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UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

Investment Company Act file number: 811-21311

PIMCO High Income Fund

(Exact name of registrant as specified in charter)

1633 Broadway, New York, NY 10019

(Address of principal executive offices)

Bijal Y. Parikh

Treasurer (Principal Financial & Accounting Officer)

650 Newport Center Drive

Newport Beach, CA 92660

(Name and address of agent for service)

Copies to:

David C. Sullivan

Ropes & Gray LLP

Prudential Tower

800 Boylston Street

Boston, MA 02199

Registrant’s telephone number, including area code: (844) 337-4626

Date of fiscal year end: July 31

Date of reporting period: January 31, 2022

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.


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Item 1.      Reports to Shareholders.
  

 

The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30e-1).

 


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LOGO

 

PIMCO CLOSED-END FUNDS

Semiannual Report

 

January 31, 2022

 

PIMCO Corporate & Income Opportunity Fund | PTY | NYSE

 

PIMCO Corporate & Income Strategy Fund | PCN | NYSE

 

PIMCO High Income Fund | PHK | NYSE

 

PIMCO Income Strategy Fund | PFL | NYSE

 

PIMCO Income Strategy Fund II | PFN | NYSE


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            Page  
     

Letter from the Chair of the Board & President

        2  

Important Information About the Funds

        4  

Financial Highlights

        16  

Statements of Assets and Liabilities

        20  

Statements of Operations

        21  

Statements of Changes in Net Assets

        22  

Statements of Cash Flows

        24  

Notes to Financial Statements

        89  

Glossary

        116  

Distribution Information

        117  

Changes to Board of Trustees

        118  

Changes to Bylaws

        119  
     
Fund    Fund
Summary
     Schedule of
Investments
 
     

PIMCO Corporate & Income Opportunity Fund

     10        25  

PIMCO Corporate & Income Strategy Fund

     11        43  

PIMCO High Income Fund

     12        55  

PIMCO Income Strategy Fund

     13        66  

PIMCO Income Strategy Fund II

     14        77  


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Letter from the Chair of the Board & President              

 

Dear Shareholder,

 

We hope that you and your family are remaining safe and healthy during these challenging times. We continue to work tirelessly to navigate markets and manage the assets that you have entrusted to us. Following this letter is the PIMCO Closed-End Funds Semiannual Report, which covers the six-month reporting period ended January 31, 2022. On the subsequent pages, you will find specific details regarding investment results and discussion of the factors that most affected performance during the reporting period.

 

For the six-month reporting period ended January 31, 2022

 

The global economy continued to be affected by the COVID-19 pandemic (“COVID-19”) and its variants. Looking back, second quarter 2021 U.S. annualized gross domestic product (“GDP”) was 6.7%. Growth then moderated to 2.3% during the third quarter of the year. Finally, the Commerce Department’s second estimate for fourth quarter annualized GDP growth — released after the reporting period ended — was 7.0%.

 

In the U.S., while the Federal Reserve Board (the “Fed”) maintained the federal funds rate at an all-time low of a range between 0.00% and 0.25%, it moved closer to tightening its monetary policy. At the Fed’s meeting in early November 2021, it began reducing the monthly pace of its net asset purchases of Treasury securities and agency mortgage-backed securities. At its meeting in mid-December, the Fed further reduced the monthly pace of its purchases, with the goal of concluding its asset purchases in mid-March 2022. Finally, at his press conference following their January 2022 meeting, Fed Chair Jerome Powell said, “the committee is of a mind to raise the federal funds rate at the March meeting, assuming that the conditions are appropriate for doing so.”

 

Global economies, including the U.S., continued to be impacted by COVID-19 and by monetary and fiscal policies. In its January 2022 World Economic Outlook Update, the International Monetary Fund (“IMF”) said it expects U.S. GDP growth to be 4.0% in 2022, compared to a 5.6% expansion in 2021. In addition, the IMF expects 2022 GDP growth in the eurozone, U.K. and Japan will be 3.9%, 4.7% and 3.3%, respectively. For comparison purposes, the GDP of these economies grew 5.2%, 7.2% and 1.6%, respectively, in 2021.

 

The Bank of England (the “BoE”) also tightened its monetary policy, while several other developed country central banks maintained their accommodative stances. In December 2021, the BoE surprised the market and raised rates for the first time since COVID-19 began. The BoE cited underlying inflation pressures and expects inflation to remain high in the coming months. The BoE again raised rates at its meeting in early February 2022 (after the reporting period ended). While the European Central Bank (the “ECB”) initially diverged from the Fed and the BoE, persistent inflation may cause the central bank to tighten monetary policy later in the year. Elsewhere, the Bank of Japan (the “BoJ”) maintained its loose monetary policy and appears likely to remain accommodative in the near future given the headwinds facing its economy.

 

Both short- and long-term U.S. Treasury yields moved sharply higher during the reporting period. The yield on the benchmark 10-year U.S. Treasury note was 1.79% at the end of the reporting period, versus 1.24% on July 31, 2021. The Bloomberg Global Treasury Index (USD Hedged), which tracks fixed-rate, local currency government debt of investment-grade countries, including both developed and emerging markets, returned -2.58%. Meanwhile, the Bloomberg Global Aggregate Credit Index (USD Hedged), a widely used index of global investment-grade credit bonds, returned -3.54%. Riskier fixed income asset classes, including high yield corporate bonds and emerging market debt, were also weak. The ICE BofAML Developed Markets High Yield Constrained Index (USD Hedged), a widely used index of below-investment-grade bonds, returned -1.42%, whereas emerging market external debt, as represented by the JPMorgan Emerging Markets Bond Index (EMBI) Global (USD Hedged), returned -3.91%. Emerging market local bonds, as represented by the JPMorgan Government Bond Index-Emerging Markets Global Diversified Index (Unhedged), returned -5.16%.

 

       
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Amid periods of volatility, global equities posted mixed results. All told, U.S. equities, as represented by the S&P 500 Index, returned 3.44%, fueled by overall positive investor demand and growth in the economy. Global equities, as represented by the MSCI World Index, gained 0.26%, whereas emerging market equities, as measured by the MSCI Emerging Markets Index, returned -4.59%. Meanwhile, Japanese equities, as represented by the Nikkei 225 Index (in JPY), returned -0.22% and European equities, as represented by the MSCI Europe Index (in EUR), gained 3.09%.

 

Commodity prices were volatile and generated mixed results. When the reporting period began, Brent crude oil was approximately $76 a barrel. Brent crude oil ended the reporting period at roughly $90 a barrel. We believe that a driver of the increase in oil price was stronger demand as global growth improved. Elsewhere, copper and gold prices declined.

 

Finally, there were also periods of volatility in the foreign exchange markets, in our view due to economic growth expectations, changing central bank monetary policies, rising inflation, COVID-19 variants and several geopolitical events. The U.S. dollar strengthened against several major currencies. For example, the U.S. dollar returned 5.35%, 3.29% and 4.68% versus the euro, the British pound and the Japanese yen, respectively.

 

Thank you for the assets you have placed with us. We deeply value your trust, and we will continue to work diligently to meet your broad investment needs. For any questions regarding your PIMCO closed-end funds investments, please contact your financial advisor or call the Funds’ shareholder servicing agent at (844) 33-PIMCO. We also invite you to visit our website at www.pimco.com to learn more about our global viewpoints.

 

Sincerely,

 

LOGO   LOGO
LOGO   LOGO
Deborah A. DeCotis   Eric D. Johnson
Chair of the Board of Trustees   President

 

Past performance is no guarantee of future results. Unless otherwise noted, index returns reflect the reinvestment of income distributions and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. It is not possible to invest directly in an unmanaged index.

 

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Important Information About the Funds              

 

We believe that bond funds have an important role to play in a well-diversified investment portfolio. It is important to note, however, that in an environment where interest rates may trend upward, rising rates would negatively impact the performance of most bond funds, and fixed income securities and other instruments held by a Fund are likely to decrease in value. A wide variety of factors can cause interest rates or yields of U.S. Treasury securities (or yields of other types of bonds) to rise (e.g., central bank monetary policies, inflation rates, general economic conditions, etc.). In addition, changes in interest rates can be sudden and unpredictable, and there is no guarantee that Fund management will anticipate such movement accurately. A Fund may lose money as a result of movements in interest rates.

 

As of the date of this report, interest rates in the United States and many parts of the world, including certain European countries, are at or near historically low levels. Thus, the Funds currently face a heightened level of risk associated with rising interest rates and/or bond yields. This could be driven by a variety of factors, including but not limited to central bank monetary policies, changing inflation or real growth rates, general economic conditions, increasing bond issuances or reduced market demand for low yielding investments. Further, while bond markets have steadily grown over the past three decades, dealer inventories of corporate bonds are near historic lows in relation to market size. As a result, there has been a significant reduction in the ability of dealers to “make markets.”

 

Bond funds and individual bonds with a longer duration (a measure used to determine the sensitivity of a security’s price to changes in interest rates) tend to be more sensitive to changes in interest rates, usually making them more volatile than securities or funds with shorter durations. All of the factors mentioned above, individually or collectively, could lead to increased volatility and/or lower liquidity in the fixed income markets or negatively impact a Fund’s performance or cause a Fund to incur losses.

 

The use of derivatives may subject the Funds to greater volatility than investments in traditional securities. The Funds may use derivative instruments for hedging purposes or as part of an investment strategy. Use of these instruments may involve certain costs and risks such as liquidity risk, interest rate risk, market risk, call risk, credit risk, leverage risk, management risk and the risk that a Fund may not be able to close out a position when it would be most advantageous to do so. Changes in regulation relating to a Fund’s use of derivatives and related instruments could potentially limit or impact a Fund’s ability to invest in derivatives, limit a Fund’s ability to employ certain strategies that use derivatives and/or adversely affect the value or performance of derivatives and the Fund. Certain derivative transactions may have a leveraging effect on a Fund. For example, a small investment in a derivative instrument may have a significant impact on a Fund’s

exposure to interest rates, currency exchange rates or other investments. As a result, a relatively small price movement in an asset, instrument or component of the index underlying a derivative instrument may cause an immediate and substantial loss or gain, which translates into heightened volatility in a Fund’s NAV. A Fund may engage in such transactions regardless of whether the Fund owns the asset, instrument or components of the index underlying the derivative instrument. A Fund may invest a significant portion of its assets in these types of instruments. If it does, a Fund’s investment exposure could far exceed the value of its portfolio securities and its investment performance could be primarily dependent upon securities it does not own.

 

Certain Funds’ monthly distributions may include, among other possible sources, interest income from its debt portfolio and payments and premiums (characterized as capital for financial accounting purposes and as ordinary income for tax purposes) generated by certain types of interest rate derivatives.

 

Strategies involving interest rate derivatives (including swaps that are paired) may attempt to capitalize on differences between short-term and long-term interest rates as part of a Fund’s duration and yield curve active management strategies. For instance, in the event that long-term interest rates are higher than short-term interest rates, the Fund may elect to pay a floating short-term interest rate and to receive a long-term fixed interest rate for a stipulated period of time, thereby generating payments as a function of the difference between current short-term interest rates and long-term interest rates, so long as the floating short-term interest rate (which may rise) is lower than the fixed long-term interest rate.

 

The notional exposure of a Fund’s interest rate derivatives may represent a multiple of the Fund’s total net assets. There can be no assurance a Fund’s strategies involving interest rate derivatives will work as intended and such strategies are subject to the risks related to the use of derivatives generally, as discussed above (see also Notes 6 and 7 in the Notes to Financial Statements for further discussion on the use of derivative instruments and certain of the risks associated therewith).

 

A Fund’s use of leverage creates the opportunity for increased income for the Fund’s common shareholders, but also creates special risks. Leverage is a speculative technique that may expose a Fund to greater risk and increased costs. If shorter-term interest rates rise relative to the rate of return on a Fund’s portfolio, the interest and other costs of leverage to the Fund could exceed the rate of return on the debt obligations and other investments held by the Fund, thereby reducing return to the Fund’s common shareholders. In addition, fees and expenses of any form of leverage used by a Fund will be borne entirely by its common shareholders (and not by preferred shareholders, if any)

 

 

       
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and will reduce the investment return of the Fund’s common shares. Moreover, to make payments of interest and other loan costs, a Fund may be forced to sell portfolio securities when it is not otherwise advantageous to do so.

 

In addition, because the fees received by PIMCO are based on the average weekly total managed assets (including any assets attributable to any preferred shares or other forms of leverage that may be outstanding) minus any accrued liabilities (other than liabilities representing leverage) of PIMCO Income Strategy Fund and PIMCO Income Strategy Fund II, and on the average daily net asset value (including daily net assets attributable to any preferred shares that may be outstanding) of PIMCO Corporate & Income Opportunity Fund, PIMCO Corporate & Income Strategy Fund and PIMCO High Income Fund, PIMCO has a financial incentive for a Fund to use certain forms of leverage, which may create a conflict of interest between PIMCO, on the one hand, and the common shareholders of a Fund, on the other hand.

 

There can be no assurance that a Fund’s use of leverage will result in a higher yield on its common shares, and it may result in losses. Leverage creates several major types of risks for a Fund’s common shareholders, including: (1) the likelihood of greater volatility of NAV and market price of the Fund’s common shares, and of the investment return to the Fund’s common shareholders, than a comparable portfolio without leverage; (2) the possibility either that the Fund’s common share dividends will fall if the interest and other costs of leverage rise, or that dividends paid on the Fund’s common shares will fluctuate because such costs vary over time; and (3) the effects of leverage in a declining market or a rising interest rate environment, as leverage is likely to cause a greater decline in the NAV of the Fund’s common shares than if the Fund were not leveraged and may result in a greater decline in the market value of the Fund’s common shares.

 

A Fund’s investments in and exposure to foreign securities involve special risks. For example, the value of these investments may decline in response to unfavorable political and legal developments, unreliable or untimely information or economic and financial instability. Foreign securities may experience more rapid and extreme changes in value than investments in securities of U.S. issuers. The securities markets of certain foreign countries are relatively small, with a limited number of companies representing a small number of industries. Issuers of foreign securities are usually not subject to the same degree of regulation as U.S. issuers. Reporting, accounting, auditing and custody standards of foreign countries differ, in some cases significantly, from U.S. standards. Also, nationalization, expropriation or other confiscation, currency blockage, political changes or diplomatic developments could adversely affect a Fund’s investments in foreign securities. In the event of nationalization, expropriation or other confiscation, a Fund could

lose its entire investment in foreign securities. Investing in foreign (non-U.S.) securities may entail risk due to foreign (non-U.S.) economic and political developments; this risk may be increased when investing in emerging markets. For example, if a Fund invests in emerging market debt, it may face increased exposure to interest rate, liquidity, volatility, and redemption risk due to the specific economic, political, geographical, or legal background of the foreign (non-U.S.) issuer.

 

Classifications of the Funds’ portfolio holdings in this report are made according to financial reporting standards. The classification of a particular portfolio holding as shown in the Allocation Breakdown and Schedule of Investments sections of this report may differ from the classification used for the Funds’ compliance calculations, including those used in the Funds’ prospectus, investment objectives, regulatory, and other investment limitations and policies, which may be based on different asset class, sector or geographical classifications. Each Fund is separately monitored for compliance with respect to prospectus and regulatory requirements.

 

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.

 

Beginning in January 2020, global financial markets have experienced and may continue to experience significant volatility resulting from the spread of a novel coronavirus known as COVID-19. The outbreak of COVID-19 has resulted in travel and border restrictions, quarantines, supply chain disruptions, lower consumer demand and general market uncertainty. The effects of COVID-19 have and may continue to adversely affect the global economy, the economies of certain nations and individual issuers, all of which may negatively impact the Funds’ performance. In addition, COVID-19 and governmental responses to COVID-19 may negatively impact the capabilities of the Funds’ service providers and disrupt the Funds’ operations.

 

The United States’ enforcement of restrictions on U.S. investments in certain issuers and tariffs on goods from other countries, each with a focus on China, has contributed to international trade tensions and may impact portfolio securities.

 

The United Kingdom’s withdrawal from the European Union may impact Fund returns. The withdrawal may cause substantial volatility in foreign exchange markets, lead to weakness in the exchange rate of the British pound, result in a sustained period of market uncertainty, and destabilize some or all of the other European Union member countries and/or the Eurozone.

 

The Funds may invest in certain instruments that rely in some fashion upon the London Interbank Offered Rate (“LIBOR”). LIBOR is an average

 

 

         SEMIANNUAL REPORT     |     JANUARY 31, 2022     5
    


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Important Information About the Funds   (Cont.)  

 

interest rate, determined by the ICE Benchmark Administration, that banks charge one another for the use of short-term money. The United Kingdom’s Financial Conduct Authority, which regulates LIBOR, has announced plans to ultimately phase out the use of LIBOR. The transition may result in a reduction in the value of certain instruments held by a Fund or a reduction in the effectiveness of related Fund transactions such as hedges. There remains uncertainty regarding future utilization of LIBOR and the nature of any replacement rate (e.g., the Secured Overnight Financing Rate, which is intended to replace U.S. dollar LIBOR and measures the cost of overnight borrowings through repurchase agreement transactions collateralized with U.S. Treasury securities). Any potential effects of the transition away from LIBOR on a Fund or on certain instruments in which a Fund invests can be difficult to ascertain, and they may vary depending on a variety of factors. The transition may also result in a reduction in the value of certain instruments held by a Fund or a reduction in the effectiveness of related Fund transactions such as hedges. Any such effects of the transition away from LIBOR, as well as other unforeseen effects, could result in losses to a Fund.

 

The Funds may be subject to various risks, including, but not limited to, the following: asset allocation risk, credit risk, distressed and defaulted securities risk, contingent convertible securities risk, high yield securities risk, market risk, issuer risk, liquidity risk, equity securities and related market risk, mortgage-related and other asset-backed securities risk, prepayment risk, privately issued mortgage-related securities risk, mortgage-related and other asset-backed securities risk, foreign (non-U.S.) investment risk, “covenant-lite” obligations risk, subprime risk, emerging markets risk, currency risk, redenomination risk, management risk, inflation-indexed security risk, senior debt risk, loans and other indebtedness; participations and assignments risk, reinvestment risk, real estate risk, U.S. Government securities risk, valuation risk, segregation and coverage risk, focused investment risk, credit default swaps risk, counterparty risk, preferred securities risk, confidential information access risk, other investment companies risk, private placements risk, inflation/deflation risk, regulatory changes risk, regulatory risk — LIBOR, regulatory risk — commodity pool operator, tax risk, market disruptions risk, potential conflicts of interest involving allocation of investment opportunities, repurchase agreements risk, zero-coupon bond, step-ups and payment-in-kind securities risk, portfolio turnover risk, smaller company risk, short sale risk, convertible securities risk, market discount risk, interest rate risk, leverage risk, call risk, derivatives risk, synthetic convertible securities risk, operational risk, cybersecurity risk, structured investments risk, collateralized loan obligations risk, distribution risk and restricted securities risk. A description of certain of these risks is available in the Notes to Financial Statements of this report.

 

Investments in loans through a purchase of a loan or a direct assignment of a financial institution’s interests with respect to a loan

are generally subject to risks similar to those of investments in other types of debt obligations, including, among others, credit risk, interest rate risk, variable and floating rate securities risk, and, as applicable, risks associated with mortgage-related securities. In addition, in many cases loans are subject to the risks associated with below-investment grade securities. In the case of a loan participation or assignment, a Fund generally has no right to enforce compliance with the terms of the loan agreement with the borrower. As a result, a Fund may be subject to the credit risk of both the borrower and the lender that is selling the loan agreement. In the event of the insolvency of the lender selling a loan participation, a Fund may be treated as a general creditor of the lender and may not benefit from any set-off between the lender and the borrower. A Fund may be subject to heightened or additional risks and potential liabilities and costs by investing in mezzanine and other subordinated loans, including those arising under bankruptcy, fraudulent conveyance, equitable subordination, lender liability, environmental and other laws and regulations, and risks and costs associated with debt servicing and taking foreclosure actions associated with the loans.

 

Mortgage-related and other asset-backed securities represent interests in “pools” of mortgages or other assets such as consumer loans or receivables held in trust and often involve risks that are different from or possibly more acute than risks associated with other types of debt instruments. Generally, rising interest rates tend to extend the duration of fixed rate mortgage-related securities, making them more sensitive to changes in interest rates. As a result, in a period of rising interest rates, if a Fund holds mortgage-related securities, it may exhibit additional volatility since individual mortgage holders are less likely to exercise prepayment options, thereby putting additional downward pressure on the value of these securities and potentially causing the Fund to lose money. This is known as extension risk. Mortgage-backed securities can be highly sensitive to rising interest rates, such that even small movements can cause an investing Fund to lose value. Mortgage-backed securities, and in particular those not backed by a government guarantee, are subject to credit risk. In addition, adjustable and fixed rate mortgage-related securities are subject to prepayment risk. When interest rates decline, borrowers may pay off their mortgages sooner than expected. This can reduce the returns of the Funds because the Funds may have to reinvest that money at the lower prevailing interest rates. The Funds’ investments in other asset-backed securities are subject to risks similar to those associated with mortgage-related securities, as well as additional risks associated with the nature of the assets and the servicing of those assets. Payment of principal and interest on asset- backed securities may be largely dependent upon the cash flows generated by the assets backing the securities, and asset-backed securities may not have the benefit of any security interest in the related assets. Additionally, investments in

 

 

       
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subordinate mortgage-backed and other asset-backed instruments will be subject to risks arising from delinquencies and foreclosures, thereby exposing a Fund’s investment portfolio to potential losses. Subordinate securities of mortgage-backed and other asset-backed instruments are also subject to greater credit risk than those mortgage-backed or other asset-backed securities that are more highly rated.

 

A Fund may also invest in the residual or equity tranches of mortgage- related and other asset-backed instruments, which may be referred to as subordinate mortgage-backed or asset-backed instruments and interest-only mortgage-backed or asset-backed instruments. Because an investment in the residual or equity tranche of a mortgage-related or other asset-backed instrument will be the first to bear losses incurred by such instrument, these investments may involve a significantly greater degree of risk than investments in other tranches of a mortgage-related or other asset-backed instruments.

 

The risk of investing in collateralized loan obligations (“CLOs”), include prepayment risk, credit risk, liquidity risk, market risk, structural risk, legal risk and interest rate risk. CLOs may carry additional risks, including, but not limited to: (i) the possibility that distributions from collateral securities will not be adequate to make interest or other payments; (ii) the quality of the collateral may decline in value or default; (iii) the possibility that the investments in CLOs are subordinate to other classes or tranches thereof; and (iv) the complex structure of the security may not be fully understood at the time of investment and may produce disputes with the issuer or unexpected investment results.

 

High-yield bonds (commonly referred to as “junk bonds”) typically have a lower credit rating than other bonds. Lower-rated bonds generally involve a greater risk to principal than higher-rated bonds. Further, markets for lower-rated bonds are typically less liquid than for higher- rated bonds, and public information is usually less abundant in markets for lower-rated bonds. Thus, high yield investments increase the chance that a Fund will lose money. PIMCO does not rely solely on credit ratings, and develops its own analysis of issuer credit quality. A Fund may purchase unrated securities (which are not rated by a rating agency) if PIMCO determines that the security is of comparable quality to a rated security that a Fund may purchase. Unrated securities may be less liquid than comparable rated securities and involve the risk that PIMCO may not accurately evaluate the security’s comparative credit quality, which could result in a Fund’s portfolio having a higher level of credit and/or high yield risk than PIMCO has estimated or desires for the Fund, and could negatively impact the Fund’s performance and/or returns. Certain Funds may invest a substantial portion of their assets in unrated securities and therefore may be particularly subject to the associated risks. To the extent that a Fund invests in high yield and/or unrated securities, the Fund’s success in achieving its investment objectives may depend more heavily on the portfolio manager’s

creditworthiness analysis than if the Fund invested exclusively in higher-quality and rated securities. The Funds may hold defaulted securities that may involve special considerations including bankruptcy proceedings, other regulatory and legal restrictions affecting the Funds’ ability to trade, and the availability of prices from independent pricing services or dealer quotations. Defaulted obligations might be repaid only after lengthy workout or bankruptcy proceedings, during which the issuer might not make any interest or other payments. Defaulted securities are often illiquid and may not be actively traded. Sales of securities in bankrupt companies at an acceptable price may be difficult and differences compared to the value of the securities used by the Funds could be material. The credit quality of a particular security or group of securities does not ensure the stability or safety of the overall portfolio.

 

Contingent convertible securities (“CoCos”) are a form of hybrid debt security issued primarily by non-U.S. issuers, which have loss absorption mechanisms built into their terms. The risks of investing in CoCos include, without limitation, the risk that interest payments will be cancelled by the issuer or a regulatory authority, the risk of ranking junior to other creditors in the event of a liquidation or other bankruptcy-related event as a result of holding subordinated debt, the risk of the Fund’s investment becoming further subordinated as a result of conversion from debt to equity, the risk that the principal amount due can be written down to a lesser amount, and the general risks applicable to fixed income investments, including interest rate risk, credit risk, market risk and liquidity risk, any of which could result in losses to the Fund. CoCos may experience a loss absorption mechanism trigger event, which would likely be the result of, or related to, the deterioration of the issuer’s financial condition (e.g., a decrease in the issuer’s capital ratio) and status as a going concern. In such a case, with respect to CoCos that provide for conversion into common stock upon the occurrence of the trigger event, the market price of the issuer’s common stock received by the Fund will have likely declined, perhaps substantially, and may continue to decline, which may adversely affect the Fund’s NAV.

 

Variable and floating rate securities may decline in value if their interest rates do not rise as much, or as quickly, as interest rates in general. Conversely, floating rate securities will not generally increase in value if interest rates decline. Inverse floating rate securities may decrease in value if interest rates increase. Inverse floating rate securities may also exhibit greater price volatility than a fixed rate obligation with similar credit quality. When a Fund holds variable or floating rate securities, a decrease (or, in the case of inverse floating rate securities, an increase) in market interest rates will adversely affect the income received from such securities and the NAV of the Funds’ shares.

 

 

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Important Information About the Funds   (Cont.)  

 

As the use of technology has become more prevalent in the course of business, the Funds have become potentially more susceptible to operational and information security risks resulting from breaches in cyber security. A breach in cyber security refers to both intentional and unintentional cyber events that may, among other things, cause a Fund to lose proprietary information, suffer data corruption and/or destruction or lose operational capacity, result in the unauthorized release or other misuse of confidential information, or otherwise disrupt normal business operations.

 

Cyber security failures or breaches may result in financial losses to a Fund and its shareholders. These failures or breaches may also result in disruptions to business operations, potentially resulting in financial losses; interference with a Fund’s ability to calculate its NAV, process shareholder transactions or otherwise transact business with shareholders; impediments to trading; violations of applicable privacy and other laws; regulatory fines; penalties; reputational damage; reimbursement or other compensation costs; additional compliance and cyber security risk management costs and other adverse consequences. In addition, substantial costs may be incurred in an attempt to prevent any cyber incidents in the future.

 

There is also a risk that cyber security breaches may not be detected. The Funds and their shareholders could be negatively impacted as a result.

 

On each applicable Fund Summary page in this Shareholder Report, the Average Annual Total Return table measures performance assuming that any dividend and capital gain distributions were reinvested. Total return is calculated by determining the percentage change in NAV or market price (as applicable) in the specified period. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total return for a period of more than one year represents the average annual total return. Performance at market price will differ from results at NAV. Although market price returns tend to reflect investment results over time, during shorter periods returns at market price can also be influenced by factors such as changing views about a Fund, market conditions, supply and demand for the Fund’s shares, or changes in the Fund’s dividends. Performance shown is net of fees and expenses. Historical NAV performance for a Fund may have been positively impacted by fee waivers or expense limitations in place during some or all of the periods shown, if applicable. Future performance (including total return or yield) and distributions may be negatively impacted by the expiration or reduction of any such fee waivers or expense limitations.

 

The dividend rate that a Fund pays on its common shares may vary as portfolio and market conditions change, and will depend on a number of factors, including without limit the amount of a Fund’s undistributed

net investment income and net short- and long-term capital gains, as well as the costs of any leverage obtained by a Fund. As portfolio and market conditions change, the rate of distributions on the common shares and a Fund’s dividend policy could change. There can be no assurance that a change in market conditions or other factors will not result in a change in a Fund distribution rate or that the rate will be sustainable in the future.

 

The following table discloses the inception date and diversification status of each Fund:

 

Fund Name        

Inception Date

    Diversification
Status
 

PIMCO Corporate & Income Opportunity Fund

      12/27/02       Diversified  

PIMCO Corporate & Income Strategy Fund

      12/21/01       Diversified  

PIMCO High Income Fund

      04/30/03       Diversified  

PIMCO Income Strategy Fund

      08/29/03       Diversified  

PIMCO Income Strategy Fund II

      10/29/04       Diversified  

 

An investment in a Fund is not a bank deposit and is not guaranteed or insured by the Federal Deposit Insurance Corporation or any other government agency. It is possible to lose money on investments in the Funds.

 

The Trustees are responsible generally for overseeing the management of the Funds. The Trustees authorize the Funds to enter into service agreements with Pacific Investment Management Company LLC (“PIMCO”) and other service providers in order to provide, and in some cases authorize service providers to procure through other parties, necessary or desirable services on behalf of the Funds. Shareholders are not parties to or third-party beneficiaries of such service agreements. Neither a Fund’s prospectus or Statement of Additional Information (“SAI”), any press release or shareholder report, any contracts filed as exhibits to a Fund’s registration statement, nor any other communications, disclosure documents or regulatory filings (including this report) from or on behalf of a Fund creates a contract between or among any shareholders of a Fund, on the one hand, and the Fund, a service provider to the Fund, and/or the Trustees or officers of the Fund, on the other hand.

 

The Trustees (or the Funds and their officers, service providers or other delegates acting under authority of the Trustees) may amend its most recent prospectus or use a new prospectus or SAI with respect to a Fund, adopt and disclose new or amended policies and other changes in press releases and shareholder reports and/or amend, file and/or issue any other communications, disclosure documents or regulatory filings, and may amend or enter into any contracts to which a Fund is a party, and interpret the investment objective(s), policies, restrictions and contractual provisions applicable to any Fund, without shareholder input or approval, except in circumstances in which shareholder approval is specifically required by law (such as changes to

 

 

       
8   PIMCO CLOSED-END FUNDS            


Table of Contents
        

 

fundamental investment policies) or where a shareholder approval requirement was specifically disclosed in a Fund’s then-current prospectus, SAI or shareholder report and is otherwise still in effect.

 

PIMCO has adopted written proxy voting policies and procedures (“Proxy Policy”) as required by Rule 206(4)-6 under the Investment Advisers Act of 1940, as amended. The Proxy Policy has been adopted by the Funds as the policies and procedures that PIMCO will use when voting proxies on behalf of the Funds. A description of the policies and procedures that PIMCO uses to vote proxies relating to portfolio securities of each Fund, and information about how each Fund voted proxies relating to portfolio securities held during the most recent twelve-month period ended July 31st, are available without charge, upon request, by calling the Funds at (844) 33-PIMCO, on the Funds’ website at www.pimco.com, and on the Securities and Exchange Commission’s (“SEC”) website at www.sec.gov.

 

The Funds file portfolio holdings information with the SEC on Form N-PORT within 60 days of the end of each fiscal quarter. The Funds’ complete schedules of securities holdings as of the end of each fiscal quarter will be made available to the public on the SEC’s website at www.sec.gov and on PIMCO’s website at www.pimco.com, and will be made available, upon request, by calling PIMCO at (844) 33-PIMCO.

 

The SEC adopted a rule that allows shareholder reports to be delivered to investors by providing access to such reports online free of charge and by mailing a notice that the report is electronically available. Pursuant to the rule, investors may elect to receive all reports in paper free of charge by contacting their financial intermediary or, if invested directly with a Fund, investors can inform the Fund by calling (844) 33-PIMCO. Any election to receive reports in paper will apply to all funds held with the fund complex if invested directly with a Fund or to all funds held in the investor’s account if invested through a financial intermediary, such as a broker-dealer or bank.

 

In April 2020, the SEC adopted amended rules modifying the registration, communications, and offering processes for registered closed-end funds and interval funds. Among other things, the amendments: (1) permit qualifying closed-end funds to use a short-form registration statement to offer securities in eligible transactions and certain funds to qualify as Well Known Seasoned Issuers; (2) permit interval funds to pay registration fees based on net issuance of shares in a manner similar to mutual funds; (3) require closed-end funds and interval funds to include additional disclosures in their annual reports; and (4) require certain information to be filed in interactive data format. The new rules have phased compliance dates, with some requirements having already taken effect and others requiring compliance as late as February 1, 2023.

In October 2020, the SEC adopted a rule related to the use of derivatives, short sales, reverse repurchase agreements and certain other transactions by registered investment companies that rescinds and withdraws the guidance of the SEC and its staff regarding asset segregation and cover transactions. Subject to certain exceptions, and after an eighteen-month transition period, the rule requires funds to trade derivatives and other transactions that create future payment or delivery obligations (except reverse repurchase agreements and similar financing transactions) subject to a value-at-risk leverage limit, certain derivatives risk management program and reporting requirements. These requirements may limit the ability of the Funds to use derivatives and reverse repurchase agreements and similar financing transactions as part of their investment strategies and may increase the cost of the Funds’ investments and cost of doing business, which could adversely affect investors.

 

In October 2020, the SEC adopted a rule regarding the ability of a fund to invest in other funds. The rule allows a fund to acquire shares of another fund in excess of certain limitations currently imposed by the Investment Company Act of 1940 (the “Act”) without obtaining individual exemptive relief from the SEC, subject to certain conditions. The rule also includes the rescission of certain exemptive relief from the SEC and guidance from the SEC staff for funds to invest in other funds. The effective date for the rule was January 19, 2021, and the compliance date for the rule was January 19, 2022.

 

In December 2020, the SEC adopted a rule addressing fair valuation of fund investments. The new rule sets forth requirements for good faith determinations of fair value as well as for the performance of fair value determinations, including related oversight and reporting obligations. The new rule also defines “readily available market quotations” for purposes of the definition of “value” under the Act, and the SEC noted that this definition will apply in all contexts under the Act. The SEC adopted an eighteen-month transition period beginning from the effective date for both the new rule and the associated new recordkeeping requirements. The impact of the new rule on the Funds is uncertain at this time.

 

 

         SEMIANNUAL REPORT     |     JANUARY 31, 2022     9
    


Table of Contents

PIMCO Corporate & Income Opportunity Fund

 

Symbol on NYSE - PTY

 

Allocation Breakdown as of January 31, 2022§

 

Corporate Bonds & Notes

    47.0%  

Loan Participations and Assignments

    24.8%  

Asset-Backed Securities

    6.1%  

Non-Agency Mortgage-Backed Securities

    6.0%  

Preferred Securities

    3.8%  

Short-Term Instruments

    3.1%  

Sovereign Issues

    2.6%  

Common Stocks

    1.5%  

Municipal Bonds & Notes

    1.4%  

U.S. Government Agencies

    1.2%  

Real Estate Investment Trusts

    1.2%  

Warrants

    1.1%  

Other

    0.2%  
   

% of Investments, at value.

 

  § 

Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any.

 

Fund Information (as of January 31, 2022)(1)

 

Market Price

    $15.78  

NAV

    $13.80  

Premium/(Discount) to NAV

    14.35%  

Market Price Distribution Rate(2)

    9.03%  

NAV Distribution Rate(2)

    10.33%  

Total Effective Leverage(3)

    46.08%  

 

 

 

Average Annual Total Return(1) for the period ended January 31, 2022  
    6 Month*     1 Year     5 Year     10 Year     Commencement
of Operations
(12/27/02)
 
Market Price     (19.92)%       (3.93)%       10.55%       10.42%       12.91%  
NAV     0.84%       8.45%       11.76%       13.28%       13.52%  

 

All Fund returns are net of fees and expenses and include applicable fee waivers and/or expense limitations. Absent any applicable fee waivers and/or expense limitations, performance would have been lower and there can be no assurance that any such waivers or limitations will continue in the future.

 

* Cumulative return

 

(1) 

Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the sale of Fund shares. Total return, market price, NAV, market price distribution rate, and NAV distribution rate will fluctuate with changes in market conditions. The NAV presented may differ from the NAV reported for the same period in other Fund materials. Performance current to the most recent month-end is available at www.pimco.com or via (844) 33-PIMCO. Performance is calculated assuming all dividends and distributions are reinvested at prices obtained under the Fund’s dividend reinvestment plan. Performance does not reflect any brokerage commissions in connection with the purchase or sale of Fund shares.

 

(2) 

Distribution rates are not performance and are calculated by annualizing the most recent distribution per share and dividing by the NAV or market price, as applicable, as of the reported date. Distributions may be comprised of ordinary income, net capital gains, and/or a return of capital (‘‘ROC’’) of your investment in the Fund. Because the distribution rate may include a ROC, it should not be confused with yield or income. If the Fund estimates that a portion of its distribution may be comprised of amounts from sources other than net investment income in accordance with its policies and good accounting practices, the Fund will notify shareholders of the estimated composition of such distribution through a Section 19 Notice. Please refer to the most recent Section 19 Notice, if applicable, for additional information regarding the estimated composition of distributions. Please visit www.pimco.com for most recent Section 19 Notice, if applicable. Final determination of a distribution’s tax character will be provided to shareholders when such information is available.

 

(3) 

Represents total effective leverage outstanding, as a percentage of total managed assets. Total effective leverage consists of preferred shares, reverse repurchase agreements and other borrowings, credit default swap notional and floating rate notes issued in tender option bond transactions, as applicable (collectively “Total Effective Leverage”). The Fund may engage in other transactions not included in Total Effective Leverage disclosed above that may give rise to a form of leverage, including certain derivative transactions. For the purpose of calculating Total Effective Leverage outstanding as a percentage of total managed assets, total managed assets refer to total assets (including assets attributable to Total Effective Leverage that may be outstanding) minus accrued liabilities (other than liabilities representing Total Effective Leverage).

 

Investment Objective and Strategy Overview

 

PIMCO Corporate & Income Opportunity Fund’s investment objective is to seek maximum total return through a combination of current income and capital appreciation.

 

Fund Insights at NAV

 

The following affected performance (on a gross basis) during the reporting period:

 

»   Exposure to the mortgage credit sector contributed to absolute performance, as the sector posted positive returns.

 

»   Exposure to the bank loans sector contributed to absolute performance, as the sector posted positive returns.

 

»   Exposure to select special situation related corporate investments, which include companies undergoing stress, distress, challenges, or significant transition, contributed to absolute performance, as select issuers posted positive returns.

 

»   Exposure to the emerging market debt sector detracted from absolute performance, as the sector posted negative returns.

 

»   Exposure to the investment grade corporate credit sector detracted from absolute performance, as the sector posted negative returns.

 

»   Exposure to the bank capital sector detracted from absolute performance, as the sector posted negative returns.

 

       
10   PIMCO CLOSED-END FUNDS            


Table of Contents

PIMCO Corporate & Income Strategy Fund

 

  Symbol on NYSE - PCN

 

Allocation Breakdown as of January 31, 2022§

 

Corporate Bonds & Notes

    42.4%  

Loan Participations and Assignments

    18.3%  

Asset-Backed Securities

    8.7%  

Non-Agency Mortgage-Backed Securities

    6.7%  

Preferred Securities

    6.4%  

Short-Term Instruments

    4.8%  

Municipal Bonds & Notes

    3.1%  

Sovereign Issues

    2.6%  

Common Stocks

    2.0%  

Real Estate Investment Trusts

    1.7%  

U.S. Government Agencies

    1.5%  

Warrants

    1.4%  

Convertible Bonds & Notes

    0.4%  
   

% of Investments, at value.

 

  § 

Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any.

Fund Information (as of January 31, 2022)(1)

 

Market Price

    $15.83  

NAV

    $13.97  

Premium/(Discount) to NAV

    13.31%  

Market Price Distribution Rate(2)

    8.53%  

NAV Distribution Rate(2)

    9.66%  

Total Effective Leverage(3)

    36.76%  

 

 

 

Average Annual Total Return(1) for the period ended January 31, 2022  
    6 Month*     1 Year     5 Year     10 Year     Commencement
of Operations
(12/21/01)
 
Market Price     (12.97)%       (0.34)%       9.13%       9.71%       11.18%  
NAV     0.76%       7.21%       9.35%       11.57%       11.43%  

 

All Fund returns are net of fees and expenses and include applicable fee waivers and/or expense limitations. Absent any applicable fee waivers and/or expense limitations, performance would have been lower and there can be no assurance that any such waivers or limitations will continue in the future.

 

* Cumulative return

 

(1) 

Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the sale of Fund shares. Total return, market price, NAV, market price distribution rate, and NAV distribution rate will fluctuate with changes in market conditions. The NAV presented may differ from the NAV reported for the same period in other Fund materials. Performance current to the most recent month-end is available at www.pimco.com or via (844) 33-PIMCO. Performance is calculated assuming all dividends and distributions are reinvested at prices obtained under the Fund’s dividend reinvestment plan. Performance does not reflect any brokerage commissions in connection with the purchase or sale of Fund shares.

 

(2) 

Distribution rates are not performance and are calculated by annualizing the most recent distribution per share and dividing by the NAV or Market Price, as applicable, as of the reported date. Distributions may be comprised of ordinary income, net capital gains, and/or a return of capital (‘‘ROC’’) of your investment in the Fund. Because the distribution rate may include a ROC, it should not be confused with yield or income. If the Fund estimates that a portion of its distribution may be comprised of amounts from sources other than net investment income in accordance with its policies and good accounting practices, the Fund will notify shareholders of the estimated composition of such distribution through a Section 19 Notice. Please refer to the most recent Section 19 Notice, if applicable, for additional information regarding the estimated composition of distributions. Please visit www.pimco.com for most recent Section 19 Notice, if applicable. Final determination of a distribution’s tax character will be made on Form 1099 DIV sent to shareholders each January.

 

(3) 

Represents total effective leverage outstanding, as a percentage of total managed assets. Total effective leverage consists of preferred shares, reverse repurchase agreements and other borrowings, credit default swap notional and floating rate notes issued in tender option bond transactions, as applicable (collectively “Total Effective Leverage”). The Fund may engage in other transactions not included in Total Effective Leverage disclosed above that may give rise to a form of leverage, including certain derivative transactions. For the purpose of calculating Total Effective Leverage outstanding as a percentage of total managed assets, total managed assets refer to total assets (including assets attributable to Total Effective Leverage that may be outstanding) minus accrued liabilities (other than liabilities representing Total Effective Leverage).

 

Investment Objective and Strategy Overview

 

PIMCO Corporate & Income Strategy Fund’s primary investment objective is to seek high current income, with secondary objectives of capital preservation and appreciation.

 

Fund Insights at NAV

 

The following affected performance (on a gross basis) during the reporting period:

 

»   Exposure to select special situation related corporate investments, which include companies undergoing stress, distress, challenges, or significant transition, contributed to absolute performance, as select issuers posted positive returns.

 

»   Exposure to the mortgage credit sector contributed to absolute performance, as the sector posted positive returns.

 

»   Exposure to the bank loans sector contributed to absolute performance, as the sector posted positive returns.

 

»   Exposure to the emerging market debt sector detracted from absolute performance, as the sector posted negative returns.

 

»   Exposure to the investment grade corporate credit sector detracted from absolute performance, as the sector posted negative returns.

 

»   Exposure to the municipal bonds sector detracted from absolute performance, as the sector posted negative returns.

 

         SEMIANNUAL REPORT     |     JANUARY 31, 2022     11
    


Table of Contents

PIMCO High Income Fund

 

  Symbol on NYSE - PHK

 

Allocation Breakdown as of January 31, 2022§

 

Corporate Bonds & Notes

    40.6%  

Loan Participations and Assignments

    13.0%  

Preferred Securities

    11.9%  

Non-Agency Mortgage-Backed Securities

    7.2%  

Asset-Backed Securities

    6.7%  

Municipal Bonds & Notes

    6.0%  

Short-Term Instruments

    4.4%  

Common Stocks

    2.4%  

Real Estate Investment Trusts

    2.3%  

Sovereign Issues

    2.0%  

U.S. Government Agencies

    1.7%  

Warrants

    1.3%  

Other

    0.5%  
   

% of Investments, at value.

 

  § 

Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any.

Fund Information (as of January 31, 2022)(1)

 

Market Price

    $6.01  

NAV

    $5.64  

Premium/(Discount) to NAV

    6.56%  

Market Price Distribution Rate(2)

    9.58%  

NAV Distribution Rate(2)

    10.21%  

Total Effective Leverage(3)

    32.69%  

 

 

 

Average Annual Total Return(1) for the period ended January 31, 2022  
    6 Month*     1 Year     5 Year     10 Year     Commencement
of Operations
(04/30/03)
 
Market Price     (9.27)%       8.27%       1.24%       4.81%       8.33%  
NAV     0.09%       6.73%       10.19%       13.41%       11.22%  

 

All Fund returns are net of fees and expenses and include applicable fee waivers and/or expense limitations. Absent any applicable fee waivers and/or expense limitations, performance would have been lower and there can be no assurance that any such waivers or limitations will continue in the future.

 

* Cumulative return

 

(1)

Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the sale of Fund shares. Total return, market price, NAV, market price distribution rate, and NAV distribution rate will fluctuate with changes in market conditions. The NAV presented may differ from the NAV reported for the same period in other Fund materials. Performance current to the most recent month-end is available at www.pimco.com or via (844) 33-PIMCO. Performance is calculated assuming all dividends and distributions are reinvested at prices obtained under the Fund’s dividend reinvestment plan. Performance does not reflect any brokerage commissions in connection with the purchase or sale of Fund shares.

 

(2) 

Distribution rates are not performance and are calculated by annualizing the most recent distribution per share and dividing by the NAV or Market Price, as applicable, as of the reported date. Distributions may be comprised of ordinary income, net capital gains, and/or a return of capital (‘‘ROC’’) of your investment in the Fund. Because the distribution rate may include a ROC, it should not be confused with yield or income. If the Fund estimates that a portion of its distribution may be comprised of amounts from sources other than net investment income in accordance with its policies and good accounting practices, the Fund will notify shareholders of the estimated composition of such distribution through a Section 19 Notice. Please refer to the most recent Section 19 Notice, if applicable, for additional information regarding the estimated composition of distributions. Please visit www.pimco.com for most recent Section 19 Notice, if applicable. Final determination of a distribution’s tax character will be made on Form 1099 DIV sent to shareholders each January.

 

(3) 

Represents total effective leverage outstanding, as a percentage of total managed assets. Total effective leverage consists of preferred shares, reverse repurchase agreements and other borrowings, credit default swap notional and floating rate notes issued in tender option bond transactions, as applicable (collectively “Total Effective Leverage”). The Fund may engage in other transactions not included in Total Effective Leverage disclosed above that may give rise to a form of leverage, including certain derivative transactions. For the purpose of calculating Total Effective Leverage outstanding as a percentage of total managed assets, total managed assets refer to total assets (including assets attributable to Total Effective Leverage that may be outstanding) minus accrued liabilities (other than liabilities representing Total Effective Leverage).

 

 

Investment Objective and Strategy Overview

 

PIMCO High Income Fund’s primary investment objective is to seek high current income, with capital appreciation as a secondary objective.

 

Fund Insights at NAV

 

The following affected performance (on a gross basis) during the reporting period:

 

»   Exposure to select special situation related corporate investments, which include companies undergoing stress, distress, challenges, or significant transition, contributed to absolute performance, as select issuers posted positive returns.

 

»   Exposure to the mortgage credit sector contributed to absolute performance, as the sector posted positive returns.

 

»   Exposure to the bank loans sector contributed to absolute performance, as the sector posted positive returns.

 

»   Exposure to the emerging market debt sector detracted from absolute performance, as the sector posted negative returns.

 

»   Exposure to the municipal bonds sector detracted from absolute performance, as the sector posted negative returns.

 

»   Exposure to the investment grade corporate credit sector detracted from absolute performance, as the sector posted negative returns.

 

       
12   PIMCO CLOSED-END FUNDS            


Table of Contents

PIMCO Income Strategy Fund

 

  Symbol on NYSE - PFL

 

Allocation Breakdown as of January 31, 2022§

 

Corporate Bonds & Notes

    47.9%  

Loan Participations and Assignments

    17.5%  

Short-Term Instruments

    8.7%  

Asset-Backed Securities

    5.9%  

Preferred Securities

    5.4%  

Non-Agency Mortgage-Backed Securities

    4.6%  

Municipal Bonds & Notes

    1.9%  

Sovereign Issues

    1.8%  

Common Stocks

    1.8%  

Real Estate Investment Trusts

    1.5%  

U.S. Government Agencies

    1.4%  

Warrants

    1.3%  

Convertible Bonds & Notes

    0.3%  
   

% of Investments, at value.

 

  § 

Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any.

Fund Information (as of January 31, 2022)(1)

 

Market Price

    $10.34  

NAV

    $10.09  

Premium/(Discount) to NAV

    2.48%  

Market Price Distribution Rate(2)

    9.45%  

NAV Distribution Rate(2)

    9.68%  

Total Effective Leverage(3)

    35.22%  

 

 

 

Average Annual Total Return(1) for the period ended January 31, 2022  
    6 Month*     1 Year     5 Year     10 Year     Commencement
of Operations
(08/29/03)
 

Market Price

    (13.20)%       (1.29)%       9.20%       9.74%       6.97%  

NAV

    (0.74)%       5.02%       8.77%       10.34%       7.23%  

 

All Fund returns are net of fees and expenses and include applicable fee waivers and/or expense limitations. Absent any applicable fee waivers and/or expense limitations, performance would have been lower and there can be no assurance that any such waivers or limitations will continue in the future.

 

* Cumulative return

 

(1) 

Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the sale of Fund shares. Total return, market price, NAV, market price distribution rate, and NAV distribution rate will fluctuate with changes in market conditions. The NAV presented may differ from the NAV reported for the same period in other Fund materials. Performance current to the most recent month-end is available at www.pimco.com or via (844) 33-PIMCO. Performance is calculated assuming all dividends and distributions are reinvested at prices obtained under the Fund’s dividend reinvestment plan. Performance does not reflect any brokerage commissions in connection with the purchase or sale of Fund shares.

 

(2) 

Distribution rates are not performance and are calculated by annualizing the most recent distribution per share and dividing by the NAV or Market Price, as applicable, as of the reported date. Distributions may be comprised of ordinary income, net capital gains, and/or a return of capital (‘‘ROC’’) of your investment in the Fund. Because the distribution rate may include a ROC, it should not be confused with yield or income. If the Fund estimates that a portion of its distribution may be comprised of amounts from sources other than net investment income in accordance with its policies and good accounting practices, the Fund will notify shareholders of the estimated composition of such distribution through a Section 19 Notice. Please refer to the most recent Section 19 Notice, if applicable, for additional information regarding the estimated composition of distributions. Please visit www.pimco.com for most recent Section 19 Notice, if applicable. Final determination of a distribution’s tax character will be made on Form 1099 DIV sent to shareholders each January.

 

(3) 

Represents total effective leverage outstanding, as a percentage of total managed assets. Total effective leverage consists of preferred shares, reverse repurchase agreements and other borrowings, credit default swap notional and floating rate notes issued in tender option bond transactions, as applicable (collectively “Total Effective Leverage”). The Fund may engage in other transactions not included in Total Effective Leverage disclosed above that may give rise to a form of leverage, including certain derivative transactions. For the purpose of calculating Total Effective Leverage outstanding as a percentage of total managed assets, total managed assets refer to total assets (including assets attributable to Total Effective Leverage that may be outstanding) minus accrued liabilities (other than liabilities representing Total Effective Leverage).

 

Investment Objective and Strategy Overview

 

PIMCO Income Strategy Fund’s investment objective is to seek high current income, consistent with the preservation of capital.

 

Fund Insights at NAV

 

The following affected performance (on a gross basis) during the reporting period:

 

»   Exposure to select special situation related corporate investments, which include companies undergoing stress, distress, challenges, or significant transition, contributed to absolute performance, as select issuers posted positive returns.

 

»   Exposure to the bank loans sector contributed to absolute performance, as the sector posted positive returns.

 

»   Exposure to the mortgage credit sector contributed to absolute performance, as the sector posted positive returns.

 

»   Exposure to the emerging market debt sector detracted from absolute performance, as the sector posted negative returns.

 

»   Exposure to the investment grade corporate credit sector detracted from absolute performance, as the sector posted negative returns.

 

»   Exposure to the bank capital sector detracted from absolute performance, as the sector posted negative returns.

 

         SEMIANNUAL REPORT     |     JANUARY 31, 2022     13
    


Table of Contents

PIMCO Income Strategy Fund II

 

  Symbol on NYSE - PFN

 

Allocation Breakdown as of January 31, 2022§

 

Corporate Bonds & Notes

    48.5%  

Loan Participations and Assignments

    16.7%  

Non-Agency Mortgage-Backed Securities

    7.8%  

Preferred Securities

    6.3%  

Asset-Backed Securities

    5.8%  

Short-Term Instruments

    4.2%  

Sovereign Issues

    2.1%  

Common Stocks

    2.0%  

Municipal Bonds & Notes

    1.8%  

Real Estate Investment Trusts

    1.6%  

Warrants

    1.5%  

U.S. Government Agencies

    1.4%  

Convertible Bonds & Notes

    0.3%  
   

% of Investments, at value.

 

  § 

Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any.

Fund Information (as of January 31, 2022)(1)

 

Market Price

    $9.08  

NAV

    $8.90  

Premium/(Discount) to NAV

    2.02%  

Market Price Distribution Rate(2)

    9.49%  

NAV Distribution Rate(2)

    9.68%  

Total Effective Leverage(3)

    31.04%  

 

 

 

Average Annual Total Return(1) for the period ended January 31, 2022  
    6 Month*     1 Year     5 Year     10 Year     Commencement
of Operations
(10/29/04)
 
Market Price     (13.65)%       (0.14)%       8.81%       9.97%       6.22%  
NAV     (0.82)%       4.38%       8.49%       10.39%       6.42%  

 

All Fund returns are net of fees and expenses and include applicable fee waivers and/or expense limitations. Absent any applicable fee waivers and/or expense limitations, performance would have been lower and there can be no assurance that any such waivers or limitations will continue in the future.

 

* Cumulative return

 

(1) 

Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the sale of Fund shares. Total return, market price, NAV, market price distribution rate, and NAV distribution rate will fluctuate with changes in market conditions. The NAV presented may differ from the NAV reported for the same period in other Fund materials. Performance current to the most recent month-end is available at www.pimco.com or via (844) 33-PIMCO. Performance is calculated assuming all dividends and distributions are reinvested at prices obtained under the Fund’s dividend reinvestment plan. Performance does not reflect any brokerage commissions in connection with the purchase or sale of Fund shares.

 

(2) 

Distribution rates are not performance and are calculated by annualizing the most recent distribution per share and dividing by the NAV or Market Price, as applicable, as of the reported date. Distributions may be comprised of ordinary income, net capital gains, and/or a return of capital (‘‘ROC’’) of your investment in the Fund. Because the distribution rate may include a ROC, it should not be confused with yield or income. If the Fund estimates that a portion of its distribution may be comprised of amounts from sources other than net investment income in accordance with its policies and good accounting practices, the Fund will notify shareholders of the estimated composition of such distribution through a Section 19 Notice. Please refer to the most recent Section 19 Notice, if applicable, for additional information regarding the estimated composition of distributions. Please visit www.pimco.com for most recent Section 19 Notice, if applicable. Final determination of a distribution’s tax character will be made on Form 1099 DIV sent to shareholders each January.

 

(3) 

Represents total effective leverage outstanding, as a percentage of total managed assets. Total effective leverage consists of preferred shares, reverse repurchase agreements and other borrowings, credit default swap notional and floating rate notes issued in tender option bond transactions, as applicable (collectively “Total Effective Leverage”). The Fund may engage in other transactions not included in Total Effective Leverage disclosed above that may give rise to a form of leverage, including certain derivative transactions. For the purpose of calculating Total Effective Leverage outstanding as a percentage of total managed assets, total managed assets refer to total assets (including assets attributable to Total Effective Leverage that may be outstanding) minus accrued liabilities (other than liabilities representing Total Effective Leverage).

 

Investment Objective and Strategy Overview

 

PIMCO Income Strategy Fund II’s investment objective is to seek high current income, consistent with the preservation of capital.

 

Fund Insights at NAV

 

The following affected performance (on a gross basis) during the reporting period:

 

»   Exposure to select special situation related corporate investments, which include companies undergoing stress, distress, challenges, or significant transition, contributed to absolute performance, as select issuers posted positive returns.

 

»   Exposure to the mortgage credit sector contributed to absolute performance, as the sector posted positive returns.

 

»   Exposure to the bank loans sector contributed to absolute performance, as the sector posted positive returns.

 

»   Exposure to the emerging market debt sector detracted from absolute performance, as the sector posted negative returns.

 

»   Exposure to the investment grade corporate credit sector detracted from absolute performance, as the sector posted negative returns.

 

»   Exposure to the bank capital sector detracted from absolute performance, as the sector posted negative returns.

 

       
14   PIMCO CLOSED-END FUNDS            


Table of Contents

 

 

 

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         SEMIANNUAL REPORT     |     JANUARY 31, 2022     15
    


Table of Contents
Financial Highlights              

 

          Investment Operations     Less Distributions to ARPS(c)           Less Distributions to Common Shareholders(d)  
                                                             
Selected Per Share Data for the Year or Period Ended^:   Net Asset
Value
Beginning
of Year
or Period(a)
    Net
Investment
Income
(Loss)(b)
    Net
Realized/
Unrealized
Gain (Loss)
    From Net
Investment
Income
    From Net
Realized
Capital
Gains
   

Net Increase
(Decrease)

in Net Assets
Applicable
to Common
Shareholders
Resulting
from
Operations

    From Net
Investment
Income
    From Net
Realized
Capital
Gains
    Tax Basis
Return of
Capital
    Total  

PIMCO Corporate & Income Opportunity Fund

                   

08/01/2021 - 01/31/2022+

  $ 14.40     $ 0.63     $ (0.61   $ (0.00   $ 0.00     $ 0.02     $ (0.72   $ 0.00     $ 0.00     $ (0.72

07/31/2021

    12.44       1.32       1.78       0.00       0.00       3.10       (1.22     0.00       (0.34     (1.56

07/31/2020

    14.66       1.36       (2.41     (0.05     0.00       (1.10     (1.59     0.00       0.00       (1.59

07/31/2019

    14.80 (h)      1.36       0.09       (0.13     0.00       1.32       (1.63     0.00       0.00       (1.63

07/31/2018

    14.87       1.30       0.16       (0.09     0.00       1.37       (1.56     0.00       0.00       (1.56

07/31/2017

    13.27       1.21       2.06       (0.04     0.00       3.23       (1.59     0.00       (0.14     (1.73

PIMCO Corporate & Income Strategy Fund

                   

08/01/2021 - 01/31/2022+

  $ 14.54     $ 0.58     $ (0.55   $ (0.00   $ 0.00     $ 0.03     $ (0.68   $ 0.00     $ 0.00     $ (0.68

07/31/2021

    12.76       1.24       1.77       (0.00     0.00       3.01       (1.35     0.00       0.00       (1.35

07/31/2020

    14.94       1.31       (2.07     (0.01     0.00       (0.77     (1.41     0.00       0.00       (1.41

07/31/2019

    14.90 (h)      1.22       0.20       (0.05     0.00       1.37       (1.43     0.00       0.00       (1.43

07/31/2018

    15.32       1.20       (0.24     (0.03     0.00       0.93       (1.35     0.00       0.00       (1.35

07/31/2017

    14.28       1.12       1.70       (0.01     0.00       2.81       (1.75     0.00       (0.02     (1.77

PIMCO High Income Fund

                   

08/01/2021 - 01/31/2022+

  $ 5.92     $ 0.26     $ (0.25   $ (0.00   $ 0.00     $ 0.01     $ (0.29   $ 0.00     $ 0.00     $ (0.29

07/31/2021

    5.01       0.56       0.93       (0.00     0.00       1.49       (0.44     0.00       (0.14     (0.58

07/31/2020

    6.38       0.65       (1.30     (0.01     0.00       (0.66     (0.68     0.00       (0.03     (0.71

07/31/2019

    6.54 (h)      0.61       0.11       (0.03     0.00       0.69       (0.73     0.00       (0.16     (0.89

07/31/2018

    6.90       0.62       0.01       (0.02     0.00       0.61       (0.84     0.00       (0.13     (0.97

07/31/2017

    6.63       0.67       0.71       (0.01     0.00       1.37       (0.91     0.00       (0.19     (1.10

PIMCO Income Strategy Fund

                   

08/01/2021 - 01/31/2022+

  $ 10.66     $ 0.40     $ (0.47   $ (0.01   $ 0.00     $ (0.08   $ (0.50   $ 0.00     $ 0.00     $ (0.50

07/31/2021

    9.46       0.91       1.32       (0.02     0.00       2.21       (0.84     0.00       (0.24     (1.08

07/31/2020

    11.00       1.01       (1.52     (0.04     0.00       (0.55     (0.97     0.00       (0.11     (1.08

07/31/2019

    11.14 (h)      0.90       0.02       (0.07     0.00       0.85       (0.99     0.00       (0.09     (1.08

07/31/2018

    11.60       0.87       (0.19     (0.06     0.00       0.62       (1.07     0.00       (0.01     (1.08

07/31/2017

    10.53       0.88       1.31       (0.04     0.00       2.15       (1.08     0.00       0.00       (1.08

PIMCO Income Strategy Fund II

                   

08/01/2021 - 01/31/2022+

  $ 9.42     $   0.35     $   (0.42   $   (0.01   $   0.00     $   (0.08   $   (0.44   $   0.00     $ 0.00     $ (0.44

07/31/2021

    8.53       0.78       1.05       (0.02     0.00       1.81       (0.75     0.00         (0.21       (0.96

07/31/2020

    9.91       0.86       (1.32     (0.03     0.00       (0.49     (0.90     0.00       (0.06     (0.96

07/31/2019

      10.07 (h)      0.83       0.04       (0.05     0.00       0.82       (1.03     0.00       0.00       (1.03

07/31/2018

    10.33       0.79       (0.05     (0.04     0.00       0.70       (0.96     0.00       0.00       (0.96

07/31/2017

    9.42       0.80       1.10       (0.03     0.00       1.87       (0.96     0.00       0.00       (0.96

 

       
16   PIMCO CLOSED-END FUNDS      See Accompanying Notes  


Table of Contents
        

 

                  Common Share     Ratios/Supplemental Data  
                              Ratios to Average Net Assets(f)        
Increase
Resulting from
Common Share
Offering
    Offering
Cost
Charged to
Paid in Capital
    Increase
Resulting from
Tender of
ARPS(c)
    Net Asset
Value End of
Year or
Period(a)
    Market Price
End of Year
or Period
    Total
Investment
Return(e)
    Net Assets
Applicable
to Common
Shareholders
(000s)
    Expenses(g)     Expenses
Excluding
Waivers(g)
    Expenses
Excluding
Interest
Expense
        
    
    
Expenses
Excluding
Interest
Expense
and
Waivers
    Net
Investment
Income (Loss)
    Portfolio
Turnover
Rate
 
                       
$   0.09     $ 0.00     $   0.00     $   13.79     $   15.78       (19.92 )%    $   1,623,750       1.01 %*      1.01 %*      0.76 %*      0.76 %*      8.85 %*      43
  0.42       0.00       0.00       14.40       20.56       46.75       1,643,538       1.06       1.06       0.76       0.76       9.60       58  
  0.47         (0.00     0.00       12.44       15.34       (8.77     1,248,837       1.30       1.30       0.82       0.82       10.20       34  
  0.15       0.00       0.02       14.66       18.60       14.48       1,291,233       1.35       1.35       0.80       0.80       9.44       22  
  0.12       0.00       0.00       14.80 (h)      17.95       16.78       1,219,515       1.26       1.26       0.81       0.81       8.73       19  
  0.10       0.00       0.00       14.87       16.92       29.18       1,140,768       1.08       1.08       0.83       0.83       8.68       39  
                       
$ 0.08     $ 0.00     $ 0.00     $ 13.97     $ 15.83       (12.97 )%    $ 596,930       1.12 %*      1.12 %*      0.88 %*      0.88 %*      7.98 %*      33
  0.12       (0.00     0.00       14.54       18.93       34.41       605,830       1.15       1.15       0.87       0.87       8.95       48  
  N/A       N/A       0.00       12.76       15.29       (7.72     509,488       1.57       1.57       0.87       0.87       9.57       31  
  N/A       N/A       0.10       14.94       18.08       9.20       591,931       1.60       1.60       0.94       0.94       8.39       18  
  N/A       N/A       0.00       14.90 (h)      18.09       9.61       586,592       1.36       1.36       0.94       0.94       7.97       20  
  N/A       N/A       0.00       15.32       17.92       30.63       599,266       1.17       1.17       0.93       0.93       7.65       38  
                       
$ N/A     $ N/A     $ 0.00     $ 5.64     $ 6.01       (9.27 )%    $ 758,683       1.07 %*      1.07 %*      0.85 %*      0.85 %*      8.94 %*      24
  N/A       N/A       0.00       5.92       6.95       47.82       792,773       1.14       1.14       0.86       0.86       9.96       60  
  N/A       N/A       0.00       5.01       5.18       (27.55     664,144       1.73       1.73       0.86       0.86       11.42       40  
  N/A       N/A       0.04       6.38       8.03       3.57       835,988       1.86       1.86       0.91       0.91       9.74       20  
  N/A       N/A       0.00       6.54 (h)      8.67       13.13       847,052       1.48       1.48       0.90       0.90       9.30       27  
  N/A       N/A       0.00       6.90       8.71       (1.45     884,912       1.25       1.25       0.90       0.90       10.08       32  
                       
$ 0.01     $ 0.00     $ 0.00     $ 10.09     $ 10.34       (13.20 )%    $ 351,854       1.57 %*      1.57 %*      1.38 %*      1.38 %*      7.51 %*      33
  0.07       0.00       0.00       10.66       12.47       38.31       365,580       1.62       1.62       1.36       1.36       8.81       42  
  0.09       (0.00     0.00       9.46       9.95       (7.65     295,167       1.69       1.69       1.21       1.21       10.03       21  
  0.06       0.00       0.03       11.00       11.99       8.10       305,453       1.69       1.69       1.18       1.18       8.39       17  
  N/A       N/A       0.00       11.14 (h)      12.23       10.37       284,677       1.48       1.48       1.17       1.17       7.67       21  
  N/A       N/A       0.00       11.60       12.17       28.11       294,525       1.35       1.35       1.17       1.17       8.01       40  
                       
$ 0.01     $ 0.00     $ 0.00     $ 8.91     $ 9.08       (13.65 )%    $ 698,306       1.49 %*      1.49 %*      1.30 %*      1.30 %*      7.47 %*      32
  0.04       0.00       0.00       9.42       11.01       37.03       723,617       1.54       1.54       1.29       1.29       8.58       38  
  0.07       (0.00     0.00       8.53       8.88       (7.75     605,851       1.62       1.62       1.15       1.15       9.49       21  
  0.04       0.00       0.01       9.91       10.70       11.03       632,927       1.66       1.66       1.12       1.12       8.57       17  
  N/A       N/A       0.00       10.07 (h)      10.70       9.19       600,890       1.41       1.41       1.10       1.10       7.79       18  
  N/A       N/A       0.00       10.33       10.76       26.32       612,310       1.26       1.26       1.09       1.09       8.15       26  

 

         SEMIANNUAL REPORT     |     JANUARY 31, 2022     17
    


Table of Contents
Financial Highlights   (Cont.)  

 

Ratios/Supplemental Data      
    ARPS  
Selected Per Share Data for the Year or Period Ended^:   Total Amount
Outstanding
    Asset Coverage per
Preferred Share(1)
    Involuntary
Liquidating
Preference per
Preferred Share(2)
    Average
Market Value
per ARPS(3)
 

PIMCO Corporate & Income Opportunity Fund

       
08/01/2021 - 01/31/2022+   $   212,650,000     $ 215,890     $ 25,000       N/A  
07/31/2021     212,650,000       218,218       25,000       N/A  
07/31/2020     212,650,000       171,815       25,000       N/A  
07/31/2019     212,650,000       176,730       25,000       N/A  
07/31/2018     237,950,000       153,072       25,000       N/A  
07/31/2017     237,950,000       144,819       25,000       N/A  

PIMCO Corporate & Income Strategy Fund

       
08/01/2021 - 01/31/2022+   $ 23,525,000     $   659,343     $   25,000       N/A  
07/31/2021     23,525,000       668,805       25,000       N/A  
07/31/2020     23,525,000       566,423       25,000       N/A  
07/31/2019     23,525,000       653,838       25,000       N/A  
07/31/2018     55,525,000       289,023       25,000       N/A  
07/31/2017     55,525,000       294,755       25,000       N/A  

PIMCO High Income Fund

       
08/01/2021 - 01/31/2022+   $ 58,050,000     $ 351,730     $ 25,000       N/A  
07/31/2021     58,050,000       366,668       25,000       N/A  
07/31/2020     58,050,000       311,018       25,000       N/A  
07/31/2019     58,050,000       384,900       25,000       N/A  
07/31/2018     101,975,000       232,587       25,000       N/A  
07/31/2017     101,975,000       241,894       25,000       N/A  

PIMCO Income Strategy Fund

       
08/01/2021 - 01/31/2022+   $ 45,200,000     $ 219,548     $ 25,000       N/A  
07/31/2021     45,200,000       227,165       25,000       N/A  
07/31/2020     45,200,000       188,225       25,000       N/A  
07/31/2019     45,200,000       193,873       25,000       N/A  
07/31/2018     51,275,000       163,725       25,000       N/A  
07/31/2017     51,275,000       168,552       25,000       N/A  

PIMCO Income Strategy Fund II

       
08/01/2021 - 01/31/2022+   $ 87,425,000     $   224,633     $ 25,000       N/A  
07/31/2021     87,425,000       231,880       25,000       N/A  
07/31/2020     87,425,000       198,210       25,000       N/A  
07/31/2019     87,425,000       205,928       25,000       N/A  
07/31/2018     92,450,000       187,429       25,000       N/A  
07/31/2017     92,450,000       190,527       25,000       N/A  

 

^

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

+

Unaudited.

*

Annualized, except for organizational expense, if any.

(a) 

Includes adjustments required by U.S. GAAP and may differ from net asset values and performance reported elsewhere by the Funds.

(b) 

Per share amounts based on average number of common shares outstanding during the year or period.

(c) 

Auction Rate Preferred Shareholders (“ARPS”) See Note 14, Auction-Rate Preferred Shares, in the Notes to Financial Statements for more information.

(d) 

The tax characterization of distributions is determined in accordance with Federal income tax regulations. The actual tax characterization of distributions paid is determined at the end of the fiscal year. See Note 2, Distributions — Common Shares, in the Notes to Financial Statements for more information.

(e)

Total investment return is calculated assuming a purchase of a common share at the market price on the first day and a sale of a common share at the market price on the last day of each year or period reported. Dividends and distributions, if any, are assumed, for purposes of this calculation, to be reinvested at prices obtained under the Funds’ dividend reinvestment plan. Total investment return does not reflect brokerage commissions in connection with the purchase or sale of Fund shares.

(f)

Calculated on the basis of income and expenses applicable to both common and preferred shares relative to the average net assets of common shareholders. The expense ratio and net investment income do not reflect the effects of dividend payments to preferred shareholders.

(g)

Ratio includes interest expense which primarily relates to participation in borrowing and financing transactions. See Note 5, Borrowings and Other Financing Transactions, in the Notes to Financial Statements for more information.

(h)

The NAV presented may differ from the NAV reported for the same period in other Fund materials.

1

“Asset Coverage per Preferred Share” means the ratio that the value of the total assets of the Fund, less all liabilities and indebtedness not represented by ARPS, bears to the aggregate of the involuntary liquidation preference of ARPS, expressed as a dollar amount per ARPS.

 

       
18   PIMCO CLOSED-END FUNDS      See Accompanying Notes  


Table of Contents
        

 

2 

“Involuntary Liquidating Preference” means the amount to which a holder of ARPS would be entitled upon the involuntary liquidation of the Fund in preference to the Common Shareholders, expressed as a dollar amount per Preferred Share.

3 

The ARPS have no readily ascertainable market value. Auctions for the ARPS have failed since February 2008, there is currently no active trading market for the ARPS and the Fund is not able to reliably estimate what their value would be in a third-party market sale. The liquidation value of the ARPS represents its liquidation preference, which approximates fair value of the shares less any accumulated unpaid dividends. See Note 14, Auction-Rate Preferred Shares, in the Notes to Financial Statements for more information.

 

         SEMIANNUAL REPORT     |     JANUARY 31, 2022     19
    


Table of Contents
Statements of Assets and Liabilities          January 31, 2022   (Unaudited)

 

(Amounts in thousands, except per share amounts)   PIMCO
Corporate &
Income
Opportunity
Fund
   

PIMCO
Corporate &
Income
Strategy

Fund

    PIMCO High
Income Fund
   

PIMCO Income
Strategy

Fund

   

PIMCO Income
Strategy

Fund II

 

Assets:

         

Investments, at value

                                       

Investments in securities*

  $ 2,682,778     $ 897,920     $ 1,064,796     $ 523,812     $ 971,881  

Financial Derivative Instruments

                                       

Exchange-traded or centrally cleared

    1,429       594       1,862       345       797  

Over the counter

    7,566       1,290       1,472       924       1,730  

Cash

    0       139       0       0       0  

Deposits with counterparty

    62,517       21,795       25,884       13,099       21,676  

Foreign currency, at value

    3,118       1,869       2,451       1,492       3,175  

Receivable for investments sold

    171,581       37,829       59,075       32,490       46,175  

Receivable for TBA investments sold

    0       0       304       0       0  

Interest and/or dividends receivable

    28,846       8,762       10,940       5,127       9,672  

Other assets

    659       587       3       495       342  

Total Assets

    2,958,494       970,785       1,166,787       577,784         1,055,448  

Liabilities:

         

Borrowings & Other Financing Transactions

                                       

Payable for reverse repurchase agreements

  $ 873,088     $ 304,849     $ 287,794     $ 132,359     $ 199,469  

Financial Derivative Instruments

                                       

Exchange-traded or centrally cleared

    963       311       2,269       144       286  

Over the counter

    7,220       413       326       305       623  

Payable for investments purchased

    193,715       33,075       42,130       30,883       55,964  

Payable for unfunded loan commitments

    25,364       3,960       5,301       4,374       4,374  

Payable for TBA investments purchased

    0       0       407       0       0  

Deposits from counterparty

    6,369       2,410       4,630       1,192       2,440  

Distributions payable to common shareholders

    13,976       4,803       6,459       2,837       5,630  

Distributions payable to auction rate preferred shareholders

    5       1       1       15       23  

Overdraft due to custodian

    150       0       75       8,169       103  

Accrued management fees

    960       404       500       364       682  

Other liabilities

    284       104       162       88       123  

Total Liabilities

    1,122,094       350,330       350,054       180,730       269,717  

Auction Rate Preferred Shares^

    212,650       23,525       58,050       45,200       87,425  

Net Assets Applicable to Common Shareholders

  $ 1,623,750     $ 596,930     $ 758,683     $ 351,854     $ 698,306  

Net Assets Applicable to Common Shareholders Consist of:

         

Par value^^

  $ 1     $ 0     $ 1     $ 0     $ 1  

Paid in capital in excess of par

    1,778,866       641,736       979,946       384,479       779,273  

Distributable earnings (accumulated loss)

    (155,117     (44,806     (221,264     (32,625     (80,968

Net Assets Applicable to Common Shareholders

  $ 1,623,750     $ 596,930     $ 758,683     $ 351,854     $ 698,306  

Net Asset Value Per Common Share(a)

  $ 13.79     $ 13.97     $ 5.64     $ 10.09     $ 8.91  

Common Shares Outstanding

    117,720       42,721       134,572       34,871       78,414  

Auction Rate Preferred Shares Issued and Outstanding

    9       1       2       2       3  

Cost of investments in securities

  $   2,715,794     $   893,112     $   1,082,134     $   527,178     $ 980,025  

Cost of foreign currency held

  $ 3,289     $ 1,888     $ 2,523     $ 1,536     $ 3,220  

Cost or premiums of financial derivative instruments, net

  $ (15,440   $ 2,172     $ 106,078     $ 4,317     $ 10,297  

* Includes repurchase agreements of:

  $ 2,846     $ 695     $ 9,564     $ 10,050     $ 1,989  

 

 

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

^ 

($0.00001 par value and $25,000 liquidation preference per share)

^^ 

($0.00001 per share)

(a) 

Includes adjustments required by U.S. GAAP and may differ from net asset values and performance reported elsewhere by the Funds.

 

       
20   PIMCO CLOSED-END FUNDS      See Accompanying Notes  


Table of Contents
Statements of Operations              

 

Six Months Ended January 31, 2022 (Unaudited)                              
(Amounts in thousands)   PIMCO
Corporate &
Income
Opportunity
Fund
   

PIMCO
Corporate &
Income
Strategy

Fund

    PIMCO High
Income Fund
   

PIMCO Income
Strategy

Fund

   

PIMCO Income
Strategy

Fund II

 

Investment Income:

         

Interest, net of foreign taxes*

  $ 80,707     $ 27,218     $ 37,716     $ 16,226     $ 31,654  

Dividends, net of foreign taxes**

    769       580       1,690       284       602  

Total Income

    81,476       27,798       39,406       16,510       32,256  

Expenses:

         

Management fees

    6,039       2,558       3,198       2,422       4,553  

Trustee fees and related expenses

    106       37       51       24       48  

Interest expense

    2,059       739       876       349       666  

Auction agent fees and commissions

    97       25       39       27       49  

Auction rate preferred shares related expenses

    16       37       31       31       31  

Miscellaneous expense

    18       12       22       5       14  

Total Expenses

    8,335       3,408       4,217       2,858       5,361  

Net Investment Income (Loss)

    73,141       24,390       35,189       13,652       26,895  

Net Realized Gain (Loss):

         

Investments in securities

    23,822       9,403       12,982       5,382       15,907  

Exchange-traded or centrally cleared financial derivative instruments

    45,665       24,457       56,369       2,409       33,988  

Over the counter financial derivative instruments

    10,030       2,843       3,704       2,551       5,050  

Foreign currency

    2,067       255       822       777       1,323  

Net Realized Gain (Loss)

    81,584       36,958       73,877       11,119       56,268  

Net Change in Unrealized Appreciation (Depreciation):

         

Investments in securities

    (120,147     (36,838     (53,425     (25,202     (53,599

Exchange-traded or centrally cleared financial derivative instruments

    (44,497     (25,130     (56,977     (2,648     (35,762

Over the counter financial derivative instruments

    7,248       523       671       260       371  

Foreign currency assets and liabilities

    2,449       886       1,194       86       (2

Net Change in Unrealized Appreciation (Depreciation)

      (154,947       (60,559       (108,537       (27,504       (88,992

Net Increase (Decrease) in Net Assets Resulting from Operations

  $ (222   $ 789     $ 529     $ (2,733   $ (5,829

Distributions on Auction Rate Preferred Shares from Net Investment Income and/or Realized Capital Gains

  $ (146   $ (13   $ (32   $ (362   $ (697

Net Increase (Decrease) in Net Assets Applicable to Common Shareholders Resulting from Operations

  $ (368   $ 776     $ 497     $ (3,095   $ (6,526

* Foreign tax withholdings - Interest

  $ 347     $ 114     $ 153     $ 74     $ 141  

** Foreign tax withholdings - Dividends

  $ 21     $ 9     $ 9     $ 5     $ 10  

 

 

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

 

         SEMIANNUAL REPORT     |     JANUARY 31, 2022     21
    


Table of Contents
Statements of Changes in Net Assets              

 

   

PIMCO

Corporate & Income Opportunity Fund

   

PIMCO

Corporate & Income Strategy Fund

 
(Amounts in thousands)  

Six Months Ended

January 31, 2022
(Unaudited)

    Year Ended
July 31, 2021
   

Six Months Ended

January 31, 2022
(Unaudited)

    Year Ended
July 31, 2021
 

Increase (Decrease) in Net Assets from:

       

Operations:

       

Net investment income (loss)

  $ 73,141     $ 143,594     $ 24,390     $ 50,459  

Net realized gain (loss)

    81,584       (30,612     36,958       (25,010

Net change in unrealized appreciation (depreciation)

    (154,947     217,812       (60,559     95,304  

Net Increase (Decrease) in Net Assets Resulting from Operations

    (222     330,794       789       120,753  

Distributions on auction rate preferred shares from net investment income and/or realized
capital gains

    (146     (318     (13     (27

Net Increase (Decrease) in Net Assets Applicable to Common Shareholders Resulting from Operations

    (368     330,476       776       120,726  

Distributions to Common Shareholders:

       

From net investment income and/or net realized capital gains

    (83,702     (133,020     (28,481     (54,756

Tax basis return of capital

    0       (36,889     0       0  

Total Distributions to Common Shareholders(a)

    (83,702     (169,909     (28,481     (54,756

Common Share Transactions*:

       

Net proceeds from at-the-market offering

    53,531       213,794       15,907       25,618  

Net at-the-market offering costs

    102       88       111       (46

Issued as reinvestment of distributions

    10,649       20,252       2,787       4,800  

Total increase (decrease) resulting from common share transactions

    64,282       234,134       18,805       30,372  

Total increase (decrease) in net assets applicable to common shareholders

    (19,788     394,701       (8,900     96,342  

Net Assets Applicable to Common Shareholders:

       

Beginning of period

    1,643,538       1,248,837       605,830       509,488  

End of period

  $   1,623,750     $   1,643,538     $   596,930     $   605,830  

* Common Share Transactions:

       

Shares sold

    3,011       12,480       883       1,454  

Shares issued as reinvestment of distributions

    599       1,205       161       297  

Net increase (decrease) in common shares outstanding

    3,610       13,685       1,044       1,751  

 

 

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

(a) 

The tax characterization of distributions is determined in accordance with Federal income tax regulations. The actual tax characterization of distributions paid is determined at the end of the fiscal year. See Note 2, Distributions — Common Shares, in the Notes to Financial Statements for more information.

 

       
22   PIMCO CLOSED-END FUNDS      See Accompanying Notes  


Table of Contents
        

 

PIMCO

High Income Fund

   

PIMCO

Income Strategy Fund

   

PIMCO

Income Strategy Fund II

 

Six Months Ended

January 31, 2022
(Unaudited)

    Year Ended
July 31, 2021
    Six Months Ended
January 31, 2022
(Unaudited)
    Year Ended
July 31, 2021
    Six Months Ended
January 31, 2022
(Unaudited)
    Year Ended
July 31, 2021
 
         
         
$ 35,189     $ 74,602     $ 13,652     $ 29,956     $ 26,895     $ 58,329  
  73,877       (26,302     11,119         (12,033     56,268       (26,509
    (108,537       149,376         (27,504     55,184         (88,992     102,442  
  529       197,676       (2,733     73,107       (5,829     134,262  
  (32     (69     (362     (718     (697     (1,388
  497       197,607       (3,095     72,389       (6,526     132,874  
         
  (38,673     (57,461     (17,160     (27,617     (34,026     (55,505
  0       (19,329     0       (8,099     0       (15,939
  (38,673     (76,790     (17,160     (35,716     (34,026     (71,444
         
  0       0       4,817       30,494       11,297       48,744  
  0       0       0       60       38       63  
  4,086       7,812       1,712       3,186       3,906       7,529  
  4,086       7,812       6,529       33,740       15,241       56,336  
  (34,090     128,629       (13,726     70,413       (25,311     117,766  
         
  792,773       664,144       365,580       295,167       723,617       605,851  
$ 758,683     $ 792,773     $ 351,854     $ 365,580     $ 698,306     $   723,617  
         
  0       0       436       2,766       1,159       4,997  
  668       1,349       154       297       399       800  
  668       1,349       590       3,063       1,558       5,797  

 

         SEMIANNUAL REPORT     |     JANUARY 31, 2022     23
    


Table of Contents
Statements of Cash Flows              

 

Six Months Ended January 31, 2022 (Unaudited)                              
(Amounts in thousands)   PIMCO
Corporate &
Income
Opportunity
Fund
    PIMCO
Corporate &
Income
Strategy
Fund
    PIMCO High
Income
Fund
    PIMCO Income
Strategy
Fund
    PIMCO Income
Strategy
Fund II
 

Cash Flows Provided by (Used for) Operating Activities:

         

Net increase (decrease) in net assets resulting from operations

  $ (222   $ 789     $ 529     $ (2,733   $ (5,829

Adjustments to Reconcile Net Increase (Decrease) in Net Assets from Operations to Net Cash Provided by (Used for) Operating Activities:

         

Purchases of long-term securities

    (1,158,679     (309,783     (267,324     (167,990     (310,625

Proceeds from sales of long-term securities

    1,336,464       429,146       480,553       241,695       450,532  

(Purchases) Proceeds from sales of short-term portfolio investments, net

    1,390       6,072       (11,407     (32,712     (4,402

(Increase) decrease in deposits with counterparty

    (11,936     (3,239     6,465       (1,417     2,012  

(Increase) decrease in receivable for investments sold

    (111,392     (13,932     (34,581     (1,411     (27,599

(Increase) decrease in interest and/or dividends receivable

    (2,088     398       2,456       290       738  

Proceeds from (Payments on) exchange-traded or centrally cleared financial derivative instruments

    (263     (868     (209     (423     (2,122

Proceeds from (Payments on) over the counter financial derivative instruments

    13,006       2,817       3,658       2,491       4,934  

(Increase) decrease in other assets

    (3     (78     7       (4     (1

Increase (decrease) in payable for investments purchased

    31,976       (11,831     10,733       1,655       13,900  

Increase (decrease) in payable for unfunded loan commitments

    (9,593     (209     685       (1,800     (1,565

Increase (decrease) in deposits from counterparty

    (4,349     (709     687       (707     (2,251

Increase (decrease) in accrued management fees

    (96     (40     (65     (64     (135

Proceeds from (Payments on) foreign currency transactions

    3,165       371       724       832       1,154  

Increase (decrease) in other liabilities

    101       (10     78       50       66  

Net Realized (Gain) Loss

                                       

Investments in securities

    (23,822     (9,403     (12,982     (5,382     (15,907

Exchange-traded or centrally cleared financial derivative instruments

    (45,665     (24,457     (56,369     (2,409     (33,988

Over the counter financial derivative instruments

    (10,030     (2,843     (3,704     (2,551     (5,050

Foreign currency

    (2,067     (255     (822     (777     (1,323

Net Change in Unrealized (Appreciation) Depreciation

                                       

Investments in securities

    120,147       36,838       53,425       25,202       53,599  

Exchange-traded or centrally cleared financial derivative instruments

    44,497       25,130       56,977       2,648       35,762  

Over the counter financial derivative instruments

    (7,248     (523     (671     (260     (371

Foreign currency assets and liabilities

    (2,449     (886     (1,194     (86     2  

Net amortization (accretion) on investments

    (5,633     (2,558     (3,142     (1,237     (2,923

Net Cash Provided by (Used for) Operating Activities

    155,211       119,937       224,507       52,900       148,608  

Cash Flows Received from (Used for) Financing Activities:

         

Proceeds from shares sold

    53,531       16,331       0       4,817       11,297  

Net at-the-market offering cost

    102       111       0       0       38  

Increase (decrease) in overdraft due to custodian

    150       0       75       8,169       41  

Cash distributions paid to common shareholders*

    (73,911     (25,566     (34,556     (15,697     (30,639

Cash distributions paid to auction rate preferred shareholders

    (145     (13     (32     (355     (693

Proceeds from reverse repurchase agreements

    2,759,022       860,760       806,854       356,675       653,566  

Payments on reverse repurchase agreements

      (2,897,405     (971,113       (996,832       (405,720       (780,480

Net Cash Received from (Used for) Financing Activities

    (158,656       (119,490     (224,491     (52,111     (146,870

Net Increase (Decrease) in Cash and Foreign Currency

    (3,445     447       16       789       1,738  

Cash and Foreign Currency:

         

Beginning of period

    6,563       1,561       2,435       703       1,437  

End of period

  $ 3,118     $ 2,008     $ 2,451     $ 1,492     $ 3,175  

* Reinvestment of distributions to common shareholders

  $ 10,649     $ 2,787     $ 4,086     $ 1,712     $ 3,906  

Supplemental Disclosure of Cash Flow Information:

         

Interest expense paid during the period

  $ 1,770     $ 688     $ 842     $ 280     $ 605  

Non Cash Payment in Kind

  $ 808     $ 583     $ 1,161     $ 313     $ 708  

 

 

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

A Statement of Cash Flows is presented when a Fund has a significant amount of borrowing during the period, based on the average total borrowing outstanding in relation to total assets or when substantially all of a Fund’s investments are not classified as Level 1 or 2 in the fair value hierarchy.

 

       
24   PIMCO CLOSED-END FUNDS      See Accompanying Notes  


Table of Contents
Schedule of Investments   PIMCO Corporate & Income Opportunity Fund          January 31, 2022   (Unaudited)

 

(Amounts in thousands*, except number of shares, contracts, units and ounces, if any)

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
INVESTMENTS IN SECURITIES 165.2%

 

LOAN PARTICIPATIONS AND ASSIGNMENTS 41.0%

 

AAdvantage Loyalty IP Ltd.

 

5.500% (LIBOR03M + 4.750%) due 04/20/2028 ~

  $     12,003     $       12,481  

Air Canada

 

4.250% (LIBOR03M + 3.500%) due 08/11/2028 ~

      300         301  

AP Core Holdings II LLC

 

6.250% (LIBOR03M + 5.500%) due 09/01/2027 ~

      25,401         25,623  

athenahealth, Inc.

 

TBD% due 01/26/2029

      6,533         6,511  

Avantor Funding, Inc.

 

2.500% (LIBOR03M + 2.000%) due 11/21/2024 ~

      13         13  

Bausch Health Cos., Inc.

 

2.855% (LIBOR03M + 2.750%) due 11/27/2025 ~

      99         99  

3.105% (LIBOR03M + 3.000%) due 06/02/2025 ~

      264         264  

Bengal Debt Merger Sub LLC

 

TBD% due 01/24/2029

      5,100         5,099  

TBD% due 01/24/2030

      2,200         2,220  

Brooks Automation, Inc.

 

TBD% due 02/01/2030

      3,200         3,224  

Caesars Resort Collection LLC

 

2.855% (LIBOR03M + 2.750%) due 12/23/2024 ~

      31,362         31,230  

Carnival Corp.

 

3.750% (EUR003M + 3.750%) due 06/30/2025 ~

  EUR     10,751         12,063  

3.750% (LIBOR03M + 3.000%) due 06/30/2025 ~

  $     1,795         1,782  

4.000% (LIBOR03M + 3.250%) due 10/18/2028 ~

      2,551         2,532  

Casino Guichard-Perrachon SA

 

4.000% (EUR003M + 4.000%) due 08/31/2025 ~

  EUR     5,600         6,264  

Cengage Learning, Inc.

 

5.750% (LIBOR03M + 4.750%) due 07/14/2026 ~

  $     8,418         8,460  

Clear Channel Outdoor Holdings, Inc.

 

3.605% - 3.799% (LIBOR03M + 3.500%) due 08/21/2026 ~

      11,818         11,674  

Coty, Inc.

 

2.354% (LIBOR03M + 2.250%) due 04/07/2025 ~

      2,868         2,828  

2.500% (EUR003M + 2.500%) due 04/07/2025 ~

  EUR     4,212         4,657  

DEI Sales, Inc.

 

6.250% (LIBOR03M + 5.500%) due 04/28/2028 ~

  $     15,998         15,977  

DirecTV Financing LLC

 

5.750% (LIBOR03M + 5.000%) due 08/02/2027 ~

      4,497         4,509  

Dun & Bradstreet Corp.

 

TBD% due 01/18/2029

      2,500         2,503  

Embecta Corp.

 

TBD% due 01/27/2029

      4,200         4,202  

Emerald TopCo, Inc.

 

3.605% - 3.799% (LIBOR03M + 3.500%) due 07/24/2026 ~

      228         227  

Encina Private Credit LLC

 

TBD% (LIBOR03M + 3.716%) due 11/30/2025 «~µ

      27,444         27,444  

Envision Healthcare Corp.

 

3.840% - 3.855% (LIBOR03M + 3.750%) due 10/10/2025 ~

      50,110         38,978  

Fly Funding SARL

 

7.000% (LIBOR03M + 6.000%) due 10/08/2025 ~

      10,140         10,172  

Forbes Energy Services LLC (7.000% PIK)

 

7.000% due 06/30/2022 «(d)

      935         0  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Forest City Enterprises LP

 

3.605% (LIBOR03M + 3.500%) due 12/08/2025 ~

  $     64     $     64  

Frontier Communications Corp.

 

4.500% (LIBOR03M + 3.750%) due 05/01/2028 ~

      9,479         9,481  

Gateway Casinos & Entertainment Ltd.

 

8.750% (LIBOR03M + 8.000%) due 10/15/2027 ~

      15,552         15,581  

8.750% due 10/18/2027 «

  CAD     3,393         2,673  

GIP Blue Holding LP

 

5.500% (LIBOR03M + 4.500%) due 09/29/2028 ~

  $     2,567         2,572  

GreenSky Holdings LLC

 

3.375% (LIBOR03M + 3.250%) due 03/31/2025 «~

      8,732         8,737  

Grinding Media, Inc.

 

4.750% (LIBOR03M + 4.000%) due 10/12/2028 ~

      6,185         6,200  

Hudson River Trading LLC

 

3.050% due 03/18/2028

      4,800         4,746  

Ineos Finance PLC

 

2.500% (EUR003M + 2.000%) due 04/01/2024 ~

  EUR     17,148         19,134  

Intelsat Jackson Holdings SA

 

TBD% (LIBOR03M + 4.750%) due 10/13/2022 ~

  $     4,396         4,394  

TBD% due 02/01/2029

      10,022         10,006  

8.000% (PRIME + 4.750%) due 11/27/2023 ~

      3,180         3,180  

8.750% (PRIME + 5.500%) due 01/02/2024 ~

      100         100  

Lealand Finance Co. BV

 

1.104% (LIBOR03M + 1.000%) due 06/30/2025 ~

      2053         985  

3.104% (LIBOR03M + 3.000%) due 06/28/2024 ~ «

      189         118  

Mavenir Systems, Inc.

 

5.250% (LIBOR03M + 4.750%) due 08/18/2028 ~

      6,100         6,103  

MPH Acquisition Holdings LLC

 

4.750% (LIBOR03M + 4.250%) due 08/17/2028 ~

      15,860         15,427  

Parexel International Corp.

 

4.000% (LIBOR03M + 3.500%) due 11/15/2028 ~

      10,131         10,144  

PetSmart, Inc.

 

4.500% (LIBOR03M + 3.750%) due 02/11/2028 ~

      5,075         5,074  

Promotora de Informaciones SA

 

4.500% (EUR003M + 4.500%) due 11/30/2022 ~

  EUR     14,000         15,335  

PUG LLC

 

3.605% (LIBOR03M + 3.500%) due 02/12/2027 ~

  $     9,708         9,654  

4.750% (LIBOR03M + 4.250%) due 02/12/2027 ~

      6,010         6,029  

Redstone Buyer LLC

 

5.500% (LIBOR03M + 4.750%) due 04/27/2028 ~

      7,329         6,830  

RegionalCare Hospital Partners Holdings, Inc.

 

3.855% (LIBOR03M + 3.750%) due 11/16/2025 ~

      87         86  

Rising Tide Holdings, Inc.

 

5.500% (LIBOR03M + 4.750%) due 06/01/2028 ~

      5,174         5,169  

Sasol Ltd.

 

TBD% (LIBOR03M + 1.600%) due 11/23/2022 «~µ

      10,438         10,121  

Scientific Games International, Inc.

 

2.855% (LIBOR03M + 2.750%) due 08/14/2024 ~

      22,866           22,824  

Sequa Mezzanine Holdings LLC

 

7.750% (LIBOR03M + 6.750%) due 11/28/2023 ~

      2,235         2,255  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

11.750% (LIBOR03M + 10.750%) due 04/28/2024 ~

  $     5,598     $     5,598  

Sigma Bidco BV

 

3.500% (EUR003M + 3.500%) due 07/02/2025 ~

  EUR     7,000         7,609  

SkyMiles IP Ltd.

 

4.750% (LIBOR03M + 3.750%) due 10/20/2027 ~

  $     15,100           15,970  

Spirit Aerosystems, Inc.

 

4.250% (LIBOR03M + 3.750%) due 01/15/2025 ~

      2,962         2,977  

SRS Distribution, Inc.

 

TBD% due 06/02/2028

      2,500         2,501  

Steenbok Lux Finco 2 SARL (10.750% PIK)

 

10.750% (EUR003M) due 12/29/2022 ~(d)

  EUR     41,914         39,507  

Summer Holdco B SARL

 

5.180% (LIBOR03M + 5.000%) due 12/04/2026 ~

  $     8         8  

Sunshine Luxembourg SARL

 

4.500% (LIBOR03M + 3.750%) due 10/01/2026 ~

      491         494  

Surgery Center Holdings, Inc.

 

4.500% (LIBOR03M + 3.750%) due 08/31/2026 ~

      4,268         4,269  

Syniverse Holdings, Inc.

 

6.000% (LIBOR03M + 5.000%) due 03/09/2023 ~

      33,342         33,306  

10.000% (LIBOR03M + 9.000%) due 03/11/2024 ~

      3,909         3,905  

Team Health Holdings, Inc.

 

3.750% (LIBOR03M + 2.750%) due 02/06/2024 ~

      20,062         19,354  

TransDigm, Inc.

 

2.355% (LIBOR03M + 2.250%) due 08/22/2024 ~

      11,594         11,509  

2.355% (LIBOR03M + 2.250%) due 05/30/2025 ~

      4,099         4,063  

2.355% (LIBOR03M + 2.250%) due 12/09/2025 ~

      24,661         24,440  

U.S. Renal Care, Inc.

 

5.125% (LIBOR03M + 5.000%) due 06/26/2026 ~

      3,577         3,537  

6.500% (LIBOR03M + 5.500%) due 06/26/2026 ~

      16,160         16,085  

Uber Technologies, Inc.

 

3.605% (LIBOR03M + 3.500%) due 04/04/2025 ~

      3,192         3,190  

3.605% (LIBOR03M + 3.500%) due 02/25/2027 ~

      1,396         1,396  

United Airlines, Inc.

 

4.500% (LIBOR03M + 3.750%) due 04/21/2028 ~

      2,691         2,699  

Univision Communications, Inc.

 

3.750% (LIBOR03M + 2.750%) due 03/15/2024 ~

      716         716  

Veritas U.S., Inc.

 

6.000% (LIBOR03M + 5.000%) due 09/01/2025 ~

      7,016         7,025  

Viad Corp.

 

5.500% (LIBOR03M + 5.000%) due 07/30/2028 «~

      4,489         4,478  

Westmoreland Mining Holdings LLC (15.000% PIK)

 

15.000% due 03/15/2029 (d)

      3,970         1,231  

Windstream Services LLC

 

7.250% (LIBOR03M + 6.250%) due 09/21/2027 ~

      5,853         5,877  
       

 

 

 

Total Loan Participations and Assignments (Cost $676,390)

      666,103  
 

 

 

 
CORPORATE BONDS & NOTES 77.7%

 

BANKING & FINANCE 18.8%

 

Ally Financial, Inc.

 

8.000% due 11/01/2031 (n)

      3,550         4,725  
 

 

See Accompanying Notes     SEMIANNUAL REPORT     |     JANUARY 31, 2022     25
    


Table of Contents
Schedule of Investments   PIMCO Corporate & Income Opportunity Fund   (Cont.)    

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

American Assets Trust LP

 

3.375% due 02/01/2031 (n)

  $     2,200     $     2,187  

Apollo Commercial Real Estate Finance, Inc.

 

4.625% due 06/15/2029 (n)

      4,500         4,293  

Banca Monte dei Paschi di Siena SpA

 

1.875% due 01/09/2026

  EUR     500         536  

2.625% due 04/28/2025

      19,170           21,210  

3.625% due 09/24/2024

      9,609         10,804  

5.375% due 01/18/2028 •(n)

      3,200         2,748  

8.000% due 01/22/2030 •(n)

      6,129         5,509  

8.500% due 09/10/2030 •(n)

      4,500         4,119  

10.500% due 07/23/2029 (n)

      3,939         3,910  

Banco de Credito del Peru

 

4.650% due 09/17/2024

  PEN     1,600         402  

Barclays PLC

 

4.375% due 03/15/2028 •(j)(k)

  $     800         757  

5.875% due 09/15/2024 •(j)(k)(n)

  GBP     3,800         5,265  

7.125% due 06/15/2025 •(j)(k)(n)

      2,200         3,207  

7.750% due 09/15/2023 •(j)(k)

  $     2,000         2,130  

7.875% due 03/15/2022 •(j)(k)

      200         201  

7.875% due 09/15/2022 •(j)(k)(n)

  GBP     5,025         6,992  

8.000% due 06/15/2024 •(j)(k)

  $     1,000         1,092  

Corsair International Ltd.

 

4.850% due 01/28/2027 «•

  EUR     1,300         1,442  

5.200% due 01/28/2029 «•

      1,100         1,217  

Cosaint Re Pte Ltd.

 

9.415% (T-BILL 1MO + 9.250%) due 04/03/2028 ~

  $     1,900         1,949  

Country Garden Holdings Co. Ltd.

 

2.700% due 07/12/2026

      300         234  

3.125% due 10/22/2025

      200         161  

4.800% due 08/06/2030

      200         156  

6.150% due 09/17/2025

      200         175  

8.000% due 01/27/2024

      300         276  

Credit Agricole SA

 

7.875% due 01/23/2024 •(j)(k)

      400         435  

Credit Suisse Group AG

 

5.250% due 02/11/2027 •(j)(k)

      600         600  

6.250% due 12/18/2024 •(j)(k)

      300         315  

6.375% due 08/21/2026 •(j)(k)

      1,300         1,360  

7.250% due 09/12/2025 •(j)(k)

      200         214  

7.500% due 07/17/2023 •(j)(k)

      1,300         1,355  

7.500% due 12/11/2023 •(j)(k)(n)

      3,836         4,098  

Doric Nimrod Air Alpha Pass-Through Trust

 

5.250% due 05/30/2025

      37         37  

Doric Nimrod Air Finance Alpha Ltd. Pass-Through Trust

 

5.125% due 11/30/2024

      29         29  

Erste Group Bank AG

 

4.250% due 10/15/2027 •(j)(k)(n)

  EUR     1,600         1,806  

Essential Properties LP

 

2.950% due 07/15/2031 (n)

  $     500         477  

Fortress Transportation & Infrastructure Investors LLC

 

6.500% due 10/01/2025 (n)

      785         807  

Future Diamond Ltd.

 

4.250% due 09/22/2022

      200         164  

GLP Capital LP

 

3.250% due 01/15/2032

      400         387  

GSPA Monetization Trust

 

6.422% due 10/09/2029 (n)

      5,372         5,608  

Hampton Roads PPV LLC

 

6.171% due 06/15/2053 (n)

      1,800         2,000  

Host Hotels & Resorts LP

 

2.900% due 12/15/2031 (n)

      200         188  

3.375% due 12/15/2029 (n)

      100         100  

HSBC Holdings PLC

 

4.700% due 03/09/2031 •(j)(k)(n)

      300         290  

5.875% due 09/28/2026 •(j)(k)(n)

  GBP     600         847  

6.000% due 09/29/2023 •(j)(k)(n)

  EUR     2,330         2,805  

6.000% due 05/22/2027 •(j)(k)(n)

  $     600         635  

6.500% due 03/23/2028 •(j)(k)(n)

      400         430  

Huarong Finance Co. Ltd.

 

3.375% due 02/24/2030 (n)

      300         276  

3.625% due 09/30/2030 (n)

      300         279  

3.875% due 11/13/2029 (n)

      700         667  

4.250% due 11/07/2027

      200         197  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

4.500% due 05/29/2029

  $     1,300     $     1,292  

4.750% due 04/27/2027

      200         202  

Intelsat Jackson Holdings SA

 

6.500% due 03/15/2030 «

      33,857           33,011  

Intesa Sanpaolo SpA

 

7.750% due 01/11/2027 •(j)(k)(n)

  EUR     2,400         3,170  

Lloyds Banking Group PLC

 

7.500% due 09/27/2025 •(j)(k)

  $     700         777  

7.625% due 06/27/2023 •(j)(k)(n)

  GBP     4,610         6,568  

7.875% due 06/27/2029 •(j)(k)(n)

      5,721         9,344  

MGM Growth Properties Operating Partnership LP

 

3.875% due 02/15/2029 (n)

  $     3,300         3,396  

4.500% due 09/01/2026 (n)

      2,400         2,511  

4.500% due 01/15/2028

      3,050         3,233  

5.750% due 02/01/2027 (n)

      600         664  

MPT Operating Partnership LP

 

3.375% due 04/24/2030 (n)

  GBP     2,100         2,822  

National Health Investors, Inc.

 

3.000% due 02/01/2031 (n)

  $     800         751  

Natwest Group PLC

 

6.000% due 12/29/2025 •(j)(k)

      4,900         5,172  

8.000% due 08/10/2025 •(j)(k)(n)

      15,325         17,284  

Navient Corp.

 

6.125% due 03/25/2024

      289         301  

New Metro Global Ltd.

 

5.000% due 08/08/2022

      200         169  

Newmark Group, Inc.

 

6.125% due 11/15/2023

      128         135  

PRA Group, Inc.

 

7.375% due 09/01/2025 (n)

      4,420         4,693  

Sabra Health Care LP

 

3.200% due 12/01/2031 (n)

      2,100         1,996  

Santander U.K. Group Holdings PLC

 

6.750% due 06/24/2024 •(j)(k)(n)

  GBP     9,405         13,424  

Sberbank of Russia Via SB Capital SA

 

6.125% due 02/07/2022

  $     500         500  

Seazen Group Ltd.

 

6.000% due 08/12/2024

      200         135  

6.450% due 06/11/2022

      300         255  

Societe Generale SA

 

6.750% due 04/06/2028 •(j)(k)

      400         427  

7.375% due 10/04/2023 •(j)(k)(n)

      1,300         1,372  

Standard Chartered PLC

 

4.750% due 01/14/2031 •(j)(k)

      3,400         3,279  

7.500% due 04/02/2022 •(j)(k)

      200         202  

Starwood Property Trust, Inc.

 

4.375% due 01/15/2027

      3,000         2,996  

Tesco Property Finance PLC

 

5.661% due 10/13/2041 (n)

  GBP     507         852  

5.744% due 04/13/2040 (n)

      395         664  

5.801% due 10/13/2040 (n)

      1,629         2,741  

6.052% due 10/13/2039 (n)

      1,151         1,936  

UBS Group AG

 

5.125% due 07/29/2026 •(j)(k)

  $     200         207  

Unique Pub Finance Co. PLC

 

5.659% due 06/30/2027

  GBP     816         1,213  

Uniti Group LP

 

6.000% due 01/15/2030 (n)

  $     15,647         14,336  

7.875% due 02/15/2025 (n)

      30,470         31,776  

Voyager Aviation Holdings LLC

 

8.500% due 05/09/2026

      20,412         19,034  
       

 

 

 
            304,943  
       

 

 

 
INDUSTRIALS 49.5%

 

AA Bond Co. Ltd.

 

5.500% due 07/31/2050 (n)

  GBP     3,541         5,192  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Air Canada

 

3.875% due 08/15/2026 (n)

  $     7,000     $     6,844  

4.625% due 08/15/2029

  CAD     2,500         1,954  

Air Canada Pass-Through Trust

 

5.250% due 10/01/2030 (n)

  $     1,399         1,514  

Altice Financing SA

 

4.250% due 08/15/2029

  EUR     1,326         1,403  

5.750% due 08/15/2029 (n)

  $     7,651         7,162  

American Airlines Pass-Through Trust

 

3.350% due 04/15/2031 (n)

      1,216         1,232  

3.375% due 11/01/2028

      271         268  

3.700% due 04/01/2028 (n)

      938         938  

American Airlines, Inc.

 

5.500% due 04/20/2026 (n)

      14,000         14,356  

5.750% due 04/20/2029 (n)

      3,800         3,897  

Arches Buyer, Inc.

 

4.250% due 06/01/2028 (n)

      3,400         3,219  

Associated Materials LLC

 

9.000% due 09/01/2025

      1,077         1,136  

Boeing Co.

 

5.705% due 05/01/2040 (n)

      1,723         2,077  

5.805% due 05/01/2050 (n)

      1,470         1,852  

5.930% due 05/01/2060 (n)

      1,992         2,532  

6.125% due 02/15/2033 (n)

      3,988         4,856  

Bombardier, Inc.

 

7.125% due 06/15/2026 (n)

      3,200         3,258  

7.500% due 12/01/2024 (n)

      9,527         9,874  

7.500% due 03/15/2025 (n)

      17,337         17,585  

British Airways Pass-Through Trust

 

4.250% due 05/15/2034

      57         60  

Broadcom, Inc.

 

3.137% due 11/15/2035 (n)

      300         285  

3.187% due 11/15/2036 (n)

      2,434         2,316  

3.469% due 04/15/2034 (n)

      200         198  

4.150% due 11/15/2030 (n)

      2,638         2,810  

Caesars Entertainment, Inc.

 

6.250% due 07/01/2025 (n)

      1,000         1,036  

Carnival Corp.

 

10.500% due 02/01/2026 (n)

      400         450  

CDW LLC

 

3.276% due 12/01/2028 (n)

      700         696  

3.569% due 12/01/2031 (n)

      2,300         2,294  

Cellnex Finance Co. SA

 

3.875% due 07/07/2041 (n)

      1,400         1,298  

CGG SA

 

7.750% due 04/01/2027

  EUR     300         341  

7.750% due 04/01/2027 (n)

      13,419           15,255  

8.750% due 04/01/2027

  $     8,648         8,660  

Charter Communications Operating LLC

 

3.500% due 03/01/2042 (n)

      1,000         899  

3.700% due 04/01/2051

      400         355  

3.850% due 04/01/2061 (n)

      1,300         1,121  

3.900% due 06/01/2052 (n)

      5,600         5,140  

3.950% due 06/30/2062 (n)

      4,800         4,246  

4.400% due 12/01/2061 (n)

      4,900         4,648  

Ciena Corp.

 

4.000% due 01/31/2030 (n)

      1,600         1,587  

Community Health Systems, Inc.

 

6.625% due 02/15/2025

      17,948         18,583  

8.000% due 03/15/2026 (n)

      3,672         3,828  

Coty, Inc.

 

3.875% due 04/15/2026 (n)

  EUR     6,600         7,436  

4.750% due 01/15/2029 (n)

  $     10,900         10,753  

5.000% due 04/15/2026 (n)

      8,900         8,951  

CVS Pass-Through Trust

 

7.507% due 01/10/2032 (n)

      1,468         1,779  

Delta Air Lines, Inc.

 

7.375% due 01/15/2026 (n)

      2,170         2,473  

Deluxe Corp.

 

8.000% due 06/01/2029 (n)

      2,691         2,785  

DirecTV Financing LLC

 

5.875% due 08/15/2027 (n)

      8,400         8,451  

DISH DBS Corp.

 

5.250% due 12/01/2026 (n)

      4,220         4,101  

5.750% due 12/01/2028 (n)

      6,710         6,433  
 

 

       
26   PIMCO CLOSED-END FUNDS      See Accompanying Notes  


Table of Contents
      January 31, 2022   (Unaudited)

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Dufry One BV

 

2.500% due 10/15/2024

  EUR     300     $     332  

Energy Transfer LP

 

5.300% due 04/01/2044 (n)

  $     100         107  

Envision Healthcare Corp.

 

8.750% due 10/15/2026 (n)

      9,851         5,140  

Exela Intermediate LLC

 

11.500% due 07/15/2026

      158         100  

Fair Isaac Corp.

 

4.000% due 06/15/2028 (n)

      2,200         2,183  

Ferroglobe PLC

 

9.375% due 12/31/2025 (l)(n)

      2,700         2,808  

Fertitta Entertainment LLC

 

4.625% due 01/15/2029

      3,500         3,417  

First Quantum Minerals Ltd.

 

6.500% due 03/01/2024 (n)

      2,888         2,924  

6.875% due 03/01/2026 (n)

      1,882         1,946  

Ford Motor Co.

 

7.700% due 05/15/2097 (n)

      29,796           39,424  

Fresh Market, Inc.

 

9.750% due 05/01/2023 (n)

      12,200         12,460  

Frontier Communications Holdings LLC

 

6.000% due 01/15/2030 (n)

      3,984         3,851  

Greene King Finance PLC

 

1.898% (BP0003M + 1.800%) due 12/15/2034 ~

  GBP     350         398  

HCA, Inc.

 

7.500% due 11/15/2095 (n)

  $     4,800         6,191  

Hertz Corp.

 

4.625% due 12/01/2026 (n)

      2,300         2,236  

5.000% due 12/01/2029 (n)

      6,700         6,463  

HollyFrontier Corp.

 

4.500% due 10/01/2030 (n)

      22,914         24,097  

Howard Midstream Energy Partners LLC

 

6.750% due 01/15/2027 (n)

      3,000         3,082  

Intelsat Connect Finance SA

 

9.500% due 02/15/2023 ^(e)

      196         30  

Intelsat Jackson Holdings SA

 

5.500% due 08/01/2023 ^(e)

      14,709         6,435  

8.000% due 02/15/2024

      156         159  

8.500% due 10/15/2024 ^(e)

      22,898         10,335  

9.750% due 07/15/2025 ^(e)

      10,549         4,672  

Intelsat Luxembourg SA

 

8.125% due 06/01/2023 ^(e)

      1,939         12  

Inter Media & Communication SpA

 

6.750% due 02/09/2027 (c)

  EUR     7,000         7,883  

Las Vegas Sands Corp.

 

3.200% due 08/08/2024 (n)

  $     200         203  

3.500% due 08/18/2026 (n)

      300         302  

Marriott Ownership Resorts, Inc.

 

6.125% due 09/15/2025 (n)

      402         416  

Match Group Holdings LLC

 

3.625% due 10/01/2031 (n)

      9,500         8,721  

Melco Resorts Finance Ltd.

 

5.375% due 12/04/2029

      200         192  

5.750% due 07/21/2028 (n)

      4,100         3,942  

5.750% due 07/21/2028

      200         192  

MGM China Holdings Ltd.

 

4.750% due 02/01/2027

      200         192  

5.250% due 06/18/2025

      2,400         2,377  

5.375% due 05/15/2024

      300         299  

5.875% due 05/15/2026

      800         798  

Mileage Plus Holdings LLC

 

6.500% due 06/20/2027 (n)

      500         532  

Molina Healthcare, Inc.

 

3.875% due 05/15/2032 (n)

      2,200         2,126  

NCL Corp. Ltd.

 

10.250% due 02/01/2026 (n)

      6,253         7,089  

12.250% due 05/15/2024 (n)

      4,498         5,244  

Nielsen Finance LLC

 

5.625% due 10/01/2028 (n)

      1,700         1,701  

Nissan Motor Co. Ltd.

 

4.810% due 09/17/2030 (n)

      21,100         22,878  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Noble Corp. PLC (11.000% Cash or 15.000% PIK)

 

11.000% due 02/15/2028 (d)

  $     105     $     116  

Odebrecht Oil & Gas Finance Ltd.

 

0.000% due 03/03/2022 (h)(j)

      1,279         7  

Oi Movel SA

 

8.750% due 07/30/2026

      19,123         19,505  

Olympus Water U.S. Holding Corp.

 

5.375% due 10/01/2029

  EUR     6,300         6,642  

Oracle Corp.

 

3.650% due 03/25/2041 (l)(n)

  $     2,800         2,609  

3.850% due 04/01/2060 (n)

      200         178  

3.950% due 03/25/2051 (l)(n)

      2,400         2,266  

4.100% due 03/25/2061 (l)(n)

      2,600         2,427  

Ortho-Clinical Diagnostics, Inc.

 

7.250% due 02/01/2028 (n)

      1,207         1,291  

7.375% due 06/01/2025 (n)

      494         518  

Petroleos Mexicanos

 

4.875% due 02/21/2028 (n)

  EUR     2,647         2,983  

5.950% due 01/28/2031 (n)

  $     5,741         5,471  

6.700% due 02/16/2032 (n)

      17,638         17,489  

6.750% due 09/21/2047 (n)

      6,568         5,645  

6.950% due 01/28/2060 (n)

      660         566  

7.690% due 01/23/2050 (n)

      4,940         4,585  

Platin 1426 GmbH

 

5.375% due 06/15/2023 (n)

  EUR     3,000         3,351  

6.875% due 06/15/2023

      900         1,010  

Prime Healthcare Services, Inc.

 

7.250% due 11/01/2025

  $     300         313  

Prosus NV

 

1.985% due 07/13/2033 (n)

  EUR     1,800         1,871  

2.778% due 01/19/2034

      1,600         1,763  

3.061% due 07/13/2031 (n)

  $     3,700         3,404  

3.257% due 01/19/2027

      1,500         1,499  

3.680% due 01/21/2030 (n)

      5,100         4,994  

3.832% due 02/08/2051 (n)

      1,900         1,599  

4.027% due 08/03/2050 (n)

      1,500         1,305  

4.193% due 01/19/2032

      2,600         2,579  

4.987% due 01/19/2052

      2,200         2,154  

QVC, Inc.

 

5.950% due 03/15/2043 (n)

      4,186         3,815  

Rolls-Royce PLC

 

3.625% due 10/14/2025

      200         197  

4.625% due 02/16/2026 (n)

  EUR     1,900         2,326  

4.625% due 02/16/2026

      200         245  

5.750% due 10/15/2027

  $     300         315  

Royal Caribbean Cruises Ltd.

 

9.125% due 06/15/2023 (n)

      700         738  

Russian Railways Via RZD Capital PLC

 

7.487% due 03/25/2031 (n)

  GBP     1,500         2,512  

Sands China Ltd.

 

2.300% due 03/08/2027 (n)

  $     1,800         1,639  

2.850% due 03/08/2029 (n)

      1,600         1,445  

3.250% due 08/08/2031 (n)

      1,300         1,165  

4.375% due 06/18/2030 (n)

      200         195  

5.400% due 08/08/2028 (n)

      13,590           14,039  

Santos Finance Ltd.

 

3.649% due 04/29/2031

      2,300         2,292  

Seagate HDD Cayman

 

4.091% due 06/01/2029 (n)

      2,000         1,963  

Spirit AeroSystems, Inc.

 

3.950% due 06/15/2023 (n)

      6,753         6,777  

Standard Industries, Inc.

 

2.250% due 11/21/2026 (n)

  EUR     1,000         1,064  

4.375% due 07/15/2030 (n)

  $     5,800         5,549  

Studio City Finance Ltd.

 

5.000% due 01/15/2029 (n)

      1,200         1,045  

5.000% due 01/15/2029

      200         174  

6.000% due 07/15/2025 (n)

      4,400         4,149  

6.500% due 01/15/2028 (n)

      4,200         3,936  

Syngenta Finance NV

 

4.892% due 04/24/2025

      200         212  

5.182% due 04/24/2028 (n)

      600         661  

5.676% due 04/24/2048

      5,748         6,779  

T-Mobile USA, Inc.

 

3.400% due 10/15/2052 (n)

      2,500         2,305  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Topaz Solar Farms LLC

 

4.875% due 09/30/2039 (n)

  $     4,143     $     4,641  

5.750% due 09/30/2039 (n)

      32,927         38,280  

Transocean Guardian Ltd.

 

5.875% due 01/15/2024

      104         100  

Transocean Pontus Ltd.

 

6.125% due 08/01/2025

      201         198  

Transocean, Inc.

 

7.250% due 11/01/2025

      216         169  

8.000% due 02/01/2027

      372         281  

Triumph Group, Inc.

 

6.250% due 09/15/2024

      152         152  

U.S. Airways Pass-Through Trust

 

3.950% due 05/15/2027 (n)

      612         612  

U.S. Renal Care, Inc.

 

10.625% due 07/15/2027

      5,864         5,989  

Uber Technologies, Inc.

 

4.500% due 08/15/2029

      300         292  

7.500% due 05/15/2025 (n)

      1,200         1,256  

Unigel Luxembourg SA

 

8.750% due 10/01/2026

      300         318  

United Airlines Pass-Through Trust

 

4.150% due 02/25/2033 (n)

      82         89  

United Airlines, Inc.

 

4.375% due 04/15/2026 (n)

      4,100         4,077  

4.625% due 04/15/2029 (n)

      10,100         10,011  

United Group BV

 

4.875% due 07/01/2024

  EUR     200         226  

Univision Communications, Inc.

 

5.125% due 02/15/2025 (n)

  $     767         774  

Valaris Ltd. (8.250% Cash or 12.000% PIK)

 

8.250% due 04/30/2028 (d)

      11,533         12,011  

Vale Overseas Ltd.

 

6.875% due 11/21/2036 (n)

      320         408  

6.875% due 11/10/2039 (n)

      90         116  

Vale SA

 

2.762% due 12/29/2049 «~(j)

  BRL     250,000         23,281  

Veritas U.S., Inc.

 

7.500% due 09/01/2025 (n)

  $     4,500         4,597  

Viking Cruises Ltd.

 

13.000% due 05/15/2025 (n)

      13,655         15,275  

Viking Ocean Cruises Ship Ltd.

 

5.625% due 02/15/2029

      100         98  

VOC Escrow Ltd.

 

5.000% due 02/15/2028 (n)

      14,138         13,752  

Windstream Escrow LLC

 

7.750% due 08/15/2028 (n)

      17,794         17,974  

Wolverine Escrow LLC

 

8.500% due 11/15/2024 (n)

      27,364         23,842  

9.000% due 11/15/2026 (n)

      19,488         17,087  

Wynn Las Vegas LLC

 

5.250% due 05/15/2027 (n)

      3,400         3,353  

5.500% due 03/01/2025 (n)

      8,500         8,559  

Wynn Macau Ltd.

 

4.875% due 10/01/2024

      600         571  

5.125% due 12/15/2029 (n)

      1,200         1,088  

5.500% due 01/15/2026

      500         470  

5.500% due 10/01/2027 (n)

      1,100         1,020  

5.625% due 08/26/2028 (n)

      4,535         4,156  

Wynn Resorts Finance LLC

 

7.750% due 04/15/2025 (n)

      1,300         1,355  
       

 

 

 
            804,461  
       

 

 

 
UTILITIES 9.4%

 

AT&T, Inc.

 

3.500% due 02/01/2061

      100         91  

3.850% due 06/01/2060 (n)

      1,849         1,811  

DTEK Finance PLC (1.500% Cash and 3.500% PIK)

 

5.000% due 12/31/2027 (d)

      8,878         4,526  

Genesis Energy LP

 

6.500% due 10/01/2025 (n)

      8,100         7,938  

8.000% due 01/15/2027 (n)

      7,412         7,473  
 

 

See Accompanying Notes     SEMIANNUAL REPORT     |     JANUARY 31, 2022     27
    


Table of Contents
Schedule of Investments   PIMCO Corporate & Income Opportunity Fund   (Cont.)    

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Mountain States Telephone & Telegraph Co.

 

7.375% due 05/01/2030

  $     6,900     $     8,535  

NGD Holdings BV

 

6.750% due 12/31/2026

      1,261         1,039  

Odebrecht Drilling Norbe Ltd. (6.350% Cash and 1.000% PIK)

 

7.350% due 12/01/2026 ^(d)

      347         188  

Odebrecht Offshore Drilling Finance Ltd.

 

6.720% due 12/01/2022 ^(n)

      1,632         1,616  

Odebrecht Offshore Drilling Finance Ltd. (6.720% Cash and 1.000% PIK)

 

7.720% due 12/01/2026 ^(d)

      9,087         1,897  

Oi S.A. (10.000% Cash or 12.000% PIK)

 

10.000% due 07/27/2025 (d)

      9,090         7,573  

Pacific Gas & Electric Co.

 

3.300% due 03/15/2027 (n)

      3,862         3,884  

3.450% due 07/01/2025 (n)

      257         262  

3.750% due 08/15/2042

      46         40  

4.000% due 12/01/2046 (n)

      1,006         924  

4.300% due 03/15/2045 (n)

      257         241  

4.450% due 04/15/2042 (n)

      2,491         2,401  

4.500% due 07/01/2040 (n)

      4,723         4,630  

4.500% due 12/15/2041 (n)

      65         62  

4.550% due 07/01/2030 (n)

      7,090         7,389  

4.600% due 06/15/2043 (n)

      1,036         1,012  

4.750% due 02/15/2044 (n)

      15,063         14,852  

4.950% due 07/01/2050 (n)

      8,191         8,383  

Peru LNG Srl

 

5.375% due 03/22/2030 (n)

      16,656         14,422  

Petrobras Global Finance BV

 

6.250% due 12/14/2026 (n)

  GBP     4,976         7,234  

6.625% due 01/16/2034 (n)

      800         1,168  

6.750% due 06/03/2050 (n)

  $     4,745         4,758  

Rio Oil Finance Trust

 

8.200% due 04/06/2028

      3,702         4,087  

9.250% due 07/06/2024

      2,347         2,505  

9.250% due 07/06/2024 (n)

      2,233         2,383  

9.750% due 01/06/2027 (n)

      395         448  

Southern California Edison Co.

 

4.875% due 03/01/2049 (n)

      316         359  

Transocean Phoenix Ltd.

 

7.750% due 10/15/2024 (n)

      5,136         5,189  

Transocean Poseidon Ltd.

 

6.875% due 02/01/2027 (n)

      23,483         22,816  

Transocean Proteus Ltd.

 

6.250% due 12/01/2024

      200         198  
       

 

 

 
          152,334  
       

 

 

 

Total Corporate Bonds & Notes (Cost $1,278,411)

      1,261,738  
 

 

 

 
CONVERTIBLE BONDS & NOTES 0.3%

 

INDUSTRIALS 0.3%

 

DISH Network Corp.

 

3.375% due 08/15/2026

      5,900         5,506  
       

 

 

 

Total Convertible Bonds & Notes (Cost $5,900)

    5,506  
 

 

 

 
MUNICIPAL BONDS & NOTES 2.3%

 

CALIFORNIA 0.2%

 

Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2021

 

3.850% due 06/01/2050

      1,000         1,000  

4.214% due 06/01/2050

      2,400         2,286  
       

 

 

 
          3,286  
       

 

 

 
ILLINOIS 1.1%

 

Chicago, Illinois General Obligation Bonds, (BABs), Series 2010

 

7.517% due 01/01/2040

      12,100         16,795  

Chicago, Illinois General Obligation Bonds, Series 2015

 

7.750% due 01/01/2042

      51         58  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Chicago, Illinois General Obligation Bonds, Series 2017

 

7.045% due 01/01/2029

  $     145     $     166  
       

 

 

 
          17,019  
       

 

 

 
PUERTO RICO 0.4%

 

Commonwealth of Puerto Rico General Obligation Bonds, Series 2014

 

8.000% due 07/01/2035 ^(e)

      7,900         7,130  
       

 

 

 
VIRGINIA 0.1%

 

Tobacco Settlement Financing Corp., Virginia Revenue Bonds, Series 2007

 

6.706% due 06/01/2046

      1,310         1,361  
       

 

 

 
WEST VIRGINIA 0.5%

 

Tobacco Settlement Finance Authority, West Virginia Revenue Bonds, Series 2007

 

0.000% due 06/01/2047 (h)

      78,700         8,388  
       

 

 

 

Total Municipal Bonds & Notes (Cost $29,924)

      37,184  
 

 

 

 
U.S. GOVERNMENT AGENCIES 2.0%

 

Fannie Mae

 

3.000% due 01/25/2042 (a)

      225         11  

3.500% due 02/25/2033 (a)(n)

      1,138         109  

4.500% due 07/25/2050 (a)(n)

      6,399         895  

5.000% due 02/25/2036 (a)

      290         39  

5.858% due 07/25/2029

      2,010         2,275  

5.992% due 07/25/2040 (a)

      2         0  

Freddie Mac

 

0.000% due 02/25/2046 (b)(h)

      2,297         1,929  

0.100% due 02/25/2046 (a)

      2,297         1  

2.513% due 09/15/2042

      767         645  

3.000% due 12/25/2050 (a)(n)

      8,602         1,153  

3.500% due 10/15/2035 (a)(n)

      1,191         124  

5.691% due 03/15/2043 (n)

      70         57  

5.934% due 05/15/2039 (a)(n)

      687         4  

6.170% due 11/25/2055 «

      13,851         8,521  

6.990% due 02/15/2034 (a)

      1,143         202  

7.658% due 12/25/2027

      4,400         4,627  

9.096% due 07/15/2039 (n)

      2,207         2,313  

10.370% due 03/15/2044 (n)

      1,822         1,959  

10.858% due 03/25/2025

      1,343         1,372  

11.728% due 02/15/2036 (n)

      5,228         6,165  

Ginnie Mae

 

3.500% due 09/16/2041 - 06/20/2042 (a)

      493         56  

6.646% due 01/20/2042 (a)

      1,086         169  
       

 

 

 

Total U.S. Government Agencies (Cost $33,197)

    32,626  
 

 

 

 
NON-AGENCY MORTGAGE-BACKED SECURITIES 9.9%

 

Adjustable Rate Mortgage Trust

 

0.448% due 05/25/2036 •

      1,521         652  

1.258% due 01/25/2035 •

      2,951         2,871  

Alternative Loan Trust

 

0.524% due 03/20/2046 •

      3,106         2,633  

0.648% due 08/25/2035 •

      243         162  

3.252% due 06/25/2037 ^~

      1,329         1,208  

5.142% due 04/25/2037 ^•(a)

      14,656         2,705  

5.500% due 03/25/2035

      399         240  

5.500% due 09/25/2035 ^

      3,349         2,790  

5.750% due 01/25/2035

      303         309  

5.750% due 02/25/2035

      399         355  

6.000% due 02/25/2035

      525         500  

6.000% due 04/25/2036

      1,287         807  

6.000% due 05/25/2036 ^

      1,436         948  

6.000% due 02/25/2037 ^

      519         271  

6.000% due 02/25/2037

      1,604         1,203  

6.000% due 04/25/2037 ^

      4,408         2,751  

6.000% due 08/25/2037 ^•

      6,762         4,686  

6.250% due 10/25/2036 ^

      1,628         1,296  

6.250% due 12/25/2036 ^•

      2,570         1,608  

6.500% due 08/25/2036 ^

      679         338  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

6.500% due 09/25/2036 ^

  $     326     $     229  

21.238% due 02/25/2036 •

      1,042         1,201  

Alternative Loan Trust Resecuritization

 

6.000% due 08/25/2037 ^~

      1,554         1,145  

Banc of America Funding Trust

 

0.348% due 06/26/2036 •

      5,196         4,908  

5.500% due 01/25/2036

      182         171  

6.000% due 07/25/2037 ^

      359         357  

BCAP LLC Trust

 

2.743% due 02/26/2036 ~

      1,861           1,825  

2.903% due 03/27/2036 ~

      2,778         2,266  

4.797% due 03/26/2037 þ

      1,286         1,995  

7.000% due 12/26/2036 ~

      2,346         1,909  

Bear Stearns ALT-A Trust

 

2.710% due 11/25/2034 ~

      194         201  

2.872% due 08/25/2046 ^~

      2,840         2,240  

2.882% due 11/25/2036 ^~

      547         355  

3.075% due 09/25/2035 ^~

      575         420  

3.294% due 08/25/2036 ^~

      2,151         1,358  

Bear Stearns Asset-Backed Securities Trust

 

0.508% due 04/25/2037 •

      9,268         8,107  

Bear Stearns Mortgage Funding Trust

 

7.500% due 08/25/2036 þ

      346         347  

CD Mortgage Trust

 

5.688% due 10/15/2048

      656         630  

Chase Mortgage Finance Trust

 

2.926% due 12/25/2035 ^~

      9         9  

6.000% due 02/25/2037 ^

      1,212         668  

6.000% due 03/25/2037 ^

      306         208  

6.000% due 07/25/2037 ^

      1,102         724  

CHL Mortgage Pass-Through Trust

 

5.500% due 07/25/2037 ^

      460         302  

6.000% due 04/25/2036 ^

      279         213  

Citigroup Commercial Mortgage Trust

 

5.669% due 12/10/2049 ~

      406         182  

Citigroup Mortgage Loan Trust

 

2.551% due 04/25/2037 ^~

      2,101         1,883  

2.696% due 11/25/2035 ~

      11,723         7,685  

3.149% due 03/25/2037 ^~

      312         311  

6.000% due 11/25/2036 ~

      9,927         7,026  

CitiMortgage Alternative Loan Trust

 

5.750% due 04/25/2037 ^

      1,433         1,418  

Commercial Mortgage Loan Trust

 

6.673% due 12/10/2049 ~

      1,056         183  

Credit Suisse Mortgage Capital Mortgage-Backed Trust

 

5.750% due 04/25/2036 ^

      968         668  

Eurosail-UK PLC

 

1.445% due 06/13/2045 •

  GBP     4,487         5,573  

4.095% due 06/13/2045 •

      1,394         1,809  

First Horizon Alternative Mortgage Securities Trust

 

6.250% due 11/25/2036 ^

  $     1,061         533  

Freddie Mac

 

7.850% due 11/25/2041 •

      8,800         8,827  

GS Mortgage Securities Corp. Trust

 

4.591% due 10/10/2032 ~

      9,200         8,985  

GSR Mortgage Loan Trust

 

2.385% due 03/25/2037 ^~

      1,382         1,046  

3.140% due 11/25/2035 ^~

      759         727  

HomeBanc Mortgage Trust

 

1.308% due 03/25/2035 •

      104         98  

IndyMac IMSC Mortgage Loan Trust

 

6.500% due 07/25/2037 ^

      6,453         3,098  

Jackson Park Trust

 

3.242% due 10/14/2039 ~

      4,368         3,832  

JP Morgan Alternative Loan Trust

 

3.094% due 03/25/2037 ~

      4,818         5,064  

JP Morgan Mortgage Trust

 

2.608% due 01/25/2037 ^~

      509         455  

2.667% due 02/25/2036 ^~

      1,056         877  

2.726% due 10/25/2035 ~

      14         14  

2.972% due 06/25/2036 ^~

      370         301  

LB-UBS Commercial Mortgage Trust

 

5.407% due 11/15/2038 ^

      895         575  

Lehman Mortgage Trust

 

6.000% due 07/25/2037 ^

      74         75  
 

 

       
28   PIMCO CLOSED-END FUNDS      See Accompanying Notes  


Table of Contents
      January 31, 2022   (Unaudited)

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Lehman XS Trust

 

0.328% due 06/25/2047 •

  $     1,889     $     1,825  

MASTR Alternative Loan Trust

 

6.750% due 07/25/2036

      2,903         1,544  

Merrill Lynch Mortgage Investors Trust

 

2.709% due 03/25/2036 ^~

      2,267         1,437  

Natixis Commercial Mortgage Securities Trust

 

2.356% due 11/15/2034 •

      4,500           4,463  

RALI Trust

 

0.338% due 05/25/2037 ^•

      192         159  

0.488% due 08/25/2036 ^•

      486         499  

6.000% due 08/25/2036 ^

      375         370  

6.000% due 05/25/2037 ^

      1,242         1,213  

RBSSP Resecuritization Trust

 

0.328% due 10/27/2036 •

      3,609         1,329  

0.582% due 08/27/2037 •

      8,000         4,507  

Residential Asset Securitization Trust

 

5.750% due 02/25/2036 ^

      306         174  

6.000% due 02/25/2037 ^

      1,521         946  

6.250% due 09/25/2037 ^

      4,774         2,723  

RFMSI Trust

 

3.891% due 02/25/2037 ~

      1,708         1,352  

STARM Mortgage Loan Trust

 

2.113% due 02/25/2037 ^~

      1,828         1,722  

2.225% due 04/25/2037 ^~

      228         150  

2.298% due 02/25/2037 ^~

      243         226  

Structured Adjustable Rate Mortgage Loan Trust

 

2.783% due 07/25/2035 ^~

      1,025         957  

2.818% due 11/25/2036 ^~

      2,497         2,387  

2.901% due 01/25/2036 ^~

      4,619         3,378  

Structured Asset Mortgage Investments Trust

 

0.228% due 08/25/2036 •

      117         112  

WaMu Mortgage Pass-Through Certificates Trust

 

2.931% due 07/25/2037 ^~

      485         489  

3.075% due 02/25/2037 ^~

      603         598  

3.167% due 07/25/2037 ^~

      958         973  

3.262% due 10/25/2036 ^~

      841         823  

Washington Mutual Mortgage Pass-Through Certificates WMALT Trust

 

0.927% due 05/25/2047 ^•

      109         12  

6.000% due 10/25/2035 ^

      1,034         847  

6.000% due 03/25/2036 ^

      1,384         1,417  

6.000% due 02/25/2037

      2,579         2,490  
       

 

 

 

Total Non-Agency Mortgage-Backed Securities (Cost $156,213)

      160,488  
 

 

 

 
ASSET-BACKED SECURITIES 10.1%

 

Adagio CLO DAC

 

0.000% due 04/30/2031 ~

  EUR     1,800         1,121  

Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates

 

1.458% due 03/25/2033 •

  $     45         46  

Apidos CLO

 

0.000% due 01/20/2031 ~

      8,800         4,607  

Belle Haven ABS CDO Ltd.

 

0.459% due 07/05/2046 •

      324,260         769  

Carlyle Global Market Strategies CLO Ltd.

 

0.000% due 04/17/2031 ~

      6,000         2,945  

CIFC Funding Ltd.

 

0.000% due 04/24/2030 ~

      4,100         1,819  

0.010% due 10/22/2031 ~

      3,000         1,103  

Cork Street CLO Designated Activity Co.

 

0.000% due 11/27/2028 ~

  EUR     1,151         968  

Credit-Based Asset Servicing & Securitization LLC

 

3.237% due 12/25/2035 ^þ

  $     4         4  

Dryden 58 CLO Ltd.

 

0.000% due 07/17/2031 ~

      14,311         10,679  

First Franklin Mortgage Loan Trust

 

0.428% due 10/25/2036 •

      3,185         2,540  

Flagship Credit Auto Trust

 

0.000% due 05/15/2025 «(h)

      16         1,140  

Fremont Home Loan Trust

 

0.258% due 01/25/2037 •

      5,823         3,397  

0.588% due 02/25/2036 •

      12,191         9,847  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Glacier Funding CDO Ltd.

 

0.415% due 08/04/2035 •

  $     7,306     $     1,244  

Grosvenor Place CLO BV

 

0.000% due 04/30/2029 ~

  EUR     750         439  

GSAMP Trust

 

0.248% due 12/25/2036 •

  $     1,418         949  

Home Equity Mortgage Loan Asset-Backed Trust

 

0.268% due 07/25/2037 •

      2,696         1,805  

JP Morgan Mortgage Acquisition Trust

 

6.330% due 07/25/2036 ^þ

      106         43  

Lehman XS Trust

 

6.790% due 06/24/2046 þ

      788         841  

LNR CDO Ltd.

 

0.389% due 02/28/2043 •

      3,231         74  

Long Beach Mortgage Loan Trust

 

0.708% due 01/25/2036 •

      4,889         4,699  

Marlette Funding Trust

 

0.000% due 09/17/2029 «(h)

      15         1,474  

Merrill Lynch Mortgage Investors Trust

 

3.758% due 03/25/2037 þ

      6,282         1,914  

Morgan Stanley ABS Capital, Inc. Trust

 

0.258% due 10/25/2036 •

      6,088         3,948  

Morgan Stanley Mortgage Loan Trust

 

6.250% due 02/25/2037 ^~

      854         525  

N-Star REL CDO Ltd.

 

0.522% due 02/01/2041 •

      575         574  

Orient Point CDO Ltd.

 

0.484% due 10/03/2045 •

      118,235           40,985  

Renaissance Home Equity Loan Trust

 

5.612% due 04/25/2037 þ

      11,496         4,472  

7.238% due 09/25/2037 ^þ

      8,298         4,757  

Securitized Asset-Backed Receivables LLC Trust

 

0.528% due 03/25/2036 •(n)

      10,892         11,674  

SLM Student Loan EDC Repackaging Trust

 

0.000% due 10/28/2029 «(h)

      8         7,097  

SLM Student Loan Trust

 

0.000% due 01/25/2042 «(h)

      7         3,015  

SMB Private Education Loan Trust

 

0.000% due 09/18/2046 «(h)

      3         1,122  

0.000% due 10/15/2048 «(h)

      3         1,218  

Sofi Professional Loan Program LLC

 

0.000% due 05/25/2040 (h)

      7,500         1,012  

0.000% due 07/25/2040 «(h)

      38         620  

SoFi Professional Loan Program LLC

 

0.000% due 09/25/2040 «(h)

      3,226         619  

South Coast Funding Ltd.

 

0.746% due 08/10/2038 •

      18,997         2,181  

Symphony CLO Ltd.

 

4.838% due 07/14/2026 •

      3,600         3,596  

Taberna Preferred Funding Ltd.

 

0.500% due 12/05/2036 •

      10,592         9,268  

0.520% due 08/05/2036 •

      491         434  

0.520% due 08/05/2036 ^•

      9,505         8,412  

0.540% due 02/05/2036 •

      4,144         3,771  
       

 

 

 

Total Asset-Backed Securities (Cost $221,317)

      163,767  
 

 

 

 
SOVEREIGN ISSUES 4.2%

 

Argentina Government International Bond

 

0.500% due 07/09/2030 þ

      9,499         2,847  

0.500% due 07/09/2030 þ

      1,105         376  

1.000% due 07/09/2029

      1,352         480  

1.125% due 07/09/2035 þ

      9,460         2,855  

1.125% due 07/09/2035 þ

      405         126  

1.125% due 07/09/2046 þ

      115         36  

2.000% due 01/09/2038 þ(n)

      22,691         8,656  

2.500% due 07/09/2041 þ

      17,491         6,262  

15.500% due 10/17/2026

  ARS     92,410         152  

34.191% (BADLARPP) due 10/04/2022

      116         0  

Argentina Treasury Bond BONCER

 

1.450% due 08/13/2023

  ARS     40,240         169  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Chile Government International Bond

 

2.750% due 01/31/2027

  $     2,000     $     2,031  

3.500% due 01/31/2034

      2,500         2,561  

4.000% due 01/31/2052

      1,200         1,236  

Egypt Government International Bond

 

3.875% due 02/16/2026 (n)

      1,500         1,376  

5.625% due 04/16/2030

  EUR     4,000         3,915  

6.375% due 04/11/2031

      1,724         1,707  

7.500% due 02/16/2061 (n)

  $     4,200         3,273  

Ghana Government International Bond

 

6.375% due 02/11/2027

      1,100         886  

7.875% due 02/11/2035

      1,300         980  

8.750% due 03/11/2061

      400         298  

10.750% due 10/14/2030

      800         858  

Ivory Coast Government International Bond

 

4.875% due 01/30/2032 (n)

  EUR     5,900         6,238  

6.625% due 03/22/2048

      1,600         1,720  

Panama Government International Bond

 

4.500% due 04/16/2050

  $     2,000         2,058  

Provincia de Buenos Aires

 

40.893% due 04/12/2025

  ARS     862,385         3,240  

South Africa Government International Bond

 

5.750% due 09/30/2049

  $     3,216         2,953  

Turkiye Ihracat Kredi Bankasi AS

 

8.250% due 01/24/2024

      200         208  

Ukraine Government International Bond

 

4.375% due 01/27/2030

  EUR     2,495         2,163  

7.750% due 09/01/2022 (n)

  $     9,800         9,434  

Venezuela Government International Bond

 

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

      70         4  

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

      598         36  
       

 

 

 

Total Sovereign Issues (Cost $97,938)

      69,134  
 

 

 

 
 
        SHARES            
COMMON STOCKS 2.5%

 

COMMUNICATION SERVICES 0.8%

 

Clear Channel Outdoor Holdings, Inc. (f)

      1,167,686         3,573  

iHeartMedia, Inc. ‘A’ (f)

      275,106         5,544  

iHeartMedia, Inc. ‘B’ «(f)

      213,502         3,872  
       

 

 

 
          12,989  
       

 

 

 
ENERGY 0.1%

 

Axis Energy Services ‘A’ «(f)(l)

      6,085         90  

Noble Finance Co. (f)(l)

      42,080         1,039  

Valaris Ltd. (f)

      2,895         120  
       

 

 

 
          1,249  
       

 

 

 
FINANCIALS 0.1%

 

Credit Suisse Group AG (f)

      92,485         874  
       

 

 

 
INDUSTRIALS 1.3%

 

Mcdermott International Ltd. (f)

      57,728         37  

Neiman Marcus Group Ltd. LLC «(f)(l)

      152,491         22,109  

Noble Corp. (f)

      3,270         81  

Voyager Aviation Holdings LLC «(f)

      2,841         0  

Westmoreland Mining Holdings «(f)(l)

      45,070         0  
       

 

 

 
          22,227  
       

 

 

 
MATERIALS 0.2%

 

Associated Materials Group, Inc. «(f)(l)

      411,442         2,872  
       

 

 

 
 

 

See Accompanying Notes     SEMIANNUAL REPORT     |     JANUARY 31, 2022     29
    


Table of Contents
Schedule of Investments   PIMCO Corporate & Income Opportunity Fund   (Cont.)    

 

        SHARES         MARKET
VALUE
(000S)
 
REAL ESTATE 0.0%

 

Stearns Holding LLC ‘B’ «(f)

      42,113     $     29  
       

 

 

 

Total Common Stocks (Cost $28,878)

    40,240  
 

 

 

 
WARRANTS 1.8%

 

FINANCIALS 0.0%

 

Guaranteed Rate, Inc. - Exp. 12/31/2060 «

      202         0  
       

 

 

 
INDUSTRIALS 0.0%

 

Sequa Corp. -
Exp. 04/28/2024 «

      1,355,000         533  
       

 

 

 
INFORMATION TECHNOLOGY 1.8%

 

Windstream Holdings LLC -
Exp. 09/21/2055 «

      1,181,266         29,267  
       

 

 

 

Total Warrants (Cost $9,822)

      29,800  
 

 

 

 
PREFERRED SECURITIES 6.3%

 

BANKING & FINANCE 3.0%

 

AGFC Capital Trust

 

1.991% (US0003M + 1.750%) due 01/15/2067 ~(n)

      1,800,000         1,060  

Brighthouse Holdings LLC

 

6.500% due 07/27/2037 þ(j)

      110,000         125  

Charles Schwab Corp.

 

4.000% due 12/01/2030 •(j)

      100,000         98  

Compeer Financial ACA

 

4.875% due 08/15/2026 •(j)

      4,400,000         4,488  
        SHARES         MARKET
VALUE
(000S)
 

Farm Credit Bank of Texas

 

5.700% due 09/15/2025 •(j)

      1,000,000     $     1,070  

Stichting AK Rabobank Certificaten

 

6.500% due 12/29/2049 þ(j)

      29,098,525         42,352  
       

 

 

 
          49,193  
       

 

 

 
INDUSTRIALS 3.3%

 

General Electric Co.

 

3.533% (US0003M + 3.330%) due 03/15/2022 ~(j)(n)

      1,343,000         1,320  

Sequa Corp. (15.000% PIK)

 

15.000% «(d)

      42,007         46,107  

Voyager Aviation Holdings LLC

 

9.500% «

      17,047         5,231  
       

 

 

 
          52,658  
       

 

 

 
Total Preferred Securities (Cost $80,574)       101,851  
 

 

 

 
REAL ESTATE INVESTMENT TRUSTS 2.0%

 

REAL ESTATE 2.0%

 

CBL & Associates Properties, Inc.

      11,978         361  

Uniti Group, Inc.

      572,252         6,901  

VICI Properties, Inc.

      858,541         24,572  
       

 

 

 

Total Real Estate Investment Trusts (Cost $14,542)

    31,834  
 

 

 

 
SHORT-TERM INSTRUMENTS 5.1%

 

REPURCHASE AGREEMENTS (m) 0.2%

 

          2,846  
       

 

 

 
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
ARGENTINA TREASURY BILLS 0.1%

 

42.739% due 04/29/2022 (h)(i)

  ARS     237,282     $     887  
       

 

 

 
U.S. TREASURY BILLS 2.8%

 

0.065% due 02/17/2022 - 03/29/2022 (c)(g)(h)(p)(r)

  $     45,899         45,893  
       

 

 

 
U.S. TREASURY CASH MANAGEMENT BILLS 2.0%

 

0.158% due 04/26/2022 - 05/24/2+022 (g)(h)(p)(r)

      32,900         32,881  
       

 

 

 
Total Short-Term Instruments (Cost $82,688)     82,507  
 

 

 

 
       
Total Investments in Securities (Cost $2,715,794)     2,682,778  
       
Total Investments 165.2% (Cost $2,715,794)

 

  $     2,682,778  

Financial Derivative
Instruments (o)(q) 0.0%

(Cost or Premiums, net $(15,440))

 

 

      812  
       
Auction Rate Preferred Shares (13.1)%

 

      (212,650
Other Assets and Liabilities, net (52.1)%     (847,190
 

 

 

 
Net Assets Applicable to Common Shareholders 100.0%

 

  $       1,623,750  
   

 

 

 
 

NOTES TO SCHEDULE OF INVESTMENTS:    

 

*

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

^

Security is in default.

«

Security valued using significant unobservable inputs (Level 3).

µ

All or a portion of this amount represents unfunded loan commitments. The interest rate for the unfunded portion will be determined at the time of funding. See Note 4, Securities and Other Investments, in the Notes to Financial Statements for more information regarding unfunded loan commitments.

~

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)

Payment in-kind security.

(e)

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

(f)

Security did not produce income within the last twelve months.

(g)

Coupon represents a weighted average yield to maturity.

(h)

Zero coupon security.

(i)

Coupon represents a yield to maturity.

(j)

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

(k)

Contingent convertible security.

 

       
30   PIMCO CLOSED-END FUNDS      See Accompanying Notes  


Table of Contents
      January 31, 2022   (Unaudited)

 

(l)  RESTRICTED SECURITIES:

 

Issuer Description    Acquisition
Date
    Cost     Market
Value
    Market Value
as Percentage
of Net Assets
Applicable
to Common
Shareholders
 

Associated Materials Group, Inc.

     08/24/2020     $ 2,613     $ 2,872       0.18

Axis Energy Services ‘A’

     03/13/2020       90       90       0.01  

Ferroglobe PLC 9.375% due 12/31/2025

     03/13/2020       2,707       2,808       0.17  

Neiman Marcus Group Ltd. LLC

     03/13/2020       4,911       22,109       1.36  

Noble Corp.

     03/13/2020       562       1,039       0.06  

Oracle Corp. 3.650% due 03/25/2041

     03/22/2021       2,782       2,609       0.16  

Oracle Corp. 3.950% due 03/25/2051

     03/22/2021       2,396       2,266       0.14  

Oracle Corp. 4.100% due 03/25/2061

     03/22/2021 - 10/05/2021       2,738       2,427       0.15  

Westmoreland Mining Holdings LLC

     03/13/2020       1,172       0       0.00  
    

 

 

   

 

 

   

 

 

 
  $     19,971     $     36,220       2.23
 

 

 

   

 

 

   

 

 

 

 

BORROWINGS AND OTHER FINANCING TRANSACTIONS

 

(m)  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
 
FICC     0.000     01/31/2022       02/01/2022     $     2,846     U.S. Treasury Notes 0.875% due 01/31/2024   $ (2,903   $ 2,846     $ 2,846  
           

 

 

   

 

 

   

 

 

 

Total Repurchase Agreements

 

    $     (2,903   $     2,846     $     2,846  
   

 

 

   

 

 

   

 

 

 

 

REVERSE REPURCHASE AGREEMENTS:

 

Counterparty   Borrowing
Rate(1)
    Settlement
Date
    Maturity
Date
    Amount
Borrowed(1)
     Payable for
Reverse
Repurchase
Agreements
 

BNY

    0.800     10/18/2021       02/11/2022       $       (8,979    $ (9,000

BOM

    0.570       01/28/2022       04/01/2022         (10,079      (10,080

BOS

    0.120       01/07/2022       TBD (2)        (1,001      (1,002
    0.120       01/28/2022       TBD (2)        (4,470      (4,470
    0.260       01/10/2022       02/04/2022         (13,610      (13,612
    0.300       01/12/2022       04/12/2022         (1,878      (1,879

BPS

    (0.320     01/13/2022       04/25/2022       EUR       (4,954      (5,565
    (0.300     01/17/2022       05/10/2022         (2,797      (3,142
    0.300       10/25/2021       TBD (2)      GBP       (1,699      (2,287
    0.300       01/14/2022       02/18/2022       $       (1,881      (1,881
    0.490       10/22/2021       02/16/2022             (20,494          (20,522
    0.490       11/01/2021       02/16/2022         (3,299      (3,303
    0.490       11/02/2021       02/16/2022         (1,050      (1,051
    0.490       12/01/2021       02/24/2022         (2,572      (2,574
    0.500       10/20/2021       02/03/2022         (714      (715
    0.500       02/03/2022       03/10/2022         (696      (696
    0.510       09/20/2021       03/21/2022         (9,787      (9,806
    0.510       10/01/2021       03/21/2022         (15,976      (16,004
    0.510       01/28/2022       03/21/2022         (3,414      (3,415
    0.520       10/14/2021       04/18/2022         (3,378      (3,384
    0.530       11/09/2021       05/12/2022         (559      (560
    0.550       09/16/2021       04/28/2022         (1,544      (1,547

BRC

    (2.000     12/09/2021       TBD (2)      EUR       (3,840      (4,302
    (0.250     11/15/2021       02/09/2022         (2,418      (2,715
    0.410       09/22/2021       03/21/2022       $       (2,576      (2,580
    0.500       08/06/2021       02/07/2022         (16,821      (16,863
    0.500       09/03/2021       03/03/2022         (359      (359
    0.500       09/10/2021       03/10/2022         (1,921      (1,925
    0.500       09/24/2021       03/24/2022         (2,474      (2,478
    0.500       09/30/2021       02/07/2022         (3,940      (3,947
    0.500       10/26/2021       03/08/2022         (4,714      (4,721
    0.500       11/16/2021       03/08/2022         (5,951      (5,958
    0.500       12/06/2021       03/03/2022         (1,724      (1,725
    0.500       12/23/2021       03/08/2022         (7,796      (7,801
    0.500       01/12/2022       03/14/2022         (3,844      (3,845
    0.500       01/19/2022       02/23/2022         (918      (918

 

See Accompanying Notes     SEMIANNUAL REPORT     |     JANUARY 31, 2022     31
    


Table of Contents
Schedule of Investments   PIMCO Corporate & Income Opportunity Fund   (Cont.)    

 

Counterparty   Borrowing
Rate(1)
    Settlement
Date
    Maturity
Date
    Amount
Borrowed(1)
     Payable for
Reverse
Repurchase
Agreements
 
    0.500 %       01/19/2022       03/02/2022       $       (13,905    $ (13,908
    0.500       01/20/2022       02/24/2022         (12,660      (12,662
    0.500       01/20/2022       03/08/2022         (6,276      (6,277
    0.550       01/19/2022       04/11/2022         (4,078      (4,079

BYR

    0.560       01/26/2022       04/29/2022         (8,239      (8,240
    0.640       03/31/2021       03/25/2022         (10,176      (10,232
    0.640       04/19/2021       03/25/2022         (4,461      (4,484
    0.640       07/30/2021       03/25/2022         (990      (995
    0.640       09/16/2021       03/25/2022         (399      (400
    0.640       10/12/2021       03/25/2022         (2,379      (2,384
    0.640       11/12/2021       03/25/2022         (456      (457
    0.640       11/26/2021       03/25/2022         (4,801      (4,806
    0.640       12/09/2021       03/25/2022         (1,969      (1,971
    0.640       12/23/2021       03/25/2022         (2,771      (2,773
    0.640       01/13/2022       03/25/2022         (2,615      (2,617
    0.640       01/20/2022       03/25/2022         (6,246      (6,248
    0.640       01/21/2022       03/25/2022         (2,211      (2,212

CDC

    0.280       01/05/2022       02/03/2022         (1,811      (1,811
    0.290       12/02/2021       02/03/2022         (12,464      (12,470
    0.290       01/10/2022       02/03/2022         (7,026      (7,027
    0.330       10/04/2021       04/04/2022         (1,957      (1,959
    0.350       11/05/2021       TBD (2)        (279      (279
    0.430       01/27/2022       05/02/2022         (21,651      (21,653
    0.450       02/03/2022       05/09/2022         (18,759      (18,759
    0.490       09/14/2021       03/14/2022         (5,015      (5,025
    0.490       09/15/2021       03/15/2022         (3,621      (3,628
    0.490       09/23/2021       03/23/2022         (4,213      (4,220
    0.490       10/04/2021       04/04/2022         (16,762      (16,789
    0.490       10/07/2021       04/07/2022         (575      (576
    0.490       10/12/2021       03/14/2022         (391      (391
    0.490       10/14/2021       04/14/2022         (6,403      (6,413
    0.490       11/26/2021       03/15/2022         (3,730      (3,733
    0.490       12/01/2021       04/18/2022         (1,081      (1,081
    0.490       12/08/2021       04/18/2022         (9,310      (9,317
    0.490       12/09/2021       04/18/2022         (632      (632
    0.490       01/13/2022       04/14/2022         (4,914      (4,915
    0.490       01/18/2022       04/14/2022         (4,625      (4,626
    0.490       01/21/2022       04/04/2022         (8,459      (8,460
    0.490       01/21/2022       04/06/2022         (704      (704
    0.500       11/04/2021       04/07/2022         (906      (908
    0.530       01/13/2022       07/14/2022         (4,920      (4,921

CEW

    (0.300     11/15/2021       02/09/2022       EUR       (1,640      (1,841
    0.350       10/25/2021       TBD (2)      GBP       (3,838      (5,164
    0.500       05/07/2021       02/01/2022       $       (17,066      (17,130
    0.500       01/14/2022       02/01/2022         (3,217      (3,218

CIB

    0.560       01/13/2022       03/18/2022         (241      (242

FBF

    (0.500     01/20/2022       TBD (2)        (11,807      (11,805

IND

    0.250       12/21/2021       03/17/2022             (19,375          (19,381
    0.260       12/21/2021       03/21/2022         (15,957      (15,962
    0.280       10/06/2021       04/06/2022         (297      (298
    0.280       10/22/2021       03/10/2022         (7,055      (7,061
    0.290       08/03/2021       02/03/2022         (431      (432
    0.290       10/04/2021       04/01/2022         (1,182      (1,183
    0.300       09/29/2021       03/29/2022         (4,967      (4,972
    0.300       10/19/2021       03/09/2022         (2,698      (2,701
    0.300       10/21/2021       03/09/2022         (533      (533
    0.310       10/06/2021       04/06/2022         (488      (488
    0.330       06/09/2021       03/09/2022         (401      (402
    0.340       02/03/2022       05/09/2022         (417      (417
    0.370       12/21/2021       03/17/2022         (4,618      (4,620
    0.370       12/21/2021       03/24/2022         (12,085      (12,090
    0.420       08/27/2021       02/03/2022         (2,882      (2,888
    0.420       09/30/2021       03/30/2022         (621      (622
    0.420       12/08/2021       02/10/2022         (5,525      (5,528
    0.420       12/15/2021       02/10/2022         (608      (608
    0.420       12/21/2021       03/24/2022         (2,191      (2,192
    0.420       01/07/2022       02/10/2022         (1,859      (1,859
    0.430       09/01/2021       02/03/2022         (4,440      (4,448
    0.430       09/30/2021       03/30/2022         (458      (459
    0.430       10/12/2021       04/12/2022         (6,144      (6,152
    0.430       12/20/2021       03/25/2022         (3,901      (3,903
    0.440       10/12/2021       04/12/2022         (966      (968

 

       
32   PIMCO CLOSED-END FUNDS      See Accompanying Notes  


Table of Contents
      January 31, 2022   (Unaudited)

 

Counterparty   Borrowing
Rate(1)
    Settlement
Date
    Maturity
Date
    Amount
Borrowed(1)
    Payable for
Reverse
Repurchase
Agreements
 
    0.460     02/03/2022       05/09/2022       $       (5,760   $ (5,760
    0.500       02/03/2022       05/09/2022         (1,703     (1,703

JML

    (5.000     12/09/2021       TBD (2)      EUR       (1,277     (1,424
    (3.000     12/09/2021       TBD (2)        (5,288     (5,919
    (0.450     12/01/2021       03/01/2022         (896     (1,006
    (0.400     11/05/2021       TBD (2)        (888     (996
    (0.400     12/01/2021       03/01/2022         (2,509     (2,816
    (0.380     12/01/2021       03/01/2022         (1,452     (1,630
    (0.380     12/08/2021       03/08/2022         (5,716     (6,425
    (0.380     01/13/2022       04/25/2022         (3,679     (4,132
    (0.380     01/28/2022       04/28/2022         (3,286     (3,692
    (0.350     01/17/2022       05/11/2022         (2,368     (2,660
    0.000       10/12/2021       03/17/2022       $       (1,784     (1,784
    0.340       12/01/2021       02/28/2022       GBP       (777     (1,046
    0.350       11/15/2021       02/09/2022         (1,650     (2,221
    0.350       01/13/2022       TBD (2)      $       (1,253     (1,254
    0.350       01/13/2022       TBD (2)      GBP       (4,563     (6,137
    0.350       01/14/2022       TBD (2)      $       (1,834     (1,834
    0.400       10/25/2021       TBD (2)      GBP       (1,968     (2,648
    0.450       01/14/2022       05/05/2022         (21,309     (28,666
    0.450       01/17/2022       05/06/2022         (9,092     (12,230
    0.500       09/20/2021       03/17/2022       $       (4,443     (4,452
    0.600       01/18/2022       04/19/2022       GBP       (391     (525

MEI

    (5.000     01/07/2022       TBD (2)      EUR       (1,345     (1,506
    (0.250     01/07/2022       TBD (2)      $       (459     (459

NOM

    0.400       01/27/2022       02/18/2022         (5,728     (5,728

RBC

    0.350       01/20/2022       03/24/2022         (177     (178

RDR

    0.350       01/20/2022       03/22/2022             (30,923     (30,926

SCX

    (0.350     11/08/2021       02/07/2022       EUR       (1,938     (2,175
    (0.350     01/19/2022       04/19/2022         (5,202     (5,843
    0.340       11/15/2021       02/09/2022       GBP       (2,651     (3,568

SGY

    0.240       12/08/2021       TBD (2)      $       (6,244     (6,246
    0.340       12/08/2021       TBD (2)        (1,277     (1,278

SOG

    0.400       10/06/2021       03/01/2022         (5,164     (5,171
    0.500       09/02/2021       03/02/2022         (1,340     (1,343
    0.500       09/16/2021       03/16/2022         (5,275     (5,285
    0.500       09/17/2021       03/17/2022         (1,437     (1,440
    0.500       09/22/2021       03/23/2022         (10,997     (11,017
    0.500       09/28/2021       03/28/2022         (3,502     (3,508
    0.500       09/30/2021       03/23/2022         (5,345     (5,354
    0.500       10/14/2021       04/13/2022         (8,150     (8,163
    0.500       10/15/2021       03/23/2022         (2,684     (2,688
    0.500       10/19/2021       04/19/2022         (1,626     (1,628
    0.500       10/25/2021       04/19/2022         (6,096     (6,104
    0.500       10/28/2021       04/19/2022         (4,184     (4,189
    0.500       11/08/2021       04/19/2022         (355     (355
    0.500       11/09/2021       04/13/2022         (4,382     (4,387
    0.500       12/14/2021       03/02/2022         (653     (653
    0.500       12/23/2021       04/19/2022         (7,078     (7,082
    0.500       01/05/2022       04/13/2022         (3,542     (3,543
    0.500       01/06/2022       04/01/2022         (1,711     (1,712
    0.500       01/07/2022       04/01/2022         (3,745     (3,746
    0.500       01/20/2022       04/27/2022         (1,132     (1,132
    0.550       06/02/2021       03/02/2022         (9,988     (10,025
    0.550       06/07/2021       03/07/2022         (9,172     (9,205
    0.550       07/30/2021       03/02/2022         (1,020     (1,023
    0.550       10/22/2021       05/04/2022         (8,144     (8,156
    0.550       11/01/2021       04/27/2022         (913     (915
    0.550       11/05/2021       05/04/2022         (11,390     (11,405
    0.550       11/17/2021       04/27/2022         (783     (784
    0.550       11/26/2021       03/02/2022         (1,741     (1,743
    0.550       12/21/2021       04/27/2022         (3,450     (3,452
    0.550       01/07/2022       03/02/2022         (863     (864
    0.550       01/19/2022       05/04/2022         (4,314     (4,314
    0.550       01/28/2022       05/04/2022         (1,894     (1,894
    0.570       01/07/2022       07/08/2022         (3,398     (3,399
    0.670       01/07/2022       07/06/2022         (14,179     (14,186
    0.670       01/07/2022       07/08/2022         (21,943     (21,953
    0.670       01/26/2022       07/08/2022         (1,162     (1,162
           

 

 

 

Total Reverse Repurchase Agreements

 

  $     (873,088
           

 

 

 

 

See Accompanying Notes     SEMIANNUAL REPORT     |     JANUARY 31, 2022     33
    


Table of Contents
Schedule of Investments   PIMCO Corporate & Income Opportunity Fund   (Cont.)    

 

BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY

 

The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral pledged/(received) as of January 31, 2022:

 

Counterparty   Repurchase
Agreement
Proceeds
to be
Received
    Payable for
Reverse
Repurchase
Agreements
    Payable for
Sale-Buyback
Transactions
     Total
Borrowings and
Other Financing
Transactions
    Collateral
Pledged/(Received)
    Net Exposure(3)  

Global/Master Repurchase Agreement

 

BNY

  $ 0     $ (9,000   $ 0      $ (9,000   $ 11,674     $ 2,674  

BOM

    0       (10,080     0        (10,080     12,485       2,405  

BOS

    0       (20,963     0        (20,963     23,170       2,207  

BPS

    0       (76,452     0        (76,452     86,936       10,484  

BRC

    0       (97,063     0        (97,063     112,882       15,819  

BYR

    0       (47,819     0        (47,819     56,667       8,848  

CDC

    0       (140,297     0        (140,297     132604       (7,693

CEW

    0       (27,353     0        (27,353     32,113       4,760  

CIB

    0       (242     0        (242     295       53  

FBF

    0       (11,805     0        (11,805     13,755       1,950  

FICC

    2,846       0       0        2,846       (2,903     (57

IND

    0       (107,630     0        (107,630     108,973       1,343  

JML

    0       (93,497     0        (93,497     104,314       10,817  

MEI

    0       (1,965     0        (1,965     1,946       (19

NOM

    0       (5,728     0        (5,728     6,212       484  

RBC

    0       (178     0        (178     182       4  

RDR

    0       (30,926     0        (30,926     31,890       964  

SCX

    0       (11,586     0        (11,586     12,588       1,002  

SGY

    0       (7,524     0        (7,524     7,808       284  

SOG

    0       (172,980     0            (172,980         198,842           25,862  
 

 

 

   

 

 

   

 

 

        

Total Borrowings and Other Financing Transactions

  $     2,846     $     (873,088   $     0         
 

 

 

   

 

 

   

 

 

        

 

CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS

 

Remaining Contractual Maturity of the Agreements

 

     Overnight and
Continuous
    Up to 30 days     31-90 days     Greater Than 90 days     Total  

Reverse Repurchase Agreements

 

Corporate Bonds & Notes

  $ (20,348   $ (183,596   $ (421,039   $ (194,762   $ (819,745

U.S. Government Agencies

    0       0       (10,321     0       (10,321

Sovereign Issues

    0       0       (10,230     (3,547     (13,777

Preferred Securities

    0       0       (908     (1,001     (1,909
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Borrowings

  $     (20,348   $     (183,596   $     (442,498   $     (199,310   $     (845,752
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Payable for reverse repurchase agreements (4)

 

  $ (845,752
 

 

 

 

 

(n)

Securities with an aggregate market value of $950,200 and cash of $5,136 have been pledged as collateral under the terms of the above master agreements as of January 31, 2022.

 

(1)

The average amount of borrowings outstanding during the period ended January 31, 2022 was $(951,881) at a weighted average interest rate of 0.357%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.

(2)

Open maturity reverse repurchase agreement.

(3)

Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information.

(4)

Unsettled reverse repurchase agreements liability of $(27,336) is outstanding at period end.

 

(o)  FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED

 

SWAP AGREEMENTS:

 

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

 

Reference Entity   Fixed
Receive Rate
    Payment
Frequency
  Maturity
Date
    Implied
Credit Spread at
January 31, 2022(2)
    Notional
Amount(3)
    Premiums
Paid/(Received)
    Unrealized
Appreciation/
(Depreciation)
    Market
Value(4)
    Variation Margin  
  Asset      Liability  

Atlantia SPA

    1.000   Quarterly     12/20/2025       1.137     EUR        1,000     $ (45   $ 41     $ (4   $ 0      $ (4

Atlantia SpA

    1.000     Quarterly     06/20/2026       1.239          4,500       (155     109       (46     0            (20

Boeing Co.

    1.000     Quarterly     06/20/2026       1.056       $        12,700           (231         217       (14         6        0  

Bombardier, Inc.

    5.000     Quarterly     06/20/2024       3.464          4,700       (9     200           191       0        0  

 

       
34   PIMCO CLOSED-END FUNDS      See Accompanying Notes  


Table of Contents
      January 31, 2022   (Unaudited)

 

Reference Entity   Fixed
Receive Rate
    Payment
Frequency
    Maturity
Date
    Implied
Credit Spread at
January 31, 2022(2)
    Notional
Amount(3)
    Premiums
Paid/(Received)
    Unrealized
Appreciation/
(Depreciation)
    Market
Value(4)
    Variation Margin  
  Asset      Liability  

Bombardier, Inc.

    5.000     Quarterly       12/20/2024       3.760     $        1,000     $ (2   $ 41     $ 39     $ 0      $ 0  

Energy Transfer Operating LP

    1.000       Quarterly       06/20/2026       0.954          100       (2     2       0       0        0  

Hess Corp.

    1.000       Quarterly       06/20/2026       0.957          100       (2     2       0       0        0  

Jaguar Land Rover Automotive

    5.000       Quarterly       06/20/2026       4.036       EUR        800       56       (16     40       0        (8

Jaguar Land Rover Automotive

    5.000       Quarterly       12/20/2026       4.209          11,447       424       91       515       0        (125

MGM Resorts International

    5.000       Quarterly       06/20/2026       2.427       $        3,700       501       (96     405       0        (6

Rolls-Royce PLC

    1.000       Quarterly       06/20/2025       1.415       EUR        1,900       (362     335       (27     0        (7

Rolls-Royce PLC

    1.000       Quarterly       12/20/2025       1.553          27,400       (4,887     4,276       (611     0        (93

Rolls-Royce PLC

    1.000       Quarterly       06/20/2026       1.706          11,400       (853     483           (370     0        (55
              

 

 

   

 

 

   

 

 

   

 

 

    

 

 

 
        $     (5,567   $     5,685     $ 118     $     6      $     (318
       

 

 

   

 

 

   

 

 

   

 

 

    

 

 

 

 

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

 

Index/Tranches

 

Fixed
Receive Rate

    Payment
Frequency
    Maturity
Date
    Notional
Amount(3)
   

Premiums
Paid/(Received)

    Unrealized
Appreciation/
(Depreciation)
     Market
Value(4)
    Variation Margin  
  Asset      Liability  

CDX.HY-36 5-Year Index

    5.000     Quarterly       06/20/2026     $         1,200     $ 102     $ (13    $ 89     $ 2      $ 0  

CDX.HY-37 5-Year Index

    5.000       Quarterly       12/20/2026         9,400       858       (165      693       17        0  

iTraxx Asia Ex-Japan 36 5-Year Index

    1.000       Quarterly       12/20/2026         20,000       80       25        105       0        0  
           

 

 

   

 

 

    

 

 

   

 

 

    

 

 

 
          $     1,040     $     (153    $     887     $     19      $     0  
         

 

 

   

 

 

    

 

 

   

 

 

    

 

 

 

 

INTEREST RATE SWAPS

 

Pay/Receive
Floating Rate
  Floating Rate Index   Fixed Rate     Payment
Frequency
  Maturity
Date
    Notional
Amount
    Premiums
Paid/(Received)
    Unrealized
Appreciation/
(Depreciation)
    Market
Value
    Variation Margin  
  Asset     Liability  

Receive(5)

 

1-Day GBP-SONIO Compounded-OIS

    0.750   Annual     03/16/2032       GBP       23,800     $ (184   $ 1,612     $ 1,428     $ 144     $ 0  

Receive(5)

 

1-Day GBP-SONIO Compounded-OIS

    0.750     Annual     03/16/2052         7,800       (112     934       822       169       0  

Receive

 

1-Day USD-Federal  Funds Rate Compounded-OIS

    0.100     Annual     01/13/2023       $       10,000       (1     65       64       2       0  

Pay

 

1-Year BRL-CDI

    6.170     Maturity     01/02/2023       BRL       168,900       (31     (1,295     (1,326     0       0  

Receive

 

3-Month USD-LIBOR

    0.250     Semi-Annual     12/18/2022     $         78,000       38       342       380       15       0  

Receive

 

3-Month USD-LIBOR

    0.250     Semi-Annual     06/16/2024         10,000       27       248       275       1       0  

Pay

 

3-Month USD-LIBOR

    2.750     Semi-Annual     06/17/2025         8,580       541       (182     359       2       0  

Pay

 

3-Month USD-LIBOR

    2.250     Semi-Annual     06/15/2026         44,400       2,099       (859     1,240       21       0  

Receive

 

3-Month USD-LIBOR

    0.500     Semi-Annual     06/16/2026         35,000       544       1,145       1,689       0       (12

Receive(5)

 

3-Month USD-LIBOR

    1.360     Semi-Annual     02/15/2027         12,450       0       207       207       0       (10

Receive(5)

 

3-Month USD-LIBOR

    1.450     Semi-Annual     02/17/2027         20,600       0       255       255       0       (16

Receive(5)

 

3-Month USD-LIBOR

    1.420     Semi-Annual     02/24/2027         6,000       0       85       85       0       (4

Pay

 

3-Month USD-LIBOR

    2.500     Semi-Annual     12/20/2027         73,900       530       2,838       3,368       52       0  

Receive

 

3-Month USD-LIBOR

    1.420     Semi-Annual     08/17/2028         47,100       0       730       730       0       (35

Receive

 

3-Month USD-LIBOR

    1.380     Semi-Annual     08/24/2028         71,000       0       1,319       1,319       0       (51

Pay

 

3-Month USD-LIBOR

    3.000     Semi-Annual     06/19/2029         263,700       13,372       9,577       22,949       190       0  

Receive

 

3-Month USD-LIBOR

    1.000     Semi-Annual     12/16/2030         3,600       (75     320       245       0       (1

Receive

 

3-Month USD-LIBOR

    1.160     Semi-Annual     04/12/2031         6,100       0       341       341       0       (3

Receive

 

3-Month USD-LIBOR

    0.750     Semi-Annual     06/16/2031         19,700       1,395       494       1,889       0       (6

Receive

 

3-Month USD-LIBOR

    1.750     Semi-Annual     12/15/2031         97,600       (1,547     2,204       657       0       (2

Receive(5)

 

3-Month USD-LIBOR

    1.350     Semi-Annual     02/09/2032         128,200       1,004       5,259       6,263       0       (17

Pay

 

3-Month USD-LIBOR

    3.500     Semi-Annual     06/19/2044         305,100       (9,953     96,947       86,994       0       (211

Receive

 

3-Month USD-LIBOR

    2.250     Semi-Annual     12/11/2049         2,200       (3     (139     (142     7       0  

Receive

 

3-Month USD-LIBOR

    2.000     Semi-Annual     01/15/2050         19,800       (143     0       (143     66       0  

Receive

 

3-Month USD-LIBOR

    1.750     Semi-Annual     01/22/2050         28,200       (65     1,439       1,374       94       0  

Receive

 

3-Month USD-LIBOR

    1.875     Semi-Annual     02/07/2050         29,300       (113     483       370       97       0  

Receive

 

3-Month USD-LIBOR

    2.250     Semi-Annual     03/12/2050         9,800       (29     (666     (695     33       0  

Receive

 

3-Month USD-LIBOR

    1.250     Semi-Annual     12/16/2050         17,000       1,650       1,101       2,751       62       0  

Receive(5)

 

3-Month USD-LIBOR

    1.700     Semi-Annual     02/01/2052         288,800       2,056       14,540       16,596       181       0  

Pay

 

6-Month AUD-BBR-BBSW

    3.500     Semi-Annual     06/17/2025       AUD       13,400       332       282       614       39       0  

Pay

 

6-Month CZK-PRIBOR

    1.800     Annual     05/17/2026       CZK       814,100       0       (3,215     (3,215     0       (90

Receive

 

6-Month EUR-EURIBOR

    0.150     Annual     03/18/2030       EUR       21,400       392       602       994       113       0  

Receive(5)

 

6-Month EUR-EURIBOR

    0.250     Annual     03/16/2032         19,500       (374     844       470       113       0  

Pay

 

6-Month HUF-BBR

    2.121     Annual     05/17/2026       HUF       11,300,600       0       (3,649     (3,649     0       (187

Pay

 

28-Day MXN-TIIE

    4.550     Lunar     02/27/2023       MXN       117,300       14       (169     (155     1       0  

Pay

 

28-Day MXN-TIIE

    4.500     Lunar     03/03/2023         218,400       (8     (299     (307     2       0  
             

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
    $     11,356     $ 133,740     $ 145,096     $ 1,404     $ (645
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Swap Agreements

 

    $ 6,829     $     139,272     $     146,101     $     1,429     $     (963
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

See Accompanying Notes     SEMIANNUAL REPORT     |     JANUARY 31, 2022     35
    


Table of Contents
Schedule of Investments   PIMCO Corporate & Income Opportunity Fund   (Cont.)    

 

FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED SUMMARY

 

The following is a summary of the market value and variation margin of Exchange-Traded or Centrally Cleared Financial Derivative Instruments as of January 31, 2022:

 

    Financial Derivative Assets           Financial Derivative Liabilities  
    Market Value     Variation Margin
Asset
   

Total

          Market Value     Variation Margin
Liability
   

Total

 
     Purchased
Options
    Futures     Swap
Agreements
          Written
Options
    Futures     Swap
Agreements
 

Total Exchange-Traded or Centrally Cleared

  $     0     $     0     $     1,429     $     1,429       $     0     $     0     $     (963)     $     (963)  
 

 

 

   

 

 

   

 

 

   

 

 

     

 

 

   

 

 

   

 

 

   

 

 

 

 

(p)

Securities with an aggregate market value of $15,577 and cash of $57,751 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of January 31, 2022. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information.

 

(1)

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

(2)

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

(3)

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

(4)

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

(5)

This instrument has a forward starting effective date. See Note 2, Securities Transactions and Investment Income, in the Notes to Financial Statements for further information.

 

(q)  FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER

 

FORWARD FOREIGN CURRENCY CONTRACTS:

 

Counterparty    Settlement
Month
    Currency to
be Delivered
    Currency to
be Received
    Unrealized Appreciation/
(Depreciation)
 
  Asset     Liability  

AZD

     02/2022     $     10     CNH     63     $ 0     $ 0  

BOA

     02/2022     MXN     2,946     $     143       0       0  
     02/2022     $     3,198     CAD     4,005       0       (47
     02/2022         5,409     GBP     4,004       0       (24
     02/2022         3,245     IDR     46,501,878       0       (16
     02/2022         968     INR     73,567       17       0  
     02/2022         34     RUB     2,600       0       0  
     03/2022     MXN     5,861     $     279       0       (4
     03/2022     $     499     MXN     10,362       0       0  
     06/2022     PEN     3,110     $     745       0       (53
     07/2022     $     6,730     PEN     27,039           195       0  

BPS

     02/2022     EUR     13,318     $     15,083       120       0  
     02/2022     GBP     683         925       7       0  
     02/2022     INR     324,548         4,317       0       (29
     02/2022     $     16,023     EUR     14,112       0           (169
     02/2022         1,894     IDR     27,358,027       6       0  
     02/2022         1,711     INR     129,408       22       0  
     02/2022         143     MXN     2,946       0       (1
     02/2022         7,101     NOK     61,820       0       (152
     03/2022     CZK     36,465     $     1,699       23       0  
     03/2022     $     4,317     INR     325,833       29       0  
     05/2022     MXN     2,946     $     141       1       0  
     11/2022     $     25     ZAR     407       0       0  

BRC

     02/2022         247     HUF     81,047       9       0  

CBK

     02/2022         155     CLP     130,274       7       0  
     03/2022         3,007     RUB     227,820       0       (92
     04/2022         569         43,650       0       (16
     05/2022         1,265     PEN     5,172       69       0  
     07/2022         498         2,022       19       0  
     08/2022     PEN     2,775     $     686       0       (24

 

       
36   PIMCO CLOSED-END FUNDS      See Accompanying Notes  


Table of Contents
      January 31, 2022   (Unaudited)

 

Counterparty    Settlement
Month
    Currency to
be Delivered
    Currency to
be Received
    Unrealized Appreciation/
(Depreciation)
 
  Asset     Liability  
     12/2022     PEN     2,531     $     602     $ 0     $ (37

DUB

     02/2022     HUF     924,933         2,887       0       (34
     02/2022     INR     297,567         3,953       0       (32
     02/2022     $     13     CNH     84       0       0  
     02/2022         1,616     INR     122,686       27       0  
     02/2022         2,613     RUB     194,214       0       (111
     03/2022     CZK     44,467     $     2,082       38       0  
     03/2022     $     3,953     INR     298,776       32       0  
     04/2022         991     RUB     76,803       0       (18

FBF

     02/2022     BRL     134,602     $     25,124       0       (224
     02/2022     $     23,497     BRL     134,602       1,851       0  

GLM

     02/2022     BRL     134,602     $     24,821       0       (528
     02/2022     $     25,124     BRL     134,602       224       0  
     02/2022         166     HUF     54,408       6       0  
     02/2022         1,711     RUB     126,787       0       (78
     03/2022         24,646     BRL     134,602       521       0  
     03/2022         5,820     MXN     120,969       0       0  
     03/2022         651     PEN     2,546       9       0  
     03/2022         1,133     RUB     86,552       0       (26
     04/2022         3,526         270,084       0       (102

HUS

     02/2022     AUD     502     $     360       5       0  
     02/2022     HUF     219,603         670       0       (24
     02/2022     $     4,801     EUR     4,234       0       (44
     02/2022         12,857     GBP     9,369       0       (256
     02/2022         4,315     RUB     317,661       0       (221
     03/2022         1,648         124,067       0       (60
     04/2022         801         62,677       0       (6

JPM

     02/2022         7     CNH     46       0       0  
     02/2022         1,338     IDR     19,191,059       0       (6
     02/2022         3,913     INR     296,324       55       0  

MYI

     02/2022     CHF     776     $     846       8       0  
     02/2022     HUF     308,282         931       0       (42
     02/2022     $     1,906     IDR     27,409,302       0       (2
     03/2022         314     RUB     23,753       0       (10

SCX

     02/2022     CLP     130,274     $     163       0       0  
     02/2022     EUR     174,775         198,868       2,517       0  
     02/2022     GBP     16,137         21,855       153       0  
     02/2022     $     163     CLP     130,274       0       0  
     03/2022     EUR     169,747     $     190,392       0       (417
     03/2022     GBP     12,855         17,243       0       (42
     04/2022     $     801     RUB     61,106       0       (26
     11/2022     PEN     621     $     150       0       (7

TOR

     03/2022     $     9,085     MXN     192,488       177       0  

UAG

     02/2022     GBP     9,408     $     12,932       279       0  
     03/2022     $     2,374     RUB     179,676       0       (75
     04/2022         1,660         129,859       0       (14
            

 

 

   

 

 

 

Total Forward Foreign Currency Contracts

        $     6,426     $     (3,069
            

 

 

   

 

 

 

 

SWAP AGREEMENTS:

 

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

 

Counterparty   Reference Entity   Fixed
Receive Rate
    Payment
Frequency
    Maturity
Date
    Implied
Credit Spread at
January 31, 2022(2)
    Notional
Amount(3)
    Premiums
Paid/(Received)
    Unrealized
Appreciation/
(Depreciation)
    Swap Agreements,
at Value(4)
 
  Asset      Liability  
BPS  

Petrobras Global Finance BV

    1.000     Quarterly       12/20/2024       1.817   $ 1,800     $ (352   $ 313     $ 0      $ (39
BRC  

Colombia Government International Bond

    1.000       Quarterly       12/20/2026       2.136       8,800       (404     (40     0        (444
 

Ukraine Government International Bond

    5.000       Quarterly       12/20/2022       9.988           16,900           1,036           (1,646         0            (610
CBK  

Colombia Government International Bond

    1.000       Quarterly       12/20/2026       2.136       700       (32     (3     0        (35
DUB  

Republic of South Africa Government International Bond

    1.000       Quarterly       12/20/2026       2.082       300       (13     (2     0        (15

 

See Accompanying Notes     SEMIANNUAL REPORT     |     JANUARY 31, 2022     37
    


Table of Contents
Schedule of Investments   PIMCO Corporate & Income Opportunity Fund   (Cont.)    

 

Counterparty   Reference Entity   Fixed
Receive Rate
    Payment
Frequency
    Maturity
Date
    Implied
Credit Spread at
January 31, 2022(2)
    Notional
Amount(3)
    Premiums
Paid/(Received)
    Unrealized
Appreciation/
(Depreciation)
    Swap Agreements,
at Value(4)
 
  Asset      Liability  
GST  

Colombia Government International Bond

    1.000     Quarterly       12/20/2026       2.136   $ 1,900     $ (87   $ (9   $ 0      $ (96
 

Petrobras Global Finance BV

    1.000       Quarterly       12/20/2024       1.817       2,400       (476     424       0        (52
 

Russia Government International Bond

    1.000       Quarterly       12/20/2026       2.225       11,200       (475     (126     0        (601
 

South Africa Government International Bond

    1.000       Quarterly       12/20/2026       2.082       300       (13     (1     0        (14
HUS  

Petrobras Global Finance BV

    1.000       Quarterly       12/20/2024       1.817       3,000       (623     558       0        (65
JPM  

Colombia Government International Bond

    1.000       Quarterly       12/20/2026       2.136       600       (28     (2     0        (30
 

Russia Government International Bond

    1.000       Quarterly       12/20/2026       2.225       2,400       (87     (42     0        (129
 

Springleaf Finance Corp.

    5.000       Quarterly       06/20/2022       0.718       6,570       620       (472     148        0  
MYC  

Colombia Government International Bond

    1.000       Quarterly       12/20/2026       2.136       5,500       (256     (21     0        (277
 

Republic of South Africa Government International Bond

    1.000       Quarterly       12/20/2026       2.082           16,900       (755     (58     0        (813
             

 

 

   

 

 

   

 

 

    

 

 

 
          $     (1,945   $     (1,127   $     148      $     (3,220
         

 

 

   

 

 

   

 

 

    

 

 

 

 

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

 

Counterparty   Index/Tranches   Fixed
Receive Rate
    Payment
Frequency
  Maturity
Date
    Notional
Amount(3)
    Premiums
Paid/(Received)
    Unrealized
Appreciation/
(Depreciation)
    Swap Agreements,
at Value(4)
 
  Asset     Liability  
BRC  

ABX.HE.AAA.6-2 Index

    0.110   Monthly     05/25/2046       $    26,589     $ (6,444   $ 6,713     $ 269     $ 0  
GST  

ABX.HE.AA.6-1 Index

    0.320     Monthly     07/25/2045       10,670       (507     (219     0       (726
 

ABX.HE.AAA.6-2 Index

    0.110     Monthly     05/25/2046       2,249       (543     566       23       0  
MEI  

ABX.HE.AAA.6-2 Index

    0.110     Monthly     05/25/2046       30,991       (7,454     7,767       313       0  
MYC  

ABX.HE.AAA.6-2 Index

    0.110     Monthly     05/25/2046       33,739       (5,344     5,685       341       0  
           

 

 

   

 

 

   

 

 

   

 

 

 
          $     (20,292   $     20,512     $     946     $     (726
         

 

 

   

 

 

   

 

 

   

 

 

 

 

INTEREST RATE SWAPS

 

Counterparty   Pay/Receive
Floating Rate
  Floating Rate Index   Fixed Rate     Payment
Frequency
    Maturity
Date
  Notional
Amount
    Premiums
Paid/(Received)
    Unrealized
Appreciation/
(Depreciation)
    Swap Agreements,
at Value
 
  Asset     Liability  
GLM  

Pay

 

3-Month USD-LIBOR

    1.700     Semi-Annual     02/17/2027   $     82,200     $ (19   $ 65     $ 46     $ 0  
 

Pay

 

3-Month USD-LIBOR

    1.650       Semi-Annual     02/24/2027     19,900       (2     (34     0       (36
MYC  

Pay

 

3-Month USD-LIBOR

    1.600       Semi-Annual     02/15/2027     49,800       (10         (102     0       (112
             

 

 

   

 

 

   

 

 

   

 

 

 
    $     (31   $ (71   $     46     $     (148
   

 

 

   

 

 

   

 

 

   

 

 

 

 

TOTAL RETURN SWAPS ON INTEREST RATE INDICES

 

Counterparty   Pay/Receive(5)   Underlying Reference   # of Units     Financing Rate   Payment
Frequency
    Maturity
Date
  Notional
Amount
    Premiums
Paid/(Received)
    Unrealized
Appreciation/
(Depreciation)
    Swap Agreements,
at Value
 
  Asset     Liability  

BPS

 

Receive

 

iBoxx USD Liquid High Yield Index

    1    

0.214% (3-Month USD-LIBOR plus a specified spread)

    Maturity     03/21/2022   $     1,200     $ 0     $ (9   $ 0     $ (9

BRC

 

Receive

 

iBoxx USD Liquid High Yield Index

    1    

0.214% (3-Month USD-LIBOR plus a specified spread)

    Maturity     03/21/2022     1,500       0       (23     0       (23

MYC

 

Receive

 

iBoxx USD Liquid High Yield Index

    2    

0.214% (3-Month USD-LIBOR plus a specified spread)

    Maturity     03/21/2022     2,100       (1     (20     0       (21
 

Receive

 

iBoxx USD Liquid High Yield Index

    1    

0.214% (3-Month USD-LIBOR plus a specified spread)

    Maturity     06/20/2022     400       0       (4     0       (4
               

 

 

   

 

 

   

 

 

   

 

 

 
                $ (1   $ (56   $ 0     $ (57
               

 

 

   

 

 

   

 

 

   

 

 

 

Total Swap Agreements

 

  $     (22,269   $     19,258     $     1,140     $     (4,151
 

 

 

   

 

 

   

 

 

   

 

 

 

 

       
38   PIMCO CLOSED-END FUNDS      See Accompanying Notes  


Table of Contents
      January 31, 2022   (Unaudited)

 

FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER SUMMARY

 

The following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral pledged/(received) as of January 31, 2022:

 

Counterparty   Financial Derivative Assets           Financial Derivative Liabilities                    
  Forward
Foreign
Currency
Contracts
     Purchased
Options
     Swap
Agreements
     Total
Over the
Counter
           Forward
Foreign
Currency
Contracts
    Written
Options
     Swap
Agreements
    Total
Over the
Counter
    Net Market
Value of OTC
Derivatives
    Collateral
Pledged/
(Received)
    Net
Exposure(6)
 

BOA

  $ 212      $ 0      $ 0      $ 212       $ (144   $ 0      $ 0     $ (144   $ 68     $ 0     $ 68  

BPS

    208        0        0        208         (351     0        (48     (399     (191     262       71  

BRC

    9        0        269        278         0       0        (1,077     (1,077     (799     725       (74

CBK

    95        0        0        95         (169     0        (35     (204     (109     0       (109

DUB

    97        0        0        97         (195     0        (15     (210     (113     0       (113

FBF

    1,851        0        0        1,851         (224     0        0       (224     1,627         (1,240     387  

GLM

    760        0        46        806         (734     0        (36     (770     36       531       567  

GST

    0        0        23        23         0       0        (1,489     (1,489       (1,466     1,671       205  

HUS

    5        0        0        5         (611     0        (65     (676     (671     742       71  

JPM

    55        0        148        203         (6     0        (159     (165     38       (60     (22

MEI

    0        0        313        313         0       0        0       0       313       (320     (7

MYC

    0        0        341        341         0       0        (1,227     (1,227     (886     483       (403

MYI

    8        0        0        8         (54     0        0       (54     (46     0       (46

SCX

    2,670        0        0        2,670         (492     0        0       (492     2,178       (4,120       (1,942

TOR

    177        0        0        177         0       0        0       0       177       (260     (83

UAG

    279        0        0        279         (89     0        0       (89     190       0       190  
 

 

 

    

 

 

    

 

 

    

 

 

     

 

 

   

 

 

    

 

 

   

 

 

       

Total Over the Counter

  $   6,426      $   0      $   1,140      $   7,566       $   (3,069   $   0      $   (4,151   $   (7,220      
 

 

 

    

 

 

    

 

 

    

 

 

     

 

 

   

 

 

    

 

 

   

 

 

       

 

(r)

Securities with an aggregate market value of $4,733 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of January 31, 2022.

 

(1)

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

(2)

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

(3)

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

(4)

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

(5)

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.

(6)

Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information.

 

See Accompanying Notes     SEMIANNUAL REPORT     |     JANUARY 31, 2022     39
    


Table of Contents
Schedule of Investments   PIMCO Corporate & Income Opportunity Fund   (Cont.)    

 

FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS

 

The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal and Other Risks, in the Notes to Financial Statements on risks of the Fund.

 

Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of January 31, 2022:

 

    Derivatives not accounted for as hedging instruments  
     Commodity
Contracts
    Credit
Contracts
    Equity
Contracts
    Foreign
Exchange
Contracts
    Interest
Rate Contracts
    Total  

Financial Derivative Instruments - Assets

 

Exchange-traded or centrally cleared

 

Swap Agreements

  $ 0     $ 25     $ 0     $ 0     $ 1,404     $ 1,429  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Over the counter

 

Forward Foreign Currency Contracts

  $ 0     $ 0     $ 0     $ 6,426     $ 0     $ 6,426  

Swap Agreements

    0       1,094       0       0       46       1,140  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 1,094     $ 0     $ 6,426     $ 46     $ 7,566  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 1,119     $ 0     $ 6,426     $     1,450     $     8,995  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Financial Derivative Instruments - Liabilities

 

Exchange-traded or centrally cleared

 

Swap Agreements

  $ 0     $ 318     $ 0     $ 0     $ 645     $ 963  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Over the counter

 

Forward Foreign Currency Contracts

  $ 0     $ 0     $ 0     $ 3,069     $ 0     $ 3,069  

Swap Agreements

    0       3,946       0       0       205       4,151  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 3,946     $ 0     $ 3,069     $ 205     $ 7,220  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $     0     $     4,264     $     0     $     3,069     $ 850     $ 8,183  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

The effect of Financial Derivative Instruments on the Statements of Operations for the period ended January 31, 2022:

 

    Derivatives not accounted for as hedging instruments  
     Commodity
Contracts
    Credit
Contracts
    Equity
Contracts
    Foreign
Exchange
Contracts
    Interest
Rate Contracts
    Total  

Net Realized Gain on Financial Derivative Instruments

 

Exchange-traded or centrally cleared

 

Swap Agreements

  $ 0     $ 1,438     $ 0     $ 0     $ 44,227     $ 45,665  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Over the counter

 

Forward Foreign Currency Contracts

  $ 0     $ 0     $ 0     $ 5,086     $ 0     $ 5,086  

Written Options

    0       287       0       0       0       287  

Swap Agreements

    0       2,662       0       0       1,995       4,657  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 2,949     $ 0     $ 5,086     $ 1,995     $ 10,030  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $     0     $     4,387     $     0     $     5,086     $ 46,222     $ 55,695  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative Instruments

 

Exchange-traded or centrally cleared

 

Swap Agreements

  $ 0     $ 1,124     $ 0     $ 0     $     (45,621   $     (44,497
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Over the counter

 

Forward Foreign Currency Contracts

  $ 0     $ 0     $ 0     $ 5,674     $ 0     $ 5,674  

Written Options

    0       (180     0       0       0       (180

Swap Agreements

    0       3,912       0       0       (2,158     1,754  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 3,732     $ 0     $ 5,674     $ (2,158   $ 7,248  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 4,856     $ 0     $ 5,674     $ (47,779   $ (37,249
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

       
40   PIMCO CLOSED-END FUNDS      See Accompanying Notes  


Table of Contents
      January 31, 2022   (Unaudited)

 

FAIR VALUE MEASUREMENTS

 

The following is a summary of the fair valuations according to the inputs used as of January 31, 2022 in valuing the Fund’s assets and liabilities:

 

Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
01/31/2022
 

Investments in Securities, at Value

 

Loan Participations and Assignments

  $ 0     $ 612,532     $     53,571     $ 666,103  

Corporate Bonds & Notes

 

Banking & Finance

    0       269,273       35,670       304,943  

Industrials

    0           781,180       23,281           804,461  

Utilities

    0       152,334       0       152,334  

Convertible Bonds & Notes

 

Industrials

    0       5,506       0       5,506  

Municipal Bonds & Notes

 

California

    0       3,286       0       3,286  

Illinois

    0       17,019       0       17,019  

Puerto Rico

    0       7,130       0       7,130  

Virginia

    0       1,361       0       1,361  

West Virginia

    0       8,388       0       8,388  

U.S. Government Agencies

    0       24,105       8,521       32,626  

Non-Agency Mortgage-Backed Securities

    0       160,488       0       160,488  

Asset-Backed Securities

    0       147,462       16,305       163,767  

Sovereign Issues

    0       69,134       0       69,134  

Common Stocks

 

Communication Services

        9,117       0       3,872       12,989  

Energy

    1,159       0       90       1,249  

Financials

    874       0       0       874  

Industrials

    37       81       22,109       22,227  

Materials

    0       0       2,872       2,872  

Real Estate

    0       0       29       29  

Warrants

 

Industrials

    0       0       533       533  

Information Technology

    0       0       29,267       29,267  

Preferred Securities

 

Banking & Finance

    0       49,193       0       49,193  

Industrials

    0       1,320       51,338       52,658  
Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
01/31/2022
 

Real Estate Investment Trusts

 

Real Estate

  $     31,834     $ 0     $ 0     $ 31,834  

Short-Term Instruments

 

Repurchase Agreements

    0       2,846       0       2,846  

Argentina Treasury Bills

    0       887       0       887  

U.S. Treasury Bills

    0       45,893       0       45,893  

U.S. Treasury Cash Management Bills

    0       32,881       0       32,881  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

  $ 43,021     $ 2,392,299     $ 247,458     $ 2,682,778  
 

 

 

   

 

 

   

 

 

   

 

 

 

Financial Derivative Instruments - Assets

 

Exchange-traded or centrally cleared

    0       1,429       0       1,429  

Over the counter

    0       7,566       0       7,566  
 

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 8,995     $ 0     $ 8,995  
 

 

 

   

 

 

   

 

 

   

 

 

 

Financial Derivative Instruments - Liabilities

 

Exchange-traded or centrally cleared

    0       (963     0       (963

Over the counter

    0       (7,220     0       (7,220
 

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ (8,183   $ 0     $ (8,183
 

 

 

   

 

 

   

 

 

   

 

 

 

Total Financial Derivative Instruments

  $ 0     $ 812     $ 0     $ 812  
 

 

 

   

 

 

   

 

 

   

 

 

 

Totals

  $ 43,021     $     2,393,111     $     247,458     $     2,683,590  
 

 

 

   

 

 

   

 

 

   

 

 

 
 

 

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended January 31, 2022:

 

Category and Subcategory   Beginning
Balance
at 07/31/2021
    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 01/31/2022
    Net Change in
Unrealized
Appreciation/
(Depreciation)
on Investments
Held at
01/31/2022(1)
 

Investments in Securities, at Value

 

Loan Participations and Assignments

  $     72,138     $ 4,089     $     (8,660   $ 165     $     (13   $ 365     $ 8,737     $     (23,250   $     53,571     $ 191  

Corporate Bonds & Notes

 

Banking & Finance

    0           35,690       0       0       0       (20     0       0       35,670       (20

Industrials

    1,999       0       0       0       0       (45         23,281       (1,954     23,281       0  

Convertible Bonds & Notes

 

Banking & Finance

    930       0       (876     0       0       (54     0       0       0       0  

U.S. Government Agencies

    8,566       0       (98     18       32       3       0       0       8,521       (3

Asset-Backed Securities

    19,447       0       0           87       0           (2,217     0       (1,012     16,305           (2,056

Common Stocks

 

Communication Services

    4,967       0       0       0       0       (1,095     0       0       3,872       (1,095

Energy

    90       0       0       0       0       0       0       0       90       0  

Financials

    58       0       (74     0       0       16       0       0       0       0  

Industrials

    16,777       0       0       0       0       5,332       0       0       22,109       5,333  

Real Estate

    0       74       0       0       0       (45     0       0       29       (45

Materials(2)

    2,913       0       0       0       0       (41     0       0       2,872       (41

Warrants

 

Financials

    24       0       0       0       0       (24     0       0       0       0  

Industrials

    853       0       0       0       0       (320     0       0       533       (321

Information Technology

    26,360       0       0       0       0       2,907       0       0       29,267       2,907  

Preferred Securities

 

Industrials

    46,632       0       0       0       0       4,706       0       0       51,338       6,029  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Totals

  $     201,754     $     39,853     $     (9,708   $     270     $     19     $     9,468     $     32,018     $     (26,216   $     247,458     $     10,879  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

See Accompanying Notes     SEMIANNUAL REPORT     |     JANUARY 31, 2022     41
    


Table of Contents
Schedule of Investments   PIMCO Corporate & Income Opportunity Fund   (Cont.)   January 31, 2022   (Unaudited)

 

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:

 

Category and Subcategory   Ending
Balance
at 01/31/2022
     Valuation
Technique
   Unobservable
Inputs
        (% Unless Noted Otherwise)  
         Input Value      Weighted
Average
 

Investments in Securities, at Value

 

Loan Participations and Assignments

  $ 10,121      Reference Instrument    Yield       5.840        —    
    16,006      Third Party Vendor    Broker Quote       62.500-100.125        99.708  
    27,444      Waterfall Recoverability    Recovery Value       100.000        —    

Corporate Bonds & Notes

 

Banking & Finance

    35,670      Proxy Pricing    Base Price       97.500-98.720        97.583  

Industrials

    23,281      Reference Instrument    Weighted Average     BRL       50.376        —    

U.S. Government Agencies

    8,521      Proxy Pricing    Base Price       61.520        —    

Asset-Backed Securities

    16,305      Proxy Pricing    Base Price           19.190-85,000.000        52,164.956  

Common Stocks

 

Communication Services

    3,872      Reference Instrument    Liquidity Discount       10.000        —    

Energy

    90      Other Valuation Techniques(3)    —         —          —    

Industrials

    22,109      Discounted Cash Flow    Discount Rate       10.500        —    

Industrials

    29      Other Valuation Techniques(3)    —         —          —    

Materials

    2,872      Other Valuation Techniques(3)    —         —          —    

Warrants

 

Industrials

    533      Other Valuation Techniques(3)    —         —          —    

Information Technology

    29,267      Comparable Company    EBITDA Multiple         X       4.400        —    

Preferred Securities

 

Industrials

    46,107      Comparable Company    EBITDA Multiple     X/X       11.300/8.800        —    
    5,231      Comparable Company/
Dicscount cash Flow
   Book Value Multiple/
Discount Rate
    X/     0.280/19.970        —    
 

 

 

              

Total

  $     247,458               
 

 

 

              

 

(1) 

Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at January 31, 2022 may be due to an investment no longer held or categorized as Level 3 at period end.

(2) 

Sector type updated from Financials to Materials since prior fiscal year end.

(3)

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

 

       
42   PIMCO CLOSED-END FUNDS      See Accompanying Notes  


Table of Contents
Schedule of Investments   PIMCO Corporate & Income Strategy Fund          January 31, 2022 (Unaudited)

 

(Amounts in thousands*, except number of shares, contracts, units and ounces, if any)

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
INVESTMENTS IN SECURITIES 150.4%

 

LOAN PARTICIPATIONS AND ASSIGNMENTS 27.4%

 

AAdvantage Loyalty IP Ltd.

 

5.500% (LIBOR03M + 4.750%) due 04/20/2028 ~

  $     2,300     $     2,392  

AP Core Holdings II LLC

 

6.250% (LIBOR03M + 5.500%) due 09/01/2027 ~

      9,101         9,181  

athenahealth, Inc.

 

TBD% due 01/26/2029

      2,404         2,396  

Caesars Resort Collection LLC

 

2.855% (LIBOR03M + 2.750%) due 12/23/2024 ~

      13,723         13,665  

Carnival Corp.

 

3.750% (EUR003M + 3.750%) due 06/30/2025 ~

  EUR     2,186         2,453  

4.000% (LIBOR03M + 3.250%) due 10/18/2028 ~

  $     948         941  

Cengage Learning, Inc.

 

5.750% (LIBOR03M + 4.750%) due 07/14/2026 ~

      3,025         3,040  

Clear Channel Outdoor Holdings, Inc.

 

3.605% - 3.799% (LIBOR03M + 3.500%) due 08/21/2026 ~

      4,975         4,914  

Coty, Inc.

 

2.354% (LIBOR03M + 2.250%) due 04/07/2025 ~

      2,061         2,033  

Emerald TopCo, Inc.

 

3.605% - 3.799% (LIBOR03M + 3.500%) due 07/24/2026 ~

      105         104  

Envision Healthcare Corp.

 

3.840% - 3.855% (LIBOR03M + 3.750%) due 10/10/2025 ~

      20,043           15,590  

Fertitta Entertainment LLC

 

TBD% due 01/27/2029

      1,500         1,508  

Fly Funding SARL

 

7.000% (LIBOR03M + 6.000%) due 10/08/2025 ~

      3,968         3,980  

Forbes Energy Services LLC (7.000% PIK)

 

7.000% due 06/30/2022 «(d)

      164         0  

Frontier Communications Corp.

 

4.500% (LIBOR03M + 3.750%) due 05/01/2028 ~

      1,732         1,732  

Gateway Casinos & Entertainment Ltd.

 

8.750% (LIBOR03M + 8.000%) due 10/15/2027 ~

      5,783         5,794  

8.750% due 10/18/2027 «

  CAD     1,262         994  

Grinding Media, Inc.

 

4.750% (LIBOR03M + 4.000%) due 10/12/2028 ~

  $     2,294         2,300  

Ineos Finance PLC

 

2.500% (EUR003M + 2.000%) due 04/01/2024 ~

  EUR     2,679         2,989  

Intelsat Jackson Holdings SA

 

TBD% (LIBOR03M + 4.750%) due 10/13/2022 ~

  $     985         985  

TBD% due 02/01/2029

      3,755         3,749  

Lealand Finance Co. BV

 

1.104% (LIBOR03M + 1.000%) due 06/30/2025 ~

      352         169  

3.104% (LIBOR03M + 3.000%) due 06/28/2024 «~(d)

      75         47  

Mavenir Systems, Inc.

 

5.250% (LIBOR03M + 4.750%) due 08/18/2028 ~

      2,300         2,301  

MPH Acquisition Holdings LLC

 

4.750% (LIBOR03M + 4.250%) due 08/17/2028 ~

      5,885         5,724  

Promotora de Informaciones SA

 

4.500% (EUR003M + 4.500%) due 11/30/2022 ~

  EUR     5,198         5,694  

PUG LLC

 

3.605% (LIBOR03M + 3.500%) due 02/12/2027 ~

  $     4,648         4,622  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Redstone Buyer LLC

 

5.500% (LIBOR03M + 4.750%) due 04/27/2028 ~

  $     2,637     $     2,457  

Rising Tide Holdings, Inc.

 

5.500% (LIBOR03M + 4.750%) due 06/01/2028 ~

      995         994  

Sasol Ltd.

 

TBD% (LIBOR03M + 1.600%) due 11/23/2022 «~µ

      3,931         3,812  

Scientific Games International, Inc.

 

2.855% (LIBOR03M + 2.750%) due 08/14/2024 ~

      898         896  

SkyMiles IP Ltd.

 

4.750% (LIBOR03M + 3.750%) due 10/20/2027 ~

      2,400         2,538  

Steenbok Lux Finco 2 SARL (10.750% PIK)

 

10.750% (EUR003M) due 12/29/2022 ~(d)

  EUR     11,277         10,630  

Syniverse Holdings, Inc.

 

6.000% (LIBOR03M + 5.000%) due 03/09/2023 ~

  $     12,371         12,358  

10.000% (LIBOR03M + 9.000%) due 03/11/2024 ~

      1,399         1,398  

Team Health Holdings, Inc.

 

3.750% (LIBOR03M + 2.750%) due 02/06/2024 ~

      7,942         7,662  

TK Elevator Topco GmbH

 

3.625% (EUR003M + 3.625%) due 07/29/2027 ~

  EUR     2,100         2,356  

TransDigm, Inc.

 

2.355% (LIBOR03M + 2.250%) due 08/22/2024 ~

  $     2,034         2,020  

2.355% (LIBOR03M + 2.250%) due 05/30/2025 ~

      2,034         2,017  

2.355% (LIBOR03M + 2.250%) due 12/09/2025 ~

      2,034         2,016  

U.S. Renal Care, Inc.

 

5.125% (LIBOR03M + 5.000%) due 06/26/2026 ~

      1,500         1,483  

United Airlines, Inc.

 

4.500% (LIBOR03M + 3.750%) due 04/21/2028 ~

      4,771         4,785  

Univision Communications, Inc.

 

3.750% (LIBOR03M + 2.750%) due 03/15/2024 ~

      3,419         3,419  

Westmoreland Mining Holdings LLC (15.000% PIK)

 

15.000% due 03/15/2029 (d)

      4,448         1,379  

Windstream Services LLC

 

7.250% (LIBOR03M + 6.250%) due 09/21/2027 ~

      2,448         2,458  
       

 

 

 

Total Loan Participations and Assignments (Cost $172,039)

      163,975  
 

 

 

 
CORPORATE BONDS & NOTES 63.8%

 

BANKING & FINANCE 15.1%

 

Ally Financial, Inc.

 

8.000% due 11/01/2031 (n)

      927         1,234  

Apollo Commercial Real Estate Finance, Inc.

 

4.625% due 06/15/2029 (n)

      3,900         3,721  

Banca Monte dei Paschi di Siena SpA

 

1.875% due 01/09/2026

  EUR     1,000         1,071  

2.625% due 04/28/2025 (n)

      7,669         8,485  

3.625% due 09/24/2024 (n)

      1,714         1,927  

5.375% due 01/18/2028 •

      600         515  

8.000% due 01/22/2030 •(n)

      2,200         1,978  

8.500% due 09/10/2030 •(n)

      2,000         1,831  

10.500% due 07/23/2029 (n)

      863         857  

Banco de Credito del Peru

 

4.650% due 09/17/2024

  PEN     700         176  

Barclays PLC

 

4.375% due 03/15/2028 •(j)(k)(n)

  $     3,400         3,218  

5.875% due 09/15/2024 •(j)(k)(n)

  GBP     1,400         1,940  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

6.125% due 12/15/2025 •(j)(k)(n)

  $     2,000     $     2,129  

Corsair International Ltd.

 

4.850% due 01/28/2027 «•

  EUR     1,000         1,109  

Cosaint Re Pte Ltd.

 

9.415% (T-BILL 1MO + 9.250%) due 04/03/2028 ~

  $     700         718  

Credit Agricole SA

 

7.875% due 01/23/2024 •(j)(k)(n)

      200         217  

Credit Suisse Group AG

 

7.500% due 07/17/2023 •(j)(k)(n)

      200         209  

Erste Group Bank AG

 

4.250% due 10/15/2027 •(j)(k)(n)

  EUR     200         226  

Fortress Transportation & Infrastructure Investors LLC

 

6.500% due 10/01/2025

  $     361         371  

GSPA Monetization Trust

 

6.422% due 10/09/2029

      2,887         3,014  

HSBC Holdings PLC

 

5.875% due 09/28/2026 •(j)(k)(n)

  GBP     200         282  

6.000% due 09/29/2023 •(j)(k)(n)

  EUR     2,100         2,528  

Intelsat Jackson Holdings SA

 

6.500% due 03/15/2030 «

  $     12,686         12,369  

Lloyds Banking Group PLC

 

4.947% due 06/27/2025 •(j)(k)

  EUR     1,542         1,852  

6.750% due 06/27/2026 •(j)(k)(n)

  $     1,958         2,153  

7.500% due 06/27/2024 •(j)(k)(n)

      2,800         3,042  

MGM Growth Properties Operating Partnership LP

 

3.875% due 02/15/2029 (n)

      5,800         5,969  

5.750% due 02/01/2027 (n)

      700         775  

Natwest Group PLC

 

6.000% due 12/29/2025 •(j)(k)

      2,000         2,111  

8.000% due 08/10/2025 •(j)(k)(n)

      6,390         7,207  

Newmark Group, Inc.

 

6.125% due 11/15/2023

      62         66  

Park Aerospace Holdings Ltd.

 

5.500% due 02/15/2024

      6         6  

PRA Group, Inc.

 

7.375% due 09/01/2025 (n)

      1,700         1,805  

Societe Generale SA

 

6.750% due 04/06/2028 •(j)(k)(n)

      200         214  

7.375% due 10/04/2023 •(j)(k)(n)

      600         633  

Starwood Property Trust, Inc.

 

4.375% due 01/15/2027 (n)

      1,100         1,098  

Tesco Property Finance PLC

 

7.623% due 07/13/2039 (n)

  GBP     221         416  

Unique Pub Finance Co. PLC

 

5.659% due 06/30/2027

      459         682  

Uniti Group LP

 

6.000% due 01/15/2030 (n)

  $     5,821         5,333  

Voyager Aviation Holdings LLC

 

8.500% due 05/09/2026

      7,150         6,667  
       

 

 

 
            90,154  
       

 

 

 
INDUSTRIALS 40.8%

 

AA Bond Co. Ltd.

 

5.500% due 07/31/2050 (n)

  GBP     2,332         3,420  

Air Canada

 

3.875% due 08/15/2026 (n)

  $     2,200         2,151  

4.625% due 08/15/2029

  CAD     900         704  

Altice Financing SA

 

4.250% due 08/15/2029 (n)

  EUR     1,061         1,123  

5.750% due 08/15/2029 (n)

  $     2,325         2,176  

American Airlines, Inc.

 

5.500% due 04/20/2026 (n)

      1,400         1,436  

5.750% due 04/20/2029 (n)

      100         103  

Arches Buyer, Inc.

 

4.250% due 06/01/2028 (n)

      1,300         1,231  

Associated Materials LLC

 

9.000% due 09/01/2025 (n)

      299         315  

Boeing Co.

 

5.705% due 05/01/2040 (n)

      736         887  

5.805% due 05/01/2050 (n)

      958         1,207  

5.930% due 05/01/2060 (n)

      884         1,124  

6.125% due 02/15/2033 (n)

      1,447         1,762  
 

 

See Accompanying Notes     SEMIANNUAL REPORT     |     JANUARY 31, 2022     43
    


Table of Contents
Schedule of Investments   PIMCO Corporate & Income Strategy Fund   (Cont.)    

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Bombardier, Inc.

 

7.500% due 12/01/2024 (n)

  $     1,000     $     1,036  

7.500% due 03/15/2025 (n)

      5,257         5,332  

Broadcom, Inc.

 

3.187% due 11/15/2036 (n)

      65         62  

4.150% due 11/15/2030 (n)

      477         508  

CDW LLC

 

3.276% due 12/01/2028 (n)

      300         298  

3.569% due 12/01/2031 (n)

      800         798  

CGG SA

 

7.750% due 04/01/2027 (n)

  EUR     2,250         2,558  

8.750% due 04/01/2027 (n)

  $     6,964         6,973  

Charter Communications Operating LLC

 

3.700% due 04/01/2051 (n)

      4,400         3,903  

3.850% due 04/01/2061 (n)

      400         345  

4.400% due 12/01/2061 (n)

      1,000         949  

Community Health Systems, Inc.

 

6.625% due 02/15/2025

      620         642  

8.000% due 03/15/2026 (n)

      753         785  

Coty, Inc.

 

3.875% due 04/15/2026 (n)

  EUR     5,400         6,084  

4.750% due 01/15/2029 (n)

  $     4,000         3,946  

5.000% due 04/15/2026 (n)

      4,550         4,576  

CVS Pass-Through Trust

 

7.507% due 01/10/2032 (n)

      627         760  

Delta Air Lines, Inc.

 

7.375% due 01/15/2026 (n)

      508         579  

DISH DBS Corp.

 

5.250% due 12/01/2026 (n)

      1,560         1,516  

5.750% due 12/01/2028 (n)

      2,480         2,378  

Exela Intermediate LLC

 

11.500% due 07/15/2026

      85         54  

Ferroglobe PLC

 

9.375% due 12/31/2025 (l)(n)

      1,550         1,612  

First Quantum Minerals Ltd.

 

6.500% due 03/01/2024 (n)

      1,214         1,229  

Ford Motor Co.

 

7.700% due 05/15/2097 (n)

      7,315         9,679  

Fresh Market, Inc.

 

9.750% due 05/01/2023 (n)

      5,650         5,770  

Frontier Communications Holdings LLC

 

6.000% due 01/15/2030 (n)

      1,480         1,431  

HCA, Inc.

 

7.500% due 11/15/2095 (n)

      1,200         1,548  

Hertz Corp.

 

5.000% due 12/01/2029 (n)

      2,400         2,315  

HollyFrontier Corp.

 

4.500% due 10/01/2030 (n)

      8,244         8,670  

Intelsat Connect Finance SA

 

9.500% due 02/15/2023 ^(e)

      86         13  

Intelsat Jackson Holdings SA

 

5.500% due 08/01/2023 ^(e)

      3,914         1,712  

8.000% due 02/15/2024

      44         45  

8.500% due 10/15/2024 ^(e)

      11,123         5,020  

9.750% due 07/15/2025 ^(e)

      3,007         1,332  

Intelsat Luxembourg SA

 

8.125% due 06/01/2023 ^(e)(n)

      1,121         7  

Inter Media & Communication SpA

 

6.750% due 02/09/2027 (c)

  EUR     2,600         2,928  

Las Vegas Sands Corp.

 

3.900% due 08/08/2029 (n)

  $     300         300  

Match Group Holdings LLC

 

3.625% due 10/01/2031 (n)

      3,600         3,305  

Melco Resorts Finance Ltd.

 

5.750% due 07/21/2028 (n)

      1,500         1,442  

NCL Corp. Ltd.

 

10.250% due 02/01/2026 (n)

      2,147         2,434  

12.250% due 05/15/2024 (n)

      1,885         2,198  

New Albertsons LP

 

6.570% due 02/23/2028 (n)

      5,600         6,215  

Nissan Motor Co. Ltd.

 

4.810% due 09/17/2030 (n)

      11,300           12,252  

Noble Corp. PLC (11.000% Cash or 15.000% PIK)

 

11.000% due 02/15/2028 (d)

      47         52  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Norfolk Southern Corp.

 

4.100% due 05/15/2121 (n)

  $     600     $     617  

Odebrecht Oil & Gas Finance Ltd.

 

0.000% due 03/03/2022 (h)(j)

      753         4  

Oi Movel SA

 

8.750% due 07/30/2026

      5,400         5,508  

Olympus Water U.S. Holding Corp.

 

5.375% due 10/01/2029 (n)

  EUR     2,400         2,530  

Oracle Corp.

 

4.100% due 03/25/2061 (l)(n)

  $     200         187  

Ortho-Clinical Diagnostics, Inc.

 

7.375% due 06/01/2025

      23         24  

Petroleos Mexicanos

 

2.750% due 04/21/2027 (n)

  EUR     4,522         4,724  

5.950% due 01/28/2031 (n)

  $     1,911         1,821  

6.700% due 02/16/2032 (n)

      2,211         2,192  

6.750% due 09/21/2047 (n)

      6,368         5,474  

6.950% due 01/28/2060 (n)

      300         257  

7.690% due 01/23/2050 (n)

      110         102  

Platin 1426 GmbH

 

6.875% due 06/15/2023

  EUR     750         842  

Prosus NV

 

1.985% due 07/13/2033 (n)

      600         624  

2.085% due 01/19/2030

      1,800         1,993  

3.061% due 07/13/2031 (n)

  $     1,400         1,288  

3.680% due 01/21/2030 (n)

      1,900         1,860  

4.027% due 08/03/2050 (n)

      500         435  

QVC, Inc.

 

5.950% due 03/15/2043 (n)

      2,277         2,075  

Rolls-Royce PLC

 

3.375% due 06/18/2026

  GBP     100         134  

4.625% due 02/16/2026

  EUR     100         122  

5.750% due 10/15/2027 (n)

  GBP     1,500         2,232  

Russian Railways Via RZD Capital PLC

 

7.487% due 03/25/2031 (n)

      1,000         1,675  

Sands China Ltd.

 

2.300% due 03/08/2027 (n)

  $     600         546  

2.850% due 03/08/2029 (n)

      500         452  

3.250% due 08/08/2031 (n)

      400         358  

5.400% due 08/08/2028 (n)

      5,128         5,298  

Seagate HDD Cayman

 

4.091% due 06/01/2029 (n)

      5,000         4,907  

Times Square Hotel Trust

 

8.528% due 08/01/2026

      1,007         1,063  

Topaz Solar Farms LLC

 

4.875% due 09/30/2039 (n)

      2,123         2,378  

5.750% due 09/30/2039 (n)

      8,709           10,125  

Transocean Pontus Ltd.

 

6.125% due 08/01/2025

      2,301         2,271  

Transocean, Inc.

 

7.250% due 11/01/2025

      74         58  

7.500% due 01/15/2026

      26         20  

8.000% due 02/01/2027

      117         88  

Triumph Group, Inc.

 

6.250% due 09/15/2024

      67         67  

U.S. Renal Care, Inc.

 

10.625% due 07/15/2027

      59         60  

Unigel Luxembourg SA

 

8.750% due 10/01/2026 (n)

      400         424  

United Airlines, Inc.

 

4.375% due 04/15/2026 (n)

      500         497  

United Group BV

 

4.875% due 07/01/2024

  EUR     100         113  

Univision Communications, Inc.

 

5.125% due 02/15/2025 (n)

  $     433         437  

Valaris Ltd. (8.250% Cash or 12.000% PIK)

 

8.250% due 04/30/2028 (d)

      915         953  

Vale Overseas Ltd.

 

6.875% due 11/21/2036 (n)

      59         75  

6.875% due 11/10/2039 (n)

      43         56  

Vale SA

 

2.762% due 12/29/2049 «~(j)

  BRL     90,000         8,381  

Veritas U.S., Inc.

 

7.500% due 09/01/2025 (n)

  $     930         950  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Viking Cruises Ltd.

 

13.000% due 05/15/2025 (n)

  $     3,697     $     4,136  

VOC Escrow Ltd.

 

5.000% due 02/15/2028 (n)

      4,500         4,377  

Windstream Escrow LLC

 

7.750% due 08/15/2028 (n)

      7,444         7,519  

Wolverine Escrow LLC

 

8.500% due 11/15/2024 (n)

      10,194         8,882  

9.000% due 11/15/2026 (n)

      7,252         6,358  

Wynn Las Vegas LLC

 

5.250% due 05/15/2027 (n)

      400         395  

Wynn Macau Ltd.

 

5.125% due 12/15/2029 (n)

      200         181  

5.625% due 08/26/2028 (n)

      2,200         2,016  
       

 

 

 
          243,391  
       

 

 

 
UTILITIES 7.9%

 

DTEK Finance PLC (1.500% Cash and 3.500% PIK)

 

5.000% due 12/31/2027 (d)

      3,642         1,857  

Genesis Energy LP

 

6.500% due 10/01/2025 (n)

      900         882  

8.000% due 01/15/2027 (n)

      1,603         1,616  

Mountain States Telephone & Telegraph Co.

 

7.375% due 05/01/2030 (n)

      3,600         4,453  

NGD Holdings BV

 

6.750% due 12/31/2026 (n)

      377         311  

Odebrecht Drilling Norbe Ltd. (6.350% Cash and 1.000% PIK)

 

7.350% due 12/01/2026 ^(d)

      198         108  

Odebrecht Offshore Drilling Finance Ltd.

 

6.720% due 12/01/2022 ^(n)

      295         292  

Odebrecht Offshore Drilling Finance Ltd. (6.720% Cash and 1.000% PIK)

 

7.720% due 12/01/2026 ^(d)

      5,367         1,120  

Oi S.A. (10.000% Cash or 12.000% PIK)

 

10.000% due 07/27/2025 (d)(n)

      3,440         2,866  

Pacific Gas & Electric Co.

 

3.450% due 07/01/2025 (n)

      217         222  

3.750% due 08/15/2042

      22         19  

4.000% due 12/01/2046

      7         6  

4.250% due 03/15/2046 (n)

      1,700         1,613  

4.300% due 03/15/2045

      27         25  

4.450% due 04/15/2042 (n)

      213         205  

4.500% due 07/01/2040 (n)

      2,303         2,258  

4.500% due 12/15/2041 (n)

      275         261  

4.550% due 07/01/2030 (n)

      3,722         3,879  

4.600% due 06/15/2043 (n)

      118         115  

4.750% due 02/15/2044 (n)

      3,754         3,701  

4.950% due 07/01/2050 (n)

      3,358         3,437  

Peru LNG Srl

 

5.375% due 03/22/2030 (n)

      5,540         4,797  

Petrobras Global Finance BV

 

6.250% due 12/14/2026 (n)

  GBP     3,966         5,766  

6.625% due 01/16/2034 (n)

      100         146  

Rio Oil Finance Trust

 

8.200% due 04/06/2028 (n)

  $     228         252  

9.250% due 07/06/2024 (n)

      1,620         1,729  

9.750% due 01/06/2027 (n)

      290         328  

Transocean Phoenix Ltd.

 

7.750% due 10/15/2024

      318         322  

Transocean Poseidon Ltd.

 

6.875% due 02/01/2027 (n)

      5,010         4,868  
       

 

 

 
          47,454  
       

 

 

 

Total Corporate Bonds & Notes (Cost $387,677)

      380,999  
 

 

 

 
CONVERTIBLE BONDS & NOTES 0.5%

 

INDUSTRIALS 0.5%

 

DISH Network Corp.

 

3.375% due 08/15/2026

      3,400         3,173  
       

 

 

 

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

    3,173  
 

 

 

 
 

 

       
44   PIMCO CLOSED-END FUNDS      See Accompanying Notes  


Table of Contents
      January 31, 2022   (Unaudited)

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
MUNICIPAL BONDS & NOTES 4.7%

 

CALIFORNIA 0.1%

 

Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2021

 

3.000% due 06/01/2046

  $     600     $     611  
       

 

 

 
ILLINOIS 2.6%

 

Chicago, Illinois General Obligation Bonds, (BABs), Series 2010

 

7.517% due 01/01/2040 (n)

      11,200         15,546  

Chicago, Illinois General Obligation Bonds, Series 2017

 

7.045% due 01/01/2029

      85         97  

Illinois State General Obligation Bonds, (BABs), Series 2010

 

7.350% due 07/01/2035

      20         25  
       

 

 

 
            15,668  
       

 

 

 
PUERTO RICO 1.1%

 

Commonwealth of Puerto Rico General Obligation Bonds, Series 2014

 

8.000% due 07/01/2035 ^(e)

      7,000         6,317  
       

 

 

 
VIRGINIA 0.1%

 

Tobacco Settlement Financing Corp., Virginia Revenue Bonds, Series 2007

 

6.706% due 06/01/2046

      735         764  
       

 

 

 
WEST VIRGINIA 0.8%

 

Tobacco Settlement Finance Authority, West Virginia Revenue Bonds, Series 2007

 

0.000% due 06/01/2047 (h)

      44,400         4,732  
       

 

 

 

Total Municipal Bonds & Notes (Cost $22,079)

      28,092  
 

 

 

 
U.S. GOVERNMENT AGENCIES 2.3%

 

Fannie Mae

 

3.000% due 02/25/2043 - 06/25/2050 (a)(n)

      17,583         2,435  

5.858% due 07/25/2029

      1,150         1,302  

Freddie Mac

 

0.000% due 02/25/2046 (b)(h)

      1,149         965  

0.100% due 02/25/2046 (a)

      1,150         0  

3.500% due 05/25/2050 (a)

      2,139         349  

6.170% due 11/25/2055 «

      7,809         4,804  

7.658% due 12/25/2027

      3,263         3,431  

10.858% due 03/25/2025

      420         429  
       

 

 

 

Total U.S. Government Agencies (Cost $18,905)

    13,715  
 

 

 

 
NON-AGENCY MORTGAGE-BACKED SECURITIES 10.1%

 

Alternative Loan Trust

 

5.500% due 03/25/2035

      206         123  

5.750% due 01/25/2035

      165         168  

5.750% due 02/25/2035

      216         192  

5.750% due 03/25/2037 ^

      436         318  

6.000% due 02/25/2035

      738         702  

6.000% due 04/25/2036

      732         459  

6.000% due 02/25/2037 ^

      4,122         2,224  

6.000% due 04/25/2037 ^

      768         479  

6.250% due 12/25/2036 ^•

      1,108         693  

6.500% due 08/25/2036 ^

      380         189  

Alternative Loan Trust Resecuritization

 

6.000% due 08/25/2037 ^~

      788         581  

Banc of America Funding Trust

 

6.000% due 07/25/2037 ^

      185         185  

Banc of America Mortgage Trust

 

6.000% due 03/25/2037 ^

      140         132  

BCAP LLC Trust

 

2.903% due 03/27/2036 ~

      1,606         1,310  

3.061% due 08/28/2037 ~

      2,731         2,740  

4.797% due 03/26/2037 þ

      673         1,044  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Bear Stearns ALT-A Trust

 

0.608% due 01/25/2036 ^•

  $     595     $     901  

2.711% due 11/25/2035 ^~

      3,051           2,957  

2.882% due 11/25/2036 ^~

      2,794         1,811  

3.065% due 09/25/2047 ^~

      4,222         2,745  

3.075% due 09/25/2035 ^~

      297         217  

3.294% due 08/25/2036 ^~

      600         379  

Bear Stearns Mortgage Funding Trust

 

7.500% due 08/25/2036 þ

      186         187  

CD Mortgage Trust

 

5.688% due 10/15/2048

      366         352  

Chase Mortgage Finance Trust

 

2.926% due 12/25/2035 ^~

      5         5  

6.000% due 07/25/2037 ^

      567         372  

CHL Mortgage Pass-Through Trust

 

2.813% due 09/20/2036 ^~

      155         149  

6.000% due 07/25/2037

      1,144         702  

Citigroup Mortgage Loan Trust

 

2.551% due 04/25/2037 ^~

      155         139  

Commercial Mortgage Loan Trust

 

6.673% due 12/10/2049 ~

      580         100  

Credit Suisse Mortgage Capital Certificates

 

2.735% due 10/26/2036 ~

      6,916         5,619  

GS Mortgage Securities Corp. Trust

 

4.591% due 10/10/2032 ~

      4,600         4,492  

GSR Mortgage Loan Trust

 

3.568% due 08/25/2034 ~

      227         222  

6.000% due 02/25/2036 ^

      1,359         806  

HarborView Mortgage Loan Trust

 

0.583% due 01/19/2036 ^•

      811         776  

3.644% due 06/19/2036 ^~

      4,216         2,610  

IndyMac IMSC Mortgage Loan Trust

 

6.500% due 07/25/2037 ^

      3,319         1,593  

Jackson Park Trust

 

3.242% due 10/14/2039 ~

      1,772         1,555  

Jefferies Resecuritization Trust

 

6.000% due 05/26/2036

      7,186         4,086  

JP Morgan Alternative Loan Trust

 

3.308% due 03/25/2037 ^~

      794         835  

6.000% due 12/25/2035 ^

      918         808  

JP Morgan Mortgage Trust

 

2.608% due 01/25/2037 ^~

      264         237  

2.667% due 02/25/2036 ^~

      1,123         932  

2.907% due 04/25/2037 ~

      3         3  

LB-UBS Commercial Mortgage Trust

 

5.407% due 11/15/2038 ^

      114         73  

5.534% due 02/15/2040 ^~

      202         82  

Lehman Mortgage Trust

 

6.000% due 07/25/2037 ^

      51         51  

Lehman XS Trust

 

0.328% due 06/25/2047 •

      1,112         1,074  

MASTR Alternative Loan Trust

 

6.750% due 07/25/2036

      1,492         793  

Merrill Lynch Mortgage Investors Trust

 

2.709% due 03/25/2036 ^~

      468         297  

RALI Trust

 

0.338% due 05/25/2037 ^•

      95         79  

3.152% due 12/26/2034 ^~

      915         461  

6.000% due 08/25/2036 ^

      180         178  

Residential Asset Securitization Trust

 

6.000% due 11/25/2036 ^

      2,379         1,224  

6.250% due 09/25/2037 ^

      2,469         1,409  

RFMSI Trust

 

3.891% due 02/25/2037 ~

      905         716  

6.500% due 03/25/2032

      89         93  

Sequoia Mortgage Trust

 

2.471% due 02/20/2047 ~

      157         142  

2.644% due 07/20/2037 ^~

      311         284  

STARM Mortgage Loan Trust

 

2.225% due 04/25/2037 ^~

      174         114  

2.298% due 02/25/2037 ^~

      127         118  

Structured Adjustable Rate Mortgage Loan Trust

 

2.783% due 07/25/2035 ^~

      354         330  

2.818% due 11/25/2036 ^~

      1,305         1,248  

2.901% due 01/25/2036 ^~

      1,454         1,063  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

WaMu Mortgage Pass-Through Certificates Trust

 

2.931% due 07/25/2037 ^~

  $     254     $     256  

3.075% due 02/25/2037 ^~

      302         299  

3.167% due 07/25/2037 ^~

      508         516  

3.262% due 10/25/2036 ^~

      1,122         1,097  

Washington Mutual Mortgage Pass-Through Certificates WMALT Trust

 

0.927% due 05/25/2047 ^•

      54         6  

6.000% due 10/25/2035 ^

      1,089         891  
       

 

 

 

Total Non-Agency Mortgage-Backed Securities (Cost $64,172)

      60,023  
 

 

 

 
ASSET-BACKED SECURITIES 13.2%

 

ACE Securities Corp. Home Equity Loan Trust

 

0.693% due 02/25/2036 •

      23,720         24,282  

Adagio CLO DAC

 

0.000% due 04/30/2031 ~

  EUR     1,800         1,121  

Apidos CLO

 

0.000% due 01/20/2031 ~

  $     4,500         2,356  

Argent Securities Trust

 

0.488% due 03/25/2036 •

      3,234         2,282  

Avoca CLO DAC

 

0.000% due 04/15/2034 ~

  EUR     1,600         1,105  

Bear Stearns Asset-Backed Securities Trust

 

0.248% due 10/25/2036 ^•

  $     2,278         3,152  

6.500% due 10/25/2036 ^

      337         218  

Belle Haven ABS CDO Ltd.

 

0.459% due 07/05/2046 •

      175,347         416  

Carlyle U.S. CLO Ltd.

 

0.000% due 07/20/2029 ~

      1,895         920  

CIFC Funding Ltd.

 

0.000% due 04/24/2030 ~

      2,300         1,021  

0.010% due 10/22/2031 ~

      1,500         552  

Citigroup Mortgage Loan Trust, Inc.

 

0.268% due 12/25/2036 •

      1,466         980  

FFMLT Trust

 

1.053% due 09/25/2035 •

      3,443         3,404  

First Franklin Mortgage Loan Trust

 

1.083% due 05/25/2036 •

      6,544         6,263  

Flagship Credit Auto Trust

 

0.000% due 05/15/2025 «(h)

      8         570  

Grosvenor Place CLO BV

 

0.000% due 04/30/2029 ~

  EUR     500         292  

Home Equity Mortgage Loan Asset-Backed Trust

 

0.268% due 07/25/2037 •

  $     8,313         5,566  

JP Morgan Mortgage Acquisition Trust

 

4.474% due 10/25/2030 ^þ

      3,859         2,658  

Lehman XS Trust

 

5.670% due 08/25/2035 ^þ

      27         29  

LNR CDO Ltd.

 

0.389% due 02/28/2043 •

      1,616         37  

Marlette Funding Trust

 

0.000% due 09/17/2029 «(h)

      7         680  

Merrill Lynch Mortgage Investors Trust

 

0.428% due 04/25/2037 •

      423         285  

Morgan Stanley ABS Capital, Inc. Trust

 

0.408% due 06/25/2036 •

      283         262  

Morgan Stanley Mortgage Loan Trust

 

6.250% due 02/25/2037 ^~

      456         280  

Park Place Securities, Inc. Asset-Backed Pass-Through Certificates

 

1.878% due 10/25/2034 •

      573         597  

RAMP Trust

 

1.308% due 01/25/2035 ^•

      2,218         2,204  

SLM Student Loan EDC Repackaging Trust

 

0.000% due 10/28/2029 «(h)

      3         2,890  

SLM Student Loan Trust

 

0.000% due 01/25/2042 «(h)

      4         1,723  

SMB Private Education Loan Trust

 

0.000% due 09/18/2046 «(h)

      1         526  

0.000% due 10/15/2048 «(h)

      1         387  

Sofi Professional Loan Program LLC

 

0.000% due 05/25/2040 (h)

      4,300         580  
 

 

See Accompanying Notes     SEMIANNUAL REPORT     |     JANUARY 31, 2022     45
    


Table of Contents
Schedule of Investments   PIMCO Corporate & Income Strategy Fund   (Cont.)    

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

0.000% due 07/25/2040 «(h)

  $     21     $     338  

SoFi Professional Loan Program LLC

 

0.000% due 09/25/2040 «(h)

      1,718         330  

South Coast Funding Ltd.

 

0.746% due 08/10/2038 •

      9,658         1,108  

Symphony CLO Ltd.

 

4.838% due 07/14/2026 •

      2,000         1,998  

Taberna Preferred Funding Ltd.

 

0.520% due 08/05/2036 •

      291         257  

0.520% due 08/05/2036 ^•

      5,379         4,761  

0.679% due 07/05/2035 •

      2,357         2,133  
       

 

 

 

Total Asset-Backed Securities (Cost $84,260)

      78,563  
 

 

 

 
SOVEREIGN ISSUES 3.9%

 

Argentina Bocon

 

34.191% (BADLARPP) due 10/04/2022 ~

  ARS     58         0  

Argentina Bonar Bonds

 

0.500% due 07/09/2030 þ

  $     2,782         834  

1.125% due 07/09/2035 þ

      3,003         906  

Argentina Government International Bond

 

0.500% due 07/09/2030 þ

      561         191  

1.000% due 07/09/2029

      669         238  

1.125% due 07/09/2035 þ

      286         89  

1.125% due 07/09/2046 þ

      115         37  

2.000% due 01/09/2038 þ(n)

      10,995         4,195  

2.500% due 07/09/2041 þ(n)

      5,955         2,132  

Argentina Treasury Bond BONCER

 

1.450% due 08/13/2023

  ARS     14,825         62  

Argentine Bonos del Tesoro

 

15.500% due 10/17/2026

      53,560         88  

Autonomous City of Buenos Aires

 

39.101% (BADLARPP + 3.750%) due 02/22/2028 ~

      22,091         85  

39.953% (BADLARPP + 3.250%) due 03/29/2024 ~

      90,469         358  

Chile Government International Bond

 

2.750% due 01/31/2027

  $     700         711  

3.500% due 01/31/2034

      900         922  

4.000% due 01/31/2052

      400         412  

Egypt Government International Bond

 

5.625% due 04/16/2030

  EUR     1,500         1,468  

6.375% due 04/11/2031

      638         632  

7.500% due 02/16/2061 (n)

  $     1,600         1,247  

Ghana Government International Bond

 

6.375% due 02/11/2027 (n)

      600         483  

7.875% due 02/11/2035 (n)

      600         452  

8.750% due 03/11/2061

      200         149  

Hellenic Republic Government Bond

 

3.900% due 01/30/2033

  EUR     693         951  

4.000% due 01/30/2037

      543         816  

4.200% due 01/30/2042

      678         1,103  

Ivory Coast Government International Bond

 

4.875% due 01/30/2032 (n)

      1,300         1,374  

6.625% due 03/22/2048 (n)

      600         645  

Provincia de Buenos Aires

 

40.893% due 04/12/2025 (n)

  ARS     136,652         513  

40.893% due 04/12/2025

      100         0  

Republic of Greece Government International Bond

 

2.000% due 04/22/2027

  EUR     314         373  

South Africa Government International Bond

 

5.750% due 09/30/2049 (n)

  $     800         735  

Turkiye Ihracat Kredi Bankasi AS

 

8.250% due 01/24/2024 (n)

      200         208  

Ukraine Government International Bond

 

4.375% due 01/27/2030 (n)

  EUR     1,054         914  

Venezuela Government International Bond

 

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

  $     28         2  

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

      308         18  
       

 

 

 

Total Sovereign Issues (Cost $29,937)

    23,343  
 

 

 

 
        SHARES         MARKET
VALUE
(000S)
 
COMMON STOCKS 3.0%

 

COMMUNICATION SERVICES 1.0%

 

Clear Channel Outdoor Holdings, Inc. (f)

      531,903     $     1,628  

iHeartMedia, Inc. ‘A’ (f)

      126,306         2,545  

iHeartMedia, Inc. ‘B’ «(f)

      98,039         1,778  
       

 

 

 
          5,951  
       

 

 

 
ENERGY 0.1%

 

Axis Energy Services ‘A’ «(f)(l)

      1,070         16  

Noble Finance Co. (f)(l)

      20,115         496  

Valaris Ltd. (f)

      1,224         51  
       

 

 

 
          563  
       

 

 

 
INDUSTRIALS 1.8%

 

Neiman Marcus Group Ltd. LLC «(f)(l)

      73,491         10,655  

Noble Corp. (f)

      1,458         36  

Voyager Aviation Holdings LLC «(f)

      995         0  

Westmoreland Mining Holdings «(f)(l)

      50,497         0  
       

 

 

 
          10,691  
       

 

 

 
MATERIALS 0.1%

 

Associated Materials Group, Inc. «(f)(l)

      114,060         796  
       

 

 

 

Total Common Stocks (Cost $12,531)

    18,001  
 

 

 

 
WARRANTS 2.1%

 

INDUSTRIALS 0.1%

 

Sequa Corp. - Exp. 04/28/2024 «

      775,000         304  
       

 

 

 
INFORMATION TECHNOLOGY 2.0%

 

Windstream Holdings LLC - Exp. 09/21/2055 «

      493,740         12,233  
       

 

 

 

Total Warrants (Cost $4,094)

      12,537  
 

 

 

 
PREFERRED SECURITIES 9.6%

 

BANKING & FINANCE 4.9%

 

AGFC Capital Trust

 

1.991% (US0003M + 1.750%) due 01/15/2067 ~(n)

      2,300,000         1,355  

Brighthouse Holdings LLC

 

6.500% due 07/27/2037 þ(j)

      70,000         79  

Compeer Financial ACA

 

4.875% due 08/15/2026 •(j)

      1,600,000         1,632  

Farm Credit Bank of Texas

 

5.700% due 09/15/2025 •(j)

      1,000,000         1,070  

Nationwide Building Society

 

10.250% ~

      34,400         8,651  

Stichting AK Rabobank Certificaten

 

6.500% due 12/29/2049 þ(j)

      11,166,450         16,253  
       

 

 

 
          29,040  
       

 

 

 
INDUSTRIALS 4.7%

 

General Electric Co.

 

3.533% (US0003M + 3.330%) due 03/15/2022 ~(j)

      261,000         257  
        SHARES         MARKET
VALUE
(000S)
 

Sequa Corp. (15.000% PIK)

 

15.000% «(d)

      24,002     $     26,345  

Voyager Aviation Holdings LLC

 

9.500% «

      5,971         1,832  
       

 

 

 
          28,434  
       

 

 

 

Total Preferred Securities (Cost $43,826)

    57,474  
 

 

 

 
REAL ESTATE INVESTMENT TRUSTS 2.5%

 

REAL ESTATE 2.5%

 

CBL & Associates Properties, Inc.

      2,634         79  

Uniti Group, Inc.

      239,397         2,887  

VICI Properties, Inc.

      416,263         11,914  
       

 

 

 

Total Real Estate Investment Trusts (Cost $6,978)

    14,880  
 

 

 

 
 
        PRINCIPAL
AMOUNT
(000S)
           
SHORT-TERM INSTRUMENTS 7.3%

 

REPURCHASE AGREEMENTS (m) 0.1%

 

       
          695  
       

 

 

 
ARGENTINA TREASURY BILLS 0.1%

 

42.739% due 04/29/2022 (h)(i)

  ARS     94,648         354  
       

 

 

 
U.S. TREASURY BILLS 6.5%

 

0.064% due 02/15/2022 - 04/14/2022 (c)(g)(h)(n)(p)

  $     38,900         38,897  
       

 

 

 
U.S. TREASURY CASH MANAGEMENT BILLS 0.6%

 

0.101% due 04/26/2022 (h)(i)

      3,200         3,199  
       

 

 

 
Total Short-Term Instruments
(Cost $43,214)
    43,145  
 

 

 

 
       
Total Investments in Securities (Cost $893,112)

 

      897,920  
       
Total Investments 150.4% (Cost $893,112)

 

  $     897,920  
   

Financial Derivative
Instruments (o)(q) 0.1%

(Cost or Premiums, net $2,172)

    1,160  
   
Auction Rate Preferred Shares (3.9)%     (23,525
 
Other Assets and Liabilities, net(46.6)%       (278,625
   

 

 

 
Net Assets Applicable to Common Shareholders 100.0%

 

  $     596,930  
   

 

 

 
 

 

       
46   PIMCO CLOSED-END FUNDS      See Accompanying Notes  


Table of Contents
      January 31, 2022   (Unaudited)

 

NOTES TO SCHEDULE OF INVESTMENTS:

 

*

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

^

Security is in default.

«

Security valued using significant unobservable inputs (Level 3).

µ

All or a portion of this amount represents unfunded loan commitments. The interest rate for the unfunded portion will be determined at the time of funding. See Note 4, Securities and Other Investments, in the Notes to Financial Statements for more information regarding unfunded loan commitments.

~

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)

Payment in-kind security.

(e)

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

(f)

Security did not produce income within the last twelve months.

(g)

Coupon represents a weighted average yield to maturity.

(h)

Zero coupon security.

(i)

Coupon represents a yield to maturity.

(j)

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

(k)

Contingent convertible security.

 

(l)  RESTRICTED SECURITIES:

 

Issuer Description                  Acquisition
Date
    Cost     Market
Value
    Market Value
as Percentage
of Net Assets
Applicable
to Common
Shareholders
 

Associated Materials Group, Inc.

         08/24/2020     $ 724     $ 796       0.13

Axis Energy Services ‘A’

         07/01/2021       16       16       0.00  

Ferroglobe PLC 9.375% due 12/31/2025

         02/09/2017       1,550       1,612       0.27  

Neiman Marcus Group Ltd. LLC

         09/25/2020       2,408       10,655       1.79  

Noble Corp.

         02/05/2021 - 02/27/2021       273       496       0.08  

Oracle Corp. 4.100% due 03/25/2061

         06/17/2021 - 08/12/2021       220       187       0.03  

Westmoreland Mining Holdings LLC

         12/08/2014 - 10/19/2016       1,455       0       0.00  
        

 

 

   

 

 

   

 

 

 
  $     6,646     $     13,762       2.30
 

 

 

   

 

 

   

 

 

 

 

BORROWINGS AND OTHER FINANCING TRANSACTIONS

 

(m)  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
 
FICC     0.000     01/31/2022       02/01/2022     $     695     U.S. Treasury Notes 0.875% due 01/31/2024   $ (709   $ 695     $ 695  
           

 

 

   

 

 

   

 

 

 

Total Repurchase Agreements

 

    $     (709   $     695     $     695  
   

 

 

   

 

 

   

 

 

 

 

REVERSE REPURCHASE AGREEMENTS:

 

Counterparty   Borrowing
Rate(1)
    Settlement
Date
    Maturity
Date
   

Amount
Borrowed(1)

    Payable for
Reverse
Repurchase
Agreements
 

BOS

    (0.020 )%      01/07/2022       TBD (2)    $         (1,633   $     (1,633

BPS

    (3.000     08/19/2021       TBD (2)    EUR     (592     (662
    (0.350     11/15/2021       02/09/2022         (624     (700
    (0.330     01/14/2022       05/05/2022         (2,841     (3,191
    (0.320     02/02/2022       05/12/2022         (2,275     (2,556
    (0.300     11/05/2021       02/02/2022         (2,201     (2,470
    (0.300     11/15/2021       02/09/2022         (4,466     (5,015
    (0.300     11/15/2021       TBD (2)        (97     (109

 

See Accompanying Notes     SEMIANNUAL REPORT     |     JANUARY 31, 2022     47
    


Table of Contents
Schedule of Investments   PIMCO Corporate & Income Strategy Fund   (Cont.)    

 

Counterparty   Borrowing
Rate(1)
    Settlement
Date
    Maturity
Date
   

Amount
Borrowed(1)

    Payable for
Reverse
Repurchase
Agreements
 
    0.300 %       01/14/2022       02/18/2022     $     (1,711   $ (1,711
    0.490       08/13/2021       02/16/2022         (2,758     (2,764
    0.500       08/03/2021       02/03/2022         (530     (531
    0.500       08/11/2021       02/11/2022         (6,291     (6,306
    0.500       11/26/2021       02/03/2022         (552     (553
    0.500       01/24/2022       02/28/2022         (2,969     (2,969
    0.500       02/03/2022       03/10/2022         (1,063     (1,063
    0.510       01/20/2022       03/21/2022         (2,294     (2,294
    0.510       01/28/2022       03/21/2022         (932     (932
    0.520       11/08/2021       03/21/2022         (3,296     (3,300
    0.530       10/07/2021       05/12/2022         (759     (760
    0.550       07/23/2021       04/25/2022         (2,145     (2,151
    0.600       01/20/2022       05/06/2022     GBP     (298     (400

BRC

    (0.320     11/05/2021       TBD (2)    EUR     (1,550     (1,740
    0.250       08/13/2021       TBD (2)    $     (212     (212
    0.400       01/24/2022       02/28/2022         (2,995     (2,995
    0.500       08/06/2021       02/07/2022         (743     (745
    0.500       08/17/2021       TBD (2)        (18     (18
    0.500       08/31/2021       03/01/2022         (3,822     (3,831
    0.500       09/07/2021       03/07/2022         (4,086     (4,094
    0.500       09/17/2021       03/17/2022         (3,718     (3,725
    0.500       11/04/2021       TBD (2)            (13,955         (13,969
    0.500       12/08/2021       03/24/2022         (4,263     (4,266
    0.500       01/20/2022       02/24/2022         (5,979     (5,980
    0.500       01/20/2022       03/08/2022         (6,779     (6,780
    0.500       01/24/2022       02/28/2022         (220     (220
    0.550       06/18/2021       03/10/2022         (2,652     (2,661
    0.550       09/29/2021       03/10/2022         (4,342     (4,350

BYR

    0.640       06/30/2021       03/25/2022         (178     (179
    0.640       07/29/2021       03/25/2022         (179     (179
    0.640       08/16/2021       03/25/2022         (88     (88
    0.640       10/19/2021       03/25/2022         (949     (951

CDC

    0.280       01/05/2022       02/03/2022         (364     (364
    0.330       01/14/2022       03/18/2022         (1,301     (1,301
    0.430       01/21/2022       04/21/2022         (1,587     (1,587
    0.430       01/27/2022       05/02/2022         (9,862     (9,863
    0.450       02/03/2022       05/09/2022         (342     (342
    0.490       09/20/2021       03/21/2022         (6,497     (6,509
    0.490       10/01/2021       04/01/2022         (7,093     (7,105
    0.490       10/21/2021       04/01/2022         (1,365     (1,367
    0.490       10/28/2021       04/01/2022         (1,975     (1,978
    0.490       01/21/2022       04/06/2022         (4,677     (4,678
    0.490       01/26/2022       04/14/2022         (1,532     (1,532
    0.500       11/03/2021       04/07/2022         (1,158     (1,159
    0.530       01/13/2022       07/14/2022         (1,417     (1,418

CEW

    (0.380     12/01/2021       02/16/2022     EUR     (3,745     (4,204
    (0.330     01/17/2022       05/11/2022         (531     (597
    0.420       01/20/2022       TBD (2)    GBP     (2,494     (3,355
    0.500       01/26/2022       TBD (2)    $     (13,664     (13,665

CIB

    0.560       01/18/2022       03/16/2022         (1,950     (1,950

IND

    0.250       12/21/2021       03/17/2022         (4,468     (4,470
    0.250       12/21/2021       03/21/2022         (6,924     (6,926
    0.260       12/21/2021       03/21/2022         (1,072     (1,073
    0.280       09/02/2021       03/02/2022         (3,617     (3,621
    0.280       10/22/2021       03/10/2022         (1,934     (1,935
    0.300       10/21/2021       03/09/2022         (210     (210
    0.310       10/06/2021       04/06/2022         (2,241     (2,244
    0.380       12/21/2021       03/17/2022         (1,908     (1,909
    0.380       12/21/2021       03/24/2022         (3,413     (3,415

JML

    (2.000     08/13/2021       TBD (2)    EUR     (201     (224
    (2.000     12/21/2021       TBD (2)        (440     (494
    (0.450     11/16/2021       TBD (2)        (456     (511
    (0.400     10/08/2021       TBD (2)        (3,641     (4,085
    (0.400     11/05/2021       TBD (2)        (2,653     (2,977
    (0.380     12/01/2021       03/01/2022         (181     (204
    (0.350     01/14/2022       05/05/2022         (2,070     (2,325
    (0.350     01/17/2022       05/11/2022         (2,135     (2,398
    0.340       12/01/2021       02/28/2022     GBP     (3,887     (5,231
    0.380       11/15/2021       02/09/2022         (497     (668
    0.380       12/01/2021       03/01/2022         (101     (136
    0.400       01/13/2022       TBD (2)    $     (1,377     (1,378

 

       
48   PIMCO CLOSED-END FUNDS      See Accompanying Notes  


Table of Contents
      January 31, 2022   (Unaudited)

 

Counterparty   Borrowing
Rate(1)
    Settlement
Date
    Maturity
Date
   

Amount
Borrowed(1)

    Payable for
Reverse
Repurchase
Agreements
 
    0.400     01/13/2022       TBD (2)    $     (3,403   $ (3,403
    0.400       01/19/2022       TBD (2)        (361     (361
    0.500       10/22/2021       TBD (2)    GBP     (1,310     (1,764
    0.600       01/18/2022       04/19/2022         (195     (263

RBC

    0.350       01/20/2022       03/24/2022     $         (2,594         (2,595

RDR

    0.350       01/20/2022       03/22/2022         (4,549     (4,549

SCX

    0.600       01/19/2022       04/19/2022     GBP     (1,197     (1,610

SOG

    0.240       11/16/2021       TBD (2)    $     (3,178     (3,180
    0.240       11/19/2021       TBD (2)        (1,106     (1,107
    0.400       10/06/2021       03/01/2022         (112     (112
    0.500       08/20/2021       02/22/2022         (975     (977
    0.500       09/15/2021       03/15/2022         (885     (887
    0.500       09/17/2021       03/17/2022         (6,550     (6,563
    0.500       09/23/2021       03/23/2022         (723     (725
    0.500       09/24/2021       03/23/2022         (2,342     (2,346
    0.500       10/20/2021       04/19/2022         (1,688     (1,690
    0.500       11/26/2021       03/01/2022         (1,941     (1,943
    0.500       12/23/2021       02/22/2022         (582     (583
    0.500       12/23/2021       03/28/2022         (2,485     (2,487
    0.500       01/06/2022       04/01/2022         (1,106     (1,106
    0.550       07/27/2021       04/27/2022         (4,644     (4,657
    0.550       10/19/2021       04/27/2022         (1,048     (1,050
    0.550       10/26/2021       04/27/2022         (1,426     (1,429
    0.550       12/23/2021       04/27/2022         (1,908     (1,909
    0.550       01/20/2022       04/27/2022         (932     (932
    0.670       01/07/2022       07/06/2022         (3,435     (3,437
    0.670       01/07/2022       07/08/2022         (667     (667

UBS

    0.350       08/13/2021       TBD (2)        (1,408     (1,411
    0.350       08/19/2021       TBD (2)        (869     (870
    0.350       08/23/2021       TBD (2)        (1,915     (1,918
    0.350       08/24/2021       TBD (2)        (3,044     (3,049
    0.350       10/05/2021       TBD (2)        (6,683     (6,691
    0.350       12/01/2021       TBD (2)        (2,158     (2,159
    0.400       12/01/2021       TBD (2)        (8,145     (8,150
    0.400       01/20/2022       TBD (2)        (209     (209
    0.510       01/14/2022       04/14/2022         (12,468     (12,472
    0.510       01/28/2022       04/01/2022         (7,127     (7,127
           

 

 

 

Total Reverse Repurchase Agreements

 

        $     (304,849
           

 

 

 

 

BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY

 

The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral pledged/(received) as of January 31, 2022:

 

Counterparty   Repurchase
Agreement
Proceeds
to be
Received
    Payable for
Reverse
Repurchase
Agreements
    Payable for
Sale-Buyback
Transactions
    Total
Borrowings and
Other Financing
Transactions
    Collateral
Pledged/(Received)
    Net Exposure(3)  

Global/Master Repurchase Agreement

 

BOS

  $ 0     $ (1,633   $ 0     $ (1,633   $ 2,109     $ 476  

BPS

    0       (40,437     0           (40,437         41,764           1,327  

BRC

    0       (55,586     0       (55,586     63,841       8,255  

BYR

    0       (1,397     0       (1,397     1,630       233  

CDC

    0       (39,203     0       (39,203     42,017       2,814  

CEW

    0       (21,821     0       (21,821     24,001       2,180  

CIB

    0       (1,950     0       (1,950     2,435       485  

FICC

    695       0       0       695       (709     (14

IND

    0       (25,803     0       (25,803     27,573       1,770  

JML

    0       (26,422     0       (26,422     30,136       3,714  

RBC

    0       (2,595     0       (2,595     2,658       63  

RDR

    0       (4,549     0       (4,549     4,573       24  

SCX

    0       (1,610     0       (1,610     1,675       65  

SOG

    0       (37,787     0       (37,787     43,015       5,228  

UBS

    0       (44,056     0       (44,056     51,307       7,251  
 

 

 

   

 

 

   

 

 

       

Total Borrowings and Other Financing Transactions

  $     695     $     (304,849   $     0        
 

 

 

   

 

 

   

 

 

       

 

See Accompanying Notes     SEMIANNUAL REPORT     |     JANUARY 31, 2022     49
    


Table of Contents
Schedule of Investments   PIMCO Corporate & Income Strategy Fund   (Cont.)    

 

CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS

 

Remaining Contractual Maturity of the Agreements

 

     Overnight and
Continuous
    Up to 30 days     31-90 days     Greater Than 90 days     Total  

Reverse Repurchase Agreements

 

Corporate Bonds & Notes

  $ 0     $ (50,829   $ (138,584   $ (83,420   $ (272,833

Municipal Bonds & Notes

    0       0       0       (13,969     (13,969

U.S. Government Agencies

    0       0       (1,951     0       (1,951

Sovereign Issues

    0       (4,005     0       (6,971     (10,976

Preferred Securities

    0       0       (1,159     0       (1,159
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Borrowings

  $     0     $     (54,834   $     (141,694   $     (104,360   $ (300,888
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Payable for reverse repurchase agreements(4)

 

  $     (300,888
 

 

 

 

 

(n)

Securities with an aggregate market value of $335,782 and cash of $3,627 have been pledged as collateral under the terms of the above master agreements as of January 31, 2022.

 

(1)

The average amount of borrowings outstanding during the period ended January 31, 2022 was $(358,210) at a weighted average interest rate of 0.342%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.

(2)

Open maturity reverse repurchase agreement.

(3)

Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information.

(4)

Unsettled reverse repurchase agreements liability of $(3,961) is outstanding at period end.

 

(o)  FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED

 

SWAP AGREEMENTS:

 

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

 

Reference Entity

 

Fixed
Receive Rate

   

Payment
Frequency

   

Maturity
Date

    Implied
Credit Spread at
January 31, 2022(2)
   

Notional
Amount(3)

   

Premiums
Paid/(Received)

    Unrealized
Appreciation/
(Depreciation)
   

Market
Value(4)

    Variation Margin  
  Asset     Liability  

Bombardier, Inc.

    5.000     Quarterly       06/20/2024       3.464     $       600     $ (1   $ 25     $ 24     $ 0     $ 0  

Jaguar Land Rover Automotive

    5.000       Quarterly       12/20/2026       4.209       EUR       3,363       123       29       152       0       (36

Rolls-Royce PLC

    1.000       Quarterly       12/20/2025       1.553         10,600       (1,305     1,069       (236     0       (36

Rolls-Royce PLC

    1.000       Quarterly       06/20/2026       1.706         2,000       (149     84       (65     0       (10
             

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
        $     (1,332   $     1,207     $     (125   $     0     $     (82
       

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

INTEREST RATE SWAPS

 

Pay/Receive
Floating Rate

 

Floating Rate Index

 

Fixed Rate

   

Payment
Frequency

 

Maturity
Date

   

Notional
Amount

   

Premiums
Paid/(Received)

    Unrealized
Appreciation/
(Depreciation)
   

Market
Value

   

Variation Margin

 
  Asset     Liability  

Receive(5)

 

1-Day GBP-SONIO Compounded-OIS

    0.750   Annual     03/16/2032       GBP       10,500     $ (81   $ 711     $ 630     $     64     $ 0  

Receive(5)

 

1-Day GBP-SONIO Compounded-OIS

    0.750     Annual     03/16/2052         3,000       (43     359       316       65       0  

Receive

 

1-Day USD-Federal Funds Rate Compounded-OIS

    0.100     Annual     01/13/2023       $       1,000       0       6       6       0       0  

Pay

 

3-Month USD-LIBOR

    2.750     Semi-Annual     12/19/2023         64,000       (594     2,519       1,925       0       (16

Pay

 

3-Month USD-LIBOR

    2.750     Semi-Annual     06/17/2025         75,590           4,664       (1,498     3,166       21       0  

Receive

 

3-Month USD-LIBOR

    1.250     Semi-Annual     12/15/2026         56,800       (960     2,019       1,059       0       (27

Pay

 

3-Month USD-LIBOR

    2.500     Semi-Annual     12/20/2027         44,900       325       1,721       2,046       31       0  

Receive

 

3-Month USD-LIBOR

    1.370     Semi-Annual     08/25/2028         16,898       0       327       327       0       (12

Pay

 

3-Month USD-LIBOR

    3.000     Semi-Annual     06/19/2029         68,300       3,736       2,208       5,944       49       0  

Receive

 

3-Month USD-LIBOR

    0.750     Semi-Annual     06/16/2031         57,200       4,175       1,287       5,462       0       (15

Receive

 

3-Month USD-LIBOR

    1.750     Semi-Annual     12/15/2031         36,100       (572     815       243       0       (1

Pay

 

3-Month USD-LIBOR

    3.500     Semi-Annual     06/19/2044         169,400       (5,526         53,827           48,301       0           (117

Receive

 

3-Month USD-LIBOR

    2.000     Semi-Annual     01/15/2050         8,300       (60     0       (60     28       0  

Receive

 

3-Month USD-LIBOR

    1.750     Semi-Annual     01/22/2050         14,500       (33     739       706       48       0  

Receive

 

3-Month USD-LIBOR

    1.875     Semi-Annual     02/07/2050         15,100       (58     249       191       50       0  

Receive

 

3-Month USD-LIBOR

    2.250     Semi-Annual     03/12/2050         10,800       (33     (733     (766     37       0  

Pay

 

3-Month USD-LIBOR

    2.000     Semi-Annual     12/15/2051         10,900       798       (668     130       0       (41

Receive(5)

 

3-Month USD-LIBOR

    1.700     Semi-Annual     02/01/2052         152,900       (2,458     11,244       8,786       96       0  

Pay

 

6-Month AUD-BBR-BBSW

    3.500     Semi-Annual     06/17/2025       AUD       7,600       188       160       348       22       0  

Receive

 

6-Month EUR-EURIBOR

    0.150     Annual     03/18/2030       EUR       8,700       159       245       404       46       0  

Receive(5)

 

6-Month EUR-EURIBOR

    0.250     Annual     03/16/2032         6,400       (123     277       154       37       0  
             

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
    $ 3,504     $ 75,814     $ 79,318     $ 594     $ (229
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Swap Agreements

 

    $     2,172     $     77,021     $     79,193     $     594     $     (311
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

       
50   PIMCO CLOSED-END FUNDS      See Accompanying Notes  


Table of Contents
      January 31, 2022   (Unaudited)

 

FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED SUMMARY

 

The following is a summary of the market value and variation margin of Exchange-Traded or Centrally Cleared Financial Derivative Instruments as of January 31, 2022:

 

    Financial Derivative Assets           Financial Derivative Liabilities  
    Market Value     Variation Margin
Asset
                Market Value     Variation Margin
Liability
       
     Purchased
Options
    Futures     Swap
Agreements
    Total           Written
Options
    Futures     Swap
Agreements
    Total  

Total Exchange-Traded or Centrally Cleared

  $     0     $     0     $     594     $     594       $     0     $     0     $     (311)     $     (311)  
 

 

 

   

 

 

   

 

 

   

 

 

     

 

 

   

 

 

   

 

 

   

 

 

 

 

(p)

Securities with an aggregate market value of $4,728 and cash of $18,468 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of January 31, 2022. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information.

 

(1)

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

(2)

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

(3)

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

(4)

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

(5)

This instrument has a forward starting effective date. See Note 2, Securities Transactions and Investment Income, in the Notes to Financial Statements for further information.

 

(q)  FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER

 

FORWARD FOREIGN CURRENCY CONTRACTS:

 

Counterparty    Settlement
Month
    Currency to
be Delivered
    Currency to
be Received
    Unrealized Appreciation/
(Depreciation)
 
  Asset     Liability  

BOA

     02/2022     CAD     2,140     $     1,709     $ 25     $ 0  
     02/2022     $     2,875     GBP     2,128       0       (13
     06/2022     PEN     1,239     $     297       0       (21

BPS

     02/2022     EUR     9,943         11,362       191       0  
     02/2022     $     5,605     EUR     4,927       0       (70
     10/2022         2,515     PEN     10,265       95       0  

CBK

     02/2022     EUR     1,799     $     2,050       29       0  
     02/2022     PEN     1,933         473       0       (29
     02/2022     $     448     PEN     1,731       1       0  
     03/2022     PEN     3,404     $     825       0       (57
     04/2022         1,627         404       0       (16
     08/2022         1,457         360       0       (12
     10/2022         1,731         438       0       (1

GLM

     02/2022     $     391     EUR     344       0       (4

HUS

     02/2022     AUD     287     $     206       3       0  

SCX

     02/2022     EUR     58,123         66,136       837       0  
     02/2022     GBP     11,513         15,592       109       0  
     03/2022     EUR     64,594         72,450       0       (159
     03/2022     GBP     9,385         12,589       0       (31
            

 

 

   

 

 

 

Total Forward Foreign Currency Contracts

 

          $     1,290     $     (413
 

 

 

   

 

 

 

 

See Accompanying Notes     SEMIANNUAL REPORT     |     JANUARY 31, 2022     51
    


Table of Contents
Schedule of Investments   PIMCO Corporate & Income Strategy Fund   (Cont.)    

 

FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER SUMMARY

 

The following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral pledged/(received) as of January 31, 2022:

 

    Financial Derivative Assets           Financial Derivative Liabilities                    
Counterparty   Forward
Foreign
Currency
Contracts
     Purchased
Options
     Swap
Agreements
     Total
Over the
Counter
           Forward
Foreign
Currency
Contracts
    Written
Options
     Swap
Agreements
     Total
Over the
Counter
    Net Market
Value of OTC
Derivatives
    Collateral
Pledged/
(Received)
    Net
Exposure(1)
 

BOA

  $ 25      $ 0      $ 0      $ 25       $ (34   $ 0      $ 0      $ (34   $ (9   $ 0     $ (9

BPS

    286        0        0        286         (70     0        0        (70         216       (270     (54

CBK

    30        0        0        30         (115     0        0        (115     (85     0       (85

GLM

    0        0        0        0         (4     0        0        (4     (4     0       (4

HUS

    3        0        0        3         0       0        0        0       3       0       3  

SCX

    946        0        0        946         (190     0        0        (190     756           (1,480         (724
 

 

 

    

 

 

    

 

 

    

 

 

     

 

 

   

 

 

    

 

 

    

 

 

       

Total Over the Counter

  $     1,290      $     0      $     0      $     1,290       $     (413   $     0      $     0      $     (413      
 

 

 

    

 

 

    

 

 

    

 

 

     

 

 

   

 

 

    

 

 

    

 

 

       

 

(1)

Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information.

 

FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS

 

The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal and Other Risks, in the Notes to Financial Statements on risks of the Fund.

 

Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of January 31, 2022:

 

    Derivatives not accounted for as hedging instruments  
     Commodity
Contracts
    Credit
Contracts
    Equity
Contracts
    Foreign
Exchange
Contracts
    Interest
Rate Contracts
    Total  

Financial Derivative Instruments - Assets

 

Exchange-traded or centrally cleared

 

Swap Agreements

  $ 0     $ 0     $ 0     $ 0     $ 594     $ 594  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Over the counter

 

Forward Foreign Currency Contracts

  $ 0     $ 0     $ 0     $ 1,290     $ 0     $ 1,290  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 0     $ 0     $     1,290     $     594     $     1,884  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Financial Derivative Instruments - Liabilities

 

Exchange-traded or centrally cleared

 

Swap Agreements

  $     0     $     82     $     0     $ 0     $ 229     $ 311  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Over the counter

 

Forward Foreign Currency Contracts

  $ 0     $ 0     $ 0     $ 413     $ 0     $ 413  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 82     $ 0     $ 413     $ 229     $ 724  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

The effect of Financial Derivative Instruments on the Statements of Operations for the period ended January 31, 2022:

 

    Derivatives not accounted for as hedging instruments  
     Commodity
Contracts
    Credit
Contracts
    Equity
Contracts
    Foreign
Exchange
Contracts
    Interest
Rate Contracts
    Total  

Net Realized Gain on Financial Derivative Instruments

 

Exchange-traded or centrally cleared

 

Swap Agreements

  $ 0     $ 156     $ 0     $ 0     $ 24,301     $ 24,457  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Over the counter

 

Forward Foreign Currency Contracts

  $ 0     $ 0     $ 0     $ 2,539     $ 0     $ 2,539  

Swap Agreements

    0       0       0       0       304       304  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 0     $ 0     $ 2,539     $ 304     $ 2,843  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 156     $ 0     $     2,539     $ 24,605     $ 27,300  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative Instruments

 

Exchange-traded or centrally cleared

 

Swap Agreements

  $ 0     $ 521     $ 0     $ 0     $ (25,651   $ (25,130
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Over the counter

 

Forward Foreign Currency Contracts

  $ 0     $ 0     $ 0     $ 830     $ 0     $ 830  

Swap Agreements

    0       0       0       0       (307     (307
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 0     $ 0     $ 830     $ (307   $ 523  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $     0     $     521     $     0     $ 830     $     (25,958   $     (24,607
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

       
52   PIMCO CLOSED-END FUNDS      See Accompanying Notes  


Table of Contents
      January 31, 2022   (Unaudited)

 

FAIR VALUE MEASUREMENTS

 

The following is a summary of the fair valuations according to the inputs used as of January 31, 2022 in valuing the Fund’s assets and liabilities:

 

Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
01/31/2022
 

Investments in Securities, at Value

 

Loan Participations and Assignments

  $ 0     $     159,122     $ 4,853     $     163,975  

Corporate Bonds & Notes

 

Banking & Finance

    0       76,676           13,478       90,154  

Industrials

    0       235,010       8,381       243,391  

Utilities

    0       47,454       0       47,454  

Convertible Bonds & Notes

 

Industrials

    0       3,173       0       3,173  

Municipal Bonds & Notes

 

California

    0       611       0       611  

Illinois

    0       15,668       0       15,668  

Puerto Rico

    0       6,317       0       6,317  

Virginia

    0       764       0       764  

West Virginia

    0       4,732       0       4,732  

U.S. Government Agencies

    0       8,911       4,804       13,715  

Non-Agency Mortgage-Backed Securities

    0       60,023       0       60,023  

Asset-Backed Securities

    0       71,119       7,444       78,563  

Sovereign Issues

    0       23,343       0       23,343  

Common Stocks

 

Communication Services

        4,173       0       1,778       5,951  

Energy

    547       0       16       563  

Industrials

    0       36       10,655       10,691  

Materials

    0       0       796       796  

Warrants

 

Industrials

    0       0       304       304  

Information Technology

    0       0       12,233       12,233  

Preferred Securities

 

Banking & Finance

    0       29,040       0       29,040  

Industrials

    0       257       28,177       28,434  
Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
01/31/2022
 

Real Estate Investment Trusts

 

Real Estate

  $ 14,880     $ 0     $ 0     $ 14,880  

Short-Term Instruments

 

Repurchase Agreements

    0       695       0       695  

Argentina Treasury Bills

    0       354       0       354  

U.S. Treasury Bills

    0       38,897       0       38,897  

U.S. Treasury Cash Management Bills

    0       3,199       0       3,199  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

  $ 19,600     $ 785,401     $ 92,919     $ 897,920  
 

 

 

   

 

 

   

 

 

   

 

 

 

Financial Derivative Instruments - Assets

 

Exchange-traded or centrally cleared

    0       594       0       594  

Over the counter

    0       1,290       0       1,290  
 

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 1,884     $ 0     $ 1,884  
 

 

 

   

 

 

   

 

 

   

 

 

 

Financial Derivative Instruments - Liabilities

 

Exchange-traded or centrally cleared

    0       (311     0       (311

Over the counter

    0       (413     0       (413
 

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ (724   $ 0     $ (724
 

 

 

   

 

 

   

 

 

   

 

 

 

Total Financial Derivative Instruments

  $ 0     $ 1,160     $ 0     $ 1,160  
 

 

 

   

 

 

   

 

 

   

 

 

 

Totals

  $     19,600     $     786,561     $     92,919     $     899,080  
 

 

 

   

 

 

   

 

 

   

 

 

 
 

 

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended January 31, 2022:

 

Category and Subcategory   Beginning
Balance
at 07/31/2021
    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 01/31/2022
    Net Change in
Unrealized
Appreciation/
(Depreciation)
on Investments
Held at
01/31/2022(1)
 

Investments in Securities, at Value

 

Loan Participations and Assignments

  $ 11,556     $ 1,505     $ (7,059   $     (28   $ 64     $ 194     $ 0     $ (1,379   $ 4,853     $ 72  

Corporate Bonds & Notes

 

Banking & Finance

    0       13,486       0       0       0       (8     0       0       13,478       (8

Industrials

    720       0       0       0       0       (16     8,381       (704     8,381       0  

U.S. Government Agencies

    4,829       0       (55     8       19       3       0       0       4,804       0  

Asset-Backed Securities

    8,980       0       0       49       0           (1,005     0       (580     7,444       (914

Common Stocks

 

Communication Services

    2,281       0       0       0       0       (503     0       0       1,778       (503

Energy

    16       0       0       0       0       0       0       0       16       0  

Industrials

    8,086       0       0       0       0       2,569       0       0       10,655       2,570  

Materials(2)

    807       0       0       0       0       (11     0       0       796       (11

Warrants

 

Industrials

    488       0       0       0       0       (184     0       0       304       (183

Information Technology

    11,018       0       0       0       0       1,215       0       0       12,233       1,215  

Preferred Securities

 

Industrials

    25,489       0       0       0       0       2,688       0       0       28,177       3,444  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Totals

  $     74,270     $     14,991     $     (7,114   $ 29     $     83     $ 4,942     $     8,381     $     (2,663   $     92,919     $     5,682  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

See Accompanying Notes     SEMIANNUAL REPORT     |     JANUARY 31, 2022     53
    


Table of Contents
Schedule of Investments   PIMCO Corporate & Income Strategy Fund   (Cont.)   January 31, 2022   (Unaudited)

 

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:

 

Category and Subcategory

  Ending
Balance
at 01/31/2022
   

Valuation
Technique

 

Unobservable
Inputs

  (% Unless Noted Otherwise)  
  Input Value(s)
    Weighted
Average
 

Investments in Securities, at Value

 

Loan Participations and Assignments

  $ 3,812     Reference Instrument   Yield     5.840       —    
    1,041     Third Party Vendor   Broker Quote     62.500-100.125       98.430  

Corporate Bonds & Notes

 

Banking & Finance

    13,478     Proxy Pricing   Base Price     97.500-98.720       97.600  

Industrials

    8,381     Reference Instrument   Weighted Average   BRL 50.376       —    

U.S. Government Agencies

    4,804     Proxy Pricing   Base Price     61.520       —    

Asset-Backed Securities

    7,444     Proxy Pricing   Base Price         19.190-85,000.000       49,443.924  

Common Stocks

 

Communication Services

    1,778     Reference Instrument   Liquidity Discount     10.000       —    

Energy

    16     Other Valuation Techniques(3)   —       —         —    

Industrials

    10,655     Discounted Cash Flow   Discount Rate     10.500       —    

Materials(2)

    796     Other Valuation Techniques(3)   —       —         —    

Warrants

 

Industrials

    304     Other Valuation Techniques(3)   —       —         —    

Information Technology

    12,233     Comparable Company   EBITDA Multiple   X 4.400       —    

Preferred Securities

 

Industrials

    26,345     Comparable Company   EBITDA Multiple   X/X 11.300/8.800       —    
    1,832     Comparable Company/
Discount cash Flow
  Book Value Multiple/
Discount Rate
  X/% 0.280/19.970       —    
 

 

 

         

Total

  $     92,919          
 

 

 

         

 

(1)

Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at January 31, 2022 may be due to an investment no longer held or categorized as Level 3 at period end.

(2)

Sector type updated from Financials to Materials since prior fiscal year end.

(3)

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

 

       
54   PIMCO CLOSED-END FUNDS      See Accompanying Notes  


Table of Contents
Schedule of Investments   PIMCO High Income Fund          January 31, 2022   (Unaudited)

 

(Amounts in thousands*, except number of shares, contracts, units and ounces, if any)

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
INVESTMENTS IN SECURITIES 140.4%

 

LOAN PARTICIPATIONS AND ASSIGNMENTS 18.2%

 

AP Core Holdings II LLC

 

6.250% (LIBOR03M + 5.500%) due 09/01/2027 ~

  $     8,569     $     8,642  

athenahealth, Inc.

 

TBD% due 01/26/2029

      3,063         3,052  

Caesars Resort Collection LLC

 

2.855% (LIBOR03M + 2.750%) due 12/23/2024 ~

      6,577         6,550  

Carnival Corp.

 

3.750% (EUR003M + 3.750%) due 06/30/2025 ~

  EUR     2,487         2,791  

4.000% (LIBOR03M + 3.250%) due 10/18/2028 ~

  $     1,227         1,218  

Emerald TopCo, Inc.

 

3.605% - 3.799% (LIBOR03M + 3.500%) due 07/24/2026 ~

      147         146  

Envision Healthcare Corp.

 

3.840% - 3.855% (LIBOR03M + 3.750%) due 10/10/2025 ~

      24,695           19,209  

Fertitta Entertainment LLC

 

TBD% due 01/27/2029

      2,000         2,010  

Fly Funding SARL

 

7.000% (LIBOR03M + 6.000%) due 10/08/2025 ~

      5,202         5,219  

Forbes Energy Services LLC (7.000% PIK)

 

7.000% due 06/30/2022 «(d)

      954         0  

Gateway Casinos & Entertainment Ltd.

 

8.750% (LIBOR03M + 8.000%) due 10/15/2027 ~

      7,451         7,465  

8.750% due 10/18/2027 «

  CAD     1,626         1,280  

Intelsat Jackson Holdings SA

 

TBD% (LIBOR03M + 4.750%) due 10/13/2022 ~

  $     1,267         1,267  

TBD% due 02/01/2029

      4,829         4,821  

Lealand Finance Co. BV

 

1.104% (LIBOR03M + 1.000%) due 06/30/2025 ~

      498         239  

3.104% (LIBOR03M + 3.000%) due 06/28/2024 «~

      105         66  

Mavenir Systems, Inc.

 

5.250% (LIBOR03M + 4.750%) due 08/18/2028 ~

      3,000         3,001  

MPH Acquisition Holdings LLC

 

4.750% (LIBOR03M + 4.250%) due 08/17/2028 ~

      7,681         7,471  

Promotora de Informaciones SA

 

4.500% (EUR003M + 4.500%) due 11/30/2022 ~

  EUR     6,714         7,354  

PUG LLC

 

3.605% (LIBOR03M + 3.500%) due 02/12/2027 ~

  $     1,973         1,962  

Rising Tide Holdings, Inc.

 

5.500% (LIBOR03M + 4.750%) due 06/01/2028 ~

      1,294         1,292  

Sasol Ltd.

 

TBD% (LIBOR03M + 1.600%) due 11/23/2022 «~µ

      5,287         5,126  

Steenbok Lux Finco 2 SARL (10.750% PIK)

 

10.750% (EUR003M) due 12/29/2022 ~(d)

  EUR     14,453         13,623  

Syniverse Holdings, Inc.

 

6.000% (LIBOR03M + 5.000%) due 03/09/2023 ~

  $     17,369         17,351  

10.000% (LIBOR03M + 9.000%) due 03/11/2024 ~

      609         608  

Team Health Holdings, Inc.

 

3.750% (LIBOR03M + 2.750%) due 02/06/2024 ~

      9,517         9,182  

U.S. Renal Care, Inc.

 

5.125% (LIBOR03M + 5.000%) due 06/26/2026 ~

      1,880         1,859  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Westmoreland Mining Holdings LLC (15.000% PIK)

 

15.000% due 03/15/2029 (d)

  $     7,777     $     2,411  

Windstream Services LLC

 

7.250% (LIBOR03M + 6.250%) due 09/21/2027 ~

      2,674         2,685  
       

 

 

 

Total Loan Participations and Assignments (Cost $149,381)

      137,900  
 

 

 

 
CORPORATE BONDS & NOTES 56.9%

 

BANKING & FINANCE 13.3%

 

Ally Financial, Inc.

 

8.000% due 11/01/2031 (n)

      1,270         1,690  

Apollo Commercial Real Estate Finance, Inc.

 

4.625% due 06/15/2029 (n)

      5,200         4,961  

Atlantic Marine Corps Communities LLC

 

5.383% due 02/15/2048 (n)

      4,295         4,170  

Banca Monte dei Paschi di Siena SpA

 

1.875% due 01/09/2026 (n)

  EUR     1,400         1,500  

2.625% due 04/28/2025 (n)

      9,492         10,502  

3.625% due 09/24/2024 (n)

      2,131         2,396  

5.375% due 01/18/2028 •(n)

      1,700         1,460  

8.000% due 01/22/2030 •

      1,197         1,076  

8.500% due 09/10/2030 •(n)

      2,900         2,655  

10.500% due 07/23/2029 (n)

      800         794  

Banco de Credito del Peru

 

4.650% due 09/17/2024

  PEN     1,000         251  

Barclays PLC

 

5.875% due 09/15/2024 •(j)(k)(n)

  GBP     1,800         2,494  

6.125% due 12/15/2025 •(j)(k)(n)

  $     2,600         2,768  

6.375% due 12/15/2025 •(j)(k)

  GBP     400         573  

7.125% due 06/15/2025 •(j)(k)(n)

      1,600         2,332  

Claveau Re Ltd.

 

17.420% (T-BILL 3MO + 17.250%) due 07/08/2028 ~

  $     1,200         1,150  

Corsair International Ltd.

 

4.850% due 01/28/2027 «•

  EUR     1,000         1,109  

Cosaint Re Pte Ltd.

 

9.415% (T-BILL 1MO + 9.250%) due 04/03/2028 ~

  $     1,000         1,026  

Credit Agricole SA

 

7.875% due 01/23/2024 •(j)(k)

      250         272  

Credit Suisse Group AG

 

7.250% due 09/12/2025 •(j)(k)(n)

      200         214  

7.500% due 07/17/2023 •(j)(k)

      400         417  

Fortress Transportation & Infrastructure Investors LLC

 

6.500% due 10/01/2025

      510         525  

GSPA Monetization Trust

 

6.422% due 10/09/2029

      4,767         4,977  

HSBC Holdings PLC

 

5.875% due 09/28/2026 •(j)(k)(n)

  GBP     600         847  

6.500% due 03/23/2028 •(j)(k)

  $     300         323  

Intelsat Jackson Holdings SA

 

6.500% due 03/15/2030 «

      16,312         15,904  

Lloyds Banking Group PLC

 

4.947% due 06/27/2025 •(j)(k)

  EUR     716         860  

6.750% due 06/27/2026 •(j)(k)(n)

  $     909         1,000  

7.875% due 06/27/2029 •(j)(k)(n)

  GBP     3,115         5,088  

MGM Growth Properties Operating Partnership LP

 

3.875% due 02/15/2029 (n)

  $     6,900         7,100  

Newmark Group, Inc.

 

6.125% due 11/15/2023

      40         42  

PRA Group, Inc.

 

7.375% due 09/01/2025 (n)

      4,100         4,353  

Societe Generale SA

 

6.750% due 04/06/2028 •(j)(k)(n)

      200         213  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

7.375% due 10/04/2023 •(j)(k)(n)

  $     900     $     950  

Starwood Property Trust, Inc.

 

4.375% due 01/15/2027

      1,400         1,398  

Uniti Group LP

 

6.000% due 01/15/2030 (n)

      7,563         6,929  

Voyager Aviation Holdings LLC

 

8.500% due 05/09/2026

      7,250         6,761  
       

 

 

 
            101,080  
       

 

 

 
INDUSTRIALS 34.5%

 

AA Bond Co. Ltd.

 

5.500% due 07/31/2050 (n)

  GBP     895         1,312  

Altice Financing SA

 

5.750% due 08/15/2029 (n)

  $     1,172         1,097  

American Airlines Pass-Through Trust

 

3.375% due 11/01/2028

      1,082         1,071  

3.700% due 04/01/2028

      313         313  

American Airlines, Inc.

 

5.500% due 04/20/2026 (n)

      300         308  

Arches Buyer, Inc.

 

4.250% due 06/01/2028 (n)

      1,600         1,515  

Associated Materials LLC

 

9.000% due 09/01/2025 (n)

      425         448  

Boeing Co.

 

5.705% due 05/01/2040 (n)

      962         1,159  

5.805% due 05/01/2050

      822         1,036  

5.930% due 05/01/2060 (n)

      1,112         1,413  

6.125% due 02/15/2033 (n)

      1,909         2,324  

Bombardier, Inc.

 

7.500% due 12/01/2024 (n)

      3,396         3,520  

7.500% due 03/15/2025 (n)

      5,748         5,830  

Broadcom, Inc.

 

3.187% due 11/15/2036 (n)

      15         14  

4.150% due 11/15/2030 (n)

      285         304  

Caesars Entertainment, Inc.

 

6.250% due 07/01/2025

      400         414  

CGG SA

 

7.750% due 04/01/2027 (n)

  EUR     1,000         1,137  

8.750% due 04/01/2027 (n)

  $     7,789         7,799  

Charter Communications Operating LLC

 

3.700% due 04/01/2051 (n)

      5,900         5,233  

3.850% due 04/01/2061 (n)

      2,100         1,811  

3.900% due 06/01/2052 (n)

      2,000         1,836  

4.400% due 12/01/2061 (n)

      200         190  

4.800% due 03/01/2050 (n)

      551         564  

Community Health Systems, Inc.

 

6.625% due 02/15/2025

      7,770         8,045  

Coty, Inc.

 

3.875% due 04/15/2026 (n)

  EUR     7,300         8,225  

4.750% due 01/15/2029 (n)

  $     5,100         5,031  

5.000% due 04/15/2026 (n)

      5,600         5,632  

DISH DBS Corp.

 

5.250% due 12/01/2026 (n)

      2,000         1,944  

5.750% due 12/01/2028 (n)

      3,180         3,049  

Envision Healthcare Corp.

 

8.750% due 10/15/2026

      3,318         1,731  

Exela Intermediate LLC

 

11.500% due 07/15/2026

      125         79  

Ferroglobe PLC

 

9.375% due 12/31/2025 (l)

      2,750         2,860  

First Quantum Minerals Ltd.

 

6.500% due 03/01/2024 (n)

      2,040         2,066  

6.875% due 03/01/2026 (n)

      1,348         1,394  

Ford Motor Co.

 

7.700% due 05/15/2097 (n)

      15,515           20,529  

Fresh Market, Inc.

 

9.750% due 05/01/2023 (n)

      9,300         9,498  

Frontier Communications Holdings LLC

 

6.000% due 01/15/2030 (n)

      1,916         1,852  

General Shopping Investments Ltd.

 

12.000% due 03/20/2022 ^(e)(j)

      2,500         356  

HCA, Inc.

 

7.500% due 11/15/2095 (n)

      3,462         4,465  
 

 

See Accompanying Notes     SEMIANNUAL REPORT     |     JANUARY 31, 2022     55
    


Table of Contents
Schedule of Investments   PIMCO High Income Fund   (Cont.)    

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

HollyFrontier Corp.

 

4.500% due 10/01/2030 (n)

  $     8,694     $     9,143  

Intelsat Connect Finance SA

 

9.500% due 02/15/2023 ^(e)

      23         4  

Intelsat Jackson Holdings SA

 

5.500% due 08/01/2023 ^(e)

      5,413         2,368  

8.000% due 02/15/2024

      17         17  

8.500% due 10/15/2024 ^(e)

      13,574         6,126  

9.750% due 07/15/2025 ^(e)

      4,215         1,867  

Intelsat Luxembourg SA

 

8.125% due 06/01/2023 ^(e)

      15,504         97  

Inter Media & Communication SpA

 

6.750% due 02/09/2027 (c)

  EUR     3,300         3,716  

NCL Corp. Ltd.

 

10.250% due 02/01/2026 (n)

  $     6,580         7,460  

New Albertsons LP

 

6.570% due 02/23/2028

      4,021         4,462  

Nissan Motor Co. Ltd.

 

4.810% due 09/17/2030 (n)

      8,700         9,433  

Noble Corp. PLC (11.000% Cash or 15.000% PIK)

 

11.000% due 02/15/2028 (d)

      60         67  

Odebrecht Oil & Gas Finance Ltd.

 

0.000% due 03/03/2022 (h)(j)

      3,371         17  

Oi Movel SA

 

8.750% due 07/30/2026

      7,164         7,307  

Ortho-Clinical Diagnostics, Inc.

 

7.375% due 06/01/2025

      32         34  

Petroleos Mexicanos

 

6.700% due 02/16/2032 (n)

      2,389         2,369  

6.750% due 09/21/2047 (n)

      10,479         9,007  

6.950% due 01/28/2060 (n)

      6,894         5,915  

7.690% due 01/23/2050 (n)

      150         139  

Platin 1426 GmbH

 

6.875% due 06/15/2023 (n)

  EUR     600         674  

Prosus NV

 

1.207% due 01/19/2026

      1,000         1,126  

QVC, Inc.

 

5.950% due 03/15/2043 (n)

  $     1,500         1,367  

Rolls-Royce PLC

 

4.625% due 02/16/2026 (n)

  EUR     300         367  

5.750% due 10/15/2027 (n)

  GBP     600         893  

Sands China Ltd.

 

5.400% due 08/08/2028 (n)

  $     3,379         3,491  

Seagate HDD Cayman

 

4.125% due 01/15/2031 (n)

      700         688  

Syngenta Finance NV

 

5.182% due 04/24/2028 (n)

      200         220  

Topaz Solar Farms LLC

 

4.875% due 09/30/2039

      2,347         2,629  

5.750% due 09/30/2039 (n)

      5,669         6,591  

Transocean Pontus Ltd.

 

6.125% due 08/01/2025

      143         141  

Transocean, Inc.

 

7.250% due 11/01/2025

      96         75  

7.500% due 01/15/2026

      80         62  

8.000% due 02/01/2027

      162         123  

Triumph Group, Inc.

 

6.250% due 09/15/2024 (n)

      116         116  

U.S. Renal Care, Inc.

 

10.625% due 07/15/2027

      77         79  

United Airlines, Inc.

 

4.375% due 04/15/2026 (n)

      700         696  

United Group BV

 

4.875% due 07/01/2024 (n)

  EUR     100         113  

Valaris Ltd. (8.250% Cash or 12.000% PIK)

 

8.250% due 04/30/2028 (d)

  $     28         29  

Vale Overseas Ltd.

 

6.875% due 11/21/2036 (n)

      89         113  

6.875% due 11/10/2039 (n)

      60         77  

Vale SA

 

2.762% due 12/29/2049 «~(j)

  BRL     120,000           11,175  

Veritas U.S., Inc.

 

7.500% due 09/01/2025 (n)

  $     2,130         2,176  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Viking Cruises Ltd.

 

13.000% due 05/15/2025 (n)

  $     8,659     $     9,686  

Windstream Escrow LLC

 

7.750% due 08/15/2028 (n)

      8,129         8,211  

Wolverine Escrow LLC

 

8.500% due 11/15/2024 (n)

      13,224         11,522  

9.000% due 11/15/2026 (n)

      9,113         7,990  

Wynn Las Vegas LLC

 

5.250% due 05/15/2027 (n)

      800         789  

Wynn Macau Ltd.

 

5.125% due 12/15/2029 (n)

      400         363  

5.500% due 10/01/2027 (n)

      400         371  

5.625% due 08/26/2028 (n)

      2,800         2,566  
       

 

 

 
            261,471  
       

 

 

 
UTILITIES 9.1%

 

AT&T, Inc.

 

3.850% due 06/01/2060 (n)

      1,072         1,050  

DTEK Finance PLC (1.500% Cash and 3.500% PIK)

 

5.000% due 12/31/2027 (d)(n)

      2,196         1,120  

Genesis Energy LP

 

8.000% due 01/15/2027 (n)

      1,473         1,485  

Lumen Technologies, Inc.

 

7.200% due 12/01/2025

      1,122         1,247  

Mountain States Telephone & Telegraph Co.

 

7.375% due 05/01/2030

      5,130         6,346  

NGD Holdings BV

 

6.750% due 12/31/2026 (n)

      846         698  

Odebrecht Drilling Norbe Ltd. (6.350% Cash and 1.000% PIK)

 

7.350% due 12/01/2026 ^(d)

      3,173         1,721  

Odebrecht Offshore Drilling Finance Ltd.

 

6.720% due 12/01/2022 ^(n)

      1,085         1,075  

Odebrecht Offshore Drilling Finance Ltd. (6.720% Cash and 1.000% PIK)

 

7.720% due 12/01/2026 ^(d)

      15,431         3,221  

Oi S.A. (10.000% Cash or 12.000% PIK)

 

10.000% due 07/27/2025 (d)

      4,510         3,757  

Pacific Gas & Electric Co.

 

3.500% due 08/01/2050 (n)

      1,426         1,218  

4.000% due 12/01/2046 (n)

      600         551  

4.250% due 03/15/2046 (n)

      2,300         2,182  

4.450% due 04/15/2042 (n)

      1,203         1,160  

4.500% due 07/01/2040 (n)

      3,488         3,419  

4.550% due 07/01/2030 (n)

      2,683         2,795  

4.600% due 06/15/2043 (n)

      200         195  

4.750% due 02/15/2044 (n)

      7,809         7,699  

4.950% due 07/01/2050 (n)

      1,054         1,078  

Peru LNG Srl

 

5.375% due 03/22/2030

      6,318         5,471  

Petrobras Global Finance BV

 

6.250% due 12/14/2026 (n)

  GBP     7,102         10,325  

6.625% due 01/16/2034 (n)

      200         292  

Rio Oil Finance Trust

 

8.200% due 04/06/2028

  $     237         262  

9.250% due 07/06/2024 (n)

      10,079         10,756  

Transocean Poseidon Ltd.

 

6.875% due 02/01/2027

      156         152  
       

 

 

 
          69,275  
       

 

 

 

Total Corporate Bonds & Notes (Cost $455,024)

      431,826  
 

 

 

 
CONVERTIBLE BONDS & NOTES 0.6%

 

INDUSTRIALS 0.6%

 

DISH Network Corp.

 

3.375% due 08/15/2026

      5,100         4,760  
       

 

 

 

Total Convertible Bonds & Notes
(Cost $5,100)

    4,760  
 

 

 

 
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
MUNICIPAL BONDS & NOTES 8.5%

 

DISTRICT OF COLUMBIA 1.7%

 

District of Columbia Revenue Bonds, Series 2011

 

7.625% due 10/01/2035

  $     9,740     $     13,064  
       

 

 

 
ILLINOIS 3.0%

 

Chicago, Illinois General Obligation Bonds, (BABs), Series 2010

 

6.257% due 01/01/2040

      11,000         13,692  

7.517% due 01/01/2040

      6,705         9,307  
       

 

 

 
          22,999  
       

 

 

 
NEW YORK 0.1%

 

Erie Tobacco Asset Securitization Corp., New York Revenue Bonds, Series 2005

 

6.000% due 06/01/2028

      370         371  
       

 

 

 
PUERTO RICO 1.1%

 

Commonwealth of Puerto Rico General Obligation Bonds, Series 2014

 

8.000% due 07/01/2035 ^(e)

      9,300         8,393  
       

 

 

 
TEXAS 1.5%

 

El Paso Downtown Development Corp., Texas Revenue Bonds, Series 2013

 

7.250% due 08/15/2043

      7,455         11,055  
       

 

 

 
VIRGINIA 0.2%

 

Tobacco Settlement Financing Corp., Virginia Revenue Bonds, Series 2007

 

6.706% due 06/01/2046

      1,285         1,335  
       

 

 

 
WEST VIRGINIA 0.9%

 

Tobacco Settlement Finance Authority, West Virginia Revenue Bonds, Series 2007

 

0.000% due 06/01/2047 (h)

      66,200         7,056  
       

 

 

 

Total Municipal Bonds & Notes (Cost $49,713)

      64,273  
 

 

 

 
U.S. GOVERNMENT AGENCIES 2.4%

 

Fannie Mae

 

3.500% due 09/25/2027 (a)

      128         9  

4.000% due 06/25/2050 (a)

      2,660         434  

5.000% due 06/25/2050 (a)(n)

      4,621         706  

5.992% due 07/25/2050 (a)(n)

      4,290         624  

10.000% due 01/25/2034

      203         232  

Freddie Mac

 

0.000% due 02/25/2046 (b)(h)

      1,700         1,428  

0.100% due 02/25/2046 (a)

      1,700         0  

5.000% due 06/15/2033 (a)

      726         114  

5.992% due 06/25/2050 (a)(n)

      4,736         742  

5.994% due 07/15/2035 (a)

      570         85  

6.094% due 02/15/2042 (a)

      877         105  

6.170% due 11/25/2055 «

      13,480         8,293  

7.034% due 08/15/2036 (a)

      345         70  

9.308% due 10/25/2027

      4,301         4,868  

12.787% due 05/15/2033

      32         38  

Ginnie Mae

 

3.500% due 06/20/2042 -
03/20/2043 (a)

      689         97  

4.500% due 07/20/2042 (a)

      109         15  

5.000% due 09/20/2042 (a)

      199         34  

Uniform Mortgage-Backed Security, TBA

 

3.000% due 04/01/2052

      100         102  
       

 

 

 

Total U.S. Government Agencies (Cost $19,778)

    17,996  
 

 

 

 
NON-AGENCY MORTGAGE-BACKED SECURITIES 10.1%

 

Adjustable Rate Mortgage Trust

 

0.448% due 05/25/2036 •

      3,235         1,386  
 

 

       
56   PIMCO CLOSED-END FUNDS      See Accompanying Notes  


Table of Contents
      January 31, 2022   (Unaudited)

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Alternative Loan Trust

 

0.608% due 12/25/2046 •

  $     1,983     $     1,970  

3.094% due 02/25/2037 ^~

      115         116  

4.892% due 04/25/2035 •(a)

      2,483         195  

6.000% due 02/25/2037 ^

      4,285         2,358  

6.250% due 12/25/2036 ^•

      2,324         1,454  

6.500% due 06/25/2036 ^

      653         464  

Banc of America Alternative Loan Trust

 

0.468% due 06/25/2037 •

      2,350         1,796  

5.492% due 06/25/2046 ^•(a)

      3,218         320  

6.532% due 06/25/2037 ^•(a)

      2,553         429  

Banc of America Funding Trust

 

6.000% due 07/25/2037 ^

      321         320  

6.250% due 10/26/2036

      4,319         2,579  

Banc of America Mortgage Trust

 

2.686% due 02/25/2036 ^~

      8         8  

BCAP LLC Trust

 

0.000% due 06/26/2036 ~

      378         274  

4.797% due 03/26/2037 þ

      1,265         1,962  

6.000% due 05/26/2037 ~

      4,566         2,573  

Bear Stearns ARM Trust

 

3.477% due 11/25/2034 ~

      8         8  

CD Mortgage Trust

 

5.688% due 10/15/2048

      150         144  

Chase Mortgage Finance Trust

 

2.780% due 09/25/2036 ^~

      48         44  

2.926% due 12/25/2035 ^~

      9         9  

5.500% due 05/25/2036 ^

      1         1  

CHL Mortgage Pass-Through Trust

 

2.813% due 09/20/2036 ^~

      273         264  

2.929% due 09/25/2047 ^~

      19         18  

5.242% due 12/25/2036 •(a)

      1,715         175  

Citigroup Commercial Mortgage Trust

 

5.669% due 12/10/2049 ~(n)

      2,626           1,181  

5.669% due 12/10/2049 ~

      897         404  

Citigroup Mortgage Loan Trust

 

2.696% due 11/25/2035 ~

      10,727         7,032  

2.991% due 07/25/2037 ^~

      47         45  

6.500% due 09/25/2036

      2,624         2,042  

Commercial Mortgage Loan Trust

 

6.673% due 12/10/2049 ~(n)

      2,980         516  

Credit Suisse First Boston Mortgage Securities Corp.

 

6.000% due 01/25/2036 ^

      1,338         1,064  

Eurosail-UK PLC

 

1.445% due 06/13/2045 •

  GBP     3,347         4,157  

4.095% due 06/13/2045 •

      988         1,282  

HarborView Mortgage Loan Trust

 

2.539% due 08/19/2036 ^~

  $     6         6  

3.255% due 08/19/2036 ^~

      166         160  

IM Pastor FTH

 

0.000% due 03/22/2043 •

  EUR     3,387         3,512  

Jackson Park Trust

 

3.242% due 10/14/2039 ~

  $     2,311         2,028  

JP Morgan Alternative Loan Trust

 

3.308% due 03/25/2037 ^~

      3,118         3,280  

JP Morgan Mortgage Trust

 

2.882% due 07/27/2037 ~

      3,863         3,280  

6.512% due 01/25/2037 ^•(a)

      13,667         3,727  

LB-UBS Commercial Mortgage Trust

 

5.407% due 11/15/2038 ^

      175         113  

5.534% due 02/15/2040 ^~

      313         126  

Lehman XS Trust

 

0.328% due 06/25/2047 •

      1,717         1,659  

Nomura Asset Acceptance Corp. Alternative Loan Trust

 

3.253% due 04/25/2036 ^~

      3,364         3,118  

Nomura Resecuritization Trust

 

3.639% due 07/26/2035 ~

      4,349         4,084  

Residential Asset Securitization Trust

 

0.508% due 01/25/2046 ^•

      175         63  

6.250% due 09/25/2037 ^

      4,659         2,658  

6.500% due 08/25/2036 ^

      799         348  

Structured Adjustable Rate Mortgage Loan Trust

 

2.901% due 01/25/2036 ^~

      116         85  

3.084% due 04/25/2047 ~

      334         208  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Structured Asset Mortgage Investments Trust

 

0.488% due 07/25/2046 ^•

  $     6,607     $     5,401  

WaMu Mortgage Pass-Through Certificates Trust

 

3.287% due 05/25/2037 ^~

      77         70  

Washington Mutual Mortgage Pass-Through Certificates WMALT Trust

 

6.500% due 03/25/2036 ^

      4,662         3,952  

6.572% due 04/25/2037 •(a)

      7,967         2,539  
       

 

 

 

Total Non-Agency Mortgage-Backed Securities (Cost $75,027)

      77,007  
 

 

 

 
ASSET-BACKED SECURITIES 9.4%

 

ACE Securities Corp. Home Equity Loan Trust

 

0.388% due 07/25/2036 •

      1,890         1,761  

Apidos CLO

 

0.000% due 07/22/2026 ~

      3,000         1  

Avoca CLO DAC

 

0.000% due 04/15/2034 ~

  EUR     2,150         1,485  

Belle Haven ABS CDO Ltd.

 

0.459% due 07/05/2046 •

  $     185,947         441  

Carlyle Global Market Strategies Euro CLO DAC

 

0.000% due 04/15/2027 ~

  EUR     800         406  

0.000% due 01/25/2032 ~

      2,200         1,371  

Carlyle U.S. CLO Ltd.

 

0.000% due 10/15/2031 ~

  $     4,200         2,653  

CIFC Funding Ltd.

 

0.000% due 04/24/2030 ~

      4,000         1,775  

0.000% due 10/22/2031 ~

      3,000         1,103  

Cork Street CLO Designated Activity Co.

 

0.000% due 11/27/2028 ~

  EUR     1,151         968  

CVC Cordatus Loan Fund DAC

 

0.000% due 04/15/2032 ~

      2,500         1,163  

CWABS Asset-Backed Certificates Trust

 

0.378% due 09/25/2046 •

  $     12,142         11,357  

Duke Funding Ltd.

 

0.784% due 08/07/2033 •

      14,957         3,865  

Glacier Funding CDO Ltd.

 

0.415% due 08/04/2035 •

      6,435         1,096  

Grosvenor Place CLO BV

 

0.000% due 04/30/2029 ~

  EUR     1,000         585  

Jay Park CLO Ltd.

 

0.000% due 10/20/2027 ~

  $     7,503         3,741  

Long Beach Mortgage Loan Trust

 

0.488% due 02/25/2036 •

      1,066         979  

Man GLG Euro CLO DAC

 

0.000% due 10/15/2030 ~

  EUR     4,150         2,970  

Marlette Funding Trust

 

0.000% due 12/15/2028 «(h)

  $     24         2,057  

0.000% due 04/16/2029 «(h)

      7         462  

0.000% due 07/16/2029 «(h)

      10         865  

Merrill Lynch Mortgage Investors Trust

 

0.428% due 04/25/2037 •

      705         475  

Morgan Stanley Mortgage Loan Trust

 

1.595% due 11/25/2036 ^•

      707         350  

5.965% due 09/25/2046 ^þ

      5,924         2,939  

People’s Financial Realty Mortgage Securities Trust

 

0.268% due 09/25/2036 •

      20,358         5,620  

Renaissance Home Equity Loan Trust

 

6.998% due 09/25/2037 ^þ

      6,832         3,918  

7.238% due 09/25/2037 ^þ

      5,911         3,388  

Segovia European CLO DAC

 

0.000% due 04/15/2035 ~

  EUR     1,100         790  

Sherwood Funding CDO Ltd.

 

0.464% due 11/06/2039 •

  $     31,782         7,261  

SLM Student Loan Trust

 

0.000% due 01/25/2042 «(h)

      2         687  

SMB Private Education Loan Trust

 

0.000% due 10/15/2048 «(h)

      5         1,743  

South Coast Funding Ltd.

 

0.746% due 08/10/2038 •

      25,122         2,883  

Specialty Underwriting & Residential Finance Trust

 

1.083% due 06/25/2036 •

      409         366  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Washington Mutural Asset-Backed Certificates WMABS Trust

 

0.408% due 05/25/2036 •

  $     173     $     158  
       

 

 

 

Total Asset-Backed Securities (Cost $123,964)

      71,682  
 

 

 

 
SOVEREIGN ISSUES 2.8%

 

Argentina Bocon

 

34.191% (BADLARPP) due 10/04/2022 ~

  ARS     84         0  

Argentina Bonar Bonds

 

0.500% due 07/09/2030 þ

  $     9,019         2,703  

1.125% due 07/09/2035 þ

      8,535         2,576  

Argentina Government International Bond

 

0.500% due 07/09/2030 þ

      658         224  

1.000% due 07/09/2029

      163         58  

1.125% due 07/09/2035 þ

      388         121  

1.125% due 07/09/2046 þ

      115         37  

2.000% due 01/09/2038 þ(n)

      1,326         506  

2.500% due 07/09/2041 þ(n)

      9,486         3,396  

Argentina Treasury Bond BONCER

 

1.450% due 08/13/2023

  ARS     23,826         100  

Argentine Bonos del Tesoro

 

15.500% due 10/17/2026

      38,100         63  

Autonomous City of Buenos Aires

 

39.101% (BADLARPP + 3.750%) due 02/22/2028 ~

      34,626         133  

39.953% (BADLARPP + 3.250%) due 03/29/2024 ~

      47,730         189  

Chile Government International Bond

 

2.750% due 01/31/2027

  $     900         914  

3.500% due 01/31/2034

      1,100         1,127  

4.000% due 01/31/2052

      600         618  

Egypt Government International Bond

 

5.625% due 04/16/2030

  EUR     1,800         1,762  

7.500% due 02/16/2061 (n)

  $     2,100         1,636  

Ghana Government International Bond

 

6.375% due 02/11/2027 (n)

      600         483  

7.875% due 02/11/2035 (n)

      600         452  

8.750% due 03/11/2061

      200         149  

Hellenic Republic Government Bond

 

3.900% due 01/30/2033

  EUR     122         168  

4.000% due 01/30/2037

      96         144  

4.200% due 01/30/2042

      119         194  

Ivory Coast Government International Bond

 

6.625% due 03/22/2048

      800         860  

Provincia de Buenos Aires

 

40.893% due 04/12/2025

  ARS     270,895         1,018  

Republic of Greece Government International Bond

 

2.000% due 04/22/2027

  EUR     55         65  

Turkiye Ihracat Kredi Bankasi AS

 

8.250% due 01/24/2024 (n)

  $     200         208  

Ukraine Government International Bond

 

4.375% due 01/27/2030

  EUR     1,471         1,275  

Venezuela Government International Bond

 

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

  $     34         2  

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

      452         27  
       

 

 

 

Total Sovereign Issues (Cost $31,834)

      21,208  
 

 

 

 
        SHARES            
COMMON STOCKS 3.4%

 

COMMUNICATION SERVICES 1.1%

 

Clear Channel Outdoor Holdings, Inc. (f)

      754,306         2,308  

iHeartMedia, Inc. ‘A’ (f)

      178,528         3,597  

iHeartMedia, Inc. ‘B’ «(f)

      138,545         2,513  
       

 

 

 
          8,418  
       

 

 

 
ENERGY 0.4%

 

Axis Energy Services ‘A’ «(f)(l)

      6,207         91  

Noble Finance Co. (f)(l)

      116,046         2,865  
 

 

See Accompanying Notes     SEMIANNUAL REPORT     |     JANUARY 31, 2022     57
    


Table of Contents
Schedule of Investments   PIMCO High Income Fund   (Cont.)    

 

        SHARES         MARKET
VALUE
(000S)
 

Valaris Ltd. (f)

      2,307     $     96  
       

 

 

 
          3,052  
       

 

 

 
INDUSTRIALS 1.7%

 

Neiman Marcus Group Ltd. LLC «(f)(l)

      90,604         13,137  

Noble Corp. (f)

      1,879         46  

Voyager Aviation Holdings LLC «(f)

      1,009         0  

Westmoreland Mining Holdings «(f)(l)

      88,291         0  
       

 

 

 
          13,183  
       

 

 

 
MATERIALS 0.2%

 

Associated Materials Group, Inc. «(f)(l)

      162,396         1,134  
       

 

 

 

Total Common Stocks (Cost $19,046)

    25,787  
 

 

 

 
WARRANTS 1.8%

 

INDUSTRIALS 0.1%

 

Sequa Corp. -
Exp. 04/28/2024 «

      1,795,000         706  
       

 

 

 
INFORMATION TECHNOLOGY 1.7%

 

Windstream Holdings LLC - Exp. 09/21/2055 «

      537,548         13,318  
       

 

 

 

Total Warrants (Cost $4,455)

      14,024  
 

 

 

 
PREFERRED SECURITIES 16.8%

 

BANKING & FINANCE 8.4%

 

AGFC Capital Trust

 

1.991% (US0003M + 1.750%) due 01/15/2067 ~

      27,410,000         16,142  
        SHARES         MARKET
VALUE
(000S)
 

Brighthouse Holdings LLC

 

6.500% due 07/27/2037 þ(j)

      70,000     $     80  

Compeer Financial ACA

 

4.875% due 08/15/2026 •(j)

      2,100,000         2,142  

Nationwide Building Society

 

10.250% ~

      71,345         17,943  

OCP CLO Ltd.

 

0.000% due 04/26/2028 (h)

      8,700         6,492  

Stichting AK Rabobank Certificaten

 

6.500% due 12/29/2049 þ(j)

      14,494,300         21,096  
       

 

 

 
          63,895  
       

 

 

 
INDUSTRIALS 8.4%

 

General Electric Co.

 

3.533% (US0003M + 3.330%) due 03/15/2022 ~(j)

      373,000         366  

Sequa Corp. (15.000% PIK)

 

15.000% «(d)

      55,659         61,092  

Voyager Aviation Holdings LLC

 

9.500% «

      6,055         1,858  
       

 

 

 
          63,316  
       

 

 

 

Total Preferred Securities (Cost $90,836)

      127,211  
 

 

 

 
REAL ESTATE INVESTMENT TRUSTS 3.2%

 

REAL ESTATE 3.2%

 

CBL & Associates Properties, Inc.

      14,084         425  

Uniti Group, Inc.

      261,443         3,153  

VICI Properties, Inc.

      734,782         21,029  
       

 

 

 

Total Real Estate Investment Trusts (Cost $11,376)

    24,607  
 

 

 

 
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
SHORT-TERM INSTRUMENTS 6.3%

 

REPURCHASE AGREEMENTS (m) 1.3%

 

        $ 9,564  
       

 

 

 
ARGENTINA TREASURY BILLS 0.1%

 

42.739% due 04/29/2022 (h)(i)

  ARS     108,579         406  
       

 

 

 
U.S. TREASURY BILLS 4.6%

 

0.055% due 02/15/2022 - 04/21/2022 (c)(g)(h)(p)

  $     34,555         34,546  
       

 

 

 
U.S. TREASURY CASH MANAGEMENT BILLS 0.3%

 

0.101% due 04/26/2022 (h)(i)(p)

      2,000         1,999  
       

 

 

 
Total Short-Term Instruments (Cost $46,600)     46,515  
 

 

 

 
       
Total Investments in Securities (Cost $1,082,134)       1,064,796  
 
Total Investments 140.4% (Cost $1,082,134)

 

  $     1,064,796  

Financial Derivative
Instruments (o)(q) 0.1%

(Cost or Premiums, net $106,078)

    739  
Auction Rate Preferred Shares (7.7)%     (58,050
Other Assets and Liabilities, net (32.8)%     (248,802
 

 

 

 
Net Assets Applicable to Common Shareholders 100.0%

 

  $     758,683  
   

 

 

 
 

NOTES TO SCHEDULE OF INVESTMENTS:

 

*

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

^

Security is in default.

«

Security valued using significant unobservable inputs (Level 3).

µ

All or a portion of this amount represents unfunded loan commitments. The interest rate for the unfunded portion will be determined at the time of funding. See Note 4, Securities and Other Investments, in the Notes to Financial Statements for more information regarding unfunded loan commitments.

~

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)

Payment in-kind security.

(e)

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

(f)

Security did not produce income within the last twelve months.

(g)

Coupon represents a weighted average yield to maturity.

(h)

Zero coupon security.

(i)

Coupon represents a yield to maturity.

(j)

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

(k)

Contingent convertible security.

 

       
58   PIMCO CLOSED-END FUNDS      See Accompanying Notes  


Table of Contents
      January 31, 2022   (Unaudited)

 

(l)  RESTRICTED SECURITIES:

 

Issuer Description                  Acquisition
Date
    Cost     Market
Value
   

Market Value

as Percentage

of Net Assets

Applicable

to Common

Shareholders

 

Associated Materials Group, Inc.

         08/24/2020     $ 1,031     $ 1,134       0.15

Axis Energy Services ‘A’

         07/01/2021       91       91       0.01  

Ferroglobe PLC 9.375% due 12/31/2025

         02/09/2017 - 12/04/2019       2,689       2,860       0.38  

Neiman Marcus Group Ltd. LLC

         09/25/2020       2,918       13,137       1.73  

Noble Corp.

         02/05/2021 - 02/27/2021       1,838       2,865       0.38  

Westmoreland Mining Holdings LLC

         07/11/2016 - 10/19/2016       2,160       0       0.00  
        

 

 

   

 

 

   

 

 

 
  $     10,727     $     20,087       2.65
 

 

 

   

 

 

   

 

 

 

 

BORROWINGS AND OTHER FINANCING TRANSACTIONS

 

(m)  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
 
FICC     0.000     01/31/2022       02/01/2022     $     9,564     U.S. Treasury Notes 0.875% due 01/31/2024   $ (9,755   $ 9,564     $ 9,564  
           

 

 

   

 

 

   

 

 

 

Total Repurchase Agreements

 

    $     (9,755   $     9,564     $     9,564  
   

 

 

   

 

 

   

 

 

 

 

REVERSE REPURCHASE AGREEMENTS:

 

Counterparty   Borrowing
Rate(1)
    Settlement
Date
    Maturity
Date
   

Amount
Borrowed(1)

    Payable for
Reverse
Repurchase
Agreements
 

BOS

    0.120     01/07/2022       TBD (2)    $     (1,856   $ (1,856

BPS

    0.490       10/22/2021       02/16/2022         (6,342     (6,351
    0.510       01/12/2022       03/21/2022         (1,804     (1,804
    0.510       01/20/2022       02/17/2022         (2,699     (2,699
    0.520       12/15/2021       04/18/2022         (1,654     (1,655
    0.520       01/07/2022       03/21/2022         (3,926     (3,928
    0.520       01/13/2022       03/21/2022         (1,193     (1,193
    0.530       12/08/2021       05/12/2022         (1,704     (1,705
    0.550       07/23/2021       04/25/2022         (1,852     (1,858

BRC

    (0.500     10/21/2021       TBD (2)    EUR     (1,061     (1,190
    (0.420     11/05/2021       02/04/2022         (96     (108
    (0.320     11/05/2021       TBD (2)        (1,024     (1,150
    0.450       01/14/2022       05/04/2022     GBP     (3,573     (4,806
    0.500       08/06/2021       02/07/2022     $     (1,487     (1,490
    0.500       09/02/2021       03/02/2022         (1,260     (1,263
    0.500       09/07/2021       03/07/2022         (270     (271
    0.500       09/10/2021       03/10/2022         (2,519     (2,524
    0.500       09/17/2021       03/17/2022         (1,182     (1,185
    0.500       09/23/2021       03/01/2022         (2,036     (2,039
    0.500       12/23/2021       03/02/2022         (170     (170
    0.500       01/20/2022       03/08/2022         (3,091     (3,091
    0.500       01/20/2022       03/21/2022         (1,212     (1,212
    0.814       12/08/2021       02/23/2022         (4,031     (4,036

BYR

    0.560       01/26/2022       04/29/2022         (2,118     (2,118
    0.640       03/31/2021       03/25/2022         (3,137     (3,154
    0.640       09/30/2021       03/25/2022         (5,620     (5,640
    0.640       12/23/2021       03/25/2022         (4,915     (4,920

CDC

    0.280       01/05/2022       02/03/2022         (4,857     (4,858
    0.430       01/21/2022       04/21/2022         (2,147     (2,148
    0.430       01/27/2022       05/02/2022         (10,347         (10,348
    0.450       02/03/2022       05/09/2022         (4,746     (4,746
    0.490       09/03/2021       03/03/2022         (5,195     (5,206
    0.490       09/15/2021       03/15/2022         (4,908     (4,917
    0.490       10/28/2021       04/01/2022         (945     (946
    0.490       12/14/2021       04/18/2022         (4,397     (4,399
    0.490       12/23/2021       03/14/2022         (272     (272
    0.490       01/10/2022       04/14/2022         (4,277     (4,279
    0.500       08/03/2021       02/03/2022         (2,870     (2,877

 

See Accompanying Notes     SEMIANNUAL REPORT     |     JANUARY 31, 2022     59
    


Table of Contents
Schedule of Investments   PIMCO High Income Fund   (Cont.)    

 

Counterparty   Borrowing
Rate(1)
    Settlement
Date
    Maturity
Date
   

Amount
Borrowed(1)

    Payable for
Reverse
Repurchase
Agreements
 
    0.500     01/14/2022       02/03/2022     $     (1,072   $ (1,073
    0.800       02/03/2022       08/05/2022         (3,886     (3,886

CEW

    0.420       01/20/2022       TBD (2)    GBP     (910     (1,224
    0.500       05/07/2021       02/01/2022     $     (3,053     (3,065

CIB

    0.560       01/18/2022       03/16/2022         (1,739     (1,739

IND

    0.260       12/21/2021       03/21/2022         (4,324     (4,325
    0.260       12/22/2021       03/17/2022         (1,599     (1,599
    0.280       09/02/2021       03/02/2022         (2,127     (2,130
    0.280       09/09/2021       03/09/2022         (214     (214
    0.280       10/22/2021       03/10/2022         (3,538     (3,541
    0.280       12/15/2021       03/09/2022         (2,545     (2,546
    0.300       06/09/2021       03/09/2022         (4,634     (4,643
    0.300       08/16/2021       03/09/2022         (185     (186
    0.300       01/12/2022       03/09/2022         (1,377     (1,377
    0.400       12/21/2021       03/24/2022         (434     (434
    0.420       08/02/2021       02/02/2022         (6,469     (6,483
    0.420       10/12/2021       04/12/2022         (3,559     (3,564
    0.440       02/02/2022       05/06/2022         (6,840     (6,840
    0.450       08/02/2021       02/02/2022         (744     (746
    0.470       02/04/2022       05/05/2022         (1,041     (1,041
    0.480       06/22/2021       02/04/2022         (1,106     (1,109
    0.490       02/02/2022       05/06/2022         (750     (750

JML

    (5.000     08/05/2021       TBD (2)    EUR     (412     (456
    (2.000     08/05/2021       TBD (2)        (292     (327
    (0.500     01/31/2022       04/29/2022         (302     (339
    (0.400     10/21/2021       TBD (2)        (7,925     (8,893
    (0.400     11/05/2021       TBD (2)        (1,587     (1,781
    (0.400     01/17/2022       05/10/2022         (568     (637
    (0.380     11/05/2021       02/02/2022         (6,322     (7,095
    (0.380     01/28/2022       04/28/2022         (888     (998
    (0.380     02/02/2022       05/12/2022         (6,548     (7,357
    0.350       01/13/2022       TBD (2)    GBP     (6,740     (9,066
    0.400       11/05/2021       TBD (2)        (3,862     (5,197
    0.400       01/13/2022       TBD (2)    $     (1,940     (1,941
    0.600       01/18/2022       04/19/2022     GBP     (586     (788

RDR

    0.350       01/20/2022       03/22/2022     $     (3,754     (3,755

SOG

    0.400       10/19/2021       03/01/2022         (3,136     (3,139
    0.500       09/01/2021       03/01/2022         (982     (984
    0.500       10/01/2021       04/01/2022         (1,914     (1,917
    0.500       11/26/2021       04/19/2022         (2,533     (2,536
    0.500       01/13/2022       03/07/2022         (1,675     (1,676
    0.500       01/13/2022       04/19/2022         (1,193     (1,193
    0.550       07/27/2021       04/27/2022         (4,755     (4,768
    0.550       10/07/2021       04/27/2022         (3,241     (3,247
    0.550       11/04/2021       04/27/2022         (319     (320
    0.550       12/23/2021       04/27/2022         (2,545     (2,546
    0.550       12/27/2021       05/04/2022         (1,357     (1,358
    0.550       01/10/2022       04/27/2022         (857     (857
    0.550       01/20/2022       04/27/2022         (2,034     (2,034
    0.670       01/07/2022       07/06/2022         (13,445     (13,451
    0.670       01/07/2022       07/08/2022         (701     (701

UBS

    0.350       08/19/2021       TBD (2)        (8,893     (8,908
    0.350       09/01/2021       TBD (2)        (3,525     (3,530
    0.350       09/02/2021       TBD (2)        (908     (910
    0.350       09/03/2021       TBD (2)        (3,616     (3,621
    0.350       09/28/2021       TBD (2)        (630     (631
    0.350       09/29/2021       TBD (2)        (8,323     (8,333
    0.350       10/05/2021       TBD (2)        (8,099     (8,108
    0.510       01/14/2022       04/14/2022         (3,468     (3,469
           

 

 

 

Total Reverse Repurchase Agreements

 

        $     (287,794
           

 

 

 

 

       
60   PIMCO CLOSED-END FUNDS      See Accompanying Notes  


Table of Contents
      January 31, 2022   (Unaudited)

 

BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY

 

The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral pledged/(received) as of January 31, 2022:

 

Counterparty   Repurchase
Agreement
Proceeds
to be
Received
    Payable for
Reverse
Repurchase
Agreements
    Payable for
Sale-Buyback
Transactions
    Total
Borrowings and
Other Financing
Transactions
    Collateral
Pledged/(Received)
    Net Exposure(3)  

Global/Master Repurchase Agreement

 

BOS

  $ 0     $ (1,856   $ 0     $ (1,856   $ 1,862     $ 6  

BPS

    0       (21,193     0           (21,193         24,486           3,293  

BRC

    0       (24,535     0       (24,535     27,372       2,837  

BYR

    0       (15,832     0       (15,832     18,584       2,752  

CDC

    0       (49,955     0       (49,955     45,170       (4,785

CEW

    0       (4,289     0       (4,289     4,926       637  

CIB

    0       (1,739     0       (1,739     2,072       333  

FICC

    9,564       0       0       9,564       (9,755     (191

IND

    0       (41,528     0       (41,528     35,511       (6,017

JML

    0       (44,875     0       (44,875     42,372       (2,503

RDR

    0       (3,755     0       (3,755     3,807       52  

SOG

    0       (40,727     0       (40,727     46,218       5,491  

UBS

    0       (37,510     0       (37,510     43,733       6,223  
 

 

 

   

 

 

   

 

 

       

Total Borrowings and Other Financing Transactions

  $     9,564     $     (287,794   $     0        
 

 

 

   

 

 

   

 

 

       

 

CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS

 

Remaining Contractual Maturity of the Agreements

 

     Overnight and
Continuous
    Up to 30 days     31-90 days     Greater Than 90 days     Total  

Reverse Repurchase Agreements

 

Corporate Bonds & Notes

  $ (3,065   $ (43,432   $ (109,591   $ (96,661   $ (252,749

U.S. Government Agencies

    0       0       (1,739     0       (1,739

Non-Agency Mortgage-Backed Securities

    0       (4,036     0       0       (4,036

Sovereign Issues

    0       (1,183     0       (3,467     (4,650
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Borrowings

  $     (3,065   $     (48,651   $     (111,330   $     (100,128   $     (263,174
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Payable for reverse repurchase agreements(4)

 

  $ (263,174
 

 

 

 

 

(n)

Securities with an aggregate market value of $289,190 and cash of $7,404 have been pledged as collateral under the terms of the above master agreements as of January 31, 2022.

 

(1)

The average amount of borrowings outstanding during the period ended January 31, 2022 was $(385,915) at a weighted average interest rate of 0.364%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.

(2)

Open maturity reverse repurchase agreement.

(3)

Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information.

(4)

Unsettled reverse repurchase agreements liability of $(24,620) is outstanding at period end.

 

(o)  FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED

 

SWAP AGREEMENTS:

 

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

 

Reference Entity   Fixed
Receive Rate
    Payment
Frequency
    Maturity
Date
    Implied
Credit Spread at
January 31, 2022(2)
    Notional
Amount(3)
    Premiums
Paid/(Received)
    Unrealized
Appreciation/
(Depreciation)
    Market
Value(4)
    Variation Margin  
  Asset      Liability  

Bombardier, Inc.

    5.000     Quarterly       12/20/2024       3.760     $       2,000     $     (8   $ 86     $ 78     $ 0      $ 0  

Jaguar Land Rover Automotive

    5.000       Quarterly       06/20/2026       4.036       EUR       2,400       169           (50         119           0            (25

Rolls-Royce PLC

    1.000       Quarterly       12/20/2025       1.553         15,900       (1,924     1,569       (355     0        (54
             

 

 

   

 

 

   

 

 

   

 

 

    

 

 

 
        $     (1,763   $     1,605     $     (158   $     0      $     (79
       

 

 

   

 

 

   

 

 

   

 

 

    

 

 

 

 

See Accompanying Notes     SEMIANNUAL REPORT     |     JANUARY 31, 2022     61
    


Table of Contents
Schedule of Investments   PIMCO High Income Fund   (Cont.)    

 

INTEREST RATE SWAPS

 

Pay/Receive
Floating Rate
  Floating Rate Index   Fixed Rate     Payment
Frequency
  Maturity
Date
    Notional
Amount
  Premiums
Paid/(Received)
    Unrealized
Appreciation/
(Depreciation)
    Market
Value
    Variation Margin  
  Asset     Liability  

Receive(5)

 

1-Day GBP-SONIO Compounded-OIS

    0.750   Annual     03/16/2032     GBP   20,400   $ (157   $ 1,381     $ 1,224     $ 124     $ 0  

Receive(5)

 

1-Day GBP-SONIO Compounded-OIS

    0.750     Annual     03/16/2052       1,700     (25     204       179       37       0  

Receive(5)

 

1-Day GBP-SONIO Compounded-OIS

    0.750     Annual     09/21/2052       3,600     (24     399       375       78       0  

Receive

 

3-Month USD-LIBOR

    1.000     Semi-Annual     06/17/2023     $   17,400     (376     381       5       5       0  

Receive

 

3-Month USD-LIBOR

    0.250     Semi-Annual     06/16/2024       14,250     39       354       393       2       0  

Receive

 

3-Month USD-LIBOR

    3.000     Semi-Annual     06/19/2024       1,900     (32     (44     (76     0       0  

Receive

 

3-Month USD-LIBOR

    0.400     Semi-Annual     12/18/2024       72,000     (205     2,460       2,255       0       (7

Receive(5)

 

3-Month USD-LIBOR

    0.850     Semi-Annual     02/01/2027       219,700     1,727       7,179       8,906       0       (171

Receive

 

3-Month USD-LIBOR

    1.370     Semi-Annual     08/25/2028       27,135     0       524       524       0       (20

Pay

 

3-Month USD-LIBOR

    3.000     Semi-Annual     06/19/2029       79,200     1,687       5,209       6,896       56       0  

Receive

 

3-Month USD-LIBOR

    1.000     Semi-Annual     12/16/2030       127     1       8       9       0       0  

Receive

 

3-Month USD-LIBOR

    0.750     Semi-Annual     06/16/2031       7,300     517       183       700       0       (2

Receive(5)

 

3-Month USD-LIBOR

    1.350     Semi-Annual     02/09/2032       139,800     581       6,249       6,830       0       (19

Pay

 

3-Month USD-LIBOR

    3.500     Semi-Annual     06/19/2044       617,800     110,476       65,679       176,155       0       (426

Receive

 

3-Month USD-LIBOR

    2.000     Semi-Annual     01/15/2050       35,600     (256     (1     (257     118       0  

Receive

 

3-Month USD-LIBOR

    1.750     Semi-Annual     01/22/2050       55,100     (127     2,811       2,684       183       0  

Receive

 

3-Month USD-LIBOR

    1.875     Semi-Annual     02/07/2050       42,480     (165     701       536       141       0  

Pay

 

3-Month USD-LIBOR

    2.000     Semi-Annual     12/15/2051       29,200     2,124           (1,777     347       0       (110

Receive(5)

 

3-Month USD-LIBOR

    1.700     Semi-Annual     02/01/2052       446,900     (8,681     34,362       25,681       280       0  

Receive

 

6-Month EUR-EURIBOR

    0.270     Annual     09/11/2024     EUR   25,600     4       (297     (293     62       0  

Pay

 

6-Month EUR-EURIBOR

    0.650     Annual     02/26/2029       263,700     264       9,150       9,414       0       (1,370

Receive

 

6-Month EUR-EURIBOR

    0.150     Annual     06/17/2030       24,100     (1,059     1,528       469       129       0  

Receive(5)

 

6-Month EUR-EURIBOR

    0.250     Annual     03/16/2032       3,200     (62     139       77       18       0  

Receive

 

6-Month EUR-EURIBOR

    1.250     Annual     08/19/2049       65,900     273       (14,819     (14,546     629       0  

Pay

 

6-Month EUR-EURIBOR

    0.500     Annual     06/17/2050       7,700     1,317       (1,322     (5     0       (65
             

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
    $ 107,841     $ 120,641     $ 228,482     $ 1,862     $ (2,190
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Swap Agreements

    $     106,078     $     122,246     $     228,324     $     1,862     $     (2,269
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED SUMMARY

 

The following is a summary of the market value and variation margin of Exchange-Traded or Centrally Cleared Financial Derivative Instruments as of January 31, 2022:

 

    Financial Derivative Assets           Financial Derivative Liabilities  
    Market Value     Variation Margin
Asset
    Total           Market Value     Variation Margin
Liability
    Total  
     Purchased
Options
    Futures     Swap
Agreements
          Written
Options
    Futures     Swap
Agreements
 

Total Exchange-Traded or Centrally Cleared

  $     0     $     0     $     1,862     $     1,862       $     0     $     0     $     (2,269)     $     (2,269)  
 

 

 

   

 

 

   

 

 

   

 

 

     

 

 

   

 

 

   

 

 

   

 

 

 

 

(p)

Securities with an aggregate market value of $15,130 and cash of $18,770 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of January 31, 2022. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information.

 

(1)

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

(2)

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

(3)

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

(4)

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

(5)

This instrument has a forward starting effective date. See Note 2, Securities Transactions and Investment Income, in the Notes to Financial Statements for further information.

 

       
62   PIMCO CLOSED-END FUNDS      See Accompanying Notes  


Table of Contents
      January 31, 2022   (Unaudited)

 

(q)  FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER

 

FORWARD FOREIGN CURRENCY CONTRACTS:

 

Counterparty    Settlement
Month
   

Currency to
be Delivered

   

Currency to
be Received

    Unrealized Appreciation/
(Depreciation)
 
  Asset     Liability  

BOA

     02/2022     CAD     1,598     $     1,276     $ 19     $ 0  
     02/2022     $     2,651     GBP     1,962       0       (12
     07/2022         893     PEN     3,610       31       0  

BPS

     02/2022     EUR     12,094     $     13,820       233       0  
     02/2022     GBP     569         776       10       0  
     02/2022     $     795     GBP     585       0       (8

CBK

     04/2022     PEN     4,729     $     1,175       0       (46

SCX

     02/2022     EUR     65,953         75,044       950       0  
     02/2022     GBP     22,287         30,185       211       0  
     03/2022     EUR     78,047         87,539       0       (192
     03/2022     GBP     20,926         28,070       0       (68

UAG

     02/2022         617         848       18       0  
            

 

 

   

 

 

 

Total Forward Foreign Currency Contracts

 

  $     1,472     $     (326
 

 

 

   

 

 

 

 

FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER SUMMARY

 

The following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral pledged/(received) as of January 31, 2022:

 

    Financial Derivative Assets           Financial Derivative Liabilities                    
Counterparty   Forward
Foreign
Currency
Contracts
     Purchased
Options
     Swap
Agreements
     Total
Over the
Counter
           Forward
Foreign
Currency
Contracts
    Written
Options
     Swap
Agreements
     Total
Over the
Counter
    Net Market
Value of OTC
Derivatives
    Collateral
Pledged/
(Received)
    Net
Exposure(1)
 

BOA

  $ 50      $ 0      $ 0      $ 50       $ (12   $ 0      $ 0      $ (12   $ 38     $ 0     $ 38  

BPS

    243        0        0        243         (8     0        0        (8         235       (340     (105

CBK

    0        0        0        0         (46     0        0        (46     (46     0       (46

SCX

    1,161        0        0        1,161         (260     0        0        (260     901           (1,810         (909

UAG

    18        0        0        18         0       0        0        0       18       0       18  
 

 

 

    

 

 

    

 

 

    

 

 

     

 

 

   

 

 

    

 

 

    

 

 

       

Total Over the Counter

  $     1,472      $     0      $     0      $     1,472       $     (326   $     0      $     0      $     (326      
 

 

 

    

 

 

    

 

 

    

 

 

     

 

 

   

 

 

    

 

 

    

 

 

       

 

(1)

Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information.

 

FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS

 

The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal and Other Risks, in the Notes to Financial Statements on risks of the Fund.

 

Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of January 31, 2022:

 

    Derivatives not accounted for as hedging instruments  
     Commodity
Contracts
    Credit
Contracts
    Equity
Contracts
    Foreign
Exchange
Contracts
    Interest
Rate Contracts
    Total  

Financial Derivative Instruments - Assets

 

Exchange-traded or centrally cleared

 

Swap Agreements

  $ 0     $ 0     $ 0     $ 0     $ 1,862     $ 1,862  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Over the counter

 

Forward Foreign Currency Contracts

  $ 0     $ 0     $ 0     $ 1,472     $ 0     $ 1,472  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 0     $ 0     $     1,472     $     1,862     $     3,334  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Financial Derivative Instruments - Liabilities

 

Exchange-traded or centrally cleared

 

Swap Agreements

  $ 0     $ 79     $ 0     $ 0     $ 2,190     $ 2,269  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Over the counter

 

Forward Foreign Currency Contracts

  $ 0     $ 0     $ 0     $ 326     $ 0     $ 326  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $     0     $     79     $     0     $ 326     $ 2,190     $ 2,595  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

See Accompanying Notes     SEMIANNUAL REPORT     |     JANUARY 31, 2022     63
    


Table of Contents
Schedule of Investments   PIMCO High Income Fund   (Cont.)    

 

The effect of Financial Derivative Instruments on the Statements of Operations for the period ended January 31, 2022:

 

    Derivatives not accounted for as hedging instruments  
     Commodity
Contracts
    Credit
Contracts
    Equity
Contracts
    Foreign
Exchange
Contracts
    Interest
Rate Contracts
    Total  

Net Realized Gain on Financial Derivative Instruments

 

Exchange-traded or centrally cleared

 

Swap Agreements

  $ 0     $ 241     $ 0     $ 0     $ 56,128     $ 56,369  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Over the counter

 

Forward Foreign Currency Contracts

  $ 0     $ 0     $ 0     $ 3,217     $ 0     $ 3,217  

Swap Agreements

    0       0       0       0       487       487  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 0     $ 0     $ 3,217     $ 487     $ 3,704  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 241     $ 0     $ 3,217     $ 56,615     $ 60,073  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative Instruments

 

Exchange-traded or centrally cleared

 

Swap Agreements

  $ 0     $ 541     $ 0     $ 0     $ (57,518   $ (56,977
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Over the counter

 

Forward Foreign Currency Contracts

  $ 0     $ 0     $ 0     $ 1,166     $ 0     $ 1,166  

Swap Agreements

    0       0       0       0       (495     (495
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 0     $ 0     $ 1,166     $ (495   $ 671  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $     0     $     541     $     0     $     1,166     $     (58,013   $     (56,306
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

FAIR VALUE MEASUREMENTS

 

The following is a summary of the fair valuations according to the inputs used as of January 31, 2022 in valuing the Fund’s assets and liabilities:

 

Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
01/31/2022
 

Investments in Securities, at Value

 

Loan Participations and Assignments

  $ 0     $     131,428     $ 6,472     $ 137,900  

Corporate Bonds & Notes

 

Banking & Finance

    0       84,067           17,013           101,080  

Industrials

    0       250,296       11,175       261,471  

Utilities

    0       69,275       0       69,275  

Convertible Bonds & Notes

 

Industrials

    0       4,760       0       4,760  

Municipal Bonds & Notes

 

District of Columbia

    0       13,064       0       13,064  

Illinois

    0       22,999       0       22,999  

New York

    0       371       0       371  

Puerto Rico

    0       8,393       0       8,393  

Texas

    0       11,055       0       11,055  

Virginia

    0       1,335       0       1,335  

West Virginia

    0       7,056       0       7,056  

U.S. Government Agencies

    0       9,703       8,293       17,996  

Non-Agency Mortgage-Backed Securities

    0       77,007       0       77,007  

Asset-Backed Securities

    0       65,868       5,814       71,682  

Sovereign Issues

    0       21,208       0       21,208  

Common Stocks

 

Communication Services

        5,905       0       2,513       8,418  

Energy

    2,961       0       91       3,052  

Industrials

    0       46       13,137       13,183  

Materials

    0       0       1,134       1,134  

Warrants

 

Industrials

    0       0       706       706  

Information Technology

    0       0       13,318       13,318  

Preferred Securities

 

Banking & Finance

    0       63,895       0       63,895  

Industrials

    0       366       62,950       63,316  
Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
01/31/2022
 

Real Estate Investment Trusts

 

Real Estate

  $ 24,607     $ 0     $ 0     $ 24,607  

Short-Term Instruments

 

Repurchase Agreements

    0       9,564       0       9,564  

Argentina Treasury Bills

    0       406       0       406  

U.S. Treasury Bills

    0       34,546       0       34,546  

U.S. Treasury Cash Management Bills

    0       1,999       0       1,999  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

  $     33,473     $     888,707     $     142,616     $     1,064,796  
 

 

 

   

 

 

   

 

 

   

 

 

 

Financial Derivative Instruments - Assets

 

Exchange-traded or centrally cleared

    0       1,862       0       1,862  

Over the counter

    0       1,472       0       1,472  
 

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 3,334     $ 0     $ 3,334  
 

 

 

   

 

 

   

 

 

   

 

 

 

Financial Derivative Instruments - Liabilities

 

Exchange-traded or centrally cleared

    0       (2,269     0       (2,269

Over the counter

    0       (326     0       (326
 

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ (2,595   $ 0     $ (2,595
 

 

 

   

 

 

   

 

 

   

 

 

 

Total Financial Derivative Instruments

  $ 0     $ 739     $ 0     $ 739  
 

 

 

   

 

 

   

 

 

   

 

 

 

Totals

  $ 33,473     $ 889,446     $ 142,616     $ 1,065,535  
 

 

 

   

 

 

   

 

 

   

 

 

 
 

 

       
64   PIMCO CLOSED-END FUNDS      See Accompanying Notes  


Table of Contents
      January 31, 2022   (Unaudited)

 

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended January 31, 2022:

 

Category and Subcategory   Beginning
Balance
at 07/31/2021
    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 01/31/2022
    Net Change in
Unrealized
Appreciation/
(Depreciation)
on Investments
Held at
01/31/2022(1)
 

Investments in Securities, at Value

 

Loan Participations and Assignments

  $ 15,719     $ 2,098     $ (9,317   $     (15   $ 83     $ 315     $ 0     $ (2,411   $ 6,472     $ 99  

Corporate Bonds & Notes

 

Banking & Finance

    0       17,021       0       0       0       (8     0       0       17,013       (8

Industrials

    0       0       0       0       0       0       11,175       0       11,175       0  

U.S. Government Agencies

    8,336       0       (95     14       32       6       0       0       8,293       1  

Asset-Backed Securities

    5,870       858       0       0       0       (914     0       0       5,814       (914

Common Stocks

 

Communication Services

    3,223       0       0       0       0       (710     0       0       2,513       (711

Energy

    91       0       0       0       0       0       0       0       91       0  

Industrials

    9,968       0       0       0       0       3,169       0       0       13,137       3,168  

Materials(2)

    1,150       0       0       0       0       (16     0       0       1,134       (16

Warrants

 

Industrials

    1,131       0       0       0       0       (425     0       0       706       (425

Information Technology

    11,995       0       0       0       0       1,323       0       0       13,318       1,322  

Preferred Securities

 

Industrials

    56,717       0       0       0       0       6,233       0       0       62,950       7,985  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Totals

  $     114,200     $     19,977     $     (9,412   $ (1   $     115     $     8,973     $     11,175     $     (2,411   $     142,616     $     10,501  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

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:

 

Category and Subcategory   Ending
Balance
at 01/31/2022
     Valuation
Technique
   Unobservable
Inputs
  (% Unless Noted Otherwise)  
  Input Value(s)
     Weighted
Average
 

Investments in Securities, at Value

 

Loan Participations and Assignments

  $ 5,126      Reference Instrument    Yield        5.840        —    
    1,346      Third Party Vendor    Broker Quote        62.500-100.125        98.286  

Corporate Bonds & Notes

 

Banking & Finance

    17,013      Proxy Pricing    Base Price        97.500-98.720        97.580  

Industrials

    11,175      Reference Instrument    Weighted Average     BRL        50.376        —    

U.S. Government Agencies

    8,293      Proxy Pricing    Base Price        61.520        —    

Asset-Backed Securities

    5,814      Proxy Pricing    Base Price        7,069.430-43,078.320        21,631.699  

Common Stocks

 

Communication Services

    2,513      Reference Instrument    Liquidity Discount        10.000        —    

Energy

    91      Other Valuation Techniques(3)           —          —    

Industrials

    13,137      Discounted Cash Flow    Discount Rate        10.500        —    

Materials

    1,134      Other Valuation Techniques(3)           —          —    

Warrants

 

Industrials

    706      Other Valuation Techniques(3)           —          —    

Information Technology

    13,318      Comparable Company    EBITDA Multiple     X        4.400        —    

Preferred Securities

 

Industrials

    61,092      Comparable Company    EBITDA Multiple     X/X        11.300/8.800        —    
    1,858      Comparable Company/
Discount Cash Flow
   Book Value Multiple/
Discount Rate
    X/%        0.280/19.970        —    
 

 

 

               

Total

  $     142,616                
 

 

 

               

 

(1)

Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at January 31, 2022 may be due to an investment no longer held or categorized as Level 3 at period end.

(2)

Sector type updated from Financials to Materials since prior fiscal year end.

(3)

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

 

See Accompanying Notes     SEMIANNUAL REPORT     |     JANUARY 31, 2022     65
    


Table of Contents
Schedule of Investments   PIMCO Income Strategy Fund           

 

(Amounts in thousands*, except number of shares, contracts, units and ounces, if any)

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
INVESTMENTS IN SECURITIES 148.9%

 

LOAN PARTICIPATIONS AND ASSIGNMENTS 26.0%

 

AAdvantage Loyalty IP Ltd.

 

5.500% (LIBOR03M + 4.750%) due 04/20/2028 ~

  $     700     $     728  

AP Core Holdings II LLC

 

6.250% (LIBOR03M + 5.500%) due 09/01/2027 ~

      5,350         5,397  

Caesars Resort Collection LLC

 

2.855% (LIBOR03M + 2.750%) due 12/23/2024 ~

      6,321         6,294  

Carnival Corp.

 

3.750% (EUR003M + 3.750%) due 06/30/2025 ~

  EUR     1,194           1,340  

4.000% (LIBOR03M + 3.250%) due 10/18/2028 ~

  $     564         560  

DEI Sales, Inc.

 

6.250% (LIBOR03M + 5.500%) due 04/28/2028 ~

      2,568         2,564  

Emerald TopCo, Inc.

 

3.605% - 3.799% (LIBOR03M + 3.500%) due 07/24/2026 ~

      54         53  

Encina Private Credit LLC

 

TBD% (LIBOR03M + 3.716%) due 11/30/2025 «~µ

      4,037         4,037  

Envision Healthcare Corp.

 

3.840% - 3.855% (LIBOR03M + 3.750%) due 10/10/2025 ~

      11,473         8,924  

Fly Funding SARL

 

7.000% (LIBOR03M + 6.000%) due 10/08/2025 ~

      2,381         2,388  

Forbes Energy Services LLC (7.000% PIK)

 

7.000% due 06/30/2022 «(d)

      193         0  

Gateway Casinos & Entertainment Ltd.

 

8.750% (LIBOR03M + 8.000%) due 10/15/2027 ~

      3,438         3,444  

8.750% due 10/18/2027 «

  CAD     750         591  

Intelsat Jackson Holdings SA

 

TBD% (LIBOR03M + 4.750%) due 10/13/2022 ~

  $     674         674  

TBD% due 02/01/2029

      2,470         2,466  

TBD% due 01/25/2030 «

      8,343         8,109  

Lealand Finance Co. BV

 

3.104% (LIBOR03M + 3.000%) due 06/28/2024 «~

      40         25  

Lealand Finance Co. BV

 

4.104% - 1.105% (LIBOR03M + 1.000%) due 06/30/2025 ~

      183         88  

Mavenir Systems, Inc.

 

5.250% (LIBOR03M + 4.750%) due 08/18/2028 ~

      1,400         1,401  

MPH Acquisition Holdings LLC

 

4.750% (LIBOR03M + 4.250%) due 08/17/2028 ~

      3,491         3,396  

Promotora de Informaciones SA

 

4.500% (EUR003M + 4.500%) due 11/30/2022 ~

  EUR     3,093         3,388  

PUG LLC

 

3.605% (LIBOR03M + 3.500%) due 02/12/2027 ~

  $     883         878  

4.750% (LIBOR03M + 4.250%) due 02/12/2027 ~

      1,197         1,201  

Redstone Buyer LLC

 

5.500% (LIBOR03M + 4.750%) due 04/27/2028 ~

      1,665         1,552  

Rising Tide Holdings, Inc.

 

5.500% (LIBOR03M + 4.750%) due 06/01/2028 ~

      597         596  

Sasol Ltd.

 

TBD% (LIBOR03M + 1.600%) due 11/23/2022 «~µ

      2,440         2,366  

Sequa Mezzanine Holdings LLC (11.750% Cash)

 

11.750% (LIBOR03M + 10.750%) due 04/28/2024 ~(d)

      42         42  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

SkyMiles IP Ltd.

 

4.750% (LIBOR03M + 3.750%) due 10/20/2027 ~

  $     1,800     $     1,904  

Steenbok Lux Finco 2 SARL (10.750% PIK)

 

10.750% (EUR003M) due 12/29/2022 ~(d)

  EUR     6,756         6,368  

Syniverse Holdings, Inc.

 

6.000% (LIBOR03M + 5.000%) due 03/09/2023 ~

  $     7,493         7,485  

10.000% (LIBOR03M + 9.000%) due 03/11/2024 ~

      783         782  

Team Health Holdings, Inc.

 

3.750% (LIBOR03M + 2.750%) due 02/06/2024 ~

      4,918         4,744  

Telemar Norte Leste SA

 

1.750% (LIBOR03M + 1.750%) due 02/26/2035 «~

      4,415         1,700  

U.S. Renal Care, Inc.

 

6.500% (LIBOR03M + 5.500%) due 06/26/2026 ~

      2,195         2,184  

Univision Communications, Inc.

 

3.750% (LIBOR03M + 2.750%) due 03/15/2024 ~

      1,800         1,800  

Westmoreland Mining Holdings LLC (15.000% PIK)

 

15.000% due 03/15/2029 (d)

      2,241         695  

Windstream Services LLC

 

7.250% (LIBOR03M + 6.250%) due 09/21/2027 ~

      1,363         1,369  
       

 

 

 

Total Loan Participations and Assignments (Cost $95,781)

      91,533  
 

 

 

 
CORPORATE BONDS & NOTES 71.3%

 

BANKING & FINANCE 17.1%

 

Ally Financial, Inc.

 

8.000% due 11/01/2031 (n)

      135         180  

Apollo Commercial Real Estate Finance, Inc.

 

4.625% due 06/15/2029 (n)

      2,400         2,290  

Banca Monte dei Paschi di Siena SpA

 

1.875% due 01/09/2026

  EUR     700         750  

2.625% due 04/28/2025

      3,774         4,176  

3.625% due 09/24/2024

      1,483         1,667  

5.375% due 01/18/2028 •

      1,211         1,040  

8.000% due 01/22/2030 •

      541         486  

8.500% due 09/10/2030 •

      938         859  

10.500% due 07/23/2029

      633         628  

Banco de Credito del Peru

 

4.650% due 09/17/2024

  PEN     400         101  

Barclays PLC

 

6.375% due 12/15/2025 •(j)(k)

  GBP     600         859  

7.125% due 06/15/2025 •(j)(k)

      5,100         7,434  

Claveau Re Ltd.

 

17.420% (T-BILL 3MO + 17.250%) due 07/08/2028 ~

  $     600         575  

Cosaint Re Pte Ltd.

 

9.415% (T-BILL 1MO + 9.250%) due 04/03/2028 ~

      400         410  

Credit Suisse Group AG

 

7.500% due 07/17/2023 •(j)(k)

      200         208  

7.500% due 12/11/2023 •(j)(k)

      640         684  

7.500% due 12/11/2023 •(j)(k)(n)

      3,200         3,419  

Fortress Transportation & Infrastructure Investors LLC

 

6.500% due 10/01/2025

      179         184  

GSPA Monetization Trust

 

6.422% due 10/09/2029

      1,343         1,402  

HSBC Holdings PLC

 

5.875% due 09/28/2026 •(j)(k)(n)

  GBP     200         282  

6.000% due 09/29/2023 •(j)(k)(n)

  EUR     1,200         1,445  

6.500% due 03/23/2028 •(j)(k)

  $     200         215  

Lloyds Banking Group PLC

 

7.500% due 09/27/2025 •(j)(k)

      2,900         3,218  

7.875% due 06/27/2029 •(j)(k)

  GBP     3,219         5,258  

MGM Growth Properties Operating Partnership LP

 

3.875% due 02/15/2029 (n)

  $     1,800         1,852  

4.500% due 01/15/2028

      1,280         1,357  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Natwest Group PLC

 

8.000% due 08/10/2025 •(j)(k)

  $     3,000     $     3,383  

Newmark Group, Inc.

 

6.125% due 11/15/2023

      28         30  

OneMain Finance Corp.

 

6.125% due 03/15/2024

      66         69  

Oxford Finance LLC

 

6.375% due 02/01/2027 (c)

      1,200         1,227  

PRA Group, Inc.

 

7.375% due 09/01/2025 (n)

      1,000         1,062  

Santander U.K. Group Holdings PLC

 

6.750% due 06/24/2024 •(j)(k)

  GBP     2,850         4,068  

Societe Generale SA

 

7.375% due 10/04/2023 •(j)(k)

  $     300         317  

Starwood Property Trust, Inc.

 

4.375% due 01/15/2027

      600         599  

UBS Group AG

 

4.875% due 02/12/2027 •(j)(k)

      1,400         1,402  

Unique Pub Finance Co. PLC

 

5.659% due 06/30/2027

  GBP     204         303  

Uniti Group LP

 

6.000% due 01/15/2030 (n)

  $     3,468         3,177  

Voyager Aviation Holdings LLC

 

8.500% due 05/09/2026

      3,865         3,604  
       

 

 

 
            60,220  
       

 

 

 
INDUSTRIALS 45.8%

 

Air Canada

 

3.875% due 08/15/2026 (n)

      1,500         1,467  

Altice Financing SA

 

5.750% due 08/15/2029 (n)

      1,305         1,222  

American Airlines, Inc.

 

5.500% due 04/20/2026 (n)

      500         513  

Arches Buyer, Inc.

 

4.250% due 06/01/2028 (n)

      700         663  

Associated Materials LLC

 

9.000% due 09/01/2025

      147         155  

Boeing Co.

 

5.705% due 05/01/2040

      416         501  

5.805% due 05/01/2050 (n)

      540         680  

5.930% due 05/01/2060 (n)

      500         636  

6.125% due 02/15/2033 (n)

      885         1,078  

Bombardier, Inc.

 

7.500% due 12/01/2024 (n)

      1,614           1,673  

7.500% due 03/15/2025 (n)

      3,414         3,463  

Broadcom, Inc.

 

3.187% due 11/15/2036 (n)

      36         34  

4.150% due 11/15/2030 (n)

      268         285  

CGG SA

 

7.750% due 04/01/2027

  EUR     1,300         1,478  

8.750% due 04/01/2027 (n)

  $     1,944         1,947  

Charter Communications Operating LLC

 

3.700% due 04/01/2051

      100         89  

3.850% due 04/01/2061

      200         173  

3.900% due 06/01/2052 (n)

      2,900         2,662  

4.400% due 12/01/2061 (n)

      2,600         2,466  

CommScope, Inc.

 

8.250% due 03/01/2027

      2,842         2,785  

Community Health Systems, Inc.

 

5.250% due 05/15/2030 (c)

      3,000         2,992  

6.625% due 02/15/2025

      1,559         1,614  

8.000% due 03/15/2026 (n)

      906         944  

Coty, Inc.

 

3.875% due 04/15/2026

  EUR     3,300         3,718  

5.000% due 04/15/2026 (n)

  $     2,600         2,615  

CVS Pass-Through Trust

 

7.507% due 01/10/2032 (n)

      353         428  

Delta Air Lines, Inc.

 

7.375% due 01/15/2026 (n)

      508         579  

DISH DBS Corp.

 

5.250% due 12/01/2026 (n)

      920         894  

5.750% due 12/01/2028 (n)

      1,470         1,409  
 

 

       
66   PIMCO CLOSED-END FUNDS      See Accompanying Notes  


Table of Contents
      January 31, 2022   (Unaudited)

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Embecta Corp.

 

5.000% due 02/15/2030 (c)

  $     1,800     $     1,805  

Envision Healthcare Corp.

 

8.750% due 10/15/2026 (n)

      2,205         1,151  

Exela Intermediate LLC

 

11.500% due 07/15/2026

      42         26  

Ferroglobe PLC

 

9.375% due 12/31/2025 (l)

      1,357         1,409  

Fertitta Entertainment LLC

 

6.750% due 01/15/2030

      1,100         1,071  

Ford Motor Co.

 

7.700% due 05/15/2097 (n)

      7,435         9,838  

Fresh Market, Inc.

 

9.750% due 05/01/2023 (n)

      3,313         3,384  

Frontier Communications Holdings LLC

 

6.000% due 01/15/2030 (n)

      881         852  

HCA, Inc.

 

7.500% due 11/15/2095 (n)

      1,050         1,354  

Hertz Corp.

 

5.000% due 12/01/2029

      1,400         1,350  

HollyFrontier Corp.

 

4.500% due 10/01/2030 (n)

      5,101         5,364  

Intelsat Connect Finance SA

 

9.500% due 02/15/2023 ^(e)

      39         6  

Intelsat Jackson Holdings SA

 

5.500% due 08/01/2023 ^(e)

      1,646         720  

8.000% due 02/15/2024

      18         18  

8.500% due 10/15/2024 ^(e)

      5,416         2,444  

9.750% due 07/15/2025 ^(e)

      4,805         2,128  

Intelsat Luxembourg SA

 

8.125% due 06/01/2023 ^(e)

      524         3  

Inter Media & Communication SpA

 

6.750% due 02/09/2027 (c)

  EUR     1,500         1,689  

Las Vegas Sands Corp.

 

3.900% due 08/08/2029 (n)

  $     200         200  

Lindblad Expeditions LLC

 

6.750% due 02/15/2027 (c)

      650         656  

Melco Resorts Finance Ltd.

 

5.750% due 07/21/2028

      800         769  

Minerva Merger Sub, Inc.

 

6.500% due 02/15/2030 (c)

      4,000         3,997  

NCL Corp. Ltd.

 

10.250% due 02/01/2026 (n)

      1,600         1,814  

12.250% due 05/15/2024 (n)

      1,078         1,257  

New Albertsons LP

 

6.570% due 02/23/2028

      2,800         3,107  

Nissan Motor Co. Ltd.

 

4.810% due 09/17/2030 (n)

      5,300           5,747  

Noble Corp. PLC (11.000% Cash or 15.000% PIK)

 

11.000% due 02/15/2028 (d)

      725         806  

Odebrecht Oil & Gas Finance Ltd.

 

0.000% due 03/03/2022 (h)(j)

      450         2  

Oi Movel SA

 

8.750% due 07/30/2026

      3,270         3,335  

Olympus Water U.S. Holding Corp.

 

5.375% due 10/01/2029

  EUR     1,400         1,476  

Ortho-Clinical Diagnostics, Inc.

 

7.375% due 06/01/2025

  $     63         66  

Petroleos Mexicanos

 

4.875% due 02/21/2028

  EUR     556         627  

6.700% due 02/16/2032 (n)

  $     869         862  

6.750% due 09/21/2047 (n)

      5,469         4,701  

6.950% due 01/28/2060

      150         129  

7.690% due 01/23/2050

      1,160         1,077  

Platin 1426 GmbH

 

6.875% due 06/15/2023

  EUR     200         225  

Rolls-Royce PLC

 

3.625% due 10/14/2025

  $     700         688  

5.750% due 10/15/2027

  GBP     800         1,191  

Sands China Ltd.

 

2.300% due 03/08/2027 (n)

  $     400         364  

2.850% due 03/08/2029 (n)

      300         271  

3.250% due 08/08/2031

      200         179  

5.400% due 08/08/2028 (n)

      2,702         2,791  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Spirit AeroSystems, Inc.

 

3.950% due 06/15/2023 (n)

  $     1,557     $     1,563  

Studio City Finance Ltd.

 

6.000% due 07/15/2025 (n)

      1,000         943  

6.500% due 01/15/2028 (n)

      1,000         937  

Syngenta Finance NV

 

5.676% due 04/24/2048 (n)

      1,990         2,347  

Topaz Solar Farms LLC

 

4.875% due 09/30/2039 (n)

      970         1,087  

5.750% due 09/30/2039 (n)

      5,745         6,679  

Transocean Pontus Ltd.

 

6.125% due 08/01/2025

      1,354         1,336  

Transocean, Inc.

 

7.250% due 11/01/2025

      68         53  

7.500% due 01/15/2026

      56         43  

8.000% due 02/01/2027

      66         50  

Triumph Group, Inc.

 

6.250% due 09/15/2024

      32         32  

U.S. Renal Care, Inc.

 

10.625% due 07/15/2027

      1,782         1,820  

Unigel Luxembourg SA

 

8.750% due 10/01/2026

      200         212  

United Airlines, Inc.

 

4.375% due 04/15/2026 (n)

      1,100         1,094  

4.625% due 04/15/2029

      300         297  

Univision Communications, Inc.

 

5.125% due 02/15/2025 (n)

      283         286  

Valaris Ltd. (8.250% Cash or 12.000% PIK)

 

8.250% due 04/30/2028 (d)

      2,952         3,074  

Vale Overseas Ltd.

 

6.875% due 11/21/2036 (n)

      29         37  

6.875% due 11/10/2039 (n)

      257         332  

Vale SA

 

2.762% due 12/29/2049 «~(j)

  BRL     60,000         5,587  

Veritas U.S., Inc.

 

7.500% due 09/01/2025

  $     557         569  

Viking Cruises Ltd.

 

13.000% due 05/15/2025 (n)

      3,217         3,599  

VOC Escrow Ltd.

 

5.000% due 02/15/2028 (n)

      1,100         1,070  

Windstream Escrow LLC

 

7.750% due 08/15/2028 (n)

      4,144         4,186  

Wolverine Escrow LLC

 

8.500% due 11/15/2024

      5,935         5,171  

9.000% due 11/15/2026 (n)

      4,397         3,855  

Wynn Las Vegas LLC

 

5.500% due 03/01/2025 (n)

      1,900         1,913  

Wynn Macau Ltd.

 

5.500% due 01/15/2026 (n)

      1,000         940  

5.625% due 08/26/2028 (n)

      500         458  

ZipRecruiter, Inc.

 

5.000% due 01/15/2030 (n)

      1,500         1,486  
       

 

 

 
            161,168  
       

 

 

 
UTILITIES 8.4%

 

DTEK Finance PLC (1.500% Cash and 3.500% PIK)

 

5.000% due 12/31/2027 (d)

      2,068         1,054  

Genesis Energy LP

 

8.000% due 01/15/2027 (n)

      975         983  

NGD Holdings BV

 

6.750% due 12/31/2026

      188         155  

Northwestern Bell Telephone

 

7.750% due 05/01/2030 (n)

      7,000         8,429  

Odebrecht Drilling Norbe Ltd. (6.350% Cash and 1.000% PIK)

 

7.350% due 12/01/2026 ^(d)

      149         81  

Odebrecht Offshore Drilling Finance Ltd.

 

6.720% due 12/01/2022 ^

      158         156  

Odebrecht Offshore Drilling Finance Ltd. (6.720% Cash and 1.000% PIK)

 

7.720% due 12/01/2026 ^(d)

      3,093         646  

Oi S.A. (10.000% Cash or 12.000% PIK)

 

10.000% due 07/27/2025 (d)

      2,070         1,724  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Pacific Gas & Electric Co.

 

3.750% due 08/15/2042

  $     10     $     9  

4.000% due 12/01/2046

      1,004         922  

4.300% due 03/15/2045

      11         10  

4.450% due 04/15/2042 (n)

      322         310  

4.500% due 07/01/2040 (n)

      939         920  

4.500% due 12/15/2041

      10         9  

4.550% due 07/01/2030 (n)

      1,877         1,956  

4.600% due 06/15/2043

      8         8  

4.750% due 02/15/2044 (n)

      2,810         2,771  

4.950% due 07/01/2050 (n)

      2,360         2,415  

Peru LNG Srl

 

5.375% due 03/22/2030

      4,372         3,786  

Petrobras Global Finance BV

 

6.625% due 01/16/2034

  GBP     100         146  

Rio Oil Finance Trust

 

9.250% due 07/06/2024 (n)

  $     1,638         1,748  

Transocean Poseidon Ltd.

 

6.875% due 02/01/2027 (n)

      1,154         1,121  
       

 

 

 
          29,359  
       

 

 

 

Total Corporate Bonds & Notes (Cost $251,163)

      250,747  
 

 

 

 
CONVERTIBLE BONDS & NOTES 0.4%

 

INDUSTRIALS 0.4%

 

DISH Network Corp.

 

3.375% due 08/15/2026

      1,600         1,493  
       

 

 

 

Total Convertible Bonds & Notes (Cost $1,600)

    1,493  
 

 

 

 
MUNICIPAL BONDS & NOTES 2.9%

 

ILLINOIS 1.7%

 

Chicago, Illinois General Obligation Bonds, (BABs), Series 2010

 

7.517% due 01/01/2040

      4,200         5,830  

Chicago, Illinois General Obligation Bonds, Series 2017

 

7.045% due 01/01/2029

      45         51  
       

 

 

 
          5,881  
       

 

 

 
PUERTO RICO 0.4%

 

Commonwealth of Puerto Rico General Obligation Bonds, Series 2014

 

8.000% due 07/01/2035 ^(e)

      1,800         1,625  
       

 

 

 
VIRGINIA 0.1%

 

Tobacco Settlement Financing Corp., Virginia Revenue Bonds, Series 2007

 

6.706% due 06/01/2046

      370         384  
       

 

 

 
WEST VIRGINIA 0.7%

 

Tobacco Settlement Finance Authority, West Virginia Revenue Bonds, Series 2007

 

0.000% due 06/01/2047 (h)

      21,900         2,334  
       

 

 

 

Total Municipal Bonds & Notes (Cost $7,910)

    10,224  
 

 

 

 
U.S. GOVERNMENT AGENCIES 2.1%

 

Fannie Mae

 

3.500% due 12/25/2032 - 12/25/2049 (a)

      2,067         209  

4.000% due 11/25/2042 (a)

      948         115  

5.858% due 07/25/2029

      570         645  

5.942% due 02/25/2049 (a)

      462         55  

14.694% due 12/25/2040

      132         161  

Freddie Mac

 

0.000% due 02/25/2046 (b)(h)

      564         474  

0.100% due 02/25/2046 (a)

      564         0  

0.700% due 11/25/2055 (a)

      16,454         1,330  

3.000% due 11/15/2033 (a)

      1,542         99  
 

 

See Accompanying Notes     SEMIANNUAL REPORT     |     JANUARY 31, 2022     67
    


Table of Contents
Schedule of Investments   PIMCO Income Strategy Fund   (Cont.)    

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

6.170% due 11/25/2055 «

  $     3,904     $     2,402  

7.658% due 12/25/2027

      1,483         1,560  

9.796% due 11/15/2040

      134         149  

10.858% due 03/25/2025

      168         171  
       

 

 

 

Total U.S. Government Agencies (Cost $7,517)

      7,370  
 

 

 

 
NON-AGENCY MORTGAGE-BACKED SECURITIES 6.8%

 

Alternative Loan Trust

 

0.458% due 05/25/2037 ^•

      123         37  

2.750% due 04/25/2036 ^~

      218         197  

5.500% due 03/25/2035

      103         62  

5.500% due 12/25/2035 ^

      935         650  

5.750% due 01/25/2035

      79         81  

6.000% due 02/25/2035

      133         127  

6.000% due 08/25/2036 ^•

      138         106  

6.000% due 04/25/2037 ^

      384         239  

6.250% due 11/25/2036 ^

      236         214  

6.250% due 12/25/2036 ^•

      673         421  

6.500% due 08/25/2036 ^

      190         95  

Alternative Loan Trust Resecuritization

 

6.000% due 05/25/2036 ^

      800         620  

6.000% due 08/25/2037 ^~

      394         290  

Banc of America Funding Trust

 

6.000% due 08/25/2036 ^

      446         456  

BCAP LLC Trust

 

0.000% due 06/26/2036 ~

      33         24  

2.903% due 03/27/2036 ~

      753         614  

4.797% due 03/26/2037 þ

      323         501  

Bear Stearns ALT-A Trust

 

0.428% due 06/25/2046 ^•

      967         949  

2.882% due 11/25/2036 ^~

      156         101  

3.065% due 09/25/2047 ^~

      2,017         1,312  

3.075% due 09/25/2035 ^~

      145         106  

Bear Stearns Mortgage Funding Trust

 

7.500% due 08/25/2036 þ

      89         90  

CD Mortgage Trust

 

5.688% due 10/15/2048

      178         171  

Chase Mortgage Finance Trust

 

2.926% due 12/25/2035 ^~

      2         2  

6.000% due 02/25/2037 ^

      303         167  

6.000% due 07/25/2037 ^

      220         145  

6.250% due 10/25/2036 ^

      578         362  

CHL Mortgage Pass-Through Trust

 

2.504% due 02/20/2035 ~

      3         3  

5.500% due 10/25/2035 ^

      178         139  

6.250% due 09/25/2036 ^

      168         91  

Citicorp Mortgage Securities Trust

 

5.500% due 04/25/2037

      5         5  

Commercial Mortgage Loan Trust

 

6.673% due 12/10/2049 ~

      211         36  

Deutsche Mortgage Securities, Inc. Mortgage Loan Trust

 

2.058% due 06/25/2034 •

      2,030         2,076  

Eurosail-UK PLC

 

4.095% due 06/13/2045 •

  GBP     239         310  

Freddie Mac

 

7.850% due 11/25/2041 •

  $     1,900         1,906  

GSR Mortgage Loan Trust

 

6.000% due 02/25/2036 ^

      1,084         643  

HarborView Mortgage Loan Trust

 

0.823% due 01/19/2035 •

      41         41  

2.662% due 07/19/2035 ^~

      15         13  

IndyMac IMSC Mortgage Loan Trust

 

6.500% due 07/25/2037 ^

      1,622         779  

Jackson Park Trust

 

3.242% due 10/14/2039 ~

      1,033         906  

JP Morgan Alternative Loan Trust

 

2.745% due 03/25/2036 ^~

      470         418  

3.308% due 03/25/2037 ^~

      397         417  

JP Morgan Mortgage Trust

 

2.608% due 01/25/2037 ^~

      102         91  

2.667% due 02/25/2036 ^~

      100         83  

LB-UBS Commercial Mortgage Trust

 

5.407% due 11/15/2038 ^

      55         35  

5.534% due 02/15/2040 ^~

      91         37  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Lehman XS Trust

 

0.328% due 06/25/2047 •

  $     532     $     514  

Merrill Lynch Mortgage Investors Trust

 

2.709% due 03/25/2036 ^~

      614         389  

Morgan Stanley Capital Trust

 

4.456% due 11/15/2034 •

      1,200         1,150  

Morgan Stanley Mortgage Loan Trust

 

5.962% due 06/25/2036 ^~

      2,184         892  

Natixis Commercial Mortgage Securities Trust

 

2.356% due 11/15/2034 •

      1,065         1,056  

Residential Asset Securitization Trust

 

5.750% due 02/25/2036 ^

      389         221  

6.000% due 07/25/2037 ^

      631         351  

6.250% due 09/25/2037 ^

      1,195         682  

RFMSI Trust

 

4.182% due 08/25/2036 ^~

      213         195  

6.000% due 09/25/2036 ^

      54         50  

6.000% due 06/25/2037 ^

      722         702  

STARM Mortgage Loan Trust

 

2.225% due 04/25/2037 ^~

      247         162  

2.298% due 02/25/2037 ^~

      53         49  

Structured Adjustable Rate Mortgage Loan Trust

 

2.818% due 11/25/2036 ^~

      445         425  

2.901% due 01/25/2036 ^~

      498         364  

WaMu Mortgage Pass-Through Certificates Trust

 

1.725% due 12/25/2046 •

      202         197  

3.075% due 02/25/2037 ^~

      151         150  

3.262% due 10/25/2036 ^~

      214         210  

Wells Fargo Mortgage-Backed Securities Trust

 

6.000% due 06/25/2037 ^

      20         20  
       

 

 

 

Total Non-Agency Mortgage-Backed Securities (Cost $24,144)

      23,947  
 

 

 

 
ASSET-BACKED SECURITIES 8.8%

 

ABFC Trust

 

0.258% due 10/25/2036 •

      2,340         2,321  

Adagio CLO DAC

 

0.000% due 04/30/2031 ~

  EUR     1,750         1,090  

Apidos CLO

 

0.000% due 01/20/2031 ~

  $     2,200         1,152  

Argent Securities Trust

 

0.488% due 03/25/2036 •

      6,330         4,466  

Avoca CLO DAC

 

0.000% due 07/15/2032 ~

  EUR     1,070         923  

Bear Stearns Asset-Backed Securities Trust

 

6.500% due 10/25/2036 ^

  $     211         137  

Belle Haven ABS CDO Ltd.

 

0.459% due 07/05/2046 •

      85,896         204  

CIFC Funding Ltd.

 

0.000% due 04/24/2030 ~

      1,200         532  

0.010% due 10/22/2031 ~

      1,000         368  

Citigroup Mortgage Loan Trust

 

0.258% due 12/25/2036 •

      2,906         1,474  

Dryden 58 CLO Ltd.

 

0.000% due 07/17/2031 ~

      5,689         4,245  

Flagship Credit Auto Trust

 

0.000% due 05/15/2025 «(h)

      4         285  

Grosvenor Place CLO BV

 

0.000% due 04/30/2029 ~

  EUR     250         146  

Jay Park CLO Ltd.

 

0.000% due 10/20/2027 ~

  $     2,700         1,346  

Lehman XS Trust

 

6.790% due 06/24/2046 þ

      441         471  

Marlette Funding Trust

 

0.000% due 07/16/2029 «(h)

      6         564  

0.000% due 03/15/2030 «(h)

      3         317  

Merrill Lynch Mortgage Investors Trust

 

0.428% due 04/25/2037 •

      212         142  

Morgan Stanley Mortgage Loan Trust

 

0.348% due 04/25/2037 •

      2,697         1,040  

6.250% due 02/25/2037 ^~

      228         140  

RAMP Trust

 

0.668% due 09/25/2036 •

      135         133  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Securitized Asset-Backed Receivables LLC Trust

 

0.388% due 05/25/2036 •

  $     4,345     $     2,931  

SLM Student Loan EDC Repackaging Trust

 

0.000% due 10/28/2029 «(h)

      1         1,156  

SLM Student Loan Trust

 

0.000% due 01/25/2042 «(h)

      2         862  

Sofi Professional Loan Program LLC

 

0.000% due 05/25/2040 (h)

      2,100         283  

SoFi Professional Loan Program LLC

 

0.000% due 09/25/2040 «(h)

      846         162  

South Coast Funding Ltd.

 

0.746% due 08/10/2038 •

      5,486         630  

Symphony CLO Ltd.

 

4.838% due 07/14/2026 •

      1,000         999  

Taberna Preferred Funding Ltd.

 

0.520% due 08/05/2036 •

      145         129  

0.520% due 08/05/2036 ^•

      2,726         2,413  
       

 

 

 

Total Asset-Backed Securities (Cost $44,014)

      31,061  
 

 

 

 
SOVEREIGN ISSUES 2.7%

 

Argentina Bocon

 

34.191% (BADLARPP) due 10/04/2022 ~

  ARS     28         0  

Argentina Bonar Bonds

 

0.500% due 07/09/2030 þ

  $     1,735         520  

1.125% due 07/09/2035 þ

      1,948         588  

Argentina Government International Bond

 

0.500% due 07/09/2030 þ

      192         65  

1.000% due 07/09/2029

      366         130  

1.125% due 07/09/2035 þ

      151         47  

1.125% due 07/09/2046 þ

      115         37  

2.000% due 01/09/2038 þ

      6,188         2,361  

2.500% due 07/09/2041 þ

      2,872         1,028  

Argentina Treasury Bond BONCER

 

1.400% due 03/25/2023

  ARS     45,789         192  

Argentine Bonos del Tesoro

 

15.500% due 10/17/2026

      26,000         43  

Egypt Government International Bond

 

5.625% due 04/16/2030

  EUR     900         881  

6.375% due 04/11/2031

      382         378  

7.500% due 02/16/2061

  $     900         701  

Ghana Government International Bond

 

6.375% due 02/11/2027

      300         242  

7.875% due 02/11/2035

      400         301  

8.750% due 03/11/2061

      200         149  

Ivory Coast Government International Bond

 

6.625% due 03/22/2048

  EUR     400         430  

Provincia de Buenos Aires

 

40.893% due 04/12/2025

  ARS     217,314         816  

South Africa Government International Bond

 

5.750% due 09/30/2049 (n)

  $     600         551  

Venezuela Government International Bond

 

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

      12         1  

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

      151         9  
       

 

 

 

Total Sovereign Issues (Cost $15,695)

      9,470  
 

 

 

 
        SHARES            
COMMON STOCKS 2.7%

 

COMMUNICATION SERVICES 0.8%

 

Clear Channel Outdoor Holdings, Inc. (f)

      261,329         800  

iHeartMedia, Inc. ‘A’ (f)

      62,317         1,256  

iHeartMedia, Inc. ‘B’ «(f)

      48,387         877  
       

 

 

 
          2,933  
       

 

 

 
ENERGY 0.1%

 

Axis Energy Services ‘A’ «(f)(l)

      1,253         18  

Noble Finance Co. (f)(l)

      10,196         252  

Valaris Ltd. (f)

      1,183         49  
       

 

 

 
          319  
       

 

 

 
 

 

       
68   PIMCO CLOSED-END FUNDS      See Accompanying Notes  


Table of Contents
      January 31, 2022   (Unaudited)

 

        SHARES         MARKET
VALUE
(000S)
 
INDUSTRIALS 1.7%

 

Neiman Marcus Group Ltd. LLC «(f)(l)

      39,846     $     5,777  

Noble Corp. (f)

      781         20  

Voyager Aviation Holdings LLC (f)

      538         0  

Westmoreland Mining Holdings «(f)(l)

      25,438         0  
       

 

 

 
          5,797  
       

 

 

 
MATERIALS 0.1%

 

Associated Materials Group, Inc. «(f)(l)

      55,999         391  
       

 

 

 

Total Common Stocks (Cost $6,435)

      9,440  
 

 

 

 
WARRANTS 2.0%

 

INDUSTRIALS 0.1%

 

Sequa Corp. - Exp. 04/28/2024 «

      394,000         155  
       

 

 

 
INFORMATION TECHNOLOGY 1.9%

 

Windstream Holdings LLC - Exp. 09/21/2055 «

      272,031         6,740  
       

 

 

 

Total Warrants (Cost $2,252)

    6,895  
 

 

 

 
PREFERRED SECURITIES 8.0%

 

BANKING & FINANCE 3.9%

 

Brighthouse Holdings LLC

 

6.500% due 07/27/2037 þ(j)

      35,000         40  
        SHARES         MARKET
VALUE
(000S)
 

Nationwide Building Society

 

10.250% ~

      16,350     $     4,112  

Stichting AK Rabobank Certificaten

 

6.500% due 12/29/2049 þ(j)

      6,532,550         9,508  
       

 

 

 
          13,660  
       

 

 

 
INDUSTRIALS 4.1%

 

General Electric Co.

 

3.533% (US0003M + 3.330%) due 03/15/2022 ~(j)

      127,000         125  

Sequa Corp. (15.000% PIK)

 

15.000% «(d)

      12,205         13,396  

Voyager Aviation Holdings LLC

 

9.500% «

      3,228         990  
       

 

 

 
          14,511  
       

 

 

 

Total Preferred Securities (Cost $21,203)

      28,171  
 

 

 

 
REAL ESTATE INVESTMENT TRUSTS 2.2%

 

REAL ESTATE 2.2%

 

CBL & Associates Properties, Inc.

      9,309         281  

Uniti Group, Inc.

      133,286         1,607  

VICI Properties, Inc.

      202,347         5,791  
       

 

 

 

Total Real Estate Investment Trusts (Cost $3,664)

    7,679  
 

 

 

 
SHORT-TERM INSTRUMENTS 13.0%

 

REPURCHASE AGREEMENTS (m) 2.9%

 

          10,050  
       

 

 

 
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
ARGENTINA TREASURY BILLS 0.0%

 

42.739% due 04/29/2022 (h)(i)

  ARS     16,814     $     63  
       

 

 

 
U.S. TREASURY BILLS 9.4%

 

0.056% due 02/17/2022 - 04/21/2022 (c)(g)(h)(p)(r)

  $     33,279         33,270  
       

 

 

 
U.S. TREASURY CASH MANAGEMENT BILLS 0.7%

 

0.101% due 04/26/2022 (h)(i)

      2,400         2,399  
       

 

 

 
Total Short-Term Instruments
(Cost $45,800)
    45,782  
       

 

 

 
       
Total Investments in Securities
(Cost $527,178)
    523,812  
       
Total Investments 148.9%
(Cost $527,178)

 

  $     523,812  

Financial Derivative
Instruments (o)(q) 0.2%

(Cost or Premiums, net $4,317)

    820  

Auction Rate Preferred Shares (12.8)%

    (45,200
Other Assets and Liabilities, net (36.3)%       (127,578
       

 

 

 
Net Assets Applicable to Common Shareholders 100.0%

 

  $     351,854  
       

 

 

 
 

NOTES TO SCHEDULE OF INVESTMENTS:

 

*

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

^

Security is in default.

«

Security valued using significant unobservable inputs (Level 3).

µ

All or a portion of this amount represents unfunded loan commitments. The interest rate for the unfunded portion will be determined at the time of funding. See Note 4, Securities and Other Investments, in the Notes to Financial Statements for more information regarding unfunded loan commitments.

~

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)

Payment in-kind security.

(e)

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

(f)

Security did not produce income within the last twelve months.

(g)

Coupon represents a weighted average yield to maturity.

(h)

Zero coupon security.

(i)

Coupon represents a yield to maturity.

(j)

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

(k)

Contingent convertible security.

 

See Accompanying Notes     SEMIANNUAL REPORT     |     JANUARY 31, 2022     69
    


Table of Contents
Schedule of Investments   PIMCO Income Strategy Fund   (Cont.)    

 

(l)  RESTRICTED SECURITIES:

 

Issuer Description                  Acquisition
Date
    Cost     Market
Value
    Market Value
as Percentage
of Net Assets
Applicable to
Common
Shareholders
 

Associated Materials Group, Inc.

         08/24/2020     $ 355     $ 391       0.11

Axis Energy Services ‘A’

         07/01/2021       18       18       0.01  

Ferroglobe PLC 9.375% due 12/31/2025

         10/27/2021       1,378       1,409       0.40  

Neiman Marcus Group Ltd. LLC

         09/25/2020       1,307       5,777       1.64  

Noble Corp.

         02/05/2021 - 02/27/2021       137       252       0.07  

Westmoreland Mining Holdings LLC

         12/08/2014 - 10/19/2016       733       0       0.00  
        

 

 

   

 

 

   

 

 

 
  $     3,928     $     7,847       2.23
 

 

 

   

 

 

   

 

 

 

 

BORROWINGS AND OTHER FINANCING TRANSACTIONS

 

(m)  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
 
FICC     0.000     01/31/2022       02/01/2022     $     10,050     U.S. Treasury Notes 0.875% due 01/31/2024   $ (10,251   $ 10,050     $ 10,050  
           

 

 

   

 

 

   

 

 

 

Total Repurchase Agreements

 

    $     (10,251   $     10,050     $     10,050  
   

 

 

   

 

 

   

 

 

 

 

REVERSE REPURCHASE AGREEMENTS:

 

Counterparty   Borrowing
Rate(1)
    Settlement
Date
    Maturity
Date
   

Amount
Borrowed(1)

  Payable for
Reverse
Repurchase
Agreements
 

BOS

    0.120     01/07/2022       TBD (2)    $   (1,902)   $     (1,902

BPS

    0.300       01/14/2022       02/18/2022       (665)     (666
    0.490       08/12/2021       02/15/2022       (4,423)     (4,433
    0.490       09/27/2021       02/15/2022       (2,977)     (2,982
    0.490       01/20/2022       02/15/2022       (1,882)     (1,883
    0.500       10/20/2021       02/03/2022       (2,907)     (2,911
    0.500       02/03/2022       03/10/2022       (2,790)     (2,790
    0.520       11/08/2021       03/21/2022       (922)     (924
    0.530       12/08/2021       05/12/2022       (1,252)     (1,253
    0.540       10/14/2021       03/08/2022       (1,497)     (1,500

BRC

    0.500       08/06/2021       02/07/2022       (8,949)     (8,971
    0.500       09/03/2021       03/03/2022       (9,461)     (9,481
    0.500       09/07/2021       03/07/2022       (914)     (916
    0.500       09/30/2021       02/07/2022       (922)     (924
    0.500       10/21/2021       02/07/2022       (2,303)     (2,306
    0.500       12/23/2021       03/10/2022       (681)     (681
    0.550       09/02/2021       03/10/2022       (1,383)     (1,386

BYR

    0.640       08/16/2021       03/25/2022       (251)     (251
    0.640       10/18/2021       03/25/2022       (725)     (726
    0.640       11/26/2021       03/25/2022       (1,698)     (1,701
    0.640       12/08/2021       03/25/2022       (738)     (739
    0.640       12/15/2021       03/25/2022       (943)     (944
    0.640       01/20/2022       03/25/2022       (160)     (160

CDC

    0.280       01/05/2022       02/03/2022       (2,267)     (2,267
    0.330       01/14/2022       03/18/2022       (1,836)     (1,836
    0.430       01/27/2022       05/02/2022       (1,307)     (1,307
    0.450       02/03/2022       05/09/2022       (2,215)     (2,215
    0.490       01/14/2022       04/14/2022       (2,948)     (2,949

FBF

    (0.500     01/20/2022       TBD (2)      (1,278)     (1,278

IND

    0.250       12/21/2021       03/17/2022       (4,157)     (4,158
    0.270       08/30/2021       03/01/2022       (3,064)     (3,068
    0.270       08/31/2021       03/01/2022       (3,334)     (3,337
    0.270       10/22/2021       03/01/2022       (1,872)     (1,874
    0.280       09/10/2021       03/10/2022       (1,292)     (1,293
    0.300       08/16/2021       03/09/2022       (595)     (596
    0.300       09/30/2021       03/09/2022       (291)     (292
    0.300       10/21/2021       03/09/2022       (619)     (619
    0.370       12/21/2021       03/17/2022       (6,579)     (6,582

 

       
70   PIMCO CLOSED-END FUNDS      See Accompanying Notes  


Table of Contents
      January 31, 2022   (Unaudited)

 

Counterparty   Borrowing
Rate(1)
    Settlement
Date
    Maturity
Date
   

Amount
Borrowed(1)

  Payable for
Reverse
Repurchase
Agreements
 
    0.410     10/12/2021       04/12/2022     $   (2,195)   $ (2,198
    0.420       08/02/2021       02/02/2022       (8,085)     (8,102
    0.440       10/12/2021       04/12/2022       (2,532)     (2,535
    0.440       02/02/2022       05/06/2022       (7,790)     (7,790

JML

    (0.350     01/17/2022       05/11/2022     EUR   (1,220)     (1,370
    0.600       01/18/2022       04/19/2022     GBP   (195)     (263

RDR

    0.350       01/20/2022       03/22/2022     $   (2,460)     (2,460

SOG

    0.500       08/30/2021       03/01/2022       (1,801)     (1,805
    0.500       09/30/2021       03/07/2022       (5,823)     (5,833
    0.500       10/01/2021       04/01/2022       (3,787)     (3,794
    0.500       10/29/2021       04/19/2022       (447)     (447
    0.500       11/04/2021       04/13/2022       (491)     (492
    0.500       01/13/2022       03/07/2022       (1,292)     (1,292
    0.550       12/23/2021       05/04/2022       (4,134)     (4,137
    0.550       12/27/2021       05/04/2022       (594)     (594
    0.670       01/07/2022       07/06/2022       (825)     (825
    0.670       01/07/2022       07/08/2022       (3,828)     (3,830

UBS

    0.350       08/19/2021       TBD (2)      (491)     (491
           

 

 

 

Total Reverse Repurchase Agreements

 

        $     (132,359
           

 

 

 

 

BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY

 

The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral pledged/(received) as of January 31, 2022:

 

Counterparty   Repurchase
Agreement
Proceeds
to be
Received
    Payable for
Reverse
Repurchase
Agreements
    Payable for
Sale-Buyback
Transactions
     Total
Borrowings and
Other Financing
Transactions
    Collateral
Pledged/(Received)
    Net Exposure(3)  

Global/Master Repurchase Agreement

 

BOS

  $ 0     $ (1,902   $ 0      $ (1,902   $ 1,991     $ 89  

BPS

    0       (19,342     0            (19,342     18,878       (464

BRC

    0       (24,665     0        (24,665     28,450       3,785  

BYR

    0       (4,521     0        (4,521     5,245       724  

CDC

    0       (10,574     0        (10,574     8,846       (1,728

FBF

    0       (1,278     0        (1,278     1,496       218  

FICC

    10,050       0       0        10,050           (10,251     (201

IND

    0       (42,444     0        (42,444     37,799           (4,645

JML

    0       (1,633     0        (1,633     1,727       94  

RDR

    0       (2,460     0        (2,460     2,495       35  

SOG

    0       (23,049     0        (23,049     26,436       3,387  

UBS

    0       (491     0        (491     612       121  
 

 

 

   

 

 

   

 

 

        

Total Borrowings and Other Financing Transactions

  $     10,050     $     (132,359   $     0         
 

 

 

   

 

 

   

 

 

        

 

CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS

 

Remaining Contractual Maturity of the Agreements

 

     Overnight and
Continuous
    Up to 30 days     31-90 days     Greater Than 90 days     Total  

Reverse Repurchase Agreements

 

Corporate Bonds & Notes

  $ 0     $ (45,529   $ (56,556   $ (16,987   $ (119,072

Sovereign Issues

    0       0       (492     0       (492
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Borrowings

  $     0     $     (45,529   $     (57,048   $     (16,987   $     (119,564
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Payable for reverse repurchase agreements(4)

 

  $ (119,564
 

 

 

 

 

(n)

Securities with an aggregate market value of $132,319 and cash of $1,674 have been pledged as collateral under the terms of the above master agreements as of January 31, 2022.

 

(1)

The average amount of borrowings outstanding during the period ended January 31, 2022 was $(151,557) at a weighted average interest rate of 0.408%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.

(2)

Open maturity reverse repurchase agreement.

(3)

Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information.

(4)

Unsettled reverse repurchase agreements liability of $(12,795) is outstanding at period end.

 

See Accompanying Notes     SEMIANNUAL REPORT     |     JANUARY 31, 2022     71
    


Table of Contents
Schedule of Investments   PIMCO Income Strategy Fund   (Cont.)    

 

(o)  FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED

 

SWAP AGREEMENTS:

 

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

 

Reference Entity

 

Fixed
Receive Rate

   

Payment
Frequency

   

Maturity
Date

    Implied
Credit Spread at
January 31, 2022(2)
   

Notional
Amount(3)

   

Premiums
Paid/(Received)

    Unrealized
Appreciation/
(Depreciation)
   

Market
Value(4)

    Variation Margin  
  Asset     Liability  

Bombardier, Inc.

    5.000     Quarterly       06/20/2024       3.464     $       300     $ (1   $ 13     $ 12     $ 0     $ 0  

Bombardier, Inc.

    5.000       Quarterly       12/20/2024       3.760         700       (3     30       27       0       0  

Jaguar Land Rover Automotive

    5.000       Quarterly       06/20/2026       4.036       EUR       500       36       (11     25       0       (5

Jaguar Land Rover Automotive

    5.000       Quarterly       12/20/2026       4.209         1,986       76       13       89       0       (22

Rolls-Royce PLC

    1.000       Quarterly       12/20/2025       1.553         7,100       (868     710           (158     0       (24
             

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
        $     (760   $     755     $ (5   $     0     $     (51
       

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

INTEREST RATE SWAPS

 

Pay/Receive
Floating Rate
 

Floating Rate Index

  Fixed Rate    

Payment
Frequency

 

Maturity
Date

   

Notional
Amount

   

Premiums
Paid/(Received)

    Unrealized
Appreciation/
(Depreciation)
   

Market
Value

    Variation Margin  
  Asset     Liability  

Receive(5)

 

1-Day GBP-SONIO Compounded-OIS

    0.750   Annual     03/16/2032       GBP       11,000     $ (85   $ 745     $ 660     $ 67     $ 0  

Receive(5)

 

1-Day GBP-SONIO Compounded-OIS

    0.750     Annual     09/21/2052         500       (3     55       52       11       0  

Receive

 

3-Month USD-LIBOR

    0.250     Semi-Annual     12/18/2022       $       25,500       12       112       124       5       0  

Pay

 

3-Month USD-LIBOR

    2.750     Semi-Annual     06/17/2025         43,420       2,555       (736     1,819       12       0  

Pay

 

3-Month USD-LIBOR

    2.250     Semi-Annual     06/15/2026         15,300       723       (296     427       7       0  

Receive

 

3-Month USD-LIBOR

    1.350     Semi-Annual     01/20/2027         4,900       0       77       77       0       (4

Pay

 

3-Month USD-LIBOR

    1.550     Semi-Annual     01/20/2027         21,600       (75     (58     (133     16       0  

Receive(5)

 

3-Month USD-LIBOR

    1.360     Semi-Annual     02/15/2027         2,730       0       45       45       0       (2

Receive(5)

 

3-Month USD-LIBOR

    1.450     Semi-Annual     02/17/2027         4,500       0       56       56       0       (4

Pay

 

3-Month USD-LIBOR

    2.500     Semi-Annual     12/20/2027         28,100       200       1,080       1,280       20       0  

Receive

 

3-Month USD-LIBOR

    1.420     Semi-Annual     08/17/2028         15,100       0       234       234       0       (11

Receive

 

3-Month USD-LIBOR

    1.380     Semi-Annual     08/24/2028         16,100       0       299       299       0       (12

Pay

 

3-Month USD-LIBOR

    3.000     Semi-Annual     06/19/2029         49,900       2,148       2,195       4,343       36       0  

Receive

 

3-Month USD-LIBOR

    1.160     Semi-Annual     04/12/2031         1,400       0       78       78       0       (1

Pay

 

3-Month USD-LIBOR

    1.380     Semi-Annual     04/12/2031         7,000       (19     (235     (254     3       0  

Receive

 

3-Month USD-LIBOR

    0.750     Semi-Annual     06/16/2031         36,300       3,000       405       3,405       0       (2

Receive

 

3-Month USD-LIBOR

    1.750     Semi-Annual     12/15/2031         20,100       (319     454       135       0       0  

Pay

 

3-Month USD-LIBOR

    3.500     Semi-Annual     06/19/2044         83,100           (2,711     26,406       23,695       0       (57

Receive

 

3-Month USD-LIBOR

    2.000     Semi-Annual     01/15/2050         3,200       (23     0       (23     10       0  

Receive

 

3-Month USD-LIBOR

    1.750     Semi-Annual     01/22/2050         8,400       (20     429       409       28       0  

Receive

 

3-Month USD-LIBOR

    1.875     Semi-Annual     02/07/2050         8,800       (34     145       111       29       0  

Receive

 

3-Month USD-LIBOR

    2.250     Semi-Annual     03/12/2050         1,700       (5     (115     (120     6       0  

Receive

 

3-Month USD-LIBOR

    1.150     Semi-Annual     12/11/2050         91,100       52       16,481       16,533       45       0  

Pay

 

6-Month AUD-BBR-BBSW

    3.500     Semi-Annual     06/17/2025       AUD       3,900       97       82       179       11       0  

Receive

 

6-Month EUR-EURIBOR

    0.150     Annual     03/18/2030       EUR       3,400       62       96       158       18       0  

Receive(5)

 

6-Month EUR-EURIBOR

    0.250     Annual     03/16/2032         3,600       (69     156       87       21       0  
             

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
    $ 5,486     $ 48,190     $ 53,676     $ 345     $ (93
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Swap Agreements

 

    $     4,726     $     48,945     $     53,671     $     345     $     (144
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED SUMMARY

 

The following is a summary of the market value and variation margin of Exchange-Traded or Centrally Cleared Financial Derivative Instruments as of January 31, 2022:

 

    Financial Derivative Assets           Financial Derivative Liabilities  
    Market Value     Variation Margin
Asset
   

Total

          Market Value     Variation Margin
Liability
   

Total

 
     Purchased
Options
    Futures     Swap
Agreements
          Written
Options
    Futures     Swap
Agreements
 

Total Exchange-Traded or Centrally Cleared

  $     0     $     0     $     345     $     345       $     0     $     0     $     (144)     $     (144)  
 

 

 

   

 

 

   

 

 

   

 

 

     

 

 

   

 

 

   

 

 

   

 

 

 

 

(p)

Securities with an aggregate market value of $2,501 and cash of $11,425 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of January 31, 2022. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information.

 

(1)

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

 

       
72   PIMCO CLOSED-END FUNDS      See Accompanying Notes  


Table of Contents
      January 31, 2022   (Unaudited)

 

(2)

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

(3)

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

(4)

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

(5)

This instrument has a forward starting effective date. See Note 2, Securities Transactions and Investment Income, in the Notes to Financial Statements for further information.

 

(q)  FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER

 

FORWARD FOREIGN CURRENCY CONTRACTS:

 

Counterparty

   Settlement
Month
   

Currency to
be Delivered

   

Currency to
be Received

    Unrealized Appreciation/
(Depreciation)
 
  Asset     Liability  

BOA

     02/2022     CAD     734     $     586     $ 9     $ 0  
     06/2022     PEN     812         194       0       (14

BPS

     02/2022     EUR     4,864         5,563       98       0  
     02/2022     $     1,430     EUR     1,265       0       (9
     02/2022         915     GBP     676       0       (5
     10/2022         568     PEN     2,318       21       0  

CBK

     02/2022     PEN     1,266     $     310       0       (19
     02/2022     $     294     PEN     1,134       1       0  
     03/2022         16     RUB     1,194       0       (1
     04/2022     PEN     1,070     $     266       0       (10
     08/2022         690         171       0       (6
     10/2022         1,134         287       0       (1
     12/2022     $     324     PEN     1,357       19       0  

GLM

     04/2022         2     RUB     187       0       0  

HUS

     02/2022         584     EUR     516       0       (4
     02/2022         9     RUB     630       0       (1
     03/2022         3         257       0       0  

SCX

     02/2022     EUR     40,711     $     46,323       586       0  
     02/2022     GBP     18,711         25,341       177       0  
     03/2022     EUR     43,794         49,120       0       (108
     03/2022     GBP     18,035         24,192       0       (59
     04/2022     $     15     RUB     1,202       0       0  

TOR

     03/2022         127     MXN     2,689       3       0  
            

 

 

   

 

 

 

Total Forward Foreign Currency Contracts

 

          $     914     $     (237
         

 

 

   

 

 

 

 

SWAP AGREEMENTS:

 

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

 

Counterparty

 

Reference Entity

 

Fixed
Receive Rate

   

Payment
Frequency

 

Maturity
Date

    Implied
Credit Spread at
January 31, 2022(2)
   

Notional
Amount(3)

   

Premiums
Paid/(Received)

    Unrealized
Appreciation/
(Depreciation)
    Swap Agreements,
at Value(4)
 
  Asset     Liability  
BPS  

Petrobras Global Finance BV

    1.000   Quarterly     12/20/2024       1.817   $     500     $ (98   $ 87     $ 0     $ (11
GST  

Petrobras Global Finance BV

    1.000     Quarterly     12/20/2024       1.817       700       (139     124       0       (15
HUS  

Petrobras Global Finance BV

    1.000     Quarterly     12/20/2024       1.817       800       (166     149       0       (17
             

 

 

   

 

 

   

 

 

   

 

 

 
          $     (403   $     360     $     0     $     (43
         

 

 

   

 

 

   

 

 

   

 

 

 

 

INTEREST RATE SWAPS

 

Counterparty   Pay/Receive
Floating Rate
  Floating Rate Index   Fixed Rate     Payment
Frequency
    Maturity
Date
  Notional
Amount
    Premiums
Paid/(Received)
    Unrealized
Appreciation/
(Depreciation)
    Swap Agreements,
at Value
 
  Asset     Liability  
GLM  

Pay

 

3-Month  USD-LIBOR

    1.700     Semi-Annual     02/17/2027   $     18,000     $ (4   $ 14     $ 10     $ 0  
MYC  

Pay

 

3-Month  USD-LIBOR

    1.600       Semi-Annual     02/15/2027     10,900       (2     (23     0       (25
             

 

 

   

 

 

   

 

 

   

 

 

 
    $ (6   $ (9   $ 10     $ (25
             

 

 

   

 

 

   

 

 

   

 

 

 

Total Swap Agreements

    $     (409   $     351     $     10     $     (68
             

 

 

   

 

 

   

 

 

   

 

 

 

 

See Accompanying Notes     SEMIANNUAL REPORT     |     JANUARY 31, 2022     73
    


Table of Contents
Schedule of Investments   PIMCO Income Strategy Fund   (Cont.)    

 

FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER SUMMARY

 

The following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral pledged/(received) as of January 31, 2022:

 

    Financial Derivative Assets           Financial Derivative Liabilities                    
Counterparty   Forward
Foreign
Currency
Contracts
     Purchased
Options
     Swap
Agreements
     Total
Over the
Counter
           Forward
Foreign
Currency
Contracts
    Written
Options
     Swap
Agreements
    Total
Over the
Counter
    Net Market
Value of OTC
Derivatives
    Collateral
Pledged/
(Received)
    Net
Exposure(5)
 

BOA

  $ 9      $ 0      $ 0      $ 9       $ (14   $ 0      $ 0     $ (14   $ (5   $ 0     $ (5

BPS

    119        0        0        119         (14     0        (11     (25     94       0       94  

CBK

    20        0        0        20         (37     0        0       (37     (17     0       (17

GLM

    0        0        10        10         0       0        0       0       10       0       10  

GST

    0        0        0        0         0       0        (15     (15     (15     78       63  

HUS

    0        0        0        0         (5     0        (17     (22     (22     0       (22

MYC

    0        0        0        0         0       0        (25     (25     (25     0       (25

SCX

    763        0        0        763         (167     0        0       (167         596           (1,190         (594

TOR

    3        0        0        3         0       0        0       0       3       0       3  
 

 

 

    

 

 

    

 

 

    

 

 

     

 

 

   

 

 

    

 

 

   

 

 

       

Total Over the Counter

  $     914      $     0      $     10      $     924       $     (237   $     0      $     (68   $     (305      
 

 

 

    

 

 

    

 

 

    

 

 

     

 

 

   

 

 

    

 

 

   

 

 

       

 

(r)

Securities with an aggregate market value of $78 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of January 31, 2022.

 

(1)

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

(2)

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

(3)

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

(4)

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

(5)

Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information.

 

FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS

 

The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal and Other Risks, in the Notes to Financial Statements on risks of the Fund.

 

Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of January 31, 2022:

 

    Derivatives not accounted for as hedging instruments  
     Commodity
Contracts
    Credit
Contracts
    Equity
Contracts
    Foreign
Exchange
Contracts
    Interest
Rate Contracts
    Total  

Financial Derivative Instruments - Assets

 

Exchange-traded or centrally cleared

 

Swap Agreements

  $ 0     $ 0     $ 0     $ 0     $ 345     $ 345  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Over the counter

 

Forward Foreign Currency Contracts

  $ 0     $ 0     $ 0     $ 914     $ 0     $ 914  

Swap Agreements

    0       0       0       0       10       10  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 0     $ 0     $ 914     $ 10     $ 924  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 0     $ 0     $ 914     $ 355     $     1,269  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Financial Derivative Instruments - Liabilities

 

Exchange-traded or centrally cleared

 

Swap Agreements

  $ 0     $ 51     $ 0     $ 0     $ 93     $ 144  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Over the counter

 

Forward Foreign Currency Contracts

  $ 0     $ 0     $ 0     $ 237     $ 0     $ 237  

Swap Agreements

    0       43       0       0       25       68  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 43     $ 0     $ 237     $ 25     $ 305  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $     0     $     94     $     0     $     237     $     118     $     449  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

       
74   PIMCO CLOSED-END FUNDS      See Accompanying Notes  


Table of Contents
      January 31, 2022   (Unaudited)

 

The effect of Financial Derivative Instruments on the Statements of Operations for the period ended January 31, 2022:

 

    Derivatives not accounted for as hedging instruments  
     Commodity
Contracts
    Credit
Contracts
    Equity
Contracts
    Foreign
Exchange
Contracts
    Interest
Rate Contracts
    Total  

Net Realized Gain on Financial Derivative Instruments

 

Exchange-traded or centrally cleared

 

Swap Agreements

  $ 0     $ 137     $ 0     $ 0     $ 2,272     $ 2,409  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Over the counter

 

Forward Foreign Currency Contracts

  $ 0     $ 0     $ 0     $ 2,011     $ 0     $ 2,011  

Swap Agreements

    0       10       0       0       530       540  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 10     $ 0     $ 2,011     $ 530     $ 2,551  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 147     $ 0     $     2,011     $ 2,802     $ 4,960  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative Instruments

 

Exchange-traded or centrally cleared

 

Swap Agreements

  $ 0     $ 270     $ 0     $ 0     $ (2,918   $ (2,648
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Over the counter

 

Forward Foreign Currency Contracts

  $ 0     $ 0     $ 0     $ 816     $ 0     $ 816  

Swap Agreements

    0       (8     0       0       (548     (556
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ (8   $ 0     $ 816     $ (548   $ 260  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $     0     $     262     $     0     $ 816     $     (3,466   $     (2,388
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

FAIR VALUE MEASUREMENTS

 

The following is a summary of the fair valuations according to the inputs used as of January 31, 2022 in valuing the Fund’s assets and liabilities:

 

Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
01/31/2022
 

Investments in Securities, at Value

 

Loan Participations and Assignments

  $ 0     $ 74,705     $     16,828     $ 91,533  

Corporate Bonds & Notes

 

Banking & Finance

    0       60,220       0       60,220  

Industrials

    0           155,581       5,587           161,168  

Utilities

    0       29,359       0       29,359  

Convertible Bonds & Notes

 

Industrials

    0       1,493       0       1,493  

Municipal Bonds & Notes

 

Illinois

    0       5,881       0       5,881  

Puerto Rico

    0       1,625       0       1,625  

Virginia

    0       384       0       384  

West Virginia

    0       2,334       0       2,334  

U.S. Government Agencies

    0       4,968       2,402       7,370  

Non-Agency Mortgage-Backed Securities

    0       23,947       0       23,947  

Asset-Backed Securities

    0       27,715       3,346       31,061  

Sovereign Issues

    0       9,470       0       9,470  

Common Stocks

 

Communication Services

        2,056       0       877       2,933  

Energy

    301       0       18       319  

Industrials

    0       20       5,777       5,797  

Materials

    0       0       391       391  

Warrants

 

Industrials

    0       0       155       155  

Information Technology

    0       0       6,740       6,740  

Preferred Securities

 

Banking & Finance

    0       13,660       0       13,660  

Industrials

    0       125       14,386       14,511  
Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
01/31/2022
 

Real Estate Investment Trusts

 

Real Estate

  $ 7,679     $ 0     $ 0     $ 7,679  

Short-Term Instruments

 

Repurchase Agreements

    0       10,050       0       10,050  

Argentina Treasury Bills

    0       63       0       63  

U.S. Treasury Bills

    0       33,270       0       33,270  

U.S. Treasury Cash Management Bills

    0       2,399       0       2,399  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

  $ 10,036     $ 457,269     $ 56,507     $ 523,812  
 

 

 

   

 

 

   

 

 

   

 

 

 

Financial Derivative Instruments - Assets

 

Exchange-traded or centrally cleared

    0       345       0       345  

Over the counter

    0       924       0       924  
 

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 1,269     $ 0     $ 1,269  
 

 

 

   

 

 

   

 

 

   

 

 

 

Financial Derivative Instruments - Liabilities

 

Exchange-traded or centrally cleared

    0       (144     0       (144

Over the counter

    0       (305     0       (305
 

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ (449   $ 0     $ (449
 

 

 

   

 

 

   

 

 

   

 

 

 

Total Financial Derivative Instruments

  $ 0     $ 820     $ 0     $ 820  
 

 

 

   

 

 

   

 

 

   

 

 

 

Totals

  $     10,036     $     458,089     $     56,507     $     524,632  
 

 

 

   

 

 

   

 

 

   

 

 

 
 

 

See Accompanying Notes     SEMIANNUAL REPORT     |     JANUARY 31, 2022     75
    


Table of Contents
Schedule of Investments   PIMCO Income Strategy Fund   (Cont.)   January 31, 2022   (Unaudited)

 

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended January 31, 2022:

 

Category and Subcategory   Beginning
Balance
at 07/31/2021
    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 01/31/2022
    Net Change in
Unrealized
Appreciation/
(Depreciation)
on Investments
Held  at
01/31/2022(1)
 

Investments in Securities, at Value

 

Loan Participations and Assignments

  $ 16,013     $ 10,732     $ (5,550   $ (1   $ 36     $ 58     $ 0     $ (4,460   $ 16,828     $ (7

Corporate Bonds & Notes

 

Industrials

    0       0       0       0       0       0       5,587       0       5,587       0  

U.S. Government Agencies

    2,415       0       (28     5       9       1       0       0       2,402       0  

Asset-Backed Securities

    4,386       0       0       24       0       (780     0       (284     3,346       (735

Common Stocks

 

Communication Services

    1,126       0       0       0       0       (249     0       0       877       (248

Energy

    19       0       0       0       0       (1     0       0       18       0  

Industrials

    4,384       0       0       0       0       1,393       0       0       5,777       1,393  

Materials(2)

    396       0       0       0       0       (5     0       0       391       (5

Warrants

 

Industrials

    248       0       0       0       0       (93     0       0       155       (93

Information Technology

    6,071       0       0       0       0       669       0       0       6,740       669  

Preferred Securities

 

Industrials

    13,020       0       0       0       0       1,366       0       0       14,386       1,751  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Totals

  $     48,078     $     10,732     $     (5,578   $     28     $     45     $     2,359     $     5,587     $     (4,744   $     56,507     $     2,725  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

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:

 

Category and Subcategory   Ending
Balance
at 01/31/2022
    Valuation
Technique
  Unobservable
Inputs
         (% Unless Noted Otherwise)  
  Input Value(s)     Weighted
Average
 

Investments in Securities, at Value

 

Loan Participations and Assignments

  $ 8,109     Proxy Pricing     Base Price         97.500-99.491       98.524  
    4,066     Reference Instrument     Yield       5.840       —    
    616     Third Party Vendor     Broker Quote         62.500-100.125       98.588  
    4,037     Waterfall Recoverability     Recovery Value         100.000       —    

Corporate Bonds & Notes

           

Industrials

    5,587     Reference Instrument     Weighted Average     BRL        50.376       —    

U.S. Government Agencies

    2,402     Proxy Pricing     Base Price         61.520       —    

Asset-Backed Securities

    3,346     Proxy Pricing     Base Price         19.190-85,000.000       43,652.559  

Common Stocks

 

Communication Services

    877     Reference Instrument     Liquidity Discount         10.000       —    

Energy

    18     Other Valuation Techniques(3)     —           —         —    

Industrials

    5,777     Discounted Cash Flow     Discount Rate         10.500       —    

Materials

    391     Other Valuation Techniques(3)     —           —         —    

Warrants

 

            

Industrials

    155     Other Valuation Techniques(3)     —           —         —    

Information Technology

    6,740     Comparable Company     EBITDA Multiple     X      4.400       —    

Preferred Securities

 

Industrials

    13,396     Comparable Company     EBITDA Multiple     X/X      11.300/8.800       —    
    990     Comparable Company/
Dicscount cash Flow
   
Book Value Multiple/
Discount Rate

 
  X/%      0.280/19.970       —    
 

 

 

           

Total

  $     56,507            
 

 

 

           

 

(1)

Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at January 31, 2022 may be due to an investment no longer held or categorized as Level 3 at period end.

(2)

Sector type updated from Financials to Materials since prior fiscal year end.

(3)

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

 

       
76   PIMCO CLOSED-END FUNDS      See Accompanying Notes  


Table of Contents
Schedule of Investments   PIMCO Income Strategy Fund II          January 31, 2022   (Unaudited)

 

(Amounts in thousands*, except number of shares, contracts, units and ounces, if any)

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
INVESTMENTS IN SECURITIES 139.2%

 

LOAN PARTICIPATIONS AND ASSIGNMENTS 23.3%

 

AAdvantage Loyalty IP Ltd.

 

5.500% (LIBOR03M + 4.750%) due 04/20/2028 ~

  $     900     $     936  

AP Core Holdings II LLC

 

6.250% (LIBOR03M + 5.500%) due 09/01/2027 ~

      10,811         10,906  

Caesars Resort Collection LLC

 

2.855% (LIBOR03M + 2.750%) due 12/23/2024 ~

      11,520           11,472  

Carnival Corp.

 

3.750% (EUR003M + 3.750%) due 06/30/2025 ~

  EUR     2,288         2,568  

4.000% (LIBOR03M + 3.250%) due 10/18/2028 ~

  $     1,118         1,110  

Clear Channel Outdoor Holdings, Inc.

 

3.605% - 3.799% (LIBOR03M + 3.500%) due 08/21/2026 ~

      3,780         3,734  

DEI Sales, Inc.

 

6.250% (LIBOR03M + 5.500%) due 04/28/2028 ~

      5,036         5,030  

Emerald TopCo, Inc.

 

3.605% - 3.799% (LIBOR03M + 3.500%) due 07/24/2026 ~

      111         111  

Envision Healthcare Corp.

 

3.840% - 3.855% (LIBOR03M + 3.750%) due 10/10/2025 ~

      23,454         18,244  

Fly Funding SARL

 

7.000% (LIBOR03M + 6.000%) due 10/08/2025 ~

      4,761         4,776  

Forbes Energy Services LLC (7.000% PIK)

 

7.000% due 06/30/2022 «(d)

      315         0  

Frontier Communications Corp.

 

4.500% (LIBOR03M + 3.750%) due 05/01/2028 ~

      2,163         2,164  

Gateway Casinos & Entertainment Ltd.

 

8.750% (LIBOR03M + 8.000%) due 10/15/2027 ~

      6,812         6,825  

8.750% due 10/18/2027 «

  CAD     1,486         1,171  

Intelsat Jackson Holdings SA

 

TBD% (LIBOR03M + 4.750%) due 10/13/2022 ~

  $     1,386         1,385  

TBD% due 02/01/2029

      5,076         5,068  

Lealand Finance Co. BV

 

1.104% (LIBOR03M + 1.000%) due 06/30/2025 ~(d)

      782         375  

3.104% (LIBOR03M + 3.000%) due 06/28/2024 «~

      88         55  

Mavenir Systems, Inc.

 

5.250% (LIBOR03M + 4.750%) due 08/18/2028 ~

      2,700         2,701  

MPH Acquisition Holdings LLC

 

4.750% (LIBOR03M + 4.250%) due 08/17/2028 ~

      6,983         6,792  

Promotora de Informaciones SA

 

4.500% (EUR003M + 4.500%) due 11/30/2022 ~

  EUR     6,136         6,721  

PUG LLC

 

3.605% (LIBOR03M + 3.500%) due 02/12/2027 ~

  $     5,535         5,503  

Redstone Buyer LLC

 

5.500% (LIBOR03M + 4.750%) due 04/27/2028 ~

      3,331         3,104  

Rising Tide Holdings, Inc.

 

5.500% (LIBOR03M + 4.750%) due 06/01/2028 ~

      1,095         1,093  

Sasol Ltd.

 

TBD% (LIBOR03M + 1.600%) due 11/23/2022 «~µ

      4,745         4,600  

Sequa Mezzanine Holdings LLC

 

11.750% (LIBOR03M + 10.750%) due 04/28/2024 ~

      94         94  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

SkyMiles IP Ltd.

 

4.750% (LIBOR03M + 3.750%) due 10/20/2027 ~

  $     400     $     423  

Steenbok Lux Finco 2 SARL (10.750% PIK)

 

10.750% (EUR003M) due 12/29/2022 ~(d)

  EUR     13,187         12,429  

Syniverse Holdings, Inc.

       

6.000% (LIBOR03M + 5.000%) due 03/09/2023 ~

  $     14,815         14,799  

10.000% (LIBOR03M + 9.000%) due 03/11/2024 ~

      1,584         1,582  

Team Health Holdings, Inc.

 

3.750% (LIBOR03M + 2.750%) due 02/06/2024 ~

      9,742         9,398  

Telemar Norte Leste SA

 

1.750% (LIBOR03M + 1.750%) due 02/26/2035 «~

      8,757         3,371  

TK Elevator Topco GmbH

 

3.625% (EUR003M + 3.625%) due 07/29/2027 ~

  EUR     1,600         1,795  

U.S. Renal Care, Inc.

 

6.500% (LIBOR03M + 5.500%) due 06/26/2026 ~

  $     4,289         4,270  

Univision Communications, Inc.

 

3.750% (LIBOR03M + 2.750%) due 03/15/2024 ~

      3,715         3,714  

Westmoreland Mining Holdings LLC (15.000% PIK)

 

15.000% due 03/15/2029 (d)

      4,690         1,454  

Windstream Services LLC

 

7.250% (LIBOR03M + 6.250%) due 09/21/2027 ~

      2,806         2,817  
       

 

 

 

Total Loan Participations and Assignments (Cost $171,542)

      162,590  
       

 

 

 
CORPORATE BONDS & NOTES 67.5%

 

BANKING & FINANCE 18.0%

 

Ally Financial, Inc.

 

8.000% due 11/01/2031 (n)

      974         1,297  

Apollo Commercial Real Estate Finance, Inc.

 

4.625% due 06/15/2029 (n)

      4,800         4,580  

Banca Monte dei Paschi di Siena SpA

 

1.875% due 01/09/2026

  EUR     2,800         2,999  

2.625% due 04/28/2025

      6,685         7,396  

3.625% due 09/24/2024

      1,200         1,349  

5.375% due 01/18/2028 •

      2,100         1,803  

8.000% due 01/22/2030 •

      2,102         1,889  

8.500% due 09/10/2030 •

      1,000         915  

10.500% due 07/23/2029 (n)

      1,541         1,530  

Banco de Credito del Peru

 

4.650% due 09/17/2024

  PEN     800         201  

Barclays PLC

 

6.125% due 12/15/2025 •(j)(k)

  $     2,115         2,252  

7.125% due 06/15/2025 •(j)(k)

  GBP     1,200         1,749  

7.750% due 09/15/2023 •(j)(k)

  $     1,000         1,065  

7.875% due 09/15/2022 •(j)(k)

  GBP     415         577  

8.000% due 06/15/2024 •(j)(k)

  $     400         437  

Corsair International Ltd.

 

4.850% due 01/28/2027 «•

  EUR     1,000         1,109  

Cosaint Re Pte Ltd.

 

9.415% (T-BILL 1MO + 9.250%) due 04/03/2028 ~

  $     900         923  

Credit Agricole SA

 

7.875% due 01/23/2024 •(j)(k)

      300         326  

Credit Suisse Group AG

 

7.500% due 07/17/2023 •(j)(k)

      200         209  

7.500% due 12/11/2023 •(j)(k)(n)

    1,463         1,563  

7.500% due 12/11/2023 •(j)(k)

      5,780         6,176  

Fortress Transportation & Infrastructure Investors LLC

 

6.500% due 10/01/2025

      377         388  

GSPA Monetization Trust

 

6.422% due 10/09/2029

      2,887         3,014  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

HSBC Holdings PLC

 

5.875% due 09/28/2026 •(j)(k)(n)

  GBP     200     $     282  

6.000% due 09/29/2023 •(j)(k)(n)

  EUR     2,070         2,492  

6.500% due 03/23/2028 •(j)(k)(n)

  $     300         323  

Intelsat Jackson Holdings SA

 

6.500% due 03/15/2030 «

      17,148         16,719  

Lloyds Banking Group PLC

 

7.500% due 09/27/2025 •(j)(k)

      5,999         6,657  

7.625% due 06/27/2023 •(j)(k)

  GBP     2,300         3,277  

7.875% due 06/27/2029 •(j)(k)

      6,518         10,646  

Natwest Group PLC

 

6.000% due 12/29/2025 •(j)(k)

  $     2,400         2,533  

8.000% due 08/10/2025 •(j)(k)

      5,990         6,756  

Newmark Group, Inc.

 

6.125% due 11/15/2023

      62         66  

OneMain Finance Corp.

 

6.125% due 03/15/2024

      134         141  

Oxford Finance LLC

 

6.375% due 02/01/2027 (c)

      2,500         2,557  

PRA Group, Inc.

 

7.375% due 09/01/2025 (n)

      2,000         2,123  

Santander U.K. Group Holdings PLC

 

6.750% due 06/24/2024 •(j)(k)

  GBP     2,025         2,890  

Societe Generale SA

 

6.750% due 04/06/2028 •(j)(k)

  $     200         214  

7.375% due 10/04/2023 •(j)(k)(n)

      600         633  

Starwood Property Trust, Inc.

 

4.375% due 01/15/2027

      1,300         1,298  

Tesco Property Finance PLC

 

5.411% due 07/13/2044

  GBP     611         1,005  

6.052% due 10/13/2039 (n)

      2,189         3,683  

UBS Group AG

 

4.875% due 02/12/2027 •(j)(k)

  $     2,800         2,803  

Unique Pub Finance Co. PLC

 

5.659% due 06/30/2027

  GBP     408         607  

Uniti Group LP

 

6.000% due 01/15/2030 (n)

  $     6,865         6,290  

Voyager Aviation Holdings LLC

 

8.500% due 05/09/2026

      8,297         7,737  
       

 

 

 
            125,479  
       

 

 

 
INDUSTRIALS 41.0%

 

Altice Financing SA

 

4.250% due 08/15/2029

  EUR     1,547         1,637  

5.750% due 08/15/2029 (n)

  $     3,239         3,032  

Arches Buyer, Inc.

 

4.250% due 06/01/2028 (n)

      1,500         1,420  

Associated Materials LLC

 

9.000% due 09/01/2025

      304         321  

Boeing Co.

 

5.705% due 05/01/2040 (n)

      860         1,037  

5.805% due 05/01/2050 (n)

      1,116         1,406  

5.930% due 05/01/2060 (n)

      1,036         1,317  

6.125% due 02/15/2033 (n)

      1,755         2,137  

Bombardier, Inc.

 

7.500% due 12/01/2024 (n)

      3,302         3,422  

7.500% due 03/15/2025 (n)

      7,700         7,810  

Broadcom, Inc.

 

3.187% due 11/15/2036 (n)

      76         72  

3.500% due 02/15/2041 (n)

      2,700         2,569  

3.750% due 02/15/2051 (n)

      1,100         1,062  

4.150% due 11/15/2030 (n)

      556         592  

CGG SA

 

7.750% due 04/01/2027

  EUR     2,600         2,956  

8.750% due 04/01/2027 (n)

  $     3,656         3,661  

Charter Communications Operating LLC

 

3.700% due 04/01/2051

      200         177  

3.850% due 04/01/2061

      400         345  

3.900% due 06/01/2052 (n)

      5,900         5,415  

4.400% due 12/01/2061 (n)

      5,200         4,933  

CommScope, Inc.

 

8.250% due 03/01/2027

      4,700         4,606  
 

 

See Accompanying Notes     SEMIANNUAL REPORT     |     JANUARY 31, 2022     77
    


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

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Community Health Systems, Inc.

 

5.250% due 05/15/2030 (c)

  $     6,000     $     5,985  

6.625% due 02/15/2025

      4,788         4,958  

8.000% due 03/15/2026 (n)

      494         515  

CVS Pass-Through Trust

 

7.507% due 01/10/2032 (n)

      733         888  

Delta Air Lines, Inc.

 

7.375% due 01/15/2026 (n)

      508         579  

DISH DBS Corp.

 

5.250% due 12/01/2026 (n)

      1,840         1,788  

5.750% due 12/01/2028 (n)

      2,920         2,800  

Envision Healthcare Corp.

 

8.750% due 10/15/2026 (n)

      4,556         2,377  

Exela Intermediate LLC

 

11.500% due 07/15/2026

      88         55  

Ferroglobe PLC

 

9.375% due 12/31/2025 (l)

      1,700         1,768  

Fertitta Entertainment LLC

 

6.750% due 01/15/2030

      2,300         2,239  

First Quantum Minerals Ltd.

 

6.500% due 03/01/2024 (n)

      1,252         1,268  

6.875% due 03/01/2026 (n)

      1,000         1,034  

Ford Motor Co.

 

7.700% due 05/15/2097 (n)

      9,770         12,927  

Fresh Market, Inc.

 

9.750% due 05/01/2023 (n)

      7,590         7,752  

Frontier Communications Holdings LLC

 

6.000% due 01/15/2030 (n)

      1,745         1,687  

HCA, Inc.

 

7.500% due 11/15/2095 (n)

      1,200         1,548  

Hertz Corp.

 

5.000% due 12/01/2029

      2,900         2,797  

Intelsat Connect Finance SA

 

9.500% due 02/15/2023 ^(e)

      52         8  

Intelsat Jackson Holdings SA

 

5.500% due 08/01/2023 ^(e)

      3,453         1,511  

8.000% due 02/15/2024

      11         11  

8.500% due 10/15/2024 ^(e)

      11,500         5,190  

9.750% due 07/15/2025 ^(e)

      9,438         4,180  

Intelsat Luxembourg SA

 

8.125% due 06/01/2023 ^(e)

      7,535         47  

Inter Media & Communication SpA

 

6.750% due 02/09/2027 (c)

  EUR     3,000         3,378  

Lindblad Expeditions LLC

 

6.750% due 02/15/2027 (c)

  $     1,280         1,293  

Melco Resorts Finance Ltd.

 

5.750% due 07/21/2028 (n)

      1,900         1,827  

Minerva Merger Sub, Inc.

 

6.500% due 02/15/2030 (c)

      8,000         7,993  

NCL Corp. Ltd.

 

10.250% due 02/01/2026 (n)

      2,499         2,833  

12.250% due 05/15/2024 (n)

      2,236         2,607  

New Albertsons LP

 

6.570% due 02/23/2028

      6,800         7,546  

Nissan Motor Co. Ltd.

 

4.810% due 09/17/2030 (n)

      10,500           11,385  

Noble Corp. PLC (11.000% Cash or 15.000% PIK)

 

11.000% due 02/15/2028 (d)

      1,387         1,543  

Odebrecht Oil & Gas Finance Ltd.

 

0.000% due 03/03/2022 (h)(j)

      1,101         6  

Oi Movel SA

 

8.750% due 07/30/2026

      6,650         6,783  

Ortho-Clinical Diagnostics, Inc.

 

7.375% due 06/01/2025

      131         137  

Petroleos Mexicanos

 

2.750% due 04/21/2027

  EUR     4,476         4,676  

4.875% due 02/21/2028

      318         358  

5.950% due 01/28/2031 (n)

  $     2,567         2,446  

6.700% due 02/16/2032 (n)

      4,320         4,284  

6.750% due 09/21/2047 (n)

      4,224         3,631  

6.950% due 01/28/2060

      320         275  

7.690% due 01/23/2050 (n)

      2,320         2,153  

Platin 1426 GmbH

 

6.875% due 06/15/2023

  EUR     400         449  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

QVC, Inc.

 

5.950% due 03/15/2043 (n)

  $     2,324     $     2,118  

Rolls-Royce PLC

 

3.625% due 10/14/2025 (n)

      1,500         1,475  

Russian Railways Via RZD Capital PLC

 

7.487% due 03/25/2031 (n)

  GBP     1,300         2,177  

Sands China Ltd.

 

5.400% due 08/08/2028 (n)

  $     5,811         6,003  

Spirit AeroSystems, Inc.

 

3.950% due 06/15/2023 (n)

      3,142         3,153  

Studio City Finance Ltd.

 

6.000% due 07/15/2025

      2,100         1,980  

6.500% due 01/15/2028 (n)

      2,100         1,968  

Topaz Solar Farms LLC

 

4.875% due 09/30/2039

      2,020         2,262  

5.750% due 09/30/2039 (n)

      11,837         13,762  

Transocean Pontus Ltd.

 

6.125% due 08/01/2025 (n)

      2,703         2,668  

Transocean, Inc.

       

7.250% due 11/01/2025

      74         58  

7.500% due 01/15/2026

      69         53  

8.000% due 02/01/2027

      134         101  

Triumph Group, Inc.

 

6.250% due 09/15/2024

      70         70  

U.S. Renal Care, Inc.

 

10.625% due 07/15/2027 (n)

      3,544         3,619  

Unigel Luxembourg SA

 

8.750% due 10/01/2026

      400         425  

United Airlines, Inc.

 

4.375% due 04/15/2026 (n)

      2,100         2,088  

United Group BV

 

4.875% due 07/01/2024

  EUR     100         113  

Univision Communications, Inc.

 

5.125% due 02/15/2025 (n)

  $     571         576  

Valaris Ltd. (8.250% Cash or 12.000% PIK)

 

8.250% due 04/30/2028 (d)

      5,271         5,489  

Vale Overseas Ltd.

       

6.875% due 11/21/2036 (n)

      53         68  

6.875% due 11/10/2039

      41         53  

Vale SA

 

2.762% due 12/29/2049 «~(j)

  BRL     110,000         10,244  

Veritas U.S., Inc.

 

7.500% due 09/01/2025 (n)

  $     1,123         1,147  

Viking Cruises Ltd.

 

13.000% due 05/15/2025 (n)

      6,375         7,131  

VOC Escrow Ltd.

 

5.000% due 02/15/2028 (n)

      2,200         2,140  

Windstream Escrow LLC

 

7.750% due 08/15/2028

      8,528         8,614  

Wolverine Escrow LLC

 

8.500% due 11/15/2024

      11,725         10,216  

9.000% due 11/15/2026 (n)

      8,784         7,702  

Wynn Las Vegas LLC

 

5.500% due 03/01/2025 (n)

      3,800         3,827  

Wynn Macau Ltd.

       

5.125% due 12/15/2029

      200         181  

5.500% due 01/15/2026 (n)

      1,600         1,504  

5.625% due 08/26/2028 (n)

      1,000         916  

ZipRecruiter, Inc.

 

5.000% due 01/15/2030 (n)

      3,100         3,071  
       

 

 

 
            286,414  
       

 

 

 
UTILITIES 8.5%

 

AT&T, Inc.

 

3.850% due 06/01/2060

      1,436         1,407  

DTEK Finance PLC (1.500% Cash and 3.500% PIK)

 

5.000% due 12/31/2027 (d)

      4,246         2,164  

Genesis Energy LP

 

8.000% due 01/15/2027 (n)

      1,937         1,953  

NGD Holdings BV

 

6.750% due 12/31/2026

      396         327  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Northwestern Bell Telephone

 

7.750% due 05/01/2030

  $     12,625     $     15,203  

Odebrecht Drilling Norbe Ltd. (6.350% Cash and 1.000% PIK)

 

7.350% due 12/01/2026 ^(d)

      248         134  

Odebrecht Offshore Drilling Finance Ltd.

 

6.720% due 12/01/2022 ^

      409         405  

Odebrecht Offshore Drilling Finance Ltd. (6.720% Cash and 1.000% PIK)

 

7.720% due 12/01/2026 ^(d)

      8,013         1,673  

Oi S.A. (10.000% Cash or 12.000% PIK)

 

10.000% due 07/27/2025 (d)

      4,000         3,332  

Pacific Gas & Electric Co.

       

3.450% due 07/01/2025

      228         232  

3.750% due 08/15/2042

      22         19  

4.000% due 12/01/2046

      8         7  

4.300% due 03/15/2045

      27         25  

4.450% due 04/15/2042 (n)

      535         516  

4.500% due 07/01/2040 (n)

      2,873         2,816  

4.500% due 12/15/2041

      22         21  

4.550% due 07/01/2030 (n)

      3,739         3,896  

4.600% due 06/15/2043

      18         18  

4.750% due 02/15/2044 (n)

      6,295         6,207  

4.950% due 07/01/2050 (n)

      4,703         4,813  

Peru LNG Srl

 

5.375% due 03/22/2030

      7,070         6,122  

Petrobras Global Finance BV

 

6.625% due 01/16/2034

  GBP     100         146  

6.750% due 06/03/2050 (n)

  $     2,175         2,181  

Rio Oil Finance Trust

 

8.200% due 04/06/2028

      228         252  

9.250% due 07/06/2024

      427         456  

9.250% due 07/06/2024 (n)

      890         950  

9.750% due 01/06/2027

      400         454  

Transocean Poseidon Ltd.

 

6.875% due 02/01/2027 (n)

      3,825         3,716  
       

 

 

 
          59,445  
       

 

 

 

Total Corporate Bonds & Notes
(Cost $479,436)

      471,338  
       

 

 

 
CONVERTIBLE BONDS & NOTES 0.5%

 

INDUSTRIALS 0.5%

 

DISH Network Corp.

 

3.375% due 08/15/2026

      3,400         3,173  
       

 

 

 

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

    3,173  
       

 

 

 
MUNICIPAL BONDS & NOTES 2.5%

 

ILLINOIS 0.0%

 

Chicago, Illinois General Obligation Bonds, Series 2015

 

7.750% due 01/01/2042

      56         63  
       

 

 

 
OHIO 1.2%

 

Ohio State University Revenue Bonds, Series 2011

 

4.800% due 06/01/2111

      6,000         8,603  
       

 

 

 
PUERTO RICO 0.5%

 

Commonwealth of Puerto Rico General Obligation Bonds, Series 2014

 

8.000% due 07/01/2035 ^(e)

      3,500         3,159  
       

 

 

 
VIRGINIA 0.1%

 

Tobacco Settlement Financing Corp., Virginia Revenue Bonds, Series 2007

 

6.706% due 06/01/2046

      785         815  
       

 

 

 
 

 

       
78   PIMCO CLOSED-END FUNDS      See Accompanying Notes  


Table of Contents
      January 31, 2022   (Unaudited)

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
WEST VIRGINIA 0.7%

 

Tobacco Settlement Finance Authority, West Virginia Revenue Bonds, Series 2007

 

0.000% due 06/01/2047 (h)

  $     45,700     $     4,871  
       

 

 

 

Total Municipal Bonds & Notes (Cost $12,560)

            17,511  
       

 

 

 
U.S. GOVERNMENT AGENCIES 2.0%

 

Fannie Mae

 

3.500% due 02/25/2042 (a)

      394         35  

4.500% due 11/25/2042 (a)

      1,124         156  

6.142% due 01/25/2040 (a)

      173         26  

Freddie Mac

 

0.000% due 02/25/2046 (b)(h)

      1,182         993  

0.100% due 02/25/2046 (a)

      1,182         0  

0.700% due 11/25/2055 (a)

      34,117         2,758  

3.000% due 02/15/2033 (a)

      1,006         86  

3.500% due 12/15/2032 (a)

      1,439         152  

6.170% due 11/25/2055 «

      8,274         5,090  

7.658% due 12/25/2027

      2,867         3,015  

10.858% due 03/25/2025

      420         429  

11.728% due 09/15/2035

      776         901  

Ginnie Mae

 

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

      234         25  

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

      195         24  
       

 

 

 

Total U.S. Government Agencies (Cost $13,957)

    13,690  
       

 

 

 
NON-AGENCY MORTGAGE-BACKED SECURITIES 10.9%

 

Alternative Loan Trust

 

2.750% due 04/25/2036 ^~

      450         406  

5.500% due 03/25/2035

      212         127  

5.500% due 01/25/2036

      325         255  

5.750% due 01/25/2035

      165         168  

5.750% due 02/25/2035

      216         192  

5.750% due 12/25/2036 ^

      597         353  

6.000% due 02/25/2035

      277         264  

6.000% due 04/25/2036

      378         237  

6.000% due 04/25/2037 ^

      1,293         792  

6.250% due 11/25/2036 ^

      486         439  

6.250% due 12/25/2036 ^•

      434         272  

6.500% due 08/25/2036 ^

      380         189  

Alternative Loan Trust Resecuritization

 

6.000% due 05/25/2036 ^

      1,642         1,274  

6.000% due 08/25/2037 ^~

      821         605  

Banc of America Funding Corp.

 

6.000% due 01/25/2037

      3,384         3,266  

Banc of America Funding Trust

 

3.439% due 01/20/2047 ^~

      512         499  

BCAP LLC Trust

 

0.000% due 06/26/2036 ~

      67         48  

2.832% due 08/26/2037 ~

      10,636         9,386  

3.061% due 08/28/2037 ~

      2,780         2,789  

3.144% due 07/26/2037 ~

      4,907         4,586  

3.529% due 09/26/2036 ~

      3,727         3,751  

4.797% due 03/26/2037 þ

      673         1,044  

5.750% due 12/26/2035 ~

      1,970         1,660  

6.250% due 11/26/2036

      2,625         2,293  

8.861% due 05/26/2037 ~

      931         386  

Bear Stearns ALT-A Trust

 

0.608% due 01/25/2036 ^•

      602         912  

2.662% due 11/25/2035 ~

      4,012         3,266  

2.882% due 11/25/2036 ^~

      313         203  

3.065% due 09/25/2047 ^~

      4,264         2,772  

3.075% due 09/25/2035 ^~

      304         222  

CD Mortgage Trust

 

5.688% due 10/15/2048

      102         98  

Chase Mortgage Finance Trust

 

2.926% due 12/25/2035 ^~

      4         4  

5.500% due 05/25/2036 ^

      6         4  

CHL Mortgage Pass-Through Trust

 

0.688% due 03/25/2035 ^•

      2,479         2,181  

6.000% due 07/25/2037

      1,204         739  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

6.250% due 09/25/2036 ^

  $     345     $     186  

Citicorp Mortgage Securities Trust

 

5.500% due 04/25/2037

      10         10  

6.000% due 09/25/2037

      390         399  

Commercial Mortgage Loan Trust

 

6.673% due 12/10/2049 ~

      485         84  

Credit Suisse Mortgage Capital Certificates

 

2.735% due 10/26/2036 ~

      6,960         5,655  

Credit Suisse Mortgage Capital Mortgage-Backed Trust

 

5.750% due 04/25/2036 ^

      105         72  

CSFB Mortgage-Backed Pass-Through Certificates

 

6.000% due 11/25/2035 ^

      236         218  

First Horizon Mortgage Pass-Through Trust

 

2.625% due 11/25/2035 ^~

      164         159  

2.831% due 05/25/2037 ^~

      140         76  

Freddie Mac

 

7.850% due 11/25/2041 •

      3,800         3,812  

IndyMac IMSC Mortgage Loan Trust

 

6.500% due 07/25/2037 ^

      3,429         1,646  

Jackson Park Trust

 

3.242% due 10/14/2039 ~

      2,116         1,856  

JP Morgan Alternative Loan Trust

 

2.653% due 05/25/2036 ^~

      896         654  

2.745% due 03/25/2036 ^~

      991         882  

3.308% due 03/25/2037 ^~

      546         574  

JP Morgan Mortgage Trust

 

2.667% due 02/25/2036 ^~

      173         143  

2.726% due 10/25/2035 ~

      72         72  

6.500% due 09/25/2035

      52         48  

LB-UBS Commercial Mortgage Trust

 

5.407% due 11/15/2038 ^

      115         74  

5.534% due 02/15/2040 ^~

      212         86  

Lehman Mortgage Trust

 

6.000% due 07/25/2037 ^

      290         291  

6.500% due 09/25/2037 ^

      1,759         859  

Lehman XS Trust

 

0.328% due 06/25/2047 •

      1,123         1,085  

MASTR Asset Securitization Trust

 

6.500% due 11/25/2037 ^

      353         123  

Merrill Lynch Mortgage Investors Trust

 

2.709% due 03/25/2036 ^~

      1,196         758  

Morgan Stanley Capital Trust

 

4.456% due 11/15/2034 •

      2,400         2,300  

Nomura Asset Acceptance Corp. Alternative Loan Trust

 

5.476% due 05/25/2035 ^þ

      8         5  

RALI Trust

 

3.152% due 12/26/2034 ^~

      550         277  

6.000% due 08/25/2036 ^

      180         178  

Residential Asset Securitization Trust

 

5.750% due 02/25/2036 ^

      804         458  

6.000% due 07/25/2037 ^

      1,340         746  

6.250% due 09/25/2037 ^

      2,549         1,454  

RFMSI Trust

 

4.182% due 08/25/2036 ^~

      370         340  

4.701% due 09/25/2035 ~

      451         331  

STARM Mortgage Loan Trust

 

2.298% due 02/25/2037 ^~

      106         98  

Structured Adjustable Rate Mortgage Loan Trust

 

2.818% due 11/25/2036 ^~

      1,305         1,248  

2.901% due 01/25/2036 ^~

      1,493         1,092  

WaMu Mortgage Pass-Through Certificates Trust

 

2.870% due 05/25/2037 ^~

      571         571  

3.075% due 02/25/2037 ^~

      302         299  

3.167% due 07/25/2037 ^~

      500         508  

3.262% due 10/25/2036 ^~

      429         419  
       

 

 

 

Total Non-Agency Mortgage-Backed Securities (Cost $72,722)

      75,828  
       

 

 

 
ASSET-BACKED SECURITIES 8.0%

 

Adagio CLO DAC

 

0.000% due 04/30/2031 ~

  EUR     1,800         1,121  

Apidos CLO

       

0.000% due 07/22/2026 ~

  $     1,500         1  
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

0.000% due 01/20/2031 ~

  $     4,500     $     2,356  

Argent Securities Trust

 

0.488% due 03/25/2036 •

      3,258         2,298  

Avoca CLO DAC

 

0.000% due 07/15/2032 ~

  EUR     2,230         1,923  

Bear Stearns Asset-Backed Securities Trust

 

0.248% due 10/25/2036 ^•

  $     2,429         3,361  

6.500% due 10/25/2036 ^

      337         219  

Belle Haven ABS CDO Ltd.

 

0.459% due 07/05/2046 •

      180,259         427  

CIFC Funding Ltd.

 

0.000% due 04/24/2030 ~

      2,400         1,065  

0.010% due 10/22/2031 ~

      1,500         552  

Citigroup Mortgage Loan Trust

 

0.258% due 12/25/2036 •

      12,269         6,222  

Citigroup Mortgage Loan Trust, Inc.

 

0.268% due 12/25/2036 •

      1,477         987  

Cork Street CLO Designated Activity Co.

 

0.000% due 11/27/2028 ~

  EUR     1,021         858  

Flagship Credit Auto Trust

 

0.000% due 05/15/2025 «(h)

  $     8         570  

Fremont Home Loan Trust

 

0.258% due 01/25/2037 •

      12,301         7,175  

Grosvenor Place CLO BV

 

0.000% due 04/30/2029 ~

  EUR     500         292  

Home Equity Mortgage Loan Asset-Backed Trust

 

0.268% due 07/25/2037 •

  $     2,527         1,692  

KKR CLO Ltd.

 

0.000% due 10/17/2031 ~

      3,000         2,367  

Lehman XS Trust

 

6.790% due 06/24/2046 þ

      744         794  

Magnetite Ltd.

 

0.000% due 01/15/2028 ~

      5,650         2,445  

Marlette Funding Trust

       

0.000% due 09/17/2029 «(h)

      7         720  

0.000% due 03/15/2030 «(h)

      6         657  

Merrill Lynch Mortgage Investors Trust

 

0.428% due 04/25/2037 •

      423         285  

Morgan Stanley Mortgage Loan Trust

 

6.250% due 02/25/2037 ^~

      456         280  

SLM Student Loan EDC Repackaging Trust

 

0.000% due 10/28/2029 «(h)

      1         1,228  

SLM Student Loan Trust

 

0.000% due 01/25/2042 «(h)

      4         1,723  

SMB Private Education Loan Trust

 

0.000% due 09/18/2046 «(h)

      1         540  

0.000% due 10/15/2048 «(h)

      1         387  

Sofi Professional Loan Program LLC

 

0.000% due 05/25/2040 (h)

      4,400         594  

0.000% due 07/25/2040 «(h)

      21         348  

SoFi Professional Loan Program LLC

 

0.000% due 09/25/2040 «(h)

      1,758         337  

South Coast Funding Ltd.

 

0.746% due 08/10/2038 •

      11,628         1,335  

Taberna Preferred Funding Ltd.

 

0.500% due 12/05/2036 •

      4,690         4,104  

0.520% due 08/05/2036 •

      291         257  

0.520% due 08/05/2036 ^•

      5,743         5,082  

0.679% due 07/05/2035 •

      1,557         1,409  
       

 

 

 

Total Asset-Backed Securities (Cost $82,654)

 

        56,011  
       

 

 

 
SOVEREIGN ISSUES 3.0%

 

Argentina Bocon

 

34.191% (BADLARPP) due 10/04/2022 ~

  ARS     58         0  

Argentina Bonar Bonds

 

0.500% due 07/09/2030 þ

  $     3,626         1,087  

1.125% due 07/09/2035 þ

      3,741         1,129  

Argentina Government International Bond

 

0.500% due 07/09/2030 þ

      391         133  

1.000% due 07/09/2029

      683         243  

1.125% due 07/09/2035 þ

      300         93  
 

 

See Accompanying Notes     SEMIANNUAL REPORT     |     JANUARY 31, 2022     79
    


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

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

1.125% due 07/09/2046 þ

  $     115     $     36  

2.000% due 01/09/2038 þ

      11,605         4,427  

2.500% due 07/09/2041 þ

      5,512         1,973  

Argentina Treasury Bond BONCER

 

1.400% due 03/25/2023

  ARS     96,913         405  

1.450% due 08/13/2023

      16,414         69  

Argentine Bonos del Tesoro

 

15.500% due 10/17/2026

      61,630         101  

Egypt Government International Bond

 

5.625% due 04/16/2030

  EUR     1,800         1,762  

6.375% due 04/11/2031

      758         751  

7.500% due 02/16/2061 (n)

  $     1,900         1,480  

Ghana Government International Bond

 

6.375% due 02/11/2027

      500         403  

7.875% due 02/11/2035

      600         452  

8.750% due 03/11/2061

      200         149  

Ivory Coast Government International Bond

 

4.875% due 01/30/2032

  EUR     1,500         1,586  

6.625% due 03/22/2048

      700         752  

Provincia de Buenos Aires

 

40.893% due 04/12/2025

  ARS     363,012         1,364  

South Africa Government International Bond

 

5.750% due 09/30/2049 (n)

  $     1,200         1,102  

Turkiye Ihracat Kredi Bankasi AS

 

8.250% due 01/24/2024

      200         208  

Ukraine Government International Bond

 

4.375% due 01/27/2030

  EUR     1,205         1,045  

Venezuela Government International Bond

 

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

  $     28         2  

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

      315         19  
       

 

 

 

Total Sovereign Issues (Cost $31,833)

      20,771  
       

 

 

 
        SHARES            
COMMON STOCKS 2.8%

 

COMMUNICATION SERVICES 0.9%

 

Clear Channel Outdoor Holdings, Inc. (f)

      549,096         1,680  

iHeartMedia, Inc. ‘A’ (f)

      129,909         2,618  

iHeartMedia, Inc. ‘B’ «(f)

      100,822         1,828  
       

 

 

 
          6,126  
       

 

 

 
ENERGY 0.1%

 

Axis Energy Services ‘A’ «(f)(l)

      2,048         30  

Noble Finance Co. (f)(l)

      21,190         524  

Valaris Ltd. (f)

      2,535         105  
       

 

 

 
          659  
       

 

 

 
INDUSTRIALS 1.7%

 

Neiman Marcus Group Ltd. LLC «(f)(l)

      82,915         12,022  
        SHARES         MARKET
VALUE
(000S)
 

Noble Corp. (f)

      1,598     $     39  

Voyager Aviation Holdings LLC «(f)

      1,155         0  

Westmoreland Mining Holdings «(f)(l)

      53,248         0  
       

 

 

 
          12,061  
       

 

 

 
MATERIALS 0.1%

 

Associated Materials Group, Inc. «(f)(l)

      116,123         811  
       

 

 

 

Total Common Stocks (Cost $13,030)

 

      19,657  
       

 

 

 
WARRANTS 2.0%

 

INDUSTRIALS 0.0%

 

Sequa Corp. - Exp. 04/28/2024 «

    819,000         322  
       

 

 

 
INFORMATION TECHNOLOGY 2.0%

 

Windstream Holdings LLC - Exp. 09/21/2055 «

      565,698         14,016  
       

 

 

 

Total Warrants (Cost $4,690)

          14,338  
       

 

 

 
PREFERRED SECURITIES 8.7%

 

BANKING & FINANCE 4.4%

 

AGFC Capital Trust

 

1.991% (US0003M + 1.750%) due 01/15/2067 ~(n)

      1,800,000         1,060  

Brighthouse Holdings LLC

 

6.500% due 07/27/2037 þ(j)

      70,000         79  

Farm Credit Bank of Texas

 

5.700% due 09/15/2025 •(j)

      1,000,000         1,070  

Nationwide Building Society

 

10.250% ~

      35,500         8,928  

Stichting AK Rabobank Certificaten

 

6.500% due 12/29/2049 þ(j)

      13,400,775         19,505  
       

 

 

 
          30,642  
       

 

 

 
INDUSTRIALS 4.3%

 

General Electric Co.

 

3.533% (US0003M + 3.330%) due 03/15/2022 ~(j)

      268,000         263  

Sequa Corp. (15.000% PIK)

 

15.000% «(d)

      25,406         27,886  

Voyager Aviation Holdings LLC

 

9.500% «

      6,929         2,127  
       

 

 

 
          30,276  
       

 

 

 

Total Preferred Securities (Cost $46,395)

      60,918  
       

 

 

 
        SHARES         MARKET
VALUE
(000S)
 
REAL ESTATE INVESTMENT TRUSTS 2.2%

 

REAL ESTATE 2.2%

 

CBL & Associates Properties, Inc.

      6,516     $     196  

Uniti Group, Inc.

      274,273         3,308  

VICI Properties, Inc.

      423,584         12,123  
       

 

 

 

Total Real Estate Investment Trusts (Cost $7,352)

    15,627  
       

 

 

 
        PRINCIPAL
AMOUNT
(000S)
           
SHORT-TERM INSTRUMENTS 5.8%

 

REPURCHASE AGREEMENTS (m) 0.3%

 

          1,989  
       

 

 

 
ARGENTINA TREASURY BILLS 0.0%

 

42.739% due 04/29/2022 (h)(i)

  ARS     26,281         98  
       

 

 

 
U.S. TREASURY BILLS 4.9%

 

0.054% due 02/17/2022 - 04/21/2022 (c)(g)(h)(p)(r)

  $     34,453         34,445  
       

 

 

 
U.S. TREASURY CASH MANAGEMENT BILLS 0.6%

 

0.203% due 05/17/2022 (h)(i)(p)

      3,900         3,897  
       

 

 

 
Total Short-Term Instruments
(Cost $40,454)

 

      40,429  
       

 

 

 
       
Total Investments in Securities
(Cost $980,025)

 

      971,881  
       
Total Investments 139.2% (Cost $980,025)       $     971,881  

Financial Derivative
Instruments (o)(q) 0.2%

(Cost or Premiums, net $10,297)

 

 

      1,618  
Auction Rate Preferred Shares (12.5)%     (87,425
Other Assets and Liabilities, net (26.9)%

 

        (187,768
       

 

 

 
Net Assets Applicable to Common Shareholders 100.0%

 

  $     698,306  
       

 

 

 
 

NOTES TO SCHEDULE OF INVESTMENTS:

 

*

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

^

Security is in default.

«

Security valued using significant unobservable inputs (Level 3).

µ

All or a portion of this amount represents unfunded loan commitments. The interest rate for the unfunded portion will be determined at the time of funding. See Note 4, Securities and Other Investments, in the Notes to Financial Statements for more information regarding unfunded loan commitments.

~

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.

 

       
80   PIMCO CLOSED-END FUNDS      See Accompanying Notes  


Table of Contents
      January 31, 2022   (Unaudited)

 

(b)

Principal only security.

(c)

When-issued security.

(d)

Payment in-kind security.

(e)

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

(f)

Security did not produce income within the last twelve months.

(g)

Coupon represents a weighted average yield to maturity.

(h)

Zero coupon security.

(i)

Coupon represents a yield to maturity.

(j)

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

(k)

Contingent convertible security.

 

(l)  RESTRICTED SECURITIES:

 

Issuer Description                  Acquisition
Date
    Cost     Market
Value
    Market Value
as Percentage
of Net Assets
Applicable
to Common
Shareholders
 

Associated Materials Group, Inc.

         08/24/2020     $ 737     $ 811       0.12

Axis Energy Services ‘A’

         07/01/2021       30       30       0.00  

Ferroglobe PLC 9.375% due 12/31/2025

         02/09/2017 - 12/03/2019       1,676       1,768       0.25  

Neiman Marcus Group Ltd. LLC

         09/25/2020       2,719       12,022       1.72  

Noble Corp.

         02/05/2021 - 02/27/2021       285       524       0.08  

Westmoreland Mining Holdings LLC

         12/08/2014 - 10/19/2016       1,534       0       0.00  
        

 

 

   

 

 

   

 

 

 
  $     6,981     $     15,155           2.17
 

 

 

   

 

 

   

 

 

 

 

BORROWINGS AND OTHER FINANCING TRANSACTIONS

 

(m)  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
 
FICC     0.000     01/31/2022       02/01/2022     $     1,989     U.S. Treasury Notes 0.875% due 01/31/2024   $ (2,029   $ 1,989     $ 1,989  
           

 

 

   

 

 

   

 

 

 

Total Repurchase Agreements

 

    $     (2,029   $     1,989     $     1,989  
   

 

 

   

 

 

   

 

 

 

 

REVERSE REPURCHASE AGREEMENTS:

 

Counterparty   Borrowing
Rate(1)
    Settlement
Date
    Maturity
Date
    Amount
Borrowed(1)
     Payable for
Reverse
Repurchase
Agreements
 

BPS

    0.300     01/14/2022       02/18/2022     $     (308    $     (308
    0.350       11/08/2021       TBD (2)    GBP     (4,282          (5,763
    0.500       09/03/2021       02/11/2022     $         (1,110      (1,112
    0.530       10/12/2021       05/12/2022         (2,990      (2,995
    0.530       11/17/2021       05/12/2022         (5,505      (5,511
    0.530       12/16/2021       05/12/2022         (3,045      (3,047
    0.530       01/20/2022       05/12/2022         (4,325      (4,326
    0.540       10/26/2021       03/08/2022         (2,146      (2,150

BRC

    0.500       08/06/2021       02/07/2022         (2,353      (2,359
    0.500       09/03/2021       03/03/2022         (6,863      (6,877
    0.500       09/10/2021       02/07/2022         (3,089      (3,095
    0.500       09/10/2021       03/10/2022         (6,467      (6,480
    0.500       09/22/2021       02/07/2022         (1,582      (1,585
    0.500       09/24/2021       03/21/2022         (3,351      (3,357
    0.500       09/24/2021       03/24/2022         (5,259      (5,269
    0.500       09/30/2021       02/07/2022         (97      (97
    0.500       10/28/2021       03/10/2022         (1,946      (1,949
    0.500       11/16/2021       03/08/2022         (5,470      (5,476
    0.500       12/08/2021       03/24/2022         (4,997      (5,001
    0.500       12/23/2021       03/10/2022         (3,710      (3,712
    0.550       06/22/2021       03/10/2022         (1,866      (1,872
    0.550       10/04/2021       03/10/2022         (4,723      (4,732
    0.550       10/07/2021       03/10/2022         (6,739      (6,751

BYR

    0.640       06/25/2021       03/25/2022         (1,684      (1,691

 

See Accompanying Notes     SEMIANNUAL REPORT     |     JANUARY 31, 2022     81
    


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

 

Counterparty   Borrowing
Rate(1)
    Settlement
Date
    Maturity
Date
    Amount
Borrowed(1)
    Payable for
Reverse
Repurchase
Agreements
 
    0.640     10/18/2021       03/25/2022     $         (1,435   $ (1,438
    0.640       11/17/2021       03/25/2022         (3,017     (3,021
    0.640       11/26/2021       03/25/2022         (2,386     (2,389
    0.640       12/08/2021       03/25/2022         (1,476     (1,477

CDC

    0.280       01/05/2022       02/03/2022         (1,801     (1,801
    0.430       01/27/2022       05/02/2022         (9,602     (9,603
    0.450       02/03/2022       05/09/2022         (1,684     (1,684
    0.490       10/28/2021       03/23/2022         (1,953     (1,955
    0.500       10/22/2021       02/03/2022         (1,027     (1,028
    0.500       11/04/2021       04/07/2022         (906     (908
    0.500       12/07/2021       02/03/2022         (2,472     (2,474
    0.800       02/03/2022       08/05/2022         (3,455     (3,455

IND

    0.260       12/21/2021       03/21/2022         (6,919     (6,921
    0.280       09/09/2021       03/09/2022         (2,991     (2,994
    0.300       06/09/2021       03/09/2022         (8,247     (8,263
    0.300       10/22/2021       03/09/2022         (3,651     (3,654
    0.300       01/12/2022       03/09/2022         (4,207     (4,208
    0.370       12/21/2021       03/24/2022         (8,927     (8,931
    0.400       12/21/2021       03/24/2022         (1,788     (1,789

JML

    (0.400     11/05/2021       TBD (2)    EUR     (843     (946
    (0.350     01/17/2022       05/11/2022         (2,104     (2,364
    (0.070     01/24/2022       02/22/2022     $     (502     (502
    0.600       01/18/2022       04/19/2022     GBP     (195     (263

NOM

    0.600       01/21/2022       03/25/2022     $     (3,493     (3,494

RDR

    0.350       01/20/2022       03/22/2022         (1,513     (1,513

SOG

    0.400       10/06/2021       03/01/2022         (1,042     (1,043
    0.400       10/14/2021       03/01/2022         (2,077     (2,080
    0.500       10/26/2021       04/01/2022         (975     (976
    0.500       11/04/2021       04/13/2022         (1,399     (1,400
    0.500       11/26/2021       03/28/2022         (2,467     (2,469
    0.500       12/22/2021       03/23/2022         (1,257     (1,258
    0.500       01/14/2022       04/19/2022         (1,781     (1,781
    0.500       01/19/2022       03/01/2022         (2,665     (2,665
    0.550       07/22/2021       03/02/2022         (506     (508
    0.550       09/27/2021       04/27/2022         (1,319     (1,322
    0.550       10/12/2021       04/27/2022         (4,013     (4,020
    0.550       10/27/2021       04/27/2022         (3,975     (3,981
    0.550       12/01/2021       04/27/2022         (5,997     (6,002
    0.550       12/23/2021       05/04/2022         (3,193     (3,195
    0.670       01/07/2022       07/06/2022         (450     (450
    0.670       01/07/2022       07/08/2022         (1,789     (1,790

TDM

    0.220       08/09/2021       TBD (2)        (390     (390
    0.220       09/30/2021       TBD (2)        (630     (631
    0.250       04/16/2021       TBD (2)        (917     (918
           

 

 

 

Total Reverse Repurchase Agreements

 

        $     (199,469
           

 

 

 

 

BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY

 

The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral pledged/(received) as of January 31, 2022:

 

Counterparty   Repurchase
Agreement
Proceeds
to be
Received
    Payable for
Reverse
Repurchase
Agreements
    Payable for
Sale-Buyback
Transactions
     Total
Borrowings and
Other Financing
Transactions
    Collateral
Pledged/(Received)
    Net
Exposure(3)
 

Global/Master Repurchase Agreement

 

BPS

  $ 0     $ (25,212   $ 0      $ (25,212   $ 28,626     $ 3,414  

BRC

    0       (58,612     0            (58,612         67,844           9,232  

BYR

    0       (10,016     0        (10,016     11,828       1,812  

CDC

    0       (22,908     0        (22,908     19,024       (3,884

FICC

    1,989       0       0        1,989       (2,029     (40

IND

    0       (36,760     0        (36,760     39,492       2,732  

JML

    0       (4,075     0        (4,075     4,296       221  

NOM

    0       (3,494     0        (3,494     3,737       243  

RDR

    0       (1,513     0        (1,513     1,520       7  

SOG

    0       (34,940     0        (34,940     39,669       4,729  

TDM

    0       (1,939     0        (1,939     1,910       (29
 

 

 

   

 

 

   

 

 

        

Total Borrowings and Other Financing Transactions

  $     1,989     $     (199,469   $     0         
 

 

 

   

 

 

   

 

 

        

 

       
82   PIMCO CLOSED-END FUNDS      See Accompanying Notes  


Table of Contents
      January 31, 2022   (Unaudited)

 

CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS

 

Remaining Contractual Maturity of the Agreements

 

     Overnight and
Continuous
    Up to 30 days     31-90 days     Greater Than 90 days     Total  

Reverse Repurchase Agreements

 

Corporate Bonds & Notes

  $     0     $ (20,659   $ (128,458   $ (41,929   $ (191,046

Sovereign Issues

    0       0       (2,376     0       (2,376

Preferred Securities

    0       0       (908     0       (908
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Borrowings

  $ 0     $     (20,659   $     (131,742   $     (41,929   $ (194,330
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Payable for reverse repurchase agreements(4)

 

  $     (194,330
 

 

 

 

 

(n)

Securities with an aggregate market value of $217,536 and cash of $410 have been pledged as collateral under the terms of the above master agreements as of January 31, 2022.

 

(1)

The average amount of borrowings outstanding during the period ended January 31, 2022 was $(283,921) at a weighted average interest rate of 0.405%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.

(2)

Open maturity reverse repurchase agreement.

(3)

Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information.

(4)

Unsettled reverse repurchase agreements liability of $(5,139) is outstanding at period end.

 

(o)  FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED

 

SWAP AGREEMENTS:

 

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

 

Reference Entity   Fixed
Receive Rate
    Payment
Frequency
    Maturity
Date
    Implied
Credit Spread at
January 31, 2022(2)
    Notional
Amount(3)
    Premiums
Paid/(Received)
    Unrealized
Appreciation/
(Depreciation)
    Market
Value(4)
    Variation Margin  
  Asset      Liability  

Bombardier, Inc.

    5.000     Quarterly       06/20/2024       3.464     $        2,300     $ (4   $ 97     $ 93     $ 0      $ 0  

Bombardier, Inc.

    5.000       Quarterly       12/20/2024       3.760          1,600       (7     70       63       0        0  

Jaguar Land Rover Automotive

    5.000       Quarterly       06/20/2026       4.036       EUR        1,900       134       (40     94       0        (20

Jaguar Land Rover Automotive

    5.000       Quarterly       12/20/2026       4.209          1,000       39       6       45       0        (11

Rolls-Royce PLC

    1.000       Quarterly       12/20/2025       1.553          14,400       (1,758     1,437       (321     0        (49
              

 

 

   

 

 

   

 

 

   

 

 

    

 

 

 
        $     (1,596   $     1,570     $     (26   $     0      $     (80
       

 

 

   

 

 

   

 

 

   

 

 

    

 

 

 

 

INTEREST RATE SWAPS

 

Pay/Receive
Floating Rate
  Floating Rate Index   Fixed Rate     Payment
Frequency
    Maturity
Date
    Notional
Amount
    Premiums
Paid/(Received)
    Unrealized
Appreciation/
(Depreciation)
    Market
Value
    Variation Margin  
  Asset      Liability  

Receive(5)

 

1-Day GBP-SONIO Compounded-OIS

    0.750     Annual       03/16/2032       GBP       13,300     $ (103   $ 901     $ 798     $     81      $ 0  

Receive(5)

 

1-Day GBP-SONIO Compounded-OIS

    0.750       Annual       03/16/2052         3,200       (46     383       337       69        0  

Receive(5)

 

1-Day GBP-SONIO Compounded-OIS

    0.750       Annual       09/21/2052         1,400       (9     155       146       30        0  

Receive

 

3-Month  USD-LIBOR

    0.250       Semi-Annual       12/18/2022       $       150,500       73       661       734       29        0  

Pay

 

3-Month  USD-LIBOR

    2.750       Semi-Annual       06/17/2025         149,020       9,092       (2,851     6,241       42        0  

Pay

 

3-Month  USD-LIBOR

    2.250       Semi-Annual       06/15/2026         26,800       1,267       (519     748       12        0  

Receive

 

3-Month USD-LIBOR

    1.350       Semi-Annual       01/20/2027         8,100       0       128       128       0        (6

Pay

 

3-Month USD-LIBOR

    1.550       Semi-Annual       01/20/2027         35,800       (124     (96     (220     27        0  

Receive(5)

 

3-Month USD-LIBOR

    1.360       Semi-Annual       02/15/2027         5,430       0       90       90       0        (4

Receive(5)

 

3-Month USD-LIBOR

    1.450       Semi-Annual       02/17/2027         9,000       0       111       111       0        (7

Pay

 

3-Month USD-LIBOR

    2.500       Semi-Annual       12/20/2027         49,000       343       1,889       2,232       35        0  

Receive

 

3-Month USD-LIBOR

    1.420       Semi-Annual       08/17/2028         29,500       0       457       457       0        (22

Receive

 

3-Month USD-LIBOR

    1.380       Semi-Annual       08/24/2028         32,500       0       604       604       0        (24

Pay

 

3-Month USD-LIBOR

    3.000       Semi-Annual       06/19/2029         75,000       4,675       1,852       6,527       54        0  

Receive

 

3-Month USD-LIBOR

    1.160       Semi-Annual       04/12/2031         2,800       0       157       157       0        (1

Receive

 

3-Month USD-LIBOR

    0.750       Semi-Annual       06/16/2031         38,000       3,140       424       3,564       0        (2

Receive

 

3-Month USD-LIBOR

    1.750       Semi-Annual       12/15/2031         40,600       (643     916       273       0        (1

Pay

 

3-Month USD-LIBOR

    3.500       Semi-Annual       06/19/2044         201,500           (6,574         64,028           57,454       0            (139

Receive

 

3-Month USD-LIBOR

    2.000       Semi-Annual       01/15/2050         1,400       (10     0       (10     5        0  

Receive

 

3-Month USD-LIBOR

    1.750       Semi-Annual       01/22/2050         21,100       (49     1,077       1,028       70        0  

Receive

 

3-Month USD-LIBOR

    1.875       Semi-Annual       02/07/2050         22,000       (85     363       278       73        0  

Receive

 

3-Month USD-LIBOR

    2.250       Semi-Annual       03/12/2050         6,000       (18     (407     (425     20        0  

Receive

 

3-Month USD-LIBOR

    1.250       Semi-Annual       12/16/2050         2,400       233       155       388       9        0  

 

See Accompanying Notes     SEMIANNUAL REPORT     |     JANUARY 31, 2022     83
    


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

 

Pay/Receive
Floating Rate
  Floating Rate Index   Fixed Rate     Payment
Frequency
    Maturity
Date
    Notional
Amount
    Premiums
Paid/(Received)
    Unrealized
Appreciation/
(Depreciation)
    Market
Value
    Variation Margin  
  Asset      Liability  

Receive(5)

 

3-Month USD-LIBOR

    1.700     Semi-Annual       02/01/2052     $         187,400     $ 1,405     $ 9,364     $ 10,769     $ 117      $ 0  

Pay

 

6-Month AUD-BBR-BBSW

    3.500       Semi-Annual       06/17/2025       AUD       8,100       201       170       371       23        0  

Receive

 

6-Month EUR-EURIBOR

    0.150       Annual       03/18/2030       EUR       8,300       152       234       386       44        0  

Receive(5)

 

6-Month EUR-EURIBOR

    0.250       Annual       03/16/2032         9,800       (188     424       236       57        0  
             

 

 

   

 

 

   

 

 

   

 

 

    

 

 

 
    $ 12,732     $ 80,670     $ 93,402     $ 797      $ (206
             

 

 

   

 

 

   

 

 

   

 

 

    

 

 

 

Total Swap Agreements

 

    $     11,136     $     82,240     $     93,376     $     797      $     (286
   

 

 

   

 

 

   

 

 

   

 

 

    

 

 

 

 

FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED SUMMARY

 

The following is a summary of the market value and variation margin of Exchange-Traded or Centrally Cleared Financial Derivative Instruments as of January 31, 2022:

 

    Financial Derivative Assets           Financial Derivative Liabilities  
    Market Value     Variation Margin
Asset
    Total           Market Value     Variation Margin
Liability
   

Total

 
     Purchased
Options
    Futures     Swap
Agreements
          Written
Options
    Futures     Swap
Agreements
 

Total Exchange-Traded or Centrally Cleared

  $     0     $     0     $     797     $     797       $     0     $     0     $     (286   $     (286
 

 

 

   

 

 

   

 

 

   

 

 

     

 

 

   

 

 

   

 

 

   

 

 

 

 

(p)

Securities with an aggregate market value of $6,420 and cash of $21,266 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of January 31, 2022. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information.

 

(1)

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

(2)

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

(3)

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

(4)

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

(5)

This instrument has a forward starting effective date. See Note 2, Securities Transactions and Investment Income, in the Notes to Financial Statements for further information.

 

(q)  FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER

 

FORWARD FOREIGN CURRENCY CONTRACTS:

 

Counterparty    Settlement
Month
    Currency to
be Delivered
    Currency to
be Received
    Unrealized Appreciation/
(Depreciation)
 
  Asset     Liability  

BOA

     02/2022     CAD     1,460     $     1,166     $ 17     $ 0  
     02/2022     $     1,921     GBP     1,422       0       (9
     06/2022     PEN     1,483     $     355       0       (25

BPS

     02/2022     EUR     12,261         13,996       226       (5
     10/2022     $     1,273     PEN     5,194       48       0  

CBK

     02/2022     PEN     2,310     $     565       0       (34
     02/2022     $     534     PEN     2,065       2       0  
     03/2022     PEN     4,076     $     988       0       (68
     03/2022     $     34     RUB     2,587       0       (1
     04/2022     PEN     1,942     $     482       0       (19
     04/2022     $     3     RUB     237       0       0  
     08/2022     PEN     1,254     $     310       0       (11
     10/2022         2,065         522       0       (2
     12/2022     $     1,311     PEN     5,498       78       0  

DUB

     02/2022         10     RUB     780       0       0  
     04/2022         5         417       0       0  

GLM

     04/2022         18         1,371       0       (1

HUS

     02/2022         2,052     EUR     1,810       0       (19
     02/2022         27     RUB     1,956       0       (2

 

       
84   PIMCO CLOSED-END FUNDS      See Accompanying Notes  


Table of Contents
      January 31, 2022   (Unaudited)

 

Counterparty    Settlement
Month
    Currency to
be Delivered
    Currency to
be Received
    Unrealized Appreciation/
(Depreciation)
 
  Asset     Liability  
     03/2022     $     10     RUB     746     $ 0     $ 0  
     04/2022         4         340       0       0  

SCX

     02/2022     EUR     76,531     $     87,080       1,102       0  
     02/2022     GBP     24,486         33,163       232       0  
     03/2022     EUR     86,982         97,560       0       (214
     03/2022     GBP     23,064         30,938       0       (75
     04/2022     $     23     RUB     1,751       0       0  

TOR

     03/2022         263     MXN     5,571       5       0  
            

 

 

   

 

 

 

Total Forward Foreign Currency Contracts

 

  $     1,710     $     (485
 

 

 

   

 

 

 

 

SWAP AGREEMENTS:

 

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

 

Counterparty

 

Reference Entity

  Fixed
Receive Rate
    Payment
Frequency
    Maturity
Date
    Implied
Credit Spread at
January 31, 2022(2)
    Notional
Amount(3)
    Premiums
Paid/(Received)
    Unrealized
Appreciation/
(Depreciation)
    Swap Agreements,
at Value(4)
 
  Asset      Liability  
BPS  

Petrobras Global Finance BV

    1.000     Quarterly       12/20/2024       1.817   $         1,000     $ (195   $ 173     $ 0      $ (22
GST  

Petrobras Global Finance BV

    1.000       Quarterly       12/20/2024       1.817         1,400       (278     248       0        (30
HUS  

Petrobras Global Finance BV

    1.000       Quarterly       12/20/2024       1.817         1,700       (353     316       0        (37
               

 

 

   

 

 

   

 

 

    

 

 

 
          $     (826   $     737     $     0      $     (89
         

 

 

   

 

 

   

 

 

    

 

 

 

 

INTEREST RATE SWAPS

 

Counterparty

 

Pay/Receive
Floating Rate

 

Floating Rate Index

  Fixed
Rate
    Payment
Frequency
    Maturity
Date
    Notional
Amount
    Premiums
Paid/(Received)
    Unrealized
Appreciation/
(Depreciation)
    Swap Agreements,
at Value
 
  Asset      Liability  
GLM  

Pay

 

3-Month USD-LIBOR

    1.700     Semi-Annual       02/17/2027     $         35,800     $ (8   $ 28     $ 20      $ 0  
MYC  

Pay

 

3-Month USD-LIBOR

    1.600       Semi-Annual       02/15/2027         21,700       (5     (44     0        (49
               

 

 

   

 

 

   

 

 

    

 

 

 
      $ (13   $ (16   $ 20      $ (49
     

 

 

   

 

 

   

 

 

    

 

 

 

Total Swap Agreements

    $     (839   $     721     $     20      $     (138
 

 

 

   

 

 

   

 

 

    

 

 

 

 

FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER SUMMARY

 

The following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral pledged/(received) as of January 31, 2022:

 

    Financial Derivative Assets           Financial Derivative Liabilities                    
Counterparty   Forward
Foreign
Currency
Contracts
     Purchased
Options
     Swap
Agreements
     Total
Over the
Counter
           Forward
Foreign
Currency
Contracts
    Written
Options
     Swap
Agreements
    Total
Over the
Counter
    Net Market
Value of OTC
Derivatives
    Collateral
Pledged/
(Received)
    Net
Exposure(5)
 

BOA

  $ 17      $ 0      $ 0      $ 17       $ (34   $ 0      $ 0     $ (34   $ (17   $ 0     $ (17

BPS

    274        0        0        274         (5     0        (22     (27     247       (350     (103

CBK

    80        0        0        80         (135     0        0       (135     (55     0       (55

GLM

    0        0        20        20         (1     0        0       (1     19       0       19  

GST

    0        0        0        0         0       0        (30     (30     (30     109       79  

HUS

    0        0        0        0         (21     0        (37     (58     (58     0       (58

MYC

    0        0        0        0         0       0        (49     (49     (49     0       (49

SCX

    1,334        0        0        1,334         (289     0        0       (289         1,045           (2,080         (1,035

TOR

    5        0        0        5         0       0        0       0       5       0       5  
 

 

 

    

 

 

    

 

 

    

 

 

     

 

 

   

 

 

    

 

 

   

 

 

       

Total Over the Counter

  $     1,710      $     0      $     20      $     1,730       $     (485   $     0      $     (138   $     (623      
 

 

 

    

 

 

    

 

 

    

 

 

     

 

 

   

 

 

    

 

 

   

 

 

       

 

(r)

Securities with an aggregate market value of $109 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of January 31, 2022.

 

(1)

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

(2)

Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular

 

See Accompanying Notes     SEMIANNUAL REPORT     |     JANUARY 31, 2022     85
    


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

 

  referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
(3)

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

(4)

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

(5)

Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information.

 

FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS

 

The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal and Other Risks, in the Notes to Financial Statements on risks of the Fund.

 

Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of January 31, 2022:

 

    Derivatives not accounted for as hedging instruments  
     Commodity
Contracts
    Credit
Contracts
    Equity
Contracts
    Foreign
Exchange
Contracts
    Interest
Rate Contracts
    Total  

Financial Derivative Instruments - Assets

 

Exchange-traded or centrally cleared

 

Swap Agreements

  $ 0     $ 0     $ 0     $ 0     $ 797     $ 797  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Over the counter

 

Forward Foreign Currency Contracts

  $ 0     $ 0     $ 0     $ 1,710     $ 0     $ 1,710  

Swap Agreements

    0       0       0       0       20       20  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $     0     $ 0     $     0     $     1,710     $     20     $     1,730  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 0     $ 0     $ 1,710     $ 817     $ 2,527  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Financial Derivative Instruments - Liabilities

 

Exchange-traded or centrally cleared

 

Swap Agreements

  $ 0     $ 80     $ 0     $ 0     $ 206     $ 286  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Over the counter

 

Forward Foreign Currency Contracts

  $ 0     $ 0     $ 0     $ 485     $ 0     $ 485  

Swap Agreements

    0       89       0       0       49       138  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 89     $ 0     $ 485     $ 49     $ 623  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $     169     $ 0     $ 485     $ 255     $ 909  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

The effect of Financial Derivative Instruments on the Statements of Operations for the period ended January 31, 2022:

 

    Derivatives not accounted for as hedging instruments  
     Commodity
Contracts
    Credit
Contracts
    Equity
Contracts
    Foreign
Exchange
Contracts
    Interest
Rate Contracts
    Total  

Net Realized Gain on Financial Derivative Instruments

 

Exchange-traded or centrally cleared

 

Swap Agreements

  $     0     $     309     $     0     $ 0     $ 33,679     $ 33,988  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Over the counter

 

Forward Foreign Currency Contracts

  $ 0     $ 0     $ 0     $     3,975     $ 0     $ 3,975  

Swap Agreements

    0       21       0       0       1,054       1,075  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 21     $ 0     $ 3,975     $ 1,054     $ 5,050  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 330     $ 0     $ 3,975     $ 34,733     $ 39,038  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative Instruments

 

Exchange-traded or centrally cleared

 

Swap Agreements

  $ 0     $ 460     $ 0     $ 0     $ (36,222   $ (35,762
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Over the counter

 

Forward Foreign Currency Contracts

  $ 0     $ 0     $ 0     $ 1,477     $ 0     $ 1,477  

Swap Agreements

    0       (17     0       0       (1,089     (1,106
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ (17   $ 0     $ 1,477     $ (1,089   $ 371  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 443     $ 0     $ 1,477     $     (37,311   $     (35,391
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

       
86   PIMCO CLOSED-END FUNDS      See Accompanying Notes  


Table of Contents
      January 31, 2022   (Unaudited)

 

FAIR VALUE MEASUREMENTS

 

The following is a summary of the fair valuations according to the inputs used as of January 31, 2022 in valuing the Fund’s assets and liabilities:

 

Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
01/31/2022
 

Investments in Securities, at Value

 

Loan Participations and Assignments

  $ 0     $     153,393     $     9,197     $     162,590  

Corporate Bonds & Notes

 

Banking & Finance

    0       107,651       17,828       125,479  

Industrials

    0       276,170       10,244       286,414  

Utilities

    0       59,445       0       59,445  

Convertible Bonds & Notes

 

Industrials

    0       3,173       0       3,173  

Municipal Bonds & Notes

 

Illinois

    0       63       0       63  

Ohio

    0       8,603       0       8,603  

Puerto Rico

    0       3,159       0       3,159  

Virginia

    0       815       0       815  

West Virginia

    0       4,871       0       4,871  

U.S. Government Agencies

    0       8,600       5,090       13,690  

Non-Agency Mortgage-Backed Securities

    0       75,828       0       75,828  

Asset-Backed Securities

    0       49,501       6,510       56,011  

Sovereign Issues

    0       20,771       0       20,771  

Common Stocks

 

Communication Services

        4,298       0       1,828       6,126  

Energy

    629       0       30       659  

Industrials

    0       39       12,022       12,061  

Materials

    0       0       811       811  

Warrants

 

Industrials

    0       0       322       322  

Information Technology

    0       0       14,016       14,016  

Preferred Securities

 

Banking & Finance

    0       30,642       0       30,642  

Industrials

    0       263       30,013       30,276  
Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
01/31/2022
 

Real Estate Investment Trusts

 

Real Estate

  $ 15,627     $ 0     $ 0     $ 15,627  

Short-Term Instruments

 

Repurchase Agreements

    0       1,989       0       1,989  

Argentina Treasury Bills

    0       98       0       98  

U.S. Treasury Bills

    0       34,445       0       34,445  

U.S. Treasury Cash Management Bills

    0       3,897       0       3,897  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

  $     20,554     $     843,416     $     107,911     $     971,881  
 

 

 

   

 

 

   

 

 

   

 

 

 

Financial Derivative Instruments - Assets

 

Exchange-traded or centrally cleared

    0       797       0       797  

Over the counter

    0       1,730       0       1,730  
 

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ 2,527     $ 0     $ 2,527  
 

 

 

   

 

 

   

 

 

   

 

 

 

Financial Derivative Instruments - Liabilities

 

Exchange-traded or centrally cleared

    0       (286     0       (286

Over the counter

    0       (623     0       (623
 

 

 

   

 

 

   

 

 

   

 

 

 
  $ 0     $ (909   $ 0     $ (909
 

 

 

   

 

 

   

 

 

   

 

 

 

Total Financial Derivative Instruments

  $ 0     $ 1,618     $ 0     $ 1,618  
 

 

 

   

 

 

   

 

 

   

 

 

 

Totals

  $ 20,554     $ 845,034     $ 107,911     $ 973,499  
 

 

 

   

 

 

   

 

 

   

 

 

 
 

 

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended January 31, 2022:

 

Category and Subcategory   Beginning
Balance
at 07/31/2021
    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 01/31/2022
    Net Change in
Unrealized
Appreciation/
(Depreciation)
on Investments
Held at
01/31/2022(1)
 

Investments in Securities, at Value

 

Loan Participations and Assignments

  $ 20,167     $ 5,165     $ (9,871   $   (12   $   71     $ 161     $ 0     $   (6,484   $ 9,197     $ (67

Corporate Bonds & Notes

 

Banking & Finance

    0       17,836       0       0       0       (8     0       0         17,828       (8

Industrials

    0       0       0       0       0       0         10,244       0       10,244       0  

U.S. Government Agencies

    5,117       0       (58     10       19       2       0       0       5,090       (1

Asset-Backed Securities

    8,356       0       0       50       0         (1,302     0       (594     6,510         (1,208

Common Stocks

 

Communication Services

    2,346       0       0       0       0       (518     0       0       1,828       (518

Energy

    30       0       0       0       0       0       0       0       30       0  

Industrials

    9,123       0       0       0       0       2,899       0       0       12,022       2,899  

Materials(2)

    822       0       0       0       0       (11     0       0       811       (11

Warrants

 

Industrials

    516       0       0       0       0       (194     0       0       322       (194

Information Technology

    12,624       0       0       0       0       1,392       0       0       14,016       1,392  

Preferred Securities

 

Industrials

    27,166       0       0       0       0       2,847       0       0       30,013       3,646  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Totals

  $   86,267     $   23,001     $   (9,929   $ 48     $ 90     $ 5,268     $ 10,244     $ (7,078   $ 107,911     $ 5,930  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

 

See Accompanying Notes     SEMIANNUAL REPORT     |     JANUARY 31, 2022     87
    


Table of Contents
Schedule of Investments   PIMCO Income Strategy Fund II   (Cont.)   January 31, 2022   (Unaudited)

 

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:

 

Category and Subcategory   Ending
Balance
at 01/31/2022
    Valuation
Technique
  Unobservable
Inputs
       (% Unless Noted Otherwise)  
  Input Value(s)     Weighted
Average
 

Investments in Securities, at Value

 

Loan Participations and Assignments

  $ 7,971     Reference Instrument   Yield       5.840       —    
    1,226     Third Party Vendor   Broker Quote       62.500-100.125       98.442  

Corporate Bonds & Notes

 

Banking & Finance

    17,828     Proxy Pricing   Base Price       97.500-98.720       97.576  

Industrials

    10,244     Reference Instrument   Weighted Average   BRL     50.376       —    

U.S. Government Agencies

    5,090     Proxy Pricing   Base Price       61.520       —    

Asset-Backed Securities

    6,510     Proxy Pricing   Base Price       19.190-85,000.000       36,146.076  

Common Stocks

 

Communication Services

    1,828     Reference Instrument   Liquidity Discount       10.000       —    

Energy

    30     Other Valuation Techniques(3)   —         —         —    

Industrials

    12,022     Discounted Cash Flow   Discount Rate       10.500       —    

Materials

    811     Other Valuation Techniques(3)   —         —         —    

Warrants

 

Industrials

    322     Other Valuation Techniques(3)   —         —         —    

Information Technology

    14,016     Comparable Company   EBITDA Multiple   X     4.400       —    

Preferred Securities

 

Industrials

    27,886     Comparable Company   EBITDA Multiple   X/X     11.300/8.800       —    
    2,127     Comparable Company/
Dicscount cash Flow
  Book Value Multiple/
Discount Rate
  X/%     0.280/19.970       —    
 

 

 

           

Total

  $   107,911            
 

 

 

           

 

(1)

Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at January 31, 2022 may be due to an investment no longer held or categorized as Level 3 at period end.

(2)

Security type updated from Financials to Materials since prior fiscal year end.

(3)

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

 

       
88   PIMCO CLOSED-END FUNDS      See Accompanying Notes  


Table of Contents
Notes to Financial Statements          January 31, 2022   (Unaudited)

 

1. ORGANIZATION

 

PIMCO Corporate & Income Opportunity Fund, PIMCO Corporate & Income Strategy Fund, PIMCO High Income Fund, PIMCO Income Strategy Fund and PIMCO Income Strategy Fund II (each a “Fund” and collectively the “Funds”) are organized as closed-end management investment companies registered under the Investment Company Act of 1940, as amended, and the rules and regulations thereunder (the “Act”). Each Fund was organized as a Massachusetts business trust on the dates shown in the table below. Pacific Investment Management Company LLC (“PIMCO” or the “Manager”) serves as the Funds’ investment manager.

 

Fund Name         Formation Date  

PIMCO Corporate & Income Opportunity Fund

      September 13, 2002  

PIMCO Corporate & Income Strategy Fund

      October 17, 2001  

PIMCO High Income Fund

      February 18, 2003  

PIMCO Income Strategy Fund

      June 19, 2003  

PIMCO Income Strategy Fund II

      June 30, 2004  

 

2. SIGNIFICANT ACCOUNTING POLICIES

 

The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”). Each Fund is treated as an investment company under the reporting requirements of U.S. GAAP. The functional and reporting currency for the Funds is the U.S. dollar. The preparation of financial statements in accordance with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

 

(a) Securities Transactions and Investment Income  Securities transactions are recorded as of the trade date for financial reporting purposes. Securities purchased or sold on a when-issued or delayed-delivery basis may be settled beyond a standard settlement period for the security after the trade date. Realized gains (losses) from securities sold are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date, except certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as a Fund is informed of the ex-dividend date. Interest income, adjusted for the accretion of discounts and amortization of premiums, is recorded on the accrual basis from settlement date, with the exception of securities with a forward starting effective date, where interest income is recorded on the accrual basis from effective date. For convertible securities, premiums attributable to the conversion feature are not amortized. Estimated tax liabilities on

certain foreign securities are recorded on an accrual basis and are reflected as components of interest income or net change in unrealized appreciation (depreciation) on investments on the Statements of Operations, as appropriate. Tax liabilities realized as a result of such security sales are reflected as a component of net realized gain (loss) on investments on the Statements of Operations. Paydown gains (losses) on mortgage-related and other asset-backed securities, if any, are recorded as components of interest income on the Statements of Operations. Income or short-term capital gain distributions received from registered investment companies, if any, are recorded as dividend income. Long-term capital gain distributions received from registered investment companies, if any, are recorded as realized gains.

 

Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivable when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is probable.

 

(b) Foreign Currency Translation  The market values of foreign securities, currency holdings and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars based on the current exchange rates each business day. Purchases and sales of securities and income and expense items denominated in foreign currencies, if any, are translated into U.S. dollars at the exchange rate in effect on the transaction date. The Funds do not separately report the effects of changes in foreign exchange rates from changes in market prices on securities held. Such changes are included in net realized gain (loss) and net change in unrealized appreciation (depreciation) from investments on the Statements of Operations. The Funds may invest in foreign currency-denominated securities and may engage in foreign currency transactions either on a spot (cash) basis at the rate prevailing in the currency exchange market at the time or through a forward foreign currency contract. Realized foreign exchange gains (losses) arising from sales of spot foreign currencies, currency gains (losses) realized between the trade and settlement dates on securities transactions and the difference between the recorded amounts of dividends, interest, and foreign withholding taxes and the U.S. dollar equivalent of the amounts actually received or paid are included in net realized gain (loss) on foreign currency transactions on the Statements of Operations. Net unrealized foreign exchange gains (losses) arising from changes in foreign exchange rates on foreign denominated assets and liabilities other than investments in securities held at the end of the reporting period are included in net change in unrealized appreciation (depreciation) on foreign currency assets and liabilities on the Statements of Operations.

 

 

         SEMIANNUAL REPORT     |     JANUARY 31, 2022     89
    


Table of Contents
Notes to Financial Statements   (Cont.)    

 

(c) Distributions — Common Shares  The following table shows the anticipated frequency of distributions from net investment income to common shareholders.

 

      Distribution Frequency  
Fund Name         Declared     Distributed  

PIMCO Corporate & Income Opportunity Fund

      Monthly       Monthly  

PIMCO Corporate & Income Strategy Fund

      Monthly       Monthly  

PIMCO High Income Fund

      Monthly       Monthly  

PIMCO Income Strategy Fund

      Monthly       Monthly  

PIMCO Income Strategy Fund II

      Monthly       Monthly  

 

Each Fund intends to distribute at least annually to its shareholders all or substantially all of its net tax-exempt interest and any investment company taxable income, and may distribute its net capital gain.

 

A Fund may engage in investment strategies, including those that employ the use of derivatives, to, among other things, seek to generate current, distributable income without regard to possible declines in the Fund’s net asset value (“NAV”). A Fund’s income and gain generating strategies, including certain derivatives strategies, may generate current, distributable income, even if such strategies could potentially result in declines in the Fund’s NAV. A Fund’s income and gain generating strategies, including certain derivatives strategies, may generate current income and gains taxable as ordinary income sufficient to support monthly distributions even in situations when the Fund has experienced a decline in net assets due to, for example, adverse changes in the broad U.S. or non-U.S. equity markets or the Fund’s debt investments, or arising from its use of derivatives. A Fund may enter into opposite sides of interest rate swap and other derivatives for the principal purpose of generating distributable gains on the one side (characterized as ordinary income for tax purposes) that are not part of the Fund’s duration or yield curve management strategies, and with a substantial possibility that the Fund will experience a corresponding capital loss and decline in NAV with respect to the opposite side transaction (to the extent it does not have corresponding offsetting capital gains). Consequently, common shareholders may receive distributions and owe tax on amounts that are effectively a taxable return of the shareholder’s investment in the Fund at a time when their investment in a Fund has declined in value, which may be taxed at ordinary income rates. The tax treatment of certain derivatives in which a Fund invests may be unclear and thus subject to recharacterization. Any recharacterization of payments made or received by a Fund pursuant to derivatives potentially could affect the amount, timing or character of Fund distributions. In addition, the tax treatment of such investment strategies may be changed by regulation or otherwise.

 

Income distributions and capital gain distributions are determined in accordance with income tax regulations which may differ from U.S.

GAAP. Differences between tax regulations and U.S. GAAP may cause timing differences between income and capital gain recognition. Further, the character of investment income and capital gains may be different for certain transactions under the two methods of accounting. As a result, income distributions and capital gain distributions declared during a fiscal period may differ significantly from the net investment income (loss) and realized gains (losses) reported on each Fund’s annual financial statements presented under U.S. GAAP.

 

Separately, if a Fund determines or estimates, as applicable, that a portion of a distribution may be comprised of amounts from sources other than net investment income in accordance with its policies, accounting records (if applicable), and accounting practices, the Fund will notify shareholders of the estimated composition of such distribution through a Section 19 Notice. For these purposes, a Fund determines or estimates, as applicable, the source or sources from which a distribution is paid, to the close of the period as of which it is paid, in reference to its internal accounting records and related accounting practices. If, based on such accounting records and practices, it is determined or estimated, as applicable, that a particular distribution does not include capital gains or paid-in surplus or other capital sources, a Section 19 Notice generally would not be issued. It is important to note that differences exist between a Fund’s daily internal accounting records and practices, a Fund’s financial statements presented in accordance with U.S. GAAP, and recordkeeping practices under income tax regulations. For instance, a Fund’s internal accounting records and practices may take into account, among other factors, tax-related characteristics of certain sources of distributions that differ from treatment under U.S. GAAP. Examples of such differences may include, but are not limited to, for certain Funds, the treatment of periodic payments under interest rate swap contracts. Accordingly, among other consequences, it is possible that a Fund may not issue a Section 19 Notice in situations where a Fund’s financial statements prepared later and in accordance with U.S. GAAP and/or the final tax character of those distributions might later report that the sources of those distributions included capital gains and/or a return of capital. Please visit www.pimco.com for the most recent Section 19 Notice, if applicable, for additional information regarding the estimated composition of distributions. Final determination of a distribution’s tax character will be provided to shareholders when such information is available.

 

Distributions classified as a tax basis return of capital at a Fund’s fiscal year end, if any, are reflected on the Statements of Changes in Net Assets and have been recorded to paid in capital on the Statements of Assets and Liabilities. In addition, other amounts have been reclassified between distributable earnings (accumulated loss) and paid in capital on the Statements of Assets and Liabilities to more appropriately conform U.S. GAAP to tax characterizations of distributions.

 

 

       
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d) New Accounting Pronouncements and Regulatory Updates  In March 2020, the Financial Accounting Standards Board issued an Accounting Standards Update (“ASU”), ASU 2020-04, which provides optional guidance to ease the potential accounting burden associated with transitioning away from the London Interbank Offered Rate and other reference rates that are expected to be discontinued. The ASU is effective immediately upon release of the update on March 12, 2020 through December 31, 2022. At this time, management is evaluating implications of these changes on the financial statements.

 

In October 2020, the U.S. Securities and Exchange Commission (“SEC”) adopted a rule related to the use of derivatives, short sales, reverse repurchase agreements and certain other transactions by registered investment companies that rescinds and withdraws the guidance of the SEC and its staff regarding asset segregation and cover transactions. Subject to certain exceptions, the rule requires funds to trade derivatives and other transactions that create future payment or delivery obligations (except reverse repurchase agreements and similar financing transactions) subject to a value-at-risk leverage limit, certain derivatives risk management program and reporting requirements. The rule went into effect on February 19, 2021 and funds will have an eighteen-month transition period to comply with the rule and related reporting requirements. At this time, management is evaluating the implications of these changes on the financial statements.

 

In October 2020, the SEC adopted a rule regarding the ability of a fund to invest in other funds. The rule allows a fund to acquire shares of another fund in excess of certain limitations currently imposed by the Act without obtaining individual exemptive relief from the SEC, subject to certain conditions. The rule also includes the rescission of certain exemptive relief from the SEC and guidance from the SEC staff for funds to invest in other funds. The effective date for the rule was January 19, 2021, and the compliance date for the rule was January 19, 2022. Management has implemented changes in connection with the rule and has determined that there is no material impact to the Funds’ financial statements.

 

In December 2020, the SEC adopted a rule addressing fair valuation of fund investments. The new rule sets forth requirements for good faith determinations of fair value as well as for the performance of fair value determinations, including related oversight and reporting obligations. The new rule also defines “readily available market quotations” for purposes of the definition of “value” under the Act, and the SEC noted that this definition would apply in all contexts under the Act. The effective date for the rule was March 8, 2021. The SEC adopted an eighteen-month transition period beginning from the effective date for both the new rule and the associated new recordkeeping requirements. At this time, management is evaluating the implications of these changes on the financial statements.

3. INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS

 

(a) Investment Valuation Policies  The NAV of a Fund, or each of its share classes as applicable, is determined by dividing the total value of portfolio investments and other assets, less any liabilities attributable to that Fund or class, by the total number of shares outstanding of that 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 Funds or their agents after the time as of which NAV has been calculated on a particular day will not generally be used to retroactively adjust the price of a security or the NAV determined earlier that day. If regular trading on the NYSE closes earlier than scheduled, each Fund reserves the right to either (i) calculate its NAV as of the earlier closing time or (ii) calculate its NAV as of the normally scheduled close of regular trading on the NYSE for that day. Each Fund generally does not calculate its NAV on days during which the NYSE is closed. However, if the NYSE is closed on a day it would normally be open for business, each Fund reserves the right to calculate its NAV as of the normally scheduled close of regular trading on the NYSE for that day or such other time that the Fund may determine.

 

For purposes of calculating 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 Funds’ approved pricing services, quotation reporting systems and other third-party sources (together, “Pricing Services”). The Funds will normally use pricing data for domestic equity securities received shortly after the NYSE Close and do 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 PIMCO 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 such data reflecting 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

 

 

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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, quotes obtained from a quotation reporting system, established market makers or pricing services. Swap agreements are valued on the basis of market-based prices supplied by Pricing Services or quotes obtained from brokers and dealers. A 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 Funds’ Boards 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, a 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, a 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. A Fund may utilize modeling tools provided by third-party vendors to determine fair values of non-U.S. securities. For these purposes, 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 a Fund is not open for business, which may result in a 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 a 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 a Fund is not open for business. As a result, to the extent that a 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 a 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 a 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.

 

When a 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 Funds’ policy is intended to result in a calculation of a Fund’s NAV that fairly reflects security values

 

 

       
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as of the time of pricing, a Fund cannot ensure that fair values determined by the Board or persons acting at their direction would accurately reflect the price that a 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 a 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 a 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 2 to Level 3 are a result of a change, in the normal course of business, from the use of methods used by Pricing Services (Level 2) to the use of a Broker Quote or valuation technique which utilizes significant unobservable inputs due to an absence of current or reliable market-based data (Level 3). Transfers from Level 3 to Level 2 are a result of the availability of current and reliable market-based data provided by Pricing 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 each respective 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 a 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 each respective 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:

 

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.

 

 

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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.

 

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 services. Financial derivatives using these valuation adjustments are categorized as Level 2 of the fair value hierarchy.

 

Equity exchange-traded options and over the counter financial derivative instruments, such as forward foreign currency contracts and options contracts derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These contracts are normally valued on the basis of quotes obtained from a quotation reporting system, established market makers or Pricing 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 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.

 

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.

 

Proxy pricing procedures set the base price of a fixed income security and subsequently adjust the price proportionally to market value changes of a pre-determined security deemed to be comparable in duration, generally a U.S. Treasury or sovereign note based on country of issuance. The base price may be a broker-dealer quote, transaction price, or an internal value as derived by analysis of market data. The base price of the security may be reset on a periodic basis based on the availability of market data and procedures approved by the Valuation Oversight Committee. Significant changes in the unobservable inputs of the proxy pricing process (the base price) would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.

 

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

 

Reference instrument valuation estimates fair value by utilizing the correlation of the security to one or more broad-based securities, market indices, and/or other financial instruments, whose pricing information is readily available. Unobservable inputs may include those used in algorithms based on percentage change in the reference instruments and/or weights of each reference instrument. Significant changes in the unobservable inputs would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 2 or Level 3 of the fair value hierarchy depending on the source or input of the reference instrument.

 

 

       
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The Discounted Cash Flow model is based on future cash flows generated by the investment and may be normalized based on expected investment performance. Future cash flows are discounted to present value using an appropriate rate of return, typically calibrated to the initial transaction date and adjusted based on Capital Asset Pricing Model and/or other market-based inputs. Significant changes in the unobservable inputs would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.

 

The Comparable Companies model is based on application of valuation multiples from publicly traded comparable companies to the financials of the subject company. Adjustments may be made to the market-derived valuation multiples based on differences between the comparable companies and the subject company. Significant changes in the unobservable inputs would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.

 

The Waterfall Recoverability model is based on liquidation or net asset value approaches. Typically this model would be used in distressed scenarios or when a business is worth more through the sale of individual assets than continuing as an operating business. Significant changes in the unobservable inputs would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.

 

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

 

4. SECURITIES AND OTHER INVESTMENTS

 

Investments in Securities

The Funds may utilize the investments and strategies described below to the extent permitted by each Fund’s respective investment policies.

 

Loans and Other Indebtedness, Loan Participations and Assignments  are direct debt instruments which are interests in amounts owed to lenders or lending syndicates by corporate, governmental, or other borrowers. A Fund’s investments in loans may be in the form of direct investments, participations in loans or assignments of all or a portion of loans from third parties or exposure to investments in loans through investments in a mutual fund or other pooled investment vehicle. A loan is often administered by a bank or

other financial institution (the “agent”) that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. A Fund may invest in multiple series or tranches of a loan, which may have varying terms and carry different associated risks. A Fund generally has no right to enforce compliance with the terms of the loan agreement with the borrower. As a result, a Fund may be subject to the credit risk of both the borrower and the agent that is selling the loan agreement.

 

In the event of the insolvency of the agent selling a participation, a Fund may be treated as a general creditor of the agent and may not benefit from any set-off between the agent and the borrower. When a Fund purchases assignments from agents it acquires direct rights against the borrowers of the loans. These loans may include participations in bridge loans, which are loans taken out by borrowers for a short period (typically less than one year) pending arrangement of more permanent financing through, for example, the issuance of bonds, frequently high yield bonds issued for the purpose of acquisitions.

 

Investments in loans are generally subject to risks similar to those of investments in other types of debt obligations, including, among others, credit risk, interest rate risk, variable and floating rate securities risk, and risks associated with mortgage-related securities. In addition, in many cases loans are subject to the risks associated with below investment grade securities. The Funds may be subject to heightened or additional risks and potential liabilities and costs by investing in mezzanine and other subordinated loans, including those arising under bankruptcy, fraudulent conveyance, equitable subordination, environmental and other laws and regulations, and risks and costs associated with debt servicing and taking foreclosure actions associated with the loans.

 

Additionally, because loans are not ordinarily registered with the SEC or any state securities commission or listed on any securities exchange, there is usually less publicly available information about such instruments. In addition, loans may not be considered “securities” for purposes of the anti-fraud provisions under the federal securities laws and, as a result, as a purchaser of these instruments, a Fund may not be entitled to the anti-fraud protections of the federal securities laws. In the course of investing in such instruments, a Fund may come into possession of material nonpublic information and, because of prohibitions on trading in securities of issuers while in possession of such information, the Fund may be unable to enter into a transaction in a publicly-traded security of that issuer when it would otherwise be advantageous for the Fund to do so. Alternatively, a Fund may choose not to receive material nonpublic information about an issuer of such loans, with the result that the Fund may have less information about such issuers than other investors who transact in such assets.

 

 

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The types of loans and related investments in which the Funds may invest include, among others, senior loans, subordinated loans (including second lien loans, B-Notes and mezzanine loans), whole loans, commercial real estate and other commercial loans and structured loans. The Funds may acquire direct interests in loans through primary loan distributions and/or in private transactions. In the case of subordinated loans, there may be significant indebtedness ranking ahead of the borrower’s obligation to the holder of such a loan, including in the event of the borrower’s insolvency. Mezzanine loans are typically secured by a pledge of an equity interest in the mortgage borrower that owns the real estate rather than an interest in a mortgage.

 

Investments in loans may include unfunded loan commitments, which are contractual obligations for future funding. Unfunded loan commitments may include revolving credit facilities, which may obligate a Fund to supply additional cash to the borrower on demand. Unfunded loan commitments represent a future obligation in full, even though a percentage of the committed amount may not be utilized by the borrower. When investing in a loan participation, a Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the agent selling the loan agreement and only upon receipt of payments by the agent from the borrower. Because investing in unfunded loan commitments creates a future obligation for a Fund to provide funding to a borrower upon demand in exchange for a fee, the Fund will segregate or earmark liquid assets with the Fund’s custodian in amounts sufficient to satisfy any such future obligations. A Fund may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a loan. In certain circumstances, a Fund may receive a penalty fee upon the prepayment of a loan by a borrower. Fees earned or paid are recorded as a component of interest income or interest expense, respectively, on the Statements of Operations. Unfunded loan commitments, if any, are reflected as a liability on the Statements of Assets and Liabilities.

 

Mortgage-Related and Other Asset-Backed Securities  directly or indirectly represent a participation in, or are secured by and payable from, loans on real property. Mortgage-related securities are created from pools of residential or commercial mortgage loans, including mortgage loans made by savings and loan institutions, mortgage bankers, commercial banks and others. These securities typically provide a monthly payment which consists of both principal and interest. Interest may be determined by fixed or adjustable rates. In times of declining interest rates, there is a greater likelihood that a Fund’s higher yielding securities will be pre-paid with the Fund being unable to reinvest the proceeds in an investment with as great a yield. The rate of prepayments on underlying mortgages will affect the price and volatility of a mortgage-related security, and may have the effect of shortening or extending the effective duration of the security relative to

what was anticipated at the time of purchase. Interest-only and principal-only securities are especially sensitive to interest rate changes, which can affect not only their prices but can also change the income flows and repayment assumptions about those investments. The timely payment of principal and interest of certain mortgage-related securities is guaranteed with the full faith and credit of the U.S. Government. Pools created and guaranteed by non-governmental issuers, including government-sponsored corporations, may be supported by various forms of insurance or guarantees, but there can be no assurance that private insurers or guarantors can meet their obligations under the insurance policies or guarantee arrangements. Many of the risks of investing in mortgage-related securities secured by commercial mortgage loans reflect the effects of local and other economic conditions on real estate markets, the ability of tenants to make lease payments, and the ability of a property to attract and retain tenants. These securities may be less liquid and may exhibit greater price volatility than other types of mortgage-related or other asset-backed securities. Other asset-backed securities are created from many types of assets, including, but not limited to, auto loans, accounts receivable, such as credit card receivables and hospital account receivables, home equity loans, student loans, boat loans, mobile home loans, recreational vehicle loans, manufactured housing loans, aircraft leases, computer leases and syndicated bank loans. The Funds may invest in any level of the capital structure of an issuer of mortgage-backed or asset-backed securities, including the equity or “first loss” tranche.

 

Collateralized Debt Obligations  (“CDOs”) include Collateralized Bond Obligations (“CBOs”), Collateralized Loan Obligations (“CLOs”) and other similarly structured securities. CBOs and CLOs are types of asset-backed securities. A CBO is a trust which is typically backed by a diversified pool of high risk, below investment grade fixed income securities. A CLO is a trust typically collateralized by a pool of loans, which may include, among others, domestic and foreign senior secured loans, senior unsecured loans, and subordinate corporate loans, including loans that may be rated below investment grade or equivalent unrated loans. For both CBOs and CLOs, the cash flows from the trust are split into two or more portions, called tranches, varying in risk and yield. The riskiest portion is the “equity” tranche which bears the bulk of defaults from the bonds or loans in the trust and serves to protect the other, more senior tranches from default in all but the most severe circumstances. Since it is partially protected from defaults, a senior tranche from a CBO trust or CLO trust typically has higher ratings and lower yields than the underlying securities, and can be rated investment grade. Despite the protection from the equity tranche, CBO or CLO tranches can experience substantial losses due to actual defaults, increased sensitivity to defaults due to collateral default and disappearance of protecting tranches, market anticipation of defaults and aversion to CBO or CLO securities as a class. The risks of

 

 

       
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an investment in a CDO depend largely on the type of the collateral securities and the class of the CDO in which a Fund invests. CDOs carry additional risks including, but not limited to, (i) the possibility that distributions from collateral securities will not be adequate to make interest or other payments, (ii) the collateral may decline in value or default, (iii) the risk that a Fund may invest in CDOs that are subordinate to other classes, and (iv) the complex structure of the security may not be fully understood at the time of investment and may produce disputes with the issuer or unexpected investment results.

 

Collateralized Mortgage Obligations  (“CMOs”) are debt obligations of a legal entity that are collateralized by whole mortgage loans or private mortgage bonds and divided into classes. CMOs are structured into multiple classes, often referred to as “tranches”, with each class bearing a different stated maturity and entitled to a different schedule for payments of principal and interest, including prepayments. CMOs may be less liquid and may exhibit greater price volatility than other types of mortgage-related or asset-backed securities.

 

As CMOs have evolved, some classes of CMO bonds have become more common. For example, a Fund may invest in parallel-pay and planned amortization class (“PAC”) CMOs and multi-class pass-through certificates. Parallel-pay CMOs and multi-class pass-through certificates are structured to provide payments of principal on each payment date to more than one class. These simultaneous payments are taken into account in calculating the stated maturity date or final distribution date of each class, which, as with other CMO and multi-class pass-through structures, must be retired by its stated maturity date or final distribution date but may be retired earlier. PACs generally require payments of a specified amount of principal on each payment date. PACs are parallel-pay CMOs with the required principal amount on such securities having the highest priority after interest has been paid to all classes. Any CMO or multi-class pass-through structure that includes PAC securities must also have support tranches — known as support bonds, companion bonds or non-PAC bonds — which lend or absorb principal cash flows to allow the PAC securities to maintain their stated maturities and final distribution dates within a range of actual prepayment experience. These support tranches are subject to a higher level of maturity risk compared to other mortgage-related securities, and usually provide a higher yield to compensate investors. If principal cash flows are received in amounts outside a pre-determined range such that the support bonds cannot lend or absorb sufficient cash flows to the PAC securities as intended, the PAC securities are subject to heightened maturity risk. A Fund may invest in various tranches of CMO bonds, including support bonds and equity or “first loss” tranches (see “Collateralized Debt Obligations” above).

 

Stripped Mortgage-Backed Securities  (“SMBS”) are derivative multi-class mortgage securities. SMBS are usually structured with two classes

that receive different proportions of the interest and principal distributions on a pool of mortgage assets. An SMBS will have one class that will receive all of the interest (the interest-only or “IO” class), while the other class will receive the entire principal (the principal-only or “PO” class). IOs and POs can be extremely volatile in response to changes in interest rates. As interest rates rise and fall, the value of IOs tends to move in the same direction as interest rates. POs perform best when prepayments on the underlying mortgages rise since this increases the rate at which the principal is returned and the yield to maturity on the PO. When payments on mortgages underlying a PO are slower than anticipated, the life of the PO is lengthened and the yield to maturity is reduced. The yield to maturity on an IO class is extremely sensitive to the rate of principal payments (including prepayments) on the related underlying mortgage assets, and a rapid rate of principal payments may have a material adverse effect on a Fund’s yield to maturity from these securities. If the underlying mortgage assets experience greater than anticipated prepayments of principal, the Funds may fail to recoup some or all of its initial investment in these securities even if the security is in one of the highest rating categories.

 

Payments received for IOs are included in interest income on the Statements of Operations. Because no principal will be received at the maturity of an IO, adjustments are made to the cost of the security on a monthly basis until maturity. These adjustments are included in interest income on the Statements of Operations. Payments received for POs are treated as reductions to the cost and par value of the securities.

 

Payment In-Kind Securities  may give the issuer the option at each interest payment date of making interest payments in either cash and/or additional debt securities. Those additional debt securities usually have the same terms, including maturity dates and interest rates, and associated risks as the original bonds. The daily market quotations of the original bonds may include the accrued interest (referred to as a dirty price) and require a pro rata adjustment from the unrealized appreciation (depreciation) on investments to interest receivable on the Statements of Assets and Liabilities.

 

Perpetual Bonds  are fixed income securities with no maturity date but pay a coupon in perpetuity (with no specified ending or maturity date). Unlike typical fixed income securities, there is no obligation for perpetual bonds to repay principal. The coupon payments, however, are mandatory. While perpetual bonds have no maturity date, they may have a callable date in which the perpetuity is eliminated and the issuer may return the principal received on the specified call date. Additionally, a perpetual bond may have additional features, such as interest rate increases at periodic dates or an increase as of a predetermined point in the future.

 

Real Estate Investment Trusts  (“REITs”) are pooled investment vehicles that own, and typically operate, income-producing real estate.

 

 

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If a REIT meets certain requirements, including distributing to shareholders substantially all of its taxable income (other than net capital gains), then it is not taxed on the income distributed to shareholders. Distributions received from REITs may be characterized as income, capital gain or a return of capital. A return of capital is recorded by a Fund as a reduction to the cost basis of its investment in the REIT. REITs are subject to management fees and other expenses, and so the Funds that invest in REITs will bear their proportionate share of the costs of the REITs’ operations.

 

Restricted Investments  are subject to legal or contractual restrictions on resale and may generally be sold privately, but may be required to be registered or exempted from such registration before being sold to the public. Private placement securities are generally considered to be restricted except for those securities traded between qualified institutional investors under the provisions of Rule 144A of the Securities Act of 1933. Disposal of restricted investments may involve time-consuming negotiations and expenses, and prompt sale at an acceptable price may be difficult to achieve. Restricted investments held by the Funds as of January 31, 2022, as applicable, are disclosed in the Notes to Schedules of Investments.

 

Securities Issued by U.S. Government Agencies or Government-Sponsored Enterprises  are obligations of and, in certain cases, guaranteed by, the U.S. Government, its agencies or instrumentalities. Some U.S. Government securities, such as Treasury bills, notes and bonds, and securities guaranteed by the Government National Mortgage Association, are supported by the full faith and credit of the U.S. Government; others, such as those of the Federal Home Loan Banks, are supported by the right of the issuer to borrow from the U.S. Department of the Treasury (the “U.S. Treasury”); and others, such as those of the Federal National Mortgage Association (“FNMA” or “Fannie Mae”), are supported by the discretionary authority of the U.S. Government to purchase the agency’s obligations. U.S. Government securities may include zero coupon securities which do not distribute interest on a current basis and tend to be subject to a greater risk than interest-paying securities of similar maturities.

 

Government-related guarantors (i.e., not backed by the full faith and credit of the U.S. Government) include FNMA and the Federal Home Loan Mortgage Corporation (“FHLMC” or “Freddie Mac”). FNMA is a government-sponsored corporation. FNMA purchases conventional (i.e., not insured or guaranteed by any government agency) residential mortgages from a list of approved seller/servicers which include state and federally chartered savings and loan associations, mutual savings banks, commercial banks and credit unions and mortgage bankers. Pass-through securities issued by FNMA are guaranteed as to timely payment of principal and interest by FNMA, but are not backed by the

full faith and credit of the U.S. Government. FHLMC issues Participation Certificates (“PCs”), which are pass-through securities, each representing an undivided interest in a pool of residential mortgages. FHLMC guarantees the timely payment of interest and ultimate collection of principal, but PCs are not backed by the full faith and credit of the U.S. Government. Instead, they are supported only by the discretionary authority of the U.S. Government to purchase the agency’s obligations.

 

In June 2019, FNMA and FHLMC started issuing Uniform Mortgage Backed Securities in place of their current offerings of TBA-eligible securities (the “Single Security Initiative”). The Single Security Initiative seeks to support the overall liquidity of the TBA market and aligns the characteristics of FNMA and FHLMC certificates. The effects that the Single Security Initiative may have on the market for TBA and other mortgage-backed securities are uncertain.

 

Roll-timing strategies can be used where a Fund seeks to extend the expiration or maturity of a position, such as a TBA security on an underlying asset, by closing out the position before expiration and opening a new position with respect to substantially the same underlying asset with a later expiration date. TBA securities purchased or sold are reflected on the Statements of Assets and Liabilities as an asset or liability, respectively. Recently finalized FINRA rules include mandatory margin requirements for the TBA market that require the Funds to post collateral in connection with their TBA transactions. There is no similar requirement applicable to the Funds’ TBA counterparties. The required collateralization of TBA trades could increase the cost of TBA transactions to the Funds and impose added operational complexity.

 

Warrants   are securities that are usually issued together with a debt security or preferred security and that give the holder the right to buy a proportionate amount of common stock at a specified price. Warrants normally have a life that is measured in years and entitle the holder to buy common stock of a company at a price that is usually higher than the market price at the time the warrant is issued. Warrants may entail greater risks than certain other types of investments. Generally, warrants do not carry the right to receive dividends or exercise voting rights with respect to the underlying securities, and they do not represent any rights in the assets of the issuer. In addition, their value does not necessarily change with the value of the underlying securities, and they cease to have value if they are not exercised on or before their expiration date. If the market price of the underlying stock does not exceed the exercise price during the life of the warrant, the warrant will expire worthless. Warrants may increase the potential profit or loss to be realized from the investment as compared with investing the same amount in the underlying securities. Similarly, the percentage increase or decrease in the value of an equity security warrant may be greater

 

 

       
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than the percentage increase or decrease in the value of the underlying common stock. Warrants may relate to the purchase of equity or debt securities. Debt obligations with warrants attached to purchase equity securities have many characteristics of convertible securities and their prices may, to some degree, reflect the performance of the underlying stock. Debt obligations also may be issued with warrants attached to purchase additional debt securities at the same coupon rate. A decline in interest rates would permit a Fund to sell such warrants at a profit. If interest rates rise, these warrants would generally expire with no value.

 

When-Issued Transactions  are purchases or sales made on a when-issued basis. These transactions are made conditionally because a security, although authorized, has not yet been issued in the market. Transactions to purchase or sell securities on a when-issued basis involve a commitment by a Fund to purchase or sell these securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. A Fund may sell when-issued securities before they are delivered, which may result in a realized gain (loss).

 

5. BORROWINGS AND OTHER FINANCING TRANSACTIONS

 

The Funds may enter into the borrowings and other financing transactions described below to the extent permitted by each Fund’s respective investment policies.

 

The following disclosures contain information on a Fund’s ability to lend or borrow cash or securities to the extent permitted under the Act, which may be viewed as borrowing or financing transactions by a Fund. The location of these instruments in each Fund’s financial statements is described below.

 

(a) Repurchase Agreements  Under the terms of a typical repurchase agreement, a Fund purchases an underlying debt obligation (collateral) subject to an obligation of the seller to repurchase, and a Fund to resell, the obligation at an agreed-upon price and time. In an open maturity repurchase agreement, there is no pre-determined repurchase date and the agreement can be terminated by the Fund or counterparty at any time. The underlying securities for all repurchase agreements are held by a Fund’s custodian or designated subcustodians under tri-party repurchase agreements and in certain instances will remain in custody with the counterparty. The market value of the collateral must be equal to or exceed the total amount of the repurchase obligations, including interest. Repurchase agreements, if any, including accrued interest, are included on the Statements of Assets and Liabilities. Interest earned is recorded as a component of interest income on the Statements of Operations. In periods of increased demand for collateral, a Fund may pay a fee for the receipt of collateral, which may result in interest expense to the Fund.

(b) Reverse Repurchase Agreements  In a reverse repurchase agreement, a Fund delivers a security in exchange for cash to a financial institution, the counterparty, with a simultaneous agreement to repurchase the same or substantially the same security at an agreed upon price and date. In an open maturity reverse repurchase agreement, there is no pre-determined repurchase date and the agreement can be terminated by the Fund or counterparty at any time. A Fund is entitled to receive principal and interest payments, if any, made on the security delivered to the counterparty during the term of the agreement. Cash received in exchange for securities delivered plus accrued interest payments to be made by a Fund to counterparties are reflected as a liability on the Statements of Assets and Liabilities. Interest payments made by a Fund to counterparties are recorded as a component of interest expense on the Statements of Operations. In periods of increased demand for the security, a Fund may receive a fee for use of the security by the counterparty, which may result in interest income to the Fund. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, a Fund’s use of the proceeds of the agreement may be restricted pending a determination by the other party, or its trustee or receiver, whether to enforce a Fund’s obligation to repurchase the securities. Reverse repurchase agreements involve leverage risk and also the risk that the market value of the securities to be repurchased may decline below the repurchase price.

 

6. FINANCIAL DERIVATIVE INSTRUMENTS

 

The Funds may enter into the financial derivative instruments described below to the extent permitted by each Fund’s respective investment policies.

 

The following disclosures contain information on how and why the Funds use financial derivative instruments, and how financial derivative instruments affect the Funds’ financial position, results of operations and cash flows. The location and fair value amounts of these instruments on the Statements of Assets and Liabilities and the net realized gain (loss) and net change in unrealized appreciation (depreciation) on the Statements of Operations, each categorized by type of financial derivative contract and related risk exposure, are included in a table in the Notes to Schedules of Investments. The financial derivative instruments outstanding as of period end and the amounts of net realized gain (loss) and net change in unrealized appreciation (depreciation) on financial derivative instruments during the period, as disclosed in the Notes to Schedules of Investments, serve as indicators of the volume of financial derivative activity for the Funds.

 

PIMCO Corporate & Income Opportunity Fund is subject to regulation as a commodity pool under the Commodity Exchange Act pursuant to recent rule changes by the Commodity Futures Trading Commission (the “CFTC”). The Manager has registered with the CFTC as a

 

 

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Commodity Pool Operator and a Commodity Trading Adviser with respect to the Fund, and is a member of the National Futures Association. As a result, additional CFTC-mandated disclosure, reporting and recordkeeping obligations apply to PIMCO Corporate & Income Opportunity Fund.

 

(a) Forward Foreign Currency Contracts  may be engaged, in connection with settling planned purchases or sales of securities, to hedge the currency exposure associated with some or all of a Fund’s securities or as part of an investment strategy. A forward foreign currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. The market value of a forward foreign currency contract fluctuates with changes in foreign currency exchange rates. Forward foreign currency contracts are marked to market daily, and the change in value is recorded by a Fund as an unrealized gain (loss). Realized gains (losses) are equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed and are recorded upon delivery or receipt of the currency. The contractual obligations of a buyer or seller of a forward foreign currency contract may generally be satisfied by taking or making physical delivery of the underlying currency, establishing an opposite position in the contract and recognizing the profit or loss on both positions simultaneously on the delivery date or, in some instances, paying a cash settlement before the designated date of delivery. These contracts may involve market risk in excess of the unrealized gain (loss) reflected on the Statements of Assets and Liabilities. Although forwards may be intended to minimize the risk of loss due to a decline in the value of the hedged currencies, at the same time, they tend to limit any potential gain which might result should the value of such currencies increase. In addition, a Fund could be exposed to risk if the counterparties are unable to meet the terms of the contracts or if the value of the currency changes unfavorably to the U.S. dollar. To mitigate such risk, cash or securities may be exchanged as collateral pursuant to the terms of the underlying contracts.

 

(b) Options Contracts  An option on an instrument (or an index) is a contract that gives the holder of the option, in return for a premium, the right to buy from (in the case of a call) or sell to (in the case of a put) the writer of the option the instrument underlying the option (or the cash value of the index) at a specified exercise price at any time during the term of the option. Writing put options tends to increase a Fund’s exposure to the underlying instrument. Writing call options tends to decrease a Fund’s exposure to the underlying instrument. When a Fund writes a call or put, an amount equal to the premium received is recorded and subsequently marked to market to reflect the current value of the option written. These amounts are included on the Statements of Assets and Liabilities. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the

proceeds or offset against amounts paid on the underlying futures, swap, security or currency transaction to determine the realized gain (loss). Certain options may be written with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms. A Fund as a writer of an option has no control over whether the underlying instrument may be sold (“call”) or purchased (“put”) and as a result bears the market risk of an unfavorable change in the price of the instrument underlying the written option. There is the risk a Fund may not be able to enter into a closing transaction because of an illiquid market.

 

Purchasing call options tends to increase a Fund’s exposure to the underlying instrument. Purchasing put options tends to decrease a Fund’s exposure to the underlying instrument. A Fund pays a premium which is included as an asset on the Statements of Assets and Liabilities and subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options which expire are treated as realized losses. Certain options may be purchased with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms. The risk associated with purchasing put and call options is limited to the premium paid. Premiums paid for purchasing options which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain (loss) when the underlying transaction is executed.

 

Credit Default Swaptions  may be written or purchased to hedge exposure to the credit risk of an investment without making a commitment to the underlying instrument. A credit default swaption is an option to sell or buy credit protection on a specific reference by entering into a pre-defined swap agreement by some specified date in the future.

 

(c) Swap Agreements  are bilaterally negotiated agreements between a Fund and a counterparty to exchange or swap investment cash flows, assets, foreign currencies or market-linked returns at specified, future intervals. Swap agreements may be privately negotiated in the over the counter market (“OTC swaps”) or may be cleared through a third party, known as a central counterparty or derivatives clearing organization (“Centrally Cleared Swaps”). A Fund may enter into asset, credit default, cross-currency, interest rate, total return, variance and other forms of swap agreements to manage its exposure to credit, currency, interest rate, commodity, equity and inflation risk. In connection with these agreements, securities or cash may be identified as collateral or margin in accordance with the terms of the respective swap agreements to provide assets of value and recourse in the event of default or bankruptcy/insolvency.

 

Centrally Cleared Swaps are marked to market daily based upon valuations as determined from the underlying contract or in accordance

 

 

       
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with the requirements of the central counterparty or derivatives clearing organization. Changes in market value, if any, are reflected as a component of net change in unrealized appreciation (depreciation) on the Statements of Operations. Daily changes in valuation of centrally cleared swaps, if any, are recorded as variation margin on the Statements of Assets and Liabilities. Centrally Cleared and OTC swap payments received or paid at the beginning of the measurement period are included on the Statements of Assets and Liabilities and represent premiums paid or received upon entering into the swap agreement to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors). Upfront premiums received (paid) are initially recorded as liabilities (assets) and subsequently marked to market to reflect the current value of the swap. These upfront premiums are recorded as realized gain (loss) on the Statements of Operations upon termination or maturity of the swap. A liquidation payment received or made at the termination of the swap is recorded as realized gain (loss) on the Statements of Operations. Net periodic payments received or paid by a Fund are included as part of realized gain (loss) on the Statements of Operations.

 

For purposes of a Fund’s investment policy adopted pursuant to Rule 35d-1 under the Act (if any), the Fund will account for derivative instruments at market value. For purposes of applying a Fund’s other investment policies and restrictions, swap agreements, like other derivative instruments, may be valued by a Fund at market value, notional value or full exposure value (i.e., the sum of the notional amount for the contract plus the market value) or any combination of the foregoing (e.g., notional value for purposes of calculating the numerator and market value for purposes of calculating the denominator for compliance with a particular policy or restriction). See Note 6 — Asset Segregation below. In the case of a credit default swap, in applying certain of a Fund’s investment policies and restrictions, the Funds will value the credit default swap at its notional value or its full exposure value (i.e., the sum of the notional amount for the contract plus the market value), but may value the credit default swap at market value for purposes of applying certain of a Fund’s other investment policies and restrictions. For example, a Fund may value credit default swaps at full exposure value for purposes of a Fund’s credit quality guidelines (if any) because such value in general better reflects a Fund’s actual economic exposure during the term of the credit default swap agreement. As a result, a Fund may, at times, have notional exposure to an asset class (before netting) that is greater or lesser than the stated limit or restriction noted in a Fund’s prospectus. In this context, both the notional amount and the market value may be positive or negative depending on whether a Fund is selling or buying protection through the credit default swap. The manner in which certain securities or other instruments are valued by a Fund for

purposes of applying investment policies and restrictions may differ from the manner in which those investments are valued by other types of investors.

 

Entering into swap agreements involves, to varying degrees, elements of interest, credit, market and documentation risk in excess of the amounts recognized on the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of contractual terms in the agreements and that there may be unfavorable changes in interest rates or the values of the asset upon which the swap is based.

 

A Fund’s maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from the counterparty over the contract’s remaining life, to the extent that amount is positive. The risk may be mitigated by having a master netting arrangement between a Fund and the counterparty and by the posting of collateral to a Fund to cover a Fund’s exposure to the counterparty.

 

To the extent a Fund has a policy to limit the net amount owed to or to be received from a single counterparty under existing swap agreements, such limitation only applies to counterparties to OTC swaps and does not apply to centrally cleared swaps where the counterparty is a central counterparty or derivatives clearing organization.

 

Credit Default Swap Agreements  on corporate, loan, sovereign, U.S. municipal or U.S. Treasury issues are entered into to provide a measure of protection against defaults of the issuers (i.e., to reduce risk where a Fund owns or has exposure to the referenced obligation) or to take an active long or short position with respect to the likelihood of a particular issuer’s default. Credit default swap agreements involve one party making a stream of payments (referred to as the buyer of protection) to another party (the seller of protection) in exchange for the right to receive a specified return in the event that the referenced entity, obligation or index, as specified in the swap agreement, undergoes a certain credit event. As a seller of protection on credit default swap agreements, a Fund will generally receive from the buyer of protection a fixed rate of income throughout the term of the swap provided that there is no credit event. As the seller, a Fund would effectively add leverage to its portfolio because, in addition to its total net assets, a Fund would be subject to investment exposure on the notional amount of the swap.

 

If a Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation,

 

 

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other deliverable obligations or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. If a Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. Recovery values are estimated by market makers considering either industry standard recovery rates or entity specific factors and considerations until a credit event occurs. If a credit event has occurred, the recovery value is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the settlement value. The ability to deliver other obligations may result in a cheapest-to-deliver option (the buyer of protection’s right to choose the deliverable obligation with the lowest value following a credit event).

 

Credit default swap agreements on corporate or sovereign issues involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a default or other credit event. If a credit event occurs and cash settlement is not elected, a variety of other deliverable obligations may be delivered in lieu of the specific referenced obligation. The ability to deliver other obligations may result in a cheapest-to-deliver option (the buyer of protection’s right to choose the deliverable obligation with the lowest value following a credit event).

 

Credit default swap agreements on credit indices involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a write-down, principal shortfall, interest shortfall or default of all or part of the referenced entities comprising the credit index. A credit index is a basket of credit instruments or exposures designed to be representative of some part of the credit market as a whole. These indices are made up of reference credits that are judged by a poll of dealers to be the most liquid entities in the credit default swap market based on the sector of the index. Components of the indices may include, but are not limited to, investment grade securities, high yield securities, asset-backed securities, emerging markets, and/or various credit ratings within each sector. Credit indices are traded using credit default swaps with standardized terms including a fixed spread and standard maturity dates. An index credit default swap references all the names in the index, and if there is a default, the credit event is settled based on that

name’s weight in the index. The composition of the indices changes periodically, usually every six months, and for most indices, each name has an equal weight in the index. Credit default swaps on credit indices may be used to hedge a portfolio of credit default swaps or bonds, which is less expensive than it would be to buy many credit default swaps to achieve a similar effect. Credit default swaps on indices are instruments for protecting investors owning bonds against default, and traders use them to speculate on changes in credit quality.

 

Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate, loan, sovereign, U.S. municipal or U.S. Treasury issues as of period end, if any, are disclosed in the Notes to Schedules of Investments. They serve as an indicator of the current status of payment/performance risk and represent the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. For credit default swap agreements on asset-backed securities and credit indices, the quoted market prices and resulting values serve as the indicator of the current status of the payment/performance risk. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

 

The maximum potential amount of future payments (undiscounted) that a Fund as a seller of protection could be required to make under a credit default swap agreement equals the notional amount of the agreement. Notional amounts of each individual credit default swap agreement outstanding as of period end for which a Fund is the seller of protection are disclosed in the Notes to Schedules of Investments. These potential amounts would be partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swap agreements entered into by a Fund for the same referenced entity or entities.

 

Interest Rate Swap Agreements  may be entered into to help hedge against interest rate risk exposure and to maintain a Fund’s ability to generate income at prevailing market rates. The value of the fixed rate bonds that the Funds hold may decrease if interest rates rise. To help hedge against this risk and to maintain its ability to generate income at prevailing market rates, a Fund may enter into interest rate swap agreements. Interest rate swap agreements involve the exchange by a

 

 

       
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Fund with another party for their respective commitment to pay or receive interest on the notional amount of principal. Certain forms of interest rate swap agreements may include: (i) interest rate caps, under which, in return for a premium, one party agrees to make payments to the other to the extent that interest rates exceed a specified rate, or “cap”, (ii) interest rate floors, under which, in return for a premium, one party agrees to make payments to the other to the extent that interest rates fall below a specified rate, or “floor”, (iii) interest rate collars, under which a party sells a cap and purchases a floor or vice versa in an attempt to protect itself against interest rate movements exceeding given minimum or maximum levels, (iv) callable interest rate swaps, under which the buyer pays an upfront fee in consideration for the right to early terminate the swap transaction in whole, at zero cost and at a predetermined date and time prior to the maturity date, (v) spreadlocks, which allow the interest rate swap users to lock in the forward differential (or spread) between the interest rate swap rate and a specified benchmark, or (vi) basis swaps, under which two parties can exchange variable interest rates based on different segments of money markets.

 

Total Return Swap Agreements  are entered into to gain or mitigate exposure to the underlying reference asset. Total return swap agreements involve commitments where single or multiple cash flows are exchanged based on the price of an underlying reference asset and on a fixed or variable interest rate. Total return swap agreements may involve commitments to pay interest in exchange for a market-linked return. One counterparty pays out the total return of a specific underlying reference asset, which may include a single security, a basket of securities, or an index, and in return receives a fixed or variable rate. At the maturity date, a net cash flow is exchanged where the total return is equivalent to the return of the underlying reference asset less a financing rate, if any. As a receiver, a Fund would receive payments based on any net positive total return and would owe payments in the event of a net negative total return. As the payer, a Fund would owe payments on any net positive total return, and would receive payments in the event of a net negative total return. A Fund’s

use of a total return swap exposes the Fund to credit loss in the event of nonperformance by the swap counterparty. Risk may also arise from the unanticipated movements in value of exchange rates, interest rates, securities, or the index.

 

Asset Segregation  Certain transactions described above can be viewed as constituting a form of borrowing or financing transaction by a Fund. In such event, a Fund will cover its obligation under such transactions by segregating or “earmarking” assets in accordance with procedures adopted by the Board, in which case such transactions will not be considered “senior securities” by a Fund. With respect to forwards, futures contracts, options and swaps that are contractually required to cash settle (i.e., where physical delivery of the underlying reference asset is not permitted), a Fund (other than PIMCO Corporate & Income Opportunity Fund, PIMCO Income Strategy Fund and PIMCO Income Strategy Fund II) is permitted to segregate or earmark liquid assets equal to a Fund’s daily marked-to-market net obligation under the derivative instrument, if any, rather than the derivative’s full notional value. For PIMCO Corporate & Income Opportunity Fund, PIMCO Income Strategy Fund and PIMCO Income Strategy Fund II, with respect to forwards and futures contracts and interest rate swaps that are contractually required to cash settle (i.e., where physical delivery of the underlying reference asset is not permitted), the Fund is permitted to segregate or earmark liquid assets equal to the Fund’s daily marked-to-market net obligation under the derivative instrument, if any, rather than the derivative’s full notional value, but may segregate full notional value, as applicable, with respect to certain other derivative instruments (including, written credit default swaps and written options) that contractually require or permit physical delivery of securities or other underlying assets. By segregating or earmarking liquid assets equal to only its net marked-to-market obligation under certain derivatives that are required to cash settle, a Fund will have the ability to employ leverage to a greater extent than if a Fund were to segregate or earmark liquid assets equal to the full notional value of the derivative.

 

 

7. PRINCIPAL AND OTHER RISKS

 

(a) Principal Risks

In the normal course of business, the Funds trade financial instruments and enter into financial transactions where risk of potential loss exists due to such things as changes in the market (market risk) or failure or inability of the other party to a transaction to perform (credit and counterparty risk). See below for a detailed description of select principal risks. For a more comprehensive list of the principal risks the Funds may be subject to, please see the Principal Risks of the Funds’ annual report dated July 31, 2021.

 

          PIMCO
Corporate &
Income
Opportunity
Fund (PTY)
    PIMCO
Corporate &
Income
Strategy
Fund (PCN)
    PIMCO
High
Income
Fund
(PHK)
    PIMCO
Income
Strategy
Fund (PFL)
    PIMCO
Income
Strategy
Fund II
(PFN)
 

Call Risk

      X       X       X       X       X  

Collateralized Loan Obligations Risk

      X       X       X       X       X  

Contingent Convertible Securities Risk

      X       X       X       X       X  

 

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          PIMCO
Corporate &
Income
Opportunity
Fund (PTY)
    PIMCO
Corporate &
Income
Strategy
Fund (PCN)
    PIMCO
High
Income
Fund
(PHK)
    PIMCO
Income
Strategy
Fund (PFL)
    PIMCO
Income
Strategy
Fund II
(PFN)
 

Counterparty Risk

      X       X       X       X       X  

Credit Default Swaps Risk

      X       X       X       X       X  

Credit Risk

      X       X       X       X       X  

Derivatives Risk

      X       X       X       X       X  

Distressed and Defaulted Securities Risk

      X       X       X       X       X  

Distribution Risk

      X       X       X       X       X  

Emerging Markets Risk

      X       X       X       X       X  

Equity Securities and Related Market Risk

      X       X       X       X       X  

High Yield Securities Risk

      X       X       X       X       X  

Inflation/Deflation Risk

      X       X       X       X       X  

Inflation-Indexed Security Risk

      X       X       X       X       X  

Interest Rate Risk

      X       X       X       X       X  

Issuer Risk

      X       X       X       X       X  

Leverage Risk

      X       X       X       X       X  

Liquidity Risk

      X       X       X       X       X  

Loans and Other Indebtedness; Loan Participations and Assignments Risk

      X       X       X       X       X  

Market Risk

      X       X       X       X       X  

Management Risk

      X       X       X       X       X  

Mortgage-Related and Other Asset-Backed Securities Risk

      X       X       X       X       X  

Other Investment Companies Risk

      X       X       X       X       X  

Portfolio Turnover Risk

      X       X       X       X       X  

Preferred Securities Risk

      X       X       X       X       X  

Private Placements Risk

      X       X       X       X       X  

Privately-Issued Mortgage-Related Securities Risk

      X       X       X       X       X  

Reinvestment Risk

      X       X       X       X       X  

Repurchase Agreements Risk

      X       X       X       X       X  

Restricted Securities Risk

      X       X       X       X       X  

Segregation and Coverage Risk

      X       X       X       X       X  

Senior Debt Risk

      X       X       X       X       X  

Sovereign Debt Risk

      X       X       X       X       X  

Structured Investments Risk

      X       X       X       X       X  

Tax Risk

      X       X       X       X       X  

Valuation Risk

      X       X       X       X       X  

 

Call Risk  is the risk that an issuer may exercise its right to redeem a fixed income security earlier than expected (a call). Issuers may call outstanding securities prior to their maturity for a number of reasons (e.g., declining interest rates, changes in credit spreads and improvements in the issuer’s credit quality). If an issuer calls a security that the Fund has invested in, the Fund may not recoup the full amount of its initial investment and may be forced to reinvest in lower-yielding securities, securities with greater credit risks or securities with other, less favorable features.

 

Collateral Loan Obligations Risk  is the risk of investing in a trust typically collateralized by a pool of loans issued by banks, corporations or any other public or private entity or person, which may include, among others, domestic and foreign senior secured loans, senior unsecured loans and subordinate or mezzanine loans, including loans that may be rated below investment grade or equivalent unrated loans

(“Collateralized Loan Obligations Risk”) or (“CLOs”). In addition to the normal risks associated with debt instruments (e.g., interest rate risk and credit risk), CLOs carry additional risks including, but not limited to: (i) the possibility that distributions from the collateral will not be adequate to make interest or other payments; (ii) the risk that the quality of the collateral may decline in value or default; (iii) the risk that the Fund may invest in CBOs, CLOs or other CDOs that are subordinate to other classes; and (iv) the complex structure of the security may not be fully understood at the time of investment and may produce disputes with the issuer or others and may produce unexpected investment results.

 

Contingent Convertible Securities Risk  is the risk of investing in contingent convertible securities, which includes the risk that interest payments will be cancelled by the issuer or a regulatory authority, the risk of ranking junior to other creditors in the event of a liquidation or

 

 

       
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other bankruptcy-related event as a result of holding subordinated debt, the risk of the Fund’s investment becoming further subordinated as a result of conversion from debt to equity, the risk that the principal amount due can be written down to a lesser amount, and the general risks applicable to fixed income investments, including interest rate risk, credit risk, market risk and liquidity risk, any of which could result in losses to the Fund.

 

Counterparty Risk  is the risk that the Fund will be subject to credit risk with respect to the counterparties to the derivative contracts and other instruments entered into by the Fund or held by special purpose or structured vehicles in which the Fund invests. If a counterparty becomes bankrupt or otherwise fails to perform its obligations under a derivative contract due to financial difficulties, the Fund may experience significant delays in obtaining any recovery (including recovery of any collateral it has provided to the counterparty) in a dissolution, assignment for the benefit of creditors, liquidation, winding-up, bankruptcy, or other analogous proceeding.

 

Credit Default Swaps Risk  is the risk of investing in credit default swaps, including illiquidity risk, counterparty risk, leverage risk and credit risk. A buyer generally also will lose its investment and recover nothing should no credit event occur and the swap is held to its termination date. When the Fund acts as a seller of a credit default swap, it is exposed to many of the same risks of leverage described herein since if an event of default occurs, the seller must pay the buyer the full notional value of the reference obligation. In addition, selling credit default swaps may not be profitable for the Fund if no secondary market exists or the Fund is otherwise unable to close out these transactions at advantageous times.

 

Credit Risk  is the risk that the Fund could lose money if the issuer or guarantor of a fixed income security, or the counterparty to a derivative contract, repurchase agreement or a loan of portfolio securities, is unable or unwilling, or is perceived (whether by market participants, rating agencies, pricing services or otherwise) as unable or unwilling, to meet its financial obligations. Measures such as average credit quality may not accurately reflect the true credit risk of the Fund. This is especially the case if the Fund consists of securities with widely varying credit ratings.

 

Derivatives Risk  is the risk of investing in derivative instruments (such as futures, swaps and structured securities), including leverage, liquidity, interest rate, market, credit and management risks and valuation complexity. Changes in the value of a derivative may not correlate perfectly with, and may be more sensitive to market events than, the underlying asset, rate or index, and the Fund could lose more than the initial amount invested. The Fund’s use of derivatives may result in losses to the Fund, a reduction in the Fund’s returns and/or

increased volatility. Over-the-counter (“OTC”) derivatives are also subject to the risk that a counterparty to the transaction will not fulfill its contractual obligations to the other party, as many of the protections afforded to centrally-cleared derivative transactions might not be available for OTC derivatives. The primary credit risk on derivatives that are exchange-traded or traded through a central clearing counterparty resides with the Fund’s clearing broker, or the clearinghouse itself.

 

Distressed and Defaulted Securities Risk  is the risk of investing in the securities of financially distressed issuers, including the risk of default. These securities may fluctuate more in price and are typically less liquid. The Fund also will be subject to significant uncertainty as to when, and in what manner, and for what value obligations evidenced by securities of financially distressed issuers will eventually be satisfied.

 

Distribution Risk  is the risk that, to the extent the Fund seeks to maintain a level distribution rate, the Fund’s distribution rate may be affected by numerous factors, including but not limited to changes in realized and projected market returns, fluctuations in market interest rates, Fund performance, and other factors. For instance, during periods of low or declining interest rates, the Fund’s distributable income and dividend levels may decline for many reasons. There can be no assurance that a change in market conditions or other factors will not result in a change in the Fund’s distribution rate or that the rate will be sustainable in the future.

 

Emerging Markets Risk  is the risk of investing in emerging market securities, primarily increased foreign (non-U.S.) investment risk.

 

Equity Securities and Related Market Risk  is the risk that the value of equity securities, such as common stocks and preferred securities, may decline due to general market conditions which are not specifically related to a particular company or to factors affecting a particular industry or industries. Equity securities generally have greater price volatility than fixed income securities.

 

High Yield Securities Risk  is the risk that high yield securities and unrated securities of similar credit quality (commonly known as “junk bonds”) are subject to greater levels of credit, call and liquidity risks. High yield securities are considered primarily speculative with respect to the issuer’s continuing ability to make principal and interest payments and may be more volatile than higher-rated securities of similar maturity.

 

Inflation/Deflation Risk  is the risk that the value of assets or income from the Fund’s investments will be worth less in the future as inflation decreases the value of payments at future dates. As inflation increases, the real value of the Fund’s portfolio could decline. Deflation Risk is the risk that prices throughout the economy decline over time. Deflation may have an adverse effect on the creditworthiness of issuers and may

 

 

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make issuer default more likely, which may result in a decline in the value of the Fund’s portfolio and common shares.

 

Inflation-Indexed Security Risk  is the risk that inflation-indexed debt securities are subject to the effects of changes in market interest rates caused by factors other than inflation (real interest rates). In general, the value of an inflation-indexed security, including TIPS, tends to decrease when real interest rates increase and can increase when real interest rates decrease. Interest payments on inflation-indexed securities are unpredictable and will fluctuate as the principal and interest are adjusted for inflation. There can be no assurance that the inflation index used will accurately measure the real rate of inflation in the prices of goods and services. Any increase in the principal amount of an inflation-indexed debt security will be considered taxable ordinary income, even though the Fund will not receive the principal until maturity.

 

Interest Rate Risk  is the risk that fixed income securities and other instruments in the Fund’s portfolio will decline in value because of an increase in interest rates; a fund with a longer average portfolio duration will be more sensitive to changes in interest rates than a fund with a shorter average portfolio duration.

 

Issuer Risk  is the risk that the value of a security may decline for a reason directly related to the issuer, such as management performance, financial leverage and reduced demand for the issuer’s goods or services.

 

Leverage Risk  is the risk that certain transactions of the Fund, such as reverse repurchase agreements, dollar rolls and/or borrowings (as well as from any future issuance of preferred shares), delayed delivery or forward commitment transactions, or derivative instruments, may give rise to leverage, magnifying gains and losses and causing the Fund to be more volatile than if it had not been leveraged. This means that leverage entails a heightened risk of loss.

 

Liquidity Risk  is the risk that a particular investment may be difficult to purchase or sell and that the Fund may be unable to sell illiquid investments at an advantageous time or price or possibly require the Fund to dispose of other investments at unfavorable times or prices in order to satisfy its obligations, which could prevent the Fund from taking advantage of other investment opportunities. Additionally, the market for certain investments may become illiquid under adverse market or economic conditions independent of any specific adverse changes in the conditions of a particular issuer.

 

Loans and Other Indebtedness; Loan Participations and Assignments Risk  is the risk that scheduled interest or principal payments will not be made in a timely manner or at all, either of which may adversely affect the values of a loan. Additionally, there is a risk that the

collateral underlying a loan may be unavailable or insufficient to satisfy a borrower’s obligation, and the Fund could become part owner of any collateral if a loan is foreclosed, subjecting the Fund to costs associated with owning and disposing of the collateral.

 

In the event of the insolvency of the lender selling a participation, there is a risk that the Fund may be treated as a general creditor of the lender and may not benefit from any set-off between the lender and the borrower.

 

There is the risk that the Fund may have difficulty disposing of loans and loan participations due to the lack of a liquid secondary market for loans and loan participations.

 

To the extent the Fund acquires loans, including bank loans, the Fund may be subject to greater levels of credit risk, call risk, settlement risk and liquidity risk than funds that do not acquire such instruments.

 

Management Risk  is the risk that the investment techniques and risk analyses applied by PIMCO will not produce the desired results and that actual or potential conflicts of interest, legislative, regulatory, or tax restrictions, policies or developments may affect the investment techniques available to PIMCO and the individual portfolio manager in connection with managing the Fund and may cause PIMCO to restrict or prohibit participation in certain investments. There is no guarantee that the investment objective of the Fund will be achieved.

 

Market Risk  is the risk that the value of securities owned by the Fund may go up or down, sometimes rapidly or unpredictably, due to factors affecting securities markets generally or particular industries.

 

Mortgage-Related and Other Asset-Backed Securities Risk  is the risk of investing in mortgage-related and other asset-backed securities, including interest rate risk, extension risk, prepayment risk and credit risk.

 

Other Investment Companies Risk  is the risk that Common Shareholders may be subject to duplicative expenses to the extent the Fund invests in other investment companies. In addition, these other investment companies may utilize leverage, in which case an investment would subject the Fund to additional risks associated with leverage.

 

Portfolio Turnover Risk  is the risk that a high portfolio turnover will result in greater expenses to the Fund, including brokerage commissions or dealer mark-ups and other transaction costs on the sale of securities and reinvestments in other securities. Such sales may result in realization of taxable capital gains (including short-term capital gains, which are generally taxed to shareholders at ordinary income tax rates when distributed net of short-term capital losses and net long-term capital losses) and may adversely affect the Fund’s after-tax returns.

 

 

       
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Preferred Securities Risk  is the risk that certain preferred securities contain provisions that allow an issuer under certain conditions to skip or defer distributions which may require the Fund to include the amount of the deferred distribution in its taxable income for tax purposes although it does not currently receive such amount in cash. Additionally, preferred securities are subordinated to bonds and other debt securities in an issuer’s capital structure in terms of priority for corporate income and liquidation payments, and therefore will be subject to greater credit risk than those debt securities. Preferred securities may trade less frequently and in a more limited volume and may be subject to more abrupt or erratic price movements than many other securities, such as common stocks, corporate debt securities and U.S. Government securities.

 

Private Placements Risk  is the risk that securities received in a private placement may be subject to strict restrictions on resale, and there may be no liquid secondary market or ready purchaser for such securities. Therefore, the Fund may be unable to dispose of such securities when it desires to do so, or at the most favorable time or price. Private placements may also raise valuation risks.

 

Privately-Issued Mortgage-Related Securities Risk  is the risk of nonpayment because there are no direct or indirect government or agency guarantees of payments in the pools created by non-governmental issuers.

 

Reinvestment Risk  is the risk that income from the Fund’s portfolio will decline if and when the Fund invests the proceeds from matured, traded or called debt obligations at market interest rates that are below the portfolio’s current earnings rate. The Fund also may choose to sell higher yielding portfolio securities and to purchase lower yielding securities to achieve greater portfolio diversification, because the portfolio managers believe the current holdings are overvalued or for other investment-related reasons.

 

Repurchase Agreements Risk  is the risk that, if the party agreeing to repurchase a security should default, the Fund will seek to sell the securities which it holds, which could involve procedural costs or delays in addition to a loss on the securities if their value should fall below their repurchase price.

 

Restricted Securities Risk  is the risk that the Fund’s investment in securities that have not been registered for public sale, but that are eligible for purchase and sale pursuant to Rule 144A under the Securities Act, may be relatively less liquid than registered securities traded on established securities markets.

 

Segregation and Coverage Risk  is the risk that certain portfolio management techniques may be considered senior securities unless steps are taken to segregate the Fund’s assets or otherwise cover its

obligations. To avoid having these instruments considered senior securities, the Fund may segregate liquid assets with a value equal (on a daily mark-to-market basis) to its obligations under these types of leveraged transactions, enter into offsetting transactions or otherwise cover such transactions. The Fund may be unable to use such segregated assets for certain other purposes, which could result in the Fund earning a lower return on its portfolio than it might otherwise earn if it did not have to segregate those assets in respect of, or otherwise cover, such portfolio positions. To the extent the Fund’s assets are segregated or committed as cover, it could limit the Fund’s investment flexibility.

 

Senior Debt Risk  is the risk that the Fund may be subject to greater levels of credit risk than funds that do not invest in below investment grade senior debt. The Fund may also be subject to greater levels of liquidity risk than funds that do not invest in senior debt. Restrictions on transfers in loan agreements, a lack of publicly available information and other factors may, in certain instances, make senior debt more difficult to sell at an advantageous time or price than other types of securities or instruments.

 

Sovereign Debt Risk  is the risk that investments in fixed income instruments issued by sovereign entities may decline in value as a result of default or other adverse credit event resulting from an issuer’s inability or unwillingness to make principal or interest payments in a timely fashion.

 

Structured Investments Risk  is the risk that the Fund’s investment in structured products, including, structured notes, credit-linked notes and other types of structured products bear the risks of the underlying investments, index or reference obligation and are subject to counterparty risk. The Fund may have the right to receive payments only from the structured product, and generally does not have direct rights against the issuer or the entity that sold the assets to be securitized. Structured products generally entail risks associated with derivative instruments.

 

Tax Risk  is the risk that if, in any year, the Fund were to fail to qualify for treatment as a regulated investment company under the Tax Code, and were ineligible to or did not otherwise cure such failure, the Fund would be subject to tax on its taxable income at corporate rates and, when such income is distributed, shareholders would be subject to a further tax to the extent of the Fund’s current or accumulated earnings and profits.

 

Valuation Risk  is the risk that fair value pricing used when market quotations are not readily available may not result in adjustments to the prices of securities or other assets, or that fair value pricing may not reflect actual market value. It is possible that the fair value determined in good faith for a security or other asset will be materially different

 

 

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from quoted or published prices, from the prices used by others for the same security or other asset and/or from the value that actually could be or is realized upon the sale of that security or other asset.

 

(b) Other Risks

In general, a Fund may be subject to additional risks, including, but not limited to, risks related to government regulation and intervention in financial markets, operational risks, risks associated with financial, economic and global market disruptions, and cybersecurity risks. Please see the Principal Risks of the Funds section of the Funds’ annual report dated July 31, 2021 for a more comprehensive list of the principal risks the Funds may be subject to. Please see the Important Information section of this report for additional discussion of certain regulatory and market developments (such as the anticipated discontinuation of LIBOR) that may impact a Fund’s performance.

 

Market Disruption Risk  A Fund is subject to investment and operational risks associated with financial, economic and other global market developments and disruptions, including those arising from war, terrorism, market manipulation, government interventions, defaults and shutdowns, political changes or diplomatic developments, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics) and natural/environmental disasters, which can all negatively impact the securities markets and cause a Fund to lose value. These events can also impair the technology and other operational systems upon which a Fund’s service providers, including PIMCO as a Fund’s investment adviser, rely, and could otherwise disrupt a Fund’s service providers’ ability to fulfill their obligations to a Fund. For example, the recent spread of an infectious respiratory illness caused by a novel strain of coronavirus (known as COVID-19) has caused volatility, severe market dislocations and liquidity constraints in many markets, including markets for the securities a Fund holds, and may adversely affect a Fund’s investments and operations. Please see the Important Information section for additional discussion of the COVID-19 pandemic.

 

Regulatory Risk  Financial entities, such as investment companies and investment advisers, are generally subject to extensive government regulation and intervention. Government regulation and/or intervention may change the way a Fund is regulated, affect the expenses incurred directly by a Fund and the value of its investments, and limit and/or preclude a Fund’s ability to achieve its investment objective. Government regulation may change frequently and may have significant adverse consequences. Moreover, government regulation may have unpredictable and unintended effects.

 

Operational Risk  An investment in a Fund, like any fund, can involve operational risks arising from factors such as processing errors, human errors, inadequate or failed internal or external processes, failures in

systems and technology, changes in personnel and errors caused by third-party service providers. The occurrence of any of these failures, errors or breaches could result in a loss of information, regulatory scrutiny, reputational damage or other events, any of which could have a material adverse effect on a Fund. While a Fund seeks to minimize such events through controls and oversight, there may still be failures that could cause losses to the Fund.

 

Cyber Security Risk  As the use of technology has become more prevalent in the course of business, the Funds have become potentially more susceptible to operational and information security risks resulting from breaches in cyber security. A breach in cyber security refers to both intentional and unintentional cyber events that may, among other things, cause a Fund to lose proprietary information, suffer data corruption and/or destruction or lose operational capacity, result in the unauthorized release or other misuse of confidential information, or otherwise disrupt normal business operations. Cyber security failures or breaches may result in financial losses to a Fund and its shareholders. These failures or breaches may also result in disruptions to business operations, potentially resulting in financial losses; interference with a Fund’s ability to calculate its net asset value, process shareholder transactions or otherwise transact business with shareholders; impediments to trading; violations of applicable privacy and other laws; regulatory fines; penalties; reputational damage; reimbursement or other compensation costs; additional compliance and cyber security risk management costs and other adverse consequences. In addition, substantial costs may be incurred in order to prevent any cyber incidents in the future.

 

8. MASTER NETTING ARRANGEMENTS

 

A Fund may be subject to various netting arrangements (“Master Agreements”) with select counterparties. Master Agreements govern the terms of certain transactions, and are intended to reduce the counterparty risk associated with relevant transactions by specifying credit protection mechanisms and providing standardization that is intended to improve legal certainty. Each type of Master Agreement governs certain types of transactions. Different types of transactions may be traded out of different legal entities or affiliates of a particular organization, resulting in the need for multiple agreements with a single counterparty. As the Master Agreements are specific to unique operations of different asset types, they allow a Fund to close out and net its total exposure to a counterparty in the event of a default with respect to all the transactions governed under a single Master Agreement with a counterparty. For financial reporting purposes the Statements of Assets and Liabilities generally present derivative assets and liabilities on a gross basis, which reflects the full risks and exposures prior to netting.

 

 

       
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Master Agreements can also help limit counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under most Master Agreements, collateral is routinely transferred if the total net exposure to certain transactions (net of existing collateral already in place) governed under the relevant Master Agreement with a counterparty in a given account exceeds a specified threshold, which typically ranges from zero to $250,000 depending on the counterparty and the type of Master Agreement. United States Treasury Bills and U.S. dollar cash are generally the preferred forms of collateral, although other securities may be used depending on the terms outlined in the applicable Master Agreement. Securities and cash pledged as collateral are reflected as assets on the Statements of Assets and Liabilities as either a component of Investments at value (securities) or Deposits with counterparty. Cash collateral received is not typically held in a segregated account and as such is reflected as a liability on the Statements of Assets and Liabilities as Deposits from counterparty. The market value of any securities received as collateral is not reflected as a component of NAV. A Fund’s overall exposure to counterparty risk can change substantially within a short period, as it is affected by each transaction subject to the relevant Master Agreement.

 

Master Repurchase Agreements and Global Master Repurchase Agreements (individually and collectively “Master Repo Agreements”) govern repurchase, reverse repurchase, and certain sale-buyback transactions between a Fund and select counterparties. Master Repo Agreements maintain provisions for, among other things, initiation, income payments, events of default, and maintenance of collateral. The market value of transactions under the Master Repo Agreement, collateral pledged or received, and the net exposure by counterparty as of period end are disclosed in the Notes to Schedules of Investments.

 

Master Securities Forward Transaction Agreements (“Master Forward Agreements”) govern certain forward settling transactions, such as TBA securities, delayed-delivery or certain sale-buyback transactions by and between a Fund and select counterparties. The Master Forward Agreements maintain provisions for, among other things, transaction initiation and confirmation, payment and transfer, events of default, termination, and maintenance of collateral. The market value of forward settling transactions, collateral pledged or received, and the net exposure by counterparty as of period end is disclosed in the Notes to Schedules of Investments.

 

Customer Account Agreements and related addenda govern cleared derivatives transactions such as futures, options on futures, and cleared OTC derivatives. Such transactions require posting of initial margin as determined by each relevant clearing agency which is segregated in an account at a futures commission merchant (“FCM”) registered with the CFTC. In the United States, counterparty risk may be reduced as

creditors of an FCM cannot have a claim to Fund assets in the segregated account. Portability of exposure reduces risk to the Funds. Variation margin, which reflects changes in market value, is generally exchanged daily, but may not be netted between futures and cleared OTC derivatives unless the parties have agreed to a separate arrangement in respect of portfolio margining. The market value or accumulated unrealized appreciation (depreciation), initial margin posted, and any unsettled variation margin as of period end are disclosed in the Notes to Schedules of Investments.

 

Prime Broker Arrangements may be entered into to facilitate execution and/or clearing of listed equity option transactions or short sales of equity securities between a Fund and selected counterparties. The arrangements provide guidelines surrounding the rights, obligations, and other events, including, but not limited to, margin, execution, and settlement. These agreements maintain provisions for, among other things, payments, maintenance of collateral, events of default, and termination. Margin and other assets delivered as collateral are typically in the possession of the prime broker and would offset any obligations due to the prime broker. The market values of listed options and securities sold short and related collateral are disclosed in the Notes to Schedules of Investments.

 

International Swaps and Derivatives Association, Inc. Master Agreements and Credit Support Annexes (“ISDA Master Agreements”) govern bilateral OTC derivative transactions entered into by a Fund with select counterparties. ISDA Master Agreements maintain provisions for general obligations, representations, agreements, collateral posting and events of default or termination. Events of termination include conditions that may entitle counterparties to elect to terminate early and cause settlement of all outstanding transactions under the applicable ISDA Master Agreement. Any election to terminate early could be material to the financial statements. The ISDA Master Agreement may contain additional provisions that add counterparty protection beyond coverage of existing daily exposure if the counterparty has a decline in credit quality below a predefined level or as required by regulation. Similarly, if required by regulation, the Funds may be required to post additional collateral beyond coverage of daily exposure. These amounts, if any, may (or if required by law, will) be segregated with a third-party custodian. To the extent the Funds are required by regulation to post additional collateral beyond coverage of daily exposure, they could potentially incur costs, including in procuring eligible assets to meet collateral requirements, associated with such posting. The market value of OTC financial derivative instruments, collateral received or pledged, and net exposure by counterparty as of period end are disclosed in the Notes to Schedules of Investments.

 

 

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Table of Contents
Notes to Financial Statements   (Cont.)    

 

9. FEES AND EXPENSES

 

(a) Management Fee  Pursuant to the Investment Management Agreement with PIMCO (the “Agreement”), and subject to the supervision of the Board, PIMCO is responsible for providing to each Fund investment guidance and policy direction in connection with the management of the Fund, including oral and written research, analysis, advice, and statistical and economic data and information. In addition, pursuant to the Agreement and subject to the general supervision of the Board, PIMCO, at its expense, provides or causes to be furnished most other supervisory and administrative services the Funds require, including but not limited to, expenses of most third-party service providers (e.g., audit, custodial, legal, transfer agency, printing) and other expenses, such as those associated with insurance, proxy solicitations and mailings for shareholder meetings, NYSE listing and related fees, tax services, valuation services and other services the Funds require for their daily operations.

 

Pursuant to the Agreement, PIMCO receives an annual fee, payable monthly, at the annual rates shown in the table below:

 

Fund Name         Annual
Rate
 

PIMCO Corporate & Income Opportunity Fund

      0.65% (1) 

PIMCO Corporate & Income Strategy Fund

      0.81% (1) 

PIMCO High Income Fund

      0.76% (1) 

PIMCO Income Strategy Fund

      0.86% (2) 

PIMCO Income Strategy Fund II

      0.83% (2) 

 

(1)

Management fees calculated based on the Fund’s average daily net asset value (including daily net assets attributable to any preferred shares of the Fund that may be outstanding).

(2) 

Management fees calculated based on the Fund’s average weekly “total managed assets”. Total managed assets includes total assets of each Fund (including any assets attributable to any preferred shares or other forms of leverage that may be outstanding) minus accrued liabilities (other than liabilities representing leverage).

 

(b) Fund Expenses  Each Fund bears other expenses, which may vary and affect the total level of expenses paid by shareholders, such as (i) salaries and other compensation or expenses, including travel expenses of any of the Fund’s executive officers and employees, if any, who are not officers, directors, shareholders, members, partners or employees of PIMCO or its subsidiaries or affiliates; (ii) taxes and governmental fees, if any, levied against the Fund; (iii) brokerage fees and commissions and other portfolio transaction expenses incurred by or for the Fund (including, without limitation, fees and expenses of outside legal counsel or third-party consultants retained in connection with reviewing, negotiating and structuring specialized loans and other investments made by the Fund, subject to specific or general authorization by the Fund’s Board (for example, so-called “broken-deal costs” (e.g., fees, costs, expenses and liabilities, including, for example, due diligence-related fees, costs, expenses and liabilities, with respect to unconsummated investments))); (iv) expenses of the Fund’s securities lending (if any), including any securities lending agent fees, as

governed by a separate securities lending agreement; (v) costs, including interest expenses, of borrowing money or engaging in other types of leverage financing, including, without limitation, through the use by the Fund of reverse repurchase agreements, tender option bonds, bank borrowings and credit facilities; (vi) costs, including dividend and/or interest expenses and other costs (including, without limitation, offering and related legal costs, fees to brokers, fees to auction agents, fees to transfer agents, fees to ratings agencies and fees to auditors associated with satisfying ratings agency requirements for preferred shares or other securities issued by the Fund and other related requirements in the Fund’s organizational documents) associated with the Fund’s issuance, offering, redemption and maintenance of preferred shares, commercial paper or other senior securities for the purpose of incurring leverage; (vii) fees and expenses of any underlying funds or other pooled vehicles in which the Fund invests; (viii) dividend and interest expenses on short positions taken by the Fund; (ix) fees and expenses, including travel expenses, and fees and expenses of legal counsel retained for their benefit, of Trustees who are not officers, employees, partners, shareholders or members of PIMCO or its subsidiaries or affiliates; (x) extraordinary expenses, including extraordinary legal expenses, that may arise, including expenses incurred in connection with litigation, proceedings, other claims, and the legal obligations of the Fund to indemnify its Trustees, officers, employees, shareholders, distributors, and agents with respect thereto; (xi) organizational and offering expenses of the Fund, including with respect to share offerings, such as rights offerings and shelf offerings, following the Fund’s initial offering, and expenses associated with tender offers and other share repurchases and redemptions; and (xii) expenses of the Fund which are capitalized in accordance with U.S. GAAP.

 

Each of the Trustees of the Funds who is not an interested person under Section 2(a)(19) of the Act, (the “Independent Trustees”) also serves as a trustee of a number of other closed-end funds for which PIMCO serves as investment manager (together with the Funds, the “PIMCO Closed-End Funds”), as well as PIMCO Flexible Emerging Markets Income Fund, PIMCO Flexible Credit Income Fund and PIMCO Flexible Municipal Income Fund, each a closed end management investment company managed by PIMCO that is operated as an “interval fund” (the ”PIMCO Interval Funds”), and PIMCO Managed Accounts Trust, an open-end management investment company with multiple series for which PIMCO serves as investment adviser and administrator (“PMAT” and, together with the PIMCO Closed-End Funds and the PIMCO Interval Funds, the “PIMCO Managed Funds”). In addition, during the reporting period, each of the Independent Trustees (other than Mr. Kittredge and Ms. Vandecruze) also served as a trustee of certain funds for which Allianz Global Investors U.S. LLC (“AllianzGI”), an affiliate of PIMCO, served as investment manager.

 

 

       
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Effective February 1, 2021 (and February 26, 2021 with respect to Virtus AllianzGI Artificial Intelligence & Technology Opportunities Fund), Virtus Investment Advisers, Inc. became the primary investment adviser to all of those funds (the “Former Allianz-Managed Funds”), and therefore they are no longer included within the same fund complex as the PIMCO-Managed Funds. AllianzGI has been appointed to serve as sub-adviser to most of the remaining Former Allianz-Managed Funds.

 

The Funds pay no compensation directly to any Trustee or any other officer who is affiliated with the Manager, all of whom receive remuneration for their services to the Funds from the Manager or its affiliates.

 

10. RELATED PARTY TRANSACTIONS

 

The Manager is a related party. Fees payable to this party are disclosed in Note 9, Fees and Expenses, and the accrued related party fee amounts are disclosed on the Statements of Assets and Liabilities.

 

Certain Funds are permitted to purchase or sell securities from or to certain related affiliated funds under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of securities by the Funds from or to another fund or portfolio that are, or could be, considered an affiliate, or an affiliate of an affiliate, by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule 17a-7 under the Act. Further, as defined under the procedures, each transaction is effected at the current market price. During the period ended January 31, 2022, the Funds below engaged in purchases and sales of securities pursuant to Rule 17a-7 under the Act (amounts in thousands):

 

Fund Name         Purchases     Sales  

PIMCO Corporate & Income Opportunity Fund

    $     33,441     $     423,416  

PIMCO Corporate & Income Strategy Fund

      3,003       138,240  
Fund Name         Purchases     Sales  

PIMCO High Income Fund

    $     8,765     $     163,107  

PIMCO Income Strategy Fund

      2,122       80,809  

PIMCO Income Strategy Fund II

      3,568       165,548  

 

 

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

 

11. GUARANTEES AND INDEMNIFICATIONS

 

Under each Fund’s organizational documents, each Trustee and officer is indemnified, to the extent permitted by the Act, against certain liabilities that may arise out of performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts that contain a variety of indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds have not had prior claims or losses pursuant to these contracts.

 

12. PURCHASES AND SALES OF SECURITIES

 

The length of time a Fund has held a particular security is not generally a consideration in investment decisions. A change in the securities held by a Fund is known as “portfolio turnover.” Each Fund may engage in frequent and active trading of portfolio securities to achieve its investment objective, particularly during periods of volatile market movements. High portfolio turnover may involve correspondingly greater transaction costs, including brokerage commissions or dealer mark-ups and other transaction costs on the sale of securities and reinvestments in other securities, which are borne by the Fund. Such sales may also result in realization of taxable capital gains, including short-term capital gains (which are generally taxed at ordinary income tax rates when distributed to shareholders). The transaction costs associated with portfolio turnover may adversely affect a Fund’s performance. The portfolio turnover rates are reported in the Financial Highlights.

 

 

Purchases and sales of securities (excluding short-term investments) for the period ended January 31, 2022, were as follows (amounts in thousands):

 

      U.S. Government/Agency     All Other  
Fund Name     Purchases     Sales     Purchases     Sales  

PIMCO Corporate & Income Opportunity Fund

    $ 8,800     $ 3,179     $     1,168,132     $     1,210,980  

PIMCO Corporate & Income Strategy Fund

      0       0       315,719       389,000  

PIMCO High Income Fund

          1,232           1,231       278,135       430,791  

PIMCO Income Strategy Fund

      1,900       157       172,049       225,444  

PIMCO Income Strategy Fund II

      3,800       323       318,521       414,042  
         

 

 

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

 

13. COMMON SHARES OFFERING

 

Each of PIMCO Corporate & Income Opportunity Fund (“PTY”), PIMCO Corporate & Income Strategy Fund (“PCN”), PIMCO High Income Fund (“PHK”), PIMCO Income Strategy Fund (“PFL”) and PIMCO Income

Strategy Fund II (“PFN”) has authorized an unlimited number of Common Shares at a par value of $0.00001 per share (each of the foregoing Fund’s shares as the context requires, “Common Shares”).

 

 

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Table of Contents
Notes to Financial Statements   (Cont.)  

 

As of the end of the reporting period, each of PTY, PCN, PFL and PFN had an effective registration statement on file with the SEC authorizing the Fund to issue shares through the “shelf” registration process pursuant to Rule 415 under the Securities Act (each, a “Shelf Registration Statement”). Pursuant to such Shelf Registration Statements, PTY, PCN, PFL and PFN may offer and sell Common Shares having an aggregate offering value of up to $600,000,000, $200,000,000, $200,000,000 and $250,000,000, respectively. Each Fund may have had one or more prior Shelf Registration Statements in effect during this and/or previous fiscal periods authorizing the sale of additional Common Shares.

Each of PTY, PCN, PFL and PFN have entered into a sales agreement (a “Sales Agreement”) with JonesTrading Institutional Services LLC (“JonesTrading”), pursuant to which each Fund may offer and sell its Common Shares offered by an applicable prospectus supplement through JonesTrading as its agent in negotiated transactions or transactions that are deemed to be “at the market” as defined in Rule 415 under the Securities Act, including sales made directly on the NYSE or sales made to or through a market maker other than on an exchange, at prices related to the prevailing market prices or at negotiated prices. Each Fund will pay JonesTrading compensation of up to 1.00% of the gross proceeds with respect to sales of the Common Shares actually effected by JonesTrading under the Sales Agreement.

 

 

The aggregate dollar amount of Common Shares registered under each Fund’s Shelf Registration Statement as of the end of the periods described below, as well as number of Common Shares sold and total amount of offering proceeds (net of offering costs, if any) received by each Fund under one or more Shelf Registration Statements during the Fund’s most recent and prior fiscal periods were as follows:

 

          PTY           PCN           PFL  
         

Six Months Ended

01/31/2022

   

Year Ended

07/31/2021

         

Six Months Ended

01/31/2022

   

Year Ended

07/31/2021

         

Six Months Ended

01/31/2022

   

Year Ended

07/31/2021

 

Common Shares registered (aggregate $)

    $     600,000,000     $ 600,000,000             $     200,000,000     $     200,000,000       $     200,000,000     $     200,000,000  

Common Shares sold

      3,011,172       12,480,419               882,883       1,453,643         436,482       2,765,940  

Offering proceeds (net of offering costs)

    $ 53,632,507     $     213,881,835       $ 16,018,431     $ 25,572,479       $ 4,817,209     $ 30,554,383  

 

          PFN  
         

Six Months Ended

01/31/2022

   

Year Ended

07/31/2021

 

Common Shares registered (aggregate $)

    $     250,000,000     $     250,000,000  

Common Shares sold

      1,159,185       4,996,511  

Offering proceeds (net of offering costs)

    $ 11,335,221     $ 48,806,626  

 

A Fund may not sell any Common Shares at a price below the NAV of such Common Shares, exclusive of any distributing commission or discount. Sales of the Common Shares, if any, may be made in negotiated transactions or transactions that are deemed to be “at the market”, including sales made directly on the NYSE or sales made to or through a market maker other than on an exchange, at prices related to the prevailing market prices or at negotiated prices.

14. AUCTION-RATE PREFERRED SHARES

 

Each series of Auction-Rate Preferred Shares (“ARPS”) outstanding of each Fund has a liquidation preference of $25,000 per share plus any accumulated, unpaid dividends. Dividends are accumulated daily at an annual rate that is typically reset every seven days through auction procedures (or through default procedures in the event of failed auctions). Distributions of net realized capital gains, if any, are paid at least annually.

 

 

For the period ended January 31, 2022, the annualized dividend rates on the ARPS ranged from:

 

Fund Name         Shares
Issued and
Outstanding
    High     Low     As of
January 31, 2022
 

PIMCO Corporate & Income Opportunity Fund

         

Series M

      1,748       0.160%       0.100%       0.120%  

Series T

      1,596       0.160%       0.100%       0.160%  

Series W

      1,634       0.160%       0.120%       0.120%  

Series TH

      1,786       0.160%       0.100%       0.160%  

Series F

      1,742       0.160%       0.100%       0.120%  

 

       
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    January 31, 2022   (Unaudited)

 

Fund Name         Shares
Issued and
Outstanding
    High     Low     As of
January 31, 2022
 

PIMCO Corporate & Income Strategy Fund

         

Series M

      242       0.128%       0.080%       0.096%  

Series T

      180       0.128%       0.080%       0.128%  

Series W

      214       0.128%       0.096%       0.096%  

Series TH

      138       0.128%       0.080%       0.128%  

Series F

      167       0.128%       0.080%       0.096%  

PIMCO High Income Fund

         

Series M

      455       0.128%       0.080%       0.096%  

Series T

      526       0.128%       0.080%       0.128%  

Series W

      369       0.128%       0.096%       0.096%  

Series TH

      476       0.128%       0.080%       0.128%  

Series F

      496       0.128%       0.080%       0.096%  

PIMCO Income Strategy Fund

         

Series T

      698       1.590%       1.571%       1.588%  

Series W

      636       1.588%       1.569%       1.578%  

Series TH

      474       1.588%       1.570%       1.588%  

PIMCO Income Strategy Fund II

         

Series M

      671       1.588%       1.571%       1.578%  

Series T

      855       1.590%       1.571%       1.588%  

Series W

      627       1.588%       1.569%       1.578%  

Series TH

      706       1.588%       1.570%       1.588%  

Series F

      638       1.588%       1.571%       1.578%  

 

Each Fund is subject to certain limitations and restrictions while ARPS are outstanding. Failure to comply with these limitations and restrictions could preclude a Fund from declaring or paying any dividends or distributions to common shareholders or repurchasing common shares and/or could trigger the mandatory redemption of ARPS at their liquidation preference plus any accumulated, unpaid dividends.

 

Ratings agencies may change their methodologies for evaluating and providing ratings for shares of closed-end funds at any time and in their

sole discretion, which may affect the rating (if any) of a Fund’s shares. In addition, ratings downgrades may result in an increase to the Fund’s Maximum Rate, as defined below.

 

Auction Rate Preferred shareholders of each Fund, who are entitled to one vote per share, generally vote together with the common shareholders of the Fund but vote separately as a class to elect two Trustees of the Fund and on certain matters adversely affecting the rights of the ARPS.

 

 

Since mid-February 2008, holders of ARPS issued by the Funds have been directly impacted by a lack of liquidity, which has similarly affected ARPS holders in many of the nation’s closed-end funds. Since then, regularly scheduled auctions for ARPS issued by the Funds have consistently “failed” because of insufficient demand (bids to buy shares) to meet the supply (shares offered for sale) at each auction. In a failed auction, ARPS holders cannot sell all, and may not be able to sell any, of their shares tendered for sale. While repeated auction failures have affected the liquidity for ARPS, they do not constitute a default or automatically alter the credit quality of the ARPS, and ARPS holders have continued to receive dividends at the defined “maximum rate,” as defined for the Funds in the table below:

 

Fund Name                Applicable %              Reference Rate            Maximum Rate(1)  

PIMCO Corporate & Income Opportunity Fund

               200%        x      7-day “AA” Financial Composite
Commercial Paper Rates
     =        Maximum Rate for PTY  

PIMCO Corporate & Income Strategy Fund

               160%        x      7-day “AA” Financial Composite
Commercial Paper Rates
     =        Maximum Rate for PCN  

PIMCO High Income Fund

               160%        x      7-day “AA” Financial Composite
Commercial Paper Rates
     =        Maximum Rate for PHK  

PIMCO Income Strategy Fund

    The higher of         

200%

1.50%

 

 

    

x

+

 

 

   LIBOR Replacement Rate(3)
OR

LIBOR Replacement Rate(3)

    

=

=

 

 

     Maximum Rate for PFL (2) 

 

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Table of Contents
Notes to Financial Statements   (Cont.)    

 

Fund Name                Applicable %            Reference Rate          Maximum Rate(1)  

PIMCO Income Strategy Fund II

    The higher of         

200%

1.50%

 

 

   x

+

   LIBOR Replacement Rate(3)
OR

LIBOR Replacement Rate(3)

   =

=

     Maximum Rate for PFN (2) 

 

(1) 

In any event, the Maximum Rate will not be lower than 0%.

(2) 

For the avoidance of doubt, the Maximum Rate for PFL and PFN may be less than the Applicable %, but will not be lower than 0%.

(3) 

LIBOR Replacement Rate means prior business day’s SOFR rate plus the spread adjustment of 0.03839%.

 

The maximum rate is a function of short-term interest rates and is typically but not necessarily, higher than the rate that would have otherwise been set through a successful auction. If the Funds’ ARPS auctions continue to fail and the “maximum rate” payable on the ARPS rises as a result of changes in short-term interest rates, returns for the Fund’s common shareholders could be adversely affected.

 

With respect to PIMCO Income Strategy Fund and PIMCO Income Strategy Fund II, in connection with the future cessation of various LIBOR benchmarks/tenors currently published by ICE Benchmark Administration, including the 1-week and 2-month U.S. dollar LIBOR effective after December 31, 2021, and all remaining U.S. dollar LIBOR tenors (overnight, 1-month, 3-month, 6-month and 12-month) effective

after June 30, 2023, the Funds’ Bylaws have been amended to provide that the maximum rate will be calculated using the Secured Overnight Funding Rate plus spread adjustments identified by the International Swaps and Derivatives Association, Inc., which are intended to closely approximate the applicable U.S. LIBOR rates. The amended Bylaws took effect on January 4, 2022 (the first auction date that would utilize a Reference Rate published in 2022).

 

Ratings agencies may change their methodologies for evaluating and providing ratings for shares of closed-end funds at any time and in their sole discretion, which may affect the rating (if any) of a Fund’s shares. Fitch Ratings published ratings criteria relating to closed-end funds on December 4, 2020, which effectively result in a rating cap of “AA” for debt and preferred stock issued by all closed-end funds and a rating cap of “A” for (i) debt and preferred shares issued by closed-end funds exposed to emerging market debt, below-investment-grade and unrated debt, structured securities and equity, (ii) and closed-end funds with material exposure to “BBB” category rated assets. The updated ratings criteria cap the credit ratings of each of the Funds’ ARPS at A, accordingly, on April 30, 2021, Fitch Ratings announced that it had downgraded to “A” from “AA” the long-term ratings assigned to each of the Funds’ ARPS. The long-term rating actions were driven by changes in the updated ratings criteria for closed-end funds rather than by any fundamental changes to the Funds’ credit profiles. With respect to PCN, the April 2021 Fitch downgrade resulted in an increase in the multiple used to calculate the maximum applicable rate from 150% to 160%, thereby increasing the dividend rate payable to ARPS holders and increasing the expenses to Common Shareholders associated with the Fund’s leverage. With respect to each of PFL and PFN, the April

2021 Fitch downgrade resulted in an increase in the dividend rate multiplier from 1.50 to 2.00, which could increase the dividend rate payable to ARPS holders should the maximum dividend rate be determined via the multiplier in lieu of the spread noted in the table above (the maximum dividend rate is based on the greater of a multiple of or a spread plus a reference rate) and, thereby, increase the expenses to the each applicable Fund’s Common Shareholders associated with the Fund’s leverage.

 

There were no tender offers for the period ended January 31, 2022, and as such, the ARPS outstanding for each Fund as of January 31, 2022 remains consistent with those amounts presented in the Funds’ Annual Report to Shareholders dated July 31, 2021.

 

15. REGULATORY AND LITIGATION MATTERS

 

The Funds are not named as defendants in any material litigation or arbitration proceedings and are not aware of any material litigation or claim pending or threatened against them.

 

The foregoing speaks only as of the date of this report.

 

16. FEDERAL INCOME TAX MATTERS

 

Each 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.

 

A 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 Funds’ tax positions for all open tax years. As of January 31, 2022, the Funds have recorded no liability for net unrecognized tax benefits relating to uncertain income tax positions they have taken or expect to take in future tax returns.

 

The Funds file U.S. federal, state, and local tax returns as required. The Funds’ 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

 

 

       
114   PIMCO CLOSED-END FUNDS            


Table of Contents
    January 31, 2022 (Unaudited)

 

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.

 

Under the Regulated Investment Company Modernization Act of 2010, a fund is permitted to carry forward any new capital losses for an unlimited period. Additionally, such capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term under previous law.

As of their last fiscal year ended July 31, 2021, the Funds had the following post-effective capital losses with no expiration (amounts in thousands):

 

          Short-Term     Long-Term  

PIMCO Corporate & Income Opportunity Fund

    $ 179,096     $ 145,327  

PIMCO Corporate & Income Strategy Fund

      71,483       65,222  

PIMCO High Income Fund

          180,744           216,873  

PIMCO Income Strategy Fund

      41,791       32,949  

PIMCO Income Strategy Fund II

      102,430       82,294  

 

 

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

 

 

As of January 31, 2022, the aggregate cost and the net unrealized appreciation/(depreciation) of investments for federal income tax purposes are as follows (amounts in thousands):

 

           Federal
Tax Cost
     Unrealized
Appreciation
     Unrealized
(Depreciation)
     Net Unrealized
Appreciation/
(Depreciation)(1)
 

PIMCO Corporate & Income Opportunity Fund

     $     2,701,855      $     339,324      $     (211,954    $     127,370  

PIMCO Corporate & Income Strategy Fund

       895,436        168,795        (86,241      82,554  

PIMCO High Income Fund

       1,189,093        262,170        (156,997      105,173  

PIMCO Income Strategy Fund

       531,673        90,367        (43,938      46,429  

PIMCO Income Strategy Fund II

       990,612        168,392        (92,640      75,752  

 

 

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

(1) 

Primary differences, if any, between book and tax net unrealized appreciation/(depreciation) are attributable to wash sale loss deferrals for federal income tax purposes.

 

17. SUBSEQUENT EVENTS

 

In preparing these financial statements, the Funds’ management has evaluated events and transactions for potential recognition or disclosure through the date the financial statements were issued.

 

On February 1, 2022, the following distributions were declared to common shareholders payable March 1, 2022 to shareholders of record on February 11, 2022:

 

PIMCO Corporate & Income Opportunity Fund

    $ 0.118800 per common share  

PIMCO Corporate & Income Strategy Fund

    $ 0.112500 per common share  

PIMCO High Income Fund

    $ 0.048000 per common share  

PIMCO Income Strategy Fund

    $   0.081400 per common share  

PIMCO Income Strategy Fund II

    $ 0.071800 per common share  

On March 1, 2022, the following distributions were declared to common shareholders payable April 1, 2022 to shareholders of record on March 11, 2022:

 

PIMCO Corporate & Income Opportunity Fund

    $   0.118800 per common share  

PIMCO Corporate & Income Strategy Fund

    $ 0.112500 per common share  

PIMCO High Income Fund

    $ 0.048000 per common share  

PIMCO Income Strategy Fund

    $ 0.081400 per common share  

PIMCO Income Strategy Fund II

    $ 0.071800 per common share  

 

On March 25, 2022, the Board approved a change of the fiscal year end of the Funds from July 31 to June 30 beginning with the current fiscal year, which will now end on June 30, 2022.

 

There were no other subsequent events identified that require recognition or disclosure.

 

 

         SEMIANNUAL REPORT     |     JANUARY 31, 2022     115
    


Table of Contents
Glossary:   (abbreviations that may be used in the preceding statements)          (Unaudited)

 

Counterparty Abbreviations:

               
AZD  

Australia and New Zealand Banking Group

  DUB  

Deutsche Bank AG

  MYI  

Morgan Stanley & Co. International PLC

BNY  

Bank of New York Mellon

  FBF  

Credit Suisse International

  NOM  

Nomura Securities International Inc.

BOA  

Bank of America N.A.

  FICC  

Fixed Income Clearing Corporation

  RBC  

Royal Bank of Canada

BOM  

Bank of Montreal

  GLM  

Goldman Sachs Bank USA

  RDR  

RBC Capital Markets LLC

BOS  

BofA Securities, Inc.

  GST  

Goldman Sachs International

  SCX  

Standard Chartered Bank, London

BPS  

BNP Paribas S.A.

  HUS  

HSBC Bank USA N.A.

  SGY  

Societe Generale, NY

BRC  

Barclays Bank PLC

  IND  

Crédit Agricole Corporate and Investment Bank S.A.

  SOG  

Societe Generale Paris

BYR  

The Bank of Nova Scotia - Toronto

  JML  

JP Morgan Securities Plc

  TDM  

TD Securities (USA) LLC

CBK  

Citibank N.A.

  JPM  

JP Morgan Chase Bank N.A.

  TOR  

The Toronto-Dominion Bank

CDC  

Natixis Securities Americas LLC

  MEI  

Merrill Lynch International

  UAG  

UBS AG Stamford

CEW  

Canadian Imperial Bank of Commerce

  MYC  

Morgan Stanley Capital Services LLC

  UBS  

UBS Securities LLC

CIB  

Canadian Imperial Bank of Commerce

       

Currency Abbreviations:

               
ARS  

Argentine Peso

  CZK  

Czech Koruna

  MXN  

Mexican Peso

AUD  

Australian Dollar

  EUR  

Euro

  NOK  

Norwegian Krone

BRL  

Brazilian Real

  GBP  

British Pound

  PEN  

Peruvian New Sol

CAD  

Canadian Dollar

  HUF  

Hungarian Forint

  RUB  

Russian Ruble

CHF  

Swiss Franc

  IDR  

Indonesian Rupiah

  USD (or $)  

United States Dollar

CLP  

Chilean Peso

  INR  

Indian Rupee

  ZAR  

South African Rand

CNH  

Chinese Renminbi (Offshore)

       

Exchange Abbreviations:

               
OTC  

Over the Counter

       

Index/Spread Abbreviations:

               
ABX.HE  

Asset-Backed Securities Index - Home Equity

  CDX.HY  

Credit Derivatives Index - High Yield

  SOFR  

Secured Overnight Financing Rate

BADLARPP  

Argentina Badlar Floating Rate Notes

  EUR003M  

3 Month EUR Swap Rate

  SONIO  

Sterling Overnight Interbank Average Rate

BP0003M  

3 Month GBP-LIBOR

  LIBOR03M  

3 Month USD-LIBOR

  US0003M  

ICE 3-Month USD LIBOR

Other Abbreviations:

               
ABS  

Asset-Backed Security

  CLO  

Collateralized Loan Obligation

  PIK  

Payment-in-Kind

ALT  

Alternate Loan Trust

  DAC  

Designated Activity Company

  PRIBOR  

Prague Interbank Offered Rate

BABs  

Build America Bonds

  EBITDA  

Earnings before Interest, Taxes, Depreciation and Amoritization

  TBA  

To-Be-Announced

BBR  

Bank Bill Rate

  EURIBOR  

Euro Interbank Offered Rate

  TBD  

To-Be-Determined

BBSW  

Bank Bill Swap Reference Rate

  LIBOR  

London Interbank Offered Rate

  TBD%  

Interest rate to be determined when loan settles or at the time of funding

CDI  

Brazil Interbank Deposit Rate

  Lunar  

Monthly payment based on 28-day periods. One year consists of 13 periods.

  TIIE  

Tasa de Interés Interbancaria de Equilibrio “Equilibrium Interbank Interest Rate”

CDO  

Collateralized Debt Obligation

  OIS  

Overnight Index Swap

   

 

       
116   PIMCO CLOSED-END FUNDS            


Table of Contents
Distribution Information     (Unaudited)

 

For purposes of Section 19 of the Investment Company Act of 1940 (the “Act”), the Funds estimated the periodic sources of any dividends paid during the period covered by this report in accordance with good accounting practice. Pursuant to Rule 19a-1(e) under the Act, the table below sets forth the actual source information for dividends paid during the six month period ended January 31, 2022 calculated as of each distribution period pursuant to Section 19 of the Act. The information below is not provided for U.S. federal income tax reporting purposes. The tax character of all dividends and distributions is reported on Form 1099-DIV (for shareholders who receive U.S. federal tax reporting) at the end of each calendar year.

 

See the Financial Highlights section of this report for the tax characterization of distributions determined in accordance with federal income tax regulations for the fiscal year.

 

PIMCO Corporate & Income Opportunity Fund          Net Investment
Income*
     Net Realized
Capital Gains*
     Paid-in Surplus or
Other  Capital
Sources**
     Total (per
common share)
 

August 2021

     $ 0.1037      $ 0.0000      $ 0.0263      $ 0.1300  

September 2021

     $ 0.1138      $ 0.0000      $ 0.0050      $ 0.1188  

October 2021

     $ 0.1188      $ 0.0000      $ 0.0000      $ 0.1188  

November 2021

     $ 0.1179      $ 0.0000      $ 0.0009      $ 0.1188  

December 2021

     $ 0.1188      $ 0.0000      $ 0.0000      $ 0.1188  

January 2022

     $ 0.1188      $ 0.0000      $ 0.0000      $ 0.1188  
PIMCO Corporate & Income Strategy Fund          Net Investment
Income*
     Net Realized
Capital Gains*
     Paid-in Surplus or
Other Capital
Sources**
     Total (per
common share)
 

August 2021

     $ 0.0995      $ 0.0000      $ 0.0130      $ 0.1125  

September 2021

     $ 0.1125      $ 0.0000      $ 0.0000      $ 0.1125  

October 2021

     $ 0.1125      $ 0.0000      $ 0.0000      $ 0.1125  

November 2021

     $ 0.1125      $ 0.0000      $ 0.0000      $ 0.1125  

December 2021

     $ 0.1125      $ 0.0000      $ 0.0000      $ 0.1125  

January 2022

     $ 0.1125      $ 0.0000      $ 0.0000      $ 0.1125  
PIMCO High Income Fund          Net Investment
Income*
     Net Realized
Capital Gains*
     Paid-in Surplus or
Other Capital
Sources**
     Total (per
common share)
 

August 2021

     $ 0.0480      $ 0.0000      $ 0.0000      $ 0.0480  

September 2021

     $ 0.0480      $ 0.0000      $ 0.0000      $ 0.0480  

October 2021

     $ 0.0480      $ 0.0000      $ 0.0000      $ 0.0480  

November 2021

     $ 0.0480      $ 0.0000      $ 0.0000      $ 0.0480  

December 2021

     $ 0.0480      $ 0.0000      $ 0.0000      $ 0.0480  

January 2022

     $ 0.0480      $ 0.0000      $ 0.0000      $ 0.0480  
PIMCO Income Strategy Fund          Net Investment
Income*
     Net Realized
Capital Gains*
     Paid-in Surplus or
Other Capital
Sources**
     Total (per
common share)
 

August 2021

     $ 0.0664      $ 0.0000      $ 0.0236      $ 0.0900  

September 2021

     $ 0.0723      $ 0.0000      $ 0.0091      $ 0.0814  

October 2021

     $ 0.0814      $ 0.0000      $ 0.0000      $ 0.0814  

November 2021

     $ 0.0668      $ 0.0000      $ 0.0146      $ 0.0814  

December 2021

     $ 0.0788      $ 0.0000      $ 0.0026      $ 0.0814  

January 2022

     $ 0.0773      $ 0.0000      $ 0.0041      $ 0.0814  
PIMCO Income Strategy Fund II          Net Investment
Income*
     Net Realized
Capital Gains*
     Paid-in Surplus or
Other Capital
Sources**
     Total (per
common share)
 

August 2021

     $ 0.0718      $ 0.0000      $ 0.0082      $ 0.0800  

September 2021

     $ 0.0666      $ 0.0000      $ 0.0052      $ 0.0718  

October 2021

     $ 0.0718      $ 0.0000      $ 0.0000      $ 0.0718  

November 2021

     $ 0.0654      $ 0.0000      $ 0.0064      $ 0.0718  

December 2021

     $ 0.0718      $ 0.0000      $ 0.0000      $ 0.0718  

January 2022

     $ 0.0659      $ 0.0000      $ 0.0059      $ 0.0718  

 

*

The source of dividends provided in the table differs, in some respects, from information presented in this report prepared in accordance with generally accepted accounting principles, or U.S. GAAP. For example, net earnings from certain interest rate swap contracts are included as a source of net investment income for purposes of Section 19(a). Accordingly, the information in the table may differ from information in the accompanying financial statements that are presented on the basis of U.S. GAAP and may differ from tax information presented in the footnotes. Amounts shown may include accumulated, as well as fiscal period net income and net profits.

**

Occurs when a fund distributes an amount greater than its accumulated net income and net profits. Amounts are not reflective of a fund’s net income, yield, earnings or investment performance.

 

         SEMIANNUAL REPORT     |     JANUARY 31, 2022     117
    


Table of Contents
Changes to Board of Trustees     (Unaudited)

 

Effective December 31, 2021, Hans W. Kertess retired from his position as Trustee of the Funds.

 

       
118   PIMCO CLOSED-END FUNDS            


Table of Contents
Changes to Bylaws     (Unaudited)

 

Effective January 4, 2022, PIMCO Income Strategy Fund adopted amended and restated by-laws (“By-laws”) to provide that the Maximum Applicable Rate will be calculated using the Secured Overnight Funding Rate plus spread adjustments identified by the International Swaps and Derivatives Association, Inc., which are intended to closely approximate the applicable U.S. LIBOR rates. The changes to the Fund’s By-laws are in connection with the future cessation of various LIBOR benchmarks/tenors currently published by ICE Benchmark Administration, including the 1-week and 2-month U.S. dollar LIBOR effective after December 31, 2021, and all remaining U.S. dollar LIBOR tenors (overnight, 1-month, 3-month, 6-month and 12-month) effective after June 30, 2023.

 

Effective January 4, 2022, PIMCO Income Strategy Fund II adopted amended and restated by-laws (“By-laws”) to provide that the Maximum Applicable Rate will be calculated using the Secured Overnight Funding Rate plus spread adjustments identified by the International Swaps and Derivatives Association, Inc., which are intended to closely approximate the applicable U.S. LIBOR rates. The changes to the Fund’s By-laws are in connection with the future cessation of various LIBOR benchmarks/tenors currently published by ICE Benchmark Administration, including the 1-week and 2-month U.S. dollar LIBOR effective after December 31, 2021, and all remaining U.S. dollar LIBOR tenors (overnight, 1-month, 3-month, 6-month and 12-month) effective after June 30, 2023.

 

         SEMIANNUAL REPORT     |     JANUARY 31, 2022     119
    


Table of Contents

General Information

 

Investment Manager

Pacific Investment Management Company LLC

650 Newport Center Drive

Newport Beach, CA 92660

 

Custodian

State Street Bank and Trust Company

801 Pennsylvania Avenue

Kansas City, MO 64105

 

Transfer Agent, Dividend Paying Agent and Registrar for Common Shares

American Stock Transfer & Trust Company, LLC

6201 15th Avenue

Brooklyn, NY 11219

 

Auction Agent, Transfer Agent, Dividend Paying Agent and Registrar for Auction Rate Preferred Shares

Deustsche Bank Company Americas

1 Columbus Circle

New York, NY 10019

 

Legal Counsel

Ropes & Gray LLP

Prudential Tower

800 Boylston Street

Boston, MA 02199

 

Independent Registered Public Accounting Firm

PricewaterhouseCoopers LLP

1100 Walnut Street, Suite 1300

Kansas City, MO 64106

 

This report is submitted for the general information of the shareholders of the Funds listed on the Report cover.


Table of Contents

 

LOGO

 

CEF4011SAR_013122


Table of Contents
Item 2.    Code of Ethics.
   The information required by this Item 2 is only required in an annual report on this Form N-CSR.
Item 3.    Audit Committee Financial Expert.
   The information required by this Item 3 is only required in an annual report on this Form N-CSR.
Item 4.    Principal Accountant Fees and Services.
   The information required by this Item 4 is only required in an annual report on this Form N-CSR.
Item 5.    Audit Committee of Listed Registrants.
   The information required by this Item 5 is only required in an annual report on this Form N-CSR.
Item 6.    Schedule of Investments.
   The information required by this Item 6 is included as part of the semiannual reports to shareholders filed under Item 1 of this Form N-CSR.
Item 7.    Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
   The information required by this Item 7 is only required in an annual report on this Form N-CSR.
Item 8.    Portfolio Managers of Closed-End Management Investment Companies.
  

(a)   The information required by this Item 8(a) is only required in an annual report on this Form N-CSR.

  

(b)   There have been no changes in any of the Portfolio Managers identified in the registrant’s previous annual report on Form N-CSR.

Item 9.    Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
   None.
Item 10.    Submission of Matters to a Vote of Security Holders.
   There have been no material changes to the procedures by which shareholders may recommend nominees to the Fund’s Board of Trustees since the Fund last provided disclosure in response to this item.
Item 11.    Controls and Procedures.
  

(a)   The principal executive officer and principal financial & accounting officer have concluded as of a date within 90 days of the filing date of this report, based on their evaluation of the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the 1940 Act), that the design of such procedures is effective to provide reasonable assurance that material information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the time periods specified in the Commission’s rules and forms.

  

(b)   There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the last fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 12.      Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.


Table of Contents
   None.
Item 13.        Exhibits.
   (a)(1)    Exhibit 99.CODE—Code of Ethics is not applicable for semiannual reports.
   (a)(2)    Exhibit 99.CERT—Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
   (a)(3)    None.
   (a)(4)    There was no change in the registrant’s independent public accountant for the period covered by the report.
   (b)    Exhibit 99.906CERT—Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.

 


Table of Contents

Signatures

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

 

  PIMCO High Income Fund
  By:   /s/ Eric D. Johnson
   

 

    Eric D. Johnson
    President (Principal Executive Officer)
  Date:   April 4, 2022

 

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

  By:   /s/ Eric D. Johnson
   

 

    Eric D. Johnson
    President (Principal Executive Officer)
  Date:   April 4, 2022
  By:   /s/ Bijal Y. Parikh
   

 

    Bijal Y. Parikh
    Treasurer (Principal Financial & Accounting Officer)
  Date:   April 4, 2022

 

Exhibit 99.CERT

Certification Under Rule 30a-2(a)

CERTIFICATION

I, Eric D. Johnson, certify that:

 

1.

I have reviewed this report on Form N-CSR of PIMCO High Income Fund;

 

2.

Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

 

3.

Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

 

4.

The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

 

  a)

Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 

  b)

Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

 

  c)

Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

 

  d)

Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

 

5.

The registrant’s other certifying officer and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

 

  a)

All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

 

  b)

Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

 

               Date:   April 4, 2022
  Signature:  

/s/ Eric D. Johnson

  Title:   President (Principal Executive Officer)


Exhibit 99.CERT

Certification Under Rule 30a-2(a)

CERTIFICATION

I, Bijal Y. Parikh, certify that:

 

1.

I have reviewed this report on Form N-CSR of PIMCO High Income Fund;

 

2.

Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

 

3.

Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

 

4.

The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

 

  a)

Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 

  b)

Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

 

  c)

Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

 

  d)

Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

 

5.

The registrant’s other certifying officer and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

 

  a)

All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

 

  b)

Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

 

               Date:   April 4, 2022
  Signature:  

/s/ Bijal Y. Parikh

  Title:   Treasurer (Principal Financial & Accounting Officer)

Exhibit 99.906CERT

Certification Under Rule 30a-2(b)

CERTIFICATION PURSUANT TO 18 U.S.C. SECTION 1350

(as adopted pursuant to Section 906 of the Sarbanes-Oxley Act)

In connection with the Report on Form N-CSR to which this certification is furnished as an exhibit (the “Report”), the undersigned officers of PIMCO High Income Fund (the “Registrant”) each certify that to his knowledge:

 

  1.

The Report on Form N-CSR fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

 

  2.

The information contained in the Report on Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

 

By:  

/s/ Eric D. Johnson

             By:  

/s/ Bijal Y. Parikh

Name:   Eric D. Johnson       Name:   Bijal Y. Parikh
Title:   President (Principal Executive Officer)       Title:   Treasurer (Principal Financial & Accounting Officer)
Date:   April 4, 2022       Date:   April 4, 2022

A signed original of this written statement required by Section 906, or other document authenticating, acknowledging, or otherwise adopting the signature that appears in typed form within the electronic version of this written statement required by Section 906, has been provided to the Registrant and will be retained by the Registrant and furnished to the Securities and Exchange Commission (the “Commission”) or its staff upon request.

This certification is being furnished to the Commission solely pursuant to 18 U.S.C. Section 1350 and is not being filed as part of the Reports.