N-Q 1 a12-18079_1nq.htm N-Q

 

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

 

FORM N-Q

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act file number

811-22673

 

PIMCO Dynamic Income Fund

(Exact name of registrant as specified in charter)

 

1633 Broadway New York, New York

 

10019

(Address of principal executive offices)

 

(Zip code)

 

Lawrence G. Altadonna – 1633 Broadway New York, New York 10019

(Name and address of agent for service)

 

Registrant’s telephone number, including area code:

212-739-3371

 

 

Date of fiscal year end:

March 31, 2013

 

 

Date of reporting period:

June 30, 2012

 

 


 

Item 1. Schedule of Investments

 

PIMCO Dynamic Income Fund Schedule of Investments

June 30, 2012 (unaudited)

 

Principal

 

 

 

 

 

Amount

 

 

 

 

 

(000s)

 

 

 

Value*

 

MORTGAGE-BACKED SECURITIES—63.4%

 

 

 

£13,765

 

Alba PLC, 1.211%, 12/15/38, CMO (i)

 

$11,065,491

 

 

 

American Home Mortgage Investment Trust, CMO (i),

 

 

 

$11,329

 

0.545%, 9/25/45

 

6,840,957

 

9,739

 

0.845%, 2/25/44

 

2,479,619

 

 

 

Banc of America Funding Corp., CMO (i),

 

 

 

40,903

 

0.454%, 4/20/47

 

25,349,936

 

4,612

 

0.694%, 2/20/35

 

1,200,847

 

692

 

2.815%, 1/20/47

 

435,239

 

38,264

 

Banc of America Large Loan, Inc., 5.667%, 2/17/51, CMO (a)(b)(d)(i)(l)

 

 

 

 

 

(acquisition cost-$35,869,517; purchased 5/30/12)

 

36,118,017

 

 

 

Banc of America Mortgage Securities, Inc., CMO (i),

 

 

 

900

 

2.635%, 10/20/46

 

389,986

 

2,878

 

5.429%, 1/25/36

 

2,312,968

 

13,000

 

Banc of America Re-Remic Trust, 5.383%, 12/15/16, CMO (a)(b)(d)(l)

 

 

 

 

 

(acquisition cost-$12,181,406; purchased 5/30/12)

 

12,279,884

 

6,724

 

Chase Mortgage Finance Corp., 5.413%, 3/25/37, CMO (i)

 

5,107,269

 

 

 

Citigroup Mortgage Loan Trust, Inc., CMO (i),

 

 

 

2,151

 

2.53%, 3/25/36

 

1,756,843

 

12,347

 

5.019%, 9/25/37

 

7,845,884

 

 

 

Countrywide Alternative Loan Trust, CMO,

 

 

 

611

 

5.50%, 2/25/20

 

575,967

 

6,150

 

5.50%, 7/25/35

 

5,086,340

 

22,513

 

5.50%, 12/25/35

 

16,654,771

 

445

 

5.50%, 1/25/36

 

339,791

 

6,148

 

5.50%, 4/25/37

 

3,937,127

 

21,314

 

5.75%, 1/25/37

 

14,686,084

 

728

 

6.00%, 2/25/37

 

455,394

 

22,028

 

6.00%, 8/25/37

 

16,990,976

 

 

 

Countrywide Home Loan Mortgage Pass Through Trust, CMO,

 

 

 

291

 

5.50%, 11/25/35

 

273,385

 

29,888

 

5.64%, 6/25/47 (i)

 

24,934,230

 

974

 

6.00%, 7/25/37

 

731,435

 

12,881

 

6.00%, 8/25/37

 

10,873,064

 

 

 

Credit Suisse Mortgage Capital Certificates, CMO (i),

 

 

 

3,000

 

1.462%, 10/15/21 (a)(d)

 

2,449,089

 

12,950

 

5.593%, 2/15/39

 

12,537,918

 

10,000

 

5.692%, 4/16/49 (a)(b)(d)(l)

 

 

 

 

 

(acquisition cost-$10,015,040; purchased 6/22/12)

 

10,131,375

 

5,398

 

7.00%, 8/27/36, CMO (a)(b)(d)(l)

 

 

 

 

 

(acquisition cost-$3,508,497; purchased 6/25/12)

 

3,994,203

 

 

 

Diversity Funding Ltd., CMO (g)(i),

 

 

 

£11,459

 

1.779%, 2/10/46

 

14,277,640

 

£1,310

 

2.157%, 2/10/46

 

828,338

 

£1,193

 

2.629%, 2/10/46

 

436,785

 

£1,170

 

3.129%, 2/10/46

 

182,883

 

£702

 

4.379%, 2/10/46

 

108,270

 

£234

 

4.879%, 2/10/46 (b)

 

7,218

 

£247

 

4.979%, 2/10/46 (b)

 

3,826

 

€17,205

 

Fastnet Securities PLC, 0.623%, 8/10/43, CMO (i)

 

12,714,078

 

$1,716

 

First Horizon Asset Securities, Inc., 5.50%, 8/25/37, CMO

 

1,501,175

 

7,958

 

GMAC Commercial Mortgage Securities, Inc., 4.915%, 12/10/41, CMO

 

7,713,880

 

 


 

PIMCO Dynamic Income Fund Schedule of Investments

June 30, 2012 (unaudited) (continued)

 

Principal

 

 

 

 

 

Amount

 

 

 

 

 

(000s)

 

 

 

Value*

 

 

 

GSR Mortgage Loan Trust, CMO,

 

 

 

$103

 

2.828%, 11/25/35 (i)

 

$77,498

 

538

 

5.50%, 5/25/36

 

429,101

 

2,389

 

6.50%, 8/25/36 (i)

 

1,799,251

 

 

 

Harborview Mortgage Loan Trust, CMO (i),

 

 

 

6,043

 

0.483%, 3/19/36

 

3,128,064

 

3,768

 

1.144%, 6/20/35

 

761,826

 

621

 

Impac CMB Trust, 0.965%, 10/25/34, CMO (i)

 

401,179

 

193

 

Indymac INDA Mortgage Loan Trust, 5.501%, 3/25/37, CMO (i)

 

139,695

 

379

 

Indymac INDX Mortgage Loan Trust, 2.692%, 2/25/35, CMO (i)

 

285,873

 

 

 

JPMorgan Alternative Loan Trust, CMO,

 

 

 

62,535

 

0.445%, 6/25/37 (i)

 

27,385,513

 

10,000

 

5.96%, 12/25/36

 

6,338,650

 

5,000

 

6.31%, 8/25/36

 

3,096,608

 

76,560

 

JPMorgan Chase Commercial Mortgage Securities Corp.,

 

 

 

 

 

2.066%, 6/16/45, CMO, IO (b)(i)

 

8,863,910

 

 

 

JPMorgan Mortgage Trust, CMO (i),

 

 

 

14,965

 

2.999%, 6/25/37

 

10,321,038

 

11,041

 

5.678%, 4/25/37

 

9,149,604

 

3,154

 

5.875%, 10/25/36

 

2,669,264

 

 

 

LB-UBS Commercial Mortgage Trust, CMO (i),

 

 

 

303,762

 

0.225%, 2/15/40, IO (a)(d)

 

4,331,191

 

7,751

 

5.452%, 9/15/39

 

7,255,393

 

 

 

Lehman Mortgage Trust, CMO,

 

 

 

362

 

5.50%, 11/25/35

 

341,802

 

51,255

 

7.25%, 9/25/37

 

23,306,599

 

 

 

MASTR Adjustable Rate Mortgages Trust, CMO (i),

 

 

 

35,397

 

0.445%, 5/25/47

 

18,946,266

 

265

 

0.585%, 5/25/47

 

20,096

 

 

 

Nomura Asset Acceptance Corp., CMO,

 

 

 

1,221

 

5.82%, 3/25/47

 

1,080,855

 

19,938

 

6.138%, 3/25/47

 

17,647,859

 

38,017

 

6.347%, 3/25/47

 

33,644,546

 

 

 

RALI Trust, CMO,

 

 

 

35,343

 

0.435%, 5/25/37 (i)

 

20,696,937

 

1,916

 

6.00%, 8/25/35

 

1,617,175

 

11,199

 

6.00%, 8/25/36

 

7,430,100

 

2,253

 

6.055%, 1/25/36 (i)

 

1,309,285

 

26,338

 

7.00%, 10/25/37

 

17,797,688

 

6,284

 

Residential Asset Securitization Trust, 6.25%, 8/25/37, CMO

 

3,190,648

 

 

 

Residential Funding Mortgage Securities I Trust, CMO,

 

 

 

626

 

5.85%, 11/25/35

 

517,754

 

5,047

 

6.00%, 4/25/37

 

4,135,286

 

£2,722

 

Southern Pacific Securities PLC, 4.491%, 12/10/42, CMO (i)

 

3,646,009

 

 

 

TBW Mortgage Backed Pass Through Certificates, CMO,

 

 

 

$9,884

 

5.80%, 3/25/37

 

4,333,816

 

15,000

 

6.12%, 3/25/37

 

6,574,268

 

 

 

Thornburg Mortgage Securities Trust, CMO (e)(i),

 

 

 

19,017

 

0.455%, 6/25/47

 

17,863,368

 

30,052

 

0.465%, 6/25/47

 

27,628,243

 

 

 

WaMu Mortgage Pass Through Certificates, CMO (i),

 

 

 

22,170

 

0.525%, 11/25/45

 

16,128,221

 

 


 

PIMCO Dynamic Income Fund Schedule of Investments

June 30, 2012 (unaudited) (continued)

 

Principal

 

 

 

 

 

Amount

 

 

 

 

 

(000s)

 

 

 

Value*

 

$598

 

0.608%, 6/25/44

 

$420,858

 

32,422

 

0.968%, 7/25/47

 

20,168,672

 

986

 

1.038%, 10/25/46

 

621,412

 

3,842

 

1.138%, 7/25/46

 

2,529,707

 

119

 

1.147%, 2/25/46

 

91,926

 

12,602

 

5.32%, 3/25/37

 

10,466,258

 

906

 

5.366%, 2/25/37

 

797,193

 

10,990

 

Washington Mutual Alternative Mortgage Pass-Through Certificates,

 

 

 

 

 

6.00%, 4/25/37, CMO

 

8,300,439

 

 

 

Wells Fargo Mortgage Backed Securities Trust, CMO,

 

 

 

1,198

 

5.828%, 9/25/36 (i)

 

1,075,194

 

682

 

6.00%, 4/25/37

 

609,290

 

 

 

Total Mortgage-Backed Securities (cost—$627,385,958)

 

634,979,610

 

 

 

 

 

 

 

CORPORATE BONDS & NOTES—39.4%

 

 

 

Banking—5.4%

 

 

 

12,500

 

Banco do Brasil S.A., 5.875%, 1/19/23 (a)(b)(d)(k)(l)

 

 

 

 

 

(acquisition cost-$12,377,875; purchased 6/12/12)

 

12,750,000

 

€15,800

 

Cooperatieve Centrale Raiffeisen-Boerenleenbank BA, 6.875%, 3/19/20

 

19,555,000

 

$6,000

 

Intesa Sanpaolo SpA, 6.50%, 2/24/21 (a)(d)(k)

 

5,257,848

 

€15,800

 

LBG Capital No.2 PLC, 6.385%, 5/12/20

 

16,042,998

 

 

 

 

 

53,605,846

 

Building Products—1.6%

 

 

 

$5,000

 

Corp GEO SAB de C.V., 9.25%, 6/30/20 (a)(d)(k)

 

5,250,000

 

5,000

 

Desarrolladora Homex SAB de C.V., 9.75%, 3/25/20 (a)(d)(k)

 

5,275,000

 

5,000

 

Urbi Desarrollos Urbanos SAB de C.V., 9.75%, 2/3/22 (a)(d)(k)

 

5,287,500

 

 

 

 

 

15,812,500

 

Chemicals—2.6%

 

 

 

25,980

 

Ineos Finance PLC, 7.50%, 5/1/20 (a)(b)(d)(k)(l)

 

 

 

 

 

(acquisition cost-$25,625,550; purchased 5/31/12-6/26/12)

 

26,304,750

 

 

 

 

 

 

 

Construction & Engineering—0.8%

 

 

 

8,349

 

Alion Science and Technology Corp., 12.00%, 11/1/14, PIK (k)

 

7,868,647

 

 

 

 

 

 

 

Consumer Products—1.6%

 

 

 

 

 

Reynolds Group Issuer, Inc. (a)(d)(k),

 

 

 

6,000

 

6.875%, 2/15/21

 

6,270,000

 

9,000

 

7.875%, 8/15/19

 

9,787,500

 

 

 

 

 

16,057,500

 

Financial Services—14.5%

 

 

 

4,200

 

AGFC Capital Trust I, 6.00%, 1/15/67, (converts to FRN on 1/15/17) (a)(d)(k)

 

2,121,000

 

€7,100

 

Caisse Centrale du Credit Immobilier de France S.A., 4.00%, 1/12/18 (k)

 

8,443,821

 

$9,600

 

Cantor Fitzgerald L.P., 7.875%, 10/15/19 (a)(d)(k)

 

9,611,318

 

€13,700

 

Cedulas TDA 6 Fondo de Titulizacion de Activos, 4.25%, 4/10/31

 

9,275,268

 

 

 

Citigroup, Inc. (k),

 

 

 

€3,000

 

3.625%, 11/30/17, (converts to FRN on 11/30/12)

 

3,229,316

 

€6,000

 

4.75%, 2/10/19, (converts to FRN on 2/10/14)

 

6,624,197

 

 

 

Eksportfinans ASA (k),

 

 

 

$700

 

2.00%, 9/15/15

 

627,030

 

 


 

PIMCO Dynamic Income Fund Schedule of Investments

June 30, 2012 (unaudited) (continued)

 

Principal

 

 

 

 

 

Amount

 

 

 

 

 

(000s)

 

 

 

Value*

 

Financial Services (continued)

 

 

 

$1,700

 

5.50%, 5/25/16

 

$1,672,514

 

1,900

 

5.50%, 6/26/17

 

1,847,750

 

10,000

 

General Electric Capital Corp., 7.125%, 6/15/22 (h)

 

10,603,760

 

3,500

 

Lazard Group LLC, 6.85%, 6/15/17 (k)

 

3,846,889

 

36,500

 

Morgan Stanley, 7.30%, 5/13/19 (k)

 

39,503,549

 

 

 

Royal Bank of Scotland NV (i),

 

 

 

5,000

 

1.168%, 3/9/15

 

4,262,300

 

€5,446

 

1.413%, 6/8/15 (k)

 

5,789,203

 

€9,000

 

Royal Bank of Scotland PLC, 6.934%, 4/9/18

 

10,556,750

 

 

 

SLM Corp. (k),

 

 

 

$5,000

 

6.00%, 1/25/17

 

5,190,130

 

6,245

 

7.25%, 1/25/22

 

6,635,313

 

 

 

Societe Generale S.A. (k),

 

 

 

1,100

 

5.20%, 4/15/21

 

1,053,776

 

15,237

 

5.20%, 4/15/21 (a)(d)

 

14,596,711

 

 

 

 

 

145,490,595

 

Food—0.8%

 

 

 

2,500

 

BRF - Brasil Foods S.A., 5.875%, 6/6/22 (a)(b)(d)(l)

 

 

 

 

 

(acquisition cost-$2,482,658; purchased 6/1/12)

 

2,581,250

 

5,000

 

Minerva Luxembourg S.A., 12.25%, 2/10/22 (a)(b)(d)(k)(l)

 

 

 

 

 

(acquisition cost-$4,942,500; purchased 5/30/12-5/31/12)

 

5,225,000

 

 

 

 

 

7,806,250

 

Hotels/Gaming—0.4%

 

 

 

12,000

 

Buffalo Thunder Development Authority, 9.375%, 12/15/14 (a)(b)(d)(f)(l)(m)

 

 

 

 

 

(acquisition cost-$4,320,000; purchased 6/28/12)

 

4,380,000

 

 

 

 

 

 

 

Insurance—1.4%

 

 

 

£8,500

 

American International Group, Inc.,

 

 

 

 

 

8.625%, 5/22/68, (converts to FRN on 5/22/18) (k)

 

13,498,710

 

 

 

 

 

 

 

Oil & Gas—4.4%

 

 

 

$5,000

 

Afren PLC, 10.25%, 4/8/19

 

5,175,000

 

5,000

 

Alliance Oil Co., Ltd., 9.875%, 3/11/15 (k)

 

5,175,000

 

15,000

 

NGPL PipeCo LLC, 7.768%, 12/15/37 (a)(d)(k)

 

14,400,000

 

16,500

 

OGX Austria GmbH, 8.50%, 6/1/18 (a)(d)(k)

 

14,767,500

 

7,000

 

Petroleos de Venezuela S.A., 5.50%, 4/12/37

 

3,990,000

 

 

 

 

 

43,507,500

 

Oil, Gas & Consumable Fuels—0.5%

 

 

 

5,000

 

Mongolian Mining Corp., 8.875%, 3/29/17 (a)(d)(k)

 

5,025,000

 

 

 

 

 

 

 

Real Estate Investment Trust—0.5%

 

 

 

 

 

Country Garden Holdings Co., Ltd.,

 

 

 

1,000

 

11.125%, 2/23/18 (a)(d)

 

1,022,500

 

4,000

 

11.25%, 4/22/17 (b)

 

4,120,000

 

 

 

 

 

5,142,500

 

Retail—2.6%

 

 

 

£4,162

 

Punch Taverns Finance PLC, 6.82%, 7/15/20, (AMBAC) (k)

 

5,948,539

 

 


 

PIMCO Dynamic Income Fund Schedule of Investments

 

June 30, 2012 (unaudited) (continued)

 

 

Principal

 

 

 

 

 

Amount

 

 

 

 

 

(000s)

 

 

 

Value*

 

Retail (continued)

 

 

 

£10,265

 

Spirit Issuer PLC, 5.472%, 12/28/34, (AMBAC) (i)

 

$11,695,683

 

£6,800

 

Unique Pub Finance Co. PLC, 6.542%, 3/30/21

 

8,786,108

 

 

 

 

 

26,430,330

 

Technology—1.0%

 

 

 

 

 

First Data Corp. (a)(d)(k),

 

 

 

$5,000

 

7.375%, 6/15/19

 

5,125,000

 

5,000

 

8.75%, 1/15/22, PIK (b)(l)

 

 

 

 

 

(acquisition cost-$4,881,250; purchased 5/31/12)

 

5,062,500

 

 

 

 

 

10,187,500

 

Telecommunications—1.3%

 

 

 

8,500

 

Nokia Oyj, 5.375%, 5/15/19 (k)

 

6,702,811

 

7,000

 

VimpelCom Holdings BV, 7.504%, 3/1/22

 

6,593,580

 

 

 

 

 

13,296,391

 

 

 

Total Corporate Bonds & Notes (cost—$381,919,760)

 

394,414,019

 

 

 

 

 

 

 

ASSET-BACKED SECURITIES—10.6%

 

 

 

595

 

Bear Stearns Asset Backed Securities Trust, 2.665%, 10/25/36 (i)

 

313,646

 

 

 

Citigroup Mortgage Loan Trust, Inc.,

 

 

 

701

 

5.852%, 5/25/36

 

398,720

 

4,159

 

5.923%, 3/25/36

 

2,694,162

 

33,530

 

Conseco Finance Securitizations Corp., 8.20%, 5/1/31

 

26,972,056

 

 

 

Countrywide Asset-Backed Certificates (i),

 

 

 

15,000

 

0.415%, 6/25/47

 

7,904,310

 

6,259

 

0.445%, 4/25/36

 

4,392,509

 

40

 

1.045%, 3/25/33

 

31,578

 

2,405

 

1.625%, 12/25/32

 

1,377,602

 

1,621

 

4.915%, 2/25/36

 

1,375,233

 

2,952

 

5.348%, 7/25/36

 

2,322,682

 

15,105

 

EMC Mortgage Loan Trust, 0.715%, 4/25/42 (a)(b)(d)(i)(l)

 

 

 

 

 

(acquisition cost-$10,800,063; purchased 5/30/12)

 

10,860,921

 

5,313

 

GSAA Trust, 6.205%, 3/25/46

 

4,570,646

 

2,215

 

Indymac Home Equity Loan Asset-Backed Trust, 7.888%, 12/25/31

 

911,207

 

342

 

Long Beach Mortgage Loan Trust, 1.295%, 2/25/34 (i)

 

258,799

 

 

 

Oakwood Mortgage Investors, Inc. (i),

 

 

 

9,816

 

5.92%, 9/15/17

 

4,799,637

 

5,990

 

6.61%, 2/15/21

 

3,215,743

 

6,733

 

7.84%, 11/15/29

 

6,668,586

 

 

 

Popular ABS Mortgage Pass-Through Trust,

 

 

 

3,663

 

1.495%, 8/25/35 (i)

 

1,267,539

 

8,422

 

5.105%, 7/25/35

 

4,990,159

 

11,872

 

RAMP Trust, 1.22%, 4/25/34 (i)

 

7,406,109

 

11,381

 

RASC Trust, 0.405%, 6/25/36 (i)

 

7,972,441

 

49

 

Renaissance Home Equity Loan Trust, 0.745%, 12/25/33 (i)

 

41,579

 

2,807

 

Soundview Home Equity Loan Trust, 5.655%, 10/25/36

 

1,752,449

 

8,564

 

Structured Asset Securities Corp., 4.245%, 5/25/32 (i)

 

3,386,762

 

 

 

Total Asset-Backed Securities (cost—$105,884,183)

 

105,885,075

 

 


 

PIMCO Dynamic Income Fund Schedule of Investments

June 30, 2012 (unaudited) (continued)

 

Principal

 

 

 

 

 

Amount

 

 

 

 

 

(000s)

 

 

 

Value*

 

SENIOR LOANS (a)(c)—8.0%

 

 

 

Hotels/Gaming—1.5%

 

 

 

15,000

 

Stockbridge SBE Holdings LLC, 13.00%, 5/2/17, Term B (b)(l)
(acquisition cost—$14,765,000; purchased 5/30/12-6/12/12)

 

14,850,000

 

 

 

 

 

Financial Services—3.9%

 

 

 

 

 

RFC Borrower LLC (e),

 

 

 

$7,500

 

5.00%, 11/18/13

 

$7,516,410

 

6,000

 

6.75%, 11/18/13

 

6,045,000

 

27,000

 

Springleaf Finance Corp., 5.50%, 5/10/17

 

25,495,722

 

 

 

 

 

39,057,132

 

Food & Beverage—0.6%

 

 

 

6,000

 

Ferrara Pan Candy Co., 7.50%, 6/18/18 (e)

 

5,977,500

 

 

 

 

 

 

 

Telecommunications—2.0%

 

 

 

22,000

 

Univision Communications, Inc., 4.495%, 3/31/17

 

20,783,136

 

 

 

Total Senior Loans (cost—$79,195,759)

 

80,667,768

 

 

 

 

 

 

 

U.S. GOVERNMENT AGENCY SECURITIES—5.3%

 

 

 

 

 

Fannie Mae

 

 

 

32,996

 

5.675%, 7/25/41, CMO, IO (b)(i)

 

4,756,651

 

42,202

 

5.825%, 10/25/40, CMO, IO (b)(i)(k)

 

5,825,847

 

86,271

 

6.195%, 4/25/37, CMO, IO (b)(i)(k)

 

13,594,038

 

96,231

 

6.315%, 6/25/41, CMO, IO (b)(i)(k)

 

15,831,180

 

3,969

 

6.475%, 6/25/37, CMO, IO (b)(i)(k)

 

694,566

 

5,985

 

11.823%, 1/25/41, CMO (b)(i)(k)

 

8,304,381

 

 

 

 

 

49,006,663

 

 

 

Freddie Mac

 

 

 

8,592

 

6.228%, 7/15/36, CMO, IO (b)(i)(k)

 

1,551,830

 

2,884

 

13.834%, 9/15/41, CMO (b)(i)(k)

 

3,153,521

 

 

 

 

 

4,705,351

 

 

 

Total U.S. Government Agency Securities (cost—$53,766,669)

 

53,712,014

 

 

Shares

 

 

 

 

 

CONVERTIBLE PREFERRED STOCK—1.2%

 

 

 

Aerospace & Defense—0.4%

 

 

 

70,000

 

United Technologies Corp., 7.50%, 8/1/15

 

3,688,300

 

 

 

 

 

 

 

Electric Utilities—0.8%

 

 

 

151,700

 

PPL Corp., 8.75%, 5/1/14

 

8,111,399

 

 

 

Total Convertible Preferred Stock (cost—$11,480,278)

 

11,799,699

 

 

 

 

 

 

 

SHORT-TERM INVESTMENTS—8.5%

 

 

 

 

Principal

 

 

 

 

 

Amount

 

 

 

 

 

(000s)

 

 

 

 

 

U.S. Treasury Obligations (j)(k)(n)—2.7%

 

 

 

 

 

U.S. Treasury Bills,

 

 

 

$27,431

 

0.166%-0.207%, 4/4/13-6/27/13 (cost—$27,386,456)

 

27,383,889

 

 


 

PIMCO Dynamic Income Fund Schedule of Investments

June 30, 2012 (unaudited) (continued)

 

Principal

 

 

 

 

 

Amount

 

 

 

 

 

(000s)

 

 

 

Value*

 

Repurchase Agreements—5.8%

 

 

 

$54,900

 

Scotia Capital, Inc., dated 6/29/12, 0.20%, due 7/2/12, proceeds $54,900,915; collateralized by U.S. Treasury Notes, 0.50%, due 8/15/14, valued at $56,044,971 including accrued interest

 

$54,900,000

 

2,738

 

State Street Bank & Trust Co., dated 6/29/12, 0.01%, due 7/2/12, proceeds $2,738,002; collateralized by U.S. Treasury Notes, 2.00%, due 11/15/21, valued at $2,794,092 including accrued interest

 

2,738,000

 

 

 

Total Repurchase Agreements (cost—$57,638,000)

 

57,638,000

 

 

 

Total Short-Term Investments (cost—$85,024,456)

 

85,021,889

 

 

 

 

 

 

 

 

 

Total Investments (cost—$1,344,657,063) (o)—136.4%

 

1,366,480,074

 

 

 

Liabilities in excess of other assets—(36.4)%

 

(364,763,531

)

 

 

Net Assets—100%

 

$1,001,716,543

 

 


 

Notes to Schedule of Investments:

 

*                     Portfolio securities and other financial instruments for which market quotations are readily available are stated at market value. Market value is generally determined on the basis of last reported sales prices, or if no sales are reported, on the basis of quotes obtained from a quotation reporting system, established market makers, or independent pricing services.

 

Portfolio securities and other financial instruments for which market quotations are not readily available, or for which a development/event occurs that may significantly impact the value of a security, are fair-valued, in good faith, pursuant to procedures established by the Board of Trustees, or persons acting at their discretion pursuant to procedures established by the Board of Trustees, including certain fixed income securities which may be valued with reference to securities whose prices are more readily available. The Fund’s investments are valued daily using prices supplied by an independent pricing service or dealer quotations, or by using the last sale price on the exchange that is the primary market for such securities, or the mean between the last quoted bid and ask price. Independent pricing services use information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. Centrally cleared swaps are valued at the price determined by the relevant exchange. Securities purchased on a delayed-delivery basis are marked to market daily until settlement at the forward settlement date. Short-term securities maturing in 60 days or less are valued at amortized cost, if their original term to maturity was 60 days or less, or by amortizing their value on the 61st day prior to maturity, if the original term to maturity exceeded 60 days. Investments initially valued in currencies other than the U.S. dollar are converted to the U.S. dollar using exchange rates obtained from pricing services. As a result, the net asset value (“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 securities traded in markets outside the United States or denominated in currencies other than the U.S. dollar may be affected significantly on a day that the New York Stock Exchange (“NYSE”) is closed.

 

The prices used by the Fund to value securities may differ from the value that would be realized if the securities were sold, and these differences could be material. The Fund’s NAV is normally determined as of the close of regular trading (normally, 4:00 p.m. Eastern time) on the NYSE on each day the NYSE is open for business.

 

(a)              Private Placement—Restricted as to resale and may not have a readily available market. Securities with an aggregate value of $320,932,825, representing 32.0% of net assets.

 

(b)             Illiquid.

 

(c)              These securities generally pay interest at rates which are periodically pre-determined by reference to a base lending rate plus a premium. These base lending rates are generally either the lending rate offered by one or more major European banks, such as the “LIBOR” or the prime rate offered by one or more major United States banks, or the certificate of deposit rate. These securities are generally considered to be restricted as the Fund is ordinarily contractually obligated to receive approval from the agent bank and/or borrower prior to disposition. Remaining maturities of senior loans may be less than the stated maturities shown as a result of contractual or optional payments by the borrower. Such prepayments cannot be predicted with certainty. The interest rate disclosed reflects the rate in effect on June 30, 2012.

 

(d)             144A—Exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, typically only to qualified institutional buyers. Unless otherwise indicated, these securities are not considered to be illiquid.

 

(e)              Delayed-delivery. To be delivered after June 30, 2012.

 

(f)                In default.

 

(g)             Fair-Valued—Securities with an aggregate value of $15,844,960, representing 1.6% of net assets.

 

(h)             Perpetual maturity. The date shown is the next call date. For Corporate Bonds & Notes, the interest rate is fixed until the first call date and variable thereafter.

 

(i)                 Variable or Floating Rate Security — Security with an interest rate that changes periodically. The interest rate disclosed reflects the rate in effect on June 30, 2012.

 

(j)                 All or partial amount segregated for the benefit of the counterparty as collateral for derivatives.

 

(k)              All or partial amount transferred for the benefit of the counterparty as collateral for reverse repurchase agreements.

 

(l)                 Restricted. The aggregate acquisition cost of such securities is $141,769,356. The aggregate market value is $144,537,900, representing 14.4% of net assets.

 

(m)           Security is subject to a forbearance agreement entered into by the Fund which forbears the Fund from taking action to, among other things, accelerate and collect payments on the subject note with respect to specified events of default.

 

(n)             Rates reflect the effective yields at purchase date.

 

(o)             At June 30, 2012, the cost basis of portfolio securities for federal income tax purposes was $1,344,657,063. Gross unrealized appreciation was $30,432,288, gross unrealized depreciation was $8,609,277 and net unrealized appreciation was $21,823,011.

 

Glossary:

ABS—Asset-Backed Securities

AMBAC—insured by American Municipal Bond Assurance Corp.

£—British Pound

CMO—Collateralized Mortgage Obligation

€—Euro

FRN—Floating Rate Note.

IO—Interest Only

LIBOR—London Inter-Bank Offered Rate

PIK—Payment-in-Kind

 


 

Other Investments:

 

(a) Credit default swap agreements outstanding at June 30, 2012:

Sell protection swap agreements (1):

 

OTC swap agreements:

 

 

 

 

 

 

 

 

 

 

 

 

 

Upfront

 

Unrealized

 

Swap Counterparty/

 

Notional Amount

 

Credit

 

Termination

 

Payments

 

Market

 

Premiums

 

Appreciation

 

Referenced Debt Issuer

 

(000s) (3)

 

Spread (2)

 

Date

 

Received

 

Value (4)

 

Paid(Received)

 

(Depreciation)

 

Bank of America:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Markit CMBX.NA Index

 

$20,000

 

 

†

2/17/51

 

0.96

%

$(7,980,433

)

$(8,696,875

)

$716,442

 

Nokia Oyj

 

€2,000

 

10.39

%

6/20/17

 

5.00

%

(462,411

)

(250,220

)

(212,191

)

Credit Suisse First Boston:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Nokia Oyj

 

€3,000

 

10.39

%

6/20/17

 

5.00

%

(693,616

)

(568,125

)

(125,491

)

Nokia Oyj

 

€2,000

 

10.45

%

9/20/17

 

5.00

%

(480,162

)

(431,885

)

(48,277

)

HSBC Bank:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Dow Jones CDX. EM-17 Index

 

$25,000

 

2.85

%

6/20/17

 

5.00

%

2,468,148

 

1,762,500

 

705,648

 

Morgan Stanley:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

J.C. Penney Corp., Inc.

 

5,000

 

7.24

%

6/20/17

 

5.00

%

(433,920

)

(400,000

)

(33,920

)

J.C. Penney Corp., Inc.

 

5,000

 

7.38

%

9/20/17

 

5.00

%

(476,138

)

(412,500

)

(63,638

)

Markit CMBX.NA Index

 

15,000

 

 

†

12/13/49

 

1.47

%

(5,733,212

)

(6,056,250

)

323,038

 

 

 

 

 

 

 

 

 

 

 

$(13,791,744

)

$(15,053,355

)

$1,261,611

 

 

Centrally cleared swap agreements:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Broker (Exchange)/

 

Notional Amount

 

Credit

 

Termination

 

Payments

 

Market

 

Unrealized

 

Referenced Debt Issuer

 

(000s) (3)

 

Spread (2)

 

Date

 

Made

 

Value (4)

 

Appreciation

 

Credit Suisse First Boston (CME):

 

 

 

 

 

 

 

 

 

 

 

 

 

Dow Jones CDX HY-18 5-Year Index

 

$232,650

 

5.92

%

6/20/17

 

5.00

%

$(7,973,110

)

$7,752,422

 

 

CDX—Credit Derivatives Index

CMBX—Commercial Mortgage Backed Securities Index

CME—Chicago Mercantile Exchange

OTC—Over-the-Counter

 

At June 30, 2012, the Fund pledged cash collateral of $14,593,000 for centrally cleared swaps agreements.

 

† Credit spread not quoted for asset-backed securities.

 

(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 or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

 

(2) Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements as of period end serve as an indicator 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) This represents the maximum potential amount the Fund could be required to make available 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 quoted market prices and resulting values for credit default swap agreements serve as an indicator of the status at June 30, 2012 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 been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced 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.

 

(b)  Forward foreign currency contracts outstanding at June 30, 2012:

 

 

 

 

 

 

 

 

 

Unrealized

 

 

 

 

 

U.S.$ Value on

 

U.S.$ Value

 

Appreciation

 

 

 

Counterparty

 

Origination Date

 

June 30, 2012

 

(Depreciation)

 

Purchased:

 

 

 

 

 

 

 

 

 

7,500,000 British Pound settling 9/12/12

 

Barclays Bank

 

$11,621,175

 

$11,743,935

 

$122,760

 

3,200,000 British Pound settling 9/12/12

 

Citigroup

 

5,005,378

 

5,010,746

 

5,368

 

141,000 British Pound settling 9/12/12

 

Credit Suisse

 

220,373

 

220,786

 

413

 

195,000 British Pound settling 9/12/12

 

JPMorgan Chase

 

303,270

 

305,342

 

2,072

 

4,477,000 Euro settling 9/14/12

 

Barclays Bank

 

5,568,938

 

5,669,555

 

100,617

 

13,100,000 Euro settling 9/14/12

 

Citigroup

 

16,378,447

 

16,589,495

 

211,048

 

548,000 Euro settling 9/14/12

 

JPMorgan Chase

 

688,552

 

693,973

 

5,421

 

Sold:

 

 

 

 

 

 

 

 

 

19,238,000 British Pound settling 9/12/12

 

Barclays Bank

 

29,943,229

 

30,123,976

 

(180,747

)

26,177,000 British Pound settling 9/12/12

 

JPMorgan Chase

 

40,461,841

 

40,989,464

 

(527,623

)

10,140,000 Euro settling 9/14/12

 

Barclays Bank

 

12,695,341

 

12,841,029

 

(145,688

)

43,081,000 Euro settling 9/14/12

 

Citigroup

 

53,811,230

 

54,556,644

 

(745,414

)

6,751,000 Euro settling 9/14/12

 

Credit Suisse

 

8,583,087

 

8,549,289

 

33,798

 

2,735,000 Euro settling 9/14/12

 

HSBC Bank

 

3,448,589

 

3,463,532

 

(14,943

)

3,819,000 Euro settling 9/14/12

 

JPMorgan Chase

 

4,811,424

 

4,836,281

 

(24,857

)

4,799,000 Euro settling 9/14/12

 

UBS

 

6,006,901

 

6,077,327

 

(70,426

)

 

 

 

 

 

 

 

 

$(1,228,201

)

 

At June 30, 2012, the Fund held $2,895,000 in cash as collateral for derivative contracts. Cash collateral held may be invested in accordance with the Fund’s investment strategy.

 

 


 

(c) Open reverse repurchase agreements at June 30, 2012:

 

Counterparty

 

Rate

 

Trade Date

 

Due Date

 

Principal & Interest

 

Principal

 

Barclays Bank

 

0.38

%

6/27/12

 

9/27/12

 

$7,743,998

 

$7,743,671

 

 

 

0.46

%

6/27/12

 

12/27/12

 

9,006,334

 

9,005,873

 

 

 

0.60

%

6/28/12

 

7/27/12

 

11,490,574

 

11,490,000

 

 

 

0.65

%

6/28/12

 

7/27/12

 

5,746,312

 

5,746,000

 

 

 

0.65

%

6/29/12

 

7/30/12

 

5,446,083

 

5,445,886

 

 

 

0.75

%

6/27/12

 

7/20/12

 

8,848,737

 

8,848,000

 

 

 

0.80

%

6/25/12

 

9/24/12

 

27,508,667

 

27,505,000

 

 

 

0.80

%

6/26/12

 

10/1/12

 

34,096,788

 

34,093,000

 

 

 

1.00

%

6/27/12

 

7/27/12

 

5,028,557

 

5,027,999

 

Citigroup

 

0.85

%

6/28/12

 

7/12/12

 

39,509,798

 

39,507,000

 

Credit Suisse First Boston

 

0.80

%

6/29/12

 

7/30/12

 

11,781,895

 

11,781,372

 

Deutsche Bank

 

(0.50

)%

6/29/12

 

6/28/14

 

5,072,859

 

5,073,000

 

 

 

0.00

%

6/26/12

 

6/25/14

 

8,940,000

 

8,940,000

 

 

 

0.60

%

6/27/12

 

7/26/12

 

3,624,242

 

3,624,000

 

 

 

0.65

%

6/28/12

 

9/28/12

 

4,396,238

 

4,396,000

 

 

 

0.80

%

6/25/12

 

9/28/12

 

13,811,841

 

13,810,000

 

 

 

0.80

%

6/26/12

 

9/28/12

 

21,605,401

 

21,603,000

 

UBS

 

0.50

%

6/22/12

 

9/18/12

 

18,688,336

 

18,686,000

 

 

 

0.65

%

6/22/12

 

12/21/12

 

28,966,706

 

28,962,000

 

 

 

0.70

%

6/22/12

 

12/21/12

 

13,460,356

 

13,458,000

 

 

 

 

 

 

 

 

 

 

 

$284,745,801

 

 

The weighted average daily balance of reverse repurchase agreements outstanding during the period May 25, 2012* through June 30, 2012 was $166,806,521 at a weighted average interest rate of 0.79%. The total market value of underlying collateral (refer to the Schedule of Investments for positions transferred for the benefit of the counterparty as collateral) for open reverse repurchase agreements at June 30, 2012 was $320,476,743.

 

At June 30, 2012, the Fund held $510,000 in cash as collateral for reverse repurchase agreements. Cash collateral held may be invested in accordance with the Fund’s investment strategy.

 

* Commencement of operations.

 


 

Fair Value Measurements

 

Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability (i.e. the “exit price”) in an orderly transaction between market participants. The three levels of the fair value hierarchy are described below:

 

·                  Level 1 — quoted prices in active markets for identical investments that the Fund has the ability to access

·                  Level 2 — valuations based on other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) or quotes from inactive exchanges

·                  Level 3 — valuations based on significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

 

An investment asset’s or liability’s level within the fair value hierarchy is based on the lowest level input, individually or in the aggregate, that is significant to fair value measurement. The objective of fair value measurement remains the same even when there is a significant decrease in the volume and level of activity for an asset or liability and regardless of the valuation technique used.

 

The valuation techniques used by the Fund to measure fair value during the three months ended June 30, 2012 maximized the use of observable inputs and minimized the use of unobservable inputs. When fair-valuing securities, the Fund utilized option adjusted spread pricing techniques.

 

The inputs or methodology used for valuing securities is not necessarily an indication of the risk associated with investing in those securities. The following are certain inputs and techniques that the Fund generally uses to evaluate how to classify each major category of assets and liabilities for Level 2 and Level 3, in accordance with Generally Accepted Accounting Principles.

 

Equity Securities (Common and Preferred Stock) — Equity securities traded in inactive markets are valued using inputs which include broker-dealer quotes, recently executed transactions adjusted for changes in the benchmark index, or evaluated price quotes received from independent pricing services that take into account the integrity of the market sector and issuer, the individual characteristics of the security, and information received from broker-dealers and other market sources pertaining to the issuer or security. To the extent that these inputs are observable, the values of equity securities are categorized as Level 2 to the extent that these inputs are unobservable the values are categorized as Level 3.

 

U.S. Treasury Obligations — U.S. Treasury obligations are valued by independent pricing services based on pricing models that evaluate the mean between the most recently quoted bid and ask price. The models also take into consideration data received from active market makers and broker-dealers, yield curves, and the spread over comparable U.S. Treasury issues. The spreads change daily in response to market conditions and are generally obtained from the new issue market and broker-dealer sources. To the extent that these inputs are observable, the values of U.S. Treasury obligations are categorized as Level 2 to the extent that these inputs are unobservable the values are categorized as Level 3.

 

Government Sponsored Enterprise and Mortgage-Backed Securities — Government sponsored enterprise and mortgage-backed securities are valued by independent pricing services using pricing models based on inputs that include issuer type, coupon, cash flows, mortgage prepayment projection tables and Adjustable Rate Mortgage evaluations that incorporate index data, periodic and life caps, the next coupon reset date, and the convertibility of the bond. To the extent that these inputs are observable, the values of Government sponsored enterprise and mortgage-backed securities are categorized as Level 2 to the extent that these inputs are unobservable the values are categorized as Level 3.

 

Corporate Bonds & Notes — Corporate bonds & notes are generally comprised of two main categories: investment grade bonds and high yield bonds. Investment grade bonds are valued by independent pricing services using various inputs and techniques, which include broker-dealer quotations, live trading levels, recently executed transactions in securities of the issuer or comparable issuers, and option adjusted spread models that include base curve and spread curve inputs. Adjustments to individual bonds can be applied to recognize trading differences compared to other bonds issued by the same issuer. High yield bonds are valued by independent pricing services based primarily on broker-dealer quotations from relevant market makers and recently executed transactions in securities of the issuer or comparable issuers. The broker-dealer quotations received are supported by credit analysis of the issuer that takes into consideration credit quality assessments, daily trading activity, and the activity of the underlying equities, listed bonds and sector-specific trends. To the extent that these inputs are observable, the values of corporate bonds & notes are categorized as Level 2 to the extent that these inputs are unobservable the values are categorized as Level 3.

 

Asset-Backed Securities and Collateralized Mortgage Obligations — Asset-backed securities and collateralized mortgage obligations are valued by independent pricing services using pricing models based on a security’s average life volatility. The models also take into account tranche characteristics such as coupon average life, collateral types, ratings, the issuer and tranche type, underlying collateral and performance of the collateral, and discount margin for certain floating rate issues. To the extent that these inputs are observable, the values of asset-backed securities and collateralized mortgage obligations are categorized as Level 2 to the extent that these inputs are unobservable the values are categorized as Level 3.

 

Forward Foreign Currency Contracts — Forward foreign currency contracts are valued by independent pricing services using various inputs and techniques, which include broker-dealer quotations, actual trading information and foreign currency exchange rates gathered from leading market makers and foreign currency exchange trading centers throughout the world. To the extent that these inputs are observable, the values of forward foreign currency contracts are categorized as Level 2 to the extent that these inputs are unobservable the values are categorized as Level 3.

 

Credit Default Swaps — OTC credit default swaps are valued by independent pricing services using pricing models that take into account, among other factors, information received from market makers and broker-dealers, default probabilities from index specific credit spread curves, recovery rates, and cash flows. Centrally cleared swaps are valued at the price determined by the relevant exchange. To the extent that these inputs are observable, the values of OTC credit default swaps are categorized as Level 2 to the extent that these inputs are unobservable the values are categorized as Level 3.

 

Senior Loans — Senior Loans are valued by independent pricing services based on the average of quoted prices received from multiple dealers or valued relative to other benchmark securities when broker-dealer quotes are unavailable. To the extent that these inputs are observable, the values of Senior Loans are categorized as Level 2 to the extent that these inputs are unobservable the values are categorized as Level 3.

 


 

The Fund’s policy is to recognize transfers between levels at the end of the reporting period.

 

A summary of the inputs used at June 30, 2012 in valuing the Fund’s assets and liabilities is listed below (refer to the Schedule of Investments and Other Investments for more detailed information on Investments in Securities and Other Financial Instruments):

 

 

 

 

 

Level 2 -

 

Level 3 -

 

 

 

 

 

 

 

Other Significant

 

Significant

 

 

 

 

 

Level 1 -

 

Observable

 

Unobservable

 

Value at

 

 

 

Quoted Prices

 

Inputs

 

Inputs

 

6/30/12

 

Investments in Securities - Assets

 

 

 

 

 

 

 

 

 

Mortgage-Backed Securities

 

$3,478,788

 

$615,655,862

 

$15,844,960

 

$634,979,610

 

Corporate Bonds & Notes

 

—

 

394,414,019

 

—

 

394,414,019

 

Asset-Backed Securities

 

911,207

 

104,973,868

 

—

 

105,885,075

 

Senior Loans

 

—

 

65,817,768

 

14,850,000

 

80,667,768

 

U.S. Government Agency Securities

 

—

 

53,712,014

 

—

 

53,712,014

 

Convertible Preferred Stock

 

11,799,699

 

—

 

—

 

11,799,699

 

Short-Term Investments

 

—

 

85,021,889

 

—

 

85,021,889

 

Total Investments in Securities - Assets

 

$16,189,694

 

$1,319,595,420

 

$30,694,960

 

$1,366,480,074

 

 

 

 

 

 

 

 

 

 

 

Other Financial Instruments* - Assets

 

 

 

 

 

 

 

 

 

Credit Contracts

 

—

 

$9,497,550

 

—

 

$9,497,550

 

Foreign Exchange Contracts

 

—

 

481,497

 

—

 

481,497

 

Total Other Financial Instruments* - Assets

 

—

 

$9,979,047

 

—

 

$9,979,047

 

 

 

 

 

 

 

 

 

 

 

Other Financial Instruments* - Liabilities

 

 

 

 

 

 

 

 

 

Credit Contracts

 

—

 

$(483,517

)

—

 

$(483,517

)

Foreign Exchange Contracts

 

—

 

(1,709,698

)

—

 

(1,709,698

)

Total Other Financial Instruments* - Liabilities

 

—

 

$(2,193,215

)

—

 

$(2,193,215

)

Total Investments

 

$16,189,694

 

$1,327,381,252

 

$30,694,960

 

$1,374,265,906

 

 

*Other financial instruments are derivatives not reflected in the Schedule of Investments, such as swap agreements and forward foreign currency contracts, which are valued at the unrealized appreciation (depreciation) of the instrument.

 

A roll forward of fair value measurements using significant unobservable inputs (Level 3) for the three months ended June 30, 2012, was as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Change

 

 

 

 

 

 

 

 

 

Beginning

 

 

 

 

 

Accrued

 

Net

 

in Unrealized

 

Transfers

 

Transfers

 

Ending

 

 

 

Balance

 

 

 

 

 

Discounts

 

Realized

 

Appreciation/

 

into

 

out of

 

Balance

 

 

 

5/25/12*

 

Purchases

 

Sales

 

(Premiums)

 

Gain (Loss)

 

Depreciation

 

Level 3

 

Level 3

 

6/30/12

 

Investments in Securities - Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Mortgage-Backed Securities

 

—

 

$15,924,847

 

—

 

$14,680

 

—

 

$(94,567

)

—

 

—

 

$15,844,960

 

Senior Loans

 

—

 

14,765,000

 

—

 

1,308

 

—

 

83,692

 

—

 

—

 

14,850,000

 

Total Investments

 

—

 

$30,689,847

 

—

 

$15,988

 

—

 

$(10,875

)

—

 

—

 

$30,694,960

 

 

The net change in unrealized appreciation/depreciation of Level 3 investments which the Fund held at June 30, 2012 was $(10,875).

 

* Commencement of operations.

 


 

Item 2. Controls and Procedures

 

(a) The registrant’s President & Chief Executive Officer and Treasurer, Principal Financial & Accounting Officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR270.3a-3(c))), are effective based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this document.

 

(b) There were no significant changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR270.30a-3(d))) that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

Item 3. Exhibits

 

(a) Exhibit 99.302 Cert. — Certification pursuant to Section 302 of the Sarbanes-Oxley Act of 2002

 


 

SIGNATURES

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

Registrant: PIMCO Dynamic Income Fund

 

 

 

 

By

/s/ Brian S. Shlissel

 

President & Chief Executive Officer

 

 

 

Date: August 21, 2012

 

 

 

 

By

/s/ Lawrence G. Altadonna

 

Treasurer, Principal Financial & Accounting Officer

 

 

 

 

Date: August 21, 2012

 

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By

/s/ Brian S. Shlissel

 

President & Chief Executive Officer

 

 

 

 

Date: August 21, 2012

 

 

 

 

By

/s/ Lawrence G. Altadonna

 

Treasurer, Principal Financial & Accounting Officer

 

 

 

 

Date: August 21, 2012