NPORT-EX 2 incomestrategyfundii.htm PIMCO INCOME STRATEGY FUND II incomestrategyfundii

Schedule of Investments PIMCO Income Strategy Fund II

March 31, 2025 (Unaudited)

 

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

 

 

PRINCIPAL
AMOUNT
(000s)

 

MARKET
VALUE
(000s)

INVESTMENTS IN SECURITIES 110.3% ¤

 

 

 

 

LOAN PARTICIPATIONS AND ASSIGNMENTS 35.0%

 

 

 

 

Aligned Data Centers International LP
7.799% due 05/16/2028 «~

$

3,300

$

3,309

Altice France SA

 

 

 

 

8.285% (EUR003M + 5.500%) due 08/15/2028 ~

EUR

99

 

97

9.802% due 08/15/2028

$

1,391

 

1,251

AP Core Holdings LLC
9.939% due 09/01/2027

 

14,178

 

12,873

Apple Bidco LLC
6.825% due 09/23/2031

 

1,895

 

1,884

Bausch Health Cos., Inc.
TBD% due 09/25/2030

 

6,800

 

6,554

BDO U.S.A PC
9.325% due 08/31/2028 «

 

2,502

 

2,510

Central Parent, Inc.
7.549% due 07/06/2029 ~

 

9,368

 

8,069

Clover Holdings 2 LLC

 

 

 

 

TBD% due 12/10/2029 ~µ

 

772

 

760

8.295% due 12/09/2031

 

5,500

 

5,448

Clover Holdings SPV III LLC
15.000% due 12/09/2027

 

205

 

209

CoreWeave Compute Acquisition Co. LLC
TBD% - 10.322% due 05/16/2029 «µ

 

9,100

 

9,141

Cotiviti Corp.
TBD% due 03/26/2032

 

1,600

 

1,566

Databricks, Inc.

 

 

 

 

TBD% due 01/03/2031 «µ

 

344

 

347

8.823% due 01/03/2031 «

 

1,556

 

1,567

Envision Healthcare Corp.

 

 

 

 

11.152% due 07/20/2026 «

 

735

 

735

12.277% due 11/03/2028 «

 

13,078

 

13,274

Finastra U.S.A., Inc.

 

 

 

 

TBD% - 11.428% due 09/13/2029 «µ

 

103

 

103

TBD% - 11.428% due 09/13/2029 «

 

987

 

999

First Brands Group LLC
9.552% due 03/30/2027 ~

 

626

 

583

Forward Air Corp.
8.791% due 12/19/2030 ~

 

4,388

 

4,271

Gateway Casinos & Entertainment Ltd.
10.545% due 12/18/2030

 

6,099

 

6,175

GFL Environmental, Inc.
6.819% due 02/04/2032

 

1,900

 

1,886

Hudson's Bay Co.
TBD% due 04/03/2026 «

 

2,171

 

2,140

iHeartCommunications, Inc.
10.209% due 05/01/2029

 

523

 

426

Ivanti Software, Inc.
8.817% due 12/01/2027 «~

 

9,058

 

7,001

J&J Ventures Gaming LLC
9.439% due 04/26/2028 «~

 

1,065

 

1,074

Kaseya, Inc.

 

 

 

 

TBD% due 03/22/2032

 

3,700

 

3,693

9.325% due 03/05/2033

 

2,200

 

2,204

Lealand Finance Co. BV
7.439% due 06/30/2027 ~

 

88

 

47

Lealand Finance Co. BV (5.439% Cash and 3.000% PIK)
8.439% - 5.439% due 12/31/2027 ~

 

902

 

392

Lifepoint Health, Inc.
1.000% due 05/17/2031

 

1,696

 

1,648

Magenta Security Holdings LLC

 

 

 

 

10.541% due 07/27/2028

 

113

 

115

11.301% due 07/27/2028

 

119

 

108

Magenta Security Holdings LLC (11.551% Cash)
11.551% due 07/27/2028

 

155

 

80

Magenta Security Holdings LLC (5.791% Cash)
5.791% due 07/27/2028

 

536

 

154

MH Sub LLC
8.575% due 12/31/2031

 

1,895

 

1,746

MPH Acquisition Holdings LLC

 

 

 

 

8.037% due 12/31/2030

 

4,790

 

4,755

9.149% due 12/31/2030

 

8,209

 

6,776

Newfold Digital
7.929% due 02/10/2028 «~

 

3,391

 

2,527

Obol France 3 SAS
8.058% (EUR003M + 5.000%) due 12/31/2028 ~

EUR

5,171

 

5,346

Schedule of Investments PIMCO Income Strategy Fund II (Cont.)

March 31, 2025 (Unaudited)

 

Ocs Group Holdings Ltd.
10.450% due 11/27/2031 ~

GBP

5,300

 

6,842

Peraton Corp.
8.175% due 02/01/2028

$

2,623

 

2,340

Poseidon Bidco SASU
7.355% (EUR003M + 5.000%) due 03/13/2030 ~

EUR

2,700

 

2,064

Project Alpha Intermediate Holding, Inc.

 

 

 

 

TBD% due 11/22/2032

$

900

 

897

7.549% due 10/28/2030 ~

 

1

 

2

Promotora de Informaciones SA
7.964% (EUR003M + 5.220%) due 12/31/2026 ~

EUR

16,446

 

17,559

Promotora de Informaciones SA (5.714% Cash and 5.000% PIK)
10.714% - 5.714% (EUR003M + 2.970%) due 06/30/2027 ~

 

326

 

341

SCUR-Alpha 1503 GmbH

 

 

 

 

8.112% (EUR003M + 5.500%) due 03/29/2030 ~

 

2,100

 

2,203

9.791% due 03/29/2030 ~

$

3,235

 

3,024

Spruce Bidco, Inc.

 

 

 

 

TBD% due 01/30/2032 «µ

 

244

 

241

6.000% due 02/02/2032 «

JPY

20,994

 

138

7.723% due 01/30/2032 «

CAD

196

 

134

9.325% due 01/30/2032 «

$

1,084

 

1,071

Steenbok Lux Finco 2 SARL

 

 

 

 

10.000% due 06/30/2026 •

EUR

20,551

 

7,802

10.000% due 06/30/2026 ~

 

2,265

 

675

Subcalidora 2 SARL
8.105% (EUR003M + 5.750%) due 08/14/2029 «~

 

5,900

 

6,412

Syniverse Holdings, Inc.
11.299% due 05/13/2027

$

16,961

 

16,693

Tecta America Corp.
7.325% due 02/18/2032

 

800

 

795

The Stepstone Group MidCo 2 GMBH

 

 

 

 

TBD% due 12/04/2031 ~

EUR

6,700

 

7,226

TBD% due 12/04/2031 ~

$

1,300

 

1,285

U.S. Renal Care, Inc.
9.439% due 06/20/2028 ~

 

18,011

 

16,844

Unicorn Bay
13.000% due 12/31/2026 «

HKD

42,544

 

5,495

Westmoreland Coal Co.
8.000% due 03/15/2029 «

$

1,598

 

599

X Corp.
10.949% due 10/26/2029 ~

 

6,800

 

6,766

Total Loan Participations and Assignments (Cost $244,193)

 

 

 

231,291

CORPORATE BONDS & NOTES 35.4%

 

 

 

 

BANKING & FINANCE 7.1%

 

 

 

 

Alamo Re Ltd.
15.542% due 06/08/2026 ~

 

300

 

315

Antares Holdings LP
6.350% due 10/23/2029 (l)

 

400

 

401

Armor Holdco, Inc.
8.500% due 11/15/2029

 

2,700

 

2,625

BOI Finance BV
7.500% due 02/16/2027

EUR

3,000

 

3,248

Bread Financial Holdings, Inc.
8.375% due 06/15/2035 ~

$

100

 

98

Cape Lookout Re Ltd.
12.282% due 04/05/2027 •

 

800

 

822

Credit Suisse AG AT1 Claim

 

8,393

 

1,008

East Lane Re Ltd.
13.542% due 03/31/2026 ~

 

250

 

252

Everglades Re Ltd.

 

 

 

 

14.792% due 05/13/2031 •

 

500

 

528

15.792% due 05/13/2031 •

 

500

 

528

17.042% due 05/13/2027 •

 

500

 

525

Ford Motor Credit Co. LLC

 

 

 

 

5.918% due 03/20/2028

 

300

 

301

6.390% due 03/20/2028 •

 

700

 

696

GN Bondco LLC
9.500% due 10/15/2031

 

3,100

 

3,104

Greengrove RE Ltd.
12.042% due 04/08/2032 •

 

250

 

251

GSPA Monetization Trust
6.422% due 10/09/2029

 

1,974

 

1,976

Hannon Armstrong Sustainable Infrastructure Capital, Inc.
6.375% due 07/01/2034 (l)

 

800

 

791

Hestia Re Ltd.
14.362% due 04/22/2025 ~

 

704

 

665

Hudson Pacific Properties LP
3.950% due 11/01/2027 (l)

 

100

 

89

Integrity Re Ltd.

 

 

 

 

21.292% due 06/08/2026 •

 

400

 

431

27.292% due 06/08/2026 ~

 

400

 

415

Integrity RE Ltd.
29.782% due 06/06/2027 ~

 

250

 

249

Schedule of Investments PIMCO Income Strategy Fund II (Cont.)

March 31, 2025 (Unaudited)

 

Intesa Sanpaolo SpA

 

 

 

 

6.625% due 06/20/2033

 

3,200

 

3,428

7.200% due 11/28/2033 (l)

 

2,100

 

2,330

Itau Unibanco Holding SA
6.000% due 02/27/2030

 

1,500

 

1,533

Kennedy Wilson Europe Real Estate Ltd.
3.250% due 11/12/2025

EUR

316

 

337

Long Walk Reinsurance Ltd.
14.032% due 01/30/2031 •

$

700

 

711

Marex Group PLC
6.404% due 11/04/2029

 

200

 

203

Nature Coast Re Ltd.
14.032% (T-BILL 3MO + 9.750%) due 04/10/2029 ~(b)

 

250

 

250

Polestar Re Ltd.

 

 

 

 

14.792% due 01/07/2028 •

 

250

 

259

17.542% due 01/07/2027 •

 

800

 

828

Sanders Re Ltd.
17.292% due 04/09/2029 •

 

1,405

 

1,398

Titanium 2l Bondco SARL
6.250% due 01/14/2031

EUR

7,027

 

2,374

Torrey Pines Re Ltd.

 

 

 

 

10.282% due 06/07/2032 •

$

250

 

261

11.532% due 06/07/2027 •

 

250

 

263

Uniti Group LP

 

 

 

 

6.000% due 01/15/2030 (l)

 

9,565

 

8,291

6.500% due 02/15/2029 (l)

 

2,900

 

2,609

Ursa Re Ltd.

 

 

 

 

11.782% due 02/22/2028 ~

 

300

 

303

13.542% due 12/07/2028 •

 

800

 

848

Voyager Aviation Holdings LLC
8.500% due 05/09/2026 ^«(d)

 

3,728

 

0

Winston RE Ltd.
16.032% due 02/26/2031 •

 

600

 

630

Yosemite Re Ltd.
14.887% due 06/06/2025 ~

 

760

 

770

 

 

 

 

46,944

INDUSTRIALS 22.1%

 

 

 

 

Acadia Healthcare Co., Inc.
7.375% due 03/15/2033

 

1,200

 

1,200

Altice France Holding SA

 

 

 

 

8.000% due 05/15/2027

EUR

5,500

 

1,820

10.500% due 05/15/2027

$

4,300

 

1,263

Altice France SA

 

 

 

 

3.375% due 01/15/2028

EUR

1,100

 

948

4.000% due 07/15/2029

 

2,800

 

2,418

5.125% due 01/15/2029

$

600

 

472

5.500% due 01/15/2028

 

4,197

 

3,359

5.500% due 10/15/2029

 

400

 

318

5.875% due 02/01/2027

EUR

1,100

 

1,062

8.125% due 02/01/2027

$

700

 

626

Aris Water Holdings LLC
7.250% due 04/01/2030

 

500

 

506

Axon Enterprise, Inc.

 

 

 

 

6.125% due 03/15/2030

 

400

 

405

6.250% due 03/15/2033

 

300

 

304

Booz Allen Hamilton, Inc.
5.950% due 04/15/2035

 

100

 

100

Carvana Co. (14.000% PIK)
14.000% due 06/01/2031 (c)(l)

 

1,427

 

1,561

Central Parent LLC
8.000% due 06/15/2029 (l)

 

200

 

176

Chord Energy Corp.
6.750% due 03/15/2033

 

910

 

906

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

 

551

 

588

DISH DBS Corp.

 

 

 

 

5.250% due 12/01/2026

 

7,000

 

6,439

5.750% due 12/01/2028

 

7,260

 

6,136

Diversified Gas & Oil Corp.
9.750% due 04/09/2029 «(b)

 

125

 

123

Ecopetrol SA

 

 

 

 

7.750% due 02/01/2032

 

9,300

 

9,135

8.375% due 01/19/2036 (l)

 

220

 

214

ELO SACA
3.250% due 07/23/2027

EUR

3,300

 

3,393

Exela Intermediate LLC (11.500% Cash)
11.500% due 04/15/2026 (c)

$

79

 

12

Flora Food Management BV
6.875% due 07/02/2029

EUR

2,700

 

2,971

Ford Motor Co.
7.700% due 05/15/2097 (l)

$

6,455

 

6,593

goeasy Ltd.
7.375% due 10/01/2030 (b)

 

700

 

687

Schedule of Investments PIMCO Income Strategy Fund II (Cont.)

March 31, 2025 (Unaudited)

 

Harbour Energy PLC
6.327% due 04/01/2035 (b)

 

200

 

199

HCA, Inc.
7.500% due 11/15/2095 (l)

 

1,000

 

1,047

HF Sinclair Corp.

 

 

 

 

5.750% due 01/15/2031 (l)

 

1,500

 

1,520

6.250% due 01/15/2035 (l)

 

1,500

 

1,508

Incora Intermediate LLC
0.000% due 01/31/2030 «

 

7,103

 

7,103

Incora Top Holdco LLC
0.000% due 01/30/2033 ^«(d)(k)

 

6,611

 

9,554

INEOS Finance PLC
5.625% due 08/15/2030

EUR

400

 

433

Intelsat Jackson Holdings SA
6.500% due 03/15/2030

$

8,648

 

8,238

JetBlue Airways Corp.
9.875% due 09/20/2031 (l)

 

2,550

 

2,519

LifePoint Health, Inc.
8.375% due 02/15/2032

 

1,200

 

1,209

Motion Finco SARL
8.375% due 02/15/2032

 

300

 

292

New Albertsons LP
6.570% due 02/23/2028

 

6,800

 

6,719

Newfold Digital Holdings Group, Inc.

 

 

 

 

6.000% due 02/15/2029 «

 

900

 

540

11.750% due 10/15/2028 «

 

500

 

410

Nissan Motor Co. Ltd.
4.810% due 09/17/2030 (l)

 

5,500

 

5,228

Noble Finance LLC
8.000% due 04/15/2030

 

900

 

900

Olin Corp.
6.625% due 04/01/2033

 

200

 

195

Petroleos Mexicanos

 

 

 

 

6.700% due 02/16/2032 (l)

 

1,732

 

1,523

6.840% due 01/23/2030 (l)

 

800

 

734

8.750% due 06/02/2029 (l)

 

1,416

 

1,416

Prime Healthcare Services, Inc.
9.375% due 09/01/2029

 

1,400

 

1,322

Rivian Holdings LLC
10.502% due 10/15/2026 ~

 

3,730

 

3,762

Russian Railways Via RZD Capital PLC
7.487% due 03/25/2031 ^(d)

GBP

1,300

 

1,175

Snap, Inc.
6.875% due 03/01/2033

$

500

 

500

Sunoco LP
6.250% due 07/01/2033

 

900

 

902

Topaz Solar Farms LLC

 

 

 

 

4.875% due 09/30/2039 (l)

 

1,623

 

1,450

5.750% due 09/30/2039 (l)

 

3,912

 

3,770

U.S. Renal Care, Inc.
10.625% due 06/28/2028

 

1,704

 

1,457

Valaris Ltd.
8.375% due 04/30/2030

 

400

 

401

Vale SA
0.000% due 12/29/2049 ~(i)

BRL

110,000

 

6,614

Venture Global LNG, Inc.

 

 

 

 

7.000% due 01/15/2030

$

1,600

 

1,577

9.500% due 02/01/2029 (l)

 

2,725

 

2,924

9.875% due 02/01/2032 (l)

 

1,750

 

1,860

Viridien

 

 

 

 

7.750% due 04/01/2027

EUR

2,600

 

2,866

8.500% due 10/15/2030

 

2,000

 

2,221

10.000% due 10/15/2030

$

1,600

 

1,641

Wayfair LLC

 

 

 

 

7.250% due 10/31/2029

 

400

 

384

7.750% due 09/15/2030

 

3,700

 

3,581

WESCO Distribution, Inc.
6.375% due 03/15/2033

 

1,300

 

1,308

WEX, Inc.
6.500% due 03/15/2033

 

200

 

198

Williams Scotsman, Inc.
6.625% due 04/15/2030

 

200

 

202

Yinson Boronia Production BV
8.947% due 07/31/2042

 

1,189

 

1,257

 

 

 

 

146,394

UTILITIES 6.2%

 

 

 

 

Chile Electricity Lux MPC SARL
5.580% due 10/20/2035

 

1,100

 

1,101

Edison International

 

 

 

 

5.250% due 11/15/2028 (l)

 

1,200

 

1,184

6.250% due 03/15/2030

 

200

 

203

FORESEA Holding SA
7.500% due 06/15/2030 (l)

 

1,171

 

1,133

Schedule of Investments PIMCO Income Strategy Fund II (Cont.)

March 31, 2025 (Unaudited)

 

NGD Holdings BV
6.750% due 12/31/2026

 

303

 

272

Oi SA (10.000% Cash or 6.000% PIK and 7.500% Cash or 13.500% PIK)
10.000% due 06/30/2027 (c)

 

13,355

 

11,168

Oi SA (8.500% PIK)
8.500% due 12/31/2028 (c)

 

28,389

 

2,981

Pacific Gas & Electric Co.
4.750% due 02/15/2044 (l)

 

3,692

 

3,076

Peru LNG SRL
5.375% due 03/22/2030

 

6,534

 

6,068

Qwest Corp.
7.750% due 05/01/2030

 

12,625

 

11,025

Raizen Fuels Finance SA

 

 

 

 

6.700% due 02/25/2037

 

1,500

 

1,502

6.950% due 03/05/2054

 

1,100

 

1,073

 

 

 

 

40,786

Total Corporate Bonds & Notes (Cost $265,504)

 

 

 

234,124

CONVERTIBLE BONDS & NOTES 0.4%

 

 

 

 

INDUSTRIALS 0.4%

 

 

 

 

DISH Network Corp.
3.375% due 08/15/2026

 

3,400

 

2,847

Total Convertible Bonds & Notes (Cost $3,400)

 

 

 

2,847

MUNICIPAL BONDS & NOTES 0.9%

 

 

 

 

MICHIGAN 0.3%

 

 

 

 

Detroit, Michigan General Obligation Bonds, Series 2014
4.000% due 04/01/2044

 

2,100

 

1,680

WEST VIRGINIA 0.6%

 

 

 

 

Tobacco Settlement Finance Authority, West Virginia Revenue Bonds, Series 2007
0.000% due 06/01/2047 (g)

 

45,700

 

4,307

Total Municipal Bonds & Notes (Cost $7,427)

 

 

 

5,987

U.S. GOVERNMENT AGENCIES 2.2%

 

 

 

 

Fannie Mae

 

 

 

 

1.796% due 01/25/2040 •(a)

 

90

 

8

3.500% due 02/25/2042 (a)

 

224

 

17

4.500% due 11/25/2042 (a)(l)

 

510

 

52

Freddie Mac

 

 

 

 

0.088% due 09/15/2035 •(l)

 

776

 

666

0.700% due 11/25/2055 ~(a)

 

32,425

 

1,991

3.000% due 02/15/2033 (a)

 

525

 

33

3.500% due 12/15/2032 (a)(l)

 

736

 

66

6.154% due 11/25/2055 «•

 

7,863

 

5,190

12.004% due 12/25/2027 •

 

2,173

 

2,196

12.140% due 11/25/2041 •

 

3,800

 

4,081

Ginnie Mae

 

 

 

 

3.500% due 06/20/2042 - 10/20/2042 (a)

 

128

 

11

4.000% due 10/16/2042 - 10/20/2042 (a)

 

93

 

9

Total U.S. Government Agencies (Cost $14,619)

 

 

 

14,320

NON-AGENCY MORTGAGE-BACKED SECURITIES 10.5%

 

 

 

 

Atrium Hotel Portfolio Trust

 

 

 

 

6.117% due 12/15/2036 •

 

1,700

 

1,663

6.567% due 12/15/2036 •

 

3,200

 

3,041

Banc of America Funding Trust

 

 

 

 

5.109% due 01/20/2047 ~

 

294

 

256

6.000% due 01/25/2037

 

2,127

 

1,880

BCAP LLC Trust

 

 

 

 

0.000% due 05/26/2037 ~

 

708

 

341

3.659% due 08/28/2037 ~

 

699

 

691

4.389% due 08/26/2037 ~

 

8,132

 

5,708

4.452% due 03/26/2037 þ

 

598

 

935

4.572% due 09/26/2036 ~

 

2,798

 

2,565

4.894% due 07/26/2037 ~

 

3,788

 

3,469

5.750% due 12/26/2035 ~

 

1,470

 

920

6.250% due 11/26/2036

 

2,061

 

1,514

Bear Stearns ALT-A Trust

 

 

 

 

4.348% due 09/25/2047 ~

 

3,484

 

1,708

4.676% due 11/25/2036 •

 

253

 

131

4.750% due 11/25/2035 ~

 

2,513

 

1,627

4.935% due 01/25/2036 •

 

355

 

338

5.409% due 09/25/2035 ~

 

199

 

98

CALI Mortgage Trust
3.957% due 03/10/2039 (l)

 

2,100

 

1,952

CD Mortgage Trust
5.688% due 10/15/2048

 

74

 

69

Schedule of Investments PIMCO Income Strategy Fund II (Cont.)

March 31, 2025 (Unaudited)

 

Chase Mortgage Finance Trust

 

 

 

 

4.953% due 12/25/2035 •

 

3

 

2

5.500% due 05/25/2036

 

1

 

0

Citicorp Mortgage Securities Trust
6.000% due 09/25/2037

 

225

 

228

Colony Mortgage Capital Ltd.
7.400% due 11/15/2038 ~

 

1,200

 

1,081

Countrywide Alternative Loan Resecuritization Trust

 

 

 

 

6.000% due 05/25/2036

 

1,356

 

763

6.000% due 08/25/2037 ~

 

691

 

360

Countrywide Alternative Loan Trust

 

 

 

 

5.500% due 03/25/2035

 

199

 

85

5.500% due 01/25/2036

 

243

 

134

5.750% due 01/25/2035

 

94

 

93

5.750% due 02/25/2035

 

167

 

112

5.750% due 12/25/2036

 

545

 

208

6.000% due 02/25/2035

 

215

 

179

6.000% due 04/25/2036

 

333

 

149

6.000% due 04/25/2037

 

1,181

 

530

6.250% due 11/25/2036

 

381

 

282

6.250% due 12/25/2036 ~

 

397

 

165

6.500% due 08/25/2036

 

369

 

114

6.572% due 04/25/2036 ~

 

125

 

117

Countrywide Home Loan Mortgage Pass-Through Trust

 

 

 

 

5.015% due 03/25/2035 •

 

1,717

 

1,497

6.000% due 07/25/2037

 

1,149

 

492

6.250% due 09/25/2036

 

322

 

114

Credit Suisse First Boston Mortgage-Backed Pass-Through Certificates
6.000% due 11/25/2035

 

199

 

149

Credit Suisse Mortgage Capital Mortgage-Backed Trust

 

 

 

 

5.351% due 10/26/2036 ~

 

4,262

 

3,701

5.750% due 04/25/2036

 

98

 

51

8.794% due 07/15/2032 •

 

5,379

 

5,340

First Horizon Mortgage Pass-Through Trust

 

 

 

 

0.000% due 11/25/2035 ~

 

1

 

0

5.208% due 05/25/2037 ~

 

122

 

52

Hilton USA Trust
2.828% due 11/05/2035 (l)

 

800

 

663

IndyMac IMSC Mortgage Loan Trust
6.500% due 07/25/2037

 

3,458

 

1,232

JP Morgan Alternative Loan Trust

 

 

 

 

4.176% due 03/25/2037 ~

 

447

 

367

4.308% due 05/25/2036 •

 

735

 

413

4.777% due 03/25/2036 ~

 

641

 

484

JP Morgan Chase Commercial Mortgage Securities Trust

 

 

 

 

5.811% due 07/05/2033 ~(l)

 

2,275

 

2,092

8.617% due 02/15/2035 •

 

3,538

 

3,399

JP Morgan Mortgage Trust

 

 

 

 

5.604% due 02/25/2036 •

 

120

 

81

6.029% due 10/25/2035 •

 

28

 

27

6.500% due 09/25/2035

 

31

 

19

Lehman Mortgage Trust

 

 

 

 

6.000% due 07/25/2037

 

100

 

90

6.500% due 09/25/2037

 

1,741

 

621

Lehman XS Trust
4.875% due 06/25/2047 •

 

696

 

645

MASTR Asset Securitization Trust
6.500% due 11/25/2037

 

323

 

56

Merrill Lynch Mortgage Investors Trust
4.456% due 03/25/2036 ~

 

860

 

421

Morgan Stanley Bank of America Merrill Lynch Trust
3.708% due 05/15/2046 ~

 

584

 

557

Morgan Stanley Capital Trust
8.967% due 11/15/2034 •

 

2,400

 

2,297

New Orleans Hotel Trust
8.056% due 04/15/2032 •

 

2,040

 

1,952

Nomura Asset Acceptance Corp. Alternative Loan Trust
5.476% due 05/25/2035 þ

 

6

 

3

Residential Accredit Loans, Inc. Trust

 

 

 

 

4.085% due 12/26/2034 ~

 

470

 

162

6.000% due 08/25/2036

 

115

 

99

Residential Asset Securitization Trust

 

 

 

 

5.750% due 02/25/2036

 

770

 

284

6.000% due 07/25/2037

 

1,319

 

492

6.250% due 09/25/2037

 

2,477

 

1,007

Residential Funding Mortgage Securities, Inc. Trust
4.736% due 09/25/2035 ~

 

417

 

326

Structured Adjustable Rate Mortgage Loan Trust

 

 

 

 

4.515% due 01/25/2036 ~

 

1,161

 

643

5.608% due 11/25/2036 ~

 

951

 

727

SunTrust Adjustable Rate Mortgage Loan Trust
5.986% due 02/25/2037 •

 

59

 

52

WaMu Mortgage Pass-Through Certificates Trust

 

 

 

 

3.878% due 05/25/2037 •

 

371

 

319

4.028% due 10/25/2036 •

 

272

 

237

4.091% due 02/25/2037 ~

 

211

 

180

Schedule of Investments PIMCO Income Strategy Fund II (Cont.)

March 31, 2025 (Unaudited)

 

5.043% due 07/25/2037 ~

 

385

 

344

WSTN Trust

 

 

 

 

7.690% due 07/05/2037 ~(l)

 

1,400

 

1,427

8.455% due 07/05/2037 ~

 

1,400

 

1,431

9.835% due 07/05/2037 ~

 

1,100

 

1,142

Total Non-Agency Mortgage-Backed Securities (Cost $76,089)

 

 

 

69,195

ASSET-BACKED SECURITIES 4.7%

 

 

 

 

HOME EQUITY OTHER 2.1%

 

 

 

 

Argent Securities Trust
4.815% due 03/25/2036 •

 

2,893

 

1,598

Bear Stearns Asset-Backed Securities Trust
4.715% due 10/25/2036 •

 

1,103

 

1,064

Citigroup Mortgage Loan Trust

 

 

 

 

4.735% due 12/25/2036 ~(l)

 

10,583

 

3,845

4.755% due 12/25/2036 •

 

1,197

 

656

Fremont Home Loan Trust
4.585% due 01/25/2037 ~

 

10,606

 

4,810

IndyMac Residential Asset Backed Trust
4.595% due 07/25/2037 •

 

2,152

 

1,177

Merrill Lynch Mortgage Investors Trust
4.755% due 04/25/2037 •

 

336

 

159

Morgan Stanley Mortgage Loan Trust
6.250% due 02/25/2037 ~

 

363

 

203

 

 

 

 

13,512

WHOLE LOAN COLLATERAL 0.0%

 

 

 

 

Bear Stearns Asset-Backed Securities Trust
6.500% due 10/25/2036

 

341

 

125

OTHER ABS 2.6%

 

 

 

 

Adagio CLO DAC
0.000% due 04/30/2031 ~

EUR

1,800

 

563

Apidos CLO
0.000% due 01/20/2031 ~

$

4,500

 

1,569

Avoca CLO DAC
0.000% due 07/15/2032 ~

EUR

2,230

 

1,871

Belle Haven ABS CDO Ltd.
1.400% due 07/05/2046 •

$

180,259

 

434

CIFC Funding Ltd.

 

 

 

 

0.000% due 04/24/2030 ~

 

2,400

 

538

0.010% due 03/31/2038 ~

 

1,221

 

55

Cork Street CLO DAC
0.000% due 11/27/2028 ~

EUR

621

 

119

KKR CLO Ltd.
0.000% due 04/17/2037 ~

$

3,000

 

1,734

Magnetite Ltd.
0.000% due 01/15/2028 ~

 

5,650

 

269

Marlette Funding Trust

 

 

 

 

0.000% due 09/17/2029 «(g)

 

7

 

7

0.000% due 03/15/2030 «(g)

 

6

 

32

SLM Student Loan EDC Repackaging Trust
0.000% due 10/28/2029 «(g)

 

1

 

578

SLM Student Loan Trust
0.000% due 01/25/2042 «(g)

 

4

 

831

SMB Private Education Loan Trust

 

 

 

 

0.000% due 09/18/2046 «(g)

 

1

 

349

0.000% due 10/15/2048 «(g)

 

1

 

260

SoFi Professional Loan Program LLC
0.000% due 09/25/2040 «(g)

 

1,758

 

146

Taberna Preferred Funding Ltd.

 

 

 

 

4.925% due 12/05/2036 •

 

4,164

 

3,665

4.945% due 08/05/2036 •

 

4,734

 

4,283

 

 

 

 

17,303

Total Asset-Backed Securities (Cost $66,290)

 

 

 

30,940

SOVEREIGN ISSUES 8.0%

 

 

 

 

Argentina Government International Bond

 

 

 

 

0.750% due 07/09/2030 þ

 

3,191

 

2,032

1.000% due 07/09/2029

 

615

 

478

3.500% due 07/09/2041 þ

 

1,792

 

1,041

4.125% due 07/09/2046 þ

 

112

 

69

5.000% due 01/09/2038 þ

 

11,605

 

7,658

Avenir Issuer Ireland DAC
6.000% due 10/25/2027

 

1,400

 

1,322

Dominican Republic Central Bank Notes

 

 

 

 

13.000% due 12/05/2025

DOP

124,400

 

1,986

13.000% due 01/30/2026

 

84,600

 

1,352

Dominican Republic International Bond

 

 

 

 

6.950% due 03/15/2037

$

1,500

 

1,516

Schedule of Investments PIMCO Income Strategy Fund II (Cont.)

March 31, 2025 (Unaudited)

 

7.150% due 02/24/2055

 

200

 

201

10.500% due 03/15/2037

DOP

409,200

 

6,637

10.750% due 06/01/2036

 

16,800

 

276

Egypt Government International Bond

 

 

 

 

8.625% due 02/04/2030

$

600

 

581

9.450% due 02/04/2033

 

1,200

 

1,134

El Salvador Government International Bond

 

 

 

 

9.250% due 04/17/2030

 

2,400

 

2,506

9.650% due 11/21/2054

 

1,400

 

1,406

Ghana Government International Bond

 

 

 

 

0.000% due 07/03/2026 (g)

 

31

 

29

0.000% due 01/03/2030 (g)

 

70

 

54

5.000% due 07/03/2029 þ

 

315

 

275

5.000% due 07/03/2035 þ

 

452

 

323

Mexico Government International Bond
4.625% due 05/04/2033

EUR

1,500

 

1,586

Mongolia Government International Bond
6.625% due 02/25/2030

$

300

 

295

Republic of Uzbekistan International Bond
5.100% due 02/25/2029

EUR

1,900

 

2,049

Romania Government International Bond

 

 

 

 

5.125% due 09/24/2031

 

1,400

 

1,465

5.250% due 03/10/2030

 

4,400

 

4,796

5.250% due 05/30/2032

 

800

 

834

5.625% due 05/30/2037

 

900

 

889

5.875% due 07/11/2032 (b)

 

3,000

 

3,222

6.250% due 09/10/2034

 

1,200

 

1,288

Turkey Government International Bond

 

 

 

 

44.165% due 09/06/2028 ~

TRY

163,600

 

4,056

45.031% due 05/20/2026 ~

 

200

 

5

45.031% due 08/19/2026 ~

 

200

 

5

45.031% due 05/17/2028 ~

 

32,800

 

818

Ukraine Government International Bond

 

 

 

 

0.000% due 02/01/2030 þ(h)

$

33

 

17

0.000% due 02/01/2034 þ(h)

 

122

 

49

0.000% due 02/01/2035 þ(h)

 

103

 

57

0.000% due 02/01/2036 þ(h)

 

86

 

48

1.750% due 02/01/2034 þ

 

150

 

80

1.750% due 02/01/2035 þ

 

210

 

110

1.750% due 02/01/2036 þ

 

240

 

124

Venezuela Government International Bond
9.250% due 09/15/2027 ^(d)

 

315

 

66

Total Sovereign Issues (Cost $52,537)

 

 

 

52,735

 

 

SHARES

 

 

COMMON STOCKS 11.2%

 

 

 

 

COMMUNICATION SERVICES 2.6%

 

 

 

 

Clear Channel Outdoor Holdings, Inc. (e)

 

549,096

 

610

iHeartMedia, Inc. 'A' (e)

 

129,909

 

214

iHeartMedia, Inc. 'B' «(e)

 

100,822

 

146

Oi SA (e)

 

4,682,504

 

821

Promotora de Informaciones SA 'A' (e)

 

258,261

 

104

Syniverse Holdings, Inc. «(k)

 

2,713,399

 

2,639

Windstream Services LLC «(e)

 

565,698

 

12,692

 

 

 

 

17,226

CONSUMER DISCRETIONARY 0.0%

 

 

 

 

West Marine «(e)(k)

 

2,750

 

17

CONSUMER STAPLES 0.0%

 

 

 

 

Steinhoff International Holdings NV «(e)(k)

 

24,971,388

 

0

FINANCIALS 2.4%

 

 

 

 

Banca Monte dei Paschi di Siena SpA

 

1,043,000

 

8,235

Intelsat Emergence SA «(k)

 

233,715

 

7,873

MNEQ Holdings, Inc. «(e)(k)

 

3,425

 

15

 

 

 

 

16,123

HEALTH CARE 4.0%

 

 

 

 

Amsurg Equity «(e)(k)

 

563,629

 

26,351

INDUSTRIALS 2.2%

 

 

 

 

Clover Holdings, Inc. «(e)(k)

 

13,544

 

231

Drillco Holding Lux SA «(k)

 

66,318

 

1,670

Foresea Holdings SA «

 

27,587

 

695

Incora New Equity «(e)(k)

 

308,198

 

11,014

Westmoreland Mining Holdings «(e)(k)

 

52,802

 

56

Schedule of Investments PIMCO Income Strategy Fund II (Cont.)

March 31, 2025 (Unaudited)

 

Westmoreland Mining LLC «(e)(k)

 

166,397

 

546

 

 

 

 

14,212

Total Common Stocks (Cost $75,834)

 

 

 

73,929

WARRANTS 0.0%

 

 

 

 

CONSUMER DISCRETIONARY 0.0%

 

 

 

 

West Marine - Exp. 09/11/2028 «

 

357

 

0

FINANCIALS 0.0%

 

 

 

 

Intelsat Emergence SA - Exp. 02/17/2027 «

 

401

 

1

Total Warrants (Cost $5,389)

 

 

 

1

PREFERRED SECURITIES 0.8%

 

 

 

 

BANKING & FINANCE 0.5%

 

 

 

 

ADLER Group SA «

 

1,253,950

 

0

AGFC Capital Trust
6.314% due 01/15/2067 ~(l)

 

1,800,000

 

1,270

Brighthouse Holdings LLC
6.500% due 07/27/2037 þ(i)

 

70,000

 

63

Farm Credit Bank of Texas
5.700% due 09/15/2025 •(i)

 

1,000,000

 

997

Stichting AK Rabobank Certificaten
6.500% due 12/29/2049 þ(i)(l)

 

666,300

 

811

 

 

 

 

3,141

INDUSTRIALS 0.3%

 

 

 

 

SVB Financial Trust

 

 

 

 

0.000% due 11/07/2032 (g)

 

19,120

 

0

11.000% due 11/07/2032

 

3,903

 

1,913

 

 

 

 

1,913

Total Preferred Securities (Cost $5,315)

 

 

 

5,054

REAL ESTATE INVESTMENT TRUSTS 0.6%

 

 

 

 

REAL ESTATE 0.6%

 

 

 

 

Uniti Group, Inc.

 

203,351

 

1,025

VICI Properties, Inc.

 

89,142

 

2,908

Total Real Estate Investment Trusts (Cost $1,834)

 

 

 

3,933

SHORT-TERM INSTRUMENTS 0.6%

 

 

 

 

MUTUAL FUNDS 0.0%

 

 

 

 

State Street Institutional U.S. Government Money Market Fund, Premier Class

4.400% (j)

 

84,989

 

85

 

 

PRINCIPAL
AMOUNT
(000s)

 

 

U.S. TREASURY BILLS 0.6%

 

 

 

 

4.295% due 04/17/2025 - 06/05/2025 (f)(g)(o)

 

3,995

 

3,972

Total Short-Term Instruments (Cost $4,057)

 

 

 

4,057

Total Investments in Securities (Cost $822,488)

 

 

 

728,413

 

 

SHARES

 

 

INVESTMENTS IN AFFILIATES 2.3%

 

 

 

 

SHORT-TERM INSTRUMENTS 2.3%

 

 

 

 

CENTRAL FUNDS USED FOR CASH MANAGEMENT PURPOSES 2.3%

 

 

 

 

PIMCO Short-Term Floating NAV Portfolio III

 

1,541,682

 

15,007

Total Short-Term Instruments (Cost $14,991)

 

 

 

15,007

Total Investments in Affiliates (Cost $14,991)

 

 

 

15,007

Total Investments 112.6% (Cost $837,479)

 

 

$

743,420

Financial Derivative Instruments (m)(n) (0.5)%(Cost or Premiums, net $(9,605))

 

 

 

(3,138)

Schedule of Investments PIMCO Income Strategy Fund II (Cont.)

March 31, 2025 (Unaudited)

 

Other Assets and Liabilities, net (12.1)%

 

 

 

(80,137)

Net Assets Applicable to Common Shareholders 100.0%

 

 

$

660,145

Schedule of Investments PIMCO Income Strategy Fund II (Cont.)

March 31, 2025 (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).

µ

All or a portion of this amount represents unfunded loan commitments. The interest rate for the unfunded portion will be determined at the time of funding.

~

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

•

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

þ

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

(a)

Security is an Interest Only ("IO") or IO Strip.

(b)

When-issued security.

(c)

Payment in-kind security.

(d)

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

(e)

Security did not produce income within the last twelve months.

(f)

Coupon represents a weighted average yield to maturity.

(g)

Zero coupon security.

(h)

Security becomes interest bearing at a future date.

(i)

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

(j)

Coupon represents a 7-Day Yield.

(k)

RESTRICTED SECURITIES:

Issuer Description

 

 

Acquisition
Date

 

Cost

 

Market
Value

Market Value
as Percentage
of Net Assets Applicable to Common Shareholders

Amsurg Equity

 

 

11/02/2023 - 11/06/2023

$

23,551

$

26,351

3.99

%

Clover Holdings, Inc.

 

 

12/09/2024

 

203

 

231

0.03

 

Drillco Holding Lux SA

 

 

06/08/2023

 

1,326

 

1,670

0.25

 

Incora New Equity

 

 

01/31/2025

 

14,971

 

11,014

1.67

 

Incora Top Holdco LLC 0.000% due 01/30/2033

 

 

01/31/2025

 

6,611

 

9,554

1.45

 

Intelsat Emergence SA

 

 

06/19/2017 - 02/23/2024

 

16,395

 

7,873

1.19

 

MNEQ Holdings, Inc.

 

 

03/16/2023 - 03/29/2023

 

38

 

15

0.00

 

Steinhoff International Holdings NV

 

 

06/30/2023 - 10/30/2023

 

0

 

0

0.00

 

Syniverse Holdings, Inc.

 

 

05/12/2022 - 11/30/2024

 

2,674

 

2,639

0.40

 

West Marine

 

 

09/12/2023

 

40

 

17

0.00

 

Westmoreland Mining Holdings

 

 

12/08/2014 - 10/19/2016

 

1,522

 

56

0.01

 

Westmoreland Mining LLC

 

 

06/30/2023 - 02/03/2025

 

692

 

546

0.08

 

 

 

 

 

$

68,023

$

59,966

9.07%  

BORROWINGS AND OTHER FINANCING TRANSACTIONS

REVERSE REPURCHASE AGREEMENTS:

Counterparty

Borrowing Rate(1)

Settlement Date

Maturity Date

 

Amount
Borrowed(1)

 

Payable for
Reverse
Repurchase
Agreements

BOS

4.850%

02/05/2025

04/07/2025

$

(6,341)

$

(6,388)

BPS

2.820

03/12/2025

TBD(2)

EUR

(586)

 

(635)

 

5.590

01/23/2025

07/22/2025

$

(2,867)

 

(2,897)

BYR

4.740

02/18/2025

05/19/2025

 

(378)

 

(380)

 

4.840

01/21/2025

04/21/2025

 

(1,241)

 

(1,253)

 

4.860

02/18/2025

05/19/2025

 

(80)

 

(80)

 

4.860

02/20/2025

05/20/2025

 

(1,573)

 

(1,582)

 

4.880

01/10/2025

04/10/2025

 

(575)

 

(582)

CDC

4.710

01/27/2025

04/28/2025

 

(1,027)

 

(1,035)

 

4.760

03/18/2025

07/16/2025

 

(519)

 

(520)

 

4.810

01/27/2025

04/28/2025

 

(2,956)

 

(2,981)

 

4.810

02/07/2025

04/28/2025

 

(2,129)

 

(2,144)

Schedule of Investments PIMCO Income Strategy Fund II (Cont.)

March 31, 2025 (Unaudited)

 

 

4.810

02/19/2025

04/28/2025

 

(166)

 

(167)

 

4.850

01/03/2025

04/04/2025

 

(1,027)

 

(1,039)

 

4.860

03/18/2025

07/16/2025

 

(2,987)

 

(2,992)

IND

4.620

02/11/2025

05/12/2025

 

(2,761)

 

(2,778)

 

4.770

03/06/2025

06/04/2025

 

(857)

 

(860)

 

4.770

03/10/2025

06/04/2025

 

(2,569)

 

(2,577)

 

4.770

03/17/2025

06/17/2025

 

(49)

 

(49)

 

4.800

03/26/2025

07/25/2025

 

(1,118)

 

(1,119)

 

4.870

03/26/2025

07/25/2025

 

(328)

 

(328)

 

5.000

02/26/2025

04/11/2025

 

(1,534)

 

(1,541)

 

5.020

03/14/2025

06/13/2025

 

(1,669)

 

(1,673)

 

5.070

03/14/2025

06/13/2025

 

(1,154)

 

(1,157)

MSB

5.160

10/29/2024

04/28/2025

 

(567)

 

(580)

NXN

4.870

03/28/2025

07/16/2025

 

(3,131)

 

(3,132)

 

4.870

03/28/2025

07/22/2025

 

(1,234)

 

(1,235)

RCY

4.830

03/07/2025

04/07/2025

 

(625)

 

(627)

RTA

4.950

03/19/2025

06/18/2025

 

(2,309)

 

(2,313)

SOG

4.640

02/18/2025

04/21/2025

 

(63)

 

(64)

 

4.700

01/09/2025

04/09/2025

 

(2,122)

 

(2,145)

 

4.700

03/06/2025

04/09/2025

 

(2,864)

 

(2,874)

 

4.810

01/08/2025

04/08/2025

 

(662)

 

(670)

 

4.810

01/09/2025

04/09/2025

 

(2,045)

 

(2,067)

 

4.830

03/18/2025

06/18/2025

 

(622)

 

(623)

UBS

4.850

01/08/2025

04/08/2025

 

(1,029)

 

(1,040)

Total Reverse Repurchase Agreements

 

 

 

 

 

$

(54,127)

(l)

Securities with an aggregate market value of $63,826 and cash of $60 have been pledged as collateral under the terms of master agreements as of March 31, 2025.

(1)

The average amount of borrowings outstanding during the period ended March 31, 2025 was $(82,353) at a weighted average interest rate of 5.427%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.

(2)

Open maturity reverse repurchase agreement.

(m)

FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED

SWAP AGREEMENTS:

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

1-Day GBP-SONIO Compounded-OIS

3.500%

Annual

03/19/2030

GBP

26,300

$

(718)

$

(61)

$

(779)

$

115

$

0

Receive

1-Day GBP-SONIO Compounded-OIS

0.750

Annual

09/21/2032

 

8,700

 

845

 

1,759

 

2,604

 

0

 

(54)

Receive

1-Day GBP-SONIO Compounded-OIS

2.000

Annual

03/15/2033

 

4,600

 

512

 

325

 

837

 

0

 

(32)

Receive

1-Day GBP-SONIO Compounded-OIS

0.750

Annual

09/21/2052

 

2,300

 

171

 

1,627

 

1,798

 

0

 

(22)

Pay

1-Day USD-SOFR Compounded-OIS

5.250

Annual

06/17/2025

$

192,000

 

421

 

462

 

883

 

2

 

0

Receive

1-Day USD-SOFR Compounded-OIS

2.300

Annual

01/17/2026

 

2,000

 

1

 

36

 

37

 

0

 

0

Pay

1-Day USD-SOFR Compounded-OIS

2.250

Semi-Annual

06/15/2026

 

26,800

 

436

 

(920)

 

(484)

 

0

 

(2)

Receive

1-Day USD-SOFR Compounded-OIS

1.350

Semi-Annual

01/20/2027

 

8,100

 

(2)

 

431

 

429

 

1

 

0

Pay

1-Day USD-SOFR Compounded-OIS

1.550

Semi-Annual

01/20/2027

 

35,800

 

(84)

 

(1,675)

 

(1,759)

 

0

 

(2)

Receive

1-Day USD-SOFR Compounded-OIS

1.360

Semi-Annual

02/15/2027

 

5,430

 

(1)

 

282

 

281

 

0

 

0

Pay

1-Day USD-SOFR Compounded-OIS

1.600

Semi-Annual

02/15/2027

 

21,700

 

(53)

 

(972)

 

(1,025)

 

0

 

(1)

Receive

1-Day USD-SOFR Compounded-OIS

1.450

Semi-Annual

02/17/2027

 

9,000

 

(2)

 

454

 

452

 

0

 

0

Pay

1-Day USD-SOFR Compounded-OIS

1.700

Semi-Annual

02/17/2027

 

35,800

 

(95)

 

(1,530)

 

(1,625)

 

0

 

(1)

Pay

1-Day USD-SOFR Compounded-OIS

2.500

Semi-Annual

12/20/2027

 

49,000

 

182

 

(1,742)

 

(1,560)

 

2

 

0

Receive

1-Day USD-SOFR Compounded-OIS

1.420

Semi-Annual

08/17/2028

 

29,500

 

(7)

 

2,452

 

2,445

 

0

 

(4)

Receive

1-Day USD-SOFR Compounded-OIS

1.380

Semi-Annual

08/24/2028

 

32,500

 

(8)

 

2,740

 

2,732

 

0

 

(4)

Pay

1-Day USD-SOFR Compounded-OIS

4.500

Annual

06/19/2029

 

76,800

 

101

 

2,210

 

2,311

 

55

 

0

Receive

1-Day USD-SOFR Compounded-OIS

3.750

Annual

06/20/2029

 

21,600

 

(409)

 

517

 

108

 

0

 

(14)

Pay

1-Day USD-SOFR Compounded-OIS

2.000

Annual

12/21/2029

 

106,500

 

(10,975)

 

2,675

 

(8,300)

 

86

 

0

Receive

1-Day USD-SOFR Compounded-OIS

1.160

Semi-Annual

04/12/2031

 

2,800

 

(1)

 

435

 

434

 

0

 

(4)

Schedule of Investments PIMCO Income Strategy Fund II (Cont.)

March 31, 2025 (Unaudited)

 

Receive

1-Day USD-SOFR Compounded-OIS

0.750

Semi-Annual

06/16/2031

 

38,000

 

2,575

 

4,129

 

6,704

 

0

 

(50)

Receive

1-Day USD-SOFR Compounded-OIS

1.750

Semi-Annual

12/15/2031

 

40,600

 

(568)

 

5,756

 

5,188

 

0

 

(64)

Pay

1-Day USD-SOFR Compounded-OIS

3.500

Annual

12/20/2033

 

43,900

 

398

 

(1,286)

 

(888)

 

118

 

0

Pay

1-Day USD-SOFR Compounded-OIS

3.500

Semi-Annual

06/19/2044

 

201,500

 

(5,022)

 

(12,868)

 

(17,890)

 

326

 

0

Receive

1-Day USD-SOFR Compounded-OIS

2.000

Semi-Annual

01/15/2050

 

1,400

 

(10)

 

495

 

485

 

0

 

(7)

Receive

1-Day USD-SOFR Compounded-OIS

1.750

Semi-Annual

01/22/2050

 

21,100

 

(52)

 

8,206

 

8,154

 

0

 

(99)

Receive

1-Day USD-SOFR Compounded-OIS

1.875

Semi-Annual

02/07/2050

 

22,000

 

(85)

 

8,124

 

8,039

 

0

 

(105)

Receive

1-Day USD-SOFR Compounded-OIS

2.250

Semi-Annual

03/12/2050

 

6,000

 

(18)

 

1,840

 

1,822

 

0

 

(31)

Receive

1-Day USD-SOFR Compounded-OIS

1.250

Semi-Annual

12/16/2050

 

2,400

 

217

 

902

 

1,119

 

0

 

(10)

Receive

1-Day USD-SOFR Compounded-OIS

1.700

Semi-Annual

02/01/2052

 

187,400

 

1,316

 

75,665

 

76,981

 

0

 

(304)

Pay

6-Month AUD-BBR-BBSW

3.500

Semi-Annual

06/17/2025

AUD

8,100

 

201

 

(230)

 

(29)

 

0

 

0

Receive

6-Month EUR-EURIBOR

0.150

Annual

03/18/2030

EUR

8,300

 

152

 

922

 

1,074

 

0

 

(14)

Receive

6-Month EUR-EURIBOR

0.250

Annual

09/21/2032

 

9,600

 

903

 

709

 

1,612

 

0

 

(26)

Receive(1)

6-Month EUR-EURIBOR

0.830

Annual

12/09/2052

 

18,000

 

240

 

1,368

 

1,608

 

0

 

(9)

Total Swap Agreements

$

(9,439)

$

103,237

$

93,798

$

705

$

(859)

Cash of $10,388 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of March 31, 2025.

(1)

This instrument has a forward starting effective date.

(n)

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

AZD

04/2025

$

8

JPY

1,243

$

0

$

0

 

05/2025

JPY

1,239

$

8

 

0

 

0

BOA

04/2025

DOP

10,625

 

167

 

0

 

0

 

04/2025

$

355

EUR

329

 

0

 

0

 

05/2025

HKD

44,096

$

5,676

 

2

 

0

BPS

04/2025

EUR

88,968

 

93,290

 

0

 

(2,911)

BRC

04/2025

JPY

9,600

 

65

 

1

 

0

 

04/2025

TRY

34,858

 

908

 

0

 

(9)

 

04/2025

$

1,315

EUR

1,209

 

0

 

(7)

 

04/2025

 

839

TRY

32,602

 

10

 

(1)

 

05/2025

TRY

66,202

$

1,668

 

17

 

(6)

 

05/2025

$

9,033

TRY

351,890

 

0

 

(194)

 

06/2025

TRY

55,767

$

1,334

 

0

 

(6)

 

06/2025

$

1,355

TRY

53,533

 

0

 

(66)

BSH

04/2025

 

30

JPY

4,468

 

0

 

0

 

05/2025

JPY

4,454

$

30

 

0

 

0

CBK

04/2025

DOP

27,501

 

436

 

3

 

0

 

04/2025

GBP

359

 

464

 

0

 

0

 

05/2025

DOP

29,495

 

469

 

6

 

0

 

05/2025

$

3,180

EUR

2,932

 

0

 

(5)

GLM

04/2025

TRY

1,284

$

32

 

0

 

(1)

 

04/2025

$

67

TRY

2,640

 

1

 

0

 

05/2025

DOP

120,207

$

1,914

 

28

 

0

 

07/2025

 

133,427

 

2,080

 

8

 

0

 

08/2025

 

64,525

 

1,012

 

16

 

0

 

09/2025

 

134,850

 

2,103

 

27

 

0

JPM

04/2025

TRY

2,475

 

62

 

0

 

(2)

 

04/2025

$

96,644

EUR

89,601

 

242

 

0

 

04/2025

 

17

JPY

2,613

 

0

 

0

 

05/2025

EUR

89,601

$

96,801

 

0

 

(242)

 

05/2025

JPY

2,604

 

17

 

0

 

0

 

05/2025

TRY

18,148

 

469

 

11

 

0

 

05/2025

$

1,416

TRY

62,345

 

150

 

0

 

06/2025

 

308

MXN

6,357

 

0

 

(1)

 

06/2025

 

119

TRY

4,721

 

0

 

(4)

MBC

04/2025

EUR

2,532

$

2,751

 

13

 

0

 

04/2025

$

387

EUR

361

 

3

 

0

MYI

04/2025

GBP

6,050

$

7,666

 

0

 

(149)

SSB

04/2025

$

8,288

GBP

6,409

 

0

 

(9)

 

05/2025

GBP

6,409

$

8,287

 

9

 

0

UAG

04/2025

$

22

TRY

897

 

1

 

0

Total Forward Foreign Currency Contracts

$

548

$

(3,613)

Schedule of Investments PIMCO Income Strategy Fund II (Cont.)

March 31, 2025 (Unaudited)

 

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
March 31, 2025(2)

 

Notional
Amount(3)

 

Premiums
Paid/(Received)

 

Unrealized
Appreciation/
(Depreciation)

 

Asset

 

Liability

BPS

Petroleos Mexicanos «

1.000%

Quarterly

12/20/2028

4.280%

$

800

$

(155)

$

71

$

0

$

(84)

DUB

Eskom «

4.650

Quarterly

06/30/2029

0.057

 

2,900

 

0

 

166

 

166

 

0

 

Petroleos Mexicanos

4.750

Monthly

07/06/2026

0.003

 

282

 

0

 

2

 

2

 

0

GST

Soft Bank Group,Inc.

1.000

Quarterly

06/20/2026

1.326

 

1,100

 

(9)

 

5

 

0

 

(4)

JPM

Banca Monte Dei Paschi Di

5.000

Quarterly

06/20/2025

0.161

EUR

100

 

(2)

 

3

 

1

 

0

Total Swap Agreements

$

(166)

$

247

$

169

$

(88)

(o)

Securities with an aggregate market value of $3,370 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of March 31, 2025.

(1)

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

(2)

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

(3)

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

(4)

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

FAIR VALUE MEASUREMENTS

The following is a summary of the fair valuations according to the inputs used as of March 31, 2025 in valuing the Fund's assets and liabilities:

 

Category and Subcategory

Level 1

Level 2

Level 3

Fair Value
at 03/31/2025

Investments in Securities, at Value

Loan Participations and Assignments

$

0

$

172,474

$

58,817

$

231,291

 

Corporate Bonds & Notes

 

Banking & Finance

 

0

 

46,944

 

0

 

46,944

 

 

Industrials

 

0

 

128,664

 

17,730

 

146,394

 

 

Utilities

 

0

 

40,786

 

0

 

40,786

 

Convertible Bonds & Notes

 

Industrials

 

0

 

2,847

 

0

 

2,847

 

Municipal Bonds & Notes

 

Michigan

 

0

 

1,680

 

0

 

1,680

 

 

West Virginia

 

0

 

4,307

 

0

 

4,307

 

U.S. Government Agencies

 

0

 

9,130

 

5,190

 

14,320

 

Non-Agency Mortgage-Backed Securities

 

0

 

69,195

 

0

 

69,195

 

Asset-Backed Securities

 

Home Equity Other

 

0

 

13,512

 

0

 

13,512

 

 

Whole Loan Collateral

 

0

 

125

 

0

 

125

 

 

Other ABS

 

0

 

15,100

 

2,203

 

17,303

 

Sovereign Issues

 

0

 

52,735

 

0

 

52,735

 

Common Stocks

 

Communication Services

 

1,749

 

0

 

15,477

 

17,226

 

 

Consumer Discretionary

 

0

 

0

 

17

 

17

 

 

Financials

 

8,235

 

0

 

7,888

 

16,123

 

 

Health Care

 

0

 

0

 

26,351

 

26,351

 

 

Industrials

 

0

 

0

 

14,212

 

14,212

 

Warrants

 

Financials

 

0

 

0

 

1

 

1

 

Preferred Securities

 

Banking & Finance

 

0

 

3,141

 

0

 

3,141

 

 

Industrials

 

0

 

1,913

 

0

 

1,913

 

Real Estate Investment Trusts

 

Real Estate

 

3,933

 

0

 

0

 

3,933

 

Short-Term Instruments

 

Mutual Funds

 

0

 

85

 

0

 

85

 

 

U.S. Treasury Bills

 

0

 

3,972

 

0

 

3,972

 

 

$

13,917

$

566,610

$

147,886

$

728,413

 

Investments in Affiliates, at Value

Short-Term Instruments

 

Central Funds Used for Cash Management Purposes

$

15,007

$

0

$

0

$

15,007

 

Total Investments

$

28,924

$

566,610

$

147,886

$

743,420

 

Financial Derivative Instruments - Assets

Schedule of Investments PIMCO Income Strategy Fund II (Cont.)

March 31, 2025 (Unaudited)

 

Exchange-traded or centrally cleared

 

0

 

705

 

0

 

705

 

Over the counter

 

0

 

549

 

168

 

717

 

 

$

0

$

1,254

$

168

$

1,422

 

Financial Derivative Instruments - Liabilities

Exchange-traded or centrally cleared

 

0

 

(859)

 

0

 

(859)

 

Over the counter

 

0

 

(3,701)

 

0

 

(3,701)

 

 

$

0

$

(4,560)

$

0

$

(4,560)

 

Total Financial Derivative Instruments

$

0

$

(3,306)

$

168

$

(3,138)

 

Totals

$

28,924

$

563,204

$

148,054

$

740,282

 

 

 

 

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended March 31, 2025:

Category and Subcategory

Beginning
Balance
at 06/30/2024

Net
Purchases (1)

Net
Sales/Settlements (1)

Accrued
Discounts/
(Premiums)

Realized
Gain/(Loss)

Net Change in
Unrealized
Appreciation/
(Depreciation) (2)

Transfers into
Level 3

Transfers out
of Level 3

Ending
Balance
at 03/31/2025

Net Change in
Unrealized
Appreciation/
(Depreciation)
on Investments
Held at
03/31/2025 (2)

Investments in Securities, at Value

Loan Participations and Assignments

$

48,645

$

26,575

$

(31,813)

$

194

$

648

$

6,969

$

7,599

$

0

$

58,817

$

207

Corporate Bonds & Notes

 

Banking & Finance

 

7,071

 

0

 

(7,165)

 

0

 

39

 

55

 

0

 

0

 

0

 

0

 

Industrials

 

24,856

 

13,837

 

(21,581)

 

(44)

 

(6,779)

 

6,491

 

950

 

0

 

17,730

 

2,942

U.S. Government Agencies

 

4,904

 

0

 

(93)

 

16

 

30

 

333

 

0

 

0

 

5,190

 

328

Non-Agency Mortgage-Backed Securities

 

701

 

0

 

(109)

 

6

 

22

 

10

 

0

 

(630)

 

0

 

4

Asset-Backed Securities

Other ABS

 

2,551

 

0

 

0

 

22

 

0

 

(370)

 

0

 

0

 

2,203

 

(371)

Common Stocks

 

Communication Services(3)

 

12,010

 

159

 

0

 

0

 

0

 

3,308

 

0

 

0

 

15,477

 

3,308

 

Consumer Discretionary(3)

 

11,220

 

0

 

(11,472)

 

0

 

8,753

 

(8,484)

 

0

 

0

 

17

 

0

 

Energy

 

60

 

0

 

(64)

 

0

 

34

 

(30)

 

0

 

0

 

0

 

0

 

Financials

 

8,692

 

38

 

0

 

0

 

0

 

(842)

 

0

 

0

 

7,888

 

(842)

 

Health Care

 

27,902

 

0

 

0

 

0

 

0

 

(1,551)

 

0

 

0

 

26,351

 

(1,551)

 

Industrials

 

2,541

 

15,513

 

0

 

0

 

0

 

(3,842)

 

0

 

0

 

14,212

 

(3,842)

Warrants

 

Financials

 

1

 

0

 

0

 

0

 

0

 

0

 

0

 

0

 

1

 

0

Preferred Securities

 

Industrials

 

0

 

0

 

0

 

0

 

(2,270)

 

2,270

 

0

 

0

 

0

 

2,270

 

$

151,154

$

56,122

$

(72,297)

$

194

$

477

$

4,317

$

8,549

$

(630)

$

147,886

$

2,453

Financial Derivative Instruments- Assets

Over the counter

$

224

$

1

$

0

$

0

$

0

$

(57)

$

0

$

0

$

168

$

(57)

Totals

$

151,378

$

56,123

$

(72,297)

$

194

$

477

$

4,260

$

8,549

$

(630)

$

148,054

$

2,396


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 03/31/2025

Valuation Technique

Unobservable Inputs

 

Input Value(s)

Weighted Average

Investments in Securities, at Value

Loan Participations and Assignments

$

735

Comparable Companies

EBITDA Multiple

X

14.000

—

 

 

19,277

Discounted Cash Flow

Discount Rate

 

7.360 - 14.360

9.681

 

 

14,433

Indicative Market Quotation

Broker Quote

 

74.500 - 100.500

93.151

 

 

7,000

Other Valuation Techniques(4)

-

 

-

—

 

 

1,584

Recent Transaction

Purchase Price

 

98.750

—

 

 

15,788

Third Party Vendor

Broker Quote

 

37.500 - 101.500

98.979

Corporate Bonds & Notes

 

Industrials

 

16,657

Comparable Companies / Discounted Cash Flow

Revenue Multiple/Discount Rate

X/
%

0.900/10.000

—

 

 

 

950

Indicative Market Quotation

Broker Quote

 

60.000 - 82.000

69.495

 

 

 

123

Proxy pricing

Base Price

 

98.000

—

U.S. Government Agencies

 

5,190

Discounted Cash Flow

Discount Rate

 

11.350

—

Asset-Backed Securities

 

Other ABS

 

2,203

Discounted Cash Flow

Discount Rate

 

12.000 - 20.000

17.115

Common Stocks

 

Communication Services

 

12,692

Comparable Companies

EBITDA Multiple

X

4.609

—

 

 

 

2,639

Discounted Cash Flow

Discount Rate

 

13.210

—

Schedule of Investments PIMCO Income Strategy Fund II (Cont.)

March 31, 2025 (Unaudited)

 

 

 

 

146

Reference instrument

Stock Price w/Liquidity Discount

 

12.000

—

 

Consumer Discretionary

 

17

Comparable Companies / Discounted Cash Flow

Revenue Multiple/Discount Rate

X/
%

0.500 /20.750

—

 

Financials

 

7,873

Comparable Companies

EBITDA Multiple

X

4.660

—

 

 

 

15

Indicative Market Quotation

Broker Quote

$

4.500

—

 

Health Care

 

26,351

Comparable Companies

EBITDA Multiple

X

14.000

—

 

Industrials

 

231

Comparable Companies

EBITDA Multiple

X

11.000

—

 

 

 

11,014

Comparable Companies / Discounted Cash Flow

Revenue Multiple/Discount Rate

X/
%

0.900/10.000

—

 

 

 

2,967

Indicative Market Quotation

Broker Quote

 

1.063 - 25.188

3.075

Warrants

 

Financials

 

1

Option Pricing Model

Volatility

 

32.500

—

Financial Derivative Instruments- Assets

 

Over the counter

 

168

Indicative Market Quotation

Broker Quote

 

0.329 - 5.703

5.673

Total

$

148,054

(1)

Net Purchases and Settlements for Financial Derivative Instruments may include payments made or received upon entering into swap agreements to compensate for differences between the stated terms of the swap agreement and prevailing market conditions.

(2)

Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at March 31, 2025 may be due to an investment no longer held or categorized as Level 3 at period end.

(3)

Sector type updated from Industrials to Communication Services and Consumer Discretionary since prior fiscal year end.

(4)

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

 

​

Notes to Financial Statements 

 

1. INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS

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

 

On each day that the New York Stock Exchange (“NYSE”) is open, each Fund’s 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 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. If regular trading on the NYSE closes earlier than scheduled, each Fund may calculate its NAV as of the earlier closing time or calculate its NAV as of the NYSE Close for that day. Each Fund generally does not calculate its NAV on days on which the NYSE is not open for business. If the NYSE is closed on a day it would normally be open for business, each Fund may calculate its NAV as of the NYSE Close for such day or such other time that the Fund may determine.

 

For purposes of calculating NAV, portfolio securities and other assets for which market quotations are readily available are valued at market value. A market quotation is readily available only when that quotation is a quoted price (unadjusted) in active markets for identical investments that the Fund can access at the measurement date, provided that a quotation will not be readily available if it is not reliable. Market value is generally determined on the basis of official closing prices or the last reported sales prices. 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. 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. If market value pricing is used, 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.

 

Investments for which market quotations are not readily available are valued at fair value as determined in good faith pursuant to Rule 2a-5 under the Investment Company Act of 1940, as amended (the “Act”). As a general principle, the fair value of a security or other asset is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Pursuant to Rule 2a-5, the Board of Trustees has designated PIMCO as the valuation designee (“Valuation Designee”) for each Fund to perform the fair value determination relating to all Fund investments. PIMCO may carry out its designated responsibilities as Valuation Designee through various teams and committees. The Valuation Designee’s policies and procedures govern the Valuation Designee’s selection and application of methodologies for determining and calculating the fair value of Fund portfolio investments. The Valuation Designee may value Fund portfolio securities for which market quotations are not readily available and other Fund assets utilizing inputs from pricing services, quotation reporting systems, valuation agents and other third-party sources (together, “Pricing Sources”).

 

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 Sources using data reflecting the earlier closing of the principal markets for those securities. Prices obtained from Pricing Sources 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. 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. 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 Sources. With respect to any portion of the Fund’s assets that are invested in one or more open-end management investment companies (other than ETFs), the Fund’s NAV will be calculated based on 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. 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 Sources, which may recommend fair value or adjustments with reference to other securities, indexes or assets. In considering whether fair valuation is required and in determining fair values, the Valuation Designee may, among other things, consider significant events (which may be considered to include changes in the value of U.S. securities or securities indexes) 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 foreign (non-U.S.) securities. For these purposes, unless otherwise determined by the Valuation Designee, any movement in the applicable reference index or instrument (“zero trigger”) 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 Fund 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.

 

Investments valued in currencies other than the U.S. dollar are converted to the U.S. dollar using exchange rates obtained from Pricing Sources. 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.

 

Fair valuation may require subjective determinations about the value of a security. While the Fund’s and Valuation Designee's policies and procedures are 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 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 (unadjusted) in active markets or exchanges for identical assets and liabilities.

 

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

 

Notes to Financial Statements (Cont.)

 

 

• Level 3 — Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Valuation Designee that are used in determining the fair value of investments.

 

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 Sources (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 Sources 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, Level 2 and Level 3 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, Level 2 and Level 3 of the fair value hierarchy are as follows:

 

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 in registered open-end investment companies (other than ETFs) will be valued based upon the NAVs of such investments and are categorized as Level 1 of the fair value hierarchy. Investments in unregistered open-end investment companies will be calculated based upon the NAVs of such investments and are considered Level 1 provided that the NAVs are observable, calculated daily and are the value at which both purchases and sales will be conducted.

 

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, non-U.S. bonds and short-term debt instruments (such as commercial paper, time deposits and certificates of deposit) are normally valued on the basis of quotes obtained from brokers and dealers or Pricing Sources that use broker-dealer quotations, reported trades or valuation estimates from their internal pricing models. The Pricing Sources’ 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 Sources 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.

 

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 Sources 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.

 

Valuation adjustments may be applied to certain exchange traded futures and options to account for market movement between the exchange settlement and the NYSE Close. These securities are valued using quotes obtained from a quotation reporting system, established market makers or Pricing Sources. Financial derivatives using these valuation adjustments are 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, indexes, 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 Sources (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 Sources 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, indexes, 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, indexes, 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 Sources (normally determined as of the NYSE Close). Centrally cleared swaps and over the counter swaps can be valued by Pricing Sources 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, LIBOR forward rate, interest rates, yield curves and credit spreads. These securities are categorized as Level 2 of the fair value hierarchy.

 

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.

 

Notes to Financial Statements (Cont.)

 

 

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

 

Reference instrument valuation estimates fair value by utilizing the correlation of the security to one or more broad-based securities, market indices and/or other financial instruments, whose pricing information is readily available. Unobservable inputs may include those used in algorithms 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 2 or Level 3 of the fair value hierarchy depending on the source or input of the reference instrument.

 

Expected recovery valuation estimates that the fair value of an existing asset can be recovered, net of any liability. 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.

 

The Discounted Cash Flow model is based on future cash flows generated by the investment and may be normalized based on expected investment performance. Future cash flows are discounted to present value using an appropriate rate of return, typically calibrated to the initial transaction date and adjusted based on Capital Asset Pricing Model and/or other market-based inputs. 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.

 

The Comparable Companies model is based on application of valuation multiples from publicly traded comparable companies to the financials of the subject company. Adjustments may be made to the market-derived valuation multiples based on differences between the comparable companies and the subject 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.

 

The Option Pricing Model is a commonly accepted method of allocating enterprise value across a capital structure. The method may be utilized when a capital structure includes multiple instruments with varying rights and preferences, there is no short term exit horizon, the nature of an exit event is unknown, or if the enterprise value is not sufficient to cover outstanding debt and preferred claims. The Option Pricing Model can also be used as a method to estimate enterprise value by ‘back-solving’ if there are recent indicative transactions for securities with the same issuer. The Option Pricing Model uses Black-Scholes option pricing, a generally accepted option model typically used to value call options, puts, warrants and convertible preferred securities. Significant changes in unobservable inputs would result in direct changes in the fair value of the security. These securities are categorized as level 3 of the fair value hierarchy.

 

Securities may be valued based on purchase prices of privately negotiated transactions. 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, time deposits and certificates of deposit) 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.

 

When a fair valuation method is applied by PIMCO that uses significant unobservable inputs, investments will be priced by a method that the Valuation Designee believes reflects fair value and are categorized as Level 3 of the fair value hierarchy.

 

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 March 31, 2025, 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.

 

3. INVESTMENTS IN AFFILIATES

The Fund 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, rules thereunder or exemptive relief therefrom. 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 Fund. A complete schedule of portfolio holdings for each affiliate fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-PORT and is available at the SEC’s website at www.sec.gov. A copy of each affiliate fund’s shareholder report is also available at the SEC’s website at www.sec.gov, on the Fund’s website at www.pimco.com, or upon request, as applicable. The table below shows the Fund’s transactions in and earnings from investments in the affiliated funds for the period ended March 31, 2025 (amounts in thousands†):

 

Investment in PIMCO Short-Term Floating NAV Portfolio III

 

Notes to Financial Statements (Cont.)

 

 

Market Value
06/30/2024

 

Purchases at
Cost

 

Proceeds from
Sales

 

Net
Realized
Gain (Loss)

 

Change in
Unrealized
Appreciation
(Depreciation)

 

Market Value
03/31/2025

 

Dividend
Income(1)

 

Realized Net
Capital
Gain
Distributions(1)

$

74,607

$

221,350

$

(281,000)

$

55

$

(5)

$

15,007

$

1,981

$

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.

 

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Glossary: (abbreviations that may be used in the preceding statements)       (Unaudited)
                     
Counterparty Abbreviations:                
AZD   Australia and New Zealand Banking Group   CDC   Natixis Securities Americas LLC   MYI   Morgan Stanley & Co. International PLC
BOA   Bank of America N.A.   DUB   Deutsche Bank AG   NXN   Natixis New York
BOS   BofA Securities, Inc.   GLM   Goldman Sachs Bank USA   RCY   Royal Bank of Canada
BPS   BNP Paribas S.A.   GST   Goldman Sachs International   RTA   RBC (Barbados) Trading Bank Corp.
BRC   Barclays Bank PLC   IND   Crédit Agricole Corporate and Investment Bank
S.A.		   SOG   Societe Generale Paris
                     
BSH   Banco Santander S.A. - New York Branch   JPM   JP Morgan Chase Bank N.A.   SSB   State Street Bank and Trust Co.
BYR   The Bank of Nova Scotia - Toronto   MBC   HSBC Bank Plc   UAG   UBS AG Stamford
CBK   Citibank N.A.   MSB   Morgan Stanley Bank, N.A   UBS   UBS Securities LLC
                     
Currency Abbreviations:                
AUD   Australian Dollar   EUR   Euro   MXN   Mexican Peso
BRL   Brazilian Real   GBP   British Pound   TRY   Turkish New Lira
CAD   Canadian Dollar   HKD   Hong Kong Dollar   USD (or $)   United States Dollar
DOP   Dominican Peso   JPY   Japanese Yen        
                     
Index/Spread Abbreviations:                
EUR003M   3 Month EUR Swap Rate   SOFR   Secured Overnight Financing Rate   SONIO   Sterling Overnight Interbank Average Rate
                     
Other  Abbreviations:                
ABS   Asset-Backed Security   CDO   Collateralized Debt Obligation   OIS   Overnight Index Swap
ALT   Alternate Loan Trust   CLO   Collateralized Loan Obligation   PIK   Payment-in-Kind
BBR   Bank Bill Rate   DAC   Designated Activity Company   TBD   To-Be-Determined
BBSW   Bank Bill Swap Reference Rate   EURIBOR   Euro Interbank Offered Rate   TBD %   Interest rate to be determined when loan
settles or at the time of funding