UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number:
811-21238
PIMCO Corporate & Income Opportunity Fund
(Exact name of registrant as specified in charter)
1633 Broadway, New York, NY 10019
(Address of principal executive offices)
Bijal Y. Parikh
Treasurer (Principal Financial & Accounting Officer)
650 Newport Center Drive, Newport Beach, CA 92660
(Name and address of agent for service)
Copies to:
David C. Sullivan
Ropes & Gray LLP
Prudential Tower
800 Boylston Street
Boston, MA 02199
Registrant’s telephone number, including area code: (844) 337-4626
Date of fiscal year end: June 30
Date of reporting period: December 31, 2024
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549-1090. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. |
Reports to Stockholders . |
PIMCO CLOSED-END FUNDS
Semiannual Report
December 31, 2024
PIMCO Corporate & Income Opportunity Fund | PTY | NYSE
PIMCO Corporate & Income Strategy Fund | PCN | NYSE
PIMCO High Income Fund | PHK | NYSE
PIMCO Income Strategy Fund | PFL | NYSE
PIMCO Income Strategy Fund II | PFN | NYSE
Table of Contents
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| 20 | ||||||||
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| 110 | ||||||||
| 111 | ||||||||
| 112 | ||||||||
| 113 | ||||||||
| Fund | Fund Summary |
Schedule of Investments |
||||||
| 6 | 21 | |||||||
| 7 | 35 | |||||||
| 8 | 46 | |||||||
| 9 | 57 | |||||||
| 10 | 68 | |||||||
Important Information About the Funds |
Effective as of September 20, 2024, (a) the non-fundamental investment guideline below applies to PHK, PFL and PFN; and (b) the non-fundamental investment guideline below replaces the existing 25% guideline of each of PCN and PTY to invest at least 25% of its total assets in corporate debt obligations and other corporate income-producing securities:
Each Fund normally invests at least 50% of its total assets in corporate debt obligations and other corporate securities, including fixed-, variable- and floating-rate bonds, debentures, notes and other similar types of corporate debt instruments, such as preferred shares, convertible securities, bank loans and loan participations and assignments, payment-in-kind securities, step-ups, zero-coupon bonds, bank capital securities, bank certificates of deposit, fixed time deposits and bankers’ acceptances, stressed debt securities, structured notes and other hybrid instruments, common stocks and other equity securities.
We believe that bond funds have an important role to play in a well-diversified investment portfolio. It is important to note, however, that in an environment where interest rates may trend upward, rising rates would negatively impact the performance of most bond funds, and fixed-income securities and other instruments held by a Fund are likely to decrease in value. A wide variety of factors can cause interest rates or yields of U.S. Treasury securities (or yields of other types of bonds) to rise (e.g., central bank monetary policies, inflation rates, general economic conditions, etc.). In addition, changes in interest rates can be sudden and unpredictable, and there is no guarantee that Fund management will anticipate such movement accurately. A Fund may lose money as a result of movements in interest rates.
Beginning November 8, 2024, the Funds no longer have outstanding Auction-Rate Preferred Shares (“ARPS”) due to redeeming each series of the ARPS at the full liquidation preference (i.e., face value) of the ARPS.
As of the date of this report, interest rates in the United States and many parts of the world, including certain European countries, remain high. In efforts to combat inflation, the U.S. Federal Reserve (the “Fed”) raised interest rates multiple times in 2022 and 2023. In September 2024, the Fed lowered interest rates for the first time since March 2020. It is uncertain whether rates will remain steady, increase or decrease in the future. As such, the Funds may face a heightened level of risk associated with rising interest rates and/or bond yields. This could be driven by a variety of factors, including but not limited to central bank monetary policies, changing inflation or real growth rates, general economic conditions, increasing bond issuances or reduced market demand for low yielding investments. Further, while bond markets have steadily grown over the past three decades, dealer inventories of corporate bonds are near historic lows in relation to market size. As a result, there has been a significant reduction in the ability of dealers to “make markets”.
Bond funds and individual bonds with a longer duration (a measure used to determine the sensitivity of a security’s price to changes in interest rates) tend to be more sensitive to changes in interest rates, usually making them more volatile than securities or funds with shorter durations. All of the factors mentioned above, individually or collectively, could lead to increased volatility and/or lower liquidity in the fixed income markets, or negatively impact a Fund’s performance or cause a Fund to incur losses.
A Fund may enter into opposite sides of multiple interest rate swaps or other derivatives with respect to the same underlying reference instrument (e.g., a 10-year U.S. treasury) that have different effective dates with respect to interest accrual time periods also for the principal purpose of generating distributable gains (characterized as ordinary income for tax purposes) that are not part of a Fund’s duration or yield curve management strategies. In such a “paired swap transaction”, a Fund would generally enter into one or more interest rate swap agreements whereby a Fund agrees to make regular payments starting at the time the Fund enters into the agreements equal to a floating interest rate in return for payments equal to a fixed interest rate (the “initial leg”). A Fund would also enter into one or more interest rate swap agreements on the same underlying instrument, but take the opposite position (i.e., in this example, a Fund would make regular payments equal to a fixed interest rate in return for receiving payments equal to a floating interest rate) with respect to a contract whereby the payment obligations do not commence until a date following the commencement of the initial leg (the “forward leg”).
A Fund may engage in investment strategies, including those that employ the use of paired swaps transactions, the use of interest rate swaps to seek to capitalize on differences between short-term and long-term interest rates and other derivatives transactions, to, among other things, seek to generate current, distributable income, even if such strategies could potentially result in declines in the Fund’s net asset value (“NAV”). A Fund’s income and gain-generating strategies, including certain derivatives strategies, may generate current income and gains taxable as ordinary income sufficient to support monthly distributions even in situations when a Fund has experienced a decline in net assets due to, for example, adverse changes in the broad U.S. or non-U.S. equity markets or a Fund’s debt investments, or arising from its use of derivatives. For instance, a portion of a Fund’s monthly distributions may be sourced from paired swap transactions utilized to produce current distributable ordinary income for tax purposes on the initial leg, with a substantial possibility that a Fund will later realize a corresponding capital loss and potential decline in its NAV with respect to the forward leg (to the extent there are not corresponding offsetting capital gains being generated from other sources). Because some or all of these transactions may generate capital losses without corresponding offsetting
2 |
PIMCO CLOSED-END FUNDS |
capital gains, portions of a Fund’s distributions recognized as ordinary income for tax purposes (such as from paired swap transactions) may be economically similar to a taxable return of capital when considered together with such capital losses.
Classifications of the Funds’ portfolio holdings in this report are made according to financial reporting standards. The classification of a particular portfolio holding as shown in the Allocation Breakdown and Schedule of Investments or Consolidated Schedule of Investments sections of this report may differ from the classification used for the Funds’ compliance calculations, including those used in the Funds’ then-current prospectus, investment objectives, regulatory and other investment limitations and policies, which may be based on different asset class, sector or geographical classifications. Each Fund is separately monitored for compliance with respect to investment parameters and regulatory requirements.
The geographical classification of foreign
(non-U.S.)
securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security’s country of incorporation may be different from its country of economic exposure. In February 2022, Russia launched an invasion of Ukraine. As a result, Russia and other countries, persons and entities that provided material aid to Russia’s aggression against Ukraine, have been the subject of economic sanctions and import and export controls imposed by countries throughout the world, including the United States. Such measures have had and may continue to have an adverse effect on the Russian, Belarusian and other securities and economies, which may, in turn, negatively impact a Fund. The extent, duration and impact of Russia’s military action in Ukraine, related sanctions and retaliatory actions are difficult to ascertain, but could be significant and have severe adverse effects on the region, including significant adverse effects on the regional, European and global economies and the markets for certain securities and commodities, such as oil and natural gas, as well as other sectors. Further, a Fund may have investments in securities and instruments that are economically tied to the region and may have been negatively impacted by the sanctions and counter-sanctions by Russia, including declines in value and reductions in liquidity. The sanctions may cause a Fund to sell portfolio holdings at a disadvantageous time or price or to continue to hold investments that a Fund may no longer seek to hold.
The Funds may invest in certain instruments that may reference the London Interbank Offered Rate (“LIBOR”). LIBOR was traditionally an average interest rate, determined by the ICE Benchmark Administration, that banks charge one another for the use of short-term money. On March 5, 2021, the United Kingdom’s Financial Conduct Authority (“FCA”), which regulates LIBOR, announced plans
to ultimately phase out the use of LIBOR. As a result of benchmark reforms, publication of all LIBOR settings ceased as of September 30, 2024 when the FCA ceased publication of synthetic LIBOR for the one-month, three-month and six-month U.S. Dollar LIBOR. Although LIBOR is no longer published, there are potential effects related to the transition away from LIBOR or the prior use of LIBOR on a Fund, or on certain instruments in which the Fund invests, which can be difficult to ascertain, and may vary depending on factors that include, but are not limited to: (i) existing fallback or termination provisions in individual contracts and (ii) whether, how, and when industry participants adopt new reference rates for affected instruments. The transition of investments from LIBOR to a replacement rate as a result of amendment, application of existing fallbacks, statutory requirements or otherwise may also result in a reduction in the value of certain instruments held by a Fund or a reduction in the effectiveness of related Fund transactions such as hedges. In addition, an instrument’s transition to a replacement rate could result in variations in the reported yields of a Fund that holds such instrument. Any such effects of the transition away from LIBOR, as well as other unforeseen effects, could result in losses to a Fund.
The common shares of the Funds trade on the New York Stock Exchange. As with any stock, the price of a Fund’s common shares will fluctuate with market conditions and other factors. If you sell your common shares of a Fund, the price received may be more or less than your original investment. Shares of
closed-end
management investment companies, such as the Funds, frequently trade at a discount from their NAV and may trade at a price that is less than the initial offering price and/or the NAV of such shares. Further, if a Fund’s shares trade at a price that is more than the initial offering price and/or the NAV of such shares, including at a substantial premium and/or for an extended period of time, there is no assurance that any such premium will be sustained for any period of time and will not decrease, or that the shares will not trade at a discount to NAV thereafter. U.S. and global markets have experienced increased volatility, including as a result of the failures of certain U.S. and non-U.S. banks in 2023, which could be harmful to the Funds and issuers in which they invest. For example, if a bank at which a Fund or issuer has an account fails, any cash or other assets in bank or custody accounts, which may be substantial in size, could be temporarily inaccessible or permanently lost by the Fund or issuer. If a bank that provides a subscription line credit facility, asset-based facility, other credit facility and/or other services to an issuer or to a fund fails, the issuer or fund could be unable to draw funds under its credit facilities or obtain replacement credit facilities or other services from other lending institutions with similar terms.
SEMIANNUAL REPORT |
| | DECEMBER 31, 2024 | 3 |
Important Information About the Funds |
(Cont.) |
Issuers in which a Fund may invest can be affected by volatility in the banking sector. Even if banks used by issuers in which the Funds invest remain solvent, volatility in the banking sector could contribute to, cause or intensify an economic recession, increase the costs of capital and banking services or result in the issuers being unable to obtain or refinance indebtedness at all or on as favorable terms as could otherwise have been obtained. Potential impacts to funds and issuers resulting from changes in the banking sector, market conditions and potential legislative or regulatory responses are uncertain. Such conditions and responses, as well as a changing interest rate environment, can contribute to decreased market liquidity and erode the value of certain holdings, including those of U.S. and non-U.S. banks. Continued market volatility and uncertainty and/or a downturn in market and economic and financial conditions, as a result of developments in the banking sector or otherwise (including as a result of delayed access to cash or credit facilities), could have an adverse impact on the Funds and issuers in which they invest.
On each Fund Summary page in this Shareholder Report, the Average Annual Total Return table and Cumulative Returns chart measure performance assuming that any dividend and capital gain distributions were reinvested. Total return is calculated by determining the percentage change in NAV or market price (as applicable) in the specified period. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total return for a period of more than one year represents the average annual total return. Performance at market price will differ from results at NAV. Although market price returns tend to reflect investment results over time, during shorter periods returns at market price can also be influenced by factors such as changing views about a Fund, market conditions, supply and demand for the Fund’s shares, or changes in the Fund’s dividends. Performance shown is net of fees and expenses. Historical NAV performance for a Fund may have been positively impacted by fee waivers or expense limitations in place during some or all of the periods shown, if applicable. Future performance (including total return or yield) and distributions may be negatively impacted by the expiration or reduction of any such fee waivers or expense limitations.
The dividend rate that a Fund pays on its common shares may vary as portfolio and market conditions change, and will depend on a number of factors, including without limit the amount of a Fund’s undistributed net investment income and net short- and long-term capital gains, as well as the costs of any leverage obtained by a Fund. As portfolio and market conditions change, the rate of distributions on the common shares and a Fund’s dividend policy could change. There can be no assurance that a change in market conditions or other factors will not result in a change in a Fund’s distribution rate or that the rate will be sustainable in the future.
The following table discloses the inception date and diversification status of each Fund:
Fund Name |
Inception Date |
Diversification Status |
||||||||||
PIMCO Corporate & Income Opportunity Fund |
12/27/02 |
Diversified |
||||||||||
PIMCO Corporate & Income Strategy Fund |
12/21/01 |
Diversified |
||||||||||
PIMCO High Income Fund |
04/30/03 |
Diversified |
||||||||||
PIMCO Income Strategy Fund |
08/29/03 |
Diversified |
||||||||||
PIMCO Income Strategy Fund II |
10/29/04 |
Diversified |
||||||||||
An investment in a Fund is not a bank deposit and is not guaranteed or insured by the Federal Deposit Insurance Corporation or any other government agency. It is possible to lose money on investments in a Fund.
The Trustees are responsible generally for overseeing the management of the Funds. The Trustees authorize the Funds to enter into service agreements with Pacific Investment Management Company LLC (“PIMCO”) and other service providers in order to provide, and in some cases authorize service providers to procure through other parties, necessary or desirable services on behalf of the Funds. Shareholders are not parties to or third-party beneficiaries of such service agreements. Neither a Fund’s prospectus or Statement of Additional Information (“SAI”), any press release or shareholder report, any contracts filed as exhibits to a Fund’s registration statement, nor any other communications, disclosure documents or regulatory filings (including this report) from or on behalf of a Fund creates a contract between or among any shareholders of a Fund, on the one hand, and the Fund, a service provider to the Fund, and/or the Trustees or officers of the Fund, on the other hand.
The Trustees (or the Funds and their officers, service providers or other delegates acting under authority of the Trustees) may amend its most recent prospectus or use a new prospectus or SAI with respect to a Fund, adopt and disclose new or amended policies and other changes in press releases and shareholder reports and/or amend, file and/or issue any other communications, disclosure documents or regulatory filings, and may amend or enter into any contracts to which a Fund is a party, and interpret the investment objective(s), policies, restrictions and contractual provisions applicable to any Fund, without shareholder input or approval, except in circumstances in which shareholder approval is specifically required by law (such as changes to fundamental investment policies) or where a shareholder approval requirement was specifically disclosed in a Fund’s then-current prospectus, SAI or shareholder report and is otherwise still in effect.
PIMCO has adopted written proxy voting policies and procedures (“Proxy Policy”) as required by Rule
206(4)-6
under the Investment Advisers Act of 1940, as amended. The Proxy Policy has been adopted by the Funds as the policies and procedures that PIMCO will use when 4 |
PIMCO CLOSED-END FUNDS |
voting proxies on behalf of the Funds. A description of the policies and procedures that PIMCO uses to vote proxies relating to portfolio securities of each Fund, and information about how each Fund voted proxies relating to portfolio securities held during the most recent twelve-month period ended June 30, are available without charge, upon request, by calling the Funds at (844)
33-PIMCO,
on the Funds’ website at www.pimco.com, and on the Securities and Exchange Commission’s (“SEC”) website at www.sec.gov. The Funds file their complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to their reports on Form N-PORT. The Funds’ Form N-PORT reports are available to the public on the SEC’s website at www.sec.gov and on PIMCO’s website at www.pimco.com, and upon request by calling PIMCO at (844)
33-PIMCO.
In August 2024, the SEC adopted amendments to Form N-PORT requiring funds to file Form N-PORT reports on a monthly basis and within 3 days of month end, with each report being made public 60 days after month end. The amendments will become effective November 17, 2025, and fund groups with $1 billion or more in assets will be required to comply with the amendments for reports filed on or after November 17, 2025. SEC rules allow the Funds to fulfill their obligation to deliver shareholder reports to investors by providing access to such reports online free of charge and by mailing a notice that the report is electronically available. Investors may elect to receive all future reports in paper free of charge by contacting their financial intermediary or, if invested directly with a Fund, investors can inform the Fund by calling (844) 33-PIMCO. Any election to receive reports in paper will apply to all funds held with the fund complex if invested directly with a Fund or to all funds held in the investor’s account if invested through a financial intermediary. Paper copies of the Funds’ shareholder reports are required to be provided free of charge by the Fund or financial intermediary upon request.
In October 2022, the SEC adopted changes to the mutual fund and exchange-traded fund (“ETF”) shareholder report and registration statement disclosure requirements and the registered fund advertising rules, which impact the disclosures provided to shareholders. The rule amendments addressing fee and expense information in advertisements that might be materially misleading, which impact the Funds, were effective January 24, 2023.
In September 2023, the SEC adopted amendments to a current rule governing fund naming conventions. In general, the current rule requires funds with certain types of names to adopt a policy to invest at least 80% of their assets in the type of investment suggested by the name. The amendments expand the scope of the current rule in a number of ways that are expected to result in an increase in the types of fund names that would require the fund to adopt an 80% investment policy under
the rule. Additionally, the amendments address deviations from a fund’s 80% investment policy and the use and valuation of derivatives instruments for purposes of the rule. Changes to a fund’s calculation methodology for derivatives instruments for purposes of
Rule 35d-1
consistent with such amendments and applicable regulatory interpretations thereof will not constitute a change to a fund’s policy adopted pursuant to Rule 35d-1
and will not require notice or shareholder approval. The amendments became effective as of December 11, 2023, but the SEC is providing a 24-month compliance period following the effective date for fund groups with net assets of $1 billion or more. SEMIANNUAL REPORT |
| | DECEMBER 31, 2024 | 5 |
PIMCO Corporate & Income Opportunity Fund
Symbol on NYSE -
PTY
Cumulative Returns Through December 31, 2024
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown as of December 31, 2024
†
§
Loan Participations and Assignments |
27.5% |
|||
Corporate Bonds & Notes |
26.6% |
|||
Short-Term Instruments ‡ |
16.6% |
|||
Non-Agency Mortgage-Backed Securities |
7.6% |
|||
Asset-Backed Securities |
5.9% |
|||
Common Stocks |
5.7% |
|||
Sovereign Issues |
5.5% |
|||
U.S. Government Agencies |
2.0% |
|||
Municipal Bonds & Notes |
1.0% |
|||
Other |
1.6% |
|||
† |
% of Investments, at value. |
§ |
Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any. |
‡ |
Includes Central Funds Used for Cash Management Purposes. |
Average Annual Total Return (1) for the period ended December 31, 2024 |
||||||||||||||||||||||
6 Month* |
1 Year |
5 Year |
10 Year |
Commencement of Operations (12/27/02) |
||||||||||||||||||
|
Market Price |
5.74% |
20.38% |
5.02% |
10.03% |
12.31% |
||||||||||||||||
|
NAV |
11.32% |
17.66% |
8.13% |
10.39% |
12.72% |
||||||||||||||||
|
ICE BofA US High Yield Index |
5.44% |
8.20% |
4.04% |
5.08% |
7.44% |
¨ | |||||||||||||||
All Fund returns are net of fees and expenses and include applicable fee waivers and/or expense limitations. Absent any applicable fee waivers and/or expense limitations, performance would have been lower and there can be no assurance that any such waivers or limitations will continue in the future.
* Cumulative return
¨
It is not possible to invest directly in an unmanaged index.
(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. |
Performance of an index is shown in light of a requirement by the Securities and Exchange Commission that the performance of an appropriate broad-based securities market index be disclosed. However, the Fund is not managed to an index nor should the index be viewed as a “benchmark” for the Fund’s performance. The index is not intended to be indicative of the Fund’s investment strategies, portfolio components or past or future performance. Please see Additional Information Regarding the Funds for a description of the Fund’s principal investment strategies. |
(2) |
Distribution rates are not performance and are calculated by annualizing the most recent distribution per share and dividing by the NAV or market price, as applicable, as of the reported date. Distributions may be comprised of ordinary income, net capital gains, and/or a return of capital (‘‘ROC’’) of your investment in the Fund. Because the distribution rate may include a ROC, it should not be confused with yield or income. If the Fund estimates that a portion of its distribution may be comprised of amounts from sources other than net investment income in accordance with its policies and good accounting practices, the Fund will notify shareholders of the estimated composition of such distribution through a Section 19 Notice. Please refer to the most recent Section 19 Notice, if applicable, for additional information regarding the estimated composition of distributions. Please visit www.pimco.com for most recent Section 19 Notice, if applicable. Final determination of a distribution’s tax character will be made on Form 1099 DIV sent to shareholders each January. |
(3) |
Represents total effective leverage outstanding, as a percentage of total managed assets. Total effective leverage consists of preferred shares, reverse repurchase agreements and other borrowings, credit default swap notional and floating rate notes issued in tender option bond transactions, as applicable (collectively “Total Effective Leverage”). The Fund may engage in other transactions not included in Total Effective Leverage disclosed above that may give rise to a form of leverage, including certain derivative transactions. For the purpose of calculating Total Effective Leverage outstanding as a percentage of total managed assets, total managed assets refer to total assets (including assets attributable to Total Effective Leverage that may be outstanding) minus accrued liabilities (other than liabilities representing Total Effective Leverage). |
Fund Information as of December 31, 2024
(1)
| Market Price |
$14.37 | |||
| NAV |
$11.69 | |||
| Premium/(Discount) to NAV |
22.93% | |||
| Market Price Distribution Rate (2) |
9.92% | |||
| NAV Distribution Rate (2) |
12.20% | |||
| Total Effective Leverage (3) |
14.12% | |||
Investment Objective and Strategy Overview
PIMCO Corporate & Income Opportunity Fund’s investment objective is to seek maximum total return through a combination of current income and capital appreciation.
Fund Insights at NAV
The following affected performance (on a gross basis) during the reporting period:
| » | Exposure to corporate credit, notably high yield and bank loans, contributed to performance, as the asset classes posted positive returns. |
| » | Exposure to emerging market debt contributed to performance, as the asset class posted positive returns. |
| » | At-the-market shelf offerings contributed to performance, as the capital raised was accretive to net asset value. |
| » | The costs associated with one or more forms of leverage detracted from performance. That said, the net impact on the Fund’s performance of the cost of leverage is generally determined by comparing the return on the additional investments purchased with such leverage against the cost of such leverage. |
| » | There were no other material detractors for this Fund. |
| |
6 |
PIMCO CLOSED-END FUNDS |
PIMCO Corporate & Income Strategy Fund
Symbol on NYSE - PCN |
Cumulative Returns Through December 31, 2024
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown as of December 31, 2024
†
§
| Corporate Bonds & Notes |
27.1% |
|||
| Loan Participations and Assignments |
26.1% |
|||
| Short-Term Instruments ‡ |
15.8% |
|||
| Non-Agency Mortgage-Backed Securities |
7.2% |
|||
| Asset-Backed Securities |
7.2% |
|||
| Common Stocks |
6.5% |
|||
| Sovereign Issues |
5.4% |
|||
| U.S. Government Agencies |
1.5% |
|||
| Municipal Bonds & Notes |
1.0% |
|||
| Other |
2.2% |
|||
† |
% of Investments, at value. |
§ |
Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any. |
‡ |
Includes Central Funds Used for Cash Management Purposes. |
Average Annual Total Return (1) for the period ended December 31, 2024 |
||||||||||||||||||||||
6 Month* |
1 Year |
5 Year |
10 Year |
Commencement of Operations (12/21/01) |
||||||||||||||||||
|
|
Market Price |
6.92% |
20.01% |
2.91% |
8.92% |
10.45% |
||||||||||||||||
|
|
NAV |
10.46% |
15.40% |
7.01% |
8.73% |
10.83% |
||||||||||||||||
|
|
ICE BofA US High Yield Index |
5.44% |
8.20% |
4.04% |
5.08% |
7.02% |
¨ | |||||||||||||||
All Fund returns are net of fees and expenses and include applicable fee waivers and/or expense limitations. Absent any applicable fee waivers and/or expense limitations, performance would have been lower and there can be no assurance that any such waivers or limitations will continue in the future.
* Cumulative return
¨
It is not possible to invest directly in an unmanaged index.
(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. |
| Performance of an index is shown in light of a requirement by the Securities and Exchange Commission that the performance of an appropriate broad-based securities market index be disclosed. However, the Fund is not managed to an index nor should the index be viewed as a “benchmark” for the Fund’s performance. The index is not intended to be indicative of the Fund’s investment strategies, portfolio components or past or future performance. Please see Additional Information Regarding the Funds for a description of the Fund’s principal investment strategies. |
(2) |
Distribution rates are not performance and are calculated by annualizing the most recent distribution per share and dividing by the NAV or market price, as applicable, as of the reported date. Distributions may be comprised of ordinary income, net capital gains, and/or a return of capital (‘‘ROC’’) of your investment in the Fund. Because the distribution rate may include a ROC, it should not be confused with yield or income. If the Fund estimates that a portion of its distribution may be comprised of amounts from sources other than net investment income in accordance with its policies and good accounting practices, the Fund will notify shareholders of the estimated composition of such distribution through a Section 19 Notice. Please refer to the most recent Section 19 Notice, if applicable, for additional information regarding the estimated composition of distributions. Please visit www.pimco.com for most recent Section 19 Notice, if applicable. Final determination of a distribution’s tax character will be made on Form 1099 DIV sent to shareholders each January. |
(3) |
Represents total effective leverage outstanding, as a percentage of total managed assets. Total effective leverage consists of preferred shares, reverse repurchase agreements and other borrowings, credit default swap notional and floating rate notes issued in tender option bond transactions, as applicable (collectively “Total Effective Leverage”). The Fund may engage in other transactions not included in Total Effective Leverage disclosed above that may give rise to a form of leverage, including certain derivative transactions. For the purpose of calculating Total Effective Leverage outstanding as a percentage of total managed assets, total managed assets refer to total assets (including assets attributable to Total Effective Leverage that may be outstanding) minus accrued liabilities (other than liabilities representing Total Effective Leverage). |
Fund Information as of December 31, 2024
(1)
| Market Price |
$13.42 | |||
| NAV |
$11.89 | |||
| Premium/(Discount) to NAV |
12.87% | |||
| Market Price Distribution Rate (2) |
10.06% | |||
| NAV Distribution Rate (2) |
11.35% | |||
| Total Effective Leverage (3) |
4.65% | |||
Investment Objective and Strategy Overview
PIMCO Corporate & Income Strategy Fund’s primary investment objective is to seek high current income, with secondary objectives of capital preservation and appreciation.
Fund Insights at NAV
The following affected performance (on a gross basis) during the reporting period:
» |
Exposure to corporate credit, notably high yield and bank loans, contributed to performance, as the asset classes posted positive returns. |
» |
Exposure to emerging market debt contributed to performance, as the asset class posted positive returns. |
» |
Holdings related to corporate special situation investments, which include companies undergoing stress, distress, challenges or significant transition, contributed to absolute performance, as select securities posted positive returns. |
» |
The costs associated with one or more forms of leverage detracted from performance. That said, the net impact on the Fund’s performance of the cost of leverage is generally determined by comparing the return on the additional investments purchased with such leverage against the cost of such leverage. |
» |
There were no other material detractors for this Fund. |
SEMIANNUAL REPORT |
| |
DECEMBER 31, 2024 |
7 |
PIMCO High Income Fund
Symbol on NYSE - PHK |
Cumulative Returns Through December 31, 2024
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown as of December 31, 2024
†
§
| Corporate Bonds & Notes |
27.8% |
|||
| Short-Term Instruments ‡ |
18.2% |
|||
| Loan Participations and Assignments |
18.1% |
|||
| Non-Agency Mortgage-Backed Securities |
9.1% |
|||
| Common Stocks |
7.4% |
|||
| Asset-Backed Securities |
5.9% |
|||
| Sovereign Issues |
5.1% |
|||
| Preferred Securities |
3.2% |
|||
| Municipal Bonds & Notes |
1.9% |
|||
| U.S. Government Agencies |
1.9% |
|||
| Other |
1.4% |
|||
† |
% of Investments, at value. |
§ |
Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any. |
‡ |
Includes Central Funds Used for Cash Management Purposes. |
Average Annual Total Return (1) for the period ended December 31, 2024 |
||||||||||||||||||||||
6 Month* |
1 Year |
5 Year |
10 Year |
Commencement of Operations (04/30/03) |
||||||||||||||||||
|
|
Market Price |
7.13% |
10.06% |
2.74% |
3.74% |
7.86% |
||||||||||||||||
|
|
NAV |
10.08% |
15.15% |
6.33% |
9.33% |
10.55% |
||||||||||||||||
|
|
ICE BofA US High Yield Index |
5.44% |
8.20% |
4.04% |
5.08% |
6.94% |
||||||||||||||||
All Fund returns are net of fees and expenses and include applicable fee waivers and/or expense limitations. Absent any applicable fee waivers and/or expense limitations, performance would have been lower and there can be no assurance that any such waivers or limitations will continue in the future.
* Cumulative return
It is not possible to invest directly in an unmanaged index.
(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. |
| Performance of an index is shown in light of a requirement by the Securities and Exchange Commission that the performance of an appropriate broad-based securities market index be disclosed. However, the Fund is not managed to an index nor should the index be viewed as a “benchmark” for the Fund’s performance. The index is not intended to be indicative of the Fund’s investment strategies, portfolio components or past or future performance. Please see Additional Information Regarding the Funds for a description of the Fund’s principal investment strategies. |
(2) |
Distribution rates are not performance and are calculated by annualizing the most recent distribution per share and dividing by the NAV or market price, as applicable, as of the reported date. Distributions may be comprised of ordinary income, net capital gains, and/or a return of capital (‘‘ROC’’) of your investment in the Fund. Because the distribution rate may include a ROC, it should not be confused with yield or income. If the Fund estimates that a portion of its distribution may be comprised of amounts from sources other than net investment income in accordance with its policies and good accounting practices, the Fund will notify shareholders of the estimated composition of such distribution through a Section 19 Notice. Please refer to the most recent Section 19 Notice, if applicable, for additional information regarding the estimated composition of distributions. Please visit www.pimco.com for most recent Section 19 Notice, if applicable. Final determination of a distribution’s tax character will be made on Form 1099 DIV sent to shareholders each January. |
(3) |
Represents total effective leverage outstanding, as a percentage of total managed assets. Total effective leverage consists of preferred shares, reverse repurchase agreements and other borrowings, credit default swap notional and floating rate notes issued in tender option bond transactions, as applicable (collectively “Total Effective Leverage”). The Fund may engage in other transactions not included in Total Effective Leverage disclosed above that may give rise to a form of leverage, including certain derivative transactions. For the purpose of calculating Total Effective Leverage outstanding as a percentage of total managed assets, total managed assets refer to total assets (including assets attributable to Total Effective Leverage that may be outstanding) minus accrued liabilities (other than liabilities representing Total Effective Leverage). |
Fund Information as of December 31, 2024
(1)
| Market Price |
$4.86 | |||
| NAV |
$4.72 | |||
| Premium/(Discount) to NAV |
2.97% | |||
| Market Price Distribution Rate (2) |
11.85% | |||
| NAV Distribution Rate (2) |
12.20% | |||
| Total Effective Leverage (3) |
13.10% | |||
Investment Objective and Strategy Overview
PIMCO High Income Fund’s primary investment objective is to seek high current income, with capital appreciation as a secondary objective.
Fund Insights at NAV
The following affected performance (on a gross basis) during the reporting period:
» |
Exposure to corporate credit, notably high yield and bank loans, contributed to performance, as the asset classes posted positive returns. |
» |
Exposure to emerging market debt contributed to performance, as the asset class posted positive returns. |
» |
Holdings related to corporate special situation investments, which include companies undergoing stress, distress, challenges or significant transition, contributed to absolute performance, as select securities posted positive returns. |
» |
The costs associated with one or more forms of leverage detracted from performance. That said, the net impact on the Fund’s performance of the cost of leverage is generally determined by comparing the return on the additional investments purchased with such leverage against the cost of such leverage. |
» |
There were no other material detractors for this Fund. |
8 |
PIMCO CLOSED-END FUNDS |
PIMCO Income Strategy Fund
Symbol on NYSE - PFL |
Cumulative Returns Through December 31, 2024
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown as of December 31, 2024
†
§
| Corporate Bonds & Notes |
31.2% |
|||
| Loan Participations and Assignments |
24.7% |
|||
| Short-Term Instruments ‡ |
13.3% |
|||
| Non-Agency Mortgage-Backed Securities |
8.4% |
|||
| Common Stocks |
7.5% |
|||
| Asset-Backed Securities |
6.6% |
|||
| Sovereign Issues |
3.4% |
|||
| U.S. Government Agencies |
1.8% |
|||
| Municipal Bonds & Notes |
1.1% |
|||
| Other |
2.0% |
|||
† |
% of Investments, at value. |
§ |
Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any. |
‡ |
Includes Central Funds Used for Cash Management Purposes. |
Average Annual Total Return (1) for the period ended December 31, 2024 |
||||||||||||||||||||||
6 Month* |
1 Year |
5 Year |
10 Year |
Commencement of Operations (08/29/03) |
||||||||||||||||||
|
|
Market Price |
9.17% |
12.02% |
4.30% |
7.40% |
6.67% |
||||||||||||||||
|
|
NAV |
10.17% |
13.63% |
5.66% |
7.39% |
6.87% |
||||||||||||||||
|
|
ICE BofA US High Yield Index |
5.44% |
8.20% |
4.04% |
5.08% |
6.86% |
¨ | |||||||||||||||
All Fund returns are net of fees and expenses and include applicable fee waivers and/or expense limitations. Absent any applicable fee waivers and/or expense limitations, performance would have been lower and there can be no assurance that any such waivers or limitations will continue in the future.
* Cumulative return
¨
It is not possible to invest directly in an unmanaged index.
(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. |
Performance of an index is shown in light of a requirement by the Securities and Exchange Commission that the performance of an appropriate broad-based securities market index be disclosed. However, the Fund is not managed to an index nor should the index be viewed as a “benchmark” for the Fund’s performance. The index is not intended to be indicative of the Fund’s investment strategies, portfolio components or past or future performance. Please see Additional Information Regarding the Funds for a description of the Fund’s principal investment strategies. |
(2) |
Distribution rates are not performance and are calculated by annualizing the most recent distribution per share and dividing by the NAV or market price, as applicable, as of the reported date. Distributions may be comprised of ordinary income, net capital gains, and/or a return of capital (‘‘ROC’’) of your investment in the Fund. Because the distribution rate may include a ROC, it should not be confused with yield or income. If the Fund estimates that a portion of its distribution may be comprised of amounts from sources other than net investment income in accordance with its policies and good accounting practices, the Fund will notify shareholders of the estimated composition of such distribution through a Section 19 Notice. Please refer to the most recent Section 19 Notice, if applicable, for additional information regarding the estimated composition of distributions. Please visit www.pimco.com for most recent Section 19 Notice, if applicable. Final determination of a distribution’s tax character will be made on Form 1099 DIV sent to shareholders each January. |
(3) |
Represents total effective leverage outstanding, as a percentage of total managed assets. Total effective leverage consists of preferred shares, reverse repurchase agreements and other borrowings, credit default swap notional and floating rate notes issued in tender option bond transactions, as applicable (collectively “Total Effective Leverage”). The Fund may engage in other transactions not included in Total Effective Leverage disclosed above that may give rise to a form of leverage, including certain derivative transactions. For the purpose of calculating Total Effective Leverage outstanding as a percentage of total managed assets, total managed assets refer to total assets (including assets attributable to Total Effective Leverage that may be outstanding) minus accrued liabilities (other than liabilities representing Total Effective Leverage). |
Fund Information as of December 31, 2024
(1)
Market Price |
$8.38 | |||
NAV |
$8.13 | |||
Premium/(Discount) to NAV |
3.08% | |||
Market Price Distribution Rate (2) |
11.66% | |||
NAV Distribution Rate (2) |
12.01% | |||
Total Effective Leverage (3) |
15.74% | |||
Investment Objective and Strategy Overview
PIMCO Income Strategy Fund’s investment objective is to seek high current income, consistent with the preservation of capital.
Fund Insights at NAV
The following affected performance (on a gross basis) during the reporting period:
| » | Exposure to corporate credit, notably high yield and bank loans, contributed to performance, as the asset classes posted positive returns. |
| » | Exposure to emerging market debt contributed to performance, as the asset class posted positive returns. |
| » | Holdings related to corporate special situation investments, which include companies undergoing stress, distress, challenges or significant transition, contributed to absolute performance, as select securities posted positive returns. |
| » | The costs associated with one or more forms of leverage detracted from performance. That said, the net impact on the Fund’s performance of the cost of leverage is generally determined by comparing the return on the additional investments purchased with such leverage against the cost of such leverage. |
| » | There were no other material detractors for this Fund. |
SEMIANNUAL REPORT |
| | DECEMBER 31, 2024 | 9 |
PIMCO Income Strategy Fund II
Symbol on NYSE - PFN |
Cumulative Returns Through December 31, 2024
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown as of December 31, 2024
†
§
Corporate Bonds & Notes |
28.5% |
|||
Loan Participations and Assignments |
28.4% |
|||
Short-Term Instruments ‡ |
10.5% |
|||
Non-Agency Mortgage-Backed Securities |
9.9% |
|||
Common Stocks |
8.4% |
|||
Sovereign Issues |
4.8% |
|||
Asset-Backed Securities |
4.2% |
|||
U.S. Government Agencies |
1.9% |
|||
Municipal Bonds & Notes |
1.2% |
|||
Other |
2.2% |
|||
† |
% of Investments, at value. |
§ |
Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any. |
‡ |
Includes Central Funds Used for Cash Management Purposes. |
Average Annual Total Return (1) for the period ended December 31, 2024 |
||||||||||||||||||||||
6 Month* |
1 Year |
5 Year |
10 Year |
Commencement of Operations (10/29/04) |
||||||||||||||||||
|
|
Market Price |
10.31% |
16.25% |
4.23% |
8.22% |
6.08% |
||||||||||||||||
|
|
NAV |
10.53% |
14.35% |
5.30% |
7.35% |
6.19% |
||||||||||||||||
|
|
ICE BofA US High Yield Index |
5.44% |
8.20% |
4.04% |
5.08% |
6.41% |
¨ | |||||||||||||||
All Fund returns are net of fees and expenses and include applicable fee waivers and/or expense limitations. Absent any applicable fee waivers and/or expense limitations, performance would have been lower and there can be no assurance that any such waivers or limitations will continue in the future.
* Cumulative return
¨
It is not possible to invest directly in an unmanaged index.
(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. |
Performance of an index is shown in light of a requirement by the Securities and Exchange Commission that the performance of an appropriate broad-based securities market index be disclosed. However, the Fund is not managed to an index nor should the index be viewed as a “benchmark” for the Fund’s performance. The index is not intended to be indicative of the Fund’s investment strategies, portfolio components or past or future performance. Please see Additional Information Regarding the Funds for a description of the Fund’s principal investment strategies. |
(2) |
Distribution rates are not performance and are calculated by annualizing the most recent distribution per share and dividing by the NAV or market price, as applicable, as of the reported date. Distributions may be comprised of ordinary income, net capital gains, and/or a return of capital (‘‘ROC’’) of your investment in the Fund. Because the distribution rate may include a ROC, it should not be confused with yield or income. If the Fund estimates that a portion of its distribution may be comprised of amounts from sources other than net investment income in accordance with its policies and good accounting practices, the Fund will notify shareholders of the estimated composition of such distribution through a Section 19 Notice. Please refer to the most recent Section 19 Notice, if applicable, for additional information regarding the estimated composition of distributions. Please visit www.pimco.com for most recent Section 19 Notice, if applicable. Final determination of a distribution’s tax character will be made on Form 1099 DIV sent to shareholders each January. |
(3) |
Represents total effective leverage outstanding, as a percentage of total managed assets. Total effective leverage consists of preferred shares, reverse repurchase agreements and other borrowings, credit default swap notional and floating rate notes issued in tender option bond transactions, as applicable (collectively “Total Effective Leverage”). The Fund may engage in other transactions not included in Total Effective Leverage disclosed above that may give rise to a form of leverage, including certain derivative transactions. For the purpose of calculating Total Effective Leverage outstanding as a percentage of total managed assets, total managed assets refer to total assets (including assets attributable to Total Effective Leverage that may be outstanding) minus accrued liabilities (other than liabilities representing Total Effective Leverage). |
Fund Information as of December 31, 2024
(1)
Market Price |
$7.45 | |||
NAV |
$7.20 | |||
Premium/(Discount) to NAV |
3.47% | |||
Market Price Distribution Rate (2) |
11.57% | |||
NAV Distribution Rate (2) |
11.97% | |||
Total Effective Leverage (3) |
11.13% | |||
Investment Objective and Strategy Overview
PIMCO Income Strategy Fund II’s investment objective is to seek high current income, consistent with the preservation of capital.
Fund Insights at NAV
The following affected performance (on a gross basis) during the reporting period:
| » | Exposure to corporate credit, notably high yield and bank loans, contributed to performance, as the asset classes posted positive returns. |
| » | Exposure to emerging market debt contributed to performance, as the asset class posted positive returns. |
| » | Holdings related to corporate special situation investments, which include companies undergoing stress, distress, challenges or significant transition, contributed to absolute performance, as select securities posted positive returns. |
| » | The costs associated with one or more forms of leverage detracted from performance. That said, the net impact on the Fund’s performance of the cost of leverage is generally determined by comparing the return on the additional investments purchased with such leverage against the cost of such leverage. |
| » | There were no other material detractors for this Fund. |
10 |
PIMCO CLOSED-END FUNDS |
Index Descriptions |
Index |
Index Description | |
ICE BofA US High Yield Index |
ICE BofA U.S. High Yield Index tracks the performance of below investment grade U.S. dollar-denominated corporate bonds publicly issued in the U.S. domestic market. Qualifying bonds must have at least one year remaining term to maturity, a fixed coupon schedule and a minimum amount outstanding of USD 100 million. Bonds must be rated below investment grade based on a composite of Moody’s and S&P. | |
* It is not possible to invest directly in an unmanaged index.
SEMIANNUAL REPORT |
| | DECEMBER 31, 2024 | 11 |
Financial Highlights |
Investment Operations |
Less Distributions to ARPS (c) |
Less Distributions to Common Shareholders (d) |
||||||||||||||||||||||||||||||||||||||
| Selected Per Share Data for the Year or Period Ended^: | Net Asset Value Beginning of Year or Period (a) |
Net Investment Income (Loss) (b) |
Net Realized/ Unrealized Gain (Loss) |
From Net Investment Income |
From Net Realized Capital Gains |
Net Increase (Decrease) in Net Assets Applicable to Common Shareholders Resulting from Operations |
From Net Investment Income |
From Net Realized Capital Gains |
Tax Basis Return of Capital |
Total |
||||||||||||||||||||||||||||||
PIMCO Corporate & Income Opportunity Fund |
||||||||||||||||||||||||||||||||||||||||
07/01/2024 - 12/31/2024+ |
$ | 11.17 | $ | 0.64 | $ | 0.38 | $ | (0.00 | ) | $ | 0.00 | $ | 1.02 | $ | (0.71 | ) | $ | 0.00 | $ | 0.00 | $ | (0.71 | ) | |||||||||||||||||
06/30/2024 |
10.83 | 1.11 | 0.33 | (0.07 | ) | 0.00 | 1.37 | (0.95 | ) | 0.00 | (0.48 | ) | (1.43 | ) | ||||||||||||||||||||||||||
06/30/2023 |
11.21 | 1.32 | (0.25 | ) | (0.12 | ) | 0.00 | 0.95 | (1.58 | ) | 0.00 | 0.00 | (1.58 | ) | ||||||||||||||||||||||||||
08/01/2021 - 06/30/2022 (h) |
14.40 | 1.21 | (3.22 | ) | (0.01 | ) | 0.00 | (2.02 | ) | (1.32 | ) | 0.00 | 0.00 | (1.32 | ) (i) | |||||||||||||||||||||||||
07/31/2021 |
12.44 | 1.32 | 1.78 | 0.00 | 0.00 | 3.10 | (1.22 | ) | 0.00 | (0.34 | ) | (1.56 | ) | |||||||||||||||||||||||||||
07/31/2020 |
14.66 | 1.36 | (2.41 | ) | (0.05 | ) | 0.00 | (1.10 | ) | (1.59 | ) | 0.00 | 0.00 | (1.59 | ) | |||||||||||||||||||||||||
07/31/2019 |
14.80 | (k) |
1.36 | 0.09 | (0.13 | ) | 0.00 | 1.32 | (1.63 | ) | 0.00 | 0.00 | (1.63 | ) | ||||||||||||||||||||||||||
PIMCO Corporate & Income Strategy Fund |
||||||||||||||||||||||||||||||||||||||||
07/01/2024 - 12/31/2024+ |
$ | 11.40 | $ | 0.64 | $ | 0.38 | $ | (0.00 | ) | $ | 0.00 | $ | 1.02 | $ | (0.68 | ) | $ | 0.00 | $ | 0.00 | $ | (0.68 | ) | |||||||||||||||||
06/30/2024 |
11.14 | 1.01 | 0.37 | (0.02 | ) | 0.00 | 1.36 | (1.00 | ) | 0.00 | (0.35 | ) | (1.35 | ) | ||||||||||||||||||||||||||
06/30/2023 |
11.60 | 1.19 | (0.27 | ) | (0.03 | ) | 0.00 | 0.89 | (1.50 | ) | 0.00 | 0.00 | (1.50 | ) | ||||||||||||||||||||||||||
08/01/2021 - 06/30/2022 (h) |
14.54 | 1.11 | (2.93 | ) | 0.00 | 0.00 | (1.82 | ) | (1.24 | ) | 0.00 | 0.00 | (1.24 | ) (i) | ||||||||||||||||||||||||||
07/31/2021 |
12.76 | 1.24 | 1.77 | 0.00 | 0.00 | 3.01 | (1.35 | ) | 0.00 | 0.00 | (1.35 | ) | ||||||||||||||||||||||||||||
07/31/2020 |
14.94 | 1.31 | (2.07 | ) | (0.01 | ) | 0.00 | (0.77 | ) | (1.41 | ) | 0.00 | 0.00 | (1.41 | ) | |||||||||||||||||||||||||
07/31/2019 |
14.90 | (k) |
1.22 | 0.20 | (0.05 | ) | 0.00 | 1.37 | (1.43 | ) | 0.00 | 0.00 | (1.43 | ) | ||||||||||||||||||||||||||
PIMCO High Income Fund |
||||||||||||||||||||||||||||||||||||||||
07/01/2024 - 12/31/2024+ |
$ | 4.56 | $ | 0.26 | $ | 0.18 | $ | (0.00 | ) | $ | 0.00 | $ | 0.44 | $ | (0.29 | ) | $ | 0.00 | $ | 0.00 | $ | (0.29 | ) | |||||||||||||||||
06/30/2024 |
4.51 | 0.40 | 0.22 | (0.02 | ) | 0.00 | 0.60 | (0.48 | ) | 0.00 | (0.10 | ) | (0.58 | ) | ||||||||||||||||||||||||||
06/30/2023 |
4.72 | 0.48 | (0.10 | ) | (0.03 | ) | 0.00 | 0.35 | (0.58 | ) | 0.00 | 0.00 | (0.58 | ) | ||||||||||||||||||||||||||
08/01/2021 - 06/30/2022 (h) |
5.92 | 0.47 | (1.14 | ) | 0.00 | 0.00 | (0.67 | ) | (0.53 | ) | 0.00 | 0.00 | (0.53 | ) (i) | ||||||||||||||||||||||||||
07/31/2021 |
5.01 | 0.56 | 0.93 | 0.00 | 0.00 | 1.49 | (0.44 | ) | 0.00 | (0.14 | ) | (0.58 | ) | |||||||||||||||||||||||||||
07/31/2020 |
6.38 | 0.65 | (1.30 | ) | (0.01 | ) | 0.00 | (0.66 | ) | (0.68 | ) | 0.00 | (0.03 | ) | (0.71 | ) | ||||||||||||||||||||||||
07/31/2019 |
6.54 | (k) |
0.61 | 0.11 | (0.03 | ) | 0.00 | 0.69 | (0.73 | ) | 0.00 | (0.16 | ) | (0.89 | ) | |||||||||||||||||||||||||
PIMCO Income Strategy Fund |
||||||||||||||||||||||||||||||||||||||||
07/01/2024 - 12/31/2024+ |
$ | 7.84 | $ | 0.42 | $ | 0.35 | $ | (0.00 | ) | $ | 0.00 | $ | 0.77 | $ | (0.49 | ) | $ | 0.00 | $ | 0.00 | $ | (0.49 | ) | |||||||||||||||||
06/30/2024 |
7.77 | 0.74 | 0.27 | (0.04 | ) | 0.00 | 0.97 | (0.64 | ) | 0.00 | (0.34 | ) | (0.98 | ) | ||||||||||||||||||||||||||
06/30/2023 |
8.39 | 0.86 | (0.44 | ) | (0.09 | ) | 0.00 | 0.33 | (0.98 | ) | 0.00 | 0.00 | (0.98 | ) | ||||||||||||||||||||||||||
08/01/2021 - 06/30/2022 (h) |
10.66 | 0.75 | (2.11 | ) | (0.02 | ) | 0.00 | (1.38 | ) | (0.90 | ) | 0.00 | 0.00 | (0.90 | ) (i) | |||||||||||||||||||||||||
07/31/2021 |
9.46 | 0.91 | 1.32 | (0.02 | ) | 0.00 | 2.21 | (0.84 | ) | 0.00 | (0.24 | ) | (1.08 | ) | ||||||||||||||||||||||||||
07/31/2020 |
11.00 | 1.01 | (1.52 | ) | (0.04 | ) | 0.00 | (0.55 | ) | (0.97 | ) | 0.00 | (0.11 | ) | (1.08 | ) | ||||||||||||||||||||||||
07/31/2019 |
11.14 | (k) |
0.90 | 0.02 | (0.07 | ) | 0.00 | 0.85 | (0.99 | ) | 0.00 | (0.09 | ) | (1.08 | ) | |||||||||||||||||||||||||
PIMCO Income Strategy Fund II |
||||||||||||||||||||||||||||||||||||||||
07/01/2024 - 12/31/2024+ |
$ | 6.93 | $ | 0.42 | $ | 0.27 | $ | (0.00 | ) | $ | 0.00 | $ | 0.69 | $ | (0.43 | ) | $ | 0.00 | $ | 0.00 | $ | (0.43 | ) | |||||||||||||||||
06/30/2024 |
6.85 | 0.69 | 0.24 | (0.05 | ) | 0.00 | 0.88 | (0.57 | ) | 0.00 | (0.29 | ) | (0.86 | ) | ||||||||||||||||||||||||||
06/30/2023 |
7.38 | 0.76 | (0.37 | ) | (0.08 | ) | 0.00 | 0.31 | (0.86 | ) | 0.00 | 0.00 | (0.86 | ) | ||||||||||||||||||||||||||
08/01/2021 - 06/30/2022 (h) |
9.42 | 0.67 | (1.90 | ) | (0.02 | ) | 0.00 | (1.25 | ) | (0.80 | ) | 0.00 | 0.00 | (0.80 | ) (i) | |||||||||||||||||||||||||
07/31/2021 |
8.53 | 0.78 | 1.05 | (0.02 | ) | 0.00 | 1.81 | (0.75 | ) | 0.00 | (0.21 | ) | (0.96 | ) | ||||||||||||||||||||||||||
07/31/2020 |
9.91 | 0.86 | (1.32 | ) | (0.03 | ) | 0.00 | (0.49 | ) | (0.90 | ) | 0.00 | (0.06 | ) | (0.96 | ) | ||||||||||||||||||||||||
07/31/2019 |
10.07 | (k) |
0.83 | 0.04 | (0.05 | ) | 0.00 | 0.82 | (1.03 | ) | 0.00 | 0.00 | (1.03 | ) | ||||||||||||||||||||||||||
12 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
Common Share |
Ratios/Supplemental Data |
|||||||||||||||||||||||||||||||||||||||||||||||||
Ratios to Average Net Assets (f)(j) |
||||||||||||||||||||||||||||||||||||||||||||||||||
Increase resulting from Common Share Offering |
Offering Cost Charged to Paid in Capital |
Increase Resulting from Tender of ARPS (c) |
Net Asset Value End of Year or Period (a) |
Market Price End of Year or Period |
Total Investment Return (e) |
Net Assets Applicable to Common Shareholders End of Year or Period (000s) |
Expenses (g) |
Expenses Excluding Waivers (g) |
Expenses Excluding Interest Expense |
Expenses Excluding Interest Expense and Waivers |
Net Investment Income (Loss) |
Portfolio Turnover Rate |
||||||||||||||||||||||||||||||||||||||
| |
|
|
||||||||||||||||||||||||||||||||||||||||||||||||
| $ | 0.21 | $ | 0.00 | $ | 0.00 | $ | 11.69 | $ | 14.37 | 5.74 | % | 2,068,967 | 1.52 | %* | 1.52 | %* | 0.67 | %* | 0.67 | %* | 10.90 | %* | 27 | % | ||||||||||||||||||||||||||
| 0.35 | 0.00 | 0.05 | 11.17 | 14.31 | 13.77 | 1,817,343 | 2.33 | 2.33 | 0.74 | 0.74 | 10.07 | 31 | ||||||||||||||||||||||||||||||||||||||
| 0.25 | 0.00 | 0.00 | 10.83 | 14.00 | 27.06 | 1,532,891 | 2.23 | 2.23 | 0.78 | 0.78 | 11.80 | 35 | ||||||||||||||||||||||||||||||||||||||
| 0.15 | 0.00 | 0.00 | 11.21 | 12.51 | (33.71 | ) | 1,361,439 | 1.13 | * | 1.13 | * | 0.77 | * | 0.77 | * | 9.86 | * | 58 | ||||||||||||||||||||||||||||||||
| 0.42 | 0.00 | 0.00 | 14.40 | 20.56 | 46.75 | 1,643,538 | 1.06 | 1.06 | 0.76 | 0.76 | 9.60 | 58 | ||||||||||||||||||||||||||||||||||||||
| 0.47 | (0.00 | ) | 0.00 | 12.44 | 15.34 | (8.77 | ) | 1,248,837 | 1.30 | 1.30 | 0.82 | 0.82 | 10.20 | 34 | ||||||||||||||||||||||||||||||||||||
| 0.15 | 0.00 | 0.02 | 14.66 | 18.60 | 14.48 | 1,291,233 | 1.35 | 1.35 | 0.80 | 0.80 | 9.44 | 22 | ||||||||||||||||||||||||||||||||||||||
| $ | 0.15 | $ | 0.00 | $ | 0.00 | $ | 11.89 | $ | 13.42 | 6.92 | % | 747,539 | 1.46 | %* | 1.46 | %* | 0.84 | %* | 0.84 | %* | 10.70 | %* | 24 | % | ||||||||||||||||||||||||||
| 0.22 | 0.00 | 0.03 | 11.40 | 13.21 | 12.39 | 657,867 | 2.31 | 2.31 | 0.87 | 0.87 | 8.96 | 28 | ||||||||||||||||||||||||||||||||||||||
| 0.15 | 0.00 | 0.00 | 11.14 | 13.11 | 17.15 | 551,441 | 2.40 | 2.40 | 0.89 | 0.89 | 10.38 | 29 | ||||||||||||||||||||||||||||||||||||||
| 0.12 | 0.00 | 0.00 | 11.60 | 12.65 | (27.59 | ) | 509,542 | 1.22 | * | 1.22 | * | 0.88 | * | 0.88 | * | 8.89 | * | 47 | ||||||||||||||||||||||||||||||||
| 0.12 | (0.00 | ) | 0.00 | 14.54 | 18.93 | 34.41 | 605,830 | 1.15 | 1.15 | 0.87 | 0.87 | 8.95 | 48 | |||||||||||||||||||||||||||||||||||||
| N/A | N/A | 0.00 | 12.76 | 15.29 | (7.72 | ) | 509,488 | 1.57 | 1.57 | 0.87 | 0.87 | 9.57 | 31 | |||||||||||||||||||||||||||||||||||||
| N/A | N/A | 0.10 | 14.94 | 18.08 | 9.20 | 591,931 | 1.60 | 1.60 | 0.94 | 0.94 | 8.39 | 18 | ||||||||||||||||||||||||||||||||||||||
| $ | 0.01 | $ | 0.00 | $ | 0.00 | $ | 4.72 | $ | 4.86 | 7.13 | % | 792,054 | 1.69 | %* | 1.69 | %* | 0.80 | %* | 0.80 | %* | 11.01 | %* | 18 | % | ||||||||||||||||||||||||||
| 0.01 | 0.00 | 0.02 | 4.56 | 4.82 | 9.17 | 720,939 | 2.91 | 2.91 | 0.85 | 0.85 | 8.95 | 29 | ||||||||||||||||||||||||||||||||||||||
| 0.02 | 0.00 | 0.00 | 4.51 | 5.00 | 9.20 | 667,041 | 2.70 | 2.70 | 0.92 | 0.92 | 10.14 | 27 | ||||||||||||||||||||||||||||||||||||||
| 0.00 | 0.00 | 0.00 | 4.72 | 5.17 | (18.39 | ) | 640,448 | 1.18 | * | 1.18 | * | 0.86 | * | 0.86 | * | 9.30 | * | 37 | ||||||||||||||||||||||||||||||||
| N/A | N/A | 0.00 | 5.92 | 6.95 | 47.82 | 792,773 | 1.14 | 1.14 | 0.86 | 0.86 | 9.96 | 60 | ||||||||||||||||||||||||||||||||||||||
| N/A | N/A | 0.00 | 5.01 | 5.18 | (27.55 | ) | 664,144 | 1.73 | 1.73 | 0.86 | 0.86 | 11.42 | 40 | |||||||||||||||||||||||||||||||||||||
| N/A | N/A | 0.04 | 6.38 | 8.03 | 3.57 | 835,988 | 1.86 | 1.86 | 0.91 | 0.91 | 9.74 | 20 | ||||||||||||||||||||||||||||||||||||||
| $ | 0.01 | $ | 0.00 | $ | 0.00 | $ | 8.13 | $ | 8.38 | 9.17 | % | 352,496 | 2.07 | %* | 2.07 | %* | 1.06 | %* | 1.06 | %* | 10.32 | %* | 5 | % | ||||||||||||||||||||||||||
| 0.02 | 0.00 | 0.06 | 7.84 | 8.15 | 12.60 | 319,385 | 3.34 | 3.34 | 1.18 | 1.18 | 9.45 | 19 | ||||||||||||||||||||||||||||||||||||||
| 0.03 | 0.00 | 0.00 | 7.77 | 8.19 | 2.64 | 296,531 | 2.81 | 2.81 | 1.26 | 1.26 | 10.58 | 35 | ||||||||||||||||||||||||||||||||||||||
| 0.01 | 0.00 | 0.00 | 8.39 | 8.99 | (21.16 | ) | 297,796 | 1.64 | * | 1.64 | * | 1.37 | * | 1.37 | * | 8.31 | * | 47 | ||||||||||||||||||||||||||||||||
| 0.07 | 0.00 | 0.00 | 10.66 | 12.47 | 38.31 | 365,580 | 1.62 | 1.62 | 1.36 | 1.36 | 8.81 | 42 | ||||||||||||||||||||||||||||||||||||||
| 0.09 | (0.00 | ) | 0.00 | 9.46 | 9.95 | (7.65 | ) | 295,167 | 1.69 | 1.69 | 1.21 | 1.21 | 10.03 | 21 | ||||||||||||||||||||||||||||||||||||
| 0.06 | 0.00 | 0.03 | 11.00 | 11.99 | 8.10 | 305,453 | 1.69 | 1.69 | 1.18 | 1.18 | 8.39 | 17 | ||||||||||||||||||||||||||||||||||||||
| $ | 0.01 | $ | 0.00 | $ | 0.00 | $ | 7.20 | $ | 7.45 | 10.31 | % | 655,460 | 1.87 | %* | 1.87 | %* | 1.01 | %* | 1.01 | %* | 11.72 | %* | 18 | % | ||||||||||||||||||||||||||
| 0.01 | 0.00 | 0.05 | 6.93 | 7.17 | 12.55 | 608,295 | 3.09 | 3.09 | 1.13 | 1.13 | 9.94 | 26 | ||||||||||||||||||||||||||||||||||||||
| 0.02 | 0.00 | 0.00 | 6.85 | 7.21 | 2.62 | 577,280 | 2.57 | 2.57 | 1.22 | 1.22 | 10.60 | 33 | ||||||||||||||||||||||||||||||||||||||
| 0.01 | 0.00 | 0.00 | 7.38 | 7.92 | (21.31 | ) | 581,955 | 1.54 | * | 1.54 | * | 1.29 | * | 1.29 | * | 8.32 | * | 45 | ||||||||||||||||||||||||||||||||
| 0.04 | 0.00 | 0.00 | 9.42 | 11.01 | 37.03 | 723,617 | 1.54 | 1.54 | 1.29 | 1.29 | 8.58 | 38 | ||||||||||||||||||||||||||||||||||||||
| 0.07 | (0.00 | ) | 0.00 | 8.53 | 8.88 | (7.75 | ) | 605,851 | 1.62 | 1.62 | 1.15 | 1.15 | 9.49 | 21 | ||||||||||||||||||||||||||||||||||||
| 0.04 | 0.00 | 0.01 | 9.91 | 10.70 | 11.03 | 632,927 | 1.66 | 1.66 | 1.12 | 1.12 | 8.57 | 17 | ||||||||||||||||||||||||||||||||||||||
SEMIANNUAL REPORT |
| | DECEMBER 31, 2024 | 13 |
Financial Highlights |
(Cont.) |
Ratios/Supplemental Data |
||||||||||||||||
ARPS |
||||||||||||||||
| Selected Per Share Data for the Year or Period Ended^: | Total Amount Outstanding |
Asset Coverage per Preferred Share (1) |
Involuntary Liquidating Preference per Preferred Share (2) |
Average Market Value per ARPS (3) |
||||||||||||
PIMCO Corporate & Income Opportunity Fund |
||||||||||||||||
| 7/1/2024 - 12/31/2024+ | N/A | N/A | $ | 25,000 | N/A | |||||||||||
| 6/30/2024 | $ | 4,375,000 | $ | 10,400,210 | 25,000 | N/A | ||||||||||
| 6/30/2023 | 212,650,000 | 204,962 | 25,000 | N/A | ||||||||||||
| 8/1/2021 - 6/30/2022(i) | 212,650,000 | 184,988 | 25,000 | N/A | ||||||||||||
| 7/31/2021 | 212,650,000 | 218,218 | 25,000 | N/A | ||||||||||||
| 7/31/2020 | 212,650,000 | 171,815 | 25,000 | N/A | ||||||||||||
| 7/31/2019 | 212,650,000 | 176,730 | 25,000 | N/A | ||||||||||||
PIMCO Corporate & Income Strategy Fund |
||||||||||||||||
| 7/1/2024 - 12/31/2024+ | N/A | N/A | $ | 25,000 | N/A | |||||||||||
| 6/30/2024 | 1,075,000 | 15,313,685 | 25,000 | N/A | ||||||||||||
| 6/30/2023 | 23,525,000 | 610,350 | 25,000 | N/A | ||||||||||||
| 8/1/2021 - 6/30/2022(i) | 23,525,000 | 566,333 | 25,000 | N/A | ||||||||||||
| 7/31/2021 | 23,525,000 | 668,805 | 25,000 | N/A | ||||||||||||
| 7/31/2020 | 23,525,000 | 566,423 | 25,000 | N/A | ||||||||||||
| 7/31/2019 | 23,525,000 | 653,838 | 25,000 | N/A | ||||||||||||
PIMCO High Income Fund |
||||||||||||||||
| 7/1/2024 - 12/31/2024+ | N/A | N/A | $ | 25,000 | N/A | |||||||||||
| 6/30/2024 | 1,675,000 | 10,779,665 | 25,000 | N/A | ||||||||||||
| 6/30/2023 | 58,050,000 | 311,948 | 25,000 | N/A | ||||||||||||
| 8/1/2021 - 6/30/2022(i) | 58,050,000 | 300,723 | 25,000 | N/A | ||||||||||||
| 7/31/2021 | 58,050,000 | 366,413 | 25,000 | N/A | ||||||||||||
| 7/31/2020 | 58,050,000 | 311,018 | 25,000 | N/A | ||||||||||||
| 7/31/2019 | 58,050,000 | 384,900 | 25,000 | N/A | ||||||||||||
PIMCO Income Strategy Fund |
||||||||||||||||
| 7/1/2024 - 12/31/2024+ | N/A | N/A | $ | 25,000 | N/A | |||||||||||
| 6/30/2024 | 925,000 | 8,653,090 | 25,000 | N/A | ||||||||||||
| 6/30/2023 | 45,200,000 | 188,823 | 25,000 | N/A | ||||||||||||
| 8/1/2021 - 6/30/2022(i) | 45,200,000 | 189,645 | 25,000 | N/A | ||||||||||||
| 7/31/2021 | 45,200,000 | 227,165 | 25,000 | N/A | ||||||||||||
| 7/31/2020 | 45,200,000 | 188,225 | 25,000 | N/A | ||||||||||||
| 7/31/2019 | 45,200,000 | 193,873 | 25,000 | N/A | ||||||||||||
PIMCO Income Strategy Fund II |
||||||||||||||||
| 7/1/2024 - 12/31/2024+ | N/A | N/A | $ | 25,000 | N/A | |||||||||||
| 6/30/2024 | 3,250,000 | 4,699,268 | 25,000 | N/A | ||||||||||||
| 6/30/2023 | 87,425,000 | 189,850 | 25,000 | N/A | ||||||||||||
| 8/1/2021 - 6/30/2022(i) | 87,425,000 | 191,350 | 25,000 | N/A | ||||||||||||
| 7/31/2021 | 87,425,000 | 231,880 | 25,000 | N/A | ||||||||||||
| 7/31/2020 | 87,425,000 | 198,210 | 25,000 | N/A | ||||||||||||
| 7/31/2019 | 87,425,000 | 205,928 | 25,000 | N/A | ||||||||||||
^ |
A zero balance may reflect actual amounts rounding to less than $0.01 or 0.01%. |
+ |
Unaudited |
* |
Annualized, except for organizational expense, if any. |
(a) |
Includes adjustments required by U.S. GAAP and may differ from net asset values and performance reported elsewhere by the Funds. |
(b) |
Per share amounts based on average number of common shares outstanding during the year or period. |
(c) |
Auction Rate Preferred Shareholders (“ARPS”). See Note 14, Auction Rate Preferred Shares, in the Notes to Financial Statements for more information. |
(d) |
The tax characterization of distributions is determined in accordance with Federal income tax regulations. The actual tax characterization of distributions paid is determined at the end of the fiscal year. See Note 2, Distributions — Common Shares, in the Notes to Financial Statements for more information. |
(e) |
Total investment return is calculated assuming a purchase of a common share at the market price on the first day and a sale of a common share at the market price on the last day of each year or period reported. Dividends and distributions, if any, are assumed, for purposes of this calculation, to be reinvested at prices obtained under the Funds’ dividend reinvestment plan. Total investment return does not reflect brokerage commissions in connection with the purchase or sale of Fund shares. |
(f) |
Calculated on the basis of income and expenses applicable to both common and preferred shares relative to the average net assets of common shareholders. The expense ratio and net investment income do not reflect the effects of dividend payments to preferred shareholders. |
(g) |
Ratio includes interest expense which primarily relates to participation in borrowing and financing transactions. See Note 5, Borrowings and Other Financing Transactions, in the Notes to Financial Statements for more information. |
(h) |
Fiscal year end changed from July 31st to June 30th. |
14 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
(i) |
Total distributions for the period ended June 30, 2022 may be lower than prior fiscal years due to fiscal year end change resulting in a reduction of the amount of days in the period ended June 30, 2022. |
(j) |
Ratios shown do not include expenses of the investment companies in which a Fund may invest. See Note 9, Fees and Expenses, in the Notes to Financial Statements for more information regarding the expenses and any applicable fee waivers associated with these investments. |
(k) |
The NAV presented may differ from the NAV reported for the same period in other Fund materials. |
1 |
“Asset Coverage per Preferred Share” means the ratio that the value of the total assets of the Fund, less all liabilities and indebtedness not represented by ARPS, bears to the aggregate of the involuntary liquidation preference of ARPS, expressed as a dollar amount per ARPS. |
2 |
“Involuntary Liquidating Preference“ means the amount to which a holder of ARPS would be entitled upon the involuntary liquidation of the Fund in preference to the Common Shareholders, expressed as a dollar amount per Preferred Share. |
3 |
Between November 4, 2024 and November 8, 2024, the Funds redeemed each outstanding series of Auction-Rate Preferred Shares (“ARPS”) at the full liquidation preference (i.e., face value) of the ARPS. Prior to this redemption, there was no active trading market for the ARPS and the Fund was not able to reliably estimate what their value would have been in a third-party market sale. The liquidation value of the ARPS represents its liquidation preference, which approximates fair value of the shares less any accumulated unpaid dividends. See Note 14, Auction-Rate Preferred Shares, in the notes to Financial Statements for more information. |
SEMIANNUAL REPORT |
| | DECEMBER 31, 2024 | 15 |
Statements of Assets and Liabilities |
December 31, 2024 |
(Unaudited) |
(Amounts in thousands † |
PIMCO Corporate & Income Opportunity Fund |
PIMCO Corporate & Income Strategy Fund |
PIMCO High Income Fund |
PIMCO Income Strategy Fund |
PIMCO Income Strategy Fund II |
|||||||||||||||
Assets: |
||||||||||||||||||||
Investments, at value |
||||||||||||||||||||
Investments in securities* |
$ | 1,985,722 | $ | 690,730 | $ | 738,243 | $ | 352,279 | $ | 666,906 | ||||||||||
Investments in Affiliates |
346,245 | 101,880 | 163,824 | 53,926 | 77,487 | |||||||||||||||
Financial Derivative Instruments |
||||||||||||||||||||
Exchange-traded or centrally cleared |
879 | 378 | 1,138 | 292 | 552 | |||||||||||||||
Over the counter |
6,197 | 2,085 | 2,098 | 886 | 2,187 | |||||||||||||||
Cash |
3,229 | 1,202 | 2,204 | 965 | 995 | |||||||||||||||
Deposits with counterparty |
39,763 | 11,416 | 13,521 | 9,347 | 11,260 | |||||||||||||||
Foreign currency, at value |
4,126 | 1,428 | 1,328 | 626 | 1,363 | |||||||||||||||
Receivable for investments sold |
81,502 | 30,756 | 24,718 | 11,373 | 31,211 | |||||||||||||||
Receivable for TBA investments sold |
0 | 0 | 85 | 0 | 0 | |||||||||||||||
Receivable for Fund shares sold |
1,856 | 172 | 0 | 0 | 0 | |||||||||||||||
Interest and/or dividends receivable |
26,514 | 8,761 | 11,256 | 4,805 | 8,547 | |||||||||||||||
Dividends receivable from Affiliates |
1,153 | 351 | 545 | 183 | 257 | |||||||||||||||
Other assets |
969 | 1,021 | 141 | 781 | 687 | |||||||||||||||
Total Assets |
2,498,155 | 850,180 | 959,101 | 435,463 | 801,452 | |||||||||||||||
Liabilities: |
||||||||||||||||||||
Borrowings & Other Financing Transactions |
||||||||||||||||||||
Payable for reverse repurchase agreements |
$ | 222,495 | $ | 32,952 | $ | 114,979 | $ | 61,657 | $ | 78,285 | ||||||||||
Financial Derivative Instruments |
||||||||||||||||||||
Exchange-traded or centrally cleared |
1,131 | 463 | 1,064 | 309 | 627 | |||||||||||||||
Over the counter |
7,155 | 210 | 245 | 57 | 214 | |||||||||||||||
Payable for investments purchased |
139,013 | 47,904 | 27,474 | 11,002 | 44,560 | |||||||||||||||
Payable for investments in Affiliates purchased |
1,242 | 378 | 588 | 196 | 276 | |||||||||||||||
Payable for investments purchased on a delayed-delivery basis |
10,135 | 4,250 | 4,631 | 2,326 | 4,838 | |||||||||||||||
Payable for TBA investments purchased |
0 | 0 | 170 | 0 | 0 | |||||||||||||||
Payable for unfunded loan commitments |
17,805 | 6,305 | 6,247 | 1,737 | 5,892 | |||||||||||||||
Deposits from counterparty |
7,766 | 2,501 | 2,945 | 1,731 | 4,046 | |||||||||||||||
Distributions payable to common shareholders |
20,945 | 7,049 | 8,049 | 3,527 | 6,530 | |||||||||||||||
Accrued management fees |
1,136 | 512 | 511 | 305 | 520 | |||||||||||||||
Foreign capital gains tax payable |
23 | 8 | 11 | 5 | 10 | |||||||||||||||
Other liabilities |
342 | 109 | 133 | 115 | 194 | |||||||||||||||
Total Liabilities |
429,188 | 102,641 | 167,047 | 82,967 | 145,992 | |||||||||||||||
Commitments and Contingent Liabilities^ |
||||||||||||||||||||
Net Assets Applicable to Common Shareholders |
$ | 2,068,967 | $ | 747,539 | $ | 792,054 | $ | 352,496 | $ | 655,460 | ||||||||||
Net Assets Applicable to Common Shareholders Consist of: |
||||||||||||||||||||
Par value^^ |
$ | 2 | $ | 1 | $ | 2 | $ | 0 | $ | 1 | ||||||||||
Paid in capital in excess of par |
2,521,836 | 888,152 | 1,130,739 | 445,511 | 851,195 | |||||||||||||||
Distributable earnings (accumulated loss) |
(452,871 | ) | (140,614 | ) | (338,687 | ) | (93,015 | ) | (195,736 | ) | ||||||||||
Net Assets Applicable to Common Shareholders |
$ | 2,068,967 | $ | 747,539 | $ | 792,054 | $ | 352,496 | $ | 655,460 | ||||||||||
Net Asset Value per Common Share (a) |
$ | 11.69 | $ | 11.89 | $ | 4.72 | $ | 8.13 | $ | 7.20 | ||||||||||
Common Shares Outstanding |
177,008 | 62,875 | 167,889 | 43,362 | 90,975 | |||||||||||||||
Cost of investments in securities |
$ | 2,216,635 | $ | 769,876 | $ | 867,049 | $ | 397,849 | $ | 760,389 | ||||||||||
Cost of investments in Affiliates |
$ | 346,016 | $ | 101,787 | $ | 163,722 | $ | 53,888 | $ | 77,434 | ||||||||||
Cost of foreign currency held |
$ | 4,330 | $ | 1,509 | $ | 1,369 | $ | 649 | $ | 1,432 | ||||||||||
Cost or premiums of financial derivative instruments, net |
$ | (17,325 | ) | $ | (14,751 | ) | $ | 62,579 | $ | (2,432 | ) | $ | (8,363 | ) | ||||||
* Includes repurchase agreements of: |
$ | 0 | $ | 2,100 | $ | 0 | $ | 0 | $ | 0 | ||||||||||
† |
A zero balance may reflect actual amounts rounding to less than one thousand. |
^ |
See Note 9, Fees and Expenses, in the Notes to Financial Statements for more information. |
^^ |
($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. |
16 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
Statements of Operations
Six Months Ended December 31, 2024 (Unaudited) |
||||||||||||||||||||
(Amounts in thousands † |
PIMCO Corporate & Income Opportunity Fund |
PIMCO Corporate & Income Strategy Fund |
PIMCO High Income Fund |
PIMCO Income Strategy Fund |
PIMCO Income Strategy Fund II |
|||||||||||||||
Investment Income: |
||||||||||||||||||||
Interest, net of foreign taxes* |
$ | 110,910 | $ | 39,338 | $ | 43,214 | $ | 19,326 | $ | 40,011 | ||||||||||
Dividends |
4,696 | 1,808 | 2,663 | 1,134 | 2,356 | |||||||||||||||
Dividends from Investments in Affiliates |
6,104 | 2,207 | 2,655 | 995 | 1,534 | |||||||||||||||
Miscellaneous income |
2,051 | 652 | 695 | 0 | 0 | |||||||||||||||
Total Income |
123,761 | 44,005 | 49,227 | 21,455 | 43,901 | |||||||||||||||
Expenses: |
||||||||||||||||||||
Management fees |
6,479 | 2,932 | 2,949 | 1,762 | 3,107 | |||||||||||||||
Trustee fees and related expenses |
129 | 47 | 53 | 24 | 45 | |||||||||||||||
Interest expense |
8,438 | 2,253 | 3,445 | 1,747 | 2,781 | |||||||||||||||
Auction agent fees and commissions |
67 | 9 | 46 | 8 | 58 | |||||||||||||||
Auction rate preferred shares related expenses |
0 | 28 | 28 | 28 | 28 | |||||||||||||||
Miscellaneous expense |
41 | 16 | 17 | 12 | 25 | |||||||||||||||
Total Expenses |
15,154 | 5,285 | 6,538 | 3,581 | 6,044 | |||||||||||||||
Net Investment Income (Loss) |
108,607 | 38,720 | 42,689 | 17,874 | 37,857 | |||||||||||||||
Net Realized Gain (Loss): |
||||||||||||||||||||
Investments in securities |
22,497 | 12,415 | 17,575 | 3,798 | 11,472 | |||||||||||||||
Investments in Affiliates |
19 | 5 | 12 | 4 | 28 | |||||||||||||||
Exchange-traded or centrally cleared financial derivative instruments |
(2,809 | ) | (2,758 | ) | 6,954 | (1,294 | ) | (1,727 | ) | |||||||||||
Over the counter financial derivative instruments |
16,660 | 4,977 | 4,700 | 2,175 | 5,272 | |||||||||||||||
Foreign currency |
(379 | ) | (211 | ) | (323 | ) | (66 | ) | (258 | ) | ||||||||||
Net Realized Gain (Loss) |
35,988 | 14,428 | 28,918 | 4,617 | 14,787 | |||||||||||||||
Net Change in Unrealized Appreciation (Depreciation): |
||||||||||||||||||||
Investments in securities |
22,341 | 4,467 | 3,336 | 7,507 | 6,187 | |||||||||||||||
Investments in Affiliates |
160 | 59 | 68 | 25 | 32 | |||||||||||||||
Exchange-traded or centrally cleared financial derivative instruments |
2,093 | 2,487 | (5,010 | ) | 1,690 | 2,699 | ||||||||||||||
Over the counter financial derivative instruments |
(679 | ) | 511 | 721 | 329 | 721 | ||||||||||||||
Foreign currency assets and liabilities |
844 | 159 | 173 | 62 | 228 | |||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) |
24,759 | 7,683 | (712 | ) | 9,613 | 9,867 | ||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations |
$ | 169,354 | $ | 60,831 | $ | 70,895 | $ | 32,104 | $ | 62,511 | ||||||||||
Distributions on Auction Rate Preferred Shares from Net Investment Income and/or Realized Capital Gains |
$ | (143 | ) | $ | (16 | ) | $ | (24 | ) | $ | (14 | ) | $ | (113 | ) | |||||
Net Increase (Decrease) in Net Assets Applicable to Common Shareholders Resulting from Operations |
$ | 169,211 | $ | 60,815 | $ | 70,871 | $ | 32,090 | $ | 62,398 | ||||||||||
* Foreign tax withholdings - Interest |
$ | 93 | $ | 33 | $ | 44 | $ | 23 | $ | 41 | ||||||||||
† |
A zero balance may reflect actual amounts rounding to less than one thousand. |
SEMIANNUAL REPORT |
| | DECEMBER 31, 2024 | 17 |
Statements of Changes in Net Assets |
PIMCO Corporate & Income Opportunity Fund |
PIMCO Corporate & Income Strategy Fund |
|||||||||||||||
(Amounts in thousands † |
Six Months Ended December 31, 2024 (Unaudited) |
Year Ended June 30, 2024 |
Six Months Ended December 31, 2024 (Unaudited) |
Year Ended June 30, 2024 |
||||||||||||
Increase (Decrease) in Net Assets from: |
||||||||||||||||
Operations: |
||||||||||||||||
Net investment income (loss) |
$ | 108,607 | $ | 166,257 | $ | 38,720 | $ | 53,508 | ||||||||
Net realized gain (loss) |
35,988 | (80,913 | ) | 14,428 | (29,897 | ) | ||||||||||
Net change in unrealized appreciation (depreciation) |
24,759 | 125,725 | 7,683 | 49,035 | ||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations |
169,354 | 211,069 | 60,831 | 72,646 | ||||||||||||
Distributions on auction rate preferred shares from net investment income and/or realized capital gains |
(143 | ) | (10,073 | ) | (16 | ) | (1,068 | ) | ||||||||
Net Increase (Decrease) in Net Assets Applicable to Common Shareholders Resulting from Operations |
169,211 | 200,996 | 60,815 | 71,578 | ||||||||||||
Distributions to Common Shareholders: |
||||||||||||||||
From net investment income and/or net realized capital gains |
(121,164 | ) | (142,769 | ) | (40,915 | ) | (52,820 | ) | ||||||||
Tax basis return of capital |
0 | (71,491 | ) | 0 | (18,729 | ) | ||||||||||
Total Distributions to Common Shareholders (a) |
(121,164 | ) | (214,260 | ) | (40,915 | ) | (71,549 | ) | ||||||||
Auction-Rate Preferred Share Transactions*: |
||||||||||||||||
Net Increase (Decrease) resulting from tender of Auction Rate Preferred Shares |
0 | 6,708 | 0 | 1,396 | ||||||||||||
Common Share Transactions**: |
||||||||||||||||
Net proceeds from at-the-market |
188,918 | 264,295 | 65,360 | 97,349 | ||||||||||||
Issued as reinvestment of distributions |
14,659 | 26,713 | 4,412 | 7,652 | ||||||||||||
Total increase (decrease) resulting from common share transactions |
203,577 | 297,716 | 69,772 | 106,397 | ||||||||||||
Total increase (decrease) in net assets applicable to common shareholders |
251,624 | 284,452 | 89,672 | 106,426 | ||||||||||||
Net Assets Applicable to Common Shareholders: |
||||||||||||||||
Beginning of period |
1,817,343 | 1,532,891 | 657,867 | 551,441 | ||||||||||||
End of period |
$ | 2,068,967 | $ | 1,817,343 | $ | 747,539 | $ | 657,867 | ||||||||
**Common Share Transactions: |
||||||||||||||||
Shares sold |
13,227 | 19,176 | 4,810 | 7,594 | ||||||||||||
Shares issued as reinvestment of distributions |
1,067 | 2,016 | 337 | 620 | ||||||||||||
Net increase (decrease) in common shares outstanding |
14,294 | 21,192 | 5,147 | 8,214 | ||||||||||||
† |
A zero balance may reflect actual amounts rounding to less than one thousand. |
* |
See Note 13, Common shares offering, in the Notes to Financial Statements. |
(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. |
18 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
SEMIANNUAL REPORT |
| | DECEMBER 31, 2024 | 19 |
Statements of Cash Flows |
Six Months Ended December 31, 2024 (Unaudited) |
||||||||||||||||||||
(Amounts in thousands † |
PIMCO Corporate & Income Opportunity Fund |
PIMCO Corporate & Income Strategy Fund |
PIMCO High Income Fund |
PIMCO Income Strategy Fund |
PIMCO Income Strategy Fund II |
|||||||||||||||
Cash Flows Provided by (Used for) Operating Activities: |
||||||||||||||||||||
Net increase (decrease) in net assets resulting from operations |
$ | 169,354 | $ | 60,831 | $ | 70,895 | $ | 32,104 | $ | 62,511 | ||||||||||
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 |
(577,791 | ) | (190,480 | ) | (144,691 | ) | (37,750 | ) | (149,423 | ) | ||||||||||
Proceeds from sales of long-term securities |
716,909 | 249,382 | 191,386 | 42,833 | 160,533 | |||||||||||||||
(Purchases) Proceeds from sales of short-term portfolio investments, net |
(227,470 | ) | (50,587 | ) | (61,651 | ) | (22,520 | ) | (2,190 | ) | ||||||||||
(Increase) decrease in deposits with counterparty |
3,949 | 1,333 | 42 | 370 | 1,381 | |||||||||||||||
(Increase) decrease in receivable for investments sold |
(59,136 | ) | (17,535 | ) | (14,391 | ) | (5,273 | ) | (21,111 | ) | ||||||||||
(Increase) decrease in interest and/or dividends receivable |
(65 | ) | (239 | ) | (1,279 | ) | (310 | ) | (452 | ) | ||||||||||
(Increase) decrease in dividends receivable from Affiliates |
(571 | ) | (69 | ) | (200 | ) | (84 | ) | (14 | ) | ||||||||||
Proceeds from (Payments on) exchange-traded or centrally cleared financial derivative instruments |
(115 | ) | 59 | 2,624 | 564 | 1,463 | ||||||||||||||
Proceeds from (Payments on) over the counter financial derivative instruments |
15,998 | 4,977 | 4,699 | 2,175 | 5,273 | |||||||||||||||
(Increase) decrease in other assets |
(3 | ) | (50 | ) | (1 | ) | (58 | ) | (163 | ) | ||||||||||
Increase (decrease) in payable for investments purchased |
48,525 | 18,146 | 5,963 | 8,413 | 30,191 | |||||||||||||||
Increase (decrease) in payable for unfunded loan commitments |
(12,937 | ) | (3,984 | ) | (5,123 | ) | (1,718 | ) | (3,784 | ) | ||||||||||
Increase (decrease) in deposits from counterparty |
2,597 | 496 | 1,082 | 1,059 | 715 | |||||||||||||||
Increase (decrease) in accrued management fees |
232 | 105 | 91 | 55 | 61 | |||||||||||||||
Proceeds from (Payments on) foreign currency transactions |
424 | (42 | ) | (106 | ) | (22 | ) | (41 | ) | |||||||||||
Increase (decrease) in foreign capital gains tax payable |
(1 | ) | (1 | ) | (1 | ) | (1 | ) | (1 | ) | ||||||||||
Increase (decrease) in other liabilities |
35 | 8 | 14 | 7 | 26 | |||||||||||||||
Net Realized (Gain) Loss |
||||||||||||||||||||
Investments in securities |
(22,497 | ) | (12,415 | ) | (17,575 | ) | (3,798 | ) | (11,472 | ) | ||||||||||
Investments in Affiliates |
(19 | ) | (5 | ) | (12 | ) | (4 | ) | (28 | ) | ||||||||||
Exchange-traded or centrally cleared financial derivative instruments |
2,809 | 2,758 | (6,954 | ) | 1,294 | 1,727 | ||||||||||||||
Over the counter financial derivative instruments |
(16,660 | ) | (4,977 | ) | (4,700 | ) | (2,175 | ) | (5,272 | ) | ||||||||||
Foreign currency |
379 | 211 | 323 | 66 | 258 | |||||||||||||||
Net Change in Unrealized (Appreciation) Depreciation |
||||||||||||||||||||
Investments in securities |
(22,341 | ) | (4,467 | ) | (3,336 | ) | (7,507 | ) | (6,187 | ) | ||||||||||
Investments in Affiliates |
(160 | ) | (59 | ) | (68 | ) | (25 | ) | (32 | ) | ||||||||||
Exchange-traded or centrally cleared financial derivative instruments |
(2,093 | ) | (2,487 | ) | 5,010 | (1,690 | ) | (2,699 | ) | |||||||||||
Over the counter financial derivative instruments |
679 | (511 | ) | (721 | ) | (329 | ) | (721 | ) | |||||||||||
Foreign currency assets and liabilities |
(844 | ) | (159 | ) | (173 | ) | (62 | ) | (228 | ) | ||||||||||
Net amortization (accretion) on investments |
(20,357 | ) | (6,948 | ) | (8,170 | ) | (2,959 | ) | (7,309 | ) | ||||||||||
Net Cash Provided by (Used for) Operating Activities |
(1,170 | ) | 43,291 | 12,977 | 2,655 | 53,012 | ||||||||||||||
Cash Flows Received from (Used for) Financing Activities: |
||||||||||||||||||||
Payments resulting from tender of Auction Rate Preferred Shares |
(4,375 | ) | (1,075 | ) | (1,675 | ) | (925 | ) | (3,250 | ) | ||||||||||
Net proceeds from at-the-market offering |
188,586 | 65,652 | 42,817 | 20,049 | 19,661 | |||||||||||||||
Increase (decrease) in overdraft due to custodian |
(1,920 | ) | (45 | ) | (24 | ) | 0 | (309 | ) | |||||||||||
Cash distributions paid* |
(104,805 | ) | (35,916 | ) | (41,787 | ) | (18,774 | ) | (34,629 | ) | ||||||||||
Cash distributions paid to auction rate preferred shareholders |
(147 | ) | (17 | ) | (25 | ) | (14 | ) | (117 | ) | ||||||||||
Proceeds from reverse repurchase agreements |
1,264,546 | 346,785 | 671,374 | 223,195 | 460,327 | |||||||||||||||
Payments on reverse repurchase agreements |
(1,333,360 | ) | (416,564 | ) | (680,265 | ) | (224,736 | ) | (492,499 | ) | ||||||||||
Net Cash Received from (Used for) Financing Activities |
8,525 | (41,180 | ) | (9,585 | ) | (1,205 | ) | (50,816 | ) | |||||||||||
Net Increase (Decrease) in Cash and Foreign Currency |
7,355 | 2,111 | 3,392 | 1,450 | 2,196 | |||||||||||||||
Cash and Foreign Currency: |
||||||||||||||||||||
Beginning of period |
0 | 519 | 140 | 141 | 162 | |||||||||||||||
End of period |
$ | 7,355 | $ | 2,630 | $ | 3,532 | $ | 1,591 | $ | 2,358 | ||||||||||
* Reinvestment of distributions |
$ | 14,659 | $ | 4,412 | $ | 4,799 | $ | 1,597 | $ | 3,611 | ||||||||||
Supplemental Disclosure of Cash Flow Information: |
||||||||||||||||||||
Interest expense paid during the period |
$ | 8,578 | $ | 2,688 | $ | 3,626 | $ | 1,810 | $ | 3,221 | ||||||||||
Non-Cash Payment In-Kind |
$ | 7,397 | $ | 2,686 | $ | 3,012 | $ | 738 | $ | 2,630 | ||||||||||
† |
A zero balance may reflect actual amounts rounding to less than one thousand. |
A Statement of Cash Flows is presented when a Fund has a significant amount of borrowing during the period, based on the average total borrowing outstanding in relation to total assets or when substantially all of a Fund’s investments are not classified as Level 1 or 2 in the fair value hierarchy.
20 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
Schedule of Investments |
PIMCO Corporate & Income Opportunity Fund |
December 31, 2024 |
(Unaudited) |
(Amounts in thousands*, except number of shares, contracts, units and ounces, if any)
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
INVESTMENTS IN SECURITIES 96.0% |
||||||||||||
LOAN PARTICIPATIONS AND ASSIGNMENTS 31.0% |
||||||||||||
Advanz Pharma Corp. |
||||||||||||
7.559% (EUR003M + 4.500%) due 10/17/2031 ~ |
EUR |
3,700 |
$ |
3,839 |
||||||||
Aligned Data Centers International LP |
||||||||||||
8.447% (TSFR3M + 3.500%) due 05/16/2028 «~ |
$ |
10,300 |
10,260 |
|||||||||
Altar Bidco, Inc. |
||||||||||||
9.747% (TSFR6M + 5.600%) due 02/01/2030 ~ |
3,450 |
3,351 |
||||||||||
Altice France SA |
||||||||||||
8.679% (EUR003M + 0.055%) due 08/15/2028 ~ |
EUR |
199 |
169 |
|||||||||
10.147% due 08/15/2028 ~ |
$ |
16,460 |
13,262 |
|||||||||
AP Core Holdings LLC |
||||||||||||
9.971% due 09/01/2027 ~ |
33,817 |
32,941 |
||||||||||
Barnes Group, Inc. |
||||||||||||
TBD% due 12/10/2031 ~ |
6,000 |
6,012 |
||||||||||
BDO U.S.A PC |
||||||||||||
9.524% due 08/31/2028 «~ |
6,824 |
6,863 |
||||||||||
Central Parent LLC |
||||||||||||
TBD% due 07/06/2029 ~ |
9,850 |
9,735 |
||||||||||
Clover Holdings 2 LLC |
||||||||||||
TBD% due 11/01/2029 ~µ |
2,209 |
2,206 |
||||||||||
8.428% due 11/01/2031 ~ |
16,500 |
16,706 |
||||||||||
Comexposium |
||||||||||||
4.969% (EUR012M + 4.000%) due 03/28/2026 «~ |
EUR |
24,800 |
29,928 |
|||||||||
CoreWeave Compute Acquisition Co. LLC |
||||||||||||
TBD% (TSFR3M + 6.000%) due 05/16/2029 «~µ |
$ |
27,000 |
27,073 |
|||||||||
Databricks, Inc. |
||||||||||||
TBD% due 12/20/2030 « |
4,913 |
4,888 |
||||||||||
TBD% due 12/20/2030 «µ |
1,087 |
1,082 |
||||||||||
Diamond Sports Group LLC |
||||||||||||
TBD% due 05/25/2026 «~ |
3,552 |
548 |
||||||||||
Encina Private Credit LLC |
||||||||||||
TBD% due 11/30/2025 «µ |
5,569 |
5,471 |
||||||||||
Endure Digital, Inc. |
||||||||||||
8.138% due 02/10/2028 «~ |
10,373 |
8,506 |
||||||||||
Envision Healthcare Corp. |
||||||||||||
12.507% due 11/03/2028 ~ |
24,212 |
24,575 |
||||||||||
EP Purchaser LLC |
||||||||||||
11.000% (EUR003M + 4.500%) due 11/06/2028 ~ |
1,700 |
1,696 |
||||||||||
Finastra U.S.A., Inc. |
||||||||||||
TBD% due 09/13/2029 «~µ |
282 |
282 |
||||||||||
TBD% due 09/13/2029 «~ |
2,698 |
2,740 |
||||||||||
First Brands Group LLC |
||||||||||||
9.847% due 03/30/2027 ~ |
2,988 |
2,807 |
||||||||||
Forward Air Corp. |
||||||||||||
9.085% due 12/19/2030 ~ |
6,874 |
6,911 |
||||||||||
Galaxy U.S. Opco, Inc. |
||||||||||||
9.335% due 04/29/2029 ~ |
5,572 |
4,980 |
||||||||||
Gateway Casinos & Entertainment Ltd. |
||||||||||||
TBD% due 12/18/2030 |
14,105 |
14,345 |
||||||||||
Gray Television, Inc. |
||||||||||||
9.803% due 06/04/2029 ~ |
7,363 |
6,987 |
||||||||||
Hudson’s Bay Co. |
||||||||||||
TBD% due 04/03/2026 |
3,994 |
3,993 |
||||||||||
iHeartCommunications, Inc. |
||||||||||||
7.721% due 05/01/2026 ~ |
2,010 |
1,795 |
||||||||||
Ivanti Software, Inc. |
||||||||||||
9.121% due 12/01/2027 ~ |
25,411 |
20,837 |
||||||||||
J&J Ventures Gaming LLC |
||||||||||||
9.471% due 04/26/2028 «~ |
3,210 |
3,238 |
||||||||||
Lealand Finance Co. BV |
||||||||||||
7.471% due 06/30/2027 ~ |
189 |
97 |
||||||||||
8.472% due 12/31/2027 ~ |
2,349 |
945 |
||||||||||
Lifepoint Health, Inc. |
||||||||||||
8.406% due 05/17/2031 ~ |
8,894 |
8,936 |
||||||||||
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
Magenta Security Holdings LLC |
||||||||||||
10.835% due 07/27/2028 ~ |
$ |
283 |
$ |
289 |
||||||||
11.595% due 07/27/2028 ~ |
297 |
275 |
||||||||||
Magenta Security Holdings LLC (5.500% PIK) |
||||||||||||
5.500% due 07/27/2028 ~(b) |
1,322 |
465 |
||||||||||
Magenta Security Holdings LLC (6.250% PIK) |
||||||||||||
6.250% due 07/27/2028 ~(b) |
381 |
229 |
||||||||||
MH SUB I LLC |
||||||||||||
TBD% due 12/11/2031 ~ |
6,000 |
5,957 |
||||||||||
MPH Acquisition Holdings LLC |
||||||||||||
9.026% due 09/01/2028 ~ |
21,642 |
18,681 |
||||||||||
Obol France 3 SAS |
||||||||||||
8.058% (TSFR3M + 4.750%) due 12/31/2028 ~ |
EUR |
12,437 |
12,443 |
|||||||||
Ocs Group Holdings Ltd. |
||||||||||||
TBD% due 11/27/2031 «~ |
GBP |
16,450 |
20,426 |
|||||||||
Poseidon Bidco SASU |
||||||||||||
7.683% (EUR003M + 5.000%) due 03/13/2030 ~ |
EUR |
6,500 |
4,397 |
|||||||||
Project Alpha Intermediate Holding, Inc. |
||||||||||||
TBD% due 11/22/2032 ~ |
$ |
2,700 |
2,744 |
|||||||||
7.579% due 10/28/2030 ~ |
1,895 |
1,910 |
||||||||||
Promotora de Informaciones SA |
||||||||||||
8.439% (EUR003M + 5.220%) due 12/31/2026 ~ |
EUR |
43,000 |
44,096 |
|||||||||
Promotora de Informaciones SA (5.000% PIK) |
||||||||||||
5.000% (EUR003M + 2.970%) due 06/30/2027 ~(b) |
1,661 |
1,637 |
||||||||||
Sandisk Corp. |
||||||||||||
TBD% due 12/13/2031 ~ |
$ |
6,000 |
5,908 |
|||||||||
SCUR-Alpha 1503 GmbH |
||||||||||||
8.556% (EUR003M + 0.055%) due 03/29/2030 ~ |
EUR |
5,400 |
5,521 |
|||||||||
10.085% due 03/29/2030 ~ |
$ |
8,352 |
7,987 |
|||||||||
Sophia LP |
||||||||||||
9.107% due 11/15/2032 ~ |
100 |
102 |
||||||||||
Specialty Building Products Holdings LLC |
||||||||||||
8.207% due 10/15/2028 ~ |
2,095 |
2,088 |
||||||||||
Steenbok Lux Finco 2 SARL |
||||||||||||
10.000% due 06/30/2026 ~ |
EUR |
66,717 |
21,956 |
|||||||||
Subcalidora 2 SARL |
||||||||||||
8.433% (EUR003M + 5.750%) due 08/14/2029 «~ |
18,000 |
18,692 |
||||||||||
Syniverse Holdings, Inc. |
||||||||||||
11.329% due 05/13/2027 ~ |
$ |
41,127 |
41,303 |
|||||||||
Team Health Holdings, Inc. |
||||||||||||
9.835% due 03/02/2027 ~ |
6,940 |
6,730 |
||||||||||
The Stepstone Group MidCo 2 GMBH |
||||||||||||
TBD% due 12/04/2031 ~ |
EUR |
20,900 |
21,439 |
|||||||||
TBD% due 12/04/2031 ~ |
$ |
3,900 |
3,861 |
|||||||||
U.S. Renal Care, Inc. |
||||||||||||
9.471% due 06/20/2028 ~ |
58,187 |
54,650 |
||||||||||
Unicorn Bay |
||||||||||||
13.000% due 12/31/2026 « |
HKD |
134,619 |
17,348 |
|||||||||
Vantive Health LLC |
||||||||||||
TBD% due 07/23/2029 «µ |
$ |
764 |
753 |
|||||||||
TBD% due 07/23/2031 « |
4,236 |
4,169 |
||||||||||
Veritas U.S., Inc. |
||||||||||||
TBD% due 12/18/2027 |
567 |
570 |
||||||||||
TBD% due 12/09/2029 |
1,711 |
1,706 |
||||||||||
Veritiv Corp. |
||||||||||||
8.829% due 11/30/2030 ~ |
1,297 |
1,302 |
||||||||||
Wesco Aircraft Holdings, Inc. |
||||||||||||
13.153% (TSFR1M + 8.600%) due 02/01/2025 «~ |
15,294 |
16,373 |
||||||||||
Westmoreland Coal Co. |
||||||||||||
8.000% due 03/15/2029 |
1,375 |
860 |
||||||||||
Zuora, Inc. |
||||||||||||
TBD% due 12/13/2031 ~ |
6,000 |
5,985 |
||||||||||
Total Loan Participations and Assignments (Cost $670,574) |
640,856 |
|||||||||||
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
CORPORATE BONDS & NOTES 30.0% |
||||||||||||
BANKING & FINANCE 8.1% |
||||||||||||
Adler Financing SARL |
||||||||||||
12.500% due 12/31/2028 |
EUR |
14,845 |
$ |
15,903 |
||||||||
ADLER Real Estate GmbH |
||||||||||||
3.000% due 04/27/2026 |
400 |
397 |
||||||||||
Alamo Re Ltd. |
||||||||||||
12.034% (T-BILL 1MO + 7.750%) due 06/07/2027 ~ |
$ |
600 |
627 |
|||||||||
15.534% (T-BILL 1MO + 11.250%) due 06/08/2026 ~ |
300 |
318 |
||||||||||
Ally Financial, Inc. |
||||||||||||
5.543% due 01/17/2031 • |
500 |
493 |
||||||||||
Antares Holdings LP |
||||||||||||
6.350% due 10/23/2029 (j) |
1,150 |
1,142 |
||||||||||
Armor Holdco, Inc. |
||||||||||||
8.500% due 11/15/2029 |
14,000 |
14,206 |
||||||||||
Armor RE Ltd. |
||||||||||||
12.784% (T-BILL 3MO + 8.500%) due 01/07/2032 ~ |
350 |
350 |
||||||||||
14.534% (T-BILL 3MO + 10.250%) due 05/07/2031 ~ |
250 |
262 |
||||||||||
Banca Monte dei Paschi di Siena SpA |
||||||||||||
8.000% due 01/22/2030 • |
EUR |
1,609 |
1,672 |
|||||||||
Banco Bilbao Vizcaya Argentaria SA |
||||||||||||
6.033% due 03/13/2035 •(j) |
$ |
1,800 |
1,800 |
|||||||||
Bayou Re Ltd. |
||||||||||||
12.784% (T-BILL 1MO + 8.500%) due 04/30/2031 ~ |
300 |
322 |
||||||||||
BGC Group, Inc. |
||||||||||||
6.600% due 06/10/2029 (j) |
1,300 |
1,332 |
||||||||||
BOI Finance BV |
||||||||||||
7.500% due 02/16/2027 |
EUR |
7,100 |
7,176 |
|||||||||
Bonanza RE Ltd. |
||||||||||||
4.284% (T-BILL 3MO) due 01/08/2026 ~ |
$ |
250 |
200 |
|||||||||
BPCE SA |
||||||||||||
5.936% due 05/30/2035 • |
800 |
793 |
||||||||||
7.003% due 10/19/2034 • |
6,000 |
6,397 |
||||||||||
Cape Lookout Re Ltd. |
||||||||||||
12.314% (T-BILL 1MO + 8.000%) due 04/05/2027 ~ |
2,200 |
2,290 |
||||||||||
CI Financial Corp. |
||||||||||||
7.500% due 05/30/2029 (j) |
4,900 |
5,132 |
||||||||||
Country Garden Holdings Co. Ltd. |
||||||||||||
2.700% due 07/12/2026 ^(c) |
300 |
32 |
||||||||||
3.125% due 10/22/2025 ^(c) |
200 |
20 |
||||||||||
4.800% due 08/06/2030 ^(c) |
200 |
21 |
||||||||||
6.150% due 09/17/2025 ^(c) |
200 |
21 |
||||||||||
Credit Suisse AG AT1 Claim |
6,636 |
828 |
||||||||||
Deutsche Bank AG |
||||||||||||
5.403% due 09/11/2035 • |
500 |
474 |
||||||||||
East Lane Re Ltd. |
||||||||||||
13.534% (T-BILL 3MO + 9.250%) due 03/31/2026 ~ |
300 |
301 |
||||||||||
EPR Properties |
||||||||||||
3.750% due 08/15/2029 (j) |
100 |
93 |
||||||||||
4.500% due 06/01/2027 (j) |
400 |
393 |
||||||||||
Essential Properties LP |
||||||||||||
2.950% due 07/15/2031 |
500 |
426 |
||||||||||
Everglades Re Ltd. |
||||||||||||
14.814% (T-BILL 1MO + 10.500%) due 05/13/2031 ~ |
1,500 |
1,564 |
||||||||||
15.814% (T-BILL 1MO + 11.500%) due 05/13/2031 ~ |
1,500 |
1,561 |
||||||||||
17.064% (T-BILL 1MO + 12.750%) due 05/13/2031 ~ |
1,500 |
1,555 |
||||||||||
F&G Annuities & Life, Inc. |
||||||||||||
6.250% due 10/04/2034 |
400 |
388 |
||||||||||
6.500% due 06/04/2029 (j) |
600 |
613 |
||||||||||
GSPA Monetization Trust |
||||||||||||
6.422% due 10/09/2029 |
3,831 |
3,802 |
||||||||||
| See Accompanying Notes | SEMIANNUAL REPORT |
| | DECEMBER 31, 2024 | 21 |
Schedule of Investments |
PIMCO Corporate & Income Opportunity Fund |
(Cont.) |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
Hampton Roads PPV LLC |
||||||||||||
6.171% due 06/15/2053 (j) |
$ |
1,800 |
$ |
1,708 |
||||||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. |
||||||||||||
6.375% due 07/01/2034 |
2,400 |
2,339 |
||||||||||
Hestia Re Ltd. |
||||||||||||
14.364% (T-BILL 1MO + 10.080%) due 04/22/2025 ~ |
1,878 |
1,703 |
||||||||||
Hudson Pacific Properties LP |
||||||||||||
3.250% due 01/15/2030 (j) |
300 |
204 |
||||||||||
3.950% due 11/01/2027 (j) |
200 |
174 |
||||||||||
4.650% due 04/01/2029 (j) |
400 |
302 |
||||||||||
5.950% due 02/15/2028 (j) |
1,100 |
940 |
||||||||||
Integrity Re Ltd. |
||||||||||||
21.284% (T-BILL 1MO + 17.000%) due 06/08/2026 ~ |
1,100 |
1,189 |
||||||||||
27.284% (T-BILL 1MO + 23.000%) due 06/08/2026 ~ |
1,100 |
1,012 |
||||||||||
Intesa Sanpaolo SpA |
||||||||||||
7.200% due 11/28/2033 (j) |
1,400 |
1,516 |
||||||||||
8.248% due 11/21/2033 •(j) |
14,304 |
16,053 |
||||||||||
Kennedy Wilson Europe Real Estate Ltd. |
||||||||||||
3.250% due 11/12/2025 |
EUR |
821 |
846 |
|||||||||
Long Walk Reinsurance Ltd. |
||||||||||||
14.034% (T-BILL 3MO + 9.750%) due 01/30/2031 ~ |
$ |
1,900 |
1,933 |
|||||||||
Longleaf Pine Re Ltd. |
||||||||||||
21.784% (T-BILL 1MO + 17.500%) due 05/27/2031 ~ |
350 |
391 |
||||||||||
Marex Group PLC |
||||||||||||
6.404% due 11/04/2029 |
700 |
707 |
||||||||||
Polestar Re Ltd. |
||||||||||||
14.784% (T-BILL 3MO + 10.500%) due 01/07/2028 ~ |
850 |
884 |
||||||||||
17.564% (T-BILL 3MO + 13.250%) due 01/07/2027 ~ |
2,200 |
2,292 |
||||||||||
Purple Re Ltd. |
||||||||||||
13.284% (T-BILL 1MO + 9.000%) due 06/06/2031 ~ |
400 |
416 |
||||||||||
Sammons Financial Group, Inc. |
||||||||||||
6.875% due 04/15/2034 (j) |
1,100 |
1,152 |
||||||||||
Sanders Re Ltd. |
||||||||||||
17.284% (T-BILL 3MO + 13.000%) due 04/09/2029 ~ |
3,241 |
3,182 |
||||||||||
Societe Generale SA |
||||||||||||
6.691% due 01/10/2034 •(j) |
7,100 |
7,293 |
||||||||||
Synchrony Financial |
||||||||||||
5.935% due 08/02/2030 •(j) |
4,200 |
4,242 |
||||||||||
Titanium 2l Bondco SARL |
||||||||||||
6.250% due 01/14/2031 |
EUR |
21,922 |
7,731 |
|||||||||
Torrey Pines Re Ltd. |
||||||||||||
10.284% (T-BILL 1MO + 6.000%) due 06/07/2032 ~ |
$ |
500 |
525 |
|||||||||
11.534% (T-BILL 1MO + 7.250%) due 06/07/2032 ~ |
400 |
414 |
||||||||||
13.284% (T-BILL 1MO + 9.000%) due 06/05/2031 ~ |
400 |
417 |
||||||||||
Uniti Group LP |
||||||||||||
6.000% due 01/15/2030 (j) |
20,566 |
18,085 |
||||||||||
10.500% due 02/15/2028 (j) |
10,171 |
10,856 |
||||||||||
Ursa Re Ltd. |
||||||||||||
13.564% (T-BILL 3MO + 9.250%) due 12/07/2028 ~ |
2,300 |
2,439 |
||||||||||
Voyager Aviation Holdings LLC |
||||||||||||
8.500% due 05/09/2026 ^«(c) |
9,172 |
0 |
||||||||||
Winston RE Ltd. |
||||||||||||
14.564% (T-BILL 3MO + 10.250%) due 02/26/2031 ~ |
280 |
295 |
||||||||||
16.064% (T-BILL 3MO + 11.750%) due 02/26/2031 ~ |
1,700 |
1,756 |
||||||||||
Yosemite Re Ltd. |
||||||||||||
14.879% (T-BILL 3MO + 10.595%) due 06/06/2025 ~ |
1,790 |
1,840 |
||||||||||
167,740 |
||||||||||||
22 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
December 31, 2024 |
(Unaudited) |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
5.907% due 10/15/2036 •(j) |
$ |
1,000 |
$ |
986 |
||||||||
Eurosail PLC |
||||||||||||
6.196% due 06/13/2045 • |
GBP |
4,487 |
4,573 |
|||||||||
8.846% due 06/13/2045 • |
1,394 |
1,446 |
||||||||||
First Horizon Alternative Mortgage Securities Trust |
||||||||||||
6.250% due 11/25/2036 |
$ |
940 |
253 |
|||||||||
GS Mortgage Securities Corp. Trust |
||||||||||||
5.644% due 07/15/2035 •(j) |
1,298 |
979 |
||||||||||
GSR Mortgage Loan Trust |
||||||||||||
4.180% due 03/25/2037 ~ |
1,156 |
605 |
||||||||||
4.769% due 11/25/2035 ~ |
343 |
285 |
||||||||||
Hilton USA Trust |
||||||||||||
2.828% due 11/05/2035 (j) |
2,100 |
1,641 |
||||||||||
HomeBanc Mortgage Trust |
||||||||||||
5.653% due 03/25/2035 • |
56 |
37 |
||||||||||
IndyMac IMSC Mortgage Loan Trust |
||||||||||||
6.500% due 07/25/2037 |
6,499 |
2,326 |
||||||||||
JP Morgan Alternative Loan Trust |
||||||||||||
4.152% due 03/25/2037 ~ |
3,757 |
3,065 |
||||||||||
JP Morgan Chase Commercial Mortgage Securities Trust |
||||||||||||
4.994% due 04/15/2037 •(j) |
976 |
956 |
||||||||||
5.504% due 04/15/2037 • |
5,858 |
5,676 |
||||||||||
6.052% due 06/15/2038 • |
1,100 |
1,046 |
||||||||||
7.235% due 10/05/2040 (j) |
1,600 |
1,675 |
||||||||||
7.695% due 02/15/2035 • |
4,772 |
4,623 |
||||||||||
JP Morgan Mortgage Trust |
||||||||||||
4.513% due 06/25/2036 ~ |
264 |
177 |
||||||||||
5.624% due 02/25/2036 ~ |
744 |
504 |
||||||||||
5.635% due 01/25/2037 ~ |
335 |
282 |
||||||||||
6.258% due 10/25/2035 ~ |
8 |
7 |
||||||||||
Lehman Mortgage Trust |
||||||||||||
6.000% due 07/25/2037 |
28 |
25 |
||||||||||
Lehman XS Trust |
||||||||||||
4.893% due 06/25/2047 • |
1,218 |
1,248 |
||||||||||
MASTR Alternative Loan Trust |
||||||||||||
6.750% due 07/25/2036 |
2,815 |
974 |
||||||||||
Merrill Lynch Mortgage Investors Trust |
||||||||||||
4.273% due 03/25/2036 ~ |
1,630 |
790 |
||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust |
||||||||||||
3.708% due 05/15/2046 ~ |
1,592 |
1,495 |
||||||||||
Morgan Stanley Capital Trust |
||||||||||||
6.312% due 12/15/2036 •(j) |
8,125 |
834 |
||||||||||
Natixis Commercial Mortgage Securities Trust |
||||||||||||
3.790% due 11/15/2032 ~(j) |
7,797 |
7,056 |
||||||||||
3.790% due 11/15/2032 ~ |
849 |
802 |
||||||||||
New Orleans Hotel Trust |
||||||||||||
6.034% due 04/15/2032 • |
2,200 |
2,106 |
||||||||||
NYO Commercial Mortgage Trust |
||||||||||||
5.607% due 11/15/2038 •(j) |
1,000 |
982 |
||||||||||
7.057% due 11/15/2038 • |
2,500 |
2,377 |
||||||||||
RBSSP Resecuritization Trust |
||||||||||||
4.673% due 10/27/2036 • |
3,609 |
1,094 |
||||||||||
5.092% due 08/27/2037 • |
8,000 |
3,690 |
||||||||||
Residential Accredit Loans, Inc. Trust |
||||||||||||
4.833% due 08/25/2036 • |
257 |
253 |
||||||||||
4.913% due 05/25/2037 • |
147 |
120 |
||||||||||
6.000% due 08/25/2036 |
250 |
205 |
||||||||||
6.000% due 05/25/2037 |
894 |
708 |
||||||||||
Residential Asset Securitization Trust |
||||||||||||
5.750% due 02/25/2036 |
293 |
107 |
||||||||||
6.000% due 02/25/2037 |
1,474 |
585 |
||||||||||
6.250% due 09/25/2037 |
4,636 |
1,852 |
||||||||||
Residential Funding Mortgage Securities, Inc. Trust |
||||||||||||
4.899% due 02/25/2037 ~ |
1,267 |
830 |
||||||||||
SG Commercial Mortgage Securities Trust |
||||||||||||
2.937% due 03/15/2037 |
3,400 |
3,160 |
||||||||||
Structured Adjustable Rate Mortgage Loan Trust |
||||||||||||
4.529% due 01/25/2036 ~ |
3,646 |
2,023 |
||||||||||
5.166% due 07/25/2035 ~ |
706 |
599 |
||||||||||
5.660% due 11/25/2036 ~ |
1,820 |
1,377 |
||||||||||
Structured Asset Mortgage Investments Trust |
||||||||||||
4.573% due 08/25/2036 • |
63 |
55 |
||||||||||
| See Accompanying Notes | SEMIANNUAL REPORT |
| | DECEMBER 31, 2024 | 23 |
Schedule of Investments |
PIMCO Corporate & Income Opportunity Fund |
(Cont.) |
24 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
December 31, 2024 |
(Unaudited) |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
SHORT-TERM INSTRUMENTS 2.0% |
||||||||||||
U.S. TREASURY BILLS 2.0% |
||||||||||||
4.538% due 01/16/2025 - 02/06/2025 (e)(f)(j)(m) |
$ |
41,164 |
$ |
41,005 |
||||||||
Total Short-Term Instruments (Cost $40,997) |
41,005 |
|||||||||||
Total Investments in Securities (Cost $2,216,635) |
1,985,722 |
|||||||||||
SHARES |
||||||||||||
INVESTMENTS IN AFFILIATES 16.7% |
||||||||||||
SHORT-TERM INSTRUMENTS 16.7% |
||||||||||||
CENTRAL FUNDS USED FOR CASH MANAGEMENT PURPOSES 16.7% |
||||||||||||
PIMCO Short-Term Floating NAV Portfolio III |
35,559,699 |
346,245 |
||||||||||
Total Short-Term Instruments (Cost $346,016) |
346,245 |
|||||||||||
Total Investments in Affiliates (Cost $346,016) |
346,245 |
|||||||||||
Total Investments 112.7% (Cost $2,562,651) |
$ |
2,331,967 |
||||||||||
Financial Derivative Instruments (k)(l) (0.1)% |
||||||||||||
(Cost or Premiums, net $(17,325)) |
(1,210 |
) | ||||||||||
Other Assets and Liabilities, net (12.6)% |
(261,790 |
) | ||||||||||
Net Assets Applicable to Common Shareholders 100.0% |
$ |
2,068,967 |
||||||||||
NOTES TO SCHEDULE OF INVESTMENTS:
* |
A zero balance may reflect actual amounts rounding to less than one thousand. |
^ |
Security is in default. |
« |
Security valued using significant unobservable inputs (Level 3). |
µ |
All or a portion of this amount represents unfunded loan commitments. The interest rate for the unfunded portion will be determined at the time of funding. See Note 4, Securities and Other Investments, in the Notes to Financial Statements for more information regarding unfunded loan commitments. |
~ |
Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description. |
• |
Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description. |
þ |
Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end. |
(a) |
Security is an Interest Only (“IO”) or IO Strip. |
(b) |
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) |
Security becomes interest bearing at a future date. |
(h) |
Perpetual maturity; date shown, if applicable, represents next contractual call date. |
| See Accompanying Notes | SEMIANNUAL REPORT |
| | DECEMBER 31, 2024 | 25 |
Schedule of Investments |
PIMCO Corporate & Income Opportunity Fund |
(Cont.) |
(i) RESTRICTED SECURITIES:
Issuer Description |
Acquisition Date |
Cost |
Market Value |
Market Value as Percentage of Net Assets Applicable to Common Shareholders |
||||||||||||
Amsurg Equity |
11/02/2023 - 11/06/2023 |
$ |
53,141 |
$ |
58,269 |
2.82 |
% | |||||||||
Clover Holdings, Inc. |
12/09/2024 |
568 |
776 |
0.04 |
||||||||||||
Drillco Holding Lux SA |
06/08/2023 |
1,523 |
1,916 |
0.09 |
||||||||||||
Intelsat Emergence SA |
06/19/2017 - 02/23/2024 |
31,412 |
15,207 |
0.74 |
||||||||||||
MNEQ Holdings, Inc. |
03/16/2023 - 03/29/2023 |
97 |
35 |
0.00 |
||||||||||||
Steinhoff International Holdings NV |
06/30/2023 - 10/30/2023 |
0 |
0 |
0.00 |
||||||||||||
Syniverse Holdings, Inc. |
05/12/2022 - 11/30/2024 |
6,262 |
6,288 |
0.30 |
||||||||||||
West Marine |
09/12/2023 |
187 |
82 |
0.00 |
||||||||||||
Westmoreland Mining Holdings |
07/29/2015 - 03/26/2019 |
1,161 |
50 |
0.00 |
||||||||||||
Westmoreland Mining LLC |
06/30/2023 |
299 |
158 |
0.01 |
||||||||||||
$ |
94,650 |
$ |
82,781 |
4.00 |
% | |||||||||||
BORROWINGS AND OTHER FINANCING TRANSACTIONS
REVERSE REPURCHASE AGREEMENTS:
Counterparty |
Borrowing Rate (1) |
Settlement Date |
Maturity Date |
Amount Borrowed (1) |
Payable for Reverse Repurchase Agreements |
|||||||||||||||||
BOS |
5.370 |
% |
01/03/2025 |
05/02/2025 |
$ |
(427 |
) |
$ |
(427 |
) | ||||||||||||
5.460 |
12/05/2024 |
01/03/2025 |
(829 |
) |
(832 |
) | ||||||||||||||||
BPS |
3.220 |
12/18/2024 |
TBD |
(2) |
EUR |
(3,747 |
) |
(3,887 |
) | |||||||||||||
5.170 |
10/29/2024 |
01/29/2025 |
$ |
(3,795 |
) |
(3,830 |
) | |||||||||||||||
5.260 |
11/18/2024 |
05/16/2025 |
(11,066 |
) |
(11,140 |
) | ||||||||||||||||
BRC |
2.000 |
12/20/2024 |
TBD |
(2) |
(4,058 |
) |
(4,061 |
) | ||||||||||||||
BYR |
4.840 |
12/17/2024 |
03/18/2025 |
(4,879 |
) |
(4,890 |
) | |||||||||||||||
4.960 |
11/19/2024 |
02/19/2025 |
(9,445 |
) |
(9,504 |
) | ||||||||||||||||
4.960 |
12/17/2024 |
03/18/2025 |
(153 |
) |
(153 |
) | ||||||||||||||||
CDC |
4.880 |
12/16/2024 |
04/15/2025 |
(6,718 |
) |
(6,734 |
) | |||||||||||||||
4.920 |
11/19/2024 |
02/19/2025 |
(1,952 |
) |
(1,963 |
) | ||||||||||||||||
5.010 |
10/23/2024 |
02/20/2025 |
(2,644 |
) |
(2,671 |
) | ||||||||||||||||
5.010 |
10/28/2024 |
01/27/2025 |
(4,864 |
) |
(4,909 |
) | ||||||||||||||||
5.010 |
12/16/2024 |
04/15/2025 |
(23,475 |
) |
(23,532 |
) | ||||||||||||||||
5.010 |
12/30/2024 |
04/15/2025 |
(558 |
) |
(558 |
) | ||||||||||||||||
5.030 |
10/23/2024 |
01/23/2025 |
(8,855 |
) |
(8,942 |
) | ||||||||||||||||
5.130 |
10/28/2024 |
01/27/2025 |
(5,049 |
) |
(5,097 |
) | ||||||||||||||||
DEU |
5.090 |
11/13/2024 |
02/13/2025 |
(1,315 |
) |
(1,324 |
) | |||||||||||||||
5.300 |
11/14/2024 |
01/28/2025 |
(6,500 |
) |
(6,547 |
) | ||||||||||||||||
IND |
4.910 |
12/17/2024 |
03/17/2025 |
(56 |
) |
(56 |
) | |||||||||||||||
5.330 |
09/09/2024 |
03/06/2025 |
(17,765 |
) |
(18,067 |
) | ||||||||||||||||
5.380 |
09/30/2024 |
02/18/2025 |
(7,259 |
) |
(7,361 |
) | ||||||||||||||||
5.540 |
10/07/2024 |
01/07/2025 |
(607 |
) |
(616 |
) | ||||||||||||||||
MSB |
5.160 |
10/29/2024 |
04/28/2025 |
(11,398 |
) |
(11,512 |
) | |||||||||||||||
5.260 |
10/29/2024 |
04/28/2025 |
(7,247 |
) |
(7,321 |
) | ||||||||||||||||
5.310 |
10/29/2024 |
04/28/2025 |
(710 |
) |
(718 |
) | ||||||||||||||||
5.360 |
10/29/2024 |
04/28/2025 |
(3,174 |
) |
(3,207 |
) | ||||||||||||||||
MYI |
2.000 |
12/20/2024 |
TBD |
(2) |
(428 |
) |
(429 |
) | ||||||||||||||
NOM |
4.200 |
12/20/2024 |
TBD |
(2) |
(1,253 |
) |
(1,255 |
) | ||||||||||||||
4.300 |
12/20/2024 |
TBD |
(2) |
(10,242 |
) |
(10,258 |
) | |||||||||||||||
SOG |
2.500 |
12/18/2024 |
TBD |
(2) |
EUR |
(1,383 |
) |
(1,434 |
) | |||||||||||||
4.940 |
11/18/2024 |
02/18/2025 |
$ |
(1,076 |
) |
(1,083 |
) | |||||||||||||||
4.940 |
12/17/2024 |
02/18/2025 |
(1,179 |
) |
(1,182 |
) | ||||||||||||||||
5.100 |
10/09/2024 |
01/09/2025 |
(22,459 |
) |
(22,729 |
) | ||||||||||||||||
5.100 |
12/17/2024 |
01/09/2025 |
(2,063 |
) |
(2,068 |
) | ||||||||||||||||
5.100 |
12/18/2024 |
01/09/2025 |
(789 |
) |
(791 |
) | ||||||||||||||||
5.180 |
10/16/2024 |
01/15/2025 |
(10,645 |
) |
(10,764 |
) | ||||||||||||||||
5.180 |
11/22/2024 |
01/15/2025 |
(1,216 |
) |
(1,223 |
) | ||||||||||||||||
5.220 |
10/09/2024 |
01/09/2025 |
(283 |
) |
(286 |
) | ||||||||||||||||
UBS |
3.070 |
12/18/2024 |
TBD |
(2) |
EUR |
(5,900 |
) |
(6,119 |
) | |||||||||||||
3.150 |
12/18/2024 |
TBD |
(2) |
(1,538 |
) |
(1,595 |
) | |||||||||||||||
3.172 |
12/20/2024 |
03/20/2025 |
(11,012 |
) |
(11,420 |
) | ||||||||||||||||
Total Reverse Repurchase Agreements |
$ |
(222,495 |
) | |||||||||||||||||||
26 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
December 31, 2024 |
(Unaudited) |
BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY
The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral pledged/(received) as of December 31, 2024:
Counterparty |
Repurchase Agreement Proceeds to be Received |
Payable for Reverse Repurchase Agreements |
Payable for Sale-Buyback Transactions |
Total Borrowings and Other Financing Transactions |
Collateral Pledged/(Received) |
Net Exposure (3) |
||||||||||||||||||
Global/Master Repurchase Agreement |
||||||||||||||||||||||||
BOS |
$ |
0 |
$ |
(1,259 |
) |
$ |
0 |
$ |
(1,259 |
) |
$ |
1,005 |
$ |
(254 |
) | |||||||||
BPS |
0 |
(18,857 |
) |
0 |
(18,857 |
) |
21,556 |
2,699 |
||||||||||||||||
BRC |
0 |
(4,061 |
) |
0 |
(4,061 |
) |
4,599 |
538 |
||||||||||||||||
BYR |
0 |
(14,547 |
) |
0 |
(14,547 |
) |
16,287 |
1,740 |
||||||||||||||||
CDC |
0 |
(54,406 |
) |
0 |
(54,406 |
) |
60,685 |
6,279 |
||||||||||||||||
DEU |
0 |
(7,871 |
) |
0 |
(7,871 |
) |
8,277 |
406 |
||||||||||||||||
IND |
0 |
(26,100 |
) |
0 |
(26,100 |
) |
30,226 |
4,126 |
||||||||||||||||
MSB |
0 |
(22,758 |
) |
0 |
(22,758 |
) |
26,767 |
4,009 |
||||||||||||||||
MYI |
0 |
(429 |
) |
0 |
(429 |
) |
422 |
(7 |
) | |||||||||||||||
NOM |
0 |
(11,513 |
) |
0 |
(11,513 |
) |
11,884 |
371 |
||||||||||||||||
SOG |
0 |
(41,560 |
) |
0 |
(41,560 |
) |
45,429 |
3,869 |
||||||||||||||||
UBS |
0 |
(19,134 |
) |
0 |
(19,134 |
) |
21,642 |
2,508 |
||||||||||||||||
Total Borrowings and Other Financing Transactions |
$ |
0 |
$ |
(222,495 |
) |
$ |
0 |
|||||||||||||||||
CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS
Remaining Contractual Maturity of the Agreements
Overnight and Continuous |
Up to 30 days |
31-90 days |
Greater Than 90 days |
Total |
||||||||||||||||
Reverse Repurchase Agreements |
||||||||||||||||||||
Corporate Bonds & Notes |
$ |
0 |
$ |
(67,802 |
) |
$ |
(59,674 |
) |
$ |
(40,796 |
) |
$ |
(168,272 |
) | ||||||
Non-Agency Mortgage-Backed Securities |
0 |
(832 |
) |
0 |
(33,898 |
) |
(34,730 |
) | ||||||||||||
Sovereign Issues |
0 |
0 |
0 |
(19,066 |
) |
(19,066 |
) | |||||||||||||
Total Borrowings |
$ |
0 |
$ |
(68,634 |
) |
$ |
(59,674 |
) |
$ |
(93,760 |
) |
$ |
(222,068 |
) | ||||||
Payable for reverse repurchase agreements (4) |
$ |
(222,068 |
) | |||||||||||||||||
(j) |
Securities with an aggregate market value of $247,800 and cash of $1,439 have been pledged as collateral under the terms of the above master agreements as of December 31, 2024. |
(1) |
The average amount of borrowings outstanding during the period ended December 31, 2024 was $(303,086) at a weighted average interest rate of 5.324%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. |
(2) |
Open maturity reverse repurchase agreement. |
(3) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information. |
(4) |
Unsettled reverse repurchase agreements liability of $(427) is outstanding at period end. |
(k) FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED
SWAP AGREEMENTS:
CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION
(1)
Reference Entity |
Fixed Receive Rate |
Payment Frequency |
Maturity Date |
Implied Credit Spread at December 31, 2024 (2) |
Notional Amount (3) |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Market Value (4) |
Variation Margin |
|||||||||||||||||||||||||||||||
Asset |
Liability |
|||||||||||||||||||||||||||||||||||||||
AT&T, Inc. |
1.000 |
% |
Quarterly |
06/20/2028 |
0.499 |
% |
$ 900 |
$ |
(9 |
) |
$ |
24 |
$ |
15 |
$ |
0 |
$ |
0 |
||||||||||||||||||||||
Boeing Co. |
1.000 |
Quarterly |
06/20/2026 |
0.564 |
1,400 |
5 |
4 |
9 |
0 |
(1 |
) | |||||||||||||||||||||||||||||
Boeing Co. |
1.000 |
Quarterly |
12/20/2029 |
1.093 |
6,500 |
(119 |
) |
95 |
(24 |
) |
0 |
(3 |
) | |||||||||||||||||||||||||||
$ |
(123 |
) |
$ |
123 |
$ |
0 |
$ |
0 |
$ |
(4 |
) | |||||||||||||||||||||||||||||
See Accompanying Notes |
SEMIANNUAL REPORT |
| |
DECEMBER 31, 2024 |
27 |
Schedule of Investments |
PIMCO Corporate & Income Opportunity Fund |
(Cont.) |
INTEREST RATE SWAPS
Pay/Receive Floating Rate |
Floating Rate Index |
Fixed Rate |
Payment Frequency |
Maturity Date |
Notional Amount |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Market Value |
Variation Margin |
|||||||||||||||||||||||||||||||
Asset |
Liability |
|||||||||||||||||||||||||||||||||||||||
Pay |
1-Day GBP-SONIO Compounded-OIS |
4.000 |
% |
Annual |
09/18/2029 |
GBP |
50,900 |
$ |
868 |
$ |
(1,195 |
) |
$ |
(327 |
) |
$ |
140 |
$ |
0 |
|||||||||||||||||||||
Receive |
1-Day GBP-SONIO Compounded-OIS |
0.750 |
Annual |
09/21/2032 |
15,700 |
1,524 |
2,900 |
4,424 |
0 |
(46 |
) | |||||||||||||||||||||||||||||
Receive |
1-Day GBP-SONIO Compounded-OIS |
2.000 |
Annual |
03/15/2033 |
8,000 |
891 |
759 |
1,650 |
0 |
(27 |
) | |||||||||||||||||||||||||||||
Receive |
1-Day GBP-SONIO Compounded-OIS |
0.750 |
Annual |
09/21/2052 |
3,900 |
800 |
2,013 |
2,813 |
0 |
(11 |
) | |||||||||||||||||||||||||||||
Receive |
1-Day USD-SOFR Compounded-OIS |
2.350 |
Annual |
01/17/2025 |
$ |
29,400 |
3 |
860 |
863 |
4 |
0 |
|||||||||||||||||||||||||||||
Pay |
1-Day USD-SOFR Compounded-OIS |
2.750 |
Semi-Annual |
06/17/2025 |
8,580 |
135 |
(214 |
) |
(79 |
) |
0 |
(2 |
) | |||||||||||||||||||||||||||
Receive |
1-Day USD-SOFR Compounded-OIS |
2.300 |
Annual |
01/17/2026 |
4,600 |
2 |
219 |
221 |
1 |
0 |
||||||||||||||||||||||||||||||
Pay |
1-Day USD-SOFR Compounded-OIS |
2.250 |
Semi-Annual |
06/15/2026 |
44,400 |
722 |
(2,116 |
) |
(1,394 |
) |
0 |
(15 |
) | |||||||||||||||||||||||||||
Receive |
1-Day USD-SOFR Compounded-OIS |
0.500 |
Semi-Annual |
06/16/2026 |
35,000 |
328 |
1,655 |
1,983 |
13 |
0 |
||||||||||||||||||||||||||||||
Receive |
1-Day USD-SOFR Compounded-OIS |
1.360 |
Semi-Annual |
02/15/2027 |
12,450 |
(2 |
) |
774 |
772 |
5 |
0 |
|||||||||||||||||||||||||||||
Pay |
1-Day USD-SOFR Compounded-OIS |
1.600 |
Semi-Annual |
02/15/2027 |
49,800 |
(123 |
) |
(2,677 |
) |
(2,800 |
) |
0 |
(18 |
) | ||||||||||||||||||||||||||
Receive |
1-Day USD-SOFR Compounded-OIS |
1.450 |
Semi-Annual |
02/17/2027 |
20,600 |
(5 |
) |
1,234 |
1,229 |
8 |
0 |
|||||||||||||||||||||||||||||
Pay |
1-Day USD-SOFR Compounded-OIS |
4.250 |
Annual |
02/17/2027 |
90,000 |
(893 |
) |
502 |
(391 |
) |
0 |
(15 |
) | |||||||||||||||||||||||||||
Receive |
1-Day USD-SOFR Compounded-OIS |
1.420 |
Semi-Annual |
02/24/2027 |
6,000 |
(2 |
) |
363 |
361 |
2 |
0 |
|||||||||||||||||||||||||||||
Pay |
1-Day USD-SOFR Compounded-OIS |
1.650 |
Semi-Annual |
02/24/2027 |
19,900 |
(51 |
) |
(1,039 |
) |
(1,090 |
) |
0 |
(6 |
) | ||||||||||||||||||||||||||
Pay |
1-Day USD-SOFR Compounded-OIS |
2.500 |
Semi-Annual |
12/20/2027 |
73,900 |
280 |
(4,133 |
) |
(3,853 |
) |
0 |
(43 |
) | |||||||||||||||||||||||||||
Pay |
1-Day USD-SOFR Compounded-OIS |
2.000 |
Annual |
12/21/2027 |
83,700 |
(7,417 |
) |
2,546 |
(4,871 |
) |
0 |
(39 |
) | |||||||||||||||||||||||||||
Receive |
1-Day USD-SOFR Compounded-OIS |
1.420 |
Semi-Annual |
08/17/2028 |
47,100 |
(11 |
) |
4,643 |
4,632 |
31 |
0 |
|||||||||||||||||||||||||||||
Receive |
1-Day USD-SOFR Compounded-OIS |
1.380 |
Semi-Annual |
08/24/2028 |
71,000 |
(17 |
) |
7,090 |
7,073 |
45 |
0 |
|||||||||||||||||||||||||||||
Pay |
1-Day USD-SOFR Compounded-OIS |
3.750 |
Annual |
12/20/2028 |
175,700 |
1,523 |
(3,495 |
) |
(1,972 |
) |
0 |
(86 |
) | |||||||||||||||||||||||||||
Pay |
1-Day USD-SOFR Compounded-OIS |
3.000 |
Semi-Annual |
06/19/2029 |
263,700 |
8,727 |
(23,136 |
) |
(14,409 |
) |
0 |
(178 |
) | |||||||||||||||||||||||||||
Receive |
1-Day USD-SOFR Compounded-OIS |
3.750 |
Annual |
06/20/2029 |
38,700 |
(732 |
) |
1,482 |
750 |
19 |
0 |
|||||||||||||||||||||||||||||
Pay |
1-Day USD-SOFR Compounded-OIS |
4.500 |
Annual |
12/21/2029 |
384,000 |
353 |
7,477 |
7,830 |
0 |
(149 |
) | |||||||||||||||||||||||||||||
Receive |
1-Day USD-SOFR Compounded-OIS |
1.000 |
Semi-Annual |
12/16/2030 |
3,600 |
(60 |
) |
695 |
635 |
3 |
0 |
|||||||||||||||||||||||||||||
Receive |
1-Day USD-SOFR Compounded-OIS |
1.160 |
Semi-Annual |
04/12/2031 |
6,100 |
(1 |
) |
1,116 |
1,115 |
5 |
0 |
|||||||||||||||||||||||||||||
Receive |
1-Day USD-SOFR Compounded-OIS |
0.750 |
Semi-Annual |
06/16/2031 |
19,700 |
1,152 |
2,862 |
4,014 |
19 |
0 |
||||||||||||||||||||||||||||||
Receive |
1-Day USD-SOFR Compounded-OIS |
1.750 |
Semi-Annual |
12/15/2031 |
97,600 |
(1,365 |
) |
16,646 |
15,281 |
118 |
0 |
|||||||||||||||||||||||||||||
Receive |
1-Day USD-SOFR Compounded-OIS |
1.350 |
Semi-Annual |
02/09/2032 |
128,200 |
870 |
22,798 |
23,668 |
144 |
0 |
||||||||||||||||||||||||||||||
Pay |
1-Day USD-SOFR Compounded-OIS |
2.000 |
Annual |
12/21/2032 |
69,800 |
(9,546 |
) |
(271 |
) |
(9,817 |
) |
0 |
(82 |
) | ||||||||||||||||||||||||||
Pay |
1-Day USD-SOFR Compounded-OIS |
3.500 |
Semi-Annual |
06/19/2044 |
161,500 |
(4,025 |
) |
(15,376 |
) |
(19,401 |
) |
0 |
(241 |
) | ||||||||||||||||||||||||||
Receive |
1-Day USD-SOFR Compounded-OIS |
2.250 |
Semi-Annual |
12/11/2049 |
2,200 |
(3 |
) |
712 |
709 |
3 |
0 |
|||||||||||||||||||||||||||||
Receive |
1-Day USD-SOFR Compounded-OIS |
2.000 |
Semi-Annual |
01/15/2050 |
19,800 |
(137 |
) |
7,297 |
7,160 |
24 |
0 |
|||||||||||||||||||||||||||||
Receive |
1-Day USD-SOFR Compounded-OIS |
1.750 |
Semi-Annual |
01/22/2050 |
28,200 |
(69 |
) |
11,381 |
11,312 |
35 |
0 |
|||||||||||||||||||||||||||||
Receive |
1-Day USD-SOFR Compounded-OIS |
1.875 |
Semi-Annual |
02/07/2050 |
29,300 |
(114 |
) |
11,245 |
11,131 |
36 |
0 |
|||||||||||||||||||||||||||||
Receive |
1-Day USD-SOFR Compounded-OIS |
2.250 |
Semi-Annual |
03/12/2050 |
9,800 |
(29 |
) |
3,143 |
3,114 |
12 |
0 |
|||||||||||||||||||||||||||||
Receive |
1-Day USD-SOFR Compounded-OIS |
1.250 |
Semi-Annual |
12/16/2050 |
17,000 |
1,539 |
6,723 |
8,262 |
21 |
0 |
||||||||||||||||||||||||||||||
Receive |
1-Day USD-SOFR Compounded-OIS |
1.700 |
Semi-Annual |
02/01/2052 |
144,400 |
962 |
59,848 |
60,810 |
191 |
0 |
||||||||||||||||||||||||||||||
Pay |
1-Year BRL-CDI |
11.157 |
Maturity |
01/02/2025 |
BRL |
2,200 |
0 |
(10 |
) |
(10 |
) |
0 |
0 |
|||||||||||||||||||||||||||
Pay |
1-Year BRL-CDI |
11.177 |
Maturity |
01/02/2025 |
1,500 |
0 |
(7 |
) |
(7 |
) |
0 |
0 |
||||||||||||||||||||||||||||
Pay |
1-Year BRL-CDI |
11.367 |
Maturity |
01/02/2025 |
1,800 |
0 |
(7 |
) |
(7 |
) |
0 |
0 |
||||||||||||||||||||||||||||
Pay |
1-Year BRL-CDI |
12.018 |
Maturity |
01/02/2025 |
4,900 |
0 |
(6 |
) |
(6 |
) |
0 |
0 |
||||||||||||||||||||||||||||
Pay |
1-Year BRL-CDI |
12.098 |
Maturity |
01/02/2025 |
8,200 |
0 |
(7 |
) |
(7 |
) |
0 |
0 |
||||||||||||||||||||||||||||
Pay |
1-Year BRL-CDI |
12.158 |
Maturity |
01/02/2025 |
4,100 |
0 |
(3 |
) |
(3 |
) |
0 |
0 |
||||||||||||||||||||||||||||
Pay |
1-Year BRL-CDI |
12.163 |
Maturity |
01/02/2025 |
4,000 |
0 |
(2 |
) |
(2 |
) |
0 |
0 |
||||||||||||||||||||||||||||
Pay |
1-Year BRL-CDI |
12.178 |
Maturity |
01/02/2025 |
8,200 |
0 |
(4 |
) |
(4 |
) |
0 |
0 |
||||||||||||||||||||||||||||
Pay |
1-Year BRL-CDI |
11.250 |
Maturity |
01/04/2027 |
2,600 |
0 |
(37 |
) |
(37 |
) |
0 |
0 |
||||||||||||||||||||||||||||
Pay |
1-Year BRL-CDI |
11.275 |
Maturity |
01/04/2027 |
1,300 |
0 |
(18 |
) |
(18 |
) |
0 |
0 |
||||||||||||||||||||||||||||
Pay |
1-Year BRL-CDI |
11.290 |
Maturity |
01/04/2027 |
1,300 |
0 |
(18 |
) |
(18 |
) |
0 |
0 |
||||||||||||||||||||||||||||
Pay |
1-Year BRL-CDI |
11.731 |
Maturity |
01/04/2027 |
700 |
0 |
(8 |
) |
(8 |
) |
0 |
0 |
||||||||||||||||||||||||||||
Pay |
1-Year BRL-CDI |
11.746 |
Maturity |
01/04/2027 |
3,000 |
0 |
(34 |
) |
(34 |
) |
0 |
0 |
||||||||||||||||||||||||||||
Pay |
1-Year BRL-CDI |
11.901 |
Maturity |
01/04/2027 |
7,100 |
0 |
(74 |
) |
(74 |
) |
0 |
0 |
||||||||||||||||||||||||||||
Pay |
6-Month AUD-BBR-BBSW |
3.500 |
Semi-Annual |
06/17/2025 |
AUD |
13,400 |
332 |
(379 |
) |
(47 |
) |
0 |
(1 |
) | ||||||||||||||||||||||||||
Receive |
6-Month EUR-EURIBOR |
0.150 |
Annual |
03/18/2030 |
EUR |
21,400 |
392 |
2,463 |
2,855 |
0 |
(48 |
) | ||||||||||||||||||||||||||||
Receive |
6-Month EUR-EURIBOR |
0.250 |
Annual |
09/21/2032 |
17,200 |
1,607 |
1,143 |
2,750 |
0 |
(41 |
) | |||||||||||||||||||||||||||||
Receive |
6-Month EUR-EURIBOR |
1.750 |
Annual |
03/15/2033 |
1,900 |
149 |
(72 |
) |
77 |
0 |
(5 |
) | ||||||||||||||||||||||||||||
Receive |
6-Month EUR-EURIBOR |
0.500 |
Annual |
09/21/2052 |
8,100 |
702 |
2,267 |
2,969 |
0 |
(28 |
) | |||||||||||||||||||||||||||||
Receive (5) |
6-Month EUR-EURIBOR |
0.830 |
Annual |
12/09/2052 |
39,800 |
480 |
1,614 |
2,094 |
0 |
(46 |
) | |||||||||||||||||||||||||||||
$ |
(261 |
) |
$ |
132,132 |
$ |
131,871 |
$ |
879 |
$ |
(1,127 |
) | |||||||||||||||||||||||||||||
Total Swap Agreements |
$ |
(384 |
) |
$ |
132,255 |
$ |
131,871 |
$ |
879 |
$ |
(1,131 |
) | ||||||||||||||||||||||||||||
28 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
December 31, 2024 |
(Unaudited) |
FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED SUMMARY
The following is a summary of the market value and variation margin of Exchange-Traded or Centrally Cleared Financial Derivative Instruments as of December 31, 2024:
Financial Derivative Assets |
Financial Derivative Liabilities |
|||||||||||||||||||||||||||||||||||
Market Value |
Variation Margin Asset |
Total |
Market Value |
Variation Margin Liability |
Total |
|||||||||||||||||||||||||||||||
Purchased Options |
Futures |
Swap Agreements |
Written Options |
Futures |
Swap Agreements |
|||||||||||||||||||||||||||||||
Total Exchange-Traded or Centrally Cleared |
$ |
0 |
$ |
0 |
$ |
879 |
$ |
879 |
$ |
0 |
$ |
0 |
$ |
(1,131 |
) |
$ |
(1,131 |
) | ||||||||||||||||||
Cash of $38,324 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2024. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information.
(1) |
If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) |
Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(3) |
The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(4) |
The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(5) |
This instrument has a forward starting effective date. See Note 2, Securities Transactions and Investment Income, in the Notes to Financial Statements for further information. |
(l) FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER
FORWARD FOREIGN CURRENCY CONTRACTS:
Counterparty |
Settlement Month |
Currency to be Delivered |
Currency to be Received |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||
Asset |
Liability |
|||||||||||||||||||||||
BOA |
01/2025 |
$ |
1,435 |
GBP |
1,129 |
$ |
0 |
$ |
(22 |
) | ||||||||||||||
02/2025 |
HKD |
71,676 |
$ |
9,225 |
0 |
(9 |
) | |||||||||||||||||
BPS |
01/2025 |
BRL |
6,872 |
1,222 |
110 |
0 |
||||||||||||||||||
01/2025 |
IDR |
350,405 |
21 |
0 |
0 |
|||||||||||||||||||
01/2025 |
$ |
1,110 |
BRL |
6,872 |
3 |
0 |
||||||||||||||||||
01/2025 |
6,344 |
CAD |
9,116 |
1 |
0 |
|||||||||||||||||||
01/2025 |
5,175 |
EUR |
4,911 |
0 |
(86 |
) | ||||||||||||||||||
03/2025 |
22 |
IDR |
351,468 |
0 |
0 |
|||||||||||||||||||
BRC |
01/2025 |
CAD |
7,594 |
$ |
5,394 |
108 |
0 |
|||||||||||||||||
01/2025 |
GBP |
12,030 |
15,144 |
86 |
0 |
|||||||||||||||||||
01/2025 |
TRY |
1,319 |
35 |
0 |
(2 |
) | ||||||||||||||||||
01/2025 |
$ |
3,981 |
EUR |
3,764 |
0 |
(80 |
) | |||||||||||||||||
01/2025 |
1,368 |
TRY |
51,297 |
52 |
0 |
|||||||||||||||||||
02/2025 |
TRY |
2,680 |
$ |
71 |
0 |
(2 |
) | |||||||||||||||||
02/2025 |
$ |
23,112 |
TRY |
875,551 |
472 |
0 |
||||||||||||||||||
03/2025 |
2,602 |
99,599 |
31 |
0 |
||||||||||||||||||||
CBK |
01/2025 |
CAD |
1,689 |
$ |
1,203 |
28 |
0 |
|||||||||||||||||
01/2025 |
DOP |
32,345 |
533 |
5 |
0 |
|||||||||||||||||||
01/2025 |
IDR |
426,780 |
26 |
0 |
0 |
|||||||||||||||||||
01/2025 |
$ |
2,311 |
EUR |
2,195 |
0 |
(37 |
) | |||||||||||||||||
01/2025 |
28 |
IDR |
440,441 |
0 |
(1 |
) | ||||||||||||||||||
02/2025 |
DOP |
76,682 |
$ |
1,260 |
10 |
0 |
||||||||||||||||||
03/2025 |
$ |
26 |
IDR |
428,035 |
0 |
0 |
||||||||||||||||||
DUB |
02/2025 |
PEN |
6,640 |
$ |
1,773 |
9 |
0 |
|||||||||||||||||
03/2025 |
7,404 |
1,946 |
0 |
(20 |
) | |||||||||||||||||||
FAR |
01/2025 |
AUD |
303 |
197 |
9 |
0 |
||||||||||||||||||
01/2025 |
BRL |
6,895 |
1,113 |
0 |
(3 |
) | ||||||||||||||||||
01/2025 |
$ |
1,121 |
BRL |
6,895 |
0 |
(4 |
) | |||||||||||||||||
02/2025 |
BRL |
6,931 |
$ |
1,121 |
5 |
0 |
||||||||||||||||||
| See Accompanying Notes | SEMIANNUAL REPORT |
| | DECEMBER 31, 2024 | 29 |
Schedule of Investments |
PIMCO Corporate & Income Opportunity Fund |
(Cont.) |
Counterparty |
Settlement Month |
Currency to be Delivered |
Currency to be Received |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||
Asset |
Liability |
|||||||||||||||||||||||
GLM |
01/2025 |
DOP |
38,646 |
$ |
635 |
$ |
4 |
$ |
0 |
|||||||||||||||
01/2025 |
$ |
65 |
IDR |
1,031,721 |
0 |
(1 |
) | |||||||||||||||||
02/2025 |
DOP |
284,699 |
$ |
4,674 |
36 |
0 |
||||||||||||||||||
03/2025 |
458,999 |
7,484 |
27 |
0 |
||||||||||||||||||||
JPM |
02/2025 |
$ |
642 |
TRY |
25,862 |
67 |
0 |
|||||||||||||||||
05/2025 |
4,884 |
215,279 |
516 |
0 |
||||||||||||||||||||
MBC |
01/2025 |
EUR |
226,920 |
$ |
239,087 |
3,920 |
0 |
|||||||||||||||||
01/2025 |
$ |
4,506 |
EUR |
4,272 |
0 |
(79 |
) | |||||||||||||||||
02/2025 |
HKD |
62,505 |
$ |
8,048 |
0 |
(5 |
) | |||||||||||||||||
MYI |
01/2025 |
$ |
23 |
IDR |
366,114 |
0 |
0 |
|||||||||||||||||
02/2025 |
2,075 |
TRY |
78,540 |
40 |
0 |
|||||||||||||||||||
RBC |
03/2025 |
198 |
MXN |
4,052 |
0 |
(6 |
) | |||||||||||||||||
UAG |
02/2025 |
246 |
TRY |
10,052 |
28 |
0 |
||||||||||||||||||
Total Forward Foreign Currency Contracts |
$ |
5,567 |
$ |
(357 |
) | |||||||||||||||||||
SWAP AGREEMENTS:
CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION
(1)
Counterparty |
Reference Entity |
Fixed Receive Rate |
Payment Frequency |
Maturity Date |
Implied Credit Spread at December 31, 2024 (2) |
Notional Amount (3) |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Swap Agreements, at Value (4) |
|||||||||||||||||||||||||||||||||
Asset |
Liability |
|||||||||||||||||||||||||||||||||||||||||
BOA |
Panama Government International Bond |
1.000 |
% |
Quarterly |
12/20/2028 |
1.718 |
% |
$ |
8,500 |
$ |
(351 |
) |
$ |
136 |
$ |
0 |
$ |
(215 |
) | |||||||||||||||||||||||
BRC |
Panama Government International Bond |
1.000 |
Quarterly |
12/20/2028 |
1.718 |
9,500 |
(392 |
) |
151 |
0 |
(241 |
) | ||||||||||||||||||||||||||||||
Turkey Government International Bond |
1.000 |
Quarterly |
03/20/2025 |
0.608 |
1,100 |
0 |
2 |
2 |
0 |
|||||||||||||||||||||||||||||||||
CBK |
Israel Government International Bond |
1.000 |
Quarterly |
06/20/2027 |
0.741 |
2,000 |
(10 |
) |
23 |
13 |
0 |
|||||||||||||||||||||||||||||||
DUB |
Eskom « |
4.650 |
Quarterly |
06/30/2029 |
0.068 |
7,400 |
0 |
508 |
508 |
0 |
||||||||||||||||||||||||||||||||
GST |
Equinix, Inc. |
5.000 |
Quarterly |
06/20/2027 |
0.869 |
1,000 |
140 |
(42 |
) |
98 |
0 |
|||||||||||||||||||||||||||||||
Israel Government International Bond |
1.000 |
Quarterly |
12/20/2029 |
1.029 |
900 |
(25 |
) |
24 |
0 |
(1 |
) | |||||||||||||||||||||||||||||||
JPM |
Banca Monte Dei Paschi Di |
5.000 |
Quarterly |
06/20/2025 |
0.562 |
EUR |
300 |
(6 |
) |
13 |
7 |
0 |
||||||||||||||||||||||||||||||
Israel Government International Bond |
1.000 |
Quarterly |
12/20/2029 |
1.029 |
$ |
200 |
(6 |
) |
6 |
0 |
0 |
|||||||||||||||||||||||||||||||
MYC |
Israel Government International Bond |
1.000 |
Quarterly |
12/20/2029 |
1.029 |
400 |
(10 |
) |
10 |
0 |
0 |
|||||||||||||||||||||||||||||||
Petroleos Mexicanos |
1.000 |
Quarterly |
12/20/2028 |
4.056 |
2,600 |
(507 |
) |
239 |
0 |
(268 |
) | |||||||||||||||||||||||||||||||
Saudi Arabia Government International Bond |
1.000 |
Quarterly |
06/20/2025 |
0.216 |
500 |
1 |
1 |
2 |
0 |
|||||||||||||||||||||||||||||||||
MYI |
Turkey Government International Bond |
1.000 |
Quarterly |
12/20/2033 |
3.379 |
3,000 |
(597 |
) |
133 |
0 |
(464 |
) | ||||||||||||||||||||||||||||||
$ |
(1,763 |
) |
$ |
1,204 |
$ |
630 |
$ |
(1,189 |
) | |||||||||||||||||||||||||||||||||
CREDIT DEFAULT SWAPS ON CREDIT INDEXES - SELL PROTECTION
(1)
Counterparty |
Index/Tranches |
Fixed Receive Rate |
Payment Frequency |
Maturity Date |
Notional Amount (3) |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Swap Agreements, at Value (4) |
||||||||||||||||||||||||||||
Asset |
Liability |
|||||||||||||||||||||||||||||||||||
BRC |
ABX.HE.AAA.6-2 Index « |
0.110 |
% |
Monthly |
05/25/2046 |
$ |
18,397 |
$ |
(4,824 |
) |
$ |
3,370 |
$ |
0 |
$ |
(1,454 |
) | |||||||||||||||||||
GST |
ABX.HE.AA.6-1 Index « |
0.320 |
Monthly |
07/25/2045 |
6,637 |
(315 |
) |
(178 |
) |
0 |
(493 |
) | ||||||||||||||||||||||||
ABX.HE.AAA.6-2 Index « |
0.110 |
Monthly |
05/25/2046 |
1,556 |
(405 |
) |
282 |
0 |
(123 |
) | ||||||||||||||||||||||||||
MEI |
ABX.HE.AAA.6-2 Index « |
0.110 |
Monthly |
05/25/2046 |
21,443 |
(5,615 |
) |
3,921 |
0 |
(1,694 |
) | |||||||||||||||||||||||||
MYC |
ABX.HE.AAA.6-2 Index « |
0.110 |
Monthly |
05/25/2046 |
23,343 |
(4,019 |
) |
2,174 |
0 |
(1,845 |
) | |||||||||||||||||||||||||
$ |
(15,178 |
) |
$ |
9,569 |
$ |
0 |
$ |
(5,609 |
) | |||||||||||||||||||||||||||
Total Swap Agreements |
$ |
(16,941 |
) |
$ |
10,773 |
$ |
630 |
$ |
(6,798 |
) | ||||||||||||||||||||||||||
30 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
December 31, 2024 |
(Unaudited) |
FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER SUMMARY
The following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral pledged/(received) as of December 31, 2024:
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 |
$ |
0 |
$ |
0 |
$ |
0 |
$ |
0 |
$ |
(31 |
) |
$ |
0 |
$ |
(215 |
) |
$ |
(246 |
) |
$ |
(246 |
) |
$ |
0 |
$ |
(246 |
) | |||||||||||||||||||||
BPS |
114 |
0 |
0 |
114 |
(86 |
) |
0 |
0 |
(86 |
) |
28 |
0 |
28 |
|||||||||||||||||||||||||||||||||||
BRC |
749 |
0 |
2 |
751 |
(84 |
) |
0 |
(1,695 |
) |
(1,779 |
) |
(1,028 |
) |
943 |
(85 |
) | ||||||||||||||||||||||||||||||||
CBK |
43 |
0 |
13 |
56 |
(38 |
) |
0 |
0 |
(38 |
) |
18 |
0 |
18 |
|||||||||||||||||||||||||||||||||||
DUB |
9 |
0 |
508 |
517 |
(20 |
) |
0 |
0 |
(20 |
) |
497 |
(410 |
) |
87 |
||||||||||||||||||||||||||||||||||
FAR |
14 |
0 |
0 |
14 |
(7 |
) |
0 |
0 |
(7 |
) |
7 |
0 |
7 |
|||||||||||||||||||||||||||||||||||
GLM |
67 |
0 |
0 |
67 |
(1 |
) |
0 |
0 |
(1 |
) |
66 |
0 |
66 |
|||||||||||||||||||||||||||||||||||
GST |
0 |
0 |
98 |
98 |
0 |
0 |
(617 |
) |
(617 |
) |
(519 |
) |
618 |
99 |
||||||||||||||||||||||||||||||||||
JPM |
583 |
0 |
7 |
590 |
0 |
0 |
0 |
0 |
590 |
(660 |
) |
(70 |
) | |||||||||||||||||||||||||||||||||||
MBC |
3,920 |
0 |
0 |
3,920 |
(84 |
) |
0 |
0 |
(84 |
) |
3,836 |
(3,094 |
) |
742 |
||||||||||||||||||||||||||||||||||
MEI |
0 |
0 |
0 |
0 |
0 |
0 |
(1,694 |
) |
(1,694 |
) |
(1,694 |
) |
1,435 |
(259 |
) | |||||||||||||||||||||||||||||||||
MYC |
0 |
0 |
2 |
2 |
0 |
0 |
(2,113 |
) |
(2,113 |
) |
(2,111 |
) |
1,970 |
(141 |
) | |||||||||||||||||||||||||||||||||
MYI |
40 |
0 |
0 |
40 |
0 |
0 |
(464 |
) |
(464 |
) |
(424 |
) |
502 |
78 |
||||||||||||||||||||||||||||||||||
RBC |
0 |
0 |
0 |
0 |
(6 |
) |
0 |
0 |
(6 |
) |
(6 |
) |
0 |
(6 |
) | |||||||||||||||||||||||||||||||||
UAG |
28 |
0 |
0 |
28 |
0 |
0 |
0 |
0 |
28 |
0 |
28 |
|||||||||||||||||||||||||||||||||||||
Total Over the Counter |
$ |
5,567 |
$ |
0 |
$ |
630 |
$ |
6,197 |
$ |
(357 |
) |
$ |
0 |
$ |
(6,798 |
) |
$ |
(7,155 |
) |
|||||||||||||||||||||||||||||
(m) |
Securities with an aggregate market value of $5,468 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2024. |
(1) |
If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) |
Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(3) |
The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(4) |
The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(5) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information. |
FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS
The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal and Other Risks, in the Notes to Financial Statements on risks of the Fund.
Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of December 31, 2024:
Derivatives not accounted for as hedging instruments |
||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Exchange Contracts |
Interest Rate Contracts |
Total |
|||||||||||||||||||
Financial Derivative Instruments - Assets |
||||||||||||||||||||||||
Exchange-traded or centrally cleared |
||||||||||||||||||||||||
Swap Agreements |
$ |
0 |
$ |
0 |
$ |
0 |
$ |
0 |
$ |
879 |
$ |
879 |
||||||||||||
Over the counter |
||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ |
0 |
$ |
0 |
$ |
0 |
$ |
5,567 |
$ |
0 |
$ |
5,567 |
||||||||||||
Swap Agreements |
0 |
630 |
0 |
0 |
0 |
630 |
||||||||||||||||||
$ |
0 |
$ |
630 |
$ |
0 |
$ |
5,567 |
$ |
0 |
$ |
6,197 |
|||||||||||||
$ |
0 |
$ |
630 |
$ |
0 |
$ |
5,567 |
$ |
879 |
$ |
7,076 |
|||||||||||||
See Accompanying Notes |
SEMIANNUAL REPORT |
| |
DECEMBER 31, 2024 |
31 |
Schedule of Investments |
PIMCO Corporate & Income Opportunity Fund |
(Cont.) |
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 |
||||||||||||||||||||||||
Swap Agreements |
$ |
0 |
$ |
4 |
$ |
0 |
$ |
0 |
$ |
1,127 |
$ |
1,131 |
||||||||||||
Over the counter |
||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ |
0 |
$ |
0 |
$ |
0 |
$ |
357 |
$ |
0 |
$ |
357 |
||||||||||||
Swap Agreements |
0 |
6,798 |
0 |
0 |
0 |
6,798 |
||||||||||||||||||
$ |
0 |
$ |
6,798 |
$ |
0 |
$ |
357 |
$ |
0 |
$ |
7,155 |
|||||||||||||
$ |
0 |
$ |
6,802 |
$ |
0 |
$ |
357 |
$ |
1,127 |
$ |
8,286 |
|||||||||||||
The effect of Financial Derivative Instruments on the Statements of Operations for the period ended December 31, 2024:
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2024 in valuing the Fund’s assets and liabilities:
Category and Subcategory |
Level 1 |
Level 2 |
Level 3 |
Fair Value at 12/31/2024 |
||||||||||||
Investments in Securities, at Value |
||||||||||||||||
Loan Participations and Assignments |
$ |
3,993 |
$ |
458,223 |
$ |
178,640 |
$ |
640,856 |
||||||||
Corporate Bonds & Notes |
||||||||||||||||
Banking & Finance |
0 |
167,740 |
0 |
167,740 |
||||||||||||
Industrials |
0 |
325,866 |
54,726 |
380,592 |
||||||||||||
Utilities |
0 |
72,678 |
0 |
72,678 |
||||||||||||
Convertible Bonds & Notes |
||||||||||||||||
Industrials |
0 |
4,941 |
0 |
4,941 |
||||||||||||
Municipal Bonds & Notes |
||||||||||||||||
Arizona |
0 |
2,142 |
0 |
2,142 |
||||||||||||
California |
0 |
2,351 |
0 |
2,351 |
||||||||||||
Michigan |
0 |
4,998 |
0 |
4,998 |
||||||||||||
Puerto Rico |
0 |
6,546 |
0 |
6,546 |
||||||||||||
West Virginia |
0 |
7,332 |
0 |
7,332 |
||||||||||||
U.S. Government Agencies |
0 |
38,552 |
8,492 |
47,044 |
||||||||||||
Non-Agency Mortgage-Backed Securities |
0 |
177,443 |
0 |
177,443 |
||||||||||||
Asset-Backed Securities |
||||||||||||||||
CMBS Other |
0 |
22 |
0 |
22 |
||||||||||||
Home Equity Other |
0 |
53,236 |
0 |
53,236 |
||||||||||||
Whole Loan Collateral |
0 |
1,710 |
0 |
1,710 |
||||||||||||
Other ABS |
0 |
74,227 |
7,133 |
81,360 |
||||||||||||
Sovereign Issues |
0 |
128,714 |
0 |
128,714 |
||||||||||||
Category and Subcategory |
Level 1 |
Level 2 |
Level 3 |
Fair Value at 12/31/2024 |
||||||||||||
Common Stocks |
||||||||||||||||
Communication Services |
$ |
4,888 |
$ |
0 |
$ |
35,365 |
$ |
40,253 |
||||||||
Consumer Discretionary |
0 |
0 |
82 |
82 |
||||||||||||
Financials |
15,301 |
0 |
15,242 |
30,543 |
||||||||||||
Health Care |
0 |
0 |
58,269 |
58,269 |
||||||||||||
Industrials |
7 |
0 |
3,697 |
3,704 |
||||||||||||
Warrants |
||||||||||||||||
Communication Services |
0 |
0 |
10,102 |
10,102 |
||||||||||||
Financials |
0 |
0 |
2 |
2 |
||||||||||||
Preferred Securities |
||||||||||||||||
Banking & Finance |
0 |
8,609 |
0 |
8,609 |
||||||||||||
Industrials |
0 |
4,974 |
0 |
4,974 |
||||||||||||
Real Estate Investment Trusts |
||||||||||||||||
Real Estate |
8,474 |
0 |
0 |
8,474 |
||||||||||||
Loan Participations and Assignments |
0 |
0 |
0 |
0 |
||||||||||||
Short-Term Instruments |
||||||||||||||||
U.S. Treasury Bills |
0 |
41,005 |
0 |
41,005 |
||||||||||||
$ |
32,663 |
$ |
1,581,309 |
$ |
371,750 |
$ |
1,985,722 |
|||||||||
32 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
December 31, 2024 |
(Unaudited) |
Category and Subcategory |
Level 1 |
Level 2 |
Level 3 |
Fair Value at 12/31/2024 |
||||||||||||
Financial Derivative Instruments - Liabilities |
||||||||||||||||
Exchange-traded or centrally cleared |
$ |
0 |
$ |
(1,131 |
) |
$ |
0 |
$ |
(1,131 |
) | ||||||
Over the counter |
0 |
(1,546 |
) |
(5,609 |
) |
(7,155 |
) | |||||||||
$ |
0 |
$ |
(2,677 |
) |
$ |
(5,609 |
) |
$ |
(8,286 |
) | ||||||
Total Financial Derivative Instruments |
$ |
0 |
$ |
3,891 |
$ |
(5,101 |
) |
$ |
(1,210 |
) | ||||||
Totals |
$ |
378,908 |
$ |
1,585,200 |
$ |
366,649 |
$ |
2,330,757 |
||||||||
The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended December 31, 2024:
Category and Subcategory |
Beginning Balance at 06/30/2024 |
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 12/31/2024 |
Net Change in Unrealized Appreciation/ (Depreciation) on Investments Held at 12/31/2024 (2) |
||||||||||||||||||||||||||||||
Investments in Securities, at Value |
||||||||||||||||||||||||||||||||||||||||
Loan Participations and Assignments |
$ |
129,149 |
$ |
93,358 |
$ |
(65,594 |
) |
$ |
310 |
$ |
608 |
$ |
14,908 |
$ |
30,476 |
$ |
(24,575 |
) |
$ |
178,640 |
$ |
182 |
||||||||||||||||||
Corporate Bonds & Notes |
||||||||||||||||||||||||||||||||||||||||
Banking & Finance |
21,751 |
0 |
(21,917 |
) |
0 |
96 |
70 |
0 |
0 |
0 |
0 |
|||||||||||||||||||||||||||||
Industrials |
56,781 |
35 |
0 |
(64 |
) |
0 |
(5,188 |
) |
3,162 |
0 |
54,726 |
(5,189 |
) | |||||||||||||||||||||||||||
U.S. Government Agencies |
8,209 |
0 |
(118 |
) |
20 |
38 |
343 |
0 |
0 |
8,492 |
336 |
|||||||||||||||||||||||||||||
Non-Agency Mortgage-Backed Securities |
905 |
123 |
(242 |
) |
81 |
(5 |
) |
(43 |
) |
0 |
(819 |
) |
0 |
0 |
||||||||||||||||||||||||||
Asset-Backed Securities |
||||||||||||||||||||||||||||||||||||||||
Home Equity Other |
28 |
0 |
(2 |
) |
0 |
0 |
1 |
0 |
(27 |
) |
0 |
0 |
||||||||||||||||||||||||||||
Other ABS |
7,208 |
0 |
0 |
27 |
0 |
(102 |
) |
0 |
0 |
7,133 |
(102 |
) | ||||||||||||||||||||||||||||
Common Stocks |
||||||||||||||||||||||||||||||||||||||||
Communication Services (3) |
25,702 |
373 |
0 |
0 |
0 |
9,290 |
0 |
0 |
35,365 |
9,289 |
||||||||||||||||||||||||||||||
Consumer Discretionary (4) |
20,686 |
0 |
(21,098 |
) |
0 |
16,187 |
(15,693 |
) |
0 |
0 |
82 |
0 |
||||||||||||||||||||||||||||
Energy |
178 |
0 |
(192 |
) |
0 |
102 |
(88 |
) |
0 |
0 |
0 |
0 |
||||||||||||||||||||||||||||
Financials |
17,126 |
97 |
0 |
0 |
0 |
(1,981 |
) |
0 |
0 |
15,242 |
(1,981 |
) | ||||||||||||||||||||||||||||
Health Care |
62,958 |
0 |
0 |
0 |
0 |
(4,689 |
) |
0 |
0 |
58,269 |
(4,689 |
) | ||||||||||||||||||||||||||||
Industrials |
2,816 |
568 |
0 |
0 |
0 |
313 |
0 |
0 |
3,697 |
313 |
||||||||||||||||||||||||||||||
Warrants |
||||||||||||||||||||||||||||||||||||||||
Communication Services |
0 |
10,102 |
0 |
0 |
0 |
0 |
0 |
0 |
10,102 |
0 |
||||||||||||||||||||||||||||||
Financials |
3 |
0 |
0 |
0 |
0 |
(1 |
) |
0 |
0 |
2 |
(1 |
) | ||||||||||||||||||||||||||||
Preferred Securities |
||||||||||||||||||||||||||||||||||||||||
Industrials |
0 |
0 |
0 |
0 |
(5,586 |
) |
5,586 |
0 |
0 |
0 |
0 |
|||||||||||||||||||||||||||||
$ |
353,500 |
$ |
104,656 |
$ |
(109,163 |
) |
$ |
374 |
$ |
11,440 |
$ |
2,726 |
$ |
33,638 |
$ |
(25,421 |
) |
$ |
371,750 |
$ |
(1,842 |
) | ||||||||||||||||||
Financial Derivative Instruments |
||||||||||||||||||||||||||||||||||||||||
Over the counter |
$ |
571 |
$ |
0 |
$ |
0 |
$ |
0 |
$ |
0 |
$ |
(63 |
) |
$ |
0 |
$ |
0 |
$ |
508 |
$ |
(62 |
) | ||||||||||||||||||
Financial Derivative Instruments |
||||||||||||||||||||||||||||||||||||||||
Over the counter |
$ |
(4,580 |
) |
$ |
2,479 |
$ |
(405 |
) |
$ |
0 |
$ |
905 |
$ |
(4,008 |
) |
$ |
0 |
$ |
0 |
$ |
(5,609 |
) |
$ |
(1,290 |
) | |||||||||||||||
Totals |
$ |
349,491 |
$ |
107,135 |
$ |
(109,568 |
) |
$ |
374 |
$ |
12,345 |
$ |
(1,345 |
) |
$ |
33,638 |
$ |
(25,421 |
) |
$ |
366,649 |
$ |
(3,194 |
) | ||||||||||||||||
The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:
Category and Subcategory |
Ending Balance at 12/31/2024 |
Valuation Technique |
Unobservable Inputs |
(% Unless Noted Otherwise) |
||||||||||||||
Input Value(s) |
Weighted Average |
|||||||||||||||||
Investments in Securities, at Value |
||||||||||||||||||
Loan Participations and Assignments |
$ |
72,300 |
Discounted Cash Flow |
Discount Rate |
7.192-25.430 |
12.809 |
||||||||||||
548 |
Expected Recovery |
Recovery Rate |
15.419 |
— |
||||||||||||||
8,506 |
Indicative Market Quotation |
Broker Quote |
82.000 |
— |
||||||||||||||
1,082 |
Other Valuation Techniques (5) |
— |
— |
— |
||||||||||||||
| See Accompanying Notes | SEMIANNUAL REPORT |
| | DECEMBER 31, 2024 | 33 |
Schedule of Investments |
PIMCO Corporate & Income Opportunity Fund |
(Cont.) |
December 31, 2024 |
(Unaudited) |
Category and Subcategory |
Ending Balance at 12/31/2024 |
Valuation Technique |
Unobservable Inputs |
(% Unless Noted Otherwise) |
||||||||||||||
Input Value(s) |
Weighted Average |
|||||||||||||||||
$ |
22,270 |
Proxy Pricing |
Base Price |
98.286-100.000 |
99.627 |
|||||||||||||
4,888 |
Recent Transaction |
Purchase Price |
99.500 |
— |
||||||||||||||
69,046 |
Third Party Vendor |
Broker Quote |
99.188-116.500 |
106.979 |
||||||||||||||
Corporate Bonds & Notes |
||||||||||||||||||
Industrials |
2,898 |
Indicative Market Quotation |
Broker Quote |
61.000 |
— |
|||||||||||||
298 |
Other Valuation Techniques (5) |
— |
— |
— |
||||||||||||||
51,530 |
Comparable Companies/ Discounted Cash Flow |
Revenue Multiple/ Discount Rate |
X/% |
1.000/9.750 |
— |
|||||||||||||
U.S. Government Agencies |
8,492 |
Discounted Cash Flow |
Discount Rate |
11.599 |
— |
|||||||||||||
Asset-Backed Securities |
7,133 |
Discounted Cash Flow |
Discount Rate |
12.000-20.000 |
17.874 |
|||||||||||||
Common Stocks |
||||||||||||||||||
Communication Services |
28,697 |
Comparable Companies |
EBITDA Multiple |
X |
4.640 |
— |
||||||||||||
6,288 |
Discounted Cash Flow |
Discount Rate |
12.280 |
— |
||||||||||||||
380 |
Reference Instrument |
Stock Price w/ Liquidity Discount |
10.000 |
— |
||||||||||||||
Consumer Discretionary |
82 |
Discounted Cash Flow/ Comparable Companies |
Discount Rate/ Revenue Multiple |
%/X |
20.750/0.500 |
— |
||||||||||||
Financials |
35 |
Other Valuation Techniques (5) |
— |
— |
— |
|||||||||||||
15,207 |
Comparable Companies |
EBITDA Multiple |
X |
4.600 |
— |
|||||||||||||
Health Care |
58,269 |
Comparable Companies |
EBITDA Multiple |
X |
13.750 |
— |
||||||||||||
Industrials |
776 |
Other Valuation Techniques (5) |
— |
— |
— |
|||||||||||||
2,921 |
Indicative Market Quotation |
Broker Quote |
$ |
1.130-25.125 |
2.927 |
|||||||||||||
Warrants |
||||||||||||||||||
Communication Services |
10,102 |
Recent Transaction |
Purchase Price |
$ |
13.000 |
— |
||||||||||||
Financials |
2 |
Option Pricing Model |
Volatility |
32.500 |
— |
|||||||||||||
Financial Derivative Instruments |
||||||||||||||||||
Over the counter |
508 |
Indicative Market Quotation |
Broker Quote |
6.830 |
— |
|||||||||||||
Financial Derivative Instruments |
||||||||||||||||||
Over the counter |
(5,609 |
) |
Indicative Market Quotation |
Broker Quote |
$ |
92.000-92.500 |
92.044 |
|||||||||||
Total |
$ |
366,649 |
||||||||||||||||
(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, 2024 may be due to an investment no longer held or categorized as Level 3 at period end. |
(3) |
Sector types updated from Industrials and Utilities to Communication Services since prior fiscal year end. |
(4) |
Sector types updated from Industrials and Utilities to Consumer Discretionary since prior fiscal year end. |
(5) |
Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not considered significant to the Fund. |
34 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
Schedule of Investments |
PIMCO Corporate & Income Strategy Fund |
December 31, 2024 |
(Unaudited) |
(Amounts in thousands*, except number of shares, contracts, units and ounces, if any)
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
INVESTMENTS IN SECURITIES 92.4% |
||||||||||||
LOAN PARTICIPATIONS AND ASSIGNMENTS 27.7% |
||||||||||||
Advanz Pharma Corp. |
||||||||||||
7.559% (EUR003M + 4.500%) due 10/17/2031 ~ |
EUR |
1,400 |
$ |
1,452 |
||||||||
Aligned Data Centers International LP |
||||||||||||
8.447% (TSFR3M + 3.500%) due 05/16/2028 «~ |
$ |
3,700 |
3,686 |
|||||||||
Altice France SA |
||||||||||||
8.679% (EUR003M + 0.055%) due 08/15/2028 ~ |
EUR |
99 |
84 |
|||||||||
10.147% due 08/15/2028 ~ |
$ |
2,885 |
2,325 |
|||||||||
AP Core Holdings LLC |
||||||||||||
9.971% due 09/01/2027 ~ |
12,060 |
11,748 |
||||||||||
Barnes Group, Inc. |
||||||||||||
TBD% due 12/10/2031 ~ |
2,100 |
2,104 |
||||||||||
BDO U.S.A PC |
||||||||||||
9.524% due 08/31/2028 «~ |
2,424 |
2,438 |
||||||||||
Central Parent LLC |
||||||||||||
TBD% due 07/06/2029 ~ |
3,600 |
3,558 |
||||||||||
Clover Holdings 2 LLC |
||||||||||||
TBD% due 11/01/2029 ~µ |
803 |
802 |
||||||||||
8.428% due 11/01/2031 ~ |
6,000 |
6,075 |
||||||||||
CoreWeave Compute Acquisition Co. LLC |
||||||||||||
TBD% (TSFR3M + 6.000%) due 05/16/2029 «~µ |
9,700 |
9,726 |
||||||||||
Databricks, Inc. |
||||||||||||
TBD% due 12/20/2030 «µ |
399 |
397 |
||||||||||
TBD% due 12/20/2030 « |
1,801 |
1,792 |
||||||||||
Diamond Sports Group LLC |
||||||||||||
TBD% due 05/25/2026 «~ |
1,375 |
212 |
||||||||||
Endure Digital, Inc. |
||||||||||||
8.138% due 02/10/2028 «~ |
3,790 |
3,108 |
||||||||||
Envision Healthcare Corp. |
||||||||||||
12.507% due 11/03/2028 ~ |
8,863 |
8,996 |
||||||||||
EP Purchaser LLC |
||||||||||||
9.090% due 11/06/2028 ~ |
600 |
604 |
||||||||||
Finastra U.S.A., Inc. |
||||||||||||
TBD% due 09/13/2029 «~µ |
103 |
103 |
||||||||||
TBD% due 09/13/2029 «~ |
989 |
1,005 |
||||||||||
First Brands Group LLC |
||||||||||||
9.847% due 03/30/2027 ~ |
994 |
934 |
||||||||||
Forward Air Corp. |
||||||||||||
9.085% due 12/19/2030 ~ |
2,815 |
2,830 |
||||||||||
Galaxy U.S. Opco, Inc. |
||||||||||||
9.335% due 04/29/2029 ~ |
1,095 |
979 |
||||||||||
Gateway Casinos & Entertainment Ltd. |
||||||||||||
TBD% due 12/18/2030 |
5,252 |
5,341 |
||||||||||
Gray Television, Inc. |
||||||||||||
9.803% due 06/04/2029 ~ |
2,587 |
2,455 |
||||||||||
Hudson’s Bay Co. |
||||||||||||
TBD% due 04/03/2026 |
1,925 |
1,925 |
||||||||||
iHeartCommunications, Inc. |
||||||||||||
7.721% due 05/01/2026 ~ |
570 |
509 |
||||||||||
Ivanti Software, Inc. |
||||||||||||
9.121% due 12/01/2027 ~ |
9,290 |
7,618 |
||||||||||
J&J Ventures Gaming LLC |
||||||||||||
9.471% due 04/26/2028 «~ |
1,160 |
1,170 |
||||||||||
Lealand Finance Co. BV |
||||||||||||
7.471% due 06/30/2027 ~ |
75 |
38 |
||||||||||
8.472% due 12/31/2027 ~ |
405 |
163 |
||||||||||
Lifepoint Health, Inc. |
||||||||||||
8.406% due 05/17/2031 ~ |
2,214 |
2,224 |
||||||||||
Magenta Security Holdings LLC |
||||||||||||
10.835% due 07/27/2028 ~ |
113 |
116 |
||||||||||
11.595% due 07/27/2028 ~ |
119 |
110 |
||||||||||
Magenta Security Holdings LLC (5.500% PIK) |
||||||||||||
5.500% due 07/27/2028 ~(b) |
529 |
186 |
||||||||||
Magenta Security Holdings LLC (6.250% PIK) |
||||||||||||
6.250% due 07/27/2028 ~(b) |
152 |
92 |
||||||||||
MH SUB I LLC |
||||||||||||
TBD% due 12/11/2031 ~ |
2,100 |
2,085 |
||||||||||
| See Accompanying Notes | SEMIANNUAL REPORT |
| | DECEMBER 31, 2024 | 35 |
Schedule of Investments |
PIMCO Corporate & Income Strategy Fund |
(Cont.) |
36 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
December 31, 2024 |
(Unaudited) |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
Belle Haven ABS CDO Ltd. |
||||||||||||
8.250% due 07/05/2046 • |
$ |
175,347 |
$ |
436 |
||||||||
Carlyle U.S. CLO Ltd. |
||||||||||||
0.000% due 10/21/2037 ~ |
1,895 |
195 |
||||||||||
CIFC Funding Ltd. |
||||||||||||
0.000% due 04/24/2030 ~ |
2,300 |
597 |
||||||||||
0.010% due 10/22/2031 ~ |
1,500 |
90 |
||||||||||
MAN GLG U.S. CLO Ltd. |
||||||||||||
0.000% due 07/15/2034 ~ |
400 |
239 |
||||||||||
Marble Point CLO Ltd. |
||||||||||||
0.000% due 01/22/2052 ~ |
2,150 |
1,190 |
||||||||||
Marlette Funding Trust |
||||||||||||
0.000% due 09/17/2029 «(f) |
7 |
14 |
||||||||||
Pagaya AI Debt Selection Trust |
||||||||||||
8.491% due 06/16/2031 |
2,199 |
2,245 |
||||||||||
SLM Student Loan EDC Repackaging Trust |
||||||||||||
0.000% due 10/28/2029 «(f) |
3 |
1,460 |
||||||||||
SLM Student Loan Trust |
||||||||||||
0.000% due 01/25/2042 «(f) |
4 |
944 |
||||||||||
SMB Private Education Loan Trust |
||||||||||||
0.000% due 09/18/2046 «(f) |
1 |
349 |
||||||||||
0.000% due 10/15/2048 «(f) |
1 |
266 |
||||||||||
SoFi Professional Loan Program LLC |
||||||||||||
0.000% due 09/25/2040 «(f) |
1,718 |
152 |
||||||||||
Taberna Preferred Funding Ltd. |
||||||||||||
5.196% due 08/05/2036 • |
4,554 |
4,121 |
||||||||||
15,301 |
||||||||||||
Total Asset-Backed Securities (Cost $74,555) |
56,666 |
|||||||||||
SOVEREIGN ISSUES 5.7% |
||||||||||||
Argentina Government International Bond |
||||||||||||
0.750% due 07/09/2030 þ |
2,671 |
1,945 |
||||||||||
1.000% due 07/09/2029 |
669 |
545 |
||||||||||
3.500% due 07/09/2041 þ |
5,955 |
3,734 |
||||||||||
4.125% due 07/09/2035 þ |
3,003 |
1,942 |
||||||||||
4.125% due 07/09/2046 þ |
115 |
77 |
||||||||||
5.000% due 01/09/2038 þ |
10,995 |
7,708 |
||||||||||
Dominican Republic Central Bank Notes |
||||||||||||
13.000% due 12/05/2025 |
DOP |
93,000 |
1,557 |
|||||||||
13.000% due 01/30/2026 |
102,600 |
1,725 |
||||||||||
Dominican Republic International Bond |
||||||||||||
10.750% due 06/01/2036 |
73,000 |
1,289 |
||||||||||
11.250% due 09/15/2035 |
29,000 |
525 |
||||||||||
Egypt Government International Bond |
||||||||||||
6.375% due 04/11/2031 |
EUR |
300 |
275 |
|||||||||
El Salvador Government International Bond |
||||||||||||
9.250% due 04/17/2030 |
$ |
2,500 |
2,653 |
|||||||||
9.650% due 11/21/2054 |
1,600 |
1,690 |
||||||||||
Ghana Government International Bond |
||||||||||||
0.000% due 07/03/2026 (f) |
45 |
42 |
||||||||||
0.000% due 01/03/2030 (f) |
82 |
63 |
||||||||||
5.000% due 07/03/2029 þ |
339 |
293 |
||||||||||
5.000% due 07/03/2035 þ |
487 |
344 |
||||||||||
Peru Government International Bond |
||||||||||||
6.900% due 08/12/2037 |
PEN |
1,600 |
425 |
|||||||||
6.950% due 08/12/2031 |
3,100 |
870 |
||||||||||
Republic of Greece Government International Bond |
||||||||||||
2.000% due 04/22/2027 |
EUR |
314 |
324 |
|||||||||
3.900% due 01/30/2033 |
693 |
760 |
||||||||||
4.000% due 01/30/2037 |
543 |
597 |
||||||||||
4.200% due 01/30/2042 |
678 |
747 |
||||||||||
Romania Government International Bond |
||||||||||||
5.125% due 09/24/2031 |
1,600 |
1,621 |
||||||||||
5.250% due 05/30/2032 |
900 |
911 |
||||||||||
5.375% due 03/22/2031 |
1,210 |
1,255 |
||||||||||
5.625% due 02/22/2036 |
490 |
488 |
||||||||||
5.625% due 05/30/2037 |
900 |
895 |
||||||||||
6.375% due 09/18/2033 |
900 |
972 |
||||||||||
Russia Government International Bond |
||||||||||||
1.125% due 11/20/2027 |
100 |
0 |
||||||||||
Turkey Government International Bond |
||||||||||||
49.430% (BISTREFI) due 09/06/2028 ~ |
TRY |
177,300 |
4,960 |
|||||||||
| See Accompanying Notes | SEMIANNUAL REPORT |
| | DECEMBER 31, 2024 | 37 |
Schedule of Investments |
PIMCO Corporate & Income Strategy Fund |
(Cont.) |
NOTES TO SCHEDULE OF INVESTMENTS:
* |
A zero balance may reflect actual amounts rounding to less than one thousand. |
^ |
Security is in default. |
« |
Security valued using significant unobservable inputs (Level 3). |
µ |
All or a portion of this amount represents unfunded loan commitments. The interest rate for the unfunded portion will be determined at the time of funding. See Note 4, Securities and Other Investments, in the Notes to Financial Statements for more information regarding unfunded loan commitments. |
~ |
Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description. |
• |
Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description. |
þ |
Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end. |
(a) |
Security is an Interest Only (“IO”) or IO Strip. |
38 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
December 31, 2024 |
(Unaudited) |
(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) |
Security becomes interest bearing at a future date. |
(h) |
Perpetual maturity; date shown, if applicable, represents next contractual call date. |
(i) RESTRICTED SECURITIES:
Issuer Description |
Acquisition Date |
Cost |
Market Value |
Market Value as Percentage of Net Assets Applicable to Common Shareholders |
||||||||||||
Amsurg Equity |
11/02/2023 - 11/06/2023 |
$ |
20,398 |
$ |
22,367 |
2.99 |
% | |||||||||
Clover Holdings, Inc. |
12/09/2024 |
207 |
283 |
0.04 |
||||||||||||
Drillco Holding Lux SA |
06/08/2023 |
886 |
1,113 |
0.15 |
||||||||||||
Intelsat Emergence SA |
06/19/2017 - 02/23/2024 |
12,540 |
5,721 |
0.77 |
||||||||||||
MNEQ Holdings, Inc. |
03/16/2023 - 03/29/2023 |
36 |
13 |
0.00 |
||||||||||||
Steinhoff International Holdings NV |
06/30/2023 - 10/30/2023 |
0 |
0 |
0.00 |
||||||||||||
Syniverse Holdings, Inc. |
05/12/2022 - 11/30/2024 |
2,314 |
2,323 |
0.31 |
||||||||||||
West Marine |
09/12/2023 |
36 |
16 |
0.00 |
||||||||||||
Westmoreland Mining Holdings |
12/08/2014 - 10/19/2016 |
1,442 |
56 |
0.01 |
||||||||||||
Westmoreland Mining LLC |
06/30/2023 |
335 |
177 |
0.02 |
||||||||||||
$ |
38,194 |
$ |
32,069 |
4.29 |
% | |||||||||||
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(j) REPURCHASE AGREEMENTS:
Counterparty |
Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By |
Collateral (Received) |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received (1) |
||||||||||||||||||||||
FICC STR |
4.450 |
% |
12/31/2024 |
01/02/2025 |
$ |
2,100 |
U.S. Treasury Bonds 1.125% due 08/15/2040 |
$ |
(2,142 |
) |
$ |
2,100 |
$ |
2,101 |
||||||||||||||||
Total Repurchase Agreements |
$ |
(2,142 |
) |
$ |
2,100 |
$ |
2,101 |
|||||||||||||||||||||||
REVERSE REPURCHASE AGREEMENTS:
Counterparty |
Borrowing Rate (2) |
Settlement Date |
Maturity Date |
Amount Borrowed (2) |
Payable for Reverse Repurchase Agreements |
|||||||||||||||||
BPS |
3.380 |
% |
12/18/2024 |
TBD |
(3) |
EUR |
(344 |
) |
$ |
(357 |
) | |||||||||||
CDC |
4.880 |
12/16/2024 |
04/15/2025 |
$ |
(2,156 |
) |
(2,161 |
) | ||||||||||||||
4.920 |
11/19/2024 |
02/19/2025 |
(1,736 |
) |
(1,746 |
) | ||||||||||||||||
5.010 |
10/23/2024 |
02/20/2025 |
(1,236 |
) |
(1,249 |
) | ||||||||||||||||
5.010 |
12/16/2024 |
04/15/2025 |
(8,053 |
) |
(8,072 |
) | ||||||||||||||||
5.030 |
10/23/2024 |
01/23/2025 |
(1,095 |
) |
(1,105 |
) | ||||||||||||||||
5.030 |
12/18/2024 |
01/23/2025 |
(1,040 |
) |
(1,042 |
) | ||||||||||||||||
5.070 |
10/01/2024 |
01/03/2025 |
(1,198 |
) |
(1,214 |
) | ||||||||||||||||
5.220 |
10/01/2024 |
01/03/2025 |
(3,199 |
) |
(3,242 |
) | ||||||||||||||||
IND |
4.820 |
12/17/2024 |
03/17/2025 |
(596 |
) |
(597 |
) | |||||||||||||||
5.120 |
10/09/2024 |
01/09/2025 |
(2,854 |
) |
(2,888 |
) | ||||||||||||||||
5.330 |
09/09/2024 |
03/06/2025 |
(3,772 |
) |
(3,837 |
) | ||||||||||||||||
SOG |
2.500 |
12/18/2024 |
TBD |
(3) |
EUR |
(461 |
) |
(478 |
) | |||||||||||||
UBS |
3.172 |
12/20/2024 |
03/20/2025 |
(2,283 |
) |
(2,368 |
) | |||||||||||||||
3.180 |
12/18/2024 |
TBD |
(3) |
(550 |
) |
(571 |
) | |||||||||||||||
3.200 |
12/18/2024 |
TBD |
(3) |
(1,952 |
) |
(2,025 |
) | |||||||||||||||
Total Reverse Repurchase Agreements |
$ |
(32,952 |
) | |||||||||||||||||||
See Accompanying Notes |
SEMIANNUAL REPORT |
| |
DECEMBER 31, 2024 |
39 |
Schedule of Investments |
PIMCO Corporate & Income Strategy Fund |
(Cont.) |
BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY
The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral pledged/(received) as of December 31, 2024:
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 |
$ |
0 |
$ |
(357 |
) |
$ |
0 |
$ |
(357 |
) |
$ |
344 |
$ |
(13 |
) | |||||||||
CDC |
0 |
(19,831 |
) |
0 |
(19,831 |
) |
22,458 |
2,627 |
||||||||||||||||
FICC STR |
2,101 |
0 |
0 |
2,101 |
(2,142 |
) |
(41 |
) | ||||||||||||||||
IND |
0 |
(7,322 |
) |
0 |
(7,322 |
) |
8,531 |
1,209 |
||||||||||||||||
SOG |
0 |
(478 |
) |
0 |
(478 |
) |
464 |
(14 |
) | |||||||||||||||
UBS |
0 |
(4,964 |
) |
0 |
(4,964 |
) |
5,750 |
786 |
||||||||||||||||
Total Borrowings and Other Financing Transactions |
$ |
2,101 |
$ |
(32,952 |
) |
$ |
0 |
|||||||||||||||||
CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS
Remaining Contractual Maturity of the Agreements
Overnight and Continuous |
Up to 30 days |
31-90 days |
Greater Than 90 days |
Total |
||||||||||||||||
Reverse Repurchase Agreements |
||||||||||||||||||||
Corporate Bonds & Notes |
$ |
0 |
$ |
(8,239 |
) |
$ |
(9,797 |
) |
$ |
(13,186 |
) |
$ |
(31,222 |
) | ||||||
Sovereign Issues |
0 |
0 |
0 |
(478 |
) |
(478 |
) | |||||||||||||
Preferred Securities |
0 |
(1,252 |
) |
0 |
0 |
(1,252 |
) | |||||||||||||
Total Borrowings |
$ |
0 |
$ |
(9,491 |
) |
$ |
(9,797 |
) |
$ |
(13,664 |
) |
$ |
(32,952 |
) | ||||||
Payable for reverse repurchase agreements |
$ |
(32,952 |
) | |||||||||||||||||
(k) |
Securities with an aggregate market value of $37,314 and cash of $252 have been pledged as collateral under the terms of the above master agreements as of December 31, 2024. |
(1) |
Includes accrued interest. |
(2) |
The average amount of borrowings outstanding during the period ended December 31, 2024 was $(80,678) at a weighted average interest rate of 5.353%. 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. |
(l) FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED
SWAP AGREEMENTS:
INTEREST RATE SWAPS
Pay/Receive Floating Rate |
Floating Rate Index |
Fixed Rate |
Payment Frequency |
Maturity Date |
Notional Amount |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Market Value |
Variation Margin |
|||||||||||||||||||||||||||||||
Asset |
Liability |
|||||||||||||||||||||||||||||||||||||||
Pay |
1-Day GBP-SONIO Compounded-OIS |
4.000 |
% |
Annual |
09/18/2029 |
GBP |
21,600 |
$ |
392 |
$ |
(531 |
) |
$ |
(139 |
) |
$ |
60 |
$ |
0 |
|||||||||||||||||||||
Receive |
1-Day GBP-SONIO Compounded-OIS |
0.750 |
Annual |
09/21/2032 |
7,800 |
757 |
1,441 |
2,198 |
0 |
(23 |
) | |||||||||||||||||||||||||||||
Receive |
1-Day GBP-SONIO Compounded-OIS |
2.000 |
Annual |
03/15/2033 |
2,800 |
311 |
267 |
578 |
0 |
(9 |
) | |||||||||||||||||||||||||||||
Receive |
1-Day GBP-SONIO Compounded-OIS |
0.750 |
Annual |
09/21/2052 |
1,600 |
328 |
826 |
1,154 |
0 |
(5 |
) | |||||||||||||||||||||||||||||
Receive |
1-Day USD-SOFR Compounded-OIS |
2.350 |
Annual |
01/17/2025 |
$ |
11,000 |
1 |
322 |
323 |
2 |
0 |
|||||||||||||||||||||||||||||
Pay |
1-Day USD-SOFR Compounded-OIS |
5.250 |
Annual |
06/17/2025 |
97,000 |
212 |
272 |
484 |
5 |
0 |
||||||||||||||||||||||||||||||
Receive |
1-Day USD-SOFR Compounded-OIS |
2.300 |
Annual |
01/17/2026 |
1,700 |
1 |
81 |
82 |
0 |
0 |
||||||||||||||||||||||||||||||
Receive |
1-Day USD-SOFR Compounded-OIS |
1.250 |
Semi-Annual |
12/15/2026 |
56,800 |
(704 |
) |
4,099 |
3,395 |
24 |
0 |
|||||||||||||||||||||||||||||
Pay |
1-Day USD-SOFR Compounded-OIS |
2.500 |
Semi-Annual |
12/20/2027 |
44,900 |
172 |
(2,510 |
) |
(2,338 |
) |
0 |
(23 |
) | |||||||||||||||||||||||||||
Pay |
1-Day USD-SOFR Compounded-OIS |
2.000 |
Annual |
12/21/2027 |
32,300 |
(2,862 |
) |
982 |
(1,880 |
) |
0 |
(15 |
) | |||||||||||||||||||||||||||
Pay |
1-Day USD-SOFR Compounded-OIS |
3.250 |
Annual |
06/21/2028 |
19,200 |
(257 |
) |
(434 |
) |
(691 |
) |
0 |
(10 |
) | ||||||||||||||||||||||||||
Receive |
1-Day USD-SOFR Compounded-OIS |
1.370 |
Semi-Annual |
08/25/2028 |
16,898 |
(5 |
) |
1,696 |
1,691 |
11 |
0 |
|||||||||||||||||||||||||||||
Pay |
1-Day USD-SOFR Compounded-OIS |
3.750 |
Annual |
12/20/2028 |
84,700 |
740 |
(1,692 |
) |
(952 |
) |
0 |
(41 |
) | |||||||||||||||||||||||||||
Pay |
1-Day USD-SOFR Compounded-OIS |
4.500 |
Annual |
06/19/2029 |
69,900 |
34 |
1,024 |
1,058 |
0 |
(31 |
) | |||||||||||||||||||||||||||||
Receive |
1-Day USD-SOFR Compounded-OIS |
3.750 |
Annual |
06/20/2029 |
16,500 |
(312 |
) |
632 |
320 |
8 |
0 |
|||||||||||||||||||||||||||||
Pay |
1-Day USD-SOFR Compounded-OIS |
2.000 |
Annual |
12/21/2029 |
118,700 |
(12,228 |
) |
1,280 |
(10,948 |
) |
0 |
(63 |
) | |||||||||||||||||||||||||||
Receive |
1-Day USD-SOFR Compounded-OIS |
0.750 |
Semi-Annual |
06/16/2031 |
57,200 |
3,442 |
8,209 |
11,651 |
56 |
0 |
||||||||||||||||||||||||||||||
Receive |
1-Day USD-SOFR Compounded-OIS |
1.750 |
Semi-Annual |
12/15/2031 |
36,100 |
(505 |
) |
6,156 |
5,651 |
42 |
0 |
|||||||||||||||||||||||||||||
Pay |
1-Day USD-SOFR Compounded-OIS |
2.000 |
Annual |
12/21/2032 |
23,900 |
(3,269 |
) |
(92 |
) |
(3,361 |
) |
0 |
(28 |
) | ||||||||||||||||||||||||||
40 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
December 31, 2024 |
(Unaudited) |
FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED SUMMARY
The following is a summary of the market value and variation margin of Exchange-Traded or Centrally Cleared Financial Derivative Instruments as of December 31, 2024:
Financial Derivative Assets |
Financial Derivative Liabilities |
|||||||||||||||||||||||||||||||||||
Market Value |
Variation Margin Asset |
Market Value |
Variation Margin Liability |
|||||||||||||||||||||||||||||||||
Purchased Options |
Futures |
Swap Agreements |
Total |
Written Options |
Futures |
Swap Agreements |
Total |
|||||||||||||||||||||||||||||
Total Exchange-Traded or Centrally Cleared |
$ |
0 |
$ |
0 |
$ |
378 |
$ |
378 |
$ |
0 |
$ |
0 |
$ |
(463) |
$ |
(463) |
||||||||||||||||||||
Cash of $11,164 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2024. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information.
(1) |
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. |
(m) FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER
FORWARD FOREIGN CURRENCY CONTRACTS:
Counterparty |
Settlement Month |
Currency to be Delivered |
Currency to be Received |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||
Asset |
Liability |
|||||||||||||||||||||||
BOA |
02/2025 |
HKD |
26,075 |
$ |
3,356 |
$ |
0 |
$ |
(3 |
) | ||||||||||||||
BPS |
01/2025 |
BRL |
2,661 |
473 |
43 |
0 |
||||||||||||||||||
01/2025 |
CAD |
3,533 |
2,519 |
60 |
0 |
|||||||||||||||||||
01/2025 |
EUR |
460 |
487 |
10 |
0 |
|||||||||||||||||||
01/2025 |
$ |
430 |
BRL |
2,661 |
1 |
0 |
||||||||||||||||||
01/2025 |
2,556 |
CAD |
3,673 |
0 |
0 |
|||||||||||||||||||
01/2025 |
1,849 |
EUR |
1,754 |
0 |
(31 |
) | ||||||||||||||||||
BRC |
01/2025 |
TRY |
488 |
$ |
13 |
0 |
(1 |
) | ||||||||||||||||
01/2025 |
$ |
1,038 |
EUR |
982 |
0 |
(21 |
) | |||||||||||||||||
01/2025 |
431 |
TRY |
16,172 |
17 |
0 |
|||||||||||||||||||
02/2025 |
TRY |
2,459 |
$ |
65 |
0 |
(2 |
) | |||||||||||||||||
02/2025 |
$ |
9,298 |
TRY |
353,037 |
196 |
0 |
||||||||||||||||||
03/2025 |
TRY |
14,391 |
$ |
374 |
0 |
(5 |
) | |||||||||||||||||
03/2025 |
$ |
945 |
TRY |
36,172 |
11 |
0 |
||||||||||||||||||
CBK |
01/2025 |
DOP |
12,744 |
$ |
210 |
2 |
0 |
|||||||||||||||||
01/2025 |
$ |
842 |
EUR |
800 |
0 |
(13 |
) | |||||||||||||||||
02/2025 |
DOP |
32,255 |
$ |
530 |
4 |
0 |
||||||||||||||||||
DUB |
02/2025 |
PEN |
2,361 |
630 |
3 |
0 |
||||||||||||||||||
02/2025 |
$ |
105 |
MXN |
2,121 |
0 |
(4 |
) | |||||||||||||||||
03/2025 |
PEN |
2,757 |
$ |
725 |
0 |
(7 |
) | |||||||||||||||||
FAR |
01/2025 |
AUD |
163 |
106 |
5 |
0 |
||||||||||||||||||
01/2025 |
BRL |
2,670 |
431 |
0 |
(1 |
) | ||||||||||||||||||
01/2025 |
$ |
434 |
BRL |
2,670 |
0 |
(2 |
) | |||||||||||||||||
02/2025 |
BRL |
2,684 |
$ |
434 |
2 |
0 |
||||||||||||||||||
GLM |
02/2025 |
DOP |
214,332 |
3,520 |
27 |
0 |
||||||||||||||||||
03/2025 |
56,807 |
925 |
2 |
0 |
||||||||||||||||||||
| See Accompanying Notes | SEMIANNUAL REPORT |
| | DECEMBER 31, 2024 | 41 |
Schedule of Investments |
PIMCO Corporate & Income Strategy Fund |
(Cont.) |
SWAP AGREEMENTS:
CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION
(1)
Counterparty |
Reference Entity |
Fixed Receive Rate |
Payment Frequency |
Maturity Date |
Implied Credit Spread at December 31, 2024 (2) |
Notional Amount (3) |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Swap Agreements, at Value (4) |
|||||||||||||||||||||||||||||
Asset |
Liability |
|||||||||||||||||||||||||||||||||||||
GST |
Petroleos Mexicanos |
1.000 |
% |
Quarterly |
12/20/2028 |
4.056 |
% |
800 |
$ |
(155 |
) |
$ |
72 |
$ |
0 |
$ |
(83 |
) | ||||||||||||||||||||
DUB |
Eskom « |
4.650 |
Quarterly |
06/30/2029 |
0.068 |
2,700 |
0 |
185 |
185 |
0 |
||||||||||||||||||||||||||||
Total Swap Agreements |
$ |
(155 |
) |
$ |
257 |
$ |
185 |
$ |
(83 |
) | ||||||||||||||||||||||||||||
FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER SUMMARY
The following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral pledged/(received) as of December 31, 2024:
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 |
$ |
0 |
$ |
0 |
$ |
0 |
$ |
0 |
$ |
(3 |
) |
$ |
0 |
$ |
0 |
$ |
(3 |
) |
$ |
(3 |
) |
$ |
0 |
$ |
(3 |
) | ||||||||||||||||||||||
BPS |
114 |
0 |
0 |
114 |
(31 |
) |
0 |
0 |
(31 |
) |
83 |
0 |
83 |
|||||||||||||||||||||||||||||||||||
BRC |
224 |
0 |
0 |
224 |
(29 |
) |
0 |
0 |
(29 |
) |
195 |
(40 |
) |
155 |
||||||||||||||||||||||||||||||||||
CBK |
6 |
0 |
0 |
6 |
(13 |
) |
0 |
0 |
(13 |
) |
(7 |
) |
0 |
(7 |
) | |||||||||||||||||||||||||||||||||
DUB |
3 |
0 |
185 |
188 |
(11 |
) |
0 |
0 |
(11 |
) |
177 |
(150 |
) |
27 |
||||||||||||||||||||||||||||||||||
FAR |
7 |
0 |
0 |
7 |
(3 |
) |
0 |
0 |
(3 |
) |
4 |
0 |
4 |
|||||||||||||||||||||||||||||||||||
GLM |
29 |
0 |
0 |
29 |
0 |
0 |
0 |
0 |
29 |
0 |
29 |
|||||||||||||||||||||||||||||||||||||
JPM |
245 |
0 |
0 |
245 |
0 |
0 |
0 |
0 |
245 |
(212 |
) |
33 |
||||||||||||||||||||||||||||||||||||
MBC |
1,247 |
0 |
0 |
1,247 |
(37 |
) |
0 |
0 |
(37 |
) |
1,210 |
(880 |
) |
330 |
||||||||||||||||||||||||||||||||||
SCX |
14 |
0 |
0 |
14 |
0 |
0 |
0 |
0 |
14 |
0 |
14 |
|||||||||||||||||||||||||||||||||||||
UAG |
11 |
0 |
0 |
11 |
0 |
0 |
0 |
0 |
11 |
0 |
11 |
|||||||||||||||||||||||||||||||||||||
GST |
0 |
0 |
0 |
0 |
0 |
0 |
(83 |
) |
(83 |
) |
(83 |
) |
0 |
(83 |
) | |||||||||||||||||||||||||||||||||
Total Over the Counter |
$ |
1,900 |
$ |
0 |
$ |
185 |
$ |
2,085 |
$ |
(127 |
) |
$ |
0 |
$ |
(83 |
) |
$ |
(210 |
) |
|||||||||||||||||||||||||||||
(1) |
If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) |
Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(3) |
The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(4) |
The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(5) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information. |
42 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
December 31, 2024 |
(Unaudited) |
FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS
The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal and Other Risks, in the Notes to Financial Statements on risks of the Fund.
Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of December 31, 2024:
The effect of Financial Derivative Instruments on the Statements of Operations for the period ended December 31, 2024:
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2024 in valuing the Fund’s assets and liabilities:
Category and Subcategory |
Level 1 |
Level 2 |
Level 3 |
Fair Value at 12/31/2024 |
||||||||||||
Investments in Securities, at Value |
||||||||||||||||
Loan Participations and Assignments |
$ |
1,925 |
$ |
154,344 |
$ |
50,917 |
$ |
207,186 |
||||||||
Corporate Bonds & Notes |
||||||||||||||||
Banking & Finance |
0 |
52,523 |
0 |
52,523 |
||||||||||||
Industrials |
0 |
119,862 |
17,001 |
136,863 |
||||||||||||
Utilities |
0 |
25,710 |
0 |
25,710 |
||||||||||||
Category and Subcategory |
Level 1 |
Level 2 |
Level 3 |
Fair Value at 12/31/2024 |
||||||||||||
Convertible Bonds & Notes |
||||||||||||||||
Industrials |
$ |
0 |
$ |
2,847 |
$ |
0 |
$ |
2,847 |
||||||||
Municipal Bonds & Notes |
||||||||||||||||
California |
0 |
395 |
0 |
395 |
||||||||||||
Illinois |
0 |
17 |
0 |
17 |
||||||||||||
Michigan |
0 |
1,780 |
0 |
1,780 |
||||||||||||
| See Accompanying Notes | SEMIANNUAL REPORT |
| | DECEMBER 31, 2024 | 43 |
Schedule of Investments |
PIMCO Corporate & Income Strategy Fund |
(Cont.) |
Category and Subcategory |
Level 1 |
Level 2 |
Level 3 |
Fair Value at 12/31/2024 |
||||||||||||
Puerto Rico |
$ |
0 |
$ |
1,847 |
$ |
0 |
$ |
1,847 |
||||||||
West Virginia |
0 |
4,136 |
0 |
4,136 |
||||||||||||
U.S. Government Agencies |
0 |
7,066 |
4,787 |
11,853 |
||||||||||||
Non-Agency Mortgage-Backed Securities |
0 |
56,802 |
0 |
56,802 |
||||||||||||
Asset-Backed Securities |
||||||||||||||||
CMBS Other |
0 |
11 |
0 |
11 |
||||||||||||
Home Equity Other |
0 |
29,531 |
0 |
29,531 |
||||||||||||
Home Equity Sequential |
0 |
1,585 |
0 |
1,585 |
||||||||||||
Whole Loan Collateral |
0 |
10,238 |
0 |
10,238 |
||||||||||||
Other ABS |
0 |
12,116 |
3,185 |
15,301 |
||||||||||||
Sovereign Issues |
0 |
42,761 |
0 |
42,761 |
||||||||||||
Common Stocks |
||||||||||||||||
Communication Services |
2,023 |
0 |
14,493 |
16,516 |
||||||||||||
Consumer Discretionary |
0 |
0 |
16 |
16 |
||||||||||||
Financials |
4,843 |
0 |
5,734 |
10,577 |
||||||||||||
Health Care |
0 |
0 |
22,367 |
22,367 |
||||||||||||
Industrials |
0 |
0 |
2,091 |
2,091 |
||||||||||||
Warrants |
||||||||||||||||
Communication Services |
0 |
0 |
4,222 |
4,222 |
||||||||||||
Financials |
0 |
0 |
1 |
1 |
||||||||||||
Preferred Securities |
||||||||||||||||
Banking & Finance |
0 |
4,868 |
0 |
4,868 |
||||||||||||
Industrials |
0 |
1,827 |
0 |
1,827 |
||||||||||||
Real Estate Investment Trusts |
||||||||||||||||
Real Estate |
3,242 |
0 |
0 |
3,242 |
||||||||||||
Loan Participations and Assignments |
0 |
0 |
0 |
0 |
||||||||||||
Short-Term Instruments |
||||||||||||||||
Repurchase Agreements |
0 |
2,100 |
0 |
2,100 |
||||||||||||
U.S. Treasury Bills |
0 |
21,517 |
0 |
21,517 |
||||||||||||
$ |
12,033 |
$ |
553,883 |
$ |
124,814 |
$ |
690,730 |
|||||||||
The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended December 31, 2024:
Category and Subcategory |
Beginning Balance at 06/30/2024 |
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 12/31/2024 |
Net Change in Unrealized Appreciation/ (Depreciation) on Investments Held at 12/31/2024 (2) |
||||||||||||||||||||||||||||||
Investments in Securities, at Value |
||||||||||||||||||||||||||||||||||||||||
Loan Participations and Assignments |
$ |
42,789 |
$ |
33,788 |
$ |
(22,682 |
) |
$ |
120 |
$ |
221 |
$ |
5,465 |
$ |
212 |
$ |
(8,996 |
) |
$ |
50,917 |
$ |
40 |
||||||||||||||||||
Corporate Bonds & Notes |
||||||||||||||||||||||||||||||||||||||||
Banking & Finance |
6,699 |
0 |
(6,771 |
) |
0 |
33 |
39 |
0 |
0 |
0 |
0 |
|||||||||||||||||||||||||||||
Industrials |
17,546 |
29 |
0 |
(20 |
) |
0 |
(1,604 |
) |
1,050 |
0 |
17,001 |
(1,604 |
) | |||||||||||||||||||||||||||
U.S. Government Agencies |
4,628 |
0 |
(66 |
) |
10 |
21 |
194 |
0 |
0 |
4,787 |
190 |
|||||||||||||||||||||||||||||
Non-Agency Mortgage-Backed Securities |
401 |
9 |
(70 |
) |
(2 |
) |
(34 |
) |
50 |
0 |
(354 |
) |
0 |
0 |
||||||||||||||||||||||||||
Asset-Backed Securities |
||||||||||||||||||||||||||||||||||||||||
Whole Loan Collateral |
14 |
0 |
(1 |
) |
0 |
(1 |
) |
0 |
0 |
(12 |
) |
0 |
0 |
|||||||||||||||||||||||||||
Other ABS |
3,195 |
0 |
0 |
15 |
0 |
(25 |
) |
0 |
0 |
3,185 |
(25 |
) | ||||||||||||||||||||||||||||
Common Stocks |
||||||||||||||||||||||||||||||||||||||||
Communication Services (3) |
10,474 |
138 |
0 |
0 |
0 |
3,881 |
0 |
0 |
14,493 |
3,881 |
||||||||||||||||||||||||||||||
Consumer Discretionary (4) |
9,946 |
0 |
(10,168 |
) |
0 |
7,760 |
(7,522 |
) |
0 |
0 |
16 |
0 |
||||||||||||||||||||||||||||
Energy |
31 |
0 |
(34 |
) |
0 |
18 |
(15 |
) |
0 |
0 |
0 |
0 |
||||||||||||||||||||||||||||
Financials |
6,442 |
36 |
0 |
0 |
0 |
(744 |
) |
0 |
0 |
5,734 |
(745 |
) | ||||||||||||||||||||||||||||
Health Care |
24,167 |
0 |
0 |
0 |
0 |
(1,800 |
) |
0 |
0 |
22,367 |
(1,800 |
) | ||||||||||||||||||||||||||||
Industrials |
1,793 |
207 |
0 |
0 |
0 |
91 |
0 |
0 |
2,091 |
91 |
||||||||||||||||||||||||||||||
Warrants |
||||||||||||||||||||||||||||||||||||||||
Communication Services |
0 |
4,222 |
0 |
0 |
0 |
0 |
0 |
0 |
4,222 |
0 |
||||||||||||||||||||||||||||||
Financials |
1 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
0 |
||||||||||||||||||||||||||||||
Preferred Securities |
||||||||||||||||||||||||||||||||||||||||
Industrials |
0 |
0 |
0 |
0 |
(1,956 |
) |
1,956 |
0 |
0 |
0 |
0 |
|||||||||||||||||||||||||||||
$ |
128,126 |
$ |
38,429 |
$ |
(39,792 |
) |
$ |
123 |
$ |
6,062 |
$ |
(34 |
) |
$ |
1,262 |
$ |
(9,362 |
) |
$ |
124,814 |
$ |
28 |
||||||||||||||||||
44 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
December 31, 2024 |
(Unaudited) |
Category and Subcategory |
Beginning Balance at 06/30/2024 |
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 12/31/2024 |
Net Change in Unrealized Appreciation/ (Depreciation) on Investments Held at 12/31/2024 (2) |
||||||||||||||||||||||||||||||
Financial Derivative Instruments |
||||||||||||||||||||||||||||||||||||||||
Over the counter |
$ |
208 |
$ |
1 |
$ |
0 |
$ |
0 |
$ |
0 |
$ |
(24 |
) |
$ |
0 |
$ |
0 |
$ |
185 |
$ |
(23 |
) | ||||||||||||||||||
Totals |
$ |
128,334 |
$ |
38,430 |
$ |
(39,792 |
) |
$ |
123 |
$ |
6,062 |
$ |
(58 |
) |
$ |
1,262 |
$ |
(9,362 |
) |
$ |
124,999 |
$ |
5 |
|||||||||||||||||
The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:
Category and Subcategory |
Ending Balance at 12/31/2024 |
Valuation Technique |
Unobservable Inputs |
(% Unless Noted Otherwise) |
||||||||||||||||
Input Value(s) |
Weighted Average |
|||||||||||||||||||
Investments in Securities, at Value |
||||||||||||||||||||
Loan Participations and Assignments |
$ |
23,187 |
Discounted Cash Flow |
Discount Rate |
7.192-25.430 |
12.736 |
||||||||||||||
212 |
Expected Recovery |
Recovery Rate |
15.419 |
— |
||||||||||||||||
3,108 |
Indicative Market Quotation |
Broker Quote |
82.000 |
— |
||||||||||||||||
397 |
Other Valuation Techniques (5) |
— |
— |
— |
||||||||||||||||
8,083 |
Proxy Pricing |
Base Price |
98.286-100.000 |
99.630 |
||||||||||||||||
1,792 |
Recent Transaction |
Purchase Price |
99.500 |
— |
||||||||||||||||
14,138 |
Third Party Vendor |
Broker Quote |
99.188-100.250 |
99.695 |
||||||||||||||||
Corporate Bonds & Notes |
||||||||||||||||||||
Industrials |
15,923 |
Comparable Companies / Discounted Cash Flow |
Revenue Multiple /Discount Rate |
X/% |
1.000/9.750 |
— |
||||||||||||||
610 |
Indicative Market Quotation |
Broker Quote |
61.000 |
— |
||||||||||||||||
468 |
Other Valuation Techniques (5) |
— |
— |
— |
||||||||||||||||
U.S. Government Agencies |
4,787 |
Discounted Cash Flow |
Discount Rate |
11.599 |
— |
|||||||||||||||
Asset-Backed Securities |
||||||||||||||||||||
Whole Loan Collateral |
3,185 |
Discounted Cash Flow |
Discount Rate |
12.000-20.000 |
18.041 |
|||||||||||||||
Common Stocks |
||||||||||||||||||||
Communication Services |
11,995 |
Comparable Companies |
EBITDA Multiple |
X |
4.640 |
— |
||||||||||||||
2,323 |
Discounted Cash Flow |
Discount Rate |
12.280 |
— |
||||||||||||||||
175 |
Reference Instrument |
Stock Price w/ Liquidity Discount |
10.000 |
— |
||||||||||||||||
Consumer Discretionary |
16 |
Discounted Cash Flow/ Comparable Companies |
Discount Rate/ Revenue multiple |
X/% |
20.750/0.500 |
— |
||||||||||||||
Financials |
5,721 |
Comparable Companies |
EBITDA Multiple |
X |
4.600 |
— |
||||||||||||||
13 |
Other Valuation Techniques (5) |
— |
— |
— |
||||||||||||||||
Health Care |
22,367 |
Comparable Companies |
EBITDA Multiple |
X |
13.750 |
|||||||||||||||
Industrials |
1,808 |
Indicative Market Quotation |
Broker Quote |
$ |
1.130-25.125 |
2.927 |
||||||||||||||
283 |
Other Valuation Techniques (5) |
— |
— |
— |
||||||||||||||||
Warrants |
||||||||||||||||||||
Communication Services |
4,222 |
Recent Transaction |
Purchase Price |
$ |
13.000 |
— |
||||||||||||||
Financials |
1 |
Option Pricing Model |
Volatility |
32.500 |
— |
|||||||||||||||
Financial Derivative Instruments |
||||||||||||||||||||
Over the counter |
185 |
Indicative Market Quotation |
Broker Quote |
6.830 |
— |
|||||||||||||||
Total |
$ |
124,999 |
||||||||||||||||||
(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, 2024 may be due to an investment no longer held or categorized as Level 3 at period end. |
(3) |
Sector type updated from Industrials and Utilities to Communication Services since prior fiscal year end. |
(4) |
Sector type updated from Industrials and Utilities to Consumer Discretionary since prior fiscal year end. |
(5) |
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, 2024 | 45 |
Schedule of Investments |
PIMCO High Income Fund |
(Amounts in thousands*, except number of shares, contracts, units and ounces, if any)
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
INVESTMENTS IN SECURITIES 93.2% |
||||||||||||
LOAN PARTICIPATIONS AND ASSIGNMENTS 20.6% |
||||||||||||
Altice France SA |
||||||||||||
10.147% due 08/15/2028 ~ |
$ |
3,084 |
$ |
2,485 |
||||||||
AP Core Holdings LLC |
||||||||||||
9.971% due 09/01/2027 ~ |
8,189 |
7,969 |
||||||||||
Clover Holdings 2 LLC |
||||||||||||
TBD% due 11/01/2029 ~µ |
909 |
908 |
||||||||||
8.428% due 11/01/2031 ~ |
6,800 |
6,885 |
||||||||||
CoreWeave Compute Acquisition Co. LLC |
||||||||||||
TBD% (TSFR3M + 6.000%) due 05/16/2029 «~µ |
10,800 |
10,829 |
||||||||||
Diamond Sports Group LLC |
||||||||||||
TBD% due 05/25/2026 «~ |
1,427 |
220 |
||||||||||
Envision Healthcare Corp. |
||||||||||||
12.507% due 11/03/2028 ~ |
11,349 |
11,519 |
||||||||||
Forward Air Corp. |
||||||||||||
9.085% due 12/19/2030 ~ |
400 |
402 |
||||||||||
Gateway Casinos & Entertainment Ltd. |
||||||||||||
TBD% due 12/18/2030 |
5,483 |
5,577 |
||||||||||
Hudson’s Bay Co. |
||||||||||||
TBD% due 04/03/2026 |
2,373 |
2,373 |
||||||||||
iHeartCommunications, Inc. |
||||||||||||
7.721% due 05/01/2026 ~ |
490 |
438 |
||||||||||
J&J Ventures Gaming LLC |
||||||||||||
9.471% due 04/26/2028 «~ |
1,270 |
1,281 |
||||||||||
Lealand Finance Co. BV |
||||||||||||
7.471% due 06/30/2027 ~ |
105 |
54 |
||||||||||
8.472% due 12/31/2027 ~ |
571 |
230 |
||||||||||
MPH Acquisition Holdings LLC |
||||||||||||
9.026% due 09/01/2028 ~ |
7,151 |
6,173 |
||||||||||
Ocs Group Holdings Ltd. |
||||||||||||
TBD% due 11/27/2031 «~ |
GBP |
6,350 |
7,885 |
|||||||||
Poseidon Bidco SASU |
||||||||||||
7.683% (EUR003M + 5.000%) due 03/13/2030 ~ |
EUR |
3,000 |
2,029 |
|||||||||
Project Alpha Intermediate Holding, Inc. |
||||||||||||
TBD% due 11/22/2032 ~ |
$ |
1,100 |
1,118 |
|||||||||
7.579% due 10/28/2030 ~ |
698 |
704 |
||||||||||
Promotora de Informaciones SA |
||||||||||||
8.439% (EUR003M + 5.220%) due 12/31/2026 ~ |
EUR |
11,661 |
11,958 |
|||||||||
Promotora de Informaciones SA (5.000% PIK) |
||||||||||||
5.000% (EUR003M + 2.970%) due 06/30/2027 ~(b) |
352 |
347 |
||||||||||
Specialty Building Products Holdings LLC |
||||||||||||
8.207% due 10/15/2028 ~ |
$ |
798 |
795 |
|||||||||
Steenbok Lux Finco 2 SARL |
||||||||||||
10.000% due 06/30/2026 ~ |
EUR |
25,620 |
8,537 |
|||||||||
Subcalidora 2 SARL |
||||||||||||
8.433% (EUR003M + 5.750%) due 08/14/2029 «~ |
7,000 |
7,269 |
||||||||||
Syniverse Holdings, Inc. |
||||||||||||
11.329% due 05/13/2027 ~ |
$ |
19,391 |
19,474 |
|||||||||
The Stepstone Group MidCo 2 GMBH |
||||||||||||
TBD% due 12/04/2031 ~ |
EUR |
8,000 |
8,207 |
|||||||||
TBD% due 12/04/2031 ~ |
$ |
1,500 |
1,485 |
|||||||||
U.S. Renal Care, Inc. |
||||||||||||
9.471% due 06/20/2028 ~ |
21,223 |
19,933 |
||||||||||
Unicorn Bay |
||||||||||||
13.000% due 12/31/2026 « |
HKD |
52,929 |
6,821 |
|||||||||
Veritas U.S., Inc. |
||||||||||||
TBD% due 12/18/2027 |
$ |
223 |
224 |
|||||||||
TBD% due 12/09/2029 |
673 |
671 |
||||||||||
Wesco Aircraft Holdings, Inc. |
||||||||||||
13.153% (TSFR1M + 8.600%) due 02/01/2025 «~ |
6,727 |
7,201 |
||||||||||
Westmoreland Coal Co. |
||||||||||||
8.000% due 03/15/2029 |
2,694 |
1,684 |
||||||||||
Total Loan Participations and Assignments (Cost $174,742) |
163,685 |
|||||||||||
46 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
December 31, 2024 |
(Unaudited) |
| See Accompanying Notes | SEMIANNUAL REPORT |
| | DECEMBER 31, 2024 | 47 |
Schedule of Investments |
PIMCO High Income Fund |
(Cont.) |
48 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
December 31, 2024 |
(Unaudited) |
SHARES |
MARKET VALUE (000S) |
|||||||||||
INDUSTRIALS 0.3% |
||||||||||||
SVB Financial Trust |
||||||||||||
0.000% due 11/07/2032 (e) |
19,520 |
$ |
0 |
|||||||||
11.000% due 11/07/2032 |
4,283 |
2,142 |
||||||||||
2,142 |
||||||||||||
Total Preferred Securities (Cost $23,640) |
29,094 |
|||||||||||
REAL ESTATE INVESTMENT TRUSTS 0.5% |
||||||||||||
REAL ESTATE 0.5% |
||||||||||||
Uniti Group, Inc. |
193,839 |
1,066 |
||||||||||
VICI Properties, Inc. |
95,221 |
2,781 |
||||||||||
Total Real Estate Investment Trusts (Cost $1,509) |
3,847 |
|||||||||||
PRINCIPAL AMOUNT (000S) |
||||||||||||
SHORT-TERM INSTRUMENTS 0.1% |
||||||||||||
U.S. TREASURY BILLS 0.1% |
||||||||||||
4.537% due 01/30/2025 (e)(f) |
$ |
577 |
575 |
|||||||||
Total Short-Term Instruments (Cost $575) |
575 |
|||||||||||
Total Investments in Securities (Cost $867,049) |
738,243 |
|||||||||||
NOTES TO SCHEDULE OF INVESTMENTS:
* |
A zero balance may reflect actual amounts rounding to less than one thousand. |
^ |
Security is in default. |
« |
Security valued using significant unobservable inputs (Level 3). |
µ |
All or a portion of this amount represents unfunded loan commitments. The interest rate for the unfunded portion will be determined at the time of funding. 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) |
Zero coupon security. |
(f) |
Coupon represents a yield to maturity. |
(g) |
Security becomes interest bearing at a future date. |
(h) |
Perpetual maturity; date shown, if applicable, represents next contractual call date. |
(i) RESTRICTED SECURITIES:
Issuer Description |
Acquisition Date |
Cost |
Market Value |
Market Value as Percentage of Net Assets Applicable to Common Shareholders |
||||||||||||||||||
Amsurg Equity |
11/02/2023 - 11/06/2023 |
$ |
25,233 |
$ |
27,668 |
3.49 |
% | |||||||||||||||
Clover Holdings, Inc. |
12/09/2024 |
223 |
305 |
0.04 |
||||||||||||||||||
Drillco Holding Lux SA |
06/08/2023 |
3,411 |
4,285 |
0.54 |
||||||||||||||||||
Intelsat Emergence SA |
06/19/2017 - 02/23/2024 |
15,920 |
7,344 |
0.93 |
||||||||||||||||||
MNEQ Holdings, Inc. |
03/16/2023 - 03/29/2023 |
42 |
15 |
0.00 |
||||||||||||||||||
Steinhoff International Holdings NV |
06/30/2023 - 10/30/2023 |
0 |
0 |
0.00 |
||||||||||||||||||
Syniverse Holdings, Inc. |
05/12/2022 - 11/30/2024 |
2,930 |
2,942 |
0.37 |
||||||||||||||||||
West Marine |
09/12/2023 |
47 |
20 |
0.01 |
||||||||||||||||||
| See Accompanying Notes | SEMIANNUAL REPORT |
| | DECEMBER 31, 2024 | 49 |
Schedule of Investments |
PIMCO High Income Fund |
(Cont.) |
Issuer Description |
Acquisition Date |
Cost |
Market Value |
Market Value as Percentage of Net Assets Applicable to Common Shareholders |
||||||||||||||||||
Westmoreland Mining Holdings |
07/11/2016 - 10/19/2016 |
$ |
2,141 |
$ |
99 |
0.01 |
% | |||||||||||||||
Westmoreland Mining LLC |
06/30/2023 |
585 |
309 |
0.04 |
||||||||||||||||||
$ |
50,532 |
$ |
42,987 |
5.43 |
% | |||||||||||||||||
BORROWINGS AND OTHER FINANCING TRANSACTIONS
REVERSE REPURCHASE AGREEMENTS:
Counterparty |
Borrowing Rate (1) |
Settlement Date |
Maturity Date |
Amount Borrowed (1) |
Payable for Reverse Repurchase Agreements |
|||||||||||||||
BMO |
4.860 |
% |
11/20/2024 |
01/21/2025 |
$ (2,577 |
) |
$ |
(2,592 |
) | |||||||||||
BPS |
3.220 |
12/18/2024 |
TBD |
(2) |
EUR (733 |
) |
(761 |
) | ||||||||||||
BYR |
4.840 |
12/19/2024 |
03/18/2025 |
$ (583 |
) |
(584 |
) | |||||||||||||
4.960 |
10/09/2024 |
01/10/2025 |
(6,928 |
) |
(7,011 |
) | ||||||||||||||
4.960 |
11/20/2024 |
02/20/2025 |
(2,224 |
) |
(2,237 |
) | ||||||||||||||
CDC |
4.880 |
12/16/2024 |
04/15/2025 |
(1,678 |
) |
(1,682 |
) | |||||||||||||
4.880 |
12/17/2024 |
04/15/2025 |
(2,437 |
) |
(2,442 |
) | ||||||||||||||
5.010 |
12/16/2024 |
04/15/2025 |
(9,655 |
) |
(9,679 |
) | ||||||||||||||
5.010 |
12/23/2024 |
04/22/2025 |
(20,900 |
) |
(20,928 |
) | ||||||||||||||
5.030 |
10/23/2024 |
01/23/2025 |
(2,978 |
) |
(3,007 |
) | ||||||||||||||
5.030 |
12/04/2024 |
01/23/2025 |
(308 |
) |
(309 |
) | ||||||||||||||
5.030 |
12/18/2024 |
01/23/2025 |
(444 |
) |
(445 |
) | ||||||||||||||
5.130 |
10/28/2024 |
01/27/2025 |
(752 |
) |
(759 |
) | ||||||||||||||
5.130 |
11/22/2024 |
01/27/2025 |
(366 |
) |
(368 |
) | ||||||||||||||
5.130 |
11/25/2024 |
01/27/2025 |
(914 |
) |
(919 |
) | ||||||||||||||
5.130 |
12/12/2024 |
01/27/2025 |
(1,903 |
) |
(1,908 |
) | ||||||||||||||
5.220 |
11/25/2024 |
01/03/2025 |
(274 |
) |
(276 |
) | ||||||||||||||
5.220 |
12/05/2024 |
01/03/2025 |
(459 |
) |
(461 |
) | ||||||||||||||
5.220 |
12/17/2024 |
01/03/2025 |
(336 |
) |
(337 |
) | ||||||||||||||
5.310 |
12/09/2024 |
04/08/2025 |
(2,762 |
) |
(2,772 |
) | ||||||||||||||
DEU |
4.650 |
12/20/2024 |
TBD |
(2) |
(6,994 |
) |
(7,006 |
) | ||||||||||||
5.000 |
12/10/2024 |
03/11/2025 |
(18,603 |
) |
(18,663 |
) | ||||||||||||||
IND |
4.820 |
12/17/2024 |
03/17/2025 |
(3,976 |
) |
(3,985 |
) | |||||||||||||
4.910 |
12/17/2024 |
03/17/2025 |
(4,461 |
) |
(4,471 |
) | ||||||||||||||
5.120 |
12/24/2024 |
03/24/2025 |
(1,624 |
) |
(1,626 |
) | ||||||||||||||
5.140 |
12/24/2024 |
03/24/2025 |
(787 |
) |
(788 |
) | ||||||||||||||
5.180 |
10/30/2024 |
03/06/2025 |
(964 |
) |
(973 |
) | ||||||||||||||
5.500 |
12/17/2024 |
01/07/2025 |
(261 |
) |
(262 |
) | ||||||||||||||
NOM |
4.200 |
12/20/2024 |
TBD |
(2) |
(1,131 |
) |
(1,133 |
) | ||||||||||||
RCY |
5.060 |
12/06/2024 |
01/06/2025 |
(992 |
) |
(996 |
) | |||||||||||||
SOG |
4.870 |
12/18/2024 |
03/18/2025 |
(2,116 |
) |
(2,121 |
) | |||||||||||||
4.940 |
12/11/2024 |
02/18/2025 |
(249 |
) |
(249 |
) | ||||||||||||||
5.100 |
10/09/2024 |
01/09/2025 |
(6,340 |
) |
(6,417 |
) | ||||||||||||||
5.220 |
10/09/2024 |
01/09/2025 |
(3,147 |
) |
(3,185 |
) | ||||||||||||||
5.220 |
12/17/2024 |
01/09/2025 |
(621 |
) |
(622 |
) | ||||||||||||||
UBS |
3.172 |
12/20/2024 |
03/20/2025 |
EUR (2,898 |
) |
(3,005 |
) | |||||||||||||
Total Reverse Repurchase Agreements |
$ |
(114,979 |
) | |||||||||||||||||
BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY
The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral pledged/(received) as of December 31, 2024:
Counterparty |
Repurchase Agreement Proceeds to be Received |
Payable for Reverse Repurchase Agreements |
Payable for Sale-Buyback Transactions |
Total Borrowings and Other Financing Transactions |
Collateral Pledged/(Received) |
Net Exposure (3) |
||||||||||||||||||
Global/Master Repurchase Agreement |
||||||||||||||||||||||||
BMO |
$ |
0 |
$ |
(2,592 |
) |
$ |
0 |
$ |
(2,592 |
) |
$ |
2,665 |
$ |
73 |
||||||||||
BPS |
0 |
(761 |
) |
0 |
(761 |
) |
858 |
97 |
||||||||||||||||
BYR |
0 |
(9,832 |
) |
0 |
(9,832 |
) |
11,639 |
1,807 |
||||||||||||||||
CDC |
0 |
(46,292 |
) |
0 |
(46,292 |
) |
52,955 |
6,663 |
||||||||||||||||
DEU |
0 |
(25,669 |
) |
0 |
(25,669 |
) |
27,449 |
1,780 |
||||||||||||||||
IND |
0 |
(12,105 |
) |
0 |
(12,105 |
) |
13,760 |
1,655 |
||||||||||||||||
NOM |
0 |
(1,133 |
) |
0 |
(1,133 |
) |
1,235 |
102 |
||||||||||||||||
50 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
December 31, 2024 |
(Unaudited) |
Counterparty |
Repurchase Agreement Proceeds to be Received |
Payable for Reverse Repurchase Agreements |
Payable for Sale-Buyback Transactions |
Total Borrowings and Other Financing Transactions |
Collateral Pledged/(Received) |
Net Exposure (3) |
||||||||||||||||||
RCY |
$ |
0 |
$ |
(996 |
) |
$ |
0 |
$ |
(996 |
) |
$ |
1,131 |
$ |
135 |
||||||||||
SOG |
0 |
(12,594 |
) |
0 |
(12,594 |
) |
13,749 |
1,155 |
||||||||||||||||
UBS |
0 |
(3,005 |
) |
0 |
(3,005 |
) |
3,448 |
443 |
||||||||||||||||
Total Borrowings and Other Financing Transactions |
$ |
0 |
$ |
(114,979 |
) |
$ |
0 |
|||||||||||||||||
CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS
Remaining Contractual Maturity of the Agreements
Overnight and Continuous |
Up to 30 days |
31-90 days |
Greater Than 90 days |
Total |
||||||||||||||||
Reverse Repurchase Agreements |
||||||||||||||||||||
Corporate Bonds & Notes |
$ |
0 |
$ |
(28,878 |
) |
$ |
(38,702 |
) |
$ |
(25,959 |
) |
$ |
(93,539 |
) | ||||||
Sovereign Issues |
0 |
0 |
0 |
(1,133 |
) |
(1,133 |
) | |||||||||||||
U.S. Government Agencies |
0 |
(996 |
) |
0 |
0 |
(996 |
) | |||||||||||||
Preferred Securities |
0 |
0 |
0 |
(16,539 |
) |
(16,539 |
) | |||||||||||||
Non-Agency Mortgage-Backed Securities |
0 |
0 |
0 |
(2,772 |
) |
(2,772 |
) | |||||||||||||
Total Borrowings |
$ |
0 |
$ |
(29,874 |
) |
$ |
(38,702 |
) |
$ |
(46,403 |
) |
$ |
(114,979 |
) | ||||||
Payable for reverse repurchase agreements |
$ |
(114,979 |
) | |||||||||||||||||
(j) |
Securities with an aggregate market value of $129,119 and cash of $351 have been pledged as collateral under the terms of the above master agreements as of December 31, 2024. |
(1) |
The average amount of borrowings outstanding during the period ended December 31, 2024 was $(122,573) at a weighted average interest rate of 5.403%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. |
(2) |
Open maturity reverse repurchase agreement. |
(3) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information. |
(k) FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED
SWAP AGREEMENTS:
INTEREST RATE SWAPS
Pay/Receive Floating Rate |
Floating Rate Index |
Fixed Rate |
Payment Frequency |
Maturity Date |
Notional Amount |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Market Value |
Variation Margin |
|||||||||||||||||||||||||||||||
Asset |
Liability |
|||||||||||||||||||||||||||||||||||||||
Pay |
1-Day GBP-SONIO Compounded-OIS |
4.000 |
% |
Annual |
09/18/2029 |
GBP |
40,800 |
$ |
696 |
$ |
(958 |
) |
$ |
(262 |
) |
$ |
112 |
$ |
0 |
|||||||||||||||||||||
Receive |
1-Day GBP-SONIO Compounded-OIS |
0.750 |
Annual |
09/21/2032 |
13,400 |
1,297 |
2,479 |
3,776 |
0 |
(40 |
) | |||||||||||||||||||||||||||||
Receive |
1-Day GBP-SONIO Compounded-OIS |
2.000 |
Annual |
03/15/2033 |
6,900 |
768 |
656 |
1,424 |
0 |
(23 |
) | |||||||||||||||||||||||||||||
Receive |
1-Day GBP-SONIO Compounded-OIS |
0.750 |
Annual |
09/21/2052 |
2,700 |
(7 |
) |
1,954 |
1,947 |
0 |
(8 |
) | ||||||||||||||||||||||||||||
Receive |
1-Day USD-SOFR Compounded-OIS |
2.350 |
Annual |
01/17/2025 |
$ |
13,700 |
1 |
401 |
402 |
2 |
0 |
|||||||||||||||||||||||||||||
Receive |
1-Day USD-SOFR Compounded-OIS |
2.300 |
Annual |
01/17/2026 |
2,200 |
1 |
105 |
106 |
1 |
0 |
||||||||||||||||||||||||||||||
Receive |
1-Day USD-SOFR Compounded-OIS |
0.850 |
Semi-Annual |
02/01/2027 |
43,700 |
253 |
3,003 |
3,256 |
17 |
0 |
||||||||||||||||||||||||||||||
Pay |
1-Day USD-SOFR Compounded-OIS |
1.750 |
Annual |
06/15/2027 |
112,200 |
(2,687 |
) |
(5,431 |
) |
(8,118 |
) |
0 |
(49 |
) | ||||||||||||||||||||||||||
Pay |
1-Day USD-SOFR Compounded-OIS |
3.250 |
Annual |
06/21/2028 |
23,400 |
(313 |
) |
(529 |
) |
(842 |
) |
0 |
(12 |
) | ||||||||||||||||||||||||||
Receive |
1-Day USD-SOFR Compounded-OIS |
1.370 |
Semi-Annual |
08/25/2028 |
27,135 |
(8 |
) |
2,724 |
2,716 |
17 |
0 |
|||||||||||||||||||||||||||||
Pay |
1-Day USD-SOFR Compounded-OIS |
3.750 |
Annual |
12/20/2028 |
89,500 |
784 |
(1,789 |
) |
(1,005 |
) |
0 |
(44 |
) | |||||||||||||||||||||||||||
Pay |
1-Day USD-SOFR Compounded-OIS |
3.000 |
Semi-Annual |
06/19/2029 |
79,200 |
1,112 |
(5,439 |
) |
(4,327 |
) |
0 |
(53 |
) | |||||||||||||||||||||||||||
Pay |
1-Day USD-SOFR Compounded-OIS |
3.750 |
Annual |
06/20/2029 |
76,900 |
(969 |
) |
(507 |
) |
(1,476 |
) |
0 |
(38 |
) | ||||||||||||||||||||||||||
Receive |
1-Day USD-SOFR Compounded-OIS |
3.750 |
Annual |
06/20/2029 |
31,000 |
(587 |
) |
1,188 |
601 |
15 |
0 |
|||||||||||||||||||||||||||||
Pay |
1-Day USD-SOFR Compounded-OIS |
2.000 |
Annual |
12/21/2029 |
53,300 |
(5,501 |
) |
585 |
(4,916 |
) |
0 |
(28 |
) | |||||||||||||||||||||||||||
Receive |
1-Day USD-SOFR Compounded-OIS |
1.000 |
Semi-Annual |
12/16/2030 |
127 |
0 |
22 |
22 |
0 |
0 |
||||||||||||||||||||||||||||||
Receive |
1-Day USD-SOFR Compounded-OIS |
0.750 |
Semi-Annual |
06/16/2031 |
7,300 |
427 |
1,060 |
1,487 |
7 |
0 |
||||||||||||||||||||||||||||||
Receive |
1-Day USD-SOFR Compounded-OIS |
1.350 |
Semi-Annual |
02/09/2032 |
139,800 |
492 |
25,318 |
25,810 |
157 |
0 |
||||||||||||||||||||||||||||||
Receive |
1-Day USD-SOFR Compounded-OIS |
1.250 |
Annual |
06/15/2032 |
87,000 |
4,224 |
13,223 |
17,447 |
106 |
0 |
||||||||||||||||||||||||||||||
Receive |
1-Day USD-SOFR Compounded-OIS |
1.750 |
Annual |
06/15/2032 |
59,500 |
2,570 |
7,296 |
9,866 |
71 |
0 |
||||||||||||||||||||||||||||||
Pay |
1-Day USD-SOFR Compounded-OIS |
3.500 |
Semi-Annual |
06/19/2044 |
395,600 |
59,600 |
(107,123 |
) |
(47,523 |
) |
0 |
(589 |
) | |||||||||||||||||||||||||||
Receive |
1-Day USD-SOFR Compounded-OIS |
2.000 |
Semi-Annual |
01/15/2050 |
35,600 |
(247 |
) |
13,121 |
12,874 |
44 |
0 |
|||||||||||||||||||||||||||||
Receive |
1-Day USD-SOFR Compounded-OIS |
1.750 |
Semi-Annual |
01/22/2050 |
55,100 |
(135 |
) |
22,240 |
22,105 |
70 |
0 |
|||||||||||||||||||||||||||||
Receive |
1-Day USD-SOFR Compounded-OIS |
1.875 |
Semi-Annual |
02/07/2050 |
42,480 |
(165 |
) |
16,303 |
16,138 |
52 |
0 |
|||||||||||||||||||||||||||||
Pay |
1-Day USD-SOFR Compounded-OIS |
2.000 |
Semi-Annual |
12/15/2051 |
29,200 |
2,061 |
(12,913 |
) |
(10,852 |
) |
0 |
(37 |
) | |||||||||||||||||||||||||||
Receive |
1-Day USD-SOFR Compounded-OIS |
1.700 |
Semi-Annual |
02/01/2052 |
223,450 |
(4,208 |
) |
98,309 |
94,101 |
295 |
0 |
|||||||||||||||||||||||||||||
Receive |
1-Day USD-SOFR Compounded-OIS |
2.750 |
Annual |
06/21/2053 |
9,700 |
916 |
1,187 |
2,103 |
11 |
0 |
||||||||||||||||||||||||||||||
| See Accompanying Notes | SEMIANNUAL REPORT |
| | DECEMBER 31, 2024 | 51 |
Schedule of Investments |
PIMCO High Income Fund |
(Cont.) |
FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED SUMMARY
The following is a summary of the market value and variation margin of Exchange-Traded or Centrally Cleared Financial Derivative Instruments as of December 31, 2024:
Financial Derivative Assets |
Financial Derivative Liabilities |
|||||||||||||||||||||||||||||||||||
Market Value |
Variation Margin Asset |
Total |
Market Value |
Variation Margin Liability |
Total |
|||||||||||||||||||||||||||||||
Purchased Options |
Futures |
Swap Agreements |
Written Options |
Futures |
Swap Agreements |
|||||||||||||||||||||||||||||||
Total Exchange-Traded or Centrally Cleared |
$ |
0 |
$ |
0 |
$ |
1,138 |
$ |
1,138 |
$ |
0 |
$ |
0 |
$ |
(1,064) |
$ |
(1,064) |
||||||||||||||||||||
Cash of $13,170 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2024. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information.
(1) |
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. |
(l) FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER
FORWARD FOREIGN CURRENCY CONTRACTS:
Counterparty |
Settlement Month |
Currency to be Delivered |
Currency to be Received |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||
Asset |
Liability |
|||||||||||||||||||||||
BOA |
02/2025 |
HKD |
28,182 |
$ |
3,627 |
$ |
0 |
$ |
(4 |
) | ||||||||||||||
BPS |
01/2025 |
BRL |
3,548 |
631 |
57 |
0 |
||||||||||||||||||
01/2025 |
CAD |
1,066 |
760 |
18 |
0 |
|||||||||||||||||||
01/2025 |
EUR |
642 |
679 |
14 |
0 |
|||||||||||||||||||
01/2025 |
$ |
573 |
BRL |
3,548 |
1 |
0 |
||||||||||||||||||
01/2025 |
1,196 |
CAD |
1,719 |
0 |
0 |
|||||||||||||||||||
01/2025 |
2,067 |
EUR |
1,961 |
0 |
(35 |
) | ||||||||||||||||||
BRC |
01/2025 |
TRY |
531 |
$ |
14 |
0 |
(1 |
) | ||||||||||||||||
01/2025 |
$ |
1,157 |
EUR |
1,094 |
0 |
(23 |
) | |||||||||||||||||
02/2025 |
TRY |
846 |
$ |
22 |
0 |
(1 |
) | |||||||||||||||||
02/2025 |
$ |
5,471 |
TRY |
207,158 |
116 |
0 |
||||||||||||||||||
03/2025 |
1,269 |
48,597 |
14 |
0 |
||||||||||||||||||||
CBK |
01/2025 |
950 |
EUR |
902 |
0 |
(15 |
) | |||||||||||||||||
02/2025 |
DOP |
1,217 |
$ |
20 |
0 |
0 |
||||||||||||||||||
DUB |
02/2025 |
PEN |
2,697 |
720 |
4 |
0 |
||||||||||||||||||
03/2025 |
3,267 |
859 |
0 |
(9 |
) | |||||||||||||||||||
FAR |
01/2025 |
BRL |
3,559 |
575 |
0 |
(1 |
) | |||||||||||||||||
01/2025 |
$ |
578 |
BRL |
3,559 |
0 |
(2 |
) | |||||||||||||||||
02/2025 |
BRL |
3,578 |
$ |
579 |
3 |
0 |
||||||||||||||||||
GLM |
01/2025 |
DOP |
243 |
4 |
0 |
0 |
||||||||||||||||||
02/2025 |
121,944 |
2,002 |
15 |
0 |
||||||||||||||||||||
02/2025 |
$ |
450 |
BRL |
2,596 |
0 |
(32 |
) | |||||||||||||||||
03/2025 |
DOP |
202,519 |
$ |
3,306 |
15 |
0 |
||||||||||||||||||
JPM |
02/2025 |
$ |
259 |
TRY |
10,421 |
27 |
0 |
|||||||||||||||||
05/2025 |
2,056 |
90,634 |
216 |
0 |
||||||||||||||||||||
MBC |
01/2025 |
EUR |
71,911 |
$ |
75,767 |
1,242 |
0 |
|||||||||||||||||
01/2025 |
$ |
1,626 |
EUR |
1,542 |
0 |
(28 |
) | |||||||||||||||||
02/2025 |
HKD |
24,576 |
$ |
3,164 |
0 |
(2 |
) | |||||||||||||||||
MYI |
02/2025 |
$ |
2,414 |
TRY |
91,361 |
47 |
0 |
|||||||||||||||||
SCX |
01/2025 |
GBP |
3,811 |
$ |
4,837 |
66 |
0 |
|||||||||||||||||
UAG |
02/2025 |
$ |
99 |
TRY |
4,045 |
11 |
0 |
|||||||||||||||||
Total Forward Foreign Currency Contracts |
$ |
1,866 |
$ |
(153 |
) | |||||||||||||||||||
52 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
December 31, 2024 |
(Unaudited) |
SWAP AGREEMENTS:
CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION
(1)
Counterparty |
Reference Entity |
Fixed Receive Rate |
Payment Frequency |
Maturity Date |
Implied Credit Spread at December 31, 2024 (2) |
Notional Amount (3) |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Swap Agreements, at Value (4) |
|||||||||||||||||||||||||||||||||
Asset |
Liability |
|||||||||||||||||||||||||||||||||||||||||
DUB |
Eskom « |
4.650 |
% |
Quarterly |
06/30/2029 |
0.068 |
% |
$ |
3,300 |
$ |
0 |
$ |
227 |
$ |
227 |
$ |
0 |
|||||||||||||||||||||||||
JPM |
Banca Monte Dei Paschi Di nca Monte Dei Paschi Di |
5.000 |
Quarterly |
06/20/2025 |
0.562 |
EUR |
200 |
(4 |
) |
9 |
5 |
0 |
||||||||||||||||||||||||||||||
MYC |
Petroleos Mexicanos |
1.000 |
Quarterly |
12/20/2028 |
4.056 |
$ |
900 |
(176 |
) |
84 |
0 |
(92 |
) | |||||||||||||||||||||||||||||
Total Swap Agreements |
$ |
(180 |
) |
$ |
320 |
$ |
232 |
$ |
(92 |
) | ||||||||||||||||||||||||||||||||
FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER SUMMARY
The following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral pledged/(received) as of December 31, 2024:
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 |
$ |
0 |
$ |
0 |
$ |
0 |
$ |
0 |
$ |
(4 |
) |
$ |
0 |
$ |
0 |
$ |
(4 |
) |
$ |
(4 |
) |
$ |
0 |
$ |
(4 |
) | ||||||||||||||||||||||
BPS |
90 |
0 |
0 |
90 |
(35 |
) |
0 |
0 |
(35 |
) |
55 |
0 |
55 |
|||||||||||||||||||||||||||||||||||
BRC |
130 |
0 |
0 |
130 |
(25 |
) |
0 |
0 |
(25 |
) |
105 |
(20 |
) |
85 |
||||||||||||||||||||||||||||||||||
CBK |
0 |
0 |
0 |
0 |
(15 |
) |
0 |
0 |
(15 |
) |
(15 |
) |
0 |
(15 |
) | |||||||||||||||||||||||||||||||||
DUB |
4 |
0 |
227 |
231 |
(9 |
) |
0 |
0 |
(9 |
) |
222 |
(192 |
) |
30 |
||||||||||||||||||||||||||||||||||
FAR |
3 |
0 |
0 |
3 |
(3 |
) |
0 |
0 |
(3 |
) |
0 |
0 |
0 |
|||||||||||||||||||||||||||||||||||
GLM |
30 |
0 |
0 |
30 |
(32 |
) |
0 |
0 |
(32 |
) |
(2 |
) |
0 |
(2 |
) | |||||||||||||||||||||||||||||||||
JPM |
243 |
0 |
5 |
248 |
0 |
0 |
0 |
0 |
248 |
(222 |
) |
26 |
||||||||||||||||||||||||||||||||||||
MBC |
1,242 |
0 |
0 |
1,242 |
(30 |
) |
0 |
0 |
(30 |
) |
1,212 |
(880 |
) |
332 |
||||||||||||||||||||||||||||||||||
MYC |
0 |
0 |
0 |
0 |
0 |
0 |
(92 |
) |
(92 |
) |
(92 |
) |
0 |
(92 |
) | |||||||||||||||||||||||||||||||||
MYI |
47 |
0 |
0 |
47 |
0 |
0 |
0 |
0 |
47 |
0 |
47 |
|||||||||||||||||||||||||||||||||||||
SCX |
66 |
0 |
0 |
66 |
0 |
0 |
0 |
0 |
66 |
0 |
66 |
|||||||||||||||||||||||||||||||||||||
UAG |
11 |
0 |
0 |
11 |
0 |
0 |
0 |
0 |
11 |
0 |
11 |
|||||||||||||||||||||||||||||||||||||
Total Over the Counter |
$ |
1,866 |
$ |
0 |
$ |
232 |
$ |
2,098 |
$ |
(153 |
) |
$ |
0 |
$ |
(92 |
) |
$ |
(245 |
) |
|||||||||||||||||||||||||||||
(1) |
If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) |
Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(3) |
The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(4) |
The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(5) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information. |
| See Accompanying Notes | SEMIANNUAL REPORT |
| | DECEMBER 31, 2024 | 53 |
Schedule of Investments |
PIMCO High Income Fund |
(Cont.) |
FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS
The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal and Other Risks, in the Notes to Financial Statements on risks of the Fund.
Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of December 31, 2024:
The effect of Financial Derivative Instruments on the Statements of Operations for the period ended December 31, 2024:
54 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
December 31, 2024 |
(Unaudited) |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2024 in valuing the Fund’s assets and liabilities:
Category and Subcategory |
Level 1 |
Level 2 |
Level 3 |
Fair Value at 12/31/2024 |
||||||||||||
Investments in Securities, at Value |
||||||||||||||||
Loan Participations and Assignments |
$ |
2,373 |
$ |
119,806 |
$ |
41,506 |
$ |
163,685 |
||||||||
Corporate Bonds & Notes |
||||||||||||||||
Banking & Finance |
0 |
62,164 |
0 |
62,164 |
||||||||||||
Industrials |
0 |
128,543 |
24,193 |
152,736 |
||||||||||||
Utilities |
0 |
36,066 |
0 |
36,066 |
||||||||||||
Convertible Bonds & Notes |
||||||||||||||||
Industrials |
0 |
4,271 |
0 |
4,271 |
||||||||||||
Municipal Bonds & Notes |
||||||||||||||||
Michigan |
0 |
1,780 |
0 |
1,780 |
||||||||||||
Puerto Rico |
0 |
1,106 |
0 |
1,106 |
||||||||||||
Texas |
0 |
7,885 |
0 |
7,885 |
||||||||||||
West Virginia |
0 |
6,167 |
0 |
6,167 |
||||||||||||
U.S. Government Agencies |
0 |
8,263 |
8,264 |
16,527 |
||||||||||||
Non-Agency Mortgage-Backed Securities |
0 |
82,141 |
0 |
82,141 |
||||||||||||
Asset-Backed Securities |
||||||||||||||||
Home Equity Other |
0 |
24,454 |
0 |
24,454 |
||||||||||||
Whole Loan Collateral |
0 |
9,121 |
0 |
9,121 |
||||||||||||
Other ABS |
0 |
17,781 |
1,604 |
19,385 |
||||||||||||
Sovereign Issues |
0 |
45,844 |
0 |
45,844 |
||||||||||||
Common Stocks |
||||||||||||||||
Communication Services |
2,493 |
0 |
16,248 |
18,741 |
||||||||||||
Consumer Discretionary |
0 |
0 |
20 |
20 |
||||||||||||
Financials |
6,250 |
0 |
7,359 |
13,609 |
||||||||||||
Health Care |
0 |
0 |
27,668 |
27,668 |
||||||||||||
Industrials |
0 |
0 |
6,760 |
6,760 |
||||||||||||
Warrants |
||||||||||||||||
Communication Services |
0 |
0 |
4,597 |
4,597 |
||||||||||||
Preferred Securities |
||||||||||||||||
Banking & Finance |
0 |
22,293 |
4,659 |
26,952 |
||||||||||||
Industrials |
0 |
2,142 |
0 |
2,142 |
||||||||||||
Real Estate Investment Trusts |
||||||||||||||||
Real Estate |
3,847 |
0 |
0 |
3,847 |
||||||||||||
The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended December 31, 2024:
Category and Subcategory |
Beginning Balance at 06/30/2024 |
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 12/31/2024 |
Net Change in Unrealized Appreciation/ (Depreciation) on Investments Held at 12/31/2024 (2) |
||||||||||||||||||||||||||||||
Investments in Securities, at Value |
||||||||||||||||||||||||||||||||||||||||
Loan Participations and Assignments |
$ |
40,144 |
$ |
22,197 |
$ |
(19,489 |
) |
$ |
148 |
$ |
13 |
$ |
9,792 |
$ |
220 |
$ |
(11,519 |
) |
$ |
41,506 |
$ |
3 |
||||||||||||||||||
Corporate Bonds & Notes |
||||||||||||||||||||||||||||||||||||||||
Banking & Finance |
8,423 |
0 |
(8,471 |
) |
0 |
34 |
14 |
0 |
0 |
0 |
0 |
|||||||||||||||||||||||||||||
Industrials |
25,328 |
181 |
(145 |
) |
(26 |
) |
0 |
(2,317 |
) |
1,172 |
0 |
24,193 |
(2,316 |
) | ||||||||||||||||||||||||||
U.S. Government Agencies |
7,989 |
0 |
(115 |
) |
18 |
38 |
334 |
0 |
0 |
8,264 |
328 |
|||||||||||||||||||||||||||||
Non-Agency Mortgage-Backed Securities |
73 |
0 |
(2 |
) |
0 |
0 |
3 |
0 |
(74 |
) |
0 |
0 |
||||||||||||||||||||||||||||
Asset-Backed Securities |
1,738 |
0 |
0 |
0 |
0 |
(134 |
) |
0 |
0 |
1,604 |
(134 |
) | ||||||||||||||||||||||||||||
Common Stocks |
||||||||||||||||||||||||||||||||||||||||
Communication Services (3) |
11,810 |
175 |
0 |
0 |
0 |
4,263 |
0 |
0 |
16,248 |
4,263 |
||||||||||||||||||||||||||||||
Consumer Discretionary (4) |
12,262 |
0 |
(12,536 |
) |
0 |
9,618 |
(9,324 |
) |
0 |
0 |
20 |
0 |
||||||||||||||||||||||||||||
Energy |
182 |
0 |
(196 |
) |
0 |
104 |
(90 |
) |
0 |
0 |
0 |
0 |
||||||||||||||||||||||||||||
Financials |
8,271 |
42 |
0 |
0 |
0 |
(954 |
) |
0 |
0 |
7,359 |
(954 |
) | ||||||||||||||||||||||||||||
Health Care |
29,894 |
0 |
0 |
0 |
0 |
(2,226 |
) |
0 |
0 |
27,668 |
(2,226 |
) | ||||||||||||||||||||||||||||
Industrials |
6,198 |
224 |
0 |
0 |
0 |
338 |
0 |
0 |
6,760 |
338 |
||||||||||||||||||||||||||||||
Warrants |
||||||||||||||||||||||||||||||||||||||||
Communication Services |
0 |
4,597 |
0 |
0 |
0 |
0 |
0 |
0 |
4,597 |
0 |
||||||||||||||||||||||||||||||
Preferred Securities |
||||||||||||||||||||||||||||||||||||||||
Banking & Finance |
0 |
0 |
0 |
0 |
0 |
0 |
4,659 |
0 |
4,659 |
0 |
||||||||||||||||||||||||||||||
Industrials |
0 |
0 |
0 |
0 |
(1,984 |
) |
1,984 |
0 |
0 |
0 |
0 |
|||||||||||||||||||||||||||||
$ |
152,312 |
$ |
27,416 |
$ |
(40,954 |
) |
$ |
140 |
$ |
7,823 |
$ |
1,683 |
$ |
6,051 |
$ |
(11,593 |
) |
$ |
142,878 |
$ |
(698 |
) | ||||||||||||||||||
See Accompanying Notes |
SEMIANNUAL REPORT |
| |
DECEMBER 31, 2024 |
55 |
Schedule of Investments |
PIMCO High Income Fund |
(Cont.) |
December 31, 2024 |
(Unaudited) |
Category and Subcategory |
Beginning Balance at 06/30/2024 |
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 12/31/2024 |
Net Change in Unrealized Appreciation/ (Depreciation) on Investments Held at 12/31/2024 (2) |
||||||||||||||||||||||||||||||
Financial Derivative Instruments |
||||||||||||||||||||||||||||||||||||||||
Over the counter |
$ |
255 |
$ |
0 |
$ |
0 |
$ |
0 |
$ |
0 |
$ |
(28 |
) |
$ |
0 |
$ |
0 |
$ |
227 |
$ |
(28 |
) | ||||||||||||||||||
Totals |
$ |
152,567 |
$ |
27,416 |
$ |
(40,954 |
) |
$ |
140 |
$ |
7,823 |
$ |
1,655 |
$ |
6,051 |
$ |
(11,593 |
) |
$ |
143,105 |
$ |
(726 |
) | |||||||||||||||||
The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:
Category and Subcategory |
Ending Balance at 12/31/2024 |
Valuation Technique |
Unobservable Inputs |
(% Unless Noted Otherwise) |
||||||||||||||||
Input Value(s) |
Weighted Average |
|||||||||||||||||||
Investments in Securities, at Value |
||||||||||||||||||||
Loan Participations and Assignments |
$ |
19,311 |
Discounted Cash Flow |
Discount Rate |
8.978-25.430 |
15.675 |
||||||||||||||
220 |
Expected Recovery |
Recovery Rate |
15.419 |
— |
||||||||||||||||
6,821 |
Proxy Pricing |
Base Price |
100.000 |
— |
||||||||||||||||
15,154 |
Third Party Vendor |
Broker Quote |
99.188-100.250 |
99.697 |
||||||||||||||||
Corporate Bonds & Notes |
||||||||||||||||||||
Industrials |
22,987 |
Comparable Companies/ Discounted Cash Flow |
Revenue Multiple/Discount Rate |
x/% |
1.000/9.750 |
— |
||||||||||||||
732 |
Indicative Market Quotation |
Broker Quote |
61.000 |
— |
||||||||||||||||
474 |
Other Valuation Techniques (5) |
— |
— |
— |
||||||||||||||||
U.S. Government Agencies |
8,264 |
Discounted Cash Flow |
Discount Rate |
11.599 |
— |
|||||||||||||||
Asset-Backed Securities |
1,604 |
Discounted Cash Flow |
Discount Rate |
12.000-20.000 |
13.877 |
|||||||||||||||
Common Stocks |
||||||||||||||||||||
Communication Services |
13,059 |
Comparable Companies |
EBITDA Multiple |
X |
4.640 |
— |
||||||||||||||
2,942 |
Discounted Cash Flow |
Discount Rate |
12.280 |
— |
||||||||||||||||
247 |
Reference Instrument |
Stock Price w/Liquidity Discount |
10.000 |
— |
||||||||||||||||
Consumer Discretionary |
20 |
Discounted Cash Flow/ Comparable Companies |
Discount Rate/Revenue multiple |
%/x |
20.750/0.500 |
— |
||||||||||||||
Financials |
7,344 |
Comparable Companies |
EBITDA Multiple |
X |
4.600 |
— |
||||||||||||||
15 |
Other Valuation Techniques (5) |
— |
— |
— |
||||||||||||||||
Health Care |
27,668 |
Comparable Companies |
EBITDA Multiple |
X |
13.750 |
— |
||||||||||||||
Industrials |
6,455 |
Indicative Market Quotation |
Broker Quote |
$ |
1.130-25.125 |
2.927 |
||||||||||||||
305 |
Other Valuation Techniques (5) |
— |
— |
— |
||||||||||||||||
Warrants |
||||||||||||||||||||
Communication Services |
4,597 |
Recent Transaction |
Purchase Price |
$ |
13.000 |
— |
||||||||||||||
Preferred Securities |
||||||||||||||||||||
Banking & Finance |
4,659 |
Other Valuation Techniques (5) |
— |
— |
— |
|||||||||||||||
Financial Derivative Instruments |
||||||||||||||||||||
Over the counter |
227 |
Indicative Market Quotation |
Broker Quote |
6.830 |
— |
|||||||||||||||
Total |
$ |
143,105 |
||||||||||||||||||
(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, 2024 may be due to an investment no longer held or categorized as Level 3 at period end. |
(3) |
Sector type updated from Industrials and Utilities to Communication Services since prior fiscal year end. |
(4) |
Sector type updated from Industrials and Utilities to Consumer Discretionary since prior fiscal year end. |
(5) |
Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not considered significant to the Fund. |
56 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
Schedule of Investments |
PIMCO Income Strategy Fund |
December 31, 2024 |
(Unaudited) |
(Amounts in thousands*, except number of shares, contracts, units and ounces, if any)
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
INVESTMENTS IN SECURITIES 99.9% |
||||||||||||
LOAN PARTICIPATIONS AND ASSIGNMENTS 28.5% |
||||||||||||
Advisor Group, Inc. |
||||||||||||
7.857% due 08/17/2028 ~ |
$ |
199 |
$ |
200 |
||||||||
Air Canada |
||||||||||||
6.337% due 03/21/2031 ~ |
100 |
100 |
||||||||||
AL GCX Holdings LLC |
||||||||||||
7.257% due 05/17/2029 ~ |
1,492 |
1,504 |
||||||||||
AP Core Holdings LLC |
||||||||||||
9.971% due 09/01/2027 ~ |
7,055 |
6,873 |
||||||||||
Auris Luxembourg III SARL |
||||||||||||
8.177% due 02/28/2029 ~ |
100 |
101 |
||||||||||
BDO U.S.A PC |
||||||||||||
9.524% due 08/31/2028 «~ |
1,347 |
1,355 |
||||||||||
Cengage Learning, Inc. |
||||||||||||
7.856% (PRIME + 2.500%) due 03/24/2031 ~ |
796 |
801 |
||||||||||
CoreWeave Compute Acquisition Co. LLC |
||||||||||||
TBD% (TSFR3M + 6.000%) due 05/16/2029 «~µ |
3,200 |
3,209 |
||||||||||
Databricks, Inc. |
||||||||||||
TBD% due 12/20/2030 «µ |
91 |
90 |
||||||||||
TBD% due 12/20/2030 « |
409 |
407 |
||||||||||
Diamond Sports Group LLC |
||||||||||||
TBD% due 05/25/2026 «~ |
960 |
148 |
||||||||||
DirecTV Financing LLC |
||||||||||||
9.847% due 08/02/2027 ~ |
334 |
336 |
||||||||||
Element Materials Technology Group U.S. Holdings, Inc. |
||||||||||||
8.079% due 07/06/2029 ~ |
1,980 |
1,995 |
||||||||||
Encina Private Credit LLC |
||||||||||||
TBD% due 11/30/2025 «µ |
801 |
787 |
||||||||||
Endure Digital, Inc. |
||||||||||||
8.138% due 02/10/2028 «~ |
1,197 |
981 |
||||||||||
Envision Healthcare Corp. |
||||||||||||
11.382% due 07/20/2026 «~ |
542 |
542 |
||||||||||
12.507% due 11/03/2028 ~ |
6,777 |
6,879 |
||||||||||
EPIC Y-Grade Services LP |
||||||||||||
10.340% (TSFR3M + 5.750%) due 06/29/2029 ~ |
1,097 |
1,101 |
||||||||||
Finastra U.S.A., Inc. |
||||||||||||
TBD% due 09/13/2029 «~µ |
56 |
56 |
||||||||||
TBD% due 09/13/2029 «~ |
540 |
548 |
||||||||||
First Brands Group LLC |
||||||||||||
9.847% due 03/30/2027 ~ |
1,594 |
1,499 |
||||||||||
Galaxy U.S. Opco, Inc. |
||||||||||||
9.335% due 04/29/2029 ~ |
1,777 |
1,588 |
||||||||||
Gateway Casinos & Entertainment Ltd. |
||||||||||||
TBD% due 12/18/2030 |
3,179 |
3,233 |
||||||||||
Hudson’s Bay Co. |
||||||||||||
TBD% due 04/03/2026 |
1,044 |
1,043 |
||||||||||
iHeartCommunications, Inc. |
||||||||||||
7.721% due 05/01/2026 ~ |
320 |
286 |
||||||||||
Ivanti Software, Inc. |
||||||||||||
9.121% due 12/01/2027 ~ |
4,666 |
3,826 |
||||||||||
J&J Ventures Gaming LLC |
||||||||||||
9.471% due 04/26/2028 «~ |
790 |
797 |
||||||||||
LABL, Inc. |
||||||||||||
9.457% due 10/29/2028 ~ |
1,588 |
1,539 |
||||||||||
Lealand Finance Co. BV |
||||||||||||
7.471% due 06/30/2027 ~ |
40 |
21 |
||||||||||
8.472% due 12/31/2027 ~ |
210 |
84 |
||||||||||
Lifepoint Health, Inc. |
||||||||||||
8.406% due 05/17/2031 ~ |
2,627 |
2,639 |
||||||||||
Magenta Security Holdings LLC |
||||||||||||
11.595% due 07/27/2028 ~ |
59 |
55 |
||||||||||
Magenta Security Holdings LLC (5.500% PIK) |
||||||||||||
5.500% due 07/27/2028 ~(b) |
264 |
93 |
||||||||||
Magenta Security Holdings LLC (6.250% PIK) |
||||||||||||
6.250% due 07/27/2028 ~(b) |
76 |
46 |
||||||||||
MI Windows and Doors LLC |
||||||||||||
7.357% due 03/28/2031 ~ |
100 |
101 |
||||||||||
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
MPH Acquisition Holdings LLC |
||||||||||||
9.026% due 09/01/2028 ~ |
$ |
4,770 |
$ |
4,117 |
||||||||
Obol France 3 SAS |
||||||||||||
8.058% (TSFR3M + 4.750%) due 12/31/2028 ~ |
EUR |
2,717 |
2,718 |
|||||||||
Ocs Group Holdings Ltd. |
||||||||||||
TBD% due 11/27/2031 «~ |
GBP |
1,600 |
1,987 |
|||||||||
Ontario Gaming GTA LP |
||||||||||||
8.579% due 08/01/2030 ~ |
$ |
99 |
99 |
|||||||||
Poseidon Bidco SASU |
||||||||||||
7.683% (EUR003M + 5.000%) due 03/13/2030 ~ |
EUR |
1,600 |
1,082 |
|||||||||
Promotora de Informaciones SA |
||||||||||||
8.439% (EUR003M + 5.220%) due 12/31/2026 ~ |
8,567 |
8,785 |
||||||||||
Promotora de Informaciones SA (5.000% PIK) |
||||||||||||
5.000% (EUR003M + 2.970%) due 06/30/2027 ~(b) |
162 |
160 |
||||||||||
RealPage, Inc. |
||||||||||||
7.590% due 04/24/2028 ~ |
$ |
1,413 |
1,412 |
|||||||||
SCUR-Alpha 1503 GmbH |
||||||||||||
8.556% (EUR003M + 0.055%) due 03/29/2030 ~ |
EUR |
1,100 |
1,125 |
|||||||||
10.085% due 03/29/2030 ~ |
$ |
1,670 |
1,597 |
|||||||||
Steenbok Lux Finco 2 SARL |
||||||||||||
10.000% due 06/30/2026 ~ |
EUR |
8,769 |
2,886 |
|||||||||
Subcalidora 2 SARL |
||||||||||||
8.433% (EUR003M + 5.750%) due 08/14/2029 «~ |
1,566 |
1,626 |
||||||||||
Syniverse Holdings, Inc. |
||||||||||||
11.329% due 05/13/2027 ~ |
$ |
8,936 |
8,974 |
|||||||||
Triton Water Holdings, Inc. |
||||||||||||
8.329% due 03/31/2028 ~ |
298 |
301 |
||||||||||
U.S. Renal Care, Inc. |
||||||||||||
9.471% due 06/20/2028 ~ |
9,520 |
8,941 |
||||||||||
Unicorn Bay |
||||||||||||
13.000% due 12/31/2026 « |
HKD |
25,456 |
3,281 |
|||||||||
Upfield BV |
||||||||||||
8.178% (EUR006M + 4.500%) due 01/03/2028 ~ |
EUR |
1,700 |
1,765 |
|||||||||
Veritas U.S., Inc. |
||||||||||||
TBD% due 12/18/2027 |
$ |
114 |
115 |
|||||||||
TBD% due 12/09/2029 |
344 |
343 |
||||||||||
Vistra Zero Operating Co. LLC |
||||||||||||
6.357% due 04/30/2031 ~ |
199 |
200 |
||||||||||
Wesco Aircraft Holdings, Inc. |
||||||||||||
13.153% (TSFR1M + 8.600%) due 02/01/2025 «~ |
3,373 |
3,611 |
||||||||||
Westmoreland Coal Co. |
||||||||||||
8.000% due 03/15/2029 |
776 |
485 |
||||||||||
Total Loan Participations and Assignments (Cost $105,232) |
100,473 |
|||||||||||
CORPORATE BONDS & NOTES 35.9% |
||||||||||||
BANKING & FINANCE 7.7% |
||||||||||||
Adler Financing SARL |
||||||||||||
12.500% due 12/31/2028 |
EUR |
2,559 |
2,742 |
|||||||||
Armor Holdco, Inc. |
||||||||||||
8.500% due 11/15/2029 (i) |
$ |
2,000 |
2,029 |
|||||||||
Banca Monte dei Paschi di Siena SpA |
||||||||||||
10.500% due 07/23/2029 |
EUR |
1,442 |
1,886 |
|||||||||
Barclays PLC |
||||||||||||
6.490% due 09/13/2029 •(i) |
$ |
200 |
208 |
|||||||||
6.692% due 09/13/2034 •(i) |
300 |
318 |
||||||||||
7.437% due 11/02/2033 •(i) |
970 |
1,068 |
||||||||||
BOI Finance BV |
||||||||||||
7.500% due 02/16/2027 |
EUR |
1,500 |
1,516 |
|||||||||
CaixaBank SA |
||||||||||||
6.840% due 09/13/2034 •(i) |
$ |
200 |
213 |
|||||||||
CBRE Services, Inc. |
||||||||||||
5.950% due 08/15/2034 (i) |
400 |
413 |
||||||||||
| See Accompanying Notes | SEMIANNUAL REPORT |
| | DECEMBER 31, 2024 | 57 |
Schedule of Investments |
PIMCO Income Strategy Fund |
(Cont.) |
58 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
December 31, 2024 |
(Unaudited) |
See Accompanying Notes |
SEMIANNUAL REPORT |
| |
DECEMBER 31, 2024 |
59 |
Schedule of Investments |
PIMCO Income Strategy Fund |
(Cont.) |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
SHORT-TERM INSTRUMENTS 0.1% |
||||||||||||
U.S. TREASURY BILLS 0.1% |
||||||||||||
4.537% due 01/30/2025 (e)(f) |
$ |
304 |
$ |
303 |
||||||||
Total Short-Term Instruments (Cost $303) |
303 |
|||||||||||
Total Investments in Securities (Cost $397,849) |
352,279 |
|||||||||||
MARKET VALUE (000S) |
||||||||||
Total Investments 115.2% (Cost $451,737) |
$ |
406,205 |
||||||||
Financial Derivative Instruments (j)(k) 0.2% (Cost or Premiums, net $(2,432)) |
812 |
|||||||||
Other Assets and Liabilities, net (15.4)% |
(54,521 |
) | ||||||||
Net Assets Applicable to Common Shareholders 100.0% |
$ |
352,496 |
||||||||
NOTES TO SCHEDULE OF INVESTMENTS:
* |
A zero balance may reflect actual amounts rounding to less than one thousand. |
^ |
Security is in default. |
« |
Security valued using significant unobservable inputs (Level 3). |
µ |
All or a portion of this amount represents unfunded loan commitments. The interest rate for the unfunded portion will be determined at the time of funding. See Note 4, Securities and Other Investments, in the Notes to Financial Statements for more information regarding unfunded loan commitments. |
~ |
Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description. |
• |
Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description. |
þ |
Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end. |
(a) |
Security is an Interest Only (“IO”) or IO Strip. |
(b) |
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) |
Zero coupon security. |
(f) |
Coupon represents a yield to maturity. |
(g) |
Perpetual maturity; date shown, if applicable, represents next contractual call date. |
(h) RESTRICTED SECURITIES:
Issuer Description |
Acquisition Date |
Cost |
Market Value |
Market Value as Percentage of Net Assets Applicable to Common Shareholders |
||||||||||||||||||
Amsurg Equity |
11/02/2023 - 11/06/2023 |
$ |
11,491 |
$ |
12,600 |
3.57 |
% | |||||||||||||||
Clover Holdings, Inc. |
12/09/2024 |
114 |
156 |
0.04 |
||||||||||||||||||
Drillco Holding Lux SA |
06/08/2023 |
529 |
665 |
0.19 |
||||||||||||||||||
Intelsat Emergence SA |
06/19/2017 - 02/23/2024 |
7,942 |
3,755 |
1.07 |
||||||||||||||||||
MNEQ Holdings, Inc. |
03/16/2023 - 03/29/2023 |
19 |
7 |
0.00 |
||||||||||||||||||
Steinhoff International Holdings NV |
06/30/2023 - 10/30/2023 |
0 |
0 |
0.00 |
||||||||||||||||||
Syniverse Holdings, Inc. |
05/12/2022 - 11/30/2024 |
1,368 |
1,374 |
0.39 |
||||||||||||||||||
West Marine |
09/12/2023 |
21 |
9 |
0.00 |
||||||||||||||||||
Westmoreland Mining Holdings |
12/08/2014 - 10/19/2016 |
727 |
28 |
0.01 |
||||||||||||||||||
Westmoreland Mining LLC |
06/30/2023 |
169 |
89 |
0.03 |
||||||||||||||||||
$ |
22,380 |
$ |
18,683 |
5.30 |
% | |||||||||||||||||
BORROWINGS AND OTHER FINANCING TRANSACTIONS
REVERSE REPURCHASE AGREEMENTS:
Counterparty |
Borrowing Rate (1) |
Settlement Date |
Maturity Date |
Amount Borrowed (1) |
Payable for Reverse Repurchase Agreements |
|||||||||||||||
BMO |
4.860 |
% |
11/20/2024 |
01/21/2025 |
$ (395 |
) |
$ |
(397 |
) | |||||||||||
BOS |
5.330 |
11/05/2024 |
02/05/2025 |
(3,178 |
) |
(3,205 |
) | |||||||||||||
BPS |
3.320 |
12/18/2024 |
TBD |
(2) |
EUR (1,136 |
) |
(1,179 |
) | ||||||||||||
3.396 |
12/19/2024 |
TBD |
(2) |
(784 |
) |
(813 |
) | |||||||||||||
60 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
December 31, 2024 |
(Unaudited) |
BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY
The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral pledged/(received) as of December 31, 2024:
Counterparty |
Repurchase Agreement Proceeds to be Received |
Payable for Reverse Repurchase Agreements |
Payable for Sale-Buyback Transactions |
Total Borrowings and Other Financing Transactions |
Collateral Pledged/ (Received) |
Net Exposure (3) |
||||||||||||||||||
Global/Master Repurchase Agreement |
||||||||||||||||||||||||
BMO |
$ |
0 |
$ |
(397 |
) |
$ |
0 |
$ |
(397 |
) |
$ |
413 |
$ |
16 |
||||||||||
BOS |
0 |
(3,205 |
) |
0 |
(3,205 |
) |
4,275 |
1,070 |
||||||||||||||||
BPS |
0 |
(1,992 |
) |
0 |
(1,992 |
) |
2,342 |
350 |
||||||||||||||||
BYR |
0 |
(10,521 |
) |
0 |
(10,521 |
) |
11,982 |
1,461 |
||||||||||||||||
CDC |
0 |
(22,128 |
) |
0 |
(22,128 |
) |
25,105 |
2,977 |
||||||||||||||||
DEU |
0 |
(1,930 |
) |
0 |
(1,930 |
) |
2,134 |
204 |
||||||||||||||||
IND |
0 |
(9,877 |
) |
0 |
(9,877 |
) |
11,661 |
1,784 |
||||||||||||||||
MSB |
0 |
(287 |
) |
0 |
(287 |
) |
313 |
26 |
||||||||||||||||
NOM |
0 |
(5,422 |
) |
0 |
(5,422 |
) |
5,590 |
168 |
||||||||||||||||
RCY |
0 |
(260 |
) |
0 |
(260 |
) |
305 |
45 |
||||||||||||||||
RTA |
0 |
(1,465 |
) |
0 |
(1,465 |
) |
1,687 |
222 |
||||||||||||||||
SOG |
0 |
(4,173 |
) |
0 |
(4,173 |
) |
4,437 |
264 |
||||||||||||||||
Total Borrowings and Other Financing Transactions |
$ |
0 |
$ |
(61,657 |
) |
$ |
0 |
|||||||||||||||||
See Accompanying Notes |
SEMIANNUAL REPORT |
| |
DECEMBER 31, 2024 |
61 |
Schedule of Investments |
PIMCO Income Strategy Fund |
(Cont.) |
CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS
Remaining Contractual Maturity of the Agreements
Overnight and Continuous |
Up to 30 days |
31-90 days |
Greater Than 90 days |
Total |
||||||||||||||||
Reverse Repurchase Agreements |
||||||||||||||||||||
Corporate Bonds & Notes |
$ |
0 |
$ |
(11,848 |
) |
$ |
(23,425 |
) |
$ |
(16,770 |
) |
$ |
(52,043 |
) | ||||||
U.S. Government Agencies |
0 |
(260 |
) |
0 |
0 |
(260 |
) | |||||||||||||
Non-Agency Mortgage-Backed Securities |
0 |
0 |
(2,467 |
) |
(287 |
) |
(2,754 |
) | ||||||||||||
Sovereign Issues |
0 |
0 |
0 |
(5,421 |
) |
(5,421 |
) | |||||||||||||
Preferred Securities |
0 |
0 |
0 |
(1,179 |
) |
(1,179 |
) | |||||||||||||
Total Borrowings |
$ |
0 |
$ |
(12,108 |
) |
$ |
(25,892 |
) |
$ |
(23,657 |
) |
$ |
(61,657 |
) | ||||||
Payable for reverse repurchase agreements |
$ |
(61,657 |
) | |||||||||||||||||
(i) |
Securities with an aggregate market value of $70,202 and cash of $350 have been pledged as collateral under the terms of the above master agreements as of December 31, 2024. |
(1) |
The average amount of borrowings outstanding during the period ended December 31, 2024 was $(61,507) at a weighted average interest rate of 5.470%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. |
(2) |
Open maturity reverse repurchase agreement. |
(3) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information. |
(j) FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED
SWAP AGREEMENTS:
CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION
(1)
Reference Entity |
Fixed Receive Rate |
Payment Frequency |
Maturity Date |
Implied Credit Spread at December 31, 2024 (2) |
Notional Amount (3) |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Market Value (4) |
Variation Margin |
|||||||||||||||||||||||||||||||||||
Asset |
Liability |
|||||||||||||||||||||||||||||||||||||||||||
Jaguar Land Rover Automotive |
5.000 |
% |
Quarterly |
06/20/2026 |
0.987 |
% |
EUR |
200 |
$ |
14 |
$ |
(1 |
) |
$ |
13 |
$ |
0 |
$ |
0 |
|||||||||||||||||||||||||
Jaguar Land Rover Automotive |
5.000 |
Quarterly |
12/20/2026 |
1.148 |
1,986 |
76 |
79 |
155 |
1 |
0 |
||||||||||||||||||||||||||||||||||
$ |
90 |
$ |
78 |
$ |
168 |
$ |
1 |
$ |
0 |
|||||||||||||||||||||||||||||||||||
INTEREST RATE SWAPS
Pay/Receive Floating Rate |
Floating Rate Index |
Fixed Rate |
Payment Frequency |
Maturity Date |
Notional Amount |
Premiums Paid(Received) |
Unrealized Appreciation/ (Depreciation) |
Market Value |
Variation Margin |
|||||||||||||||||||||||||||||
Asset |
Liability |
|||||||||||||||||||||||||||||||||||||
Pay |
1-Day GBP-SONIO Compounded-OIS |
4.000 |
% |
Annual |
09/18/2029 |
GBP |
19,100 |
$ |
346 |
$ |
(469 |
) |
$ |
(123 |
) |
$ |
52 |
$ |
0 |
|||||||||||||||||||
Receive |
1-Day GBP-SONIO Compounded-OIS |
0.750 |
Annual |
09/21/2032 |
7,300 |
709 |
1,348 |
2,057 |
0 |
(22 |
) | |||||||||||||||||||||||||||
Receive |
1-Day GBP-SONIO Compounded-OIS |
2.000 |
Annual |
03/15/2033 |
3,700 |
412 |
351 |
763 |
0 |
(12 |
) | |||||||||||||||||||||||||||
Receive |
1-Day GBP-SONIO Compounded-OIS |
0.750 |
Annual |
09/21/2052 |
300 |
(1 |
) |
217 |
216 |
0 |
(1 |
) | ||||||||||||||||||||||||||
Receive |
1-Day USD-SOFR Compounded-OIS |
2.350 |
Annual |
01/17/2025 |
$ |
6,400 |
1 |
187 |
188 |
1 |
0 |
|||||||||||||||||||||||||||
Pay |
1-Day USD-SOFR Compounded-OIS |
5.250 |
Annual |
06/17/2025 |
56,000 |
134 |
145 |
279 |
3 |
0 |
||||||||||||||||||||||||||||
Receive |
1-Day USD-SOFR Compounded-OIS |
2.300 |
Annual |
01/17/2026 |
1,000 |
0 |
48 |
48 |
0 |
0 |
||||||||||||||||||||||||||||
Pay |
1-Day USD-SOFR Compounded-OIS |
2.250 |
Semi-Annual |
06/15/2026 |
15,300 |
249 |
(729 |
) |
(480 |
) |
0 |
(4 |
) | |||||||||||||||||||||||||
Receive |
1-Day USD-SOFR Compounded-OIS |
1.350 |
Semi-Annual |
01/20/2027 |
4,900 |
(1 |
) |
309 |
308 |
2 |
0 |
|||||||||||||||||||||||||||
Pay |
1-Day USD-SOFR Compounded-OIS |
1.550 |
Semi-Annual |
01/20/2027 |
21,600 |
(51 |
) |
(1,203 |
) |
(1,254 |
) |
0 |
(8 |
) | ||||||||||||||||||||||||
Receive |
1-Day USD-SOFR Compounded-OIS |
1.360 |
Semi-Annual |
02/15/2027 |
2,730 |
(1 |
) |
170 |
169 |
1 |
0 |
|||||||||||||||||||||||||||
Pay |
1-Day USD-SOFR Compounded-OIS |
1.600 |
Semi-Annual |
02/15/2027 |
10,900 |
(27 |
) |
(586 |
) |
(613 |
) |
0 |
(4 |
) | ||||||||||||||||||||||||
Receive |
1-Day USD-SOFR Compounded-OIS |
1.450 |
Semi-Annual |
02/17/2027 |
4,500 |
(1 |
) |
270 |
269 |
2 |
0 |
|||||||||||||||||||||||||||
Pay |
1-Day USD-SOFR Compounded-OIS |
1.700 |
Semi-Annual |
02/17/2027 |
18,000 |
(48 |
) |
(918 |
) |
(966 |
) |
0 |
(7 |
) | ||||||||||||||||||||||||
Pay |
1-Day USD-SOFR Compounded-OIS |
2.500 |
Semi-Annual |
12/20/2027 |
28,100 |
106 |
(1,569 |
) |
(1,463 |
) |
0 |
(15 |
) | |||||||||||||||||||||||||
Receive |
1-Day USD-SOFR Compounded-OIS |
1.420 |
Semi-Annual |
08/17/2028 |
15,100 |
(3 |
) |
1,488 |
1,485 |
10 |
0 |
|||||||||||||||||||||||||||
Receive |
1-Day USD-SOFR Compounded-OIS |
1.380 |
Semi-Annual |
08/24/2028 |
16,100 |
(4 |
) |
1,608 |
1,604 |
10 |
0 |
|||||||||||||||||||||||||||
Pay |
1-Day USD-SOFR Compounded-OIS |
3.000 |
Semi-Annual |
06/19/2029 |
49,900 |
1,404 |
(4,131 |
) |
(2,727 |
) |
0 |
(30 |
) | |||||||||||||||||||||||||
Receive |
1-Day USD-SOFR Compounded-OIS |
3.750 |
Annual |
06/20/2029 |
14,500 |
(274 |
) |
555 |
281 |
7 |
0 |
|||||||||||||||||||||||||||
Pay |
1-Day USD-SOFR Compounded-OIS |
2.000 |
Annual |
12/21/2029 |
61,800 |
(6,367 |
) |
667 |
(5,700 |
) |
0 |
(33 |
) | |||||||||||||||||||||||||
Receive |
1-Day USD-SOFR Compounded-OIS |
1.160 |
Semi-Annual |
04/12/2031 |
1,400 |
0 |
256 |
256 |
1 |
0 |
||||||||||||||||||||||||||||
Pay |
1-Day USD-SOFR Compounded-OIS |
1.380 |
Semi-Annual |
04/12/2031 |
7,000 |
(14 |
) |
(1,178 |
) |
(1,192 |
) |
0 |
(6 |
) | ||||||||||||||||||||||||
Receive |
1-Day USD-SOFR Compounded-OIS |
0.750 |
Semi-Annual |
06/16/2031 |
36,300 |
2,460 |
4,921 |
7,381 |
38 |
0 |
||||||||||||||||||||||||||||
Receive |
1-Day USD-SOFR Compounded-OIS |
1.750 |
Semi-Annual |
12/15/2031 |
20,100 |
(281 |
) |
3,427 |
3,146 |
24 |
0 |
|||||||||||||||||||||||||||
Pay |
1-Day USD-SOFR Compounded-OIS |
2.000 |
Annual |
12/21/2032 |
12,500 |
(1,710 |
) |
(48 |
) |
(1,758 |
) |
0 |
(15 |
) | ||||||||||||||||||||||||
Pay |
1-Day USD-SOFR Compounded-OIS |
3.500 |
Annual |
12/20/2033 |
19,000 |
172 |
(985 |
) |
(813 |
) |
0 |
(25 |
) | |||||||||||||||||||||||||
62 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
December 31, 2024 |
(Unaudited) |
FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED SUMMARY
The following is a summary of the market value and variation margin of Exchange-Traded or Centrally Cleared Financial Derivative Instruments as of December 31, 2024:
Financial Derivative Assets |
Financial Derivative Liabilities |
|||||||||||||||||||||||||||||||||||
Market Value |
Variation Margin Asset |
Total |
Market Value |
Variation Margin Liability |
Total |
|||||||||||||||||||||||||||||||
Purchased Options |
Futures |
Swap Agreements |
Written Options |
Futures |
Swap Agreements |
|||||||||||||||||||||||||||||||
Total Exchange-Traded or Centrally Cleared |
$ |
0 |
$ |
0 |
$ |
292 |
$ |
292 |
$ |
0 |
$ |
0 |
$ |
(309) |
$ |
(309) |
||||||||||||||||||||
Cash of $8,997 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2024. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information.
(1) |
If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) |
Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(3) |
The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(4) |
The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(5) |
This instrument has a forward starting effective date. See Note 2, Securities Transactions and Investment Income, in the Notes to Financial Statements for further information. |
(k) FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER
FORWARD FOREIGN CURRENCY CONTRACTS:
Counterparty |
Settlement Month |
Currency to be Delivered |
Currency to be Received |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||
Asset |
Liability |
|||||||||||||||||||||||
BOA |
02/2025 |
HKD |
13,554 |
$ |
1,744 |
$ |
0 |
$ |
(2 |
) | ||||||||||||||
BPS |
01/2025 |
CAD |
1,472 |
1,050 |
25 |
0 |
||||||||||||||||||
01/2025 |
EUR |
690 |
725 |
10 |
0 |
|||||||||||||||||||
01/2025 |
$ |
1,537 |
CAD |
2,209 |
0 |
0 |
||||||||||||||||||
01/2025 |
244 |
EUR |
234 |
0 |
(2 |
) | ||||||||||||||||||
BRC |
01/2025 |
EUR |
246 |
$ |
259 |
5 |
0 |
|||||||||||||||||
01/2025 |
$ |
816 |
EUR |
783 |
0 |
(4 |
) | |||||||||||||||||
02/2025 |
34 |
TRY |
1,268 |
1 |
0 |
|||||||||||||||||||
03/2025 |
8,113 |
309,273 |
116 |
0 |
||||||||||||||||||||
CBK |
01/2025 |
DOP |
1,578 |
$ |
26 |
0 |
0 |
|||||||||||||||||
02/2025 |
4,260 |
70 |
1 |
0 |
||||||||||||||||||||
DUB |
02/2025 |
$ |
111 |
MXN |
2,251 |
0 |
(4 |
) | ||||||||||||||||
03/2025 |
PEN |
1,148 |
$ |
302 |
0 |
(3 |
) | |||||||||||||||||
| See Accompanying Notes | SEMIANNUAL REPORT |
| | DECEMBER 31, 2024 | 63 |
Schedule of Investments |
PIMCO Income Strategy Fund |
(Cont.) |
SWAP AGREEMENTS:
CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION
(1)
Counterparty |
Reference Entity |
Fixed Receive Rate |
Payment Frequency |
Maturity Date |
Implied Credit Spread at December 31, 2024 (2) |
Notional Amount (3) |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Swap Agreements, at Value (4) |
|||||||||||||||||||||||||||||||
Asset |
Liability |
|||||||||||||||||||||||||||||||||||||||
DUB |
Eskom « |
4.650 |
% |
Quarterly |
06/30/2029 |
0.068 |
% |
$ |
1,500 |
$ |
0 |
$ |
103 |
$ |
103 |
$ |
0 |
|||||||||||||||||||||||
JPM |
Banca Monte Dei Paschi Di |
5.000 |
Quarterly |
06/20/2025 |
0.562 |
EUR |
100 |
(2 |
) |
4 |
2 |
0 |
||||||||||||||||||||||||||||
MYC |
Petroleos Mexicanos |
1.000 |
Quarterly |
12/20/2028 |
4.056 |
$ |
400 |
(78 |
) |
37 |
0 |
(41 |
) | |||||||||||||||||||||||||||
Total Swap Agreements |
$ |
(80 |
) |
$ |
144 |
$ |
105 |
$ |
(41 |
) | ||||||||||||||||||||||||||||||
FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER SUMMARY
The following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral pledged/(received) as of December 31, 2024:
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 |
$ |
0 |
$ |
0 |
$ |
0 |
$ |
0 |
$ |
(2 |
) |
$ |
0 |
$ |
0 |
$ |
(2 |
) |
$ |
(2 |
) |
$ |
0 |
$ |
(2 |
) | ||||||||||||||||||||||
BPS |
35 |
0 |
0 |
35 |
(2 |
) |
0 |
0 |
(2 |
) |
33 |
0 |
33 |
|||||||||||||||||||||||||||||||||||
BRC |
122 |
0 |
0 |
122 |
(4 |
) |
0 |
0 |
(4 |
) |
118 |
(30 |
) |
88 |
||||||||||||||||||||||||||||||||||
CBK |
1 |
0 |
0 |
1 |
0 |
0 |
0 |
0 |
1 |
0 |
1 |
|||||||||||||||||||||||||||||||||||||
DUB |
0 |
0 |
103 |
103 |
(7 |
) |
0 |
0 |
(7 |
) |
96 |
(290 |
) |
(194 |
) | |||||||||||||||||||||||||||||||||
GLM |
12 |
0 |
0 |
12 |
0 |
0 |
0 |
0 |
12 |
0 |
12 |
|||||||||||||||||||||||||||||||||||||
JPM |
45 |
0 |
2 |
47 |
0 |
0 |
0 |
0 |
47 |
(51 |
) |
(4 |
) | |||||||||||||||||||||||||||||||||||
MBC |
554 |
0 |
0 |
554 |
(1 |
) |
0 |
0 |
(1 |
) |
553 |
(410 |
) |
143 |
||||||||||||||||||||||||||||||||||
MYC |
0 |
0 |
0 |
0 |
0 |
0 |
(41 |
) |
(41 |
) |
(41 |
) |
0 |
(41 |
) | |||||||||||||||||||||||||||||||||
SCX |
12 |
0 |
0 |
12 |
0 |
0 |
0 |
0 |
12 |
0 |
12 |
|||||||||||||||||||||||||||||||||||||
Total Over the Counter |
$ |
781 |
$ |
0 |
$ |
105 |
$ |
886 |
$ |
(16 |
) |
$ |
0 |
$ |
(41 |
) |
$ |
(57 |
) |
|||||||||||||||||||||||||||||
(1) |
If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) |
Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(3) |
The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(4) |
The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(5) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information. |
64 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
December 31, 2024 |
(Unaudited) |
FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS
The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal and Other Risks, in the Notes to Financial Statements on risks of the Fund.
Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of December 31, 2024:
The effect of Financial Derivative Instruments on the Statements of Operations for the period ended December 31, 2024:
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2024 in valuing the Fund’s assets and liabilities:
Category and Subcategory |
Level 1 |
Level 2 |
Level 3 |
Fair Value at 12/31/2024 |
||||||||||||
Investments in Securities, at Value |
||||||||||||||||
Loan Participations and Assignments |
$ |
1,043 |
$ |
80,005 |
$ |
19,425 |
$ |
100,473 |
||||||||
Corporate Bonds & Notes |
||||||||||||||||
Banking & Finance |
0 |
27,076 |
0 |
27,076 |
||||||||||||
Industrials |
0 |
63,478 |
11,934 |
75,412 |
||||||||||||
Utilities |
0 |
24,051 |
0 |
24,051 |
||||||||||||
Category and Subcategory |
Level 1 |
Level 2 |
Level 3 |
Fair Value at 12/31/2024 |
||||||||||||
Convertible Bonds & Notes |
||||||||||||||||
Industrials |
$ |
0 |
$ |
1,340 |
$ |
0 |
$ |
1,340 |
||||||||
Municipal Bonds & Notes |
||||||||||||||||
Michigan |
0 |
1,006 |
0 |
1,006 |
||||||||||||
Puerto Rico |
0 |
1,562 |
0 |
1,562 |
||||||||||||
West Virginia |
0 |
2,040 |
0 |
2,040 |
||||||||||||
U.S. Government Agencies |
0 |
4,848 |
2,394 |
7,242 |
||||||||||||
| See Accompanying Notes | SEMIANNUAL REPORT |
| | DECEMBER 31, 2024 | 65 |
Schedule of Investments |
PIMCO Income Strategy Fund |
(Cont.) |
Category and Subcategory |
Level 1 |
Level 2 |
Level 3 |
Fair Value at 12/31/2024 |
||||||||||||
Non-Agency Mortgage-Backed Securities |
$ |
0 |
$ |
34,251 |
$ |
0 |
$ |
34,251 |
||||||||
Asset-Backed Securities |
||||||||||||||||
Home Equity Other |
0 |
7,339 |
0 |
7,339 |
||||||||||||
Home Equity Sequential |
0 |
652 |
0 |
652 |
||||||||||||
Whole Loan Collateral |
0 |
2,017 |
0 |
2,017 |
||||||||||||
Other ABS |
0 |
6,177 |
10,627 |
16,804 |
||||||||||||
Sovereign Issues |
0 |
13,693 |
0 |
13,693 |
||||||||||||
Common Stocks |
||||||||||||||||
Communication Services |
1,042 |
0 |
8,069 |
9,111 |
||||||||||||
Consumer Discretionary |
0 |
0 |
9 |
9 |
||||||||||||
Financials |
3,691 |
0 |
3,762 |
7,453 |
||||||||||||
Health Care |
0 |
0 |
12,600 |
12,600 |
||||||||||||
Industrials |
0 |
0 |
1,214 |
1,214 |
||||||||||||
Warrants |
||||||||||||||||
Communication Services |
0 |
0 |
2,326 |
2,326 |
||||||||||||
Financials |
0 |
0 |
1 |
1 |
||||||||||||
Preferred Securities |
||||||||||||||||
Banking & Finance |
0 |
1,466 |
0 |
1,466 |
||||||||||||
Industrials |
0 |
955 |
0 |
955 |
||||||||||||
Real Estate Investment Trusts |
||||||||||||||||
Real Estate |
1,883 |
0 |
0 |
1,883 |
||||||||||||
Short-Term Instruments |
||||||||||||||||
U.S. Treasury Bills |
0 |
303 |
0 |
303 |
||||||||||||
$ |
7,659 |
$ |
272,259 |
$ |
72,361 |
$ |
352,279 |
|||||||||
The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended December 31, 2024:
Category and Subcategory |
Beginning Balance at 06/30/2024 |
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 12/31/2024 |
Net Change in Unrealized Appreciation/ (Depreciation) on Investments Held at 12/31/2024 (2) |
||||||||||||||||||||||||||||||
Investments in Securities, at Value |
||||||||||||||||||||||||||||||||||||||||
Loan Participations and Assignments |
$ |
21,006 |
$ |
9,945 |
$ |
(8,714 |
) |
$ |
63 |
$ |
126 |
$ |
3,730 |
$ |
148 |
$ |
(6,879 |
) |
$ |
19,425 |
$ |
(71 |
) | |||||||||||||||||
Corporate Bonds & Notes |
||||||||||||||||||||||||||||||||||||||||
Banking & Finance |
3,771 |
0 |
(3,808 |
) |
0 |
18 |
19 |
0 |
0 |
0 |
0 |
|||||||||||||||||||||||||||||
Industrials |
12,523 |
0 |
0 |
(14 |
) |
0 |
(1,144 |
) |
569 |
0 |
11,934 |
(1,144 |
) | |||||||||||||||||||||||||||
U.S. Government Agencies |
2,314 |
0 |
(33 |
) |
5 |
11 |
97 |
0 |
0 |
2,394 |
95 |
|||||||||||||||||||||||||||||
Non-Agency Mortgage-Backed Securities |
334 |
0 |
(20 |
) |
1 |
(1 |
) |
13 |
0 |
(327 |
) |
0 |
0 |
|||||||||||||||||||||||||||
Asset-Backed Securities |
||||||||||||||||||||||||||||||||||||||||
Other ABS |
3,352 |
5,345 |
0 |
6 |
0 |
371 |
1,553 |
0 |
10,627 |
372 |
||||||||||||||||||||||||||||||
Common Stocks |
||||||||||||||||||||||||||||||||||||||||
Communication Services (3) |
5,850 |
82 |
0 |
0 |
0 |
2,137 |
0 |
0 |
8,069 |
2,137 |
||||||||||||||||||||||||||||||
Consumer Discretionary (4) |
5,393 |
0 |
(5,513 |
) |
0 |
4,206 |
(4,077 |
) |
0 |
0 |
9 |
0 |
||||||||||||||||||||||||||||
Energy |
37 |
0 |
(40 |
) |
0 |
21 |
(18 |
) |
0 |
0 |
0 |
0 |
||||||||||||||||||||||||||||
Financials |
4,229 |
19 |
0 |
0 |
0 |
(486 |
) |
0 |
0 |
3,762 |
(486 |
) | ||||||||||||||||||||||||||||
Health Care |
13,614 |
0 |
0 |
0 |
0 |
(1,014 |
) |
0 |
0 |
12,600 |
(1,014 |
) | ||||||||||||||||||||||||||||
Industrials |
1,040 |
114 |
0 |
0 |
0 |
60 |
0 |
0 |
1,214 |
60 |
||||||||||||||||||||||||||||||
Warrants |
||||||||||||||||||||||||||||||||||||||||
Communication Services |
0 |
2,326 |
0 |
0 |
0 |
0 |
0 |
0 |
2,326 |
0 |
||||||||||||||||||||||||||||||
Financials |
1 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
0 |
||||||||||||||||||||||||||||||
Preferred Securities |
||||||||||||||||||||||||||||||||||||||||
Industrials |
0 |
0 |
0 |
0 |
(1,058 |
) |
1,058 |
0 |
0 |
0 |
0 |
|||||||||||||||||||||||||||||
$ |
73,464 |
$ |
17,831 |
$ |
(18,128 |
) |
$ |
61 |
$ |
3,323 |
$ |
746 |
$ |
2,270 |
$ |
(7,206 |
) |
$ |
72,361 |
$ |
(51 |
) | ||||||||||||||||||
Financial Derivative Instruments |
||||||||||||||||||||||||||||||||||||||||
Over the counter |
$ |
116 |
$ |
0 |
$ |
0 |
$ |
0 |
$ |
0 |
$ |
(13 |
) |
$ |
0 |
$ |
0 |
$ |
103 |
$ |
(13 |
) | ||||||||||||||||||
Totals |
$ |
73,580 |
$ |
17,831 |
$ |
(18,128 |
) |
$ |
61 |
$ |
3,323 |
$ |
733 |
$ |
2,270 |
$ |
(7,206 |
) |
$ |
72,464 |
$ |
(64 |
) | |||||||||||||||||
66 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
December 31, 2024 |
(Unaudited) |
The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:
Category and Subcategory |
Ending Balance at 12/31/2024 |
Valuation Technique |
Unobservable Inputs |
(% Unless Noted Otherwise) |
||||||||||||||||
Input Value(s) |
Weighted Average |
|||||||||||||||||||
Investments in Securities, at Value |
||||||||||||||||||||
Loan Participations and Assignments |
$ |
542 |
Comparable Companies |
EBITDA Multiple |
X |
13.750 |
— |
|||||||||||||
10,362 |
Discounted Cash Flow |
Discount Rate |
7.192-25.430 |
14.876 |
||||||||||||||||
148 |
Expected Recovery |
Recovery Rate |
15.419 |
— |
||||||||||||||||
981 |
Indicative Market Quotation |
Broker Quote |
82.000 |
— |
||||||||||||||||
91 |
Other Valuation Techniques (5) |
— |
— |
— |
||||||||||||||||
3,281 |
Proxy Pricing |
Base Price |
100.000 |
— |
||||||||||||||||
407 |
Recent Transaction |
Purchase Price |
99.500 |
— |
||||||||||||||||
3,613 |
Third Party Vendor |
Broker Quote |
99.188-100.250 |
99.666 |
||||||||||||||||
Corporate Bonds & Notes |
||||||||||||||||||||
Industrials |
11,365 |
Comparable Companies/ Discounted Cash Flow |
Revenue Multiple/Discount Rate |
X/ |
% |
1.000/9.750 |
— |
|||||||||||||
305 |
Indicative Market Quotation |
Broker Quote |
61.000 |
— |
||||||||||||||||
264 |
Other Valuation Techniques (5) |
— |
— |
— |
||||||||||||||||
U.S. Government Agencies |
2,394 |
Discounted Cash Flow |
Discount Rate |
11.599 |
— |
|||||||||||||||
Asset-Backed Securities |
||||||||||||||||||||
Other ABS |
||||||||||||||||||||
5,282 |
Discounted Cash Flow |
Discount Rate |
6.720-20.000 |
11.848 |
||||||||||||||||
5,345 |
Recent Transaction |
Purchase Price |
100.850 |
— |
||||||||||||||||
Common Stocks |
||||||||||||||||||||
Communication Services |
6,609 |
Comparable Companies |
EBITDA Multiple |
X |
4.640 |
— |
||||||||||||||
1,374 |
Discounted Cash Flow |
Discount Rate |
12.280 |
— |
||||||||||||||||
86 |
Reference Instrument |
Stock Price w/Liquidity Discount |
10.000 |
— |
||||||||||||||||
Consumer Discretionary |
9 |
Discounted Cash Flow/ Comparable Companies |
Revenue Multiple/ Discount Rate |
%/ X |
20.750/0.500 |
— |
||||||||||||||
Financials |
3,755 |
Comparable Companies |
EBITDA Multiple |
X |
4.600 |
— |
||||||||||||||
7 |
Other Valuation Techniques (5) |
— |
— |
— |
||||||||||||||||
Health Care |
12,600 |
Comparable Companies |
EBITDA Multiple |
X |
13.750 |
— |
||||||||||||||
Industrials |
1,058 |
Indicative Market Quotation |
Broker Quote |
$ |
1.130-25.125 |
2.927 |
||||||||||||||
156 |
Other Valuation Techniques (5) |
— |
— |
— |
||||||||||||||||
Warrants |
||||||||||||||||||||
Communication Services |
2,326 |
Recent Transaction |
Purchase Price |
$ |
13.000 |
— |
||||||||||||||
Financials |
1 |
Option Pricing Model |
Volatility |
32.500 |
— |
|||||||||||||||
Financial Derivative Instruments |
||||||||||||||||||||
Over the counter |
103 |
Indicative Market Quotation |
Broker Quote |
6.830 |
— |
|||||||||||||||
Total |
$ |
72,464 |
||||||||||||||||||
(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, 2024 may be due to an investment no longer held or categorized as Level 3 at period end. |
(3) |
Sector type updated from Utilities to Communication Services since prior fiscal year end. |
(4) |
Sector type updated from Industrials to Consumer Discretionary since prior fiscal year end. |
(5) |
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, 2024 | 67 |
Schedule of Investments |
PIMCO Income Strategy Fund II |
(Amounts in thousands*, except number of shares, contracts, units and ounces, if any)
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
INVESTMENTS IN SECURITIES 101.8% |
||||||||||||
LOAN PARTICIPATIONS AND ASSIGNMENTS 32.3% |
||||||||||||
Advanz Pharma Corp. |
||||||||||||
7.559% (EUR003M + 4.500%) due 10/17/2031 ~ |
EUR |
1,200 |
$ |
1,245 |
||||||||
Aligned Data Centers International LP |
||||||||||||
8.447% (TSFR3M + 3.500%) due 05/16/2028 «~ |
$ |
3,300 |
3,287 |
|||||||||
Altice France SA |
||||||||||||
8.679% (EUR003M + 0.055%) due 08/15/2028 ~ |
EUR |
99 |
84 |
|||||||||
10.147% due 08/15/2028 ~ |
$ |
1,395 |
1,124 |
|||||||||
AP Core Holdings LLC |
||||||||||||
9.971% due 09/01/2027 ~ |
14,235 |
13,865 |
||||||||||
Barnes Group, Inc. |
||||||||||||
TBD% due 12/10/2031 ~ |
1,900 |
1,904 |
||||||||||
BDO U.S.A PC |
||||||||||||
9.524% due 08/31/2028 «~ |
2,514 |
2,529 |
||||||||||
Central Parent LLC |
||||||||||||
TBD% due 07/06/2029 ~ |
3,200 |
3,162 |
||||||||||
Clover Holdings 2 LLC |
||||||||||||
TBD% due 11/01/2029 ~µ |
772 |
770 |
||||||||||
8.428% due 11/01/2031 ~ |
5,800 |
5,872 |
||||||||||
CoreWeave Compute Acquisition Co. LLC |
||||||||||||
TBD% (TSFR3M + 6.000%) due 05/16/2029 «~µ |
9,100 |
9,125 |
||||||||||
Databricks, Inc. |
||||||||||||
TBD% due 12/20/2030 «µ |
344 |
343 |
||||||||||
TBD% due 12/20/2030 « |
1,556 |
1,548 |
||||||||||
Diamond Sports Group LLC |
||||||||||||
TBD% due 05/25/2026 «~ |
1,845 |
285 |
||||||||||
Endure Digital, Inc. |
||||||||||||
8.138% due 02/10/2028 «~ |
3,391 |
2,781 |
||||||||||
Envision Healthcare Corp. |
||||||||||||
11.382% due 07/20/2026 «~ |
735 |
735 |
||||||||||
12.507% due 11/03/2028 ~ |
12,856 |
13,049 |
||||||||||
EP Purchaser LLC |
||||||||||||
9.090% due 11/06/2028 ~ |
600 |
604 |
||||||||||
Finastra U.S.A., Inc. |
||||||||||||
TBD% due 09/13/2029 «~µ |
103 |
103 |
||||||||||
TBD% due 09/13/2029 «~ |
989 |
1,005 |
||||||||||
First Brands Group LLC |
||||||||||||
9.847% due 03/30/2027 ~ |
627 |
591 |
||||||||||
Forward Air Corp. |
||||||||||||
9.085% due 12/19/2030 ~ |
3,600 |
3,619 |
||||||||||
Gateway Casinos & Entertainment Ltd. |
||||||||||||
TBD% due 12/18/2030 |
6,099 |
6,203 |
||||||||||
Hudson’s Bay Co. |
||||||||||||
TBD% due 04/03/2026 |
2,171 |
2,171 |
||||||||||
iHeartCommunications, Inc. |
||||||||||||
7.721% due 05/01/2026 ~ |
550 |
491 |
||||||||||
Ivanti Software, Inc. |
||||||||||||
9.121% due 12/01/2027 ~ |
9,105 |
7,466 |
||||||||||
J&J Ventures Gaming LLC |
||||||||||||
9.471% due 04/26/2028 «~ |
1,070 |
1,079 |
||||||||||
Lealand Finance Co. BV |
||||||||||||
7.471% due 06/30/2027 ~ |
88 |
45 |
||||||||||
8.472% due 12/31/2027 ~ |
895 |
360 |
||||||||||
Magenta Security Holdings LLC |
||||||||||||
10.835% due 07/27/2028 ~ |
113 |
116 |
||||||||||
11.595% due 07/27/2028 ~ |
119 |
110 |
||||||||||
Magenta Security Holdings LLC (5.500% PIK) |
||||||||||||
5.500% due 07/27/2028 ~(b) |
529 |
186 |
||||||||||
Magenta Security Holdings LLC (6.250% PIK) |
||||||||||||
6.250% due 07/27/2028 ~(b) |
152 |
92 |
||||||||||
MH SUB I LLC |
||||||||||||
TBD% due 12/11/2031 ~ |
1,900 |
1,886 |
||||||||||
MPH Acquisition Holdings LLC |
||||||||||||
9.026% due 09/01/2028 ~ |
9,200 |
7,941 |
||||||||||
Obol France 3 SAS |
||||||||||||
8.058% (TSFR3M + 4.750%) due 12/31/2028 ~ |
EUR |
5,171 |
5,173 |
|||||||||
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
Credit Suisse AG AT1 Claim |
$ |
8,393 |
$ |
1,050 |
||||||||
East Lane Re Ltd. |
||||||||||||
13.534% (T-BILL 3MO + 9.250%) due 03/31/2026 ~ |
250 |
251 |
||||||||||
Everglades Re Ltd. |
||||||||||||
14.814% (T-BILL 1MO + 10.500%) due 05/13/2031 ~ |
500 |
521 |
||||||||||
15.814% (T-BILL 1MO + 11.500%) due 05/13/2031 ~ |
500 |
520 |
||||||||||
17.064% (T-BILL 1MO + 12.750%) due 05/13/2031 ~ |
500 |
518 |
||||||||||
GSPA Monetization Trust |
||||||||||||
6.422% due 10/09/2029 |
2,059 |
2,044 |
||||||||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. |
||||||||||||
6.375% due 07/01/2034 (j) |
800 |
780 |
||||||||||
Hestia Re Ltd. |
||||||||||||
14.364% (T-BILL 1MO + 10.080%) due 04/22/2025 ~ |
704 |
639 |
||||||||||
Hudson Pacific Properties LP |
||||||||||||
3.950% due 11/01/2027 (j) |
100 |
87 |
||||||||||
Integrity Re Ltd. |
||||||||||||
21.284% (T-BILL 1MO + 17.000%) due 06/08/2026 ~ |
400 |
432 |
||||||||||
27.284% (T-BILL 1MO + 23.000%) due 06/08/2026 ~ |
400 |
368 |
||||||||||
Intesa Sanpaolo SpA |
||||||||||||
6.625% due 06/20/2033 (j) |
3,200 |
3,348 |
||||||||||
7.200% due 11/28/2033 (j) |
2,100 |
2,273 |
||||||||||
Kennedy Wilson Europe Real Estate Ltd. |
||||||||||||
3.250% due 11/12/2025 |
EUR |
316 |
325 |
|||||||||
Long Walk Reinsurance Ltd. |
||||||||||||
14.034% (T-BILL 3MO + 9.750%) due 01/30/2031 ~ |
$ |
700 |
712 |
|||||||||
Marex Group PLC |
||||||||||||
6.404% due 11/04/2029 (j) |
200 |
202 |
||||||||||
Polestar Re Ltd. |
||||||||||||
14.784% (T-BILL 3MO + 10.500%) due 01/07/2028 ~ |
250 |
260 |
||||||||||
17.564% (T-BILL 3MO + 13.250%) due 01/07/2027 ~ |
800 |
834 |
||||||||||
Sanders Re Ltd. |
||||||||||||
17.284% (T-BILL 3MO + 13.000%) due 04/09/2029 ~ |
1,405 |
1,379 |
||||||||||
Synchrony Financial |
||||||||||||
5.935% due 08/02/2030 •(j) |
1,400 |
1,414 |
||||||||||
Titanium 2l Bondco SARL |
||||||||||||
6.250% due 01/14/2031 |
EUR |
7,027 |
2,478 |
|||||||||
Torrey Pines Re Ltd. |
||||||||||||
10.284% (T-BILL 1MO + 6.000%) due 06/07/2032 ~ |
$ |
250 |
263 |
|||||||||
11.534% (T-BILL 1MO + 7.250%) due 06/07/2032 ~ |
250 |
258 |
||||||||||
Uniti Group LP |
||||||||||||
6.000% due 01/15/2030 (j) |
9,565 |
8,411 |
||||||||||
6.500% due 02/15/2029 (j) |
2,900 |
2,635 |
||||||||||
Ursa Re Ltd. |
||||||||||||
13.564% (T-BILL 3MO + 9.250%) due 12/07/2028 ~ |
800 |
848 |
||||||||||
Voyager Aviation Holdings LLC |
||||||||||||
8.500% due 05/09/2026 ^«(c) |
3,728 |
0 |
||||||||||
Winston RE Ltd. |
||||||||||||
16.064% (T-BILL 3MO + 11.750%) due 02/26/2031 ~ |
600 |
620 |
||||||||||
Yosemite Re Ltd. |
||||||||||||
14.879% (T-BILL 3MO + 10.595%) due 06/06/2025 ~ |
760 |
781 |
||||||||||
46,663 |
||||||||||||
INDUSTRIALS 19.6% |
||||||||||||
Altice France Holding SA |
||||||||||||
8.000% due 05/15/2027 |
EUR |
5,500 |
1,544 |
|||||||||
10.500% due 05/15/2027 |
$ |
4,300 |
1,274 |
|||||||||
68 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
December 31, 2024 |
(Unaudited) |
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
Altice France SA |
||||||||||||
3.375% due 01/15/2028 |
EUR |
1,100 |
$ |
866 |
||||||||
4.000% due 07/15/2029 |
2,800 |
2,205 |
||||||||||
5.125% due 01/15/2029 |
$ |
600 |
455 |
|||||||||
5.500% due 01/15/2028 |
4,197 |
3,110 |
||||||||||
5.500% due 10/15/2029 |
400 |
302 |
||||||||||
5.875% due 02/01/2027 |
EUR |
1,100 |
918 |
|||||||||
8.125% due 02/01/2027 |
$ |
700 |
568 |
|||||||||
Boeing Co. |
||||||||||||
6.388% due 05/01/2031 (j) |
800 |
837 |
||||||||||
Carvana Co. (11.000% Cash or 13.000% PIK) |
||||||||||||
11.000% due 06/01/2030 (b) |
771 |
810 |
||||||||||
Carvana Co. (14.000% PIK) |
||||||||||||
14.000% due 06/01/2031 (b)(j) |
1,533 |
1,758 |
||||||||||
CVS Pass-Through Trust |
||||||||||||
7.507% due 01/10/2032 (j) |
567 |
597 |
||||||||||
DISH DBS Corp. |
||||||||||||
5.250% due 12/01/2026 |
7,000 |
6,376 |
||||||||||
5.750% due 12/01/2028 |
7,260 |
6,221 |
||||||||||
Ecopetrol SA |
||||||||||||
7.750% due 02/01/2032 |
3,700 |
3,594 |
||||||||||
8.375% due 01/19/2036 (j) |
220 |
212 |
||||||||||
Exela Intermediate LLC (5.750% Cash and 5.750% PIK) |
||||||||||||
11.500% due 04/15/2026 (b) |
79 |
13 |
||||||||||
Ford Motor Co. |
||||||||||||
7.700% due 05/15/2097 (j) |
6,455 |
6,692 |
||||||||||
GN Bondco LLC |
||||||||||||
9.500% due 10/15/2031 (j) |
400 |
422 |
||||||||||
HCA, Inc. |
||||||||||||
7.500% due 11/15/2095 (j) |
1,000 |
1,055 |
||||||||||
IHO Verwaltungs GmbH (7.750% Cash or 8.500% PIK) |
||||||||||||
7.750% due 11/15/2030 (b) |
400 |
400 |
||||||||||
Intelsat Jackson Holdings SA |
||||||||||||
6.500% due 03/15/2030 (j) |
8,648 |
7,998 |
||||||||||
JetBlue Airways Corp. |
||||||||||||
9.875% due 09/20/2031 (j) |
6,150 |
6,541 |
||||||||||
LABL, Inc. |
||||||||||||
8.625% due 10/01/2031 (j) |
400 |
370 |
||||||||||
New Albertsons LP |
||||||||||||
6.570% due 02/23/2028 |
6,800 |
6,811 |
||||||||||
Newfold Digital Holdings Group, Inc. |
||||||||||||
6.000% due 02/15/2029 « |
900 |
549 |
||||||||||
11.750% due 10/15/2028 « |
500 |
440 |
||||||||||
Nissan Motor Co. Ltd. |
||||||||||||
4.810% due 09/17/2030 (j) |
5,500 |
5,174 |
||||||||||
Noble Finance LLC |
||||||||||||
8.000% due 04/15/2030 |
900 |
910 |
||||||||||
Petroleos Mexicanos |
||||||||||||
6.700% due 02/16/2032 (j) |
1,732 |
1,508 |
||||||||||
6.840% due 01/23/2030 (j) |
800 |
731 |
||||||||||
8.750% due 06/02/2029 (j) |
1,416 |
1,420 |
||||||||||
Prime Healthcare Services, Inc. |
||||||||||||
9.375% due 09/01/2029 (j) |
1,400 |
1,363 |
||||||||||
Rivian Holdings LLC |
||||||||||||
10.502% due 10/15/2026 • |
3,730 |
3,757 |
||||||||||
Russian Railways Via RZD Capital PLC |
||||||||||||
7.487% due 03/25/2031 ^(c) |
GBP |
1,300 |
1,139 |
|||||||||
Topaz Solar Farms LLC |
||||||||||||
4.875% due 09/30/2039 (j) |
$ |
1,661 |
1,553 |
|||||||||
5.750% due 09/30/2039 (j) |
3,991 |
3,892 |
||||||||||
U.S. Renal Care, Inc. |
||||||||||||
10.625% due 06/28/2028 |
1,704 |
1,461 |
||||||||||
Vale SA |
||||||||||||
0.000% due 12/29/2049 ~(h) |
BRL |
110,000 |
6,316 |
|||||||||
Venture Global LNG, Inc. |
||||||||||||
9.500% due 02/01/2029 (j) |
$ |
2,725 |
3,014 |
|||||||||
9.875% due 02/01/2032 (j) |
1,750 |
1,921 |
||||||||||
Viridien |
||||||||||||
7.750% due 04/01/2027 |
EUR |
3,900 |
4,041 |
|||||||||
8.750% due 04/01/2027 (j) |
$ |
2,956 |
2,910 |
|||||||||
Wesco Aircraft Holdings, Inc. (7.500% Cash and 3.000% PIK) |
||||||||||||
10.500% due 11/15/2026 ^«(b)(c) |
27,315 |
22,558 |
||||||||||
PRINCIPAL AMOUNT (000S) |
MARKET VALUE (000S) |
|||||||||||
4.000% due 10/16/2042 - 10/20/2042 (a) |
$ |
98 |
$ |
9 |
||||||||
Total U.S. Government Agencies (Cost $14,724) |
14,267 |
|||||||||||
NON-AGENCY MORTGAGE-BACKED SECURITIES 11.2% |
||||||||||||
Atrium Hotel Portfolio Trust |
||||||||||||
6.195% due 12/15/2036 • |
1,700 |
1,656 |
||||||||||
6.645% due 12/15/2036 • |
3,200 |
3,046 |
||||||||||
Banc of America Funding Trust |
||||||||||||
5.100% due 01/20/2047 ~ |
302 |
257 |
||||||||||
6.000% due 01/25/2037 |
2,265 |
1,957 |
||||||||||
BCAP LLC Trust |
||||||||||||
0.000% due 05/26/2037 ~ |
708 |
335 |
||||||||||
3.750% due 08/28/2037 ~ |
866 |
852 |
||||||||||
4.475% due 03/26/2037 þ |
602 |
891 |
||||||||||
4.704% due 09/26/2036 ~ |
2,821 |
2,533 |
||||||||||
4.884% due 07/26/2037 ~ |
3,853 |
3,521 |
||||||||||
5.750% due 12/26/2035 ~ |
1,511 |
941 |
||||||||||
6.250% due 11/26/2036 |
2,110 |
1,539 |
||||||||||
6.279% due 08/26/2037 ~ |
8,338 |
5,856 |
||||||||||
Bear Stearns ALT-A Trust |
||||||||||||
4.411% due 09/25/2047 ~ |
3,492 |
1,705 |
||||||||||
4.787% due 11/25/2036 ~ |
254 |
131 |
||||||||||
4.916% due 11/25/2035 ~ |
2,670 |
1,760 |
||||||||||
4.953% due 01/25/2036 • |
362 |
339 |
||||||||||
5.420% due 09/25/2035 ~ |
200 |
98 |
||||||||||
Braemar Hotels & Resorts Trust |
||||||||||||
6.970% due 06/15/2035 • |
1,400 |
1,384 |
||||||||||
CALI Mortgage Trust |
||||||||||||
3.957% due 03/10/2039 (j) |
3,100 |
2,788 |
||||||||||
CD Mortgage Trust |
||||||||||||
5.688% due 10/15/2048 |
76 |
70 |
||||||||||
Chase Mortgage Finance Trust |
||||||||||||
5.023% due 12/25/2035 ~ |
3 |
3 |
||||||||||
5.500% due 05/25/2036 |
1 |
0 |
||||||||||
Citicorp Mortgage Securities Trust |
||||||||||||
5.500% due 04/25/2037 |
8 |
7 |
||||||||||
6.000% due 09/25/2037 |
227 |
225 |
||||||||||
Colony Mortgage Capital Ltd. |
||||||||||||
7.568% due 11/15/2038 • |
1,200 |
1,052 |
||||||||||
Countrywide Alternative Loan Resecuritization Trust |
||||||||||||
6.000% due 05/25/2036 |
1,372 |
771 |
||||||||||
6.000% due 08/25/2037 ~ |
691 |
356 |
||||||||||
Countrywide Alternative Loan Trust |
||||||||||||
5.500% due 03/25/2035 |
199 |
82 |
||||||||||
5.500% due 01/25/2036 |
246 |
136 |
||||||||||
5.750% due 01/25/2035 |
100 |
97 |
||||||||||
5.750% due 02/25/2035 |
168 |
111 |
||||||||||
5.750% due 12/25/2036 |
545 |
207 |
||||||||||
5.865% due 04/25/2036 ~ |
251 |
224 |
||||||||||
6.000% due 02/25/2035 |
215 |
176 |
||||||||||
6.000% due 04/25/2036 |
344 |
161 |
||||||||||
6.000% due 04/25/2037 |
1,182 |
531 |
||||||||||
6.250% due 11/25/2036 |
390 |
287 |
||||||||||
6.250% due 12/25/2036 • |
397 |
164 |
||||||||||
6.500% due 08/25/2036 |
369 |
113 |
||||||||||
Countrywide Home Loan Mortgage Pass-Through Trust |
||||||||||||
5.033% due 03/25/2035 • |
1,727 |
1,503 |
||||||||||
6.000% due 07/25/2037 |
1,149 |
486 |
||||||||||
6.250% due 09/25/2036 |
322 |
120 |
||||||||||
Credit Suisse First Boston Mortgage-Backed Pass-Through Certificates |
||||||||||||
6.000% due 11/25/2035 |
199 |
147 |
||||||||||
Credit Suisse Mortgage Capital Certificates |
||||||||||||
5.461% due 10/26/2036 ~ |
4,490 |
3,871 |
||||||||||
Credit Suisse Mortgage Capital Mortgage-Backed Trust |
||||||||||||
5.750% due 04/25/2036 |
98 |
51 |
||||||||||
9.044% due 07/15/2032 • |
5,379 |
5,271 |
||||||||||
DBGS Mortgage Trust |
||||||||||||
6.812% due 10/15/2036 • |
2,390 |
1,982 |
||||||||||
First Horizon Mortgage Pass-Through Trust |
||||||||||||
0.000% due 11/25/2035 ~ |
1 |
0 |
||||||||||
5.164% due 05/25/2037 ~ |
122 |
51 |
||||||||||
| See Accompanying Notes | SEMIANNUAL REPORT |
| | DECEMBER 31, 2024 | 69 |
Schedule of Investments |
PIMCO Income Strategy Fund II |
(Cont.) |
70 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
December 31, 2024 |
(Unaudited) |
SHARES |
MARKET VALUE (000S) |
|||||||||||
INVESTMENTS IN AFFILIATES 11.8% |
||||||||||||
SHORT-TERM INSTRUMENTS 11.8% |
||||||||||||
CENTRAL FUNDS USED FOR CASH MANAGEMENT PURPOSES 11.8% |
||||||||||||
PIMCO Short-Term Floating NAV Portfolio III |
7,957,973 |
$ |
77,487 |
|||||||||
Total Short-Term Instruments (Cost $77,434) |
77,487 |
|||||||||||
Total Investments in Affiliates (Cost $77,434) |
77,487 |
|||||||||||
Total Investments 113.6% (Cost $837,823) |
$ |
744,393 |
||||||||||
Financial Derivative Instruments (k)(l) 0.3% |
||||||||||||
(Cost or Premiums, net $(8,363)) |
1,898 |
|||||||||||
Other Assets and Liabilities, net (13.9)% |
(90,831 |
) | ||||||||||
Net Assets Applicable to Common Shareholders 100.0% |
$ |
655,460 |
||||||||||
NOTES TO SCHEDULE OF INVESTMENTS:
* |
A zero balance may reflect actual amounts rounding to less than one thousand. |
^ |
Security is in default. |
« |
Security valued using significant unobservable inputs (Level 3). |
µ |
All or a portion of this amount represents unfunded loan commitments. The interest rate for the unfunded portion will be determined at the time of funding. See Note 4, Securities and Other Investments, in the Notes to Financial Statements for more information regarding unfunded loan commitments. |
~ |
Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description. |
• |
Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description. |
þ |
Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end. |
(a) |
Security is an Interest Only (“IO”) or IO Strip. |
(b) |
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) |
Zero coupon security. |
(f) |
Coupon represents a yield to maturity. |
(g) |
Security becomes interest bearing at a future date. |
(h) |
Perpetual maturity; date shown, if applicable, represents next contractual call date. |
(i) RESTRICTED SECURITIES:
Issuer Description |
Acquisition Date |
Cost |
Market Value |
Market Value as Percentage of Net Assets Applicable to Common Shareholders |
||||||||||||||||||||
Amsurg Equity |
11/02/2023 - 11/06/2023 |
$ |
23,551 |
$ |
25,824 |
3.94 |
% | |||||||||||||||||
Clover Holdings, Inc. |
12/09/2024 |
203 |
278 |
0.04 |
||||||||||||||||||||
Drillco Holding Lux SA |
06/08/2023 |
1,326 |
1,667 |
0.25 |
||||||||||||||||||||
Intelsat Emergence SA |
06/19/2017 - 02/23/2024 |
16,395 |
7,718 |
1.17 |
||||||||||||||||||||
MNEQ Holdings, Inc. |
03/16/2023 - 03/29/2023 |
38 |
14 |
0.00 |
||||||||||||||||||||
Steinhoff International Holdings NV |
06/30/2023 - 10/30/2023 |
0 |
0 |
0.00 |
||||||||||||||||||||
Syniverse Holdings, Inc. |
05/12/2022 - 11/30/2024 |
2,673 |
2,685 |
0.41 |
||||||||||||||||||||
| See Accompanying Notes | SEMIANNUAL REPORT |
| | DECEMBER 31, 2024 | 71 |
Schedule of Investments |
PIMCO Income Strategy Fund II |
(Cont.) |
Issuer Description |
Acquisition Date |
Cost |
Market Value |
Market Value as Percentage of Net Assets Applicable to Common Shareholders |
||||||||||||||||||||
West Marine |
09/12/2023 |
$ |
40 |
$ |
17 |
0.00 |
% | |||||||||||||||||
Westmoreland Mining Holdings |
12/08/2014 - 10/19/2016 |
1,522 |
59 |
0.01 |
||||||||||||||||||||
Westmoreland Mining LLC |
06/30/2023 |
353 |
186 |
0.03 |
||||||||||||||||||||
$ |
46,101 |
$ |
38,448 |
5.86 |
% | |||||||||||||||||||
BORROWINGS AND OTHER FINANCING TRANSACTIONS
REVERSE REPURCHASE AGREEMENTS:
Counterparty |
Borrowing Rate (1) |
Settlement Date |
Maturity Date |
Amount Borrowed (1) |
Payable for Reverse Repurchase Agreements |
|||||||||||||||||
BMO |
4.860 |
% |
11/20/2024 |
01/21/2025 |
$ |
(3,212 |
) |
$ |
(3,231 |
) | ||||||||||||
BOS |
5.330 |
11/05/2024 |
02/05/2025 |
(6,243 |
) |
(6,297 |
) | |||||||||||||||
BPS |
3.320 |
12/18/2024 |
TBD |
(2) |
EUR |
(589 |
) |
(611 |
) | |||||||||||||
5.710 |
10/24/2024 |
04/22/2025 |
$ |
(3,239 |
) |
(3,277 |
) | |||||||||||||||
BRC |
4.650 |
12/20/2024 |
TBD |
(2) |
(1,525 |
) |
(1,528 |
) | ||||||||||||||
BYR |
4.840 |
12/17/2024 |
03/18/2025 |
(384 |
) |
(385 |
) | |||||||||||||||
4.840 |
12/19/2024 |
03/18/2025 |
(388 |
) |
(389 |
) | ||||||||||||||||
4.940 |
11/21/2024 |
02/21/2025 |
(1,190 |
) |
(1,197 |
) | ||||||||||||||||
4.960 |
10/09/2024 |
01/10/2025 |
(571 |
) |
(578 |
) | ||||||||||||||||
4.960 |
11/19/2024 |
02/19/2025 |
(2,251 |
) |
(2,265 |
) | ||||||||||||||||
4.960 |
11/20/2024 |
02/20/2025 |
(1,548 |
) |
(1,557 |
) | ||||||||||||||||
4.960 |
12/17/2024 |
03/18/2025 |
(77 |
) |
(77 |
) | ||||||||||||||||
CDC |
4.880 |
12/16/2024 |
04/15/2025 |
(541 |
) |
(542 |
) | |||||||||||||||
5.010 |
10/28/2024 |
01/27/2025 |
(1,081 |
) |
(1,091 |
) | ||||||||||||||||
5.010 |
12/16/2024 |
04/15/2025 |
(6,388 |
) |
(6,404 |
) | ||||||||||||||||
5.010 |
12/23/2024 |
04/22/2025 |
(1,306 |
) |
(1,308 |
) | ||||||||||||||||
5.030 |
10/23/2024 |
01/23/2025 |
(2,820 |
) |
(2,848 |
) | ||||||||||||||||
5.030 |
12/18/2024 |
01/23/2025 |
(1,078 |
) |
(1,080 |
) | ||||||||||||||||
5.130 |
10/28/2024 |
01/27/2025 |
(2,934 |
) |
(2,961 |
) | ||||||||||||||||
5.220 |
10/01/2024 |
01/03/2025 |
(967 |
) |
(980 |
) | ||||||||||||||||
DEU |
4.650 |
12/20/2024 |
TBD |
(2) |
(9,848 |
) |
(9,865 |
) | ||||||||||||||
IND |
4.910 |
12/17/2024 |
03/17/2025 |
(129 |
) |
(129 |
) | |||||||||||||||
5.020 |
12/24/2024 |
03/24/2025 |
(959 |
) |
(960 |
) | ||||||||||||||||
5.120 |
12/24/2024 |
03/24/2025 |
(328 |
) |
(328 |
) | ||||||||||||||||
5.220 |
11/08/2024 |
02/10/2025 |
(1,814 |
) |
(1,829 |
) | ||||||||||||||||
5.260 |
12/06/2024 |
03/06/2025 |
(1,648 |
) |
(1,655 |
) | ||||||||||||||||
5.310 |
12/06/2024 |
03/06/2025 |
(1,157 |
) |
(1,161 |
) | ||||||||||||||||
5.450 |
12/17/2024 |
01/07/2025 |
(174 |
) |
(174 |
) | ||||||||||||||||
MSB |
5.260 |
10/29/2024 |
04/28/2025 |
(567 |
) |
(573 |
) | |||||||||||||||
NXN |
4.850 |
12/23/2024 |
04/22/2025 |
(312 |
) |
(312 |
) | |||||||||||||||
RCY |
5.060 |
12/06/2024 |
01/06/2025 |
(630 |
) |
(633 |
) | |||||||||||||||
RTA |
5.130 |
12/20/2024 |
03/19/2025 |
(2,459 |
) |
(2,463 |
) | |||||||||||||||
SOG |
4.870 |
12/18/2024 |
03/18/2025 |
(651 |
) |
(652 |
) | |||||||||||||||
4.940 |
12/11/2024 |
02/18/2025 |
(66 |
) |
(67 |
) | ||||||||||||||||
5.100 |
10/09/2024 |
01/09/2025 |
(2,282 |
) |
(2,310 |
) | ||||||||||||||||
5.170 |
12/16/2024 |
01/08/2025 |
(694 |
) |
(696 |
) | ||||||||||||||||
5.180 |
10/16/2024 |
01/15/2025 |
(6,069 |
) |
(6,137 |
) | ||||||||||||||||
5.180 |
11/04/2024 |
01/15/2025 |
(363 |
) |
(366 |
) | ||||||||||||||||
5.180 |
11/15/2024 |
01/15/2025 |
(6,233 |
) |
(6,276 |
) | ||||||||||||||||
5.220 |
10/09/2024 |
01/09/2025 |
(2,074 |
) |
(2,099 |
) | ||||||||||||||||
UBS |
5.200 |
12/19/2024 |
01/08/2025 |
(992 |
) |
(994 |
) | |||||||||||||||
Total Reverse Repurchase Agreements |
$ |
(78,285 |
) | |||||||||||||||||||
72 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
December 31, 2024 |
(Unaudited) |
BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY
The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral pledged/(received) as of December 31, 2024:
Counterparty |
Repurchase Agreement Proceeds to be Received |
Payable for Reverse Repurchase Agreements |
Payable for Sale-Buyback Transactions |
Total Borrowings and Other Financing Transactions |
Collateral Pledged/(Received) |
Net Exposure (3) |
||||||||||||||||||
Global/Master Repurchase Agreement |
||||||||||||||||||||||||
BMO |
$ |
0 |
$ |
(3,231 |
) |
$ |
0 |
$ |
(3,231 |
) |
$ |
3,348 |
$ |
117 |
||||||||||
BOS |
0 |
(6,297 |
) |
0 |
(6,297 |
) |
8,101 |
1,804 |
||||||||||||||||
BPS |
0 |
(3,888 |
) |
0 |
(3,888 |
) |
4,624 |
736 |
||||||||||||||||
BRC |
0 |
(1,528 |
) |
0 |
(1,528 |
) |
1,921 |
393 |
||||||||||||||||
BYR |
0 |
(6,448 |
) |
0 |
(6,448 |
) |
7,826 |
1,378 |
||||||||||||||||
CDC |
0 |
(17,214 |
) |
0 |
(17,214 |
) |
19,467 |
2,253 |
||||||||||||||||
DEU |
0 |
(9,865 |
) |
0 |
(9,865 |
) |
11,338 |
1,473 |
||||||||||||||||
IND |
0 |
(6,236 |
) |
0 |
(6,236 |
) |
7,498 |
1,262 |
||||||||||||||||
MSB |
0 |
(573 |
) |
0 |
(573 |
) |
625 |
52 |
||||||||||||||||
NXN |
0 |
(312 |
) |
0 |
(312 |
) |
0 |
(312 |
) | |||||||||||||||
RCY |
0 |
(633 |
) |
0 |
(633 |
) |
746 |
113 |
||||||||||||||||
RTA |
0 |
(2,463 |
) |
0 |
(2,463 |
) |
2,792 |
329 |
||||||||||||||||
SOG |
0 |
(18,603 |
) |
0 |
(18,603 |
) |
21,269 |
2,666 |
||||||||||||||||
TOR |
0 |
0 |
0 |
0 |
(100 |
) |
(100 |
) | ||||||||||||||||
UBS |
0 |
(994 |
) |
0 |
(994 |
) |
1,260 |
266 |
||||||||||||||||
Total Borrowings and Other Financing Transactions |
$ |
0 |
$ |
(78,285 |
) |
$ |
0 |
|||||||||||||||||
CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS
Remaining Contractual Maturity of the Agreements
Overnight and Continuous |
Up to 30 days |
31-90 days |
Greater Than 90 days |
Total |
||||||||||||||||
Reverse Repurchase Agreements |
||||||||||||||||||||
Corporate Bonds & Notes |
$ |
0 |
$ |
(30,841 |
) |
$ |
(16,766 |
) |
$ |
(18,431 |
) |
$ |
(66,038 |
) | ||||||
U.S. Government Agencies |
0 |
(633 |
) |
0 |
0 |
(633 |
) | |||||||||||||
Non-Agency Mortgage-Backed Securities |
0 |
0 |
(4,645 |
) |
(573 |
) |
(5,218 |
) | ||||||||||||
Asset-Backed Securities |
0 |
0 |
0 |
(3,277 |
) |
(3,277 |
) | |||||||||||||
Sovereign Issues |
0 |
0 |
0 |
(1,528 |
) |
(1,528 |
) | |||||||||||||
Preferred Securities |
0 |
(980 |
) |
0 |
(611 |
) |
(1,591 |
) | ||||||||||||
Total Borrowings |
$ |
0 |
$ |
(32,454 |
) |
$ |
(21,411 |
) |
$ |
(24,420 |
) |
$ |
(78,285 |
) | ||||||
Payable for reverse repurchase agreements |
$ |
(78,285 |
) | |||||||||||||||||
(j) |
Securities with an aggregate market value of $91,106 and cash of $531 have been pledged as collateral under the terms of the above master agreements as of December 31, 2024. |
(1) |
The average amount of borrowings outstanding during the period ended December 31, 2024 was $(95,715) at a weighted average interest rate of 5.563% . Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. |
(2) |
Open maturity reverse repurchase agreement. |
(3) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information. |
(k) FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED
SWAP AGREEMENTS:
INTEREST RATE SWAPS
PayReceive 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 |
|||||||||||||||||||||||||||||||||||||||
Pay |
1-Day GBP-SONIO Compounded-OIS |
4.000 |
% |
Annual |
09/18/2029 |
GBP |
28,300 |
$ |
513 |
$ |
(695 |
) |
$ |
(182 |
) |
$ |
78 |
$ |
0 |
|||||||||||||||||||||
Receive |
1-Day GBP-SONIO Compounded-OIS |
0.750 |
Annual |
09/21/2032 |
8,700 |
845 |
1,607 |
2,452 |
0 |
(26 |
) | |||||||||||||||||||||||||||||
Receive |
1-Day GBP-SONIO Compounded-OIS |
2.000 |
Annual |
03/15/2033 |
4,600 |
512 |
437 |
949 |
0 |
(15 |
) | |||||||||||||||||||||||||||||
Receive |
1-Day GBP-SONIO Compounded-OIS |
0.750 |
Annual |
09/21/2052 |
2,300 |
171 |
1,488 |
1,659 |
0 |
(7 |
) | |||||||||||||||||||||||||||||
Receive |
1-Day USD-SOFR Compounded-OIS |
2.350 |
Annual |
01/17/2025 |
$ |
12,500 |
2 |
365 |
367 |
2 |
0 |
|||||||||||||||||||||||||||||
Pay |
1-Day USD-SOFR Compounded-OIS |
5.250 |
Annual |
06/17/2025 |
192,000 |
421 |
536 |
957 |
10 |
0 |
||||||||||||||||||||||||||||||
Receive |
1-Day USD-SOFR Compounded-OIS |
2.300 |
Annual |
01/17/2026 |
2,000 |
1 |
95 |
96 |
0 |
0 |
||||||||||||||||||||||||||||||
Pay |
1-Day USD-SOFR Compounded-OIS |
2.250 |
Semi-Annual |
06/15/2026 |
26,800 |
436 |
(1,276 |
) |
(840 |
) |
0 |
(8 |
) | |||||||||||||||||||||||||||
| See Accompanying Notes | SEMIANNUAL REPORT |
| | DECEMBER 31, 2024 | 73 |
Schedule of Investments |
PIMCO Income Strategy Fund II |
(Cont.) |
FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED SUMMARY
The following is a summary of the market value and variation margin of Exchange-Traded or Centrally Cleared Financial Derivative Instruments as of December 31, 2024:
Financial Derivative Assets |
Financial Derivative Liabilities |
|||||||||||||||||||||||||||||||||||
Market Value |
Variation Margin Asset |
Market Value |
Variation Margin Liability |
|||||||||||||||||||||||||||||||||
Purchased Options |
Futures |
Swap Agreements |
Total |
Written Options |
Futures |
Swap Agreements |
Total |
|||||||||||||||||||||||||||||
Total Exchange-Traded or Centrally Cleared |
$ |
0 |
$ |
0 |
$ |
552 |
$ |
552 |
$ |
0 |
$ |
0 |
$ |
(627) |
$ |
(627) |
||||||||||||||||||||
Cash of $10,729 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2024. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information.
(1) |
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. |
(I) FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER
FORWARD FOREIGN CURRENCY CONTRACTS:
Counterparty |
Settlement Month |
Currency to be Delivered |
Currency to be Received |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||
Asset |
Liability |
|||||||||||||||||||||||
BOA |
01/2025 |
EUR |
349 |
$ |
368 |
$ |
6 |
$ |
0 |
|||||||||||||||
02/2025 |
HKD |
23,590 |
3,036 |
0 |
(3 |
) | ||||||||||||||||||
BPS |
01/2025 |
BRL |
3,250 |
578 |
52 |
0 |
||||||||||||||||||
01/2025 |
CAD |
3,671 |
2,618 |
63 |
0 |
|||||||||||||||||||
01/2025 |
$ |
525 |
BRL |
3,250 |
1 |
0 |
||||||||||||||||||
01/2025 |
2,878 |
CAD |
4,135 |
0 |
0 |
|||||||||||||||||||
01/2025 |
1,580 |
EUR |
1,498 |
0 |
(28 |
) | ||||||||||||||||||
BRC |
01/2025 |
TRY |
417 |
$ |
11 |
0 |
(1 |
) | ||||||||||||||||
01/2025 |
$ |
439 |
EUR |
414 |
0 |
(10 |
) | |||||||||||||||||
01/2025 |
89 |
TRY |
3,379 |
4 |
0 |
|||||||||||||||||||
02/2025 |
TRY |
570 |
$ |
15 |
0 |
0 |
||||||||||||||||||
02/2025 |
$ |
8,578 |
TRY |
325,729 |
173 |
0 |
||||||||||||||||||
03/2025 |
TRY |
1,707 |
$ |
44 |
0 |
(1 |
) | |||||||||||||||||
03/2025 |
$ |
859 |
TRY |
32,881 |
10 |
0 |
||||||||||||||||||
74 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
December 31, 2024 |
(Unaudited) |
SWAP AGREEMENTS:
CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION
(1)
Counterparty |
Reference Entity |
Fixed Receive Rate |
Payment Frequency |
Maturity Date |
Implied Credit Spread at December 31, 2024 (2) |
Notional Amount (3) |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Swap Agreements, at Value (4) |
|||||||||||||||||||||||||||||||
Asset |
Liability |
|||||||||||||||||||||||||||||||||||||||
BPS |
Petroleos Mexicanos |
1.000 |
% |
Quarterly |
12/20/2028 |
4.056 |
% |
$ |
800 |
$ |
(155 |
) |
$ |
73 |
$ |
0 |
$ |
(82 |
) | |||||||||||||||||||||
DUB |
Eskom « |
4.650 |
Quarterly |
06/30/2029 |
0.068 |
2,900 |
0 |
199 |
199 |
0 |
||||||||||||||||||||||||||||||
JPM |
Banca Monte Dei Paschi Di |
5.000 |
Quarterly |
06/20/2025 |
0.562 |
EUR |
100 |
(2 |
) |
5 |
3 |
0 |
||||||||||||||||||||||||||||
Total Swap Agreements |
$ |
(157 |
) |
$ |
277 |
$ |
202 |
$ |
(82 |
) | ||||||||||||||||||||||||||||||
FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER SUMMARY
The following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral pledged/(received) as of December 31, 2024:
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 |
$ |
6 |
$ |
0 |
$ |
0 |
$ |
6 |
$ |
(3 |
) |
$ |
0 |
$ |
0 |
$ |
(3 |
) |
$ |
3 |
$ |
0 |
$ |
3 |
||||||||||||||||||||||||
BPS |
116 |
0 |
0 |
116 |
(28 |
) |
0 |
(82 |
) |
(110 |
) |
6 |
0 |
6 |
||||||||||||||||||||||||||||||||||
BRC |
187 |
0 |
0 |
187 |
(12 |
) |
0 |
0 |
(12 |
) |
175 |
(40 |
) |
135 |
||||||||||||||||||||||||||||||||||
CBK |
1 |
0 |
0 |
1 |
(15 |
) |
0 |
0 |
(15 |
) |
(14 |
) |
0 |
(14 |
) | |||||||||||||||||||||||||||||||||
DUB |
0 |
0 |
199 |
199 |
(9 |
) |
0 |
0 |
(9 |
) |
190 |
(160 |
) |
30 |
||||||||||||||||||||||||||||||||||
FAR |
3 |
0 |
0 |
3 |
(3 |
) |
0 |
0 |
(3 |
) |
0 |
0 |
0 |
|||||||||||||||||||||||||||||||||||
GLM |
24 |
0 |
0 |
24 |
(31 |
) |
0 |
0 |
(31 |
) |
(7 |
) |
0 |
(7 |
) | |||||||||||||||||||||||||||||||||
JPM |
168 |
0 |
3 |
171 |
0 |
0 |
0 |
0 |
171 |
(323 |
) |
(152 |
) | |||||||||||||||||||||||||||||||||||
MBC |
1,446 |
0 |
0 |
1,446 |
(31 |
) |
0 |
0 |
(31 |
) |
1,415 |
(1,030 |
) |
385 |
||||||||||||||||||||||||||||||||||
SCX |
25 |
0 |
0 |
25 |
0 |
0 |
0 |
0 |
25 |
0 |
25 |
|||||||||||||||||||||||||||||||||||||
UAG |
9 |
0 |
0 |
9 |
0 |
0 |
0 |
0 |
9 |
0 |
9 |
|||||||||||||||||||||||||||||||||||||
Total Over the Counter |
$ |
1,985 |
$ |
0 |
$ |
202 |
$ |
2,187 |
$ |
(132 |
) |
$ |
0 |
$ |
(82 |
) |
$ |
(214 |
) |
|||||||||||||||||||||||||||||
(1) |
If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) |
Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular |
| See Accompanying Notes | SEMIANNUAL REPORT |
| | DECEMBER 31, 2024 | 75 |
Schedule of Investments |
PIMCO Income Strategy Fund II |
(Cont.) |
referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(3) |
The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(4) |
The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(5) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information. |
FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS
The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal and Other Risks, in the Notes to Financial Statements on risks of the Fund.
Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of December 31, 2024:
The effect of Financial Derivative Instruments on the Statements of Operations for the period ended December 31, 2024:
76 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
December 31, 2024 |
(Unaudited) |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2024 in valuing the Fund’s assets and liabilities:
Category and Subcategory |
Level 1 |
Level 2 |
Level 3 |
Fair Value at 12/31/2024 |
||||||||||||
Investments in Securities, at Value |
||||||||||||||||
Loan Participations and Assignments |
$ |
2,171 |
$ |
159,406 |
$ |
49,980 |
$ |
211,557 |
||||||||
Corporate Bonds & Notes |
||||||||||||||||
Banking & Finance |
0 |
46,663 |
0 |
46,663 |
||||||||||||
Industrials |
0 |
105,005 |
23,547 |
128,552 |
||||||||||||
Utilities |
0 |
37,166 |
0 |
37,166 |
||||||||||||
Convertible Bonds & Notes |
||||||||||||||||
Industrials |
0 |
2,847 |
0 |
2,847 |
||||||||||||
Municipal Bonds & Notes |
||||||||||||||||
Michigan |
0 |
1,625 |
0 |
1,625 |
||||||||||||
Puerto Rico |
0 |
3,087 |
0 |
3,087 |
||||||||||||
West Virginia |
0 |
4,258 |
0 |
4,258 |
||||||||||||
U.S. Government Agencies |
0 |
9,194 |
5,072 |
14,266 |
||||||||||||
Non-Agency Mortgage-Backed Securities |
0 |
73,334 |
0 |
73,334 |
||||||||||||
Asset-Backed Securities |
||||||||||||||||
Home Equity Other |
0 |
13,569 |
0 |
13,569 |
||||||||||||
Whole Loan Collateral |
0 |
124 |
0 |
124 |
||||||||||||
Other ABS |
0 |
15,319 |
2,415 |
17,734 |
||||||||||||
Sovereign Issues |
0 |
35,359 |
0 |
35,359 |
||||||||||||
Common Stocks |
||||||||||||||||
Communication Services |
2,105 |
0 |
16,608 |
18,713 |
||||||||||||
Consumer Discretionary |
0 |
0 |
17 |
17 |
||||||||||||
Financials |
7,353 |
0 |
7,732 |
15,085 |
||||||||||||
Health Care |
0 |
0 |
25,824 |
25,824 |
||||||||||||
Industrials |
0 |
0 |
2,883 |
2,883 |
||||||||||||
Warrants |
||||||||||||||||
Communication Services |
0 |
0 |
4,837 |
4,837 |
||||||||||||
Financials |
0 |
0 |
1 |
1 |
||||||||||||
Preferred Securities |
||||||||||||||||
Banking & Finance |
0 |
3,096 |
0 |
3,096 |
||||||||||||
Industrials |
0 |
1,952 |
0 |
1,952 |
||||||||||||
Real Estate Investment Trusts |
||||||||||||||||
Real Estate |
3,722 |
0 |
0 |
3,722 |
||||||||||||
The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended December 31, 2024:
Category and Subcategory |
Beginning Balance at 06/30/2024 |
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 12/31/2024 |
Net Change in Unrealized Appreciation/ (Depreciation) on Investments Held at 12/31/2024 (2) |
||||||||||||||||||||||||||||||
Investments in Securities, at Value |
||||||||||||||||||||||||||||||||||||||||
Loan Participations and Assignments |
$ |
48,645 |
$ |
30,685 |
$ |
(24,463 |
) |
$ |
128 |
$ |
240 |
$ |
7,509 |
$ |
285 |
$ |
(13,049 |
) |
$ |
49,980 |
$ |
44 |
||||||||||||||||||
Corporate Bonds & Notes |
||||||||||||||||||||||||||||||||||||||||
Banking & Finance |
7,071 |
0 |
(7,165 |
) |
0 |
39 |
55 |
0 |
0 |
0 |
0 |
|||||||||||||||||||||||||||||
Industrials |
24,856 |
0 |
0 |
(27 |
) |
0 |
(2,271 |
) |
989 |
0 |
23,547 |
(2,271 |
) | |||||||||||||||||||||||||||
U.S. Government Agencies |
4,904 |
0 |
(70 |
) |
10 |
23 |
205 |
0 |
0 |
5,072 |
201 |
|||||||||||||||||||||||||||||
Non-Agency Mortgage-Backed Securities |
701 |
0 |
(74 |
) |
4 |
19 |
10 |
0 |
(660 |
) |
0 |
0 |
||||||||||||||||||||||||||||
Asset-Backed Securities |
||||||||||||||||||||||||||||||||||||||||
Other ABS |
2,551 |
0 |
0 |
15 |
0 |
(151 |
) |
0 |
0 |
2,415 |
(151 |
) | ||||||||||||||||||||||||||||
Common Stocks |
||||||||||||||||||||||||||||||||||||||||
Communication Services |
12,010 |
160 |
0 |
0 |
1 |
4,437 |
0 |
0 |
16,608 |
4,438 |
||||||||||||||||||||||||||||||
Consumer Discretionary |
11,220 |
0 |
(11,472 |
) |
0 |
8,753 |
(8,484 |
) |
0 |
0 |
17 |
0 |
||||||||||||||||||||||||||||
Energy |
60 |
0 |
(65 |
) |
0 |
34 |
(29 |
) |
0 |
0 |
0 |
0 |
||||||||||||||||||||||||||||
Financials |
8,693 |
38 |
0 |
0 |
(1 |
) |
(998 |
) |
0 |
0 |
7,732 |
(998 |
) | |||||||||||||||||||||||||||
Health Care |
27,902 |
0 |
0 |
0 |
0 |
(2,078 |
) |
0 |
0 |
25,824 |
(2,078 |
) | ||||||||||||||||||||||||||||
Industrials |
2,540 |
203 |
0 |
0 |
0 |
140 |
0 |
0 |
2,883 |
139 |
||||||||||||||||||||||||||||||
Warrants |
||||||||||||||||||||||||||||||||||||||||
Communication Services |
0 |
4,837 |
0 |
0 |
0 |
0 |
0 |
0 |
4,837 |
0 |
||||||||||||||||||||||||||||||
Financials |
1 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
0 |
||||||||||||||||||||||||||||||
| See Accompanying Notes | SEMIANNUAL REPORT |
| | DECEMBER 31, 2024 | 77 |
Schedule of Investments |
PIMCO Income Strategy Fund II |
(Cont.) |
December 31, 2024 | (Unaudited) |
Category and Subcategory |
Beginning Balance at 06/30/2024 |
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 12/31/2024 |
Net Change in Unrealized Appreciation/ (Depreciation) on Investments Held at 12/31/2024 (2) |
||||||||||||||||||||||||||||||
Preferred Securities |
||||||||||||||||||||||||||||||||||||||||
Industrials |
$ |
0 |
$ |
0 |
$ |
0 |
$ |
0 |
$ |
(2,270 |
) |
$ |
2,270 |
$ |
0 |
$ |
0 |
$ |
0 |
$ |
0 |
|||||||||||||||||||
$ |
151,154 |
$ |
35,923 |
$ |
(43,309 |
) |
$ |
130 |
$ |
6,838 |
$ |
615 |
$ |
1,274 |
$ |
(13,709 |
) |
$ |
138,916 |
$ |
(676 |
) | ||||||||||||||||||
Financial Derivative Instruments |
||||||||||||||||||||||||||||||||||||||||
Over the counter |
$ |
224 |
$ |
0 |
$ |
0 |
$ |
0 |
$ |
0 |
$ |
(25 |
) |
$ |
0 |
$ |
0 |
$ |
199 |
$ |
(25 |
) | ||||||||||||||||||
Totals |
$ |
151,378 |
$ |
35,923 |
$ |
(43,309 |
) |
$ |
130 |
$ |
6,838 |
$ |
590 |
$ |
1,274 |
$ |
(13,709 |
) |
$ |
139,115 |
$ |
(701 |
) | |||||||||||||||||
The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:
Category and Subcategory |
Ending Balance at 12/31/2024 |
Valuation Technique |
Unobservable Inputs |
(% Unless Noted Otherwise) |
||||||||||||||||
Input Value(s) |
Weighted Average |
|||||||||||||||||||
Investments in Securities, at Value |
||||||||||||||||||||
Loan Participations and Assignments |
$ |
735 |
Comparable Companies |
EBITDA Multiple |
X |
13.750 |
— |
|||||||||||||
24,295 |
Discounted Cash Flow |
Discount Rate |
7.192-25.430 |
13.980 |
||||||||||||||||
285 |
Expected Recovery |
Recovery Rate |
15.419 |
— |
||||||||||||||||
2,781 |
Indicative Market Quotation |
Broker Quote |
82.000 |
— |
||||||||||||||||
343 |
Other Valuation Techniques (3) |
— |
— |
— |
||||||||||||||||
7,285 |
Proxy Pricing |
Base Price |
98.286-100.000 |
99.635 |
||||||||||||||||
1,548 |
Recent Transaction |
Purchase Price |
99.500 |
— |
||||||||||||||||
12,708 |
Third Party Vendor |
Broker Quote |
99.188-100.250 |
99.700 |
||||||||||||||||
Corporate Bonds & Notes |
||||||||||||||||||||
Industrials |
22,558 |
Comparable Companies / Discounted Cash Flow |
Revenue Multiple/ Discount Rate |
X/% |
1.000/9.750 |
— |
||||||||||||||
549 |
Indicative Market Quotation |
Broker Quote |
61.000 |
— |
||||||||||||||||
440 |
Other Valuation Techniques (3) |
— |
— |
— |
||||||||||||||||
U.S. Government Agencies |
5,072 |
Discounted Cash Flow |
Discount Rate |
11.599 |
— |
|||||||||||||||
Asset-Backed Securities |
||||||||||||||||||||
Other ABS |
2,415 |
Discounted Cash Flow |
Discount Rate |
12.000-20.000 |
17.183 |
|||||||||||||||
Common Stocks |
||||||||||||||||||||
Communication Services |
13,743 |
Comparable Companies |
EBITDA Multiple |
X |
4.640 |
— |
||||||||||||||
2,685 |
Discounted Cash Flow |
Discount Rate |
12.280 |
— |
||||||||||||||||
180 |
Reference Instrument |
Stock Price w/Liquidity Discount |
10.000 |
— |
||||||||||||||||
Consumer Discretionary |
17 |
Discounted Cash Flow/Comparable Companies |
Discount Rate/Revenue multiple |
%/X |
20.750/0.500 |
— |
||||||||||||||
Financials |
7,719 |
Comparable Companies |
EBITDA Multiple |
X |
4.600 |
— |
||||||||||||||
14 |
Other Valuation Techniques (3) |
— |
— |
— |
||||||||||||||||
Health Care |
25,824 |
Comparable Companies |
EBITDA Multiple |
X |
13.750 |
— |
||||||||||||||
Industrials |
2,359 |
Indicative Market Quotation |
Broker Quote |
$ |
25.125 |
— |
||||||||||||||
246 |
Indicative Market Quotation |
Broker Quote |
$ |
1.130-3.500 |
2.927 |
|||||||||||||||
277 |
Other Valuation Techniques (3) |
— |
— |
— |
||||||||||||||||
Warrants |
||||||||||||||||||||
Communication Services |
4,837 |
Recent Transaction |
Purchase Price |
$ |
13.000 |
— |
||||||||||||||
Financials |
1 |
Option Pricing Model |
Volatility |
32.500 |
— |
|||||||||||||||
Financial Derivative Instruments |
||||||||||||||||||||
Over the counter |
199 |
Indicative Market Quotation |
Broker Quote |
6.830 |
— |
|||||||||||||||
Total |
$ |
139,115 |
||||||||||||||||||
(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, 2024 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. |
78 |
PIMCO CLOSED-END FUNDS |
See Accompanying Notes |
Notes to Financial Statements |
December 31, 2024 |
(Unaudited) |
1. ORGANIZATION
PIMCO Corporate & Income Opportunity Fund, PIMCO Corporate & Income Strategy Fund, PIMCO High Income Fund, PIMCO Income Strategy Fund and PIMCO Income Strategy Fund II (each, a “Fund” and collectively, the “Funds”) are organized as
closed-end
management investment companies registered under the Investment Company Act of 1940, as amended, and the rules and regulations thereunder (the “Act”). Each Fund was organized as a Massachusetts business trust on the dates shown in the table below. Pacific Investment Management Company LLC (“PIMCO” or the “Manager”) serves as the Funds’ investment manager. Fund Name |
Formation Date |
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PIMCO Corporate & Income Opportunity Fund |
September 13, 2002 |
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PIMCO Corporate & Income Strategy Fund |
October 17, 2001 |
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PIMCO High Income Fund |
February 18, 2003 |
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PIMCO Income Strategy Fund |
June 19, 2003 |
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PIMCO Income Strategy Fund II |
June 30, 2004 |
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Hereinafter, the Board of Trustees of the Funds shall be collectively referred to as the “Board.”
In this reporting period, each Fund adopted FASB Accounting Standards Update 2023-07, Segment Reporting (Topic 280) - Improvements to Reportable Segment Disclosures (“ASU 2023-07”). Adoption of the new standard impacted financial statement disclosures only and did not affect the Funds’ financial position or the results of its operations. An operating segment is defined in Topic 280 as a component of a public entity that engages in business activities from which it may recognize revenues and incur expenses, has operating results that are regularly reviewed by the public entity’s chief operating decision maker (“CODM”) to make decisions about resources to be allocated to the segment and to assess its performance, and has discrete financial information available. The Officers of the Funds, as listed in the Management of the Funds section of the most recent annual report, act as the Funds’ CODM. Each Fund represents a single operating segment, as the CODM monitors the operating results of the Funds as a whole and each Fund’s long-term strategic asset allocation is pre-determined in accordance with the terms of its prospectus, based on a defined investment strategy which is executed by the Funds’ portfolio managers as a team. The financial information in the form of each Fund’s portfolio composition, total returns, expense ratios and changes in net assets (i.e., changes in net assets resulting from operations, subscriptions and redemptions), which are used by the CODM to assess the segment’s performance versus each Fund’s comparative benchmarks and to make resource allocation decisions for each Fund’s single segment, is consistent with that presented within the Funds’ financial statements. Segment assets are reflected on the accompanying Statement of Assets and Liabilities as “total assets” and significant segment expenses are listed on the accompanying Statement of Operations.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”). Each Fund is treated as an investment company under the reporting requirements of U.S. GAAP, including, but not limited to, ASC 946. The functional and reporting currency for the Funds is the U.S. dollar. The preparation of financial statements in accordance with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
(a) Securities Transactions and Investment Income
Securities transactions are recorded as of the trade date for financial reporting purposes. Securities purchased or sold on a when-issued or delayed-delivery basis may be settled beyond a standard settlement period for the security after the trade date. Realized gains (losses) from securities sold are recorded on the identified cost basis. Dividend income is recorded on the
ex-dividend
date, except certain dividends from foreign securities where the ex-dividend
date may have passed, which are recorded as soon as a Fund is informed of the ex-dividend
date. Interest income, adjusted for the accretion of discounts and amortization of premiums, is recorded on the accrual basis from settlement date, with the exception of securities with a forward starting effective date, where interest income is recorded on the accrual basis from effective date. For convertible securities, premiums attributable to the conversion feature are not amortized. Estimated tax liabilities on certain foreign securities are recorded on an accrual basis and are reflected as components of interest income or net change in unrealized appreciation (depreciation) on investments on the Statements of Operations, as appropriate. Tax liabilities realized as a result of such security sales are reflected as a component of net realized gain (loss) on investments on the Statements of Operations. Paydown gains (losses) on mortgage-related and other asset-backed securities, if any, are recorded as components of interest income on the Statements of Operations. Income or short-term capital gain distributions received from registered investment companies, if any, are recorded as dividend income. Long-term capital gain distributions received from registered investment companies, if any, are recorded as realized gains. Debt obligations may be placed on
non-accrual
status and related interest income may be reduced by ceasing current accruals and writing off interest receivable when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt SEMIANNUAL REPORT |
| | DECEMBER 31, 2024 | 79 |
Notes to Financial Statements |
(Cont.) |
obligation is removed from
non-accrual
status when the issuer resumes interest payments or when collectability of interest is probable. A debt obligation may be granted, in certain situations, a contractual or non-contractual
forbearance for interest payments that are expected to be paid after agreed upon pay dates. (b) Foreign Taxes
A Fund may be subject to foreign taxes on income, stock dividends, capital gains on investments or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Fund invests. These foreign taxes, if any, are paid by a Fund and are reflected in its Statements of Operations as follows: foreign taxes withheld at source are presented as a reduction of income, foreign taxes on securities lending income are presented as a reduction of securities lending income, foreign taxes on stock dividends are presented as “other foreign taxes”, and foreign taxes on capital gains from sales of investments and foreign taxes on foreign currency transactions are included in their respective net realized gain (loss) categories. Foreign taxes payable as of December 31, 2024, if any, are disclosed in the Statements of Assets and Liabilities.
(c) Foreign Currency Translation
The market values of foreign securities, currency holdings and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars based on the current exchange rates each business day. Purchases and sales of securities and income and expense items denominated in foreign currencies, if any, are translated into U.S. dollars at the exchange rate in effect on the transaction date. The Funds do not separately report the effects of changes in foreign exchange rates from changes in market prices on securities held. Such changes are included in net realized gain (loss) and net change in unrealized appreciation (depreciation) from investments on the Statements of Operations. The Funds may invest in foreign currency-denominated securities and may engage in foreign currency transactions either on a spot (cash) basis at the rate prevailing in the currency exchange market at the time or through a forward foreign currency contract. Realized foreign exchange gains (losses) arising from sales of spot foreign currencies, currency gains (losses) realized between the trade and settlement dates on securities transactions and the difference between the recorded amounts of dividends, interest and foreign withholding taxes and the U.S. dollar equivalent of the amounts actually received or paid are included in net realized gain (loss) on foreign currency transactions on the Statements of Operations. Net unrealized foreign exchange gains (losses) arising from changes in foreign exchange rates on foreign denominated assets and liabilities other than investments in securities held at the end of the reporting period are included in net change in unrealized appreciation (depreciation) on foreign currency assets and liabilities on the Statements of Operations.
(d) Distributions — Common Shares
The following table shows the anticipated frequency of distributions from net investment income to common shareholders.
Distribution Frequency |
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Fund Name |
Declared |
Distributed |
||||||||||
PIMCO Corporate & Income Opportunity Fund |
Monthly |
Monthly |
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PIMCO Corporate & Income Strategy Fund |
Monthly |
Monthly |
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PIMCO High Income Fund |
Monthly |
Monthly |
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PIMCO Income Strategy Fund |
Monthly |
Monthly |
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PIMCO Income Strategy Fund II |
Monthly |
Monthly |
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Each Fund intends to distribute at least annually to its shareholders all or substantially all of its net
tax-exempt
interest and any investment company taxable income, and may distribute its net capital gain. A Fund may revise its distribution policy or postpone the payment of distributions at any time. As of the end of the fiscal year, none of the Funds were in default on long-term debt or had any accumulated dividend in arrears.
A Fund may engage in investment strategies, including those that employ the use of derivatives, to, among other things, seek to generate current, distributable income without regard to possible declines in the Fund’s net asset value (“NAV”). A Fund may enter into opposite sides of interest rate swap and other derivatives for the principal purpose of generating distributable gains on the one side (characterized as ordinary income for tax purposes) that are not part of the Fund’s duration or yield curve management strategies, and with a substantial possibility that the Fund will experience a corresponding capital loss and decline in NAV with respect to the opposite side transaction (to the extent it does not have corresponding offsetting capital gains). Consequently, common shareholders may receive distributions and owe tax on amounts that are effectively a taxable return of the shareholder’s investment in the Fund at a time when their investment in a Fund has declined in value, which may be taxed at ordinary income rates. The tax treatment of certain derivatives in which a Fund invests may be unclear and thus subject to recharacterization. Any recharacterization of payments made or received by a Fund pursuant to derivatives potentially could affect the amount, timing or character of Fund distributions. In addition, the tax treatment of such investment strategies may be changed by regulation or otherwise.
Income distributions and capital gain distributions are determined in accordance with income tax regulations which may differ from U.S. GAAP. Differences between tax regulations and U.S. GAAP may cause timing differences between income and capital gain recognition. Further, the character of investment income and capital gains may be different for certain transactions under the two methods of accounting. As a result, income distributions and capital gain distributions declared during a fiscal period may differ significantly from the net investment
80 |
PIMCO CLOSED-END FUNDS |
December 31, 2024 |
(Unaudited) |
income (loss) and realized gains (losses) reported on each Fund’s annual financial statements presented under U.S. GAAP.
Separately, if a Fund determines or estimates, as applicable, that a portion of a distribution may be comprised of amounts from sources other than net investment income in accordance with its policies, accounting records (if applicable) and accounting practices, the Fund will notify shareholders of the estimated composition of such distribution through a Section 19 Notice. For these purposes, a Fund determines or estimates, as applicable, the source or sources from which a distribution is paid, to the close of the period as of which it is paid, in reference to its internal accounting records and related accounting practices. If, based on such accounting records and practices, it is determined or estimated, as applicable, that a particular distribution does not include capital gains or
paid-in
surplus or other capital sources, a Section 19 Notice generally would not be issued. It is important to note that differences exist between a Fund’s daily internal accounting records and practices, a Fund’s financial statements presented in accordance with U.S. GAAP, and recordkeeping practices under income tax regulations. For instance, a Fund’s internal accounting records and practices may take into account, among other factors, tax-related
characteristics of certain sources of distributions that differ from treatment under U.S. GAAP. Examples of such differences may include, but are not limited to, for certain Funds, the treatment of periodic payments under interest rate swap contracts. Accordingly, among other consequences, it is possible that a Fund may not issue a Section 19 Notice in situations where a Fund’s financial statements prepared later and in accordance with U.S. GAAP and/or the final tax character of those distributions might later report that the sources of those distributions included capital gains and/or a return of capital. Please visit www.pimco.com for the most recent Section 19 Notice, if applicable, for additional information regarding the estimated composition of distributions. Final determination of a distribution’s tax character will be provided to shareholders when such information is available. Distributions classified as a tax basis return of capital at a Fund’s fiscal year end, if any, are reflected on the Statements of Changes in Net Assets and have been recorded to paid in capital on the Statements of Assets and Liabilities. In addition, other amounts have been reclassified between distributable earnings (accumulated loss) and paid in capital on the Statements of Assets and Liabilities to more appropriately conform U.S. GAAP to tax characterizations of distributions.
(e) New Accounting Pronouncements and Regulatory Updates
In September 2023, the U.S. Securities and Exchange Commission (“SEC”) adopted amendments to Rule
35d-1
under the Act, the rule governing fund naming conventions (the “Names Rule”). In general, the Names Rule requires funds with certain types of names to adopt a policy to invest at least 80% of their assets in the type of investment suggested by the name. The amendments expand the scope of the current rule to include any term used in a fund name that suggests the fund makes investments that have, or whose issuers have, particular characteristics. Additionally, the amendments modify the circumstances under which a fund may deviate from its 80% investment policy and address the calculation methodology of derivatives instruments for purposes of the rule. Changes to a fund’s calculation methodology for derivatives instruments for purposes of Rule 35d-1 consistent with such amendments and applicable regulatory interpretations thereof will not constitute a change to a fund’s policy adopted pursuant to Rule 35d-1 and will not require notice or shareholder approval. The amendments became effective December 11, 2023, and fund groups with $1 billion or more in net assets will have 24 months to comply with the amendments. At this time, management is evaluating the implications of these changes on the financial statements.
In November 2023, the Financial Accounting Standards Board issued Accounting Standards Update 2023-07, “Segment Reporting (Topic 280)”. ASU 2023-07 requires public entities to provide disclosure of significant segment expenses that are regularly provided to the chief operating decision maker (“CODM”). ASU 2023-07, among other things, (i) requires a single segment public entity to provide all necessary disclosures required by Topic 280, (ii) mandates the dislosure of the title and position of the CODM and an explanation of how the CODM uses the reported measure(s) of segment profit and loss to assess segment performance and to decide how to allocate resources and (iii) provides the ability for a public entity to elect more than one performance measure. ASU 2023-07 is effective for fiscal years beginning after December 15, 2023, and interim periods within fiscal years beginning after December 15, 2024. Management has implemented changes in connection with the amendments and has determined that there was no material impact to each Funds’ financial statements.
In December 2023, FASB issued ASU
2023-09,
which amends quantitative and qualitative income tax disclosure requirements in order to increase disclosure consistency, bifurcate income tax information by jurisdiction and remove information that is no longer beneficial. The ASU is effective for annual periods beginning after December 15, 2024, and early adoption is permitted. At this time, management is evaluating the implications of these changes on the financial statements. 3. INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS
(a) Investment Valuation Policies
The NAV of a Fund’s shares, or each of its share classes, as applicable, is determined by dividing the total value of portfolio investments and other assets attributable to the
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| | DECEMBER 31, 2024 | 81 |
Notes to Financial Statements |
(Cont.) |
Funds or class, less any liabilities, as applicable, by the total number of shares outstanding.
On each day that the New York Stock Exchange (“NYSE”) is open, each Fund’s shares are ordinarily valued as of the close of regular trading (normally 4:00 p.m., Eastern time) (“NYSE Close”). Information that becomes known to the Funds or their agents after the time as of which NAV has been calculated on a particular day will not generally be used to retroactively adjust the price of a security or the NAV determined earlier that day. If regular trading on the NYSE closes earlier than scheduled, each Fund may calculate its NAV as of the earlier closing time or calculate its NAV as of the NYSE Close for that day. Each Fund generally does not calculate its NAV on days on which the NYSE is not open for business. If the NYSE is closed on a day it would normally be open for business, each Fund may calculate its NAV as of the NYSE Close for such day or such other time that each Fund may determine.
For purposes of calculating NAV, portfolio securities and other assets for which market quotations are readily available are valued at market value. A market quotation is readily available only when that quotation is a quoted price (unadjusted) in active markets for identical investments that a Fund can access at the measurement date, provided that a quotation will not be readily available if it is not reliable. Market value is generally determined on the basis of official closing prices or the last reported sales prices. The Funds will normally use pricing data for domestic equity securities received shortly after the NYSE Close and do not normally take into account trading, clearances or settlements that take place after the NYSE Close. A foreign
(non-U.S.)
equity security traded on a foreign exchange or on more than one exchange is typically valued using pricing information from the exchange considered by PIMCO to be the primary exchange. If market value pricing is used, a foreign (non-U.S.)
equity security will be valued as of the close of trading on the foreign exchange or the NYSE Close if the NYSE Close occurs before the end of trading on the foreign exchange. Investments for which market quotations are not readily available are valued at fair value as determined in good faith pursuant to Rule
2a-5
under the Act. As a general principle, the fair value of a security or other asset is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Pursuant to Rule 2a-5,
the Board has designated PIMCO as the valuation designee (“Valuation Designee”) for each Fund to perform the fair value determination relating to all Fund investments. PIMCO may carry out its designated responsibilities as Valuation Designee through various teams and committees. The Valuation Designee’s policies and procedures govern the Valuation Designee’s selection and application of methodologies for determining and calculating the fair value of Fund portfolio investments. The Valuation Designee may value Fund portfolio securities for which market quotations are not readily available and other Fund assets utilizing inputs from pricing services, quotation reporting systems, valuation agents and other third-party sources (together, “Pricing Sources”).
Domestic and foreign
(non-U.S.)
fixed income securities, non-exchange
traded derivatives and equity options are normally valued on the basis of quotes obtained from brokers and dealers or Pricing Sources using data reflecting the earlier closing of the principal markets for those securities. Prices obtained from Pricing Sources may be based on, among other things, information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. Certain fixed income securities purchased on a delayed-delivery basis are marked to market daily until settlement at the forward settlement date. Common stocks, ETFs, exchange-traded notes and financial derivative instruments, such as futures contracts, rights and warrants, or options on futures that are traded on a national securities exchange, are stated at the last reported sale or settlement price on the day of valuation. Exchange-traded options, except equity options, futures and options on futures are valued at the settlement price determined by the relevant exchange. Swap agreements are valued on the basis of bid quotes obtained from brokers and dealers or market-based prices supplied by Pricing Sources. With respect to any portion of a Fund’s assets that are invested in one or more open-end
management investment companies (other than ETFs), a Fund’s NAV will be calculated based on the NAVs of such investments. Open-end
management investment companies may include affiliated funds. If a foreign
(non-U.S.)
equity security’s value has materially changed after the close of the security’s primary exchange or principal market but before the NYSE Close, the security may be valued at fair value. Foreign (non-U.S.)
equity securities that do not trade when the NYSE is open are also valued at fair value. With respect to foreign (non-U.S.)
equity securities, a Fund may determine the fair value of investments based on information provided by Pricing Sources, which may recommend fair value or adjustments with reference to other securities, indexes or assets. In considering whether fair valuation is required and in determining fair values, the Valuation Designee may, among other things, consider significant events (which may be considered to include changes in the value of U.S. securities or securities indexes) that occur after the close of the relevant market and before the NYSE Close. A Fund may utilize modeling tools provided by third-party vendors to determine fair values of foreign (non-U.S.)
securities. For these 82 |
PIMCO CLOSED-END FUNDS |
December 31, 2024 |
(Unaudited) |
purposes, unless otherwise determined by the Valuation Designee, any movement in the applicable reference index or instrument (“zero trigger”) between the earlier close of the applicable foreign market and the NYSE Close may be deemed to be a significant event, prompting the application of the pricing model (effectively resulting in daily fair valuations). Foreign exchanges may permit trading in foreign
(non-U.S.)
equity securities on days when a Fund is not open for business, which may result in a Fund’s portfolio investments being affected when shareholders are unable to buy or sell shares. Investments valued in currencies other than the U.S. dollar are converted to the U.S. dollar using exchange rates obtained from Pricing Sources. As a result, the value of such investments and, in turn, the NAV of a Fund’s shares may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of investments traded in markets outside the United States or denominated in currencies other than the U.S. dollar may be affected significantly on a day that a Fund is not open for business. As a result, to the extent that a Fund holds foreign
(non-U.S.)
investments, the value of those investments may change at times when shareholders are unable to buy or sell shares and the value of such investments will be reflected in a Fund’s next calculated NAV. Whole loans may be fair valued using inputs that take into account borrower- or loan-level data (., credit risk of the borrower) that is updated periodically throughout the life of each individual loan; any new borrower- or loan-level data received in written reports periodically by a Fund normally will be taken into account in calculating the NAV. A Fund’s whole loan investments, including those originated by a Fund or through an alternative lending platform, generally are fair valued in accordance with procedures approved by the Board.
e.g
Fair valuation may require subjective determinations about the value of a security. While the Funds’ and Valuation Designee’s policies and procedures are intended to result in a calculation of a Fund’s NAV that fairly reflects security values as of the time of pricing, a Fund cannot ensure that fair values accurately reflect the price that a Fund could obtain for a security if it were to dispose of that security as of the time of pricing (for instance, in a forced or distressed sale). The prices used by a Fund may differ from the value that would be realized if the securities were sold.
(b) Fair Value Hierarchy
U.S. GAAP describes fair value as the price that a Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. It establishes a fair value hierarchy that prioritizes inputs to valuation methods and requires disclosure of the fair value
hierarchy, separately for each major category of assets and liabilities, that segregates fair value measurements into levels (Level 1, 2 or 3). The inputs or methodology used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. Levels 1, 2 and 3 of the fair value hierarchy are defined as follows:
∎ |
Level 1 — Quoted prices (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. |
Assets or liabilities categorized as Level 2 or 3 as of period end have been transferred between Levels 2 and 3 since the prior period due to changes in the method utilized in valuing the investments. Transfers from Level 2 to Level 3 are a result of a change, in the normal course of business, from the use of methods used by Pricing Sources (Level 2) to the use of a Broker Quote or valuation technique which utilizes significant unobservable inputs due to an absence of current or reliable market-based data (Level 3). Transfers from Level 3 to Level 2 are a result of the availability of current and reliable market-based data provided by Pricing Sources or other valuation techniques which utilize significant observable inputs. In accordance with the requirements of U.S. GAAP, the amounts of transfers into and out of Level 3, if material, are disclosed in the Notes to Schedule of Investments for each respective Fund.
For fair valuations using significant unobservable inputs, U.S. GAAP requires a reconciliation of the beginning to ending balances for reported fair values that presents changes attributable to realized gain (loss), unrealized appreciation (depreciation), purchases and sales, accrued discounts (premiums), and transfers into and out of the Level 3 category during the period. The end of period value is used for the transfers between Levels of a Fund’s assets and liabilities. Additionally, U.S. GAAP requires quantitative information regarding the significant unobservable inputs used in the determination of fair value of assets or liabilities categorized as Level 3 in the fair value hierarchy. In accordance with the requirements of U.S. GAAP, a fair value hierarchy
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Notes to Financial Statements |
(Cont.) |
and, if material, a Level 3 reconciliation and details of significant unobservable inputs, have been included in the Notes to Schedule of Investments for each respective Fund.
(c) Valuation Techniques and the Fair Value Hierarchy
Level 1, Level 2 and Level 3 trading assets and trading liabilities, at fair value
The valuation methods (or “techniques”) and significant inputs used in determining the fair values of portfolio securities or other assets and liabilities categorized as Level 1, Level 2 and Level 3 of the fair value hierarchy are as follows:
Common stocks, ETFs, exchange-traded notes and financial derivative instruments, such as futures contracts, rights and warrants, or options on futures that are traded on a national securities exchange, are stated at the last reported sale or settlement price on the day of valuation. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy.
Investments in registered
open-end
investment companies (other than ETFs) will be valued based upon the NAVs of such investments and are categorized as Level 1 of the fair value hierarchy. Investments in unregistered open-end
investment companies will be calculated based upon the NAVs of such investments and are considered Level 1 provided that the NAVs are observable, calculated daily and are the value at which both purchases and sales will be conducted. Fixed income securities including corporate, convertible and municipal bonds and notes, U.S. government agencies, U.S. treasury obligations, sovereign issues, bank loans, convertible preferred securities,
non-U.S.
bonds and short-term debt instruments (such as commercial paper, time deposits and certificates of deposit) are normally valued on the basis of quotes obtained from brokers and dealers or Pricing Sources that use broker-dealer quotations, reported trades or valuation estimates from their internal pricing models. The Pricing Sources’ internal models use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar assets. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy. Fixed income securities purchased on a delayed-delivery basis or as a repurchase commitment in a sale-buyback transaction are marked to market daily until settlement at the forward settlement date and are categorized as Level 2 of the fair value hierarchy.
Mortgage-related and asset-backed securities are usually issued as separate tranches, or classes, of securities within each deal. These securities are also normally valued by Pricing Sources that use broker-dealer quotations, reported trades or valuation estimates from their
internal pricing models. The pricing models for these securities usually consider tranche-level attributes, current market data, estimated cash flows and market-based yield spreads for each tranche, and incorporate deal collateral performance, as available. Mortgage-related and asset-backed securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.
Valuation adjustments may be applied to certain securities that are solely traded on a foreign exchange to account for the market movement between the close of the foreign market and the NYSE Close. These securities are valued using Pricing Sources that consider the correlation of the trading patterns of the foreign security to the intraday trading in the U.S. markets for investments. Securities using these valuation adjustments are categorized as Level 2 of the fair value hierarchy. Preferred securities and other equities traded on inactive markets or valued by reference to similar instruments are also categorized as Level 2 of the fair value hierarchy.
Valuation adjustments may be applied to certain exchange traded futures and options to account for market movement between the exchange settlement and the NYSE Close. These securities are valued using quotes obtained from a quotation reporting system, established market makers or Pricing Sources. Financial derivatives using these valuation adjustments are categorized as Level 2 of the fair value hierarchy.
Equity exchange-traded options and over the counter financial derivative instruments, such as forward foreign currency contracts and options contracts derive their value from underlying asset prices, indexes, reference rates and other inputs or a combination of these factors. These contracts are normally valued on the basis of quotes obtained from a quotation reporting system, established market makers or Pricing Sources (normally determined as of the NYSE Close). Depending on the product and the terms of the transaction, financial derivative instruments can be valued by Pricing Sources using a series of techniques, including simulation pricing models. The pricing models use inputs that are observed from actively quoted markets such as quoted prices, issuer details, indexes, bid/ask spreads, interest rates, implied volatilities, yield curves, dividends and exchange rates. Financial derivative instruments that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.
Centrally cleared swaps and over the counter swaps derive their value from underlying asset prices, indexes, reference rates and other inputs or a combination of these factors. They are valued using a broker-dealer bid quotation or on market-based prices provided by Pricing Sources (normally determined as of the NYSE Close). Centrally cleared swaps and over the counter swaps can be valued by Pricing Sources using a series of techniques, including simulation pricing models. The pricing models may use inputs that are observed from actively quoted
84 |
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(Unaudited) |
markets such as the overnight index swap rate, LIBOR forward rate, interest rates, yield curves and credit spreads. These securities are categorized as Level 2 of the fair value hierarchy.
Proxy pricing procedures set the base price of a fixed income security and subsequently adjust the price proportionally to market value changes of a
pre-determined
security deemed to be comparable in duration, generally a U.S. Treasury or sovereign note based on country of issuance. The base price may be a broker-dealer quote, transaction price, or an internal value as derived by analysis of market data. The base price of the security may be reset on a periodic basis based on the availability of market data and procedures approved by the Valuation Oversight Committee. Significant changes in the unobservable inputs of the proxy pricing process (the base price) would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy. If third-party evaluated vendor pricing is not available or not deemed to be indicative of fair value, the Adviser may elect to obtain Broker Quotes directly from the broker-dealer or passed through from a third-party vendor. In the event that fair value is based upon a single sourced Broker Quote, these securities are categorized as Level 3 of the fair value hierarchy. Broker Quotes are typically received from established market participants. Although independently received, the Adviser does not have the transparency to view the underlying inputs which support the market quotation. Significant changes in the Broker Quote would have direct and proportional changes in the fair value of the security.
Reference instrument valuation estimates fair value by utilizing the correlation of the security to one or more broad-based securities, market indexes, and/or other financial instruments, whose pricing information is readily available. Unobservable inputs may include those used in algorithms based on percentage change in the reference instruments and/or weights of each reference instrument. Significant changes in the unobservable inputs would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 2 or Level 3 of the fair value hierarchy depending on the source or input of the reference instrument.
Expected recovery valuation estimates that the fair value of an existing asset can be recovered, net of any liability. Significant changes in the unobservable inputs would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.
The Discounted Cash Flow model is based on future cash flows generated by the investment and may be normalized based on expected investment performance. Future cash flows are discounted to present value using an appropriate rate of return, typically calibrated to the initial transaction date
and adjusted based on Capital Asset Pricing Model and/or other market-based inputs. Significant changes in the unobservable inputs would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.
The Comparable Companies model is based on application of valuation multiples from publicly traded comparable companies to the financials of the subject company. Adjustments may be made to the market-derived valuation multiples based on differences between the comparable companies and the subject company. Significant changes in the unobservable inputs would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.
The Option Pricing Model is a commonly accepted method of allocating enterprise value across a capital structure. The method may be utilized when a capital structure includes multiple instruments with varying rights and preferences, there is no short term exit horizon, the nature of an exit event is unknown, or if the enterprise value is not sufficient to cover outstanding debt and preferred claims. The Option Pricing Model can also be used as a method to estimate enterprise value by
‘back-solving’
if there are recent indicative transactions for securities with the same issuer. The Option Pricing Model uses Black-Scholes option pricing, a generally accepted option model typically used to value call options, puts, warrants, and convertible preferred securities. Significant changes in unobservable inputs would result in direct changes in the fair value of the security. These securities are categorized as level 3 of the fair value hierarchy. Securities may be valued based on purchase prices of privately negotiated transactions. Significant changes in the unobservable inputs would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.
Short-term debt instruments (such as commercial paper, time deposits and certificates of deposit) having a remaining maturity of 60 days or less may be valued at amortized cost, so long as the amortized cost value of such short-term debt instruments is approximately the same as the fair value of the instrument as determined without the use of amortized cost valuation. These securities are categorized as Level 2 or Level 3 of the fair value hierarchy depending on the source of the base price.
When a fair valuation method is applied by PIMCO that uses significant unobservable inputs, investments will be priced by a method that the Valuation Designee believes reflects fair value and are categorized as Level 3 of the fair value hierarchy.
SEMIANNUAL REPORT |
| | DECEMBER 31, 2024 | 85 |
Notes to Financial Statements |
(Cont.) |
4. SECURITIES AND OTHER INVESTMENTS
(a) Investments in Affiliates
Each Fund may invest in the PIMCO Short Asset Portfolio and the PIMCO Short-Term Floating NAV Portfolio III (“Central Funds”) to the extent permitted by the Act, rules thereunder or exemptive relief therefrom. The Central Funds are registered investment companies created for use solely by the series of the Trust and other series of registered investment companies advised by the Adviser, in connection with their cash management activities. The main investments of the Central Funds are money market and short maturity fixed income instruments. The Central Funds may incur expenses related to their investment activities, but do not pay Investment Advisory Fees or Supervisory and Administrative Fees to the Adviser. The Central Funds are considered to be affiliated with the Funds. A complete schedule of portfolio holdings for each affiliate fund is filed with the SEC for the first and third quarters of each fiscal year on Form ):
N-PORT
and is available at the SEC’s website at www.sec.gov. A copy of each affiliate fund’s shareholder report is also available at the SEC’s website at www.sec.gov, on the Funds’ website at www.pimco.com, or upon request, as applicable. The tables below show the Funds’ transactions in and earnings from investments in the affiliated funds for the period ended December 31, 2024 (amounts in thousands†
Investments in PIMCO Short-Term Floating NAV Portfolio III
Fund Name |
Market Value 06/30/2024 |
Purchases at Cost |
Proceeds from Sales |
Net Realized Gain (Loss) |
Change in Unrealized Appreciation (Depreciation) |
Market Value 12/31/2024 |
Dividend Income (1) |
Realized Net Capital Gain Distributions (1) |
||||||||||||||||||||||||||||
PIMCO Corporate & Income Opportunity Fund |
$ |
152,937 |
$ |
702,029 |
$ |
(508,900 |
) |
$ |
19 |
$ |
160 |
$ |
346,245 |
$ |
6,104 |
$ |
0 |
|||||||||||||||||||
PIMCO Corporate & Income Strategy Fun |
73,014 |
213,202 |
(184,400 |
) |
5 |
59 |
101,880 |
2,207 |
0 |
|||||||||||||||||||||||||||
PIMCO High Income Fund |
98,291 |
270,553 |
(205,100 |
) |
12 |
68 |
163,824 |
2,655 |
0 |
|||||||||||||||||||||||||||
PIMCO Income Strategy Fund |
31,402 |
97,095 |
(74,600 |
) |
4 |
25 |
53,926 |
995 |
0 |
|||||||||||||||||||||||||||
PIMCO Income Strategy Fund II |
74,607 |
161,620 |
(158,800 |
) |
28 |
32 |
77,487 |
1,534 |
0 |
|||||||||||||||||||||||||||
† |
A zero balance may reflect actual amounts rounding to less than one thousand. |
(1) |
The tax characterization of distributions is determined in accordance with Federal income tax regulations and may contain a return of capital. The actual tax characterization of distributions received is determined at the end of the fiscal year of the affiliated fund. See Note 2, Distributions to Shareholders, in the Notes to Financial Statements for more information. |
(b) Investments in Securities
The Funds may utilize the investments and strategies described below to the extent permitted by each Fund’s respective investment policies.
Delayed-Delivery Transactions
involve a commitment by the Fund to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. When delayed-delivery transactions are outstanding, the Fund will designate or receive as collateral liquid assets in an amount sufficient to meet the purchase price or respective obligations. When purchasing a security on a delayed-delivery basis, the Fund assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when determining its NAV. The Fund may dispose of or renegotiate a delayed-delivery transaction after it is entered into, which may result in a realized gain (loss). When the Fund has sold a security on a delayed delivery basis, the Fund does not participate in future gains (losses) with respect to the security.
Loans and Other Indebtedness, Loan Participations and Assignments
are direct debt instruments which are interests in amounts owed to lenders or lending syndicates by corporate, governmental or other borrowers. A Fund’s investments in loans may be in the form of direct investments, participations in loans or assignments of all or a portion of loans from third parties or exposure
to investments in loans through investments in a mutual fund or other pooled investment vehicle. A loan is often administered by a bank or other financial institution (the “agent”) that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. A Fund may invest in multiple series or tranches of a loan, which may have varying terms and carry different associated risks. A Fund generally has no right to enforce compliance with the terms of the loan agreement with the borrower. As a result, a Fund may be subject to the credit risk of both the borrower and the agent that is selling the loan agreement.
In the event of the insolvency of the agent selling a participation, a Fund may be treated as a general creditor of the agent and may not benefit from any
set-off
between the agent and the borrower. When a Fund purchases assignments from agents it acquires direct rights against the borrowers of the loans. These loans may include participations in bridge loans, which are loans taken out by borrowers for a short period (typically less than one year) pending arrangement of more permanent financing through, for example, the issuance of bonds, frequently high yield bonds issued for the purpose of acquisitions. Investments in loans are generally subject to risks similar to those of investments in other types of debt obligations, including, among others, credit risk, interest rate risk, variable and floating rate securities risk, and risks associated with mortgage-related securities. In addition,
86 |
PIMCO CLOSED-END FUNDS |
December 31, 2024 |
(Unaudited) |
in many cases loans are subject to the risks associated with below-investment grade securities. The Funds may be subject to heightened or additional risks and potential liabilities and costs by investing in mezzanine and other subordinated loans, including those arising under bankruptcy, fraudulent conveyance, equitable subordination, environmental and other laws and regulations, and risks and costs associated with debt servicing and taking foreclosure actions associated with the loans.
Additionally, because loans are not ordinarily registered with the SEC or any state securities commission or listed on any securities exchange, there is usually less publicly available information about such instruments. In addition, loans may not be considered “securities” for purposes of the anti-fraud provisions under the federal securities laws and, as a result, as a purchaser of these instruments, a Fund may not be entitled to the anti-fraud protections of the federal securities laws. In the course of investing in such instruments, a Fund may come into possession of material nonpublic information and, because of prohibitions on trading in securities of issuers while in possession of such information, the Fund may be unable to enter into a transaction in a publicly-traded security of that issuer when it would otherwise be advantageous for the Fund to do so. Alternatively, a Fund may choose not to receive material nonpublic information about an issuer of such loans, with the result that the Fund may have less information about such issuers than other investors who transact in such assets.
The types of loans and related investments in which the Funds may invest include, among others, senior loans, subordinated loans (including second lien loans,
B-Notes
and mezzanine loans), whole loans, commercial real estate and other commercial loans and structured loans. The Funds may acquire direct interests in loans through primary loan distributions and/or in private transactions. In the case of subordinated loans, there may be significant indebtedness ranking ahead of the borrower’s obligation to the holder of such a loan, including in the event of the borrower’s insolvency. Mezzanine loans are typically secured by a pledge of an equity interest in the mortgage borrower that owns the real estate rather than an interest in a mortgage. Investments in loans may include unfunded loan commitments, which are contractual obligations for future funding. Unfunded loan commitments may include revolving credit facilities, which may obligate a Fund to supply additional cash to the borrower on demand. Unfunded loan commitments represent a future obligation in full, even though a percentage of the committed amount may not be utilized by the borrower. When investing in a loan participation, a Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the agent selling the loan agreement and only upon receipt of payments by the agent from the borrower. Because
investing in unfunded loan commitments creates a future obligation for a Fund to provide funding to a borrower upon demand in exchange for a fee, the Fund will segregate or earmark liquid assets with the Fund’s custodian in amounts sufficient to satisfy any such future obligations. A Fund may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a loan. In certain circumstances, a Fund may receive a penalty fee upon the prepayment of a loan by a borrower. Fees earned or paid are recorded as a component of interest income or interest expense, respectively, on the Statements of Operations. Unfunded loan commitments, if any, are reflected as a liability on the Statements of Assets and Liabilities.
Mortgage-Related and Other Asset-Backed Securities
directly or indirectly represent a participation in, or are secured by and payable from, loans on real property. Mortgage-related securities are interests in pools of residential or commercial mortgage loans, including mortgage loans made by savings and loan institutions, mortgage bankers, commercial banks and others. These securities typically provide a monthly payment which consists of both principal and interest payments. Interest may be determined by fixed or adjustable rates. In times of declining interest rates, there is a greater likelihood that a Fund’s higher yielding securities will be
pre-paid
with the Fund being unable to reinvest the proceeds in an investment with as great a yield. The rate of prepayments on underlying mortgages will affect the price and volatility of a mortgage-related security, and may have the effect of shortening or extending the effective duration of the security relative to what was anticipated at the time of purchase. Interest-only and principal-only securities are especially sensitive to interest rate changes, which can affect not only their prices but can also change the income flows and repayment assumptions about those investments. The timely payment of principal and interest of certain mortgage-related securities is guaranteed with the full faith and credit of the U.S. Government. Pools created and guaranteed by non-governmental
issuers, including government-sponsored corporations, may be supported by various forms of insurance or guarantees, but there can be no assurance that private insurers or guarantors can meet their obligations under the insurance policies or guarantee arrangements. Many of the risks of investing in mortgage-related securities secured by commercial mortgage loans reflect the effects of local and other economic conditions on real estate markets, the ability of tenants to make lease payments and the ability of a property to attract and retain tenants. These securities may be less liquid and may exhibit greater price volatility than other types of mortgage-related or other asset-backed securities. Other asset-backed securities are created from many types of assets, including, but not limited to, auto loans, accounts receivable such as credit card receivables and hospital account receivables, home equity loans, student loans, boat loans, mobile home loans, recreational vehicle loans, manufactured housing loans, aircraft SEMIANNUAL REPORT |
| | DECEMBER 31, 2024 | 87 |
Notes to Financial Statements |
(Cont.) |
leases, computer leases, syndicated bank loans, loans and litigation finance loans. The Funds may invest in any level of the capital structure of an issuer of mortgage-backed or asset-backed securities, including the equity or “first loss” tranche.
peer-to-peer
Collateralized Debt Obligations
(“CDOs”) include Collateralized Bond Obligations (“CBOs”), Collateralized Loan Obligations (“CLOs”) and other similarly structured securities. CBOs, CLOs and other CDOs are types of asset-backed securities. A CBO is a trust which is typically backed by a diversified pool of high risk, below investment grade fixed income securities. A CLO is a trust typically collateralized by a pool of loans, which may include, among others, domestic and foreign senior secured loans, senior unsecured loans, and subordinate corporate loans, including loans that may be rated below investment grade or equivalent unrated loans. Other CDOs are trusts backed by other types of assets representing obligations of various parties. For both CBOs and CLOs, the cash flows from the trust are split into two or more portions, called tranches, varying in risk and yield. The riskiest portion is the “equity” tranche which bears the bulk of defaults from the bonds or loans in the trust and serves to protect the other, more senior tranches from default in all but the most severe circumstances. Since it is partially protected from defaults, a senior tranche from a CBO trust or CLO trust typically has higher ratings and lower yields than the underlying securities, and can be rated investment grade. Despite the protection from the equity tranche, CBO or CLO tranches can experience substantial losses due to actual defaults, increased sensitivity to defaults due to collateral default and disappearance of protecting tranches, market anticipation of defaults and aversion to CBO or CLO securities as a class. The risks of an investment in a CDO depend largely on the type of the collateral securities and the class of the CDO in which a Fund invests. CDOs carry additional risks including, but not limited to: (i) the possibility that distributions from collateral securities will not be adequate to make interest or other payments, (ii) the collateral may decline in value or default, (iii) risks related to the capability of the servicer of the securitized assets, (iv) the risk that a Fund may invest in CDOs that are subordinate to other classes, (v) the structure and complexity of the transaction and the legal documents may not be fully understood at the time of investment and could lead to disputes with the issuer or among investors regarding the characterization of proceeds or unexpected investment results, and (vi) the CDO’s manager may perform poorly.
Collateralized Mortgage Obligations
(“CMOs”) are debt obligations of a legal entity that are collateralized by whole mortgage loans or private mortgage bonds and divided into classes. CMOs are structured into multiple classes, often referred to as “tranches,” with each class bearing a different stated maturity and entitled to a different schedule for payments of principal and interest, including prepayments. CMOs
may be less liquid and may exhibit greater price volatility than other types of mortgage-related or asset-backed securities.
As CMOs have evolved, some classes of CMO bonds have become more common. For example, a Fund may invest in
parallel-pay
and planned amortization class (“PAC”) CMOs and multi-class pass-through certificates. Parallel-pay
CMOs and multi-class pass-through certificates are structured to provide payments of principal on each payment date to more than one class. These simultaneous payments are taken into account in calculating the stated maturity date or final distribution date of each class, which, as with other CMO and multi-class pass-through structures, must be retired by its stated maturity date or final distribution date but may be retired earlier. PACs generally require payments of a specified amount of principal on each payment date. PACs are parallel-pay
CMOs with the required principal amount on such securities having the highest priority after interest has been paid to all classes. Any CMO or multi-class pass-through structure that includes PAC securities must also have support tranches — known as support bonds, companion bonds or non-PAC
bonds — which lend or absorb principal cash flows to allow the PAC securities to maintain their stated maturities and final distribution dates within a range of actual prepayment experience. These support tranches are subject to a higher level of maturity risk compared to other mortgage-related securities, and usually provide a higher yield to compensate investors. If principal cash flows are received in amounts outside a pre-determined
range such that the support bonds cannot lend or absorb sufficient cash flows to the PAC securities as intended, the PAC securities are subject to heightened maturity risk. A Fund may invest in various tranches of CMO bonds, including support bonds and equity or “first loss” tranches (see “Collateralized Debt Obligations” above). Stripped Mortgage-Backed Securities
(“SMBS”) are derivative multi-class mortgage securities. SMBS are usually structured with two classes that receive different proportions of the interest and principal distributions on a pool of mortgage assets. An SMBS will have one class that will receive all of the interest (the interest-only or “IO” class), while the other class will receive the entire principal (the principal-only or “PO” class). IOs and POs can be extremely volatile in response to changes in interest rates. As interest rates rise and fall, the value of IOs tends to move in the same direction as interest rates. POs perform best when prepayments on the underlying mortgages rise since this increases the rate at which the principal is returned and the yield to maturity on the PO. When payments on mortgages underlying a PO are slower than anticipated, the life of the PO is lengthened and the yield to maturity is reduced. The yield to maturity on an IO class is extremely sensitive to the rate of principal payments (including prepayments) on the related underlying mortgage assets, and a rapid rate of principal payments may have a material adverse effect on a Fund’s yield to
88 |
PIMCO CLOSED-END FUNDS |
December 31, 2024 |
(Unaudited) |
maturity from these securities. If the underlying mortgage assets experience greater than anticipated prepayments of principal, the Funds may fail to recoup some or all of its initial investment in these securities even if the security is in one of the highest rating categories.
Payments received for IOs are included in interest income on the Statements of Operations. Because no principal will be received at the maturity of an IO class, adjustments are made to the cost of the security on a monthly basis until maturity. These adjustments are included in interest income on the Statements of Operations. Payments received for POs are treated as reductions to the cost and par value of the securities.
Payment
In-Kind
Securities may give the issuer the option at each interest payment date of making interest payments in either cash and/or additional debt securities. Those additional debt securities usually have the same terms, including maturity dates and interest rates, and associated risks as the original bonds. The daily market quotations of the original bonds may include the accrued interest (referred to as a dirty price) and require a pro rata adjustment from the unrealized appreciation (depreciation) on investments to interest receivable on the Statements of Assets and Liabilities.
Perpetual Bonds
are fixed income securities with no maturity date but pay a coupon in perpetuity (with no specified ending or maturity date). Unlike typical fixed income securities, there is no obligation for perpetual bonds to repay principal. The coupon payments, however, are mandatory. While perpetual bonds have no maturity date, they may have a callable date in which the perpetuity is eliminated and the issuer may return the principal received on the specified call date. Additionally, a perpetual bond may have additional features, such as interest rate increases at periodic dates or an increase as of a predetermined point in the future.
Real Estate Investment Trusts
(“REITs”) are pooled investment vehicles that own, and typically operate, income-producing real estate. If a REIT meets certain requirements, including distributing to shareholders substantially all of its taxable income (other than net capital gains), then it is not taxed on the income distributed to shareholders. Distributions received from REITs may be characterized as income, capital gain or a return of capital. A return of capital is recorded by a Fund as a reduction to the cost basis of its investment in the REIT. REITs are subject to management fees and other expenses, and so the Funds that invest in REITs will bear their proportionate share of the costs of the REITs’ operations.
Restricted Investments
are subject to legal or contractual restrictions on resale and may generally be sold privately, but may be required to be registered or exempted from such registration before being sold to the public. Private placement securities are generally considered to be
restricted except for those securities traded between qualified institutional investors under the provisions of Rule 144A of the Securities Act of 1933. Disposal of restricted investments may involve time-consuming negotiations and expenses, and prompt sale at an acceptable price may be difficult to achieve. Restricted investments held by the Funds as of December 31, 2024, as applicable, are disclosed in the Notes to Schedules of Investments.
Securities Issued by U.S. Government Agencies or Government-Sponsored Enterprises
are obligations of and, in certain cases, guaranteed by, the U.S. Government, its agencies or instrumentalities. Some U.S. Government securities, such as Treasury bills, notes and bonds, and securities guaranteed by the Government National Mortgage Association, are supported by the full faith and credit of the U.S. Government; others, such as those of the Federal Home Loan Banks, are supported by the right of the issuer to borrow from the U.S. Department of the Treasury (the “U.S. Treasury”); and others, such as those of the Federal National Mortgage Association (“FNMA” or “Fannie Mae”), are supported by the discretionary authority of the U.S. Government to purchase the agency’s obligations. U.S. Government securities may include zero coupon securities which do not distribute interest on a current basis and tend to be subject to a greater risk than interest-paying securities of similar maturities.
Government-related guarantors (i.e., not backed by the full faith and credit of the U.S. Government) include FNMA and the Federal Home Loan Mortgage Corporation (“FHLMC” or “Freddie Mac”). FNMA is a government-sponsored corporation. FNMA purchases conventional (i.e., not insured or guaranteed by any government agency) residential mortgages from a list of approved seller/servicers which include state and federally chartered savings and loan associations, mutual savings banks, commercial banks and credit unions and mortgage bankers. Pass-through securities issued by FNMA are guaranteed as to timely payment of principal and interest by FNMA, but are not backed by the full faith and credit of the U.S. Government. FHLMC is a government sponsored corporation that issues Participation Certificates (“PCs”), which are pass-through securities, each representing an undivided interest in a pool of residential mortgages. FHLMC guarantees the timely payment of interest and ultimate collection of principal, but PCs are not backed by the full faith and credit of the U.S. Government. Instead, they are supported only by the discretionary authority of the U.S. Government to purchase the agency’s obligations.
In June 2019, FNMA and FHLMC started issuing Uniform Mortgage-Backed Securities in place of their current offerings of
TBA-eligible
securities (the “Single Security Initiative”). The Single Security Initiative seeks to support the overall liquidity of the TBA market and aligns the characteristics of FNMA and FHLMC certificates. The long-term effects that the Single Security Initiative may have on the market for TBA and other mortgage-backed securities are uncertain. SEMIANNUAL REPORT |
| | DECEMBER 31, 2024 | 89 |
Notes to Financial Statements |
(Cont.) |
Roll-timing strategies can be used where a Fund seeks to extend the expiration or maturity of a position, such as a TBA security on an underlying asset, by closing out the position before expiration and contemporaneously opening a new position with respect to substantially the same underlying asset with a later expiration date. TBA securities purchased or sold are reflected on the Statements of Assets and Liabilities as an asset or liability, respectively. Recently finalized FINRA rules include mandatory margin requirements for the TBA market that require the Funds to post collateral in connection with their TBA transactions. There is no similar requirement applicable to the Funds’ TBA counterparties. The required collateralization of TBA trades could increase the cost of TBA transactions to the Funds and impose added operational complexity.
Warrants
are securities that are usually issued together with a debt security or preferred security and that give the holder the right to buy a proportionate amount of common stock at a specified price. Warrants normally have a life that is measured in years and entitle the holder to buy common stock of a company at a price that is usually higher than the market price at the time the warrant is issued. Warrants may entail greater risks than certain other types of investments. Generally, warrants do not carry the right to receive dividends or exercise voting rights with respect to the underlying securities, and they do not represent any rights in the assets of the issuer. In addition, their value does not necessarily change with the value of the underlying securities, and they cease to have value if they are not exercised on or before their expiration date. If the market price of the underlying stock does not exceed the exercise price during the life of the warrant, the warrant will expire worthless. Warrants may increase the potential profit or loss to be realized from the investment as compared with investing the same amount in the underlying securities. Similarly, the percentage increase or decrease in the value of an equity security warrant may be greater than the percentage increase or decrease in the value of the underlying common stock. Warrants may relate to the purchase of equity or debt securities. Debt obligations with warrants attached to purchase equity securities have many characteristics of convertible securities and their prices may, to some degree, reflect the performance of the underlying stock. Debt obligations also may be issued with warrants attached to purchase additional debt securities at the same coupon rate. A decline in interest rates would permit a Fund to sell such warrants at a profit. If interest rates rise, these warrants would generally expire with no value.
5. BORROWINGS AND OTHER FINANCING TRANSACTIONS
The Funds may enter into the borrowings and other financing transactions described below to the extent permitted by each Fund’s respective investment policies.
The following disclosures contain information on a Fund’s ability to lend or borrow cash or securities to the extent permitted under the Act, which may be viewed as borrowing or financing transactions by a Fund. The location of these instruments in each Fund’s financial statements is described below.
(a) Repurchase Agreements
Under the terms of a typical repurchase agreement, a Fund purchases an underlying debt obligation (collateral) subject to an obligation of the seller to repurchase, and a Fund to resell, the obligation at an agreed-upon price and time. In an open maturity repurchase agreement, there is no
pre-determined
repurchase date and the agreement can be terminated by a Fund or counterparty at any time. The underlying securities for all repurchase agreements are held by a Fund’s custodian or designated subcustodians (in the case of tri-party
repurchase agreements) and in certain instances will remain in custody with the counterparty. Traditionally, a Fund has used bilateral repurchase agreements wherein the underlying securities will be held by a Fund’s custodian. The market value of the collateral must be equal to or exceed the total amount of the repurchase obligations, including interest. Repurchase agreements, if any, including accrued interest, are included on the Statements of Assets and Liabilities. Interest earned is recorded as a component of interest income on the Statements of Operations. In periods of increased demand for collateral, a Fund may pay a fee for the receipt of collateral, which may result in interest expense to a Fund. (
In a reverse repurchase agreement, a Fund delivers a security in exchange for cash to a financial institution, the counterparty, with a simultaneous agreement to repurchase the same or substantially the same security at an agreed upon price and date. In an open maturity reverse repurchase agreement, there is no
pre-determined
repurchase date and the agreement can be terminated by a Fund or counterparty at any time. A Fund is entitled to receive principal and interest payments, if any, made on the security delivered to the counterparty during the term of the agreement. Cash received in exchange for securities delivered plus accrued interest payments to be made by a Fund to counterparties are reflected as a liability on the Statements of Assets and Liabilities. Interest payments made by a Fund to counterparties are recorded as a component of interest expense on the Statements of Operations. In periods of increased demand for the security, a Fund may receive a fee for use of the security by the counterparty, which may result in interest income to a Fund. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, a Fund’s use of the proceeds of the agreement may be restricted pending a determination by the other party, or its trustee or receiver, whether to enforce a Fund’s obligation to repurchase the securities. Reverse repurchase agreements involve leverage risk and also the risk that the market value of the securities to be repurchased may decline below the repurchase price. 90 |
PIMCO CLOSED-END FUNDS |
December 31, 2024 |
(Unaudited) |
6. FINANCIAL DERIVATIVE INSTRUMENTS
The Funds may enter into the financial derivative instruments described below to the extent permitted by each Fund’s respective investment policies.
The following disclosures contain information on how and why the Funds use financial derivative instruments, and how financial derivative instruments affect the Funds’ financial position, results of operations and cash flows. The location and fair value amounts of these instruments on the Statements of Assets and Liabilities and the net realized gain (loss) and net change in unrealized appreciation (depreciation) on the Statements of Operations, each categorized by type of financial derivative contract and related risk exposure, are included in a table in the Notes to Schedules of Investments. The financial derivative instruments outstanding as of period end and the amounts of net realized gain (loss) and net change in unrealized appreciation (depreciation) on financial derivative instruments during the period, as disclosed in the Notes to Schedules of Investments, serve as indicators of the volume of financial derivative activity for the Funds.
PIMCO Corporate & Income Opportunity Fund is subject to regulation as a commodity pool under the Commodity Exchange Act by the Commodity Futures Trading Commission (the “CFTC”). The Manager has registered with the CFTC as a Commodity Pool Operator and a Commodity Trading Adviser with respect to the Fund, and is a member of the National Futures Association. As a result, additional CFTC-mandated disclosure, reporting and recordkeeping obligations apply to PIMCO Corporate & Income Opportunity Fund.
(a) Forward Foreign Currency Contracts
may be engaged, in connection with settling planned purchases or sales of securities, to hedge the currency exposure associated with some or all of a Fund’s securities or as part of an investment strategy. A forward foreign currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. The market value of a forward foreign currency contract fluctuates with changes in foreign currency exchange rates. Forward foreign currency contracts are marked to market daily, and the change in value is recorded by a Fund as an unrealized gain (loss). Realized gains (losses) are equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed and are recorded upon delivery or receipt of the currency. These contracts may involve market risk in excess of the unrealized gain (loss) reflected on the Statements of Assets and Liabilities. In addition, a Fund could be exposed to risk if the counterparties are unable to meet the terms of the contracts or if the value of the currency changes unfavorably to the U.S. dollar. To mitigate such risk, cash or securities may be exchanged as collateral pursuant to the terms of the underlying contracts.
(b) Swap Agreements
are bilaterally negotiated agreements between a Fund and a counterparty to exchange or swap investment cash flows, assets, foreign currencies or market-linked returns at specified, future intervals. Swap agreements may be privately negotiated in the over the counter market (“OTC swaps”) or may be cleared through a third party, known as a central counterparty or derivatives clearing organization (“Centrally Cleared Swaps”). A Fund may enter into asset, credit default, cross-currency, interest rate, total return, variance and other forms of swap agreements to manage its exposure to credit, currency, interest rate, commodity, equity and inflation risk. In connection with these agreements, securities or cash may be identified as collateral or margin in accordance with the terms of the respective swap agreements to provide assets of value and recourse in the event of default or bankruptcy/insolvency.
Centrally Cleared Swaps are marked to market daily based upon valuations as determined from the underlying contract or in accordance with the requirements of the central counterparty or derivatives clearing organization. Changes in market value, if any, are reflected as a component of net change in unrealized appreciation (depreciation) on the Statements of Operations. Daily changes in valuation of centrally cleared swaps, if any, are disclosed within centrally cleared financial derivative instruments on the Statements of Assets and Liabilities. Centrally Cleared and OTC swap payments received or paid at the beginning of the measurement period are included on the Statements of Assets and Liabilities and represent premiums paid or received upon entering into the swap agreement to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors). Upfront premiums received (paid) are initially recorded as liabilities (assets) and subsequently marked to market to reflect the current value of the swap. These upfront premiums are recorded as realized gain (loss) on the Statements of Operations upon termination or maturity of the swap. A liquidation payment received or made at the termination of the swap is recorded as realized gain (loss) on the Statements of Operations. Net periodic payments received or paid by a Fund are included as part of realized gain (loss) on the Statements of Operations.
For purposes of a Fund’s investment policy adopted pursuant to
Rule 35d-1
under the Act (if any), the Fund will account for derivative instruments at market value. For purposes of applying a Fund’s other investment policies and restrictions, swap agreements, like other derivative instruments, may be valued by a Fund at market value, notional value or full exposure value. In the case of a credit default swap, in applying certain of a Fund’s investment policies and restrictions, the Funds will value the credit default swap at its notional value or its full exposure value (i.e., the sum of the notional amount for SEMIANNUAL REPORT |
| | DECEMBER 31, 2024 | 91 |
Notes to Financial Statements |
(Cont.) |
the contract plus the market value), but may value the credit default swap at market value for purposes of applying certain of a Fund’s other investment policies and restrictions. For example, a Fund may value credit default swaps at full exposure value for purposes of a Fund’s credit quality guidelines (if any) because such value in general better reflects a Fund’s actual economic exposure during the term of the credit default swap agreement. As a result, a Fund may, at times, have notional exposure to an asset class (before netting) that is greater or lesser than the stated limit or restriction noted in a Fund’s prospectus. In this context, both the notional amount and the market value may be positive or negative depending on whether a Fund is selling or buying protection through the credit default swap. The manner in which certain securities or other instruments are valued by a Fund for purposes of applying investment policies and restrictions may differ from the manner in which those investments are valued by other types of investors.
Entering into swap agreements involves, to varying degrees, elements of interest, credit, market and documentation risk in excess of the amounts recognized on the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may fail to perform or meet an obligation or disagree as to the meaning of contractual terms in the agreements and that there may be unfavorable changes in interest rates or the values of the asset upon which the swap is based.
A Fund’s maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from the counterparty over the contract’s remaining life, to the extent that amount is positive. The risk may be mitigated by having a master netting arrangement between a Fund and the counterparty and by the posting of collateral to a Fund to cover a Fund’s exposure to the counterparty.
To the extent a Fund has a policy to limit the net amount owed to or to be received from a single counterparty under existing swap agreements, such limitation only applies to counterparties to OTC swaps and does not apply to centrally cleared swaps where the counterparty is a central counterparty or derivatives clearing organization.
Credit Default Swap Agreements
on corporate, loan, sovereign, U.S. municipal or U.S. Treasury issues are entered into to provide a measure of protection against defaults of the issuers (i.e., to reduce risk where a Fund owns or has exposure to the referenced obligation) or to take an active long or short position with respect to the likelihood of a particular issuer’s default. Credit default swap agreements involve one party making a stream of payments (referred to as the buyer of protection) to another party (the seller of protection) in exchange for the right to receive a specified return in the event that the referenced
entity, obligation or index, as specified in the swap agreement, undergoes a certain credit event. As a seller of protection on credit default swap agreements, a Fund will generally receive from the buyer of protection a fixed rate of income throughout the term of the swap provided that there is no credit event. As the seller, a Fund would effectively add leverage to its portfolio because, in addition to its total net assets, a Fund would be subject to investment exposure on the notional amount of the swap.
If a Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation, other deliverable obligations 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. If a Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, 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. Recovery values are estimated by market makers considering either industry standard recovery rates or entity specific factors and considerations until a credit event occurs. If a credit event has occurred, the recovery value is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the settlement value. The ability to deliver other obligations may result in a option (the buyer of protection’s right to choose the deliverable obligation with the lowest value following a credit event).
cheapest-to-deliver
Credit default swap agreements on corporate or sovereign issues involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a default or other credit event. If a credit event occurs and cash settlement is not elected, a variety of other deliverable obligations may be delivered in lieu of the specific referenced obligation. The ability to deliver other obligations may result in a option (the buyer of protection’s right to choose the deliverable obligation with the lowest value following a credit event).
cheapest-to-deliver
Credit default swap agreements on credit indexes involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a write-down, principal
92 |
PIMCO CLOSED-END FUNDS |
December 31, 2024 |
(Unaudited) |
shortfall, interest shortfall or default of all or part of the referenced entities comprising the credit index. A credit index is a basket of credit instruments or exposures designed to be representative of some part of the credit market as a whole. These indexes are made up of reference credits that are judged by a poll of dealers to be the most liquid entities in the credit default swap market based on the sector of the index. Components of the indexes may include, but are not limited to, investment grade securities, high yield securities, asset-backed securities, emerging markets and/or various credit ratings within each sector. Credit indexes are traded using credit default swaps with standardized terms including a fixed spread and standard maturity dates. An index credit default swap references all the names in the index, and if there is a default, the credit event is settled based on that name’s weight in the index. The composition of the indexes changes periodically, usually every six months, and for most indexes, each name has an equal weight in the index. Credit default swaps on credit indexes may be used to hedge a portfolio of credit default swaps or bonds, which is less expensive than it would be to buy many credit default swaps to achieve a similar effect. Credit default swaps on indexes are instruments for protecting investors owning bonds against default, and traders use them to speculate on changes in credit quality.
Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate, loan, sovereign, U.S. municipal or U.S. Treasury issues as of period end, if any, are disclosed in the Notes to Schedules of Investments. They serve as an indicator of the current status of payment/performance risk and represent the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. For credit default swap agreements on asset-backed securities and credit indexes, the quoted market prices and resulting values serve as the indicator of the current status of the payment/performance risk. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
The maximum potential amount of future payments (undiscounted) that a Fund as a seller of protection could be required to make under a credit default swap agreement equals the notional amount of the agreement. Notional amounts of each individual credit default swap agreement outstanding as of period end for which a Fund is the seller of protection are disclosed in the Notes to Schedules of Investments.
These potential amounts would be partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swap agreements entered into by a Fund for the same referenced entity or entities.
Interest Rate Swap Agreements
may be entered into to help hedge against interest rate risk exposure and to maintain a Fund’s ability to generate income at prevailing market rates. The value of the fixed rate bonds that the Funds hold may decrease if interest rates rise. To help hedge against this risk and to maintain its ability to generate income at prevailing market rates, a Fund may enter into interest rate swap agreements. Interest rate swap agreements involve the exchange by a Fund with another party for their respective commitment to pay or receive interest on the notional amount of principal. Certain forms of interest rate swap agreements may include: (i) interest rate caps, under which, in return for a premium, one party agrees to make payments to the other to the extent that interest rates exceed a specified rate, or “cap”, (ii) interest rate floors, under which, in return for a premium, one party agrees to make payments to the other to the extent that interest rates fall below a specified rate, or “floor”, (iii) interest rate collars, under which a party sells a cap and purchases a floor or vice versa in an attempt to protect itself against interest rate movements exceeding given minimum or maximum levels, (iv) callable interest rate swaps, under which the buyer pays an upfront fee in consideration for the right to early terminate the swap transaction in whole, at zero cost and at a predetermined date and time prior to the maturity date, (v) spreadlocks, which allow the interest rate swap users to lock in the forward differential (or spread) between the interest rate swap rate and a specified benchmark, or (vi) basis swaps, under which two parties can exchange variable interest rates based on different segments of money markets.
7. PRINCIPAL AND OTHER RISKS
(a) Principal Risks
In the normal course of business, the Funds trade financial instruments and enter into financial transactions where risk of potential loss exists due to such things as changes in the market (market risk) or failure or inability of the other party to a transaction to perform (credit and counterparty risk).
SEMIANNUAL REPORT |
| | DECEMBER 31, 2024 | 93 |
Notes to Financial Statements |
(Cont.) |
See below for a detailed description of select principal risks. For a complete list of the principal risks the Funds may be subject to, please see the Principal Risks of the Funds section of the Funds’ annual report dated June 30, 2024.
PIMCO Corporate & Income Opportunity Fund (PTY) |
PIMCO Corporate & Income Strategy Fund (PCN) |
PIMCO High Income Fund (PHK) |
PIMCO Income Strategy Fund (PFL) |
PIMCO Income Strategy Fund II (PFN) | ||||||||||
Asset Allocation |
X |
X |
X |
X |
X | |||||||||
Call |
X |
X |
X |
X |
X | |||||||||
Collateralized Bond Obligations, Collateralized Loan Obligations and Collateralized Debt Obligations |
— |
— |
X |
— |
— | |||||||||
Collateralized Loan Obligations |
X |
X |
— |
X |
X | |||||||||
Confidential Information Access |
X |
X |
X |
X |
X | |||||||||
Contingent Convertible Securities |
X |
X |
X |
X |
X | |||||||||
Convertible Securities |
X |
X |
X |
X |
X | |||||||||
Counterparty |
X |
X |
X |
X |
X | |||||||||
“Covenant-lite” Obligations |
X |
X |
X |
X |
X | |||||||||
Credit Default Swaps |
X |
X |
X |
X |
X | |||||||||
Credit |
X |
X |
X |
X |
X | |||||||||
Currency |
X |
X |
X |
X |
X | |||||||||
Cyber Security |
X |
X |
X |
X |
X | |||||||||
Debt Securities |
X |
X |
X |
X |
X | |||||||||
Derivatives |
X |
X |
X |
X |
X | |||||||||
Distressed and Defaulted Securities |
X |
X |
X |
X |
X | |||||||||
Distribution Rate |
X |
X |
X |
X |
X | |||||||||
Emerging Markets |
X |
X |
X |
X |
X | |||||||||
Equity Securities and Related Market |
X |
X |
X |
X |
X | |||||||||
Focused Investment |
X |
X |
X |
X |
X | |||||||||
Foreign (Non-U.S.) Investment |
X |
X |
X |
X |
X | |||||||||
High Yield Securities |
X |
X |
X |
X |
X | |||||||||
Inflation/Deflation |
X |
X |
X |
X |
X | |||||||||
Inflation-Indexed Security |
X |
X |
X |
X |
X | |||||||||
Insurance-Linked and Other Instruments |
X |
X |
X |
X |
X | |||||||||
Interest Rate |
X |
X |
X |
X |
X | |||||||||
Issuer |
X |
X |
X |
X |
X | |||||||||
Leverage |
X |
X |
X |
X |
X | |||||||||
Liquidity |
X |
X |
X |
X |
X | |||||||||
Loans and Other Indebtedness; Loan Participations and Assignments |
X |
X |
X |
X |
X | |||||||||
Management |
X |
X |
X |
X |
X | |||||||||
Market |
X |
X |
X |
X |
X | |||||||||
Market Discount |
X |
X |
X |
X |
X | |||||||||
Market Disruptions |
X |
X |
X |
X |
X | |||||||||
Mortgage-Related and Other Asset-Backed Instruments |
X |
X |
X |
X |
X | |||||||||
Mortgage-Related Derivative Instruments |
— |
— |
X |
— |
— | |||||||||
Operational |
X |
X |
X |
X |
X | |||||||||
Other Investment Companies |
X |
X |
X |
X |
X | |||||||||
Platform |
— |
— |
X |
— |
— | |||||||||
Potential Conflicts of Interest — Allocation of Investment Opportunities |
X |
X |
X |
X |
X | |||||||||
Portfolio Turnover |
X |
X |
X |
X |
X | |||||||||
Preferred Securities |
X |
X |
X |
X |
X | |||||||||
Privacy and Data Security |
X |
X |
X |
X |
X | |||||||||
Private Placements and Restricted Securities |
X |
X |
X |
X |
X | |||||||||
Privately-Issued Mortgage-Related Securities |
X |
X |
X |
X |
X | |||||||||
Real Estate |
X |
X |
X |
X |
X | |||||||||
Reinvestment |
X |
X |
X |
X |
X | |||||||||
REIT |
— |
— |
X |
— |
— | |||||||||
Regulatory Changes |
X |
X |
X |
X |
X | |||||||||
94 |
PIMCO CLOSED-END FUNDS |
December 31, 2024 |
(Unaudited) |
PIMCO Corporate & Income Opportunity Fund (PTY) |
PIMCO Corporate & Income Strategy Fund (PCN) |
PIMCO High Income Fund (PHK) |
PIMCO Income Strategy Fund (PFL) |
PIMCO Income Strategy Fund II (PFN) | ||||||||||
Regulatory — Commodity Pool Operator |
X | X | X | X | X | |||||||||
Regulatory — London Interbank Offered Rate |
X | X | X | X | X | |||||||||
Repurchase Agreements |
X | X | X | X | X | |||||||||
Risk Retention Investment |
— | — | X | — | — | |||||||||
Securities Lending |
— | X | X | — | — | |||||||||
Senior Debt |
X | X | X | X | X | |||||||||
Short Exposure |
— | — | X | — | — | |||||||||
Smaller Company |
— | X | X | — | — | |||||||||
Sovereign Debt |
X | X | X | X | X | |||||||||
Special Purpose Acquisition Companies (“SPACs”) |
— | — | X | — | — | |||||||||
Structured Investments |
X | X | X | X | X | |||||||||
Subprime |
X | X | X | X | X | |||||||||
Subsidiary |
— | — | X | — | — | |||||||||
Synthetic Convertible Securities |
X | X | X | X | X | |||||||||
Tax |
X | X | X | X | X | |||||||||
U.S. Government Securities |
X | X | X | X | X | |||||||||
Valuation |
X | X | X | X | X | |||||||||
Zero-Coupon Bond, Step-Ups and Payment-in-Kind |
X | X | X | X | X | |||||||||
Asset Allocation Risk
is the risk that a Fund could lose money as a result of less than optimal or poor asset allocation decisions. A Fund could miss attractive investment opportunities by underweighting markets that subsequently experience significant returns and could lose value by overweighting markets that subsequently experience significant declines.
Call Risk
is the risk that an issuer may exercise its right to redeem a fixed income security earlier than expected (a call). Issuers may call outstanding securities prior to their maturity for a number of reasons (, declining interest rates, changes in credit spreads and improvements in the issuer’s credit quality). If an issuer calls a security that a Fund has invested in, the Fund may not recoup the full amount of its initial investment or may not realize the full anticipated earnings from the investment and may be forced to reinvest in lower-yielding securities, securities with greater credit risks or securities with other, less favorable features.
e.g.
Collateralized Bond Obligations, Collateralized Loan Obligations and Collateralized Debt Obligations Risk
is the risk that an investment in a CLO, CBO or other CDO depends largely on the type of the collateral securities and the class/tranche of the instrument in which the Fund invests. In addition to the normal risks associated with debt instruments (e.g., interest rate risk and credit risk), CLOs, CBOs and CDOs carry additional risks including, but not limited to: (i) the possibility that distributions from the collateral will not be adequate to make interest or other payments; (ii) the risk that the quality of the collateral may decline in value or default; (iii) the risk that the Fund may invest in CBOs, CLOs or other CDOs that are subordinate to other
classes; and (iv) the risk that the complex structure of the security may not be fully understood at the time of investment and may produce disputes with the issuer or others and may produce unexpected investment results.
Collateralized Loan Obligations Risk
is the risk of investing in a trust typically collateralized by a pool of loans issued by banks, corporations or any other public or private entity or person, which may include, among others, domestic and foreign senior secured loans, senior unsecured loans and subordinate or mezzanine loans, including loans that may be rated below investment grade or equivalent unrated loans (“Collateralized Loan Obligations Risk”) or (“CLOs”). In addition to the normal risks associated with debt instruments (e.g., interest rate risk and credit risk), CLOs carry additional risks including, but not limited to: (i) the possibility that distributions from the collateral will not be adequate to make interest or other payments; (ii) the risk that the quality of the collateral may decline in value or default; (iii) the risk that the Fund may invest in CBOs, CLOs or other CDOs that are subordinate to other classes; and (iv) the complex structure of the security may not be fully understood at the time of investment and may produce disputes with the issuer or others and may produce unexpected investment results.
Confidential Information Access Risk
is the risk that, in managing a Fund (and other PIMCO clients), PIMCO may from time to time have the opportunity to receive material,
non-public
information (“Confidential Information”) about the issuers of certain investments, including, without limitation, senior floating rate loans, other loans and related investments being considered for acquisition by the Fund or SEMIANNUAL REPORT |
| | DECEMBER 31, 2024 | 95 |
Notes to Financial Statements |
(Cont.) |
held in the Fund’s portfolio. If PIMCO intentionally or unintentionally comes into possession of Confidential Information, it may be unable, potentially for a substantial period of time, to purchase or sell investments to which such Confidential Information relates.
Contingent Convertible Securities Risk
is the risk of investing in contingent convertible securities, including the risk that interest payments will be cancelled by the issuer or a regulatory authority, the risk of ranking junior to other creditors in the event of a liquidation or other bankruptcy-related event as a result of holding subordinated debt, the risk of the Fund’s investment becoming further subordinated as a result of conversion from debt to equity, the risk that the principal amount due can be written down to a lesser amount (including potentially to zero), and the general risks applicable to fixed income investments, including interest rate risk, credit risk, market risk and liquidity risk, any of which could result in losses to the Fund.
Convertible Securities Risk
is the risk that the market values of convertible securities may decline as interest rates increase and, conversely, may increase as interest rates decline. A convertible security’s market value, however, tends to reflect the market price of the common stock of the issuing company when that stock price approaches or is greater than the convertible security’s “conversion price.” The conversion price is defined as the predetermined price at which the convertible security could be exchanged for the associated stock. As the market price of the underlying common stock declines, the price of the convertible security tends to be influenced more by the yield of the convertible security. Thus, it may not decline in price to the same extent as the underlying common stock. In the event of a liquidation of the issuing company, holders of convertible securities may be paid before the company’s common stockholders but after holders of any senior debt obligations of the company. Consequently, the issuer’s convertible securities generally entail less risk than its common stock but more risk than its debt obligations. Convertible securities are often rated below investment grade or not rated.
Counterparty Risk
is the risk that the Fund will be subject to credit risk with respect to the counterparties to the derivative contracts and other instruments entered into by the Fund or held by special purpose or structured vehicles in which the Fund invests. If a counterparty becomes bankrupt or otherwise fails to perform its obligations under a derivative contract due to financial difficulties, the Fund may experience significant delays in obtaining any recovery (including recovery of any collateral it has provided to the counterparty) in a dissolution, assignment for the benefit of creditors, liquidation,
winding-up,
bankruptcy, or other analogous proceeding. “Covenant-lite” Obligations Risk
is the risk that covenant-lite obligations contain fewer maintenance covenants than other
obligations, or no maintenance covenants, and may not include terms that allow the lender to monitor the performance of the borrower and declare a default if certain criteria are breached. Covenant-lite loans may carry more risk than traditional loans as they allow individuals and corporations to engage in activities that would otherwise be difficult or impossible under a covenant-heavy loan agreement. In the event of default, covenant-lite loans may exhibit diminished recovery values as the lender may not have the opportunity to negotiate with the borrower prior to default.
Credit Default Swaps Risk
is the risk of investing in credit default swaps, including illiquidity risk, counterparty risk, leverage risk and credit risk. A buyer generally also will lose its investment and recover nothing should no credit event occur and the swap is held to its termination date. If a credit event were to occur, the value of any deliverable obligation received by the seller (if any), coupled with the upfront or periodic payments previously received, may be less than the full notional value it pays to the buyer, resulting in a loss of value to the seller. When the Fund acts as a seller of a credit default swap, it is exposed to many of the same risks of leverage described herein. As the seller, a Fund would receive a stream of payments over the term of the swap agreement provided that no event of default has occurred with respect to the referenced debt obligation upon which the swap is based. A Fund would effectively add leverage to its portfolio because, if a default occurs, the stream of payments may stop and, in addition to its total net assets, the Fund would be subject to investment exposure on the notional amount of the swap. In addition, selling credit default swaps may not be profitable for the Fund if no secondary market exists or the Fund is otherwise unable to close out these transactions at advantageous times.
Credit Risk
is the risk that a Fund could lose money if the issuer or guarantor of a fixed income security (including a security purchased with securities lending collateral), the counterparty to a derivatives contract, or the issuer or guarantor of collateral, repurchase agreement or a loan of portfolio securities, is unable or unwilling, or is perceived (whether by market participants, rating agencies, pricing services or otherwise) as unable or unwilling, to make timely principal and/or interest payments or to otherwise honor its obligations. The risk that such issuer, guarantor or counterparty is less willing or able to do so is heightened in market environments where interest rates are rising. Securities are subject to varying degrees of credit risk, which are often reflected in credit ratings.
Currency Risk
is the risk that investments denominated in foreign
(non-U.S.)
currencies or in securities that trade in and receive revenues in, foreign (non-U.S.)
currencies, or derivatives or other instruments that provide exposure to foreign (non-U.S.)
currencies may decline in value, due to the risk that those currencies will decline in value relative 96 |
PIMCO CLOSED-END FUNDS |
December 31, 2024 |
(Unaudited) |
to the U.S. dollar, or, in the case of hedging positions, that the U.S. dollar will decline in value relative to the currency being hedged.
Cyber Security Risk
is the risk that, as the use of technology, including cloud-based technology, has become more prevalent in the course of business, the Funds have become potentially more susceptible to operational and information security risks resulting from breaches in cyber security. A breach in cyber security refers to both intentional and unintentional cyber events that may, among other things, cause a Fund to lose proprietary information, suffer data corruption and/or destruction, lose operational capacity, result in the unauthorized release or other misuse of confidential information or otherwise disrupt normal business operations. Geopolitical tensions can increase the scale and sophistication of deliberate cybersecurity attacks, particularly those from nation-states or from entities with nation-state backing, who may desire to use cybersecurity attacks to cause damage or create leverage against geopolitical rivals. Cyber security failures or breaches may result in financial losses to a Fund and its shareholders.
These failures or breaches may also result in disruptions to business operations, potentially resulting in financial losses; interference with a Fund’s ability to calculate its net asset value, process shareholder transactions or otherwise transact business with shareholders; impediments to trading; violations of applicable privacy and other laws; regulatory fines; penalties; third-party claims in litigation; reputational damage; reimbursement or other compensation costs; additional compliance and cyber security risk management costs and other adverse consequences. In addition, substantial costs may be incurred in order to prevent any cyber incidents in the future. There is also a risk that cyber security breaches may not be detected. The Fund and its shareholders may suffer losses as a result of a cyber security breach related to the Fund, its service providers, trading counterparties or the issuers in which the Fund invests.
Debt Securities Risk
is the risk that prices of bonds and other fixed income securities will generally increase as interest rates fall and decrease as interest rates rise. Income from the Fund’s portfolio may decline if the Fund invests the proceeds from matured, traded or called fixed income securities at market interest rates that are below the portfolio’s current earnings rate. The value of most bond funds and fixed income securities are impacted by changes in interest rates. Bonds and bond funds with longer durations tend to be more sensitive and more volatile than securities with shorter durations; bond prices generally fall as interest rates rise.
Derivatives Risk
is the risk of investing in derivative instruments (such as forwards, futures, swaps and structured securities) and other similar investments, including leverage, liquidity, interest rate, market, counterparty (including credit), operational, legal and management risks
and valuation complexity. Changes in the value of a derivative or other similar instrument may not correlate perfectly with, and may be more sensitive to market events than, the underlying asset, rate or index, and a Fund could lose more than the initial amount invested. Changes in the value of a derivative or other similar instruments may also create margin delivery or settlement payment obligations for a Fund. A Fund’s use of derivatives or other similar investments may result in losses to the Fund, a reduction in the Fund’s returns and/or increased volatility. (“OTC”) derivatives or other similar investments are also subject to the risk that a counterparty to the transaction will not fulfill its contractual obligations to the other party, as many of the protections afforded to centrally-cleared derivative transactions might not be available for
Non-centrally
cleared over-the-counter
non-centrally
cleared OTC derivatives or other similar investments. The primary credit risk on derivatives or other similar investments that are exchange-traded or traded through a central clearing counterparty resides with a Fund’s clearing broker, or the clearinghouse. Changes in regulation relating to a registered fund’s use of derivatives and related instruments could potentially limit or impact a Fund’s ability to invest in derivatives, limit a Fund’s ability to employ certain strategies that use derivatives or other similar investments and/ or adversely affect the value of derivatives or other similar investments and a Fund’s performance. Distressed and Defaulted Securities Risk
is the risk of investing in the securities of financially distressed issuers, including the risk of default. These securities may fluctuate more in price and are typically less liquid. Distressed securities generally trade significantly below “par” or full value.
The Fund also will be subject to significant uncertainty as to when, and in what manner, and for what value obligations evidenced by securities of financially distressed issuers will eventually be satisfied.
Distribution Rate Risk
is the risk that, although the Fund may seek to maintain level distributions, the Fund’s distribution rates may be affected by numerous factors, including but not limited to changes in realized and projected market returns, fluctuations in market interest rates, Fund performance, and other factors. There can be no assurance that a change in market conditions or other factors will not result in a change in a Fund’s distribution rate or that the rate will be sustainable in the future.
Emerging Markets Risk
is the risk of investing in emerging market securities, primarily increased foreign
(non-U.S.)
investment risk. Equity Securities and Related Market Risk
is the risk that the value of equity securities, such as common stocks and preferred securities, may decline due to general market conditions which are not specifically related to a particular company or to factors affecting a particular industry or industries. Equity securities generally have greater price volatility than fixed income securities.
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Notes to Financial Statements |
(Cont.) |
Focused Investment Risk
is the risk that, to the extent that the Fund focuses its investments in a particular industry, country or geographic region, the NAV of its common shares will be more susceptible to events or factors affecting companies in that industry, country or geographic region.
Foreign
(Non-U.S.)
Investment Risk is the risk that investing in foreign
(non-U.S.)
securities may result in a Fund experiencing more rapid and extreme changes in value than a fund that invests exclusively in securities of U.S. companies, due to smaller markets, differing reporting, accounting and auditing standards, increased risk of delayed settlement of portfolio transactions or loss of certificates of portfolio securities, and the risk of unfavorable foreign government actions, including nationalization, expropriation or confiscatory taxation, currency blockage, political changes, diplomatic developments or the imposition of sanctions and other similar measures. Foreign securities may also be less liquid and more difficult to value than securities of U.S. issuers. High Yield Securities Risk
is the risk that high yield securities and unrated securities of similar credit quality (commonly known as “junk bonds”) are subject to greater levels of credit, call and liquidity risks, including the risk that a court will subordinate high yield senior debt to other debt of the issuer or take other actions detrimental to holders of the senior debt. High yield securities are considered predominantly speculative with respect to the issuer’s continuing ability to make principal and interest payments and may be more volatile than higher- rated securities of similar maturity.
Inflation/Deflation Risk
is the risk that the value of assets or income from a Fund’s investments will be worth less in the future as inflation decreases the value of payments at future dates. As inflation increases, the real value of the Fund’s portfolio could decline. Inflation rates may change frequently and significantly as a result of various factors, including unexpected shifts in the domestic or global economy or changes in fiscal or monetary policies. Deflation risk is the risk that prices throughout the economy decline over time. Deflation may have an adverse effect on the creditworthiness of issuers and may make issuer default more likely, which may result in a decline in the value of the Fund’s portfolio and common shares.
Inflation-Indexed Security Risk
is the risk that inflation-indexed debt securities are subject to the effects of changes in market interest rates caused by factors other than inflation (real interest rates). In general, the value of an inflation-indexed security, including TIPS, tends to decrease when real interest rates increase and can increase when real interest rates decrease. Interest payments on inflation-indexed securities are unpredictable and will fluctuate as the principal and interest are adjusted for inflation. There can be no assurance that the
inflation index used will accurately measure the real rate of inflation in the prices of goods and services. Any increase in the principal amount of an inflation-indexed debt security will be considered taxable ordinary income for the amount of the increase in the calendar year, even though the Fund will not receive the principal until maturity.
Insurance-Linked and Other Instruments Risk
is the risk that a Fund could lose a portion or all of the principal it has invested in insurance-linked instruments and similar investments (which may include, for example, event-linked bonds, such as catastrophe and resilience bonds, and securities relating to life insurance policies, annuity contracts and premium finance loans).
Interest Rate Risk
is the risk that fixed income securities and other instruments in a Fund’s portfolio will fluctuate in value because of a change in interest rates; a fund with a longer average portfolio duration will be more sensitive to changes in interest rates than a fund with a shorter average portfolio duration.
Issuer Risk
is the risk that the value of a security may decline for a number of reasons directly related to the issuer, such as management performance, major litigation, investigations or other controversies, changes in the issuer’s financial condition or credit rating, changes in government regulations affecting the issuer or its competitive environment and strategic initiatives such as mergers, acquisitions or dispositions and the market response to any such initiatives, financial leverage, reputation or reduced demand for the issuer’s goods or services.
Leverage Risk
is the risk that certain transactions of a Fund, such as direct borrowing from banks, reverse repurchase agreements, loans of portfolio securities, and the use of when-issued, delayed delivery or forward commitment transactions, or derivative instruments, may give rise to leverage, magnifying gains and losses and causing a Fund to be more volatile than if it had not been leveraged. This means that leverage entails a heightened risk of loss.
Liquidity Risk
is the risk that a particular investment may be difficult to purchase or sell and that a Fund may be unable to sell illiquid investments at an advantageous time or price or possibly require a Fund to dispose of other investments at unfavorable times or prices in order to satisfy its obligations, which could prevent the Fund from taking advantage of other investment opportunities. Additionally, the market for certain investments may become illiquid under adverse market or economic conditions independent of any specific adverse changes in the conditions of a particular issuer. Loans and Other Indebtedness; Loan Participations and Assignments Risk is the risk that scheduled interest or principal payments will not be made in a timely manner or at all, either of which may adversely affect the values of a loan. Additionally, there is a risk that the collateral underlying a loan may be unavailable or insufficient to satisfy a borrower’s obligation,
98 |
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(Unaudited) |
and the Fund could become part owner of any collateral if a loan is foreclosed, subjecting a Fund to costs associated with owning and disposing of the collateral.
In the event of the insolvency of the lender selling a participation, there is a risk that a Fund may be treated as a general creditor of the lender and may not benefit from any
set-off
between the lender and the borrower. If a loan is foreclosed, the Fund may become owner of the loan’s collateral. The Fund may bear the costs and liabilities associated with owning and holding or disposing of the collateral.
There is the risk that a Fund may have difficulty disposing of loans and loan participations due to the lack of a liquid secondary market for loans and loan participations.
To the extent a Fund invests in loans or originates loans, including bank loans, the Fund may be subject to greater levels of credit risk, call risk, settlement risk and liquidity risk than funds that do not acquire such instruments.
Management Risk
is the risk that the investment techniques and risk analyses applied by PIMCO, including the use of quantitative models or methods, will not produce the desired results and that actual or potential conflicts of interest, legislative, regulatory or tax restrictions, policies or developments may affect the investment techniques available to PIMCO and the individual portfolio managers in connection with managing the Fund and may cause PIMCO to restrict or prohibit participation in certain investments. There is no guarantee that the investment objective of the Fund will be achieved.
Market Risk
is the risk that the value of securities owned by a Fund may go up or down, sometimes rapidly or unpredictably, due to factors affecting securities markets generally or particular industries or companies.
Market Discount Risk
is the risk that the price of a Fund’s common shares of beneficial interest will fluctuate with market conditions and other factors. Shares of
closed-end
management investment companies frequently trade at a discount from their net asset value. Market Disruptions Risk
is the risk of investment and operational risks associated with financial, economic and other global market developments and disruptions, including those arising from war, military conflicts, terrorism, market manipulation, government interventions, defaults and shutdowns, political changes or diplomatic developments, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), bank failures and natural/environmental disasters, climate-change and climate related events, which can all negatively impact the securities markets and cause a Fund to lose value. These events can also impair the
technology and other operational systems upon which a Fund’s service providers, including PIMCO as a Fund’s investment adviser, rely, and could otherwise disrupt a Fund’s service providers’ ability to fulfill their obligations to a Fund.
Mortgage-Related and Other Asset-Backed Securities Risk
is the risk of investing in mortgage-related and other asset-backed securities, including interest rate risk, extension risk, prepayment risk and credit risk.
Mortgage-Related Derivative Instruments Risk
is the risk of investing in mortgage-related and other asset-backed securities, including interest rate risk, extension risk, prepayment risk and credit risk. A Fund may invest in any tranche of mortgage-related and other asset-backed securities, including junior and/or equity tranches (to the extent consistent with the other of the Fund’s guidelines), which generally carry higher levels of the foregoing risks.
Operational Risk
is the risk arising from factors such as processing errors, human errors, inadequate or failed internal or external processes, failures in systems and technology, changes in personnel and errors caused by third-party service providers. The occurrence of any of these failures, errors or breaches could result in a loss of information, regulatory scrutiny, reputational damage or other events, any of which could have a material adverse effect on a Fund. While a Fund seeks to minimize such events through controls and oversight, there may still be failures that could cause losses to the Fund.
Other Investment Companies Risk
is the risk that Common Shareholders may be subject to duplicative expenses to the extent a Fund invests in other investment companies. In addition, these other investment companies may utilize leverage, in which case an investment would subject the Fund to additional risks associated with leverage.
Platform Risk
is the risk resulting from the fact that the Alt Lending ABS in which the Fund invests are typically not listed on any securities exchange and not registered under the Securities Act. In addition, the Fund anticipates that these instruments may only be sold to a limited number of investors and may have a limited or
non-existent
secondary market. Accordingly, the Fund currently expects that certain of the investments in Alt Lending ABS will face heightened levels of liquidity risk. Although currently there is generally no reliable, active secondary market for certain Alt Lending ABS, a secondary market for these Alt Lending ABS may develop. If the Fund purchases Alt Lending ABS on an alternative lending platform, the Fund will have the right to receive principal and interest payments due on loans underlying the Alt Lending ABS only if the platform servicing the loans receives the borrower’s payments on such loans and passes such payments through to the Fund. If a borrower is unable or fails to make payments on a loan for any reason, the Fund may be greatly limited in its ability to recover any outstanding principal or interest due, as (among other SEMIANNUAL REPORT |
| | DECEMBER 31, 2024 | 99 |
Notes to Financial Statements |
(Cont.) |
reasons) the Fund may not have direct recourse against the borrower or may otherwise be limited in its ability to directly enforce its rights under the loan, whether through the borrower or the platform through which such loan was originated. For example, the loan may be unsecured or under-collateralized and/or it may be impracticable to commence a legal proceeding against the defaulting borrower.
Portfolio Turnover Risk
is the risk that a high portfolio turnover will result in greater expenses to a Fund, including brokerage commissions or dealer
mark-ups
and other transaction costs on the sale of securities and reinvestments in other securities. The higher the rate of portfolio turnover of a Fund, the higher these transaction costs borne by the Fund generally will be. Such sales may result in realization of taxable capital gains (including short-term capital gains, which are generally taxed to shareholders at ordinary income tax rates when distributed net of short-term capital losses and net long-term capital losses) and may adversely affect the Fund’s after-tax
returns. Potential Conflicts of Interest Risk — Allocation of Investment Opportunities
is the risk that PIMCO’s or any of its affiliate’s interests or the interests of its clients may conflict with those of the Funds and the results of a Fund’s investment activities may differ from those of the Fund’s affiliates, or another account managed by PIMCO or its affiliates, and it is possible that the Fund could sustain losses during periods in which one or more of the Fund’s affiliates and/or other accounts managed by PIMCO or its affiliates, including proprietary accounts, achieve profits on their trading.
Preferred Securities Risk
is the risk that certain preferred securities contain provisions that allow an issuer under certain conditions to skip or defer distributions which may require the Fund to include the amount of the deferred distribution in its taxable income for tax purposes although it does not currently receive such amount in cash. Additionally, preferred securities are subordinated to bonds and other debt securities in an issuer’s capital structure in terms of priority for corporate income and liquidation payments, and therefore will be subject to greater credit risk than those debt securities. Preferred securities may trade less frequently and in a more limited volume and may be subject to more abrupt or erratic price movements than many other securities, such as common stocks, corporate debt securities and U.S. Government securities.
Privacy and Data Security Risk
is the risk resulting from the fact that the Gramm-Leach-Bliley Act (“GLBA”) and other laws limit the disclosure of certain
non-public
personal information about a consumer to non-affiliated
third parties and require financial institutions to disclose certain privacy policies and practices with respect to information sharing with both affiliates and non-affiliated
third parties. Many states and a number of non-U.S.
jurisdictions have enacted privacy and data security laws requiring safeguards on the privacy and security of consumers’ personally identifiable information. Other laws deal with obligations to safeguard and dispose of private information in a manner designed to avoid its dissemination. Privacy rules adopted by the U.S. Federal Trade Commission and the SEC implement GLBA and other requirements and govern the disclosure of consumer financial information by certain financial institutions, ranging from banks to private investment funds. U.S. platforms following certain models generally are required to have privacy policies that conform to these GLBA and other requirements. In addition, such platforms typically have policies and procedures intended to maintain platform participants’ personal information securely and dispose of it properly.
Private Placement and Restricted Securities Risk
is the risk that securities received in a private placement may be subject to strict restrictions on resale, and there may be no liquid secondary market or ready purchaser for such securities and the risk that a Fund’s investment in securities that have not been registered for public sale, but that are eligible for purchase and sale pursuant to Rule 144A under the Securities Act, may be relatively less liquid than registered securities traded on established securities markets. The Fund may be unable to dispose of such securities when it desires to do so, or at the most favorable time or price. Private placements may also raise valuation risks. Privately-Issued Mortgage-Related Securities Risk is the risk of nonpayment because there are no direct or indirect government or agency guarantees of payments in the pools created by
non-governmental
issuers. Real Estate Risk
is the risk associated with investing in real estate investments, including investments in equity or debt securities issued by private and public real estate investment trusts (“REITs”), real estate operating companies (“REOCs”), private or public real estate-related loans and real estate-linked derivative instruments. The Fund will be subject to the risks associated with owning real estate and with the real estate industry generally.
Reinvestment Risk
is the risk that income from the Fund’s portfolio will decline if and when the Fund invests the proceeds from matured, traded or called debt obligations at market interest rates that are below the portfolio’s current earnings rate. The Fund also may choose to sell higher yielding portfolio securities and to purchase lower yielding securities to achieve greater portfolio diversification, because the portfolio managers believe the current holdings are overvalued or for other investment-related reasons.
REIT Risk
is the risk associated with investing in REITs, which are pooled investment vehicles that own, and usually operate, income- producing real estate. Some REITs also finance real estate. If a REIT meets certain requirements, including distributing to shareholders
100 |
PIMCO CLOSED-END FUNDS |
December 31, 2024 |
(Unaudited) |
substantially all of its taxable income (other than net capital gains), then it is not typically taxed on the income distributed to shareholders. Therefore, REITs may pay higher dividends than other issuers.
Regulatory Changes Risk
is the risk that is associated with the fact that financial entities, such as investment companies and investment advisers, are generally subject to extensive government regulation and intervention. Government regulation and/or intervention may change the way the Fund is regulated, affect the expenses incurred directly by the Fund and the value of its investments, and limit and /or preclude the Fund’s ability to achieve its investment objectives. Government regulation may change frequently and may have significant adverse consequences. The Fund and PIMCO have historically been eligible for exemptions from certain regulations. However, there is no assurance that the Fund and PIMCO will continue to be eligible for such exemptions. Moreover, government regulation may have unpredictable and unintended effects.
Regulatory Risk — Commodity Pool Operator
is the risk associated with the CFTC’s adopted regulations that subject registered investment companies and their investment advisers to regulation by the CFTC if the registered investment company invests more than a prescribed level of its liquidation value in futures, options on futures or commodities, swaps, or other financial instruments regulated under the Commodity Exchange Act (“CEA”) and the rules thereunder (“commodity interests”), or if the Fund markets itself as providing investment exposure to such instruments. PIMCO is registered with the CFTC as a Commodity Pool Operator.
Regulatory Risk — LIBOR
is the risk related to the discontinuation and replacement of the London Interbank Offered Rate (“LIBOR”). Due to benchmark reforms, publication of all LIBOR settings has ceased. Although LIBOR is no longer published, there are potential effects related to the transition away from LIBOR or the prior use of LIBOR on a Fund, or on certain instruments in which the Fund invests, which can be difficult to ascertain and could result in losses to the Fund.
Repurchase Agreements Risk
is the risk that, if the party agreeing to repurchase a security should default, a Fund will seek to sell the securities which it holds, which could involve procedural costs or delays in addition to a loss on the securities if their value should fall below their repurchase price.
Risk Retention Investment Risk
is the risk associated with the Fund’s investments in risk retention tranches of commercial mortgage-backed securities (“CMBS”) or other eligible securitizations, if any (“risk retention tranches”), which are eligible residual interests typically held by the sponsors of such securitizations pursuant to the final rules implementing the credit risk retention requirements of Section 941 of
the Dodd-Frank Act (the “U.S. Risk Retention Rules”). There can be no assurance that the applicable federal agencies charged with the implementation of the final U.S. Risk Retention Rules (the Federal Deposit Insurance Corporation, the Comptroller of the Currency, the Federal Reserve Board, the SEC, the Department of Housing and Urban Development, and the Federal Housing Finance Agency) could not take positions in the future that differ from the interpretation of such rules taken or embodied in such securitizations, or that the final U.S. Risk Retention Rules will not change. Furthermore, if the Fund breaches any undertakings in any risk retention agreement, it will be exposed to claims by the other parties thereto, including for any losses incurred as a result of such breach, which could be significant and exceed the value of the Fund’s investments.
Securities Lending Risk
is the risk that, when a Fund lends portfolio securities, its investment performance will continue to reflect changes in the value of the securities loaned and lose rights in the collateral or delay in recovery of the collateral if the borrower fails to return the security loaned or becomes insolvent. The Fund may pay lending fees to a party arranging the loan, which may be an affiliate of the Fund.
Senior Debt Risk
is the risk that the Fund may be subject to greater levels of credit risk than funds that do not invest in below investment grade senior debt. The Fund may also be subject to greater levels of liquidity risk than funds that do not invest in senior debt. Restrictions on transfers in loan agreements, a lack of publicly available information and other factors may, in certain instances, make senior debt more difficult to sell at an advantageous time or price than other types of securities or instruments.
Short Exposure Risk
is the risk of entering into short sales or other short positions, including the potential loss of more money than the actual cost of the investment, and the risk that the third party to the short sale or other short position will not fulfill its contractual obligations, causing a loss to a Fund.
Smaller Company Risk
is the risk that the value of securities issued by a smaller company may go up or down, sometimes rapidly and unpredictably as compared to more widely held securities, due to narrow markets and limited resources of smaller companies. A Fund’s investments in smaller companies subject it to greater levels of credit, market and issuer risk.
Sovereign Debt Risk
is the risk that investments in fixed income instruments issued by sovereign entities may decline in value as a result of default or other adverse credit event resulting from an issuer’s inability or unwillingness to make principal or interest payments in a timely fashion.
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Notes to Financial Statements |
(Cont.) |
Special Purpose Acquisition Companies (“SPACs”) Risk
is the risk that, because SPACs and similar entities are in essence “blank check” companies without operating history or ongoing business other than seeking acquisitions, the value of their securities is particularly dependent on the ability of the entity’s management to identify and complete a profitable acquisition. A SPAC’s structure may result in significant dilution of a stockholder’s share value immediately upon the completion of a business combination due to, among other reasons, interests held by the SPAC sponsor, conversion of warrants into additional shares, shares issued in connection with a business combination and/or certain embedded costs. There is no guarantee that the SPACs in which the Fund invests will complete an acquisition or that any acquisitions that are completed will be profitable. Some SPACs may pursue acquisitions only within certain industries or regions, which may increase the volatility of their prices. In addition, these securities, which are typically traded in the market, may be considered illiquid and/or be subject to restrictions on resale.
over-the-counter
Structured Investments Risk
is the risk that a Fund’s investment in structured products, including, structured notes, credit-linked notes and other types of structured products bear the risks of the underlying investments, index or reference obligation and are subject to counterparty risk. The Fund may have the right to receive payments only from the structured product, and generally does not have direct rights against the issuer or the entity that sold the assets to be securitized. Structured products generally entail risks associated with derivative instruments.
Subprime Risk
is the risk that loans, and debt instruments collateralized by loans (including Alt Lending ABS), acquired by the Fund may be subprime in quality, or may become subprime in quality. Although there is no specific legal or market definition of “subprime,” subprime loans are generally understood to refer to loans made to borrowers that display poor credit histories and other characteristics that correlate with a higher default risk. Accordingly, subprime loans, and debt instruments secured by such loans, have speculative characteristics and are subject to heightened risks, including the risk of nonpayment of interest or repayment of principal, and the risks associated with investments in high yield securities. In addition, these instruments could be subject to increased regulatory scrutiny. The Fund is not restricted by any particular borrower credit criteria when acquiring loans or debt instruments collateralized by loans.
Subsidiary Risk
is the risk that, by investing in a Fund’s subsidiary, the Fund is indirectly exposed to the risks associated with the subsidiary’s investments. Fund subsidiaries are not registered under the 1940 Act and may not be subject to all the investor protections of the 1940 Act. There is no guarantee that the investment objective of a subsidiary will be achieved. Synthetic Convertible Securities Risk is the risk that the
values of synthetic convertible securities will respond differently to market fluctuations than a traditional convertible security because a synthetic convertible is composed of two or more separate securities or instruments, (such as a debt security and a warrant or option to purchase another security), each with its own market value. Synthetic convertible securities are also subject to the risks associated with derivatives. In addition, if the value of the underlying common stock or the level of the index involved in the convertible element falls below the strike price of the warrant or option, the warrant or option may lose all value.
Tax Risk
is the risk that if, in any year, a Fund were to fail to qualify for treatment as a regulated investment company under the Tax Code, and were ineligible to or did not otherwise cure such failure, the Fund would be subject to tax on its taxable income at corporate rates and, when such income is distributed, shareholders would be subject to a further tax to the extent of the Fund’s current or accumulated earnings and profits.
U.S. Government Securities Risk
is the risk that the obligations supported by (i) the full faith and credit of the United States, (ii) the right of the issuer to borrow from the U.S. Treasury, (iii) the discretionary authority of the U.S. Government to purchase the agency’s obligations (iv) or only by the credit of the agency, instrumentality or corporation will not be satisfied in full, or that such obligations will decrease in value or default. U.S. government securities are subject to market risk, interest rate risk and credit risk.
Valuation Risk
is the risk that fair value pricing used when market quotations are not readily available may not result in adjustments to the prices of securities or other assets, or that fair value pricing may not reflect actual market value. It is possible that the fair value determined in good faith for a security or other asset will be materially different from quoted or published prices, from the prices used by others for the same security or other asset and/or from the value that actually could be or is realized upon the sale of that security or other asset.
Zero-Coupon Bond, Securities Risk
Step-Ups
and Payment-in-Kind
is the risk presented by the market prices of securities generally being more volatile than the prices of securities that pay interest periodically and in cash and being likely to respond to changes in interest rates to a greater degree than other types of debt securities with similar maturities and credit quality. In addition, as these securities may not pay cash interest, the Fund’s investment exposure to these securities and their risks, including credit risk, will increase during the time these securities are held in the Fund’s portfolio.
zero-coupon,
step ups and payment-in-kind
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(Unaudited) |
(b) Other Risks
In general, a Fund may be subject to additional risks, including, but not limited to, risks related to government regulation and intervention in financial markets, operational risks, risks associated with financial, economic and global market disruptions, and cyber security risks.
Please see a Fund’s then-currently effective prospectus and statement of additional information for a more detailed description of the risks of investing in the Fund. Please see the Important Information section of this report for additional discussion of certain regulatory and market developments that may impact a Fund’s performance.
8. MASTER NETTING ARRANGEMENTS
A Fund may be subject to various netting arrangements (“Master Agreements”) with select counterparties. Master Agreements govern the terms of certain transactions, and are intended to reduce the counterparty risk associated with relevant transactions by specifying credit protection mechanisms and providing standardization that is intended to improve legal certainty. Each type of Master Agreement governs certain types of transactions. Different types of transactions may be traded out of different legal entities or affiliates of a particular organization, resulting in the need for multiple agreements with a single counterparty. As the Master Agreements are specific to unique operations of different asset types, they allow a Fund to close out and net its total exposure to a counterparty in the event of a default with respect to all the transactions governed under a single Master Agreement with a counterparty. For financial reporting purposes, the Statements of Assets and Liabilities generally present derivative assets and liabilities on a gross basis, which reflects the full risks and exposures prior to netting.
Master Agreements can also help limit counterparty risk by specifying collateral posting arrangements at
pre-arranged
exposure levels. Under most Master Agreements, collateral is routinely transferred if the total net exposure to certain transactions (net of existing collateral already in place) governed under the relevant Master Agreement with a counterparty in a given account exceeds a specified threshold, which typically ranges from zero to $250,000 depending on the counterparty and the type of Master Agreement. United States Treasury Bills and U.S. dollar cash are generally the preferred forms of collateral, although other securities may be used depending on the terms outlined in the applicable Master Agreement. Securities and cash pledged as collateral are reflected as assets on the Statements of Assets and Liabilities as either a component of Investments at value (securities) or Deposits with counterparty. Cash collateral received is not typically held in a segregated account and as such is reflected as a liability on the Statements of Assets and Liabilities as Deposits from counterparty. The market value of any securities received as collateral is not reflected as a component of NAV. A Fund’s overall exposure to counterparty risk can change substantially within a short period, as it is affected by each transaction subject to the relevant Master Agreement.
Master Repurchase Agreements and Global Master Repurchase Agreements (individually and collectively “Master Repo Agreements”) govern repurchase, reverse repurchase and certain sale-buyback transactions between a Fund and select counterparties. Master Repo Agreements maintain provisions for, among other things, initiation, income payments, events of default and maintenance of collateral. The market value of transactions under the Master Repo Agreement, collateral pledged or received, and the net exposure by counterparty as of period end are disclosed in the Notes to Schedules of Investments.
Master Securities Forward Transaction Agreements (“Master Forward Agreements”) govern certain forward settling transactions, such as TBA securities, delayed-delivery or certain sale-buyback transactions by and between a Fund and select counterparties. The Master Forward Agreements maintain provisions for, among other things, transaction initiation and confirmation, payment and transfer, events of default, termination and maintenance of collateral. The market value of forward settling transactions, collateral pledged or received, and the net exposure by counterparty as of period end is disclosed in the Notes to Schedules of Investments.
Customer Account Agreements and related addenda govern cleared derivatives transactions such as futures, options on futures and cleared OTC derivatives. Such transactions require posting of initial margin as determined by each relevant clearing agency which is segregated in an account at a futures commission merchant (“FCM”) registered with the CFTC. In the United States, counterparty risk may be reduced as creditors of an FCM cannot have a claim to Fund assets in the segregated account. FCM customers, such as the Funds, are permitted to transfer their customer account (and cleared derivative transactions held in such customer account) from one FCM to another FCM. Upon completion of the transfer, the customer maintains the same economic position with respect to the outstanding exposure. As such, these transfers are not recognized as dispositions and reacquisitions of the affected derivative positions. Portability of exposure reduces risk to the Funds. Variation margin, which reflects changes in market value, is generally exchanged daily, but may not be netted between futures and cleared OTC derivatives unless the parties have agreed to a separate arrangement in respect of portfolio margining. The porting of exposure between FCMs has no impact on the market value or accumulated unrealized appreciation (depreciation), initial margin posted, and any unsettled variation margin; these values as of period end are disclosed in the Notes to Schedules of Investments.
Prime Broker Arrangements may be entered into to facilitate execution and/or clearing of listed equity option transactions or short sales of
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Notes to Financial Statements |
(Cont.) |
equity securities between a Fund and selected counterparties. The arrangements provide guidelines surrounding the rights, obligations and other events, including, but not limited to, margin, execution and settlement. These agreements maintain provisions for, among other things, payments, maintenance of collateral, events of default and termination. Margin and other assets delivered as collateral are typically in the possession of the prime broker and would offset any obligations due to the prime broker. The market values of listed options and securities sold short and related collateral are disclosed in the Notes to Schedules of Investments.
International Swaps and Derivatives Association, Inc. Master Agreements and Credit Support Annexes (“ISDA Master Agreements”) govern bilateral OTC derivative transactions entered into by a Fund with select counterparties. ISDA Master Agreements maintain provisions for general obligations, representations, agreements, collateral posting and events of default or termination. Events of termination include conditions that may entitle counterparties to elect to terminate early and cause settlement of all outstanding transactions under the applicable ISDA Master Agreement. Any election to terminate early could be material to the financial statements. The ISDA Master Agreement may contain additional provisions that add counterparty protection beyond coverage of existing daily exposure if the counterparty has a decline in credit quality below a predefined level or as required by regulation. Similarly, if required by regulation, the Funds may be required to post additional collateral beyond coverage of daily exposure. These amounts, if any, may (or if required by law, will) be segregated with a third-party custodian. To the extent the Funds are required by regulation to post additional collateral beyond coverage of daily exposure, they could potentially incur costs, including in procuring eligible assets to meet collateral requirements, associated with such posting. The market value of OTC financial derivative instruments, collateral received or pledged, and net exposure by counterparty as of period end are disclosed in the Notes to Schedules of Investments.
9. FEES AND EXPENSES
(a) Management Fee
PIMCO is a majority-owned subsidiary of Allianz Asset Management of America LLC (“Allianz Asset Management”) and serves as the Manager to the Funds, pursuant to an investment management agreement.
Pursuant to the Investment Management Agreements with PIMCO (the “Agreement”), and subject to the supervision of the Board, PIMCO is responsible for providing to each Fund investment guidance and policy direction in connection with the management of the Fund, including oral and written research, analysis, advice, and statistical and economic data and information. In addition, pursuant to the Agreement and subject to the general supervision of the Board, PIMCO, at its expense, provides or causes to be furnished most other supervisory and
administrative services the Funds require, including but not limited to, expenses of most third-party service providers (e.g., audit, custodial, legal, transfer agency, printing) and other expenses, such as those associated with insurance, proxy solicitations and mailings for shareholder meetings, NYSE listing and related fees, tax services, valuation services and other services the Funds require for their daily operations.
Pursuant to the Agreements, PIMCO receives an annual fee, payable monthly, at the annual rates shown in the table below:
Fund Name |
Annual Rate |
|||||||
PIMCO Corporate & Income Opportunity Fund |
0.65% |
(1) | ||||||
PIMCO Corporate & Income Strategy Fund |
0.81% |
(1) | ||||||
PIMCO High Income Fund |
0.76% |
(1) | ||||||
PIMCO Income Strategy Fund |
0.86% |
(2) | ||||||
PIMCO Income Strategy Fund II |
0.83% |
(2) | ||||||
(1) |
Management fees calculated based on the Fund’s average daily net asset value (including daily net assets attributable to any preferred shares of the Fund that may be outstanding). |
(2) |
Management fees calculated based on the Fund’s average weekly “total managed assets”. Total managed assets include total assets of each Fund (including any assets attributable to any preferred shares or other forms of leverage that may be outstanding) minus accrued liabilities (other than liabilities representing leverage). |
In rendering investment advisory services to each Fund, PIMCO may use the resources of one or more foreign
(non-U.S.)
affiliates that are not registered under the Investment Advisers Act of 1940, as amended (the “Advisers Act”) (the “PIMCO Overseas Affiliates”), to provide portfolio management, research and trading services to a Fund under the Memorandums of Understanding (“MOUs”). Each of the PIMCO Overseas Affiliates are Participating Affiliates of PIMCO as that term is used in relief granted by the staff of the SEC allowing U.S. registered advisers to use investment advisory and trading resources of unregistered advisory affiliates subject to the regulatory supervision of the registered adviser. Each PIMCO Overseas Affiliate and any of their respective employees who provide services to the Funds are considered under the MOUs to be “associated persons” of PIMCO as that term is defined in the Advisers Act for purposes of PIMCO’s required supervision. (b) Fund Expenses
Each Fund bears other expenses, which may vary and affect the total level of expenses paid by shareholders, such as (i) salaries and other compensation or expenses, including travel expenses of any of the Fund’s executive officers and employees, if any, who are not officers, directors, shareholders, members, partners or employees of PIMCO or its subsidiaries or affiliates; (ii) taxes and governmental fees, if any, levied against the Fund; (iii) brokerage fees and commissions and other portfolio transaction expenses incurred by or for the Fund (including, without limitation, fees and expenses of outside legal counsel or third-party consultants retained in connection with reviewing, negotiating and structuring specialized loans and other
104 |
PIMCO CLOSED-END FUNDS |
December 31, 2024 |
(Unaudited) |
investments made by the Fund, subject to specific or general authorization by the Board (for example,
so-called
“broken-deal costs” (e.g., fees, costs, expenses and liabilities, including, for example, due diligence-related fees, costs, expenses and liabilities, with respect to unconsummated investments))); (iv) expenses of the Fund’s securities lending (if any), including any securities lending agent fees, as governed by a separate securities lending agreement; (v) costs, including interest expenses, of borrowing money or engaging in other types of leverage financing, including, without limitation, through the use by the Fund of reverse repurchase agreements, tender option bonds, bank borrowings and credit facilities; (vi) costs, including dividend and/or interest expenses and other costs (including, without limitation, offering and related legal costs, fees to brokers, fees to auction agents, fees to transfer agents, fees to ratings agencies and fees to auditors associated with satisfying ratings agency requirements for preferred shares or other securities issued by the Fund and other related requirements in the Fund’s organizational documents) associated with the Fund’s issuance, offering, redemption and maintenance of preferred shares, commercial paper or other senior securities for the purpose of incurring leverage; (vii) fees and expenses of any underlying funds or other pooled vehicles in which the Fund invests; (viii) dividend and interest expenses on short positions taken by the Fund; (ix) fees and expenses, including travel expenses, and fees and expenses of legal counsel retained for their benefit, of Trustees who are not officers, employees, partners, shareholders or members of PIMCO or its subsidiaries or affiliates; (x) extraordinary expenses, including extraordinary legal expenses, that may arise, including expenses incurred in connection with litigation, proceedings, other claims, and the legal obligations of the Fund to indemnify its Trustees, officers, employees, shareholders, distributors, and agents with respect thereto; (xi) organizational and offering expenses of the Fund, including with respect to share offerings, such as rights offerings and shelf offerings, following the Fund’s initial offering, and expenses associated with tender offers and other share repurchases and redemptions; and (xii) expenses of the Fund which are capitalized in accordance with U.S. GAAP. Without limiting the generality or scope of the foregoing, it is understood that the Funds may bear such expenses either directly or indirectly through contracts or arrangements with PIMCO or an affiliated or unaffiliated third party. Each of the Trustees of the Funds who is not an interested person under Section 2(a)(19) of the Act, (the “Independent Trustees”), also serves as a trustee of a number of other
closed-end
funds for which PIMCO serves as investment manager (together with the Funds, the “PIMCO Closed-End
Funds”), as well as PIMCO California Flexible Municipal Income Fund, PIMCO Flexible Emerging Markets Income Fund, PIMCO Flexible Credit Income Fund and PIMCO Flexible Municipal Income Fund, each a closed end management investment company managed by PIMCO that is operated as an “interval fund” and PIMCO Managed Accounts Trust, an
open-end
management investment company with multiple series for which PIMCO serves as investment adviser and administrator. The Funds pay no compensation directly to any Trustee or any other officer who is affiliated with the Manager, all of whom receive remuneration for their services to the Funds from the Manager or its affiliates.
10. RELATED PARTY TRANSACTIONS
The Manager is a related party. Fees payable to this party are disclosed in Note 9, Fees and Expenses, and the accrued related party fee amounts are disclosed on the Statements of Assets and Liabilities.
The Funds have received exemptive relief from the SEC that, to the extent the Funds rely on such relief, permits it to (among other things)
co-invest
with certain other persons, including certain affiliates of the Advisor and certain public or private funds managed by the Advisor and its affiliates, subject to certain terms and conditions. The exemptive relief from the SEC with respect to co-investments
imposes extensive conditions on any co-investments
made in reliance on such relief. 11. GUARANTEES AND INDEMNIFICATIONS
Under each Fund’s organizational documents, each Trustee and officer is indemnified, to the extent permitted by the Act, against certain liabilities that may arise out of performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts that contain a variety of indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds have not had prior claims or losses pursuant to these contracts.
12. PURCHASES AND SALES OF SECURITIES
The length of time a Fund has held a particular security is not generally a consideration in investment decisions. A change in the securities held by a Fund is known as “portfolio turnover”. Each Fund may engage in frequent and active trading of portfolio securities to achieve its investment objective(s), particularly during periods of volatile market movements. High portfolio turnover may involve correspondingly greater transaction costs, including brokerage commissions or dealer
mark-ups
and other transaction costs on the sale of securities and reinvestments in other securities, which are borne by the Fund. Such sales may also result in realization of taxable capital gains, including short-term capital gains (which are generally taxed at ordinary income tax rates when distributed to shareholders). The transaction costs associated with portfolio turnover may adversely affect a Fund’s performance. The portfolio turnover rates are reported in the Financial Highlights. SEMIANNUAL REPORT |
| | DECEMBER 31, 2024 | 105 |
Notes to Financial Statements |
(Cont.) |
Purchases and sales of securities (excluding short-term investments) for the period ended December 31, 2024, were as follows (amounts in thousands):
†
U.S. Government/Agency |
All Other |
|||||||||||||||||||
Fund Name |
Purchases |
Sales |
Purchases |
Sales |
||||||||||||||||
PIMCO Corporate & Income Opportunity Fund |
$ |
5,014 |
$ |
0 |
$ |
540,940 |
$ |
632,529 |
||||||||||||
PIMCO Corporate & Income Strategy Fund |
2,276 |
0 |
169,379 |
218,716 |
||||||||||||||||
PIMCO High Income Fund |
3,101 |
608 |
138,172 |
164,669 |
||||||||||||||||
PIMCO Income Strategy Fund |
150 |
0 |
36,420 |
19,081 |
||||||||||||||||
PIMCO Income Strategy Fund II |
0 |
0 |
134,602 |
121,707 |
||||||||||||||||
† |
A zero balance may reflect actual amounts rounding to less than one thousand. |
13. COMMON SHARES OFFERING
Each of PIMCO Corporate & Income Opportunity Fund (“PTY”), PIMCO Corporate & Income Strategy Fund (“PCN”), PIMCO High Income Fund (“PHK”), PIMCO Income Strategy Fund (“PFL”) and PIMCO Income Strategy Fund II (“PFN”) has authorized an unlimited number of Common Shares at a par value of $0.00001 per share (each of the foregoing Fund’s shares as the context requires, “Common Shares”).
As of the end of the reporting period, each Fund had an effective registration statement on file with the SEC authorizing the Fund to issue shares through the “shelf” registration process pursuant to Rule 415 under the Securities Act (each, a “Shelf Registration Statement”). Pursuant to such Shelf Registration Statements, each Fund may offer and sell Common Shares having an aggregate offering value of up to amounts shown in the table below. Each Fund may have had one or
more prior Shelf Registration Statements in effect during this and/or previous fiscal periods authorizing the sale of additional Common Shares.
Each Fund has entered into a sales agreement (a “Sales Agreement”) with JonesTrading Institutional Services LLC (“JonesTrading”), pursuant to which each Fund may offer and sell its Common Shares offered by an applicable prospectus supplement through JonesTrading as its agent in negotiated transactions or transactions that are deemed to be “at the market” as defined in Rule 415 under the Securities Act, including sales made directly on the NYSE or sales made to or through a market maker other than on an exchange, at prices related to the prevailing market prices or at negotiated prices. Each Fund will pay JonesTrading compensation of up to 1.00% of the gross proceeds with respect to sales of the Common Shares actually effected by JonesTrading under the Sales Agreement.
The aggregate dollar amount of Common Shares registered under each Fund’s Shelf Registration Statement (or its most recent prospectus supplement, if less than such registered amount) as of the end of the periods described below, as well as number of Common Shares sold and total amount of offering proceeds (net of offering costs, if any) received by each Fund under one or more Shelf Registration Statements during the Fund’s most recent and prior fiscal periods were as follows:
PTY |
PCN |
PHK |
||||||||||||||||||||||||||||||||||
Six Months Ended 12/31/2024 |
Year Ended 06/30/2024 |
Six Months Ended 12/31/2024 |
Year Ended 06/30/2024 |
Six Months Ended 12/31/2024 |
Year Ended 06/30/2024 |
|||||||||||||||||||||||||||||||
Common Shares registered (aggregate $) |
$ |
750,000,000 |
$ |
750,000,000 |
$ |
275,000,000 |
$ |
275,000,000 |
$ |
200,000,000 |
$ |
200,000,000 |
||||||||||||||||||||||||
Common Shares sold |
13,226,985 |
19,175,854 |
4,810,205 |
7,594,449 |
8,675,370 |
8,400,351 |
||||||||||||||||||||||||||||||
Offering proceeds (net of offering costs) |
$ |
188,917,897 |
$ |
264,294,923 |
$ |
65,359,764 |
$ |
97,349,002 |
$ |
42,504,075 |
$ |
40,396,676 |
||||||||||||||||||||||||
PFL |
PFN |
|||||||||||||||||||||||
Six Months Ended 12/31/2024 |
Year Ended 06/30/2024 |
Six Months Ended 12/31/2024 |
Year Ended 06/30/2024 |
|||||||||||||||||||||
Common Shares registered (aggregate $) |
$ |
150,000,000 |
$ |
100,000,000 |
$ |
300,000,000 |
$ |
200,000,000 |
||||||||||||||||
Common Shares sold |
2,401,178 |
2,141,747 |
2,640,337 |
2,600,977 |
||||||||||||||||||||
Offering proceeds (net of offering costs) |
$ |
20,048,761 |
$ |
17,556,417 |
$ |
19,660,639 |
$ |
19,022,813 |
||||||||||||||||
106 |
PIMCO CLOSED-END FUNDS |
December 31, 2024 |
(Unaudited) |
A Fund may not sell any Common Shares at a price below the NAV of such Common Shares, exclusive of any distributing commission or discount. Sales of the Common Shares, if any, may be made in negotiated transactions or transactions that are deemed to be “at the market”, including sales made directly on the NYSE or sales made to or through a market maker other than on an exchange, at prices related to the prevailing market prices or at negotiated prices.
14. AUCTION-RATE PREFERRED SHARES
Prior to November 4, 2024, each Fund had one or more series of Auction-Rate Preferred Shares (“ARPS”) outstanding with a liquidation preference of $25,000 per share plus any accumulated, unpaid dividends. Between November 4, 2024 and November 8, 2024 (such period, the “Redemption Dates”), each Fund redeemed all of its then-outstanding ARPS at the liquidation preference. As of the end of the reporting period, none of the Funds has any ARPS or other preferred shares outstanding.
For the period ended December 31, 2024, the annualized dividend rates on the ARPS ranged from:
Fund Name |
Shares Outstanding Prior to Redemption Dates |
High |
Low |
|||||||||||||
PIMCO Corporate & Income Opportunity Fund |
||||||||||||||||
Series M |
14 |
4.277% |
3.852% |
|||||||||||||
Series T |
27 |
10.692% |
9.650% |
|||||||||||||
Series W |
10 |
4.277% |
3.852% |
|||||||||||||
Series TH |
119 |
10.692% |
9.610% |
|||||||||||||
Series F |
5 |
4.269% |
3.852% |
|||||||||||||
PIMCO Corporate & Income Strategy Fund |
||||||||||||||||
Series M |
14 |
4.277% |
3.852% |
|||||||||||||
Series T |
17 |
4.277% |
3.860% |
|||||||||||||
Series W † |
0 |
0.000% |
0.000% |
|||||||||||||
Series TH † |
0 |
0.000% |
0.000% |
|||||||||||||
Series F |
12 |
4.269% |
3.852% |
|||||||||||||
PIMCO High Income Fund |
||||||||||||||||
Series M |
8 |
4.277% |
3.852% |
|||||||||||||
Series T |
21 |
4.277% |
3.860% |
|||||||||||||
Series W |
8 |
4.277% |
3.852% |
|||||||||||||
Series TH |
24 |
4.277% |
3.844% |
|||||||||||||
Series F |
6 |
4.269% |
3.852% |
|||||||||||||
PIMCO Income Strategy Fund |
||||||||||||||||
Series T |
10 |
4.310% |
3.886% |
|||||||||||||
Series W |
13 |
4.350% |
3.878% |
|||||||||||||
Series TH |
14 |
4.350% |
3.894% |
|||||||||||||
PIMCO Income Strategy Fund II |
||||||||||||||||
Series M |
7 |
4.310% |
3.886% |
|||||||||||||
Series T |
1 |
4.310% |
3.886% |
|||||||||||||
Series W |
5 |
4.350% |
3.878% |
|||||||||||||
Series TH |
95 |
10.876% |
9.716% |
|||||||||||||
Series F |
22 |
10.836% |
9.696% |
|||||||||||||
† |
Prior to April 12, 2024, PIMCO Corporate & Income Strategy Fund had Series W and Series TH ARPS outstanding. |
SEMIANNUAL REPORT |
| | DECEMBER 31, 2024 | 107 |
Notes to Financial Statements |
(Cont.) |
Prior to the Redemption Dates, ARPS holders received dividends at the defined “maximum rate,” as defined for the Funds in the table below:
Fund Name |
Applicable% |
Reference Rate |
Maximum Rate (1) |
|||||||||||||||||||||||
PIMCO Corporate & Income Opportunity Fund |
200% |
x |
7-day “AA” Financial Composite Commercial Paper Rates |
= |
Maximum Rate for PTY |
|||||||||||||||||||||
PIMCO Corporate & Income Strategy Fund |
160% |
x |
7-day “AA” Financial Composite Commercial Paper Rates |
= |
Maximum Rate for PCN |
|||||||||||||||||||||
PIMCO High Income Fund |
160% |
x |
7-day “AA” Financial CompositeCommercial Paper Rates |
= |
Maximum Rate for PHK |
|||||||||||||||||||||
PIMCO Income Strategy Fund |
The higher of |
200% 2.00% |
x + |
LIBOR Replacement Rate (3) OR LIBOR Replacement Rate (3) |
= = |
Maximum Rate for PFL |
(2) | |||||||||||||||||||
PIMCO Income Strategy Fund II |
The higher of |
200% 2.00% |
x + |
LIBOR Replacement Rate (3) OR LIBOR Replacement Rate (3) |
= = |
Maximum Rate for PFN |
(2) | |||||||||||||||||||
(1) |
In any event, the Maximum Rate will not be lower than 0%. |
(2) |
For the avoidance of doubt, the Maximum Rate for PFL and PFN may be less than the Applicable %, but will not be lower than 0%. |
(3) |
LIBOR Replacement Rate means prior business day’s SOFR rate plus the spread adjustment of 0.03839%. |
Details of the ARPS redeemed for each Fund for the reporting period ended December 31, 2024 are provided in the table below:
Fund Name |
Liquidation Preference Per Share |
Redemption Price Per Share |
Price Percentage |
Cash Exchanged for ARPS Redeemed |
ARPS Outstanding as of 06/30/2024 |
ARPS Redeemed |
ARPS Outstanding After Redemption as of 12/31/2024 |
|||||||||||||||||||||||||
PIMCO Corporate & Income Opportunity Fund |
$ |
25,000 |
$ |
25,000 |
100% |
$ |
4,375,000 |
175 |
175 |
0 |
||||||||||||||||||||||
PIMCO Corporate & Income Strategy Fund |
$ |
25,000 |
$ |
25,000 |
100% |
$ |
1,075,000 |
43 |
43 |
0 |
||||||||||||||||||||||
PIMCO High Income Fund |
$ |
25,000 |
$ |
25,000 |
100% |
$ |
1,675,000 |
67 |
67 |
0 |
||||||||||||||||||||||
PIMCO Income Strategy Fund |
$ |
25,000 |
$ |
25,000 |
100% |
$ |
925,000 |
37 |
37 |
0 |
||||||||||||||||||||||
PIMCO Income Strategy Fund II |
$ |
25,000 |
$ |
25,000 |
100% |
$ |
3,250,000 |
130 |
130 |
0 |
||||||||||||||||||||||
15. REGULATORY AND LITIGATION MATTERS
The Funds are not named as defendants in any material litigation or arbitration proceedings and are not aware of any material litigation or claim pending or threatened against them.
The foregoing speaks only as of the date of this report.
16. FEDERAL INCOME TAX MATTERS
Each Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code (the “Code”) and
distribute all of its taxable income and net realized gains, if applicable, to shareholders. Accordingly, no provision for Federal income taxes has been made. Due to the timing of when distributions are made by a Fund, the Fund may be subject to an excise tax of 4% of the amount by which 98% of the Fund’s annual taxable income and 98.2% of net realized gains exceed the distributions from such taxable income and realized gains for the calendar year. Due to the timing of when distributions are made by a Fund, the Fund may be subject to an excise tax of 4% of the amount by which 98% of the Fund’s annual taxable income and 98.2% of net realized gains exceed the distributions from such taxable income and realized gains for the calendar year.
A Fund may be subject to local withholding taxes, including those imposed on realized capital gains. Any applicable foreign capital gains tax is accrued daily based upon net unrealized gains, and may be payable following the sale of any applicable investments.
In accordance with U.S. GAAP, the Manager has reviewed the Funds’ tax positions for all open tax years. As of December 31, 2024, the Funds have recorded no liability for net unrecognized tax benefits relating to uncertain income tax positions they have taken or expect to take in future tax returns.
The Funds file U.S. federal, state and local tax returns as required. The Funds’ tax returns are subject to examination by relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return but which can be extended to six years in certain circumstances. Tax returns for open years have incorporated no uncertain tax positions that require a provision for income taxes.
Under the Regulated Investment Company Modernization Act of 2010, a fund is permitted to carry forward any new capital losses for an unlimited period. Additionally, such capital losses that are carried forward will retain their character as either short-term or long-term capital losses
rather than being considered all short-term under previous law.
108 |
PIMCO CLOSED-END FUNDS |
December 31, 2024 |
(Unaudited) |
As of their last fiscal year ended June 30, 2024, the Funds had the following post-effective capital losses with no expiration (amounts in thousands):
†
Short-Term |
Long-Term |
|||||||||||
PIMCO Corporate & Income Opportunity Fund |
$ |
194,265 |
$ |
164,780 |
||||||||
PIMCO Corporate & Income Strategy Fund |
66,519 |
55,356 |
||||||||||
PIMCO High Income Fund |
164,618 |
140,206 |
||||||||||
PIMCO Income Strategy Fund |
40,711 |
65,208 |
||||||||||
PIMCO Income Strategy Fund II |
94,316 |
105,254 |
||||||||||
† |
A zero balance may reflect actual amounts rounding to less than one thousand. |
Federal Tax Cost |
Unrealized Appreciation |
Unrealized (Depreciation) |
Net Unrealized Appreciation/ (Depreciation) (1) |
|||||||||||||||||
PIMCO Corporate & Income Opportunity Fund |
$ |
2,545,326 |
$ |
333,647 |
$ |
(416,093 |
) |
$ |
(82,446 |
) | ||||||||||
PIMCO Corporate & Income Strategy Fund |
856,912 |
136,188 |
(149,811 |
) |
(13,623 |
) | ||||||||||||||
PIMCO High Income Fund |
1,093,350 |
285,705 |
(334,859 |
) |
(49,154 |
) | ||||||||||||||
PIMCO Income Strategy Fund |
449,305 |
100,446 |
(81,844 |
) |
18,602 |
|||||||||||||||
PIMCO Income Strategy Fund II |
829,460 |
174,544 |
(169,286 |
) |
5,258 |
|||||||||||||||
† |
A zero balance may reflect actual amounts rounding to less than one thousand. |
(1) |
Primary differences, if any, between book and tax net unrealized appreciation/(depreciation) are attributable to wash sale loss deferrals for federal income tax purposes. |
17. SUBSEQUENT EVENTS
In preparing these financial statements, the Funds’ management has evaluated events and transactions for potential recognition or disclosure through the date the financial statements were issued.
On January 02, 2025, the following distributions were declared to common shareholders payable February 03, 2025 to shareholders of record on January 13, 2025:
PIMCO Corporate & Income Opportunity Fund |
$ |
0.118800 per common share |
||||||
PIMCO Corporate & Income Strategy Fund |
$ |
0.112500 per common share |
||||||
PIMCO High Income Fund |
$ |
0.048000 per common share |
||||||
PIMCO Income Strategy Fund |
$ |
0.081400 per common share |
||||||
PIMCO Income Strategy Fund II |
$ |
0.071800 per common share |
On February 03, 2025, the following distributions were declared to common shareholders payable March 03, 2025, to shareholders of record on February 13, 2025:
PIMCO Corporate & Income Opportunity Fund |
$ |
0.118800 per common share |
||||||
PIMCO Corporate & Income Strategy Fund |
$ |
0.112500 per common share |
||||||
PIMCO High Income Fund |
$ |
0.048000 per common share |
||||||
PIMCO Income Strategy Fund |
$ |
0.081400 per common share |
||||||
PIMCO Income Strategy Fund II |
$ |
0.071800 per common share |
There were no other subsequent events identified that require recognition or disclosure.
SEMIANNUAL REPORT |
| | DECEMBER 31, 2024 | 109 |
Glossary: |
(abbreviations that may be used in the preceding statements) |
(Unaudited) |
110 |
PIMCO CLOSED-END FUNDS |
Distribution Information |
(Unaudited) |
For purposes of Section 19 of the Investment Company Act of 1940 (the “Act”), the Funds estimated the periodic sources of any dividends paid during the period covered by this report in accordance with good accounting practice. Pursuant to Rule
19a-1(e)
under the Act, the table below sets forth the actual source information for dividends paid during the six month period ended December 31, 2024 calculated as of each distribution period pursuant to Section 19 of the Act. The information below is not provided for U.S. federal income tax reporting purposes. The tax character of all dividends and distributions is reported on Form 1099-DIV
(for shareholders who receive U.S. federal tax reporting) at the end of each calendar year. See the Financial Highlights section of this report for the tax characterization of distributions determined in accordance with federal income tax regulations for the fiscal year. PIMCO Corporate & Income Opportunity Fund |
Net Investment Income* |
Net Realized Capital Gains* |
Paid-in Surplus orOther Capital Sources** |
Total (per common share) |
||||||||||||||||
July 2024 |
$ |
0.1042 |
$ |
0.0000 |
$ |
0.0146 |
$ |
0.1188 |
||||||||||||
August 2024 |
$ |
0.0974 |
$ |
0.0000 |
$ |
0.0214 |
$ |
0.1188 |
||||||||||||
September 2024 |
$ |
0.1133 |
$ |
0.0000 |
$ |
0.0055 |
$ |
0.1188 |
||||||||||||
October 2024 |
$ |
0.1100 |
$ |
0.0000 |
$ |
0.0088 |
$ |
0.1188 |
||||||||||||
November 2024 |
$ |
0.0972 |
$ |
0.0000 |
$ |
0.0216 |
$ |
0.1188 |
||||||||||||
December 2024 |
$ |
0.1185 |
$ |
0.0000 |
$ |
0.0003 |
$ |
0.1188 |
||||||||||||
PIMCO Corporate & Income Strategy Fund |
Net Investment Income* |
Net Realized Capital Gains* |
Paid-in Surplus or Other Capital Sources** |
Total (per common share) |
||||||||||||||||
July 2024 |
$ |
0.1097 |
$ |
0.0000 |
$ |
0.0028 |
$ |
0.1125 |
||||||||||||
August 2024 |
$ |
0.0986 |
$ |
0.0000 |
$ |
0.0139 |
$ |
0.1125 |
||||||||||||
September 2024 |
$ |
0.1125 |
$ |
0.0000 |
$ |
0.0000 |
$ |
0.1125 |
||||||||||||
October 2024 |
$ |
0.1125 |
$ |
0.0000 |
$ |
0.0000 |
$ |
0.1125 |
||||||||||||
November 2024 |
$ |
0.0956 |
$ |
0.0000 |
$ |
0.0169 |
$ |
0.1125 |
||||||||||||
December 2024 |
$ |
0.1125 |
$ |
0.0000 |
$ |
0.0000 |
$ |
0.1125 |
||||||||||||
PIMCO High Income Fund |
Net Investment Income* |
Net Realized Capital Gains* |
Paid-in Surplus orOther Capital Sources** |
Total (per common share) |
||||||||||||||||
July 2024 |
$ |
0.0437 |
$ |
0.0000 |
$ |
0.0043 |
$ |
0.0480 |
||||||||||||
August 2024 |
$ |
0.0416 |
$ |
0.0000 |
$ |
0.0064 |
$ |
0.0480 |
||||||||||||
September 2024 |
$ |
0.0480 |
$ |
0.0000 |
$ |
0.0000 |
$ |
0.0480 |
||||||||||||
October 2024 |
$ |
0.0467 |
$ |
0.0000 |
$ |
0.0013 |
$ |
0.0480 |
||||||||||||
November 2024 |
$ |
0.0389 |
$ |
0.0000 |
$ |
0.0091 |
$ |
0.0480 |
||||||||||||
December 2024 |
$ |
0.0480 |
$ |
0.0000 |
$ |
0.0000 |
$ |
0.0480 |
||||||||||||
PIMCO Income Strategy Fund |
Net Investment Income* |
Net Realized Capital Gains* |
Paid-in Surplus orOther Capital Sources** |
Total (per common share) |
||||||||||||||||
July 2024 |
$ |
0.0739 |
$ |
0.0000 |
$ |
0.0075 |
$ |
0.0814 |
||||||||||||
August 2024 |
$ |
0.0638 |
$ |
0.0000 |
$ |
0.0176 |
$ |
0.0814 |
||||||||||||
September 2024 |
$ |
0.0745 |
$ |
0.0000 |
$ |
0.0069 |
$ |
0.0814 |
||||||||||||
October 2024 |
$ |
0.0777 |
$ |
0.0000 |
$ |
0.0037 |
$ |
0.0814 |
||||||||||||
November 2024 |
$ |
0.0594 |
$ |
0.0000 |
$ |
0.0220 |
$ |
0.0814 |
||||||||||||
December 2024 |
$ |
0.0706 |
$ |
0.0000 |
$ |
0.0108 |
$ |
0.0814 |
||||||||||||
PIMCO Income Strategy Fund II |
Net Investment Income* |
Net Realized Capital Gains* |
Paid-in Surplus orOther Capital Sources** |
Total (per common share) |
||||||||||||||||
July 2024 |
$ |
0.0654 |
$ |
0.0000 |
$ |
0.0064 |
$ |
0.0718 |
||||||||||||
August 2024 |
$ |
0.0606 |
$ |
0.0000 |
$ |
0.0112 |
$ |
0.0718 |
||||||||||||
September 2024 |
$ |
0.0718 |
$ |
0.0000 |
$ |
0.0000 |
$ |
0.0718 |
||||||||||||
October 2024 |
$ |
0.0718 |
$ |
0.0000 |
$ |
0.0000 |
$ |
0.0718 |
||||||||||||
November 2024 |
$ |
0.0623 |
$ |
0.0000 |
$ |
0.0095 |
$ |
0.0718 |
||||||||||||
December 2024 |
$ |
0.0718 |
$ |
0.0000 |
$ |
0.0000 |
$ |
0.0718 |
||||||||||||
* |
The source of dividends provided in the table differs, in some respects, from information presented in this report prepared in accordance with generally accepted accounting principles, or U.S. GAAP. For example, net earnings from certain interest rate swap contracts are included as a source of net investment income for purposes of Section 19(a). Accordingly, the information in the table may differ from information in the accompanying financial statements that are presented on the basis of U.S. GAAP and may differ from tax information presented in the footnotes. Amounts shown may include accumulated, as well as fiscal period net income and net profits. |
** |
Occurs when a fund distributes an amount greater than its accumulated net income and net profits. Amounts are not reflective of a fund’s net income, yield, earnings or investment performance. |
SEMIANNUAL REPORT |
| | DECEMBER 31, 2024 | 111 |
Investment Strategy Updates |
(Unaudited) |
On August 15, 2024, the Board approved the removal of each of PCN’s and PTY’s non-fundamental investment guidelines for each Fund to invest at least 25% of the Fund’s total assets in corporate debt obligations and other corporate income-producing securities and approved the addition of a non-fundamental investment guideline for the Fund to invest at least 50% of the Fund’s total assets in corporate debt obligations and other corporate securities, effective September 20, 2024.
On August 15, 2024, the Board approved the addition of a non-fundamental investment guideline for each of PHK, PFL and PFN to invest at least 50% of each Fund’s total assets in corporate debt obligations and other corporate securities, effective September 20, 2024.
112 |
PIMCO CLOSED-END FUNDS |
Changes to Board of Trustees |
(Unaudited) |
Effective December 1, 2024, Mr. David Fisher retired from his position as Trustee of the Funds.
Effective December 1, 2024, the Board of Trustees appointed Mr. David Flattum as a Class III Trustee of PIMCO Corporate & Income Strategy Fund and PIMCO Income Strategy Fund, a Class II Trustee of PIMCO Corporate & Income Opportunity Fund and PIMCO High Income Fund, and a Class I Trustee of PIMCO Income Strategy Fund II.
SEMIANNUAL REPORT |
| | DECEMBER 31, 2024 | 113 |
General Information
Investment Manager
Pacific Investment Management Company LLC
650 Newport Center Drive
Newport Beach, CA 92660
Custodian
State Street Bank and Trust Company
2323 Grand Boulevard, 5th Floor
Kansas City, MO 64108
Transfer Agent, Dividend Paying Agent and Registrar for Common Shares
Equiniti Trust Company, LLC (“EQ”)
48 Wall Street, Floor 23
New York, NY 10005
Auction Agent, Transfer Agent, Dividend Paying Agent and Registrar for Auction Rate Preferred Shares
Deustsche Bank Company Americas
1 Columbus Circle
New York, NY 10019
Legal Counsel
Ropes & Gray LLP
Prudential Tower
800 Boylston Street
Boston, MA 02199
Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
1100 Walnut Street, Suite 1300
Kansas City, MO 64106
This report is submitted for the general information of the shareholders of the Funds listed on the Report cover.
CEF4011SAR_123124
| Item 2. | Code of Ethics. |
The information required by this Item 2 is only required in an annual report on this Form N-CSR.
| Item 3. | Audit Committee Financial Expert. |
The information required by this Item 3 is only required in an annual report on this Form N-CSR.
| Item 4. | Principal Accountant Fees and Services. |
The information required by this Item 4 is only required in an annual report on this Form N-CSR.
| Item 5. | Audit Committee of Listed Registrants. |
The information required by this Item 5 is only required in an annual report on this Form N-CSR.
| Item 6. | Investments. |
The information required by this Item 6 is included as part of the semiannual report to stockholders filed under Item 1 of this Form N-CSR.
| Item 7. | Financial Statements and Financial Highlights for Open-End Management Investment Companies. |
| (a) | Not applicable to closed-end investment companies. |
| (b) | Not applicable to closed-end investment companies. |
| Item 8. | Changes in and Disagreements with Accountant for Open-End Management Investment Companies. |
Not applicable to closed-end investment companies.
| Item 9. | Proxy Disclosures for Open-End Management Investment Companies. |
Not applicable to closed-end investment companies.
| Item 10. | Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies. |
Not applicable to closed-end investment companies.
| Item 11. | Statement Regarding Basis for Approval of Investment Advisory Contract. |
Not applicable for the most recent fiscal half-year period.
| Item 12. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
The information required by this Item 12 is only required in an annual report on this Form N-CSR.
| Item 13. | Portfolio Managers of Closed-End Management Investment Companies. |
| (a) | The information required by this Item 13(a) is only required in an annual report on this Form N-CSR. |
| (b) | There have been no changes in any of the Portfolio Managers identified in the registrant’s previous annual report on Form N-CSR. |
| Item 14. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
None.
| Item 15. | Submission of Matters to a Vote of Security Holders. |
There have been no material changes to the procedures by which shareholders may recommend nominees to the Fund’s Board of Trustees since the Fund last provided disclosure in response to this item.
| Item 16. | Controls and Procedures. |
| (a) | The principal executive officer and principal financial & accounting officer have concluded as of a date within 90 days of the filing date of this report, based on their evaluation of the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the 1940 Act (17 CFR 270.30a-3(c))), that the design of such procedures is effective to provide reasonable assurance that material information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the time periods specified in the Commission’s rules and forms. |
| (b) | There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
| Item 17. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies. |
None.
| Item 18. | Recovery of Erroneously Awarded Compensation. |
| (a) | Not applicable. |
| (b) | Not applicable. |
| Item 19. | Exhibits. |
| (a)(1) | Exhibit 99.CODE—Code of Ethics is not applicable for semiannual reports. |
| (a)(2) | Not applicable. |
| (a)(3) | Exhibit 99.CERT—Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. |
| (a)(4) | None. |
| (a)(5) | 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 Corporate & Income Opportunity Fund | ||
| By:
|
/s/ Joshua D. Ratner
| |
| Joshua D. Ratner | ||
| President (Principal Executive Officer) | ||
| Date: March 5, 2025 | ||
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/ Joshua D. Ratner
| |
| Joshua D. Ratner | ||
| President (Principal Executive Officer) | ||
| Date: March 5, 2025 | ||
| By: | /s/ Bijal Y. Parikh
| |
| Bijal Y. Parikh | ||
| Treasurer (Principal Financial & Accounting Officer) | ||
| Date: March 5, 2025 | ||