NPORT-EX 1 highincomefund.htm PIMCO HIGH INCOME FUND

 

 

Schedule of Investments  PIMCO High Income Fund April 30, 2019 (Unaudited)

 

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

 

      PRINCIPAL
AMOUNT
(000s)
      MARKET
VALUE
(000s)
 
INVESTMENTS IN SECURITIES 133.3% ¤                
                 
LOAN PARTICIPATIONS AND ASSIGNMENTS 7.1%                
                 
Advanz Pharma Corp.
7.984% (LIBOR03M + 5.500%) due 09/06/2024 ~
  $ 6,851     $ 6,436  
Alphabet Holding Co., Inc.
5.983% (LIBOR03M + 3.500%) due 09/26/2024 ~
    99       92  
Altice France S.A.
6.473% (LIBOR03M + 4.000%) due 08/14/2026 ~
    398       392  
Avantor, Inc.
6.233% (LIBOR03M + 3.750%) due 11/21/2024 ~
    47       47  
Bausch Health Cos., Inc.
5.224% (LIBOR03M + 2.750%) due 11/27/2025 ~
    152       152  
CityCenter Holdings LLC
4.733% (LIBOR03M + 2.250%) due 04/18/2024 ~
    339       339  
Diamond Resorts Corp.
6.233% (LIBOR03M + 3.750%) due 09/02/2023 ~
    1,282       1,221  
Dubai World
1.750% (LIBOR03M + 2.000%) due 09/30/2022 ~
    700       657  
Envision Healthcare Corp.
6.233% (LIBOR03M + 3.750%) due 10/10/2025 ~
    698       676  
Financial & Risk U.S. Holdings, Inc.                
3.773% - 4.000% (EUR003M + 4.000%) due 10/01/2025 ~   EUR 862       967  
3.773% - 4.000% (LIBOR03M + 3.750%) due 10/01/2025 ~   $ 936       927  
Forbes Energy Services LLC
5.000% - 9.000% (LIBOR03M + 5.000%) due 04/13/2021
    1,156       1,157  
Forest City Enterprises, L.P.
6.483% (LIBOR03M + 4.000%) due 12/07/2025 ~
    200       201  
FrontDoor, Inc.
5.000% (LIBOR03M + 2.500%) due 08/14/2025 «~
    30       30  
Frontier Communications Corp.
6.240% (LIBOR03M + 3.750%) due 06/15/2024 ~
    886       867  
Genworth Holdings, Inc.
6.987% (LIBOR03M + 4.500%) due 03/07/2023 «~
    50       50  
Gray Television, Inc.
4.977% (LIBOR03M + 2.500%) due 01/02/2026 ~
    100       100  
iHeartCommunications, Inc.                
TBD% due 07/30/2019 ^(e)     240       178  
TBD% due 01/30/2020     19,634       14,619  
IRB Holding Corp.
5.723% (LIBOR03M + 3.250%) due 02/05/2025 ~
    1,293       1,292  
Klockner-Pentaplast of America, Inc.
4.750% (EUR003M + 4.750%) due 06/30/2022 ~
  EUR 100       102  
McDermott Technology Americas, Inc.
7.483% (LIBOR03M + 5.000%) due 05/12/2025 ~
  $ 1,448       1,436  
Messer Industrie GmbH
5.101% (LIBOR03M + 2.500%) due 03/01/2026 ~
    150       150  
MH Sub LLC
6.227% (LIBOR03M + 3.750%) due 09/13/2024 ~
    167       168  
Ministry of Finance of Tanzania
7.741% (LIBOR03M + 4.600%) due 12/10/2019 «~
    100       100  
Multi Color Corp.
4.483% (LIBOR03M + 2.000%) due 10/31/2024 ~
    24       24  
NCI Building Systems, Inc.
6.354% (LIBOR03M + 3.750%) due 04/12/2025 ~
    50       49  
Neiman Marcus Group Ltd. LLC
5.724% - 5.836% (LIBOR03M + 3.250%) due 10/25/2020 ~
    8,802       8,183  
Pacific Gas & Electric Co.
7.500% due 02/22/2049 ^«(e)
    100       95  
Panther BF Aggregator LP
TBD% due 04/30/2026 «
    90       90  
Parexel International Corp.
5.233% (LIBOR03M + 2.750%) due 09/27/2024 ~
    99       97  
PetSmart, Inc.
6.730% (LIBOR03M + 4.250%) due 03/11/2022 ~
    336       325  
Sequa Mezzanine Holdings LLC                
7.776% (LIBOR03M + 5.000%) due 11/28/2021 ~     324       321  
11.583% (LIBOR03M + 9.000%) due 04/28/2022 ~     140       138  
Starfruit Finco BV
5.729% (LIBOR03M + 3.250%) due 10/01/2025 ~
    300       300  
Syniverse Holdings, Inc.
7.473% (LIBOR03M + 5.000%) due 03/09/2023 ~
    5,218       4,972  
Univision Communications, Inc.
5.233% (LIBOR03M + 2.750%) due 03/15/2024 ~
    3,479       3,355  
West Corp.
6.629% (LIBOR03M + 4.000%) due 10/10/2024 ~
    58       56  

 

 

 

 

Schedule of Investments  PIMCO High Income Fund (Cont.) April 30, 2019 (Unaudited)

 

                 
Westmoreland Coal Co.                
                 
TBD% due 03/15/2029     5,121       4,814  
Westmoreland Mining Holdings LLC
10.861% (LIBOR03M + 8.250%) due 03/15/2022 «~
    2,620       2,646  
Total Loan Participations and Assignments (Cost $63,825)             57,821  
                 
CORPORATE BONDS & NOTES 59.2%                
                 
BANKING & FINANCE 25.1%                
                 
AGFC Capital Trust
4.347% (US0003M + 1.750%) due 01/15/2067 ~
    27,410       15,076  
Ally Financial, Inc.                
8.000% due 11/01/2031     4       5  
8.000% due 11/01/2031 (m)     1,270       1,616  
Ambac LSNI LLC
7.592% due 02/12/2023 •(m)
    670       679  
Ardonagh Midco PLC
8.375% due 07/15/2023 (m)
  GBP 12,635       13,865  
Athene Holding Ltd.
4.125% due 01/12/2028
  $ 76       74  
Atlantic Marine Corps Communities LLC
5.383% due 02/15/2048 (m)
    4,460       4,260  
Avolon Holdings Funding Ltd.
5.500% due 01/15/2023
    216       227  
AXA Equitable Holdings, Inc.                
4.350% due 04/20/2028     70       72  
5.000% due 04/20/2048     104       103  
Banco Santander S.A.
6.250% due 09/11/2021 •(i)(j)(m)
  EUR 500       588  
Bank of Ireland
7.375% due 06/18/2020 •(i)(j)
    200       238  
Barclays Bank PLC
7.625% due 11/21/2022 (j)
  $ 310       338  
Barclays PLC                
7.750% due 09/15/2023 •(i)(j)     2,150       2,224  
7.875% due 09/15/2022 •(i)(j)   GBP 7,210       10,140  
8.000% due 06/15/2024 •(i)(j)   $ 600       633  
Brighthouse Holdings LLC
6.500% due 07/27/2037 Ø(i)
    70       66  
Brookfield Finance, Inc.                
3.900% due 01/25/2028     128       126  
4.700% due 09/20/2047 (m)     290       283  
Cantor Fitzgerald LP
6.500% due 06/17/2022 (m)
    13,100       14,010  
CBL & Associates LP                
4.600% due 10/15/2024     2       1  
5.950% due 12/15/2026 (m)     3,368       2,383  
Credit Agricole S.A.
7.875% due 01/23/2024 •(i)(j)(m)
    250       272  
Credit Suisse Group AG                
7.250% due 09/12/2025 •(i)(j)     200       208  
7.500% due 07/17/2023 •(i)(j)     400       420  
Doctors Co.
6.500% due 10/15/2023 (m)
    10,000       10,512  
Emerald Bay S.A.
0.000% due 10/08/2020 (h)(m)
  EUR 2,738       2,937  
Flagstar Bancorp, Inc.
6.125% due 07/15/2021 (m)
  $ 3,000       3,147  
Fortress Transportation & Infrastructure Investors LLC                
6.500% due 10/01/2025     363       373  
6.750% due 03/15/2022 (m)     682       702  
GE Capital International Funding Co. Unlimited Co.
4.418% due 11/15/2035
    200       187  
GLP Capital LP
5.250% due 06/01/2025
    20       21  
Growthpoint Properties International Pty. Ltd.
5.872% due 05/02/2023
    200       206  
GSPA Monetization Trust
6.422% due 10/09/2029
    5,694       6,524  
Hampton Roads PPV LLC
6.621% due 06/15/2053
    19,964       20,608  
HSBC Bank PLC
6.330% due 05/23/2023
    8,300       8,632  
HSBC Holdings PLC                
5.875% due 09/28/2026 •(i)(j)(m)   GBP 600       821  
6.000% due 09/29/2023 •(i)(j)(m)   EUR 2,600       3,325  
6.500% due 03/23/2028 •(i)(j)   $ 700       713  
Hunt Cos., Inc.
6.250% due 02/15/2026
    36       34  
iStar, Inc.                
4.625% due 09/15/2020     20       20  
5.250% due 09/15/2022     27       27  
Jefferies Finance LLC                
7.250% due 08/15/2024 (m)     7,285       7,230  
7.375% due 04/01/2020 (m)     1,200       1,203  

 

 

 

 

Schedule of Investments  PIMCO High Income Fund (Cont.) April 30, 2019 (Unaudited)

 

                 
Kennedy-Wilson, Inc.
5.875% due 04/01/2024
    96       97  
Lloyds Bank PLC
12.000% due 12/16/2024 •(i)
    5,300       6,392  
Lloyds Banking Group PLC                
7.500% due 09/27/2025 •(i)(j)     500       519  
7.875% due 06/27/2029 •(i)(j)   GBP 4,110       6,056  
LoanCore Capital Markets LLC
6.875% due 06/01/2020 (m)
  $ 7,000       7,013  
Midwest Family Housing LLC
6.631% due 01/01/2051
    4,890       4,676  
Nationstar Mortgage LLC
6.500% due 07/01/2021
    1,030       1,034  
Navient Corp.                
5.625% due 08/01/2033 (m)     8,064       6,532  
6.500% due 06/15/2022     114       120  
Newmark Group, Inc.
6.125% due 11/15/2023
    40       42  
Oppenheimer Holdings, Inc.
6.750% due 07/01/2022
    68       70  
Provident Funding Associates LP
6.375% due 06/15/2025
    37       35  
Royal Bank of Scotland Group PLC                
7.500% due 08/10/2020 •(i)(j)(m)     5,840       6,023  
8.625% due 08/15/2021 •(i)(j)     3,700       3,987  
Santander UK Group Holdings PLC
7.375% due 06/24/2022 •(i)(j)
  GBP 6,363       8,840  
Societe Generale S.A.                
6.750% due 04/06/2028 •(i)(j)   $ 200       194  
7.375% due 10/04/2023 •(i)(j)     900       916  
TP ICAP PLC
5.250% due 01/26/2024 (m)
  GBP 4,190       5,625  
UniCredit SpA
7.830% due 12/04/2023 (m)
  $ 3,300       3,707  
Unigel Luxembourg S.A.
10.500% due 01/22/2024
    810       874  
Unique Pub Finance Co. PLC
5.659% due 06/30/2027
  GBP 259       376  
Voyager Aviation Holdings LLC
8.500% due 08/15/2021
  $ 6,510       6,726  
WeWork Cos., Inc.
7.875% due 05/01/2025
    104       103  
              205,086  
INDUSTRIALS 23.1%                
                 
Adient U.S. LLC
7.000% due 05/15/2026 (c)
    52       53  
Air Canada Pass-Through Trust
3.700% due 07/15/2027
    32       32  
Altice France S.A.
5.875% due 02/01/2027 (m)
  EUR 2,500       2,982  
Associated Materials LLC
9.000% due 01/01/2024
  $ 1,102       1,041  
Baffinland Iron Mines Corp.
8.750% due 07/15/2026 (m)
    8,400       8,515  
Bausch Health Americas, Inc.
8.500% due 01/31/2027
    52       57  
Bombardier, Inc.
7.875% due 04/15/2027
    290       292  
Clear Channel Worldwide Holdings, Inc.
6.500% due 11/15/2022 (m)
    2,950       3,031  
Cleveland-Cliffs, Inc.
4.875% due 01/15/2024
    48       48  
Co-operative Group Holdings Ltd.
7.500% due 07/08/2026 Ø
  GBP 100       147  
CommScope, Inc.
5.500% due 03/01/2024
  $ 116       121  
Community Health Systems, Inc.                
5.125% due 08/01/2021     300       297  
6.250% due 03/31/2023 (m)     13,476       13,173  
8.000% due 03/15/2026     763       744  
8.625% due 01/15/2024     1,775       1,806  
DAE Funding LLC                
5.250% due 11/15/2021     382       394  
5.750% due 11/15/2023     382       401  
Dell International LLC
6.020% due 06/15/2026 (m)
    3,572       3,872  
Diamond Resorts International, Inc.
7.750% due 09/01/2023 (m)
    3,315       3,303  
DriveTime Automotive Group, Inc.
8.000% due 06/01/2021 (m)
    11,130       11,353  
EI Group PLC                
6.000% due 10/06/2023   GBP 500       701  
6.875% due 05/09/2025     6,600       9,337  

 

 

 

 

Schedule of Investments  PIMCO High Income Fund (Cont.) April 30, 2019 (Unaudited)

 

                 
Envision Healthcare Corp.
8.750% due 10/15/2026 (m)
  $ 3,318       3,136  
Exela Intermediate LLC
10.000% due 07/15/2023 (m)
    172       174  
Ferroglobe PLC
9.375% due 03/01/2022 (m)
    2,250       2,025  
First Quantum Minerals Ltd.                
6.500% due 03/01/2024 (m)     2,240       2,122  
6.875% due 03/01/2026 (m)     2,448       2,289  
7.000% due 02/15/2021     224       229  
Ford Motor Co.
7.700% due 05/15/2097 (m)
    15,515       17,377  
Fresh Market, Inc.
9.750% due 05/01/2023 (m)
    9,300       7,177  
Frontier Finance PLC
8.000% due 03/23/2022
  GBP 6,600       8,968  
Full House Resorts, Inc.
8.575% due 01/31/2024 «
  $ 495       496  
General Electric Co.                
5.000% due 01/21/2021 •(i)     397       376  
5.550% due 01/05/2026 (m)     161       175  
5.875% due 01/14/2038     46       50  
6.150% due 08/07/2037     53       58  
6.875% due 01/10/2039     13       15  
General Shopping Finance Ltd.
10.000% due 05/31/2019 (i)
    5,300       4,346  
General Shopping Investments Ltd.
0.000% due 03/20/2022 ^(e)(i)
    2,500       688  
HCA, Inc.
7.500% due 11/15/2095 (m)
    3,462       3,566  
Huntsman International LLC
4.500% due 05/01/2029
    62       62  
iHeartCommunications, Inc.                
9.000% due 12/15/2019 ^(e)     710       529  
9.000% due 03/01/2021 ^(e)     2,309       1,720  
9.000% due 09/15/2022 ^(e)     7,022       5,267  
Intelsat Connect Finance S.A.
9.500% due 02/15/2023
    23       21  
Intelsat Jackson Holdings S.A.                
5.500% due 08/01/2023     2,300       2,084  
8.000% due 02/15/2024     17       18  
8.500% due 10/15/2024     333       330  
9.750% due 07/15/2025     175       180  
Intelsat Luxembourg S.A.                
7.750% due 06/01/2021     5,617       5,252  
8.125% due 06/01/2023 (m)     15,504       11,802  
Mallinckrodt International Finance S.A.
5.500% due 04/15/2025
    108       78  
Melco Resorts Finance Ltd.
5.250% due 04/26/2026
    1,500       1,499  
Metinvest BV
8.500% due 04/23/2026
    700       690  
Micron Technology, Inc.
5.327% due 02/06/2029
    216       223  
Netflix, Inc.
4.625% due 05/15/2029 (m)
  EUR 300       367  
New Albertson's LP
6.570% due 02/23/2028 (m)
  $ 4,021       3,056  
Odebrecht Oil & Gas Finance Ltd.
0.000% due 05/31/2019 (h)(i)
    3,371       34  
Ortho-Clinical Diagnostics, Inc.
6.625% due 05/15/2022
    489       483  
Par Pharmaceutical, Inc.
7.500% due 04/01/2027
    165       172  
Park Aerospace Holdings Ltd.
5.500% due 02/15/2024
    32       34  
Petroleos Mexicanos                
6.500% due 03/13/2027     270       274  
6.750% due 09/21/2047     70       65  
PetSmart, Inc.
5.875% due 06/01/2025
    161       147  
Platin GmbH
6.875% due 06/15/2023 (m)
  EUR 600       670  
QVC, Inc.
5.950% due 03/15/2043 (m)
  $ 5,000       4,641  
Radiate Holdco LLC
6.875% due 02/15/2023
    100       101  
Refinitiv U.S. Holdings, Inc.                
4.500% due 05/15/2026 (m)   EUR 300       340  
6.875% due 11/15/2026     100       113  
Rockpoint Gas Storage Canada Ltd.
7.000% due 03/31/2023
  $ 12       12  
Russian Railways via RZD Capital PLC
7.487% due 03/25/2031 (m)
  GBP 13,100       20,841  
Sands China Ltd.                
4.600% due 08/08/2023   $ 200       207  

 

 

 

 

Schedule of Investments  PIMCO High Income Fund (Cont.) April 30, 2019 (Unaudited)

 

                 
5.125% due 08/08/2025     400       423  
5.400% due 08/08/2028     1,802       1,911  
Spanish Broadcasting System, Inc.
12.500% due 04/15/2049 ^(e)
    3,284       3,391  
Starfruit Finco BV
6.500% due 10/01/2026
  EUR 100       116  
Syngenta Finance NV
5.182% due 04/24/2028
  $ 200       205  
T-Mobile USA, Inc.
4.750% due 02/01/2028
    29       29  
Telenet Finance Luxembourg Notes SARL
5.500% due 03/01/2028
    200       200  
Teva Pharmaceutical Finance Netherlands BV
3.250% due 04/15/2022 (m)
  EUR 500       584  
Topaz Solar Farms LLC                
4.875% due 09/30/2039   $ 205       202  
5.750% due 09/30/2039     1,325       1,390  
Transocean Pontus Ltd.
6.125% due 08/01/2025
    202       209  
Triumph Group, Inc.                
4.875% due 04/01/2021     184       182  
5.250% due 06/01/2022     36       36  
United Group BV                
4.375% due 07/01/2022   EUR 100       115  
4.875% due 07/01/2024     100       116  
Univision Communications, Inc.                
5.125% due 05/15/2023   $ 231       224  
5.125% due 02/15/2025     765       722  
Vale Overseas Ltd.                
6.250% due 08/10/2026     205       225  
6.875% due 11/21/2036     89       104  
6.875% due 11/10/2039     60       70  
ViaSat, Inc.                
5.625% due 09/15/2025     136       136  
5.625% due 04/15/2027     81       83  
VOC Escrow Ltd.
5.000% due 02/15/2028
    79       79  
Wyndham Destinations, Inc.                
3.900% due 03/01/2023     102       101  
4.250% due 03/01/2022     8       8  
5.400% due 04/01/2024     14       14  
5.750% due 04/01/2027     1,185       1,195  
Wynn Macau Ltd.
5.500% due 10/01/2027
    200       197  
              188,546  
UTILITIES 11.0%                
                 
AT&T, Inc.
4.900% due 08/15/2037
    81       84  
CenturyLink, Inc.
7.200% due 12/01/2025
    1,122       1,120  
DTEK Finance PLC (10.750% Cash or 10.750% PIK)
10.750% due 12/31/2024 (d)
    5,927       5,807  
Frontier Communications Corp.
8.000% due 04/01/2027
    144       149  
Mountain States Telephone & Telegraph Co.
7.375% due 05/01/2030
    15,200       16,558  
Odebrecht Drilling Norbe Ltd.
6.350% due 12/01/2021
    1,227       1,217  
Odebrecht Drilling Norbe Ltd. (6.350% Cash and 1.000% PIK)
7.350% due 12/01/2026 (d)
    2,841       1,811  
Odebrecht Offshore Drilling Finance Ltd.
6.720% due 12/01/2022
    4,538       4,344  
Odebrecht Offshore Drilling Finance Ltd. (6.720% Cash and 1.000% PIK)
7.720% due 12/01/2026 (d)
    12,850       3,309  
Pacific Gas & Electric Co.                
2.450% due 08/15/2022 ^(e)     1,230       1,156  
2.950% due 03/01/2026 ^(e)     645       584  
3.250% due 09/15/2021 ^(e)     114       108  
3.250% due 06/15/2023 ^(e)     361       340  
3.300% due 03/15/2027 ^(e)     992       908  
3.300% due 12/01/2027 ^(e)     970       884  
3.400% due 08/15/2024 ^(e)     309       290  
3.500% due 10/01/2020 ^(e)(m)     12,243       11,692  
3.500% due 06/15/2025 ^(e)     863       811  
3.750% due 02/15/2024 ^(e)     285       270  
3.750% due 08/15/2042 ^(e)     30       26  
3.850% due 11/15/2023 ^(e)     140       133  
4.000% due 12/01/2046 ^(e)     2       2  
4.250% due 05/15/2021 ^(e)     249       240  
4.250% due 08/01/2023 ^(e)     300       291  
4.300% due 03/15/2045 ^(e)     186       169  
4.600% due 06/15/2043 ^(e)     24       22  
4.650% due 08/01/2028 ^(e)     300       292  
4.750% due 02/15/2044 ^(e)     83       79  

 

 

 

 

Schedule of Investments  PIMCO High Income Fund (Cont.) April 30, 2019 (Unaudited)

 

                 
5.125% due 11/15/2043 ^(e)     685       659  
5.400% due 01/15/2040 ^(e)     22       22  
5.800% due 03/01/2037 ^(e)     701       711  
6.050% due 03/01/2034 ^(e)     278       290  
6.250% due 03/01/2039 ^(e)     108       112  
6.350% due 02/15/2038 ^(e)     20       21  
Petrobras Global Finance BV                
5.750% due 02/01/2029     330       332  
5.999% due 01/27/2028     113       116  
6.250% due 12/14/2026   GBP 8,600       12,481  
6.625% due 01/16/2034     200       285  
6.850% due 06/05/2115   $ 98       96  
7.375% due 01/17/2027     2,511       2,802  
8.750% due 05/23/2026     119       143  
Rio Oil Finance Trust                
8.200% due 04/06/2028     260       286  
9.250% due 07/06/2024     17,419       19,161  
Southern California Edison Co.                
3.650% due 03/01/2028     7       7  
5.750% due 04/01/2035     14       16  
6.000% due 01/15/2034     4       5  
Transocean Poseidon Ltd.
6.875% due 02/01/2027
    156       166  
              90,407  
Total Corporate Bonds & Notes (Cost $465,494)             484,039  
                 
CONVERTIBLE BONDS & NOTES 0.6%                
                 
INDUSTRIALS 0.6%                
                 
DISH Network Corp.
3.375% due 08/15/2026
    5,100       4,691  
Total Convertible Bonds & Notes (Cost $5,100)             4,691  
                 
MUNICIPAL BONDS & NOTES 7.8%                
                 
CALIFORNIA 0.5%                
                 
Anaheim Redevelopment Agency, California Tax Allocation Bonds, (AGM Insured), Series 2007
6.506% due 02/01/2031
    1,855       2,175  
Sacramento County, California Revenue Bonds, Series 2013
7.250% due 08/01/2025
    1,500       1,829  
              4,004  
DISTRICT OF COLUMBIA 1.3%                
                 
District of Columbia Revenue Bonds, Series 2011
7.625% due 10/01/2035
    9,740       10,747  
                 
ILLINOIS 2.7%                
                 
Chicago, Illinois General Obligation Bonds, (BABs), Series 2010                
6.257% due 01/01/2040     11,000       10,919  
7.517% due 01/01/2040     9,805       10,941  
Illinois State General Obligation Bonds, (BABs), Series 2010                
6.725% due 04/01/2035     45       49  
7.350% due 07/01/2035     30       34  
Illinois State General Obligation Bonds, Series 2003
5.100% due 06/01/2033
    365       359  
              22,302  
NEW YORK 0.2%                
                 
Erie Tobacco Asset Securitization Corp., New York Revenue Bonds, Series 2005
6.000% due 06/01/2028
    1,485       1,485  
                 
TEXAS 1.3%                
                 
El Paso Downtown Development Corp., Texas Revenue Bonds, Series 2013
7.250% due 08/15/2043
    7,535       10,355  
VIRGINIA 0.1%                
                 
Tobacco Settlement Financing Corp., Virginia Revenue Bonds, Series 2007
6.706% due 06/01/2046
    1,355       1,268  
WEST VIRGINIA 1.7%                
Tobacco Settlement Finance Authority, West Virginia Revenue Bonds, Series 2007                
0.000% due 06/01/2047 (h)     66,200       4,162  

 

 

 

 

Schedule of Investments  PIMCO High Income Fund (Cont.) April 30, 2019 (Unaudited)

 

7.467% due 06/01/2047     9,675       9,603  
              13,765  
Total Municipal Bonds & Notes (Cost $57,211)             63,926  
                 
U.S. GOVERNMENT AGENCIES 3.2%                
                 
Fannie Mae                
3.500% due 09/25/2027 (a)     341       31  
5.020% due 10/25/2041     341       348  
6.093% due 05/25/2043 •     422       492  
10.000% due 01/25/2034 •     217       276  
Freddie Mac                
0.000% due 02/25/2046 (b)(h)     9,467       8,371  
0.100% due 02/25/2046 (a)     115,054       154  
3.627% due 07/15/2035 •(a)     949       130  
3.727% due 02/15/2042 •(a)     1,789       229  
4.000% due 08/15/2020 (a)     97       2  
4.500% due 10/15/2037 (a)     478       26  
4.608% due 11/25/2055 «~     13,978       8,474  
4.667% due 08/15/2036 •(a)     578       112  
5.000% due 06/15/2033     1,320       234  
8.055% due 05/15/2033 •     48       58  
11.677% due 10/25/2027 •     4,320       5,765  
Ginnie Mae                
3.500% due 06/20/2042 - 03/20/2043 (a)     2,554       369  
3.769% due 02/20/2042 •(a)     6,666       480  
4.500% due 07/20/2042 (a)     211       34  
5.000% due 09/20/2042 (a)     364       72  
Total U.S. Government Agencies (Cost $25,325)             25,657  
                 
NON-AGENCY MORTGAGE-BACKED SECURITIES 19.0%                
                 
Adjustable Rate Mortgage Trust
2.817% due 05/25/2036 •
    3,862       2,206  
Banc of America Alternative Loan Trust                
2.837% due 06/25/2037 •     3,783       2,992  
3.123% due 06/25/2046 ^•(a)     5,406       473  
4.163% due 06/25/2037 ^•(a)     4,108       642  
Banc of America Funding Trust                
6.000% due 07/25/2037 ^     501       475  
6.250% due 10/26/2036     8,265       6,865  
Banc of America Mortgage Trust
4.526% due 02/25/2036 ^~
    16       15  
BCAP LLC Trust                
0.000% due 06/26/2036 ~     1,622       817  
4.265% due 10/26/2036 ~     5,459       5,410  
4.920% due 03/26/2037 Ø     1,482       1,628  
6.000% due 05/26/2037 ~     6,612       4,745  
6.066% due 09/26/2036 ~     6,280       6,156  
Bear Stearns Adjustable Rate Mortgage Trust
3.582% due 11/25/2034 ~
    56       53  
Bellemeade Re Ltd.
8.777% due 07/25/2025 •
    1,250       1,259  
CD Commercial Mortgage Trust                
5.398% due 12/11/2049 ~     410       297  
5.688% due 10/15/2048     2,890       1,689  
Chase Mortgage Finance Trust                
4.134% due 09/25/2036 ^~     92       87  
4.274% due 12/25/2035 ^~     18       17  
5.500% due 05/25/2036 ^     3       3  
Citigroup Commercial Mortgage Trust
5.753% due 12/10/2049 ~
    5,589       3,215  
Citigroup Mortgage Loan Trust                
4.186% due 08/25/2037 ^~     177       152  
4.318% due 11/25/2035 ~     16,385       12,878  
4.356% due 07/25/2037 ^~     109       109  
6.500% due 09/25/2036     4,142       3,276  
Commercial Mortgage Loan Trust
6.238% due 12/10/2049 ~
    12,147       7,925  
Countrywide Alternative Loan Trust                
2.523% due 04/25/2035 •(a)     3,683       231  
2.727% due 12/25/2046 •     3,063       2,803  
4.443% due 02/25/2037 ^~     208       204  
4.991% due 07/25/2021 ^~     200       197  
6.000% due 02/25/2037 ^     5,756       3,830  
6.250% due 12/25/2036 ^•     3,087       2,272  
6.500% due 06/25/2036 ^     860       653  
Countrywide Home Loan Mortgage Pass-Through Trust                
2.873% due 12/25/2036 •(a)     2,937       344  
3.845% due 09/20/2036 ^~     427       375  
4.018% due 09/25/2047 ^~     38       36  
Credit Suisse Commercial Mortgage Trust                
5.869% due 09/15/2040 ~     3,089       2,354  
5.893% due 02/15/2039 ~     104       104  

 

 

 

 

Schedule of Investments  PIMCO High Income Fund (Cont.) April 30, 2019 (Unaudited)

 

                 
Credit Suisse First Boston Mortgage Securities Corp.
6.000% due 01/25/2036
    1,963       1,786  
Epic Drummond Ltd.
0.000% due 01/25/2022 •
  EUR 215       238  
Eurosail PLC                
2.193% due 06/13/2045 •   GBP 3,347       3,303  
4.843% due 06/13/2045 •     988       1,119  
Grifonas Finance PLC
0.050% due 08/28/2039 •
  EUR 4,199       4,323  
HarborView Mortgage Loan Trust                
4.285% due 08/19/2036 ^~   $ 384       317  
4.354% due 08/19/2036 ^~     20       19  
IM Pastor Fondo de Titluzacion Hipotecaria
0.000% due 03/22/2043 •
  EUR 5,701       5,806  
JPMorgan Alternative Loan Trust
3.883% due 03/25/2037 ^~
  $ 5,572       5,383  
JPMorgan Chase Commercial Mortgage Securities Trust                
5.411% due 05/15/2047     4,574       2,945  
5.623% due 05/12/2045     1,520       1,174  
JPMorgan Mortgage Trust                
3.674% due 07/27/2037 ~     4,269       2,405  
4.143% due 01/25/2037 ^•(a)     17,861       4,090  
LB-UBS Commercial Mortgage Trust                
5.407% due 11/15/2038     1,259       924  
5.562% due 02/15/2040 ~     617       376  
Lehman XS Trust
2.697% due 06/25/2047 •
    2,868       2,561  
Motel 6 Trust
9.399% due 08/15/2019 •
    10,529       10,701  
Nomura Asset Acceptance Corp. Alternative Loan Trust
4.525% due 04/25/2036 ^~
    5,426       5,049  
Nomura Resecuritization Trust
5.542% due 07/26/2035 ~
    4,482       3,908  
Residential Asset Securitization Trust                
6.250% due 10/25/2036 ^     485       490  
6.250% due 09/25/2037 ^     4,931       3,090  
6.500% due 08/25/2036 ^     819       434  
Structured Adjustable Rate Mortgage Loan Trust                
4.254% due 01/25/2036 ^~     168       126  
4.501% due 04/25/2047 ~     486       364  
Structured Asset Mortgage Investments Trust
2.667% due 07/25/2046 ^•
    10,764       8,654  
WaMu Mortgage Pass-Through Certificates Trust
3.458% due 05/25/2037 ^~
    128       106  
Washington Mutual Mortgage Pass-Through Certificates Trust                
4.203% due 04/25/2037 •(a)     11,234       2,948  
6.500% due 03/25/2036 ^     7,319       6,035  
Total Non-Agency Mortgage-Backed Securities (Cost $143,761)             155,461  
                 
ASSET-BACKED SECURITIES 14.9%                
                 
ACE Securities Corp. Home Equity Loan Trust
2.617% due 07/25/2036 •
    2,695       2,175  
Airspeed Ltd.
2.743% due 06/15/2032 •
    463       458  
Apidos CLO
0.000% due 07/22/2026 «~
    3,000       0  
Argent Securities Trust
2.667% due 03/25/2036 •
    5,739       3,638  
Avoca CLO DAC
0.000% due 10/15/2030 ~
  EUR 2,150       1,640  
Belle Haven ABS CDO Ltd.
2.848% due 07/05/2046 •
  $ 185,947       409  
Carlyle Global Market Strategies Euro CLO DAC
0.000% due 01/25/2032 ~
  EUR 2,200       2,044  
Carlyle Global Market Strategies Euro CLO Ltd.
0.000% due 04/15/2027 ~
    800       655  
Carlyle U.S. CLO Ltd.
0.000% due 10/15/2031 ~
  $ 4,200       3,629  
CIFC Funding Ltd.                
0.000% due 04/24/2030 ~     4,000       2,200  
0.000% due 10/22/2031 ~     3,000       1,604  
Citigroup Mortgage Loan Trust
2.637% due 12/25/2036 •
    5,856       3,981  
Cork Street CLO Designated Activity Co.                
0.000% due 11/27/2028 ~   EUR 2,667       2,941  
3.600% due 11/27/2028     1,197       1,344  
4.500% due 11/27/2028     1,047       1,176  
6.200% due 11/27/2028     1,296       1,456  
Countrywide Asset-Backed Certificates Trust
2.747% due 09/25/2046 •
  $ 14,313       9,705  
CVC Cordatus Loan Fund DAC
0.000% due 04/15/2032 ~
  EUR 2,500       1,814  
Duke Funding Ltd.
3.379% due 08/07/2033 •
  $ 16,581       5,886  

 

 

 

 

Schedule of Investments  PIMCO High Income Fund (Cont.) April 30, 2019 (Unaudited)

 

Glacier Funding CDO Ltd.
3.008% due 08/04/2035 •
    6,890       1,723  
Grosvenor Place CLO BV
0.000% due 04/30/2029 ~
  EUR 1,000       723  
Halcyon Loan Advisors European Funding BV
0.000% due 04/15/2030 ~
    1,100       927  
Long Beach Mortgage Loan Trust
2.667% due 02/25/2036 •
  $ 1,329       1,090  
Man GLG Euro CLO
0.000% due 10/15/2030 ~
  EUR 4,150       3,919  
Marlette Funding Trust                
0.000% due 12/15/2028 «(h)   $ 24,359       9,356  
0.000% due 04/16/2029 «(h)     7       2,408  
0.000% due 07/16/2029 «(c)(h)     10       4,288  
Merrill Lynch Mortgage Investors Trust                
2.637% due 04/25/2037 •     864       516  
5.953% due 03/25/2037 Ø     3,760       1,080  
Morgan Stanley Mortgage Loan Trust                
3.891% due 11/25/2036 ^•     813       397  
5.965% due 09/25/2046 ^Ø     7,313       4,069  
People's Financial Realty Mortgage Securities Trust
2.637% due 09/25/2036 •
    21,646       6,191  
Renaissance Home Equity Loan Trust                
6.998% due 09/25/2037 ^     7,630       4,448  
7.238% due 09/25/2037 ^Ø     6,601       3,847  
Sherwood Funding CDO Ltd.
2.873% due 11/06/2039 •
    34,922       10,564  
SMB Private Education Loan Trust
0.000% due 10/15/2048 «(h)
    5       4,563  
SoFi Consumer Loan Program LLC                
0.000% due 05/26/2026 «(h)     62       3,176  
0.000% due 11/25/2026 «(h)     94       6,490  
South Coast Funding Ltd.
3.297% due 08/10/2038 •
    26,311       5,138  
Specialty Underwriting & Residential Finance Trust
3.452% due 06/25/2036 •
    409       93  
Washington Mutual Asset-Backed Certificates Trust
2.627% due 05/25/2036 •
    234       200  
Total Asset-Backed Securities (Cost $140,467)             121,961  
                 
SOVEREIGN ISSUES 4.1%                
                 
Argentina Government International Bond                
3.375% due 01/15/2023   EUR 200       163  
3.380% due 12/31/2038 Ø     4,410       2,582  
5.250% due 01/15/2028     200       149  
6.250% due 11/09/2047     100       74  
7.820% due 12/31/2033     1,119       932  
40.244% (BADLARPP) due 10/04/2022 ~   ARS 84       3  
48.175% (BADLARPP + 3.250%) due 03/01/2020 ~     1,600       33  
50.249% (BADLARPP + 2.000%) due 04/03/2022 ~(a)     89,562       1,707  
70.354% due 06/21/2020 ~(a)     337,927       7,618  
Autonomous City of Buenos Aires Argentina
0.000% due 03/29/2024 •
    118,268       2,021  
Autonomous Community of Catalonia
4.900% due 09/15/2021 (m)
  EUR 2,350       2,849  
Export-Credit Bank of Turkey
8.250% due 01/24/2024
  $ 200       200  
Kazakhstan Government International Bond
2.375% due 11/09/2028
  EUR 100       117  
Peru Government International Bond                
5.940% due 02/12/2029   PEN 1,175       376  
6.350% due 08/12/2028     7,732       2,550  
6.950% due 08/12/2031     2,510       857  
8.200% due 08/12/2026     384       140  
Provincia de Buenos Aires
0.000% due 04/12/2025 ~
  ARS 267,665       4,452  
Republic of Greece Government International Bond                
3.000% due 02/24/2023 Ø   EUR 25       30  
3.000% due 02/24/2024 Ø     25       30  
3.000% due 02/24/2025 Ø     25       29  
3.000% due 02/24/2026 Ø     25       29  
3.000% due 02/24/2027 Ø     25       29  
3.000% due 02/24/2028 Ø     25       29  
3.000% due 02/24/2029 Ø     25       29  
3.000% due 02/24/2030 Ø     25       28  
3.000% due 02/24/2031 Ø     25       28  
3.000% due 02/24/2032 Ø     25       28  
3.000% due 02/24/2033 Ø     25       28  
3.000% due 02/24/2034 Ø     25       28  
3.000% due 02/24/2035 Ø     25       28  
3.000% due 02/24/2036 Ø     25       27  
3.000% due 02/24/2037 Ø     25       27  
3.000% due 02/24/2038 Ø     25       27  
3.000% due 02/24/2039 Ø     25       27  
3.000% due 02/24/2040 Ø     25       27  

 

 

 

 

Schedule of Investments  PIMCO High Income Fund (Cont.) April 30, 2019 (Unaudited)

 

                 
3.000% due 02/24/2041 Ø     25       27  
3.000% due 02/24/2042 Ø     25       27  
Turkey Government International Bond                
3.250% due 06/14/2025     100       101  
4.625% due 03/31/2025     2,300       2,493  
5.200% due 02/16/2026     800       877  
7.625% due 04/26/2029 (m)   $ 2,600       2,535  
Venezuela Government International Bond                
6.000% due 12/09/2020 ^(e)     365       107  
8.250% due 10/13/2024 ^(e)     34       10  
9.250% due 09/15/2027 ^(e)     452       144  
Total Sovereign Issues (Cost $47,782)             33,652  
      SHARES          
COMMON STOCKS 1.5%                
                 
CONSUMER DISCRETIONARY 0.7%                
                 
Caesars Entertainment Corp. (f)     584,952       5,475  
                 
ENERGY 0.0%                
Forbes Energy Services Ltd. (f)(k)     66,131       198  
                 
FINANCIALS 0.6%                
                 
Ardonagh Group Ltd. «(k)     3,457,270       5,297  
                 
INDUSTRIALS 0.2%                
                 
Westmoreland Mining Holdings LLC «     88,291       1,369  
Total Common Stocks (Cost $15,006)             12,339  
WARRANTS 0.2%                
                 
INDUSTRIALS 0.2%                
Sequa Corp. - Exp. 04/28/2024 «     1,795,000       1,757  
Total Warrants (Cost $0)             1,757  
PREFERRED SECURITIES 8.2%                
                 
BANKING & FINANCE 3.1%                
Nationwide Building Society
10.250% ~
    94,345       18,392  
OCP CLO Ltd.
0.000% due 04/26/2028 (h)
    8,700       7,309  
              25,701  
INDUSTRIALS 5.1%                
Sequa Corp.
9.000% «
    39,487       41,418  
Total Preferred Securities (Cost $59,741)             67,119  
REAL ESTATE INVESTMENT TRUSTS 2.6%                
                 
REAL ESTATE 2.6%                
VICI Properties, Inc.     934,782       21,313  
Total Real Estate Investment Trusts (Cost $12,650)             21,313  
                 

 

SHORT-TERM INSTRUMENTS 4.9%                
                 
REPURCHASE AGREEMENTS (l) 4.3%             35,297  

 

    PRINCIPAL
AMOUNT
(000s)
     
U.S. TREASURY BILLS 0.6%          
2.431% due 05/23/2019 - 07/05/2019 (g)(h)(o)(q)   4,892   4,878  

 

 

 

 

Schedule of Investments  PIMCO High Income Fund (Cont.) April 30, 2019 (Unaudited)

 

     
Total Short-Term Instruments (Cost $40,175)   40,175 
Total Investments in Securities (Cost $1,076,537)   1,089,911 
Total Investments 133.3% (Cost $1,076,537)  $1,089,911 
Financial Derivative Instruments (n)(p) 1.9% (Cost or Premiums, net $133,955)   15,670 
Auction Rate Preferred Shares (12.5)%   (101,975)
Other Assets and Liabilities, net (22.7)%   (185,801)
Net Assets Applicable to Common Shareholders 100.0%  $817,805 
      

 

 

 

 

Schedule of Investments  PIMCO High Income Fund (Cont.) April 30, 2019 (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.
   
Ø Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.
   
(a) Interest only security.
   
(b) Principal only security.
   
(c) When-issued security.
   
(d) Payment in-kind security.
   
(e) Security is not accruing income as of the date of this report.
   
(f) Security did not produce income within the last twelve months.
   
(g) Coupon represents a weighted average yield to maturity.
   
(h) Zero coupon security.
   
(i) Perpetual maturity; date shown, if applicable, represents next contractual call date.
   
(j) Contingent convertible security.
   
(k) RESTRICTED SECURITIES:

 

                
Issuer Description  Acquisition
Date
  Cost   Market
Value
   Market Value
as Percentage
of Net Assets
Applicable to
Common
Shareholders
 
Ardonagh Group Ltd.  04/02/2015 - 07/20/2017  $4,632   $5,297    0.65%
Forbes Energy Services Ltd.  10/09/2014 - 10/17/2016   2,028   198    0.02 
      $6,660   $5,495    0.67%

 

BORROWINGS AND OTHER FINANCING TRANSACTIONS
   
(l) REPURCHASE AGREEMENTS:

 

Counterparty  Lending
Rate
   Settlement
Date
  Maturity
Date
  Principal
Amount
   Collateralized By  Collateral
(Received)
   Repurchase
Agreements,
at Value
   Repurchase
Agreement
Proceeds
to be
Received(1)
 
FICC   2.000%  04/30/2019  05/01/2019  $1,397   U.S. Treasury Notes 2.750% due 11/30/2020  $(1,430)  $1,397   $1,397 
RDR   2.920   04/30/2019  05/01/2019  28,000   U.S. Treasury Notes 1.875% - 2.750% due 02/28/2022 - 11/15/2023   (28,630)   28,000    28,002 
SAL   2.820   04/30/2019  05/01/2019  5,900   U.S. Treasury Notes 2.875% due 10/31/2023   (6,026)   5,900    5,901 
Total Repurchase Agreements                 $(36,086)  $35,297   $35,300 

 

REVERSE REPURCHASE AGREEMENTS:

 

                    
Counterparty   Borrowing Rate(2)   Settlement Date  Maturity Date  Amount
Borrowed(2)
   Payable for
Reverse
Repurchase
Agreements
 
BCY    (1.000)%  03/11/2019  TBD(3)  $(1,371)  $(1,369)
BRC    (0.500)  03/21/2019  TBD(3)  GBP(4,399)   (5,732)
     2.200   12/24/2018  TBD(3)  $(3,663)   (3,692)
CIW    2.780   04/12/2019  05/10/2019   (20,604)   (20,634)
FOB    2.750   04/08/2019  05/08/2019   (3,491)   (3,497)
JML    (0.320)  03/04/2019  06/04/2019  EUR(2,595)   (2,909)
     (0.300)  03/01/2019  06/03/2019   (274)   (307)
     (0.250)  03/01/2019  06/03/2019   (696)   (781)
     (0.200)  03/01/2019  06/03/2019   (2,690)   (3,017)
     (0.150)  03/01/2019  TBD(3)   (2,008)   (2,251)
     (0.150)  04/16/2019  06/05/2019   (2,177)   (2,442)

 

 

 

 

Schedule of Investments  PIMCO High Income Fund (Cont.) April 30, 2019 (Unaudited)

 

                      
      0.250    04/03/2018  TBD(3)  GBP(1,041)   (1,362)
      0.950    03/04/2019  06/04/2019   (538)   (703)
MEI     2.900    04/18/2019  05/17/2019  $(2,171)   (2,173)
NOM     3.000    04/15/2019  05/14/2019   (3,893)   (3,898)
      3.000    04/17/2019  05/17/2019   (7,018)   (7,026)
      3.000    04/18/2019  05/20/2019   (1,886)   (1,888)
RTA     3.081    04/23/2019  07/23/2019   (2,779)   (2,781)
      3.179    03/12/2019  09/12/2019   (4,016)   (4,034)
      3.180    02/20/2019  05/20/2019   (2,781)   (2,798)
SOG     3.150    04/10/2019  07/10/2019   (2,375)   (2,379)
      3.150    04/11/2019  07/11/2019   (5,906)   (5,916)
      3.150    05/01/2019  08/01/2019   (7,570)   (7,570)
      3.180    03/12/2019  06/12/2019   (1,485)   (1,492)
      3.330    02/01/2019  05/01/2019   (7,442)   (7,503)
UBS     (0.250)   03/08/2019  06/10/2019  EUR(443)   (497)
      0.950    03/01/2019  06/03/2019  GBP(17,960)   (23,457)
      2.860    03/05/2019  06/05/2019  $(16,169)   (16,242)
      3.000    04/05/2019  TBD(3)   (9,035)   (9,055)
      3.030    02/04/2019  05/06/2019   (5,939)   (5,982)
      3.040    03/13/2019  06/13/2019   (285)   (286)
      3.050    03/04/2019  06/04/2019   (1,402)   (1,409)
      3.050    04/15/2019  07/16/2019   (7,815)   (7,826)
      3.060    03/07/2019  06/07/2019   (3,994)   (4,013)
      3.060    03/12/2019  06/12/2019   (17,215)   (17,288)
      3.090    02/20/2019  05/20/2019   (6,216)   (6,253)
      3.150    03/04/2019  06/04/2019   (5,157)   (5,183)
      3.160    03/05/2019  06/05/2019   (231)   (232)
      3.190    02/04/2019  05/06/2019   (13,470)   (13,573)
Total Reverse Repurchase Agreements              $(209,450)

 

(m) Securities with an aggregate market value of $223,893 have been pledged as collateral under the terms of master agreements as of April 30, 2019.
   
(1) Includes accrued interest.
   
(2) The average amount of borrowings outstanding during the period ended April 30, 2019 was $(156,442) at a weighted average interest rate of 2.588%.  Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.
   
(3) Open maturity reverse repurchase agreement.
   
(n) FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED

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
April 30, 2019(2)
    Notional
Amount(3)
    Premiums
Paid/
(Received)
    Unrealized
Appreciation/
(Depreciation)
    Market
Value(4)
    Asset    Liability 
Frontier Communications Corp.   5.000%   Quarterly  06/20/2020   17.553%  $9,600   $(317)  $(803)  $(1,120)  $13   $0 
General Electric Co.   1.000    Quarterly  12/20/2023   0.821    900    (49)   57    8    3    0 
                        $(366)  $(746)  $(1,112)  $16   $0 

 

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 USD-LIBOR  2.860%   Semi-Annual  04/26/2023    $293,300   $(803)  $6,925   $6,122   $283   $0 
Receive  3-Month USD-LIBOR  2.000    Semi-Annual  06/20/2023     155,200    5,684    (4,406)   1,278    0    (157)
Receive(5)  3-Month USD-LIBOR  3.000    Semi-Annual  06/19/2024     234,200    (3,983)   (3,477)   (7,460)   0    (323)
Pay(5)  3-Month USD-LIBOR  3.000    Semi-Annual  06/19/2029     2,700    59    63    122    7    0 
Pay(5)  3-Month USD-LIBOR  3.000    Semi-Annual  06/19/2029     76,500    1,627    1,680    3,307    186    0 
Pay  3-Month USD-LIBOR  3.500    Semi-Annual  06/19/2044     617,800    110,476    (13,835)   96,641    3,614    0 
Receive  3-Month USD-LIBOR  2.500    Semi-Annual  06/20/2048     613,500    23,493    1,992    25,485    0    (3,351)
Receive(5)  6-Month EUR-EURIBOR  0.000    Annual  08/19/2021    EUR663,900    (1,307)   (1,182)   (2,489)   68    0 
Receive(5)  6-Month EUR-EURIBOR  0.260    Annual  09/06/2024     77,300    12    (732)   (720)   68    0 
Receive(5)  6-Month EUR-EURIBOR  0.270    Annual  09/11/2024     88,800    13    (879)   (866)   79    0 
Pay  6-Month EUR-EURIBOR  0.650    Annual  02/26/2029     442,600    442    7,460    7,902    0    (1,089)
Receive(5)  6-Month EUR-EURIBOR  1.000    Annual  06/19/2029     2,200    (5)   (108)   (113)   6    0 
Receive(5)  6-Month EUR-EURIBOR  0.750    Annual  09/18/2029     21,400    (189)   (211)   (400)   57    0 
                                              

 

 

 

 

Schedule of Investments  PIMCO High Income Fund (Cont.) April 30, 2019 (Unaudited)

 

                                             
Receive(5)   6-Month EUR-EURIBOR    1.250     Annual    08/19/2049         115,100    478    (4,783)   (4,305)   607    0 
Receive(5)   6-Month GBP-LIBOR    1.500     Semi-Annual    09/18/2029    GBP    55,200    (394)   (341)   (735)   296    0 
                            $135,603   $(11,834)  $123,769   $5,271   $(4,920)
Total Swap Agreements                       $135,237   $(12,580)  $122,657   $5,287   $(4,920)

 

(o) Securities with an aggregate market value of $3,894 and cash of $22,125 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of April 30, 2019.
   
(1) If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.
   
(2) Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative.  The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement.  Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
   
(3) The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.
   
(4) The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end.  Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced indices' credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
   
(5) This instrument has a forward starting effective date.
   
(p) 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   05/2019  EUR 50,684  $  57,191   $344 $ 0
BPS   05/2019  ARS 47,895     1,032    0   (37)
    05/2019  $ 170  ARS  7,390    0   (5)
BRC   05/2019    8,320  MXN  158,995    51   0
CBK   05/2019  RUB 73,236  $  1,128    0   (3)
    05/2019  $ 100,076  GBP  77,485    972   (2)
    06/2019  GBP 75,248  $  97,324    0   (972)
    08/2019  $ 1,113  RUB  73,236    4   0
GLM   05/2019  GBP 712  $  917    0   (12)
    05/2019  $ 512  EUR  452    0   (5)
    07/2019  PEN 4,622  $  1,396    3   0
    07/2019  $ 7,472  RUB  495,889    119   0
HUS   05/2019  ARS 47,823  $  1,046    9   0
    05/2019  $ 1,157  ARS  50,527    5   (39)
JPM   05/2019    1,750  EUR  1,547    0   (15)
    05/2019    1,372  GBP  1,044    0   (10)
MSB   05/2019  ARS 225,033  $  5,301    262   0
    05/2019  BRL 629     159    0   (2)
    05/2019  $ 160  BRL  629    1   0
NGF   05/2019  ARS 215,429  $  4,711    0   (99)
SCX   05/2019  GBP 77,044     102,153    1,681   0
SOG   05/2019  $ 1,103  RUB  73,236    28   0
SSB   05/2019  GBP 773  $  1,012    4   0
UAG   05/2019  $ 54,263  EUR  48,685    341   0
    06/2019  EUR 48,685  $  54,411    0   (345)
Total Forward Foreign Currency Contracts              $3,824 $ (1,546)

 

SWAP AGREEMENTS:

 

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

                                 
  Swap Agreements, at Value(4)
Counterparty Reference Entity Fixed
Receive Rate
Payment
Frequency
Maturity
Date
Implied
Credit Spread at
April 30, 2019(2)
  Notional
Amount(3)
    Premiums
Paid/(Received)
  Unrealized
Appreciation/
(Depreciation)
  Asset   Liability
BPS Petrobras Global Finance BV 1.000%  Quarterly 12/20/2024 2.091% $ 1,700   $ (332) $ 240 $ 0 $ (92)
GST Petrobras Global Finance BV 1.000  Quarterly 12/20/2024 2.091   2,200     (437)   318   0   (119)
HUS Petrobras Global Finance BV 1.000  Quarterly 12/20/2024 2.091   2,800     (581)   429   0   (152)
                $ (1,350) $ 987 $ 0 $ (363)

 

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
DUB Pay 3-Month USD-LIBOR 3.850%  Semi-Annual 07/13/2022 $ 600,000 $ 68 $ 11,098 $ 11,166 $ 0
GLM Pay 3-Month USD-LIBOR 0.330  Annual 09/06/2024 EUR 622,400   0   1,581   1,581   0

 

 

 

 

Schedule of Investments  PIMCO High Income Fund (Cont.) April 30, 2019 (Unaudited)

 

                                 
MYC Pay 3-Month USD-LIBOR 0.340  Annual 09/11/2024   246,700     0   641   641   0
                $ 68 $ 13,320 $ 13,388 $ 0
Total Swap Agreements   $ (1,282) $ 14,307 $ 13,388 $ (363)
                                         

 

(q) Securities with an aggregate market value of $649 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of April 30, 2019.
   
(1) If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.
   
(2) Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative.  The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement.  Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
   
(3) The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.
   
(4) The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end.  Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced indices' credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

FAIR VALUE MEASUREMENTS

The following is a summary of the fair valuations according to the inputs used as of April 30, 2019 in valuing the Fund's assets and liabilities:

 

Category and Subcategory  Level 1   Level 2   Level 3   Fair Value
at 04/30/2019
  
Investments in Securities, at Value                    
Loan Participations and Assignments  $0   $54,810   $3,011   $57,821 
Corporate Bonds & Notes                    
Banking & Finance   0    205,086    0    205,086 
Industrials   0    188,050    496    188,546 
Utilities   0    90,407    0    90,407 
Convertible Bonds & Notes                    
Industrials   0    4,691    0    4,691 
Municipal Bonds & Notes                    
California   0    4,004    0    4,004 
District of Columbia   0    10,747    0    10,747 
Illinois   0    22,302    0    22,302 
New York   0    1,485    0    1,485 
Texas   0    10,355    0    10,355 
Virginia   0    1,268    0    1,268 
West Virginia   0    13,765    0    13,765 
U.S. Government Agencies   0    17,183    8,474    25,657 
Non-Agency Mortgage-Backed Securities   0    155,461    0    155,461 
Asset-Backed Securities   0    91,680    30,281    121,961 
Sovereign Issues   0    33,652    0    33,652 
Common Stocks                    
Consumer Discretionary   5,475    0    0    5,475 
Energy   0    198    0    198 
Financials   0    0    5,297    5,297 
Industrials   0    0    1,369    1,369 
Warrants                    
Industrials   0    0    1,757    1,757 
Preferred Securities                    
Banking & Finance   0    25,701    0    25,701 
Industrials   0    0    41,418    41,418 
Real Estate Investment Trusts                    
Real Estate   21,313    0    0    21,313 
Short-Term Instruments                    
Repurchase Agreements   0    35,297    0    35,297 
U.S. Treasury Bills   0    4,878    0    4,878 
                     
Total Investments  $26,788   $971,020   $92,103   $1,089,911 
                     
Financial Derivative Instruments - Assets                    
Exchange-traded or centrally cleared   0    5,287    0    5,287 
Over the counter   0    17,212    0    17,212 
                     
   $0   $22,499   $0   $22,499 
Financial Derivative Instruments - Liabilities                    
Exchange-traded or centrally cleared   0    (4,920)   0    (4,920)
Over the counter   0    (1,909)   0    (1,909)
                     
   $0   $(6,829)  $0   $(6,829)
                     
Total Financial Derivative Instruments  $0   $15,670   $0   $15,670 
                     
Totals  $26,788   $986,690   $92,103   $1,105,581 

 



 

 

 

 

Schedule of Investments  PIMCO High Income Fund (Cont.) April 30, 2019 (Unaudited)

 

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended April 30, 2019:

                                         
Category and Subcategory  Beginning
Balance
at 07/31/2018
   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 04/30/2019
   Net Change in
Unrealized
Appreciation/
(Depreciation)
on Investments
Held at
04/30/2019(1)
 
Investments in Securities, at Value                                                  
Loan Participations and Assignments  $719   $2,851   $(154)  $(1)  $2   $3   $50   $(459)  $3,011   $12 
Corporate Bonds & Notes                                                  
Industrials   1,167    0    (3)   4    0    (2)   0    (670)   496    11 
U.S. Government Agencies   8,473    0    (112)   144    42    (73)   0    0    8,474    (76)
Asset-Backed Securities   0    33,629    0    403    0    (3,751)   0    0    30,281    (3,751)
Common Stocks                                                  
Financials   5,445    0    0    0    0    (148)   0    0    5,297    (148)
Industrials   0    1,369    0    0    0    0    0    0    1,369    0 
Warrants                                                  
Industrials   450    0    0    0    0    1,307    0    0    1,757    1,307 
Preferred Securities                                                  
Industrials   33,520    1,732    0    0    0    6,166    0    0    41,418    6,166 
Totals  $49,774   $39,581   $(269)  $550   $44   $3,502   $50   $(1,129)  $92,103   $3,521 

 

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

 

Category and Subcategory  Ending
Balance
at 04/30/2019
   Valuation Technique   Unobservable Inputs     Input Value(s)
(% Unless Noted Otherwise)
Investments in Securities, at Value                      
Loan Participations and Assignments  $100    Proxy Pricing    Base Price      100.212 
    2,911    Third Party Vendor    Broker Quote      95.000 - 101.125 
Corporate Bonds & Notes                      
Industrials   496    Reference Instrument    Yield      9.495 
U.S. Government Agencies   8,474    Proxy Pricing    Base Price      60.540 
Asset-Backed Securities   9,356    IO Weighted Average Life    Base Price      41.660 
    20,925    Proxy Pricing    Base Price      0.010 - 101,885.410 
Common Stocks                      
Financials   5,297    Fundamental Valuation    Company Equity Value     GBP861,000,000.000 
Industrials   1,369    Indicative Market Quotation    Broker Quote     $15.500 
Warrants                      
Industrials   1,757    Other Valuation Techniques(2)    —        —   
Preferred Securities                      
Industrials   41,418    Fundamental Valuation    Company Equity Value     $721,549,176.530 
Total  $92,103                  

 

(1) Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at April 30, 2019 may be due to an investment no longer held or categorized as Level 3 at period end.
   
(2) Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not considered significant to the Fund.

 

 

 

 

  

1. INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS

 

(a) Investment Valuation Policies The net asset value (“NAV”) of the Fund's shares is determined by dividing the total value of portfolio investments and other assets attributable to that Fund less any liabilities by the total number of shares outstanding of the Fund.

 

On each day that the New York Stock Exchange (“NYSE”) is open, Fund shares are ordinarily valued as of the close of regular trading (“NYSE Close”). Information that becomes known to the Fund or its 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. The Fund reserves the right to change the time as of which its NAV is calculated if the Fund 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 Fund's approved pricing services, quotation reporting systems and other third-party sources (together, “Pricing Services”). The Fund will normally use pricing data for domestic equity securities received shortly after the NYSE Close and does 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 Pacific Investment Management Company LLC (“PIMCO” or the “Manager”) 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. The Fund's investments in open-end management investment companies, other than exchange-traded funds ("ETFs"), are valued at the NAVs of such investments.

 

If a foreign (non-U.S.) equity security’s value has materially changed after the close of the security’s primary exchange or principal market but before the NYSE Close, the security may be valued at fair value based on procedures established and approved by the Board of Trustees (the “Board”). Foreign (non-U.S.) equity securities that do not trade when the NYSE is open are also valued at fair value. With respect to foreign (non-U.S.) equity securities, the Fund may determine the fair value of investments based on information provided by Pricing Services and other third-party vendors, which may recommend fair value or adjustments with reference to other securities, indices or assets. In considering whether fair valuation is required and in determining fair values, the Fund may, among other things, consider significant events (which may be considered to include changes in the value of U.S. securities or securities indices) that occur after the close of the relevant market and before the NYSE Close. The Fund may utilize modeling tools provided by third-party vendors to determine fair values of non-U.S. securities. For these purposes, any movement in the applicable reference index or instrument (“zero trigger”) relating to the non-U.S security being fair valued between the earlier close of the applicable foreign market and the NYSE Close may be deemed to be a significant event, prompting the application of the pricing model (effectively resulting in daily fair valuations). Foreign exchanges may permit trading in foreign (non-U.S.) equity securities on days when the Trust is not open for business, which may result in the Fund's portfolio investments being affected when shareholders are unable to buy or sell shares.

 

Senior secured floating rate loans for which an active secondary market exists to a reliable degree will be valued at the mean of the last available bid/ask prices in the market for such loans, as provided by a Pricing Service. Senior secured floating rate loans for which an active secondary market does not exist to a reliable degree will be valued at fair value, which is intended to approximate market value. In valuing a senior secured floating rate loan at fair value, the factors considered may include, but are not limited to, the following: (a) the creditworthiness of the borrower and any intermediate participants, (b) the terms of the loan, (c) recent prices in the market for similar loans, if any, and (d) recent prices in the market for instruments of similar quality, rate, period until next interest rate reset and maturity.

 

Investments valued in currencies other than the U.S. dollar are converted to the U.S. dollar using exchange rates obtained from Pricing Services. As a result, the value of such investments and, in turn, the NAV of the Fund's shares may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of investments traded in markets outside the United States or denominated in currencies other than the U.S. dollar may be affected significantly on a day that the Fund is not open for business. As a result, to the extent that the Fund holds foreign (non-U.S.) investments, the value of those investments may change at times when shareholders are unable to buy or sell shares and the value of such investments will be reflected in the Fund's next calculated NAV.

 

Investments for which market quotes or market based valuations are not readily available are valued at fair value as determined in good faith by the Board or persons acting at their direction. The Board has adopted methods for valuing securities and other assets in circumstances where market quotes are not readily available, and has delegated to PIMCO the responsibility for applying the fair valuation methods. In the event that market quotes or market based valuations are not readily available, and the security or asset cannot be valued pursuant to a Board approved valuation method, the value of the security or asset will be determined in good faith by the Board. Market quotes are considered not readily available in circumstances where there is an absence of current or reliable market-based data (e.g., trade information, bid/ask information, indicative market quotations (“Broker Quotes”), Pricing Services’ prices), including where events occur after the close of the relevant market, but prior to the NYSE Close, that materially affect the values of the Fund's securities or assets. In addition, market quotes are considered not readily available when, due to extraordinary circumstances, the exchanges or markets on which the securities trade do not open for trading for the entire day and no other market prices are available. The Board has delegated, to the Manager, the responsibility for monitoring significant events that may materially affect the values of the Fund's securities or assets and for determining whether the value of the applicable securities or assets should be reevaluated in light of such significant events.

 

When the Fund uses fair valuation to determine the value of a portfolio security or other asset for purposes of calculating its NAV, such investments will not be priced on the basis of quotes from the primary market in which they are traded, but rather may be priced by another method that the Board or persons acting at their direction believe reflects fair value. Fair valuation may require subjective determinations about the value of a security. While the Fund's policy is intended to result in a calculation of the Fund's NAV that fairly reflects security values as of the time of pricing, the Fund cannot ensure that fair values determined by the Board or persons acting at their direction would accurately reflect the price that the Fund could obtain for a security if it were to dispose of that security as of the time of pricing (for instance, in a forced or distressed sale). The prices used by the Fund may differ from the value that would be realized if the securities were sold.

 

(b) Fair Value Hierarchy U.S. GAAP describes fair value as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. It establishes a fair value hierarchy that prioritizes inputs to valuation methods and requires disclosure of the fair value hierarchy,

 

 

 

 

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

 

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

 

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

 

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

 

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

 

For fair valuations using significant unobservable inputs, U.S. GAAP requires a reconciliation of the beginning to ending balances for reported fair values that presents changes attributable to realized gain (loss), unrealized appreciation (depreciation), purchases and sales, accrued discounts (premiums), and transfers into and out of the Level 3 category during the period. The end of period value is used for the transfers between Levels of the Fund's assets and liabilities. Additionally, U.S. GAAP requires quantitative information regarding the significant unobservable inputs used in the determination of fair value of assets or liabilities categorized as Level 3 in the fair value hierarchy. In accordance with the requirements of U.S. GAAP, a fair value hierarchy, and if material, a Level 3 reconciliation and details of significant unobservable inputs, have been included in the Notes to Schedule of Investments for the Fund.

 

(c) Valuation Techniques and the Fair Value Hierarchy 

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

 

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

 

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

 

Mortgage-related and asset-backed securities are usually issued as separate tranches, or classes, of securities within each deal. These securities are also normally valued by Pricing Services that use broker-dealer quotations, reported trades or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche-level attributes, current market data, estimated cash flows and market-based yield spreads for each tranche, and incorporate deal collateral performance, as available. Mortgage-related and asset-backed securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.

 

Common stocks, ETFs, exchange-traded notes and financial derivative instruments, such as futures contracts, rights and warrants, or options on futures that are traded on a national securities exchange, are stated at the last reported sale or settlement price on the day of valuation. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy.

 

Valuation adjustments may be applied to certain securities that are solely traded on a foreign exchange to account for the market movement between the close of the foreign market and the NYSE Close. These securities are valued using Pricing Services that consider the correlation of the trading patterns of the foreign security to the intraday trading in the U.S. markets for investments. Securities using these valuation adjustments are categorized as Level 2 of the fair value hierarchy. Preferred securities and other equities traded on inactive markets or valued by reference to similar instruments are also categorized as Level 2 of the fair value hierarchy.

 

Equity exchange-traded options and over the counter financial derivative instruments, such as forward foreign currency contracts and options contracts derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These contracts are normally valued on the basis of quotes obtained from a quotation reporting system, established market makers or Pricing Services (normally determined as of the NYSE Close). Depending on the product and the terms of the transaction, financial derivative instruments can be valued by Pricing Services using a series of techniques, including simulation pricing models. The pricing models use inputs that are observed from actively quoted markets such as quoted prices, issuer details, indices, bid/ask spreads, interest rates, implied volatilities, yield curves, dividends and exchange rates. Financial derivative instruments that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.

 

Centrally cleared swaps and over the counter swaps derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. They are valued using a broker-dealer bid quotation or on market-based prices provided by Pricing Services (normally determined as of the NYSE close). Centrally cleared swaps and over the counter swaps can be valued by Pricing Services using a series of techniques, including simulation pricing models. The pricing models may use inputs that are observed from actively quoted markets such as the overnight index swap rate (“OIS”), London Interbank Offered Rate (“LIBOR”) forward rate, interest rates, yield curves and credit spreads. These securities are categorized as Level 2 of the fair value hierarchy.

 

 

 

 

Level 3 trading assets and trading liabilities, at fair value When a fair valuation method is applied by PIMCO that uses significant unobservable inputs, investments will be priced by a method that the Board or persons acting at their direction believe reflects fair value and are categorized as Level 3 of the fair value hierarchy. The valuation techniques and significant inputs used in determining the fair values of portfolio assets and liabilities categorized as Level 3 of the fair value hierarchy are as follows:

 

Proxy pricing procedures set the base price of a fixed income security and subsequently adjust the price proportionally to market value changes of a pre-determined security deemed to be comparable in duration, generally a U.S. Treasury or sovereign note based on country of issuance. The base price may be a broker-dealer quote, transaction price, or an internal value as derived by analysis of market data. The base price of the security may be reset on a periodic basis based on the availability of market data and procedures approved by the Valuation Oversight Committee. Significant changes in the unobservable inputs of the proxy pricing process (the base price) would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.

 

If third-party evaluated vendor pricing is not available or not deemed to be indicative of fair value, the Manager may elect to obtain Broker Quotes directly from the broker-dealer or passed through from a third-party vendor. In the event that fair value is based upon a single sourced Broker Quote, these securities are categorized as Level 3 of the fair value hierarchy. Broker Quotes are typically received from established market participants. Although independently received, the Manager does not have the transparency to view the underlying inputs which support the market quotation. Significant changes in the Broker Quote would have direct and proportional changes in the fair value of the security.

 

Interest only (IO) weighted average life model begins amortization with the base price with the ending price being zero over the weighted average life of the IO on a straight-line basis. The base price may be a broker-dealer quote, transaction price, or an internal value as derived from the 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 used to set 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.

 

Reference instrument valuation estimates fair value by utilizing the correlation of the security to one or more broad-based securities, market indices, and/or other financial instruments, whose pricing information is readily available. Unobservable inputs may include those used in algorithm formulas based on percentage change in the reference instruments and/or weights of each reference instrument. Significant changes in the unobservable inputs would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.

 

Fundamental analysis valuation estimates fair value by using an internal model that utilizes financial statements of the non-public underlying company. Significant changes in the unobservable inputs would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.

 

Short-term debt instruments (such as commercial paper) having a remaining maturity of 60 days or less may be valued at amortized cost, so long as the amortized cost value of such short-term debt instruments is approximately the same as the fair value of the instrument as determined without the use of amortized cost valuation. These securities are categorized as Level 2 or Level 3 of the fair value hierarchy depending on the source of the base price.

 

2. FEDERAL INCOME TAX MATTERS

 

The Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code (the “Code”) and distribute all of its taxable income and net realized gains, if applicable, to shareholders. Accordingly, no provision for Federal income taxes has been made.

 

The Fund may be subject to local withholding taxes, including those imposed on realized capital gains. Any applicable foreign capital gains tax is accrued daily based upon net unrealized gains, and may be payable following the sale of any applicable investments.

 

In accordance with U.S. GAAP, the Manager has reviewed the Fund's tax positions for all open tax years. As of April 30, 2019, the Fund has recorded no liability for net unrecognized tax benefits relating to uncertain income tax positions it has taken or expects to take in future tax returns.

 

The Fund files U.S. federal, state, and local tax returns as required. The Fund's 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.

 

 

 

 

Glossary: (abbreviations that may be used in the preceding statements)       (Unaudited)
                     
Counterparty Abbreviations:                
BCY   Barclays Capital, Inc.   GLM   Goldman Sachs Bank USA   NOM   Nomura Securities International Inc.
BOA   Bank of America N.A.   GST   Goldman Sachs International   RDR   RBC Capital Markets LLC
BPS   BNP Paribas S.A.   HUS   HSBC Bank USA N.A.   RTA   RBC (Barbados) Trading Bank Corp.
BRC   Barclays Bank PLC   JML   JP Morgan Securities Plc   SAL   Citigroup Global Markets, Inc.
CBK   Citibank N.A.   JPM   JP Morgan Chase Bank N.A.   SCX   Standard Chartered Bank
CIW   CIBC World Markets Corp.   MEI   Merrill Lynch International   SOG   Societe Generale Paris
DUB   Deutsche Bank AG   MSB   Morgan Stanley Bank, N.A   SSB   State Street Bank and Trust Co.
FICC   Fixed Income Clearing Corporation    MYC   Morgan Stanley Capital Services, Inc.   UAG   UBS AG Stamford
FOB   Credit Suisse Securities (USA) LLC   NGF   Nomura Global Financial Products, Inc.   UBS   UBS Securities LLC
                     
Currency Abbreviations:                
ARS   Argentine Peso   GBP   British Pound   RUB   Russian Ruble
BRL   Brazilian Real   MXN   Mexican Peso   USD (or $)   United States Dollar
EUR   Euro   PEN   Peruvian New Sol        
                     
Index/Spread Abbreviations:                
BADLARPP   Argentina Badlar Floating Rate Notes   LIBOR03M   3 Month USD-LIBOR   US0003M   3 Month USD Swap Rate
EUR003M   3 Month EUR Swap Rate                
                     
Municipal Bond or Agency Abbreviations:        
AGM   Assured Guaranty Municipal                
                     
Other  Abbreviations:                
ABS   Asset-Backed Security   DAC   Designated Activity Company   TBA   To-Be-Announced
BABs   Build America Bonds   EURIBOR   Euro Interbank Offered Rate   TBD   To-Be-Determined
CDO   Collateralized Debt Obligation   LIBOR   London Interbank Offered Rate   TBD%   Interest rate to be determined when loan settles or at the time of funding
CLO   Collateralized Loan Obligation   PIK   Payment-in-Kind