NPORT-EX 2 globalstocksplusincomefund.htm PIMCO GLOBAL STOCKSPLUS & INCOME FUND globalstocksplusincomefund

Schedule of Investments PIMCO Global StocksPLUS® & Income Fund

March 31, 2023

(Unaudited)

 

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

 

 

PRINCIPAL
AMOUNT
(000s)

 

MARKET
VALUE
(000s)

INVESTMENTS IN SECURITIES 171.8% ¤

 

 

 

 

LOAN PARTICIPATIONS AND ASSIGNMENTS 24.3%

 

 

 

 

AP Core Holdings LLC
10.340% (LIBOR01M + 5.500%) due 09/01/2027 ~

$

430

$

420

Carnival Corp.
7.840% (LIBOR01M + 3.000%) due 06/30/2025 ~

 

394

 

390

Diamond Sports Group LLC
12.775% (LIBOR03M + 8.150%) due 05/25/2026 ~

 

1,293

 

1,221

Envision Healthcare Corp.

 

 

 

 

12.701% due 04/29/2027

 

1,015

 

1,005

16.326% due 04/28/2028

 

2,538

 

1,889

Forbes Energy Services LLC
TBD% due 06/30/2023 «

 

80

 

0

Gateway Casinos & Entertainment Ltd.

 

 

 

 

12.803% due 10/15/2027

 

1,107

 

1,097

13.073% due 10/18/2027

CAD

241

 

177

Intelsat Jackson Holdings SA
9.082% due 02/01/2029

$

635

 

630

Lealand Finance Co. BV
7.840% (LIBOR01M + 3.000%) due 06/28/2024 ~

 

7

 

5

Lealand Finance Co. BV (5.840% Cash and 3.000% PIK)
8.840% (LIBOR01M + 1.000%) due 06/30/2025 ~(b)

 

66

 

44

Market Bidco Ltd.
9.427% due 11/04/2027

GBP

1,039

 

1,137

Poseidon Bidco SASU
8.265% (EUR003M + 5.250%) due 07/14/2028 «~

EUR

1,000

 

1,052

Promotora de Informaciones SA
7.750% (EUR003M + 5.000%) due 06/30/2026 «~

 

1,800

 

1,942

PUG LLC
8.340% (LIBOR01M + 3.500%) due 02/12/2027 ~

$

6

 

4

Redstone Holdco 2 LP
9.568% (LIBOR03M + 4.750%) due 04/27/2028 ~

 

1,233

 

975

Softbank Vision Fund
5.000% due 12/21/2025 «

 

843

 

794

Steenbok Lux Finco 2 SARL (10.750% PIK)
10.750% (EUR003M) due 06/30/2023 ~(b)

EUR

2,439

 

1,746

Syniverse Holdings, Inc.
11.898% due 05/13/2027

$

2,087

 

1,858

Team Health Holdings, Inc.
7.590% (LIBOR01M + 2.750%) due 02/06/2024 ~

 

1,080

 

929

U.S. Renal Care, Inc.

 

 

 

 

9.875% (LIBOR01M + 5.000%) due 06/26/2026 ~

 

1,090

 

745

10.375% (LIBOR01M + 5.500%) due 06/26/2026 ~

 

797

 

545

Westmoreland Mining Holdings LLC (15.000% PIK)
15.000% due 03/15/2029 (b)

 

1,341

 

1,010

Windstream Services LLC
TBD% - 11.157% due 09/21/2027 «

 

233

 

212

Total Loan Participations and Assignments (Cost $23,070)

 

 

 

19,827

CORPORATE BONDS & NOTES 36.0%

 

 

 

 

BANKING & FINANCE 11.7%

 

 

 

 

ADLER Group SA

 

 

 

 

2.250% due 04/27/2027

EUR

100

 

41

Ambac Assurance Corp.
5.100% due 12/31/2099 (i)

$

13

 

18

Banca Monte dei Paschi di Siena SpA

 

 

 

 

1.875% due 01/09/2026 (m)

EUR

300

 

280

2.625% due 04/28/2025 (m)

 

739

 

733

3.625% due 09/24/2024

 

600

 

620

7.677% due 01/18/2028 •

 

100

 

91

8.000% due 01/22/2030 •

 

390

 

379

8.500% due 09/10/2030 •

 

200

 

195

10.500% due 07/23/2029 (m)

 

634

 

668

Banco de Credito del Peru SA
4.650% due 09/17/2024

PEN

100

 

25

Corestate Capital Holding SA

 

 

 

 

1.375% due 11/28/2049 ^

EUR

100

 

17

3.500% due 04/15/2023 ^(c)

 

600

 

108

Credit Agricole SA
7.875% due 01/23/2024 •(i)(j)

$

200

 

197

Credit Suisse AG AT1 Claim ^

 

200

 

11

 

 

 

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

March 31, 2023

(Unaudited)

 

Credit Suisse Group AG
7.750% due 03/01/2029 •

EUR

800

 

950

Hestia Re Ltd.
14.184% (T-BILL 1MO + 9.500%) due 04/22/2025 ~

$

250

 

206

Huarong Finance Co. Ltd.
3.875% due 11/13/2029 (m)

 

200

 

139

Sanders Re Ltd.
16.434% (T-BILL 3MO + 11.750%) due 04/09/2029 ~

 

250

 

228

Societe Generale SA

 

 

 

 

6.446% due 01/10/2029 •

 

200

 

201

6.691% due 01/10/2034 •

 

900

 

921

SVB Financial Group

 

 

 

 

1.800% due 02/02/2031 ^(c)

 

280

 

160

4.345% due 04/29/2028 ^(c)

 

100

 

61

4.570% due 04/29/2033 ^(c)

 

200

 

116

Uniti Group LP

 

 

 

 

6.000% due 01/15/2030

 

1,127

 

661

10.500% due 02/15/2028

 

440

 

427

Voyager Aviation Holdings LLC
8.500% due 05/09/2026

 

2,706

 

2,138

 

 

 

 

9,591

INDUSTRIALS 21.2%

 

 

 

 

Altice Financing SA
5.750% due 08/15/2029 (m)

 

900

 

716

Carvana Co.
10.250% due 05/01/2030

 

400

 

228

CGG SA

 

 

 

 

7.750% due 04/01/2027 (m)

EUR

132

 

122

8.750% due 04/01/2027 (m)

$

1,887

 

1,576

DISH DBS Corp.
5.250% due 12/01/2026 (m)

 

1,800

 

1,440

DTEK Energy BV (3.500% Cash and 4.000% PIK)
7.500% due 12/31/2027 (b)

 

738

 

218

Exela Intermediate LLC
11.500% due 07/15/2026

 

17

 

2

HCA, Inc.
7.500% due 11/15/2095

 

300

 

330

Intelsat Jackson Holdings SA
6.500% due 03/15/2030 (m)

 

2,525

 

2,321

Market Bidco Finco PLC
4.750% due 11/04/2027

EUR

100

 

84

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

$

1,200

 

1,087

Noble Corp. PLC (11.000% Cash or 15.000% PIK)
11.000% due 02/15/2028 (b)

 

10

 

12

Odebrecht Oil & Gas Finance Ltd.
0.000% due 05/01/2023 (f)(i)

 

322

 

0

Prime Healthcare Services, Inc.
7.250% due 11/01/2025

 

232

 

206

Topaz Solar Farms LLC

 

 

 

 

4.875% due 09/30/2039 (m)

 

149

 

123

5.750% due 09/30/2039 (m)

 

1,648

 

1,566

U.S. Renal Care, Inc.
10.625% due 07/15/2027

 

2,161

 

571

Valaris Ltd. (8.250% Cash or 12.000% PIK)
8.250% due 04/30/2028 (b)

 

2

 

2

Vale SA
3.202% due 12/29/2049 ~(i)

BRL

20,000

 

1,398

Viking Cruises Ltd.
13.000% due 05/15/2025 (m)

$

1,301

 

1,375

Wesco Aircraft Holdings, Inc. (7.500% Cash and 3.000% PIK)
10.500% due 11/15/2026 (b)(m)

 

4,431

 

3,943

 

 

 

 

17,320

UTILITIES 3.1%

 

 

 

 

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

 

517

 

287

Odebrecht Offshore Drilling Finance Ltd. (6.720% Cash and 1.000% PIK)
7.720% due 12/01/2026 ^(b)

 

804

 

185

Oi SA
10.000% due 07/27/2025 ^(c)

 

3,513

 

275

Pacific Gas & Electric Co.

 

 

 

 

4.200% due 03/01/2029 (m)

 

500

 

458

4.300% due 03/15/2045 (m)

 

827

 

624

4.450% due 04/15/2042 (m)

 

34

 

27

Peru LNG SRL
5.375% due 03/22/2030 (m)

 

200

 

160

Rio Oil Finance Trust

 

 

 

 

9.250% due 07/06/2024 (m)

 

393

 

398

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

March 31, 2023

(Unaudited)

 

9.250% due 07/06/2024

 

123

 

125

 

 

 

 

2,539

Total Corporate Bonds & Notes (Cost $36,326)

 

 

 

29,450

CONVERTIBLE BONDS & NOTES 0.4%

 

 

 

 

INDUSTRIALS 0.4%

 

 

 

 

DISH Network Corp.
3.375% due 08/15/2026 (m)

 

600

 

312

Total Convertible Bonds & Notes (Cost $600)

 

 

 

312

MUNICIPAL BONDS & NOTES 1.3%

 

 

 

 

PUERTO RICO 0.3%

 

 

 

 

Commonwealth of Puerto Rico Bonds, Series 2022

 

 

 

 

0.000% due 11/01/2043

 

421

 

184

0.000% due 11/01/2051

 

192

 

65

 

 

 

 

249

WEST VIRGINIA 1.0%

 

 

 

 

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

 

8,800

 

781

Total Municipal Bonds & Notes (Cost $1,245)

 

 

 

1,030

U.S. GOVERNMENT AGENCIES 48.0%

 

 

 

 

Fannie Mae

 

 

 

 

0.000% due 06/25/2044 •

 

224

 

147

1.155% due 11/25/2049 •(a)

 

111

 

16

1.205% due 03/25/2037 •(a)

 

116

 

10

1.305% due 11/25/2039 •(a)

 

116

 

9

1.455% due 01/25/2038 •(a)

 

184

 

15

1.535% due 03/25/2037 •(a)

 

138

 

12

1.555% due 12/25/2037 ~(a)

 

176

 

12

1.565% due 06/25/2037 •(a)

 

66

 

4

1.605% due 04/25/2037 •(a)

 

361

 

34

1.755% due 11/25/2035 •(a)

 

29

 

1

1.955% due 11/25/2036 •(a)

 

665

 

73

2.355% due 02/25/2037 •(a)

 

126

 

14

3.000% due 04/25/2050 (a)

 

11,928

 

1,742

7.000% due 12/25/2023

 

4

 

4

8.246% due 12/25/2042 ~

 

31

 

32

10.595% due 07/25/2029 •(m)

 

220

 

241

Freddie Mac

 

 

 

 

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

 

5,485

 

362

1.305% due 05/25/2050 •(a)

 

1,134

 

143

1.756% due 03/15/2037 •(a)

 

301

 

27

1.886% due 09/15/2036 •(a)

 

167

 

15

1.896% due 09/15/2036 •(a)

 

339

 

33

9.995% due 10/25/2029 •(m)

 

250

 

268

Ginnie Mae
1.339% due 12/20/2048 •(a)

 

900

 

95

Ginnie Mae, TBA

 

 

 

 

3.500% due 04/01/2053

 

3,300

 

3,094

4.500% due 05/01/2053

 

1,600

 

1,576

Uniform Mortgage-Backed Security
3.500% due 03/01/2048 - 04/01/2048

 

380

 

359

Uniform Mortgage-Backed Security, TBA

 

 

 

 

2.500% due 05/01/2053

 

150

 

130

3.000% due 05/01/2053

 

1,650

 

1,482

3.500% due 05/01/2053

 

23,800

 

22,131

4.000% due 04/01/2053

 

1,650

 

1,578

4.500% due 05/01/2053

 

1,800

 

1,764

6.000% due 05/01/2053

 

3,300

 

3,366

6.500% due 05/01/2053

 

400

 

412

Total U.S. Government Agencies (Cost $39,126)

 

 

 

39,201

NON-AGENCY MORTGAGE-BACKED SECURITIES 18.1%

 

 

 

 

Banc of America Funding Trust

 

 

 

 

3.000% due 12/20/2034 ~

 

190

 

133

3.257% due 03/20/2036 ~

 

123

 

108

5.846% due 01/25/2037 ^~

 

95

 

85

Banc of America Mortgage Trust
6.000% due 07/25/2046 ^

 

1

 

1

Bear Stearns Adjustable Rate Mortgage Trust
3.564% due 07/25/2036 ^~

 

81

 

70

Bear Stearns ALT-A Trust

 

 

 

 

3.139% due 04/25/2035 ~

 

90

 

73

3.895% due 11/25/2035 ^~

 

70

 

55

3.964% due 09/25/2035 ^~

 

66

 

41

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

March 31, 2023

(Unaudited)

 

Bear Stearns Asset-Backed Securities Trust
7.573% due 03/25/2036 ^~(m)

 

1,632

 

889

Bear Stearns Commercial Mortgage Securities Trust
5.074% due 02/11/2041 ~

 

138

 

138

Bear Stearns Structured Products, Inc. Trust

 

 

 

 

3.649% due 12/26/2046 ^~

 

160

 

121

3.947% due 01/26/2036 ^~

 

314

 

245

CBA Commercial Small Balance Commercial Mortgage
6.040% due 01/25/2039 ^þ

 

120

 

111

CD Mortgage Trust
5.688% due 10/15/2048

 

66

 

59

Chevy Chase Funding LLC Mortgage-Backed Certificates

 

 

 

 

5.145% due 08/25/2035 •

 

31

 

28

5.525% due 10/25/2034 •

 

2

 

2

Citigroup Commercial Mortgage Trust
5.084% due 12/10/2049 ~(m)

 

466

 

214

Citigroup Mortgage Loan Trust

 

 

 

 

3.864% due 11/25/2035 ~(m)

 

1,058

 

596

4.524% due 03/25/2037 ^~

 

53

 

51

Commercial Mortgage Loan Trust
6.210% due 12/10/2049 ~

 

266

 

67

Connecticut Avenue Securities Trust
7.660% due 10/25/2041 •(m)

 

900

 

851

Countrywide Alternative Loan Trust

 

 

 

 

2.305% due 07/25/2036 •(a)

 

758

 

128

3.170% due 10/25/2035 ^~

 

76

 

61

3.973% due 02/25/2037 ^~

 

65

 

54

5.195% due 05/25/2036 ^•(m)

 

1,185

 

366

5.325% due 12/25/2046 ^~

 

50

 

31

5.500% due 08/25/2034

 

182

 

174

5.500% due 02/25/2036 ^

 

12

 

8

5.505% due 10/25/2035 ~

 

420

 

290

6.250% due 09/25/2034

 

28

 

27

6.475% due 07/25/2035 •(m)

 

410

 

396

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

 

991

 

352

Countrywide Home Loan Mortgage Pass-Through Trust

 

 

 

 

2.957% due 10/20/2035 ~

 

9

 

8

3.585% due 03/25/2037 ^~

 

220

 

165

3.804% due 10/20/2035 ^~

 

31

 

29

3.851% due 10/20/2035 ^~

 

68

 

61

5.325% due 03/25/2036 •

 

100

 

88

5.500% due 08/25/2035 ^

 

12

 

7

5.625% due 02/25/2035 •

 

50

 

41

Credit Suisse Mortgage Capital Mortgage-Backed Trust
6.000% due 11/25/2036

 

96

 

83

Extended Stay America Trust
8.385% due 07/15/2038 ~(m)

 

976

 

919

First Horizon Alternative Mortgage Securities Trust
4.523% due 11/25/2036 ^~

 

153

 

107

First Horizon Mortgage Pass-Through Trust
4.186% due 01/25/2037 ^~

 

192

 

119

Freddie Mac
12.060% due 10/25/2041 •(m)

 

1,200

 

1,118

GSR Mortgage Loan Trust
3.822% due 04/25/2035 ~

 

73

 

64

HarborView Mortgage Loan Trust

 

 

 

 

3.252% due 11/19/2034 ~

 

46

 

39

3.458% due 08/19/2036 ^~

 

2

 

2

4.525% due 02/25/2036 ^~

 

15

 

5

5.361% due 04/19/2034 •

 

3

 

3

HSI Asset Loan Obligation Trust
4.082% due 01/25/2037 ^~

 

109

 

75

IndyMac INDX Mortgage Loan Trust

 

 

 

 

2.923% due 06/25/2037 ^~

 

279

 

246

5.385% due 06/25/2037 ^•

 

468

 

511

5.405% due 03/25/2035 •

 

4

 

3

JP Morgan Mortgage Trust

 

 

 

 

4.292% due 04/25/2037 ^~

 

157

 

123

5.500% due 01/25/2036 ^

 

25

 

13

MASTR Adjustable Rate Mortgages Trust

 

 

 

 

3.924% due 10/25/2034 ~

 

58

 

51

4.108% due 11/25/2035 ^~

 

322

 

189

Merrill Lynch Alternative Note Asset Trust
4.985% due 01/25/2037 •

 

628

 

190

Opteum Mortgage Acceptance Corp. Asset-Backed Pass-Through Certificates
5.385% due 07/25/2036 •

 

171

 

66

RBSSP Resecuritization Trust
5.000% due 09/26/2036 ~(m)

 

904

 

660

Residential Accredit Loans, Inc. Trust

 

 

 

 

4.193% due 12/26/2034 ^~

 

69

 

58

4.930% due 01/25/2036 ^~

 

344

 

261

6.000% due 09/25/2035 ^

 

255

 

92

6.000% due 08/25/2036 ^

 

108

 

88

Structured Adjustable Rate Mortgage Loan Trust

 

 

 

 

3.624% due 04/25/2036 ^~

 

157

 

94

3.635% due 09/25/2035 ~

 

35

 

25

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

March 31, 2023

(Unaudited)

 

3.636% due 09/25/2036 ^~

 

131

 

87

4.115% due 01/25/2036 ^~

 

194

 

118

4.538% due 05/25/2035 ^•(m)

 

739

 

556

Structured Asset Mortgage Investments Trust

 

 

 

 

5.305% due 02/25/2036 •(m)

 

157

 

128

5.405% due 02/25/2036 ^•

 

107

 

87

SunTrust Adjustable Rate Mortgage Loan Trust
4.071% due 01/25/2037 ^~

 

33

 

24

Tharaldson Hotel Portfolio Trust
8.190% due 11/11/2034 •(m)

 

1,205

 

1,136

WaMu Mortgage Pass-Through Certificates Trust

 

 

 

 

3.489% due 12/25/2036 ^~(m)

 

176

 

153

3.884% due 07/25/2037 ^~

 

47

 

43

Wells Fargo Commercial Mortgage Trust
4.928% due 12/15/2039 ~

 

1,065

 

939

Wells Fargo-RBS Commercial Mortgage Trust
0.241% due 12/15/2046 ~(a)(m)

 

30,000

 

53

Total Non-Agency Mortgage-Backed Securities (Cost $16,693)

 

 

 

14,752

ASSET-BACKED SECURITIES 8.4%

 

 

 

 

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

EUR

250

 

79

Apidos CLO
0.000% due 07/22/2026 ~

$

500

 

1

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

EUR

1,000

 

618

Bear Stearns Asset-Backed Securities Trust
6.500% due 08/25/2036 ^

$

519

 

237

Belle Haven ABS CDO Ltd.
5.032% due 07/05/2046 •

 

34,966

 

329

Bombardier Capital Mortgage Securitization Corp.
7.830% due 06/15/2030 ~

 

1,421

 

200

Carlyle Global Market Strategies CLO Ltd.
0.000% due 04/17/2031 ~

 

1,700

 

438

Carlyle Global Market Strategies Euro CLO DAC

 

 

 

 

0.000% due 04/15/2027 ~

EUR

900

 

281

0.000% due 01/25/2032 ~

 

300

 

95

Carlyle US CLO Ltd.
0.000% due 10/15/2031 ~

$

600

 

186

Carrington Mortgage Loan Trust
4.995% due 08/25/2036 •

 

37

 

35

Citigroup Mortgage Loan Trust
5.005% due 01/25/2037 •

 

128

 

44

Conseco Finance Securitizations Corp.
7.960% due 05/01/2031

 

365

 

114

Countrywide Asset-Backed Certificates
5.945% due 09/25/2034 •

 

26

 

24

Lehman XS Trust
4.303% due 05/25/2037 ^þ

 

24

 

23

Marlette Funding Trust

 

 

 

 

0.000% due 12/15/2028 «(f)

 

2

 

117

0.000% due 04/16/2029 «(f)

 

2

 

103

0.000% due 07/16/2029 «(f)

 

2

 

180

Morgan Stanley ABS Capital, Inc. Trust
4.905% due 05/25/2037 •

 

52

 

45

SMB Private Education Loan Trust

 

 

 

 

0.000% due 09/18/2046 «(f)

 

1

 

317

0.000% due 10/15/2048 «(f)

 

2

 

464

0.000% due 02/16/2055 «(f)

 

0

 

252

Soundview Home Loan Trust
4.965% due 11/25/2036 •

 

155

 

44

South Coast Funding Ltd.

 

 

 

 

0.476% due 01/06/2041 •

 

393

 

76

0.476% due 01/06/2041 • (m)

 

11,064

 

2,132

Structured Asset Securities Corp. Mortgage Loan Trust
5.295% due 06/25/2035 •

 

14

 

14

Symphony CLO Ltd.
9.392% due 07/14/2026 •

 

400

 

396

Washington Mutual Asset-Backed Certificates Trust
4.433% due 10/25/2036 •

 

81

 

31

Total Asset-Backed Securities (Cost $18,530)

 

 

 

6,875

SOVEREIGN ISSUES 2.4%

 

 

 

 

Argentina Government International Bond

 

 

 

 

0.500% due 07/09/2030 þ

 

512

 

129

1.000% due 07/09/2029

 

97

 

27

1.500% due 07/09/2035 þ

 

563

 

137

3.500% due 07/09/2041 þ(m)

 

905

 

254

3.875% due 01/09/2038 þ(m)

 

1,597

 

498

15.500% due 10/17/2026 (m)

ARS

8,480

 

5

Autonomous City of Buenos Aires
74.828% (BADLARPP + 3.750%) due 02/22/2028 ~

 

449

 

1

Provincia de Buenos Aires
73.663% due 04/12/2025 (m)

 

79,631

 

170

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

March 31, 2023

(Unaudited)

 

Republic of Greece Government International Bond

 

 

 

 

2.000% due 04/22/2027

EUR

73

 

75

3.900% due 01/30/2033

 

162

 

173

4.000% due 01/30/2037

 

127

 

134

4.200% due 01/30/2042

 

159

 

171

Russia Government International Bond
5.625% due 04/04/2042 (c)

$

200

 

128

Ukraine Government International Bond
4.375% due 01/27/2032 ^(c)

EUR

89

 

17

Venezuela Government International Bond

 

 

 

 

8.250% due 10/13/2024 ^(c)

$

4

 

0

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

 

62

 

7

Total Sovereign Issues (Cost $4,177)

 

 

 

1,926

 

 

SHARES

 

 

COMMON STOCKS 2.2%

 

 

 

 

COMMUNICATION SERVICES 0.1%

 

 

 

 

Clear Channel Outdoor Holdings, Inc. (d)

 

97,913

 

118

CONSUMER DISCRETIONARY 0.2%

 

 

 

 

iHeartMedia, Inc. 'A' (d)

 

22,927

 

89

iHeartMedia, Inc. 'B' «(d)

 

17,837

 

63

 

 

 

 

152

ENERGY 0.0%

 

 

 

 

Axis Energy Services 'A' «(d)(k)

 

514

 

17

FINANCIALS 1.4%

 

 

 

 

Banca Monte dei Paschi di Siena SpA (d)

 

123,500

 

268

Intelsat Emergence SA «(d)(k)

 

34,279

 

840

 

 

 

 

1,108

INDUSTRIALS 0.5%

 

 

 

 

Neiman Marcus Group Ltd. LLC «(d)(k)

 

516

 

80

Sierra Hamilton Holder LLC «(d)(k)

 

100,456

 

0

Syniverse Holdings, Inc. «(k)

 

308,008

 

290

Voyager Aviation Holdings LLC «(d)

 

377

 

0

Westmoreland Mining Holdings «(d)(k)

 

13,224

 

40

 

 

 

 

410

Total Common Stocks (Cost $4,810)

 

 

 

1,805

RIGHTS 0.0%

 

 

 

 

FINANCIALS 0.0%

 

 

 

 

Intelsat Jackson Holdings SA «(d)

 

3,671

 

23

Total Rights (Cost $0)

 

 

 

23

WARRANTS 0.9%

 

 

 

 

FINANCIALS 0.0%

 

 

 

 

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

 

236

 

0

Intelsat Jackson Holdings SA-Exp. 12/05/2025 «

 

3,580

 

25

 

 

 

 

25

INFORMATION TECHNOLOGY 0.9%

 

 

 

 

Windstream Holdings LLC - Exp. 9/21/2055 «

 

52,536

 

712

Total Warrants (Cost $1,166)

 

 

 

737

PREFERRED SECURITIES 4.8%

 

 

 

 

FINANCIALS 4.2%

 

 

 

 

AGFC Capital Trust
6.542% (US0003M + 1.750%) due 01/15/2067 ~(m)

 

1,000,000

 

567

Charles Schwab Corp.
4.000% due 12/01/2030 •(i)

 

200,000

 

158

OCP CLO Ltd.
0.000% due 04/26/2028 (f)

 

1,400

 

695

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

 

1,890,000

 

1,979

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

March 31, 2023

(Unaudited)

 

SVB Financial Group
4.700% due 11/15/2031 ^(c)(i)

 

11,000

 

1

 

 

 

 

3,400

INDUSTRIALS 0.6%

 

 

 

 

Voyager Aviation Holdings LLC «

 

2,260

 

524

Total Preferred Securities (Cost $5,292)

 

 

 

3,924

REAL ESTATE INVESTMENT TRUSTS 0.2%

 

 

 

 

REAL ESTATE 0.2%

 

 

 

 

CBL & Associates Properties, Inc.

 

2,842

 

73

Uniti Group, Inc.

 

32,667

 

116

Total Real Estate Investment Trusts (Cost $246)

 

 

 

189

 

 

 

PRINCIPAL
AMOUNT
(000s)

 

 

 

 

 

 

 

SHORT-TERM INSTRUMENTS 24.8%

 

 

 

 

REPURCHASE AGREEMENTS (l) 23.6%

 

 

 

19,253

ARGENTINA TREASURY BILLS 0.2%

 

 

 

 

20.693% due 05/19/2023 - 09/18/2023 (e)(f)(g)(h)

ARS

54,673

 

132

U.S. TREASURY BILLS 1.0%

 

 

 

 

4.729% due 04/25/2023 (e)(f)(o)(q)

$

830

 

828

Total Short-Term Instruments (Cost $20,241)

 

 

 

20,213

Total Investments in Securities (Cost $171,521)

 

 

 

140,264

Total Investments 171.8% (Cost $171,522)

 

 

$

140,264

Financial Derivative Instruments (n)(p) 8.6%(Cost or Premiums, net $(541))

 

 

 

7,031

Other Assets and Liabilities, net (80.4)%

 

 

 

(65,649)

Net Assets 100.0%

 

 

$

81,646

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

March 31, 2023

(Unaudited)

 

 

NOTES TO SCHEDULE OF INVESTMENTS:

 

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

 

¤

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

^

Security is in default.

«

Security valued using significant unobservable inputs (Level 3).

~

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

•

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

þ

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

(a)

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

(b)

Payment in-kind security.

(c)

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

(d)

Security did not produce income within the last twelve months.

(e)

Coupon represents a weighted average yield to maturity.

(f)

Zero coupon security.

(g)

Coupon represents a yield to maturity.

(h)

Principal amount of security is adjusted for inflation.

(i)

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

(j)

Contingent convertible security.

(k)

RESTRICTED SECURITIES:

Issuer Description

 

 

Acquisition
Date

 

Cost

 

Market
Value

Market Value
as Percentage
of Net Assets

Axis Energy Services 'A'

 

 

07/01/2021

$

8

$

17

0.02

 

Intelsat Emergence SA

 

 

06/19/2017 - 02/23/2022

 

2,403

 

840

1.02

 

Neiman Marcus Group Ltd. LLC

 

 

09/25/2020

 

0

 

80

0.10

 

Sierra Hamilton Holder LLC

 

 

07/31/2017

 

26

 

0

0.00

 

Syniverse Holdings, Inc.

 

 

05/12/2022 - 11/30/2022

 

302

 

290

0.36

 

Westmoreland Mining Holdings

 

 

12/08/2014 - 08/05/2016

 

370

 

40

0.05

 

 

 

 

 

$

3,109

$

1,267

1.55% 

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

2.200%

03/31/2023

04/03/2023

$

1,053

U.S. Treasury Bills 0.000% due 03/21/2024

$

(1,074)

$

1,053

$

1,053

SAL

4.900

03/31/2023

04/03/2023

 

18,200

U.S. Treasury Notes 0.250% due 09/30/2025

 

(18,590)

 

18,200

 

18,207

Total Repurchase Agreements

 

$

(19,664)

$

19,253

$

19,260

REVERSE REPURCHASE AGREEMENTS:

Counterparty

Borrowing Rate(2)

Settlement Date

Maturity Date

 

Amount
Borrowed(2)

 

Payable for
Reverse
Repurchase
Agreements

BPS

4.800%

10/11/2022

04/11/2023

$

(3,306)

$

(3,383)

 

5.500

03/14/2023

07/14/2023

 

(2,093)

 

(2,099)

 

5.520

03/23/2023

07/21/2023

 

(480)

 

(481)

 

5.550

01/09/2023

07/10/2023

 

(152)

 

(154)

 

5.550

03/01/2023

07/31/2023

 

(578)

 

(581)

 

5.919

01/09/2023

05/10/2023

 

(417)

 

(423)

 

5.970

03/09/2023

07/07/2023

 

(311)

 

(312)

 

6.169

01/06/2023

05/08/2023

 

(592)

 

(600)

 

6.169

01/09/2023

05/10/2023

 

(184)

 

(187)

 

6.270

03/09/2023

07/07/2023

 

(714)

 

(717)

BRC

5.685

01/11/2023

04/14/2023

 

(591)

 

(599)

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

March 31, 2023

(Unaudited)

 

 

6.050

01/17/2023

07/19/2023

 

(186)

 

(188)

 

6.140

01/30/2023

08/30/2023

 

(2,257)

 

(2,282)

BYR

5.520

03/30/2023

10/19/2023

 

(111)

 

(111)

 

5.540

03/23/2023

09/20/2023

 

(230)

 

(230)

CDC

5.370

02/13/2023

08/11/2023

 

(647)

 

(651)

 

5.430

01/09/2023

04/12/2023

 

(139)

 

(140)

DBL

3.130

03/22/2023

TBD(3)

EUR

(103)

 

(112)

 

6.386

03/14/2023

05/12/2023

$

(1,474)

 

(1,479)

JML

2.500

09/14/2022

TBD(3)

EUR

(169)

 

(185)

 

2.500

10/14/2022

TBD(3)

 

(288)

 

(314)

 

3.050

09/14/2022

TBD(3)

 

(457)

 

(500)

 

3.050

10/14/2022

TBD(3)

 

(337)

 

(367)

 

3.050

02/07/2023

05/10/2023

 

(1,617)

 

(1,762)

 

5.000

03/24/2023

05/05/2023

$

(345)

 

(346)

 

5.200

03/24/2023

05/05/2023

 

(332)

 

(333)

 

5.250

03/24/2023

05/05/2023

 

(851)

 

(852)

JPS

6.023

02/01/2023

07/31/2023

 

(847)

 

(856)

MEI

5.650

03/23/2023

07/21/2023

 

(588)

 

(589)

NOM

5.500

03/24/2023

TBD(3)

 

(284)

 

(285)

NXN

5.560

03/30/2023

07/28/2023

 

(1,451)

 

(1,452)

RBC

5.760

03/13/2023

07/13/2023

 

(752)

 

(755)

RDR

4.970

02/13/2023

04/13/2023

 

(444)

 

(447)

 

5.480

03/30/2023

05/30/2023

 

(858)

 

(858)

SOG

5.260

01/12/2023

05/12/2023

 

(105)

 

(107)

 

5.380

02/06/2023

08/03/2023

 

(153)

 

(154)

ULO

5.290

01/17/2023

04/17/2023

 

(699)

 

(707)

 

5.550

02/03/2023

08/03/2023

 

(1,475)

 

(1,488)

Total Reverse Repurchase Agreements

 

 

 

 

 

$

(27,086)

SHORT SALES:

Description

Coupon

Maturity
Date

 

Principal
Amount

 

Proceeds

 

Payable for
Short Sales

U.S. Government Agencies (0.8)%

Uniform Mortgage-Backed Security, TBA

2.000%

05/01/2053

$

800

$

(660)

$

(662)

Total Short Sales (0.8)%

 

 

 

 

$

(660)

$

(662)

(m)

Securities with an aggregate market value of $117,649 and cash of $156 have been pledged as collateral under the terms of master agreements as of March 31, 2023.

(1)

Includes accrued interest.

(2)

The average amount of borrowings outstanding during the period ended March 31, 2023 was $(40,281) at a weighted average interest rate of 3.435%. 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

PURCHASED OPTIONS:

OPTIONS ON EXCHANGE-TRADED FUTURES CONTRACTS

Description

 

Strike
Price

Expiration
Date

# of
Contracts

 

Notional Amount

 

Cost

 

Market
Value

Put - CME E-mini S&P 500 April 2023 Futures

$

3,790.000

04/21/2023

189

$

9

$

419

$

59

Total Purchased Options

$

419

$

59

WRITTEN OPTIONS:

OPTIONS ON EXCHANGE-TRADED FUTURES CONTRACTS

Description

 

Strike
Price

Expiration
Date

# of
Contracts

 

Notional Amount

 

Premiums
(Received)

 

Market
Value

Call - CME E-mini S&P 500 April 2023 Futures

$

3,990.000

04/21/2023

189

$

9

$

(913)

$

(1,611)

Total Written Options

$

(913)

$

(1,611)

FUTURES CONTRACTS:

LONG FUTURES CONTRACTS

 

Variation Margin

Description

 

 

 

Expiration
Month

 

# of
Contracts

 

Notional
Amount

 

 

Unrealized
Appreciation/
(Depreciation)

 

Asset

 

Liability

E-Mini S&P 500 Index June Futures

06/2023

 

199

$

41,171

 

$

2,265

$

574

$

0

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

March 31, 2023

(Unaudited)

 

SHORT FUTURES CONTRACTS

 

Variation Margin

Description

 

 

 

Expiration
Month

 

# of
Contracts

 

Notional
Amount

 

 

Unrealized
Appreciation/
(Depreciation)

 

Asset

 

Liability

3-Month SOFR Active Contract December Futures

03/2024

 

5

$

(1,196)

 

$

20

$

0

$

0

3-Month SOFR Active Contract December Futures

03/2025

 

1

 

(242)

 

 

2

 

0

 

0

3-Month SOFR Active Contract December Futures

03/2026

 

1

 

(243)

 

 

2

 

0

 

0

3-Month SOFR Active Contract June Futures

09/2024

 

2

 

(482)

 

 

6

 

0

 

0

3-Month SOFR Active Contract June Futures

09/2025

 

2

 

(485)

 

 

4

 

0

 

(1)

3-Month SOFR Active Contract March Futures

06/2024

 

4

 

(961)

 

 

14

 

0

 

(1)

3-Month SOFR Active Contract March Futures

06/2025

 

2

 

(485)

 

 

4

 

0

 

(1)

3-Month SOFR Active Contract March Futures

06/2026

 

1

 

(243)

 

 

2

 

0

 

0

3-Month SOFR Active Contract September Futures

12/2024

 

2

 

(484)

 

 

5

 

0

 

0

3-Month SOFR Active Contract September Futures

12/2025

 

1

 

(243)

 

 

2

 

0

 

0

 

 

 

 

 

 

 

 

$

61

$

0

$

(3)

Total Futures Contracts

 

$

2,326

$

574

$

(3)

SWAP AGREEMENTS:

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

 

Variation Margin(5)

Reference Entity

Fixed
Receive Rate

Payment
Frequency

Maturity
Date

Implied
Credit Spread at
March 31, 2023(2)

 

Notional
Amount(3)

 

Premiums
Paid/
(Received)

 

Unrealized
Appreciation/
(Depreciation)

 

Market
Value(4)

 

Asset

 

Liability

Ford Motor Credit Co. LLC

5.000%

Quarterly

06/20/2027

2.892

%

$

800

$

83

$

(20)

$

63

$

2

$

0

INTEREST RATE SWAPS

 

Variation Margin(5)

Pay/
Receive
Floating Rate

Floating Rate Index

Fixed Rate

Payment
Frequency

Maturity
Date

 

Notional
Amount

 

Premiums
Paid/
(Received)

 

Unrealized
Appreciation/
(Depreciation)

 

Market
Value

 

Asset

 

Liability

Receive

1-Day GBP-SONIO Compounded-OIS

0.750%

Annual

09/21/2052

GBP

600

$

123

$

230

$

353

$

4

$

0

Receive(6)

1-Day USD-SOFR Compounded-OIS

2.450

Annual

12/20/2024

$

3,700

 

0

 

46

 

46

 

0

 

(3)

Receive(6)

1-Day USD-SOFR Compounded-OIS

2.350

Annual

01/17/2025

 

1,900

 

0

 

23

 

23

 

0

 

(2)

Receive(6)

1-Day USD-SOFR Compounded-OIS

2.300

Annual

01/17/2026

 

300

 

0

 

6

 

6

 

0

 

(1)

Pay

1-Day USD-SOFR Compounded-OIS

1.000

Annual

06/15/2027

 

25,500

 

(1,032)

 

(1,880)

 

(2,912)

 

57

 

0

Pay

1-Day USD-SOFR Compounded-OIS

1.750

Annual

06/15/2029

 

340

 

(36)

 

3

 

(33)

 

1

 

0

Pay

1-Day USD-SOFR Compounded-OIS

1.750

Annual

06/15/2032

 

220

 

(9)

 

(19)

 

(28)

 

1

 

0

Pay(6)

1-Day USD-SOFR Compounded-OIS

3.000

Annual

06/21/2033

 

40

 

0

 

0

 

0

 

0

 

0

Receive

1-Day USD-SOFR Compounded-OIS

1.500

Annual

06/15/2052

 

5,400

 

468

 

1,121

 

1,589

 

0

 

(52)

Receive

1-Day USD-SOFR Compounded-OIS

1.750

Annual

06/15/2052

 

6,000

 

713

 

753

 

1,466

 

0

 

(60)

Pay

1-Year BRL-CDI

11.140

Maturity

01/02/2025

BRL

300

 

0

 

(2)

 

(2)

 

0

 

0

Pay

1-Year BRL-CDI

11.160

Maturity

01/02/2025

 

200

 

0

 

(1)

 

(1)

 

0

 

0

Pay

1-Year BRL-CDI

11.350

Maturity

01/02/2025

 

200

 

0

 

(1)

 

(1)

 

0

 

0

Pay

1-Year BRL-CDI

12.000

Maturity

01/02/2025

 

600

 

0

 

(1)

 

(1)

 

0

 

0

Pay

1-Year BRL-CDI

12.080

Maturity

01/02/2025

 

1,000

 

0

 

(1)

 

(1)

 

0

 

0

Pay

1-Year BRL-CDI

12.140

Maturity

01/02/2025

 

500

 

0

 

(1)

 

(1)

 

0

 

0

Pay

1-Year BRL-CDI

12.145

Maturity

01/02/2025

 

500

 

0

 

(1)

 

(1)

 

0

 

0

Pay

1-Year BRL-CDI

12.160

Maturity

01/02/2025

 

1,000

 

0

 

(1)

 

(1)

 

0

 

0

Pay

1-Year BRL-CDI

11.220

Maturity

01/04/2027

 

300

 

0

 

(2)

 

(2)

 

0

 

0

Pay

1-Year BRL-CDI

11.245

Maturity

01/04/2027

 

100

 

0

 

(1)

 

(1)

 

0

 

0

Pay

1-Year BRL-CDI

11.260

Maturity

01/04/2027

 

100

 

0

 

(1)

 

(1)

 

0

 

0

Pay

1-Year BRL-CDI

11.700

Maturity

01/04/2027

 

100

 

0

 

0

 

0

 

0

 

0

Pay

1-Year BRL-CDI

11.715

Maturity

01/04/2027

 

300

 

0

 

(1)

 

(1)

 

0

 

0

Pay

1-Year BRL-CDI

11.870

Maturity

01/04/2027

 

800

 

0

 

(2)

 

(2)

 

0

 

0

Pay

3-Month CAD-Bank Bill

3.300

Semi-Annual

06/19/2024

CAD

4,900

 

369

 

(442)

 

(73)

 

0

 

(1)

Receive

3-Month CAD-Bank Bill

3.500

Semi-Annual

06/20/2044

 

600

 

(107)

 

110

 

3

 

0

 

(1)

Receive

3-Month USD-LIBOR

0.250

Semi-Annual

06/16/2024

$

3,000

 

8

 

158

 

166

 

1

 

0

Receive

3-Month USD-LIBOR

3.000

Semi-Annual

06/19/2024

 

4,400

 

(73)

 

139

 

66

 

0

 

0

Receive

3-Month USD-LIBOR

1.500

Semi-Annual

12/15/2028

 

1,250

 

(14)

 

146

 

132

 

0

 

(3)

Receive

3-Month USD-LIBOR

1.750

Semi-Annual

01/15/2030

 

600

 

(7)

 

75

 

68

 

0

 

(2)

Receive

3-Month USD-LIBOR

2.000

Semi-Annual

02/12/2030

 

4,400

 

(78)

 

505

 

427

 

0

 

(17)

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

March 31, 2023

(Unaudited)

 

Receive

3-Month USD-LIBOR

2.000

Semi-Annual

03/10/2030

 

500

 

0

 

48

 

48

 

0

 

(2)

Receive

3-Month USD-LIBOR

1.000

Semi-Annual

12/16/2030

 

400

 

(15)

 

82

 

67

 

0

 

(2)

Pay

3-Month USD-LIBOR

0.750

Semi-Annual

06/16/2031

 

2,229

 

(211)

 

(225)

 

(436)

 

9

 

0

Pay

3-Month USD-LIBOR

3.000

Semi-Annual

12/19/2048

 

1,900

 

(6)

 

(86)

 

(92)

 

21

 

0

Pay

6-Month EUR-EURIBOR

0.650

Annual

02/26/2029

EUR

6,100

 

6

 

(859)

 

(853)

 

0

 

(12)

Receive

6-Month EUR-EURIBOR

0.150

Annual

03/18/2030

 

1,300

 

(18)

 

293

 

275

 

1

 

0

Receive

6-Month EUR-EURIBOR

0.150

Annual

06/17/2030

 

3,000

 

(132)

 

740

 

608

 

5

 

0

Receive

6-Month EUR-EURIBOR

0.250

Annual

09/21/2032

 

800

 

72

 

120

 

192

 

0

 

0

Receive

6-Month EUR-EURIBOR

1.250

Annual

08/19/2049

 

2,700

 

11

 

720

 

731

 

0

 

(2)

Pay

6-Month EUR-EURIBOR

0.250

Annual

03/18/2050

 

400

 

48

 

(240)

 

(192)

 

0

 

0

Pay

6-Month EUR-EURIBOR

0.500

Annual

06/17/2050

 

1,000

 

171

 

(604)

 

(433)

 

1

 

0

Receive(6)

6-Month EUR-EURIBOR

0.830

Annual

12/09/2052

 

1,600

 

11

 

59

 

70

 

0

 

0

Receive

28-Day MXN-TIIE

8.675

Lunar

04/03/2024

MXN

2,700

 

0

 

4

 

4

 

0

 

0

Receive

28-Day MXN-TIIE

8.660

Lunar

04/04/2024

 

1,100

 

0

 

2

 

2

 

0

 

0

Receive

28-Day MXN-TIIE

8.750

Lunar

04/05/2024

 

1,000

 

0

 

1

 

1

 

0

 

0

Receive

28-Day MXN-TIIE

8.410

Lunar

03/31/2027

 

300

 

0

 

0

 

0

 

0

 

0

Receive

28-Day MXN-TIIE

8.730

Lunar

04/06/2027

 

400

 

0

 

0

 

0

 

0

 

0

Receive

28-Day MXN-TIIE

7.495

Lunar

01/14/2032

 

200

 

1

 

0

 

1

 

0

 

0

Receive

28-Day MXN-TIIE

7.498

Lunar

01/15/2032

 

800

 

3

 

0

 

3

 

0

 

0

Receive

28-Day MXN-TIIE

8.732

Lunar

03/30/2032

 

200

 

0

 

0

 

0

 

0

 

0

Receive

28-Day MXN-TIIE

8.701

Lunar

03/31/2032

 

500

 

0

 

(1)

 

(1)

 

0

 

0

 

 

 

 

 

 

$

266

$

1,012

$

1,278

$

101

$

(160)

Total Swap Agreements

$

349

$

992

$

1,341

$

103

$

(160)

(o)

Securities with an aggregate market value of $275 and cash of $3,699 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of March 31, 2023.

(1)

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

(2)

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

(3)

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

(4)

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

(5)

Unsettled variation margin asset of $1 for closed swap agreements is outstanding at period end.

(6)

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

04/2023

$

483

PEN

1,821

$

1

$

0

 

05/2023

PEN

1,822

$

482

 

0

 

(1)

 

06/2023

TWD

2,007

 

66

 

0

 

(1)

BPS

05/2023

$

197

AUD

295

 

0

 

0

 

05/2023

 

365

BRL

1,860

 

0

 

0

 

05/2023

 

50

EUR

46

 

0

 

0

 

06/2023

IDR

726,904

$

48

 

0

 

0

 

06/2023

TWD

8,903

 

292

 

0

 

(3)

BRC

05/2023

$

9

ZAR

167

 

0

 

0

CBK

04/2023

GBP

1,093

$

1,304

 

0

 

(44)

 

04/2023

PEN

1,822

 

455

 

0

 

(28)

 

04/2023

$

57

EUR

53

 

0

 

0

 

04/2023

 

93

GBP

76

 

1

 

0

 

04/2023

 

84

PEN

332

 

4

 

0

 

05/2023

PEN

225

$

57

 

0

 

(3)

 

06/2023

IDR

375,975

 

25

 

0

 

0

DUB

04/2023

BRL

302

 

57

 

0

 

(3)

 

04/2023

$

73

AUD

109

 

0

 

(1)

 

04/2023

 

59

BRL

302

 

0

 

0

 

04/2023

 

10,121

EUR

9,352

 

22

 

0

 

05/2023

EUR

9,352

$

10,137

 

0

 

(21)

 

07/2023

$

57

BRL

307

 

3

 

0

GLM

04/2023

BRL

7,823

$

1,540

 

0

 

(4)

 

04/2023

$

1,442

BRL

7,823

 

101

 

0

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

March 31, 2023

(Unaudited)

 

 

05/2023

 

440

PEN

1,760

 

26

 

0

 

06/2023

TWD

2,918

$

96

 

0

 

(1)

JPM

05/2023

$

16

ZAR

298

 

0

 

0

MBC

04/2023

EUR

490

$

525

 

0

 

(7)

 

04/2023

GBP

55

 

66

 

0

 

(1)

 

04/2023

$

746

EUR

697

 

10

 

0

 

04/2023

 

107

GBP

87

 

0

 

0

 

05/2023

JPY

32,100

$

241

 

0

 

(2)

 

05/2023

$

441

NOK

4,455

 

0

 

(15)

 

05/2023

 

14

ZAR

265

 

1

 

0

 

06/2023

IDR

4,073,483

$

267

 

0

 

(4)

 

06/2023

$

86

IDR

1,302,065

 

1

 

0

MYI

04/2023

BRL

7,523

$

1,457

 

0

 

(28)

 

04/2023

$

45

AUD

67

 

0

 

0

 

04/2023

 

1,481

BRL

7,523

 

4

 

0

 

04/2023

 

65

EUR

61

 

1

 

0

 

05/2023

JPY

12,800

$

97

 

0

 

0

 

06/2023

$

75

IDR

1,141,664

 

1

 

0

RBC

04/2023

 

1,214

GBP

985

 

1

 

0

 

05/2023

GBP

985

$

1,214

 

0

 

(1)

 

05/2023

MXN

55

 

3

 

0

 

0

SCX

05/2023

$

25

CHF

22

 

0

 

0

 

05/2023

 

269

JPY

35,000

 

0

 

(3)

 

06/2023

TWD

193

$

6

 

0

 

0

 

06/2023

$

187

IDR

2,856,462

 

3

 

0

TOR

04/2023

CAD

184

$

136

 

0

 

(1)

 

04/2023

$

47

CAD

63

 

0

 

0

 

05/2023

CAD

63

$

46

 

0

 

0

UAG

04/2023

EUR

9,620

 

10,214

 

0

 

(219)

 

04/2023

$

81

AUD

119

 

0

 

(1)

 

04/2023

 

89

CAD

121

 

1

 

0

 

05/2023

CAD

121

$

89

 

0

 

(1)

 

05/2023

$

39

ZAR

723

 

1

 

0

 

06/2023

 

3

IDR

44,919

 

0

 

0

Total Forward Foreign Currency Contracts

$

182

$

(393)

SWAP AGREEMENTS:

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

 

Swap Agreements, at Value(3)

Counterparty

Reference Obligation

Fixed
Receive Rate

Payment
Frequency

Maturity
Date

 

Notional
Amount(2)

 

Premiums
Paid/(Received)

 

Unrealized
Appreciation/
(Depreciation)

 

Asset

 

Liability

BOA

Long Beach Mortgage Loan Trust 6.584% due 07/25/2033

6.250%

Monthly

07/25/2033

$

103

$

0

$

0

$

0

$

0

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

 

Swap Agreements, at Value(3)

Counterparty

Reference Entity

Fixed
Receive Rate

Payment
Frequency

Maturity
Date

Implied
Credit Spread at
March 31, 2023(4)

 

Notional
Amount(2)

 

Premiums
Paid/(Received)

 

Unrealized
Appreciation/
(Depreciation)

 

Asset

 

Liability

DUB

Eskom «

4.650%

Quarterly

06/30/2029

4.650%

$

400

$

0

$

0

$

0

$

0

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

 

Swap Agreements, at Value(3)

Counterparty

Index/Tranches

Fixed
Receive Rate

Payment
Frequency

Maturity
Date

 

Notional
Amount(2)

 

Premiums
Paid/(Received)

 

Unrealized
Appreciation/
(Depreciation)

 

Asset

 

Liability

GST

ABX.HE.AA.6-1 Index

0.320%

Monthly

07/25/2045

$

783

$

(156)

$

95

$

0

$

(61)

 

ABX.HE.PENAAA.7-1 Index

0.090

Monthly

08/25/2037

 

597

 

(240)

 

172

 

0

 

(68)

 

 

 

 

 

 

$

(396)

$

267

$

0

$

(129)

TOTAL RETURN SWAPS ON EQUITY INDICES

 

Swap Agreements, at Value

Counterparty

Pay/Receive(5)

Underlying
Reference

# of Units

Financing Rate

Payment
Frequency

Maturity
Date

 

Notional
Amount

 

Premiums
Paid/(Received)

 

Unrealized
Appreciation/
(Depreciation)

 

Asset

 

Liability

JPM

Receive

NDDUEAFE Index

65

4.780% (1-Month USD-LIBOR less a specified spread)

Monthly

05/10/2023

$

464

$

0

$

(2)

$

0

$

(2)

MYI

Receive

NDDUEAFE Index

32

4.830% (1-Month USD-LIBOR plus a specified spread)

Monthly

05/24/2023

 

229

 

0

 

(1)

 

0

 

(1)

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

March 31, 2023

(Unaudited)

 

 

Receive

NDDUEAFE Index

5,734

4.810% (1-Month USD-LIBOR less a specified spread)

Maturity

11/15/2023

 

31,911

 

0

 

8,411

 

8,411

 

0

 

 

 

 

 

 

 

 

$

0

$

8,408

$

8,411

$

(3)

Total Swap Agreements

$

(396)

$

8,675

$

8,411

$

(132)

(q)

Securities with an aggregate market value of $504 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of March 31, 2023.

(1)

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

(2)

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

(3)

The prices and resulting values for credit default swap agreements 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.

(4)

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.

(5)

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

FAIR VALUE MEASUREMENTS

The following is a summary of the fair valuations according to the inputs used as of March 31, 2023 in valuing the Fund's assets and liabilities:

 

Category and Subcategory

Level 1

Level 2

Level 3

Fair Value
at 03/31/2023

Investments in Securities, at Value

Loan Participations and Assignments

$

0

$

15,827

$

4,000

$

19,827

 

Corporate Bonds & Notes

 

Banking & Finance

 

0

 

9,591

 

0

 

9,591

 

 

Industrials

 

0

 

17,320

 

0

 

17,320

 

 

Utilities

 

0

 

2,539

 

0

 

2,539

 

Convertible Bonds & Notes

 

Industrials

 

0

 

312

 

0

 

312

 

Municipal Bonds & Notes

 

Puerto Rico

 

0

 

249

 

0

 

249

 

 

West Virginia

 

0

 

781

 

0

 

781

 

U.S. Government Agencies

 

0

 

39,201

 

0

 

39,201

 

Non-Agency Mortgage-Backed Securities

 

0

 

14,752

 

0

 

14,752

 

Asset-Backed Securities

 

0

 

5,442

 

1,433

 

6,875

 

Sovereign Issues

 

0

 

1,926

 

0

 

1,926

 

Common Stocks

 

Communication Services

 

118

 

0

 

0

 

118

 

 

Consumer Discretionary

 

89

 

0

 

63

 

152

 

 

Energy

 

0

 

0

 

17

 

17

 

 

Financials

 

268

 

0

 

840

 

1,108

 

 

Industrials

 

0

 

0

 

410

 

410

 

Rights

 

Financials

 

0

 

0

 

23

 

23

 

Warrants

 

Financials

 

0

 

0

 

25

 

25

 

 

Information Technology

 

0

 

0

 

712

 

712

 

Preferred Securities

 

Financials

 

0

 

3,400

 

0

 

3,400

 

 

Industrials

 

0

 

0

 

524

 

524

 

Real Estate Investment Trusts

 

Real Estate

 

189

 

0

 

0

 

189

 

Short-Term Instruments

 

Repurchase Agreements

 

0

 

19,253

 

0

 

19,253

 

 

Argentina Treasury Bills

 

0

 

132

 

0

 

132

 

 

U.S. Treasury Bills

 

0

 

828

 

0

 

828

 

Total Investments

$

664

$

131,553

$

8,047

$

140,264

 

Short Sales, at Value - Liabilities

U.S. Government Agencies

$

0

$

(662)

$

0

$

(662)

 

Financial Derivative Instruments - Assets

Exchange-traded or centrally cleared

 

633

 

103

 

0

 

736

 

Over the counter

 

0

 

8,593

 

0

 

8,593

 

 

$

633

$

8,696

$

0

$

9,329

 

Financial Derivative Instruments - Liabilities

Exchange-traded or centrally cleared

 

(1,611)

 

(163)

 

0

 

(1,774)

 

Over the counter

 

0

 

(525)

 

0

 

(525)

 

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

March 31, 2023

(Unaudited)

 

 

$

(1,611)

$

(688)

$

0

$

(2,299)

 

Total Financial Derivative Instruments

$

(978)

$

8,008

$

0

$

7,030

 

Totals

$

(314)

$

138,899

$

8,047

$

146,632

 

 

 

 

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended March 31, 2023:

Category and Subcategory

Beginning
Balance
at 06/30/2022

Net
Purchases

Net
Sales/Settlements

Accrued
Discounts/
(Premiums)

Realized
Gain/(Loss)

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

Transfers into
Level 3

Transfers out
of Level 3

Ending
Balance
at 03/31/2023

Net Change in
Unrealized
Appreciation/
(Depreciation)
on Investments
Held at
03/31/2023 (1)

Investments in Securities, at Value

Loan Participations and Assignments

$

6,807

$

1,119

$

(183)

$

13

$

(10)

$

(141)

$

212

$

(3,817)

$

4,000

$

199

Corporate Bonds & Notes

 

Banking & Finance

 

1,226

 

0

 

(1,188)

 

0

 

88

 

(126)

 

0

 

0

 

0

 

0

 

Industrials

 

5,751

 

95

 

0

 

17

 

0

 

(460)

 

0

 

(5,403)

 

0

 

0

Asset-Backed Securities

 

3,532

 

0

 

(1,630)

 

0

 

(60)

 

(409)

 

0

 

0

 

1,433

 

(494)

Common Stocks

 

Consumer Discretionary

 

126

 

0

 

1

 

0

 

0

 

(64)

 

0

 

0

 

63

 

(64)

 

Energy

 

8

 

0

 

0

 

0

 

0

 

9

 

0

 

0

 

17

 

9

 

Financials

 

960

 

0

 

0

 

0

 

0

 

(120)

 

0

 

0

 

840

 

(120)

 

Industrials

 

372

 

20

 

0

 

0

 

0

 

18

 

0

 

0

 

410

 

19

 

Materials

 

23

 

0

 

(25)

 

0

 

25

 

(23)

 

0

 

0

 

0

 

0

Rights

 

Financials

 

17

 

0

 

0

 

0

 

0

 

6

 

0

 

0

 

23

 

6

Warrants

 

Financials

 

19

 

(1)

 

0

 

0

 

0

 

7

 

0

 

0

 

25

 

7

 

Industrials

 

72

 

0

 

(15)

 

0

 

15

 

(72)

 

0

 

0

 

0

 

0

 

Information Technology

 

1,120

 

0

 

0

 

0

 

0

 

(408)

 

0

 

0

 

712

 

(408)

Preferred Securities

 

Industrials

 

5,079

 

1

 

(5,229)

 

0

 

2,994

 

(2,321)

 

0

 

0

 

524

 

(160)

Totals

$

25,112

$

1,234

$

(8,269)

$

30

$

3,052

$

(4,104)

$

212

$

(9,220)

$

8,047

$

(1,006)


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 03/31/2023

Valuation Technique

Unobservable Inputs

 

Input Value(s)

Weighted Average

Investments in Securities, at Value

Loan Participations and Assignments

$

794

Discounted Cash Flow

Discount Rate

 

8.410

—

 

 

1,052

Indicative Market Quotation

Price

 

97.000

—

 

 

1,942

Proxy Pricing

Base Price

 

99.000

—

 

 

212

Third Party Vendor

Broker Quote

 

91.000

—

Asset-Backed Securities

 

1,433

Discounted Cash Flow

Discount Rate

 

10.000 - 13.500

11.706

Common Stocks

 

Consumer Discretionary

 

63

Adjusted Market Price

Adjustment Factor

 

10.000

—

 

Energy

 

17

Comparable Multiple

EBITDA Multiple

X

4.400

—

 

Financials

 

840

Indicative Market Quotation

Price

$

22.250

—

 

Industrials

 

290

Discounted Cash Flow

Discount Rate

 

13.960

—

 

 

 

80

Discounted Cash Flow/Comparable Multiple

Discount Rate/Revenue Multiple/EBITDA Multiple

%/X/X

10.000/0.550/6.000

—

 

 

 

40

Indicative Market Quotation

Broker Quote

$

3.000

—

Rights

 

Financials

 

23

Other Valuation Techniques(2)

-

 

-

—

Warrants

 

Financials

 

25

Other Valuation Techniques(2)

-

 

-

—

 

Information Technology

 

712

Comparable Multiple

EBITDA Multiple

X

4.500

—

Preferred Securities

 

Industrials

 

524

Discounted Cash Flow/Comparable Multiple

Discount Rate/Tbv Multiple

%/X

27.030/0.340

—

Total

$

8,047

(1)

Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at March 31, 2023 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.

 

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, the 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, the Fund may calculate its NAV as of the earlier closing time or calculate its NAV as of the NYSE Close for that day. The 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, the 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 the 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 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. 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.

 

 

Notes to Financial Statements (Cont.)

 

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

 

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

 

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 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 Consolidated 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 Consolidated 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 and non-U.S. bonds 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, 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 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, 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 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.

 

Notes to Financial Statements (Cont.)

 

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.

 

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.

 

Market comparable valuation estimates fair value by applying a valuation multiple to a key performance metric of the company, which may include unobservable inputs such as earnings before interest, taxes, depreciation and amortization (“EBITDA”), the PIMCO’s assumptions regarding comparable companies and non-public statements from the 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.

 

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, 2023, 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:
BOA Bank of America N.A. GLM Goldman Sachs Bank USA NXN Natixis New York
BPS BNP Paribas S.A. GST Goldman Sachs International RBC Royal Bank of Canada
BRC Barclays Bank PLC JML JP Morgan Securities Plc RDR RBC Capital Markets LLC
BYR The Bank of Nova Scotia - Toronto JPM JP Morgan Chase Bank N.A. SAL Citigroup Global Markets, Inc.
CBK Citibank N.A. JPS J.P. Morgan Securities LLC SCX Standard Chartered Bank, London
CDC Natixis Securities Americas LLC MBC HSBC Bank Plc SOG Societe Generale Paris
CDI Natixis Singapore MEI Merrill Lynch International TOR The Toronto-Dominion Bank
DBL Deutsche Bank AG London MYI Morgan Stanley & Co. International PLC UAG UBS AG Stamford
DUB Deutsche Bank AG NOM Nomura Securities International, Inc. ULO UBS AG London
FICC Fixed Income Clearing Corporation
 
Currency Abbreviations:
ARS Argentine Peso EUR Euro NOK Norwegian Krone
AUD Australian Dollar GBP British Pound PEN Peruvian New Sol
BRL Brazilian Real IDR Indonesian Rupiah TWD Taiwanese Dollar
CAD Canadian Dollar JPY Japanese Yen USD (or $) United States Dollar
CHF Swiss Franc MXN Mexican Peso ZAR South African Rand
 
Exchange Abbreviations:
CME Chicago Mercantile Exchange
 
Index/Spread Abbreviations:
ABX.HE Asset-Backed Securities Index - Home
Equity		 LIBOR03M 3 Month USD-LIBOR SOFR Secured Overnight Financing Rate
BADLARPP Argentina Badlar Floating Rate Notes NDDUEAFE MSCI EAFE Index SONIO Sterling Overnight Interbank Average Rate
EUR003M 3 Month EUR Swap Rate S&P 500 Standard & Poor's 500 Index US0003M ICE 3-Month USD LIBOR
LIBOR01M 1 Month USD-LIBOR
 
Other Abbreviations:
ABS Asset-Backed Security EBITDA Earnings before Interest, Taxes, Depreciation and
Amoritization		 PIK Payment-in-Kind
ALT Alternate Loan Trust EURIBOR Euro Interbank Offered Rate TBA To-Be-Announced
BRL-CDI Brazil Interbank Deposit Rate LIBOR London Interbank Offered Rate TBD To-Be-Determined
CDO Collateralized Debt Obligation Lunar Monthly payment based on 28-day periods.  One
year consists of 13 periods.		 TBD% Interest rate to be determined when loan
settles or at the time of funding
CLO Collateralized Loan Obligation OIS Overnight Index Swap TIIE Tasa de Interés Interbancaria de Equilibrio
"Equilibrium Interbank Interest Rate"
DAC Designated Activity Company