NPORT-EX 2 incomestrategyfund.htm PIMCO INCOME STRATEGY FUND

Schedule of Investments PIMCO Income Strategy Fund

October 31, 2020

(Unaudited)

 

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

 

 

PRINCIPAL
AMOUNT
(000s)

 

MARKET
VALUE
(000s)

INVESTMENTS IN SECURITIES 151.1% ¤

 

 

 

 

LOAN PARTICIPATIONS AND ASSIGNMENTS 15.1%

 

 

 

 

Advanz Pharma Corp.
6.500% (LIBOR03M + 5.500%) due 09/06/2024 ~

$

2,274

$

2,213

Al Convoy (Luxembourg) SARL
4.500% (LIBOR03M + 3.500%) due 01/17/2027 ~

 

38

 

37

Banijay Entertainment S.A.S
3.890% (LIBOR03M + 3.750%) due 03/01/2025 «~

 

8

 

8

Boels Topholding BV
4.000% (EUR003M + 4.000%) due 01/14/2027 ~

EUR

1,000

 

1,132

Caesars Resort Collection LLC

 

 

 

 

2.898% (LIBOR03M + 2.750%) due 12/23/2024 ~

$

4,185

 

3,936

4.648% - 4.651% (LIBOR03M + 4.500%) due 07/21/2025 ~

 

1,638

 

1,589

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

 

205

 

185

DTEK Investments Ltd.
5.750% (LIBOR03M + 5.000%) due 06/30/2023 «~

 

1,449

 

813

Emerald TopCo, Inc.
3.648% - 3.714% (LIBOR03M + 3.500%) due 07/24/2026 ~

 

54

 

53

Encina Private Credit LLC
TBD% - 4.627% (LIBOR03M + 3.627%) due 11/30/2025 «~µ

 

4,600

 

4,600

Envision Healthcare Corp.
3.898% (LIBOR03M + 3.750%) due 10/10/2025 ~

 

8,174

 

5,883

EyeCare Partners LLC

 

 

 

 

3.750% due 02/18/2027 µ

 

5

 

5

3.898% (LIBOR03M + 3.750%) due 02/18/2027 ~

 

23

 

22

Fly Funding SARL
6.237% (LIBOR03M + 6.000%) due 10/08/2025 «~

 

2,700

 

2,606

Forbes Energy Services LLC
TBD% due 04/13/2021 «

 

221

 

198

Frontier Communications Corp.
6.000% (PRIME + 2.750%) due 06/15/2024 ~

 

1,705

 

1,678

Ingersoll Rand Co. Ltd.
1.898% (LIBOR03M + 1.750%) due 03/01/2027 ~

 

26

 

25

Innophos, Inc.
3.648% (LIBOR03M + 3.500%) due 02/07/2027 ~

 

11

 

11

Intelsat Jackson Holdings S.A.
3.600% - 6.500% (LIBOR03M + 5.500%) due 07/13/2022 ~µ

 

4

 

4

IRB Holding Corp.
3.750% (LIBOR03M + 2.750%) due 02/05/2025 ~

 

402

 

383

Jefferies Finance LLC
3.188% (LIBOR03M + 3.000%) due 06/03/2026 ~

 

11

 

11

LogMeIn, Inc.
4.890% (LIBOR03M + 4.750%) due 08/31/2027 ~

 

1,300

 

1,263

McDermott Technology Americas, Inc.
3.145% (LIBOR03M + 3.000%) due 06/30/2024 «~

 

40

 

33

McDermott Technology Americas, Inc. (1.148% Cash and 3.000% PIK)
4.148% (LIBOR03M + 1.000%) due 06/30/2025 ~(d)

 

176

 

116

MH Sub LLC
3.648% (LIBOR03M + 3.500%) due 09/13/2024 ~

 

58

 

56

Milano Acquisition Corp.
4.750% (LIBOR03M + 4.000%) due 10/01/2027 ~

 

500

 

492

Nascar Holdings, Inc.
2.902% (LIBOR03M + 2.750%) due 10/19/2026 ~

 

34

 

34

NCI Building Systems, Inc.
3.895% (LIBOR03M + 3.750%) due 04/12/2025 ~

 

20

 

19

Neiman Marcus Group Ltd. LLC
13.000% (LIBOR03M + 12.000%) due 09/25/2025 ~

 

3,211

 

3,351

Ortho-Clinical Diagnostics S.A.
3.390% (LIBOR03M + 3.250%) due 06/30/2025 ~

 

294

 

285

Pacific Drilling S.A.
TBD% due 10/30/2025

 

33

 

0

PetSmart, Inc.
4.500% (LIBOR03M + 3.500%) due 03/11/2022 ~

 

2,715

 

2,696

Playtika Holding Corp.
7.000% (LIBOR03M + 6.000%) due 12/10/2024 ~

 

1,747

 

1,751

PUG LLC
3.648% (LIBOR03M + 3.500%) due 02/12/2027 ~

 

894

 

786

Refinitiv U.S. Holdings, Inc.
3.398% (LIBOR03M + 3.250%) due 10/01/2025 ~

 

345

 

340

Sequa Mezzanine Holdings LLC (5.000% Cash and 6.750% PIK)
11.750% (LIBOR03M + 4.000%) due 04/28/2024 «~(d)

 

42

 

33

Sotera Health Holdings LLC
5.500% (LIBOR03M + 4.500%) due 12/11/2026 ~

 

70

 

70

 

 

 

Schedule of Investments PIMCO Income Strategy Fund (Cont.)

October 31, 2020

(Unaudited)

 

Starfruit Finco BV
3.145% (LIBOR03M + 3.000%) due 10/01/2025 ~

 

96

 

93

Summer (BC) Holdco B SARL
5.001% (LIBOR03M + 4.750%) due 12/04/2026 ~

 

1,588

 

1,527

Syniverse Holdings, Inc.
6.000% (LIBOR03M + 5.000%) due 03/09/2023 ~

 

4,490

 

3,521

U.S. Renal Care, Inc.
5.188% (LIBOR03M + 5.000%) due 06/26/2026 ~

 

217

 

209

Univision Communications, Inc.
3.750% (LIBOR03M + 2.750%) due 03/15/2024 ~

 

1,824

 

1,771

Valaris PLC
TBD% due 08/17/2021 «

 

18

 

18

Westmoreland Mining Holdings LLC
9.250% (LIBOR03M + 8.250%) due 03/15/2022 ~

 

377

 

351

Westmoreland Mining Holdings LLC (15.000% PIK)
15.000% due 03/15/2029 (d)

 

1,859

 

929

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

 

1,381

 

1,308

Zayo Group Holdings, Inc.
3.148% (LIBOR03M + 3.000%) due 03/09/2027 ~

 

100

 

96

Total Loan Participations and Assignments (Cost $50,967)

 

 

 

46,540

CORPORATE BONDS & NOTES 80.7%

 

 

 

 

BANKING & FINANCE 24.3%

 

 

 

 

Ally Financial, Inc.
8.000% due 11/01/2031

 

537

 

740

Ambac LSNI LLC
6.000% due 02/12/2023 •

 

220

 

219

Banca Monte dei Paschi di Siena SpA

 

 

 

 

2.625% due 04/28/2025

EUR

800

 

916

10.500% due 07/23/2029

 

300

 

353

Banco de Credito del Peru
4.650% due 09/17/2024

PEN

400

 

117

Bank of Nova Scotia
4.900% due 06/04/2025 •(k)

$

1,064

 

1,113

Barclays PLC

 

 

 

 

6.375% due 12/15/2025 •(k)

GBP

600

 

781

7.125% due 06/15/2025 •(k)

 

5,100

 

6,946

BGC Partners, Inc.

 

 

 

 

3.750% due 10/01/2024 (n)

$

1,000

 

1,014

4.375% due 12/15/2025 (n)

 

1,000

 

1,028

Brookfield Finance, Inc.
4.700% due 09/20/2047

 

68

 

79

Cantor Fitzgerald LP

 

 

 

 

4.875% due 05/01/2024

 

15

 

16

6.500% due 06/17/2022 (n)

 

3,000

 

3,240

CBL & Associates LP
5.950% due 12/15/2026 ^(e)

 

3,880

 

1,464

Credit Suisse Group AG

 

 

 

 

7.500% due 07/17/2023 •(k)

 

200

 

212

7.500% due 12/11/2023 •(k)

 

640

 

697

7.500% due 12/11/2023 •(k)(n)

 

2,900

 

3,158

Equitable Holdings, Inc.
5.000% due 04/20/2048

 

4

 

5

Flagstar Bancorp, Inc.
6.125% due 07/15/2021 (n)

 

1,700

 

1,708

Fortress Transportation & Infrastructure Investors LLC

 

 

 

 

6.500% due 10/01/2025

 

179

 

177

6.750% due 03/15/2022

 

232

 

231

GE Capital Funding LLC
4.400% due 05/15/2030

 

400

 

436

GLP Capital LP
4.000% due 01/15/2031 (n)

 

1,000

 

1,047

GSPA Monetization Trust
6.422% due 10/09/2029

 

1,473

 

1,640

HSBC Holdings PLC

 

 

 

 

5.875% due 09/28/2026 •(k)(n)

GBP

200

 

268

6.000% due 09/29/2023 •(k)(n)

EUR

1,200

 

1,484

6.500% due 03/23/2028 •(k)

$

200

 

214

Hunt Cos., Inc.
6.250% due 02/15/2026

 

12

 

12

ING Groep NV
5.750% due 11/16/2026 •(k)

 

800

 

834

Kennedy Wilson Europe Real Estate Ltd.

 

 

 

 

3.250% due 11/12/2025

EUR

100

 

115

3.950% due 06/30/2022

GBP

2,225

 

2,903

Kennedy-Wilson, Inc.
5.875% due 04/01/2024

$

32

 

31

Ladder Capital Finance Holdings LLP
4.250% due 02/01/2027

 

17

 

15

Lloyds Banking Group PLC

 

 

 

 

7.500% due 09/27/2025 •(k)(n)

 

2,900

 

3,127

7.875% due 06/27/2029 •(k)

GBP

3,219

 

4,820

Schedule of Investments PIMCO Income Strategy Fund (Cont.)

October 31, 2020

(Unaudited)

 

MGM Growth Properties Operating Partnership LP
4.500% due 01/15/2028 (n)

$

1,080

 

1,100

Natwest Group PLC

 

 

 

 

8.000% due 08/10/2025 •(k)(n)

 

3,000

 

3,365

8.625% due 08/15/2021 •(k)(n)

 

800

 

827

Navient Corp.

 

 

 

 

5.625% due 08/01/2033

 

31

 

27

7.250% due 09/25/2023 (n)

 

2,974

 

3,125

Newmark Group, Inc.
6.125% due 11/15/2023

 

28

 

30

OneMain Finance Corp.
6.125% due 03/15/2024

 

66

 

69

PRA Group, Inc.
7.375% due 09/01/2025

 

600

 

630

Santander UK Group Holdings PLC

 

 

 

 

6.750% due 06/24/2024 •(k)

GBP

2,850

 

3,888

7.375% due 06/24/2022 •(k)

 

1,800

 

2,422

SLM Corp.
4.200% due 10/29/2025 (n)

$

1,300

 

1,319

Societe Generale S.A.
7.375% due 10/04/2023 •(k)

 

300

 

309

Starwood Property Trust, Inc.
5.500% due 11/01/2023 (c)

 

1,200

 

1,191

TP ICAP PLC
5.250% due 01/26/2024 (n)

GBP

2,023

 

2,818

UniCredit SpA
7.830% due 12/04/2023 (n)

$

1,960

 

2,299

Unique Pub Finance Co. PLC
5.659% due 06/30/2027

GBP

1,362

 

1,836

Uniti Group LP
7.875% due 02/15/2025 (n)

$

6,700

 

7,112

Voyager Aviation Holdings LLC
9.000% due 08/15/2021

 

3,228

 

1,590

 

 

 

 

75,117

INDUSTRIALS 42.9%

 

 

 

 

1011778 BC ULC
3.500% due 02/15/2029 (c)

 

1,000

 

995

Alaska Airlines Class A Pass-Through Trust
4.800% due 02/15/2029

 

800

 

843

Albertsons Cos., Inc.

 

 

 

 

3.500% due 03/15/2029

 

1,000

 

972

4.625% due 01/15/2027

 

4

 

4

4.875% due 02/15/2030

 

10

 

11

Altice Financing S.A.
7.500% due 05/15/2026 (n)

 

1,500

 

1,568

Anglo American Capital PLC
2.625% due 09/10/2030

 

800

 

802

Associated Materials LLC
9.000% due 09/01/2025

 

147

 

155

Avon International Capital PLC
6.500% due 08/15/2022

 

12

 

12

Banner Health

 

 

 

 

2.338% due 01/01/2030 (n)

 

227

 

233

3.181% due 01/01/2050

 

144

 

150

Boeing Co.

 

 

 

 

5.040% due 05/01/2027

 

184

 

202

5.150% due 05/01/2030

 

428

 

474

5.705% due 05/01/2040

 

416

 

480

5.805% due 05/01/2050

 

540

 

637

5.930% due 05/01/2060

 

500

 

601

Bombardier, Inc.

 

 

 

 

6.000% due 10/15/2022

 

16

 

15

6.125% due 01/15/2023

 

182

 

157

7.500% due 12/01/2024

 

1,614

 

1,219

7.500% due 03/15/2025

 

2,467

 

1,798

7.875% due 04/15/2027

 

2,848

 

2,079

Broadcom, Inc.

 

 

 

 

4.150% due 11/15/2030

 

282

 

316

4.300% due 11/15/2032

 

326

 

373

5.000% due 04/15/2030

 

22

 

26

Camelot Finance S.A.
4.500% due 11/01/2026

 

3

 

3

CCO Holdings LLC

 

 

 

 

4.250% due 02/01/2031 (n)

 

3,779

 

3,869

4.500% due 08/15/2030

 

82

 

85

4.750% due 03/01/2030

 

88

 

93

Citrix Systems, Inc.
3.300% due 03/01/2030

 

38

 

40

Clear Channel Worldwide Holdings, Inc.
9.250% due 02/15/2024

 

75

 

65

Community Health Systems, Inc.

 

 

 

 

6.250% due 03/31/2023 (n)

 

3,960

 

3,930

6.625% due 02/15/2025 (n)

 

1,559

 

1,524

8.000% due 03/15/2026 (n)

 

906

 

911

Schedule of Investments PIMCO Income Strategy Fund (Cont.)

October 31, 2020

(Unaudited)

 

8.625% due 01/15/2024 (n)

 

439

 

446

Connect Finco SARL
6.750% due 10/01/2026

 

30

 

30

Continental Airlines Pass-Through Trust
9.798% due 10/01/2022

 

24

 

23

Corning, Inc.
5.450% due 11/15/2079

 

37

 

47

CSC Holdings LLC
3.375% due 02/15/2031

 

600

 

578

CVS Pass-Through Trust
7.507% due 01/10/2032

 

382

 

472

Dell International LLC
6.020% due 06/15/2026 (n)

 

1,200

 

1,422

Delta Air Lines, Inc.
7.375% due 01/15/2026 (n)

 

920

 

952

Diamond Resorts International, Inc.
10.750% due 09/01/2024 (n)

 

712

 

649

Energy Transfer Operating LP

 

 

 

 

3.750% due 05/15/2030

 

41

 

40

5.000% due 05/15/2050

 

38

 

35

Envision Healthcare Corp.
8.750% due 10/15/2026

 

1,105

 

523

Exela Intermediate LLC
10.000% due 07/15/2023

 

57

 

17

Expedia Group, Inc.
3.600% due 12/15/2023

 

600

 

617

Ferroglobe PLC
9.375% due 03/01/2022

 

700

 

459

First Quantum Minerals Ltd.

 

 

 

 

6.500% due 03/01/2024

 

688

 

684

6.875% due 03/01/2026

 

458

 

455

Flex Ltd.
4.875% due 06/15/2029

 

8

 

9

Ford Motor Co.
7.700% due 05/15/2097 (n)

 

7,435

 

7,844

Fresh Market, Inc.
9.750% due 05/01/2023 (n)

 

3,313

 

3,176

Fresnillo PLC
4.250% due 10/02/2050 (n)

 

1,000

 

1,020

Full House Resorts, Inc.

 

 

 

 

8.575% due 01/31/2024

 

194

 

187

9.738% due 02/02/2024

 

17

 

16

General Electric Co.

 

 

 

 

4.350% due 05/01/2050 (n)

 

1,800

 

1,906

6.150% due 08/07/2037

 

19

 

23

6.875% due 01/10/2039

 

15

 

20

Gray Television, Inc.
4.750% due 10/15/2030

 

1,000

 

988

HCA, Inc.
7.500% due 11/15/2095 (n)

 

1,050

 

1,338

HollyFrontier Corp.
4.500% due 10/01/2030 (n)

 

3,800

 

3,563

Hologic, Inc.
3.250% due 02/15/2029 (n)

 

1,400

 

1,410

iHeartCommunications, Inc.
8.375% due 05/01/2027

 

172

 

168

IHO Verwaltungs GmbH (3.875% Cash or 4.625% PIK)
3.875% due 05/15/2027 (d)

EUR

100

 

117

IHO Verwaltungs GmbH (6.000% Cash or 6.750% PIK)
6.000% due 05/15/2027 (d)

$

225

 

235

IHO Verwaltungs GmbH (6.375% Cash or 7.125% PIK)
6.375% due 05/15/2029 (d)

 

200

 

212

Innophos Holdings, Inc.
9.375% due 02/15/2028

 

60

 

64

Intelsat Connect Finance S.A.
9.500% due 02/15/2023 ^(e)

 

39

 

11

Intelsat Jackson Holdings S.A.

 

 

 

 

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

 

1,046

 

616

8.000% due 02/15/2024 ^

 

18

 

18

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

 

5,416

 

3,358

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

 

4,805

 

3,011

Intelsat Luxembourg S.A.

 

 

 

 

7.750% due 06/01/2021 ^(e)

 

2,714

 

129

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

 

524

 

21

JetBlue Pass-Through Trust
4.000% due 05/15/2034

 

700

 

724

Kinder Morgan, Inc.

 

 

 

 

7.750% due 01/15/2032 (n)

 

800

 

1,095

7.800% due 08/01/2031 (n)

 

1,600

 

2,140

Kraft Heinz Foods Co.
5.500% due 06/01/2050

 

100

 

114

Mallinckrodt International Finance S.A.
5.500% due 04/15/2025 ^(e)

 

302

 

103

Marriott International, Inc.
4.625% due 06/15/2030

 

20

 

21

Schedule of Investments PIMCO Income Strategy Fund (Cont.)

October 31, 2020

(Unaudited)

 

Melco Resorts Finance Ltd.
5.750% due 07/21/2028 (n)

 

1,000

 

998

MGM Resorts International
4.750% due 10/15/2028 (n)

 

1,300

 

1,273

NCL Corp. Ltd.

 

 

 

 

3.625% due 12/15/2024

 

36

 

25

10.250% due 02/01/2026 (n)

 

1,016

 

1,046

12.250% due 05/15/2024 (n)

 

1,660

 

1,845

Netflix, Inc.

 

 

 

 

3.625% due 06/15/2030

EUR

600

 

764

3.875% due 11/15/2029

 

804

 

1,042

4.625% due 05/15/2029

 

2,900

 

3,935

4.875% due 06/15/2030

$

100

 

114

5.375% due 11/15/2029

 

30

 

35

New Albertson's LP
6.570% due 02/23/2028 (n)

 

2,800

 

2,820

Nissan Motor Co. Ltd.
4.810% due 09/17/2030 (n)

 

3,200

 

3,216

Noble Holding International Ltd.
7.875% due 02/01/2026 ^(e)

 

128

 

31

Northriver Midstream Finance LP
5.625% due 02/15/2026 (n)

 

1,300

 

1,290

Odebrecht Oil & Gas Finance Ltd.
0.000% due 11/30/2020 (h)(k)

 

450

 

1

Ortho-Clinical Diagnostics, Inc.

 

 

 

 

7.250% due 02/01/2028

 

256

 

268

7.375% due 06/01/2025

 

105

 

111

Pacific Drilling SA
8.375% due 10/01/2023 ^(e)

 

190

 

24

Pan American Energy LLC
30.115% (BADLARPP) due 11/20/2020 ~

ARS

15,100

 

96

Par Pharmaceutical, Inc.
7.500% due 04/01/2027

$

52

 

55

Petroleos Mexicanos

 

 

 

 

2.750% due 04/21/2027

EUR

200

 

190

4.875% due 02/21/2028

 

556

 

577

5.350% due 02/12/2028

$

333

 

285

5.950% due 01/28/2031

 

94

 

79

6.490% due 01/23/2027

 

40

 

37

6.500% due 03/13/2027 (n)

 

3,093

 

2,880

6.750% due 09/21/2047

 

20

 

16

6.840% due 01/23/2030 (n)

 

2,143

 

1,918

6.950% due 01/28/2060

 

150

 

117

7.690% due 01/23/2050

 

60

 

50

Platin 1426 GmbH
6.875% due 06/15/2023

EUR

200

 

227

Prime Security Services Borrower LLC
3.375% due 08/31/2027 (n)

$

1,429

 

1,381

QualityTech LP
3.875% due 10/01/2028 (n)

 

1,000

 

1,003

QVC, Inc.
5.950% due 03/15/2043 (n)

 

1,521

 

1,468

Reynolds Group Issuer, Inc.
4.000% due 10/15/2027 (n)

 

1,350

 

1,372

Russian Railways via RZD Capital PLC
7.487% due 03/25/2031

GBP

700

 

1,227

Sabine Pass Liquefaction LLC
4.500% due 05/15/2030 (n)

$

363

 

406

Sands China Ltd.

 

 

 

 

5.125% due 08/08/2025 (n)

 

200

 

216

5.400% due 08/08/2028 (n)

 

2,702

 

2,944

Spirit AeroSystems, Inc.

 

 

 

 

1.050% (US0003M + 0.800%) due 06/15/2021 ~

 

132

 

127

3.950% due 06/15/2023 (n)

 

1,557

 

1,393

Standard Industries, Inc.
4.375% due 07/15/2030 (n)

 

1,000

 

1,032

Staples, Inc.
7.500% due 04/15/2026

 

5

 

5

Studio City Finance Ltd.

 

 

 

 

6.000% due 07/15/2025 (n)

 

1,000

 

1,006

6.500% due 01/15/2028 (n)

 

1,000

 

990

Teva Pharmaceutical Finance BV
3.650% due 11/10/2021 (n)

 

942

 

935

Teva Pharmaceutical Finance Co. BV
2.950% due 12/18/2022

 

674

 

648

Teva Pharmaceutical Finance Netherlands BV
6.000% due 01/31/2025

EUR

100

 

121

Topaz Solar Farms LLC

 

 

 

 

4.875% due 09/30/2039 (n)

$

1,028

 

1,117

5.750% due 09/30/2039 (n)

 

6,050

 

6,869

TransDigm, Inc.
5.500% due 11/15/2027

 

20

 

20

Transocean Pontus Ltd.
6.125% due 08/01/2025

 

55

 

48

Transocean, Inc.

 

 

 

 

7.250% due 11/01/2025

 

68

 

23

Schedule of Investments PIMCO Income Strategy Fund (Cont.)

October 31, 2020

(Unaudited)

 

7.500% due 01/15/2026

 

56

 

12

8.000% due 02/01/2027

 

66

 

18

Triumph Group, Inc.

 

 

 

 

5.250% due 06/01/2022

 

10

 

9

6.250% due 09/15/2024

 

32

 

28

U.S. Renal Care, Inc.
10.625% due 07/15/2027

 

34

 

36

Uber Technologies, Inc.
6.250% due 01/15/2028

 

800

 

812

Unigel Luxembourg S.A.
8.750% due 10/01/2026

 

200

 

194

United Airlines Pass-Through Trust
5.875% due 04/15/2029 (n)

 

1,800

 

1,802

United Group BV

 

 

 

 

3.125% due 02/15/2026

EUR

116

 

127

3.625% due 02/15/2028

 

100

 

109

Univision Communications, Inc.
5.125% due 02/15/2025

$

283

 

279

Valaris PLC

 

 

 

 

5.750% due 10/01/2044 ^(e)

 

153

 

7

7.750% due 02/01/2026 ^(e)

 

8

 

0

Vale Overseas Ltd.

 

 

 

 

6.875% due 11/21/2036

 

29

 

39

6.875% due 11/10/2039

 

257

 

353

ViaSat, Inc.
5.625% due 09/15/2025

 

36

 

36

Viking Cruises Ltd.
13.000% due 05/15/2025 (n)

 

924

 

1,048

Vmed O2 UK Financing PLC
4.250% due 01/31/2031 (n)

 

2,400

 

2,406

Western Midstream Operating LP

 

 

 

 

2.074% (US0003M + 1.850%) due 01/13/2023 ~

 

22

 

20

6.250% due 02/01/2050

 

16

 

15

Windstream Escrow LLC
7.750% due 08/15/2028

 

4,144

 

4,014

WMG Acquisition Corp.

 

 

 

 

3.000% due 02/15/2031 (n)

 

1,866

 

1,777

3.000% due 02/15/2031 (c)

 

1,000

 

953

Wyndham Destinations, Inc.

 

 

 

 

3.900% due 03/01/2023

 

34

 

33

4.625% due 03/01/2030

 

22

 

21

5.650% due 04/01/2024

 

4

 

4

6.000% due 04/01/2027

 

349

 

361

Wynn Macau Ltd.
5.500% due 01/15/2026

 

1,000

 

964

YPF S.A.
36.951% (BADLARPP + 6.000%) due 03/04/2021 ~

ARS

3,800

 

24

Yum Brands, Inc.
3.625% due 03/15/2031 (n)

$

1,300

 

1,279

Zayo Group Holdings, Inc.
6.125% due 03/01/2028

 

37

 

37

 

 

 

 

132,281

UTILITIES 13.5%

 

 

 

 

AT&T, Inc.

 

 

 

 

3.100% due 02/01/2043

 

684

 

652

3.300% due 02/01/2052

 

684

 

632

3.500% due 06/01/2041 (n)

 

544

 

551

3.500% due 02/01/2061

 

694

 

642

3.650% due 06/01/2051 (n)

 

1,960

 

1,927

3.850% due 06/01/2060 (n)

 

1,292

 

1,274

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

 

30

 

31

DTEK Finance PLC
10.750% due 12/31/2024 ^(e)

 

593

 

391

Edison International
5.750% due 06/15/2027

 

31

 

35

Gazprom Neft OAO Via GPN Capital S.A.
6.000% due 11/27/2023 (n)

 

3,700

 

4,115

Northwestern Bell Telephone
7.750% due 05/01/2030

 

7,000

 

7,601

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

 

19

 

17

Odebrecht Drilling Norbe Ltd. (6.350% Cash and 1.000% PIK)
7.350% due 12/01/2026 ^(d)

 

140

 

37

Odebrecht Offshore Drilling Finance Ltd.
6.720% due 12/01/2022 ^

 

448

 

407

Odebrecht Offshore Drilling Finance Ltd. (6.720% Cash and 1.000% PIK)
7.720% due 12/01/2026 ^(d)

 

2,846

 

281

Pacific Gas & Electric Co.

 

 

 

 

3.150% due 01/01/2026

 

50

 

51

3.300% due 03/15/2027 (n)

 

1,070

 

1,082

3.300% due 12/01/2027 (n)

 

300

 

304

3.400% due 08/15/2024

 

218

 

227

3.450% due 07/01/2025 (n)

 

468

 

487

Schedule of Investments PIMCO Income Strategy Fund (Cont.)

October 31, 2020

(Unaudited)

 

3.500% due 06/15/2025 (n)

 

365

 

381

3.750% due 02/15/2024

 

76

 

79

3.750% due 07/01/2028 (n)

 

468

 

481

3.750% due 08/15/2042

 

10

 

9

4.000% due 03/15/2027

 

1,004

 

954

4.250% due 08/01/2023 (n)

 

552

 

586

4.300% due 03/15/2045

 

11

 

11

4.500% due 07/01/2040 (n)

 

939

 

968

4.500% due 12/15/2041

 

10

 

10

4.550% due 07/01/2030 (n)

 

2,164

 

2,326

4.600% due 11/15/2023

 

8

 

8

4.650% due 08/01/2028 (n)

 

515

 

553

4.750% due 02/15/2044 (n)

 

382

 

395

4.950% due 07/01/2050 (n)

 

2,360

 

2,491

Petrobras Global Finance BV

 

 

 

 

5.093% due 01/15/2030 (n)

 

2,378

 

2,487

6.625% due 01/16/2034

GBP

100

 

145

Rio Oil Finance Trust
9.250% due 07/06/2024 (n)

$

2,244

 

2,468

Southern California Edison Co.

 

 

 

 

2.850% due 08/01/2029

 

8

 

8

3.650% due 03/01/2028

 

3

 

3

3.650% due 02/01/2050

 

15

 

16

5.750% due 04/01/2035

 

4

 

5

6.000% due 01/15/2034

 

2

 

3

6.650% due 04/01/2029

 

18

 

22

Sprint Corp.

 

 

 

 

7.125% due 06/15/2024 (n)

 

2,122

 

2,443

7.875% due 09/15/2023 (n)

 

3,452

 

3,946

Talen Energy Supply LLC
6.625% due 01/15/2028

 

14

 

13

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

 

54

 

41

 

 

 

 

41,596

Total Corporate Bonds & Notes (Cost $252,474)

 

 

 

248,994

CONVERTIBLE BONDS & NOTES 0.5%

 

 

 

 

INDUSTRIALS 0.5%

 

 

 

 

DISH Network Corp.
3.375% due 08/15/2026

 

1,600

 

1,418

UTILITIES 0.0%

 

 

 

 

Ensco Jersey Finance Ltd.
3.000% due 01/31/2024 ^(e)

 

4

 

1

Total Convertible Bonds & Notes (Cost $1,603)

 

 

 

1,419

MUNICIPAL BONDS & NOTES 4.8%

 

 

 

 

ILLINOIS 2.3%

 

 

 

 

Chicago, Illinois General Obligation Bonds, (BABs), Series 2010
7.517% due 01/01/2040

 

6,000

 

6,839

Chicago, Illinois General Obligation Bonds, Series 2017
7.045% due 01/01/2029

 

60

 

65

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

 

 

 

 

6.725% due 04/01/2035

 

10

 

11

7.350% due 07/01/2035

 

10

 

11

Illinois State General Obligation Bonds, Series 2003
5.100% due 06/01/2033

 

40

 

40

 

 

 

 

6,966

VIRGINIA 0.1%

 

 

 

 

Tobacco Settlement Financing Corp., Virginia Revenue Bonds, Series 2007
6.706% due 06/01/2046

 

380

 

394

WEST VIRGINIA 2.4%

 

 

 

 

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

 

 

 

 

0.000% due 06/01/2047 (h)

 

21,900

 

1,874

7.467% due 06/01/2047

 

5,180

 

5,604

 

 

 

 

7,478

Total Municipal Bonds & Notes (Cost $12,659)

 

 

 

14,838

U.S. GOVERNMENT AGENCIES 3.4%

 

 

 

 

Fannie Mae

 

 

 

 

3.500% due 12/25/2032 - 12/25/2049 (a)

 

2,965

 

300

3.799% due 02/25/2040 •

 

150

 

144

4.000% due 11/25/2042 (a)

 

1,358

 

177

5.776% due 06/25/2043 •(a)

 

318

 

55

Schedule of Investments PIMCO Income Strategy Fund (Cont.)

October 31, 2020

(Unaudited)

 

5.899% due 07/25/2029 •(n)

 

570

 

590

5.901% due 02/25/2049 •(a)

 

1,226

 

177

14.553% due 12/25/2040 •

 

132

 

201

Freddie Mac

 

 

 

 

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

 

3,139

 

2,995

0.100% due 02/25/2046 (a)

 

30,557

 

4

0.700% due 11/25/2055 ~(a)

 

16,750

 

1,209

3.000% due 11/15/2033 (a)

 

2,781

 

221

6.143% due 11/25/2055 «~

 

3,974

 

2,434

7.699% due 12/25/2027 •

 

1,485

 

1,496

9.702% due 11/15/2040 •

 

191

 

254

10.899% due 03/25/2025 •

 

287

 

315

Total U.S. Government Agencies (Cost $10,762)

 

 

 

10,572

NON-AGENCY MORTGAGE-BACKED SECURITIES 8.9%

 

 

 

 

Banc of America Alternative Loan Trust
6.000% due 01/25/2036 ^

 

32

 

32

Banc of America Funding Trust
6.000% due 08/25/2036 ^

 

708

 

697

BCAP LLC Trust

 

 

 

 

0.000% due 06/26/2036 ~

 

60

 

30

3.284% due 03/27/2036 ~

 

974

 

808

4.850% due 03/26/2037 þ

 

347

 

402

Bear Stearns ALT-A Trust

 

 

 

 

0.469% due 06/25/2046 ^•

 

1,281

 

1,127

3.162% due 11/25/2036 ^~

 

181

 

121

3.253% due 09/25/2035 ^~

 

187

 

137

3.311% due 09/25/2047 ^~(n)

 

2,300

 

1,572

Bear Stearns Commercial Mortgage Securities Trust
5.909% due 04/12/2038 ~

 

100

 

100

Bear Stearns Mortgage Funding Trust
7.500% due 08/25/2036 þ

 

264

 

258

CD Commercial Mortgage Trust
5.398% due 12/11/2049 ~

 

2

 

2

CD Mortgage Trust
5.688% due 10/15/2048

 

2,673

 

1,464

Chase Mortgage Finance Trust

 

 

 

 

3.711% due 12/25/2035 ^~

 

3

 

3

6.000% due 02/25/2037 ^

 

371

 

232

6.000% due 07/25/2037 ^

 

254

 

184

6.250% due 10/25/2036 ^

 

741

 

544

Citicorp Mortgage Securities Trust
5.500% due 04/25/2037

 

22

 

23

Commercial Mortgage Loan Trust
6.056% due 12/10/2049 ~

 

777

 

352

Countrywide Alternative Loan Resecuritization Trust

 

 

 

 

6.000% due 05/25/2036 ^

 

930

 

753

6.000% due 08/25/2037 ^~

 

445

 

353

Countrywide Alternative Loan Trust

 

 

 

 

0.499% due 05/25/2037 ^•

 

148

 

49

3.774% due 04/25/2036 ^~

 

338

 

316

5.500% due 03/25/2035

 

117

 

75

5.500% due 12/25/2035 ^

 

1,269

 

971

5.750% due 01/25/2035

 

101

 

101

6.000% due 02/25/2035

 

163

 

159

6.000% due 08/25/2036 ^•

 

171

 

142

6.000% due 04/25/2037 ^

 

448

 

292

6.250% due 11/25/2036 ^

 

291

 

259

6.250% due 12/25/2036 ^•

 

817

 

536

6.500% due 08/25/2036 ^

 

210

 

118

Countrywide Home Loan Mortgage Pass-Through Trust

 

 

 

 

3.542% due 02/20/2035 ~

 

7

 

7

5.500% due 10/25/2035 ^

 

233

 

200

6.250% due 09/25/2036 ^

 

220

 

149

Deutsche Mortgage Securities, Inc. Mortgage Loan Trust
2.098% due 06/25/2034 •

 

2,030

 

1,999

Eurosail PLC
4.060% due 06/13/2045 •

GBP

239

 

271

GS Mortgage Securities Trust
5.622% due 11/10/2039

$

298

 

160

GSR Mortgage Loan Trust

 

 

 

 

5.500% due 05/25/2036 ^

 

20

 

39

6.000% due 02/25/2036 ^

 

1,460

 

944

HarborView Mortgage Loan Trust

 

 

 

 

0.867% due 01/19/2035 •

 

64

 

64

3.563% due 07/19/2035 ^~

 

18

 

15

IndyMac Mortgage Loan Trust
6.500% due 07/25/2037 ^

 

1,643

 

891

Jackson Park Trust
3.242% due 10/14/2039 ~

 

1,033

 

974

JPMorgan Alternative Loan Trust

 

 

 

 

3.583% due 03/25/2037 ^~

 

526

 

514

3.705% due 03/25/2036 ^~

 

624

 

549

JPMorgan Chase Commercial Mortgage Securities Trust
5.623% due 05/12/2045

 

50

 

45

Schedule of Investments PIMCO Income Strategy Fund (Cont.)

October 31, 2020

(Unaudited)

 

JPMorgan Mortgage Trust

 

 

 

 

3.342% due 02/25/2036 ^~

 

125

 

102

3.458% due 01/25/2037 ^~

 

156

 

142

LB-UBS Commercial Mortgage Trust

 

 

 

 

5.407% due 11/15/2038 ^

 

324

 

180

5.562% due 02/15/2040 ^~

 

132

 

73

Lehman XS Trust
0.369% due 06/25/2047 •

 

697

 

643

Merrill Lynch Mortgage Investors Trust
3.673% due 03/25/2036 ^~

 

687

 

458

Morgan Stanley Mortgage Loan Trust
5.962% due 06/25/2036 ^~

 

2,307

 

933

Motel 6 Trust
7.075% due 08/15/2024 •

 

281

 

235

Natixis Commercial Mortgage Securities Trust
2.398% due 11/15/2034 •

 

1,065

 

1,015

Residential Asset Securitization Trust

 

 

 

 

5.750% due 02/25/2036 ^

 

469

 

321

6.000% due 07/25/2037 ^

 

655

 

375

6.250% due 09/25/2037 ^

 

1,219

 

662

Residential Funding Mortgage Securities, Inc. Trust

 

 

 

 

4.872% due 08/25/2036 ^~

 

291

 

269

6.000% due 09/25/2036 ^

 

87

 

81

6.000% due 06/25/2037 ^

 

968

 

952

Structured Adjustable Rate Mortgage Loan Trust

 

 

 

 

3.476% due 11/25/2036 ^~

 

533

 

510

3.553% due 01/25/2036 ^~

 

586

 

412

SunTrust Adjustable Rate Mortgage Loan Trust

 

 

 

 

3.853% due 02/25/2037 ^~

 

78

 

72

3.862% due 04/25/2037 ^~

 

417

 

338

WaMu Mortgage Pass-Through Certificates Trust

 

 

 

 

2.153% due 12/25/2046 •

 

254

 

240

3.141% due 10/25/2036 ^~

 

286

 

257

3.650% due 02/25/2037 ^~

 

202

 

185

Wells Fargo Mortgage-Backed Securities Trust
6.000% due 06/25/2037 ^

 

34

 

34

Total Non-Agency Mortgage-Backed Securities (Cost $27,522)

 

 

 

27,522

ASSET-BACKED SECURITIES 16.7%

 

 

 

 

Adagio CLO DAC
0.000% due 04/30/2031 ~

EUR

1,750

 

1,023

Apidos CLO
0.000% due 01/20/2031 ~

$

2,200

 

1,159

Argent Securities Trust
0.339% due 03/25/2036 •

 

6,716

 

4,502

Asset-Backed Funding Certificates Trust
0.299% due 10/25/2036 •

 

3,993

 

3,875

Avoca CLO DAC
0.000% due 07/15/2032 ~

EUR

1,070

 

811

Bear Stearns Asset-Backed Securities Trust
6.500% due 10/25/2036 ^

$

212

 

155

Belle Haven ABS CDO Ltd.
0.526% due 07/05/2046 •

 

85,896

 

232

BlueMountain CLO Ltd.
5.674% due 04/13/2027 •

 

1,000

 

929

CIFC Funding Ltd.

 

 

 

 

0.000% due 04/24/2030 ~

 

1,200

 

372

0.000% due 10/22/2031 ~

 

1,000

 

333

Citigroup Mortgage Loan Trust
0.299% due 12/25/2036 •(n)

 

3,272

 

1,704

Countrywide Asset-Backed Certificates

 

 

 

 

0.289% due 06/25/2047 ^•(n)

 

586

 

539

0.349% due 06/25/2047 ^•(n)

 

1,890

 

1,715

Dryden CLO Ltd.
0.000% due 07/17/2031 ~

 

5,689

 

3,407

FirstKey Homes Trust
4.781% due 09/17/2025

 

1,200

 

1,220

Flagship Credit Auto Trust
0.000% due 05/15/2025 «(h)

 

4

 

331

Grosvenor Place CLO BV
0.000% due 04/30/2029 ~

EUR

250

 

95

GSAMP Trust

 

 

 

 

0.409% due 02/25/2046 •

$

2,982

 

2,817

1.124% due 03/25/2035 ^•

 

4,830

 

4,458

Jay Park CLO Ltd.
0.000% due 10/20/2027 ~

 

2,700

 

1,127

JPMorgan Mortgage Acquisition Trust
0.469% due 04/25/2036 •

 

6,000

 

5,686

Lehman XS Trust
6.290% due 06/24/2046 þ

 

969

 

987

Marlette Funding Trust

 

 

 

 

0.000% due 07/16/2029 «(h)

 

6

 

742

0.000% due 03/15/2030 «(h)

 

3

 

559

Merrill Lynch Mortgage Investors Trust
0.468% due 04/25/2037 •

 

230

 

154

Schedule of Investments PIMCO Income Strategy Fund (Cont.)

October 31, 2020

(Unaudited)

 

Morgan Stanley Mortgage Loan Trust

 

 

 

 

0.269% due 04/25/2037 •

 

3,104

 

1,392

6.250% due 07/25/2047 ^~

 

288

 

193

Residential Asset Mortgage Products Trust
0.429% due 09/25/2036 •

 

195

 

188

Securitized Asset-Backed Receivables LLC Trust
0.289% due 05/25/2036 •

 

4,923

 

3,341

SLM Student Loan EDC Repackaging Trust
0.000% due 10/28/2029 «(h)

 

1

 

1,430

SLM Student Loan Trust
0.000% due 01/25/2042 «(h)

 

2

 

1,005

SoFi Professional Loan Program LLC

 

 

 

 

0.000% due 05/25/2040 (h)

 

2,100

 

538

0.000% due 09/25/2040 (h)

 

846

 

283

South Coast Funding Ltd.
0.843% due 08/10/2038 •

 

5,622

 

838

Symphony CLO Ltd.
4.829% due 07/14/2026 •

 

1,000

 

842

Taberna Preferred Funding Ltd.

 

 

 

 

0.629% due 08/05/2036 •

 

153

 

128

0.629% due 08/05/2036 ^•

 

2,862

 

2,404

Total Asset-Backed Securities (Cost $60,440)

 

 

 

51,514

SOVEREIGN ISSUES 4.6%

 

 

 

 

Argentina Government International Bond

 

 

 

 

1.000% due 08/05/2021

ARS

30,095

 

192

2.500% due 07/22/2021

 

9,559

 

61

15.500% due 10/17/2026

 

26,000

 

64

29.722% (BADLARPP) due 10/04/2022 ~

 

28

 

0

32.921% (BADLARPP + 2.000%) due 04/03/2022 ~

 

30,688

 

178

Argentine Republic Government International Bond

 

 

 

 

0.125% due 07/09/2030 þ

$

115

 

42

0.125% due 07/09/2035 þ

 

115

 

38

0.125% due 01/09/2038 þ(n)

 

6,188

 

2,313

0.125% due 07/09/2041 þ(n)

 

2,056

 

702

0.125% due 07/09/2046 þ

 

115

 

38

1.000% due 07/09/2029

 

366

 

151

Autonomous City of Buenos Aires Argentina

 

 

 

 

34.122% (BADLARPP + 3.250%) due 03/29/2024 ~

ARS

52,046

 

308

36.420% (BADLARPP + 5.000%) due 01/23/2022 ~

 

43,600

 

277

Dominican Republic International Bond
4.875% due 09/23/2032 (n)

$

3,400

 

3,459

Ghana Government International Bond

 

 

 

 

6.375% due 02/11/2027

 

300

 

280

7.875% due 02/11/2035

 

400

 

357

8.750% due 03/11/2061

 

200

 

177

Jordan Government International Bond
5.850% due 07/07/2030 (n)

 

1,564

 

1,578

Provincia de Buenos Aires

 

 

 

 

34.027% due 05/31/2022

ARS

6,563

 

35

34.850% due 04/12/2025

 

217,314

 

1,000

South Africa Government International Bond

 

 

 

 

4.850% due 09/30/2029 (n)

$

600

 

597

5.750% due 09/30/2049 (n)

 

600

 

543

Turkey Government International Bond
5.600% due 11/14/2024 (n)

 

1,400

 

1,348

Ukraine Government International Bond
4.375% due 01/27/2030

EUR

582

 

569

Venezuela Government International Bond

 

 

 

 

6.000% due 12/09/2020 ^(e)

$

120

 

12

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

 

12

 

1

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

 

151

 

15

Total Sovereign Issues (Cost $21,806)

 

 

 

14,335

 

 

SHARES

 

 

COMMON STOCKS 1.4%

 

 

 

 

COMMUNICATION SERVICES 0.1%

 

 

 

 

Clear Channel Outdoor Holdings, Inc. (f)

 

261,329

 

234

iHeartMedia, Inc. «(f)

 

197

 

1

iHeartMedia, Inc. 'A' (f)

 

14,710

 

121

 

 

 

 

356

ENERGY 0.0%

 

 

 

 

Forbes Energy Services Ltd. (f)(l)

 

13,350

 

1

FINANCIALS 0.1%

 

 

 

 

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

 

55,999

 

356

Schedule of Investments PIMCO Income Strategy Fund (Cont.)

October 31, 2020

(Unaudited)

 

INDUSTRIALS 1.2%

 

 

 

 

McDermott International Ltd. (f)

 

77,805

 

132

Neiman Marcus Group Ltd. LLC «(f)(l)

 

39,846

 

3,315

Westmoreland Mining Holdings LLC «(f)(l)

 

25,438

 

191

 

 

 

 

3,638

Total Common Stocks (Cost $5,413)

 

 

 

4,351

WARRANTS 1.8%

 

 

 

 

COMMUNICATION SERVICES 0.2%

 

 

 

 

iHeartMedia, Inc. - Exp. 05/01/2039 «

 

95,797

 

775

INDUSTRIALS 0.0%

 

 

 

 

Sequa Corp. - Exp. 04/28/2024 «

 

394,000

 

0

INFORMATION TECHNOLOGY 1.6%

 

 

 

 

Windstream Services LLC - Exp. 03/24/2021 «

 

272,048

 

4,968

Total Warrants (Cost $4,335)

 

 

 

5,743

PREFERRED SECURITIES 6.3%

 

 

 

 

BANKING & FINANCE 3.2%

 

 

 

 

Banco Santander S.A.
6.250% due 09/11/2021 •(k)

 

200,000

 

229

Brighthouse Holdings LLC
6.500% due 07/27/2037 þ(k)

 

35,000

 

35

Nationwide Building Society
10.250% ~

 

16,350

 

3,556

Stichting AK Rabobank Certificaten
0.000% due 12/29/2049 (j)(k)

 

4,249,000

 

6,153

 

 

 

 

9,973

INDUSTRIALS 3.1%

 

 

 

 

General Electric Co.
5.000% due 01/21/2021 •(k)

 

127,000

 

104

Sequa Corp. (12.000% PIK)
12.000% «(d)

 

10,321

 

9,361

 

 

 

 

9,465

Total Preferred Securities (Cost $16,656)

 

 

 

19,438

REAL ESTATE INVESTMENT TRUSTS 1.9%

 

 

 

 

REAL ESTATE 1.9%

 

 

 

 

Uniti Group, Inc.

 

133,286

 

1,175

VICI Properties, Inc.

 

202,347

 

4,644

Total Real Estate Investment Trusts (Cost $3,535)

 

 

 

5,819

SHORT-TERM INSTRUMENTS 5.0%

 

 

 

 

REPURCHASE AGREEMENTS (m) 4.3%

 

 

 

13,388

 

 

PRINCIPAL
AMOUNT
(000s)

 

 

SHORT-TERM NOTES 0.0%

 

 

 

 

Argentina Treasury Bond BONCER
1.100% due 04/17/2021

ARS

13,352

 

86

ARGENTINA TREASURY BILLS 0.4%

 

 

 

 

(11.770)% due 11/30/2020 - 01/29/2021 (g)(h)

 

177,290

 

1,159

U.S. TREASURY BILLS 0.3%

 

 

 

 

0.109% due 12/03/2020 - 01/21/2021 (g)(h)(q)

$

800

 

800

U.S. TREASURY CASH MANAGEMENT BILLS 0.0%

 

 

 

 

0.108% due 01/26/2021 (h)(i)

 

4

 

4

Schedule of Investments PIMCO Income Strategy Fund (Cont.)

October 31, 2020

(Unaudited)

 

Total Short-Term Instruments (Cost $15,527)

 

 

 

15,437

Total Investments in Securities (Cost $483,699)

 

 

 

466,522

Total Investments 151.1% (Cost $483,699)

 

 

$

466,522

Financial Derivative Instruments (o)(p) 0.0%(Cost or Premiums, net $2,403)

 

 

 

128

Auction Rate Preferred Shares (14.6)%

 

 

 

(45,200)

Other Assets and Liabilities, net (36.5)%

 

 

 

(112,760)

Net Assets Applicable to Common Shareholders 100.0%

 

 

$

308,690

Schedule of Investments PIMCO Income Strategy Fund (Cont.)

October 31, 2020

(Unaudited)

 

 

NOTES TO SCHEDULE OF INVESTMENTS:

 

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

 

¤

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

^

Security is in default.

«

Security valued using significant unobservable inputs (Level 3).

µ

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

~

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

•

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

þ

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

(a)

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

(b)

Principal only security.

(c)

When-issued security.

(d)

Payment in-kind security.

(e)

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

(f)

Security did not produce income within the last twelve months.

(g)

Coupon represents a weighted average yield to maturity.

(h)

Zero coupon security.

(i)

Coupon represents a yield to maturity.

(j)

Security becomes interest bearing at a future date.

(k)

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

(l)

RESTRICTED SECURITIES:

Issuer Description

 

 

Acquisition
Date

 

Cost

 

Market
Value

Market Value
as Percentage
of Net Assets Applicable to Common Shareholders

Associated Materials Group, Inc.

 

 

08/24/2020

$

356

$

356

0.12

%

Forbes Energy Services Ltd.

 

 

10/09/2014 - 11/18/2016

 

531

 

1

0.00

 

Neiman Marcus Group Ltd. LLC

 

 

09/25/2020

 

1,307

 

3,315

1.07

 

Westmoreland Mining Holdings LLC

 

 

12/08/2014 - 10/19/2016

 

733

 

191

0.06

 

 

 

 

 

$

2,927

$

3,863

1.25

%

BORROWINGS AND OTHER FINANCING TRANSACTIONS

(m)

REPURCHASE AGREEMENTS:

Counterparty

Lending
Rate

Settlement
Date

Maturity
Date

 

Principal
Amount

Collateralized By

 

Collateral
(Received)

 

Repurchase
Agreements,
at Value

 

Repurchase
Agreement
Proceeds
to be
Received(1)

FICC

0.000%

10/30/2020

11/02/2020

$

588

U.S. Treasury Notes 1.125% due 02/28/2022

$

(600)

$

588

$

588

JPS

0.110

10/30/2020

11/02/2020

 

3,900

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

 

(3,947)

 

3,900

 

3,900

MBC

0.110

10/30/2020

11/02/2020

 

3,300

U.S. Treasury Notes 1.875% due 09/30/2022

 

(3,405)

 

3,300

 

3,300

SAL

0.110

10/30/2020

11/02/2020

 

1,700

U.S. Treasury Bonds 1.125% due 05/15/2040

 

(1,719)

 

1,700

 

1,700

TDM

0.110

10/30/2020

11/02/2020

 

3,900

U.S. Treasury Bonds 1.125% due 08/15/2040

 

(3,961)

 

3,900

 

3,900

Total Repurchase Agreements

 

$

(13,632)

$

13,388

$

13,388

REVERSE REPURCHASE AGREEMENTS:

Counterparty

Borrowing Rate(2)

Settlement Date

Maturity Date

 

Amount
Borrowed(2)

 

Payable for
Reverse
Repurchase
Agreements

BCY

0.750%

08/05/2020

TBD(3)

$

(371)

$

(372)

BPS

0.400

10/23/2020

01/22/2021

GBP

(1,978)

 

(2,563)

 

0.750

10/27/2020

03/01/2021

$

(1,591)

 

(1,592)

Schedule of Investments PIMCO Income Strategy Fund (Cont.)

October 31, 2020

(Unaudited)

 

 

0.800

10/19/2020

04/20/2021

 

(6,963)

 

(6,965)

 

0.800

10/20/2020

04/21/2021

 

(3,375)

 

(3,376)

 

1.530

10/30/2020

11/04/2020

 

(4,442)

 

(4,443)

BRC

0.500

03/25/2020

TBD(3)

 

(58)

 

(58)

 

0.550

10/29/2020

02/26/2021

 

(9,633)

 

(9,633)

 

0.650

11/02/2020

05/03/2021

 

(2,119)

 

(2,119)

 

0.790

11/02/2020

05/03/2021

 

(18,510)

 

(18,510)

 

0.800

10/26/2020

02/23/2021

 

(2,412)

 

(2,412)

BYR

1.390

07/06/2020

03/31/2021

 

(5,818)

 

(5,824)

 

1.390

09/30/2020

03/31/2021

 

(5,663)

 

(5,669)

CDC

0.400

08/05/2020

TBD(3)

 

(859)

 

(859)

 

0.830

10/23/2020

02/16/2021

 

(6,611)

 

(6,612)

 

0.830

10/26/2020

03/01/2021

 

(4,079)

 

(4,079)

 

0.850

10/21/2020

02/23/2021

 

(3,278)

 

(3,279)

 

0.880

10/21/2020

03/23/2021

 

(932)

 

(932)

CIW

0.500

10/30/2020

02/01/2021

 

(1,705)

 

(1,705)

DEU

1.550

05/15/2020

11/16/2020

 

(390)

 

(393)

JML

(0.250)

10/15/2020

01/15/2021

EUR

(1,127)

 

(1,313)

 

0.400

10/16/2020

01/18/2021

GBP

(176)

 

(228)

NOM

0.650

10/28/2020

01/29/2021

$

(2,921)

 

(2,921)

 

0.750

10/30/2020

02/02/2021

 

(3,392)

 

(3,392)

 

0.850

09/25/2020

03/24/2021

 

(4,285)

 

(4,289)

 

0.850

09/25/2020

03/25/2021

 

(8,198)

 

(8,205)

 

0.850

11/02/2020

03/25/2021

 

(2,431)

 

(2,431)

SOG

0.500

10/22/2020

01/22/2021

 

(2,919)

 

(2,920)

 

0.500

10/27/2020

01/27/2021

 

(1,306)

 

(1,306)

 

0.520

10/19/2020

01/20/2021

 

(3,791)

 

(3,792)

 

0.630

10/28/2020

04/28/2021

 

(1,273)

 

(1,273)

 

0.700

08/05/2020

TBD(3)

 

(3,769)

 

(3,776)

 

0.780

10/22/2020

02/24/2021

 

(1,239)

 

(1,239)

 

0.860

10/21/2020

04/19/2021

 

(2,010)

 

(2,011)

 

0.870

09/11/2020

03/10/2021

 

(1,669)

 

(1,671)

 

0.950

07/31/2020

02/01/2021

 

(823)

 

(825)

TDM

0.320

11/02/2020

TBD(3)

 

(4,372)

 

(4,372)

 

0.380

08/27/2020

TBD(3)

 

(8,234)

 

(8,240)

UBS

0.750

10/15/2020

01/15/2021

 

(13,202)

 

(13,207)

Total Reverse Repurchase Agreements

 

 

 

 

 

$

(148,806)

(n)

Securities with an aggregate market value of $168,428 and cash of $365 have been pledged as collateral under the terms of master agreements as of October 31, 2020.

(1)

Includes accrued interest.

(2)

The average amount of borrowings outstanding during the period ended October 31, 2020 was $(107,877) at a weighted average interest rate of 0.780%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.

(3)

Open maturity reverse repurchase agreement.

(o)

FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED

SWAP AGREEMENTS:

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

 

Variation Margin

Reference Entity

Fixed
Receive Rate

Payment
Frequency

Maturity
Date

Implied
Credit Spread at
October 31, 2020(2)

 

Notional
Amount(3)

 

Premiums
Paid/
(Received)

 

Unrealized
Appreciation/
(Depreciation)

 

Market
Value(4)

 

Asset

 

Liability

Bombardier, Inc.

5.000%

Quarterly

06/20/2024

15.361

%

$

300

$

(1)

$

(73)

$

(74)

$

0

$

(3)

Bombardier, Inc.

5.000

Quarterly

12/20/2024

15.444

 

 

700

 

(3)

 

(185)

 

(188)

 

0

 

(7)

Rolls-Royce PLC

1.000

Quarterly

12/20/2025

4.479

 

EUR

1,000

 

(199)

 

19

 

(180)

 

2

 

0

 

 

 

 

 

 

$

(203)

$

(239)

$

(442)

$

2

$

(10)

INTEREST RATE SWAPS

 

Variation Margin

Pay/
Receive
Floating Rate

Floating Rate Index

Fixed Rate

Payment
Frequency

Maturity
Date

 

Notional
Amount

 

Premiums
Paid/
(Received)

 

Unrealized
Appreciation/
(Depreciation)

 

Market
Value

 

Asset

 

Liability

Receive(5)

1-Day GBP-SONIO Compounded-OIS

0.250%

Annual

03/17/2031

GBP

11,000

$

(49)

$

6

$

(43)

$

86

$

0

Pay

1-Day USD-Federal Funds Rate Compounded-OIS

0.184

Quarterly

10/21/2025

$

9,341

 

0

 

(24)

 

(24)

 

0

 

(5)

Pay

1-Day USD-Federal Funds Rate Compounded-OIS

0.562

Quarterly

10/21/2030

 

4,422

 

0

 

(51)

 

(51)

 

0

 

(13)

Schedule of Investments PIMCO Income Strategy Fund (Cont.)

October 31, 2020

(Unaudited)

 

Pay

1-Day USD-Federal Funds Rate Compounded-OIS

0.793

Quarterly

10/21/2035

 

8,146

 

0

 

(147)

 

(147)

 

0

 

(38)

Pay

1-Day USD-Federal Funds Rate Compounded-OIS

0.909

Quarterly

10/21/2040

 

10,021

 

0

 

(242)

 

(242)

 

0

 

(68)

Pay

1-Day USD-Federal Funds Rate Compounded-OIS

0.985

Quarterly

10/21/2050

 

820

 

0

 

(29)

 

(29)

 

0

 

(8)

Receive

1-Day USD-SOFR Compounded-OIS

0.173

Quarterly

10/21/2025

 

9,341

 

0

 

25

 

25

 

5

 

0

Receive

1-Day USD-SOFR Compounded-OIS

0.534

Quarterly

10/21/2030

 

4,422

 

0

 

54

 

54

 

14

 

0

Receive

1-Day USD-SOFR Compounded-OIS

0.745

Quarterly

10/21/2035

 

8,147

 

0

 

165

 

165

 

43

 

0

Receive

1-Day USD-SOFR Compounded-OIS

0.844

Quarterly

10/21/2040

 

10,021

 

0

 

290

 

290

 

75

 

0

Receive

1-Day USD-SOFR Compounded-OIS

0.907

Quarterly

10/21/2050

 

820

 

0

 

34

 

34

 

9

 

0

Receive(5)

3-Month USD-LIBOR

0.250

Semi-Annual

12/18/2022

 

25,500

 

12

 

(13)

 

(1)

 

1

 

0

Pay

3-Month USD-LIBOR

2.750

Semi-Annual

06/17/2025

 

43,420

 

2,555

 

2,557

 

5,112

 

0

 

(14)

Pay

3-Month USD-LIBOR

2.250

Semi-Annual

06/15/2026

 

15,300

 

723

 

887

 

1,610

 

0

 

(12)

Pay

3-Month USD-LIBOR

2.500

Semi-Annual

12/20/2027

 

28,100

 

200

 

3,689

 

3,889

 

0

 

(42)

Pay

3-Month USD-LIBOR

3.000

Semi-Annual

06/19/2029

 

49,900

 

2,148

 

7,743

 

9,891

 

0

 

(101)

Pay

3-Month USD-LIBOR

3.500

Semi-Annual

06/19/2044

 

83,100

 

(2,711)

 

42,932

 

40,221

 

0

 

(733)

Receive

3-Month USD-LIBOR

2.000

Semi-Annual

01/15/2050

 

3,200

 

(23)

 

(548)

 

(571)

 

31

 

0

Receive

3-Month USD-LIBOR

1.750

Semi-Annual

01/22/2050

 

8,400

 

(19)

 

(934)

 

(953)

 

79

 

0

Receive

3-Month USD-LIBOR

1.875

Semi-Annual

02/07/2050

 

8,800

 

(34)

 

(1,238)

 

(1,272)

 

85

 

0

Receive

3-Month USD-LIBOR

2.250

Semi-Annual

03/12/2050

 

1,700

 

(5)

 

(403)

 

(408)

 

17

 

0

Receive(5)

3-Month USD-LIBOR

1.150

Semi-Annual

12/11/2050

 

91,100

 

52

 

4,263

 

4,315

 

842

 

0

Pay

6-Month AUD-BBR-BBSW

3.500

Semi-Annual

06/17/2025

AUD

3,900

 

97

 

352

 

449

 

0

 

0

Receive

6-Month EUR-EURIBOR

0.150

Annual

03/18/2030

EUR

3,400

 

62

 

(117)

 

(55)

 

4

 

0

 

 

 

 

 

 

$

3,008

$

59,251

$

62,259

$

1,291

$

(1,034)

Total Swap Agreements

$

2,805

$

59,012

$

61,817

$

1,293

$

(1,044)

Cash of $5,782 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of October 31, 2020.

(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.

(p)

FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER

FORWARD FOREIGN CURRENCY CONTRACTS:

 

Unrealized Appreciation/(Depreciation)

Counterparty

Settlement
Month

 

Currency to
be Delivered

 

Currency to
be Received

 

Asset

 

Liability

BOA

12/2020

$

855

EUR

732

$

0

$

(2)

BPS

11/2020

EUR

469

$

550

 

3

 

0

 

11/2020

$

1,072

GBP

830

 

3

 

0

CBK

11/2020

GBP

1,236

$

1,609

 

8

 

0

 

11/2020

$

29,824

GBP

22,938

 

0

 

(107)

 

12/2020

GBP

22,938

$

29,828

 

106

 

0

 

12/2020

$

622

PEN

2,223

 

0

 

(6)

 

02/2021

 

349

 

1,258

 

0

 

(1)

 

03/2021

 

119

MXN

2,689

 

6

 

0

HUS

11/2020

EUR

932

$

1,095

 

10

 

0

 

11/2020

GBP

20,956

 

26,965

 

0

 

(184)

 

11/2020

$

1,560

EUR

1,327

 

0

 

(15)

 

03/2021

 

981

PEN

3,492

 

0

 

(16)

JPM

11/2020

EUR

402

$

475

 

7

 

0

MYI

11/2020

 

408

 

479

 

3

 

0

SCX

11/2020

 

17,994

 

21,115

 

158

 

0

 

12/2020

 

18,878

 

22,004

 

4

 

0

 

12/2020

$

62

RUB

4,838

 

0

 

(2)

TOR

11/2020

GBP

1,576

$

2,040

 

0

 

(2)

UAG

11/2020

$

3

RUB

204

 

0

 

0

Total Forward Foreign Currency Contracts

$

308

$

(335)

Schedule of Investments PIMCO Income Strategy Fund (Cont.)

October 31, 2020

(Unaudited)

 

SWAP AGREEMENTS:

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

 

Swap Agreements, at Value(4)

Counterparty

Reference Entity

Fixed
Receive Rate

Payment
Frequency

Maturity
Date

Implied
Credit Spread at
October 31, 2020(2)

 

Notional
Amount(3)

 

Premiums
Paid/(Received)

 

Unrealized
Appreciation/
(Depreciation)

 

Asset

 

Liability

BPS

Petrobras Global Finance BV

1.000%

Quarterly

12/20/2024

2.214%

$

500

$

(97)

$

74

$

0

$

(23)

GST

Petrobras Global Finance BV

1.000

Quarterly

12/20/2024

2.214

 

700

 

(139)

 

106

 

0

 

(33)

HUS

Petrobras Global Finance BV

1.000

Quarterly

12/20/2024

2.214

 

800

 

(166)

 

128

 

0

 

(38)

Total Swap Agreements

$

(402)

$

308

$

0

$

(94)

(q)

Securities with an aggregate market value of $466 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of October 31, 2020.

(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.

FAIR VALUE MEASUREMENTS

The following is a summary of the fair valuations according to the inputs used as of October 31, 2020 in valuing the Fund's assets and liabilities:

 

Category and Subcategory

Level 1

Level 2

Level 3

Fair Value
at 10/31/2020

Investments in Securities, at Value

Loan Participations and Assignments

$

0

$

38,231

$

8,309

$

46,540

 

Corporate Bonds & Notes

 

Banking & Finance

 

0

 

75,117

 

0

 

75,117

 

 

Industrials

 

0

 

132,281

 

0

 

132,281

 

 

Utilities

 

0

 

41,596

 

0

 

41,596

 

Convertible Bonds & Notes

 

Industrials

 

0

 

1,418

 

0

 

1,418

 

 

Utilities

 

0

 

1

 

0

 

1

 

Municipal Bonds & Notes

 

Illinois

 

0

 

6,966

 

0

 

6,966

 

 

Virginia

 

0

 

394

 

0

 

394

 

 

West Virginia

 

0

 

7,478

 

0

 

7,478

 

U.S. Government Agencies

 

0

 

8,138

 

2,434

 

10,572

 

Non-Agency Mortgage-Backed Securities

 

0

 

27,522

 

0

 

27,522

 

Asset-Backed Securities

 

0

 

47,447

 

4,067

 

51,514

 

Sovereign Issues

 

0

 

14,335

 

0

 

14,335

 

Common Stocks

 

Communication Services

 

355

 

0

 

1

 

356

 

 

Energy

 

0

 

1

 

0

 

1

 

 

Financials

 

0

 

0

 

356

 

356

 

 

Industrials

 

132

 

0

 

3,506

 

3,638

 

Warrants

 

Communication Services

 

0

 

0

 

775

 

775

 

 

Information Technology

 

0

 

0

 

4,968

 

4,968

 

Preferred Securities

 

Banking & Finance

 

0

 

9,973

 

0

 

9,973

 

 

Industrials

 

0

 

104

 

9,361

 

9,465

 

Real Estate Investment Trusts

 

Real Estate

 

5,819

 

0

 

0

 

5,819

 

Short-Term Instruments

 

Repurchase Agreements

 

0

 

13,388

 

0

 

13,388

 

 

Short-Term Notes

 

0

 

86

 

0

 

86

 

 

Argentina Treasury Bills

 

0

 

1,159

 

0

 

1,159

 

 

U.S. Treasury Bills

 

0

 

800

 

0

 

800

 

 

U.S. Treasury Cash Management Bills

 

0

 

4

 

0

 

4

 

Total Investments

$

6,306

$

426,439

$

33,777

$

466,522

 

Financial Derivative Instruments - Assets

Exchange-traded or centrally cleared

 

0

 

1,293

 

0

 

1,293

 

Over the counter

 

0

 

308

 

0

 

308

 

 

$

0

$

1,601

$

0

$

1,601

 

Schedule of Investments PIMCO Income Strategy Fund (Cont.)

October 31, 2020

(Unaudited)

 

Financial Derivative Instruments - Liabilities

Exchange-traded or centrally cleared

 

0

 

(1,044)

 

0

 

(1,044)

 

Over the counter

 

0

 

(429)

 

0

 

(429)

 

 

$

0

$

(1,473)

$

0

$

(1,473)

 

Total Financial Derivative Instruments

$

0

$

128

$

0

$

128

 

Totals

$

6,306

$

426,567

$

33,777

$

466,650

 

 

 

 

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

Category and Subcategory

Beginning
Balance
at 07/31/2020

Net
Purchases

Net
Sales/Settlements

Accrued
Discounts/
(Premiums)

Realized
Gain/(Loss)

Net Change in
Unrealized
Appreciation/
(Depreciation)(1)

Transfers into
Level 3

Transfers out
of Level 3

Ending
Balance
at 10/31/2020

Net Change in
Unrealized
Appreciation/
(Depreciation)
on Investments
Held at
10/31/2020(1)

Investments in Securities, at Value

Loan Participations and Assignments

$

8,380

$

8,948

$

(5,257)

$

17

$

(3,949)

$

3,070

$

813

$

(3,713)

$

8,309

$

24

U.S. Government Agencies

 

2,424

 

0

 

(11)

 

1

 

4

 

16

 

0

 

0

 

2,434

 

15

Asset-Backed Securities

 

8,532

 

0

 

(4,094)

 

0

 

(722)

 

351

 

0

 

0

 

4,067

 

(509)

Common Stocks

 

Communication Services

 

1

 

0

 

0

 

0

 

0

 

0

 

0

 

0

 

1

 

0

 

Financials

 

0

 

356

 

0

 

0

 

0

 

0

 

0

 

0

 

356

 

0

 

Industrials

 

191

 

1,307

 

0

 

0

 

0

 

2,008

 

0

 

0

 

3,506

 

2,008

 

Real Estate

 

1,251

 

0

 

0

 

0

 

0

 

(75)

 

0

 

(1176)

 

0

 

0

Warrants

 

Communication Services

 

0

 

0

 

0

 

0

 

0

 

0

 

775

 

0

 

775

 

0

 

Information Technology

 

0

 

2,252

 

0

 

0

 

0

 

2,716

 

0

 

0

 

4,968

 

2,716

Preferred Securities

 

Industrials

 

7,496

 

251

 

0

 

0

 

0

 

1,614

 

0

 

0

 

9,361

 

1,614

Totals

$

28,275

$

13,114

$

(9,362)

$

18

$

(4,667)

$

9,700

$

1,588

$

(4,889)

$

33,777

$

5,868


The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:

 

(% Unless Noted Otherwise)

 

Category and Subcategory

Ending
Balance
at 10/31/2020

Valuation Technique

Unobservable Inputs

 

Input Value(s)

Weighted Average

Investments in Securities, at Value

Loan Participations and Assignments

$

4,600

Market Based Approach

Recovery Value

 

100.000

—

 

 

813

Other Valuation Techniques(2)

—

 

—

—

 

 

18

Proxy Pricing

Base Price

 

99.701

—

 

 

2,878

Third Party Vendor

Broker Quote

 

80.000 - 97.250

95.668

U.S. Government Agencies

 

2,434

Proxy Pricing

Base Price

 

61.250

—

Asset-Backed Securities

 

4,067

Proxy Pricing

Base Price

 

8,270.000 - 110,000.000

56,822.839

Common Stocks

 

Communication Services

 

1

Other Valuation Techniques(2)

—

 

—

—

 

Financials

 

356

Other Valuation Techniques(2)

—

 

—

—

 

Industrials

 

3,315

Market Based Approach

Discount Rate

 

12.500

—

 

 

 

191

Other Valuation Techniques(2)

—

 

—

—

Warrants

 

Communication Services

 

775

Other Valuation Techniques(2)

—

 

—

—

 

Information Technology

 

4,968

Fundamental Valuation

Company Equity Value

$

1,826,400.000

—

Preferred Securities

 

Industrials

 

9,361

Fundamental Valuation

Company Equity Value

$

709,404,767.000

—

Total

$

33,777

(1)

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

(2)

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

 

Notes to Financial Statements 

 

1. INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS

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

On each day that the New York Stock Exchange (“NYSE”) is open, Fund shares are ordinarily valued as of the close of regular trading (normally 4:00 p.m., Eastern time) (“NYSE Close”). Information that becomes known to the Fund or its agents after the time as of which NAV has been calculated on a particular day will not generally be used to retroactively adjust the price of a security or the NAV determined earlier that day. If regular trading on the NYSE closes earlier than scheduled, the Fund reserves the right to either (i) calculate its NAV as of the earlier closing time or (ii) calculate its NAV as of the normally scheduled close of regular trading on the NYSE for that day. The Fund generally does not calculate its NAV on days during which the NYSE is closed. However, if the NYSE is closed on a day it would normally be open for business, the Fund reserves the right to calculate its NAV as of the normally scheduled close of regular trading on the NYSE for that day or such other time that the Fund may determine.

 

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

 

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

 

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

 

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

 

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

 

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

 

 

Notes to Financial Statements (Cont.)

 

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

 

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

 

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

 

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

 

Assets or liabilities categorized as Level 2 or 3 as of period end have been transferred between Levels 2 and 3 since the prior period due to changes in the method utilized in valuing the investments. Transfers from Level 2 to Level 3 are a result of a change, in the normal course of business, from the use of methods used by Pricing Services (Level 2) to the use of a Broker Quote or valuation technique which utilizes significant unobservable inputs due to an absence of current or reliable market-based data (Level 3). Transfers from Level 3 to Level 2 are a result of the availability of current and reliable market-based data provided by Pricing Services or other valuation techniques which utilize significant observable inputs. In accordance with the requirements of U.S. GAAP, the amounts of transfers into and out of Level 3, if material, are disclosed in the Notes to Schedule of Investments for the Fund.

 

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

 

(c) Valuation Techniques and the Fair Value Hierarchy

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

 

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

 

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

 

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

 

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

 

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

 

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

 

Centrally cleared swaps and over the counter swaps derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. They are valued using a broker-dealer bid quotation or on market-based prices provided by Pricing Services (normally determined as of the NYSE Close). Centrally cleared swaps and over the counter swaps can be valued by Pricing Services using a series of techniques, including simulation pricing models. The pricing models may use inputs that are

 

Notes to Financial Statements (Cont.)

 

observed from actively quoted markets such as the overnight index swap rate, London Interbank Offered Rate forward rate, interest rates, yield curves and credit spreads. These securities are categorized as Level 2 of the fair value hierarchy.

 

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

 

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 indicative market quotation directly from the broker-dealer or passed-through broker quote 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.

 

Fundamental analysis valuation estimates fair value by using an internal model that utilizes financial statements of the non-public underlying 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.

 

Market based valuation estimates fair value by projecting the company's market value, which may include unobservable inputs such as estimated recovery on assets. Significant changes in the unobservable inputs would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.

 

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

 

2. FEDERAL INCOME TAX MATTERS

The Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code (the “Code”) and distribute all of its taxable income and net realized gains, if applicable, to shareholders. Accordingly, no provision for Federal income taxes has been made.

 

The Fund may be subject to local withholding taxes, including those imposed on realized capital gains. Any applicable foreign capital gains tax is accrued daily based upon net unrealized gains, and may be payable following the sale of any applicable investments.

 

In accordance with U.S. GAAP, the Manager has reviewed the Fund's tax positions for all open tax years. As of October 31, 2020, the Fund has recorded no liability for net unrecognized tax benefits relating to uncertain income tax positions it has taken or expects to take in future tax returns.

 

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

    

 

 

Glossary: (abbreviations that may be used in the preceding statements)       (Unaudited)
                     
Counterparty Abbreviations:                
BCY   Barclays Capital, Inc.   FICC   Fixed Income Clearing Corporation    NOM   Nomura Securities International Inc.
BOA   Bank of America N.A.   GST   Goldman Sachs International   SAL   Citigroup Global Markets, Inc.
BPS   BNP Paribas S.A.   HUS   HSBC Bank USA N.A.   SCX   Standard Chartered Bank, London
BRC   Barclays Bank PLC   JML   JP Morgan Securities Plc   SOG   Societe Generale Paris
BYR   The Bank of Nova Scotia - Toronto   JPM   JP Morgan Chase Bank N.A.   TDM   TD Securities (USA) LLC
CBK   Citibank N.A.   JPS   J.P. Morgan Securities LLC   TOR   The Toronto-Dominion Bank
CDC   Natixis Securities Americas LLC   MBC   HSBC Bank Plc   UAG   UBS AG Stamford
CIW   CIBC World Markets Corp.   MYI   Morgan Stanley & Co. International PLC   UBS   UBS Securities LLC
DEU   Deutsche Bank Securities, Inc.                
                     
Currency Abbreviations:                
ARS   Argentine Peso   GBP   British Pound   RUB   Russian Ruble
AUD   Australian Dollar   MXN   Mexican Peso   USD (or $)   United States Dollar
EUR   Euro   PEN   Peruvian New Sol        
                     
Index/Spread Abbreviations:                
BADLARPP   Argentina Badlar Floating Rate Notes   PRIME   Daily US Prime Rate   SONIO   Sterling Overnight Interbank Average Rate
EUR003M   3 Month EUR Swap Rate   SOFR   Secured Overnight Financing Rate   US0003M   3 Month USD Swap Rate
LIBOR03M   3 Month USD-LIBOR                
                     
Other  Abbreviations:                
ABS   Asset-Backed Security   CDO   Collateralized Debt Obligation   OIS   Overnight Index Swap
ALT   Alternate Loan Trust   CLO   Collateralized Loan Obligation   PIK   Payment-in-Kind
BABs   Build America Bonds   DAC   Designated Activity Company   TBA   To-Be-Announced
BBR   Bank Bill Rate   EURIBOR   Euro Interbank Offered Rate   TBD   To-Be-Determined
BBSW   Bank Bill Swap Reference Rate   LIBOR   London Interbank Offered Rate   TBD%   Interest rate to be determined when loan settles or at the time of funding