation for portfolio managers:

 

   

Performance measured over a variety of longer- and shorter-term periods, including 5-year, 4-year, 3-year, 2-year and 1-year dollar-weighted and account-weighted, pre-tax total and risk-adjusted investment performance as judged against the applicable benchmarks (which may include internal investment performance-related benchmarks) for each account managed by a portfolio manager (including the Fund) and relative to applicable industry peer groups; greatest emphasis is placed on 5-year and 3-year performance, followed by 1-year performance;

 

   

Consistency of investment performance across portfolios of similar mandate and guidelines, rewarding low dispersion and consistency of outperformance;

 

   

Appropriate risk positioning and risk management mindset which includes consistency with PIMCO’s investment philosophy, the Investment Committee’s positioning guidance, absence of defaults, and appropriate alignment with client objectives;

 

   

Contributions to mentoring, coaching and/or supervising members of team;

 

   

Collaboration, idea generation, and contribution of investment ideas in the context of PIMCO’s investment process, Investment Committee meetings, and day-to-day management of portfolios;

 

   

With much lesser importance than the aforementioned factors: amount and nature of assets managed by the portfolio manager, contributions to asset retention, and client satisfaction.

PIMCO’s partnership culture further rewards strong long term risk adjusted returns with promotion decisions almost entirely tied to long term contributions to the investment process. 10-year performance can also be considered, though not explicitly as part of the compensation process.


Deferred Compensation – Long Term Incentive Plan (“LTIP”) and/or M Options are awarded to key professionals. Employees who reach a total compensation threshold are delivered their annual compensation in a mix of cash and/or deferred compensation. PIMCO incorporates a progressive allocation of deferred compensation as a percentage of total compensation, which is in line with market practices.

 

 

The LTIP provides participants with deferred cash awards that appreciate or depreciate based on PIMCO’s operating earnings over a rolling three-year period. The plan provides a link between longer term company performance and participant pay, further motivating participants to make a long term commitment to PIMCO’s success.

 

 

The M Unit program provides mid-to-senior level employees with the potential to acquire an equity stake in PIMCO over their careers and to better align employee incentives with the Firm’s long-term results. In the program, options are awarded and vest over a number of years and may convert into PIMCO equity which shares in the profit distributions of the Firm. M Units are non-voting common equity of PIMCO and provide a mechanism for individuals to build a significant equity stake in PIMCO over time.

Eligibility to participate in LTIP and the M Unit program is contingent upon continued employment at PIMCO and all other applicable eligibility requirements.

Profit Sharing Plan. Portfolio managers who are Managing Directors of PIMCO receive compensation from a non-qualified profit sharing plan consisting of a portion of PIMCO’s net profits. Portfolio managers who are Managing Directors receive an amount determined by the Compensation Committee, based upon an individual’s overall contribution to the firm.

(a)(4)

The following summarizes the dollar range of securities of the Fund the Portfolio Managers beneficially owned as of June 30, 2018:

 

Portfolio Manager

   Dollar Range of Equity Securities of the Fund Owned as of June 30, 2018

Daniel J. Ivascyn

   None

Alfred T. Murata

   None

 

Item 9.

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

None.

 

Item 10.

Submission of Matters to a Vote of Security Holders.

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

 

Item 11.

Controls and Procedures.

 

  (a)

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

 

  (b)

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


Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

None.

Item 13. Exhibits.

 

(a)(1)   Exhibit 99.CODE— Code of Ethics pursuant to Section 406 of the Sarbanes-Oxley Act of 2002.
(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 this 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 Global StocksPlus® & Income Fund

By:

  /s/    Peter G. Strelow
 

 

  Peter G. Strelow
  President (Principal Executive Officer)

Date:

  August 28, 2018

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

 

By:

  /s/    Peter G. Strelow
 

 

  Peter G. Strelow
  President (Principal Executive Officer)

Date:

  August 28, 2018

By:

  /s/    Trent W. Walker
 

 

  Trent W. Walker
  Treasurer (Principal Financial & Accounting Officer)

Date:

  August 28, 2018