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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Fund | Fund Summary |
Schedule of Investments |
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(1) | Consolidated Schedule of Investments |
Letter from the Chair of the Board & President |
2 | PIMCO CLOSED-END FUNDS |
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Deborah A. DeCotis | Eric D. Johnson | |
Chair of the Board of Trustees | President |
SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 3 |
Important Information About the Funds |
4 | PIMCO CLOSED-END FUNDS |
SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 5 |
Important Information About the Funds | (Cont.) |
6 | PIMCO CLOSED-END FUNDS |
SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 7 |
Important Information About the Funds | (Cont.) |
8 | PIMCO CLOSED-END FUNDS |
Fund Name | Inception Date |
Diversification Status |
||||||||||
PCM Fund, Inc. |
09/02/93 | Diversified | ||||||||||
PIMCO Global StocksPLUS® & Income Fund |
05/31/05 | Diversified | ||||||||||
PIMCO Strategic Income Fund, Inc. |
02/24/94 | Diversified | ||||||||||
PIMCO Access Income Fund |
01/31/22 | Non-Diversified | ||||||||||
PIMCO Dynamic Income Fund |
05/30/12 | Diversified | ||||||||||
PIMCO Dynamic Income Opportunities Fund |
01/29/21 | Non-Diversified |
1 | Hereinafter, the terms “Trustee” or “Trustees” used herein shall refer to a Director or Directors of applicable Funds. |
SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 9 |
Important Information About the Funds | (Cont.) |
10 | PIMCO CLOSED-END FUNDS |
Symbol on NYSE ‑ PCM |
Asset-Backed Securities |
35.2% | |||
Non‑Agency Mortgage-Backed Securities |
22.5% | |||
Corporate Bonds & Notes |
13.2% | |||
Short-Term Instruments |
11.1% | |||
Loan Participations and Assignments |
11.0% | |||
U.S. Government Agencies |
2.5% | |||
Common Stocks |
2.3% | |||
Other |
2.2% |
† | % of Investments, at value. |
§ | Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any. |
Market Price |
$7.87 | |||
NAV |
$7.00 | |||
Premium/(Discount) to NAV |
12.43% | |||
Market Price Distribution Rate(2) |
12.20% | |||
NAV Distribution Rate(2) |
13.71% | |||
Total Effective Leverage(3) |
46.10% |
(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). |
» | Exposure to holdings related to special situation investments, which include companies undergoing stress, distress, challenges, or significant transition, contributed to absolute performance as the securities posted positive returns. |
» | Exposure to high yield credit contributed to absolute performance as the sector posted positive performance. |
» | Security selection within structured agency mortgage backed securities contributed to absolute performance as the securities posted positive returns. |
» | Exposure to asset-backed securities detracted from absolute performance as the sector posted negative performance. |
» | Interest rate positioning, most notably long exposure at the short to intermediate portion of the curve detracted from performance as rates rose. |
» | Exposure to re‑performing residential mortgage loans detracted from performance as the securities posted negative returns. |
SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 11 |
Symbol on NYSE ‑ PGP |
U.S. Government Agencies |
26.6% | |||
Corporate Bonds & Notes |
21.1% | |||
Short-Term Instruments |
16.7% | |||
Loan Participations and Assignments |
13.1% | |||
Non‑Agency Mortgage-Backed Securities |
10.3% | |||
Asset-Backed Securities |
4.8% | |||
Preferred Securities |
2.7% | |||
Sovereign Issues |
1.4% | |||
Common Stocks |
1.4% | |||
Other |
1.9% |
† | % of Investments, at value. |
§ | Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any. |
Market Price |
$6.93 | |||
NAV |
$6.91 | |||
Premium/(Discount) to NAV |
0.29% | |||
Market Price Distribution Rate(2) |
11.95% | |||
NAV Distribution Rate(2) |
11.98% | |||
Total Effective Leverage(3) |
34.62% |
(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). |
» | Exposure to equity index derivatives linked to the MSCI EAFE Index contributed to absolute performance as the index posted positive performance. |
» | Exposure to holdings related to special situation investments, which include companies undergoing stress, distress, challenges, or significant transition, contributed to absolute performance as the securities posted positive returns. |
» | Exposure to emerging market debt contributed to absolute performance as the sector posted positive performance. |
» | Exposure to residential mortgage backed securities detracted from absolute performance as the sector posted negative performance. |
» | Short exposure to the S&P Index via options detracted from absolute performance as the index posted positive performance. |
» | Exposure to asset backed securities detracted from absolute performance as the sector posted negative performance. |
12 | PIMCO CLOSED-END FUNDS |
Symbol on NYSE ‑ RCS |
U.S. Government Agencies |
29.9% | |||
Corporate Bonds & Notes |
25.6% | |||
Non‑Agency Mortgage-Backed Securities |
15.3% | |||
Loan Participations and Assignments |
9.7% | |||
Short-Term Instruments |
6.9% | |||
Asset-Backed Securities |
5.0% | |||
Common Stocks |
3.0% | |||
Preferred Securities |
2.0% | |||
Municipal Bonds & Notes |
1.2% | |||
Other |
1.4% |
† | % of Investments, at value. |
§ | Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any. |
Market Price |
$4.94 | |||
NAV |
$4.38 | |||
Premium/(Discount) to NAV |
12.79% | |||
Market Price Distribution Rate(2) |
12.39% | |||
NAV Distribution Rate(2) |
13.97% | |||
Total Effective Leverage(3) |
38.78% |
(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. 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. |
The performance information shown for the Fund includes historical performance information for the periods prior to February 8, 2002, during which the Fund had a different investment manager. As of February 8, 2002, PIMCO became the Fund’s investment manager. The Fund’s performance prior to that time may have been different if the Fund were advised by PIMCO |
(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). |
» | Interest rate exposure, most notably short exposure focused in the intermediate and long portions of the curve contributed to absolute performance as rates rose. |
» | Exposure to external emerging market debt contributed to absolute performance as the sector posted positive performance. |
» | Security selection within U.S. commercial mortgage credit contributed to absolute performance as the securities posted positive returns. |
» | Exposure to agency residential mortgage securities detracted from absolute performance as the sector posted negative performance. |
» | Exposure to bank capital detracted from absolute performance as the sector posted negative performance. |
» | Exposure to asset-backed securities detracted from absolute performance as the sector posted negative performance. |
SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 13 |
Symbol on NYSE ‑ PAXS |
Non‑Agency Mortgage-Backed Securities |
33.3% | |||
Loan Participations and Assignments |
21.3% | |||
Asset-Backed Securities |
20.0% | |||
Corporate Bonds & Notes |
17.4% | |||
Short-Term Instruments |
3.8% | |||
Municipal Bonds & Notes |
1.3% | |||
Other |
2.9% |
† | % of Investments, at value. |
§ | Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any. |
Market Price |
$14.79 | |||
NAV |
$15.66 | |||
Premium/(Discount) to NAV |
(5.56)% | |||
Market Price Distribution Rate(2) |
12.12% | |||
NAV Distribution Rate(2) |
11.45% | |||
Total Effective Leverage(3) |
46.53% |
Average Annual Total Return(1) for the period ended December 31, 2022 | ||||||||
6 Month* | Commencement of Operations (01/31/22) |
|||||||
Market Price | 1.58% | (17.43)% | ||||||
NAV | (1.50)% | (12.96)% |
(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. 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). |
» | Exposure to external emerging market debt contributed to absolute performance as the sector posted positive performance. |
» | Exposure to high yield corporate credit contributed to absolute performance as the sector posted positive performance. |
» | Security selection within U.S. residential mortgage backed securities contributed to performance as select securities posted positive returns. |
» | Exposure to asset-backed securities detracted from absolute performance as the sector posted negative performance. |
» | Exposure to commercial mortgage credit detracted from absolute performance as the sector posted negative performance. |
» | Exposure to holdings related to special situation investments, which include companies undergoing stress, distress, challenges, or significant transition, contributed to absolute performance as the securities posted positive returns. |
14 | PIMCO CLOSED-END FUNDS |
Symbol on NYSE ‑ PDI |
Non‑Agency Mortgage-Backed Securities |
22.1% | |||
Corporate Bonds & Notes |
21.4% | |||
Asset-Backed Securities |
19.2% | |||
Loan Participations and Assignments |
18.8% | |||
Short-Term Instruments |
8.8% | |||
Common Stocks |
2.8% | |||
Preferred Securities |
2.1% | |||
U.S. Government Agencies |
1.2% | |||
Sovereign Issues |
1.1% | |||
Other |
2.5% |
† | % of Investments, at value. |
§ | Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any. |
Market Price |
$18.48 | |||
NAV |
$17.71 | |||
Premium/(Discount) to NAV |
4.35% | |||
Market Price Distribution Rate(2) |
14.32% | |||
NAV Distribution Rate(2) |
14.94% | |||
Total Effective Leverage(3) |
42.92% |
(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). |
» | Exposure to emerging market debt contributed to absolute performance as the sector posted positive performance. |
» | Exposure to holdings related to special situation investments, which include companies undergoing stress, distress, challenges, or significant transition, contributed to absolute performance as the securities posted positive returns. |
» | Exposure to high yield corporate credit contributed to absolute performance as the sector posted positive performance. |
» | Exposure to residential mortgage credit detracted from absolute performance as the sector posted negative performance. |
» | Exposure to asset-backed securities detracted from absolute performance as the sector posted negative performance. |
» | Security selection within municipal bonds detracted from performance as a select taxable municipal security posted negative returns. |
SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 15 |
Symbol on NYSE ‑ PDO |
Non‑Agency Mortgage-Backed Securities |
29.3% | |||
Corporate Bonds & Notes |
24.1% | |||
Loan Participations and Assignments |
23.5% | |||
Asset-Backed Securities |
11.7% | |||
Short-Term Instruments |
3.8% | |||
Real Estate Investment Trusts |
1.8% | |||
Common Stocks |
1.3% | |||
Preferred Securities |
1.1% | |||
U.S. Government Agencies |
1.1% | |||
Other |
2.3% |
† | % of Investments, at value. |
§ | Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any. |
Market Price |
$12.77 | |
NAV |
$13.29 | |
Premium/(Discount) to NAV |
(3.91)% | |
Market Price Distribution Rate(2) |
12.02% | |
NAV Distribution Rate(2) |
11.55% | |
Total Effective Leverage(3) |
48.85% |
Average Annual Total Return(1) for the period ended December 31, 2022 | ||||||||||||
6 Month* | 1 Year | Commencement of Operations (01/29/21) |
||||||||||
Market Price | 4.37% | (22.88)% | (10.58)% | |||||||||
NAV | (2.39)% | (19.63)% | (8.25)% |
(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). |
» | Exposure to emerging market debt contributed to absolute performance as the sector posted positive performance. |
» | Exposure to bank loans and high yield corporate credit contributed to absolute performance as the sectors posted positive performance. |
» | Interest rate positioning, most notably short exposure at the long portion of the curve contributed to absolute performance as rates rose. |
» | Exposure to residential and commercial mortgage credit detracted from absolute performance as the sector posted negative performance. |
» | Exposure to asset-backed securities detracted from absolute performance as the sector posted negative performance. |
» | Security selection within mortgage real estate investment trusts detracted from performance as a select security posted negative returns. |
16 | PIMCO CLOSED-END FUNDS |
SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 17 |
Financial Highlights |
Investment Operations | Less Distributions(c) | |||||||||||||||||||||||||||||||
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) |
Total | From Net Investment Income |
From Net Realized Capital Gains |
Tax Basis Return of Capital |
Total | ||||||||||||||||||||||||
PCM Fund, Inc. |
||||||||||||||||||||||||||||||||
07/01/2022 - 12/31/2022+ |
$ | 7.69 | $ | 0.44 | $ | (0.65 | ) | $ | (0.21 | ) | $ | (0.48 | ) | $ | 0.00 | $ | 0.00 | $ | (0.48 | ) | ||||||||||||
06/30/2022 |
9.52 | 0.79 | (1.66 | ) | (0.87 | ) | (0.93 | ) | 0.00 | (0.03 | ) | (0.96 | ) | |||||||||||||||||||
06/30/2021 |
8.47 | 0.97 | 1.04 | 2.01 | (0.96 | ) | 0.00 | 0.00 | (0.96 | ) | ||||||||||||||||||||||
06/30/2020 |
10.19 | 0.86 | (1.62 | ) | (0.76 | ) | (0.95 | ) | 0.00 | (0.01 | ) | (0.96 | ) | |||||||||||||||||||
06/30/2019 |
10.23 | 0.69 | 0.23 | 0.92 | (0.96 | ) | 0.00 | 0.00 | (0.96 | ) | ||||||||||||||||||||||
06/30/2018 |
10.15 | 0.88 | 0.18 | 1.06 | (0.98 | ) | 0.00 | 0.00 | (0.98 | ) | ||||||||||||||||||||||
PIMCO Global StocksPLUS® & Income Fund |
||||||||||||||||||||||||||||||||
07/01/2022 - 12/31/2022+ |
$ | 7.27 | $ | 0.38 | $ | (0.33 | ) | $ | 0.05 | $ | (0.41 | ) | $ | 0.00 | $ | 0.00 | $ | (0.41 | ) | |||||||||||||
06/30/2022 |
10.44 | 0.87 | (3.21 | ) | (2.34 | ) | (0.83 | ) | 0.00 | 0.00 | (0.83 | ) | ||||||||||||||||||||
06/30/2021 |
7.47 | 0.95 | 2.85 | 3.80 | (0.83 | ) | 0.00 | 0.00 | (0.83 | ) | ||||||||||||||||||||||
06/30/2020 |
9.89 | 1.10 | (2.42 | ) | (1.32 | ) | (0.85 | ) | 0.00 | (0.25 | ) | (1.10 | ) | |||||||||||||||||||
06/30/2019 |
10.50 | 1.11 | (0.34 | ) | 0.77 | (1.20 | ) | 0.00 | (0.18 | ) | (1.38 | ) | ||||||||||||||||||||
06/30/2018 |
11.18 | 1.09 | (0.16 | ) | 0.93 | (1.43 | ) | 0.00 | (0.18 | ) | (1.61 | ) | ||||||||||||||||||||
PIMCO Strategic Income Fund, Inc. |
||||||||||||||||||||||||||||||||
07/01/2022 - 12/31/2022+ |
$ | 4.68 | $ | 0.22 | $ | (0.21 | ) | $ | 0.01 | $ | (0.31 | ) | $ | 0.00 | $ | 0.00 | $ | (0.31 | ) | |||||||||||||
06/30/2022 |
6.55 | 0.61 | (1.87 | ) | (1.26 | ) | (0.60 | ) | 0.00 | (0.01 | ) | (0.61 | ) | |||||||||||||||||||
06/30/2021 |
5.94 | 0.58 | 0.64 | 1.22 | (0.41 | ) | 0.00 | (0.20 | ) | (0.61 | ) | |||||||||||||||||||||
06/30/2020 |
7.12 | 0.74 | (1.20 | ) | (0.46 | ) | (0.49 | ) | 0.00 | (0.23 | ) | (0.72 | ) | |||||||||||||||||||
06/30/2019 |
7.32 | 0.60 | 0.03 | 0.63 | (0.61 | ) | 0.00 | (0.22 | ) | (0.83 | ) | |||||||||||||||||||||
06/30/2018(f) |
7.75 | 0.77 | (0.34 | ) | 0.43 | (0.86 | ) | 0.00 | 0.00 | (0.86 | ) | |||||||||||||||||||||
PIMCO Access Income Fund (Consolidated) |
||||||||||||||||||||||||||||||||
07/01/2022 - 12/31/2022+ |
$ | 17.20 | $ | 0.99 | $ | (1.18 | ) | $ | (0.19 | ) | $ | (1.35 | ) | $ | 0.00 | $ | 0.00 | $ | (1.35 | ) | ||||||||||||
01/31/2022 - 06/30/2022 |
20.00 | 0.45 | (2.78 | ) | (2.33 | ) | (0.47 | ) | 0.00 | 0.00 | (0.47 | ) | ||||||||||||||||||||
PIMCO Dynamic Income Fund (Consolidated) |
||||||||||||||||||||||||||||||||
07/01/2022 - 12/31/2022+ |
$ | 19.72 | $ | 1.19 | $ | (1.30 | ) | $ | (0.11 | ) | $ | (1.97 | ) | $ | 0.00 | $ | 0.00 | $ | (1.97 | ) | ||||||||||||
06/30/2022 |
25.23 | 2.84 | (5.77 | ) | (2.93 | ) | (2.65 | ) | 0.00 | 0.00 | (2.65 | ) | ||||||||||||||||||||
06/30/2021 |
22.59 | 2.51 | 2.57 | 5.08 | (2.52 | ) | 0.00 | (0.13 | ) | (2.65 | ) | |||||||||||||||||||||
06/30/2020 |
28.29 | 2.92 | (5.80 | ) | (2.88 | ) | (3.07 | ) | 0.00 | 0.00 | (3.07 | ) | ||||||||||||||||||||
06/30/2019 |
28.98 | 2.73 | (0.37 | ) | 2.36 | (3.15 | ) | 0.00 | 0.00 | (3.15 | ) | |||||||||||||||||||||
06/30/2018 |
28.32 | 2.95 | 0.18 | 3.13 | (2.65 | ) | 0.00 | 0.00 | (2.65 | ) | ||||||||||||||||||||||
PIMCO Dynamic Income Opportunities Fund (Consolidated) |
||||||||||||||||||||||||||||||||
07/01/2022 - 12/31/2022+ |
$ | 15.31 | $ | 0.84 | $ | (1.14 | ) | $ | (0.30 | ) | $ | (1.73 | ) | $ | 0.00 | $ | 0.00 | $ | (1.73 | ) | ||||||||||||
06/30/2022 |
20.50 | 1.73 | (5.01 | ) | (3.28 | ) | (1.79 | ) | (0.12 | ) | 0.00 | (1.91 | ) | |||||||||||||||||||
01/29/2021 - 06/30/2021 |
20.00 | 0.49 | 0.47 | 0.96 | (0.47 | ) | 0.00 | 0.00 | (0.47 | ) |
^ | 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 shares outstanding during the year or period. |
(c) | 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 |
(d) | Total investment return is calculated assuming a purchase of a share at the market price on the first day and a sale of a share at the market price on the last day of each year reported. Dividends and distributions, if any, are assumed, for purposes of this calculation, to be reinvested at prices obtained under the Fund’s dividend reinvestment plan. Total investment return does not reflect brokerage commissions in connection with the purchase or sale of Fund shares. |
(e) | 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. |
(f) | See Note 2, Distributions — Common Shares, in the Notes to Financial Statements for more information regarding certain prior year values. |
(g) | Effective December 13, 2021, the Fund’s Investment advisory fee was decreased by 0.05% to an annual rate of 1.10%. |
18 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
Common Share | Ratios/Supplemental Data | |||||||||||||||||||||||||||||||||||||||||||||
Ratios to Average Net Assets | ||||||||||||||||||||||||||||||||||||||||||||||
Increase resulting from Common Share Offering |
Offering Cost Charged to Paid in Capital |
Net Asset Value End of Year or Period(a) |
Market Price End of Year or Period |
Total Investment Return(d) |
Net Assets Applicable to common shareholders End of Year or Period (000s) |
Expenses(e) | Expenses Excluding Waivers(e) |
Expenses Excluding Interest Expense |
Expenses Excluding Interest Expense and Waivers |
Net Investment Income (Loss) |
Portfolio Turnover Rate |
|||||||||||||||||||||||||||||||||||
$ | N/A | $ | N/A | $ | 7.00 | $ | 7.87 | (9.97 | )% | $ | 82,919 | 4.73 | %* | 4.73 | %* | 1.68 | %* | 1.68 | %* | 11.46 | %* | 6 | % | |||||||||||||||||||||||
N/A | N/A | 7.69 | 9.25 | (14.44 | ) | 90,639 | 2.30 | 2.30 | 1.63 | 1.63 | 8.71 | 65 | ||||||||||||||||||||||||||||||||||
N/A | N/A | 9.52 | 11.87 | 38.25 | 111,154 | 2.49 | 2.49 | 1.60 | 1.60 | 10.56 | 127 | |||||||||||||||||||||||||||||||||||
N/A | N/A | 8.47 | 9.42 | (8.33 | ) | 98,539 | 3.39 | 3.39 | 1.54 | 1.54 | 9.09 | 15 | ||||||||||||||||||||||||||||||||||
N/A | N/A | 10.19 | 11.32 | 8.26 | 118,181 | 3.35 | 3.35 | 1.41 | 1.41 | 6.89 | 8 | |||||||||||||||||||||||||||||||||||
N/A | N/A | 10.23 | 11.45 | 11.48 | 118,512 | 3.06 | 3.06 | 1.43 | 1.43 | 8.55 | 9 | |||||||||||||||||||||||||||||||||||
$ | N/A | $ | N/A | $ | 6.91 | $ | 6.93 | (6.89 | )% | $ | 77,914 | 3.60 | %* | 3.60 | %* | 1.74 | %* | 1.74 | %* | 10.62 | %* | 205 | % | |||||||||||||||||||||||
N/A | N/A | 7.27 | 7.89 | (22.51 | ) | 81,353 | 2.09 | 2.09 | 1.76 | 1.76 | 8.96 | 373 | ||||||||||||||||||||||||||||||||||
N/A | N/A | 10.44 | 11.10 | 48.12 | 115,748 | 2.03 | 2.03 | 1.66 | 1.66 | 10.35 | 503 | |||||||||||||||||||||||||||||||||||
N/A | N/A | 7.47 | 8.19 | (26.51 | ) | 82,109 | 2.78 | 2.78 | 1.65 | 1.65 | 12.56 | 395 | ||||||||||||||||||||||||||||||||||
N/A | N/A | 9.89 | 12.47 | (7.41 | ) | 107,562 | 2.64 | 2.64 | 1.53 | 1.53 | 11.37 | 381 | ||||||||||||||||||||||||||||||||||
N/A | N/A | 10.50 | 14.98 | (8.96 | ) | 113,204 | 2.36 | 2.36 | 1.48 | 1.48 | 9.84 | 63 | ||||||||||||||||||||||||||||||||||
$ | N/A | $ | N/A | $ | 4.38 | $ | 4.94 | 2.44 | % | $ | 198,138 | 3.23 | %* | 3.23 | %* | 0.97 | %* | 0.97 | %* | 9.51 | %* | 117 | % | |||||||||||||||||||||||
N/A | N/A | 4.68 | 5.13 | (25.44 | ) | 210,018 | 1.44 | 1.44 | 0.98 | 0.98 | 10.29 | 678 | ||||||||||||||||||||||||||||||||||
N/A | N/A | 6.55 | 7.61 | 30.90 | 290,989 | 1.36 | 1.36 | 0.96 | 0.96 | 8.97 | 774 | |||||||||||||||||||||||||||||||||||
N/A | N/A | 5.94 | 6.37 | (27.94 | ) | 261,163 | 2.61 | 2.61 | 0.98 | 0.98 | 11.28 | 679 | ||||||||||||||||||||||||||||||||||
N/A | N/A | 7.12 | 9.71 | 9.57 | 309,287 | 3.20 | 3.20 | 0.97 | 0.97 | 8.52 | 655 | |||||||||||||||||||||||||||||||||||
N/A | N/A | 7.32 | 9.68 | 4.59 | 314,540 | 1.85 | 1.85 | 0.97 | 0.97 | 10.12 | 5 | |||||||||||||||||||||||||||||||||||
$ | N/A | $ | N/A | $ | 15.66 | $ | 14.79 | 1.58 | % | $ | 689,242 | 4.95 | %* | 4.95 | %* | 2.22 | %* | 2.22 | %* | 11.40 | %* | 15 | % | |||||||||||||||||||||||
0.00 | N/A | 17.20 | 15.83 | (18.72 | ) | 756,653 | 1.79 | * | 1.79 | * | 1.51 | * | 1.51 | * | 5.81 | * | 16 | |||||||||||||||||||||||||||||
$ | 0.08 | $ | N/A | $ | 17.72 | $ | 18.48 | (1.75 | )% | $ | 4,306,540 | 4.52 | %* | 4.52 | %* | 1.97 | %* | 1.97 | %* | 12.25 | %* | 9 | % | |||||||||||||||||||||||
0.07 | 0.00 | 19.72 | 20.87 | (19.10 | ) | 4,466,886 | 2.64 | (g) | 2.64 | (g) | 2.00 | (g) | 2.00 | (g) | 12.28 | 27 | ||||||||||||||||||||||||||||||
0.21 | 0.00 | 25.23 | 28.81 | 29.29 | 1,781,435 | 2.78 | 2.78 | 2.04 | 2.04 | 10.36 | 38 | |||||||||||||||||||||||||||||||||||
0.25 | 0.00 | 22.59 | 24.72 | (14.18 | ) | 1,375,107 | 3.72 | 3.72 | 1.99 | 1.99 | 11.44 | 21 | ||||||||||||||||||||||||||||||||||
0.10 | (0.00 | ) | 28.29 | 32.15 | 12.03 | 1,603,368 | 3.96 | 3.96 | 1.89 | 1.89 | 9.70 | 12 | ||||||||||||||||||||||||||||||||||
0.18 | (0.00 | ) | 28.98 | 31.87 | 15.54 | 1,575,523 | 4.07 | 4.07 | 2.01 | 2.01 | 10.26 | 9 | ||||||||||||||||||||||||||||||||||
$ | N/A | $ | N/A | $ | 13.28 | $ | 12.77 | 4.37 | % | $ | 1,465,347 | 4.80 | %* | 4.80 | %* | 2.13 | %* | 2.13 | %* | 11.10 | %* | 9 | % | |||||||||||||||||||||||
N/A | N/A | 15.31 | 13.85 | (33.77 | ) | 1,684,507 | 2.79 | 2.79 | 2.12 | 2.12 | 9.11 | 47 | ||||||||||||||||||||||||||||||||||
0.01 | N/A | 20.50 | 23.18 | 16.70 | 2,227,301 | 2.10 | * | 2.10 | * | 1.78 | * | 1.78 | * | 5.93 | * | 49 |
SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 19 |
Statements of Assets and Liabilities | December 31, 2022 |
(Amounts in thousands†, except per share amounts) | PCM Fund, Inc. |
PIMCO Global StocksPLUS® & Income Fund |
PIMCO Strategic Income Fund, Inc. |
|||||||||
Assets: |
||||||||||||
Investments, at value |
||||||||||||
Investments in securities* |
$ | 152,577 | $ | 146,439 | $ | 359,253 | ||||||
Financial Derivative Instruments |
||||||||||||
Exchange-traded or centrally cleared |
89 | 392 | 773 | |||||||||
Over the counter |
0 | 5,839 | 118 | |||||||||
Cash |
6 | 0 | 0 | |||||||||
Deposits with counterparty |
2,829 | 5,167 | 13,243 | |||||||||
Foreign currency, at value |
5 | 241 | 1,881 | |||||||||
Receivable for investments sold |
251 | 1,243 | 3,374 | |||||||||
Receivable for TBA investments sold |
0 | 61,011 | 90,011 | |||||||||
Interest and/or dividends receivable |
1,335 | 2,008 | 4,014 | |||||||||
Other assets |
170 | 165 | 0 | |||||||||
Total Assets |
157,262 | 222,505 | 472,667 | |||||||||
Liabilities: |
||||||||||||
Borrowings & Other Financing Transactions |
||||||||||||
Payable for reverse repurchase agreements |
$ | 67,616 | $ | 36,497 | $ | 116,183 | ||||||
Payable for short sales |
0 | 1,105 | 2,910 | |||||||||
Financial Derivative Instruments |
||||||||||||
Exchange-traded or centrally cleared |
92 | 660 | 489 | |||||||||
Over the counter |
208 | 359 | 523 | |||||||||
Payable for investments purchased |
3,591 | 2,631 | 831 | |||||||||
Payable for TBA investments purchased |
0 | 94,963 | 145,437 | |||||||||
Payable for unfunded loan commitments |
1,578 | 183 | 519 | |||||||||
Deposits from counterparty |
187 | 7,165 | 5,107 | |||||||||
Distributions payable to common shareholders |
948 | 777 | 2,305 | |||||||||
Overdraft due to custodian |
0 | 134 | 52 | |||||||||
Accrued management fees |
123 | 117 | 173 | |||||||||
Total Liabilities |
74,343 | 144,591 | 274,529 | |||||||||
Net Assets Applicable to Common Shareholders |
$ | 82,919 | $ | 77,914 | $ | 198,138 | ||||||
Net Assets Applicable to Common Shareholders Consist of: |
||||||||||||
Par value^ |
$ | 12 | $ | 0 | $ | 0 | ||||||
Paid in capital in excess of par |
113,069 | 135,263 | 342,926 | |||||||||
Distributable earnings (accumulated loss) |
(30,162 | ) | (57,349 | ) | (144,788 | ) | ||||||
Net Assets Applicable to Common Shareholder |
$ | 82,919 | $ | 77,914 | $ | 198,138 | ||||||
Common Shares Outstanding |
11,846 | 11,269 | 45,198 | |||||||||
Net Asset Value Per Common Share(a) |
$ | 7.00 | $ | 6.91 | $ | 4.38 | ||||||
Cost of investments in securities |
$ | 172,220 | $ | 178,291 | $ | 451,546 | ||||||
Cost of foreign currency held |
$ | 4 | $ | 241 | $ | 1,882 | ||||||
Proceeds received on short sales |
$ | 0 | $ | 1,109 | $ | 2,909 | ||||||
Cost or premiums of financial derivative instruments, net |
$ | 2,450 | $ | (664 | ) | $ | 5,689 | |||||
* Includes repurchase agreements of: |
$ | 16,497 | $ | 22,300 | $ | 21,321 |
† | A zero balance may reflect actual amounts rounding to less than one thousand. |
^ | ($0.001 per share), ($0.00001 per share), ($0.00001 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 |
Consolidated Statements of Assets and Liabilities | December 31, 2022 (Unaudited) |
(Amounts in thousands†, except per share amounts) | PIMCO Access Income Fund |
PIMCO Dynamic Income Fund |
PIMCO Dynamic Income Opportunities Fund |
|||||||||
Assets: |
||||||||||||
Investments, at value |
||||||||||||
Investments in securities* |
$ | 1,243,723 | $ | 7,507,969 | $ | 2,671,440 | ||||||
Investments in Affiliates |
0 | 106,136 | 0 | |||||||||
Financial Derivative Instruments |
||||||||||||
Exchange-traded or centrally cleared |
440 | 2,915 | 1,205 | |||||||||
Over the counter |
712 | 4,931 | 2,391 | |||||||||
Cash |
2,824 | 1,180 | 0 | |||||||||
Deposits with counterparty |
29,663 | 164,875 | 74,606 | |||||||||
Foreign currency, at value |
0 | 13,453 | 0 | |||||||||
Receivable for investments sold |
47,617 | 128,466 | 138,914 | |||||||||
Receivable for Fund shares sold |
0 | 310 | 0 | |||||||||
Interest and/or dividends receivable |
14,898 | 104,377 | 46,593 | |||||||||
Other assets |
0 | 5,321 | 32 | |||||||||
Total Assets |
1,339,877 | 8,039,933 | 2,935,181 | |||||||||
Liabilities: |
||||||||||||
Borrowings & Other Financing Transactions |
||||||||||||
Payable for reverse repurchase agreements |
$ | 582,445 | $ | 3,152,254 | $ | 1,381,829 | ||||||
Financial Derivative Instruments |
||||||||||||
Exchange-traded or centrally cleared |
444 | 4,167 | 1,287 | |||||||||
Over the counter |
4,788 | 24,425 | 12,328 | |||||||||
Payable for investments purchased |
33,706 | 437,688 | 23,435 | |||||||||
Payable for unfunded loan commitments |
1,848 | 13,660 | 4,382 | |||||||||
Deposits from counterparty |
11,337 | 40,464 | 13,583 | |||||||||
Distributions payable to common shareholders |
6,574 | 52,915 | 14,110 | |||||||||
Overdraft due to custodian |
8,054 | 0 | 15,935 | |||||||||
Accrued management fees |
1,439 | 7,455 | 2,867 | |||||||||
Other liabilities |
0 | 365 | 78 | |||||||||
Total Liabilities |
650,635 | 3,733,393 | 1,469,834 | |||||||||
Net Assets Applicable to Common Shareholders |
$ | 689,242 | $ | 4,306,540 | $ | 1,465,347 | ||||||
Net Assets Applicable to Common Shareholders Consist of: |
||||||||||||
Par value^ |
$ | 0 | $ | 2 | $ | 1 | ||||||
Paid in capital in excess of par |
879,954 | 6,432,477 | 2,205,004 | |||||||||
Distributable earnings (accumulated loss) |
(190,712 | ) | (2,125,939 | ) | (739,658 | ) | ||||||
Net Assets Applicable to Common Shareholders |
$ | 689,242 | $ | 4,306,540 | $ | 1,465,347 | ||||||
Common Shares Outstanding |
44,001 | 243,090 | 110,318 | |||||||||
Net Asset Value Per Common Share(a): |
$ | 15.66 | $ | 17.72 | $ | 13.28 | ||||||
Cost of investments in securities |
$ | 1,398,499 | $ | 9,058,306 | $ | 3,279,799 | ||||||
Cost of investments in Affiliates |
$ | 0 | $ | 27,066 | $ | 0 | ||||||
Cost of foreign currency held |
$ | 0 | $ | 14,761 | $ | 0 | ||||||
Cost or premiums of financial derivative instruments, net |
$ | 10,888 | $ | (96,637 | ) | $ | (16,420 | ) | ||||
* Includes repurchase agreements of: |
$ | 43,500 | $ | 599,095 | $ | 64,600 |
† | A zero balance may reflect actual amounts rounding to less than one thousand. |
^ | ($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. |
SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 21 |
Statements of Operations |
Six Months Ended December 31, 2022 (Unaudited) | ||||||||||||
(Amounts in thousands†) | PCM Fund, Inc. |
PIMCO Global StocksPLUS® & Income Fund |
PIMCO Strategic Income Fund, Inc. |
|||||||||
Investment Income: |
||||||||||||
Interest, net of foreign taxes* |
$ | 7,225 | $ | 5,646 | $ | 13,140 | ||||||
Dividends, net of foreign taxes** |
59 | 98 | 104 | |||||||||
Total Income |
7,284 | 5,744 | 13,244 | |||||||||
Expenses: |
||||||||||||
Management fees |
750 | 703 | 994 | |||||||||
Trustee fees and related expenses |
0 | 0 | 2 | |||||||||
Interest expense |
1,374 | 751 | 2,347 | |||||||||
Miscellaneous expense |
4 | 0 | 4 | |||||||||
Total Expenses |
2,128 | 1,454 | 3,347 | |||||||||
Net Investment Income (Loss) |
5,156 | 4,290 | 9,897 | |||||||||
Net Realized Gain (Loss): |
||||||||||||
Investments in securities |
2,726 | (642 | ) | (16,020 | ) | |||||||
Exchange-traded or centrally cleared financial derivative instruments |
(937 | ) | (2,239 | ) | 3,596 | |||||||
Over the counter financial derivative instruments |
50 | (10,981 | ) | 2,121 | ||||||||
Foreign currency |
1 | (271 | ) | (1,025 | ) | |||||||
Net Realized Gain (Loss) |
1,840 | (14,133 | ) | (11,328 | ) | |||||||
Net Change in Unrealized Appreciation (Depreciation): |
||||||||||||
Investments in securities |
(9,768 | ) | (3,239 | ) | (1,964 | ) | ||||||
Exchange-traded or centrally cleared financial derivative instruments |
213 | 1,714 | 6,678 | |||||||||
Over the counter financial derivative instruments |
(46 | ) | 12,504 | (1,604 | ) | |||||||
Foreign currency |
0 | (431 | ) | (1,349 | ) | |||||||
Net Change in Unrealized Appreciation (Depreciation) |
(9,601 | ) | 10,548 | 1,761 | ||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations |
$ | (2,605 | ) | $ | 705 | $ | 330 | |||||
* Foreign tax withholdings |
$ | 0 | $ | 6 | $ | 15 | ||||||
** Foreign tax withholdings - Dividends |
$ | 0 | $ | 0 | $ | 0 |
† | A zero balance may reflect actual amounts rounding to less than one thousand. |
22 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
Consolidated Statements of Operations |
Six Months Ended December 31, 2022 (Unaudited) | ||||||||||||
(Amounts in thousands†) | PIMCO Access Income Fund |
PIMCO Dynamic Income Fund |
PIMCO Dynamic Income Opportunities Fund |
|||||||||
Investment Income: |
||||||||||||
Interest, net of foreign taxes* |
$ | 61,162 | $ | 377,150 | $ | 128,429 | ||||||
Dividends, net of foreign taxes** |
1,078 | 3,533 | 4,068 | |||||||||
Total Income |
62,240 | 380,683 | 132,497 | |||||||||
Expenses: |
||||||||||||
Management fees |
8,415 | 44,448 | 17,659 | |||||||||
Trustee fees and related expenses |
48 | 107 | 104 | |||||||||
Interest expense |
10,380 | 57,813 | 22,254 | |||||||||
Miscellaneous expense |
2 | 57 | 4 | |||||||||
Total Expenses |
18,845 | 102,425 | 40,021 | |||||||||
Net Investment Income (Loss) |
43,395 | 278,258 | 92,476 | |||||||||
Net Realized Gain (Loss): |
||||||||||||
Investments in securities |
(23,143 | ) | (64,679 | ) | (67,683 | ) | ||||||
Exchange-traded or centrally cleared financial derivative instruments |
(7,341 | ) | 108,213 | 3,427 | ||||||||
Over the counter financial derivative instruments |
1,876 | 22,294 | 8,642 | |||||||||
Foreign currency |
3,030 | 813 | (5,541 | ) | ||||||||
Net Realized Gain (Loss) |
(25,578 | ) | 66,641 | (61,155 | ) | |||||||
Net Change in Unrealized Appreciation (Depreciation): |
||||||||||||
Investments in securities |
(31,975 | ) | (219,702 | ) | (52,058 | ) | ||||||
Investments in Affiliates |
0 | 1,933 | 0 | |||||||||
Exchange-traded or centrally cleared financial derivative instruments |
12,855 | (85,696 | ) | 9,529 | ||||||||
Over the counter financial derivative instruments |
(4,215 | ) | (28,945 | ) | (11,112 | ) | ||||||
Short sales |
0 | (53 | ) | 0 | ||||||||
Foreign currency assets and liabilities |
(2,752 | ) | (40,141 | ) | (10,395 | ) | ||||||
Net Change in Unrealized Appreciation (Depreciation) |
(26,087 | ) | (372,604 | ) | (64,036 | ) | ||||||
Net Increase (Decrease) in Net Assets Resulting from Operations |
$ | (8,270 | ) | $ | (27,705 | ) | $ | (32,715 | ) | |||
* Foreign tax withholdings - Interest |
$ | 3 | $ | 249 | $ | 180 | ||||||
** Foreign tax withholdings - Dividends |
$ | 0 | $ | 40 | $ | 0 |
† | A zero balance may reflect actual amounts rounding to less than one thousand. |
SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 23 |
Statements of Changes in Net Assets |
PCM Fund, Inc. |
PIMCO Global StocksPLUS® & Income Fund |
|||||||||||||||
(Amounts in thousands†) | Six Months Ended December 31, 2022 (Unaudited) |
Year Ended June 30, 2022 |
Six Months Ended December 31, 2022 (Unaudited) |
Year Ended June 30, 2022 |
||||||||||||
Increase (Decrease) in Net Assets from: |
||||||||||||||||
Operations: |
||||||||||||||||
Net investment income (loss) |
$ | 5,156 | $ | 9,275 | $ | 4,290 | $ | 9,748 | ||||||||
Net realized gain (loss) |
1,840 | 2,298 | (14,133 | ) | 6,619 | |||||||||||
Net change in unrealized appreciation (depreciation) |
(9,601 | ) | (21,880 | ) | 10,548 | (42,591 | ) | |||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations |
(2,605 | ) | (10,307 | ) | 705 | (26,224 | ) | |||||||||
Distributions to Common Shareholders: |
||||||||||||||||
From net investment income and/or net realized capital gains |
(5,673 | ) | (10,961 | ) | (4,653 | ) | (9,228 | ) | ||||||||
Tax basis return of capital |
0 | (303 | ) | 0 | 0 | |||||||||||
Total Distributions to Common Shareholders(a) |
(5,673 | ) | (11,264 | ) | (4,653 | ) | (9,228 | ) | ||||||||
Common Share Transactions*: |
||||||||||||||||
Issued as reinvestment of distributions |
558 | 1,056 | 509 | 1,057 | ||||||||||||
Net increase (decrease) resulting from common share transactions |
558 | 1,056 | 509 | 1,057 | ||||||||||||
Total increase (decrease) in net assets applicable to common shareholders |
(7,720 | ) | (20,515 | ) | (3,439 | ) | (34,395 | ) | ||||||||
Net Assets Applicable to Common Shareholders: |
||||||||||||||||
Beginning of Period |
90,639 | 111,154 | 81,353 | 115,748 | ||||||||||||
End of Period |
$ | 82,919 | $ | 90,639 | $ | 77,914 | $ | 81,353 | ||||||||
*Common Share Transactions: |
||||||||||||||||
Shares issued as reinvestment of distributions |
64 | 101 | 72 | 107 | ||||||||||||
Net increase (decrease) in common shares outstanding |
64 | 101 | 72 | 107 |
† | 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. |
24 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 25 |
Consolidated Statements of Changes in Net Assets |
PIMCO Access Income Fund |
PIMCO Dynamic Income Fund |
|||||||||||||||
(Amounts in thousands†) | Six Months Ended December 31, 2022 (Unaudited) |
Inception date through June 30, 2022(a) |
Six Months Ended December 31, 2022 (Unaudited) |
Year Ended June 30, 2022 |
||||||||||||
Increase (Decrease) in Net Assets from: |
||||||||||||||||
Operations: |
||||||||||||||||
Net investment income (loss) |
$ | 43,395 | $ | 19,821 | $ | 278,258 | $ | 439,598 | ||||||||
Net realized gain (loss) |
(25,578 | ) | 1,003 | 66,641 | 173,171 | |||||||||||
Net change in unrealized appreciation (depreciation) |
(26,087 | ) | (123,302 | ) | (372,604 | ) | (1,319,388 | ) | ||||||||
Net Increase (Decrease) in Net Assets Applicable to Common Shareholders Resulting from Operations |
(8,270 | ) | (102,478 | ) | (27,705 | ) | (706,619 | ) | ||||||||
Distributions to Common Shareholders: |
||||||||||||||||
From net investment income and/or net realized capital gains |
(59,433 | ) | (20,531 | ) | (465,848 | ) | (391,635 | ) | ||||||||
Total Distributions to Common Shareholders(b) |
(59,433 | ) | (20,531 | ) | (465,848 | ) | (391,635 | ) | ||||||||
Common Share Transactions*: |
||||||||||||||||
Net proceeds from at‑the‑market offering |
0 | 866,100 | 281,223 | 181,491 | ||||||||||||
Net proceeds from equity offering |
0 | 13,562 | 0 | 0 | ||||||||||||
Net proceeds from reorganization |
0 | 0 | 0 | 3,562,154 | ||||||||||||
At‑the‑market offering costs |
0 | 0 | 0 | 429 | ||||||||||||
Issued as reinvestment of distributions |
292 | 0 | 51,984 | 39,631 | ||||||||||||
Net increase (decrease) resulting from common share transaction |
292 | 879,662 | 333,207 | 3,783,705 | ||||||||||||
Total increase (decrease) in net assets applicable to common shareholders |
(67,411 | ) | 756,653 | (160,346 | ) | 2,685,451 | ||||||||||
Net Assets Applicable to Common Shareholders: |
||||||||||||||||
Beginning of period |
756,653 | 0 | 4,466,886 | 1,781,435 | ||||||||||||
End of period |
$ | 689,242 | $ | 756,653 | $ | 4,306,540 | $ | 4,466,886 | ||||||||
* Common Share Transactions: |
||||||||||||||||
Shares sold |
0 | 43,983 | 13,795 | 7,210 | ||||||||||||
Shares issued in reorganization |
0 | 0 | 0 | 147,079 | ||||||||||||
Shares issued as reinvestment of distributions |
18 | 0 | 2,737 | 1,671 | ||||||||||||
Net increase (decrease) in common shares outstanding |
18 | 43,983 | 16,532 | 155,960 |
† | A zero balance may reflect actual amounts rounding to less than one thousand. |
(a) | Inception date of the Fund was January 31, 2022. |
(b) | 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. |
26 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 27 |
Statements of Cash Flows |
Six Months Ended December 31, 2022 (Unaudited) | ||||||||||||
(Amounts in thousands†) | PCM Fund, Inc. |
PIMCO Global StocksPLUS® & Income Fund |
PIMCO Strategic Income Fund, Inc. |
|||||||||
Cash Flows Provided by (Used for) Operating Activities: |
||||||||||||
Net increase (decrease) in net assets resulting from operations |
$ | (2,605 | ) | $ | 705 | $ | 330 | |||||
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 |
(9,915 | ) | (278,328 | ) | (458,848 | ) | ||||||
Proceeds from sales of long-term securities |
29,736 | 302,913 | 522,131 | |||||||||
(Purchases) Proceeds from sales of short-term portfolio investments, net |
(6,272 | ) | (2,959 | ) | (11,567 | ) | ||||||
(Increase) decrease in deposits with counterparty |
820 | 953 | 5,677 | |||||||||
(Increase) decrease in receivable for investments sold |
363 | (27,654 | ) | 293,842 | ||||||||
(Increase) decrease in interest and/or dividends receivable |
(122 | ) | (322 | ) | 395 | |||||||
Proceeds from (Payments on) exchange-traded or centrally cleared financial derivative instruments |
(570 | ) | (2,197 | ) | 8,425 | |||||||
Proceeds from (Payments on) over the counter financial derivative instruments |
5 | (11,005 | ) | 2,052 | ||||||||
(Increase) decrease in other assets |
(160 | ) | (164 | ) | 1 | |||||||
Increase (decrease) in payable for investments purchased |
3,142 | 28,846 | (307,814 | ) | ||||||||
Increase (decrease) in payable for unfunded loan commitments |
(154 | ) | 0 | 0 | ||||||||
Increase (decrease) in deposits from counterparty |
142 | 6,942 | 3,636 | |||||||||
Increase (decrease) in accrued management fees |
(9 | ) | (14 | ) | (2 | ) | ||||||
Proceeds from (Payments on) short sales transactions, net |
0 | 415 | 298 | |||||||||
Proceeds from (Payments on) foreign currency transactions |
1 | (309 | ) | (1,193 | ) | |||||||
Increase (decrease) in other liabilities |
(5 | ) | (22 | ) | (27 | ) | ||||||
Net Realized (Gain) Loss |
||||||||||||
Investments in securities |
(2,726 | ) | 642 | 16,020 | ||||||||
Exchange-traded or centrally cleared financial derivative instruments |
937 | 2,239 | (3,596 | ) | ||||||||
Over the counter financial derivative instruments |
(50 | ) | 10,981 | (2,121 | ) | |||||||
Foreign currency |
(1 | ) | 271 | 1,025 | ||||||||
Net Change in Unrealized (Appreciation) Depreciation |
||||||||||||
Investments in securities |
9,768 | 3,239 | 1,964 | |||||||||
Exchange-traded or centrally cleared financial derivative instruments |
(213 | ) | (1,714 | ) | (6,678 | ) | ||||||
Over the counter financial derivative instruments |
46 | (12,504 | ) | 1,604 | ||||||||
Foreign currency assets and liabilities |
0 | 431 | 1,349 | |||||||||
Net amortization (accretion) on investments |
(159 | ) | (439 | ) | 1,240 | |||||||
Net Cash Provided by (Used for) Operating Activities |
21,999 | 20,946 | 68,143 | |||||||||
Cash Flows Received from (Used for) Financing Activities: |
||||||||||||
Increase (decrease) in overdraft due to custodian |
(3 | ) | 129 | 52 | ||||||||
Cash distributions paid* |
(5,109 | ) | (4,140 | ) | (12,194 | ) | ||||||
Proceeds from reverse repurchase agreements |
163,604 | 112,861 | 361,690 | |||||||||
Payments on reverse repurchase agreements |
(180,480 | ) | (130,039 | ) | (417,991 | ) | ||||||
Net Cash Received from (Used for) Financing Activities |
(21,988 | ) | (21,189 | ) | (68,443 | ) | ||||||
Net Increase (Decrease) in Cash and Foreign Currency |
11 | (243 | ) | (300 | ) | |||||||
Cash and Foreign Currency: |
||||||||||||
Beginning of period |
0 | 484 | 2,181 | |||||||||
End of period |
$ | 11 | $ | 241 | $ | 1,881 | ||||||
* Reinvestment of distributions |
$ | 558 | $ | 509 | $ | 1,579 | ||||||
Supplemental Disclosure of Cash Flow Information: |
||||||||||||
Interest expense paid during the period |
$ | 988 | $ | 481 | $ | 1,717 | ||||||
Non Cash Payment in Kind |
$ | 247 | $ | 424 | $ | 985 |
† | A zero balance may reflect actual amounts rounding to less than one thousand. |
28 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
Consolidated Statements of Cash Flows |
Six Months Ended December 31, 2022 (Unaudited) | ||||||||||||
(Amounts in thousands†) | PIMCO Access Income Fund |
PIMCO Dynamic Income Fund |
PIMCO Dynamic Income Opportunities Fund |
|||||||||
Cash Flows Provided by (Used for) Operating Activities: |
||||||||||||
Net increase (decrease) in net assets resulting from operations |
$ | (8,270 | ) | $ | (27,705 | ) | $ | (32,715 | ) | |||
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 |
(260,247 | ) | (652,073 | ) | (274,652 | ) | ||||||
Proceeds from sales of long-term securities |
213,175 | 1,259,090 | 524,857 | |||||||||
(Purchases) Proceeds from sales of short-term portfolio investments, net |
6,687 | (262,217 | ) | 82,931 | ||||||||
(Increase) decrease in deposits with counterparty |
(2,120 | ) | 43,627 | 8,179 | ||||||||
(Increase) decrease in receivable for investments sold |
(21,263 | ) | 253,591 | (79,211 | ) | |||||||
(Increase) decrease in interest and/or dividends receivable |
(3,870 | ) | (11,497 | ) | (5,497 | ) | ||||||
Proceeds from (Payments on) exchange-traded or centrally cleared financial derivative instruments |
5,604 | 23,778 | 11,903 | |||||||||
Proceeds from (Payments on) over the counter financial derivative instruments |
3,661 | 22,003 | 8,638 | |||||||||
(Increase) decrease in other assets |
0 | (3,822 | ) | (16 | ) | |||||||
Increase (decrease) in payable for investments purchased |
(92,900 | ) | 245,300 | (25,029 | ) | |||||||
Increase (decrease) in payable for unfunded loan commitments |
(2,866 | ) | (47,492 | ) | (7,189 | ) | ||||||
Increase (decrease) in deposits from counterparty |
6,182 | (427 | ) | 7,601 | ||||||||
Increase (decrease) in accrued management fees |
223 | (362 | ) | (284 | ) | |||||||
Proceeds from (Payments on) short sales transactions, net |
0 | (1,926 | ) | 0 | ||||||||
Proceeds from (Payments on) foreign currency transactions |
3,208 | (4,499 | ) | (6,639 | ) | |||||||
Increase (decrease) in other liabilities |
(2 | ) | (371 | ) | 0 | |||||||
Net Realized (Gain) Loss |
||||||||||||
Investments in securities |
23,143 | 64,679 | 67,683 | |||||||||
Exchange-traded or centrally cleared financial derivative instruments |
7,341 | (108,213 | ) | (3,427 | ) | |||||||
Over the counter financial derivative instruments |
(1,876 | ) | (22,294 | ) | (8,642 | ) | ||||||
Foreign currency |
(3,030 | ) | (813 | ) | 5,541 | |||||||
Net Change in Unrealized (Appreciation) Depreciation |
||||||||||||
Investments in securities |
31,975 | 219,702 | 52,058 | |||||||||
Investments in Affiliates |
0 | (1,933 | ) | 0 | ||||||||
Exchange-traded or centrally cleared financial derivative instruments |
(12,855 | ) | 85,696 | (9,529 | ) | |||||||
Over the counter financial derivative instruments |
4,215 | 28,945 | 11,112 | |||||||||
Short sales |
0 | 53 | 0 | |||||||||
Foreign currency assets and liabilities |
2,752 | 40,141 | 10,395 | |||||||||
Net amortization (accretion) on investments |
(8,573 | ) | (39,162 | ) | (4,479 | ) | ||||||
Net Cash Provided by (Used for) Operating Activities |
(109,706 | ) | 1,101,799 | 333,589 | ||||||||
Cash Flows Received from (Used for) Financing Activities: |
||||||||||||
Proceeds from shares sold |
0 | 281,249 | 0 | |||||||||
Increase (decrease) in overdraft due to custodian |
8,054 | 0 | (5,679 | ) | ||||||||
Cash distributions paid to common shareholders* |
(57,700 | ) | (410,862 | ) | (185,365 | ) | ||||||
Proceeds from reverse repurchase agreements |
1,695,225 | 8,155,090 | 3,581,834 | |||||||||
Payments on reverse repurchase agreements |
(1,537,000 | ) | (9,120,487 | ) | (3,729,170 | ) | ||||||
Net Cash Received from (Used for) Financing Activities |
108,579 | (1,095,010 | ) | (338,380 | ) | |||||||
Net Increase (Decrease) in Cash and Foreign Currency |
(1,127 | ) | 6,789 | (4,791 | ) | |||||||
Cash and Foreign Currency: |
||||||||||||
Beginning of period |
3,951 | 7,844 | 4,791 | |||||||||
End of period |
$ | 2,824 | $ | 14,633 | $ | 0 | ||||||
* Reinvestment of distributions |
$ | 292 | $ | 51,984 | $ | 4,016 | ||||||
Supplemental Disclosure of Cash Flow Information: |
||||||||||||
Interest expense paid during the period |
$ | 6,535 | $ | 39,354 | $ | 15,131 | ||||||
Non Cash Payment in Kind |
$ | 3,143 | $ | 20,888 | $ | 5,377 |
† | A zero balance may reflect actual amounts rounding to less than one thousand. |
SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 29 |
Schedule of Investments | PIMCO PCM Fund, Inc. |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
INVESTMENTS IN SECURITIES 184.0% | | |||||||||||
LOAN PARTICIPATIONS AND ASSIGNMENTS 20.2% | | |||||||||||
American Airlines, Inc. |
| |||||||||||
8.993% (LIBOR03M + 4.750%) due 04/20/2028 ~ |
$ | 800 | $ | 798 | ||||||||
AmSurg LLC |
| |||||||||||
TBD% due 04/29/2027 µ |
215 | 211 | ||||||||||
AP Core Holdings LLC |
| |||||||||||
9.884% (LIBOR01M + 5.500%) due 09/01/2027 ~ |
419 | 379 | ||||||||||
Encina Private Credit LLC |
| |||||||||||
TBD% - 8.684% (LIBOR01M + 4.366%) due 11/30/2025 «~µ |
2,573 | 2,518 | ||||||||||
Envision Healthcare Corp. |
| |||||||||||
12.119% due 04/29/2027 |
1,185 | 1,159 | ||||||||||
15.744% due 04/28/2028 |
2,830 | 2,316 | ||||||||||
Exgen Texas Power LLC |
| |||||||||||
10.576% (LIBOR03M + 6.750%) due 10/08/2026 «~ |
1,338 | 1,344 | ||||||||||
Forbes Energy Services LLC |
| |||||||||||
7.000% due 06/30/2023 « |
514 | 0 | ||||||||||
11.000% due 06/30/2023 « |
7 | 0 | ||||||||||
Lealand Finance Co. BV |
| |||||||||||
7.384% (LIBOR01M + 3.000%) due 06/28/2024 ~ |
27 | 18 | ||||||||||
Lealand Finance Co. BV (5.384% Cash and 3.000% PIK) |
| |||||||||||
8.384% (LIBOR01M + 1.000%) due 06/30/2025 ~(b) |
198 | 106 | ||||||||||
PUG LLC |
| |||||||||||
7.884% (LIBOR01M + 3.500%) due 02/12/2027 ~ |
695 | 579 | ||||||||||
Redstone Holdco 2 LP |
| |||||||||||
9.108% (LIBOR03M + 4.750%) due 04/27/2028 ~ |
1,236 | 862 | ||||||||||
Rising Tide Holdings, Inc. |
| |||||||||||
9.485% (LIBOR03M + 4.750%) due 06/01/2028 «~ |
1,086 | 516 | ||||||||||
Softbank Vision Fund |
| |||||||||||
5.000% due 12/21/2025 « |
749 | 721 | ||||||||||
Syniverse Holdings, Inc. |
| |||||||||||
11.580% due 05/13/2027 |
2,019 | 1,771 | ||||||||||
Team Health Holdings, Inc. |
| |||||||||||
7.134% (LIBOR01M + 2.750%) due 02/06/2024 ~ |
1,777 | 1,528 | ||||||||||
U.S. Renal Care, Inc. |
| |||||||||||
9.438% (LIBOR01M + 5.000%) due 06/26/2026 ~ |
199 | 112 | ||||||||||
9.938% (LIBOR01M + 5.000%) due 06/26/2026 ~ |
1,186 | 669 | ||||||||||
Uber Technologies, Inc. |
| |||||||||||
8.235% (LIBOR03M + 3.500%) due 02/25/2027 ~ |
297 | 297 | ||||||||||
Westmoreland Mining Holdings LLC (15.000% PIK) |
| |||||||||||
15.000% due 03/15/2029 (b) |
868 | 675 | ||||||||||
Windstream Services LLC |
| |||||||||||
10.673% (LIBOR01M + 6.250%) due 09/21/2027 ~ |
166 | 151 | ||||||||||
|
|
|||||||||||
Total Loan Participations and Assignments (Cost $20,691) |
16,730 | |||||||||||
|
|
|||||||||||
CORPORATE BONDS & NOTES 24.2% | | |||||||||||
BANKING & FINANCE 6.9% | | |||||||||||
Navient Corp. |
| |||||||||||
5.625% due 01/25/2025 |
51 | 46 | ||||||||||
Piper Sandler Cos. |
| |||||||||||
5.200% due 10/15/2023 |
900 | 892 | ||||||||||
Uniti Group LP |
| |||||||||||
6.000% due 01/15/2030 (h) |
1,065 | 675 | ||||||||||
7.875% due 02/15/2025 (h) |
2,420 | 2,348 | ||||||||||
Voyager Aviation Holdings LLC |
| |||||||||||
8.500% due 05/09/2026 (h) |
2,205 | 1,750 | ||||||||||
|
|
|||||||||||
5,711 | ||||||||||||
|
|
|||||||||||
30 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
December 31, 2022 | (Unaudited) |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
Natixis Commercial Mortgage Securities Trust |
| |||||||||||
8.280% due 03/15/2035 ~(h) |
$ | 350 | $ | 334 | ||||||||
9.529% due 03/15/2035 •(h) |
700 | 662 | ||||||||||
New Residential Mortgage Loan Trust |
| |||||||||||
3.881% due 11/25/2059 ~(h) |
2,900 | 1,267 | ||||||||||
Nomura Asset Acceptance Corp. Alternative Loan Trust |
| |||||||||||
5.459% due 02/25/2035 ~(h) |
215 | 210 | ||||||||||
Regal Trust |
| |||||||||||
2.605% due 09/29/2031 • |
11 | 11 | ||||||||||
Residential Accredit Loans, Inc. Trust |
| |||||||||||
4.642% due 01/25/2036 ^~ |
169 | 132 | ||||||||||
6.000% due 08/25/2035 ^ |
129 | 108 | ||||||||||
6.000% due 06/25/2036 ^ |
68 | 54 | ||||||||||
6.500% due 09/25/2037 ^ |
124 | 98 | ||||||||||
Residential Asset Securitization Trust |
| |||||||||||
6.000% due 03/25/2037 ^ |
181 | 63 | ||||||||||
Residential Funding Mortgage Securities, Inc. Trust |
| |||||||||||
6.000% due 06/25/2036 ^ |
93 | 78 | ||||||||||
Structured Adjustable Rate Mortgage Loan Trust |
| |||||||||||
3.330% due 04/25/2036 ^~ |
161 | 100 | ||||||||||
3.694% due 01/25/2036 ^~ |
179 | 113 | ||||||||||
3.939% due 09/25/2036 ^ |
29 | 27 | ||||||||||
Structured Asset Mortgage Investments Trust |
| |||||||||||
4.809% due 08/25/2036 ^•(h) |
319 | 251 | ||||||||||
TBW Mortgage-Backed Trust |
| |||||||||||
6.000% due 07/25/2036 ^ |
104 | 42 | ||||||||||
Tharaldson Hotel Portfolio Trust |
| |||||||||||
7.698% due 11/11/2034 ~(h) |
1,126 | 1,055 | ||||||||||
Wachovia Bank Commercial Mortgage Trust |
| |||||||||||
0.692% due 10/15/2041 ~(a) |
20 | 0 | ||||||||||
WaMu Mortgage Pass-Through Certificates Trust |
| |||||||||||
3.372% due 12/25/2036 ^~(h) |
160 | 141 | ||||||||||
3.548% due 10/25/2046 ~ |
711 | 631 | ||||||||||
3.548% due 11/25/2046 •(h) |
458 | 395 | ||||||||||
5.289% due 10/25/2045 •(h) |
2,470 | 2,052 | ||||||||||
5.369% due 06/25/2044 • |
175 | 158 | ||||||||||
Washington Mutual Mortgage Pass-Through Certificates Trust |
| |||||||||||
6.500% due 08/25/2036 ^(h) |
673 | 538 | ||||||||||
Wells Fargo Commercial Mortgage Trust |
| |||||||||||
4.928% due 12/15/2039 ~ |
1,042 | 902 | ||||||||||
Worldwide Plaza Trust |
| |||||||||||
3.596% due 11/10/2036 ~(h) |
2,400 | 1,368 | ||||||||||
|
|
|||||||||||
Total Non‑Agency Mortgage-Backed Securities (Cost $40,059) |
34,361 | |||||||||||
|
|
|||||||||||
ASSET-BACKED SECURITIES 64.8% | | |||||||||||
AIM Aviation Finance Ltd. |
| |||||||||||
6.213% due 02/15/2040 þ(h) |
1,127 | 770 | ||||||||||
Asset-Backed Securities Corp. Home Equity Loan Trust |
| |||||||||||
5.484% due 02/25/2035 ~(h) |
1,438 | 1,415 | ||||||||||
7.604% due 06/21/2029 ~ |
58 | 55 | ||||||||||
Bear Stearns Asset-Backed Securities Trust |
| |||||||||||
3.644% due 07/25/2036 ~ |
63 | 62 | ||||||||||
4.959% due 04/25/2036 •(h) |
1,982 | 2,719 | ||||||||||
Bombardier Capital Mortgage Securitization Corp. |
| |||||||||||
7.830% due 06/15/2030 ~ |
1,185 | 178 | ||||||||||
Citigroup Mortgage Loan Trust |
| |||||||||||
4.549% due 12/25/2036 ~(h) |
1,082 | 610 | ||||||||||
4.609% due 12/25/2036 •(h) |
659 | 277 | ||||||||||
5.064% due 11/25/2045 •(h) |
102 | 102 | ||||||||||
5.089% due 11/25/2046 •(h) |
1,100 | 901 | ||||||||||
7.914% due 12/25/2033 •(h) |
1,003 | 1,011 | ||||||||||
Conseco Finance Securitizations Corp. |
| |||||||||||
7.960% due 05/01/2031 |
325 | 105 | ||||||||||
9.163% due 03/01/2033 ~ |
741 | 674 | ||||||||||
Countrywide Asset-Backed Certificates Trust |
| |||||||||||
4.539% due 04/25/2047 ^~(h) |
59 | 59 | ||||||||||
4.589% due 06/25/2037 ^~(h) |
502 | 488 | ||||||||||
4.649% due 12/25/2036 ^•(h) |
759 | 696 | ||||||||||
4.659% due 09/25/2046 ~(h) |
4,130 | 3,359 | ||||||||||
4.869% due 05/25/2036 •(h) |
7,682 | 6,326 | ||||||||||
6.039% due 06/25/2035 ~(h) |
4,000 | 3,904 | ||||||||||
6.264% due 10/25/2035 ~(h) |
2,209 | 1,733 |
See Accompanying Notes | SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 31 |
Schedule of Investments | PIMCO PCM Fund, Inc. | (Cont.) |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
SHORT-TERM INSTRUMENTS 20.5% | | |||||||||||
REPURCHASE AGREEMENTS (g) 19.9% | | |||||||||||
$ | 16,497 | |||||||||||
|
|
|||||||||||
U.S. TREASURY BILLS 0.6% | | |||||||||||
3.766% due 01/05/2023 - 03/02/2023 (d)(e)(k) |
$ | 498 | 496 | |||||||||
|
|
|||||||||||
Total Short-Term Instruments (Cost $16,993) |
16,993 | |||||||||||
|
|
|||||||||||
Total Investments in Securities (Cost $172,220) |
152,577 | |||||||||||
Total Investments 184.0% (Cost $172,220) |
|
$ | 152,577 | |||||||||
Financial Derivative Instruments (i)(j) (0.3)% (Cost or Premiums, net $2,450) |
(211 | ) | ||||||||||
Other Assets and Liabilities, net (83.7)% | (69,447 | ) | ||||||||||
|
|
|||||||||||
Net Assets 100.0% | |
$ | 82,919 | |||||||||
|
|
* | 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) | Payment in‑kind security. |
(c) | Security did not produce income within the last twelve months. |
(d) | Coupon represents a weighted average yield to maturity. |
(e) | Zero coupon security. |
Issuer Description | Acquisition Date |
Cost | Market Value |
Market Value as Percentage of Net Assets |
||||||||||||
Axis Energy Services ‘A’ |
07/01/2021 | $ | 49 | $ | 117 | 0.14 | % | |||||||||
Neiman Marcus Group Ltd. LLC |
09/25/2020 | 425 | 2,323 | 2.80 | ||||||||||||
Oracle Corp. 4.100% due 03/25/2061 |
08/12/2021 | 110 | 70 | 0.09 | ||||||||||||
Syniverse Holdings, Inc. |
05/12/2022 ‑ 11/30/2022 | 325 | 318 | 0.38 | ||||||||||||
Westmoreland Mining Holdings |
12/08/2014 | 269 | 69 | 0.08 | ||||||||||||
|
|
|
|
|
|
|||||||||||
$ | 1,178 | $ | 2,897 | 3.49 | % | |||||||||||
|
|
|
|
|
|
Counterparty | Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By | Collateral (Received) |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received(1) |
||||||||||||||||||||||
FICC | 1.900 | % | 12/30/2022 | 01/03/2023 | $ | 3,597 | U.S. Treasury Bills 0.000% due 06/29/2023 | $ | (3,669 | ) | $ | 3,597 | $ | 3,598 | ||||||||||||||||
SAL | 4.320 | 12/30/2022 | 01/03/2023 | 12,900 | U.S. Treasury Notes 0.125% due 10/15/2023 | (13,148 | ) | 12,900 | 12,906 | |||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
Total Repurchase Agreements |
|
$ | (16,817 | ) | $ | 16,497 | $ | 16,504 | ||||||||||||||||||||||
|
|
|
|
|
|
32 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
December 31, 2022 | (Unaudited) |
Counterparty | Borrowing Rate(2) |
Settlement Date |
Maturity Date |
Amount Borrowed(2) |
Payable for Reverse Repurchase Agreements |
|||||||||||||||
BNY |
5.450 | % | 10/20/2022 | 04/20/2023 | $ | (4,874 | ) | $ | (4,929 | ) | ||||||||||
BOS |
3.760 | 09/12/2022 | 01/10/2023 | (1,135 | ) | (1,148 | ) | |||||||||||||
4.970 | 11/09/2022 | 01/09/2023 | (219 | ) | (221 | ) | ||||||||||||||
5.150 | 12/19/2022 | 04/18/2023 | (1,435 | ) | (1,438 | ) | ||||||||||||||
5.450 | 12/19/2022 | 04/18/2023 | (1,494 | ) | (1,497 | ) | ||||||||||||||
BPS |
0.000 | 11/15/2022 | 01/27/2023 | (344 | ) | (344 | ) | |||||||||||||
3.900 | 09/02/2022 | 03/02/2023 | (5,320 | ) | (5,391 | ) | ||||||||||||||
3.900 | 09/30/2022 | 03/02/2023 | (223 | ) | (226 | ) | ||||||||||||||
3.935 | 09/01/2022 | 03/01/2023 | (869 | ) | (881 | ) | ||||||||||||||
4.000 | 10/05/2022 | 01/09/2023 | (14 | ) | (14 | ) | ||||||||||||||
4.250 | 10/05/2022 | 01/09/2023 | (451 | ) | (456 | ) | ||||||||||||||
4.600 | 10/19/2022 | 01/19/2023 | (284 | ) | (287 | ) | ||||||||||||||
4.620 | 09/23/2022 | 03/23/2023 | (633 | ) | (642 | ) | ||||||||||||||
4.700 | 10/05/2022 | 01/09/2023 | (638 | ) | (646 | ) | ||||||||||||||
4.840 | 10/17/2022 | 02/17/2023 | (645 | ) | (652 | ) | ||||||||||||||
4.850 | 10/17/2022 | 02/17/2023 | (744 | ) | (752 | ) | ||||||||||||||
4.950 | 10/05/2022 | 01/09/2023 | (582 | ) | (589 | ) | ||||||||||||||
5.450 | 12/08/2022 | 04/06/2023 | (5,719 | ) | (5,739 | ) | ||||||||||||||
5.450 | 12/15/2022 | 04/14/2023 | (2,153 | ) | (2,158 | ) | ||||||||||||||
5.750 | 12/08/2022 | 04/06/2023 | (1,192 | ) | (1,197 | ) | ||||||||||||||
BRC |
4.240 | 09/07/2022 | 01/06/2023 | (1,140 | ) | (1,156 | ) | |||||||||||||
4.930 | 10/14/2022 | 01/17/2023 | (3,746 | ) | (3,788 | ) | ||||||||||||||
5.140 | 11/14/2022 | 01/17/2023 | (609 | ) | (613 | ) | ||||||||||||||
5.230 | 11/01/2022 | 02/03/2023 | (792 | ) | (800 | ) | ||||||||||||||
5.320 | 11/10/2022 | 02/10/2023 | (289 | ) | (291 | ) | ||||||||||||||
5.470 | 11/10/2022 | 02/10/2023 | (1,355 | ) | (1,366 | ) | ||||||||||||||
5.570 | 11/23/2022 | 02/24/2023 | (2,258 | ) | (2,273 | ) | ||||||||||||||
CIB |
4.600 | 10/17/2022 | 01/17/2023 | (25 | ) | (25 | ) | |||||||||||||
JPS |
5.006 | 11/04/2022 | 02/01/2023 | (1,621 | ) | (1,634 | ) | |||||||||||||
NOM |
4.950 | 11/09/2022 | 02/10/2023 | (1,426 | ) | (1,437 | ) | |||||||||||||
RBC |
5.250 | 10/11/2022 | 02/13/2023 | (675 | ) | (681 | ) | |||||||||||||
RCY |
4.170 | 09/16/2022 | 01/17/2023 | (2,041 | ) | (2,067 | ) | |||||||||||||
RTA |
5.480 | 10/12/2022 | 01/12/2023 | (2,494 | ) | (2,518 | ) | |||||||||||||
SOG |
4.266 | 08/24/2022 | 02/27/2023 | (373 | ) | (379 | ) | |||||||||||||
4.500 | 12/16/2022 | TBD | (3) | (431 | ) | (432 | ) | |||||||||||||
4.640 | 10/14/2022 | 02/14/2023 | (79 | ) | (79 | ) | ||||||||||||||
4.790 | 11/02/2022 | 02/02/2023 | (420 | ) | (424 | ) | ||||||||||||||
4.790 | 11/15/2022 | 02/02/2023 | (270 | ) | (271 | ) | ||||||||||||||
4.990 | 11/07/2022 | 03/07/2023 | (988 | ) | (995 | ) | ||||||||||||||
5.430 | 11/07/2022 | 03/07/2023 | (624 | ) | (630 | ) | ||||||||||||||
TDM |
4.470 | 12/16/2022 | TBD | (3) | (541 | ) | (542 | ) | ||||||||||||
4.490 | 12/16/2022 | TBD | (3) | (123 | ) | (124 | ) | |||||||||||||
4.500 | 12/16/2022 | TBD | (3) | (701 | ) | (703 | ) | |||||||||||||
4.510 | 12/16/2022 | TBD | (3) | (258 | ) | (258 | ) | |||||||||||||
UBS |
4.220 | 09/30/2022 | 01/19/2023 | (142 | ) | (143 | ) | |||||||||||||
4.380 | 10/03/2022 | 02/03/2023 | (67 | ) | (68 | ) | ||||||||||||||
4.827 | 10/13/2022 | 01/13/2023 | (3,474 | ) | (3,512 | ) | ||||||||||||||
4.840 | 11/02/2022 | 02/03/2023 | (736 | ) | (742 | ) | ||||||||||||||
4.927 | 10/13/2022 | 01/13/2023 | (5,926 | ) | (5,992 | ) | ||||||||||||||
5.600 | 12/15/2022 | 03/10/2023 | (4,453 | ) | (4,466 | ) | ||||||||||||||
|
|
|||||||||||||||||||
Total Reverse Repurchase Agreements |
|
$ | (67,616 | ) | ||||||||||||||||
|
|
Counterparty | Repurchase Agreement Proceeds to be Received(1) |
Payable for Reverse Repurchase Agreements |
Payable for Sale‑Buyback Transactions |
Total Borrowings and Other Financing Transactions |
Collateral Pledged/(Received) |
Net Exposure(4) | ||||||||||||||||||
Global/Master Repurchase Agreement |
| |||||||||||||||||||||||
BNY |
$ | 0 | $ | (4,929 | ) | $ | 0 | $ | (4,929 | ) | $ | 6,206 | $ | 1,277 | ||||||||||
BOS |
0 | (4,304 | ) | 0 | (4,304 | ) | 5,438 | 1,134 | ||||||||||||||||
BPS |
0 | (19,974 | ) | 0 | (19,974 | ) | 25,396 | 5,422 | ||||||||||||||||
BRC |
0 | (10,287 | ) | 0 | (10,287 | ) | 13,185 | 2,898 | ||||||||||||||||
CIB |
0 | (25 | ) | 0 | (25 | ) | 23 | (2 | ) |
See Accompanying Notes | SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 33 |
Schedule of Investments | PIMCO PCM Fund, Inc. | (Cont.) |
Counterparty | Repurchase Agreement Proceeds to be Received(1) |
Payable for Reverse Repurchase Agreements |
Payable for Sale‑Buyback Transactions |
Total Borrowings and Other Financing Transactions |
Collateral Pledged/(Received) |
Net Exposure(4) | ||||||||||||||||||
FICC |
$ | 3,598 | $ | 0 | $ | 0 | $ | 3,598 | $ | (3,669 | ) | $ | (71 | ) | ||||||||||
JPS |
0 | (1,634 | ) | 0 | (1,634 | ) | 1,914 | 280 | ||||||||||||||||
NOM |
0 | (1,437 | ) | 0 | (1,437 | ) | 1,646 | 209 | ||||||||||||||||
RBC |
0 | (681 | ) | 0 | (681 | ) | 827 | 146 | ||||||||||||||||
RCY |
0 | (2,067 | ) | 0 | (2,067 | ) | 2,393 | 326 | ||||||||||||||||
RTA |
0 | (2,518 | ) | 0 | (2,518 | ) | 2,956 | 438 | ||||||||||||||||
SAL |
12,906 | 0 | 0 | 12,906 | (13,148 | ) | (242 | ) | ||||||||||||||||
SOG |
0 | (3,210 | ) | 0 | (3,210 | ) | 3,564 | 354 | ||||||||||||||||
TDM |
0 | (1,627 | ) | 0 | (1,627 | ) | 1,636 | 9 | ||||||||||||||||
UBS |
0 | (14,923 | ) | 0 | (14,923 | ) | 19,333 | 4,410 | ||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 16,504 | $ | (67,616 | ) | $ | 0 | |||||||||||||||||
|
|
|
|
|
|
Overnight and Continuous |
Up to 30 days | 31‑90 days | Greater Than 90 days | Total | ||||||||||||||||
Reverse Repurchase Agreements |
| |||||||||||||||||||
Corporate Bonds & Notes |
$ | 0 | $ | (2,613 | ) | $ | (12,124 | ) | $ | (2,059 | ) | $ | (16,796 | ) | ||||||
Convertible Bonds & Notes |
0 | 0 | (435 | ) | 0 | (435 | ) | |||||||||||||
U.S. Government Agencies |
0 | (2,478 | ) | 0 | 0 | (2,478 | ) | |||||||||||||
Non‑Agency Mortgage-Backed Securities |
0 | (7,798 | ) | (8,054 | ) | (4,012 | ) | (19,864 | ) | |||||||||||
Asset-Backed Securities |
0 | (10,631 | ) | (4,466 | ) | (12,946 | ) | (28,043 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total Borrowings |
$ | 0 | $ | (23,520 | ) | $ | (25,079 | ) | $ | (19,017 | ) | $ | (67,616 | ) | ||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Payable for reverse repurchase agreements |
|
$ | (67,616 | ) | ||||||||||||||||
|
|
(h) | Securities with an aggregate market value of $84,234 and cash of $281 have been pledged as collateral under the terms of the above master agreements as of December 31, 2022. |
(1) | Includes accrued interest. |
(2) | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(73,978) at a weighted average interest rate of 3.550%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. |
(3) | Open maturity reverse repurchase agreement. |
(4) | 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. |
Description | Expiration Month |
# of Contracts |
Notional Amount |
Unrealized Appreciation/ (Depreciation) |
Variation Margin | |||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||
3‑Month SOFR Active Contract December Futures |
03/2024 | 5 | $ | (1,193 | ) | $ | 23 | $ | 1 | $ | 0 | |||||||||||||||||
3‑Month SOFR Active Contract December Futures |
03/2025 | 1 | (242 | ) | 3 | 0 | 0 | |||||||||||||||||||||
3‑Month SOFR Active Contract December Futures |
03/2026 | 1 | (242 | ) | 3 | 0 | 0 | |||||||||||||||||||||
3‑Month SOFR Active Contract June Futures |
09/2024 | 2 | (481 | ) | 7 | 0 | 0 | |||||||||||||||||||||
3‑Month SOFR Active Contract June Futures |
09/2025 | 2 | (484 | ) | 5 | 0 | (1 | ) | ||||||||||||||||||||
3‑Month SOFR Active Contract March Futures |
06/2024 | 4 | (959 | ) | 16 | 0 | 0 | |||||||||||||||||||||
3‑Month SOFR Active Contract March Futures |
06/2025 | 2 | (484 | ) | 5 | 0 | 0 | |||||||||||||||||||||
3‑Month SOFR Active Contract March Futures |
06/2026 | 1 | (242 | ) | 2 | 0 | 0 | |||||||||||||||||||||
3‑Month SOFR Active Contract September Futures |
12/2024 | 2 | (483 | ) | 6 | 0 | 0 | |||||||||||||||||||||
3‑Month SOFR Active Contract September Futures |
12/2025 | 1 | (242 | ) | 3 | 0 | 0 | |||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||
Total Futures Contracts |
|
$ | 73 | $ | 1 | $ | (1 | ) | ||||||||||||||||||||
|
|
|
|
|
|
34 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
December 31, 2022 | (Unaudited) |
Reference Entity | Fixed Receive Rate |
Payment Frequency |
Maturity Date |
Implied Credit Spread at December 31, 2022(2) |
Notional Amount(3) |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Market Value(4) |
Variation Margin | |||||||||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||||||||||
Boeing Co. |
1.000 | % | Quarterly | 06/20/2027 | 1.357 | % | $ | 100 | $ | (5 | ) | $ | 4 | $ | (1 | ) | $ | 0 | $ | 0 | ||||||||||||||||||||||
Ford Motor Credit Co. LLC |
5.000 | Quarterly | 06/20/2027 | 3.169 | 800 | 84 | (28 | ) | 56 | 0 | 0 | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||
$ | 79 | $ | (24 | ) | $ | 55 | $ | 0 | $ | 0 | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
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 |
1‑Day USD‑Federal Funds Rate Compounded‑OIS |
0.100 | % | Annual | 01/13/2023 | $ | 2,500 | $ | 0 | $ | 45 | $ | 45 | $ | 1 | $ | 0 | |||||||||||||||||||||
Receive(5) |
1‑Day USD‑SOFR Compounded‑OIS |
2.450 | Annual | 12/20/2024 | 3,800 | 0 | 57 | 57 | 2 | 0 | ||||||||||||||||||||||||||||
Receive(5) |
1‑Day USD‑SOFR Compounded‑OIS |
2.350 | Annual | 01/17/2025 | 1,900 | 0 | 28 | 28 | 1 | 0 | ||||||||||||||||||||||||||||
Receive(5) |
1‑Day USD‑SOFR Compounded‑OIS |
2.300 | Annual | 01/17/2026 | 300 | 0 | 7 | 7 | 0 | 0 | ||||||||||||||||||||||||||||
Receive |
1‑Day USD‑SOFR Compounded‑OIS |
1.750 | Annual | 06/15/2052 | 5,700 | 994 | 600 | 1,594 | 25 | 0 | ||||||||||||||||||||||||||||
Receive |
1‑Day USD‑SOFR Compounded‑OIS |
1.750 | Annual | 12/21/2052 | 2,800 | 674 | 98 | 772 | 14 | 0 | ||||||||||||||||||||||||||||
Pay |
3‑Month USD‑LIBOR |
2.750 | Semi‑Annual | 12/19/2023 | 15,300 | (131 | ) | (223 | ) | (354 | ) | 0 | (10 | ) | ||||||||||||||||||||||||
Pay |
3‑Month USD‑LIBOR |
1.750 | Semi-Annual | 12/21/2023 | 32,300 | 606 | (1,668 | ) | (1,062 | ) | 0 | (23 | ) | |||||||||||||||||||||||||
Receive |
3‑Month USD‑LIBOR |
0.250 | Semi-Annual | 06/16/2024 | 500 | 1 | 33 | 34 | 1 | 0 | ||||||||||||||||||||||||||||
Pay |
3‑Month USD‑LIBOR |
1.250 | Semi-Annual | 12/15/2026 | 200 | (1 | ) | (20 | ) | (21 | ) | 0 | 0 | |||||||||||||||||||||||||
Pay |
3‑Month USD‑LIBOR |
1.750 | Semi-Annual | 12/21/2026 | 3,200 | 77 | (359 | ) | (282 | ) | 0 | (5 | ) | |||||||||||||||||||||||||
Receive |
3‑Month USD‑LIBOR |
1.350 | Semi-Annual | 01/20/2027 | 1,200 | 0 | 126 | 126 | 2 | 0 | ||||||||||||||||||||||||||||
Pay |
3‑Month USD‑LIBOR |
1.550 | Semi-Annual | 01/20/2027 | 5,500 | (19 | ) | (514 | ) | (533 | ) | 0 | (7 | ) | ||||||||||||||||||||||||
Receive |
3‑Month USD‑LIBOR |
1.360 | Semi-Annual | 02/15/2027 | 850 | 0 | 89 | 89 | 1 | 0 | ||||||||||||||||||||||||||||
Pay |
3‑Month USD‑LIBOR |
1.600 | Semi-Annual | 02/15/2027 | 3,400 | (12 | ) | (311 | ) | (323 | ) | 0 | (5 | ) | ||||||||||||||||||||||||
Receive |
3‑Month USD‑LIBOR |
1.450 | Semi-Annual | 02/17/2027 | 1,400 | 0 | 142 | 142 | 2 | 0 | ||||||||||||||||||||||||||||
Pay |
3‑Month USD‑LIBOR |
1.700 | Semi-Annual | 02/17/2027 | 5,500 | (21 | ) | (478 | ) | (499 | ) | 0 | (8 | ) | ||||||||||||||||||||||||
Pay |
3‑Month USD‑LIBOR |
0.500 | Semi-Annual | 06/16/2028 | 140 | (7 | ) | (17 | ) | (24 | ) | 0 | 0 | |||||||||||||||||||||||||
Receive |
3‑Month USD‑LIBOR |
1.500 | Semi-Annual | 12/15/2028 | 400 | 2 | 51 | 53 | 1 | 0 | ||||||||||||||||||||||||||||
Receive |
3‑Month USD‑LIBOR |
1.500 | Semi-Annual | 01/12/2029 | 908 | 0 | 120 | 120 | 2 | 0 | ||||||||||||||||||||||||||||
Pay |
3‑Month USD‑LIBOR |
1.700 | Semi-Annual | 01/12/2029 | 3,300 | (13 | ) | (385 | ) | (398 | ) | 0 | (6 | ) | ||||||||||||||||||||||||
Pay |
3‑Month USD‑LIBOR |
3.000 | Semi-Annual | 06/19/2029 | 7,800 | 630 | (1,049 | ) | (419 | ) | 0 | (17 | ) | |||||||||||||||||||||||||
Pay |
3‑Month USD‑LIBOR |
1.250 | Semi-Annual | 06/17/2030 | 4,150 | 186 | (898 | ) | (712 | ) | 0 | (10 | ) | |||||||||||||||||||||||||
Receive |
3‑Month USD‑LIBOR |
1.000 | Semi-Annual | 12/16/2030 | 627 | (15 | ) | 139 | 124 | 1 | 0 | |||||||||||||||||||||||||||
Receive |
3‑Month USD‑LIBOR |
1.370 | Semi‑Annual | 07/19/2031 | 100 | 0 | 18 | 18 | 0 | 0 | ||||||||||||||||||||||||||||
Receive |
3‑Month USD‑LIBOR |
1.360 | Semi-Annual | 07/20/2031 | 100 | 0 | 18 | 18 | 0 | 0 | ||||||||||||||||||||||||||||
Receive |
3‑Month USD‑LIBOR |
3.000 | Semi-Annual | 12/19/2038 | 5,200 | 18 | 495 | 513 | 20 | 0 | ||||||||||||||||||||||||||||
Receive |
3‑Month USD‑LIBOR |
2.000 | Semi-Annual | 01/15/2050 | 100 | (1 | ) | 28 | 27 | 1 | 0 | |||||||||||||||||||||||||||
Receive |
3‑Month USD‑LIBOR |
1.625 | Semi-Annual | 01/16/2050 | 400 | 0 | 136 | 136 | 2 | 0 | ||||||||||||||||||||||||||||
Receive |
3‑Month USD‑LIBOR |
1.750 | Semi-Annual | 01/22/2050 | 700 | (4 | ) | 227 | 223 | 3 | 0 | |||||||||||||||||||||||||||
Receive |
3‑Month USD‑LIBOR |
1.625 | Semi-Annual | 02/03/2050 | 400 | (2 | ) | 138 | 136 | 2 | 0 | |||||||||||||||||||||||||||
Receive |
3‑Month USD‑LIBOR |
1.450 | Semi-Annual | 04/07/2051 | 1,300 | 0 | 494 | 494 | 7 | 0 | ||||||||||||||||||||||||||||
|
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|
|
|
|
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|
|
|
|||||||||||||||||||||||||||||
$ | 2,962 | $ | (2,833 | ) | $ | 129 | $ | 88 | $ | (91 | ) | |||||||||||||||||||||||||||
|
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|
|
|
|
|||||||||||||||||||||||||||||
Total Swap Agreements |
$ | 3,041 | $ | (2,857 | ) | $ | 184 | $ | 88 | $ | (91 | ) | ||||||||||||||||||||||||||
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|
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 | $ | 1 | $ | 88 | $ | 89 | $ | 0 | $ | (1) | $ | (91) | $ | (92) | ||||||||||||||||||||
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(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. |
See Accompanying Notes | SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 35 |
Schedule of Investments | PIMCO PCM Fund, Inc. | (Cont.) |
(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. |
Counterparty | Index/Tranches | Fixed Receive Rate |
Payment Frequency |
Maturity Date |
Notional Amount(2) |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Swap Agreements, at Value(3) |
||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||
GST | ABX.HE.AA.6‑1 Index |
0.320 | % | Monthly | 07/25/2045 | $ | 1,828 | $ | (364 | ) | $ | 221 | $ | 0 | $ | (143 | ) | |||||||||||||||||
ABX.HE.PENAAA.7‑1 Index |
0.090 | Monthly | 08/25/2037 | 574 | (227 | ) | 162 | 0 | (65 | ) | ||||||||||||||||||||||||
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|||||||||||||||||||||||||||
Total Swap Agreements |
$ | (591 | ) | $ | 383 | $ | 0 | $ | (208 | ) | ||||||||||||||||||||||||
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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(4) |
|||||||||||||||||||||||||||||||||||||
GST |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | (208 | ) | $ | (208 | ) | $ | (208 | ) | $ | 248 | $ | 40 | |||||||||||||||||||||||
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|||||||||||||||||||||||||||||||||
Total Over the Counter |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | (208 | ) | $ | (208 | ) | ||||||||||||||||||||||||||||||
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(k) | Securities with an aggregate market value of $248 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 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) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(3) | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(4) | 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. |
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 |
| |||||||||||||||||||||||
Futures |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 1 | $ | 1 | ||||||||||||
Swap Agreements |
0 | 0 | 0 | 0 | 88 | 88 | ||||||||||||||||||
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|||||||||||||
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 89 | $ | 89 | |||||||||||||
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|
36 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
December 31, 2022 | (Unaudited) |
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Exchange Contracts |
Interest Rate Contracts |
Total | |||||||||||||||||||
Financial Derivative Instruments - Liabilities |
| |||||||||||||||||||||||
Exchange-traded or centrally cleared |
| |||||||||||||||||||||||
Futures |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 1 | $ | 1 | ||||||||||||
Swap Agreements |
0 | 0 | 0 | 0 | 91 | 91 | ||||||||||||||||||
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|
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|
|
|
|||||||||||||
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 92 | $ | 92 | |||||||||||||
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|
|||||||||||||
Over the counter |
| |||||||||||||||||||||||
Swap Agreements |
$ | 0 | $ | 208 | $ | 0 | $ | 0 | $ | 0 | $ | 208 | ||||||||||||
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|
|
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|
|
|
|
|||||||||||||
$ | 0 | $ | 208 | $ | 0 | $ | 0 | $ | 92 | $ | 300 | |||||||||||||
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Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2022 |
||||||||||||
Investments in Securities, at Value |
| |||||||||||||||
Loan Participations and Assignments |
$ | 0 | $ | 11,631 | $ | 5,099 | $ | 16,730 | ||||||||
Corporate Bonds & Notes |
| |||||||||||||||
Banking & Finance |
0 | 5,711 | 0 | 5,711 | ||||||||||||
Industrials |
0 | 11,786 | 0 | 11,786 | ||||||||||||
Utilities |
0 | 2,596 | 0 | 2,596 | ||||||||||||
Convertible Bonds & Notes |
| |||||||||||||||
Industrials |
0 | 450 | 0 | 450 | ||||||||||||
Municipal Bonds & Notes |
| |||||||||||||||
Puerto Rico |
0 | 687 | 0 | 687 | ||||||||||||
U.S. Government Agencies |
0 | 3,830 | 0 | 3,830 | ||||||||||||
Non‑Agency Mortgage-Backed Securities |
0 | 34,243 | 118 | 34,361 | ||||||||||||
Asset-Backed Securities |
0 | 49,638 | 4,075 | 53,713 | ||||||||||||
Common Stocks |
| |||||||||||||||
Communication Services |
272 | 0 | 110 | 382 | ||||||||||||
Energy |
58 | 0 | 117 | 175 | ||||||||||||
Industrials |
2 | 0 | 2,710 | 2,712 | ||||||||||||
Utilities |
0 | 0 | 278 | 278 | ||||||||||||
Warrants |
| |||||||||||||||
Information Technology |
0 | 0 | 881 | 881 | ||||||||||||
Preferred Securities |
| |||||||||||||||
Industrials |
0 | 0 | 494 | 494 |
See Accompanying Notes | SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 37 |
Schedule of Investments | PIMCO PCM Fund, Inc. | (Cont.) | December 31, 2022 | (Unaudited) |
Category and Subcategory | Beginning Balance at 06/30/2022 |
Net Purchases |
Net Sales/ Settlements |
Accrued Discounts/ (Premiums) |
Realized Gain/(Loss) |
Net Change in Unrealized Appreciation/ (Depreciation)(1) |
Transfers into Level 3 |
Transfers out of Level 3 |
Ending Balance at 12/31/2022 |
Net Change in Unrealized Appreciation/ (Depreciation) on Investments Held at 12/31/2022(1) |
||||||||||||||||||||||||||||||
Investments in Securities, at Value |
| |||||||||||||||||||||||||||||||||||||||
Loan Participations and Assignments |
$ | 8,086 | $ | 219 | $ | (221 | ) | $ | (66 | ) | $ | (9 | ) | $ | (423 | ) | $ | 516 | $ | (3,003 | ) | $ | 5,099 | $ | (24 | ) | ||||||||||||||
Corporate Bonds & Notes |
| |||||||||||||||||||||||||||||||||||||||
Industrials |
3,908 | 62 | 0 | 0 | 0 | (114 | ) | 0 | (3,856 | ) | 0 | 0 | ||||||||||||||||||||||||||||
Non‑Agency Mortgage-Backed Securities |
0 | 0 | 0 | 0 | 0 | 0 | 118 | 0 | 118 | 0 | ||||||||||||||||||||||||||||||
Asset-Backed Securities |
6,695 | 0 | 0 | 11 | 0 | (2,631 | ) | 0 | 0 | 4,075 | (2,631 | ) | ||||||||||||||||||||||||||||
Common Stocks |
| |||||||||||||||||||||||||||||||||||||||
Communication Services |
142 | 0 | 0 | 0 | 0 | (32 | ) | 0 | 0 | 110 | (32 | ) | ||||||||||||||||||||||||||||
Energy |
49 | 0 | 0 | 0 | 0 | 68 | 0 | 0 | 117 | 68 | ||||||||||||||||||||||||||||||
Industrials |
2,588 | 21 | 0 | 0 | 0 | 103 | 0 | (2 | ) | 2,710 | 103 | |||||||||||||||||||||||||||||
Materials |
68 | 0 | (75 | ) | 0 | 75 | (68 | ) | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||||
Utilities |
248 | 0 | 0 | 0 | 0 | 30 | 0 | 0 | 278 | 30 | ||||||||||||||||||||||||||||||
Warrants |
| |||||||||||||||||||||||||||||||||||||||
Industrials |
71 | 0 | (14 | ) | 0 | 14 | (71 | ) | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||||
Information Technology |
928 | 0 | 0 | 0 | 0 | (47 | ) | 0 | 0 | 881 | (47 | ) | ||||||||||||||||||||||||||||
Preferred Securities |
| |||||||||||||||||||||||||||||||||||||||
Industrials |
4,854 | 0 | (5,265 | ) | 0 | 2,927 | (2,022 | ) | 0 | 0 | 494 | (63 | ) | |||||||||||||||||||||||||||
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|||||||||||||||||||||
Totals |
$ | 27,637 | $ | 302 | $ | (5,575 | ) | $ | (55 | ) | $ | 3,007 | $ | (5,207 | ) | $ | 634 | $ | (6,861 | ) | $ | 13,882 | $ | (2,596 | ) | |||||||||||||||
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|
|
Category and Subcategory | Ending Balance at 12/31/2022 |
Valuation Technique |
Unobservable Inputs |
(% Unless Noted Otherwise) | ||||||||||||||
Input Value(s) | Weighted Average |
|||||||||||||||||
Investments in Securities, at Value |
| |||||||||||||||||
Loan Participations and Assignments |
$ | 1,344 | Discounted Cash Flow | Discount Spread | 6.980 | — | ||||||||||||
3,239 | Discounted Cash Flow | Discount Rate | 6.180-9.500 | 6.919 | ||||||||||||||
516 | Third Party Vendor | Broker Quote | 47.500 | — | ||||||||||||||
Non‑Agency Mortgage-Backed Securities |
118 | Discounted Cash Flow | Discount Rate | 11.000 | — | |||||||||||||
Asset‑Backed Securities |
4,075 | Discounted Cash Flow | Discount Rate | 10.000‑22.000 | 17.686 | |||||||||||||
Common Stocks |
| |||||||||||||||||
Communication Services |
110 | Reference Instrument | Stock Price W/ Liquidity Discount |
10.000 | — | |||||||||||||
Energy |
117 | Market Comparable Valuation | EBITDA Multiple | X | 4.600 | — | ||||||||||||
Industrials |
2,323 | Market Comparable Valuation / Discounted Cash Flow |
Revenue | EBITDA Multiple / Discount Rate |
X/% | 0.620 | 6.160/10.000 | — | ||||||||||||
318 | Discounted Cash Flow | Discount Rate | 11.590 | — | ||||||||||||||
69 | Indicative Market Quotation | Price | $ | 7.500 | — | |||||||||||||
Utilities |
278 | Indicative Market Quotation | Price | $ | 28.000 | — | ||||||||||||
Warrants |
| |||||||||||||||||
Information Technology |
881 | Market Comparable Valuation | EBITDA Multiple | X | 4.500 | — | ||||||||||||
Preferred Securities |
| |||||||||||||||||
Industrials |
494 | Market Comparable Valuation / Discounted Cash Flow |
TBV Multiple/Discount Rate | X/% | 0.370/24.820 | — | ||||||||||||
|
|
|||||||||||||||||
Total |
$ | 13,882 | ||||||||||||||||
|
|
(1) | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at December 31, 2022 may be due to an investment no longer held or categorized as Level 3 at period end. |
38 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
Schedule of Investments | PIMCO Global StocksPLUS® & Income Fund | December 31, 2022 | (Unaudited) |
See Accompanying Notes | SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 39 |
Schedule of Investments | PIMCO Global StocksPLUS® & Income Fund | (Cont.) |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
2.061% due 04/25/2037 •(a)(m) |
$ | 382 | $ | 32 | ||||||||
2.211% due 11/25/2035 •(a) |
32 | 1 | ||||||||||
2.411% due 11/25/2036 •(a)(m) |
700 | 70 | ||||||||||
2.811% due 02/25/2037 •(a) |
128 | 14 | ||||||||||
3.000% due 04/25/2050 (a)(m) |
12,091 | 1,829 | ||||||||||
7.000% due 12/25/2023 |
6 | 6 | ||||||||||
7.721% due 06/25/2026 ~ |
1 | 1 | ||||||||||
8.321% due 12/25/2042 ~ |
32 | 33 | ||||||||||
10.139% due 07/25/2029 •(m) |
220 | 240 | ||||||||||
Freddie Mac |
| |||||||||||
0.700% due 11/25/2055 ~(a) |
5,498 | 352 | ||||||||||
1.761% due 05/25/2050 ~(a)(m) |
1,152 | 132 | ||||||||||
2.122% due 03/15/2037 ~(a)(m) |
312 | 25 | ||||||||||
2.252% due 09/15/2036 •(a) |
171 | 13 | ||||||||||
2.262% due 09/15/2036 ~(a)(m) |
352 | 31 | ||||||||||
9.539% due 10/25/2029 •(m) |
250 | 269 | ||||||||||
Ginnie Mae |
| |||||||||||
1.747% due 12/20/2048 ~(a) |
930 | 67 | ||||||||||
Ginnie Mae, TBA |
| |||||||||||
3.500% due 02/01/2053 |
3,300 | 3,035 | ||||||||||
4.500% due 01/01/2053 |
1,600 | 1,552 | ||||||||||
Uniform Mortgage-Backed Security |
| |||||||||||
3.500% due 03/01/2048 - 04/01/2048 |
388 | 360 | ||||||||||
Uniform Mortgage-Backed Security, TBA |
| |||||||||||
2.500% due 12/01/2051 |
150 | 127 | ||||||||||
3.000% due 02/01/2053 |
1,650 | 1,450 | ||||||||||
3.500% due 02/01/2049 - 02/01/2053 |
24,300 | 22,094 | ||||||||||
4.000% due 02/01/2053 |
1,650 | 1,548 | ||||||||||
4.500% due 02/01/2053 |
1,800 | 1,733 | ||||||||||
6.000% due 01/01/2053 - 02/01/2053 |
3,700 | 3,753 | ||||||||||
|
|
|||||||||||
Total U.S. Government Agencies (Cost $39,655) |
38,971 | |||||||||||
|
|
|||||||||||
NON‑AGENCY MORTGAGE-BACKED SECURITIES 19.3% | | |||||||||||
Banc of America Funding Trust |
| |||||||||||
2.470% due 03/20/2036 ~ |
124 | 112 | ||||||||||
2.995% due 12/20/2034 ~ |
192 | 136 | ||||||||||
5.846% due 01/25/2037 ^~ |
98 | 85 | ||||||||||
Banc of America Mortgage Trust |
| |||||||||||
6.000% due 07/25/2046 ^ |
1 | 1 | ||||||||||
Bear Stearns Adjustable Rate Mortgage Trust |
| |||||||||||
3.474% due 07/25/2036 ^~ |
82 | 72 | ||||||||||
Bear Stearns ALT‑A Trust |
| |||||||||||
3.137% due 04/25/2035 ~ |
91 | 75 | ||||||||||
3.729% due 09/25/2035 ^~ |
67 | 42 | ||||||||||
3.763% due 11/25/2035 ^~ |
70 | 56 | ||||||||||
Bear Stearns Asset-Backed Securities Trust |
| |||||||||||
9.073% due 03/25/2036 ^•(m) |
1,632 | 956 | ||||||||||
Bear Stearns Commercial Mortgage Securities Trust |
| |||||||||||
5.109% due 02/11/2041 ~ |
143 | 142 | ||||||||||
Bear Stearns Structured Products, Inc. Trust |
| |||||||||||
3.523% due 01/26/2036 ^~ |
322 | 259 | ||||||||||
5.219% due 12/26/2046 ^~ |
169 | 122 | ||||||||||
CBA Commercial Small Balance Commercial Mortgage |
| |||||||||||
6.040% due 01/25/2039 ^þ |
121 | 111 | ||||||||||
CD Mortgage Trust |
| |||||||||||
5.688% due 10/15/2048 |
67 | 59 | ||||||||||
Chevy Chase Funding LLC Mortgage-Backed Certificates |
| |||||||||||
4.689% due 08/25/2035 • |
33 | 30 | ||||||||||
5.069% due 10/25/2034 ~ |
2 | 2 | ||||||||||
Citigroup Commercial Mortgage Trust |
| |||||||||||
5.447% due 12/10/2049 ~(m) |
466 | 230 | ||||||||||
Citigroup Mortgage Loan Trust |
| |||||||||||
2.524% due 03/25/2037 ^~ |
54 | 51 | ||||||||||
3.762% due 11/25/2035 ~(m) |
1,073 | 619 | ||||||||||
Commercial Mortgage Loan Trust |
| |||||||||||
6.480% due 12/10/2049 ~ |
344 | 55 | ||||||||||
Connecticut Avenue Securities Trust |
| |||||||||||
7.028% due 10/25/2041 ~(m) |
900 | 848 |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
Countrywide Alternative Loan Trust |
| |||||||||||
2.761% due 07/25/2036 •(a) |
$ | 765 | $ | 120 | ||||||||
3.173% due 10/25/2035 ^~ |
76 | 62 | ||||||||||
3.435% due 02/25/2037 ^~ |
70 | 60 | ||||||||||
4.739% due 05/25/2036 ^•(m) |
1,186 | 370 | ||||||||||
4.869% due 12/25/2046 ^• |
52 | 32 | ||||||||||
5.049% due 10/25/2035 • |
429 | 302 | ||||||||||
5.500% due 08/25/2034 |
183 | 173 | ||||||||||
5.500% due 02/25/2036 ^ |
12 | 8 | ||||||||||
6.250% due 09/25/2034 |
29 | 27 | ||||||||||
6.500% due 08/25/2036 ^(m) |
990 | 355 | ||||||||||
7.731% due 07/25/2035 ~(m) |
419 | 394 | ||||||||||
Countrywide Home Loan Mortgage Pass-Through Trust |
| |||||||||||
2.964% due 10/20/2035 ~ |
9 | 8 | ||||||||||
3.515% due 03/25/2037 ^~ |
221 | 170 | ||||||||||
3.574% due 10/20/2035 ^~ |
69 | 62 | ||||||||||
3.581% due 10/20/2035 ^~ |
33 | 31 | ||||||||||
3.680% due 08/25/2034 ~ |
11 | 11 | ||||||||||
4.869% due 03/25/2036 ~ |
101 | 87 | ||||||||||
5.169% due 02/25/2035 ~ |
51 | 42 | ||||||||||
5.500% due 08/25/2035 ^ |
12 | 7 | ||||||||||
Credit Suisse Mortgage Capital Mortgage-Backed Trust |
| |||||||||||
6.000% due 11/25/2036 |
104 | 85 | ||||||||||
Extended Stay America Trust |
| |||||||||||
8.018% due 07/15/2038 ~(m) |
976 | 919 | ||||||||||
First Horizon Alternative Mortgage Securities Trust |
| |||||||||||
3.991% due 11/25/2036 ^~ |
158 | 114 | ||||||||||
First Horizon Mortgage Pass-Through Trust |
| |||||||||||
3.803% due 01/25/2037 ^~ |
193 | 122 | ||||||||||
Freddie Mac |
| |||||||||||
11.428% due 10/25/2041 ~(m) |
1,200 | 1,026 | ||||||||||
GSR Mortgage Loan Trust |
| |||||||||||
3.344% due 04/25/2035 ~ |
78 | 72 | ||||||||||
HarborView Mortgage Loan Trust |
| |||||||||||
3.205% due 11/19/2034 ~ |
52 | 45 | ||||||||||
3.321% due 08/19/2036 ^~ |
2 | 2 | ||||||||||
3.720% due 02/25/2036 ^~ |
15 | 5 | ||||||||||
4.939% due 04/19/2034 • |
4 | 4 | ||||||||||
HSI Asset Loan Obligation Trust |
| |||||||||||
3.812% due 01/25/2037 ^~ |
114 | 80 | ||||||||||
IndyMac INDX Mortgage Loan Trust |
| |||||||||||
2.887% due 06/25/2037 ^~ |
285 | 255 | ||||||||||
4.929% due 06/25/2037 ^~ |
472 | 515 | ||||||||||
4.949% due 03/25/2035 ~ |
4 | 4 | ||||||||||
JP Morgan Mortgage Trust |
| |||||||||||
3.461% due 04/25/2037 ^~ |
221 | 168 | ||||||||||
5.500% due 01/25/2036 ^ |
25 | 13 | ||||||||||
MASTR Adjustable Rate Mortgages Trust |
| |||||||||||
3.365% due 10/25/2034 ~ |
59 | 53 | ||||||||||
3.601% due 11/25/2035 ^~ |
332 | 213 | ||||||||||
Merrill Lynch Alternative Note Asset Trust |
| |||||||||||
4.529% due 01/25/2037 ~ |
633 | 200 | ||||||||||
Opteum Mortgage Acceptance Corp. Asset-Backed Pass-Through Certificates |
| |||||||||||
4.929% due 07/25/2036 • |
175 | 71 | ||||||||||
RBSSP Resecuritization Trust |
| |||||||||||
5.000% due 09/26/2036 ~(m) |
923 | 710 | ||||||||||
Residential Accredit Loans, Inc. Trust |
| |||||||||||
4.131% due 12/26/2034 ^~ |
71 | 61 | ||||||||||
4.642% due 01/25/2036 ^~ |
348 | 272 | ||||||||||
6.000% due 09/25/2035 ^ |
261 | 96 | ||||||||||
6.000% due 08/25/2036 ^ |
110 | 86 | ||||||||||
Structured Adjustable Rate Mortgage Loan Trust |
| |||||||||||
3.330% due 04/25/2036 ^~ |
161 | 100 | ||||||||||
3.448% due 05/25/2035 ^~(m) |
746 | 569 | ||||||||||
3.637% due 09/25/2035 ~ |
37 | 27 | ||||||||||
3.637% due 09/25/2036 ^~ |
132 | 89 | ||||||||||
3.694% due 01/25/2036 ^~ |
199 | 125 | ||||||||||
Structured Asset Mortgage Investments Trust |
| |||||||||||
4.849% due 02/25/2036 •(m) |
161 | 133 | ||||||||||
4.949% due 02/25/2036 ^• |
108 | 84 | ||||||||||
SunTrust Adjustable Rate Mortgage Loan Trust |
| |||||||||||
3.504% due 01/25/2037 ^~ |
34 | 26 | ||||||||||
Tharaldson Hotel Portfolio Trust |
| |||||||||||
7.698% due 11/11/2034 ~(m) |
1,205 | 1,129 |
40 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
December 31, 2022 | (Unaudited) |
* | 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) | Payment in‑kind security. |
(c) | Security is not accruing income as of the date of this report. |
(d) | Security did not produce income within the last twelve months. |
(e) | Coupon represents a weighted average yield to maturity. |
See Accompanying Notes | SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 41 |
Schedule of Investments | PIMCO Global StocksPLUS® & Income Fund | (Cont.) |
(f) | Zero coupon security. |
(g) | Coupon represents a yield to maturity. |
(h) | Principal amount of security is adjusted for inflation. |
(i) | Perpetual maturity; date shown, if applicable, represents next contractual call date. |
(j) | Contingent convertible security. |
Issuer Description | Acquisition Date |
Cost | Market Value |
Market Value as Percentage of Net Assets |
||||||||||||||||||||
ADLER Group SA 12.500% due 07/31/2025 |
12/22/2022 | $ | 106 | $ | 106 | 0.14 | % | |||||||||||||||||
Axis Energy Services ‘A’ |
07/01/2021 | 7 | 18 | 0.02 | ||||||||||||||||||||
Intelsat SA |
06/19/2017 - 02/23/2022 | 2,403 | 823 | 1.05 | ||||||||||||||||||||
Neiman Marcus Group Ltd. LLC |
09/25/2020 | 0 | 91 | 0.12 | ||||||||||||||||||||
Oracle Corp. 4.100% due 03/25/2061 |
08/02/2021 | 114 | 70 | 0.09 | ||||||||||||||||||||
Sierra Hamilton Holder LLC |
07/31/2017 | 26 | 0 | 0.00 | ||||||||||||||||||||
Syniverse Holdings, Inc. |
05/12/2022 ‑ 11/30/2022 | 302 | 296 | 0.38 | ||||||||||||||||||||
Westmoreland Mining Holdings |
12/08/2014 - 08/05/2016 | 370 | 99 | 0.13 | ||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||
$ | 3,328 | $ | 1,503 | 1.93 | % | |||||||||||||||||||
|
|
|
|
|
|
Counterparty | Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By | Collateral (Received) |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received(1) |
||||||||||||||||||||||
BPS | 4.310 | % | 12/30/2022 | 01/03/2023 | $ | 22,300 | U.S. Treasury Inflation Protected Securities 0.250% due 02/15/2050 | $ | (22,638 | ) | $ | 22,300 | $ | 22,311 | ||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
Total Repurchase Agreements |
|
$ | (22,638 | ) | $ | 22,300 | $ | 22,311 | ||||||||||||||||||||||
|
|
|
|
|
|
Counterparty | Borrowing Rate(2) |
Settlement Date |
Maturity Date |
Amount Borrowed(2) |
Payable for Reverse Repurchase Agreements |
|||||||||||||||||
BPS |
3.640 | % | 08/12/2022 | 02/13/2023 | $ | (2,069 | ) | $ | (2,099 | ) | ||||||||||||
3.810 | 08/31/2022 | 03/01/2023 | (209 | ) | (212 | ) | ||||||||||||||||
3.935 | 09/01/2022 | 03/01/2023 | (433 | ) | (439 | ) | ||||||||||||||||
3.935 | 10/07/2022 | 03/01/2023 | (118 | ) | (119 | ) | ||||||||||||||||
4.250 | 10/05/2022 | 01/09/2023 | (130 | ) | (131 | ) | ||||||||||||||||
4.300 | 10/05/2022 | 01/09/2023 | (74 | ) | (75 | ) | ||||||||||||||||
4.400 | 10/28/2022 | 01/31/2023 | (237 | ) | (238 | ) | ||||||||||||||||
4.620 | 09/23/2022 | 03/23/2023 | (712 | ) | (721 | ) | ||||||||||||||||
4.700 | 10/05/2022 | 01/09/2023 | (510 | ) | (516 | ) | ||||||||||||||||
4.720 | 10/28/2022 | 01/31/2023 | (740 | ) | (747 | ) | ||||||||||||||||
4.800 | 10/06/2022 | 01/06/2023 | (569 | ) | (575 | ) | ||||||||||||||||
4.800 | 10/11/2022 | 04/11/2023 | (3,306 | ) | (3,343 | ) | ||||||||||||||||
4.850 | 10/17/2022 | 02/17/2023 | (587 | ) | (593 | ) | ||||||||||||||||
4.950 | 10/05/2022 | 01/09/2023 | (184 | ) | (186 | ) | ||||||||||||||||
5.000 | 10/06/2022 | 01/06/2023 | (763 | ) | (773 | ) | ||||||||||||||||
5.450 | 12/08/2022 | 04/06/2023 | (331 | ) | (332 | ) | ||||||||||||||||
BRC |
4.860 | 10/11/2022 | 01/11/2023 | (597 | ) | (604 | ) | |||||||||||||||
4.980 | 10/17/2022 | 01/17/2023 | (217 | ) | (219 | ) | ||||||||||||||||
5.330 | 10/27/2022 | 01/30/2023 | (2,221 | ) | (2,244 | ) | ||||||||||||||||
5.370 | 11/10/2022 | 02/10/2023 | (786 | ) | (792 | ) | ||||||||||||||||
CDC |
3.270 | 11/10/2022 | 01/09/2023 | (135 | ) | (136 | ) | |||||||||||||||
4.450 | 10/31/2022 | 01/30/2023 | (57 | ) | (58 | ) | ||||||||||||||||
4.680 | 11/14/2022 | 02/13/2023 | (550 | ) | (554 | ) | ||||||||||||||||
4.730 | 10/31/2022 | 01/30/2023 | (1,395 | ) | (1,407 | ) | ||||||||||||||||
CIB |
4.320 | 10/11/2022 | 01/11/2023 | (244 | ) | (247 | ) | |||||||||||||||
DBL |
(2.750 | ) | 06/07/2022 | TBD | (3) | EUR | (167 | ) | (175 | ) | ||||||||||||
0.130 | 07/08/2022 | TBD | (3) | (104 | ) | (112 | ) | |||||||||||||||
5.787 | 12/12/2022 | 02/10/2023 | $ | (1,439 | ) | (1,444 | ) | |||||||||||||||
JML |
1.000 | 09/14/2022 | TBD | (3) | EUR | (70 | ) | (74 | ) | |||||||||||||
1.000 | 09/19/2022 | TBD | (3) | (157 | ) | (167 | ) | |||||||||||||||
1.500 | 09/14/2022 | TBD | (3) | (169 | ) | (181 | ) |
42 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
December 31, 2022 | (Unaudited) |
Counterparty | Borrowing Rate(2) |
Settlement Date |
Maturity Date |
Amount Borrowed(2) |
Payable for Reverse Repurchase Agreements |
|||||||||||||||||
1.500 | % | 10/14/2022 | TBD | (3) | EUR | (288 | ) | $ | (308 | ) | ||||||||||||
2.050 | 09/14/2022 | TBD | (3) | (457 | ) | (490 | ) | |||||||||||||||
2.050 | 10/14/2022 | TBD | (3) | (337 | ) | (361 | ) | |||||||||||||||
2.120 | 11/04/2022 | 02/07/2023 | (1,507 | ) | (1,619 | ) | ||||||||||||||||
4.500 | 12/16/2022 | 02/03/2023 | $ | (397 | ) | (398 | ) | |||||||||||||||
4.700 | 12/16/2022 | 02/03/2023 | (482 | ) | (483 | ) | ||||||||||||||||
4.750 | 12/16/2022 | 02/03/2023 | (856 | ) | (858 | ) | ||||||||||||||||
JPS |
5.018 | 11/04/2022 | 02/01/2023 | (852 | ) | (859 | ) | |||||||||||||||
MEI |
4.770 | 10/24/2022 | 01/27/2023 | (659 | ) | (665 | ) | |||||||||||||||
NOM |
4.900 | 11/18/2022 | 01/18/2023 | (331 | ) | (333 | ) | |||||||||||||||
5.000 | 12/16/2022 | TBD | (3) | (345 | ) | (346 | ) | |||||||||||||||
RBC |
5.250 | 10/11/2022 | 02/13/2023 | (750 | ) | (757 | ) | |||||||||||||||
RCY |
4.710 | 10/18/2022 | 02/17/2023 | (1,698 | ) | (1,715 | ) | |||||||||||||||
RDR |
4.430 | 10/26/2022 | 01/30/2023 | (818 | ) | (825 | ) | |||||||||||||||
4.500 | 10/31/2022 | 01/30/2023 | (861 | ) | (868 | ) | ||||||||||||||||
4.600 | 11/04/2022 | 02/03/2023 | (227 | ) | (229 | ) | ||||||||||||||||
4.700 | 10/26/2022 | 01/30/2023 | (130 | ) | (131 | ) | ||||||||||||||||
SOG |
3.980 | 09/12/2022 | 01/12/2023 | (143 | ) | (145 | ) | |||||||||||||||
4.640 | 10/14/2022 | 02/14/2023 | (401 | ) | (405 | ) | ||||||||||||||||
4.710 | 11/04/2022 | 02/06/2023 | (114 | ) | (115 | ) | ||||||||||||||||
4.820 | 10/20/2022 | 02/21/2023 | (509 | ) | (514 | ) | ||||||||||||||||
5.020 | 11/10/2022 | 03/10/2023 | (251 | ) | (252 | ) | ||||||||||||||||
UBS |
3.920 | 08/24/2022 | 02/24/2023 | (1,400 | ) | (1,420 | ) | |||||||||||||||
4.220 | 09/19/2022 | 01/19/2023 | (118 | ) | (120 | ) | ||||||||||||||||
4.380 | 10/03/2022 | 02/03/2023 | (428 | ) | (433 | ) | ||||||||||||||||
4.590 | 10/14/2022 | 01/17/2023 | (717 | ) | (725 | ) | ||||||||||||||||
4.590 | 11/07/2022 | 01/09/2023 | (134 | ) | (135 | ) | ||||||||||||||||
4.790 | 10/25/2022 | 01/30/2023 | (129 | ) | (130 | ) | ||||||||||||||||
4.840 | 11/02/2022 | 02/03/2023 | (1,334 | ) | (1,345 | ) | ||||||||||||||||
|
|
|||||||||||||||||||||
Total Reverse Repurchase Agreements |
|
$ | (36,497 | ) | ||||||||||||||||||
|
|
Description | Coupon | Maturity Date |
Principal Amount |
Proceeds | Payable for Short Sales |
|||||||||||||||
U.S. Government Agencies (1.4)% |
| |||||||||||||||||||
Uniform Mortgage-Backed Security, TBA |
2.000 | % | 01/01/2053 | $ | 800 | $ | (647 | ) | $ | (651 | ) | |||||||||
Uniform Mortgage-Backed Security, TBA |
3.500 | 01/01/2053 | 500 | (462 | ) | (454 | ) | |||||||||||||
|
|
|
|
|||||||||||||||||
Total Short Sales (1.4)% |
$ | (1,109 | ) | $ | (1,105 | ) | ||||||||||||||
|
|
|
|
Counterparty | Repurchase Agreement Proceeds to be Received(1) |
Payable for Reverse Repurchase Agreements |
Payable for Sale‑Buyback Transactions |
Total Borrowings and Other Financing Transactions |
Collateral Pledged/(Received) |
Net Exposure(4) | ||||||||||||||||||
Global/Master Repurchase Agreement |
| |||||||||||||||||||||||
BPS |
$ | 22,311 | $ | (11,099 | ) | $ | 0 | $ | 11,212 | $ | (9,123 | ) | $ | 2,089 | ||||||||||
BRC |
0 | (3,859 | ) | 0 | (3,859 | ) | 4,803 | 944 | ||||||||||||||||
CDC |
0 | (2,155 | ) | 0 | (2,155 | ) | 2,436 | 281 | ||||||||||||||||
CIB |
0 | (247 | ) | 0 | (247 | ) | 280 | 33 | ||||||||||||||||
DBL |
0 | (1,731 | ) | 0 | (1,731 | ) | 2,424 | 693 | ||||||||||||||||
JML |
0 | (4,939 | ) | 0 | (4,939 | ) | 4,847 | (92 | ) | |||||||||||||||
JPS |
0 | (859 | ) | 0 | (859 | ) | 1,129 | 270 | ||||||||||||||||
MEI |
0 | (665 | ) | 0 | (665 | ) | 791 | 126 | ||||||||||||||||
NOM |
0 | (679 | ) | 0 | (679 | ) | 742 | 63 | ||||||||||||||||
RBC |
0 | (757 | ) | 0 | (757 | ) | 919 | 162 | ||||||||||||||||
RCY |
0 | (1,715 | ) | 0 | (1,715 | ) | 1,961 | 246 | ||||||||||||||||
RDR |
0 | (2,053 | ) | 0 | (2,053 | ) | 2,342 | 289 | ||||||||||||||||
SOG |
0 | (1,431 | ) | 0 | (1,431 | ) | 1,728 | 297 | ||||||||||||||||
UBS |
0 | (4,308 | ) | 0 | (4,308 | ) | 5,169 | 861 | ||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 22,311 | $ | (36,497 | ) | $ | 0 | |||||||||||||||||
|
|
|
|
|
|
See Accompanying Notes | SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 43 |
Schedule of Investments | PIMCO Global StocksPLUS® & Income Fund | (Cont.) |
Overnight and Continuous |
Up to 30 days | 31‑90 days | Greater Than 90 days | Total | ||||||||||||||||
Reverse Repurchase Agreements |
| |||||||||||||||||||
Corporate Bonds & Notes |
$ | 0 | $ | (5,883 | ) | $ | (10,372 | ) | $ | (5,037 | ) | $ | (21,292 | ) | ||||||
Convertible Bonds & Notes |
0 | 0 | 0 | (346 | ) | (346 | ) | |||||||||||||
U.S. Government Agencies |
0 | (625 | ) | (1,715 | ) | 0 | (2,340 | ) | ||||||||||||
Non‑Agency Mortgage-Backed Securities |
0 | (4,739 | ) | (2,409 | ) | (332 | ) | (7,480 | ) | |||||||||||
Asset-Backed Securities |
0 | 0 | (1,444 | ) | 0 | (1,444 | ) | |||||||||||||
Sovereign Issues |
0 | 0 | (1,341 | ) | (175 | ) | (1,516 | ) | ||||||||||||
Preferred Securities |
0 | 0 | (2,079 | ) | 0 | (2,079 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total Borrowings |
$ | 0 | $ | (11,247 | ) | $ | (19,360 | ) | $ | (5,890 | ) | $ | (36,497 | ) | ||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Payable for reverse repurchase agreements |
|
$ | (36,497 | ) | ||||||||||||||||
|
|
(m) | Securities with an aggregate market value of $42,599 and cash of $960 have been pledged as collateral under the terms of the above master agreements as of December 31, 2022. |
(1) | Includes accrued interest. |
(2) | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(44,534) at a weighted average interest rate of 2.965%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. |
(3) | Open maturity reverse repurchase agreement. |
(4) | 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. |
Description | Strike Price |
Expiration Date |
# of Contracts |
Notional Amount |
Cost | Market Value |
||||||||||||||||||
Put - CME E‑mini S&P 500 January 2023 Futures |
$ | 3,720.000 | 01/20/2023 | 186 | $ | 9 | $ | 376 | $ | 270 | ||||||||||||||
|
|
|
|
|||||||||||||||||||||
Total Purchased Options |
|
$ | 376 | $ | 270 | |||||||||||||||||||
|
|
|
|
Description | Strike Price |
Expiration Date |
# of Contracts |
Notional Amount |
Premiums (Received) |
Market Value |
||||||||||||||||||
Call - CME E‑mini S&P 500 January 2023 Futures |
$ | 3,920.000 | 01/20/2023 | 186 | $ | 9 | $ | (927 | ) | $ | (446 | ) | ||||||||||||
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|
|
|
|||||||||||||||||||||
Total Written Options |
|
$ | (927 | ) | $ | (446 | ) | |||||||||||||||||
|
|
|
|
Description | Expiration Month |
# of Contracts |
Notional Amount |
Unrealized Appreciation/ (Depreciation) |
Variation Margin | |||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||
E‑Mini S&P 500 Index March Futures |
03/2023 | 204 | $ | 39,382 | $ | (1,397 | ) | $ | 0 | $ | (110 | ) | ||||||||||||
|
|
|
|
|
|
Description | Expiration Month |
# of Contracts |
Notional Amount |
Unrealized Appreciation/ (Depreciation) |
Variation Margin | |||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||
3‑Month SOFR Active Contract December Futures |
03/2024 | 5 | $ | (1,193 | ) | $ | 23 | $ | 1 | $ | 0 | |||||||||||||
3‑Month SOFR Active Contract December Futures |
03/2025 | 1 | (242 | ) | 3 | 0 | 0 | |||||||||||||||||
3‑Month SOFR Active Contract December Futures |
03/2026 | 1 | (242 | ) | 3 | 0 | 0 | |||||||||||||||||
3‑Month SOFR Active Contract June Futures |
09/2024 | 2 | (481 | ) | 7 | 0 | 0 | |||||||||||||||||
3‑Month SOFR Active Contract June Futures |
09/2025 | 2 | (484 | ) | 5 | 0 | (1 | ) | ||||||||||||||||
3‑Month SOFR Active Contract March Futures |
06/2024 | 4 | (959 | ) | 16 | 0 | 0 |
44 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
December 31, 2022 | (Unaudited) |
Description | Expiration Month |
# of Contracts |
Notional Amount |
Unrealized Appreciation/ (Depreciation) |
Variation Margin | |||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||
3‑Month SOFR Active Contract March Futures |
06/2025 | 2 | $ | (484 | ) | $ | 5 | $ | 0 | $ | 0 | |||||||||||||
3‑Month SOFR Active Contract March Futures |
06/2026 | 1 | (242 | ) | 2 | 0 | 0 | |||||||||||||||||
3‑Month SOFR Active Contract September Futures |
12/2024 | 2 | (483 | ) | 6 | 0 | 0 | |||||||||||||||||
3‑Month SOFR Active Contract September Futures |
12/2025 | 1 | (242 | ) | 3 | 0 | 0 | |||||||||||||||||
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|
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|
|||||||||||||||||||
$ | 73 | $ | 1 | $ | (1 | ) | ||||||||||||||||||
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|
|
|
|
|||||||||||||||||||
Total Futures Contracts |
|
$ | (1,324 | ) | $ | 1 | $ | (111 | ) | |||||||||||||||
|
|
|
|
|
|
Reference Entity | Fixed Receive Rate |
Payment Frequency |
Maturity Date |
Implied Credit Spread at December 31, 2022(2) |
Notional Amount(3) |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Market Value(4) |
Variation Margin | |||||||||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||||||||||
Boeing Co. |
1.000 | % | Quarterly | 06/20/2027 | 1.357 | % | $ | 100 | $ | (6 | ) | $ | 5 | $ | (1 | ) | $ | 0 | $ | 0 | ||||||||||||||||||||||
Bombardier, Inc. |
5.000 | Quarterly | 06/20/2027 | 4.245 | 200 | (25 | ) | 31 | 6 | 0 | 0 | |||||||||||||||||||||||||||||||
Ford Motor Credit Co. LLC |
5.000 | Quarterly | 06/20/2027 | 3.169 | 800 | 84 | (28 | ) | 56 | 0 | 0 | |||||||||||||||||||||||||||||||
Rolls-Royce PLC |
1.000 | Quarterly | 12/20/2025 | 2.767 | EUR | 700 | (128 | ) | 92 | (36 | ) | 0 | 0 | |||||||||||||||||||||||||||||
Rolls-Royce PLC |
1.000 | Quarterly | 06/20/2026 | 2.993 | 1,300 | (102 | ) | 16 | (86 | ) | 0 | (1 | ) | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||
$ | (177 | ) | $ | 116 | $ | (61 | ) | $ | 0 | $ | (1 | ) | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
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 |
1‑Day GBP‑SONIO Compounded‑OIS |
0.750 | % | Annual | 09/21/2052 | GBP | 600 | $ | 123 | $ | 237 | $ | 360 | $ | 1 | $ | 0 | |||||||||||||||||||||
Receive |
1‑Day USD‑Federal Funds Rate Compounded‑OIS |
0.100 | Annual | 01/13/2023 | $ | 3,500 | 0 | 64 | 64 | 2 | 0 | |||||||||||||||||||||||||||
Receive(5) |
1‑Day USD‑SOFR Compounded‑OIS |
2.450 | Annual | 12/20/2024 | 3,700 | 0 | 55 | 55 | 2 | 0 | ||||||||||||||||||||||||||||
Receive(5) |
1‑Day USD‑SOFR Compounded‑OIS |
2.350 | Annual | 01/17/2025 | 1,900 | 0 | 28 | 28 | 1 | 0 | ||||||||||||||||||||||||||||
Receive(5) |
1‑Day USD‑SOFR Compounded‑OIS |
2.300 | Annual | 01/17/2026 | 300 | 0 | 7 | 7 | 0 | 0 | ||||||||||||||||||||||||||||
Pay |
1‑Day USD‑SOFR Compounded‑OIS |
1.000 | Annual | 06/15/2027 | 25,500 | (1,032 | ) | (2,125 | ) | (3,157 | ) | 0 | (53 | ) | ||||||||||||||||||||||||
Pay |
1‑Day USD‑SOFR Compounded‑OIS |
1.750 | Annual | 06/15/2029 | 340 | (36 | ) | (3 | ) | (39 | ) | 0 | (1 | ) | ||||||||||||||||||||||||
Pay |
1‑Day USD‑SOFR Compounded‑OIS |
1.750 | Annual | 06/15/2032 | 220 | (9 | ) | (24 | ) | (33 | ) | 0 | (1 | ) | ||||||||||||||||||||||||
Receive |
1‑Day USD‑SOFR Compounded‑OIS |
1.500 | Annual | 06/15/2052 | 5,400 | 468 | 1,300 | 1,768 | 20 | 0 | ||||||||||||||||||||||||||||
Receive |
1‑Day USD‑SOFR Compounded‑OIS |
1.750 | Annual | 06/15/2052 | 6,000 | 713 | 964 | 1,677 | 24 | 0 | ||||||||||||||||||||||||||||
Receive |
1‑Year BRL‑CDI |
6.170 | Maturity | 01/02/2023 | BRL | 21,800 | 209 | (1 | ) | 208 | 0 | 0 | ||||||||||||||||||||||||||
Receive |
1‑Year BRL‑CDI |
12.670 | Maturity | 01/02/2023 | 800 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||||
Receive |
1‑Year BRL‑CDI |
12.690 | Maturity | 01/02/2023 | 500 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||||
Receive |
1‑Year BRL‑CDI |
12.740 | Maturity | 01/02/2023 | 1,300 | 0 | 1 | 1 | 0 | 0 | ||||||||||||||||||||||||||||
Receive |
1‑Year BRL‑CDI |
12.750 | Maturity | 01/02/2023 | 700 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||||
Receive |
1‑Year BRL‑CDI |
12.760 | Maturity | 01/02/2023 | 1,200 | 0 | 1 | 1 | 0 | 0 | ||||||||||||||||||||||||||||
Receive |
1‑Year BRL‑CDI |
12.900 | Maturity | 01/02/2023 | 2,700 | 0 | 1 | 1 | 0 | 0 | ||||||||||||||||||||||||||||
Receive |
1‑Year BRL‑CDI |
12.930 | Maturity | 01/02/2023 | 300 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||||
Receive |
1‑Year BRL‑CDI |
12.939 | Maturity | 01/02/2023 | 1,400 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||||
Receive |
1‑Year BRL‑CDI |
12.946 | Maturity | 01/02/2023 | 3,400 | 0 | 1 | 1 | 0 | 0 | ||||||||||||||||||||||||||||
Receive |
1‑Year BRL‑CDI |
12.960 | Maturity | 01/02/2023 | 2,700 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||||
Receive |
1‑Year BRL‑CDI |
12.970 | Maturity | 01/02/2023 | 4,500 | 0 | 1 | 1 | 0 | 0 | ||||||||||||||||||||||||||||
Pay |
1‑Year BRL‑CDI |
11.140 | Maturity | 01/02/2025 | 300 | 0 | (2 | ) | (2 | ) | 0 | 0 | ||||||||||||||||||||||||||
Pay |
1‑Year BRL‑CDI |
11.160 | Maturity | 01/02/2025 | 200 | 0 | (1 | ) | (1 | ) | 0 | 0 | ||||||||||||||||||||||||||
Pay |
1‑Year BRL‑CDI |
11.350 | Maturity | 01/02/2025 | 200 | 0 | (1 | ) | (1 | ) | 0 | 0 | ||||||||||||||||||||||||||
Pay |
1‑Year BRL‑CDI |
12.000 | Maturity | 01/02/2025 | 600 | 0 | (2 | ) | (2 | ) | 0 | 0 | ||||||||||||||||||||||||||
Pay |
1‑Year BRL‑CDI |
12.080 | Maturity | 01/02/2025 | 1,000 | 0 | (3 | ) | (3 | ) | 0 | 0 | ||||||||||||||||||||||||||
Pay |
1‑Year BRL‑CDI |
12.140 | Maturity | 01/02/2025 | 500 | 0 | (1 | ) | (1 | ) | 0 | 0 | ||||||||||||||||||||||||||
Pay |
1‑Year BRL‑CDI |
12.145 | Maturity | 01/02/2025 | 500 | 0 | (1 | ) | (1 | ) | 0 | 0 | ||||||||||||||||||||||||||
Pay |
1‑Year BRL‑CDI |
12.160 | Maturity | 01/02/2025 | 1,000 | 0 | (2 | ) | (2 | ) | 0 | 0 | ||||||||||||||||||||||||||
Pay |
1‑Year BRL‑CDI |
11.220 | Maturity | 01/04/2027 | 300 | 0 | (2 | ) | (2 | ) | 0 | 0 | ||||||||||||||||||||||||||
Pay |
1‑Year BRL‑CDI |
11.245 | Maturity | 01/04/2027 | 100 | 0 | (1 | ) | (1 | ) | 0 | 0 | ||||||||||||||||||||||||||
Pay |
1‑Year BRL‑CDI |
11.260 | Maturity | 01/04/2027 | 100 | 0 | (1 | ) | (1 | ) | 0 | 0 | ||||||||||||||||||||||||||
Pay |
1‑Year BRL‑CDI |
11.700 | Maturity | 01/04/2027 | 100 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||||
Pay |
1‑Year BRL‑CDI |
11.715 | Maturity | 01/04/2027 | 300 | 0 | (1 | ) | (1 | ) | 0 | 0 | ||||||||||||||||||||||||||
Pay |
1‑Year BRL‑CDI |
11.870 | Maturity | 01/04/2027 | 800 | 0 | (3 | ) | (3 | ) | 0 | 0 | ||||||||||||||||||||||||||
Pay |
3‑Month CAD‑Bank Bill |
3.300 | Semi‑Annual | 06/19/2024 | CAD | 4,900 | 369 | (445 | ) | (76 | ) | 0 | (1 | ) | ||||||||||||||||||||||||
Receive |
3‑Month CAD‑Bank Bill |
3.500 | Semi-Annual | 06/20/2044 | 600 | (107 | ) | 132 | 25 | 3 | 0 | |||||||||||||||||||||||||||
Receive |
3‑Month USD‑LIBOR |
0.250 | Semi-Annual | 06/16/2024 | $ | 3,000 | 8 | 198 | 206 | 4 | 0 | |||||||||||||||||||||||||||
Receive |
3‑Month USD‑LIBOR |
3.000 | Semi-Annual | 06/19/2024 | 4,400 | (73 | ) | 200 | 127 | 4 | 0 | |||||||||||||||||||||||||||
Receive |
3‑Month USD‑LIBOR |
1.500 | Semi-Annual | 12/15/2028 | 1,250 | (15 | ) | 179 | 164 | 3 | 0 |
See Accompanying Notes | SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 45 |
Schedule of Investments | PIMCO Global StocksPLUS® & Income Fund | (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 |
3‑Month USD‑LIBOR |
1.750 | % | Semi‑Annual | 01/15/2030 | $ | 600 | $ | (7 | ) | $ | 86 | $ | 79 | $ | 1 | $ | 0 | ||||||||||||||||||||
Receive |
3‑Month USD‑LIBOR |
2.000 | Semi-Annual | 02/12/2030 | 4,400 | (78 | ) | 590 | 512 | 9 | 0 | |||||||||||||||||||||||||||
Receive |
3‑Month USD‑LIBOR |
2.000 | Semi-Annual | 03/10/2030 | 500 | 0 | 58 | 58 | 1 | 0 | ||||||||||||||||||||||||||||
Receive |
3‑Month USD‑LIBOR |
1.000 | Semi-Annual | 12/16/2030 | 400 | (15 | ) | 94 | 79 | 1 | 0 | |||||||||||||||||||||||||||
Pay |
3‑Month USD‑LIBOR |
0.750 | Semi-Annual | 06/16/2031 | 2,229 | (211 | ) | (292 | ) | (503 | ) | 0 | (5 | ) | ||||||||||||||||||||||||
Pay |
3‑Month USD‑LIBOR |
3.000 | Semi-Annual | 12/19/2048 | 1,900 | (6 | ) | (189 | ) | (195 | ) | 0 | (10 | ) | ||||||||||||||||||||||||
Pay |
6‑Month EUR‑EURIBOR |
0.650 | Annual | 02/26/2029 | EUR | 6,100 | 6 | (906 | ) | (900 | ) | 0 | (19 | ) | ||||||||||||||||||||||||
Receive |
6‑Month EUR‑EURIBOR |
0.150 | Annual | 03/18/2030 | 1,300 | (18 | ) | 322 | 304 | 5 | 0 | |||||||||||||||||||||||||||
Receive |
6‑Month EUR‑EURIBOR |
0.150 | Annual | 06/17/2030 | 3,000 | (132 | ) | 775 | 643 | 10 | 0 | |||||||||||||||||||||||||||
Receive |
6‑Month EUR‑EURIBOR |
0.250 | Annual | 09/21/2032 | 800 | 72 | 141 | 213 | 4 | 0 | ||||||||||||||||||||||||||||
Receive |
6‑Month EUR‑EURIBOR |
1.250 | Annual | 08/19/2049 | 2,700 | 11 | 724 | 735 | 24 | 0 | ||||||||||||||||||||||||||||
Pay |
6‑Month EUR‑EURIBOR |
0.250 | Annual | 03/18/2050 | 400 | 48 | (240 | ) | (192 | ) | 0 | (3 | ) | |||||||||||||||||||||||||
Pay |
6‑Month EUR‑EURIBOR |
0.500 | Annual | 06/17/2050 | 1,000 | 171 | (597 | ) | (426 | ) | 0 | (8 | ) | |||||||||||||||||||||||||
Receive(5) |
6‑Month EUR‑EURIBOR |
0.830 | Annual | 12/09/2052 | 1,300 | 4 | 38 | 42 | 2 | 0 | ||||||||||||||||||||||||||||
Pay |
28‑Day MXN‑TIIE |
4.550 | Lunar | 02/27/2023 | MXN | 18,200 | 2 | (16 | ) | (14 | ) | 0 | (1 | ) | ||||||||||||||||||||||||
Pay |
28‑Day MXN‑TIIE |
4.500 | Lunar | 03/03/2023 | 10,700 | 0 | (8 | ) | (8 | ) | 0 | 0 | ||||||||||||||||||||||||||
Receive |
28‑Day MXN‑TIIE |
8.675 | Lunar | 04/03/2024 | 2,700 | 0 | 3 | 3 | 0 | 0 | ||||||||||||||||||||||||||||
Receive |
28‑Day MXN‑TIIE |
8.660 | Lunar | 04/04/2024 | 1,100 | 0 | 1 | 1 | 0 | 0 | ||||||||||||||||||||||||||||
Receive |
28‑Day MXN‑TIIE |
8.750 | Lunar | 04/05/2024 | 1,000 | 0 | 1 | 1 | 0 | 0 | ||||||||||||||||||||||||||||
Receive |
28‑Day MXN‑TIIE |
8.410 | Lunar | 03/31/2027 | 300 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||||
Receive |
28‑Day MXN‑TIIE |
8.730 | Lunar | 04/06/2027 | 400 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||||
Receive |
28‑Day MXN‑TIIE |
7.495 | Lunar | 01/14/2032 | 200 | 1 | 0 | 1 | 0 | 0 | ||||||||||||||||||||||||||||
Receive |
28‑Day MXN‑TIIE |
7.498 | Lunar | 01/15/2032 | 800 | 3 | 0 | 3 | 0 | 0 | ||||||||||||||||||||||||||||
Receive |
28‑Day MXN‑TIIE |
8.732 | Lunar | 03/30/2032 | 200 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||||
Receive |
28‑Day MXN‑TIIE |
8.701 | Lunar | 03/31/2032 | 500 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||||
|
|
|
|
|
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|
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|
|
|||||||||||||||||||||||||||||
$ | 469 | $ | 1,335 | $ | 1,804 | $ | 121 | $ | (102 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||
Total Swap Agreements |
$ | 292 | $ | 1,451 | $ | 1,743 | $ | 121 | $ | (103 | ) | |||||||||||||||||||||||||||
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|
|
|
|
|
|
|
|
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 |
$ | 270 | $ | 1 | $ | 121 | $ | 392 | $ | (446) | $ | (111) | $ | (103) | $ | (660) | ||||||||||||||||||||
|
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|
(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. |
46 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
December 31, 2022 | (Unaudited) |
Counterparty | Settlement Month |
Currency to be Delivered |
Currency to be Received |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||
AZD |
02/2023 | $ | 239 | JPY | 32,300 | $ | 8 | $ | 0 | |||||||||||||||
BOA |
01/2023 | EUR | 586 | $ | 620 | 0 | (7 | ) | ||||||||||||||||
02/2023 | CHF | 66 | 70 | 0 | (2 | ) | ||||||||||||||||||
02/2023 | JPY | 57,800 | 428 | 0 | (15 | ) | ||||||||||||||||||
02/2023 | PEN | 200 | 51 | 0 | (1 | ) | ||||||||||||||||||
02/2023 | $ | 179 | NOK | 1,779 | 3 | 0 | ||||||||||||||||||
03/2023 | TWD | 1,973 | $ | 67 | 2 | 0 | ||||||||||||||||||
BPS |
02/2023 | $ | 46 | IDR | 727,346 | 0 | 0 | |||||||||||||||||
02/2023 | 40 | ZAR | 721 | 2 | 0 | |||||||||||||||||||
BRC |
02/2023 | CHF | 34 | $ | 36 | 0 | (1 | ) | ||||||||||||||||
CBK |
01/2023 | EUR | 461 | 491 | 0 | (3 | ) | |||||||||||||||||
01/2023 | $ | 1,491 | BRL | 7,823 | 0 | (9 | ) | |||||||||||||||||
01/2023 | 9 | CLP | 8,589 | 1 | 0 | |||||||||||||||||||
01/2023 | 147 | EUR | 138 | 1 | 0 | |||||||||||||||||||
01/2023 | 45 | PEN | 181 | 3 | 0 | |||||||||||||||||||
02/2023 | BRL | 8,538 | $ | 1,582 | 0 | (26 | ) | |||||||||||||||||
03/2023 | MXN | 20,328 | 1,033 | 6 | (2 | ) | ||||||||||||||||||
04/2023 | PEN | 1,822 | 455 | 0 | (20 | ) | ||||||||||||||||||
04/2023 | $ | 84 | PEN | 332 | 3 | 0 | ||||||||||||||||||
05/2023 | PEN | 225 | $ | 57 | 0 | (2 | ) | |||||||||||||||||
GLM |
01/2023 | BRL | 7,823 | 1,468 | 0 | (14 | ) | |||||||||||||||||
03/2023 | $ | 986 | MXN | 20,274 | 40 | 0 | ||||||||||||||||||
04/2023 | 1,442 | BRL | 7,823 | 14 | 0 | |||||||||||||||||||
05/2023 | 440 | PEN | 1,760 | 18 | 0 | |||||||||||||||||||
JPM |
02/2023 | TWD | 2,491 | $ | 82 | 1 | 0 | |||||||||||||||||
02/2023 | $ | 80 | IDR | 1,256,306 | 1 | 0 | ||||||||||||||||||
03/2023 | IDR | 2,082,099 | $ | 133 | 0 | (1 | ) | |||||||||||||||||
MBC |
01/2023 | CAD | 204 | 152 | 1 | 0 | ||||||||||||||||||
01/2023 | EUR | 5,170 | 5,418 | 0 | (118 | ) | ||||||||||||||||||
01/2023 | GBP | 180 | 219 | 2 | 0 | |||||||||||||||||||
01/2023 | $ | 7 | AUD | 10 | 0 | 0 | ||||||||||||||||||
01/2023 | 197 | EUR | 187 | 3 | 0 | |||||||||||||||||||
01/2023 | 215 | GBP | 176 | 0 | (3 | ) | ||||||||||||||||||
03/2023 | IDR | 1,263,728 | $ | 81 | 0 | 0 | ||||||||||||||||||
03/2023 | TWD | 2,707 | 92 | 3 | 0 | |||||||||||||||||||
MYI |
01/2023 | $ | 218 | AUD | 324 | 3 | 0 | |||||||||||||||||
02/2023 | TWD | 4,605 | $ | 151 | 1 | 0 | ||||||||||||||||||
02/2023 | $ | 108 | JPY | 14,200 | 1 | 0 | ||||||||||||||||||
03/2023 | IDR | 1,780,585 | $ | 114 | 0 | (1 | ) | |||||||||||||||||
03/2023 | TWD | 2,444 | 83 | 3 | 0 | |||||||||||||||||||
RBC |
01/2023 | $ | 3 | AUD | 4 | 0 | 0 | |||||||||||||||||
02/2023 | 272 | NOK | 2,713 | 5 | 0 | |||||||||||||||||||
SCX |
01/2023 | 79 | EUR | 74 | 1 | 0 | ||||||||||||||||||
02/2023 | 84 | IDR | 1,321,919 | 1 | 0 | |||||||||||||||||||
UAG |
01/2023 | GBP | 78 | $ | 97 | 2 | 0 | |||||||||||||||||
01/2023 | $ | 40 | ZAR | 722 | 2 | 0 | ||||||||||||||||||
02/2023 | 124 | IDR | 1,961,922 | 2 | 0 | |||||||||||||||||||
|
|
|
|
|||||||||||||||||||||
Total Forward Foreign Currency Contracts |
|
$ | 133 | $ | (225 | ) | ||||||||||||||||||
|
|
|
|
Counterparty | Reference Obligation | Fixed Receive Rate |
Payment Frequency |
Maturity Date |
Notional Amount(2) |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Swap Agreements, at Value(3) |
||||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||||
BOA | Long Beach Mortgage Loan Trust 6.584% due 07/25/2033 |
6.250% | Monthly | 07/25/2033 | $ | 103 | $ | 0 | $ | 1 | $ | 1 | $ | 0 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
See Accompanying Notes | SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 47 |
Schedule of Investments | PIMCO Global StocksPLUS® & Income Fund | (Cont.) |
Counterparty | Index/Tranches | Fixed Receive Rate |
Payment Frequency |
Maturity Date |
Notional Amount(2) |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Swap Agreements, at Value(3) |
||||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||||
GST | ABX.HE.AA.6‑1 Index |
0.320 | % | Monthly | 07/25/2045 | $ | 812 | $ | (162 | ) | $ | 98 | $ | 0 | $ | (64 | ) | |||||||||||||||||||
ABX.HE.PENAAA.7‑1 Index |
0.090 | Monthly | 08/25/2037 | 612 | (243 | ) | 174 | 0 | (69 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||
$ | (405 | ) | $ | 272 | $ | 0 | $ | (133 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
Counterparty | Pay/Receive(4) | Underlying Reference | # of Units | Financing Rate | Payment Frequency |
Maturity Date |
Notional Amount |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Swap Agreements, at Value |
||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||||
JPM |
Receive |
NDDUEAFE Index |
9 | 4.280% (1‑Month USD‑LIBOR less a specified spread) |
Monthly | 05/10/2023 | $ | 59 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||||||||||||||||||
MYI |
Receive |
NDDUEAFE Index |
32 | 4.330% (1‑Month USD‑LIBOR plus a specified spread) |
Monthly | 05/24/2023 | 211 | 0 | (1 | ) | 0 | (1 | ) | |||||||||||||||||||||||
Receive |
NDDUEAFE Index |
5,867 | 4.310% (1‑Month USD‑LIBOR less a specified spread) |
Maturity | 11/15/2023 | 32,652 | 0 | 5,705 | 5,705 | 0 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||
$ | 0 | $ | 5,704 | $ | 5,705 | $ | (1 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||
Total Swap Agreements |
|
$ | (405 | ) | $ | 5,977 | $ | 5,706 | $ | (134 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
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) |
|||||||||||||||||||||||||||||||||||||
AZD |
$ | 8 | $ | 0 | $ | 0 | $ | 8 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 8 | $ | 0 | $ | 8 | ||||||||||||||||||||||||||
BOA |
5 | 0 | 1 | 6 | (25 | ) | 0 | 0 | (25 | ) | (19 | ) | 0 | (19 | ) | |||||||||||||||||||||||||||||||||
BPS |
2 | 0 | 0 | 2 | 0 | 0 | 0 | 0 | 2 | 0 | 2 | |||||||||||||||||||||||||||||||||||||
BRC |
0 | 0 | 0 | 0 | (1 | ) | 0 | 0 | (1 | ) | (1 | ) | 0 | (1 | ) | |||||||||||||||||||||||||||||||||
CBK |
14 | 0 | 0 | 14 | (62 | ) | 0 | 0 | (62 | ) | (48 | ) | 0 | (48 | ) | |||||||||||||||||||||||||||||||||
GLM |
72 | 0 | 0 | 72 | (14 | ) | 0 | 0 | (14 | ) | 58 | 0 | 58 | |||||||||||||||||||||||||||||||||||
GST |
0 | 0 | 0 | 0 | 0 | 0 | (133 | ) | (133 | ) | (133 | ) | 220 | 87 | ||||||||||||||||||||||||||||||||||
JPM |
2 | 0 | 0 | 2 | (1 | ) | 0 | 0 | (1 | ) | 1 | 0 | 1 | |||||||||||||||||||||||||||||||||||
MBC |
9 | 0 | 0 | 9 | (121 | ) | 0 | 0 | (121 | ) | (112 | ) | 0 | (112 | ) | |||||||||||||||||||||||||||||||||
MYI |
8 | 0 | 5,705 | 5,713 | (1 | ) | 0 | (1 | ) | (2 | ) | 5,711 | (5,740 | ) | (29 | ) | ||||||||||||||||||||||||||||||||
RBC |
5 | 0 | 0 | 5 | 0 | 0 | 0 | 0 | 5 | 0 | 5 | |||||||||||||||||||||||||||||||||||||
SCX |
2 | 0 | 0 | 2 | 0 | 0 | 0 | 0 | 2 | 0 | 2 | |||||||||||||||||||||||||||||||||||||
UAG |
6 | 0 | 0 | 6 | 0 | 0 | 0 | 0 | 6 | 0 | 6 | |||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||
Total Over the Counter |
$ | 133 | $ | 0 | $ | 5,706 | $ | 5,839 | $ | (225 | ) | $ | 0 | $ | (134 | ) | $ | (359 | ) | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(p) | Securities with an aggregate market value of $220 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 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) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(3) | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(4) | 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. |
(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. |
48 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
December 31, 2022 | (Unaudited) |
See Accompanying Notes | SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 49 |
Schedule of Investments | PIMCO Global StocksPLUS® & Income Fund | (Cont.) |
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2022 |
||||||||||||
Investments in Securities, at Value |
| |||||||||||||||
Loan Participations and Assignments |
$ | 0 | $ | 15,538 | $ | 3,640 | $ | 19,178 | ||||||||
Corporate Bonds & Notes |
| |||||||||||||||
Banking & Finance |
0 | 8,145 | 106 | 8,251 | ||||||||||||
Industrials |
0 | 19,045 | 0 | 19,045 | ||||||||||||
Utilities |
0 | 3,763 | 0 | 3,763 | ||||||||||||
Convertible Bonds & Notes |
| |||||||||||||||
Industrials |
0 | 377 | 0 | 377 | ||||||||||||
Municipal Bonds & Notes |
| |||||||||||||||
Illinois |
0 | 12 | 0 | 12 | ||||||||||||
Puerto Rico |
0 | 250 | 0 | 250 | ||||||||||||
West Virginia |
0 | 655 | 0 | 655 | ||||||||||||
U.S. Government Agencies |
0 | 38,971 | 0 | 38,971 | ||||||||||||
Non‑Agency Mortgage-Backed Securities |
0 | 15,053 | 0 | 15,053 | ||||||||||||
Asset-Backed Securities |
0 | 5,555 | 1,528 | 7,083 | ||||||||||||
Sovereign Issues |
0 | 2,021 | 0 | 2,021 | ||||||||||||
Common Stocks |
| |||||||||||||||
Communication Services |
244 | 0 | 98 | 342 | ||||||||||||
Energy |
97 | 0 | 18 | 115 | ||||||||||||
Financials |
254 | 0 | 823 | 1,077 | ||||||||||||
Industrials |
0 | 0 | 486 | 486 | ||||||||||||
Rights |
| |||||||||||||||
Financials |
0 | 0 | 25 | 25 | ||||||||||||
Warrants |
| |||||||||||||||
Financials |
0 | 0 | 28 | 28 | ||||||||||||
Information Technology |
0 | 0 | 1,063 | 1,063 | ||||||||||||
Preferred Securities |
| |||||||||||||||
Banking & Finance |
0 | 3,303 | 0 | 3,303 | ||||||||||||
Industrials |
0 | 0 | 606 | 606 |
Category and Subcategory | Beginning Balance at 06/30/2022 |
Net Purchases |
Net Sales/ Settlements |
Accrued Discounts/ (Premiums) |
Realized Gain/(Loss) |
Net Change in Unrealized Appreciation/ (Depreciation)(1) |
Transfers into Level 3 |
Transfers out of Level 3 |
Ending Balance at 12/31/2022 |
Net Change in Unrealized Appreciation/ (Depreciation) on Investments Held at 12/31/2022(1) |
||||||||||||||||||||||||||||||
Investments in Securities, at Value |
| |||||||||||||||||||||||||||||||||||||||
Loan Participations and Assignments |
$ | 6,807 | $ | 1,074 | $ | (182 | ) | $ | (9 | ) | $ | (10 | ) | $ | (138 | ) | $ | 0 | $ | (3,902 | ) | $ | 3,640 | $ | 58 | |||||||||||||||
Corporate Bonds & Notes |
| |||||||||||||||||||||||||||||||||||||||
Banking & Finance |
1,226 | 106 | (1,188 | ) | 0 | 88 | (126 | ) | 0 | 0 | 106 | 0 | ||||||||||||||||||||||||||||
Industrials |
5,751 | 95 | 0 | 11 | 0 | (326 | ) | 0 | (5,531 | ) | 0 | 0 | ||||||||||||||||||||||||||||
Asset-Backed Securities |
3,532 | 0 | (1,629 | ) | 0 | (60 | ) | (315 | ) | 0 | 0 | 1,528 | (399 | ) | ||||||||||||||||||||||||||
Common Stocks |
| |||||||||||||||||||||||||||||||||||||||
Communication Services |
126 | 0 | 0 | 0 | 0 | (28 | ) | 0 | 0 | 98 | (28 | ) | ||||||||||||||||||||||||||||
Energy |
8 | 0 | 0 | 0 | 0 | 10 | 0 | 0 | 18 | 10 | ||||||||||||||||||||||||||||||
Financials |
960 | 0 | 0 | 0 | 0 | (137 | ) | 0 | 0 | 823 | (137 | ) | ||||||||||||||||||||||||||||
Industrials |
372 | 20 | 0 | 0 | 0 | 94 | 0 | 0 | 486 | 94 | ||||||||||||||||||||||||||||||
Materials |
23 | 0 | (25 | ) | 0 | 25 | (23 | ) | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||||
Rights |
| |||||||||||||||||||||||||||||||||||||||
Financials |
17 | 0 | 0 | 0 | 0 | 8 | 0 | 0 | 25 | 8 | ||||||||||||||||||||||||||||||
Warrants |
| |||||||||||||||||||||||||||||||||||||||
Financials |
19 | 0 | 0 | 0 | 0 | 9 | 0 | 0 | 28 | 9 | ||||||||||||||||||||||||||||||
Industrials |
72 | 0 | (15 | ) | 0 | 15 | (72 | ) | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||||
Information Technology |
1,120 | 0 | 0 | 0 | 0 | (57 | ) | 0 | 0 | 1,063 | (57 | ) | ||||||||||||||||||||||||||||
Preferred Securities |
| |||||||||||||||||||||||||||||||||||||||
Industrials |
5,079 | 0 | (5,386 | ) | 0 | 2,994 | (2,081 | ) | 0 | 0 | 606 | (77 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Totals |
$ | 25,112 | $ | 1,295 | $ | (8,425 | ) | $ | 2 | $ | 3,052 | $ | (3,182 | ) | $ | 0 | $ | (9,433 | ) | $ | 8,421 | $ | (519 | ) | ||||||||||||||||
|
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|
|
|
|
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|
|
50 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
December 31, 2022 | (Unaudited) |
Category and Subcategory | Ending Balance at 12/31/2022 |
Valuation Technique |
Unobservable Inputs |
(% Unless Noted Otherwise) | ||||||||||||||||
Input Value(s) | Weighted Average |
|||||||||||||||||||
Investments in Securities, at Value |
| |||||||||||||||||||
Loan Participations and Assignments |
$ | 811 | Discounted Cash Flow | Discount Rate | 9.500 | — | ||||||||||||||
922 | Discounted Cash Flow | Discount Spread | 9.080 | — | ||||||||||||||||
1,907 | Third Party Vendor | Broker Quote | 99.000 | — | ||||||||||||||||
Corporate Bonds & Notes |
||||||||||||||||||||
Banking & Finance |
106 | Proxy Pricing | Base Price | 100.000 | — | |||||||||||||||
Asset‑Backed Securities |
1,528 | Discounted Cash Flow | Discount Rate | 10.000-14.000 | 11.264 | |||||||||||||||
Common Stocks |
||||||||||||||||||||
Communication Services |
98 | Reference Instrument | Stock Price W/Liquidity Discount | 10.000 | — | |||||||||||||||
Energy |
18 | Market Comparable Valuation | EBITDA Multiple | X | 4.600 | — | ||||||||||||||
Financials |
823 | Indicative Market Quotation | Price | $ | 24.000 | — | ||||||||||||||
Industrials |
91 | Market Comparable Valuation / Discounted Cash Flow |
Revenue | EBITDA Multiple / Discount Rate |
X/% | 0.620|6.160/10.000 | — | ||||||||||||||
296 | Discounted Cash Flow | Discount Rate | 11.590 | — | ||||||||||||||||
99 | Indicative Market Quotation | Price | $ | 7.500 | — | |||||||||||||||
Rights |
||||||||||||||||||||
Financials |
25 | Other Valuation Techniques(2) | — | — | — | |||||||||||||||
Warrants |
| |||||||||||||||||||
Financials |
1 | Indicative Market Quotation | Price | $ | 2.000-3.500 | 3.305 | ||||||||||||||
27 | Other Valuation Techniques(2) | — | — | — | ||||||||||||||||
Information Technology |
1,063 | Market Comparable Valuation | EBITDA Multiple | X | 4.500 | — | ||||||||||||||
Preferred Securities |
||||||||||||||||||||
Industrials |
606 | Market Comparable Valuation / Discounted Cash Flow |
TBV Multiple/Discount Rate | X/% | 0.370/24.820 | — | ||||||||||||||
|
|
|||||||||||||||||||
Total |
$ | 8,421 | ||||||||||||||||||
|
|
(1) | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at December 31, 2022 may be due to an investment no longer held or categorized as Level 3 at period end. |
(2) | Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not considered significant to the Fund. |
See Accompanying Notes | SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 51 |
Schedule of Investments | PIMCO Strategic Income Fund, Inc. |
52 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
December 31, 2022 | (Unaudited) |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
3.000% due 11/25/2050 - 01/25/2051 (a)(k) |
$ | 9,477 | $ | 1,533 | ||||||||
3.500% due 05/25/2050 (a) |
536 | 112 | ||||||||||
4.262% due 12/01/2026 • |
2 | 2 | ||||||||||
4.402% due 07/25/2032 ~ |
69 | 66 | ||||||||||
4.500% due 06/25/2050 (a)(k) |
683 | 124 | ||||||||||
5.500% due 04/01/2039 - 06/15/2041 (k) |
2,295 | 2,364 | ||||||||||
6.000% due 12/15/2028 - 03/15/2035 (k) |
805 | 825 | ||||||||||
6.000% due 04/15/2031 - 02/01/2034 |
31 | 31 | ||||||||||
6.500% due 09/15/2023 - 09/01/2047 |
1,692 | 1,673 | ||||||||||
6.500% due 10/15/2023 - 07/01/2037 (k) |
1,424 | 1,466 | ||||||||||
6.500% due 09/25/2043 ~ |
35 | 36 | ||||||||||
6.900% due 09/15/2023 |
9 | 9 | ||||||||||
7.000% due 05/15/2023 - 10/25/2043 |
477 | 488 | ||||||||||
7.000% due 01/15/2024 - 01/01/2032 (k) |
837 | 867 | ||||||||||
7.500% due 05/15/2024 - 03/01/2037 (k) |
48 | 48 | ||||||||||
7.500% due 12/01/2025 - 02/25/2042 |
412 | 421 | ||||||||||
8.000% due 07/01/2024 - 04/15/2030 |
56 | 57 | ||||||||||
9.539% due 10/25/2029 • |
650 | 699 | ||||||||||
11.939% due 12/25/2027 ~ |
1,499 | 1,506 | ||||||||||
Ginnie Mae |
| |||||||||||
1.697% due 08/20/2049 - 09/20/2049 •(a)(k) |
53,653 | 5,442 | ||||||||||
1.847% due 06/20/2047 •(a)(k) |
5,645 | 528 | ||||||||||
6.000% due 04/15/2029 - 12/15/2038 |
542 | 560 | ||||||||||
6.500% due 11/20/2024 - 10/20/2038 |
205 | 210 | ||||||||||
7.000% due 07/15/2025 - 06/15/2026 |
7 | 7 | ||||||||||
7.500% due 06/15/2023 - 03/15/2029 |
249 | 251 | ||||||||||
8.500% due 02/15/2031 |
6 | 6 | ||||||||||
Ginnie Mae, TBA |
| |||||||||||
4.000% due 01/01/2053 |
12,000 | 11,379 | ||||||||||
4.500% due 01/01/2053 |
100 | 97 | ||||||||||
U.S. Small Business Administration |
| |||||||||||
4.625% due 02/01/2025 |
19 | 19 | ||||||||||
5.510% due 11/01/2027 |
73 | 72 | ||||||||||
5.780% due 08/01/2027 |
5 | 5 | ||||||||||
5.820% due 07/01/2027 |
8 | 8 | ||||||||||
Uniform Mortgage-Backed Security |
| |||||||||||
4.000% due 06/01/2047 - 03/01/2048 |
401 | 383 | ||||||||||
4.000% due 09/01/2047 (k) |
5,411 | 5,169 | ||||||||||
4.500% due 09/01/2023 - 08/01/2041 |
130 | 127 | ||||||||||
6.000% due 12/01/2032 - 04/01/2039 |
1,172 | 1,213 | ||||||||||
6.000% due 06/01/2040 (k) |
860 | 894 | ||||||||||
6.500% due 09/01/2028 - 02/01/2038 |
742 | 772 | ||||||||||
8.000% due 12/01/2024 - 11/01/2031 |
70 | 72 | ||||||||||
Uniform Mortgage-Backed Security, TBA |
| |||||||||||
3.000% due 02/01/2053 |
2,400 | 2,109 | ||||||||||
3.500% due 02/01/2053 |
36,300 | 33,004 | ||||||||||
4.000% due 03/01/2053 |
2,300 | 2,158 | ||||||||||
4.500% due 02/01/2053 |
1,800 | 1,733 | ||||||||||
6.000% due 01/01/2053 - 02/01/2053 |
6,600 | 6,694 | ||||||||||
Vendee Mortgage Trust |
| |||||||||||
6.500% due 03/15/2029 |
43 | 42 | ||||||||||
6.750% due 02/15/2026 - 06/15/2026 (k) |
25 | 26 | ||||||||||
7.500% due 09/15/2030 |
867 | 910 | ||||||||||
|
|
|||||||||||
Total U.S. Government Agencies (Cost $127,583) |
107,538 | |||||||||||
|
|
|||||||||||
See Accompanying Notes | SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 53 |
Schedule of Investments | PIMCO Strategic Income Fund, Inc. | (Cont.) |
54 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
December 31, 2022 | (Unaudited) |
* | 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) | Payment in‑kind security. |
(c) | Security is not accruing income as of the date of this report. |
(d) | Security did not produce income within the last twelve months. |
(e) | Coupon represents a weighted average yield to maturity. |
(f) | Zero coupon security. |
(g) | Perpetual maturity; date shown, if applicable, represents next contractual call date. |
(h) | Contingent convertible security. |
Issuer Description | Acquisition Date |
Cost | Market Value |
Market Value as Percentage of Net Assets |
||||||||||||
Axis Energy Services ‘A’ |
07/01/2021 | $ | 6 | $ | 15 | 0.01 | % | |||||||||
Intelsat SA |
06/19/2017 ‑ 02/23/2022 | 6,774 | 2,368 | 1.20 | ||||||||||||
Neiman Marcus Group Ltd. LLC |
09/25/2020 | 1,058 | 5,783 | 2.92 | ||||||||||||
Oracle Corp. 4.100% due 03/25/2061 |
06/17/2021 ‑ 10/05/2021 | 1,110 | 699 | 0.35 | ||||||||||||
Syniverse Holdings, Inc. |
05/12/2022 ‑ 11/30/2022 | 773 | 757 | 0.38 | ||||||||||||
Westmoreland Mining Holdings |
03/26/2019 | 0 | 1 | 0.00 | ||||||||||||
|
|
|
|
|
|
|||||||||||
$ | 9,721 | $ | 9,623 | 4.86 | % | |||||||||||
|
|
|
|
|
|
Counterparty | Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By | Collateral (Received) |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received(1) |
||||||||||||||||||||||
BPS | 4.310 | % | 12/30/2022 | 01/03/2023 | $ | 19,800 | U.S. Treasury Notes 0.625% due 05/15/2030 | $ | (20,238 | ) | $ | 19,800 | $ | 19,809 | ||||||||||||||||
FICC | 1.900 | 12/30/2022 | 01/03/2023 | 221 | U.S. Treasury Bills 0.000% due 06/29/2023 | (226 | ) | 221 | 221 | |||||||||||||||||||||
NOM | 4.320 | 12/30/2022 | 01/03/2023 | 1,300 | U.S. Treasury Bonds 3.000% due 11/15/2044 | (1,317 | ) | 1,300 | 1,301 | |||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
Total Repurchase Agreements |
|
$ | (21,781 | ) | $ | 21,321 | $ | 21,331 | ||||||||||||||||||||||
|
|
|
|
|
|
Counterparty | Borrowing Rate(2) |
Settlement Date |
Maturity Date |
Amount Borrowed(2) |
Payable for Reverse Repurchase Agreements |
|||||||||||||||||
BOM |
4.000 | % | 09/08/2022 | 03/07/2023 | $ | (1,428 | ) | $ | (1,446 | ) | ||||||||||||
BOS |
3.760 | 09/12/2022 | 01/10/2023 | (1,120 | ) | (1,134 | ) | |||||||||||||||
3.760 | 11/17/2022 | 01/10/2023 | (2,046 | ) | (2,056 | ) | ||||||||||||||||
BPS |
1.880 | 10/13/2022 | 01/23/2023 | EUR | (1,261 | ) | (1,356 | ) | ||||||||||||||
3.470 | 08/26/2022 | 02/27/2023 | $ | (6,820 | ) | (6,905 | ) | |||||||||||||||
3.550 | 09/13/2022 | 02/02/2023 | (288 | ) | (291 | ) | ||||||||||||||||
3.590 | 08/12/2022 | 02/13/2023 | (248 | ) | (252 | ) | ||||||||||||||||
3.640 | 08/12/2022 | 02/13/2023 | (5,945 | ) | (6,031 | ) | ||||||||||||||||
3.760 | 10/26/2022 | 02/13/2023 | (1,695 | ) | (1,707 | ) | ||||||||||||||||
3.935 | 09/01/2022 | 03/01/2023 | (5,244 | ) | (5,315 | ) | ||||||||||||||||
4.400 | 10/27/2022 | 01/30/2023 | (699 | ) | (705 | ) | ||||||||||||||||
4.450 | 10/31/2022 | 02/03/2023 | (1,295 | ) | (1,305 | ) |
See Accompanying Notes | SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 55 |
Schedule of Investments | PIMCO Strategic Income Fund, Inc. | (Cont.) |
Counterparty | Borrowing Rate(2) |
Settlement Date |
Maturity Date |
Amount Borrowed(2) |
Payable for Reverse Repurchase Agreements |
|||||||||||||||||
4.600 | % | 09/22/2022 | 03/23/2023 | $ | (439 | ) | $ | (445 | ) | |||||||||||||
4.800 | 10/11/2022 | 04/11/2023 | (345 | ) | (348 | ) | ||||||||||||||||
4.950 | 12/08/2022 | 04/06/2023 | (6,840 | ) | (6,862 | ) | ||||||||||||||||
5.070 | 11/10/2022 | 03/10/2023 | (8,486 | ) | (8,550 | ) | ||||||||||||||||
5.450 | 12/08/2022 | 04/06/2023 | (3,992 | ) | (4,006 | ) | ||||||||||||||||
5.750 | 12/08/2022 | 04/06/2023 | (3,035 | ) | (3,046 | ) | ||||||||||||||||
BRC |
4.240 | 09/07/2022 | 01/06/2023 | (1,432 | ) | (1,452 | ) | |||||||||||||||
BYR |
4.950 | 09/26/2022 | 03/24/2023 | (1,435 | ) | (1,447 | ) | |||||||||||||||
4.960 | 10/17/2022 | 03/17/2023 | (5,378 | ) | (5,421 | ) | ||||||||||||||||
CEW |
2.400 | 08/05/2022 | TBD | (3) | GBP | (2,326 | ) | (2,833 | ) | |||||||||||||
CIB |
4.320 | 10/11/2022 | 01/11/2023 | $ | (1,694 | ) | (1,711 | ) | ||||||||||||||
4.460 | 12/13/2022 | 01/12/2023 | (2,892 | ) | (2,899 | ) | ||||||||||||||||
4.600 | 10/17/2022 | 01/17/2023 | (852 | ) | (860 | ) | ||||||||||||||||
4.960 | 12/13/2022 | 01/12/2023 | (1,329 | ) | (1,333 | ) | ||||||||||||||||
IND |
5.070 | 12/05/2022 | 04/03/2023 | (391 | ) | (393 | ) | |||||||||||||||
JML |
1.500 | 09/14/2022 | TBD | (3) | EUR | (767 | ) | (822 | ) | |||||||||||||
2.050 | 09/14/2022 | TBD | (3) | (1,896 | ) | (2,034 | ) | |||||||||||||||
4.750 | 12/16/2022 | 02/03/2023 | $ | (1,914 | ) | (1,919 | ) | |||||||||||||||
JPS |
4.090 | 10/25/2022 | 01/03/2023 | (1,779 | ) | (1,793 | ) | |||||||||||||||
5.690 | 01/03/2023 | 04/03/2023 | (1,774 | ) | (1,774 | ) | ||||||||||||||||
MEI |
2.200 | 10/07/2022 | 01/06/2023 | EUR | (348 | ) | (374 | ) | ||||||||||||||
3.860 | 10/11/2022 | 02/28/2023 | $ | (372 | ) | (376 | ) | |||||||||||||||
4.720 | 10/24/2022 | 01/27/2023 | (606 | ) | (612 | ) | ||||||||||||||||
RCY |
3.740 | 09/16/2022 | 01/17/2023 | (1,685 | ) | (1,704 | ) | |||||||||||||||
4.170 | 09/16/2022 | 01/17/2023 | (2,697 | ) | (2,731 | ) | ||||||||||||||||
4.590 | 10/17/2022 | 02/17/2023 | (231 | ) | (233 | ) | ||||||||||||||||
4.710 | 10/18/2022 | 02/17/2023 | (1,468 | ) | (1,482 | ) | ||||||||||||||||
RDR |
4.430 | 10/26/2022 | 01/30/2023 | (4,759 | ) | (4,800 | ) | |||||||||||||||
4.430 | 11/18/2022 | 01/30/2023 | (1,359 | ) | (1,367 | ) | ||||||||||||||||
4.700 | 10/26/2022 | 01/30/2023 | (260 | ) | (262 | ) | ||||||||||||||||
SCX |
4.530 | 10/07/2022 | 04/06/2023 | (4,325 | ) | (4,373 | ) | |||||||||||||||
SOG |
4.360 | 09/30/2022 | 01/30/2023 | (1,288 | ) | (1,303 | ) | |||||||||||||||
4.500 | 10/25/2022 | 01/25/2023 | (1,560 | ) | (1,574 | ) | ||||||||||||||||
4.500 | 12/16/2022 | TBD | (3) | (407 | ) | (408 | ) | |||||||||||||||
4.570 | 12/16/2022 | TBD | (3) | (214 | ) | (214 | ) | |||||||||||||||
4.640 | 10/14/2022 | 02/14/2023 | (1,462 | ) | (1,478 | ) | ||||||||||||||||
4.790 | 11/02/2022 | 02/02/2023 | (581 | ) | (585 | ) | ||||||||||||||||
4.790 | 11/04/2022 | 02/02/2023 | (478 | ) | (482 | ) | ||||||||||||||||
4.900 | 10/12/2022 | 04/12/2023 | (1,629 | ) | (1,647 | ) | ||||||||||||||||
5.040 | 11/14/2022 | 03/14/2023 | (267 | ) | (269 | ) | ||||||||||||||||
TDM |
4.470 | 12/16/2022 | TBD | (3) | (1,656 | ) | (1,660 | ) | ||||||||||||||
4.490 | 12/16/2022 | TBD | (3) | (2,441 | ) | (2,447 | ) | |||||||||||||||
UBS |
2.150 | 11/24/2022 | 02/22/2023 | EUR | (4,365 | ) | (4,684 | ) | ||||||||||||||
4.220 | 09/19/2022 | 01/19/2023 | $ | (891 | ) | (902 | ) | |||||||||||||||
4.590 | 11/07/2022 | 01/09/2023 | (389 | ) | (392 | ) | ||||||||||||||||
4.620 | 11/07/2022 | 01/09/2023 | (1,363 | ) | (1,373 | ) | ||||||||||||||||
|
|
|||||||||||||||||||||
Total Reverse Repurchase Agreements |
|
$ | (116,183 | ) | ||||||||||||||||||
|
|
Description | Coupon | Maturity Date |
Principal Amount |
Proceeds | Payable for Short Sales |
|||||||||||||||
U.S. Government Agencies (1.5)% |
| |||||||||||||||||||
Uniform Mortgage-Backed Security, TBA |
2.000 | % | 01/01/2038 | $ | 300 | $ | (271 | ) | $ | (267 | ) | |||||||||
Uniform Mortgage-Backed Security, TBA |
2.000 | 01/01/2053 | 1,950 | (1,578 | ) | (1,587 | ) | |||||||||||||
Uniform Mortgage-Backed Security, TBA |
2.500 | 01/01/2053 | 600 | (502 | ) | (508 | ) | |||||||||||||
Uniform Mortgage-Backed Security, TBA |
3.500 | 01/01/2053 | 500 | (462 | ) | (454 | ) | |||||||||||||
Uniform Mortgage-Backed Security, TBA |
4.000 | 01/01/2053 | 100 | (96 | ) | (94 | ) | |||||||||||||
|
|
|
|
|||||||||||||||||
Total Short Sales (1.5)% |
$ | (2,909 | ) | $ | (2,910 | ) | ||||||||||||||
|
|
|
|
56 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
December 31, 2022 | (Unaudited) |
Counterparty | Repurchase Agreement Proceeds to be Received(1) |
Payable for Reverse Repurchase Agreements |
Payable for Sale‑Buyback Transactions |
Total Borrowings and Other Financing Transactions |
Collateral Pledged/(Received) |
Net Exposure(4) | ||||||||||||||||||
Global/Master Repurchase Agreement |
| |||||||||||||||||||||||
BOM |
$ | 0 | $ | (1,446 | ) | $ | 0 | $ | (1,446 | ) | $ | 1,613 | $ | 167 | ||||||||||
BOS |
0 | (3,190 | ) | 0 | (3,190 | ) | 3,372 | 182 | ||||||||||||||||
BPS |
19,809 | (47,124 | ) | 0 | (27,315 | ) | 35,742 | 8,427 | ||||||||||||||||
BRC |
0 | (1,452 | ) | 0 | (1,452 | ) | 2,114 | 662 | ||||||||||||||||
BYR |
0 | (6,868 | ) | 0 | (6,868 | ) | 7,803 | 935 | ||||||||||||||||
CEW |
0 | (2,833 | ) | 0 | (2,833 | ) | 2,622 | (211 | ) | |||||||||||||||
CIB |
0 | (6,803 | ) | 0 | (6,803 | ) | 7,146 | 343 | ||||||||||||||||
FICC |
221 | 0 | 0 | 221 | (226 | ) | (5 | ) | ||||||||||||||||
IND |
0 | (393 | ) | 0 | (393 | ) | 498 | 105 | ||||||||||||||||
JML |
0 | (4,775 | ) | 0 | (4,775 | ) | 4,975 | 200 | ||||||||||||||||
JPS |
0 | (3,567 | ) | 0 | (3,567 | ) | 2,213 | (1,354 | ) | |||||||||||||||
MEI |
0 | (1,362 | ) | 0 | (1,362 | ) | 1,540 | 178 | ||||||||||||||||
NOM |
1,301 | 0 | 0 | 1,301 | (1,317 | ) | (16 | ) | ||||||||||||||||
RCY |
0 | (6,150 | ) | 0 | (6,150 | ) | 6,834 | 684 | ||||||||||||||||
RDR |
0 | (6,429 | ) | 0 | (6,429 | ) | 6,663 | 234 | ||||||||||||||||
SCX |
0 | (4,373 | ) | 0 | (4,373 | ) | 4,732 | 359 | ||||||||||||||||
SOG |
0 | (7,960 | ) | 0 | (7,960 | ) | 8,831 | 871 | ||||||||||||||||
TDM |
0 | (4,107 | ) | 0 | (4,107 | ) | 4,111 | 4 | ||||||||||||||||
UBS |
0 | (7,351 | ) | 0 | (7,351 | ) | 8,223 | 872 | ||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 21,331 | $ | (116,183 | ) | $ | 0 | |||||||||||||||||
|
|
|
|
|
|
Overnight and Continuous |
Up to 30 days | 31‑90 days | Greater Than 90 days | Total | ||||||||||||||||
Reverse Repurchase Agreements |
| |||||||||||||||||||
Corporate Bonds & Notes |
$ | 0 | $ | (18,209 | ) | $ | (33,953 | ) | $ | (17,179 | ) | $ | (69,341 | ) | ||||||
U.S. Government Agencies |
0 | (11,238 | ) | (10,067 | ) | (6,862 | ) | (28,167 | ) | |||||||||||
Non‑Agency Mortgage-Backed Securities |
0 | (3,245 | ) | 0 | (3,047 | ) | (6,292 | ) | ||||||||||||
Asset-Backed Securities |
0 | 0 | 0 | (4,006 | ) | (4,006 | ) | |||||||||||||
Sovereign Issues |
0 | 0 | (1,919 | ) | 0 | (1,919 | ) | |||||||||||||
Preferred Securities |
0 | 0 | (4,684 | ) | 0 | (4,684 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total Borrowings |
$ | 0 | $ | (32,692 | ) | $ | (50,623 | ) | $ | (31,094 | ) | $ | (114,409 | ) | ||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Payable for reverse repurchase agreements(5) |
|
$ | (114,409 | ) | ||||||||||||||||
|
|
(k) | Securities with an aggregate market value of $129,066 and cash of $2,546 have been pledged as collateral under the terms of the above master agreements as of December 31, 2022. |
(1) | Includes accrued interest. |
(2) | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(138,725) at a weighted average interest rate of 2.685%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. |
(3) | Open maturity reverse repurchase agreement. |
(4) | 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. |
(5) | Unsettled reverse repurchase agreements liability of $(1,774) is outstanding at period end. |
Description |
Expiration Month |
# of Contracts |
Notional Amount |
Unrealized Appreciation/ (Depreciation) |
Variation Margin | |||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||
3‑Month SOFR Active Contract December Futures |
03/2024 | 10 | $ | (2,387 | ) | $ | 46 | $ | 1 | $ | 0 | |||||||||||||||||
3‑Month SOFR Active Contract December Futures |
03/2025 | 4 | (967 | ) | 11 | 0 | 0 |
See Accompanying Notes | SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 57 |
Schedule of Investments | PIMCO Strategic Income Fund, Inc. | (Cont.) |
Description |
Expiration Month |
# of Contracts |
Notional Amount |
Unrealized Appreciation/ (Depreciation) |
Variation Margin | |||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||
3‑Month SOFR Active Contract December Futures |
03/2026 | 5 | $ | (1,210 | ) | $ | 13 | $ | 0 | $ | (1 | ) | ||||||||||||||||
3‑Month SOFR Active Contract June Futures |
09/2024 | 6 | (1,443 | ) | 20 | 0 | 0 | |||||||||||||||||||||
3‑Month SOFR Active Contract June Futures |
09/2025 | 4 | (968 | ) | 11 | 0 | (1 | ) | ||||||||||||||||||||
3‑Month SOFR Active Contract March Futures |
06/2024 | 7 | (1,678 | ) | 28 | 1 | 0 | |||||||||||||||||||||
3‑Month SOFR Active Contract March Futures |
06/2025 | 4 | (967 | ) | 11 | 0 | (1 | ) | ||||||||||||||||||||
3‑Month SOFR Active Contract March Futures |
06/2026 | 4 | (968 | ) | 10 | 0 | 0 | |||||||||||||||||||||
3‑Month SOFR Active Contract September Futures |
12/2024 | 6 | (1,448 | ) | 18 | 0 | 0 | |||||||||||||||||||||
3‑Month SOFR Active Contract September Futures |
12/2025 | 4 | (968 | ) | 10 | 0 | 0 | |||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||
Total Futures Contracts |
|
$ | 178 | $ | 2 | $ | (3 | ) | ||||||||||||||||||||
|
|
|
|
|
|
Reference Entity | Fixed Receive Rate |
Payment Frequency |
Maturity Date |
Implied Credit Spread at December 31, 2022(2) |
Notional Amount(3) |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Market Value(4) |
Variation Margin | |||||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||||||
Boeing Co. |
1.000 | % | Quarterly | 12/20/2024 | 1.077 | % | $ 600 | $ | (10 | ) | $ | 9 | $ | (1 | ) | $ | 0 | $ | 0 | |||||||||||||||||||
Boeing Co. |
1.000 | Quarterly | 06/20/2025 | 1.165 | 400 | (6 | ) | 5 | (1 | ) | 0 | 0 | ||||||||||||||||||||||||||
Boeing Co. |
1.000 | Quarterly | 12/20/2025 | 1.224 | 200 | (3 | ) | 2 | (1 | ) | 0 | 0 | ||||||||||||||||||||||||||
Boeing Co. |
1.000 | Quarterly | 06/20/2026 | 1.265 | 2,300 | (42 | ) | 24 | (18 | ) | 0 | 0 | ||||||||||||||||||||||||||
Boeing Co. |
1.000 | Quarterly | 06/20/2027 | 1.357 | 800 | (39 | ) | 28 | (11 | ) | 0 | 0 | ||||||||||||||||||||||||||
Rolls-Royce PLC |
1.000 | Quarterly | 06/20/2026 | 2.993 | EUR 300 | (26 | ) | 6 | (20 | ) | 0 | 0 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||
$ | (126 | ) | $ | 74 | $ | (52 | ) | $ | 0 | $ | 0 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
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 | |||||||||||||||||||||||||||||||||
iTraxx Asia Ex‑Japan 38 5‑Year Index |
1.000 | % | Quarterly | 12/20/2027 | $ | 4,100 | $ | (145 | ) | $ | 88 | $ | (57 | ) | $ | 2 | $ | 0 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
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 |
1‑Day GBP‑SONIO Compounded‑OIS |
0.750 | % | Annual | 09/21/2052 | GBP | 5,900 | $ | 680 | $ | 2,857 | $ | 3,537 | $ | 9 | $ | 0 | |||||||||||||||||||||||
Receive(5) |
1‑Day USD‑SOFR Compounded‑OIS |
2.450 | Annual | 12/20/2024 | $ | 8,800 | (1 | ) | 132 | 131 | 5 | 0 | ||||||||||||||||||||||||||||
Receive(5) |
1‑Day USD‑SOFR Compounded‑OIS |
2.350 | Annual | 01/17/2025 | 4,400 | 0 | 65 | 65 | 2 | 0 | ||||||||||||||||||||||||||||||
Receive(5) |
1‑Day USD‑SOFR Compounded‑OIS |
2.300 | Annual | 01/17/2026 | 700 | 0 | 17 | 17 | 1 | 0 | ||||||||||||||||||||||||||||||
Pay |
1‑Day USD‑SOFR Compounded‑OIS |
1.000 | Annual | 06/15/2027 | 11,200 | (763 | ) | (624 | ) | (1,387 | ) | 0 | (23 | ) | ||||||||||||||||||||||||||
Pay |
1‑Day USD‑SOFR Compounded‑OIS |
1.750 | Annual | 06/15/2027 | 28,200 | (1,308 | ) | (1,209 | ) | (2,517 | ) | 0 | (58 | ) | ||||||||||||||||||||||||||
Pay |
1‑Day USD‑SOFR Compounded‑OIS |
1.000 | Annual | 06/15/2029 | 2,810 | (113 | ) | (339 | ) | (452 | ) | 0 | (7 | ) | ||||||||||||||||||||||||||
Pay |
1‑Day USD‑SOFR Compounded‑OIS |
1.750 | Annual | 06/15/2029 | 72,900 | (5,212 | ) | (3,138 | ) | (8,350 | ) | 0 | (221 | ) | ||||||||||||||||||||||||||
Pay |
1‑Day USD‑SOFR Compounded‑OIS |
1.750 | Annual | 06/15/2029 | 490 | (53 | ) | (3 | ) | (56 | ) | 0 | (1 | ) | ||||||||||||||||||||||||||
Pay |
1‑Day USD‑SOFR Compounded‑OIS |
2.000 | Annual | 12/21/2029 | 13,700 | (1,410 | ) | 38 | (1,372 | ) | 0 | (27 | ) | |||||||||||||||||||||||||||
Receive |
1‑Day USD‑SOFR Compounded‑OIS |
1.250 | Annual | 06/15/2032 | 112,370 | 8,956 | 12,517 | 21,473 | 206 | (26 | ) | |||||||||||||||||||||||||||||
Receive |
1‑Day USD‑SOFR Compounded‑OIS |
1.750 | Annual | 06/15/2032 | 46,980 | 1,980 | 5,065 | 7,045 | 163 | 0 | ||||||||||||||||||||||||||||||
Pay |
1‑Day USD‑SOFR Compounded‑OIS |
1.750 | Annual | 06/15/2032 | 880 | (39 | ) | (93 | ) | (132 | ) | 0 | (2 | ) | ||||||||||||||||||||||||||
Pay |
1‑Day USD‑SOFR Compounded‑OIS |
2.000 | Annual | 12/21/2032 | 12,400 | (1,625 | ) | 3 | (1,622 | ) | 0 | (36 | ) | |||||||||||||||||||||||||||
Pay |
1‑Day USD‑SOFR Compounded‑OIS |
1.500 | Annual | 06/15/2052 | 2,800 | (106 | ) | (810 | ) | (916 | ) | 0 | (11 | ) | ||||||||||||||||||||||||||
Receive |
1‑Day USD‑SOFR Compounded‑OIS |
1.750 | Annual | 06/15/2052 | 6,900 | 1,128 | 759 | 1,887 | 0 | (10 | ) | |||||||||||||||||||||||||||||
Receive |
1‑Year BRL‑CDI |
11.788 | Maturity | 01/04/2027 | BRL | 40,300 | 0 | 153 | 153 | 0 | 0 | |||||||||||||||||||||||||||||
Pay |
1‑Year BRL‑CDI |
12.015 | Maturity | 01/04/2027 | 39,700 | 0 | (120 | ) | (120 | ) | 0 | 0 | ||||||||||||||||||||||||||||
Pay |
3‑Month CAD‑Bank Bill |
3.300 | Semi‑Annual | 06/19/2024 | CAD | 11,200 | 624 | (798 | ) | (174 | ) | 0 | (3 | ) | ||||||||||||||||||||||||||
Receive |
3‑Month CAD‑Bank Bill |
3.500 | Semi-Annual | 06/20/2044 | 1,300 | (183 | ) | 238 | 55 | 6 | 0 | |||||||||||||||||||||||||||||
Receive |
3‑Month USD‑LIBOR |
1.000 | Semi-Annual | 06/17/2023 | $ | 3,400 | (76 | ) | 144 | 68 | 2 | 0 | ||||||||||||||||||||||||||||
Receive |
3‑Month USD‑LIBOR |
0.500 | Semi-Annual | 12/15/2023 | 85,300 | (3 | ) | 3,857 | 3,854 | 70 | 0 | |||||||||||||||||||||||||||||
Receive |
3‑Month USD‑LIBOR |
3.000 | Semi-Annual | 06/19/2024 | 32,500 | (1,241 | ) | 2,175 | 934 | 32 | 0 | |||||||||||||||||||||||||||||
Receive |
3‑Month USD‑LIBOR |
1.500 | Semi-Annual | 12/18/2024 | 14,000 | 46 | 819 | 865 | 20 | 0 | ||||||||||||||||||||||||||||||
Receive |
3‑Month USD‑LIBOR |
2.000 | Semi-Annual | 06/20/2025 | 8,400 | 399 | 101 | 500 | 13 | 0 | ||||||||||||||||||||||||||||||
Receive |
3‑Month USD‑LIBOR |
1.350 | Semi-Annual | 01/20/2027 | 3,200 | 0 | 337 | 337 | 4 | 0 | ||||||||||||||||||||||||||||||
Receive |
3‑Month USD‑LIBOR |
1.360 | Semi-Annual | 02/15/2027 | 2,130 | 0 | 223 | 223 | 3 | 0 | ||||||||||||||||||||||||||||||
Receive |
3‑Month USD‑LIBOR |
1.450 | Semi-Annual | 02/17/2027 | 3,500 | 0 | 354 | 354 | 5 | 0 | ||||||||||||||||||||||||||||||
Receive |
3‑Month USD‑LIBOR |
1.420 | Semi-Annual | 02/24/2027 | 1,000 | 0 | 102 | 102 | 2 | 0 | ||||||||||||||||||||||||||||||
Pay |
3‑Month USD‑LIBOR |
1.650 | Semi-Annual | 02/24/2027 | 3,400 | (12 | ) | (303 | ) | (315 | ) | 0 | (5 | ) | ||||||||||||||||||||||||||
Receive |
3‑Month USD‑LIBOR |
1.420 | Semi-Annual | 08/17/2028 | 3,800 | 0 | 489 | 489 | 7 | 0 |
58 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
December 31, 2022 | (Unaudited) |
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 |
3‑Month USD‑LIBOR |
1.370 | % | Semi‑Annual | 08/25/2028 | $ | 11,363 | $ | 0 | $ | 1,491 | $ | 1,491 | $ | 22 | $ | 0 | |||||||||||||||||||||||
Pay |
3‑Month USD‑LIBOR |
1.500 | Semi-Annual | 12/15/2028 | 7,141 | 126 | (1,064 | ) | (938 | ) | 0 | (15 | ) | |||||||||||||||||||||||||||
Receive |
3‑Month USD‑LIBOR |
1.500 | Semi-Annual | 01/12/2029 | 2,365 | 0 | 313 | 313 | 4 | 0 | ||||||||||||||||||||||||||||||
Pay |
3‑Month USD‑LIBOR |
1.700 | Semi-Annual | 01/12/2029 | 8,600 | (33 | ) | (1,005 | ) | (1,038 | ) | 0 | (16 | ) | ||||||||||||||||||||||||||
Pay |
3‑Month USD‑LIBOR |
3.000 | Semi-Annual | 06/19/2029 | 44,200 | 3,508 | (5,776 | ) | (2,268 | ) | 12 | 0 | ||||||||||||||||||||||||||||
Pay |
3‑Month USD‑LIBOR |
1.500 | Semi-Annual | 12/18/2029 | 4,500 | (68 | ) | (596 | ) | (664 | ) | 0 | (10 | ) | ||||||||||||||||||||||||||
Receive |
3‑Month USD‑LIBOR |
1.000 | Semi-Annual | 12/16/2030 | 4,805 | 28 | 923 | 951 | 11 | 0 | ||||||||||||||||||||||||||||||
Receive |
3‑Month USD‑LIBOR |
1.750 | Semi-Annual | 12/15/2031 | 12,200 | (187 | ) | 2,142 | 1,955 | 23 | 0 | |||||||||||||||||||||||||||||
Receive |
3‑Month USD‑LIBOR |
2.000 | Semi-Annual | 01/15/2050 | 4,400 | (32 | ) | 1,233 | 1,201 | 21 | 0 | |||||||||||||||||||||||||||||
Receive |
3‑Month USD‑LIBOR |
1.750 | Semi-Annual | 01/22/2050 | 4,100 | (9 | ) | 1,313 | 1,304 | 19 | 0 | |||||||||||||||||||||||||||||
Receive |
3‑Month USD‑LIBOR |
1.875 | Semi-Annual | 02/07/2050 | 1,400 | (5 | ) | 419 | 414 | 7 | 0 | |||||||||||||||||||||||||||||
Receive |
3‑Month USD‑LIBOR |
1.250 | Semi-Annual | 12/16/2050 | 5,700 | 576 | 1,769 | 2,345 | 27 | 0 | ||||||||||||||||||||||||||||||
Receive |
3‑Month USD‑LIBOR |
1.450 | Semi-Annual | 04/07/2051 | 3,500 | 0 | 1,331 | 1,331 | 19 | 0 | ||||||||||||||||||||||||||||||
Pay |
3‑Month USD‑LIBOR |
1.650 | Semi-Annual | 04/08/2051 | 2,100 | 0 | (722 | ) | (722 | ) | 0 | (12 | ) | |||||||||||||||||||||||||||
Receive |
6‑Month EUR‑EURIBOR |
0.260 | Annual | 09/06/2024 | EUR | 15,100 | 2 | 854 | 856 | 19 | 0 | |||||||||||||||||||||||||||||
Receive |
6‑Month EUR‑EURIBOR |
0.500 | Annual | 09/21/2052 | 3,500 | 303 | 1,238 | 1,541 | 30 | 0 | ||||||||||||||||||||||||||||||
Receive(5) |
6‑Month EUR‑EURIBOR |
0.830 | Annual | 12/09/2052 | 3,000 | 7 | 89 | 96 | 4 | 0 | ||||||||||||||||||||||||||||||
Pay |
28‑Day MXN‑TIIE |
4.550 | Lunar | 02/27/2023 | MXN | 59,400 | 7 | (52 | ) | (45 | ) | 0 | (2 | ) | ||||||||||||||||||||||||||
Pay |
28‑Day MXN‑TIIE |
4.500 | Lunar | 03/03/2023 | 39,200 | (1 | ) | (29 | ) | (30 | ) | 0 | (1 | ) | ||||||||||||||||||||||||||
Receive |
28‑Day MXN‑TIIE |
8.320 | Lunar | 03/30/2023 | 99,300 | 0 | 39 | 39 | 1 | 0 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
$ | 5,890 | $ | 26,918 | $ | 32,808 | $ | 769 | $ | (486 | ) | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
Total Swap Agreements |
|
$ | 5,619 | $ | 27,080 | $ | 32,699 | $ | 771 | $ | (486 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
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 | $ | 2 | $ | 771 | $ | 773 | $ | 0 | $ | (3) | $ | (486) | $ | (489) | ||||||||||||||||||||
|
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|
|
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|
|
|
|
|
|
|
|
|
(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. |
Counterparty | Settlement Month |
Currency to be Delivered |
Currency to be Received |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||
BOA |
01/2023 | EUR | 1,722 | $ | 1,810 | $ | 0 | $ | (34 | ) | ||||||||||||||
01/2023 | GBP | 324 | 392 | 0 | 0 | |||||||||||||||||||
01/2023 | $ | 447 | GBP | 366 | 0 | (4 | ) | |||||||||||||||||
01/2023 | 18 | HUF | 8,012 | 4 | 0 | |||||||||||||||||||
02/2023 | PEN | 669 | $ | 170 | 0 | (5 | ) | |||||||||||||||||
BPS |
01/2023 | $ | 264 | EUR | 248 | 1 | 0 |
See Accompanying Notes | SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 59 |
Schedule of Investments | PIMCO Strategic Income Fund, Inc. | (Cont.) |
Counterparty | Settlement Month |
Currency to be Delivered |
Currency to be Received |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||
03/2023 | PEN | 1,127 | $ | 290 | $ | 0 | $ | (5 | ) | |||||||||||||||
CBK |
01/2023 | EUR | 1,646 | 1,749 | 0 | (14 | ) | |||||||||||||||||
01/2023 | PEN | 140 | 35 | 0 | (2 | ) | ||||||||||||||||||
01/2023 | $ | 853 | BRL | 4,474 | 0 | (5 | ) | |||||||||||||||||
01/2023 | 139 | EUR | 131 | 1 | 0 | |||||||||||||||||||
01/2023 | 108 | PEN | 435 | 6 | 0 | |||||||||||||||||||
02/2023 | BRL | 7,165 | $ | 1,328 | 0 | (22 | ) | |||||||||||||||||
03/2023 | PEN | 562 | 145 | 0 | (2 | ) | ||||||||||||||||||
04/2023 | $ | 209 | PEN | 825 | 6 | 0 | ||||||||||||||||||
05/2023 | PEN | 705 | $ | 178 | 0 | (6 | ) | |||||||||||||||||
GLM |
01/2023 | BRL | 4,474 | 839 | 0 | (8 | ) | |||||||||||||||||
01/2023 | ZAR | 97 | 5 | 0 | 0 | |||||||||||||||||||
04/2023 | MXN | 766 | 38 | 0 | 0 | |||||||||||||||||||
04/2023 | $ | 825 | BRL | 4,474 | 8 | 0 | ||||||||||||||||||
05/2023 | 492 | PEN | 1,959 | 18 | 0 | |||||||||||||||||||
05/2023 | ZAR | 295 | $ | 18 | 0 | 0 | ||||||||||||||||||
JPM |
01/2023 | GBP | 3,696 | 4,463 | 0 | (6 | ) | |||||||||||||||||
MBC |
01/2023 | CAD | 257 | 192 | 2 | 0 | ||||||||||||||||||
01/2023 | EUR | 17,693 | 18,550 | 0 | (398 | ) | ||||||||||||||||||
01/2023 | $ | 103 | EUR | 97 | 1 | 0 | ||||||||||||||||||
RBC |
03/2023 | 1 | MXN | 11 | 0 | 0 | ||||||||||||||||||
04/2023 | MXN | 2,663 | $ | 128 | 0 | (6 | ) | |||||||||||||||||
SCX |
01/2023 | $ | 253 | EUR | 238 | 2 | 0 | |||||||||||||||||
UAG |
01/2023 | 249 | GBP | 201 | 0 | (6 | ) | |||||||||||||||||
|
|
|
|
|||||||||||||||||||||
Total Forward Foreign Currency Contracts |
|
$ | 49 | $ | (523 | ) | ||||||||||||||||||
|
|
|
|
Counterparty | Reference Entity | Fixed Receive Rate |
Payment Frequency |
Maturity Date |
Implied Credit Spread at December 31, 2022(2) |
Notional Amount(3) |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Swap Agreements, at Value(4) |
|||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||||
GST | Equinix, Inc. |
5.000% | Quarterly | 06/20/2027 | 1.569% | $ | 500 | $ | 70 | $ | (1 | ) | $ | 69 | $ | 0 | ||||||||||||||||||||
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|||||||||||||||||||||||||||||
Total Swap Agreements |
$ | 70 | $ | (1 | ) | $ | 69 | $ | 0 | |||||||||||||||||||||||||||
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|
|
|
|
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 |
$ | 4 | $ | 0 | $ | 0 | $ | 4 | $ | (43 | ) | $ | 0 | $ | 0 | $ | (43 | ) | $ | (39 | ) | $ | 0 | $ | (39 | ) | ||||||||||||||||||||||
BPS |
1 | 0 | 0 | 1 | (5 | ) | 0 | 0 | (5 | ) | (4 | ) | 0 | (4 | ) | |||||||||||||||||||||||||||||||||
CBK |
13 | 0 | 0 | 13 | (51 | ) | 0 | 0 | (51 | ) | (38 | ) | 0 | (38 | ) | |||||||||||||||||||||||||||||||||
GLM |
26 | 0 | 0 | 26 | (8 | ) | 0 | 0 | (8 | ) | 18 | 0 | 18 | |||||||||||||||||||||||||||||||||||
GST |
0 | 0 | 69 | 69 | 0 | 0 | 0 | 0 | 69 | 0 | 69 | |||||||||||||||||||||||||||||||||||||
JPM |
0 | 0 | 0 | 0 | (6 | ) | 0 | 0 | (6 | ) | (6 | ) | 0 | (6 | ) | |||||||||||||||||||||||||||||||||
MBC |
3 | 0 | 0 | 3 | (398 | ) | 0 | 0 | (398 | ) | (395 | ) | 301 | (94 | ) | |||||||||||||||||||||||||||||||||
RBC |
0 | 0 | 0 | 0 | (6 | ) | 0 | 0 | (6 | ) | (6 | ) | 0 | (6 | ) | |||||||||||||||||||||||||||||||||
SCX |
2 | 0 | 0 | 2 | 0 | 0 | 0 | 0 | 2 | 0 | 2 | |||||||||||||||||||||||||||||||||||||
UAG |
0 | 0 | 0 | 0 | (6 | ) | 0 | 0 | (6 | ) | (6 | ) | 0 | (6 | ) | |||||||||||||||||||||||||||||||||
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|
|
|||||||||||||||||||||||||||||||||
Total Over the Counter |
$ | 49 | $ | 0 | $ | 69 | $ | 118 | $ | (523 | ) | $ | 0 | $ | 0 | $ | (523 | ) | ||||||||||||||||||||||||||||||
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(n) | Securities with an aggregate market value of $301 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 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. |
60 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
December 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) | 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 | | | DECEMBER 31, 2022 | 61 |
Schedule of Investments | PIMCO Strategic Income Fund, Inc. | (Cont.) |
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Exchange Contracts |
Interest Rate Contracts |
Total | |||||||||||||||||||
Over the counter |
| |||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | (1,603 | ) | $ | 0 | $ | (1,603 | ) | ||||||||||
Swap Agreements |
0 | (1 | ) | 0 | 0 | 0 | (1 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | (1 | ) | $ | 0 | $ | (1,603 | ) | $ | 0 | $ | (1,604 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 295 | $ | 0 | $ | (1,603 | ) | $ | 6,382 | $ | 5,074 | ||||||||||||
|
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|
|
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2022 |
||||||||||||
Investments in Securities, at Value |
| |||||||||||||||
Loan Participations and Assignments |
$ | 0 | $ | 26,345 | $ | 8,591 | $ | 34,936 | ||||||||
Corporate Bonds & Notes |
| |||||||||||||||
Banking & Finance |
0 | 27,062 | 0 | 27,062 | ||||||||||||
Industrials |
0 | 55,263 | 0 | 55,263 | ||||||||||||
Utilities |
0 | 9,646 | 0 | 9,646 | ||||||||||||
Municipal Bonds & Notes |
| |||||||||||||||
California |
0 | 1,769 | 0 | 1,769 | ||||||||||||
Illinois |
0 | 66 | 0 | 66 | ||||||||||||
Puerto Rico |
0 | 479 | 0 | 479 | ||||||||||||
West Virginia |
0 | 1,884 | 0 | 1,884 | ||||||||||||
U.S. Government Agencies |
0 | 107,538 | 0 | 107,538 | ||||||||||||
Non‑Agency Mortgage-Backed Securities |
0 | 54,808 | 0 | 54,808 | ||||||||||||
Asset-Backed Securities |
0 | 11,363 | 6,665 | 18,028 | ||||||||||||
Sovereign Issues |
0 | 2,645 | 0 | 2,645 | ||||||||||||
Common Stocks |
| |||||||||||||||
Communication Services |
724 | 0 | 292 | 1,016 | ||||||||||||
Consumer Staples |
62 | 0 | 0 | 62 | ||||||||||||
Energy |
437 | 0 | 15 | 452 | ||||||||||||
Financials |
666 | 0 | 2,368 | 3,034 | ||||||||||||
Industrials |
0 | 0 | 6,541 | 6,541 | ||||||||||||
Rights |
| |||||||||||||||
Financials |
0 | 0 | 71 | 71 | ||||||||||||
Warrants |
| |||||||||||||||
Financials |
0 | 0 | 79 | 79 | ||||||||||||
Information Technology |
0 | 0 | 568 | 568 | ||||||||||||
Preferred Securities |
| |||||||||||||||
Banking & Finance |
0 | 7,038 | 0 | 7,038 |
Category and Subcategory | Beginning Balance at 06/30/2022 |
Net Purchases |
Net Sales/ Settlements |
Accrued Discounts/ (Premiums) |
Realized Gain/(Loss) |
Net Change in Unrealized Appreciation/ (Depreciation)(1) |
Transfers into Level 3 |
Transfers out of Level 3 |
Ending Balance at 12/31/2022 |
Net Change in Unrealized Appreciation/ (Depreciation) on Investments Held at 12/31/2022(1) |
||||||||||||||||||||||||||||||
Investments in Securities, at Value |
| |||||||||||||||||||||||||||||||||||||||
Loan Participations and Assignments |
$ | 12,340 | $ | 2,557 | $ | (451 | ) | $ | (147 | ) | $ | (25 | ) | $ | (410 | ) | $ | 4,665 | $ | (9,938 | ) | $ | 8,591 | $ | 96 | |||||||||||||||
Corporate Bonds & Notes |
| |||||||||||||||||||||||||||||||||||||||
Banking & Finance |
2,899 | 0 | (2,808 | ) | 0 | 208 | (299 | ) | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||||
Industrials |
14,118 | 235 | 0 | 27 | 0 | (807 | ) | 0 | (13,573 | ) | 0 | 0 | ||||||||||||||||||||||||||||
Asset-Backed Securities |
8,827 | 0 | 0 | 0 | 0 | (2,162 | ) | 0 | 0 | 6,665 | (2,162 | ) | ||||||||||||||||||||||||||||
Common Stocks |
| |||||||||||||||||||||||||||||||||||||||
Communication Services |
376 | 0 | 0 | 0 | 0 | (84 | ) | 0 | 0 | 292 | (84 | ) | ||||||||||||||||||||||||||||
Energy |
6 | 0 | 0 | 0 | 0 | 9 | 0 | 0 | 15 | 9 | ||||||||||||||||||||||||||||||
Financials |
2,763 | 0 | 0 | 0 | 0 | (395 | ) | 0 | 0 | 2,368 | (395 | ) | ||||||||||||||||||||||||||||
Industrials |
6,400 | 51 | 0 | 0 | 0 | 90 | 0 | 0 | 6,541 | 90 | ||||||||||||||||||||||||||||||
Materials |
92 | 0 | (101 | ) | 0 | 101 | (92 | ) | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||||
Rights |
| |||||||||||||||||||||||||||||||||||||||
Financials |
50 | 0 | 0 | 0 | 0 | 21 | 0 | 0 | 71 | 21 |
62 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
December 31, 2022 | (Unaudited) |
Category and Subcategory | Beginning Balance at 06/30/2022 |
Net Purchases |
Net Sales/ Settlements |
Accrued Discounts/ (Premiums) |
Realized Gain/(Loss) |
Net Change in Unrealized Appreciation/ (Depreciation)(1) |
Transfers into Level 3 |
Transfers out of Level 3 |
Ending Balance at 12/31/2022 |
Net Change in Unrealized Appreciation/ (Depreciation) on Investments Held at 12/31/2022(1) |
||||||||||||||||||||||||||||||
Warrants |
| |||||||||||||||||||||||||||||||||||||||
Financials |
$ | 54 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 25 | $ | 0 | $ | 0 | $ | 79 | $ | 25 | ||||||||||||||||||||
Information Technology |
598 | 0 | 0 | 0 | 0 | (30 | ) | 0 | 0 | 568 | (30 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Totals |
$ | 48,523 | $ | 2,843 | $ | (3,360 | ) | $ | (120 | ) | $ | 284 | $ | (4,134 | ) | $ | 4,665 | $ | (23,511 | ) | $ | 25,190 | $ | (2,430 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Category and Subcategory | Ending Balance at 12/31/2022 |
Valuation Technique |
Unobservable Inputs |
(% Unless Noted Otherwise) | ||||||||||||||||
Input Value(s) | Weighted Average |
|||||||||||||||||||
Investments in Securities, at Value |
| |||||||||||||||||||
Loan Participations and Assignments |
$ | 1,712 | Discounted Cash Flow | Discount Rate | 9.500 | — | ||||||||||||||
2,214 | Discounted Cash Flow | Discount Spread | 9.080 | — | ||||||||||||||||
4,665 | Third Party Vendor | Broker Quote | 86.000-87.500 | 86.377 | ||||||||||||||||
Asset-Backed Securities |
6,665 | Discounted Cash Flow | Discount Rate | 10.000-16.000 | 13.037 | |||||||||||||||
Common Stocks |
| |||||||||||||||||||
Communication Services |
292 | Reference Instrument | Stock Price W/Liquidity Discount | 10.000 | — | |||||||||||||||
Energy |
15 | Market Comparable Valuation | EBITDA Multiple | X | 4.600 | — | ||||||||||||||
Financials |
2,368 | Indicative Market Quotation | Price | $ | 24.000 | — | ||||||||||||||
Industrials |
5,783 | Market Comparable Valuation / Discounted Cash Flow |
Revenue | EBITDA Multiple / Discount Rate |
X/% | 0.620|6.160/10.000 | — | ||||||||||||||
757 | Discounted Cash Flow | Discount Rate | 11.590 | — | ||||||||||||||||
1 | Indicative Market Quotation | Price | $ | 7.500 | — | |||||||||||||||
Rights |
| |||||||||||||||||||
Financials |
71 | Other Valuation Techniques(2) | — | — | — | |||||||||||||||
Warrants |
| |||||||||||||||||||
Financials |
2 | Indicative Market Quotation | Price | $ | 2.000-3.500 | 3.304 | ||||||||||||||
77 | Other Valuation Techniques(2) | — | — | — | ||||||||||||||||
Information Technology |
568 | Market Comparable Valuation | EBITDA Multiple | X | 4.500 | — | ||||||||||||||
|
|
|||||||||||||||||||
Total |
$ | 25,190 | ||||||||||||||||||
|
|
(1) | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at December 31, 2022 may be due to an investment no longer held or categorized as Level 3 at period end. |
(2) | Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not considered significant to the Fund. |
See Accompanying Notes | SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 63 |
Consolidated Schedule of Investments | PIMCO Access Income Fund |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
INVESTMENTS IN SECURITIES 180.5% | | |||||||||||
LOAN PARTICIPATIONS AND ASSIGNMENTS 38.5% | | |||||||||||
AmSurg LLC |
| |||||||||||
TBD% due 04/29/2027 µ |
$ | 1,862 | $ | 1,822 | ||||||||
AP Core Holdings LLC |
| |||||||||||
9.884% (LIBOR01M + 5.500%) due 09/01/2027 ~ |
12,044 | 10,896 | ||||||||||
Carnival Corp. |
| |||||||||||
5.648% (EUR001M + 3.750%) due 06/30/2025 ~ |
EUR | 8,382 | 8,649 | |||||||||
Comexposium |
| |||||||||||
1.138% - 5.452% (EUR003M + 3.250%) due 03/28/2025 «~ |
3,392 | 2,996 | ||||||||||
4.969% (EUR001Y + 4.000%) due 03/28/2026 ~ |
18,708 | 16,788 | ||||||||||
Coty, Inc. |
| |||||||||||
4.019% (EUR001M + 2.500%) due 04/07/2025 ~ |
9,560 | 9,894 | ||||||||||
Diamond Sports Group LLC |
| |||||||||||
12.317% due 05/25/2026 |
$ | 15,258 | 14,499 | |||||||||
Diebold, Inc. |
| |||||||||||
5.730% - 7.480% (LIBOR03M + 2.750%) due 11/06/2023 ~ |
2,789 | 1,975 | ||||||||||
DirecTV Financing LLC |
| |||||||||||
9.384% (LIBOR01M + 5.000%) due 08/02/2027 ~ |
9,517 | 9,286 | ||||||||||
Envision Healthcare Corp. |
| |||||||||||
12.119% due 04/29/2027 |
10,238 | 10,021 | ||||||||||
15.744% due 04/28/2028 |
25,093 | 20,534 | ||||||||||
Instant Brands Holdings, Inc. |
| |||||||||||
9.735% (LIBOR03M + 5.000%) due 04/12/2028 ~ |
8,934 | 6,039 | ||||||||||
Kiwi VFS Sub SARL |
| |||||||||||
9.202% (EUR003M + 7.000%) due 05/16/2029 «~ |
EUR | 6,160 | 6,620 | |||||||||
10.927% due 05/16/2029 « |
GBP | 1,165 | 1,408 | |||||||||
Market Bidco Ltd. |
| |||||||||||
6.552% (EUR003M + 4.750%) due 07/31/2028 ~ |
EUR | 8,643 | 8,165 | |||||||||
NAC Aviation 29 DAC |
| |||||||||||
4.008% due 06/30/2026 |
$ | 4,833 | 4,053 | |||||||||
Oi SA |
| |||||||||||
TBD% due 02/26/2035 « |
7,764 | 2,718 | ||||||||||
Poseidon Bidco SASU |
| |||||||||||
7.452% (EUR003M + 5.250%) due 07/14/2028 «~ |
EUR | 8,800 | 8,116 | |||||||||
Profrac Services LLC |
| |||||||||||
11.105% due 03/31/2023 « |
$ | 8,094 | 8,012 | |||||||||
11.105% due 03/04/2025 « |
8,185 | 8,472 | ||||||||||
Promotora de Informaciones SA |
| |||||||||||
TBD% due 06/30/2026 « |
EUR | 16,000 | 16,956 | |||||||||
6.708% (EUR003M + 5.250%) due 12/31/2026 «~ |
3,208 | 2,953 | ||||||||||
PUG LLC |
| |||||||||||
7.884% (LIBOR01M + 3.500%) due 02/12/2027 ~ |
$ | 898 | 747 | |||||||||
Rising Tide Holdings, Inc. |
| |||||||||||
12.985% (LIBOR03M + 8.250%) due 05/25/2029 «~ |
6,500 | 2,437 | ||||||||||
Sigma Bidco BV |
| |||||||||||
3.738% (EUR006M + 3.500%) due 07/02/2025 ~ |
EUR | 7,500 | 6,995 | |||||||||
Steenbok Lux Finco 2 SARL |
| |||||||||||
1TBD% (LIBOR06M + 10.000%) due 06/30/2023 ~ |
4,415 | 2,115 | ||||||||||
Steenbok Lux Finco 2 SARL (10.750% PIK) |
| |||||||||||
10.750% (EUR006M) due 06/30/2023 ~(b) |
17,786 | 12,249 | ||||||||||
Syniverse Holdings, Inc. |
| |||||||||||
11.580% due 05/13/2027 |
$ | 18,041 | 15,831 | |||||||||
Team Health Holdings, Inc. |
| |||||||||||
7.134% (LIBOR01M + 2.750%) due 02/06/2024 ~ |
16,139 | 13,879 | ||||||||||
9.573% due 03/02/2027 |
1,535 | 1,162 |
64 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
December 31, 2022 | (Unaudited) |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
Ashford Hospitality Trust |
| |||||||||||
7.068% due 06/15/2035 •(j) |
$ | 1,000 | $ | 946 | ||||||||
7.418% due 04/15/2035 •(j) |
14,536 | 13,337 | ||||||||||
Atrium Hotel Portfolio Trust |
| |||||||||||
7.718% due 06/15/2035 ~(j) |
6,223 | 5,745 | ||||||||||
BAMLL Commercial Mortgage Securities Trust |
| |||||||||||
6.828% due 03/15/2037 • |
2,000 | 1,845 | ||||||||||
7.028% due 03/15/2037 •(j) |
3,000 | 2,751 | ||||||||||
Barclays Commercial Mortgage Securities Trust |
| |||||||||||
3.688% due 02/15/2053 ~(j) |
4,785 | 3,045 | ||||||||||
Barclays Commercial Real Estate Trust |
| |||||||||||
4.563% due 08/10/2033 ~(j) |
5,245 | 4,389 | ||||||||||
BCAP LLC Trust |
| |||||||||||
1.696% due 11/27/2036 ~ |
38,346 | 8,919 | ||||||||||
3.135% due 04/25/2038 ~ |
3,556 | 2,717 | ||||||||||
Beast Mortgage Trust |
| |||||||||||
7.768% due 03/15/2036 •(j) |
6,750 | 5,448 | ||||||||||
8.768% due 03/15/2036 •(j) |
2,500 | 1,945 | ||||||||||
Benchmark Mortgage Trust |
| |||||||||||
3.440% due 08/15/2052 ~(j) |
8,600 | 7,613 | ||||||||||
Beneria Cowen & Pritzer Collateral Funding Corp. |
| |||||||||||
7.956% due 06/15/2038 ~(j) |
5,500 | 4,530 | ||||||||||
BMO Mortgage Trust |
| |||||||||||
3.269% due 02/17/2055 ~(j) |
9,615 | 7,870 | ||||||||||
3.939% due 02/17/2055 ~(j) |
11,000 | 6,963 | ||||||||||
Braemar Hotels & Resorts Trust |
| |||||||||||
6.718% due 06/15/2035 •(j) |
8,500 | 7,849 | ||||||||||
BSST Mortgage Trust |
| |||||||||||
9.836% due 02/15/2037 •(j) |
8,800 | 7,789 | ||||||||||
10.836% due 02/15/2037 •(j) |
1,500 | 1,331 | ||||||||||
BX Trust |
| |||||||||||
6.318% due 11/15/2032 ~(j) |
2,625 | 2,489 | ||||||||||
6.555% due 10/15/2036 •(j) |
4,000 | 3,728 | ||||||||||
7.238% due 05/15/2030 •(j) |
3,754 | 3,531 | ||||||||||
Canada Square Funding PLC |
| |||||||||||
5.875% due 12/17/2057 ~ |
GBP | 2,000 | 2,301 | |||||||||
Chester B1 Issuer PLC |
| |||||||||||
4.885% (SONIO/N + 2.000%) due 01/17/2058 ~ |
600 | 720 | ||||||||||
Citigroup Commercial Mortgage Trust |
| |||||||||||
7.243% due 12/15/2036 •(j) |
$ | 585 | 556 | |||||||||
8.093% due 12/15/2036 ~(j) |
3,400 | 3,184 | ||||||||||
COLT Mortgage Loan Trust |
| |||||||||||
4.800% due 03/25/2067 ~(j) |
7,200 | 6,129 | ||||||||||
Connecticut Avenue Securities Trust |
| |||||||||||
9.178% due 03/25/2042 ~ |
2,000 | 2,006 | ||||||||||
13.428% due 03/25/2042 •(j) |
5,200 | 5,030 | ||||||||||
Countrywide Home Loan Mortgage Pass-Through Trust |
| |||||||||||
6.500% due 01/25/2038 |
14,339 | 7,018 | ||||||||||
Credit Suisse Mortgage Capital Trust |
| |||||||||||
7.618% due 07/15/2032 •(j) |
12,000 | 10,959 | ||||||||||
DBGS Mortgage Trust |
| |||||||||||
6.368% due 06/15/2033 ~(j) |
15,000 | 12,083 | ||||||||||
DOLP Trust |
| |||||||||||
3.704% due 05/10/2041 ~(j) |
13,500 | 8,152 | ||||||||||
Extended Stay America Trust |
| |||||||||||
8.018% due 07/15/2038 ~(j) |
11,392 | 10,726 | ||||||||||
Freddie Mac |
| |||||||||||
6.578% due 01/25/2051 • |
620 | 559 | ||||||||||
6.928% due 12/25/2050 ~ |
760 | 715 | ||||||||||
6.978% due 01/25/2034 • |
855 | 783 | ||||||||||
7.678% due 02/25/2042 •(j) |
5,200 | 4,907 | ||||||||||
8.678% due 02/25/2042 ~ |
1,700 | 1,560 | ||||||||||
9.428% due 01/25/2034 • |
900 | 710 | ||||||||||
12.428% due 02/25/2042 ~ |
800 | 663 | ||||||||||
GS Mortgage Securities Corp. Trust |
| |||||||||||
6.918% due 08/15/2032 •(j) |
5,000 | 4,721 | ||||||||||
GSMSC Resecuritization Trust |
| |||||||||||
4.626% due 11/26/2037 |
18,130 | 15,793 | ||||||||||
Harbour PLC |
| |||||||||||
6.044% due 01/28/2054 • |
GBP | 10,416 | 11,410 | |||||||||
Hilton Orlando Trust |
| |||||||||||
7.218% due 12/15/2034 ~(j) |
$ | 2,000 | 1,919 | |||||||||
HPLY Trust |
| |||||||||||
7.468% due 11/15/2036 •(j) |
7,744 | 7,334 |
See Accompanying Notes | SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 65 |
Consolidated Schedule of Investments | PIMCO Access Income Fund | (Cont.) |
* | 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) | Payment in‑kind security. |
(c) | Security is not accruing income as of the date of this report. |
(d) | Security did not produce income within the last twelve months. |
(e) | Coupon represents a weighted average yield to maturity. |
(f) | Zero coupon security. |
(g) | Perpetual maturity; date shown, if applicable, represents next contractual call date. |
Issuer Description | Acquisition Date |
Cost | Market Value |
Market Value as Percentage of Net Assets |
||||||||||||
ADLER Group SA 12.500% due 07/31/2025 |
12/22/2022 | $ | 10,076 | $ | 10,076 | 1.46% | ||||||||||
Syniverse Holdings, Inc. |
05/12/2022 ‑ 11/30/2022 | 8,722 | 8,542 | 1.24% | ||||||||||||
|
|
|
|
|
|
|||||||||||
$ | 18,798 | $ | 18,618 | 2.70% | ||||||||||||
|
|
|
|
|
|
Counterparty | Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By | Collateral (Received) |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received(1) |
||||||||||||||||||||||
BPS | 4.100 | % | 12/30/2022 | 01/03/2023 | $ | 43,500 | U.S. Treasury Notes 0.750% due 03/31/2026 | $ | (44,397 | ) | $ | 43,500 | $ | 43,520 | ||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
Total Repurchase Agreements |
|
$ | (44,397 | ) | $ | 43,500 | $ | 43,520 | ||||||||||||||||||||||
|
|
|
|
|
|
66 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
December 31, 2022 | (Unaudited) |
Counterparty | Borrowing Rate(2) |
Settlement Date |
Maturity Date |
Amount Borrowed(2) |
Payable for Reverse Repurchase Agreements |
|||||||||||||||||||
BOS |
5.360 | % | 10/28/2022 | 02/28/2023 | $ | (4,150 | ) | $ | (4,191 | ) | ||||||||||||||
BPS |
2.200 | 12/21/2022 | TBD | (3) | EUR | (14,151 | ) | (15,159 | ) | |||||||||||||||
3.760 | 12/05/2022 | 02/13/2023 | $ | (727 | ) | (729 | ) | |||||||||||||||||
4.450 | 09/22/2022 | 01/23/2023 | (4,639 | ) | (4,698 | ) | ||||||||||||||||||
4.600 | 10/19/2022 | 01/19/2023 | (28,587 | ) | (28,865 | ) | ||||||||||||||||||
4.970 | 12/05/2022 | 02/10/2023 | (1,817 | ) | (1,824 | ) | ||||||||||||||||||
5.450 | 12/08/2022 | 04/06/2023 | (50,277 | ) | (50,458 | ) | ||||||||||||||||||
5.755 | 11/10/2022 | 05/10/2023 | (3,762 | ) | (3,795 | ) | ||||||||||||||||||
BRC |
1.900 | 12/21/2022 | TBD | (3) | EUR | (7,521 | ) | (8,056 | ) | |||||||||||||||
4.284 | 08/23/2022 | 02/24/2023 | $ | (22,736 | ) | (23,096 | ) | |||||||||||||||||
4.600 | 12/16/2022 | TBD | (3) | (3,311 | ) | (3,319 | ) | |||||||||||||||||
4.780 | 10/12/2022 | 01/12/2023 | (5,489 | ) | (5,549 | ) | ||||||||||||||||||
5.040 | 10/21/2022 | 01/23/2023 | (16,939 | ) | (17,114 | ) | ||||||||||||||||||
5.110 | 10/25/2022 | 01/30/2023 | (2,856 | ) | (2,884 | ) | ||||||||||||||||||
5.420 | 11/15/2022 | 02/15/2023 | (12,388 | ) | (12,479 | ) | ||||||||||||||||||
5.610 | 11/29/2022 | 03/01/2023 | (46,785 | ) | (47,041 | ) | ||||||||||||||||||
BYR |
4.950 | 09/28/2022 | 03/24/2023 | (1,527 | ) | (1,542 | ) | |||||||||||||||||
4.950 | 12/05/2022 | 03/24/2023 | (1,523 | ) | (1,528 | ) | ||||||||||||||||||
DBL |
5.698 | 11/30/2022 | 01/30/2023 | (13,020 | ) | (13,090 | ) | |||||||||||||||||
5.868 | 12/16/2022 | 02/16/2023 | (7,835 | ) | (7,858 | ) | ||||||||||||||||||
5.959 | 01/03/2023 | 03/03/2023 | (13,055 | ) | (13,055 | ) | ||||||||||||||||||
JML |
1.500 | 10/14/2022 | TBD | (3) | EUR | (471 | ) | (504 | ) | |||||||||||||||
2.150 | 12/06/2022 | 02/06/2023 | (7,772 | ) | (8,333 | ) | ||||||||||||||||||
JPS |
5.300 | 11/14/2022 | 02/14/2023 | $ | (1,824 | ) | (1,837 | ) | ||||||||||||||||
5.400 | 11/14/2022 | 02/14/2023 | (4,878 | ) | (4,915 | ) | ||||||||||||||||||
5.500 | 11/14/2022 | 02/14/2023 | (20,883 | ) | (21,042 | ) | ||||||||||||||||||
MEI |
3.989 | 10/03/2022 | 01/17/2023 | GBP | (468 | ) | (571 | ) | ||||||||||||||||
4.039 | 10/03/2022 | 01/17/2023 | (6,281 | ) | (7,668 | ) | ||||||||||||||||||
4.189 | 10/03/2022 | 01/17/2023 | (5,510 | ) | (6,730 | ) | ||||||||||||||||||
4.239 | 10/03/2022 | 01/17/2023 | (4,967 | ) | (6,067 | ) | ||||||||||||||||||
4.289 | 10/03/2022 | 01/17/2023 | (6,855 | ) | (8,375 | ) | ||||||||||||||||||
MSB |
5.250 | 09/19/2022 | 03/16/2023 | $ | (6,009 | ) | (6,066 | ) | ||||||||||||||||
5.300 | 09/19/2022 | 03/16/2023 | (13,881 | ) | (14,015 | ) | ||||||||||||||||||
RBC |
5.550 | 10/04/2022 | 02/06/2023 | (3,081 | ) | (3,114 | ) | |||||||||||||||||
SOG |
3.980 | 09/12/2022 | 01/12/2023 | (7,517 | ) | (7,611 | ) | |||||||||||||||||
3.980 | 11/14/2022 | 01/12/2023 | (3,716 | ) | (3,737 | ) | ||||||||||||||||||
4.660 | 10/24/2022 | 01/24/2023 | (858 | ) | (866 | ) | ||||||||||||||||||
4.760 | 10/17/2022 | 02/17/2023 | (1,549 | ) | (1,565 | ) | ||||||||||||||||||
4.760 | 12/09/2022 | 02/17/2023 | (2,618 | ) | (2,627 | ) | ||||||||||||||||||
4.790 | 11/02/2022 | 02/02/2023 | (7,736 | ) | (7,800 | ) | ||||||||||||||||||
4.805 | 10/06/2022 | 02/03/2023 | (860 | ) | (870 | ) | ||||||||||||||||||
4.810 | 11/03/2022 | 02/03/2023 | (11,015 | ) | (11,105 | ) | ||||||||||||||||||
4.810 | 12/14/2022 | 02/03/2023 | (652 | ) | (654 | ) | ||||||||||||||||||
4.855 | 10/06/2022 | 02/03/2023 | (11,802 | ) | (11,944 | ) | ||||||||||||||||||
4.900 | 12/05/2022 | 04/12/2023 | (2,604 | ) | (2,614 | ) | ||||||||||||||||||
5.001 | 10/14/2022 | 02/14/2023 | (888 | ) | (898 | ) | ||||||||||||||||||
5.020 | 11/10/2022 | 03/10/2023 | (14,559 | ) | (14,668 | ) | ||||||||||||||||||
5.430 | 11/07/2022 | 03/07/2023 | (24,116 | ) | (24,324 | ) | ||||||||||||||||||
TDM |
4.490 | 12/16/2022 | TBD | (3) | (9,701 | ) | (9,723 | ) | ||||||||||||||||
4.500 | 12/16/2022 | TBD | (3) | (1,844 | ) | (1,849 | ) | |||||||||||||||||
4.620 | 12/16/2022 | TBD | (3) | (2,647 | ) | (2,653 | ) | |||||||||||||||||
UBS |
3.830 | 09/09/2022 | 01/10/2023 | (6,697 | ) | (6,780 | ) | |||||||||||||||||
4.334 | 09/13/2022 | 01/13/2023 | (16,495 | ) | (16,717 | ) | ||||||||||||||||||
4.380 | 10/03/2022 | 02/03/2023 | (10,440 | ) | (10,557 | ) | ||||||||||||||||||
4.430 | 10/03/2022 | 02/03/2023 | (4,789 | ) | (4,843 | ) | ||||||||||||||||||
4.662 | 09/28/2022 | 01/27/2023 | (955 | ) | (967 | ) | ||||||||||||||||||
5.000 | 10/11/2022 | 02/13/2023 | (5,171 | ) | (5,231 | ) | ||||||||||||||||||
5.210 | 11/08/2022 | 02/08/2023 | (72,839 | ) | (73,429 | ) | ||||||||||||||||||
5.250 | 10/19/2022 | 02/17/2023 | (2,814 | ) | (2,846 | ) | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Total Reverse Repurchase Agreements |
|
$ | (582,445 | ) | ||||||||||||||||||||
|
|
See Accompanying Notes | SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 67 |
Consolidated Schedule of Investments | PIMCO Access Income Fund | (Cont.) |
Counterparty | Repurchase Agreement Proceeds to be Received(1) |
Payable for Reverse Repurchase Agreements |
Payable for Sale‑Buyback Transactions |
Total Borrowings and Other Financing Transactions |
Collateral Pledged/(Received) |
Net Exposure(4) | ||||||||||||||||||
Global/Master Repurchase Agreement |
| |||||||||||||||||||||||
BOS |
$ | 0 | $ | (4,191 | ) | $ | 0 | $ | (4,191 | ) | $ | 0 | $ | (4,191 | ) | |||||||||
BPS |
43,520 | (105,528 | ) | 0 | (62,008 | ) | (45,527 | ) | (107,535 | ) | ||||||||||||||
BRC |
0 | (119,538 | ) | 0 | (119,538 | ) | 2,285 | (117,253 | ) | |||||||||||||||
BYR |
0 | (3,070 | ) | 0 | (3,070 | ) | (300 | ) | (3,370 | ) | ||||||||||||||
DBL |
0 | (34,003 | ) | 0 | (34,003 | ) | 0 | (34,003 | ) | |||||||||||||||
JML |
0 | (8,837 | ) | 0 | (8,837 | ) | (637 | ) | (9,474 | ) | ||||||||||||||
JPS |
0 | (27,794 | ) | 0 | (27,794 | ) | 0 | (27,794 | ) | |||||||||||||||
MEI |
0 | (29,411 | ) | 0 | (29,411 | ) | 397 | (29,014 | ) | |||||||||||||||
MSB |
0 | (20,081 | ) | 0 | (20,081 | ) | 1,776 | (18,305 | ) | |||||||||||||||
RBC |
0 | (3,114 | ) | 0 | (3,114 | ) | 0 | (3,114 | ) | |||||||||||||||
SOG |
0 | (91,283 | ) | 0 | (91,283 | ) | 2,989 | (88,294 | ) | |||||||||||||||
TDM |
0 | (14,225 | ) | 0 | (14,225 | ) | 251 | (13,974 | ) | |||||||||||||||
UBS |
0 | (121,370 | ) | 0 | (121,370 | ) | 2,770 | (118,600 | ) | |||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 43,520 | $ | (582,445 | ) | $ | 0 | |||||||||||||||||
|
|
|
|
|
|
Overnight and Continuous |
Up to 30 days | 31‑90 days | Greater Than 90 days | Total | ||||||||||||||||
Reverse Repurchase Agreements |
| |||||||||||||||||||
Corporate Bonds & Notes |
$ | 0 | $ | (52,557 | ) | $ | (59,442 | ) | $ | (43,878 | ) | $ | (155,877 | ) | ||||||
Preferred Securities |
0 | 0 | (8,333 | ) | 0 | (8,333 | ) | |||||||||||||
Non‑Agency Mortgage-Backed Securities |
0 | (72,642 | ) | (184,651 | ) | (3,795 | ) | (261,088 | ) | |||||||||||
Asset-Backed Securities |
0 | (13,090 | ) | (80,544 | ) | (50,458 | ) | (144,092 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total Borrowings |
$ | 0 | $ | (138,289 | ) | $ | (332,970 | ) | $ | (98,131 | ) | $ | (569,390 | ) | ||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Payable for reverse repurchase agreements(5) |
|
$ | (569,390 | ) | ||||||||||||||||
|
|
(j) | Securities with an aggregate market value of $452 and cash of $10,016 have been pledged as collateral under the terms of the above master agreements as of December 31, 2022. |
(1) | Includes accrued interest. |
(2) | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(567,250) at a weighted average interest rate of 3.408%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. |
(3) | Open maturity reverse repurchase agreement. |
(4) | 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. |
(5) | Unsettled reverse repurchase agreements liability of $(13,055) is outstanding at period end. |
Description |
Expiration Month |
# of Contracts |
Notional Amount |
Unrealized Appreciation/ (Depreciation) |
Variation Margin | |||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||
3‑Month SOFR Active Contract December Futures |
03/2024 | 32 | $ | (7,638 | ) | $ | 148 | $ | 3 | $ | 0 | |||||||||||||
3‑Month SOFR Active Contract December Futures |
03/2025 | 17 | (4,108 | ) | 47 | 0 | (1 | ) | ||||||||||||||||
3‑Month SOFR Active Contract December Futures |
03/2026 | 18 | (4,357 | ) | 46 | 0 | (2 | ) | ||||||||||||||||
3‑Month SOFR Active Contract June Futures |
09/2024 | 20 | (4,812 | ) | 68 | 1 | 0 | |||||||||||||||||
3‑Month SOFR Active Contract June Futures |
09/2025 | 17 | (4,114 | ) | 44 | 0 | (2 | ) | ||||||||||||||||
3‑Month SOFR Active Contract March Futures |
06/2024 | 28 | (6,710 | ) | 112 | 2 | 0 | |||||||||||||||||
3‑Month SOFR Active Contract March Futures |
06/2025 | 15 | (3,628 | ) | 40 | 0 | (1 | ) | ||||||||||||||||
3‑Month SOFR Active Contract March Futures |
06/2026 | 16 | (3,872 | ) | 41 | 0 | (2 | ) | ||||||||||||||||
3‑Month SOFR Active Contract September Futures |
12/2024 | 19 | (4,584 | ) | 56 | 0 | (1 | ) | ||||||||||||||||
3‑Month SOFR Active Contract September Futures |
12/2025 | 13 | (3,146 | ) | 33 | 0 | (1 | ) | ||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||
Total Futures Contracts |
|
$ | 635 | $ | 6 | $ | (10 | ) | ||||||||||||||||
|
|
|
|
|
|
68 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
December 31, 2022 | (Unaudited) |
Reference Entity | Fixed Receive Rate |
Payment Frequency |
Maturity Date |
Implied Credit Spread at December 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 | 2.622 | % | $ | 400 | $ | (16 | ) | $ | 30 | $ | 14 | $ | 0 | $ | (1 | ) | ||||||||||||||||||||||||
Bombardier, Inc. |
5.000 | Quarterly | 06/20/2025 | 3.222 | 200 | (15 | ) | 23 | 8 | 0 | 0 | |||||||||||||||||||||||||||||||||
Bombardier, Inc. |
5.000 | Quarterly | 06/20/2027 | 4.245 | 10,400 | (1,006 | ) | 1,312 | 306 | 0 | (9 | ) | ||||||||||||||||||||||||||||||||
Ford Motor Credit Co. LLC |
5.000 | Quarterly | 06/20/2027 | 3.169 | 6,400 | 678 | (229 | ) | 449 | 1 | 0 | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||||
$ | (359 | ) | $ | 1,136 | $ | 777 | $ | 1 | $ | (10 | ) | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
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 USD‑SOFR Compounded‑OIS |
2.450 | % | Annual | 12/20/2024 | $ | 32,400 | $ | (2 | ) | $ | 484 | $ | 482 | $ | 17 | $ | 0 | ||||||||||||||||||||||||
Pay |
1‑Day USD‑SOFR Compounded‑OIS |
4.800 | Annual | 12/21/2024 | 146,000 | 42 | 878 | 920 | 0 | (92 | ) | |||||||||||||||||||||||||||||||
Receive(5) |
1‑Day USD‑SOFR Compounded‑OIS |
2.350 | Annual | 01/17/2025 | 16,200 | 1 | 239 | 240 | 6 | 0 | ||||||||||||||||||||||||||||||||
Receive(5) |
1‑Day USD‑SOFR Compounded‑OIS |
2.300 | Annual | 01/17/2026 | 2,600 | 1 | 61 | 62 | 3 | 0 | ||||||||||||||||||||||||||||||||
Pay |
1‑Day USD‑SOFR Compounded‑OIS |
4.150 | Annual | 12/21/2027 | 185,900 | (49 | ) | 3,367 | 3,318 | 0 | (332 | ) | ||||||||||||||||||||||||||||||
Receive |
1‑Day USD‑SOFR Compounded‑OIS |
1.750 | Annual | 06/15/2052 | 25,600 | 6,320 | 845 | 7,165 | 125 | 0 | ||||||||||||||||||||||||||||||||
Receive |
1‑Day USD‑SOFR Compounded‑OIS |
1.750 | Annual | 12/21/2052 | 17,400 | 4,191 | 605 | 4,796 | 86 | 0 | ||||||||||||||||||||||||||||||||
Receive |
1‑Day USD‑SOFR Compounded‑OIS |
3.400 | Annual | 12/21/2052 | 22,900 | 40 | (834 | ) | (794 | ) | 113 | 0 | ||||||||||||||||||||||||||||||
Receive |
6‑Month EUR‑EURIBOR |
0.500 | Annual | 09/21/2052 | EUR | 7,800 | 676 | 2,759 | 3,435 | 68 | 0 | |||||||||||||||||||||||||||||||
Receive(5) |
6‑Month EUR‑EURIBOR |
0.830 | Annual | 12/09/2052 | 11,000 | 27 | 327 | 354 | 15 | 0 | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||
$ | 11,247 | $ | 8,731 | $ | 19,978 | $ | 433 | $ | (424 | ) | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||
Total Swap Agreements |
|
$ | 10,888 | $ | 9,867 | $ | 20,755 | $ | 434 | $ | (434 | ) | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
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 | $ | 6 | $ | 434 | $ | 440 | $ | 0 | $ | (10) | $ | (434) | $ | (444) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(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. |
See Accompanying Notes | SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 69 |
Consolidated Schedule of Investments | PIMCO Access Income Fund | (Cont.) |
Counterparty |
Settlement Month |
Currency to be Delivered |
Currency to be Received |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||
BOA |
02/2023 | EUR | 4,060 | $ | 4,276 | $ | 0 | $ | (83 | ) | ||||||||||||||
02/2023 | GBP | 9,018 | 10,641 | 0 | (273 | ) | ||||||||||||||||||
02/2023 | $ | 6,483 | EUR | 6,099 | 64 | 0 | ||||||||||||||||||
BPS |
02/2023 | EUR | 112,686 | $ | 116,848 | 0 | (4,124 | ) | ||||||||||||||||
BRC |
02/2023 | $ | 1,190 | EUR | 1,128 | 21 | 0 | |||||||||||||||||
CBK |
02/2023 | EUR | 970 | $ | 1,038 | 0 | (3 | ) | ||||||||||||||||
02/2023 | $ | 1,872 | AUD | 2,796 | 35 | 0 | ||||||||||||||||||
02/2023 | 407 | EUR | 381 | 2 | 0 | |||||||||||||||||||
JPM |
02/2023 | EUR | 6,636 | $ | 7,042 | 0 | (81 | ) | ||||||||||||||||
02/2023 | $ | 7,147 | JPY | 984,921 | 400 | 0 | ||||||||||||||||||
MBC |
02/2023 | CAD | 5,111 | $ | 3,857 | 81 | 0 | |||||||||||||||||
02/2023 | EUR | 1,095 | 1,136 | 0 | (40 | ) | ||||||||||||||||||
02/2023 | $ | 1,084 | EUR | 1,048 | 41 | 0 | ||||||||||||||||||
RBC |
02/2023 | EUR | 1,005 | $ | 1,040 | 0 | (39 | ) | ||||||||||||||||
SCX |
02/2023 | 1,665 | 1,725 | 0 | (63 | ) | ||||||||||||||||||
02/2023 | $ | 3,493 | EUR | 3,317 | 68 | 0 | ||||||||||||||||||
UAG |
02/2023 | EUR | 2,749 | $ | 2,869 | 0 | (82 | ) | ||||||||||||||||
|
|
|
|
|||||||||||||||||||||
Total Forward Foreign Currency Contracts |
|
$ | 712 | $ | (4,788 | ) | ||||||||||||||||||
|
|
|
|
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 |
$ | 64 | $ | 0 | $ | 0 | $ | 64 | $ | (356 | ) | $ | 0 | $ | 0 | $ | (356 | ) | $ | (292 | ) | $ | 454 | $ | 162 | |||||||||||||||||||||||
BPS |
0 | 0 | 0 | 0 | (4,124 | ) | 0 | 0 | (4,124 | ) | (4,124 | ) | 3,661 | (463 | ) | |||||||||||||||||||||||||||||||||
BRC |
21 | 0 | 0 | 21 | 0 | 0 | 0 | 0 | 21 | 0 | 21 | |||||||||||||||||||||||||||||||||||||
CBK |
37 | 0 | 0 | 37 | (3 | ) | 0 | 0 | (3 | ) | 34 | 0 | 34 | |||||||||||||||||||||||||||||||||||
JPM |
400 | 0 | 0 | 400 | (81 | ) | 0 | 0 | (81 | ) | 319 | (370 | ) | (51 | ) | |||||||||||||||||||||||||||||||||
MBC |
122 | 0 | 0 | 122 | (40 | ) | 0 | 0 | (40 | ) | 82 | 0 | 82 | |||||||||||||||||||||||||||||||||||
RBC |
0 | 0 | 0 | 0 | (39 | ) | 0 | 0 | (39 | ) | (39 | ) | 0 | (39 | ) | |||||||||||||||||||||||||||||||||
SCX |
68 | 0 | 0 | 68 | (63 | ) | 0 | 0 | (63 | ) | 5 | 0 | 5 | |||||||||||||||||||||||||||||||||||
UAG |
0 | 0 | 0 | 0 | (82 | ) | 0 | 0 | (82 | ) | (82 | ) | 0 | (82 | ) | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||
Total Over the Counter |
$ | 712 | $ | 0 | $ | 0 | $ | 712 | $ | (4,788 | ) | $ | 0 | $ | 0 | $ | (4,788 | ) | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(m) | Securities with an aggregate market value of $4,115 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022. |
(1) | Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC derivatives 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. |
70 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
December 31, 2022 | (Unaudited) |
See Accompanying Notes | SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 71 |
Consolidated Schedule of Investments | PIMCO Access Income Fund | (Cont.) | December 31, 2022 | (Unaudited) |
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2022 |
||||||||||||
Investments in Securities, at Value |
| |||||||||||||||
Loan Participations and Assignments |
$ | 0 | $ | 190,112 | $ | 75,165 | $ | 265,277 | ||||||||
Corporate Bonds & Notes |
| |||||||||||||||
Banking & Finance |
0 | 60,870 | 10,076 | 70,946 | ||||||||||||
Industrials |
0 | 110,083 | 0 | 110,083 | ||||||||||||
Utilities |
0 | 35,813 | 0 | 35,813 | ||||||||||||
Municipal Bonds & Notes |
| |||||||||||||||
Puerto Rico |
0 | 16,129 | 0 | 16,129 | ||||||||||||
Non‑Agency Mortgage-Backed Securities |
0 | 414,640 | 0 | 414,640 | ||||||||||||
Asset-Backed Securities |
0 | 220,804 | 27,771 | 248,575 | ||||||||||||
Sovereign Issues |
0 | 5,786 | 0 | 5,786 | ||||||||||||
Common Stocks |
| |||||||||||||||
Financials |
2,212 | 0 | 0 | 2,212 | ||||||||||||
Industrials |
0 | 0 | 8,542 | 8,542 | ||||||||||||
Preferred Securities |
| |||||||||||||||
Banking & Finance |
0 | 9,701 | 0 | 9,701 | ||||||||||||
Real Estate Investment Trusts |
| |||||||||||||||
Financials |
8,404 | 0 | 0 | 8,404 |
Category and Subcategory | Beginning Balance at 06/30/2022 |
Net Purchases |
Net Sales/ Settlements |
Accrued Discounts/ (Premiums) |
Realized Gain/(Loss) |
Net Change in Unrealized Appreciation/ (Depreciation)(1) |
Transfers into Level 3 |
Transfers out of Level 3 |
Ending Balance at 12/31/2022 |
Net Change in Unrealized Appreciation/ (Depreciation) on Investments Held at 12/31/2022(1) |
||||||||||||||||||||||||||||||
Investments in Securities, at Value |
| |||||||||||||||||||||||||||||||||||||||
Loan Participations and Assignments |
$ | 71,254 | $ | 40,532 | $ | (429 | ) | $ | 1,512 | $ | 8 | $ | (6,410 | ) | $ | 2,996 | $ | (34,298 | ) | $ | 75,165 | $ | (2,700 | ) | ||||||||||||||||
Corporate Bonds & Notes |
| |||||||||||||||||||||||||||||||||||||||
Banking & Finance |
0 | 10,076 | 0 | 0 | 0 | 0 | 0 | 0 | 10,076 | 0 | ||||||||||||||||||||||||||||||
Industrials |
828 | 16 | 0 | 5 | 0 | (105 | ) | 0 | (744 | ) | 0 | 0 | ||||||||||||||||||||||||||||
Asset-Backed Securities |
45,337 | 3,000 | 0 | 0 | 0 | (14,219 | ) | 0 | (6,347 | ) | 27,771 | (13,928 | ) | |||||||||||||||||||||||||||
Common Stocks |
| |||||||||||||||||||||||||||||||||||||||
Industrials |
8,153 | 569 | 0 | 0 | 0 | (180 | ) | 0 | 0 | 8,542 | (180 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Totals |
$ | 125,572 | $ | 54,193 | $ | (429 | ) | $ | 1,517 | $ | 8 | $ | (20,914 | ) | $ | 2,996 | $ | (41,389 | ) | $ | 121,554 | $ | (16,808 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Category and Subcategory | Ending Balance at 12/31/2022 |
Valuation Technique |
Unobservable Inputs |
(% Unless Noted Otherwise) | ||||||||||||
Input Value(s) |
Weighted Average |
|||||||||||||||
Investments in Securities, at Value |
| |||||||||||||||
Loan Participations and Assignments |
$ | 8,028 | Discounted Cash Flow | Discount Rate | 10.590‑11.880 | 10.816 | ||||||||||
8,116 | Discounted Cash Flow | Discount Spread | 9.080 | — | ||||||||||||
15,282 | Proxy Pricing | Base Price | 95.286-98.810 | 97.134 | ||||||||||||
43,739 | Third Party Vendor | Broker Quote | 35.000‑103.500 | 79.914 | ||||||||||||
Corporate Bonds & Notes |
| |||||||||||||||
Banking & Finance |
10,076 | Proxy Pricing | Base Price | 100.000 | — | |||||||||||
Asset-Backed Securities |
27,771 | Discounted Cash Flow | Discount Rate | 14.000-20.000 | 16.168 | |||||||||||
Common Stocks |
| |||||||||||||||
Industrials |
8,542 | Discounted Cash Flow | Discount Rate | 11.590 | — | |||||||||||
|
|
|||||||||||||||
Total |
$ | 121,554 | ||||||||||||||
|
|
(1) | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at December 31, 2022 may be due to an investment no longer held or categorized as Level 3 at period end. |
72 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
Consolidated Schedule of Investments | PIMCO Dynamic Income Fund | December 31, 2022 | (Unaudited) |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
INVESTMENTS IN SECURITIES 174.3% | | |||||||||||
LOAN PARTICIPATIONS AND ASSIGNMENTS 33.2% | | |||||||||||
American Airlines, Inc. |
| |||||||||||
8.993% (LIBOR03M + 4.750%) due 04/20/2028 ~ |
$ | 9,397 | $ | 9,372 | ||||||||
AP Core Holdings LLC |
| |||||||||||
9.884% (LIBOR01M + 5.500%) due 09/01/2027 ~ |
14,042 | 12,722 | ||||||||||
Carnival Corp. |
| |||||||||||
5.648% (EUR001M + 3.750%) due 06/30/2025 ~ |
EUR | 22,503 | 23,219 | |||||||||
Casino Guichard-Perrachon SA |
| |||||||||||
5.340% (EUR003M + 4.000%) due 08/31/2025 ~ |
3,200 | 2,915 | ||||||||||
Cengage Learning, Inc. |
| |||||||||||
7.814% (LIBOR06M + 4.750%) due 07/14/2026 ~ |
$ | 1,587 | 1,431 | |||||||||
Comexposium |
| |||||||||||
TBD% - 5.452% (EUR003M + 3.250%) due 03/28/2025 «~ |
EUR | 7,874 | 6,954 | |||||||||
4.969% (EUR001Y + 4.000%) due 03/28/2026 ~ |
64,126 | 57,547 | ||||||||||
Cromwell EREIT Lux Finco SARL |
| |||||||||||
3.043% (EUR003M + 1.500%) due 11/21/2024 «~ |
2,000 | 1,897 | ||||||||||
Diamond Sports Group LLC |
| |||||||||||
12.317% due 05/25/2026 |
$ | 29,224 | 27,769 | |||||||||
DirecTV Financing LLC |
| |||||||||||
9.384% (LIBOR01M + 5.000%) due 08/02/2027 ~ |
3,550 | 3,464 | ||||||||||
Encina Private Credit LLC |
| |||||||||||
TBD% - 8.684% (LIBOR01M + 4.366%) due 11/30/2025 «~µ |
8,919 | 8,728 | ||||||||||
Envision Healthcare Corp. |
| |||||||||||
12.119% due 04/29/2027 |
52,123 | 51,016 | ||||||||||
15.744% due 04/28/2028 |
122,798 | 100,489 | ||||||||||
Exgen Texas Power LLC |
| |||||||||||
10.576% (LIBOR03M + 6.750%) due 10/08/2026 «~ |
60,819 | 61,123 | ||||||||||
Forbes Energy Services LLC |
| |||||||||||
7.000% due 06/30/2023 « |
2,629 | 0 | ||||||||||
11.000% due 06/30/2023 « |
36 | 0 | ||||||||||
Gateway Casinos & Entertainment Ltd. |
| |||||||||||
12.138% due 10/15/2027 |
89,517 | 88,398 | ||||||||||
12.565% due 10/18/2027 |
CAD | 19,530 | 14,244 | |||||||||
Gibson Brands, Inc. |
| |||||||||||
9.125% (LIBOR03M + 5.000%) due 08/11/2028 «~ |
$ | 3,375 | 2,497 | |||||||||
GIP Blue Holding LP |
| |||||||||||
9.230% (LIBOR03M + 4.500%) due 09/29/2028 ~ |
5 | 5 | ||||||||||
Hudson River Trading LLC |
| |||||||||||
7.438% due 03/20/2028 |
1,683 | 1,596 | ||||||||||
Instant Brands Holdings, Inc. |
| |||||||||||
9.735% (LIBOR03M + 5.000%) due 04/12/2028 ~ |
3,797 | 2,566 | ||||||||||
Intelsat Jackson Holdings SA |
| |||||||||||
7.445% due 02/01/2029 |
33,670 | 32,576 | ||||||||||
KKR Apple Bidco LLC |
| |||||||||||
10.134% (LIBOR01M + 5.750%) due 09/21/2029 ~ |
1,225 | 1,188 | ||||||||||
Kronos Acquisition Holdings, Inc. |
| |||||||||||
10.509% due 12/22/2026 |
8,217 | 7,971 | ||||||||||
Lealand Finance Co. BV |
| |||||||||||
7.384% (LIBOR01M + 3.000%) due 06/28/2024 ~ |
385 | 250 | ||||||||||
Lealand Finance Co. BV (5.384% Cash and 3.000% PIK) |
| |||||||||||
8.384% (LIBOR01M + 1.000%) due 06/30/2025 ~(c) |
6,055 | 3,250 | ||||||||||
LifeMiles Ltd. |
| |||||||||||
9.985% (LIBOR03M + 5.250%) due 08/30/2026 ~ |
15,991 | 14,928 |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
Market Bidco Ltd. |
| |||||||||||
6.552% (EUR003M + 4.750%) due 07/31/2028 ~ |
EUR | 22,200 | $ | 20,972 | ||||||||
MPH Acquisition Holdings LLC |
| |||||||||||
8.985% (LIBOR03M + 4.250%) due 09/01/2028 ~ |
$ | 9,900 | 8,502 | |||||||||
NAC Aviation 29 DAC |
| |||||||||||
4.008% due 06/30/2026 |
5,000 | 4,194 | ||||||||||
Naked Juice LLC |
| |||||||||||
10.680% due 01/24/2030 |
1,300 | 1,051 | ||||||||||
Nuuday AS |
| |||||||||||
TBD% due 12/31/2027 |
EUR | 3,400 | 3,389 | |||||||||
Oi SA |
| |||||||||||
TBD% due 02/26/2035 « |
$ | 3,128 | 1,095 | |||||||||
Poseidon Bidco SASU |
| |||||||||||
7.452% (EUR003M + 5.250%) due 07/14/2028 «~ |
EUR | 51,900 | 47,868 | |||||||||
Preylock Reitman Santa Cruz Mezz LLC |
| |||||||||||
9.944% due 11/09/2023 «(k) |
$ | 37,100 | 36,793 | |||||||||
Profrac Services LLC |
| |||||||||||
11.105% due 03/04/2025 « |
18,040 | 18,672 | ||||||||||
Project Anfora Senior |
| |||||||||||
4.128% (EUR003M + 2.750%) due 10/01/2026 «~(k) |
EUR | 35,447 | 37,042 | |||||||||
Project Quasar Pledgco SLU |
| |||||||||||
4.936% (EUR001M + 3.250%) due 03/15/2026 «~ |
19,235 | 20,150 | ||||||||||
Promotora de Informaciones SA |
| |||||||||||
TBD% due 06/30/2026 « |
15,200 | 16,108 | ||||||||||
6.708% (EUR003M + 5.250%) due 12/31/2026 «~ |
78,496 | 72,263 | ||||||||||
8.000% (EUR003M + 8.000%) due 06/30/2027 «~ |
24,619 | 23,060 | ||||||||||
PUG LLC |
| |||||||||||
7.884% (LIBOR01M + 3.500%) due 02/12/2027 ~ |
$ | 8,014 | 6,672 | |||||||||
8.634% (LIBOR01M + 4.250%) due 02/12/2027 «~ |
1,481 | 1,233 | ||||||||||
Quantum Bidco Ltd. |
| |||||||||||
7.616% due 01/29/2028 |
GBP | 16,500 | 17,046 | |||||||||
Redstone Holdco 2 LP |
| |||||||||||
9.108% (LIBOR03M + 4.750%) due 04/27/2028 ~ |
$ | 11,100 | 7,738 | |||||||||
12.108% (LIBOR03M + 7.750%) due 04/27/2029 ~ |
2,000 | 1,014 | ||||||||||
RegionalCare Hospital Partners Holdings, Inc. |
| |||||||||||
8.165% (LIBOR03M + 3.750%) due 11/16/2025 ~ |
260 | 245 | ||||||||||
Republic of Cote d’lvoire |
| |||||||||||
6.608% (EUR006M + 5.000%) due 03/19/2027 «~ |
EUR | 900 | 920 | |||||||||
Rising Tide Holdings, Inc. |
| |||||||||||
9.485% (LIBOR03M + 4.750%) due 06/01/2028 «~ |
$ | 16,985 | 8,068 | |||||||||
Sierra Hamilton LLC |
| |||||||||||
15.000% due 09/12/2023 « |
7 | 7 | ||||||||||
Sigma Bidco BV |
| |||||||||||
3.738% (EUR006M + 3.500%) due 07/02/2025 ~ |
EUR | 690 | 644 | |||||||||
10.870% (WIBOR06M + 3.500%) due 07/02/2025 ~ |
PLN | 85,527 | 15,007 | |||||||||
Softbank Vision Fund |
| |||||||||||
5.000% due 12/21/2025 « |
$ | 36,625 | 35,233 | |||||||||
Steenbok Lux Finco 2 SARL |
| |||||||||||
TBD% (LIBOR06M + 10.000%) due 06/30/2023 ~ |
EUR | 46,327 | 22,192 | |||||||||
Steenbok Lux Finco 2 SARL (10.750% PIK) |
| |||||||||||
10.750% (EUR006M) due 06/30/2023 ~(c) |
121,831 | 83,900 | ||||||||||
Steenbok Lux Finco 2 SARL (7.875% PIK) |
| |||||||||||
7.875% due 06/30/2023 (c) |
130 | 139 | ||||||||||
Sunseeker |
| |||||||||||
TBD% - 5.550% (LIBOR06M + 5.500%) due 10/31/2028 «~ |
$ | 25,100 | 23,883 |
See Accompanying Notes | SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 73 |
Consolidated Schedule of Investments | PIMCO Dynamic Income Fund | (Cont.) |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
Altice Financing SA |
| |||||||||||
5.750% due 08/15/2029 (m) |
$ | 15,830 | $ | 12,481 | ||||||||
American Airlines Pass-Through Trust |
| |||||||||||
3.350% due 04/15/2031 (m) |
605 | 524 | ||||||||||
3.375% due 11/01/2028 (m) |
626 | 523 | ||||||||||
3.700% due 04/01/2028 (m) |
748 | 647 | ||||||||||
Arches Buyer, Inc. |
| |||||||||||
4.250% due 06/01/2028 (m) |
1,100 | 862 | ||||||||||
British Airways Pass-Through Trust |
| |||||||||||
4.250% due 05/15/2034 (m) |
54 | 48 | ||||||||||
Buffalo Thunder Development Authority |
| |||||||||||
0.000% due 11/15/2029 «(k) |
2,483 | 2 | ||||||||||
Carvana Co. |
| |||||||||||
10.250% due 05/01/2030 |
18,300 | 8,633 | ||||||||||
CGG SA |
| |||||||||||
7.750% due 04/01/2027 |
EUR | 38,535 | 33,851 | |||||||||
8.750% due 04/01/2027 (m) |
$ | 56,461 | 45,226 | |||||||||
Community Health Systems, Inc. |
| |||||||||||
5.250% due 05/15/2030 (m) |
3,400 | 2,570 | ||||||||||
8.000% due 03/15/2026 (m) |
4,179 | 3,813 | ||||||||||
Constellation Oil Services Holding SA (3.000% Cash or 4.000% PIK) |
| |||||||||||
3.000% due 12/31/2026 (c) |
226 | 134 | ||||||||||
CVS Pass-Through Trust |
| |||||||||||
7.507% due 01/10/2032 (m) |
1,783 | 1,857 | ||||||||||
DISH DBS Corp. |
| |||||||||||
5.250% due 12/01/2026 (m) |
17,440 | 14,723 | ||||||||||
5.750% due 12/01/2028 (m) |
25,200 | 20,160 | ||||||||||
DTEK Energy BV (3.500% Cash and 3.500% PIK) |
| |||||||||||
7.000% due 12/31/2027 (c) |
45,793 | 12,622 | ||||||||||
Dufry One BV |
| |||||||||||
3.625% due 04/15/2026 |
CHF | 3,000 | 2,857 | |||||||||
Endurance International Group Holdings, Inc. |
| |||||||||||
6.000% due 02/15/2029 (m) |
$ | 14,296 | 9,846 | |||||||||
Exela Intermediate LLC |
| |||||||||||
11.500% due 07/15/2026 (m) |
697 | 122 | ||||||||||
Fertitta Entertainment LLC |
| |||||||||||
6.750% due 01/15/2030 (m) |
2,000 | 1,617 | ||||||||||
Foodco Bondco SA |
| |||||||||||
6.250% due 05/15/2026 |
EUR | 1,200 | 578 | |||||||||
Gazprom PJSC Via Gaz Capital SA |
| |||||||||||
7.288% due 08/16/2037 |
$ | 300 | 255 | |||||||||
8.625% due 04/28/2034 |
1,081 | 633 | ||||||||||
Guara Norte SARL |
| |||||||||||
5.198% due 06/15/2034 |
8,466 | 7,175 | ||||||||||
Intelsat Jackson Holdings SA |
| |||||||||||
6.500% due 03/15/2030 (m) |
129,139 | 115,772 | ||||||||||
Inter Media & Communication SpA |
| |||||||||||
6.750% due 02/09/2027 |
EUR | 10,250 | 10,429 | |||||||||
Iris Holdings, Inc. (8.750% Cash or 9.500% PIK) |
| |||||||||||
8.750% due 02/15/2026 (c)(m) |
$ | 1,900 | 1,634 | |||||||||
Market Bidco Finco PLC |
| |||||||||||
4.750% due 11/04/2027 |
EUR | 6,600 | 5,700 | |||||||||
Melco Resorts Finance Ltd. |
| |||||||||||
5.375% due 12/04/2029 (m) |
$ | 2,600 | 2,091 | |||||||||
5.750% due 07/21/2028 (m) |
36,928 | 30,935 | ||||||||||
5.750% due 07/21/2028 |
200 | 167 | ||||||||||
MGM China Holdings Ltd. |
| |||||||||||
4.750% due 02/01/2027 (m) |
318 | 282 | ||||||||||
5.250% due 06/18/2025 (m) |
800 | 754 | ||||||||||
Nissan Motor Co. Ltd. |
| |||||||||||
4.810% due 09/17/2030 (m) |
2,400 | 2,042 | ||||||||||
Noble Corp. PLC (11.000% Cash or 15.000% PIK) |
| |||||||||||
11.000% due 02/15/2028 (c) |
3,749 | 4,171 | ||||||||||
11.000% due 02/15/2028 (c)(m) |
1,579 | 1,756 | ||||||||||
Norfolk Southern Corp. |
| |||||||||||
4.100% due 05/15/2121 (m) |
100 | 70 | ||||||||||
Odebrecht Oil & Gas Finance Ltd. |
| |||||||||||
0.000% due 01/30/2023 (g)(i) |
5,220 | 13 | ||||||||||
Olympus Water U.S. Holding Corp. |
| |||||||||||
5.375% due 10/01/2029 |
EUR | 2,200 | 1,717 | |||||||||
Prosus NV |
| |||||||||||
2.031% due 08/03/2032 |
500 | 381 | ||||||||||
2.778% due 01/19/2034 |
900 | 696 |
74 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
December 31, 2022 | (Unaudited) |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
U.S. GOVERNMENT AGENCIES 2.1% | | |||||||||||
Fannie Mae |
| |||||||||||
0.065% due 10/25/2060 ~(a) |
$ | 23,387 | $ | 1,593 | ||||||||
0.734% due 10/25/2042 ~(m) |
1,149 | 874 | ||||||||||
1.038% due 08/25/2043 ~(a) |
21,516 | 701 | ||||||||||
1.531% due 07/25/2041 ~(a)(m) |
1,976 | 140 | ||||||||||
1.611% due 08/25/2038 •(a) |
385 | 24 | ||||||||||
1.661% due 08/25/2049 •(a) |
182 | 19 | ||||||||||
1.661% due 07/25/2059 ~(a)(m) |
7,037 | 883 | ||||||||||
1.681% due 10/25/2040 •(a)(m) |
2,288 | 104 | ||||||||||
1.761% due 02/25/2043 •(a)(m) |
1,634 | 155 | ||||||||||
1.961% due 12/25/2037 ~(a) |
48 | 2 | ||||||||||
2.131% due 09/25/2037 ~(a)(m) |
332 | 21 | ||||||||||
2.211% due 03/25/2040 •(a)(m) |
1,927 | 81 | ||||||||||
2.251% due 12/25/2036 •(a)(m) |
1,426 | 127 | ||||||||||
2.261% due 11/25/2036 ~(a) |
44 | 2 | ||||||||||
2.331% due 06/25/2037 •(a) |
162 | 10 | ||||||||||
2.500% due 01/25/2041 •(m) |
3,876 | 3,579 | ||||||||||
2.591% due 03/25/2038 •(a)(m) |
850 | 82 | ||||||||||
2.611% due 02/25/2038 •(a)(m) |
494 | 51 | ||||||||||
2.711% due 06/25/2023 ~(a)(m) |
30 | 0 | ||||||||||
3.000% due 01/25/2042 (a)(m) |
141 | 9 | ||||||||||
3.500% due 08/25/2032 - 06/25/2050 (a)(m) |
18,099 | 3,536 | ||||||||||
4.000% due 06/25/2050 (a)(m) |
10,707 | 2,102 | ||||||||||
4.500% due 04/25/2042 (a)(m) |
674 | 96 | ||||||||||
5.000% due 01/25/2048 - 06/25/2050 (a)(m) |
5,537 | 1,234 | ||||||||||
10.139% due 07/25/2029 •(m) |
9,180 | 10,022 | ||||||||||
Freddie Mac |
| |||||||||||
0.443% due 11/15/2048 •(a) |
38,429 | 1,188 | ||||||||||
0.700% due 11/25/2055 ~(a) |
264,411 | 16,929 | ||||||||||
1.632% due 04/15/2039 •(a)(m) |
1,241 | 134 | ||||||||||
1.711% due 06/25/2050 •(a)(m) |
1,131 | 118 | ||||||||||
1.761% due 05/25/2050 ~(a)(m) |
8,004 | 921 | ||||||||||
1.832% due 01/15/2047 ~(a) |
280 | 33 | ||||||||||
1.882% due 09/15/2042 ~(a)(m) |
605 | 37 | ||||||||||
1.982% due 05/15/2037 •(a)(m) |
896 | 77 | ||||||||||
2.010% due 11/25/2045 ~(a)(m) |
75,137 | 6,056 | ||||||||||
2.092% due 05/15/2037 ~(a) |
74 | 5 | ||||||||||
2.152% due 07/15/2036 •(a)(m) |
1,118 | 93 | ||||||||||
2.190% due 09/15/2041 ~(m) |
602 | 492 | ||||||||||
2.262% due 09/15/2036 ~(a)(m) |
363 | 32 | ||||||||||
2.282% due 05/15/2041 •(a)(m) |
704 | 89 | ||||||||||
2.372% due 01/25/2051 •(a) |
6,534 | 925 | ||||||||||
2.372% due 01/25/2051 ~(a)(m) |
3,611 | 472 | ||||||||||
2.382% due 04/15/2036 ~(a)(m) |
276 | 16 | ||||||||||
3.000% due 06/25/2050 (a)(m) |
11,878 | 1,975 | ||||||||||
3.462% due 09/15/2036 •(a)(m) |
631 | 77 | ||||||||||
3.500% due 07/25/2050 (a)(m) |
25,432 | 5,200 | ||||||||||
4.000% due 03/15/2027 (a) |
135 | 7 | ||||||||||
4.000% due 07/25/2050 (a)(m) |
19,804 | 4,426 | ||||||||||
4.500% due 06/25/2050 (a)(m) |
2,254 | 409 | ||||||||||
5.000% due 05/25/2048 (a)(m) |
7,002 | 1,201 | ||||||||||
9.539% due 10/25/2029 •(m) |
8,600 | 9,253 | ||||||||||
13.389% due 03/25/2029 •(m) |
6,840 | 6,808 | ||||||||||
14.889% due 10/25/2028 • |
1,481 | 1,530 | ||||||||||
Ginnie Mae |
| |||||||||||
1.747% due 12/20/2048 ~(a)(m) |
3,173 | 228 | ||||||||||
1.767% due 08/20/2042 ~(a)(m) |
1,491 | 152 | ||||||||||
1.897% due 12/20/2040 ~(a)(m) |
1,109 | 50 | ||||||||||
2.374% due 08/16/2039 •(a)(m) |
21 | 0 | ||||||||||
2.500% due 09/20/2036 (a) |
51,869 | 4,644 | ||||||||||
3.500% due 06/20/2042 (a)(m) |
206 | 37 | ||||||||||
|
|
|||||||||||
Total U.S. Government Agencies (Cost $99,227) |
89,061 | |||||||||||
|
|
|||||||||||
NON‑AGENCY MORTGAGE-BACKED SECURITIES 39.1% | | |||||||||||
245 Park Avenue Trust |
| |||||||||||
3.657% due 06/05/2037 ~ |
3,826 | 2,890 | ||||||||||
280 Park Avenue Mortgage Trust |
| |||||||||||
5.773% due 09/15/2034 ~ |
12,600 | 11,587 | ||||||||||
7.064% due 09/15/2034 • |
2,500 | 2,255 | ||||||||||
Adjustable Rate Mortgage Trust |
| |||||||||||
4.291% due 03/25/2037 ~ |
1,375 | 1,186 | ||||||||||
4.649% due 03/25/2036 ~(m) |
3,258 | 2,049 | ||||||||||
4.689% due 03/25/2037 • |
778 | 809 | ||||||||||
5.771% due 11/25/2037 ^~ |
868 | 618 |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
American Home Mortgage Assets Trust |
| |||||||||||
4.596% due 08/25/2037 ^•(m) |
$ | 8,142 | $ | 7,172 | ||||||||
4.929% due 11/25/2035 • |
570 | 528 | ||||||||||
American Home Mortgage Investment Trust |
| |||||||||||
4.929% due 03/25/2037 ~ |
2,628 | 1,045 | ||||||||||
4.989% due 09/25/2045 •(m) |
2,883 | 2,507 | ||||||||||
5.289% due 02/25/2044 •(m) |
9,132 | 8,088 | ||||||||||
6.600% due 01/25/2037 þ |
4,653 | 906 | ||||||||||
Anthracite Ltd. |
| |||||||||||
5.678% due 06/20/2041 |
2,068 | 39 | ||||||||||
ASG Resecuritization Trust |
| |||||||||||
2.710% due 01/28/2037 ~(m) |
9,465 | 7,410 | ||||||||||
6.000% due 06/28/2037 ~(m) |
25,819 | 13,371 | ||||||||||
Ashford Hospitality Trust |
| |||||||||||
7.418% due 04/15/2035 •(m) |
6,800 | 6,239 | ||||||||||
Austin Fairmont Hotel Trust |
| |||||||||||
7.118% due 09/15/2032 •(m) |
5,000 | 4,668 | ||||||||||
Avon Finance PLC |
| |||||||||||
0.000% due 09/20/2048 (b)(g) |
GBP | 28,441 | 29,269 | |||||||||
0.000% due 09/20/2048 ~ |
10 | 21,880 | ||||||||||
6.431% due 09/20/2048 ~ |
20,316 | 23,963 | ||||||||||
6.681% due 09/20/2048 ~ |
8,126 | 9,539 | ||||||||||
BAMLL Commercial Mortgage Securities Trust |
| |||||||||||
6.468% due 03/15/2037 •(m) |
$ | 7,579 | 7,235 | |||||||||
6.568% due 03/15/2037 ~(m) |
6,728 | 6,294 | ||||||||||
Banc of America Alternative Loan Trust |
| |||||||||||
2.251% due 06/25/2037 ^•(a) |
331 | 30 | ||||||||||
4.749% due 06/25/2037 ~ |
308 | 229 | ||||||||||
6.000% due 06/25/2037 |
111 | 91 | ||||||||||
6.000% due 06/25/2046 |
48 | 42 | ||||||||||
6.000% due 07/25/2046 ^ |
725 | 606 | ||||||||||
Banc of America Funding Trust |
| |||||||||||
0.000% due 06/26/2035 ~(m) |
1,923 | 1,725 | ||||||||||
0.000% due 11/26/2036 ~(m) |
26,958 | 7,018 | ||||||||||
2.569% due 08/25/2047 ^~ |
2,622 | 1,844 | ||||||||||
2.908% due 05/26/2036 ~(m) |
5,516 | 4,618 | ||||||||||
2.995% due 12/20/2034 ~ |
416 | 295 | ||||||||||
3.221% due 03/20/2036 ^~ |
1,018 | 830 | ||||||||||
3.426% due 04/20/2035 ^~ |
1,115 | 958 | ||||||||||
3.485% due 01/25/2035 ~ |
114 | 111 | ||||||||||
3.604% due 12/20/2036 ~ |
27 | 26 | ||||||||||
3.721% due 09/20/2047 ^~ |
191 | 156 | ||||||||||
3.775% due 01/20/2047 ^~ |
85 | 72 | ||||||||||
3.860% due 10/20/2046 ^~ |
314 | 260 | ||||||||||
3.870% due 09/20/2037 ~ |
394 | 304 | ||||||||||
4.286% due 09/20/2046 ^~ |
740 | 700 | ||||||||||
4.773% due 04/20/2047 ^~(m) |
5,005 | 3,924 | ||||||||||
4.809% due 04/25/2037 ^~ |
1,001 | 878 | ||||||||||
5.028% due 02/20/2035 •(m) |
3,260 | 3,100 | ||||||||||
6.000% due 10/25/2037 ^(m) |
2,883 | 2,185 | ||||||||||
6.619% due 07/26/2036 ~(m) |
8,935 | 2,859 | ||||||||||
Banc of America Mortgage Trust |
| |||||||||||
3.574% due 01/25/2036 ~ |
107 | 98 | ||||||||||
4.122% due 10/20/2046 ^~ |
65 | 55 | ||||||||||
5.750% due 10/25/2036 ^ |
673 | 538 | ||||||||||
5.750% due 05/25/2037 ^ |
615 | 465 | ||||||||||
6.000% due 10/25/2036 ^ |
82 | 66 | ||||||||||
Bancorp Commercial Mortgage Trust |
| |||||||||||
8.068% due 08/15/2032 •(m) |
4,995 | 4,958 | ||||||||||
Bayview Commercial Asset Trust |
| |||||||||||
4.719% due 03/25/2037 ~(m) |
168 | 153 | ||||||||||
BCAP LLC Trust |
| |||||||||||
1.840% due 02/26/2037 ~(m) |
8,774 | 7,369 | ||||||||||
2.389% due 02/26/2047 •(m) |
12,140 | 9,466 | ||||||||||
2.980% due 05/26/2037 ~(m) |
1,677 | 1,491 | ||||||||||
3.016% due 07/26/2045 ~(m) |
3,536 | 3,272 | ||||||||||
3.036% due 04/26/2037 ~(m) |
6,853 | 5,388 | ||||||||||
3.223% due 03/26/2037 ~ |
848 | 671 | ||||||||||
3.280% due 07/26/2036 ~ |
419 | 362 | ||||||||||
3.418% due 06/26/2036 ~ |
2,194 | 1,830 | ||||||||||
3.429% due 05/26/2036 • |
4,128 | 3,204 | ||||||||||
3.553% due 02/26/2036 ~ |
2,708 | 1,888 | ||||||||||
3.758% due 03/27/2037 ~(m) |
4,704 | 3,828 | ||||||||||
3.879% due 11/26/2035 ~(m) |
2,410 | 2,135 | ||||||||||
4.284% due 07/26/2035 ~ |
423 | 328 | ||||||||||
4.516% due 05/26/2035 ~(m) |
5,380 | 4,704 | ||||||||||
5.500% due 12/26/2035 ~ |
4,307 | 2,671 |
See Accompanying Notes | SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 75 |
Consolidated Schedule of Investments | PIMCO Dynamic Income Fund | (Cont.) |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
5.500% due 12/26/2035 ~(m) |
$ | 5,629 | $ | 3,428 | ||||||||
6.000% due 06/26/2037 ~ |
1,754 | 1,501 | ||||||||||
6.000% due 08/26/2037 ~ |
2,300 | 1,715 | ||||||||||
6.000% due 10/26/2037 ~ |
1,732 | 1,314 | ||||||||||
7.313% due 01/26/2036 ~(m) |
19,466 | 4,944 | ||||||||||
Bear Stearns Adjustable Rate Mortgage Trust |
| |||||||||||
3.354% due 08/25/2047 ^~ |
178 | 146 | ||||||||||
3.696% due 06/25/2047 ^~(m) |
1,378 | 1,236 | ||||||||||
3.765% due 09/25/2034 ~ |
37 | 33 | ||||||||||
3.845% due 02/25/2036 ^~ |
328 | 291 | ||||||||||
4.017% due 09/25/2034 ~ |
12 | 11 | ||||||||||
4.130% due 10/25/2036 ^~ |
143 | 127 | ||||||||||
Bear Stearns ALT‑A Trust |
| |||||||||||
3.058% due 05/25/2035 ~ |
148 | 139 | ||||||||||
3.125% due 09/25/2034 ~ |
193 | 184 | ||||||||||
3.257% due 04/25/2035 ~ |
157 | 135 | ||||||||||
3.367% due 04/25/2037 ~(m) |
4,612 | 3,445 | ||||||||||
3.374% due 03/25/2036 ~(m) |
1,355 | 814 | ||||||||||
3.554% due 05/25/2036 ^~ |
344 | 248 | ||||||||||
3.578% due 11/25/2035 ^~(m) |
10,832 | 7,269 | ||||||||||
3.587% due 09/25/2035 ^~(m) |
7,514 | 3,147 | ||||||||||
3.600% due 07/25/2036 ~(m) |
52,160 | 26,774 | ||||||||||
3.619% due 11/25/2035 ~ |
30 | 22 | ||||||||||
3.642% due 08/25/2046 ^~(m) |
4,265 | 3,029 | ||||||||||
3.668% due 11/25/2036 ^~ |
1,715 | 796 | ||||||||||
3.697% due 08/25/2036 ^~ |
295 | 157 | ||||||||||
3.849% due 12/25/2046 ^~(m) |
3,475 | 1,958 | ||||||||||
4.198% due 07/25/2035 ^~ |
225 | 162 | ||||||||||
4.709% due 06/25/2046 ^•(m) |
1,228 | 1,023 | ||||||||||
4.729% due 08/25/2036 ^~(m) |
14,991 | 12,274 | ||||||||||
4.789% due 02/25/2034 •(m) |
2,693 | 2,384 | ||||||||||
4.889% due 01/25/2036 ^•(m) |
4,045 | 5,220 | ||||||||||
5.514% due 01/25/2035 • |
1,091 | 998 | ||||||||||
5.514% due 03/25/2035 •(m) |
5,827 | 6,585 | ||||||||||
Bear Stearns Asset-Backed Securities Trust |
| |||||||||||
6.000% due 12/25/2035 ^ |
345 | 199 | ||||||||||
6.500% due 03/25/2037 þ(m) |
8,915 | 7,382 | ||||||||||
Bear Stearns Mortgage Funding Trust |
| |||||||||||
7.500% due 08/25/2036 þ |
398 | 399 | ||||||||||
Beast Mortgage Trust |
| |||||||||||
7.768% due 03/15/2036 •(m) |
6,000 | 4,843 | ||||||||||
Beneria Cowen & Pritzer Collateral Funding Corp. |
| |||||||||||
7.956% due 06/15/2038 ~(m) |
11,100 | 9,141 | ||||||||||
BMO Mortgage Trust |
| |||||||||||
3.269% due 02/17/2055 ~(m) |
7,850 | 6,425 | ||||||||||
BX Commercial Mortgage Trust |
| |||||||||||
6.668% (US0001M + 2.350%) due 04/15/2034 ~ |
6,000 | 5,398 | ||||||||||
7.405% due 04/15/2034 ~ |
4,000 | 3,433 | ||||||||||
BX Trust |
| |||||||||||
6.555% due 10/15/2036 •(m) |
1,010 | 941 | ||||||||||
7.055% due 10/15/2036 ~(m) |
7,993 | 7,329 | ||||||||||
7.238% due 05/15/2030 •(m) |
5,500 | 5,173 | ||||||||||
7.593% due 07/15/2034 •(m) |
11,277 | 11,109 | ||||||||||
BXP Trust |
| |||||||||||
2.775% due 01/15/2044 ~ |
3,000 | 1,885 | ||||||||||
CBA Commercial Small Balance Commercial Mortgage |
| |||||||||||
6.040% due 01/25/2039 ^þ |
367 | 338 | ||||||||||
CD Mortgage Trust |
| |||||||||||
5.688% due 10/15/2048 (m) |
1,469 | 1,295 | ||||||||||
Chase Mortgage Finance Trust |
| |||||||||||
3.499% due 01/25/2036 ^~ |
3,676 | 3,125 | ||||||||||
3.824% due 03/25/2037 ^~ |
1,055 | 964 | ||||||||||
6.000% due 03/25/2037 ^ |
523 | 284 | ||||||||||
Citigroup Commercial Mortgage Trust |
| |||||||||||
5.447% due 12/10/2049 ~(m) |
8,727 | 4,307 | ||||||||||
8.093% due 12/15/2036 ~(m) |
8,665 | 8,115 | ||||||||||
Citigroup Global Markets Mortgage Securities, Inc. |
| |||||||||||
6.500% due 02/25/2029 |
130 | 123 | ||||||||||
Citigroup Mortgage Loan Trust |
| |||||||||||
2.524% due 03/25/2037 ^~ |
176 | 165 | ||||||||||
2.524% due 03/25/2037 ^~(m) |
2,082 | 1,723 | ||||||||||
2.836% due 07/25/2036 ^~ |
1,980 | 1,198 | ||||||||||
3.125% due 08/25/2037 «~ |
1,632 | 856 | ||||||||||
3.491% due 03/25/2037 ^~ |
499 | 473 | ||||||||||
3.619% due 08/25/2034 ~(m) |
6,115 | 5,540 | ||||||||||
3.871% due 09/25/2037 ^~(m) |
2,326 | 2,001 |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
3.909% due 10/25/2035 ^~(m) |
$ | 1,215 | $ | 1,129 | ||||||||
3.993% due 04/25/2037 ^~ |
369 | 309 | ||||||||||
4.217% due 02/25/2036 ~(m) |
5,549 | 5,032 | ||||||||||
5.500% due 11/25/2035 ^ |
228 | 205 | ||||||||||
5.500% due 12/25/2035 |
1,909 | 1,056 | ||||||||||
6.000% due 07/25/2036 (m) |
4,115 | 2,204 | ||||||||||
6.380% due 03/25/2036 ^• |
100 | 91 | ||||||||||
6.500% due 09/25/2036 |
912 | 540 | ||||||||||
Colony Mortgage Capital Ltd. |
| |||||||||||
7.735% due 11/15/2038 ~(m) |
17,200 | 15,661 | ||||||||||
COLT Mortgage Loan Trust |
| |||||||||||
4.800% due 03/25/2067 ~(m) |
4,900 | 4,171 | ||||||||||
Commercial Mortgage Lease-Backed Certificates |
| |||||||||||
6.250% due 06/20/2031 ~(m) |
5,449 | 5,284 | ||||||||||
Commercial Mortgage Loan Trust |
| |||||||||||
6.480% due 12/10/2049 ~(m) |
6,071 | 972 | ||||||||||
Commercial Mortgage Trust |
| |||||||||||
6.012% due 07/10/2038 ~(m) |
4,688 | 3,100 | ||||||||||
8.468% due 12/15/2038 ~(m) |
10,004 | 8,255 | ||||||||||
9.318% due 12/15/2038 ~(m) |
5,000 | 3,926 | ||||||||||
10.318% due 12/15/2038 ~(m) |
3,360 | 2,437 | ||||||||||
Connecticut Avenue Securities Trust |
| |||||||||||
6.678% due 12/25/2041 •(m) |
2,600 | 2,406 | ||||||||||
9.178% due 03/25/2042 ~ |
1,400 | 1,405 | ||||||||||
9.428% due 12/25/2041 ~ |
1,200 | 1,027 | ||||||||||
9.928% due 10/25/2041 ~(m) |
3,600 | 3,282 | ||||||||||
10.278% due 05/25/2042 •(m) |
550 | 574 | ||||||||||
13.428% due 03/25/2042 •(m) |
3,400 | 3,289 | ||||||||||
14.528% due 05/25/2042 •(m) |
600 | 602 | ||||||||||
Countrywide Alternative Loan Resecuritization Trust |
| |||||||||||
7.000% due 01/25/2037 ^ |
5,108 | 1,136 | ||||||||||
Countrywide Alternative Loan Trust |
| |||||||||||
0.808% due 12/25/2035 ~(a) |
8,351 | 364 | ||||||||||
1.753% due 12/25/2035 ~(a) |
3,236 | 266 | ||||||||||
2.761% due 07/25/2036 •(a) |
7,088 | 1,113 | ||||||||||
2.898% due 11/25/2046 •(m) |
2,455 | 2,034 | ||||||||||
3.131% due 05/25/2036 ~(m) |
2,701 | 2,369 | ||||||||||
3.358% due 07/20/2035 ^•(m) |
5,277 | 4,313 | ||||||||||
3.385% due 06/25/2037 ^~ |
83 | 69 | ||||||||||
4.543% due 03/20/2047 ~ |
415 | 330 | ||||||||||
4.639% due 06/25/2037 ^~ |
529 | 422 | ||||||||||
4.739% due 05/25/2036 ^• |
1,186 | 370 | ||||||||||
4.739% due 08/25/2036 ^~ |
810 | 365 | ||||||||||
4.749% due 05/25/2036 •(m) |
7,844 | 7,105 | ||||||||||
4.769% due 09/25/2046 ^~(m) |
5,733 | 4,927 | ||||||||||
4.809% due 08/25/2047 ^• |
876 | 705 | ||||||||||
4.829% due 05/25/2047 ~(m) |
5,083 | 2,772 | ||||||||||
4.849% due 03/25/2036 ~(m) |
8,134 | 8,010 | ||||||||||
4.889% due 06/25/2037 •(m) |
5,945 | 4,631 | ||||||||||
4.909% due 07/25/2036 ~(m) |
8,347 | 6,667 | ||||||||||
4.953% due 11/20/2035 • |
82 | 73 | ||||||||||
5.069% due 09/25/2035 ~ |
2,512 | 1,490 | ||||||||||
5.069% due 10/25/2046 ^• |
110 | 81 | ||||||||||
5.089% due 10/25/2035 ^• |
502 | 345 | ||||||||||
5.500% due 03/29/2023 |
17 | 14 | ||||||||||
5.500% due 07/25/2035 ^ |
715 | 397 | ||||||||||
5.500% due 10/25/2035 ^ |
123 | 88 | ||||||||||
5.500% due 11/25/2035 ^ |
336 | 212 | ||||||||||
5.500% due 11/25/2035 |
1,469 | 925 | ||||||||||
5.500% due 12/25/2035 ^ |
702 | 399 | ||||||||||
5.500% due 01/25/2036 ^ |
65 | 60 | ||||||||||
5.500% due 02/25/2036 ^ |
906 | 580 | ||||||||||
5.500% due 02/25/2036 |
839 | 603 | ||||||||||
5.500% due 05/25/2036 (m) |
2,701 | 2,231 | ||||||||||
5.500% due 05/25/2036 ^ |
877 | 724 | ||||||||||
5.500% due 04/25/2037 ^(m) |
1,555 | 859 | ||||||||||
5.750% due 01/25/2036 |
133 | 77 | ||||||||||
5.750% due 05/25/2036 ^ |
144 | 65 | ||||||||||
5.750% due 01/25/2037 ^(m) |
7,951 | 4,495 | ||||||||||
5.750% due 04/25/2037 ^(m) |
1,034 | 868 | ||||||||||
5.849% due 11/25/2035 •(m) |
8,189 | 7,291 | ||||||||||
6.000% due 03/25/2035 ^ |
286 | 140 | ||||||||||
6.000% due 11/25/2035 ^ |
324 | 67 | ||||||||||
6.000% due 04/25/2036 |
487 | 241 | ||||||||||
6.000% due 04/25/2036 ^ |
186 | 102 | ||||||||||
6.000% due 08/25/2036 ^ |
236 | 138 | ||||||||||
6.000% due 11/25/2036 ^ |
227 | 134 | ||||||||||
6.000% due 12/25/2036 |
153 | 68 | ||||||||||
6.000% due 01/25/2037 ^ |
1,558 | 1,157 |
76 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
December 31, 2022 | (Unaudited) |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
Deutsche Mortgage Securities, Inc. Mortgage Loan Trust |
| |||||||||||
5.500% due 09/25/2033 |
$ | 67 | $ | 64 | ||||||||
DOLP Trust |
| |||||||||||
3.704% due 05/10/2041 ~(m) |
20,000 | 12,388 | ||||||||||
Downey Savings & Loan Association Mortgage Loan Trust |
| |||||||||||
4.519% due 04/19/2047 ^~ |
220 | 227 | ||||||||||
Dssv SARL |
| |||||||||||
4.378% (EUR003M + 3.000%) due 10/15/2024 «~ |
EUR | 7,205 | 7,660 | |||||||||
Eurosail PLC |
| |||||||||||
0.000% due 06/13/2045 ~ |
GBP | 6 | 4,037 | |||||||||
2.845% due 03/13/2045 • |
EUR | 7,067 | 6,164 | |||||||||
4.761% (SONIO/N + 1.369%) due 06/13/2045 ~ |
GBP | 15,140 | 15,142 | |||||||||
5.111% due 09/13/2045 • |
15,554 | 16,966 | ||||||||||
5.261% (SONIO/N + 1.869%) due 06/13/2045 ~ |
9,324 | 8,966 | ||||||||||
5.761% due 09/13/2045 • |
11,113 | 11,862 | ||||||||||
7.011% (SONIO/N + 3.619%) due 06/13/2045 ~ |
3,316 | 3,190 | ||||||||||
7.361% due 09/13/2045 • |
9,266 | 10,928 | ||||||||||
Extended Stay America Trust |
| |||||||||||
8.018% due 07/15/2038 ~(m) |
$ | 44,807 | 42,187 | |||||||||
Finsbury Square PLC |
| |||||||||||
8.909% due 06/16/2070 • |
GBP | 1,000 | 1,205 | |||||||||
First Horizon Alternative Mortgage Securities Trust |
| |||||||||||
0.000% due 03/27/2023 |
$ | 2 | 0 | |||||||||
2.711% due 11/25/2036 •(a) |
750 | 112 | ||||||||||
3.777% due 05/25/2036 ^~ |
502 | 412 | ||||||||||
3.865% due 02/25/2036 ~ |
33 | 26 | ||||||||||
3.935% due 08/25/2035 ^~ |
130 | 11 | ||||||||||
3.991% due 11/25/2036 ^~ |
474 | 341 | ||||||||||
6.250% due 11/25/2036 ^ |
57 | 21 | ||||||||||
First Horizon Mortgage Pass-Through Trust |
| |||||||||||
2.848% due 05/25/2037 ^~ |
2,257 | 988 | ||||||||||
3.803% due 01/25/2037 ^~ |
216 | 137 | ||||||||||
3.857% due 07/25/2037 ^~ |
14 | 10 | ||||||||||
5.500% due 08/25/2037 ^ |
213 | 84 | ||||||||||
Freddie Mac |
| |||||||||||
7.278% due 09/25/2041 •(m) |
6,000 | 5,151 | ||||||||||
7.678% due 02/25/2042 •(m) |
16,000 | 15,097 | ||||||||||
8.678% due 02/25/2042 ~(m) |
5,000 | 4,587 | ||||||||||
8.678% due 01/25/2051 • |
2,300 | 1,788 | ||||||||||
8.728% due 10/25/2050 • |
2,500 | 2,565 | ||||||||||
9.428% due 01/25/2034 • |
2,800 | 2,210 | ||||||||||
10.178% due 09/25/2041 •(m) |
6,400 | 5,151 | ||||||||||
10.928% due 12/25/2041 ~ |
500 | 399 | ||||||||||
11.428% due 10/25/2041 ~(m) |
4,900 | 4,191 | ||||||||||
12.428% due 02/25/2042 ~ |
2,350 | 1,949 | ||||||||||
GC Pastor Hipotecario FTA |
| |||||||||||
2.233% due 06/21/2046 • |
EUR | 21,023 | 19,022 | |||||||||
GMAC Mortgage Corp. Loan Trust |
| |||||||||||
3.760% due 07/19/2035 ~ |
$ | 18 | 15 | |||||||||
GreenPoint Mortgage Funding Trust |
| |||||||||||
4.749% due 01/25/2037 • |
550 | 465 | ||||||||||
4.789% due 12/25/2046 ^~(m) |
2,640 | 2,365 | ||||||||||
GS Mortgage Securities Corp. Trust |
| |||||||||||
4.591% due 10/10/2032 ~(m) |
39,357 | 37,102 | ||||||||||
6.868% due 11/15/2032 ~ |
10,358 | 9,870 | ||||||||||
6.918% due 08/15/2032 •(m) |
10,621 | 10,029 | ||||||||||
7.418% due 08/15/2032 ~(m) |
11,668 | 10,945 | ||||||||||
GS Mortgage Securities Trust |
| |||||||||||
0.461% due 08/10/2043 ~(a) |
1,027 | 9 | ||||||||||
GS Mortgage-Backed Securities Trust |
| |||||||||||
0.000% due 07/25/2059 (b)(g) |
86 | 85 | ||||||||||
0.000% due 07/25/2059 ~(a) |
264,625 | 2,646 | ||||||||||
0.000% due 07/25/2059 ~(m) |
20,073 | 12,361 | ||||||||||
GSC Capital Corp. Mortgage Trust |
| |||||||||||
4.749% due 05/25/2036 ^• |
1,264 | 1,148 | ||||||||||
GSR Mortgage Loan Trust |
| |||||||||||
3.796% due 01/25/2036 ^~ |
308 | 297 | ||||||||||
4.041% due 12/25/2034 ~ |
7 | 6 | ||||||||||
4.113% due 11/25/2035 ~ |
126 | 72 | ||||||||||
4.839% due 07/25/2037 ^~ |
233 | 45 |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
6.000% due 09/25/2034 |
$ | 277 | $ | 270 | ||||||||
6.500% due 08/25/2036 ^~ |
604 | 226 | ||||||||||
HarborView Mortgage Loan Trust |
| |||||||||||
3.435% due 06/19/2045 ^~ |
946 | 472 | ||||||||||
3.508% due 08/19/2036 ^~ |
71 | 61 | ||||||||||
4.719% due 02/19/2046 • |
792 | 639 | ||||||||||
4.759% due 11/19/2036 ~ |
1,177 | 969 | ||||||||||
4.819% due 03/19/2036 ^•(m) |
7,360 | 6,405 | ||||||||||
4.839% due 01/19/2036 ~(m) |
4,425 | 2,699 | ||||||||||
4.899% due 06/19/2034 • |
68 | 60 | ||||||||||
4.979% due 01/19/2035 • |
116 | 96 | ||||||||||
5.328% due 06/20/2035 •(m) |
4,335 | 3,748 | ||||||||||
5.703% due 06/20/2035 ~ |
1,000 | 867 | ||||||||||
Harbour PLC |
| |||||||||||
5.044% due 01/28/2054 • |
GBP | 2,200 | 2,498 | |||||||||
5.544% due 01/28/2054 • |
12,153 | 13,639 | ||||||||||
HomeBanc Mortgage Trust |
| |||||||||||
2.839% due 04/25/2037 ^~(m) |
$ | 2,537 | 2,275 | |||||||||
4.889% due 03/25/2035 • |
89 | 74 | ||||||||||
HSI Asset Loan Obligation Trust |
| |||||||||||
6.000% due 06/25/2037 ^ |
2,430 | 2,067 | ||||||||||
IM Pastor Fondo de Titluzacion Hipotecaria |
| |||||||||||
2.221% due 03/22/2043 • |
EUR | 16,243 | 14,779 | |||||||||
2.221% due 03/22/2044 • |
755 | 736 | ||||||||||
Impac CMB Trust |
| |||||||||||
4.909% due 11/25/2035 ^~ |
$ | 113 | 96 | |||||||||
5.109% due 10/25/2034 ~ |
77 | 70 | ||||||||||
Impac Secured Assets Trust |
| |||||||||||
4.609% due 05/25/2037 ^• |
2 | 2 | ||||||||||
IndyMac IMSC Mortgage Loan Trust |
| |||||||||||
3.324% due 06/25/2037 ^~(m) |
2,797 | 1,931 | ||||||||||
IndyMac INDA Mortgage Loan Trust |
| |||||||||||
2.826% due 03/25/2037 ~ |
18 | 15 | ||||||||||
3.644% due 12/25/2036 ^~ |
459 | 390 | ||||||||||
IndyMac INDX Mortgage Loan Trust |
| |||||||||||
2.824% due 06/25/2037 ^~ |
142 | 115 | ||||||||||
2.842% due 02/25/2035 ~ |
210 | 180 | ||||||||||
3.025% due 05/25/2037 ^~ |
1,749 | 1,398 | ||||||||||
3.196% due 11/25/2035 ^~(m) |
2,494 | 2,147 | ||||||||||
3.215% due 06/25/2036 ~ |
617 | 558 | ||||||||||
3.459% due 11/25/2036 ^~ |
567 | 493 | ||||||||||
4.789% due 11/25/2046 ~(m) |
3,598 | 3,137 | ||||||||||
4.809% due 11/25/2036 • |
113 | 103 | ||||||||||
4.849% due 04/25/2035 ~ |
42 | 37 | ||||||||||
4.889% due 02/25/2037 • |
2,167 | 1,369 | ||||||||||
4.989% due 07/25/2036 • |
320 | 221 | ||||||||||
5.189% due 08/25/2034 ~ |
112 | 93 | ||||||||||
5.249% due 09/25/2034 ~ |
191 | 163 | ||||||||||
Jackson Park Trust |
| |||||||||||
3.242% due 10/14/2039 ~(m) |
3,900 | 2,819 | ||||||||||
Jefferies Resecuritization Trust |
| |||||||||||
6.000% due 12/26/2036 ~ |
3,560 | 1,119 | ||||||||||
JP Morgan Alternative Loan Trust |
| |||||||||||
3.133% due 05/25/2036 ^~ |
588 | 336 | ||||||||||
3.382% due 11/25/2036 ^~ |
87 | 85 | ||||||||||
4.529% due 06/27/2037 •(m) |
5,048 | 3,776 | ||||||||||
4.789% due 06/25/2037 •(m) |
22,943 | 9,760 | ||||||||||
5.500% due 11/25/2036 ^~ |
8 | 3 | ||||||||||
6.000% due 12/25/2035 ^ |
551 | 400 | ||||||||||
6.460% due 12/25/2036 ^þ(m) |
2,452 | 2,327 | ||||||||||
6.632% due 06/27/2037 ~(m) |
13,264 | 5,929 | ||||||||||
JP Morgan Chase Commercial Mortgage Securities Trust |
| |||||||||||
5.310% due 06/12/2041 ~(m) |
328 | 318 | ||||||||||
5.618% (US0001M + 1.050%) due 12/15/2036 ~ |
7,905 | 6,958 | ||||||||||
6.068% due 12/15/2036 ~ |
2,500 | 2,128 | ||||||||||
7.833% due 11/15/2038 ~(m) |
11,300 | 10,440 | ||||||||||
9.578% due 11/15/2038 •(m) |
19,700 | 17,467 | ||||||||||
JP Morgan Mortgage Trust |
| |||||||||||
3.349% due 05/25/2036 ^~ |
199 | 161 | ||||||||||
3.570% due 07/25/2035 ~ |
26 | 24 | ||||||||||
3.590% due 10/25/2036 ~ |
359 | 267 | ||||||||||
3.614% due 10/25/2036 ^~ |
14 | 10 | ||||||||||
3.767% due 06/25/2037 ^~(m) |
1,753 | 1,390 | ||||||||||
6.000% due 08/25/2037 ^ |
342 | 190 |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
JP Morgan Resecuritization Trust |
| |||||||||||
4.238% due 03/21/2037 ~ |
$ | 376 | $ | 342 | ||||||||
6.000% due 09/26/2036 ~ |
1,116 | 844 | ||||||||||
6.500% due 04/26/2036 ~ |
4,092 | 1,513 | ||||||||||
Lansdowne Mortgage Securities PLC |
| |||||||||||
2.421% due 09/16/2048 • |
EUR | 6,555 | 6,425 | |||||||||
2.506% due 06/15/2045 • |
800 | 607 | ||||||||||
Lavender Trust |
| |||||||||||
6.000% due 11/26/2036 (m) |
$ | 7,067 | 6,122 | |||||||||
6.250% due 10/26/2036 (m) |
3,650 | 1,948 | ||||||||||
Lehman Mortgage Trust |
| |||||||||||
5.909% due 04/25/2036 ^~ |
199 | 132 | ||||||||||
6.000% due 08/25/2036 ^ |
462 | 374 | ||||||||||
6.000% due 09/25/2036 ^ |
336 | 188 | ||||||||||
6.000% due 05/25/2037 ^ |
25 | 24 | ||||||||||
6.000% due 01/25/2038 ^ |
488 | 461 | ||||||||||
6.500% due 09/25/2037 ^ |
3,150 | 1,135 | ||||||||||
7.250% due 09/25/2037 ^(m) |
31,099 | 9,351 | ||||||||||
Lehman XS Trust |
| |||||||||||
4.944% due 08/25/2047 ^~ |
241 | 207 | ||||||||||
4.949% due 07/25/2037 ~(m) |
22,489 | 14,661 | ||||||||||
5.389% due 07/25/2047 •(m) |
3,395 | 2,775 | ||||||||||
LUXE Commercial Mortgage Trust |
| |||||||||||
7.568% due 10/15/2038 •(m) |
5,211 | 4,780 | ||||||||||
MASTR Adjustable Rate Mortgages Trust |
| |||||||||||
2.788% due 01/25/2047 ^~ |
45 | 44 | ||||||||||
3.365% due 10/25/2034 ~ |
188 | 168 | ||||||||||
4.724% due 05/25/2047 ^~(m) |
6,765 | 5,476 | ||||||||||
MASTR Alternative Loan Trust |
| |||||||||||
4.739% due 03/25/2036 ~ |
19,984 | 2,257 | ||||||||||
4.789% due 03/25/2036 ^• |
26,415 | 3,017 | ||||||||||
MBRT |
| |||||||||||
7.217% due 11/15/2036 ~(m) |
9,308 | 8,861 | ||||||||||
Merrill Lynch Alternative Note Asset Trust |
| |||||||||||
6.000% due 05/25/2037 ^(m) |
2,361 | 1,828 | ||||||||||
Merrill Lynch Mortgage Investors Trust |
| |||||||||||
2.736% due 03/25/2036 ^~(m) |
6,683 | 3,670 | ||||||||||
2.762% due 05/25/2036 ~ |
1,593 | 1,477 | ||||||||||
MFA Trust |
| |||||||||||
4.039% due 04/25/2065 ~(m) |
14,456 | 10,969 | ||||||||||
Morgan Stanley Capital I Trust |
| |||||||||||
7.368% (US0001M + 3.050%) due 07/15/2035 ~ |
10,478 | 9,850 | ||||||||||
Morgan Stanley Capital Trust |
| |||||||||||
5.818% due 12/15/2036 ~ |
453 | 406 | ||||||||||
6.562% due 12/15/2036 •(m) |
18,590 | 14,020 | ||||||||||
8.513% due 12/15/2023 •(m) |
18,000 | 16,016 | ||||||||||
9.412% due 12/15/2023 ~(m) |
19,500 | 17,027 | ||||||||||
Morgan Stanley Mortgage Loan Trust |
| |||||||||||
3.572% due 07/25/2035 ^~ |
598 | 497 | ||||||||||
3.662% due 05/25/2036 ^~ |
1,653 | 788 | ||||||||||
3.932% due 01/25/2035 ^~(m) |
186 | 152 | ||||||||||
4.699% due 01/25/2035 ~ |
318 | 284 | ||||||||||
4.729% due 05/25/2036 • |
148 | 30 | ||||||||||
5.750% due 12/25/2035 ^ |
186 | 133 | ||||||||||
5.962% due 06/25/2036 ^~ |
1,834 | 561 | ||||||||||
6.000% due 08/25/2037 ^ |
140 | 61 | ||||||||||
Morgan Stanley Re‑REMIC Trust |
| |||||||||||
2.666% due 03/26/2037 þ(m) |
1,375 | 1,288 | ||||||||||
2.702% due 02/26/2037 • |
2,182 | 1,974 | ||||||||||
3.548% due 06/26/2035 ~(m) |
10,890 | 8,064 | ||||||||||
3.570% due 07/26/2035 ~(m) |
8,000 | 7,522 | ||||||||||
4.194% due 09/26/2035 ~(m) |
740 | 686 | ||||||||||
6.000% due 04/26/2036 (m) |
7,596 | 7,406 | ||||||||||
Mortgage Equity Conversion Asset Trust |
| |||||||||||
4.000% due 07/25/2060 |
4,255 | 3,812 | ||||||||||
Mortgage Funding PLC |
| |||||||||||
6.711% due 03/13/2046 • |
GBP | 1,000 | 1,133 | |||||||||
Natixis Commercial Mortgage Securities Trust |
| |||||||||||
7.468% due 11/15/2034 ~(m) |
$ | 8,574 | 8,275 | |||||||||
8.468% due 11/15/2034 •(m) |
3,718 | 3,490 | ||||||||||
New Residential Mortgage Loan Trust |
| |||||||||||
3.881% due 11/25/2059 ~ |
8,300 | 3,626 | ||||||||||
New York Mortgage Trust |
| |||||||||||
3.558% due 08/25/2061 þ(m) |
1,000 | 847 | ||||||||||
5.250% due 07/25/2062 þ(m) |
14,945 | 14,082 |
See Accompanying Notes | SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 77 |
Consolidated Schedule of Investments | PIMCO Dynamic Income Fund | (Cont.) |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
Newgate Funding PLC |
| |||||||||||
3.296% due 12/15/2050 • |
EUR | 1,126 | $ | 1,072 | ||||||||
3.546% due 12/15/2050 • |
2,149 | 1,885 | ||||||||||
Nomura Resecuritization Trust |
| |||||||||||
4.421% due 09/26/2035 ~(m) |
$ | 3,968 | 3,440 | |||||||||
NovaStar Mortgage Funding Trust |
| |||||||||||
0.412% due 09/25/2046 • |
157 | 149 | ||||||||||
PMT Credit Risk Transfer Trust |
| |||||||||||
7.287% due 02/27/2024 •(m) |
4,531 | 4,345 | ||||||||||
Preston Ridge Partners Mortgage LLC |
| |||||||||||
6.291% due 02/25/2027 þ(m) |
1,000 | 933 | ||||||||||
Prime Mortgage Trust |
| |||||||||||
4.739% due 06/25/2036 ^• |
1,572 | 1,104 | ||||||||||
7.000% due 07/25/2034 |
51 | 44 | ||||||||||
RBSSP Resecuritization Trust |
| |||||||||||
0.000% due 06/26/2037 ~ |
419 | 359 | ||||||||||
2.880% due 07/26/2045 ~(m) |
10,865 | 10,153 | ||||||||||
3.707% due 05/26/2037 ~ |
2,927 | 1,849 | ||||||||||
4.137% due 09/26/2035 ~ |
3,470 | 2,054 | ||||||||||
6.000% due 03/26/2036 ^~ |
3,540 | 2,049 | ||||||||||
Regal Trust |
| |||||||||||
2.605% due 09/29/2031 • |
1 | 1 | ||||||||||
Residential Accredit Loans, Inc. Trust |
| |||||||||||
3.048% due 01/25/2046 ^•(m) |
3,008 | 2,436 | ||||||||||
4.689% due 02/25/2037 • |
312 | 271 | ||||||||||
4.749% due 07/25/2036 ^•(m) |
6,921 | 2,941 | ||||||||||
4.769% due 05/25/2037 •(m) |
7,442 | 6,485 | ||||||||||
4.809% due 06/25/2037 ~ |
758 | 681 | ||||||||||
5.240% due 01/25/2036 ~ |
59 | 63 | ||||||||||
5.500% due 04/25/2037 |
45 | 35 | ||||||||||
6.000% due 08/25/2035 ^ |
670 | 559 | ||||||||||
6.000% due 12/25/2035 ^(m) |
1,375 | 1,159 | ||||||||||
6.000% due 06/25/2036 |
156 | 126 | ||||||||||
6.000% due 09/25/2036 ^(m) |
3,115 | 1,380 | ||||||||||
6.000% due 11/25/2036 ^(m) |
1,505 | 1,216 | ||||||||||
6.000% due 01/25/2037 ^ |
229 | 174 | ||||||||||
6.250% due 02/25/2037 ^(m) |
2,260 | 1,758 | ||||||||||
6.500% due 09/25/2037 ^ |
823 | 650 | ||||||||||
7.000% due 10/25/2037 (m) |
4,904 | 3,765 | ||||||||||
Residential Asset Mortgage Products Trust |
| |||||||||||
8.000% due 05/25/2032 |
384 | 256 | ||||||||||
Residential Asset Securitization Trust |
| |||||||||||
5.500% due 07/25/2035 |
615 | 377 | ||||||||||
6.000% due 02/25/2037 ^ |
166 | 77 | ||||||||||
6.000% due 03/25/2037 ^ |
2,794 | 961 | ||||||||||
6.000% due 07/25/2037 ^ |
6,193 | 2,503 | ||||||||||
6.250% due 08/25/2037 ^ |
4,069 | 1,161 | ||||||||||
Residential Funding Mortgage Securities, Inc. Trust |
| |||||||||||
4.938% due 07/27/2037 ^~ |
113 | 86 | ||||||||||
5.850% due 11/25/2035 ^ |
57 | 52 | ||||||||||
6.000% due 04/25/2037 ^ |
437 | 333 | ||||||||||
6.000% due 06/25/2037 ^ |
162 | 121 | ||||||||||
RiverView HECM Trust |
| |||||||||||
5.140% due 05/25/2047 • |
9,777 | 9,450 | ||||||||||
Seasoned Credit Risk Transfer Trust |
| |||||||||||
2.488% due 11/25/2061 ~(a) |
4,499 | 1,419 | ||||||||||
4.053% due 11/25/2059 ~(m) |
6,796 | 2,538 | ||||||||||
4.250% due 11/25/2059 ~(m) |
4,530 | 3,858 | ||||||||||
4.250% due 09/25/2060 |
1,800 | 1,550 | ||||||||||
4.250% due 03/25/2061 ~ |
700 | 556 | ||||||||||
4.500% due 11/25/2061 ~(m) |
3,900 | 3,051 | ||||||||||
5.000% due 04/25/2062 ~(m) |
3,400 | 2,647 | ||||||||||
5.370% due 03/25/2061 ~ |
500 | 257 | ||||||||||
9.140% due 11/25/2060 ~ |
1,199 | 920 | ||||||||||
11.761% due 09/25/2060 ~ |
1,596 | 1,159 | ||||||||||
Sequoia Mortgage Trust |
| |||||||||||
3.044% due 01/20/2038 ^~ |
81 | 65 | ||||||||||
3.867% due 02/20/2034 • |
177 | 155 | ||||||||||
4.151% due 09/20/2032 ~ |
227 | 203 | ||||||||||
5.093% due 07/20/2036 • |
144 | 20 | ||||||||||
5.553% due 10/20/2027 ~ |
276 | 248 | ||||||||||
SFO Commercial Mortgage Trust |
| |||||||||||
6.118% due 05/15/2038 • |
1,630 | 1,433 | ||||||||||
SG Commercial Mortgage Securities Trust |
| |||||||||||
4.509% due 02/15/2041 ~(m) |
9,000 | 6,720 | ||||||||||
SMRT Commercial Mortgage Trust |
| |||||||||||
7.036% due 01/15/2039 •(m) |
29,800 | 27,305 |
78 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
December 31, 2022 | (Unaudited) |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
Fieldstone Mortgage Investment Trust |
| |||||||||||
4.356% due 07/25/2036 • |
$ | 4,305 | $ | 2,155 | ||||||||
First Franklin Mortgage Loan Trust |
| |||||||||||
4.959% due 02/25/2036 ~(m) |
5,500 | 5,029 | ||||||||||
5.334% due 09/25/2035 ~(m) |
5,831 | 5,127 | ||||||||||
5.364% due 05/25/2036 •(m) |
13,765 | 12,011 | ||||||||||
Flagship Credit Auto Trust |
| |||||||||||
0.000% due 12/15/2027 «(g) |
9 | 1,025 | ||||||||||
0.000% due 06/15/2029 «(g) |
3 | 951 | ||||||||||
FREED ABS Trust |
| |||||||||||
0.000% due 09/20/2027 «(g) |
10 | 1,523 | ||||||||||
Fremont Home Loan Trust |
| |||||||||||
4.539% due 01/25/2037 ~ |
2,948 | 1,346 | ||||||||||
4.869% due 02/25/2037 ~ |
1,154 | 416 | ||||||||||
Glacier Funding CDO Ltd. |
| |||||||||||
4.778% due 08/04/2035 ~(m) |
31,282 | 4,060 | ||||||||||
GMACM Home Equity Loan Trust |
| |||||||||||
6.749% due 12/25/2037 þ |
732 | 735 | ||||||||||
Greenpoint Manufactured Housing |
| |||||||||||
9.230% due 12/15/2029 ~ |
6,070 | 5,252 | ||||||||||
GSAMP Trust |
| |||||||||||
4.449% due 01/25/2037 • |
2,708 | 1,646 | ||||||||||
4.479% due 01/25/2037 • |
808 | 491 | ||||||||||
4.529% due 12/25/2036 ~ |
837 | 453 | ||||||||||
4.589% due 11/25/2036 • |
3,487 | 1,691 | ||||||||||
4.639% due 12/25/2036 ~ |
3,906 | 1,954 | ||||||||||
4.709% due 04/25/2036 • |
454 | 290 | ||||||||||
4.929% due 04/25/2036 •(m) |
16,175 | 10,437 | ||||||||||
6.039% due 10/25/2034 • |
107 | 103 | ||||||||||
6.264% due 06/25/2034 •(m) |
1,253 | 1,093 | ||||||||||
Hillcrest CDO Ltd. |
| |||||||||||
3.576% due 12/10/2039 ~(m) |
32,573 | 6,931 | ||||||||||
Home Equity Mortgage Loan Asset-Backed Trust |
| |||||||||||
4.549% due 11/25/2036 •(m) |
3,467 | 2,969 | ||||||||||
4.629% due 04/25/2037 ~(m) |
17,976 | 11,890 | ||||||||||
4.709% due 04/25/2037 • |
2,821 | 2,390 | ||||||||||
Hout Bay Corp. |
| |||||||||||
4.422% due 07/05/2041 • |
108,638 | 18,425 | ||||||||||
4.622% due 07/05/2041 ~ |
4,871 | 522 | ||||||||||
4.752% due 07/05/2041 ~ |
1,690 | 0 | ||||||||||
HSI Asset Securitization Corp. Trust |
| |||||||||||
4.529% due 12/25/2036 •(m) |
9,085 | 7,640 | ||||||||||
4.579% due 01/25/2037 ~(m) |
29,374 | 21,082 | ||||||||||
4.609% due 12/25/2036 ~(m) |
20,260 | 5,547 | ||||||||||
4.709% due 10/25/2036 ~ |
6,668 | 2,738 | ||||||||||
4.729% due 12/25/2036 ~ |
12,409 | 3,365 | ||||||||||
IndyMac Home Equity Mortgage Loan Asset-Backed Trust |
| |||||||||||
5.734% due 12/25/2031 ^þ |
467 | 185 | ||||||||||
IXIS Real Estate Capital Trust |
| |||||||||||
5.364% due 09/25/2035 ^~(m) |
3,207 | 3,121 | ||||||||||
JP Morgan Mortgage Acquisition Trust |
| |||||||||||
4.549% due 08/25/2036 • |
6 | 3 | ||||||||||
4.579% due 03/25/2047 ~ |
338 | 334 | ||||||||||
4.689% due 07/25/2036 • |
1,351 | 620 | ||||||||||
4.709% due 07/25/2036 ^~ |
1,005 | 291 | ||||||||||
5.462% due 09/25/2029 ^þ |
2,710 | 1,723 | ||||||||||
5.888% due 10/25/2036 ^þ(m) |
7,424 | 4,719 | ||||||||||
KGS‑Alpha SBA COOF Trust |
| |||||||||||
1.096% due 04/25/2038 «~(a) |
1,010 | 21 | ||||||||||
Labrador Aviation Finance Ltd. |
| |||||||||||
4.300% due 01/15/2042 |
3,430 | 2,718 | ||||||||||
Lehman ABS Mortgage Loan Trust |
| |||||||||||
4.479% due 06/25/2037 • |
3,536 | 2,502 | ||||||||||
Lehman XS Trust |
| |||||||||||
4.369% due 05/25/2037 ^~(m) |
6,921 | 5,714 | ||||||||||
6.670% due 06/24/2046 þ |
408 | 425 | ||||||||||
LendingPoint Pass-Through Trust |
| |||||||||||
0.000% due 03/15/2028 «(g) |
1,400 | 366 | ||||||||||
0.000% due 04/15/2028 «(g) |
1,700 | 695 | ||||||||||
LoanCore Issuer Ltd. |
| |||||||||||
6.972% due 07/15/2035 ~(m) |
2,705 | 2,523 | ||||||||||
Long Beach Mortgage Loan Trust |
| |||||||||||
4.769% due 02/25/2036 ~(m) |
43,206 | 35,411 | ||||||||||
4.929% due 05/25/2046 • |
8,247 | 2,790 | ||||||||||
5.094% due 11/25/2035 •(m) |
56,092 | 51,754 |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
Madison Park Funding Ltd. |
| |||||||||||
0.000% due 07/27/2047 ~ |
$ | 5,600 | $ | 2,491 | ||||||||
Margate Funding Ltd. |
| |||||||||||
3.488% due 12/04/2044 •(m) |
17,556 | 5,844 | ||||||||||
Marlette Funding Trust |
| |||||||||||
0.000% due 07/16/2029 «(g) |
16 | 1,251 | ||||||||||
0.000% due 09/17/2029 «(g) |
35 | 2,845 | ||||||||||
0.000% due 03/15/2030 «(g) |
33 | 1,205 | ||||||||||
0.000% due 09/16/2030 «(g) |
9 | 585 | ||||||||||
MASTR Asset-Backed Securities Trust |
| |||||||||||
4.609% due 08/25/2036 ~ |
2,817 | 1,143 | ||||||||||
4.689% due 03/25/2036 •(m) |
5,516 | 3,859 | ||||||||||
4.729% due 06/25/2036 •(m) |
4,164 | 3,723 | ||||||||||
4.749% due 02/25/2036 ~(m) |
6,278 | 2,539 | ||||||||||
4.869% due 06/25/2036 • |
2,693 | 1,079 | ||||||||||
4.929% due 12/25/2035 •(m) |
15,155 | 12,395 | ||||||||||
4.959% due 01/25/2036 ~ |
200 | 196 | ||||||||||
Mid‑State Trust |
| |||||||||||
6.742% due 10/15/2040 |
3,008 | 2,943 | ||||||||||
Morgan Stanley ABS Capital, Inc. Trust |
| |||||||||||
4.459% due 10/25/2036 ~ |
1,449 | 695 | ||||||||||
4.489% due 11/25/2036 • |
1,235 | 745 | ||||||||||
4.509% due 09/25/2036 ~ |
3,293 | 1,256 | ||||||||||
4.529% due 10/25/2036 •(m) |
7,538 | 3,618 | ||||||||||
4.539% due 11/25/2036 •(m) |
13,461 | 8,130 | ||||||||||
4.609% due 10/25/2036 • |
3,633 | 1,745 | ||||||||||
4.689% due 06/25/2036 ~ |
4,797 | 2,520 | ||||||||||
4.689% due 06/25/2036 • |
513 | 447 | ||||||||||
4.689% due 09/25/2036 ~ |
6,615 | 2,538 | ||||||||||
4.719% due 02/25/2037 • |
4,644 | 2,265 | ||||||||||
5.424% due 01/25/2035 ~(m) |
6,376 | 5,166 | ||||||||||
6.339% due 05/25/2034 • |
518 | 515 | ||||||||||
Morgan Stanley Capital, Inc. Trust |
| |||||||||||
4.749% due 03/25/2036 • |
11 | 9 | ||||||||||
Morgan Stanley Home Equity Loan Trust |
| |||||||||||
4.619% due 04/25/2037 ~(m) |
22,634 | 12,582 | ||||||||||
National Collegiate Commutation Trust |
| |||||||||||
0.000% due 03/25/2038 ~ |
93,425 | 27,896 | ||||||||||
0.000% due 03/25/2038 • |
41,775 | 13,195 | ||||||||||
New Century Home Equity Loan Trust |
| |||||||||||
7.389% due 01/25/2033 ^• |
265 | 225 | ||||||||||
Nomura Home Equity Loan, Inc. Home Equity Loan Trust |
| |||||||||||
4.669% due 07/25/2036 ~(m) |
3,500 | 2,854 | ||||||||||
4.719% due 10/25/2036 ^• |
4,287 | 971 | ||||||||||
NovaStar Mortgage Funding Trust |
| |||||||||||
4.729% due 11/25/2036 ~ |
1,089 | 375 | ||||||||||
Oakwood Mortgage Investors, Inc. |
| |||||||||||
4.548% due 06/15/2032 ~ |
2 | 2 | ||||||||||
7.840% due 11/15/2029 ~ |
1,325 | 1,351 | ||||||||||
8.490% due 10/15/2030 ^ |
1,172 | 1,093 | ||||||||||
OCP CLO Ltd. |
| |||||||||||
0.000% due 07/20/2032 ~ |
11 | 4,090 | ||||||||||
Option One Mortgage Loan Trust |
| |||||||||||
4.519% due 07/25/2037 •(m) |
12,356 | 7,002 | ||||||||||
4.529% due 01/25/2037 •(m) |
8,166 | 4,868 | ||||||||||
4.529% due 01/25/2037 • |
280 | 188 | ||||||||||
4.609% due 01/25/2037 • |
1,666 | 993 | ||||||||||
4.639% due 03/25/2037 • |
508 | 250 | ||||||||||
4.719% due 04/25/2037 ~ |
2,067 | 997 | ||||||||||
5.662% due 01/25/2037 ^þ |
2 | 2 | ||||||||||
Orient Point CDO Ltd. |
| |||||||||||
4.013% due 10/03/2045 •(m) |
195,556 | 65,412 | ||||||||||
4.013% due 10/03/2045 ~(m) |
196,432 | 65,705 | ||||||||||
Ownit Mortgage Loan Trust |
| |||||||||||
3.116% due 10/25/2035 þ |
1,648 | 958 | ||||||||||
Palisades CDO Ltd. |
| |||||||||||
5.275% due 07/22/2039 •(m) |
6,700 | 2,880 | ||||||||||
Park Place Securities, Inc. Asset-Backed Pass‑Through Certificates |
| |||||||||||
6.264% due 10/25/2034 ~ |
1,161 | 1,077 | ||||||||||
6.414% due 12/25/2034 •(m) |
25,974 | 23,776 | ||||||||||
PRET LLC |
| |||||||||||
3.721% due 07/25/2051 þ |
1,200 | 980 | ||||||||||
3.844% due 07/25/2051 þ |
2,900 | 2,449 | ||||||||||
3.967% due 09/25/2051 þ(m) |
3,900 | 3,284 |
See Accompanying Notes | SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 79 |
Consolidated Schedule of Investments | PIMCO Dynamic Income Fund | (Cont.) |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
6.170% due 07/25/2051 þ |
$ | 2,100 | $ | 1,951 | ||||||||
7.870% due 06/25/2052 þ |
3,500 | 3,366 | ||||||||||
Putnam Structured Product Funding Ltd. |
| |||||||||||
1.584% due 10/15/2038 ~(m) |
829 | 559 | ||||||||||
RAAC Trust |
| |||||||||||
7.014% due 05/25/2046 •(m) |
17,151 | 15,347 | ||||||||||
Renaissance Home Equity Loan Trust |
| |||||||||||
5.612% due 04/25/2037 þ |
3,152 | 953 | ||||||||||
Residential Asset Mortgage Products Trust |
| |||||||||||
4.396% due 08/25/2033 • |
385 | 374 | ||||||||||
4.889% due 04/25/2034 •(m) |
1,579 | 1,538 | ||||||||||
4.969% due 04/25/2034 • |
710 | 693 | ||||||||||
5.439% due 04/25/2034 ^~ |
1,041 | 947 | ||||||||||
5.709% due 04/25/2034 ^• |
1,738 | 1,564 | ||||||||||
Residential Asset Securities Corp. Trust |
| |||||||||||
4.649% due 11/25/2036 •(m) |
4,856 | 4,416 | ||||||||||
4.729% due 10/25/2036 •(m) |
3,849 | 3,625 | ||||||||||
4.869% due 08/25/2036 •(m) |
10,280 | 9,125 | ||||||||||
4.884% due 04/25/2036 ~(m) |
5,975 | 5,198 | ||||||||||
5.049% due 12/25/2035 ~(m) |
7,640 | 6,806 | ||||||||||
Rockford Tower CLO Ltd. |
| |||||||||||
0.000% due 10/15/2029 ~ |
11,667 | 3,659 | ||||||||||
0.000% due 10/20/2030 ~ |
4,967 | 2,526 | ||||||||||
0.000% due 10/20/2031 ~ |
4,967 | 2,207 | ||||||||||
0.000% due 04/20/2034 ~ |
22,000 | 13,455 | ||||||||||
Saxon Asset Securities Trust |
| |||||||||||
1.624% due 11/25/2035 ~ |
5,547 | 3,415 | ||||||||||
2.047% due 03/25/2035 • |
5,164 | 2,854 | ||||||||||
Securitized Asset-Backed Receivables LLC Trust |
| |||||||||||
4.619% due 02/25/2037 ^• |
231 | 107 | ||||||||||
4.669% due 07/25/2036 ~ |
13,280 | 10,817 | ||||||||||
4.709% due 07/25/2036 ~ |
2,252 | 803 | ||||||||||
4.889% due 05/25/2036 • |
15,858 | 8,634 | ||||||||||
4.989% due 11/25/2035 • |
10,966 | 8,918 | ||||||||||
5.049% due 08/25/2035 ^• |
1,693 | 1,286 | ||||||||||
5.064% due 01/25/2035 ~ |
6 | 6 | ||||||||||
Segovia European CLO DAC |
| |||||||||||
0.000% due 04/15/2035 ~ |
EUR | 1,400 | 572 | |||||||||
SLM Student Loan EDC Repackaging Trust |
| |||||||||||
0.000% due 10/28/2029 «(g) |
$ | 36 | 20,459 | |||||||||
SLM Student Loan Trust |
| |||||||||||
0.000% due 01/25/2042 «(g) |
31 | 10,601 | ||||||||||
SMB Private Education Loan Trust |
| |||||||||||
0.000% due 10/15/2048 «(g) |
8 | 2,590 | ||||||||||
0.000% due 09/15/2054 «(g) |
60,727 | 77,102 | ||||||||||
0.000% due 11/16/2054 «(g) |
5 | 5,028 | ||||||||||
0.000% due 02/16/2055 «(g) |
9 | 13,873 | ||||||||||
5.950% due 02/16/2055 |
11,206 | 10,447 | ||||||||||
SoFi Professional Loan Program LLC |
| |||||||||||
0.000% due 01/25/2039 «(g) |
33,000 | 2,595 | ||||||||||
Sofi Professional Loan Program LLC |
| |||||||||||
0.000% due 05/25/2040 (g) |
31,475 | 3,192 | ||||||||||
0.000% due 07/25/2040 «(g) |
157 | 1,875 | ||||||||||
SoFi Professional Loan Program LLC |
| |||||||||||
0.000% due 09/25/2040 «(g) |
14,219 | 1,945 | ||||||||||
Soloso CDO Ltd. |
| |||||||||||
4.104% due 10/07/2037 • |
17,418 | 14,436 | ||||||||||
Soundview Home Loan Trust |
| |||||||||||
4.539% due 06/25/2037 ~ |
2,347 | 1,681 | ||||||||||
4.569% due 02/25/2037 ~ |
7,155 | 2,074 | ||||||||||
4.649% due 02/25/2037 • |
8,304 | 2,432 | ||||||||||
4.669% due 06/25/2037 • |
5,801 | 4,155 | ||||||||||
5.339% due 10/25/2037 • |
4,470 | 3,304 | ||||||||||
5.489% due 09/25/2037 • |
1,789 | 1,466 | ||||||||||
South Coast Funding Ltd. |
| |||||||||||
0.476% due 01/06/2041 ~ |
168,529 | 32,693 | ||||||||||
0.476% due 01/06/2041 • |
48 | 9 | ||||||||||
Specialty Underwriting & Residential Finance Trust |
| |||||||||||
3.595% due 02/25/2037 ^þ |
2,590 | 1,034 | ||||||||||
3.663% due 06/25/2037 • |
3,086 | 1,520 | ||||||||||
4.739% due 03/25/2037 • |
300 | 181 | ||||||||||
Start Ltd. |
| |||||||||||
4.089% due 03/15/2044 |
687 | 587 | ||||||||||
Structured Asset Securities Corp. |
| |||||||||||
10.389% due 05/25/2032 ^• |
5,376 | 4,476 |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
Structured Asset Securities Corp. Mortgage Loan Trust |
| |||||||||||
4.839% due 06/25/2035 • |
$ | 22 | $ | 22 | ||||||||
Symphony CLO Ltd. |
| |||||||||||
8.611% due 07/14/2026 • |
15,100 | 14,375 | ||||||||||
Taberna Preferred Funding Ltd. |
| |||||||||||
4.872% due 05/05/2038 ~ |
2,355 | 2,243 | ||||||||||
4.872% due 05/05/2038 • |
716 | 682 | ||||||||||
4.882% due 02/05/2037 ~ |
14,780 | 13,302 | ||||||||||
4.912% due 08/05/2036 • |
3,022 | 2,697 | ||||||||||
4.912% due 08/05/2036 ^~ |
12,157 | 10,850 | ||||||||||
Talon Funding Ltd. |
| |||||||||||
5.255% due 06/05/2035 • |
676 | 105 | ||||||||||
Tropic CDO Ltd. |
| |||||||||||
4.399% due 07/15/2036 ~ |
3,365 | 3,199 | ||||||||||
UCFC Home Equity Loan Trust |
| |||||||||||
7.750% due 04/15/2030 ~ |
400 | 374 | ||||||||||
Verde CDO Ltd. |
| |||||||||||
3.978% due 10/05/2045 ~ |
240,688 | 58,583 | ||||||||||
|
|
|||||||||||
Total Asset-Backed Securities (Cost $1,920,676) |
1,460,014 | |||||||||||
|
|
|||||||||||
SOVEREIGN ISSUES 2.0% | | |||||||||||
Argentina Government International Bond |
| |||||||||||
0.500% due 07/09/2030 þ |
31,687 | 7,330 | ||||||||||
1.000% due 07/09/2029 (m) |
5,302 | 1,418 | ||||||||||
1.400% due 03/25/2023 |
ARS | 859,778 | 2,611 | |||||||||
1.450% due 08/13/2023 |
1,176,949 | 3,509 | ||||||||||
1.500% due 07/09/2035 þ |
$ | 35,144 | 7,960 | |||||||||
1.500% due 07/09/2046 þ |
230 | 59 | ||||||||||
3.500% due 07/09/2041 þ(m) |
17,060 | 4,892 | ||||||||||
3.875% due 01/09/2038 þ(m) |
76,360 | 24,312 | ||||||||||
15.500% due 10/17/2026 |
ARS | 555,410 | 429 | |||||||||
Autonomous City of Buenos Aires |
| |||||||||||
72.986% (BADLARPP + 3.750%) due 02/22/2028 ~ |
155,766 | 445 | ||||||||||
Ecuador Government International Bond |
| |||||||||||
5.500% due 07/31/2030 þ |
$ | 2,960 | 1,900 | |||||||||
Ghana Government International Bond |
| |||||||||||
6.375% due 02/11/2027 ^(d)(m) |
4,477 | 1,735 | ||||||||||
7.875% due 02/11/2035 ^(d)(m) |
5,412 | 1,962 | ||||||||||
8.750% due 03/11/2061 ^(d)(m) |
1,500 | 531 | ||||||||||
Nigeria Government International Bond |
| |||||||||||
8.250% due 09/28/2051 (m) |
7,300 | 4,898 | ||||||||||
Peru Government International Bond |
| |||||||||||
5.350% due 08/12/2040 |
PEN | 149 | 30 | |||||||||
5.400% due 08/12/2034 |
1 | 0 | ||||||||||
5.940% due 02/12/2029 |
725 | 175 | ||||||||||
6.150% due 08/12/2032 |
12 | 3 | ||||||||||
6.350% due 08/12/2028 |
922 | 231 | ||||||||||
6.350% due 08/12/2028 (m) |
2,168 | 543 | ||||||||||
6.900% due 08/12/2037 |
15 | 4 | ||||||||||
6.950% due 08/12/2031 |
12 | 3 | ||||||||||
8.200% due 08/12/2026 (m) |
1,740 | 480 | ||||||||||
8.200% due 08/12/2026 |
250 | 69 | ||||||||||
Provincia de Buenos Aires |
| |||||||||||
72.913% due 04/12/2025 |
ARS | 2,270,878 | 6,266 | |||||||||
Russia Government International Bond |
| |||||||||||
5.100% due 03/28/2035 ^(d) |
$ | 600 | 198 | |||||||||
5.625% due 04/04/2042 ^(d) |
10,200 | 6,477 | ||||||||||
5.875% due 09/16/2043 ^(d) |
200 | 119 | ||||||||||
Turkiye Ihracat Kredi Bankasi AS |
| |||||||||||
8.250% due 01/24/2024 |
1,400 | 1,422 | ||||||||||
Ukraine Government International Bond |
| |||||||||||
4.375% due 01/27/2032 ^(d) |
EUR | 10,155 | 2,025 | |||||||||
6.876% due 05/21/2031 ^(d) |
$ | 13,000 | 2,604 | |||||||||
Venezuela Government International Bond |
| |||||||||||
8.250% due 10/13/2024 ^(d) |
136 | 12 | ||||||||||
9.250% due 09/15/2027 ^(d) |
734 | 70 | ||||||||||
|
|
|||||||||||
Total Sovereign Issues (Cost $179,729) |
84,722 | |||||||||||
|
|
|||||||||||
80 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
December 31, 2022 | (Unaudited) |
SHARES | MARKET VALUE (000S) |
|||||||||||
INVESTMENTS IN AFFILIATES 2.5% | | |||||||||||
COMMON STOCKS 2.5% | | |||||||||||
AFFILIATED INVESTMENTS 2.5% | | |||||||||||
Neiman Marcus Group Ltd. LLC «(e)(k) |
602,840 | $ | 106,133 | |||||||||
Sierra Hamilton Holder LLC «(e)(k) |
30,337,712 | 3 | ||||||||||
|
|
|||||||||||
106,136 | ||||||||||||
|
|
|||||||||||
Total Common Stocks (Cost $27,066) | 106,136 | |||||||||||
|
|
|||||||||||
Total Investments in Affiliates (Cost $27,066) |
106,136 | |||||||||||
Total Investments 176.8% (Cost $9,085,372) |
|
$ | 7,614,105 | |||||||||
Financial Derivative Instruments (n)(o) (0.5)% (Cost or Premiums, net $(96,637)) |
|
(20,746 | ) | |||||||||
Other Assets and Liabilities, net (76.3)% | (3,286,819 | ) | ||||||||||
|
|
|||||||||||
Net Assets 100.0% | |
$ | 4,306,540 | |||||||||
|
|
* | 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) | Payment in‑kind security. |
(d) | Security is not accruing income as of the date of this report. |
(e) | Security did not produce income within the last twelve months. |
(f) | Coupon represents a weighted average yield to maturity. |
(g) | Zero coupon security. |
(h) | Principal amount of security is adjusted for inflation. |
(i) | Perpetual maturity; date shown, if applicable, represents next contractual call date. |
(j) | Contingent convertible security. |
See Accompanying Notes | SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 81 |
Consolidated Schedule of Investments | PIMCO Dynamic Income Fund | (Cont.) |
Issuer Description | Acquisition Date |
Cost | Market Value |
Market Value as Percentage of Net Assets |
||||||||||||
ADLER Group SA 12.500% due 07/31/2025 |
12/22/2022 | $ | 30,461 | $ | 30,460 | 0.00 | % | |||||||||
Axis Energy Services ‘A’ |
07/01/2021 | 252 | 597 | 0.01 | ||||||||||||
Buffalo Thunder Development Authority 0.000% due 11/15/2029 |
12/08/2014 | 13 | 2 | 0.00 | ||||||||||||
Constellation Oil ‘B’ |
06/10/2022 | 27 | 27 | 0.00 | ||||||||||||
Corestate Capital Holding SA 8.000% due 04/15/2023 |
12/06/2022 | 419 | 428 | 0.01 | ||||||||||||
Intelsat SA |
06/19/2017 ‑ 02/23/2022 | 114,056 | 42,034 | 0.98 | ||||||||||||
Neiman Marcus Group Ltd. LLC |
09/25/2020 | 19,376 | 106,133 | 2.46 | ||||||||||||
Preylock Reitman Santa Cruz Mezz LLC 9.944% due 11/09/2023 |
04/09/2018 | 37,126 | 36,793 | 0.85 | ||||||||||||
Project Anfora Senior 4.128% due 10/01/2026 |
09/30/2019 | 38,577 | 37,042 | 0.86 | ||||||||||||
Sierra Hamilton Holder LLC |
07/31/2017 | 7,690 | 3 | 0.00 | ||||||||||||
Syniverse Holdings, Inc. |
05/12/2022 ‑ 11/30/2022 | 16,067 | 15,735 | 0.37 | ||||||||||||
Westmoreland Mining Holdings |
12/08/2014 ‑ 03/26/2019 | 7,007 | 1,807 | 0.04 | ||||||||||||
|
|
|
|
|
|
|||||||||||
$ | 271,071 | $ | 271,061 | 5.58 | % | |||||||||||
|
|
|
|
|
|
Counterparty | Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By | Collateral (Received) |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received(1) |
||||||||||||||||||||||
BRC | 4.310 | % | 01/03/2023 | 01/04/2023 | $ | 261,100 | U.S. Treasury Bonds 4.750% due 02/15/2041 | $ | (265,378 | ) | $ | 261,100 | $ | 261,100 | ||||||||||||||||
BSN | 4.250 | 12/30/2022 | 01/03/2023 | 11,000 | U.S. Treasury Notes 2.375% due 03/31/2029 | (11,216 | ) | 11,000 | 11,005 | |||||||||||||||||||||
CIB | 4.260 | 12/30/2022 | 01/03/2023 | 317,500 | U.S. Treasury Bonds 2.250% due 08/15/2049 | (322,871 | ) | 317,500 | 317,650 | |||||||||||||||||||||
FICC | 1.900 | 12/30/2022 | 01/03/2023 | 9,495 | U.S. Treasury Bills 0.000% due 06/29/2023 | (9,685 | ) | 9,495 | 9,497 | |||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
Total Repurchase Agreements |
|
$ | (609,150 | ) | $ | 599,095 | $ | 599,252 | ||||||||||||||||||||||
|
|
|
|
|
|
Counterparty | Borrowing Rate(2) |
Settlement Date |
Maturity Date |
Amount Borrowed(2) |
Payable for Reverse Repurchase Agreements |
|||||||||||||||||||
BNY |
4.200 | % | 09/09/2022 | 01/09/2023 | $ | (37,693 | ) | $ | (38,203 | ) | ||||||||||||||
4.300 | 09/06/2022 | 03/09/2023 | (51,262 | ) | (51,991 | ) | ||||||||||||||||||
4.688 | 10/03/2022 | 02/03/2023 | (15,462 | ) | (15,648 | ) | ||||||||||||||||||
4.720 | 10/06/2022 | 02/06/2023 | (40,307 | ) | (40,777 | ) | ||||||||||||||||||
4.827 | 11/17/2022 | 01/17/2023 | (2,105 | ) | (2,118 | ) | ||||||||||||||||||
5.127 | 11/01/2022 | 02/03/2023 | (56,709 | ) | (57,217 | ) | ||||||||||||||||||
5.211 | 11/02/2022 | 02/06/2023 | (3,772 | ) | (3,806 | ) | ||||||||||||||||||
5.450 | 10/20/2022 | 04/20/2023 | (94,906 | ) | (95,984 | ) | ||||||||||||||||||
5.750 | 11/17/2022 | 05/09/2023 | (2,215 | ) | (2,231 | ) | ||||||||||||||||||
BOM |
4.000 | 09/08/2022 | 03/07/2023 | (4,065 | ) | (4,118 | ) | |||||||||||||||||
BOS |
3.760 | 09/12/2022 | 01/10/2023 | (6,535 | ) | (6,612 | ) | |||||||||||||||||
3.760 | 11/17/2022 | 01/10/2023 | (1,952 | ) | (1,961 | ) | ||||||||||||||||||
3.760 | 11/25/2022 | 01/10/2023 | (9,025 | ) | (9,062 | ) | ||||||||||||||||||
4.980 | 11/01/2022 | 02/02/2023 | (17,344 | ) | (17,495 | ) | ||||||||||||||||||
5.300 | 12/20/2022 | 04/21/2023 | (1,647 | ) | (1,650 | ) | ||||||||||||||||||
5.350 | 12/19/2022 | 04/18/2023 | (5,708 | ) | (5,721 | ) | ||||||||||||||||||
5.360 | 10/28/2022 | 02/28/2023 | (8,158 | ) | (8,239 | ) | ||||||||||||||||||
5.400 | 12/20/2022 | 04/21/2023 | (3,504 | ) | (3,511 | ) | ||||||||||||||||||
BPS |
(1.500 | ) | 12/21/2022 | TBD | (3) | EUR | (2,477 | ) | (2,650 | ) | ||||||||||||||
1.050 | 10/18/2022 | 01/23/2023 | (719 | ) | (771 | ) | ||||||||||||||||||
2.150 | 10/28/2022 | 02/09/2023 | (9,932 | ) | (10,673 | ) | ||||||||||||||||||
2.150 | 12/21/2022 | TBD | (3) | (4,243 | ) | (4,546 | ) | |||||||||||||||||
2.200 | 12/21/2022 | TBD | (3) | (2,287 | ) | (2,450 | ) | |||||||||||||||||
3.550 | 08/02/2022 | 02/02/2023 | $ | (1,924 | ) | (1,953 | ) | |||||||||||||||||
3.550 | 10/03/2022 | 02/02/2023 | (1,737 | ) | (1,753 | ) | ||||||||||||||||||
3.590 | 08/12/2022 | 02/13/2023 | (119 | ) | (121 | ) | ||||||||||||||||||
3.610 | 08/03/2022 | 02/03/2023 | (19,412 | ) | (19,710 | ) | ||||||||||||||||||
3.640 | 08/12/2022 | 02/13/2023 | (40,965 | ) | (41,561 | ) | ||||||||||||||||||
3.640 | 11/15/2022 | 02/13/2023 | (1,955 | ) | (1,965 | ) | ||||||||||||||||||
3.760 | 08/12/2022 | 02/13/2023 | (1,487 | ) | (1,509 | ) | ||||||||||||||||||
3.760 | 10/03/2022 | 02/13/2023 | (1,341 | ) | (1,354 | ) | ||||||||||||||||||
3.760 | 10/26/2022 | 02/13/2023 | (1,387 | ) | (1,397 | ) |
82 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
December 31, 2022 | (Unaudited) |
Counterparty | Borrowing Rate(2) |
Settlement Date |
Maturity Date |
Amount Borrowed(2) |
Payable for Reverse Repurchase Agreements |
|||||||||||||||||||
3.800 | % | 11/02/2022 | 02/02/2023 | GBP | (7,653 | ) | $ | (9,311 | ) | |||||||||||||||
3.810 | 08/31/2022 | 03/01/2023 | $ | (2,359 | ) | (2,390 | ) | |||||||||||||||||
3.935 | 09/01/2022 | 03/01/2023 | (12,685 | ) | (12,857 | ) | ||||||||||||||||||
4.160 | 11/09/2022 | 02/10/2023 | (234 | ) | (236 | ) | ||||||||||||||||||
4.184 | 08/24/2022 | 02/24/2023 | (8,119 | ) | (8,244 | ) | ||||||||||||||||||
4.206 | 08/24/2022 | 02/27/2023 | (23,861 | ) | (24,229 | ) | ||||||||||||||||||
4.400 | 10/27/2022 | 01/30/2023 | (676 | ) | (681 | ) | ||||||||||||||||||
4.450 | 11/16/2022 | 02/03/2023 | (1,312 | ) | (1,320 | ) | ||||||||||||||||||
4.470 | 10/14/2022 | 01/17/2023 | (172 | ) | (174 | ) | ||||||||||||||||||
4.530 | 10/14/2022 | 01/17/2023 | (6,251 | ) | (6,315 | ) | ||||||||||||||||||
4.560 | 09/16/2022 | 03/16/2023 | (23,859 | ) | (24,189 | ) | ||||||||||||||||||
4.600 | 09/22/2022 | 03/23/2023 | (1,723 | ) | (1,746 | ) | ||||||||||||||||||
4.600 | 10/19/2022 | 01/19/2023 | (1,856 | ) | (1,874 | ) | ||||||||||||||||||
4.620 | 09/23/2022 | 03/23/2023 | (15,292 | ) | (15,492 | ) | ||||||||||||||||||
4.620 | 12/12/2022 | 03/23/2023 | (195 | ) | (196 | ) | ||||||||||||||||||
4.720 | 10/27/2022 | 01/30/2023 | (29,281 | ) | (29,542 | ) | ||||||||||||||||||
4.720 | 10/31/2022 | 02/03/2023 | (12,016 | ) | (12,116 | ) | ||||||||||||||||||
4.740 | 11/09/2022 | 02/10/2023 | (805 | ) | (811 | ) | ||||||||||||||||||
4.840 | 10/17/2022 | 02/17/2023 | (770 | ) | (779 | ) | ||||||||||||||||||
4.850 | 10/17/2022 | 02/17/2023 | (14,455 | ) | (14,607 | ) | ||||||||||||||||||
4.890 | 10/17/2022 | 02/17/2023 | (199 | ) | (201 | ) | ||||||||||||||||||
4.970 | 12/02/2022 | 02/10/2023 | (1,733 | ) | (1,741 | ) | ||||||||||||||||||
5.070 | 11/10/2022 | 03/10/2023 | (548 | ) | (552 | ) | ||||||||||||||||||
5.300 | 08/15/2022 | 02/15/2023 | (12,048 | ) | (12,203 | ) | ||||||||||||||||||
5.450 | 12/08/2022 | 04/06/2023 | (73,709 | ) | (73,973 | ) | ||||||||||||||||||
5.450 | 12/15/2022 | 04/14/2023 | (76,842 | ) | (77,042 | ) | ||||||||||||||||||
5.550 | 12/08/2022 | 04/06/2023 | (3,115 | ) | (3,126 | ) | ||||||||||||||||||
5.550 | 12/15/2022 | 04/14/2023 | (14,695 | ) | (14,734 | ) | ||||||||||||||||||
5.750 | 12/08/2022 | 04/06/2023 | (3,098 | ) | (3,109 | ) | ||||||||||||||||||
5.750 | 12/15/2022 | 04/14/2023 | (2,673 | ) | (2,681 | ) | ||||||||||||||||||
BRC |
1.900 | 12/21/2022 | TBD | (3) | EUR | (2,837 | ) | (3,039 | ) | |||||||||||||||
2.050 | 10/07/2022 | 01/17/2023 | (4,106 | ) | (4,416 | ) | ||||||||||||||||||
2.080 | 12/21/2022 | TBD | (3) | (8,556 | ) | (9,165 | ) | |||||||||||||||||
3.600 | 12/16/2022 | TBD | (3) | $ | (520 | ) | (521 | ) | ||||||||||||||||
4.005 | 08/04/2022 | 02/03/2023 | (545 | ) | (554 | ) | ||||||||||||||||||
4.050 | 12/16/2022 | TBD | (3) | (554 | ) | (556 | ) | |||||||||||||||||
4.150 | 10/28/2022 | 02/09/2023 | GBP | (610 | ) | (743 | ) | |||||||||||||||||
4.200 | 12/16/2022 | TBD | (3) | $ | (672 | ) | (674 | ) | ||||||||||||||||
4.240 | 09/07/2022 | 01/06/2023 | (17,479 | ) | (17,722 | ) | ||||||||||||||||||
4.346 | 08/26/2022 | 02/28/2023 | (29,368 | ) | (29,829 | ) | ||||||||||||||||||
4.540 | 10/05/2022 | 01/05/2023 | (7,596 | ) | (7,682 | ) | ||||||||||||||||||
4.550 | 10/05/2022 | 01/05/2023 | (8,543 | ) | (8,640 | ) | ||||||||||||||||||
4.600 | 12/16/2022 | TBD | (3) | (1,109 | ) | (1,111 | ) | |||||||||||||||||
4.650 | 12/16/2022 | TBD | (3) | (6,014 | ) | (6,028 | ) | |||||||||||||||||
4.860 | 10/11/2022 | 01/11/2023 | (29,307 | ) | (29,640 | ) | ||||||||||||||||||
4.930 | 10/14/2022 | 01/17/2023 | (24,655 | ) | (24,928 | ) | ||||||||||||||||||
4.980 | 10/14/2022 | 01/17/2023 | (653 | ) | (661 | ) | ||||||||||||||||||
4.980 | 11/18/2022 | 02/21/2023 | (3,088 | ) | (3,108 | ) | ||||||||||||||||||
5.000 | 12/16/2022 | TBD | (3) | (48,282 | ) | (48,403 | ) | |||||||||||||||||
5.040 | 10/20/2022 | 01/20/2023 | (6,817 | ) | (6,889 | ) | ||||||||||||||||||
5.040 | 10/21/2022 | 01/23/2023 | (17,771 | ) | (17,955 | ) | ||||||||||||||||||
5.080 | 10/14/2022 | 01/17/2023 | (6,348 | ) | (6,421 | ) | ||||||||||||||||||
5.110 | 10/25/2022 | 01/30/2023 | (252 | ) | (255 | ) | ||||||||||||||||||
5.140 | 10/20/2022 | 01/20/2023 | (14,946 | ) | (15,106 | ) | ||||||||||||||||||
5.180 | 10/27/2022 | 01/30/2023 | (29,385 | ) | (29,672 | ) | ||||||||||||||||||
5.190 | 10/20/2022 | 01/20/2023 | (13,406 | ) | (13,551 | ) | ||||||||||||||||||
5.210 | 11/02/2022 | 02/03/2023 | (31,962 | ) | (32,248 | ) | ||||||||||||||||||
5.230 | 10/31/2022 | 02/03/2023 | (14,091 | ) | (14,223 | ) | ||||||||||||||||||
5.280 | 11/01/2022 | 02/03/2023 | (11,315 | ) | (11,419 | ) | ||||||||||||||||||
5.330 | 11/01/2022 | 02/03/2023 | (16,605 | ) | (16,760 | ) | ||||||||||||||||||
5.360 | 11/07/2022 | 02/07/2023 | (1,784 | ) | (1,799 | ) | ||||||||||||||||||
5.410 | 11/14/2022 | 02/14/2023 | (12,729 | ) | (12,825 | ) | ||||||||||||||||||
5.420 | 11/15/2022 | 02/15/2023 | (33,857 | ) | (34,107 | ) | ||||||||||||||||||
5.470 | 11/10/2022 | 02/10/2023 | (1,330 | ) | (1,341 | ) | ||||||||||||||||||
BYR |
4.950 | 09/20/2022 | 01/20/2023 | (22,572 | ) | (22,765 | ) | |||||||||||||||||
4.950 | 09/26/2022 | 03/24/2023 | (29,051 | ) | (29,282 | ) | ||||||||||||||||||
4.950 | 09/28/2022 | 03/24/2023 | (12,008 | ) | (12,126 | ) | ||||||||||||||||||
4.950 | 12/15/2022 | 01/20/2023 | (3,601 | ) | (3,610 | ) | ||||||||||||||||||
4.960 | 10/26/2022 | 04/26/2023 | (834 | ) | (840 | ) | ||||||||||||||||||
4.960 | 11/10/2022 | 04/03/2023 | (350 | ) | (353 | ) |
See Accompanying Notes | SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 83 |
Consolidated Schedule of Investments | PIMCO Dynamic Income Fund | (Cont.) |
Counterparty | Borrowing Rate(2) |
Settlement Date |
Maturity Date |
Amount Borrowed(2) |
Payable for Reverse Repurchase Agreements |
|||||||||||||||||||
CDC |
3.270 | % | 08/12/2022 | 01/09/2023 | $ | (1,287 | ) | $ | (1,304 | ) | ||||||||||||||
3.270 | 12/01/2022 | 01/09/2023 | (447 | ) | (449 | ) | ||||||||||||||||||
3.990 | 09/06/2022 | 03/03/2023 | (6,612 | ) | (6,699 | ) | ||||||||||||||||||
3.990 | 12/01/2022 | 02/13/2023 | (499 | ) | (501 | ) | ||||||||||||||||||
4.170 | 12/01/2022 | 01/04/2023 | (599 | ) | (601 | ) | ||||||||||||||||||
4.450 | 10/14/2022 | 02/13/2023 | (612 | ) | (618 | ) | ||||||||||||||||||
4.450 | 10/31/2022 | 01/30/2023 | (4,331 | ) | (4,366 | ) | ||||||||||||||||||
4.450 | 11/01/2022 | 01/30/2023 | (661 | ) | (666 | ) | ||||||||||||||||||
4.450 | 11/08/2022 | 01/30/2023 | (1,773 | ) | (1,785 | ) | ||||||||||||||||||
4.550 | 10/13/2022 | 02/10/2023 | (10,556 | ) | (10,665 | ) | ||||||||||||||||||
4.600 | 11/17/2022 | 01/17/2023 | (121 | ) | (121 | ) | ||||||||||||||||||
4.610 | 10/21/2022 | 02/17/2023 | (1,606 | ) | (1,621 | ) | ||||||||||||||||||
4.620 | 10/14/2022 | 02/13/2023 | (17,219 | ) | (17,398 | ) | ||||||||||||||||||
4.620 | 12/22/2022 | 02/13/2023 | (2,871 | ) | (2,875 | ) | ||||||||||||||||||
4.680 | 11/14/2022 | 02/13/2023 | (1,728 | ) | (1,739 | ) | ||||||||||||||||||
4.730 | 10/31/2022 | 01/30/2023 | (3,539 | ) | (3,569 | ) | ||||||||||||||||||
4.730 | 12/12/2022 | 01/30/2023 | (1,907 | ) | (1,912 | ) | ||||||||||||||||||
4.760 | 10/07/2022 | 04/05/2023 | (7,033 | ) | (7,114 | ) | ||||||||||||||||||
4.770 | 12/13/2022 | 02/10/2023 | (1,080 | ) | (1,083 | ) | ||||||||||||||||||
4.790 | 10/07/2022 | 04/05/2023 | (4,768 | ) | (4,824 | ) | ||||||||||||||||||
4.810 | 10/21/2022 | 02/17/2023 | (13,221 | ) | (13,351 | ) | ||||||||||||||||||
4.840 | 11/25/2022 | 02/17/2023 | (3,469 | ) | (3,487 | ) | ||||||||||||||||||
4.850 | 10/11/2022 | 04/06/2023 | (207 | ) | (210 | ) | ||||||||||||||||||
4.880 | 11/07/2022 | 02/07/2023 | (12,757 | ) | (12,855 | ) | ||||||||||||||||||
4.880 | 12/14/2022 | 02/07/2023 | (716 | ) | (717 | ) | ||||||||||||||||||
5.110 | 11/14/2022 | 03/14/2023 | (47 | ) | (47 | ) | ||||||||||||||||||
5.270 | 11/15/2022 | 02/13/2023 | (8,372 | ) | (8,432 | ) | ||||||||||||||||||
CDI |
2.250 | 11/24/2022 | 02/22/2023 | EUR | (4,989 | ) | (5,353 | ) | ||||||||||||||||
3.960 | 10/07/2022 | 01/17/2023 | GBP | (17,113 | ) | (20,880 | ) | |||||||||||||||||
4.160 | 10/18/2022 | 01/23/2023 | (862 | ) | (1,051 | ) | ||||||||||||||||||
CEW |
2.400 | 11/04/2022 | TBD | (3) | (7,768 | ) | (9,424 | ) | ||||||||||||||||
4.860 | 10/21/2022 | 01/23/2023 | $ | (6,304 | ) | (6,367 | ) | |||||||||||||||||
5.010 | 10/21/2022 | 01/23/2023 | (5,265 | ) | (5,319 | ) | ||||||||||||||||||
5.030 | 12/16/2022 | TBD | (3) | (662 | ) | (663 | ) | |||||||||||||||||
5.050 | 12/16/2022 | TBD | (3) | (1,794 | ) | (1,799 | ) | |||||||||||||||||
5.080 | 12/16/2022 | TBD | (3) | (545 | ) | (547 | ) | |||||||||||||||||
CIB |
4.600 | 10/17/2022 | 01/17/2023 | (658 | ) | (665 | ) | |||||||||||||||||
DBL |
0.160 | 05/25/2022 | TBD | (3) | EUR | (817 | ) | (873 | ) | |||||||||||||||
0.170 | 05/25/2022 | TBD | (3) | (405 | ) | (433 | ) | |||||||||||||||||
1.790 | 10/17/2022 | 01/16/2023 | (13,444 | ) | (14,445 | ) | ||||||||||||||||||
1.990 | 10/21/2022 | 02/06/2023 | (7,499 | ) | (8,059 | ) | ||||||||||||||||||
5.737 | 12/12/2022 | 02/10/2023 | $ | (41,952 | ) | (42,099 | ) | |||||||||||||||||
5.787 | 12/12/2022 | 02/10/2023 | (20,622 | ) | (20,695 | ) | ||||||||||||||||||
5.818 | 12/16/2022 | 02/16/2023 | (20,749 | ) | (20,810 | ) | ||||||||||||||||||
5.868 | 12/16/2022 | 02/16/2023 | (7,391 | ) | (7,413 | ) | ||||||||||||||||||
IND |
1.980 | 10/25/2022 | 02/07/2023 | EUR | (971 | ) | (1,043 | ) | ||||||||||||||||
2.010 | 10/25/2022 | 02/07/2023 | (1,741 | ) | (1,871 | ) | ||||||||||||||||||
3.950 | 11/11/2022 | 02/15/2023 | GBP | (817 | ) | (994 | ) | |||||||||||||||||
4.530 | 10/28/2022 | 01/31/2023 | $ | (4,389 | ) | (4,426 | ) | |||||||||||||||||
4.530 | 11/17/2022 | 01/31/2023 | (1,553 | ) | (1,563 | ) | ||||||||||||||||||
4.540 | 10/07/2022 | 04/10/2023 | (951 | ) | (961 | ) | ||||||||||||||||||
4.540 | 11/14/2022 | 04/10/2023 | (946 | ) | (952 | ) | ||||||||||||||||||
4.660 | 10/25/2022 | 01/31/2023 | (16,230 | ) | (16,377 | ) | ||||||||||||||||||
4.720 | 10/28/2022 | 01/31/2023 | (758 | ) | (764 | ) | ||||||||||||||||||
4.970 | 12/05/2022 | 04/03/2023 | (2,992 | ) | (3,004 | ) | ||||||||||||||||||
4.990 | 11/07/2022 | 03/07/2023 | (12,488 | ) | (12,587 | ) | ||||||||||||||||||
5.010 | 11/07/2022 | 03/07/2023 | (7,986 | ) | (8,050 | ) | ||||||||||||||||||
5.070 | 12/05/2022 | 04/03/2023 | (4,596 | ) | (4,615 | ) | ||||||||||||||||||
5.090 | 11/07/2022 | 03/07/2023 | (4,707 | ) | (4,745 | ) | ||||||||||||||||||
JML |
1.500 | 09/14/2022 | TBD | (3) | EUR | (1,360 | ) | (1,457 | ) | |||||||||||||||
1.500 | 10/14/2022 | TBD | (3) | (4,760 | ) | (5,098 | ) | |||||||||||||||||
2.000 | 10/07/2022 | 01/16/2023 | (4,847 | ) | (5,213 | ) | ||||||||||||||||||
2.000 | 10/28/2022 | 02/02/2023 | (4,213 | ) | (4,526 | ) | ||||||||||||||||||
2.050 | 09/14/2022 | TBD | (3) | (15,063 | ) | (16,162 | ) | |||||||||||||||||
2.070 | 09/14/2022 | TBD | (3) | (26,183 | ) | (28,095 | ) | |||||||||||||||||
2.120 | 11/03/2022 | 02/03/2023 | (47,041 | ) | (50,531 | ) | ||||||||||||||||||
2.120 | 11/04/2022 | 02/07/2023 | (28,348 | ) | (30,449 | ) | ||||||||||||||||||
2.160 | 11/15/2022 | 02/15/2023 | (8,713 | ) | (9,354 | ) | ||||||||||||||||||
3.650 | 11/04/2022 | 02/07/2023 | GBP | (1,803 | ) | (2,193 | ) | |||||||||||||||||
4.150 | 10/28/2022 | 01/30/2023 | (4,550 | ) | (5,542 | ) | ||||||||||||||||||
4.250 | 10/28/2022 | 01/30/2023 | (7,426 | ) | (9,047 | ) |
84 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
December 31, 2022 | (Unaudited) |
Counterparty | Borrowing Rate(2) |
Settlement Date |
Maturity Date |
Amount Borrowed(2) |
Payable for Reverse Repurchase Agreements |
|||||||||||||||||||
4.650 | % | 12/16/2022 | 02/03/2023 | $ | (907 | ) | $ | (909 | ) | |||||||||||||||
4.700 | 12/16/2022 | 02/03/2023 | (15,638 | ) | (15,675 | ) | ||||||||||||||||||
4.750 | 12/16/2022 | 02/03/2023 | (35,479 | ) | (35,563 | ) | ||||||||||||||||||
JPS |
3.630 | 08/02/2022 | 02/02/2023 | (25,044 | ) | (25,433 | ) | |||||||||||||||||
5.050 | 11/14/2022 | 02/14/2023 | (141 | ) | (142 | ) | ||||||||||||||||||
5.230 | 11/08/2022 | 02/06/2023 | (3,072 | ) | (3,097 | ) | ||||||||||||||||||
5.400 | 11/14/2022 | 02/14/2023 | (3,439 | ) | (3,465 | ) | ||||||||||||||||||
5.500 | 11/14/2022 | 02/14/2023 | (2,312 | ) | (2,330 | ) | ||||||||||||||||||
MBC |
4.150 | 10/28/2022 | 02/14/2023 | GBP | (10,223 | ) | (12,452 | ) | ||||||||||||||||
4.200 | 10/28/2022 | 02/14/2023 | (6,529 | ) | (7,953 | ) | ||||||||||||||||||
MEI |
3.860 | 10/17/2022 | 02/28/2023 | $ | (573 | ) | (578 | ) | ||||||||||||||||
4.039 | 10/03/2022 | 01/17/2023 | GBP | (1,367 | ) | (1,669 | ) | |||||||||||||||||
4.189 | 10/03/2022 | 01/17/2023 | (2,855 | ) | (3,487 | ) | ||||||||||||||||||
4.670 | 10/24/2022 | 01/27/2023 | $ | (8,496 | ) | (8,574 | ) | |||||||||||||||||
4.720 | 10/24/2022 | 01/27/2023 | (9,152 | ) | (9,238 | ) | ||||||||||||||||||
MSB |
4.200 | 10/14/2022 | 04/12/2023 | (16,646 | ) | (16,804 | ) | |||||||||||||||||
4.468 | 10/18/2022 | 01/23/2023 | GBP | (1,122 | ) | (1,368 | ) | |||||||||||||||||
5.150 | 09/01/2022 | 03/01/2023 | $ | (3,255 | ) | (3,290 | ) | |||||||||||||||||
5.250 | 09/23/2022 | 03/23/2023 | (21,708 | ) | (21,904 | ) | ||||||||||||||||||
5.300 | 09/19/2022 | 03/16/2023 | (5,804 | ) | (5,860 | ) | ||||||||||||||||||
NOM |
4.200 | 12/12/2022 | 01/03/2023 | (776 | ) | (778 | ) | |||||||||||||||||
4.310 | 10/03/2022 | 01/03/2023 | (423 | ) | (428 | ) | ||||||||||||||||||
4.900 | 11/18/2022 | 01/18/2023 | (14,567 | ) | (14,659 | ) | ||||||||||||||||||
4.950 | 11/18/2022 | 01/18/2023 | (4,802 | ) | (4,832 | ) | ||||||||||||||||||
5.200 | 12/16/2022 | TBD | (3) | (16,966 | ) | (17,010 | ) | |||||||||||||||||
5.400 | 01/03/2023 | 04/06/2023 | (794 | ) | (794 | ) | ||||||||||||||||||
5.500 | 11/18/2022 | 01/18/2023 | (12,297 | ) | (12,383 | ) | ||||||||||||||||||
5.750 | 01/03/2023 | 04/06/2023 | (369 | ) | (369 | ) | ||||||||||||||||||
RBC |
5.250 | 10/11/2022 | 02/13/2023 | (3,151 | ) | (3,180 | ) | |||||||||||||||||
5.550 | 10/04/2022 | 02/06/2023 | (2,015 | ) | (2,036 | ) | ||||||||||||||||||
6.000 | 12/14/2022 | 04/14/2023 | (70,376 | ) | (70,591 | ) | ||||||||||||||||||
RCE |
(0.500 | ) | 12/01/2022 | TBD | (3) | EUR | (892 | ) | (954 | ) | ||||||||||||||
0.500 | 12/01/2022 | TBD | (3) | (4,644 | ) | (4,971 | ) | |||||||||||||||||
1.500 | 12/01/2022 | TBD | (3) | (19,515 | ) | (20,909 | ) | |||||||||||||||||
2.050 | 12/01/2022 | TBD | (3) | (19,790 | ) | (21,214 | ) | |||||||||||||||||
2.377 | 11/03/2022 | 02/09/2023 | (3,237 | ) | (3,479 | ) | ||||||||||||||||||
RCY |
4.170 | 09/16/2022 | 01/17/2023 | $ | (11,427 | ) | (11,572 | ) | ||||||||||||||||
4.590 | 10/17/2022 | 02/17/2023 | (893 | ) | (902 | ) | ||||||||||||||||||
4.710 | 10/18/2022 | 02/17/2023 | (698 | ) | (706 | ) | ||||||||||||||||||
4.980 | 11/18/2022 | 03/20/2023 | (4,366 | ) | (4,394 | ) | ||||||||||||||||||
RDR |
4.260 | 10/06/2022 | 02/03/2023 | (2,603 | ) | (2,631 | ) | |||||||||||||||||
4.430 | 10/26/2022 | 01/30/2023 | (15,524 | ) | (15,655 | ) | ||||||||||||||||||
4.500 | 10/31/2022 | 01/30/2023 | (1,920 | ) | (1,935 | ) | ||||||||||||||||||
4.500 | 11/16/2022 | 01/30/2023 | (4,688 | ) | (4,716 | ) | ||||||||||||||||||
4.500 | 11/25/2022 | 01/30/2023 | (806 | ) | (809 | ) | ||||||||||||||||||
4.600 | 11/04/2022 | 02/03/2023 | (2,648 | ) | (2,668 | ) | ||||||||||||||||||
4.600 | 11/07/2022 | 02/03/2023 | (1,634 | ) | (1,646 | ) | ||||||||||||||||||
4.700 | 11/10/2022 | 02/10/2023 | (2,102 | ) | (2,117 | ) | ||||||||||||||||||
RTA |
5.390 | 12/02/2022 | 01/03/2023 | (3,489 | ) | (3,505 | ) | |||||||||||||||||
5.390 | 01/03/2023 | 05/03/2023 | (3,405 | ) | (3,405 | ) | ||||||||||||||||||
5.400 | 10/03/2022 | 01/03/2023 | (5,207 | ) | (5,261 | ) | ||||||||||||||||||
5.450 | 12/02/2022 | 01/03/2023 | (11,027 | ) | (11,074 | ) | ||||||||||||||||||
5.450 | 01/03/2023 | 05/03/2023 | (11,289 | ) | (11,289 | ) | ||||||||||||||||||
5.550 | 12/30/2022 | 01/27/2023 | (22,218 | ) | (22,231 | ) | ||||||||||||||||||
5.550 | 01/03/2023 | 04/03/2023 | (5,254 | ) | (5,254 | ) | ||||||||||||||||||
SBI |
5.450 | 12/16/2022 | 04/17/2023 | (28,638 | ) | (28,708 | ) | |||||||||||||||||
5.600 | 12/16/2022 | 04/17/2023 | (24,731 | ) | (24,794 | ) | ||||||||||||||||||
5.650 | 12/16/2022 | 04/17/2023 | (14,540 | ) | (14,577 | ) | ||||||||||||||||||
SOG |
4.266 | 08/24/2022 | 02/27/2023 | (20,397 | ) | (20,716 | ) | |||||||||||||||||
4.266 | 08/25/2022 | 02/27/2023 | (9,283 | ) | (9,427 | ) | ||||||||||||||||||
4.340 | 10/06/2022 | 02/06/2023 | (374 | ) | (378 | ) | ||||||||||||||||||
4.360 | 09/30/2022 | 01/30/2023 | (2,847 | ) | (2,879 | ) | ||||||||||||||||||
4.390 | 09/27/2022 | 01/27/2023 | (2,220 | ) | (2,246 | ) | ||||||||||||||||||
4.486 | 09/16/2022 | 01/13/2023 | (2,056 | ) | (2,084 | ) | ||||||||||||||||||
4.536 | 09/16/2022 | 01/13/2023 | (7,223 | ) | (7,322 | ) | ||||||||||||||||||
4.600 | 10/31/2022 | 01/31/2023 | (539 | ) | (543 | ) | ||||||||||||||||||
4.620 | 10/13/2022 | 02/13/2023 | (12,693 | ) | (12,826 | ) | ||||||||||||||||||
4.640 | 10/14/2022 | 02/14/2023 | (22,827 | ) | (23,066 | ) | ||||||||||||||||||
4.640 | 12/23/2022 | 02/14/2023 | (1,720 | ) | (1,722 | ) | ||||||||||||||||||
4.660 | 11/18/2022 | 01/24/2023 | (836 | ) | (841 | ) |
See Accompanying Notes | SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 85 |
Consolidated Schedule of Investments | PIMCO Dynamic Income Fund | (Cont.) |
Counterparty | Borrowing Rate(2) |
Settlement Date |
Maturity Date |
Amount Borrowed(2) |
Payable for Reverse Repurchase Agreements |
|||||||||||||||||||
4.710 | % | 11/04/2022 | 02/06/2023 | $ | (1,507 | ) | $ | (1,519 | ) | |||||||||||||||
4.720 | 10/28/2022 | 01/30/2023 | (5,335 | ) | (5,382 | ) | ||||||||||||||||||
4.750 | 10/31/2022 | 01/31/2023 | (2,655 | ) | (2,678 | ) | ||||||||||||||||||
4.760 | 10/12/2022 | 04/12/2023 | (320 | ) | (323 | ) | ||||||||||||||||||
4.760 | 12/09/2022 | 02/17/2023 | (3,193 | ) | (3,203 | ) | ||||||||||||||||||
4.790 | 11/02/2022 | 02/02/2023 | (1,639 | ) | (1,653 | ) | ||||||||||||||||||
4.790 | 12/13/2022 | 02/02/2023 | (408 | ) | (409 | ) | ||||||||||||||||||
4.820 | 10/20/2022 | 02/21/2023 | (21,313 | ) | (21,527 | ) | ||||||||||||||||||
4.820 | 11/30/2022 | 02/22/2023 | (19,394 | ) | (19,482 | ) | ||||||||||||||||||
4.830 | 11/04/2022 | 02/06/2023 | (34,960 | ) | (35,242 | ) | ||||||||||||||||||
4.900 | 10/12/2022 | 04/12/2023 | (23,677 | ) | (23,944 | ) | ||||||||||||||||||
4.990 | 11/07/2022 | 03/07/2023 | (3,832 | ) | (3,862 | ) | ||||||||||||||||||
4.990 | 11/14/2022 | 03/14/2023 | (8,710 | ) | (8,770 | ) | ||||||||||||||||||
5.020 | 11/10/2022 | 03/10/2023 | (3,804 | ) | (3,833 | ) | ||||||||||||||||||
5.040 | 11/14/2022 | 03/14/2023 | (5,743 | ) | (5,783 | ) | ||||||||||||||||||
5.127 | 10/28/2022 | 01/27/2023 | (9,547 | ) | (9,638 | ) | ||||||||||||||||||
5.211 | 11/02/2022 | 02/02/2023 | (49,426 | ) | (49,869 | ) | ||||||||||||||||||
5.742 | 11/10/2022 | 05/10/2023 | (18,578 | ) | (18,738 | ) | ||||||||||||||||||
5.756 | 11/18/2022 | 05/18/2023 | (5,737 | ) | (5,779 | ) | ||||||||||||||||||
5.792 | 11/10/2022 | 05/10/2023 | (12,285 | ) | (12,392 | ) | ||||||||||||||||||
TDM |
4.490 | 12/16/2022 | TBD | (3) | (237 | ) | (238 | ) | ||||||||||||||||
UBS |
1.696 | 10/20/2022 | 02/14/2023 | EUR | (1,955 | ) | (2,100 | ) | ||||||||||||||||
1.752 | 10/20/2022 | 02/14/2023 | (2,175 | ) | (2,337 | ) | ||||||||||||||||||
1.803 | 10/20/2022 | 02/14/2023 | (1,642 | ) | (1,764 | ) | ||||||||||||||||||
1.838 | 10/20/2022 | 02/14/2023 | (8,400 | ) | (9,026 | ) | ||||||||||||||||||
2.038 | 10/20/2022 | 02/14/2023 | (4,745 | ) | (5,100 | ) | ||||||||||||||||||
2.167 | 11/24/2022 | 02/22/2023 | (339 | ) | (364 | ) | ||||||||||||||||||
3.784 | 10/20/2022 | 02/14/2023 | GBP | (1,972 | ) | (2,403 | ) | |||||||||||||||||
3.920 | 08/12/2022 | 02/13/2023 | $ | (40,965 | ) | (41,607 | ) | |||||||||||||||||
4.100 | 09/15/2022 | 01/17/2023 | (4,597 | ) | (4,655 | ) | ||||||||||||||||||
4.170 | 09/07/2022 | 01/06/2023 | (27,691 | ) | (28,069 | ) | ||||||||||||||||||
4.220 | 09/19/2022 | 01/19/2023 | (3,567 | ) | (3,611 | ) | ||||||||||||||||||
4.320 | 09/19/2022 | 01/19/2023 | (38,721 | ) | (39,214 | ) | ||||||||||||||||||
4.380 | 10/03/2022 | 02/03/2023 | (21,252 | ) | (21,490 | ) | ||||||||||||||||||
4.430 | 10/03/2022 | 02/03/2023 | (30,288 | ) | (30,631 | ) | ||||||||||||||||||
4.510 | 10/13/2022 | 01/13/2023 | (508 | ) | (514 | ) | ||||||||||||||||||
4.570 | 09/16/2022 | 01/17/2023 | (16,868 | ) | (17,101 | ) | ||||||||||||||||||
4.590 | 10/14/2022 | 01/17/2023 | (20,313 | ) | (20,523 | ) | ||||||||||||||||||
4.620 | 11/07/2022 | 01/09/2023 | (3,205 | ) | (3,228 | ) | ||||||||||||||||||
4.650 | 10/05/2022 | 02/06/2023 | (50,840 | ) | (51,431 | ) | ||||||||||||||||||
4.675 | 11/10/2022 | 01/10/2023 | (2,634 | ) | (2,653 | ) | ||||||||||||||||||
4.690 | 10/06/2022 | 02/06/2023 | (4,034 | ) | (4,081 | ) | ||||||||||||||||||
4.720 | 10/07/2022 | 01/09/2023 | (7,339 | ) | (7,424 | ) | ||||||||||||||||||
4.740 | 10/06/2022 | 02/06/2023 | (4,497 | ) | (4,550 | ) | ||||||||||||||||||
4.790 | 10/06/2022 | 02/06/2023 | (12,942 | ) | (13,095 | ) | ||||||||||||||||||
4.790 | 10/25/2022 | 01/30/2023 | (18,321 | ) | (18,492 | ) | ||||||||||||||||||
4.800 | 10/05/2022 | 02/06/2023 | (1,846 | ) | (1,868 | ) | ||||||||||||||||||
4.820 | 10/31/2022 | 01/31/2023 | (10,458 | ) | (10,547 | ) | ||||||||||||||||||
4.840 | 11/02/2022 | 02/03/2023 | (17,157 | ) | (17,300 | ) | ||||||||||||||||||
4.927 | 10/13/2022 | 01/13/2023 | (10,355 | ) | (10,471 | ) | ||||||||||||||||||
5.038 | 10/24/2022 | 01/27/2023 | (47,470 | ) | (47,941 | ) | ||||||||||||||||||
5.210 | 10/25/2022 | 01/30/2023 | (4,790 | ) | (4,839 | ) | ||||||||||||||||||
5.240 | 10/18/2022 | 02/17/2023 | (563 | ) | (569 | ) | ||||||||||||||||||
5.250 | 10/19/2022 | 02/17/2023 | (2,571 | ) | (2,600 | ) | ||||||||||||||||||
5.330 | 10/25/2022 | 01/30/2023 | (44,511 | ) | (44,972 | ) | ||||||||||||||||||
5.330 | 11/02/2022 | 02/01/2023 | (15,456 | ) | (15,598 | ) | ||||||||||||||||||
5.340 | 10/18/2022 | 02/17/2023 | (1,422 | ) | (1,438 | ) | ||||||||||||||||||
5.350 | 10/19/2022 | 02/17/2023 | (384 | ) | (389 | ) | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Total Reverse Repurchase Agreements |
|
$ | (3,152,254 | ) | ||||||||||||||||||||
|
|
86 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
December 31, 2022 | (Unaudited) |
Counterparty | Repurchase Agreement Proceeds to be Received(1) |
Payable for Reverse Repurchase Agreements |
Payable for Sale‑Buyback Transactions |
Total Borrowings and Other Financing Transactions |
Collateral Pledged/(Received) |
Net Exposure(4) | ||||||||||||||||||
Global/Master Repurchase Agreement |
| |||||||||||||||||||||||
BNY |
$ | 0 | $ | (307,975 | ) | $ | 0 | $ | (307,975 | ) | $ | 390,106 | $ | 82,131 | ||||||||||
BOM |
0 | (4,118 | ) | 0 | (4,118 | ) | 4,879 | 761 | ||||||||||||||||
BOS |
0 | (54,251 | ) | 0 | (54,251 | ) | 66,621 | 12,370 | ||||||||||||||||
BPS |
0 | (448,884 | ) | 0 | (448,884 | ) | 540,335 | 91,451 | ||||||||||||||||
BRC |
261,100 | (411,991 | ) | 0 | (150,891 | ) | 274,662 | 123,771 | ||||||||||||||||
BSN |
11,005 | 0 | 0 | 11,005 | (11,216 | ) | (211 | ) | ||||||||||||||||
BYR |
0 | (68,976 | ) | 0 | (68,976 | ) | 82,737 | 13,761 | ||||||||||||||||
CDC |
0 | (109,009 | ) | 0 | (109,009 | ) | 126,177 | 17,168 | ||||||||||||||||
CDI |
0 | (27,284 | ) | 0 | (27,284 | ) | 31,124 | 3,840 | ||||||||||||||||
CEW |
0 | (24,119 | ) | 0 | (24,119 | ) | 27,361 | 3,242 | ||||||||||||||||
CIB |
317,650 | (665 | ) | 0 | 316,985 | (322,070 | ) | (5,085 | ) | |||||||||||||||
DBL |
0 | (114,827 | ) | 0 | (114,827 | ) | 153,697 | 38,870 | ||||||||||||||||
FICC |
9,497 | 0 | 0 | 9,497 | (9,685 | ) | (188 | ) | ||||||||||||||||
IND |
0 | (61,952 | ) | 0 | (61,952 | ) | 71,600 | 9,648 | ||||||||||||||||
JML |
0 | (219,814 | ) | 0 | (219,814 | ) | 234,464 | 14,650 | ||||||||||||||||
JPS |
0 | (34,467 | ) | 0 | (34,467 | ) | 38,474 | 4,007 | ||||||||||||||||
MBC |
0 | (20,405 | ) | 0 | (20,405 | ) | 25,792 | 5,387 | ||||||||||||||||
MEI |
0 | (23,546 | ) | 0 | (23,546 | ) | 29,083 | 5,537 | ||||||||||||||||
MSB |
0 | (49,226 | ) | 0 | (49,226 | ) | 69,543 | 20,317 | ||||||||||||||||
NOM |
0 | (51,253 | ) | 0 | (51,253 | ) | 64,100 | 12,847 | ||||||||||||||||
RBC |
0 | (75,807 | ) | 0 | (75,807 | ) | 131,891 | 56,084 | ||||||||||||||||
RCE |
0 | (51,527 | ) | 0 | (51,527 | ) | 51,548 | 21 | ||||||||||||||||
RCY |
0 | (17,574 | ) | 0 | (17,574 | ) | 20,457 | 2,883 | ||||||||||||||||
RDR |
0 | (32,177 | ) | 0 | (32,177 | ) | 33,336 | 1,159 | ||||||||||||||||
RTA |
0 | (62,019 | ) | 0 | (62,019 | ) | 57,639 | (4,380 | ) | |||||||||||||||
SBI |
0 | (68,079 | ) | 0 | (68,079 | ) | 90,854 | 22,775 | ||||||||||||||||
SCX |
0 | 0 | 0 | 0 | (535 | ) | (535 | ) | ||||||||||||||||
SOG |
0 | (318,076 | ) | 0 | (318,076 | ) | 390,116 | 72,040 | ||||||||||||||||
TDM |
0 | (238 | ) | 0 | (238 | ) | 237 | (1 | ) | |||||||||||||||
UBS |
0 | (493,995 | ) | 0 | (493,995 | ) | 601,233 | 107,238 | ||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 599,252 | $ | (3,152,254 | ) | $ | 0 | |||||||||||||||||
|
|
|
|
|
|
Overnight and Continuous |
Up to 30 days | 31‑90 days | Greater Than 90 days | Total | ||||||||||||||||
Reverse Repurchase Agreements |
| |||||||||||||||||||
Corporate Bonds & Notes |
$ | 0 | $ | (301,828 | ) | $ | (648,600 | ) | $ | (223,868 | ) | $ | (1,174,296 | ) | ||||||
Convertible Bonds & Notes |
0 | (5,261 | ) | 0 | (17,010 | ) | (22,271 | ) | ||||||||||||
U.S. Government Agencies |
0 | (17,076 | ) | (18,356 | ) | (13,741 | ) | (49,173 | ) | |||||||||||
Non‑Agency Mortgage-Backed Securities |
0 | (366,814 | ) | (446,461 | ) | (214,820 | ) | (1,028,095 | ) | |||||||||||
Asset-Backed Securities |
0 | (106,589 | ) | (335,366 | ) | (250,594 | ) | (692,549 | ) | |||||||||||
Sovereign Issues |
0 | (6,769 | ) | (52,147 | ) | (1,521 | ) | (60,437 | ) | |||||||||||
Preferred Securities |
0 | (4,465 | ) | (89,136 | ) | (10,720 | ) | (104,321 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total Borrowings |
$ | 0 | $ | (808,802 | ) | $ | (1,590,066 | ) | $ | (732,274 | ) | $ | (3,131,142 | ) | ||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Payable for reverse repurchase agreements(5) |
|
$ | (3,131,142 | ) | ||||||||||||||||
|
|
(m) | Securities with an aggregate market value of $3,857,466 and cash of $36,244 have been pledged as collateral under the terms of the above master agreements as of December 31, 2022. |
(1) | Includes accrued interest. |
(2) | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(3,410,271) at a weighted average interest rate of 3.177%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. |
(3) | Open maturity reverse repurchase agreement. |
(4) | 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. |
(5) | Unsettled reverse repurchase agreements liability of $(21,112) is outstanding at period end. |
See Accompanying Notes | SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 87 |
Consolidated Schedule of Investments | PIMCO Dynamic Income Fund | (Cont.) |
Description |
Expiration Month |
# of Contracts |
Notional Amount |
Unrealized Appreciation/ (Depreciation) |
Variation Margin | |||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||
3‑Month SOFR Active Contract December Futures |
03/2024 | 179 | $ | (42,723 | ) | $ | 827 | $ | 20 | $ | 0 | |||||||||||||
3‑Month SOFR Active Contract December Futures |
03/2025 | 93 | (22,473 | ) | 255 | 0 | (8 | ) | ||||||||||||||||
3‑Month SOFR Active Contract December Futures |
03/2026 | 102 | (24,689 | ) | 261 | 0 | (10 | ) | ||||||||||||||||
3‑Month SOFR Active Contract June Futures |
09/2024 | 117 | (28,147 | ) | 399 | 3 | 0 | |||||||||||||||||
3‑Month SOFR Active Contract June Futures |
09/2025 | 94 | (22,746 | ) | 245 | 0 | (9 | ) | ||||||||||||||||
3‑Month SOFR Active Contract March Futures |
06/2024 | 155 | (37,146 | ) | 618 | 12 | 0 | |||||||||||||||||
3‑Month SOFR Active Contract March Futures |
06/2025 | 85 | (20,558 | ) | 227 | 0 | (8 | ) | ||||||||||||||||
3‑Month SOFR Active Contract March Futures |
06/2026 | 95 | (22,992 | ) | 240 | 0 | (10 | ) | ||||||||||||||||
3‑Month SOFR Active Contract September Futures |
12/2024 | 108 | (26,055 | ) | 321 | 0 | (4 | ) | ||||||||||||||||
3‑Month SOFR Active Contract September Futures |
12/2025 | 76 | (18,395 | ) | 195 | 0 | (8 | ) | ||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||
Total Futures Contracts |
|
$ | 3,588 | $ | 35 | $ | (57 | ) | ||||||||||||||||
|
|
|
|
|
|
Reference Entity | Fixed Receive Rate |
Payment Frequency |
Maturity Date |
Implied Credit Spread at December 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 | 1.872 | % | EUR | 100 | $ | (4 | ) | $ | 2 | $ | (2 | ) | $ | 0 | $ | 0 | ||||||||||||||||||||||||
Bombardier, Inc. |
5.000 | Quarterly | 06/20/2024 | 2.622 | $ | 3,800 | (38 | ) | 171 | 133 | 0 | (8 | ) | |||||||||||||||||||||||||||||||
Bombardier, Inc. |
5.000 | Quarterly | 12/20/2024 | 2.780 | 2,100 | (8 | ) | 97 | 89 | 0 | 0 | |||||||||||||||||||||||||||||||||
Bombardier, Inc. |
5.000 | Quarterly | 06/20/2025 | 3.222 | 400 | (30 | ) | 47 | 17 | 0 | 0 | |||||||||||||||||||||||||||||||||
Jaguar Land Rover Automotive |
5.000 | Quarterly | 06/20/2026 | 9.564 | EUR | 600 | 38 | (114 | ) | (76 | ) | 0 | 0 | |||||||||||||||||||||||||||||||
Jaguar Land Rover Automotive |
5.000 | Quarterly | 12/20/2026 | 9.896 | 12,613 | 637 | (2,521 | ) | (1,884 | ) | 9 | 0 | ||||||||||||||||||||||||||||||||
Rolls-Royce PLC |
1.000 | Quarterly | 12/20/2025 | 2.767 | 8,700 | (923 | ) | 478 | (445 | ) | 1 | 0 | ||||||||||||||||||||||||||||||||
Rolls-Royce PLC |
1.000 | Quarterly | 06/20/2026 | 2.993 | 2,100 | (149 | ) | 10 | (139 | ) | 0 | (1 | ) | |||||||||||||||||||||||||||||||
Rolls-Royce PLC |
1.000 | Quarterly | 12/20/2026 | 3.161 | 18,400 | (1,132 | ) | (343 | ) | (1,475 | ) | 0 | (1 | ) | ||||||||||||||||||||||||||||||
Rolls-Royce PLC |
1.000 | Quarterly | 06/20/2027 | 3.357 | 3,200 | (237 | ) | (71 | ) | (308 | ) | 0 | (3 | ) | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||||
$ | (1,846 | ) | $ | (2,244 | ) | $ | (4,090 | ) | $ | 10 | $ | (13 | ) | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
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 |
1‑Day GBP‑SONIO Compounded‑OIS |
0.500 | % | Annual | 09/16/2030 | GBP | 27,000 | $ | 335 | $ | 6,993 | $ | 7,328 | $ | 42 | $ | 0 | |||||||||||||||||||||||
Receive |
1‑Day GBP‑SONIO Compounded‑OIS |
0.750 | Annual | 09/21/2052 | 28,300 | (2,278 | ) | 19,242 | 16,964 | 44 | 0 | |||||||||||||||||||||||||||||
Receive(5) |
1‑Day USD‑SOFR Compounded‑OIS |
2.450 | Annual | 12/20/2024 | $ | 189,000 | (13 | ) | 2,826 | 2,813 | 97 | 0 | ||||||||||||||||||||||||||||
Receive(5) |
1‑Day USD‑SOFR Compounded‑OIS |
2.350 | Annual | 01/17/2025 | 94,800 | 10 | 1,395 | 1,405 | 35 | 0 | ||||||||||||||||||||||||||||||
Receive(5) |
1‑Day USD‑SOFR Compounded‑OIS |
2.300 | Annual | 01/17/2026 | 15,100 | 7 | 353 | 360 | 15 | 0 | ||||||||||||||||||||||||||||||
Pay |
1‑Day USD‑SOFR Compounded‑OIS |
1.000 | Annual | 12/15/2026 | 11,200 | 21 | (1,208 | ) | (1,187 | ) | 0 | (16 | ) | |||||||||||||||||||||||||||
Pay |
1‑Day USD‑SOFR Compounded‑OIS |
2.000 | Annual | 12/21/2027 | 798,100 | (68,822 | ) | 5,490 | (63,332 | ) | 0 | (1,175 | ) | |||||||||||||||||||||||||||
Pay |
1‑Day USD‑SOFR Compounded‑OIS |
2.000 | Annual | 12/21/2029 | 249,900 | (25,675 | ) | 642 | (25,033 | ) | 0 | (495 | ) | |||||||||||||||||||||||||||
Receive |
1‑Day USD‑SOFR Compounded‑OIS |
1.500 | Annual | 12/15/2031 | 98,500 | (2,199 | ) | 17,841 | 15,642 | 230 | 0 | |||||||||||||||||||||||||||||
Receive |
1‑Day USD‑SOFR Compounded‑OIS |
3.850 | Annual | 12/21/2038 | 108,200 | 418 | (4,613 | ) | (4,195 | ) | 433 | 0 | ||||||||||||||||||||||||||||
Receive |
1‑Day USD‑SOFR Compounded‑OIS |
1.750 | Annual | 06/15/2052 | 68,000 | 16,788 | 2,244 | 19,032 | 333 | 0 | ||||||||||||||||||||||||||||||
Receive |
1‑Day USD‑SOFR Compounded‑OIS |
1.750 | Annual | 12/21/2052 | 45,800 | 11,031 | 1,593 | 12,624 | 226 | 0 | ||||||||||||||||||||||||||||||
Receive |
1‑Day USD‑SOFR Compounded‑OIS |
3.500 | Annual | 12/21/2052 | 92,160 | 786 | (5,678 | ) | (4,892 | ) | 538 | 0 | ||||||||||||||||||||||||||||
Pay |
1‑Year BRL‑CDI |
11.140 | Maturity | 01/02/2025 | BRL | 7,800 | 0 | (48 | ) | (48 | ) | 0 | 0 | |||||||||||||||||||||||||||
Pay |
1‑Year BRL‑CDI |
11.160 | Maturity | 01/02/2025 | 5,200 | 0 | (32 | ) | (32 | ) | 0 | 0 | ||||||||||||||||||||||||||||
Pay |
1‑Year BRL‑CDI |
11.350 | Maturity | 01/02/2025 | 6,400 | 0 | (34 | ) | (34 | ) | 0 | 0 | ||||||||||||||||||||||||||||
Pay |
1‑Year BRL‑CDI |
12.000 | Maturity | 01/02/2025 | 17,400 | 0 | (50 | ) | (50 | ) | 0 | 0 | ||||||||||||||||||||||||||||
Pay |
1‑Year BRL‑CDI |
12.080 | Maturity | 01/02/2025 | 28,900 | 0 | (74 | ) | (74 | ) | 0 | 0 | ||||||||||||||||||||||||||||
Pay |
1‑Year BRL‑CDI |
12.140 | Maturity | 01/02/2025 | 14,600 | 0 | (34 | ) | (34 | ) | 0 | 0 | ||||||||||||||||||||||||||||
Pay |
1‑Year BRL‑CDI |
12.145 | Maturity | 01/02/2025 | 14,300 | 0 | (33 | ) | (33 | ) | 0 | 0 | ||||||||||||||||||||||||||||
Pay |
1‑Year BRL‑CDI |
12.160 | Maturity | 01/02/2025 | 29,100 | 0 | (65 | ) | (65 | ) | 0 | 0 | ||||||||||||||||||||||||||||
Pay |
1‑Year BRL‑CDI |
11.220 | Maturity | 01/04/2027 | 9,400 | 0 | (69 | ) | (69 | ) | 0 | 0 | ||||||||||||||||||||||||||||
Pay |
1‑Year BRL‑CDI |
11.245 | Maturity | 01/04/2027 | 4,700 | 0 | (34 | ) | (34 | ) | 0 | 0 | ||||||||||||||||||||||||||||
Pay |
1‑Year BRL‑CDI |
11.260 | Maturity | 01/04/2027 | 4,700 | 0 | (34 | ) | (34 | ) | 0 | 0 | ||||||||||||||||||||||||||||
Pay |
1‑Year BRL‑CDI |
11.700 | Maturity | 01/04/2027 | 2,400 | 0 | (11 | ) | (11 | ) | 0 | 0 | ||||||||||||||||||||||||||||
Pay |
1‑Year BRL‑CDI |
11.715 | Maturity | 01/04/2027 | 10,500 | 0 | (49 | ) | (49 | ) | 0 | 0 |
88 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
December 31, 2022 | (Unaudited) |
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 |
1‑Year BRL‑CDI |
11.788 | % | Maturity | 01/04/2027 | BRL | 599,100 | $ | 0 | $ | 2,277 | $ | 2,277 | $ | 0 | $ | (3 | ) | ||||||||||||||||||||||
Pay |
1‑Year BRL‑CDI |
11.870 | Maturity | 01/04/2027 | 25,100 | 0 | (96 | ) | (96 | ) | 0 | 0 | ||||||||||||||||||||||||||||
Pay |
1‑Year BRL‑CDI |
12.015 | Maturity | 01/04/2027 | 437,000 | 0 | (1,323 | ) | (1,323 | ) | 2 | 0 | ||||||||||||||||||||||||||||
Pay |
3‑Month USD‑LIBOR |
2.860 | Semi‑Annual | 04/26/2023 | 7,100 | (19 | ) | (45 | ) | (64 | ) | 0 | 0 | |||||||||||||||||||||||||||
Pay |
3‑Month USD‑LIBOR |
2.750 | Semi-Annual | 12/19/2023 | 30,600 | (284 | ) | (424 | ) | (708 | ) | 0 | (19 | ) | ||||||||||||||||||||||||||
Pay |
3‑Month USD‑LIBOR |
1.750 | Semi-Annual | 12/21/2023 | 152,800 | 2,868 | (7,891 | ) | (5,023 | ) | 0 | (107 | ) | |||||||||||||||||||||||||||
Pay |
3‑Month USD‑LIBOR |
0.500 | Semi-Annual | 06/16/2026 | 184,100 | (3,836 | ) | (18,458 | ) | (22,294 | ) | 0 | (324 | ) | ||||||||||||||||||||||||||
Pay |
3‑Month USD‑LIBOR |
0.660 | Semi-Annual | 12/21/2026 | 483,000 | (86 | ) | (61,700 | ) | (61,786 | ) | 0 | (826 | ) | ||||||||||||||||||||||||||
Pay |
3‑Month USD‑LIBOR |
1.750 | Semi-Annual | 12/21/2026 | 303,000 | 7,433 | (34,112 | ) | (26,679 | ) | 0 | (498 | ) | |||||||||||||||||||||||||||
Receive |
3‑Month USD‑LIBOR |
1.360 | Semi-Annual | 02/15/2027 | 13,450 | 0 | 1,410 | 1,410 | 21 | 0 | ||||||||||||||||||||||||||||||
Pay |
3‑Month USD‑LIBOR |
1.600 | Semi-Annual | 02/15/2027 | 53,800 | (185 | ) | (4,925 | ) | (5,110 | ) | 0 | (81 | ) | ||||||||||||||||||||||||||
Pay |
3‑Month USD‑LIBOR |
1.500 | Semi-Annual | 06/21/2027 | 209,400 | (15,186 | ) | (6,935 | ) | (22,121 | ) | 0 | (349 | ) | ||||||||||||||||||||||||||
Pay |
3‑Month USD‑LIBOR |
2.500 | Semi-Annual | 12/20/2027 | 91,250 | 1,072 | (7,388 | ) | (6,316 | ) | 0 | (156 | ) | |||||||||||||||||||||||||||
Pay |
3‑Month USD‑LIBOR |
0.500 | Semi-Annual | 06/16/2028 | 660 | (33 | ) | (80 | ) | (113 | ) | 0 | (1 | ) | ||||||||||||||||||||||||||
Pay |
3‑Month USD‑LIBOR |
2.250 | Semi-Annual | 06/20/2028 | 8,200 | (489 | ) | (215 | ) | (704 | ) | 0 | (16 | ) | ||||||||||||||||||||||||||
Receive |
3‑Month USD‑LIBOR |
1.750 | Semi-Annual | 12/15/2031 | 16,600 | (254 | ) | 2,914 | 2,660 | 32 | 0 | |||||||||||||||||||||||||||||
Receive |
3‑Month USD‑LIBOR |
2.750 | Semi-Annual | 03/20/2043 | 1,300 | (4 | ) | 181 | 177 | 5 | 0 | |||||||||||||||||||||||||||||
Receive |
3‑Month USD‑LIBOR |
2.750 | Semi-Annual | 12/16/2045 | 3,800 | (52 | ) | 605 | 553 | 19 | 0 | |||||||||||||||||||||||||||||
Receive |
3‑Month USD‑LIBOR |
2.500 | Semi-Annual | 06/20/2048 | 3,100 | 288 | 292 | 580 | 16 | 0 | ||||||||||||||||||||||||||||||
Receive |
3‑Month USD‑LIBOR |
2.250 | Semi-Annual | 03/12/2050 | 20,500 | (33 | ) | 4,678 | 4,645 | 106 | 0 | |||||||||||||||||||||||||||||
Receive |
3‑Month ZAR‑JIBAR |
7.710 | Quarterly | 11/23/2025 | ZAR | 86,700 | (1 | ) | 15 | 14 | 4 | 0 | ||||||||||||||||||||||||||||
Pay |
3‑Month ZAR‑JIBAR |
5.873 | Quarterly | 05/12/2026 | 206,200 | 0 | (744 | ) | (744 | ) | 0 | (15 | ) | |||||||||||||||||||||||||||
Receive |
6‑Month EUR‑EURIBOR |
0.150 | Annual | 03/18/2030 | EUR | 20,400 | 373 | 4,401 | 4,774 | 78 | 0 | |||||||||||||||||||||||||||||
Receive |
6‑Month EUR‑EURIBOR |
0.150 | Annual | 06/17/2030 | 1,200 | (1 | ) | 258 | 257 | 4 | 0 | |||||||||||||||||||||||||||||
Receive |
6‑Month EUR‑EURIBOR |
0.250 | Annual | 03/18/2050 | 2,500 | 139 | 1,061 | 1,200 | 20 | 0 | ||||||||||||||||||||||||||||||
Receive |
6‑Month EUR‑EURIBOR |
0.500 | Annual | 06/17/2050 | 500 | (16 | ) | 229 | 213 | 4 | 0 | |||||||||||||||||||||||||||||
Receive |
6‑Month EUR‑EURIBOR |
0.500 | Annual | 09/21/2052 | 34,600 | 2,992 | 12,245 | 15,237 | 301 | 0 | ||||||||||||||||||||||||||||||
Receive(5) |
6‑Month EUR‑EURIBOR |
0.830 | Annual | 12/09/2052 | 67,900 | 165 | 2,016 | 2,181 | 93 | 0 | ||||||||||||||||||||||||||||||
Receive(5) |
6‑Month EUR‑EURIBOR |
1.500 | Annual | 03/15/2053 | 15,700 | 1,969 | 1,484 | 3,453 | 162 | 0 | ||||||||||||||||||||||||||||||
Pay |
28‑Day MXN‑TIIE |
4.550 | Lunar | 02/27/2023 | MXN | 292,200 | 35 | (257 | ) | (222 | ) | 0 | (10 | ) | ||||||||||||||||||||||||||
Pay |
28‑Day MXN‑TIIE |
4.500 | Lunar | 03/03/2023 | 173,000 | (3 | ) | (129 | ) | (132 | ) | 0 | (6 | ) | ||||||||||||||||||||||||||
Receive |
28‑Day MXN‑TIIE |
8.675 | Lunar | 04/03/2024 | 63,800 | 0 | 80 | 80 | 2 | 0 | ||||||||||||||||||||||||||||||
Receive |
28‑Day MXN‑TIIE |
8.660 | Lunar | 04/04/2024 | 32,100 | 0 | 40 | 40 | 1 | 0 | ||||||||||||||||||||||||||||||
Receive |
28‑Day MXN‑TIIE |
8.750 | Lunar | 04/05/2024 | 11,300 | 0 | 13 | 13 | 0 | 0 | ||||||||||||||||||||||||||||||
Receive |
28‑Day MXN‑TIIE |
8.410 | Lunar | 03/31/2027 | 7,600 | 0 | 7 | 7 | 1 | 0 | ||||||||||||||||||||||||||||||
Receive |
28‑Day MXN‑TIIE |
8.730 | Lunar | 04/06/2027 | 4,700 | 0 | 1 | 1 | 1 | 0 | ||||||||||||||||||||||||||||||
Receive |
28‑Day MXN‑TIIE |
7.495 | Lunar | 01/14/2032 | 2,300 | 9 | 0 | 9 | 1 | 0 | ||||||||||||||||||||||||||||||
Receive |
28‑Day MXN‑TIIE |
7.498 | Lunar | 01/15/2032 | 9,500 | 39 | (2 | ) | 37 | 2 | 0 | |||||||||||||||||||||||||||||
Receive |
28‑Day MXN‑TIIE |
8.732 | Lunar | 03/30/2032 | 2,400 | 0 | 0 | 0 | 1 | 0 | ||||||||||||||||||||||||||||||
Receive |
28‑Day MXN‑TIIE |
8.701 | Lunar | 03/31/2032 | 5,600 | 0 | 1 | 1 | 1 | 0 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
$ | (72,691 | ) | $ | (63,963 | ) | $ | (136,654 | ) | $ | 2,870 | $ | (4,097 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
Total Swap Agreements |
|
$ | (74,537 | ) | $ | (66,207 | ) | $ | (140,744 | ) | $ | 2,880 | $ | (4,110 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
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 | $ | 35 | $ | 2,880 | $ | 2,915 | $ | 0 | $ | (57) | $ | (4,110) | $ | (4,167) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(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. |
See Accompanying Notes | SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 89 |
Consolidated Schedule of Investments | PIMCO Dynamic Income Fund | (Cont.) |
(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. |
Counterparty | Settlement Month |
Currency to be Delivered |
Currency to be Received |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||
BOA |
01/2023 | EUR | 9,881 | $ | 10,264 | $ | 0 | $ | (318 | ) | ||||||||||||||
01/2023 | $ | 2,056 | GBP | 1,685 | 0 | (19 | ) | |||||||||||||||||
02/2023 | CHF | 3,377 | $ | 3,566 | 0 | (103 | ) | |||||||||||||||||
02/2023 | $ | 7,142 | CAD | 9,482 | 0 | (137 | ) | |||||||||||||||||
02/2023 | 9,193 | NOK | 91,239 | 137 | 0 | |||||||||||||||||||
02/2023 | 232 | ZAR | 4,154 | 12 | 0 | |||||||||||||||||||
03/2023 | 6,436 | 113,635 | 213 | 0 | ||||||||||||||||||||
03/2023 | ZAR | 84,001 | $ | 4,771 | 0 | (145 | ) | |||||||||||||||||
05/2023 | PEN | 1,100 | 280 | 0 | (6 | ) | ||||||||||||||||||
BPS |
01/2023 | $ | 3,809 | EUR | 3,573 | 18 | 0 | |||||||||||||||||
01/2023 | 487 | ZAR | 8,441 | 9 | 0 | |||||||||||||||||||
02/2023 | 2,161 | IDR | 33,980,610 | 20 | 0 | |||||||||||||||||||
02/2023 | 335 | ZAR | 6,004 | 18 | 0 | |||||||||||||||||||
03/2023 | MXN | 337,369 | $ | 16,740 | 0 | (334 | ) | |||||||||||||||||
03/2023 | $ | 43 | INR | 3,566 | 0 | 0 | ||||||||||||||||||
09/2023 | ZAR | 31,868 | $ | 1,759 | 0 | (79 | ) | |||||||||||||||||
BRC |
01/2023 | CNH | 23,500 | 3,370 | 0 | (29 | ) | |||||||||||||||||
01/2023 | $ | 16,201 | EUR | 15,329 | 215 | 0 | ||||||||||||||||||
01/2023 | 2,168 | GBP | 1,794 | 4 | (4 | ) | ||||||||||||||||||
02/2023 | CHF | 1,735 | $ | 1,850 | 0 | (35 | ) | |||||||||||||||||
02/2023 | $ | 655 | ZAR | 10,843 | 0 | (19 | ) | |||||||||||||||||
09/2023 | 1,907 | 33,679 | 35 | 0 | ||||||||||||||||||||
CBK |
01/2023 | EUR | 6,883 | $ | 7,348 | 0 | (23 | ) | ||||||||||||||||
01/2023 | PEN | 111 | 29 | 0 | 0 | |||||||||||||||||||
01/2023 | $ | 64 | CLP | 61,098 | 8 | 0 | ||||||||||||||||||
01/2023 | 1,678 | EUR | 1,578 | 12 | 0 | |||||||||||||||||||
01/2023 | 4,587 | PEN | 18,418 | 253 | 0 | |||||||||||||||||||
02/2023 | AUD | 444 | $ | 301 | 0 | (2 | ) | |||||||||||||||||
02/2023 | BRL | 60,783 | 11,263 | 0 | (187 | ) | ||||||||||||||||||
02/2023 | CAD | 31,113 | 22,778 | 0 | (207 | ) | ||||||||||||||||||
03/2023 | MXN | 255,019 | 12,999 | 93 | 0 | |||||||||||||||||||
03/2023 | PEN | 1,051 | 272 | 0 | (3 | ) | ||||||||||||||||||
03/2023 | $ | 2,489 | PEN | 10,007 | 132 | 0 | ||||||||||||||||||
04/2023 | PEN | 49,193 | $ | 12,298 | 0 | (546 | ) | |||||||||||||||||
04/2023 | $ | 3,864 | PEN | 15,261 | 115 | 0 | ||||||||||||||||||
CLY |
01/2023 | ZAR | 4,244 | $ | 242 | 0 | (7 | ) | ||||||||||||||||
DUB |
01/2023 | HUF | 170,655 | 378 | 0 | (79 | ) | |||||||||||||||||
GLM |
01/2023 | CNH | 24,392 | 3,507 | 0 | (22 | ) | |||||||||||||||||
01/2023 | PLN | 79,002 | 15,580 | 0 | (2,440 | ) | ||||||||||||||||||
01/2023 | $ | 237 | ZAR | 4,244 | 12 | 0 | ||||||||||||||||||
04/2023 | MXN | 160,657 | $ | 7,986 | 0 | (98 | ) | |||||||||||||||||
05/2023 | PEN | 9,945 | 2,457 | 0 | (135 | ) | ||||||||||||||||||
05/2023 | $ | 4,734 | PEN | 18,838 | 174 | 0 | ||||||||||||||||||
JPM |
01/2023 | EUR | 7,869 | $ | 8,183 | 0 | (244 | ) | ||||||||||||||||
01/2023 | GBP | 125,689 | 151,773 | 0 | (203 | ) | ||||||||||||||||||
01/2023 | $ | 14 | CNY | 96 | 0 | 0 | ||||||||||||||||||
02/2023 | 3,725 | IDR | 58,692,146 | 43 | 0 | |||||||||||||||||||
03/2023 | IDR | 97,315,412 | $ | 6,218 | 0 | (28 | ) | |||||||||||||||||
03/2023 | $ | 25 | CNY | 172 | 0 | 0 | ||||||||||||||||||
MBC |
01/2023 | EUR | 541,959 | $ | 568,266 | 0 | (12,121 | ) | ||||||||||||||||
01/2023 | GBP | 3,218 | 3,916 | 25 | 0 | |||||||||||||||||||
01/2023 | $ | 2,414 | EUR | 2,268 | 15 | 0 | ||||||||||||||||||
01/2023 | ZAR | 4,568 | $ | 264 | 0 | (4 | ) | |||||||||||||||||
02/2023 | IDR | 511,564 | 32 | 0 | (1 | ) | ||||||||||||||||||
03/2023 | 59,065,438 | 3,773 | 0 | (18 | ) | |||||||||||||||||||
MYI |
01/2023 | $ | 1,530 | GBP | 1,243 | 0 | (27 | ) | ||||||||||||||||
01/2023 | 170 | ZAR | 2,934 | 2 | 0 |
90 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
December 31, 2022 | (Unaudited) |
Counterparty |
Index/Tranches |
Fixed Receive Rate |
Payment Frequency |
Maturity Date |
Notional Amount(2) |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Swap Agreements, at Value(3) |
||||||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||||||
FBF | ABX.HE.AA.6‑2 Index |
0.170% | Monthly | 05/25/2046 | $ | 23,091 | $ | (20,552 | ) | $ | 15,111 | $ | 0 | $ | (5,441 | ) | ||||||||||||||||||||||
GST | ABX.HE.AA.6‑1 Index |
0.320 | Monthly | 07/25/2045 | 5,231 | (1,041 | ) | 633 | 0 | (408 | ) | |||||||||||||||||||||||||||
ABX.HE.PENAAA.7‑1 Index |
0.090 | Monthly | 08/25/2037 | 1,778 | (521 | ) | 320 | 0 | (201 | ) | ||||||||||||||||||||||||||||
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|
|
|||||||||||||||||||||||||||||||
$ | (22,114 | ) | $ | 16,064 | $ | 0 | $ | (6,050 | ) | |||||||||||||||||||||||||||||
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|
|
|
Counterparty | Pay/Receive(4) | Underlying Reference | # of Units | Financing Rate | Payment Frequency |
Maturity Date |
Notional Amount |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Swap Agreements, at Value |
||||||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||||||||
BOA |
Receive |
iBoxx USD Liquid High Yield Index |
N/A | 1.059% | Maturity | 03/20/2023 | $ | 200 | $ | 0 | $ | 8 | $ | 8 | $ | 0 | ||||||||||||||||||||||||
GST |
Receive |
iBoxx USD Liquid High Yield Index |
N/A | 1.058% | Maturity | 06/20/2023 | 1,400 | (11 | ) | (15 | ) | 0 | (26) | |||||||||||||||||||||||||||
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|
|
|
|
|
|
|||||||||||||||||||||||||||||||||
$ | (11 | ) | $ | (7 | ) | $ | 8 | $ | (26) | |||||||||||||||||||||||||||||||
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|
|
|
|
|
|
Counterparty | Pay/Receive | Underlying Reference | Financing Rate | Payment Frequency |
Maturity Date |
Notional Amount |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Swap Agreements, at Value |
|||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||
BPS |
Pay |
AP Core Holdings II, LLC |
1-Month USD-LIBOR | Maturity | 02/10/2023 | $ | 240 | $ | 0 | $ | (112 | ) | $ | 0 | $ | (112 | ) | |||||||||||||||||
BPS |
Pay |
Diamond Sports Group, LLC |
1-Month USD-LIBOR | Maturity | 02/10/2023 | 600 | 0 | (54 | ) | 0 | (54 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
$ | 0 | $ | (166 | ) | $ | 0 | $ | (166 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
Counterparty | Pay/Receive(4) | Underlying Reference | # of Shares | Financing Rate | Payment Frequency |
Maturity Date |
Notional Amount |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Swap Agreements, at Value |
||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||||
MYC |
Receive(4) |
United States Treasury Inflation Indexed Bonds « |
N/A | 0.000% | Maturity | 01/28/2036 | CNY | 59,900 | $ | 25 | $ | 878 | $ | 903 | $ | 0 | ||||||||||||||||||||
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|
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|
|||||||||||||||||||||||||||||
Total Swap Agreements |
|
$ | (22,100 | ) | $ | 16,769 | $ | 911 | $ | (6,242 | ) | |||||||||||||||||||||||||
|
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|
|
|
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|
|
See Accompanying Notes | SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 91 |
Consolidated Schedule of Investments | PIMCO Dynamic Income Fund | (Cont.) |
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 |
$ | 362 | $ | 0 | $ | 8 | $ | 370 | $ | (728 | ) | $ | 0 | $ | 0 | $ | (728 | ) | $ | (358 | ) | $ | 400 | $ | 42 | |||||||||||||||||||||||
BPS |
65 | 0 | 0 | 65 | (413 | ) | 0 | (166 | ) | (579 | ) | (514 | ) | 1,525 | 1,011 | |||||||||||||||||||||||||||||||||
BRC |
254 | 0 | 0 | 254 | (87 | ) | 0 | 0 | (87 | ) | 167 | (40 | ) | 127 | ||||||||||||||||||||||||||||||||||
CBK |
613 | 0 | 0 | 613 | (968 | ) | 0 | 0 | (968 | ) | (355 | ) | 475 | 120 | ||||||||||||||||||||||||||||||||||
CLY |
0 | 0 | 0 | 0 | (7 | ) | 0 | 0 | (7 | ) | (7 | ) | 0 | (7 | ) | |||||||||||||||||||||||||||||||||
DUB |
0 | 0 | 0 | 0 | (79 | ) | 0 | 0 | (79 | ) | (79 | ) | 57 | (22 | ) | |||||||||||||||||||||||||||||||||
FBF |
0 | 0 | 0 | 0 | 0 | 0 | (5,441 | ) | (5,441 | ) | (5,441 | ) | 5,704 | 263 | ||||||||||||||||||||||||||||||||||
GLM |
186 | 0 | 0 | 186 | (2,695 | ) | 0 | 0 | (2,695 | ) | (2,509 | ) | 2,294 | (215 | ) | |||||||||||||||||||||||||||||||||
GST |
0 | 0 | 0 | 0 | 0 | 0 | (635 | ) | (635 | ) | (635 | ) | 761 | 126 | ||||||||||||||||||||||||||||||||||
JPM |
43 | 0 | 0 | 43 | (475 | ) | 0 | 0 | (475 | ) | (432 | ) | 0 | (432 | ) | |||||||||||||||||||||||||||||||||
MBC |
40 | 0 | 0 | 40 | (12,144 | ) | 0 | 0 | (12,144 | ) | (12,104 | ) | 9,325 | (2,779 | ) | |||||||||||||||||||||||||||||||||
MYC |
0 | 0 | 903 | 903 | 0 | 0 | 0 | 0 | 903 | (698 | ) | 205 | ||||||||||||||||||||||||||||||||||||
MYI |
48 | 0 | 0 | 48 | (326 | ) | 0 | 0 | (326 | ) | (278 | ) | 278 | 0 | ||||||||||||||||||||||||||||||||||
RBC |
1,875 | 0 | 0 | 1,875 | (21 | ) | 0 | 0 | (21 | ) | 1,854 | (1,800 | ) | 54 | ||||||||||||||||||||||||||||||||||
SCX |
343 | 0 | 0 | 343 | (34 | ) | 0 | 0 | (34 | ) | 309 | (380 | ) | (71 | ) | |||||||||||||||||||||||||||||||||
SOG |
0 | 0 | 0 | 0 | (85 | ) | 0 | 0 | (85 | ) | (85 | ) | 0 | (85 | ) | |||||||||||||||||||||||||||||||||
UAG |
191 | 0 | 0 | 191 | (121 | ) | 0 | 0 | (121 | ) | 70 | 0 | 70 | |||||||||||||||||||||||||||||||||||
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|||||||||||||||||||||||||||||||||
Total Over the Counter |
$ | 4,020 | $ | 0 | $ | 911 | $ | 4,931 | $ | (18,183 | ) | $ | 0 | $ | (6,242 | ) | $ | (24,425 | ) | |||||||||||||||||||||||||||||
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|
(p) | Securities with an aggregate market value of $20,818 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 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) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(3) | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(4) | 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. |
(5) | Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC derivatives 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. |
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 |
| |||||||||||||||||||||||
Futures |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 35 | $ | 35 | ||||||||||||
Swap Agreements |
0 | 10 | 0 | 0 | 2,870 | 2,880 | ||||||||||||||||||
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|
|
|
|||||||||||||
$ | 0 | $ | 10 | $ | 0 | $ | 0 | $ | 2,905 | $ | 2,915 | |||||||||||||
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|
92 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
December 31, 2022 | (Unaudited) |
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2022 |
||||||||||||
Investments in Securities, at Value |
| |||||||||||||||
Loan Participations and Assignments |
$ | 0 | $ | 935,704 | $ | 495,521 | $ | 1,431,225 | ||||||||
Corporate Bonds & Notes |
| |||||||||||||||
Banking & Finance |
0 | 499,441 | 30,460 | 529,901 | ||||||||||||
Industrials |
0 | 877,891 | 2,336 | 880,227 | ||||||||||||
Utilities |
0 | 220,053 | 0 | 220,053 | ||||||||||||
Convertible Bonds & Notes |
| |||||||||||||||
Banking & Finance |
0 | 6,309 | 0 | 6,309 | ||||||||||||
Industrials |
0 | 31,328 | 0 | 31,328 | ||||||||||||
Municipal Bonds & Notes |
| |||||||||||||||
Illinois |
0 | 654 | 0 | 654 | ||||||||||||
Puerto Rico |
0 | 20,282 | 0 | 20,282 | ||||||||||||
West Virginia |
0 | 26,470 | 0 | 26,470 |
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2022 |
||||||||||||
U.S. Government Agencies |
$ | 0 | $ | 89,061 | $ | 0 | $ | 89,061 | ||||||||
Non‑Agency Mortgage-Backed Securities |
0 | 1,676,084 | 8,516 | 1,684,600 | ||||||||||||
Asset-Backed Securities |
0 | 1,249,674 | 210,340 | 1,460,014 | ||||||||||||
Sovereign Issues |
0 | 84,722 | 0 | 84,722 | ||||||||||||
Common Stocks |
| |||||||||||||||
Communication Services |
17,486 | 0 | 0 | 17,486 | ||||||||||||
Consumer Discretionary |
2 | 0 | 0 | 2 | ||||||||||||
Consumer Staples |
1,227 | 0 | 0 | 1,227 | ||||||||||||
Energy |
4,422 | 0 | 624 | 5,046 | ||||||||||||
Financials |
13,477 | 0 | 42,034 | 55,511 | ||||||||||||
Industrials |
187 | 0 | 17,542 | 17,729 | ||||||||||||
Utilities |
0 | 0 | 12,603 | 12,603 |
See Accompanying Notes | SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 93 |
Consolidated Schedule of Investments | PIMCO Dynamic Income Fund | (Cont.) |
Category and Subcategory | Beginning Balance at 06/30/2022 |
Net Purchases(1) |
Net Sales/ Settlements(1) |
Accrued Discounts/ (Premiums) |
Realized Gain/(Loss) |
Net Change in Unrealized Appreciation/ (Depreciation)(2) |
Transfers into Level 3 |
Transfers out of Level 3 |
Ending Balance at 12/31/2022 |
Net Change in Unrealized Appreciation/ (Depreciation) on Investments Held at 12/31/2022(2) |
||||||||||||||||||||||||||||||
Investments in Securities, at Value |
| |||||||||||||||||||||||||||||||||||||||
Loan Participations and Assignments |
$ | 560,306 | $ | 104,072 | $ | (37,682 | ) | $ | 2,581 | $ | (1,916 | ) | $ | (14,792 | ) | $ | 112,842 | $ | (229,890 | ) | $ | 495,521 | $ | (5,517 | ) | |||||||||||||||
Corporate Bonds & Notes |
| |||||||||||||||||||||||||||||||||||||||
Banking & Finance |
40,468 | 30,460 | (39,204 | ) | 0 | 2,904 | (4,168 | ) | 0 | 0 | 30,460 | 0 | ||||||||||||||||||||||||||||
Industrials |
258,893 | 1,802 | 0 | 470 | 0 | (13,958 | ) | 0 | (244,871 | ) | 2,336 | (67 | ) | |||||||||||||||||||||||||||
Non‑Agency Mortgage-Backed Securities |
9,526 | 0 | (1,948 | ) | 1 | (187 | ) | 268 | 856 | 0 | 8,516 | 167 | ||||||||||||||||||||||||||||
Asset-Backed Securities |
303,604 | 1,598 | (19,927 | ) | 382 | (2,639 | ) | (69,312 | ) | 0 | (3,366 | ) | 210,340 | (68,088 | ) | |||||||||||||||||||||||||
Common Stocks |
| |||||||||||||||||||||||||||||||||||||||
Energy |
280 | 0 | 0 | 0 | 0 | 344 | 0 | 0 | 624 | 344 | ||||||||||||||||||||||||||||||
Financials |
49,040 | 0 | 0 | 0 | 0 | (7,006 | ) | 0 | 0 | 42,034 | (7,006 | ) | ||||||||||||||||||||||||||||
Industrials |
15,352 | 1,048 | 0 | 0 | 0 | 1,445 | 0 | (303 | ) | 17,542 | 1,475 | |||||||||||||||||||||||||||||
Materials |
2,646 | 0 | (2,897 | ) | 0 | 2,897 | (2,646 | ) | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||||
Utilities |
11,252 | 0 | 0 | 0 | 0 | 1,351 | 0 | 0 | 12,603 | 1,351 | ||||||||||||||||||||||||||||||
Rights |
| |||||||||||||||||||||||||||||||||||||||
Financials |
895 | 0 | 0 | 0 | 0 | 376 | 0 | 0 | 1,271 | 376 | ||||||||||||||||||||||||||||||
Warrants |
| |||||||||||||||||||||||||||||||||||||||
Financials |
951 | 0 | 0 | 0 | 0 | 465 | 0 | 0 | 1,416 | 465 | ||||||||||||||||||||||||||||||
Industrials |
1,682 | 0 | (339 | ) | 0 | 339 | (1,682 | ) | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||||
Information Technology |
67,297 | 0 | 0 | 0 | 0 | (3,409 | ) | 0 | 0 | 63,888 | (3,409 | ) | ||||||||||||||||||||||||||||
Preferred Securities |
| |||||||||||||||||||||||||||||||||||||||
Industrials |
132,091 | 0 | (125,624 | ) | 0 | 69,836 | (50,091 | ) | 0 | 0 | 26,212 | (3,317 | ) | |||||||||||||||||||||||||||
Utilities |
33,921 | 0 | (33,577 | ) | 0 | (2,561 | ) | 2,217 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||||
Short-Term Instruments |
||||||||||||||||||||||||||||||||||||||||
Short-Term Notes |
0 | 418 | 0 | 0 | 0 | 10 | 0 | 0 | 428 | 10 | ||||||||||||||||||||||||||||||
|
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|||||||||||||||||||||
$ | 1,488,204 | $ | 139,398 | $ | (261,198 | ) | $ | 3,434 | $ | 68,673 | $ | (160,588 | ) | $ | 113,698 | $ | (478,430 | ) | $ | 913,191 | $ | (83,216 | ) | |||||||||||||||||
|
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|
|||||||||||||||||||||
Investments in Affiliates |
|
|||||||||||||||||||||||||||||||||||||||
Common Stocks |
| |||||||||||||||||||||||||||||||||||||||
Affiliated Investments |
$ | 104,203 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 1,933 | $ | 0 | $ | 0 | $ | 106,136 | $ | 1,933 | ||||||||||||||||||||
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|||||||||||||||||||||
Financial Derivative Instruments - Assets |
| |||||||||||||||||||||||||||||||||||||||
Over the counter |
$ | 605 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 298 | $ | 0 | $ | 0 | $ | 903 | $ | 298 | ||||||||||||||||||||
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|||||||||||||||||||||
Totals |
$ | 1,593,012 | $ | 139,398 | $ | (261,198 | ) | $ | 3,434 | $ | 68,673 | $ | (158,357 | ) | $ | 113,698 | $ | (478,430 | ) | $ | 1,020,230 | $ | (80,985 | ) | ||||||||||||||||
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|
94 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
December 31, 2022 | (Unaudited) |
Category and Subcategory |
Ending Balance at 12/31/2022 |
Valuation Technique |
Unobservable Inputs |
(% Unless Noted Otherwise) | ||||||||||||||
Input Value(s) | Weighted Average |
|||||||||||||||||
Investments in Securities, at Value |
| |||||||||||||||||
Loan Participations and Assignments |
$ | 129,141 | Discounted Cash Flow |
Discount Spread | 6.980‑9.080 | 7.795 | ||||||||||||
143,577 | Discounted Cash Flow |
Discount Rate | 6.180-11.690 | 9.067 | ||||||||||||||
7 | Expected Recovery |
Price | 100.000 | — | ||||||||||||||
920 | Indicative Market Quotation |
Price | 95.500 | — | ||||||||||||||
44,152 | Proxy Pricing |
Base Price | 95.286 | — | ||||||||||||||
177,724 | Third Party Vendor |
Broker Quote | 35.000-103.500 | 78.854 | ||||||||||||||
Corporate Bonds & Notes |
| |||||||||||||||||
Banking & Finance |
30,460 | Proxy Pricing |
Base Price | 100.000 | — | |||||||||||||
Industrials |
2,334 | Discounted Cash Flow |
Discount Rate | 5.638 | — | |||||||||||||
2 | Recent Transaction |
Price | 0.066 | — | ||||||||||||||
Non‑Agency Mortgage-Backed Securities |
7,660 | Discounted Cash Flow |
Discount Rate | 8.630 | — | |||||||||||||
856 | Proxy Pricing |
Base Price | 51.965 | — | ||||||||||||||
Asset-Backed Securities |
210,340 | Discounted Cash Flow |
Discount Rate | 9.000-23.000 | 14.371 | |||||||||||||
Common Stock |
||||||||||||||||||
Energy |
624 | Market Comparable Valuation |
EBITDA Multiple | X | 4.400-4.600 | 4.591 | ||||||||||||
Financials |
42,034 | Indicative Market Quotation |
Price | $ | 24.000 | — | ||||||||||||
Industrials |
15,735 | Discounted Cash Flow |
Discount Rate | 11.590 | — | |||||||||||||
1,807 | Indicative Market Quotation |
Price | $ | 7.500 | — | |||||||||||||
Utilities |
12,603 | Indicative Market Quotation |
Price | $ | 28.000 | — | ||||||||||||
Rights |
| |||||||||||||||||
Financials |
1,271 | Other Valuation Techniques(3) |
— | — | — | |||||||||||||
Warrants |
| |||||||||||||||||
Financials |
44 | Indicative Market Quotation |
Price | $ | 2.000-3.500 | 3.303 | ||||||||||||
1,372 | Other Valuation Techniques(3) |
— | — | — | ||||||||||||||
Information Technology |
63,888 | Comparable Multiple |
EBITDA Multiple | X | 4.500 | — | ||||||||||||
Preferred Securities |
| |||||||||||||||||
Industrials |
26,212 | Market Comparable Valuation / Discounted Cash Flow |
TBV Multiple/Discount Rate | X/% | 0.370/24.820 | — | ||||||||||||
Short-Term Instruments |
||||||||||||||||||
Short‑Term Notes |
428 | Proxy Pricing |
Base Price | 100.000 | — | |||||||||||||
Investments in Affiliates |
| |||||||||||||||||
Common Stock |
||||||||||||||||||
Affiliated Investments |
106,133 | Market Comparable Valuation /Discounted Cash Flow |
Revenue | EBITDA Multiple / Discount Rate |
X/% | 0.620|6.160/10.000 | — | ||||||||||||
3 | Expected Recovery |
Price | $ | 0.001 | — | |||||||||||||
Financial Derivative Instruments - Assets |
| |||||||||||||||||
Over the counter |
903 | Indicative Market Quotation |
Broker Quote | 10.481 | — | |||||||||||||
|
|
|||||||||||||||||
Total |
$ | 1,020,230 | ||||||||||||||||
|
|
(1) | Net Purchases and Settlements for Financial Derivative Instruments may include payments made or received upon entering into swap agreements to compensate for differences between the stated terms of the swap agreement and prevailing market conditions. |
(2) | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at December 31, 2022 may be due to an investment no longer held or categorized as Level 3 at period 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 | | | DECEMBER 31, 2022 | 95 |
Consolidated Schedule of Investments | PIMCO Dynamic Income Opportunities Fund |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
INVESTMENTS IN SECURITIES 182.3% | | |||||||||||
LOAN PARTICIPATIONS AND ASSIGNMENTS 42.8% | | |||||||||||
AmSurg LLC |
| |||||||||||
TBD% due 04/29/2027 µ |
$ | 4,415 | $ | 4,321 | ||||||||
AP Core Holdings LLC |
| |||||||||||
9.884% (LIBOR01M + 5.500%) due 09/01/2027 ~ |
13,746 | 12,472 | ||||||||||
Carnival Corp. |
| |||||||||||
5.648% (EUR001M + 3.750%) due 06/30/2025 ~ |
EUR | 25,957 | 26,783 | |||||||||
Cengage Learning, Inc. |
| |||||||||||
7.814% (LIBOR06M + 4.750%) due 07/14/2026 ~ |
$ | 1,608 | 1,450 | |||||||||
Comexposium |
| |||||||||||
4.969% (EUR001Y + 4.000%) due 03/28/2026 ~ |
EUR | 21,515 | 19,307 | |||||||||
Coty, Inc. |
| |||||||||||
4.019% (EUR001M + 2.500%) due 04/07/2025 ~ |
15,721 | 16,271 | ||||||||||
Cromwell EREIT Lux Finco SARL |
| |||||||||||
3.043% (EUR003M + 1.500%) due 11/21/2024 «~ |
6,800 | 6,451 | ||||||||||
Diamond Sports Group LLC |
| |||||||||||
12.317% due 05/25/2026 |
$ | 19,161 | 18,207 | |||||||||
DirecTV Financing LLC |
| |||||||||||
9.384% (LIBOR01M + 5.000%) due 08/02/2027 ~ |
4,793 | 4,676 | ||||||||||
Envision Healthcare Corp. |
| |||||||||||
12.119% due 04/29/2027 |
24,285 | 23,769 | ||||||||||
15.744% due 04/28/2028 |
54,879 | 44,909 | ||||||||||
Gateway Casinos & Entertainment Ltd. |
| |||||||||||
12.138% due 10/15/2027 |
46,196 | 45,618 | ||||||||||
12.565% due 10/18/2027 |
CAD | 10,079 | 7,350 | |||||||||
Gibson Brands, Inc. |
| |||||||||||
9.125% (LIBOR03M + 5.000%) due 08/11/2028 «~ |
$ | 6,237 | 4,615 | |||||||||
Instant Brands Holdings, Inc. |
| |||||||||||
9.735% (LIBOR03M + 5.000%) due 04/12/2028 ~ |
19,006 | 12,848 | ||||||||||
Intelsat Jackson Holdings SA |
| |||||||||||
7.445% due 02/01/2029 |
12,728 | 12,314 | ||||||||||
KKR Apple Bidco LLC |
| |||||||||||
10.134% (LIBOR01M + 5.750%) due 09/21/2029 ~ |
1,700 | 1,649 | ||||||||||
LifeMiles Ltd. |
| |||||||||||
9.985% (LIBOR03M + 5.250%) due 08/30/2026 ~ |
6,423 | 5,996 | ||||||||||
NAC Aviation 29 DAC |
| |||||||||||
4.008% due 06/30/2026 |
20,347 | 17,066 | ||||||||||
Oi SA |
| |||||||||||
TBD% due 02/26/2035 « |
29,961 | 10,487 | ||||||||||
Poseidon Bidco SASU |
| |||||||||||
7.452% (EUR003M + 5.250%) due 07/14/2028 «~ |
EUR | 19,500 | 17,985 | |||||||||
Project Quasar Pledgco SLU |
| |||||||||||
4.936% (EUR001M + 3.250%) due 03/15/2026 «~ |
11,125 | 11,655 | ||||||||||
Promotora de Informaciones SA |
| |||||||||||
6.708% (EUR003M + 5.250%) due 12/31/2026 «~ |
29,646 | 27,292 | ||||||||||
8.000% (EUR003M + 8.000%) due 06/30/2027 «~ |
9,797 | 9,177 | ||||||||||
PUG LLC |
| |||||||||||
7.884% (LIBOR01M + 3.500%) due 02/12/2027 ~ |
$ | 10,783 | 8,977 | |||||||||
Quantum Bidco Ltd. |
| |||||||||||
7.616% due 01/29/2028 |
GBP | 20,000 | 20,662 | |||||||||
Republic of Cote d’lvoire |
| |||||||||||
6.608% (EUR006M + 5.000%) due 03/19/2027 «~ |
EUR | 900 | 920 | |||||||||
Sigma Bidco BV |
| |||||||||||
5.228% due 07/02/2025 |
GBP | 20,000 | 19,939 | |||||||||
10.870% (WIBOR06M + 3.500%) due 07/02/2025 ~ |
PLN | 31,054 | 5,449 |
96 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
December 31, 2022 | (Unaudited) |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
4.500% due 07/25/2045 - 12/25/2047 (a)(k) |
$ | 3,887 | $ | 713 | ||||||||
5.000% due 08/25/2043 (a)(k) |
2,928 | 581 | ||||||||||
Freddie Mac |
| |||||||||||
1.682% due 07/15/2042 •(a)(k) |
1,998 | 186 | ||||||||||
1.882% due 03/15/2043 •(a)(k) |
9,442 | 704 | ||||||||||
1.882% due 11/15/2047 ~(a)(k) |
261 | 29 | ||||||||||
2.000% due 11/25/2050 - 01/25/2051 (a)(k) |
19,907 | 1,870 | ||||||||||
3.000% due 11/25/2050 - 09/25/2051 (a)(k) |
48,344 | 7,433 | ||||||||||
3.500% due 04/25/2041 (a)(k) |
9,531 | 1,281 | ||||||||||
4.000% due 11/25/2048 - 06/25/2051 (a)(k) |
15,571 | 3,044 | ||||||||||
4.500% due 12/25/2050 (a)(k) |
4,625 | 841 | ||||||||||
|
|
|||||||||||
Total U.S. Government Agencies (Cost $26,399) |
28,517 | |||||||||||
|
|
|||||||||||
NON‑AGENCY MORTGAGE-BACKED SECURITIES 53.4% | | |||||||||||
280 Park Avenue Mortgage Trust |
| |||||||||||
7.064% due 09/15/2034 •(k) |
4,750 | 4,284 | ||||||||||
Ashford Hospitality Trust |
| |||||||||||
6.418% due 04/15/2035 ~(k) |
2,500 | 2,306 | ||||||||||
7.418% due 04/15/2035 •(k) |
8,700 | 7,982 | ||||||||||
Atrium Hotel Portfolio Trust |
| |||||||||||
7.618% due 12/15/2036 •(k) |
1,111 | 995 | ||||||||||
7.718% due 06/15/2035 ~(k) |
11,037 | 10,189 | ||||||||||
Austin Fairmont Hotel Trust |
| |||||||||||
6.568% due 09/15/2032 ~(k) |
6,000 | 5,695 | ||||||||||
Banc of America Funding Trust |
| |||||||||||
4.629% due 06/26/2036 ~(k) |
3,506 | 2,817 | ||||||||||
5.750% due 05/26/2036 |
344 | 238 | ||||||||||
6.585% due 09/26/2036 ~ |
4,499 | 3,436 | ||||||||||
Barclays Commercial Mortgage Securities Trust |
| |||||||||||
3.688% due 02/15/2053 ~(k) |
15,650 | 11,065 | ||||||||||
7.868% due 07/15/2037 •(k) |
4,278 | 3,985 | ||||||||||
Barclays Commercial Real Estate Trust |
| |||||||||||
4.563% due 08/10/2033 ~(k) |
16,240 | 13,590 | ||||||||||
Bear Stearns Commercial Mortgage Securities Trust |
| |||||||||||
5.566% due 01/12/2045 ~ |
46 | 45 | ||||||||||
Beast Mortgage Trust |
| |||||||||||
7.768% due 03/15/2036 •(k) |
5,750 | 4,641 | ||||||||||
8.768% due 03/15/2036 •(k) |
7,125 | 5,543 | ||||||||||
Beneria Cowen & Pritzer Collateral Funding Corp. |
| |||||||||||
6.810% due 06/15/2038 ~(k) |
10,000 | 8,623 | ||||||||||
7.956% due 06/15/2038 ~(k) |
5,000 | 4,118 | ||||||||||
Braemar Hotels & Resorts Trust |
| |||||||||||
6.718% due 06/15/2035 •(k) |
7,900 | 7,295 | ||||||||||
Citigroup Commercial Mortgage Trust |
| |||||||||||
3.518% due 05/10/2035 ~(k) |
1,300 | 1,149 | ||||||||||
3.790% due 12/15/2072 ~(k) |
4,600 | 2,892 | ||||||||||
7.243% due 12/15/2036 •(k) |
8,811 | 8,373 | ||||||||||
Colony Mortgage Capital Ltd. |
| |||||||||||
7.039% due 11/15/2038 •(k) |
15,000 | 13,837 | ||||||||||
Commercial Mortgage Trust |
| |||||||||||
5.618% due 06/15/2034 • |
2,300 | 1,980 | ||||||||||
5.868% due 06/15/2034 •(k) |
4,950 | 4,179 | ||||||||||
6.712% due 06/15/2034 • |
7,400 | 6,000 | ||||||||||
Connecticut Avenue Securities Trust |
| |||||||||||
6.678% due 12/25/2041 •(k) |
4,300 | 3,979 | ||||||||||
Countrywide Alternative Loan Trust |
| |||||||||||
6.250% due 12/25/2036 |
4,820 | 2,200 | ||||||||||
Credit Suisse Mortgage Capital Trust |
| |||||||||||
7.618% due 07/15/2032 •(k) |
19,982 | 18,248 | ||||||||||
CRSNT Commercial Mortgage Trust |
| |||||||||||
7.820% due 04/15/2036 ~(k) |
7,000 | 6,183 | ||||||||||
DBWF Mortgage Trust |
| |||||||||||
7.457% due 12/19/2030 ~(k) |
29,075 | 27,436 | ||||||||||
Deutsche Mortgage & Asset Receiving Corp. |
| |||||||||||
3.854% due 11/27/2036 • |
6,327 | 5,519 | ||||||||||
DOLP Trust |
| |||||||||||
0.665% due 05/10/2041 ~(a)(k) |
309,500 | 12,432 | ||||||||||
3.704% due 05/10/2041 ~(k) |
29,000 | 17,814 |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
DROP Mortgage Trust |
| |||||||||||
7.070% due 10/15/2043 ~(k) |
$ | 5,500 | $ | 4,890 | ||||||||
Extended Stay America Trust |
| |||||||||||
8.018% due 07/15/2038 ~(k) |
18,352 | 17,279 | ||||||||||
Freddie Mac |
| |||||||||||
7.678% due 02/25/2042 •(k) |
8,400 | 7,926 | ||||||||||
8.678% due 02/25/2042 ~(k) |
2,600 | 2,385 | ||||||||||
9.428% due 01/25/2034 • |
4,000 | 3,157 | ||||||||||
11.428% due 10/25/2041 ~(k) |
22,000 | 18,818 | ||||||||||
12.428% due 02/25/2042 ~(k) |
1,200 | 995 | ||||||||||
GCT Commercial Mortgage Trust |
| |||||||||||
7.668% due 02/15/2038 ~(k) |
49,700 | 36,270 | ||||||||||
Greenwood Park CLO Ltd. |
| |||||||||||
0.000% due 10/20/2030 « |
13,000 | 176 | ||||||||||
0.000% due 04/15/2031 « |
27,000 | 379 | ||||||||||
GS Mortgage Securities Corp. Trust |
| |||||||||||
6.868% due 11/15/2032 ~(k) |
10,782 | 10,274 | ||||||||||
GS Mortgage-Backed Securities Corp. Trust |
| |||||||||||
0.000% due 12/25/2060 ~ |
193 | 185 | ||||||||||
0.000% due 12/25/2060 ~(a) |
183,901 | 6,433 | ||||||||||
0.165% due 12/25/2060 ~(a) |
161,230 | 1,890 | ||||||||||
2.392% due 12/25/2060 ~(k) |
34,468 | 18,496 | ||||||||||
Hawaii Hotel Trust |
| |||||||||||
7.068% due 05/15/2038 •(k) |
34,720 | 33,084 | ||||||||||
7.068% (US0001M + 2.750%) due 05/15/2038 ~ |
5,000 | 4,764 | ||||||||||
Hilton Orlando Trust |
| |||||||||||
7.218% due 12/15/2034 ~(k) |
10,953 | 10,508 | ||||||||||
HPLY Trust |
| |||||||||||
7.468% due 11/15/2036 •(k) |
1,676 | 1,587 | ||||||||||
JP Morgan Alternative Loan Trust |
| |||||||||||
4.669% due 03/25/2037 ~(k) |
15,474 | 14,987 | ||||||||||
JP Morgan Chase Commercial Mortgage Securities Trust |
| |||||||||||
6.518% due 02/15/2035 •(k) |
1,000 | 936 | ||||||||||
6.672% due 07/05/2033 ~(k) |
5,012 | 4,506 | ||||||||||
7.022% due 07/05/2033 ~(k) |
10,000 | 8,910 | ||||||||||
7.418% due 03/15/2036 •(k) |
25,550 | 23,273 | ||||||||||
8.168% due 03/15/2036 ~(k) |
9,500 | 8,564 | ||||||||||
JP Morgan Resecuritization Trust |
| |||||||||||
1.550% due 12/27/2046 ~ |
8,713 | 6,971 | ||||||||||
Lehman XS Trust |
| |||||||||||
4.989% due 08/25/2037 •(k) |
23,374 | 19,242 | ||||||||||
Mill City Mortgage Loan Trust |
| |||||||||||
0.000% due 04/25/2057 ~ |
310,908 | 3,810 | ||||||||||
0.000% due 11/25/2058 ~ |
259,439 | 873 | ||||||||||
0.257% due 11/25/2058 ~(k) |
16,205 | 9,034 | ||||||||||
1.556% due 04/25/2057 ~(k) |
19,586 | 12,188 | ||||||||||
Morgan Stanley Capital Trust |
| |||||||||||
6.562% due 12/15/2036 •(k) |
4,294 | 3,238 | ||||||||||
6.643% due 11/15/2034 ~(k) |
5,370 | 4,964 | ||||||||||
7.593% due 11/15/2034 ~(k) |
3,357 | 3,077 | ||||||||||
Morgan Stanley Re‑REMIC Trust |
| |||||||||||
2.666% due 03/26/2037 þ(k) |
3,437 | 3,220 | ||||||||||
MRCD Mortgage Trust |
| |||||||||||
2.718% due 12/15/2036 (k) |
28,715 | 23,990 | ||||||||||
Natixis Commercial Mortgage Securities Trust |
| |||||||||||
3.790% due 11/15/2032 ~(k) |
15,192 | 12,114 | ||||||||||
6.718% due 11/15/2034 •(k) |
6,000 | 5,770 | ||||||||||
New Orleans Hotel Trust |
| |||||||||||
7.007% due 04/15/2032 •(k) |
7,491 | 6,868 | ||||||||||
New Residential Mortgage Loan Trust |
| |||||||||||
3.528% due 07/25/2055 ~(k) |
1,242 | 864 | ||||||||||
3.988% due 07/25/2059 ~(k) |
5,000 | 2,601 | ||||||||||
4.328% due 07/25/2055 ~ |
1,000 | 688 | ||||||||||
New York Mortgage Trust |
| |||||||||||
5.250% due 07/25/2062 þ(k) |
28,445 | 26,801 | ||||||||||
PMT Credit Risk Transfer Trust |
| |||||||||||
7.287% due 02/27/2024 •(k) |
17,469 | 16,751 | ||||||||||
Residential Accredit Loans, Inc. Trust |
| |||||||||||
4.809% due 06/25/2037 ~ |
883 | 793 | ||||||||||
Seasoned Credit Risk Transfer Trust |
| |||||||||||
2.729% due 05/25/2057 ~ |
17,856 | 6,652 | ||||||||||
4.250% due 09/25/2060 (k) |
7,547 | 6,500 | ||||||||||
4.250% due 03/25/2061 ~ |
3,263 | 2,590 |
See Accompanying Notes | SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 97 |
Consolidated Schedule of Investments | PIMCO Dynamic Income Opportunities Fund | (Cont.) |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
Greenwood Park CLO Ltd. |
| |||||||||||
0.000% due 04/15/2031 ~ |
$ | 27,000 | $ | 12,060 | ||||||||
GSAMP Trust |
| |||||||||||
4.839% due 08/25/2036 ~(k) |
15,557 | 12,985 | ||||||||||
Home Equity Mortgage Loan Asset-Backed Trust |
| |||||||||||
4.559% due 04/25/2037 •(k) |
7,310 | 5,096 | ||||||||||
KKR CLO Ltd. |
| |||||||||||
0.000% due 04/20/2034 ~ |
10,000 | 7,408 | ||||||||||
Long Beach Mortgage Loan Trust |
| |||||||||||
5.094% due 11/25/2035 •(k) |
10,014 | 9,240 | ||||||||||
Madison Park Funding Ltd. |
| |||||||||||
0.000% due 07/27/2047 ~ |
5,600 | 2,491 | ||||||||||
Marlette Funding Trust |
| |||||||||||
0.000% due 09/16/2030 «(f) |
38 | 2,516 | ||||||||||
Montauk Point CDO Ltd. |
| |||||||||||
4.051% due 04/06/2046 •(k) |
327,058 | 5,427 | ||||||||||
4.056% due 10/06/2042 •(k) |
213,556 | 13,663 | ||||||||||
Morgan Stanley ABS Capital, Inc. Trust |
| |||||||||||
5.499% due 07/25/2035 •(k) |
6,938 | 5,103 | ||||||||||
Morgan Stanley Capital, Inc. Trust |
| |||||||||||
4.749% due 03/25/2036 •(k) |
2,449 | 1,978 | ||||||||||
Morgan Stanley Home Equity Loan Trust |
| |||||||||||
5.454% due 05/25/2035 • |
5,319 | 4,506 | ||||||||||
Myers Park CLO Ltd. |
| |||||||||||
0.000% due 10/20/2030 «~ |
13,000 | 8,685 | ||||||||||
New Century Home Equity Loan Trust |
| |||||||||||
5.409% due 06/25/2035 •(k) |
17,485 | 15,743 | ||||||||||
Option One Mortgage Loan Trust |
| |||||||||||
4.629% due 04/25/2037 •(k) |
3,721 | 2,195 | ||||||||||
PRET LLC |
| |||||||||||
3.721% due 07/25/2051 þ |
2,600 | 2,124 | ||||||||||
3.967% due 09/25/2051 þ(k) |
17,900 | 15,072 | ||||||||||
Ready Capital Mortgage Financing LLC |
| |||||||||||
8.139% due 04/25/2038 •(k) |
7,000 | 6,461 | ||||||||||
Renaissance Home Equity Loan Trust |
| |||||||||||
5.586% due 11/25/2036 þ |
7,935 | 2,971 | ||||||||||
Securitized Asset-Backed Receivables LLC Trust |
| |||||||||||
4.889% due 03/25/2036 ~(k) |
1,506 | 936 | ||||||||||
Sierra Madre Funding Ltd. |
| |||||||||||
4.597% due 09/07/2039 ~ |
1,145 | 849 | ||||||||||
SMB Private Education Loan Trust |
| |||||||||||
0.000% due 02/16/2055 «(f) |
5 | 7,456 | ||||||||||
Specialty Underwriting & Residential Finance Trust |
| |||||||||||
3.546% due 09/25/2037 ~(k) |
23,596 | 8,292 | ||||||||||
Structured Asset Investment Loan Trust |
| |||||||||||
4.909% due 05/25/2036 • |
14,747 | 6,050 | ||||||||||
Structured Asset Securities Corp. Mortgage Loan Trust |
| |||||||||||
4.589% due 06/25/2037 •(k) |
5,720 | 3,845 | ||||||||||
4.629% due 01/25/2037 ~(k) |
9,810 | 6,303 | ||||||||||
4.689% due 04/25/2036 ~(k) |
20,453 | 17,758 | ||||||||||
Structured Finance Advisors ABS CDO Ltd. |
| |||||||||||
3.743% (US0003M) due 07/02/2037 ~ |
41,770 | 7,802 | ||||||||||
Summer Street Ltd. |
| |||||||||||
4.983% due 12/06/2045 •(k) |
49,629 | 12,591 | ||||||||||
|
|
|||||||||||
Total Asset-Backed Securities (Cost $412,660) |
312,712 | |||||||||||
|
|
|||||||||||
SOVEREIGN ISSUES 1.6% | | |||||||||||
Argentina Government International Bond |
| |||||||||||
3.500% due 07/09/2041 þ(k) |
5,233 | 1,501 | ||||||||||
Ecuador Government International Bond |
| |||||||||||
2.500% due 07/31/2035 þ |
3,300 | 1,527 | ||||||||||
5.500% due 07/31/2030 þ |
19,720 | 12,659 | ||||||||||
Nigeria Government International Bond |
| |||||||||||
8.250% due 09/28/2051 (k) |
3,600 | 2,415 | ||||||||||
Russia Government International Bond |
| |||||||||||
5.100% due 03/28/2035 ^(c) |
200 | 66 | ||||||||||
5.625% due 04/04/2042 ^(c) |
4,200 | 2,667 | ||||||||||
Ukraine Government International Bond |
| |||||||||||
6.876% due 05/21/2031 ^(c) |
10,700 | 2,143 | ||||||||||
|
|
|||||||||||
Total Sovereign Issues (Cost $32,728) |
22,978 | |||||||||||
|
|
98 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
December 31, 2022 | (Unaudited) |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
SHORT-TERM NOTES 1.5% | | |||||||||||
Corestate Capital Holding SA |
||||||||||||
8.000% due 04/15/2023 «(i) |
EUR | 300 | $ | 321 | ||||||||
Federal Home Loan Bank |
| |||||||||||
4.320% due 01/06/2023 - 01/10/2023 •(k) |
$ | 22,500 | 22,500 | |||||||||
|
|
|||||||||||
22,821 | ||||||||||||
|
|
|||||||||||
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
U.S. TREASURY BILLS 1.1% | | |||||||||||
4.189% due 01/31/2023 - 03/23/2023 (e)(f)(k)(n) |
$ | 15,653 | $ | 15,559 | ||||||||
|
|
|||||||||||
Total Short-Term Instruments (Cost $102,975) |
102,980 | |||||||||||
|
|
|||||||||||
Total Investments in Securities (Cost $3,279,799) |
2,671,440 | |||||||||||
Total Investments 182.3% (Cost $3,279,799) |
|
$ | 2,671,440 | |||||||||
Financial Derivative Instruments (l)(m) (0.7)% (Cost or Premiums, net $(16,420)) |
|
(10,019 | ) | |||||||||
Other Assets and Liabilities, net (81.6)% | (1,196,074 | ) | ||||||||||
|
|
|||||||||||
Net Assets 100.0% | |
$ | 1,465,347 | |||||||||
|
|
* | 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) | Payment in‑kind security. |
(c) | Security is not accruing income as of the date of this report. |
(d) | Security did not produce income within the last twelve months. |
(e) | Coupon represents a weighted average yield to maturity. |
(f) | Zero coupon security. |
(g) | Perpetual maturity; date shown, if applicable, represents next contractual call date. |
(h) | Contingent convertible security. |
Issuer Description | Acquisition Date |
Cost | Market Value |
Market Value as Percentage of Net Assets |
||||||||||||
ADLER Group SA 12.500% 07/31/2025 |
12/22/2022 | $ | 6,614 | $ | 6,614 | 0.45 | % | |||||||||
Corestate Capital Holding SA 8.000% due 04/15/2023 |
12/06/2022 | 314 | 321 | 0.02 | ||||||||||||
Intelsat SA |
01/29/2021 ‑ 03/09/2021 | 38,680 | 15,616 | 1.07 | ||||||||||||
NAC Aviation Restricted |
06/01/2022 - 07/27/2022 | 8,750 | 6,904 | 0.47 | ||||||||||||
Syniverse Holdings, Inc. |
05/12/2022 - 11/30/2022 | 6,208 | 6,080 | 0.41 | ||||||||||||
|
|
|
|
|
|
|||||||||||
$ | 60,566 | $ | 35,535 | 2.42 | % | |||||||||||
|
|
|
|
|
|
Counterparty | Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By | Collateral (Received) |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received(1) |
||||||||||||||||||||||
MBC | 4.320 | % | 12/30/2022 | 01/03/2023 | $ | 64,600 | U.S. Treasury Bills 0.000% due 01/05/2023 | $ | (66,170 | ) | $ | 64,600 | $ | 64,631 | ||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
Total Repurchase Agreements |
|
$ | (66,170 | ) | $ | 64,600 | $ | 64,631 | ||||||||||||||||||||||
|
|
|
|
|
|
See Accompanying Notes | SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 99 |
Consolidated Schedule of Investments | PIMCO Dynamic Income Opportunities Fund | (Cont.) |
Counterparty | Borrowing Rate(2) |
Settlement Date |
Maturity Date |
Amount Borrowed(2) |
Payable for Reverse Repurchase Agreements |
|||||||||||||||||
BOM |
4.000 | % | 09/08/2022 | 03/07/2023 | $ | (14,076 | ) | $ | (14,259 | ) | ||||||||||||
BOS |
3.760 | 11/25/2022 | 01/10/2023 | (2,324 | ) | (2,334 | ) | |||||||||||||||
3.760 | 12/02/2022 | 01/10/2023 | (3,275 | ) | (3,286 | ) | ||||||||||||||||
BPS |
(1.500 | ) | 12/21/2022 | TBD | (3) | EUR | (1,488 | ) | (1,592 | ) | ||||||||||||
2.120 | 12/06/2022 | 02/07/2023 | (14,491 | ) | (15,537 | ) | ||||||||||||||||
2.150 | 10/28/2022 | 02/09/2023 | (2,678 | ) | (2,878 | ) | ||||||||||||||||
2.270 | 11/24/2022 | 02/22/2023 | (1,702 | ) | (1,826 | ) | ||||||||||||||||
3.550 | 08/02/2022 | 02/02/2023 | $ | (5,327 | ) | (5,408 | ) | |||||||||||||||
3.620 | 08/16/2022 | 02/16/2023 | (19,921 | ) | (20,201 | ) | ||||||||||||||||
3.640 | 08/12/2022 | 02/13/2023 | (3,765 | ) | (3,820 | ) | ||||||||||||||||
3.760 | 11/09/2022 | 02/13/2023 | (1,515 | ) | (1,524 | ) | ||||||||||||||||
3.810 | 08/31/2022 | 03/01/2023 | (905 | ) | (917 | ) | ||||||||||||||||
3.900 | 09/02/2022 | 03/02/2023 | (7,964 | ) | (8,070 | ) | ||||||||||||||||
3.935 | 09/01/2022 | 03/01/2023 | (7,604 | ) | (7,707 | ) | ||||||||||||||||
4.160 | 11/09/2022 | 02/10/2023 | (33,703 | ) | (33,918 | ) | ||||||||||||||||
4.206 | 08/24/2022 | 02/27/2023 | (47,012 | ) | (47,737 | ) | ||||||||||||||||
4.600 | 09/22/2022 | 03/23/2023 | (3,227 | ) | (3,269 | ) | ||||||||||||||||
4.600 | 10/19/2022 | 01/19/2023 | (8,810 | ) | (8,896 | ) | ||||||||||||||||
4.600 | 12/05/2022 | 03/23/2023 | (1,439 | ) | (1,444 | ) | ||||||||||||||||
4.620 | 09/23/2022 | 03/23/2023 | (4,640 | ) | (4,700 | ) | ||||||||||||||||
4.650 | 11/15/2022 | 01/30/2023 | (887 | ) | (893 | ) | ||||||||||||||||
4.850 | 10/17/2022 | 02/17/2023 | (6,904 | ) | (6,977 | ) | ||||||||||||||||
4.970 | 11/18/2022 | 02/10/2023 | (704 | ) | (709 | ) | ||||||||||||||||
5.160 | 10/27/2022 | 01/30/2023 | (1,844 | ) | (1,862 | ) | ||||||||||||||||
5.300 | 08/15/2022 | 02/15/2023 | (22,931 | ) | (23,226 | ) | ||||||||||||||||
5.450 | 12/08/2022 | 04/06/2023 | (36,723 | ) | (36,854 | ) | ||||||||||||||||
5.450 | 12/15/2022 | 04/14/2023 | (5,335 | ) | (5,349 | ) | ||||||||||||||||
5.450 | 01/03/2023 | 05/03/2023 | (9,157 | ) | (9,157 | ) | ||||||||||||||||
5.500 | 01/03/2023 | 05/03/2023 | (9,780 | ) | (9,780 | ) | ||||||||||||||||
5.550 | 12/08/2022 | 04/06/2023 | (4,530 | ) | (4,547 | ) | ||||||||||||||||
5.750 | 12/08/2022 | 04/06/2023 | (642 | ) | (644 | ) | ||||||||||||||||
5.750 | 12/15/2022 | 04/14/2023 | (12,003 | ) | (12,036 | ) | ||||||||||||||||
BRC |
1.900 | 12/21/2022 | TBD | (3) | EUR | (1,205 | ) | (1,290 | ) | |||||||||||||
4.005 | 08/04/2022 | 02/03/2023 | $ | (27,183 | ) | (27,643 | ) | |||||||||||||||
4.306 | 08/24/2022 | 02/27/2023 | (5,994 | ) | (6,089 | ) | ||||||||||||||||
4.800 | 10/13/2022 | 01/13/2023 | (21,876 | ) | (22,115 | ) | ||||||||||||||||
5.110 | 10/25/2022 | 01/30/2023 | (14,229 | ) | (14,370 | ) | ||||||||||||||||
5.180 | 10/27/2022 | 01/30/2023 | (813 | ) | (821 | ) | ||||||||||||||||
5.230 | 11/01/2022 | 02/03/2023 | (3,536 | ) | (3,569 | ) | ||||||||||||||||
5.320 | 11/10/2022 | 02/10/2023 | (6,478 | ) | (6,530 | ) | ||||||||||||||||
5.330 | 10/27/2022 | 01/30/2023 | (29,559 | ) | (29,857 | ) | ||||||||||||||||
5.370 | 11/10/2022 | 02/10/2023 | (23,286 | ) | (23,473 | ) | ||||||||||||||||
BYR |
4.950 | 09/26/2022 | 03/24/2023 | (28,446 | ) | (28,710 | ) | |||||||||||||||
4.950 | 11/07/2022 | 03/24/2023 | (10,236 | ) | (10,296 | ) | ||||||||||||||||
4.950 | 12/30/2022 | 03/24/2023 | (3,280 | ) | (3,282 | ) | ||||||||||||||||
4.960 | 10/26/2022 | 04/26/2023 | (60,200 | ) | (60,625 | ) | ||||||||||||||||
CEW |
3.430 | 07/12/2022 | 01/12/2023 | (69,652 | ) | (70,813 | ) | |||||||||||||||
4.310 | 08/26/2022 | 02/28/2023 | (10,112 | ) | (10,270 | ) | ||||||||||||||||
CIB |
4.600 | 10/17/2022 | 01/17/2023 | (250 | ) | (253 | ) | |||||||||||||||
DBL |
5.818 | 12/16/2022 | 02/16/2023 | (19,222 | ) | (19,278 | ) | |||||||||||||||
5.868 | 12/16/2022 | 02/16/2023 | (14,107 | ) | (14,149 | ) | ||||||||||||||||
IND |
4.980 | 11/07/2022 | 03/07/2023 | (3,121 | ) | (3,145 | ) | |||||||||||||||
5.000 | 11/07/2022 | 03/07/2023 | (539 | ) | (543 | ) | ||||||||||||||||
JML |
1.700 | 11/28/2022 | 01/26/2023 | EUR | (5,640 | ) | (6,048 | ) | ||||||||||||||
2.050 | 09/14/2022 | TBD | (3) | (19,760 | ) | (21,201 | ) | |||||||||||||||
2.070 | 09/14/2022 | TBD | (3) | (6,610 | ) | (7,093 | ) | |||||||||||||||
2.150 | 11/07/2022 | 02/09/2023 | (902 | ) | (969 | ) | ||||||||||||||||
2.200 | 11/24/2022 | 02/22/2023 | (679 | ) | (729 | ) | ||||||||||||||||
4.163 | 10/28/2022 | 01/06/2023 | $ | (996 | ) | (1,003 | ) | |||||||||||||||
4.750 | 12/16/2022 | 02/03/2023 | (14,461 | ) | (14,495 | ) | ||||||||||||||||
JPS |
4.090 | 09/02/2022 | 01/03/2023 | (55,139 | ) | (55,909 | ) | |||||||||||||||
4.090 | 10/25/2022 | 01/03/2023 | (1,904 | ) | (1,919 | ) | ||||||||||||||||
4.870 | 11/03/2022 | 02/06/2023 | (21,735 | ) | (21,914 | ) | ||||||||||||||||
5.500 | 11/14/2022 | 02/14/2023 | (18,169 | ) | (18,307 | ) | ||||||||||||||||
5.840 | 01/03/2023 | 04/03/2023 | (26,812 | ) | (26,812 | ) | ||||||||||||||||
5.890 | 01/03/2023 | 04/03/2023 | (23,662 | ) | (23,662 | ) | ||||||||||||||||
5.940 | 01/03/2023 | 04/03/2023 | (3,231 | ) | (3,231 | ) | ||||||||||||||||
MEI |
1.500 | 10/07/2022 | TBD | (3) | EUR | (428 | ) | (459 | ) |
100 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
December 31, 2022 | (Unaudited) |
Counterparty | Borrowing Rate(2) |
Settlement Date |
Maturity Date |
Amount Borrowed(2) |
Payable for Reverse Repurchase Agreements |
|||||||||||||||||
4.000 | % | 11/16/2022 | 02/17/2023 | GBP | (8,709 | ) | $ | (10,584 | ) | |||||||||||||
4.700 | 11/14/2022 | 02/13/2023 | $ | (684 | ) | (689 | ) | |||||||||||||||
MSB |
5.250 | 09/19/2022 | 03/16/2023 | (2,050 | ) | (2,070 | ) | |||||||||||||||
5.450 | 10/14/2022 | 04/12/2023 | (10,656 | ) | (10,757 | ) | ||||||||||||||||
5.550 | 08/22/2022 | 02/22/2023 | (44,507 | ) | (44,507 | ) | ||||||||||||||||
NOM |
4.650 | 12/16/2022 | TBD | (3) | (528 | ) | (530 | ) | ||||||||||||||
5.500 | 11/18/2022 | 01/18/2023 | (8,198 | ) | (8,256 | ) | ||||||||||||||||
RBC |
5.250 | 10/11/2022 | 02/13/2023 | (14,103 | ) | (14,234 | ) | |||||||||||||||
5.560 | 11/17/2022 | 02/17/2023 | (4,832 | ) | (4,864 | ) | ||||||||||||||||
RCY |
4.170 | 09/16/2022 | 01/17/2023 | (3,461 | ) | (3,504 | ) | |||||||||||||||
4.500 | 12/22/2022 | 01/05/2023 | (16,027 | ) | (16,051 | ) | ||||||||||||||||
4.500 | 12/23/2022 | 01/05/2023 | (5,277 | ) | (5,285 | ) | ||||||||||||||||
4.500 | 12/27/2022 | 01/05/2023 | (685 | ) | (686 | ) | ||||||||||||||||
4.710 | 10/18/2022 | 02/17/2023 | (5,965 | ) | (6,025 | ) | ||||||||||||||||
RDR |
4.400 | 10/24/2022 | 01/27/2023 | (4,921 | ) | (4,963 | ) | |||||||||||||||
4.470 | 10/20/2022 | 01/20/2023 | (449 | ) | (453 | ) | ||||||||||||||||
4.470 | 11/25/2022 | 01/20/2023 | (4,697 | ) | (4,720 | ) | ||||||||||||||||
4.600 | 11/04/2022 | 02/03/2023 | (18,029 | ) | (18,167 | ) | ||||||||||||||||
RTA |
4.860 | 01/07/2022 | 01/05/2023 | (10,505 | ) | (10,568 | ) | |||||||||||||||
4.890 | 12/02/2022 | 01/03/2023 | (4,064 | ) | (4,082 | ) | ||||||||||||||||
5.310 | 12/27/2022 | 01/31/2023 | (42,518 | ) | (42,561 | ) | ||||||||||||||||
5.390 | 01/03/2023 | 05/03/2023 | (3,931 | ) | (3,931 | ) | ||||||||||||||||
5.400 | 10/03/2022 | 01/03/2023 | (16,382 | ) | (16,549 | ) | ||||||||||||||||
5.450 | 12/02/2022 | 04/03/2023 | (5,789 | ) | (5,814 | ) | ||||||||||||||||
5.450 | 01/03/2023 | 05/03/2023 | (5,927 | ) | (5,927 | ) | ||||||||||||||||
5.560 | 01/03/2023 | 04/03/2023 | (16,531 | ) | (16,531 | ) | ||||||||||||||||
SOG |
4.640 | 11/16/2022 | 02/14/2023 | (1,262 | ) | (1,269 | ) | |||||||||||||||
4.790 | 11/16/2022 | 02/02/2023 | (568 | ) | (571 | ) | ||||||||||||||||
4.820 | 11/30/2022 | 02/22/2023 | (5,577 | ) | (5,603 | ) | ||||||||||||||||
5.127 | 10/28/2022 | 01/27/2023 | (28,991 | ) | (29,268 | ) | ||||||||||||||||
5.756 | 11/16/2022 | 05/16/2023 | (3,000 | ) | (3,023 | ) | ||||||||||||||||
5.756 | 11/17/2022 | 05/17/2023 | (10,816 | ) | (10,897 | ) | ||||||||||||||||
5.756 | 11/18/2022 | 05/18/2023 | (7,082 | ) | (7,134 | ) | ||||||||||||||||
5.806 | 11/16/2022 | 05/16/2023 | (15,717 | ) | (15,839 | ) | ||||||||||||||||
TDM |
4.470 | 12/16/2022 | TBD | (3) | (901 | ) | (903 | ) | ||||||||||||||
UBS |
1.570 | 09/14/2022 | TBD | (3) | EUR | (1,063 | ) | (1,141 | ) | |||||||||||||
1.680 | 10/19/2022 | TBD | (3) | (2,378 | ) | (2,551 | ) | |||||||||||||||
1.730 | 10/19/2022 | TBD | (3) | (4,676 | ) | (5,015 | ) | |||||||||||||||
2.400 | 12/23/2022 | 01/12/2023 | (12,869 | ) | (13,785 | ) | ||||||||||||||||
3.920 | 08/12/2022 | 02/13/2023 | $ | (40,082 | ) | (40,710 | ) | |||||||||||||||
4.060 | 09/15/2022 | 01/13/2023 | (14,552 | ) | (14,732 | ) | ||||||||||||||||
4.360 | 09/20/2022 | 01/19/2023 | (7,433 | ) | (7,527 | ) | ||||||||||||||||
4.460 | 09/20/2022 | 01/19/2023 | (11,843 | ) | (11,997 | ) | ||||||||||||||||
4.510 | 09/20/2022 | 01/19/2023 | (11,237 | ) | (11,384 | ) | ||||||||||||||||
4.650 | 10/05/2022 | 02/06/2023 | (10,832 | ) | (10,958 | ) | ||||||||||||||||
4.675 | 11/10/2022 | 01/10/2023 | (31,486 | ) | (31,707 | ) | ||||||||||||||||
4.675 | 12/09/2022 | 01/10/2023 | (9,741 | ) | (9,773 | ) | ||||||||||||||||
4.790 | 11/02/2022 | 02/03/2023 | (4,242 | ) | (4,277 | ) | ||||||||||||||||
4.840 | 11/02/2022 | 02/03/2023 | (17,086 | ) | (17,228 | ) | ||||||||||||||||
|
|
|||||||||||||||||||||
Total Reverse Repurchase Agreements |
|
$ | (1,381,829 | ) | ||||||||||||||||||
|
|
Counterparty | Repurchase Agreement Proceeds to be Received(1) |
Payable for Reverse Repurchase Agreements |
Payable for Sale‑Buyback Transactions |
Total Borrowings and Other Financing Transactions |
Collateral Pledged/(Received) |
Net Exposure(4) | ||||||||||||||||||
Global/Master Repurchase Agreement |
| |||||||||||||||||||||||
BOM |
$ | 0 | $ | (14,259 | ) | $ | 0 | $ | (14,259 | ) | $ | 100 | $ | (14,159 | ) | |||||||||
BOS |
0 | (5,620 | ) | 0 | (5,620 | ) | (172 | ) | (5,792 | ) | ||||||||||||||
BPS |
0 | (281,478 | ) | 0 | (281,478 | ) | 18,217 | (263,261 | ) | |||||||||||||||
BRC |
0 | (135,757 | ) | 0 | (135,757 | ) | 8,259 | (127,498 | ) | |||||||||||||||
BYR |
0 | (102,913 | ) | 0 | (102,913 | ) | (4,170 | ) | (107,083 | ) | ||||||||||||||
CEW |
0 | (81,083 | ) | 0 | (81,083 | ) | 5,120 | (75,963 | ) | |||||||||||||||
CIB |
0 | (253 | ) | 0 | (253 | ) | 0 | (253 | ) | |||||||||||||||
DBL |
0 | (33,427 | ) | 0 | (33,427 | ) | 0 | (33,427 | ) |
See Accompanying Notes | SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 101 |
Consolidated Schedule of Investments | PIMCO Dynamic Income Opportunities Fund | (Cont.) |
Counterparty | Repurchase Agreement Proceeds to be Received(1) |
Payable for Reverse Repurchase Agreements |
Payable for Sale‑Buyback Transactions |
Total Borrowings and Other Financing Transactions |
Collateral Pledged/(Received) |
Net Exposure(4) | ||||||||||||||||||
IND |
$ | 0 | $ | (3,688 | ) | $ | 0 | $ | (3,688 | ) | $ | 0 | $ | (3,688 | ) | |||||||||
JML |
0 | (51,538 | ) | 0 | (51,538 | ) | 946 | (50,592 | ) | |||||||||||||||
JPS |
0 | (151,754 | ) | 0 | (151,754 | ) | 3,809 | (147,945 | ) | |||||||||||||||
MBC |
64,631 | 0 | 0 | 64,631 | (66,170 | ) | (1,539 | ) | ||||||||||||||||
MEI |
0 | (11,732 | ) | 0 | (11,732 | ) | (256 | ) | (11,988 | ) | ||||||||||||||
MSB |
0 | (57,334 | ) | 0 | (57,334 | ) | 346 | (56,988 | ) | |||||||||||||||
NOM |
0 | (8,786 | ) | 0 | (8,786 | ) | 0 | (8,786 | ) | |||||||||||||||
RBC |
0 | (19,098 | ) | 0 | (19,098 | ) | 441 | (18,657 | ) | |||||||||||||||
RCY |
0 | (31,551 | ) | 0 | (31,551 | ) | 240 | (31,311 | ) | |||||||||||||||
RDR |
0 | (28,303 | ) | 0 | (28,303 | ) | (1,976 | ) | (30,279 | ) | ||||||||||||||
RTA |
0 | (105,963 | ) | 0 | (105,963 | ) | 2,100 | (103,863 | ) | |||||||||||||||
SOG |
0 | (73,604 | ) | 0 | (73,604 | ) | (1,299 | ) | (74,903 | ) | ||||||||||||||
TDM |
0 | (903 | ) | 0 | (903 | ) | 0 | (903 | ) | |||||||||||||||
UBS |
0 | (182,785 | ) | 0 | (182,785 | ) | (2,110 | ) | (184,895 | ) | ||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 64,631 | $ | (1,381,829 | ) | $ | 0 | |||||||||||||||||
|
|
|
|
|
|
Overnight and Continuous |
Up to 30 days | 31‑90 days | Greater Than 90 days | Total | ||||||||||||||||
Reverse Repurchase Agreements |
| |||||||||||||||||||
Corporate Bonds & Notes |
$ | 0 | $ | (119,329 | ) | $ | (284,064 | ) | $ | (101,870 | ) | $ | (505,263 | ) | ||||||
Convertible Bonds & Notes |
0 | (18,636 | ) | 0 | 0 | (18,636 | ) | |||||||||||||
Sovereign Issues |
0 | 0 | (14,495 | ) | (530 | ) | (15,025 | ) | ||||||||||||
Preferred Securities |
0 | 0 | (15,537 | ) | 0 | (15,537 | ) | |||||||||||||
U.S. Government Agencies |
0 | (3,757 | ) | (20,284 | ) | 0 | (24,041 | ) | ||||||||||||
Non‑Agency Mortgage-Backed Securities |
0 | (246,650 | ) | (210,812 | ) | (79,817 | ) | (537,279 | ) | |||||||||||
Asset-Backed Securities |
0 | (15,276 | ) | (96,644 | ) | (33,077 | ) | (144,997 | ) | |||||||||||
Short-Term Notes |
0 | (22,021 | ) | 0 | 0 | (22,021 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total Borrowings |
$ | 0 | $ | (425,669 | ) | $ | (641,836 | ) | $ | (215,294 | ) | $ | (1,282,799 | ) | ||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Payable for reverse repurchase agreements(5) |
|
$ | (1,282,799 | ) | ||||||||||||||||
|
|
(k) | Securities with an aggregate market value of $6,336 and cash of $33,243 have been pledged as collateral under the terms of the above master agreements as of December 31, 2022. |
(1) | Includes accrued interest. |
(2) | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(1,353,004) at a weighted average interest rate of 2.939%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. |
(3) | Open maturity reverse repurchase agreement. |
(4) | 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. |
(5) | Unsettled reverse repurchase agreements liability of $(99,030) is outstanding at period end. |
Description | Expiration Month |
# of Contracts |
Notional Amount |
Unrealized Appreciation/ (Depreciation) |
Variation Margin | |||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||
3‑Month SOFR Active Contract December Futures |
03/2024 | 66 | $ | (15,753 | ) | $ | 305 | $ | 8 | $ | 0 | |||||||||||||
3‑Month SOFR Active Contract December Futures |
03/2025 | 35 | (8,458 | ) | 96 | 0 | (3 | ) | ||||||||||||||||
3‑Month SOFR Active Contract December Futures |
03/2026 | 38 | (9,198 | ) | 98 | 0 | (4 | ) | ||||||||||||||||
3‑Month SOFR Active Contract June Futures |
09/2024 | 44 | (10,585 | ) | 150 | 1 | 0 | |||||||||||||||||
3‑Month SOFR Active Contract June Futures |
09/2025 | 35 | (8,469 | ) | 91 | 0 | (3 | ) | ||||||||||||||||
3‑Month SOFR Active Contract March Futures |
06/2024 | 58 | (13,900 | ) | 231 | 4 | 0 | |||||||||||||||||
3‑Month SOFR Active Contract March Futures |
06/2025 | 31 | (7,498 | ) | 83 | 0 | (3 | ) | ||||||||||||||||
3‑Month SOFR Active Contract March Futures |
06/2026 | 36 | (8,713 | ) | 91 | 0 | (4 | ) | ||||||||||||||||
3‑Month SOFR Active Contract September Futures |
12/2024 | 41 | (9,891 | ) | 122 | 0 | (2 | ) | ||||||||||||||||
3‑Month SOFR Active Contract September Futures |
12/2025 | 29 | (7,019 | ) | 74 | 0 | (3 | ) | ||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||
Total Futures Contracts |
|
$ | 1,341 | $ | 13 | $ | (22 | ) | ||||||||||||||||
|
|
|
|
|
|
102 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
December 31, 2022 | (Unaudited) |
Reference Entity | Fixed Receive Rate |
Payment Frequency |
Maturity Date |
Implied Credit Spread at December 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 | 2.622 | % | $ | 200 | $ | (8 | ) | $ | 16 | $ | 8 | $ | 0 | $ | 0 | |||||||||||||||||||||||||
Bombardier, Inc. |
5.000 | Quarterly | 06/20/2025 | 3.222 | 100 | (8 | ) | 12 | 4 | 0 | 0 | |||||||||||||||||||||||||||||||||
Jaguar Land Rover Automotive |
5.000 | Quarterly | 06/20/2026 | 9.564 | EUR | 1,000 | 64 | (192 | ) | (128 | ) | 0 | 0 | |||||||||||||||||||||||||||||||
Jaguar Land Rover Automotive |
5.000 | Quarterly | 12/20/2026 | 9.896 | 13,300 | 739 | (2,725 | ) | (1,986 | ) | 10 | 0 | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||||
$ | 787 | $ | (2,889 | ) | $ | (2,102 | ) | $ | 10 | $ | 0 | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
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 |
1‑Day GBP‑SONIO Compounded‑OIS |
0.750 | % | Annual | 09/21/2052 | GBP | 9,800 | $ | 286 | $ | 5,588 | $ | 5,874 | $ | 15 | $ | 0 | |||||||||||||||||||||||
Receive(5) |
1‑Day USD‑SOFR Compounded‑OIS |
2.450 | Annual | 12/20/2024 | $ | 71,200 | (5 | ) | 1,065 | 1,060 | 37 | 0 | ||||||||||||||||||||||||||||
Receive(5) |
1‑Day USD‑SOFR Compounded‑OIS |
2.350 | Annual | 01/17/2025 | 24,600 | 0 | 365 | 365 | 9 | 0 | ||||||||||||||||||||||||||||||
Pay |
1‑Day USD‑SOFR Compounded‑OIS |
1.250 | Annual | 09/21/2026 | 91,700 | (6,758 | ) | (2,229 | ) | (8,987 | ) | 0 | (112 | ) | ||||||||||||||||||||||||||
Pay |
1‑Day USD‑SOFR Compounded‑OIS |
2.000 | Annual | 12/21/2027 | 230,100 | (19,716 | ) | 1,457 | (18,259 | ) | 0 | (339 | ) | |||||||||||||||||||||||||||
Pay |
1‑Day USD‑SOFR Compounded‑OIS |
4.000 | Annual | 12/21/2027 | 309,800 | 313 | 3,115 | 3,428 | 0 | (410 | ) | |||||||||||||||||||||||||||||
Pay |
1‑Day USD‑SOFR Compounded‑OIS |
2.000 | Annual | 12/21/2029 | 144,300 | (14,841 | ) | 386 | (14,455 | ) | 0 | (286 | ) | |||||||||||||||||||||||||||
Receive |
1‑Day USD‑SOFR Compounded‑OIS |
1.750 | Annual | 06/15/2052 | 40,100 | 9,900 | 1,323 | 11,223 | 197 | 0 | ||||||||||||||||||||||||||||||
Receive |
1‑Day USD‑SOFR Compounded‑OIS |
1.750 | Annual | 12/21/2052 | 27,100 | 6,527 | 943 | 7,470 | 134 | 0 | ||||||||||||||||||||||||||||||
Receive |
1‑Day USD‑SOFR Compounded‑OIS |
3.500 | Annual | 12/21/2052 | 81,300 | (245 | ) | (4,071 | ) | (4,316 | ) | 475 | 0 | |||||||||||||||||||||||||||
Pay |
1‑Year BRL‑CDI |
6.170 | Maturity | 01/02/2023 | 77,400 | (14 | ) | (724 | ) | (738 | ) | 0 | (1 | ) | ||||||||||||||||||||||||||
Receive |
1‑Year BRL‑CDI |
12.670 | Maturity | 01/02/2023 | 3,100 | 0 | 2 | 2 | 0 | 0 | ||||||||||||||||||||||||||||||
Receive |
1‑Year BRL‑CDI |
12.690 | Maturity | 01/02/2023 | 2,000 | 0 | 1 | 1 | 0 | 0 | ||||||||||||||||||||||||||||||
Receive |
1‑Year BRL‑CDI |
12.740 | Maturity | 01/02/2023 | 5,200 | 0 | 3 | 3 | 0 | 0 | ||||||||||||||||||||||||||||||
Receive |
1‑Year BRL‑CDI |
12.750 | Maturity | 01/02/2023 | 2,500 | 0 | 1 | 1 | 0 | 0 | ||||||||||||||||||||||||||||||
Receive |
1‑Year BRL‑CDI |
12.760 | Maturity | 01/02/2023 | 5,200 | 0 | 2 | 2 | 0 | 0 | ||||||||||||||||||||||||||||||
Receive |
1‑Year BRL‑CDI |
12.900 | Maturity | 01/02/2023 | 10,700 | 0 | 3 | 3 | 0 | 0 | ||||||||||||||||||||||||||||||
Receive |
1‑Year BRL‑CDI |
12.930 | Maturity | 01/02/2023 | 1,300 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||||||
Receive |
1‑Year BRL‑CDI |
12.939 | Maturity | 01/02/2023 | 5,300 | 0 | 1 | 1 | 0 | 0 | ||||||||||||||||||||||||||||||
Receive |
1‑Year BRL‑CDI |
12.946 | Maturity | 01/02/2023 | 13,400 | 0 | 3 | 3 | 0 | 0 | ||||||||||||||||||||||||||||||
Receive |
1‑Year BRL‑CDI |
12.960 | Maturity | 01/02/2023 | 10,700 | 0 | 2 | 2 | 0 | 0 | ||||||||||||||||||||||||||||||
Receive |
1‑Year BRL‑CDI |
12.970 | Maturity | 01/02/2023 | 17,500 | 0 | 3 | 3 | 0 | 0 | ||||||||||||||||||||||||||||||
Pay |
1‑Year BRL‑CDI |
11.140 | Maturity | 01/02/2025 | 1,000 | 0 | (6 | ) | (6 | ) | 0 | 0 | ||||||||||||||||||||||||||||
Pay |
1‑Year BRL‑CDI |
11.160 | Maturity | 01/02/2025 | 700 | 0 | (4 | ) | (4 | ) | 0 | 0 | ||||||||||||||||||||||||||||
Pay |
1‑Year BRL‑CDI |
11.350 | Maturity | 01/02/2025 | 800 | 0 | (4 | ) | (4 | ) | 0 | 0 | ||||||||||||||||||||||||||||
Pay |
1‑Year BRL‑CDI |
12.000 | Maturity | 01/02/2025 | 2,200 | 0 | (6 | ) | (6 | ) | 0 | 0 | ||||||||||||||||||||||||||||
Pay |
1‑Year BRL‑CDI |
12.080 | Maturity | 01/02/2025 | 3,700 | 0 | (9 | ) | (9 | ) | 0 | 0 | ||||||||||||||||||||||||||||
Pay |
1‑Year BRL‑CDI |
12.140 | Maturity | 01/02/2025 | 1,900 | 0 | (4 | ) | (4 | ) | 0 | 0 | ||||||||||||||||||||||||||||
Pay |
1‑Year BRL‑CDI |
12.145 | Maturity | 01/02/2025 | 1,800 | 0 | (4 | ) | (4 | ) | 0 | 0 | ||||||||||||||||||||||||||||
Pay |
1‑Year BRL‑CDI |
12.160 | Maturity | 01/02/2025 | 3,800 | 0 | (9 | ) | (9 | ) | 0 | 0 | ||||||||||||||||||||||||||||
Pay |
1‑Year BRL‑CDI |
6.990 | Maturity | 01/04/2027 | 318,400 | 2,523 | (10,170 | ) | (7,647 | ) | 2 | 0 | ||||||||||||||||||||||||||||
Pay |
1‑Year BRL‑CDI |
11.220 | Maturity | 01/04/2027 | 1,200 | 0 | (9 | ) | (9 | ) | 0 | 0 | ||||||||||||||||||||||||||||
Pay |
1‑Year BRL‑CDI |
11.245 | Maturity | 01/04/2027 | 600 | 0 | (4 | ) | (4 | ) | 0 | 0 | ||||||||||||||||||||||||||||
Pay |
1‑Year BRL‑CDI |
11.260 | Maturity | 01/04/2027 | 600 | 0 | (4 | ) | (4 | ) | 0 | 0 | ||||||||||||||||||||||||||||
Pay |
1‑Year BRL‑CDI |
11.700 | Maturity | 01/04/2027 | 300 | 0 | (1 | ) | (1 | ) | 0 | 0 | ||||||||||||||||||||||||||||
Pay |
1‑Year BRL‑CDI |
11.715 | Maturity | 01/04/2027 | 1,400 | 0 | (7 | ) | (7 | ) | 0 | 0 | ||||||||||||||||||||||||||||
Receive |
1‑Year BRL‑CDI |
11.788 | Maturity | 01/04/2027 | 471,000 | 0 | 1,790 | 1,790 | 0 | (2 | ) | |||||||||||||||||||||||||||||
Pay |
1‑Year BRL‑CDI |
11.870 | Maturity | 01/04/2027 | 3,200 | 0 | (12 | ) | (12 | ) | 0 | 0 | ||||||||||||||||||||||||||||
Pay |
1‑Year BRL‑CDI |
12.015 | Maturity | 01/04/2027 | 124,200 | 0 | (376 | ) | (376 | ) | 1 | 0 | ||||||||||||||||||||||||||||
Pay |
3‑Month USD‑LIBOR |
0.500 | Semi‑Annual | 06/16/2028 | 6,300 | (352 | ) | (731 | ) | (1,083 | ) | 0 | (12 | ) | ||||||||||||||||||||||||||
Pay |
3‑Month USD‑LIBOR |
1.500 | Semi-Annual | 12/15/2028 | 43,200 | (62 | ) | (5,614 | ) | (5,676 | ) | 0 | (91 | ) | ||||||||||||||||||||||||||
Receive |
6‑Month EUR‑EURIBOR |
0.250 | Annual | 09/21/2032 | EUR | 50,200 | 4,740 | 8,625 | 13,365 | 243 | 0 | |||||||||||||||||||||||||||||
Receive(5) |
6‑Month EUR‑EURIBOR |
1.750 | Annual | 03/15/2033 | 5,700 | 448 | 313 | 761 | 30 | 0 | ||||||||||||||||||||||||||||||
Receive(5) |
6‑Month EUR‑EURIBOR |
0.830 | Annual | 12/09/2052 | 24,400 | 58 | 726 | 784 | 33 | 0 | ||||||||||||||||||||||||||||||
Pay |
28‑Day MXN‑TIIE |
4.550 | Lunar | 02/27/2023 | MXN | 109,600 | 12 | (95 | ) | (83 | ) | 0 | (4 | ) | ||||||||||||||||||||||||||
Pay |
28‑Day MXN‑TIIE |
4.500 | Lunar | 03/03/2023 | 238,900 | (10 | ) | (173 | ) | (183 | ) | 0 | (8 | ) | ||||||||||||||||||||||||||
Receive |
28‑Day MXN‑TIIE |
8.675 | Lunar | 04/03/2024 | 41,000 | 0 | 51 | 51 | 1 | 0 | ||||||||||||||||||||||||||||||
Receive |
28‑Day MXN‑TIIE |
8.660 | Lunar | 04/04/2024 | 17,100 | 0 | 21 | 21 | 0 | 0 | ||||||||||||||||||||||||||||||
Receive |
28‑Day MXN‑TIIE |
8.750 | Lunar | 04/05/2024 | 10,200 | 0 | 12 | 12 | 0 | 0 | ||||||||||||||||||||||||||||||
Receive |
28‑Day MXN‑TIIE |
8.410 | Lunar | 03/31/2027 | 4,900 | 0 | 4 | 4 | 1 | 0 | ||||||||||||||||||||||||||||||
Receive |
28‑Day MXN‑TIIE |
8.730 | Lunar | 04/06/2027 | 4,300 | 0 | 1 | 1 | 1 | 0 | ||||||||||||||||||||||||||||||
Receive |
28‑Day MXN‑TIIE |
7.495 | Lunar | 01/14/2032 | 2,100 | 9 | (1 | ) | 8 | 0 | 0 | |||||||||||||||||||||||||||||
Receive |
28‑Day MXN‑TIIE |
7.498 | Lunar | 01/15/2032 | 8,700 | 36 | (2 | ) | 34 | 2 | 0 |
See Accompanying Notes | SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 103 |
Consolidated Schedule of Investments | PIMCO Dynamic Income Opportunities Fund | (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 |
28‑Day MXN‑TIIE |
8.732 | % | Lunar | 03/30/2032 | MXN | 2,100 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | |||||||||||||||||||||||
Receive |
28‑Day MXN‑TIIE |
8.701 | Lunar | 03/31/2032 | 5,000 | 0 | 1 | 1 | 1 | 0 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
$ | (17,151 | ) | $ | 1,538 | $ | (15,613 | ) | $ | 1,182 | $ | (1,265 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
Total Swap Agreements |
|
$ | (16,364 | ) | $ | (1,351 | ) | $ | (17,715 | ) | $ | 1,192 | $ | (1,265 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
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 | $ | 13 | $ | 1,192 | $ | 1,205 | $ | 0 | $ | (22) | $ | (1,265) | $ | (1,287) | ||||||||||||||||||||
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|
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(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. |
Counterparty | Settlement Month |
Currency to be Delivered |
Currency to be Received |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||
BOA |
01/2023 | $ | 194 | ZAR | 3,439 | $ | 9 | $ | 0 | |||||||||||||||
02/2023 | CAD | 9,413 | $ | 7,091 | 136 | 0 | ||||||||||||||||||
02/2023 | CHF | 631 | 667 | 0 | (19 | ) | ||||||||||||||||||
02/2023 | EUR | 45,485 | 47,727 | 0 | (1,102 | ) | ||||||||||||||||||
02/2023 | GBP | 77,549 | 91,526 | 0 | (2,330 | ) | ||||||||||||||||||
02/2023 | $ | 4,341 | EUR | 4,073 | 31 | 0 | ||||||||||||||||||
02/2023 | 1,551 | ZAR | 27,796 | 79 | 0 | |||||||||||||||||||
03/2023 | 2,008 | 35,456 | 67 | 0 | ||||||||||||||||||||
BPS |
02/2023 | EUR | 59,316 | $ | 61,507 | 0 | (2,171 | ) | ||||||||||||||||
02/2023 | IDR | 6,715,048 | 427 | 0 | (7 | ) | ||||||||||||||||||
02/2023 | $ | 1,415 | EUR | 1,325 | 8 | 0 | ||||||||||||||||||
03/2023 | MXN | 61,250 | $ | 3,039 | 0 | (61 | ) | |||||||||||||||||
03/2023 | $ | 20,024 | PEN | 77,853 | 345 | 0 | ||||||||||||||||||
BRC |
01/2023 | ZAR | 3,439 | $ | 197 | 0 | (6 | ) | ||||||||||||||||
02/2023 | CHF | 324 | 346 | 0 | (7 | ) | ||||||||||||||||||
02/2023 | GBP | 1,277 | 1,545 | 0 | 0 | |||||||||||||||||||
02/2023 | $ | 484 | ZAR | 8,008 | 0 | (14 | ) | |||||||||||||||||
02/2023 | ZAR | 13,804 | $ | 775 | 0 | (35 | ) | |||||||||||||||||
CBK |
01/2023 | BRL | 233,577 | 44,601 | 361 | 0 | ||||||||||||||||||
01/2023 | $ | 22,252 | BRL | 116,788 | 0 | (132 | ) | |||||||||||||||||
01/2023 | 3,407 | PEN | 13,683 | 189 | 0 | |||||||||||||||||||
02/2023 | BRL | 97,285 | $ | 18,026 | 0 | (300 | ) | |||||||||||||||||
02/2023 | EUR | 1,144 | 1,225 | 0 | (3 | ) | ||||||||||||||||||
02/2023 | GBP | 1,173 | 1,428 | 9 | 0 |
104 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
December 31, 2022 | (Unaudited) |
Counterparty | Settlement Month |
Currency to be Delivered |
Currency to be Received |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||
02/2023 | $ | 22,163 | BRL | 116,788 | $ | 0 | $ | (163 | ) | |||||||||||||||
02/2023 | 1,033 | EUR | 963 | 1 | 0 | |||||||||||||||||||
03/2023 | MXN | 179,135 | $ | 9,131 | 65 | 0 | ||||||||||||||||||
03/2023 | $ | 655 | IDR | 10,250,344 | 7 | 0 | ||||||||||||||||||
04/2023 | PEN | 98,221 | $ | 24,555 | 0 | (1,089 | ) | |||||||||||||||||
04/2023 | $ | 2,223 | PEN | 8,779 | 66 | 0 | ||||||||||||||||||
05/2023 | 12,449 | MXN | 251,634 | 168 | 0 | |||||||||||||||||||
MYI |
01/2023 | 1,832 | ZAR | 32,857 | 99 | 0 | ||||||||||||||||||
02/2023 | EUR | 4,091 | $ | 4,255 | 0 | (137 | ) | |||||||||||||||||
02/2023 | $ | 1,832 | ZAR | 32,919 | 98 | 0 | ||||||||||||||||||
02/2023 | ZAR | 27,796 | $ | 1,559 | 0 | (70 | ) | |||||||||||||||||
03/2023 | $ | 917 | IDR | 14,376,026 | 11 | 0 | ||||||||||||||||||
03/2023 | ZAR | 35,456 | $ | 2,011 | 0 | (64 | ) | |||||||||||||||||
SCX |
01/2023 | 32,857 | 1,875 | 0 | (56 | ) | ||||||||||||||||||
02/2023 | EUR | 9,719 | 10,120 | 0 | (313 | ) | ||||||||||||||||||
02/2023 | IDR | 4,476,332 | 284 | 0 | (5 | ) | ||||||||||||||||||
02/2023 | $ | 29,101 | EUR | 27,574 | 500 | 0 | ||||||||||||||||||
04/2023 | 1,623 | ZAR | 29,858 | 120 | 0 | |||||||||||||||||||
09/2023 | ZAR | 525 | $ | 30 | 0 | 0 | ||||||||||||||||||
TOR |
01/2023 | PLN | 28,572 | 5,638 | 0 | (879 | ) | |||||||||||||||||
02/2023 | EUR | 95,258 | 99,234 | 0 | (3,029 | ) | ||||||||||||||||||
02/2023 | GBP | 277 | 330 | 0 | (6 | ) | ||||||||||||||||||
03/2023 | ZAR | 4,401 | 254 | 0 | (4 | ) | ||||||||||||||||||
04/2023 | 29,858 | 1,718 | 0 | (24 | ) | |||||||||||||||||||
UAG |
02/2023 | EUR | 7,264 | 7,566 | 0 | (233 | ) | |||||||||||||||||
02/2023 | IDR | 11,507,925 | 725 | 0 | (18 | ) | ||||||||||||||||||
02/2023 | ZAR | 27,123 | 1,544 | 0 | (47 | ) | ||||||||||||||||||
03/2023 | $ | 246 | ZAR | 4,401 | 11 | 0 | ||||||||||||||||||
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|||||||||||||||||||||
Total Forward Foreign Currency Contracts |
|
$ | 2,380 | $ | (12,324 | ) | ||||||||||||||||||
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|
|
Counterparty | Reference Entity | Fixed Receive Rate |
Payment Frequency |
Maturity Date |
Implied Credit Spread at December 31, 2022(2) |
Notional Amount(3) |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Swap Agreements, at Value(4) |
|||||||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||||||||
BYL | Banca Monte Dei Paschi Di |
5.000% | Quarterly | 06/20/2024 | 5.298% | EUR | 2,000 | $ | (56 | ) | $ | 52 | $ | 0 | $ | (4 | ) | |||||||||||||||||||||||
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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 | |||||||||||||||||||||||||||||||||||
BOA |
Receive |
iBoxx USD Liquid High Yield Index |
N/A | 1.059% | Maturity | 03/20/2023 | $ | 300 | $ | 0 | $ | 11 | $ | 11 | $ | 0 | ||||||||||||||||||||
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|||||||||||||||||||||||||||||
Total Swap Agreements |
|
$ | (56 | ) | $ | 63 | $ | 11 | $ | (4 | ) | |||||||||||||||||||||||||
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|
|
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(6) |
|||||||||||||||||||||||||||||||||||||
BOA |
$ | 322 | $ | 0 | $ | 11 | $ | 333 | $ | (3,451 | ) | $ | 0 | $ | 0 | $ | (3,451 | ) | $ | (3,118 | ) | $ | 2,667 | $ | (451 | ) | ||||||||||||||||||||||
BPS |
353 | 0 | 0 | 353 | (2,239 | ) | 0 | 0 | (2,239 | ) | (1,886 | ) | 2,271 | 385 | ||||||||||||||||||||||||||||||||||
BRC |
0 | 0 | 0 | 0 | (62 | ) | 0 | 0 | (62 | ) | (62 | ) | 61 | (1 | ) | |||||||||||||||||||||||||||||||||
BYL |
0 | 0 | 0 | 0 | 0 | 0 | (4 | ) | (4 | ) | (4 | ) | 0 | (4 | ) | |||||||||||||||||||||||||||||||||
CBK |
866 | 0 | 0 | 866 | (1,687 | ) | 0 | 0 | (1,687 | ) | (821 | ) | 1,047 | 226 | ||||||||||||||||||||||||||||||||||
MYI |
208 | 0 | 0 | 208 | (271 | ) | 0 | 0 | (271 | ) | (63 | ) | 0 | (63 | ) | |||||||||||||||||||||||||||||||||
SCX |
620 | 0 | 0 | 620 | (374 | ) | 0 | 0 | (374 | ) | 246 | (30 | ) | 216 | ||||||||||||||||||||||||||||||||||
TOR |
0 | 0 | 0 | 0 | (3,942 | ) | 0 | 0 | (3,942 | ) | (3,942 | ) | 3,178 | (764 | ) | |||||||||||||||||||||||||||||||||
UAG |
11 | 0 | 0 | 11 | (298 | ) | 0 | 0 | (298 | ) | (287 | ) | 0 | (287 | ) | |||||||||||||||||||||||||||||||||
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|||||||||||||||||||||||||||||||||
Total Over the Counter |
$ | 2,380 | $ | 0 | $ | 11 | $ | 2,391 | $ | (12,324 | ) | $ | 0 | $ | (4 | ) | $ | (12,328 | ) | |||||||||||||||||||||||||||||
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See Accompanying Notes | SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 105 |
Consolidated Schedule of Investments | PIMCO Dynamic Income Opportunities Fund | (Cont.) |
(n) | Securities with an aggregate market value of $9,223 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 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) | 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 derivatives 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. |
106 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
December 31, 2022 | (Unaudited) |
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2022 |
||||||||||||
Investments in Securities, at Value |
| |||||||||||||||
Loan Participations and Assignments |
$ | 0 | $ | 473,738 | $ | 152,969 | $ | 626,707 | ||||||||
Corporate Bonds & Notes |
| |||||||||||||||
Banking & Finance |
0 | 189,934 | 6,614 | 196,548 | ||||||||||||
Industrials |
0 | 338,240 | 0 | 338,240 | ||||||||||||
Utilities |
0 | 108,497 | 0 | 108,497 | ||||||||||||
Convertible Bonds & Notes |
| |||||||||||||||
Banking & Finance |
0 | 19,850 | 0 | 19,850 | ||||||||||||
Industrials |
0 | 2,327 | 0 | 2,327 | ||||||||||||
Municipal Bonds & Notes |
| |||||||||||||||
Puerto Rico |
0 | 14,164 | 0 | 14,164 | ||||||||||||
West Virginia |
0 | 1,861 | 0 | 1,861 | ||||||||||||
U.S. Government Agencies |
0 | 28,517 | 0 | 28,517 | ||||||||||||
Non‑Agency Mortgage-Backed Securities |
0 | 781,623 | 555 | 782,178 | ||||||||||||
Asset-Backed Securities |
0 | 276,328 | 36,384 | 312,712 | ||||||||||||
Sovereign Issues |
0 | 22,978 | 0 | 22,978 | ||||||||||||
Common Stocks |
| |||||||||||||||
Consumer Staples |
488 | 0 | 0 | 488 | ||||||||||||
Financials |
5,031 | 0 | 15,616 | 20,647 | ||||||||||||
Industrials |
0 | 0 | 12,984 | 12,984 | ||||||||||||
Rights |
| |||||||||||||||
Financials |
0 | 0 | 460 | 460 | ||||||||||||
Warrants |
| |||||||||||||||
Financials |
0 | 0 | 511 | 511 | ||||||||||||
Preferred Securities |
| |||||||||||||||
Banking & Finance |
0 | 19,749 | 0 | 19,749 | ||||||||||||
Industrials |
0 | 0 | 11,047 | 11,047 |
See Accompanying Notes | SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 107 |
Consolidated Schedule of Investments | PIMCO Dynamic Income Opportunities Fund | (Cont.) | December 31, 2022 | (Unaudited) |
Category and Subcategory | Beginning Balance at 06/30/2022 |
Net Purchases |
Net Sales/ Settlements |
Accrued Discounts/ (Premiums) |
Realized Gain/(Loss) |
Net Change in Unrealized Appreciation/ (Depreciation)(1) |
Transfers into Level 3 |
Transfers out of Level 3 |
Ending Balance at 12/31/2022 |
Net Change in Unrealized Appreciation/ (Depreciation) on Investments Held at 12/31/2022(1) |
||||||||||||||||||||||||||||||
Investments in Securities, at Value |
| |||||||||||||||||||||||||||||||||||||||
Loan Participations and Assignments |
$ | 219,124 | $ | 40,545 | $ | (27,040 | ) | $ | 24 | $ | (304 | ) | $ | (6,695 | ) | $ | 41,084 | $ | (113,769 | ) | $ | 152,969 | $ | (3,657 | ) | |||||||||||||||
Corporate Bonds & Notes |
| |||||||||||||||||||||||||||||||||||||||
Banking & Finance |
0 | 6,614 | 0 | 0 | 0 | 0 | 0 | 6,614 | 0 | |||||||||||||||||||||||||||||||
Industrials |
105,768 | 561 | 0 | 189 | 0 | (5,681 | ) | 0 | (100,837 | ) | 0 | 0 | ||||||||||||||||||||||||||||
Non‑Agency Mortgage-Backed Securities |
701 | 0 | 0 | 0 | 0 | (146 | ) | 0 | 0 | 555 | (146 | ) | ||||||||||||||||||||||||||||
Asset-Backed Securities |
51,484 | 0 | (1,422 | ) | 159 | (761 | ) | (13,076 | ) | 0 | 0 | 36,384 | (13,738 | ) | ||||||||||||||||||||||||||
Common Stocks |
| |||||||||||||||||||||||||||||||||||||||
Financials |
18,219 | 0 | 0 | 0 | 0 | (2,603 | ) | 0 | 0 | 15,616 | (2,603 | ) | ||||||||||||||||||||||||||||
Industrials |
14,859 | 405 | (306 | ) | 0 | 0 | (1,974 | ) | 0 | 0 | 12,984 | (1,974 | ) | |||||||||||||||||||||||||||
Rights |
| |||||||||||||||||||||||||||||||||||||||
Financials |
324 | 0 | 0 | 0 | 0 | 136 | 0 | 0 | 460 | 136 | ||||||||||||||||||||||||||||||
Warrants |
| |||||||||||||||||||||||||||||||||||||||
Financials |
341 | 0 | 0 | 0 | 0 | 170 | 0 | 0 | 511 | 170 | ||||||||||||||||||||||||||||||
Preferred Securities |
| |||||||||||||||||||||||||||||||||||||||
Industrials |
12,445 | 0 | 0 | 0 | 0 | (1,398 | ) | 0 | 0 | 11,047 | (1,398 | ) | ||||||||||||||||||||||||||||
Short-Term Instruments |
| |||||||||||||||||||||||||||||||||||||||
Short-Term Notes |
0 | 314 | 0 | 0 | 0 | 7 | 0 | 0 | 321 | 7 | ||||||||||||||||||||||||||||||
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|||||||||||||||||||||
Totals |
$ | 423,265 | $ | 48,439 | $ | (28,768 | ) | $ | 372 | $ | (1,065 | ) | $ | (31,260 | ) | $ | 41,084 | $ | (214,606 | ) | $ | 237,461 | $ | (23,203 | ) | |||||||||||||||
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|
|
Category and Subcategory | Ending Balance at 12/31/2022 |
Valuation Technique |
Unobservable Inputs |
(% Unless Noted Otherwise) | ||||||||||||||
Input Value(s) | Weighted Average |
|||||||||||||||||
Investments in Securities, at Value |
| |||||||||||||||||
Loan Participations and Assignments |
$ | 52,621 | Discounted Cash Flow | Discount Rate | 6.920-9.500 | 8.354 | ||||||||||||
29,640 | Discounted Cash Flow | Discount Spread | 7.212-9.080 | 8.346 | ||||||||||||||
921 | Indicative Market Quotation | Price | 95.500 | — | ||||||||||||||
16,037 | Proxy Pricing | Base Price | 95.286 | — | ||||||||||||||
53,750 | Third Party Vendor | Broker Quote | 35.000‑87.500 | 73.207 | ||||||||||||||
Corporate Bonds & Notes |
| |||||||||||||||||
Banking & Finance |
6,614 | Proxy Pricing | Base Price | 100.000 | — | |||||||||||||
Non‑Agency Mortgage‑Backed Securities |
555 | Discounted Cash Flow | Discount Rate | 9.000 | — | |||||||||||||
Asset-Backed Securities |
36,384 | Discounted Cash Flow | Discount Rate | 9.000-25.000 | 17.854 | |||||||||||||
Common Stocks |
| |||||||||||||||||
Financials |
15,616 | Indicative Market Quotation | Price | $ | 24.000 | — | ||||||||||||
Industrials |
6,080 | Discounted Cash Flow | Discount Rate | 11.590 | — | |||||||||||||
6,904 | Indicative Market Quotation | Price | $ | 18.500 | — | |||||||||||||
Rights |
| |||||||||||||||||
Financials |
460 | Other Valuation Techniques(2) | — | — | — | |||||||||||||
Warrants |
| |||||||||||||||||
Financials |
511 | Other Valuation Techniques(2) | — | — | — | |||||||||||||
Preferred Securities |
| |||||||||||||||||
Industrials |
11,047 | Market Comparable Valuation / Discounted Cash Flow |
TBV Multiple/ Discount Rate |
X/% | 0.370/24.820 | — | ||||||||||||
Short-Term Instruments |
||||||||||||||||||
Short-Term Notes |
321 | Proxy Pricing | Base Price | 100.000 | — | |||||||||||||
|
|
|||||||||||||||||
Total |
$ | 237,461 | ||||||||||||||||
|
|
(1) | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at December 31, 2022 may be due to an investment no longer held or categorized as Level 3 at period end. |
(2) | Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not considered significant to the Fund. |
108 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
Notes to Financial Statements | December 31, 2022 | (Unaudited) |
Fund Name | Formation Date | |||||||
PCM Fund, Inc. |
June 23,1993 | |||||||
PIMCO Global StocksPLUS® & Income Fund |
February 16, 2005 | |||||||
PIMCO Strategic Income Fund, Inc. |
December 9, 1993 | |||||||
PIMCO Access Income Fund |
October 1, 2021 | |||||||
PIMCO Dynamic Income Fund |
January 19, 2011 | |||||||
PIMCO Dynamic Income Opportunities Fund |
December 23, 2019 |
SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 109 |
Notes to Financial Statements | (Cont.) |
Distribution Frequency | ||||||||||||
Fund Name | Declared | Distributed | ||||||||||
PCM Fund, Inc. |
Monthly | Monthly | ||||||||||
PIMCO Global StocksPLUS® & Income Fund |
Monthly | Monthly | ||||||||||
PIMCO Strategic Income Fund, Inc. |
Monthly | Monthly | ||||||||||
PIMCO Access Income Fund |
Monthly | Monthly | ||||||||||
PIMCO Dynamic Income Fund |
Monthly | Monthly | ||||||||||
PIMCO Dynamic Income Opportunities Fund |
Monthly | Monthly |
Selected Per Share Data for the Year or Period Ended: |
Net Asset Value Beginning of Year or Period |
Net Investment Income from Investment Operations |
Net Realized/ Unrealized Gain (Loss) from Investment Operations |
Net Asset Value End of Year or Period |
Net Assets End of Year or Period (000s) |
Net Investment Income (Loss) Ratio to Average Net Assets |
Portfolio Turnover Rate |
|||||||||||||||||||||||||
6/30/2018 |
$ | 7.77 | $ | 0.49 | $ | (0.06 | ) | $ | 7.34 | $ | 315,577 | 6.39% | 755% |
110 | PIMCO CLOSED-END FUNDS |
December 31, 2022 | (Unaudited) |
SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 111 |
Notes to Financial Statements | (Cont.) |
112 | PIMCO CLOSED-END FUNDS |
December 31, 2022 | (Unaudited) |
∎ | Level 1 — Quoted prices (unadjusted) in active markets or exchanges for identical assets and liabilities. |
∎ | Level 2 — Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs. |
∎ | Level 3 — Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Valuation Designee that are used in determining the fair value of investments. |
SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 113 |
Notes to Financial Statements | (Cont.) |
114 | PIMCO CLOSED-END FUNDS |
December 31, 2022 | (Unaudited) |
SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 115 |
Notes to Financial Statements | (Cont.) |
PIMCO Dynamic Income Fund | ||||||||||||||||||||||||||||||||||||
Security Name | Market Value at 06/30/2022 |
Purchases at cost |
Proceeds from Sale |
Net Realized Gain/(Loss) |
Change in Unrealized Appreciation (Depreciation) |
Market Value at 12/31/2022 |
Dividend Income |
Shares Held at 12/31/2022 |
||||||||||||||||||||||||||||
Neiman Marcus Group Ltd. LLC |
$ | 104,200 | $ | 0 | $ | 0 | $ | 0 | $ | 1,933 | $ | 106,133 | $ | 0 | 602,840 | |||||||||||||||||||||
Sierra Hamilton Holder LLC |
3 | 0 | 0 | 0 | 0 | 3 | 0 | 30,337,712 |
† | A zero balance may reflect actual amounts rounding to less than one thousand. |
116 | PIMCO CLOSED-END FUNDS |
December 31, 2022 | (Unaudited) |
SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 117 |
Notes to Financial Statements | (Cont.) |
118 | PIMCO CLOSED-END FUNDS |
December 31, 2022 | (Unaudited) |
SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 119 |
Notes to Financial Statements | (Cont.) |
120 | PIMCO CLOSED-END FUNDS |
December 31, 2022 | (Unaudited) |
SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 121 |
Notes to Financial Statements | (Cont.) |
122 | PIMCO CLOSED-END FUNDS |
December 31, 2022 | (Unaudited) |
SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 123 |
Notes to Financial Statements | (Cont.) |
124 | PIMCO CLOSED-END FUNDS |
December 31, 2022 | (Unaudited) |
PCM Fund, Inc. (PCM) |
PIMCO Access Income Fund (PAXS) |
PIMCO Dynamic Income Fund (PDI) |
PIMCO Dynamic Income Opportunities Fund (PDO) |
PIMCO Global StocksPLUS® & Income Fund (PGP) |
PIMCO Strategic Income Fund, Inc. (RCS) | |||||||||||
Asset Allocation Risk |
— | X | X | X | — | — | ||||||||||
Call Risk |
X | X | X | X | X | X | ||||||||||
Risk of Investing in China |
X | X | X | X | X | X | ||||||||||
Collateralized Bond Obligations, Collateralized Loan Obligations and Collateralized Debt Obligations Risk |
— | X | X | — | — | — | ||||||||||
Collateralized Loan Obligations Risk |
X | — | — | X | X | X | ||||||||||
Confidential Information Access Risk |
— | X | X | X | — | — | ||||||||||
Contingent Convertible Securities Risk |
X | X | X | X | X | X | ||||||||||
Convertible Securities Risk |
— | X | X | X | — | — | ||||||||||
Counterparty Risk |
X | X | X | X | X | X | ||||||||||
“Covenant-lite” Obligations Risk |
— | X | X | X | — | — | ||||||||||
Credit Default Swaps Risk |
X | X | X | X | X | X | ||||||||||
Credit Risk |
X | X | X | X | X | X | ||||||||||
Currency Risk |
— | X | X | X | — | — | ||||||||||
Cyber Security Risk |
X | X | X | X | X | X | ||||||||||
Debt Securities Risk |
X | X | X | X | X | X | ||||||||||
Derivatives Risk |
X | X | X | X | X | X | ||||||||||
Distressed and Defaulted Securities Risk |
— | X | X | X | — | — | ||||||||||
Distribution Rate Risk |
X | X | X | X | X | X | ||||||||||
Emerging Markets Risk |
X | X | X | X | X | X | ||||||||||
Equity Securities and Related Market Risk |
X | X | X | X | X | X | ||||||||||
Focused Investment Risk |
— | X | X | X | — | — | ||||||||||
Foreign (Non‑U.S.) Investment Risk |
X | X | X | X | X | X | ||||||||||
Foreign Loan Originations Risk |
— | X | X | — | — | — | ||||||||||
High Yield Securities Risk |
X | X | X | X | X | X | ||||||||||
Inflation/Deflation Risk |
X | X | X | X | X | X | ||||||||||
Inflation-Indexed Security Risk |
X | X | X | X | X | X | ||||||||||
Interest Rate Risk |
X | X | X | X | X | X | ||||||||||
Issuer Risk |
X | X | X | X | X | X | ||||||||||
Leverage Risk |
X | X | X | X | X | X | ||||||||||
Limited Term Risk |
— | X | — | X | — | — | ||||||||||
Liquidity Risk |
X | X | X | X | X | X | ||||||||||
Loan Origination Risk |
— | X | X | — | — | — | ||||||||||
Loans and Other Indebtedness; Loan Participations and Assignments Risk |
X | X | X | X | X | — | ||||||||||
Management Risk |
X | X | X | X | X | X | ||||||||||
Market Discount Risk |
— | X | X | X | — | — | ||||||||||
Market Disruptions Risk |
X | X | X | X | X | X | ||||||||||
Market Risk |
X | X | X | X | X | X | ||||||||||
Mortgage-Related and Other Asset-Backed Securities Risk |
X | X | X | X | X | X | ||||||||||
Mortgage-Related Derivative Instruments Risk |
— | X | X | X | — | — | ||||||||||
New/Small Fund Risk |
— | X | — | X | — | — | ||||||||||
Non‑Diversification Risk |
— | X | — | X | — | — | ||||||||||
Operational Risk |
X | X | X | X | X | X | ||||||||||
Other Investment Companies Risk |
X | X | X | X | X | X |
SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 125 |
Notes to Financial Statements | (Cont.) |
PCM Fund, Inc. (PCM) |
PIMCO Access Income Fund (PAXS) |
PIMCO Dynamic Income Fund (PDI) |
PIMCO Dynamic Income Opportunities Fund (PDO) |
PIMCO Global StocksPLUS® & Income Fund (PGP) |
PIMCO Strategic Income Fund, Inc. (RCS) |
|||||||||||||||||||||||
Platform Risk |
— | X | X | X | — | — | ||||||||||||||||||||||
Potential Conflicts of Interest Risk—Allocation of Investment Opportunities |
— | X | X | X | — | — | ||||||||||||||||||||||
Portfolio Turnover Risk |
X | X | X | X | X | X | ||||||||||||||||||||||
Preferred Securities Risk |
X | X | X | X | X | X | ||||||||||||||||||||||
Privacy and Data Security Risk |
— | X | X | X | — | — | ||||||||||||||||||||||
Private Placement and Restricted Securities Risk |
X | X | X | X | X | X | ||||||||||||||||||||||
Privately-Issued Mortgage-Related Securities Risk |
X | X | X | X | X | X | ||||||||||||||||||||||
Real Estate Risk |
— | X | X | X | — | — | ||||||||||||||||||||||
Regulation S Securities Risk |
— | X | — | — | — | — | ||||||||||||||||||||||
Regulatory Changes Risk |
X | X | X | X | X | X | ||||||||||||||||||||||
Regulatory Risk-Commodity Pool Operator |
X | X | X | X | — | — | ||||||||||||||||||||||
Regulatory Risk-LIBOR |
X | X | X | X | X | X | ||||||||||||||||||||||
Reinvestment Risk |
X | X | X | X | X | X | ||||||||||||||||||||||
REIT Risk |
— | X | X | — | — | — | ||||||||||||||||||||||
Repurchase Agreements Risk |
X | X | X | X | X | X | ||||||||||||||||||||||
Restricted Securities Risk |
X | X | X | X | X | X | ||||||||||||||||||||||
Risk Retention Investment Risk |
— | X | X | — | — | — | ||||||||||||||||||||||
Securities Lending Risk |
— | — | X | — | — | — | ||||||||||||||||||||||
Senior Debt Risk |
X | X | X | X | X | X | ||||||||||||||||||||||
Short Exposure Risk |
— | — | X | — | — | — | ||||||||||||||||||||||
Smaller Company Risk |
— | — | X | — | — | — | ||||||||||||||||||||||
Sovereign Debt Risk |
X | X | X | X | X | X | ||||||||||||||||||||||
Special Purpose Acquisition Companies (“SPACs”) Risk |
— | — | X | — | — | — | ||||||||||||||||||||||
Structured Investments Risk |
X | X | X | X | X | X | ||||||||||||||||||||||
Subprime Risk |
— | X | X | X | — | — | ||||||||||||||||||||||
Subsidiary Risk |
— | X | X | X | — | — | ||||||||||||||||||||||
Synthetic Convertible Securities Risk |
— | X | X | X | — | — | ||||||||||||||||||||||
Tax Risk |
X | X | X | X | X | X | ||||||||||||||||||||||
U.S. Government Securities Risk |
X | X | X | X | X | X | ||||||||||||||||||||||
Valuation Risk |
X | X | X | X | X | X | ||||||||||||||||||||||
Zero-Coupon Bond, Step‑Ups and Payment‑in‑Kind Securities Risk |
— | X | X | X | — | — |
126 | PIMCO CLOSED-END FUNDS |
December 31, 2022 | (Unaudited) |
SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 127 |
Notes to Financial Statements | (Cont.) |
128 | PIMCO CLOSED-END FUNDS |
December 31, 2022 | (Unaudited) |
SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 129 |
Notes to Financial Statements | (Cont.) |
130 | PIMCO CLOSED-END FUNDS |
December 31, 2022 | (Unaudited) |
SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 131 |
Notes to Financial Statements | (Cont.) |
132 | PIMCO CLOSED-END FUNDS |
December 31, 2022 | (Unaudited) |
SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 133 |
Notes to Financial Statements | (Cont.) |
134 | PIMCO CLOSED-END FUNDS |
December 31, 2022 | (Unaudited) |
Fund Name | Annual Rate | |||||||
PCM Fund, Inc. |
0.900% | (1) | ||||||
PIMCO Global StocksPLUS® & Income Fund |
1.105% | (2) | ||||||
PIMCO Strategic Income Fund, Inc. |
0.955% | (3) | ||||||
PIMCO Access Income Fund |
1.250% | (4) | ||||||
PIMCO Dynamic Income Fund |
1.100% | (5) | ||||||
PIMCO Dynamic Income Opportunities Fund |
1.150% | (5) |
SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 135 |
Notes to Financial Statements | (Cont.) |
(1) | Management fees calculated based on the Fund’s average daily “total managed assets.” Total managed assets refer to the total assets of the Fund (including assets attributable to any reverse repurchase agreements, borrowings and preferred shares that may be outstanding) minus accrued liabilities (other than liabilities representing reverse repurchase agreements and borrowings). |
(2) | Management fees calculated based on the Fund’s average daily “total managed assets.” Total managed assets refer to the total assets of the Fund (including assets attributable to any preferred shares and borrowings that may be outstanding) minus accrued liabilities (other than liabilities representing borrowings). |
(3) | 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). |
(4) | Management fees calculated based on the Fund’s average daily “total managed assets.” Total managed assets refer to the total assets of the Fund (including any assets attributable to any reverse repurchase agreements, dollar rolls/buy backs, borrowings and preferred shares that may be outstanding) minus accrued liabilities (other than liabilities representing reverse repurchase agreements, dollar rolls/buy backs, and borrowings). |
(5) | Management fees calculated based on the Fund’s average daily “total managed assets.” Total managed assets include total assets of the Fund (including assets attributable to any reverse repurchase agreements, dollar rolls, borrowings and preferred shares that may be outstanding) minus accrued liabilities (other than liabilities representing reverse repurchase agreements, dollar rolls and borrowings). |
136 | PIMCO CLOSED-END FUNDS |
December 31, 2022 | (Unaudited) |
SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 137 |
Notes to Financial Statements | (Cont.) |
Fund Name | Purchases | Sales | Realized Gain/(Loss) |
|||||||||||||
PCM Fund, Inc. |
$ | 0 | $ | 4,573 | $ | (53 | ) | |||||||||
PIMCO Global StocksPLUS® & Income Fund |
129 | 3,663 | (58 | ) | ||||||||||||
PIMCO Strategic Income Fund, Inc. |
3,517 | 6,837 | (176 | ) | ||||||||||||
PIMCO Access Income Fund |
3,764 | 33,994 | (1,402 | ) | ||||||||||||
PIMCO Dynamic Income Fund |
0 | 102,196 | (1,152 | ) | ||||||||||||
PIMCO Dynamic Income Opportunities Fund |
289 | 67,813 | (2,224 | ) |
† | A zero balance may reflect actual amounts rounding to less than one thousand. |
138 | PIMCO CLOSED-END FUNDS |
December 31, 2022 | (Unaudited) |
U.S. Government/Agency | All Other | |||||||||||||||||||
Fund Name | Purchases | Sales | Purchases | Sales | ||||||||||||||||
PCM Fund, Inc. |
$ | 0 | $ | 0 | $ | 9,372 | $ | 20,131 | ||||||||||||
PIMCO Global StocksPLUS® & Income Fund |
271,933 | 268,328 | 8,085 | 26,430 | ||||||||||||||||
PIMCO Strategic Income Fund, Inc. |
440,899 | 449,335 | 16,780 | 59,800 | ||||||||||||||||
PIMCO Access Income Fund |
0 | 0 | 260,805 | 197,065 | ||||||||||||||||
PIMCO Dynamic Income Fund |
5,437 | 2,681 | 624,324 | 892,189 | ||||||||||||||||
PIMCO Dynamic Income Opportunities Fund |
4,306 | 10,212 | 256,700 | 435,465 |
† | A zero balance may reflect actual amounts rounding to less than one thousand. |
PDI | ||||||||||||
Six Months Ended 12/31/2022 |
Year Ended 06/30/2022 |
|||||||||||
Common Shares registered (aggregate $) |
$ | 1,000,000,000 | $ | 1,000,000,000 | ||||||||
Common Shares sold |
13,794,680 | 7,210,365 | ||||||||||
Common Shares sold in Reorganization |
0 | 147,078,552 | ||||||||||
Offering proceeds (net of offering costs) |
281,223,014 | 181,490,778 | ||||||||||
Offering proceeds (net of offering costs) in Reorganization |
0 | 3,562,154,298 |
SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 139 |
Notes to Financial Statements | (Cont.) |
Fund name | Subsidiary | Date of Formation |
Subsidiary % of Consolidated Fund Net Assets† |
|||||||||||
PIMCO Access Income Fund |
PAXSLS I LLC | 01/31/2022 | 2.6% | |||||||||||
PIMCO Access Income Fund |
RLM 4355 LLC | 01/31/2022 | 0.0% | |||||||||||
PIMCO Dynamic Income Fund |
PCILS I LLC | 03/07/2013 | 0.7% | |||||||||||
PIMCO Dynamic Income Fund |
PDILS I LLC | 03/12/2013 | 0.6% | |||||||||||
PIMCO Dynamic Income Opportunities Fund |
PDOLS I LLC | 01/15/2021 | 0.0% | |||||||||||
PIMCO Dynamic Income Opportunities Fund |
RLM 4365 LLC | 01/15/2021 | 0.0% |
† | A zero balance may reflect actual amounts rounding to less than 0.01%. |
Shares Outstanding |
Net Assets | Net Assets Value Per Share |
Net Unrealized Appreciation (Depreciation) |
|||||||||||||||||
Acquired Fund |
||||||||||||||||||||
PIMCO Income Opportunity Fund |
21,513 | $ | 494,490 | $ | 22.99 | $ | 2,056 | |||||||||||||
PIMCO Dynamic Credit and Mortgage Income Fund |
154,747 | 3,067,680 | 19.82 | (31,809 | ) |
140 | PIMCO CLOSED-END FUNDS |
December 31, 2022 | (Unaudited) |
Shares Outstanding |
Net Assets | Net Assets Value Per Share |
Net Unrealized Appreciation (Depreciation) |
|||||||||||||||||
Acquiring Fund |
||||||||||||||||||||
PIMCO Dynamic Income Fund |
73,058 | $ | 1,769,430 | $ | 24.22 | $ | 1,387 | |||||||||||||
Post Reorganization |
||||||||||||||||||||
Acquiring Fund |
||||||||||||||||||||
PIMCO Dynamic Income Fund |
220,137 | 5,331,584 | 24.22 | (28,366 | ) |
Net Income |
$ | 603,000 | ||||||
Net realized and unrealized gain/loss |
(1,013,276 | ) | ||||||
Total increase in net assets from investments operations |
$ | (410,276 | ) |
Short‑Term | Long‑Term | |||||||||||
PCM Fund, Inc. |
$ | 658 | $ | 11,094 | ||||||||
PIMCO Global StocksPLUS® & Income Fund |
22,550 | 0 | ||||||||||
PIMCO Strategic Income Fund, Inc. |
22,558 | 47,989 | ||||||||||
PIMCO Access Income Fund |
8,512 | 0 | ||||||||||
PIMCO Dynamic Income Fund* |
270,855 | 246,373 | ||||||||||
PIMCO Dynamic Income Opportunities Fund |
0 | 0 |
† | A zero balance may reflect actual amounts rounding to less than one thousand. |
* | Portion of amount represents realized loss and recognized built‑in loss under IRC sections 382‑83, which is carried forward to future years to offset future realized gain subject to certain limitations. |
SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 141 |
Notes to Financial Statements | (Cont.) | December 31, 2022 | (Unaudited) |
Federal Tax Cost |
Unrealized Appreciation |
Unrealized (Depreciation) |
Net Unrealized Appreciation/ (Depreciation)(1) |
|||||||||||||||||
PCM Fund, Inc. |
$ | 175,144 | $ | 13,930 | $ | (36,448 | ) | $ | (22,518 | ) | ||||||||||
PIMCO Global StocksPLUS® & Income Fund |
176,648 | 16,471 | (42,062 | ) | (25,591 | ) | ||||||||||||||
PIMCO Strategic Income Fund, Inc. |
454,479 | 53,882 | (119,546 | ) | (65,664 | ) | ||||||||||||||
PIMCO Access Income Fund |
1,409,391 | 23,385 | (171,739 | ) | (148,354 | ) | ||||||||||||||
PIMCO Dynamic Income Fund |
8,993,466 | 457,749 | (1,993,760 | ) | (1,536,011 | ) | ||||||||||||||
PIMCO Dynamic Income Opportunities Fund |
3,264,704 | 41,746 | (661,321 | ) | (619,575 | ) |
† | 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. |
PCM Fund, Inc. |
$ | 0.080000 per common share | ||||||
PIMCO Global StocksPLUS® & Income Fund |
$ | 0.069000 per common share | ||||||
PIMCO Strategic Income Fund, Inc. |
$ | 0.051000 per common share | ||||||
PIMCO Access Income Fund |
$ | 0.149400 per common share | ||||||
PIMCO Dynamic Income Fund |
$ | 0.220500 per common share | ||||||
PIMCO Dynamic Income Opportunities Fund |
$ | 0.127900 per common share |
PCM Fund, Inc. |
$ | 0.080000 per common share | ||||||
PIMCO Global StocksPLUS® & Income Fund |
$ | 0.069000 per common share | ||||||
PIMCO Strategic Income Fund, Inc. |
$ | 0.051000 per common share | ||||||
PIMCO Access Income Fund |
$ | 0.149400 per common share | ||||||
PIMCO Dynamic Income Fund |
$ | 0.220500 per common share | ||||||
PIMCO Dynamic Income Opportunities Fund |
$ | 0.127900 per common share |
142 | PIMCO CLOSED-END FUNDS |
Glossary: | (abbreviations that may be used in the preceding statements) | (Unaudited) |
SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 143 |
Distribution Information |
PCM Fund, Inc. | Net Investment Income* |
Net Realized Capital Gains* |
Paid‑in Surplus or Other Capital Sources** |
Total (per common share) |
||||||||||||||||
July 2022 |
$ | 0.0712 | $ | 0.0000 | $ | 0.0088 | $ | 0.0800 | ||||||||||||
August 2022 |
$ | 0.0800 | $ | 0.0000 | $ | 0.0000 | $ | 0.0800 | ||||||||||||
September 2022 |
$ | 0.0800 | $ | 0.0000 | $ | 0.0000 | $ | 0.0800 | ||||||||||||
October 2022 |
$ | 0.0800 | $ | 0.0000 | $ | 0.0000 | $ | 0.0800 | ||||||||||||
November 2022 |
$ | 0.0676 | $ | 0.0000 | $ | 0.0124 | $ | 0.0800 | ||||||||||||
December 2022 |
$ | 0.0651 | $ | 0.0000 | $ | 0.0149 | $ | 0.0800 | ||||||||||||
PIMCO Global StocksPLUS® & Income Fund | Net Investment Income* |
Net Realized Capital Gains* |
Paid‑in Surplus or Other Capital Sources** |
Total (per common share) |
||||||||||||||||
July 2022 |
$ | 0.0690 | $ | 0.0000 | $ | 0.0000 | $ | 0.0690 | ||||||||||||
August 2022 |
$ | 0.0690 | $ | 0.0000 | $ | 0.0000 | $ | 0.0690 | ||||||||||||
September 2022 |
$ | 0.0690 | $ | 0.0000 | $ | 0.0000 | $ | 0.0690 | ||||||||||||
October 2022 |
$ | 0.0690 | $ | 0.0000 | $ | 0.0000 | $ | 0.0690 | ||||||||||||
November 2022 |
$ | 0.0690 | $ | 0.0000 | $ | 0.0000 | $ | 0.0690 | ||||||||||||
December 2022 |
$ | 0.0690 | $ | 0.0000 | $ | 0.0000 | $ | 0.0690 | ||||||||||||
PIMCO Strategic Income Fund, Inc. | Net Investment Income* |
Net Realized Capital Gains* |
Paid‑in Surplus or Other Capital Sources** |
Total (per common share) |
||||||||||||||||
July 2022 |
$ | 0.0510 | $ | 0.0000 | $ | 0.0000 | $ | 0.0510 | ||||||||||||
August 2022 |
$ | 0.0510 | $ | 0.0000 | $ | 0.0000 | $ | 0.0510 | ||||||||||||
September 2022 |
$ | 0.0510 | $ | 0.0000 | $ | 0.0000 | $ | 0.0510 | ||||||||||||
October 2022 |
$ | 0.0510 | $ | 0.0000 | $ | 0.0000 | $ | 0.0510 | ||||||||||||
November 2022 |
$ | 0.0400 | $ | 0.0000 | $ | 0.0110 | $ | 0.0510 | ||||||||||||
December 2022 |
$ | 0.0510 | $ | 0.0000 | $ | 0.0000 | $ | 0.0510 | ||||||||||||
PIMCO Dynamic Income Fund | Net Investment Income* |
Net Realized Capital Gains* |
Paid‑in Surplus or Other Capital Sources** |
Total (per common share) |
||||||||||||||||
July 2022 |
$ | 0.2205 | $ | 0.0000 | $ | 0.0000 | $ | 0.2205 | ||||||||||||
August 2022 |
$ | 0.2205 | $ | 0.0000 | $ | 0.0000 | $ | 0.2205 | ||||||||||||
September 2022 |
$ | 0.2205 | $ | 0.0000 | $ | 0.0000 | $ | 0.2205 | ||||||||||||
October 2022 |
$ | 0.2205 | $ | 0.0000 | $ | 0.0000 | $ | 0.2205 | ||||||||||||
November 2022 |
$ | 0.2205 | $ | 0.0000 | $ | 0.0000 | $ | 0.2205 | ||||||||||||
December 2022 |
$ | 0.2205 | $ | 0.0000 | $ | 0.0000 | $ | 0.2205 | ||||||||||||
PIMCO Dynamic Income Opportunities Fund | Net Investment Income* |
Net Realized Capital Gains* |
Paid‑in Surplus or Other Capital Sources** |
Total (per common share) |
||||||||||||||||
July 2022 |
$ | 0.1279 | $ | 0.0000 | $ | 0.0000 | $ | 0.1279 | ||||||||||||
August 2022 |
$ | 0.1279 | $ | 0.0000 | $ | 0.0000 | $ | 0.1279 | ||||||||||||
September 2022 |
$ | 0.1279 | $ | 0.0000 | $ | 0.0000 | $ | 0.1279 | ||||||||||||
October 2022 |
$ | 0.1279 | $ | 0.0000 | $ | 0.0000 | $ | 0.1279 | ||||||||||||
November 2022 |
$ | 0.1279 | $ | 0.0000 | $ | 0.0000 | $ | 0.1279 | ||||||||||||
December 2022 |
$ | 0.1279 | $ | 0.0000 | $ | 0.0000 | $ | 0.1279 |
144 | PIMCO CLOSED-END FUNDS |
(Unaudited) |
PIMCO Access Income Fund | Net Investment Income* |
Net Realized Capital Gains* |
Paid‑in Surplus or Other Capital Sources** |
Total (per common share) |
||||||||||||||||
July 2022 |
$ | 0.1167 | $ | 0.0000 | $ | 0.0000 | $ | 0.1167 | ||||||||||||
August 2022 |
$ | 0.1167 | $ | 0.0000 | $ | 0.0000 | $ | 0.1167 | ||||||||||||
September 2022 |
$ | 0.1494 | $ | 0.0000 | $ | 0.0000 | $ | 0.1494 | ||||||||||||
October 2022 |
$ | 0.1494 | $ | 0.0000 | $ | 0.0000 | $ | 0.1494 | ||||||||||||
November 2022 |
$ | 0.1494 | $ | 0.0000 | $ | 0.0000 | $ | 0.1494 | ||||||||||||
December 2022 |
$ | 0.1494 | $ | 0.0000 | $ | 0.0000 | $ | 0.1494 |
* | 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 | | | DECEMBER 31, 2022 | 145 |
Investment Strategy Updates | (Unaudited) |
146 | PIMCO CLOSED-END FUNDS |
Changes to Boards of Trustees | (Unaudited) |
SEMIANNUAL REPORT | | | DECEMBER 31, 2022 | 147 |
None. |
Item 13. | Exhibits. | |||
(a)(1) | Exhibit99.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. |
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 Access Income Fund | ||
By:
|
/s/ Eric D. Johnson
| |
Eric D. Johnson | ||
President (Principal Executive Officer) | ||
Date: |
March 8, 2023 |
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: | March 8, 2023 | |
By:
|
/s/ Bijal Y. Parikh
| |
Bijal Y. Parikh | ||
Treasurer (Principal Financial & Accounting Officer) | ||
Date: | March 8, 2023 |
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 Access 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 registrants 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 registrants 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 registrants 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 registrants internal control over financial reporting; and |
5. | The registrants other certifying officer and I have disclosed to the registrants auditors and the audit committee of the registrants 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 registrants 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 registrants internal control over financial reporting. |
Date:
|
|
March 8, 2023
|
||||||
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 Access 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 registrants 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 registrants 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 registrants 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 registrants internal control over financial reporting; and |
5. | The registrants other certifying officer and I have disclosed to the registrants auditors and the audit committee of the registrants 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 registrants 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 registrants internal control over financial reporting. |
Date:
|
|
March 8, 2023
|
||||||
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 Access 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:
|
March 8, 2023
|
Date:
|
March 8, 2023
|
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.