NPORT-EX 2 dynamicincomestrategyfund.htm PIMCO DYNAMIC INCOME STRATEGY FUND PIMCO Dynamic Income Strategy Fund

Consolidated Schedule of Investments PIMCO Dynamic Income Strategy Fund

March 31, 2026 (Unaudited)

 

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

 

 

PRINCIPAL
AMOUNT
(000s)

 

MARKET
VALUE
(000s)

INVESTMENTS IN SECURITIES 116.9% ¤

 

 

 

 

LOAN PARTICIPATIONS AND ASSIGNMENTS 16.0%

 

 

 

 

Aligned Data Centers International LP
7.223% due 12/18/2029 «~

$

8,000

$

8,052

Altice France SA

 

 

 

 

8.891% (EUR003M + 6.875%) due 05/30/2031 ~

EUR

76

 

88

10.547% (TSFR3M + 6.875%) due 05/31/2031 ~

$

455

 

456

Apro LLC
7.426% (TSFR1M + 3.750%) due 07/09/2031 ~

 

4,923

 

4,944

Aspire Bakeries Holdings LLC

 

 

 

 

TBD% (TSFR1M + 3.000%) due 12/23/2030 «~

 

990

 

993

BDO USA PC

 

 

 

 

8.166% (TSFR3M + 4.500%) due 08/31/2028 «~

 

340

 

336

8.640% (TSFR3M + 5.000%) due 08/31/2028 «~

 

4,422

 

4,416

Comexposium

 

 

 

 

TBD% (EUR012M + 0.000%) due 07/10/2031 «~

EUR

1,025

 

1,445

TBD% - 1.138% (EUR012M + 0.000%) due 10/16/2031 «~

 

565

 

796

Coreweave Compute Acquisition Co. IV LLC
9.669% - 9.700% (TSFR3M + 6.000%) due 05/16/2029 «~

$

3,144

 

3,240

Cotiviti Corp.
6.418% (TSFR1M + 2.750%) due 05/01/2031 ~

 

2,940

 

2,716

Crescent Midstream Operating LLC
7.416% due 02/18/2033 ~

 

100

 

101

Databricks, Inc.

 

 

 

 

1.000% due 01/05/2032 ~µ

 

1,069

 

1,064

8.171% (TSFR1M + 4.500%) due 01/05/2032 ~

 

4,831

 

4,807

Dun & Bradstreet Corp.

 

 

 

 

0.500% - 5.500% due 08/26/2032 «~µ

 

227

 

227

0.500% - 5.500% (TSFR1M + 5.500%) due 08/26/2032 «~

 

2,267

 

2,223

Galaxy U.S. Opco, Inc.
12.667% (TSFR3M + 5.250%) due 07/31/2030 ~

 

2,040

 

1,770

Gateway Casinos & Entertainment Ltd.
9.936% (TSFR3M + 6.250%) due 12/18/2030 ~

 

2,619

 

2,626

GFL Environmental, Inc.
6.166% (TSFR3M + 2.500%) due 03/03/2032 ~

 

2,687

 

2,690

Golden State Food LLC
7.200% (TSFR3M + 3.500%) due 12/04/2031 ~

 

3,950

 

3,960

Harbor Freight Tools USA, Inc.
5.918% (TSFR1M + 2.250%) due 06/11/2031 ~

 

3,200

 

3,172

Harp Finco Ltd.
8.727% due 03/27/2032 «~

GBP

3,865

 

5,153

Illuminate Buyer LLC
6.168% (TSFR1M + 2.500%) due 12/31/2029 ~

$

3,259

 

3,240

Ineos U.S. Finance LLC

 

 

 

 

6.668% (TSFR1M + 3.000%) due 02/07/2031 ~

 

344

 

297

6.918% (TSFR1M + 3.250%) due 02/18/2030 ~

 

2,832

 

2,484

Iridium Satellite LLC
5.918% (TSFR1M + 2.250%) due 09/20/2030 ~

 

4,500

 

4,412

ITT Holdings LLC

 

 

 

 

TBD% (TSFR1M + 1.975%) due 10/11/2030 ~

 

968

 

966

Lakeshore Intermediate LLC
7.461% (TSFR3M + 3.500%) due 09/29/2028 ~

 

3,580

 

2,855

LC AHAB U.S. Bidco LLC
6.168% (TSFR1M + 2.500%) due 05/01/2031 ~

 

7,895

 

7,831

LifePoint Health, Inc.
7.422% (TSFR3M + 3.750%) due 05/19/2031 ~

 

6,583

 

6,593

MI Windows & Doors LLC
6.418% (TSFR1M + 2.750%) due 03/28/2031 ~

 

2,456

 

2,271

Newfold Digital Holdings Group, Inc.

 

 

 

 

7.269% - 9.442% (TSFR1M + 3.500%) due 04/30/2029 ~

 

1,850

 

1,224

7.269% - 9.442% (TSFR3M + 5.750%) due 04/30/2029 «~

 

283

 

215

Nscale AS
TBD% - 8.700% (TSFR3M + 5.000%) due 08/11/2032 «~µ

 

3,000

 

3,000

Ontario Gaming GTA LP
7.950% (TSFR3M + 4.250%) due 08/01/2030 ~

 

1,496

 

1,406

Paradigm Parent LLC
8.200% (TSFR3M + 4.500%) due 04/16/2032 ~

 

1,095

 

908

Pelican Pipeline LLC
TBD% due 03/25/2033 «

 

2,300

 

2,304

Peraton Corp.
7.517% (TSFR3M + 3.750%) due 02/01/2028 ~

 

2,738

 

2,343

Phoenix Guarantor, Inc.
6.168% (TSFR1M + 2.500%) due 02/21/2031 ~

 

3,930

 

3,936

Poseidon Bidco SASU
7.504% (EUR006M + 5.000%) due 03/13/2030 ~

EUR

4,700

 

1,630

Consolidated Schedule of Investments PIMCO Dynamic Income Strategy Fund (Cont.)

March 31, 2026 (Unaudited)

 

Promotora de Informaciones SA
7.499% (EUR003M + 5.470%) due 12/31/2029 «~

 

3,198

 

3,613

QuidelOrtho Corp.
7.668% (TSFR1M + 4.000%) due 08/20/2032 ~

$

3,383

 

3,383

RealTruck Group, Inc.
8.934% (TSFR3M + 5.000%) due 01/31/2028 ~

 

3,275

 

2,273

Resilience Parent LLC
6.100% (TSFR6M + 2.500%) due 02/28/2033 ~

 

3,000

 

2,988

Salas O'brien, Inc.

 

 

 

 

TBD% due 01/31/2033 «~µ

 

331

 

331

TBD% (TSFR1M + 2.750%) due 01/31/2033 «~

 

2,569

 

2,569

SCUR-Alpha 1503 GmbH
9.167% (TSFR3M + 5.500%) due 03/29/2030 ~

 

1,965

 

1,729

Softbank Vision Fund II
7.350% (TSFR3M + 3.650%) due 04/25/2029 «~

 

913

 

928

Spruce Bidco II, Inc.

 

 

 

 

0.500% - 8.371% (TSFR6M + 4.750%) due 01/30/2032 «~µ

 

458

 

457

0.500% - 8.371% (JY0003M + 5.000%) due 01/30/2032 «~

JPY

39,167

 

245

0.500% - 8.371% (CDOR06 + 4.750%) due 01/30/2032 «~

CAD

365

 

261

0.500% - 8.371% (TSFR6M + 4.750%) due 01/30/2032 «~

$

2,018

 

2,002

Star Parent, Inc.
7.700% (TSFR3M + 4.000%) due 09/27/2030 ~

 

4,912

 

4,864

Steenbok Lux Finco 2 SARL
1TBD% due 12/31/2028 ~

EUR

8,599

 

3,046

Stonepeak Nile Parent LLC
5.917% (TSFR3M + 2.250%) due 04/09/2032 ~

$

2,095

 

2,094

Subcalidora 2
7.877% (EUR003M + 5.750%) due 08/14/2029 «~

EUR

3,338

 

3,771

Syniverse Holdings, Inc.
10.700% (TSFR3M + 7.000%) due 05/13/2027 «~

$

5,479

 

5,075

Tidal Waste & Recycling Holdings LLC
6.450% (TSFR3M + 2.750%) due 10/24/2031 ~

 

2,871

 

2,878

Truist Insurance Holdings LLC
6.450% (TSFR3M + 2.750%) due 05/06/2031 ~

 

3,700

 

3,657

U.S. Renal Care, Inc.
8.782% (TSFR1M + 5.000%) due 06/28/2028 ~

 

7,389

 

6,979

Unicorn Bay
13.000% due 12/31/2026 «~

HKD

20,863

 

2,694

Varsity Brands, Inc.
6.450% (TSFR3M + 2.750%) due 08/26/2031 ~

$

6,253

 

6,234

VistaJet Malta Finance PLC
7.406% - 7.411% (TSFR3M + 3.750%) due 04/01/2031 ~

 

5,940

 

5,889

Total Loan Participations and Assignments (Cost $180,657)

 

 

 

171,150

CORPORATE BONDS & NOTES 23.9%

 

 

 

 

BANKING & FINANCE 3.4%

 

 

 

 

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

 

3,200

 

3,169

Burford Capital Global Finance LLC
9.250% due 07/01/2031 (i)

 

3,800

 

3,434

Charles River Re Ltd.
11.172% (BNMMDTSC + 7.632%) due 05/10/2031 ~

 

1,900

 

1,956

Credit Opportunities Partners LLC
6.740% due 03/20/2030 «(h)

 

300

 

295

FS KKR Capital Corp.
3.125% due 10/12/2028 (i)

 

3,200

 

2,923

Hudson Pacific Properties LP
5.950% due 02/15/2028

 

2,800

 

2,659

Integrity Re Ltd.

 

 

 

 

20.744% (FHMMUSTF + 17.234%) due 06/08/2026 ~

 

650

 

669

26.306% (FHMMUSTF + 22.796%) due 06/08/2026 ~

 

650

 

675

Kona Spc Ltd.
5.718% due 09/15/2026 «•

EUR

1,000

 

1,164

Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.
7.000% due 07/15/2031 (i)

$

2,800

 

2,896

New Immo Holding SA
5.875% due 04/17/2028

EUR

1,700

 

1,971

Panama Infrastructure Receivable Purchaser PLC
0.000% due 04/05/2032 (f)

$

7,598

 

5,950

Sixth Street Lending Partners
6.125% due 07/15/2030 (i)

 

3,300

 

3,283

Starwood Property Trust, Inc.
7.250% due 04/01/2029 (i)

 

2,700

 

2,783

Thames Ssnm Unfunded Comm
9.750% due 10/10/2027

GBP

530

 

674

Winston RE Ltd.

 

 

 

 

13.750% (BNMMDTSC + 10.210%) due 02/26/2031 ~

$

1,000

 

1,040

Consolidated Schedule of Investments PIMCO Dynamic Income Strategy Fund (Cont.)

March 31, 2026 (Unaudited)

 

15.230% (BNMMDTSC + 11.690%) due 02/26/2031 ~

 

1,000

 

1,044

 

 

 

 

36,585

INDUSTRIALS 15.7%

 

 

 

 

Advance Auto Parts, Inc.
7.375% due 08/01/2033

 

2,900

 

2,940

Altice France SA
6.875% due 07/15/2032

 

505

 

479

B&G Foods, Inc.
8.000% due 09/15/2028

 

3,200

 

3,155

BCP V Modular Services Finance II PLC
6.500% due 07/10/2031

EUR

1,450

 

1,434

Beignet Investor LLC
6.581% due 05/30/2049 (i)

$

13,790

 

14,189

BKV Upstream Midstream LLC
7.500% due 10/15/2030

 

3,000

 

3,034

CAB SELAS
3.375% due 02/01/2028

EUR

2,900

 

3,259

Carvana Co.
9.000% due 06/01/2031

$

3,600

 

3,895

Cerdia Finanz GmbH
9.375% due 10/03/2031

 

2,800

 

2,787

Champion Iron Canada, Inc.
7.875% due 07/15/2032 (i)

 

6,000

 

6,237

Cheplapharm Arzneimittel GmbH

 

 

 

 

7.125% due 06/15/2031

EUR

600

 

696

7.500% due 05/15/2030

 

3,000

 

3,503

Chord Energy Corp.

 

 

 

 

6.000% due 10/01/2030

$

500

 

507

6.750% due 03/15/2033

 

1,400

 

1,446

Clydesdale Acquisition Holdings, Inc.
8.750% due 04/15/2030 (i)

 

5,100

 

4,763

Columbus McKinnon Corp.
7.125% due 02/01/2033

 

3,000

 

3,001

CoreWeave, Inc.
9.000% due 02/01/2031

 

1,300

 

1,239

Dcli Bidco LLC
7.750% due 11/15/2029 (i)

 

3,300

 

3,340

Diamond Foreign Asset Co./Diamond Finance LLC
8.500% due 10/01/2030

 

2,970

 

3,139

Diversified Gas & Oil Corp.
9.750% due 04/09/2029

 

2,625

 

2,644

Excelerate Energy LP
8.000% due 05/15/2030 (i)

 

4,500

 

4,713

Flora Food Management BV

 

 

 

 

6.875% due 07/02/2029

EUR

4,700

 

5,106

7.500% due 10/31/2030

 

700

 

802

Global Partners LP/GLP Finance Corp.
7.125% due 07/01/2033

$

2,000

 

2,018

Gray Media, Inc.

 

 

 

 

9.625% due 07/15/2032

 

600

 

600

10.500% due 07/15/2029 (i)

 

2,230

 

2,371

Insulet Corp.
6.500% due 04/01/2033 (i)

 

4,700

 

4,801

JetBlue Airways Corp./JetBlue Loyalty LP
9.875% due 09/20/2031 (i)

 

5,200

 

4,921

Kodiak Gas Services LLC
5.875% due 04/01/2031

 

100

 

101

Kraken Oil & Gas Partners LLC
7.625% due 08/15/2029 (i)

 

2,525

 

2,580

LBM Acquisition LLC
6.250% due 01/15/2029

 

5,400

 

3,953

Matador Resources Co.
6.250% due 04/15/2033 (i)

 

4,000

 

4,006

MPH Acquisition Holdings LLC
5.750% due 12/31/2030

 

3,300

 

2,528

National Mentor Holdings, Inc.
10.500% due 12/15/2030

 

2,550

 

2,634

NCR Voyix Corp.
5.250% due 10/01/2030

 

3,484

 

3,301

Newfold Digital Holdings Group, Inc.
7.269% due 04/30/2029

 

3,768

 

2,711

Nexstar Media, Inc.
6.500% due 09/15/2033

 

500

 

504

OAK-Eagle Acquireco, Inc.
7.250% due 07/01/2033 (c)

 

400

 

415

Olympus Water U.S. Holding Corp.
6.750% due 08/01/2032

 

3,300

 

3,146

Ontario Gaming GTA LP/OTG Co-Issuer, Inc.
8.000% due 08/01/2030

 

218

 

209

Quikrete Holdings, Inc.
6.375% due 03/01/2032

 

2,000

 

2,029

Rand Parent LLC
8.500% due 02/15/2030 (i)

 

4,600

 

4,726

Consolidated Schedule of Investments PIMCO Dynamic Income Strategy Fund (Cont.)

March 31, 2026 (Unaudited)

 

Seadrill Finance Ltd.
8.375% due 08/01/2030

 

4,475

 

4,631

SM Energy Co.

 

 

 

 

7.000% due 08/01/2032 (i)

 

3,000

 

3,066

9.625% due 06/15/2033

 

2,000

 

2,211

Thames Water Super Senior Issuer PLC
9.750% due 10/10/2027

GBP

2,286

 

3,308

Transocean International Ltd.

 

 

 

 

7.875% due 10/15/2032

$

1,963

 

2,099

8.250% due 05/15/2029

 

2,500

 

2,585

Ubisoft Entertainment SA
0.878% due 11/24/2027 (i)

EUR

800

 

747

Univision Communications, Inc.
8.500% due 07/31/2031

$

2,800

 

2,816

Valaris Ltd.
8.375% due 04/30/2030 (i)

 

6,650

 

6,894

Vmed O2 U.K. Financing I PLC
7.750% due 04/15/2032 (i)

 

8,000

 

7,678

Voyager Parent LLC
9.250% due 07/01/2032

 

2,500

 

2,597

WBI Operating LLC
6.250% due 10/15/2030

 

2,000

 

2,013

Weatherford International Ltd.
6.750% due 10/15/2033 (i)

 

3,600

 

3,681

 

 

 

 

168,188

UTILITIES 4.8%

 

 

 

 

Altice Holdings 1 SARL
0.000% due 12/31/2099 «

EUR

4

 

52

Anglian Water Osprey Financing PLC
2.000% due 07/31/2028 (i)

GBP

2,300

 

2,792

Anglian Water Services Financing PLC
6.000% due 06/20/2039 (i)

 

2,100

 

2,598

EnfraGen Energia Sur SA/EnfraGen Spain SA/Prime Energia SpA
5.375% due 12/30/2030

$

3,000

 

2,735

EnfraGen Energia Sur SAU/EnfraGen Chile SpA/EnfraGen Spain SAU
8.499% due 06/30/2032

 

2,000

 

2,021

Genesis Energy LP/Genesis Energy Finance Corp.
6.750% due 03/15/2034

 

400

 

398

Mong Duong Finance Holdings BV
5.125% due 05/07/2029

 

1,912

 

1,882

Nova Securitisation SARL

 

 

 

 

5.750% due 02/03/2031

 

1,900

 

1,841

6.500% due 02/03/2036

 

700

 

667

PacifiCorp
7.375% due 09/15/2055 •(i)

 

3,500

 

3,347

Peru LNG SRL
5.375% due 03/22/2030

 

5,534

 

5,376

Sempra

 

 

 

 

6.375% due 04/01/2056 •(i)

 

2,600

 

2,612

6.400% due 10/01/2054 •

 

3,100

 

3,091

Sierra Pacific Power Co.
6.200% due 12/15/2055 •

 

3,200

 

3,115

SW Finance I PLC

 

 

 

 

2.375% due 05/28/2028

GBP

2,500

 

3,079

7.375% due 12/12/2041

 

2,200

 

2,887

VoltaGrid LLC
7.375% due 11/01/2030

$

2,700

 

2,790

WEC Energy Group, Inc.
6.690% due 06/15/2055 «(h)

 

8,000

 

7,919

Yinson Production Financial Services Pte. Ltd.
9.625% due 05/03/2029

 

2,800

 

2,929

 

 

 

 

52,131

Total Corporate Bonds & Notes (Cost $259,422)

 

 

 

256,904

MUNICIPAL BONDS & NOTES 0.0%

 

 

 

 

MICHIGAN 0.0%

 

 

 

 

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

 

497

 

383

Total Municipal Bonds & Notes (Cost $400)

 

 

 

383

U.S. GOVERNMENT AGENCIES 2.6%

 

 

 

 

Federal Home Loan Mortgage Corp. Seasoned Credit Risk Transfer Trust

 

 

 

 

0.000% due 08/25/2056 (b)(f)

 

3,174

 

517

0.075% due 08/25/2056 ~(a)

 

121,069

 

507

1.560% due 08/25/2056 ~(a)

 

31,292

 

3,782

2.694% due 05/25/2064 ~

 

10,345

 

5,168

3.429% due 05/25/2057 ~

 

4,898

 

2,109

3.551% due 10/25/2058 ~

 

17,284

 

7,873

4.417% due 08/25/2059 ~

 

12,059

 

6,427

4.654% due 02/25/2059 ~

 

2,493

 

1,046

Consolidated Schedule of Investments PIMCO Dynamic Income Strategy Fund (Cont.)

March 31, 2026 (Unaudited)

 

5.118% due 05/25/2060 ~

 

587

 

342

Total U.S. Government Agencies (Cost $26,221)

 

 

 

27,771

U.S. TREASURY OBLIGATIONS 0.1%

 

 

 

 

U.S. Treasury Bonds

 

 

 

 

4.875% due 08/15/2045

 

499

 

498

U.S. Treasury Notes

 

 

 

 

4.250% due 08/15/2035

 

760

 

757

Total U.S. Treasury Obligations (Cost $1,291)

 

 

 

1,255

NON-AGENCY MORTGAGE-BACKED SECURITIES 9.1%

 

 

 

 

Angel Oak Mortgage Trust
4.800% due 11/25/2067 þ(i)

 

784

 

781

APS Resecuritization Trust
1.245% due 08/28/2054 ~

 

6,487

 

1,697

Bear Stearns ALT-A Trust
4.047% due 08/25/2036 ~

 

1,093

 

714

Benchmark Mortgage Trust

 

 

 

 

4.077% due 07/15/2051

 

196

 

195

4.203% due 10/10/2051

 

464

 

462

BX Commercial Mortgage Trust
6.713% due 01/17/2039 •(i)

 

2,952

 

2,948

ChaseFlex Trust Multi-Class Mortgage Pass-Through Certificates

 

 

 

 

4.204% due 08/25/2037 þ

 

1,421

 

1,209

4.253% due 08/25/2037 •

 

974

 

812

4.453% due 08/25/2037 •

 

2,226

 

1,873

Citigroup Mortgage Loan Trust, Inc.

 

 

 

 

3.000% due 09/25/2064 ~

 

1,856

 

1,834

3.000% due 09/25/2064 ~(i)

 

16,643

 

14,858

City of Port Huron Water Supply System Revenue
7.750% due 11/01/2045 «(h)

 

9,929

 

9,912

CLNY Trust

 

 

 

 

5.512% due 11/15/2038 •

 

3,115

 

3,077

6.755% due 11/15/2038 •(i)

 

2,500

 

2,357

Countrywide Alternative Loan Trust

 

 

 

 

4.893% due 02/25/2036 •

 

1,401

 

1,069

6.000% due 07/25/2037

 

962

 

547

CSAB Mortgage-Backed Trust
6.220% due 09/25/2036 þ

 

2,683

 

715

CSMC Trust

 

 

 

 

1.115% due 01/25/2060 ~

 

2,328

 

1,971

3.613% due 11/10/2032 ~

 

5,200

 

836

GCAT Trust
4.250% due 05/25/2067 ~(i)

 

804

 

759

GS Mortgage Securities Corp. Trust
4.920% due 07/15/2035 •

 

998

 

659

GS Mortgage-Backed Securities Trust
3.750% due 10/25/2057 (i)

 

1,752

 

1,721

HarborView Mortgage Loan Trust
4.311% due 03/19/2036 •(i)

 

18,808

 

12,075

JP Morgan Chase Commercial Mortgage Securities Trust

 

 

 

 

4.519% due 04/15/2037 •

 

939

 

930

5.320% due 11/15/2035 •

 

5,000

 

3,794

5.670% due 11/15/2035 •

 

5,000

 

2,849

6.970% due 02/15/2035 •(i)

 

987

 

944

Lehman XS Trust
4.593% due 09/25/2047 •

 

1,716

 

1,560

MASTR Adjustable Rate Mortgages Trust

 

 

 

 

4.659% due 12/25/2046 •

 

4,467

 

3,475

4.893% due 09/25/2037 •

 

732

 

279

MFA Trust
6.105% due 12/25/2068 þ(i)

 

536

 

539

Mill City Mortgage Loan Trust

 

 

 

 

3.250% due 08/25/2059 ~(i)

 

2,850

 

2,458

3.750% due 05/25/2058 ~(i)

 

2,595

 

2,300

Morgan Stanley Mortgage Loan Trust
6.731% due 08/25/2036 þ

 

2,533

 

407

Nomura Asset Acceptance Corp. Alternative Loan Trust
7.010% due 08/25/2036 þ

 

7,786

 

1,982

OBX Trust
6.465% due 10/25/2063 þ(i)

 

527

 

531

PRKCM Trust
7.225% due 11/25/2058 þ(i)

 

513

 

518

PRPM LLC
4.000% due 11/25/2053 þ(i)

 

310

 

306

PRPM Trust
6.221% due 11/25/2068 þ(i)

 

584

 

588

RALI Trust

 

 

 

 

6.000% due 09/25/2036

 

2,115

 

1,722

6.500% due 11/25/2036

 

3,955

 

3,297

Residential Asset Securitization Trust

 

 

 

 

5.500% due 09/25/2035

 

5,284

 

2,166

6.000% due 04/25/2036

 

998

 

421

Consolidated Schedule of Investments PIMCO Dynamic Income Strategy Fund (Cont.)

March 31, 2026 (Unaudited)

 

Seasoned Credit Risk Transfer Trust
5.000% due 06/25/2065 ~

 

500

 

423

SMRT Commercial Mortgage Trust
4.673% due 01/15/2039 •(i)

 

500

 

500

Towd Point Mortgage Trust
3.000% due 06/25/2058 ~(i)

 

1,460

 

1,384

Verus Securitization Trust

 

 

 

 

6.259% due 12/25/2068 þ(i)

 

445

 

448

6.876% due 11/25/2068 ~(i)

 

612

 

617

Total Non-Agency Mortgage-Backed Securities (Cost $102,036)

 

 

 

97,519

ASSET-BACKED SECURITIES 25.5%

 

 

 

 

AUTOMOBILE ABS OTHER 0.1%

 

 

 

 

FHF Trust
7.050% due 01/15/2030

 

500

 

500

CMBS OTHER 1.0%

 

 

 

 

BDS LLC
4.959% due 10/17/2042 •

 

500

 

499

MF1 LLC

 

 

 

 

5.000% due 02/18/2040 •

 

500

 

499

5.410% due 03/19/2039 •(i)

 

9,000

 

9,004

PFP Ltd.
5.501% due 09/17/2039 •(i)

 

218

 

218

 

 

 

 

10,220

HOME EQUITY OTHER 21.4%

 

 

 

 

Aames Mortgage Investment Trust
6.493% due 01/25/2035 •(i)

 

3,500

 

2,853

ACE Securities Corp. Home Equity Loan Trust

 

 

 

 

4.093% due 07/25/2037 •

 

2,034

 

625

4.193% due 12/25/2036 •(i)

 

17,012

 

4,243

4.553% due 03/25/2037 •

 

1,496

 

611

Bear Stearns Asset-Backed Securities I Trust

 

 

 

 

4.198% due 01/25/2037 •(i)

 

22,798

 

22,240

4.303% due 10/25/2036 •(i)

 

3,264

 

3,191

4.558% due 09/25/2035 •(i)

 

17,007

 

16,709

Centex Home Equity Loan Trust

 

 

 

 

4.348% due 06/25/2036 •(i)

 

17,000

 

15,501

4.723% due 09/25/2034 •

 

387

 

383

CIT Mortgage Loan Trust
5.543% due 10/25/2037 •(i)

 

56,686

 

56,551

Citigroup Mortgage Loan Trust Asset-Backed Pass-Through Certificates
5.413% due 10/25/2034 •

 

1,894

 

1,546

Citigroup Mortgage Loan Trust, Inc.
3.993% due 12/25/2036 •

 

2,447

 

1,711

Countrywide Asset-Backed Certificates Trust

 

 

 

 

3.370% due 04/25/2036 •(i)

 

7,200

 

6,130

5.993% due 02/25/2036 þ

 

480

 

465

GSAA Home Equity Trust

 

 

 

 

3.873% due 03/25/2037 •

 

8,371

 

1,452

3.972% due 03/25/2036 ~(i)

 

4,699

 

2,787

4.153% due 12/25/2046 •(i)

 

12,358

 

3,482

4.253% due 12/25/2046 •

 

2,111

 

807

4.273% due 10/25/2036 •(i)

 

12,318

 

3,763

GSAA Trust

 

 

 

 

4.413% due 12/25/2035 •(i)

 

3,829

 

3,775

4.513% due 12/25/2035 •

 

734

 

660

GSAMP Trust

 

 

 

 

4.113% due 04/25/2036 •(i)

 

12,508

 

9,438

4.363% due 02/25/2036 •(i)

 

9,045

 

9,628

Home Equity Asset Trust
4.273% due 08/25/2036 •(i)

 

3,403

 

3,489

HSI Asset Securitization Corp. Trust
3.993% due 04/25/2037 •

 

102

 

65

JP Morgan Mortgage Acquisition Trust

 

 

 

 

4.053% due 12/25/2036 •(i)

 

4,990

 

3,172

4.153% due 08/25/2036 •

 

3,325

 

2,186

5.188% due 07/25/2036 •(i)

 

5,000

 

4,452

6.037% due 10/25/2036 þ

 

1,893

 

1,116

6.080% due 08/25/2036 þ

 

1,121

 

652

Long Beach Mortgage Loan Trust
4.293% due 07/25/2036 •

 

1,605

 

657

Merrill Lynch First Franklin Mortgage Loan Trust
4.053% due 06/25/2037 •

 

1,390

 

1,391

Merrill Lynch Mortgage Investors Trust
5.668% due 04/25/2035 •(i)

 

1,043

 

1,056

Morgan Stanley ABS Capital I, Inc. Trust

 

 

 

 

3.913% due 09/25/2036 •

 

764

 

263

5.668% due 11/25/2034 •

 

1,741

 

1,538

New Century Home Equity Loan Trust
4.873% due 01/25/2034 •

 

353

 

359

Consolidated Schedule of Investments PIMCO Dynamic Income Strategy Fund (Cont.)

March 31, 2026 (Unaudited)

 

NovaStar Mortgage Funding Trust
4.293% due 09/25/2036 •

 

4,519

 

1,743

Park Place Securities, Inc. Asset-Backed Pass-Through Certificates
4.753% due 08/25/2035 •(i)

 

5,619

 

5,010

Popular ABS Mortgage Pass-Through Trust
4.073% due 01/25/2037 •(i)

 

11,355

 

10,161

Renaissance Home Equity Loan Trust
4.553% due 05/25/2034 •

 

1,154

 

1,066

Residential Asset Securities Corporation Trust

 

 

 

 

4.588% due 02/25/2036 •(i)

 

4,100

 

3,436

4.918% due 07/25/2035 •

 

1,750

 

1,758

Saxon Asset Securities Trust
3.973% due 05/25/2037 •

 

477

 

355

Securitized Asset-Backed Receivables LLC Trust

 

 

 

 

2.801% due 01/25/2036 þ

 

18

 

15

4.233% due 04/25/2037 •

 

1,442

 

983

Soundview Home Loan Trust

 

 

 

 

3.973% due 08/25/2037 •

 

1,032

 

1,022

4.273% due 11/25/2036 •

 

7,080

 

1,872

4.293% due 11/25/2036 •

 

233

 

224

Structured Asset Securities Corp. Mortgage Loan Trust

 

 

 

 

4.468% due 04/25/2035 •

 

92

 

94

4.498% due 02/25/2035 •

 

1,083

 

1,036

5.593% due 05/25/2035 •

 

1,004

 

872

6.043% due 04/25/2031 •(i)

 

2,772

 

2,904

7.168% due 11/25/2035 •(i)

 

7,389

 

6,648

Wells Fargo Home Equity Asset-Backed Securities Trust
8.293% due 10/25/2034 •

 

1,569

 

1,660

 

 

 

 

229,806

WHOLE LOAN COLLATERAL 1.6%

 

 

 

 

First Franklin Mortgage Loan Trust

 

 

 

 

4.033% due 10/25/2036 •(i)

 

10,723

 

6,861

4.273% due 05/25/2036 •

 

1,500

 

1,337

6.118% due 05/25/2034 •

 

199

 

182

Residential Asset Mortgage Products Trust
4.393% due 03/25/2036 •

 

219

 

218

Securitized Asset-Backed Receivables LLC Trust
4.173% due 11/25/2036 •

 

19,797

 

8,902

 

 

 

 

17,500

OTHER ABS 1.4%

 

 

 

 

ABSLT DE LLC
12.175% due 05/20/2033 «

 

2,900

 

2,852

Apex Credit CLO LLC
0.000% due 10/20/2034 ~

 

5,100

 

1,656

College Avenue Student Loans Trust

 

 

 

 

0.000% due 06/25/2054 «(f)

 

5

 

2,740

6.610% due 06/25/2054

 

626

 

649

8.660% due 06/25/2054

 

902

 

953

Dryden 123 CLO Ltd.

 

 

 

 

0.000% due 04/15/2038 ~

 

3,000

 

2,288

0.000% due 04/15/2038 «

 

3,000

 

66

Residential Asset Mortgage Products Trust
5.951% due 01/25/2034 •(i)

 

3,607

 

3,882

 

 

 

 

15,086

Total Asset-Backed Securities (Cost $270,875)

 

 

 

273,112

SOVEREIGN ISSUES 0.6%

 

 

 

 

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

 

1,120

 

1,085

Colombia Government International Bonds
8.000% due 11/14/2035

 

1,481

 

1,554

Romania Government International Bonds
5.625% due 02/22/2036 (i)

EUR

2,500

 

2,776

Turkiye Government Bonds

 

 

 

 

39.740% (BISTREFI) due 05/20/2026 ~

TRY

46,200

 

1,040

39.740% (BISTREFI) due 05/17/2028 ~

 

4,500

 

101

Total Sovereign Issues (Cost $6,817)

 

 

 

6,556

 

 

SHARES

 

 

COMMON STOCKS 18.7%

 

 

 

 

COMMUNICATION SERVICES 0.1%

 

 

 

 

SES SA «(d)

 

21,303

 

319

ENERGY 18.6%

 

 

 

 

Enbridge, Inc.

 

566,422

 

30,705

Consolidated Schedule of Investments PIMCO Dynamic Income Strategy Fund (Cont.)

March 31, 2026 (Unaudited)

 

Hess Midstream LP Class A

 

132,828

 

5,163

TC Energy Corp.

 

317,900

 

19,907

Venture Global, Inc. Class A

 

9,138,622

 

144,025

 

 

 

 

199,800

Total Common Stocks (Cost $49,502)

 

 

 

200,119

MASTER LIMITED PARTNERSHIPS 16.4%

 

 

 

 

ENERGY 16.4%

 

 

 

 

Energy Transfer LP

 

2,652,966

 

51,202

Enterprise Products Partners LP

 

1,003,325

 

37,966

MPLX LP

 

829,136

 

47,319

Western Midstream Partners LP

 

443,487

 

18,258

Sunoco LP

 

328,315

 

21,331

Total Master Limited Partnerships (Cost $123,143)

 

 

 

176,076

PREFERRED SECURITIES 3.4%

 

 

 

 

BANKING & FINANCE 0.6%

 

 

 

 

WAFC Voussoir «

 

6,277,217

 

6,277

INDUSTRIALS 2.8%

 

 

 

 

Mustang Express Ltd.
0.000% «

 

29,700

 

30,331

Total Preferred Securities (Cost $36,468)

 

 

 

36,608

SHORT-TERM INSTRUMENTS 0.6%

 

 

 

 

MUTUAL FUNDS 0.1%

 

 

 

 

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

3.720% (g)

 

1,076,626

 

1,077

 

 

PRINCIPAL
AMOUNT
(000s)

 

 

U.S. TREASURY BILLS 0.5%

 

 

 

 

3.694% due 04/21/2026 - 09/24/2026 (e)(f)

$

5,089

 

5,060

Total Short-Term Instruments (Cost $6,137)

 

 

 

6,137

Total Investments in Securities (Cost $1,062,969)

 

 

 

1,253,590

 

 

SHARES

 

 

INVESTMENTS IN AFFILIATES 13.4%

 

 

 

 

SHORT-TERM INSTRUMENTS 13.4%

 

 

 

 

CENTRAL FUNDS USED FOR CASH MANAGEMENT PURPOSES 13.4%

 

 

 

 

PIMCO Short-Term Floating NAV Portfolio III

 

14,747,145

 

143,622

Total Short-Term Instruments (Cost $143,584)

 

 

 

143,622

Total Investments in Affiliates (Cost $143,584)

 

 

 

143,622

Total Investments 130.3% (Cost $1,206,553)

 

 

$

1,397,212

Financial Derivative Instruments (j)(k) 0.8%(Cost or Premiums, net $75)

 

 

 

8,281

Other Assets and Liabilities, net (31.1)%

 

 

 

(332,905)

Net Assets Applicable to Common Shareholders 100.0%

 

 

$

1,072,588

Consolidated Schedule of Investments PIMCO Dynamic Income Strategy Fund (Cont.)

March 31, 2026 (Unaudited)

 

 

NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:

 

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

 

¤

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

«

Security valued using significant unobservable inputs (Level 3).

µ

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

~

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

•

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

þ

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

(a)

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

(b)

Principal only security.

(c)

When-issued security.

(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 7-Day Yield.

(h)

RESTRICTED SECURITIES:

Issuer Description

Coupon

Maturity
Date

Acquisition
Date

 

Cost

 

Market
Value

Market Value
as Percentage
of Net Assets

City of Port Huron Water Supply System Revenue

7.750

%

11/01/2045

12/19/2025 - 03/18/2026

$

9,965

$

9,912

0.92

%

Credit Opportunities Partners LLC

6.740

 

03/20/2030

2/20/2025

 

300

 

295

0.03

 

WEC Energy Group, Inc.

6.690

 

06/15/2055

12/13/2024

 

8,000

 

7,919

0.74

 

 

 

 

 

$

18,265

$

18,126

1.69 %

BORROWINGS AND OTHER FINANCING TRANSACTIONS

REVERSE REPURCHASE AGREEMENTS:

Counterparty

Borrowing Rate(1)

Settlement Date

Maturity Date

 

Amount
Borrowed(1)

 

Payable for
Reverse
Repurchase
Agreements

BOS

3.490%

03/25/2026

06/12/2026

$

(1,819)

$

(1,820)

BPS

(0.500)

01/26/2026

TBD(2)

EUR

(513)

 

(593)

BRC

3.580

12/12/2025

TBD(2)

$

(2,428)

 

(2,454)

BYR

3.950

12/12/2025

TBD(2)

 

(3,045)

 

(3,082)

CEW

3.978

01/16/2026

TBD(2)

GBP

(4,082)

 

(5,448)

 

4.120

02/26/2026

05/27/2026

$

(13,854)

 

(13,908)

DBL

3.900

12/12/2025

TBD(2)

 

(3,468)

 

(3,509)

 

4.137

03/23/2026

06/26/2026

 

(449)

 

(449)

IND

4.110

03/17/2026

06/16/2026

 

(3,476)

 

(3,482)

 

4.220

03/02/2026

06/01/2026

 

(18,093)

 

(18,156)

 

4.230

03/23/2026

05/26/2026

 

(286)

 

(286)

 

4.280

03/23/2026

05/26/2026

 

(954)

 

(956)

MBC

2.120

11/19/2025

TBD(2)

EUR

(2,449)

 

(2,853)

MSB

4.580

03/31/2026

09/30/2026

$

(16,734)

 

(16,736)

 

4.680

03/13/2026

09/09/2026

 

(2,235)

 

(2,241)

 

4.680

03/18/2026

07/16/2026

 

(2,413)

 

(2,418)

MSC

4.580

03/31/2026

09/30/2026

 

(35,727)

 

(35,731)

 

4.680

10/23/2025

04/21/2026

 

(13,083)

 

(13,366)

 

4.680

03/13/2026

09/09/2026

 

(7,620)

 

(7,639)

RDR

4.000

01/15/2026

TBD(2)

 

(8,586)

 

(8,659)

 

4.100

01/15/2026

TBD(2)

 

(9,204)

 

(9,283)

 

4.100

01/16/2026

TBD(2)

 

(7,808)

 

(7,875)

 

4.100

02/26/2026

TBD(2)

 

(2,803)

 

(2,813)

RTA

4.655

03/30/2026

09/30/2026

 

(26,758)

 

(26,765)

 

4.680

02/06/2026

08/06/2026

 

(17,226)

 

(17,348)

SOG

4.090

01/09/2026

04/09/2026

 

(3,244)

 

(3,275)

 

4.190

01/09/2026

04/09/2026

 

(13,422)

 

(13,551)

 

4.210

02/05/2026

05/06/2026

 

(6,397)

 

(6,438)

 

4.580

03/24/2026

09/24/2026

 

(4,497)

 

(4,501)

 

4.680

01/09/2026

07/09/2026

 

(19,514)

 

(19,723)

 

4.680

03/24/2026

09/24/2026

 

(24,736)

 

(24,762)

TDM

3.930

12/12/2025

TBD(2)

 

(3,151)

 

(3,189)

Consolidated Schedule of Investments PIMCO Dynamic Income Strategy Fund (Cont.)

March 31, 2026 (Unaudited)

 

WFS

4.245

02/24/2026

04/27/2026

 

(15,692)

 

(15,758)

Total Reverse Repurchase Agreements

 

 

 

 

 

$

(299,067)

Cash of $513 has been pledged as collateral as of March 31, 2026 for equity short sales and equity options as governed by prime brokerage agreements and agreements governing listed equity option transactions.

(i)

Securities with an aggregate market value of $365 and cash of $2,760 have been pledged as collateral under the terms of master agreements as of March 31, 2026.

(1)

The average amount of borrowings outstanding during the period ended March 31, 2026 was $(314,240) at a weighted average interest rate of 4.738%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.

(2)

Open maturity reverse repurchase agreement.

(j)

FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED

FUTURES CONTRACTS:

LONG FUTURES CONTRACTS

 

Variation Margin

Description

 

 

 

Expiration
Month

 

# of
Contracts

 

Notional
Amount

 

 

Unrealized
Appreciation/
(Depreciation)

 

Asset

 

Liability

Brent Crude December Futures

10/2026

 

15

$

1,194

 

$

99

$

0

$

(67)

Brent Crude July Futures

05/2026

 

22

 

2,116

 

 

157

 

0

 

(91)

California Carbon Allowance Vintage December Futures

12/2026

 

1,284

 

37,069

 

 

(3,653)

 

0

 

(334)

WTI Crude December Futures

11/2026

 

120

 

8,696

 

 

(9)

 

0

 

(524)

WTI Crude July Futures

06/2026

 

4

 

346

 

 

11

 

0

 

(16)

WTI Crude June Futures

05/2026

 

87

 

8,105

 

 

104

 

0

 

(249)

 

 

 

 

 

 

 

 

$

(3,291)

$

0

$

(1,281)

SHORT FUTURES CONTRACTS

 

Variation Margin

Description

 

 

 

Expiration
Month

 

# of
Contracts

 

Notional
Amount

 

 

Unrealized
Appreciation/
(Depreciation)

 

Asset

 

Liability

WTI Crude December Futures

11/2026

 

31

$

(2,247)

 

$

(133)

$

136

$

0

Total Futures Contracts

 

$

(3,424)

$

136

$

(1,281)

SWAP AGREEMENTS:

INTEREST RATE SWAPS

 

Variation Margin

Pay/
Receive
Floating Rate

Floating Rate Index

Fixed Rate

Payment
Frequency

Maturity
Date

 

Notional
Amount

 

Premiums
Paid/
(Received)

 

Unrealized
Appreciation/
(Depreciation)

 

Market
Value

 

Asset

 

Liability

Pay

1-Day USD-SOFR Compounded-OIS

3.750%

Annual

06/20/2034

$

100

$

(1)

$

0

$

(1)

$

0

$

0

Receive

1-Day USD-SOFR Compounded-OIS

3.750

Annual

12/17/2035

 

10,000

 

(93)

 

177

 

84

 

0

 

(8)

Receive

1-Day USD-SOFR Compounded-OIS

3.750

Annual

12/17/2045

 

6,200

 

169

 

181

 

350

 

11

 

0

Total Swap Agreements

$

75

$

358

$

433

$

11

$

(8)

Cash of $5,858 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of March 31, 2026.

(k)

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

04/2026

BRL

4

$

1

$

0

$

0

 

04/2026

CAD

51,712

 

37,824

 

649

 

0

 

04/2026

EUR

1,869

 

2,148

 

0

 

(12)

 

04/2026

$

1

BRL

4

 

0

 

0

 

05/2026

 

30

CAD

42

 

0

 

0

 

05/2026

 

2,152

EUR

1,869

 

12

 

0

 

06/2026

BRL

5

$

1

 

0

 

0

BPS

04/2026

$

1,656

EUR

1,401

 

0

 

(37)

BRC

04/2026

HKD

1,546

$

198

 

0

 

0

 

04/2026

TRY

32,750

 

719

 

0

 

(10)

 

04/2026

$

26,393

CAD

36,601

 

0

 

(80)

 

04/2026

 

16

TRY

738

 

0

 

0

 

05/2026

CAD

36,551

$

26,393

 

80

 

0

 

05/2026

TRY

3,532

 

76

 

0

 

(1)

BSH

04/2026

$

13,887

GBP

10,432

 

0

 

(79)

 

05/2026

GBP

10,432

$

13,886

 

79

 

0

Consolidated Schedule of Investments PIMCO Dynamic Income Strategy Fund (Cont.)

March 31, 2026 (Unaudited)

 

CBK

04/2026

CAD

42

 

30

 

1

 

0

 

04/2026

GBP

420

 

559

 

3

 

0

 

04/2026

$

1,946

EUR

1,659

 

0

 

(29)

 

04/2026

 

2,764

GBP

2,085

 

0

 

(4)

CIB

04/2026

 

5,647

CAD

7,733

 

0

 

(88)

DUB

04/2026

HKD

7,502

$

959

 

1

 

0

FAR

04/2026

GBP

9,928

 

13,416

 

276

 

0

GLM

04/2026

BRL

58,399

 

11,010

 

0

 

(264)

 

04/2026

$

10,834

BRL

58,399

 

440

 

0

 

06/2026

BRL

14

$

3

 

0

 

0

 

07/2026

 

13

 

2

 

0

 

0

 

07/2026

$

11,010

BRL

59,606

 

264

 

0

JPM

04/2026

HKD

8,754

$

1,120

 

2

 

0

 

04/2026

$

10,328

MXN

184,939

 

0

 

(22)

 

05/2026

DKK

25,428

$

3,923

 

0

 

(17)

MBC

04/2026

 

25,577

 

4,042

 

86

 

0

 

04/2026

GBP

2,589

 

3,452

 

25

 

0

 

04/2026

$

2,378

EUR

2,054

 

4

 

(8)

SOG

04/2026

EUR

31,789

$

37,539

 

803

 

(6)

 

04/2026

$

32,984

EUR

28,545

 

50

 

(41)

 

04/2026

 

554

GBP

420

 

2

 

0

 

05/2026

EUR

27,080

$

31,299

 

0

 

(49)

 

05/2026

GBP

420

 

554

 

0

 

(2)

 

05/2026

$

3,423

EUR

2,962

 

6

 

0

SSB

04/2026

 

5,435

CAD

7,419

 

0

 

(101)

Total Forward Foreign Currency Contracts

$

2,783

$

(850)

SWAP AGREEMENTS:

TOTAL RETURN SWAPS ON SECURITIES

 

Swap Agreements, at Value

Counterparty

Pay/Receive(1)

Underlying
Reference

# of Shares

Financing Rate

Payment
Frequency

Maturity
Date

 

Notional
Amount

 

Premiums
Paid/(Received)

 

Unrealized
Appreciation/
(Depreciation)

 

Asset

 

Liability

FAR

Receive

Plains All American Pipeline LP

332,743

4.250% (SOFR plus a specified spread)

Maturity

12/16/2026

$

5,444

$

0

$

1,890

$

1,890

$

0

 

Receive

Western Gas Partners LP

410,000

4.250% (SOFR plus a specified spread)

Maturity

12/16/2026

 

15,682

 

0

 

1,292

 

1,292

 

0

GST

Receive

Energy Tranfer LP

938,239

4.250% (SOFR plus a specified spread)

Maturity

04/15/2026

 

17,770

 

0

 

693

 

693

 

0

 

Receive

Enterprise Product Partners LP

398,000

4.250% (SOFR plus a specified spread)

Maturity

04/15/2026

 

13,532

 

0

 

1,718

 

1,718

 

0

 

Receive

Mplx LP

399,000

4.250% (SOFR plus a specified spread)

Maturity

04/15/2026

 

21,686

 

0

 

1,624

 

1,624

 

0

 

Receive

Plains All American Pipeline LP

151,500

4.250% (SOFR plus a specified spread)

Maturity

04/15/2026

 

3,059

 

0

 

171

 

171

 

0

 

Receive

Western Gas Partners LP

117,425

4.250% (SOFR plus a specified spread)

Maturity

04/15/2026

 

4,913

 

0

 

103

 

103

 

0

 

Receive

Sunoco LP

3,000

4.250% (SOFR plus a specified spread)

Monthly

08/19/2026

 

195

 

0

 

0

 

0

 

0

MYI

Receive

Western Gas Partners LP

4,916

4.250% (SOFR plus a specified spread)

Monthly

10/14/2026

 

202

 

0

 

(1)

 

0

 

(1)

Total Swap Agreements

$

0

$

7,490

$

7,491

$

(1)

(1)

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, 2026 in valuing the Fund's assets and liabilities:

 

Category and Subcategory

Level 1

Level 2

Level 3

Fair Value
at 03/31/2026

Consolidated Schedule of Investments PIMCO Dynamic Income Strategy Fund (Cont.)

March 31, 2026 (Unaudited)

 

Investments in Securities, at Value

Loan Participations and Assignments

$

0

$

116,804

$

54,346

$

171,150

 

Corporate Bonds & Notes

 

Banking & Finance

 

0

 

35,126

 

1,459

 

36,585

 

 

Industrials

 

0

 

168,188

 

0

 

168,188

 

 

Utilities

 

0

 

44,160

 

7,971

 

52,131

 

Municipal Bonds & Notes

 

Michigan

 

0

 

383

 

0

 

383

 

U.S. Government Agencies

 

0

 

27,771

 

0

 

27,771

 

U.S. Treasury Obligations

 

0

 

1,255

 

0

 

1,255

 

Non-Agency Mortgage-Backed Securities

 

0

 

87,607

 

9,912

 

97,519

 

Asset-Backed Securities

 

Automobile ABS Other

 

0

 

500

 

0

 

500

 

 

CMBS Other

 

0

 

10,220

 

0

 

10,220

 

 

Home Equity Other

 

0

 

229,806

 

0

 

229,806

 

 

Whole Loan Collateral

 

0

 

17,500

 

0

 

17,500

 

 

Other ABS

 

0

 

9,428

 

5,658

 

15,086

 

Sovereign Issues

 

0

 

6,556

 

0

 

6,556

 

Common Stocks

 

Communication Services

 

0

 

0

 

319

 

319

 

 

Energy

 

199,800

 

0

 

0

 

199,800

 

Master Limited Partnerships

 

Energy

 

176,076

 

0

 

0

 

176,076

 

Preferred Securities

 

Banking & Finance

 

0

 

0

 

6,277

 

6,277

 

 

Industrials

 

0

 

0

 

30,331

 

30,331

 

Short-Term Instruments

 

Mutual Funds

 

0

 

1,077

 

0

 

1,077

 

 

U.S. Treasury Bills

 

0

 

5,060

 

0

 

5,060

 

 

$

375,876

$

761,441

$

116,273

$

1,253,590

 

Investments in Affiliates, at Value

Short-Term Instruments

 

Central Funds Used for Cash Management Purposes

$

143,622

$

0

$

0

$

143,622

 

Total Investments

$

519,498

$

761,441

$

116,273

$

1,397,212

 

Financial Derivative Instruments - Assets

Exchange-traded or centrally cleared

 

136

 

11

 

0

 

147

 

Over the counter

 

0

 

10,274

 

0

 

10,274

 

 

$

136

$

10,285

$

0

$

10,421

 

Financial Derivative Instruments - Liabilities

Exchange-traded or centrally cleared

 

(1,281)

 

(8)

 

0

 

(1,289)

 

Over the counter

 

0

 

(852)

 

0

 

(852)

 

 

$

(1,281)

$

(860)

$

0

$

(2,141)

 

Total Financial Derivative Instruments

$

(1,145)

$

9,425

$

0

$

8,280

 

Totals

$

518,353

$

770,866

$

116,273

$

1,405,492

 

 

 

 

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended March 31, 2026:

Category and Subcategory

Beginning
Balance
at 06/30/2025

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 03/31/2026

Net Change in
Unrealized
Appreciation/
(Depreciation)
on Investments
Held at
03/31/2026 (1)

Investments in Securities, at Value

Loan Participations and Assignments

$

45,544

$

10,197

$

(11,923)

$

178

$

0

$

(579)

$

10,929

$

0

$

54,346

$

(328)

Corporate Bonds & Notes

 

Banking & Finance

 

728

 

1,439

 

0

 

0

 

0

 

(34)

 

0

 

(674)

 

1,459

 

(14)

 

Industrials

 

3,162

 

0

 

(4,403)

 

(4)

 

1

 

1,244

 

0

 

0

 

0

 

0

 

Utilities

 

7,905

 

44

 

0

 

(1)

 

0

 

23

 

0

 

0

 

7,971

 

22

Non-Agency Mortgage-Backed Securities

 

0

 

9,965

 

0

 

0

 

0

 

(53)

 

0

 

0

 

9,912

 

(53)

Asset-Backed Securities

 

Other ABS

 

5,520

 

0

 

0

 

0

 

0

 

138

 

0

 

0

 

5,658

 

138

Common Stocks

 

Communication Services

 

0

 

0

 

0

 

0

 

0

 

319

 

0

 

0

 

319

 

319

 

Financials

 

735

 

0

 

(753)

 

0

 

(946)

 

964

 

0

 

0

 

0

 

0

Preferred Securities

 

Banking & Finance

 

0

 

6,277

 

0

 

0

 

0

 

0

 

0

 

0

 

6,277

 

0

Consolidated Schedule of Investments PIMCO Dynamic Income Strategy Fund (Cont.)

March 31, 2026 (Unaudited)

 

 

Industrials

 

0

 

30,190

 

0

 

0

 

0

 

141

 

0

 

0

 

30,331

 

140

Totals

$

63,594

$

58,112

$

(17,079)

$

173

$

(945)

$

(2,163)

$

10,929

$

(674)

$

116,273

$

224


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 03/31/2026

Valuation Technique

Unobservable Inputs

 

Input Value(s)

Weighted Average

Investments in Securities, at Value

Loan Participations and Assignments

$

31,310

Discounted Cash Flow

Discount Rate

 

6.312 - 9.745

8.189

 

 

2,694

Indicative Market Quotation

Broker Quote

 

101.250

—

 

 

3,000

Recent Transaction

Purchase Price

 

100.000

—

 

 

17,342

Third Party Vendor

Broker Quote

 

76.000 - 122.000

99.958

Corporate Bonds & Notes

 

Banking & Finance

 

1,459

Discounted Cash Flow

Discount Rate

 

6.918 - 7.181

6.971

 

Utilities

 

52

Indicative Market Quotation

Broker Quote

EU
R

12.000

—

 

 

 

7,919

Discounted Cash Flow

Discount Rate

 

7.610

 

Non-Agency Mortgage-Backed Securities

 

9,912

Discounted Cash Flow

Discount Rate

 

6.600

—

Asset-Backed Securities

 

Other ABS

 

5,658

Discounted Cash Flow

Discount Rate

 

10.320 - 14.000

12.535

Common Stocks

 

Communication Services

 

319

Indicative Market Quotation

Broker Quote

$

15.000

—

Preferred Securities

 

Banking & Finance

 

6,277

Recent transaction

Purchase price

$

-

—

 

Industrials

 

9,948

Discounted Cash Flow

Discount Rate

 

18.900

—

 

 

 

20,383

Other Valuation Techniques(2)

-

 

-

—

Total

$

116,273

(1)

Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at March 31, 2026 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. BASIS FOR CONSOLIDATION

The Cayman Subsidiary, NRGX SPV I LLC and NRGX SPV II LLC (each a “Subsidiary” and, collectively, the “Subsidiaries”), each a Delaware limited liability company, were formed as wholly owned subsidiaries acting as investment vehicles for the PIMCO Dynamic Income Strategy Fund (the “Fund”) in order to effect certain investments for the Fund consistent with the Fund’s investment objectives and policies in effect from time to time. The Fund’s investment portfolio has been consolidated and includes the portfolio holdings of the Fund and the Subsidiaries. Accordingly, the consolidated financial statements include the accounts of the Fund and the Subsidiaries. All intercompany transactions and balances have been eliminated. These structures were established so that certain investments could be held by separate legal entities from the Fund. See the table below for details regarding the structure, incorporation and relationship of each Subsidiary as of period end.

 

Subsidiary

 

Date of Formation

Subsidiary % of Consolidated Fund Net Assets†

Cayman Commodity Fund IX, Ltd

 

12/14/2018

0.4%

NRGX SPV I LLC

 

11/07/2022

0.0%

NRGX SPV II LLC

 

11/07/2022

0.0%

† A zero balance may reflect actual amounts rounding to less than 0.01%.

 

2. 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 portfolio investments. The Valuation Designee may value Fund portfolio securities for which market quotations are not readily available and other Fund assets utilizing inputs from pricing services, quotation reporting systems, valuation agents and other third-party sources (together, “Pricing Sources”).

 

Domestic and foreign (non-U.S.) fixed income securities, non-exchange traded derivatives and equity options are normally valued on the basis of quotes obtained from brokers and dealers or Pricing Sources using data reflecting the earlier closing of the principal markets for those securities. Prices obtained from Pricing Sources may be based on, among other things, information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. Certain fixed income securities purchased on a delayed-delivery basis are marked to market daily until settlement at the forward settlement date. Common stocks, exchange-traded funds (“ETFs”), exchange-traded notes and financial derivative instruments, such as futures contracts, rights and warrants, or options on futures that are traded on a national securities exchange, are stated at the last reported sale or settlement price on the day of valuation. Exchange-traded options, except equity options, futures and options on futures, are valued at the settlement price determined by the relevant exchange. Swap agreements and swaptions 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 thanETFs), 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

 

Notes to Financial Statements(Cont.)

 

markets outside the United States or denominated in currencies other than the U.S. dollar may be affected significantly on a day that the Fund is not open for business. As a result, to the extent that the Fund holds foreign (non-U.S.) investments, the value of those investments may change at times when shareholders are unable to buy or sell shares and the value of such investments will be reflected in the Fund's next calculated NAV.

 

Fair valuation may require subjective determinations about the value of a security. While the Fund’s and Valuation Designee's policies and procedures are intended to result in a calculation of the Fund's NAV that fairly reflects security values as of the time of pricing, the Fund cannot ensure that fair values accurately reflect the price that the Fund could obtain for a security if it were to dispose of that security as of the time of pricing (for instance, in a forced or distressed sale). The prices used by the Fund may differ from the value that would be realized if the securities were sold.

 

(b) Fair Value Hierarchy U.S. GAAP describes fair value as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. It establishes a fair value hierarchy that prioritizes inputs to valuation methods and requires disclosure of the fair value hierarchy, separately for each major category of assets and liabilities, that segregates fair value measurements into levels (Level 1, 2 or 3). The inputs or methodology used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. Levels 1, 2 and 3 of the fair value hierarchy are defined as follows:

 

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

 

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

 

• 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.

 

In accordance with the requirements of U.S. GAAP, the amounts of transfers into and out of Level 3, if material, are disclosed in the Notes to Schedule of Investments for the Fund.

 

For fair valuations using significant unobservable inputs, U.S. GAAP requires a reconciliation of the beginning to ending balances for reported fair values that presents changes attributable to realized gain (loss), unrealized appreciation (depreciation), purchases and sales, accrued discounts (premiums), and transfers into and out of the Level 3 category during the period. The end of period value is used for the transfers between fair value 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, non-U.S. bonds and short-term debt instruments (such as commercial paper, time deposits and certificates of deposit) are normally valued on the basis of quotes obtained from brokers and dealers or Pricing Sources that use broker-dealer quotations, reported trades or valuation estimates from their internal pricing models. The Pricing Sources' internal models use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar assets. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.

 

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

 

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

 

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

 

Valuation adjustments may be applied to certain exchange traded futures and options to account for market movement between the exchange settlement and the NYSE Close. These securities are valued using quotes obtained from a quotation reporting system, established market makers or Pricing Sources. Financial derivatives using these valuation adjustments are categorized as Level 2 of the fair value hierarchy.

 

Notes to Financial Statements(Cont.)

 

 

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

 

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

 

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.

 

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.

 

Securities may be valued based on purchase prices of privately negotiated transactions. Significant changes in the unobservable inputs would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.

 

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

 

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

 

3. 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, 2026, 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.

 

4. INVESTMENTS IN AFFILIATES

The Fund may invest in the PIMCO Short Asset Portfolio and the PIMCO Short-Term Floating NAV Portfolio III ("Central Funds") to the extent permitted by the Act, rules thereunder or exemptive relief therefrom. The Central Funds are registered investment companies created for use solely by the series of the Trust and other series of registered investment companies advised by the Adviser, in connection with their cash management activities. The main investments of the Central Funds are money market and short maturity fixed income instruments. The Central Funds may incur expenses related to their investment activities, but do not pay Investment Advisory Fees or Supervisory and Administrative Fees to the Adviser. The Central Funds are considered to be affiliated with the Fund.A copy of each affiliate fund’s shareholder report is available at the U.S Securities and Exchange Commission (“SEC”) website at www.sec.gov, on the Fund’s website at www.pimco.com, or upon request, as applicable.The table below shows the Fund's transactions in and earnings from investments in the affiliated funds for the period ended March 31, 2026 (amounts in thousands†):

Investment in PIMCO Short-Term Floating NAV Portfolio III

 

 

Market Value
06/30/2025

 

Purchases at
Cost

 

Proceeds from
Sales

 

Net
Realized
Gain (Loss)

 

Change in
Unrealized
Appreciation
(Depreciation)

 

Market Value
03/31/2026

 

Dividend
Income(1)

 

Realized Net
Capital
Gain
Distributions(1)

$

136,258

$

498,449

$

(491,100)

$

33

$

(18)

$

143,622

$

2,652

$

0

 

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

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

Glossary: (abbreviations that may be used in the preceding statements)       (Unaudited)
                     
Counterparty Abbreviations:                
BOA   Bank of America N.A.   DBL   Deutsche Bank AG London   MSC   Morgan Stanley & Co. LLC.
BOS   BofA Securities, Inc.   DUB   Deutsche Bank AG   MYI   Morgan Stanley & Co. International PLC
BPS   BNP Paribas S.A.   FAR   Wells Fargo Bank National Association   RDR   RBC Capital Markets LLC
BRC   Barclays Bank PLC   GLM   Goldman Sachs Bank USA   RTA   RBC (Barbados) Trading Bank Corp.
                     
BSH   Banco Santander S.A. - New York Branch   GST   Goldman Sachs International   SOG   Societe Generale Paris
BYR   The Bank of Nova Scotia - Toronto   IND   Crédit Agricole Corporate and Investment Bank
S.A.		   SSB   State Street Bank and Trust Co.
CBK   Citibank N.A.   JPM   JP Morgan Chase Bank N.A.   TDM   TD Securities (USA) LLC
CEW   Canadian Imperial Bank of Commerce World Markets   MBC   HSBC Bank Plc   WFS   Wells Fargo Securities, LLC
CIB   Canadian Imperial Bank of Commerce   MSB   Morgan Stanley Bank, N.A        
                     
Currency Abbreviations:                
BRL   Brazilian Real   GBP   British Pound   MXN   Mexican Peso
CAD   Canadian Dollar   HKD   Hong Kong Dollar   TRY   Turkish New Lira
DKK   Danish Krone   JPY   Japanese Yen   USD (or $)   United States Dollar
EUR   Euro                
                     
Index/Spread Abbreviations:                
BISTREFI   Turkish Lira Overnight Reference Rate   EUR006M   6 Month EUR Swap Rate   SOFR   Secured Overnight Financing Rate
BNMMDTSC   Dreyfus Treasury Securites Cash Management Fund Yield   EUR012M   12 Month EUR Swap Rate   TSFR1M   Term SOFR 1-Month
Brent   Brent Crude   FHMMUSTF   Federated Hermes US Treasury Cash Reserves
Fund Yield		   TSFR3M   Term SOFR 3-Month
CDOR06   6 month CDN Swap Rate   JY0003M   3 Month JPY-LIBOR   TSFR6M   Term SOFR 6-Month
EUR003M   3 Month EUR Swap Rate                
                     
Other  Abbreviations:                
ABS   Asset-Backed Security   DAC   Designated Activity Company   TBD   To-Be-Determined
ALT   Alternate Loan Trust   OIS   Overnight Index Swap   TBD%   Interest rate to be determined when loan
settles or at the time of funding
CLO   Collateralized Loan Obligation   TBA   To-Be-Announced   WTI   West Texas Intermediate
CMBS   Collateralized Mortgage-Backed Security