NPORT-EX 2 pimcomanagedaccountstrust.htm PIMCO MANAGED ACCOUNTS TRUST pimcomanagedaccountstrust

Schedule of Investments PIMCO Fixed Income SHares: Series C

March 31, 2020

(Unaudited)

 

(AMOUNTS IN THOUSANDS*, EXCEPT NUMBER OF SHARES, CONTRACTS AND UNITS, IF ANY)

 

 

PRINCIPAL
AMOUNT
(000s)

 

MARKET
VALUE
(000s)

INVESTMENTS IN SECURITIES 156.9% ¤

 

 

 

 

LOAN PARTICIPATIONS AND ASSIGNMENTS 1.8%

 

 

 

 

Castlelake Aircraft Securitization Trust
3.967% due 07/15/2042

$

6,370

$

4,839

PG&E Corp.
3.120% (LIBOR03M + 2.250%) due 12/31/2020 ~

 

6,000

 

5,970

State of Qatar

 

 

 

 

2.571% (LIBOR03M + 0.800%) due 12/21/2020 «~

 

3,050

 

3,047

2.721% (LIBOR03M + 0.800%) due 12/21/2020 «~

 

3,050

 

3,047

State of Rio de Janeiro
6.024% (LIBOR03M + 3.250%) due 12/20/2020 «~

 

3,900

 

3,909

Zephyrus Capital Aviation Partners LLC
4.605% due 10/15/2038

 

5,766

 

4,724

Total Loan Participations and Assignments (Cost $28,038)

 

 

 

25,536

CORPORATE BONDS & NOTES 42.6%

 

 

 

 

BANKING & FINANCE 30.8%

 

 

 

 

ABN AMRO Bank NV
4.800% due 04/18/2026

 

2,400

 

2,390

Air Lease Corp.
3.000% due 09/15/2023

 

3,150

 

2,544

American Tower Corp.

 

 

 

 

3.500% due 01/31/2023

 

3,375

 

3,404

4.700% due 03/15/2022

 

1,600

 

1,626

Aviation Capital Group LLC
3.500% due 11/01/2027

 

1,300

 

994

Bank of America Corp.

 

 

 

 

3.419% due 12/20/2028 •

 

25,728

 

26,619

4.000% due 04/01/2024

 

271

 

289

Barclays Bank PLC
7.625% due 11/21/2022 (d)

 

12,100

 

12,384

Barclays PLC
4.375% due 01/12/2026

 

1,500

 

1,531

BNP Paribas S.A.

 

 

 

 

4.400% due 08/14/2028

 

14,700

 

15,838

4.705% due 01/10/2025 •

 

8,000

 

8,349

BPCE S.A.
5.150% due 07/21/2024

 

1,000

 

1,056

Carlyle Finance Subsidiary LLC
3.500% due 09/19/2029

 

4,000

 

3,593

CIT Group, Inc.
4.750% due 02/16/2024

 

5,400

 

5,299

Cooperatieve Rabobank UA
4.375% due 08/04/2025

 

6,300

 

6,466

Credit Agricole S.A.
7.500% due 06/23/2026 •(c)(d)

GBP

100

 

114

Credit Suisse AG

 

 

 

 

5.750% due 09/18/2025 •(d)

EUR

500

 

545

6.500% due 08/08/2023 (d)

$

7,466

 

7,632

Credit Suisse Group AG
7.500% due 07/17/2023 •(c)(d)

 

10,000

 

9,223

Credit Suisse Group Funding Guernsey Ltd.
3.800% due 09/15/2022

 

400

 

407

Crown Castle International Corp.

 

 

 

 

4.300% due 02/15/2029

 

3,000

 

3,118

5.250% due 01/15/2023

 

4,000

 

4,248

Deutsche Bank AG

 

 

 

 

3.961% due 11/26/2025 •

 

9,000

 

8,338

4.250% due 10/14/2021

 

16,975

 

16,160

Discover Financial Services
4.500% due 01/30/2026

 

7,000

 

7,155

Doric Nimrod Air Finance Alpha Ltd. Pass-Through Trust
5.125% due 11/30/2024

 

4,603

 

4,675

EPR Properties
3.750% due 08/15/2029

 

10,200

 

7,651

FleetBoston Financial Corp.
6.875% due 01/15/2028

 

2,120

 

2,624

Ford Motor Credit Co. LLC

 

 

 

 

3.550% due 10/07/2022

 

5,000

 

4,688

5.584% due 03/18/2024

 

400

 

373

General Motors Financial Co., Inc.
4.250% due 05/15/2023

 

23,220

 

21,023

 

 

 

Schedule of Investments PIMCO Fixed Income SHares: Series C (Cont.)

March 31, 2020

(Unaudited)

 

GLP Capital LP

 

 

 

 

4.000% due 01/15/2030

 

2,278

 

1,931

5.250% due 06/01/2025

 

2,350

 

2,191

5.300% due 01/15/2029

 

3,150

 

2,716

Goldman Sachs Group, Inc.

 

 

 

 

3.850% due 01/26/2027

 

25,000

 

25,778

4.000% due 03/03/2024

 

16,700

 

17,545

Goodman U.S. Finance Three LLC
3.700% due 03/15/2028

 

3,200

 

3,021

Harborwalk Funding Trust
5.077% due 02/15/2069 •

 

4,500

 

5,325

HSBC Holdings PLC

 

 

 

 

4.583% due 06/19/2029 •

 

4,000

 

4,266

5.875% due 09/28/2026 •(c)(d)

GBP

11,600

 

12,881

6.375% due 09/17/2024 •(c)(d)

$

1,200

 

1,114

ING Groep NV
4.625% due 01/06/2026

 

5,000

 

5,280

Intesa Sanpaolo SpA
3.375% due 01/12/2023

 

10,400

 

9,942

JPMorgan Chase & Co.
3.625% due 05/13/2024

 

900

 

940

Karntner Ausgleichszahlungs-Fonds

 

 

 

 

0.000% due 01/01/2023 «

EUR

191

 

16

0.000% due 01/01/2023 «

 

1,211

 

104

Lloyds Banking Group PLC
7.500% due 09/27/2025 •(c)(d)

$

7,100

 

6,386

Morgan Stanley

 

 

 

 

3.591% due 07/22/2028 •

 

12,000

 

12,601

3.700% due 10/23/2024

 

10,000

 

10,585

4.000% due 07/23/2025

 

6,900

 

7,399

7.500% due 04/02/2032 þ(e)

 

7,000

 

6,122

MPT Operating Partnership LP
3.692% due 06/05/2028

GBP

1,600

 

1,885

Navient Corp.

 

 

 

 

5.875% due 03/25/2021

$

5,255

 

5,166

7.250% due 01/25/2022

 

12,700

 

12,475

New York Life Insurance Co.
4.450% due 05/15/2069

 

7,000

 

7,357

Park Aerospace Holdings Ltd.
5.500% due 02/15/2024

 

7,700

 

6,643

Piper Jaffray Cos.
4.740% due 10/15/2021

 

4,000

 

3,795

Royal Bank of Scotland Group PLC

 

 

 

 

7.500% due 08/10/2020 •(c)(d)

 

1,800

 

1,660

8.625% due 08/15/2021 •(c)(d)

 

17,400

 

17,058

Santander UK Group Holdings PLC
2.875% due 08/05/2021

 

3,100

 

3,053

SLM Student Loan Trust
1.010% (BP0003M + 0.550%) due 12/15/2039 ~

GBP

7,810

 

8,721

Springleaf Finance Corp.
6.125% due 05/15/2022

$

7,700

 

7,871

Synchrony Financial
3.950% due 12/01/2027

 

1,100

 

981

Tesco Property Finance PLC

 

 

 

 

5.411% due 07/13/2044

GBP

381

 

576

5.744% due 04/13/2040

 

1,062

 

1,642

5.801% due 10/13/2040

 

6,913

 

10,790

UBS AG

 

 

 

 

4.750% due 02/12/2026 •(d)

EUR

400

 

436

7.625% due 08/17/2022 (d)

$

6,000

 

6,183

Wells Fargo & Co.

 

 

 

 

3.196% due 06/17/2027 •

 

4,600

 

4,746

3.450% due 02/13/2023

 

5,400

 

5,560

4.150% due 01/24/2029

 

5,400

 

5,904

 

 

 

 

439,001

INDUSTRIALS 11.0%

 

 

 

 

Ashtead Capital, Inc.
4.250% due 11/01/2029

 

1,600

 

1,367

Bacardi Ltd.
4.450% due 05/15/2025

 

6,100

 

6,423

Bayer U.S. Finance LLC
4.375% due 12/15/2028

 

6,900

 

7,390

Cameron LNG LLC
2.902% due 07/15/2031

 

5,100

 

4,486

Campbell Soup Co.
3.650% due 03/15/2023

 

1,658

 

1,691

Charter Communications Operating LLC

 

 

 

 

4.908% due 07/23/2025

 

800

 

863

5.125% due 07/01/2049

 

2,000

 

2,137

Citrix Systems, Inc.
3.300% due 03/01/2030

 

2,350

 

2,200

CVS Health Corp.

 

 

 

 

4.100% due 03/25/2025

 

2,850

 

3,005

4.300% due 03/25/2028

 

10,000

 

10,641

 

Schedule of Investments PIMCO Fixed Income SHares: Series C (Cont.)

March 31, 2020

(Unaudited)

 

DAE Funding LLC
5.250% due 11/15/2021

 

6,300

 

5,761

Dell International LLC
6.020% due 06/15/2026

 

2,200

 

2,346

Ecopetrol S.A.
5.875% due 09/18/2023

 

3,400

 

3,353

Equifax, Inc.
2.562% (US0003M + 0.870%) due 08/15/2021 ~

 

4,050

 

3,953

General Mills, Inc.

 

 

 

 

3.700% due 10/17/2023

 

4,000

 

4,078

4.000% due 04/17/2025

 

4,600

 

4,966

Global Payments, Inc.
2.650% due 02/15/2025

 

5,800

 

5,761

Huntsman International LLC
4.500% due 05/01/2029

 

1,700

 

1,453

Kansas City Southern
4.200% due 11/15/2069

 

4,600

 

4,484

Kinder Morgan Energy Partners LP

 

 

 

 

3.500% due 03/01/2021

 

300

 

296

3.950% due 09/01/2022

 

1,000

 

992

Kraft Heinz Foods Co.
4.375% due 06/01/2046

 

6,200

 

5,621

Las Vegas Sands Corp.

 

 

 

 

3.200% due 08/08/2024

 

2,600

 

2,346

3.500% due 08/18/2026

 

5,000

 

4,585

Latam Airlines Pass-Through Trust
4.200% due 08/15/2029

 

3,175

 

2,885

Magellan Health, Inc.
4.900% due 09/22/2024

 

8,500

 

7,894

Marvell Technology Group Ltd.
4.875% due 06/22/2028

 

6,050

 

6,281

Northwest Airlines Pass-Through Trust
7.041% due 10/01/2023

 

930

 

1,013

Ooredoo International Finance Ltd.
5.000% due 10/19/2025

 

4,500

 

4,761

Oracle Corp.
3.600% due 04/01/2040 (a)

 

12,700

 

12,687

Sands China Ltd.
4.600% due 08/08/2023

 

15,400

 

15,839

Syngenta Finance NV
4.441% due 04/24/2023

 

2,500

 

2,358

Tennessee Gas Pipeline Co. LLC
2.900% due 03/01/2030

 

3,800

 

3,234

Trustees of the University of Pennsylvania
3.610% due 02/15/2119

 

6,500

 

6,634

Walgreens Boots Alliance, Inc.
3.800% due 11/18/2024

 

2,074

 

2,135

Westinghouse Air Brake Technologies Corp.
4.950% due 09/15/2028

 

1,400

 

1,290

 

 

 

 

157,209

UTILITIES 0.8%

 

 

 

 

AT&T, Inc.
3.400% due 05/15/2025

 

5,500

 

5,699

Odebrecht Drilling Norbe Ltd.
6.350% due 12/01/2021 ^

 

945

 

802

Vodafone Group PLC
3.750% due 01/16/2024

 

4,150

 

4,330

 

 

 

 

10,831

Total Corporate Bonds & Notes (Cost $620,674)

 

 

 

607,041

MUNICIPAL BONDS & NOTES 2.3%

 

 

 

 

CALIFORNIA 0.3%

 

 

 

 

University of California Revenue Bonds, Series 2012
4.858% due 05/15/2112

 

2,995

 

3,895

ILLINOIS 0.1%

 

 

 

 

Chicago, Illinois General Obligation Bonds, Series 2008
5.630% due 01/01/2022

 

95

 

97

Chicago, Illinois General Obligation Bonds, Series 2015
7.750% due 01/01/2042

 

114

 

130

Illinois State General Obligation Bonds, (BABs), Series 2010
7.350% due 07/01/2035

 

1,095

 

1,230

 

 

 

 

1,457

NEW JERSEY 0.4%

 

 

 

 

Rutgers The State University of New Jersey Revenue Bonds, Series 2019
3.915% due 05/01/2119

 

5,000

 

6,006

 

Schedule of Investments PIMCO Fixed Income SHares: Series C (Cont.)

March 31, 2020

(Unaudited)

 

NEW YORK 0.8%

 

 

 

 

Port Authority of New York & New Jersey Revenue Bonds, Series 2019
3.287% due 08/01/2069

 

11,700

 

10,907

TEXAS 0.3%

 

 

 

 

Texas Public Finance Authority Revenue Notes, Series 2014
8.250% due 07/01/2024

 

4,925

 

4,844

VIRGINIA 0.4%

 

 

 

 

University of Virginia Revenue Bonds, Series 2019
3.227% due 09/01/2119

 

5,500

 

5,192

Total Municipal Bonds & Notes (Cost $32,166)

 

 

 

32,301

U.S. GOVERNMENT AGENCIES 56.1%

 

 

 

 

Freddie Mac
6.500% due 01/01/2038 - 10/01/2038

 

37

 

42

Ginnie Mae
4.000% (H15T1Y + 1.500%) due 01/20/2022 ~

 

1

 

1

Ginnie Mae, TBA
3.500% due 04/01/2050 - 05/01/2050

 

154,000

 

162,197

Uniform Mortgage-Backed Security

 

 

 

 

4.000% due 09/01/2048 - 01/01/2049

 

54,330

 

58,008

4.500% due 08/01/2039 - 11/01/2041

 

199

 

219

Uniform Mortgage-Backed Security, TBA

 

 

 

 

2.500% due 06/01/2050

 

97,300

 

100,425

3.000% due 04/01/2035 - 05/01/2050

 

155,500

 

162,878

3.500% due 04/01/2035 - 05/01/2035

 

52,400

 

55,115

4.000% due 04/01/2050 - 05/01/2050

 

242,500

 

258,896

Total U.S. Government Agencies (Cost $779,937)

 

 

 

797,781

U.S. TREASURY OBLIGATIONS 21.2%

 

 

 

 

U.S. Treasury Bonds

 

 

 

 

2.250% due 08/15/2049 (g)

 

22,600

 

27,503

2.375% due 11/15/2049 (g)

 

39,700

 

49,583

3.000% due 02/15/2049 (g)(k)

 

33,000

 

46,029

U.S. Treasury Inflation Protected Securities (b)

 

 

 

 

0.125% due 01/15/2030 (k)

 

43,110

 

44,480

0.250% due 07/15/2029 (g)(i)

 

72,201

 

75,059

0.750% due 07/15/2028) (i)(k)

 

2,446

 

2,619

0.875% due 01/15/2029 (i)(k)

 

45,509

 

49,502

U.S. Treasury Notes

 

 

 

 

1.500% due 01/31/2027 (i)(k)

 

6,669

 

7,098

Total U.S. Treasury Obligations (Cost $273,365)

 

 

 

301,873

NON-AGENCY MORTGAGE-BACKED SECURITIES 6.3%

 

 

 

 

Banc of America Funding Trust
4.184% due 01/20/2047 ^~

 

42

 

36

Bear Stearns Adjustable Rate Mortgage Trust

 

 

 

 

3.120% due 05/25/2034 ~

 

22

 

17

4.149% due 10/25/2033 ~

 

17

 

15

Bear Stearns ALT-A Trust
3.661% due 02/25/2036 ^~

 

488

 

382

Cascade Funding Mortgage Trust
4.000% due 10/25/2068 ~

 

2,456

 

2,431

Citigroup Mortgage Loan Trust
3.258% due 04/25/2066 ~

 

8,351

 

8,292

Citigroup Mortgage Loan Trust, Inc.

 

 

 

 

3.840% due 09/25/2035 •

 

79

 

76

4.550% due 09/25/2035 •

 

59

 

55

Civic Mortgage LLC
4.349% due 11/25/2022 þ

 

1,325

 

1,320

Countrywide Alternative Loan Trust

 

 

 

 

1.147% due 05/25/2036 •

 

47

 

35

6.000% due 08/25/2034

 

6,024

 

6,235

Countrywide Home Loan Mortgage Pass-Through Trust

 

 

 

 

1.587% due 03/25/2035 •

 

88

 

68

3.785% due 08/25/2034 ^~

 

8

 

7

Credit Suisse First Boston Mortgage-Backed Pass-Through Certificates
3.800% due 07/25/2033 ~

 

3

 

3

Credit Suisse Mortgage Capital Certificates
3.549% due 08/26/2058

 

5,048

 

5,249

Credit Suisse Mortgage Capital Trust

 

 

 

 

3.319% due 10/27/2059 ~

 

8,570

 

8,417

3.322% due 10/25/2058 ~

 

9,014

 

9,421

Downey Savings & Loan Association Mortgage Loan Trust

 

 

 

 

1.010% due 08/19/2045 •

 

592

 

498

4.158% due 07/19/2044 ~

 

390

 

341

Eurosail PLC
1.456% due 06/13/2045 •

GBP

1,905

 

2,159

 

Schedule of Investments PIMCO Fixed Income SHares: Series C (Cont.)

March 31, 2020

(Unaudited)

 

Finsbury Square PLC
0.000% due 03/16/2070 •

 

8,200

 

9,922

GreenPoint Mortgage Funding Trust
1.407% due 06/25/2045 •

$

1,475

 

1,165

GreenPoint Mortgage Funding Trust Pass-Through Certificates
4.286% due 10/25/2033 ~

 

2

 

2

GSR Mortgage Loan Trust

 

 

 

 

2.930% due 03/25/2033 •

 

19

 

17

4.098% due 09/25/2035 ~

 

103

 

98

4.398% due 09/25/2035 ~

 

155

 

152

HarborView Mortgage Loan Trust

 

 

 

 

0.940% due 01/19/2038 •

 

128

 

103

1.113% due 06/20/2035 •

 

201

 

187

HomeBanc Mortgage Trust

 

 

 

 

1.207% due 01/25/2036 •

 

656

 

610

3.371% due 04/25/2037 ^~

 

34

 

33

JPMorgan Mortgage Trust

 

 

 

 

3.659% due 11/25/2033 ~

 

14

 

14

3.983% due 07/25/2035 ~

 

230

 

212

4.067% due 07/25/2035 ~

 

121

 

118

4.370% due 02/25/2035 ~

 

14

 

12

Morgan Stanley Mortgage Loan Trust
4.037% due 08/25/2034 ~

 

1,111

 

1,018

RBSSP Resecuritization Trust
2.116% due 04/26/2037 •

 

673

 

655

Residential Accredit Loans, Inc. Trust
1.157% due 04/25/2046 •

 

833

 

307

Structured Adjustable Rate Mortgage Loan Trust
3.872% due 02/25/2034 ~

 

29

 

26

Structured Asset Mortgage Investments Trust
1.567% due 09/25/2045 •

 

444

 

407

Towd Point Mortgage Funding
1.611% due 07/20/2045 •

GBP

13,545

 

16,476

Uropa Securities PLC

 

 

 

 

0.734% due 06/10/2059 •

 

6,633

 

7,849

0.884% due 06/10/2059 •

 

1,617

 

1,863

1.084% due 06/10/2059 •

 

1,265

 

1,409

1.284% due 06/10/2059 •

 

1,347

 

1,411

WaMu Mortgage Pass-Through Certificates Trust

 

 

 

 

1.257% due 01/25/2045 •

$

61

 

55

1.687% due 11/25/2034 •

 

673

 

606

2.966% due 02/25/2046 •

 

483

 

422

Total Non-Agency Mortgage-Backed Securities (Cost $91,695)

 

 

 

90,206

ASSET-BACKED SECURITIES 22.1%

 

 

 

 

ACE Securities Corp. Home Equity Loan Trust
1.727% due 04/25/2034 •

 

346

 

313

ALME Loan Funding DAC
0.750% due 01/15/2031 •

EUR

8,500

 

9,089

Ameriquest Mortgage Securities Trust
1.337% due 03/25/2036 •

$

75

 

73

Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates
1.862% due 01/25/2035 •

 

4,558

 

4,294

Atrium Corp.
2.632% due 04/22/2027 •

 

5,650

 

5,568

Aurium CLO DAC
0.670% due 04/16/2030 •

EUR

6,850

 

7,185

Bayview Koitere Fund Trust
3.967% due 07/28/2033 þ

$

599

 

540

Bayview Opportunity Master Fund Trust
3.967% due 03/28/2034 þ

 

129

 

129

Bear Stearns Asset-Backed Securities Trust

 

 

 

 

1.147% due 12/25/2036 •

 

606

 

602

1.437% due 09/25/2035 •

 

6,778

 

6,657

1.947% due 10/25/2037 •

 

135

 

132

Cairn CLO BV
0.670% due 01/31/2030 •

EUR

5,550

 

5,838

Centex Home Equity Loan Trust
1.587% due 10/25/2035 •

$

4,279

 

3,833

Citigroup Mortgage Loan Trust Asset-Backed Pass-Through Certificates
1.877% due 05/25/2035 •

 

3,499

 

3,336

CLNC FL1 Ltd.
2.000% due 08/20/2035 •

 

15,000

 

13,977

Conseco Finance Corp.

 

 

 

 

6.220% due 03/01/2030

 

31

 

32

6.530% due 02/01/2031 ~

 

1,699

 

1,616

Crown Point CLO Ltd.
2.989% due 10/20/2028 •

 

9,260

 

8,936

Denali Capital CLO LLC
2.844% due 10/26/2027 •

 

22,470

 

22,010

Dryden Senior Loan Fund
2.731% due 10/15/2027 •

 

8,151

 

7,814

ECAF Ltd.

 

 

 

 

3.473% due 06/15/2040

 

258

 

227

4.947% due 06/15/2040

 

392

 

336

 

Schedule of Investments PIMCO Fixed Income SHares: Series C (Cont.)

March 31, 2020

(Unaudited)

 

ECMC Group Student Loan Trust
1.697% due 02/27/2068 •

 

6,992

 

6,666

First Franklin Mortgage Loan Trust
1.682% due 09/25/2035 •

 

197

 

197

First NLC Trust
1.652% due 12/25/2035 •

 

313

 

304

Gallatin CLO Ltd.
2.881% (US0003M + 1.050%) due 07/15/2027 ~

 

13,505

 

13,225

Harvest CLO DAC
0.630% due 11/18/2029 •

EUR

2,031

 

2,219

Jamestown CLO Ltd.
3.056% due 01/17/2027 •

$

6,899

 

6,807

Jubilee CLO BV
0.311% due 12/15/2029 •

EUR

12,850

 

13,204

LMREC, Inc.

 

 

 

 

1.909% due 02/22/2032 •

$

213

 

208

3.329% due 11/24/2031 •

 

2,653

 

2,618

Loomis Sayles CLO Ltd.
2.731% due 04/15/2028 •

 

14,000

 

13,603

M360 Advisors LLC
4.395% due 07/24/2028

 

2,192

 

2,170

MACH Cayman Ltd.
3.474% due 10/15/2039

 

2,419

 

1,694

Merrill Lynch Mortgage Investors Trust
1.067% due 02/25/2037 •

 

166

 

59

METAL LLC
4.581% due 10/15/2042

 

1,981

 

1,619

Morgan Stanley ABS Capital, Inc. Trust

 

 

 

 

1.592% due 09/25/2035 •

 

281

 

274

1.847% due 07/25/2034 •

 

6,177

 

5,662

2.197% due 07/25/2037 •

 

7,000

 

5,138

Morgan Stanley Mortgage Loan Trust
1.307% due 04/25/2037 •

 

114

 

44

Mountain View CLO Ltd.
2.631% due 10/15/2026 •

 

4,612

 

4,564

Navient Student Loan Trust
1.997% due 12/27/2066 •

 

13,966

 

13,706

Nomura Home Equity Loan, Inc. Home Equity Loan Trust
1.832% due 09/25/2035 •

 

1,000

 

964

OCP CLO Ltd.
2.631% due 07/15/2027 •

 

2,079

 

2,059

Prosper Marketplace Issuance Trust
3.350% due 10/15/2024

 

346

 

344

Residential Asset Securities Corp. Trust
1.587% due 08/25/2035 •

 

6,189

 

5,664

S-Jets Ltd.
3.967% due 08/15/2042

 

4,966

 

3,535

SLM Student Loan Trust
1.291% due 03/15/2038 •

GBP

18,810

 

21,897

Stanwich Mortgage Loan Co. LLC
3.375% due 08/15/2024 þ

$

4,644

 

4,640

Structured Asset Investment Loan Trust
1.652% due 03/25/2034 •

 

2,758

 

2,485

Structured Asset Securities Corp. Mortgage Loan Trust

 

 

 

 

1.287% due 02/25/2036 •

 

181

 

180

1.622% due 11/25/2035 •

 

465

 

464

Symphony CLO Ltd.
2.711% due 04/15/2028 •

 

9,600

 

9,332

Telos CLO Ltd.
2.786% due 04/17/2028 •

 

2,947

 

2,864

TICP CLO Ltd.
2.659% due 04/20/2028 •

 

12,450

 

12,075

Toro European CLO DAC
0.650% due 04/15/2030 •

EUR

6,080

 

6,420

Towd Point Mortgage Trust
1.947% due 10/25/2059 •

$

11,618

 

11,376

Venture CDO Ltd.
2.711% due 04/15/2027 •

 

23,000

 

22,406

Venture CLO Ltd.
3.049% due 04/20/2029 •

 

9,300

 

8,997

WAVE LLC
3.597% due 09/15/2044

 

2,411

 

1,599

Wells Fargo Home Equity Asset-Backed Securities Trust

 

 

 

 

1.832% due 11/25/2035 •

 

232

 

232

 

Schedule of Investments PIMCO Fixed Income SHares: Series C (Cont.)

March 31, 2020

(Unaudited)

 

1.997% due 10/25/2034 •

 

166

 

159

Total Asset-Backed Securities (Cost $330,249)

 

 

 

314,210

 

 

SHARES

 

 

PREFERRED SECURITIES 3.7%

 

 

 

 

BANKING & FINANCE 3.2%

 

 

 

 

Banco Santander S.A.
6.250% due 09/11/2021 •(c)(d)

 

400,000

 

398

Bank of America Corp.
5.875% due 03/15/2028 •(c)

 

6,700,000

 

6,795

Charles Schwab Corp.

 

 

 

 

4.625% due 03/01/2022 •(c)

 

4,503,000

 

4,099

5.000% due 12/01/2027 •(c)

 

5,000,000

 

4,204

JPMorgan Chase & Co.

 

 

 

 

5.000% due 08/01/2024 •(c)

 

3,600,000

 

3,378

5.240% (US0003M + 3.470%) due 04/30/2020 ~(c)

 

15,109,000

 

13,662

MetLife Capital Trust
7.875% due 12/15/2067

 

600,000

 

697

State Street Corp.
5.625% due 12/15/2023 •(c)(g)

 

14,000,000

 

12,344

 

 

 

 

45,577

INDUSTRIALS 0.5%

 

 

 

 

General Electric Co.
5.000% due 01/21/2021 •(c)

 

9,000,000

 

7,442

Total Preferred Securities (Cost $58,680)

 

 

 

53,019

SHORT-TERM INSTRUMENTS 0.8%

 

 

 

 

REPURCHASE AGREEMENTS (f) 0.8%

 

 

 

10,710

Total Short-Term Instruments (Cost $10,710)

 

 

 

10,710

Total Investments in Securities (Cost $2,225,514)

 

 

 

2,232,677

INVESTMENTS IN AFFILIATES 0.7%

 

 

 

 

SHORT-TERM INSTRUMENTS 0.7%

 

 

 

 

CENTRAL FUNDS USED FOR CASH MANAGEMENT PURPOSES 0.7%

 

 

 

 

PIMCO Short-Term Floating NAV Portfolio III

 

956,897

 

9,398

Total Short-Term Instruments (Cost $9,385)

 

 

 

9,398

Total Investments in Affiliates (Cost $9,385)

 

 

 

9,398

Total Investments 157.6% (Cost $2,234,899)

 

 

$

2,242,075

Financial Derivative Instruments (h)(j) (0.3)%(Cost or Premiums, net $4,523)

 

 

 

(4,307)

Other Assets and Liabilities, net (57.3)%

 

 

 

(814,781)

Net Assets 100.0%

 

 

$

1,422,987

 

Schedule of Investments PIMCO Fixed Income SHares: Series C (Cont.)

March 31, 2020

(Unaudited)

 

 

NOTES TO SCHEDULE OF INVESTMENTS:

 

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

 

¤

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

^

Security is in default.

«

Security valued using significant unobservable inputs (Level 3).

~

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

•

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

þ

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

(a)

When-issued security.

(b)

Principal amount of security is adjusted for inflation.

(c)

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

(d)

Contingent convertible security.

(e)

RESTRICTED SECURITIES:

Issuer Description

Coupon

Maturity
Date

Acquisition
Date

 

Cost

 

Market
Value

Market Value
as Percentage
of Net Assets

Morgan Stanley

7.500

%

04/02/2032

02/11/2020

$

5,946

$

6,122

0.43

%

BORROWINGS AND OTHER FINANCING TRANSACTIONS

(f)

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

FICC

0.000%

03/31/2020

04/01/2020

$

10,710

U.S. Treasury Inflation Protected Securities 1.125% due 01/15/2021

$

(10,925)

$

10,710

$

10,710

Total Repurchase Agreements

 

$

(10,925)

$

10,710

$

10,710

REVERSE REPURCHASE AGREEMENTS:

Counterparty

Borrowing Rate(1)

Settlement Date

Maturity Date

 

Amount
Borrowed(1)

 

Payable for
Reverse
Repurchase
Agreements

BOM

1.730%

02/14/2020

04/14/2020

$

(1,172)

$

(1,175)

BOS

1.720

02/05/2020

04/06/2020

 

(19,319)

 

(19,370)

GRE

1.730

02/13/2020

04/13/2020

 

(19,299)

 

(19,343)

 

1.740

02/24/2020

04/06/2020

 

(16,591)

 

(16,621)

JPS

1.150

03/05/2020

TBD(2)

 

(4,061)

 

(4,065)

SGY

0.750

03/16/2020

04/16/2020

 

(31,787)

 

(31,798)

Total Reverse Repurchase Agreements

 

 

 

 

 

$

(92,372)

(g)

Securities with an aggregate market value of $101,009 and cash of $691 have been pledged as collateral under the terms of master agreements as of March 31, 2020.

(1)

The average amount of borrowings outstanding during the period ended March 31, 2020 was $(90,945) at a weighted average interest rate of 1.423%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.

(2)

Open maturity reverse repurchase agreement.

(h)

FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED

FUTURES CONTRACTS:

SHORT FUTURES CONTRACTS

 

Variation Margin

Description

 

 

 

Expiration
Month

 

# of
Contracts

 

Notional
Amount

 

 

Unrealized
Appreciation/
(Depreciation)

 

Asset

 

Liability

Euro-Bund 10-Year Bond June Futures

06/2020

 

181

$

(34,437)

 

$

461

$

217

$

(208)

U.S. Treasury 10-Year Note June Futures

06/2020

 

150

 

(20,803)

 

 

(853)

 

21

 

0

 

Schedule of Investments PIMCO Fixed Income SHares: Series C (Cont.)

March 31, 2020

(Unaudited)

 

United Kingdom Long Gilt June Futures

06/2020

 

291

 

(49,226)

 

 

(991)

 

181

 

(144)

Total Futures Contracts

 

$

(1,383)

$

419

$

(352)

SWAP AGREEMENTS:

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

 

Variation Margin

Reference Entity

Fixed
Receive Rate

Payment
Frequency

Maturity
Date

Implied
Credit Spread at
March 31, 2020(2)

 

Notional
Amount(3)

 

Premiums
Paid/
(Received)

 

Unrealized
Appreciation/
(Depreciation)

 

Market
Value(4)

 

Asset

 

Liability

Ally Financial, Inc.

5.000%

Quarterly

06/20/2022

1.913

%

$

30,500

$

3,769

$

(1,672)

$

2,097

$

242

$

0

Ford Motor Co.

5.000

Quarterly

12/20/2023

9.312

 

 

10,600

 

1,925

 

(3,215)

 

(1,290)

 

0

 

(16)

General Electric Co.

1.000

Quarterly

12/20/2023

1.948

 

 

5,800

 

(201)

 

9

 

(192)

 

33

 

0

General Electric Co.

1.000

Quarterly

06/20/2024

2.039

 

 

3,400

 

(6)

 

(133)

 

(139)

 

25

 

0

General Electric Co.

1.000

Quarterly

12/20/2024

2.153

 

 

1,800

 

(29)

 

(62)

 

(91)

 

13

 

0

 

 

 

 

 

 

$

5,458

$

(5,073)

$

385

$

313

$

(16)

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

 

Variation Margin

Index/Tranches

Fixed
Receive Rate

Payment
Frequency

Maturity
Date

 

Notional
Amount(3)

 

Premiums
Paid/
(Received)

 

Unrealized
Appreciation/
(Depreciation)

 

Market
Value(4)

 

Asset

 

Liability

iTraxx Europe Main 32 5-Year Index

1.000%

Quarterly

12/20/2024

EUR

26,300

$

234

$

(164)

$

70

$

0

$

(44)

INTEREST RATE SWAPS

 

Variation Margin

Pay/
Receive
Floating Rate

Floating Rate Index

Fixed Rate

Payment
Frequency

Maturity
Date

 

Notional
Amount

 

Premiums
Paid/
(Received)

 

Unrealized
Appreciation/
(Depreciation)

 

Market
Value

 

Asset

 

Liability

Pay

3-Month CAD-Bank Bill

1.270%

Semi-Annual

03/03/2022

CAD

46,800

$

0

$

308

$

308

$

3

$

0

Pay

3-Month CAD-Bank Bill

1.273

Semi-Annual

03/03/2022

 

17,500

 

0

 

115

 

115

 

1

 

0

 

 

 

 

 

 

$

0

$

423

$

423

$

4

$

0

Total Swap Agreements

$

5,692

$

(4,814)

$

878

$

317

$

(60)

(i)

Securities with an aggregate market value of $13,932 and cash of $17,107 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of March 31, 2020.

(1)

If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio 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 Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

(4)

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

(j)

FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER

FORWARD FOREIGN CURRENCY CONTRACTS:

 

Unrealized Appreciation/(Depreciation)

Counterparty

Settlement
Month

 

Currency to
be Delivered

 

Currency to
be Received

 

Asset

 

Liability

BOA

04/2020

GBP

72,141

$

93,019

$

3,412

$

0

 

04/2020

$

711

JPY

76,686

 

2

 

0

 

05/2020

JPY

76,687

$

713

 

0

 

(2)

 

06/2020

KRW

16,174,818

 

13,640

 

316

 

0

 

06/2020

$

32,402

TWD

963,803

 

0

 

(385)

BPS

04/2020

EUR

317

$

359

 

10

 

0

 

04/2020

GBP

1,041

 

1,350

 

57

 

0

 

04/2020

$

1,644

GBP

1,410

 

108

 

0

 

05/2020

COP

42,780,659

$

10,242

 

0

 

(246)

 

06/2020

TWD

1,883,729

 

63,374

 

797

 

0

 

06/2020

$

13,069

INR

945,743

 

0

 

(672)

 

06/2020

 

411

PLN

1,602

 

0

 

(24)

BRC

04/2020

 

2,299

GBP

1,880

 

37

 

0

 

04/2020

 

34,702

JPY

3,814,314

 

772

 

0

 

05/2020

GBP

1,880

$

2,300

 

0

 

(37)

CBK

04/2020

EUR

52,112

 

57,149

 

15

 

(341)

 

04/2020

GBP

1,250

 

1,517

 

27

 

(62)

 

04/2020

MXN

224,692

 

9,882

 

426

 

0

 

04/2020

$

11,710

COP

40,006,120

 

0

 

(1,874)

 

04/2020

 

838

EUR

750

 

0

 

(11)

 

04/2020

 

1,449

GBP

1,179

 

15

 

0

 

06/2020

INR

956,116

$

12,689

 

156

 

0

GLM

05/2020

RUB

7,083

 

88

 

0

 

(2)

JPM

04/2020

$

213

ZAR

3,171

 

0

 

(36)

MYI

04/2020

AUD

38,811

$

25,530

 

1,657

 

0

 

04/2020

$

25,897

AUD

39,134

 

0

 

(1,826)

 

06/2020

 

26,820

IDR

372,388,536

 

0

 

(4,145)

SCX

04/2020

 

9,237

EUR

8,208

 

0

 

(184)

 

04/2020

 

103,112

GBP

84,297

 

1,593

 

0

 

05/2020

EUR

43,471

$

47,759

 

0

 

(246)

 

05/2020

GBP

84,297

 

103,192

 

0

 

(1,586)

 

06/2020

IDR

381,690,270

 

25,983

 

2,742

 

0

 

06/2020

$

13,747

KRW

16,389,586

 

0

 

(246)

 

06/2020

 

31,650

TWD

941,493

 

0

 

(374)

SOG

06/2020

RUB

4,176

$

54

 

1

 

0

SSB

04/2020

$

11,133

MXN

213,378

 

0

 

(2,153)

TOR

04/2020

GBP

14,334

$

18,580

 

776

 

0

UAG

04/2020

JPY

3,891,000

 

36,708

 

521

 

0

Total Forward Foreign Currency Contracts

$

13,440

$

(14,452)

WRITTEN OPTIONS:

CREDIT DEFAULT SWAPTIONS ON CREDIT INDICES

Counterparty

Description

Buy/Sell
Protection

Exercise
Rate

Expiration
Date

 

Notional
Amount(1)

 

Premiums
(Received)

 

Market
Value

BOA

Put - OTC CDX.IG-33 5-Year Index

Sell

0.800%

06/17/2020

 

42,000

$

(44)

$

(733)

GST

Put - OTC CDX.IG-33 5-Year Index

Sell

0.800

06/17/2020

 

56,800

 

(69)

 

(992)

Total Written Options

$

(113)

$

(1,725)

SWAP AGREEMENTS:

CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION(2)

 

Swap Agreements, at Value (6)

Counterparty

Reference Entity

Fixed
(Pay) Rate

Payment
Frequency

Maturity
Date

Implied
Credit Spread at
March 31, 2020(4)

 

Notional
Amount(5)

 

Premiums
Paid/(Received)

 

Unrealized
Appreciation/
(Depreciation)

 

Asset

 

Liability

GST

UBS AG

(1.000)%

Quarterly

09/20/2022

1.144%

$

2,800

$

(16)

$

25

$

9

$

0

CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION(3)

 

Swap Agreements, at Value (6)

Counterparty

Reference Entity

Fixed
Receive Rate

Payment
Frequency

Maturity
Date

Implied
Credit Spread at
March 31, 2020(4)

 

Notional
Amount(5)

 

Premiums
Paid/(Received)

 

Unrealized
Appreciation/
(Depreciation)

 

Asset

 

Liability

BPS

Brazil Government International Bond

1.000%

Quarterly

06/20/2022

1.719%

$

9,250

$

(644)

$

502

$

0

$

(142)

 

Mexico Government International Bond

1.000

Quarterly

12/20/2023

1.895

 

13,500

 

(220)

 

(210)

 

0

 

(430)

 

Mexico Government International Bond

1.000

Quarterly

06/20/2024

2.001

 

2,800

 

(45)

 

(67)

 

0

 

(112)

BRC

Springleaf Finance Corp.

5.000

Quarterly

06/20/2022

5.992

 

800

 

66

 

(81)

 

0

 

(15)

CBK

Brazil Government International Bond

1.000

Quarterly

12/20/2024

2.474

 

3,000

 

(52)

 

(144)

 

0

 

(196)

 

Mexico Government International Bond

1.000

Quarterly

06/20/2024

2.001

 

1,200

 

(20)

 

(28)

 

0

 

(48)

GST

Brazil Government International Bond

1.000

Quarterly

06/20/2024

2.301

 

200

 

(7)

 

(3)

 

0

 

(10)

 

Brazil Government International Bond

1.000

Quarterly

12/20/2024

2.474

 

2,200

 

(34)

 

(109)

 

0

 

(143)

 

Mexico Government International Bond

1.000

Quarterly

06/20/2023

1.754

 

2,300

 

(21)

 

(33)

 

0

 

(54)

 

Mexico Government International Bond

1.000

Quarterly

12/20/2024

2.175

 

1,700

 

(14)

 

(75)

 

0

 

(89)

 

Springleaf Finance Corp.

5.000

Quarterly

06/20/2022

5.992

 

500

 

43

 

(52)

 

0

 

(9)

HUS

Mexico Government International Bond

1.000

Quarterly

12/20/2023

1.895

 

900

 

(15)

 

(14)

 

0

 

(29)

JPM

Mexico Government International Bond

1.000

Quarterly

06/20/2024

2.001

 

100

 

(2)

 

(2)

 

0

 

(4)

 

Schedule of Investments PIMCO Fixed Income SHares: Series C (Cont.)

March 31, 2020

(Unaudited)

 

MYC

Mexico Government International Bond

1.000

Quarterly

12/20/2024

2.175

 

11,900

 

(75)

 

(547)

 

0

 

(622)

 

 

 

 

 

 

 

$

(1,040)

$

(863)

$

0

$

(1,903)

Total Swap Agreements

$

(1,056)

$

(838)

$

9

$

(1,903)

(k)

Securities with an aggregate market value of $10,850 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of March 31, 2020.

(1)

Notional Amount represents the number of contracts.

(2)

If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive 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.

(3)

If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio 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.

(4)

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.

(5)

The maximum potential amount the Portfolio 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.

(6)

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

FAIR VALUE MEASUREMENTS

The following is a summary of the fair valuations according to the inputs used as of March 31, 2020 in valuing the Portfolio's assets and liabilities:

 

Category and Subcategory

Level 1

Level 2

Level 3

Fair Value
at 03/31/2020

Investments in Securities, at Value

Loan Participations and Assignments

$

0

$

15,533

$

10,003

$

25,536

 

Corporate Bonds & Notes

 

Banking & Finance

 

0

 

438,881

 

120

 

439,001

 

 

Industrials

 

0

 

157,209

 

0

 

157,209

 

 

Utilities

 

0

 

10,831

 

0

 

10,831

 

Municipal Bonds & Notes

 

California

 

0

 

3,895

 

0

 

3,895

 

 

Illinois

 

0

 

1,457

 

0

 

1,457

 

 

New Jersey

 

0

 

6,006

 

0

 

6,006

 

 

New York

 

0

 

10,907

 

0

 

10,907

 

 

Texas

 

0

 

4,844

 

0

 

4,844

 

 

Virginia

 

0

 

5,192

 

0

 

5,192

 

U.S. Government Agencies

 

0

 

797,781

 

0

 

797,781

 

U.S. Treasury Obligations

 

0

 

301,873

 

0

 

301,873

 

Non-Agency Mortgage-Backed Securities

 

0

 

90,206

 

0

 

90,206

 

Asset-Backed Securities

 

0

 

314,210

 

0

 

314,210

 

Preferred Securities

 

Banking & Finance

 

0

 

45,577

 

0

 

45,577

 

 

Industrials

 

0

 

7,442

 

0

 

7,442

 

Short-Term Instruments

 

Repurchase Agreements

 

0

 

10,710

 

0

 

10,710

 

 

$

0

$

2,222,554

$

10,123

$

2,232,677

 

Investments in Affiliates, at Value

Short-Term Instruments

 

Central Funds Used for Cash Management Purposes

$

9,398

$

0

$

0

$

9,398

 

Total Investments

$

9,398

$

2,222,554

$

10,123

$

2,242,075

 

Financial Derivative Instruments - Assets

Exchange-traded or centrally cleared

 

419

 

317

 

0

 

736

 

Over the counter

 

0

 

13,449

 

0

 

13,449

 

 

$

419

$

13,766

$

0

$

14,185

 

Financial Derivative Instruments - Liabilities

Exchange-traded or centrally cleared

 

(352)

 

(60)

 

0

 

(412)

 

Over the counter

 

0

 

(18,080)

 

0

 

(18,080)

 

 

$

(352)

$

(18,140)

$

0

$

(18,492)

 

Total Financial Derivative Instruments

$

67

$

(4,374)

$

0

$

(4,307)

 

Totals

$

9,465

$

2,218,180

$

10,123

$

2,237,768

 

 

There were no significant transfers into or out of Level 3 during the period ended March 31, 2020.

 

 

​

Schedule of Investments PIMCO Fixed Income SHares: Series LD

March 31, 2020

(Unaudited)

 

(AMOUNTS IN THOUSANDS*, EXCEPT NUMBER OF SHARES, CONTRACTS AND UNITS, IF ANY)

 

 

PRINCIPAL
AMOUNT
(000s)

 

MARKET
VALUE
(000s)

INVESTMENTS IN SECURITIES 170.6% ¤

 

 

 

 

LOAN PARTICIPATIONS AND ASSIGNMENTS 1.3%

 

 

 

 

Qatar National Bank SAQ
2.595% (LIBOR03M + 0.900%) due 12/22/2020 «~

$

1,000

$

1,000

Total Loan Participations and Assignments (Cost $997)

 

 

 

1,000

CORPORATE BONDS & NOTES 122.3%

 

 

 

 

BANKING & FINANCE 59.2%

 

 

 

 

AerCap Ireland Capital DAC

 

 

 

 

4.250% due 07/01/2020

 

500

 

493

4.625% due 10/30/2020

 

500

 

485

Air Lease Corp.
2.750% due 01/15/2023 (c)

 

1,300

 

1,103

Aircastle Ltd.
5.500% due 02/15/2022 (c)

 

1,500

 

1,367

Ally Financial, Inc.
4.250% due 04/15/2021

 

200

 

196

American Tower Corp.

 

 

 

 

3.300% due 02/15/2021 (c)

 

400

 

400

3.375% due 05/15/2024 (c)

 

1,200

 

1,208

Aozora Bank Ltd.
3.810% due 09/07/2021

 

700

 

725

Aviation Capital Group LLC

 

 

 

 

2.875% due 01/20/2022 (c)

 

1,100

 

995

4.125% due 08/01/2025 (c)

 

400

 

345

6.750% due 04/06/2021

 

250

 

248

Avolon Holdings Funding Ltd.
5.500% due 01/15/2023 (c)

 

400

 

360

Barclays PLC
4.338% due 05/16/2024 •(c)

 

1,200

 

1,159

BGC Partners, Inc.
5.125% due 05/27/2021

 

300

 

303

BOC Aviation Ltd.

 

 

 

 

2.375% due 09/15/2021

 

400

 

401

3.000% due 05/23/2022

 

1,300

 

1,340

Cantor Fitzgerald LP
6.500% due 06/17/2022 (c)

 

200

 

206

Citigroup, Inc.

 

 

 

 

2.751% (US0003M + 0.950%) due 07/24/2023 ~(c)

 

1,500

 

1,418

2.792% (US0003M + 1.100%) due 05/17/2024 ~

 

600

 

573

CK Hutchison International Ltd.
3.250% due 04/11/2024 (c)

 

1,000

 

1,043

Credit Suisse Group Funding Guernsey Ltd.
3.800% due 09/15/2022 (c)

 

850

 

865

Danske Bank A/S

 

 

 

 

1.844% (US0003M + 1.060%) due 09/12/2023 ~(c)

 

1,500

 

1,360

2.000% due 09/08/2021 (c)

 

500

 

490

Doric Nimrod Air Finance Alpha Ltd. Pass-Through Trust
5.125% due 11/30/2024

 

82

 

83

Five Corners Funding Trust
4.419% due 11/15/2023 (c)

 

500

 

539

Ford Motor Credit Co. LLC

 

 

 

 

4.250% due 09/20/2022 (c)

 

1,600

 

1,508

5.750% due 02/01/2021

 

500

 

487

General Motors Financial Co., Inc.
3.550% due 07/08/2022 (c)

 

2,000

 

1,850

Hyundai Capital Services, Inc.
2.875% due 03/16/2021

 

1,000

 

996

ICICI Bank Ltd.
3.125% due 08/12/2020

 

300

 

298

International Lease Finance Corp.
8.250% due 12/15/2020

 

250

 

249

LeasePlan Corp. NV
2.875% due 10/24/2024 (c)

 

1,700

 

1,669

Mitsubishi UFJ Financial Group, Inc.
2.654% (US0003M + 0.860%) due 07/26/2023 ~(c)

 

2,000

 

1,838

Mitsubishi UFJ Lease & Finance Co. Ltd.
2.250% due 09/07/2021

 

1,000

 

984

Nationwide Building Society
3.622% due 04/26/2023 •(c)

 

500

 

497

Navient Corp.

 

 

 

 

5.875% due 03/25/2021

 

100

 

98

 

 

 

Schedule of Investments PIMCO Fixed Income SHares: Series LD (Cont.)

March 31, 2020

(Unaudited)

 

6.625% due 07/26/2021

 

400

 

413

7.250% due 01/25/2022

 

500

 

491

Nissan Motor Acceptance Corp.
1.825% (US0003M + 0.630%) due 09/21/2021 ~(c)

 

500

 

487

Nomura Holdings, Inc.
2.648% due 01/16/2025 (c)

 

1,700

 

1,667

ORIX Corp.

 

 

 

 

2.900% due 07/18/2022 (c)

 

1,200

 

1,234

3.200% due 01/19/2022

 

500

 

499

Park Aerospace Holdings Ltd.
5.250% due 08/15/2022 (c)

 

1,300

 

1,176

Qatari Diar Finance QSC
5.000% due 07/21/2020

 

600

 

603

QNB Finance Ltd.

 

 

 

 

2.763% (US0003M + 1.000%) due 05/02/2022 ~

 

400

 

398

3.181% (US0003M + 1.450%) due 08/11/2021 ~

 

600

 

604

Reliance Standard Life Global Funding
2.750% due 01/21/2027 (c)

 

900

 

840

Royal Bank of Scotland Group PLC

 

 

 

 

3.498% due 05/15/2023 •(c)

 

600

 

593

4.519% due 06/25/2024 •(c)

 

900

 

908

Santander UK PLC

 

 

 

 

2.100% due 01/13/2023 (c)

 

1,000

 

971

3.400% due 06/01/2021 (c)

 

1,100

 

1,102

SBA Tower Trust
3.156% due 10/10/2045 (c)

 

1,800

 

1,798

SMBC Aviation Capital Finance DAC

 

 

 

 

2.650% due 07/15/2021 (c)

 

1,200

 

1,190

2.650% due 07/15/2021

 

600

 

595

3.000% due 07/15/2022

 

300

 

303

3.550% due 04/15/2024

 

300

 

321

Springleaf Finance Corp.

 

 

 

 

6.125% due 05/15/2022

 

400

 

409

7.750% due 10/01/2021

 

600

 

603

8.250% due 12/15/2020

 

200

 

201

Standard Chartered PLC
2.744% due 09/10/2022 •(c)

 

1,300

 

1,287

State Bank of India
2.850% (US0003M + 0.950%) due 04/06/2020 ~

 

600

 

600

Swedbank AB
1.441% (US0003M + 0.700%) due 03/14/2022 ~

 

200

 

194

 

 

 

 

47,666

INDUSTRIALS 53.3%

 

 

 

 

AbbVie, Inc.
2.300% due 11/21/2022 (c)

 

1,400

 

1,401

Allergan Sales LLC
5.000% due 12/15/2021

 

400

 

415

Arrow Electronics, Inc.
3.500% due 04/01/2022 (c)

 

600

 

597

Bacardi Ltd.
4.500% due 01/15/2021

 

1,700

 

1,716

BAT Capital Corp.
2.764% due 08/15/2022 (c)

 

1,500

 

1,479

Bayer U.S. Finance LLC
2.750% due 07/15/2021

 

100

 

99

Boral Finance Pty. Ltd.
3.000% due 11/01/2022 (c)

 

1,100

 

1,111

Broadcom Corp.
3.000% due 01/15/2022 (c)

 

800

 

793

Broadcom, Inc.
4.250% due 04/15/2026 (c)

 

1,100

 

1,120

Carrier Global Corp.
2.242% due 02/15/2025

 

800

 

784

Central Nippon Expressway Co. Ltd.
1.591% (US0003M + 0.850%) due 09/14/2021 ~(c)

 

1,400

 

1,367

Charter Communications Operating LLC

 

 

 

 

3.579% due 07/23/2020

 

500

 

498

4.464% due 07/23/2022

 

1,200

 

1,241

4.500% due 02/01/2024

 

300

 

310

Crown Castle Towers LLC
3.222% due 05/15/2042 (c)

 

300

 

300

CVS Health Corp.
3.350% due 03/09/2021 (c)

 

478

 

481

D.R. Horton, Inc.
4.375% due 09/15/2022 (c)

 

1,000

 

1,020

Daimler Finance North America LLC
2.550% due 08/15/2022 (c)

 

1,700

 

1,632

Dell International LLC

 

 

 

 

4.420% due 06/15/2021 (c)

 

600

 

607

5.450% due 06/15/2023 (c)

 

400

 

411

Delta Air Lines, Inc.
3.625% due 03/15/2022

 

1,400

 

1,311

EMC Corp.
2.650% due 06/01/2020

 

240

 

240

 

Schedule of Investments PIMCO Fixed Income SHares: Series LD (Cont.)

March 31, 2020

(Unaudited)

 

GATX Corp.
2.461% (US0003M + 0.720%) due 11/05/2021 ~

 

200

 

196

General Mills, Inc.
6.610% due 10/15/2022 (c)

 

500

 

502

Georgia-Pacific LLC
3.734% due 07/15/2023 (c)

 

200

 

211

Hyundai Capital America
3.450% due 03/12/2021

 

700

 

700

Imperial Brands Finance PLC

 

 

 

 

3.125% due 07/26/2024 (c)

 

650

 

637

3.750% due 07/21/2022 (c)

 

1,100

 

1,101

Japan Tobacco, Inc.
2.000% due 04/13/2021

 

500

 

499

Kansas City Southern
3.000% due 05/15/2023 (c)

 

1,500

 

1,422

Las Vegas Sands Corp.

 

 

 

 

2.900% due 06/25/2025

 

300

 

269

3.500% due 08/18/2026 (c)

 

500

 

458

Latam Airlines Pass-Through Trust
4.200% due 08/15/2029

 

153

 

139

Masco Corp.
5.950% due 03/15/2022

 

76

 

77

Mylan NV
3.150% due 06/15/2021 (c)

 

1,700

 

1,685

NXP BV

 

 

 

 

4.125% due 06/01/2021 (c)

 

500

 

505

4.625% due 06/15/2022 (c)

 

1,200

 

1,242

Occidental Petroleum Corp.
3.142% (US0003M + 1.450%) due 08/15/2022 ~(c)

 

1,100

 

737

Otis Worldwide Corp.
2.056% due 04/05/2025

 

900

 

883

Pacific National Finance Pty. Ltd.

 

 

 

 

4.625% due 09/23/2020 (c)

 

700

 

708

6.000% due 04/07/2023 (c)

 

1,000

 

1,094

Pioneer Natural Resources Co.
3.450% due 01/15/2021 (c)

 

300

 

289

Reynolds American, Inc.
4.000% due 06/12/2022 (c)

 

600

 

608

Ryder System, Inc.
2.875% due 06/01/2022 (c)

 

1,200

 

1,204

Sabine Pass Liquefaction LLC

 

 

 

 

5.625% due 02/01/2021 (c)

 

1,400

 

1,378

6.250% due 03/15/2022

 

300

 

291

Shire Acquisitions Investments Ireland DAC
2.400% due 09/23/2021

 

100

 

100

Spirit AeroSystems, Inc.

 

 

 

 

1.541% (US0003M + 0.800%) due 06/15/2021 ~(c)

 

950

 

905

3.950% due 06/15/2023 (c)

 

1,100

 

955

Sprint Spectrum Co. LLC
3.360% due 03/20/2023 (c)

 

300

 

300

Syngenta Finance NV

 

 

 

 

3.698% due 04/24/2020

 

1,700

 

1,697

3.933% due 04/23/2021

 

200

 

188

Teva Pharmaceutical Finance Netherlands BV
2.200% due 07/21/2021

 

52

 

50

Volkswagen Group of America Finance LLC
2.700% due 09/26/2022 (c)

 

500

 

484

Westinghouse Air Brake Technologies Corp.
4.400% due 03/15/2024

 

800

 

796

ZF North America Capital, Inc.
4.000% due 04/29/2020

 

1,700

 

1,692

 

 

 

 

42,935

UTILITIES 9.8%

 

 

 

 

AT&T, Inc.

 

 

 

 

1.964% (US0003M + 1.180%) due 06/12/2024 ~(c)

 

700

 

650

2.594% (US0003M + 0.890%) due 02/15/2023 ~(c)

 

1,100

 

1,039

Duquesne Light Holdings, Inc.
5.900% due 12/01/2021

 

300

 

320

Edison International
2.125% due 04/15/2020 (c)

 

1,800

 

1,798

Enel Finance International NV
4.250% due 09/14/2023

 

200

 

205

FirstEnergy Corp.
2.850% due 07/15/2022 (c)

 

700

 

683

Israel Electric Corp. Ltd.
5.000% due 11/12/2024

 

400

 

420

Ras Laffan Liquefied Natural Gas Co. Ltd.
5.298% due 09/30/2020

 

90

 

92

Southern Power Co.
1.666% (US0003M + 0.550%) due 12/20/2020 ~

 

65

 

64

Sprint Communications, Inc.
6.000% due 11/15/2022

 

300

 

314

Sprint Corp.
7.250% due 09/15/2021

 

1,100

 

1,140

 

Schedule of Investments PIMCO Fixed Income SHares: Series LD (Cont.)

March 31, 2020

(Unaudited)

 

Telstra Corp. Ltd.
3.125% due 04/07/2025

 

100

 

107

Verizon Communications, Inc.
2.792% (US0003M + 1.100%) due 05/15/2025 ~(c)

 

1,100

 

1,003

Wisconsin Electric Power Co.
2.050% due 12/15/2024

 

100

 

101

 

 

 

 

7,936

Total Corporate Bonds & Notes (Cost $101,666)

 

 

 

98,537

MUNICIPAL BONDS & NOTES 1.1%

 

 

 

 

PENNSYLVANIA 1.1%

 

 

 

 

Pennsylvania Higher Education Assistance Agency Revenue Bonds, Series 2006
1.924% (US0003M + 0.130%) due 10/25/2036 ~

 

900

 

887

Total Municipal Bonds & Notes (Cost $885)

 

 

 

887

U.S. GOVERNMENT AGENCIES 2.3%

 

 

 

 

Fannie Mae

 

 

 

 

0.850% due 09/25/2022 •

 

9

 

9

Freddie Mac

 

 

 

 

2.500% due 06/25/2034

 

1,564

 

1,596

4.705% due 01/15/2022 •

 

5

 

5

Ginnie Mae

 

 

 

 

1.223% due 10/20/2037 •

 

37

 

37

2.342% due 08/20/2061 •

 

3

 

3

2.462% due 05/20/2066 •

 

162

 

160

Total U.S. Government Agencies (Cost $1,792)

 

 

 

1,810

U.S. TREASURY OBLIGATIONS 5.5%

 

 

 

 

U.S. Treasury Inflation Protected Securities (a)

 

 

 

 

0.875% due 01/15/2029

 

1,532

 

1,667

U.S. Treasury Notes

 

 

 

 

0.375% due 03/31/2022

 

1,300

 

1,304

0.500% due 03/31/2025

 

600

 

604

1.500% due 02/15/2030

 

800

 

862

Total U.S. Treasury Obligations (Cost $4,333)

 

 

 

4,437

NON-AGENCY MORTGAGE-BACKED SECURITIES 15.0%

 

 

 

 

Banc of America Funding Trust

 

 

 

 

1.073% due 02/20/2035 •

 

5

 

5

4.717% due 09/20/2034 ~

 

47

 

42

Bancorp Commercial Mortgage Trust
1.755% due 09/15/2036 •

 

199

 

190

Bear Stearns Adjustable Rate Mortgage Trust

 

 

 

 

3.560% due 04/25/2033 ~

 

21

 

20

4.103% due 01/25/2034 ~

 

7

 

6

4.635% due 11/25/2034 ~

 

44

 

38

Brass PLC
2.392% due 11/16/2066 •

 

183

 

179

Citigroup Mortgage Loan Trust
4.380% due 10/25/2035 •

 

4

 

4

Countrywide Alternative Loan Trust
1.107% due 07/25/2036 •

 

82

 

77

Credit Suisse First Boston Mortgage Securities Corp.

 

 

 

 

3.953% due 06/25/2033 ~

 

13

 

11

6.500% due 04/25/2033

 

55

 

57

GSR Mortgage Loan Trust

 

 

 

 

3.287% due 08/25/2033 •

 

59

 

52

4.098% due 09/25/2035 ~

 

4

 

4

Holmes Master Issuer PLC
2.251% due 10/15/2054 •

 

1,169

 

1,164

Impac CMB Trust

 

 

 

 

1.587% due 03/25/2035 •

 

294

 

261

1.947% due 07/25/2033 •

 

203

 

192

JPMorgan Chase Commercial Mortgage Securities Trust
2.155% due 12/15/2031 •

 

1,000

 

977

JPMorgan Mortgage Trust

 

 

 

 

4.055% due 06/25/2035 ~

 

14

 

13

4.241% due 02/25/2034 ~

 

26

 

23

4.251% due 04/25/2035 ~

 

93

 

93

4.280% due 09/25/2034 ~

 

6

 

6

4.370% due 02/25/2035 ~

 

3

 

2

Lanark Master Issuer PLC
2.453% due 12/22/2069 •

 

1,230

 

1,222

Legacy Mortgage Asset Trust
3.000% due 06/25/2059 þ

 

951

 

853

Mellon Residential Funding Corp. Mortgage Pass-Through Trust

 

 

 

 

1.185% due 06/15/2030 •

 

16

 

15

2.612% due 10/20/2029 •

 

10

 

9

 

Schedule of Investments PIMCO Fixed Income SHares: Series LD (Cont.)

March 31, 2020

(Unaudited)

 

Merrill Lynch Mortgage Investors Trust

 

 

 

 

1.407% due 04/25/2029 •

 

5

 

4

1.587% due 10/25/2028 •

 

4

 

4

3.732% due 02/25/2035 ~

 

100

 

88

MF1 Ltd.
2.077% due 12/25/2034 «•

 

2,000

 

1,791

Morgan Stanley Mortgage Loan Trust
3.834% due 11/25/2034 ~

 

6

 

6

Motel 6 Trust
1.625% due 08/15/2034 •

 

319

 

299

New Century Home Equity Loan Trust
2.750% due 11/25/2059 ~

 

983

 

991

Prime Mortgage Trust
1.347% due 02/25/2034 •

 

7

 

6

Sequoia Mortgage Trust

 

 

 

 

1.100% due 10/19/2026 •

 

58

 

54

1.533% due 10/20/2027 •

 

8

 

7

Structured Asset Mortgage Investments Trust

 

 

 

 

1.330% due 07/19/2034 •

 

32

 

29

1.410% due 09/19/2032 •

 

8

 

7

6.112% due 06/25/2029 ~

 

5

 

4

Structured Asset Securities Corp. Mortgage Loan Trust
1.547% due 10/25/2027 •

 

5

 

5

Thornburg Mortgage Securities Trust

 

 

 

 

1.587% due 09/25/2043 •

 

5

 

5

3.713% due 04/25/2045 ~

 

19

 

17

VMC Finance LLC
1.720% due 10/15/2035 •

 

679

 

636

WaMu Mortgage Pass-Through Certificates Trust

 

 

 

 

1.217% due 12/25/2045 •

 

158

 

142

1.237% due 10/25/2045 •

 

27

 

25

1.347% due 06/25/2044 •

 

23

 

21

1.687% due 11/25/2034 •

 

55

 

49

3.366% due 06/25/2042 •

 

6

 

5

Wells Fargo Commercial Mortgage Trust
1.647% due 12/13/2031 •

 

1,000

 

951

Wells Fargo-RBS Commercial Mortgage Trust
2.250% due 06/15/2044 •

 

1,431

 

1,440

Total Non-Agency Mortgage-Backed Securities (Cost $12,669)

 

 

 

12,101

ASSET-BACKED SECURITIES 22.3%

 

 

 

 

Allegro CLO Ltd.
2.990% due 01/30/2026 •

 

23

 

22

Amortizing Residential Collateral Trust
1.947% due 10/25/2034 •

 

248

 

225

Bear Stearns Asset-Backed Securities Trust

 

 

 

 

1.697% due 03/25/2035 •

 

1,000

 

911

1.747% due 10/27/2032 •

 

38

 

35

2.147% due 01/25/2045 •

 

417

 

409

Chase Funding Trust
1.687% due 10/25/2032 •

 

62

 

58

Colony American Finance Ltd.
2.544% due 06/15/2048

 

43

 

43

Countrywide Asset-Backed Certificates Trust
1.427% due 05/25/2036 •

 

500

 

449

Delta Funding Home Equity Loan Trust
1.525% due 09/15/2029 •

 

6

 

6

Finance America Mortgage Loan Trust
1.772% due 08/25/2034 •

 

134

 

124

First Franklin Mortgage Loan Trust
1.107% due 04/25/2036 •

 

1,389

 

1,231

GSAMP Trust
1.207% due 06/25/2036 •

 

800

 

713

Halcyon Loan Advisors Funding Ltd.

 

 

 

 

2.747% due 04/20/2027 •

 

601

 

598

2.949% due 04/18/2026 •

 

96

 

96

LCM LP
2.859% due 10/20/2027 •

 

250

 

242

Monarch Grove CLO
2.674% due 01/25/2028 •

 

1,500

 

1,455

New Century Home Equity Loan Trust
1.877% due 11/25/2034 •

 

785

 

705

NovaStar Mortgage Funding Trust
1.607% due 01/25/2036 •

 

1,500

 

1,429

Palmer Square Loan Funding Ltd.
2.701% due 10/24/2027 •

 

1,237

 

1,204

RAAC Trust
1.497% due 01/25/2046 •

 

999

 

956

Residential Mortgage Loan Trust
2.447% due 09/25/2029 •

 

3

 

3

Securitized Asset-Backed Receivables LLC Trust
1.622% due 01/25/2035 •

 

611

 

551

SLM Student Loan Trust

 

 

 

 

1.291% due 12/15/2025 •

 

303

 

300

2.544% due 04/25/2023 •

 

669

 

637

 

Schedule of Investments PIMCO Fixed Income SHares: Series LD (Cont.)

March 31, 2020

(Unaudited)

 

3.294% due 04/25/2023 •

 

427

 

423

3.494% due 07/25/2023 •

 

348

 

329

SMB Private Education Loan Trust
1.705% due 06/15/2027 •

 

157

 

153

SoFi Professional Loan Program LLC
3.020% due 02/25/2040

 

194

 

199

Towd Point Mortgage Trust

 

 

 

 

1.947% due 05/25/2058 •

 

1,281

 

1,264

1.947% due 10/25/2059 •

 

1,064

 

1,042

3.000% due 11/25/2059 ~

 

972

 

966

Venture CLO Ltd.
3.049% due 04/20/2029 •

 

900

 

871

Zais CLO Ltd.
2.981% due 04/15/2028 •

 

300

 

292

Total Asset-Backed Securities (Cost $18,705)

 

 

 

17,941

SOVEREIGN ISSUES 0.3%

 

 

 

 

Export-Import Bank of India
2.696% (US0003M + 1.000%) due 08/21/2022 ~

 

250

 

247

Total Sovereign Issues (Cost $250)

 

 

 

247

 

 

SHARES

 

 

PREFERRED SECURITIES 0.5%

 

 

 

 

BANKING & FINANCE 0.5%

 

 

 

 

JPMorgan Chase & Co.
5.240% (US0003M + 3.470%) due 04/30/2020 ~(b)

 

440,000

 

398

Total Preferred Securities (Cost $440)

 

 

 

398

Total Investments in Securities (Cost $141,737)

 

 

 

137,358

INVESTMENTS IN AFFILIATES 3.3%

 

 

 

 

SHORT-TERM INSTRUMENTS 3.3%

 

 

 

 

CENTRAL FUNDS USED FOR CASH MANAGEMENT PURPOSES 3.3%

 

 

 

 

PIMCO Short-Term Floating NAV Portfolio III

 

273,265

 

2,684

Total Short-Term Instruments (Cost $2,685)

 

 

 

2,684

Total Investments in Affiliates (Cost $2,685)

 

 

 

2,684

Total Investments 173.9% (Cost $144,422)

 

 

$

140,042

Financial Derivative Instruments (d)(e) 0.8%(Cost or Premiums, net $(171))

 

 

 

624

Other Assets and Liabilities, net (74.7)%

 

 

 

(60,120)

Net Assets 100.0%

 

 

$

80,546

 

Schedule of Investments PIMCO Fixed Income SHares: Series LD (Cont.)

March 31, 2020

(Unaudited)

 

 

NOTES TO SCHEDULE OF INVESTMENTS:

 

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

 

¤

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

«

Security valued using significant unobservable inputs (Level 3).

~

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

•

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

þ

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

(a)

Principal amount of security is adjusted for inflation.

(b)

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

BORROWINGS AND OTHER FINANCING TRANSACTIONS

REVERSE REPURCHASE AGREEMENTS:

Counterparty

Borrowing Rate(1)

Settlement Date

Maturity Date

 

Amount
Borrowed(1)

 

Payable for
Reverse
Repurchase
Agreements

CFR

1.500%

03/20/2020

TBD(2)

$

(813)

$

(813)

CIW

1.150

03/18/2020

TBD(2)

 

(5,075)

 

(5,077)

FOB

1.400

03/13/2020

04/09/2020

 

(5,563)

 

(5,567)

 

1.500

03/20/2020

TBD(2)

 

(13,558)

 

(13,565)

RDR

1.113

03/10/2020

04/09/2020

 

(511)

 

(511)

 

1.150

03/17/2020

TBD(2)

 

(545)

 

(545)

 

1.200

03/17/2020

TBD(2)

 

(956)

 

(957)

SOG

1.300

03/05/2020

TBD(2)

 

(1,538)

 

(1,540)

 

1.330

03/05/2020

TBD(2)

 

(18,740)

 

(18,759)

 

1.340

03/05/2020

TBD(2)

 

(1,776)

 

(1,778)

 

1.360

03/05/2020

TBD(2)

 

(969)

 

(970)

TDM

2.100

03/24/2020

04/15/2020

 

(774)

 

(774)

 

2.100

03/24/2020

04/22/2020

 

(7,165)

 

(7,168)

 

2.100

03/25/2020

04/23/2020

 

(5,311)

 

(5,313)

Total Reverse Repurchase Agreements

 

 

 

 

 

$

(63,337)

(c)

Securities with an aggregate market value of $67,211 and cash of $935 have been pledged as collateral under the terms of master agreements as of March 31, 2020.

(1)

The average amount of borrowings outstanding during the period ended March 31, 2020 was $(69,956) at a weighted average interest rate of 1.789%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.

(2)

Open maturity reverse repurchase agreement.

(d)

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 - CBOT U.S. Treasury 2-Year Note June 2020 Futures

$

104.750

05/22/2020

1

$

2

$

0

$

0

Put - CBOT U.S. Treasury 2-Year Note June 2020 Futures

 

105.000

05/22/2020

6

 

12

 

0

 

0

Put - CBOT U.S. Treasury 2-Year Note June 2020 Futures

 

105.250

05/22/2020

40

 

80

 

0

 

0

Put - CBOT U.S. Treasury 2-Year Note June 2020 Futures

 

105.500

05/22/2020

17

 

34

 

0

 

0

Put - CBOT U.S. Treasury 2-Year Note June 2020 Futures

 

105.625

05/22/2020

32

 

64

 

0

 

0

Put - CBOT U.S. Treasury 2-Year Note June 2020 Futures

 

105.750

05/22/2020

5

 

10

 

0

 

0

Put - CBOT U.S. Treasury 2-Year Note June 2020 Futures

 

106.125

05/22/2020

6

 

12

 

0

 

0

Put - CBOT U.S. Treasury 2-Year Note June 2020 Futures

 

106.250

05/22/2020

1

 

2

 

0

 

0

Put - CBOT U.S. Treasury 2-Year Note June 2020 Futures

 

106.375

05/22/2020

58

 

116

 

1

 

0

Call - CBOT U.S. Treasury 5-Year Note June 2020 Futures

 

131.500

05/22/2020

22

 

22

 

0

 

1

Call - CBOT U.S. Treasury 10-Year Note June 2020 Futures

 

200.000

05/22/2020

41

 

41

 

37

 

1

Call - CBOT U.S. Treasury Ultra Long-Term Bond June 2020 Futures

 

184.000

05/22/2020

69

 

69

 

1

 

0

Call - CBOT U.S. Treasury Ultra Long-Term Bond June 2020 Futures

 

265.000

05/22/2020

13

 

13

 

0

 

8

Call - CBOT U.S. Treasury Ultra Long-Term Bond June 2020 Futures

 

290.000

05/22/2020

4

 

4

 

0

 

1

Total Purchased Options

$

39

$

11

 

Schedule of Investments PIMCO Fixed Income SHares: Series LD (Cont.)

March 31, 2020

(Unaudited)

 

FUTURES CONTRACTS:

LONG FUTURES CONTRACTS

 

Variation Margin

Description

 

 

 

Expiration
Month

 

# of
Contracts

 

Notional
Amount

 

 

Unrealized
Appreciation/
(Depreciation)

 

Asset

 

Liability

3-Month Canada Bankers Acceptance March Futures

03/2021

 

143

 

25,252

 

$

232

$

4

$

(1)

U.S. Treasury 2-Year Note June Futures

06/2020

 

88

 

19,394

 

 

198

 

0

 

(3)

U.S. Treasury 5-Year Note June Futures

06/2020

 

11

 

1,379

 

 

1

 

0

 

(1)

 

 

 

 

 

 

 

 

$

431

$

4

$

(5)

SHORT FUTURES CONTRACTS

 

Variation Margin

Description

 

 

 

Expiration
Month

 

# of
Contracts

 

Notional
Amount

 

 

Unrealized
Appreciation/
(Depreciation)

 

Asset

 

Liability

U.S. Treasury 10-Year Note June Futures

06/2020

 

34

 

(4,715)

 

$

(194)

$

5

$

0

U.S. Treasury 10-Year Ultra June Futures

06/2020

 

69

 

(10,766)

 

 

(609)

 

22

 

0

 

 

 

 

 

 

 

 

$

(803)

$

27

$

0

Total Futures Contracts

 

$

(372)

$

31

$

(5)

SWAP AGREEMENTS:

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

 

Variation Margin

Index/Tranches

Fixed
(Pay) Rate

Payment
Frequency

Maturity
Date

 

Notional
Amount(2)

 

Premiums
Paid/
(Received)

 

Unrealized
Appreciation/
(Depreciation)

 

Market
Value(3)

 

Asset

 

Liability

CDX.HY-33 5-Year Index

(5.000)%

Quarterly

12/20/2024

$

8,036

$

(521)

$

997

$

476

$

106

$

0

CDX.HY-34 5-Year Index

(5.000)

Quarterly

06/20/2025

 

2,500

 

99

 

53

 

152

 

34

 

0

 

 

 

 

 

$

(422)

$

1,050

$

628

$

140

$

0

INTEREST RATE SWAPS -BASIS SWAPS

 

Variation Margin

Pay Floating Rate Index

Receive Floating Rate Index

Payment
Frequency

Maturity
Date

 

Notional
Amount

 

Premiums
Paid/
(Received)

 

Unrealized
Appreciation/
(Depreciation)

 

Market
Value

 

Asset

 

Liability

3-Month USD-LIBOR(4)

01-Month USD-LIBOR + 0.098%

Quarterly

01/13/2023

$

7,400

$

0

$

(2)

$

(2)

$

0

$

(1)

3-Month USD-LIBOR(4)

01-Month USD-LIBOR + 0.098%

Quarterly

01/13/2023

 

5,700

 

0

 

(3)

 

(3)

 

0

 

0

 

 

 

 

 

 

$

0

$

(5)

$

(5)

$

0

$

(1)

INTEREST RATE SWAPS

 

Variation Margin

Pay/
Receive
Floating Rate

Floating Rate Index

Fixed Rate

Payment
Frequency

Maturity
Date

 

Notional
Amount

 

Premiums
Paid/
(Received)

 

Unrealized
Appreciation/
(Depreciation)

 

Market
Value

 

Asset

 

Liability

Pay

3-Month CAD-Bank Bill

2.250%

Semi-Annual

06/20/2028

CAD

1,600

$

43

$

65

$

108

$

0

$

(5)

Pay

3-Month CAD-Bank Bill

2.500

Semi-Annual

06/19/2029

 

2,600

 

181

 

51

 

232

 

0

 

(10)

Receive

3-Month USD-LIBOR

1.625

Semi-Annual

01/06/2030

$

3,300

 

(17)

 

(267)

 

(284)

 

18

 

0

Receive

6-Month GBP-LIBOR

0.750

Semi-Annual

03/18/2030

GBP

2,100

 

22

 

(66)

 

(44)

 

0

 

(3)

 

 

 

 

 

 

$

229

$

(217)

$

12

$

18

$

(18)

Total Swap Agreements

$

(193)

$

828

$

635

$

158

$

(19)

Cash of $1,400 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of March 31, 2020.

(1)

If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive 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 Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

(3)

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

 

Schedule of Investments PIMCO Fixed Income SHares: Series LD (Cont.)

March 31, 2020

(Unaudited)

 

(4)

This instrument has a forward starting effective date.

(e)

FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER

FORWARD FOREIGN CURRENCY CONTRACTS:

 

Unrealized Appreciation/(Depreciation)

Counterparty

Settlement
Month

 

Currency to
be Delivered

 

Currency to
be Received

 

Asset

 

Liability

BPS

04/2020

$

81

CAD

111

$

0

$

(3)

 

04/2020

 

86

GBP

68

 

0

 

(1)

BRC

04/2020

AUD

2,863

$

1,903

 

142

 

0

 

04/2020

GBP

46

 

59

 

2

 

0

 

04/2020

$

3,576

JPY

393,100

 

80

 

0

GLM

04/2020

EUR

14

$

16

 

0

 

0

JPM

04/2020

AUD

43

 

25

 

0

 

(1)

 

04/2020

JPY

298,600

 

2,826

 

49

 

0

 

04/2020

$

3,550

AUD

5,761

 

0

 

(6)

 

04/2020

 

1,797

CAD

2,454

 

0

 

(53)

MYI

04/2020

AUD

2,953

$

1,940

 

124

 

(1)

 

04/2020

GBP

34

 

45

 

2

 

0

 

04/2020

$

92

AUD

140

 

0

 

(6)

SCX

04/2020

CAD

2,577

$

1,930

 

99

 

0

 

04/2020

JPY

95,500

 

908

 

20

 

0

Total Forward Foreign Currency Contracts

$

518

$

(71)

PURCHASED OPTIONS:

FOREIGN CURRENCY OPTIONS

Counterparty

Description

 

Strike
Price

Expiration
Date

 

Notional
Amount(1)

 

Cost

 

Market
Value

BOA

Call - OTC AUD versus USD

$

0.780

04/07/2020

 

5,200

$

1

$

0

 

Call - OTC AUD versus USD

 

0.770

04/21/2020

 

1,500

 

0

 

0

 

Put - OTC USD versus CAD

CAD

1.215

04/14/2020

 

3,600

 

1

 

0

 

Call - OTC USD versus JPY

JPY

120.000

05/22/2020

 

3,000

 

0

 

1

 

Call - OTC USD versus JPY

 

120.000

05/29/2020

 

950

 

0

 

0

BPS

Call - OTC AUD versus USD

$

0.795

04/27/2020

 

2,700

 

0

 

0

 

 

 

 

 

 

 

$

2

$

1

OPTIONS ON SECURITIES

Counterparty

Description

 

Strike
Price

Expiration
Date

 

 

Notional
Amount(1)

 

Cost

 

Market
Value

JPM

Put - OTC Uniform Mortgage-Backed Security, TBA 3.000% due 05/01/2050

$

72.000

05/06/2020

 

 

4,800

$

0

$

0

Total Purchased Options

$

2

$

1

WRITTEN OPTIONS:

INTEREST RATE SWAPTIONS

Counterparty

Description

Floating Rate
Index

Pay/Receive
Floating Rate

Exercise
Rate

Expiration
Date

 

Notional
Amount(1)

 

Premiums
(Received)

 

Market
Value

MYC

Put - OTC 5-Year Interest Rate Swap

3-Month USD-LIBOR

Pay

1.150%

04/03/2020

 

9,000

$

(19)

$

0

Total Written Options

$

(19)

$

0

(1)

Notional Amount represents the number of contracts.

FAIR VALUE MEASUREMENTS

The following is a summary of the fair valuations according to the inputs used as of March 31, 2020 in valuing the Portfolio's assets and liabilities:

 

Category and Subcategory

Level 1

Level 2

Level 3

Fair Value
at 03/31/2020

Investments in Securities, at Value

Loan Participations and Assignments

$

0

$

0

$

1,000

$

1,000

 

Corporate Bonds & Notes

 

Banking & Finance

 

0

 

47,666

 

0

 

47,666

 

 

Industrials

 

0

 

42,935

 

0

 

42,935

 

 

Utilities

 

0

 

7,936

 

0

 

7,936

 

Municipal Bonds & Notes

 

Pennsylvania

 

0

 

887

 

0

 

887

 

U.S. Government Agencies

 

0

 

1,810

 

0

 

1,810

 

U.S. Treasury Obligations

 

0

 

4,437

 

0

 

4,437

 

Non-Agency Mortgage-Backed Securities

 

0

 

10,310

 

1,791

 

12,101

 

Asset-Backed Securities

 

0

 

17,941

 

0

 

17,941

 

 

Schedule of Investments PIMCO Fixed Income SHares: Series LD (Cont.)

March 31, 2020

(Unaudited)

 

Sovereign Issues

 

0

 

247

 

0

 

247

 

Preferred Securities

 

Banking & Finance

 

0

 

398

 

0

 

398

 

 

$

0

$

134,567

$

2,791

$

137,358

 

Investments in Affiliates, at Value

Short-Term Instruments

 

Central Funds Used for Cash Management Purposes

$

2,684

$

0

$

0

$

2,684

 

Total Investments

$

2,684

$

134,567

$

2,791

$

140,042

 

Financial Derivative Instruments - Assets

Exchange-traded or centrally cleared

 

31

 

169

 

0

 

200

 

Over the counter

 

0

 

519

 

0

 

519

 

 

$

31

$

688

$

0

$

719

 

Financial Derivative Instruments - Liabilities

Exchange-traded or centrally cleared

 

(5)

 

(19)

 

0

 

(24)

 

Over the counter

 

0

 

(71)

 

0

 

(71)

 

 

$

(5)

$

(90)

$

0

$

(95)

 

Total Financial Derivative Instruments

$

26

$

598

$

0

$

624

 

Totals

$

2,710

$

135,165

$

2,791

$

140,666

 

 

 

 

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Portfolio during the period ended March 31, 2020:

Category and Subcategory

Beginning
Balance
at 12/31/2019

Net
Purchases

Net
Sales/Settlements

Accrued
Discounts/
(Premiums)

Realized
Gain/(Loss)

Net Change in
Unrealized
Appreciation/
(Depreciation) (1)

Transfers into
Level 3

Transfers out
of Level 3

Ending
Balance
at 03/31/2020

Net Change in
Unrealized
Appreciation/
(Depreciation)
on Investments
Held at
03/31/2020 (1)

Investments in Securities, at Value

Loan Participations and Assignments

$

1,002

$

0

$

0

$

1

$

0

$

(3)

$

0

$

0

$

1,000

$

(3)

Non-Agency Mortgage-Backed Securities

$

0

$

0

$

0

$

0

$

0

$

0

$

1,791

$

0

$

1,791

$

0

Totals

$

1,002

$

0

$

0

$

1

$

0

$

(3)

$

1,791

$

0

$

2,791

$

(3)


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:

 

(% Unless Noted Otherwise)

Category and Subcategory

Ending
Balance
at 03/31/2020

Valuation Technique

Unobservable Inputs

 

Input Value(s)

Weighted Average

Investments in Securities, at Value

Loan Participations and Assignments

$

1,000

Third Party Vendor

Broker Quote

 

100.000

—

Non-Agency Mortgage-Backed Securities

$

1,791

Proxy Pricing

Base Price

 

89.551

—

Total

$

2,791

(1)

Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at March 31, 2020 may be due to an investment no longer held or categorized as Level 3 at period end.

 

 

​

Schedule of Investments PIMCO Fixed Income SHares: Series M

March 31, 2020

(Unaudited)

 

(AMOUNTS IN THOUSANDS*, EXCEPT NUMBER OF SHARES, CONTRACTS AND UNITS, IF ANY)

 

 

PRINCIPAL
AMOUNT
(000s)

 

MARKET
VALUE
(000s)

INVESTMENTS IN SECURITIES 156.4% ¤

 

 

 

 

LOAN PARTICIPATIONS AND ASSIGNMENTS 0.5%

 

 

 

 

PG&E Corp.
3.120% (LIBOR03M + 2.250%) due 12/31/2020 ~

$

7,000

$

6,965

Total Loan Participations and Assignments (Cost $6,993)

 

 

 

6,965

CORPORATE BONDS & NOTES 29.6%

 

 

 

 

BANKING & FINANCE 20.2%

 

 

 

 

AerCap Ireland Capital DAC
5.000% due 10/01/2021

 

15,800

 

14,184

Air Lease Corp.
3.625% due 12/01/2027

 

3,300

 

2,756

Banco Santander Mexico S.A.
4.125% due 11/09/2022

 

26,100

 

25,500

Bank of America Corp.
3.093% due 10/01/2025 •

 

1,400

 

1,431

Barclays Bank PLC
7.625% due 11/21/2022 (g)

 

5,500

 

5,629

Barclays PLC

 

 

 

 

4.375% due 01/12/2026

 

6,500

 

6,634

4.972% due 05/16/2029 •

 

3,100

 

3,351

8.000% due 06/15/2024 •(f)(g)

 

5,600

 

5,204

BGC Partners, Inc.
5.375% due 07/24/2023

 

10,200

 

10,208

BPCE S.A.
4.625% due 07/11/2024

 

14,300

 

14,086

Carlyle Finance Subsidiary LLC
3.500% due 09/19/2029

 

4,000

 

3,593

CIT Group, Inc.
5.000% due 08/15/2022

 

600

 

590

Credit Suisse AG
6.500% due 08/08/2023 (g)

 

16,000

 

16,357

Credit Suisse Group AG

 

 

 

 

6.250% due 12/18/2024 •(f)(g)

 

1,300

 

1,207

7.500% due 12/11/2023 •(f)(g)

 

1,200

 

1,163

Credit Suisse Group Funding Guernsey Ltd.

 

 

 

 

3.800% due 06/09/2023

 

500

 

512

4.550% due 04/17/2026

 

1,000

 

1,058

Crown Castle International Corp.
4.450% due 02/15/2026

 

8,000

 

8,371

CyrusOne LP
1.450% due 01/22/2027

EUR

5,700

 

5,518

Deutsche Bank AG

 

 

 

 

3.961% due 11/26/2025 •

$

9,000

 

8,338

4.250% due 10/14/2021

 

800

 

762

Discover Financial Services
4.500% due 01/30/2026

 

4,500

 

4,600

Equinix, Inc.
2.875% due 03/15/2024

EUR

10,000

 

10,687

Fairfax Financial Holdings Ltd.
4.850% due 04/17/2028

$

4,000

 

4,325

Ford Motor Credit Co. LLC

 

 

 

 

3.157% due 08/04/2020

 

1,000

 

980

3.550% due 10/07/2022

 

4,300

 

4,031

General Motors Financial Co., Inc.

 

 

 

 

3.200% due 07/13/2020

 

300

 

299

4.250% due 05/15/2023

 

9,630

 

8,719

Goldman Sachs Group, Inc.
3.691% due 06/05/2028 •

 

4,500

 

4,633

Harborwalk Funding Trust
5.077% due 02/15/2069 •

 

4,500

 

5,325

HSBC Holdings PLC
4.583% due 06/19/2029 •

 

3,400

 

3,626

ING Groep NV
4.625% due 01/06/2026

 

5,200

 

5,492

Intesa Sanpaolo SpA
6.500% due 02/24/2021

 

2,300

 

2,332

JPMorgan Chase & Co.
3.220% due 03/01/2025 •

 

5,500

 

5,710

Lloyds Banking Group PLC

 

 

 

 

2.907% due 11/07/2023 •

 

6,400

 

6,401

7.500% due 09/27/2025 •(f)(g)

 

6,000

 

5,397

 

 

 

Schedule of Investments PIMCO Fixed Income SHares: Series M (Cont.)

March 31, 2020

(Unaudited)

 

Morgan Stanley
7.500% due 04/02/2032 þ(h)

 

8,000

 

6,997

Ohio National Financial Services, Inc.
5.550% due 01/24/2030

 

6,300

 

6,375

Park Aerospace Holdings Ltd.

 

 

 

 

3.625% due 03/15/2021

 

800

 

759

5.250% due 08/15/2022

 

6,100

 

5,520

Piper Jaffray Cos.
4.740% due 10/15/2021

 

4,000

 

3,795

Royal Bank of Scotland Group PLC
4.800% due 04/05/2026

 

2,000

 

1,992

Sabra Health Care LP
3.900% due 10/15/2029

 

4,600

 

4,130

Santander Holdings USA, Inc.
3.244% due 10/05/2026

 

2,000

 

1,790

Santander UK Group Holdings PLC
3.373% due 01/05/2024 •

 

1,000

 

1,008

Service Properties Trust
5.000% due 08/15/2022

 

8,500

 

6,088

Sumitomo Mitsui Financial Group, Inc.
2.448% due 09/27/2024

 

6,400

 

6,394

Tesco Property Finance PLC

 

 

 

 

5.661% due 10/13/2041

GBP

98

 

152

5.744% due 04/13/2040

 

579

 

895

5.801% due 10/13/2040

 

682

 

1,064

UBS AG

 

 

 

 

5.125% due 05/15/2024 (g)

$

2,200

 

2,222

7.625% due 08/17/2022 (g)

 

14,600

 

15,045

UniCredit SpA
7.830% due 12/04/2023

 

8,500

 

9,088

VEREIT Operating Partnership LP
4.875% due 06/01/2026

 

1,000

 

965

Wells Fargo & Co.

 

 

 

 

3.584% due 05/22/2028 •

 

600

 

629

4.100% due 06/03/2026

 

400

 

428

4.150% due 01/24/2029

 

1,600

 

1,749

 

 

 

 

286,094

INDUSTRIALS 9.2%

 

 

 

 

American Airlines Pass-Through Trust
4.950% due 07/15/2024

 

2,359

 

2,406

Bacardi Ltd.
5.150% due 05/15/2038

 

2,600

 

2,728

Bowdoin College
4.693% due 07/01/2112

 

6,600

 

7,787

Citrix Systems, Inc.
4.500% due 12/01/2027

 

2,500

 

2,589

CVS Health Corp.
3.700% due 03/09/2023

 

8,500

 

8,859

CVS Pass-Through Trust
7.507% due 01/10/2032

 

5,695

 

7,409

DAE Funding LLC
5.250% due 11/15/2021

 

6,200

 

5,669

Dell International LLC
6.020% due 06/15/2026

 

6,300

 

6,717

DP World PLC
2.375% due 09/25/2026

EUR

8,200

 

8,449

General Electric Co.
5.875% due 01/14/2038

$

508

 

598

Georgia-Pacific LLC
8.000% due 01/15/2024

 

4,200

 

5,101

Imperial Brands Finance PLC
2.950% due 07/21/2020

 

2,700

 

2,695

Kinder Morgan, Inc.

 

 

 

 

5.625% due 11/15/2023

 

1,150

 

1,203

7.750% due 01/15/2032

 

2,200

 

2,542

Marvell Technology Group Ltd.
4.875% due 06/22/2028

 

7,000

 

7,267

Micron Technology, Inc.
4.185% due 02/15/2027

 

4,100

 

4,161

Odebrecht Oil & Gas Finance Ltd.
0.000% due 04/30/2020 (c)(f)

 

46

 

1

Oracle Corp.
3.600% due 04/01/2040 (a)

 

6,000

 

5,994

Pacific National Finance Pty. Ltd.
4.750% due 03/22/2028

 

1,700

 

1,763

Petroleos Mexicanos
5.500% due 02/24/2025

EUR

13,000

 

12,352

Prosus NV
3.680% due 01/21/2030

$

5,500

 

4,996

QVC, Inc.
5.125% due 07/02/2022

 

1,100

 

924

Sabine Pass Liquefaction LLC

 

 

 

 

5.750% due 05/15/2024

 

8,300

 

7,804

6.250% due 03/15/2022

 

5,400

 

5,241

 

Schedule of Investments PIMCO Fixed Income SHares: Series M (Cont.)

March 31, 2020

(Unaudited)

 

Tennessee Gas Pipeline Co. LLC
2.900% due 03/01/2030

 

3,800

 

3,234

Teva Pharmaceutical Finance Netherlands BV

 

 

 

 

1.250% due 03/31/2023

EUR

1,125

 

1,102

3.250% due 04/15/2022

 

4,250

 

4,503

Turkish Airlines Pass-Through Trust
4.200% due 09/15/2028

$

4,147

 

3,462

Westinghouse Air Brake Technologies Corp.
4.400% due 03/15/2024

 

2,500

 

2,488

 

 

 

 

130,044

UTILITIES 0.2%

 

 

 

 

Exelon Corp.
3.950% due 06/15/2025

 

2,500

 

2,516

Odebrecht Drilling Norbe Ltd.
6.350% due 12/01/2021 ^

 

21

 

18

Odebrecht Drilling Norbe Ltd. (6.350% Cash and 1.000% PIK)
7.350% due 12/01/2026 ^(b)

 

91

 

30

 

 

 

 

2,564

Total Corporate Bonds & Notes (Cost $442,151)

 

 

 

418,702

MUNICIPAL BONDS & NOTES 5.8%

 

 

 

 

CALIFORNIA 0.7%

 

 

 

 

Newport Beach, California Certificates of Participation Bonds, (BABs), Series 2010
7.168% due 07/01/2040

 

3,500

 

5,156

Regents of the University of California Medical Center Pooled Revenue Bonds, Series 2020
3.706% due 05/15/2120

 

4,800

 

4,970

 

 

 

 

10,126

ILLINOIS 0.1%

 

 

 

 

Chicago, Illinois Waterworks Revenue Bonds, Series 2010
6.642% due 11/01/2029

 

1,100

 

1,391

NEW JERSEY 0.5%

 

 

 

 

Rutgers The State University of New Jersey Revenue Bonds, Series 2019
3.915% due 05/01/2119

 

5,800

 

6,967

NEW YORK 0.5%

 

 

 

 

Port Authority of New York & New Jersey Revenue Bonds, Series 2019
3.287% due 08/01/2069

 

8,000

 

7,457

OHIO 0.1%

 

 

 

 

American Municipal Power, Inc., Ohio Revenue Bonds, Series 2010
7.734% due 02/15/2033

 

900

 

1,179

PENNSYLVANIA 0.7%

 

 

 

 

Pennsylvania Economic Development Financing Authority Revenue Bonds, (BABs), Series 2010
6.532% due 06/15/2039

 

600

 

840

State Public School Building Authority, Pennsylvania Revenue Bonds, Series 2011
5.426% due 09/15/2026

 

8,500

 

10,012

 

 

 

 

10,852

TEXAS 0.1%

 

 

 

 

Texas Public Finance Authority Revenue Notes, Series 2014
8.250% due 07/01/2024

 

780

 

767

VIRGINIA 1.5%

 

 

 

 

Tobacco Settlement Financing Corp., Virginia Revenue Bonds, Series 2007
6.706% due 06/01/2046

 

18,540

 

16,053

University of Virginia Revenue Bonds, Series 2019
3.227% due 09/01/2119

 

5,600

 

5,287

 

 

 

 

21,340

WEST VIRGINIA 1.6%

 

 

 

 

Tobacco Settlement Finance Authority, West Virginia Revenue Bonds, Series 2007
7.467% due 06/01/2047

 

22,890

 

22,204

Total Municipal Bonds & Notes (Cost $74,040)

 

 

 

82,283

U.S. GOVERNMENT AGENCIES 54.2%

 

 

 

 

Fannie Mae

 

 

 

 

3.578% due 12/01/2034 •

 

40

 

41

3.598% due 11/01/2032 •

 

6

 

6

3.840% due 09/01/2032 •

 

7

 

7

3.910% due 10/01/2032 •

 

9

 

9

 

Schedule of Investments PIMCO Fixed Income SHares: Series M (Cont.)

March 31, 2020

(Unaudited)

 

3.928% due 01/01/2033 •

 

15

 

15

4.050% due 10/01/2034 •

 

39

 

40

4.095% due 09/01/2027 •

 

28

 

28

4.355% due 05/01/2028 •

 

4

 

4

4.496% due 05/25/2042 ~

 

10

 

11

4.519% due 03/25/2041 ~

 

9

 

10

4.661% due 05/01/2033 •

 

46

 

47

6.500% due 07/18/2027

 

16

 

18

Fannie Mae, TBA
3.000% due 06/01/2040

 

50,000

 

52,252

Freddie Mac

 

 

 

 

1.155% due 08/15/2029 - 12/15/2031 •

 

22

 

21

1.205% due 09/15/2030 •

 

4

 

4

1.255% due 03/15/2032 •

 

4

 

4

1.355% due 02/15/2024 •

 

223

 

226

1.855% due 09/15/2022 •

 

6

 

6

2.055% due 08/15/2023 •

 

2

 

2

3.455% due 08/01/2032 •

 

19

 

19

4.000% due 01/01/2032 •

 

19

 

20

4.125% due 08/01/2029 •

 

5

 

5

4.206% due 02/01/2033 •

 

18

 

18

4.250% due 10/01/2032 •

 

8

 

8

4.401% due 02/01/2029 •

 

25

 

25

4.500% due 10/01/2032 •

 

47

 

48

4.621% due 07/01/2032 •

 

2

 

2

6.000% due 12/15/2028

 

132

 

150

6.500% due 12/15/2023

 

2

 

2

7.000% due 04/01/2029 - 03/01/2030

 

8

 

9

7.500% due 08/15/2030

 

23

 

28

Ginnie Mae

 

 

 

 

3.125% (H15T1Y + 1.500%) due 11/20/2023 - 10/20/2026 ~

 

21

 

22

3.125% due 10/20/2027 •

 

5

 

5

3.250% (H15T1Y + 1.500%) due 07/20/2021 - 08/20/2026 ~

 

37

 

37

3.250% due 07/20/2027 - 07/20/2029 •

 

32

 

32

3.875% (H15T1Y + 1.500%) due 06/20/2021 - 06/20/2026 ~

 

39

 

41

3.875% due 04/20/2027 - 06/20/2032 •

 

32

 

32

4.000% (H15T1Y + 1.500%) due 01/20/2022 - 01/20/2026 ~

 

21

 

20

4.000% due 01/20/2027 - 03/20/2032 •

 

78

 

80

4.375% (H15T1Y + 2.000%) due 06/20/2022 ~

 

7

 

7

NCUA Guaranteed Notes
1.466% due 10/07/2020 •

 

560

 

560

Uniform Mortgage-Backed Security

 

 

 

 

3.000% due 01/01/2046

 

251

 

266

3.500% due 05/01/2047 - 03/01/2049

 

11,375

 

12,037

4.000% due 12/01/2044 - 03/01/2049

 

20,075

 

21,448

6.000% due 09/01/2022 - 12/01/2023

 

26

 

27

6.500% due 12/01/2028

 

1

 

1

7.000% due 11/01/2038

 

14

 

14

7.010% due 08/01/2022

 

5

 

5

Uniform Mortgage-Backed Security, TBA

 

 

 

 

2.500% due 05/01/2050 - 06/01/2050

 

192,800

 

199,329

3.000% due 04/01/2050 - 05/01/2050

 

204,050

 

213,769

3.500% due 05/01/2035

 

3,000

 

3,155

4.000% due 04/01/2050 - 05/01/2050

 

119,500

 

127,585

4.500% due 04/01/2050 - 05/01/2050

 

127,000

 

136,694

Vendee Mortgage Trust
6.500% due 09/15/2024

 

195

 

216

Total U.S. Government Agencies (Cost $748,955)

 

 

 

768,467

U.S. TREASURY OBLIGATIONS 19.9%

 

 

 

 

U.S. Treasury Bonds

 

 

 

 

2.250% due 08/15/2049 (j)

 

13,000

 

15,820

U.S. Treasury Inflation Protected Securities (e)

 

 

 

 

0.125% due 01/15/2030 (l)(n)

 

43,110

 

44,480

0.250% due 07/15/2029 (j)(l)

 

161,544

 

167,939

U.S. Treasury Notes

 

 

 

 

1.500% due 01/31/2027 (j)(l)(n)

 

50,331

 

53,569

Total U.S. Treasury Obligations (Cost $273,697)

 

 

 

281,808

NON-AGENCY MORTGAGE-BACKED SECURITIES 17.0%

 

 

 

 

Adjustable Rate Mortgage Trust

 

 

 

 

3.545% due 01/25/2036 ^~

 

39

 

34

3.972% due 02/25/2036 ^~

 

115

 

82

4.135% due 11/25/2035 ^~

 

119

 

95

4.625% due 11/25/2035 ^~

 

64

 

57

American Home Mortgage Assets Trust

 

 

 

 

1.137% due 09/25/2046 ^•

 

576

 

460

1.157% due 10/25/2046 •

 

524

 

314

2.886% due 11/25/2046 •

 

569

 

232

Banc of America Alternative Loan Trust

 

 

 

 

6.000% due 07/25/2046 ^

 

129

 

115

14.857% due 09/25/2035 ^•

 

108

 

135

Banc of America Funding Trust

 

 

 

 

0.963% due 10/20/2036 •

 

138

 

108

 

Schedule of Investments PIMCO Fixed Income SHares: Series M (Cont.)

March 31, 2020

(Unaudited)

 

1.073% due 05/20/2047 •

 

53

 

49

1.157% due 04/25/2037 ^•

 

104

 

84

1.347% due 05/25/2037 ^•

 

103

 

82

1.767% due 08/27/2036 ~

 

7,745

 

6,219

3.956% due 09/20/2047 ^~

 

117

 

87

4.004% due 04/20/2035 ^~

 

97

 

83

4.083% due 09/20/2046 ^~

 

77

 

66

4.365% due 02/20/2036 ~

 

245

 

212

5.500% due 03/25/2036 ^

 

16

 

14

5.831% due 04/25/2037 ~

 

667

 

610

Banc of America Mortgage Trust

 

 

 

 

3.875% due 02/25/2034 ~

 

144

 

133

4.384% due 05/25/2035 ^~

 

575

 

515

4.441% due 07/25/2035 ^~

 

17

 

15

5.500% due 09/25/2035 ^

 

335

 

304

5.500% due 05/25/2037 ^

 

114

 

89

BCAP LLC Trust

 

 

 

 

1.097% due 05/25/2047 ^•

 

63

 

51

1.167% due 05/25/2047 ^•

 

405

 

334

1.597% due 09/25/2047 •

 

86

 

71

2.047% due 07/26/2036 ~

 

64

 

61

2.127% due 05/26/2035 •

 

24

 

23

2.147% due 10/25/2047 •

 

14,748

 

11,767

2.893% due 11/26/2046 •

 

116

 

114

3.605% due 03/26/2037 ~

 

95

 

75

3.832% due 01/26/2034 ~

 

3

 

3

3.868% due 03/27/2037 ~

 

351

 

265

4.034% due 07/26/2036 ~

 

203

 

190

Bear Stearns Adjustable Rate Mortgage Trust

 

 

 

 

3.571% due 05/25/2034 ~

 

34

 

28

3.677% due 02/25/2036 ^~

 

82

 

74

3.759% due 03/25/2035 ~

 

52

 

45

3.838% due 01/25/2035 ~

 

12

 

10

3.863% due 02/25/2034 ~

 

59

 

55

3.918% due 12/25/2046 ^•

 

781

 

614

3.948% due 11/25/2034 ~

 

60

 

53

3.969% due 06/25/2035 ^~

 

17

 

14

4.030% due 08/25/2035 ~

 

36

 

31

4.093% due 05/25/2047 ^~

 

194

 

170

4.262% due 01/25/2034 ~

 

58

 

55

4.270% due 10/25/2035 •

 

397

 

373

4.547% due 10/25/2035 ~

 

67

 

62

Bear Stearns ALT-A Trust

 

 

 

 

1.387% due 04/25/2036 ^•

 

132

 

169

3.616% due 02/25/2036 ^~

 

37

 

31

3.661% due 02/25/2036 ^~

 

349

 

273

3.716% due 08/25/2036 ^~

 

291

 

246

3.840% due 01/25/2036 ~

 

4,733

 

4,133

3.869% due 06/25/2034 ~

 

2,177

 

1,764

3.882% due 05/25/2035 ~

 

82

 

74

3.965% due 11/25/2036 ^~

 

110

 

88

4.055% due 05/25/2036 ^~

 

491

 

313

4.457% due 07/25/2035 ^~

 

517

 

383

Bear Stearns Mortgage Funding Trust
1.137% due 01/25/2037 •

 

109

 

91

Bear Stearns Mortgage Securities, Inc.
6.314% due 03/25/2031 ~

 

3

 

3

Bear Stearns Structured Products, Inc. Trust
3.726% due 01/26/2036 ^~

 

639

 

515

Cascade Funding Mortgage Trust
2.800% due 06/25/2069 ~

 

3,551

 

3,457

Chase Mortgage Finance Trust

 

 

 

 

3.789% due 03/25/2037 ^~

 

38

 

34

3.869% due 03/25/2037 ^~

 

70

 

62

4.030% due 09/25/2036 ^~

 

1,269

 

1,009

6.000% due 05/25/2037 ^

 

125

 

85

ChaseFlex Trust

 

 

 

 

1.247% due 07/25/2037 •

 

191

 

167

4.173% due 08/25/2037 ^þ

 

38

 

34

5.000% due 07/25/2037 ^

 

98

 

73

Chevy Chase Funding LLC Mortgage-Backed Certificates
1.177% due 10/25/2035 •

 

1,378

 

1,205

Citigroup Mortgage Loan Trust

 

 

 

 

1.167% due 01/25/2037 •

 

3,581

 

2,816

3.105% due 10/25/2046 ^~

 

177

 

140

3.228% due 09/25/2059 þ

 

8,674

 

8,616

3.605% due 03/25/2037 ^~

 

65

 

51

3.928% due 09/25/2037 ~

 

88

 

81

4.128% due 09/25/2037 ^~

 

489

 

432

4.190% due 11/25/2035 •

 

52

 

47

4.380% due 10/25/2035 •

 

89

 

80

4.440% due 08/25/2035 ~

 

19

 

16

4.445% due 07/25/2037 ^~

 

942

 

770

5.500% due 12/25/2035

 

179

 

134

6.250% due 11/25/2037 ~

 

121

 

83

 

Schedule of Investments PIMCO Fixed Income SHares: Series M (Cont.)

March 31, 2020

(Unaudited)

 

Citigroup Mortgage Loan Trust, Inc.

 

 

 

 

3.559% due 12/25/2035 ^~

 

101

 

66

4.592% due 08/25/2035 ~

 

719

 

670

CitiMortgage Alternative Loan Trust
6.500% due 06/25/2037 ^

 

137

 

127

Community Program Loan Trust
4.500% due 04/01/2029

 

80

 

79

Countrywide Alternative Loan Resecuritization Trust
6.000% due 08/25/2037 ^~

 

128

 

90

Countrywide Alternative Loan Trust

 

 

 

 

0.953% due 02/20/2047 ^•

 

1,326

 

900

0.983% due 07/20/2046 ^•

 

44

 

30

1.087% due 08/25/2037 •

 

602

 

454

1.117% due 11/25/2036 •

 

243

 

238

1.117% due 01/25/2037 ^•

 

128

 

124

1.122% due 11/25/2036 •

 

6,657

 

5,369

1.127% due 11/25/2036 •

 

84

 

75

1.127% due 05/25/2047 •

 

1,143

 

907

1.137% due 07/25/2046 ^•

 

74

 

65

1.137% due 09/25/2046 ^•

 

393

 

332

1.167% due 05/25/2035 •

 

1,851

 

1,503

1.257% due 08/25/2035 ^•

 

155

 

122

1.447% due 05/25/2035 ^•

 

2,694

 

2,209

1.447% due 06/25/2035 •

 

103

 

84

1.467% due 07/25/2035 •

 

116

 

99

1.467% due 12/25/2035 •

 

917

 

762

1.567% due 10/25/2035 •

 

64

 

52

1.677% due 11/25/2035 •

 

998

 

888

2.966% due 02/25/2036 •

 

442

 

366

3.216% due 11/25/2047 ^•

 

896

 

705

3.346% due 11/25/2047 ^•

 

2,490

 

1,972

3.576% due 05/25/2036 ~

 

34

 

25

3.676% due 11/25/2035 ^~

 

92

 

80

3.718% due 08/25/2035 ~

 

188

 

160

3.984% due 06/25/2037 ^~

 

138

 

117

5.500% due 11/25/2035

 

104

 

75

5.500% due 02/25/2036 ^

 

72

 

57

5.750% due 03/25/2037 ^•

 

125

 

95

5.750% due 07/25/2037 ^

 

20

 

16

5.750% due 04/25/2047 ^

 

135

 

103

6.000% due 12/25/2034

 

76

 

71

6.000% due 03/25/2036 ^

 

204

 

142

6.000% due 08/25/2036 ^•

 

70

 

55

6.000% due 08/25/2036 ^

 

677

 

538

6.000% due 02/25/2037 ^

 

514

 

312

6.000% due 04/25/2037 ^

 

86

 

65

6.000% due 04/25/2037

 

12,916

 

12,230

6.000% due 05/25/2037 ^

 

398

 

211

6.000% due 08/25/2037 ^•

 

447

 

314

6.250% due 11/25/2036 ^

 

86

 

70

6.500% due 05/25/2036 ^

 

1,585

 

1,135

6.500% due 12/25/2036 ^

 

73

 

48

6.500% due 08/25/2037 ^

 

397

 

244

17.197% due 07/25/2035 •

 

44

 

55

Countrywide Home Loan Mortgage Pass-Through Trust

 

 

 

 

1.247% due 04/25/2046 ^•

 

7

 

0

1.287% due 03/25/2036 •

 

270

 

128

1.407% due 05/25/2035 •

 

75

 

60

1.487% due 02/25/2035 •

 

14

 

12

1.567% due 03/25/2035 •

 

258

 

224

1.687% due 02/25/2035 •

 

314

 

254

1.727% due 02/25/2035 •

 

266

 

216

2.786% due 04/25/2035 ^~

 

50

 

6

3.433% due 05/20/2036 ^~

 

127

 

114

3.467% due 10/20/2035 ~

 

45

 

38

3.555% due 02/20/2036 ~

 

191

 

166

3.576% due 01/25/2036 ^~

 

82

 

71

3.711% due 02/20/2036 ^•

 

29

 

23

3.817% due 11/25/2037 ~

 

189

 

150

3.826% due 11/25/2034 ~

 

74

 

67

3.902% due 05/20/2036 ~

 

52

 

45

4.245% due 08/25/2034 ~

 

4,263

 

3,994

4.521% due 06/25/2034 ~

 

646

 

616

4.692% due 08/25/2034 ^~

 

49

 

41

5.500% due 07/25/2037 ^

 

343

 

242

5.750% due 12/25/2035 ^

 

99

 

77

6.000% due 02/25/2037 ^

 

364

 

269

6.000% due 03/25/2037 ^

 

136

 

102

6.000% due 07/25/2037

 

203

 

131

6.500% due 11/25/2036 ^

 

853

 

522

Countrywide Home Loan Reperforming REMIC Trust
6.000% due 03/25/2035 ^

 

64

 

60

Credit Suisse First Boston Mortgage Securities Corp.

 

 

 

 

2.097% due 09/25/2034 ^•

 

60

 

56

2.383% due 03/25/2032 ~

 

13

 

11

 

Schedule of Investments PIMCO Fixed Income SHares: Series M (Cont.)

March 31, 2020

(Unaudited)

 

Credit Suisse Mortgage Capital Certificates

 

 

 

 

2.287% due 12/27/2035 •

 

94

 

94

3.500% due 04/26/2038 ~

 

679

 

660

3.549% due 08/26/2058

 

4,955

 

5,152

4.091% due 04/28/2037 ~

 

313

 

284

Credit Suisse Mortgage Capital Trust
2.107% due 05/27/2037 •

 

31

 

30

Deutsche ALT-A Securities, Inc.
1.247% due 04/25/2037 •

 

335

 

205

Deutsche ALT-A Securities, Inc. Mortgage Loan Trust

 

 

 

 

1.107% due 01/25/2047 •

 

44

 

42

1.137% due 08/25/2047 •

 

343

 

276

Deutsche Mortgage & Asset Receiving Corp.
2.107% due 11/27/2036 •

 

219

 

206

Downey Savings & Loan Association Mortgage Loan Trust
1.070% due 07/19/2045 ^•

 

9

 

1

Eurosail PLC
1.456% due 06/13/2045 •

GBP

3,986

 

4,712

First Horizon Alternative Mortgage Securities Trust

 

 

 

 

3.547% due 04/25/2036 ^~

$

140

 

117

3.582% due 01/25/2036 ^~

 

220

 

162

First Horizon Mortgage Pass-Through Trust
4.281% due 11/25/2037 ^~

 

44

 

37

GMAC Mortgage Corp. Loan Trust
3.883% due 11/19/2035 ^~

 

125

 

104

GreenPoint Mortgage Funding Trust
1.147% due 12/25/2046 ^•

 

326

 

258

GS Mortgage Securities Trust
3.602% due 10/10/2049 ~

 

5,000

 

4,755

GSC Capital Corp. Mortgage Trust
1.127% due 05/25/2036 ^•

 

112

 

94

GSR Mortgage Loan Trust

 

 

 

 

3.914% due 04/25/2035 ~

 

31

 

27

3.976% due 04/25/2035 ~

 

48

 

42

4.098% due 09/25/2035 ~

 

165

 

157

4.187% due 11/25/2035 ~

 

118

 

82

4.507% due 09/25/2035 ~

 

70

 

66

4.680% due 09/25/2034 ~

 

60

 

53

HarborView Mortgage Loan Trust

 

 

 

 

0.940% due 01/19/2038 •

 

43

 

34

0.955% due 12/19/2036 •

 

6,608

 

4,792

0.990% due 12/19/2036 ^•

 

4,835

 

3,948

1.000% due 01/19/2038 ^•

 

30

 

21

1.190% due 05/19/2035 •

 

2,215

 

2,067

1.250% due 01/19/2036 •

 

120

 

83

1.430% due 01/19/2035 •

 

38

 

34

2.465% due 07/19/2045 •

 

39

 

32

3.767% due 12/19/2035 ^~

 

110

 

73

4.088% due 06/19/2036 ^~

 

186

 

119

4.261% due 12/19/2035 ^~

 

56

 

49

HomeBanc Mortgage Trust
1.127% due 12/25/2036 •

 

58

 

54

Impac Secured Assets Trust
1.097% due 11/25/2036 •

 

651

 

585

IndyMac Mortgage Loan Trust

 

 

 

 

1.127% due 07/25/2047 •

 

309

 

227

1.137% due 09/25/2046 •

 

130

 

103

1.247% due 11/25/2035 ^•

 

184

 

120

1.507% due 03/25/2035 •

 

154

 

143

3.266% due 06/25/2037 ^~

 

92

 

76

3.406% due 10/25/2035 ~

 

693

 

537

3.552% due 06/25/2036 ~

 

4,944

 

3,687

3.555% due 11/25/2035 ^~

 

127

 

104

3.558% due 09/25/2035 ^~

 

84

 

64

3.601% due 08/25/2035 ~

 

826

 

680

3.612% due 06/25/2036 ~

 

1,078

 

955

3.879% due 08/25/2036 ~

 

2,453

 

2,005

3.973% due 06/25/2035 ^~

 

44

 

38

JPMorgan Alternative Loan Trust

 

 

 

 

1.107% due 10/25/2036 •

 

5,405

 

4,759

2.113% due 06/27/2037 •

 

3,060

 

2,384

3.422% due 12/25/2036 ~

 

11

 

10

JPMorgan Mortgage Trust

 

 

 

 

3.809% due 06/25/2037 ^~

 

134

 

103

3.914% due 11/25/2035 ^~

 

55

 

47

3.923% due 11/25/2035 ^~

 

84

 

70

3.983% due 07/25/2035 ~

 

285

 

263

4.024% due 01/25/2037 ^~

 

18

 

14

4.251% due 04/25/2035 ~

 

13

 

13

4.539% due 07/25/2035 ~

 

227

 

209

4.818% due 09/25/2034 ~

 

156

 

150

5.141% due 04/25/2035 ~

 

21

 

20

6.000% due 01/25/2036 ^

 

122

 

85

Lavender Trust
6.250% due 10/26/2036

 

300

 

221

 

Schedule of Investments PIMCO Fixed Income SHares: Series M (Cont.)

March 31, 2020

(Unaudited)

 

Legacy Mortgage Asset Trust
3.000% due 06/25/2059 þ

 

3,044

 

2,729

Lehman Mortgage Trust

 

 

 

 

5.147% due 01/25/2036 ^~

 

137

 

132

5.361% due 12/25/2035 ~

 

210

 

89

6.000% due 07/25/2036 ^

 

78

 

54

Lehman XS Trust

 

 

 

 

1.137% due 11/25/2046 •

 

13,256

 

10,790

1.147% due 08/25/2046 ^•

 

60

 

52

1.177% due 04/25/2046 ^•

 

38

 

35

1.187% due 11/25/2046 ^•

 

13

 

2

1.217% due 02/25/2036 •

 

6,321

 

5,439

Luminent Mortgage Trust

 

 

 

 

1.117% due 12/25/2036 •

 

685

 

617

1.147% due 10/25/2046 •

 

194

 

164

MASTR Adjustable Rate Mortgages Trust
1.187% due 05/25/2037 •

 

120

 

65

MASTR Reperforming Loan Trust

 

 

 

 

7.000% due 05/25/2035

 

977

 

860

8.000% due 07/25/2035

 

928

 

877

Mellon Residential Funding Corp. Mortgage Pass-Through Trust
2.612% due 10/20/2029 •

 

35

 

31

Merrill Lynch Alternative Note Asset Trust

 

 

 

 

1.107% due 01/25/2037 •

 

131

 

53

1.247% due 03/25/2037 •

 

914

 

333

6.000% due 05/25/2037 ^

 

174

 

156

Merrill Lynch Mortgage Investors Trust

 

 

 

 

1.407% due 04/25/2029 •

 

32

 

29

1.607% due 09/25/2029 •

 

31

 

29

1.607% due 11/25/2029 •

 

50

 

45

2.924% due 07/25/2029 •

 

32

 

29

3.630% due 02/25/2036 ~

 

34

 

30

4.356% due 11/25/2035 •

 

63

 

58

6.250% due 10/25/2036

 

2,010

 

1,487

Morgan Stanley Dean Witter Capital, Inc. Trust
3.366% due 03/25/2033 ~

 

51

 

46

Morgan Stanley Mortgage Loan Trust

 

 

 

 

1.267% due 01/25/2035 •

 

28

 

25

3.506% due 07/25/2035 ~

 

2,309

 

1,876

3.764% due 06/25/2036 ~

 

87

 

80

6.000% due 10/25/2037 ^

 

78

 

55

Morgan Stanley Re-REMIC Trust

 

 

 

 

3.065% due 02/26/2037 •

 

178

 

137

3.088% due 03/26/2037 þ

 

95

 

75

5.500% due 10/26/2035 ~

 

9,838

 

8,401

Morgan Stanley Resecuritization Trust
2.247% due 01/26/2051 •

 

107

 

107

NAAC Reperforming Loan REMIC Trust
7.500% due 03/25/2034 ^

 

428

 

408

Nomura Asset Acceptance Corp. Alternative Loan Trust
4.030% due 02/25/2036 ^~

 

413

 

324

Nomura Resecuritization Trust
6.500% due 10/26/2037

 

7,096

 

5,127

RBSSP Resecuritization Trust
1.877% due 02/26/2037 •

 

604

 

585

Residential Accredit Loans, Inc. Trust

 

 

 

 

1.117% due 12/25/2036 •

 

322

 

251

1.147% due 05/25/2047 •

 

121

 

98

1.157% due 06/25/2037 •

 

108

 

84

1.197% due 08/25/2037 •

 

291

 

242

1.247% due 08/25/2035 •

 

137

 

108

1.747% due 10/25/2045 •

 

97

 

77

3.967% due 02/25/2035 ^~

 

215

 

177

5.282% due 02/25/2036 ^~

 

110

 

82

8.000% due 04/25/2036 ^•

 

127

 

116

Residential Asset Securitization Trust

 

 

 

 

6.000% due 06/25/2036

 

190

 

114

6.000% due 11/25/2036 ^

 

133

 

71

6.000% due 03/25/2037 ^

 

110

 

56

6.250% due 11/25/2036 ^

 

91

 

50

6.500% due 04/25/2037 ^

 

1,176

 

475

Residential Funding Mortgage Securities, Inc. Trust

 

 

 

 

4.581% due 03/25/2035 ^~

 

1,097

 

695

6.000% due 09/25/2036 ^

 

227

 

196

Structured Adjustable Rate Mortgage Loan Trust

 

 

 

 

1.267% due 10/25/2035 •

 

1,150

 

1,002

1.682% due 06/25/2034 •

 

407

 

354

3.366% due 05/25/2035 ^•

 

373

 

273

3.691% due 07/25/2037 ^~

 

5

 

4

3.712% due 09/25/2036 ^~

 

3,300

 

2,398

3.730% due 10/25/2036 ^~

 

122

 

86

3.761% due 02/25/2036 ^~

 

262

 

212

3.926% due 10/25/2034 ~

 

42

 

41

Structured Asset Mortgage Investments Trust

 

 

 

 

1.127% due 09/25/2047 •

 

75

 

75

1.137% due 06/25/2036 •

 

8,344

 

7,893

 

Schedule of Investments PIMCO Fixed Income SHares: Series M (Cont.)

March 31, 2020

(Unaudited)

 

1.137% due 07/25/2046 ^•

 

484

 

340

1.137% due 09/25/2047 •

 

854

 

721

1.147% due 05/25/2036 •

 

815

 

717

1.157% due 09/25/2047 ^•

 

1,195

 

1,107

1.167% due 05/25/2046 •

 

983

 

477

1.207% due 03/25/2037 •

 

133

 

76

1.207% due 05/25/2046 ^•

 

14

 

8

1.450% due 03/19/2034 •

 

264

 

237

1.450% due 02/19/2035 •

 

108

 

96

2.398% due 12/19/2033 •

 

254

 

228

3.625% due 02/25/2036 ^•

 

571

 

500

SunTrust Adjustable Rate Mortgage Loan Trust
3.865% due 02/25/2037 ^~

 

279

 

244

SunTrust Alternative Loan Trust
6.000% due 12/25/2035

 

452

 

426

TBW Mortgage-Backed Trust
5.965% due 07/25/2037 ~

 

3,775

 

1,638

Thornburg Mortgage Securities Trust

 

 

 

 

1.587% due 09/25/2043 •

 

193

 

177

1.687% due 09/25/2034 •

 

34

 

30

3.928% due 09/25/2037 ~

 

60

 

56

Towd Point Mortgage Funding
1.911% due 02/20/2054 •

GBP

15,412

 

18,606

Wachovia Mortgage Loan Trust LLC
4.260% due 10/20/2035 ~

$

42

 

35

WaMu Mortgage Pass-Through Certificates Trust

 

 

 

 

1.217% due 12/25/2045 •

 

6

 

5

1.357% due 11/25/2045 •

 

195

 

177

1.587% due 01/25/2045 •

 

200

 

183

1.687% due 11/25/2034 •

 

168

 

151

1.727% due 10/25/2044 •

 

814

 

739

1.927% due 11/25/2034 •

 

464

 

417

2.484% due 11/25/2046 •

 

240

 

200

2.716% due 06/25/2047 ^•

 

56

 

17

2.776% due 07/25/2047 •

 

14,338

 

11,106

2.966% due 08/25/2046 •

 

1,270

 

1,121

3.166% due 11/25/2042 •

 

21

 

18

3.523% due 12/25/2036 ^~

 

140

 

116

3.740% due 12/25/2036 ^~

 

1,134

 

982

3.881% due 08/25/2036 ^~

 

109

 

90

4.448% due 08/25/2033 ~

 

216

 

203

Washington Mutual Mortgage Pass-Through Certificates Trust

 

 

 

 

1.397% due 05/25/2035 ^•

 

368

 

286

2.666% due 04/25/2047 •

 

373

 

266

2.736% due 04/25/2047 •

 

546

 

391

4.241% due 09/25/2036 ^þ

 

151

 

63

Wells Fargo Alternative Loan Trust
4.750% due 07/25/2037 ^~

 

50

 

43

Wells Fargo Mortgage-Backed Securities Trust

 

 

 

 

4.547% due 10/25/2036 ^~

 

351

 

325

6.000% due 06/25/2037 ^

 

75

 

73

Total Non-Agency Mortgage-Backed Securities (Cost $256,137)

 

 

 

240,354

ASSET-BACKED SECURITIES 26.4%

 

 

 

 

Aames Mortgage Investment Trust

 

 

 

 

1.727% due 10/25/2035 •

 

200

 

160

2.147% due 06/25/2035 •

 

908

 

865

AASET Trust
3.967% due 05/16/2042

 

1,178

 

933

AASET U.S. Ltd.
3.844% due 01/16/2038

 

2,571

 

2,146

Accredited Mortgage Loan Trust

 

 

 

 

1.207% due 09/25/2036 •

 

9,990

 

9,338

1.427% due 09/25/2035 •

 

200

 

184

ACE Securities Corp. Home Equity Loan Trust

 

 

 

 

1.057% due 12/25/2036 •

 

333

 

112

1.087% due 07/25/2036 •

 

151

 

122

1.102% due 08/25/2036 •

 

557

 

511

1.247% due 02/25/2036 •

 

116

 

109

1.562% due 12/25/2035 •

 

2,000

 

1,663

1.567% due 02/25/2036 ^•

 

126

 

112

1.607% due 11/25/2035 •

 

142

 

137

1.847% due 12/25/2034 •

 

145

 

127

1.922% due 06/25/2034 •

 

132

 

117

1.922% due 07/25/2035 •

 

100

 

98

Aegis Asset-Backed Securities Trust

 

 

 

 

1.377% due 12/25/2035 •

 

200

 

170

1.427% due 06/25/2035 •

 

200

 

167

1.647% due 03/25/2035 •

 

300

 

277

1.947% due 03/25/2035 ^•

 

92

 

85

Ameriquest Mortgage Securities Trust
1.337% due 03/25/2036 •

 

301

 

292

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

 

 

 

 

1.397% due 01/25/2036 •

 

147

 

146

1.417% due 11/25/2035 •

 

194

 

184

 

Schedule of Investments PIMCO Fixed Income SHares: Series M (Cont.)

March 31, 2020

(Unaudited)

 

1.467% due 09/25/2035 •

 

10,000

 

9,287

1.622% due 07/25/2035 •

 

480

 

474

2.057% due 03/25/2035 •

 

200

 

179

Amortizing Residential Collateral Trust
1.947% due 10/25/2034 •

 

168

 

153

Argent Securities Trust

 

 

 

 

1.097% due 09/25/2036 •

 

864

 

324

1.137% due 03/25/2036 •

 

328

 

209

Argent Securities, Inc. Asset-Backed Pass-Through Certificates

 

 

 

 

1.177% due 01/25/2036 •

 

97

 

82

1.267% due 01/25/2036 •

 

3,923

 

3,310

1.787% due 04/25/2034 •

 

1,357

 

1,220

Asset-Backed Funding Certificates Trust

 

 

 

 

1.057% due 01/25/2037 •

 

444

 

257

1.087% due 11/25/2036 •

 

10,991

 

7,137

1.107% due 01/25/2037 •

 

280

 

163

1.167% due 01/25/2037 •

 

168

 

99

1.567% due 04/25/2034 •

 

82

 

82

1.622% due 06/25/2035 •

 

76

 

75

1.947% due 06/25/2037 •

 

210

 

180

Asset-Backed Securities Corp. Home Equity Loan Trust

 

 

 

 

1.397% due 11/25/2035 •

 

242

 

237

1.847% due 06/25/2035 •

 

200

 

185

2.822% due 09/25/2034 •

 

1,433

 

1,253

3.705% due 08/15/2033 •

 

23

 

22

Aurium CLO DAC
0.670% due 04/16/2030 •

EUR

5,300

 

5,559

Avery Point CLO Ltd.
2.894% due 04/25/2026 •

$

1,828

 

1,825

Babson Euro CLO BV
0.434% due 10/25/2029 •

EUR

2,248

 

2,450

Basic Asset-Backed Securities Trust
1.257% due 04/25/2036 •

$

102

 

100

Bear Stearns Asset-Backed Securities Trust

 

 

 

 

1.057% due 04/25/2031 •

 

46

 

75

1.097% due 06/25/2036 •

 

97

 

97

1.137% due 05/25/2035 •

 

14

 

14

1.147% due 12/25/2036 •

 

206

 

205

1.177% due 02/25/2037 •

 

10,916

 

8,559

1.217% due 06/25/2036 •

 

200

 

199

1.287% due 05/25/2036 ^•

 

87

 

84

1.347% due 09/25/2046 •

 

141

 

123

1.377% due 12/25/2035 •

 

383

 

383

1.397% due 08/25/2036 •

 

262

 

247

1.437% due 09/25/2035 •

 

6,594

 

6,476

1.447% due 12/25/2035 •

 

72

 

70

1.497% due 06/25/2036 •

 

285

 

280

1.647% due 11/25/2035 ^•

 

141

 

116

1.847% due 03/25/2034 •

 

2,757

 

2,511

1.907% due 04/25/2035 •

 

71

 

71

1.997% due 08/25/2037 •

 

7,183

 

5,699

2.127% due 06/25/2043 •

 

999

 

897

2.197% due 08/25/2037 •

 

96

 

90

3.157% due 10/25/2036 ~

 

45

 

31

4.200% due 07/25/2036 ~

 

273

 

261

20.383% due 03/25/2036 ^•

 

183

 

207

Business Jet Securities LLC
4.447% due 06/15/2033

 

5,469

 

4,451

Carrington Mortgage Loan Trust

 

 

 

 

1.167% due 01/25/2037 •

 

1,200

 

685

1.207% due 02/25/2037 •

 

1,400

 

1,162

1.997% due 05/25/2035 •

 

300

 

251

Catamaran CLO Ltd.
3.144% due 01/27/2028 •

 

400

 

365

Cendant Mortgage Corp.
6.000% due 07/25/2043 ~

 

17

 

18

Cent CLO Ltd.
3.105% due 10/29/2025 •

 

3,497

 

3,393

CIT Mortgage Loan Trust
2.447% due 10/25/2037 •

 

6,000

 

5,070

Citigroup Mortgage Loan Trust

 

 

 

 

1.087% due 12/25/2036 •

 

351

 

342

1.117% due 05/25/2037 •

 

16,564

 

12,587

1.207% due 01/25/2037 •

 

283

 

277

1.347% due 11/25/2046 •

 

202

 

183

1.397% due 11/25/2045 •

 

141

 

138

1.567% due 12/25/2035 •

 

9

 

9

6.351% due 05/25/2036 ^þ

 

161

 

79

Citigroup Mortgage Loan Trust Asset-Backed Pass-Through Certificates
1.877% due 05/25/2035 •

 

200

 

191

Citigroup Mortgage Loan Trust, Inc.

 

 

 

 

1.357% due 10/25/2035 •

 

540

 

539

1.667% due 09/25/2035 ^•

 

10

 

10

1.682% due 09/25/2035 ^•

 

500

 

479

CLNC FL1 Ltd.
2.000% due 08/20/2035 •

 

14,800

 

13,791

 

Schedule of Investments PIMCO Fixed Income SHares: Series M (Cont.)

March 31, 2020

(Unaudited)

 

Conseco Finance Corp.

 

 

 

 

6.870% due 04/01/2030 ~

 

119

 

121

7.060% due 02/01/2031 ~

 

531

 

516

Countrywide Asset-Backed Certificates

 

 

 

 

1.087% due 06/25/2035 •

 

1,305

 

1,035

1.087% due 07/25/2037 ^•

 

2,943

 

2,644

1.097% due 07/25/2036 ^•

 

13

 

13

1.097% due 01/25/2037 •

 

3,923

 

3,724

1.097% due 05/25/2037 •

 

267

 

262

1.107% due 01/25/2034 •

 

25

 

24

1.107% due 05/25/2036 •

 

334

 

307

1.107% due 03/25/2037 •

 

118

 

114

1.117% due 03/25/2037 •

 

155

 

144

1.117% due 05/25/2037 •

 

46

 

46

1.117% due 06/25/2047 •

 

77

 

77

1.127% due 06/25/2047 •

 

245

 

239

1.147% due 09/25/2037 •

 

4,486

 

3,452

1.167% due 09/25/2037 ^•

 

162

 

132

1.167% due 09/25/2047 ^•

 

1,412

 

1,169

1.177% due 10/25/2047 •

 

319

 

294

1.197% due 01/25/2046 ^•

 

4,344

 

3,571

1.197% due 06/25/2047 •

 

243

 

204

1.247% due 07/25/2036 •

 

134

 

130

1.297% due 04/25/2036 •

 

17

 

17

1.347% due 06/25/2036 •

 

300

 

281

1.397% due 03/25/2036 •

 

1,400

 

1,199

1.397% due 03/25/2047 ^•

 

80

 

58

1.437% due 02/25/2036 •

 

183

 

179

1.447% due 03/25/2036 •

 

4,898

 

4,443

1.607% due 12/25/2035 •

 

229

 

228

1.997% due 08/25/2035 •

 

58

 

57

2.447% due 02/25/2035 •

 

300

 

284

4.566% due 10/25/2046 ^~

 

14,263

 

12,814

Countrywide Asset-Backed Certificates Trust

 

 

 

 

1.077% due 04/25/2046 •

 

5,307

 

4,415

1.087% due 02/25/2037 •

 

9,038

 

7,629

1.097% due 09/25/2046 •

 

3,904

 

3,761

1.097% due 03/25/2047 ^•

 

141

 

134

1.137% due 06/25/2047 •

 

137

 

134

1.407% due 05/25/2036 •

 

501

 

483

1.477% due 02/25/2036 •

 

200

 

194

1.677% due 07/25/2035 •

 

400

 

362

1.747% due 08/25/2047 •

 

526

 

498

2.297% due 04/25/2035 •

 

200

 

188

Countrywide Asset-Backed Certificates Trust, Inc.

 

 

 

 

1.667% due 07/25/2034 •

 

112

 

107

1.847% due 10/25/2034 •

 

55

 

47

Countrywide Asset-Backed Certificates, Inc.
1.922% due 02/25/2034 •

 

61

 

60

Credit-Based Asset Servicing & Securitization LLC

 

 

 

 

1.067% due 07/25/2037 •

 

12

 

7

1.167% due 07/25/2037 •

 

258

 

155

2.087% due 07/25/2036 •

 

1

 

1

CVP Cascade CLO Ltd.
2.993% due 01/16/2026 •

 

2,380

 

2,369

Delta Funding Home Equity Loan Trust
2.299% due 08/15/2030 •

 

50

 

45

ECMC Group Student Loan Trust
1.697% due 02/27/2068 •

 

6,992

 

6,666

EMC Mortgage Loan Trust
1.687% due 05/25/2040 •

 

11

 

10

First Franklin Mortgage Loan Trust

 

 

 

 

1.087% due 12/25/2036 •

 

279

 

151

1.097% due 07/25/2036 •

 

28

 

28

1.107% due 04/25/2036 •

 

179

 

159

1.187% due 04/25/2036 •

 

400

 

295

1.187% due 08/25/2036 •

 

275

 

235

1.307% due 10/25/2035 •

 

86

 

83

1.307% due 11/25/2035 •

 

168

 

145

1.622% due 06/25/2036 •

 

110

 

107

1.682% due 09/25/2035 •

 

39

 

39

1.757% due 04/25/2035 •

 

139

 

138

1.817% due 09/25/2034 •

 

170

 

166

1.892% due 03/25/2035 •

 

100

 

93

2.147% due 01/25/2035 •

 

122

 

113

2.372% due 10/25/2034 •

 

613

 

571

First NLC Trust

 

 

 

 

1.017% due 08/25/2037 •

 

56

 

29

1.883% due 05/25/2035 •

 

876

 

749

FIRSTPLUS Home Loan Owner Trust
7.320% due 11/10/2023 ^

 

6

 

1

Fremont Home Loan Trust

 

 

 

 

1.097% due 01/25/2037 •

 

260

 

123

1.107% due 08/25/2036 •

 

216

 

79

1.117% due 02/25/2036 •

 

55

 

49

1.117% due 02/25/2037 •

 

882

 

398

 

Schedule of Investments PIMCO Fixed Income SHares: Series M (Cont.)

March 31, 2020

(Unaudited)

 

1.217% due 02/25/2036 •

 

300

 

215

1.217% due 04/25/2036 •

 

3,000

 

2,238

1.682% due 07/25/2035 •

 

2,356

 

2,255

1.737% due 12/25/2029 •

 

7

 

6

Gallatin CLO Ltd.
2.881% (US0003M + 1.050%) due 07/15/2027 ~

 

7,547

 

7,390

GE-WMC Asset-Backed Pass-Through Certificates
1.197% due 12/25/2035 •

 

1,374

 

1,345

GSAA Home Equity Trust
1.067% due 04/25/2047 •

 

171

 

149

GSAMP Trust

 

 

 

 

1.037% due 01/25/2037 •

 

2,828

 

1,638

1.067% due 12/25/2036 •

 

968

 

491

1.097% due 06/25/2036 •

 

89

 

88

1.097% due 09/25/2036 •

 

350

 

141

1.097% due 12/25/2046 •

 

601

 

326

1.107% due 05/25/2046 •

 

22

 

21

1.147% due 11/25/2036 •

 

183

 

97

1.177% due 12/25/2046 •

 

180

 

99

1.187% due 12/25/2035 •

 

33

 

33

1.187% due 06/25/2036 •

 

265

 

161

1.217% due 04/25/2036 •

 

334

 

242

2.597% due 10/25/2034 •

 

32

 

30

Home Equity Asset Trust
2.042% due 05/25/2035 •

 

200

 

192

Home Equity Loan Trust

 

 

 

 

1.177% due 04/25/2037 •

 

742

 

666

1.287% due 04/25/2037 •

 

500

 

325

Home Equity Mortgage Loan Asset-Backed Trust

 

 

 

 

1.087% due 11/25/2036 •

 

413

 

367

1.107% due 11/25/2036 •

 

343

 

249

1.267% due 04/25/2037 •

 

307

 

243

HSI Asset Securitization Corp. Trust

 

 

 

 

1.057% due 12/25/2036 •

 

228

 

79

1.117% due 12/25/2036 •

 

1,037

 

367

1.167% due 12/25/2036 •

 

691

 

250

1.337% due 11/25/2035 •

 

265

 

244

IXIS Real Estate Capital Trust
1.577% due 02/25/2036 •

 

206

 

200

JPMorgan Mortgage Acquisition Trust

 

 

 

 

1.107% due 01/25/2036 •

 

46

 

46

1.107% due 06/25/2036 •

 

2

 

2

1.117% due 04/25/2036 •

 

46

 

46

1.207% due 03/25/2037 •

 

300

 

273

1.207% due 06/25/2037 •

 

300

 

286

1.217% due 04/25/2036 •

 

193

 

189

1.217% due 05/25/2036 •

 

542

 

530

1.217% due 07/25/2036 •

 

200

 

170

1.227% due 01/25/2037 •

 

200

 

183

6.337% due 08/25/2036 ^þ

 

118

 

81

Lehman ABS Mortgage Loan Trust

 

 

 

 

1.037% due 06/25/2037 •

 

228

 

160

1.147% due 06/25/2037 •

 

184

 

131

Lehman XS Trust

 

 

 

 

1.097% due 04/25/2037 ^•

 

114

 

114

1.117% due 12/25/2036 •

 

1,034

 

1,027

1.117% due 02/25/2037 ^•

 

1,489

 

999

LoanCore Issuer Ltd.
1.835% due 05/15/2028 •

 

10,700

 

10,108

Long Beach Mortgage Loan Trust

 

 

 

 

1.507% due 07/25/2031 •

 

98

 

96

1.592% due 11/25/2035 •

 

320

 

315

1.707% due 08/25/2045 •

 

80

 

78

1.997% due 06/25/2035 •

 

500

 

445

2.222% due 02/25/2035 •

 

12,750

 

11,552

2.372% due 03/25/2032 •

 

216

 

215

Loomis Sayles CLO Ltd.
3.231% due 04/15/2028 •

 

550

 

494

M360 Advisors LLC
4.395% due 07/24/2028

 

2,543

 

2,518

MACH Cayman Ltd.
3.474% due 10/15/2039

 

2,419

 

1,694

MAPS Ltd.
4.212% due 05/15/2043

 

3,922

 

2,974

MASTR Asset-Backed Securities Trust

 

 

 

 

1.057% due 08/25/2036 •

 

176

 

83

1.097% due 08/25/2036 •

 

290

 

139

1.127% due 02/25/2036 •

 

379

 

168

1.187% due 06/25/2036 •

 

169

 

88

1.187% due 08/25/2036 •

 

174

 

85

1.447% due 10/25/2035 ^•

 

273

 

229

1.447% due 11/25/2035 •

 

9,903

 

6,593

1.517% due 01/25/2036 •

 

300

 

279

1.547% due 01/25/2036 •

 

48

 

48

1.697% due 12/25/2034 ^•

 

18

 

16

 

Schedule of Investments PIMCO Fixed Income SHares: Series M (Cont.)

March 31, 2020

(Unaudited)

 

Merrill Lynch Mortgage Investors Trust

 

 

 

 

1.187% due 08/25/2037 •

 

898

 

518

1.257% due 08/25/2036 •

 

4

 

4

1.397% due 02/25/2047 •

 

1,080

 

691

1.667% due 05/25/2036 •

 

198

 

186

MESA Trust
1.747% due 12/25/2031 •

 

395

 

383

METAL LLC
4.581% due 10/15/2042

 

3,395

 

2,776

Mid-State Capital Corp. Trust
6.005% due 08/15/2037

 

480

 

499

Morgan Stanley ABS Capital, Inc. Trust

 

 

 

 

1.017% due 10/25/2036 •

 

91

 

43

1.057% due 10/25/2036 •

 

756

 

406

1.087% due 10/25/2036 •

 

2,718

 

1,301

1.087% due 11/25/2036 •

 

243

 

127

1.097% due 06/25/2036 •

 

255

 

163

1.097% due 09/25/2036 •

 

384

 

163

1.097% due 10/25/2036 •

 

221

 

120

1.097% due 11/25/2036 •

 

1,256

 

723

1.127% due 03/25/2037 •

 

400

 

187

1.147% due 02/25/2037 •

 

137

 

74

1.167% due 11/25/2036 •

 

1,461

 

771

1.197% due 03/25/2037 •

 

400

 

190

1.257% due 12/25/2035 •

 

314

 

297

1.847% due 05/25/2034 •

 

94

 

84

1.877% due 03/25/2035 •

 

129

 

128

1.937% due 06/25/2035 •

 

371

 

361

1.997% due 04/25/2035 •

 

200

 

167

2.197% due 07/25/2037 •

 

400

 

294

2.597% due 03/25/2034 •

 

169

 

169

Morgan Stanley Capital, Inc. Trust
1.237% due 01/25/2036 •

 

1,042

 

966

Morgan Stanley Dean Witter Capital, Inc. Trust
2.297% due 02/25/2033 •

 

531

 

510

Morgan Stanley Home Equity Loan Trust

 

 

 

 

1.107% due 04/25/2036 •

 

117

 

88

1.117% due 04/25/2037 •

 

613

 

331

1.177% due 04/25/2037 •

 

204

 

111

Morgan Stanley Mortgage Loan Trust

 

 

 

 

1.177% due 02/25/2037 •

 

136

 

55

1.307% due 04/25/2037 •

 

267

 

102

2.783% due 11/25/2036 ^•

 

259

 

109

5.965% due 09/25/2046 ^þ

 

364

 

174

Mountain View CLO Ltd.
2.631% due 10/15/2026 •

 

461

 

456

New Century Home Equity Loan Trust

 

 

 

 

1.622% due 06/25/2035 •

 

75

 

75

1.922% due 10/25/2033 •

 

1,571

 

1,444

Nomura Home Equity Loan, Inc. Home Equity Loan Trust

 

 

 

 

1.357% due 02/25/2036 •

 

95

 

92

6.032% due 10/25/2036 ^þ

 

164

 

64

NovaStar Mortgage Funding Trust

 

 

 

 

1.247% due 06/25/2036 •

 

117

 

92

1.652% due 01/25/2036 •

 

7,500

 

7,075

OneMain Financial Issuance Trust
2.370% due 09/14/2032

 

4,469

 

4,396

Option One Mortgage Loan Trust

 

 

 

 

1.087% due 01/25/2037 •

 

67

 

43

1.117% due 05/25/2037 •

 

171

 

93

1.167% due 01/25/2037 •

 

268

 

174

1.277% due 04/25/2037 •

 

120

 

75

1.307% due 01/25/2036 •

 

300

 

232

1.712% due 08/25/2035 •

 

400

 

337

Option One Mortgage Loan Trust Asset-Backed Certificates

 

 

 

 

1.387% due 11/25/2035 •

 

126

 

125

1.407% due 11/25/2035 •

 

3,100

 

2,747

Ownit Mortgage Loan Trust
1.547% due 10/25/2036 ^•

 

196

 

166

Park Place Securities, Inc.
1.437% due 09/25/2035 •

 

200

 

172

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

 

 

 

 

1.437% due 08/25/2035 •

 

200

 

174

1.437% due 09/25/2035 •

 

500

 

456

1.742% due 07/25/2035 •

 

395

 

374

1.772% due 07/25/2035 •

 

950

 

770

1.892% due 06/25/2035 •

 

200

 

192

1.997% due 10/25/2034 •

 

500

 

454

2.072% due 03/25/2035 •

 

400

 

366

2.192% due 01/25/2036 •

 

300

 

290

2.747% due 12/25/2034 •

 

676

 

603

People's Choice Home Loan Securities Trust
1.667% due 05/25/2035 ^•

 

54

 

53

People's Financial Realty Mortgage Securities Trust
1.087% due 09/25/2036 •

 

395

 

135

 

Schedule of Investments PIMCO Fixed Income SHares: Series M (Cont.)

March 31, 2020

(Unaudited)

 

Popular ABS Mortgage Pass-Through Trust

 

 

 

 

1.207% due 11/25/2036 •

 

148

 

141

1.337% due 02/25/2036 •

 

311

 

299

RAAC Trust

 

 

 

 

1.247% due 06/25/2044 •

 

48

 

40

1.347% due 09/25/2045 •

 

2,973

 

2,813

1.347% due 06/25/2047 •

 

22

 

22

1.977% due 11/25/2046 •

 

552

 

480

2.147% due 10/25/2045 •

 

206

 

200

2.447% due 09/25/2047 •

 

600

 

545

Renaissance Home Equity Loan Trust

 

 

 

 

5.812% due 11/25/2036 þ

 

530

 

263

6.254% due 08/25/2036 þ

 

9,457

 

5,298

7.238% due 09/25/2037 ^þ

 

242

 

125

Residential Asset Mortgage Products Trust

 

 

 

 

1.107% due 12/25/2036 •

 

20

 

20

1.107% due 02/25/2037 •

 

58

 

58

1.227% due 09/25/2036 •

 

159

 

142

1.247% due 05/25/2036 ^•

 

1,056

 

918

1.267% due 01/25/2036 •

 

712

 

605

1.427% due 09/25/2035 •

 

206

 

204

1.592% due 11/25/2035 •

 

132

 

130

1.607% due 10/25/2035 •

 

97

 

96

1.637% due 10/25/2035 •

 

100

 

92

1.847% due 08/25/2034 •

 

64

 

63

Residential Asset Securities Corp. Trust

 

 

 

 

1.077% due 11/25/2036 •

 

466

 

393

1.107% due 11/25/2036 ^•

 

262

 

252

1.117% due 11/25/2036 •

 

570

 

504

1.187% due 09/25/2036 •

 

425

 

412

1.197% due 04/25/2037 •

 

134

 

131

1.217% due 05/25/2037 •

 

88

 

86

1.227% due 06/25/2036 •

 

1,000

 

972

1.287% due 04/25/2037 •

 

1,600

 

1,379

1.327% due 02/25/2036 •

 

135

 

134

1.357% due 01/25/2036 •

 

75

 

75

1.367% due 10/25/2035 •

 

258

 

250

1.367% due 12/25/2035 •

 

400

 

376

1.387% due 11/25/2035 •

 

278

 

271

1.592% due 03/25/2035 •

 

511

 

493

1.607% due 12/25/2035 •

 

183

 

141

1.637% due 11/25/2035 •

 

300

 

282

1.787% due 12/25/2034 •

 

24

 

23

Salomon Mortgage Loan Trust
1.847% due 11/25/2033 •

 

123

 

118

Securitized Asset-Backed Receivables LLC Trust

 

 

 

 

1.037% due 07/25/2036 •

 

233

 

100

1.087% due 05/25/2036 •

 

504

 

284

1.107% due 07/25/2036 •

 

227

 

100

1.187% due 07/25/2036 •

 

195

 

88

1.197% due 05/25/2036 •

 

1,117

 

648

1.217% due 03/25/2036 •

 

176

 

153

1.607% due 08/25/2035 ^•

 

180

 

124

1.622% due 01/25/2035 •

 

40

 

36

1.907% due 01/25/2036 ^•

 

67

 

53

3.295% due 01/25/2036 ^þ

 

59

 

52

Seneca Park CLO Ltd.
2.956% due 07/17/2026 •

 

1,764

 

1,758

SG Mortgage Securities Trust

 

 

 

 

1.107% due 07/25/2036 •

 

30,523

 

8,621

1.397% due 10/25/2035 •

 

1,000

 

906

SLM Student Loan Trust
3.294% due 04/25/2023 •

 

3,935

 

3,908

Soundview Home Loan Trust

 

 

 

 

1.027% due 06/25/2037 •

 

54

 

38

1.057% due 02/25/2037 •

 

317

 

93

1.107% due 11/25/2036 •

 

189

 

185

1.127% due 02/25/2037 •

 

444

 

134

1.127% due 07/25/2037 •

 

2,224

 

1,915

1.197% due 06/25/2036 •

 

8,440

 

7,522

1.297% due 03/25/2036 •

 

400

 

365

1.772% due 06/25/2035 •

 

69

 

67

1.897% due 10/25/2037 •

 

329

 

258

South Carolina Student Loan Corp.
2.580% due 09/03/2024 •

 

258

 

256

Specialty Underwriting & Residential Finance Trust

 

 

 

 

1.097% due 09/25/2037 •

 

125

 

89

1.097% due 11/25/2037 •

 

846

 

564

1.217% due 04/25/2037 •

 

216

 

118

1.547% due 12/25/2036 •

 

2,819

 

2,579

1.922% due 12/25/2035 •

 

249

 

239

Starwood Commercial Mortgage Trust
1.785% due 07/15/2038 •

 

7,600

 

7,032

Structured Asset Investment Loan Trust

 

 

 

 

1.097% due 09/25/2036 •

 

163

 

152

1.137% due 03/25/2036 •

 

484

 

425

 

Schedule of Investments PIMCO Fixed Income SHares: Series M (Cont.)

March 31, 2020

(Unaudited)

 

1.547% due 01/25/2036 •

 

274

 

261

1.667% due 05/25/2035 •

 

1,996

 

1,967

1.847% due 05/25/2035 •

 

600

 

547

1.877% due 09/25/2034 •

 

681

 

628

2.072% due 07/25/2033 •

 

48

 

46

2.222% due 12/25/2034 •

 

1,138

 

945

Structured Asset Securities Corp. Mortgage Loan Trust

 

 

 

 

1.082% due 07/25/2036 •

 

6,556

 

6,157

1.097% due 09/25/2036 •

 

113

 

104

1.117% due 12/25/2036 •

 

149

 

139

1.157% due 02/25/2037 •

 

562

 

524

1.177% due 01/25/2037 •

 

2,432

 

1,493

1.197% due 09/25/2036 •

 

200

 

193

1.847% due 08/25/2037 •

 

175

 

169

1.947% due 08/25/2037 •

 

476

 

461

Structured Asset Securities Corp. Trust
1.407% due 09/25/2035 •

 

700

 

628

THL Credit Wind River CLO Ltd.
2.701% due 10/15/2027 •

 

243

 

239

WaMu Asset-Backed Certificates WaMu Trust
1.172% due 05/25/2037 •

 

10,016

 

8,727

WAVE LLC
3.597% due 09/15/2044

 

2,411

 

1,599

Wells Fargo Home Equity Asset-Backed Securities Trust

 

 

 

 

1.277% due 05/25/2036 •

 

300

 

274

1.892% due 03/25/2035 •

 

962

 

951

1.892% due 11/25/2035 •

 

200

 

196

2.522% due 02/25/2035 •

 

200

 

190

Total Asset-Backed Securities (Cost $390,426)

 

 

 

374,169

SOVEREIGN ISSUES 1.2%

 

 

 

 

Corp. Financiera de Desarrollo S.A.
4.750% due 02/08/2022

 

7,000

 

7,059

Export-Import Bank of India
2.395% (US0003M + 1.020%) due 03/28/2022 ~(h)

 

5,000

 

4,849

Philippines Government International Bond
0.000% due 02/03/2023 (c)

EUR

5,300

 

5,542

Total Sovereign Issues (Cost $17,799)

 

 

 

17,450

 

 

SHARES

 

 

PREFERRED SECURITIES 0.9%

 

 

 

 

BANKING & FINANCE 0.3%

 

 

 

 

Charles Schwab Corp.
5.000% due 12/01/2027 •(f)

 

4,200,000

 

3,532

INDUSTRIALS 0.6%

 

 

 

 

General Electric Co.
5.000% due 01/21/2021 •(f)

 

10,500,000

 

8,682

Total Preferred Securities (Cost $14,278)

 

 

 

12,214

SHORT-TERM INSTRUMENTS 0.9%

 

 

 

 

REPURCHASE AGREEMENTS (i) 0.9%

 

 

 

12,140

 

 

PRINCIPAL
AMOUNT
(000s)

 

 

U.S. TREASURY BILLS 0.0%

 

 

 

 

1.553% due 05/07/2020 (c)(d)(n)

$

263

 

263

Total Short-Term Instruments (Cost $12,403)

 

 

 

12,403

Total Investments in Securities (Cost $2,236,879)

 

 

 

2,214,815

 

 

SHARES

 

 

INVESTMENTS IN AFFILIATES 1.4%

 

 

 

 

SHORT-TERM INSTRUMENTS 1.4%

 

 

 

 

CENTRAL FUNDS USED FOR CASH MANAGEMENT PURPOSES 1.4%

 

 

 

 

PIMCO Short-Term Floating NAV Portfolio III

 

2,060,373

 

20,235

 

Schedule of Investments PIMCO Fixed Income SHares: Series M (Cont.)

March 31, 2020

(Unaudited)

 

Total Short-Term Instruments (Cost $20,210)

 

 

 

20,235

Total Investments in Affiliates (Cost $20,210)

 

 

 

20,235

Total Investments 157.8% (Cost $2,257,089)

 

 

$

2,235,050

Financial Derivative Instruments (k)(m) (0.9)%(Cost or Premiums, net $(1,032))

 

 

 

(12,147)

Other Assets and Liabilities, net (56.9)%

 

 

 

(806,461)

Net Assets 100.0%

 

 

$

1,416,442

 

Schedule of Investments PIMCO Fixed Income SHares: Series M (Cont.)

March 31, 2020

(Unaudited)

 

 

NOTES TO SCHEDULE OF INVESTMENTS:

 

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

 

¤

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

^

Security is in default.

~

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

•

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

þ

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

(a)

When-issued security.

(b)

Payment in-kind security.

(c)

Zero coupon security.

(d)

Coupon represents a yield to maturity.

(e)

Principal amount of security is adjusted for inflation.

(f)

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

(g)

Contingent convertible security.

(h)

RESTRICTED SECURITIES:

Issuer Description

Coupon

Maturity
Date

Acquisition
Date

 

Cost

 

Market
Value

Market Value
as Percentage
of Net Assets

Export-Import Bank of India

2.395

%

03/28/2022

12/19/2019

$

4,963

$

4,849

0.35

%

Morgan Stanley

7.500

 

04/02/2032

02/11/2020

 

6,795

 

6,997

0.49

 

 

 

 

 

$

11,758

$

11,846

0.84%

BORROWINGS AND OTHER FINANCING TRANSACTIONS

(i)

REPURCHASE AGREEMENTS:

Counterparty

Lending
Rate

Settlement
Date

Maturity
Date

 

Principal
Amount

Collateralized By

 

Collateral
(Received)

 

Repurchase
Agreements,
at Value

 

Repurchase
Agreement
Proceeds
to be
Received

FICC

0.000%

03/31/2020

04/01/2020

$

12,140

U.S. Treasury Inflation Protected Securities 1.125% due 01/15/2021

$

(12,384)

$

12,140

$

12,140

Total Repurchase Agreements

 

$

(12,384)

$

12,140

$

12,140

REVERSE REPURCHASE AGREEMENTS:

Counterparty

Borrowing Rate(1)

Settlement Date

Maturity Date

 

Amount
Borrowed(1)

 

Payable for
Reverse
Repurchase
Agreements

GRE

1.250%

03/19/2020

06/19/2020

$

(34,125)

$

(34,141)

 

1.740

03/24/2020

04/06/2020

 

(13,959)

 

(13,964)

Total Reverse Repurchase Agreements

 

 

 

 

 

$

(48,105)

SALE-BUYBACK TRANSACTIONS:

Counterparty

Borrowing Rate(1)

Borrowing Date

Maturity Date

 

Amount
Borrowed(1)

 

Payable for
Sale-Buyback
Transactions(2)

UBS

1.700%

03/24/2020

04/07/2020

$

(33,516)

$

(33,528)

Total Sale-Buyback Transactions

 

 

 

 

 

$

(33,528)

(j)

Securities with an aggregate market value of $86,144 have been pledged as collateral under the terms of master agreements as of March 31, 2020.

(1)

The average amount of borrowings outstanding during the period ended March 31, 2020 was $(49,812) at a weighted average interest rate of 1.177%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.

(2)

Payable for sale-buyback transactions includes $(9) of deferred price drop.

(k)

FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED

 

Schedule of Investments PIMCO Fixed Income SHares: Series M (Cont.)

March 31, 2020

(Unaudited)

 

FUTURES CONTRACTS:

SHORT FUTURES CONTRACTS

 

Variation Margin

Description

 

 

 

Expiration
Month

 

# of
Contracts

 

Notional
Amount

 

 

Unrealized
Appreciation/
(Depreciation)

 

Asset

 

Liability

Euro-Bund 10-Year Bond June Futures

06/2020

 

199

$

(37,862)

 

$

507

$

239

$

(228)

U.S. Treasury 10-Year Note June Futures

06/2020

 

608

 

(84,322)

 

 

(3,917)

 

86

 

0

Total Futures Contracts

 

$

(3,410)

$

325

$

(228)

SWAP AGREEMENTS:

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

 

Variation Margin

Reference Entity

Fixed
(Pay) Rate

Payment
Frequency

Maturity
Date

Implied
Credit Spread at
March 31, 2020(3)

 

Notional
Amount(4)

 

Premiums
Paid/
(Received)

 

Unrealized
Appreciation/
(Depreciation)

 

Market
Value(5)

 

Asset

 

Liability

Exelon Corp.

(1.000)%

Quarterly

06/20/2025

0.549

%

$

2,500

$

(87)

$

28

$

(59)

$

30

$

0

Kraft Heinz Foods Co.

(1.000)

Quarterly

06/20/2022

0.547

 

 

5,887

 

(68)

 

7

 

(61)

 

0

 

(20)

 

 

 

 

 

 

$

(155)

$

35

$

(120)

$

30

$

(20)

CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION(2)

 

Variation Margin

Reference Entity

Fixed
Receive Rate

Payment
Frequency

Maturity
Date

Implied
Credit Spread at
March 31, 2020(3)

 

Notional
Amount(4)

 

Premiums
Paid/
(Received)

 

Unrealized
Appreciation/
(Depreciation)

 

Market
Value(5)

 

Asset

 

Liability

Ford Motor Credit Co. LLC

5.000%

Quarterly

06/20/2023

8.946

%

$

1,000

$

167

$

(264)

$

(97)

$

0

$

(13)

General Electric Co.

1.000

Quarterly

12/20/2023

1.948

 

 

2,650

 

(19)

 

(69)

 

(88)

 

15

 

0

General Electric Co.

1.000

Quarterly

06/20/2024

2.039

 

 

1,550

 

(2)

 

(62)

 

(64)

 

11

 

0

General Electric Co.

1.000

Quarterly

12/20/2024

2.153

 

 

800

 

(13)

 

(27)

 

(40)

 

6

 

0

 

 

 

 

 

 

$

133

$

(422)

$

(289)

$

32

$

(13)

CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION(2)

 

Variation Margin

Index/Tranches

Fixed
Receive Rate

Payment
Frequency

Maturity
Date

 

Notional
Amount(4)

 

Premiums
Paid/
(Received)

 

Unrealized
Appreciation/
(Depreciation)

 

Market
Value(5)

 

Asset

 

Liability

iTraxx Europe Main 32 5-Year Index

1.000%

Quarterly

12/20/2024

EUR

26,300

$

234

$

(164)

$

70

$

0

$

(45)

INTEREST RATE SWAPS

 

Variation Margin

Pay/
Receive
Floating Rate

Floating Rate Index

Fixed Rate

Payment
Frequency

Maturity
Date

 

Notional
Amount

 

Premiums
Paid/
(Received)

 

Unrealized
Appreciation/
(Depreciation)

 

Market
Value

 

Asset

 

Liability

Pay

3-Month CAD-Bank Bill

1.270%

Semi-Annual

03/03/2022

CAD

36,100

$

0

$

237

$

237

$

2

$

0

Pay(6)

3-Month CAD-Bank Bill

1.500

Semi-Annual

06/17/2022

 

35,400

 

155

 

247

 

402

 

0

 

(1)

Pay

3-Month CAD-Bank Bill

1.235

Semi-Annual

03/04/2025

 

55,000

 

157

 

360

 

517

 

0

 

(77)

Pay

3-Month USD-LIBOR

1.500

Semi-Annual

12/18/2021

$

390,900

 

(981)

 

9,769

 

8,788

 

100

 

0

 

 

 

 

 

 

$

(669)

$

10,613

$

9,944

$

102

$

(78)

Total Swap Agreements

$

(457)

$

10,062

$

9,605

$

164

$

(156)

(l)

Securities with an aggregate market value of $9,937 and cash of $3,585 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of March 31, 2020.

(1)

If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive 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)

If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio 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.

 

Schedule of Investments PIMCO Fixed Income SHares: Series M (Cont.)

March 31, 2020

(Unaudited)

 

(3)

Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on 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.

(4)

The maximum potential amount the Portfolio 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.

(5)

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

(6)

This instrument has a forward starting effective date.

(m)

FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER

FORWARD FOREIGN CURRENCY CONTRACTS:

 

Unrealized Appreciation/(Depreciation)

Counterparty

Settlement
Month

 

Currency to
be Delivered

 

Currency to
be Received

 

Asset

 

Liability

BOA

04/2020

GBP

13,415

$

17,298

$

634

$

0

 

04/2020

ILS

1,840

 

505

 

0

 

(14)

 

05/2020

$

6,845

AUD

10,343

 

0

 

(481)

 

06/2020

KRW

21,396,248

$

18,043

 

418

 

0

BPS

04/2020

EUR

357

 

398

 

4

 

0

 

04/2020

$

1,151

GBP

893

 

0

 

(42)

 

05/2020

NOK

2,660

$

288

 

32

 

0

 

06/2020

$

16,031

INR

1,160,088

 

0

 

(825)

BRC

04/2020

 

26,186

GBP

21,417

 

416

 

0

 

05/2020

GBP

21,417

$

26,203

 

0

 

(418)

CBK

04/2020

BRL

67,883

 

14,565

 

1,501

 

0

 

04/2020

CAD

28,048

 

21,049

 

1,119

 

0

 

04/2020

EUR

80,458

 

88,238

 

26

 

(526)

 

04/2020

MXN

380,212

 

16,723

 

720

 

0

 

04/2020

$

13,058

BRL

67,883

 

6

 

0

 

04/2020

 

19,893

CAD

28,049

 

38

 

0

 

04/2020

 

1,064

EUR

952

 

0

 

(14)

 

04/2020

 

2,812

MXN

53,822

 

0

 

(547)

 

04/2020

 

16,200

RUB

1,004,277

 

0

 

(3,439)

 

05/2020

CAD

28,048

$

19,899

 

0

 

(39)

 

05/2020

NZD

23,397

 

14,971

 

1,015

 

0

 

05/2020

PEN

91,522

 

26,977

 

358

 

0

 

05/2020

$

14,862

NZD

23,590

 

0

 

(791)

 

06/2020

INR

1,177,494

$

15,627

 

192

 

0

DUB

04/2020

BRL

2,254

 

434

 

0

 

0

 

04/2020

$

439

BRL

2,254

 

0

 

(6)

 

05/2020

BRL

2,254

$

439

 

6

 

0

GLM

04/2020

RUB

775,722

 

10,783

 

926

 

0

 

04/2020

$

4,698

RUB

290,841

 

0

 

(1,003)

 

05/2020

RUB

22,321

$

277

 

0

 

(5)

 

05/2020

$

26,429

PEN

93,586

 

773

 

0

HUS

05/2020

CAD

214

$

160

 

8

 

0

JPM

05/2020

CHF

26,298

 

27,125

 

0

 

(256)

 

06/2020

$

16,430

MXN

314,011

 

0

 

(3,341)

MYI

05/2020

CAD

10,170

$

7,586

 

356

 

0

 

05/2020

$

27,380

SEK

262,220

 

0

 

(848)

RYL

05/2020

SEK

262,803

$

27,916

 

1,325

 

0

 

05/2020

$

27,764

CHF

26,107

 

0

 

(582)

SCX

04/2020

RUB

519,396

$

6,633

 

33

 

0

 

04/2020

$

24,940

EUR

22,162

 

0

 

(497)

 

05/2020

EUR

57,701

$

63,392

 

0

 

(327)

 

05/2020

$

28,829

CAD

38,236

 

0

 

(1,646)

 

06/2020

 

18,206

KRW

21,705,739

 

0

 

(326)

SOG

06/2020

RUB

9,152

$

116

 

1

 

0

SSB

04/2020

$

14,979

BRL

65,629

 

0

 

(2,348)

TOR

04/2020

GBP

8,895

$

11,530

 

482

 

0

UAG

05/2020

AUD

10,192

 

6,887

 

617

 

0

Total Forward Foreign Currency Contracts

$

11,006

$

(18,321)

PURCHASED OPTIONS:

OPTIONS ON SECURITIES

Counterparty

Description

 

Strike
Price

Expiration
Date

 

 

Notional
Amount(1)

 

Cost

 

Market
Value

JPM

Put - OTC Uniform Mortgage-Backed Security, TBA 4.000% due 05/01/2050

$

75.000

05/06/2020

 

 

162,000

$

6

$

0

Total Purchased Options

$

6

$

0

 

Schedule of Investments PIMCO Fixed Income SHares: Series M (Cont.)

March 31, 2020

(Unaudited)

 

WRITTEN OPTIONS:

CREDIT DEFAULT SWAPTIONS ON CREDIT INDICES

Counterparty

Description

Buy/Sell
Protection

Exercise
Rate

Expiration
Date

 

Notional
Amount(1)

 

Premiums
(Received)

 

Market
Value

BOA

Put - OTC CDX.IG-33 5-Year Index

Sell

0.800%

06/17/2020

 

41,900

$

(43)

$

(731)

BPS

Put - OTC CDX.IG-33 5-Year Index

Sell

0.800

06/17/2020

 

76,000

 

(80)

 

(1,327)

DUB

Put - OTC CDX.IG-33 5-Year Index

Sell

0.850

06/17/2020

 

77,900

 

(90)

 

(1,253)

GST

Put - OTC CDX.IG-33 5-Year Index

Sell

0.800

06/17/2020

 

52,500

 

(64)

 

(917)

Total Written Options

$

(277)

$

(4,228)

SWAP AGREEMENTS:

CREDIT DEFAULT SWAPS ON SOVEREIGN ISSUES - SELL PROTECTION(2)

 

Swap Agreements, at Value (5)

Counterparty

Reference Entity

Fixed
Receive Rate

Payment
Frequency

Maturity
Date

Implied
Credit Spread at
March 31, 2020(3)

 

Notional
Amount(4)

 

Premiums
Paid/(Received)

 

Unrealized
Appreciation/
(Depreciation)

 

Asset

 

Liability

BPS

Mexico Government International Bond

1.000%

Quarterly

06/20/2024

2.001%

$

100

$

(2)

$

(2)

$

0

$

(4)

CBK

Brazil Government International Bond

1.000

Quarterly

12/20/2024

2.474

 

3,100

 

(54)

 

(148)

 

0

 

(202)

 

Mexico Government International Bond

1.000

Quarterly

06/20/2024

2.001

 

300

 

(5)

 

(7)

 

0

 

(12)

FBF

Brazil Government International Bond

1.000

Quarterly

06/20/2022

1.719

 

1,200

 

(80)

 

62

 

0

 

(18)

GST

Brazil Government International Bond

1.000

Quarterly

06/20/2024

2.301

 

200

 

(6)

 

(4)

 

0

 

(10)

 

Brazil Government International Bond

1.000

Quarterly

12/20/2024

2.474

 

3,100

 

(48)

 

(154)

 

0

 

(202)

 

Mexico Government International Bond

1.000

Quarterly

12/20/2024

2.175

 

200

 

(2)

 

(8)

 

0

 

(10)

HUS

Brazil Government International Bond

1.000

Quarterly

12/20/2023

2.184

 

300

 

(10)

 

(3)

 

0

 

(13)

 

Brazil Government International Bond

1.000

Quarterly

06/20/2024

2.301

 

2,400

 

(70)

 

(55)

 

0

 

(125)

 

Mexico Government International Bond

1.000

Quarterly

12/20/2023

1.895

 

1,000

 

(16)

 

(16)

 

0

 

(32)

 

Mexico Government International Bond

1.000

Quarterly

06/20/2024

2.001

 

100

 

(1)

 

(3)

 

0

 

(4)

JPM

Mexico Government International Bond

1.000

Quarterly

06/20/2024

2.001

 

100

 

(2)

 

(2)

 

0

 

(4)

MYC

Mexico Government International Bond

1.000

Quarterly

12/20/2024

2.175

 

1,400

 

(8)

 

(65)

 

0

 

(73)

Total Swap Agreements

$

(304)

$

(405)

$

0

$

(709)

(n)

Securities with an aggregate market value of $15,023 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of March 31, 2020.

(1)

Notional Amount represents the number of contracts.

(2)

If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio 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.

(3)

Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on 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.

(4)

The maximum potential amount the Portfolio 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.

(5)

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

FAIR VALUE MEASUREMENTS

The following is a summary of the fair valuations according to the inputs used as of March 31, 2020 in valuing the Portfolio's assets and liabilities:

 

Category and Subcategory

Level 1

Level 2

Level 3

Fair Value
at 03/31/2020

 

Schedule of Investments PIMCO Fixed Income SHares: Series M (Cont.)

March 31, 2020

(Unaudited)

 

Investments in Securities, at Value

Loan Participations and Assignments

$

0

$

6,965

$

0

$

6,965

 

Corporate Bonds & Notes

 

Banking & Finance

 

0

 

286,094

 

0

 

286,094

 

 

Industrials

 

0

 

130,044

 

0

 

130,044

 

 

Utilities

 

0

 

2,564

 

0

 

2,564

 

Municipal Bonds & Notes

 

California

 

0

 

10,126

 

0

 

10,126

 

 

Illinois

 

0

 

1,391

 

0

 

1,391

 

 

New Jersey

 

0

 

6,967

 

0

 

6,967

 

 

New York

 

0

 

7,457

 

0

 

7,457

 

 

Ohio

 

0

 

1,179

 

0

 

1,179

 

 

Pennsylvania

 

0

 

10,852

 

0

 

10,852

 

 

Texas

 

0

 

767

 

0

 

767

 

 

Virginia

 

0

 

21,340

 

0

 

21,340

 

 

West Virginia

 

0

 

22,204

 

0

 

22,204

 

U.S. Government Agencies

 

0

 

768,467

 

0

 

768,467

 

U.S. Treasury Obligations

 

0

 

281,808

 

0

 

281,808

 

Non-Agency Mortgage-Backed Securities

 

0

 

240,354

 

0

 

240,354

 

Asset-Backed Securities

 

0

 

374,169

 

0

 

374,169

 

Sovereign Issues

 

0

 

17,450

 

0

 

17,450

 

Preferred Securities

 

Banking & Finance

 

0

 

3,532

 

0

 

3,532

 

 

Industrials

 

0

 

8,682

 

0

 

8,682

 

Short-Term Instruments

 

Repurchase Agreements

 

0

 

12,140

 

0

 

12,140

 

 

U.S. Treasury Bills

 

0

 

263

 

0

 

263

 

 

$

0

$

2,214,815

$

0

$

2,214,815

 

Investments in Affiliates, at Value

Short-Term Instruments

 

Central Funds Used for Cash Management Purposes

$

20,235

$

0

$

0

$

20,235

 

Total Investments

$

20,235

$

2,214,815

$

0

$

2,235,050

 

Financial Derivative Instruments - Assets

Exchange-traded or centrally cleared

 

325

 

164

 

0

 

489

 

Over the counter

 

0

 

11,006

 

0

 

11,006

 

 

$

325

$

11,170

$

0

$

11,495

 

Financial Derivative Instruments - Liabilities

Exchange-traded or centrally cleared

 

(228)

 

(156)

 

0

 

(384)

 

Over the counter

 

0

 

(23,258)

 

0

 

(23,258)

 

 

$

(228)

$

(23,414)

$

0

$

(23,642)

 

Total Financial Derivative Instruments

$

97

$

(12,244)

$

0

$

(12,147)

 

Totals

$

20,332

$

2,202,571

$

0

$

2,222,903

 

 

There were no significant transfers into or out of Level 3 during the period ended March 31, 2020.

 

 

​

Schedule of Investments PIMCO Fixed Income SHares: Series R

March 31, 2020

(Unaudited)

 

(AMOUNTS IN THOUSANDS*, EXCEPT NUMBER OF SHARES, CONTRACTS AND UNITS, IF ANY)

 

 

PRINCIPAL
AMOUNT
(000s)

 

MARKET
VALUE
(000s)

INVESTMENTS IN SECURITIES 171.4% ¤

 

 

 

 

CORPORATE BONDS & NOTES 5.0%

 

 

 

 

BANKING & FINANCE 4.2%

 

 

 

 

AerCap Ireland Capital DAC
4.625% due 10/30/2020

$

100

$

97

Deutsche Bank AG
4.250% due 10/14/2021

 

1,400

 

1,333

ING Bank NV
2.625% due 12/05/2022

 

400

 

419

International Lease Finance Corp.
8.250% due 12/15/2020

 

100

 

99

Jyske Realkredit A/S
1.000% due 10/01/2050

DKK

3,273

 

465

Lloyds Banking Group PLC
1.995% (US0003M + 0.800%) due 06/21/2021 ~

$

200

 

195

Nordea Kredit Realkreditaktieselskab

 

 

 

 

1.000% due 10/01/2050

DKK

3,275

 

466

Nykredit Realkredit A/S

 

 

 

 

1.000% due 10/01/2050

 

7,714

 

1,100

2.500% due 10/01/2047

 

48

 

7

Realkredit Danmark A/S
2.500% due 07/01/2047

 

32

 

5

Royal Bank of Scotland Group PLC

 

 

 

 

2.766% (US0003M + 1.550%) due 06/25/2024 ~

$

300

 

272

4.519% due 06/25/2024 •

 

200

 

202

UniCredit SpA
7.830% due 12/04/2023

 

600

 

642

 

 

 

 

5,302

INDUSTRIALS 0.0%

 

 

 

 

YPF S.A.

 

 

 

 

33.161% (BADLARPP + 4.000%) due 09/24/2020 «~

ARS

1,040

 

12

35.421% (BADLARPP + 6.000%) due 03/04/2021 ~

 

1,320

 

15

 

 

 

 

27

UTILITIES 0.8%

 

 

 

 

AT&T, Inc.

 

 

 

 

5.150% due 02/15/2050

$

300

 

360

5.300% due 08/15/2058

 

100

 

118

Petrobras Global Finance BV

 

 

 

 

5.093% due 01/15/2030

 

442

 

405

6.125% due 01/17/2022

 

68

 

68

Sempra Energy
1.191% (US0003M + 0.450%) due 03/15/2021 ~

 

100

 

99

 

 

 

 

1,050

Total Corporate Bonds & Notes (Cost $6,535)

 

 

 

6,379

U.S. GOVERNMENT AGENCIES 28.4%

 

 

 

 

Fannie Mae

 

 

 

 

1.392% due 02/25/2037 •

 

26

 

26

3.253% due 10/01/2044 •

 

3

 

3

Fannie Mae, TBA
3.000% due 06/01/2040

 

9,200

 

9,614

Freddie Mac

 

 

 

 

3.654% due 07/01/2036 •

 

36

 

37

3.806% due 09/01/2036 •

 

28

 

28

Ginnie Mae
2.266% due 08/20/2068 •

 

550

 

531

Uniform Mortgage-Backed Security
3.500% due 12/01/2045 - 01/01/2048

 

658

 

699

Uniform Mortgage-Backed Security, TBA

 

 

 

 

2.500% due 06/01/2050

 

15,600

 

16,101

4.000% due 05/01/2050

 

8,500

 

9,074

Total U.S. Government Agencies (Cost $35,406)

 

 

 

36,113

U.S. TREASURY OBLIGATIONS 116.5%

 

 

 

 

U.S. Treasury Inflation Protected Securities (b)

 

 

 

 

0.125% due 01/15/2022 (f)(h)

 

5,824

 

5,740

 

 

 

Schedule of Investments PIMCO Fixed Income SHares: Series R (Cont.)

March 31, 2020

(Unaudited)

 

0.125% due 04/15/2022 (d)

 

10,917

 

10,763

0.125% due 01/15/2023

 

5,187

 

5,124

0.125% due 07/15/2026

 

6,015

 

6,074

0.125% due 01/15/2030

 

652

 

672

0.250% due 07/15/2029 (d)

 

13,009

 

13,524

0.375% due 07/15/2025

 

1,605

 

1,638

0.375% due 01/15/2027 (d)

 

10,262

 

10,512

0.375% due 07/15/2027 (d)

 

8,478

 

8,729

0.500% due 01/15/2028

 

4,737

 

4,940

0.625% due 07/15/2021 (h)

 

343

 

340

0.625% due 01/15/2026 (d)

 

9,965

 

10,299

0.625% due 02/15/2043 (h)

 

3,164

 

3,474

0.750% due 07/15/2028 (h)

 

730

 

781

0.750% due 02/15/2042

 

1,701

 

1,906

0.750% due 02/15/2045

 

3,669

 

4,199

0.875% due 02/15/2047

 

1,063

 

1,267

1.000% due 02/15/2046

 

4,790

 

5,825

1.000% due 02/15/2048

 

1,345

 

1,659

1.000% due 02/15/2049 (d)

 

2,798

 

3,484

1.125% due 01/15/2021

 

1,769

 

1,751

1.375% due 02/15/2044 (d)

 

8,467

 

10,871

1.750% due 01/15/2028 (d)

 

17,797

 

20,260

2.000% due 01/15/2026

 

1,966

 

2,188

2.125% due 02/15/2040 (h)

 

430

 

601

2.125% due 02/15/2041

 

3,027

 

4,218

2.500% due 01/15/2029

 

3,146

 

3,865

3.375% due 04/15/2032 (d)

 

371

 

524

3.625% due 04/15/2028

 

2,089

 

2,691

Total U.S. Treasury Obligations (Cost $139,675)

 

 

 

147,919

NON-AGENCY MORTGAGE-BACKED SECURITIES 2.8%

 

 

 

 

Banc of America Funding Trust
3.790% due 01/20/2047 ~

 

629

 

533

Citigroup Mortgage Loan Trust
1.827% due 06/25/2047 •

 

247

 

242

Countrywide Alternative Loan Trust
0.968% due 12/20/2046 ^•

 

911

 

676

Grifonas Finance PLC
0.000% due 08/28/2039 •

EUR

128

 

117

GSR Mortgage Loan Trust
4.098% due 09/25/2035 ~

$

17

 

16

HarborView Mortgage Loan Trust
1.373% due 06/20/2035 •

 

407

 

382

IndyMac Mortgage Loan Trust
1.787% due 05/25/2034 •

 

815

 

681

MortgageIT Trust
1.952% due 12/25/2034 •

 

17

 

16

Residential Accredit Loans, Inc. Trust
1.127% due 06/25/2046 •

 

232

 

68

Towd Point Mortgage Funding
1.911% due 02/20/2054 •

GBP

725

 

875

Total Non-Agency Mortgage-Backed Securities (Cost $3,792)

 

 

 

3,606

ASSET-BACKED SECURITIES 7.2%

 

 

 

 

Asset-Backed Funding Certificates Trust
1.547% due 10/25/2034 •

$

22

 

20

CIT Mortgage Loan Trust
2.297% due 10/25/2037 •

 

468

 

455

Citigroup Mortgage Loan Trust

 

 

 

 

1.027% due 01/25/2037 •

 

190

 

140

1.092% due 09/25/2036 •

 

530

 

479

Citigroup Mortgage Loan Trust, Inc.
1.407% due 10/25/2035 ^•

 

500

 

394

Countrywide Asset-Backed Certificates Trust
1.477% due 02/25/2036 •

 

500

 

486

Dryden Senior Loan Fund
2.731% due 10/15/2027 •

 

687

 

659

Evans Grove CLO Ltd.
2.533% due 05/28/2028 •

 

1,600

 

1,555

First Franklin Mortgage Loan Trust
1.772% due 01/25/2035 •

 

6

 

6

Home Equity Asset Trust
1.802% due 08/25/2034 •

 

69

 

66

LoanCore Issuer Ltd.
1.835% due 05/15/2036 •

 

500

 

487

Man GLG Euro CLO DAC
0.870% due 01/15/2030 •

EUR

250

 

257

Massachusetts Educational Financing Authority
2.744% due 04/25/2038 •

$

42

 

42

Morgan Stanley ABS Capital, Inc. Trust
1.607% due 01/25/2035 •

 

268

 

236

Mountain View CLO Ltd.
2.668% due 10/13/2027 •

 

190

 

182

 

Schedule of Investments PIMCO Fixed Income SHares: Series R (Cont.)

March 31, 2020

(Unaudited)

 

Nomura Home Equity Loan, Inc. Home Equity Loan Trust
1.457% due 05/25/2035 •

 

1,300

 

1,063

RAAC Trust
1.287% due 08/25/2036 •

 

65

 

63

Saxon Asset Securities Trust
1.667% due 05/25/2035 •

 

42

 

38

Shackleton CLO Ltd.
2.949% due 10/20/2028 •

 

1,500

 

1,429

Structured Asset Securities Corp. Mortgage Loan Trust
1.947% due 08/25/2037 •

 

36

 

34

Venture CLO Ltd.
2.413% due 02/28/2026 •

 

1,059

 

1,029

Total Asset-Backed Securities (Cost $9,516)

 

 

 

9,120

SOVEREIGN ISSUES 8.8%

 

 

 

 

Argentina Government International Bond

 

 

 

 

36.575% (BADLARPP + 2.000%) due 04/03/2022 ~

ARS

1,656

 

13

38.039% (ARLLMONP) due 06/21/2020 ~

 

27,799

 

202

42.781% (BADLARPP) due 10/04/2022 ~

 

100

 

1

Australia Government International Bond

 

 

 

 

1.250% due 02/21/2022 (b)

AUD

884

 

549

3.000% due 09/20/2025 (b)

 

1,942

 

1,370

Autonomous City of Buenos Aires Argentina
37.247% (BADLARPP + 5.000%) due 01/23/2022 ~

ARS

7,510

 

70

Brazil Letras do Tesouro Nacional
0.000% due 07/01/2020 (a)

BRL

1,317

 

252

Canada Government Real Return Bond
4.250% due 12/01/2026

CAD

934

 

832

France Government International Bond
2.100% due 07/25/2023

EUR

343

 

409

Japan Government International Bond

 

 

 

 

0.100% due 03/10/2028

JPY

221,970

 

2,063

0.100% due 03/10/2029

 

131,859

 

1,223

Mexico Government International Bond
7.750% due 05/29/2031

MXN

8,021

 

351

New Zealand Government International Bond

 

 

 

 

2.000% due 09/20/2025 (b)

NZD

440

 

288

2.500% due 09/20/2035 (b)

 

429

 

322

3.000% due 09/20/2030 (b)

 

1,308

 

984

Peru Government International Bond
5.940% due 02/12/2029

PEN

900

 

281

Qatar Government International Bond
3.875% due 04/23/2023

$

300

 

309

United Kingdom Gilt
0.125% due 08/10/2048

GBP

740

 

1,604

Total Sovereign Issues (Cost $13,291)

 

 

 

11,123

SHORT-TERM INSTRUMENTS 2.7%

 

 

 

 

REPURCHASE AGREEMENTS (c) 2.7%

 

 

 

3,457

Total Short-Term Instruments (Cost $3,457)

 

 

 

3,457

Total Investments in Securities (Cost $211,672)

 

 

 

217,717

Total Investments 171.4% (Cost $211,672)

 

 

$

217,717

Financial Derivative Instruments (e)(g) (0.5)%(Cost or Premiums, net $(407))

 

 

 

(679)

Other Assets and Liabilities, net (70.9)%

 

 

 

(90,077)

Net Assets 100.0%

 

 

$

126,961

 

Schedule of Investments PIMCO Fixed Income SHares: Series R (Cont.)

March 31, 2020

(Unaudited)

 

 

NOTES TO SCHEDULE OF INVESTMENTS:

 

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

 

¤

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

^

Security is in default.

«

Security valued using significant unobservable inputs (Level 3).

~

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

•

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

(a)

Zero coupon security.

(b)

Principal amount of security is adjusted for inflation.

BORROWINGS AND OTHER FINANCING TRANSACTIONS

(c)

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

FICC

0.000%

03/31/2020

04/01/2020

$

457

U.S. Treasury Inflation Protected Securities 1.250% due 07/15/2020

$

(470)

$

457

$

457

TDM

0.000

03/31/2020

04/01/2020

 

3,000

U.S. Treasury Bonds 3.000% due 05/15/2047

 

(3,109)

 

3,000

 

3,000

Total Repurchase Agreements

 

$

(3,579)

$

3,457

$

3,457

REVERSE REPURCHASE AGREEMENTS:

Counterparty

Borrowing Rate(1)

Settlement Date

Maturity Date

 

Amount
Borrowed(1)

 

Payable for
Reverse
Repurchase
Agreements

BOS

0.960%

03/27/2020

04/15/2020

$

(3,883)

$

(3,884)

IND

0.450

03/30/2020

05/26/2020

 

(595)

 

(595)

Total Reverse Repurchase Agreements

 

 

 

 

 

$

(4,479)

SALE-BUYBACK TRANSACTIONS:

Counterparty

Borrowing Rate(1)

Borrowing Date

Maturity Date

 

Amount
Borrowed(1)

 

Payable for
Sale-Buyback
Transactions(2)

BOS

0.250%

03/31/2020

04/01/2020

$

(1,282)

$

(1,282)

BPG

0.700

03/16/2020

04/16/2020

 

(2,203)

 

(2,204)

 

1.200

03/17/2020

04/17/2020

 

(313)

 

(314)

 

1.700

01/21/2020

04/21/2020

 

(19,345)

 

(19,409)

 

1.730

02/05/2020

04/03/2020

 

(1,630)

 

(1,634)

 

1.730

02/11/2020

04/09/2020

 

(2,755)

 

(2,762)

 

1.750

02/21/2020

04/03/2020

 

(1,463)

 

(1,466)

MSC

0.960

03/11/2020

04/13/2020

 

(9,642)

 

(9,648)

TDL

1.690

01/16/2020

04/14/2020

 

(11,975)

 

(12,017)

 

1.700

02/03/2020

04/03/2020

 

(987)

 

(989)

Total Sale-Buyback Transactions

 

 

 

 

 

$

(51,725)

(d)

Securities with an aggregate market value of $56,221 have been pledged as collateral under the terms of master agreements as of March 31, 2020.

(1)

The average amount of borrowings outstanding during the period ended March 31, 2020 was $(51,170) at a weighted average interest rate of 1.669%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.

(2)

Payable for sale-buyback transactions includes $(31) of deferred price drop.

(e)

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

Call - CBOT U.S. Treasury 2-Year Note June 2020 Futures

$

111.000

05/22/2020

3

$

6

$

0

$

0

Call - CBOT U.S. Treasury 2-Year Note June 2020 Futures

 

118.000

05/22/2020

4

 

8

 

0

 

0

 

Schedule of Investments PIMCO Fixed Income SHares: Series R (Cont.)

March 31, 2020

(Unaudited)

 

Put - CBOT U.S. Treasury 5-Year Note June 2020 Futures

 

108.000

05/22/2020

4

 

4

 

0

 

0

Put - CBOT U.S. Treasury 5-Year Note June 2020 Futures

 

111.750

05/22/2020

31

 

31

 

0

 

1

Put - CBOT U.S. Treasury 5-Year Note June 2020 Futures

 

113.000

05/22/2020

24

 

24

 

0

 

1

Call - CBOT U.S. Treasury 10-Year Note June 2020 Futures

 

149.000

05/22/2020

4

 

4

 

0

 

0

Call - CBOT U.S. Treasury 10-Year Note June 2020 Futures

 

149.500

05/22/2020

29

 

29

 

0

 

2

Call - CBOT U.S. Treasury 10-Year Note June 2020 Futures

 

154.000

05/22/2020

121

 

121

 

1

 

8

Call - CBOT U.S. Treasury 10-Year Note June 2020 Futures

 

200.000

05/22/2020

35

 

35

 

31

 

1

Call - CBOT U.S. Treasury 10-Year Note June 2020 Futures

 

205.000

05/22/2020

89

 

89

 

2

 

1

Put - CBOT U.S. Treasury Ultra Long-Term Bond June 2020 Futures

 

125.000

05/22/2020

238

 

238

 

2

 

0

Total Purchased Options

$

36

$

14

FUTURES CONTRACTS:

LONG FUTURES CONTRACTS

 

Variation Margin

Description

 

 

 

Expiration
Month

 

# of
Contracts

 

Notional
Amount

 

 

Unrealized
Appreciation/
(Depreciation)

 

Asset

 

Liability

Call Options Strike @ EUR 113.200 on Euro-Schatz June 2020 Futures (1)

05/2020

 

196

$

5

 

$

4

$

3

$

0

Call Options Strike @ EUR 116.500 on Euro-Schatz June 2020 Futures (1)

05/2020

 

211

 

2

 

 

1

 

1

 

0

Call Options Strike @ EUR 139.500 on Euro-Bobl June 2020 Futures (1)

05/2020

 

57

 

3

 

 

3

 

2

 

0

Call Options Strike @ EUR 172.000 on Euro-BTP Italy Government Bond June 2020 Futures (1)

05/2020

 

3

 

0

 

 

0

 

0

 

0

Euro-Bund 10-Year Bond June Futures

06/2020

 

34

 

6,469

 

 

(34)

 

39

 

(41)

Put Options Strike @ EUR 158.000 on Euro-Bund 10-Year Bond June 2020 Futures (1)

05/2020

 

106

 

9

 

 

8

 

0

 

(5)

Put Options Strike @ GBP 126.500 on United Kingdom Long Gilt June 2020 Futures (1)

05/2020

 

7

 

0

 

 

0

 

0

 

0

U.S. Treasury 5-Year Note June Futures

06/2020

 

61

 

7,647

 

 

310

 

0

 

(3)

U.S. Treasury Ultra Long-Term Bond June Futures

06/2020

 

74

 

16,419

 

 

869

 

0

 

(241)

United Kingdom Long Gilt June Futures

06/2020

 

7

 

1,184

 

 

19

 

4

 

(4)

 

 

 

 

 

 

 

 

$

1,180

$

49

$

(294)

SHORT FUTURES CONTRACTS

 

Variation Margin

Description

 

 

 

Expiration
Month

 

# of
Contracts

 

Notional
Amount

 

 

Unrealized
Appreciation/
(Depreciation)

 

Asset

 

Liability

Australia Government 3-Year Note June Futures

06/2020

 

10

$

(720)

 

$

(3)

$

0

$

0

Australia Government 10-Year Bond June Futures

06/2020

 

7

 

(648)

 

 

8

 

0

 

(9)

Euro-BTP Italy Government Bond June Futures

06/2020

 

3

 

(468)

 

 

20

 

8

 

0

Euro-OAT France Government 10-Year Bond June Futures

06/2020

 

2

 

(369)

 

 

7

 

3

 

(1)

Euro-Schatz June Futures

06/2020

 

352

 

(43,554)

 

 

(11)

 

19

 

(27)

Japan Government 10-Year Bond June Futures

06/2020

 

2

 

(2,838)

 

 

54

 

3

 

(7)

U.S. Treasury 2-Year Note June Futures

06/2020

 

7

 

(1,543)

 

 

(28)

 

0

 

0

U.S. Treasury 10-Year Note June Futures

06/2020

 

333

 

(46,183)

 

 

(1,170)

 

49

 

(3)

U.S. Treasury 30-Year Bond June Futures

06/2020

 

64

 

(11,460)

 

 

(792)

 

106

 

0

 

 

 

 

 

 

 

 

$

(1,915)

$

188

$

(47)

Total Futures Contracts

 

$

(735)

$

237

$

(341)

SWAP AGREEMENTS:

CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION(2)

 

Variation Margin (7)

Reference Entity

Fixed
Receive Rate

Payment
Frequency

Maturity
Date

Implied
Credit Spread at
March 31, 2020(4)

 

Notional
Amount(5)

 

Premiums
Paid/
(Received)

 

Unrealized
Appreciation/
(Depreciation)

 

Market
Value(6)

 

Asset

 

Liability

Daimler AG

1.000%

Quarterly

12/20/2020

0.688

%

EUR

110

$

2

$

(2)

$

0

$

0

$

0

General Electric Co.

1.000

Quarterly

12/20/2020

1.362

 

$

100

 

(3)

 

3

 

0

 

0

 

0

General Electric Co.

1.000

Quarterly

12/20/2023

1.948

 

 

100

 

(5)

 

2

 

(3)

 

1

 

0

 

 

 

 

 

 

$

(6)

$

3

$

(3)

$

1

$

0

CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION(3)

 

Variation Margin (7)

Index/Tranches

Fixed
(Pay) Rate

Payment
Frequency

Maturity
Date

 

Notional
Amount(5)

 

Premiums
Paid/
(Received)

 

Unrealized
Appreciation/
(Depreciation)

 

Market
Value(6)

 

Asset

 

Liability

CDX.HY-33 5-Year Index

(5.000)%

Quarterly

12/20/2024

$

2,548

$

(153)

$

304

$

151

$

34

$

0

 

Schedule of Investments PIMCO Fixed Income SHares: Series R (Cont.)

March 31, 2020

(Unaudited)

 

CDX.HY-34 5-Year Index

(5.000)

Quarterly

06/20/2025

 

800

 

32

 

17

 

49

 

11

 

0

 

 

 

 

 

$

(121)

$

321

$

200

$

45

$

0

CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION(2)

 

Variation Margin (7)

Index/Tranches

Fixed
Receive Rate

Payment
Frequency

Maturity
Date

 

Notional
Amount(5)

 

Premiums
Paid/
(Received)

 

Unrealized
Appreciation/
(Depreciation)

 

Market
Value(6)

 

Asset

 

Liability

iTraxx Europe Main 32 5-Year Index

1.000%

Quarterly

12/20/2024

EUR

500

$

7

$

(6)

$

1

$

0

$

(1)

INTEREST RATE SWAPS

 

Variation Margin (7)

Pay/
Receive
Floating Rate

Floating Rate Index

Fixed Rate

Payment
Frequency

Maturity
Date

 

Notional
Amount

 

Premiums
Paid/
(Received)

 

Unrealized
Appreciation/
(Depreciation)

 

Market
Value

 

Asset

 

Liability

Receive

1-Day USD-Federal Funds Rate Compounded-OIS

2.000%

Annual

12/15/2047

$

1,190

$

2

$

(420)

$

(418)

$

36

$

0

Receive

1-Day USD-Federal Funds Rate Compounded-OIS

2.428

Annual

12/20/2047

 

1,100

 

3

 

(512)

 

(509)

 

35

 

0

Receive

3-Month NZD-BBR

3.250

Semi-Annual

03/21/2028

NZD

1,200

 

4

 

(141)

 

(137)

 

0

 

(5)

Pay

3-Month USD-LIBOR

1.500

Semi-Annual

03/12/2021

$

80,240

 

114

 

672

 

786

 

20

 

0

Receive(8)

3-Month USD-LIBOR

1.250

Semi-Annual

06/17/2021

 

80,400

 

(398)

 

(302)

 

(700)

 

0

 

(21)

Pay

3-Month USD-LIBOR

2.250

Semi-Annual

12/16/2022

 

3,400

 

8

 

184

 

192

 

3

 

0

Pay

3-Month USD-LIBOR

2.250

Semi-Annual

12/20/2022

 

4,700

 

6

 

255

 

261

 

3

 

0

Pay

3-Month USD-LIBOR

2.678

Semi-Annual

10/25/2023

 

2,000

 

0

 

174

 

174

 

2

 

0

Pay

3-Month USD-LIBOR

2.670

Semi-Annual

11/19/2023

 

2,000

 

0

 

176

 

176

 

2

 

0

Pay

3-Month USD-LIBOR

2.681

Semi-Annual

12/12/2023

 

2,000

 

0

 

182

 

182

 

1

 

0

Pay

3-Month USD-LIBOR

2.500

Semi-Annual

12/19/2023

 

3,000

 

(24)

 

273

 

249

 

1

 

0

Pay

3-Month USD-LIBOR

1.849

Semi-Annual

02/24/2025

 

2,500

 

0

 

163

 

163

 

1

 

0

Receive

3-Month USD-LIBOR

1.404

Semi-Annual

03/12/2025

 

16,430

 

(115)

 

(635)

 

(750)

 

0

 

(2)

Pay(8)

3-Month USD-LIBOR

1.250

Semi-Annual

06/17/2025

 

16,400

 

335

 

291

 

626

 

0

 

(1)

Receive(8)

3-Month USD-LIBOR

2.400

Semi-Annual

12/07/2026

 

5,900

 

67

 

(585)

 

(518)

 

9

 

0

Receive

3-Month USD-LIBOR

1.750

Semi-Annual

12/21/2026

 

1,140

 

(31)

 

(63)

 

(94)

 

2

 

0

Receive

3-Month USD-LIBOR

2.250

Semi-Annual

06/20/2028

 

2,100

 

116

 

(402)

 

(286)

 

8

 

0

Receive

3-Month USD-LIBOR

2.250

Semi-Annual

12/11/2049

 

700

 

(3)

 

(258)

 

(261)

 

21

 

0

Receive

3-Month USD-LIBOR

2.250

Semi-Annual

03/12/2050

 

400

 

(1)

 

(147)

 

(148)

 

12

 

0

Pay

6-Month GBP-LIBOR

0.750

Semi-Annual

03/18/2030

GBP

1,070

 

(6)

 

28

 

22

 

1

 

0

Receive

6-Month GBP-LIBOR

0.750

Semi-Annual

03/18/2050

 

940

 

23

 

(75)

 

(52)

 

0

 

(3)

Receive(8)

6-Month GBP-LIBOR

1.000

Semi-Annual

06/17/2050

 

1,300

 

(52)

 

(137)

 

(189)

 

0

 

(6)

Receive

6-Month JPY-LIBOR

0.300

Semi-Annual

09/20/2027

JPY

172,740

 

(3)

 

(36)

 

(39)

 

0

 

(1)

Pay

CPTFEMU

1.535

Maturity

03/15/2028

EUR

600

 

0

 

68

 

68

 

0

 

0

Pay

CPTFEMU

1.620

Maturity

05/15/2028

 

620

 

0

 

77

 

77

 

0

 

0

Receive

CPTFEMU

1.710

Maturity

03/15/2033

 

300

 

(1)

 

(53)

 

(54)

 

1

 

0

Pay

CPTFEMU

1.946

Maturity

03/15/2048

 

160

 

1

 

68

 

69

 

0

 

(4)

Pay

CPTFEMU

1.945

Maturity

11/15/2048

 

170

 

0

 

74

 

74

 

0

 

(3)

Pay

CPTFEMU

1.950

Maturity

11/15/2048

 

250

 

1

 

108

 

109

 

0

 

(4)

Pay

CPTFEMU

1.387

Maturity

08/15/2049

 

170

 

0

 

23

 

23

 

0

 

(3)

Pay

CPTFEMU

1.450

Maturity

02/15/2050

 

200

 

1

 

32

 

33

 

0

 

(9)

Receive

CPURNSA

1.350

Maturity

07/05/2020

$

4,000

 

0

 

(12)

 

(12)

 

29

 

0

Receive

CPURNSA

1.721

Maturity

07/15/2020

 

200

 

0

 

(1)

 

(1)

 

2

 

0

Receive

CPURNSA

2.168

Maturity

07/15/2020

 

1,700

 

0

 

(18)

 

(18)

 

16

 

0

Receive

CPURNSA

2.027

Maturity

11/23/2020

 

1,400

 

0

 

(26)

 

(26)

 

11

 

0

Receive

CPURNSA

2.021

Maturity

11/25/2020

 

1,300

 

0

 

(24)

 

(24)

 

10

 

0

Pay

CPURNSA

1.200

Maturity

02/28/2021

 

3,100

 

0

 

63

 

63

 

0

 

(1)

Receive

CPURNSA

1.875

Maturity

03/14/2021

 

300

 

0

 

(7)

 

(7)

 

0

 

0

Receive

CPURNSA

1.927

Maturity

03/18/2021

 

600

 

0

 

(16)

 

(16)

 

0

 

0

Receive

CPURNSA

1.432

Maturity

07/25/2021

 

1,300

 

0

 

(32)

 

(32)

 

0

 

(2)

Receive

CPURNSA

1.550

Maturity

07/26/2021

 

900

 

30

 

(38)

 

(8)

 

0

 

(2)

Receive

CPURNSA

1.432

Maturity

08/06/2021

 

1,100

 

0

 

(27)

 

(27)

 

0

 

(2)

Receive

CPURNSA

1.603

Maturity

09/12/2021

 

770

 

23

 

(34)

 

(11)

 

0

 

(2)

Receive

CPURNSA

1.592

Maturity

09/20/2021

 

600

 

0

 

(17)

 

(17)

 

0

 

(1)

Receive

CPURNSA

1.488

Maturity

10/01/2021

 

2,400

 

0

 

(65)

 

(65)

 

0

 

(5)

Receive

CPURNSA

2.210

Maturity

02/05/2023

 

3,240

 

0

 

(208)

 

(208)

 

0

 

(5)

Receive

CPURNSA

2.220

Maturity

04/13/2023

 

318

 

0

 

(22)

 

(22)

 

0

 

0

Pay

CPURNSA

2.370

Maturity

06/06/2028

 

2,200

 

0

 

314

 

314

 

10

 

0

Pay

CPURNSA

2.165

Maturity

04/16/2029

 

2,000

 

0

 

229

 

229

 

9

 

0

Pay

CPURNSA

1.954

Maturity

06/03/2029

 

1,000

 

0

 

92

 

92

 

5

 

0

Pay

CPURNSA

1.998

Maturity

07/25/2029

 

1,300

 

0

 

128

 

128

 

6

 

0

Pay

CPURNSA

1.883

Maturity

11/20/2029

 

500

 

1

 

41

 

42

 

2

 

0

Receive

FRCPXTOB

1.000

Maturity

04/15/2020

EUR

150

 

0

 

0

 

0

 

0

 

0

Receive

FRCPXTOB

1.160

Maturity

08/15/2020

 

40

 

0

 

(1)

 

(1)

 

0

 

0

Receive

FRCPXTOB

1.345

Maturity

06/15/2021

 

600

 

0

 

(19)

 

(19)

 

0

 

(1)

Pay

FRCPXTOB

1.410

Maturity

11/15/2039

 

600

 

0

 

61

 

61

 

0

 

(6)

Pay

UKRPI

3.850

Maturity

09/15/2024

GBP

1,900

 

(1)

 

119

 

118

 

2

 

0

Pay

UKRPI

3.603

Maturity

11/15/2028

 

60

 

0

 

4

 

4

 

0

 

0

Pay

UKRPI

3.718

Maturity

12/15/2028

 

10

 

0

 

1

 

1

 

0

 

0

Pay

UKRPI

3.438

Maturity

01/15/2030

 

3,000

 

0

 

60

 

60

 

2

 

0

Pay

UKRPI

3.480

Maturity

01/15/2030

 

2,100

 

28

 

29

 

57

 

1

 

0

 

Schedule of Investments PIMCO Fixed Income SHares: Series R (Cont.)

March 31, 2020

(Unaudited)

 

Pay

UKRPI

3.325

Maturity

08/15/2030

 

2,050

 

(5)

 

108

 

103

 

2

 

0

Pay

UKRPI

3.140

Maturity

04/15/2031

 

40

 

(4)

 

3

 

(1)

 

0

 

0

Pay

UKRPI

3.470

Maturity

09/15/2032

 

1,870

 

(2)

 

148

 

146

 

6

 

0

Pay

UKRPI

3.500

Maturity

09/15/2033

 

190

 

0

 

18

 

18

 

1

 

0

Pay

UKRPI

3.579

Maturity

10/15/2033

 

210

 

0

 

26

 

26

 

1

 

0

Pay

UKRPI

3.572

Maturity

05/15/2034

 

720

 

0

 

74

 

74

 

4

 

0

Receive

UKRPI

3.370

Maturity

01/15/2035

 

1,000

 

(4)

 

(43)

 

(47)

 

0

 

(6)

Pay

UKRPI

3.358

Maturity

04/15/2035

 

540

 

(16)

 

83

 

67

 

4

 

0

 

 

 

 

 

 

$

97

$

73

$

170

$

281

$

(95)

Total Swap Agreements

$

(23)

$

391

$

368

$

327

$

(96)

(f)

Securities with an aggregate market value of $226 and cash of $2,215 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of March 31, 2020.

(1)

Future styled option.

(2)

If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio 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.

(3)

If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive 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.

(4)

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.

(5)

The maximum potential amount the Portfolio 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.

(6)

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

(7)

Unsettled variation margin liability of $(5) for closed futures and unsettled variation margin liability of $(3) for closed swap agreements is outstanding at period end.

(8)

This instrument has a forward starting effective date.

(g)

FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER

FORWARD FOREIGN CURRENCY CONTRACTS:

 

Unrealized Appreciation/(Depreciation)

Counterparty

Settlement
Month

 

Currency to
be Delivered

 

Currency to
be Received

 

Asset

 

Liability

BOA

04/2020

GBP

2,251

$

2,903

$

106

$

0

 

04/2020

$

3,490

JPY

376,400

 

11

 

0

 

05/2020

JPY

376,400

$

3,497

 

0

 

(9)

 

06/2020

PLN

239

 

62

 

4

 

0

BPS

04/2020

DKK

760

 

114

 

1

 

0

 

04/2020

EUR

76

 

83

 

0

 

0

 

04/2020

GBP

159

 

195

 

0

 

(3)

 

04/2020

NZD

2,425

 

1,533

 

86

 

0

 

04/2020

$

2,989

EUR

2,682

 

4

 

(35)

 

04/2020

 

447

GBP

370

 

17

 

(4)

 

05/2020

EUR

125

$

137

 

0

 

(1)

 

06/2020

PLN

205

 

53

 

3

 

0

BRC

04/2020

JPY

370,000

 

3,366

 

0

 

(75)

 

04/2020

$

2,453

GBP

2,006

 

39

 

0

 

05/2020

GBP

2,006

$

2,455

 

0

 

(39)

CBK

04/2020

CAD

1,212

 

910

 

48

 

0

 

04/2020

COP

5,914

 

2

 

0

 

0

 

04/2020

EUR

3,516

 

3,856

 

2

 

(24)

 

04/2020

JPY

6,400

 

60

 

0

 

0

 

04/2020

NZD

367

 

232

 

13

 

0

 

04/2020

$

2

COP

5,914

 

0

 

0

 

04/2020

 

276

EUR

242

 

0

 

(9)

 

04/2020

 

143

GBP

118

 

3

 

0

 

05/2020

MXN

3,230

$

164

 

29

 

0

 

05/2020

PEN

963

 

282

 

2

 

0

 

06/2020

IDR

21,478,775

 

1,494

 

186

 

0

 

07/2020

BRL

1,317

 

315

 

63

 

0

DUB

04/2020

 

250

 

48

 

0

 

0

 

04/2020

$

49

BRL

250

 

0

 

(1)

 

05/2020

BRL

250

$

49

 

1

 

0

GLM

04/2020

 

3,013

 

672

 

92

 

0

 

04/2020

RUB

89,019

 

1,331

 

200

 

0

 

04/2020

$

1,920

AUD

3,151

 

19

 

0

 

04/2020

 

579

BRL

3,013

 

0

 

0

 

04/2020

 

79

EUR

73

 

2

 

0

 

04/2020

 

1,417

RUB

90,677

 

0

 

(265)

 

05/2020

AUD

3,151

$

1,920

 

0

 

(19)

 

06/2020

SGD

9

 

6

 

0

 

0

 

07/2020

DKK

14,335

 

2,104

 

0

 

(20)

 

Schedule of Investments PIMCO Fixed Income SHares: Series R (Cont.)

March 31, 2020

(Unaudited)

 

HUS

04/2020

GBP

243

 

286

 

0

 

(15)

 

04/2020

MXN

28,310

 

1,242

 

50

 

0

JPM

04/2020

$

207

EUR

185

 

0

 

(3)

MYI

04/2020

AUD

3,151

$

2,073

 

135

 

0

 

04/2020

DKK

13,728

 

2,068

 

40

 

0

 

06/2020

$

1,579

IDR

21,929,122

 

0

 

(244)

RYL

05/2020

 

1,192

MXN

23,374

 

0

 

(211)

SSB

04/2020

 

630

BRL

2,762

 

0

 

(99)

UAG

04/2020

 

1,654

NZD

2,792

 

12

 

0

 

05/2020

NZD

2,792

$

1,653

 

0

 

(12)

Total Forward Foreign Currency Contracts

$

1,168

$

(1,088)

PURCHASED OPTIONS:

INTEREST RATE SWAPTIONS

Counterparty

Description

Floating Rate
Index

Pay/Receive
Floating Rate

Exercise
Rate

Expiration
Date

 

Notional
Amount(1)

 

Cost

 

Market
Value

JPM

Call - OTC 2-Year Interest Rate Swap

3-Month USD-LIBOR

Pay

1.066%

10/02/2020

 

43,800

$

175

$

645

OPTIONS ON SECURITIES

Counterparty

Description

 

Strike
Price

Expiration
Date

 

 

Notional
Amount(1)

 

Cost

 

Market
Value

JPM

Put - OTC Uniform Mortgage-Backed Security, TBA 2.500% due 05/01/2050

$

70.000

05/06/2020

 

 

15,400

$

1

$

0

 

Put - OTC Uniform Mortgage-Backed Security, TBA 3.000% due 05/01/2050

 

72.000

05/06/2020

 

 

7,800

 

0

 

0

 

Put - OTC Uniform Mortgage-Backed Security, TBA 4.000% due 05/01/2050

 

75.000

05/06/2020

 

 

8,000

 

0

 

0

 

 

 

 

 

 

 

 

$

1

$

0

Total Purchased Options

$

176

$

645

WRITTEN OPTIONS:

CREDIT DEFAULT SWAPTIONS ON CREDIT INDICES

Counterparty

Description

Buy/Sell
Protection

Exercise
Rate

Expiration
Date

 

Notional
Amount(1)

 

Premiums
(Received)

 

Market
Value

BPS

Call - OTC CDX.IG-33 5-Year Index

Buy

0.475%

04/15/2020

 

700

$

0

$

0

 

Put - OTC CDX.IG-33 5-Year Index

Sell

0.700

04/15/2020

 

700

 

(1)

 

(13)

 

Put - OTC CDX.IG-33 5-Year Index

Sell

0.800

06/17/2020

 

600

 

(1)

 

(10)

DUB

Put - OTC CDX.IG-33 5-Year Index

Sell

0.850

06/17/2020

 

600

 

(1)

 

(9)

GST

Put - OTC CDX.HY-33 5-Year Index

Sell

102.000

06/17/2020

 

400

 

(2)

 

(41)

 

Call - OTC CDX.IG-33 5-Year Index

Buy

0.475

04/15/2020

 

700

 

0

 

0

 

Put - OTC CDX.IG-33 5-Year Index

Sell

0.700

04/15/2020

 

700

 

(1)

 

(13)

 

Put - OTC CDX.IG-33 5-Year Index

Sell

0.800

06/17/2020

 

900

 

(1)

 

(16)

MYC

Put - OTC CDX.IG-33 5-Year Index

Sell

0.850

06/17/2020

 

800

 

(1)

 

(13)

 

 

 

 

 

 

 

$

(8)

$

(115)

INFLATION-CAPPED OPTIONS

Counterparty

Description

Initial
Index

Floating
Rate

Expiration
Date(2)

 

Notional
Amount(1)

 

Premiums
(Received)

 

Market
Value

CBK

Floor - OTC CPURNSA

216.687

Maximum of [(1 + 0.000%)10- (Final Index/Initial Index)] or 0

04/07/2020

 

30,900

$

(276)

$

0

 

Floor - OTC CPURNSA

217.965

Maximum of [(1 + 0.000%)10- (Final Index/Initial Index)] or 0

09/29/2020

 

1,400

 

(18)

 

0

GLM

Cap - OTC CPALEMU

100.152

Maximum of [(Final Index/Initial Index - 1) - 3.000%] or 0

06/22/2035

 

1,200

 

(54)

 

(1)

JPM

Cap - OTC CPURNSA

233.916

Maximum of [(Final Index/Initial Index - 1) - 4.000%] or 0

04/22/2024

 

6,500

 

(47)

 

0

 

Cap - OTC CPURNSA

234.781

Maximum of [(Final Index/Initial Index - 1) - 4.000%] or 0

05/16/2024

 

500

 

(3)

 

0

 

Floor - OTC YOY CPURNSA

238.654

Maximum of [0.000% - (Final Index/Initial Index - 1)] or 0

10/02/2020

 

2,100

 

(39)

 

(17)

 

 

 

 

 

 

 

$

(437)

$

(18)

INTEREST RATE SWAPTIONS

Counterparty

Description

Floating Rate
Index

Pay/Receive
Floating Rate

Exercise
Rate

Expiration
Date

 

Notional
Amount(1)

 

Premiums
(Received)

 

Market
Value

GLM

Call - OTC 30-Year Interest Rate Swap

6-Month EUR-EURIBOR

Receive

0.000%

08/27/2020

 

900

$

(28)

$

(45)

JPM

Call - OTC 10-Year Interest Rate Swap

3-Month USD-LIBOR

Receive

1.302

10/02/2020

 

9,200

 

(175)

 

(570)

 

Call - OTC 30-Year Interest Rate Swap

6-Month EUR-EURIBOR

Receive

0.000

08/25/2020

 

500

 

(15)

 

(25)

MYC

Call - OTC 30-Year Interest Rate Swap

6-Month EUR-EURIBOR

Receive

0.000

08/24/2020

 

1,100

 

(36)

 

(55)

 

 

 

 

 

 

 

 

$

(254)

$

(695)

Total Written Options

$

(699)

$

(828)

SWAP AGREEMENTS:

INTEREST RATE SWAPS

 

Swap Agreements, at Value

Counterparty

Pay/
Receive
Floating Rate

Floating Rate Index

Fixed Rate

Payment
Frequency

Maturity
Date

 

Notional
Amount

 

Premiums
Paid/(Received)

 

Unrealized
Appreciation/
(Depreciation)

 

Asset

 

Liability

BOA

Pay

CPURNSA

1.560%

Maturity

12/17/2020

$

1,700

$

0

$

(3)

$

0

$

(3)

BRC

Receive

3-Month ILS-TELBOR

0.374

Annual

06/20/2020

ILS

2,240

 

0

 

(2)

 

0

 

(2)

 

Pay

3-Month ILS-TELBOR

1.950

Annual

06/20/2028

 

480

 

0

 

15

 

15

 

0

DUB

Pay

CPURNSA

2.500

Maturity

07/15/2022

$

5,000

 

103

 

(864)

 

0

 

(761)

GLM

Receive

3-Month ILS-TELBOR

0.370

Annual

06/20/2020

ILS

1,740

 

0

 

(2)

 

0

 

(2)

 

Pay

3-Month ILS-TELBOR

1.971

Annual

02/16/2028

 

890

 

0

 

24

 

24

 

0

 

Pay

3-Month ILS-TELBOR

1.998

Annual

06/20/2028

 

370

 

0

 

12

 

12

 

0

JPM

Receive

3-Month ILS-TELBOR

0.420

Annual

06/20/2020

 

2,150

 

0

 

(2)

 

0

 

(2)

 

Pay

3-Month ILS-TELBOR

2.078

Annual

06/20/2028

 

460

 

0

 

15

 

15

 

0

MYC

Pay

CPURNSA

1.548

Maturity

12/21/2020

$

4,000

 

0

 

(5)

 

0

 

(5)

Total Swap Agreements

$

103

$

(812)

$

66

$

(775)

(h)

Securities with an aggregate market value of $1,027 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of March 31, 2020.

(1)

Notional Amount represents the number of contracts.

(2)

YOY options may have a series of expirations.

FAIR VALUE MEASUREMENTS

The following is a summary of the fair valuations according to the inputs used as of March 31, 2020 in valuing the Portfolio's assets and liabilities:

 

Category and Subcategory

Level 1

Level 2

Level 3

Fair Value
at 03/31/2020

Investments in Securities, at Value

Corporate Bonds & Notes

 

Banking & Finance

$

0

$

5,302

$

0

$

5,302

 

 

Industrials

 

0

 

15

 

12

 

27

 

 

Utilities

 

0

 

1,050

 

0

 

1,050

 

U.S. Government Agencies

 

0

 

36,113

 

0

 

36,113

 

U.S. Treasury Obligations

 

0

 

147,919

 

0

 

147,919

 

Non-Agency Mortgage-Backed Securities

 

0

 

3,606

 

0

 

3,606

 

Asset-Backed Securities

 

0

 

9,120

 

0

 

9,120

 

Sovereign Issues

 

0

 

11,123

 

0

 

11,123

 

Short-Term Instruments

 

Repurchase Agreements

 

0

 

3,457

 

0

 

3,457

 

Total Investments

$

0

$

217,705

$

12

$

217,717

 

Financial Derivative Instruments - Assets

Exchange-traded or centrally cleared

 

237

 

341

 

0

 

578

 

Over the counter

 

0

 

1,879

 

0

 

1,879

 

 

$

237

$

2,220

$

0

$

2,457

 

Financial Derivative Instruments - Liabilities

Exchange-traded or centrally cleared

 

(341)

 

(96)

 

0

 

(437)

 

Over the counter

 

0

 

(2,691)

 

0

 

(2,691)

 

 

$

(341)

$

(2,787)

$

0

$

(3,128)

 

Total Financial Derivative Instruments

$

(104)

$

(567)

$

0

$

(671)

 

Totals

$

(104)

$

217,138

$

12

$

217,046

 

 

There were no significant transfers into or out of Level 3 during the period ended March 31, 2020.

 

 

​

Schedule of Investments PIMCO Fixed Income SHares: Series TE

March 31, 2020

(Unaudited)

 

(AMOUNTS IN THOUSANDS*, EXCEPT NUMBER OF SHARES, CONTRACTS AND UNITS, IF ANY)

 

 

PRINCIPAL
AMOUNT
(000s)

 

MARKET
VALUE
(000s)

INVESTMENTS IN SECURITIES 100.1% ¤

 

 

 

 

MUNICIPAL BONDS & NOTES 99.5%

 

 

 

 

ALABAMA 0.7%

 

 

 

 

Lower Alabama Gas District Revenue Bonds, Series 2016
5.000% due 09/01/2046

$

500

$

588

ARIZONA 1.5%

 

 

 

 

Industrial Development Authority of the City of Phoenix, Arizona Revenue Notes, Series 2018
5.000% due 07/01/2028

 

250

 

291

Salt River Project Agricultural Improvement & Power District, Arizona Revenue Bonds, Series 2012
5.000% due 12/01/2030

 

1,000

 

1,079

 

 

 

 

1,370

CALIFORNIA 12.3%

 

 

 

 

Bay Area Toll Authority, California Revenue Bonds, Series 2013
5.000% due 04/01/2038

 

2,000

 

2,234

California County Tobacco Securitization Agency Revenue Bonds, Series 2002
5.750% due 06/01/2029

 

460

 

460

California Educational Facilities Authority Revenue Bonds, Series 2017
5.000% due 04/01/2042

 

1,000

 

1,123

California Health Facilities Financing Authority Revenue Bonds, Series 2013
5.000% due 07/01/2043

 

1,000

 

1,019

California Health Facilities Financing Authority Revenue Bonds, Series 2016
5.000% due 11/15/2046 (d)

 

3,000

 

3,444

California State General Obligation Notes, Series 2020
4.000% due 03/01/2026

 

570

 

658

Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2018
5.000% due 06/01/2030

 

1,300

 

1,528

Los Angeles Department of Airports, California Revenue Bonds, Series 2020
5.000% due 05/15/2039

 

320

 

397

 

 

 

 

10,863

COLORADO 2.7%

 

 

 

 

Colorado Health Facilities Authority Revenue Bonds, Series 2013
5.000% due 12/01/2033

 

2,125

 

2,352

CONNECTICUT 1.5%

 

 

 

 

Connecticut Special Tax State Revenue Bonds, Series 2018
5.000% due 01/01/2029

 

110

 

135

Connecticut State Health & Educational Facilities Authority Revenue Bonds, Series 2014
5.000% due 07/01/2026

 

1,000

 

1,149

 

 

 

 

1,284

DISTRICT OF COLUMBIA 1.1%

 

 

 

 

District of Columbia Revenue Bonds, Series 2019
5.000% due 03/01/2044

 

750

 

936

FLORIDA 3.0%

 

 

 

 

Broward County, Florida Airport System Revenue Bonds, Series 2012
5.000% due 10/01/2037

 

1,300

 

1,422

Miami-Dade County, Florida Water & Sewer System Revenue Bonds, Series 2013
5.000% due 10/01/2028

 

555

 

629

Osceola County, Florida Transportation Revenue Notes, Series 2020
0.000% due 10/01/2029 (c)

 

700

 

561

 

 

 

 

2,612

GEORGIA 5.2%

 

 

 

 

Houston Healthcare System, Inc., Georgia Revenue Bonds, Series 2016
5.000% due 10/01/2031

 

3,765

 

4,081

Municipal Electric Authority of Georgia Revenue Bonds, Series 2019
5.000% due 01/01/2037

 

500

 

553

 

 

 

 

4,634

ILLINOIS 13.4%

 

 

 

 

Chicago, Illinois General Obligation Bonds, Series 2002
5.500% due 01/01/2037

 

1,000

 

1,036

 

 

 

Schedule of Investments PIMCO Fixed Income SHares: Series TE (Cont.)

March 31, 2020

(Unaudited)

 

Chicago, Illinois General Obligation Bonds, Series 2017
5.750% due 01/01/2034

 

1,500

 

1,606

Chicago, Illinois General Obligation Notes, Series 2016
5.000% due 01/01/2024

 

1,000

 

1,023

Illinois Development Finance Authority Revenue Bonds, Series 1990
0.000% due 04/15/2020 (c)

 

1,980

 

1,979

Illinois Finance Authority Revenue Bonds, Series 2017
5.000% due 12/01/2037 ^(b)

 

1,000

 

276

Illinois State General Obligation Bonds, Series 2018
5.000% due 05/01/2036

 

1,000

 

1,020

Illinois State General Obligation Notes, Series 2017
5.000% due 11/01/2025

 

2,000

 

2,113

Illinois State Revenue Bonds, Series 2013
5.000% due 06/15/2025

 

1,000

 

1,026

Illinois State Revenue Bonds, Series 2016

 

 

 

 

3.000% due 06/15/2031

 

1,000

 

848

3.000% due 06/15/2034

 

1,180

 

957

 

 

 

 

11,884

INDIANA 1.4%

 

 

 

 

Indianapolis Local Public Improvement Bond Bank Revenue Notes, Series 2019
1.450% due 06/01/2021

 

700

 

700

Rockport, Indiana Revenue Bonds, Series 2009
3.050% due 06/01/2025

 

500

 

530

 

 

 

 

1,230

KANSAS 2.4%

 

 

 

 

Kansas Development Finance Authority Revenue Bonds, Series 2012
5.000% due 11/15/2034

 

2,000

 

2,118

LOUISIANA 0.7%

 

 

 

 

Parish of St John the Baptist, Louisiana Revenue Bonds, Series 2017
2.000% due 06/01/2037

 

650

 

582

MARYLAND 0.5%

 

 

 

 

Maryland Department of Transportation State Revenue Bonds, Series 2019
4.000% due 10/01/2032

 

345

 

402

 

 

 

 

402

MASSACHUSETTS 3.8%

 

 

 

 

Commonwealth of Massachusetts General Obligation Bonds, Series 2018
4.000% due 05/01/2041

 

500

 

568

Massachusetts State College Building Authority Revenue Bonds, Series 2014
5.000% due 05/01/2028

 

2,000

 

2,216

Massachusetts Water Resources Authority Revenue Bonds, (AGM Insured), Series 2007
5.250% due 08/01/2030

 

425

 

571

 

 

 

 

3,355

MICHIGAN 4.9%

 

 

 

 

Detroit City School District, Michigan General Obligation Bonds, (AGM/Q-SBLF Insured), Series 2001
6.000% due 05/01/2029

 

385

 

479

Michigan Finance Authority Revenue Notes, Series 2014
4.000% due 10/01/2024

 

2,000

 

2,159

Michigan Finance Authority Revenue Notes, Series 2016
5.000% due 04/01/2024

 

1,000

 

1,132

Michigan State Hospital Finance Authority Revenue Bonds, Series 2010
5.000% due 11/15/2047

 

500

 

598

 

 

 

 

4,368

NEVADA 1.6%

 

 

 

 

Reno, Nevada Revenue Bonds, (AGM Insured), Series 2018
4.125% due 06/01/2058

 

1,250

 

1,386

NEW JERSEY 6.8%

 

 

 

 

Atlantic City, New Jersey General Obligation Bonds, (BAM Insured), Series 2017
5.000% due 03/01/2042

 

1,250

 

1,457

Atlantic City, New Jersey General Obligation Notes, (BAM Insured), Series 2017
5.000% due 03/01/2026

 

250

 

296

New Jersey Economic Development Authority Revenue Notes, Series 2016
5.000% due 06/15/2022

 

1,500

 

1,561

New Jersey Health Care Facilities Financing Authority Revenue Bonds, Series 2013
5.250% due 07/01/2035

 

1,000

 

1,072

Tobacco Settlement Financing Corp., New Jersey Revenue Bonds, Series 2018

 

 

 

 

5.000% due 06/01/2029

 

500

 

562

 

Schedule of Investments PIMCO Fixed Income SHares: Series TE (Cont.)

March 31, 2020

(Unaudited)

 

5.000% due 06/01/2033

 

1,000

 

1,098

 

 

 

 

6,046

NEW MEXICO 0.7%

 

 

 

 

Albuquerque Municipal School District No.12, New Mexico General Obligation Bonds, Series 2017
5.000% due 08/01/2027

 

500

 

610

NEW YORK 11.6%

 

 

 

 

Metropolitan Transportation Authority, New York Revenue Bonds, Series 2012
5.000% due 11/15/2028

 

1,340

 

1,455

Metropolitan Transportation Authority, New York Revenue Bonds, Series 2013
1.879% (US0001M) due 11/01/2026 ~

 

500

 

499

New York City Housing Development Corp. Revenue Bonds, Series 2013
5.250% due 07/01/2031

 

1,500

 

1,656

New York City Transitional Finance Authority Future Tax Secured, New York Revenue Bonds, Series 2019
5.000% due 05/01/2037

 

345

 

429

New York State Dormitory Authority Revenue Bonds, Series 2018

 

 

 

 

4.000% due 03/15/2044

 

500

 

557

5.000% due 03/15/2029

 

265

 

335

New York State Energy Research & Development Authority Revenue Bonds, Series 1994
3.500% due 10/01/2029

 

1,000

 

1,094

New York State Thruway Authority Revenue Bonds, Series 2020
3.000% due 01/01/2048

 

1,000

 

978

Onondaga County, New York Trust for Cultural Resources Revenue Bonds, Series 2019
4.000% due 12/01/2049

 

420

 

465

TSASC, Inc., New York Revenue Bonds, Series 2017
5.000% due 06/01/2033

 

1,000

 

1,102

TSASC, Inc., New York Revenue Notes, Series 2017
5.000% due 06/01/2027

 

1,500

 

1,694

 

 

 

 

10,264

NORTH CAROLINA 1.2%

 

 

 

 

North Carolina Turnpike Authority Revenue Bonds, Series 2011
5.000% due 07/01/2024

 

1,000

 

1,048

OHIO 2.8%

 

 

 

 

Buckeye Tobacco Settlement Financing Authority, Ohio Revenue Bonds, Series 2020

 

 

 

 

5.000% due 06/01/2032

 

1,000

 

1,245

5.000% due 06/01/2035

 

1,000

 

1,231

 

 

 

 

2,476

PENNSYLVANIA 4.5%

 

 

 

 

Commonwealth Financing Authority, Pennsylvania Revenue Bonds, Series 2018
5.000% due 06/01/2031

 

1,000

 

1,208

Delaware River Port Authority, Pennsylvania Revenue Notes, Series 2012
5.000% due 01/01/2023

 

1,000

 

1,039

Geisinger Authority, Pennsylvania Revenue Bonds, Series 2017
5.000% due 02/15/2045 (d)

 

1,000

 

1,172

Pennsylvania Turnpike Commission Revenue Bonds, (AGM Insured), Series 2019
4.000% due 12/01/2049

 

465

 

518

 

 

 

 

3,937

PUERTO RICO 1.0%

 

 

 

 

Puerto Rico Electric Power Authority Revenue Bonds, (AGM Insured), Series 2007
1.799% (0.67*US0003M + 0.520%) due 07/01/2029 ~

 

1,010

 

871

TENNESSEE 0.2%

 

 

 

 

Tennessee Energy Acquisition Corp. Revenue Bonds, Series 2006
5.250% due 09/01/2024

 

200

 

218

TEXAS 11.6%

 

 

 

 

Irving Hospital Authority, Texas Revenue Bonds, Series 2017
5.810% (MUNIPSA + 1.100%) due 10/15/2044 ~

 

1,000

 

996

North Texas Tollway Authority Revenue Bonds, Series 2018
5.000% due 01/01/2048

 

1,000

 

1,159

SA Energy Acquisition Public Facility Corp., Texas Revenue Bonds, Series 2007
5.500% due 08/01/2025

 

1,000

 

1,133

Texas Municipal Gas Acquisition & Supply Corp. Revenue Bonds, Series 2006
5.250% due 12/15/2023

 

1,000

 

1,098

Texas Municipal Gas Acquisition & Supply Corp. Revenue Bonds, Series 2008
6.250% due 12/15/2026

 

4,250

 

4,684

 

Schedule of Investments PIMCO Fixed Income SHares: Series TE (Cont.)

March 31, 2020

(Unaudited)

 

University of Texas System Revenue Bonds, Series 2020
5.000% due 08/15/2040 (a)

 

800

 

1,168

 

 

 

 

10,238

UTAH 0.6%

 

 

 

 

Utah Transit Authority Revenue Bonds, Series 2016
4.000% due 12/15/2031

 

500

 

561

WASHINGTON 0.6%

 

 

 

 

Seattle, Washington Municipal Light and Power Revenue Bonds, Series 2018
4.000% due 01/01/2040 (d)

 

500

 

553

 

 

 

 

553

WISCONSIN 1.2%

 

 

 

 

WPPI Energy, Wisconsin Revenue Bonds, Series 2013
5.000% due 07/01/2025

 

1,000

 

1,107

Total Municipal Bonds & Notes (Cost $85,372)

 

 

 

87,893

SHORT-TERM INSTRUMENTS 0.6%

 

 

 

 

REPURCHASE AGREEMENTS (e) 0.6%

 

 

 

492

Total Short-Term Instruments (Cost $492)

 

 

 

492

Total Investments in Securities (Cost $85,864)

 

 

 

88,385

 

 

SHARES

 

 

INVESTMENTS IN AFFILIATES 2.9%

 

 

 

 

SHORT-TERM INSTRUMENTS 2.9%

 

 

 

 

CENTRAL FUNDS USED FOR CASH MANAGEMENT PURPOSES 2.9%

 

 

 

 

PIMCO Short-Term Floating NAV Portfolio III

 

262,729

 

2,580

Total Short-Term Instruments (Cost $2,577)

 

 

 

2,580

Total Investments in Affiliates (Cost $2,577)

 

 

 

2,580

Total Investments 103.0% (Cost $88,441)

 

 

$

90,965

Other Assets and Liabilities, net (3.0)%

 

 

 

(2,628)

Net Assets 100.0%

 

 

$

88,337

 

Schedule of Investments PIMCO Fixed Income SHares: Series TE (Cont.)

March 31, 2020

(Unaudited)

 

 

NOTES TO SCHEDULE OF INVESTMENTS:

 

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

 

¤

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

^

Security is in default.

~

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.

(a)

When-issued security.

(b)

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

(c)

Zero coupon security.

(d)

Represents an underlying municipal bond transferred to a tender option bond trust established in a tender option bond transaction in which the Portfolio sold, or caused the sale of, the underlying municipal bond and purchased the residual interest certificate.

BORROWINGS AND OTHER FINANCING TRANSACTIONS

(e)

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

FICC

0.000%

03/31/2020

04/01/2020

$

492

U.S. Treasury Inflation Protected Securities 1.250% due 07/15/2020

$

(505)

$

492

$

492

Total Repurchase Agreements

 

$

(505)

$

492

$

492

FAIR VALUE MEASUREMENTS

The following is a summary of the fair valuations according to the inputs used as of March 31, 2020 in valuing the Portfolio's assets and liabilities:

 

Category and Subcategory

Level 1

Level 2

Level 3

Fair Value
at 03/31/2020

Investments in Securities, at Value

Municipal Bonds & Notes

 

Alabama

$

0

$

588

$

0

$

588

 

 

Arizona

 

0

 

1,370

 

0

 

1,370

 

 

California

 

0

 

10,863

 

0

 

10,863

 

 

Colorado

 

0

 

2,352

 

0

 

2,352

 

 

Connecticut

 

0

 

1,284

 

0

 

1,284

 

 

District of Columbia

 

0

 

936

 

0

 

936

 

 

Florida

 

0

 

2,612

 

0

 

2,612

 

 

Georgia

 

0

 

4,634

 

0

 

4,634

 

 

Illinois

 

0

 

11,884

 

0

 

11,884

 

 

Indiana

 

0

 

1,230

 

0

 

1,230

 

 

Kansas

 

0

 

2,118

 

0

 

2,118

 

 

Louisiana

 

0

 

582

 

0

 

582

 

 

Maryland

 

0

 

402

 

0

 

402

 

 

Massachusetts

 

0

 

3,355

 

0

 

3,355

 

 

Michigan

 

0

 

4,368

 

0

 

4,368

 

 

Nevada

 

0

 

1,386

 

0

 

1,386

 

 

New Jersey

 

0

 

6,046

 

0

 

6,046

 

 

New Mexico

 

0

 

610

 

0

 

610

 

 

New York

 

0

 

10,264

 

0

 

10,264

 

 

North Carolina

 

0

 

1,048

 

0

 

1,048

 

 

Ohio

 

0

 

2,476

 

0

 

2,476

 

 

Pennsylvania

 

0

 

3,937

 

0

 

3,937

 

 

Puerto Rico

 

0

 

871

 

0

 

871

 

 

Tennessee

 

0

 

218

 

0

 

218

 

 

Texas

 

0

 

10,238

 

0

 

10,238

 

 

Utah

 

0

 

561

 

0

 

561

 

 

Washington

 

0

 

553

 

0

 

553

 

 

Wisconsin

 

0

 

1,107

 

0

 

1,107

 

Short-Term Instruments

 

Repurchase Agreements

 

0

 

492

 

0

 

492

 

 

$

0

$

88,385

$

0

$

88,385

 

Investments in Affiliates, at Value

Short-Term Instruments

 

Central Funds Used for Cash Management Purposes

$

2,580

$

0

$

0

$

2,580

 

Total Investments

$

2,580

$

88,385

$

0

$

90,965

 

There were no significant transfers into or out of Level 3 during the period ended March 31, 2020.

 

 

​

Notes to Financial Statements    

        

1. INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS

(a) Investment Valuation Policies The price of a Portfolio’s shares is based on the Portfolio’s net asset value ("NAV"). The NAV of a Portfolio’s, or each of its share classes, as applicable, is determined by dividing the total value of portfolio investments and other assets attributable to that Portfolio or class less any liabilities by the total number of shares outstanding of that Portfolio or class.

On each day that the New York Stock Exchange (“NYSE”) is open, Portfolio shares are ordinarily valued as of the close of regular trading (normally 4:00 p.m., Eastern time) (“NYSE Close”). Information that becomes known to the Portfolios 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 Portfolio reserves the right to change the time as of which its respective NAV is calculated if the Portfolio closes earlier, or as permitted by the U.S Securities and Exchange Commission ("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 Portfolios' approved pricing services, quotation reporting systems and other third-party sources (together, “Pricing Services”). The Portfolios will normally use pricing data for domestic equity securities received shortly after the NYSE Close and do not normally take into account trading, clearances or settlements that take place after the NYSE Close. If market value pricing is used, a foreign (non-U.S.) equity security traded on a foreign exchange or on more than one exchange is typically valued using pricing information from the exchange considered by PIMCO to be the primary exchange. A foreign (non-U.S.) equity security will be valued as of the close of trading on the foreign exchange, or the NYSE Close, if the NYSE Close occurs before the end of trading on the foreign exchange. Domestic and foreign (non-U.S.) fixed income securities, non-exchange traded derivatives, and equity options are normally valued on the basis of quotes obtained from brokers and dealers or Pricing Services using 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 Portfolio'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 Portfolio 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 Portfolio 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 Portfolio 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 Portfolio is not open for business, which may result in a Portfolio's portfolio investments being affected when shareholders are unable to buy or sell shares.

 

Senior secured floating rate loans for which an active secondary market exists to a reliable degree are valued at the mean of the last available bid/ask prices in the market for such loans, as provided by a Pricing Service. Senior secured floating rate loans for which an active secondary market does not exist to a reliable degree are valued at fair value, which is intended to approximate market value. In valuing a senior secured floating rate loan at fair value, the factors considered may include, but are not limited to, the following: (a) the creditworthiness of the borrower and any intermediate participants, (b) the terms of the loan, (c) recent prices in the market for similar 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 Portfolio'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 Portfolio is not open for business. As a result, to the extent that a Portfolio 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 Portfolio's next calculated NAV.

 

Investments for which market quotes or market based valuations are not readily available are valued at fair value as determined in good faith by the Board or persons acting at their direction. The Board has adopted methods for valuing securities and other assets in circumstances where market quotes are not readily available, and has delegated to PIMCO the responsibility for applying the fair valuation methods. In the event that market quotes or market based valuations are not readily available, and the security or asset cannot be valued pursuant to a Board approved valuation method, the value of the security or asset will be determined in good faith by the Board. Market quotes are considered not readily available in circumstances where there is an absence of current or reliable market-based data (e.g., trade information, bid/ask information, indicative market quotations (“Broker Quotes”), Pricing Services’ prices), including where events occur after the close of the relevant market, but prior to the NYSE Close, that materially affect the values of a Portfolio'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 Adviser, the responsibility for monitoring significant events that may materially affect the values of a Portfolio'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 Portfolio 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 Trust’s policy is intended to result in a calculation of a Portfolio's NAV that fairly reflects security values as of the time of pricing, the Trust cannot ensure that fair values determined by the Board or persons acting at their direction would accurately reflect the price that a Portfolio 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 Portfolio 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 Portfolio 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,

 

Notes to Financial Statements (Cont.)    

 

separately for each major category of assets and liabilities, that segregates fair value measurements into levels (Level 1, 2, or 3). The inputs or methodology used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. Levels 1, 2, and 3 of the fair value hierarchy are defined as follows:

 

• Level 1 — Quoted prices in active markets or exchanges for identical assets and liabilities.

 

• Level 2 — Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.

 

• Level 3 — Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair value of investments.

 

Assets or liabilities categorized as Level 2 or 3 as of period end have been transferred between Levels 2 and 3 since the prior period due to changes in the method utilized in valuing the investments. Transfers from Level 2 to Level 3 are a result of a change, in the normal course of business, from the use of methods used by Pricing Services (Level 2) to the use of a Broker Quote or valuation technique which utilizes significant unobservable inputs due to an absence of current or reliable market-based data (Level 3). In accordance with the requirements of U.S. GAAP, the amounts of transfers into and out of Level 3, if material, are disclosed in the Notes to Schedule of Investments for each respective Portfolio.

 

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 Portfolio'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 Portfolio.

 

(c) Valuation Techniques and the Fair Value Hierarchy

Level 1 and Level 2 trading assets and trading liabilities, at fair value The valuation methods (or “techniques”) and significant inputs used in determining the fair values of portfolio securities or other assets and liabilities categorized as Level 1 and Level 2 of the fair value hierarchy are as follows:

 

Fixed income securities including corporate, convertible and municipal bonds and notes, U.S. government agencies, U.S. treasury obligations, sovereign issues, bank loans, convertible preferred securities and non-U.S. bonds are normally valued on the basis of quotes obtained from brokers and dealers or Pricing Services that use broker-dealer quotations, reported trades or valuation estimates from their internal pricing models. The Pricing Services' internal models use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar assets. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.

 

Fixed income securities purchased on a delayed-delivery basis or as a repurchase commitment in a sale-buyback transaction are marked to market daily until settlement at the forward settlement date and are categorized as Level 2 of the fair value hierarchy.

 

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. Investments valued (denominated) in currencies other than the U.S. dollar are converted to the U.S. dollar using exchange rates (currency spot and forward rates) obtained from Pricing Services. As a result, the NAV of a Portfolio's shares may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of securities 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 the Trust is not open for business.

 

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

 

Notes to Financial Statements (Cont.)    

 

observed from actively quoted markets such as the overnight index swap rate, London Interbank Offered Rate forward rate, interest rates, yield curves and credit spreads. These securities are categorized as Level 2 of the fair value hierarchy.

 

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 Adviser 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 Adviser does not have the transparency to view the underlying inputs which support the market quotation. Significant changes in the Broker Quote would have direct and proportional changes in the fair value of the security

 

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.

 

2. FEDERAL INCOME TAX MATTERS

Each Portfolio 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 Portfolio 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 Adviser has reviewed the Portfolios' tax positions for all open tax years. As of March 31, 2020, the Portfolios 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 Portfolios file U.S. federal, state, and local tax returns as required. The Portfolios' 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.

 

3. INVESTMENTS IN AFFILIATES

Each Portfolio may invest in the PIMCO Short Asset Portfolio and the PIMCO Short-Term Floating NAV Portfolio III ("Central Funds") to the extent permitted by the Act and rules thereunder. The Central Funds are registered investment companies created for use solely by the series of the Trust and other series of registered investment companies advised by the Adviser, in connection with their cash management activities. The main investments of the Central Funds are money market and short maturity fixed income instruments. The Central Funds may incur expenses related to their investment activities, but do not pay Investment Advisory Fees or Supervisory and Administrative Fees to the Adviser. The Central Funds are considered to be affiliated with the Portfolios. A copy of each affiliate fund’s shareholder report is available at the SEC’s website at www.sec.gov, on the Funds’ website at www.pimco.com, or upon request, as applicable. The table below shows the Portfolios' transactions in and earnings from these affiliated issuers for the period ended March 31, 2020 (amounts in thousands†):

Investments in PIMCO Short-Term Floating NAV Portfolio III

Portfolio Name

 

Market Value
12/31/2019

 

Purchases at
Cost

 

Proceeds from
Sales

 

Net
Realized
Gain (Loss)

 

Change in
Unrealized
Appreciation
(Depreciation)

 

Market Value
03/31/2020

 

Dividend
Income(1)

 

Realized Net
Capital
Gain
Distributions(1)

Fixed Income SHares: Series C

$

183

$

9,202

$

0

$

0

$

13

$

9,398

$

2

$

0

Fixed Income SHares: Series LD

 

118

 

26,907

 

(24,300)

 

(40)

 

(1)

 

2,684

 

6

 

0

Fixed Income SHares: Series M

 

192

 

98,519

 

(78,500)

 

(1)

 

25

 

20,235

 

19

 

0

Fixed Income SHares: Series TE

 

710

 

16,809

 

(14,900)

 

(42)

 

3

 

2,580

 

9

 

0

 

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

(1) The tax characterization of distributions is determined in accordance with Federal income tax regulations and may contain a return of capital. The actual tax characterization of distributions received is determined at the end of the fiscal year of the affiliated fund.

 

 

 

Glossary: (abbreviations that may be used in the preceding statements)

 

 

 

(Unaudited)

 

 

 

 

 

 

 

 

 

 

 

Counterparty Abbreviations:

 

 

 

 

 

 

 

 

 

 

BOA

 

Bank of America N.A.

 

FOB

 

Credit Suisse Securities (USA) LLC

 

RYL

 

NatWest Markets Plc

BOM

 

Bank of Montreal

 

GLM

 

Goldman Sachs Bank USA

 

SCX

 

Standard Chartered Bank, London

BOS

 

BofA Securities, Inc.

 

GRE

 

NatWest Markets Securities Inc.

 

SGY

 

Societe Generale, NY

BPG

 

BNP Paribas Securities Corp.

 

GST

 

Goldman Sachs International

 

SOG

 

Societe Generale Paris

BPS

 

BNP Paribas S.A.

 

HUS

 

HSBC Bank USA N.A.

 

SSB

 

State Street Bank and Trust Co.

BRC

 

Barclays Bank PLC

 

IND

 

Crédit Agricole Corporate and Investment Bank S.A.

 

TDL

 

Toronto Dominion Bank London

CBK

 

Citibank N.A.

 

JPM

 

JP Morgan Chase Bank N.A.

 

TDM

 

TD Securities (USA) LLC

CFR

 

Credit Suisse Securities (Europe) Ltd.

 

JPS

 

J.P. Morgan Securities LLC

 

TOR

 

The Toronto-Dominion Bank

CIW

 

CIBC World Markets Corp.

 

MSC

 

Morgan Stanley & Co. LLC.

 

UAG

 

UBS AG Stamford

DUB

 

Deutsche Bank AG

 

MYC

 

Morgan Stanley Capital Services LLC

 

UBS

 

UBS Securities LLC

FBF

 

Credit Suisse International

 

MYI

 

Morgan Stanley & Co. International PLC

 

 

 

 

FICC

 

Fixed Income Clearing Corporation

 

RDR

 

RBC Capital Markets LLC

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currency Abbreviations:

 

 

 

 

 

 

 

 

 

 

ARS

 

Argentine Peso

 

IDR

 

Indonesian Rupiah

 

PEN

 

Peruvian New Sol

AUD

 

Australian Dollar

 

ILS

 

Israeli Shekel

 

PLN

 

Polish Zloty

BRL

 

Brazilian Real

 

INR

 

Indian Rupee

 

RUB

 

Russian Ruble

CAD

 

Canadian Dollar

 

JPY

 

Japanese Yen

 

SEK

 

Swedish Krona

CHF

 

Swiss Franc

 

KRW

 

South Korean Won

 

SGD

 

Singapore Dollar

COP

 

Colombian Peso

 

MXN

 

Mexican Peso

 

TWD

 

Taiwanese Dollar

DKK

 

Danish Krone

 

NOK

 

Norwegian Krone

 

USD (or $)

 

United States Dollar

EUR

 

Euro

 

NZD

 

New Zealand Dollar

 

ZAR

 

South African Rand

GBP

 

British Pound

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Exchange Abbreviations:

 

 

 

 

 

 

 

 

 

 

CBOT

 

Chicago Board of Trade

 

OTC

 

Over the Counter

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Index/Spread Abbreviations:

 

 

 

 

 

 

 

 

 

 

ARLLMONP

 

Argentina Blended Policy Rate

 

CPALEMU

 

Euro Area All Items Non-Seasonally Adjusted Index

 

LIBOR03M

 

3 Month USD-LIBOR

BADLARPP

 

Argentina Badlar Floating Rate Notes

 

CPTFEMU

 

Eurozone HICP ex-Tobacco Index

 

MUNIPSA

 

Securities Industry and Financial Markets Association (SIFMA) Municipal Swap Index

BP0003M

 

3 Month GBP-LIBOR

 

CPURNSA

 

Consumer Price All Urban Non-Seasonally Adjusted Index

 

UKRPI

 

United Kingdom Retail Prices Index

CDX.HY

 

Credit Derivatives Index - High Yield

 

FRCPXTOB

 

France Consumer Price ex-Tobacco Index

 

US0001M

 

1 Month USD Swap Rate

CDX.IG

 

Credit Derivatives Index - Investment Grade

 

H15T1Y

 

1 Year US Treasury Yield Curve Constant Maturity Rate

 

US0003M

 

3 Month USD Swap Rate

 

 

 

 

 

 

 

 

 

 

 

Municipal Bond or Agency Abbreviations:

 

 

 

 

AGM

 

Assured Guaranty Municipal

 

BAM

 

Build America Mutual Assurance

 

Q-SBLF

 

Qualified School Bond Loan Fund

 

 

 

 

 

 

 

 

 

 

 

Other  Abbreviations:

 

 

 

 

 

 

ABS

 

Asset-Backed Security

 

DAC

 

Designated Activity Company

 

PIK

 

Payment-in-Kind

ALT

 

Alternate Loan Trust

 

EURIBOR

 

Euro Interbank Offered Rate

 

REMIC

 

Real Estate Mortgage Investment Conduit

BABs

 

Build America Bonds

 

LIBOR

 

London Interbank Offered Rate

 

TBA

 

To-Be-Announced

BBR

 

Bank Bill Rate

 

NCUA

 

National Credit Union Administration

 

TBD

 

To-Be-Determined

BTP

 

Buoni del Tesoro Poliennali

 

OAT

 

Obligations Assimilables du Trésor

 

TELBOR

 

Tel Aviv Inter-Bank Offered Rate

CDO

 

Collateralized Debt Obligation

 

OIS

 

Overnight Index Swap

 

YOY

 

Year-Over-Year

CLO

 

Collateralized Loan Obligation