NPORT-EX 2 energytacticalcreditoppfund.htm PIMCO ENERGY AND TACTICAL CREDIT OPPORTUNITIES FUND energytacticalcreditoppfund

Consolidated Schedule of Investments PIMCO Energy and Tactical Credit Opportunities Fund

March 31, 2020

(Unaudited)

 

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

 

 

PRINCIPAL
AMOUNT
(000s)

 

MARKET
VALUE
(000s)

INVESTMENTS IN SECURITIES 235.7% ¤

 

 

 

 

LOAN PARTICIPATIONS AND ASSIGNMENTS 10.8%

 

 

 

 

Azure Midstream Energy LLC (6.450% Cash and 4.500% PIK)
10.950% (LIBOR03M + 5.000%) due 09/30/2020 ~(a)

$

8,911

$

8,578

Blackstone CQP Holdco LP
4.616% (LIBOR03M + 3.500%) due 09/30/2024 ~

 

16,451

 

13,407

Clay Holdco BV
4.500% (EUR003M + 4.500%) due 10/30/2025 «~

EUR

3,734

 

3,192

Diamond Resorts Corp.
4.750% (LIBOR03M + 3.750%) due 09/02/2023 ~

$

891

 

675

Rosefield Pipeline Co. LLC
9.950% (LIBOR03M + 8.500%) due 08/22/2023 ~

 

7,000

 

5,496

Total Loan Participations and Assignments (Cost $36,899)

 

 

 

31,348

CORPORATE BONDS & NOTES 32.9%

 

 

 

 

BANKING & FINANCE 1.7%

 

 

 

 

Provident Funding Associates LP
6.375% due 06/15/2025

 

111

 

94

Washington Prime Group LP
6.450% due 08/15/2024

 

8,260

 

4,904

 

 

 

 

4,998

INDUSTRIALS 20.4%

 

 

 

 

Ascend Learning LLC
6.875% due 08/01/2025

 

4,600

 

4,502

Buckeye Partners LP
5.850% due 11/15/2043

 

6,000

 

4,063

Callon Petroleum Co.
6.375% due 07/01/2026

 

12,000

 

2,023

CSN Resources S.A.

 

 

 

 

7.625% due 02/13/2023

 

4,500

 

3,156

7.625% due 04/17/2026

 

200

 

131

EnLink Midstream Partners LP
4.850% due 07/15/2026

 

8,000

 

3,989

Entercom Media Corp.
7.250% due 11/01/2024

 

4,500

 

3,797

EQT Corp.
7.000% due 02/01/2030

 

1,400

 

1,054

Gran Tierra Energy, Inc.
7.750% due 05/23/2027

 

10,000

 

2,612

Intelsat Jackson Holdings S.A.
8.500% due 10/15/2024

 

4,400

 

2,798

NuStar Logistics LP
6.000% due 06/01/2026 (e)

 

1,000

 

746

Ortho-Clinical Diagnostics, Inc.

 

 

 

 

6.625% due 05/15/2022

 

1,431

 

1,363

7.250% due 02/01/2028

 

1,700

 

1,475

Rockies Express Pipeline LLC
4.800% due 05/15/2030

 

900

 

542

Rockpoint Gas Storage Canada Ltd.
7.000% due 03/31/2023

 

13,000

 

9,571

Scripps Escrow, Inc.
5.875% due 07/15/2027

 

300

 

266

Transocean Guardian Ltd.
5.875% due 01/15/2024

 

13,793

 

11,138

USA Compression Partners LP

 

 

 

 

6.875% due 04/01/2026 (e)

 

4,800

 

3,027

6.875% due 09/01/2027

 

4,900

 

3,065

Western Midstream Operating LP

 

 

 

 

3.100% due 02/01/2025

 

100

 

52

4.050% due 02/01/2030

 

100

 

44

 

 

 

 

59,414

UTILITIES 10.8%

 

 

 

 

Archrock Partners LP

 

 

 

 

6.250% due 04/01/2028

 

5,000

 

3,487

6.875% due 04/01/2027 (f)

 

4,800

 

3,442

CenturyLink, Inc.
4.000% due 02/15/2027

 

600

 

578

 

 

 

Consolidated Schedule of Investments PIMCO Energy and Tactical Credit Opportunities Fund (Cont.)

March 31, 2020

(Unaudited)

 

CrownRock LP
5.625% due 10/15/2025

 

2,500

 

1,319

Odebrecht Drilling Norbe Ltd.
6.350% due 12/01/2021 ^

 

630

 

535

Parsley Energy LLC
4.125% due 02/15/2028

 

11,800

 

8,112

Rio Oil Finance Trust
9.250% due 07/06/2024

 

836

 

825

Targa Resources Partners LP

 

 

 

 

5.000% due 01/15/2028 (f)

 

8,000

 

6,504

6.875% due 01/15/2029

 

1,750

 

1,422

Transocean Poseidon Ltd.
6.875% due 02/01/2027

 

5,900

 

4,820

Transocean Sentry Ltd.
5.375% due 05/15/2023

 

700

 

593

 

 

 

 

31,637

Total Corporate Bonds & Notes (Cost $147,024)

 

 

 

96,049

U.S. TREASURY OBLIGATIONS 101.9%

 

 

 

 

U.S. Treasury Notes

 

 

 

 

2.375% due 02/29/2024 (j)

 

275,000

 

297,140

Total U.S. Treasury Obligations (Cost $274,564)

 

 

 

297,140

 

 

SHARES

 

 

COMMON STOCKS 8.5%

 

 

 

 

ENERGY 8.5%

 

 

 

 

Hess Midstream LP 'A'

 

397,373

 

4,037

TC Energy Corp.

 

64,202

 

2,854

TC PipeLines LP

 

83,000

 

2,281

Venture Global LNG, Inc.'C' «(b)(h)

 

2,885

 

15,503

Total Common Stocks (Cost $29,839)

 

 

 

24,675

MASTER LIMITED PARTNERSHIPS 4.0%

 

 

 

 

ENERGY 4.0%

 

 

 

 

CNX Midstream Partners LP

 

354,186

 

2,869

Cheniere Energy Partners LP

 

72,000

 

1,945

Crestwood Equity Partners LP

 

384,342

 

1,626

DCP Midstream LP

 

119,094

 

485

Enable Midstream Partners LP

 

740,200

 

1,902

Noble Midstream Partners LP

 

166,606

 

583

NuStar Energy LP

 

100,000

 

859

Oasis Midstream Partners LP

 

132,817

 

658

Rattler Midstream LP (g)

 

232,000

 

807

Total Master Limited Partnerships (Cost $50,424)

 

 

 

11,734

SHORT-TERM INSTRUMENTS 77.6%

 

 

 

 

REPURCHASE AGREEMENTS (i) 14.5%

 

 

 

42,374

 

 

PRINCIPAL
AMOUNT
(000s)

 

 

U.S. TREASURY BILLS 63.1%

 

 

 

 

0.557% due 04/07/2020 - 09/24/2020 (c)(d)(m)

$

184,154

 

184,133

Total Short-Term Instruments (Cost $226,417)

 

 

 

226,507

Total Investments in Securities (Cost $765,167)

 

 

 

687,453

Total Investments 235.7% (Cost $765,167)

 

 

$

687,453

Financial Derivative Instruments (k)(l) (56.6)%(Cost or Premiums, net $(203))

 

 

 

(165,186)

Other Assets and Liabilities, net (79.1)%

 

 

 

(230,603)

Net Assets Applicable to Common Shareholders100.0%

 

 

$

291,664

 

Consolidated Schedule of Investments PIMCO Energy and Tactical Credit Opportunities Fund (Cont.)

March 31, 2020

(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 is in default.

«

Security valued using significant unobservable inputs (Level 3).

~

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

(a)

Payment in-kind security.

(b)

Security did not produce income within the last twelve months.

(c)

Coupon represents a weighted average yield to maturity.

(d)

Zero coupon security.

(e)

Comprises of a debt issuance of a qualified publicly-traded partnership (“QPTP”).

(f)

As a result of the completion of a recent corporation action, common units of the previous QPTP are no longer publicly traded. The succeeding entity per the respective corporate action is treated as a Corporation for U.S. Tax purposes.

(g)

This Company is structured like a Master Limited Partnership, but is not treated as a QPTP for required regulated investment company (“RIC”) asset diversification purposes.

(h)

RESTRICTED SECURITIES:

Issuer Description

 

 

Acquisition
Date

 

Cost

 

Market
Value

Market Value
as Percentage
of Net Assets

Venture Global LNG, Inc.'C'

 

 

06/27/2019

$

15,002

$

15,503

5.32

%

BORROWINGS AND OTHER FINANCING TRANSACTIONS

(i)

REPURCHASE AGREEMENTS:

Counterparty

Lending
Rate

Settlement
Date

Maturity
Date

 

Principal
Amount

Collateralized By

 

Collateral
(Received)

 

Repurchase
Agreements,
at Value

 

Repurchase
Agreement
Proceeds
to be
Received

BOS

0.000%

03/31/2020

04/01/2020

$

12,300

U.S. Treasury Bonds 3.000% due 11/15/2045

$

(12,591)

$

12,300

$

12,300

FICC

0.000

03/31/2020

04/01/2020

 

1,823

U.S. Treasury Inflation Protected Securities 1.250% due 07/15/2020

 

(1,863)

 

1,823

 

1,823

MBC

0.000

03/31/2020

04/01/2020

 

22,000

U.S. Treasury Bonds 3.375% due 11/15/2048

 

(22,833)

 

22,000

 

22,000

SSB

0.000

03/31/2020

04/01/2020

 

451

U.S. Treasury Notes 2.000% due 08/31/2021(1)

 

(460)

 

451

 

451

TDM

0.000

03/31/2020

04/01/2020

 

5,800

U.S. Treasury Inflation Protected Securities 0.625% due 01/15/2026

 

(5,897)

 

5,800

 

5,800

Total Repurchase Agreements

 

$

(43,644)

$

42,374

$

42,374

REVERSE REPURCHASE AGREEMENTS:

Counterparty

Borrowing Rate(2)

Settlement Date

Maturity Date

 

Amount
Borrowed(2)

 

Payable for
Reverse
Repurchase
Agreements

BOS

1.720%

03/27/2020

04/06/2020

$

(48,431)

$

(48,443)

Total Reverse Repurchase Agreements

 

 

 

 

 

$

(48,443)

SALE-BUYBACK TRANSACTIONS:

Counterparty

Borrowing Rate(2)

Borrowing Date

Maturity Date

 

Amount
Borrowed(2)

 

Payable for
Sale-Buyback
Transactions

BOS

0.250%

03/31/2020

04/01/2020

$

(181,934)

$

(181,935)

Total Sale-Buyback Transactions

 

 

 

 

 

$

(181,935)

(j)

Securities with an aggregate market value of $230,148 have been pledged as collateral under the terms of master agreements as of March 31, 2020.

(1)

Collateral is held in custody by the counterparty.

(2)

The average amount of borrowings outstanding during the period ended March 31, 2020 was $(323,062) at a weighted average interest rate of 1.956%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.

(k)

FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED

 

Consolidated Schedule of Investments PIMCO Energy and Tactical Credit Opportunities Fund (Cont.)

March 31, 2020

(Unaudited)

 

PURCHASED OPTIONS:

COMMODITY OPTIONS

Description

 

 

Strike
Price

Expiration
Date

# of
Contracts

 

Notional Amount

 

Cost

 

Market
Value

Put - NYMEX Crude June 2020 Futures

 

$

44.000

05/14/2020

200

$

200

$

350

$

3,936

Total Purchased Options

$

350

$

3,936

WRITTEN OPTIONS:

COMMODITY OPTIONS

Description

 

 

Strike
Price

Expiration
Date

# of
Contracts

 

Notional Amount

 

Premiums
(Received)

 

Market
Value

Call - NYMEX Crude June 2020 Futures

 

$

53.000

05/14/2020

200

$

200

$

(310)

$

(18)

Total Written Options

$

(310)

$

(18)

FUTURES CONTRACTS:

LONG FUTURES CONTRACTS

 

Variation Margin

Description

 

 

 

Expiration
Month

 

# of
Contracts

 

Notional
Amount

 

 

Unrealized
Appreciation/
(Depreciation)

 

Asset

 

Liability

Brent Crude December Futures

10/2021

 

656

$

27,231

 

$

(5,782)

$

0

$

(125)

Brent Crude March Futures

01/2021

 

6

 

231

 

 

1

 

1

 

0

Natural Gas May Futures

04/2020

 

250

 

4,100

 

 

(606)

 

0

 

(125)

New York Harbor ULSD December Futures

11/2020

 

2

 

99

 

 

(3)

 

0

 

(1)

New York Harbor ULSD June Futures

05/2021

 

2

 

105

 

 

(1)

 

0

 

(1)

RBOB Gasoline December Futures

11/2020

 

2

 

66

 

 

1

 

0

 

0

RBOB Gasoline December Futures

11/2021

 

2

 

76

 

 

2

 

0

 

0

RBOB Gasoline June Futures

05/2021

 

2

 

85

 

 

3

 

1

 

0

WTI Crude December Futures

11/2021

 

591

 

22,387

 

 

(8,777)

 

35

 

0

WTI Crude June Futures

05/2021

 

17

 

616

 

 

(258)

 

3

 

0

 

 

 

 

 

 

 

 

$

(15,420)

$

40

$

(252)

SHORT FUTURES CONTRACTS

 

Variation Margin

Description

 

 

 

Expiration
Month

 

# of
Contracts

 

Notional
Amount

 

 

Unrealized
Appreciation/
(Depreciation)

 

Asset

 

Liability

Brent Crude December Futures

10/2020

 

528

$

(19,573)

 

$

1,554

$

173

$

0

Brent Crude December Futures

10/2022

 

420

 

(18,598)

 

 

4,718

 

54

 

0

Brent Crude June Futures

04/2021

 

7

 

(278)

 

 

(2)

 

1

 

0

Natural Gas October Futures

09/2020

 

250

 

(5,175)

 

 

95

 

30

 

0

WTI Crude December Futures

11/2020

 

297

 

(9,973)

 

 

6,498

 

1

 

0

WTI Crude December Futures

11/2022

 

292

 

(11,735)

 

 

3,314

 

0

 

(3)

WTI Crude June Futures

05/2020

 

17

 

(417)

 

 

468

 

0

 

(8)

WTI Crude March Futures

02/2021

 

1

 

(35)

 

 

0

 

0

 

0

WTI Crude September Futures

08/2020

 

1

 

(31)

 

 

0

 

0

 

0

 

 

 

 

 

 

 

 

$

16,645

$

259

$

(11)

Total Futures Contracts

 

$

1,225

$

299

$

(263)

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

Receive

1-Day USD-Federal Funds Rate Compounded-OIS

2.235%

Annual

02/29/2024

$

272,200

$

(145)

$

(22,493)

$

(22,638)

$

63

$

0

Total Swap Agreements

$

(145)

$

(22,493)

$

(22,638)

$

63

$

0

Cash of $7,138 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of March 31, 2020.

(l)

FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER

 

Consolidated Schedule of Investments PIMCO Energy and Tactical Credit Opportunities Fund (Cont.)

March 31, 2020

(Unaudited)

 

FORWARD FOREIGN CURRENCY CONTRACTS:

 

Unrealized Appreciation/(Depreciation)

Counterparty

Settlement
Month

 

Currency to
be Delivered

 

Currency to
be Received

 

Asset

 

Liability

BOA

05/2020

$

5,978

CAD

8,015

$

0

$

(280)

BPS

05/2020

 

15,308

 

20,809

 

0

 

(515)

 

05/2020

 

3,421

EUR

3,016

 

0

 

(89)

BRC

05/2020

EUR

10,313

$

11,352

 

0

 

(41)

 

05/2020

$

22,657

CAD

31,303

 

5

 

(407)

 

05/2020

 

3,500

GBP

2,702

 

0

 

(141)

GLM

05/2020

 

176

 

147

 

7

 

0

HUS

05/2020

CAD

3,505

$

2,615

 

123

 

0

 

05/2020

$

7,696

CAD

11,100

 

195

 

0

 

05/2020

 

1,918

EUR

1,768

 

35

 

0

JPM

05/2020

CAD

3,738

$

2,819

 

162

 

0

MYI

05/2020

 

128,009

 

96,540

 

5,537

 

0

 

05/2020

EUR

10,315

 

11,323

 

0

 

(73)

RYL

05/2020

$

5,182

EUR

4,599

 

0

 

(101)

SOG

05/2020

GBP

8,582

$

11,170

 

500

 

0

TOR

05/2020

$

34,555

CAD

47,737

 

0

 

(619)

 

05/2020

 

7,066

GBP

5,596

 

18

 

(127)

UAG

05/2020

 

5,054

CAD

6,936

 

0

 

(123)

Total Forward Foreign Currency Contracts

$

6,582

$

(2,516)

WRITTEN OPTIONS:

OPTIONS ON EXCHANGE-TRADED FUNDS

Counterparty

Description

 

Strike
Price

Expiration
Date

 

Notional
Amount(1)

 

Premiums
(Received)

 

Market
Value

BRC

Call - OTC Alerian MLP

$

7.400

04/02/2020

 

871

$

(64)

$

0

CBK

Call - OTC Alerian MLP

 

7.450

04/01/2020

 

882

 

(53)

 

0

Total Written Options

$

(117)

$

0

SWAP AGREEMENTS:

COMMODITY FORWARD SWAPS

 

Swap Agreements, at Value

Counterparty

Pay/Receive

Underlying Reference Commodity

Fixed Price
Per Unit

Payment
Frequency

Maturity
Date

# of
Units

 

Premiums
Paid/(Received)

 

Unrealized
Appreciation/
(Depreciation)

 

Asset

 

Liability

BPS

Pay

EURMARGIN 2Q20

$

8.230

Maturity

06/30/2020

33,600

$

157

$

(71)

$

86

$

0

 

Receive

EURMARGIN 4Q20

 

6.100

Maturity

12/31/2020

5,400

 

(1)

 

(26)

 

0

 

(27)

 

Receive

EURMARGIN CAL20

 

8.050

Maturity

12/31/2020

2,700

 

0

 

(12)

 

0

 

(12)

 

Receive

EURMARGIN CAL21

 

6.120

Maturity

12/31/2021

10,200

 

(29)

 

(3)

 

0

 

(32)

 

Receive

EUROBOBCO 2Q20

 

10.650

Maturity

06/30/2020

3,150

 

0

 

(52)

 

0

 

(52)

 

Pay

EUROBOBCO 2Q20

 

10.700

Maturity

06/30/2020

1,500

 

0

 

25

 

25

 

0

GST

Receive

EURMARGIN 4Q20

 

5.950

Maturity

12/31/2020

4,200

 

0

 

(20)

 

0

 

(20)

 

Receive

EUROBOBCO CAL20

 

6.150

Maturity

12/31/2020

45,000

 

0

 

(529)

 

0

 

(529)

JPM

Receive

EBOBFUEL CAL20

 

21.950

Maturity

12/31/2020

9,900

 

0

 

(153)

 

0

 

(153)

 

Pay

EURMARGIN 2Q20

 

4.900

Maturity

06/30/2020

16,800

 

17

 

(30)

 

0

 

(13)

 

Receive

EURMARGIN 4Q20

 

5.875

Maturity

12/31/2020

45,000

 

0

 

(211)

 

0

 

(211)

 

Receive

EURMARGIN CAL21

 

6.350

Maturity

12/31/2021

16,800

 

(47)

 

(9)

 

0

 

(56)

 

Receive

EURMARGIN G0-Z0

 

6.900

Maturity

12/31/2020

137,700

 

0

 

(476)

 

0

 

(476)

 

Receive

EUROBOBCO CAL21

 

7.700

Maturity

12/31/2021

5,040

 

(16)

 

(32)

 

0

 

(48)

MAC

Receive

EBOBFUEL CAL20

 

22.100

Maturity

12/31/2020

9,000

 

0

 

(141)

 

0

 

(141)

 

Pay

EURMARGIN 2Q20

 

2.600

Maturity

06/30/2020

23,400

 

(62)

 

(9)

 

0

 

(71)

MYC

Receive

EBOBFUEL CAL20

 

21.500

Maturity

12/31/2020

8,100

 

0

 

(122)

 

0

 

(122)

 

Pay

EURMARGIN 2Q20

 

4.250

Maturity

06/30/2020

18,000

 

0

 

(25)

 

0

 

(25)

 

Pay

EURMARGIN 2Q20

 

5.400

Maturity

06/30/2020

23,400

 

0

 

(6)

 

0

 

(6)

 

Receive

EURMARGIN 4Q20

 

5.850

Maturity

12/31/2020

5,400

 

0

 

(25)

 

0

 

(25)

 

Receive

EURMARGIN CAL21

 

3.000

Maturity

12/31/2021

18,000

 

0

 

0

 

0

 

0

 

Receive

EURMARGIN CAL21

 

3.450

Maturity

12/31/2021

10,200

 

0

 

(5)

 

0

 

(5)

 

Receive

EURMARGIN CAL21

 

3.470

Maturity

12/31/2021

16,800

 

0

 

(8)

 

0

 

(8)

 

Receive

EURMARGIN G0-Z0

 

7.550

Maturity

12/31/2020

225,000

 

0

 

(924)

 

0

 

(924)

 

Receive

ULSDCO 2H20

 

10.620

Maturity

12/31/2020

12,600

 

0

 

0

 

0

 

0

 

 

 

 

 

 

$

19

$

(2,864)

$

111

$

(2,956)

 

Consolidated Schedule of Investments PIMCO Energy and Tactical Credit Opportunities Fund (Cont.)

March 31, 2020

(Unaudited)

 

TOTAL RETURN SWAPS ON EQUITY INDICES

 

Swap Agreements, at Value

Counterparty

Pay/Receive(2)

Underlying
Reference

# of Units

Financing Rate

Payment
Frequency

Maturity
Date

 

Notional
Amount

 

Premiums
Paid/(Received)

 

Unrealized
Appreciation/
(Depreciation)

 

Asset

 

Liability

BOA

Receive

AMNAX Index

12,557

1.487% (1-Month USD-LIBOR plus a specified spread)

Maturity

09/23/2020

$

6,518

$

0

$

(3,027)

$

0

$

(3,027)

MYI

Receive

AMNAX Index

28,435

1.484% (1-Month USD-LIBOR plus a specified spread)

Maturity

10/22/2020

 

14,859

 

0

 

(6,913)

 

0

 

(6,913)

 

 

 

 

 

 

 

 

$

0

$

(9,940)

$

0

$

(9,940)

TOTAL RETURN SWAPS ON MASTER LIMITED PARTNERSHIPS

 

Swap Agreements, at Value

Counterparty

Pay/Receive(2)

Underlying
Reference

# of Shares

Financing Rate

Payment
Frequency

Maturity
Date

 

Notional
Amount

 

Premiums
Paid/(Received)

 

Unrealized
Appreciation/
(Depreciation)

 

Asset

 

Liability

BOA

Receive

Crestwood Equity Partners LP

146,000

1.497% (1-Month USD-LIBOR plus a specified spread)

Maturity

02/10/2021

$

4,943

$

0

$

(3,343)

$

0

$

(3,343)

 

Receive

DCP Midstream LP

139,000

1.497% (1-Month USD-LIBOR plus a specified spread)

Maturity

02/10/2021

 

3,269

 

0

 

(2,608)

 

0

 

(2,608)

 

Receive

Enable Midstream Partners LP

89,000

1.497% (1-Month USD-LIBOR plus a specified spread)

Maturity

02/10/2021

 

911

 

0

 

(657)

 

0

 

(657)

 

Receive

Energy Transfer LP

1,365,000

1.497% (1-Month USD-LIBOR plus a specified spread)

Maturity

02/10/2021

 

17,518

 

0

 

(10,894)

 

0

 

(10,894)

 

Receive

Enterprise Products Partners LP

702,000

1.497% (1-Month USD-LIBOR plus a specified spread)

Maturity

02/10/2021

 

19,537

 

0

 

(9,264)

 

0

 

(9,264)

 

Receive

EQM Midstream Partners LP

138,000

1.497% (1-Month USD-LIBOR plus a specified spread)

Maturity

02/10/2021

 

3,763

 

0

 

(1,990)

 

0

 

(1,990)

 

Receive

Magellan Midstream Partners LP

74,000

1.497% (1-Month USD-LIBOR plus a specified spread)

Maturity

02/10/2021

 

4,765

 

0

 

(2,008)

 

0

 

(2,008)

 

Receive

MPLX LP

412,000

1.497% (1-Month USD-LIBOR plus a specified spread)

Maturity

02/10/2021

 

10,327

 

0

 

(5,298)

 

0

 

(5,298)

 

Receive

Phillips 66 Partners LP

195,000

1.497% (1-Month USD-LIBOR plus a specified spread)

Maturity

02/10/2021

 

12,002

 

0

 

(4,777)

 

0

 

(4,777)

 

Receive

Plains All American Pipeline LP

559,000

1.497% (1-Month USD-LIBOR plus a specified spread)

Maturity

02/10/2021

 

10,181

 

0

 

(7,070)

 

0

 

(7,070)

 

Receive

Western Gas Partners LP

149,000

1.497% (1-Month USD-LIBOR plus a specified spread)

Maturity

02/10/2021

 

2,901

 

0

 

(2,337)

 

0

 

(2,337)

BRC

Receive

DCP Midstream LP

40,000

1.597% (1-Month USD-LIBOR plus a specified spread)

Maturity

02/24/2021

 

941

 

0

 

(751)

 

0

 

(751)

 

Receive

Phillips 66 Partners LP

90,000

1.597% (1-Month USD-LIBOR plus a specified spread)

Maturity

02/24/2021

 

5,539

 

0

 

(2,205)

 

0

 

(2,205)

FAR

Receive

Crestwood Equity Partners LP

103,000

1.522% (1-Month USD-LIBOR plus a specified spread)

Maturity

03/10/2021

 

3,506

 

0

 

(2,337)

 

0

 

(2,337)

 

Receive

DCP Midstream LP

82,000

1.522% (1-Month USD-LIBOR plus a specified spread)

Maturity

03/10/2021

 

1,929

 

0

 

(1,539)

 

0

 

(1,539)

 

Consolidated Schedule of Investments PIMCO Energy and Tactical Credit Opportunities Fund (Cont.)

March 31, 2020

(Unaudited)

 

 

Receive

Enable Midstream Partners LP

118,000

1.522% (1-Month USD-LIBOR plus a specified spread)

Maturity

03/10/2021

 

1,208

 

0

 

(871)

 

0

 

(871)

 

Receive

Energy Transfer LP

1,735,000

1.522% (1-Month USD-LIBOR plus a specified spread)

Maturity

03/10/2021

 

22,267

 

0

 

(13,847)

 

0

 

(13,847)

 

Receive

Enterprise Products Partners LP

916,000

1.522% (1-Month USD-LIBOR plus a specified spread)

Maturity

03/10/2021

 

25,493

 

0

 

(12,092)

 

0

 

(12,092)

 

Receive

EQM Midstream Partners LP

103,000

1.522% (1-Month USD-LIBOR plus a specified spread)

Maturity

03/10/2021

 

2,809

 

0

 

(1,485)

 

0

 

(1,485)

 

Receive

Magellan Midstream Partners LP

256,000

1.522% (1-Month USD-LIBOR plus a specified spread)

Maturity

03/10/2021

 

16,485

 

0

 

(6,948)

 

0

 

(6,948)

 

Receive

MPLX LP

507,000

1.522% (1-Month USD-LIBOR plus a specified spread)

Maturity

03/10/2021

 

12,708

 

0

 

(6,519)

 

0

 

(6,519)

 

Receive

NuStar Energy LP

50,000

1.522% (1-Month USD-LIBOR plus a specified spread)

Maturity

03/10/2021

 

1,390

 

0

 

(936)

 

0

 

(936)

 

Receive

Phillips 66 Partners LP

154,000

1.522% (1-Month USD-LIBOR plus a specified spread)

Maturity

03/10/2021

 

9,479

 

0

 

(3,772)

 

0

 

(3,772)

 

Receive

Plains All American Pipeline LP

449,000

1.522% (1-Month USD-LIBOR plus a specified spread)

Maturity

03/10/2021

 

8,177

 

0

 

(5,678)

 

0

 

(5,678)

 

Receive

Western Gas Partners LP

216,550

1.522% (1-Month USD-LIBOR plus a specified spread)

Maturity

03/10/2021

 

4,216

 

0

 

(3,397)

 

0

 

(3,397)

GST

Receive

Crestwood Equity Partners LP

131,000

1.597% (1-Month USD-LIBOR plus a specified spread)

Maturity

02/24/2021

 

4,373

 

0

 

(3,071)

 

0

 

(3,071)

 

Receive

DCP Midstream LP

97,000

1.597% (1-Month USD-LIBOR plus a specified spread)

Maturity

02/24/2021

 

2,281

 

0

 

(1,820)

 

0

 

(1,820)

 

Receive

Enable Midstream Partners LP

162,000

1.597% (1-Month USD-LIBOR plus a specified spread)

Maturity

02/24/2021

 

1,659

 

0

 

(1,196)

 

0

 

(1,196)

 

Receive

Energy Transfer LP

1,145,000

1.597% (1-Month USD-LIBOR plus a specified spread)

Maturity

02/24/2021

 

14,695

 

0

 

(9,141)

 

0

 

(9,141)

 

Receive

Enterprise Products Partners LP

650,000

1.597% (1-Month USD-LIBOR plus a specified spread)

Maturity

02/24/2021

 

18,090

 

0

 

(8,581)

 

0

 

(8,581)

 

Receive

EQM Midstream Partners LP

80,000

1.597% (1-Month USD-LIBOR plus a specified spread)

Maturity

02/24/2021

 

2,182

 

0

 

(1,154)

 

0

 

(1,154)

 

Receive

Magellan Midstream Partners LP

147,000

1.597% (1-Month USD-LIBOR plus a specified spread)

Maturity

02/24/2021

 

9,466

 

0

 

(3,992)

 

0

 

(3,992)

 

Receive

MPLX LP

540,000

1.597% (1-Month USD-LIBOR plus a specified spread)

Maturity

02/24/2021

 

13,535

 

0

 

(6,947)

 

0

 

(6,947)

 

Receive

NuStar Energy LP

130,000

1.597% (1-Month USD-LIBOR plus a specified spread)

Maturity

02/24/2021

 

3,615

 

0

 

(2,436)

 

0

 

(2,436)

 

Receive

Phillips 66 Partners LP

172,000

1.597% (1-Month USD-LIBOR plus a specified spread)

Maturity

02/24/2021

 

10,587

 

0

 

(4,215)

 

0

 

(4,215)

 

Receive

Plains All American Pipeline LP

274,000

1.597% (1-Month USD-LIBOR plus a specified spread)

Maturity

02/24/2021

 

4,990

 

0

 

(3,466)

 

0

 

(3,466)

 

Consolidated Schedule of Investments PIMCO Energy and Tactical Credit Opportunities Fund (Cont.)

March 31, 2020

(Unaudited)

 

 

Receive

Western Gas Partners LP

117,425

1.597% (1-Month USD-LIBOR plus a specified spread)

Maturity

02/24/2021

 

2,286

 

0

 

(1,842)

 

0

 

(1,842)

 

 

 

 

 

 

 

 

$

0

$

(160,484)

$

0

$

(160,484)

Total Swap Agreements

$

19

$

(173,288)

$

111

$

(173,380)

(m)

Securities with an aggregate market value of $184,133 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of March 31, 2020.

(1)

Notional Amount represents the number of contracts.

(2)

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, 2020 in valuing the Fund's assets and liabilities:

 

Category and Subcategory

Level 1

Level 2

Level 3

Fair Value
at 03/31/2020

Investments in Securities, at Value

Loan Participations and Assignments

$

0

$

28,156

$

3,192

$

31,348

 

Corporate Bonds & Notes

 

Banking & Finance

 

0

 

4,998

 

0

 

4,998

 

 

Industrials

 

0

 

59,414

 

0

 

59,414

 

 

Utilities

 

0

 

31,637

 

0

 

31,637

 

U.S. Treasury Obligations

 

0

 

297,140

 

0

 

297,140

 

Common Stocks

 

Energy

 

9,172

 

0

 

15,503

 

24,675

 

Master Limited Partnerships

 

Energy

 

11,734

 

0

 

0

 

11,734

 

Short-Term Instruments

 

Repurchase Agreements

 

0

 

42,374

 

0

 

42,374

 

 

U.S. Treasury Bills

 

0

 

184,133

 

0

 

184,133

 

Total Investments

$

20,906

$

647,852

$

18,695

$

687,453

 

Financial Derivative Instruments - Assets

Exchange-traded or centrally cleared

 

4,235

 

63

 

0

 

4,298

 

Over the counter

 

0

 

6,693

 

0

 

6,693

 

 

$

4,235

$

6,756

$

0

$

10,991

 

Financial Derivative Instruments - Liabilities

Exchange-traded or centrally cleared

 

(281)

 

0

 

0

 

(281)

 

Over the counter

 

0

 

(175,896)

 

0

 

(175,896)

 

 

$

(281)

$

(175,896)

$

0

$

(176,177)

 

Total Financial Derivative Instruments

$

3,954

$

(169,140)

$

0

$

(165,186)

 

Totals

$

24,860

$

478,712

$

18,695

$

522,267

 

 

 

 

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended March 31, 2020:

Category and Subcategory

Beginning
Balance
at 06/30/2019

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 03/31/2020

Net Change in
Unrealized
Appreciation/
(Depreciation)
on Investments
Held at
03/31/2020 (1)

Investments in Securities, at Value

Loan Participations and Assignments

$

5,148

$

15,120

$

(7,970)

$

(46)

$

472

$

(954)

$

0

$

(8,578)

$

3,192

$

(616)

Common Stocks

 

Energy

 

0

 

15,002

 

0

 

0

 

0

 

501

 

0

 

0

 

15,503

 

501

Totals

$

5,148

$

30,122

$

(7,970)

$

(46)

$

472

$

(453)

$

0

$

(8,578)

$

18,695

$

(115)


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 03/31/2020

Valuation Technique

Unobservable Inputs

 

Input Value(s)

Weighted Average

Investments in Securities, at Value

Loan Participations and Assignments

$

3,192

Third Party Vendor

Broker Quote

 

77.500

—

Common Stocks

 

Energy

 

15,503

Discounted Cash Flow

Discount Rate

 

10.800

—

 

Consolidated Schedule of Investments PIMCO Energy and Tactical Credit Opportunities Fund (Cont.)

March 31, 2020

(Unaudited)

 

Total

$

18,695

(1)

Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at March 31, 2020 may be due to an investment no longer held or categorized as Level 3 at period end.

 

 

​

Notes to Financial Statements    

        

1. BASIS FOR CONSOLIDATION

The Subsidiary, a wholly owned subsidiary of the Fund organized under the laws of the Cayman Islands, acts as investment vehicle for 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 Subsidiary was formed on December 14, 2018. The Fund’s investment portfolio has been consolidated and includes the portfolio holdings of the Fund and the Subsidiary. Accordingly, the consolidated financial statements include the accounts of the Fund and the Subsidiary. All intercompany transactions and balances have been eliminated. The Fund may invest up to 25% of its total assets in the Subsidiary. The Subsidiary may invest without limit in commodity-linked swap agreements and other commodity-linked derivative instruments. A subscription agreement was entered into between the Fund and the Subsidiary on January 29, 2019 comprising the entire issued share capital of the Subsidiary, with the intent that the Fund will remain the sole shareholder and retain all rights. Under the Memorandum and Articles of Association, shares issued by the Subsidiary confer upon a shareholder the right to receive notice of, to attend and to vote at general meetings of the Subsidiary and shall confer upon the shareholder rights in a winding-up or repayment of capital and the right to participate in the profits or assets of the Subsidiary. The net assets of the Subsidiary as of period end represented 8.1% of the Fund’s consolidated net assets.

 

2. INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS

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

On each day that the New York Stock Exchange (“NYSE”) is open, Fund shares are ordinarily valued as of the close of regular trading (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. The Fund reserves the right to change the time as of which its NAV is calculated if the Fund closes earlier, or as permitted by the U.S. Securities and Exchange Commission.

 

For purposes of calculating a NAV, portfolio securities and other assets for which market quotes are readily available are valued at market value. Market value is generally determined on the basis of official closing prices or the last reported sales prices, or if no sales are reported, based on quotes obtained from established market makers or prices (including evaluated prices) supplied by the Fund's approved pricing services, quotation reporting systems and other third-party sources (together, “Pricing Services”). The Fund will normally use pricing data for domestic equity securities received shortly after the NYSE Close and does not normally take into account trading, clearances or settlements that take place after the NYSE Close. If market value pricing is used, a foreign (non-U.S.) equity security traded on a foreign exchange or on more than one exchange is typically valued using pricing information from the exchange considered by Pacific Investment Management Company LLC (“PIMCO” or the “Manager”) to be the primary exchange. A foreign (non-U.S.) equity security will be valued as of the close of trading on the foreign exchange, or the NYSE Close, if the NYSE Close occurs before the end of trading on the foreign exchange. Domestic and foreign (non-U.S.) fixed income securities, non-exchange traded derivatives, and equity options are normally valued on the basis of quotes obtained from brokers and dealers or Pricing Services using data reflecting the earlier closing of the principal markets for those securities. Prices obtained from Pricing Services may be based on, among other things, information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. Certain fixed income securities purchased on a delayed-delivery basis are marked to market daily until settlement at the forward settlement date. Exchange-traded options, except equity options, futures and options on futures are valued at the settlement price determined by the relevant exchange. Swap agreements are valued on the basis of bid quotes obtained from brokers and dealers or market-based prices supplied by Pricing Services. The Fund's investments in open-end management investment companies, other than exchange-traded funds ("ETFs"), are valued at the NAVs of such investments.

 

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

 

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

 

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

 

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

 

Notes to Financial Statements (Cont.)

 

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

 

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

 

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

 

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

 

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

 

Assets or liabilities categorized as Level 2 or 3 as of period end have been transferred between Levels 2 and 3 since the prior period due to changes in the method utilized in valuing the investments. Transfers from Level 3 to Level 2 are a result of the availability of current and reliable market-based data provided by pricing services or other valuation techniques which utilize significant observable inputs. In accordance with the requirements of U.S. GAAP, the amounts of transfers into and out of Level 3, if material, are disclosed in the Notes to Schedule of Investments for the Fund.

 

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

 

(c) Valuation Techniques and the Fair Value Hierarchy

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

 

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

 

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

 

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

 

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

 

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

 

Equity exchange-traded options and over the counter financial derivative instruments, such as forward foreign currency contracts and options contracts derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These contracts are normally valued on the basis of quotes obtained from a quotation reporting system, established market makers or Pricing Services (normally determined as of the NYSE Close). Depending on the product and the terms of the transaction, financial derivative instruments can be valued by Pricing Services using a series of techniques, including simulation pricing models. The pricing models use inputs that are observed

 

Notes to Financial Statements (Cont)

 

 

from actively quoted markets such as quoted prices, issuer details, indices, bid/ask spreads, interest rates, implied volatilities, yield curves, dividends and exchange rates. Financial derivative instruments that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.

 

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

 

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

 

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.

 

Discounted cash flow valuation uses an internal analysis based on the Adviser’s expectation of future income and expenses, capital structure, exit multiples of a security, and other unobservable inputs which may include contractual and factual loan factors, estimated future payments and credit rating. Significant changes in the unobservable inputs of the models would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy. 

 

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

 

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, 2020, the Fund has recorded no liability for net unrecognized tax benefits relating to uncertain income tax positions it has taken or expects to take in future tax returns.

 

The Fund files U.S. federal, state, and local tax returns as required. The Fund's tax returns are subject to examination by relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return but which can be extended to six years in certain circumstances. Tax returns for open years have incorporated no uncertain tax positions that require a provision for income taxes.

 

 

 

Glossary: (abbreviations that may be used in the preceding statements)       (Unaudited)
                     
Counterparty Abbreviations:                
BOA   Bank of America N.A.   GLM   Goldman Sachs Bank USA   MYI   Morgan Stanley & Co. International PLC
BOS   BofA Securities, Inc.   GST   Goldman Sachs International   RYL   NatWest Markets Plc
BPS   BNP Paribas S.A.   HUS   HSBC Bank USA N.A.   SOG   Societe Generale Paris
BRC   Barclays Bank PLC   JPM   JP Morgan Chase Bank N.A.   SSB   State Street Bank and Trust Co.
CBK   Citibank N.A.   MAC   Macquarie Bank Limited   TDM   TD Securities (USA) LLC
FAR   Wells Fargo Bank National Association   MBC   HSBC Bank Plc   TOR   The Toronto-Dominion Bank
FICC   Fixed Income Clearing Corporation    MYC   Morgan Stanley Capital Services LLC   UAG   UBS AG Stamford
                     
Currency Abbreviations:                
CAD   Canadian Dollar   GBP   British Pound   USD (or $)   United States Dollar
EUR   Euro                
                     
Exchange Abbreviations:                
NYMEX   New York Mercantile Exchange   OTC   Over the Counter        
                     
Index/Spread Abbreviations:                
AMNAX   Alerian Midstream Energy Total Return Index   EUR003M   3 Month EUR Swap Rate   LIBOR03M   3 Month USD-LIBOR
BRENT   Brent Crude   EURMARGIN   European Refined Margin   ULSD   Ultra-Low Sulfur Diesel
EBOBFUEL   Argus Eurobob Oxy Gasoline   EUROBOBCO   Margin Eurobob Gasoline vs. Brent   ULSDCO   Ultra-Low Sulfur Diesel Crude 
                     
Other  Abbreviations:                
LIBOR   London Interbank Offered Rate   PIK   Payment-in-Kind   TBA   To-Be-Announced
OIS   Overnight Index Swap   RBOB   Reformulated Blendstock for Oxygenate Blending   WTI   West Texas Intermediate