N-CSRS 1 d841362dncsrs.htm N-CSRS

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

Investment Company Act file number: 811-07816

PCM Fund, Inc.

(Exact name of registrant as specified in charter)

1633 Broadway, New York, NY 10019

(Address of principal executive offices)

Bradley Todd

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, 2019

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

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

Item 1. | Reports to Shareholders.

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

PIMCO CLOSED-END FUNDS

Semiannual Report

December 31, 2019

PCM Fund, Inc. | PCM | NYSE

PIMCO Global StocksPLUS® & Income Fund | PGP | NYSE

PIMCO Income Opportunity Fund | PKO | NYSE

PIMCO Strategic Income Fund, Inc. | RCS | NYSE

PIMCO Dynamic Credit and Mortgage Income Fund | PCI | NYSE

PIMCO Dynamic Income Fund | PDI | NYSE

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the Fund or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on the Fund’s website, pimco.com/literature, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically by visiting pimco.com/edelivery or by contacting your financial intermediary, such as a broker-dealer or bank.

You may elect to receive all future reports in paper free of charge. If you own these shares through a financial intermediary, such as a broker-dealer or bank, you may contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. If you invest directly with the Fund, you can inform the Fund that you wish to continue receiving paper copies of your shareholder reports by calling 844.337.4626. Your election to receive reports in paper will apply to all funds held with the fund complex if you invest directly with the Fund or to all funds held in your account if you invest through a financial intermediary, such as a broker-dealer or bank.

Table of Contents

|  |  |  |  | Page |
Letter from the Chair of the Board & President |  |  |  |  |  |  | 2 |
Important Information About the Funds |  |  |  |  |  |  | 4 |
Financial Highlights |  |  |  |  |  |  | 18 |
Statements of Assets and Liabilities |  |  |  |  |  |  | 22 |
Consolidated Statements of Assets and Liabilities |  |  |  |  |  |  | 23 |
Statements of Operations |  |  |  |  |  |  | 24 |
Consolidated Statements of Operations |  |  |  |  |  |  | 25 |
Statements of Changes in Net Assets |  |  |  |  |  |  | 26 |
Consolidated Statements of Changes in Net Assets |  |  |  |  |  |  | 28 |
Statements of Cash Flows |  |  |  |  |  |  | 29 |
Consolidated Statements of Cash Flows |  |  |  |  |  |  | 30 |
Notes to Financial Statements |  |  |  |  |  |  | 111 |
Glossary |  |  |  |  |  |  | 135 |
Changes to Boards of Trustees |  |  |  |  |  |  | 136 |
Fund |  | Fund Summary |  |  | Schedule of Investments |
PCM Fund, Inc. |  |  | 11 |  |  |  | 31 |
PIMCO Global StocksPLUS® & Income Fund |  |  | 12 |  |  |  | 41 |
PIMCO Income Opportunity Fund |  |  | 13 |  |  |  | 54 |
PIMCO Strategic Income Fund, Inc. |  |  | 14 |  |  |  | 68 |
PIMCO Dynamic Credit and Mortgage Income Fund(1) |  |  | 15 |  |  |  | 80 |
PIMCO Dynamic Income Fund(1) |  |  | 16 |  |  |  | 97 |

| (1) | Consolidated Schedule of Investments

Letter from the Chair of the Board & President

Dear Shareholder,

Following this letter is the PIMCO Closed-End Funds Semiannual Report, which covers the six-month reporting period ended December 31, 2019. On the subsequent pages, you will find specific details regarding investment results and discussion of the factors that most affected performance during the reporting period.

For the six-month reporting period ended December 31, 2019

The U.S. economy continued to expand during the reporting period. U.S. gross domestic product (“GDP”) grew at an annual pace of 3.1% and 2.0% during the first and second quarters of 2019, respectively. For the third quarter of 2019, GDP growth rose to an annual pace of 2.1%. Finally, the Commerce Department’s initial reading for fourth quarter 2019 GDP, released after the reporting period ended, showed that the U.S. economy grew at a 2.1% annual pace.

After raising rates four times in 2018, the Federal Reserve (the “Fed”) reversed course and had a “dovish pivot.” Following the Fed’s meeting that concluded on July 31, 2019, the Fed lowered the federal funds rate by 0.25% to a range between 2.00% and 2.25%. This represented the Fed’s first rate cut since 2008. At the Fed’s meeting that ended on September 18, 2019, the Fed again reduced the federal funds rate by 0.25% to a range between 1.75% and 2.00%. Finally, at the Fed’s meeting that concluded on October 30, 2019, the Fed lowered the federal funds rate to a range between 1.50% and 1.75%.

Economic activity outside the U.S. continued to expand, but the pace of expansion generally moderated. According to the International Monetary Fund’s (“IMF”) January 2020 World Economic Outlook Update, released after the reporting period ended, global growth is projected to have been 2.9% in 2019, versus 3.6% in 2018. From a regional perspective, the IMF expects the U.S. economy to expand 2.3% in 2019, compared to 2.9% in the prior calendar year. Elsewhere, the IMF anticipates that 2019 GDP growth in the eurozone, U.K. and Japan will be 1.2%, 1.3% and 1.0%, respectively. For comparison purposes, these economies expanded 1.9%, 1.3% and 0.3%, respectively, in 2018.

Against this backdrop, in September 2019, the European Central Bank (the “ECB”) cut its deposit rate from -0.4% to -0.5% — a record low — and restarted bond purchases of €20 billion a month in November 2019. Elsewhere, the Bank of Japan largely maintained its highly accommodative monetary policies. The Bank of England kept rates on hold, although there was speculation that it may reduce rates given the uncertainties related to Brexit. However, in December 2019, Prime Minister Boris Johnson won the general election, likely paving the way for a faster Brexit resolution.

The U.S. Treasury yield curve steepened as two-year Treasury rates declined more than their 10-year counterparts. In our view, falling rates were partially due to signs of moderating global growth, the Fed’s dovish pivot and periods of investor risk aversion. The yield on the benchmark 10-year U.S. Treasury note was 1.92% at the end of the reporting period, versus 2.00% on June 30, 2019. The Bloomberg Barclays Global Treasury Index (USD Hedged), which tracks fixed-rate, local-currency government debt of investment grade countries, including both developed and emerging markets, returned 1.64%. Meanwhile, the Bloomberg Barclays Global Aggregate Credit Index (USD Hedged), a widely used index of global investment grade bonds, returned 3.35%. Riskier fixed income asset classes, including high yield corporate bonds and emerging market debt, also generated positive results. The ICE BofAML Developed Markets High Yield Constrained Index (USD Hedged), a widely used index of below investment grade bonds, returned 4.07%, whereas emerging market external debt, as represented by the JPMorgan Emerging Markets Bond Index (EMBI) Global (USD Hedged), returned 3.45%. Emerging market local bonds, as represented by the JPMorgan Government Bond Index-Emerging Markets Global Diversified Index (Unhedged), returned 4.37%.

Global equities produced positive results and, despite periods of volatility, U.S. equities rose sharply. We believe the increase in U.S. equities was driven by a number of factors, including corporate profits that often exceeded lowered expectations, a more accommodative Fed, and the “Phase 1” trade agreement between the U.S. and China. All told,

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U.S. equities, as represented by the S&P 500 Index, returned 10.92%. Emerging market equities, as measured by the MSCI Emerging Markets Index, returned 7.09%, whereas global equities, as represented by the MSCI World Index, returned 9.14%. Meanwhile, Japanese equities, as represented by the Nikkei 225 Index (in JPY), returned 12.26% and European equities, as represented by the MSCI Europe Index (in EUR), returned 8.43%.

Commodity prices fluctuated and were mixed during the reporting period. When the reporting period began, Brent crude oil was approximately $67 a barrel. While the price gyrated, it ended the period at roughly $66 a barrel. Elsewhere, copper and gold prices moved higher.

Finally, there were periods of volatility in the foreign exchange markets, due in part, in our view, to signs of moderating global growth, trade conflicts, and changing central bank monetary policies, along with a number of geopolitical events. The U.S. dollar strengthened against a number of other major currencies. For example, the U.S. dollar returned 1.41% and 0.70% versus the euro and the Japanese yen, respectively. However, the U.S. dollar fell 4.42% versus the British pound.

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

Sincerely,

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

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

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Important Information About the Funds

We believe that bond funds have an important role to play in a well-diversified investment portfolio. It is important to note, however, that in an environment where interest rates may trend upward, rising rates would negatively impact the performance of most bond funds, and fixed-income securities and other instruments held by a Fund are likely to decrease in value. A wide variety of factors can cause interest rates

or yield 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). 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 movement in interest rates.

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

Bond funds and individual bonds with a longer duration (a measure used to determine the sensitivity of a security’s price to changes in interest rates) tend to be more sensitive to changes in interest rates, usually making them more volatile than securities or funds with shorter durations. In addition, in the current low interest rate environment, the market price of the Funds’ common shares may be particularly sensitive to changes in interest rates or the perception that there will be a change in interest rates. All of the factors mentioned above, individually or collectively, could lead to increased volatility and/or lower liquidity in the fixed income markets or negatively impact a Fund’s performance or cause a Fund to incur losses.

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

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

PIMCO Global StocksPLUS® & Income Fund’s (“PGP”) monthly distributions are expected to include, among other possible sources, interest income from its debt portfolio and payments and premiums (characterized as capital for financial accounting purposes and as ordinary income for tax purposes) generated by certain types of interest rate derivatives.

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

PGP and other Funds may also 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 for the principal purpose of generating distributable gains (characterized as ordinary income for tax purposes) and that are not part of the Fund’s duration or yield curve management strategies (“paired swap transactions”). In a paired swap transaction, a Fund would generally enter into one or more interest rate swap agreements whereby the 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”). The 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, the Fund would make regular payments equal to a fixed interest rate in return for receiving payments equal to a

4 |  | PIMCO CLOSED-END FUNDS |  |  |  |  |  |

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 the use of derivatives, to, among other things, seek to generate current, distributable income, even if such strategies could potentially result in declines in the Fund’s NAV. A Fund’s income and gain-generating strategies, including certain derivatives strategies, may generate current income and gains taxable as ordinary income sufficient to support monthly distributions even in situations when the Fund has experienced a decline in net assets due to, for example, adverse changes in the broad U.S. or non-U.S. equity markets or the Fund’s debt investments, or arising from its use of derivatives. For instance, a significant portion of PGP’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 the 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 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.

PGP’s index option strategy, to the extent utilized, seeks to generate payments and premiums from writing options that may offset some or all of the capital losses incurred as a result of paired swaps transactions. However, the Fund may use paired swap transactions to support monthly distributions where the index option strategy does not produce an equivalent amount of offsetting gains, including without limitation when such strategy is not being used to a significant extent.

In addition, gains (if any) generated from the index option strategy may be offset by the Fund’s realized capital losses, including any available capital loss carryforwards. PGP currently has significant capital loss carryforwards, some of which will expire at particular dates, and to the extent that the Fund’s capital losses exceed capital gains, the Fund cannot use its capital loss carryforwards to offset capital gains.

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

A Fund’s use of leverage creates the opportunity for increased income for the Fund’s common shareholders, but also creates special risks. Leverage is a speculative technique that may expose a Fund to greater risk and increased costs. If shorter-term interest rates rise relative to the rate of return on a Fund’s portfolio, the interest and other costs of leverage to the Fund could exceed the rate of return on the debt obligations and other investments held by the Fund, thereby reducing return to the Fund’s common shareholders. In addition, fees and expenses of any form of leverage used by a Fund will be borne entirely by its common shareholders (and not by preferred shareholders, if any) and will reduce the investment return of the Fund’s common shares. Moreover, to make payments of interest and other loan costs, a Fund may be forced to sell portfolio securities when it is not otherwise advantageous to do so. In addition, because the fees received by PIMCO are based on the total managed assets or the daily NAV of a Fund (including any assets attributable to certain types of leverage outstanding), as applicable, PIMCO has a financial incentive for the Funds to use certain forms of leverage, which may create a conflict of interest between PIMCO, on the one hand, and the Funds’ common shareholders, on the other hand.

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

A Fund’s investments in and exposure to foreign securities involve special risks. For example, the value of these investments may decline in response to unfavorable political and legal developments, unreliable or untimely information or economic and financial instability. Foreign securities may experience more rapid and extreme changes in value than investments in securities of U.S. issuers. The securities markets of certain foreign countries are relatively small, with a limited number of companies representing a small number of industries. Issuers of foreign securities are usually not subject to the same degree of regulation as U.S. issuers.

Reporting, accounting, auditing and custody standards of foreign countries differ, in some cases significantly, from U.S. standards. Also, nationalization, expropriation or other confiscation, currency blockage,

|  | SEMIANNUAL REPORT |  | DECEMBER 31, 2019 |  | 5

Important Information About the Funds (Cont.)

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

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

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

The United States presidential administration’s enforcement of tariffs on goods from other countries, with a focus on China, has contributed to international trade tensions and may impact portfolio securities.

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

The Funds may invest in certain instruments that rely in some fashion upon the London Interbank Offered Rate (“LIBOR”). LIBOR is an average interest rate, determined by the ICE Benchmark Administration, that banks charge one another for the use of short-term money. The United Kingdom’s Financial Conduct Authority, which regulates LIBOR, has announced plans to phase out the use of LIBOR by the end of 2021. The transition may result in a reduction in the value of certain instruments held by a Fund or a reduction in the effectiveness of related Fund transactions such as hedges. There remains uncertainty regarding

future utilization of LIBOR and the nature of any replacement rate (e.g., the Secured Overnight Financing Rate, which is intended to replace U.S. dollar LIBOR and measures the cost of overnight borrowings through repurchase agreement transactions collateralized with U.S. Treasury securities), and any potential effects of the transition away from LIBOR on a Fund or on certain instruments in which a Fund invests are not known and could result in losses to a Fund.

Under the direction of the Federal Housing Finance Agency, the Federal National Mortgage Association (“FNMA”) and the Federal Home Loan Mortgage Corporation (“FHLMC”) have entered into a joint initiative to develop a common securitization platform for the issuance of a uniform mortgage-backed security (the “Single Security Initiative”) that aligns the characteristics of FNMA and FHLMC certificates. The Single Security Initiative was implemented on June 3, 2019, and the effects it may have on the market for mortgage-backed securities are uncertain.

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

Loans, and debt instruments collateralized by loans, acquired by certain Funds 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.

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Certain Funds may invest, either directly or indirectly through its wholly-owned and controlled subsidiaries, in shares, certificates, notes or other securities issued by a special purpose entity (“SPE”) sponsored by an alternative lending platform or its affiliates (the “Sponsor”) that represent the right to receive principal and interest payments due on pools of whole loans or fractions of whole loans, which may (but may not) be issued by the Sponsor, held by the SPE (“Alt Lending ABS”). Any such Alt Lending ABS may be backed by consumer, residential or other loans. When acquiring and/or originating loans, or purchasing Alt Lending ABS, certain Funds are not restricted by any particular borrower credit criteria. Accordingly, certain loans acquired or originated by these Funds or underlying any Alt Lending ABS purchased by the Fund may be subprime in quality, or may become subprime in quality.

Mortgage-related and other asset-backed instruments represent interests in “pools” of mortgages or other assets such as consumer loans or receivables held in trust and often involve risks that are different from or possibly more acute than risks associated with other types of debt instruments. Generally, rising interest rates tend to extend the duration of fixed rate mortgage-related assets, making them more sensitive to changes in interest rates. As a result, in a period of rising interest rates, if a Fund holds mortgage-related securities, it may exhibit additional volatility since individual mortgage holders are less likely to exercise prepayment options, thereby putting additional downward pressure on the value of these securities and potentially causing the Fund to lose money. The Funds’ investments in other asset-backed instruments are subject to risks similar to those associated with mortgage-related assets, as well as additional risks associated with the nature of the assets and the servicing of those assets. Payment of principal and interest on asset-backed securities may be largely dependent upon the cash flows generated by the assets backing the securities, and asset-backed securities may not have the benefit of any security interest in the related assets. Additionally, investments in subordinate mortgage-backed and other asset-backed instruments will be subject to risks arising from delinquencies and foreclosures, thereby exposing a Fund’s investment portfolio to potential losses. Subordinate securities of mortgage-backed and other asset-backed instruments are also subject to greater credit risk than those mortgage-backed or other asset-backed securities that are more highly rated.

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

greater degree of risk than investments in other tranches of a mortgage-related or other asset-backed instruments.

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

High-yield bonds (commonly referred to as “junk bonds”) typically have a lower credit rating than other bonds. Lower-rated bonds generally involve a greater risk to principal than higher-rated bonds. Further, markets for lower-rated bonds are typically less liquid than for higher-rated bonds, and public information is usually less abundant in markets for lower-rated bonds. Thus, high yield investments increase the chance that a Fund will lose money. PIMCO does not rely solely on credit ratings, and develops its own analysis of issuer credit quality. A Fund may purchase unrated securities (which are not rated by a rating agency) if PIMCO determines that the security is of comparable quality to a rated security that a Fund may purchase. Unrated securities may be less liquid than comparable rated securities and involve the risk that PIMCO may not accurately evaluate the security’s comparative credit quality, which could result in a Fund’s portfolio having a higher level of credit and/or high yield risk than PIMCO has estimated or desires for the Fund, and could negatively impact the Fund’s performance and/or returns. Certain Funds may invest a substantial portion of their assets in unrated securities and therefore may be particularly subject to the associated risks. To the extent that a Fund invests in high yield and/or unrated securities, the Fund’s success in achieving its investment objectives may depend more heavily on the portfolio manager’s creditworthiness analysis than if the Fund invested exclusively in higher-quality and rated securities. The Funds may hold defaulted securities that may involve special considerations including bankruptcy proceedings, other regulatory and legal restrictions affecting the Funds’ ability to trade, and the availability of prices from independent pricing services or dealer quotations. Defaulted obligations might be repaid only after lengthy workout or bankruptcy proceedings, during which the issuer might not make any interest or other payments. Defaulted securities are often illiquid and may not be actively traded. Sales of securities in bankrupt companies at an acceptable price may be difficult and differences compared to the value of the securities used by the Funds could be material. The credit quality of a particular security or group of securities does not ensure the stability or safety of the overall portfolio.

|  | SEMIANNUAL REPORT |  | DECEMBER 31, 2019 |  | 7

Important Information About the Funds (Cont.)

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

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

Certain Funds may make investments in debt instruments and other securities or instruments directly or through one or more direct or indirect fully-owned subsidiaries formed by the Fund (each, a “Subsidiary”). A Subsidiary may invest, for example, in whole loans or in shares, certificates, notes or other securities representing the right to receive principal and interest payments due on fractions of whole loans or pools of whole loans, or any other security or other instrument that the parent Fund may hold directly. References herein to a Fund include references to a Subsidiary in respect of the Fund’s investment exposure. The allocation of a Fund’s portfolio in a Subsidiary will vary over time and might not always include all of the different types of investments described herein. By investing through its Subsidiaries, a Fund is exposed to the risks associated with the Subsidiaries’ investments. The Subsidiaries are not registered as investment companies under the

Investment Company Act of 1940, as amended, and the rules and regulations thereunder (the “Act”) and are not subject to all of the investor protections of the Act, although each Subsidiary is managed pursuant to the compliance policies and procedures of the Fund applicable to it. Changes in the laws of the United States and/or the jurisdiction in which a Subsidiary is organized could result in the inability of certain Funds and/or their Subsidiaries to operate as described in this report and could adversely affect the Funds.

Certain Funds may acquire residential mortgage loans and unsecured consumer loans through a Subsidiary. Subsidiaries directly holding a beneficial interest in loans will be formed as domestic common law or statutory trusts with a federally chartered bank serving as trustee. Each such Subsidiary will hold the beneficial interests of loans and the federally chartered bank acting as trustee will hold legal title to the loans for the benefit of the Subsidiary and/or the trust’s beneficial owners (i.e., a Fund or its Subsidiary). State licensing laws typically exempt federally chartered banks from their licensing requirements, and federally chartered banks may also benefit from federal preemption of state laws, including any licensing requirements. The use of common law or statutory trusts with a federally chartered bank serving as trustee is intended to address any state licensing requirements that may be applicable to purchasers or holders of loans, including state licensing requirements related to foreclosure. The Funds believe that such Subsidiaries will not be treated as associations or publicly traded partnerships taxable as corporations for U.S. federal income tax purposes, and that therefore, the Subsidiaries will not be subject to U.S. federal income tax at the subsidiary level. Investments in residential mortgage loans or unsecured consumer loans through entities that are not so treated can potentially be limited by a Fund’s intention to qualify as a regulated investment company, and limit the Fund’s ability to qualify as such.

If a Fund or its Subsidiary is required to be licensed in any particular jurisdiction in order to acquire, hold, dispose or foreclose loans, obtaining the required license may not be viable (because, for example, it is not possible or practical) and the Fund or its Subsidiary may be unable to restructure its holdings to address the licensing requirement. In that case, a Fund or its Subsidiary may be forced to cease activities involving the affected loans, or may be forced to sell such loans. If a state regulator or court were to determine that a Fund or its Subsidiary acquired, held or foreclosed a loan without a required state license, the Fund or its Subsidiary could be subject to penalties or other sanctions, prohibited or restricted in its ability to enforce its rights under the loan, or subject to litigation risk or other losses or damages.

As the use of technology has become more prevalent in the course of business, the Funds have become potentially more susceptible to operational and information security risks resulting from breaches in

8 |  | PIMCO CLOSED-END FUNDS |  |  |  |  |  |

cyber security. A breach in cyber security refers to both intentional and unintentional cyber events that may, among other things, cause a Fund to lose proprietary information, suffer data corruption and/or destruction or lose operational capacity, result in the unauthorized release or other misuse of confidential information, or otherwise disrupt normal business operations.

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

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

The Funds may invest in securities and instruments that are economically tied to Russia. Investments in Russia are subject to various risks such as political, economic, legal, market and currency risks. The risks include uncertain political and economic policies, short-term market volatility, poor accounting standards, corruption and crime, an inadequate regulatory system, and unpredictable taxation. Investments in Russia are particularly subject to the risk that economic sanctions may be imposed by the United States and/or other countries. Such sanctions — which may impact companies in many sectors, including energy, financial services and defense, among others — may negatively impact the Funds’ performance and/or ability to achieve their investment objectives. The Russian securities market, as compared to U.S. markets, has significant price volatility, less liquidity, a smaller market capitalization and a smaller number of traded securities.

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 investment management 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.

The Funds may be subject to various risks, including, but not limited to, the following: asset allocation risk, credit risk, stressed securities risk, distressed and defaulted securities risk, corporate bond risk, contingent convertible securities risk, high yield risk, market risk, issuer risk, liquidity risk, equity securities and related market risk, mortgage-related and other asset-backed securities risk, extension risk, prepayment risk, privately issued mortgage-related securities risk, mortgage market, foreign (non-U.S.) investment risk, emerging markets risk, currency risk, redenomination risk, non-diversification risk, management risk, municipal bond risk, inflation-indexed security risk, senior debt risk, loans, participations and assignments risk, subprime risk, subprime loan risk, reinvestment risk, real estate risk, U.S. Government securities risk, foreign (non-U.S.) government securities risk, valuation risk, segregation and cover risk, focused investment risk, credit default swaps risk, event-linked securities risk, counterparty risk, preferred securities risk, confidential information access risk, other investment companies risk, private placements risk, inflation/deflation risk, risk of regulatory changes, regulatory risk — LIBOR, regulatory risk — commodity pool operator, tax risk, recent economic conditions risk, market disruption and geopolitical risk, potential conflicts of interest involving allocation of investment opportunities, repurchase agreements risk, securities lending risk, zero-coupon bond and payment-in-kind securities risk, portfolio turnover risk, smaller company risk, short sale risk, convertible securities risk, mortgage-related and other asset-backed securities risk, synthetic convertible securities risk, market discount risk, interest rate risk, call risk, loan origination risk, foreign loan originations risk, platform risk, leverage risk, derivatives risk, Rule 144A securities risk, subsidiary risk, structured investments risk, collateralized loan obligations risk, operational risk and cyber security risk. A description of certain of these risks is available in the Notes to Financial Statements of this report.

On each Fund Summary page in this Shareholder Report, the Average Annual Total Return table measures performance assuming that all 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,

|  | SEMIANNUAL REPORT |  | DECEMBER 31, 2019 |  | 9

Important Information About the Funds (Cont.)

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 following table discloses the commencement of operations and diversification status of each Fund:

Fund Name |  |  |  |  | Commencement of Operations |  |  | Diversification Status |
PCM Fund, Inc. |  |  |  |  |  |  | 09/02/93 |  |  |  | Diversified |
PIMCO Global StocksPLUS® & Income Fund |  |  |  |  |  |  | 05/31/05 |  |  |  | Diversified |
PIMCO Income Opportunity Fund |  |  |  |  |  |  | 11/30/07 |  |  |  | Diversified |
PIMCO Strategic Income Fund, Inc. |  |  |  |  |  |  | 02/24/94 |  |  |  | Diversified |
PIMCO Dynamic Credit and Mortgage Income Fund |  |  |  |  |  |  | 01/31/13 |  |  |  | Diversified |
PIMCO Dynamic Income Fund |  |  |  |  |  |  | 05/30/12 |  |  |  | Diversified |

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

The Trustees/Directors 1 are responsible generally for overseeing the management of the Funds. The Trustees authorize the Funds to enter into service agreements with the Manager 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 original or any subsequent 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 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 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 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. The Proxy Policy has been adopted by the Funds as the policies and procedures that PIMCO will use when voting proxies on behalf of the Funds. A description of the policies and procedures that PIMCO uses to vote proxies relating to portfolio securities of each Fund, and information about how each Fund voted proxies relating to portfolio securities held during the most recent twelve-month period ended 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 portfolio holdings information with the SEC on Form N-PORT within 60 days of the end of each fiscal quarter. The Funds’ complete schedules of securities holdings as of the end of each fiscal quarter will be made available to the public on the SEC’s website at www.sec.gov and on PIMCO’s website at www.pimco.com, and will be made available, upon request, by calling PIMCO at (844) 33-PIMCO. Prior to its use of Form N-PORT, each Fund filed its complete schedule of its portfolio holdings with the SEC on Form N-Q, which is available online at www.sec.gov.

The SEC adopted a rule that, beginning in 2021, generally will allow shareholder reports to be delivered to investors by providing access to such reports online free of charge and by mailing a notice that the report is electronically available. Pursuant to the rule, investors may still elect to receive a complete shareholder report in the mail. Instructions for electing to receive paper copies of a Fund’s shareholder reports going forward may be found on the front cover of this report.

The SEC has issued a proposed rule relating to a registered investment company’s use of derivatives and related instruments that, if adopted, could potentially require funds to reduce their use of leverage and/or observe more stringent asset coverage and related requirements than are currently imposed by the Act.

1 | Hereinafter, the terms “Trustee” or “Trustees” used herein shall refer to a Director or Directors of applicable Funds.

10 |  | PIMCO CLOSED-END FUNDS |  |  |  |  |  |

PCM Fund, Inc.

|  | Symbol on NYSE - PCM

Allocation Breakdown as of December 31, 2019†§

Asset-Backed Securities |  |  | 40.5% |
Non-Agency Mortgage-Backed Securities |  |  | 23.4% |
Corporate Bonds & Notes |  |  | 14.8% |
Loan Participations and Assignments |  |  | 10.6% |
Short-Term Instruments |  |  | 2.9% |
U.S. Government Agencies |  |  | 2.8% |
Preferred Securities |  |  | 1.7% |
Real Estate Investment Trusts |  |  | 1.4% |
Common Stocks |  |  | 1.0% |
Other |  |  | 0.9% |

| † | % of Investments, at value.

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

Fund Information (as of December 31, 2019)(1)

Market Price |  |  | $11.46 |
NAV |  |  | $10.03 |
Premium/(Discount) to NAV |  |  | 14.26% |
Market Price Distribution Rate(2) |  |  | 8.38% |
NAV Distribution Rate(2) |  |  | 9.57% |
Total Effective Leverage(3) |  |  | 41% |

Average Annual Total Return(1) for the period ended December 31, 2019 |
|  | 6 Month* |  |  | 1 Year |  |  | 5 Years |  |  | 10 Years |  |  | Commencement of Operations (09/02/93) |
Market Price |  |  | 5.85% |  |  |  | 23.51% |  |  |  | 12.53% |  |  |  | 15.00% |  |  |  | 9.28% |
NAV |  |  | 3.24% |  |  |  | 12.51% |  |  |  | 9.66% |  |  |  | 14.13% |  |  |  | 9.29% |

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

* | Cumulative return

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

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

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

Investment Objective and Strategy Overview

PCM Fund, Inc.’s primary investment objective is to achieve high current income. Capital gains from the disposition of investments are a secondary objective of the Fund.

Fund Insights at NAV

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

» |  | Exposure to U.S. non-Agency residential mortgage backed securities contributed to absolute performance as the asset class posted positive returns during the reporting period.

» |  | Exposure to high yield credit contributed to absolute performance as the asset class posted positive returns during the reporting period.

» |  | Exposure to specific special situations positions contributed to performance as select securities posted positive returns during the reporting period.

» |  | Interest rate hedges on the long end of the U.S. yield curve detracted from absolute performance as U.S. interest rates decreased during the reporting period.

|  | SEMIANNUAL REPORT |  | DECEMBER 31, 2019 |  | 11

PIMCO Global StocksPLUS® & Income Fund

|  | Symbol on NYSE - PGP

Allocation Breakdown as of December 31, 2019†§

U.S. Government Agencies |  |  | 24.5% |
Corporate Bonds & Notes |  |  | 23.0% |
Non-Agency Mortgage-Backed Securities |  |  | 15.0% |
Asset-Backed Securities |  |  | 9.4% |
Loan Participations and Assignments |  |  | 8.6% |
Short-Term Instruments |  |  | 7.3% |
Preferred Securities |  |  | 4.5% |
Sovereign Issues |  |  | 3.3% |
Real Estate Investment Trusts |  |  | 1.6% |
Municipal Bonds & Notes |  |  | 1.1% |
Other |  |  | 1.7% |

| † | % of Investments, at value.

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

Fund Information (as of December 31, 2019)(1)

Market Price |  |  | $11.96 |
NAV |  |  | $9.90 |
Premium/(Discount) to NAV |  |  | 20.81% |
Market Price Distribution Rate(2) |  |  | 9.43% |
NAV Distribution Rate(2) |  |  | 11.39% |
Total Effective Leverage(3) |  |  | 34% |

Average Annual Total Return(1) for the period ended December 31, 2019 |
|  | 6 Month* |  |  | 1 Year |  |  | 5 Years |  |  | 10 Years |  |  | Commencement of Operations (05/31/05) |
Market Price |  |  | 0.84% |  |  |  | 13.22% |  |  |  | 1.55% |  |  |  | 7.15% |  |  |  | 8.60% |
NAV |  |  | 6.22% |  |  |  | 26.53% |  |  |  | 11.64% |  |  |  | 16.27% |  |  |  | 12.18% |

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

* | Cumulative return

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

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

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

Investment Objective and Strategy Overview

PIMCO Global StocksPLUS® & Income Fund’s primary investment objective is to seek total return comprised of current income, current gains and long-term capital appreciation.

Fund Insights at NAV

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

» |  | The Fund’s exposure to equity index derivatives linked to the S&P 500 Index and MSCI EAFE Index contributed to absolute returns as the 50/50 mix index returned 9.02%.

» |  | Exposure to U.S. non-Agency residential mortgage-backed securities (“MBS”) contributed to absolute performance as the asset class posted positive returns during the reporting period.

» |  | Holdings of corporate credit and Agency MBS contributed to returns as the respective sectors posted positive returns.

» |  | A defensive options strategy involving written calls and purchased puts on the S&P 500 Index detracted from absolute performance, as the S&P 500 Index returned 10.92% during the period.

» |  | Exposure to Argentina debt detracted from returns as Argentine debt posted negative returns during the reporting period.

» |  | Holdings of select asset-backed securities detracted from returns as these securities posted negative performance.

12 |  | PIMCO CLOSED-END FUNDS |  |  |  |  |  |

PIMCO Income Opportunity Fund

|  | Symbol on NYSE - PKO

Allocation Breakdown as of December 31, 2019†§

Corporate Bonds & Notes |  |  | 34.1% |
Non-Agency Mortgage-Backed Securities |  |  | 18.4% |
Asset-Backed Securities |  |  | 17.6% |
Loan Participations and Assignments |  |  | 14.9% |
Preferred Securities |  |  | 4.1% |
Sovereign Issues |  |  | 3.4% |
Short-Term Instruments |  |  | 2.8% |
Real Estate Investment Trusts |  |  | 1.3% |
U.S. Government Agencies |  |  | 1.3% |
Other |  |  | 2.1% |

| † | % of Investments, at value.

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

Fund Information (as of December 31, 2019)(1)

Market Price |  |  | $27.79 |
NAV |  |  | $24.24 |
Premium/(Discount) to NAV |  |  | 14.65% |
Market Price Distribution Rate(2) |  |  | 8.20% |
NAV Distribution Rate(2) |  |  | 9.41% |
Total Effective Leverage(3) |  |  | 35% |

Average Annual Total Return(1) for the period ended December 31, 2019 |
|  | 6 Month* |  |  | 1 Year |  |  | 5 Years |  |  | 10 Years |  |  | Commencement of Operations (11/30/07) |
Market Price |  |  | 7.76% |  |  |  | 20.35% |  |  |  | 13.40% |  |  |  | 14.30% |  |  |  | 12.69% |
NAV |  |  | 3.01% |  |  |  | 13.01% |  |  |  | 9.72% |  |  |  | 13.17% |  |  |  | 11.91% |

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

* | Cumulative return

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

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

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

Investment Objective and Strategy Overview

PIMCO Income Opportunity Fund’s investment objective is to seek current income as a primary focus and also capital appreciation.

Fund Insights at NAV

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

» |  | Exposure to corporate credit contributed to absolute performance as investment grade and high yield credit posted positive returns during the reporting period.

» |  | Exposure to bank capital contributed to absolute performance as the asset class posted positive returns during the reporting period.

» |  | Issuance of additional shares through at-the-money offerings at a premium to net asset value contributed to absolute performance.

» |  | Exposure to Argentinian debt detracted from absolute performance as it posted negative returns during the reporting period.

» |  | Interest rate hedges on the long end of the U.S. yield curve detracted from absolute performance as U.S. interest rates decreased during the reporting period.

|  | SEMIANNUAL REPORT |  | DECEMBER 31, 2019 |  | 13

PIMCO Strategic Income Fund, Inc.

|  | Symbol on NYSE - RCS

Allocation Breakdown as of December 31, 2019†§

U.S. Government Agencies |  |  | 61.8% |
Corporate Bonds & Notes |  |  | 13.0% |
Non-Agency Mortgage-Backed Securities |  |  | 8.8% |
Asset-Backed Securities |  |  | 6.3% |
Loan Participations and Assignments |  |  | 4.6% |
Short-Term Instruments |  |  | 2.1% |
Sovereign Issues |  |  | 1.6% |
Preferred Securities |  |  | 1.1% |
Other |  |  | 0.7% |

| † | % of Investments, at value.

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

Fund Information (as of December 31, 2019)(1)

Market Price |  |  | $9.09 |
NAV |  |  | $6.96 |
Premium/(Discount) to NAV |  |  | 30.60% |
Market Price Distribution Rate(2) |  |  | 8.08% |
NAV Distribution Rate(2) |  |  | 10.55% |
Total Effective Leverage(3) |  |  | 45% |

Average Annual Total Return(1) for the period ended December 31, 2019 |
|  | 6 Month* |  |  | 1 Year |  |  | 5 Years |  |  | 10 Years |  |  | Commencement of Operations (02/24/94) |
Market Price |  |  | (2.46)% |  |  |  | 2.04% |  |  |  | 9.49% |  |  |  | 10.11% |  |  |  | 8.91% |
NAV |  |  | 3.12% |  |  |  | 12.12% |  |  |  | 7.44% |  |  |  | 10.56% |  |  |  | 8.57% |

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

* | Cumulative return

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

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

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

Investment Objective and Strategy Overview

The primary investment objective of PIMCO Strategic Income Fund, Inc. is to generate a level of income that is higher than that generated by high quality, intermediate-term U.S. debt securities. The Fund also seeks capital appreciation to the extent consistent with this objective.

Fund Insights at NAV

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

» |  | Exposure to U.S. residential mortgage backed securities contributed to absolute performance as the asset class posted positive returns during the reporting period.

» |  | Exposure to corporate credit contributed to absolute performance as investment grade and high yield credit posted positive returns during the reporting period.

» |  | Exposure to bank capital contributed to absolute performance as the asset class posted positive returns during the reporting period.

» |  | Exposure to Argentinian debt detracted from absolute performance as Argentinian debt posted negative returns during the reporting period.

» |  | Interest rate exposure in the intermediate portion of the U.S. yield curve detracted from absolute performance as U.S. interest rates broadly increased in the second half of the reporting period.

14 |  | PIMCO CLOSED-END FUNDS |  |  |  |  |  |

PIMCO Dynamic Credit and Mortgage Income Fund

|  | Symbol on NYSE - PCI

Allocation Breakdown as of December 31, 2019†§

Asset-Backed Securities |  |  | 31.1% |
Corporate Bonds & Notes |  |  | 22.6% |
Non-Agency Mortgage-Backed Securities |  |  | 22.6% |
Loan Participations and Assignments |  |  | 10.0% |
Short-Term Instruments |  |  | 2.9% |
Sovereign Issues |  |  | 2.6% |
Preferred Securities |  |  | 2.5% |
U.S. Government Agencies |  |  | 2.4% |
Real Estate Investment Trusts |  |  | 1.1% |
Common Stocks |  |  | 1.0% |
Other |  |  | 1.2% |

| † | % of Investments, at value.

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

Fund Information (as of December 31, 2019)(1)

Market Price |  |  | $25.20 |
NAV |  |  | $22.87 |
Premium/(Discount) to NAV |  |  | 10.19% |
Market Price Distribution Rate(2) |  |  | 8.29% |
NAV Distribution Rate(2) |  |  | 9.13% |
Total Effective Leverage(3) |  |  | 45% |

Average Annual Total Return(1) for the period ended December 31, 2019 |
|  | 6 Month* |  |  | 1 Year |  |  | 5 Years |  |  | Commencement of Operations (01/31/13) |
Market Price |  |  | 12.31% |  |  |  | 32.97% |  |  |  | 15.87% |  |  |  | 11.20% |
NAV |  |  | 3.51% |  |  |  | 13.73% |  |  |  | 10.88% |  |  |  | 9.90% |

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

* | Cumulative return

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

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

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

Investment Objective and Strategy Overview

PIMCO Dynamic Credit and Mortgage Income Fund’s primary investment objective is to seek current income and capital appreciation as a secondary objective.

Fund Insights at NAV

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

» |  | Exposure to U.S. non-Agency residential mortgage backed securities contributed to absolute performance as the asset class posted positive returns during the reporting period.

» |  | Exposure to corporate credit contributed to absolute performance as investment grade and high yield credit posted positive returns during the reporting period.

» |  | Exposure to bank capital contributed to absolute performance as the asset class posted positive returns during the reporting period.

» |  | Exposure to Argentinian debt detracted from absolute performance as Argentinian debt posted negative returns during the reporting period.

» |  | Interest rate hedges on the long end of the U.S. yield curve detracted from absolute performance as U.S. interest rates decreased during the reporting period.

» |  | Currency hedges on the British pound detracted from absolute performance as the British pound strengthened versus the U.S. dollar during the reporting period.

|  | SEMIANNUAL REPORT |  | DECEMBER 31, 2019 |  | 15

PIMCO Dynamic Income Fund

|  | Symbol on NYSE - PDI

Allocation Breakdown as of December 31, 2019†§

Non-Agency Mortgage-Backed Securities |  |  | 33.7% |
Asset-Backed Securities |  |  | 22.4% |
Corporate Bonds & Notes |  |  | 19.6% |
Loan Participations and Assignments |  |  | 11.3% |
Short-Term Instruments |  |  | 3.6% |
Sovereign Issues |  |  | 2.8% |
U.S. Government Agencies |  |  | 2.6% |
Preferred Securities |  |  | 1.4% |
Common Stocks |  |  | 1.1% |
Other |  |  | 1.5% |

| † | % of Investments, at value.

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

Fund Information (as of December 31, 2019)(1)

Market Price |  |  | $32.44 |
NAV |  |  | $27.13 |
Premium/(Discount) to NAV |  |  | 19.57% |
Market Price Distribution Rate(2) |  |  | 8.16% |
NAV Distribution Rate(2) |  |  | 9.75% |
Total Effective Leverage(3) |  |  | 41% |

Average Annual Total Return(1) for the period ended December 31, 2019 |
|  | 6 Month* |  |  | 1 Year |  |  | 5 Years |  |  | Commencement of Operations (05/30/12) |
Market Price |  |  | 6.72% |  |  |  | 22.80% |  |  |  | 14.58% |  |  |  | 16.96% |
NAV |  |  | 2.21% |  |  |  | 11.25% |  |  |  | 10.80% |  |  |  | 15.30% |

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

* | Cumulative return

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

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

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

Investment Objective and Strategy Overview

PIMCO Dynamic Income Fund’s primary investment objective is to seek current income and capital appreciation as a secondary objective.

Fund Insights at NAV

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

» |  | Exposure to U.S. non-Agency residential mortgage backed securities contributed to absolute performance as the asset class posted positive returns during the reporting period.

» |  | Exposure to corporate credit contributed to absolute performance as investment grade and high yield credit posted positive returns during the reporting period.

» |  | Exposure to bank capital contributed to absolute performance as the asset class posted positive returns during the reporting period.

» |  | Interest rate hedges on the long end of the U.S. yield curve detracted from absolute performance as U.S. interest rates decreased during the reporting period.

» |  | Exposure to Argentinian debt detracted from absolute performance as Argentinian debt posted negative returns during the reporting period.

16 |  | PIMCO CLOSED-END FUNDS |  |  |  |  |  |

(THIS PAGE INTENTIONALLY LEFT BLANK)

|  | SEMIANNUAL REPORT |  | DECEMBER 31, 2019 |  | 17

Financial Highlights

|  |  |  |  | Investment Operations |  |  | Less Distributions(c) |
Selected Per Share Data for the Year or Period Ended^: |  | Net Asset Value Beginning of Year or Period(a) |  |  | Net Investment Income (Loss)(b) |  |  | Net Realized/ Unrealized Gain (Loss) |  |  | Total |  |  | From Net Investment Income |  |  | From Net Realized Capital Gains |  |  | Tax Basis Return of Capital |  |  | Total |
PCM Fund, Inc. |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
07/01/2019 - 12/31/2019+ |  | $ | 10.19 |  |  | $ | 0.41 |  |  | $ | (0.08 | ) |  | $ | 0.33 |  |  | $ | (0.48 | ) |  | $ | 0.00 |  |  | $ | 0.00 |  |  | $ | (0.48 | )
06/30/2019 |  |  | 10.23 |  |  |  | 0.69 |  |  |  | 0.23 |  |  |  | 0.92 |  |  |  | (0.96 | ) |  |  | 0.00 |  |  |  | 0.00 |  |  |  | (0.96 | )
06/30/2018 |  |  | 10.15 |  |  |  | 0.88 |  |  |  | 0.18 |  |  |  | 1.06 |  |  |  | (0.98 | ) |  |  | 0.00 |  |  |  | 0.00 |  |  |  | (0.98 | )
06/30/2017 |  |  | 9.71 |  |  |  | 0.98 |  |  |  | 0.92 |  |  |  | 1.90 |  |  |  | (1.46 | ) |  |  | 0.00 |  |  |  | 0.00 |  |  |  | (1.46 | )
06/30/2016 |  |  | 10.68 |  |  |  | 1.22 |  |  |  | (1.23 | ) |  |  | (0.01 | ) |  |  | (0.96 | ) |  |  | 0.00 |  |  |  | 0.00 |  |  |  | (0.96 | )
01/01/2015 - 06/30/2015(f) |  |  | 10.72 |  |  |  | 0.44 |  |  |  | 0.00 |  |  |  | 0.44 |  |  |  | (0.48 | ) |  |  | 0.00 |  |  |  | 0.00 |  |  |  | (0.48 | )(j)
12/31/2014 |  |  | 11.17 |  |  |  | 0.94 |  |  |  | (0.34 | ) |  |  | 0.60 |  |  |  | (1.05 | ) |  |  | 0.00 |  |  |  | 0.00 |  |  |  | (1.05 | )
PIMCO Global StocksPLUS® & Income Fund |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
07/01/2019 - 12/31/2019+ |  | $ | 9.89 |  |  | $ | 0.64 |  |  | $ | (0.07 | ) |  | $ | 0.57 |  |  | $ | (0.56 | ) |  | $ | 0.00 |  |  | $ | 0.00 |  |  | $ | (0.56 | )
06/30/2019 |  |  | 10.50 |  |  |  | 1.11 |  |  |  | (0.34 | ) |  |  | 0.77 |  |  |  | (1.20 | ) |  |  | 0.00 |  |  |  | (0.18 | ) |  |  | (1.38 | )
06/30/2018 |  |  | 11.18 |  |  |  | 1.09 |  |  |  | (0.16 | ) |  |  | 0.93 |  |  |  | (1.43 | ) |  |  | 0.00 |  |  |  | (0.18 | ) |  |  | (1.61 | )
06/30/2017 |  |  | 9.76 |  |  |  | 1.15 |  |  |  | 2.14 |  |  |  | 3.29 |  |  |  | (1.67 | ) |  |  | 0.00 |  |  |  | (0.20 | ) |  |  | (1.87 | )
06/30/2016 |  |  | 12.88 |  |  |  | 1.15 |  |  |  | (2.07 | ) |  |  | (0.92 | ) |  |  | (2.02 | ) |  |  | 0.00 |  |  |  | (0.18 | ) |  |  | (2.20 | )
04/01/2015 - 06/30/2015(g) |  |  | 12.82 |  |  |  | 0.34 |  |  |  | 0.27 |  |  |  | 0.61 |  |  |  | (0.55 | ) |  |  | 0.00 |  |  |  | 0.00 |  |  |  | (0.55 | )(j)
03/31/2015 |  |  | 14.72 |  |  |  | 1.15 |  |  |  | (0.85 | ) |  |  | 0.30 |  |  |  | (2.20 | ) |  |  | 0.00 |  |  |  | 0.00 |  |  |  | (2.20 | )
PIMCO Income Opportunity Fund |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
07/01/2019 - 12/31/2019+ |  | $ | 24.83 |  |  | $ | 1.23 |  |  | $ | (0.73 | ) |  | $ | 0.50 |  |  | $ | (1.14 | ) |  | $ | (0.16 | ) |  | $ | 0.00 |  |  | $ | (1.30 | )
06/30/2019 |  |  | 25.06 |  |  |  | 1.99 |  |  |  | 0.28 |  |  |  | 2.27 |  |  |  | (2.65 | ) |  |  | 0.00 |  |  |  | 0.00 |  |  |  | (2.65 | )
06/30/2018 |  |  | 25.17 |  |  |  | 2.18 |  |  |  | (0.01 | ) |  |  | 2.17 |  |  |  | (2.28 | ) |  |  | 0.00 |  |  |  | 0.00 |  |  |  | (2.28 | )
06/30/2017 |  |  | 22.59 |  |  |  | 2.28 |  |  |  | 2.92 |  |  |  | 5.20 |  |  |  | (2.56 | ) |  |  | 0.00 |  |  |  | (0.06 | ) |  |  | (2.62 | )
06/30/2016 |  |  | 25.94 |  |  |  | 2.33 |  |  |  | (2.89 | ) |  |  | (0.56 | ) |  |  | (2.28 | ) |  |  | (0.51 | ) |  |  | 0.00 |  |  |  | (2.79 | )
11/01/2014 - 06/30/2015(h) |  |  | 28.38 |  |  |  | 1.54 |  |  |  | (0.86 | ) |  |  | 0.68 |  |  |  | (2.34 | ) |  |  | (0.77 | ) |  |  | (0.01 | ) |  |  | (3.12 | )(j)
10/31/2014 |  |  | 28.67 |  |  |  | 2.71 |  |  |  | (0.12 | ) |  |  | 2.59 |  |  |  | (2.88 | ) |  |  | 0.00 |  |  |  | 0.00 |  |  |  | (2.88 | )
PIMCO Strategic Income Fund, Inc. |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
07/01/2019 - 12/31/2019+ |  | $ | 7.12 |  |  | $ | 0.42 |  |  | $ | (0.21 | ) |  | $ | 0.21 |  |  | $ | (0.37 | ) |  | $ | 0.00 |  |  | $ | 0.00 |  |  | $ | (0.37 | )
06/30/2019 |  |  | 7.32 |  |  |  | 0.60 |  |  |  | 0.03 |  |  |  | 0.63 |  |  |  | (0.61 | ) |  |  | 0.00 |  |  |  | (0.22 | ) |  |  | (0.83 | )
06/30/2018(k) |  |  | 7.75 |  |  |  | 0.77 |  |  |  | (0.34 | ) |  |  | 0.43 |  |  |  | (0.86 | ) |  |  | 0.00 |  |  |  | 0.00 |  |  |  | (0.86 | )
06/30/2017(k) |  |  | 7.89 |  |  |  | 0.70 |  |  |  | 0.08 |  |  |  | 0.78 |  |  |  | (0.80 | ) |  |  | 0.00 |  |  |  | (0.12 | ) |  |  | (0.92 | )
06/30/2016(k) |  |  | 8.58 |  |  |  | 0.76 |  |  |  | (0.45 | ) |  |  | 0.31 |  |  |  | (1.00 | ) |  |  | 0.00 |  |  |  | 0.00 |  |  |  | (1.00 | )
02/01/2015 - 06/30/2015(i)(k) |  |  | 8.57 |  |  |  | 0.30 |  |  |  | 0.11 |  |  |  | 0.41 |  |  |  | (0.40 | ) |  |  | 0.00 |  |  |  | 0.00 |  |  |  | (0.40 | )(j)
01/31/2015(k) |  |  | 9.24 |  |  |  | 0.90 |  |  |  | (0.55 | ) |  |  | 0.35 |  |  |  | (1.02 | ) |  |  | 0.00 |  |  |  | 0.00 |  |  |  | (1.02 | )
PIMCO Dynamic Credit and Mortgage Income Fund (Consolidated) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
07/01/2019 - 12/31/2019+ |  | $ | 23.58 |  |  | $ | 1.14 |  |  | $ | (0.37 | ) |  | $ | 0.77 |  |  | $ | (1.49 | ) |  | $ | 0.00 |  |  | $ | 0.00 |  |  | $ | (1.49 | )
06/30/2019 |  |  | 23.74 |  |  |  | 1.88 |  |  |  | 0.28 |  |  |  | 2.16 |  |  |  | (2.32 | ) |  |  | 0.00 |  |  |  | 0.00 |  |  |  | (2.32 | )
06/30/2018 |  |  | 22.91 |  |  |  | 1.95 |  |  |  | 0.85 |  |  |  | 2.80 |  |  |  | (1.97 | ) |  |  | 0.00 |  |  |  | 0.00 |  |  |  | (1.97 | )
06/30/2017 |  |  | 20.43 |  |  |  | 1.62 |  |  |  | 3.46 |  |  |  | 5.08 |  |  |  | (2.60 | ) |  |  | 0.00 |  |  |  | 0.00 |  |  |  | (2.60 | )
06/30/2016 |  |  | 23.00 |  |  |  | 2.01 |  |  |  | (2.40 | ) |  |  | (0.39 | ) |  |  | (2.18 | ) |  |  | 0.00 |  |  |  | 0.00 |  |  |  | (2.18 | )
01/01/2015 - 06/30/2015(f) |  |  | 22.83 |  |  |  | 0.76 |  |  |  | 0.35 |  |  |  | 1.11 |  |  |  | (0.94 | ) |  |  | 0.00 |  |  |  | 0.00 |  |  |  | (0.94 | )(j)
12/31/2014 |  |  | 24.04 |  |  |  | 1.79 |  |  |  | (0.53 | ) |  |  | 1.26 |  |  |  | (2.47 | ) |  |  | 0.00 |  |  |  | 0.00 |  |  |  | (2.47 | )

18 |  | PIMCO CLOSED-END FUNDS |  |  |  |  | See Accompanying Notes |

|  |  |  |  |  | Common Share |  |  | Ratios/Supplemental Data |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Ratios to Average Net Assets |  |  |  |
Increase resulting from at-the-market offering |  |  | Offering Cost Charged to Paid in Capital |  |  | Net Asset Value End of Year or Period(a) |  |  | Market Price End of Year or Period |  |  | Total Investment Return(a)(d) |  |  | Net Assets Applicable to Common Shareholders End of Year or Period (000s) |  |  | Expenses(e) |  |  | Expenses Excluding Waivers(e) |  |  | Expenses Excluding Interest Expense |  |  | Expenses Excluding Interest Expense and Waivers |  |  | Net Investment Income (Loss) |  |  | Portfolio Turnover Rate |
$ | N/A |  |  | $ | N/A |  |  | $ | 10.04 |  |  | $ | 11.46 |  |  |  | 5.85 | % |  | $ | 116,538 |  |  |  | 3.34 | %* |  |  | 3.34 | %* |  |  | 1.47 | %* |  |  | 1.47 | %* |  |  | 8.14 | %* |  |  | 3 | %
| N/A |  |  |  | N/A |  |  |  | 10.19 |  |  |  | 11.32 |  |  |  | 8.26 |  |  |  | 118,181 |  |  |  | 3.35 |  |  |  | 3.35 |  |  |  | 1.41 |  |  |  | 1.41 |  |  |  | 6.89 |  |  |  | 8 |
| N/A |  |  |  | N/A |  |  |  | 10.23 |  |  |  | 11.45 |  |  |  | 11.48 |  |  |  | 118,512 |  |  |  | 3.06 |  |  |  | 3.06 |  |  |  | 1.43 |  |  |  | 1.43 |  |  |  | 8.55 |  |  |  | 9 |
| N/A |  |  |  | N/A |  |  |  | 10.15 |  |  |  | 11.23 |  |  |  | 33.80 |  |  |  | 117,402 |  |  |  | 3.05 |  |  |  | 3.05 |  |  |  | 1.54 |  |  |  | 1.54 |  |  |  | 9.81 |  |  |  | 13 |
| N/A |  |  |  | N/A |  |  |  | 9.71 |  |  |  | 9.72 |  |  |  | 6.91 |  |  |  | 112,099 |  |  |  | 2.69 |  |  |  | 2.69 |  |  |  | 1.58 |  |  |  | 1.58 |  |  |  | 12.25 |  |  |  | 12 |
| N/A |  |  |  | N/A |  |  |  | 10.68 |  |  |  | 10.05 |  |  |  | (1.28 | ) |  |  | 123,235 |  |  |  | 2.26 | * |  |  | 2.26 | * |  |  | 1.54 | * |  |  | 1.54 | * |  |  | 8.32 | * |  |  | 20 |
| N/A |  |  |  | N/A |  |  |  | 10.72 |  |  |  | 10.65 |  |  |  | 0.34 |  |  |  | 123,633 |  |  |  | 1.89 |  |  |  | 1.89 |  |  |  | 1.40 |  |  |  | 1.40 |  |  |  | 8.38 |  |  |  | 11 |
$ | N/A |  |  | $ | N/A |  |  | $ | 9.90 |  |  | $ | 11.96 |  |  |  | 0.84 | % |  | $ | 108,157 |  |  |  | 3.02 | %* |  |  | 3.02 | %* |  |  | 1.69 | %* |  |  | 1.69 | %* |  |  | 13.24 | %* |  |  | 155 | %
| N/A |  |  |  | N/A |  |  |  | 9.89 |  |  |  | 12.47 |  |  |  | (7.41 | ) |  |  | 107,562 |  |  |  | 2.64 |  |  |  | 2.64 |  |  |  | 1.53 |  |  |  | 1.53 |  |  |  | 11.37 |  |  |  | 381 |
| N/A |  |  |  | N/A |  |  |  | 10.50 |  |  |  | 14.98 |  |  |  | (8.96 | ) |  |  | 113,204 |  |  |  | 2.36 |  |  |  | 2.36 |  |  |  | 1.48 |  |  |  | 1.48 |  |  |  | 9.84 |  |  |  | 63 |
| N/A |  |  |  | N/A |  |  |  | 11.18 |  |  |  | 18.40 |  |  |  | 5.06 |  |  |  | 119,538 |  |  |  | 3.20 |  |  |  | 3.20 |  |  |  | 1.88 |  |  |  | 1.88 |  |  |  | 11.09 |  |  |  | 25 |
| N/A |  |  |  | N/A |  |  |  | 9.76 |  |  |  | 19.53 |  |  |  | 31.38 |  |  |  | 103,627 |  |  |  | 2.75 |  |  |  | 2.75 |  |  |  | 1.82 |  |  |  | 1.82 |  |  |  | 10.56 |  |  |  | 26 |
| N/A |  |  |  | N/A |  |  |  | 12.88 |  |  |  | 16.92 |  |  |  | (21.82 | ) |  |  | 135,468 |  |  |  | 2.34 | * |  |  | 2.34 | * |  |  | 1.72 | * |  |  | 1.72 | * |  |  | 10.35 | * |  |  | 3 |
| N/A |  |  |  | N/A |  |  |  | 12.82 |  |  |  | 22.27 |  |  |  | 4.05 |  |  |  | 134,594 |  |  |  | 2.30 |  |  |  | 2.30 |  |  |  | 1.78 |  |  |  | 1.78 |  |  |  | 8.29 |  |  |  | 92 |
$ | 0.21 |  |  | $ | 0.01 |  |  | $ | 24.25 |  |  | $ | 27.79 |  |  |  | 7.76 | % |  | $ | 435,636 |  |  |  | 2.78 | %* |  |  | 2.78 | %* |  |  | 1.57 | %* |  |  | 1.57 | %* |  |  | 10.05 | %* |  |  | 9 | %
| 0.15 |  |  |  | (0.00 | ) |  |  | 24.83 |  |  |  | 27.11 |  |  |  | 10.30 |  |  |  | 410,077 |  |  |  | 2.92 |  |  |  | 2.92 |  |  |  | 1.55 |  |  |  | 1.55 |  |  |  | 8.13 |  |  |  | 18 |
| N/A |  |  |  | N/A |  |  |  | 25.06 |  |  |  | 27.31 |  |  |  | 11.13 |  |  |  | 379,378 |  |  |  | 2.99 |  |  |  | 2.99 |  |  |  | 1.64 |  |  |  | 1.64 |  |  |  | 8.58 |  |  |  | 17 |
| N/A |  |  |  | N/A |  |  |  | 25.17 |  |  |  | 26.85 |  |  |  | 30.30 |  |  |  | 378,706 |  |  |  | 2.94 |  |  |  | 2.94 |  |  |  | 1.72 |  |  |  | 1.72 |  |  |  | 9.57 |  |  |  | 28 |
| N/A |  |  |  | N/A |  |  |  | 22.59 |  |  |  | 23.00 |  |  |  | 7.87 |  |  |  | 338,292 |  |  |  | 2.63 |  |  |  | 2.63 |  |  |  | 1.73 |  |  |  | 1.73 |  |  |  | 9.99 |  |  |  | 16 |
| N/A |  |  |  | N/A |  |  |  | 25.94 |  |  |  | 24.20 |  |  |  | 0.22 |  |  |  | 388,353 |  |  |  | 2.43 | * |  |  | 2.43 | * |  |  | 1.79 | * |  |  | 1.79 | * |  |  | 8.93 | * |  |  | 14 |
| N/A |  |  |  | N/A |  |  |  | 28.38 |  |  |  | 27.26 |  |  |  | 4.39 |  |  |  | 424,632 |  |  |  | 2.01 |  |  |  | 2.01 |  |  |  | 1.65 |  |  |  | 1.65 |  |  |  | 9.44 |  |  |  | 175 |
$ | N/A |  |  | $ | N/A |  |  | $ | 6.96 |  |  | $ | 9.09 |  |  |  | (2.46 | )% |  | $ | 303,763 |  |  |  | 2.98 | %* |  |  | 2.98 | %* |  |  | 0.97 | %* |  |  | 0.97 | %* |  |  | 12.05 | %* |  |  | 346 | %
| N/A |  |  |  | N/A |  |  |  | 7.12 |  |  |  | 9.71 |  |  |  | 9.57 |  |  |  | 309,287 |  |  |  | 3.20 |  |  |  | 3.20 |  |  |  | 0.97 |  |  |  | 0.97 |  |  |  | 8.52 |  |  |  | 655 |
| N/A |  |  |  | N/A |  |  |  | 7.32 |  |  |  | 9.68 |  |  |  | 4.59 |  |  |  | 314,540 |  |  |  | 1.85 |  |  |  | 1.85 |  |  |  | 0.97 |  |  |  | 0.97 |  |  |  | 10.12 |  |  |  | 5 |
| N/A |  |  |  | N/A |  |  |  | 7.75 |  |  |  | 10.19 |  |  |  | 17.12 |  |  |  | 329,673 |  |  |  | 1.52 |  |  |  | 1.52 |  |  |  | 0.97 |  |  |  | 0.97 |  |  |  | 8.94 |  |  |  | 8 |
| N/A |  |  |  | N/A |  |  |  | 7.89 |  |  |  | 9.61 |  |  |  | 24.14 |  |  |  | 332,051 |  |  |  | 1.27 |  |  |  | 1.27 |  |  |  | 0.96 |  |  |  | 0.96 |  |  |  | 9.43 |  |  |  | 39 |
| N/A |  |  |  | N/A |  |  |  | 8.58 |  |  |  | 8.69 |  |  |  | (5.81 | ) |  |  | 357,692 |  |  |  | 1.16 | * |  |  | 1.16 | * |  |  | 0.96 | * |  |  | 0.96 | * |  |  | 8.58 | * |  |  | 17 |
| N/A |  |  |  | N/A |  |  |  | 8.57 |  |  |  | 9.65 |  |  |  | 5.92 |  |  |  | 355,942 |  |  |  | 1.18 |  |  |  | 1.18 |  |  |  | 0.98 |  |  |  | 0.98 |  |  |  | 10.01 |  |  |  | 90 |
$ | 0.02 |  |  | $ | 0.00 |  |  | $ | 22.88 |  |  | $ | 25.20 |  |  |  | 12.31 | % |  | $ | 3,201,520 |  |  |  | 4.33 | %* |  |  | 4.33 | %* |  |  | 2.13 | %* |  |  | 2.13 | %* |  |  | 9.84 | %* |  |  | 9 | %
| N/A |  |  |  | N/A |  |  |  | 23.58 |  |  |  | 23.89 |  |  |  | 12.21 |  |  |  | 3,244,970 |  |  |  | 4.63 |  |  |  | 4.63 |  |  |  | 2.11 |  |  |  | 2.11 |  |  |  | 8.11 |  |  |  | 13 |
| N/A |  |  |  | N/A |  |  |  | 23.74 |  |  |  | 23.57 |  |  |  | 15.03 |  |  |  | 3,257,195 |  |  |  | 4.20 |  |  |  | 4.20 |  |  |  | 2.10 |  |  |  | 2.10 |  |  |  | 8.30 |  |  |  | 22 |
| N/A |  |  |  | N/A |  |  |  | 22.91 |  |  |  | 22.32 |  |  |  | 32.10 |  |  |  | 3,144,154 |  |  |  | 3.80 |  |  |  | 3.80 |  |  |  | 2.09 |  |  |  | 2.09 |  |  |  | 7.41 |  |  |  | 32 |
| N/A |  |  |  | N/A |  |  |  | 20.43 |  |  |  | 19.13 |  |  |  | 6.69 |  |  |  | 2,804,003 |  |  |  | 3.20 |  |  |  | 3.20 |  |  |  | 2.03 |  |  |  | 2.03 |  |  |  | 9.63 |  |  |  | 26 |
| N/A |  |  |  | N/A |  |  |  | 23.00 |  |  |  | 20.18 |  |  |  | 2.23 |  |  |  | 3,155,689 |  |  |  | 2.63 | * |  |  | 2.63 | * |  |  | 1.97 | * |  |  | 1.97 | * |  |  | 6.71 | * |  |  | 31 |
| N/A |  |  |  | (0.00 | ) |  |  | 22.83 |  |  |  | 20.65 |  |  |  | 2.68 |  |  |  | 3,132,146 |  |  |  | 2.36 |  |  |  | 2.36 |  |  |  | 1.91 |  |  |  | 1.91 |  |  |  | 7.29 |  |  |  | 35 |

|  | SEMIANNUAL REPORT |  | DECEMBER 31, 2019 |  | 19

Financial Highlights (Cont.)

|  |  |  |  | Investment Operations |  |  | Less Distributions(c) |
Selected Per Share Data for the Year or Period Ended^: |  | Net Asset Value Beginning of Year or Period(a) |  |  | Net Investment Income (Loss)(b) |  |  | Net Realized/ Unrealized Gain (Loss) |  |  | Total |  |  | From Net Investment Income |  |  | From Net Realized Capital Gains |  |  | Tax Basis Return of Capital |  |  | Total |
PIMCO Dynamic Income Fund (Consolidated) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
07/01/2019 - 12/31/2019+ |  | $ | 28.29 |  |  | $ | 1.70 |  |  | $ | (1.20 | ) |  | $ | 0.50 |  |  | $ | (1.74 | ) |  | $ | 0.00 |  |  | $ | 0.00 |  |  | $ | (1.74 | )
06/30/2019 |  |  | 28.98 |  |  |  | 2.73 |  |  |  | (0.37 | ) |  |  | 2.36 |  |  |  | (3.15 | ) |  |  | 0.00 |  |  |  | 0.00 |  |  |  | (3.15 | )
06/30/2018 |  |  | 28.32 |  |  |  | 2.95 |  |  |  | 0.18 |  |  |  | 3.13 |  |  |  | (2.65 | ) |  |  | 0.00 |  |  |  | 0.00 |  |  |  | (2.65 | )
06/30/2017 |  |  | 26.56 |  |  |  | 2.60 |  |  |  | 3.18 |  |  |  | 5.78 |  |  |  | (4.10 | ) |  |  | 0.00 |  |  |  | 0.00 |  |  |  | (4.10 | )
06/30/2016 |  |  | 31.38 |  |  |  | 3.87 |  |  |  | (3.45 | ) |  |  | 0.42 |  |  |  | (4.25 | ) |  |  | (0.99 | ) |  |  | 0.00 |  |  |  | (5.24 | )
04/01/2015 - 06/30/2015(g) |  |  | 30.74 |  |  |  | 0.80 |  |  |  | 0.47 |  |  |  | 1.27 |  |  |  | (0.63 | ) |  |  | 0.00 |  |  |  | 0.00 |  |  |  | (0.63 | )(j)
03/31/2015 |  |  | 32.11 |  |  |  | 3.25 |  |  |  | (0.49 | ) |  |  | 2.76 |  |  |  | (4.13 | ) |  |  | 0.00 |  |  |  | 0.00 |  |  |  | (4.13 | )

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

+ | Unaudited

* | Annualized

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

(b) | Per share amounts based on average number of shares outstanding during the year or period.

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

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

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

(f) | Fiscal year end changed from December 31st to June 30th.

(g) | Fiscal year end changed from March 31st to June 30th.

(h) | Fiscal year end changed from October 31st to June 30th.

(i) | Fiscal year end changed from January 31st to June 30th.

(j) | Total distributions for the period ended June 30, 2015 may be lower than prior fiscal years due to fiscal year end changes resulting in a reduction of the amount of days in the period ended June 30, 2015.

(k) | See Note 2, Distributions — Common Shares, in the Notes to Financial Statements for more information regarding certain prior year values.

20 |  | PIMCO CLOSED-END FUNDS |  |  |  |  | See Accompanying Notes |

|  |  |  |  |  | Common Share |  |  | Ratios/Supplemental Data |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Ratios to Average Net Assets |  |  |  |
Increase resulting from at-the-market offering |  |  | Offering Cost Charged to Paid in Capital |  |  | Net Asset Value End of Year or Period(a) |  |  | Market Price End of Year or Period |  |  | Total Investment Return(a)(d) |  |  | Net Assets Applicable to Common Shareholders End of Year or Period (000s) |  |  | Expenses(e) |  |  | Expenses Excluding Waivers(e) |  |  | Expenses Excluding Interest Expense |  |  | Expenses Excluding Interest Expense and Waivers |  |  | Net Investment Income (Loss) |  |  | Portfolio Turnover Rate |
$ | 0.08 |  |  | $ | 0.00 |  |  | $ | 27.13 |  |  | $ | 32.44 |  |  |  | 6.72 | % |  | $ | 1,569,897 |  |  |  | 3.81 | %* |  |  | 3.81 | %* |  |  | 1.95 | %* |  |  | 1.95 | %* |  |  | 12.32 | %* |  |  | 10 | %
| 0.10 |  |  |  | (0.00 | ) |  |  | 28.29 |  |  |  | 32.15 |  |  |  | 12.03 |  |  |  | 1,603,368 |  |  |  | 3.96 |  |  |  | 3.96 |  |  |  | 1.89 |  |  |  | 1.89 |  |  |  | 9.70 |  |  |  | 12 |
| 0.18 |  |  |  | (0.00 | ) |  |  | 28.98 |  |  |  | 31.87 |  |  |  | 15.54 |  |  |  | 1,575,523 |  |  |  | 4.07 |  |  |  | 4.07 |  |  |  | 2.01 |  |  |  | 2.01 |  |  |  | 10.26 |  |  |  | 9 |
| 0.08 |  |  |  | 0.00 |  |  |  | 28.32 |  |  |  | 30.18 |  |  |  | 27.07 |  |  |  | 1,372,674 |  |  |  | 4.08 |  |  |  | 4.08 |  |  |  | 2.14 |  |  |  | 2.14 |  |  |  | 9.58 |  |  |  | 20 |
| N/A |  |  |  | N/A |  |  |  | 26.56 |  |  |  | 27.57 |  |  |  | 13.75 |  |  |  | 1,222,499 |  |  |  | 3.60 |  |  |  | 3.60 |  |  |  | 2.12 |  |  |  | 2.12 |  |  |  | 13.67 |  |  |  | 13 |
| N/A |  |  |  | N/A |  |  |  | 31.38 |  |  |  | 29.21 |  |  |  | 2.87 |  |  |  | 1,426,891 |  |  |  | 2.83 | * |  |  | 2.83 | * |  |  | 2.01 | * |  |  | 2.01 | * |  |  | 10.23 | * |  |  | 5 |
| N/A |  |  |  | N/A |  |  |  | 30.74 |  |  |  | 29.00 |  |  |  | 9.04 |  |  |  | 1,397,987 |  |  |  | 3.12 |  |  |  | 3.12 |  |  |  | 2.12 |  |  |  | 2.12 |  |  |  | 9.98 |  |  |  | 10 |

|  | SEMIANNUAL REPORT |  | DECEMBER 31, 2019 |  | 21

Statements of Assets and Liabilities

December 31, 2019 (Unaudited)

(Amounts in thousands†, except per share amounts) |  | PCM Fund, Inc. |  |  | PIMCO Global StocksPLUS® & Income Fund |  |  | PIMCO Income Opportunity Fund |  |  | PIMCO Strategic Income Fund, Inc. |
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investments, at value |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investments in securities* |  | $ | 193,785 |  |  | $ | 193,471 |  |  | $ | 647,115 |  |  | $ | 999,058 |
Financial Derivative Instruments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Exchange-traded or centrally cleared |  |  | 84 |  |  |  | 577 |  |  |  | 506 |  |  |  | 1,680 |
Over the counter |  |  | 0 |  |  |  | 6,799 |  |  |  | 673 |  |  |  | 322 |
Cash |  |  | 12 |  |  |  | 223 |  |  |  | 264 |  |  |  | 0 |
Deposits with counterparty |  |  | 1,162 |  |  |  | 5,132 |  |  |  | 8,398 |  |  |  | 10,677 |
Foreign currency, at value |  |  | 0 |  |  |  | 526 |  |  |  | 1,047 |  |  |  | 2,514 |
Receivable for investments sold |  |  | 446 |  |  |  | 1,932 |  |  |  | 4,209 |  |  |  | 19,655 |
Receivable for TBA investments sold |  |  | 0 |  |  |  | 62,331 |  |  |  | 0 |  |  |  | 369,986 |
Receivable for Fund shares sold |  |  | 0 |  |  |  | 0 |  |  |  | 474 |  |  |  | 0 |
Interest and/or dividends receivable |  |  | 1,188 |  |  |  | 1,895 |  |  |  | 6,804 |  |  |  | 4,776 |
Other assets |  |  | 11 |  |  |  | 1 |  |  |  | 295 |  |  |  | 2 |
Total Assets |  |  | 196,688 |  |  |  | 272,887 |  |  |  | 669,785 |  |  |  | 1,408,670 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Borrowings & Other Financing Transactions |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Payable for reverse repurchase agreements |  | $ | 74,611 |  |  | $ | 50,113 |  |  | $ | 206,968 |  |  | $ | 252,093 |
Payable for short sales |  |  | 78 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |
Financial Derivative Instruments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Exchange-traded or centrally cleared |  |  | 74 |  |  |  | 1,036 |  |  |  | 356 |  |  |  | 1,001 |
Over the counter |  |  | 350 |  |  |  | 479 |  |  |  | 2,837 |  |  |  | 1,122 |
Payable for investments purchased |  |  | 1,114 |  |  |  | 3,477 |  |  |  | 11,661 |  |  |  | 5,852 |
Payable for unfunded loan commitments |  |  | 2,553 |  |  |  | 80 |  |  |  | 7,533 |  |  |  | 311 |
Payable for TBA investments purchased |  |  | 0 |  |  |  | 101,420 |  |  |  | 0 |  |  |  | 839,056 |
Deposits from counterparty |  |  | 291 |  |  |  | 6,949 |  |  |  | 796 |  |  |  | 2,431 |
Distributions payable to common shareholders |  |  | 929 |  |  |  | 1,027 |  |  |  | 3,395 |  |  |  | 2,672 |
Overdraft due to custodian |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 117 |
Accrued management fees |  |  | 146 |  |  |  | 145 |  |  |  | 562 |  |  |  | 242 |
Other liabilities |  |  | 4 |  |  |  | 4 |  |  |  | 41 |  |  |  | 10 |
Total Liabilities |  |  | 80,150 |  |  |  | 164,730 |  |  |  | 234,149 |  |  |  | 1,104,907 |
Net Assets Applicable to Common Shareholders |  | $ | 116,538 |  |  | $ | 108,157 |  |  | $ | 435,636 |  |  | $ | 303,763 |
Net Assets Applicable to Common Shareholders Consist of: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Par value^ |  | $ | 12 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |
Paid in capital in excess of par |  |  | 111,138 |  |  |  | 135,706 |  |  |  | 421,550 |  |  |  | 353,829 |
Distributable earnings (accumulated loss) |  |  | 5,388 |  |  |  | (27,549 | ) |  |  | 14,086 |  |  |  | (50,066 | )
Net Assets Applicable to Common Shareholders |  | $ | 116,538 |  |  | $ | 108,157 |  |  | $ | 435,636 |  |  | $ | 303,763 |
Common Shares Outstanding |  |  | 11,612 |  |  |  | 10,929 |  |  |  | 17,968 |  |  |  | 43,662 |
Net Asset Value Per Common Share(a) |  | $ | 10.04 |  |  | $ | 9.90 |  |  | $ | 24.25 |  |  | $ | 6.96 |
Cost of investments in securities |  | $ | 184,472 |  |  | $ | 197,343 |  |  | $ | 629,770 |  |  | $ | 995,565 |
Cost of foreign currency held |  | $ | 0 |  |  | $ | 520 |  |  | $ | 1,034 |  |  | $ | 2,506 |
Proceeds received on short sales |  | $ | 78 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |
Cost or premiums of financial derivative instruments, net |  | $ | 180 |  |  | $ | (1,239 | ) |  | $ | (5,425 | ) |  | $ | (2,675 | )
* Includes repurchase agreements of: |  | $ | 5,091 |  |  | $ | 13,488 |  |  | $ | 14,159 |  |  | $ | 15,994 |

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

^ | ($0.001 per share), ($0.00001 per share), ($0.00001 per share), ($0.00001 per share)

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

22 |  | PIMCO CLOSED-END FUNDS |  |  |  |  | See Accompanying Notes |

Consolidated Statements of Assets and Liabilities

December 31, 2019 (Unaudited)

(Amounts in thousands†, except per share amounts) |  | PIMCO Dynamic Credit and Mortgage Income Fund |  |  | PIMCO Dynamic Income Fund |
Assets: |  |  |  |  |  |  |  |
Investments, at value |  |  |  |  |  |  |  |
Investments in securities* |  | $ | 5,775,193 |  |  | $ | 2,604,426 |
Investments in Affiliates |  |  | 5,707 |  |  |  | 0 |
Financial Derivative Instruments |  |  |  |  |  |  |  |
Exchange-traded or centrally cleared |  |  | 4,894 |  |  |  | 2,757 |
Over the counter |  |  | 4,161 |  |  |  | 2,685 |
Cash |  |  | 2,542 |  |  |  | 3,364 |
Deposits with counterparty |  |  | 52,441 |  |  |  | 36,341 |
Foreign currency, at value |  |  | 4,510 |  |  |  | 5,173 |
Receivable for investments sold |  |  | 60,336 |  |  |  | 6,970 |
Receivable for Fund shares sold |  |  | 807 |  |  |  | 77 |
Interest and/or dividends receivable |  |  | 49,280 |  |  |  | 21,965 |
Other assets |  |  | 25 |  |  |  | 328 |
Total Assets |  |  | 5,959,896 |  |  |  | 2,684,086 |
Liabilities: |  |  |  |  |  |  |  |
Borrowings & Other Financing Transactions |  |  |  |  |  |  |  |
Payable for reverse repurchase agreements |  | $ | 2,606,090 |  |  | $ | 1,029,543 |
Financial Derivative Instruments |  |  |  |  |  |  |  |
Exchange-traded or centrally cleared |  |  | 2,699 |  |  |  | 1,570 |
Over the counter |  |  | 15,648 |  |  |  | 11,533 |
Payable for investments purchased |  |  | 82,224 |  |  |  | 42,250 |
Payable for investments purchased on a delayed-delivery basis |  |  | 0 |  |  |  | 634 |
Payable for unfunded loan commitments |  |  | 2,469 |  |  |  | 1,236 |
Deposits from counterparty |  |  | 19,226 |  |  |  | 12,135 |
Distributions payable to common shareholders |  |  | 24,340 |  |  |  | 12,706 |
Accrued management fees |  |  | 5,572 |  |  |  | 2,524 |
Other liabilities |  |  | 108 |  |  |  | 58 |
Total Liabilities |  |  | 2,758,376 |  |  |  | 1,114,189 |
Net Assets Applicable to Common Shareholders |  | $ | 3,201,520 |  |  | $ | 1,569,897 |
Net Assets Applicable to Common Shareholders Consist of: |  |  |  |  |  |  |  |
Par value^ |  | $ | 1 |  |  | $ | 1 |
Paid in capital in excess of par |  |  | 3,340,007 |  |  |  | 1,462,558 |
Distributable earnings (accumulated loss) |  |  | (138,488 | ) |  |  | 107,338 |
Net Assets Applicable to Common Shareholders |  | $ | 3,201,520 |  |  | $ | 1,569,897 |
Common Shares Outstanding |  |  | 139,912 |  |  |  | 57,871 |
Net Asset Value Per Common Share(a) |  | $ | 22.88 |  |  | $ | 27.13 |
Cost of investments in securities |  | $ | 5,639,840 |  |  | $ | 2,476,437 |
Cost of investments in Affiliates |  | $ | 7,639 |  |  | $ | 0 |
Cost of foreign currency held |  | $ | 4,418 |  |  | $ | 6,629 |
Cost or premiums of financial derivative instruments, net |  | $ | 15,175 |  |  | $ | (5,018 | )
* Includes repurchase agreements of: |  | $ | 126,734 |  |  | $ | 80,087 |

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

^ | ($0.00001 per share)

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

|  | SEMIANNUAL REPORT |  | DECEMBER 31, 2019 |  | 23

Statements of Operations

Six Months Ended December 31, 2019 (Unaudited) |  |  |  |  |  |  |  |  |  |  |  |
(Amounts in thousands†) |  | PCM Fund, Inc. |  |  | PIMCO Global StocksPLUS® & Income Fund |  |  | PIMCO Income Opportunity Fund |  |  | PIMCO Strategic Income Fund, Inc. |
Investment Income: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest, net of foreign taxes* |  | $ | 6,600 |  |  | $ | 8,282 |  |  | $ | 26,129 |  |  | $ | 22,449 |
Dividends |  |  | 179 |  |  |  | 238 |  |  |  | 855 |  |  |  | 272 |
Total Income |  |  | 6,779 |  |  |  | 8,520 |  |  |  | 26,984 |  |  |  | 22,721 |
Expenses: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Management fees |  |  | 861 |  |  |  | 878 |  |  |  | 3,281 |  |  |  | 1,444 |
Trustee fees and related expenses |  |  | 7 |  |  |  | 7 |  |  |  | 24 |  |  |  | 18 |
Interest expense |  |  | 1,105 |  |  |  | 698 |  |  |  | 2,542 |  |  |  | 3,041 |
Miscellaneous expense |  |  | 2 |  |  |  | 2 |  |  |  | 4 |  |  |  | 2 |
Total Expenses |  |  | 1,975 |  |  |  | 1,585 |  |  |  | 5,851 |  |  |  | 4,505 |
Net Investment Income (Loss) |  |  | 4,804 |  |  |  | 6,935 |  |  |  | 21,133 |  |  |  | 18,216 |
Net Realized Gain (Loss): |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investments in securities |  |  | 34 |  |  |  | 401 |  |  |  | 2,972 |  |  |  | 2,237 |
Exchange-traded or centrally cleared financial derivative instruments |  |  | (906 | ) |  |  | (2,694 | ) |  |  | (11,658 | ) |  |  | (14,828 | )
Over the counter financial derivative instruments |  |  | 86 |  |  |  | (1,255 | ) |  |  | 1,765 |  |  |  | 3,123 |
Short sales |  |  | 1 |  |  |  | 0 |  |  |  | 0 |  |  |  | (22 | )
Foreign currency |  |  | 0 |  |  |  | (127 | ) |  |  | (301 | ) |  |  | (183 | )
Net Realized Gain (Loss) |  |  | (785 | ) |  |  | (3,675 | ) |  |  | (7,222 | ) |  |  | (9,673 | )
Net Change in Unrealized Appreciation (Depreciation): |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investments in securities |  |  | (616 | ) |  |  | (4,064 | ) |  |  | (10,970 | ) |  |  | (9,985 | )
Exchange-traded or centrally cleared financial derivative instruments |  |  | 437 |  |  |  | 2,530 |  |  |  | 8,644 |  |  |  | 12,740 |
Over the counter financial derivative instruments |  |  | (60 | ) |  |  | 4,833 |  |  |  | (959 | ) |  |  | (1,648 | )
Foreign currency assets and liabilities |  |  | 0 |  |  |  | (371 | ) |  |  | (1,584 | ) |  |  | (1,138 | )
Net Change in Unrealized Appreciation (Depreciation) |  |  | (239 | ) |  |  | 2,928 |  |  |  | (4,869 | ) |  |  | (31 | )
Net Increase (Decrease) in Net Assets Resulting from Operations |  | $ | 3,780 |  |  | $ | 6,188 |  |  | $ | 9,042 |  |  | $ | 8,512 |
* Foreign tax withholdings |  | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 3 |

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

24 |  | PIMCO CLOSED-END FUNDS |  |  |  |  | See Accompanying Notes |

Consolidated Statements of Operations

Six Months Ended December 31, 2019 (Unaudited) |  |  |  |  |  |
(Amounts in thousands†) |  | PIMCO Dynamic Credit and Mortgage Income Fund |  |  | PIMCO Dynamic Income Fund |
Investment Income: |  |  |  |  |  |  |  |
Interest, net of foreign taxes* |  | $ | 220,069 |  |  | $ | 124,475 |
Dividends |  |  | 6,934 |  |  |  | 2,714 |
Total Income |  |  | 227,003 |  |  |  | 127,189 |
Expenses: |  |  |  |  |  |  |  |
Management fees |  |  | 33,925 |  |  |  | 15,314 |
Trustee fees and related expenses |  |  | 195 |  |  |  | 97 |
Interest expense |  |  | 35,220 |  |  |  | 14,671 |
Miscellaneous expense |  |  | 19 |  |  |  | 6 |
Total Expenses |  |  | 69,359 |  |  |  | 30,088 |
Net Investment Income (Loss) |  |  | 157,644 |  |  |  | 97,101 |
Net Realized Gain (Loss): |  |  |  |  |  |  |  |
Investments in securities |  |  | 32,933 |  |  |  | 21,087 |
Exchange-traded or centrally cleared financial derivative instruments |  |  | (62,980 | ) |  |  | (56,728 | )
Over the counter financial derivative instruments |  |  | 6,331 |  |  |  | 9,159 |
Foreign currency |  |  | (2,658 | ) |  |  | (710 | )
Net Realized Gain (Loss) |  |  | (26,374 | ) |  |  | (27,192 | )
Net Change in Unrealized Appreciation (Depreciation): |  |  |  |  |  |  |  |
Investments in securities |  |  | (37,817 | ) |  |  | (66,702 | )
Investments in Affiliates |  |  | (2,855 | ) |  |  | 0 |
Exchange-traded or centrally cleared financial derivative instruments |  |  | 40,458 |  |  |  | 39,078 |
Over the counter financial derivative instruments |  |  | (6,556 | ) |  |  | (5,922 | )
Foreign currency assets and liabilities |  |  | (17,636 | ) |  |  | (8,760 | )
Net Change in Unrealized Appreciation (Depreciation) |  |  | (24,406 | ) |  |  | (42,306 | )
Net Increase (Decrease) in Net Assets Resulting from Operations |  | $ | 106,864 |  |  | $ | 27,603 |
* Foreign tax withholdings |  | $ | 1 |  |  | $ | 0 |

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

|  | SEMIANNUAL REPORT |  | DECEMBER 31, 2019 |  | 25

Statements of Changes in Net Assets

|  | PCM Fund, Inc. |  |  | PIMCO Global StocksPLUS® & Income Fund |
(Amounts in thousands†) |  | Six Months Ended December 31, 2019 (Unaudited) |  |  | Year Ended June 30, 2019 |  |  | Six Months Ended December 31, 2019 (Unaudited) |  |  | Year Ended June 30, 2019 |
Increase (Decrease) in Net Assets from: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Operations: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net investment income (loss) |  | $ | 4,804 |  |  | $ | 7,998 |  |  | $ | 6,935 |  |  | $ | 12,052 |
Net realized gain (loss) |  |  | (785 | ) |  |  | 924 |  |  |  | (3,675 | ) |  |  | (2,142 | )
Net change in unrealized appreciation (depreciation) |  |  | (239 | ) |  |  | 1,682 |  |  |  | 2,928 |  |  |  | (1,921 | )
Net Increase (Decrease) in Net Assets Resulting from Operations |  |  | 3,780 |  |  |  | 10,604 |  |  |  | 6,188 |  |  |  | 7,989 |
Distributions to Common Shareholders: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
From net investment income and/or net realized capital gains |  |  | (5,571 | ) |  |  | (11,126 | ) |  |  | (6,148 | ) |  |  | (12,972 | )
Tax basis return of capital |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | (1,969 | )
Total Distributions to Common Shareholders(a) |  |  | (5,571 | ) |  |  | (11,126 | ) |  |  | (6,148 | ) |  |  | (14,941 | )
Common Share Transactions*: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net proceeds from at-the-market offering |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |
At-the-market offering costs |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |
Issued as reinvestment of distributions |  |  | 148 |  |  |  | 191 |  |  |  | 555 |  |  |  | 1,310 |
Net increase (decrease) resulting from common share transactions |  |  | 148 |  |  |  | 191 |  |  |  | 555 |  |  |  | 1,310 |
Total increase (decrease) in net assets applicable to common shareholders |  |  | (1,643 | ) |  |  | (331 | ) |  |  | 595 |  |  |  | (5,642 | )
Net Assets Applicable to Common Shareholders: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Beginning of period |  |  | 118,181 |  |  |  | 118,512 |  |  |  | 107,562 |  |  |  | 113,204 |
End of period |  | $ | 116,538 |  |  | $ | 118,181 |  |  | $ | 108,157 |  |  | $ | 107,562 |
* Common Share Transactions: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Shares sold |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |
Shares issued as reinvestment of distributions |  |  | 14 |  |  |  | 18 |  |  |  | 50 |  |  |  | 100 |
Net increase (decrease) in common shares outstanding |  |  | 14 |  |  |  | 18 |  |  |  | 50 |  |  |  | 100 |

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

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

26 |  | PIMCO CLOSED-END FUNDS |  |  |  |  | See Accompanying Notes |

PIMCO Income Opportunity Fund |  |  | PIMCO Strategic Income Fund, Inc. |
Six Months Ended December 31, 2019 (Unaudited) |  |  | Year Ended June 30, 2019 |  |  | Six Months Ended December 31, 2019 (Unaudited) |  |  | Year Ended June 30, 2019 |
$ | 21,133 |  |  | $ | 31,333 |  |  | $ | 18,216 |  |  | $ | 26,023 |
| (7,222 | ) |  |  | 14,169 |  |  |  | (9,673 | ) |  |  | (18,762 | )
| (4,869 | ) |  |  | (9,270 | ) |  |  | (31 | ) |  |  | 19,148 |
| 9,042 |  |  |  | 36,232 |  |  |  | 8,512 |  |  |  | 26,409 |
| (22,461 | ) |  |  | (41,656 | ) |  |  | (15,998 | ) |  |  | (26,420 | )
| 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | (9,531 | )
| (22,461 | ) |  |  | (41,656 | ) |  |  | (15,998 | ) |  |  | (35,951 | )
| 37,008 |  |  |  | 33,003 |  |  |  | 0 |  |  |  | 0 |
| 94 |  |  |  | (21 | ) |  |  | 0 |  |  |  | 0 |
| 1,876 |  |  |  | 3,141 |  |  |  | 1,962 |  |  |  | 4,289 |
| 38,978 |  |  |  | 36,123 |  |  |  | 1,962 |  |  |  | 4,289 |
| 25,559 |  |  |  | 30,699 |  |  |  | (5,524 | ) |  |  | (5,253 | )
| 410,077 |  |  |  | 379,378 |  |  |  | 309,287 |  |  |  | 314,540 |
$ | 435,636 |  |  | $ | 410,077 |  |  | $ | 303,763 |  |  | $ | 309,287 |
| 1,380 |  |  |  | 1,250 |  |  |  | 0 |  |  |  | 0 |
| 73 |  |  |  | 125 |  |  |  | 218 |  |  |  | 458 |
| 1,453 |  |  |  | 1,375 |  |  |  | 218 |  |  |  | 458 |

|  | SEMIANNUAL REPORT |  | DECEMBER 31, 2019 |  | 27

Consolidated Statements of Changes in Net Assets

|  | PIMCO Dynamic Credit and Mortgage Income Fund |  |  | PIMCO Dynamic Income Fund |
(Amounts in thousands†) |  | Six Months Ended December 31, 2019 (Unaudited) |  |  | Year Ended June 30, 2019 |  |  | Six Months Ended December 31, 2019 (Unaudited) |  |  | Year Ended June 30, 2019 |
Increase (Decrease) in Net Assets from: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Operations: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net investment income (loss) |  | $ | 157,644 |  |  | $ | 258,622 |  |  | $ | 97,101 |  |  | $ | 153,563 |
Net realized gain (loss) |  |  | (26,374 | ) |  |  | 83,423 |  |  |  | (27,192 | ) |  |  | 40,430 |
Net change in unrealized appreciation (depreciation) |  |  | (24,406 | ) |  |  | (44,936 | ) |  |  | (42,306 | ) |  |  | (62,612 | )
Net Increase (Decrease) in Net Assets Resulting from Operations |  |  | 106,864 |  |  |  | 297,109 |  |  |  | 27,603 |  |  |  | 131,381 |
Distributions to Common Shareholders: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
From net investment income and/or net realized capital gains |  |  | (206,687 | ) |  |  | (318,577 | ) |  |  | (99,502 | ) |  |  | (176,938 | )
Total Distributions to Common Shareholders(a) |  |  | (206,687 | ) |  |  | (318,577 | ) |  |  | (99,502 | ) |  |  | (176,938 | )
Common Share Transactions**: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net proceeds from at-the-market offering |  |  | 35,859 |  |  |  | 0 |  |  |  | 25,616 |  |  |  | 54,997 |
At-the-market offering costs |  |  | 0 |  |  |  | 0 |  |  |  | 29 |  |  |  | (39 | )
Issued as reinvestment of distributions |  |  | 20,514 |  |  |  | 9,243 |  |  |  | 12,783 |  |  |  | 18,444 |
Net increase (decrease) resulting from common share transactions |  |  | 56,373 |  |  |  | 9,243 |  |  |  | 38,428 |  |  |  | 73,402 |
Total increase (decrease) in net assets applicable to common shareholders |  |  | (43,450 | ) |  |  | (12,225 | ) |  |  | (33,471 | ) |  |  | 27,845 |
Net Assets Applicable to Common Shareholders: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Beginning of period |  |  | 3,244,970 |  |  |  | 3,257,195 |  |  |  | 1,603,368 |  |  |  | 1,575,523 |
End of period |  | $ | 3,201,520 |  |  | $ | 3,244,970 |  |  | $ | 1,569,897 |  |  | $ | 1,603,368 |
* Common Share Transactions: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Shares sold |  |  | 1,427 |  |  |  | 0 |  |  |  | 781 |  |  |  | 1,702 |
Shares issued as reinvestment of distributions |  |  | 866 |  |  |  | 398 |  |  |  | 414 |  |  |  | 613 |
Net increase (decrease) in common shares outstanding |  |  | 2,293 |  |  |  | 398 |  |  |  | 1,195 |  |  |  | 2,315 |

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

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

28 |  | PIMCO CLOSED-END FUNDS |  |  |  |  | See Accompanying Notes |

Statements of Cash Flows

Six Months Ended December 31, 2019 |  |  |  |  |  |  |  |  |  |  |  |
(Amounts in thousands†) |  | PCM Fund, Inc. |  |  | PIMCO Global StocksPLUS® & Income Fund |  |  | PIMCO Income Opportunity Fund |  |  | PIMCO Strategic Income Fund, Inc. |
Cash Flows Provided by (Used for) Operating Activities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net increase (decrease) in net assets resulting from operations |  | $ | 3,780 |  |  | $ | 6,188 |  |  | $ | 9,042 |  |  | $ | 8,512 |
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 |  |  | (22,344 | ) |  |  | (285,030 | ) |  |  | (128,700 | ) |  |  | (3,450,819 | )
Proceeds from sales of long-term securities |  |  | 13,688 |  |  |  | 278,136 |  |  |  | 74,311 |  |  |  | 3,480,094 |
(Purchases) Proceeds from sales of short-term portfolio investments, net |  |  | 6,140 |  |  |  | 2,888 |  |  |  | 11,279 |  |  |  | (10,918 | )
(Increase) decrease in deposits with counterparty |  |  | 35 |  |  |  | (173 | ) |  |  | (2,414 | ) |  |  | 912 |
(Increase) decrease in receivable for investments sold |  |  | (431 | ) |  |  | 6,082 |  |  |  | (2,042 | ) |  |  | 100,192 |
(Increase) decrease in interest and/or dividends receivable |  |  | (153 | ) |  |  | 54 |  |  |  | (143 | ) |  |  | (127 | )
Proceeds from (Payments on) exchange-traded or centrally cleared financial derivative instruments |  |  | (483 | ) |  |  | 183 |  |  |  | (3,213 | ) |  |  | (2,305 | )
Proceeds from (Payments on) over the counter financial derivative instruments |  |  | (8 | ) |  |  | (1,309 | ) |  |  | 1,278 |  |  |  | 3,123 |
(Increase) decrease in other assets |  |  | 0 |  |  |  | 1 |  |  |  | (123 | ) |  |  | 0 |
Increase (decrease) in payable for investments purchased |  |  | (829 | ) |  |  | (3,527 | ) |  |  | 628 |  |  |  | (155,243 | )
Increase (decrease) in payable for unfunded loan commitments |  |  | 2,035 |  |  |  | 80 |  |  |  | 7,533 |  |  |  | 311 |
Increase (decrease) in deposits from counterparty |  |  | 226 |  |  |  | 4,074 |  |  |  | (624 | ) |  |  | (632 | )
Increase (decrease) in accrued management fees |  |  | 16 |  |  |  | 11 |  |  |  | 75 |  |  |  | 17 |
Proceeds from (Payments on) short sales transactions, net |  |  | 79 |  |  |  | 0 |  |  |  | 0 |  |  |  | (22 | )
Proceeds from (Payments on) foreign currency transactions |  |  | 0 |  |  |  | (156 | ) |  |  | (392 | ) |  |  | (229 | )
Increase (decrease) in other liabilities |  |  | (4 | ) |  |  | (3 | ) |  |  | 16 |  |  |  | (12 | )
Net Realized (Gain) Loss |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investments in securities |  |  | (34 | ) |  |  | (401 | ) |  |  | (2,972 | ) |  |  | (2,237 | )
Exchange-traded or centrally cleared financial derivative instruments |  |  | 906 |  |  |  | 2,694 |  |  |  | 11,658 |  |  |  | 14,828 |
Over the counter financial derivative instruments |  |  | (86 | ) |  |  | 1,255 |  |  |  | (1,765 | ) |  |  | (3,123 | )
Short sales |  |  | (1 | ) |  |  | 0 |  |  |  | 0 |  |  |  | 22 |
Foreign currency |  |  | 0 |  |  |  | 127 |  |  |  | 301 |  |  |  | 183 |
Net Change in Unrealized (Appreciation) Depreciation |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investments in securities |  |  | 616 |  |  |  | 4,064 |  |  |  | 10,970 |  |  |  | 9,985 |
Exchange-traded or centrally cleared financial derivative instruments |  |  | (437 | ) |  |  | (2,530 | ) |  |  | (8,644 | ) |  |  | (12,740 | )
Over the counter financial derivative instruments |  |  | 60 |  |  |  | (4,833 | ) |  |  | 959 |  |  |  | 1,648 |
Foreign currency assets and liabilities |  |  | 0 |  |  |  | 371 |  |  |  | 1,584 |  |  |  | 1,138 |
Net amortization (accretion) on investments |  |  | (229 | ) |  |  | (249 | ) |  |  | (2,432 | ) |  |  | 1,213 |
Net Cash Provided by (Used for) Operating Activities |  |  | 2,542 |  |  |  | 7,997 |  |  |  | (23,830 | ) |  |  | (16,229 | )
Cash Flows Received from (Used for) Financing Activities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net proceeds from at-the-market offering |  |  | 0 |  |  |  | 0 |  |  |  | 36,628 |  |  |  | 0 |
Net at-the-market offering costs |  |  | 0 |  |  |  | 0 |  |  |  | 94 |  |  |  | 0 |
Increase (decrease) in overdraft due to custodian |  |  | 0 |  |  |  | (513 | ) |  |  | 0 |  |  |  | 117 |
Cash distributions paid to common shareholders* |  |  | (5,422 | ) |  |  | (5,588 | ) |  |  | (20,314 | ) |  |  | (14,023 | )
Proceeds from reverse repurchase agreements |  |  | 192,723 |  |  |  | 162,805 |  |  |  | 625,148 |  |  |  | 981,411 |
Payments on reverse repurchase agreements |  |  | (189,832 | ) |  |  | (164,435 | ) |  |  | (618,675 | ) |  |  | (951,370 | )
Net Cash Received from (Used for) Financing Activities |  |  | (2,531 | ) |  |  | (7,731 | ) |  |  | 22,881 |  |  |  | 16,135 |
Net Increase (Decrease) in Cash and Foreign Currency |  |  | 11 |  |  |  | 266 |  |  |  | (949 | ) |  |  | (94 | )
Cash and Foreign Currency: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Beginning of period |  |  | 1 |  |  |  | 483 |  |  |  | 2,260 |  |  |  | 2,608 |
End of period |  | $ | 12 |  |  | $ | 749 |  |  | $ | 1,311 |  |  | $ | 2,514 |
* Reinvestment of distributions to common shareholders |  | $ | 148 |  |  | $ | 555 |  |  | $ | 1,876 |  |  | $ | 1,962 |
Supplemental Disclosure of Cash Flow Information: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest expense paid during the period |  | $ | 1,249 |  |  | $ | 746 |  |  | $ | 2,790 |  |  | $ | 3,347 |
Non Cash Payment in Kind |  | $ | 155 |  |  | $ | 92 |  |  | $ | 111 |  |  | $ | 41 |

† | 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.

|  | SEMIANNUAL REPORT |  | DECEMBER 31, 2019 |  | 29

Consolidated Statements of Cash Flows

Six Months Ended December 31, 2019 |  |  |  |  |  |
(Amounts in thousands†) |  | PIMCO Dynamic Credit and Mortgage Income Fund |  |  | PIMCO Dynamic Income Fund |
Cash Flows Provided by (Used for) Operating Activities: |  |  |  |  |  |  |  |
Net increase (decrease) in net assets resulting from operations |  | $ | 106,864 |  |  | $ | 27,603 |
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 |  |  | (540,163 | ) |  |  | (304,180 | )
Proceeds from sales of long-term securities |  |  | 713,302 |  |  |  | 362,099 |
(Purchases) Proceeds from sales of short-term portfolio investments, net |  |  | 6,122 |  |  |  | (14,901 | )
(Increase) decrease in deposits with counterparty |  |  | 13,281 |  |  |  | (7,717 | )
(Increase) decrease in receivable for investments sold |  |  | (48,150 | ) |  |  | (4,369 | )
(Increase) decrease in interest and/or dividends receivable |  |  | 5,342 |  |  |  | 2,642 |
Proceeds from (Payments on) exchange-traded or centrally cleared financial derivative instruments |  |  | (24,926 | ) |  |  | (18,163 | )
Proceeds from (Payments on) over the counter financial derivative instruments |  |  | 5,799 |  |  |  | 3,789 |
(Increase) decrease in other assets |  |  | (16 | ) |  |  | (123 | )
Increase (decrease) in payable for investments purchased |  |  | 6,050 |  |  |  | (5,123 | )
Increase (decrease) in payable for unfunded loan commitments |  |  | 2,469 |  |  |  | 1,236 |
Increase (decrease) in deposits from counterparty |  |  | 8,905 |  |  |  | 6,558 |
Increase (decrease) in accrued management fees |  |  | 316 |  |  |  | 180 |
Proceeds from (Payments on) foreign currency transactions |  |  | (3,487 | ) |  |  | (3,532 | )
Increase (decrease) in other liabilities |  |  | (106 | ) |  |  | (48 | )
Net Realized (Gain) Loss |  |  |  |  |  |  |  |
Investments in securities |  |  | (32,933 | ) |  |  | (21,087 | )
Exchange-traded or centrally cleared financial derivative instruments |  |  | 62,980 |  |  |  | 56,728 |
Over the counter financial derivative instruments |  |  | (6,331 | ) |  |  | (9,159 | )
Foreign currency |  |  | 2,658 |  |  |  | 710 |
Net Change in Unrealized (Appreciation) Depreciation |  |  |  |  |  |  |  |
Investments in securities |  |  | 37,817 |  |  |  | 66,702 |
Investments in Affiliates |  |  | 2,855 |  |  |  | 0 |
Exchange-traded or centrally cleared financial derivative instruments |  |  | (40,458 | ) |  |  | (39,078 | )
Over the counter financial derivative instruments |  |  | 6,556 |  |  |  | 5,922 |
Foreign currency assets and liabilities |  |  | 17,636 |  |  |  | 8,760 |
Net amortization (accretion) on investments |  |  | (24,516 | ) |  |  | (12,255 | )
Net Cash Provided by (Used for) Operating Activities |  |  | 277,866 |  |  |  | 103,194 |
Cash Flows Received from (Used for) Financing Activities: |  |  |  |  |  |  |  |
Net proceeds from at-the-market offering |  |  | 35,052 |  |  |  | 25,539 |
At-the-market offering costs |  |  | 0 |  |  |  | 29 |
Increase (decrease) in overdraft due to custodian |  |  | 0 |  |  |  | (130 | )
Cash distributions paid to common shareholders* |  |  | (184,411 | ) |  |  | (86,510 | )
Proceeds from reverse repurchase agreements |  |  | 7,831,965 |  |  |  | 2,663,239 |
Payments on reverse repurchase agreements |  |  | (7,957,284 | ) |  |  | (2,700,321 | )
Net Cash Received from (Used for) Financing Activities |  |  | (274,678 | ) |  |  | (98,154 | )
Net Increase (Decrease) in Cash and Foreign Currency |  |  | 3,188 |  |  |  | 5,040 |
Cash and Foreign Currency: |  |  |  |  |  |  |  |
Beginning of period |  |  | 3,864 |  |  |  | 3,497 |
End of period |  | $ | 7,052 |  |  | $ | 8,537 |
* Reinvestment of distributions to common shareholders |  | $ | 20,514 |  |  | $ | 12,783 |
Supplemental Disclosure of Cash Flow Information: |  |  |  |  |  |  |  |
Interest expense paid during the period |  | $ | 38,064 |  |  | $ | 14,805 |
Non Cash Payment in Kind |  | $ | 2,684 |  |  | $ | 296 |

† | 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.

30 |  | PIMCO CLOSED-END FUNDS |  |  |  |  | See Accompanying Notes |

Schedule of Investments PIMCO PCM Fund, Inc.

December 31, 2019 (Unaudited)

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

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
INVESTMENTS IN SECURITIES 166.3% |
LOAN PARTICIPATIONS AND ASSIGNMENTS 17.7% |
Ancestry.com Operations, Inc. |
6.050% (LIBOR03M + 4.250%) due 08/27/2026 ~ |  | $ |  |  | 100 |  |  | $ |  |  | 98 |
Chesapeake Energy Corp. |
TBD% due 06/09/2024 |  |  |  |  | 27 |  |  |  |  |  | 28 |
Clear Channel Outdoor Holdings, Inc. |
5.299% (LIBOR03M + 3.500%) due 08/21/2026 ~ |  |  |  |  | 100 |  |  |  |  |  | 101 |
Diamond Resorts Corp. |
5.549% (LIBOR03M + 3.750%) due 09/02/2023 ~ |  |  |  |  | 661 |  |  |  |  |  | 648 |
Emerald TopCo, Inc. |
5.299% (LIBOR03M + 3.500%) due 07/24/2026 ~ |  |  |  |  | 6 |  |  |  |  |  | 6 |
Encina Private Credit LLC |
4.740% (LIBOR03M + 3.000%) due 11/30/2025 «µ~ |  |  |  |  | 2,914 |  |  |  |  |  | 2,914 |
Envision Healthcare Corp. |
5.549% (LIBOR03M + 3.750%) due 10/10/2025 ~ |  |  |  |  | 2,973 |  |  |  |  |  | 2,547 |
Financial & Risk U.S. Holdings, Inc. |
5.049% (LIBOR03M + 3.250%) due 10/01/2025 ~ |  |  |  |  | 220 |  |  |  |  |  | 222 |
Forbes Energy Services LLC (5.000% Cash and 11.000% PIK) |
16.00% (LIBOR03M + 5.000%) due 04/13/2021 ~(c) |  |  |  |  | 541 |  |  |  |  |  | 537 |
Frontier Communications Corp. |
5.550% (LIBOR03M + 3.750%) due 06/15/2024 ~ |  |  |  |  | 98 |  |  |  |  |  | 98 |
iHeartCommunications, Inc. |
5.691% (LIBOR03M + 4.000%) due 05/01/2026 ~ |  |  |  |  | 725 |  |  |  |  |  | 733 |
IRB Holding Corp. |
5.195% - 5.216% (LIBOR03M + 3.250%) due 02/05/2025 ~ |  |  |  |  | 168 |  |  |  |  |  | 169 |
Jefferies Finance LLC |
5.500% (LIBOR03M + 3.750%) due 06/03/2026 ~ |  |  |  |  | 5 |  |  |  |  |  | 5 |
McDermott Technology Americas, Inc. |
0.500% - 12.002% (LIBOR03M + 10.000%) due 10/21/2021 ~µ |  |  |  |  | 697 |  |  |  |  |  | 713 |
6.945% (LIBOR03M + 5.000%) due 05/09/2025 ~ |  |  |  |  | 594 |  |  |  |  |  | 349 |
MH Sub LLC |
5.549% (LIBOR03M + 3.750%) due 09/13/2024 ~ |  |  |  |  | 20 |  |  |  |  |  | 20 |
Nascar Holdings, Inc. |
4.495% (LIBOR03M + 2.750%) due 10/19/2026 ~ |  |  |  |  | 13 |  |  |  |  |  | 13 |
NCI Building Systems, Inc. |
5.486% (LIBOR03M + 3.750%) due 04/12/2025 ~ |  |  |  |  | 110 |  |  |  |  |  | 110 |
Neiman Marcus Group Ltd. LLC |
7.713% (LIBOR03M + 6.000%) due 10/25/2023 ~ |  |  |  |  | 2,222 |  |  |  |  |  | 1,830 |
Neiman Marcus Group Ltd. LLC (7.213% Cash and 1.000% PIK) |
8.213% (LIBOR03M + 5.500%) due 10/25/2023 ~(c) |  |  |  |  | 1,638 |  |  |  |  |  | 1,332 |
Pacific Gas & Electric Co. |
TBD% due 02/22/2049 ^«(d) |  |  |  |  | 106 |  |  |  |  |  | 105 |
Parexel International Corp. |
4.549% - 4.555% (LIBOR03M + 2.750%) due 09/27/2024 ~ |  |  |  |  | 100 |  |  |  |  |  | 98 |
PetSmart, Inc. |
5.740% (LIBOR03M + 4.000%) due 03/11/2022 ~ |  |  |  |  | 17 |  |  |  |  |  | 16 |
Sequa Mezzanine Holdings LLC |
10.936% (LIBOR03M + 9.000%) due 04/28/2022 ~ |  |  |  |  | 800 |  |  |  |  |  | 789 |

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
Sotera Health Holdings LLC |
6.289% (LIBOR03M + 4.500%) due 12/11/2026 ~ |  | $ |  |  | 23 |  |  | $ |  |  | 23 |
Starfruit Finco BV |
4.960% (LIBOR03M + 3.250%) due 10/01/2025 ~ |  |  |  |  | 97 |  |  |  |  |  | 97 |
Syniverse Holdings, Inc. |
6.846% (LIBOR03M + 5.000%) due 03/09/2023 ~ |  |  |  |  | 1,416 |  |  |  |  |  | 1,319 |
U.S. Renal Care, Inc. |
6.813% (LIBOR03M + 5.000%) due 06/26/2026 ~ |  |  |  |  | 85 |  |  |  |  |  | 84 |
Univision Communications, Inc. |
4.549% (LIBOR03M + 2.750%) due 03/15/2024 ~ |  |  |  |  | 2,647 |  |  |  |  |  | 2,618 |
West Corp. |
5.927% (LIBOR03M + 4.000%) due 10/10/2024 ~ |  |  |  |  | 9 |  |  |  |  |  | 8 |
Westmoreland Mining Holdings LLC |
10.150% (LIBOR03M + 8.250%) due 03/15/2022 «~ |  |  |  |  | 205 |  |  |  |  |  | 207 |
Westmoreland Mining Holdings LLC (15.000% PIK) |
15.000% due 03/15/2029 (c) |  |  |  |  | 603 |  |  |  |  |  | 482 |
Windstream Services LLC |
9.000% (PRIME + 4.250%) due 02/17/2024 ~ |  |  |  |  | 500 |  |  |  |  |  | 475 |
9.750% (PRIME + 5.000%) due 03/29/2021 ~ |  |  |  |  | 1,858 |  |  |  |  |  | 1,783 |
Total Loan Participations and Assignments (Cost $21,568) |  |  | 20,577 |
CORPORATE BONDS & NOTES 24.6% |
BANKING & FINANCE 5.7% |
AXA Equitable Holdings, Inc. |
5.000% due 04/20/2048 |  |  |  |  | 2 |  |  |  |  |  | 2 |
CBL & Associates LP |
4.600% due 10/15/2024 (k) |  |  |  |  | 190 |  |  |  |  |  | 123 |
5.950% due 12/15/2026 (k) |  |  |  |  | 1,621 |  |  |  |  |  | 976 |
ESH Hospitality, Inc. |
4.625% due 10/01/2027 |  |  |  |  | 22 |  |  |  |  |  | 22 |
Ford Motor Credit Co. LLC |
5.183% (US0003M + 3.140%) due 01/07/2022 ~(k) |  |  |  |  | 280 |  |  |  |  |  | 289 |
Fortress Transportation & Infrastructure Investors LLC |
6.500% due 10/01/2025 (k) |  |  |  |  | 76 |  |  |  |  |  | 80 |
6.750% due 03/15/2022 (k) |  |  |  |  | 104 |  |  |  |  |  | 109 |
Hunt Cos., Inc. |
6.250% due 02/15/2026 |  |  |  |  | 6 |  |  |  |  |  | 6 |
Kennedy-Wilson, Inc. |
5.875% due 04/01/2024 |  |  |  |  | 14 |  |  |  |  |  | 14 |
LoanCore Capital Markets LLC |
6.875% due 06/01/2020 (k) |  |  |  |  | 1,200 |  |  |  |  |  | 1,201 |
Nationstar Mortgage LLC |
6.500% due 07/01/2021 (k) |  |  |  |  | 121 |  |  |  |  |  | 122 |
Navient Corp. |
5.625% due 01/25/2025 |  |  |  |  | 51 |  |  |  |  |  | 49 |
6.125% due 03/25/2024 |  |  |  |  | 102 |  |  |  |  |  | 111 |
7.250% due 09/25/2023 |  |  |  |  | 24 |  |  |  |  |  | 27 |
Newmark Group, Inc. |
6.125% due 11/15/2023 |  |  |  |  | 20 |  |  |  |  |  | 22 |
Oppenheimer Holdings, Inc. |
6.750% due 07/01/2022 |  |  |  |  | 7 |  |  |  |  |  | 7 |
Piper Jaffray Cos. |
4.740% due 10/15/2021 (k) |  |  |  |  | 200 |  |  |  |  |  | 200 |
5.200% due 10/15/2023 (k) |  |  |  |  | 900 |  |  |  |  |  | 899 |
Sabra Health Care LP |
4.800% due 06/01/2024 |  |  |  |  | 32 |  |  |  |  |  | 34 |
Springleaf Finance Corp. |
5.375% due 11/15/2029 |  |  |  |  | 7 |  |  |  |  |  | 7 |
5.625% due 03/15/2023 |  |  |  |  | 196 |  |  |  |  |  | 212 |
6.125% due 03/15/2024 |  |  |  |  | 24 |  |  |  |  |  | 26 |
6.875% due 03/15/2025 |  |  |  |  | 25 |  |  |  |  |  | 29 |

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
Toll Road Investors Partnership LP |
0.000% due 02/15/2045 (f) |  | $ |  |  | 635 |  |  | $ |  |  | 166 |
Voyager Aviation Holdings LLC |
8.500% due 08/15/2021 (k) |  |  |  |  | 1,842 |  |  |  |  |  | 1,893 |
|  |  |  |  |  |  |  |  |  |  | 6,626 |
INDUSTRIALS 13.7% |
Associated Materials LLC |
9.000% due 01/01/2024 (k) |  |  |  |  | 1,996 |  |  |  |  |  | 1,756 |
BCPE Cycle Merger Sub, Inc. |
10.625% due 07/15/2027 |  |  |  |  | 14 |  |  |  |  |  | 14 |
CCO Holdings LLC |
4.750% due 03/01/2030 |  |  |  |  | 36 |  |  |  |  |  | 37 |
Centene Corp. |
4.250% due 12/15/2027 |  |  |  |  | 21 |  |  |  |  |  | 22 |
4.625% due 12/15/2029 |  |  |  |  | 34 |  |  |  |  |  | 36 |
4.750% due 01/15/2025 |  |  |  |  | 33 |  |  |  |  |  | 34 |
Charter Communications Operating LLC |
4.800% due 03/01/2050 |  |  |  |  | 41 |  |  |  |  |  | 43 |
Clear Channel Worldwide Holdings, Inc. |
9.250% due 02/15/2024 (k) |  |  |  |  | 493 |  |  |  |  |  | 547 |
Community Health Systems, Inc. |
6.250% due 03/31/2023 (k) |  |  |  |  | 2,556 |  |  |  |  |  | 2,601 |
8.000% due 03/15/2026 (k) |  |  |  |  | 78 |  |  |  |  |  | 80 |
8.625% due 01/15/2024 (k) |  |  |  |  | 236 |  |  |  |  |  | 251 |
Corning, Inc. |
5.450% due 11/15/2079 |  |  |  |  | 14 |  |  |  |  |  | 15 |
CVS Pass-Through Trust |
5.880% due 01/10/2028 |  |  |  |  | 1,042 |  |  |  |  |  | 1,150 |
DAE Funding LLC |
4.000% due 08/01/2020 |  |  |  |  | 2 |  |  |  |  |  | 2 |
4.500% due 08/01/2022 |  |  |  |  | 10 |  |  |  |  |  | 10 |
5.000% due 08/01/2024 |  |  |  |  | 22 |  |  |  |  |  | 23 |
5.250% due 11/15/2021 (k) |  |  |  |  | 102 |  |  |  |  |  | 106 |
5.750% due 11/15/2023 (k) |  |  |  |  | 100 |  |  |  |  |  | 105 |
Diamond Resorts International, Inc. |
7.750% due 09/01/2023 |  |  |  |  | 20 |  |  |  |  |  | 21 |
10.750% due 09/01/2024 (k) |  |  |  |  | 500 |  |  |  |  |  | 525 |
DriveTime Automotive Group, Inc. |
8.000% due 06/01/2021 (k) |  |  |  |  | 330 |  |  |  |  |  | 336 |
Eagle Holding Co. LLC (7.750% Cash or 8.500% PIK) |
7.750% due 05/15/2022 (c) |  |  |  |  | 5 |  |  |  |  |  | 5 |
Eldorado Resorts, Inc. |
6.000% due 09/15/2026 (k) |  |  |  |  | 400 |  |  |  |  |  | 441 |
Envision Healthcare Corp. |
8.750% due 10/15/2026 (k) |  |  |  |  | 382 |  |  |  |  |  | 238 |
Exela Intermediate LLC |
10.000% due 07/15/2023 |  |  |  |  | 23 |  |  |  |  |  | 9 |
Fresh Market, Inc. |
9.750% due 05/01/2023 (k) |  |  |  |  | 350 |  |  |  |  |  | 179 |
Full House Resorts, Inc. |
8.575% due 01/31/2024 |  |  |  |  | 100 |  |  |  |  |  | 99 |
9.738% due 02/02/2024 |  |  |  |  | 8 |  |  |  |  |  | 8 |
General Electric Co. |
5.875% due 01/14/2038 |  |  |  |  | 4 |  |  |  |  |  | 5 |
6.150% due 08/07/2037 |  |  |  |  | 2 |  |  |  |  |  | 2 |
6.875% due 01/10/2039 |  |  |  |  | 10 |  |  |  |  |  | 13 |
iHeartCommunications, Inc. |
6.375% due 05/01/2026 (k) |  |  |  |  | 233 |  |  |  |  |  | 253 |
8.375% due 05/01/2027 (k) |  |  |  |  | 357 |  |  |  |  |  | 395 |
Kronos Acquisition Holdings, Inc. |
9.000% due 08/15/2023 (k) |  |  |  |  | 200 |  |  |  |  |  | 192 |
Mattel, Inc. |
5.875% due 12/15/2027 |  |  |  |  | 11 |  |  |  |  |  | 12 |
Micron Technology, Inc. |
5.327% due 02/06/2029 |  |  |  |  | 30 |  |  |  |  |  | 34 |
MSCI, Inc. |
4.000% due 11/15/2029 |  |  |  |  | 5 |  |  |  |  |  | 5 |
NCL Corp. Ltd. |
3.625% due 12/15/2024 |  |  |  |  | 20 |  |  |  |  |  | 20 |
Netflix, Inc. |
5.375% due 11/15/2029 |  |  |  |  | 12 |  |  |  |  |  | 13 |

See Accompanying Notes |  | SEMIANNUAL REPORT |  | DECEMBER 31, 2019 |  | 31

Schedule of Investments PIMCO PCM Fund, Inc. (Cont.)

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
Noble Holding International Ltd. |
7.875% due 02/01/2026 |  | $ |  |  | 45 |  |  | $ |  |  | 33 |
Ortho-Clinical Diagnostics, Inc. |
6.625% due 05/15/2022 (k) |  |  |  |  | 60 |  |  |  |  |  | 60 |
Par Pharmaceutical, Inc. |
7.500% due 04/01/2027 |  |  |  |  | 23 |  |  |  |  |  | 23 |
PetSmart, Inc. |
5.875% due 06/01/2025 |  |  |  |  | 19 |  |  |  |  |  | 19 |
Radiate Holdco LLC |
6.875% due 02/15/2023 |  |  |  |  | 2 |  |  |  |  |  | 2 |
Sealed Air Corp. |
4.000% due 12/01/2027 |  |  |  |  | 3 |  |  |  |  |  | 3 |
Select Medical Corp. |
6.250% due 08/15/2026 |  |  |  |  | 7 |  |  |  |  |  | 8 |
Silgan Holdings, Inc. |
4.125% due 02/01/2028 |  |  |  |  | 8 |  |  |  |  |  | 8 |
Spanish Broadcasting System, Inc. |
12.500% due 04/15/2049 ^(d) |  |  |  |  | 2,081 |  |  |  |  |  | 2,171 |
Staples, Inc. |
7.500% due 04/15/2026 |  |  |  |  | 3 |  |  |  |  |  | 3 |
Tenet Healthcare Corp. |
4.625% due 09/01/2024 |  |  |  |  | 3 |  |  |  |  |  | 3 |
Topaz Solar Farms LLC |
4.875% due 09/30/2039 (k) |  |  |  |  | 336 |  |  |  |  |  | 349 |
5.750% due 09/30/2039 (k) |  |  |  |  | 2,209 |  |  |  |  |  | 2,443 |
TransDigm, Inc. |
5.500% due 11/15/2027 |  |  |  |  | 18 |  |  |  |  |  | 18 |
Transocean Pontus Ltd. |
6.125% due 08/01/2025 |  |  |  |  | 25 |  |  |  |  |  | 26 |
Transocean, Inc. |
7.250% due 11/01/2025 (k) |  |  |  |  | 51 |  |  |  |  |  | 50 |
Trident TPI Holdings, Inc. |
9.250% due 08/01/2024 |  |  |  |  | 4 |  |  |  |  |  | 4 |
Triumph Group, Inc. |
5.250% due 06/01/2022 |  |  |  |  | 4 |  |  |  |  |  | 4 |
6.250% due 09/15/2024 |  |  |  |  | 11 |  |  |  |  |  | 12 |
Twitter, Inc. |
3.875% due 12/15/2027 |  |  |  |  | 4 |  |  |  |  |  | 4 |
UAL Pass-Through Trust |
6.636% due 01/02/2024 |  |  |  |  | 421 |  |  |  |  |  | 448 |
Univision Communications, Inc. |
5.125% due 02/15/2025 (k) |  |  |  |  | 438 |  |  |  |  |  | 434 |
ViaSat, Inc. |
5.625% due 09/15/2025 |  |  |  |  | 18 |  |  |  |  |  | 19 |
5.625% due 04/15/2027 |  |  |  |  | 4 |  |  |  |  |  | 4 |
Wyndham Destinations, Inc. |
3.900% due 03/01/2023 |  |  |  |  | 14 |  |  |  |  |  | 14 |
4.625% due 03/01/2030 |  |  |  |  | 5 |  |  |  |  |  | 5 |
5.750% due 04/01/2027 (k) |  |  |  |  | 154 |  |  |  |  |  | 168 |
|  |  |  |  |  |  |  |  |  |  | 15,972 |
UTILITIES 5.2% |
Edison International |
2.400% due 09/15/2022 |  |  |  |  | 14 |  |  |  |  |  | 14 |
2.950% due 03/15/2023 |  |  |  |  | 1 |  |  |  |  |  | 1 |
3.125% due 11/15/2022 |  |  |  |  | 14 |  |  |  |  |  | 14 |
3.550% due 11/15/2024 |  |  |  |  | 14 |  |  |  |  |  | 14 |
5.750% due 06/15/2027 |  |  |  |  | 11 |  |  |  |  |  | 12 |
Frontier Communications Corp. |
8.000% due 04/01/2027 |  |  |  |  | 24 |  |  |  |  |  | 25 |
Pacific Gas & Electric Co. |
2.450% due 08/15/2022 ^(d)(k) |  |  |  |  | 131 |  |  |  |  |  | 131 |
2.950% due 03/01/2026 ^(d)(k) |  |  |  |  | 211 |  |  |  |  |  | 212 |
3.250% due 09/15/2021 ^(d)(k) |  |  |  |  | 146 |  |  |  |  |  | 147 |
3.250% due 06/15/2023 ^(d)(k) |  |  |  |  | 68 |  |  |  |  |  | 68 |
3.300% due 03/15/2027 ^(d)(k) |  |  |  |  | 132 |  |  |  |  |  | 132 |
3.400% due 08/15/2024 ^(d)(k) |  |  |  |  | 85 |  |  |  |  |  | 86 |
3.500% due 10/01/2020 ^(d)(k) |  |  |  |  | 388 |  |  |  |  |  | 389 |
3.500% due 06/15/2025 ^(d)(k) |  |  |  |  | 151 |  |  |  |  |  | 151 |
3.750% due 02/15/2024 ^(d)(k) |  |  |  |  | 86 |  |  |  |  |  | 88 |
3.750% due 08/15/2042 ^(d) |  |  |  |  | 2 |  |  |  |  |  | 2 |
3.850% due 11/15/2023 ^(d)(k) |  |  |  |  | 14 |  |  |  |  |  | 14 |
4.000% due 12/01/2046 ^(d) |  |  |  |  | 2 |  |  |  |  |  | 2 |

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
4.250% due 05/15/2021 ^(d) |  | $ |  |  | 373 |  |  | $ |  |  | 375 |
4.300% due 03/15/2045 ^(d) |  |  |  |  | 24 |  |  |  |  |  | 25 |
4.500% due 12/15/2041 ^(d) |  |  |  |  | 26 |  |  |  |  |  | 26 |
4.600% due 06/15/2043 ^(d) |  |  |  |  | 9 |  |  |  |  |  | 9 |
4.650% due 08/01/2028 ^(d)(k) |  |  |  |  | 227 |  |  |  |  |  | 235 |
4.750% due 02/15/2044 ^(d)(k) |  |  |  |  | 157 |  |  |  |  |  | 162 |
5.125% due 11/15/2043 ^(d)(k) |  |  |  |  | 244 |  |  |  |  |  | 251 |
5.400% due 01/15/2040 ^(d) |  |  |  |  | 4 |  |  |  |  |  | 4 |
5.800% due 03/01/2037 ^(d)(k) |  |  |  |  | 644 |  |  |  |  |  | 673 |
6.050% due 03/01/2034 ^(d)(k) |  |  |  |  | 323 |  |  |  |  |  | 339 |
6.250% due 03/01/2039 ^(d)(k) |  |  |  |  | 151 |  |  |  |  |  | 160 |
6.350% due 02/15/2038 ^(d)(k) |  |  |  |  | 57 |  |  |  |  |  | 61 |
Southern California Edison Co. |
3.650% due 03/01/2028 |  |  |  |  | 2 |  |  |  |  |  | 2 |
4.125% due 03/01/2048 |  |  |  |  | 16 |  |  |  |  |  | 17 |
4.650% due 10/01/2043 |  |  |  |  | 30 |  |  |  |  |  | 34 |
4.875% due 03/01/2049 |  |  |  |  | 40 |  |  |  |  |  | 47 |
5.750% due 04/01/2035 |  |  |  |  | 2 |  |  |  |  |  | 3 |
6.000% due 01/15/2034 |  |  |  |  | 20 |  |  |  |  |  | 25 |
6.650% due 04/01/2029 |  |  |  |  | 13 |  |  |  |  |  | 16 |
Sprint Corp. |
7.125% due 06/15/2024 (k) |  |  |  |  | 158 |  |  |  |  |  | 171 |
7.625% due 02/15/2025 (k) |  |  |  |  | 394 |  |  |  |  |  | 433 |
7.625% due 03/01/2026 (k) |  |  |  |  | 954 |  |  |  |  |  | 1,054 |
7.875% due 09/15/2023 |  |  |  |  | 327 |  |  |  |  |  | 362 |
Talen Energy Supply LLC |
6.625% due 01/15/2028 |  |  |  |  | 4 |  |  |  |  |  | 4 |
Transocean Poseidon Ltd. |
6.875% due 02/01/2027 |  |  |  |  | 20 |  |  |  |  |  | 21 |
|  |  |  |  |  |  |  |  |  |  | 6,011 |
Total Corporate Bonds & Notes (Cost $28,273) |  |  |  |  |  | 28,609 |
CONVERTIBLE BONDS & NOTES 0.0% |
INDUSTRIALS 0.0% |
Caesars Entertainment Corp. |
5.000% due 10/01/2024 |  |  |  |  | 28 |  |  |  |  |  | 53 |
Total Convertible Bonds & Notes (Cost $51) |  |  |  |  |  | 53 |
MUNICIPAL BONDS & NOTES 0.7% |
WEST VIRGINIA 0.7% |
Tobacco Settlement Finance Authority, West Virginia Revenue Bonds, Series 2007 |
7.467% due 06/01/2047 |  |  |  |  | 780 |  |  |  |  |  | 811 |
Total Municipal Bonds & Notes (Cost $737) |  |  |  |  |  | 811 |
U.S. GOVERNMENT AGENCIES 4.7% |
Fannie Mae |
5.342% due 07/25/2029 •(k) |  |  |  |  | 170 |  |  |  |  |  | 180 |
7.542% due 07/25/2029 • |  |  |  |  | 230 |  |  |  |  |  | 273 |
Freddie Mac |
0.000% due 02/25/2046 - 11/25/2050 (b)(f)(k) |  |  |  |  | 2,391 |  |  |  |  |  | 1,782 |
0.100% due 05/25/2020 - 11/25/2050 (a) |  |  |  |  | 37,859 |  |  |  |  |  | 86 |
0.499% due 01/25/2021 ~(a) |  |  |  |  | 2,479 |  |  |  |  |  | 9 |
0.661% due 10/25/2020 ~(a) |  |  |  |  | 7,995 |  |  |  |  |  | 17 |
1.939% due 11/25/2055 ~(a) |  |  |  |  | 6,305 |  |  |  |  |  | 504 |
2.011% due 11/25/2045 ~(a) |  |  |  |  | 1,027 |  |  |  |  |  | 138 |
3.615% due 06/25/2041 ~(a) |  |  |  |  | 10,500 |  |  |  |  |  | 435 |
4.118% due 04/25/2025 ~(k) |  |  |  |  | 1,300 |  |  |  |  |  | 1,242 |
6.942% due 10/25/2029 • |  |  |  |  | 250 |  |  |  |  |  | 289 |
9.342% due 12/25/2027 • |  |  |  |  | 447 |  |  |  |  |  | 538 |
Total U.S. Government Agencies (Cost $5,076) |  |  |  |  |  | 5,493 |
NON-AGENCY MORTGAGE-BACKED SECURITIES 38.9% |
Adjustable Rate Mortgage Trust |
4.124% due 01/25/2036 ^~ |  |  |  |  | 134 |  |  |  |  |  | 127 |
Banc of America Alternative Loan Trust |
6.011% due 04/25/2037 ^~ |  |  |  |  | 152 |  |  |  |  |  | 153 |

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
Banc of America Funding Trust |
3.147% due 12/20/2034 ~ |  | $ |  |  | 289 |  |  | $ |  |  | 203 |
4.406% due 03/20/2036 ~ |  |  |  |  | 80 |  |  |  |  |  | 77 |
5.806% due 03/25/2037 ^~ |  |  |  |  | 80 |  |  |  |  |  | 81 |
7.000% due 10/25/2037 ^ |  |  |  |  | 482 |  |  |  |  |  | 394 |
Banc of America Mortgage Trust |
4.664% due 06/25/2035 ~ |  |  |  |  | 97 |  |  |  |  |  | 95 |
5.101% due 06/20/2031 ~ |  |  |  |  | 310 |  |  |  |  |  | 320 |
Bancorp Commercial Mortgage Trust |
5.490% due 08/15/2032 •(k) |  |  |  |  | 2,300 |  |  |  |  |  | 2,323 |
BCAP LLC Trust |
1.924% due 07/26/2036 ~ |  |  |  |  | 87 |  |  |  |  |  | 76 |
Bear Stearns ALT-A Trust |
1.962% due 04/25/2037 • |  |  |  |  | 639 |  |  |  |  |  | 512 |
3.673% due 05/25/2036 ~ |  |  |  |  | 39 |  |  |  |  |  | 32 |
3.741% due 05/25/2036 ^~ |  |  |  |  | 207 |  |  |  |  |  | 196 |
3.774% due 08/25/2036 ^~ |  |  |  |  | 272 |  |  |  |  |  | 272 |
3.803% due 07/25/2035 ^~ |  |  |  |  | 135 |  |  |  |  |  | 120 |
3.816% due 11/25/2036 ^~ |  |  |  |  | 655 |  |  |  |  |  | 545 |
3.962% due 08/25/2036 ^~ |  |  |  |  | 263 |  |  |  |  |  | 186 |
4.219% due 01/25/2047 ~ |  |  |  |  | 36 |  |  |  |  |  | 28 |
4.343% due 09/25/2034 ~ |  |  |  |  | 94 |  |  |  |  |  | 94 |
Bear Stearns Commercial Mortgage Securities Trust |
5.657% due 10/12/2041 ~(k) |  |  |  |  | 847 |  |  |  |  |  | 877 |
5.728% due 04/12/2038 ~ |  |  |  |  | 40 |  |  |  |  |  | 40 |
BRAD Resecuritization Trust |
2.192% due 03/12/2021 « |  |  |  |  | 1,634 |  |  |  |  |  | 33 |
6.550% due 03/12/2021 « |  |  |  |  | 306 |  |  |  |  |  | 304 |
CBA Commercial Small Balance Commercial Mortgage |
5.540% due 01/25/2039 ^þ |  |  |  |  | 273 |  |  |  |  |  | 225 |
CD Commercial Mortgage Trust |
5.398% due 12/11/2049 ~ |  |  |  |  | 7 |  |  |  |  |  | 6 |
CD Mortgage Trust |
5.688% due 10/15/2048 (k) |  |  |  |  | 1,278 |  |  |  |  |  | 664 |
Chase Mortgage Finance Trust |
6.000% due 03/25/2037 ^ |  |  |  |  | 225 |  |  |  |  |  | 179 |
Citigroup Commercial Mortgage Trust |
5.589% due 12/10/2049 ~ |  |  |  |  | 674 |  |  |  |  |  | 432 |
Citigroup Mortgage Loan Trust |
4.219% due 11/25/2035 ~ |  |  |  |  | 1,713 |  |  |  |  |  | 1,333 |
4.260% due 11/25/2036 ^~ |  |  |  |  | 82 |  |  |  |  |  | 81 |
4.870% due 08/25/2035 ^~ |  |  |  |  | 51 |  |  |  |  |  | 41 |
6.250% due 11/25/2037 ~ |  |  |  |  | 847 |  |  |  |  |  | 619 |
Citigroup Mortgage Loan Trust, Inc. |
3.827% due 10/25/2035 ~ |  |  |  |  | 417 |  |  |  |  |  | 308 |
Citigroup Mortgage Loan Trust, Inc. Mortgage Pass-Through Certificates |
3.847% due 09/25/2035 ^~ |  |  |  |  | 128 |  |  |  |  |  | 111 |
CitiMortgage Alternative Loan Trust |
5.500% due 04/25/2022 ^ |  |  |  |  | 13 |  |  |  |  |  | 13 |
Commercial Mortgage Lease-Backed Certificates |
6.250% due 06/20/2031 ~ |  |  |  |  | 1,700 |  |  |  |  |  | 1,728 |
Commercial Mortgage Loan Trust |
6.052% due 12/10/2049 ~ |  |  |  |  | 752 |  |  |  |  |  | 499 |
Commercial Mortgage Trust |
6.107% due 07/10/2046 ~(k) |  |  |  |  | 690 |  |  |  |  |  | 700 |
Countrywide Alternative Loan Trust |
2.072% due 02/25/2037 • |  |  |  |  | 210 |  |  |  |  |  | 196 |
2.082% due 02/25/2036 ^• |  |  |  |  | 639 |  |  |  |  |  | 545 |
2.342% due 10/25/2037 • |  |  |  |  | 4,234 |  |  |  |  |  | 1,321 |
3.239% due 12/25/2035 • |  |  |  |  | 1,108 |  |  |  |  |  | 1,015 |
5.500% due 03/25/2035 |  |  |  |  | 518 |  |  |  |  |  | 370 |
6.000% due 11/25/2035 ^ |  |  |  |  | 174 |  |  |  |  |  | 56 |
6.000% due 04/25/2036 ^(k) |  |  |  |  | 2,804 |  |  |  |  |  | 2,183 |
Countrywide Home Loan Mortgage Pass-Through Trust |
2.432% due 03/25/2035 • |  |  |  |  | 136 |  |  |  |  |  | 125 |
3.662% due 03/25/2046 ^•(k) |  |  |  |  | 636 |  |  |  |  |  | 438 |
3.711% due 02/20/2036 ^• |  |  |  |  | 8 |  |  |  |  |  | 7 |
3.781% due 09/20/2036 ^~ |  |  |  |  | 106 |  |  |  |  |  | 98 |
3.794% due 09/25/2047 ^~ |  |  |  |  | 346 |  |  |  |  |  | 333 |
6.000% due 05/25/2037 ^ |  |  |  |  | 265 |  |  |  |  |  | 208 |
Credit Suisse First Boston Mortgage Securities Corp. |
7.000% due 02/25/2033 |  |  |  |  | 53 |  |  |  |  |  | 55 |
Credit Suisse Mortgage Capital Certificates |
2.323% due 11/30/2037 ~(k) |  |  |  |  | 2,900 |  |  |  |  |  | 2,641 |

32 |  | PIMCO CLOSED-END FUNDS |  |  |  |  | See Accompanying Notes |

December 31, 2019 (Unaudited)

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
Credit Suisse Mortgage Capital Mortgage-Backed Trust |
5.896% due 04/25/2036 þ |  | $ |  |  | 210 |  |  | $ |  |  | 155 |
6.000% due 07/25/2036 |  |  |  |  | 1,124 |  |  |  |  |  | 925 |
6.500% due 05/25/2036 ^ |  |  |  |  | 164 |  |  |  |  |  | 93 |
First Horizon Alternative Mortgage Securities Trust |
4.043% due 08/25/2035 ^~ |  |  |  |  | 18 |  |  |  |  |  | 3 |
GE Commercial Mortgage Corp. Trust |
5.606% due 12/10/2049 ~ |  |  |  |  | 201 |  |  |  |  |  | 176 |
GS Mortgage Securities Corp. Trust |
4.591% due 10/10/2032 ~ |  |  |  |  | 900 |  |  |  |  |  | 883 |
GS Mortgage Securities Trust |
1.327% due 08/10/2043 ~(a) |  |  |  |  | 13,080 |  |  |  |  |  | 53 |
2.161% due 05/10/2045 ~(a) |  |  |  |  | 3,665 |  |  |  |  |  | 102 |
5.622% due 11/10/2039 |  |  |  |  | 513 |  |  |  |  |  | 402 |
GSR Mortgage Loan Trust |
3.860% due 03/25/2047 ^~(k) |  |  |  |  | 997 |  |  |  |  |  | 882 |
HarborView Mortgage Loan Trust |
2.264% due 01/19/2036 • |  |  |  |  | 626 |  |  |  |  |  | 499 |
IndyMac Mortgage Loan Trust |
2.592% due 11/25/2034 • |  |  |  |  | 102 |  |  |  |  |  | 99 |
3.444% due 05/25/2036 ~ |  |  |  |  | 135 |  |  |  |  |  | 97 |
4.349% due 06/25/2037 ~ |  |  |  |  | 233 |  |  |  |  |  | 213 |
JPMorgan Alternative Loan Trust |
6.500% due 03/25/2036 ^(k) |  |  |  |  | 1,080 |  |  |  |  |  | 895 |
JPMorgan Chase Commercial Mortgage Securities Corp. |
1.752% due 03/12/2039 ~(a) |  |  |  |  | 172 |  |  |  |  |  | 0 |
JPMorgan Chase Commercial Mortgage Securities Trust |
0.485% due 02/15/2046 ~(a) |  |  |  |  | 56,907 |  |  |  |  |  | 276 |
5.411% due 05/15/2047 (k) |  |  |  |  | 1,545 |  |  |  |  |  | 1,807 |
JPMorgan Mortgage Trust |
4.657% due 07/25/2035 ~ |  |  |  |  | 45 |  |  |  |  |  | 46 |
LB-UBS Commercial Mortgage Trust |
5.407% due 11/15/2038 ^(k) |  |  |  |  | 306 |  |  |  |  |  | 182 |
5.562% due 02/15/2040 ^~ |  |  |  |  | 119 |  |  |  |  |  | 73 |
Lehman Mortgage Trust |
5.000% due 08/25/2021 ^ |  |  |  |  | 74 |  |  |  |  |  | 75 |
5.777% due 04/25/2036 ^~ |  |  |  |  | 145 |  |  |  |  |  | 128 |
6.000% due 05/25/2037 ^ |  |  |  |  | 284 |  |  |  |  |  | 288 |
MASTR Adjustable Rate Mortgages Trust |
4.103% due 11/25/2035 ^~(k) |  |  |  |  | 358 |  |  |  |  |  | 279 |
MASTR Asset Securitization Trust |
6.000% due 06/25/2036 ^• |  |  |  |  | 350 |  |  |  |  |  | 328 |
Merrill Lynch Mortgage Investors Trust |
2.212% due 07/25/2030 • |  |  |  |  | 54 |  |  |  |  |  | 52 |
2.452% due 11/25/2029 • |  |  |  |  | 80 |  |  |  |  |  | 79 |
4.372% due 11/25/2035 • |  |  |  |  | 104 |  |  |  |  |  | 106 |
Morgan Stanley Capital Trust |
0.303% due 11/12/2049 ~(a) |  |  |  |  | 5,436 |  |  |  |  |  | 9 |
5.399% due 12/15/2043 |  |  |  |  | 131 |  |  |  |  |  | 92 |
Morgan Stanley Mortgage Loan Trust |
4.042% due 01/25/2035 ^~ |  |  |  |  | 227 |  |  |  |  |  | 189 |
6.000% due 08/25/2037 ^ |  |  |  |  | 212 |  |  |  |  |  | 157 |
Morgan Stanley Resecuritization Trust |
4.540% due 03/26/2037 ~ |  |  |  |  | 4,517 |  |  |  |  |  | 4,351 |
Mortgage Equity Conversion Asset Trust |
4.000% due 07/25/2060 |  |  |  |  | 171 |  |  |  |  |  | 167 |
Motel 6 Trust |
8.666% due 08/15/2024 • |  |  |  |  | 1,222 |  |  |  |  |  | 1,244 |
Regal Trust |
2.655% due 09/29/2031 • |  |  |  |  | 16 |  |  |  |  |  | 16 |
Residential Accredit Loans, Inc. Trust |
4.879% due 01/25/2036 ^~ |  |  |  |  | 307 |  |  |  |  |  | 279 |
6.000% due 08/25/2035 ^ |  |  |  |  | 238 |  |  |  |  |  | 238 |
6.000% due 06/25/2036 ^ |  |  |  |  | 131 |  |  |  |  |  | 122 |
6.500% due 09/25/2037 ^ |  |  |  |  | 220 |  |  |  |  |  | 214 |
Residential Asset Securitization Trust |
6.000% due 03/25/2037 ^ |  |  |  |  | 207 |  |  |  |  |  | 121 |
Residential Funding Mortgage Securities, Inc. Trust |
6.000% due 06/25/2036 ^ |  |  |  |  | 199 |  |  |  |  |  | 195 |
Structured Adjustable Rate Mortgage Loan Trust |
4.022% due 04/25/2036 ^~ |  |  |  |  | 284 |  |  |  |  |  | 231 |
4.111% due 01/25/2036 ^~ |  |  |  |  | 272 |  |  |  |  |  | 202 |
4.479% due 09/25/2036 ^~ |  |  |  |  | 113 |  |  |  |  |  | 105 |

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
Structured Asset Mortgage Investments Trust |
2.002% due 08/25/2036 ^• |  | $ |  |  | 723 |  |  | $ |  |  | 698 |
TBW Mortgage-Backed Trust |
6.000% due 07/25/2036 ^ |  |  |  |  | 137 |  |  |  |  |  | 99 |
Wachovia Bank Commercial Mortgage Trust |
0.933% due 10/15/2041 ~(a) |  |  |  |  | 49 |  |  |  |  |  | 0 |
5.720% due 10/15/2048 ~(k) |  |  |  |  | 1,810 |  |  |  |  |  | 1,777 |
WaMu Mortgage Pass-Through Certificates Trust |
2.282% due 06/25/2044 • |  |  |  |  | 378 |  |  |  |  |  | 372 |
2.627% due 11/25/2046 • |  |  |  |  | 420 |  |  |  |  |  | 423 |
3.804% due 12/25/2036 ^~ |  |  |  |  | 285 |  |  |  |  |  | 286 |
Washington Mutual Mortgage Pass-Through Certificates Trust |
6.500% due 08/25/2036 ^(k) |  |  |  |  | 1,154 |  |  |  |  |  | 902 |
Wells Fargo Alternative Loan Trust |
5.500% due 07/25/2022 |  |  |  |  | 7 |  |  |  |  |  | 7 |
Wells Fargo-RBS Commercial Mortgage Trust |
0.783% due 02/15/2044 ~(a) |  |  |  |  | 13,702 |  |  |  |  |  | 77 |
Total Non-Agency Mortgage-Backed Securities (Cost $42,490) |  |  | 45,387 |
ASSET-BACKED SECURITIES 67.4% |
Asset-Backed Securities Corp. Home Equity Loan Trust |
2.887% due 02/25/2035 •(k) |  |  |  |  | 3,205 |  |  |  |  |  | 3,221 |
3.517% due 12/25/2034 •(k) |  |  |  |  | 1,504 |  |  |  |  |  | 1,509 |
5.035% due 06/21/2029 • |  |  |  |  | 91 |  |  |  |  |  | 90 |
Bayview Financial Acquisition Trust |
2.085% due 12/28/2036 • |  |  |  |  | 52 |  |  |  |  |  | 52 |
Bear Stearns Asset-Backed Securities Trust |
2.172% due 04/25/2036 • |  |  |  |  | 2,047 |  |  |  |  |  | 2,737 |
4.276% due 07/25/2036 ~ |  |  |  |  | 305 |  |  |  |  |  | 306 |
5.500% due 12/25/2035 |  |  |  |  | 37 |  |  |  |  |  | 33 |
Bombardier Capital Mortgage Securitization Corp. |
7.830% due 06/15/2030 ~ |  |  |  |  | 1,185 |  |  |  |  |  | 403 |
Centex Home Equity Loan Trust |
2.542% due 01/25/2035 •(k) |  |  |  |  | 1,643 |  |  |  |  |  | 1,624 |
Chrysler Capital Auto Receivables Trust |
0.000% due 01/16/2023 «(f) |  |  |  |  | 1 |  |  |  |  |  | 365 |
Citigroup Mortgage Loan Trust |
1.952% due 12/25/2036 • |  |  |  |  | 1,518 |  |  |  |  |  | 1,057 |
2.012% due 12/25/2036 •(k) |  |  |  |  | 830 |  |  |  |  |  | 453 |
2.242% due 11/25/2045 •(k) |  |  |  |  | 2,788 |  |  |  |  |  | 2,780 |
2.492% due 11/25/2046 • |  |  |  |  | 1,900 |  |  |  |  |  | 1,523 |
Citigroup Mortgage Loan Trust, Inc. |
2.052% due 03/25/2037 •(k) |  |  |  |  | 3,349 |  |  |  |  |  | 3,093 |
Conseco Finance Securitizations Corp. |
7.960% due 05/01/2031 |  |  |  |  | 347 |  |  |  |  |  | 185 |
9.163% due 03/01/2033 ~ |  |  |  |  | 799 |  |  |  |  |  | 733 |
Countrywide Asset-Backed Certificates |
1.922% due 12/25/2036 ^• |  |  |  |  | 1,089 |  |  |  |  |  | 1,027 |
1.932% due 06/25/2035 •(k) |  |  |  |  | 2,229 |  |  |  |  |  | 2,029 |
1.932% due 06/25/2047 ^•(k) |  |  |  |  | 2,403 |  |  |  |  |  | 2,205 |
1.942% due 04/25/2047 ^•(k) |  |  |  |  | 760 |  |  |  |  |  | 734 |
1.992% due 06/25/2037 ^•(k) |  |  |  |  | 702 |  |  |  |  |  | 681 |
2.032% due 05/25/2036 •(k) |  |  |  |  | 8,330 |  |  |  |  |  | 6,597 |
3.442% due 06/25/2035 •(k) |  |  |  |  | 4,000 |  |  |  |  |  | 3,951 |
Countrywide Asset-Backed Certificates Trust |
2.062% due 09/25/2046 •(k) |  |  |  |  | 4,428 |  |  |  |  |  | 3,511 |
3.667% due 10/25/2035 • |  |  |  |  | 2,157 |  |  |  |  |  | 1,889 |
Crecera Americas LLC |
5.563% due 08/31/2020 • |  |  |  |  | 1,900 |  |  |  |  |  | 1,902 |
EMC Mortgage Loan Trust |
2.842% due 05/25/2040 • |  |  |  |  | 368 |  |  |  |  |  | 379 |
3.092% due 02/25/2041 • |  |  |  |  | 301 |  |  |  |  |  | 299 |
Fremont Home Loan Trust |
1.972% due 04/25/2036 • |  |  |  |  | 699 |  |  |  |  |  | 685 |
GE Capital Mortgage Services, Inc. Trust |
6.705% due 04/25/2029 ~ |  |  |  |  | 66 |  |  |  |  |  | 57 |
GSAMP Trust |
3.542% due 12/25/2034 • |  |  |  |  | 2,190 |  |  |  |  |  | 1,519 |
3.592% due 06/25/2035 •(k) |  |  |  |  | 2,200 |  |  |  |  |  | 2,183 |
Harley Marine Financing LLC |
7.869% due 05/15/2043 « |  |  |  |  | 1,000 |  |  |  |  |  | 606 |

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
Home Equity Mortgage Loan Asset-Backed Trust |
2.032% due 04/25/2037 •(k) |  | $ |  |  | 4,389 |  |  | $ |  |  | 3,248 |
HSI Asset Securitization Corp. Trust |
1.902% due 04/25/2037 •(k) |  |  |  |  | 3,589 |  |  |  |  |  | 2,353 |
Marlette Funding Trust |
0.000% due 07/16/2029 «(f) |  |  |  |  | 3 |  |  |  |  |  | 719 |
MASTR Asset-Backed Securities Trust |
1.902% due 08/25/2036 •(k) |  |  |  |  | 3,112 |  |  |  |  |  | 1,605 |
Morgan Stanley ABS Capital, Inc. Trust |
2.572% due 12/25/2034 • |  |  |  |  | 147 |  |  |  |  |  | 141 |
Morgan Stanley Home Equity Loan Trust |
2.857% due 05/25/2035 • |  |  |  |  | 1,913 |  |  |  |  |  | 1,407 |
National Collegiate Commutation Trust |
0.000% due 03/25/2038 • |  |  |  |  | 3,500 |  |  |  |  |  | 1,250 |
People’s Financial Realty Mortgage Securities Trust |
1.922% due 09/25/2036 • |  |  |  |  | 1,484 |  |  |  |  |  | 412 |
Renaissance Home Equity Loan Trust |
7.238% due 09/25/2037 ^þ(k) |  |  |  |  | 3,836 |  |  |  |  |  | 2,205 |
Residential Asset Securities Corp. Trust |
2.482% due 08/25/2035 •(k) |  |  |  |  | 4,350 |  |  |  |  |  | 4,205 |
Securitized Asset-Backed Receivables LLC Trust |
2.222% due 01/25/2035 • |  |  |  |  | 879 |  |  |  |  |  | 836 |
2.242% due 10/25/2035 •(k) |  |  |  |  | 5,500 |  |  |  |  |  | 5,405 |
SoFi Consumer Loan Program LLC |
0.000% due 11/25/2026 «(f) |  |  |  |  | 22 |  |  |  |  |  | 1,097 |
SoFi Professional Loan Program LLC |
0.000% due 03/25/2036 «(f) |  |  |  |  | 10 |  |  |  |  |  | 78 |
0.000% due 01/25/2039 (f) |  |  |  |  | 1,000 |  |  |  |  |  | 299 |
0.000% due 05/25/2040 (f) |  |  |  |  | 1,000 |  |  |  |  |  | 369 |
0.000% due 09/25/2040 (f) |  |  |  |  | 339 |  |  |  |  |  | 169 |
Structured Asset Investment Loan Trust |
3.517% due 10/25/2034 •(k) |  |  |  |  | 1,986 |  |  |  |  |  | 2,000 |
6.292% due 10/25/2033 • |  |  |  |  | 68 |  |  |  |  |  | 70 |
UCFC Manufactured Housing Contract |
7.900% due 01/15/2028 ^~ |  |  |  |  | 262 |  |  |  |  |  | 258 |
UPS Capital Business Credit |
7.664% due 04/15/2026 ^«•(d) |  |  |  |  | 1,856 |  |  |  |  |  | 0 |
Total Asset-Backed Securities (Cost $72,207) |  |  |  |  |  | 78,544 |
|  |  |  | SHARES |  |  |  |  |  |
COMMON STOCKS 1.6% |
COMMUNICATION SERVICES 0.4% |
Clear Channel Outdoor Holdings, Inc. (e) |  |  |  |  | 108,013 |  |  |  |  |  | 309 |
iHeartMedia, Inc. |  |  |  |  | 83 |  |  |  |  |  | 1 |
iHeartMedia, Inc. ‘A’ (e) |  |  |  |  | 6,080 |  |  |  |  |  | 103 |
|  |  |  |  |  |  |  |  |  |  | 413 |
CONSUMER DISCRETIONARY 0.8% |
Caesars Entertainment Corp. (e) |  |  |  |  | 71,398 |  |  |  |  |  | 971 |
ENERGY 0.0% |
Forbes Energy Services Ltd. (e)(i) |  |  |  |  | 35,625 |  |  |  |  |  | 9 |
INDUSTRIALS 0.1% |
Westmoreland Mining Holdings LLC «(i) |  |  |  |  | 9,231 |  |  |  |  |  | 139 |
UTILITIES 0.3% |
TexGen Power LLC « |  |  |  |  | 9,914 |  |  |  |  |  | 354 |
Total Common Stocks (Cost $3,931) |  |  |  |  |  | 1,886 |
WARRANTS 0.8% |
COMMUNICATION SERVICES 0.6% |
iHeartMedia, Inc. |  |  |  |  | 39,591 |  |  |  |  |  | 669 |

See Accompanying Notes |  | SEMIANNUAL REPORT |  | DECEMBER 31, 2019 |  | 33

Schedule of Investments PIMCO PCM Fund, Inc. (Cont.)

|  |  |  | SHARES |  |  |  |  | MARKET VALUE (000S) |
INDUSTRIALS 0.2% |
Sequa Corp. - Exp. 04/28/2024 « |  |  |  |  | 118,000 |  |  | $ |  |  | 256 |
Total Warrants (Cost $876) |  |  | 925 |
PREFERRED SECURITIES 2.8% |
INDUSTRIALS 2.8% |
General Electric Co. |
5.000% due 01/21/2021 •(h) |  |  |  |  | 53,000 |  |  |  |  |  | 52 |
Sequa Corp. (12.000% PIK) |
12.000% «(c) |  |  |  |  | 2,745 |  |  |  |  |  | 3,182 |
Total Preferred Securities (Cost $2,141) |  |  | 3,234 |

|  |  |  | SHARES |  |  |  |  | MARKET VALUE (000S) |
REAL ESTATE INVESTMENT TRUSTS 2.3% |
REAL ESTATE 2.3% |
VICI Properties, Inc. |  |  |  |  | 104,988 |  |  | $ |  |  | 2,682 |
Total Real Estate Investment Trusts (Cost $1,538) |  |  | 2,682 |
SHORT-TERM INSTRUMENTS 4.8% |
REPURCHASE AGREEMENTS (j) 4.4% |
|  |  |  |  |  |  |  |  |  |  | 5,091 |

|  |  |  | SHARES |  |  |  |  | MARKET VALUE (000S) |
U.S. TREASURY BILLS 0.4% |
1.662% due 01/16/2020 (f)(g)(n) |  |  |  |  | 493 |  |  | $ |  |  | 493 |
Total Short-Term Instruments (Cost $5,584) |  |  | 5,584 |
Total Investments in Securities (Cost $184,472) |  |  | 193,785 |
Total Investments 166.3% (Cost $184,472) |  |  | $ |  |  | 193,785 |
Financial Derivative Instruments (l)(m) (0.3)% (Cost or Premiums, net $180) |  |  |  |  |  |  |  |  |  |  | (340 | )
Other Assets and Liabilities, net (66.0)% |  |  | (76,907 | )
Net Assets Applicable to Common Shareholders 100.0% |  |  | $ |  |  | 116,538 |

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) | Interest only security.

(b) | Principal only security.

(c) | Payment in-kind security.

(d) | Security is not accruing income as of the date of this report.

(e) | Security did not produce income within the last twelve months.

(f) | Zero coupon security.

(g) | Coupon represents a yield to maturity.

(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 |
Forbes Energy Services Ltd. |  |  |  |  |  |  |  |  | 07/29/2014 |  |  | $ | 1,769 |  |  | $ | 9 |  |  |  | 0.01 | %
Westmoreland Mining Holdings LLC |  |  |  |  |  |  |  |  | 12/08/2014 |  |  |  | 269 |  |  |  | 139 |  |  |  | 0.12 |
|  |  | $ | 2,038 |  |  | $ | 148 |  |  |  | 0.13 | %

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 |  |  | 1.250 | % |  |  | 12/31/2019 |  |  |  | 01/02/2020 |  |  | $ | 591 |  |  | U.S. Treasury Inflation Protected Securities 0.125% due 04/15/2020 |  | $ | (604 | ) |  | $ | 591 |  |  | $ | 591 |
RDR |  |  | 1.600 |  |  |  | 12/31/2019 |  |  |  | 01/02/2020 |  |  |  | 4,500 |  |  | U.S. Treasury Notes 3.125% due 11/15/2028 |  |  | (4,590 | ) |  |  | 4,500 |  |  |  | 4,500 |
Total Repurchase Agreements |  |  |  |  | $ | (5,194 | ) |  | $ | 5,091 |  |  | $ | 5,091 |

34 |  | PIMCO CLOSED-END FUNDS |  |  |  |  | See Accompanying Notes |

December 31, 2019 (Unaudited)

REVERSE REPURCHASE AGREEMENTS:

Counterparty |  | Borrowing Rate(2) |  |  | Settlement Date |  |  | Maturity Date |  |  | Amount Borrowed(2) |  |  | Payable for Reverse Repurchase Agreements |
BNY |  |  | 2.834 | % |  |  | 10/15/2019 |  |  |  | 01/08/2020 |  |  | $ |  |  |  |  | (7,015 | ) |  | $ | (7,058 | )
BOS |  |  | 2.600 |  |  |  | 11/12/2019 |  |  |  | 01/14/2020 |  |  |  |  |  |  |  | (79 | ) |  |  | (79 | )
|  |  | 2.836 |  |  |  | 10/24/2019 |  |  |  | 01/24/2020 |  |  |  |  |  |  |  | (5,470 | ) |  |  | (5,500 | )
BPS |  |  | 2.703 |  |  |  | 11/18/2019 |  |  |  | 02/18/2020 |  |  |  |  |  |  |  | (153 | ) |  |  | (154 | )
|  |  | 2.853 |  |  |  | 11/18/2019 |  |  |  | 02/18/2020 |  |  |  |  |  |  |  | (2,065 | ) |  |  | (2,072 | )
BRC |  |  | 2.903 |  |  |  | 11/18/2019 |  |  |  | 02/18/2020 |  |  |  |  |  |  |  | (2,147 | ) |  |  | (2,155 | )
|  |  | 2.909 |  |  |  | 12/02/2019 |  |  |  | 03/04/2020 |  |  |  |  |  |  |  | (161 | ) |  |  | (161 | )
CEW |  |  | 2.470 |  |  |  | 10/22/2019 |  |  |  | 01/22/2020 |  |  |  |  |  |  |  | (262 | ) |  |  | (263 | )
DBL |  |  | 2.642 |  |  |  | 12/05/2019 |  |  |  | 03/05/2020 |  |  |  |  |  |  |  | (311 | ) |  |  | (312 | )
JPS |  |  | 2.465 |  |  |  | 12/06/2019 |  |  |  | 01/06/2020 |  |  |  |  |  |  |  | (2,556 | ) |  |  | (2,561 | )
MZF |  |  | 2.803 |  |  |  | 11/05/2019 |  |  |  | 01/06/2020 |  |  |  |  |  |  |  | (2,519 | ) |  |  | (2,530 | )
NOM |  |  | 2.350 |  |  |  | 11/04/2019 |  |  |  | 01/03/2020 |  |  |  |  |  |  |  | (198 | ) |  |  | (199 | )
|  |  | 2.400 |  |  |  | 01/03/2020 |  |  |  | 02/04/2020 |  |  |  |  |  |  |  | (159 | ) |  |  | (159 | )
RBC |  |  | 2.905 |  |  |  | 11/06/2019 |  |  |  | 01/06/2020 |  |  |  |  |  |  |  | (635 | ) |  |  | (638 | )
RTA |  |  | 2.270 |  |  |  | 11/14/2019 |  |  |  | 01/14/2020 |  |  |  |  |  |  |  | (2,628 | ) |  |  | (2,636 | )
|  |  | 2.328 |  |  |  | 11/18/2019 |  |  |  | 02/18/2020 |  |  |  |  |  |  |  | (940 | ) |  |  | (943 | )
|  |  | 2.334 |  |  |  | 10/31/2019 |  |  |  | 01/31/2020 |  |  |  |  |  |  |  | (647 | ) |  |  | (650 | )
|  |  | 2.794 |  |  |  | 11/06/2019 |  |  |  | 02/04/2020 |  |  |  |  |  |  |  | (2,814 | ) |  |  | (2,826 | )
|  |  | 2.794 |  |  |  | 11/07/2019 |  |  |  | 02/05/2020 |  |  |  |  |  |  |  | (9,899 | ) |  |  | (9,942 | )
|  |  | 2.809 |  |  |  | 10/31/2019 |  |  |  | 01/29/2020 |  |  |  |  |  |  |  | (1,746 | ) |  |  | (1,755 | )
SAL |  |  | 2.909 |  |  |  | 11/12/2019 |  |  |  | 02/10/2020 |  |  |  |  |  |  |  | (3,651 | ) |  |  | (3,666 | )
SGY |  |  | 2.360 |  |  |  | 12/31/2019 |  |  |  | 02/13/2020 |  |  |  |  |  |  |  | (97 | ) |  |  | (97 | )
SOG |  |  | 2.350 |  |  |  | 11/18/2019 |  |  |  | 02/18/2020 |  |  |  |  |  |  |  | (999 | ) |  |  | (1,002 | )
|  |  | 2.360 |  |  |  | 11/15/2019 |  |  |  | 02/13/2020 |  |  |  |  |  |  |  | (826 | ) |  |  | (829 | )
|  |  | 2.400 |  |  |  | 10/31/2019 |  |  |  | 01/31/2020 |  |  |  |  |  |  |  | (317 | ) |  |  | (318 | )
|  |  | 2.746 |  |  |  | 11/14/2019 |  |  |  | 01/16/2020 |  |  |  |  |  |  |  | (294 | ) |  |  | (295 | )
|  |  | 2.934 |  |  |  | 10/10/2019 |  |  |  | 01/08/2020 |  |  |  |  |  |  |  | (745 | ) |  |  | (750 | )
|  |  | 2.952 |  |  |  | 10/17/2019 |  |  |  | 01/17/2020 |  |  |  |  |  |  |  | (2,448 | ) |  |  | (2,463 | )
UBS |  |  | 2.250 |  |  |  | 11/01/2019 |  |  |  | TBD | (3) |  |  |  |  |  |  | (2,179 | ) |  |  | (2,187 | )
|  |  | 2.300 |  |  |  | 12/13/2019 |  |  |  | 01/10/2020 |  |  |  |  |  |  |  | (1,681 | ) |  |  | (1,683 | )
|  |  | 2.300 |  |  |  | 12/31/2019 |  |  |  | 01/10/2020 |  |  |  |  |  |  |  | (355 | ) |  |  | (355 | )
|  |  | 2.450 |  |  |  | 11/05/2019 |  |  |  | 02/03/2020 |  |  |  |  |  |  |  | (1,660 | ) |  |  | (1,667 | )
|  |  | 2.450 |  |  |  | 11/07/2019 |  |  |  | 02/05/2020 |  |  |  |  |  |  |  | (69 | ) |  |  | (69 | )
|  |  | 2.450 |  |  |  | 11/08/2019 |  |  |  | 02/06/2020 |  |  |  |  |  |  |  | (1,572 | ) |  |  | (1,578 | )
|  |  | 2.450 |  |  |  | 11/19/2019 |  |  |  | 01/07/2020 |  |  |  |  |  |  |  | (380 | ) |  |  | (381 | )
|  |  | 2.450 |  |  |  | 11/21/2019 |  |  |  | 02/19/2020 |  |  |  |  |  |  |  | (859 | ) |  |  | (861 | )
|  |  | 2.450 |  |  |  | 12/31/2019 |  |  |  | 02/06/2020 |  |  |  |  |  |  |  | (1,294 | ) |  |  | (1,294 | )
|  |  | 2.500 |  |  |  | 11/08/2019 |  |  |  | 02/06/2020 |  |  |  |  |  |  |  | (1,261 | ) |  |  | (1,266 | )
|  |  | 2.500 |  |  |  | 12/13/2019 |  |  |  | 01/10/2020 |  |  |  |  |  |  |  | (177 | ) |  |  | (177 | )
|  |  | 2.600 |  |  |  | 11/19/2019 |  |  |  | 01/07/2020 |  |  |  |  |  |  |  | (107 | ) |  |  | (107 | )
|  |  | 2.800 |  |  |  | 11/13/2019 |  |  |  | 01/10/2020 |  |  |  |  |  |  |  | (3,315 | ) |  |  | (3,328 | )
|  |  | 2.844 |  |  |  | 11/07/2019 |  |  |  | 02/05/2020 |  |  |  |  |  |  |  | (1,517 | ) |  |  | (1,524 | )
|  |  | 2.850 |  |  |  | 12/04/2019 |  |  |  | 03/03/2020 |  |  |  |  |  |  |  | (1,642 | ) |  |  | (1,646 | )
|  |  | 3.035 |  |  |  | 10/03/2019 |  |  |  | 01/06/2020 |  |  |  |  |  |  |  | (3,063 | ) |  |  | (3,087 | )
|  |  | 3.130 |  |  |  | 10/24/2019 |  |  |  | 01/17/2020 |  |  |  |  |  |  |  | (1,380 | ) |  |  | (1,388 | )
Total Reverse Repurchase Agreements |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | (74,611 | )

SHORT SALES:

Description |  | Coupon |  |  | Maturity Date |  |  | Principal Amount |  |  | Proceeds |  |  | Payable for Short Sales(4) |
U.S. Treasury Obligations (0.1)% |
U.S. Treasury Bonds |  |  | 2.875% |  |  |  | 05/15/2049 |  |  | $ | 71 |  |  | $ | (78 | ) |  | $ | (78 | )
Total Short Sales (0.1)% |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | (78 | ) |  | $ | (78 | )

See Accompanying Notes |  | SEMIANNUAL REPORT |  | DECEMBER 31, 2019 |  | 35

Schedule of Investments PIMCO PCM Fund, Inc. (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, 2019:

Counterparty |  | Repurchase Agreement Proceeds to be Received(1) |  |  | Payable for Reverse Repurchase Agreements |  |  | Payable for Sale-Buyback Transactions |  |  | Payable for Short Sales(4) |  |  | Total Borrowings and Other Financing Transactions |  |  | Collateral Pledged/(Received) |  |  | Net Exposure(5) |
Global/Master Repurchase Agreement |
BNY |  | $ | 0 |  |  | $ | (7,058 | ) |  | $ | 0 |  |  | $ | 0 |  |  | $ | (7,058 | ) |  | $ | 9,151 |  |  | $ | 2,093 |
BOS |  |  | 0 |  |  |  | (5,579 | ) |  |  | 0 |  |  |  | 0 |  |  |  | (5,579 | ) |  |  | 7,816 |  |  |  | 2,237 |
BPS |  |  | 0 |  |  |  | (2,226 | ) |  |  | 0 |  |  |  | 0 |  |  |  | (2,226 | ) |  |  | 2,821 |  |  |  | 595 |
BRC |  |  | 0 |  |  |  | (2,316 | ) |  |  | 0 |  |  |  | 0 |  |  |  | (2,316 | ) |  |  | 3,231 |  |  |  | 915 |
CEW |  |  | 0 |  |  |  | (263 | ) |  |  | 0 |  |  |  | 0 |  |  |  | (263 | ) |  |  | 289 |  |  |  | 26 |
DBL |  |  | 0 |  |  |  | (312 | ) |  |  | 0 |  |  |  | 0 |  |  |  | (312 | ) |  |  | 453 |  |  |  | 141 |
FICC |  |  | 591 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 591 |  |  |  | (604 | ) |  |  | (13 | )
JPS |  |  | 0 |  |  |  | (2,561 | ) |  |  | 0 |  |  |  | 0 |  |  |  | (2,561 | ) |  |  | 2,780 |  |  |  | 219 |
MZF |  |  | 0 |  |  |  | (2,530 | ) |  |  | 0 |  |  |  | 0 |  |  |  | (2,530 | ) |  |  | 3,248 |  |  |  | 718 |
NOM |  |  | 0 |  |  |  | (358 | ) |  |  | 0 |  |  |  | 0 |  |  |  | (358 | ) |  |  | 179 |  |  |  | (179 | )
RBC |  |  | 0 |  |  |  | (638 | ) |  |  | 0 |  |  |  | 0 |  |  |  | (638 | ) |  |  | 877 |  |  |  | 239 |
RDR |  |  | 4,500 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 4,500 |  |  |  | (4,590 | ) |  |  | (90 | )
RTA |  |  | 0 |  |  |  | (18,752 | ) |  |  | 0 |  |  |  | 0 |  |  |  | (18,752 | ) |  |  | 23,975 |  |  |  | 5,223 |
SAL |  |  | 0 |  |  |  | (3,666 | ) |  |  | 0 |  |  |  | 0 |  |  |  | (3,666 | ) |  |  | 4,764 |  |  |  | 1,098 |
SGY |  |  | 0 |  |  |  | (97 | ) |  |  | 0 |  |  |  | 0 |  |  |  | (97 | ) |  |  | 0 |  |  |  | (97 | )
SOG |  |  | 0 |  |  |  | (5,657 | ) |  |  | 0 |  |  |  | 0 |  |  |  | (5,657 | ) |  |  | 6,899 |  |  |  | 1,242 |
UBS |  |  | 0 |  |  |  | (22,598 | ) |  |  | 0 |  |  |  | 0 |  |  |  | (22,598 | ) |  |  | 28,361 |  |  |  | 5,763 |
Master Securities Forward Transaction Agreement |
BCY |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | (78 | ) |  |  |  |  |  |  |  |  |  |  |  |
Total Borrowings and Other Financing Transactions |  | $ | 5,091 |  |  | $ | (74,611 | ) |  | $ | 0 |  |  | $ | (78 | ) |  |  |  |  |  |  |  |  |  |  |  |

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 |  |  | $ | (5,802 | ) |  | $ | (10,573 | ) |  | $ | (2,187 | ) |  | $ | (18,562 | )
U.S. Government Agencies |  |  | 0 |  |  |  | (1,388 | ) |  |  | (1,006 | ) |  |  | 0 |  |  |  | (2,394 | )
Non-Agency Mortgage-Backed Securities |  |  | 0 |  |  |  | (1,763 | ) |  |  | (7,202 | ) |  |  | 0 |  |  |  | (8,965 | )
Asset-Backed Securities |  |  | 0 |  |  |  | (28,281 | ) |  |  | (16,250 | ) |  |  | 0 |  |  |  | (44,531 | )
Total Borrowings |  | $ | 0 |  |  | $ | (37,234 | ) |  | $ | (35,031 | ) |  | $ | (2,187 | ) |  | $ | (74,452 | )
Payable for reverse repurchase agreements(6) |  |  | $ | (74,452 | )

(k) | Securities with an aggregate market value of $95,134 have been pledged as collateral under the terms of the above master agreements as of December 31, 2019.

(1) | Includes accrued interest.

(2) | The average amount of borrowings outstanding during the period ended December 31, 2019 was $(71,442) at a weighted average interest rate of 3.008%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.

(3) | Open maturity reverse repurchase agreement.

(4) | Payable for short sales includes $0 of accrued interest.

(5) | 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.

(6) | Unsettled reverse repurchase agreements liability of $(159) is outstanding at period end.

(l) 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, 2019(2) |  |  | Notional Amount(3) |  |  | Premiums Paid/(Received) |  |  | Unrealized Appreciation/ (Depreciation) |  |  | Market Value(4) |  |  | Variation Margin |
| Asset |  |  | Liability |
Frontier Communications Corp. |  |  | 5.000 | % |  |  | Quarterly |  |  | 06/20/2020 |  |  | 195.572 | % |  | $ | 590 |  |  | $ | (33 | ) |  | $ | (232 | ) |  | $ | (265 | ) |  | $ | 0 |  |  | $ | (4 | )
Sprint Communications, Inc. |  |  | 5.000 |  |  |  | Quarterly |  |  | 12/20/2021 |  |  | 1.142 |  |  |  | 300 |  |  |  | 9 |  |  |  | 14 |  |  |  | 23 |  |  |  | 0 |  |  |  | 0 |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | (24 | ) |  | $ | (218 | ) |  | $ | (242 | ) |  | $ | 0 |  |  | $ | (4 | )

36 |  | PIMCO CLOSED-END FUNDS |  |  |  |  | See Accompanying Notes |

December 31, 2019 (Unaudited)

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 |  | 3-Month USD-LIBOR |  |  | 2.750 | % |  |  | Semi-Annual |  |  |  | 12/19/2023 |  |  | $ | 15,300 |  |  | $ | (131 | ) |  | $ | 748 |  |  | $ | 617 |  |  | $ | 0 |  |  | $ | (13 | )
Pay |  | 3-Month USD-LIBOR |  |  | 1.750 |  |  |  | Semi-Annual |  |  |  | 12/21/2023 |  |  |  | 32,300 |  |  |  | 606 |  |  |  | (558 | ) |  |  | 48 |  |  |  | 0 |  |  |  | (27 | )
Pay |  | 3-Month USD-LIBOR |  |  | 1.750 |  |  |  | Semi-Annual |  |  |  | 12/21/2026 |  |  |  | 3,200 |  |  |  | 77 |  |  |  | (89 | ) |  |  | (12 | ) |  |  | 0 |  |  |  | (7 | )
Pay |  | 3-Month USD-LIBOR |  |  | 3.000 |  |  |  | Semi-Annual |  |  |  | 06/19/2029 |  |  |  | 7,800 |  |  |  | 630 |  |  |  | 130 |  |  |  | 760 |  |  |  | 0 |  |  |  | (23 | )
Receive |  | 3-Month USD-LIBOR |  |  | 3.000 |  |  |  | Semi-Annual |  |  |  | 12/19/2038 |  |  |  | 9,000 |  |  |  | 30 |  |  |  | (1,369 | ) |  |  | (1,339 | ) |  |  | 67 |  |  |  | 0 |
Receive(5) |  | 3-Month USD-LIBOR |  |  | 2.000 |  |  |  | Semi-Annual |  |  |  | 01/15/2050 |  |  |  | 100 |  |  |  | (1 | ) |  |  | 3 |  |  |  | 2 |  |  |  | 1 |  |  |  | 0 |
Receive(5) |  | 3-Month USD-LIBOR |  |  | 1.625 |  |  |  | Semi-Annual |  |  |  | 01/16/2050 |  |  |  | 400 |  |  |  | 0 |  |  |  | 45 |  |  |  | 45 |  |  |  | 4 |  |  |  | 0 |
Receive(5) |  | 3-Month USD-LIBOR |  |  | 1.750 |  |  |  | Semi-Annual |  |  |  | 01/22/2050 |  |  |  | 700 |  |  |  | (4 | ) |  |  | 62 |  |  |  | 58 |  |  |  | 8 |  |  |  | 0 |
Receive(5) |  | 3-Month USD-LIBOR |  |  | 1.625 |  |  |  | Semi-Annual |  |  |  | 02/03/2050 |  |  |  | 400 |  |  |  | (1 | ) |  |  | 46 |  |  |  | 45 |  |  |  | 4 |  |  |  | 0 |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | 1,206 |  |  | $ | (982 | ) |  | $ | 224 |  |  | $ | 84 |  |  | $ | (70 | )
Total Swap Agreements |  |  | $ | 1,182 |  |  | $ | (1,200 | ) |  | $ | (18 | ) |  | $ | 84 |  |  | $ | (74 | )

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, 2019:

|  | 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 |  |  | $ | 84 |  |  | $ | 84 |  |  |  |  |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | (74) |  |  | $ | (74 | )

Cash of $1,162 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2019. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information.

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

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

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

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

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

(m) FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER

SWAP AGREEMENTS:

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

Counterparty |  | Index/Tranches |  | Fixed Receive Rate |  |  | Payment Frequency |  | Maturity Date |  |  | Notional Amount(2) |  |  | Premiums Paid/(Received) |  |  | Unrealized Appreciation/ (Depreciation) |  |  | Swap Agreements, at Value(3) |
| Asset |  |  | Liability |
GST |  | ABX.HE.AA.6-1 Index |  |  | 0.320 | % |  | Monthly |  |  | 07/25/2045 |  |  | $ | 4,083 |  |  | $ | (812 | ) |  | $ | 589 |  |  | $ | 0 |  |  | $ | (223 | )
|  | ABX.HE.PENAAA.7-1 Index |  |  | 0.090 |  |  | Monthly |  |  | 08/25/2037 |  |  |  | 978 |  |  |  | (190 | ) |  |  | 63 |  |  |  | 0 |  |  |  | (127 | )
Total Swap Agreements |  |  | $ | (1,002 | ) |  | $ | 652 |  |  | $ | 0 |  |  | $ | (350 | )

See Accompanying Notes |  | SEMIANNUAL REPORT |  | DECEMBER 31, 2019 |  | 37

Schedule of Investments PIMCO PCM Fund, Inc. (Cont.)

FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER SUMMARY

The following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral pledged/(received) as of December 31, 2019:

|  | Financial Derivative Assets |  |  |  |  |  | Financial Derivative Liabilities |  |  |  |  |  |  |  |  |  |
Counterparty |  | Forward Foreign Currency Contracts |  |  | Purchased Options |  |  | Swap Agreements |  |  | Total Over the Counter |  |  |  |  |  | Forward Foreign Currency Contracts |  |  | Written Options |  |  | Swap Agreements |  |  | Total Over the Counter |  |  | Net Market Value of OTC Derivatives |  |  | Collateral Pledged/ (Received) |  |  | Net Exposure(4) |
GST |  | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |  |  |  |  |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | (350 | ) |  | $ | (350 | ) |  | $ | (350 | ) |  | $ | 493 |  |  | $ | 143 |

(n) | Securities with an aggregate market value of $493 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2019.

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

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

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

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

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 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, 2019:

|  | 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 |  |  | $ | 84 |  |  | $ | 84 |
Financial Derivative Instruments - Liabilities |
Exchange-traded or centrally cleared |
Swap Agreements |  | $ | 0 |  |  | $ | 4 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 70 |  |  | $ | 74 |
Over the counter |
Swap Agreements |  | $ | 0 |  |  | $ | 350 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 350 |
|  | $ | 0 |  |  | $ | 354 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 70 |  |  | $ | 424 |

The effect of Financial Derivative Instruments on the Statements of Operations for the period ended December 31, 2019:

|  | Derivatives not accounted for as hedging instruments |
|  | Commodity Contracts |  |  | Credit Contracts |  |  | Equity Contracts |  |  | Foreign Exchange Contracts |  |  | Interest Rate Contracts |  |  | Total |
Net Realized Gain (Loss) on Financial Derivative Instruments |
Exchange-traded or centrally cleared |
Swap Agreements |  | $ | 0 |  |  | $ | 50 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | (956 | ) |  | $ | (906 | )
Over the counter |
Swap Agreements |  | $ | 0 |  |  | $ | 86 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 86 |
|  | $ | 0 |  |  | $ | 136 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | (956 | ) |  | $ | (820 | )
Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative Instruments |
Exchange-traded or centrally cleared |
Swap Agreements |  | $ | 0 |  |  | $ | (151 | ) |  | $ | 0 |  |  | $ | 0 |  |  | $ | 588 |  |  | $ | 437 |
Over the counter |
Swap Agreements |  | $ | 0 |  |  | $ | (60 | ) |  | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | (60 | )
|  | $ | 0 |  |  | $ | (211 | ) |  | $ | 0 |  |  | $ | 0 |  |  | $ | 588 |  |  | $ | 377 |

38 |  | PIMCO CLOSED-END FUNDS |  |  |  |  | See Accompanying Notes |

December 31, 2019 (Unaudited)

FAIR VALUE MEASUREMENTS

The following is a summary of the fair valuations according to the inputs used as of December 31, 2019 in valuing the Fund’s assets and liabilities:

Category and Subcategory |  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Fair Value at 12/31/2019 |
Investments in Securities, at Value |
Loan Participations and Assignments |  | $ | 0 |  |  | $ | 17,351 |  |  | $ | 3,226 |  |  | $ | 20,577 |
Corporate Bonds & Notes |
Banking & Finance |  |  | 0 |  |  |  | 6,626 |  |  |  | 0 |  |  |  | 6,626 |
Industrials |  |  | 0 |  |  |  | 15,972 |  |  |  | 0 |  |  |  | 15,972 |
Utilities |  |  | 0 |  |  |  | 6,011 |  |  |  | 0 |  |  |  | 6,011 |
Convertible Bonds & Notes |
Industrials |  |  | 0 |  |  |  | 53 |  |  |  | 0 |  |  |  | 53 |
Municipal Bonds & Notes |
West Virginia |  |  | 0 |  |  |  | 811 |  |  |  | 0 |  |  |  | 811 |
U.S. Government Agencies |  |  | 0 |  |  |  | 5,493 |  |  |  | 0 |  |  |  | 5,493 |
Non-Agency Mortgage-Backed Securities |  |  | 0 |  |  |  | 45,050 |  |  |  | 337 |  |  |  | 45,387 |
Asset-Backed Securities |  |  | 0 |  |  |  | 75,679 |  |  |  | 2,865 |  |  |  | 78,544 |
Common Stocks |
Communication Services |  |  | 412 |  |  |  | 1 |  |  |  | 0 |  |  |  | 413 |
Consumer Discretionary |  |  | 971 |  |  |  | 0 |  |  |  | 0 |  |  |  | 971 |
Energy |  |  | 9 |  |  |  | 0 |  |  |  | 0 |  |  |  | 9 |
Industrials |  |  | 0 |  |  |  | 0 |  |  |  | 139 |  |  |  | 139 |
Utilities |  |  | 0 |  |  |  | 0 |  |  |  | 354 |  |  |  | 354 |
Warrants |
Communication Services |  |  | 0 |  |  |  | 669 |  |  |  | 0 |  |  |  | 669 |
Industrials |  |  | 0 |  |  |  | 0 |  |  |  | 256 |  |  |  | 256 |
Preferred Securities |
Industrials |  |  | 0 |  |  |  | 52 |  |  |  | 3,182 |  |  |  | 3,234 |
Real Estate Investment Trusts |
Real Estate |  |  | 2,682 |  |  |  | 0 |  |  |  | 0 |  |  |  | 2,682 |

Category and Subcategory |  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Fair Value at 12/31/2019 |
Short-Term Instruments |
Repurchase Agreements |  | $ | 0 |  |  | $ | 5,091 |  |  | $ | 0 |  |  | $ | 5,091 |
U.S. Treasury Bills |  |  | 0 |  |  |  | 493 |  |  |  | 0 |  |  |  | 493 |
Total Investments |  | $ | 4,074 |  |  | $ | 179,352 |  |  | $ | 10,359 |  |  | $ | 193,785 |
Short Sales, at Value - Liabilities |
U.S. Treasury Obligations |  | $ | 0 |  |  | $ | (78 | ) |  | $ | 0 |  |  | $ | (78 | )
Financial Derivative Instruments - Assets |
Exchange-traded or centrally cleared |  | $ | 0 |  |  | $ | 84 |  |  | $ | 0 |  |  | $ | 84 |
Financial Derivative Instruments - Liabilities |
Exchange-traded or centrally cleared |  |  | 0 |  |  |  | (74 | ) |  |  | 0 |  |  |  | (74 | )
Over the counter |  |  | 0 |  |  |  | (350 | ) |  |  | 0 |  |  |  | (350 | )
|  | $ | 0 |  |  | $ | (424 | ) |  | $ | 0 |  |  | $ | (424 | )
Total Financial Derivative Instruments |  | $ | 0 |  |  | $ | (340 | ) |  | $ | 0 |  |  | $ | (340 | )
Totals |  | $ | 4,074 |  |  | $ | 178,934 |  |  | $ | 10,359 |  |  | $ | 193,367 |

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended December 31, 2019:

Category and Subcategory |  | Beginning Balance at 06/30/2019 |  |  | Net Purchases |  |  | Net Sales/ Settlements |  |  | Accrued Discounts/ (Premiums) |  |  | Realized Gain/(Loss) |  |  | Net Change in Unrealized Appreciation/ (Depreciation)(1) |  |  | Transfers into Level 3 |  |  | Transfers out of Level 3 |  |  | Ending Balance at 12/31/2019 |  |  | Net Change in Unrealized Appreciation/ (Depreciation) on Investments Held at 12/31/2019(1) |
Investments in Securities, at Value |
Loan Participations and Assignments |  | $ | 2,020 |  |  | $ | 3,181 |  |  | $ | (73 | ) |  | $ | (7 | ) |  | $ | 0 |  |  | $ | (80 | ) |  | $ | 0 |  |  | $ | (1,815 | ) |  | $ | 3,226 |  |  | $ | 2 |
Non-Agency Mortgage-Backed Securities |  |  | 377 |  |  |  | 0 |  |  |  | (23 | ) |  |  | 2 |  |  |  | 0 |  |  |  | (19 | ) |  |  | 0 |  |  |  | 0 |  |  |  | 337 |  |  |  | (18 | )
Asset-Backed Securities |  |  | 3,391 |  |  |  | 0 |  |  |  | 0 |  |  |  | 2 |  |  |  | 0 |  |  |  | (528 | ) |  |  | 0 |  |  |  | 0 |  |  |  | 2,865 |  |  |  | (528 | )
Common Stocks |
Industrials |  |  | 134 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 5 |  |  |  | 0 |  |  |  | 0 |  |  |  | 139 |  |  |  | 5 |
Utilities |  |  | 389 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | (35 | ) |  |  | 0 |  |  |  | 0 |  |  |  | 354 |  |  |  | (35 | )
Warrants |
Industrials |  |  | 139 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 117 |  |  |  | 0 |  |  |  | 0 |  |  |  | 256 |  |  |  | 117 |
Preferred Securities |
Industrials |  |  | 2,763 |  |  |  | 166 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 253 |  |  |  | 0 |  |  |  | 0 |  |  |  | 3,182 |  |  |  | 253 |
Totals |  | $ | 9,213 |  |  | $ | 3,347 |  |  | $ | (96 | ) |  | $ | (3 | ) |  | $ | 0 |  |  | $ | (286 | ) |  | $ | 0 |  |  | $ | (1,816 | ) |  | $ | 10,359 |  |  | $ | (204 | )

See Accompanying Notes |  | SEMIANNUAL REPORT |  | DECEMBER 31, 2019 |  | 39

Schedule of Investments PIMCO PCM Fund, Inc. (Cont.)

December 31, 2019 (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 12/31/2019 |  |  | Valuation Technique |  | Unobservable Inputs |  |  | (% Unless Noted Otherwise) |
| Input Value(s) |  |  | Weighted Average |
Investments in Securities, at Value |  |  |  |  |  |  |  |  |  |  |  |
Loan Participations and Assignments |  | $ | 2,914 |  |  | Other Valuation Techniques(2) |  |  | — |  |  |  | — |  |  |  | — |
|  |  | 312 |  |  | Third Party Vendor |  |  | Broker Quote |  |  |  | 99.250-101.000 |  |  |  | 100.410 |
Non-Agency Mortgage-Backed Securities |  |  | 337 |  |  | Proxy Pricing |  |  | Base Price |  |  |  | 2.000-99.375 |  |  |  | 89.931 |
Asset-Backed Securities |  |  | 605 |  |  | Discounted Cash Flow |  |  | Discount Rate |  |  |  | 8.740 |  |  |  | — |
|  |  | 2,260 |  |  | Proxy Pricing |  |  | Base Price |  |  |  | 0.000-53,000.000 |  |  |  | 19,877.647 |
Common Stocks |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Industrials |  |  | 139 |  |  | Indicative Market Quotation |  |  | Broker Quote |  |  | $ | 15.000 |  |  |  | — |
Utilities |  |  | 354 |  |  | Indicative Market Quotation |  |  | Broker Quote |  |  | $ | 35.750 |  |  |  | — |
Warrants |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Industrials |  |  | 256 |  |  | Other Valuation Techniques(2) |  |  | — |  |  |  | — |  |  |  | — |
Preferred Securities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Industrials |  |  | 3,182 |  |  | Fundamental valuation |  |  | Company Equity Value |  |  | $ | 934,387,328.532 |  |  |  | — |
Total |  | $ | 10,359 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

(1) | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at December 31, 2019 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.

40 |  | PIMCO CLOSED-END FUNDS |  |  |  |  | See Accompanying Notes |

Schedule of Investments PIMCO Global StocksPLUS® & Income Fund

December 31, 2019 (Unaudited)

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

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
INVESTMENTS IN SECURITIES 178.9% |
LOAN PARTICIPATIONS AND ASSIGNMENTS 15.3% |
Advanz Pharma Corp. |
7.447% (LIBOR03M + 5.500%) due 09/06/2024 ~ |  | $ |  |  | 866 |  |  | $ |  |  | 811 |
Chesapeake Energy Corp. |
TBD% due 06/09/2024 |  |  |  |  | 25 |  |  |  |  |  | 26 |
Clay Holdco BV |
TBD% due 11/06/2026 « |  | EUR |  |  | 1,000 |  |  |  |  |  | 1,065 |
Diamond Resorts Corp. |
5.549% (LIBOR03M + 3.750%) due 09/02/2023 ~ |  | $ |  |  | 612 |  |  |  |  |  | 599 |
Dubai World (2.000% Cash and 1.750% PIK) |
3.750% (LIBOR03M + 2.000%) due 09/30/2022 ~(c) |  |  |  |  | 918 |  |  |  |  |  | 857 |
Emerald TopCo, Inc. |
5.299% (LIBOR03M + 3.500%) due 07/24/2026 ~ |  |  |  |  | 5 |  |  |  |  |  | 5 |
Envision Healthcare Corp. |
5.549% (LIBOR03M + 3.750%) due 10/10/2025 ~ |  |  |  |  | 2,525 |  |  |  |  |  | 2,163 |
Financial & Risk U.S. Holdings, Inc. |
5.049% (LIBOR03M + 3.250%) due 10/01/2025 ~ |  |  |  |  | 220 |  |  |  |  |  | 222 |
Forbes Energy Services LLC (5.000% Cash and 11.000% PIK) |
16.000% (LIBOR03M + 5.000%) due 04/13/2021 ~(c) |  |  |  |  | 83 |  |  |  |  |  | 83 |
Frontier Communications Corp. |
5.550% (LIBOR03M + 3.750%) due 06/15/2024 ~ |  |  |  |  | 98 |  |  |  |  |  | 98 |
iHeartCommunications, Inc. |
5.691% (LIBOR03M + 4.000%) due 05/01/2026 ~ |  |  |  |  | 646 |  |  |  |  |  | 653 |
IRB Holding Corp. |
5.195% - 5.216% (LIBOR03M + 3.250%) due 02/05/2025 ~ |  |  |  |  | 148 |  |  |  |  |  | 149 |
Jefferies Finance LLC |
5.500% (LIBOR03M + 3.750%) due 06/03/2026 ~ |  |  |  |  | 4 |  |  |  |  |  | 4 |
McDermott Technology Americas, Inc. |
0.500% - 12.002% (LIBOR03M + 10.000%) due 10/21/2021 ~µ |  |  |  |  | 209 |  |  |  |  |  | 214 |
6.945% (LIBOR03M + 5.000%) due 05/09/2025 ~ |  |  |  |  | 374 |  |  |  |  |  | 220 |
MH Sub LLC |
5.549% (LIBOR03M + 3.750%) due 09/13/2024 ~ |  |  |  |  | 20 |  |  |  |  |  | 20 |
Nascar Holdings, Inc. |
4.495% (LIBOR03M + 2.750%) due 10/19/2026 ~ |  |  |  |  | 12 |  |  |  |  |  | 12 |
NCI Building Systems, Inc. |
5.486% (LIBOR03M + 3.750%) due 04/12/2025 ~ |  |  |  |  | 10 |  |  |  |  |  | 10 |
Neiman Marcus Group Ltd. LLC |
7.713% (LIBOR03M + 6.000%) due 10/25/2023 ~ |  |  |  |  | 1,678 |  |  |  |  |  | 1,382 |
Neiman Marcus Group Ltd. LLC (7.213% Cash and 1.000% PIK) |
8.213% (LIBOR03M + 5.500%) due 10/25/2023 ~(c) |  |  |  |  | 1,681 |  |  |  |  |  | 1,367 |
Ortho-Clinical Diagnostics S.A. |
5.306% (LIBOR03M + 3.250%) due 06/30/2025 ~ |  |  |  |  | 108 |  |  |  |  |  | 107 |
Pacific Gas & Electric Co. |
TBD% due 02/22/2049 ^«(d) |  |  |  |  | 206 |  |  |  |  |  | 204 |
PetSmart, Inc. |
5.740% (LIBOR03M + 4.000%) due 03/11/2022 ~ |  |  |  |  | 17 |  |  |  |  |  | 16 |
PG&E Corp. |
4.950% (PRIME + 0.200%) due 04/16/2020 ~ |  |  |  |  | 100 |  |  |  |  |  | 100 |
Sequa Mezzanine Holdings LLC |
10.936% (LIBOR03M + 9.000%) due 04/28/2022 ~ |  |  |  |  | 420 |  |  |  |  |  | 414 |

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
Sierra Hamilton LLC |
15.000% due 09/12/2023 « |  | $ |  |  | 5 |  |  | $ |  |  | 5 |
Sotera Health Holdings LLC |
6.289% (LIBOR03M + 4.500%) due 12/11/2026 ~ |  |  |  |  | 21 |  |  |  |  |  | 21 |
Summer (BC) Holdco B SARL |
TBD% due 10/15/2026 |  |  |  |  | 530 |  |  |  |  |  | 506 |
Sunshine Luxembourg SARL |
6.195% (LIBOR03M + 4.250%) due 10/01/2026 ~ |  |  |  |  | 42 |  |  |  |  |  | 42 |
Syniverse Holdings, Inc. |
6.846% (LIBOR03M + 5.000%) due 03/09/2023 ~ |  |  |  |  | 1,395 |  |  |  |  |  | 1,300 |
U.S. Renal Care, Inc. |
6.813% (LIBOR03M + 5.000%) due 06/26/2026 ~ |  |  |  |  | 72 |  |  |  |  |  | 71 |
Univision Communications, Inc. |
4.549% (LIBOR03M + 2.750%) due 03/15/2024 ~ |  |  |  |  | 715 |  |  |  |  |  | 707 |
West Corp. |
5.927% (LIBOR03M + 4.000%) due 10/10/2024 ~ |  |  |  |  | 9 |  |  |  |  |  | 8 |
Westmoreland Mining Holdings LLC |
10.150% (LIBOR03M + 8.250%) due 03/15/2022 «~ |  |  |  |  | 294 |  |  |  |  |  | 297 |
Westmoreland Mining Holdings LLC (15.000% PIK) |
15.000% due 03/15/2029 (c) |  |  |  |  | 864 |  |  |  |  |  | 691 |
Windstream Services LLC |
9.000% (PRIME + 4.250%) due 02/17/2024 ~ |  |  |  |  | 1,400 |  |  |  |  |  | 1,330 |
9.750% (PRIME + 5.000%) due 03/29/2021 ~ |  |  |  |  | 850 |  |  |  |  |  | 816 |
Total Loan Participations and Assignments (Cost $17,610) |  |  | 16,595 |
CORPORATE BONDS & NOTES 41.1% |
BANKING & FINANCE 17.9% |
Ambac Assurance Corp. |
5.100% due 06/07/2020 |  |  |  |  | 13 |  |  |  |  |  | 19 |
Ambac LSNI LLC |
6.945% due 02/12/2023 •(m) |  |  |  |  | 129 |  |  |  |  |  | 131 |
Ardonagh Midco PLC |
8.375% due 07/15/2023 (m) |  | GBP |  |  | 1,870 |  |  |  |  |  | 2,480 |
AXA Equitable Holdings, Inc. |
5.000% due 04/20/2048 |  | $ |  |  | 2 |  |  |  |  |  | 2 |
Banco de Credito del Peru |
4.650% due 09/17/2024 |  | PEN |  |  | 100 |  |  |  |  |  | 30 |
Barclays PLC |
7.125% due 06/15/2025 •(i)(j)(m) |  | GBP |  |  | 200 |  |  |  |  |  | 300 |
7.875% due 09/15/2022 •(i)(j)(m) |  |  |  |  | 1,250 |  |  |  |  |  | 1,841 |
Brookfield Finance, Inc. |
3.900% due 01/25/2028 |  | $ |  |  | 4 |  |  |  |  |  | 4 |
4.700% due 09/20/2047 |  |  |  |  | 12 |  |  |  |  |  | 14 |
CBL & Associates LP |
4.600% due 10/15/2024 (m) |  |  |  |  | 165 |  |  |  |  |  | 107 |
5.950% due 12/15/2026 (m) |  |  |  |  | 1,020 |  |  |  |  |  | 614 |
Credit Agricole S.A. |
7.875% due 01/23/2024 •(i)(j)(m) |  |  |  |  | 200 |  |  |  |  |  | 228 |
Deutsche Bank AG |
3.961% due 11/26/2025 • |  |  |  |  | 150 |  |  |  |  |  | 153 |
Emerald Bay S.A. |
0.000% due 10/08/2020 (g) |  | EUR |  |  | 6 |  |  |  |  |  | 7 |
ESH Hospitality, Inc. |
4.625% due 10/01/2027 |  | $ |  |  | 18 |  |  |  |  |  | 18 |
Fortress Transportation & Infrastructure Investors LLC |
6.500% due 10/01/2025 (m) |  |  |  |  | 73 |  |  |  |  |  | 77 |
HSBC Bank PLC |
6.330% due 05/23/2023 |  |  |  |  | 1,100 |  |  |  |  |  | 1,160 |
HSBC Holdings PLC |
6.000% due 09/29/2023 •(i)(j) |  | EUR |  |  | 200 |  |  |  |  |  | 259 |
Hunt Cos., Inc. |
6.250% due 02/15/2026 |  | $ |  |  | 6 |  |  |  |  |  | 6 |

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
Kennedy-Wilson, Inc. |
5.875% due 04/01/2024 |  | $ |  |  | 14 |  |  | $ |  |  | 14 |
Lloyds Banking Group PLC |
7.625% due 06/27/2023 •(i)(j)(m) |  | GBP |  |  | 1,600 |  |  |  |  |  | 2,383 |
LoanCore Capital Markets LLC |
6.875% due 06/01/2020 (m) |  | $ |  |  | 1,400 |  |  |  |  |  | 1,401 |
Nationstar Mortgage LLC |
6.500% due 07/01/2021 (m) |  |  |  |  | 115 |  |  |  |  |  | 116 |
Newmark Group, Inc. |
6.125% due 11/15/2023 |  |  |  |  | 18 |  |  |  |  |  | 20 |
Oppenheimer Holdings, Inc. |
6.750% due 07/01/2022 |  |  |  |  | 7 |  |  |  |  |  | 7 |
Pinnacol Assurance |
8.625% due 06/25/2034 «(k) |  |  |  |  | 1,100 |  |  |  |  |  | 1,177 |
Royal Bank of Scotland Group PLC |
8.000% due 08/10/2025 •(i)(j)(m) |  |  |  |  | 300 |  |  |  |  |  | 346 |
Sabra Health Care LP |
4.800% due 06/01/2024 |  |  |  |  | 29 |  |  |  |  |  | 31 |
Santander UK Group Holdings PLC |
6.750% due 06/24/2024 •(i)(j)(m) |  | GBP |  |  | 450 |  |  |  |  |  | 658 |
7.375% due 06/24/2022 •(i)(j)(m) |  |  |  |  | 1,100 |  |  |  |  |  | 1,592 |
Societe Generale S.A. |
7.375% due 10/04/2023 •(i)(j)(m) |  | $ |  |  | 200 |  |  |  |  |  | 219 |
Springleaf Finance Corp. |
5.375% due 11/15/2029 |  |  |  |  | 7 |  |  |  |  |  | 7 |
Toll Road Investors Partnership LP |
0.000% due 02/15/2045 (g) |  |  |  |  | 182 |  |  |  |  |  | 48 |
UniCredit SpA |
7.830% due 12/04/2023 (m) |  |  |  |  | 730 |  |  |  |  |  | 852 |
Unique Pub Finance Co. PLC |
5.659% due 06/30/2027 |  | GBP |  |  | 492 |  |  |  |  |  | 750 |
Voyager Aviation Holdings LLC |
8.500% due 08/15/2021 (m) |  | $ |  |  | 2,260 |  |  |  |  |  | 2,322 |
|  |  |  |  |  |  |  |  |  |  | 19,393 |
INDUSTRIALS 16.1% |
Altice Financing S.A. |
7.500% due 05/15/2026 (m) |  |  |  |  | 800 |  |  |  |  |  | 862 |
Altice France S.A. |
7.375% due 05/01/2026 (m) |  |  |  |  | 1,327 |  |  |  |  |  | 1,427 |
Associated Materials LLC |
9.000% due 01/01/2024 (m) |  |  |  |  | 680 |  |  |  |  |  | 598 |
Avon International Capital PLC |
6.500% due 08/15/2022 |  |  |  |  | 6 |  |  |  |  |  | 6 |
B.C. Unlimited Liability Co. |
4.375% due 01/15/2028 |  |  |  |  | 13 |  |  |  |  |  | 13 |
Bausch Health Cos., Inc. |
5.000% due 01/30/2028 |  |  |  |  | 12 |  |  |  |  |  | 12 |
5.250% due 01/30/2030 |  |  |  |  | 8 |  |  |  |  |  | 8 |
BCPE Cycle Merger Sub, Inc. |
10.625% due 07/15/2027 |  |  |  |  | 12 |  |  |  |  |  | 12 |
Bombardier, Inc. |
6.125% due 01/15/2023 (m) |  |  |  |  | 170 |  |  |  |  |  | 175 |
7.500% due 12/01/2024 (m) |  |  |  |  | 148 |  |  |  |  |  | 156 |
7.500% due 03/15/2025 (m) |  |  |  |  | 127 |  |  |  |  |  | 131 |
7.875% due 04/15/2027 (m) |  |  |  |  | 450 |  |  |  |  |  | 464 |
Camelot Finance S.A. |
4.500% due 11/01/2026 |  |  |  |  | 2 |  |  |  |  |  | 2 |
CCO Holdings LLC |
4.750% due 03/01/2030 |  |  |  |  | 30 |  |  |  |  |  | 31 |
Centene Corp. |
4.250% due 12/15/2027 |  |  |  |  | 17 |  |  |  |  |  | 18 |
4.625% due 12/15/2029 |  |  |  |  | 30 |  |  |  |  |  | 32 |
4.750% due 01/15/2025 |  |  |  |  | 29 |  |  |  |  |  | 30 |
Charter Communications Operating LLC |
4.800% due 03/01/2050 |  |  |  |  | 36 |  |  |  |  |  | 38 |
Clear Channel Worldwide Holdings, Inc. |
9.250% due 02/15/2024 |  |  |  |  | 488 |  |  |  |  |  | 541 |
Community Health Systems, Inc. |
6.250% due 03/31/2023 (m) |  |  |  |  | 1,547 |  |  |  |  |  | 1,574 |
8.000% due 03/15/2026 (m) |  |  |  |  | 72 |  |  |  |  |  | 74 |
8.625% due 01/15/2024 (m) |  |  |  |  | 106 |  |  |  |  |  | 113 |

See Accompanying Notes |  | SEMIANNUAL REPORT |  | DECEMBER 31, 2019 |  | 41

Schedule of Investments PIMCO Global StocksPLUS® & Income Fund (Cont.)

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
Connect Finco SARL |
6.750% due 10/01/2026 |  | $ |  |  | 10 |  |  | $ |  |  | 11 |
Corning, Inc. |
5.450% due 11/15/2079 |  |  |  |  | 12 |  |  |  |  |  | 13 |
Corp. GEO S.A.B. de C.V. |
9.250% due 06/30/2020 ^«(d) |  |  |  |  | 470 |  |  |  |  |  | 0 |
DAE Funding LLC |
5.750% due 11/15/2023 (m) |  |  |  |  | 100 |  |  |  |  |  | 105 |
Diamond Resorts International, Inc. |
7.750% due 09/01/2023 (m) |  |  |  |  | 256 |  |  |  |  |  | 264 |
DriveTime Automotive Group, Inc. |
8.000% due 06/01/2021 (m) |  |  |  |  | 1,170 |  |  |  |  |  | 1,191 |
Eagle Holding Co. LLC (7.750% Cash or 8.500% PIK) |
7.750% due 05/15/2022 (c) |  |  |  |  | 5 |  |  |  |  |  | 5 |
EI Group PLC |
6.875% due 05/09/2025 |  | GBP |  |  | 10 |  |  |  |  |  | 13 |
Eldorado Resorts, Inc. |
6.000% due 09/15/2026 (m) |  | $ |  |  | 400 |  |  |  |  |  | 441 |
Envision Healthcare Corp. |
8.750% due 10/15/2026 (m) |  |  |  |  | 382 |  |  |  |  |  | 238 |
Exela Intermediate LLC |
10.000% due 07/15/2023 |  |  |  |  | 23 |  |  |  |  |  | 9 |
Fair Isaac Corp. |
4.000% due 06/15/2028 |  |  |  |  | 2 |  |  |  |  |  | 2 |
First Quantum Minerals Ltd. |
6.500% due 03/01/2024 (m) |  |  |  |  | 284 |  |  |  |  |  | 285 |
6.875% due 03/01/2026 (m) |  |  |  |  | 312 |  |  |  |  |  | 316 |
7.000% due 02/15/2021 (m) |  |  |  |  | 31 |  |  |  |  |  | 31 |
Flex Ltd. |
4.875% due 06/15/2029 |  |  |  |  | 15 |  |  |  |  |  | 16 |
Fresh Market, Inc. |
9.750% due 05/01/2023 (m) |  |  |  |  | 1,200 |  |  |  |  |  | 612 |
Full House Resorts, Inc. |
8.575% due 01/31/2024 |  |  |  |  | 100 |  |  |  |  |  | 99 |
9.738% due 02/02/2024 |  |  |  |  | 8 |  |  |  |  |  | 8 |
General Electric Co. |
5.875% due 01/14/2038 |  |  |  |  | 2 |  |  |  |  |  | 2 |
6.150% due 08/07/2037 |  |  |  |  | 2 |  |  |  |  |  | 3 |
6.875% due 01/10/2039 |  |  |  |  | 32 |  |  |  |  |  | 43 |
HCA, Inc. |
7.500% due 11/15/2095 (m) |  |  |  |  | 300 |  |  |  |  |  | 351 |
iHeartCommunications, Inc. |
6.375% due 05/01/2026 |  |  |  |  | 207 |  |  |  |  |  | 225 |
8.375% due 05/01/2027 (m) |  |  |  |  | 319 |  |  |  |  |  | 353 |
IHO Verwaltungs GmbH (6.000% Cash or 6.750% PIK) |
6.000% due 05/15/2027 (c) |  |  |  |  | 71 |  |  |  |  |  | 75 |
Intelsat Connect Finance S.A. |
9.500% due 02/15/2023 |  |  |  |  | 35 |  |  |  |  |  | 25 |
Intelsat Jackson Holdings S.A. |
5.500% due 08/01/2023 (m) |  |  |  |  | 300 |  |  |  |  |  | 258 |
8.500% due 10/15/2024 |  |  |  |  | 22 |  |  |  |  |  | 20 |
9.750% due 07/15/2025 |  |  |  |  | 23 |  |  |  |  |  | 21 |
Intelsat Luxembourg S.A. |
7.750% due 06/01/2021 ^(m) |  |  |  |  | 2,113 |  |  |  |  |  | 1,674 |
8.125% due 06/01/2023 |  |  |  |  | 54 |  |  |  |  |  | 32 |
Kinder Morgan, Inc. |
7.750% due 01/15/2032 (m) |  |  |  |  | 300 |  |  |  |  |  | 413 |
Mallinckrodt International Finance S.A. |
5.500% due 04/15/2025 (m) |  |  |  |  | 134 |  |  |  |  |  | 48 |
Mattel, Inc. |
5.875% due 12/15/2027 |  |  |  |  | 9 |  |  |  |  |  | 10 |
Micron Technology, Inc. |
5.327% due 02/06/2029 (m) |  |  |  |  | 28 |  |  |  |  |  | 32 |
MSCI, Inc. |
4.000% due 11/15/2029 |  |  |  |  | 4 |  |  |  |  |  | 4 |
NCL Corp. Ltd. |
3.625% due 12/15/2024 |  |  |  |  | 20 |  |  |  |  |  | 20 |
Netflix, Inc. |
3.875% due 11/15/2029 (m) |  | EUR |  |  | 116 |  |  |  |  |  | 138 |
5.375% due 11/15/2029 |  | $ |  |  | 10 |  |  |  |  |  | 11 |
Noble Holding International Ltd. |
7.875% due 02/01/2026 |  |  |  |  | 52 |  |  |  |  |  | 38 |

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
Odebrecht Oil & Gas Finance Ltd. |
0.000% due 01/31/2020 (g)(i) |  | $ |  |  | 322 |  |  | $ |  |  | 3 |
Ortho-Clinical Diagnostics, Inc. |
6.625% due 05/15/2022 (m) |  |  |  |  | 328 |  |  |  |  |  | 327 |
Pacific Drilling SA |
8.375% due 10/01/2023 |  |  |  |  | 54 |  |  |  |  |  | 49 |
Pan American Energy LLC |
42.636% (BADLARPP) due 11/20/2020 «~ |  | ARS |  |  | 4,980 |  |  |  |  |  | 66 |
Par Pharmaceutical, Inc. |
7.500% due 04/01/2027 |  | $ |  |  | 21 |  |  |  |  |  | 21 |
Petroleos Mexicanos |
5.350% due 02/12/2028 |  |  |  |  | 114 |  |  |  |  |  | 114 |
6.490% due 01/23/2027 |  |  |  |  | 10 |  |  |  |  |  | 11 |
6.500% due 03/13/2027 |  |  |  |  | 232 |  |  |  |  |  | 247 |
6.750% due 09/21/2047 |  |  |  |  | 10 |  |  |  |  |  | 10 |
6.840% due 01/23/2030 |  |  |  |  | 40 |  |  |  |  |  | 43 |
7.690% due 01/23/2050 |  |  |  |  | 20 |  |  |  |  |  | 22 |
PetSmart, Inc. |
5.875% due 06/01/2025 |  |  |  |  | 19 |  |  |  |  |  | 19 |
Platin 1426 GmbH |
6.875% due 06/15/2023 (m) |  | EUR |  |  | 100 |  |  |  |  |  | 115 |
QVC, Inc. |
5.950% due 03/15/2043 |  | $ |  |  | 144 |  |  |  |  |  | 135 |
Radiate Holdco LLC |
6.875% due 02/15/2023 |  |  |  |  | 2 |  |  |  |  |  | 2 |
Sands China Ltd. |
5.400% due 08/08/2028 (m) |  |  |  |  | 162 |  |  |  |  |  | 183 |
Sealed Air Corp. |
4.000% due 12/01/2027 |  |  |  |  | 2 |  |  |  |  |  | 2 |
Select Medical Corp. |
6.250% due 08/15/2026 |  |  |  |  | 6 |  |  |  |  |  | 7 |
Sensata Technologies, Inc. |
4.375% due 02/15/2030 |  |  |  |  | 4 |  |  |  |  |  | 4 |
Silgan Holdings, Inc. |
4.125% due 02/01/2028 |  |  |  |  | 9 |  |  |  |  |  | 9 |
Spanish Broadcasting System, Inc. |
12.500% due 04/15/2049 ^(d) |  |  |  |  | 479 |  |  |  |  |  | 500 |
Staples, Inc. |
7.500% due 04/15/2026 |  |  |  |  | 2 |  |  |  |  |  | 2 |
Telesat Canada |
4.875% due 06/01/2027 |  |  |  |  | 5 |  |  |  |  |  | 5 |
Tenet Healthcare Corp. |
4.625% due 09/01/2024 |  |  |  |  | 2 |  |  |  |  |  | 2 |
Teva Pharmaceutical Finance Netherlands BV |
2.200% due 07/21/2021 (m) |  |  |  |  | 106 |  |  |  |  |  | 103 |
3.250% due 04/15/2022 (m) |  | EUR |  |  | 100 |  |  |  |  |  | 114 |
Topaz Solar Farms LLC |
4.875% due 09/30/2039 (m) |  | $ |  |  | 90 |  |  |  |  |  | 93 |
5.750% due 09/30/2039 (m) |  |  |  |  | 851 |  |  |  |  |  | 941 |
TransDigm, Inc. |
5.500% due 11/15/2027 |  |  |  |  | 16 |  |  |  |  |  | 16 |
Transocean Pontus Ltd. |
6.125% due 08/01/2025 (m) |  |  |  |  | 25 |  |  |  |  |  | 26 |
Transocean, Inc. |
7.250% due 11/01/2025 |  |  |  |  | 36 |  |  |  |  |  | 35 |
7.500% due 01/15/2026 |  |  |  |  | 6 |  |  |  |  |  | 6 |
Trident TPI Holdings, Inc. |
9.250% due 08/01/2024 |  |  |  |  | 4 |  |  |  |  |  | 4 |
Triumph Group, Inc. |
5.250% due 06/01/2022 |  |  |  |  | 4 |  |  |  |  |  | 4 |
6.250% due 09/15/2024 |  |  |  |  | 11 |  |  |  |  |  | 12 |
Twitter, Inc. |
3.875% due 12/15/2027 |  |  |  |  | 2 |  |  |  |  |  | 2 |
Univision Communications, Inc. |
5.125% due 02/15/2025 (m) |  |  |  |  | 36 |  |  |  |  |  | 36 |
Valaris PLC |
5.750% due 10/01/2044 |  |  |  |  | 22 |  |  |  |  |  | 10 |
7.750% due 02/01/2026 |  |  |  |  | 2 |  |  |  |  |  | 1 |
Vale Overseas Ltd. |
6.250% due 08/10/2026 (m) |  |  |  |  | 25 |  |  |  |  |  | 29 |
6.875% due 11/21/2036 |  |  |  |  | 38 |  |  |  |  |  | 50 |
6.875% due 11/10/2039 |  |  |  |  | 6 |  |  |  |  |  | 8 |

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
ViaSat, Inc. |
5.625% due 09/15/2025 |  | $ |  |  | 18 |  |  | $ |  |  | 19 |
5.625% due 04/15/2027 |  |  |  |  | 3 |  |  |  |  |  | 3 |
Wyndham Destinations, Inc. |
3.900% due 03/01/2023 |  |  |  |  | 12 |  |  |  |  |  | 12 |
4.625% due 03/01/2030 |  |  |  |  | 4 |  |  |  |  |  | 4 |
5.750% due 04/01/2027 |  |  |  |  | 133 |  |  |  |  |  | 145 |
YPF S.A. |
50.817% (BADLARPP + 4.000%) due 09/24/2020 «~(a) |  | ARS |  |  | 1,430 |  |  |  |  |  | 18 |
|  |  |  |  |  |  |  |  |  |  | 17,361 |
UTILITIES 7.1% |
Edison International |
2.400% due 09/15/2022 |  | $ |  |  | 12 |  |  |  |  |  | 12 |
2.950% due 03/15/2023 |  |  |  |  | 1 |  |  |  |  |  | 1 |
3.125% due 11/15/2022 |  |  |  |  | 12 |  |  |  |  |  | 12 |
3.550% due 11/15/2024 |  |  |  |  | 12 |  |  |  |  |  | 12 |
5.750% due 06/15/2027 |  |  |  |  | 8 |  |  |  |  |  | 9 |
Odebrecht Drilling Norbe Ltd. |
6.350% due 12/01/2021 ^(m) |  |  |  |  | 127 |  |  |  |  |  | 126 |
Odebrecht Drilling Norbe Ltd. (6.350% Cash and 1.000% PIK) |
7.350% due 12/01/2026 ^(c)(m) |  |  |  |  | 447 |  |  |  |  |  | 245 |
Odebrecht Offshore Drilling Finance Ltd. |
6.720% due 12/01/2022 ^(m) |  |  |  |  | 1,192 |  |  |  |  |  | 1,174 |
Odebrecht Offshore Drilling Finance Ltd. (6.720% Cash and 1.000% PIK) |
7.720% due 12/01/2026 ^(c) |  |  |  |  | 655 |  |  |  |  |  | 164 |
Pacific Gas & Electric Co. |
2.450% due 08/15/2022 ^(d)(m) |  |  |  |  | 108 |  |  |  |  |  | 108 |
2.950% due 03/01/2026 ^(d)(m) |  |  |  |  | 127 |  |  |  |  |  | 128 |
3.250% due 09/15/2021 ^(d) |  |  |  |  | 44 |  |  |  |  |  | 44 |
3.250% due 06/15/2023 ^(d)(m) |  |  |  |  | 173 |  |  |  |  |  | 173 |
3.300% due 03/15/2027 ^(d)(m) |  |  |  |  | 116 |  |  |  |  |  | 116 |
3.300% due 12/01/2027 ^(d) |  |  |  |  | 100 |  |  |  |  |  | 100 |
3.400% due 08/15/2024 ^(d)(m) |  |  |  |  | 64 |  |  |  |  |  | 65 |
3.500% due 10/01/2020 ^(d)(m) |  |  |  |  | 1,304 |  |  |  |  |  | 1,309 |
3.500% due 06/15/2025 ^(d)(m) |  |  |  |  | 120 |  |  |  |  |  | 120 |
3.750% due 02/15/2024 ^(d)(m) |  |  |  |  | 45 |  |  |  |  |  | 46 |
3.750% due 08/15/2042 ^(d) |  |  |  |  | 2 |  |  |  |  |  | 2 |
3.850% due 11/15/2023 ^(d)(m) |  |  |  |  | 10 |  |  |  |  |  | 10 |
4.250% due 05/15/2021 ^(d) |  |  |  |  | 251 |  |  |  |  |  | 252 |
4.250% due 08/01/2023 ^(d)(m) |  |  |  |  | 200 |  |  |  |  |  | 206 |
4.300% due 03/15/2045 ^(d) |  |  |  |  | 18 |  |  |  |  |  | 18 |
4.500% due 12/15/2041 ^(d) |  |  |  |  | 37 |  |  |  |  |  | 37 |
4.600% due 06/15/2043 ^(d) |  |  |  |  | 8 |  |  |  |  |  | 8 |
4.650% due 08/01/2028 ^(d) |  |  |  |  | 100 |  |  |  |  |  | 104 |
4.750% due 02/15/2044 ^(d) |  |  |  |  | 26 |  |  |  |  |  | 27 |
5.125% due 11/15/2043 ^(d) |  |  |  |  | 98 |  |  |  |  |  | 101 |
5.400% due 01/15/2040 ^(d) |  |  |  |  | 4 |  |  |  |  |  | 4 |
5.800% due 03/01/2037 ^(d) |  |  |  |  | 89 |  |  |  |  |  | 93 |
6.050% due 03/01/2034 ^(d) |  |  |  |  | 17 |  |  |  |  |  | 18 |
6.250% due 03/01/2039 ^(d) |  |  |  |  | 15 |  |  |  |  |  | 16 |
6.350% due 02/15/2038 ^(d) |  |  |  |  | 6 |  |  |  |  |  | 6 |
Petrobras Global Finance BV |
5.093% due 01/15/2030 |  |  |  |  | 137 |  |  |  |  |  | 147 |
6.850% due 06/05/2115 |  |  |  |  | 36 |  |  |  |  |  | 41 |
Rio Oil Finance Trust |
9.250% due 07/06/2024 (m) |  |  |  |  | 1,327 |  |  |  |  |  | 1,490 |
Southern California Edison Co. |
5.750% due 04/01/2035 |  |  |  |  | 2 |  |  |  |  |  | 3 |
6.650% due 04/01/2029 |  |  |  |  | 12 |  |  |  |  |  | 15 |
Sprint Corp. |
7.625% due 03/01/2026 (m) |  |  |  |  | 1,004 |  |  |  |  |  | 1,109 |
Talen Energy Supply LLC |
6.625% due 01/15/2028 |  |  |  |  | 4 |  |  |  |  |  | 4 |
Transocean Poseidon Ltd. |
6.875% due 02/01/2027 |  |  |  |  | 20 |  |  |  |  |  | 21 |
|  |  |  |  |  |  |  |  |  |  | 7,696 |
Total Corporate Bonds & Notes (Cost $43,532) |  |  | 44,450 |

42 |  | PIMCO CLOSED-END FUNDS |  |  |  |  | See Accompanying Notes |

December 31, 2019 (Unaudited)

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
CONVERTIBLE BONDS & NOTES 0.5% |
INDUSTRIALS 0.5% |
DISH Network Corp. |
3.375% due 08/15/2026 |  | $ |  |  | 600 |  |  | $ |  |  | 578 |
UTILITIES 0.0% |
Ensco Jersey Finance Ltd. |
3.000% due 01/31/2024 |  |  |  |  | 4 |  |  |  |  |  | 3 |
Total Convertible Bonds & Notes (Cost $603) |  |  | 581 |
MUNICIPAL BONDS & NOTES 2.0% |
ILLINOIS 0.1% |
Chicago, Illinois General Obligation Bonds, Series 2015 |
7.750% due 01/01/2042 |  |  |  |  | 12 |  |  |  |  |  | 13 |
Illinois State General Obligation Bonds, (BABs), Series 2010 |
6.725% due 04/01/2035 |  |  |  |  | 10 |  |  |  |  |  | 12 |
7.350% due 07/01/2035 |  |  |  |  | 5 |  |  |  |  |  | 6 |
Illinois State General Obligation Bonds, Series 2003 |
5.100% due 06/01/2033 |  |  |  |  | 35 |  |  |  |  |  | 38 |
|  |  |  |  |  |  |  |  |  |  | 69 |
WEST VIRGINIA 1.9% |
Tobacco Settlement Finance Authority, West Virginia Revenue Bonds, Series 2007 |
0.000% due 06/01/2047 (g) |  |  |  |  | 8,800 |  |  |  |  |  | 385 |
7.467% due 06/01/2047 |  |  |  |  | 1,590 |  |  |  |  |  | 1,654 |
|  |  |  |  |  |  |  |  |  |  | 2,039 |
Total Municipal Bonds & Notes (Cost $2,158) |  |  | 2,108 |
U.S. GOVERNMENT AGENCIES 43.9% |
Fannie Mae |
4.208% due 11/25/2049 •(a) |  |  |  |  | 236 |  |  |  |  |  | 52 |
4.258% due 03/25/2037 •(a) |  |  |  |  | 260 |  |  |  |  |  | 41 |
4.358% due 11/25/2039 •(a) |  |  |  |  | 233 |  |  |  |  |  | 37 |
4.508% due 01/25/2038 •(a) |  |  |  |  | 342 |  |  |  |  |  | 51 |
4.588% due 03/25/2037 •(a) |  |  |  |  | 294 |  |  |  |  |  | 53 |
4.608% due 12/25/2037 •(a) |  |  |  |  | 331 |  |  |  |  |  | 39 |
4.618% due 06/25/2037 •(a) |  |  |  |  | 116 |  |  |  |  |  | 12 |
4.658% due 04/25/2037 •(a)(m) |  |  |  |  | 741 |  |  |  |  |  | 140 |
4.808% due 11/25/2035 •(a) |  |  |  |  | 89 |  |  |  |  |  | 10 |
5.008% due 11/25/2036 •(a)(m) |  |  |  |  | 1,442 |  |  |  |  |  | 269 |
5.342% due 07/25/2029 • |  |  |  |  | 170 |  |  |  |  |  | 180 |
5.408% due 02/25/2037 •(a) |  |  |  |  | 259 |  |  |  |  |  | 56 |
7.000% due 12/25/2023 |  |  |  |  | 50 |  |  |  |  |  | 53 |
7.500% due 06/01/2032 |  |  |  |  | 25 |  |  |  |  |  | 25 |
7.542% due 07/25/2029 • |  |  |  |  | 220 |  |  |  |  |  | 261 |
7.800% due 06/25/2026 ~ |  |  |  |  | 2 |  |  |  |  |  | 2 |
9.247% due 12/25/2042 ~ |  |  |  |  | 50 |  |  |  |  |  | 57 |
11.691% due 08/25/2022 • |  |  |  |  | 46 |  |  |  |  |  | 51 |
Freddie Mac |
0.000% due 02/25/2046 (b)(g) |  |  |  |  | 1,307 |  |  |  |  |  | 1,212 |
0.100% due 02/25/2046 (a) |  |  |  |  | 15,708 |  |  |  |  |  | 10 |
0.661% due 10/25/2020 ~(a) |  |  |  |  | 9,577 |  |  |  |  |  | 20 |
1.939% due 11/25/2055 ~(a) |  |  |  |  | 5,732 |  |  |  |  |  | 458 |
4.700% due 03/15/2037 •(a) |  |  |  |  | 532 |  |  |  |  |  | 94 |
4.830% due 09/15/2036 •(a) |  |  |  |  | 315 |  |  |  |  |  | 53 |
4.840% due 09/15/2036 •(a)(m) |  |  |  |  | 658 |  |  |  |  |  | 126 |
6.942% due 10/25/2029 • |  |  |  |  | 250 |  |  |  |  |  | 289 |
7.000% due 08/15/2023 |  |  |  |  | 2 |  |  |  |  |  | 2 |
Uniform Mortgage-Backed Security |
3.500% due 03/01/2048 - 07/01/2049 (m) |  |  |  |  | 3,676 |  |  |  |  |  | 3,801 |
3.500% due 11/01/2048 |  |  |  |  | 815 |  |  |  |  |  | 838 |
Uniform Mortgage-Backed Security, TBA |
3.500% due 02/01/2050 |  |  |  |  | 30,500 |  |  |  |  |  | 31,354 |
4.000% due 03/01/2050 |  |  |  |  | 5,500 |  |  |  |  |  | 5,721 |
4.500% due 02/01/2050 |  |  |  |  | 2,000 |  |  |  |  |  | 2,107 |
Total U.S. Government Agencies (Cost $47,132) |  |  | 47,474 |

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
NON-AGENCY MORTGAGE-BACKED SECURITIES 26.9% |
Banc of America Alternative Loan Trust |
12.998% due 09/25/2035 ^• |  | $ |  |  | 1,070 |  |  | $ |  |  | 1,325 |
Banc of America Funding Trust |
3.147% due 12/20/2034 ~ |  |  |  |  | 289 |  |  |  |  |  | 203 |
4.845% due 03/20/2036 ~ |  |  |  |  | 454 |  |  |  |  |  | 447 |
5.846% due 01/25/2037 ^~ |  |  |  |  | 165 |  |  |  |  |  | 164 |
Banc of America Mortgage Trust |
6.000% due 07/25/2046 ^ |  |  |  |  | 1 |  |  |  |  |  | 1 |
Bear Stearns Adjustable Rate Mortgage Trust |
4.238% due 07/25/2036 ^~ |  |  |  |  | 183 |  |  |  |  |  | 177 |
Bear Stearns ALT-A Trust |
3.107% due 04/25/2035 ~ |  |  |  |  | 100 |  |  |  |  |  | 93 |
3.874% due 11/25/2035 ^~(m) |  |  |  |  | 112 |  |  |  |  |  | 98 |
4.103% due 09/25/2035 ^~ |  |  |  |  | 103 |  |  |  |  |  | 85 |
Bear Stearns Commercial Mortgage Securities Trust |
5.395% due 02/11/2041 ~ |  |  |  |  | 199 |  |  |  |  |  | 199 |
5.728% due 04/12/2038 ~ |  |  |  |  | 40 |  |  |  |  |  | 40 |
Bear Stearns Structured Products, Inc. Trust |
3.649% due 12/26/2046 ^~ |  |  |  |  | 265 |  |  |  |  |  | 229 |
4.001% due 01/26/2036 ^~ |  |  |  |  | 535 |  |  |  |  |  | 479 |
BRAD Resecuritization Trust |
2.192% due 03/12/2021 « |  |  |  |  | 1,370 |  |  |  |  |  | 27 |
6.550% due 03/12/2021 « |  |  |  |  | 256 |  |  |  |  |  | 255 |
CBA Commercial Small Balance Commercial Mortgage |
5.540% due 01/25/2039 ^þ |  |  |  |  | 273 |  |  |  |  |  | 225 |
CD Commercial Mortgage Trust |
5.398% due 12/11/2049 ~ |  |  |  |  | 6 |  |  |  |  |  | 6 |
CD Mortgage Trust |
5.688% due 10/15/2048 |  |  |  |  | 1,365 |  |  |  |  |  | 709 |
Chevy Chase Funding LLC Mortgage-Backed Certificates |
2.092% due 08/25/2035 • |  |  |  |  | 72 |  |  |  |  |  | 72 |
2.472% due 10/25/2034 • |  |  |  |  | 6 |  |  |  |  |  | 5 |
Citigroup Commercial Mortgage Trust |
5.589% due 12/10/2049 ~ |  |  |  |  | 910 |  |  |  |  |  | 583 |
Citigroup Mortgage Loan Trust |
4.219% due 11/25/2035 ~ |  |  |  |  | 1,631 |  |  |  |  |  | 1,270 |
4.798% due 03/25/2037 ^~ |  |  |  |  | 265 |  |  |  |  |  | 227 |
Commercial Mortgage Loan Trust |
6.052% due 12/10/2049 ~(m) |  |  |  |  | 1,508 |  |  |  |  |  | 1,001 |
Commercial Mortgage Trust |
0.131% due 10/10/2046 ~(a)(m) |  |  |  |  | 77,000 |  |  |  |  |  | 403 |
6.107% due 07/10/2046 ~(m) |  |  |  |  | 760 |  |  |  |  |  | 771 |
Countrywide Alternative Loan Trust |
2.032% due 12/25/2046 ^• |  |  |  |  | 104 |  |  |  |  |  | 72 |
2.142% due 05/25/2036 ^•(m) |  |  |  |  | 1,510 |  |  |  |  |  | 646 |
2.452% due 10/25/2035 • |  |  |  |  | 615 |  |  |  |  |  | 511 |
3.279% due 10/25/2035 ^~ |  |  |  |  | 112 |  |  |  |  |  | 107 |
4.242% due 02/25/2037 ^~ |  |  |  |  | 133 |  |  |  |  |  | 131 |
5.358% due 07/25/2036 •(a) |  |  |  |  | 1,035 |  |  |  |  |  | 328 |
5.500% due 08/25/2034 |  |  |  |  | 341 |  |  |  |  |  | 348 |
5.500% due 02/25/2036 ^ |  |  |  |  | 19 |  |  |  |  |  | 17 |
6.250% due 09/25/2034 |  |  |  |  | 52 |  |  |  |  |  | 53 |
6.500% due 08/25/2036 ^ |  |  |  |  | 1,224 |  |  |  |  |  | 726 |
14.872% due 07/25/2035 • |  |  |  |  | 751 |  |  |  |  |  | 938 |
Countrywide Home Loan Mortgage Pass-Through Trust |
2.032% due 03/25/2036 • |  |  |  |  | 150 |  |  |  |  |  | 147 |
2.572% due 02/25/2035 • |  |  |  |  | 86 |  |  |  |  |  | 83 |
3.264% due 03/25/2037 ^~ |  |  |  |  | 287 |  |  |  |  |  | 249 |
3.468% due 10/20/2035 ~ |  |  |  |  | 182 |  |  |  |  |  | 164 |
3.704% due 10/20/2035 ^~ |  |  |  |  | 103 |  |  |  |  |  | 92 |
3.859% due 10/20/2035 ^~ |  |  |  |  | 109 |  |  |  |  |  | 103 |
3.878% due 08/25/2034 ~ |  |  |  |  | 79 |  |  |  |  |  | 77 |
5.500% due 08/25/2035 ^ |  |  |  |  | 23 |  |  |  |  |  | 20 |
Credit Suisse Commercial Mortgage Trust |
5.869% due 09/15/2040 ~ |  |  |  |  | 391 |  |  |  |  |  | 250 |
Credit Suisse Mortgage Capital Mortgage-Backed Trust |
6.000% due 11/25/2036 |  |  |  |  | 199 |  |  |  |  |  | 177 |
DBUBS Mortgage Trust |
4.652% due 11/10/2046 |  |  |  |  | 700 |  |  |  |  |  | 630 |
First Horizon Alternative Mortgage Securities Trust |
3.900% due 11/25/2036 ^~(m) |  |  |  |  | 281 |  |  |  |  |  | 237 |
First Horizon Mortgage Pass-Through Trust |
4.362% due 01/25/2037 ^~ |  |  |  |  | 370 |  |  |  |  |  | 319 |

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
GE Commercial Mortgage Corp. Trust |
5.606% due 12/10/2049 ~(m) |  | $ |  |  | 201 |  |  | $ |  |  | 176 |
GS Mortgage Securities Trust |
5.622% due 11/10/2039 |  |  |  |  | 128 |  |  |  |  |  | 100 |
GSR Mortgage Loan Trust |
4.370% due 04/25/2035 ~ |  |  |  |  | 177 |  |  |  |  |  | 181 |
4.714% due 05/25/2035 ~ |  |  |  |  | 40 |  |  |  |  |  | 38 |
5.500% due 06/25/2036 ^ |  |  |  |  | 5 |  |  |  |  |  | 14 |
HarborView Mortgage Loan Trust |
2.364% due 04/19/2034 • |  |  |  |  | 15 |  |  |  |  |  | 14 |
3.265% due 11/19/2034 ~ |  |  |  |  | 98 |  |  |  |  |  | 90 |
4.446% due 08/19/2036 ^~ |  |  |  |  | 9 |  |  |  |  |  | 9 |
4.694% due 02/25/2036 ^~ |  |  |  |  | 23 |  |  |  |  |  | 15 |
HSI Asset Loan Obligation Trust |
4.125% due 01/25/2037 ^~ |  |  |  |  | 245 |  |  |  |  |  | 220 |
IndyMac Mortgage Loan Trust |
2.062% due 06/25/2037 ^• |  |  |  |  | 918 |  |  |  |  |  | 904 |
2.352% due 03/25/2035 • |  |  |  |  | 18 |  |  |  |  |  | 18 |
3.271% due 06/25/2037 ^~ |  |  |  |  | 454 |  |  |  |  |  | 400 |
JPMBB Commercial Mortgage Securities Trust |
0.271% due 11/15/2045 ~(a)(m) |  |  |  |  | 76,047 |  |  |  |  |  | 838 |
JPMorgan Chase Commercial Mortgage Securities Trust |
5.411% due 05/15/2047 |  |  |  |  | 393 |  |  |  |  |  | 460 |
JPMorgan Mortgage Trust |
4.236% due 04/25/2037 ^~ |  |  |  |  | 473 |  |  |  |  |  | 404 |
5.500% due 01/25/2036 ^ |  |  |  |  | 44 |  |  |  |  |  | 35 |
5.500% due 06/25/2037 ^ |  |  |  |  | 10 |  |  |  |  |  | 10 |
MASTR Adjustable Rate Mortgages Trust |
3.924% due 10/25/2034 ~ |  |  |  |  | 130 |  |  |  |  |  | 123 |
4.103% due 11/25/2035 ^~ |  |  |  |  | 508 |  |  |  |  |  | 396 |
Merrill Lynch Alternative Note Asset Trust |
1.862% due 01/25/2037 • |  |  |  |  | 766 |  |  |  |  |  | 353 |
Motel 6 Trust |
8.666% due 08/15/2024 • |  |  |  |  | 1,222 |  |  |  |  |  | 1,244 |
Opteum Mortgage Acceptance Corp. Trust |
2.062% due 07/25/2036 • |  |  |  |  | 235 |  |  |  |  |  | 133 |
Prime Mortgage Trust |
4.758% due 11/25/2036 •(a) |  |  |  |  | 1,596 |  |  |  |  |  | 75 |
Provident Funding Mortgage Loan Trust |
4.639% due 10/25/2035 ~ |  |  |  |  | 36 |  |  |  |  |  | 37 |
RBSSP Resecuritization Trust |
5.000% due 09/26/2036 ~ |  |  |  |  | 1,705 |  |  |  |  |  | 1,586 |
Residential Accredit Loans, Inc. Trust |
4.284% due 12/26/2034 ^~ |  |  |  |  | 143 |  |  |  |  |  | 121 |
4.879% due 01/25/2036 ^~(m) |  |  |  |  | 632 |  |  |  |  |  | 574 |
6.000% due 09/25/2035 ^(m) |  |  |  |  | 352 |  |  |  |  |  | 219 |
6.000% due 08/25/2036 ^ |  |  |  |  | 209 |  |  |  |  |  | 199 |
Residential Asset Mortgage Products Trust |
7.500% due 12/25/2031 |  |  |  |  | 51 |  |  |  |  |  | 51 |
Structured Adjustable Rate Mortgage Loan Trust |
3.639% due 05/25/2035 ^•(m) |  |  |  |  | 1,321 |  |  |  |  |  | 1,159 |
3.715% due 09/25/2036 ^~ |  |  |  |  | 263 |  |  |  |  |  | 217 |
4.022% due 04/25/2036 ^~ |  |  |  |  | 284 |  |  |  |  |  | 231 |
4.079% due 09/25/2035 ~ |  |  |  |  | 69 |  |  |  |  |  | 61 |
4.111% due 01/25/2036 ^~ |  |  |  |  | 302 |  |  |  |  |  | 224 |
Structured Asset Mortgage Investments Trust |
2.022% due 02/25/2036 • |  |  |  |  | 352 |  |  |  |  |  | 326 |
2.072% due 02/25/2036 ^•(m) |  |  |  |  | 254 |  |  |  |  |  | 246 |
SunTrust Adjustable Rate Mortgage Loan Trust |
4.661% due 01/25/2037 ^~ |  |  |  |  | 77 |  |  |  |  |  | 72 |
Theatre Hospitals PLC |
3.785% due 10/15/2031 •(m) |  | GBP |  |  | 941 |  |  |  |  |  | 1,247 |
4.190% due 12/15/2024 «(k) |  |  |  |  | 20 |  |  |  |  |  | 0 |
WaMu Mortgage Pass-Through Certificates Trust |
3.804% due 12/25/2036 ^~(m) |  | $ |  |  | 319 |  |  |  |  |  | 320 |
3.995% due 07/25/2037 ^~ |  |  |  |  | 91 |  |  |  |  |  | 86 |
Wells Fargo-RBS Commercial Mortgage Trust |
0.253% due 12/15/2046 ~(a)(m) |  |  |  |  | 30,000 |  |  |  |  |  | 327 |
Total Non-Agency Mortgage-Backed Securities (Cost $25,365) |  |  | 29,072 |
ASSET-BACKED SECURITIES 16.9% |
Adagio CLO DAC |
0.000% due 04/30/2031 ~ |  | EUR |  |  | 250 |  |  |  |  |  | 200 |

See Accompanying Notes |  | SEMIANNUAL REPORT |  | DECEMBER 31, 2019 |  | 43

Schedule of Investments PIMCO Global StocksPLUS® & Income Fund (Cont.)

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
Apidos CLO |
0.000% due 07/22/2026 «~ |  | $ |  |  | 500 |  |  | $ |  |  | 0 |
Avoca CLO DAC |
0.000% due 07/15/2032 ~ |  | EUR |  |  | 1,000 |  |  |  |  |  | 1,011 |
Bear Stearns Asset-Backed Securities Trust |
6.500% due 08/25/2036 ^(m) |  | $ |  |  | 571 |  |  |  |  |  | 348 |
17.605% due 03/25/2036 ^•(m) |  |  |  |  | 1,634 |  |  |  |  |  | 1,651 |
Belle Haven ABS CDO Ltd. |
2.539% due 07/05/2046 • |  |  |  |  | 34,966 |  |  |  |  |  | 51 |
Bombardier Capital Mortgage Securitization Corp. |
7.830% due 06/15/2030 ~ |  |  |  |  | 1,421 |  |  |  |  |  | 483 |
California Republic Auto Receivables Trust |
0.000% due 04/15/2025 «(g) |  |  |  |  | 1,400 |  |  |  |  |  | 1,096 |
Carlyle Global Market Strategies CLO Ltd. |
0.000% due 04/17/2031 ~ |  |  |  |  | 1,700 |  |  |  |  |  | 1,062 |
0.000% due 10/15/2031 ~ |  |  |  |  | 600 |  |  |  |  |  | 409 |
Carlyle Global Market Strategies Euro CLO DAC |
0.000% due 04/15/2027 ~ |  | EUR |  |  | 900 |  |  |  |  |  | 706 |
0.000% due 01/25/2032 ~ |  |  |  |  | 300 |  |  |  |  |  | 242 |
Carrington Mortgage Loan Trust |
1.942% due 08/25/2036 • |  | $ |  |  | 78 |  |  |  |  |  | 73 |
Chrysler Capital Auto Receivables Trust |
0.000% due 01/16/2023 «(g) |  |  |  |  | 1 |  |  |  |  |  | 714 |
Citigroup Mortgage Loan Trust |
1.952% due 12/25/2036 •(m) |  |  |  |  | 1,463 |  |  |  |  |  | 1,018 |
1.952% due 01/25/2037 • |  |  |  |  | 171 |  |  |  |  |  | 86 |
Conseco Finance Securitizations Corp. |
7.960% due 05/01/2031 (m) |  |  |  |  | 391 |  |  |  |  |  | 208 |
Countrywide Asset-Backed Certificates |
2.892% due 09/25/2034 • |  |  |  |  | 69 |  |  |  |  |  | 69 |
EMC Mortgage Loan Trust |
2.732% due 05/25/2039 • |  |  |  |  | 45 |  |  |  |  |  | 44 |
Flagship Credit Auto Trust |
0.000% due 05/15/2025 «(g) |  |  |  |  | 1 |  |  |  |  |  | 114 |
Lehman XS Trust |
4.647% due 05/25/2037 ^þ(m) |  |  |  |  | 92 |  |  |  |  |  | 91 |
Marlette Funding Trust |
0.000% due 12/15/2028 «(g) |  |  |  |  | 2 |  |  |  |  |  | 431 |
0.000% due 04/16/2029 «(g) |  |  |  |  | 2 |  |  |  |  |  | 440 |
0.000% due 07/16/2029 «(g) |  |  |  |  | 2 |  |  |  |  |  | 654 |
Morgan Stanley ABS Capital, Inc. Trust |
1.852% due 05/25/2037 • |  |  |  |  | 80 |  |  |  |  |  | 73 |
Residential Asset Mortgage Products Trust |
5.572% due 06/25/2032 ~ |  |  |  |  | 50 |  |  |  |  |  | 51 |
SMB Private Education Loan Trust |
0.000% due 09/18/2046 «(g) |  |  |  |  | 1 |  |  |  |  |  | 759 |
0.000% due 10/15/2048 «(g) |  |  |  |  | 2 |  |  |  |  |  | 1,198 |
SoFi Consumer Loan Program LLC |
0.000% due 05/26/2026 «(g) |  |  |  |  | 10 |  |  |  |  |  | 373 |
0.000% due 11/25/2026 «(g) |  |  |  |  | 20 |  |  |  |  |  | 998 |
Soundview Home Loan Trust |
1.852% due 11/25/2036 • |  |  |  |  | 181 |  |  |  |  |  | 75 |
South Coast Funding Ltd. |
2.303% due 01/06/2041 • |  |  |  |  | 429 |  |  |  |  |  | 100 |
2.303% due 01/06/2041 •(m) |  |  |  |  | 12,097 |  |  |  |  |  | 2,806 |
Structured Asset Securities Corp. Mortgage Loan Trust |
2.092% due 06/25/2035 • |  |  |  |  | 191 |  |  |  |  |  | 190 |
Symphony CLO Ltd. |
6.601% due 07/14/2026 • |  |  |  |  | 400 |  |  |  |  |  | 376 |
Washington Mutual Asset-Backed Certificates Trust |
1.852% due 10/25/2036 • |  |  |  |  | 100 |  |  |  |  |  | 52 |
Total Asset-Backed Securities (Cost $24,865) |  |  | 18,252 |
SOVEREIGN ISSUES 5.9% |
Argentina Government International Bond |
3.380% due 12/31/2038 þ(m) |  | EUR |  |  | 760 |  |  |  |  |  | 396 |
7.820% due 12/31/2033 (m) |  |  |  |  | 1,267 |  |  |  |  |  | 824 |
7.820% due 12/31/2033 |  |  |  |  | 80 |  |  |  |  |  | 51 |
15.500% due 10/17/2026 |  | ARS |  |  | 8,480 |  |  |  |  |  | 39 |
42.836% (BADLARPP + 2.000%) due 04/03/2022 ~ |  |  |  |  | 13,123 |  |  |  |  |  | 116 |
45.399% (BADLARPP + 3.250%) due 03/01/2020 ~ |  |  |  |  | 420 |  |  |  |  |  | 5 |

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
56.589% (ARLLMONP) due 06/21/2020 ~(a) |  | ARS |  |  | 43,094 |  |  | $ |  |  | 390 |
59.928% (BADLARPP) due 10/04/2022 ~(a) |  |  |  |  | 132 |  |  |  |  |  | 2 |
Autonomous City of Buenos Aires Argentina |
44.086% due 03/29/2024 • |  |  |  |  | 14,395 |  |  |  |  |  | 165 |
51.313% (BADLARPP + 5.000%) due 01/23/2022 ~(a) |  |  |  |  | 1,630 |  |  |  |  |  | 20 |
Peru Government International Bond |
5.400% due 08/12/2034 |  | PEN |  |  | 2 |  |  |  |  |  | 1 |
5.940% due 02/12/2029 (m) |  |  |  |  | 752 |  |  |  |  |  | 256 |
5.940% due 02/12/2029 |  |  |  |  | 6 |  |  |  |  |  | 2 |
6.150% due 08/12/2032 (m) |  |  |  |  | 649 |  |  |  |  |  | 223 |
6.350% due 08/12/2028 (m) |  |  |  |  | 1,145 |  |  |  |  |  | 401 |
6.900% due 08/12/2037 |  |  |  |  | 1 |  |  |  |  |  | 0 |
6.950% due 08/12/2031 |  |  |  |  | 126 |  |  |  |  |  | 46 |
8.200% due 08/12/2026 |  |  |  |  | 207 |  |  |  |  |  | 80 |
Provincia de Buenos Aires |
45.979% due 05/31/2022 • |  | ARS |  |  | 100 |  |  |  |  |  | 1 |
52.270% (BADLARPP + 3.750%) due 04/12/2025 ~(a) |  |  |  |  | 79,631 |  |  |  |  |  | 604 |
Republic of Greece Government International Bond |
3.000% due 02/24/2023 þ |  | EUR |  |  | 33 |  |  |  |  |  | 41 |
3.000% due 02/24/2024 þ |  |  |  |  | 33 |  |  |  |  |  | 42 |
3.000% due 02/24/2025 þ |  |  |  |  | 33 |  |  |  |  |  | 43 |
3.000% due 02/24/2026 þ |  |  |  |  | 33 |  |  |  |  |  | 44 |
3.000% due 02/24/2027 þ |  |  |  |  | 33 |  |  |  |  |  | 44 |
3.000% due 02/24/2028 þ |  |  |  |  | 33 |  |  |  |  |  | 45 |
3.000% due 02/24/2029 þ |  |  |  |  | 33 |  |  |  |  |  | 45 |
3.000% due 02/24/2030 þ |  |  |  |  | 33 |  |  |  |  |  | 45 |
3.000% due 02/24/2031 þ |  |  |  |  | 33 |  |  |  |  |  | 45 |
3.000% due 02/24/2032 þ |  |  |  |  | 33 |  |  |  |  |  | 46 |
3.000% due 02/24/2033 þ |  |  |  |  | 33 |  |  |  |  |  | 46 |
3.000% due 02/24/2034 þ |  |  |  |  | 33 |  |  |  |  |  | 46 |
3.000% due 02/24/2035 þ |  |  |  |  | 33 |  |  |  |  |  | 46 |
3.000% due 02/24/2036 þ |  |  |  |  | 33 |  |  |  |  |  | 46 |
3.000% due 02/24/2037 þ |  |  |  |  | 33 |  |  |  |  |  | 46 |
3.000% due 02/24/2038 þ |  |  |  |  | 33 |  |  |  |  |  | 46 |
3.000% due 02/24/2039 þ |  |  |  |  | 33 |  |  |  |  |  | 47 |
3.000% due 02/24/2040 þ |  |  |  |  | 33 |  |  |  |  |  | 47 |
3.000% due 02/24/2041 þ |  |  |  |  | 33 |  |  |  |  |  | 47 |
3.000% due 02/24/2042 þ |  |  |  |  | 33 |  |  |  |  |  | 47 |
South Africa Government International Bond |
4.850% due 09/30/2029 (m) |  | $ |  |  | 200 |  |  |  |  |  | 201 |
5.750% due 09/30/2049 (m) |  |  |  |  | 200 |  |  |  |  |  | 195 |
Turkey Government International Bond |
4.625% due 03/31/2025 (m) |  | EUR |  |  | 300 |  |  |  |  |  | 357 |
5.200% due 02/16/2026 (m) |  |  |  |  | 100 |  |  |  |  |  | 122 |
5.600% due 11/14/2024 |  | $ |  |  | 500 |  |  |  |  |  | 510 |
7.625% due 04/26/2029 (m) |  |  |  |  | 400 |  |  |  |  |  | 443 |
Venezuela Government International Bond |
6.000% due 12/09/2020 ^(d) |  |  |  |  | 50 |  |  |  |  |  | 6 |
8.250% due 10/13/2024 ^(d) |  |  |  |  | 4 |  |  |  |  |  | 1 |
9.250% due 09/15/2027 ^(d) |  |  |  |  | 62 |  |  |  |  |  | 7 |
Total Sovereign Issues (Cost $9,631) |  |  | 6,368 |
|  |  |  | SHARES |  |  |  |  |  |
COMMON STOCKS 1.7% |
COMMUNICATION SERVICES 0.3% |
Clear Channel Outdoor Holdings, Inc. (e) |  |  |  |  | 97,913 |  |  |  |  |  | 280 |
iHeartMedia, Inc. |  |  |  |  | 73 |  |  |  |  |  | 1 |
iHeartMedia, Inc. ‘A’ (e) |  |  |  |  | 5,415 |  |  |  |  |  | 92 |
|  |  |  |  |  |  |  |  |  |  | 373 |
CONSUMER DISCRETIONARY 1.0% |
Caesars Entertainment Corp. (e) |  |  |  |  | 76,053 |  |  |  |  |  | 1,034 |
ENERGY 0.1% |
Dommo Energia S.A. (e)(k) |  |  |  |  | 68,358 |  |  |  |  |  | 50 |
Dommo Energia S.A. « |  |  |  |  | 173,223 |  |  |  |  |  | 104 |

|  |  |  | SHARES |  |  |  |  | MARKET VALUE (000S) |
Dommo Energia S.A. SP - ADR «(e) |  |  |  |  | 547 |  |  | $ |  |  | 4 |
Forbes Energy Services Ltd. (e)(k) |  |  |  |  | 5,475 |  |  |  |  |  | 1 |
|  |  |  |  |  |  |  |  |  |  | 159 |
INDUSTRIALS 0.2% |
Sierra Hamilton Holder LLC «(k) |  |  |  |  | 100,456 |  |  |  |  |  | 19 |
Westmoreland Mining Holdings LLC «(k) |  |  |  |  | 13,224 |  |  |  |  |  | 198 |
|  |  |  |  |  |  |  |  |  |  | 217 |
UTILITIES 0.1% |
Eneva S.A. (e)(k) |  |  |  |  | 7,786 |  |  |  |  |  | 85 |
Total Common Stocks (Cost $2,280) |  |  | 1,868 |
WARRANTS 0.8% |
COMMUNICATION SERVICES 0.6% |
iHeartMedia, Inc. |  |  |  |  | 35,276 |  |  |  |  |  | 596 |
INDUSTRIALS 0.2% |
Sequa Corp. - Exp. 04/28/2024 « |  |  | 121,000 |  |  |  |  |  | 262 |
Total Warrants (Cost $780) |  |  | 858 |
PREFERRED SECURITIES 8.0% |
BANKING & FINANCE 5.0% |
AGFC Capital Trust |
3.751% (US0003M + 1.750%) due 01/15/2067 ~(m) |  |  |  |  | 1,000,000 |  |  |  |  |  | 500 |
Banco Bilbao Vizcaya Argentaria S.A. |
6.750% due 02/18/2020 •(i)(j)(m) |  |  |  |  | 400,000 |  |  |  |  |  | 452 |
Nationwide Building Society |
10.250% ~ |  |  |  |  | 10,940 |  |  |  |  |  | 2,406 |
OCP CLO Ltd. |
0.000% due 04/26/2028 (g) |  |  |  |  | 1,400 |  |  |  |  |  | 1,102 |
Stichting AK Rabobank Certificaten |
6.500% due 12/29/2049 (i) |  |  |  |  | 664,000 |  |  |  |  |  | 950 |
|  |  |  |  |  |  |  |  |  |  | 5,410 |
INDUSTRIALS 3.0% |
General Electric Co. |
5.000% due 01/21/2021 •(i) |  |  |  |  | 28,000 |  |  |  |  |  | 27 |
Sequa Corp. (12.000% PIK) |
12.000% «(c) |  |  |  |  | 2,807 |  |  |  |  |  | 3,254 |
|  |  |  |  |  |  |  |  |  |  | 3,281 |
Total Preferred Securities (Cost $7,459) |  |  | 8,691 |
REAL ESTATE INVESTMENT TRUSTS 2.9% |
REAL ESTATE 2.9% |
VICI Properties, Inc. |  |  |  |  | 121,529 |  |  |  |  |  | 3,105 |
Total Real Estate Investment Trusts (Cost $1,780) |  |  | 3,105 |
SHORT-TERM INSTRUMENTS 13.0% |
REPURCHASE AGREEMENTS (l) 12.5% |
|  |  |  |  |  |  |  |  |  |  | 13,488 |
|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  |  |
ARGENTINA TREASURY BILLS 0.2% |
41.333% due 04/03/2020 «~ |  | ARS |  |  | 980 |  |  |  |  |  | 14 |

44 |  | PIMCO CLOSED-END FUNDS |  |  |  |  | See Accompanying Notes |

December 31, 2019 (Unaudited)

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
43.313% due 06/22/2020 «~ |  | ARS |  |  | 5,760 |  |  | $ |  |  | 85 |
47.869% due 02/26/2020 - 08/27/2020 (f)(g) |  |  |  |  | 7,907 |  |  |  |  |  | 102 |
|  |  |  |  |  |  |  |  |  |  | 201 |
U.S. TREASURY BILLS 0.3% |
1.590% due 02/20/2020 (g)(h)(p) |  | $ |  |  | 361 |  |  |  |  |  | 360 |
Total Short-Term Instruments (Cost $14,148) |  |  | 14,049 |
Total Investments in Securities (Cost $197,343) |  |  | 193,471 |
Total Investments 178.9% (Cost $197,343) |  |  | $ |  |  | 193,471 |
Financial Derivative Instruments (n)(o) 5.4% (Cost or Premiums, net $(1,239)) |  |  |  |  |  | 5,861 |
Other Assets and Liabilities, net (84.3)% |  |  | (91,175 | )
Net Assets 100.0% |  |  | $ |  |  | 108,157 |

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) | Interest only security.

(b) | Principal only security.

(c) | Payment in-kind security.

(d) | Security is not accruing income as of the date of this report.

(e) | Security did not produce income within the last twelve months.

(f) | Coupon represents a weighted average yield to maturity.

(g) | Zero coupon security.

(h) | Coupon represents a yield to maturity.

(i) | Perpetual maturity; date shown, if applicable, represents next contractual call date.

(j) | Contingent convertible security.

(k) RESTRICTED SECURITIES:

Issuer Description |  | Acquisition Date |  |  | Cost |  |  | Market Value |  |  | Market Value as Percentage of Net Assets |
Dommo Energia S.A. |  |  | 12/26/2017 |  |  | $ | 18 |  |  | $ | 50 |  |  |  | 0.04 | %
Eneva S.A. |  |  | 12/21/2017 - 12/03/2019 |  |  |  | 36 |  |  |  | 85 |  |  |  | 0.08 |
Forbes Energy Services Ltd. |  |  | 03/11/2014 - 12/03/2014 |  |  |  | 241 |  |  |  | 1 |  |  |  | 0.00 |
Pinnacol Assurance 8.625% due 06/25/2034 |  |  | 06/23/2014 |  |  |  | 1,100 |  |  |  | 1,177 |  |  |  | 1.09 |
Sierra Hamilton Holder LLC |  |  | 07/31/2017 |  |  |  | 26 |  |  |  | 19 |  |  |  | 0.02 |
Theatre Hospitals PLC 4.190% due 12/15/2024 |  |  | 12/17/2018 |  |  |  | 1 |  |  |  | 0 |  |  |  | 0.00 |
Westmoreland Mining Holdings LLC |  |  | 12/08/2014 - 08/05/2016 |  |  |  | 370 |  |  |  | 198 |  |  |  | 0.18 |
|  |  | $ | 1,792 |  |  | $ | 1,530 |  |  |  | 1.41 | %

See Accompanying Notes |  | SEMIANNUAL REPORT |  | DECEMBER 31, 2019 |  | 45

Schedule of Investments PIMCO Global StocksPLUS® & Income Fund (Cont.)

BORROWINGS AND OTHER FINANCING TRANSACTIONS

(l) 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 |  |  | 1.250 | % |  |  | 12/31/2019 |  |  |  | 01/02/2020 |  |  | $ | 488 |  |  | U.S. Treasury Inflation Protected Securities 0.125% due 04/15/2020 |  | $ | (499 | ) |  | $ | 488 |  |  | $ | 488 |
NOM |  |  | 1.650 |  |  |  | 12/31/2019 |  |  |  | 01/02/2020 |  |  |  | 13,000 |  |  | U.S. Treasury Bonds 3.125% due 02/15/2043 |  |  | (13,179 | ) |  |  | 13,000 |  |  |  | 13,001 |
Total Repurchase Agreements |  |  |  |  | $ | (13,678 | ) |  | $ | 13,488 |  |  | $ | 13,489 |

REVERSE REPURCHASE AGREEMENTS:

Counterparty |  | Borrowing Rate(2) |  |  | Settlement Date |  |  | Maturity Date |  |  | Amount Borrowed(2) |  |  | Payable for Reverse Repurchase Agreements |
BOS |  |  | 1.970 | % |  |  | 11/13/2019 |  |  |  | 01/14/2020 |  |  |  | $ |  |  |  | (1,774 | ) |  | $ | (1,779 | )
|  |  | 2.600 |  |  |  | 11/12/2019 |  |  |  | 01/14/2020 |  |  |  |  |  |  |  | (1,294 | ) |  |  | (1,299 | )
BPS |  |  | (0.100 | ) |  |  | 10/15/2019 |  |  |  | 01/23/2020 |  |  |  | EUR |  |  |  | (891 | ) |  |  | (1,000 | )
|  |  | 2.490 |  |  |  | 11/08/2019 |  |  |  | 01/07/2020 |  |  |  | $ |  |  |  | (445 | ) |  |  | (447 | )
BRC |  |  | 2.250 |  |  |  | 11/04/2019 |  |  |  | 01/03/2020 |  |  |  |  |  |  |  | (360 | ) |  |  | (361 | )
|  |  | 2.250 |  |  |  | 01/03/2020 |  |  |  | 03/03/2020 |  |  |  |  |  |  |  | (360 | ) |  |  | (360 | )
|  |  | 2.763 |  |  |  | 01/03/2020 |  |  |  | 04/01/2020 |  |  |  |  |  |  |  | (747 | ) |  |  | (747 | )
|  |  | 2.838 |  |  |  | 11/04/2019 |  |  |  | 01/03/2020 |  |  |  |  |  |  |  | (788 | ) |  |  | (792 | )
CIW |  |  | 2.120 |  |  |  | 12/18/2019 |  |  |  | 01/17/2020 |  |  |  |  |  |  |  | (401 | ) |  |  | (401 | )
FOB |  |  | 2.350 |  |  |  | 12/12/2019 |  |  |  | 01/10/2020 |  |  |  |  |  |  |  | (795 | ) |  |  | (796 | )
JML |  |  | (0.300 | ) |  |  | 10/22/2019 |  |  |  | 01/22/2020 |  |  |  | EUR |  |  |  | (81 | ) |  |  | (91 | )
|  |  | (0.250 | ) |  |  | 10/17/2019 |  |  |  | 01/16/2020 |  |  |  |  |  |  |  | (83 | ) |  |  | (93 | )
|  |  | (0.250 | ) |  |  | 10/18/2019 |  |  |  | 01/17/2020 |  |  |  |  |  |  |  | (98 | ) |  |  | (110 | )
|  |  | 0.900 |  |  |  | 10/15/2019 |  |  |  | 01/14/2020 |  |  |  | GBP |  |  |  | (187 | ) |  |  | (248 | )
|  |  | 0.950 |  |  |  | 10/16/2019 |  |  |  | 01/15/2020 |  |  |  |  |  |  |  | (1,402 | ) |  |  | (1,860 | )
|  |  | 0.950 |  |  |  | 10/17/2019 |  |  |  | 01/16/2020 |  |  |  |  |  |  |  | (156 | ) |  |  | (207 | )
|  |  | 0.950 |  |  |  | 10/18/2019 |  |  |  | 01/17/2020 |  |  |  |  |  |  |  | (184 | ) |  |  | (244 | )
|  |  | 0.950 |  |  |  | 10/23/2019 |  |  |  | 01/23/2020 |  |  |  |  |  |  |  | (1,374 | ) |  |  | (1,823 | )
|  |  | 2.200 |  |  |  | 11/26/2019 |  |  |  | 01/24/2020 |  |  |  | $ |  |  |  | (581 | ) |  |  | (583 | )
|  |  | 2.200 |  |  |  | 12/27/2019 |  |  |  | 01/13/2020 |  |  |  |  |  |  |  | (200 | ) |  |  | (200 | )
|  |  | 2.400 |  |  |  | 10/23/2019 |  |  |  | 01/17/2020 |  |  |  |  |  |  |  | (1,755 | ) |  |  | (1,763 | )
MBC |  |  | 2.780 |  |  |  | 10/31/2019 |  |  |  | 01/29/2020 |  |  |  |  |  |  |  | (751 | ) |  |  | (755 | )
|  |  | 2.810 |  |  |  | 11/08/2019 |  |  |  | 02/07/2020 |  |  |  |  |  |  |  | (801 | ) |  |  | (804 | )
MEI |  |  | 2.450 |  |  |  | 12/02/2019 |  |  |  | 01/07/2020 |  |  |  |  |  |  |  | (376 | ) |  |  | (377 | )
NOM |  |  | 2.350 |  |  |  | 11/04/2019 |  |  |  | 01/03/2020 |  |  |  |  |  |  |  | (679 | ) |  |  | (682 | )
|  |  | 2.400 |  |  |  | 01/03/2020 |  |  |  | 02/04/2020 |  |  |  |  |  |  |  | (545 | ) |  |  | (545 | )
RTA |  |  | 2.329 |  |  |  | 11/08/2019 |  |  |  | 02/07/2020 |  |  |  |  |  |  |  | (1,634 | ) |  |  | (1,640 | )
|  |  | 2.963 |  |  |  | 09/25/2019 |  |  |  | 03/25/2020 |  |  |  |  |  |  |  | (921 | ) |  |  | (928 | )
|  |  | 3.059 |  |  |  | 09/23/2019 |  |  |  | 03/23/2020 |  |  |  |  |  |  |  | (980 | ) |  |  | (988 | )
|  |  | 3.159 |  |  |  | 09/23/2019 |  |  |  | 03/23/2020 |  |  |  |  |  |  |  | (618 | ) |  |  | (623 | )
SAL |  |  | 3.194 |  |  |  | 12/13/2019 |  |  |  | 03/12/2020 |  |  |  |  |  |  |  | (2,261 | ) |  |  | (2,265 | )
SOG |  |  | 2.270 |  |  |  | 11/08/2019 |  |  |  | 01/09/2020 |  |  |  |  |  |  |  | (1,309 | ) |  |  | (1,313 | )
|  |  | 2.340 |  |  |  | 11/21/2019 |  |  |  | 02/19/2020 |  |  |  |  |  |  |  | (831 | ) |  |  | (833 | )
|  |  | 2.360 |  |  |  | 11/14/2019 |  |  |  | 02/12/2020 |  |  |  |  |  |  |  | (537 | ) |  |  | (539 | )
|  |  | 2.400 |  |  |  | 10/28/2019 |  |  |  | 01/28/2020 |  |  |  |  |  |  |  | (1,102 | ) |  |  | (1,107 | )
UBS |  |  | (0.130 | ) |  |  | 10/08/2019 |  |  |  | 01/08/2020 |  |  |  | EUR |  |  |  | (349 | ) |  |  | (391 | )
|  |  | (0.110 | ) |  |  | 10/08/2019 |  |  |  | 01/08/2020 |  |  |  |  |  |  |  | (358 | ) |  |  | (401 | )
|  |  | 1.350 |  |  |  | 11/22/2019 |  |  |  | 02/24/2020 |  |  |  | GBP |  |  |  | (2,505 | ) |  |  | (3,324 | )
|  |  | 1.605 |  |  |  | 10/29/2019 |  |  |  | 01/29/2020 |  |  |  |  |  |  |  | (698 | ) |  |  | (927 | )
|  |  | 2.250 |  |  |  | 11/01/2019 |  |  |  | TBD | (3) |  |  | $ |  |  |  | (1,539 | ) |  |  | (1,545 | )
|  |  | 2.400 |  |  |  | 12/13/2019 |  |  |  | 01/10/2020 |  |  |  |  |  |  |  | (196 | ) |  |  | (196 | )
|  |  | 2.450 |  |  |  | 11/07/2019 |  |  |  | 02/05/2020 |  |  |  |  |  |  |  | (64 | ) |  |  | (64 | )
|  |  | 2.450 |  |  |  | 11/12/2019 |  |  |  | 02/10/2020 |  |  |  |  |  |  |  | (3,651 | ) |  |  | (3,664 | )
|  |  | 2.450 |  |  |  | 11/13/2019 |  |  |  | 02/11/2020 |  |  |  |  |  |  |  | (2,505 | ) |  |  | (2,513 | )
|  |  | 2.450 |  |  |  | 11/14/2019 |  |  |  | 01/07/2020 |  |  |  |  |  |  |  | (1,018 | ) |  |  | (1,021 | )
|  |  | 2.450 |  |  |  | 11/18/2019 |  |  |  | 01/07/2020 |  |  |  |  |  |  |  | (84 | ) |  |  | (84 | )
|  |  | 2.450 |  |  |  | 11/27/2019 |  |  |  | 01/07/2020 |  |  |  |  |  |  |  | (94 | ) |  |  | (94 | )
|  |  | 2.450 |  |  |  | 12/31/2019 |  |  |  | 02/11/2020 |  |  |  |  |  |  |  | (2,140 | ) |  |  | (2,140 | )
|  |  | 2.500 |  |  |  | 11/07/2019 |  |  |  | 02/05/2020 |  |  |  |  |  |  |  | (244 | ) |  |  | (245 | )
|  |  | 2.500 |  |  |  | 11/14/2019 |  |  |  | 01/07/2020 |  |  |  |  |  |  |  | (502 | ) |  |  | (504 | )
|  |  | 2.500 |  |  |  | 11/18/2019 |  |  |  | 01/07/2020 |  |  |  |  |  |  |  | (536 | ) |  |  | (538 | )
|  |  | 2.550 |  |  |  | 10/03/2019 |  |  |  | 01/06/2020 |  |  |  |  |  |  |  | (2,011 | ) |  |  | (2,024 | )
|  |  | 2.600 |  |  |  | 10/03/2019 |  |  |  | 01/06/2020 |  |  |  |  |  |  |  | (96 | ) |  |  | (97 | )
|  |  | 2.600 |  |  |  | 11/18/2019 |  |  |  | 01/07/2020 |  |  |  |  |  |  |  | (486 | ) |  |  | (488 | )
|  |  | 2.800 |  |  |  | 11/13/2019 |  |  |  | 01/10/2020 |  |  |  |  |  |  |  | (1,245 | ) |  |  | (1,250 | )
Total Reverse Repurchase Agreements |  |  |  |  |  |  |  |  |  |  | $ | (50,113 | )

46 |  | PIMCO CLOSED-END FUNDS |  |  |  |  | See Accompanying Notes |

December 31, 2019 (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, 2019:

Counterparty |  | Repurchase Agreement Proceeds to be Received(1) |  |  | Payable for Reverse Repurchase Agreements |  |  | Payable for Sale-Buyback Transactions |  |  | Total Borrowings and Other Financing Transactions |  |  | Collateral Pledged/(Received) |  |  | Net Exposure(4) |
Global/Master Repurchase Agreement |
BOS |  | $ | 0 |  |  | $ | (3,078 | ) |  | $ | 0 |  |  | $ | (3,078 | ) |  | $ | 3,469 |  |  | $ | 391 |
BPS |  |  | 0 |  |  |  | (1,447 | ) |  |  | 0 |  |  |  | (1,447 | ) |  |  | 1,742 |  |  |  | 295 |
BRC |  |  | 0 |  |  |  | (2,260 | ) |  |  | 0 |  |  |  | (2,260 | ) |  |  | 1,397 |  |  |  | (863 | )
CIW |  |  | 0 |  |  |  | (401 | ) |  |  | 0 |  |  |  | (401 | ) |  |  | 413 |  |  |  | 12 |
FICC |  |  | 488 |  |  |  | 0 |  |  |  | 0 |  |  |  | 488 |  |  |  | (499 | ) |  |  | (11 | )
FOB |  |  | 0 |  |  |  | (796 | ) |  |  | 0 |  |  |  | (796 | ) |  |  | 852 |  |  |  | 56 |
JML |  |  | 0 |  |  |  | (7,222 | ) |  |  | 0 |  |  |  | (7,222 | ) |  |  | 8,477 |  |  |  | 1,255 |
MBC |  |  | 0 |  |  |  | (1,559 | ) |  |  | 0 |  |  |  | (1,559 | ) |  |  | 1,922 |  |  |  | 363 |
MEI |  |  | 0 |  |  |  | (377 | ) |  |  | 0 |  |  |  | (377 | ) |  |  | 443 |  |  |  | 66 |
NOM |  |  | 13,001 |  |  |  | (1,227 | ) |  |  | 0 |  |  |  | 11,774 |  |  |  | (12,567 | ) |  |  | (793 | )
RTA |  |  | 0 |  |  |  | (4,179 | ) |  |  | 0 |  |  |  | (4,179 | ) |  |  | 5,146 |  |  |  | 967 |
SAL |  |  | 0 |  |  |  | (2,265 | ) |  |  | 0 |  |  |  | (2,265 | ) |  |  | 3,456 |  |  |  | 1,191 |
SOG |  |  | 0 |  |  |  | (3,792 | ) |  |  | 0 |  |  |  | (3,792 | ) |  |  | 4,186 |  |  |  | 394 |
UBS |  |  | 0 |  |  |  | (21,510 | ) |  |  | 0 |  |  |  | (21,510 | ) |  |  | 25,013 |  |  |  | 3,503 |
Total Borrowings and Other Financing Transactions |  | $ | 13,489 |  |  | $ | (50,113 | ) |  | $ | 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 |  |  | $ | (15,785 | ) |  | $ | (14,962 | ) |  | $ | (1,545 | ) |  | $ | (32,292 | )
U.S. Government Agencies |  |  | 0 |  |  |  | (2,226 | ) |  |  | 0 |  |  |  | 0 |  |  |  | (2,226 | )
Non-Agency Mortgage-Backed Securities |  |  | 0 |  |  |  | (3,017 | ) |  |  | (2,540 | ) |  |  | 0 |  |  |  | (5,557 | )
Asset-Backed Securities |  |  | 0 |  |  |  | (2,004 | ) |  |  | (3,069 | ) |  |  | 0 |  |  |  | (5,073 | )
Sovereign Issues |  |  | 0 |  |  |  | (2,922 | ) |  |  | 0 |  |  |  | 0 |  |  |  | (2,922 | )
Preferred Securities |  |  | 0 |  |  |  | (391 | ) |  |  | 0 |  |  |  | 0 |  |  |  | (391 | )
Total Borrowings |  | $ | 0 |  |  | $ | (26,345 | ) |  | $ | (20,571 | ) |  | $ | (1,545 | ) |  | $ | (48,461 | )
Payable for reverse repurchase agreements(5) |  |  | $ | (48,461 | )

(m) | Securities with an aggregate market value of $57,068 and cash of $318 have been pledged as collateral under the terms of the above master agreements as of December 31, 2019.

(1) | Includes accrued interest.

(2) | The average amount of borrowings outstanding during the period ended December 31, 2019 was $(53,017) at a weighted average interest rate of 2.421%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.

(3) | Open maturity reverse repurchase agreement.

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

(5) | Unsettled reverse repurchase agreements liability of $(1,652) is outstanding at period end.

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

PURCHASED OPTIONS:

OPTIONS ON EXCHANGE-TRADED FUTURES CONTRACTS

Description |  | Strike Price |  |  | Expiration Date |  |  | # of Contracts |  |  | Notional Amount |  |  | Cost |  |  | Market Value |
Put - CME S&P 500 January 2020 Futures |  | $ | 3,050.000 |  |  |  | 01/17/2020 |  |  |  | 63 |  |  | $ | 16 |  |  | $ | 142 |  |  | $ | 77 |
Total Purchased Options |  |  | $ | 142 |  |  | $ | 77 |

See Accompanying Notes |  | SEMIANNUAL REPORT |  | DECEMBER 31, 2019 |  | 47

Schedule of Investments PIMCO Global StocksPLUS® & Income Fund (Cont.)

WRITTEN OPTIONS:

OPTIONS ON EXCHANGE-TRADED FUTURES CONTRACTS

Description |  | Strike Price |  |  | Expiration Date |  |  | # of Contracts |  |  | Notional Amount |  |  | Premiums (Received) |  |  | Market Value |
Call - CME S&P 500 January 2020 Futures |  | $ | 3,210.000 |  |  |  | 01/17/2020 |  |  |  | 63 |  |  | $ | 16 |  |  | $ | (517 | ) |  | $ | (692 | )
Total Written Options |  |  | $ | (517 | ) |  | $ | (692 | )

FUTURES CONTRACTS:

LONG FUTURES CONTRACTS

Description |  | Expiration Month |  |  | # of Contracts |  |  | Notional Amount |  |  | Unrealized Appreciation/ (Depreciation) |  |  | Variation Margin |
| Asset |  |  | Liability |
E-mini S&P 500 Index March Futures |  |  | 03/2020 |  |  |  | 334 |  |  | $ | 53,959 |  |  | $ | 1,099 |  |  | $ | 129 |  |  | $ | 0 |
Total Futures Contracts |  |  | $ | 1,099 |  |  | $ | 129 |  |  | $ | 0 |

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, 2019(2) |  |  | Notional Amount(3) |  |  | Premiums Paid/(Received) |  |  | Unrealized Appreciation/ (Depreciation) |  |  | Market Value(4) |  |  | Variation Margin |
| Asset |  |  | Liability |
Frontier Communications Corp. |  |  | 5.000 | % |  | Quarterly |  |  | 06/20/2020 |  |  |  | 195.572 | % |  | $ | 1,910 |  |  | $ | (76 | ) |  | $ | (782 | ) |  | $ | (858 | ) |  | $ | 0 |  |  | $ | (15 | )

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 |  | 3-Month CAD-Bank Bill |  |  | 3.300 | % |  | Semi-Annual |  |  | 06/19/2024 |  |  | CAD |  |  | 4,900 |  |  | $ | 369 |  |  | $ | (164 | ) |  | $ | 205 |  |  | $ | 0 |  |  | $ | (7 | )
Receive |  | 3-Month CAD-Bank Bill |  |  | 3.500 |  |  | Semi-Annual |  |  | 06/20/2044 |  |  |  |  |  | 1,600 |  |  |  | (285 | ) |  |  | (2 | ) |  |  | (287 | ) |  |  | 28 |  |  |  | 0 |
Receive |  | 3-Month USD-LIBOR |  |  | 3.000 |  |  | Semi-Annual |  |  | 06/19/2024 |  |  | $ |  |  | 13,900 |  |  |  | (230 | ) |  |  | (542 | ) |  |  | (772 | ) |  |  | 13 |  |  |  | 0 |
Receive(5) |  | 3-Month USD-LIBOR |  |  | 1.750 |  |  | Semi-Annual |  |  | 01/15/2030 |  |  |  |  |  | 600 |  |  |  | (7 | ) |  |  | 16 |  |  |  | 9 |  |  |  | 2 |  |  |  | 0 |
Receive(5) |  | 3-Month USD-LIBOR |  |  | 2.000 |  |  | Semi-Annual |  |  | 02/12/2030 |  |  |  |  |  | 4,400 |  |  |  | (78 | ) |  |  | 43 |  |  |  | (35 | ) |  |  | 14 |  |  |  | 0 |
Receive(5) |  | 3-Month USD-LIBOR |  |  | 2.000 |  |  | Semi-Annual |  |  | 03/10/2030 |  |  |  |  |  | 2,200 |  |  |  | (2 | ) |  |  | (15 | ) |  |  | (17 | ) |  |  | 7 |  |  |  | 0 |
Pay |  | 3-Month USD-LIBOR |  |  | 3.000 |  |  | Semi-Annual |  |  | 12/19/2048 |  |  |  |  |  | 5,700 |  |  |  | (17 | ) |  |  | 1,153 |  |  |  | 1,136 |  |  |  | 0 |  |  |  | (67 | )
Receive |  | 6-Month EUR-EURIBOR |  |  | 0.000 |  |  | Annual |  |  | 08/19/2021 |  |  | EUR |  |  | 86,100 |  |  |  | (170 | ) |  |  | (475 | ) |  |  | (645 | ) |  |  | 9 |  |  |  | 0 |
Pay |  | 6-Month EUR-EURIBOR |  |  | 0.650 |  |  | Annual |  |  | 02/26/2029 |  |  |  |  |  | 54,600 |  |  |  | 55 |  |  |  | 3,230 |  |  |  | 3,285 |  |  |  | 0 |  |  |  | (255 | )
Receive |  | 6-Month EUR-EURIBOR |  |  | 1.250 |  |  | Annual |  |  | 08/19/2049 |  |  |  |  |  | 13,200 |  |  |  | 55 |  |  |  | (2,742 | ) |  |  | (2,687 | ) |  |  | 231 |  |  |  | 0 |
Receive(5) |  | 6-Month GBP-LIBOR |  |  | 0.750 |  |  | Semi-Annual |  |  | 03/18/2030 |  |  | GBP |  |  | 5,762 |  |  |  | 60 |  |  |  | 142 |  |  |  | 202 |  |  |  | 44 |  |  |  | 0 |
Receive(5) |  | 6-Month GBP-LIBOR |  |  | 0.750 |  |  | Semi-Annual |  |  | 03/18/2050 |  |  |  |  |  | 1,100 |  |  |  | 24 |  |  |  | 115 |  |  |  | 139 |  |  |  | 23 |  |  |  | 0 |
|  |  |  |  |  | $ | (226 | ) |  | $ | 759 |  |  | $ | 533 |  |  | $ | 371 |  |  | $ | (329 | )
Total Swap Agreements |  |  |  |  |  | $ | (302 | ) |  | $ | (23 | ) |  | $ | (325 | ) |  | $ | 371 |  |  | $ | (344 | )

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, 2019:

|  | 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 |  | $ | 77 |  |  | $ | 129 |  |  | $ | 371 |  |  | $ | 577 |  |  |  |  |  |  | $ | (692 | ) |  | $ | 0 |  |  | $ | (344 | ) |  | $ | (1,036 | )

Cash of $4,814 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2019. 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.

48 |  | PIMCO CLOSED-END FUNDS |  |  |  |  | See Accompanying Notes |

December 31, 2019 (Unaudited)

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

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

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

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

(o) 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 |  |  | 01/2020 |  |  | AUD |  |  | 148 |  |  | $ |  |  | 101 |  |  | $ | 0 |  |  | $ | (3 | )
BPS |  |  | 01/2020 |  |  | EUR |  |  | 648 |  |  |  |  |  | 716 |  |  |  | 0 |  |  |  | (12 | )
|  |  | 01/2020 |  |  | GBP |  |  | 3,817 |  |  |  |  |  | 4,943 |  |  |  | 0 |  |  |  | (114 | )
|  |  | 01/2020 |  |  | $ |  |  | 10 |  |  | CLP |  |  | 7,740 |  |  |  | 0 |  |  |  | 0 |
|  |  | 01/2020 |  |  |  |  |  | 279 |  |  | GBP |  |  | 213 |  |  |  | 4 |  |  |  | 0 |
|  |  | 02/2020 |  |  | PEN |  |  | 708 |  |  | $ |  |  | 209 |  |  |  | 0 |  |  |  | (5 | )
BRC |  |  | 01/2020 |  |  | $ |  |  | 127 |  |  | AUD |  |  | 186 |  |  |  | 4 |  |  |  | 0 |
CBK |  |  | 01/2020 |  |  |  |  |  | 63 |  |  | CLP |  |  | 49,438 |  |  |  | 3 |  |  |  | 0 |
|  |  | 01/2020 |  |  |  |  |  | 1,091 |  |  | MXN |  |  | 21,362 |  |  |  | 36 |  |  |  | 0 |
FBF |  |  | 01/2020 |  |  | BRL |  |  | 94 |  |  | $ |  |  | 23 |  |  |  | 0 |  |  |  | 0 |
|  |  | 01/2020 |  |  | $ |  |  | 23 |  |  | BRL |  |  | 94 |  |  |  | 1 |  |  |  | 0 |
|  |  | 02/2020 |  |  |  |  |  | 23 |  |  |  |  |  | 94 |  |  |  | 0 |  |  |  | 0 |
GLM |  |  | 01/2020 |  |  | BRL |  |  | 12 |  |  | $ |  |  | 3 |  |  |  | 0 |  |  |  | 0 |
|  |  | 01/2020 |  |  | GBP |  |  | 139 |  |  |  |  |  | 182 |  |  |  | 0 |  |  |  | (2 | )
|  |  | 01/2020 |  |  | $ |  |  | 3 |  |  | BRL |  |  | 12 |  |  |  | 0 |  |  |  | 0 |
|  |  | 01/2020 |  |  |  |  |  | 2 |  |  | CLP |  |  | 1,571 |  |  |  | 0 |  |  |  | 0 |
|  |  | 02/2020 |  |  |  |  |  | 1,169 |  |  | RUB |  |  | 74,943 |  |  |  | 33 |  |  |  | 0 |
HUS |  |  | 01/2020 |  |  | CAD |  |  | 43 |  |  | $ |  |  | 32 |  |  |  | 0 |  |  |  | (1 | )
|  |  | 01/2020 |  |  | GBP |  |  | 166 |  |  |  |  |  | 219 |  |  |  | 0 |  |  |  | (1 | )
|  |  | 01/2020 |  |  | $ |  |  | 3 |  |  | CLP |  |  | 2,352 |  |  |  | 0 |  |  |  | 0 |
|  |  | 01/2020 |  |  |  |  |  | 179 |  |  | TRY |  |  | 1,031 |  |  |  | 0 |  |  |  | (6 | )
|  |  | 02/2020 |  |  | JPY |  |  | 22,000 |  |  | $ |  |  | 203 |  |  |  | 0 |  |  |  | 0 |
JPM |  |  | 01/2020 |  |  | $ |  |  | 320 |  |  | TRY |  |  | 1,848 |  |  |  | 0 |  |  |  | (11 | )
MYI |  |  | 01/2020 |  |  | EUR |  |  | 4,092 |  |  | $ |  |  | 4,525 |  |  |  | 0 |  |  |  | (67 | )
RYL |  |  | 01/2020 |  |  | CLP |  |  | 17,504 |  |  |  |  |  | 23 |  |  |  | 0 |  |  |  | 0 |
|  |  | 01/2020 |  |  | MXN |  |  | 21,362 |  |  |  |  |  | 1,106 |  |  |  | 0 |  |  |  | (21 | )
|  |  | 01/2020 |  |  | $ |  |  | 26 |  |  | CLP |  |  | 19,859 |  |  |  | 0 |  |  |  | 0 |
|  |  | 05/2020 |  |  |  |  |  | 1,089 |  |  | MXN |  |  | 21,362 |  |  |  | 21 |  |  |  | 0 |
SSB |  |  | 02/2020 |  |  |  |  |  | 386 |  |  | JPY |  |  | 41,800 |  |  |  | 0 |  |  |  | (1 | )
TOR |  |  | 01/2020 |  |  |  |  |  | 17 |  |  | CLP |  |  | 13,354 |  |  |  | 1 |  |  |  | 0 |
UAG |  |  | 02/2020 |  |  | JPY |  |  | 18,200 |  |  | $ |  |  | 168 |  |  |  | 0 |  |  |  | 0 |
Total Forward Foreign Currency Contracts |  |  | $ | 103 |  |  | $ | (244 | )

PURCHASED OPTIONS:

OPTIONS ON SECURITIES

Counterparty |  | Description |  | Strike Price |  |  | Expiration Date |  |  | Notional Amount(1) |  |  | Cost |  |  | Market Value |
FAR |  | Put - OTC Uniform Mortgage-Backed Security, TBA 3.500% due 02/01/2050 |  | $ | 70.000 |  |  |  | 02/05/2020 |  |  |  | 8,000 |  |  | $ | 1 |  |  | $ | 0 |
|  | Put - OTC Uniform Mortgage-Backed Security, TBA 3.500% due 02/01/2050 |  |  | 72.500 |  |  |  | 02/05/2020 |  |  |  | 5,000 |  |  |  | 0 |  |  |  | 0 |
Total Purchased Options |  |  | $ | 1 |  |  | $ | 0 |

See Accompanying Notes |  | SEMIANNUAL REPORT |  | DECEMBER 31, 2019 |  | 49

Schedule of Investments PIMCO Global StocksPLUS® & Income Fund (Cont.)

SWAP AGREEMENTS:

CREDIT DEFAULT SWAPS ON ASSET-BACKED SECURITIES - SELL PROTECTION(2)

Counterparty |  | Reference Obligation |  | Fixed Receive Rate |  |  | Payment Frequency |  | Maturity Date |  |  | Notional Amount(3) |  |  | Premiums Paid/(Received) |  |  | Unrealized Appreciation/ (Depreciation) |  |  | Swap Agreements, at Value(4) |
| Asset |  |  | Liability |
BOA |  | Long Beach Mortgage Loan Trust 7.654% due 07/25/2033 |  |  | 6.250% |  |  | Monthly |  |  | 07/25/2033 |  |  | $ |  |  |  |  | 122 |  |  | $ | 0 |  |  | $ | 25 |  |  | $ | 25 |  |  | $ | 0 |

CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION(2)

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 |
GST |  | ABX.HE.AA.6-1 Index |  |  | 0.320 | % |  | Monthly |  |  | 07/25/2045 |  |  | $ |  |  |  |  | 1,815 |  |  | $ | (361 | ) |  | $ | 262 |  |  | $ | 0 |  |  | $ | (99 | )
|  | ABX.HE.PENAAA.7-1 Index |  |  | 0.090 |  |  | Monthly |  |  | 08/25/2037 |  |  |  |  |  |  |  | 1,043 |  |  |  | (202 | ) |  |  | 66 |  |  |  | 0 |  |  |  | (136 | )
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | (563 | ) |  | $ | 328 |  |  | $ | 0 |  |  | $ | (235 | )

INTEREST RATE SWAPS

Counterparty |  | Pay/Receive Floating Rate |  | Floating Rate Index |  | Fixed Rate |  |  | Payment Frequency |  | Maturity Date |  | Notional Amount |  |  | Premiums Paid/(Received) |  |  | Unrealized Appreciation/ (Depreciation) |  |  | Swap Agreements, at Value |
| Asset |  |  | Liability |
MYC |  | Pay |  | 3-Month USD-LIBOR |  |  | 3.850% |  |  | Semi-Annual |  | 07/13/2022 |  | $ |  |  |  |  | 75,000 |  |  | $ | 0 |  |  | $ | 1,766 |  |  | $ | 1,766 |  |  | $ | 0 |

TOTAL RETURN SWAPS ON EQUITY INDICES

Counterparty |  | Pay/Receive(5) |  | Underlying Reference |  | # of Units |  |  | Financing Rate |  | Payment Frequency |  | Maturity Date |  | Notional Amount |  |  | Premiums Paid/(Received) |  |  | Unrealized Appreciation/ (Depreciation) |  |  | Swap Agreements, at Value |
| Asset |  |  | Liability |
JPM |  | Receive |  | NDDUEAFE Index |  |  | 316 |  |  | 1.656% (3-Month USD-LIBOR less a specified spread) |  | Quarterly |  | 05/13/2020 |  | $ |  |  |  |  | 1,963 |  |  | $ | 0 |  |  | $ | 61 |  |  | $ | 61 |  |  | $ | 0 |
MYI |  | Receive |  | NDDUEAFE Index |  |  | 4,333 |  |  | 1.685% (3-Month USD-LIBOR less a specified spread) |  | Maturity |  | 09/16/2020 |  |  |  |  |  |  | 24,988 |  |  |  | 0 |  |  |  | 2,623 |  |  |  | 2,623 |  |  |  | 0 |
UAG |  | Receive |  | NDDUEAFE Index |  |  | 3,677 |  |  | 1.735% (3-Month USD-LIBOR less a specified spread) |  | Maturity |  | 09/16/2020 |  |  |  |  |  |  | 21,205 |  |  |  | 0 |  |  |  | 2,221 |  |  |  | 2,221 |  |  |  | 0 |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | 0 |  |  | $ | 4,905 |  |  | $ | 4,905 |  |  | $ | 0 |
Total Swap Agreements |  |  | $ | (563 | ) |  | $ | 7,024 |  |  | $ | 6,696 |  |  | $ | (235 | )

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, 2019:

|  | Financial Derivative Assets |  |  |  |  |  | Financial Derivative Liabilities |  |  |  |  |  |  |  |  |  |
Counterparty |  | Forward Foreign Currency Contracts |  |  | Purchased Options |  |  | Swap Agreements |  |  | Total Over the Counter |  |  |  |  |  | Forward Foreign Currency Contracts |  |  | Written Options |  |  | Swap Agreements |  |  | Total Over the Counter |  |  | Net Market Value of OTC Derivatives |  |  | Collateral Pledged/ (Received) |  |  | Net Exposure(6) |
BOA |  | $ | 0 |  |  | $ | 0 |  |  | $ | 25 |  |  | $ | 25 |  |  |  |  |  |  | $ | (3 | ) |  | $ | 0 |  |  | $ | 0 |  |  | $ | (3 | ) |  | $ | 22 |  |  | $ | 0 |  |  | $ | 22 |
BPS |  |  | 4 |  |  |  | 0 |  |  |  | 0 |  |  |  | 4 |  |  |  |  |  |  |  | (131 | ) |  |  | 0 |  |  |  | 0 |  |  |  | (131 | ) |  |  | (127 | ) |  |  | 0 |  |  |  | (127 | )
BRC |  |  | 4 |  |  |  | 0 |  |  |  | 0 |  |  |  | 4 |  |  |  |  |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 4 |  |  |  | 0 |  |  |  | 4 |
CBK |  |  | 39 |  |  |  | 0 |  |  |  | 0 |  |  |  | 39 |  |  |  |  |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 39 |  |  |  | 0 |  |  |  | 39 |
FBF |  |  | 1 |  |  |  | 0 |  |  |  | 0 |  |  |  | 1 |  |  |  |  |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 1 |  |  |  | 0 |  |  |  | 1 |
GLM |  |  | 33 |  |  |  | 0 |  |  |  | 0 |  |  |  | 33 |  |  |  |  |  |  |  | (2 | ) |  |  | 0 |  |  |  | 0 |  |  |  | (2 | ) |  |  | 31 |  |  |  | 0 |  |  |  | 31 |
GST |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  |  |  |  |  | 0 |  |  |  | 0 |  |  |  | (235 | ) |  |  | (235 | ) |  |  | (235 | ) |  |  | 360 |  |  |  | 125 |
HUS |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  |  |  |  |  | (8 | ) |  |  | 0 |  |  |  | 0 |  |  |  | (8 | ) |  |  | (8 | ) |  |  | 0 |  |  |  | (8 | )
JPM |  |  | 0 |  |  |  | 0 |  |  |  | 61 |  |  |  | 61 |  |  |  |  |  |  |  | (11 | ) |  |  | 0 |  |  |  | 0 |  |  |  | (11 | ) |  |  | 50 |  |  |  | 0 |  |  |  | 50 |
MYC |  |  | 0 |  |  |  | 0 |  |  |  | 1,766 |  |  |  | 1,766 |  |  |  |  |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 1,766 |  |  |  | (2,006 | ) |  |  | (240 | )
MYI |  |  | 0 |  |  |  | 0 |  |  |  | 2,623 |  |  |  | 2,623 |  |  |  |  |  |  |  | (67 | ) |  |  | 0 |  |  |  | 0 |  |  |  | (67 | ) |  |  | 2,556 |  |  |  | (2,660 | ) |  |  | (104 | )
RYL |  |  | 21 |  |  |  | 0 |  |  |  | 0 |  |  |  | 21 |  |  |  |  |  |  |  | (21 | ) |  |  | 0 |  |  |  | 0 |  |  |  | (21 | ) |  |  | 0 |  |  |  | 0 |  |  |  | 0 |
SSB |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  |  |  |  |  | (1 | ) |  |  | 0 |  |  |  | 0 |  |  |  | (1 | ) |  |  | (1 | ) |  |  | 0 |  |  |  | (1 | )
TOR |  |  | 1 |  |  |  | 0 |  |  |  | 0 |  |  |  | 1 |  |  |  |  |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 1 |  |  |  | 0 |  |  |  | 1 |
UAG |  |  | 0 |  |  |  | 0 |  |  |  | 2,221 |  |  |  | 2,221 |  |  |  |  |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 2,221 |  |  |  | (2,300 | ) |  |  | (79 | )
Total Over the Counter |  | $ | 103 |  |  | $ | 0 |  |  | $ | 6,696 |  |  | $ | 6,799 |  |  |  |  |  |  | $ | (244 | ) |  | $ | 0 |  |  | $ | (235 | ) |  | $ | (479 | ) |  |  |  |  |  |  |  |  |  |  |  |

50 |  | PIMCO CLOSED-END FUNDS |  |  |  |  | See Accompanying Notes |

December 31, 2019 (Unaudited)

(p) | Securities with an aggregate market value of $360 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2019.

(1) | Notional Amount represents the number of contracts.

(2) | 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.

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

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

(5) | Receive represents that the Fund receives payments for any positive net return on the underlying reference. The Fund makes payments for any negative net return on such underlying reference. Pay represents that the Fund receives payments for any negative net return on the underlying reference. The Fund makes payments for any positive net return on such underlying reference.

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

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 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, 2019:

|  | 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 |
Purchased Options |  | $ | 0 |  |  | $ | 0 |  |  | $ | 77 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 77 |
Futures |  |  | 0 |  |  |  | 0 |  |  |  | 129 |  |  |  | 0 |  |  |  | 0 |  |  |  | 129 |
Swap Agreements |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 371 |  |  |  | 371 |
|  | $ | 0 |  |  | $ | 0 |  |  | $ | 206 |  |  | $ | 0 |  |  | $ | 371 |  |  | $ | 577 |
Over the counter |
Forward Foreign Currency Contracts |  | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 103 |  |  | $ | 0 |  |  | $ | 103 |
Swap Agreements |  |  | 0 |  |  |  | 25 |  |  |  | 4,905 |  |  |  | 0 |  |  |  | 1,766 |  |  |  | 6,696 |
|  | $ | 0 |  |  | $ | 25 |  |  | $ | 4,905 |  |  | $ | 103 |  |  | $ | 1,766 |  |  | $ | 6,799 |
|  | $ | 0 |  |  | $ | 25 |  |  | $ | 5,111 |  |  | $ | 103 |  |  | $ | 2,137 |  |  | $ | 7,376 |
Financial Derivative Instruments - Liabilities |
Exchange-traded or centrally cleared |
Written Options |  | $ | 0 |  |  | $ | 0 |  |  | $ | 692 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 692 |
Swap Agreements |  |  | 0 |  |  |  | 15 |  |  |  | 0 |  |  |  | 0 |  |  |  | 329 |  |  |  | 344 |
|  | $ | 0 |  |  | $ | 15 |  |  | $ | 692 |  |  | $ | 0 |  |  | $ | 329 |  |  | $ | 1,036 |
Over the counter |
Forward Foreign Currency Contracts |  | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 244 |  |  | $ | 0 |  |  | $ | 244 |
Swap Agreements |  |  | 0 |  |  |  | 235 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 235 |
|  | $ | 0 |  |  | $ | 235 |  |  | $ | 0 |  |  | $ | 244 |  |  | $ | 0 |  |  | $ | 479 |
|  | $ | 0 |  |  | $ | 250 |  |  | $ | 692 |  |  | $ | 244 |  |  | $ | 329 |  |  | $ | 1,515 |

The effect of Financial Derivative Instruments on the Statements of Operations for the period ended December 31, 2019:

|  | Derivatives not accounted for as hedging instruments |
|  | Commodity Contracts |  |  | Credit Contracts |  |  | Equity Contracts |  |  | Foreign Exchange Contracts |  |  | Interest Rate Contracts |  |  | Total |
Net Realized Gain (Loss) on Financial Derivative Instruments |
Exchange-traded or centrally cleared |
Purchased Options |  | $ | 0 |  |  | $ | 0 |  |  | $ | (1,256 | ) |  | $ | 0 |  |  | $ | 0 |  |  | $ | (1,256 | )
Written Options |  |  | 0 |  |  |  | 0 |  |  |  | (2,156 | ) |  |  | 0 |  |  |  | 0 |  |  |  | (2,156 | )
Futures |  |  | 0 |  |  |  | 0 |  |  |  | 4,474 |  |  |  | 0 |  |  |  | 0 |  |  |  | 4,474 |
Swap Agreements |  |  | 0 |  |  |  | 58 |  |  |  | 0 |  |  |  | 0 |  |  |  | (3,814 | ) |  |  | (3,756 | )
|  | $ | 0 |  |  | $ | 58 |  |  | $ | 1,062 |  |  | $ | 0 |  |  | $ | (3,814 | ) |  | $ | (2,694 | )

See Accompanying Notes |  | SEMIANNUAL REPORT |  | DECEMBER 31, 2019 |  | 51

Schedule of Investments PIMCO Global StocksPLUS® & Income Fund (Cont.)

|  | Derivatives not accounted for as hedging instruments |
|  | Commodity Contracts |  |  | Credit Contracts |  |  | Equity Contracts |  |  | Foreign Exchange Contracts |  |  | Interest Rate Contracts |  |  | Total |
Over the counter |
Forward Foreign Currency Contracts |  | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 567 |  |  | $ | 0 |  |  | $ | 567 |
Purchased Options |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | (2 | ) |  |  | (2 | )
Swap Agreements |  |  | 0 |  |  |  | 48 |  |  |  | (2,684 | ) |  |  | 0 |  |  |  | 816 |  |  |  | (1,820 | )
|  | $ | 0 |  |  | $ | 48 |  |  | $ | (2,684 | ) |  | $ | 567 |  |  | $ | 814 |  |  | $ | (1,255 | )
|  | $ | 0 |  |  | $ | 106 |  |  | $ | (1,622 | ) |  | $ | 567 |  |  | $ | (3,000 | ) |  | $ | (3,949 | )
Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative Instruments |
Exchange-traded or centrally cleared |
Purchased Options |  | $ | 0 |  |  | $ | 0 |  |  | $ | (27 | ) |  | $ | 0 |  |  | $ | 0 |  |  | $ | (27 | )
Written Options |  |  | 0 |  |  |  | 0 |  |  |  | (299 | ) |  |  | 0 |  |  |  | 0 |  |  |  | (299 | )
Futures |  |  | 0 |  |  |  | 0 |  |  |  | 319 |  |  |  | 0 |  |  |  | 0 |  |  |  | 319 |
Swap Agreements |  |  | 0 |  |  |  | (401 | ) |  |  | 0 |  |  |  | 0 |  |  |  | 2,938 |  |  |  | 2,537 |
|  | $ | 0 |  |  | $ | (401 | ) |  | $ | (7 | ) |  | $ | 0 |  |  | $ | 2,938 |  |  | $ | 2,530 |
Over the counter |
Forward Foreign Currency Contracts |  | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | (48 | ) |  | $ | 0 |  |  | $ | (48 | )
Swap Agreements |  |  | 0 |  |  |  | (28 | ) |  |  | 5,625 |  |  |  | 0 |  |  |  | (716 | ) |  |  | 4,881 |
|  | $ | 0 |  |  | $ | (28 | ) |  | $ | 5,625 |  |  | $ | (48 | ) |  | $ | (716 | ) |  | $ | 4,833 |
|  | $ | 0 |  |  | $ | (429 | ) |  | $ | 5,618 |  |  | $ | (48 | ) |  | $ | 2,222 |  |  | $ | 7,363 |

FAIR VALUE MEASUREMENTS

The following is a summary of the fair valuations according to the inputs used as of December 31, 2019 in valuing the Fund’s assets and liabilities:

Category and Subcategory |  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Fair Value at 12/31/2019 |
Investments in Securities, at Value |
Loan Participations and Assignments |  | $ | 0 |  |  | $ | 15,024 |  |  | $ | 1,571 |  |  | $ | 16,595 |
Corporate Bonds & Notes |
Banking & Finance |  |  | 0 |  |  |  | 18,216 |  |  |  | 1,177 |  |  |  | 19,393 |
Industrials |  |  | 0 |  |  |  | 17,277 |  |  |  | 84 |  |  |  | 17,361 |
Utilities |  |  | 0 |  |  |  | 7,696 |  |  |  | 0 |  |  |  | 7,696 |
Convertible Bonds & Notes |
Industrials |  |  | 0 |  |  |  | 578 |  |  |  | 0 |  |  |  | 578 |
Utilities |  |  | 0 |  |  |  | 3 |  |  |  | 0 |  |  |  | 3 |
Municipal Bonds & Notes |
Illinois |  |  | 0 |  |  |  | 69 |  |  |  | 0 |  |  |  | 69 |
West Virginia |  |  | 0 |  |  |  | 2,039 |  |  |  | 0 |  |  |  | 2,039 |
U.S. Government Agencies |  |  | 0 |  |  |  | 47,474 |  |  |  | 0 |  |  |  | 47,474 |
Non-Agency Mortgage-Backed Securities |  |  | 0 |  |  |  | 28,790 |  |  |  | 282 |  |  |  | 29,072 |
Asset-Backed Securities |  |  | 0 |  |  |  | 11,475 |  |  |  | 6,777 |  |  |  | 18,252 |
Sovereign Issues |  |  | 0 |  |  |  | 6,368 |  |  |  | 0 |  |  |  | 6,368 |
Common Stocks |
Communication Services |  |  | 372 |  |  |  | 1 |  |  |  | 0 |  |  |  | 373 |
Consumer Discretionary |  |  | 1,034 |  |  |  | 0 |  |  |  | 0 |  |  |  | 1,034 |
Energy |  |  | 51 |  |  |  | 0 |  |  |  | 108 |  |  |  | 159 |
Industrials |  |  | 0 |  |  |  | 0 |  |  |  | 217 |  |  |  | 217 |
Utilities |  |  | 85 |  |  |  | 0 |  |  |  | 0 |  |  |  | 85 |
Warrants |
Communication Services |  |  | 0 |  |  |  | 596 |  |  |  | 0 |  |  |  | 596 |
Industrials |  |  | 0 |  |  |  | 0 |  |  |  | 262 |  |  |  | 262 |
Preferred Securities |
Banking & Finance |  |  | 0 |  |  |  | 5,410 |  |  |  | 0 |  |  |  | 5,410 |
Industrials |  |  | 0 |  |  |  | 27 |  |  |  | 3,254 |  |  |  | 3,281 |

Category and Subcategory |  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Fair Value at 12/31/2019 |
Real Estate Investment Trusts |
Real Estate |  | $ | 3,105 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 3,105 |
Short-Term Instruments |
Repurchase Agreements |  |  | 0 |  |  |  | 13,488 |  |  |  | 0 |  |  |  | 13,488 |
Argentina Treasury Bills |  |  | 0 |  |  |  | 102 |  |  |  | 99 |  |  |  | 201 |
U.S. Treasury Bills |  |  | 0 |  |  |  | 360 |  |  |  | 0 |  |  |  | 360 |
Total Investments |  | $ | 4,647 |  |  | $ | 174,993 |  |  | $ | 13,831 |  |  | $ | 193,471 |
Financial Derivative Instruments - Assets |
Exchange-traded or centrally cleared |  |  | 206 |  |  |  | 371 |  |  |  | 0 |  |  |  | 577 |
Over the counter |  |  | 0 |  |  |  | 6,799 |  |  |  | 0 |  |  |  | 6,799 |
|  | $ | 206 |  |  | $ | 7,170 |  |  | $ | 0 |  |  | $ | 7,376 |
Financial Derivative Instruments - Liabilities |
Exchange-traded or centrally cleared |  |  | (692 | ) |  |  | (344 | ) |  |  | 0 |  |  |  | (1,036 | )
Over the counter |  |  | 0 |  |  |  | (479 | ) |  |  | 0 |  |  |  | (479 | )
|  | $ | (692 | ) |  | $ | (823 | ) |  | $ | 0 |  |  | $ | (1,515 | )
Total Financial Derivative Instruments |  | $ | (486 | ) |  | $ | 6,347 |  |  | $ | 0 |  |  | $ | 5,861 |
Totals |  | $ | 4,161 |  |  | $ | 181,340 |  |  | $ | 13,831 |  |  | $ | 199,332 |

52 |  | PIMCO CLOSED-END FUNDS |  |  |  |  | See Accompanying Notes |

December 31, 2019 (Unaudited)

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended December 31, 2019:

Category and Subcategory |  | Beginning Balance at 06/30/2019 |  |  | Net Purchases |  |  | Net Sales/Settlements |  |  | Accrued Discounts/ (Premiums) |  |  | Realized Gain/(Loss) |  |  | Net Change in Unrealized Appreciation/ (Depreciation)(1) |  |  | Transfers into Level 3 |  |  | Transfers out of Level 3 |  |  | Ending Balance at 12/31/2019 |  |  | Net Change in Unrealized Appreciation/ (Depreciation) on Investments Held at 12/31/2019(1) |
Investments in Securities, at Value |
Loan Participations and Assignments |  | $ | 2,293 |  |  | $ | 1,513 |  |  | $ | (103 | ) |  | $ | (12 | ) |  | $ | (1 | ) |  | $ | (61 | ) |  | $ | 0 |  |  | $ | (2,058 | ) |  | $ | 1,571 |  |  | $ | 18 |
Corporate Bonds & Notes |
Banking & Finance |  |  | 1,136 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 41 |  |  |  | 0 |  |  |  | 0 |  |  |  | 1,177 |  |  |  | 41 |
Industrials |  |  | 0 |  |  |  | 100 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | (16 | ) |  |  | 0 |  |  |  | 0 |  |  |  | 84 |  |  |  | (16 | )
Non-Agency Mortgage-Backed Securities |  |  | 316 |  |  |  | 0 |  |  |  | (20 | ) |  |  | 1 |  |  |  | 0 |  |  |  | (15 | ) |  |  | 0 |  |  |  | 0 |  |  |  | 282 |  |  |  | (15 | )
Asset-Backed Securities |  |  | 8,335 |  |  |  | 0 |  |  |  | 0 |  |  |  | 4 |  |  |  | 0 |  |  |  | (1,562 | ) |  |  | 0 |  |  |  | 0 |  |  |  | 6,777 |  |  |  | (1,562 | )
Common Stocks |
Energy |  |  | 187 |  |  |  | 36 |  |  |  | (46 | ) |  |  | 0 |  |  |  | (2 | ) |  |  | (17 | ) |  |  | 0 |  |  |  | (50 | ) |  |  | 108 |  |  |  | 68 |
Industrials |  |  | 220 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | (3 | ) |  |  | 0 |  |  |  | 0 |  |  |  | 217 |  |  |  | (3 | )
Warrants |
Industrials |  |  | 143 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 119 |  |  |  | 0 |  |  |  | 0 |  |  |  | 262 |  |  |  | 119 |
Preferred Securities |
Industrials |  |  | 2,827 |  |  |  | 169 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 258 |  |  |  | 0 |  |  |  | 0 |  |  |  | 3,254 |  |  |  | 258 |
Short-Term Instruments |
Argentina Treasury Bills |  |  | 0 |  |  |  | 90 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 9 |  |  |  | 0 |  |  |  | 0 |  |  |  | 99 |  |  |  | 9 |
Totals |  | $ | 15,457 |  |  | $ | 1,908 |  |  | $ | (169 | ) |  | $ | (7 | ) |  | $ | (3 | ) |  | $ | (1,247 | ) |  | $ | 0 |  |  | $ | (2,108 | ) |  | $ | 13,831 |  |  | $ | (1,083 | )

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 12/31/2019 |  |  | Valuation Technique |  | Unobservable Inputs |  | (% Unless Noted Otherwise) |
| Input Value(s) |  |  | Weighted Average |
Investments in Securities, at Value |
Loan Participations and Assignments |  | $ | 5 |  |  | Other Valuation Techniques(2) |  | — |  |  | — |  |  |  | — |
|  |  | 1,065 |  |  | Proxy Pricing |  | Base Price |  |  | 95.000 |  |  |  | — |
|  |  | 501 |  |  | Third Party Vendor |  | Broker Quote |  |  | 99.250-101.000 |  |  |  | 100.286 |
Corporate Bonds & Notes |
Banking & Finance |  |  | 1,177 |  |  | Reference Instrument |  | Option Adjusted Spread |  |  | 584.983 bps |  |  |  | — |
Industrials |  |  | 84 |  |  | Reference Instrument |  | Broker Quote |  |  | 100.250-101.520 |  |  |  | 101.244 |
Non-Agency Mortgage-Backed Securities |  |  | 282 |  |  | Proxy Pricing |  | Base Price |  |  | 2.000-99.375 |  |  |  | 89.931 |
Asset-Backed Securities |  |  | 431 |  |  | Interest Only Weighted Average Life |  | Base Price |  |  | 20,607.870 |  |  |  | — |
|  |  | 6,346 |  |  | Proxy Pricing |  | Base Price |  |  | 0.010-79,892.180 |  |  |  | 36,028.433 |
Common Stocks |
Energy |  |  | 108 |  |  | Other Valuation Techniques(2) |  | — |  |  | — |  |  |  | — |
Industrials |  |  | 198 |  |  | Indicative Market Quotation |  | Broker Quote |  | $ | 15.000 |  |  |  | — |
|  |  | 19 |  |  | Other Valuation Techniques(2) |  | — |  |  | — |  |  |  | — |
Warrants |
Industrials |  |  | 262 |  |  | Other Valuation Techniques(2) |  | — |  |  | — |  |  |  | — |
Preferred Securities |
Industrials |  |  | 3,254 |  |  | Fundamental Valuation |  | Company Equity Value |  | $ | 934,387,328.532 |  |  |  | — |
Short-Term Instruments |
Argentina Treasury Bills |  |  | 99 |  |  | Proxy Pricing |  | Base Price |  |  | 100.000 |  |  |  | — |
Total |  | $ | 13,831 |  |  |  |  |  |  |  |  |  |  |  |  |

(1) | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at December 31, 2019 may be due to an investment no longer held or categorized as Level 3 at period end.

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

See Accompanying Notes |  | SEMIANNUAL REPORT |  | DECEMBER 31, 2019 |  | 53

Schedule of Investments PIMCO Income Opportunity Fund

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

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
INVESTMENTS IN SECURITIES 148.5% |
LOAN PARTICIPATIONS AND ASSIGNMENTS 22.1% |
Advanz Pharma Corp. |
7.447% (LIBOR03M + 5.500%) due 09/06/2024 ~ |  | $ |  |  | 3,164 |  |  | $ |  |  | 2,965 |
Altice France S.A. |
5.740% (LIBOR03M + 4.000%) due 08/14/2026 ~ |  |  |  |  | 198 |  |  |  |  |  | 199 |
Ancestry.com Operations, Inc. |
5.550% (LIBOR03M + 3.750%) due 10/19/2023 ~ |  |  |  |  | 199 |  |  |  |  |  | 197 |
Chesapeake Energy Corp. |
TBD% due 06/09/2024 |  |  |  |  | 92 |  |  |  |  |  | 95 |
Clay Holdco BV |
TBD% due 11/30/2025 « |  | EUR |  |  | 3,900 |  |  |  |  |  | 4,100 |
TBD% due 11/06/2026 « |  |  |  |  | 100 |  |  |  |  |  | 106 |
Diamond Resorts Corp. |
5.549% (LIBOR03M + 3.750%) due 09/02/2023 ~ |  | $ |  |  | 2,913 |  |  |  |  |  | 2,853 |
Dubai World (2.000% Cash and 1.750% PIK) |
3.750% (LIBOR03M + 2.000%) due 09/30/2022 ~(c) |  |  |  |  | 7,375 |  |  |  |  |  | 6,887 |
Emerald TopCo, Inc. |
5.299% (LIBOR03M + 3.500%) due 07/24/2026 ~ |  |  |  |  | 21 |  |  |  |  |  | 21 |
Encina Private Credit LLC |
4.740% (LIBOR03M + 3.000%) due 11/30/2025 «µ~ |  |  |  |  | 10,103 |  |  |  |  |  | 10,103 |
Envision Healthcare Corp. |
5.549% (LIBOR03M + 3.750%) due 10/10/2025 ~ |  |  |  |  | 9,673 |  |  |  |  |  | 8,287 |
Financial & Risk U.S. Holdings, Inc. |
5.049% (LIBOR03M + 3.250%) due 10/01/2025 ~ |  |  |  |  | 662 |  |  |  |  |  | 669 |
Fleet U.S. Bidco, Inc. |
5.235% (LIBOR03M + 3.250%) due 10/07/2026 «~ |  |  |  |  | 10 |  |  |  |  |  | 10 |
Forbes Energy Services LLC (5.000% Cash and 11.000% PIK) |
16.000% (LIBOR03M + 5.000%) due 04/13/2021 ~(c) |  |  |  |  | 450 |  |  |  |  |  | 446 |
Frontier Communications Corp. |
5.550% (LIBOR03M + 3.750%) due 06/15/2024 ~ |  |  |  |  | 391 |  |  |  |  |  | 394 |
iHeartCommunications, Inc. |
5.691% (LIBOR03M + 4.000%) due 05/01/2026 ~ |  |  |  |  | 2,412 |  |  |  |  |  | 2,438 |
Intelsat Jackson Holdings S.A. |
5.682% (LIBOR03M + 3.750%) due 11/27/2023 ~ |  |  |  |  | 870 |  |  |  |  |  | 873 |
6.432% (LIBOR03M + 4.500%) due 01/02/2024 ~ |  |  |  |  | 34 |  |  |  |  |  | 34 |
IRB Holding Corp. |
5.195% - 5.216% (LIBOR03M + 3.250%) due 02/05/2025 ~ |  |  |  |  | 553 |  |  |  |  |  | 556 |
Jefferies Finance LLC |
5.500% (LIBOR03M + 3.750%) due 06/03/2026 ~ |  |  |  |  | 17 |  |  |  |  |  | 17 |
McDermott Technology Americas, Inc. |
0.500% - 12.002% (LIBOR03M + 10.000%) due 10/21/2021 ~µ |  |  |  |  | 896 |  |  |  |  |  | 917 |
6.945% (LIBOR03M + 5.000%) due 05/09/2025 ~ |  |  |  |  | 1,457 |  |  |  |  |  | 857 |
Messer Industrie GmbH |
4.445% (LIBOR03M + 2.500%) due 03/01/2026 ~ |  |  |  |  | 51 |  |  |  |  |  | 52 |
MH Sub LLC |
5.549% (LIBOR03M + 3.750%) due 09/13/2024 ~ |  |  |  |  | 68 |  |  |  |  |  | 69 |
Nascar Holdings, Inc. |
4.495% (LIBOR03M + 2.750%) due 10/19/2026 ~ |  |  |  |  | 46 |  |  |  |  |  | 47 |
NCI Building Systems, Inc. |
5.486% (LIBOR03M + 3.750%) due 04/12/2025 ~ |  |  |  |  | 250 |  |  |  |  |  | 250 |

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
Neiman Marcus Group Ltd. LLC |
7.713% (LIBOR03M + 6.000%) due 10/25/2023 ~ |  | $ |  |  | 7,823 |  |  | $ |  |  | 6,442 |
Neiman Marcus Group Ltd. LLC (7.213% Cash and 1.000% PIK) |
8.213% (LIBOR03M + 5.500%) due 10/25/2023 ~(c) |  |  |  |  | 5,903 |  |  |  |  |  | 4,801 |
Ortho-Clinical Diagnostics S.A. |
5.306% (LIBOR03M + 3.250%) due 06/30/2025 ~ |  |  |  |  | 1,492 |  |  |  |  |  | 1,477 |
Pacific Gas & Electric Co. |
TBD% due 02/22/2049 ^«(d) |  |  |  |  | 300 |  |  |  |  |  | 298 |
PetSmart, Inc. |
5.740% (LIBOR03M + 4.000%) due 03/11/2022 ~ |  |  |  |  | 41 |  |  |  |  |  | 41 |
Project OMNI Senior |
3.000% (EUR003M + 3.000%) due 09/03/2026 «~(k) |  | EUR |  |  | 10,000 |  |  |  |  |  | 11,206 |
Sequa Mezzanine Holdings LLC |
6.904% (LIBOR03M + 5.000%) due 11/28/2021 ~ |  | $ |  |  | 1,128 |  |  |  |  |  | 1,130 |
10.936% (LIBOR03M + 9.000%) due 04/28/2022 ~ |  |  |  |  | 4,580 |  |  |  |  |  | 4,517 |
Sierra Hamilton LLC |
15.000% due 09/12/2023 « |  |  |  |  | 10 |  |  |  |  |  | 10 |
Sotera Health Holdings LLC |
6.289% (LIBOR03M + 4.500%) due 12/11/2026 ~ |  |  |  |  | 85 |  |  |  |  |  | 85 |
Starfruit Finco BV |
4.960% (LIBOR03M + 3.250%) due 10/01/2025 ~ |  |  |  |  | 183 |  |  |  |  |  | 184 |
Summer (BC) Holdco B SARL |
TBD% due 10/15/2026 |  |  |  |  | 2,200 |  |  |  |  |  | 2,098 |
Sunshine Luxembourg SARL |
6.195% (LIBOR03M + 4.250%) due 10/01/2026 ~ |  |  |  |  | 262 |  |  |  |  |  | 265 |
Syniverse Holdings, Inc. |
6.846% (LIBOR03M + 5.000%) due 03/09/2023 ~ |  |  |  |  | 4,462 |  |  |  |  |  | 4,157 |
U.S. Renal Care, Inc. |
6.813% (LIBOR03M + 5.000%) due 06/26/2026 ~ |  |  |  |  | 302 |  |  |  |  |  | 300 |
Univision Communications, Inc. |
4.549% (LIBOR03M + 2.750%) due 03/15/2024 ~ |  |  |  |  | 7,844 |  |  |  |  |  | 7,758 |
West Corp. |
5.927% (LIBOR03M + 4.000%) due 10/10/2024 ~ |  |  |  |  | 34 |  |  |  |  |  | 29 |
Westmoreland Mining Holdings LLC |
10.150% (LIBOR03M + 8.250%) due 03/15/2022 «~ |  |  |  |  | 2 |  |  |  |  |  | 2 |
Westmoreland Mining Holdings LLC (15.000% PIK) |
15.000% due 03/15/2029 (c) |  |  |  |  | 6 |  |  |  |  |  | 5 |
Windstream Services LLC |
9.000% (PRIME + 4.250%) due 02/17/2024 ~ |  |  |  |  | 2,800 |  |  |  |  |  | 2,659 |
9.750% (PRIME + 5.000%) due 03/29/2021 ~ |  |  |  |  | 5,863 |  |  |  |  |  | 5,626 |
Total Loan Participations and Assignments (Cost $97,908) |  |  | 96,532 |
CORPORATE BONDS & NOTES 50.6% |
BANKING & FINANCE 18.2% |
Ally Financial, Inc. |
8.000% due 11/01/2031 |  |  |  |  | 123 |  |  |  |  |  | 171 |
8.000% due 11/01/2031 (m) |  |  |  |  | 468 |  |  |  |  |  | 642 |
Ambac Assurance Corp. |
5.100% due 06/07/2020 |  |  |  |  | 1 |  |  |  |  |  | 2 |
Ambac LSNI LLC |
6.945% due 02/12/2023 •(m) |  |  |  |  | 545 |  |  |  |  |  | 553 |
Ardonagh Midco PLC |
8.375% due 07/15/2023 (m) |  | GBP |  |  | 7,460 |  |  |  |  |  | 9,894 |
8.375% due 07/15/2023 |  |  |  |  | 900 |  |  |  |  |  | 1,194 |

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
AXA Equitable Holdings, Inc. |
5.000% due 04/20/2048 |  | $ |  |  | 6 |  |  | $ |  |  | 6 |
Banco de Credito del Peru |
4.650% due 09/17/2024 |  | PEN |  |  | 500 |  |  |  |  |  | 152 |
Bank of Ireland |
7.375% due 06/18/2020 •(i)(j)(m) |  | EUR |  |  | 400 |  |  |  |  |  | 464 |
Barclays Bank PLC |
7.625% due 11/21/2022 (j)(m) |  | $ |  |  | 400 |  |  |  |  |  | 450 |
Barclays PLC |
3.250% due 01/17/2033 |  | GBP |  |  | 100 |  |  |  |  |  | 139 |
5.250% due 08/17/2045 (m) |  | $ |  |  | 200 |  |  |  |  |  | 246 |
7.125% due 06/15/2025 •(i)(j) |  | GBP |  |  | 200 |  |  |  |  |  | 300 |
7.250% due 03/15/2023 •(i)(j)(m) |  |  |  |  | 2,055 |  |  |  |  |  | 2,975 |
7.875% due 09/15/2022 •(i)(j)(m) |  |  |  |  | 1,970 |  |  |  |  |  | 2,901 |
8.000% due 06/15/2024 •(i)(j) |  | $ |  |  | 250 |  |  |  |  |  | 280 |
Brookfield Finance, Inc. |
3.900% due 01/25/2028 |  |  |  |  | 16 |  |  |  |  |  | 17 |
4.700% due 09/20/2047 |  |  |  |  | 40 |  |  |  |  |  | 46 |
CBL & Associates LP |
4.600% due 10/15/2024 (m) |  |  |  |  | 968 |  |  |  |  |  | 627 |
5.250% due 12/01/2023 |  |  |  |  | 82 |  |  |  |  |  | 58 |
5.950% due 12/15/2026 (m) |  |  |  |  | 409 |  |  |  |  |  | 246 |
Credit Agricole S.A. |
7.875% due 01/23/2024 •(i)(j)(m) |  |  |  |  | 300 |  |  |  |  |  | 343 |
Credit Suisse Group AG |
7.500% due 07/17/2023 •(i)(j)(m) |  |  |  |  | 200 |  |  |  |  |  | 219 |
Deutsche Bank AG |
3.961% due 11/26/2025 •(m) |  |  |  |  | 750 |  |  |  |  |  | 767 |
Emerald Bay S.A. |
0.000% due 10/08/2020 (g) |  | EUR |  |  | 18 |  |  |  |  |  | 20 |
ESH Hospitality, Inc. |
4.625% due 10/01/2027 |  | $ |  |  | 74 |  |  |  |  |  | 75 |
Fortress Transportation & Infrastructure Investors LLC |
6.500% due 10/01/2025 |  |  |  |  | 252 |  |  |  |  |  | 267 |
6.750% due 03/15/2022 (m) |  |  |  |  | 320 |  |  |  |  |  | 334 |
HSBC Bank PLC |
6.330% due 05/18/2023 |  |  |  |  | 5,500 |  |  |  |  |  | 5,798 |
HSBC Holdings PLC |
5.875% due 09/28/2026 •(i)(j)(m) |  | GBP |  |  | 200 |  |  |  |  |  | 292 |
6.000% due 09/29/2023 •(i)(j)(m) |  | EUR |  |  | 1,000 |  |  |  |  |  | 1,297 |
6.500% due 03/23/2028 •(i)(j) |  | $ |  |  | 310 |  |  |  |  |  | 341 |
Hunt Cos., Inc. |
6.250% due 02/15/2026 |  |  |  |  | 16 |  |  |  |  |  | 16 |
ING Groep NV |
5.750% due 11/16/2026 •(i)(j) |  |  |  |  | 300 |  |  |  |  |  | 316 |
Kennedy-Wilson, Inc. |
5.875% due 04/01/2024 |  |  |  |  | 42 |  |  |  |  |  | 43 |
Lloyds Banking Group PLC |
5.125% due 12/27/2024 •(i)(j) |  | GBP |  |  | 200 |  |  |  |  |  | 275 |
7.500% due 06/27/2024 •(i)(j)(m) |  | $ |  |  | 200 |  |  |  |  |  | 221 |
7.500% due 09/27/2025 •(i)(j)(m) |  |  |  |  | 1,740 |  |  |  |  |  | 1,953 |
7.625% due 06/27/2023 •(i)(j) |  | GBP |  |  | 700 |  |  |  |  |  | 1,042 |
7.875% due 06/27/2029 •(i)(j) |  |  |  |  | 3,284 |  |  |  |  |  | 5,503 |
LoanCore Capital Markets LLC |
6.875% due 06/01/2020 (m) |  | $ |  |  | 1,450 |  |  |  |  |  | 1,451 |
Nationstar Mortgage LLC |
6.500% due 07/01/2021 |  |  |  |  | 388 |  |  |  |  |  | 390 |
Navient Corp. |
5.625% due 08/01/2033 |  |  |  |  | 55 |  |  |  |  |  | 47 |
6.150% due 03/10/2021 (m) |  |  |  |  | 200 |  |  |  |  |  | 200 |
Newmark Group, Inc. |
6.125% due 11/15/2023 |  |  |  |  | 66 |  |  |  |  |  | 73 |
Oppenheimer Holdings, Inc. |
6.750% due 07/01/2022 |  |  |  |  | 21 |  |  |  |  |  | 22 |
Pinnacol Assurance |
8.625% due 06/25/2034 «(k) |  |  |  |  | 2,900 |  |  |  |  |  | 3,104 |
Royal Bank of Scotland Group PLC |
8.000% due 08/10/2025 •(i)(j)(m) |  |  |  |  | 1,900 |  |  |  |  |  | 2,191 |
Sabra Health Care LP |
4.800% due 06/01/2024 |  |  |  |  | 112 |  |  |  |  |  | 119 |
Santander UK Group Holdings PLC |
6.750% due 06/24/2024 •(i)(j)(m) |  | GBP |  |  | 2,203 |  |  |  |  |  | 3,220 |
7.375% due 06/24/2022 •(i)(j)(m) |  |  |  |  | 3,240 |  |  |  |  |  | 4,688 |

54 |  | PIMCO CLOSED-END FUNDS |  |  |  |  | See Accompanying Notes |

December 31, 2019 (Unaudited)

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
Sberbank of Russia Via SB Capital S.A. |
6.125% due 02/07/2022 (m) |  | $ |  |  | 4,000 |  |  | $ |  |  | 4,285 |
Societe Generale S.A. |
6.000% due 01/27/2020 •(i)(j) |  |  |  |  | 200 |  |  |  |  |  | 201 |
6.750% due 04/06/2028 •(i)(j)(m) |  |  |  |  | 200 |  |  |  |  |  | 221 |
7.375% due 10/04/2023 •(i)(j)(m) |  |  |  |  | 400 |  |  |  |  |  | 437 |
Springleaf Finance Corp. |
5.375% due 11/15/2029 |  |  |  |  | 29 |  |  |  |  |  | 30 |
6.875% due 03/15/2025 |  |  |  |  | 59 |  |  |  |  |  | 67 |
Tesco Property Finance PLC |
6.052% due 10/13/2039 (m) |  | GBP |  |  | 1,554 |  |  |  |  |  | 2,698 |
Toll Road Investors Partnership LP |
0.000% due 02/15/2045 (g) |  | $ |  |  | 2,644 |  |  |  |  |  | 692 |
TP ICAP PLC |
5.250% due 01/26/2024 (m) |  | GBP |  |  | 1,000 |  |  |  |  |  | 1,457 |
UniCredit SpA |
7.830% due 12/04/2023 (m) |  | $ |  |  | 2,100 |  |  |  |  |  | 2,450 |
Unique Pub Finance Co. PLC |
5.659% due 06/30/2027 |  | GBP |  |  | 993 |  |  |  |  |  | 1,513 |
7.395% due 03/28/2024 |  |  |  |  | 800 |  |  |  |  |  | 1,215 |
Voyager Aviation Holdings LLC |
8.500% due 08/15/2021 (m) |  | $ |  |  | 7,719 |  |  |  |  |  | 7,931 |
|  |  |  |  |  |  |  |  |  |  | 79,187 |
INDUSTRIALS 24.0% |
AA Bond Co. Ltd. |
2.875% due 07/31/2043 (m) |  | GBP |  |  | 2,200 |  |  |  |  |  | 2,897 |
Altice Financing S.A. |
7.500% due 05/15/2026 (m) |  | $ |  |  | 2,290 |  |  |  |  |  | 2,466 |
Altice France S.A. |
7.375% due 05/01/2026 (m) |  |  |  |  | 2,538 |  |  |  |  |  | 2,730 |
8.125% due 02/01/2027 (m) |  |  |  |  | 700 |  |  |  |  |  | 790 |
Associated Materials LLC |
9.000% due 01/01/2024 (m) |  |  |  |  | 6,073 |  |  |  |  |  | 5,344 |
Avon International Capital PLC |
6.500% due 08/15/2022 |  |  |  |  | 22 |  |  |  |  |  | 23 |
B.C. Unlimited Liability Co. |
4.375% due 01/15/2028 |  |  |  |  | 51 |  |  |  |  |  | 51 |
Baffinland Iron Mines Corp. |
8.750% due 07/15/2026 |  |  |  |  | 800 |  |  |  |  |  | 807 |
Bausch Health Cos., Inc. |
5.000% due 01/30/2028 |  |  |  |  | 50 |  |  |  |  |  | 51 |
5.250% due 01/30/2030 |  |  |  |  | 40 |  |  |  |  |  | 42 |
BCPE Cycle Merger Sub, Inc. |
10.625% due 07/15/2027 |  |  |  |  | 50 |  |  |  |  |  | 51 |
Bioceanico Sovereign Certificate Ltd. |
0.000% due 06/05/2034 (g) |  |  |  |  | 150 |  |  |  |  |  | 105 |
Bombardier, Inc. |
5.750% due 03/15/2022 (m) |  |  |  |  | 710 |  |  |  |  |  | 735 |
6.000% due 10/15/2022 |  |  |  |  | 185 |  |  |  |  |  | 185 |
6.125% due 01/15/2023 (m) |  |  |  |  | 1,441 |  |  |  |  |  | 1,481 |
7.500% due 12/01/2024 (m) |  |  |  |  | 1,046 |  |  |  |  |  | 1,101 |
7.500% due 03/15/2025 (m) |  |  |  |  | 1,311 |  |  |  |  |  | 1,355 |
7.875% due 04/15/2027 |  |  |  |  | 157 |  |  |  |  |  | 162 |
8.750% due 12/01/2021 |  |  |  |  | 38 |  |  |  |  |  | 42 |
Camelot Finance S.A. |
4.500% due 11/01/2026 |  |  |  |  | 5 |  |  |  |  |  | 5 |
CCO Holdings LLC |
4.750% due 03/01/2030 |  |  |  |  | 124 |  |  |  |  |  | 127 |
Centene Corp. |
4.250% due 12/15/2027 |  |  |  |  | 71 |  |  |  |  |  | 73 |
4.625% due 12/15/2029 |  |  |  |  | 129 |  |  |  |  |  | 136 |
4.750% due 01/15/2025 |  |  |  |  | 119 |  |  |  |  |  | 124 |
Charter Communications Operating LLC |
4.800% due 03/01/2050 |  |  |  |  | 149 |  |  |  |  |  | 157 |
Clear Channel Worldwide Holdings, Inc. |
9.250% due 02/15/2024 (m) |  |  |  |  | 1,280 |  |  |  |  |  | 1,420 |
Community Health Systems, Inc. |
6.250% due 03/31/2023 (m) |  |  |  |  | 7,530 |  |  |  |  |  | 7,662 |
8.000% due 03/15/2026 (m) |  |  |  |  | 582 |  |  |  |  |  | 601 |
8.625% due 01/15/2024 (m) |  |  |  |  | 720 |  |  |  |  |  | 765 |
Connect Finco SARL |
6.750% due 10/01/2026 |  |  |  |  | 40 |  |  |  |  |  | 43 |

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
Continental Airlines Pass-Through Trust |
7.707% due 10/02/2022 |  | $ |  |  | 127 |  |  | $ |  |  | 130 |
8.048% due 05/01/2022 |  |  |  |  | 187 |  |  |  |  |  | 191 |
Corning, Inc. |
5.450% due 11/15/2079 |  |  |  |  | 50 |  |  |  |  |  | 55 |
Corp. GEO S.A.B. de C.V. |
8.875% due 03/27/2022 ^«(d) |  |  |  |  | 200 |  |  |  |  |  | 0 |
9.250% due 06/30/2020 ^«(d) |  |  |  |  | 1,800 |  |  |  |  |  | 0 |
CVS Pass-Through Trust |
7.507% due 01/10/2032 |  |  |  |  | 2,164 |  |  |  |  |  | 2,675 |
Diamond Resorts International, Inc. |
7.750% due 09/01/2023 (m) |  |  |  |  | 438 |  |  |  |  |  | 452 |
10.750% due 09/01/2024 (m) |  |  |  |  | 1,600 |  |  |  |  |  | 1,681 |
DISH DBS Corp. |
5.875% due 07/15/2022 |  |  |  |  | 4 |  |  |  |  |  | 4 |
DriveTime Automotive Group, Inc. |
8.000% due 06/01/2021 (m) |  |  |  |  | 1,600 |  |  |  |  |  | 1,629 |
Eagle Holding Co. LLC (7.750% Cash or 8.500% PIK) |
7.750% due 05/15/2022 (c) |  |  |  |  | 13 |  |  |  |  |  | 13 |
EI Group PLC |
6.875% due 05/09/2025 |  | GBP |  |  | 20 |  |  |  |  |  | 27 |
Eldorado Resorts, Inc. |
6.000% due 09/15/2026 (m) |  | $ |  |  | 1,400 |  |  |  |  |  | 1,544 |
Envision Healthcare Corp. |
8.750% due 10/15/2026 (m) |  |  |  |  | 1,344 |  |  |  |  |  | 837 |
Exela Intermediate LLC |
10.000% due 07/15/2023 |  |  |  |  | 74 |  |  |  |  |  | 30 |
Fair Isaac Corp. |
4.000% due 06/15/2028 |  |  |  |  | 5 |  |  |  |  |  | 5 |
Ferroglobe PLC |
9.375% due 03/01/2022 |  |  |  |  | 200 |  |  |  |  |  | 125 |
First Quantum Minerals Ltd. |
6.500% due 03/01/2024 (m) |  |  |  |  | 924 |  |  |  |  |  | 928 |
6.875% due 03/01/2026 (m) |  |  |  |  | 1,018 |  |  |  |  |  | 1,033 |
7.000% due 02/15/2021 (m) |  |  |  |  | 101 |  |  |  |  |  | 101 |
Flex Ltd. |
4.875% due 06/15/2029 |  |  |  |  | 75 |  |  |  |  |  | 82 |
Fresh Market, Inc. |
9.750% due 05/01/2023 (m) |  |  |  |  | 3,490 |  |  |  |  |  | 1,780 |
Frontier Finance PLC |
8.000% due 03/23/2022 |  | GBP |  |  | 2,900 |  |  |  |  |  | 3,950 |
Full House Resorts, Inc. |
8.575% due 01/31/2024 |  | $ |  |  | 195 |  |  |  |  |  | 192 |
9.738% due 02/02/2024 |  |  |  |  | 17 |  |  |  |  |  | 17 |
General Electric Co. |
5.875% due 01/14/2038 |  |  |  |  | 10 |  |  |  |  |  | 12 |
6.150% due 08/07/2037 (m) |  |  |  |  | 109 |  |  |  |  |  | 135 |
6.875% due 01/10/2039 |  |  |  |  | 28 |  |  |  |  |  | 37 |
iHeartCommunications, Inc. |
6.375% due 05/01/2026 (m) |  |  |  |  | 778 |  |  |  |  |  | 845 |
8.375% due 05/01/2027 (m) |  |  |  |  | 1,191 |  |  |  |  |  | 1,318 |
IHO Verwaltungs GmbH (3.625% Cash or 4.375% PIK) |
3.625% due 05/15/2025 (c) |  | EUR |  |  | 175 |  |  |  |  |  | 206 |
IHO Verwaltungs GmbH (3.875% Cash or 4.625% PIK) |
3.875% due 05/15/2027 (c) |  |  |  |  | 121 |  |  |  |  |  | 144 |
IHO Verwaltungs GmbH (6.000% Cash or 6.750% PIK) |
6.000% due 05/15/2027 (c)(m) |  | $ |  |  | 271 |  |  |  |  |  | 288 |
IHO Verwaltungs GmbH (6.375% Cash or 7.125% PIK) |
6.375% due 05/15/2029 (c)(m) |  |  |  |  | 256 |  |  |  |  |  | 276 |
Intelsat Connect Finance S.A. |
9.500% due 02/15/2023 |  |  |  |  | 125 |  |  |  |  |  | 88 |
Intelsat Jackson Holdings S.A. |
8.000% due 02/15/2024 |  |  |  |  | 85 |  |  |  |  |  | 87 |
8.500% due 10/15/2024 (m) |  |  |  |  | 952 |  |  |  |  |  | 869 |
9.750% due 07/15/2025 |  |  |  |  | 376 |  |  |  |  |  | 349 |
Intelsat Luxembourg S.A. |
7.750% due 06/01/2021 ^(m) |  |  |  |  | 6,195 |  |  |  |  |  | 4,908 |
8.125% due 06/01/2023 |  |  |  |  | 966 |  |  |  |  |  | 574 |
Kronos International, Inc. |
3.750% due 09/15/2025 (m) |  | EUR |  |  | 4,394 |  |  |  |  |  | 5,027 |
Mallinckrodt International Finance S.A. |
5.500% due 04/15/2025 |  | $ |  |  | 400 |  |  |  |  |  | 143 |

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
Mattel, Inc. |
5.875% due 12/15/2027 |  | $ |  |  | 38 |  |  | $ |  |  | 40 |
Micron Technology, Inc. |
5.327% due 02/06/2029 |  |  |  |  | 102 |  |  |  |  |  | 117 |
MSCI, Inc. |
4.000% due 11/15/2029 |  |  |  |  | 17 |  |  |  |  |  | 17 |
NCL Corp. Ltd. |
3.625% due 12/15/2024 |  |  |  |  | 76 |  |  |  |  |  | 77 |
Netflix, Inc. |
3.625% due 06/15/2030 |  | EUR |  |  | 119 |  |  |  |  |  | 138 |
3.875% due 11/15/2029 (m) |  |  |  |  | 432 |  |  |  |  |  | 514 |
4.625% due 05/15/2029 |  |  |  |  | 200 |  |  |  |  |  | 251 |
4.875% due 06/15/2030 |  | $ |  |  | 100 |  |  |  |  |  | 102 |
5.375% due 11/15/2029 |  |  |  |  | 40 |  |  |  |  |  | 43 |
Noble Holding International Ltd. |
7.875% due 02/01/2026 |  |  |  |  | 210 |  |  |  |  |  | 153 |
Odebrecht Oil & Gas Finance Ltd. |
0.000% due 01/31/2020 (g)(i) |  |  |  |  | 1,150 |  |  |  |  |  | 11 |
Ortho-Clinical Diagnostics, Inc. |
6.625% due 05/15/2022 (m) |  |  |  |  | 3,130 |  |  |  |  |  | 3,118 |
Pacific Drilling SA |
8.375% due 10/01/2023 |  |  |  |  | 216 |  |  |  |  |  | 198 |
Pan American Energy LLC |
42.636% (BADLARPP) due 11/20/2020 «~ |  | ARS |  |  | 26,030 |  |  |  |  |  | 344 |
Par Pharmaceutical, Inc. |
7.500% due 04/01/2027 |  | $ |  |  | 78 |  |  |  |  |  | 78 |
Petroleos Mexicanos |
2.750% due 04/21/2027 (m) |  | EUR |  |  | 1,600 |  |  |  |  |  | 1,725 |
5.350% due 02/12/2028 (m) |  | $ |  |  | 452 |  |  |  |  |  | 451 |
6.490% due 01/23/2027 |  |  |  |  | 50 |  |  |  |  |  | 53 |
6.500% due 03/13/2027 (m) |  |  |  |  | 833 |  |  |  |  |  | 887 |
6.750% due 09/21/2047 |  |  |  |  | 30 |  |  |  |  |  | 30 |
6.840% due 01/23/2030 |  |  |  |  | 150 |  |  |  |  |  | 160 |
7.690% due 01/23/2050 |  |  |  |  | 80 |  |  |  |  |  | 88 |
PetSmart, Inc. |
5.875% due 06/01/2025 |  |  |  |  | 59 |  |  |  |  |  | 60 |
Platin 1426 GmbH |
6.875% due 06/15/2023 (m) |  | EUR |  |  | 300 |  |  |  |  |  | 345 |
6.875% due 06/15/2023 |  |  |  |  | 250 |  |  |  |  |  | 288 |
Radiate Holdco LLC |
6.875% due 02/15/2023 |  | $ |  |  | 11 |  |  |  |  |  | 11 |
Refinitiv U.S. Holdings, Inc. |
4.500% due 05/15/2026 |  | EUR |  |  | 100 |  |  |  |  |  | 122 |
Russian Railways via RZD Capital PLC |
7.487% due 03/25/2031 |  | GBP |  |  | 100 |  |  |  |  |  | 178 |
Sands China Ltd. |
4.600% due 08/08/2023 (m) |  | $ |  |  | 200 |  |  |  |  |  | 211 |
5.125% due 08/08/2025 (m) |  |  |  |  | 200 |  |  |  |  |  | 220 |
5.400% due 08/08/2028 (m) |  |  |  |  | 1,758 |  |  |  |  |  | 1,987 |
Scotts Miracle-Gro Co. |
4.500% due 10/15/2029 |  |  |  |  | 4 |  |  |  |  |  | 4 |
Sealed Air Corp. |
4.000% due 12/01/2027 |  |  |  |  | 13 |  |  |  |  |  | 13 |
Select Medical Corp. |
6.250% due 08/15/2026 |  |  |  |  | 28 |  |  |  |  |  | 30 |
Sensata Technologies, Inc. |
4.375% due 02/15/2030 |  |  |  |  | 16 |  |  |  |  |  | 16 |
Silgan Holdings, Inc. |
4.125% due 02/01/2028 |  |  |  |  | 33 |  |  |  |  |  | 33 |
Spanish Broadcasting System, Inc. ^ |
12.500% due 04/15/2049 (d) |  |  |  |  | 6,952 |  |  |  |  |  | 7,252 |
Staples, Inc. |
7.500% due 04/15/2026 |  |  |  |  | 9 |  |  |  |  |  | 9 |
Telesat Canada |
4.875% due 06/01/2027 |  |  |  |  | 20 |  |  |  |  |  | 20 |
6.500% due 10/15/2027 |  |  |  |  | 9 |  |  |  |  |  | 9 |
Tenet Healthcare Corp. |
4.625% due 09/01/2024 |  |  |  |  | 13 |  |  |  |  |  | 14 |
Teva Pharmaceutical Finance Co. BV |
2.950% due 12/18/2022 (m) |  |  |  |  | 288 |  |  |  |  |  | 276 |
3.650% due 11/10/2021 |  |  |  |  | 100 |  |  |  |  |  | 98 |
Teva Pharmaceutical Finance Netherlands BV |
0.375% due 07/25/2020 (m) |  | EUR |  |  | 545 |  |  |  |  |  | 611 |

See Accompanying Notes |  | SEMIANNUAL REPORT |  | DECEMBER 31, 2019 |  | 55

Schedule of Investments PIMCO Income Opportunity Fund (Cont.)

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
2.200% due 07/21/2021 (m) |  | $ |  |  | 248 |  |  | $ |  |  | 241 |
2.800% due 07/21/2023 (m) |  |  |  |  | 1,500 |  |  |  |  |  | 1,394 |
3.250% due 04/15/2022 (m) |  | EUR |  |  | 200 |  |  |  |  |  | 227 |
6.000% due 01/31/2025 |  |  |  |  | 100 |  |  |  |  |  | 119 |
7.125% due 01/31/2025 |  | $ |  |  | 200 |  |  |  |  |  | 206 |
Times Square Hotel Trust |
8.528% due 08/01/2026 |  |  |  |  | 3,534 |  |  |  |  |  | 4,102 |
Topaz Solar Farms LLC |
4.875% due 09/30/2039 (m) |  |  |  |  | 1,189 |  |  |  |  |  | 1,235 |
5.750% due 09/30/2039 (m) |  |  |  |  | 7,921 |  |  |  |  |  | 8,760 |
TransDigm, Inc. |
5.500% due 11/15/2027 |  |  |  |  | 68 |  |  |  |  |  | 69 |
Transocean Pontus Ltd. |
6.125% due 08/01/2025 |  |  |  |  | 85 |  |  |  |  |  | 88 |
Transocean, Inc. |
7.250% due 11/01/2025 |  |  |  |  | 160 |  |  |  |  |  | 157 |
7.500% due 01/15/2026 |  |  |  |  | 34 |  |  |  |  |  | 34 |
Trident TPI Holdings, Inc. |
9.250% due 08/01/2024 |  |  |  |  | 12 |  |  |  |  |  | 12 |
Triumph Group, Inc. |
5.250% due 06/01/2022 |  |  |  |  | 22 |  |  |  |  |  | 22 |
6.250% due 09/15/2024 |  |  |  |  | 32 |  |  |  |  |  | 34 |
Trivium Packaging Finance BV |
5.500% due 08/15/2026 (m) |  |  |  |  | 200 |  |  |  |  |  | 211 |
Twitter, Inc. |
3.875% due 12/15/2027 |  |  |  |  | 12 |  |  |  |  |  | 12 |
Unigel Luxembourg S.A. |
8.750% due 10/01/2026 |  |  |  |  | 400 |  |  |  |  |  | 408 |
United Group BV |
4.375% due 07/01/2022 |  | EUR |  |  | 100 |  |  |  |  |  | 115 |
4.875% due 07/01/2024 |  |  |  |  | 100 |  |  |  |  |  | 117 |
Univision Communications, Inc. |
5.125% due 02/15/2025 (m) |  | $ |  |  | 750 |  |  |  |  |  | 743 |
Valaris PLC |
5.750% due 10/01/2044 |  |  |  |  | 88 |  |  |  |  |  | 40 |
7.750% due 02/01/2026 |  |  |  |  | 10 |  |  |  |  |  | 6 |
Vale Overseas Ltd. |
6.250% due 08/10/2026 |  |  |  |  | 114 |  |  |  |  |  | 134 |
6.875% due 11/21/2036 (m) |  |  |  |  | 335 |  |  |  |  |  | 437 |
6.875% due 11/10/2039 |  |  |  |  | 159 |  |  |  |  |  | 208 |
ViaSat, Inc. |
5.625% due 09/15/2025 |  |  |  |  | 50 |  |  |  |  |  | 52 |
5.625% due 04/15/2027 |  |  |  |  | 10 |  |  |  |  |  | 11 |
Wyndham Destinations, Inc. |
3.900% due 03/01/2023 |  |  |  |  | 48 |  |  |  |  |  | 49 |
4.625% due 03/01/2030 |  |  |  |  | 17 |  |  |  |  |  | 17 |
5.400% due 04/01/2024 |  |  |  |  | 2 |  |  |  |  |  | 2 |
5.750% due 04/01/2027 (m) |  |  |  |  | 510 |  |  |  |  |  | 555 |
Wynn Macau Ltd. |
5.125% due 12/15/2029 |  |  |  |  | 200 |  |  |  |  |  | 205 |
|  |  |  |  |  |  |  |  |  |  | 104,742 |
UTILITIES 8.4% |
CenturyLink, Inc. |
5.125% due 12/15/2026 |  |  |  |  | 4 |  |  |  |  |  | 4 |
Edison International |
2.400% due 09/15/2022 |  |  |  |  | 48 |  |  |  |  |  | 48 |
2.950% due 03/15/2023 |  |  |  |  | 3 |  |  |  |  |  | 3 |
3.125% due 11/15/2022 |  |  |  |  | 50 |  |  |  |  |  | 51 |
3.550% due 11/15/2024 |  |  |  |  | 50 |  |  |  |  |  | 51 |
5.750% due 06/15/2027 |  |  |  |  | 44 |  |  |  |  |  | 49 |
Frontier Communications Corp. |
8.000% due 04/01/2027 |  |  |  |  | 78 |  |  |  |  |  | 82 |
Gazprom Neft OAO Via GPN Capital S.A. |
4.375% due 09/19/2022 |  |  |  |  | 200 |  |  |  |  |  | 209 |
Gazprom OAO Via Gaz Capital S.A. |
5.999% due 01/23/2021 |  |  |  |  | 381 |  |  |  |  |  | 396 |
6.510% due 03/07/2022 (m) |  |  |  |  | 3,400 |  |  |  |  |  | 3,696 |
8.625% due 04/28/2034 (m) |  |  |  |  | 1,081 |  |  |  |  |  | 1,626 |
Odebrecht Drilling Norbe Ltd. |
6.350% due 12/01/2021 ^ |  |  |  |  | 633 |  |  |  |  |  | 632 |
Odebrecht Drilling Norbe Ltd. (6.350% Cash and 1.000% PIK) |
7.350% due 12/01/2026 ^(c)(m) |  |  |  |  | 2,236 |  |  |  |  |  | 1,225 |

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
Odebrecht Offshore Drilling Finance Ltd. |
6.720% due 12/01/2022 ^ |  | $ |  |  | 29 |  |  | $ |  |  | 29 |
Pacific Gas & Electric Co. |
2.450% due 08/15/2022 ^(d)(m) |  |  |  |  | 441 |  |  |  |  |  | 442 |
2.950% due 03/01/2026 ^(d)(m) |  |  |  |  | 793 |  |  |  |  |  | 797 |
3.250% due 09/15/2021 ^(d) |  |  |  |  | 67 |  |  |  |  |  | 67 |
3.250% due 06/15/2023 ^(d)(m) |  |  |  |  | 621 |  |  |  |  |  | 620 |
3.300% due 03/15/2027 ^(d)(m) |  |  |  |  | 1,326 |  |  |  |  |  | 1,329 |
3.300% due 12/01/2027 ^(d)(m) |  |  |  |  | 1,200 |  |  |  |  |  | 1,203 |
3.400% due 08/15/2024 ^(d) |  |  |  |  | 279 |  |  |  |  |  | 283 |
3.500% due 10/01/2020 ^(d)(m) |  |  |  |  | 695 |  |  |  |  |  | 698 |
3.500% due 06/15/2025 ^(d)(m) |  |  |  |  | 327 |  |  |  |  |  | 328 |
3.750% due 02/15/2024 ^(d)(m) |  |  |  |  | 216 |  |  |  |  |  | 220 |
3.750% due 08/15/2042 ^(d) |  |  |  |  | 16 |  |  |  |  |  | 16 |
3.850% due 11/15/2023 ^(d) |  |  |  |  | 17 |  |  |  |  |  | 17 |
4.000% due 12/01/2046 ^(d) |  |  |  |  | 8 |  |  |  |  |  | 8 |
4.250% due 05/15/2021 ^(d)(m) |  |  |  |  | 1,323 |  |  |  |  |  | 1,330 |
4.250% due 08/01/2023 ^(d)(m) |  |  |  |  | 700 |  |  |  |  |  | 720 |
4.300% due 03/15/2045 ^(d) |  |  |  |  | 18 |  |  |  |  |  | 18 |
4.500% due 12/15/2041 ^(d)(m) |  |  |  |  | 17 |  |  |  |  |  | 17 |
4.600% due 06/15/2043 ^(d) |  |  |  |  | 26 |  |  |  |  |  | 27 |
4.650% due 08/01/2028 ^(d)(m) |  |  |  |  | 631 |  |  |  |  |  | 653 |
4.750% due 02/15/2044 ^(d)(m) |  |  |  |  | 513 |  |  |  |  |  | 528 |
5.125% due 11/15/2043 ^(d)(m) |  |  |  |  | 826 |  |  |  |  |  | 848 |
5.400% due 01/15/2040 ^(d) |  |  |  |  | 10 |  |  |  |  |  | 10 |
5.800% due 03/01/2037 ^(d)(m) |  |  |  |  | 2,194 |  |  |  |  |  | 2,293 |
6.050% due 03/01/2034 ^(d)(m) |  |  |  |  | 1,096 |  |  |  |  |  | 1,150 |
6.250% due 03/01/2039 ^(d)(m) |  |  |  |  | 448 |  |  |  |  |  | 473 |
6.350% due 02/15/2038 ^(d)(m) |  |  |  |  | 206 |  |  |  |  |  | 219 |
Petrobras Global Finance BV |
5.093% due 01/15/2030 (m) |  |  |  |  | 1,480 |  |  |  |  |  | 1,588 |
6.250% due 12/14/2026 (m) |  | GBP |  |  | 2,484 |  |  |  |  |  | 3,914 |
6.625% due 01/16/2034 |  |  |  |  | 200 |  |  |  |  |  | 319 |
Rio Oil Finance Trust |
9.250% due 07/06/2024 (m) |  | $ |  |  | 790 |  |  |  |  |  | 887 |
9.250% due 07/06/2024 |  |  |  |  | 490 |  |  |  |  |  | 551 |
9.750% due 01/06/2027 (m) |  |  |  |  | 547 |  |  |  |  |  | 648 |
Southern California Edison Co. |
3.650% due 03/01/2028 |  |  |  |  | 4 |  |  |  |  |  | 4 |
4.875% due 03/01/2049 |  |  |  |  | 11 |  |  |  |  |  | 13 |
5.750% due 04/01/2035 |  |  |  |  | 8 |  |  |  |  |  | 10 |
6.000% due 01/15/2034 |  |  |  |  | 2 |  |  |  |  |  | 3 |
6.650% due 04/01/2029 |  |  |  |  | 48 |  |  |  |  |  | 58 |
Sprint Communications, Inc. |
6.000% due 11/15/2022 (m) |  |  |  |  | 362 |  |  |  |  |  | 380 |
Sprint Corp. |
7.125% due 06/15/2024 |  |  |  |  | 859 |  |  |  |  |  | 928 |
7.250% due 09/15/2021 (m) |  |  |  |  | 1,006 |  |  |  |  |  | 1,066 |
7.875% due 09/15/2023 (m) |  |  |  |  | 3,261 |  |  |  |  |  | 3,605 |
Talen Energy Supply LLC |
6.625% due 01/15/2028 |  |  |  |  | 16 |  |  |  |  |  | 16 |
Transocean Poseidon Ltd. |
6.875% due 02/01/2027 |  |  |  |  | 80 |  |  |  |  |  | 85 |
|  |  |  |  |  |  |  |  |  |  | 36,490 |
Total Corporate Bonds & Notes (Cost $210,464) |  |  | 220,419 |
CONVERTIBLE BONDS & NOTES 0.0% |
INDUSTRIALS 0.0% |
Caesars Entertainment Corp. |
5.000% due 10/01/2024 |  |  |  |  | 33 |  |  |  |  |  | 63 |
UTILITIES 0.0% |
Ensco Jersey Finance Ltd. |
3.000% due 01/31/2024 |  |  |  |  | 18 |  |  |  |  |  | 13 |
Total Convertible Bonds & Notes (Cost $73) |  |  | 76 |
MUNICIPAL BONDS & NOTES 1.0% |
ILLINOIS 0.1% |
Chicago, Illinois General Obligation Bonds, Series 2015 |
7.375% due 01/01/2033 |  |  |  |  | 52 |  |  |  |  |  | 62 |
7.750% due 01/01/2042 |  |  |  |  | 36 |  |  |  |  |  | 41 |

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
Chicago, Illinois General Obligation Bonds, Series 2017 |
7.045% due 01/01/2029 |  | $ |  |  | 70 |  |  | $ |  |  | 77 |
Illinois State General Obligation Bonds, (BABs), Series 2010 |
6.725% due 04/01/2035 |  |  |  |  | 25 |  |  |  |  |  | 30 |
7.350% due 07/01/2035 |  |  |  |  | 15 |  |  |  |  |  | 18 |
Illinois State General Obligation Bonds, Series 2003 |
5.100% due 06/01/2033 |  |  |  |  | 165 |  |  |  |  |  | 178 |
|  |  |  |  |  |  |  |  |  |  | 406 |
IOWA 0.0% |
Iowa Tobacco Settlement Authority Revenue Bonds, Series 2005 |
6.500% due 06/01/2023 |  |  |  |  | 120 |  |  |  |  |  | 122 |
WEST VIRGINIA 0.9% |
Tobacco Settlement Finance Authority, West Virginia Revenue Bonds, Series 2007 |
0.000% due 06/01/2047 (g) |  |  |  |  | 28,100 |  |  |  |  |  | 1,229 |
7.467% due 06/01/2047 |  |  |  |  | 2,515 |  |  |  |  |  | 2,615 |
|  |  |  |  |  |  |  |  |  |  | 3,844 |
Total Municipal Bonds & Notes (Cost $4,792) |  |  | 4,372 |
U.S. GOVERNMENT AGENCIES 1.9% |
Fannie Mae |
5.342% due 07/25/2029 •(m) |  |  |  |  | 530 |  |  |  |  |  | 561 |
7.542% due 07/25/2029 • |  |  |  |  | 720 |  |  |  |  |  | 853 |
Freddie Mac |
0.000% due 02/25/2046 (b)(g)(m) |  |  |  |  | 4,160 |  |  |  |  |  | 3,858 |
0.100% due 05/25/2020 - 02/25/2046 (a) |  |  |  |  | 76,144 |  |  |  |  |  | 33 |
0.661% due 10/25/2020 ~(a) |  |  |  |  | 25,737 |  |  |  |  |  | 54 |
1.939% due 11/25/2055 ~(a) |  |  |  |  | 23,118 |  |  |  |  |  | 1,846 |
6.942% due 10/25/2029 • |  |  |  |  | 750 |  |  |  |  |  | 868 |
Uniform Mortgage-Backed Security |
4.000% due 10/01/2040 |  |  |  |  | 22 |  |  |  |  |  | 23 |
Total U.S. Government Agencies (Cost $7,840) |  |  | 8,096 |
NON-AGENCY MORTGAGE-BACKED SECURITIES 27.4% |
American Home Mortgage Investment Trust |
2.062% due 03/25/2037 • |  |  |  |  | 3,625 |  |  |  |  |  | 2,236 |
Anthracite Ltd. |
5.678% due 06/20/2041 |  |  |  |  | 2,284 |  |  |  |  |  | 288 |
Banc of America Alternative Loan Trust |
12.998% due 09/25/2035 ^•(m) |  |  |  |  | 905 |  |  |  |  |  | 1,122 |
Banc of America Funding Trust |
3.147% due 12/20/2034 ~ |  |  |  |  | 626 |  |  |  |  |  | 440 |
4.135% due 03/20/2036 ^~ |  |  |  |  | 548 |  |  |  |  |  | 529 |
4.254% due 12/20/2036 ~ |  |  |  |  | 62 |  |  |  |  |  | 63 |
7.048% due 10/20/2046 ^~ |  |  |  |  | 474 |  |  |  |  |  | 404 |
Banc of America Mortgage Trust |
4.122% due 10/20/2046 ^~ |  |  |  |  | 76 |  |  |  |  |  | 52 |
Bancorp Commercial Mortgage Trust |
5.490% due 08/15/2032 •(m) |  |  |  |  | 3,800 |  |  |  |  |  | 3,838 |
Bayview Commercial Asset Trust |
2.012% due 03/25/2037 • |  |  |  |  | 109 |  |  |  |  |  | 104 |
BCAP LLC Trust |
3.672% due 05/26/2037 ~ |  |  |  |  | 2,748 |  |  |  |  |  | 2,481 |
Bear Stearns Adjustable Rate Mortgage Trust |
3.834% due 08/25/2047 ^~ |  |  |  |  | 224 |  |  |  |  |  | 203 |
4.028% due 06/25/2047 ^~ |  |  |  |  | 184 |  |  |  |  |  | 177 |
4.043% due 03/25/2035 ~ |  |  |  |  | 16 |  |  |  |  |  | 16 |
4.317% due 09/25/2034 ~ |  |  |  |  | 64 |  |  |  |  |  | 64 |
4.606% due 09/25/2034 ~ |  |  |  |  | 19 |  |  |  |  |  | 20 |
4.684% due 10/25/2036 ^~ |  |  |  |  | 315 |  |  |  |  |  | 310 |
Bear Stearns ALT-A Trust |
2.112% due 06/25/2046 ^•(m) |  |  |  |  | 2,149 |  |  |  |  |  | 2,469 |
2.492% due 01/25/2035 • |  |  |  |  | 105 |  |  |  |  |  | 106 |
3.741% due 05/25/2036 ^~ |  |  |  |  | 570 |  |  |  |  |  | 539 |
3.774% due 08/25/2036 ^~ |  |  |  |  | 1,087 |  |  |  |  |  | 1,087 |
3.803% due 07/25/2035 ^~ |  |  |  |  | 290 |  |  |  |  |  | 258 |

56 |  | PIMCO CLOSED-END FUNDS |  |  |  |  | See Accompanying Notes |

December 31, 2019 (Unaudited)

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
3.937% due 11/25/2036 ^~ |  | $ |  |  | 395 |  |  | $ |  |  | 359 |
3.941% due 04/25/2035 ~ |  |  |  |  | 229 |  |  |  |  |  | 217 |
3.962% due 08/25/2036 ^~ |  |  |  |  | 403 |  |  |  |  |  | 285 |
4.130% due 11/25/2035 ~ |  |  |  |  | 50 |  |  |  |  |  | 43 |
4.289% due 05/25/2035 ~ |  |  |  |  | 331 |  |  |  |  |  | 321 |
4.343% due 09/25/2034 ~ |  |  |  |  | 281 |  |  |  |  |  | 284 |
BRAD Resecuritization Trust |
2.192% due 03/12/2021 « |  |  |  |  | 2,226 |  |  |  |  |  | 45 |
6.550% due 03/12/2021 « |  |  |  |  | 416 |  |  |  |  |  | 415 |
CBA Commercial Small Balance Commercial Mortgage |
5.540% due 01/25/2039 ^þ |  |  |  |  | 830 |  |  |  |  |  | 685 |
CD Commercial Mortgage Trust |
5.398% due 12/11/2049 ~ |  |  |  |  | 22 |  |  |  |  |  | 21 |
CD Mortgage Trust |
5.688% due 10/15/2048 (m) |  |  |  |  | 4,287 |  |  |  |  |  | 2,226 |
Chase Mortgage Finance Trust |
5.500% due 11/25/2021 ^ |  |  |  |  | 681 |  |  |  |  |  | 459 |
6.000% due 03/25/2037 ^ |  |  |  |  | 730 |  |  |  |  |  | 581 |
Citigroup Commercial Mortgage Trust |
5.589% due 12/10/2049 ~ |  |  |  |  | 1,617 |  |  |  |  |  | 1,036 |
Citigroup Global Markets Mortgage Securities, Inc. |
6.500% due 02/25/2029 |  |  |  |  | 188 |  |  |  |  |  | 191 |
Citigroup Mortgage Loan Trust |
4.798% due 03/25/2037 ^~ |  |  |  |  | 866 |  |  |  |  |  | 742 |
Citigroup Mortgage Loan Trust, Inc. |
5.500% due 11/25/2035 ^ |  |  |  |  | 453 |  |  |  |  |  | 437 |
Commercial Mortgage Lease-Backed Certificates |
6.250% due 06/20/2031 ~ |  |  |  |  | 6,007 |  |  |  |  |  | 6,106 |
Commercial Mortgage Loan Trust |
6.052% due 12/10/2049 ~(m) |  |  |  |  | 2,129 |  |  |  |  |  | 1,413 |
Commercial Mortgage Trust |
6.107% due 07/10/2046 ~(m) |  |  |  |  | 2,170 |  |  |  |  |  | 2,202 |
Countrywide Alternative Loan Trust |
2.042% due 06/25/2037 ^• |  |  |  |  | 831 |  |  |  |  |  | 690 |
2.142% due 05/25/2036 ^• |  |  |  |  | 1,510 |  |  |  |  |  | 646 |
2.142% due 08/25/2036 ^• |  |  |  |  | 1,174 |  |  |  |  |  | 722 |
5.500% due 10/25/2035 ^ |  |  |  |  | 236 |  |  |  |  |  | 222 |
5.500% due 12/25/2035 ^ |  |  |  |  | 1,212 |  |  |  |  |  | 993 |
5.750% due 05/25/2036 ^ |  |  |  |  | 225 |  |  |  |  |  | 164 |
6.000% due 11/25/2035 ^ |  |  |  |  | 348 |  |  |  |  |  | 112 |
6.000% due 04/25/2036 ^ |  |  |  |  | 265 |  |  |  |  |  | 212 |
6.000% due 04/25/2037 ^ |  |  |  |  | 534 |  |  |  |  |  | 355 |
6.500% due 09/25/2032 ^ |  |  |  |  | 322 |  |  |  |  |  | 320 |
6.500% due 07/25/2035 ^ |  |  |  |  | 267 |  |  |  |  |  | 219 |
6.500% due 06/25/2036 ^ |  |  |  |  | 418 |  |  |  |  |  | 311 |
Countrywide Home Loan Mortgage Pass-Through Trust |
3.264% due 03/25/2037 ^~ |  |  |  |  | 878 |  |  |  |  |  | 761 |
3.609% due 11/25/2035 ^~ |  |  |  |  | 1,376 |  |  |  |  |  | 1,257 |
3.662% due 03/25/2046 ^•(m) |  |  |  |  | 1,919 |  |  |  |  |  | 1,322 |
3.758% due 06/20/2035 ~ |  |  |  |  | 119 |  |  |  |  |  | 118 |
3.878% due 08/25/2034 ^~ |  |  |  |  | 21 |  |  |  |  |  | 20 |
3.958% due 08/20/2035 ^~ |  |  |  |  | 58 |  |  |  |  |  | 58 |
4.303% due 09/25/2047 ^~ |  |  |  |  | 621 |  |  |  |  |  | 589 |
5.500% due 08/25/2035 ^ |  |  |  |  | 62 |  |  |  |  |  | 54 |
Credit Suisse First Boston Mortgage Securities Corp. |
7.500% due 05/25/2032 |  |  |  |  | 1,071 |  |  |  |  |  | 1,118 |
Credit Suisse Mortgage Capital Certificates |
2.323% due 11/30/2037 ~(m) |  |  |  |  | 9,500 |  |  |  |  |  | 8,651 |
Credit Suisse Mortgage Capital Mortgage-Backed Trust |
2.392% due 07/25/2036 ^• |  |  |  |  | 473 |  |  |  |  |  | 128 |
5.896% due 04/25/2036 þ(m) |  |  |  |  | 368 |  |  |  |  |  | 271 |
6.500% due 05/25/2036 ^ |  |  |  |  | 355 |  |  |  |  |  | 202 |
Credit Suisse Mortgage Capital Trust |
6.500% due 07/26/2036 ^ |  |  |  |  | 438 |  |  |  |  |  | 200 |
Debussy DTC PLC |
5.930% due 07/12/2025 (m) |  | GBP |  |  | 6,164 |  |  |  |  |  | 8,164 |
Deutsche ALT-A Securities, Inc. Mortgage Loan Trust |
1.942% due 02/25/2047 • |  | $ |  |  | 487 |  |  |  |  |  | 364 |
Deutsche ALT-B Securities, Inc. Mortgage Loan Trust |
6.250% due 07/25/2036 ^~ |  |  |  |  | 66 |  |  |  |  |  | 63 |
Deutsche Mortgage Securities, Inc. Mortgage Loan Trust |
5.500% due 09/25/2033 |  |  |  |  | 92 |  |  |  |  |  | 94 |
Downey Savings & Loan Association Mortgage Loan Trust |
1.944% due 04/19/2047 ^• |  |  |  |  | 298 |  |  |  |  |  | 277 |

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
Eurosail PLC |
2.379% due 09/13/2045 • |  | GBP |  |  | 1,665 |  |  | $ |  |  | 2,102 |
3.029% due 09/13/2045 • |  |  |  |  | 1,206 |  |  |  |  |  | 1,525 |
4.629% due 09/13/2045 • |  |  |  |  | 1,033 |  |  |  |  |  | 1,479 |
First Horizon Alternative Mortgage Securities Trust |
3.646% due 05/25/2036 ^~ |  | $ |  |  | 947 |  |  |  |  |  | 865 |
3.845% due 02/25/2036 ~ |  |  |  |  | 47 |  |  |  |  |  | 39 |
3.900% due 11/25/2036 ^~ |  |  |  |  | 844 |  |  |  |  |  | 710 |
4.043% due 08/25/2035 ^~ |  |  |  |  | 32 |  |  |  |  |  | 6 |
6.250% due 11/25/2036 ^ |  |  |  |  | 79 |  |  |  |  |  | 53 |
First Horizon Mortgage Pass-Through Trust |
4.052% due 07/25/2037 ^~ |  |  |  |  | 32 |  |  |  |  |  | 26 |
4.362% due 01/25/2037 ^~ |  |  |  |  | 415 |  |  |  |  |  | 358 |
GE Commercial Mortgage Corp. Trust |
5.606% due 12/10/2049 ~ |  |  |  |  | 653 |  |  |  |  |  | 571 |
GMAC Mortgage Corp. Loan Trust |
4.114% due 07/19/2035 ~ |  |  |  |  | 34 |  |  |  |  |  | 33 |
GreenPoint Mortgage Funding Trust |
1.972% due 01/25/2037 • |  |  |  |  | 847 |  |  |  |  |  | 822 |
GS Mortgage Securities Corp. Trust |
4.591% due 10/10/2032 ~(m) |  |  |  |  | 2,600 |  |  |  |  |  | 2,558 |
4.591% due 10/10/2032 ~ |  |  |  |  | 400 |  |  |  |  |  | 383 |
GS Mortgage Securities Trust |
1.327% due 08/10/2043 ~(a) |  |  |  |  | 7,424 |  |  |  |  |  | 30 |
GSR Mortgage Loan Trust |
2.242% due 07/25/2037 ^• |  |  |  |  | 325 |  |  |  |  |  | 124 |
3.956% due 01/25/2036 ^~ |  |  |  |  | 673 |  |  |  |  |  | 686 |
4.185% due 12/25/2034 ~ |  |  |  |  | 21 |  |  |  |  |  | 21 |
6.000% due 09/25/2034 |  |  |  |  | 232 |  |  |  |  |  | 240 |
HarborView Mortgage Loan Trust |
1.954% due 02/19/2046 • |  |  |  |  | 1,333 |  |  |  |  |  | 1,334 |
1.974% due 11/19/2036 •(m) |  |  |  |  | 2,215 |  |  |  |  |  | 2,048 |
2.324% due 06/19/2034 • |  |  |  |  | 152 |  |  |  |  |  | 151 |
2.404% due 01/19/2035 • |  |  |  |  | 188 |  |  |  |  |  | 182 |
4.323% due 08/19/2036 ^~ |  |  |  |  | 155 |  |  |  |  |  | 146 |
HomeBanc Mortgage Trust |
2.042% due 03/25/2035 • |  |  |  |  | 189 |  |  |  |  |  | 171 |
IM Pastor Fondo de Titulizacion de Activos |
0.000% due 03/22/2044 • |  | EUR |  |  | 507 |  |  |  |  |  | 526 |
Impac CMB Trust |
2.312% due 11/25/2035 ^• |  | $ |  |  | 251 |  |  |  |  |  | 235 |
IndyMac Mortgage Loan Trust |
2.252% due 04/25/2035 • |  |  |  |  | 124 |  |  |  |  |  | 117 |
2.592% due 08/25/2034 • |  |  |  |  | 153 |  |  |  |  |  | 144 |
2.652% due 09/25/2034 • |  |  |  |  | 323 |  |  |  |  |  | 317 |
3.348% due 06/25/2037 ^~ |  |  |  |  | 242 |  |  |  |  |  | 226 |
3.700% due 11/25/2036 ^~ |  |  |  |  | 811 |  |  |  |  |  | 808 |
3.748% due 05/25/2037 ^~ |  |  |  |  | 2,682 |  |  |  |  |  | 2,569 |
3.871% due 12/25/2036 ^~ |  |  |  |  | 816 |  |  |  |  |  | 780 |
JPMorgan Alternative Loan Trust |
4.107% due 05/25/2036 ^~ |  |  |  |  | 303 |  |  |  |  |  | 228 |
5.500% due 11/25/2036 ^~ |  |  |  |  | 8 |  |  |  |  |  | 6 |
JPMorgan Mortgage Trust |
4.097% due 10/25/2036 ^~ |  |  |  |  | 27 |  |  |  |  |  | 25 |
4.280% due 05/25/2036 ^~ |  |  |  |  | 434 |  |  |  |  |  | 433 |
4.427% due 07/25/2035 ~ |  |  |  |  | 64 |  |  |  |  |  | 65 |
6.000% due 08/25/2037 ^ |  |  |  |  | 491 |  |  |  |  |  | 400 |
Landmark Mortgage Securities PLC |
0.000% due 06/17/2038 • |  | EUR |  |  | 143 |  |  |  |  |  | 153 |
1.014% due 06/17/2038 • |  | GBP |  |  | 376 |  |  |  |  |  | 485 |
Lehman Mortgage Trust |
5.777% due 04/25/2036 ^~ |  | $ |  |  | 252 |  |  |  |  |  | 222 |
6.000% due 05/25/2037 ^ |  |  |  |  | 992 |  |  |  |  |  | 1,005 |
MASTR Adjustable Rate Mortgages Trust |
2.979% due 01/25/2047 ^•(m) |  |  |  |  | 297 |  |  |  |  |  | 437 |
3.924% due 10/25/2034 ~ |  |  |  |  | 417 |  |  |  |  |  | 393 |
Morgan Stanley Capital, Inc. |
6.340% due 07/15/2030 ~ |  |  |  |  | 4,138 |  |  |  |  |  | 4,308 |
Morgan Stanley Mortgage Loan Trust |
3.985% due 07/25/2035 ^~ |  |  |  |  | 1,068 |  |  |  |  |  | 1,002 |
4.042% due 01/25/2035 ^~ |  |  |  |  | 227 |  |  |  |  |  | 189 |
5.750% due 12/25/2035 ^ |  |  |  |  | 309 |  |  |  |  |  | 293 |
6.000% due 08/25/2037 ^ |  |  |  |  | 212 |  |  |  |  |  | 157 |
Mortgage Equity Conversion Asset Trust |
4.000% due 07/25/2060 |  |  |  |  | 541 |  |  |  |  |  | 528 |

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
Motel 6 Trust |
8.666% due 08/15/2024 • |  | $ |  |  | 3,971 |  |  | $ |  |  | 4,042 |
Prime Mortgage Trust |
2.142% due 06/25/2036 ^• |  |  |  |  | 2,912 |  |  |  |  |  | 1,946 |
7.000% due 07/25/2034 |  |  |  |  | 145 |  |  |  |  |  | 140 |
Regal Trust |
2.655% due 09/29/2031 • |  |  |  |  | 1 |  |  |  |  |  | 1 |
Residential Accredit Loans, Inc. Trust |
2.002% due 06/25/2037 • |  |  |  |  | 1,417 |  |  |  |  |  | 1,247 |
5.500% due 04/25/2037 |  |  |  |  | 85 |  |  |  |  |  | 78 |
6.000% due 08/25/2035 ^ |  |  |  |  | 491 |  |  |  |  |  | 491 |
6.000% due 01/25/2037 ^ |  |  |  |  | 399 |  |  |  |  |  | 377 |
Residential Asset Securitization Trust |
6.000% due 03/25/2037 ^ |  |  |  |  | 415 |  |  |  |  |  | 242 |
6.000% due 07/25/2037 ^ |  |  |  |  | 6,763 |  |  |  |  |  | 4,134 |
Residential Funding Mortgage Securities, Inc. Trust |
5.457% due 07/27/2037 ^~ |  |  |  |  | 164 |  |  |  |  |  | 144 |
6.000% due 06/25/2037 ^ |  |  |  |  | 284 |  |  |  |  |  | 279 |
Sequoia Mortgage Trust |
4.121% due 01/20/2038 ^~ |  |  |  |  | 192 |  |  |  |  |  | 182 |
Structured Adjustable Rate Mortgage Loan Trust |
4.111% due 01/25/2036 ^~ |  |  |  |  | 888 |  |  |  |  |  | 658 |
Structured Asset Mortgage Investments Trust |
2.002% due 08/25/2036 ^• |  |  |  |  | 1,807 |  |  |  |  |  | 1,746 |
2.252% due 05/25/2045 • |  |  |  |  | 111 |  |  |  |  |  | 111 |
Structured Asset Securities Corp. Mortgage Pass-Through Certificates |
4.043% due 01/25/2034 ~ |  |  |  |  | 218 |  |  |  |  |  | 223 |
TBW Mortgage-Backed Trust |
6.000% due 07/25/2036 ^ |  |  |  |  | 275 |  |  |  |  |  | 197 |
Theatre Hospitals PLC |
4.535% due 10/15/2031 • |  | GBP |  |  | 233 |  |  |  |  |  | 308 |
4.940% due 12/15/2024 «(k) |  |  |  |  | 5 |  |  |  |  |  | 0 |
WaMu Mortgage Pass-Through Certificates Trust |
2.627% due 07/25/2046 • |  | $ |  |  | 1,741 |  |  |  |  |  | 1,688 |
3.245% due 11/25/2036 ^~ |  |  |  |  | 229 |  |  |  |  |  | 226 |
3.538% due 03/25/2037 ^~ |  |  |  |  | 393 |  |  |  |  |  | 373 |
3.697% due 07/25/2037 ^~ |  |  |  |  | 2,004 |  |  |  |  |  | 1,713 |
3.736% due 06/25/2037 ^~ |  |  |  |  | 1,149 |  |  |  |  |  | 1,100 |
3.800% due 07/25/2037 ^~ |  |  |  |  | 934 |  |  |  |  |  | 876 |
4.493% due 03/25/2033 ~ |  |  |  |  | 57 |  |  |  |  |  | 59 |
Washington Mutual Mortgage Pass-Through Certificates Trust |
3.089% due 10/25/2046 ^• |  |  |  |  | 401 |  |  |  |  |  | 369 |
3.725% due 06/25/2033 ~ |  |  |  |  | 67 |  |  |  |  |  | 68 |
Wells Fargo Mortgage-Backed Securities Trust |
4.556% due 10/25/2036 ^~ |  |  |  |  | 11 |  |  |  |  |  | 11 |
4.849% due 09/25/2036 ^~ |  |  |  |  | 9 |  |  |  |  |  | 9 |
Total Non-Agency Mortgage-Backed Securities (Cost $110,453) |  |  | 119,303 |
ASSET-BACKED SECURITIES 26.2% |
Acacia CDO 5 Ltd. |
2.567% due 11/08/2039 • |  |  |  |  | 686 |  |  |  |  |  | 685 |
3.037% due 11/08/2039 • |  |  |  |  | 9,100 |  |  |  |  |  | 4,818 |
Access Financial Manufactured Housing Contract Trust |
7.650% due 05/15/2021 |  |  |  |  | 200 |  |  |  |  |  | 19 |
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates |
3.517% due 05/25/2034 • |  |  |  |  | 154 |  |  |  |  |  | 155 |
4.642% due 08/25/2032 • |  |  |  |  | 663 |  |  |  |  |  | 665 |
Asset-Backed Funding Certificates Trust |
1.942% due 10/25/2036 •(m) |  |  |  |  | 4,569 |  |  |  |  |  | 4,351 |
2.352% due 10/25/2033 • |  |  |  |  | 167 |  |  |  |  |  | 160 |
2.452% due 03/25/2035 • |  |  |  |  | 4,431 |  |  |  |  |  | 4,395 |
Bear Stearns Asset-Backed Securities Trust |
1.664% due 09/25/2034 • |  |  |  |  | 421 |  |  |  |  |  | 411 |
4.276% due 07/25/2036 ~ |  |  |  |  | 372 |  |  |  |  |  | 366 |
Bombardier Capital Mortgage Securitization Corp. |
7.830% due 06/15/2030 ~ |  |  |  |  | 3,549 |  |  |  |  |  | 1,206 |
Conseco Finance Corp. |
6.220% due 03/01/2030 |  |  |  |  | 37 |  |  |  |  |  | 38 |
6.530% due 02/01/2031 ~ |  |  |  |  | 886 |  |  |  |  |  | 857 |

See Accompanying Notes |  | SEMIANNUAL REPORT |  | DECEMBER 31, 2019 |  | 57

Schedule of Investments PIMCO Income Opportunity Fund (Cont.)

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
Conseco Finance Securitizations Corp. |
7.770% due 09/01/2031 þ |  | $ |  |  | 637 |  |  | $ |  |  | 713 |
7.960% due 05/01/2031 |  |  |  |  | 1,563 |  |  |  |  |  | 831 |
8.060% due 09/01/2029 ~ |  |  |  |  | 2,922 |  |  |  |  |  | 1,213 |
9.163% due 03/01/2033 ~ |  |  |  |  | 2,528 |  |  |  |  |  | 2,321 |
Countrywide Asset-Backed Certificates |
1.932% due 06/25/2035 •(m) |  |  |  |  | 7,011 |  |  |  |  |  | 6,383 |
2.132% due 12/25/2036 ^• |  |  |  |  | 413 |  |  |  |  |  | 281 |
3.067% due 02/25/2035 • |  |  |  |  | 1,209 |  |  |  |  |  | 1,220 |
Countrywide Asset-Backed Certificates Trust |
4.693% due 10/25/2035 ~ |  |  |  |  | 1 |  |  |  |  |  | 2 |
Countrywide Asset-Backed Certificates Trust, Inc. |
2.572% due 11/25/2034 • |  |  |  |  | 237 |  |  |  |  |  | 233 |
Crecera Americas LLC |
5.563% due 08/31/2020 • |  |  |  |  | 6,000 |  |  |  |  |  | 6,006 |
Credit Suisse First Boston Mortgage Securities Corp. |
2.842% due 02/25/2031 • |  |  |  |  | 1,023 |  |  |  |  |  | 1,031 |
Credit-Based Asset Servicing & Securitization CBO Corp. |
2.137% due 09/06/2041 • |  |  |  |  | 7,846 |  |  |  |  |  | 616 |
Credit-Based Asset Servicing & Securitization LLC |
3.112% due 12/25/2035 • |  |  |  |  | 1,377 |  |  |  |  |  | 1,387 |
Euromax ABS PLC |
0.000% due 11/10/2095 • |  | EUR |  |  | 5,000 |  |  |  |  |  | 4,997 |
Greenpoint Manufactured Housing |
8.300% due 10/15/2026 ~ |  | $ |  |  | 289 |  |  |  |  |  | 305 |
Home Equity Loan Trust |
2.132% due 04/25/2037 •(m) |  |  |  |  | 8,700 |  |  |  |  |  | 7,521 |
Home Equity Mortgage Loan Asset-Backed Trust |
2.032% due 04/25/2037 •(m) |  |  |  |  | 13,166 |  |  |  |  |  | 9,743 |
2.112% due 04/25/2037 • |  |  |  |  | 4,080 |  |  |  |  |  | 3,682 |
JPMorgan Mortgage Acquisition Trust |
1.872% due 08/25/2036 • |  |  |  |  | 7 |  |  |  |  |  | 4 |
1.982% due 03/25/2047 • |  |  |  |  | 1,802 |  |  |  |  |  | 1,772 |
KGS-Alpha SBA COOF Trust |
1.040% due 04/25/2038 «~(a) |  |  |  |  | 617 |  |  |  |  |  | 14 |
Lehman ABS Mortgage Loan Trust |
1.882% due 06/25/2037 • |  |  |  |  | 5,145 |  |  |  |  |  | 3,737 |
Long Beach Mortgage Loan Trust |
1.982% due 02/25/2036 •(m) |  |  |  |  | 2,785 |  |  |  |  |  | 2,484 |
2.062% due 05/25/2046 • |  |  |  |  | 3,198 |  |  |  |  |  | 1,443 |
2.497% due 11/25/2035 •(m) |  |  |  |  | 4,019 |  |  |  |  |  | 3,479 |
4.267% due 03/25/2032 • |  |  |  |  | 5 |  |  |  |  |  | 6 |
Marlette Funding Trust |
0.000% due 09/17/2029 «(g) |  |  |  |  | 3 |  |  |  |  |  | 1,210 |
Morgan Stanley ABS Capital, Inc. Trust |
2.827% due 01/25/2035 • |  |  |  |  | 522 |  |  |  |  |  | 353 |
Morgan Stanley Dean Witter Capital, Inc. Trust |
3.217% due 02/25/2033 • |  |  |  |  | 142 |  |  |  |  |  | 144 |
National Collegiate Commutation Trust |
0.000% due 03/25/2038 • |  |  |  |  | 10,400 |  |  |  |  |  | 3,715 |
NovaStar Mortgage Funding Trust |
1.962% due 11/25/2036 • |  |  |  |  | 1,321 |  |  |  |  |  | 576 |
Oakwood Mortgage Investors, Inc. |
1.970% due 06/15/2032 • |  |  |  |  | 11 |  |  |  |  |  | 11 |
Option One Mortgage Loan Trust |
5.662% due 01/25/2037 ^þ |  |  |  |  | 6 |  |  |  |  |  | 6 |
Origen Manufactured Housing Contract Trust |
8.150% due 03/15/2032 þ |  |  |  |  | 744 |  |  |  |  |  | 760 |
Ownit Mortgage Loan Trust |
3.131% due 10/25/2035 þ |  |  |  |  | 1,977 |  |  |  |  |  | 1,354 |
Park Place Securities, Inc. Asset-Backed Pass-Through Certificates |
3.667% due 10/25/2034 •(m) |  |  |  |  | 1,161 |  |  |  |  |  | 1,152 |
Putnam Structured Product Funding Ltd. |
3.140% due 10/15/2038 • |  |  |  |  | 1,200 |  |  |  |  |  | 951 |
Residential Asset Mortgage Products Trust |
2.917% due 08/25/2033 •(m) |  |  |  |  | 491 |  |  |  |  |  | 487 |
Saxon Asset Securities Trust |
2.767% due 12/26/2034 • |  |  |  |  | 629 |  |  |  |  |  | 597 |
Securitized Asset-Backed Receivables LLC Trust |
2.022% due 02/25/2037 ^• |  |  |  |  | 290 |  |  |  |  |  | 169 |
2.467% due 01/25/2035 • |  |  |  |  | 16 |  |  |  |  |  | 15 |

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
SLM Student Loan Trust |
0.000% due 01/25/2042 «(g) |  | $ |  |  | 2 |  |  | $ |  |  | 1,281 |
SMB Private Education Loan Trust |
0.000% due 10/15/2048 «(g) |  |  |  |  | 1 |  |  |  |  |  | 799 |
SoFi Professional Loan Program LLC |
0.000% due 01/25/2039 (g) |  |  |  |  | 2,540 |  |  |  |  |  | 760 |
0.000% due 09/25/2040 (g) |  |  |  |  | 1,094 |  |  |  |  |  | 547 |
Soloso CDO Ltd. |
2.363% due 10/07/2037 • |  |  |  |  | 1,300 |  |  |  |  |  | 1,069 |
South Coast Funding Ltd. |
2.303% due 01/06/2041 • |  |  |  |  | 38,460 |  |  |  |  |  | 8,921 |
Specialty Underwriting & Residential Finance Trust |
1.942% due 06/25/2037 • |  |  |  |  | 4,911 |  |  |  |  |  | 3,484 |
Structured Asset Investment Loan Trust |
2.232% due 01/25/2036 •(m) |  |  |  |  | 5,232 |  |  |  |  |  | 5,105 |
Structured Asset Securities Corp. Mortgage Loan Trust |
2.092% due 06/25/2035 • |  |  |  |  | 191 |  |  |  |  |  | 190 |
Talon Funding Ltd. |
2.382% due 06/05/2035 • |  |  |  |  | 725 |  |  |  |  |  | 177 |
UCFC Home Equity Loan Trust |
7.750% due 04/15/2030 ~ |  |  |  |  | 610 |  |  |  |  |  | 603 |
Total Asset-Backed Securities (Cost $107,650) |  |  | 113,986 |
SOVEREIGN ISSUES 5.1% |
Argentina Government International Bond |
2.500% due 07/22/2021 (h) |  | ARS |  |  | 10,078 |  |  |  |  |  | 80 |
3.375% due 01/15/2023 |  | EUR |  |  | 100 |  |  |  |  |  | 51 |
3.380% due 12/31/2038 þ |  |  |  |  | 3,180 |  |  |  |  |  | 1,657 |
4.000% due 03/06/2020 (h) |  | ARS |  |  | 67,906 |  |  |  |  |  | 678 |
5.250% due 01/15/2028 |  | EUR |  |  | 100 |  |  |  |  |  | 50 |
6.250% due 11/09/2047 |  |  |  |  | 100 |  |  |  |  |  | 51 |
7.820% due 12/31/2033 |  |  |  |  | 6,784 |  |  |  |  |  | 4,406 |
15.500% due 10/17/2026 |  | ARS |  |  | 35,520 |  |  |  |  |  | 165 |
42.836% (BADLARPP + 2.000%) due 04/03/2022 ~ |  |  |  |  | 39,677 |  |  |  |  |  | 352 |
45.399% (BADLARPP + 3.250%) due 03/01/2020 ~ |  |  |  |  | 400 |  |  |  |  |  | 4 |
56.589% (ARLLMONP) due 06/21/2020 ~(a) |  |  |  |  | 95,420 |  |  |  |  |  | 863 |
59.928% (BADLARPP) due 10/04/2022 ~(a) |  |  |  |  | 33 |  |  |  |  |  | 1 |
Autonomous City of Buenos Aires Argentina |
44.086% due 03/29/2024 • |  |  |  |  | 99,505 |  |  |  |  |  | 1,141 |
51.313% (BADLARPP + 5.000%) due 01/23/2022 ~(a) |  |  |  |  | 6,290 |  |  |  |  |  | 79 |
Peru Government International Bond |
5.400% due 08/12/2034 |  | PEN |  |  | 9 |  |  |  |  |  | 3 |
5.940% due 02/12/2029 |  |  |  |  | 2,494 |  |  |  |  |  | 849 |
6.150% due 08/12/2032 |  |  |  |  | 1,364 |  |  |  |  |  | 467 |
6.350% due 08/12/2028 |  |  |  |  | 3,215 |  |  |  |  |  | 1,127 |
6.900% due 08/12/2037 |  |  |  |  | 40 |  |  |  |  |  | 15 |
6.950% due 08/12/2031 |  |  |  |  | 744 |  |  |  |  |  | 271 |
8.200% due 08/12/2026 |  |  |  |  | 2,074 |  |  |  |  |  | 796 |
Provincia de Buenos Aires |
52.270% (BADLARPP + 3.750%) due 04/12/2025 ~(a) |  | ARS |  |  | 250,195 |  |  |  |  |  | 1,898 |
South Africa Government International Bond |
4.850% due 09/30/2029 (m) |  | $ |  |  | 800 |  |  |  |  |  | 802 |
5.750% due 09/30/2049 (m) |  |  |  |  | 800 |  |  |  |  |  | 781 |
Turkey Government International Bond |
3.250% due 06/14/2025 |  | EUR |  |  | 100 |  |  |  |  |  | 112 |
4.625% due 03/31/2025 |  |  |  |  | 1,100 |  |  |  |  |  | 1,308 |
5.200% due 02/16/2026 |  |  |  |  | 400 |  |  |  |  |  | 487 |
5.600% due 11/14/2024 (m) |  | $ |  |  | 1,900 |  |  |  |  |  | 1,937 |
7.625% due 04/26/2029 (m) |  |  |  |  | 1,500 |  |  |  |  |  | 1,661 |
Venezuela Government International Bond |
6.000% due 12/09/2020 ^(d) |  |  |  |  | 165 |  |  |  |  |  | 20 |
8.250% due 10/13/2024 ^(d) |  |  |  |  | 19 |  |  |  |  |  | 2 |
9.250% due 09/15/2027 ^(d) |  |  |  |  | 198 |  |  |  |  |  | 24 |
Total Sovereign Issues (Cost $33,854) |  |  | 22,138 |

|  |  |  | SHARES |  |  |  |  | MARKET VALUE (000S) |
COMMON STOCKS 1.4% |
COMMUNICATION SERVICES 0.3% |
Clear Channel Outdoor Holdings, Inc. (e) |  |  | 363,781 |  |  | $ |  |  | 1,041 |
iHeartMedia, Inc. |  |  |  |  | 272 |  |  |  |  |  | 4 |
iHeartMedia, Inc. ‘A’ (e) |  |  |  |  | 20,232 |  |  |  |  |  | 342 |
|  |  |  |  |  |  |  |  |  |  | 1,387 |
CONSUMER DISCRETIONARY 0.7% |
Caesars Entertainment Corp. (e) |  |  | 219,638 |  |  |  |  |  | 2,987 |
ENERGY 0.1% |
Dommo Energia S.A. (e)(k) |  |  |  |  | 138,679 |  |  |  |  |  | 101 |
Dommo Energia S.A. « |  |  |  |  | 351,593 |  |  |  |  |  | 212 |
Dommo Energia S.A. SP - ADR «(e) |  |  | 1,108 |  |  |  |  |  | 8 |
Forbes Energy Services Ltd. (e)(k) |  |  | 29,625 |  |  |  |  |  | 7 |
|  |  |  |  |  |  |  |  |  |  | 328 |
INDUSTRIALS 0.0% |
Sierra Hamilton Holder LLC «(k) |  |  | 200,912 |  |  |  |  |  | 38 |
Westmoreland Mining Holdings LLC «(k) |  |  | 90 |  |  |  |  |  | 1 |
|  |  |  |  |  |  |  |  |  |  | 39 |
UTILITIES 0.3% |
Eneva S.A. (e)(k) |  |  |  |  | 15,803 |  |  |  |  |  | 172 |
TexGen Power LLC « |  |  |  |  | 33,708 |  |  |  |  |  | 1,205 |
|  |  |  |  |  |  |  |  |  |  | 1,377 |
Total Common Stocks (Cost $7,777) |  |  | 6,118 |
WARRANTS 0.6% |
COMMUNICATION SERVICES 0.5% |
iHeartMedia, Inc. |  |  |  |  | 131,768 |  |  |  |  |  | 2,227 |
INDUSTRIALS 0.1% |
Sequa Corp. - Exp. 04/28/2024 « |  |  | 279,000 |  |  |  |  |  | 604 |
Total Warrants (Cost $2,857) |  |  | 2,831 |
PREFERRED SECURITIES 6.1% |
BANKING & FINANCE 4.3% |
AGFC Capital Trust |
3.751% (US0003M + 1.750%) due 01/15/2067 ~(m) |  |  |  |  | 2,300,000 |  |  |  |  |  | 1,150 |
Banco Bilbao Vizcaya Argentaria S.A. |
8.875% due 04/14/2021 •(i)(j) |  |  |  |  | 200,000 |  |  |  |  |  | 246 |
Nationwide Building Society |
10.250% ~ |  |  |  |  | 38,245 |  |  |  |  |  | 8,410 |
Stichting AK Rabobank Certificaten |
6.500% due 12/29/2049 (i) |  |  |  |  | 6,394,700 |  |  |  |  |  | 9,146 |
|  |  |  |  |  |  |  |  |  |  | 18,952 |
INDUSTRIALS 1.8% |
General Electric Co. |
5.000% due 01/21/2021 •(i) |  |  |  |  | 174,000 |  |  |  |  |  | 171 |
Sequa Corp. (12.000% PIK) (c) |
12.000% « |  |  |  |  | 6,502 |  |  |  |  |  | 7,536 |
|  |  |  |  |  |  |  |  |  |  | 7,707 |
Total Preferred Securities (Cost $22,878) |  |  | 26,659 |

58 |  | PIMCO CLOSED-END FUNDS |  |  |  |  | See Accompanying Notes |

December 31, 2019 (Unaudited)

|  |  |  | SHARES |  |  |  |  | MARKET VALUE (000S) |
REAL ESTATE INVESTMENT TRUSTS 2.0% |
REAL ESTATE 2.0% |
VICI Properties, Inc. |  |  |  |  | 340,104 |  |  | $ |  |  | 8,690 |
Total Real Estate Investment Trusts (Cost $4,976) |  |  | 8,690 |
SHORT-TERM INSTRUMENTS 4.1% |
REPURCHASE AGREEMENTS (l) 3.3% |
|  |  |  |  |  |  |  |  |  |  | 14,159 |
|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  |  |
ARGENTINA TREASURY BILLS 0.1% |
30.546% due 04/28/2020 - 08/27/2020 (f)(g) |  | ARS |  |  | 27,064 |  |  |  |  |  | 371 |
41.333% due 04/03/2020 «~ |  |  |  |  | 4,040 |  |  |  |  |  | 55 |
43.313% due 06/22/2020 «~ |  |  |  |  | 10,020 |  |  |  |  |  | 149 |
|  |  |  |  |  |  |  |  |  |  | 575 |

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
U.S. TREASURY BILLS 0.7% |
1.604% due 01/16/2020 - 02/27/2020 (f)(g)(p) |  | $ |  |  | 3,165 |  |  | $ |  |  | 3,161 |
Total Short-Term Instruments (Cost $18,248) |  |  |  |  |  | 17,895 |
Total Investments in Securities (Cost $629,770) |  |  |  |  |  | 647,115 |
Total Investments 148.5% (Cost $629,770) |  |  | $ |  |  | 647,115 |
Financial Derivative Instruments (n)(o) (0.5)% (Cost or Premiums, net $(5,425)) |  |  |  |  |  | (2,014 | )
Other Assets and Liabilities, net (48.0)% |  |  |  |  |  | (209,465 | )
Net Assets 100.0% |  |  | $ |  |  | 435,636 |

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) | Interest only security.

(b) | Principal only security.

(c) | Payment in-kind security.

(d) | Security is not accruing income as of the date of this report.

(e) | Security did not produce income within the last twelve months.

(f) | Coupon represents a weighted average yield to maturity.

(g) | Zero coupon security.

(h) | Principal amount of security is adjusted for inflation.

(i) | Perpetual maturity; date shown, if applicable, represents next contractual call date.

(j) | Contingent convertible security.

(k) RESTRICTED SECURITIES:

Issuer Description |  | Acquisition Date |  |  | Cost |  |  | Market Value |  |  | Market Value as Percentage of Net Assets |
Dommo Energia S.A. |  |  | 12/21/2017 - 12/26/2017 |  |  | $ | 36 |  |  | $ | 101 |  |  |  | 0.03 | %
Eneva S.A. |  |  | 12/21/2017 - 12/03/2019 |  |  |  | 73 |  |  |  | 172 |  |  |  | 0.04 |
Forbes Energy Services Ltd. |  |  | 03/11/2014 - 07/03/2014 |  |  |  | 1,470 |  |  |  | 7 |  |  |  | 0.00 |
Pinnacol Assurance 8.625% due 06/25/2034 |  |  | 06/23/2014 |  |  |  | 2,900 |  |  |  | 3,104 |  |  |  | 0.71 |
Project OMNI Senior 3.000% due 09/03/2026 |  |  | 09/26/2019 |  |  |  | 10,910 |  |  |  | 11,206 |  |  |  | 2.57 |
Sierra Hamilton Holder LLC |  |  | 07/31/2017 |  |  |  | 51 |  |  |  | 38 |  |  |  | 0.01 |
Theatre Hospitals PLC 4.940% due 12/15/2024 |  |  | 12/17/2018 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0.00 |
Westmoreland Mining Holdings LLC |  |  | 03/26/2019 |  |  |  | 0 |  |  |  | 1 |  |  |  | 0.00 |
|  |  | $ | 15,440 |  |  | $ | 14,629 |  |  |  | 3.36 | %

See Accompanying Notes |  | SEMIANNUAL REPORT |  | DECEMBER 31, 2019 |  | 59

Schedule of Investments PIMCO Income Opportunity Fund (Cont.)

BORROWINGS AND OTHER FINANCING TRANSACTIONS

(l) 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 |  |  | 1.250 | % |  |  | 12/31/2019 |  |  |  | 01/02/2020 |  |  | $ | 859 |  |  | U.S. Treasury Inflation Protected Securities 0.125% due 04/15/2020 |  | $ | (878 | ) |  | $ | 859 |  |  | $ | 859 |
NOM |  |  | 1.650 |  |  |  | 12/31/2019 |  |  |  | 01/02/2020 |  |  |  | 13,300 |  |  | U.S. Treasury Bonds 3.125% due 02/15/2043 |  |  | (13,483 | ) |  |  | 13,300 |  |  |  | 13,301 |
Total Repurchase Agreements |  |  |  |  | $ | (14,361 | ) |  | $ | 14,159 |  |  | $ | 14,160 |

REVERSE REPURCHASE AGREEMENTS:

Counterparty |  | Borrowing Rate(2) |  |  | Settlement Date |  |  | Maturity Date |  |  | Amount Borrowed(2) |  |  | Payable for Reverse Repurchase Agreements |
BPS |  |  | 1.100 | % |  |  | 11/28/2019 |  |  |  | 02/28/2020 |  |  |  | GBP |  |  |  | (3,148 | ) |  | $ | (4,175 | )
|  |  | 1.200 |  |  |  | 10/24/2019 |  |  |  | 01/24/2020 |  |  |  |  |  |  |  | (2,219 | ) |  |  | (2,945 | )
|  |  | 2.080 |  |  |  | 01/02/2020 |  |  |  | 02/03/2020 |  |  |  | $ |  |  |  | (1,383 | ) |  |  | (1,383 | )
|  |  | 2.120 |  |  |  | 01/02/2020 |  |  |  | 02/03/2020 |  |  |  |  |  |  |  | (302 | ) |  |  | (302 | )
|  |  | 2.140 |  |  |  | 12/19/2019 |  |  |  | 01/02/2020 |  |  |  |  |  |  |  | (1,382 | ) |  |  | (1,383 | )
|  |  | 2.400 |  |  |  | 10/04/2019 |  |  |  | 01/02/2020 |  |  |  |  |  |  |  | (295 | ) |  |  | (297 | )
|  |  | 2.400 |  |  |  | 11/18/2019 |  |  |  | 02/18/2020 |  |  |  |  |  |  |  | (1,733 | ) |  |  | (1,738 | )
|  |  | 2.580 |  |  |  | 11/22/2019 |  |  |  | 01/21/2020 |  |  |  |  |  |  |  | (1,634 | ) |  |  | (1,639 | )
|  |  | 2.703 |  |  |  | 11/18/2019 |  |  |  | 02/18/2020 |  |  |  |  |  |  |  | (478 | ) |  |  | (480 | )
|  |  | 2.895 |  |  |  | 11/14/2019 |  |  |  | 01/10/2020 |  |  |  |  |  |  |  | (5,540 | ) |  |  | (5,562 | )
BRC |  |  | 1.850 |  |  |  | 11/01/2019 |  |  |  | TBD | (3) |  |  |  |  |  |  | (661 | ) |  |  | (663 | )
|  |  | 2.250 |  |  |  | 11/04/2019 |  |  |  | 01/03/2020 |  |  |  |  |  |  |  | (1,442 | ) |  |  | (1,447 | )
|  |  | 2.250 |  |  |  | 01/03/2020 |  |  |  | 03/03/2020 |  |  |  |  |  |  |  | (1,444 | ) |  |  | (1,444 | )
|  |  | 2.804 |  |  |  | 12/27/2019 |  |  |  | 01/27/2020 |  |  |  |  |  |  |  | (2,171 | ) |  |  | (2,172 | )
|  |  | 2.904 |  |  |  | 11/15/2019 |  |  |  | 02/13/2020 |  |  |  |  |  |  |  | (3,840 | ) |  |  | (3,855 | )
|  |  | 3.009 |  |  |  | 11/14/2019 |  |  |  | 02/12/2020 |  |  |  |  |  |  |  | (2,593 | ) |  |  | (2,604 | )
CEW |  |  | 2.470 |  |  |  | 10/22/2019 |  |  |  | 01/22/2020 |  |  |  |  |  |  |  | (105 | ) |  |  | (106 | )
DBL |  |  | (0.150 | ) |  |  | 12/23/2019 |  |  |  | 01/23/2020 |  |  |  | EUR |  |  |  | (1,402 | ) |  |  | (1,572 | )
|  |  | (0.100 | ) |  |  | 12/23/2019 |  |  |  | 01/23/2020 |  |  |  |  |  |  |  | (519 | ) |  |  | (582 | )
|  |  | (0.050 | ) |  |  | 12/23/2019 |  |  |  | 01/23/2020 |  |  |  |  |  |  |  | (411 | ) |  |  | (461 | )
|  |  | 1.250 |  |  |  | 12/23/2019 |  |  |  | 01/23/2020 |  |  |  | GBP |  |  |  | (720 | ) |  |  | (954 | )
FOB |  |  | 2.350 |  |  |  | 12/12/2019 |  |  |  | 01/10/2020 |  |  |  | $ |  |  |  | (2,286 | ) |  |  | (2,289 | )
JML |  |  | (1.850 | ) |  |  | 09/30/2019 |  |  |  | TBD | (3) |  |  | EUR |  |  |  | (4,400 | ) |  |  | (4,912 | )
|  |  | (0.300 | ) |  |  | 10/16/2019 |  |  |  | 01/15/2020 |  |  |  |  |  |  |  | (361 | ) |  |  | (404 | )
|  |  | (0.300 | ) |  |  | 10/17/2019 |  |  |  | 01/16/2020 |  |  |  |  |  |  |  | (161 | ) |  |  | (180 | )
|  |  | (0.300 | ) |  |  | 10/18/2019 |  |  |  | 01/17/2020 |  |  |  |  |  |  |  | (190 | ) |  |  | (213 | )
|  |  | (0.250 | ) |  |  | 10/17/2019 |  |  |  | 01/16/2020 |  |  |  |  |  |  |  | (249 | ) |  |  | (279 | )
|  |  | 0.950 |  |  |  | 10/16/2019 |  |  |  | 01/14/2020 |  |  |  | GBP |  |  |  | (1,712 | ) |  |  | (2,272 | )
|  |  | 0.950 |  |  |  | 10/16/2019 |  |  |  | 01/15/2020 |  |  |  |  |  |  |  | (3,690 | ) |  |  | (4,897 | )
|  |  | 0.950 |  |  |  | 10/17/2019 |  |  |  | 01/16/2020 |  |  |  |  |  |  |  | (4,271 | ) |  |  | (5,669 | )
|  |  | 0.950 |  |  |  | 10/18/2019 |  |  |  | 01/17/2020 |  |  |  |  |  |  |  | (182 | ) |  |  | (241 | )
|  |  | 1.250 |  |  |  | 10/15/2019 |  |  |  | 01/10/2020 |  |  |  |  |  |  |  | (477 | ) |  |  | (633 | )
|  |  | 2.350 |  |  |  | 11/08/2019 |  |  |  | 02/06/2020 |  |  |  | $ |  |  |  | (7,913 | ) |  |  | (7,941 | )
MBC |  |  | 2.760 |  |  |  | 11/04/2019 |  |  |  | 02/05/2020 |  |  |  |  |  |  |  | (5,223 | ) |  |  | (5,247 | )
|  |  | 2.780 |  |  |  | 11/04/2019 |  |  |  | 02/05/2020 |  |  |  |  |  |  |  | (2,016 | ) |  |  | (2,025 | )
|  |  | 2.850 |  |  |  | 12/20/2019 |  |  |  | 01/21/2020 |  |  |  |  |  |  |  | (4,329 | ) |  |  | (4,333 | )
|  |  | 2.860 |  |  |  | 11/04/2019 |  |  |  | 02/05/2020 |  |  |  |  |  |  |  | (8,714 | ) |  |  | (8,755 | )
|  |  | 2.910 |  |  |  | 11/04/2019 |  |  |  | 02/05/2020 |  |  |  |  |  |  |  | (999 | ) |  |  | (1,004 | )
|  |  | 3.060 |  |  |  | 12/13/2019 |  |  |  | 02/05/2020 |  |  |  |  |  |  |  | (1,927 | ) |  |  | (1,930 | )
MEI |  |  | 2.450 |  |  |  | 12/02/2019 |  |  |  | 01/07/2020 |  |  |  |  |  |  |  | (1,411 | ) |  |  | (1,414 | )
MSB |  |  | 3.103 |  |  |  | 08/19/2019 |  |  |  | 08/19/2020 |  |  |  |  |  |  |  | (6,323 | ) |  |  | (6,347 | )
NOM |  |  | 2.350 |  |  |  | 12/20/2019 |  |  |  | 01/17/2020 |  |  |  |  |  |  |  | (1,710 | ) |  |  | (1,711 | )
|  |  | 2.400 |  |  |  | 11/04/2019 |  |  |  | 01/03/2020 |  |  |  |  |  |  |  | (5,425 | ) |  |  | (5,446 | )
|  |  | 2.400 |  |  |  | 11/19/2019 |  |  |  | 01/21/2020 |  |  |  |  |  |  |  | (3,255 | ) |  |  | (3,265 | )
|  |  | 2.400 |  |  |  | 11/20/2019 |  |  |  | 01/21/2020 |  |  |  |  |  |  |  | (250 | ) |  |  | (251 | )
|  |  | 2.500 |  |  |  | 11/19/2019 |  |  |  | 01/21/2020 |  |  |  |  |  |  |  | (362 | ) |  |  | (363 | )
|  |  | 2.600 |  |  |  | 11/19/2019 |  |  |  | 01/21/2020 |  |  |  |  |  |  |  | (2,145 | ) |  |  | (2,152 | )
|  |  | 2.600 |  |  |  | 12/16/2019 |  |  |  | 01/21/2020 |  |  |  |  |  |  |  | (1,186 | ) |  |  | (1,187 | )
|  |  | 2.800 |  |  |  | 11/19/2019 |  |  |  | 01/21/2020 |  |  |  |  |  |  |  | (892 | ) |  |  | (895 | )
RDR |  |  | 1.950 |  |  |  | 12/06/2019 |  |  |  | 01/06/2020 |  |  |  |  |  |  |  | (131 | ) |  |  | (131 | )
RTA |  |  | 2.270 |  |  |  | 11/14/2019 |  |  |  | 01/14/2020 |  |  |  |  |  |  |  | (248 | ) |  |  | (249 | )
|  |  | 2.329 |  |  |  | 11/08/2019 |  |  |  | 02/07/2020 |  |  |  |  |  |  |  | (2,199 | ) |  |  | (2,207 | )
|  |  | 2.329 |  |  |  | 11/27/2019 |  |  |  | 02/07/2020 |  |  |  |  |  |  |  | (85 | ) |  |  | (85 | )
|  |  | 2.452 |  |  |  | 10/08/2019 |  |  |  | 01/07/2020 |  |  |  |  |  |  |  | (1,491 | ) |  |  | (1,500 | )

60 |  | PIMCO CLOSED-END FUNDS |  |  |  |  | See Accompanying Notes |

December 31, 2019 (Unaudited)

Counterparty |  | Borrowing Rate(2) |  |  | Settlement Date |  |  | Maturity Date |  |  | Amount Borrowed(2) |  |  | Payable for Reverse Repurchase Agreements |
|  |  | 2.504 | % |  |  | 11/08/2019 |  |  |  | 02/07/2020 |  |  |  | $ |  |  |  | (360 | ) |  | $ | (361 | )
|  |  | 2.794 |  |  |  | 11/06/2019 |  |  |  | 02/04/2020 |  |  |  |  |  |  |  | (3,762 | ) |  |  | (3,779 | )
|  |  | 3.063 |  |  |  | 09/25/2019 |  |  |  | 03/25/2020 |  |  |  |  |  |  |  | (1,062 | ) |  |  | (1,071 | )
SAL |  |  | 2.734 |  |  |  | 10/15/2019 |  |  |  | 01/08/2020 |  |  |  |  |  |  |  | (1,770 | ) |  |  | (1,781 | )
|  |  | 2.909 |  |  |  | 11/12/2019 |  |  |  | 02/10/2020 |  |  |  |  |  |  |  | (4,608 | ) |  |  | (4,627 | )
SOG |  |  | 2.270 |  |  |  | 11/08/2019 |  |  |  | 01/09/2020 |  |  |  |  |  |  |  | (621 | ) |  |  | (623 | )
|  |  | 2.340 |  |  |  | 11/21/2019 |  |  |  | 02/19/2020 |  |  |  |  |  |  |  | (4,484 | ) |  |  | (4,496 | )
|  |  | 2.350 |  |  |  | 11/18/2019 |  |  |  | 02/18/2020 |  |  |  |  |  |  |  | (6,883 | ) |  |  | (6,903 | )
|  |  | 2.350 |  |  |  | 12/13/2019 |  |  |  | 02/18/2020 |  |  |  |  |  |  |  | (1,010 | ) |  |  | (1,011 | )
|  |  | 2.360 |  |  |  | 11/15/2019 |  |  |  | 02/13/2020 |  |  |  |  |  |  |  | (1,522 | ) |  |  | (1,527 | )
|  |  | 2.360 |  |  |  | 11/18/2019 |  |  |  | 02/12/2020 |  |  |  |  |  |  |  | (1,070 | ) |  |  | (1,073 | )
|  |  | 2.480 |  |  |  | 10/08/2019 |  |  |  | 01/08/2020 |  |  |  |  |  |  |  | (1,905 | ) |  |  | (1,916 | )
UBS |  |  | (0.100 | ) |  |  | 11/28/2019 |  |  |  | 01/24/2020 |  |  |  | EUR |  |  |  | (975 | ) |  |  | (1,094 | )
|  |  | 1.350 |  |  |  | 11/22/2019 |  |  |  | 02/24/2020 |  |  |  | GBP |  |  |  | (4,140 | ) |  |  | (5,493 | )
|  |  | 1.614 |  |  |  | 10/15/2019 |  |  |  | 01/15/2020 |  |  |  |  |  |  |  | (3,829 | ) |  |  | (5,089 | )
|  |  | 2.250 |  |  |  | 11/01/2019 |  |  |  | TBD | (3) |  |  | $ |  |  |  | (8,216 | ) |  |  | (8,248 | )
|  |  | 2.300 |  |  |  | 12/06/2019 |  |  |  | 01/08/2020 |  |  |  |  |  |  |  | (4,687 | ) |  |  | (4,695 | )
|  |  | 2.300 |  |  |  | 12/13/2019 |  |  |  | 01/10/2020 |  |  |  |  |  |  |  | (3,632 | ) |  |  | (3,637 | )
|  |  | 2.400 |  |  |  | 12/06/2019 |  |  |  | 01/08/2020 |  |  |  |  |  |  |  | (991 | ) |  |  | (993 | )
|  |  | 2.450 |  |  |  | 11/01/2019 |  |  |  | 01/30/2020 |  |  |  |  |  |  |  | (3,919 | ) |  |  | (3,936 | )
|  |  | 2.450 |  |  |  | 11/12/2019 |  |  |  | 02/10/2020 |  |  |  |  |  |  |  | (2,797 | ) |  |  | (2,807 | )
|  |  | 2.450 |  |  |  | 11/13/2019 |  |  |  | 02/11/2020 |  |  |  |  |  |  |  | (1,961 | ) |  |  | (1,968 | )
|  |  | 2.450 |  |  |  | 11/14/2019 |  |  |  | 01/07/2020 |  |  |  |  |  |  |  | (1,346 | ) |  |  | (1,350 | )
|  |  | 2.450 |  |  |  | 11/18/2019 |  |  |  | 01/07/2020 |  |  |  |  |  |  |  | (6,780 | ) |  |  | (6,803 | )
|  |  | 2.450 |  |  |  | 11/21/2019 |  |  |  | 02/19/2020 |  |  |  |  |  |  |  | (2,731 | ) |  |  | (2,739 | )
|  |  | 2.450 |  |  |  | 12/06/2019 |  |  |  | 01/30/2020 |  |  |  |  |  |  |  | (2,463 | ) |  |  | (2,468 | )
|  |  | 2.450 |  |  |  | 12/31/2019 |  |  |  | 01/07/2020 |  |  |  |  |  |  |  | (5,735 | ) |  |  | (5,735 | )
|  |  | 2.450 |  |  |  | 12/31/2019 |  |  |  | 02/19/2020 |  |  |  |  |  |  |  | (1,559 | ) |  |  | (1,559 | )
|  |  | 2.500 |  |  |  | 10/25/2019 |  |  |  | 01/24/2020 |  |  |  |  |  |  |  | (1,138 | ) |  |  | (1,143 | )
|  |  | 2.500 |  |  |  | 11/14/2019 |  |  |  | 01/07/2020 |  |  |  |  |  |  |  | (189 | ) |  |  | (190 | )
|  |  | 2.550 |  |  |  | 11/13/2019 |  |  |  | 02/11/2020 |  |  |  |  |  |  |  | (1,656 | ) |  |  | (1,662 | )
Total Reverse Repurchase Agreements |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | (206,968 | )

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, 2019:

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 |  |  | $ | (19,904 | ) |  | $ | 0 |  |  | $ | (19,904 | ) |  | $ | 21,260 |  |  | $ | 1,356 |
BRC |  |  | 0 |  |  |  | (12,185 | ) |  |  | 0 |  |  |  | (12,185 | ) |  |  | 14,862 |  |  |  | 2,677 |
CEW |  |  | 0 |  |  |  | (106 | ) |  |  | 0 |  |  |  | (106 | ) |  |  | 117 |  |  |  | 11 |
DBL |  |  | 0 |  |  |  | (3,569 | ) |  |  | 0 |  |  |  | (3,569 | ) |  |  | 3,923 |  |  |  | 354 |
FICC |  |  | 859 |  |  |  | 0 |  |  |  | 0 |  |  |  | 859 |  |  |  | (878 | ) |  |  | (19 | )
FOB |  |  | 0 |  |  |  | (2,289 | ) |  |  | 0 |  |  |  | (2,289 | ) |  |  | 2,450 |  |  |  | 161 |
JML |  |  | 0 |  |  |  | (27,641 | ) |  |  | 0 |  |  |  | (27,641 | ) |  |  | 31,714 |  |  |  | 4,073 |
MBC |  |  | 0 |  |  |  | (23,294 | ) |  |  | 0 |  |  |  | (23,294 | ) |  |  | 29,802 |  |  |  | 6,508 |
MEI |  |  | 0 |  |  |  | (1,414 | ) |  |  | 0 |  |  |  | (1,414 | ) |  |  | 1,661 |  |  |  | 247 |
MSB |  |  | 0 |  |  |  | (6,347 | ) |  |  | 0 |  |  |  | (6,347 | ) |  |  | 8,651 |  |  |  | 2,304 |
NOM |  |  | 13,301 |  |  |  | (15,270 | ) |  |  | 0 |  |  |  | (1,969 | ) |  |  | 3,400 |  |  |  | 1,431 |
RDR |  |  | 0 |  |  |  | (131 | ) |  |  | 0 |  |  |  | (131 | ) |  |  | 135 |  |  |  | 4 |
RTA |  |  | 0 |  |  |  | (9,252 | ) |  |  | 0 |  |  |  | (9,252 | ) |  |  | 11,175 |  |  |  | 1,923 |
SAL |  |  | 0 |  |  |  | (6,408 | ) |  |  | 0 |  |  |  | (6,408 | ) |  |  | 8,266 |  |  |  | 1,858 |
SOG |  |  | 0 |  |  |  | (17,549 | ) |  |  | 0 |  |  |  | (17,549 | ) |  |  | 19,091 |  |  |  | 1,542 |
UBS |  |  | 0 |  |  |  | (61,609 | ) |  |  | 0 |  |  |  | (61,609 | ) |  |  | 72,640 |  |  |  | 11,031 |
Total Borrowings and Other Financing Transactions |  | $ | 14,160 |  |  | $ | (206,968 | ) |  | $ | 0 |  |  |  |  |  |  |  |  |  |  |  |  |

See Accompanying Notes |  | SEMIANNUAL REPORT |  | DECEMBER 31, 2019 |  | 61

Schedule of Investments PIMCO Income Opportunity 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 |  |  | $ | (69,460 | ) |  | $ | (46,007 | ) |  | $ | (13,823 | ) |  | $ | (129,290 | )
U.S. Government Agencies |  |  | 0 |  |  |  | 0 |  |  |  | (3,084 | ) |  |  | 0 |  |  |  | (3,084 | )
Non-Agency Mortgage-Backed Securities |  |  | 0 |  |  |  | (11,203 | ) |  |  | (17,387 | ) |  |  | (6,347 | ) |  |  | (34,937 | )
Asset-Backed Securities |  |  | 0 |  |  |  | (5,562 | ) |  |  | (14,906 | ) |  |  | 0 |  |  |  | (20,468 | )
Sovereign Issues |  |  | 0 |  |  |  | (2,861 | ) |  |  | (1,738 | ) |  |  | 0 |  |  |  | (4,599 | )
Common Stocks |  |  | 0 |  |  |  | (10,468 | ) |  |  | 0 |  |  |  | 0 |  |  |  | (10,468 | )
Preferred Securities |  |  | 0 |  |  |  | (993 | ) |  |  | 0 |  |  |  | 0 |  |  |  | (993 | )
Total Borrowings |  | $ | 0 |  |  | $ | (100,547 | ) |  | $ | (83,122 | ) |  | $ | (20,170 | ) |  | $ | (203,839 | )
Payable for reverse repurchase agreements(5) |  |  | $ | (203,839 | )

(m) | Securities with an aggregate market value of $244,459 and cash of $495 have been pledged as collateral under the terms of the above master agreements as of December 31, 2019.

(1) | Includes accrued interest.

(2) | The average amount of borrowings outstanding during the period ended December 31, 2019 was $(195,662) at a weighted average interest rate of 2.442%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.

(3) | Open maturity reverse repurchase agreement.

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

(5) | Unsettled reverse repurchase agreements liability of $(3,129) is outstanding at period end.

(n) 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, 2019(2) |  |  | Notional Amount(3) |  |  | Premiums Paid/(Received) |  |  | Unrealized Appreciation/ (Depreciation) |  |  | Market Value(4) |  |  | Variation Margin |
| Asset |  |  | Liability |
Bombardier, Inc. |  |  | 5.000 | % |  |  | Quarterly |  |  |  | 06/20/2024 |  |  |  | 3.485 | % |  | $ | 800 |  |  | $ | (1 | ) |  | $ | 50 |  |  | $ | 49 |  |  | $ | 0 |  |  | $ | 0 |
Bombardier, Inc. |  |  | 5.000 |  |  |  | Quarterly |  |  |  | 12/20/2024 |  |  |  | 3.682 |  |  |  | 300 |  |  |  | (1 | ) |  |  | 19 |  |  |  | 18 |  |  |  | 0 |  |  |  | 0 |
Frontier Communications Corp. |  |  | 5.000 |  |  |  | Quarterly |  |  |  | 06/20/2020 |  |  |  | 195.572 |  |  |  | 4,200 |  |  |  | (139 | ) |  |  | (1,749 | ) |  |  | (1,888 | ) |  |  | 0 |  |  |  | (33 | )
Sprint Communications, Inc. |  |  | 5.000 |  |  |  | Quarterly |  |  |  | 12/20/2021 |  |  |  | 1.142 |  |  |  | 1,000 |  |  |  | 22 |  |  |  | 54 |  |  |  | 76 |  |  |  | 0 |  |  |  | 0 |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | (119 | ) |  | $ | (1,626 | ) |  | $ | (1,745 | ) |  | $ | 0 |  |  | $ | (33 | )

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 |  | 3-Month CAD-Bank Bill |  |  | 3.300 | % |  | Semi-Annual |  |  | 06/19/2024 |  |  |  | CAD |  |  |  | 13,300 |  |  | $ | 618 |  |  | $ | (62 | ) |  | $ | 556 |  |  | $ | 0 |  |  | $ | (20 | )
Receive |  | 3-Month CAD-Bank Bill |  |  | 3.500 |  |  | Semi-Annual |  |  | 06/20/2044 |  |  |  |  |  |  |  | 4,400 |  |  |  | (154 | ) |  |  | (634 | ) |  |  | (788 | ) |  |  | 77 |  |  |  | 0 |
Pay |  | 3-Month USD-LIBOR |  |  | 2.860 |  |  | Semi-Annual |  |  | 04/26/2023 |  |  |  | $ |  |  |  | 8,700 |  |  |  | (24 | ) |  |  | 364 |  |  |  | 340 |  |  |  | 0 |  |  |  | (5 | )
Pay |  | 3-Month USD-LIBOR |  |  | 2.750 |  |  | Semi-Annual |  |  | 12/19/2023 |  |  |  |  |  |  |  | 35,800 |  |  |  | (332 | ) |  |  | 1,775 |  |  |  | 1,443 |  |  |  | 0 |  |  |  | (29 | )
Pay |  | 3-Month USD-LIBOR |  |  | 1.500 |  |  | Semi-Annual |  |  | 06/21/2027 |  |  |  |  |  |  |  | 22,000 |  |  |  | (1,596 | ) |  |  | 1,091 |  |  |  | (505 | ) |  |  | 0 |  |  |  | (48 | )
Pay |  | 3-Month USD-LIBOR |  |  | 2.500 |  |  | Semi-Annual |  |  | 12/20/2027 |  |  |  |  |  |  |  | 9,100 |  |  |  | 152 |  |  |  | 305 |  |  |  | 457 |  |  |  | 0 |  |  |  | (24 | )
Pay |  | 3-Month USD-LIBOR |  |  | 2.250 |  |  | Semi-Annual |  |  | 06/20/2028 |  |  |  |  |  |  |  | 52,200 |  |  |  | (3,334 | ) |  |  | 4,955 |  |  |  | 1,621 |  |  |  | 0 |  |  |  | (128 | )
Pay |  | 3-Month USD-LIBOR |  |  | 3.000 |  |  | Semi-Annual |  |  | 06/19/2029 |  |  |  |  |  |  |  | 21,300 |  |  |  | 1,691 |  |  |  | 384 |  |  |  | 2,075 |  |  |  | 0 |  |  |  | (63 | )
Receive(5) |  | 3-Month USD-LIBOR |  |  | 2.000 |  |  | Semi-Annual |  |  | 01/15/2050 |  |  |  |  |  |  |  | 1,200 |  |  |  | (9 | ) |  |  | 40 |  |  |  | 31 |  |  |  | 13 |  |  |  | 0 |
Receive(5) |  | 3-Month USD-LIBOR |  |  | 1.625 |  |  | Semi-Annual |  |  | 02/03/2050 |  |  |  |  |  |  |  | 2,300 |  |  |  | (2 | ) |  |  | 260 |  |  |  | 258 |  |  |  | 25 |  |  |  | 0 |
Receive(5) |  | 3-Month USD-LIBOR |  |  | 2.250 |  |  | Semi-Annual |  |  | 03/12/2050 |  |  |  |  |  |  |  | 2,800 |  |  |  | (8 | ) |  |  | (79 | ) |  |  | (87 | ) |  |  | 32 |  |  |  | 0 |
Pay |  | 6-Month AUD-BBR-BBSW |  |  | 3.500 |  |  | Semi-Annual |  |  | 06/17/2025 |  |  |  | AUD |  |  |  | 5,200 |  |  |  | 129 |  |  |  | 321 |  |  |  | 450 |  |  |  | 0 |  |  |  | (6 | )
Receive(5) |  | 6-Month EUR-EURIBOR |  |  | 0.150 |  |  | Annual |  |  | 03/18/2030 |  |  |  | EUR |  |  |  | 10,100 |  |  |  | 185 |  |  |  | 243 |  |  |  | 428 |  |  |  | 55 |  |  |  | 0 |
Receive(5) |  | 6-Month GBP-LIBOR |  |  | 0.750 |  |  | Semi-Annual |  |  | 03/18/2030 |  |  |  | GBP |  |  |  | 22,950 |  |  |  | 239 |  |  |  | 566 |  |  |  | 805 |  |  |  | 177 |  |  |  | 0 |
Receive(5) |  | 6-Month GBP-LIBOR |  |  | 0.750 |  |  | Semi-Annual |  |  | 03/18/2050 |  |  |  |  |  |  |  | 6,000 |  |  |  | 126 |  |  |  | 632 |  |  |  | 758 |  |  |  | 127 |  |  |  | 0 |
|  |  |  |  |  |  |  |  |  |  | $ | (2,319 | ) |  | $ | 10,161 |  |  | $ | 7,842 |  |  | $ | 506 |  |  | $ | (323 | )
Total Swap Agreements |  |  |  |  |  |  | $ | (2,438 | ) |  | $ | 8,535 |  |  | $ | 6,097 |  |  | $ | 506 |  |  | $ | (356 | )

62 |  | PIMCO CLOSED-END FUNDS |  |  |  |  | See Accompanying Notes |

December 31, 2019 (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, 2019:

|  | 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 |  |  | $ | 506 |  |  | $ | 506 |  |  |  |  |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | (356) |  |  | $ | (356) |

Cash of $7,903 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2019. 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.

(o) 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 |
BPS |  |  | 01/2020 |  |  | EUR |  |  | 286 |  |  | $ |  |  | 320 |  |  | $ | 0 |  |  | $ | (1 | )
|  |  | 01/2020 |  |  | GBP |  |  | 35,511 |  |  |  |  |  | 45,985 |  |  |  | 0 |  |  |  | (1,063 | )
|  |  | 01/2020 |  |  | $ |  |  | 40 |  |  | CLP |  |  | 30,960 |  |  |  | 1 |  |  |  | 0 |
|  |  | 01/2020 |  |  |  |  |  | 851 |  |  | EUR |  |  | 760 |  |  |  | 2 |  |  |  | 0 |
|  |  | 01/2020 |  |  |  |  |  | 1,699 |  |  | GBP |  |  | 1,284 |  |  |  | 8 |  |  |  | (6 | )
|  |  | 02/2020 |  |  | PEN |  |  | 1,986 |  |  | $ |  |  | 585 |  |  |  | 0 |  |  |  | (13 | )
BRC |  |  | 01/2020 |  |  | $ |  |  | 219 |  |  | EUR |  |  | 196 |  |  |  | 1 |  |  |  | 0 |
CBK |  |  | 01/2020 |  |  | BRL |  |  | 4,512 |  |  | $ |  |  | 1,110 |  |  |  | 0 |  |  |  | (12 | )
|  |  | 01/2020 |  |  | EUR |  |  | 2,110 |  |  |  |  |  | 2,343 |  |  |  | 0 |  |  |  | (25 | )
|  |  | 01/2020 |  |  | $ |  |  | 1,119 |  |  | BRL |  |  | 4,512 |  |  |  | 2 |  |  |  | 0 |
|  |  | 01/2020 |  |  |  |  |  | 258 |  |  | CLP |  |  | 202,508 |  |  |  | 11 |  |  |  | 0 |
|  |  | 01/2020 |  |  |  |  |  | 2,048 |  |  | EUR |  |  | 1,845 |  |  |  | 22 |  |  |  | 0 |
|  |  | 01/2020 |  |  |  |  |  | 108 |  |  | TRY |  |  | 623 |  |  |  | 0 |  |  |  | (3 | )
|  |  | 02/2020 |  |  |  |  |  | 1,108 |  |  | BRL |  |  | 4,512 |  |  |  | 12 |  |  |  | 0 |
FBF |  |  | 01/2020 |  |  | BRL |  |  | 4,486 |  |  | $ |  |  | 1,113 |  |  |  | 0 |  |  |  | (2 | )
|  |  | 01/2020 |  |  | $ |  |  | 1,062 |  |  | BRL |  |  | 4,486 |  |  |  | 53 |  |  |  | 0 |
GLM |  |  | 01/2020 |  |  | BRL |  |  | 26 |  |  | $ |  |  | 6 |  |  |  | 0 |  |  |  | 0 |
|  |  | 01/2020 |  |  | GBP |  |  | 577 |  |  |  |  |  | 757 |  |  |  | 0 |  |  |  | (8 | )
|  |  | 01/2020 |  |  | $ |  |  | 6 |  |  | BRL |  |  | 26 |  |  |  | 0 |  |  |  | 0 |
|  |  | 01/2020 |  |  |  |  |  | 10 |  |  | CLP |  |  | 7,853 |  |  |  | 1 |  |  |  | 0 |
|  |  | 01/2020 |  |  |  |  |  | 1,958 |  |  | TRY |  |  | 11,477 |  |  |  | 0 |  |  |  | (38 | )
|  |  | 02/2020 |  |  |  |  |  | 3,984 |  |  | RUB |  |  | 255,394 |  |  |  | 111 |  |  |  | 0 |
HUS |  |  | 01/2020 |  |  | AUD |  |  | 178 |  |  | $ |  |  | 121 |  |  |  | 0 |  |  |  | (4 | )
|  |  | 01/2020 |  |  | GBP |  |  | 571 |  |  |  |  |  | 753 |  |  |  | 0 |  |  |  | (3 | )
|  |  | 01/2020 |  |  | $ |  |  | 13 |  |  | CLP |  |  | 10,192 |  |  |  | 1 |  |  |  | 0 |
|  |  | 01/2020 |  |  |  |  |  | 3,518 |  |  | GBP |  |  | 2,725 |  |  |  | 93 |  |  |  | 0 |
JPM |  |  | 01/2020 |  |  |  |  |  | 3,713 |  |  | MXN |  |  | 72,746 |  |  |  | 124 |  |  |  | 0 |
MYI |  |  | 01/2020 |  |  | EUR |  |  | 33,375 |  |  | $ |  |  | 36,903 |  |  |  | 0 |  |  |  | (550 | )
|  |  | 03/2020 |  |  | $ |  |  | 2,290 |  |  | RUB |  |  | 148,788 |  |  |  | 88 |  |  |  | 0 |

See Accompanying Notes |  | SEMIANNUAL REPORT |  | DECEMBER 31, 2019 |  | 63

Schedule of Investments PIMCO Income Opportunity Fund (Cont.)

Counterparty |  | Settlement Month |  |  | Currency to be Delivered |  |  | Currency to be Received |  |  | Unrealized Appreciation/ (Depreciation) |
| Asset |  |  | Liability |
RYL |  |  | 01/2020 |  |  | CLP |  |  | 72,402 |  |  | $ |  |  | 95 |  |  | $ | 0 |  |  | $ | (1 | )
|  |  | 01/2020 |  |  | MXN |  |  | 72,746 |  |  |  |  |  | 3,765 |  |  |  | 0 |  |  |  | (72 | )
|  |  | 01/2020 |  |  | $ |  |  | 108 |  |  | CLP |  |  | 82,606 |  |  |  | 2 |  |  |  | 0 |
|  |  | 05/2020 |  |  |  |  |  | 3,708 |  |  | MXN |  |  | 72,746 |  |  |  | 70 |  |  |  | 0 |
TOR |  |  | 01/2020 |  |  |  |  |  | 68 |  |  | CLP |  |  | 53,417 |  |  |  | 3 |  |  |  | 0 |
|  |  | 01/2020 |  |  |  |  |  | 1,328 |  |  | GBP |  |  | 1,021 |  |  |  | 25 |  |  |  | 0 |
Total Forward Foreign Currency Contracts |  |  | $ | 630 |  |  | $ | (1,801 | )

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, 2019(2) |  |  | Notional Amount(3) |  |  | Premiums Paid/(Received) |  |  | Unrealized Appreciation/ (Depreciation) |  |  | Swap Agreements, at Value |
| Asset |  |  | Liability |
BRC |  | Russia Government International Bond |  |  | 1.000 | % |  | Quarterly |  |  | 09/20/2024 |  |  |  | 0.521 | % |  | $ | 300 |  |  | $ | (25 | ) |  | $ | 32 |  |  | $ | 7 |  |  | $ | 0 |
CBK |  | Russia Government International Bond |  |  | 1.000 |  |  | Quarterly |  |  | 09/20/2024 |  |  |  | 0.521 |  |  |  | 300 |  |  |  | (26 | ) |  |  | 33 |  |  |  | 7 |  |  |  | 0 |
GST |  | Russia Government International Bond |  |  | 1.000 |  |  | Quarterly |  |  | 03/20/2020 |  |  |  | 0.044 |  |  |  | 100 |  |  |  | (18 | ) |  |  | 18 |  |  |  | 0 |  |  |  | 0 |
|  | Russia Government International Bond |  |  | 1.000 |  |  | Quarterly |  |  | 12/20/2024 |  |  |  | 0.556 |  |  |  | 1,300 |  |  |  | 9 |  |  |  | 19 |  |  |  | 28 |  |  |  | 0 |
|  | Teva Pharmaceutical Finance Co. BV |  |  | 1.000 |  |  | Quarterly |  |  | 06/20/2022 |  |  |  | 2.310 |  |  |  | 100 |  |  |  | (6 | ) |  |  | 3 |  |  |  | 0 |  |  |  | (3 | )
HUS |  | Russia Government International Bond |  |  | 1.000 |  |  | Quarterly |  |  | 09/20/2024 |  |  |  | 0.521 |  |  |  | 69 |  |  |  | (9 | ) |  |  | 10 |  |  |  | 1 |  |  |  | 0 |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | (75 | ) |  | $ | 115 |  |  | $ | 43 |  |  | $ | (3 | )

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

Counterparty |  | Index/Tranches |  | Fixed Receive Rate |  |  | Payment Frequency |  | Maturity Date |  |  | Notional Amount(3) |  |  | Premiums Paid/(Received) |  |  | Unrealized Appreciation/ (Depreciation) |  |  | Swap Agreements, at Value(4) |
| Asset |  |  | Liability |
GST |  | ABX.HE.AA.6-1 Index |  |  | 0.320 | % |  | Monthly |  |  | 07/25/2045 |  |  | $ |  |  |  |  | 11,681 |  |  | $ | (2,325 | ) |  | $ | 1,686 |  |  | $ | 0 |  |  | $ | (639 | )
|  | ABX.HE.PENAAA.7-1 Index |  |  | 0.090 |  |  | Monthly |  |  | 08/25/2037 |  |  |  |  |  |  |  | 3,033 |  |  |  | (587 | ) |  |  | 193 |  |  |  | 0 |  |  |  | (394 | )
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | (2,912 | ) |  | $ | 1,879 |  |  | $ | 0 |  |  | $ | (1,033 | )
Total Swap Agreements |  |  | $ | (2,987 | ) |  | $ | 1,994 |  |  | $ | 43 |  |  | $ | (1,036 | )

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 as of December 31, 2019:

|  | 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 |  |  | Net Exposure(5) |
BPS |  | $ | 11 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 11 |  |  |  |  |  |  | $ | (1,083 | ) |  | $ | 0 |  |  | $ | 0 |  |  | $ | (1,083 | ) |  | $ | (1,072 | ) |  | $ | 555 |  |  | $ | (517 | )
BRC |  |  | 1 |  |  |  | 0 |  |  |  | 7 |  |  |  | 8 |  |  |  |  |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 8 |  |  |  | 0 |  |  |  | 8 |
CBK |  |  | 47 |  |  |  | 0 |  |  |  | 7 |  |  |  | 54 |  |  |  |  |  |  |  | (40 | ) |  |  | 0 |  |  |  | 0 |  |  |  | (40 | ) |  |  | 14 |  |  |  | 0 |  |  |  | 14 |
FBF |  |  | 53 |  |  |  | 0 |  |  |  | 0 |  |  |  | 53 |  |  |  |  |  |  |  | (2 | ) |  |  | 0 |  |  |  | 0 |  |  |  | (2 | ) |  |  | 51 |  |  |  | 0 |  |  |  | 51 |
GLM |  |  | 112 |  |  |  | 0 |  |  |  | 0 |  |  |  | 112 |  |  |  |  |  |  |  | (46 | ) |  |  | 0 |  |  |  | 0 |  |  |  | (46 | ) |  |  | 66 |  |  |  | 0 |  |  |  | 66 |
GST |  |  | 0 |  |  |  | 0 |  |  |  | 28 |  |  |  | 28 |  |  |  |  |  |  |  | 0 |  |  |  | 0 |  |  |  | (1,036 | ) |  |  | (1,036 | ) |  |  | (1,008 | ) |  |  | 1,452 |  |  |  | 444 |
HUS |  |  | 94 |  |  |  | 0 |  |  |  | 1 |  |  |  | 95 |  |  |  |  |  |  |  | (7 | ) |  |  | 0 |  |  |  | 0 |  |  |  | (7 | ) |  |  | 88 |  |  |  | 0 |  |  |  | 88 |
JPM |  |  | 124 |  |  |  | 0 |  |  |  | 0 |  |  |  | 124 |  |  |  |  |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 124 |  |  |  | 0 |  |  |  | 124 |
MYI |  |  | 88 |  |  |  | 0 |  |  |  | 0 |  |  |  | 88 |  |  |  |  |  |  |  | (550 | ) |  |  | 0 |  |  |  | 0 |  |  |  | (550 | ) |  |  | (462 | ) |  |  | 270 |  |  |  | (192 | )
RYL |  |  | 72 |  |  |  | 0 |  |  |  | 0 |  |  |  | 72 |  |  |  |  |  |  |  | (73 | ) |  |  | 0 |  |  |  | 0 |  |  |  | (73 | ) |  |  | (1 | ) |  |  | 0 |  |  |  | (1 | )
TOR |  |  | 28 |  |  |  | 0 |  |  |  | 0 |  |  |  | 28 |  |  |  |  |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 28 |  |  |  | 0 |  |  |  | 28 |
Total Over the Counter |  | $ | 630 |  |  | $ | 0 |  |  | $ | 43 |  |  | $ | 673 |  |  |  |  |  |  | $ | (1,801 | ) |  | $ | 0 |  |  | $ | (1,036 | ) |  | $ | (2,837 | ) |  |  |  |  |  |  |  |  |  |  |  |

(p) | Securities with an aggregate market value of $2,277 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2019.

(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.

64 |  | PIMCO CLOSED-END FUNDS |  |  |  |  | See Accompanying Notes |

December 31, 2019 (Unaudited)

(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 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, 2019:

|  | 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 |  |  | $ | 506 |  |  | $ | 506 |
Over the counter |
Forward Foreign Currency Contracts |  | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 630 |  |  | $ | 0 |  |  | $ | 630 |
Swap Agreements |  |  | 0 |  |  |  | 43 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 43 |
|  | $ | 0 |  |  | $ | 43 |  |  | $ | 0 |  |  | $ | 630 |  |  | $ | 0 |  |  | $ | 673 |
|  | $ | 0 |  |  | $ | 43 |  |  | $ | 0 |  |  | $ | 630 |  |  | $ | 506 |  |  | $ | 1,179 |
Financial Derivative Instruments - Liabilities |
Exchange-traded or centrally cleared |
Swap Agreements |  | $ | 0 |  |  | $ | 33 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 323 |  |  | $ | 356 |
Over the counter |
Forward Foreign Currency Contracts |  | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 1,801 |  |  | $ | 0 |  |  | $ | 1,801 |
Swap Agreements |  |  | 0 |  |  |  | 1,036 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 1,036 |
|  | $ | 0 |  |  | $ | 1,036 |  |  | $ | 0 |  |  | $ | 1,801 |  |  | $ | 0 |  |  | $ | 2,837 |
|  | $ | 0 |  |  | $ | 1,069 |  |  | $ | 0 |  |  | $ | 1,801 |  |  | $ | 323 |  |  | $ | 3,193 |

The effect of Financial Derivative Instruments on the Statements of Operations for the period ended December 31, 2019:

|  | Derivatives not accounted for as hedging instruments |
|  | Commodity Contracts |  |  | Credit Contracts |  |  | Equity Contracts |  |  | Foreign Exchange Contracts |  |  | Interest Rate Contracts |  |  | Total |
Net Realized Gain (Loss) on Financial Derivative Instruments |
Exchange-traded or centrally cleared |
Swap Agreements |  | $ | 0 |  |  | $ | 204 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | (11,862 | ) |  | $ | (11,658 | )
Over the counter |
Forward Foreign Currency Contracts |  | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 1,268 |  |  | $ | 0 |  |  | $ | 1,268 |
Swap Agreements |  |  | 0 |  |  |  | 497 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 497 |
|  | $ | 0 |  |  | $ | 497 |  |  | $ | 0 |  |  | $ | 1,268 |  |  | $ | 0 |  |  | $ | 1,765 |
|  | $ | 0 |  |  | $ | 701 |  |  | $ | 0 |  |  | $ | 1,268 |  |  | $ | (11,862 | ) |  | $ | (9,893 | )
Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative Instruments |
Exchange-traded or centrally cleared |
Swap Agreements |  | $ | 0 |  |  | $ | (864 | ) |  | $ | 0 |  |  | $ | 0 |  |  | $ | 9,508 |  |  | $ | 8,644 |
Over the counter |
Forward Foreign Currency Contracts |  | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | (628 | ) |  | $ | 0 |  |  | $ | (628 | )
Swap Agreements |  |  | 0 |  |  |  | (331 | ) |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | (331 | )
|  | $ | 0 |  |  | $ | (331 | ) |  | $ | 0 |  |  | $ | (628 | ) |  | $ | 0 |  |  | $ | (959 | )
|  | $ | 0 |  |  | $ | (1,195 | ) |  | $ | 0 |  |  | $ | (628 | ) |  | $ | 9,508 |  |  | $ | 7,685 |

See Accompanying Notes |  | SEMIANNUAL REPORT |  | DECEMBER 31, 2019 |  | 65

Schedule of Investments PIMCO Income Opportunity Fund (Cont.)

FAIR VALUE MEASUREMENTS

The following is a summary of the fair valuations according to the inputs used as of December 31, 2019 in valuing the Fund’s assets and liabilities:

Category and Subcategory |  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Fair Value at 12/31/2019 |
Investments in Securities, at Value |
Loan Participations and Assignments |  | $ | 0 |  |  | $ | 70,697 |  |  | $ | 25,835 |  |  | $ | 96,532 |
Corporate Bonds & Notes |
Banking & Finance |  |  | 0 |  |  |  | 76,083 |  |  |  | 3,104 |  |  |  | 79,187 |
Industrials |  |  | 0 |  |  |  | 104,398 |  |  |  | 344 |  |  |  | 104,742 |
Utilities |  |  | 0 |  |  |  | 36,490 |  |  |  | 0 |  |  |  | 36,490 |
Convertible Bonds & Notes |
Industrials |  |  | 0 |  |  |  | 63 |  |  |  | 0 |  |  |  | 63 |
Utilities |  |  | 0 |  |  |  | 13 |  |  |  | 0 |  |  |  | 13 |
Municipal Bonds & Notes |
Illinois |  |  | 0 |  |  |  | 406 |  |  |  | 0 |  |  |  | 406 |
Iowa |  |  | 0 |  |  |  | 122 |  |  |  | 0 |  |  |  | 122 |
West Virginia |  |  | 0 |  |  |  | 3,844 |  |  |  | 0 |  |  |  | 3,844 |
U.S. Government Agencies |  |  | 0 |  |  |  | 8,096 |  |  |  | 0 |  |  |  | 8,096 |
Non-Agency Mortgage-Backed Securities |  |  | 0 |  |  |  | 118,843 |  |  |  | 460 |  |  |  | 119,303 |
Asset-Backed Securities |  |  | 0 |  |  |  | 110,682 |  |  |  | 3,304 |  |  |  | 113,986 |
Sovereign Issues |  |  | 0 |  |  |  | 22,138 |  |  |  | 0 |  |  |  | 22,138 |
Common Stocks |
Communication Services |  |  | 1,383 |  |  |  | 4 |  |  |  | 0 |  |  |  | 1,387 |
Consumer Discretionary |  |  | 2,987 |  |  |  | 0 |  |  |  | 0 |  |  |  | 2,987 |
Energy |  |  | 108 |  |  |  | 0 |  |  |  | 220 |  |  |  | 328 |
Industrials |  |  | 0 |  |  |  | 0 |  |  |  | 39 |  |  |  | 39 |
Utilities |  |  | 172 |  |  |  | 0 |  |  |  | 1,205 |  |  |  | 1,377 |
Warrants |
Communication Services |  |  | 0 |  |  |  | 2,227 |  |  |  | 0 |  |  |  | 2,227 |
Industrials |  |  | 0 |  |  |  | 0 |  |  |  | 604 |  |  |  | 604 |
Preferred Securities |
Banking & Finance |  |  | 0 |  |  |  | 18,952 |  |  |  | 0 |  |  |  | 18,952 |
Industrials |  |  | 0 |  |  |  | 171 |  |  |  | 7,536 |  |  |  | 7,707 |

Category and Subcategory |  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Fair Value at 12/31/2019 |
Real Estate Investment Trusts |
Real Estate |  | $ | 8,690 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 8,690 |
Short-Term Instruments |
Repurchase Agreements |  |  | 0 |  |  |  | 14,159 |  |  |  | 0 |  |  |  | 14,159 |
Argentina Treasury Bills |  |  | 0 |  |  |  | 371 |  |  |  | 204 |  |  |  | 575 |
U.S. Treasury Bills |  |  | 0 |  |  |  | 3,161 |  |  |  | 0 |  |  |  | 3,161 |
Total Investments |  | $ | 13,340 |  |  | $ | 590,920 |  |  | $ | 42,855 |  |  | $ | 647,115 |
Financial Derivative Instruments - Assets |
Exchange-traded or centrally cleared |  |  | 0 |  |  |  | 506 |  |  |  | 0 |  |  |  | 506 |
Over the counter |  |  | 0 |  |  |  | 673 |  |  |  | 0 |  |  |  | 673 |
|  | $ | 0 |  |  | $ | 1,179 |  |  | $ | 0 |  |  | $ | 1,179 |
Financial Derivative Instruments - Liabilities |
Exchange-traded or centrally cleared |  |  | 0 |  |  |  | (356 | ) |  |  | 0 |  |  |  | (356 | )
Over the counter |  |  | 0 |  |  |  | (2,837 | ) |  |  | 0 |  |  |  | (2,837 | )
|  | $ | 0 |  |  | $ | (3,193 | ) |  | $ | 0 |  |  | $ | (3,193 | )
Total Financial Derivative Instruments |  | $ | 0 |  |  | $ | (2,014 | ) |  | $ | 0 |  |  | $ | (2,014 | )
Totals |  | $ | 13,340 |  |  | $ | 588,906 |  |  | $ | 42,855 |  |  | $ | 645,101 |

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended December 31, 2019:

Category and Subcategory |  | Beginning Balance at 06/30/2019 |  |  | Net Purchases |  |  | Net Sales/Settlements |  |  | Accrued Discounts/ (Premiums) |  |  | Realized Gain/(Loss) |  |  | Net Change in Unrealized Appreciation/ (Depreciation)(1) |  |  | Transfers into Level 3 |  |  | Transfers out of Level 3 |  |  | Ending Balance at 12/31/2019 |  |  | Net Change in Unrealized Appreciation/ (Depreciation) on Investments Held at 12/31/2019(1) |
Investments in Securities, at Value |
Loan Participations and Assignments |  | $ | 4,501 |  |  | $ | 26,112 |  |  | $ | (146 | ) |  | $ | 49 |  |  | $ | 2 |  |  | $ | 123 |  |  | $ | 0 |  |  | $ | (4,806 | ) |  | $ | 25,835 |  |  | $ | 377 |
Corporate Bonds & Notes |
Banking & Finance |  |  | 2,995 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 109 |  |  |  | 0 |  |  |  | 0 |  |  |  | 3,104 |  |  |  | 109 |
Industrials |  |  | 0 |  |  |  | 413 |  |  |  | 0 |  |  |  | 3 |  |  |  | 0 |  |  |  | (72 | ) |  |  | 0 |  |  |  | 0 |  |  |  | 344 |  |  |  | (72 | )
Non-Agency Mortgage-Backed Securities |  |  | 513 |  |  |  | 0 |  |  |  | (32 | ) |  |  | 3 |  |  |  | 0 |  |  |  | (24 | ) |  |  | 0 |  |  |  | 0 |  |  |  | 460 |  |  |  | (24 | )
Asset-Backed Securities |  |  | 2,332 |  |  |  | 0 |  |  |  | 0 |  |  |  | (4 | ) |  |  | 0 |  |  |  | (234 | ) |  |  | 1,210 |  |  |  | 0 |  |  |  | 3,304 |  |  |  | (234 | )
Common Stocks |
Energy |  |  | 379 |  |  |  | 72 |  |  |  | (94 | ) |  |  | 0 |  |  |  | (5 | ) |  |  | (31 | ) |  |  | 0 |  |  |  | (101 | ) |  |  | 220 |  |  |  | 138 |
Industrials |  |  | 58 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | (19 | ) |  |  | 0 |  |  |  | 0 |  |  |  | 39 |  |  |  | (19 | )
Utilities |  |  | 1,323 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | (118 | ) |  |  | 0 |  |  |  | 0 |  |  |  | 1,205 |  |  |  | (118 | )
Warrants |
Industrials |  |  | 329 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 275 |  |  |  | 0 |  |  |  | 0 |  |  |  | 604 |  |  |  | 276 |
Preferred Securities |
Industrials |  |  | 6,546 |  |  |  | 393 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 597 |  |  |  | 0 |  |  |  | 0 |  |  |  | 7,536 |  |  |  | 598 |
Short term |
Argentina Treasury Bills |  |  | 0 |  |  |  | 189 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 15 |  |  |  | 0 |  |  |  | 0 |  |  |  | 204 |  |  |  | 15 |
Totals |  | $ | 18,976 |  |  | $ | 27,179 |  |  | $ | (272 | ) |  | $ | 51 |  |  | $ | (3 | ) |  | $ | 621 |  |  | $ | 1,210 |  |  | $ | (4,907 | ) |  | $ | 42,855 |  |  | $ | 1,046 |

66 |  | PIMCO CLOSED-END FUNDS |  |  |  |  | See Accompanying Notes |

December 31, 2019 (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 12/31/2019 |  |  | Valuation Technique |  | Unobservable Inputs |  | (% Unless Noted Otherwise) |
| Input Value(s) |  |  | Weighted Average |
Investments in Securities, at Value |
Loan Participations and Assignments |  | $ | 11,206 |  |  | Indicative Market Quotation |  | Broker Quote |  |  | 99.900 |  |  |  | — |
|  |  | 10,113 |  |  | Other Valuation Techniques(2) |  | — |  |  | — |  |  |  | — |
|  |  | 4,206 |  |  | Proxy Pricing |  | Base Price |  |  | 93.750-95.000 |  |  |  | 93.782 |
|  |  | 310 |  |  | Third Party Vendor |  | Broker Quote |  |  | 99.250-101.000 |  |  |  | 99.313 |
Corporate Bonds & Notes |
Banking & Finance |  |  | 3,104 |  |  | Reference Instrument |  | Option Adjusted Spread |  |  | 584.983 bps |  |  |  | — |
Industrials |  |  | 344 |  |  | Reference Instrument |  | Broker Quote |  |  | 101.520 |  |  |  | — |
Non-Agency Mortgage-Backed Securities |  |  | 460 |  |  | Proxy Pricing |  | Base Price |  |  | 2.000-99.375 |  |  |  | 89.931 |
Asset-Backed Securities |  |  | 3,304 |  |  | Proxy Pricing |  | Base Price |  |  | 2.312-79,892.180 |  |  |  | 58,643.728 |
Common Stocks |
Energy |  |  | 220 |  |  | Other Valuation Techniques(2) |  | — |  |  | — |  |  |  | — |
Industrials |  |  | 1 |  |  | Indicative Market Quotation |  | Broker Quote |  | $ | 15.000 |  |  |  | — |
|  |  | 38 |  |  | Other Valuation Techniques(2) |  | — |  |  | — |  |  |  | — |
Utilities |  |  | 1,205 |  |  | Indicative Market Quotation |  | Broker Quote |  | $ | 35.750 |  |  |  | — |
Warrants |
Industrials |  |  | 604 |  |  | Other Valuation Techniques(2) |  | — |  |  | — |  |  |  | — |
Preferred Securities |
Industrials |  |  | 7,536 |  |  | Fundamental Valuation |  | Company Equity Value |  | $ | 934,387,328.532 |  |  |  | — |
Short-Term Instruments |
Argentina Treasury Bills |  |  | 204 |  |  | Proxy Pricing |  | Base Price |  |  | 100.000 |  |  |  | — |
Total |  | $ | 42,855 |  |  |  |  |  |  |  |  |  |  |  |  |

(1) | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at December 31, 2019 may be due to an investment no longer held or categorized as Level 3 at period end.

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

See Accompanying Notes |  | SEMIANNUAL REPORT |  | DECEMBER 31, 2019 |  | 67

Schedule of Investments PIMCO Strategic Income Fund, Inc.

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

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
INVESTMENTS IN SECURITIES 328.9% |
LOAN PARTICIPATIONS AND ASSIGNMENTS 15.0% |
Advanz Pharma Corp. |
7.447% (LIBOR03M + 5.500%) due 09/06/2024 ~ |  | $ |  |  | 2,487 |  |  | $ |  |  | 2,330 |
Altice France S.A. |
5.740% (LIBOR03M + 4.000%) due 08/14/2026 ~ |  |  |  |  | 99 |  |  |  |  |  | 100 |
Chesapeake Energy Corp. |
TBD% due 06/09/2024 |  |  |  |  | 95 |  |  |  |  |  | 98 |
Core & Main LP |
4.441% - 4.664% (LIBOR03M + 2.750%) due 08/01/2024 ~ |  |  |  |  | 20 |  |  |  |  |  | 20 |
Diamond Resorts Corp. |
5.549% (LIBOR03M + 3.750%) due 09/02/2023 ~ |  |  |  |  | 822 |  |  |  |  |  | 805 |
Dubai World (2.000% Cash and 1.750% PIK) |
3.750% (LIBOR03M + 2.000%) due 09/30/2022 ~(c) |  |  |  |  | 1,868 |  |  |  |  |  | 1,745 |
Envision Healthcare Corp. |
5.549% (LIBOR03M + 3.750%) due 10/10/2025 ~ |  |  |  |  | 8,933 |  |  |  |  |  | 7,653 |
Fleet U.S. Bidco, Inc. |
5.235% (LIBOR03M + 3.250%) due 10/07/2026 «~ |  |  |  |  | 8 |  |  |  |  |  | 8 |
Forbes Energy Services LLC (5.000% Cash and 11.000% PIK) |
16.000% (LIBOR03M + 5.000%) due 04/13/2021 ~(c) |  |  |  |  | 68 |  |  |  |  |  | 68 |
Frontier Communications Corp. |
5.550% (LIBOR03M + 3.750%) due 06/15/2024 ~ |  |  |  |  | 293 |  |  |  |  |  | 295 |
iHeartCommunications, Inc. |
5.691% (LIBOR03M + 4.000%) due 05/01/2026 ~ |  |  |  |  | 1,916 |  |  |  |  |  | 1,937 |
Intelsat Jackson Holdings S.A. |
5.682% (LIBOR03M + 3.750%) due 11/27/2023 ~ |  |  |  |  | 10 |  |  |  |  |  | 10 |
IRB Holding Corp. |
5.195% - 5.216% (LIBOR03M + 3.250%) due 02/05/2025 ~ |  |  |  |  | 434 |  |  |  |  |  | 437 |
Jefferies Finance LLC |
5.500% (LIBOR03M + 3.750%) due 06/03/2026 ~ |  |  |  |  | 12 |  |  |  |  |  | 12 |
McDermott Technology Americas, Inc. |
0.500% - 12.002% (LIBOR03M + 10.000%) due 10/21/2021 ~µ |  |  |  |  | 808 |  |  |  |  |  | 827 |
6.945% (LIBOR03M + 5.000%) due 05/09/2025 ~ |  |  |  |  | 1,089 |  |  |  |  |  | 641 |
Messer Industrie GmbH |
4.445% (LIBOR03M + 2.500%) due 03/01/2026 ~ |  |  |  |  | 39 |  |  |  |  |  | 39 |
MH Sub LLC |
5.549% (LIBOR03M + 3.750%) due 09/13/2024 ~ |  |  |  |  | 59 |  |  |  |  |  | 59 |
NCI Building Systems, Inc. |
5.486% (LIBOR03M + 3.750%) due 04/12/2025 ~ |  |  |  |  | 20 |  |  |  |  |  | 20 |
Neiman Marcus Group Ltd. LLC |
7.713% (LIBOR03M + 6.000%) due 10/25/2023 ~ |  |  |  |  | 4,599 |  |  |  |  |  | 3,788 |
Neiman Marcus Group Ltd. LLC (7.213% Cash and 1.000% PIK) |
8.213% (LIBOR03M + 5.500%) due 10/25/2023 ~(c) |  |  |  |  | 5,013 |  |  |  |  |  | 4,077 |
Ortho-Clinical Diagnostics S.A. |
5.306% (LIBOR03M + 3.250%) due 06/30/2025 ~ |  |  |  |  | 323 |  |  |  |  |  | 320 |
Pacific Gas & Electric Co. |
TBD% due 02/22/2049 ^«(d) |  |  |  |  | 416 |  |  |  |  |  | 413 |
PetSmart, Inc. |
5.740% (LIBOR03M + 4.000%) due 03/11/2022 ~ |  |  |  |  | 166 |  |  |  |  |  | 164 |

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
Sequa Mezzanine Holdings LLC |
6.904% (LIBOR03M + 5.000%) due 11/28/2021 ~ |  | $ |  |  | 166 |  |  | $ |  |  | 167 |
10.936% (LIBOR03M + 9.000%) due 04/28/2022 ~ |  |  |  |  | 7,990 |  |  |  |  |  | 7,880 |
Sotera Health Holdings LLC |
6.289% (LIBOR03M + 4.500%) due 12/11/2026 ~ |  |  |  |  | 59 |  |  |  |  |  | 59 |
SS&C Technologies, Inc. |
4.049% (LIBOR03M + 2.250%) due 04/16/2025 ~ |  |  |  |  | 119 |  |  |  |  |  | 119 |
Starfruit Finco BV |
4.960% (LIBOR03M + 3.250%) due 10/01/2025 ~ |  |  |  |  | 97 |  |  |  |  |  | 97 |
Summer (BC) Holdco B SARL |
TBD% due 10/15/2026 |  |  |  |  | 1,530 |  |  |  |  |  | 1,459 |
Syniverse Holdings, Inc. |
6.846% (LIBOR03M + 5.000%) due 03/09/2023 ~ |  |  |  |  | 3,855 |  |  |  |  |  | 3,591 |
U.S. Renal Care, Inc. |
6.813% (LIBOR03M + 5.000%) due 06/26/2026 ~ |  |  |  |  | 208 |  |  |  |  |  | 207 |
Univision Communications, Inc. |
4.549% (LIBOR03M + 2.750%) due 03/15/2024 ~ |  |  |  |  | 2,121 |  |  |  |  |  | 2,098 |
West Corp. |
5.927% (LIBOR03M + 4.000%) due 10/10/2024 ~ |  |  |  |  | 34 |  |  |  |  |  | 29 |
Westmoreland Mining Holdings LLC |
10.150% (LIBOR03M + 8.250%) due 03/15/2022 «~ |  |  |  |  | 1 |  |  |  |  |  | 1 |
Westmoreland Mining Holdings LLC (15.000% PIK) |
15.000% due 03/15/2029 (c) |  |  |  |  | 5 |  |  |  |  |  | 4 |
Windstream Services LLC |
9.000% (PRIME + 4.250%) due 02/17/2024 ~ |  |  |  |  | 2,200 |  |  |  |  |  | 2,089 |
9.750% (PRIME + 5.000%) due 03/29/2021 ~ |  |  |  |  | 2,100 |  |  |  |  |  | 2,015 |
Total Loan Participations and Assignments (Cost $46,477) |  |  | 45,681 |
CORPORATE BONDS & NOTES 42.9% |
BANKING & FINANCE 16.1% |
Ally Financial, Inc. |
8.000% due 11/01/2031 |  |  |  |  | 3 |  |  |  |  |  | 4 |
Ambac LSNI LLC |
6.945% due 02/12/2023 •(l) |  |  |  |  | 294 |  |  |  |  |  | 298 |
Ardonagh Midco PLC |
8.375% due 07/15/2023 (l) |  | GBP |  |  | 5,810 |  |  |  |  |  | 7,705 |
AXA Equitable Holdings, Inc. |
5.000% due 04/20/2048 |  | $ |  |  | 5 |  |  |  |  |  | 5 |
Banco de Credito del Peru |
4.650% due 09/17/2024 |  | PEN |  |  | 400 |  |  |  |  |  | 122 |
Barclays Bank PLC |
7.625% due 11/21/2022 (i)(l) |  | $ |  |  | 800 |  |  |  |  |  | 900 |
Barclays PLC |
3.250% due 01/17/2033 |  | GBP |  |  | 100 |  |  |  |  |  | 139 |
5.875% due 09/15/2024 •(h)(i)(l) |  |  |  |  | 900 |  |  |  |  |  | 1,247 |
7.125% due 06/15/2025 •(h)(i)(l) |  |  |  |  | 1,500 |  |  |  |  |  | 2,250 |
7.250% due 03/15/2023 •(h)(i)(l) |  |  |  |  | 1,000 |  |  |  |  |  | 1,448 |
8.000% due 06/15/2024 •(h)(i)(l) |  | $ |  |  | 250 |  |  |  |  |  | 280 |
BGC Partners, Inc. |
3.750% due 10/01/2024 (l) |  |  |  |  | 400 |  |  |  |  |  | 399 |
Brookfield Finance, Inc. |
3.900% due 01/25/2028 |  |  |  |  | 14 |  |  |  |  |  | 15 |
4.700% due 09/20/2047 |  |  |  |  | 90 |  |  |  |  |  | 103 |
Cantor Fitzgerald LP |
4.875% due 05/01/2024 |  |  |  |  | 12 |  |  |  |  |  | 13 |
CBL & Associates LP |
4.600% due 10/15/2024 (l) |  |  |  |  | 477 |  |  |  |  |  | 309 |
5.250% due 12/01/2023 (l) |  |  |  |  | 82 |  |  |  |  |  | 58 |
5.950% due 12/15/2026 (l) |  |  |  |  | 280 |  |  |  |  |  | 169 |

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
Credit Suisse Group AG |
7.500% due 07/17/2023 •(h)(i)(l) |  | $ |  |  | 200 |  |  | $ |  |  | 219 |
Deutsche Bank AG |
3.961% due 11/26/2025 • |  |  |  |  | 600 |  |  |  |  |  | 613 |
4.250% due 10/14/2021 (l) |  |  |  |  | 3,200 |  |  |  |  |  | 3,291 |
Emerald Bay S.A. |
0.000% due 10/08/2020 (g) |  | EUR |  |  | 15 |  |  |  |  |  | 16 |
ESH Hospitality, Inc. |
4.625% due 10/01/2027 |  | $ |  |  | 54 |  |  |  |  |  | 55 |
Fortress Transportation & Infrastructure Investors LLC |
6.500% due 10/01/2025 |  |  |  |  | 100 |  |  |  |  |  | 106 |
GE Capital International Funding Co. Unlimited Co. |
4.418% due 11/15/2035 (l) |  |  |  |  | 200 |  |  |  |  |  | 213 |
HSBC Holdings PLC |
5.875% due 09/28/2026 •(h)(i) |  | GBP |  |  | 200 |  |  |  |  |  | 292 |
6.500% due 03/23/2028 •(h)(i)(l) |  | $ |  |  | 300 |  |  |  |  |  | 330 |
Hudson Pacific Properties LP |
3.950% due 11/01/2027 |  |  |  |  | 18 |  |  |  |  |  | 19 |
Hunt Cos., Inc. |
6.250% due 02/15/2026 |  |  |  |  | 14 |  |  |  |  |  | 14 |
ING Groep NV |
5.750% due 11/16/2026 •(h)(i)(l) |  |  |  |  | 200 |  |  |  |  |  | 211 |
Kennedy-Wilson, Inc. |
5.875% due 04/01/2024 (l) |  |  |  |  | 36 |  |  |  |  |  | 37 |
Lloyds Banking Group PLC |
7.500% due 09/27/2025 •(h)(i)(l) |  |  |  |  | 3,100 |  |  |  |  |  | 3,478 |
7.625% due 06/27/2023 •(h)(i)(l) |  | GBP |  |  | 250 |  |  |  |  |  | 372 |
7.875% due 06/27/2029 •(h)(i)(l) |  |  |  |  | 3,390 |  |  |  |  |  | 5,680 |
LoanCore Capital Markets LLC |
6.875% due 06/01/2020 (l) |  | $ |  |  | 1,000 |  |  |  |  |  | 1,001 |
Nationstar Mortgage LLC |
6.500% due 07/01/2021 (l) |  |  |  |  | 320 |  |  |  |  |  | 322 |
Newmark Group, Inc. |
6.125% due 11/15/2023 (l) |  |  |  |  | 52 |  |  |  |  |  | 57 |
Oppenheimer Holdings, Inc. |
6.750% due 07/01/2022 |  |  |  |  | 20 |  |  |  |  |  | 21 |
Pinnacol Assurance |
8.625% due 06/25/2034 «(j) |  |  |  |  | 2,600 |  |  |  |  |  | 2,783 |
Reckson Operating Partnership LP |
7.750% due 03/15/2020 (l) |  |  |  |  | 4,500 |  |  |  |  |  | 4,550 |
Royal Bank of Scotland Group PLC |
8.000% due 08/10/2025 •(h)(i)(l) |  |  |  |  | 300 |  |  |  |  |  | 346 |
Sabra Health Care LP |
4.800% due 06/01/2024 (l) |  |  |  |  | 85 |  |  |  |  |  | 91 |
Santander UK Group Holdings PLC |
6.750% due 06/24/2024 •(h)(i)(l) |  | GBP |  |  | 2,100 |  |  |  |  |  | 3,069 |
Sberbank of Russia Via SB Capital S.A. |
6.125% due 02/07/2022 (l) |  | $ |  |  | 2,000 |  |  |  |  |  | 2,142 |
Societe Generale S.A. |
7.375% due 10/04/2023 •(h)(i)(l) |  |  |  |  | 200 |  |  |  |  |  | 219 |
Springleaf Finance Corp. |
5.375% due 11/15/2029 |  |  |  |  | 19 |  |  |  |  |  | 20 |
6.875% due 03/15/2025 (l) |  |  |  |  | 54 |  |  |  |  |  | 62 |
TP ICAP PLC |
5.250% due 01/26/2024 |  | GBP |  |  | 700 |  |  |  |  |  | 1,020 |
5.250% due 05/29/2026 |  |  |  |  | 100 |  |  |  |  |  | 143 |
UniCredit SpA |
7.830% due 12/04/2023 (l) |  | $ |  |  | 2,240 |  |  |  |  |  | 2,614 |
|  |  |  |  |  |  |  |  |  |  | 48,870 |
INDUSTRIALS 19.6% |
AA Bond Co. Ltd. |
2.875% due 07/31/2043 |  | GBP |  |  | 1,700 |  |  |  |  |  | 2,239 |
Altice Financing S.A. |
7.500% due 05/15/2026 (l) |  | $ |  |  | 1,350 |  |  |  |  |  | 1,454 |
Altice France S.A. |
8.125% due 02/01/2027 (l) |  |  |  |  | 600 |  |  |  |  |  | 677 |
Associated Materials LLC |
9.000% due 01/01/2024 (l) |  |  |  |  | 2,700 |  |  |  |  |  | 2,376 |
Avon International Capital PLC |
6.500% due 08/15/2022 |  |  |  |  | 16 |  |  |  |  |  | 17 |

68 |  | PIMCO CLOSED-END FUNDS |  |  |  |  | See Accompanying Notes |

December 31, 2019 (Unaudited)

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
B.C. Unlimited Liability Co. |
4.375% due 01/15/2028 |  | $ |  |  | 36 |  |  | $ |  |  | 36 |
Baffinland Iron Mines Corp. |
8.750% due 07/15/2026 (l) |  |  |  |  | 700 |  |  |  |  |  | 707 |
BCPE Cycle Merger Sub, Inc. |
10.625% due 07/15/2027 |  |  |  |  | 38 |  |  |  |  |  | 39 |
Bombardier, Inc. |
6.125% due 01/15/2023 (l) |  |  |  |  | 400 |  |  |  |  |  | 411 |
7.500% due 12/01/2024 (l) |  |  |  |  | 430 |  |  |  |  |  | 453 |
7.500% due 03/15/2025 |  |  |  |  | 6 |  |  |  |  |  | 6 |
7.875% due 04/15/2027 (l) |  |  |  |  | 1,296 |  |  |  |  |  | 1,337 |
Camelot Finance S.A. |
4.500% due 11/01/2026 |  |  |  |  | 4 |  |  |  |  |  | 4 |
CCO Holdings LLC |
4.750% due 03/01/2030 |  |  |  |  | 80 |  |  |  |  |  | 82 |
Centene Corp. |
4.250% due 12/15/2027 |  |  |  |  | 47 |  |  |  |  |  | 48 |
4.625% due 12/15/2029 |  |  |  |  | 90 |  |  |  |  |  | 95 |
4.750% due 01/15/2025 |  |  |  |  | 83 |  |  |  |  |  | 86 |
Charter Communications Operating LLC |
4.800% due 03/01/2050 |  |  |  |  | 105 |  |  |  |  |  | 111 |
Clear Channel Worldwide Holdings, Inc. |
9.250% due 02/15/2024 (l) |  |  |  |  | 942 |  |  |  |  |  | 1,045 |
Community Health Systems, Inc. |
6.250% due 03/31/2023 (l) |  |  |  |  | 5,065 |  |  |  |  |  | 5,154 |
8.000% due 03/15/2026 (l) |  |  |  |  | 294 |  |  |  |  |  | 303 |
8.625% due 01/15/2024 (l) |  |  |  |  | 544 |  |  |  |  |  | 578 |
Connect Finco SARL |
6.750% due 10/01/2026 |  |  |  |  | 28 |  |  |  |  |  | 30 |
Corning, Inc. |
5.450% due 11/15/2079 |  |  |  |  | 36 |  |  |  |  |  | 39 |
CVS Pass-Through Trust |
7.507% due 01/10/2032 |  |  |  |  | 721 |  |  |  |  |  | 892 |
Diamond Resorts International, Inc. |
7.750% due 09/01/2023 (l) |  |  |  |  | 502 |  |  |  |  |  | 518 |
DISH DBS Corp. |
5.875% due 07/15/2022 |  |  |  |  | 2 |  |  |  |  |  | 2 |
Eagle Holding Co. LLC (7.750% Cash or 8.500% PIK) |
7.750% due 05/15/2022 (c) |  |  |  |  | 10 |  |  |  |  |  | 10 |
EI Group PLC |
6.875% due 05/09/2025 |  | GBP |  |  | 620 |  |  |  |  |  | 835 |
Eldorado Resorts, Inc. |
6.000% due 09/15/2026 (l) |  | $ |  |  | 1,100 |  |  |  |  |  | 1,213 |
Envision Healthcare Corp. |
8.750% due 10/15/2026 (l) |  |  |  |  | 1,059 |  |  |  |  |  | 660 |
Exela Intermediate LLC |
10.000% due 07/15/2023 (l) |  |  |  |  | 65 |  |  |  |  |  | 26 |
Fair Isaac Corp. |
4.000% due 06/15/2028 |  |  |  |  | 4 |  |  |  |  |  | 4 |
Ferroglobe PLC |
9.375% due 03/01/2022 |  |  |  |  | 650 |  |  |  |  |  | 405 |
First Quantum Minerals Ltd. |
6.500% due 03/01/2024 (l) |  |  |  |  | 766 |  |  |  |  |  | 769 |
6.875% due 03/01/2026 (l) |  |  |  |  | 844 |  |  |  |  |  | 856 |
7.000% due 02/15/2021 (l) |  |  |  |  | 316 |  |  |  |  |  | 317 |
Flex Ltd. |
4.875% due 06/15/2029 |  |  |  |  | 45 |  |  |  |  |  | 49 |
Frontier Finance PLC |
8.000% due 03/23/2022 |  | GBP |  |  | 2,600 |  |  |  |  |  | 3,542 |
Full House Resorts, Inc. |
8.575% due 01/31/2024 |  | $ |  |  | 196 |  |  |  |  |  | 193 |
9.738% due 02/02/2024 |  |  |  |  | 17 |  |  |  |  |  | 17 |
General Electric Co. |
5.875% due 01/14/2038 |  |  |  |  | 8 |  |  |  |  |  | 10 |
6.150% due 08/07/2037 |  |  |  |  | 7 |  |  |  |  |  | 9 |
iHeartCommunications, Inc. |
6.375% due 05/01/2026 (l) |  |  |  |  | 617 |  |  |  |  |  | 671 |
8.375% due 05/01/2027 (l) |  |  |  |  | 950 |  |  |  |  |  | 1,052 |
IHO Verwaltungs GmbH (3.625% Cash or 4.375% PIK) |
3.625% due 05/15/2025 (c) |  | EUR |  |  | 135 |  |  |  |  |  | 159 |
IHO Verwaltungs GmbH (3.875% Cash or 4.625% PIK) |
3.875% due 05/15/2027 (c) |  |  |  |  | 100 |  |  |  |  |  | 119 |

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
IHO Verwaltungs GmbH (6.000% Cash or 6.750% PIK) |
6.000% due 05/15/2027 (c)(l) |  | $ |  |  | 208 |  |  | $ |  |  | 221 |
IHO Verwaltungs GmbH (6.375% Cash or 7.125% PIK) |
6.375% due 05/15/2029 (c)(l) |  |  |  |  | 200 |  |  |  |  |  | 216 |
Intelsat Connect Finance S.A. |
9.500% due 02/15/2023 (l) |  |  |  |  | 105 |  |  |  |  |  | 74 |
Intelsat Jackson Holdings S.A. |
8.000% due 02/15/2024 (l) |  |  |  |  | 60 |  |  |  |  |  | 62 |
8.500% due 10/15/2024 (l) |  |  |  |  | 160 |  |  |  |  |  | 146 |
9.750% due 07/15/2025 (l) |  |  |  |  | 403 |  |  |  |  |  | 374 |
Intelsat Luxembourg S.A. |
7.750% due 06/01/2021 ^(l) |  |  |  |  | 6,032 |  |  |  |  |  | 4,779 |
Kinder Morgan, Inc. |
5.300% due 12/01/2034 (l) |  |  |  |  | 1,500 |  |  |  |  |  | 1,766 |
7.750% due 01/15/2032 (l) |  |  |  |  | 4,500 |  |  |  |  |  | 6,188 |
Mattel, Inc. |
5.875% due 12/15/2027 |  |  |  |  | 28 |  |  |  |  |  | 30 |
Micron Technology, Inc. |
5.327% due 02/06/2029 (l) |  |  |  |  | 82 |  |  |  |  |  | 94 |
MSCI, Inc. |
4.000% due 11/15/2029 |  |  |  |  | 12 |  |  |  |  |  | 12 |
NCL Corp. Ltd. |
3.625% due 12/15/2024 |  |  |  |  | 52 |  |  |  |  |  | 53 |
Netflix, Inc. |
3.625% due 06/15/2030 |  | EUR |  |  | 100 |  |  |  |  |  | 116 |
3.875% due 11/15/2029 |  |  |  |  | 335 |  |  |  |  |  | 399 |
4.625% due 05/15/2029 |  |  |  |  | 100 |  |  |  |  |  | 125 |
4.875% due 06/15/2030 |  | $ |  |  | 100 |  |  |  |  |  | 102 |
5.375% due 11/15/2029 |  |  |  |  | 30 |  |  |  |  |  | 32 |
Noble Holding International Ltd. |
7.875% due 02/01/2026 |  |  |  |  | 277 |  |  |  |  |  | 202 |
Ortho-Clinical Diagnostics, Inc. |
6.625% due 05/15/2022 (l) |  |  |  |  | 162 |  |  |  |  |  | 161 |
Pacific Drilling SA |
8.375% due 10/01/2023 (l) |  |  |  |  | 152 |  |  |  |  |  | 139 |
Pan American Energy LLC |
42.636% (BADLARPP) due 11/20/2020 «~ |  | ARS |  |  | 13,830 |  |  |  |  |  | 183 |
Par Pharmaceutical, Inc. |
7.500% due 04/01/2027 (l) |  | $ |  |  | 62 |  |  |  |  |  | 62 |
Petroleos Mexicanos |
2.750% due 04/21/2027 |  | EUR |  |  | 4,538 |  |  |  |  |  | 4,891 |
5.350% due 02/12/2028 (l) |  | $ |  |  | 326 |  |  |  |  |  | 325 |
6.490% due 01/23/2027 |  |  |  |  | 40 |  |  |  |  |  | 43 |
6.500% due 03/13/2027 (l) |  |  |  |  | 612 |  |  |  |  |  | 651 |
6.750% due 09/21/2047 |  |  |  |  | 20 |  |  |  |  |  | 20 |
6.840% due 01/23/2030 |  |  |  |  | 110 |  |  |  |  |  | 117 |
7.690% due 01/23/2050 |  |  |  |  | 60 |  |  |  |  |  | 66 |
Platin 1426 GmbH |
6.875% due 06/15/2023 |  | EUR |  |  | 200 |  |  |  |  |  | 230 |
Radiate Holdco LLC |
6.875% due 02/15/2023 |  | $ |  |  | 11 |  |  |  |  |  | 11 |
Sands China Ltd. |
4.600% due 08/08/2023 (l) |  |  |  |  | 200 |  |  |  |  |  | 211 |
5.125% due 08/08/2025 (l) |  |  |  |  | 200 |  |  |  |  |  | 220 |
5.400% due 08/08/2028 (l) |  |  |  |  | 200 |  |  |  |  |  | 226 |
Scotts Miracle-Gro Co. |
4.500% due 10/15/2029 |  |  |  |  | 3 |  |  |  |  |  | 3 |
Sealed Air Corp. |
4.000% due 12/01/2027 |  |  |  |  | 8 |  |  |  |  |  | 8 |
Select Medical Corp. |
6.250% due 08/15/2026 |  |  |  |  | 20 |  |  |  |  |  | 22 |
Sensata Technologies, Inc. |
4.375% due 02/15/2030 |  |  |  |  | 12 |  |  |  |  |  | 12 |
Silgan Holdings, Inc. |
4.125% due 02/01/2028 |  |  |  |  | 24 |  |  |  |  |  | 24 |
Spanish Broadcasting System, Inc. |
12.500% due 04/15/2049 ^(d) |  |  |  |  | 908 |  |  |  |  |  | 947 |
Staples, Inc. |
7.500% due 04/15/2026 |  |  |  |  | 9 |  |  |  |  |  | 9 |
Tenet Healthcare Corp. |
4.625% due 09/01/2024 |  |  |  |  | 10 |  |  |  |  |  | 10 |
Teva Pharmaceutical Finance BV |
3.650% due 11/10/2021 (l) |  |  |  |  | 64 |  |  |  |  |  | 63 |

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
Teva Pharmaceutical Finance Co. BV |
3.650% due 11/10/2021 (l) |  | $ |  |  | 108 |  |  | $ |  |  | 106 |
Teva Pharmaceutical Finance Netherlands BV |
0.375% due 07/25/2020 |  | EUR |  |  | 61 |  |  |  |  |  | 68 |
2.200% due 07/21/2021 (l) |  | $ |  |  | 187 |  |  |  |  |  | 181 |
3.250% due 04/15/2022 |  | EUR |  |  | 200 |  |  |  |  |  | 227 |
Topaz Solar Farms LLC |
4.875% due 09/30/2039 (l) |  | $ |  |  | 913 |  |  |  |  |  | 949 |
5.750% due 09/30/2039 (l) |  |  |  |  | 2,150 |  |  |  |  |  | 2,378 |
TransDigm, Inc. |
5.500% due 11/15/2027 |  |  |  |  | 48 |  |  |  |  |  | 49 |
Transocean Pontus Ltd. |
6.125% due 08/01/2025 (l) |  |  |  |  | 71 |  |  |  |  |  | 73 |
Transocean, Inc. |
7.250% due 11/01/2025 (l) |  |  |  |  | 120 |  |  |  |  |  | 118 |
Triumph Group, Inc. |
5.250% due 06/01/2022 |  |  |  |  | 14 |  |  |  |  |  | 14 |
6.250% due 09/15/2024 |  |  |  |  | 12 |  |  |  |  |  | 13 |
Twitter, Inc. |
3.875% due 12/15/2027 |  |  |  |  | 10 |  |  |  |  |  | 10 |
UAL Pass-Through Trust |
6.636% due 01/02/2024 (l) |  |  |  |  | 1,263 |  |  |  |  |  | 1,344 |
Unigel Luxembourg S.A. |
8.750% due 10/01/2026 (l) |  |  |  |  | 200 |  |  |  |  |  | 204 |
Univision Communications, Inc. |
5.125% due 02/15/2025 (l) |  |  |  |  | 55 |  |  |  |  |  | 55 |
Valaris PLC |
5.750% due 10/01/2044 |  |  |  |  | 162 |  |  |  |  |  | 73 |
7.750% due 02/01/2026 |  |  |  |  | 8 |  |  |  |  |  | 5 |
Vale Overseas Ltd. |
6.250% due 08/10/2026 (l) |  |  |  |  | 81 |  |  |  |  |  | 95 |
6.875% due 11/21/2036 |  |  |  |  | 26 |  |  |  |  |  | 34 |
6.875% due 11/10/2039 |  |  |  |  | 25 |  |  |  |  |  | 33 |
Vale S.A. |
3.750% due 01/10/2023 |  | EUR |  |  | 200 |  |  |  |  |  | 244 |
ViaSat, Inc. |
5.625% due 09/15/2025 |  | $ |  |  | 42 |  |  |  |  |  | 43 |
5.625% due 04/15/2027 |  |  |  |  | 6 |  |  |  |  |  | 6 |
Wyndham Destinations, Inc. |
3.900% due 03/01/2023 |  |  |  |  | 36 |  |  |  |  |  | 36 |
4.625% due 03/01/2030 |  |  |  |  | 12 |  |  |  |  |  | 12 |
YPF S.A. |
50.817% (BADLARPP + 4.000%) due 09/24/2020 «~(a) |  | ARS |  |  | 4,520 |  |  |  |  |  | 58 |
|  |  |  |  |  |  |  |  |  |  | 59,728 |
UTILITIES 7.2% |
CenturyLink, Inc. |
5.125% due 12/15/2026 |  | $ |  |  | 4 |  |  |  |  |  | 4 |
Edison International |
2.400% due 09/15/2022 |  |  |  |  | 36 |  |  |  |  |  | 36 |
2.950% due 03/15/2023 |  |  |  |  | 2 |  |  |  |  |  | 2 |
3.125% due 11/15/2022 |  |  |  |  | 36 |  |  |  |  |  | 37 |
3.550% due 11/15/2024 |  |  |  |  | 36 |  |  |  |  |  | 37 |
5.750% due 06/15/2027 |  |  |  |  | 24 |  |  |  |  |  | 27 |
Frontier Communications Corp. |
8.000% due 04/01/2027 (l) |  |  |  |  | 62 |  |  |  |  |  | 65 |
Gazprom Neft OAO Via GPN Capital S.A. |
6.000% due 11/27/2023 (l) |  |  |  |  | 5,600 |  |  |  |  |  | 6,261 |
Gazprom OAO Via Gaz Capital S.A. |
8.625% due 04/28/2034 (l) |  |  |  |  | 1,710 |  |  |  |  |  | 2,572 |
Odebrecht Offshore Drilling Finance Ltd. |
6.720% due 12/01/2022 ^(l) |  |  |  |  | 1,019 |  |  |  |  |  | 1,003 |
Pacific Gas & Electric Co. |
2.450% due 08/15/2022 ^(d)(l) |  |  |  |  | 342 |  |  |  |  |  | 343 |
2.950% due 03/01/2026 ^(d)(l) |  |  |  |  | 460 |  |  |  |  |  | 462 |
3.250% due 09/15/2021 ^(d)(l) |  |  |  |  | 74 |  |  |  |  |  | 74 |
3.250% due 06/15/2023 ^(d)(l) |  |  |  |  | 482 |  |  |  |  |  | 481 |
3.300% due 03/15/2027 ^(d)(l) |  |  |  |  | 347 |  |  |  |  |  | 348 |
3.300% due 12/01/2027 ^(d)(l) |  |  |  |  | 400 |  |  |  |  |  | 401 |
3.400% due 08/15/2024 ^(d)(l) |  |  |  |  | 163 |  |  |  |  |  | 166 |
3.500% due 10/01/2020 ^(d)(l) |  |  |  |  | 4,297 |  |  |  |  |  | 4,313 |
3.500% due 06/15/2025 ^(d)(l) |  |  |  |  | 388 |  |  |  |  |  | 389 |

See Accompanying Notes |  | SEMIANNUAL REPORT |  | DECEMBER 31, 2019 |  | 69

Schedule of Investments PIMCO Strategic Income Fund, Inc. (Cont.)

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
3.750% due 02/15/2024 ^(d)(l) |  | $ |  |  | 228 |  |  | $ |  |  | 232 |
3.750% due 08/15/2042 ^(d) |  |  |  |  | 12 |  |  |  |  |  | 12 |
3.850% due 11/15/2023 ^(d)(l) |  |  |  |  | 52 |  |  |  |  |  | 53 |
4.000% due 12/01/2046 ^(d) |  |  |  |  | 7 |  |  |  |  |  | 7 |
4.250% due 05/15/2021 ^(d)(l) |  |  |  |  | 631 |  |  |  |  |  | 634 |
4.250% due 08/01/2023 ^(d)(l) |  |  |  |  | 500 |  |  |  |  |  | 514 |
4.300% due 03/15/2045 ^(d) |  |  |  |  | 51 |  |  |  |  |  | 52 |
4.500% due 12/15/2041 ^(d)(l) |  |  |  |  | 86 |  |  |  |  |  | 87 |
4.600% due 06/15/2043 ^(d) |  |  |  |  | 20 |  |  |  |  |  | 20 |
4.650% due 08/01/2028 ^(d)(l) |  |  |  |  | 200 |  |  |  |  |  | 207 |
4.750% due 02/15/2044 ^(d) |  |  |  |  | 48 |  |  |  |  |  | 49 |
5.125% due 11/15/2043 ^(d)(l) |  |  |  |  | 274 |  |  |  |  |  | 281 |
5.400% due 01/15/2040 ^(d) |  |  |  |  | 8 |  |  |  |  |  | 8 |
5.800% due 03/01/2037 ^(d)(l) |  |  |  |  | 277 |  |  |  |  |  | 290 |
6.050% due 03/01/2034 ^(d) |  |  |  |  | 34 |  |  |  |  |  | 36 |
6.250% due 03/01/2039 ^(d) |  |  |  |  | 44 |  |  |  |  |  | 47 |
6.350% due 02/15/2038 ^(d) |  |  |  |  | 15 |  |  |  |  |  | 16 |
Petrobras Global Finance BV |
5.093% due 01/15/2030 |  |  |  |  | 339 |  |  |  |  |  | 364 |
Rio Oil Finance Trust |
9.250% due 07/06/2024 (l) |  |  |  |  | 519 |  |  |  |  |  | 583 |
9.750% due 01/06/2027 (l) |  |  |  |  | 727 |  |  |  |  |  | 861 |
Southern California Edison Co. |
3.650% due 03/01/2028 |  |  |  |  | 3 |  |  |  |  |  | 3 |
4.875% due 03/01/2049 |  |  |  |  | 100 |  |  |  |  |  | 118 |
5.750% due 04/01/2035 |  |  |  |  | 6 |  |  |  |  |  | 7 |
6.000% due 01/15/2034 |  |  |  |  | 2 |  |  |  |  |  | 3 |
6.650% due 04/01/2029 |  |  |  |  | 36 |  |  |  |  |  | 43 |
Sprint Communications, Inc. |
6.000% due 11/15/2022 |  |  |  |  | 35 |  |  |  |  |  | 37 |
Sprint Corp. |
7.250% due 09/15/2021 (l) |  |  |  |  | 107 |  |  |  |  |  | 113 |
Talen Energy Supply LLC |
6.625% due 01/15/2028 |  |  |  |  | 12 |  |  |  |  |  | 12 |
Transocean Poseidon Ltd. |
6.875% due 02/01/2027 (l) |  |  |  |  | 60 |  |  |  |  |  | 64 |
|  |  |  |  |  |  |  |  |  |  | 21,774 |
Total Corporate Bonds & Notes (Cost $122,472) |  |  | 130,372 |
CONVERTIBLE BONDS & NOTES 0.0% |
UTILITIES 0.0% |
Ensco Jersey Finance Ltd. |
3.000% due 01/31/2024 |  |  |  |  | 12 |  |  |  |  |  | 9 |
Total Convertible Bonds & Notes (Cost $8) |  |  | 9 |
MUNICIPAL BONDS & NOTES 1.0% |
ILLINOIS 0.1% |
Chicago, Illinois General Obligation Bonds, Series 2017 |
7.045% due 01/01/2029 |  |  |  |  | 70 |  |  |  |  |  | 77 |
Illinois State General Obligation Bonds, (BABs), Series 2010 |
6.725% due 04/01/2035 |  |  |  |  | 15 |  |  |  |  |  | 18 |
7.350% due 07/01/2035 |  |  |  |  | 10 |  |  |  |  |  | 12 |
Illinois State General Obligation Bonds, Series 2003 |
5.100% due 06/01/2033 |  |  |  |  | 145 |  |  |  |  |  | 156 |
|  |  |  |  |  |  |  |  |  |  | 263 |
WEST VIRGINIA 0.9% |
Tobacco Settlement Finance Authority, West Virginia Revenue Bonds, Series 2007 |
0.000% due 06/01/2047 (g) |  |  |  |  | 25,300 |  |  |  |  |  | 1,107 |
7.467% due 06/01/2047 |  |  |  |  | 1,590 |  |  |  |  |  | 1,653 |
|  |  |  |  |  |  |  |  |  |  | 2,760 |
Total Municipal Bonds & Notes (Cost $3,445) |  |  | 3,023 |
U.S. GOVERNMENT AGENCIES 203.2% |
Fannie Mae |
1.095% due 12/25/2042 ~(a) |  |  |  |  | 4,420 |  |  |  |  |  | 175 |
2.297% due 08/25/2054 ~(a)(l) |  |  |  |  | 11,389 |  |  |  |  |  | 720 |

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
2.500% due 12/25/2027 (a) |  | $ |  |  | 2,683 |  |  | $ |  |  | 164 |
3.312% due 06/25/2043 •(a) |  |  |  |  | 100 |  |  |  |  |  | 21 |
3.500% due 07/25/2036 (a)(l) |  |  |  |  | 7,229 |  |  |  |  |  | 891 |
3.500% due 07/25/2042 - 12/25/2049 (a) |  |  |  |  | 854 |  |  |  |  |  | 106 |
4.208% due 10/25/2049 •(a)(l) |  |  |  |  | 14,604 |  |  |  |  |  | 3,063 |
4.250% due 11/25/2024 (l) |  |  |  |  | 295 |  |  |  |  |  | 298 |
4.258% due 02/25/2049 •(a) |  |  |  |  | 467 |  |  |  |  |  | 64 |
4.325% due 11/01/2027 • |  |  |  |  | 11 |  |  |  |  |  | 12 |
4.365% due 12/01/2028 • |  |  |  |  | 16 |  |  |  |  |  | 17 |
4.500% due 07/25/2040 (l) |  |  |  |  | 1,022 |  |  |  |  |  | 1,094 |
4.510% due 09/01/2028 • |  |  |  |  | 3 |  |  |  |  |  | 3 |
4.958% due 07/25/2041 •(a) |  |  |  |  | 1,688 |  |  |  |  |  | 242 |
5.000% due 01/25/2038 (l) |  |  |  |  | 5,350 |  |  |  |  |  | 5,926 |
5.000% due 07/25/2038 |  |  |  |  | 153 |  |  |  |  |  | 169 |
5.025% due 03/01/2032 • |  |  |  |  | 67 |  |  |  |  |  | 67 |
5.292% due 12/25/2042 ~ |  |  |  |  | 26 |  |  |  |  |  | 28 |
5.342% due 07/25/2029 •(l) |  |  |  |  | 490 |  |  |  |  |  | 519 |
5.500% due 07/25/2024 |  |  |  |  | 8 |  |  |  |  |  | 8 |
5.500% due 11/25/2032 - 04/25/2035 (l) |  |  |  |  | 5,439 |  |  |  |  |  | 6,004 |
5.638% due 02/25/2042 ~ |  |  |  |  | 421 |  |  |  |  |  | 457 |
5.750% due 06/25/2033 |  |  |  |  | 21 |  |  |  |  |  | 24 |
5.777% due 10/25/2042 ~ |  |  |  |  | 10 |  |  |  |  |  | 12 |
5.807% due 08/25/2043 |  |  |  |  | 1,266 |  |  |  |  |  | 1,394 |
6.000% due 09/25/2031 - 01/25/2044 |  |  |  |  | 1,113 |  |  |  |  |  | 1,250 |
6.274% due 10/25/2042 ~ |  |  |  |  | 308 |  |  |  |  |  | 350 |
6.500% due 06/25/2023 - 11/01/2047 |  |  |  |  | 3,447 |  |  |  |  |  | 3,928 |
6.500% due 04/01/2037 (l) |  |  |  |  | 136 |  |  |  |  |  | 142 |
6.850% due 12/18/2027 |  |  |  |  | 9 |  |  |  |  |  | 10 |
7.000% due 06/18/2027 - 01/01/2047 |  |  |  |  | 1,279 |  |  |  |  |  | 1,435 |
7.000% due 07/01/2036 (l) |  |  |  |  | 200 |  |  |  |  |  | 210 |
7.000% due 09/25/2041 ~ |  |  |  |  | 367 |  |  |  |  |  | 398 |
7.500% due 10/25/2022 - 06/25/2044 |  |  |  |  | 983 |  |  |  |  |  | 1,132 |
7.500% due 06/19/2041 ~ |  |  |  |  | 85 |  |  |  |  |  | 98 |
7.542% due 07/25/2029 • |  |  |  |  | 660 |  |  |  |  |  | 782 |
7.700% due 03/25/2023 |  |  |  |  | 7 |  |  |  |  |  | 7 |
7.829% due 06/19/2041 ~ |  |  |  |  | 674 |  |  |  |  |  | 775 |
8.000% due 09/25/2021 - 09/01/2024 |  |  |  |  | 18 |  |  |  |  |  | 18 |
8.500% due 10/25/2021 - 06/25/2030 |  |  |  |  | 287 |  |  |  |  |  | 321 |
9.404% due 05/15/2021 |  |  |  |  | 7 |  |  |  |  |  | 7 |
9.476% due 07/15/2027 |  |  |  |  | 3 |  |  |  |  |  | 3 |
Freddie Mac |
0.000% due 02/25/2046 - 11/25/2050 (b)(g)(l) |  |  |  |  | 9,296 |  |  |  |  |  | 6,357 |
0.100% due 02/25/2046 - 11/25/2050 (a) |  |  |  |  | 118,859 |  |  |  |  |  | 422 |
2.011% due 11/25/2045 ~(a) |  |  |  |  | 5,336 |  |  |  |  |  | 719 |
2.516% due 11/15/2038 •(a)(l) |  |  |  |  | 21,026 |  |  |  |  |  | 1,458 |
2.622% due 08/15/2036 ~(a) |  |  |  |  | 2,876 |  |  |  |  |  | 194 |
2.648% due 05/15/2038 •(a)(l) |  |  |  |  | 5,541 |  |  |  |  |  | 268 |
3.887% due 12/01/2026 • |  |  |  |  | 3 |  |  |  |  |  | 3 |
4.260% due 04/25/2048 - 11/25/2049 •(a) |  |  |  |  | 55,140 |  |  |  |  |  | 12,434 |
4.882% due 04/01/2033 • |  |  |  |  | 1 |  |  |  |  |  | 1 |
5.000% due 02/15/2024 |  |  |  |  | 4 |  |  |  |  |  | 4 |
5.416% due 07/25/2032 ~ |  |  |  |  | 96 |  |  |  |  |  | 105 |
5.500% due 04/01/2039 - 06/15/2041 (l) |  |  |  |  | 4,354 |  |  |  |  |  | 4,856 |
6.000% due 12/15/2028 - 03/15/2035 |  |  |  |  | 571 |  |  |  |  |  | 633 |
6.000% due 02/15/2032 (l) |  |  |  |  | 1,329 |  |  |  |  |  | 1,517 |
6.500% due 08/01/2021 - 09/01/2047 |  |  |  |  | 3,942 |  |  |  |  |  | 4,464 |
6.500% due 06/15/2031 - 09/15/2031 (l) |  |  |  |  | 1,604 |  |  |  |  |  | 1,836 |
6.500% due 09/25/2043 ~ |  |  |  |  | 45 |  |  |  |  |  | 52 |
6.900% due 09/15/2023 |  |  |  |  | 116 |  |  |  |  |  | 123 |
6.942% due 10/25/2029 • |  |  |  |  | 650 |  |  |  |  |  | 752 |
6.950% due 07/15/2021 |  |  |  |  | 31 |  |  |  |  |  | 31 |
7.000% due 08/01/2021 - 10/25/2043 |  |  |  |  | 1,137 |  |  |  |  |  | 1,270 |
7.000% due 03/15/2029 - 01/01/2036 (l) |  |  |  |  | 1,779 |  |  |  |  |  | 2,020 |

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
7.500% due 05/15/2024 - 02/25/2042 |  | $ |  |  | 541 |  |  | $ |  |  | 586 |
7.500% due 08/01/2024 - 12/01/2030 (l) |  |  |  |  | 858 |  |  |  |  |  | 955 |
8.000% due 08/15/2022 - 04/15/2030 |  |  |  |  | 51 |  |  |  |  |  | 58 |
8.000% due 12/01/2026 (l) |  |  |  |  | 76 |  |  |  |  |  | 82 |
9.342% due 12/25/2027 • |  |  |  |  | 1,589 |  |  |  |  |  | 1,913 |
12.542% due 03/25/2025 • |  |  |  |  | 385 |  |  |  |  |  | 504 |
Ginnie Mae |
2.035% due 12/20/2048 •(a)(l) |  |  |  |  | 23,280 |  |  |  |  |  | 1,867 |
4.285% due 08/20/2049 - 09/20/2049 •(a)(l) |  |  |  |  | 124,354 |  |  |  |  |  | 25,294 |
4.435% due 06/20/2047 •(a)(l) |  |  |  |  | 15,321 |  |  |  |  |  | 2,572 |
6.000% due 04/15/2029 - 12/15/2038 |  |  |  |  | 71 |  |  |  |  |  | 79 |
6.000% due 07/15/2037 - 11/15/2038 (l) |  |  |  |  | 946 |  |  |  |  |  | 1,051 |
6.500% due 11/20/2024 - 10/20/2038 |  |  |  |  | 51 |  |  |  |  |  | 53 |
6.500% due 04/15/2032 - 05/15/2032 (l) |  |  |  |  | 367 |  |  |  |  |  | 411 |
7.000% due 04/15/2024 - 06/15/2026 |  |  |  |  | 30 |  |  |  |  |  | 31 |
7.500% due 06/15/2023 - 03/15/2029 |  |  |  |  | 403 |  |  |  |  |  | 411 |
7.500% due 04/15/2027 (l) |  |  |  |  | 90 |  |  |  |  |  | 97 |
8.000% due 11/15/2021 - 11/15/2022 |  |  |  |  | 1 |  |  |  |  |  | 1 |
8.500% due 05/15/2022 - 02/15/2031 |  |  |  |  | 9 |  |  |  |  |  | 9 |
Ginnie Mae, TBA |
4.000% due 01/01/2050 |  |  |  |  | 20,000 |  |  |  |  |  | 20,902 |
Small Business Administration |
4.625% due 02/01/2025 |  |  |  |  | 62 |  |  |  |  |  | 65 |
5.510% due 11/01/2027 |  |  |  |  | 184 |  |  |  |  |  | 199 |
5.780% due 08/01/2027 |  |  |  |  | 16 |  |  |  |  |  | 17 |
5.820% due 07/01/2027 |  |  |  |  | 18 |  |  |  |  |  | 20 |
Uniform Mortgage-Backed Security |
4.000% due 06/01/2047 |  |  |  |  | 31 |  |  |  |  |  | 32 |
4.000% due 09/01/2047 - 07/01/2048 (l) |  |  |  |  | 28,504 |  |  |  |  |  | 29,933 |
4.500% due 09/01/2023 - 03/01/2028 |  |  |  |  | 54 |  |  |  |  |  | 57 |
4.500% due 04/01/2041 - 08/01/2041 (l) |  |  |  |  | 186 |  |  |  |  |  | 200 |
6.000% due 12/01/2032 - 06/01/2040 (l) |  |  |  |  | 4,225 |  |  |  |  |  | 4,836 |
6.000% due 12/01/2032 - 02/01/2033 |  |  |  |  | 72 |  |  |  |  |  | 80 |
6.500% due 01/01/2028 - 02/01/2038 |  |  |  |  | 995 |  |  |  |  |  | 1,119 |
6.500% due 10/01/2033 - 07/01/2039 (l) |  |  |  |  | 583 |  |  |  |  |  | 663 |
7.000% due 07/01/2021 |  |  |  |  | 22 |  |  |  |  |  | 22 |
7.500% due 05/01/2022 |  |  |  |  | 14 |  |  |  |  |  | 15 |
8.000% due 12/01/2022 - 06/01/2032 |  |  |  |  | 180 |  |  |  |  |  | 195 |
Uniform Mortgage-Backed Security, TBA |
2.500% due 01/01/2050 - 02/01/2050 |  |  |  |  | 260,300 |  |  |  |  |  | 257,145 |
3.000% due 02/01/2050 |  |  |  |  | 33,100 |  |  |  |  |  | 33,529 |
3.500% due 02/01/2050 |  |  |  |  | 45,000 |  |  |  |  |  | 46,260 |
4.000% due 01/01/2050 - 02/01/2050 |  |  |  |  | 107,750 |  |  |  |  |  | 112,097 |
Vendee Mortgage Trust |
6.500% due 03/15/2029 |  |  |  |  | 101 |  |  |  |  |  | 112 |
6.750% due 02/15/2026 - 06/15/2026 |  |  |  |  | 66 |  |  |  |  |  | 73 |
7.500% due 09/15/2030 |  |  |  |  | 1,659 |  |  |  |  |  | 1,934 |
Total U.S. Government Agencies (Cost $610,887) |  |  | 617,342 |
NON-AGENCY MORTGAGE-BACKED SECURITIES 29.0% |
Adjustable Rate Mortgage Trust |
4.376% due 07/25/2035 ~ |  |  |  |  | 378 |  |  |  |  |  | 370 |
4.826% due 08/25/2035 ~ |  |  |  |  | 444 |  |  |  |  |  | 444 |

70 |  | PIMCO CLOSED-END FUNDS |  |  |  |  | See Accompanying Notes |

December 31, 2019 (Unaudited)

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
Banc of America Mortgage Trust |
4.459% due 02/25/2035 ~ |  | $ |  |  | 12 |  |  | $ |  |  | 12 |
Bancorp Commercial Mortgage Trust |
5.490% due 08/15/2032 • |  |  |  |  | 3,300 |  |  |  |  |  | 3,333 |
7.031% due 11/15/2033 • |  |  |  |  | 3,716 |  |  |  |  |  | 3,716 |
BCAP LLC Trust |
1.924% due 07/26/2036 ~ |  |  |  |  | 211 |  |  |  |  |  | 183 |
Bear Stearns ALT-A Trust |
3.962% due 08/25/2036 ^~ |  |  |  |  | 298 |  |  |  |  |  | 211 |
Bear Stearns Commercial Mortgage Securities Trust |
5.605% due 12/11/2040 ~(l) |  |  |  |  | 5,728 |  |  |  |  |  | 5,454 |
5.657% due 10/12/2041 ~(l) |  |  |  |  | 3,007 |  |  |  |  |  | 3,116 |
5.728% due 04/12/2038 ~ |  |  |  |  | 120 |  |  |  |  |  | 121 |
CD Commercial Mortgage Trust |
5.398% due 12/11/2049 ~ |  |  |  |  | 1 |  |  |  |  |  | 1 |
Citigroup Commercial Mortgage Trust |
5.589% due 12/10/2049 ~ |  |  |  |  | 1,920 |  |  |  |  |  | 1,231 |
Citigroup Mortgage Loan Trust, Inc. |
7.000% due 09/25/2033 |  |  |  |  | 2 |  |  |  |  |  | 2 |
Commercial Mortgage Loan Trust |
6.052% due 12/10/2049 ~ |  |  |  |  | 4,408 |  |  |  |  |  | 2,925 |
Countrywide Alternative Loan Trust |
2.002% due 07/25/2046 ^•(l) |  |  |  |  | 1,609 |  |  |  |  |  | 1,498 |
6.500% due 07/25/2035 ^ |  |  |  |  | 267 |  |  |  |  |  | 219 |
Countrywide Home Loan Mortgage Pass-Through Trust |
2.432% due 03/25/2035 •(l) |  |  |  |  | 1,421 |  |  |  |  |  | 1,302 |
3.532% due 08/25/2034 ~ |  |  |  |  | 374 |  |  |  |  |  | 376 |
3.662% due 03/25/2046 ^• |  |  |  |  | 1,822 |  |  |  |  |  | 1,255 |
Countrywide Home Loan Reperforming REMIC Trust |
7.500% due 11/25/2034 |  |  |  |  | 630 |  |  |  |  |  | 652 |
7.500% due 06/25/2035 ^ |  |  |  |  | 130 |  |  |  |  |  | 140 |
Credit Suisse First Boston Mortgage-Backed Pass-Through Certificates |
7.000% due 02/25/2034 |  |  |  |  | 358 |  |  |  |  |  | 373 |
Credit Suisse Mortgage Capital Mortgage-Backed Trust |
6.500% due 03/25/2036 ^ |  |  |  |  | 951 |  |  |  |  |  | 461 |
Eurosail PLC |
2.379% due 09/13/2045 • |  | GBP |  |  | 1,608 |  |  |  |  |  | 2,029 |
3.029% due 09/13/2045 • |  |  |  |  | 1,148 |  |  |  |  |  | 1,453 |
4.629% due 09/13/2045 • |  |  |  |  | 976 |  |  |  |  |  | 1,397 |
GC Pastor Hipotecario FTA |
0.000% due 06/21/2046 • |  | EUR |  |  | 1,313 |  |  |  |  |  | 1,317 |
GE Commercial Mortgage Corp. Trust |
5.606% due 12/10/2049 ~ |  | $ |  |  | 603 |  |  |  |  |  | 527 |
GMAC Mortgage Corp. Loan Trust |
4.666% due 08/19/2034 ~ |  |  |  |  | 41 |  |  |  |  |  | 39 |
GS Mortgage Securities Corp. Trust |
4.591% due 10/10/2032 ~(l) |  |  |  |  | 2,200 |  |  |  |  |  | 2,164 |
4.591% due 10/10/2032 ~ |  |  |  |  | 400 |  |  |  |  |  | 383 |
GSAA Home Equity Trust |
6.000% due 04/01/2034 |  |  |  |  | 761 |  |  |  |  |  | 817 |
GSMPS Mortgage Loan Trust |
5.341% due 06/19/2027 ~ |  |  |  |  | 26 |  |  |  |  |  | 26 |
7.000% due 06/25/2043 |  |  |  |  | 1,894 |  |  |  |  |  | 2,142 |
8.000% due 09/19/2027 ~ |  |  |  |  | 426 |  |  |  |  |  | 428 |
GSR Mortgage Loan Trust |
2.122% due 12/25/2034 • |  |  |  |  | 234 |  |  |  |  |  | 225 |
4.300% due 03/25/2033 • |  |  |  |  | 2 |  |  |  |  |  | 2 |
6.500% due 01/25/2034 |  |  |  |  | 150 |  |  |  |  |  | 159 |
IM Pastor Fondo de Titluzacion Hipotecaria |
0.000% due 03/22/2043 • |  | EUR |  |  | 435 |  |  |  |  |  | 450 |
JPMorgan Chase Commercial Mortgage Securities Trust |
5.411% due 05/15/2047 |  | $ |  |  | 1,068 |  |  |  |  |  | 1,248 |
5.623% due 05/12/2045 |  |  |  |  | 126 |  |  |  |  |  | 90 |
JPMorgan Mortgage Trust |
4.728% due 10/25/2036 ^~ |  |  |  |  | 1,480 |  |  |  |  |  | 1,449 |
5.500% due 08/25/2022 ^ |  |  |  |  | 9 |  |  |  |  |  | 9 |
5.500% due 06/25/2037 ^ |  |  |  |  | 239 |  |  |  |  |  | 241 |
MASTR Adjustable Rate Mortgages Trust |
3.924% due 10/25/2034 ~ |  |  |  |  | 521 |  |  |  |  |  | 492 |
MASTR Alternative Loan Trust |
6.250% due 07/25/2036 |  |  |  |  | 331 |  |  |  |  |  | 277 |
6.500% due 03/25/2034 |  |  |  |  | 741 |  |  |  |  |  | 769 |

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
7.000% due 04/25/2034 |  | $ |  |  | 28 |  |  | $ |  |  | 29 |
MASTR Reperforming Loan Trust |
7.000% due 05/25/2035 |  |  |  |  | 3,293 |  |  |  |  |  | 3,171 |
7.500% due 07/25/2035 |  |  |  |  | 1,678 |  |  |  |  |  | 1,696 |
Morgan Stanley Resecuritization Trust |
3.336% due 12/26/2046 ~ |  |  |  |  | 7,351 |  |  |  |  |  | 7,097 |
Motel 6 Trust |
8.666% due 08/15/2024 • |  |  |  |  | 3,437 |  |  |  |  |  | 3,497 |
NAAC Reperforming Loan REMIC Trust |
7.000% due 10/25/2034 ^ |  |  |  |  | 862 |  |  |  |  |  | 880 |
7.500% due 03/25/2034 ^(l) |  |  |  |  | 2,268 |  |  |  |  |  | 2,317 |
7.500% due 10/25/2034 ^(l) |  |  |  |  | 2,587 |  |  |  |  |  | 2,843 |
Newgate Funding PLC |
0.854% due 12/15/2050 • |  | EUR |  |  | 1,822 |  |  |  |  |  | 1,974 |
1.104% due 12/15/2050 • |  |  |  |  | 1,822 |  |  |  |  |  | 1,957 |
1.798% due 12/15/2050 • |  | GBP |  |  | 2,509 |  |  |  |  |  | 3,177 |
2.048% due 12/15/2050 • |  |  |  |  | 2,061 |  |  |  |  |  | 2,643 |
RBSSP Resecuritization Trust |
6.000% due 02/26/2037 ~ |  | $ |  |  | 3,316 |  |  |  |  |  | 2,702 |
6.250% due 12/26/2036 ~ |  |  |  |  | 5,540 |  |  |  |  |  | 3,542 |
Residential Accredit Loans, Inc. Trust |
6.000% due 08/25/2035 ^ |  |  |  |  | 1,503 |  |  |  |  |  | 1,502 |
Residential Asset Mortgage Products Trust |
8.500% due 10/25/2031 |  |  |  |  | 361 |  |  |  |  |  | 403 |
8.500% due 11/25/2031 |  |  |  |  | 642 |  |  |  |  |  | 613 |
Structured Asset Securities Corp. Mortgage Loan Trust |
7.500% due 10/25/2036 ^(l) |  |  |  |  | 2,560 |  |  |  |  |  | 2,155 |
WaMu Mortgage Pass-Through Certificates Trust |
4.368% due 05/25/2035 ~ |  |  |  |  | 140 |  |  |  |  |  | 143 |
Washington Mutual Mortgage Pass-Through Certificates Trust |
7.000% due 03/25/2034 |  |  |  |  | 98 |  |  |  |  |  | 105 |
7.500% due 04/25/2033 |  |  |  |  | 227 |  |  |  |  |  | 244 |
Total Non-Agency Mortgage-Backed Securities (Cost $81,185) |  |  | 88,218 |
ASSET-BACKED SECURITIES 20.6% |
Access Financial Manufactured Housing Contract Trust |
7.650% due 05/15/2021 |  |  |  |  | 200 |  |  |  |  |  | 19 |
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates |
5.317% due 11/25/2032 ^• |  |  |  |  | 136 |  |  |  |  |  | 4 |
Bear Stearns Asset-Backed Securities Trust |
1.664% due 09/25/2034 • |  |  |  |  | 354 |  |  |  |  |  | 345 |
Citigroup Mortgage Loan Trust |
1.952% due 12/25/2036 •(l) |  |  |  |  | 4,499 |  |  |  |  |  | 3,131 |
2.012% due 12/25/2036 • |  |  |  |  | 2,425 |  |  |  |  |  | 1,324 |
Citigroup Mortgage Loan Trust, Inc. |
2.052% due 03/25/2037 •(l) |  |  |  |  | 5,070 |  |  |  |  |  | 4,683 |
Conseco Finance Corp. |
6.530% due 02/01/2031 ~ |  |  |  |  | 104 |  |  |  |  |  | 101 |
Conseco Finance Securitizations Corp. |
7.960% due 05/01/2031 |  |  |  |  | 1,520 |  |  |  |  |  | 808 |
Countrywide Asset-Backed Certificates |
1.922% due 12/25/2036 ^•(l) |  |  |  |  | 2,920 |  |  |  |  |  | 2,752 |
1.932% due 06/25/2047 ^•(l) |  |  |  |  | 7,036 |  |  |  |  |  | 6,458 |
1.992% due 06/25/2037 ^•(l) |  |  |  |  | 2,062 |  |  |  |  |  | 1,998 |
1.992% due 06/25/2047 ^•(l) |  |  |  |  | 5,347 |  |  |  |  |  | 4,815 |
4.706% due 07/25/2036 ~(l) |  |  |  |  | 10,279 |  |  |  |  |  | 10,425 |
Countrywide Asset-Backed Certificates Trust |
3.442% due 11/25/2034 •(l) |  |  |  |  | 2,297 |  |  |  |  |  | 1,974 |
Crecera Americas LLC |
5.563% due 08/31/2020 • |  |  |  |  | 5,200 |  |  |  |  |  | 5,206 |
Credit-Based Asset Servicing & Securitization LLC |
5.381% due 12/25/2037 þ |  |  |  |  | 281 |  |  |  |  |  | 285 |
Encore Credit Receivables Trust |
2.527% due 07/25/2035 • |  |  |  |  | 576 |  |  |  |  |  | 558 |
Flagship Credit Auto Trust |
0.000% due 12/15/2025 «(g) |  |  |  |  | 12 |  |  |  |  |  | 1,491 |
Greenpoint Manufactured Housing |
8.300% due 10/15/2026 ~ |  |  |  |  | 289 |  |  |  |  |  | 305 |
Marlette Funding Trust |
0.000% due 12/15/2028 «(g) |  |  |  |  | 6 |  |  |  |  |  | 1,190 |

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
0.000% due 04/16/2029 «(g) |  | $ |  |  | 5 |  |  | $ |  |  | 1,241 |
0.000% due 07/16/2029 «(g) |  |  |  |  | 7 |  |  |  |  |  | 1,900 |
National Collegiate Commutation Trust |
0.000% due 03/25/2038 • |  |  |  |  | 10,400 |  |  |  |  |  | 3,715 |
Oakwood Mortgage Investors, Inc. |
1.970% due 06/15/2032 • |  |  |  |  | 11 |  |  |  |  |  | 11 |
Residential Asset Mortgage Products Trust |
8.500% due 12/25/2031 |  |  |  |  | 14 |  |  |  |  |  | 10 |
SMB Private Education Loan Trust |
0.000% due 10/15/2048 «(g) |  |  |  |  | 5 |  |  |  |  |  | 3,593 |
SoFi Consumer Loan Program LLC |
0.000% due 05/26/2026 «(g) |  |  |  |  | 31 |  |  |  |  |  | 1,157 |
0.000% due 11/25/2026 «(g) |  |  |  |  | 60 |  |  |  |  |  | 2,993 |
Total Asset-Backed Securities (Cost $69,536) |  |  | 62,492 |
SOVEREIGN ISSUES 5.1% |
Argentina Government International Bond |
3.375% due 01/15/2023 |  | EUR |  |  | 100 |  |  |  |  |  | 51 |
3.380% due 12/31/2038 þ |  |  |  |  | 1,570 |  |  |  |  |  | 818 |
5.250% due 01/15/2028 |  |  |  |  | 100 |  |  |  |  |  | 50 |
6.250% due 11/09/2047 |  |  |  |  | 100 |  |  |  |  |  | 51 |
7.820% due 12/31/2033 |  |  |  |  | 3,702 |  |  |  |  |  | 2,406 |
15.500% due 10/17/2026 |  | ARS |  |  | 15,810 |  |  |  |  |  | 73 |
42.836% (BADLARPP + 2.000%) due 04/03/2022 ~ |  |  |  |  | 34,137 |  |  |  |  |  | 303 |
45.399% (BADLARPP + 3.250%) due 03/01/2020 ~ |  |  |  |  | 21,410 |  |  |  |  |  | 236 |
56.589% (ARLLMONP) due 06/21/2020 ~(a) |  |  |  |  | 180,595 |  |  |  |  |  | 1,633 |
59.928% (BADLARPP) due 10/04/2022 ~(a) |  |  |  |  | 32 |  |  |  |  |  | 1 |
Autonomous City of Buenos Aires Argentina |
44.086% due 03/29/2024 • |  |  |  |  | 46,535 |  |  |  |  |  | 534 |
Peru Government International Bond |
5.400% due 08/12/2034 |  | PEN |  |  | 7 |  |  |  |  |  | 2 |
5.940% due 02/12/2029 |  |  |  |  | 2,071 |  |  |  |  |  | 705 |
6.150% due 08/12/2032 |  |  |  |  | 1,172 |  |  |  |  |  | 401 |
6.350% due 08/12/2028 |  |  |  |  | 2,191 |  |  |  |  |  | 768 |
6.900% due 08/12/2037 |  |  |  |  | 13 |  |  |  |  |  | 5 |
6.950% due 08/12/2031 |  |  |  |  | 563 |  |  |  |  |  | 205 |
8.200% due 08/12/2026 |  |  |  |  | 1,243 |  |  |  |  |  | 478 |
Provincia de Buenos Aires |
45.979% due 05/31/2022 • |  | ARS |  |  | 60 |  |  |  |  |  | 0 |
52.270% (BADLARPP + 3.750%) due 04/12/2025 ~(a) |  |  |  |  | 194,090 |  |  |  |  |  | 1,472 |
South Africa Government International Bond |
4.850% due 09/30/2029 (l) |  | $ |  |  | 600 |  |  |  |  |  | 602 |
5.750% due 09/30/2049 (l) |  |  |  |  | 600 |  |  |  |  |  | 586 |
Turkey Government International Bond |
4.625% due 03/31/2025 |  | EUR |  |  | 900 |  |  |  |  |  | 1,070 |
5.200% due 02/16/2026 |  |  |  |  | 300 |  |  |  |  |  | 365 |
5.600% due 11/14/2024 (l) |  | $ |  |  | 1,300 |  |  |  |  |  | 1,325 |
7.625% due 04/26/2029 (l) |  |  |  |  | 1,200 |  |  |  |  |  | 1,329 |
Venezuela Government International Bond |
6.000% due 12/09/2020 ^(d) |  |  |  |  | 135 |  |  |  |  |  | 16 |
8.250% due 10/13/2024 ^(d) |  |  |  |  | 13 |  |  |  |  |  | 2 |
9.250% due 09/15/2027 ^(d) |  |  |  |  | 171 |  |  |  |  |  | 21 |
Total Sovereign Issues (Cost $25,499) |  |  | 15,508 |
|  |  |  | SHARES |  |  |  |  |  |
COMMON STOCKS 0.5% |
COMMUNICATION SERVICES 0.4% |
Clear Channel Outdoor Holdings, Inc. (e) |  |  | 291,816 |  |  |  |  |  | 835 |
iHeartMedia, Inc. |  |  |  |  | 216 |  |  |  |  |  | 3 |
iHeartMedia, Inc. ‘A’ (e) |  |  |  |  | 16,075 |  |  |  |  |  | 272 |
|  |  |  |  |  |  |  |  |  |  | 1,110 |
CONSUMER DISCRETIONARY 0.1% |
Caesars Entertainment Corp. (e) |  |  | 27,655 |  |  |  |  |  | 376 |

See Accompanying Notes |  | SEMIANNUAL REPORT |  | DECEMBER 31, 2019 |  | 71

Schedule of Investments PIMCO Strategic Income Fund, Inc. (Cont.)

|  |  |  | SHARES |  |  |  |  | MARKET VALUE (000S) |
ENERGY 0.0% |
Forbes Energy Services Ltd. (e)(j) |  |  | 4,500 |  |  | $ |  |  | 1 |
INDUSTRIALS 0.0% |
Westmoreland Mining Holdings LLC «(j) |  |  | 70 |  |  |  |  |  | 1 |
Total Common Stocks (Cost $2,273) |  |  | 1,488 |
WARRANTS 0.6% |
COMMUNICATION SERVICES 0.6% |
iHeartMedia, Inc. |  |  |  |  | 104,691 |  |  |  |  |  | 1,769 |
Total Warrants (Cost $1,972) |  |  | 1,769 |
PREFERRED SECURITIES 3.5% |
BANKING & FINANCE 3.4% |
Nationwide Building Society |
10.250% ~ |  |  |  |  | 36,440 |  |  |  |  |  | 8,013 |

|  |  |  | SHARES |  |  |  |  | MARKET VALUE (000S) |
Stichting AK Rabobank Certificaten |
6.500% due 12/29/2049 (h) |  |  |  |  | 1,676,000 |  |  | $ |  |  | 2,397 |
|  |  |  |  |  |  |  |  |  |  | 10,410 |
INDUSTRIALS 0.1% |
General Electric Co. |
5.000% due 01/21/2021 •(h) |  |  |  |  | 139,000 |  |  |  |  |  | 136 |
Total Preferred Securities (Cost $9,664) |  |  | 10,546 |
REAL ESTATE INVESTMENT TRUSTS 0.4% |
REAL ESTATE 0.4% |
VICI Properties, Inc. |  |  |  |  | 44,227 |  |  |  |  |  | 1,130 |
Total Real Estate Investment Trusts (Cost $668) |  |  | 1,130 |
SHORT-TERM INSTRUMENTS 7.1% |
REPURCHASE AGREEMENTS (k) 5.3% |
|  |  |  |  |  |  |  |  |  |  | 15,994 |

|  |  |  | SHARES |  |  |  |  | MARKET VALUE (000S) |
U.S. TREASURY BILLS 1.8% |
1.721% due 01/02/2020 - 01/23/2020 (f)(g)(n)(p) |  |  |  |  | 5,487 |  |  | $ |  |  | 5,486 |
Total Short-Term Instruments (Cost $21,479) |  |  |  |  |  | 21,480 |
Total Investments in Securities (Cost $995,565) |  |  |  |  |  | 999,058 |
Total Investments 328.9% (Cost $995,565) |  |  | $ |  |  | 999,058 |
Financial Derivative Instruments (m)(o) (0.0)% (Cost or Premiums, net $(2,675)) |  |  |  |  |  | (121 | )
Other Assets and Liabilities, net (228.9)% |  |  |  |  |  | (695,174 | )
Net Assets 100.0% |  |  | $ |  |  | 303,763 |

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) | Interest only security.

(b) | Principal only security.

(c) | Payment in-kind security.

(d) | Security is not accruing income as of the date of this report.

(e) | Security did not produce income within the last twelve months.

(f) | Coupon represents a weighted average yield to maturity.

(g) | Zero coupon security.

(h) | Perpetual maturity; date shown, if applicable, represents next contractual call date.

(i) | Contingent convertible security.

(j) RESTRICTED SECURITIES:

Issuer Description |  | Acquisition Date |  | Cost |  |  | Market Value |  |  | Market Value as Percentage of Net Assets |
Forbes Energy Services Ltd. |  | 03/11/2014 |  | $ | 222 |  |  | $ | 1 |  |  |  | 0.00 | %
Pinnacol Assurance 8.625% due 06/25/2034 |  | 06/23/2014 |  |  | 2,600 |  |  |  | 2,783 |  |  |  | 0.92 |
Westmoreland Mining Holdings LLC |  | 03/26/2019 |  |  | 0 |  |  |  | 1 |  |  |  | 0.00 |
|  | $ | 2,822 |  |  | $ | 2,785 |  |  |  | 0.92 | %

72 |  | PIMCO CLOSED-END FUNDS |  |  |  |  | See Accompanying Notes |

December 31, 2019 (Unaudited)

BORROWINGS AND OTHER FINANCING TRANSACTIONS

(k) 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 |  |  | 1.250 | % |  |  | 12/31/2019 |  |  |  | 01/02/2020 |  |  | $ | 2,794 |  |  | U.S. Treasury Inflation Protected Securities 0.125% due 04/15/2020 |  | $ | (2,854 | ) |  | $ | 2,794 |  |  | $ | 2,794 |
NOM |  |  | 1.650 |  |  |  | 12/31/2019 |  |  |  | 01/02/2020 |  |  |  | 13,200 |  |  | U.S. Treasury Bonds 3.125% due 02/15/2043 |  |  | (13,382 | ) |  |  | 13,200 |  |  |  | 13,201 |
Total Repurchase Agreements |  |  |  |  | $ | (16,236 | ) |  | $ | 15,994 |  |  | $ | 15,995 |

REVERSE REPURCHASE AGREEMENTS:

Counterparty |  | Borrowing Rate(2) |  |  | Settlement Date |  |  | Maturity Date |  |  | Amount Borrowed(2) |  |  | Payable for Reverse Repurchase Agreements |
BOS |  |  | 2.060 | % |  |  | 12/11/2019 |  |  |  | 02/07/2020 |  |  |  | $ |  |  |  | (13,421 | ) |  | $ | (13,438 | )
|  |  | 2.254 |  |  |  | 12/05/2019 |  |  |  | 01/08/2020 |  |  |  |  |  |  |  | (8,412 | ) |  |  | (8,426 | )
|  |  | 2.383 |  |  |  | 11/19/2019 |  |  |  | 01/17/2020 |  |  |  |  |  |  |  | (3,092 | ) |  |  | (3,101 | )
|  |  | 2.386 |  |  |  | 11/20/2019 |  |  |  | 01/23/2020 |  |  |  |  |  |  |  | (5,125 | ) |  |  | (5,140 | )
BPS |  |  | 2.000 |  |  |  | 12/04/2019 |  |  |  | 01/06/2020 |  |  |  |  |  |  |  | (1,965 | ) |  |  | (1,968 | )
|  |  | 2.120 |  |  |  | 12/13/2019 |  |  |  | 01/10/2020 |  |  |  |  |  |  |  | (9,957 | ) |  |  | (9,968 | )
|  |  | 2.120 |  |  |  | 01/06/2020 |  |  |  | 02/07/2020 |  |  |  |  |  |  |  | (1,972 | ) |  |  | (1,972 | )
|  |  | 2.150 |  |  |  | 11/08/2019 |  |  |  | 01/07/2020 |  |  |  |  |  |  |  | (2,165 | ) |  |  | (2,172 | )
|  |  | 2.150 |  |  |  | 12/20/2019 |  |  |  | 01/21/2020 |  |  |  |  |  |  |  | (22,162 | ) |  |  | (22,179 | )
|  |  | 2.180 |  |  |  | 11/18/2019 |  |  |  | 01/17/2020 |  |  |  |  |  |  |  | (598 | ) |  |  | (600 | )
|  |  | 2.200 |  |  |  | 11/14/2019 |  |  |  | 01/10/2020 |  |  |  |  |  |  |  | (7,539 | ) |  |  | (7,562 | )
|  |  | 2.300 |  |  |  | 01/03/2020 |  |  |  | 02/03/2020 |  |  |  |  |  |  |  | (1,237 | ) |  |  | (1,237 | )
|  |  | 2.300 |  |  |  | 01/06/2020 |  |  |  | 02/07/2020 |  |  |  |  |  |  |  | (3,447 | ) |  |  | (3,447 | )
|  |  | 2.330 |  |  |  | 12/04/2019 |  |  |  | 01/06/2020 |  |  |  |  |  |  |  | (1,698 | ) |  |  | (1,701 | )
|  |  | 2.350 |  |  |  | 12/13/2019 |  |  |  | 01/10/2020 |  |  |  |  |  |  |  | (297 | ) |  |  | (297 | )
|  |  | 2.365 |  |  |  | 12/10/2019 |  |  |  | 01/08/2020 |  |  |  |  |  |  |  | (6,710 | ) |  |  | (6,720 | )
|  |  | 2.365 |  |  |  | 12/11/2019 |  |  |  | 01/08/2020 |  |  |  |  |  |  |  | (997 | ) |  |  | (998 | )
|  |  | 2.370 |  |  |  | 01/03/2020 |  |  |  | 02/03/2020 |  |  |  |  |  |  |  | (85 | ) |  |  | (85 | )
|  |  | 2.370 |  |  |  | 01/06/2020 |  |  |  | 02/07/2020 |  |  |  |  |  |  |  | (3,989 | ) |  |  | (3,989 | )
|  |  | 2.400 |  |  |  | 11/18/2019 |  |  |  | 02/18/2020 |  |  |  |  |  |  |  | (2,280 | ) |  |  | (2,287 | )
|  |  | 2.450 |  |  |  | 11/04/2019 |  |  |  | 01/03/2020 |  |  |  |  |  |  |  | (593 | ) |  |  | (595 | )
|  |  | 2.459 |  |  |  | 10/31/2019 |  |  |  | 01/31/2020 |  |  |  |  |  |  |  | (10,559 | ) |  |  | (10,604 | )
|  |  | 2.470 |  |  |  | 11/04/2019 |  |  |  | 01/03/2020 |  |  |  |  |  |  |  | (601 | ) |  |  | (603 | )
|  |  | 2.480 |  |  |  | 11/27/2019 |  |  |  | 01/21/2020 |  |  |  |  |  |  |  | (1,408 | ) |  |  | (1,411 | )
|  |  | 2.490 |  |  |  | 10/24/2019 |  |  |  | 01/17/2020 |  |  |  |  |  |  |  | (363 | ) |  |  | (365 | )
|  |  | 2.500 |  |  |  | 11/04/2019 |  |  |  | 01/03/2020 |  |  |  |  |  |  |  | (76 | ) |  |  | (76 | )
|  |  | 2.500 |  |  |  | 11/18/2019 |  |  |  | 01/17/2020 |  |  |  |  |  |  |  | (1,775 | ) |  |  | (1,780 | )
|  |  | 2.500 |  |  |  | 11/22/2019 |  |  |  | 01/21/2020 |  |  |  |  |  |  |  | (970 | ) |  |  | (973 | )
|  |  | 2.530 |  |  |  | 11/07/2019 |  |  |  | 01/06/2020 |  |  |  |  |  |  |  | (4,108 | ) |  |  | (4,124 | )
|  |  | 2.530 |  |  |  | 11/08/2019 |  |  |  | 01/07/2020 |  |  |  |  |  |  |  | (4,362 | ) |  |  | (4,379 | )
|  |  | 2.530 |  |  |  | 11/13/2019 |  |  |  | 01/13/2020 |  |  |  |  |  |  |  | (7,601 | ) |  |  | (7,628 | )
|  |  | 2.530 |  |  |  | 11/27/2019 |  |  |  | 01/07/2020 |  |  |  |  |  |  |  | (105 | ) |  |  | (105 | )
|  |  | 2.540 |  |  |  | 10/18/2019 |  |  |  | 01/17/2020 |  |  |  |  |  |  |  | (152 | ) |  |  | (153 | )
|  |  | 2.540 |  |  |  | 12/10/2019 |  |  |  | 01/17/2020 |  |  |  |  |  |  |  | (804 | ) |  |  | (805 | )
|  |  | 2.550 |  |  |  | 10/18/2019 |  |  |  | 01/17/2020 |  |  |  |  |  |  |  | (422 | ) |  |  | (424 | )
|  |  | 2.560 |  |  |  | 10/24/2019 |  |  |  | 01/17/2020 |  |  |  |  |  |  |  | (410 | ) |  |  | (412 | )
|  |  | 2.580 |  |  |  | 11/13/2019 |  |  |  | 01/13/2020 |  |  |  |  |  |  |  | (1,965 | ) |  |  | (1,972 | )
|  |  | 2.580 |  |  |  | 11/18/2019 |  |  |  | 01/17/2020 |  |  |  |  |  |  |  | (905 | ) |  |  | (908 | )
|  |  | 2.580 |  |  |  | 11/22/2019 |  |  |  | 01/21/2020 |  |  |  |  |  |  |  | (545 | ) |  |  | (547 | )
|  |  | 2.650 |  |  |  | 11/07/2019 |  |  |  | 01/06/2020 |  |  |  |  |  |  |  | (3,784 | ) |  |  | (3,799 | )
|  |  | 2.650 |  |  |  | 11/08/2019 |  |  |  | 01/07/2020 |  |  |  |  |  |  |  | (360 | ) |  |  | (361 | )
|  |  | 2.660 |  |  |  | 11/22/2019 |  |  |  | 01/21/2020 |  |  |  |  |  |  |  | (276 | ) |  |  | (277 | )
|  |  | 2.703 |  |  |  | 11/18/2019 |  |  |  | 02/18/2020 |  |  |  |  |  |  |  | (442 | ) |  |  | (444 | )
|  |  | 2.825 |  |  |  | 12/06/2019 |  |  |  | 02/04/2020 |  |  |  |  |  |  |  | (2,124 | ) |  |  | (2,128 | )
|  |  | 2.838 |  |  |  | 11/04/2019 |  |  |  | 01/03/2020 |  |  |  |  |  |  |  | (1,421 | ) |  |  | (1,428 | )
|  |  | 2.838 |  |  |  | 11/06/2019 |  |  |  | 01/06/2020 |  |  |  |  |  |  |  | (2,314 | ) |  |  | (2,324 | )
|  |  | 2.895 |  |  |  | 11/14/2019 |  |  |  | 01/10/2020 |  |  |  |  |  |  |  | (12,696 | ) |  |  | (12,745 | )
|  |  | 2.898 |  |  |  | 11/21/2019 |  |  |  | 02/19/2020 |  |  |  |  |  |  |  | (3,652 | ) |  |  | (3,664 | )
|  |  | 2.900 |  |  |  | 11/13/2019 |  |  |  | 01/13/2020 |  |  |  |  |  |  |  | (14,711 | ) |  |  | (14,770 | )
BRC |  |  | 0.850 |  |  |  | 08/29/2019 |  |  |  | TBD | (3) |  |  | GBP |  |  |  | (4,419 | ) |  |  | (5,870 | )
|  |  | 2.250 |  |  |  | 11/04/2019 |  |  |  | 01/03/2020 |  |  |  | $ |  |  |  | (1,081 | ) |  |  | (1,085 | )
|  |  | 2.250 |  |  |  | 01/03/2020 |  |  |  | 03/03/2020 |  |  |  |  |  |  |  | (1,082 | ) |  |  | (1,082 | )
|  |  | 2.763 |  |  |  | 01/03/2020 |  |  |  | 04/01/2020 |  |  |  |  |  |  |  | (7,596 | ) |  |  | (7,596 | )
|  |  | 2.838 |  |  |  | 11/04/2019 |  |  |  | 01/03/2020 |  |  |  |  |  |  |  | (6,116 | ) |  |  | (6,144 | )

See Accompanying Notes |  | SEMIANNUAL REPORT |  | DECEMBER 31, 2019 |  | 73

Schedule of Investments PIMCO Strategic Income Fund, Inc. (Cont.)

Counterparty |  | Borrowing Rate(2) |  |  | Settlement Date |  |  | Maturity Date |  |  | Amount Borrowed(2) |  |  | Payable for Reverse Repurchase Agreements |
|  |  | 2.838 | % |  |  | 12/13/2019 |  |  |  | 01/03/2020 |  |  |  | $ |  |  |  | (1,629 | ) |  | $ | (1,632 | )
|  |  | 2.903 |  |  |  | 11/18/2019 |  |  |  | 02/18/2020 |  |  |  |  |  |  |  | (4,389 | ) |  |  | (4,405 | )
IND |  |  | 2.070 |  |  |  | 12/12/2019 |  |  |  | 01/10/2020 |  |  |  |  |  |  |  | (17,022 | ) |  |  | (17,043 | )
JML |  |  | 0.900 |  |  |  | 10/15/2019 |  |  |  | 01/14/2020 |  |  |  | GBP |  |  |  | (233 | ) |  |  | (310 | )
|  |  | 0.900 |  |  |  | 11/20/2019 |  |  |  | TBD | (3) |  |  |  |  |  |  | (778 | ) |  |  | (1,031 | )
|  |  | 0.950 |  |  |  | 10/15/2019 |  |  |  | 01/14/2020 |  |  |  |  |  |  |  | (3,426 | ) |  |  | (4,547 | )
|  |  | 0.950 |  |  |  | 10/16/2019 |  |  |  | 01/15/2020 |  |  |  |  |  |  |  | (2,797 | ) |  |  | (3,712 | )
|  |  | 0.950 |  |  |  | 10/17/2019 |  |  |  | 01/16/2020 |  |  |  |  |  |  |  | (759 | ) |  |  | (1,008 | )
|  |  | 0.950 |  |  |  | 10/18/2019 |  |  |  | 01/17/2020 |  |  |  |  |  |  |  | (1,380 | ) |  |  | (1,832 | )
NOM |  |  | 2.400 |  |  |  | 11/12/2019 |  |  |  | 01/13/2020 |  |  |  | $ |  |  |  | (905 | ) |  |  | (908 | )
|  |  | 2.450 |  |  |  | 11/08/2019 |  |  |  | 01/08/2020 |  |  |  |  |  |  |  | (6,056 | ) |  |  | (6,078 | )
|  |  | 2.650 |  |  |  | 11/19/2019 |  |  |  | 01/21/2020 |  |  |  |  |  |  |  | (2,883 | ) |  |  | (2,892 | )
RTA |  |  | 2.329 |  |  |  | 11/08/2019 |  |  |  | 02/07/2020 |  |  |  |  |  |  |  | (1,178 | ) |  |  | (1,182 | )
|  |  | 2.452 |  |  |  | 10/08/2019 |  |  |  | 01/07/2020 |  |  |  |  |  |  |  | (1,714 | ) |  |  | (1,724 | )
UBS |  |  | 2.000 |  |  |  | 12/10/2019 |  |  |  | 01/03/2020 |  |  |  |  |  |  |  | (378 | ) |  |  | (379 | )
|  |  | 2.250 |  |  |  | 11/01/2019 |  |  |  | TBD | (3) |  |  |  |  |  |  | (2,472 | ) |  |  | (2,481 | )
|  |  | 2.450 |  |  |  | 11/14/2019 |  |  |  | 01/07/2020 |  |  |  |  |  |  |  | (1,749 | ) |  |  | (1,755 | )
|  |  | 2.450 |  |  |  | 11/22/2019 |  |  |  | 02/20/2020 |  |  |  |  |  |  |  | (190 | ) |  |  | (191 | )
|  |  | 2.500 |  |  |  | 11/14/2019 |  |  |  | 01/07/2020 |  |  |  |  |  |  |  | (115 | ) |  |  | (115 | )
Total Reverse Repurchase Agreements |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | (252,093 | )

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, 2019:

Counterparty |  | Repurchase Agreement Proceeds to be Received(1) |  |  | Payable for Reverse Repurchase Agreements |  |  | Payable for Sale-Buyback Transactions |  |  | Total Borrowings and Other Financing Transactions |  |  | Collateral Pledged/(Received) |  |  | Net Exposure(4) |
Global/Master Repurchase Agreement |
BOS |  | $ | 0 |  |  | $ | (30,105 | ) |  | $ | 0 |  |  | $ | (30,105 | ) |  | $ | 35,000 |  |  | $ | 4,895 |
BPS |  |  | 0 |  |  |  | (146,986 | ) |  |  | 0 |  |  |  | (146,986 | ) |  |  | 158,647 |  |  |  | 11,661 |
BRC |  |  | 0 |  |  |  | (27,814 | ) |  |  | 0 |  |  |  | (27,814 | ) |  |  | 24,144 |  |  |  | (3,670 | )
FICC |  |  | 2,794 |  |  |  | 0 |  |  |  | 0 |  |  |  | 2,794 |  |  |  | (2,854 | ) |  |  | (60 | )
IND |  |  | 0 |  |  |  | (17,043 | ) |  |  | 0 |  |  |  | (17,043 | ) |  |  | 17,547 |  |  |  | 504 |
JML |  |  | 0 |  |  |  | (12,440 | ) |  |  | 0 |  |  |  | (12,440 | ) |  |  | 14,523 |  |  |  | 2,083 |
NOM |  |  | 13,201 |  |  |  | (9,878 | ) |  |  | 0 |  |  |  | 3,323 |  |  |  | (2,918 | ) |  |  | 405 |
RTA |  |  | 0 |  |  |  | (2,906 | ) |  |  | 0 |  |  |  | (2,906 | ) |  |  | 3,308 |  |  |  | 402 |
UBS |  |  | 0 |  |  |  | (4,921 | ) |  |  | 0 |  |  |  | (4,921 | ) |  |  | 5,934 |  |  |  | 1013 |
Total Borrowings and Other Financing Transactions |  | $ | 15,995 |  |  | $ | (252,093 | ) |  | $ | 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 |  |  | $ | (81,225 | ) |  | $ | (1,373 | ) |  | $ | (9,382 | ) |  | $ | (91,980 | )
U.S. Government Agencies |  |  | 0 |  |  |  | (63,607 | ) |  |  | (28,891 | ) |  |  | 0 |  |  |  | (92,498 | )
Non-Agency Mortgage-Backed Securities |  |  | 0 |  |  |  | (7,776 | ) |  |  | (2,128 | ) |  |  | 0 |  |  |  | (9,904 | )
Asset-Backed Securities |  |  | 0 |  |  |  | (31,267 | ) |  |  | (3,664 | ) |  |  | 0 |  |  |  | (34,931 | )
Sovereign Issues |  |  | 0 |  |  |  | (1,085 | ) |  |  | (2,287 | ) |  |  | 0 |  |  |  | (3,372 | )
Total Borrowings |  | $ | 0 |  |  | $ | (184,960 | ) |  | $ | (38,343 | ) |  | $ | (9,382 | ) |  | $ | (232,685 | )
Payable for reverse repurchase agreements(5) |  |  | $ | (232,685 | )

(l) | Securities with an aggregate market value of $270,831 and cash of $390 have been pledged as collateral under the terms of the above master agreements as of December 31, 2019.

(1) | Includes accrued interest.

(2) | The average amount of borrowings outstanding during the period ended December 31, 2019 was $(229,382) at a weighted average interest rate of 2.560%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.

(3) | Open maturity reverse repurchase agreement.

74 |  | PIMCO CLOSED-END FUNDS |  |  |  |  | See Accompanying Notes |

December 31, 2019 (Unaudited)

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

(5) | Unsettled reverse repurchase agreements liability of $(19,408) is outstanding at period end.

(m) 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 |  | 3-Month CAD-Bank Bill |  |  | 3.300 | % |  | Semi-Annual |  |  | 06/19/2024 |  |  |  | CAD |  |  |  | 11,200 |  |  | $ | 624 |  |  | $ | (156 | ) |  | $ | 468 |  |  | $ | 0 |  |  | $ | (16 | )
Receive |  | 3-Month CAD-Bank Bill |  |  | 3.500 |  |  | Semi-Annual |  |  | 06/20/2044 |  |  |  |  |  |  |  | 3,800 |  |  |  | (534 | ) |  |  | (147 | ) |  |  | (681 | ) |  |  | 67 |  |  |  | 0 |
Receive |  | 3-Month USD-LIBOR |  |  | 1.500 |  |  | Semi-Annual |  |  | 12/18/2021 |  |  |  | $ |  |  |  | 25,000 |  |  |  | 64 |  |  |  | 37 |  |  |  | 101 |  |  |  | 10 |  |  |  | 0 |
Receive |  | 3-Month USD-LIBOR |  |  | 3.000 |  |  | Semi-Annual |  |  | 06/19/2022 |  |  |  |  |  |  |  | 208,500 |  |  |  | (6,610 | ) |  |  | (62 | ) |  |  | (6,672 | ) |  |  | 94 |  |  |  | 0 |
Receive |  | 3-Month USD-LIBOR |  |  | 3.000 |  |  | Semi-Annual |  |  | 06/19/2024 |  |  |  |  |  |  |  | 32,500 |  |  |  | (1,241 | ) |  |  | (564 | ) |  |  | (1,805 | ) |  |  | 30 |  |  |  | 0 |
Receive |  | 3-Month USD-LIBOR |  |  | 1.500 |  |  | Semi-Annual |  |  | 12/18/2024 |  |  |  |  |  |  |  | 14,000 |  |  |  | 46 |  |  |  | 112 |  |  |  | 158 |  |  |  | 15 |  |  |  | 0 |
Receive |  | 3-Month USD-LIBOR |  |  | 2.000 |  |  | Semi-Annual |  |  | 06/20/2025 |  |  |  |  |  |  |  | 8,400 |  |  |  | 399 |  |  |  | (509 | ) |  |  | (110 | ) |  |  | 11 |  |  |  | 0 |
Pay |  | 3-Month USD-LIBOR |  |  | 3.000 |  |  | Semi-Annual |  |  | 06/19/2029 |  |  |  |  |  |  |  | 65,000 |  |  |  | 5,159 |  |  |  | 1,174 |  |  |  | 6,333 |  |  |  | 0 |  |  |  | (194 | )
Pay |  | 3-Month USD-LIBOR |  |  | 1.500 |  |  | Semi-Annual |  |  | 12/18/2029 |  |  |  |  |  |  |  | 7,000 |  |  |  | (107 | ) |  |  | (158 | ) |  |  | (265 | ) |  |  | 0 |  |  |  | (22 | )
Receive(1) |  | 3-Month USD-LIBOR |  |  | 2.000 |  |  | Semi-Annual |  |  | 01/15/2050 |  |  |  |  |  |  |  | 4,400 |  |  |  | (32 | ) |  |  | 147 |  |  |  | 115 |  |  |  | 49 |  |  |  | 0 |
Receive(1) |  | 3-Month USD-LIBOR |  |  | 1.625 |  |  | Semi-Annual |  |  | 01/16/2050 |  |  |  |  |  |  |  | 9,600 |  |  |  | (18 | ) |  |  | 1,097 |  |  |  | 1,079 |  |  |  | 102 |  |  |  | 0 |
Receive(1) |  | 3-Month USD-LIBOR |  |  | 1.750 |  |  | Semi-Annual |  |  | 01/22/2050 |  |  |  |  |  |  |  | 23,400 |  |  |  | (139 | ) |  |  | 2,095 |  |  |  | 1,956 |  |  |  | 251 |  |  |  | 0 |
Receive(1) |  | 3-Month USD-LIBOR |  |  | 1.625 |  |  | Semi-Annual |  |  | 02/03/2050 |  |  |  |  |  |  |  | 12,500 |  |  |  | (44 | ) |  |  | 1,448 |  |  |  | 1,404 |  |  |  | 133 |  |  |  | 0 |
Receive(1) |  | 3-Month USD-LIBOR |  |  | 1.875 |  |  | Semi-Annual |  |  | 02/07/2050 |  |  |  |  |  |  |  | 1,400 |  |  |  | (6 | ) |  |  | 83 |  |  |  | 77 |  |  |  | 15 |  |  |  | 0 |
Receive |  | 6-Month EUR-EURIBOR |  |  | 0.000 |  |  | Annual |  |  | 08/19/2021 |  |  |  | EUR |  |  |  | 257,400 |  |  |  | (406 | ) |  |  | (1,521 | ) |  |  | (1,927 | ) |  |  | 26 |  |  |  | 0 |
Receive |  | 6-Month EUR-EURIBOR |  |  | 0.260 |  |  | Annual |  |  | 09/06/2024 |  |  |  |  |  |  |  | 34,800 |  |  |  | 6 |  |  |  | (832 | ) |  |  | (826 | ) |  |  | 66 |  |  |  | 0 |
Pay |  | 6-Month EUR-EURIBOR |  |  | 0.650 |  |  | Annual |  |  | 02/26/2029 |  |  |  |  |  |  |  | 164,400 |  |  |  | (770 | ) |  |  | 10,661 |  |  |  | 9,891 |  |  |  | 0 |  |  |  | (769 | )
Receive |  | 6-Month EUR-EURIBOR |  |  | 1.250 |  |  | Annual |  |  | 08/19/2049 |  |  |  |  |  |  |  | 34,600 |  |  |  | 739 |  |  |  | (7,782 | ) |  |  | (7,043 | ) |  |  | 604 |  |  |  | 0 |
Receive(1) |  | 6-Month GBP-LIBOR |  |  | 0.750 |  |  | Semi-Annual |  |  | 03/18/2030 |  |  |  | GBP |  |  |  | 1,500 |  |  |  | 16 |  |  |  | 37 |  |  |  | 53 |  |  |  | 12 |  |  |  | 0 |
Receive(1) |  | 6-Month GBP-LIBOR |  |  | 0.750 |  |  | Semi-Annual |  |  | 03/18/2050 |  |  |  |  |  |  |  | 9,200 |  |  |  | 184 |  |  |  | 978 |  |  |  | 1,162 |  |  |  | 195 |  |  |  | 0 |
Total Swap Agreements |  |  |  |  |  |  | $ | (2,670 | ) |  | $ | 6,138 |  |  | $ | 3,468 |  |  | $ | 1,680 |  |  | $ | (1,001 | )

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, 2019:

|  | 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 |  |  | $ | 1,680 |  |  | $ | 1,680 |  |  |  |  |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | (1,001) |  |  | $ | (1,001) |

(n) | Securities with an aggregate market value of $554 and cash of $10,287 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2019. 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.

(o) 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 |
BPS |  |  | 01/2020 |  |  | EUR |  |  | 2,481 |  |  | $ |  |  | 2,740 |  |  | $ | 0 |  |  | $ | (44 | )
|  |  | 01/2020 |  |  | GBP |  |  | 23,638 |  |  |  |  |  | 30,610 |  |  |  | 0 |  |  |  | (707 | )
|  |  | 01/2020 |  |  | $ |  |  | 29 |  |  | CLP |  |  | 22,446 |  |  |  | 1 |  |  |  | 0 |
|  |  | 01/2020 |  |  |  |  |  | 227 |  |  | EUR |  |  | 204 |  |  |  | 2 |  |  |  | 0 |
|  |  | 01/2020 |  |  |  |  |  | 387 |  |  | GBP |  |  | 294 |  |  |  | 3 |  |  |  | 0 |
|  |  | 02/2020 |  |  | PEN |  |  | 1,743 |  |  | $ |  |  | 514 |  |  |  | 0 |  |  |  | (12 | )
BRC |  |  | 01/2020 |  |  | $ |  |  | 2,938 |  |  | MXN |  |  | 58,756 |  |  |  | 158 |  |  |  | 0 |
BSH |  |  | 01/2020 |  |  | MXN |  |  | 58,756 |  |  | $ |  |  | 3,039 |  |  |  | 0 |  |  |  | (57 | )
|  |  | 05/2020 |  |  | $ |  |  | 2,995 |  |  | MXN |  |  | 58,756 |  |  |  | 56 |  |  |  | 0 |
CBK |  |  | 01/2020 |  |  |  |  |  | 166 |  |  | CLP |  |  | 130,284 |  |  |  | 7 |  |  |  | 0 |
|  |  | 01/2020 |  |  |  |  |  | 81 |  |  | TRY |  |  | 468 |  |  |  | 0 |  |  |  | (2 | )
GLM |  |  | 01/2020 |  |  |  |  |  | 1,468 |  |  |  |  |  | 8,602 |  |  |  | 0 |  |  |  | (29 | )
|  |  | 02/2020 |  |  |  |  |  | 3,045 |  |  | RUB |  |  | 195,242 |  |  |  | 85 |  |  |  | 0 |

See Accompanying Notes |  | SEMIANNUAL REPORT |  | DECEMBER 31, 2019 |  | 75

Schedule of Investments PIMCO Strategic Income Fund, Inc. (Cont.)

Counterparty |  | Settlement Month |  |  | Currency to be Delivered |  |  | Currency to be Received |  |  | Unrealized Appreciation/ (Depreciation) |
| Asset |  |  | Liability |
HUS |  |  | 01/2020 |  |  | CAD |  |  | 85 |  |  | $ |  |  | 64 |  |  | $ | 0 |  |  | $ | (2 | )
|  |  | 01/2020 |  |  | GBP |  |  | 530 |  |  |  |  |  | 699 |  |  |  | 0 |  |  |  | (3 | )
|  |  | 01/2020 |  |  | $ |  |  | 308 |  |  | GBP |  |  | 236 |  |  |  | 5 |  |  |  | 0 |
MYI |  |  | 01/2020 |  |  | EUR |  |  | 16,088 |  |  | $ |  |  | 17,789 |  |  |  | 0 |  |  |  | (265 | )
RYL |  |  | 01/2020 |  |  | CLP |  |  | 50,125 |  |  |  |  |  | 66 |  |  |  | 0 |  |  |  | (1 | )
|  |  | 01/2020 |  |  | $ |  |  | 66 |  |  | CLP |  |  | 50,125 |  |  |  | 1 |  |  |  | 0 |
TOR |  |  | 01/2020 |  |  |  |  |  | 48 |  |  |  |  |  | 37,693 |  |  |  | 2 |  |  |  | 0 |
Total Forward Foreign Currency Contracts |  |  | $ | 320 |  |  | $ | (1,122 | )

PURCHASED OPTIONS:

OPTIONS ON SECURITIES

Counterparty |  | Description |  | Strike Price |  |  | Expiration Date |  |  | Notional Amount(1) |  |  | Cost |  |  | Market Value |
DUB |  | Put - OTC Uniform Mortgage-Backed Security, TBA 3.000% due 02/01/2050 |  | $ | 71.000 |  |  |  | 02/05/2020 |  |  |  | 5,000 |  |  | $ | 0 |  |  | $ | 0 |
|  | Put - OTC Uniform Mortgage-Backed Security, TBA 3.500% due 02/01/2050 |  |  | 72.500 |  |  |  | 02/05/2020 |  |  |  | 38,000 |  |  |  | 2 |  |  |  | 0 |
|  | Put - OTC Uniform Mortgage-Backed Security, TBA 4.000% due 02/01/2050 |  |  | 74.000 |  |  |  | 02/05/2020 |  |  |  | 106,000 |  |  |  | 4 |  |  |  | 0 |
FAR |  | Put - OTC Uniform Mortgage-Backed Security, TBA 3.000% due 01/01/2050 |  |  | 67.500 |  |  |  | 01/07/2020 |  |  |  | 3,100 |  |  |  | 0 |  |  |  | 0 |
|  | Put - OTC Uniform Mortgage-Backed Security, TBA 3.500% due 02/01/2050 |  |  | 72.500 |  |  |  | 02/05/2020 |  |  |  | 7,000 |  |  |  | 0 |  |  |  | 0 |
|  | Put - OTC Uniform Mortgage-Backed Security, TBA 4.000% due 02/01/2050 |  |  | 76.000 |  |  |  | 02/05/2020 |  |  |  | 1,000 |  |  |  | 0 |  |  |  | 0 |
JPM |  | Put - OTC Ginnie Mae, TBA 4.000% due 01/01/2050 |  |  | 74.000 |  |  |  | 01/07/2020 |  |  |  | 20,000 |  |  |  | 1 |  |  |  | 0 |
|  | Put - OTC Uniform Mortgage-Backed Security, TBA 2.500% due 01/01/2050 |  |  | 70.000 |  |  |  | 01/07/2020 |  |  |  | 53,100 |  |  |  | 2 |  |  |  | 0 |
|  | Put - OTC Uniform Mortgage-Backed Security, TBA 3.000% due 01/01/2050 |  |  | 72.000 |  |  |  | 01/07/2020 |  |  |  | 25,000 |  |  |  | 1 |  |  |  | 0 |
SAL |  | Put - OTC Uniform Mortgage-Backed Security, TBA 2.500% due 01/01/2050 |  |  | 65.000 |  |  |  | 01/07/2020 |  |  |  | 189,000 |  |  |  | 8 |  |  |  | 0 |
Total Purchased Options |  |  | $ | 18 |  |  | $ | 0 |

SWAP AGREEMENTS:

CREDIT DEFAULT SWAPS ON SOVEREIGN ISSUES - SELL PROTECTION(2)

Counterparty |  | Reference Entity |  | Fixed Receive Rate |  |  | Payment Frequency |  | Maturity Date |  |  | Implied Credit Spread at December 31, 2019(3) |  |  | Notional Amount(4) |  |  | Premiums Paid/(Received) |  |  | Unrealized Appreciation/ (Depreciation) |  |  | Swap Agreements, at Value(5) |
| Asset |  |  | Liability |
JPM |  | Russia Government International Bond |  |  | 1.000% |  |  | Quarterly |  |  | 12/20/2020 |  |  |  | 0.100% |  |  | $ |  |  |  |  | 200 |  |  | $ | (23 | ) |  | $ | 25 |  |  | $ | 2 |  |  | $ | 0 |
Total Swap Agreements |  |  | $ | (23 | ) |  | $ | 25 |  |  | $ | 2 |  |  | $ | 0 |

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, 2019:

|  | Financial Derivative Assets |  |  |  |  |  | Financial Derivative Liabilities |  |  |  |  |  |  |  |  |  |
Counterparty |  | Forward Foreign Currency Contracts |  |  | Purchased Options |  |  | Swap Agreements |  |  | Total Over the Counter |  |  |  |  |  | Forward Foreign Currency Contracts |  |  | Written Options |  |  | Swap Agreements |  |  | Total Over the Counter |  |  | Net Market Value of OTC Derivatives |  |  | Collateral Pledged/ (Received) |  |  | Net Exposure(6) |
BPS |  | $ | 6 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 6 |  |  |  |  |  |  | $ | (763 | ) |  | $ | 0 |  |  | $ | 0 |  |  | $ | (763 | ) |  | $ | (757 | ) |  | $ | 393 |  |  | $ | (364 | )
BRC |  |  | 158 |  |  |  | 0 |  |  |  | 0 |  |  |  | 158 |  |  |  |  |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 158 |  |  |  | 0 |  |  |  | 158 |
BSH |  |  | 56 |  |  |  | 0 |  |  |  | 0 |  |  |  | 56 |  |  |  |  |  |  |  | (57 | ) |  |  | 0 |  |  |  | 0 |  |  |  | (57 | ) |  |  | (1 | ) |  |  | 0 |  |  |  | (1 | )
CBK |  |  | 7 |  |  |  | 0 |  |  |  | 0 |  |  |  | 7 |  |  |  |  |  |  |  | (2 | ) |  |  | 0 |  |  |  | 0 |  |  |  | (2 | ) |  |  | 5 |  |  |  | 0 |  |  |  | 5 |
DUB |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  |  |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | (30 | ) |  |  | (30 | )
GLM |  |  | 85 |  |  |  | 0 |  |  |  | 0 |  |  |  | 85 |  |  |  |  |  |  |  | (29 | ) |  |  | 0 |  |  |  | 0 |  |  |  | (29 | ) |  |  | 56 |  |  |  | 0 |  |  |  | 56 |
HUS |  |  | 5 |  |  |  | 0 |  |  |  | 0 |  |  |  | 5 |  |  |  |  |  |  |  | (5 | ) |  |  | 0 |  |  |  | 0 |  |  |  | (5 | ) |  |  | 0 |  |  |  | 0 |  |  |  | 0 |
JPM |  |  | 0 |  |  |  | 0 |  |  |  | 2 |  |  |  | 2 |  |  |  |  |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 2 |  |  |  | 0 |  |  |  | 2 |
MYI |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  |  |  |  |  | (265 | ) |  |  | 0 |  |  |  | 0 |  |  |  | (265 | ) |  |  | (265 | ) |  |  | 0 |  |  |  | (265 | )
RYL |  |  | 1 |  |  |  | 0 |  |  |  | 0 |  |  |  | 1 |  |  |  |  |  |  |  | (1 | ) |  |  | 0 |  |  |  | 0 |  |  |  | (1 | ) |  |  | 0 |  |  |  | 0 |  |  |  | 0 |
TOR |  |  | 2 |  |  |  | 0 |  |  |  | 0 |  |  |  | 2 |  |  |  |  |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 2 |  |  |  | 0 |  |  |  | 2 |
Total Over the Counter |  | $ | 320 |  |  | $ | 0 |  |  | $ | 2 |  |  | $ | 322 |  |  |  |  |  |  | $ | (1,122 | ) |  | $ | 0 |  |  | $ | 0 |  |  | $ | (1,122 | ) |  |  |  |  |  |  |  |  |  |  |  |

76 |  | PIMCO CLOSED-END FUNDS |  |  |  |  | See Accompanying Notes |

December 31, 2019 (Unaudited)

(p) | Securities with an aggregate market value of $393 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2019.

(1) | Notional Amount represents the number of contracts.

(2) | 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.

(3) | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on 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.

(4) | 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.

(5) | 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.

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

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 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, 2019:

|  | Derivatives not accounted for as hedging instruments |
|  | Commodity Contracts |  |  | Credit Contracts |  |  | Equity Contracts |  |  | Foreign Exchange Contracts |  |  | Interest Rate Contracts |  |  | Total |
Financial Derivative Instruments - Assets |
Exchange-traded or centrally cleared |
Swap Agreements |  | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 1,680 |  |  | $ | 1,680 |
Over the counter |
Forward Foreign Currency Contracts |  | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 320 |  |  | $ | 0 |  |  | $ | 320 |
Swap Agreements |  |  | 0 |  |  |  | 2 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 2 |
|  | $ | 0 |  |  | $ | 2 |  |  | $ | 0 |  |  | $ | 320 |  |  | $ | 0 |  |  | $ | 322 |
|  | $ | 0 |  |  | $ | 2 |  |  | $ | 0 |  |  | $ | 320 |  |  | $ | 1,680 |  |  | $ | 2,002 |
Financial Derivative Instruments - Liabilities |
Exchange-traded or centrally cleared |
Swap Agreements |  | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 1,001 |  |  | $ | 1,001 |
Over the counter |
Forward Foreign Currency Contracts |  | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 1,122 |  |  | $ | 0 |  |  | $ | 1,122 |
|  | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 1,122 |  |  | $ | 1,001 |  |  | $ | 2,123 |

The effect of Financial Derivative Instruments on the Statements of Operations for the period ended December 31, 2019:

|  | Derivatives not accounted for as hedging instruments |
|  | Commodity Contracts |  |  | Credit Contracts |  |  | Equity Contracts |  |  | Foreign Exchange Contracts |  |  | Interest Rate Contracts |  |  | Total |
Net Realized Gain (Loss) on Financial Derivative Instruments |
Exchange-traded or centrally cleared |
Swap Agreements |  | $ | 0 |  |  | $ | 22 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | (14,850 | ) |  | $ | (14,828 | )
Over the counter |
Forward Foreign Currency Contracts |  | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 1,753 |  |  | $ | 0 |  |  | $ | 1,753 |
Purchased Options |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | (70 | ) |  |  | (70 | )
Written Options |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 144 |  |  |  | 144 |
Swap Agreements |  |  | 0 |  |  |  | 2 |  |  |  | 0 |  |  |  | 0 |  |  |  | 1,294 |  |  |  | 1,296 |
|  | $ | 0 |  |  | $ | 2 |  |  | $ | 0 |  |  | $ | 1,753 |  |  | $ | 1,368 |  |  | $ | 3,123 |
|  | $ | 0 |  |  | $ | 24 |  |  | $ | 0 |  |  | $ | 1,753 |  |  | $ | (13,482 | ) |  | $ | (11,705 | )

See Accompanying Notes |  | SEMIANNUAL REPORT |  | DECEMBER 31, 2019 |  | 77

Schedule of Investments PIMCO Strategic Income Fund, Inc. (Cont.)

|  | Derivatives not accounted for as hedging instruments |
|  | Commodity Contracts |  |  | Credit Contracts |  |  | Equity Contracts |  |  | Foreign Exchange Contracts |  |  | Interest Rate Contracts |  |  | Total |
Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative Instruments |
Exchange-traded or centrally cleared |
Swap Agreements |  | $ | 0 |  |  | $ | (20 | ) |  | $ | 0 |  |  | $ | 0 |  |  | $ | 12,760 |  |  | $ | 12,740 |
Over the counter |
Forward Foreign Currency Contracts |  | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | (334 | ) |  | $ | 0 |  |  | $ | (334 | )
Purchased Options |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 2 |  |  |  | 2 |
Swap Agreements |  |  | 0 |  |  |  | (1 | ) |  |  | 0 |  |  |  | 0 |  |  |  | (1,315 | ) |  |  | (1,316 | )
|  | $ | 0 |  |  | $ | (1 | ) |  | $ | 0 |  |  | $ | (334 | ) |  | $ | (1,313 | ) |  | $ | (1,648 | )
|  | $ | 0 |  |  | $ | (21 | ) |  | $ | 0 |  |  | $ | (334 | ) |  | $ | 11,447 |  |  | $ | 11,092 |

FAIR VALUE MEASUREMENTS

The following is a summary of the fair valuations according to the inputs used as of December 31, 2019 in valuing the Fund’s assets and liabilities:

Category and Subcategory |  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Fair Value at 12/31/2019 |
Investments in Securities, at Value |
Loan Participations and Assignments |  | $ | 0 |  |  | $ | 45,259 |  |  | $ | 422 |  |  | $ | 45,681 |
Corporate Bonds & Notes |
Banking & Finance |  |  | 0 |  |  |  | 46,087 |  |  |  | 2,783 |  |  |  | 48,870 |
Industrials |  |  | 0 |  |  |  | 59,487 |  |  |  | 241 |  |  |  | 59,728 |
Utilities |  |  | 0 |  |  |  | 21,774 |  |  |  | 0 |  |  |  | 21,774 |
Convertible Bonds & Notes |
Utilities |  |  | 0 |  |  |  | 9 |  |  |  | 0 |  |  |  | 9 |
Municipal Bonds & Notes |
Illinois |  |  | 0 |  |  |  | 263 |  |  |  | 0 |  |  |  | 263 |
West Virginia |  |  | 0 |  |  |  | 2,760 |  |  |  | 0 |  |  |  | 2,760 |
U.S. Government Agencies |  |  | 0 |  |  |  | 617,342 |  |  |  | 0 |  |  |  | 617,342 |
Non-Agency Mortgage-Backed Securities |  |  | 0 |  |  |  | 88,218 |  |  |  | 0 |  |  |  | 88,218 |
Asset-Backed Securities |  |  | 0 |  |  |  | 48,927 |  |  |  | 13,565 |  |  |  | 62,492 |
Sovereign Issues |  |  | 0 |  |  |  | 15,508 |  |  |  | 0 |  |  |  | 15,508 |
Common Stocks |
Communication Services |  |  | 1,107 |  |  |  | 3 |  |  |  | 0 |  |  |  | 1,110 |
Consumer Discretionary |  |  | 376 |  |  |  | 0 |  |  |  | 0 |  |  |  | 376 |
Energy |  |  | 1 |  |  |  | 0 |  |  |  | 0 |  |  |  | 1 |
Industrials |  |  | 0 |  |  |  | 0 |  |  |  | 1 |  |  |  | 1 |
Warrants |
Communication Services |  |  | 0 |  |  |  | 1,769 |  |  |  | 0 |  |  |  | 1,769 |
Preferred Securities |
Banking & Finance |  |  | 0 |  |  |  | 10,410 |  |  |  | 0 |  |  |  | 10,410 |
Industrials |  |  | 0 |  |  |  | 136 |  |  |  | 0 |  |  |  | 136 |

Category and Subcategory |  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Fair Value at 12/31/2019 |
Real Estate Investment Trusts |
Real Estate |  | $ | 1,130 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 1,130 |
Short-Term Instruments |
Repurchase Agreements |  |  | 0 |  |  |  | 15,994 |  |  |  | 0 |  |  |  | 15,994 |
U.S. Treasury Bills |  |  | 0 |  |  |  | 5,486 |  |  |  | 0 |  |  |  | 5,486 |
Total Investments |  | $ | 2,614 |  |  | $ | 979,432 |  |  | $ | 17,012 |  |  | $ | 999,058 |
Financial Derivative Instruments - Assets |
Exchange-traded or centrally cleared |  |  | 0 |  |  |  | 1,680 |  |  |  | 0 |  |  |  | 1,680 |
Over the counter |  |  | 0 |  |  |  | 322 |  |  |  | 0 |  |  |  | 322 |
|  | $ | 0 |  |  | $ | 2,002 |  |  | $ | 0 |  |  | $ | 2,002 |
Financial Derivative Instruments - Liabilities |
Exchange-traded or centrally cleared |  |  | 0 |  |  |  | (1,001 | ) |  |  | 0 |  |  |  | (1,001 | )
Over the counter |  |  | 0 |  |  |  | (1,122 | ) |  |  | 0 |  |  |  | (1,122 | )
|  | $ | 0 |  |  | $ | (2,123 | ) |  | $ | 0 |  |  | $ | (2,123 | )
Total Financial Derivative Instruments |  | $ | 0 |  |  | $ | (121 | ) |  | $ | 0 |  |  | $ | (121 | )
Totals |  | $ | 2,614 |  |  | $ | 979,311 |  |  | $ | 17,012 |  |  | $ | 998,937 |

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended December 31, 2019:

Category and Subcategory |  | Beginning Balance at 06/30/2019 |  |  | Net Purchases |  |  | Net Sales/Settlements |  |  | Accrued Discounts/ (Premiums) |  |  | Realized Gain/(Loss) |  |  | Net Change in Unrealized Appreciation/ (Depreciation)(1) |  |  | Transfers into Level 3 |  |  | Transfers out of Level 3 |  |  | Ending Balance at 12/31/2019 |  |  | Net Change in Unrealized Appreciation/ (Depreciation) on Investments Held at 12/31/2019(1) |
Investments in Securities, at Value |
Loan Participations and Assignments |  | $ | 3,705 |  |  | $ | 1,112 |  |  | $ | (133 | ) |  | $ | 52 |  |  | $ | 1 |  |  | $ | (234 | ) |  | $ | 0 |  |  | $ | (4,081 | ) |  | $ | 422 |  |  | $ | 7 |
Corporate Bonds & Notes |
Banking & Finance |  |  | 2,685 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 98 |  |  |  | 0 |  |  |  | 0 |  |  |  | 2,783 |  |  |  | 98 |
Industrials |  |  | 0 |  |  |  | 286 |  |  |  | 0 |  |  |  | 2 |  |  |  | 0 |  |  |  | (47 | ) |  |  | 0 |  |  |  | 0 |  |  |  | 241 |  |  |  | (47 | )
Asset-Backed Securities |  |  | 18,276 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | (4,711 | ) |  |  | 0 |  |  |  | 0 |  |  |  | 13,565 |  |  |  | (4,711 | )
Common Stocks |
Industrials |  |  | 1 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 1 |  |  |  | 0 |
Totals |  | $ | 24,667 |  |  | $ | 1,398 |  |  | $ | (133 | ) |  | $ | 54 |  |  | $ | 1 |  |  | $ | (4,894 | ) |  | $ | 0 |  |  | $ | (4,081 | ) |  | $ | 17,012 |  |  | $ | (4,653 | )

78 |  | PIMCO CLOSED-END FUNDS |  |  |  |  | See Accompanying Notes |

December 31, 2019 (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 12/31/2019 |  |  | Valuation Technique |  | Unobservable Inputs |  | (% Unless Noted Otherwise) |
| Input Value(s) |  |  | Weighted Average |
Investments in Securities, at Value |  |  |  |  |
Loan Participations and Assignments |  | $ | 422 |  |  | Third Party Vendor |  | Broker Quote |  |  | 99.250-101.000 |  |  |  | 99.287 |
Corporate Bonds & Notes |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Banking & Finance |  |  | 2,783 |  |  | Reference Instrument |  | Option Adjusted Spread |  |  | 584.983 bps |  |  |  | — |
Industrials |  |  | 241 |  |  | Reference Instrument |  | Broker Quote |  |  | 100.250-101.520 |  |  |  | 101.215 |
Asset-Backed Securities |  |  | 1,190 |  |  | Interest Only Weighted Average Life |  | Base Price |  |  | 20,607.870 |  |  |  | — |
|  |  | 12,375 |  |  | Proxy Pricing |  | Base Price |  |  | 3,731.000-79,892.180 |  |  |  | 33,129.425 |
Common Stocks |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Industrials |  |  | 1 |  |  | Indicative Market Quotation |  | Broker Quote |  | $ | 15.000 |  |  |  | — |
Total |  | $ | 17,012 |  |  |  |  |  |  |  |  |  |  |  |  |

(1) | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at December 31, 2019 may be due to an investment no longer held or categorized as Level 3 at period end.

See Accompanying Notes |  | SEMIANNUAL REPORT |  | DECEMBER 31, 2019 |  | 79

Consolidated Schedule of Investments PIMCO Dynamic Credit and Mortgage Income Fund

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

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
INVESTMENTS IN SECURITIES 180.4% |
LOAN PARTICIPATIONS AND ASSIGNMENTS 18.0% |
Advanz Pharma Corp. |
7.447% (LIBOR03M + 5.500%) due 09/06/2024 ~ |  | $ |  |  | 25,287 |  |  | $ |  |  | 23,691 |
Alphabet Holding Co., Inc. |
5.299% (LIBOR03M + 3.500%) due 09/26/2024 ~ |  |  |  |  | 98 |  |  |  |  |  | 94 |
Altice France S.A. |
5.740% (LIBOR03M + 4.000%) due 08/14/2026 ~ |  |  |  |  | 1,485 |  |  |  |  |  | 1,493 |
Ancestry.com Operations, Inc. |
5.550% (LIBOR03M + 3.750%) due 10/19/2023 ~ |  |  |  |  | 100 |  |  |  |  |  | 99 |
6.050% (LIBOR03M + 4.250%) due 08/27/2026 ~ |  |  |  |  | 199 |  |  |  |  |  | 196 |
Chesapeake Energy Corp. |
TBD% due 06/09/2024 |  |  |  |  | 715 |  |  |  |  |  | 738 |
Clay Holdco BV |
TBD% due 11/30/2025 « |  | EUR |  |  | 28,900 |  |  |  |  |  | 30,381 |
Diamond Resorts Corp. |
5.549% (LIBOR03M + 3.750%) due 09/02/2023 ~ |  | $ |  |  | 9,017 |  |  |  |  |  | 8,831 |
DTEK Holdings Ltd. |
TBD% due 06/30/2023 « |  | EUR |  |  | 838 |  |  |  |  |  | 839 |
DTEK Trading S.A |
TBD% due 06/30/2023 |  | $ |  |  | 6,450 |  |  |  |  |  | 5,805 |
Dubai World (2.000% Cash and 1.750% PIK) |
3.750% (LIBOR03M + 2.000%) due 09/30/2022 ~(c) |  |  |  |  | 66,606 |  |  |  |  |  | 62,193 |
Emerald TopCo, Inc. |
5.299% (LIBOR03M + 3.500%) due 07/24/2026 ~ |  |  |  |  | 589 |  |  |  |  |  | 593 |
Envision Healthcare Corp. |
5.549% (LIBOR03M + 3.750%) due 10/10/2025 ~ |  |  |  |  | 70,473 |  |  |  |  |  | 60,372 |
Financial & Risk U.S. Holdings, Inc. |
5.049% (LIBOR03M + 3.250%) due 10/01/2025 ~ |  |  |  |  | 3,808 |  |  |  |  |  | 3,845 |
Fleet U.S. Bidco, Inc. |
5.235% (LIBOR03M + 3.250%) due 10/07/2026 «~ |  |  |  |  | 58 |  |  |  |  |  | 58 |
Forbes Energy Services LLC (5.000% Cash and 11.000% PIK) |
16.000% (LIBOR03M + 5.000%) due 04/13/2021 ~(c) |  |  |  |  | 2,317 |  |  |  |  |  | 2,300 |
Frontier Communications Corp. |
5.550% (LIBOR03M + 3.750%) due 06/15/2024 ~ |  |  |  |  | 6,060 |  |  |  |  |  | 6,105 |
iHeartCommunications, Inc. |
5.691% (LIBOR03M + 4.000%) due 05/01/2026 ~ |  |  |  |  | 19,768 |  |  |  |  |  | 19,984 |
Intelsat Jackson Holdings S.A. |
5.682% (LIBOR03M + 3.750%) due 11/27/2023 ~ |  |  |  |  | 750 |  |  |  |  |  | 752 |
Jefferies Finance LLC |
5.500% (LIBOR03M + 3.750%) due 06/03/2026 ~ |  |  |  |  | 116 |  |  |  |  |  | 116 |
McDermott Technology Americas, Inc. |
0.500% - 12.002% (LIBOR03M + 10.000%) due 10/21/2021 ~µ |  |  |  |  | 6,421 |  |  |  |  |  | 6,573 |
6.945% (LIBOR03M + 5.000%) due 05/09/2025 ~ |  |  |  |  | 11,322 |  |  |  |  |  | 6,661 |
Messer Industrie GmbH |
4.445% (LIBOR03M + 2.500%) due 03/01/2026 ~ |  |  |  |  | 381 |  |  |  |  |  | 384 |
MH Sub LLC |
5.549% (LIBOR03M + 3.750%) due 09/13/2024 ~ |  |  |  |  | 596 |  |  |  |  |  | 600 |
NCI Building Systems, Inc. |
5.486% (LIBOR03M + 3.750%) due 04/12/2025 ~ |  |  |  |  | 198 |  |  |  |  |  | 198 |

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
Neiman Marcus Group Ltd. LLC |
7.713% (LIBOR03M + 6.000%) due 10/25/2023 ~ |  | $ |  |  | 62,007 |  |  | $ |  |  | 51,063 |
Neiman Marcus Group Ltd. LLC (7.213% Cash and 1.000% PIK) |
8.213% (LIBOR03M + 5.500%) due 10/25/2023 ~(c) |  |  |  |  | 41,324 |  |  |  |  |  | 33,610 |
Pacific Gas & Electric Co. |
TBD% due 02/22/2049 ^«(d) |  |  |  |  | 250 |  |  |  |  |  | 248 |
Parexel International Corp. |
4.549% - 4.555% (LIBOR03M + 2.750%) due 09/27/2024 ~ |  |  |  |  | 274 |  |  |  |  |  | 269 |
PetSmart, Inc. |
5.740% (LIBOR03M + 4.000%) due 03/11/2022 ~ |  |  |  |  | 862 |  |  |  |  |  | 855 |
Playtika Holding Corp. |
7.799% (LIBOR03M + 6.000%) due 12/10/2024 ~ |  |  |  |  | 22,400 |  |  |  |  |  | 22,680 |
Preylock Reitman Santa Cruz Mezz LLC |
(0.005)% - 7.210% (LIBOR03M + 5.500%) due 11/09/2022 «~(j) |  |  |  |  | 31,560 |  |  |  |  |  | 31,697 |
Project Anfora Senior |
2.325% (EUR003M + 2.750%) due 10/01/2026 «~(j) |  | EUR |  |  | 20,000 |  |  |  |  |  | 22,378 |
Sequa Mezzanine Holdings LLC |
6.904% (LIBOR03M + 5.000%) due 11/28/2021 ~ |  | $ |  |  | 1,121 |  |  |  |  |  | 1,123 |
10.936% (LIBOR03M + 9.000%) due 04/28/2022 ~ |  |  |  |  | 36,300 |  |  |  |  |  | 35,801 |
Sierra Hamilton LLC |
15.000% due 09/12/2023 « |  |  |  |  | 1,564 |  |  |  |  |  | 1,486 |
Sigma Bidco BV |
3.500% (EUR003M + 3.500%) due 07/02/2025 ~ |  | EUR |  |  | 690 |  |  |  |  |  | 777 |
Sotera Health Holdings LLC |
6.289% (LIBOR03M + 4.500%) due 12/11/2026 ~ |  | $ |  |  | 723 |  |  |  |  |  | 726 |
Starfruit Finco BV |
4.960% (LIBOR03M + 3.250%) due 10/01/2025 ~ |  |  |  |  | 1,193 |  |  |  |  |  | 1,196 |
Summer (BC) Holdco B SARL |
TBD% due 10/15/2026 |  |  |  |  | 16,320 |  |  |  |  |  | 15,565 |
Sunshine Luxembourg SARL |
3.750% (EUR003M + 3.750%) due 10/01/2026 ~ |  | EUR |  |  | 1,000 |  |  |  |  |  | 1,132 |
6.195% (LIBOR03M + 4.250%) due 10/01/2026 ~ |  | $ |  |  | 1,076 |  |  |  |  |  | 1,088 |
Syniverse Holdings, Inc. |
6.846% (LIBOR03M + 5.000%) due 03/09/2023 ~ |  |  |  |  | 35,342 |  |  |  |  |  | 32,927 |
U.S. Renal Care, Inc. |
6.813% (LIBOR03M + 5.000%) due 06/26/2026 ~ |  |  |  |  | 2,077 |  |  |  |  |  | 2,065 |
Univision Communications, Inc. |
4.549% (LIBOR03M + 2.750%) due 03/15/2024 ~ |  |  |  |  | 17,081 |  |  |  |  |  | 16,895 |
West Corp. |
5.927% (LIBOR03M + 4.000%) due 10/10/2024 ~ |  |  |  |  | 98 |  |  |  |  |  | 83 |
Westmoreland Mining Holdings LLC |
10.150% (LIBOR03M + 8.250%) due 03/15/2022 «~ |  |  |  |  | 5,338 |  |  |  |  |  | 5,391 |
Westmoreland Mining Holdings LLC (15.000% PIK) |
15.000% due 03/15/2029 (c) |  |  |  |  | 15,706 |  |  |  |  |  | 12,565 |
Windstream Services LLC |
9.000% (PRIME + 4.250%) due 02/17/2024 ~ |  |  |  |  | 31,235 |  |  |  |  |  | 29,664 |
9.750% (PRIME + 5.000%) due 03/29/2021 ~ |  |  |  |  | 11,680 |  |  |  |  |  | 11,208 |
Total Loan Participations and Assignments (Cost $603,019) |  |  | 575,393 |

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
CORPORATE BONDS & NOTES 40.8% |
BANKING & FINANCE 16.4% |
Ally Financial, Inc. |
8.000% due 11/01/2031 |  | $ |  |  | 16 |  |  | $ |  |  | 23 |
Ambac LSNI LLC |
6.945% due 02/12/2023 •(l) |  |  |  |  | 2,663 |  |  |  |  |  | 2,703 |
Ardonagh Midco PLC |
8.375% due 07/15/2023 (l) |  | GBP |  |  | 62,007 |  |  |  |  |  | 82,237 |
Banco de Credito del Peru |
4.650% due 09/17/2024 |  | PEN |  |  | 4,000 |  |  |  |  |  | 1,219 |
Barclays PLC |
3.250% due 01/17/2033 (l) |  | GBP |  |  | 1,000 |  |  |  |  |  | 1,394 |
7.125% due 06/15/2025 •(h)(i)(l) |  |  |  |  | 800 |  |  |  |  |  | 1,200 |
7.250% due 03/15/2023 •(h)(i)(l) |  |  |  |  | 48,751 |  |  |  |  |  | 70,571 |
7.750% due 09/15/2023 •(h)(i)(l) |  | $ |  |  | 5,200 |  |  |  |  |  | 5,685 |
7.875% due 09/15/2022 •(h)(i)(l) |  | GBP |  |  | 3,400 |  |  |  |  |  | 5,007 |
8.000% due 06/15/2024 •(h)(i)(l) |  | $ |  |  | 2,800 |  |  |  |  |  | 3,135 |
CBL & Associates LP |
4.600% due 10/15/2024 |  |  |  |  | 13 |  |  |  |  |  | 8 |
5.250% due 12/01/2023 (l) |  |  |  |  | 611 |  |  |  |  |  | 429 |
5.950% due 12/15/2026 (l) |  |  |  |  | 3,196 |  |  |  |  |  | 1,925 |
Credit Suisse Group AG |
7.250% due 09/12/2025 •(h)(i)(l) |  |  |  |  | 560 |  |  |  |  |  | 626 |
7.500% due 07/17/2023 •(h)(i)(l) |  |  |  |  | 1,600 |  |  |  |  |  | 1,752 |
Deutsche Bank AG |
3.961% due 11/26/2025 •(l) |  |  |  |  | 7,050 |  |  |  |  |  | 7,205 |
Emerald Bay S.A. |
0.000% due 10/08/2020 (g)(l) |  | EUR |  |  | 1,574 |  |  |  |  |  | 1,728 |
ESH Hospitality, Inc. |
4.625% due 10/01/2027 |  | $ |  |  | 534 |  |  |  |  |  | 542 |
Fortress Transportation & Infrastructure Investors LLC |
6.500% due 10/01/2025 (l) |  |  |  |  | 2,021 |  |  |  |  |  | 2,139 |
GE Capital International Funding Co. Unlimited Co. |
4.418% due 11/15/2035 (l) |  |  |  |  | 510 |  |  |  |  |  | 544 |
Growthpoint Properties International Pty. Ltd. |
5.872% due 05/02/2023 (l) |  |  |  |  | 600 |  |  |  |  |  | 645 |
HSBC Bank PLC |
6.330% due 05/18/2023 |  |  |  |  | 48,900 |  |  |  |  |  | 51,550 |
HSBC Holdings PLC |
4.750% due 07/04/2029 •(h)(i) |  | EUR |  |  | 240 |  |  |  |  |  | 304 |
5.875% due 09/28/2026 •(h)(i) |  | GBP |  |  | 1,200 |  |  |  |  |  | 1,752 |
6.000% due 09/29/2023 •(h)(i) |  | EUR |  |  | 700 |  |  |  |  |  | 908 |
6.500% due 03/23/2028 •(h)(i)(l) |  | $ |  |  | 2,870 |  |  |  |  |  | 3,160 |
Hunt Cos., Inc. |
6.250% due 02/15/2026 |  |  |  |  | 136 |  |  |  |  |  | 135 |
ING Groep NV |
5.750% due 11/16/2026 •(h)(i)(l) |  |  |  |  | 1,200 |  |  |  |  |  | 1,264 |
Legg Mason PT |
7.130% due 01/10/2021 « |  |  |  |  | 8,383 |  |  |  |  |  | 8,398 |
Lloyds Banking Group PLC |
7.500% due 09/27/2025 •(h)(i)(l) |  |  |  |  | 2,600 |  |  |  |  |  | 2,917 |
7.625% due 06/27/2023 •(h)(i)(l) |  | GBP |  |  | 2,680 |  |  |  |  |  | 3,991 |
7.875% due 06/27/2029 •(h)(i)(l) |  |  |  |  | 32,425 |  |  |  |  |  | 54,333 |
LoanCore Capital Markets LLC |
6.875% due 06/01/2020 (l) |  | $ |  |  | 7,600 |  |  |  |  |  | 7,605 |
Nationstar Mortgage LLC |
6.500% due 07/01/2021 (l) |  |  |  |  | 3,316 |  |  |  |  |  | 3,334 |
Oppenheimer Holdings, Inc. |
6.750% due 07/01/2022 (l) |  |  |  |  | 1,542 |  |  |  |  |  | 1,596 |
Pinnacol Assurance |
8.625% due 06/25/2034 «(j) |  |  |  |  | 23,200 |  |  |  |  |  | 24,830 |
Royal Bank of Scotland Group PLC |
8.000% due 08/10/2025 •(h)(i)(l) |  |  |  |  | 9,027 |  |  |  |  |  | 10,408 |
Santander UK Group Holdings PLC |
6.750% due 06/24/2024 •(h)(i)(l) |  | GBP |  |  | 23,460 |  |  |  |  |  | 34,291 |
7.375% due 06/24/2022 •(h)(i)(l) |  |  |  |  | 11,845 |  |  |  |  |  | 17,139 |
Societe Generale S.A. |
6.750% due 04/06/2028 •(h)(i)(l) |  | $ |  |  | 850 |  |  |  |  |  | 939 |
7.375% due 10/04/2023 •(h)(i)(l) |  |  |  |  | 3,100 |  |  |  |  |  | 3,389 |
Springleaf Finance Corp. |
5.375% due 11/15/2029 |  |  |  |  | 268 |  |  |  |  |  | 280 |
6.875% due 03/15/2025 (l) |  |  |  |  | 565 |  |  |  |  |  | 644 |

80 |  | PIMCO CLOSED-END FUNDS |  |  |  |  | See Accompanying Notes |

December 31, 2019 (Unaudited)

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
Stearns Holdings LLC |
5.000% due 11/05/2024 |  | $ |  |  | 21 |  |  | $ |  |  | 14 |
TP ICAP PLC |
5.250% due 01/26/2024 (l) |  | GBP |  |  | 12,100 |  |  |  |  |  | 17,626 |
Unique Pub Finance Co. PLC |
5.659% due 06/30/2027 (l) |  |  |  |  | 5,754 |  |  |  |  |  | 8,773 |
7.395% due 03/28/2024 |  |  |  |  | 6,155 |  |  |  |  |  | 9,348 |
Voyager Aviation Holdings LLC |
8.500% due 08/15/2021 (l) |  | $ |  |  | 64,580 |  |  |  |  |  | 66,351 |
|  |  |  |  |  |  |  |  |  |  | 525,996 |
INDUSTRIALS 18.2% |
AA Bond Co. Ltd. |
2.750% due 07/31/2043 (l) |  | GBP |  |  | 4,500 |  |  |  |  |  | 5,716 |
Altice Financing S.A. |
5.250% due 02/15/2023 |  | EUR |  |  | 100 |  |  |  |  |  | 115 |
7.500% due 05/15/2026 (l) |  | $ |  |  | 8,700 |  |  |  |  |  | 9,369 |
Altice France S.A. |
5.875% due 02/01/2027 (l) |  | EUR |  |  | 1,200 |  |  |  |  |  | 1,519 |
8.125% due 02/01/2027 (l) |  | $ |  |  | 10,900 |  |  |  |  |  | 12,296 |
Associated Materials LLC |
9.000% due 01/01/2024 (l) |  |  |  |  | 54,965 |  |  |  |  |  | 48,369 |
B.C. Unlimited Liability Co. |
4.375% due 01/15/2028 |  |  |  |  | 432 |  |  |  |  |  | 434 |
Baffinland Iron Mines Corp. |
8.750% due 07/15/2026 (l) |  |  |  |  | 7,500 |  |  |  |  |  | 7,570 |
Bausch Health Cos., Inc. |
5.000% due 01/30/2028 |  |  |  |  | 448 |  |  |  |  |  | 461 |
5.250% due 01/30/2030 |  |  |  |  | 448 |  |  |  |  |  | 466 |
BCPE Cycle Merger Sub, Inc. |
10.625% due 07/15/2027 (l) |  |  |  |  | 589 |  |  |  |  |  | 605 |
Bioceanico Sovereign Certificate Ltd. |
0.000% due 06/05/2034 (g)(l) |  |  |  |  | 450 |  |  |  |  |  | 314 |
Bombardier, Inc. |
6.125% due 01/15/2023 (l) |  |  |  |  | 5,429 |  |  |  |  |  | 5,579 |
7.500% due 12/01/2024 (l) |  |  |  |  | 7,978 |  |  |  |  |  | 8,399 |
7.500% due 03/15/2025 (l) |  |  |  |  | 3,919 |  |  |  |  |  | 4,051 |
7.875% due 04/15/2027 (l) |  |  |  |  | 12,862 |  |  |  |  |  | 13,264 |
Camelot Finance S.A. |
4.500% due 11/01/2026 |  |  |  |  | 39 |  |  |  |  |  | 40 |
CCO Holdings LLC |
4.750% due 03/01/2030 (l) |  |  |  |  | 883 |  |  |  |  |  | 902 |
Centene Corp. |
4.250% due 12/15/2027 (l) |  |  |  |  | 622 |  |  |  |  |  | 641 |
4.625% due 12/15/2029 (l) |  |  |  |  | 1,218 |  |  |  |  |  | 1,286 |
4.750% due 01/15/2025 (l) |  |  |  |  | 1,106 |  |  |  |  |  | 1,151 |
Charter Communications Operating LLC |
4.800% due 03/01/2050 (l) |  |  |  |  | 1,068 |  |  |  |  |  | 1,124 |
Clear Channel Worldwide Holdings, Inc. |
9.250% due 02/15/2024 (l) |  |  |  |  | 15,711 |  |  |  |  |  | 17,433 |
Community Health Systems, Inc. |
6.250% due 03/31/2023 (l) |  |  |  |  | 60,690 |  |  |  |  |  | 61,752 |
8.000% due 03/15/2026 (l) |  |  |  |  | 2,212 |  |  |  |  |  | 2,283 |
8.625% due 01/15/2024 (l) |  |  |  |  | 1,078 |  |  |  |  |  | 1,145 |
Connect Finco SARL |
6.750% due 10/01/2026 |  |  |  |  | 310 |  |  |  |  |  | 331 |
Constellation Oil Services Holding S.A. (10.000% PIK) |
10.000% due 11/09/2024 «(c) |  |  |  |  | 520 |  |  |  |  |  | 216 |
Corning, Inc. |
5.450% due 11/15/2079 |  |  |  |  | 482 |  |  |  |  |  | 529 |
Diamond Resorts International, Inc. |
7.750% due 09/01/2023 (l) |  |  |  |  | 550 |  |  |  |  |  | 567 |
10.750% due 09/01/2024 (l) |  |  |  |  | 16,800 |  |  |  |  |  | 17,647 |
DISH DBS Corp. |
5.875% due 07/15/2022 |  |  |  |  | 54 |  |  |  |  |  | 57 |
DriveTime Automotive Group, Inc. |
8.000% due 06/01/2021 (l) |  |  |  |  | 16,047 |  |  |  |  |  | 16,338 |
Eagle Holding Co. LLC (7.750% Cash or 8.500% PIK) |
7.750% due 05/15/2022 (c) |  |  |  |  | 96 |  |  |  |  |  | 98 |
EI Group PLC |
6.875% due 05/09/2025 (l) |  | GBP |  |  | 2,210 |  |  |  |  |  | 2,975 |

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
Eldorado Resorts, Inc. |
6.000% due 09/15/2026 (l) |  | $ |  |  | 11,145 |  |  | $ |  |  | 12,294 |
Envision Healthcare Corp. |
8.750% due 10/15/2026 (l) |  |  |  |  | 12,973 |  |  |  |  |  | 8,080 |
Exela Intermediate LLC |
10.000% due 07/15/2023 (l) |  |  |  |  | 618 |  |  |  |  |  | 249 |
Fair Isaac Corp. |
4.000% due 06/15/2028 |  |  |  |  | 46 |  |  |  |  |  | 46 |
First Quantum Minerals Ltd. |
6.500% due 03/01/2024 (l) |  |  |  |  | 8,692 |  |  |  |  |  | 8,732 |
6.875% due 03/01/2026 (l) |  |  |  |  | 9,630 |  |  |  |  |  | 9,768 |
Fresh Market, Inc. |
9.750% due 05/01/2023 (l) |  |  |  |  | 21,546 |  |  |  |  |  | 10,988 |
Frontier Finance PLC |
8.000% due 03/23/2022 (l) |  | GBP |  |  | 24,200 |  |  |  |  |  | 32,966 |
Full House Resorts, Inc. |
8.575% due 01/31/2024 |  | $ |  |  | 1,763 |  |  |  |  |  | 1,737 |
9.738% due 02/02/2024 |  |  |  |  | 147 |  |  |  |  |  | 145 |
General Electric Co. |
5.875% due 01/14/2038 |  |  |  |  | 22 |  |  |  |  |  | 27 |
6.150% due 08/07/2037 |  |  |  |  | 26 |  |  |  |  |  | 32 |
6.875% due 01/10/2039 (l) |  |  |  |  | 204 |  |  |  |  |  | 272 |
iHeartCommunications, Inc. |
6.375% due 05/01/2026 (l) |  |  |  |  | 6,368 |  |  |  |  |  | 6,921 |
8.375% due 05/01/2027 (l) |  |  |  |  | 9,168 |  |  |  |  |  | 10,148 |
IHO Verwaltungs GmbH (3.625% Cash or 4.375% PIK) |
3.625% due 05/15/2025 (c)(l) |  | EUR |  |  | 1,100 |  |  |  |  |  | 1,296 |
IHO Verwaltungs GmbH (3.875% Cash or 4.625% PIK) |
3.875% due 05/15/2027 (c)(l) |  |  |  |  | 600 |  |  |  |  |  | 714 |
IHO Verwaltungs GmbH (6.000% Cash or 6.750% PIK) |
6.000% due 05/15/2027 (c)(l) |  | $ |  |  | 2,456 |  |  |  |  |  | 2,610 |
IHO Verwaltungs GmbH (6.375% Cash or 7.125% PIK) |
6.375% due 05/15/2029 (c)(l) |  |  |  |  | 1,746 |  |  |  |  |  | 1,882 |
Intelsat Connect Finance S.A. |
9.500% due 02/15/2023 (l) |  |  |  |  | 1,479 |  |  |  |  |  | 1,039 |
Intelsat Jackson Holdings S.A. |
8.000% due 02/15/2024 (l) |  |  |  |  | 1,383 |  |  |  |  |  | 1,422 |
8.500% due 10/15/2024 (l) |  |  |  |  | 13,078 |  |  |  |  |  | 11,939 |
9.750% due 07/15/2025 (l) |  |  |  |  | 2,822 |  |  |  |  |  | 2,616 |
Intelsat Luxembourg S.A. |
7.750% due 06/01/2021 ^(l) |  |  |  |  | 47,838 |  |  |  |  |  | 37,900 |
8.125% due 06/01/2023 (l) |  |  |  |  | 1,289 |  |  |  |  |  | 765 |
Kronos Acquisition Holdings, Inc. |
9.000% due 08/15/2023 (l) |  |  |  |  | 4,800 |  |  |  |  |  | 4,598 |
Mallinckrodt International Finance S.A. |
5.500% due 04/15/2025 (l) |  |  |  |  | 4,352 |  |  |  |  |  | 1,556 |
Mattel, Inc. |
5.875% due 12/15/2027 |  |  |  |  | 117 |  |  |  |  |  | 124 |
Melco Resorts Finance Ltd. |
5.375% due 12/04/2029 |  |  |  |  | 570 |  |  |  |  |  | 586 |
MSCI, Inc. |
4.000% due 11/15/2029 |  |  |  |  | 170 |  |  |  |  |  | 173 |
NCL Corp. Ltd. |
3.625% due 12/15/2024 |  |  |  |  | 571 |  |  |  |  |  | 580 |
NCR Corp. |
5.750% due 09/01/2027 |  |  |  |  | 8 |  |  |  |  |  | 9 |
Netflix, Inc. |
3.625% due 06/15/2030 |  | EUR |  |  | 800 |  |  |  |  |  | 925 |
3.875% due 11/15/2029 (l) |  |  |  |  | 4,211 |  |  |  |  |  | 5,013 |
4.625% due 05/15/2029 |  |  |  |  | 1,500 |  |  |  |  |  | 1,881 |
4.875% due 06/15/2030 (l) |  | $ |  |  | 600 |  |  |  |  |  | 611 |
5.375% due 11/15/2029 |  |  |  |  | 326 |  |  |  |  |  | 348 |
Noble Holding International Ltd. |
7.875% due 02/01/2026 |  |  |  |  | 1,313 |  |  |  |  |  | 956 |
Odebrecht Oil & Gas Finance Ltd. |
0.000% due 01/31/2020 (g)(h) |  |  |  |  | 4,070 |  |  |  |  |  | 41 |
Ortho-Clinical Diagnostics, Inc. |
6.625% due 05/15/2022 (l) |  |  |  |  | 6,714 |  |  |  |  |  | 6,689 |
Pacific Drilling SA |
8.375% due 10/01/2023 (l) |  |  |  |  | 1,675 |  |  |  |  |  | 1,533 |
Pan American Energy LLC |
42.636% (BADLARPP) due 11/20/2020 «~ |  | ARS |  |  | 273,836 |  |  |  |  |  | 3,620 |

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
Par Pharmaceutical, Inc. |
7.500% due 04/01/2027 (l) |  | $ |  |  | 650 |  |  | $ |  |  | 648 |
Petroleos Mexicanos |
5.350% due 02/12/2028 (l) |  |  |  |  | 3,481 |  |  |  |  |  | 3,473 |
6.490% due 01/23/2027 |  |  |  |  | 390 |  |  |  |  |  | 415 |
6.500% due 03/13/2027 (l) |  |  |  |  | 6,499 |  |  |  |  |  | 6,919 |
6.750% due 09/21/2047 |  |  |  |  | 260 |  |  |  |  |  | 261 |
6.840% due 01/23/2030 (l) |  |  |  |  | 1,170 |  |  |  |  |  | 1,250 |
7.690% due 01/23/2050 |  |  |  |  | 590 |  |  |  |  |  | 646 |
PetSmart, Inc. |
5.875% due 06/01/2025 (l) |  |  |  |  | 414 |  |  |  |  |  | 423 |
Platin 1426 GmbH |
6.875% due 06/15/2023 (l) |  | EUR |  |  | 2,300 |  |  |  |  |  | 2,648 |
6.875% due 06/15/2023 |  |  |  |  | 1,980 |  |  |  |  |  | 2,279 |
QGOG Constellation S.A. |
9.000% due 11/09/2024 « |  | $ |  |  | 452 |  |  |  |  |  | 0 |
QVC, Inc. |
5.950% due 03/15/2043 (l) |  |  |  |  | 3,378 |  |  |  |  |  | 3,164 |
Radiate Holdco LLC |
6.875% due 02/15/2023 |  |  |  |  | 107 |  |  |  |  |  | 109 |
Refinitiv U.S. Holdings, Inc. |
4.500% due 05/15/2026 |  | EUR |  |  | 1,000 |  |  |  |  |  | 1,225 |
Russian Railways via RZD Capital PLC |
7.487% due 03/25/2031 |  | GBP |  |  | 100 |  |  |  |  |  | 178 |
Scotts Miracle-Gro Co. |
4.500% due 10/15/2029 |  | $ |  |  | 35 |  |  |  |  |  | 36 |
Sealed Air Corp. |
4.000% due 12/01/2027 |  |  |  |  | 84 |  |  |  |  |  | 85 |
Select Medical Corp. |
6.250% due 08/15/2026 |  |  |  |  | 178 |  |  |  |  |  | 193 |
Sensata Technologies, Inc. |
4.375% due 02/15/2030 |  |  |  |  | 156 |  |  |  |  |  | 159 |
Silgan Holdings, Inc. |
4.125% due 02/01/2028 |  |  |  |  | 272 |  |  |  |  |  | 273 |
Spanish Broadcasting System, Inc. ^ |  |  |  |  |  |  |
12.500% due 04/15/2049 (d) |  |  |  |  | 54,910 |  |  |  |  |  | 57,282 |
Staples, Inc. |
7.500% due 04/15/2026 |  |  |  |  | 99 |  |  |  |  |  | 103 |
Telesat Canada |
4.875% due 06/01/2027 |  |  |  |  | 169 |  |  |  |  |  | 172 |
6.500% due 10/15/2027 |  |  |  |  | 68 |  |  |  |  |  | 71 |
Tenet Healthcare Corp. |
4.625% due 09/01/2024 |  |  |  |  | 101 |  |  |  |  |  | 105 |
Teva Pharmaceutical Finance BV |
3.650% due 11/10/2021 |  |  |  |  | 204 |  |  |  |  |  | 200 |
Teva Pharmaceutical Finance Co. BV |
3.650% due 11/10/2021 |  |  |  |  | 200 |  |  |  |  |  | 196 |
Teva Pharmaceutical Finance Netherlands BV |
0.375% due 07/25/2020 (l) |  | EUR |  |  | 461 |  |  |  |  |  | 516 |
2.200% due 07/21/2021 (l) |  | $ |  |  | 1,946 |  |  |  |  |  | 1,888 |
3.250% due 04/15/2022 (l) |  | EUR |  |  | 1,700 |  |  |  |  |  | 1,934 |
6.000% due 01/31/2025 |  |  |  |  | 600 |  |  |  |  |  | 713 |
7.125% due 01/31/2025 |  | $ |  |  | 200 |  |  |  |  |  | 206 |
Topaz Solar Farms LLC |
4.875% due 09/30/2039 (l) |  |  |  |  | 8,910 |  |  |  |  |  | 9,254 |
5.750% due 09/30/2039 (l) |  |  |  |  | 28,124 |  |  |  |  |  | 31,102 |
TransDigm, Inc. |
5.500% due 11/15/2027 |  |  |  |  | 576 |  |  |  |  |  | 584 |
Transocean Pontus Ltd. |
6.125% due 08/01/2025 (l) |  |  |  |  | 733 |  |  |  |  |  | 754 |
Transocean, Inc. |
7.250% due 11/01/2025 |  |  |  |  | 361 |  |  |  |  |  | 355 |
7.500% due 01/15/2026 |  |  |  |  | 285 |  |  |  |  |  | 282 |
Trident TPI Holdings, Inc. |
9.250% due 08/01/2024 |  |  |  |  | 97 |  |  |  |  |  | 98 |
Triumph Group, Inc. |
5.250% due 06/01/2022 |  |  |  |  | 136 |  |  |  |  |  | 136 |
6.250% due 09/15/2024 |  |  |  |  | 402 |  |  |  |  |  | 423 |
Trivium Packaging Finance BV |
5.500% due 08/15/2026 |  |  |  |  | 440 |  |  |  |  |  | 464 |
8.500% due 08/15/2027 |  |  |  |  | 200 |  |  |  |  |  | 223 |
Twitter, Inc. |
3.875% due 12/15/2027 |  |  |  |  | 121 |  |  |  |  |  | 121 |

See Accompanying Notes |  | SEMIANNUAL REPORT |  | DECEMBER 31, 2019 |  | 81

Consolidated Schedule of Investments PIMCO Dynamic Credit and Mortgage Income Fund (Cont.)

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
Unigel Luxembourg S.A. |
8.750% due 10/01/2026 (l) |  | $ |  |  | 1,300 |  |  | $ |  |  | 1,327 |
United Group BV |
4.375% due 07/01/2022 |  | EUR |  |  | 390 |  |  |  |  |  | 447 |
4.875% due 07/01/2024 (l) |  |  |  |  | 230 |  |  |  |  |  | 270 |
Univision Communications, Inc. |
5.125% due 02/15/2025 (l) |  | $ |  |  | 5,076 |  |  |  |  |  | 5,032 |
Valaris PLC |
5.750% due 10/01/2044 |  |  |  |  | 717 |  |  |  |  |  | 325 |
7.750% due 02/01/2026 |  |  |  |  | 94 |  |  |  |  |  | 53 |
Vale Overseas Ltd. |
6.875% due 11/21/2036 (l) |  |  |  |  | 307 |  |  |  |  |  | 400 |
6.875% due 11/10/2039 (l) |  |  |  |  | 236 |  |  |  |  |  | 308 |
ViaSat, Inc. |
5.625% due 04/15/2027 |  |  |  |  | 82 |  |  |  |  |  | 88 |
Wyndham Destinations, Inc. |
3.900% due 03/01/2023 (l) |  |  |  |  | 409 |  |  |  |  |  | 414 |
4.625% due 03/01/2030 |  |  |  |  | 228 |  |  |  |  |  | 229 |
5.400% due 04/01/2024 (l) |  |  |  |  | 174 |  |  |  |  |  | 185 |
Wynn Macau Ltd. |
5.125% due 12/15/2029 |  |  |  |  | 500 |  |  |  |  |  | 512 |
Yellowstone Energy LP |
5.750% due 12/31/2026 « |  |  |  |  | 3,205 |  |  |  |  |  | 3,415 |
|  |  |  |  |  |  |  |  |  |  | 583,444 |
UTILITIES 6.2% |
CenturyLink, Inc. |
5.125% due 12/15/2026 |  |  |  |  | 47 |  |  |  |  |  | 48 |
DTEK Finance PLC (10.750% Cash and 0.000% PIK) |
10.750% due 12/31/2024 (c)(l) |  |  |  |  | 5,249 |  |  |  |  |  | 5,387 |
Edison International |
2.400% due 09/15/2022 (l) |  |  |  |  | 846 |  |  |  |  |  | 844 |
3.125% due 11/15/2022 |  |  |  |  | 478 |  |  |  |  |  | 485 |
3.550% due 11/15/2024 |  |  |  |  | 482 |  |  |  |  |  | 494 |
5.750% due 06/15/2027 |  |  |  |  | 249 |  |  |  |  |  | 280 |
Frontier Communications Corp. |
8.000% due 04/01/2027 (l) |  |  |  |  | 570 |  |  |  |  |  | 597 |
Gazprom OAO Via Gaz Capital S.A. |
7.288% due 08/16/2037 |  |  |  |  | 300 |  |  |  |  |  | 421 |
Odebrecht Drilling Norbe Ltd. |
6.350% due 12/01/2021 ^(l) |  |  |  |  | 4,285 |  |  |  |  |  | 4,276 |
Odebrecht Drilling Norbe Ltd. (6.350% Cash and 1.000% PIK) |
7.350% due 12/01/2026 ^(c)(l) |  |  |  |  | 2,192 |  |  |  |  |  | 1,201 |
Odebrecht Offshore Drilling Finance Ltd. |
6.720% due 12/01/2022 ^(l) |  |  |  |  | 29,077 |  |  |  |  |  | 28,641 |
Odebrecht Offshore Drilling Finance Ltd. (6.720% Cash and 1.000% PIK) |
7.720% due 12/01/2026 ^(c)(l) |  |  |  |  | 20,928 |  |  |  |  |  | 5,232 |
Pacific Gas & Electric Co. |
2.450% due 08/15/2022 ^(d)(l) |  |  |  |  | 1,086 |  |  |  |  |  | 1,088 |
2.950% due 03/01/2026 ^(d)(l) |  |  |  |  | 4,152 |  |  |  |  |  | 4,172 |
3.250% due 09/15/2021 ^(d)(l) |  |  |  |  | 293 |  |  |  |  |  | 295 |
3.250% due 06/15/2023 ^(d)(l) |  |  |  |  | 5,617 |  |  |  |  |  | 5,605 |
3.300% due 03/15/2027 ^(d)(l) |  |  |  |  | 11,351 |  |  |  |  |  | 11,380 |
3.300% due 12/01/2027 ^(d)(l) |  |  |  |  | 10,890 |  |  |  |  |  | 10,917 |
3.400% due 08/15/2024 ^(d)(l) |  |  |  |  | 1,092 |  |  |  |  |  | 1,109 |
3.500% due 10/01/2020 ^(d)(l) |  |  |  |  | 1,265 |  |  |  |  |  | 1,270 |
3.500% due 06/15/2025 ^(d)(l) |  |  |  |  | 2,321 |  |  |  |  |  | 2,327 |
3.750% due 02/15/2024 ^(d)(l) |  |  |  |  | 1,093 |  |  |  |  |  | 1,113 |
3.750% due 08/15/2042 ^(d) |  |  |  |  | 116 |  |  |  |  |  | 116 |
3.850% due 11/15/2023 ^(d)(l) |  |  |  |  | 501 |  |  |  |  |  | 507 |
4.000% due 12/01/2046 ^(d) |  |  |  |  | 45 |  |  |  |  |  | 45 |
4.250% due 05/15/2021 ^(d)(l) |  |  |  |  | 2,797 |  |  |  |  |  | 2,812 |
4.250% due 08/01/2023 ^(d)(l) |  |  |  |  | 6,487 |  |  |  |  |  | 6,668 |
4.300% due 03/15/2045 ^(d)(l) |  |  |  |  | 664 |  |  |  |  |  | 676 |
4.500% due 12/15/2041 ^(d)(l) |  |  |  |  | 1,251 |  |  |  |  |  | 1,265 |
4.600% due 06/15/2043 ^(d) |  |  |  |  | 88 |  |  |  |  |  | 90 |
4.650% due 08/01/2028 ^(d)(l) |  |  |  |  | 5,289 |  |  |  |  |  | 5,476 |
4.750% due 02/15/2044 ^(d)(l) |  |  |  |  | 5,572 |  |  |  |  |  | 5,740 |
5.125% due 11/15/2043 ^(d)(l) |  |  |  |  | 6,679 |  |  |  |  |  | 6,856 |
5.400% due 01/15/2040 ^(d) |  |  |  |  | 92 |  |  |  |  |  | 96 |
5.800% due 03/01/2037 ^(d)(l) |  |  |  |  | 18,496 |  |  |  |  |  | 19,330 |
6.050% due 03/01/2034 ^(d)(l) |  |  |  |  | 11,464 |  |  |  |  |  | 12,030 |

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
6.250% due 03/01/2039 ^(d)(l) |  | $ |  |  | 3,534 |  |  | $ |  |  | 3,732 |
6.350% due 02/15/2038 ^(d)(l) |  |  |  |  | 4,204 |  |  |  |  |  | 4,463 |
Petrobras Global Finance BV |
5.375% due 10/01/2029 (l) |  | GBP |  |  | 2,320 |  |  |  |  |  | 3,418 |
6.625% due 01/16/2034 (l) |  |  |  |  | 11,017 |  |  |  |  |  | 17,593 |
Rio Oil Finance Trust |
9.250% due 07/06/2024 (l) |  | $ |  |  | 13,436 |  |  |  |  |  | 15,088 |
9.750% due 01/06/2027 (l) |  |  |  |  | 3,079 |  |  |  |  |  | 3,649 |
9.750% due 01/06/2027 |  |  |  |  | 422 |  |  |  |  |  | 500 |
Talen Energy Supply LLC |
6.625% due 01/15/2028 |  |  |  |  | 160 |  |  |  |  |  | 164 |
Transocean Poseidon Ltd. |
6.875% due 02/01/2027 (l) |  |  |  |  | 640 |  |  |  |  |  | 680 |
Transocean Sentry Ltd. |
5.375% due 05/15/2023 (l) |  |  |  |  | 400 |  |  |  |  |  | 408 |
|  |  |  |  |  |  |  |  |  |  | 198,584 |
Total Corporate Bonds & Notes (Cost $1,277,345) |  |  | 1,308,024 |
CONVERTIBLE BONDS & NOTES 0.2% |
INDUSTRIALS 0.2% |
Caesars Entertainment Corp. |
5.000% due 10/01/2024 (l) |  |  |  |  | 2,952 |  |  |  |  |  | 5,686 |
UTILITIES 0.0% |
Ensco Jersey Finance Ltd. |
3.000% due 01/31/2024 |  |  |  |  | 48 |  |  |  |  |  | 35 |
Total Convertible Bonds & Notes (Cost $5,542) |  |  | 5,721 |
MUNICIPAL BONDS & NOTES 1.1% |
ILLINOIS 0.1% |
Chicago, Illinois General Obligation Bonds, Series 2017 |
7.045% due 01/01/2029 |  |  |  |  | 580 |  |  |  |  |  | 637 |
Illinois State General Obligation Bonds, (BABs), Series 2010 |
6.725% due 04/01/2035 |  |  |  |  | 145 |  |  |  |  |  | 170 |
7.350% due 07/01/2035 |  |  |  |  | 115 |  |  |  |  |  | 140 |
Illinois State General Obligation Bonds, Series 2003 |
5.100% due 06/01/2033 |  |  |  |  | 1,360 |  |  |  |  |  | 1,467 |
|  |  |  |  |  |  |  |  |  |  | 2,414 |
IOWA 0.0% |
Iowa Tobacco Settlement Authority Revenue Bonds, Series 2005 |
6.500% due 06/01/2023 |  |  |  |  | 1,090 |  |  |  |  |  | 1,106 |
NEW JERSEY 0.2% |
New Jersey Economic Development Authority Revenue Bonds, Series 2005 |
6.500% due 09/01/2036 « |  |  |  |  | 6,130 |  |  |  |  |  | 6,104 |
TEXAS 0.0% |
Texas Public Finance Authority Revenue Notes, Series 2014 |
8.250% due 07/01/2024 |  |  |  |  | 100 |  |  |  |  |  | 101 |
VIRGINIA 0.0% |
Tobacco Settlement Financing Corp., Virginia Revenue Bonds, Series 2007 |
6.706% due 06/01/2046 |  |  |  |  | 95 |  |  |  |  |  | 92 |

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
WEST VIRGINIA 0.8% |
Tobacco Settlement Finance Authority, West Virginia Revenue Bonds, Series 2007 |
0.000% due 06/01/2047 (g) |  | $ |  |  | 231,485 |  |  | $ |  |  | 10,125 |
7.467% due 06/01/2047 |  |  |  |  | 13,525 |  |  |  |  |  | 14,065 |
|  |  |  |  |  |  |  |  |  |  | 24,190 |
Total Municipal Bonds & Notes (Cost $36,750) |  |  | 34,007 |
U.S. GOVERNMENT AGENCIES 4.3% |
Fannie Mae |
3.000% due 01/25/2042 (a)(l) |  |  |  |  | 735 |  |  |  |  |  | 36 |
3.500% due 08/25/2032 (a)(l) |  |  |  |  | 1,842 |  |  |  |  |  | 192 |
4.208% due 08/25/2038 •(a) |  |  |  |  | 682 |  |  |  |  |  | 87 |
4.358% due 02/25/2043 •(a) |  |  |  |  | 3,689 |  |  |  |  |  | 424 |
4.848% due 12/25/2036 •(a)(l) |  |  |  |  | 2,522 |  |  |  |  |  | 514 |
4.919% due 10/25/2042 •(l) |  |  |  |  | 2,795 |  |  |  |  |  | 3,011 |
5.342% due 07/25/2029 •(l) |  |  |  |  | 4,480 |  |  |  |  |  | 4,745 |
7.542% due 07/25/2029 • |  |  |  |  | 6,000 |  |  |  |  |  | 7,109 |
Freddie Mac |
0.000% due 02/25/2046 (b)(g) |  |  |  |  | 34,903 |  |  |  |  |  | 32,367 |
0.000% due 11/25/2050 (b)(g)(l) |  |  |  |  | 55,633 |  |  |  |  |  | 29,563 |
0.100% due 02/25/2046 - 11/25/2050 (a) |  |  |  |  | 558,455 |  |  |  |  |  | 1,029 |
0.100% due 11/25/2050 (a)(l) |  |  |  |  | 598,998 |  |  |  |  |  | 3,079 |
1.939% due 11/25/2055 ~(a) |  |  |  |  | 169,412 |  |  |  |  |  | 13,529 |
2.011% due 11/25/2045 ~(a)(l) |  |  |  |  | 51,924 |  |  |  |  |  | 6,998 |
4.000% due 03/15/2027 (a) |  |  |  |  | 553 |  |  |  |  |  | 49 |
4.118% due 04/25/2025 ~(l) |  |  |  |  | 5,400 |  |  |  |  |  | 5,160 |
4.460% due 09/15/2042 •(a) |  |  |  |  | 1,244 |  |  |  |  |  | 188 |
4.760% due 12/15/2034 •(a) |  |  |  |  | 873 |  |  |  |  |  | 32 |
6.942% due 10/25/2029 • |  |  |  |  | 5,500 |  |  |  |  |  | 6,364 |
10.792% due 03/25/2029 • |  |  |  |  | 4,780 |  |  |  |  |  | 5,995 |
11.447% due 12/25/2045 •(l) |  |  |  |  | 4,173 |  |  |  |  |  | 4,131 |
12.292% due 10/25/2028 • |  |  |  |  | 991 |  |  |  |  |  | 1,367 |
12.542% due 03/25/2025 • |  |  |  |  | 7,066 |  |  |  |  |  | 9,264 |
Ginnie Mae |
3.500% due 06/20/2042 (a)(l) |  |  |  |  | 927 |  |  |  |  |  | 123 |
4.355% due 08/20/2042 •(a)(l) |  |  |  |  | 2,567 |  |  |  |  |  | 490 |
4.485% due 12/20/2040 •(a)(l) |  |  |  |  | 2,330 |  |  |  |  |  | 306 |
4.960% due 08/16/2039 •(a)(l) |  |  |  |  | 1,916 |  |  |  |  |  | 151 |
Total U.S. Government Agencies (Cost $124,518) |  |  | 136,303 |
NON-AGENCY MORTGAGE-BACKED SECURITIES 40.7% |
Adjustable Rate Mortgage Trust |
1.942% due 03/25/2037 • |  |  |  |  | 1,416 |  |  |  |  |  | 1,452 |
2.052% due 03/25/2036 •(l) |  |  |  |  | 4,712 |  |  |  |  |  | 3,331 |
4.320% due 03/25/2037 ~(l) |  |  |  |  | 2,917 |  |  |  |  |  | 2,731 |
5.557% due 11/25/2037 ^~ |  |  |  |  | 1,196 |  |  |  |  |  | 1,056 |
American Home Mortgage Investment Trust |
6.600% due 01/25/2037 þ |  |  |  |  | 5,018 |  |  |  |  |  | 2,168 |
ASG Resecuritization Trust |
3.451% due 01/28/2037 ~(l) |  |  |  |  | 15,900 |  |  |  |  |  | 13,743 |
6.000% due 06/28/2037 ~(l) |  |  |  |  | 34,219 |  |  |  |  |  | 25,099 |
Banc of America Alternative Loan Trust |
2.152% due 06/25/2037 • |  |  |  |  | 534 |  |  |  |  |  | 418 |
4.848% due 06/25/2037 ^•(a) |  |  |  |  | 575 |  |  |  |  |  | 117 |
6.000% due 04/25/2036 |  |  |  |  | 960 |  |  |  |  |  | 912 |
6.000% due 07/25/2046 ^ |  |  |  |  | 1,322 |  |  |  |  |  | 1,283 |
6.500% due 02/25/2036 ^ |  |  |  |  | 2,162 |  |  |  |  |  | 2,162 |
12.998% due 09/25/2035 ^• |  |  |  |  | 294 |  |  |  |  |  | 365 |
Banc of America Funding Trust |
0.000% due 11/26/2036 ~(l) |  |  |  |  | 30,672 |  |  |  |  |  | 7,782 |
2.002% due 04/25/2037 ^• |  |  |  |  | 1,709 |  |  |  |  |  | 1,455 |
3.876% due 09/20/2037 ~ |  |  |  |  | 662 |  |  |  |  |  | 506 |
3.982% due 09/20/2047 ^~ |  |  |  |  | 281 |  |  |  |  |  | 252 |
4.334% due 04/20/2035 ^~ |  |  |  |  | 2,116 |  |  |  |  |  | 1,974 |
4.370% due 09/20/2046 ^~ |  |  |  |  | 2,720 |  |  |  |  |  | 2,656 |
5.433% due 08/26/2036 ~ |  |  |  |  | 4,963 |  |  |  |  |  | 4,284 |
6.000% due 10/25/2037 ^ |  |  |  |  | 4,756 |  |  |  |  |  | 3,596 |
Banc of America Mortgage Trust |
5.750% due 10/25/2036 ^ |  |  |  |  | 1,385 |  |  |  |  |  | 1,356 |
5.750% due 05/25/2037 ^ |  |  |  |  | 989 |  |  |  |  |  | 885 |
6.000% due 10/25/2036 ^ |  |  |  |  | 168 |  |  |  |  |  | 166 |

82 |  | PIMCO CLOSED-END FUNDS |  |  |  |  | See Accompanying Notes |

December 31, 2019 (Unaudited)

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
Bancorp Commercial Mortgage Trust |
5.490% due 08/15/2032 •(l) |  | $ |  |  | 3,470 |  |  | $ |  |  | 3,505 |
Bayview Commercial Asset Trust |
2.012% due 03/25/2037 • |  |  |  |  | 182 |  |  |  |  |  | 174 |
2.022% due 12/25/2036 • |  |  |  |  | 249 |  |  |  |  |  | 242 |
2.222% due 08/25/2034 • |  |  |  |  | 116 |  |  |  |  |  | 115 |
BCAP LLC Trust |
1.875% due 02/26/2037 ~(l) |  |  |  |  | 16,704 |  |  |  |  |  | 13,989 |
1.888% due 05/26/2036 • |  |  |  |  | 6,728 |  |  |  |  |  | 6,029 |
2.208% due 05/26/2035 • |  |  |  |  | 7,071 |  |  |  |  |  | 5,984 |
3.027% due 02/26/2047 •(l) |  |  |  |  | 20,741 |  |  |  |  |  | 18,136 |
4.028% due 03/27/2037 ~ |  |  |  |  | 7,255 |  |  |  |  |  | 6,279 |
4.037% due 03/26/2037 ~ |  |  |  |  | 1,514 |  |  |  |  |  | 1,347 |
4.044% due 07/26/2036 ~ |  |  |  |  | 3,245 |  |  |  |  |  | 3,179 |
4.151% due 07/26/2036 ~ |  |  |  |  | 737 |  |  |  |  |  | 689 |
5.500% due 12/26/2035 ~(l) |  |  |  |  | 10,171 |  |  |  |  |  | 9,338 |
5.991% due 06/26/2037 ~ |  |  |  |  | 4,732 |  |  |  |  |  | 4,861 |
6.000% due 10/26/2037 ~ |  |  |  |  | 3,907 |  |  |  |  |  | 3,407 |
9.830% due 01/26/2036 ~ |  |  |  |  | 15,865 |  |  |  |  |  | 5,653 |
Bear Stearns Adjustable Rate Mortgage Trust |
4.065% due 02/25/2036 ^~ |  |  |  |  | 738 |  |  |  |  |  | 727 |
Bear Stearns ALT-A Trust |
2.132% due 08/25/2036 ^•(l) |  |  |  |  | 27,081 |  |  |  |  |  | 24,031 |
2.292% due 01/25/2036 ^•(l) |  |  |  |  | 8,056 |  |  |  |  |  | 9,332 |
2.917% due 03/25/2035 • |  |  |  |  | 6,328 |  |  |  |  |  | 6,248 |
3.667% due 04/25/2037 ~(l) |  |  |  |  | 6,183 |  |  |  |  |  | 5,404 |
3.684% due 08/25/2046 ^~ |  |  |  |  | 3,867 |  |  |  |  |  | 3,771 |
3.960% due 12/25/2046 ^~(l) |  |  |  |  | 4,733 |  |  |  |  |  | 3,301 |
4.019% due 03/25/2036 ~ |  |  |  |  | 1,873 |  |  |  |  |  | 1,335 |
4.044% due 07/25/2036 ~(l) |  |  |  |  | 54,186 |  |  |  |  |  | 32,641 |
4.047% due 09/25/2035 ^~(l) |  |  |  |  | 5,571 |  |  |  |  |  | 3,731 |
Bear Stearns Commercial Mortgage Securities Trust |
5.728% due 04/12/2038 ~ |  |  |  |  | 1,120 |  |  |  |  |  | 1,133 |
Bear Stearns Mortgage Funding Trust |
7.500% due 08/25/2036 þ |  |  |  |  | 2,908 |  |  |  |  |  | 2,797 |
CD Commercial Mortgage Trust |
5.398% due 12/11/2049 ~ |  |  |  |  | 110 |  |  |  |  |  | 104 |
CD Mortgage Trust |
5.688% due 10/15/2048 |  |  |  |  | 17,536 |  |  |  |  |  | 9,106 |
Citigroup Commercial Mortgage Trust |
5.589% due 12/10/2049 ~ |  |  |  |  | 7,378 |  |  |  |  |  | 4,723 |
5.589% due 12/10/2049 ~(l) |  |  |  |  | 7,637 |  |  |  |  |  | 4,895 |
Citigroup Mortgage Loan Trust |
0.034% due 07/25/2036 ^~ |  |  |  |  | 3,088 |  |  |  |  |  | 2,378 |
3.729% due 03/25/2037 ^~ |  |  |  |  | 3,350 |  |  |  |  |  | 3,011 |
3.856% due 04/25/2037 ^~ |  |  |  |  | 569 |  |  |  |  |  | 507 |
3.989% due 03/25/2037 ^~ |  |  |  |  | 1,474 |  |  |  |  |  | 1,442 |
4.195% due 08/25/2034 ~ |  |  |  |  | 6,115 |  |  |  |  |  | 5,363 |
4.369% due 08/25/2037 ~ |  |  |  |  | 3,570 |  |  |  |  |  | 2,627 |
5.500% due 12/25/2035 |  |  |  |  | 3,292 |  |  |  |  |  | 2,644 |
6.000% due 07/25/2036 |  |  |  |  | 5,141 |  |  |  |  |  | 3,997 |
6.500% due 09/25/2036 |  |  |  |  | 1,472 |  |  |  |  |  | 1,143 |
Commercial Mortgage Loan Trust |
6.052% due 12/10/2049 ~(l) |  |  |  |  | 16,722 |  |  |  |  |  | 11,097 |
Countrywide Alternative Loan Resecuritization Trust |
7.000% due 01/25/2037 ^ |  |  |  |  | 5,559 |  |  |  |  |  | 2,368 |
Countrywide Alternative Loan Trust |
1.955% due 03/20/2047 • |  |  |  |  | 717 |  |  |  |  |  | 622 |
1.972% due 05/25/2036 •(l) |  |  |  |  | 15,359 |  |  |  |  |  | 13,664 |
2.002% due 08/25/2047 ^• |  |  |  |  | 1,382 |  |  |  |  |  | 1,258 |
2.012% due 05/25/2047 •(l) |  |  |  |  | 10,734 |  |  |  |  |  | 6,585 |
2.022% due 03/25/2036 •(l) |  |  |  |  | 15,053 |  |  |  |  |  | 12,925 |
2.052% due 07/25/2036 •(l) |  |  |  |  | 7,668 |  |  |  |  |  | 6,704 |
2.365% due 11/20/2035 • |  |  |  |  | 183 |  |  |  |  |  | 177 |
2.492% due 10/25/2035 ^• |  |  |  |  | 966 |  |  |  |  |  | 779 |
3.549% due 07/20/2035 ^•(l) |  |  |  |  | 11,240 |  |  |  |  |  | 9,654 |
4.274% due 05/25/2036 ~(l) |  |  |  |  | 6,462 |  |  |  |  |  | 5,998 |
5.500% due 11/25/2035 |  |  |  |  | 1,991 |  |  |  |  |  | 1,590 |
5.500% due 02/25/2036 ^ |  |  |  |  | 1,400 |  |  |  |  |  | 1,202 |
5.500% due 02/25/2036 |  |  |  |  | 1,437 |  |  |  |  |  | 1,298 |
5.500% due 05/25/2036 ^ |  |  |  |  | 1,528 |  |  |  |  |  | 1,508 |
5.500% due 05/25/2036 (l) |  |  |  |  | 4,707 |  |  |  |  |  | 4,646 |
6.000% due 03/25/2035 ^ |  |  |  |  | 395 |  |  |  |  |  | 299 |
6.000% due 04/25/2036 |  |  |  |  | 623 |  |  |  |  |  | 437 |
6.000% due 01/25/2037 ^ |  |  |  |  | 1,095 |  |  |  |  |  | 1,103 |
6.000% due 02/25/2037 ^ |  |  |  |  | 1,822 |  |  |  |  |  | 1,161 |
6.000% due 04/25/2037 ^(l) |  |  |  |  | 5,324 |  |  |  |  |  | 3,739 |

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
6.250% due 12/25/2036 ^• |  | $ |  |  | 680 |  |  | $ |  |  | 478 |
14.872% due 07/25/2035 • |  |  |  |  | 111 |  |  |  |  |  | 139 |
Countrywide Home Loan Mortgage Pass-Through Trust |
3.662% due 03/25/2046 ^•(l) |  |  |  |  | 39,232 |  |  |  |  |  | 27,023 |
3.987% due 05/20/2036 ^~ |  |  |  |  | 2,061 |  |  |  |  |  | 1,729 |
4.107% due 09/20/2036 ~ |  |  |  |  | 4,267 |  |  |  |  |  | 3,730 |
Credit Suisse First Boston Mortgage Securities Corp. |
5.100% due 08/15/2038 ~(l) |  |  |  |  | 3,293 |  |  |  |  |  | 3,187 |
6.000% due 01/25/2036 ^ |  |  |  |  | 326 |  |  |  |  |  | 289 |
Credit Suisse Mortgage Capital Certificates |
2.323% due 11/30/2037 ~(l) |  |  |  |  | 10,750 |  |  |  |  |  | 9,790 |
3.420% due 11/27/2037 • |  |  |  |  | 8,778 |  |  |  |  |  | 5,589 |
3.525% due 12/29/2037 ~ |  |  |  |  | 4,785 |  |  |  |  |  | 3,947 |
3.563% due 11/25/2037 •(l) |  |  |  |  | 10,763 |  |  |  |  |  | 8,927 |
3.587% due 05/27/2036 ~(l) |  |  |  |  | 6,102 |  |  |  |  |  | 5,318 |
3.693% due 10/26/2036 ~(l) |  |  |  |  | 17,223 |  |  |  |  |  | 16,666 |
3.741% due 05/26/2036 ~(l) |  |  |  |  | 7,347 |  |  |  |  |  | 6,068 |
3.862% due 09/26/2047 ~ |  |  |  |  | 23,834 |  |  |  |  |  | 17,823 |
4.247% due 04/28/2037 ~ |  |  |  |  | 4,301 |  |  |  |  |  | 4,391 |
5.750% due 05/26/2037 |  |  |  |  | 21,125 |  |  |  |  |  | 18,008 |
Credit Suisse Mortgage Capital Mortgage-Backed Trust |
6.000% due 07/25/2036 |  |  |  |  | 2,251 |  |  |  |  |  | 1,852 |
6.500% due 05/25/2036 ^ |  |  |  |  | 2,986 |  |  |  |  |  | 1,897 |
DBUBS Mortgage Trust |
4.652% due 11/10/2046 (l) |  |  |  |  | 19,203 |  |  |  |  |  | 17,288 |
Debussy DTC PLC |
5.930% due 07/12/2025 (l) |  | GBP |  |  | 48,431 |  |  |  |  |  | 64,146 |
8.250% due 07/12/2025 |  |  |  |  | 10,000 |  |  |  |  |  | 13,221 |
Deutsche ALT-A Securities, Inc. |
2.092% due 04/25/2037 •(l) |  | $ |  |  | 6,998 |  |  |  |  |  | 4,486 |
Deutsche ALT-A Securities, Inc. Mortgage Loan Trust |
5.500% due 12/25/2035 ^(l) |  |  |  |  | 587 |  |  |  |  |  | 567 |
Eurosail PLC |
0.000% due 06/13/2045 ~ |  | GBP |  |  | 4 |  |  |  |  |  | 5,790 |
0.447% due 03/13/2045 • |  | EUR |  |  | 7,067 |  |  |  |  |  | 6,351 |
1.079% due 06/13/2045 • |  | GBP |  |  | 1,594 |  |  |  |  |  | 1,882 |
1.779% (BP0003M + 1.000%) due 06/13/2045 ~ |  |  |  |  | 14,958 |  |  |  |  |  | 18,660 |
2.029% (BP0003M + 1.250%) due 06/13/2045 ~ |  |  |  |  | 15,434 |  |  |  |  |  | 18,643 |
2.379% due 09/13/2045 • |  |  |  |  | 14,142 |  |  |  |  |  | 17,850 |
2.529% (BP0003M + 1.750%) due 06/13/2045 ~ |  |  |  |  | 9,500 |  |  |  |  |  | 11,553 |
3.029% due 09/13/2045 • |  |  |  |  | 10,088 |  |  |  |  |  | 12,760 |
4.279% (BP0003M + 3.500%) due 06/13/2045 ~ |  |  |  |  | 3,370 |  |  |  |  |  | 4,261 |
4.629% due 09/13/2045 • |  |  |  |  | 8,383 |  |  |  |  |  | 11,999 |
First Horizon Alternative Mortgage Securities Trust |
0.000% due 05/25/2020 (b)(g) |  | $ |  |  | 3 |  |  |  |  |  | 1 |
First Horizon Mortgage Pass-Through Trust |
4.823% due 05/25/2037 ^~ |  |  |  |  | 4,824 |  |  |  |  |  | 3,747 |
Fondo de Titulizacion de Activos UCI |
0.000% due 06/16/2049 • |  | EUR |  |  | 2,862 |  |  |  |  |  | 3,098 |
GC Pastor Hipotecario FTA |
0.000% due 06/21/2046 •(l) |  |  |  |  | 21,818 |  |  |  |  |  | 21,884 |
GCCFC Commercial Mortgage Trust |
5.619% due 07/10/2038 ~(l) |  | $ |  |  | 10,700 |  |  |  |  |  | 9,913 |
6.394% due 06/10/2036 ~ |  |  |  |  | 2,850 |  |  |  |  |  | 2,860 |
GE Commercial Mortgage Corp. Trust |
5.606% due 12/10/2049 ~ |  |  |  |  | 5,350 |  |  |  |  |  | 4,681 |
Grifonas Finance PLC |
0.000% due 08/28/2039 • |  | EUR |  |  | 8,290 |  |  |  |  |  | 8,605 |
GS Mortgage Securities Corp. Trust |
4.591% due 10/10/2032 ~(l) |  | $ |  |  | 25,157 |  |  |  |  |  | 24,644 |
GSC Capital Corp. Mortgage Trust |
1.972% due 05/25/2036 ^•(l) |  |  |  |  | 2,215 |  |  |  |  |  | 2,094 |
HarborView Mortgage Loan Trust |
2.977% due 06/19/2045 ^• |  |  |  |  | 1,194 |  |  |  |  |  | 779 |
Hipocat FTA |
0.000% due 01/15/2050 • |  | EUR |  |  | 411 |  |  |  |  |  | 456 |
HomeBanc Mortgage Trust |
4.128% due 04/25/2037 ^~(l) |  | $ |  |  | 5,155 |  |  |  |  |  | 4,838 |
HSI Asset Loan Obligation Trust |
6.000% due 06/25/2037 ^ |  |  |  |  | 8,242 |  |  |  |  |  | 7,498 |

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
IM Pastor Fondo de Titluzacion Hipotecaria |
0.000% due 03/22/2043 •(l) |  | EUR |  |  | 26,503 |  |  | $ |  |  | 27,382 |
IM Pastor Fondo de Titulizacion de Activos |
0.000% due 03/22/2044 • |  |  |  |  | 852 |  |  |  |  |  | 884 |
Impac Secured Assets Trust |
1.962% due 01/25/2037 •(l) |  | $ |  |  | 7 |  |  |  |  |  | 7 |
IndyMac Mortgage Loan Trust |
1.918% due 11/25/2036 • |  |  |  |  | 204 |  |  |  |  |  | 199 |
3.673% due 11/25/2035 ^~ |  |  |  |  | 3,745 |  |  |  |  |  | 3,563 |
4.086% due 06/25/2036 ~ |  |  |  |  | 969 |  |  |  |  |  | 916 |
Jefferies Resecuritization Trust |
6.000% due 12/26/2036 ~ |  |  |  |  | 3,902 |  |  |  |  |  | 1,885 |
JPMorgan Alternative Loan Trust |
2.200% due 06/27/2037 •(l) |  |  |  |  | 10,476 |  |  |  |  |  | 9,048 |
3.584% due 11/25/2036 ^~ |  |  |  |  | 312 |  |  |  |  |  | 314 |
4.107% due 05/25/2036 ^~ |  |  |  |  | 744 |  |  |  |  |  | 559 |
6.000% due 12/25/2035 ^ |  |  |  |  | 1,010 |  |  |  |  |  | 945 |
10.195% due 06/27/2037 ~ |  |  |  |  | 13,796 |  |  |  |  |  | 11,054 |
JPMorgan Chase Commercial Mortgage Securities Trust |
2.612% due 06/12/2041 ~(l) |  |  |  |  | 10,975 |  |  |  |  |  | 11,359 |
5.167% due 10/15/2032 • |  |  |  |  | 4,700 |  |  |  |  |  | 4,522 |
JPMorgan Resecuritization Trust |
4.396% due 03/21/2037 ~ |  |  |  |  | 3,362 |  |  |  |  |  | 3,021 |
6.000% due 09/26/2036 |  |  |  |  | 2,249 |  |  |  |  |  | 2,050 |
6.500% due 04/26/2036 ~ |  |  |  |  | 5,563 |  |  |  |  |  | 3,520 |
Lansdowne Mortgage Securities PLC |
0.000% due 09/16/2048 • |  | EUR |  |  | 9,468 |  |  |  |  |  | 9,718 |
Lavender Trust |
6.250% due 10/26/2036 (l) |  | $ |  |  | 5,096 |  |  |  |  |  | 4,003 |
Lehman Mortgage Trust |
6.000% due 01/25/2038 ^ |  |  |  |  | 2,534 |  |  |  |  |  | 2,647 |
Lehman XS Trust |
2.692% due 08/25/2047 ^• |  |  |  |  | 414 |  |  |  |  |  | 378 |
Merrill Lynch Alternative Note Asset Trust |
6.000% due 05/25/2037 ^ |  |  |  |  | 3,350 |  |  |  |  |  | 3,234 |
Merrill Lynch Mortgage Investors Trust |
4.227% due 03/25/2036 ^~(l) |  |  |  |  | 9,959 |  |  |  |  |  | 7,097 |
Morgan Stanley Capital Trust |
5.399% due 12/15/2043 |  |  |  |  | 1,063 |  |  |  |  |  | 744 |
6.186% due 08/12/2041 ~ |  |  |  |  | 3,776 |  |  |  |  |  | 3,848 |
Morgan Stanley Mortgage Loan Trust |
1.962% due 05/25/2036 • |  |  |  |  | 171 |  |  |  |  |  | 64 |
4.215% due 05/25/2036 ^~ |  |  |  |  | 2,253 |  |  |  |  |  | 1,634 |
5.962% due 06/25/2036 ^~ |  |  |  |  | 2,107 |  |  |  |  |  | 844 |
Morgan Stanley Re-REMIC Trust |
3.027% due 02/26/2037 • |  |  |  |  | 3,839 |  |  |  |  |  | 3,453 |
3.162% due 03/26/2037 þ |  |  |  |  | 2,348 |  |  |  |  |  | 2,183 |
Morgan Stanley Resecuritization Trust |
4.365% due 06/26/2035 ~(l) |  |  |  |  | 10,839 |  |  |  |  |  | 8,536 |
Mortgage Equity Conversion Asset Trust |
4.000% due 07/25/2060 (l) |  |  |  |  | 4,395 |  |  |  |  |  | 4,288 |
Motel 6 Trust |
8.666% due 08/15/2024 • |  |  |  |  | 32,954 |  |  |  |  |  | 33,537 |
Natixis Commercial Mortgage Securities Trust |
4.740% due 11/15/2034 • |  |  |  |  | 7,294 |  |  |  |  |  | 7,244 |
5.740% due 11/15/2034 • |  |  |  |  | 3,163 |  |  |  |  |  | 3,110 |
PHH Alternative Mortgage Trust |
0.000% due 02/25/2037 ^(b)(g) |  |  |  |  | 3 |  |  |  |  |  | 3 |
RBSSP Resecuritization Trust |
4.507% due 09/26/2035 ~ |  |  |  |  | 6,996 |  |  |  |  |  | 5,447 |
6.000% due 06/26/2037 ~ |  |  |  |  | 1,423 |  |  |  |  |  | 1,195 |
Residential Accredit Loans, Inc. Trust |
1.942% due 02/25/2037 • |  |  |  |  | 540 |  |  |  |  |  | 495 |
6.000% due 12/25/2035 ^(l) |  |  |  |  | 2,545 |  |  |  |  |  | 2,492 |
6.000% due 11/25/2036 ^ |  |  |  |  | 3,020 |  |  |  |  |  | 2,781 |
6.250% due 02/25/2037 ^(l) |  |  |  |  | 3,957 |  |  |  |  |  | 3,667 |
6.500% due 09/25/2037 ^ |  |  |  |  | 1,463 |  |  |  |  |  | 1,424 |
Residential Asset Mortgage Products Trust |
8.000% due 05/25/2032 |  |  |  |  | 706 |  |  |  |  |  | 546 |
Residential Asset Securitization Trust |
6.000% due 05/25/2036 |  |  |  |  | 855 |  |  |  |  |  | 841 |
6.000% due 02/25/2037 ^ |  |  |  |  | 209 |  |  |  |  |  | 148 |
6.000% due 03/25/2037 ^(l) |  |  |  |  | 2,803 |  |  |  |  |  | 1,571 |
6.250% due 10/25/2036 ^ |  |  |  |  | 119 |  |  |  |  |  | 119 |

See Accompanying Notes |  | SEMIANNUAL REPORT |  | DECEMBER 31, 2019 |  | 83

Consolidated Schedule of Investments PIMCO Dynamic Credit and Mortgage Income Fund (Cont.)

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
RiverView HECM Trust |
2.030% due 05/25/2047 •(l) |  | $ |  |  | 15,830 |  |  | $ |  |  | 14,857 |
Sequoia Mortgage Trust |
2.774% due 02/20/2034 •(l) |  |  |  |  | 375 |  |  |  |  |  | 366 |
3.892% due 09/20/2032 ~ |  |  |  |  | 511 |  |  |  |  |  | 511 |
Structured Asset Mortgage Investments Trust |
2.002% due 05/25/2036 • |  |  |  |  | 31 |  |  |  |  |  | 30 |
SunTrust Adjustable Rate Mortgage Loan Trust |
4.499% due 02/25/2037 ^~ |  |  |  |  | 3,933 |  |  |  |  |  | 3,815 |
Taberna Preferred Funding Ltd. |
2.241% due 02/05/2037 •(l) |  |  |  |  | 21,055 |  |  |  |  |  | 18,581 |
Theatre Hospitals PLC |
3.785% due 10/15/2031 •(l) |  | GBP |  |  | 35,905 |  |  |  |  |  | 47,559 |
4.190% due 12/15/2024 «(j) |  |  |  |  | 801 |  |  |  |  |  | 0 |
4.535% due 10/15/2031 • |  |  |  |  | 1,707 |  |  |  |  |  | 2,261 |
Wachovia Bank Commercial Mortgage Trust |
5.720% due 10/15/2048 ~ |  | $ |  |  | 452 |  |  |  |  |  | 444 |
WaMu Mortgage Pass-Through Certificates Trust |
2.627% due 07/25/2046 •(l) |  |  |  |  | 307 |  |  |  |  |  | 298 |
3.880% due 08/25/2036 ^~ |  |  |  |  | 1,985 |  |  |  |  |  | 1,951 |
Warwick Finance Residential Mortgages PLC |
0.000% due 09/21/2049 ~ |  | GBP |  |  | 0 |  |  |  |  |  | 132,124 |
0.000% due 12/21/2049 (g) |  |  |  |  | 0 |  |  |  |  |  | 1,581 |
1.600% due 12/21/2049 • |  |  |  |  | 19,700 |  |  |  |  |  | 26,111 |
2.300% due 12/21/2049 • |  |  |  |  | 2,261 |  |  |  |  |  | 3,002 |
2.800% due 12/21/2049 • |  |  |  |  | 1,130 |  |  |  |  |  | 1,507 |
3.300% due 12/21/2049 • |  |  |  |  | 646 |  |  |  |  |  | 864 |
3.800% due 12/21/2049 • |  |  |  |  | 646 |  |  |  |  |  | 853 |
Washington Mutual Mortgage Pass-Through Certificates Trust |
2.032% due 01/25/2047 ^• |  | $ |  |  | 2,035 |  |  |  |  |  | 1,888 |
3.209% due 06/25/2046 •(l) |  |  |  |  | 7,691 |  |  |  |  |  | 5,157 |
5.750% due 11/25/2035 ^ |  |  |  |  | 1,466 |  |  |  |  |  | 1,439 |
5.967% due 05/25/2036 ^þ(l) |  |  |  |  | 6,258 |  |  |  |  |  | 5,865 |
Wells Fargo Mortgage Loan Trust |
3.860% due 03/27/2037 ~(l) |  |  |  |  | 5,643 |  |  |  |  |  | 4,926 |
Total Non-Agency Mortgage-Backed Securities (Cost $1,239,585) |  |  | 1,303,796 |
ASSET-BACKED SECURITIES 56.1% |
ACE Securities Corp. Home Equity Loan Trust |
1.902% due 12/25/2036 •(l) |  |  |  |  | 24,505 |  |  |  |  |  | 8,644 |
2.412% due 02/25/2036 ^•(l) |  |  |  |  | 5,331 |  |  |  |  |  | 5,286 |
2.887% due 07/25/2035 ^•(l) |  |  |  |  | 17,938 |  |  |  |  |  | 13,368 |
Adagio CLO DAC |
0.000% due 04/30/2031 ~ |  | EUR |  |  | 1,800 |  |  |  |  |  | 1,442 |
Aegis Asset-Backed Securities Trust |
2.272% due 06/25/2035 •(l) |  | $ |  |  | 12,094 |  |  |  |  |  | 11,151 |
American Money Management Corp. CLO Ltd. |
8.061% due 04/14/2029 • |  |  |  |  | 6,100 |  |  |  |  |  | 5,738 |
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates |
2.402% due 09/25/2035 •(l) |  |  |  |  | 13,750 |  |  |  |  |  | 13,582 |
3.742% due 09/25/2032 • |  |  |  |  | 1,148 |  |  |  |  |  | 1,162 |
Argent Securities Trust |
1.892% due 06/25/2036 • |  |  |  |  | 2,016 |  |  |  |  |  | 739 |
1.912% due 04/25/2036 • |  |  |  |  | 1,157 |  |  |  |  |  | 484 |
1.942% due 06/25/2036 • |  |  |  |  | 4,229 |  |  |  |  |  | 1,571 |
1.942% due 09/25/2036 •(l) |  |  |  |  | 8,852 |  |  |  |  |  | 3,872 |
1.982% due 03/25/2036 •(l) |  |  |  |  | 12,337 |  |  |  |  |  | 7,675 |
Argent Securities, Inc. Asset-Backed Pass-Through Certificates |
2.112% due 01/25/2036 •(l) |  |  |  |  | 15,369 |  |  |  |  |  | 14,704 |
2.172% due 02/25/2036 •(l) |  |  |  |  | 30,597 |  |  |  |  |  | 25,520 |
2.252% due 11/25/2035 •(l) |  |  |  |  | 5,851 |  |  |  |  |  | 5,212 |
3.067% due 11/25/2034 •(l) |  |  |  |  | 9,031 |  |  |  |  |  | 8,776 |
Asset-Backed Funding Certificates Trust |
2.617% due 07/25/2035 •(l) |  |  |  |  | 7,400 |  |  |  |  |  | 7,194 |
2.842% due 03/25/2034 ^• |  |  |  |  | 821 |  |  |  |  |  | 805 |
Asset-Backed Securities Corp. Home Equity Loan Trust |
4.340% due 08/15/2033 • |  |  |  |  | 481 |  |  |  |  |  | 482 |
Banco Bilbao Vizcaya Argentaria S.A. |
0.252% due 03/22/2046 • |  | EUR |  |  | 389 |  |  |  |  |  | 296 |

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
Bear Stearns Asset-Backed Securities Trust |
1.932% due 12/25/2036 •(l) |  | $ |  |  | 15,149 |  |  | $ |  |  | 16,638 |
2.992% due 07/25/2035 •(l) |  |  |  |  | 39,756 |  |  |  |  |  | 40,077 |
3.292% due 10/27/2032 • |  |  |  |  | 146 |  |  |  |  |  | 149 |
3.667% due 12/25/2034 •(l) |  |  |  |  | 18,650 |  |  |  |  |  | 18,312 |
4.296% due 10/25/2036 ~ |  |  |  |  | 361 |  |  |  |  |  | 337 |
6.000% due 12/25/2035 ^ |  |  |  |  | 475 |  |  |  |  |  | 413 |
California Republic Auto Receivables Trust |
0.000% due 04/15/2025 «(g) |  |  |  |  | 10,100 |  |  |  |  |  | 7,910 |
California Street CLO Ltd. |
6.901% due 10/15/2025 •(l) |  |  |  |  | 9,850 |  |  |  |  |  | 9,705 |
Carlyle Global Market Strategies CLO Ltd. |
0.000% due 04/17/2031 ~ |  |  |  |  | 2,900 |  |  |  |  |  | 1,812 |
Carrington Mortgage Loan Trust |
1.872% due 03/25/2035 • |  |  |  |  | 871 |  |  |  |  |  | 696 |
2.052% due 02/25/2037 •(l) |  |  |  |  | 9,100 |  |  |  |  |  | 8,567 |
2.212% due 02/25/2037 •(l) |  |  |  |  | 13,201 |  |  |  |  |  | 11,395 |
2.842% due 05/25/2035 • |  |  |  |  | 4,400 |  |  |  |  |  | 4,409 |
Cavendish Square Funding PLC |
0.540% due 02/11/2055 • |  | EUR |  |  | 1,500 |  |  |  |  |  | 1,688 |
1.450% due 02/11/2055 • |  |  |  |  | 3,500 |  |  |  |  |  | 3,803 |
CIFC Funding Ltd. |
0.000% due 04/24/2030 ~ |  | $ |  |  | 3,390 |  |  |  |  |  | 1,675 |
Citigroup Mortgage Loan Trust |
1.932% due 01/25/2037 •(l) |  |  |  |  | 24,863 |  |  |  |  |  | 22,117 |
1.942% due 12/25/2036 •(l) |  |  |  |  | 22,518 |  |  |  |  |  | 12,124 |
1.952% due 09/25/2036 •(l) |  |  |  |  | 16,129 |  |  |  |  |  | 13,056 |
1.992% due 05/25/2037 • |  |  |  |  | 643 |  |  |  |  |  | 473 |
2.012% due 12/25/2036 •(l) |  |  |  |  | 4,535 |  |  |  |  |  | 2,476 |
2.492% due 11/25/2046 •(l) |  |  |  |  | 4,867 |  |  |  |  |  | 3,902 |
6.351% due 05/25/2036 ^þ |  |  |  |  | 2,744 |  |  |  |  |  | 1,512 |
Conseco Finance Securitizations Corp. |
9.546% due 12/01/2033 ~(l) |  |  |  |  | 6,480 |  |  |  |  |  | 6,846 |
Cork Street CLO Designated Activity Co. |
0.000% due 11/27/2028 ~ |  | EUR |  |  | 2,667 |  |  |  |  |  | 2,778 |
Coronado CDO Ltd. |
3.400% due 09/04/2038 • |  | $ |  |  | 24,817 |  |  |  |  |  | 15,573 |
6.000% due 09/04/2038 |  |  |  |  | 3,982 |  |  |  |  |  | 3,028 |
Countrywide Asset-Backed Certificates |
1.922% due 12/25/2036 ^•(l) |  |  |  |  | 27,956 |  |  |  |  |  | 26,355 |
1.932% due 06/25/2035 •(l) |  |  |  |  | 57,055 |  |  |  |  |  | 51,939 |
1.932% due 03/25/2037 •(l) |  |  |  |  | 18,288 |  |  |  |  |  | 16,770 |
1.932% due 07/25/2037 ^•(l) |  |  |  |  | 8,232 |  |  |  |  |  | 7,519 |
1.932% due 06/25/2047 ^•(l) |  |  |  |  | 39,927 |  |  |  |  |  | 36,643 |
1.952% due 05/25/2036 •(l) |  |  |  |  | 5,351 |  |  |  |  |  | 5,189 |
1.992% due 06/25/2037 ^•(l) |  |  |  |  | 17,842 |  |  |  |  |  | 17,291 |
2.012% due 05/25/2037 •(l) |  |  |  |  | 10,900 |  |  |  |  |  | 10,478 |
2.012% due 08/25/2037 •(l) |  |  |  |  | 26,000 |  |  |  |  |  | 23,543 |
2.012% due 06/25/2047 ^•(l) |  |  |  |  | 19,000 |  |  |  |  |  | 16,765 |
2.022% due 04/25/2047 •(l) |  |  |  |  | 35,000 |  |  |  |  |  | 29,230 |
2.032% due 03/25/2036 •(l) |  |  |  |  | 25,448 |  |  |  |  |  | 24,183 |
2.032% due 04/25/2036 ^•(l) |  |  |  |  | 587 |  |  |  |  |  | 553 |
2.082% due 10/25/2047 •(l) |  |  |  |  | 59,229 |  |  |  |  |  | 51,644 |
2.182% due 04/25/2036 •(l) |  |  |  |  | 8,762 |  |  |  |  |  | 7,994 |
2.242% due 03/25/2047 ^• |  |  |  |  | 1,496 |  |  |  |  |  | 1,141 |
2.282% due 04/25/2036 •(l) |  |  |  |  | 15,850 |  |  |  |  |  | 11,469 |
2.342% due 05/25/2047 ^• |  |  |  |  | 2,599 |  |  |  |  |  | 2,184 |
4.600% due 10/25/2046 ^~ |  |  |  |  | 334 |  |  |  |  |  | 327 |
4.738% due 10/25/2032 ^~(l) |  |  |  |  | 17,287 |  |  |  |  |  | 16,195 |
Countrywide Asset-Backed Certificates Trust |
1.942% due 03/25/2047 ^•(l) |  |  |  |  | 9,498 |  |  |  |  |  | 9,362 |
2.312% due 05/25/2036 •(l) |  |  |  |  | 32,300 |  |  |  |  |  | 26,785 |
3.517% due 11/25/2034 •(l) |  |  |  |  | 13,611 |  |  |  |  |  | 13,664 |
Crecera Americas LLC |
5.563% due 08/31/2020 • |  |  |  |  | 49,923 |  |  |  |  |  | 49,977 |
Credit-Based Asset Servicing & Securitization CBO Corp. |
2.137% due 09/06/2041 • |  |  |  |  | 65,385 |  |  |  |  |  | 5,133 |
Credit-Based Asset Servicing & Securitization LLC |
2.422% due 07/25/2035 • |  |  |  |  | 3,000 |  |  |  |  |  | 2,857 |
ECAF Ltd. |
4.947% due 06/15/2040 (l) |  |  |  |  | 5,833 |  |  |  |  |  | 5,864 |
Encore Credit Receivables Trust |
2.482% due 07/25/2035 • |  |  |  |  | 421 |  |  |  |  |  | 413 |
Euromax ABS PLC |
0.000% due 11/10/2095 • |  | EUR |  |  | 6,000 |  |  |  |  |  | 5,997 |

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
FAB UK Ltd. |
0.000% due 12/06/2045 ~ |  | GBP |  |  | 11,711 |  |  | $ |  |  | 5,285 |
Fieldstone Mortgage Investment Trust |
2.048% due 07/25/2036 • |  | $ |  |  | 5,538 |  |  |  |  |  | 3,413 |
First Franklin Mortgage Loan Trust |
0.000% due 04/25/2036 (b)(g)(l) |  |  |  |  | 8,040 |  |  |  |  |  | 7,380 |
2.032% due 04/25/2036 •(l) |  |  |  |  | 6,825 |  |  |  |  |  | 6,423 |
2.172% due 02/25/2036 •(l) |  |  |  |  | 5,500 |  |  |  |  |  | 5,138 |
2.737% due 09/25/2035 •(l) |  |  |  |  | 5,828 |  |  |  |  |  | 4,789 |
2.767% due 05/25/2036 •(l) |  |  |  |  | 13,499 |  |  |  |  |  | 12,138 |
Fremont Home Loan Trust |
1.942% due 01/25/2037 • |  |  |  |  | 3,536 |  |  |  |  |  | 2,027 |
2.032% due 02/25/2037 • |  |  |  |  | 1,440 |  |  |  |  |  | 733 |
Glacier Funding CDO Ltd. |
2.172% due 08/04/2035 • |  |  |  |  | 23,884 |  |  |  |  |  | 5,748 |
Greenpoint Manufactured Housing |
9.230% due 12/15/2029 ~(l) |  |  |  |  | 8,223 |  |  |  |  |  | 6,998 |
GSAA Home Equity Trust |
5.058% due 05/25/2035 þ(l) |  |  |  |  | 4,717 |  |  |  |  |  | 4,852 |
GSAMP Trust |
1.852% due 01/25/2037 • |  |  |  |  | 3,576 |  |  |  |  |  | 2,391 |
1.882% due 01/25/2037 • |  |  |  |  | 1,067 |  |  |  |  |  | 716 |
1.952% due 04/25/2036 • |  |  |  |  | 617 |  |  |  |  |  | 457 |
1.992% due 11/25/2036 • |  |  |  |  | 4,423 |  |  |  |  |  | 2,747 |
2.042% due 12/25/2036 • |  |  |  |  | 4,788 |  |  |  |  |  | 2,845 |
2.062% due 04/25/2036 •(l) |  |  |  |  | 22,011 |  |  |  |  |  | 16,623 |
3.442% due 10/25/2034 • |  |  |  |  | 305 |  |  |  |  |  | 296 |
4.342% due 10/25/2033 • |  |  |  |  | 171 |  |  |  |  |  | 175 |
Halcyon Loan Advisors European Funding BV |
0.000% due 04/15/2030 ~ |  | EUR |  |  | 1,400 |  |  |  |  |  | 1,022 |
Hillcrest CDO Ltd. |
2.474% due 12/10/2039 • |  | $ |  |  | 42,116 |  |  |  |  |  | 15,827 |
Home Equity Asset Trust |
2.887% due 05/25/2035 •(l) |  |  |  |  | 3,800 |  |  |  |  |  | 3,815 |
2.992% due 07/25/2035 •(l) |  |  |  |  | 4,000 |  |  |  |  |  | 3,862 |
Home Equity Loan Trust |
2.132% due 04/25/2037 •(l) |  |  |  |  | 13,500 |  |  |  |  |  | 11,671 |
Home Equity Mortgage Loan Asset-Backed Trust |
1.952% due 11/25/2036 •(l) |  |  |  |  | 5,264 |  |  |  |  |  | 4,338 |
2.032% due 04/25/2037 • |  |  |  |  | 3,581 |  |  |  |  |  | 2,650 |
2.232% due 03/25/2036 • |  |  |  |  | 1,504 |  |  |  |  |  | 1,446 |
Hout Bay Corp. |
1.954% due 07/05/2041 • |  |  |  |  | 81,189 |  |  |  |  |  | 19,364 |
HSI Asset Securitization Corp. Trust |
1.902% due 12/25/2036 •(l) |  |  |  |  | 23,269 |  |  |  |  |  | 8,994 |
1.952% due 10/25/2036 •(l) |  |  |  |  | 8,438 |  |  |  |  |  | 4,547 |
1.962% due 12/25/2036 •(l) |  |  |  |  | 14,253 |  |  |  |  |  | 5,516 |
1.982% due 01/25/2037 •(l) |  |  |  |  | 40,110 |  |  |  |  |  | 31,763 |
2.182% due 11/25/2035 •(l) |  |  |  |  | 5,321 |  |  |  |  |  | 5,256 |
IXIS Real Estate Capital Trust |
2.767% due 09/25/2035 ^• |  |  |  |  | 5,457 |  |  |  |  |  | 5,159 |
JPMorgan Mortgage Acquisition Trust |
1.942% due 07/25/2036 • |  |  |  |  | 1,733 |  |  |  |  |  | 971 |
1.952% due 07/25/2036 ^• |  |  |  |  | 1,235 |  |  |  |  |  | 511 |
5.462% due 09/25/2029 ^þ |  |  |  |  | 3,440 |  |  |  |  |  | 2,748 |
5.888% due 10/25/2036 ^þ(l) |  |  |  |  | 11,468 |  |  |  |  |  | 9,157 |
Jubilee CLO BV |
0.000% due 01/15/2028 ~ |  | EUR |  |  | 7,000 |  |  |  |  |  | 3,003 |
Lehman XS Trust |
4.690% due 05/25/2037 ^~(l) |  | $ |  |  | 10,305 |  |  |  |  |  | 9,943 |
Long Beach Mortgage Loan Trust |
1.982% due 02/25/2036 •(l) |  |  |  |  | 42,966 |  |  |  |  |  | 38,310 |
2.442% due 09/25/2034 • |  |  |  |  | 1,216 |  |  |  |  |  | 1,195 |
2.497% due 11/25/2035 •(l) |  |  |  |  | 37,496 |  |  |  |  |  | 32,453 |
Marlette Funding Trust |
0.000% due 07/16/2029 «(g) |  |  |  |  | 16 |  |  |  |  |  | 4,570 |
0.000% due 09/17/2029 «(g) |  |  |  |  | 20 |  |  |  |  |  | 7,796 |
MASTR Asset-Backed Securities Trust |
1.962% due 06/25/2036 •(l) |  |  |  |  | 6,383 |  |  |  |  |  | 5,922 |
1.972% due 02/25/2036 •(l) |  |  |  |  | 7,952 |  |  |  |  |  | 4,090 |
2.032% due 06/25/2036 • |  |  |  |  | 3,533 |  |  |  |  |  | 2,077 |
2.332% due 12/25/2035 •(l) |  |  |  |  | 15,448 |  |  |  |  |  | 12,288 |
Morgan Stanley ABS Capital, Inc. Trust |
1.852% due 09/25/2036 • |  |  |  |  | 3,862 |  |  |  |  |  | 1,799 |
1.862% due 10/25/2036 • |  |  |  |  | 4 |  |  |  |  |  | 3 |

84 |  | PIMCO CLOSED-END FUNDS |  |  |  |  | See Accompanying Notes |

December 31, 2019 (Unaudited)

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
1.932% due 10/25/2036 •(l) |  | $ |  |  | 9,488 |  |  | $ |  |  | 6,016 |
1.942% due 06/25/2036 •(l) |  |  |  |  | 7,331 |  |  |  |  |  | 5,223 |
1.942% due 09/25/2036 •(l) |  |  |  |  | 7,758 |  |  |  |  |  | 3,695 |
1.942% due 11/25/2036 •(l) |  |  |  |  | 17,818 |  |  |  |  |  | 12,342 |
2.012% due 10/25/2036 • |  |  |  |  | 4,572 |  |  |  |  |  | 2,933 |
2.467% due 09/25/2035 •(l) |  |  |  |  | 18,121 |  |  |  |  |  | 17,342 |
2.827% due 01/25/2035 • |  |  |  |  | 4,262 |  |  |  |  |  | 2,879 |
3.742% due 05/25/2034 • |  |  |  |  | 1,793 |  |  |  |  |  | 1,798 |
National Collegiate Commutation Trust |
0.000% due 03/25/2038 • |  |  |  |  | 87,000 |  |  |  |  |  | 31,079 |
New Century Home Equity Loan Trust |
4.792% (US0001M + 3.000%) due 01/25/2033 ^~ |  |  |  |  | 410 |  |  |  |  |  | 372 |
Nomura Home Equity Loan, Inc. Home Equity Loan Trust |
2.122% due 10/25/2036 ^• |  |  |  |  | 4,766 |  |  |  |  |  | 1,575 |
2.212% due 02/25/2036 •(l) |  |  |  |  | 31,899 |  |  |  |  |  | 29,296 |
Ocean Trails CLO |
7.005% due 08/13/2025 •(l) |  |  |  |  | 3,500 |  |  |  |  |  | 3,495 |
Option One Mortgage Loan Trust |
1.922% due 07/25/2037 •(l) |  |  |  |  | 16,398 |  |  |  |  |  | 12,246 |
1.932% due 01/25/2037 • |  |  |  |  | 10,649 |  |  |  |  |  | 7,214 |
2.012% due 01/25/2037 • |  |  |  |  | 2,172 |  |  |  |  |  | 1,489 |
2.042% due 03/25/2037 • |  |  |  |  | 665 |  |  |  |  |  | 425 |
2.122% due 04/25/2037 • |  |  |  |  | 2,530 |  |  |  |  |  | 1,664 |
Park Place Securities, Inc. |
2.422% due 09/25/2035 •(l) |  |  |  |  | 7,240 |  |  |  |  |  | 6,886 |
Park Place Securities, Inc. Asset-Backed Pass-Through Certificates |
2.282% due 08/25/2035 •(l) |  |  |  |  | 8,350 |  |  |  |  |  | 8,162 |
2.617% due 07/25/2035 •(l) |  |  |  |  | 20,950 |  |  |  |  |  | 20,843 |
2.827% due 03/25/2035 ^•(l) |  |  |  |  | 7,500 |  |  |  |  |  | 7,237 |
2.917% due 10/25/2034 •(l) |  |  |  |  | 10,000 |  |  |  |  |  | 9,890 |
3.517% due 02/25/2035 •(l) |  |  |  |  | 29,447 |  |  |  |  |  | 29,229 |
3.817% due 12/25/2034 •(l) |  |  |  |  | 25,974 |  |  |  |  |  | 23,240 |
Popular ABS Mortgage Pass-Through Trust |
2.482% due 06/25/2035 • |  |  |  |  | 626 |  |  |  |  |  | 617 |
2.942% due 06/25/2035 • |  |  |  |  | 1,349 |  |  |  |  |  | 1,349 |
RAAC Trust |
3.542% due 05/25/2046 •(l) |  |  |  |  | 17,151 |  |  |  |  |  | 15,439 |
Renaissance Home Equity Loan Trust |
5.612% due 04/25/2037 þ |  |  |  |  | 3,154 |  |  |  |  |  | 1,402 |
Residential Asset Mortgage Products Trust |
2.112% due 01/25/2036 •(l) |  |  |  |  | 10,521 |  |  |  |  |  | 9,805 |
2.172% due 01/25/2036 •(l) |  |  |  |  | 4,360 |  |  |  |  |  | 4,273 |
2.458% due 04/25/2034 •(l) |  |  |  |  | 3,304 |  |  |  |  |  | 3,289 |
2.512% due 02/25/2035 • |  |  |  |  | 236 |  |  |  |  |  | 237 |
2.578% due 04/25/2034 •(l) |  |  |  |  | 3,461 |  |  |  |  |  | 3,445 |
3.283% due 04/25/2034 ^• |  |  |  |  | 1,192 |  |  |  |  |  | 985 |
3.688% due 04/25/2034 ^• |  |  |  |  | 1,738 |  |  |  |  |  | 1,471 |
Residential Asset Securities Corp. Trust |
1.922% due 11/25/2036 •(l) |  |  |  |  | 9,060 |  |  |  |  |  | 8,260 |
1.962% due 10/25/2036 •(l) |  |  |  |  | 9,164 |  |  |  |  |  | 7,084 |
2.072% due 04/25/2036 •(l) |  |  |  |  | 5,270 |  |  |  |  |  | 5,159 |
2.122% due 04/25/2036 • |  |  |  |  | 5,864 |  |  |  |  |  | 4,521 |
2.132% due 05/25/2037 •(l) |  |  |  |  | 9,275 |  |  |  |  |  | 9,102 |
2.452% due 12/25/2035 •(l) |  |  |  |  | 13,269 |  |  |  |  |  | 11,629 |
2.917% due 02/25/2035 •(l) |  |  |  |  | 1,900 |  |  |  |  |  | 1,902 |
Securitized Asset-Backed Receivables LLC Trust |
1.932% due 07/25/2036 •(l) |  |  |  |  | 20,286 |  |  |  |  |  | 17,283 |
1.952% due 07/25/2036 • |  |  |  |  | 2,728 |  |  |  |  |  | 1,433 |
2.042% due 05/25/2036 •(l) |  |  |  |  | 17,736 |  |  |  |  |  | 11,252 |
2.062% due 03/25/2036 •(l) |  |  |  |  | 6,665 |  |  |  |  |  | 6,258 |
2.242% due 10/25/2035 •(l) |  |  |  |  | 13,000 |  |  |  |  |  | 12,774 |
2.392% due 11/25/2035 •(l) |  |  |  |  | 10,848 |  |  |  |  |  | 8,898 |
2.452% due 08/25/2035 ^•(l) |  |  |  |  | 2,779 |  |  |  |  |  | 2,108 |
SLM Student Loan EDC Repackaging Trust |
0.000% due 10/28/2029 «(g) |  |  |  |  | 25 |  |  |  |  |  | 24,955 |
SLM Student Loan Trust |
0.000% due 01/25/2042 «(g) |  |  |  |  | 20 |  |  |  |  |  | 12,813 |
SMB Private Education Loan Trust |
0.000% due 10/15/2048 «(g) |  |  |  |  | 5 |  |  |  |  |  | 3,593 |
SoFi Professional Loan Program LLC |
0.000% due 03/25/2036 «(g) |  |  |  |  | 200 |  |  |  |  |  | 1,555 |
0.000% due 01/25/2039 (g) |  |  |  |  | 21,280 |  |  |  |  |  | 6,368 |
0.000% due 05/25/2040 (g) |  |  |  |  | 22,175 |  |  |  |  |  | 8,179 |

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
0.000% due 07/25/2040 «(g) |  | $ |  |  | 110 |  |  | $ |  |  | 4,433 |
0.000% due 09/25/2040 (g) |  |  |  |  | 9,122 |  |  |  |  |  | 4,558 |
Soloso CDO Ltd. |
2.363% due 10/07/2037 • |  |  |  |  | 11,318 |  |  |  |  |  | 9,309 |
Soundview Home Loan Trust |
1.942% due 06/25/2037 • |  |  |  |  | 3,226 |  |  |  |  |  | 2,467 |
1.952% due 11/25/2036 •(l) |  |  |  |  | 4,752 |  |  |  |  |  | 4,695 |
1.972% due 02/25/2037 • |  |  |  |  | 8,126 |  |  |  |  |  | 3,052 |
2.052% due 02/25/2037 •(l) |  |  |  |  | 9,431 |  |  |  |  |  | 3,615 |
2.142% due 03/25/2036 •(l) |  |  |  |  | 7,933 |  |  |  |  |  | 7,792 |
2.742% due 10/25/2037 •(l) |  |  |  |  | 6,172 |  |  |  |  |  | 5,227 |
2.892% due 09/25/2037 • |  |  |  |  | 2,396 |  |  |  |  |  | 2,269 |
Specialty Underwriting & Residential Finance Trust |
2.142% due 03/25/2037 • |  |  |  |  | 571 |  |  |  |  |  | 297 |
2.767% due 12/25/2035 •(l) |  |  |  |  | 2,765 |  |  |  |  |  | 2,773 |
3.592% due 05/25/2035 • |  |  |  |  | 1,714 |  |  |  |  |  | 1,684 |
3.825% due 02/25/2037 ^þ |  |  |  |  | 3,188 |  |  |  |  |  | 1,742 |
Symphony CLO Ltd. |
6.601% due 07/14/2026 • |  |  |  |  | 10,700 |  |  |  |  |  | 10,069 |
Taberna Preferred Funding Ltd. |
2.231% due 05/05/2038 • |  |  |  |  | 6,589 |  |  |  |  |  | 6,276 |
2.271% due 08/05/2036 ^• |  |  |  |  | 13,790 |  |  |  |  |  | 12,291 |
2.271% due 08/05/2036 • |  |  |  |  | 3,428 |  |  |  |  |  | 3,055 |
Trapeza CDO LLC |
3.702% due 01/20/2034 • |  |  |  |  | 3,933 |  |  |  |  |  | 3,873 |
Verde CDO Ltd. |
2.273% due 10/05/2045 • |  |  |  |  | 176,668 |  |  |  |  |  | 61,366 |
Wachovia Mortgage Loan Trust |
2.482% due 10/25/2035 •(l) |  |  |  |  | 8,000 |  |  |  |  |  | 7,622 |
Wells Fargo Home Equity Asset-Backed Securities Trust |
2.122% due 05/25/2036 •(l) |  |  |  |  | 5,000 |  |  |  |  |  | 4,975 |
Total Asset-Backed Securities (Cost $1,671,495) |  |  | 1,797,326 |
SOVEREIGN ISSUES 4.8% |
Argentina Government International Bond |
3.375% due 01/15/2023 |  | EUR |  |  | 800 |  |  |  |  |  | 410 |
3.380% due 12/31/2038 þ(l) |  |  |  |  | 26,572 |  |  |  |  |  | 13,850 |
3.875% due 01/15/2022 (l) |  |  |  |  | 7,800 |  |  |  |  |  | 4,201 |
5.250% due 01/15/2028 |  |  |  |  | 400 |  |  |  |  |  | 199 |
6.250% due 11/09/2047 |  |  |  |  | 200 |  |  |  |  |  | 102 |
7.820% due 12/31/2033 (l) |  |  |  |  | 52,143 |  |  |  |  |  | 33,888 |
7.820% due 12/31/2033 |  |  |  |  | 2,005 |  |  |  |  |  | 1,280 |
15.500% due 10/17/2026 |  | ARS |  |  | 356,260 |  |  |  |  |  | 1,655 |
42.836% (BADLARPP + 2.000%) due 04/03/2022 ~ |  |  | 423,770 |  |  |  |  |  | 3,758 |
45.399% (BADLARPP + 3.250%) due 03/01/2020 ~ |  |  | 4,700 |  |  |  |  |  | 52 |
56.589% (ARLLMONP) due 06/21/2020 ~(a) |  |  |  |  | 1,036,680 |  |  |  |  |  | 9,375 |
59.928% (BADLARPP) due 10/04/2022 ~(a) |  |  |  |  | 1,302 |  |  |  |  |  | 23 |
Autonomous City of Buenos Aires Argentina |
44.086% due 03/29/2024 • |  |  |  |  | 1,686,318 |  |  |  |  |  | 19,344 |
Autonomous Community of Catalonia |
4.900% due 09/15/2021 |  | EUR |  |  | 100 |  |  |  |  |  | 121 |
4.950% due 02/11/2020 |  |  |  |  | 100 |  |  |  |  |  | 113 |
Export-Credit Bank of Turkey |
8.250% due 01/24/2024 (l) |  | $ |  |  | 800 |  |  |  |  |  | 872 |
Provincia de Buenos Aires |
45.979% due 05/31/2022 • |  | ARS |  |  | 2,330 |  |  |  |  |  | 18 |
52.270% (BADLARPP + 3.750%) due 04/12/2025 ~(a) |  |  | 1,466,686 |  |  |  |  |  | 11,128 |
South Africa Government International Bond |
4.850% due 09/30/2029 (l) |  | $ |  |  | 6,400 |  |  |  |  |  | 6,416 |
5.750% due 09/30/2049 (l) |  |  |  |  | 4,200 |  |  |  |  |  | 4,099 |
Turkey Government International Bond |
3.250% due 06/14/2025 |  | EUR |  |  | 600 |  |  |  |  |  | 672 |
4.625% due 03/31/2025 |  |  |  |  | 9,200 |  |  |  |  |  | 10,937 |
5.200% due 02/16/2026 |  |  |  |  | 3,200 |  |  |  |  |  | 3,897 |
5.600% due 11/14/2024 (l) |  | $ |  |  | 14,100 |  |  |  |  |  | 14,372 |
7.625% due 04/26/2029 (l) |  |  |  |  | 10,300 |  |  |  |  |  | 11,404 |
Venezuela Government International Bond |
6.000% due 12/09/2020 ^(d) |  |  | 1,330 |  |  |  |  |  | 160 |
8.250% due 10/13/2024 ^(d) |  |  | 188 |  |  |  |  |  | 23 |

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
9.250% due 09/15/2027 ^(d) |  | $ |  |  | 1,654 |  |  | $ |  |  | 198 |
Total Sovereign Issues (Cost $258,184) |  |  | 152,567 |
|  |  |  | SHARES |  |  |  |  |  |
COMMON STOCKS 1.9% |
COMMUNICATION SERVICES 0.4% |
Clear Channel Outdoor Holdings, Inc. (e) |  |  |  |  | 2,994,420 |  |  |  |  |  | 8,564 |
iHeartMedia, Inc. |  |  |  |  | 2,228 |  |  |  |  |  | 34 |
iHeartMedia, Inc. ‘A’ (e) |  |  |  |  | 165,846 |  |  |  |  |  | 2,803 |
|  |  |  |  |  |  |  |  |  |  | 11,401 |
CONSUMER DISCRETIONARY 0.9% |
Caesars Entertainment Corp. (e) |  |  |  |  | 2,222,152 |  |  |  |  |  | 30,221 |
ENERGY 0.1% |
Dommo Energia S.A. (e)(j) |  |  |  |  | 1,213,488 |  |  |  |  |  | 884 |
Dommo Energia S.A. « |  |  |  |  | 3,076,286 |  |  |  |  |  | 1,853 |
Dommo Energia S.A. SP - ADR «(e) |  |  |  |  | 8,580 |  |  |  |  |  | 63 |
Forbes Energy Services Ltd. (e)(j) |  |  |  |  | 152,625 |  |  |  |  |  | 38 |
|  |  |  |  |  |  |  |  |  |  | 2,838 |
INDUSTRIALS 0.1% |
Westmoreland Mining Holdings LLC «(j) |  |  |  |  | 240,452 |  |  |  |  |  | 3,607 |
|  |  |  |  |  |  |  |  |  |  | 3,607 |
UTILITIES 0.4% |
Eneva S.A. (e)(j) |  |  |  |  | 138,393 |  |  |  |  |  | 1,503 |
TexGen Power LLC « |  |  |  |  | 285,522 |  |  |  |  |  | 10,207 |
|  |  |  |  |  |  |  |  |  |  | 11,710 |
Total Common Stocks (Cost $71,201) |  |  | 59,777 |
WARRANTS 0.7% |
COMMUNICATION SERVICES 0.5% |
iHeartMedia, Inc. |  |  |  |  | 1,080,118 |  |  |  |  |  | 18,254 |
INDUSTRIALS 0.2% |
Sequa Corp. - Exp. 04/28/2024 « |  |  |  |  | 2,530,304 |  |  |  |  |  | 5,483 |
Total Warrants (Cost $23,162) |  |  | 23,737 |
PREFERRED SECURITIES 4.5% |
BANKING & FINANCE 2.3% |
AGFC Capital Trust |
3.751% (US0003M + 1.750%) due 01/15/2067 ~(l) |  |  |  |  | 20,300,000 |  |  |  |  |  | 10,150 |
Nationwide Building Society |
10.250% ~ |  |  |  |  | 285,475 |  |  |  |  |  | 62,772 |
OCP CLO Ltd. |
0.000% due 04/26/2028 (g) |  |  |  |  | 2,600 |  |  |  |  |  | 2,046 |
|  |  |  |  |  |  |  |  |  |  | 74,968 |
INDUSTRIALS 2.2% |
General Electric Co. |
5.000% due 01/21/2021 •(h)(l) |  |  |  |  | 1,461,000 |  |  |  |  |  | 1,433 |
Sequa Corp. (12.000% PIK) (c) |
12.000% « |  |  |  |  | 58,977 |  |  |  |  |  | 68,362 |
|  |  |  |  |  |  |  |  |  |  | 69,795 |
Total Preferred Securities (Cost $121,133) |  |  | 144,763 |

See Accompanying Notes |  | SEMIANNUAL REPORT |  | DECEMBER 31, 2019 |  | 85

Consolidated Schedule of Investments PIMCO Dynamic Credit and Mortgage Income Fund (Cont.)

|  |  |  | SHARES |  |  |  |  | MARKET VALUE (000S) |
REAL ESTATE INVESTMENT TRUSTS 2.0% |
REAL ESTATE 2.0% |
VICI Properties, Inc. |  |  |  |  | 2,572,665 |  |  | $ |  |  | 65,731 |
Total Real Estate Investment Trusts (Cost $37,244) |  |  | 65,731 |
SHORT-TERM INSTRUMENTS 5.3% |
REPURCHASE AGREEMENTS (k) 4.0% |
|  |  |  |  |  |  |  |  |  |  | 126,734 |
|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  |  |
ARGENTINA TREASURY BILLS 0.2% |
19.439% due 04/28/2020 - 08/27/2020 (f)(g) |  | ARS |  |  | 217,892 |  |  |  |  |  | 3,253 |
43.313% due 06/22/2020 «~ |  |  | 138,090 |  |  |  |  |  | 2,047 |
|  |  |  |  |  |  |  |  |  |  | 5,300 |
U.S. TREASURY BILLS 1.1% |
1.636% due 01/02/2020 - 03/26/2020 (f)(g)(l)(n)(p) |  | $ |  |  | 36,044 |  |  |  |  |  | 36,014 |
Total Short-Term Instruments (Cost $170,662) |  |  | 168,048 |
Total Investments in Securities (Cost $5,639,840) |  |  | 5,775,193 |

|  |  |  | SHARES |  |  |  |  | MARKET VALUE (000S) |
INVESTMENTS IN AFFILIATES 0.2% |
COMMON STOCKS 0.2% |
INDUSTRIALS 0.2% |
Sierra Hamilton Holder LLC «(j) |  |  |  |  | 30,136,800 |  |  | $ |  |  | 5,707 |
Total Common Stocks (Cost $7,639) |  |  | 5,707 |
Total Investments in Affiliates (Cost $7,639) |  |  | 5,707 |
Total Investments 180.6% (Cost $5,647,479) |  |  | $ |  |  | 5,780,900 |
Financial Derivative Instruments (m)(o) (0.3)% (Cost or Premiums, net $15,175) |  |  |  |  |  | (9,292 | )
Other Assets and Liabilities, net (80.3)% |  |  | (2,570,088 | )
Net Assets 100.0% |  |  | $ |  |  | 3,201,520 |

NOTES TO CONSOLIDATED 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) | Interest only security.

(b) | Principal only security.

(c) | Payment in-kind security.

(d) | Security is not accruing income as of the date of this report.

(e) | Security did not produce income within the last twelve months.

(f) | Coupon represents a weighted average yield to maturity.

(g) | Zero coupon security.

(h) | Perpetual maturity; date shown, if applicable, represents next contractual call date.

(i) | Contingent convertible security.

(j) RESTRICTED SECURITIES:

Issuer Description |  | Acquisition Date |  |  | Cost |  |  | Market Value |  |  | Market Value as Percentage of Net Assets |
Dommo Energia S.A. |  |  | 12/21/2017 - 12/26/2017 |  |  | $ | 316 |  |  | $ | 884 |  |  |  | 0.03 | %
Eneva S.A. |  |  | 12/21/2017 - 12/03/2019 |  |  |  | 644 |  |  |  | 1,503 |  |  |  | 0.05 |
Forbes Energy Services Ltd. |  |  | 02/27/2013 - 03/11/2014 |  |  |  | 7,380 |  |  |  | 38 |  |  |  | 0.00 |
Pinnacol Assurance 8.625% due 06/25/2034 |  |  | 06/23/2014 |  |  |  | 23,200 |  |  |  | 24,830 |  |  |  | 0.77 |
Preylock Reitman Santa Cruz Mezz LLC (0.005)% - 7.210% due 11/09/2022 |  |  | 04/09/2018 |  |  |  | 31,560 |  |  |  | 31,696 |  |  |  | 0.99 |
Project Anfora Senior 2.325% due 10/01/2026 |  |  | 09/30/2019 |  |  |  | 21,744 |  |  |  | 22,378 |  |  |  | 0.70 |

86 |  | PIMCO CLOSED-END FUNDS |  |  |  |  | See Accompanying Notes |

December 31, 2019 (Unaudited)

Issuer Description |  | Acquisition Date |  |  | Cost |  |  | Market Value |  |  | Market Value as Percentage of Net Assets |
Sierra Hamilton Holder LLC |  |  | 07/31/2017 |  |  | $ | 7,639 |  |  | $ | 5,707 |  |  |  | 0.18 | %
Theatre Hospitals PLC 4.190% due 12/15/2024 |  |  | 12/17/2018 |  |  |  | 24 |  |  |  | 0 |  |  |  | 0.00 |
Westmoreland Mining Holdings LLC |  |  | 12/08/2014 |  |  |  | 7,006 |  |  |  | 3,607 |  |  |  | 0.11 |
|  |  | $ | 99,513 |  |  | $ | 90,643 |  |  |  | 2.83 | %

BORROWINGS AND OTHER FINANCING TRANSACTIONS

(k) 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 |  |  | 1.250 | % |  |  | 12/31/2019 |  |  |  | 01/02/2020 |  |  | $ | 4,934 |  |  | U.S. Treasury Inflation Protected Securities 0.125% due 04/15/2020 |  | $ | (5,033 | ) |  | $ | 4,934 |  |  | $ | 4,934 |
JPS |  |  | 1.650 |  |  |  | 12/31/2019 |  |  |  | 01/02/2020 |  |  |  | 121,800 |  |  | U.S. Treasury Bonds 3.000% due 11/15/2045 |  |  | (123,214 | ) |  |  | 121,800 |  |  |  | 121,811 |
Total Repurchase Agreements |  |  |  |  | $ | (128,247 | ) |  | $ | 126,734 |  |  | $ | 126,745 |

REVERSE REPURCHASE AGREEMENTS:

Counterparty |  | Borrowing Rate(2) |  |  | Settlement Date |  |  | Maturity Date |  |  | Amount Borrowed(2) |  |  | Payable for Reverse Repurchase Agreements |
BCY |  |  | 1.900 | % |  |  | 11/01/2019 |  |  |  | TBD | (3) |  |  | $ |  |  |  | (459 | ) |  | $ | (460 | )
BNY |  |  | 2.690 |  |  |  | 11/14/2019 |  |  |  | 01/14/2020 |  |  |  |  |  |  |  | (41,346 | ) |  |  | (41,497 | )
|  |  | 2.737 |  |  |  | 12/06/2019 |  |  |  | 03/05/2020 |  |  |  |  |  |  |  | (53,512 | ) |  |  | (53,622 | )
|  |  | 2.740 |  |  |  | 11/05/2019 |  |  |  | 02/03/2020 |  |  |  |  |  |  |  | (44,750 | ) |  |  | (44,948 | )
|  |  | 2.748 |  |  |  | 11/22/2019 |  |  |  | 02/20/2020 |  |  |  |  |  |  |  | (35,485 | ) |  |  | (35,596 | )
|  |  | 2.784 |  |  |  | 10/23/2019 |  |  |  | 01/22/2020 |  |  |  |  |  |  |  | (41,456 | ) |  |  | (41,684 | )
|  |  | 2.836 |  |  |  | 10/10/2019 |  |  |  | 01/08/2020 |  |  |  |  |  |  |  | (44,869 | ) |  |  | (45,166 | )
|  |  | 2.836 |  |  |  | 10/11/2019 |  |  |  | 01/08/2020 |  |  |  |  |  |  |  | (24,643 | ) |  |  | (24,804 | )
BOS |  |  | 2.247 |  |  |  | 12/03/2019 |  |  |  | 01/07/2020 |  |  |  |  |  |  |  | (1,521 | ) |  |  | (1,524 | )
|  |  | 2.400 |  |  |  | 11/12/2019 |  |  |  | 01/14/2020 |  |  |  |  |  |  |  | (2,774 | ) |  |  | (2,783 | )
|  |  | 2.550 |  |  |  | 11/12/2019 |  |  |  | 01/14/2020 |  |  |  |  |  |  |  | (2,643 | ) |  |  | (2,653 | )
|  |  | 2.800 |  |  |  | 11/12/2019 |  |  |  | 01/14/2020 |  |  |  |  |  |  |  | (20,523 | ) |  |  | (20,603 | )
BPS |  |  | (0.150 | ) |  |  | 10/07/2019 |  |  |  | 01/07/2020 |  |  |  | EUR |  |  |  | (1,425 | ) |  |  | (1,598 | )
|  |  | (0.100 | ) |  |  | 10/15/2019 |  |  |  | 01/23/2020 |  |  |  |  |  |  |  | (9,816 | ) |  |  | (11,008 | )
|  |  | (0.050 | ) |  |  | 12/04/2019 |  |  |  | 03/04/2020 |  |  |  |  |  |  |  | (2,978 | ) |  |  | (3,341 | )
|  |  | 1.200 |  |  |  | 10/08/2019 |  |  |  | 01/08/2020 |  |  |  | GBP |  |  |  | (11,082 | ) |  |  | (14,720 | )
|  |  | 1.200 |  |  |  | 11/01/2019 |  |  |  | 01/08/2020 |  |  |  |  |  |  |  | (2,992 | ) |  |  | (3,971 | )
|  |  | 2.250 |  |  |  | 12/04/2019 |  |  |  | 01/06/2020 |  |  |  | $ |  |  |  | (2,217 | ) |  |  | (2,221 | )
|  |  | 2.300 |  |  |  | 01/06/2020 |  |  |  | 02/07/2020 |  |  |  |  |  |  |  | (3,299 | ) |  |  | (3,299 | )
|  |  | 2.330 |  |  |  | 12/16/2019 |  |  |  | 01/06/2020 |  |  |  |  |  |  |  | (1,061 | ) |  |  | (1,062 | )
|  |  | 2.370 |  |  |  | 01/06/2020 |  |  |  | 02/07/2020 |  |  |  |  |  |  |  | (2,171 | ) |  |  | (2,171 | )
|  |  | 2.400 |  |  |  | 11/18/2019 |  |  |  | 02/18/2020 |  |  |  |  |  |  |  | (22,630 | ) |  |  | (22,698 | )
|  |  | 2.580 |  |  |  | 11/08/2019 |  |  |  | 01/07/2020 |  |  |  |  |  |  |  | (5,167 | ) |  |  | (5,187 | )
|  |  | 2.580 |  |  |  | 11/13/2019 |  |  |  | 01/13/2020 |  |  |  |  |  |  |  | (6,519 | ) |  |  | (6,542 | )
|  |  | 2.580 |  |  |  | 11/18/2019 |  |  |  | 01/17/2020 |  |  |  |  |  |  |  | (12,109 | ) |  |  | (12,148 | )
|  |  | 2.650 |  |  |  | 11/07/2019 |  |  |  | 01/06/2020 |  |  |  |  |  |  |  | (2,060 | ) |  |  | (2,068 | )
|  |  | 2.892 |  |  |  | 03/05/2019 |  |  |  | 03/05/2020 |  |  |  |  |  |  |  | (22,261 | ) |  |  | (22,315 | )
|  |  | 2.892 |  |  |  | 12/23/2019 |  |  |  | 03/05/2020 |  |  |  |  |  |  |  | (6,323 | ) |  |  | (6,328 | )
|  |  | 2.895 |  |  |  | 11/14/2019 |  |  |  | 01/10/2020 |  |  |  |  |  |  |  | (13,412 | ) |  |  | (13,465 | )
|  |  | 2.898 |  |  |  | 11/21/2019 |  |  |  | 02/19/2020 |  |  |  |  |  |  |  | (45,465 | ) |  |  | (45,619 | )
|  |  | 2.898 |  |  |  | 11/22/2019 |  |  |  | 02/20/2020 |  |  |  |  |  |  |  | (6,936 | ) |  |  | (6,959 | )
|  |  | 2.900 |  |  |  | 11/13/2019 |  |  |  | 01/13/2020 |  |  |  |  |  |  |  | (21,495 | ) |  |  | (21,582 | )
|  |  | 3.154 |  |  |  | 11/16/2018 |  |  |  | TBD | (3) |  |  |  |  |  |  | (58,554 | ) |  |  | (59,373 | )
BRC |  |  | 1.850 |  |  |  | 11/01/2019 |  |  |  | TBD | (3) |  |  |  |  |  |  | (6,379 | ) |  |  | (6,399 | )
|  |  | 2.250 |  |  |  | 11/04/2019 |  |  |  | 01/03/2020 |  |  |  |  |  |  |  | (5,936 | ) |  |  | (5,958 | )
|  |  | 2.250 |  |  |  | 12/03/2019 |  |  |  | 01/03/2020 |  |  |  |  |  |  |  | (3,678 | ) |  |  | (3,685 | )
|  |  | 2.250 |  |  |  | 01/03/2020 |  |  |  | 03/03/2020 |  |  |  |  |  |  |  | (9,628 | ) |  |  | (9,628 | )
|  |  | 2.500 |  |  |  | 11/01/2019 |  |  |  | TBD | (3) |  |  |  |  |  |  | (1,815 | ) |  |  | (1,823 | )
|  |  | 2.804 |  |  |  | 12/27/2019 |  |  |  | 01/27/2020 |  |  |  |  |  |  |  | (29,067 | ) |  |  | (29,081 | )
|  |  | 2.833 |  |  |  | 11/21/2019 |  |  |  | 01/21/2020 |  |  |  |  |  |  |  | (2,404 | ) |  |  | (2,412 | )
|  |  | 2.884 |  |  |  | 10/10/2019 |  |  |  | 01/08/2020 |  |  |  |  |  |  |  | (2,744 | ) |  |  | (2,762 | )
|  |  | 2.902 |  |  |  | 11/01/2019 |  |  |  | 01/30/2020 |  |  |  |  |  |  |  | (8,868 | ) |  |  | (8,912 | )
|  |  | 2.904 |  |  |  | 11/15/2019 |  |  |  | 02/13/2020 |  |  |  |  |  |  |  | (39,011 | ) |  |  | (39,162 | )
|  |  | 2.934 |  |  |  | 10/22/2019 |  |  |  | 01/22/2020 |  |  |  |  |  |  |  | (5,892 | ) |  |  | (5,927 | )

See Accompanying Notes |  | SEMIANNUAL REPORT |  | DECEMBER 31, 2019 |  | 87

Consolidated Schedule of Investments PIMCO Dynamic Credit and Mortgage Income Fund (Cont.)

Counterparty |  | Borrowing Rate(2) |  |  | Settlement Date |  |  | Maturity Date |  |  | Amount Borrowed(2) |  |  | Payable for Reverse Repurchase Agreements |
|  |  | 2.936 | % |  |  | 10/23/2019 |  |  |  | 01/23/2020 |  |  |  | $ |  |  |  | (2,998 | ) |  | $ | (3,015 | )
|  |  | 2.984 |  |  |  | 10/11/2019 |  |  |  | 01/09/2020 |  |  |  |  |  |  |  | (4,725 | ) |  |  | (4,758 | )
CFR |  |  | 0.900 |  |  |  | 12/13/2019 |  |  |  | 03/12/2020 |  |  |  | GBP |  |  |  | (2,149 | ) |  |  | (2,849 | )
CSG |  |  | 2.450 |  |  |  | 12/05/2019 |  |  |  | 01/06/2020 |  |  |  | $ |  |  |  | (9,112 | ) |  |  | (9,129 | )
DBL |  |  | 2.642 |  |  |  | 12/05/2019 |  |  |  | 03/05/2020 |  |  |  |  |  |  |  | (4,251 | ) |  |  | (4,260 | )
|  |  | 2.644 |  |  |  | 11/07/2019 |  |  |  | 02/07/2020 |  |  |  |  |  |  |  | (26,465 | ) |  |  | (26,587 | )
|  |  | 2.677 |  |  |  | 10/31/2019 |  |  |  | 01/31/2020 |  |  |  |  |  |  |  | (19,098 | ) |  |  | (19,187 | )
GLM |  |  | 0.500 |  |  |  | 08/13/2019 |  |  |  | 02/13/2020 |  |  |  | EUR |  |  |  | (13,797 | ) |  |  | (15,506 | )
|  |  | 2.850 |  |  |  | 11/13/2019 |  |  |  | 02/11/2020 |  |  |  | $ |  |  |  | (6,175 | ) |  |  | (6,199 | )
|  |  | 2.852 |  |  |  | 11/19/2019 |  |  |  | 02/18/2020 |  |  |  |  |  |  |  | (28,285 | ) |  |  | (28,384 | )
IND |  |  | 2.640 |  |  |  | 11/20/2019 |  |  |  | 02/18/2020 |  |  |  |  |  |  |  | (4,969 | ) |  |  | (4,985 | )
JML |  |  | (0.300 | ) |  |  | 10/16/2019 |  |  |  | 01/15/2020 |  |  |  | EUR |  |  |  | (332 | ) |  |  | (372 | )
|  |  | (0.300 | ) |  |  | 10/18/2019 |  |  |  | 01/16/2020 |  |  |  |  |  |  |  | (205 | ) |  |  | (230 | )
|  |  | (0.300 | ) |  |  | 10/18/2019 |  |  |  | 01/17/2020 |  |  |  |  |  |  |  | (973 | ) |  |  | (1,090 | )
|  |  | (0.300 | ) |  |  | 10/22/2019 |  |  |  | 01/22/2020 |  |  |  |  |  |  |  | (1,293 | ) |  |  | (1,450 | )
|  |  | (0.250 | ) |  |  | 10/17/2019 |  |  |  | 01/16/2020 |  |  |  |  |  |  |  | (1,910 | ) |  |  | (2,141 | )
|  |  | (0.250 | ) |  |  | 10/18/2019 |  |  |  | 01/17/2020 |  |  |  |  |  |  |  | (3,573 | ) |  |  | (4,006 | )
|  |  | (0.250 | ) |  |  | 10/28/2019 |  |  |  | 01/28/2020 |  |  |  |  |  |  |  | (519 | ) |  |  | (582 | )
|  |  | (0.250 | ) |  |  | 12/23/2019 |  |  |  | 01/06/2020 |  |  |  |  |  |  |  | (1,139 | ) |  |  | (1,278 | )
|  |  | (0.150 | ) |  |  | 10/22/2018 |  |  |  | TBD | (3) |  |  |  |  |  |  | (1,148 | ) |  |  | (1,285 | )
|  |  | 0.394 |  |  |  | 11/27/2019 |  |  |  | 02/27/2020 |  |  |  |  |  |  |  | (3,212 | ) |  |  | (3,605 | )
|  |  | 0.900 |  |  |  | 10/15/2019 |  |  |  | 01/14/2020 |  |  |  | GBP |  |  |  | (374 | ) |  |  | (496 | )
|  |  | 0.950 |  |  |  | 10/07/2019 |  |  |  | 01/07/2020 |  |  |  |  |  |  |  | (9,990 | ) |  |  | (13,262 | )
|  |  | 0.950 |  |  |  | 10/15/2019 |  |  |  | 01/14/2020 |  |  |  |  |  |  |  | (18,053 | ) |  |  | (23,961 | )
|  |  | 0.950 |  |  |  | 10/16/2019 |  |  |  | 01/15/2020 |  |  |  |  |  |  |  | (60,375 | ) |  |  | (80,131 | )
|  |  | 0.950 |  |  |  | 10/17/2019 |  |  |  | 01/16/2020 |  |  |  |  |  |  |  | (24,643 | ) |  |  | (32,707 | )
|  |  | 0.950 |  |  |  | 10/18/2019 |  |  |  | 01/17/2020 |  |  |  |  |  |  |  | (736 | ) |  |  | (977 | )
|  |  | 0.950 |  |  |  | 10/22/2019 |  |  |  | 01/22/2020 |  |  |  |  |  |  |  | (201 | ) |  |  | (267 | )
|  |  | 0.950 |  |  |  | 10/23/2019 |  |  |  | 01/23/2020 |  |  |  |  |  |  |  | (51,171 | ) |  |  | (67,903 | )
|  |  | 0.950 |  |  |  | 10/28/2019 |  |  |  | 01/28/2020 |  |  |  |  |  |  |  | (5,632 | ) |  |  | (7,472 | )
|  |  | 0.950 |  |  |  | 11/20/2019 |  |  |  | 01/16/2020 |  |  |  |  |  |  |  | (5,344 | ) |  |  | (7,086 | )
|  |  | 1.250 |  |  |  | 10/15/2019 |  |  |  | 01/10/2020 |  |  |  |  |  |  |  | (2,031 | ) |  |  | (2,697 | )
|  |  | 2.450 |  |  |  | 10/23/2019 |  |  |  | 01/17/2020 |  |  |  | $ |  |  |  | (3,905 | ) |  |  | (3,924 | )
JPS |  |  | 3.060 |  |  |  | 11/22/2019 |  |  |  | 02/20/2020 |  |  |  |  |  |  |  | (13,897 | ) |  |  | (13,945 | )
MBC |  |  | 2.730 |  |  |  | 11/12/2019 |  |  |  | 02/12/2020 |  |  |  |  |  |  |  | (11,374 | ) |  |  | (11,418 | )
|  |  | 2.750 |  |  |  | 11/22/2019 |  |  |  | 02/21/2020 |  |  |  |  |  |  |  | (26,638 | ) |  |  | (26,721 | )
|  |  | 2.780 |  |  |  | 10/31/2019 |  |  |  | 01/29/2020 |  |  |  |  |  |  |  | (6,272 | ) |  |  | (6,303 | )
|  |  | 2.810 |  |  |  | 11/08/2019 |  |  |  | 02/07/2020 |  |  |  |  |  |  |  | (8,984 | ) |  |  | (9,023 | )
|  |  | 2.830 |  |  |  | 11/12/2019 |  |  |  | 02/12/2020 |  |  |  |  |  |  |  | (7,681 | ) |  |  | (7,712 | )
MEI |  |  | 0.200 |  |  |  | 11/26/2019 |  |  |  | 01/07/2020 |  |  |  | EUR |  |  |  | (20,928 | ) |  |  | (23,480 | )
MSB |  |  | 2.886 |  |  |  | 10/23/2019 |  |  |  | 01/24/2020 |  |  |  | $ |  |  |  | (49,640 | ) |  |  | (49,923 | )
|  |  | 3.142 |  |  |  | 06/05/2019 |  |  |  | 06/05/2020 |  |  |  |  |  |  |  | (18,680 | ) |  |  | (18,729 | )
|  |  | 3.208 |  |  |  | 03/20/2019 |  |  |  | 03/20/2020 |  |  |  |  |  |  |  | (20,257 | ) |  |  | (20,280 | )
|  |  | 3.236 |  |  |  | 04/26/2019 |  |  |  | 04/27/2020 |  |  |  |  |  |  |  | (20,426 | ) |  |  | (20,547 | )
MZF |  |  | 2.803 |  |  |  | 11/05/2019 |  |  |  | 01/06/2020 |  |  |  |  |  |  |  | (27,194 | ) |  |  | (27,317 | )
|  |  | 2.803 |  |  |  | 12/13/2019 |  |  |  | 01/06/2020 |  |  |  |  |  |  |  | (2,563 | ) |  |  | (2,567 | )
|  |  | 2.805 |  |  |  | 11/06/2019 |  |  |  | 01/06/2020 |  |  |  |  |  |  |  | (16,650 | ) |  |  | (16,724 | )
|  |  | 2.836 |  |  |  | 10/23/2019 |  |  |  | 01/24/2020 |  |  |  |  |  |  |  | (18,717 | ) |  |  | (18,822 | )
|  |  | 2.845 |  |  |  | 11/08/2019 |  |  |  | 01/07/2020 |  |  |  |  |  |  |  | (15,987 | ) |  |  | (16,056 | )
|  |  | 2.845 |  |  |  | 11/21/2019 |  |  |  | 02/19/2020 |  |  |  |  |  |  |  | (5,362 | ) |  |  | (5,380 | )
|  |  | 2.853 |  |  |  | 11/05/2019 |  |  |  | 01/06/2020 |  |  |  |  |  |  |  | (21,713 | ) |  |  | (21,813 | )
NOM |  |  | 1.750 |  |  |  | 11/01/2019 |  |  |  | TBD | (3) |  |  |  |  |  |  | (877 | ) |  |  | (880 | )
|  |  | 2.300 |  |  |  | 11/04/2019 |  |  |  | 01/03/2020 |  |  |  |  |  |  |  | (7,280 | ) |  |  | (7,307 | )
|  |  | 2.300 |  |  |  | 01/03/2020 |  |  |  | 02/04/2020 |  |  |  |  |  |  |  | (12,630 | ) |  |  | (12,630 | )
|  |  | 2.350 |  |  |  | 11/01/2019 |  |  |  | TBD | (3) |  |  |  |  |  |  | (4,195 | ) |  |  | (4,212 | )
|  |  | 2.350 |  |  |  | 11/05/2019 |  |  |  | 02/03/2020 |  |  |  |  |  |  |  | (1,852 | ) |  |  | (1,859 | )
|  |  | 2.350 |  |  |  | 12/23/2019 |  |  |  | 01/03/2020 |  |  |  |  |  |  |  | (5,176 | ) |  |  | (5,179 | )
|  |  | 2.400 |  |  |  | 11/04/2019 |  |  |  | 01/03/2020 |  |  |  |  |  |  |  | (4,291 | ) |  |  | (4,308 | )
|  |  | 2.400 |  |  |  | 11/12/2019 |  |  |  | 01/13/2020 |  |  |  |  |  |  |  | (379 | ) |  |  | (380 | )
|  |  | 2.400 |  |  |  | 11/19/2019 |  |  |  | 01/21/2020 |  |  |  |  |  |  |  | (18,056 | ) |  |  | (18,109 | )
|  |  | 2.450 |  |  |  | 11/04/2019 |  |  |  | 01/03/2020 |  |  |  |  |  |  |  | (6,914 | ) |  |  | (6,942 | )
|  |  | 2.450 |  |  |  | 11/05/2019 |  |  |  | 02/03/2020 |  |  |  |  |  |  |  | (1,130 | ) |  |  | (1,134 | )
|  |  | 2.450 |  |  |  | 11/12/2019 |  |  |  | 01/13/2020 |  |  |  |  |  |  |  | (6,193 | ) |  |  | (6,215 | )
|  |  | 2.450 |  |  |  | 01/03/2020 |  |  |  | 02/04/2020 |  |  |  |  |  |  |  | (6,315 | ) |  |  | (6,315 | )
|  |  | 2.500 |  |  |  | 11/19/2019 |  |  |  | 01/21/2020 |  |  |  |  |  |  |  | (11,788 | ) |  |  | (11,824 | )
|  |  | 2.500 |  |  |  | 01/03/2020 |  |  |  | 02/04/2020 |  |  |  |  |  |  |  | (4,380 | ) |  |  | (4,380 | )
|  |  | 2.550 |  |  |  | 11/12/2019 |  |  |  | 01/13/2020 |  |  |  |  |  |  |  | (5,092 | ) |  |  | (5,110 | )
|  |  | 2.600 |  |  |  | 11/19/2019 |  |  |  | 01/21/2020 |  |  |  |  |  |  |  | (4,438 | ) |  |  | (4,452 | )
|  |  | 2.600 |  |  |  | 11/27/2019 |  |  |  | 01/21/2020 |  |  |  |  |  |  |  | (109 | ) |  |  | (109 | )
|  |  | 2.600 |  |  |  | 12/19/2019 |  |  |  | 02/03/2020 |  |  |  |  |  |  |  | (1,105 | ) |  |  | (1,106 | )

88 |  | PIMCO CLOSED-END FUNDS |  |  |  |  | See Accompanying Notes |

December 31, 2019 (Unaudited)

Counterparty |  | Borrowing Rate(2) |  |  | Settlement Date |  |  | Maturity Date |  |  | Amount Borrowed(2) |  |  | Payable for Reverse Repurchase Agreements |
|  |  | 2.800 | % |  |  | 11/19/2019 |  |  |  | 01/21/2020 |  |  |  | $ |  |  |  | (5,702 | ) |  | $ | (5,722 | )
RCE |  |  | 1.737 |  |  |  | 11/19/2019 |  |  |  | 01/27/2020 |  |  |  | GBP |  |  |  | (1,904 | ) |  |  | (2,527 | )
RDR |  |  | 1.950 |  |  |  | 12/06/2019 |  |  |  | 01/06/2020 |  |  |  | $ |  |  |  | (266 | ) |  |  | (266 | )
|  |  | 2.150 |  |  |  | 12/24/2019 |  |  |  | 01/22/2020 |  |  |  |  |  |  |  | (7,651 | ) |  |  | (7,655 | )
RTA |  |  | 2.270 |  |  |  | 11/14/2019 |  |  |  | 01/14/2020 |  |  |  |  |  |  |  | (11,576 | ) |  |  | (11,612 | )
|  |  | 2.270 |  |  |  | 11/15/2019 |  |  |  | 01/14/2020 |  |  |  |  |  |  |  | (2,495 | ) |  |  | (2,503 | )
|  |  | 2.270 |  |  |  | 12/10/2019 |  |  |  | 01/14/2020 |  |  |  |  |  |  |  | (5,967 | ) |  |  | (5,976 | )
|  |  | 2.270 |  |  |  | 12/23/2019 |  |  |  | 01/14/2020 |  |  |  |  |  |  |  | (6,622 | ) |  |  | (6,626 | )
|  |  | 2.310 |  |  |  | 12/06/2019 |  |  |  | 03/05/2020 |  |  |  |  |  |  |  | (978 | ) |  |  | (980 | )
|  |  | 2.328 |  |  |  | 11/18/2019 |  |  |  | 02/18/2020 |  |  |  |  |  |  |  | (7,886 | ) |  |  | (7,909 | )
|  |  | 2.329 |  |  |  | 11/08/2019 |  |  |  | 02/07/2020 |  |  |  |  |  |  |  | (22,506 | ) |  |  | (22,586 | )
|  |  | 2.329 |  |  |  | 11/27/2019 |  |  |  | 02/07/2020 |  |  |  |  |  |  |  | (137 | ) |  |  | (137 | )
|  |  | 2.333 |  |  |  | 01/02/2020 |  |  |  | 04/01/2020 |  |  |  |  |  |  |  | (8,225 | ) |  |  | (8,225 | )
|  |  | 2.352 |  |  |  | 11/01/2019 |  |  |  | 01/29/2020 |  |  |  |  |  |  |  | (6,246 | ) |  |  | (6,271 | )
|  |  | 2.360 |  |  |  | 10/28/2019 |  |  |  | 01/24/2020 |  |  |  |  |  |  |  | (15,703 | ) |  |  | (15,771 | )
|  |  | 2.364 |  |  |  | 10/24/2019 |  |  |  | 01/22/2020 |  |  |  |  |  |  |  | (12,323 | ) |  |  | (12,380 | )
|  |  | 2.378 |  |  |  | 10/22/2019 |  |  |  | 01/21/2020 |  |  |  |  |  |  |  | (970 | ) |  |  | (975 | )
|  |  | 2.452 |  |  |  | 10/08/2019 |  |  |  | 01/07/2020 |  |  |  |  |  |  |  | (11,403 | ) |  |  | (11,470 | )
|  |  | 2.481 |  |  |  | 10/04/2019 |  |  |  | 01/02/2020 |  |  |  |  |  |  |  | (8,337 | ) |  |  | (8,389 | )
|  |  | 2.791 |  |  |  | 11/21/2019 |  |  |  | 05/19/2020 |  |  |  |  |  |  |  | (8,262 | ) |  |  | (8,289 | )
|  |  | 2.794 |  |  |  | 11/06/2019 |  |  |  | 02/04/2020 |  |  |  |  |  |  |  | (8,810 | ) |  |  | (8,849 | )
|  |  | 2.794 |  |  |  | 11/07/2019 |  |  |  | 02/05/2020 |  |  |  |  |  |  |  | (6,202 | ) |  |  | (6,229 | )
|  |  | 2.804 |  |  |  | 11/08/2019 |  |  |  | 02/07/2020 |  |  |  |  |  |  |  | (7,653 | ) |  |  | (7,686 | )
|  |  | 2.839 |  |  |  | 12/06/2019 |  |  |  | 01/23/2020 |  |  |  |  |  |  |  | (12,750 | ) |  |  | (12,819 | )
|  |  | 2.909 |  |  |  | 10/31/2019 |  |  |  | 01/29/2020 |  |  |  |  |  |  |  | (14,592 | ) |  |  | (14,666 | )
|  |  | 3.063 |  |  |  | 09/25/2019 |  |  |  | 03/25/2020 |  |  |  |  |  |  |  | (8,346 | ) |  |  | (8,416 | )
SBI |  |  | 0.500 |  |  |  | 11/01/2019 |  |  |  | TBD | (3) |  |  |  |  |  |  | (1,113 | ) |  |  | (1,114 | )
|  |  | 1.000 |  |  |  | 11/01/2019 |  |  |  | 01/29/2020 |  |  |  | GBP |  |  |  | (1,893 | ) |  |  | (2,511 | )
|  |  | 2.804 |  |  |  | 11/15/2019 |  |  |  | 01/15/2020 |  |  |  | $ |  |  |  | (3,997 | ) |  |  | (4,012 | )
|  |  | 2.836 |  |  |  | 10/23/2019 |  |  |  | 01/21/2020 |  |  |  |  |  |  |  | (55,174 | ) |  |  | (55,483 | )
|  |  | 2.858 |  |  |  | 11/05/2019 |  |  |  | 02/03/2020 |  |  |  |  |  |  |  | (18,866 | ) |  |  | (18,953 | )
|  |  | 2.900 |  |  |  | 11/12/2019 |  |  |  | 02/10/2020 |  |  |  |  |  |  |  | (34,826 | ) |  |  | (34,969 | )
|  |  | 2.906 |  |  |  | 10/03/2019 |  |  |  | 01/03/2020 |  |  |  |  |  |  |  | (1,925 | ) |  |  | (1,939 | )
|  |  | 2.909 |  |  |  | 11/12/2019 |  |  |  | 02/10/2020 |  |  |  |  |  |  |  | (2,786 | ) |  |  | (2,797 | )
|  |  | 2.952 |  |  |  | 11/18/2019 |  |  |  | 02/14/2020 |  |  |  |  |  |  |  | (8,302 | ) |  |  | (8,333 | )
|  |  | 2.954 |  |  |  | 11/15/2019 |  |  |  | 01/15/2020 |  |  |  |  |  |  |  | (19,656 | ) |  |  | (19,733 | )
|  |  | 2.958 |  |  |  | 11/05/2019 |  |  |  | 02/03/2020 |  |  |  |  |  |  |  | (3,900 | ) |  |  | (3,919 | )
|  |  | 3.292 |  |  |  | 12/24/2019 |  |  |  | 01/22/2020 |  |  |  |  |  |  |  | (23,635 | ) |  |  | (23,654 | )
SGY |  |  | 2.350 |  |  |  | 12/31/2019 |  |  |  | 02/25/2020 |  |  |  |  |  |  |  | (26,158 | ) |  |  | (26,158 | )
SOG |  |  | 2.270 |  |  |  | 11/08/2019 |  |  |  | 01/09/2020 |  |  |  |  |  |  |  | (21,636 | ) |  |  | (21,711 | )
|  |  | 2.340 |  |  |  | 11/21/2019 |  |  |  | 02/19/2020 |  |  |  |  |  |  |  | (21,872 | ) |  |  | (21,932 | )
|  |  | 2.340 |  |  |  | 11/22/2019 |  |  |  | 02/20/2020 |  |  |  |  |  |  |  | (8,423 | ) |  |  | (8,445 | )
|  |  | 2.340 |  |  |  | 12/23/2019 |  |  |  | 02/19/2020 |  |  |  |  |  |  |  | (2,933 | ) |  |  | (2,935 | )
|  |  | 2.350 |  |  |  | 11/18/2019 |  |  |  | 02/12/2020 |  |  |  |  |  |  |  | (4,217 | ) |  |  | (4,229 | )
|  |  | 2.350 |  |  |  | 11/26/2019 |  |  |  | 02/24/2020 |  |  |  |  |  |  |  | (18,654 | ) |  |  | (18,699 | )
|  |  | 2.618 |  |  |  | 12/10/2019 |  |  |  | 01/10/2020 |  |  |  |  |  |  |  | (22,007 | ) |  |  | (22,044 | )
|  |  | 2.746 |  |  |  | 11/14/2019 |  |  |  | 01/16/2020 |  |  |  |  |  |  |  | (44,612 | ) |  |  | (44,779 | )
|  |  | 2.791 |  |  |  | 11/05/2019 |  |  |  | 02/06/2020 |  |  |  |  |  |  |  | (34,346 | ) |  |  | (34,500 | )
|  |  | 2.799 |  |  |  | 11/22/2019 |  |  |  | 02/14/2020 |  |  |  |  |  |  |  | (10,505 | ) |  |  | (10,538 | )
|  |  | 2.836 |  |  |  | 10/23/2019 |  |  |  | 01/24/2020 |  |  |  |  |  |  |  | (19,375 | ) |  |  | (19,483 | )
|  |  | 2.934 |  |  |  | 10/10/2019 |  |  |  | 01/08/2020 |  |  |  |  |  |  |  | (18,931 | ) |  |  | (19,061 | )
UBS |  |  | 0.346 |  |  |  | 11/28/2019 |  |  |  | 02/28/2020 |  |  |  | EUR |  |  |  | (3,583 | ) |  |  | (4,020 | )
|  |  | 0.401 |  |  |  | 11/05/2019 |  |  |  | 02/05/2020 |  |  |  |  |  |  |  | (14,674 | ) |  |  | (16,470 | )
|  |  | 1.220 |  |  |  | 10/10/2019 |  |  |  | 02/10/2020 |  |  |  | GBP |  |  |  | (7,784 | ) |  |  | (10,339 | )
|  |  | 1.605 |  |  |  | 10/29/2019 |  |  |  | 01/29/2020 |  |  |  |  |  |  |  | (26,611 | ) |  |  | (35,350 | )
|  |  | 1.614 |  |  |  | 10/15/2019 |  |  |  | 01/15/2020 |  |  |  |  |  |  |  | (30,084 | ) |  |  | (39,986 | )
|  |  | 2.250 |  |  |  | 11/01/2019 |  |  |  | TBD | (3) |  |  | $ |  |  |  | (65,417 | ) |  |  | (65,670 | )
|  |  | 2.300 |  |  |  | 12/06/2019 |  |  |  | 01/08/2020 |  |  |  |  |  |  |  | (9,439 | ) |  |  | (9,455 | )
|  |  | 2.300 |  |  |  | 12/10/2019 |  |  |  | 01/08/2020 |  |  |  |  |  |  |  | (16,612 | ) |  |  | (16,636 | )
|  |  | 2.300 |  |  |  | 12/23/2019 |  |  |  | 01/08/2020 |  |  |  |  |  |  |  | (3,993 | ) |  |  | (3,996 | )
|  |  | 2.450 |  |  |  | 11/01/2019 |  |  |  | 01/30/2020 |  |  |  |  |  |  |  | (3,717 | ) |  |  | (3,733 | )
|  |  | 2.450 |  |  |  | 11/06/2019 |  |  |  | 02/04/2020 |  |  |  |  |  |  |  | (23,095 | ) |  |  | (23,185 | )
|  |  | 2.450 |  |  |  | 11/07/2019 |  |  |  | 02/05/2020 |  |  |  |  |  |  |  | (15,469 | ) |  |  | (15,528 | )
|  |  | 2.450 |  |  |  | 11/08/2019 |  |  |  | 02/06/2020 |  |  |  |  |  |  |  | (3,749 | ) |  |  | (3,763 | )
|  |  | 2.450 |  |  |  | 11/13/2019 |  |  |  | 02/11/2020 |  |  |  |  |  |  |  | (32,474 | ) |  |  | (32,585 | )
|  |  | 2.450 |  |  |  | 11/18/2019 |  |  |  | 01/07/2020 |  |  |  |  |  |  |  | (1,544 | ) |  |  | (1,549 | )
|  |  | 2.450 |  |  |  | 11/22/2019 |  |  |  | 02/20/2020 |  |  |  |  |  |  |  | (6,592 | ) |  |  | (6,610 | )
|  |  | 2.450 |  |  |  | 11/27/2019 |  |  |  | 02/05/2020 |  |  |  |  |  |  |  | (1,142 | ) |  |  | (1,145 | )
|  |  | 2.450 |  |  |  | 12/04/2019 |  |  |  | 03/03/2020 |  |  |  |  |  |  |  | (942 | ) |  |  | (944 | )
|  |  | 2.450 |  |  |  | 12/13/2019 |  |  |  | 01/07/2020 |  |  |  |  |  |  |  | (926 | ) |  |  | (927 | )

See Accompanying Notes |  | SEMIANNUAL REPORT |  | DECEMBER 31, 2019 |  | 89

Consolidated Schedule of Investments PIMCO Dynamic Credit and Mortgage Income Fund (Cont.)

Counterparty |  | Borrowing Rate(2) |  |  | Settlement Date |  |  | Maturity Date |  |  | Amount Borrowed(2) |  |  | Payable for Reverse Repurchase Agreements |
|  |  | 2.450 | % |  |  | 12/19/2019 |  |  |  | 02/04/2020 |  |  |  | $ |  |  |  | (475 | ) |  | $ | (475 | )
|  |  | 2.450 |  |  |  | 12/23/2019 |  |  |  | 01/07/2020 |  |  |  |  |  |  |  | (15,026 | ) |  |  | (15,036 | )
|  |  | 2.450 |  |  |  | 12/31/2019 |  |  |  | 02/11/2020 |  |  |  |  |  |  |  | (35,229 | ) |  |  | (35,229 | )
|  |  | 2.500 |  |  |  | 10/22/2019 |  |  |  | 01/22/2020 |  |  |  |  |  |  |  | (6,800 | ) |  |  | (6,834 | )
|  |  | 2.500 |  |  |  | 10/24/2019 |  |  |  | 01/23/2020 |  |  |  |  |  |  |  | (2,400 | ) |  |  | (2,412 | )
|  |  | 2.500 |  |  |  | 11/06/2019 |  |  |  | 02/04/2020 |  |  |  |  |  |  |  | (23,028 | ) |  |  | (23,119 | )
|  |  | 2.500 |  |  |  | 11/07/2019 |  |  |  | 02/05/2020 |  |  |  |  |  |  |  | (275 | ) |  |  | (276 | )
|  |  | 2.500 |  |  |  | 11/08/2019 |  |  |  | 02/06/2020 |  |  |  |  |  |  |  | (820 | ) |  |  | (823 | )
|  |  | 2.500 |  |  |  | 11/18/2019 |  |  |  | 01/07/2020 |  |  |  |  |  |  |  | (14,901 | ) |  |  | (14,948 | )
|  |  | 2.500 |  |  |  | 11/22/2019 |  |  |  | 02/20/2020 |  |  |  |  |  |  |  | (276 | ) |  |  | (277 | )
|  |  | 2.500 |  |  |  | 12/10/2019 |  |  |  | 01/08/2020 |  |  |  |  |  |  |  | (2,331 | ) |  |  | (2,335 | )
|  |  | 2.550 |  |  |  | 10/22/2019 |  |  |  | 01/22/2020 |  |  |  |  |  |  |  | (1,435 | ) |  |  | (1,442 | )
|  |  | 2.600 |  |  |  | 10/22/2019 |  |  |  | 01/22/2020 |  |  |  |  |  |  |  | (2,812 | ) |  |  | (2,827 | )
|  |  | 2.600 |  |  |  | 10/24/2019 |  |  |  | 01/23/2020 |  |  |  |  |  |  |  | (2,425 | ) |  |  | (2,437 | )
|  |  | 2.800 |  |  |  | 11/13/2019 |  |  |  | 01/10/2020 |  |  |  |  |  |  |  | (16,402 | ) |  |  | (16,466 | )
|  |  | 2.889 |  |  |  | 10/24/2019 |  |  |  | 01/23/2020 |  |  |  |  |  |  |  | (29,293 | ) |  |  | (29,458 | )
|  |  | 2.989 |  |  |  | 10/24/2019 |  |  |  | 01/23/2020 |  |  |  |  |  |  |  | (12,314 | ) |  |  | (12,386 | )
|  |  | 3.090 |  |  |  | 09/19/2019 |  |  |  | 01/21/2020 |  |  |  |  |  |  |  | (10,702 | ) |  |  | (10,798 | )
Total Reverse Repurchase Agreements |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | (2,606,090 | )

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, 2019:

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 |
BCY |  | $ | 0 |  |  | $ | (460 | ) |  | $ | 0 |  |  | $ | (460 | ) |  | $ | 444 |  |  | $ | (16 | )
BNY |  |  | 0 |  |  |  | (287,317 | ) |  |  | 0 |  |  |  | (287,317 | ) |  |  | 364,591 |  |  |  | 77,274 |
BOS |  |  | 0 |  |  |  | (27,563 | ) |  |  | 0 |  |  |  | (27,563 | ) |  |  | 32,145 |  |  |  | 4,582 |
BPS |  |  | 0 |  |  |  | (267,675 | ) |  |  | 0 |  |  |  | (267,675 | ) |  |  | 329,181 |  |  |  | 61,506 |
BRC |  |  | 0 |  |  |  | (123,522 | ) |  |  | 0 |  |  |  | (123,522 | ) |  |  | 150,566 |  |  |  | 27,044 |
CFR |  |  | 0 |  |  |  | (2,849 | ) |  |  | 0 |  |  |  | (2,849 | ) |  |  | 3,090 |  |  |  | 241 |
CSG |  |  | 0 |  |  |  | (9,129 | ) |  |  | 0 |  |  |  | (9,129 | ) |  |  | 12,366 |  |  |  | 3,237 |
DBL |  |  | 0 |  |  |  | (50,034 | ) |  |  | 0 |  |  |  | (50,034 | ) |  |  | 64,887 |  |  |  | 14,853 |
FICC |  |  | 4,934 |  |  |  | 0 |  |  |  | 0 |  |  |  | 4,934 |  |  |  | (5,033 | ) |  |  | (99 | )
GLM |  |  | 0 |  |  |  | (50,089 | ) |  |  | 0 |  |  |  | (50,089 | ) |  |  | 64,707 |  |  |  | 14,618 |
IND |  |  | 0 |  |  |  | (4,985 | ) |  |  | 0 |  |  |  | (4,985 | ) |  |  | 5,864 |  |  |  | 879 |
JML |  |  | 0 |  |  |  | (256,922 | ) |  |  | 0 |  |  |  | (256,922 | ) |  |  | 302,057 |  |  |  | 45,135 |
JPS |  |  | 121,811 |  |  |  | (13,945 | ) |  |  | 0 |  |  |  | 107,866 |  |  |  | (104,632 | ) |  |  | 3,234 |
MBC |  |  | 0 |  |  |  | (61,177 | ) |  |  | 0 |  |  |  | (61,177 | ) |  |  | 75,647 |  |  |  | 14,470 |
MEI |  |  | 0 |  |  |  | (23,480 | ) |  |  | 0 |  |  |  | (23,480 | ) |  |  | 29,713 |  |  |  | 6,233 |
MSB |  |  | 0 |  |  |  | (109,479 | ) |  |  | 0 |  |  |  | (109,479 | ) |  |  | 148,148 |  |  |  | 38,669 |
MZF |  |  | 0 |  |  |  | (108,679 | ) |  |  | 0 |  |  |  | (108,679 | ) |  |  | 136,630 |  |  |  | 27,951 |
NOM |  |  | 0 |  |  |  | (108,173 | ) |  |  | 0 |  |  |  | (108,173 | ) |  |  | 96,438 |  |  |  | (11,735 | )
RCE |  |  | 0 |  |  |  | (2,527 | ) |  |  | 0 |  |  |  | (2,527 | ) |  |  | 2,975 |  |  |  | 448 |
RDR |  |  | 0 |  |  |  | (7,921 | ) |  |  | 0 |  |  |  | (7,921 | ) |  |  | 8,321 |  |  |  | 400 |
RTA |  |  | 0 |  |  |  | (188,764 | ) |  |  | 0 |  |  |  | (188,764 | ) |  |  | 219,318 |  |  |  | 30,554 |
SBI |  |  | 0 |  |  |  | (177,417 | ) |  |  | 0 |  |  |  | (177,417 | ) |  |  | 230,651 |  |  |  | 53,234 |
SGY |  |  | 0 |  |  |  | (26,158 | ) |  |  | 0 |  |  |  | (26,158 | ) |  |  | 0 |  |  |  | (26,158 | )
SOG |  |  | 0 |  |  |  | (228,356 | ) |  |  | 0 |  |  |  | (228,356 | ) |  |  | 309,737 |  |  |  | 81,381 |
UBS |  |  | 0 |  |  |  | (469,469 | ) |  |  | 0 |  |  |  | (469,469 | ) |  |  | 584,804 |  |  |  | 115,335 |
Total Borrowings and Other Financing Transactions |  | $ | 126,745 |  |  | $ | (2,606,090 | ) |  | $ | 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 |  |  | $ | (579,854 | ) |  | $ | (252,137 | ) |  | $ | (76,752 | ) |  | $ | (908,743 | )
Convertible Bonds & Notes |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | (4,212 | ) |  |  | (4,212 | )
U.S. Government Agencies |  |  | 0 |  |  |  | (39,384 | ) |  |  | (3,919 | ) |  |  | 0 |  |  |  | (43,303 | )

90 |  | PIMCO CLOSED-END FUNDS |  |  |  |  | See Accompanying Notes |

December 31, 2019 (Unaudited)

|  | Overnight and Continuous |  |  | Up to 30 days |  |  | 31-90 days |  |  | Greater Than 90 days |  |  | Total |
Non-Agency Mortgage-Backed Securities |  | $ | 0 |  |  | $ | (244,845 | ) |  | $ | (137,452 | ) |  | $ | (39,276 | ) |  | $ | (421,573 | )
Asset-Backed Securities |  |  | 0 |  |  |  | (530,039 | ) |  |  | (482,049 | ) |  |  | (67,662 | ) |  |  | (1,079,750 | )
Sovereign Issues |  |  | 0 |  |  |  | (33,123 | ) |  |  | (26,039 | ) |  |  | 0 |  |  |  | (59,162 | )
Common Stocks |  |  | 0 |  |  |  | (12,978 | ) |  |  | 0 |  |  |  | 0 |  |  |  | (12,978 | )
Preferred Securities |  |  | 0 |  |  |  | (5,722 | ) |  |  | (23,119 | ) |  |  | (880 | ) |  |  | (29,721 | )
Total Borrowings |  | $ | 0 |  |  | $ | (1,445,945 | ) |  | $ | (924,715 | ) |  | $ | (188,782 | ) |  | $ | (2,559,442 | )
Payable for reverse repurchase agreements(5) |  |  | $ | (2,559,442 | )

(l) | Securities with an aggregate market value of $3,209,267 and cash of $1,910 have been pledged as collateral under the terms of the above master agreements as of December 31, 2019.

(1) | Includes accrued interest.

(2) | The average amount of borrowings outstanding during the period ended December 31, 2019 was $(2,628,183) at a weighted average interest rate of 2.610%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.

(3) | Open maturity reverse repurchase agreement.

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

(5) | Unsettled reverse repurchase agreements liability of $(46,648) is outstanding at period end.

(m) 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, 2019(2) |  |  | Notional Amount(3) |  |  | Premiums Paid/(Received) |  |  | Unrealized Appreciation/ (Depreciation) |  |  | Market Value(4) |  |  | Variation Margin |
| Asset |  |  | Liability |
Bombardier, Inc. |  |  | 5.000 | % |  |  | Quarterly |  |  |  | 06/20/2024 |  |  |  | 3.485 | % |  | $ | 6,300 |  |  | $ | (13 | ) |  | $ | 399 |  |  | $ | 386 |  |  | $ | 0 |  |  | $ | 0 |
Bombardier, Inc. |  |  | 5.000 |  |  |  | Quarterly |  |  |  | 12/20/2024 |  |  |  | 3.682 |  |  |  | 4,300 |  |  |  | (15 | ) |  |  | 265 |  |  |  | 250 |  |  |  | 4 |  |  |  | 0 |
Frontier Communications Corp. |  |  | 5.000 |  |  |  | Quarterly |  |  |  | 06/20/2020 |  |  |  | 195.572 |  |  |  | 31,430 |  |  |  | (1,130 | ) |  |  | (12,997 | ) |  |  | (14,127 | ) |  |  | 0 |  |  |  | (245 | )
Frontier Communications Corp. |  |  | 5.000 |  |  |  | Quarterly |  |  |  | 06/20/2022 |  |  |  | 96.944 |  |  |  | 2,800 |  |  |  | (378 | ) |  |  | (974 | ) |  |  | (1,352 | ) |  |  | 0 |  |  |  | (9 | )
Sprint Communications, Inc. |  |  | 5.000 |  |  |  | Quarterly |  |  |  | 12/20/2021 |  |  |  | 1.142 |  |  |  | 13,300 |  |  |  | 249 |  |  |  | 766 |  |  |  | 1,015 |  |  |  | 0 |  |  |  | (2 | )
|  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | (1,287 | ) |  | $ | (12,541 | ) |  | $ | (13,828 | ) |  | $ | 4 |  |  | $ | (256 | )

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 |  | 3-Month CAD-Bank Bill |  |  | 3.300 | % |  | Semi-Annual |  |  | 06/19/2024 |  |  |  | CAD |  |  |  | 102,200 |  |  | $ | 4,746 |  |  | $ | (474 | ) |  | $ | 4,272 |  |  | $ | 0 |  |  | $ | (150 | )
Receive |  | 3-Month CAD-Bank Bill |  |  | 3.500 |  |  | Semi-Annual |  |  | 06/20/2044 |  |  |  |  |  |  |  | 46,900 |  |  |  | (1,672 | ) |  |  | (6,733 | ) |  |  | (8,405 | ) |  |  | 824 |  |  |  | 0 |
Pay |  | 3-Month USD-LIBOR |  |  | 2.200 |  |  | Semi-Annual |  |  | 01/18/2023 |  |  |  | $ |  |  |  | 2,200 |  |  |  | (8 | ) |  |  | 54 |  |  |  | 46 |  |  |  | 0 |  |  |  | (1 | )
Pay |  | 3-Month USD-LIBOR |  |  | 1.750 |  |  | Semi-Annual |  |  | 12/21/2023 |  |  |  |  |  |  |  | 164,300 |  |  |  | 3,084 |  |  |  | (2,837 | ) |  |  | 247 |  |  |  | 0 |  |  |  | (140 | )
Pay |  | 3-Month USD-LIBOR |  |  | 1.750 |  |  | Semi-Annual |  |  | 12/21/2026 |  |  |  |  |  |  |  | 464,100 |  |  |  | 11,168 |  |  |  | (12,963 | ) |  |  | (1,795 | ) |  |  | 0 |  |  |  | (939 | )
Pay |  | 3-Month USD-LIBOR |  |  | 1.500 |  |  | Semi-Annual |  |  | 06/21/2027 |  |  |  |  |  |  |  | 245,900 |  |  |  | (17,834 | ) |  |  | 12,186 |  |  |  | (5,648 | ) |  |  | 0 |  |  |  | (532 | )
Pay |  | 3-Month USD-LIBOR |  |  | 2.500 |  |  | Semi-Annual |  |  | 12/20/2027 |  |  |  |  |  |  |  | 64,900 |  |  |  | 1,045 |  |  |  | 2,214 |  |  |  | 3,259 |  |  |  | 0 |  |  |  | (169 | )
Pay |  | 3-Month USD-LIBOR |  |  | 3.000 |  |  | Semi-Annual |  |  | 06/19/2029 |  |  |  |  |  |  |  | 155,300 |  |  |  | 12,327 |  |  |  | 2,803 |  |  |  | 15,130 |  |  |  | 0 |  |  |  | (462 | )
Receive |  | 3-Month USD-LIBOR |  |  | 3.000 |  |  | Semi-Annual |  |  | 12/19/2038 |  |  |  |  |  |  |  | 171,300 |  |  |  | 575 |  |  |  | (26,068 | ) |  |  | (25,493 | ) |  |  | 1,265 |  |  |  | 0 |
Pay |  | 6-Month AUD-BBR-BBSW |  |  | 3.500 |  |  | Semi-Annual |  |  | 06/17/2025 |  |  |  | AUD |  |  |  | 41,800 |  |  |  | 1,036 |  |  |  | 2,579 |  |  |  | 3,615 |  |  |  | 0 |  |  |  | (50 | )
Receive(5) |  | 6-Month EUR-EURIBOR |  |  | 0.150 |  |  | Annual |  |  | 03/18/2030 |  |  |  | EUR |  |  |  | 69,700 |  |  |  | 1,276 |  |  |  | 1,675 |  |  |  | 2,951 |  |  |  | 375 |  |  |  | 0 |
Receive(5) |  | 6-Month EUR-EURIBOR |  |  | 0.250 |  |  | Annual |  |  | 03/18/2050 |  |  |  |  |  |  |  | 2,000 |  |  |  | 111 |  |  |  | 131 |  |  |  | 242 |  |  |  | 31 |  |  |  | 0 |
Receive(5) |  | 6-Month EUR-EURIBOR |  |  | 0.150 |  |  | Annual |  |  | 06/17/2030 |  |  |  | $ |  |  |  | 5,500 |  |  |  | (4 | ) |  |  | 68 |  |  |  | 64 |  |  |  | 31 |  |  |  | 0 |
Receive (5) |  | 6-Month GBP-LIBOR |  |  | 0.750 |  |  | Semi-Annual |  |  | 03/18/2030 |  |  |  | GBP |  |  |  | 225,275 |  |  |  | 1,302 |  |  |  | 6,599 |  |  |  | 7,901 |  |  |  | 1,739 |  |  |  | 0 |
Receive (5) |  | 6-Month GBP-LIBOR |  |  | 0.750 |  |  | Semi-Annual |  |  | 03/18/2050 |  |  |  |  |  |  |  | 29,500 |  |  |  | 619 |  |  |  | 3,107 |  |  |  | 3,726 |  |  |  | 625 |  |  |  | 0 |
|  |  |  |  |  |  | $ | 17,771 |  |  | $ | (17,659 | ) |  | $ | 112 |  |  | $ | 4,890 |  |  | $ | (2,443 | )
Total Swap Agreements |  |  |  |  |  |  | $ | 16,484 |  |  | $ | (30,200 | ) |  | $ | (13,716 | ) |  | $ | 4,894 |  |  | $ | (2,699 | )

See Accompanying Notes |  | SEMIANNUAL REPORT |  | DECEMBER 31, 2019 |  | 91

Consolidated Schedule of Investments PIMCO Dynamic Credit and Mortgage 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, 2019:

|  | 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 |  |  | $ | 4,894 |  |  | $ | 4,894 |  |  |  |  |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | (2,699) |  |  | $ | (2,699) |

(n) | Securities with an aggregate market value of $6,121 and cash of $50,531 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2019.

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

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

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

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

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

(o) 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 |  |  | 01/2020 |  |  | $ |  |  | 1,010 |  |  | CAD |  |  | 1,337 |  |  | $ | 20 |  |  | $ | 0 |
BPS |  |  | 01/2020 |  |  | EUR |  |  | 11,352 |  |  | $ |  |  | 12,706 |  |  |  | 0 |  |  |  | (33 | )
|  |  | 01/2020 |  |  | GBP |  |  | 185,402 |  |  |  |  |  | 240,087 |  |  |  | 0 |  |  |  | (5,547 | )
|  |  | 01/2020 |  |  | $ |  |  | 299 |  |  | CLP |  |  | 231,426 |  |  |  | 9 |  |  |  | 0 |
|  |  | 01/2020 |  |  |  |  |  | 4,727 |  |  | EUR |  |  | 4,240 |  |  |  | 31 |  |  |  | 0 |
|  |  | 01/2020 |  |  |  |  |  | 9,816 |  |  | GBP |  |  | 7,411 |  |  |  | 42 |  |  |  | (40 | )
|  |  | 02/2020 |  |  | PEN |  |  | 17,655 |  |  | $ |  |  | 5,203 |  |  |  | 0 |  |  |  | (119 | )
BRC |  |  | 01/2020 |  |  | EUR |  |  | 2,984 |  |  |  |  |  | 3,312 |  |  |  | 0 |  |  |  | (36 | )
|  |  | 01/2020 |  |  | $ |  |  | 1,046 |  |  | GBP |  |  | 800 |  |  |  | 14 |  |  |  | 0 |
CBK |  |  | 01/2020 |  |  | BRL |  |  | 27,111 |  |  | $ |  |  | 6,668 |  |  |  | 0 |  |  |  | (71 | )
|  |  | 01/2020 |  |  | MXN |  |  | 621,299 |  |  |  |  |  | 32,204 |  |  |  | 0 |  |  |  | (565 | )
|  |  | 01/2020 |  |  | $ |  |  | 6,726 |  |  | BRL |  |  | 27,111 |  |  |  | 13 |  |  |  | 0 |
|  |  | 01/2020 |  |  |  |  |  | 1,924 |  |  | CLP |  |  | 1,510,166 |  |  |  | 85 |  |  |  | 0 |
|  |  | 02/2020 |  |  |  |  |  | 6,660 |  |  | BRL |  |  | 27,111 |  |  |  | 73 |  |  |  | 0 |
|  |  | 06/2020 |  |  |  |  |  | 31,514 |  |  | MXN |  |  | 621,299 |  |  |  | 557 |  |  |  | 0 |
FBF |  |  | 01/2020 |  |  | BRL |  |  | 26,889 |  |  | $ |  |  | 6,671 |  |  |  | 0 |  |  |  | (13 | )
|  |  | 01/2020 |  |  | $ |  |  | 6,368 |  |  | BRL |  |  | 26,889 |  |  |  | 317 |  |  |  | 0 |
GLM |  |  | 01/2020 |  |  | BRL |  |  | 222 |  |  | $ |  |  | 55 |  |  |  | 0 |  |  |  | 0 |
|  |  | 01/2020 |  |  | GBP |  |  | 4,491 |  |  |  |  |  | 5,889 |  |  |  | 0 |  |  |  | (61 | )
|  |  | 01/2020 |  |  | $ |  |  | 54 |  |  | BRL |  |  | 222 |  |  |  | 1 |  |  |  | 0 |
|  |  | 01/2020 |  |  |  |  |  | 75 |  |  | CLP |  |  | 58,894 |  |  |  | 3 |  |  |  | 0 |
|  |  | 01/2020 |  |  |  |  |  | 1,935 |  |  | GBP |  |  | 1,477 |  |  |  | 22 |  |  |  | 0 |
|  |  | 03/2020 |  |  |  |  |  | 47,955 |  |  | RUB |  |  | 3,108,598 |  |  |  | 1,729 |  |  |  | 0 |
HUS |  |  | 01/2020 |  |  | GBP |  |  | 10,457 |  |  | $ |  |  | 13,662 |  |  |  | 0 |  |  |  | (193 | )
|  |  | 01/2020 |  |  | $ |  |  | 93 |  |  | CLP |  |  | 72,912 |  |  |  | 4 |  |  |  | 0 |
|  |  | 01/2020 |  |  |  |  |  | 1,089 |  |  | EUR |  |  | 981 |  |  |  | 12 |  |  |  | 0 |
|  |  | 01/2020 |  |  |  |  |  | 2,544 |  |  | GBP |  |  | 1,926 |  |  |  | 20 |  |  |  | (12 | )
|  |  | 02/2020 |  |  | NZD |  |  | 65 |  |  | $ |  |  | 42 |  |  |  | 0 |  |  |  | (2 | )
JPM |  |  | 01/2020 |  |  | $ |  |  | 31,713 |  |  | MXN |  |  | 621,299 |  |  |  | 1,056 |  |  |  | 0 |
MYI |  |  | 01/2020 |  |  |  |  |  | 5,005 |  |  | GBP |  |  | 3,866 |  |  |  | 117 |  |  |  | 0 |

92 |  | PIMCO CLOSED-END FUNDS |  |  |  |  | See Accompanying Notes |

December 31, 2019 (Unaudited)

Counterparty |  | Settlement Month |  |  | Currency to be Delivered |  |  | Currency to be Received |  |  | Unrealized Appreciation/ (Depreciation) |
| Asset |  |  | Liability |
RYL |  |  | 01/2020 |  |  | CLP |  |  | 535,459 |  |  | $ |  |  | 703 |  |  | $ | 0 |  |  | $ | (9 | )
|  |  | 01/2020 |  |  | $ |  |  | 796 |  |  | CLP |  |  | 608,455 |  |  |  | 13 |  |  |  | 0 |
SCX |  |  | 01/2020 |  |  | GBP |  |  | 185,402 |  |  | $ |  |  | 238,808 |  |  |  | 0 |  |  |  | (6,826 | )
TOR |  |  | 01/2020 |  |  | $ |  |  | 504 |  |  | CLP |  |  | 395,873 |  |  |  | 23 |  |  |  | 0 |
UAG |  |  | 01/2020 |  |  | EUR |  |  | 105,062 |  |  | $ |  |  | 116,043 |  |  |  | 0 |  |  |  | (1,856 | )
Total Forward Foreign Currency Contracts |  |  | $ | 4,161 |  |  | $ | (15,383 | )

SWAP AGREEMENTS:

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

Counterparty |  | Index/Tranches |  | Fixed Receive Rate |  |  | Payment Frequency |  | Maturity Date |  |  | Notional Amount(2) |  |  | Premiums Paid/(Received) |  |  | Unrealized Appreciation/ (Depreciation) |  |  | Swap Agreements, at Value(3) |
| Asset |  |  | Liability |
BRC |  | ABX.HE.AAA.6-2 Index |  |  | 0.110% |  |  | Monthly |  |  | 05/25/2046 |  |  | $ | 5,603 |  |  | $ | (1,309 | ) |  | $ | 1,044 |  |  | $ | 0 |  |  | $ | (265 | )
Total Swap Agreements |  |  | $ | (1,309 | ) |  | $ | 1,044 |  |  | $ | 0 |  |  | $ | (265 | )

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, 2019:

|  | Financial Derivative Assets |  |  |  |  |  | Financial Derivative Liabilities |  |  |  |  |  |  |  |  |  |
Counterparty |  | Forward Foreign Currency Contracts |  |  | Purchased Options |  |  | Swap Agreements |  |  | Total Over the Counter |  |  |  |  |  | Forward Foreign Currency Contracts |  |  | Written Options |  |  | Swap Agreements |  |  | Total Over the Counter |  |  | Net Market Value of OTC Derivatives |  |  | Collateral Pledged/ (Received) |  |  | Net Exposure(4) |
BOA |  | $ | 20 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 20 |  |  |  |  |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 20 |  |  | $ | 0 |  |  | $ | 20 |
BPS |  |  | 82 |  |  |  | 0 |  |  |  | 0 |  |  |  | 82 |  |  |  |  |  |  |  | (5,739 | ) |  |  | 0 |  |  |  | 0 |  |  |  | (5,739 | ) |  |  | (5,657 | ) |  |  | 3,309 |  |  |  | (2,348 | )
BRC |  |  | 14 |  |  |  | 0 |  |  |  | 0 |  |  |  | 14 |  |  |  |  |  |  |  | (36 | ) |  |  | 0 |  |  |  | (265 | ) |  |  | (301 | ) |  |  | (287 | ) |  |  | 512 |  |  |  | 225 |
CBK |  |  | 728 |  |  |  | 0 |  |  |  | 0 |  |  |  | 728 |  |  |  |  |  |  |  | (636 | ) |  |  | 0 |  |  |  | 0 |  |  |  | (636 | ) |  |  | 92 |  |  |  | (83 | ) |  |  | 9 |
FBF |  |  | 317 |  |  |  | 0 |  |  |  | 0 |  |  |  | 317 |  |  |  |  |  |  |  | (13 | ) |  |  | 0 |  |  |  | 0 |  |  |  | (13 | ) |  |  | 304 |  |  |  | (270 | ) |  |  | 34 |
GLM |  |  | 1,755 |  |  |  | 0 |  |  |  | 0 |  |  |  | 1,755 |  |  |  |  |  |  |  | (61 | ) |  |  | 0 |  |  |  | 0 |  |  |  | (61 | ) |  |  | 1,694 |  |  |  | (1,750 | ) |  |  | (56 | )
HUS |  |  | 36 |  |  |  | 0 |  |  |  | 0 |  |  |  | 36 |  |  |  |  |  |  |  | (207 | ) |  |  | 0 |  |  |  | 0 |  |  |  | (207 | ) |  |  | (171 | ) |  |  | 0 |  |  |  | (171 | )
JPM |  |  | 1,056 |  |  |  | 0 |  |  |  | 0 |  |  |  | 1,056 |  |  |  |  |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 1,056 |  |  |  | (940 | ) |  |  | 116 |
MYI |  |  | 117 |  |  |  | 0 |  |  |  | 0 |  |  |  | 117 |  |  |  |  |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 117 |  |  |  | 0 |  |  |  | 117 |
RYL |  |  | 13 |  |  |  | 0 |  |  |  | 0 |  |  |  | 13 |  |  |  |  |  |  |  | (9 | ) |  |  | 0 |  |  |  | 0 |  |  |  | (9 | ) |  |  | 4 |  |  |  | 0 |  |  |  | 4 |
SCX |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  |  |  |  |  | (6,826 | ) |  |  | 0 |  |  |  | 0 |  |  |  | (6,826 | ) |  |  | (6,826 | ) |  |  | 4,390 |  |  |  | (2,436 | )
TOR |  |  | 23 |  |  |  | 0 |  |  |  | 0 |  |  |  | 23 |  |  |  |  |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 23 |  |  |  | 0 |  |  |  | 23 |
UAG |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  |  |  |  |  | (1,856 | ) |  |  | 0 |  |  |  | 0 |  |  |  | (1,856 | ) |  |  | (1,856 | ) |  |  | 1,679 |  |  |  | (177 | )
Total Over the Counter |  | $ | 4,161 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 4,161 |  |  |  |  |  |  | $ | (15,383 | ) |  | $ | 0 |  |  | $ | (265 | ) |  | $ | (15,648 | ) |  |  |  |  |  |  |  |  |  |  |  |

(p) | Securities with an aggregate market value of $9,890 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2019.

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

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

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

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

See Accompanying Notes |  | SEMIANNUAL REPORT |  | DECEMBER 31, 2019 |  | 93

Consolidated Schedule of Investments PIMCO Dynamic Credit and Mortgage 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 Risks, in the Notes to Financial Statements on risks of the Fund.

Fair Values of Financial Derivative Instruments on the Consolidated Statements of Assets and Liabilities as of December 31, 2019:

|  | 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 |  |  | $ | 4 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 4,890 |  |  | $ | 4,894 |
Over the counter |
Forward Foreign Currency Contracts |  | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 4,161 |  |  | $ | 0 |  |  | $ | 4,161 |
|  | $ | 0 |  |  | $ | 4 |  |  | $ | 0 |  |  | $ | 4,161 |  |  | $ | 4,890 |  |  | $ | 9,055 |
Financial Derivative Instruments - Liabilities |
Exchange-traded or centrally cleared |
Swap Agreements |  | $ | 0 |  |  | $ | 256 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 2,443 |  |  | $ | 2,699 |
Over the counter |
Forward Foreign Currency Contracts |  | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 15,383 |  |  | $ | 0 |  |  | $ | 15,383 |
Swap Agreements |  |  | 0 |  |  |  | 265 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 265 |
|  | $ | 0 |  |  | $ | 265 |  |  | $ | 0 |  |  | $ | 15,383 |  |  | $ | 0 |  |  | $ | 15,648 |
|  | $ | 0 |  |  | $ | 521 |  |  | $ | 0 |  |  | $ | 15,383 |  |  | $ | 2,443 |  |  | $ | 18,347 |

The effect of Financial Derivative Instruments on the Consolidated Statements of Operations for the period ended December 31, 2019:

|  | Derivatives not accounted for as hedging instruments |
|  | Commodity Contracts |  |  | Credit Contracts |  |  | Equity Contracts |  |  | Foreign Exchange Contracts |  |  | Interest Rate Contracts |  |  | Total |
Net Realized Gain (Loss) on Financial Derivative Instruments |
Exchange-traded or centrally cleared |
Swap Agreements |  | $ | 0 |  |  | $ | 1,577 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | (64,557 | ) |  | $ | (62,980 | )
Over the counter |
Forward Foreign Currency Contracts |  | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 5,715 |  |  | $ | 0 |  |  | $ | 5,715 |
Swap Agreements |  |  | 0 |  |  |  | 560 |  |  |  | 0 |  |  |  | 0 |  |  |  | 56 |  |  |  | 616 |
|  | $ | 0 |  |  | $ | 560 |  |  | $ | 0 |  |  | $ | 5,715 |  |  | $ | 56 |  |  | $ | 6,331 |
|  | $ | 0 |  |  | $ | 2,137 |  |  | $ | 0 |  |  | $ | 5,715 |  |  | $ | (64,501 | ) |  | $ | (56,649 | )
Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative Instruments |
Exchange-traded or centrally cleared |
Swap Agreements |  | $ | 0 |  |  | $ | (6,550 | ) |  | $ | 0 |  |  | $ | 0 |  |  | $ | 47,008 |  |  | $ | 40,458 |
Over the counter |
Forward Foreign Currency Contracts |  | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | (6,259 | ) |  | $ | 0 |  |  | $ | (6,259 | )
Swap Agreements |  |  | 0 |  |  |  | (262 | ) |  |  | 0 |  |  |  | 0 |  |  |  | (35 | ) |  |  | (297 | )
|  | $ | 0 |  |  | $ | (262 | ) |  | $ | 0 |  |  | $ | (6,259 | ) |  | $ | (35 | ) |  | $ | (6,556 | )
|  | $ | 0 |  |  | $ | (6,812 | ) |  | $ | 0 |  |  | $ | (6,259 | ) |  | $ | 46,973 |  |  | $ | 33,902 |

FAIR VALUE MEASUREMENTS

The following is a summary of the fair valuations according to the inputs used as of December 31, 2019 in valuing the Fund’s assets and liabilities:

Category and Subcategory |  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Fair Value at 12/31/2019 |
Investments in Securities, at Value |
Loan Participations and Assignments |  | $ | 0 |  |  | $ | 482,915 |  |  | $ | 92,478 |  |  | $ | 575,393 |
Corporate Bonds & Notes |
Banking & Finance |  |  | 0 |  |  |  | 492,768 |  |  |  | 33,228 |  |  |  | 525,996 |
Industrials |  |  | 0 |  |  |  | 576,193 |  |  |  | 7,251 |  |  |  | 583,444 |
Utilities |  |  | 0 |  |  |  | 198,584 |  |  |  | 0 |  |  |  | 198,584 |
Convertible Bonds & Notes |
Industrials |  |  | 0 |  |  |  | 5,686 |  |  |  | 0 |  |  |  | 5,686 |
Utilities |  |  | 0 |  |  |  | 35 |  |  |  | 0 |  |  |  | 35 |

Category and Subcategory |  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Fair Value at 12/31/2019 |
Municipal Bonds & Notes |
Illinois |  | $ | 0 |  |  | $ | 2,414 |  |  | $ | 0 |  |  | $ | 2,414 |
Iowa |  |  | 0 |  |  |  | 1,106 |  |  |  | 0 |  |  |  | 1,106 |
New Jersey |  |  | 0 |  |  |  | 0 |  |  |  | 6,104 |  |  |  | 6,104 |
Texas |  |  | 0 |  |  |  | 101 |  |  |  | 0 |  |  |  | 101 |
Virginia |  |  | 0 |  |  |  | 92 |  |  |  | 0 |  |  |  | 92 |
West Virginia |  |  | 0 |  |  |  | 24,190 |  |  |  | 0 |  |  |  | 24,190 |
U.S. Government Agencies |  |  | 0 |  |  |  | 136,303 |  |  |  | 0 |  |  |  | 136,303 |

94 |  | PIMCO CLOSED-END FUNDS |  |  |  |  | See Accompanying Notes |

December 31, 2019 (Unaudited)

Category and Subcategory |  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Fair Value at 12/31/2019 |
Non-Agency Mortgage-Backed Securities |  | $ | 0 |  |  | $ | 1,303,796 |  |  | $ | 0 |  |  | $ | 1,303,796 |
Asset-Backed Securities |  |  | 0 |  |  |  | 1,729,701 |  |  |  | 67,625 |  |  |  | 1,797,326 |
Sovereign Issues |  |  | 0 |  |  |  | 152,567 |  |  |  | 0 |  |  |  | 152,567 |
Common Stocks |
Communication Services |  |  | 11,367 |  |  |  | 34 |  |  |  | 0 |  |  |  | 11,401 |
Consumer Discretionary |  |  | 30,221 |  |  |  | 0 |  |  |  | 0 |  |  |  | 30,221 |
Energy |  |  | 922 |  |  |  | 0 |  |  |  | 1,916 |  |  |  | 2,838 |
Industrials |  |  | 0 |  |  |  | 0 |  |  |  | 3,607 |  |  |  | 3,607 |
Utilities |  |  | 1,503 |  |  |  | 0 |  |  |  | 10,207 |  |  |  | 11,710 |
Warrants |
Communication Services |  |  | 0 |  |  |  | 18,254 |  |  |  | 0 |  |  |  | 18,254 |
Industrials |  |  | 0 |  |  |  | 0 |  |  |  | 5,483 |  |  |  | 5,483 |
Preferred Securities |
Banking & Finance |  |  | 0 |  |  |  | 74,968 |  |  |  | 0 |  |  |  | 74,968 |
Industrials |  |  | 0 |  |  |  | 1,433 |  |  |  | 68,362 |  |  |  | 69,795 |
Real Estate Investment Trusts |
Real Estate |  |  | 65,731 |  |  |  | 0 |  |  |  | 0 |  |  |  | 65,731 |
Short-Term Instruments |
Repurchase Agreements |  |  | 0 |  |  |  | 126,734 |  |  |  | 0 |  |  |  | 126,734 |
Argentina Treasury Bills |  |  | 0 |  |  |  | 3,253 |  |  |  | 2,047 |  |  |  | 5,300 |
U.S. Treasury Bills |  |  | 0 |  |  |  | 36,014 |  |  |  | 0 |  |  |  | 36,014 |
|  | $ | 109,744 |  |  | $ | 5,367,141 |  |  | $ | 298,308 |  |  | $ | 5,775,193 |

Category and Subcategory |  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Fair Value at 12/31/2019 |
Investments in Affiliates, at Value |
Mutual Funds |  | $ | 0 |  |  | $ | 0 |  |  | $ | 5,707 |  |  | $ | 5,707 |
Total Investments |  | $ | 109,744 |  |  | $ | 5,367,141 |  |  | $ | 304,015 |  |  | $ | 5,780,900 |
Financial Derivative Instruments - Assets |
Exchange-traded or centrally cleared |  |  | 0 |  |  |  | 4,894 |  |  |  | 0 |  |  |  | 4,894 |
Over the counter |  |  | 0 |  |  |  | 4,161 |  |  |  | 0 |  |  |  | 4,161 |
|  | $ | 0 |  |  | $ | 9,055 |  |  | $ | 0 |  |  | $ | 9,055 |
Financial Derivative Instruments - Liabilities |
Exchange-traded or centrally cleared |  |  | 0 |  |  |  | (2,699 | ) |  |  | 0 |  |  |  | (2,699 | )
Over the counter |  |  | 0 |  |  |  | (15,648 | ) |  |  | 0 |  |  |  | (15,648 | )
|  | $ | 0 |  |  | $ | (18,347 | ) |  | $ | 0 |  |  | $ | (18,347 | )
Total Financial Derivative Instruments |  | $ | 0 |  |  | $ | (9,292 | ) |  | $ | 0 |  |  | $ | (9,292 | )
Totals |  | $ | 109,744 |  |  | $ | 5,357,849 |  |  | $ | 304,015 |  |  | $ | 5,771,608 |

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended December 31, 2019:

Category and Subcategory |  | Beginning Balance at 06/30/2019 |  |  | Net Purchases |  |  | Net Sales/Settlements |  |  | Accrued Discounts/ (Premiums) |  |  | Realized Gain/(Loss) |  |  | Net Change in Unrealized Appreciation/ (Depreciation)(1) |  |  | Transfers into Level 3 |  |  | Transfers out of Level 3 |  |  | Ending Balance at 12/31/2019 |  |  | Net Change in Unrealized Appreciation/ (Depreciation) on Investments Held at 12/31/2019(1) |
Investments in Securities, at Value |
Loan Participations and Assignments |  | $ | 85,100 |  |  | $ | 58,552 |  |  | $ | (3,501 | ) |  | $ | (159 | ) |  | $ | (4 | ) |  | $ | (1,335 | ) |  | $ | 0 |  |  | $ | (46,175 | ) |  | $ | 92,478 |  |  | $ | 1,189 |
Corporate Bonds & Notes |
Banking & Finance |  |  | 32,866 |  |  |  | 0 |  |  |  | (538 | ) |  |  | (39 | ) |  |  | (6 | ) |  |  | 945 |  |  |  | 0 |  |  |  | 0 |  |  |  | 33,228 |  |  |  | 937 |
Industrials |  |  | 3,578 |  |  |  | 4,674 |  |  |  | (240 | ) |  |  | 27 |  |  |  | 0 |  |  |  | (788 | ) |  |  | 0 |  |  |  | 0 |  |  |  | 7,251 |  |  |  | (779 | )
Municipal Bonds & Notes |
New Jersey |  |  | 6,138 |  |  |  | 0 |  |  |  | (50 | ) |  |  | (2 | ) |  |  | 0 |  |  |  | 18 |  |  |  | 0 |  |  |  | 0 |  |  |  | 6,104 |  |  |  | 18 |
Non-Agency Mortgage-Backed Securities |  |  | 0 |  |  |  | 0 |  |  |  | (8 | ) |  |  | 0 |  |  |  | 8 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |
Asset-Backed Securities |  |  | 65,981 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | (6,152 | ) |  |  | 7,796 |  |  |  | 0 |  |  |  | 67,625 |  |  |  | (6,152 | )
Common Stocks |
Energy |  |  | 3,307 |  |  |  | 632 |  |  |  | (825 | ) |  |  | 0 |  |  |  | (42 | ) |  |  | (272 | ) |  |  | 0 |  |  |  | (884 | ) |  |  | 1,916 |  |  |  | 1,205 |
Industrials |  |  | 3,486 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 121 |  |  |  | 0 |  |  |  | 0 |  |  |  | 3,607 |  |  |  | 121 |
Utilities |  |  | 11,207 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | (1,000 | ) |  |  | 0 |  |  |  | 0 |  |  |  | 10,207 |  |  |  | (1,000 | )
Warrants |
Industrials |  |  | 2,982 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 2,501 |  |  |  | 0 |  |  |  | 0 |  |  |  | 5,483 |  |  |  | 2,501 |
Preferred Securities |
Industrials |  |  | 59,379 |  |  |  | 3,559 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 5,424 |  |  |  | 0 |  |  |  | 0 |  |  |  | 68,362 |  |  |  | 5,424 |
Short-Term Instruments |
Argentina Treasury Bills |  |  | 0 |  |  |  | 1,848 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 199 |  |  |  | 0 |  |  |  | 0 |  |  |  | 2,047 |  |  |  | 199 |
Totals |  | $ | 274,024 |  |  | $ | 69,265 |  |  | $ | (5,162 | ) |  | $ | (173 | ) |  | $ | (44 | ) |  | $ | (339 | ) |  | $ | 7,796 |  |  | $ | (47,059 | ) |  | $ | 298,308 |  |  | $ | 3,663 |
Investments in Affiliates, at Value |
Mutual Funds |  |  | 8,561 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | (2,854 | ) |  |  | 0 |  |  |  | 0 |  |  |  | 5,707 |  |  |  | (2,854 | )
Totals |  | $ | 282,585 |  |  | $ | 69,265 |  |  | $ | (5,162 | ) |  | $ | (173 | ) |  | $ | (44 | ) |  | $ | (3,193 | ) |  | $ | 7,796 |  |  | $ | (47,059 | ) |  | $ | 304,015 |  |  | $ | 809 |

See Accompanying Notes |  | SEMIANNUAL REPORT |  | DECEMBER 31, 2019 |  | 95

Consolidated Schedule of Investments PIMCO Dynamic Credit and Mortgage Income Fund (Cont.)

December 31, 2019 (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 12/31/2019 |  |  | Valuation Technique |  | Unobservable Inputs |  | (% Unless Noted Otherwise) |
| Input Value(s) |  |  | Weighted Average |
Investments in Securities, at Value |
Loan Participations and Assignments |  | $ | 31,697 |  |  | Discounted Cash Flow |  | Discount Rate |  |  | 6.940 |  |  |  | — |
|  |  | 22,378 |  |  | Indicative Market Quotation |  | Broker Quote |  |  | 99.750 |  |  |  | — |
|  |  | 1,486 |  |  | Other Valuation Techniques(2) |  | — |  |  | — |  |  |  | — |
|  |  | 31,220 |  |  | Proxy Pricing |  | Base Price |  |  | 88.898-93.750 |  |  |  | 93.620 |
|  |  | 5,697 |  |  | Third Party Vendor |  | Broker Quote |  |  | 99.250-101.000 |  |  |  | 100.923 |
Corporate Bonds & Notes |
Banking & Finance |  |  | 8,398 |  |  | Proxy Pricing |  | Base Price |  |  | 100.354 |  |  |  | — |
|  |  | 24,830 |  |  | Reference Instrument |  | Option Adjusted Spread |  |  | 584.983 bps |  |  |  | — |
Industrials |  |  | 216 |  |  | Other Valuation Techniques(2) |  | — |  |  | — |  |  |  | — |
|  |  | 3,415 |  |  | Proxy Pricing |  | Base Price |  |  | 106.410 |  |  |  | — |
|  |  | 3,620 |  |  | Reference Instrument |  | Broker Quote |  |  | 101.520 |  |  |  | — |
Municipal Bonds & Notes |
New Jersey |  |  | 6,104 |  |  | Proxy Pricing |  | Base Price |  |  | 99.755 |  |  |  | — |
Asset-Backed Securities |  |  | 67,625 |  |  | Proxy Pricing |  | Base Price |  |  | 78.300-100,205.254 |  |  |  | 60,138.427 |
Common Stocks |
Energy |  |  | 1,916 |  |  | Other Valuation Techniques(2) |  | — |  |  | — |  |  |  | — |
Industrials |  |  | 3,607 |  |  | Indicative Market Quotation |  | Broker Quote |  | $ | 15.000 |  |  |  | — |
Utilities |  |  | 10,207 |  |  | Indicative Market Quotation |  | Broker Quote |  | $ | 35.750 |  |  |  | — |
Warrants |
Industrials |  |  | 5,483 |  |  | Other Valuation Techniques(2) |  | — |  |  | — |  |  |  | — |
Preferred Securities |
Industrials |  |  | 68,362 |  |  | Fundamental Valuation |  | Company Equity Value |  | $ | 934,387,328.532 |  |  |  | — |
Short-Term Instruments |
Argentina Treasury Bills |  |  | 2,047 |  |  | Proxy Pricing |  | Base Price |  |  | 100.000 |  |  |  | — |
Total |  | $ | 298,308 |  |  |  |  |  |  |  |  |  |  |  |  |
Investments in Affiliates, at Value |
Common Stocks |
Industrials |  |  | 5,707 |  |  | Other Valuation Techniques(2) |  | — |  |  | — |  |  |  | — |
Total |  | $ | 304,015 |  |  |  |  |  |  |  |  |  |  |  |  |

(1) | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at December 31, 2019 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.

96 |  | PIMCO CLOSED-END FUNDS |  |  |  |  | See Accompanying Notes |

Consolidated Schedule of Investments PIMCO Dynamic Income Fund

December 31, 2019 (Unaudited)

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

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
INVESTMENTS IN SECURITIES 165.9% |
LOAN PARTICIPATIONS AND ASSIGNMENTS 18.8% |
Advanz Pharma Corp. |
7.447% (LIBOR03M + 5.500%) due 09/06/2024 ~ |  | $ |  |  | 12,520 |  |  | $ |  |  | 11,730 |
Alphabet Holding Co., Inc. |
5.299% (LIBOR03M + 3.500%) due 09/26/2024 ~ |  |  |  |  | 293 |  |  |  |  |  | 283 |
Altice France S.A. |
5.740% (LIBOR03M + 4.000%) due 08/14/2026 ~ |  |  |  |  | 693 |  |  |  |  |  | 697 |
Ancestry.com Operations, Inc. |
5.550% (LIBOR03M + 3.750%) due 10/19/2023 ~ |  |  |  |  | 100 |  |  |  |  |  | 99 |
6.050% (LIBOR03M + 4.250%) due 08/27/2026 ~ |  |  |  |  | 199 |  |  |  |  |  | 196 |
Chesapeake Energy Corp. |
TBD% due 06/09/2024 |  |  |  |  | 303 |  |  |  |  |  | 313 |
Clay Holdco BV |
TBD% due 11/30/2025 « |  | EUR |  |  | 14,300 |  |  |  |  |  | 15,033 |
TBD% due 11/06/2026 « |  |  |  |  | 100 |  |  |  |  |  | 107 |
Diamond Resorts Corp. |
5.549% (LIBOR03M + 3.750%) due 09/02/2023 ~ |  | $ |  |  | 7,565 |  |  |  |  |  | 7,409 |
DTEK Holdings Ltd. |
TBD% due 06/30/2023 « |  | EUR |  |  | 3,263 |  |  |  |  |  | 3,268 |
Dubai World (2.000% Cash and 1.750% PIK) |
3.750% (LIBOR03M + 2.000%) due 09/30/2022 ~(c) |  | $ |  |  | 29,249 |  |  |  |  |  | 27,311 |
Emerald TopCo, Inc. |
5.299% (LIBOR03M + 3.500%) due 07/24/2026 ~ |  |  |  |  | 98 |  |  |  |  |  | 98 |
Envision Healthcare Corp. |
5.549% (LIBOR03M + 3.750%) due 10/10/2025 ~ |  |  |  |  | 35,102 |  |  |  |  |  | 30,071 |
Financial & Risk U.S. Holdings, Inc. |
5.049% (LIBOR03M + 3.250%) due 10/01/2025 ~ |  |  |  |  | 2,852 |  |  |  |  |  | 2,880 |
Fleet U.S. Bidco, Inc. |
5.235% (LIBOR03M + 3.250%) due 10/07/2026 «~ |  |  |  |  | 40 |  |  |  |  |  | 40 |
Frontier Communications Corp. |
5.550% (LIBOR03M + 3.750%) due 06/15/2024 ~ |  |  |  |  | 2,737 |  |  |  |  |  | 2,757 |
iHeartCommunications, Inc. |
5.691% (LIBOR03M + 4.000%) due 05/01/2026 ~ |  |  |  |  | 9,831 |  |  |  |  |  | 9,938 |
Intelsat Jackson Holdings S.A. |
5.682% (LIBOR03M + 3.750%) due 11/27/2023 ~ |  |  |  |  | 300 |  |  |  |  |  | 301 |
Jefferies Finance LLC |
5.500% (LIBOR03M + 3.750%) due 06/03/2026 ~ |  |  |  |  | 62 |  |  |  |  |  | 62 |
McDermott Technology Americas, Inc. |
0.500% - 12.002% (LIBOR03M + 10.000%) due 10/21/2021 ~µ |  |  |  |  | 3,214 |  |  |  |  |  | 3,290 |
6.945% (LIBOR03M + 5.000%) due 05/09/2025 ~ |  |  |  |  | 5,577 |  |  |  |  |  | 3,281 |
Messer Industrie GmbH |
4.445% (LIBOR03M + 2.500%) due 03/01/2026 ~ |  |  |  |  | 207 |  |  |  |  |  | 208 |
MH Sub LLC |
5.549% (LIBOR03M + 3.750%) due 09/13/2024 ~ |  |  |  |  | 264 |  |  |  |  |  | 265 |
NCI Building Systems, Inc. |
5.486% (LIBOR03M + 3.750%) due 04/12/2025 ~ |  |  |  |  | 119 |  |  |  |  |  | 119 |
Neiman Marcus Group Ltd. LLC |
7.713% (LIBOR03M + 6.000%) due 10/25/2023 ~ |  |  |  |  | 30,014 |  |  |  |  |  | 24,716 |
Neiman Marcus Group Ltd. LLC (7.213% Cash and 1.000% PIK) |
8.213% (LIBOR03M + 5.500%) due 10/25/2023 ~(c) |  |  |  |  | 20,755 |  |  |  |  |  | 16,880 |

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
Ortho-Clinical Diagnostics S.A. |
5.306% (LIBOR03M + 3.250%) due 06/30/2025 ~ |  | $ |  |  | 1,383 |  |  | $ |  |  | 1,370 |
Pacific Gas & Electric Co. |
TBD% due 02/22/2049 ^«(d) |  |  |  |  | 1,882 |  |  |  |  |  | 1,868 |
Parexel International Corp. |
4.549% - 4.555% (LIBOR03M + 2.750%) due 09/27/2024 ~ |  |  |  |  | 88 |  |  |  |  |  | 87 |
PetSmart, Inc. |
5.740% (LIBOR03M + 4.000%) due 03/11/2022 ~ |  |  |  |  | 307 |  |  |  |  |  | 304 |
Preylock Reitman Santa Cruz Mezz LLC |
(0.005)% - 7.210% (LIBOR03M + 5.500%) due 11/09/2022 «~(k) |  |  | 5,540 |  |  |  |  |  | 5,564 |
Project Anfora Senior |
2.325% (EUR003M + 2.750%) due 10/01/2026 «~(k) |  | EUR |  |  | 20,000 |  |  |  |  |  | 22,378 |
Sequa Mezzanine Holdings LLC |
6.904% (LIBOR03M + 5.000%) due 11/28/2021 ~ |  | $ |  |  | 13,500 |  |  |  |  |  | 13,525 |
10.936% (LIBOR03M + 9.000%) due 04/28/2022 ~ |  |  |  |  | 32,252 |  |  |  |  |  | 31,809 |
Sotera Health Holdings LLC |
6.289% (LIBOR03M + 4.500%) due 12/11/2026 ~ |  |  |  |  | 309 |  |  |  |  |  | 310 |
Starfruit Finco BV |
4.960% (LIBOR03M + 3.250%) due 10/01/2025 ~ |  |  |  |  | 643 |  |  |  |  |  | 644 |
Summer (BC) Holdco B SARL |
TBD% due 10/15/2026 |  |  |  |  | 8,000 |  |  |  |  |  | 7,630 |
Sunshine Luxembourg SARL |
3.750% (EUR003M + 3.750%) due 10/01/2026 ~ |  | EUR |  |  | 1,000 |  |  |  |  |  | 1,132 |
6.195% (LIBOR03M + 4.250%) due 10/01/2026 ~ |  | $ |  |  | 675 |  |  |  |  |  | 682 |
Syniverse Holdings, Inc. |
6.846% (LIBOR03M + 5.000%) due 03/09/2023 ~ |  |  |  |  | 17,564 |  |  |  |  |  | 16,364 |
U.S. Renal Care, Inc. |
6.813% (LIBOR03M + 5.000%) due 06/26/2026 ~ |  |  |  |  | 1,115 |  |  |  |  |  | 1,109 |
Univision Communications, Inc. |
4.549% (LIBOR03M + 2.750%) due 03/15/2024 ~ |  |  |  |  | 8,980 |  |  |  |  |  | 8,882 |
West Corp. |
5.927% (LIBOR03M + 4.000%) due 10/10/2024 ~ |  |  |  |  | 70 |  |  |  |  |  | 60 |
Westmoreland Mining Holdings LLC |
10.150% (LIBOR03M + 8.250%) due 03/15/2022 «~ |  |  |  |  | 7 |  |  |  |  |  | 8 |
Westmoreland Mining Holdings LLC (15.000% PIK) |
15.000% due 03/15/2029 (c) |  |  |  |  | 23 |  |  |  |  |  | 19 |
Windstream Services LLC |
9.000% (PRIME + 4.250%) due 02/17/2024 ~ |  |  |  |  | 14,550 |  |  |  |  |  | 13,818 |
9.750% (PRIME + 5.000%) due 03/29/2021 ~ |  |  |  |  | 6,500 |  |  |  |  |  | 6,237 |
Total Loan Participations and Assignments (Cost $300,651) |  |  | 295,152 |
CORPORATE BONDS & NOTES 32.6% |
BANKING & FINANCE 14.0% |
Ally Financial, Inc. |
8.000% due 11/01/2031 |  |  |  |  | 10 |  |  |  |  |  | 14 |
Ambac Assurance Corp. |
5.100% due 06/07/2020 |  |  |  |  | 184 |  |  |  |  |  | 273 |
Ambac LSNI LLC |
6.945% due 02/12/2023 •(m) |  |  |  |  | 1,865 |  |  |  |  |  | 1,893 |
Ardonagh Midco PLC |
8.375% due 07/15/2023 (m) |  | GBP |  |  | 30,410 |  |  |  |  |  | 40,331 |
8.625% due 07/15/2023 (m) |  | $ |  |  | 400 |  |  |  |  |  | 397 |

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
Banco de Credito del Peru |
4.650% due 09/17/2024 |  | PEN |  |  | 2,000 |  |  | $ |  |  | 610 |
Barclays Bank PLC |
7.625% due 11/21/2022 (j)(m) |  | $ |  |  | 10,100 |  |  |  |  |  | 11,357 |
Barclays PLC |
3.250% due 01/17/2033 (m) |  | GBP |  |  | 400 |  |  |  |  |  | 558 |
5.875% due 09/15/2024 •(i)(j) |  |  |  |  | 400 |  |  |  |  |  | 554 |
7.125% due 06/15/2025 •(i)(j)(m) |  |  |  |  | 4,600 |  |  |  |  |  | 6,900 |
7.250% due 03/15/2023 •(i)(j)(m) |  |  |  |  | 3,200 |  |  |  |  |  | 4,632 |
7.875% due 09/15/2022 •(i)(j)(m) |  |  |  |  | 1,400 |  |  |  |  |  | 2,062 |
8.000% due 06/15/2024 •(i)(j)(m) |  | $ |  |  | 1,400 |  |  |  |  |  | 1,567 |
CBL & Associates LP |
4.600% due 10/15/2024 |  |  |  |  | 6 |  |  |  |  |  | 4 |
5.250% due 12/01/2023 |  |  |  |  | 313 |  |  |  |  |  | 220 |
5.950% due 12/15/2026 (m) |  |  |  |  | 1,551 |  |  |  |  |  | 934 |
Credit Suisse Group AG |
7.250% due 09/12/2025 •(i)(j)(m) |  |  |  |  | 400 |  |  |  |  |  | 447 |
7.500% due 07/17/2023 •(i)(j)(m) |  |  |  |  | 800 |  |  |  |  |  | 876 |
Deutsche Bank AG |
3.961% due 11/26/2025 • |  |  |  |  | 3,100 |  |  |  |  |  | 3,168 |
Emerald Bay S.A. |
0.000% due 10/08/2020 (g) |  | EUR |  |  | 63 |  |  |  |  |  | 69 |
ESH Hospitality, Inc. |
4.625% due 10/01/2027 (m) |  | $ |  |  | 286 |  |  |  |  |  | 290 |
Fortress Transportation & Infrastructure Investors LLC |
6.500% due 10/01/2025 (m) |  |  |  |  | 1,013 |  |  |  |  |  | 1,072 |
GE Capital International Funding Co. Unlimited Co. |
4.418% due 11/15/2035 (m) |  |  |  |  | 340 |  |  |  |  |  | 363 |
Growthpoint Properties International Pty. Ltd. |
5.872% due 05/02/2023 |  |  |  |  | 300 |  |  |  |  |  | 323 |
HSBC Bank PLC |
6.330% due 05/23/2023 |  |  |  |  | 24,300 |  |  |  |  |  | 25,617 |
HSBC Holdings PLC |
5.875% due 09/28/2026 •(i)(j)(m) |  | GBP |  |  | 1,000 |  |  |  |  |  | 1,460 |
6.000% due 09/29/2023 •(i)(j) |  | EUR |  |  | 200 |  |  |  |  |  | 259 |
6.500% due 03/23/2028 •(i)(j)(m) |  | $ |  |  | 1,220 |  |  |  |  |  | 1,343 |
Hunt Cos., Inc. |
6.250% due 02/15/2026 |  |  |  |  | 60 |  |  |  |  |  | 59 |
ING Groep NV |
5.750% due 11/16/2026 •(i)(j)(m) |  |  |  |  | 800 |  |  |  |  |  | 843 |
Lloyds Banking Group PLC |
5.125% due 12/27/2024 •(i)(j) |  | GBP |  |  | 900 |  |  |  |  |  | 1,239 |
7.500% due 09/27/2025 •(i)(j)(m) |  | $ |  |  | 1,500 |  |  |  |  |  | 1,683 |
7.625% due 06/27/2023 •(i)(j)(m) |  | GBP |  |  | 1,700 |  |  |  |  |  | 2,531 |
7.875% due 06/27/2029 •(i)(j)(m) |  |  |  |  | 14,473 |  |  |  |  |  | 24,252 |
LoanCore Capital Markets LLC |
6.875% due 06/01/2020 (m) |  | $ |  |  | 3,800 |  |  |  |  |  | 3,802 |
Nationstar Mortgage LLC |
6.500% due 07/01/2021 (m) |  |  |  |  | 1,606 |  |  |  |  |  | 1,615 |
Oppenheimer Holdings, Inc. |
6.750% due 07/01/2022 (m) |  |  |  |  | 1,348 |  |  |  |  |  | 1,395 |
Pinnacol Assurance |
8.625% due 06/25/2034 «(k) |  |  |  |  | 10,200 |  |  |  |  |  | 10,917 |
Preferred Term Securities Ltd. |
2.274% (US0003M + 0.380%) due 09/23/2035 ~ |  |  |  |  | 303 |  |  |  |  |  | 294 |
Royal Bank of Scotland Group PLC |
8.000% due 08/10/2025 •(i)(j)(m) |  |  |  |  | 5,775 |  |  |  |  |  | 6,659 |
Santander UK Group Holdings PLC |
6.750% due 06/24/2024 •(i)(j)(m) |  | GBP |  |  | 9,200 |  |  |  |  |  | 13,447 |
7.375% due 06/24/2022 •(i)(j)(m) |  |  |  |  | 8,635 |  |  |  |  |  | 12,494 |
Societe Generale S.A. |
6.750% due 04/06/2028 •(i)(j)(m) |  | $ |  |  | 400 |  |  |  |  |  | 442 |
7.375% due 10/04/2023 •(i)(j)(m) |  |  |  |  | 1,600 |  |  |  |  |  | 1,749 |
Springleaf Finance Corp. |
5.375% due 11/15/2029 |  |  |  |  | 104 |  |  |  |  |  | 109 |
6.875% due 03/15/2025 |  |  |  |  | 269 |  |  |  |  |  | 307 |
Tesco Property Finance PLC |
6.052% due 10/13/2039 (m) |  | GBP |  |  | 3,023 |  |  |  |  |  | 5,250 |
Toll Road Investors Partnership LP |
0.000% due 02/15/2045 (g) |  | $ |  |  | 6,426 |  |  |  |  |  | 1,682 |
TP ICAP PLC |
5.250% due 01/26/2024 (m) |  | GBP |  |  | 6,198 |  |  |  |  |  | 9,029 |

See Accompanying Notes |  | SEMIANNUAL REPORT |  | DECEMBER 31, 2019 |  | 97

Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.)

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
Unique Pub Finance Co. PLC |
5.659% due 06/30/2027 |  | GBP |  |  | 1,529 |  |  | $ |  |  | 2,332 |
Voyager Aviation Holdings LLC |
8.500% due 08/15/2021 (m) |  | $ |  |  | 9,207 |  |  |  |  |  | 9,459 |
|  |  |  |  |  |  |  |  |  |  | 219,182 |
INDUSTRIALS 13.8% |
Altice Financing S.A. |
7.500% due 05/15/2026 (m) |  |  |  |  | 6,360 |  |  |  |  |  | 6,849 |
Altice France S.A. |
5.875% due 02/01/2027 (m) |  | EUR |  |  | 400 |  |  |  |  |  | 506 |
7.375% due 05/01/2026 (m) |  | $ |  |  | 300 |  |  |  |  |  | 323 |
8.125% due 02/01/2027 (m) |  |  |  |  | 3,000 |  |  |  |  |  | 3,384 |
Associated Materials LLC |
9.000% due 01/01/2024 (m) |  |  |  |  | 16,400 |  |  |  |  |  | 14,432 |
B.C. Unlimited Liability Co. |
4.375% due 01/15/2028 |  |  |  |  | 200 |  |  |  |  |  | 201 |
Baffinland Iron Mines Corp. |
8.750% due 07/15/2026 (m) |  |  |  |  | 3,600 |  |  |  |  |  | 3,634 |
Bausch Health Cos., Inc. |
5.000% due 01/30/2028 |  |  |  |  | 178 |  |  |  |  |  | 183 |
5.250% due 01/30/2030 |  |  |  |  | 150 |  |  |  |  |  | 156 |
BCPE Cycle Merger Sub, Inc. |
10.625% due 07/15/2027 |  |  |  |  | 196 |  |  |  |  |  | 201 |
Bioceanico Sovereign Certificate Ltd. |
0.000% due 06/05/2034 (g) |  |  |  |  | 250 |  |  |  |  |  | 175 |
Bombardier, Inc. |
6.125% due 01/15/2023 (m) |  |  |  |  | 2,668 |  |  |  |  |  | 2,742 |
7.500% due 12/01/2024 (m) |  |  |  |  | 3,926 |  |  |  |  |  | 4,133 |
7.500% due 03/15/2025 (m) |  |  |  |  | 1,929 |  |  |  |  |  | 1,994 |
7.875% due 04/15/2027 (m) |  |  |  |  | 6,382 |  |  |  |  |  | 6,582 |
Buffalo Thunder Development Authority |
0.000% due 11/15/2029 «(k) |  |  |  |  | 2,483 |  |  |  |  |  | 2 |
11.000% due 12/09/2022 ^(d) |  |  |  |  | 5,598 |  |  |  |  |  | 2,855 |
Camelot Finance S.A. |
4.500% due 11/01/2026 |  |  |  |  | 17 |  |  |  |  |  | 18 |
CCO Holdings LLC |
4.750% due 03/01/2030 |  |  |  |  | 438 |  |  |  |  |  | 448 |
Centene Corp. |
4.250% due 12/15/2027 |  |  |  |  | 259 |  |  |  |  |  | 267 |
4.625% due 12/15/2029 |  |  |  |  | 466 |  |  |  |  |  | 492 |
4.750% due 01/15/2025 |  |  |  |  | 435 |  |  |  |  |  | 453 |
Charter Communications Operating LLC |
4.800% due 03/01/2050 |  |  |  |  | 543 |  |  |  |  |  | 572 |
Clear Channel Worldwide Holdings, Inc. |
9.250% due 02/15/2024 (m) |  |  |  |  | 4,338 |  |  |  |  |  | 4,813 |
Community Health Systems, Inc. |
6.250% due 03/31/2023 (m) |  |  |  |  | 23,716 |  |  |  |  |  | 24,131 |
8.000% due 03/15/2026 (m) |  |  |  |  | 1,328 |  |  |  |  |  | 1,370 |
8.625% due 01/15/2024 (m) |  |  |  |  | 2,604 |  |  |  |  |  | 2,767 |
Connect Finco SARL |
6.750% due 10/01/2026 |  |  |  |  | 144 |  |  |  |  |  | 154 |
Corning, Inc. |
5.450% due 11/15/2079 |  |  |  |  | 186 |  |  |  |  |  | 204 |
Diamond Resorts International, Inc. |
7.750% due 09/01/2023 (m) |  |  |  |  | 466 |  |  |  |  |  | 480 |
10.750% due 09/01/2024 (m) |  |  |  |  | 5,500 |  |  |  |  |  | 5,777 |
DISH DBS Corp. |
5.875% due 07/15/2022 |  |  |  |  | 14 |  |  |  |  |  | 15 |
Eagle Holding Co. LLC (7.750% Cash or 8.500% PIK) |
7.750% due 05/15/2022 (c) |  |  |  |  | 50 |  |  |  |  |  | 51 |
Eldorado Resorts, Inc. |
6.000% due 09/15/2026 (m) |  |  |  |  | 5,500 |  |  |  |  |  | 6,067 |
Envision Healthcare Corp. |
8.750% due 10/15/2026 (m) |  |  |  |  | 5,765 |  |  |  |  |  | 3,591 |
Exela Intermediate LLC |
10.000% due 07/15/2023 |  |  |  |  | 267 |  |  |  |  |  | 107 |
Fair Isaac Corp. |
4.000% due 06/15/2028 |  |  |  |  | 18 |  |  |  |  |  | 18 |
First Quantum Minerals Ltd. |
6.500% due 03/01/2024 (m) |  |  |  |  | 3,902 |  |  |  |  |  | 3,920 |
6.875% due 03/01/2026 (m) |  |  |  |  | 4,282 |  |  |  |  |  | 4,343 |

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
Fresh Market, Inc. |
9.750% due 05/01/2023 (m) |  | $ |  |  | 8,520 |  |  | $ |  |  | 4,345 |
Frontier Finance PLC |
8.000% due 03/23/2022 |  | GBP |  |  | 10,500 |  |  |  |  |  | 14,304 |
Full House Resorts, Inc. |
8.575% due 01/31/2024 |  | $ |  |  | 784 |  |  |  |  |  | 772 |
9.738% due 02/02/2024 |  |  |  |  | 67 |  |  |  |  |  | 66 |
General Electric Co. |
5.875% due 01/14/2038 |  |  |  |  | 46 |  |  |  |  |  | 56 |
6.150% due 08/07/2037 (m) |  |  |  |  | 235 |  |  |  |  |  | 291 |
iHeartCommunications, Inc. |
6.375% due 05/01/2026 (m) |  |  |  |  | 3,168 |  |  |  |  |  | 3,443 |
8.375% due 05/01/2027 (m) |  |  |  |  | 4,604 |  |  |  |  |  | 5,096 |
IHO Verwaltungs GmbH (3.625% Cash or 4.375% PIK) |
3.625% due 05/15/2025 (c) |  | EUR |  |  | 690 |  |  |  |  |  | 813 |
IHO Verwaltungs GmbH (3.875% Cash or 4.625% PIK) |
3.875% due 05/15/2027 (c) |  |  |  |  | 300 |  |  |  |  |  | 357 |
IHO Verwaltungs GmbH (6.000% Cash or 6.750% PIK) |
6.000% due 05/15/2027 (c)(m) |  | $ |  |  | 1,071 |  |  |  |  |  | 1,138 |
IHO Verwaltungs GmbH (6.375% Cash or 7.125% PIK) |
6.375% due 05/15/2029 (c)(m) |  |  |  |  | 944 |  |  |  |  |  | 1,017 |
Intelsat Connect Finance S.A. |
9.500% due 02/15/2023 (m) |  |  |  |  | 434 |  |  |  |  |  | 305 |
Intelsat Jackson Holdings S.A. |
5.500% due 08/01/2023 (m) |  |  |  |  | 1,500 |  |  |  |  |  | 1,292 |
8.000% due 02/15/2024 (m) |  |  |  |  | 295 |  |  |  |  |  | 303 |
8.500% due 10/15/2024 (m) |  |  |  |  | 3,387 |  |  |  |  |  | 3,092 |
9.750% due 07/15/2025 (m) |  |  |  |  | 1,411 |  |  |  |  |  | 1,308 |
Intelsat Luxembourg S.A. |
7.750% due 06/01/2021 ^(m) |  |  |  |  | 20,614 |  |  |  |  |  | 16,331 |
8.125% due 06/01/2023 (m) |  |  |  |  | 8,785 |  |  |  |  |  | 5,216 |
Mallinckrodt International Finance S.A. |
5.500% due 04/15/2025 |  |  |  |  | 318 |  |  |  |  |  | 114 |
Mattel, Inc. |
5.875% due 12/15/2027 |  |  |  |  | 143 |  |  |  |  |  | 151 |
Melco Resorts Finance Ltd. |
5.375% due 12/04/2029 |  |  |  |  | 300 |  |  |  |  |  | 308 |
MSCI, Inc. |
4.000% due 11/15/2029 |  |  |  |  | 62 |  |  |  |  |  | 63 |
NCL Corp. Ltd. |
3.625% due 12/15/2024 |  |  |  |  | 274 |  |  |  |  |  | 278 |
NCR Corp. |
5.750% due 09/01/2027 |  |  |  |  | 4 |  |  |  |  |  | 4 |
Netflix, Inc. |
3.625% due 06/15/2030 |  | EUR |  |  | 427 |  |  |  |  |  | 494 |
3.875% due 11/15/2029 (m) |  |  |  |  | 1,717 |  |  |  |  |  | 2,044 |
4.625% due 05/15/2029 |  |  |  |  | 700 |  |  |  |  |  | 878 |
4.875% due 06/15/2030 (m) |  | $ |  |  | 300 |  |  |  |  |  | 305 |
5.375% due 11/15/2029 |  |  |  |  | 150 |  |  |  |  |  | 160 |
Noble Holding International Ltd. |
7.875% due 02/01/2026 (m) |  |  |  |  | 769 |  |  |  |  |  | 560 |
Ortho-Clinical Diagnostics, Inc. |
6.625% due 05/15/2022 (m) |  |  |  |  | 1,147 |  |  |  |  |  | 1,143 |
Pacific Drilling SA |
8.375% due 10/01/2023 (m) |  |  |  |  | 813 |  |  |  |  |  | 744 |
Pan American Energy LLC |
42.636% (BADLARPP) due 11/20/2020 «~ |  | ARS |  |  | 132,530 |  |  |  |  |  | 1,752 |
Par Pharmaceutical, Inc. |
7.500% due 04/01/2027 (m) |  | $ |  |  | 316 |  |  |  |  |  | 315 |
Petroleos Mexicanos |
5.350% due 02/12/2028 (m) |  |  |  |  | 1,716 |  |  |  |  |  | 1,712 |
6.490% due 01/23/2027 |  |  |  |  | 200 |  |  |  |  |  | 213 |
6.500% due 03/13/2027 (m) |  |  |  |  | 3,176 |  |  |  |  |  | 3,381 |
6.750% due 09/21/2047 (m) |  |  |  |  | 120 |  |  |  |  |  | 121 |
6.840% due 01/23/2030 (m) |  |  |  |  | 600 |  |  |  |  |  | 641 |
7.690% due 01/23/2050 (m) |  |  |  |  | 330 |  |  |  |  |  | 361 |
PetSmart, Inc. |
5.875% due 06/01/2025 (m) |  |  |  |  | 203 |  |  |  |  |  | 207 |
Platin 1426 GmbH |
6.875% due 06/15/2023 (m) |  | EUR |  |  | 1,200 |  |  |  |  |  | 1,381 |
6.875% due 06/15/2023 |  |  |  |  | 940 |  |  |  |  |  | 1,082 |
QVC, Inc. |
5.950% due 03/15/2043 (m) |  | $ |  |  | 1,511 |  |  |  |  |  | 1,415 |

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
Radiate Holdco LLC |
6.875% due 02/15/2023 |  | $ |  |  | 48 |  |  | $ |  |  | 49 |
Refinitiv U.S. Holdings, Inc. |
4.500% due 05/15/2026 |  | EUR |  |  | 400 |  |  |  |  |  | 490 |
Scotts Miracle-Gro Co. |
4.500% due 10/15/2029 |  | $ |  |  | 17 |  |  |  |  |  | 17 |
Sealed Air Corp. |
4.000% due 12/01/2027 |  |  |  |  | 44 |  |  |  |  |  | 45 |
Select Medical Corp. |
6.250% due 08/15/2026 |  |  |  |  | 101 |  |  |  |  |  | 110 |
Sensata Technologies, Inc. |
4.375% due 02/15/2030 |  |  |  |  | 66 |  |  |  |  |  | 67 |
Silgan Holdings, Inc. |
4.125% due 02/01/2028 |  |  |  |  | 120 |  |  |  |  |  | 120 |
Staples, Inc. |
7.500% due 04/15/2026 |  |  |  |  | 38 |  |  |  |  |  | 39 |
Telesat Canada |
4.875% due 06/01/2027 |  |  |  |  | 75 |  |  |  |  |  | 77 |
6.500% due 10/15/2027 |  |  |  |  | 49 |  |  |  |  |  | 51 |
Tenet Healthcare Corp. |
4.625% due 09/01/2024 |  |  |  |  | 42 |  |  |  |  |  | 44 |
Teva Pharmaceutical Finance BV |
3.650% due 11/10/2021 |  |  |  |  | 170 |  |  |  |  |  | 167 |
Teva Pharmaceutical Finance Co. BV |
3.650% due 11/10/2021 |  |  |  |  | 19 |  |  |  |  |  | 19 |
Teva Pharmaceutical Finance Netherlands BV |
0.375% due 07/25/2020 |  | EUR |  |  | 487 |  |  |  |  |  | 545 |
2.200% due 07/21/2021 (m) |  | $ |  |  | 1,060 |  |  |  |  |  | 1,028 |
3.250% due 04/15/2022 (m) |  | EUR |  |  | 800 |  |  |  |  |  | 910 |
6.000% due 01/31/2025 |  |  |  |  | 200 |  |  |  |  |  | 238 |
7.125% due 01/31/2025 |  | $ |  |  | 200 |  |  |  |  |  | 206 |
Topaz Solar Farms LLC |
4.875% due 09/30/2039 (m) |  |  |  |  | 4,713 |  |  |  |  |  | 4,895 |
5.750% due 09/30/2039 (m) |  |  |  |  | 13,563 |  |  |  |  |  | 14,999 |
TransDigm, Inc. |
5.500% due 11/15/2027 |  |  |  |  | 250 |  |  |  |  |  | 253 |
Transocean Pontus Ltd. |
6.125% due 08/01/2025 |  |  |  |  | 358 |  |  |  |  |  | 368 |
Transocean, Inc. |
7.250% due 11/01/2025 |  |  |  |  | 243 |  |  |  |  |  | 239 |
7.500% due 01/15/2026 |  |  |  |  | 70 |  |  |  |  |  | 69 |
Trident TPI Holdings, Inc. |
9.250% due 08/01/2024 |  |  |  |  | 46 |  |  |  |  |  | 47 |
Triumph Group, Inc. |
5.250% due 06/01/2022 |  |  |  |  | 84 |  |  |  |  |  | 84 |
6.250% due 09/15/2024 |  |  |  |  | 134 |  |  |  |  |  | 141 |
Trivium Packaging Finance BV |
5.500% due 08/15/2026 (m) |  |  |  |  | 400 |  |  |  |  |  | 422 |
Twitter, Inc. |
3.875% due 12/15/2027 |  |  |  |  | 50 |  |  |  |  |  | 50 |
Unigel Luxembourg S.A. |
8.750% due 10/01/2026 (m) |  |  |  |  | 500 |  |  |  |  |  | 511 |
United Group BV |
4.375% due 07/01/2022 (m) |  | EUR |  |  | 200 |  |  |  |  |  | 229 |
4.875% due 07/01/2024 (m) |  |  |  |  | 200 |  |  |  |  |  | 235 |
Univision Communications, Inc. |
5.125% due 02/15/2025 (m) |  | $ |  |  | 1,747 |  |  |  |  |  | 1,732 |
Valaris PLC |
5.750% due 10/01/2044 |  |  |  |  | 321 |  |  |  |  |  | 146 |
7.750% due 02/01/2026 |  |  |  |  | 38 |  |  |  |  |  | 22 |
Vale Overseas Ltd. |
6.875% due 11/21/2036 (m) |  |  |  |  | 333 |  |  |  |  |  | 434 |
6.875% due 11/10/2039 |  |  |  |  | 110 |  |  |  |  |  | 144 |
ViaSat, Inc. |
5.625% due 04/15/2027 |  |  |  |  | 34 |  |  |  |  |  | 36 |
Wyndham Destinations, Inc. |
3.900% due 03/01/2023 (m) |  |  |  |  | 204 |  |  |  |  |  | 206 |
4.625% due 03/01/2030 |  |  |  |  | 62 |  |  |  |  |  | 62 |
5.400% due 04/01/2024 |  |  |  |  | 50 |  |  |  |  |  | 53 |
Wynn Macau Ltd. |
5.125% due 12/15/2029 |  |  |  |  | 200 |  |  |  |  |  | 205 |
|  |  |  |  |  |  |  |  |  |  | 217,586 |

98 |  | PIMCO CLOSED-END FUNDS |  |  |  |  | See Accompanying Notes |

December 31, 2019 (Unaudited)

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
UTILITIES 4.8% |
CenturyLink, Inc. |
5.125% due 12/15/2026 |  | $ |  |  | 18 |  |  | $ |  |  | 18 |
Edison International |
2.400% due 09/15/2022 |  |  |  |  | 379 |  |  |  |  |  | 378 |
3.125% due 11/15/2022 |  |  |  |  | 186 |  |  |  |  |  | 189 |
3.550% due 11/15/2024 |  |  |  |  | 186 |  |  |  |  |  | 191 |
5.750% due 06/15/2027 |  |  |  |  | 272 |  |  |  |  |  | 306 |
Frontier Communications Corp. |
8.000% due 04/01/2027 (m) |  |  |  |  | 316 |  |  |  |  |  | 331 |
Odebrecht Drilling Norbe Ltd. |
6.350% due 12/01/2021 ^(m) |  |  |  |  | 1,178 |  |  |  |  |  | 1,176 |
Odebrecht Offshore Drilling Finance Ltd. |
6.720% due 12/01/2022 ^(m) |  |  |  |  | 9,254 |  |  |  |  |  | 9,115 |
Pacific Gas & Electric Co. |
2.450% due 08/15/2022 ^(d)(m) |  |  |  |  | 858 |  |  |  |  |  | 860 |
2.950% due 03/01/2026 ^(d)(m) |  |  |  |  | 996 |  |  |  |  |  | 1,001 |
3.250% due 09/15/2021 ^(d)(m) |  |  |  |  | 293 |  |  |  |  |  | 295 |
3.250% due 06/15/2023 ^(d)(m) |  |  |  |  | 1,093 |  |  |  |  |  | 1,091 |
3.300% due 03/15/2027 ^(d)(m) |  |  |  |  | 1,689 |  |  |  |  |  | 1,693 |
3.300% due 12/01/2027 ^(d)(m) |  |  |  |  | 5,190 |  |  |  |  |  | 5,203 |
3.400% due 08/15/2024 ^(d)(m) |  |  |  |  | 727 |  |  |  |  |  | 738 |
3.500% due 10/01/2020 ^(d)(m) |  |  |  |  | 1,783 |  |  |  |  |  | 1,790 |
3.500% due 06/15/2025 ^(d)(m) |  |  |  |  | 1,278 |  |  |  |  |  | 1,281 |
3.750% due 02/15/2024 ^(d)(m) |  |  |  |  | 615 |  |  |  |  |  | 626 |
3.750% due 08/15/2042 ^(d) |  |  |  |  | 58 |  |  |  |  |  | 58 |
3.850% due 11/15/2023 ^(d)(m) |  |  |  |  | 89 |  |  |  |  |  | 90 |
4.000% due 12/01/2046 ^(d) |  |  |  |  | 4 |  |  |  |  |  | 4 |
4.250% due 05/15/2021 ^(d)(m) |  |  |  |  | 3,340 |  |  |  |  |  | 3,358 |
4.250% due 08/01/2023 ^(d)(m) |  |  |  |  | 3,310 |  |  |  |  |  | 3,402 |
4.300% due 03/15/2045 ^(d) |  |  |  |  | 233 |  |  |  |  |  | 237 |
4.500% due 12/15/2041 ^(d)(m) |  |  |  |  | 534 |  |  |  |  |  | 540 |
4.600% due 06/15/2043 ^(d) |  |  |  |  | 107 |  |  |  |  |  | 109 |
4.650% due 08/01/2028 ^(d)(m) |  |  |  |  | 2,633 |  |  |  |  |  | 2,726 |
4.750% due 02/15/2044 ^(d)(m) |  |  |  |  | 2,890 |  |  |  |  |  | 2,977 |
5.125% due 11/15/2043 ^(d)(m) |  |  |  |  | 3,462 |  |  |  |  |  | 3,554 |
5.400% due 01/15/2040 ^(d) |  |  |  |  | 46 |  |  |  |  |  | 48 |
5.800% due 03/01/2037 ^(d)(m) |  |  |  |  | 8,885 |  |  |  |  |  | 9,286 |
6.050% due 03/01/2034 ^(d)(m) |  |  |  |  | 4,901 |  |  |  |  |  | 5,143 |
6.250% due 03/01/2039 ^(d)(m) |  |  |  |  | 1,776 |  |  |  |  |  | 1,875 |
6.350% due 02/15/2038 ^(d)(m) |  |  |  |  | 734 |  |  |  |  |  | 779 |
Petrobras Global Finance BV |
6.625% due 01/16/2034 (m) |  | GBP |  |  | 700 |  |  |  |  |  | 1,118 |
6.850% due 06/05/2115 |  | $ |  |  | 137 |  |  |  |  |  | 157 |
Rio Oil Finance Trust |
8.200% due 04/06/2028 (m) |  |  |  |  | 330 |  |  |  |  |  | 382 |
9.250% due 07/06/2024 (m) |  |  |  |  | 4,528 |  |  |  |  |  | 5,085 |
9.750% due 01/06/2027 (m) |  |  |  |  | 2,232 |  |  |  |  |  | 2,644 |
Sprint Communications, Inc. |
6.000% due 11/15/2022 |  |  |  |  | 185 |  |  |  |  |  | 194 |
Sprint Corp. |
7.250% due 09/15/2021 (m) |  |  |  |  | 543 |  |  |  |  |  | 575 |
7.875% due 09/15/2023 (m) |  |  |  |  | 3,100 |  |  |  |  |  | 3,427 |
Talen Energy Supply LLC |
6.625% due 01/15/2028 |  |  |  |  | 62 |  |  |  |  |  | 63 |
Transocean Poseidon Ltd. |
6.875% due 02/01/2027 (m) |  |  |  |  | 320 |  |  |  |  |  | 340 |
Transocean Sentry Ltd. |
5.375% due 05/15/2023 |  |  |  |  | 300 |  |  |  |  |  | 306 |
|  |  |  |  |  |  |  |  |  |  | 74,759 |
Total Corporate Bonds & Notes (Cost $490,225) |  |  | 511,527 |
CONVERTIBLE BONDS & NOTES 0.5% |
INDUSTRIALS 0.5% |
Caesars Entertainment Corp. |
5.000% due 10/01/2024 (m) |  |  |  |  | 4,394 |  |  |  |  |  | 8,465 |
UTILITIES 0.0% |
Ensco Jersey Finance Ltd. |
3.000% due 01/31/2024 |  |  |  |  | 66 |  |  |  |  |  | 47 |
Total Convertible Bonds & Notes (Cost $8,245) |  |  | 8,512 |

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
MUNICIPAL BONDS & NOTES 0.3% |
ILLINOIS 0.1% |
Chicago, Illinois General Obligation Bonds, Series 2015 |
7.375% due 01/01/2033 |  | $ |  |  | 87 |  |  | $ |  |  | 104 |
7.750% due 01/01/2042 |  |  |  |  | 129 |  |  |  |  |  | 146 |
Illinois State General Obligation Bonds, (BABs), Series 2010 |
6.725% due 04/01/2035 |  |  |  |  | 70 |  |  |  |  |  | 82 |
7.350% due 07/01/2035 |  |  |  |  | 50 |  |  |  |  |  | 61 |
Illinois State General Obligation Bonds, Series 2003 |
5.100% due 06/01/2033 |  |  |  |  | 580 |  |  |  |  |  | 626 |
|  |  |  |  |  |  |  |  |  |  | 1,019 |
TEXAS 0.0% |
Texas Public Finance Authority Revenue Notes, Series 2014 |
8.250% due 07/01/2024 |  |  |  |  | 100 |  |  |  |  |  | 101 |
WEST VIRGINIA 0.2% |
Tobacco Settlement Finance Authority, West Virginia Revenue Bonds, Series 2007 |
0.000% due 06/01/2047 (g) |  |  |  |  | 95,900 |  |  |  |  |  | 4,195 |
Total Municipal Bonds & Notes (Cost $7,468) |  |  | 5,315 |
U.S. GOVERNMENT AGENCIES 4.4% |
Fannie Mae |
4.128% due 07/25/2041 •(a) |  |  |  |  | 3,655 |  |  |  |  |  | 571 |
4.278% due 10/25/2040 •(a)(m) |  |  |  |  | 5,428 |  |  |  |  |  | 664 |
4.558% due 12/25/2037 •(a) |  |  |  |  | 200 |  |  |  |  |  | 29 |
4.728% due 09/25/2037 •(a)(m) |  |  |  |  | 680 |  |  |  |  |  | 118 |
4.858% due 11/25/2036 •(a) |  |  |  |  | 106 |  |  |  |  |  | 14 |
4.928% due 06/25/2037 •(a) |  |  |  |  | 407 |  |  |  |  |  | 54 |
5.188% due 03/25/2038 •(a) |  |  |  |  | 1,529 |  |  |  |  |  | 290 |
5.208% due 02/25/2038 •(a)(m) |  |  |  |  | 969 |  |  |  |  |  | 200 |
5.308% due 06/25/2023 •(a)(m) |  |  |  |  | 832 |  |  |  |  |  | 58 |
5.342% due 07/25/2029 •(m) |  |  |  |  | 1,830 |  |  |  |  |  | 1,938 |
7.542% due 07/25/2029 • |  |  |  |  | 2,460 |  |  |  |  |  | 2,914 |
8.343% due 01/25/2041 •(m) |  |  |  |  | 5,985 |  |  |  |  |  | 7,697 |
Freddie Mac |
0.000% due 02/25/2046 - 11/25/2050 (b)(g) |  |  |  |  | 40,392 |  |  |  |  |  | 27,609 |
0.100% due 02/25/2046 - 11/25/2050 (a) |  |  |  |  | 248,663 |  |  |  |  |  | 459 |
0.100% due 11/25/2050 (a)(m) |  |  |  |  | 267,785 |  |  |  |  |  | 1,377 |
1.939% due 11/25/2055 ~(a) |  |  |  |  | 83,109 |  |  |  |  |  | 6,637 |
2.011% due 11/25/2045 ~(a)(m) |  |  |  |  | 23,213 |  |  |  |  |  | 3,128 |
4.118% due 04/25/2025 ~(m) |  |  |  |  | 2,680 |  |  |  |  |  | 2,561 |
4.670% due 05/15/2037 •(a) |  |  |  |  | 147 |  |  |  |  |  | 18 |
4.730% due 07/15/2036 •(a) |  |  |  |  | 1,941 |  |  |  |  |  | 339 |
4.840% due 09/15/2036 •(a)(m) |  |  |  |  | 679 |  |  |  |  |  | 130 |
4.960% due 04/15/2036 •(a) |  |  |  |  | 781 |  |  |  |  |  | 96 |
6.040% due 09/15/2036 •(a)(m) |  |  |  |  | 1,169 |  |  |  |  |  | 259 |
6.942% due 10/25/2029 • |  |  |  |  | 2,350 |  |  |  |  |  | 2,719 |
9.477% due 09/15/2041 • |  |  |  |  | 602 |  |  |  |  |  | 827 |
10.792% due 03/25/2029 • |  |  |  |  | 2,091 |  |  |  |  |  | 2,623 |
12.292% due 10/25/2028 • |  |  |  |  | 496 |  |  |  |  |  | 683 |
12.526% due 09/15/2034 • |  |  |  |  | 60 |  |  |  |  |  | 65 |
12.542% due 03/25/2025 • |  |  |  |  | 3,172 |  |  |  |  |  | 4,159 |
Total U.S. Government Agencies (Cost $63,319) |  |  | 68,236 |
NON-AGENCY MORTGAGE-BACKED SECURITIES 55.9% |
Alba PLC |
1.058% due 12/15/2038 •(m) |  | GBP |  |  | 7,501 |  |  |  |  |  | 9,063 |
Alkali Europe SARL |
3.000% due 05/15/2021 «• |  | EUR |  |  | 15,000 |  |  |  |  |  | 16,809 |
American Home Mortgage Assets Trust |
2.082% due 08/25/2037 ^•(m) |  | $ |  |  | 10,944 |  |  |  |  |  | 10,239 |
2.332% due 11/25/2035 • |  |  |  |  | 1,188 |  |  |  |  |  | 1,172 |
American Home Mortgage Investment Trust |
2.392% due 09/25/2045 • |  |  |  |  | 4,843 |  |  |  |  |  | 4,572 |
2.692% due 02/25/2044 •(m) |  |  |  |  | 9,706 |  |  |  |  |  | 8,838 |

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
Banc of America Alternative Loan Trust |
6.000% due 06/25/2037 |  | $ |  |  | 208 |  |  | $ |  |  | 204 |
6.000% due 06/25/2046 |  |  |  |  | 89 |  |  |  |  |  | 88 |
Banc of America Funding Trust |
0.000% due 06/26/2035 ~ |  |  |  |  | 5,128 |  |  |  |  |  | 5,144 |
1.918% due 08/25/2047 ^~ |  |  |  |  | 3,942 |  |  |  |  |  | 3,627 |
1.975% due 04/20/2047 ^•(m) |  |  |  |  | 9,039 |  |  |  |  |  | 8,289 |
2.215% due 02/20/2035 •(m) |  |  |  |  | 4,612 |  |  |  |  |  | 4,632 |
3.876% due 01/20/2047 ^~ |  |  |  |  | 164 |  |  |  |  |  | 160 |
4.029% due 01/25/2035 ~ |  |  |  |  | 272 |  |  |  |  |  | 273 |
4.135% due 03/20/2036 ^~ |  |  |  |  | 1,125 |  |  |  |  |  | 1,085 |
6.119% due 07/26/2036 ~ |  |  |  |  | 11,496 |  |  |  |  |  | 5,668 |
Banc of America Mortgage Trust |
4.122% due 10/20/2046 ^~ |  |  |  |  | 175 |  |  |  |  |  | 119 |
4.259% due 01/25/2036 ~ |  |  |  |  | 532 |  |  |  |  |  | 517 |
Bancaja Fondo de Titulizacion de Activos |
0.000% due 10/25/2037 •(m) |  | EUR |  |  | 1,530 |  |  |  |  |  | 1,706 |
Bayview Commercial Asset Trust |
2.222% due 08/25/2034 • |  | $ |  |  | 95 |  |  |  |  |  | 94 |
BCAP LLC Trust |
3.713% due 04/26/2037 ~ |  |  |  |  | 10,360 |  |  |  |  |  | 8,996 |
3.912% due 11/26/2035 ~(m) |  |  |  |  | 4,916 |  |  |  |  |  | 4,746 |
3.917% due 02/26/2036 ~ |  |  |  |  | 5,174 |  |  |  |  |  | 4,006 |
4.011% due 07/26/2035 ~ |  |  |  |  | 1,186 |  |  |  |  |  | 1,187 |
4.347% due 07/26/2045 ~(m) |  |  |  |  | 6,894 |  |  |  |  |  | 6,589 |
4.735% due 06/26/2036 ~ |  |  |  |  | 4,029 |  |  |  |  |  | 3,696 |
5.500% due 12/26/2035 ~(m) |  |  |  |  | 5,251 |  |  |  |  |  | 4,287 |
6.000% due 08/26/2037 ~ |  |  |  |  | 2,838 |  |  |  |  |  | 2,518 |
Bear Stearns Adjustable Rate Mortgage Trust |
4.028% due 06/25/2047 ^~(m) |  |  |  |  | 2,805 |  |  |  |  |  | 2,706 |
Bear Stearns ALT-A Trust |
1.992% due 02/25/2034 •(m) |  |  |  |  | 4,582 |  |  |  |  |  | 4,283 |
3.811% due 11/25/2035 ^~(m) |  |  |  |  | 14,834 |  |  |  |  |  | 11,800 |
4.047% due 09/25/2035 ^~(m) |  |  |  |  | 7,572 |  |  |  |  |  | 5,071 |
BRAD Resecuritization Trust |
2.192% due 03/12/2021 « |  |  |  |  | 18,431 |  |  |  |  |  | 369 |
6.550% due 03/12/2021 « |  |  |  |  | 3,446 |  |  |  |  |  | 3,433 |
CD Commercial Mortgage Trust |
5.398% due 12/11/2049 ~ |  |  |  |  | 13 |  |  |  |  |  | 13 |
CD Mortgage Trust |
5.688% due 10/15/2048 (m) |  |  |  |  | 7,892 |  |  |  |  |  | 4,098 |
Chase Mortgage Finance Trust |
3.782% due 03/25/2037 ^~ |  |  |  |  | 1,940 |  |  |  |  |  | 1,932 |
3.835% due 01/25/2036 ^~ |  |  |  |  | 7,463 |  |  |  |  |  | 6,931 |
Citigroup Commercial Mortgage Trust |
5.589% due 12/10/2049 ~ |  |  |  |  | 404 |  |  |  |  |  | 259 |
Citigroup Mortgage Loan Trust |
3.859% due 10/25/2035 ^~ |  |  |  |  | 2,158 |  |  |  |  |  | 2,188 |
3.979% due 02/25/2036 ~ |  |  |  |  | 8,780 |  |  |  |  |  | 8,365 |
4.140% due 03/25/2036 ^• |  |  |  |  | 257 |  |  |  |  |  | 260 |
4.169% due 09/25/2037 ^~ |  |  |  |  | 5,069 |  |  |  |  |  | 4,969 |
Commercial Mortgage Loan Trust |
6.052% due 12/10/2049 ~(m) |  |  |  |  | 7,756 |  |  |  |  |  | 5,147 |
Countrywide Alternative Loan Trust |
0.799% due 12/25/2035 ~(a) |  |  |  |  | 11,714 |  |  |  |  |  | 364 |
1.687% due 12/25/2035 ~(a) |  |  |  |  | 6,284 |  |  |  |  |  | 337 |
1.982% due 09/25/2046 ^•(m) |  |  |  |  | 10,221 |  |  |  |  |  | 9,583 |
2.042% due 06/25/2037 •(m) |  |  |  |  | 12,315 |  |  |  |  |  | 9,923 |
2.522% due 11/25/2035 •(m) |  |  |  |  | 13,181 |  |  |  |  |  | 13,530 |
3.773% due 06/25/2037 ^~ |  |  |  |  | 155 |  |  |  |  |  | 133 |
5.358% due 07/25/2036 •(a) |  |  |  |  | 9,591 |  |  |  |  |  | 3,040 |
5.500% due 02/25/2020 |  |  |  |  | 31 |  |  |  |  |  | 31 |
5.500% due 07/25/2035 ^ |  |  |  |  | 1,376 |  |  |  |  |  | 1,148 |
5.500% due 11/25/2035 ^ |  |  |  |  | 583 |  |  |  |  |  | 514 |
5.500% due 01/25/2036 ^(m) |  |  |  |  | 113 |  |  |  |  |  | 114 |
5.500% due 04/25/2037 ^(m) |  |  |  |  | 2,295 |  |  |  |  |  | 1,848 |
5.750% due 01/25/2036 |  |  |  |  | 202 |  |  |  |  |  | 160 |
5.750% due 01/25/2037 ^(m) |  |  |  |  | 7,015 |  |  |  |  |  | 5,858 |
5.750% due 04/25/2037 ^ |  |  |  |  | 1,900 |  |  |  |  |  | 1,874 |
6.000% due 08/25/2036 ^ |  |  |  |  | 342 |  |  |  |  |  | 285 |
6.000% due 11/25/2036 ^(m) |  |  |  |  | 326 |  |  |  |  |  | 287 |
6.000% due 12/25/2036 |  |  |  |  | 181 |  |  |  |  |  | 120 |
6.000% due 01/25/2037 ^ |  |  |  |  | 1,392 |  |  |  |  |  | 1,267 |
6.000% due 02/25/2037 ^ |  |  |  |  | 1,014 |  |  |  |  |  | 619 |
6.000% due 03/25/2037 ^ |  |  |  |  | 12,548 |  |  |  |  |  | 7,721 |
6.000% due 04/25/2037 ^ |  |  |  |  | 5,837 |  |  |  |  |  | 3,879 |
6.000% due 07/25/2037 ^ |  |  |  |  | 175 |  |  |  |  |  | 175 |

See Accompanying Notes |  | SEMIANNUAL REPORT |  | DECEMBER 31, 2019 |  | 99

Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.)

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
6.000% due 09/25/2037 |  | $ |  |  | 9,153 |  |  | $ |  |  | 5,552 |
28.248% due 05/25/2037 ^• |  |  |  |  | 918 |  |  |  |  |  | 1,748 |
Countrywide Home Loan Mortgage Pass-Through Trust |
2.132% due 03/25/2036 • |  |  |  |  | 1,288 |  |  |  |  |  | 535 |
2.392% due 03/25/2035 • |  |  |  |  | 220 |  |  |  |  |  | 198 |
3.429% due 11/20/2035 ~ |  |  |  |  | 11,065 |  |  |  |  |  | 10,199 |
3.662% due 03/25/2046 ^•(m) |  |  |  |  | 6,938 |  |  |  |  |  | 4,779 |
4.365% due 06/25/2047 ^~(m) |  |  |  |  | 3,691 |  |  |  |  |  | 3,582 |
5.000% due 11/25/2035 ^ |  |  |  |  | 40 |  |  |  |  |  | 32 |
5.500% due 12/25/2034 |  |  |  |  | 112 |  |  |  |  |  | 112 |
5.500% due 11/25/2035 ^ |  |  |  |  | 49 |  |  |  |  |  | 44 |
6.000% due 07/25/2037 ^ |  |  |  |  | 223 |  |  |  |  |  | 182 |
6.000% due 08/25/2037 (m) |  |  |  |  | 4,781 |  |  |  |  |  | 3,802 |
6.000% due 08/25/2037 ^ |  |  |  |  | 2 |  |  |  |  |  | 2 |
Credit Suisse Mortgage Capital Certificates |
2.772% due 02/27/2047 ~(m) |  |  |  |  | 44,617 |  |  |  |  |  | 26,911 |
3.942% due 04/26/2035 ~ |  |  |  |  | 12,430 |  |  |  |  |  | 12,267 |
3.995% due 07/26/2037 ~(m) |  |  |  |  | 10,787 |  |  |  |  |  | 10,196 |
4.270% due 06/25/2036 ~(m) |  |  |  |  | 7,399 |  |  |  |  |  | 7,290 |
7.000% due 08/26/2036 |  |  |  |  | 14,458 |  |  |  |  |  | 5,339 |
7.000% due 08/27/2036 |  |  |  |  | 3,536 |  |  |  |  |  | 2,014 |
Credit Suisse Mortgage Capital Mortgage-Backed Trust |
5.896% due 04/25/2036 þ |  |  |  |  | 6,383 |  |  |  |  |  | 4,710 |
Credit Suisse Mortgage Capital Trust |
6.500% due 07/26/2036 ^(m) |  |  |  |  | 11,479 |  |  |  |  |  | 5,236 |
Debussy DTC PLC |
5.930% due 07/12/2025 |  | GBP |  |  | 18,712 |  |  |  |  |  | 24,783 |
8.250% due 07/12/2025 |  |  |  |  | 5,000 |  |  |  |  |  | 6,610 |
Deutsche ALT-A Securities, Inc. Mortgage Loan Trust |
6.000% due 10/25/2021 ^ |  | $ |  |  | 197 |  |  |  |  |  | 168 |
Dssv SARL |
3.000% due 10/15/2024 «• |  | EUR |  |  | 15,000 |  |  |  |  |  | 16,825 |
Eurosail PLC |
0.000% due 06/13/2045 ~ |  | GBP |  |  | 2 |  |  |  |  |  | 2,395 |
1.779% (BP0003M + 1.000%) due 06/13/2045 ~(m) |  |  |  |  | 6,163 |  |  |  |  |  | 7,688 |
2.029% (BP0003M + 1.250%) due 06/13/2045 ~ |  |  |  |  | 6,399 |  |  |  |  |  | 7,729 |
2.529% (BP0003M + 1.750%) due 06/13/2045 ~ |  |  |  |  | 3,946 |  |  |  |  |  | 4,798 |
4.279% (BP0003M + 3.500%) due 06/13/2045 ~ |  |  |  |  | 1,411 |  |  |  |  |  | 1,785 |
First Horizon Alternative Mortgage Securities Trust |
4.043% due 08/25/2035 ^~ |  | $ |  |  | 863 |  |  |  |  |  | 162 |
5.308% due 11/25/2036 •(a) |  |  |  |  | 1,048 |  |  |  |  |  | 411 |
First Horizon Mortgage Pass-Through Trust |
5.500% due 08/25/2037 ^ |  |  |  |  | 403 |  |  |  |  |  | 309 |
Fondo de Titulizacion de Activos UCI |
0.000% due 06/16/2049 •(m) |  | EUR |  |  | 1,255 |  |  |  |  |  | 1,359 |
GC Pastor Hipotecario FTA |
0.000% due 06/21/2046 • |  |  |  |  | 4,962 |  |  |  |  |  | 4,977 |
GreenPoint Mortgage Funding Trust |
1.992% due 12/25/2046 ^•(m) |  | $ |  |  | 4,546 |  |  |  |  |  | 4,375 |
Grifonas Finance PLC |
0.000% due 08/28/2039 • |  | EUR |  |  | 9,044 |  |  |  |  |  | 9,388 |
GS Mortgage Securities Corp. Trust |
4.591% due 10/10/2032 ~(m) |  | $ |  |  | 9,500 |  |  |  |  |  | 9,345 |
4.591% due 10/10/2032 ~ |  |  |  |  | 1,700 |  |  |  |  |  | 1,630 |
GSR Mortgage Loan Trust |
4.198% due 11/25/2035 ~ |  |  |  |  | 169 |  |  |  |  |  | 131 |
6.500% due 08/25/2036 ^•(m) |  |  |  |  | 817 |  |  |  |  |  | 493 |
HarborView Mortgage Loan Trust |
2.004% due 03/19/2036 ^•(m) |  |  |  |  | 11,819 |  |  |  |  |  | 11,375 |
2.264% due 01/19/2036 • |  |  |  |  | 6,824 |  |  |  |  |  | 5,441 |
2.415% due 06/20/2035 •(m) |  |  |  |  | 7,871 |  |  |  |  |  | 7,871 |
2.665% due 06/20/2035 • |  |  |  |  | 1,816 |  |  |  |  |  | 1,735 |
Hipocat FTA |
0.000% due 10/24/2039 •(m) |  | EUR |  |  | 4,439 |  |  |  |  |  | 4,941 |
0.000% due 01/15/2050 • |  |  |  |  | 5,240 |  |  |  |  |  | 5,563 |
IM Pastor Fondo de Titluzacion Hipotecaria |
0.000% due 03/22/2043 • |  |  |  |  | 1,683 |  |  |  |  |  | 1,739 |
Impac CMB Trust |
2.512% due 10/25/2034 • |  | $ |  |  | 213 |  |  |  |  |  | 214 |
Impac Secured Assets Trust |
1.902% due 05/25/2037 ^• |  |  |  |  | 7 |  |  |  |  |  | 6 |

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
IndyMac Mortgage Loan Trust |
1.992% due 11/25/2046 •(m) |  | $ |  |  | 5,756 |  |  | $ |  |  | 5,506 |
2.042% due 02/25/2037 • |  |  |  |  | 3,606 |  |  |  |  |  | 2,658 |
2.092% due 07/25/2036 • |  |  |  |  | 510 |  |  |  |  |  | 421 |
3.282% due 03/25/2037 ~ |  |  |  |  | 29 |  |  |  |  |  | 28 |
3.630% due 06/25/2037 ^~ |  |  |  |  | 3,949 |  |  |  |  |  | 3,351 |
3.716% due 02/25/2035 ~ |  |  |  |  | 315 |  |  |  |  |  | 305 |
JPMorgan Alternative Loan Trust |
1.992% due 06/25/2037 • |  |  |  |  | 29,889 |  |  |  |  |  | 15,685 |
3.584% due 11/25/2036 ^~(m) |  |  |  |  | 628 |  |  |  |  |  | 605 |
5.960% due 12/25/2036 ^þ |  |  |  |  | 7,601 |  |  |  |  |  | 7,532 |
JPMorgan Chase Commercial Mortgage Securities Trust |
1.478% due 06/15/2045 ~(a)(m) |  |  |  |  | 40,477 |  |  |  |  |  | 880 |
JPMorgan Mortgage Trust |
3.989% due 10/25/2036 ~ |  |  |  |  | 736 |  |  |  |  |  | 656 |
4.107% due 06/25/2037 ^~(m) |  |  |  |  | 3,576 |  |  |  |  |  | 3,336 |
Lavender Trust |
6.000% due 11/26/2036 |  |  |  |  | 11,719 |  |  |  |  |  | 11,945 |
LB-UBS Commercial Mortgage Trust |
0.163% due 02/15/2040 ~(a) |  |  |  |  | 4,945 |  |  |  |  |  | 0 |
Lehman Mortgage Trust |
6.000% due 08/25/2036 ^(m) |  |  |  |  | 973 |  |  |  |  |  | 933 |
6.000% due 09/25/2036 ^ |  |  |  |  | 579 |  |  |  |  |  | 498 |
6.500% due 09/25/2037 ^ |  |  |  |  | 3,708 |  |  |  |  |  | 2,114 |
7.250% due 09/25/2037 ^ |  |  |  |  | 31,331 |  |  |  |  |  | 12,248 |
Lehman XS Trust |
2.072% due 07/25/2037 •(m) |  |  |  |  | 23,303 |  |  |  |  |  | 18,025 |
2.292% due 07/25/2047 •(m) |  |  |  |  | 3,494 |  |  |  |  |  | 3,094 |
MASTR Adjustable Rate Mortgages Trust |
1.992% due 05/25/2047 •(m) |  |  |  |  | 15,695 |  |  |  |  |  | 17,581 |
2.472% due 05/25/2047 ^• |  |  |  |  | 4,243 |  |  |  |  |  | 4,679 |
MASTR Alternative Loan Trust |
2.142% due 03/25/2036 • |  |  |  |  | 20,176 |  |  |  |  |  | 3,035 |
2.192% due 03/25/2036 ^• |  |  |  |  | 26,667 |  |  |  |  |  | 4,093 |
Merrill Lynch Mortgage Investors Trust |
4.506% due 05/25/2036 ~ |  |  |  |  | 4,281 |  |  |  |  |  | 4,175 |
Morgan Stanley Re-REMIC Trust |
4.427% due 07/26/2035 ~(m) |  |  |  |  | 19,893 |  |  |  |  |  | 19,939 |
4.609% due 09/26/2035 ~ |  |  |  |  | 2,623 |  |  |  |  |  | 2,701 |
6.000% due 04/26/2036 (m) |  |  |  |  | 7,969 |  |  |  |  |  | 8,933 |
Mortgage Equity Conversion Asset Trust |
4.000% due 07/25/2060 |  |  |  |  | 1,935 |  |  |  |  |  | 1,888 |
Motel 6 Trust |
8.666% due 08/15/2024 • |  |  |  |  | 14,663 |  |  |  |  |  | 14,923 |
Natixis Commercial Mortgage Securities Trust |
4.740% due 11/15/2034 • |  |  |  |  | 1,280 |  |  |  |  |  | 1,272 |
5.740% due 11/15/2034 • |  |  |  |  | 555 |  |  |  |  |  | 546 |
Newgate Funding PLC |
0.854% due 12/15/2050 •(m) |  | EUR |  |  | 1,643 |  |  |  |  |  | 1,780 |
0.998% due 12/15/2050 •(m) |  | GBP |  |  | 1,444 |  |  |  |  |  | 1,698 |
1.104% due 12/15/2050 •(m) |  | EUR |  |  | 3,136 |  |  |  |  |  | 3,369 |
2.048% due 12/15/2050 • |  | GBP |  |  | 2,479 |  |  |  |  |  | 3,179 |
Nomura Resecuritization Trust |
7.213% due 09/26/2035 ~ |  | $ |  |  | 3,968 |  |  |  |  |  | 3,796 |
NovaStar Mortgage Funding Trust |
1.516% due 09/25/2046 • |  |  |  |  | 421 |  |  |  |  |  | 405 |
RBSSP Resecuritization Trust |
4.269% due 07/26/2045 ~(m) |  |  |  |  | 20,150 |  |  |  |  |  | 20,272 |
4.314% due 05/26/2037 ~(m) |  |  |  |  | 5,148 |  |  |  |  |  | 4,529 |
6.000% due 03/26/2036 ^ |  |  |  |  | 5,655 |  |  |  |  |  | 4,479 |
Residential Accredit Loans, Inc. Trust |
1.972% due 07/25/2036 ^• |  |  |  |  | 9,554 |  |  |  |  |  | 5,829 |
1.982% due 05/25/2037 •(m) |  |  |  |  | 12,896 |  |  |  |  |  | 12,360 |
3.239% due 01/25/2046 ^• |  |  |  |  | 4,852 |  |  |  |  |  | 4,622 |
5.732% due 01/25/2036 ~ |  |  |  |  | 466 |  |  |  |  |  | 412 |
6.000% due 08/25/2035 ^ |  |  |  |  | 744 |  |  |  |  |  | 744 |
6.000% due 06/25/2036 |  |  |  |  | 284 |  |  |  |  |  | 270 |
6.000% due 09/25/2036 ^ |  |  |  |  | 4,555 |  |  |  |  |  | 3,234 |
7.000% due 10/25/2037 |  |  |  |  | 8,427 |  |  |  |  |  | 7,489 |
Residential Asset Securitization Trust |
5.500% due 07/25/2035 |  |  |  |  | 758 |  |  |  |  |  | 668 |
6.250% due 08/25/2037 ^ |  |  |  |  | 4,141 |  |  |  |  |  | 1,638 |
Residential Funding Mortgage Securities, Inc. Trust |
5.433% due 08/25/2036 ^~ |  |  |  |  | 1,263 |  |  |  |  |  | 1,098 |
5.850% due 11/25/2035 ^ |  |  |  |  | 127 |  |  |  |  |  | 122 |
6.000% due 04/25/2037 ^ |  |  |  |  | 1,053 |  |  |  |  |  | 1,021 |

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
Rite Aid Pass-Through Certificates |
6.781% due 01/02/2021 ~ |  | $ |  |  | 7,625 |  |  | $ |  |  | 7,796 |
RiverView HECM Trust |
2.030% due 05/25/2047 •(m) |  |  |  |  | 6,664 |  |  |  |  |  | 6,255 |
Sequoia Mortgage Trust |
2.135% due 07/20/2036 • |  |  |  |  | 1,616 |  |  |  |  |  | 917 |
2.965% due 10/20/2027 • |  |  |  |  | 871 |  |  |  |  |  | 854 |
Structured Adjustable Rate Mortgage Loan Trust |
3.965% due 08/25/2036 ~ |  |  |  |  | 3,006 |  |  |  |  |  | 1,226 |
4.015% due 02/25/2037 ^~ |  |  |  |  | 10,535 |  |  |  |  |  | 9,270 |
4.403% due 04/25/2047 ~ |  |  |  |  | 1,694 |  |  |  |  |  | 1,230 |
Structured Asset Mortgage Investments Trust |
1.982% due 07/25/2046 ^•(m) |  |  |  |  | 13,928 |  |  |  |  |  | 11,765 |
2.132% due 03/25/2037 ^• |  |  |  |  | 683 |  |  |  |  |  | 418 |
4.111% due 02/25/2036 ~ |  |  |  |  | 4,366 |  |  |  |  |  | 4,134 |
SunTrust Alternative Loan Trust |
5.358% due 04/25/2036 ^•(a) |  |  |  |  | 4,567 |  |  |  |  |  | 1,438 |
TBW Mortgage-Backed Trust |
6.500% due 07/25/2036 (m) |  |  |  |  | 19,451 |  |  |  |  |  | 9,124 |
Theatre Hospitals PLC |
3.785% due 10/15/2031 • |  | GBP |  |  | 5,456 |  |  |  |  |  | 7,227 |
3.785% due 10/15/2031 •(m) |  |  |  |  | 11,059 |  |  |  |  |  | 14,649 |
4.190% due 12/15/2024 «(k) |  |  |  |  | 370 |  |  |  |  |  | 0 |
4.535% due 10/15/2031 • |  |  |  |  | 776 |  |  |  |  |  | 1,028 |
WaMu Mortgage Pass-Through Certificates Trust |
2.212% due 06/25/2044 • |  | $ |  |  | 188 |  |  |  |  |  | 183 |
2.377% due 07/25/2047 ^•(m) |  |  |  |  | 673 |  |  |  |  |  | 571 |
2.989% due 06/25/2047 ^• |  |  |  |  | 2,890 |  |  |  |  |  | 932 |
3.049% due 07/25/2047 •(m) |  |  |  |  | 18,086 |  |  |  |  |  | 16,432 |
3.119% due 10/25/2046 ^•(m) |  |  |  |  | 368 |  |  |  |  |  | 354 |
3.871% due 03/25/2037 ^~ |  |  |  |  | 3,128 |  |  |  |  |  | 3,043 |
4.000% due 02/25/2037 ^~ |  |  |  |  | 370 |  |  |  |  |  | 355 |
Washington Mutual Mortgage Pass-Through Certificates Trust |
2.032% due 01/25/2047 ^• |  |  |  |  | 10,109 |  |  |  |  |  | 9,382 |
2.392% due 07/25/2036 ^• |  |  |  |  | 5,696 |  |  |  |  |  | 3,811 |
6.000% due 04/25/2037 ^ |  |  |  |  | 3,075 |  |  |  |  |  | 2,994 |
Wells Fargo Alternative Loan Trust |
4.870% due 07/25/2037 ^~ |  |  |  |  | 2,829 |  |  |  |  |  | 2,629 |
5.750% due 07/25/2037 ^ |  |  |  |  | 326 |  |  |  |  |  | 318 |
Wells Fargo Mortgage Loan Trust |
5.220% due 04/27/2036 ~(m) |  |  |  |  | 10,110 |  |  |  |  |  | 9,775 |
Wells Fargo Mortgage-Backed Securities Trust |
6.000% due 06/25/2037 ^ |  |  |  |  | 167 |  |  |  |  |  | 167 |
Total Non-Agency Mortgage-Backed Securities (Cost $745,336) |  |  | 876,810 |
ASSET-BACKED SECURITIES 37.2% |
ACE Securities Corp. Home Equity Loan Trust |
2.752% due 08/25/2035 • |  |  |  |  | 5,213 |  |  |  |  |  | 2,924 |
Aegis Asset-Backed Securities Trust Mortgage Pass-Through Certificates |
3.892% due 09/25/2034 • |  |  |  |  | 740 |  |  |  |  |  | 737 |
Asset-Backed Funding Certificates Trust |
2.842% due 03/25/2034 ^• |  |  |  |  | 918 |  |  |  |  |  | 901 |
Bear Stearns Asset-Backed Securities Trust |
2.342% due 06/25/2036 •(m) |  |  |  |  | 8,846 |  |  |  |  |  | 8,838 |
3.338% due 10/25/2036 ~ |  |  |  |  | 3,604 |  |  |  |  |  | 2,464 |
Citigroup Mortgage Loan Trust |
1.952% due 12/25/2036 •(m) |  |  |  |  | 16,506 |  |  |  |  |  | 11,488 |
2.012% due 12/25/2036 •(m) |  |  |  |  | 9,538 |  |  |  |  |  | 5,207 |
2.492% due 11/25/2046 •(m) |  |  |  |  | 2,100 |  |  |  |  |  | 1,684 |
4.865% due 03/25/2036 ^þ |  |  |  |  | 1,927 |  |  |  |  |  | 1,335 |
5.852% due 05/25/2036 ^þ |  |  |  |  | 472 |  |  |  |  |  | 260 |
Citigroup Mortgage Loan Trust, Inc. |
2.052% due 03/25/2037 •(m) |  |  |  |  | 20,329 |  |  |  |  |  | 18,775 |
Conseco Finance Corp. |
7.060% due 02/01/2031 ~ |  |  |  |  | 3,855 |  |  |  |  |  | 3,799 |
7.500% due 03/01/2030 ~(m) |  |  |  |  | 7,584 |  |  |  |  |  | 4,891 |
Conseco Finance Securitizations Corp. |
9.163% due 03/01/2033 ~ |  |  |  |  | 8,020 |  |  |  |  |  | 7,362 |
Cork Street CLO Designated Activity Co. |
0.000% due 11/27/2028 ~ |  | EUR |  |  | 2,667 |  |  |  |  |  | 2,778 |

100 |  | PIMCO CLOSED-END FUNDS |  |  |  |  | See Accompanying Notes |

December 31, 2019 (Unaudited)

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
Coronado CDO Ltd. |
3.400% due 09/04/2038 • |  | $ |  |  | 10,834 |  |  | $ |  |  | 6,799 |
6.000% due 09/04/2038 |  |  |  |  | 1,667 |  |  |  |  |  | 1,268 |
Countrywide Asset-Backed Certificates |
1.922% due 12/25/2036 ^•(m) |  |  |  |  | 12,636 |  |  |  |  |  | 11,912 |
1.962% due 06/25/2047 •(m) |  |  |  |  | 1,510 |  |  |  |  |  | 1,508 |
1.992% due 06/25/2037 ^•(m) |  |  |  |  | 8,248 |  |  |  |  |  | 7,993 |
1.992% due 06/25/2047 ^•(m) |  |  |  |  | 21,360 |  |  |  |  |  | 19,232 |
2.052% due 01/25/2046 ^•(m) |  |  |  |  | 34,748 |  |  |  |  |  | 27,418 |
2.212% due 06/25/2036 ^•(m) |  |  |  |  | 8,000 |  |  |  |  |  | 7,661 |
4.414% due 02/25/2036 ~ |  |  |  |  | 40 |  |  |  |  |  | 41 |
Countrywide Asset-Backed Certificates Trust |
2.032% due 03/25/2047 ^•(m) |  |  |  |  | 7,655 |  |  |  |  |  | 7,023 |
2.522% due 04/25/2036 ^•(m) |  |  |  |  | 21,300 |  |  |  |  |  | 21,337 |
3.142% due 11/25/2035 • |  |  |  |  | 3,108 |  |  |  |  |  | 542 |
5.859% due 10/25/2046 ^~ |  |  |  |  | 2,251 |  |  |  |  |  | 2,135 |
Countrywide Home Equity Loan Trust |
5.657% due 03/25/2034 ~ |  |  |  |  | 46 |  |  |  |  |  | 46 |
Crecera Americas LLC |
5.563% due 08/31/2020 • |  |  |  |  | 22,300 |  |  |  |  |  | 22,324 |
Credit-Based Asset Servicing & Securitization CBO Corp. |
2.137% due 09/06/2041 • |  |  |  |  | 27,723 |  |  |  |  |  | 2,176 |
Credit-Based Asset Servicing & Securitization LLC |
6.250% due 10/25/2036 þ(m) |  |  |  |  | 7,993 |  |  |  |  |  | 8,174 |
CSAB Mortgage-Backed Trust |
5.500% due 05/25/2037 ^ |  |  |  |  | 3,137 |  |  |  |  |  | 2,882 |
ECAF Ltd. |
4.947% due 06/15/2040 (m) |  |  |  |  | 2,369 |  |  |  |  |  | 2,382 |
EMC Mortgage Loan Trust |
2.732% due 04/25/2042 •(m) |  |  |  |  | 1,595 |  |  |  |  |  | 1,591 |
5.167% due 04/25/2042 • |  |  |  |  | 2,813 |  |  |  |  |  | 2,543 |
First Franklin Mortgage Loan Trust |
2.262% due 11/25/2036 •(m) |  |  |  |  | 5,000 |  |  |  |  |  | 4,571 |
2.292% due 12/25/2035 •(m) |  |  |  |  | 23,487 |  |  |  |  |  | 22,372 |
Glacier Funding CDO Ltd. |
2.172% due 08/04/2035 • |  |  |  |  | 10,274 |  |  |  |  |  | 2,473 |
GMAC Mortgage Corp. Home Equity Loan Trust |
6.749% due 12/25/2037 þ |  |  |  |  | 2,388 |  |  |  |  |  | 2,443 |
GSAMP Trust |
3.667% due 06/25/2034 •(m) |  |  |  |  | 1,253 |  |  |  |  |  | 1,230 |
Hout Bay Corp. |
1.954% due 07/05/2041 • |  |  |  |  | 34,268 |  |  |  |  |  | 8,173 |
Hyundai Auto Receivables Trust |
1.000% due 12/15/2022 « |  |  |  |  | 7,500 |  |  |  |  |  | 5,746 |
IndyMac Home Equity Mortgage Loan Asset-Backed Trust |
6.192% due 12/25/2031 ^þ |  |  |  |  | 569 |  |  |  |  |  | 223 |
JPMorgan Mortgage Acquisition Corp. |
2.412% due 12/25/2035 •(m) |  |  |  |  | 16,459 |  |  |  |  |  | 16,193 |
KGS-Alpha SBA COOF Trust |
1.040% due 04/25/2038 «~(a) |  |  |  |  | 1,551 |  |  |  |  |  | 36 |
Lehman XS Trust |
6.170% due 06/24/2046 þ |  |  |  |  | 1,608 |  |  |  |  |  | 1,620 |
Long Beach Mortgage Loan Trust |
1.982% due 02/25/2036 •(m) |  |  |  |  | 10,028 |  |  |  |  |  | 8,941 |
2.312% due 08/25/2045 •(m) |  |  |  |  | 13,608 |  |  |  |  |  | 13,384 |
2.497% due 11/25/2035 •(m) |  |  |  |  | 16,062 |  |  |  |  |  | 13,902 |
2.842% due 02/25/2034 • |  |  |  |  | 118 |  |  |  |  |  | 118 |
2.842% due 06/25/2035 •(m) |  |  |  |  | 7,300 |  |  |  |  |  | 7,309 |
Marlette Funding Trust |
0.000% due 09/17/2029 «(g) |  |  |  |  | 12 |  |  |  |  |  | 4,722 |
MASTR Asset-Backed Securities Trust |
1.942% due 03/25/2036 •(m) |  |  |  |  | 7,735 |  |  |  |  |  | 5,723 |
2.362% due 01/25/2036 •(m) |  |  |  |  | 400 |  |  |  |  |  | 395 |
Mid-State Capital Corp. Trust |
6.742% due 10/15/2040 |  |  |  |  | 4,983 |  |  |  |  |  | 5,680 |
Morgan Stanley ABS Capital, Inc. Trust |
1.892% due 11/25/2036 • |  |  |  |  | 1,635 |  |  |  |  |  | 1,125 |
2.122% due 02/25/2037 •(m) |  |  |  |  | 5,759 |  |  |  |  |  | 3,571 |
2.827% due 01/25/2035 • |  |  |  |  | 1,777 |  |  |  |  |  | 1,200 |
Morgan Stanley Home Equity Loan Trust |
2.022% due 04/25/2037 •(m) |  |  |  |  | 29,265 |  |  |  |  |  | 19,468 |

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
National Collegiate Commutation Trust |
0.000% due 03/25/2038 • |  | $ |  |  | 37,800 |  |  | $ |  |  | 13,504 |
Oakwood Mortgage Investors, Inc. |
7.840% due 11/15/2029 ~ |  |  |  |  | 2,603 |  |  |  |  |  | 2,770 |
8.490% due 10/15/2030 ^(m) |  |  |  |  | 1,185 |  |  |  |  |  | 1,039 |
Ocean Trails CLO |
7.005% due 08/13/2025 •(m) |  |  |  |  | 1,500 |  |  |  |  |  | 1,498 |
Option One Mortgage Loan Trust |
2.152% due 01/25/2036 •(m) |  |  |  |  | 20,000 |  |  |  |  |  | 18,600 |
Palisades CDO Ltd. |
2.903% due 07/22/2039 • |  |  |  |  | 4,900 |  |  |  |  |  | 2,538 |
Popular ABS Mortgage Pass-Through Trust |
3.042% due 08/25/2035 •(m) |  |  |  |  | 3,663 |  |  |  |  |  | 3,766 |
Residential Asset Mortgage Products Trust |
2.767% due 04/25/2034 • |  |  |  |  | 3,704 |  |  |  |  |  | 3,647 |
Residential Asset Securities Corp. Trust |
2.032% due 08/25/2036 •(m) |  |  |  |  | 10,998 |  |  |  |  |  | 8,631 |
Saxon Asset Securities Trust |
2.242% due 11/25/2037 •(m) |  |  |  |  | 13,000 |  |  |  |  |  | 12,716 |
SLM Student Loan EDC Repackaging Trust |
0.000% due 10/28/2029 «(g) |  |  |  |  | 11 |  |  |  |  |  | 10,917 |
SLM Student Loan Trust |
0.000% due 01/25/2042 «(g) |  |  |  |  | 9 |  |  |  |  |  | 5,766 |
SMB Private Education Loan Trust |
0.000% due 10/15/2048 «(g) |  |  |  |  | 3 |  |  |  |  |  | 1,996 |
SoFi Professional Loan Program LLC |
0.000% due 03/25/2036 «(g) |  |  |  |  | 80 |  |  |  |  |  | 622 |
0.000% due 01/25/2039 (g) |  |  |  |  | 9,180 |  |  |  |  |  | 2,747 |
0.000% due 05/25/2040 (g) |  |  |  |  | 9,300 |  |  |  |  |  | 3,430 |
0.000% due 07/25/2040 «(g) |  |  |  |  | 47 |  |  |  |  |  | 1,878 |
0.000% due 09/25/2040 (g) |  |  |  |  | 4,003 |  |  |  |  |  | 2,000 |
Soloso CDO Ltd. |
2.363% due 10/07/2037 • |  |  |  |  | 4,800 |  |  |  |  |  | 3,948 |
Soundview Home Loan Trust |
2.072% due 06/25/2037 •(m) |  |  |  |  | 7,972 |  |  |  |  |  | 6,186 |
2.292% due 03/25/2036 •(m) |  |  |  |  | 16,905 |  |  |  |  |  | 16,508 |
South Coast Funding Ltd. |
2.303% due 01/06/2041 • |  |  |  |  | 145,851 |  |  |  |  |  | 33,832 |
Structured Asset Securities Corp. |
7.792% due 05/25/2032 ^• |  |  |  |  | 7,065 |  |  |  |  |  | 6,249 |
Symphony CLO Ltd. |
6.601% due 07/14/2026 •(m) |  |  |  |  | 4,400 |  |  |  |  |  | 4,141 |
Tropic CDO Ltd. |
2.321% due 07/15/2036 • |  |  |  |  | 4,378 |  |  |  |  |  | 3,990 |
Verde CDO Ltd. |
2.273% due 10/05/2045 • |  |  |  |  | 86,920 |  |  |  |  |  | 30,192 |
Total Asset-Backed Securities (Cost $561,692) |  |  | 584,159 |
SOVEREIGN ISSUES 4.6% |
Argentina Government International Bond |
2.500% due 07/22/2021 (h) |  | ARS |  |  | 37,645 |  |  |  |  |  | 299 |
3.375% due 01/15/2023 |  | EUR |  |  | 400 |  |  |  |  |  | 205 |
3.380% due 12/31/2038 þ(m) |  |  |  |  | 13,491 |  |  |  |  |  | 7,032 |
3.875% due 01/15/2022 (m) |  |  |  |  | 3,000 |  |  |  |  |  | 1,616 |
4.000% due 03/06/2020 (h) |  | ARS |  |  | 211,717 |  |  |  |  |  | 2,113 |
5.250% due 01/15/2028 |  | EUR |  |  | 300 |  |  |  |  |  | 150 |
6.250% due 11/09/2047 |  |  |  |  | 100 |  |  |  |  |  | 51 |
7.820% due 12/31/2033 (m) |  |  |  |  | 17,345 |  |  |  |  |  | 11,273 |
7.820% due 12/31/2033 |  |  |  |  | 405 |  |  |  |  |  | 258 |
15.500% due 10/17/2026 |  | ARS |  |  | 163,630 |  |  |  |  |  | 760 |
42.836% (BADLARPP + 2.000%) due 04/03/2022 ~ |  |  |  |  | 147,204 |  |  |  |  |  | 1,306 |
45.399% (BADLARPP + 3.250%) due 03/01/2020 ~ |  |  |  |  | 2,300 |  |  |  |  |  | 25 |
56.589% (ARLLMONP) due 06/21/2020 ~(a) |  |  |  |  | 267,776 |  |  |  |  |  | 2,422 |
59.928% (BADLARPP) due 10/04/2022 ~(a) |  |  |  |  | 138 |  |  |  |  |  | 2 |
Autonomous City of Buenos Aires Argentina |
44.086% due 03/29/2024 • |  |  |  |  | 866,312 |  |  |  |  |  | 9,948 |
51.313% (BADLARPP + 5.000%) due 01/23/2022 ~(a) |  |  |  |  | 50,490 |  |  |  |  |  | 632 |

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
Autonomous Community of Catalonia |
4.900% due 09/15/2021 |  | EUR |  |  | 50 |  |  | $ |  |  | 60 |
4.950% due 02/11/2020 |  |  |  |  | 50 |  |  |  |  |  | 56 |
Export-Credit Bank of Turkey |
8.250% due 01/24/2024 (m) |  | $ |  |  | 600 |  |  |  |  |  | 654 |
Provincia de Buenos Aires |
45.979% due 05/31/2022 • |  | ARS |  |  | 16,910 |  |  |  |  |  | 133 |
52.270% (BADLARPP + 3.750%) due 04/12/2025 ~(a) |  |  |  |  | 717,986 |  |  |  |  |  | 5,447 |
South Africa Government International Bond |
4.850% due 09/30/2029 (m) |  | $ |  |  | 3,200 |  |  |  |  |  | 3,208 |
5.750% due 09/30/2049 (m) |  |  |  |  | 2,200 |  |  |  |  |  | 2,147 |
Turkey Government International Bond |
3.250% due 06/14/2025 |  | EUR |  |  | 300 |  |  |  |  |  | 336 |
4.625% due 03/31/2025 (m) |  |  |  |  | 4,900 |  |  |  |  |  | 5,825 |
5.200% due 02/16/2026 (m) |  |  |  |  | 1,500 |  |  |  |  |  | 1,827 |
5.600% due 11/14/2024 (m) |  | $ |  |  | 7,300 |  |  |  |  |  | 7,441 |
7.625% due 04/26/2029 (m) |  |  |  |  | 6,400 |  |  |  |  |  | 7,086 |
Venezuela Government International Bond |
6.000% due 12/09/2020 ^(d) |  |  |  |  | 590 |  |  |  |  |  | 71 |
8.250% due 10/13/2024 ^(d) |  |  |  |  | 136 |  |  |  |  |  | 16 |
9.250% due 09/15/2027 ^(d) |  |  |  |  | 734 |  |  |  |  |  | 88 |
Total Sovereign Issues (Cost $115,110) |  |  | 72,487 |
|  |  |  | SHARES |  |  |  |  |  |
COMMON STOCKS 1.9% |
COMMUNICATION SERVICES 0.4% |
Clear Channel Outdoor Holdings, Inc. (e) |  |  |  |  | 1,495,047 |  |  |  |  |  | 4,276 |
iHeartMedia, Inc. |  |  |  |  | 1,108 |  |  |  |  |  | 17 |
iHeartMedia, Inc. ‘A’ (e) |  |  |  |  | 82,474 |  |  |  |  |  | 1,393 |
|  |  |  |  |  |  |  |  |  |  | 5,686 |
CONSUMER DISCRETIONARY 1.1% |
Caesars Entertainment Corp. (e) |  |  |  |  | 1,283,486 |  |  |  |  |  | 17,455 |
Desarrolladora Homex S.A.B. de C.V. (e) |  |  |  |  | 719,113 |  |  |  |  |  | 4 |
Urbi Desarrollos Urbanos S.A.B. de C.V. (e) |  |  |  |  | 95,515 |  |  |  |  |  | 5 |
|  |  |  |  |  |  |  |  |  |  | 17,464 |
ENERGY 0.1% |
Dommo Energia S.A. (e)(k) |  |  |  |  | 331,036 |  |  |  |  |  | 241 |
Dommo Energia S.A. « |  |  |  |  | 838,824 |  |  |  |  |  | 506 |
Dommo Energia S.A. SP - ADR «(e) |  |  |  |  | 2,627 |  |  |  |  |  | 19 |
|  |  |  |  |  |  |  |  |  |  | 766 |
INDUSTRIALS 0.0% |
Westmoreland Mining Holdings LLC «(k) |  |  |  |  | 358 |  |  |  |  |  | 5 |
UTILITIES 0.3% |
Eneva S.A. (e)(k) |  |  |  |  | 37,702 |  |  |  |  |  | 410 |
TexGen Power LLC « |  |  |  |  | 130,864 |  |  |  |  |  | 4,678 |
|  |  |  |  |  |  |  |  |  |  | 5,088 |
Total Common Stocks (Cost $38,307) |  |  | 29,009 |
WARRANTS 0.6% |
COMMUNICATION SERVICES 0.6% |
iHeartMedia, Inc. |  |  |  |  | 537,144 |  |  |  |  |  | 9,078 |
Total Warrants (Cost $9,849) |  |  | 9,078 |

See Accompanying Notes |  | SEMIANNUAL REPORT |  | DECEMBER 31, 2019 |  | 101

Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.)

|  |  |  | SHARES |  |  |  |  | MARKET VALUE (000S) |
PREFERRED SECURITIES 2.2% |
BANKING & FINANCE 2.2% |
AGFC Capital Trust |
3.751% (US0003M + 1.750%) due 01/15/2067 ~(m) |  |  |  |  | 12,900,000 |  |  | $ |  |  | 6,450 |
Nationwide Building Society |
10.250% ~(m) |  |  |  |  | 124,916 |  |  |  |  |  | 27,467 |
Stichting AK Rabobank Certificaten |
6.500% due 12/29/2049 (i) |  |  |  |  | 440,000 |  |  |  |  |  | 629 |
|  |  |  |  |  |  |  |  |  |  | 34,546 |
INDUSTRIALS 0.0% |
General Electric Co. |
5.000% due 01/21/2021 •(i)(m) |  |  |  |  | 737,000 |  |  |  |  |  | 723 |
Total Preferred Securities (Cost $33,822) |  |  | 35,269 |

|  |  |  | SHARES |  |  |  |  | MARKET VALUE (000S) |
REAL ESTATE INVESTMENT TRUSTS 1.0% |
REAL ESTATE 1.0% |
VICI Properties, Inc. |  |  |  |  | 594,589 |  |  | $ |  |  | 15,192 |
Total Real Estate Investment Trusts (Cost $7,461) |  |  | 15,192 |
SHORT-TERM INSTRUMENTS 5.9% |
REPURCHASE AGREEMENTS (l) 5.1% |
|  |  |  |  |  |  |  |  |  |  | 80,087 |
|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  |  |
ARGENTINA TREASURY BILLS 0.1% |
41.333% due 04/03/2020 «~ |  | ARS |  |  | 14,500 |  |  |  |  |  | 198 |
43.313% due 06/22/2020 «~ |  |  |  |  | 13,080 |  |  |  |  |  | 194 |
87.792% due 02/26/2020 - 08/27/2020 (f)(g) |  |  |  |  | 125,893 |  |  |  |  |  | 1,789 |
|  |  |  |  |  |  |  |  |  |  | 2,181 |

|  |  |  | PRINCIPAL AMOUNT (000S) |  |  |  |  | MARKET VALUE (000S) |
U.S. TREASURY BILLS 0.7% |
1.598% due 01/16/2020 - 02/27/2020 (f)(g)(m)(p) |  | $ |  |  | 11,428 |  |  | $ |  |  | 11,412 |
Total Short-Term Instruments (Cost $94,952) |  |  | 93,680 |
Total Investments in Securities (Cost $2,476,437) |  |  | 2,604,426 |
Total Investments 165.9% (Cost $2,476,437) |  |  | $ |  |  | 2,604,426 |
Financial Derivative Instruments (n)(o) (0.5)% (Cost or Premiums, net $(5,018)) |  |  | (7,661 | )
Other Assets and Liabilities, net (65.4)% |  |  | (1,026,868 | )
Net Assets 100.0% |  |  | $ |  |  | 1,569,897 |

NOTES TO CONSOLIDATED 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) | Interest only security.

(b) | Principal only security.

(c) | Payment in-kind security.

(d) | Security is not accruing income as of the date of this report.

(e) | Security did not produce income within the last twelve months.

(f) | Coupon represents a weighted average yield to maturity.

(g) | Zero coupon security.

(h) | Principal amount of security is adjusted for inflation.

(i) | Perpetual maturity; date shown, if applicable, represents next contractual call date.

(j) | Contingent convertible security.

(k) RESTRICTED SECURITIES:

Issuer Description |  |  |  |  |  | Acquisition Date |  |  | Cost |  |  | Market Value |  |  | Market Value as Percentage of Net Assets |
Buffalo Thunder Development Authority 0.000% due 11/15/2029 |  |  | 12/08/2014 |  |  | $ | 1 |  |  | $ | 2 |  |  |  | 0.00 | %
Dommo Energia S.A. |  |  |  |  |  |  | 12/21/2017 - 12/26/2017 |  |  |  | 86 |  |  |  | 241 |  |  |  | 0.01 |
Eneva S.A. |  |  |  |  |  |  | 12/21/2017 - 12/03/2019 |  |  |  | 175 |  |  |  | 410 |  |  |  | 0.03 |
Pinnacol Assurance 8.625% due 06/25/2034 |  |  |  |  |  |  | 06/23/2014 |  |  |  | 10,200 |  |  |  | 10,917 |  |  |  | 0.70 |
Preylock Reitman Santa Cruz Mezz LLC (0.005)% - 7.210% due 11/09/2022 |  |  | 04/09/2018 |  |  |  | 5,540 |  |  |  | 5,564 |  |  |  | 0.35 |
Project Anfora Senior 2.325% due 10/01/2026 |  |  |  |  |  |  | 09/30/2019 |  |  |  | 21,745 |  |  |  | 22,378 |  |  |  | 1.43 |
Theatre Hospitals PLC 4.190% due 12/15/2024 |  |  |  |  |  |  | 12/17/2018 |  |  |  | 11 |  |  |  | 0 |  |  |  | 0.00 |
Westmoreland Mining Holdings LLC |  |  |  |  |  |  | 03/26/2019 |  |  |  | 1 |  |  |  | 5 |  |  |  | 0.00 |
|  |  | $ | 37,759 |  |  | $ | 39,517 |  |  |  | 2.52 | %

102 |  | PIMCO CLOSED-END FUNDS |  |  |  |  | See Accompanying Notes |

December 31, 2019 (Unaudited)

BORROWINGS AND OTHER FINANCING TRANSACTIONS

(l) 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 |  |  | 1.250 | % |  |  | 12/31/2019 |  |  |  | 01/02/2020 |  |  | $ | 3,087 |  |  | U.S. Treasury Inflation Protected Securities 0.125% due 04/15/2020 |  | $ | (3,151 | ) |  | $ | 3,087 |  |  | $ | 3,087 |
JPS |  |  | 1.650 |  |  |  | 12/31/2019 |  |  |  | 01/02/2020 |  |  |  | 77,000 |  |  | U.S. Treasury Bonds 3.000% due 11/15/2045 |  |  | (77,894 | ) |  |  | 77,000 |  |  |  | 77,007 |
Total Repurchase Agreements |  |  |  |  | $ | (81,045 | ) |  | $ | 80,087 |  |  | $ | 80,094 |

REVERSE REPURCHASE AGREEMENTS:

Counterparty |  | Borrowing Rate(2) |  |  | Settlement Date |  |  | Maturity Date |  |  | Amount Borrowed(2) |  |  | Payable for Reverse Repurchase Agreements |
BCY |  |  | 1.900 | % |  |  | 11/01/2019 |  |  |  | TBD | (3) |  |  | $ |  |  |  | (88 | ) |  | $ | (88 | )
BNY |  |  | 2.740 |  |  |  | 11/05/2019 |  |  |  | 02/03/2020 |  |  |  |  |  |  |  | (30,790 | ) |  |  | (30,926 | )
|  |  | 2.744 |  |  |  | 11/21/2019 |  |  |  | 02/19/2020 |  |  |  |  |  |  |  | (19,285 | ) |  |  | (19,347 | )
|  |  | 2.758 |  |  |  | 11/05/2019 |  |  |  | 02/03/2020 |  |  |  |  |  |  |  | (7,332 | ) |  |  | (7,365 | )
|  |  | 2.769 |  |  |  | 11/27/2019 |  |  |  | 02/25/2020 |  |  |  |  |  |  |  | (9,521 | ) |  |  | (9,547 | )
|  |  | 2.893 |  |  |  | 10/04/2019 |  |  |  | 01/06/2020 |  |  |  |  |  |  |  | (15,946 | ) |  |  | (16,061 | )
BOS |  |  | 2.247 |  |  |  | 12/03/2019 |  |  |  | 01/07/2020 |  |  |  |  |  |  |  | (622 | ) |  |  | (623 | )
|  |  | 2.545 |  |  |  | 11/15/2019 |  |  |  | 01/15/2020 |  |  |  |  |  |  |  | (1,482 | ) |  |  | (1,487 | )
|  |  | 2.641 |  |  |  | 11/14/2019 |  |  |  | 01/14/2020 |  |  |  |  |  |  |  | (7,275 | ) |  |  | (7,301 | )
|  |  | 2.695 |  |  |  | 11/15/2019 |  |  |  | 01/15/2020 |  |  |  |  |  |  |  | (9,415 | ) |  |  | (9,449 | )
BPS |  |  | (0.100 | ) |  |  | 10/15/2019 |  |  |  | 01/23/2020 |  |  |  | EUR |  |  |  | (369 | ) |  |  | (414 | )
|  |  | (0.050 | ) |  |  | 11/12/2019 |  |  |  | 02/12/2020 |  |  |  |  |  |  |  | (7,397 | ) |  |  | (8,297 | )
|  |  | (0.050 | ) |  |  | 12/04/2019 |  |  |  | 03/04/2020 |  |  |  |  |  |  |  | (1,082 | ) |  |  | (1,214 | )
|  |  | 1.200 |  |  |  | 10/08/2019 |  |  |  | 01/08/2020 |  |  |  | GBP |  |  |  | (2,752 | ) |  |  | (3,656 | )
|  |  | 1.300 |  |  |  | 11/28/2019 |  |  |  | 02/28/2020 |  |  |  |  |  |  |  | (1,768 | ) |  |  | (2,345 | )
|  |  | 1.360 |  |  |  | 10/04/2019 |  |  |  | 02/04/2020 |  |  |  |  |  |  |  | (12,229 | ) |  |  | (16,252 | )
|  |  | 2.350 |  |  |  | 12/13/2019 |  |  |  | 01/10/2020 |  |  |  | $ |  |  |  | (1,208 | ) |  |  | (1,210 | )
|  |  | 2.370 |  |  |  | 01/06/2020 |  |  |  | 02/07/2020 |  |  |  |  |  |  |  | (1,399 | ) |  |  | (1,399 | )
|  |  | 2.400 |  |  |  | 11/18/2019 |  |  |  | 02/18/2020 |  |  |  |  |  |  |  | (12,729 | ) |  |  | (12,767 | )
|  |  | 2.500 |  |  |  | 11/14/2019 |  |  |  | 01/10/2020 |  |  |  |  |  |  |  | (6,394 | ) |  |  | (6,416 | )
|  |  | 2.550 |  |  |  | 10/24/2019 |  |  |  | 01/22/2020 |  |  |  |  |  |  |  | (10,459 | ) |  |  | (10,511 | )
|  |  | 2.550 |  |  |  | 12/19/2019 |  |  |  | 01/22/2020 |  |  |  |  |  |  |  | (428 | ) |  |  | (428 | )
|  |  | 2.580 |  |  |  | 11/27/2019 |  |  |  | 01/21/2020 |  |  |  |  |  |  |  | (2,500 | ) |  |  | (2,506 | )
|  |  | 2.650 |  |  |  | 10/24/2019 |  |  |  | 01/22/2020 |  |  |  |  |  |  |  | (3,343 | ) |  |  | (3,360 | )
|  |  | 2.650 |  |  |  | 11/07/2019 |  |  |  | 01/06/2020 |  |  |  |  |  |  |  | (1,332 | ) |  |  | (1,337 | )
|  |  | 2.703 |  |  |  | 11/18/2019 |  |  |  | 02/18/2020 |  |  |  |  |  |  |  | (1,652 | ) |  |  | (1,658 | )
|  |  | 2.853 |  |  |  | 11/18/2019 |  |  |  | 02/18/2020 |  |  |  |  |  |  |  | (11,838 | ) |  |  | (11,880 | )
|  |  | 2.892 |  |  |  | 03/05/2019 |  |  |  | 03/05/2020 |  |  |  |  |  |  |  | (42,398 | ) |  |  | (42,501 | )
|  |  | 2.892 |  |  |  | 10/07/2019 |  |  |  | 03/05/2020 |  |  |  |  |  |  |  | (5,782 | ) |  |  | (5,796 | )
|  |  | 2.898 |  |  |  | 11/21/2019 |  |  |  | 02/19/2020 |  |  |  |  |  |  |  | (16,454 | ) |  |  | (16,510 | )
|  |  | 2.900 |  |  |  | 11/13/2019 |  |  |  | 01/13/2020 |  |  |  |  |  |  |  | (2,096 | ) |  |  | (2,104 | )
|  |  | 3.127 |  |  |  | 10/07/2019 |  |  |  | 03/05/2020 |  |  |  |  |  |  |  | (16,286 | ) |  |  | (16,409 | )
|  |  | 3.144 |  |  |  | 12/14/2018 |  |  |  | TBD | (3) |  |  |  |  |  |  | (24,480 | ) |  |  | (24,962 | )
BRC |  |  | (0.500 | ) |  |  | 12/18/2019 |  |  |  | TBD | (3) |  |  | GBP |  |  |  | (605 | ) |  |  | (801 | )
|  |  | 1.850 |  |  |  | 11/01/2019 |  |  |  | TBD | (3) |  |  | $ |  |  |  | (2,835 | ) |  |  | (2,844 | )
|  |  | 2.250 |  |  |  | 11/04/2019 |  |  |  | 01/03/2020 |  |  |  |  |  |  |  | (2,968 | ) |  |  | (2,979 | )
|  |  | 2.250 |  |  |  | 11/27/2019 |  |  |  | 01/03/2020 |  |  |  |  |  |  |  | (1,926 | ) |  |  | (1,930 | )
|  |  | 2.250 |  |  |  | 01/03/2020 |  |  |  | 03/03/2020 |  |  |  |  |  |  |  | (4,901 | ) |  |  | (4,901 | )
|  |  | 2.804 |  |  |  | 12/27/2019 |  |  |  | 01/27/2020 |  |  |  |  |  |  |  | (23,332 | ) |  |  | (23,343 | )
|  |  | 2.884 |  |  |  | 10/10/2019 |  |  |  | 01/08/2020 |  |  |  |  |  |  |  | (1,176 | ) |  |  | (1,184 | )
|  |  | 2.934 |  |  |  | 10/22/2019 |  |  |  | 01/22/2020 |  |  |  |  |  |  |  | (4,035 | ) |  |  | (4,059 | )
|  |  | 2.935 |  |  |  | 10/25/2019 |  |  |  | 01/23/2020 |  |  |  |  |  |  |  | (9,696 | ) |  |  | (9,751 | )
|  |  | 3.117 |  |  |  | 12/13/2019 |  |  |  | 01/24/2020 |  |  |  |  |  |  |  | (7,041 | ) |  |  | (7,053 | )
DBL |  |  | 2.677 |  |  |  | 10/31/2019 |  |  |  | 01/31/2020 |  |  |  |  |  |  |  | (35,933 | ) |  |  | (36,101 | )
IND |  |  | (0.230 | ) |  |  | 10/07/2019 |  |  |  | 01/07/2020 |  |  |  | EUR |  |  |  | (4,292 | ) |  |  | (4,812 | )
|  |  | 2.640 |  |  |  | 11/20/2019 |  |  |  | 02/18/2020 |  |  |  | $ |  |  |  | (2,019 | ) |  |  | (2,025 | )
JML |  |  | (0.300 | ) |  |  | 10/18/2019 |  |  |  | 01/17/2020 |  |  |  | EUR |  |  |  | (666 | ) |  |  | (747 | )
|  |  | (0.250 | ) |  |  | 10/18/2019 |  |  |  | 01/17/2020 |  |  |  |  |  |  |  | (1,457 | ) |  |  | (1,633 | )
|  |  | (0.200 | ) |  |  | 10/23/2019 |  |  |  | 01/23/2020 |  |  |  |  |  |  |  | (997 | ) |  |  | (1,117 | )
|  |  | (0.116 | ) |  |  | 10/17/2019 |  |  |  | 01/17/2020 |  |  |  |  |  |  |  | (5,527 | ) |  |  | (6,198 | )
|  |  | (0.066 | ) |  |  | 10/17/2019 |  |  |  | 01/17/2020 |  |  |  |  |  |  |  | (1,023 | ) |  |  | (1,147 | )
|  |  | 0.200 |  |  |  | 10/15/2019 |  |  |  | 01/10/2020 |  |  |  |  |  |  |  | (5,333 | ) |  |  | (5,985 | )
|  |  | 0.900 |  |  |  | 10/15/2019 |  |  |  | 01/14/2020 |  |  |  | GBP |  |  |  | (1,588 | ) |  |  | (2,107 | )

See Accompanying Notes |  | SEMIANNUAL REPORT |  | DECEMBER 31, 2019 |  | 103

Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.)

Counterparty |  | Borrowing Rate(2) |  |  | Settlement Date |  |  | Maturity Date |  |  | Amount Borrowed(2) |  |  | Payable for Reverse Repurchase Agreements |
|  |  | 0.950 | % |  |  | 10/15/2019 |  |  |  | 01/14/2020 |  |  |  | GBP |  |  |  | (14,798 | ) |  | $ | (19,640 | )
|  |  | 0.950 |  |  |  | 10/16/2019 |  |  |  | 01/15/2020 |  |  |  |  |  |  |  | (14,783 | ) |  |  | (19,621 | )
|  |  | 0.950 |  |  |  | 10/17/2019 |  |  |  | 01/16/2020 |  |  |  |  |  |  |  | (13,598 | ) |  |  | (18,047 | )
|  |  | 0.950 |  |  |  | 10/18/2019 |  |  |  | 01/14/2020 |  |  |  |  |  |  |  | (3,310 | ) |  |  | (4,393 | )
|  |  | 0.950 |  |  |  | 10/18/2019 |  |  |  | 01/15/2020 |  |  |  |  |  |  |  | (1,278 | ) |  |  | (1,696 | )
|  |  | 0.950 |  |  |  | 10/18/2019 |  |  |  | 01/17/2020 |  |  |  |  |  |  |  | (5,141 | ) |  |  | (6,823 | )
|  |  | 0.950 |  |  |  | 10/22/2019 |  |  |  | 01/22/2020 |  |  |  |  |  |  |  | (622 | ) |  |  | (825 | )
|  |  | 0.950 |  |  |  | 10/23/2019 |  |  |  | 01/23/2020 |  |  |  |  |  |  |  | (14,214 | ) |  |  | (18,862 | )
|  |  | 0.950 |  |  |  | 11/20/2019 |  |  |  | 01/16/2020 |  |  |  |  |  |  |  | (943 | ) |  |  | (1,250 | )
MBC |  |  | 2.710 |  |  |  | 11/08/2019 |  |  |  | 02/07/2020 |  |  |  | $ |  |  |  | (4,099 | ) |  |  | (4,116 | )
|  |  | 2.760 |  |  |  | 11/04/2019 |  |  |  | 02/05/2020 |  |  |  |  |  |  |  | (11,352 | ) |  |  | (11,403 | )
|  |  | 2.780 |  |  |  | 11/04/2019 |  |  |  | 02/05/2020 |  |  |  |  |  |  |  | (20,429 | ) |  |  | (20,522 | )
|  |  | 2.810 |  |  |  | 11/08/2019 |  |  |  | 02/07/2020 |  |  |  |  |  |  |  | (2,798 | ) |  |  | (2,810 | )
|  |  | 3.010 |  |  |  | 11/04/2019 |  |  |  | 02/05/2020 |  |  |  |  |  |  |  | (3,611 | ) |  |  | (3,629 | )
MSB |  |  | 3.209 |  |  |  | 05/01/2019 |  |  |  | 05/01/2020 |  |  |  |  |  |  |  | (17,470 | ) |  |  | (17,577 | )
MZF |  |  | 2.453 |  |  |  | 11/05/2019 |  |  |  | 01/06/2020 |  |  |  |  |  |  |  | (2,571 | ) |  |  | (2,581 | )
|  |  | 2.853 |  |  |  | 11/05/2019 |  |  |  | 01/06/2020 |  |  |  |  |  |  |  | (5,283 | ) |  |  | (5,307 | )
|  |  | 3.003 |  |  |  | 11/05/2019 |  |  |  | 01/06/2020 |  |  |  |  |  |  |  | (1,935 | ) |  |  | (1,944 | )
NOM |  |  | 2.300 |  |  |  | 11/04/2019 |  |  |  | 01/03/2020 |  |  |  |  |  |  |  | (1,796 | ) |  |  | (1,803 | )
|  |  | 2.300 |  |  |  | 01/03/2020 |  |  |  | 02/04/2020 |  |  |  |  |  |  |  | (2,696 | ) |  |  | (2,696 | )
|  |  | 2.350 |  |  |  | 11/05/2019 |  |  |  | 02/03/2020 |  |  |  |  |  |  |  | (1,365 | ) |  |  | (1,370 | )
|  |  | 2.400 |  |  |  | 11/04/2019 |  |  |  | 01/03/2020 |  |  |  |  |  |  |  | (956 | ) |  |  | (960 | )
|  |  | 2.400 |  |  |  | 11/07/2019 |  |  |  | 01/07/2020 |  |  |  |  |  |  |  | (2,609 | ) |  |  | (2,619 | )
|  |  | 2.400 |  |  |  | 11/12/2019 |  |  |  | 01/13/2020 |  |  |  |  |  |  |  | (1,196 | ) |  |  | (1,200 | )
|  |  | 2.400 |  |  |  | 11/19/2019 |  |  |  | 01/21/2020 |  |  |  |  |  |  |  | (8,127 | ) |  |  | (8,151 | )
|  |  | 2.400 |  |  |  | 12/04/2019 |  |  |  | 01/21/2020 |  |  |  |  |  |  |  | (2,966 | ) |  |  | (2,972 | )
|  |  | 2.450 |  |  |  | 11/05/2019 |  |  |  | 02/03/2020 |  |  |  |  |  |  |  | (606 | ) |  |  | (608 | )
|  |  | 2.450 |  |  |  | 11/12/2019 |  |  |  | 01/13/2020 |  |  |  |  |  |  |  | (10,237 | ) |  |  | (10,273 | )
|  |  | 2.450 |  |  |  | 11/12/2019 |  |  |  | 02/03/2020 |  |  |  |  |  |  |  | (188 | ) |  |  | (189 | )
|  |  | 2.600 |  |  |  | 11/05/2019 |  |  |  | 02/03/2020 |  |  |  |  |  |  |  | (700 | ) |  |  | (703 | )
|  |  | 2.600 |  |  |  | 12/18/2019 |  |  |  | 02/03/2020 |  |  |  |  |  |  |  | (401 | ) |  |  | (401 | )
|  |  | 2.800 |  |  |  | 11/19/2019 |  |  |  | 01/21/2020 |  |  |  |  |  |  |  | (4,371 | ) |  |  | (4,386 | )
RCY |  |  | 2.500 |  |  |  | 11/19/2019 |  |  |  | 02/14/2020 |  |  |  |  |  |  |  | (6,784 | ) |  |  | (6,805 | )
RDR |  |  | 1.950 |  |  |  | 12/06/2019 |  |  |  | 01/06/2020 |  |  |  |  |  |  |  | (590 | ) |  |  | (591 | )
RTA |  |  | 2.270 |  |  |  | 11/15/2019 |  |  |  | 01/14/2020 |  |  |  |  |  |  |  | (986 | ) |  |  | (989 | )
|  |  | 2.328 |  |  |  | 11/18/2019 |  |  |  | 02/18/2020 |  |  |  |  |  |  |  | (2,003 | ) |  |  | (2,009 | )
|  |  | 2.329 |  |  |  | 11/08/2019 |  |  |  | 02/07/2020 |  |  |  |  |  |  |  | (7,918 | ) |  |  | (7,946 | )
|  |  | 2.364 |  |  |  | 10/25/2019 |  |  |  | 01/23/2020 |  |  |  |  |  |  |  | (11,703 | ) |  |  | (11,756 | )
|  |  | 2.364 |  |  |  | 11/27/2019 |  |  |  | 01/23/2020 |  |  |  |  |  |  |  | (311 | ) |  |  | (312 | )
|  |  | 2.378 |  |  |  | 10/21/2019 |  |  |  | 01/21/2020 |  |  |  |  |  |  |  | (2,781 | ) |  |  | (2,794 | )
|  |  | 2.452 |  |  |  | 10/08/2019 |  |  |  | 01/07/2020 |  |  |  |  |  |  |  | (4,443 | ) |  |  | (4,469 | )
|  |  | 2.452 |  |  |  | 12/23/2019 |  |  |  | 01/07/2020 |  |  |  |  |  |  |  | (1,335 | ) |  |  | (1,336 | )
|  |  | 2.504 |  |  |  | 11/08/2019 |  |  |  | 02/07/2020 |  |  |  |  |  |  |  | (341 | ) |  |  | (342 | )
|  |  | 2.791 |  |  |  | 11/21/2019 |  |  |  | 05/19/2020 |  |  |  |  |  |  |  | (10,807 | ) |  |  | (10,842 | )
|  |  | 2.794 |  |  |  | 11/07/2019 |  |  |  | 02/05/2020 |  |  |  |  |  |  |  | (18,117 | ) |  |  | (18,196 | )
|  |  | 2.803 |  |  |  | 11/18/2019 |  |  |  | 02/18/2020 |  |  |  |  |  |  |  | (31,437 | ) |  |  | (31,547 | )
|  |  | 2.988 |  |  |  | 08/28/2019 |  |  |  | 02/24/2020 |  |  |  |  |  |  |  | (35,451 | ) |  |  | (35,825 | )
|  |  | 3.059 |  |  |  | 09/23/2019 |  |  |  | 03/23/2020 |  |  |  |  |  |  |  | (19,304 | ) |  |  | (19,470 | )
|  |  | 3.063 |  |  |  | 09/25/2019 |  |  |  | 03/25/2020 |  |  |  |  |  |  |  | (3,871 | ) |  |  | (3,904 | )
SBI |  |  | 0.500 |  |  |  | 11/01/2019 |  |  |  | TBD | (3) |  |  |  |  |  |  | (7,584 | ) |  |  | (7,590 | )
|  |  | 2.839 |  |  |  | 10/24/2019 |  |  |  | 01/24/2020 |  |  |  |  |  |  |  | (1,445 | ) |  |  | (1,453 | )
|  |  | 2.854 |  |  |  | 11/14/2019 |  |  |  | 02/12/2020 |  |  |  |  |  |  |  | (14,434 | ) |  |  | (14,490 | )
|  |  | 3.186 |  |  |  | 10/11/2019 |  |  |  | 01/09/2020 |  |  |  |  |  |  |  | (2,803 | ) |  |  | (2,824 | )
SOG |  |  | 2.270 |  |  |  | 11/08/2019 |  |  |  | 01/09/2020 |  |  |  |  |  |  |  | (5,441 | ) |  |  | (5,460 | )
|  |  | 2.350 |  |  |  | 11/26/2019 |  |  |  | 02/24/2020 |  |  |  |  |  |  |  | (12,634 | ) |  |  | (12,664 | )
|  |  | 2.360 |  |  |  | 11/14/2019 |  |  |  | 02/12/2020 |  |  |  |  |  |  |  | (1,030 | ) |  |  | (1,033 | )
|  |  | 2.746 |  |  |  | 11/14/2019 |  |  |  | 01/16/2020 |  |  |  |  |  |  |  | (31,033 | ) |  |  | (31,149 | )
|  |  | 2.799 |  |  |  | 11/20/2019 |  |  |  | 02/19/2020 |  |  |  |  |  |  |  | (7,678 | ) |  |  | (7,704 | )
|  |  | 2.809 |  |  |  | 11/13/2019 |  |  |  | 02/11/2020 |  |  |  |  |  |  |  | (8,358 | ) |  |  | (8,391 | )
|  |  | 2.952 |  |  |  | 10/17/2019 |  |  |  | 01/17/2020 |  |  |  |  |  |  |  | (1,909 | ) |  |  | (1,921 | )
UBS |  |  | 0.120 |  |  |  | 11/22/2019 |  |  |  | 02/24/2020 |  |  |  | EUR |  |  |  | (687 | ) |  |  | (771 | )
|  |  | 0.150 |  |  |  | 11/20/2019 |  |  |  | 02/20/2020 |  |  |  |  |  |  |  | (354 | ) |  |  | (397 | )
|  |  | 0.150 |  |  |  | 12/16/2019 |  |  |  | 02/20/2020 |  |  |  |  |  |  |  | (382 | ) |  |  | (429 | )
|  |  | 1.605 |  |  |  | 10/29/2019 |  |  |  | 01/29/2020 |  |  |  | GBP |  |  |  | (8,197 | ) |  |  | (10,888 | )
|  |  | 2.250 |  |  |  | 11/01/2019 |  |  |  | TBD | (3) |  |  | $ |  |  |  | (32,446 | ) |  |  | (32,572 | )
|  |  | 2.300 |  |  |  | 12/06/2019 |  |  |  | 01/08/2020 |  |  |  |  |  |  |  | (2,174 | ) |  |  | (2,178 | )
|  |  | 2.400 |  |  |  | 12/13/2019 |  |  |  | 01/10/2020 |  |  |  |  |  |  |  | (4,510 | ) |  |  | (4,516 | )
|  |  | 2.450 |  |  |  | 10/28/2019 |  |  |  | 01/27/2020 |  |  |  |  |  |  |  | (3,614 | ) |  |  | (3,630 | )
|  |  | 2.450 |  |  |  | 11/01/2019 |  |  |  | 01/30/2020 |  |  |  |  |  |  |  | (1,622 | ) |  |  | (1,629 | )
|  |  | 2.450 |  |  |  | 11/06/2019 |  |  |  | 02/04/2020 |  |  |  |  |  |  |  | (2,724 | ) |  |  | (2,735 | )

104 |  | PIMCO CLOSED-END FUNDS |  |  |  |  | See Accompanying Notes |

December 31, 2019 (Unaudited)

Counterparty |  | Borrowing Rate(2) |  |  | Settlement Date |  |  | Maturity Date |  |  | Amount Borrowed(2) |  |  | Payable for Reverse Repurchase Agreements |
|  |  | 2.450 | % |  |  | 11/07/2019 |  |  |  | 02/05/2020 |  |  | $ |  |  |  |  | (7,942 | ) |  | $ | (7,972 | )
|  |  | 2.450 |  |  |  | 11/12/2019 |  |  |  | 02/10/2020 |  |  |  |  |  |  |  | (24,128 | ) |  |  | (24,212 | )
|  |  | 2.450 |  |  |  | 11/14/2019 |  |  |  | 01/07/2020 |  |  |  |  |  |  |  | (6,679 | ) |  |  | (6,701 | )
|  |  | 2.450 |  |  |  | 11/21/2019 |  |  |  | 02/19/2020 |  |  |  |  |  |  |  | (11,746 | ) |  |  | (11,780 | )
|  |  | 2.450 |  |  |  | 11/29/2019 |  |  |  | 01/07/2020 |  |  |  |  |  |  |  | (4,474 | ) |  |  | (4,484 | )
|  |  | 2.450 |  |  |  | 12/10/2019 |  |  |  | 01/07/2020 |  |  |  |  |  |  |  | (2,994 | ) |  |  | (2,999 | )
|  |  | 2.450 |  |  |  | 12/16/2019 |  |  |  | 01/30/2020 |  |  |  |  |  |  |  | (707 | ) |  |  | (708 | )
|  |  | 2.450 |  |  |  | 12/19/2019 |  |  |  | 01/07/2020 |  |  |  |  |  |  |  | (2,033 | ) |  |  | (2,035 | )
|  |  | 2.450 |  |  |  | 12/23/2019 |  |  |  | 01/07/2020 |  |  |  |  |  |  |  | (2,118 | ) |  |  | (2,119 | )
|  |  | 2.450 |  |  |  | 12/31/2019 |  |  |  | 01/07/2020 |  |  |  |  |  |  |  | (1,764 | ) |  |  | (1,764 | )
|  |  | 2.450 |  |  |  | 12/31/2019 |  |  |  | 02/19/2020 |  |  |  |  |  |  |  | (7,005 | ) |  |  | (7,005 | )
|  |  | 2.500 |  |  |  | 10/21/2019 |  |  |  | 01/22/2020 |  |  |  |  |  |  |  | (3,272 | ) |  |  | (3,289 | )
|  |  | 2.500 |  |  |  | 10/25/2019 |  |  |  | 01/24/2020 |  |  |  |  |  |  |  | (1,797 | ) |  |  | (1,806 | )
|  |  | 2.500 |  |  |  | 11/06/2019 |  |  |  | 02/04/2020 |  |  |  |  |  |  |  | (8,954 | ) |  |  | (8,989 | )
|  |  | 2.500 |  |  |  | 11/07/2019 |  |  |  | 02/05/2020 |  |  |  |  |  |  |  | (1,749 | ) |  |  | (1,756 | )
|  |  | 2.500 |  |  |  | 11/14/2019 |  |  |  | 01/07/2020 |  |  |  |  |  |  |  | (3,065 | ) |  |  | (3,075 | )
|  |  | 2.500 |  |  |  | 11/21/2019 |  |  |  | 02/19/2020 |  |  |  |  |  |  |  | (5,742 | ) |  |  | (5,759 | )
|  |  | 2.500 |  |  |  | 11/27/2019 |  |  |  | 01/24/2020 |  |  |  |  |  |  |  | (568 | ) |  |  | (569 | )
|  |  | 2.600 |  |  |  | 10/25/2019 |  |  |  | 01/24/2020 |  |  |  |  |  |  |  | (1,453 | ) |  |  | (1,460 | )
|  |  | 2.889 |  |  |  | 10/25/2019 |  |  |  | 01/24/2020 |  |  |  |  |  |  |  | (1,277 | ) |  |  | (1,284 | )
Total Reverse Repurchase Agreements |  |  |  |  |  |  |  |  |  |  | $ | (1,029,543 | )

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, 2019:

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 |
BCY |  | $ | 0 |  |  | $ | (88 | ) |  | $ | 0 |  |  | $ | (88 | ) |  | $ | 85 |  |  | $ | (3 | )
BNY |  |  | 0 |  |  |  | (83,246 | ) |  |  | 0 |  |  |  | (83,246 | ) |  |  | 104,082 |  |  |  | 20,836 |
BOS |  |  | 0 |  |  |  | (18,860 | ) |  |  | 0 |  |  |  | (18,860 | ) |  |  | 23,845 |  |  |  | 4,985 |
BPS |  |  | 0 |  |  |  | (193,932 | ) |  |  | 0 |  |  |  | (193,932 | ) |  |  | 233,636 |  |  |  | 39,704 |
BRC |  |  | 0 |  |  |  | (58,845 | ) |  |  | 0 |  |  |  | (58,845 | ) |  |  | 73,179 |  |  |  | 14,334 |
DBL |  |  | 0 |  |  |  | (36,101 | ) |  |  | 0 |  |  |  | (36,101 | ) |  |  | 50,217 |  |  |  | 14,116 |
FICC |  |  | 3,087 |  |  |  | 0 |  |  |  | 0 |  |  |  | 3,087 |  |  |  | (3,151 | ) |  |  | (64 | )
IND |  |  | 0 |  |  |  | (6,837 | ) |  |  | 0 |  |  |  | (6,837 | ) |  |  | 7,530 |  |  |  | 693 |
JML |  |  | 0 |  |  |  | (110,091 | ) |  |  | 0 |  |  |  | (110,091 | ) |  |  | 128,259 |  |  |  | 18,168 |
JPS |  |  | 77,007 |  |  |  | 0 |  |  |  | 0 |  |  |  | 77,007 |  |  |  | (77,894 | ) |  |  | (887 | )
MBC |  |  | 0 |  |  |  | (42,480 | ) |  |  | 0 |  |  |  | (42,480 | ) |  |  | 53,824 |  |  |  | 11,344 |
MSB |  |  | 0 |  |  |  | (17,577 | ) |  |  | 0 |  |  |  | (17,577 | ) |  |  | 23,371 |  |  |  | 5,794 |
MZF |  |  | 0 |  |  |  | (9,832 | ) |  |  | 0 |  |  |  | (9,832 | ) |  |  | 12,848 |  |  |  | 3,016 |
NOM |  |  | 0 |  |  |  | (38,331 | ) |  |  | 0 |  |  |  | (38,331 | ) |  |  | 38,969 |  |  |  | 638 |
RCY |  |  | 0 |  |  |  | (6,805 | ) |  |  | 0 |  |  |  | (6,805 | ) |  |  | 8,360 |  |  |  | 1,555 |
RDR |  |  | 0 |  |  |  | (591 | ) |  |  | 0 |  |  |  | (591 | ) |  |  | 611 |  |  |  | 20 |
RTA |  |  | 0 |  |  |  | (151,737 | ) |  |  | 0 |  |  |  | (151,737 | ) |  |  | 193,106 |  |  |  | 41,369 |
SBI |  |  | 0 |  |  |  | (26,357 | ) |  |  | 0 |  |  |  | (26,357 | ) |  |  | 31,553 |  |  |  | 5,196 |
SOG |  |  | 0 |  |  |  | (68,322 | ) |  |  | 0 |  |  |  | (68,322 | ) |  |  | 91,032 |  |  |  | 22,710 |
UBS |  |  | 0 |  |  |  | (159,511 | ) |  |  | 0 |  |  |  | (159,511 | ) |  |  | 185,728 |  |  |  | 26,217 |
Total Borrowings and Other Financing Transactions |  | $ | 80,094 |  |  | $ | (1,029,543 | ) |  | $ | 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 |  |  | $ | (220,268 | ) |  | $ | (86,875 | ) |  | $ | (43,896 | ) |  | $ | (351,039 | )
Convertible Bonds & Notes |  |  | 0 |  |  |  | (2,972 | ) |  |  | 0 |  |  |  | 0 |  |  |  | (2,972 | )
U.S. Government Agencies |  |  | 0 |  |  |  | (6,212 | ) |  |  | (8,462 | ) |  |  | 0 |  |  |  | (14,674 | )
Non-Agency Mortgage-Backed Securities |  |  | 0 |  |  |  | (118,854 | ) |  |  | (265,162 | ) |  |  | (28,419 | ) |  |  | (412,435 | )
Asset-Backed Securities |  |  | 0 |  |  |  | (28,857 | ) |  |  | (124,779 | ) |  |  | (24,962 | ) |  |  | (178,598 | )
Sovereign Issues |  |  | 0 |  |  |  | (11,308 | ) |  |  | (22,278 | ) |  |  | 0 |  |  |  | (33,586 | )

See Accompanying Notes |  | SEMIANNUAL REPORT |  | DECEMBER 31, 2019 |  | 105

Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.)

|  | Overnight and Continuous |  |  | Up to 30 days |  |  | 31-90 days |  |  | Greater Than 90 days |  |  | Total |
Common Stocks |  | $ | 0 |  |  | $ | (747 | ) |  | $ | (9,485 | ) |  | $ | 0 |  |  | $ | (10,232 | )
Preferred Securities |  |  | 0 |  |  |  | (5,231 | ) |  |  | (11,780 | ) |  |  | 0 |  |  |  | (17,011 | )
Total Borrowings |  | $ | 0 |  |  | $ | (394,449 | ) |  | $ | (528,821 | ) |  | $ | (97,277 | ) |  | $ | (1,020,547 | )
Payable for reverse repurchase agreements(5) |  |  | $ | (1,020,547 | )

(m) | Securities with an aggregate market value of $1,261,465 and cash of $9,580 have been pledged as collateral under the terms of the above master agreements as of December 31, 2019.

(1) | Includes accrued interest.

(2) | The average amount of borrowings outstanding during the period ended December 31, 2019 was $(1,065,254) at a weighted average interest rate of 2.662%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.

(3) | Open maturity reverse repurchase agreement.

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

(5) | Unsettled reverse repurchase agreements liability of $(8,996) is outstanding at period end.

(n) 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, 2019(2) |  |  | Notional Amount(3) |  |  | Premiums Paid/(Received) |  |  | Unrealized Appreciation/ (Depreciation) |  |  | Market Value(4) |  |  | Variation Margin |
| Asset |  |  | Liability |
Bombardier, Inc. |  |  | 5.000 | % |  |  | Quarterly |  |  |  | 06/20/2024 |  |  |  | 3.485 | % |  | $ | 3,000 |  |  | $ | (6 | ) |  | $ | 190 |  |  | $ | 184 |  |  | $ | 0 |  |  | $ | 0 |
Bombardier, Inc. |  |  | 5.000 |  |  |  | Quarterly |  |  |  | 12/20/2024 |  |  |  | 3.682 |  |  |  | 2,100 |  |  |  | (8 | ) |  |  | 130 |  |  |  | 122 |  |  |  | 2 |  |  |  | 0 |
Frontier Communications Corp. |  |  | 5.000 |  |  |  | Quarterly |  |  |  | 06/20/2020 |  |  |  | 195.572 |  |  |  | 14,700 |  |  |  | (505 | ) |  |  | (6,102 | ) |  |  | (6,607 | ) |  |  | 0 |  |  |  | (114 | )
Frontier Communications Corp. |  |  | 5.000 |  |  |  | Quarterly |  |  |  | 06/20/2022 |  |  |  | 96.944 |  |  |  | 1,200 |  |  |  | (162 | ) |  |  | (418 | ) |  |  | (580 | ) |  |  | 0 |  |  |  | (4 | )
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | (681 | ) |  | $ | (6,200 | ) |  | $ | (6,881 | ) |  | $ | 2 |  |  | $ | (118 | )

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 |  | 3-Month USD-LIBOR |  |  | 1.750% |  |  | Semi-Annual |  |  | 12/21/2026 |  |  | $ |  |  | 303,000 |  |  | $ | 7,433 |  |  | $ | (8,605 | ) |  | $ | (1,172 | ) |  | $ | 0 |  |  | $ | (613 | )
Pay |  | 3-Month USD-LIBOR |  |  | 2.500 |  |  | Semi-Annual |  |  | 12/20/2027 |  |  |  |  |  | 91,250 |  |  |  | 1,072 |  |  |  | 3,436 |  |  |  | 4,508 |  |  |  | 0 |  |  |  | (212 | )
Pay |  | 3-Month USD-LIBOR |  |  | 3.000 |  |  | Semi-Annual |  |  | 06/19/2029 |  |  |  |  |  | 210,500 |  |  |  | 10,144 |  |  |  | 10,364 |  |  |  | 20,508 |  |  |  | 0 |  |  |  | (627 | )
Receive |  | 3-Month USD-LIBOR |  |  | 2.500 |  |  | Semi-Annual |  |  | 06/15/2036 |  |  |  |  |  | 19,800 |  |  |  | (1,952 | ) |  |  | 668 |  |  |  | (1,284 | ) |  |  | 119 |  |  |  | 0 |
Receive |  | 3-Month USD-LIBOR |  |  | 2.750 |  |  | Semi-Annual |  |  | 03/20/2043 |  |  |  |  |  | 34,100 |  |  |  | (114 | ) |  |  | (4,311 | ) |  |  | (4,425 | ) |  |  | 301 |  |  |  | 0 |
Receive |  | 3-Month USD-LIBOR |  |  | 2.750 |  |  | Semi-Annual |  |  | 12/16/2045 |  |  |  |  |  | 3,800 |  |  |  | (52 | ) |  |  | (458 | ) |  |  | (510 | ) |  |  | 38 |  |  |  | 0 |
Receive |  | 3-Month USD-LIBOR |  |  | 2.500 |  |  | Semi-Annual |  |  | 06/20/2048 |  |  |  |  |  | 3,100 |  |  |  | 287 |  |  |  | (553 | ) |  |  | (266 | ) |  |  | 34 |  |  |  | 0 |
Receive |  | 3-Month USD-LIBOR |  |  | 2.250 |  |  | Semi-Annual |  |  | 12/11/2049 |  |  |  |  |  | 54,200 |  |  |  | (89 | ) |  |  | (1,624 | ) |  |  | (1,713 | ) |  |  | 618 |  |  |  | 0 |
Receive(5) |  | 3-Month USD-LIBOR |  |  | 2.250 |  |  | Semi-Annual |  |  | 03/12/2050 |  |  |  |  |  | 42,000 |  |  |  | (126 | ) |  |  | (1,178 | ) |  |  | (1,304 | ) |  |  | 482 |  |  |  | 0 |
Receive(5) |  | 6-Month EUR-EURIBOR |  |  | 0.150 |  |  | Annual |  |  | 03/18/2030 |  |  | EUR |  |  | 20,400 |  |  |  | 373 |  |  |  | 491 |  |  |  | 864 |  |  |  | 110 |  |  |  | 0 |
Receive(5) |  | 6-Month EUR-EURIBOR |  |  | 0.250 |  |  | Annual |  |  | 03/18/2050 |  |  |  |  |  | 2,500 |  |  |  | 139 |  |  |  | 164 |  |  |  | 303 |  |  |  | 38 |  |  |  | 0 |
Receive(5) |  | 6-Month EUR-EURIBOR |  |  | 0.150 |  |  | Annual |  |  | 06/17/2030 |  |  | $ |  |  | 1,200 |  |  |  | (1 | ) |  |  | 15 |  |  |  | 14 |  |  |  | 7 |  |  |  | 0 |
Receive(5) |  | 6-Month GBP-LIBOR |  |  | 0.750 |  |  | Semi-Annual |  |  | 03/18/2030 |  |  | GBP |  |  | 89,870 |  |  |  | 935 |  |  |  | 2,217 |  |  |  | 3,152 |  |  |  | 694 |  |  |  | 0 |
Receive(5) |  | 6-Month GBP-LIBOR |  |  | 0.750 |  |  | Semi-Annual |  |  | 03/18/2050 |  |  |  |  |  | 14,800 |  |  |  | 320 |  |  |  | 1,549 |  |  |  | 1,869 |  |  |  | 314 |  |  |  | 0 |
|  |  |  |  |  |  |  |  | $ | 18,369 |  |  | $ | 2,175 |  |  | $ | 20,544 |  |  | $ | 2,755 |  |  | $ | (1,452 | )
Total Swap Agreements |  |  |  |  |  | $ | 17,688 |  |  | $ | (4,025 | ) |  | $ | 13,663 |  |  | $ | 2,757 |  |  | $ | (1,570 | )

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, 2019:

|  | 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 |  |  | $ | 2,757 |  |  | $ | 2,757 |  |  |  |  |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | (1,570) |  |  | $ | (1,570) |

106 |  | PIMCO CLOSED-END FUNDS |  |  |  |  | See Accompanying Notes |

December 31, 2019 (Unaudited)

Cash of $26,761 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2019.

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

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

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

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

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

(o) 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 |
BPS |  |  | 01/2020 |  |  | EUR |  |  | 1,342 |  |  | $ |  |  | 1,501 |  |  | $ | 0 |  |  | $ | (5 | )
|  |  | 01/2020 |  |  | GBP |  |  | 103,736 |  |  |  |  |  | 134,333 |  |  |  | 0 |  |  |  | (3,104 | )
|  |  | 01/2020 |  |  | $ |  |  | 146 |  |  | CLP |  |  | 113,004 |  |  |  | 4 |  |  |  | 0 |
|  |  | 01/2020 |  |  |  |  |  | 2,084 |  |  | EUR |  |  | 1,861 |  |  |  | 4 |  |  |  | 0 |
|  |  | 01/2020 |  |  |  |  |  | 3,921 |  |  | GBP |  |  | 2,982 |  |  |  | 41 |  |  |  | (12 | )
|  |  | 02/2020 |  |  | PEN |  |  | 7,855 |  |  | $ |  |  | 2,315 |  |  |  | 0 |  |  |  | (53 | )
BRC |  |  | 01/2020 |  |  | EUR |  |  | 1,232 |  |  |  |  |  | 1,368 |  |  |  | 0 |  |  |  | (15 | )
|  |  | 01/2020 |  |  | MXN |  |  | 155,729 |  |  |  |  |  | 8,090 |  |  |  | 0 |  |  |  | (124 | )
|  |  | 06/2020 |  |  | $ |  |  | 7,917 |  |  | MXN |  |  | 155,729 |  |  |  | 121 |  |  |  | 0 |
CBK |  |  | 01/2020 |  |  | BRL |  |  | 20,672 |  |  | $ |  |  | 5,085 |  |  |  | 0 |  |  |  | (54 | )
|  |  | 01/2020 |  |  | $ |  |  | 5,129 |  |  | BRL |  |  | 20,672 |  |  |  | 10 |  |  |  | 0 |
|  |  | 01/2020 |  |  |  |  |  | 944 |  |  | CLP |  |  | 740,957 |  |  |  | 42 |  |  |  | 0 |
|  |  | 01/2020 |  |  |  |  |  | 15,689 |  |  | MXN |  |  | 307,220 |  |  |  | 515 |  |  |  | 0 |
|  |  | 02/2020 |  |  |  |  |  | 5,079 |  |  | BRL |  |  | 20,672 |  |  |  | 56 |  |  |  | 0 |
DUB |  |  | 01/2020 |  |  | BRL |  |  | 20,611 |  |  | $ |  |  | 5,114 |  |  |  | 0 |  |  |  | (10 | )
|  |  | 01/2020 |  |  | $ |  |  | 4,878 |  |  | BRL |  |  | 20,611 |  |  |  | 245 |  |  |  | 0 |
GLM |  |  | 01/2020 |  |  | BRL |  |  | 60 |  |  | $ |  |  | 15 |  |  |  | 0 |  |  |  | 0 |
|  |  | 01/2020 |  |  | $ |  |  | 15 |  |  | BRL |  |  | 60 |  |  |  | 0 |  |  |  | 0 |
|  |  | 01/2020 |  |  |  |  |  | 37 |  |  | CLP |  |  | 29,054 |  |  |  | 2 |  |  |  | 0 |
|  |  | 02/2020 |  |  |  |  |  | 4,204 |  |  | RUB |  |  | 269,510 |  |  |  | 118 |  |  |  | 0 |
HUS |  |  | 01/2020 |  |  | GBP |  |  | 1,794 |  |  | $ |  |  | 2,367 |  |  |  | 0 |  |  |  | (10 | )
|  |  | 01/2020 |  |  | MXN |  |  | 151,491 |  |  |  |  |  | 7,840 |  |  |  | 0 |  |  |  | (150 | )
|  |  | 01/2020 |  |  | $ |  |  | 46 |  |  | CLP |  |  | 36,064 |  |  |  | 2 |  |  |  | 0 |
|  |  | 01/2020 |  |  |  |  |  | 1,585 |  |  | GBP |  |  | 1,228 |  |  |  | 42 |  |  |  | 0 |
|  |  | 01/2020 |  |  |  |  |  | 12,546 |  |  | RUB |  |  | 829,268 |  |  |  | 791 |  |  |  | 0 |
|  |  | 05/2020 |  |  |  |  |  | 7,722 |  |  | MXN |  |  | 151,491 |  |  |  | 147 |  |  |  | 0 |
MYI |  |  | 01/2020 |  |  | EUR |  |  | 89,702 |  |  | $ |  |  | 99,184 |  |  |  | 0 |  |  |  | (1,478 | )
|  |  | 03/2020 |  |  | $ |  |  | 13,696 |  |  | RUB |  |  | 889,983 |  |  |  | 528 |  |  |  | 0 |
RYL |  |  | 01/2020 |  |  | CLP |  |  | 263,354 |  |  | $ |  |  | 346 |  |  |  | 0 |  |  |  | (4 | )
|  |  | 01/2020 |  |  | $ |  |  | 392 |  |  | CLP |  |  | 299,459 |  |  |  | 6 |  |  |  | 0 |
TOR |  |  | 01/2020 |  |  |  |  |  | 247 |  |  |  |  |  | 194,018 |  |  |  | 11 |  |  |  | 0 |
UAG |  |  | 01/2020 |  |  | GBP |  |  | 2,678 |  |  | $ |  |  | 3,512 |  |  |  | 0 |  |  |  | (36 | )
Total Forward Foreign Currency Contracts |  |  | $ | 2,685 |  |  | $ | (5,055 | )

SWAP AGREEMENTS:

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

Counterparty |  | Index/Tranches |  | Fixed Receive Rate |  |  | Payment Frequency |  | Maturity Date |  |  | Notional Amount(2) |  |  | Premiums Paid/(Received) |  |  | Unrealized Appreciation/ (Depreciation) |  |  | Swap Agreements, at Value(3) |
| Asset |  |  | Liability |
FBF |  | ABX.HE.AA.6-2 Index |  |  | 0.170% |  |  | Monthly |  |  | 05/25/2046 |  |  | $ |  |  |  |  | 25,547 |  |  | $ | (22,706 | ) |  | $ | 16,228 |  |  | $ | 0 |  |  | $ | (6,478 | )
Total Swap Agreements |  |  | $ | (22,706 | ) |  | $ | 16,228 |  |  | $ | 0 |  |  | $ | (6,478 | )

See Accompanying Notes |  | SEMIANNUAL REPORT |  | DECEMBER 31, 2019 |  | 107

Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.)

FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER SUMMARY

The following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral pledged/(received) as of December 31, 2019:

Counterparty |  | Financial Derivative Assets |  |  |  |  |  | Financial Derivative Liabilities |  |  | Net Market Value of OTC Derivatives |  |  | Collateral Pledged/ (Received) |  |  | Net Exposure(4) |
| Forward Foreign Currency Contracts |  |  | Purchased Options |  |  | Swap Agreements |  |  | Total Over the Counter |  |  |  |  |  | Forward Foreign Currency Contracts |  |  | Written Options |  |  | Swap Agreements |  |  | Total Over the Counter |
BPS |  | $ | 49 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 49 |  |  |  |  |  |  | $ | (3,174 | ) |  | $ | 0 |  |  | $ | 0 |  |  | $ | (3,174 | ) |  | $ | (3,125 | ) |  | $ | 1,580 |  |  | $ | (1,545 | )
BRC |  |  | 121 |  |  |  | 0 |  |  |  | 0 |  |  |  | 121 |  |  |  |  |  |  |  | (139 | ) |  |  | 0 |  |  |  | 0 |  |  |  | (139 | ) |  |  | (18 | ) |  |  | 0 |  |  |  | (18 | )
CBK |  |  | 623 |  |  |  | 0 |  |  |  | 0 |  |  |  | 623 |  |  |  |  |  |  |  | (54 | ) |  |  | 0 |  |  |  | 0 |  |  |  | (54 | ) |  |  | 569 |  |  |  | (540 | ) |  |  | 29 |
DUB |  |  | 245 |  |  |  | 0 |  |  |  | 0 |  |  |  | 245 |  |  |  |  |  |  |  | (10 | ) |  |  | 0 |  |  |  | 0 |  |  |  | (10 | ) |  |  | 235 |  |  |  | (190 | ) |  |  | 45 |
FBF |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  |  |  |  |  | 0 |  |  |  | 0 |  |  |  | (6,478 | ) |  |  | (6,478 | ) |  |  | (6,478 | ) |  |  | 6,660 |  |  |  | 182 |
GLM |  |  | 120 |  |  |  | 0 |  |  |  | 0 |  |  |  | 120 |  |  |  |  |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 120 |  |  |  | (260 | ) |  |  | (140 | )
HUS |  |  | 982 |  |  |  | 0 |  |  |  | 0 |  |  |  | 982 |  |  |  |  |  |  |  | (160 | ) |  |  | 0 |  |  |  | 0 |  |  |  | (160 | ) |  |  | 822 |  |  |  | (620 | ) |  |  | 202 |
MYI |  |  | 528 |  |  |  | 0 |  |  |  | 0 |  |  |  | 528 |  |  |  |  |  |  |  | (1,478 | ) |  |  | 0 |  |  |  | 0 |  |  |  | (1,478 | ) |  |  | (950 | ) |  |  | 845 |  |  |  | (105 | )
RYL |  |  | 6 |  |  |  | 0 |  |  |  | 0 |  |  |  | 6 |  |  |  |  |  |  |  | (4 | ) |  |  | 0 |  |  |  | 0 |  |  |  | (4 | ) |  |  | 2 |  |  |  | 0 |  |  |  | 2 |
TOR |  |  | 11 |  |  |  | 0 |  |  |  | 0 |  |  |  | 11 |  |  |  |  |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 11 |  |  |  | 0 |  |  |  | 11 |
UAG |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  |  |  |  |  | (36 | ) |  |  | 0 |  |  |  | 0 |  |  |  | (36 | ) |  |  | (36 | ) |  |  | 0 |  |  |  | (36 | )
Total Over the Counter |  | $ | 2,685 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 2,685 |  |  |  |  |  |  | $ | (5,055 | ) |  | $ | 0 |  |  | $ | (6,478 | ) |  | $ | (11,533 | ) |  |  |  |  |  |  |  |  |  |  |  |

(p) | Securities with an aggregate market value of $9,085 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2019.

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

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

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

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

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 Risks, in the Notes to Financial Statements on risks of the Fund.

Fair Values of Financial Derivative Instruments on the Consolidated Statements of Assets and Liabilities as of December 31, 2019:

|  | 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 |  |  | $ | 2 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 2,755 |  |  | $ | 2,757 |
Over the counter |
Forward Foreign Currency Contracts |  | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 2,685 |  |  | $ | 0 |  |  | $ | 2,685 |
|  | $ | 0 |  |  | $ | 2 |  |  | $ | 0 |  |  | $ | 2,685 |  |  | $ | 2,755 |  |  | $ | 5,442 |
Financial Derivative Instruments - Liabilities |
Exchange-traded or centrally cleared |
Swap Agreements |  | $ | 0 |  |  | $ | 118 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 1,452 |  |  | $ | 1,570 |
Over the counter |
Forward Foreign Currency Contracts |  | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 5,055 |  |  | $ | 0 |  |  | $ | 5,055 |
Swap Agreements |  |  | 0 |  |  |  | 6,478 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 6,478 |
|  | $ | 0 |  |  | $ | 6,478 |  |  | $ | 0 |  |  | $ | 5,055 |  |  | $ | 0 |  |  | $ | 11,533 |
|  | $ | 0 |  |  | $ | 6,596 |  |  | $ | 0 |  |  | $ | 5,055 |  |  | $ | 1,452 |  |  | $ | 13,103 |

108 |  | PIMCO CLOSED-END FUNDS |  |  |  |  | See Accompanying Notes |

December 31, 2019 (Unaudited)

The effect of Financial Derivative Instruments on the Consolidated Statements of Operations for the period ended December 31, 2019:

|  | Derivatives not accounted for as hedging instruments |
|  | Commodity Contracts |  |  | Credit Contracts |  |  | Equity Contracts |  |  | Foreign Exchange Contracts |  |  | Interest Rate Contracts |  |  | Total |
Net Realized Gain (Loss) on Financial Derivative Instruments |
Exchange-traded or centrally cleared |
Swap Agreements |  | $ | 0 |  |  | $ | 674 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | (57,402 | ) |  | $ | (56,728 | )
Over the counter |
Forward Foreign Currency Contracts |  | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 3,921 |  |  | $ | 0 |  |  | $ | 3,921 |
Swap Agreements |  |  | 0 |  |  |  | 5,238 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 5,238 |
|  | $ | 0 |  |  | $ | 5,238 |  |  | $ | 0 |  |  | $ | 3,921 |  |  | $ | 0 |  |  | $ | 9,159 |
|  | $ | 0 |  |  | $ | 5,912 |  |  | $ | 0 |  |  | $ | 3,921 |  |  | $ | (57,402 | ) |  | $ | (47,569 | )
Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative Instruments |
Exchange-traded or centrally cleared |
Swap Agreements |  | $ | 0 |  |  | $ | (3,013 | ) |  | $ | 0 |  |  | $ | 0 |  |  | $ | 42,091 |  |  | $ | 39,078 |
Over the counter |
Forward Foreign Currency Contracts |  | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | (1,330 | ) |  | $ | 0 |  |  | $ | (1,330 | )
Swap Agreements |  |  | 0 |  |  |  | (4,592 | ) |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | (4,592 | )
|  | $ | 0 |  |  | $ | (4,592 | ) |  | $ | 0 |  |  | $ | (1,330 | ) |  | $ | 0 |  |  | $ | (5,922 | )
|  | $ | 0 |  |  | $ | (7,605 | ) |  | $ | 0 |  |  | $ | (1,330 | ) |  | $ | 42,091 |  |  | $ | 33,156 |

FAIR VALUE MEASUREMENTS

The following is a summary of the fair valuations according to the inputs used as of December 31, 2019 in valuing the Fund’s assets and liabilities:

Category and Subcategory |  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Fair Value at 12/31/2019 |
Investments in Securities, at Value |
Loan Participations and Assignments |  | $ | 0 |  |  | $ | 246,886 |  |  | $ | 48,266 |  |  | $ | 295,152 |
Corporate Bonds & Notes |
Banking & Finance |  |  | 0 |  |  |  | 208,265 |  |  |  | 10,917 |  |  |  | 219,182 |
Industrials |  |  | 0 |  |  |  | 215,832 |  |  |  | 1,754 |  |  |  | 217,586 |
Utilities |  |  | 0 |  |  |  | 74,759 |  |  |  | 0 |  |  |  | 74,759 |
Convertible Bonds & Notes |
Industrials |  |  | 0 |  |  |  | 8,465 |  |  |  | 0 |  |  |  | 8,465 |
Utilities |  |  | 0 |  |  |  | 47 |  |  |  | 0 |  |  |  | 47 |
Municipal Bonds & Notes |
Illinois |  |  | 0 |  |  |  | 1,019 |  |  |  | 0 |  |  |  | 1,019 |
Texas |  |  | 0 |  |  |  | 101 |  |  |  | 0 |  |  |  | 101 |
West Virginia |  |  | 0 |  |  |  | 4,195 |  |  |  | 0 |  |  |  | 4,195 |
U.S. Government Agencies |  |  | 0 |  |  |  | 68,236 |  |  |  | 0 |  |  |  | 68,236 |
Non-Agency Mortgage-Backed Securities |  |  | 0 |  |  |  | 839,374 |  |  |  | 37,436 |  |  |  | 876,810 |
Asset-Backed Securities |  |  | 0 |  |  |  | 552,476 |  |  |  | 31,683 |  |  |  | 584,159 |
Sovereign Issues |  |  | 0 |  |  |  | 72,487 |  |  |  | 0 |  |  |  | 72,487 |
Common Stocks |
Communication Services |  |  | 5,669 |  |  |  | 17 |  |  |  | 0 |  |  |  | 5,686 |
Consumer Discretionary |  |  | 17,464 |  |  |  | 0 |  |  |  | 0 |  |  |  | 17,464 |
Energy |  |  | 241 |  |  |  | 0 |  |  |  | 525 |  |  |  | 766 |
Industrials |  |  | 0 |  |  |  | 0 |  |  |  | 5 |  |  |  | 5 |
Utilities |  |  | 410 |  |  |  | 0 |  |  |  | 4,678 |  |  |  | 5,088 |
Warrants |
Communication Services |  |  | 0 |  |  |  | 9,078 |  |  |  | 0 |  |  |  | 9,078 |
Preferred Securities |
Banking & Finance |  |  | 0 |  |  |  | 34,546 |  |  |  | 0 |  |  |  | 34,546 |
Industrials |  |  | 0 |  |  |  | 723 |  |  |  | 0 |  |  |  | 723 |

Category and Subcategory |  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Fair Value at 12/31/2019 |
Real Estate Investment Trusts |
Real Estate |  | $ | 15,192 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 15,192 |
Short-Term Instruments |
Repurchase Agreements |  |  | 0 |  |  |  | 80,087 |  |  |  | 0 |  |  |  | 80,087 |
Argentina Treasury Bills |  |  | 0 |  |  |  | 1,789 |  |  |  | 392 |  |  |  | 2,181 |
U.S. Treasury Bills |  |  | 0 |  |  |  | 11,412 |  |  |  | 0 |  |  |  | 11,412 |
Total Investments |  | $ | 38,976 |  |  | $ | 2,429,794 |  |  | $ | 135,656 |  |  | $ | 2,604,426 |
Financial Derivative Instruments - Assets |
Exchange-traded or centrally cleared |  |  | 0 |  |  |  | 2,757 |  |  |  | 0 |  |  |  | 2,757 |
Over the counter |  |  | 0 |  |  |  | 2,685 |  |  |  | 0 |  |  |  | 2,685 |
|  | $ | 0 |  |  | $ | 5,442 |  |  | $ | 0 |  |  | $ | 5,442 |
Financial Derivative Instruments - Liabilities |
Exchange-traded or centrally cleared |  |  | 0 |  |  |  | (1,570 | ) |  |  | 0 |  |  |  | (1,570 | )
Over the counter |  |  | 0 |  |  |  | (11,533 | ) |  |  | 0 |  |  |  | (11,533 | )
|  | $ | 0 |  |  | $ | (13,103 | ) |  | $ | 0 |  |  | $ | (13,103 | )
Total Financial Derivative Instruments |  | $ | 0 |  |  | $ | (7,661 | ) |  | $ | 0 |  |  | $ | (7,661 | )
Totals |  | $ | 38,976 |  |  | $ | 2,422,133 |  |  | $ | 135,656 |  |  | $ | 2,596,765 |

See Accompanying Notes |  | SEMIANNUAL REPORT |  | DECEMBER 31, 2019 |  | 109

Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.)

December 31, 2019 (Unaudited)

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended December 31, 2019:

Category and Subcategory |  | Beginning Balance at 06/30/2019 |  |  | Net Purchases |  |  | Net Sales/Settlements |  |  | Accrued Discounts/ (Premiums) |  |  | Realized Gain/(Loss) |  |  | Net Change in Unrealized Appreciation/ (Depreciation)(1) |  |  | Transfers into Level 3 |  |  | Transfers out of Level 3 |  |  | Ending Balance at 12/31/2019 |  |  | Net Change in Unrealized Appreciation/ (Depreciation) on Investments Held at 12/31/2019(1) |
Investments in Securities, at Value |
Loan Participations and Assignments |  | $ | 24,384 |  |  | $ | 41,742 |  |  | $ | (820 | ) |  | $ | 198 |  |  | $ | 5 |  |  | $ | (344 | ) |  | $ | 0 |  |  | $ | (16,899 | ) |  | $ | 48,266 |  |  | $ | 870 |
Corporate Bonds & Notes |
Banking & Finance |  |  | 10,534 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 383 |  |  |  | 0 |  |  |  | 0 |  |  |  | 10,917 |  |  |  | 383 |
Industrials |  |  | 2 |  |  |  | 2,104 |  |  |  | 0 |  |  |  | 13 |  |  |  | 0 |  |  |  | (365 | ) |  |  | 0 |  |  |  | 0 |  |  |  | 1,754 |  |  |  | (365 | )
Non-Agency Mortgage-Backed Securities |  |  | 4,250 |  |  |  | 32,727 |  |  |  | (263 | ) |  |  | 21 |  |  |  | 4 |  |  |  | 697 |  |  |  | 0 |  |  |  | 0 |  |  |  | 37,436 |  |  |  | 699 |
Asset-Backed Securities |  |  | 28,489 |  |  |  | 0 |  |  |  | 0 |  |  |  | (10 | ) |  |  | 0 |  |  |  | (1,518 | ) |  |  | 4,722 |  |  |  | 0 |  |  |  | 31,683 |  |  |  | (1,518 | )
Common Stocks |
Energy |  |  | 904 |  |  |  | 172 |  |  |  | (225 | ) |  |  | 0 |  |  |  | (12 | ) |  |  | (73 | ) |  |  | 0 |  |  |  | (241 | ) |  |  | 525 |  |  |  | 328 |
Industrials |  |  | 5 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 5 |  |  |  | 0 |
Utilities |  |  | 5,136 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | (458 | ) |  |  | 0 |  |  |  | 0 |  |  |  | 4,678 |  |  |  | (458 | )
Short Term |
Argentina Treasury Bills |  |  | 0 |  |  |  | 372 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 20 |  |  |  | 0 |  |  |  | 0 |  |  |  | 392 |  |  |  | 20 |
Totals |  | $ | 73,704 |  |  | $ | 77,117 |  |  | $ | (1,308 | ) |  | $ | 222 |  |  | $ | (3 | ) |  | $ | (1,658 | ) |  | $ | 4,722 |  |  | $ | (17,140 | ) |  | $ | 135,656 |  |  | $ | (41 | )

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 12/31/2019 |  |  | Valuation Technique |  | Unobservable Inputs |  | (% Unless Noted Otherwise) |
| Input Value(s) |  |  | Weighted Average |
Investments in Securities, at Value |
Loan Participations and Assignments |  | $ | 5,564 |  |  | Discounted Cash Flow |  | Discount Rate |  |  | 6.940 |  |  |  | — |
|  |  | 22,378 |  |  | Indicative Market Quotation |  | Broker Quote |  |  | 99.750 |  |  |  | — |
|  |  | 18,408 |  |  | Proxy Pricing |  | Base Price |  |  | 88.898-95.000 |  |  |  | 92.896 |
|  |  | 1,916 |  |  | Third Party Vendor |  | Broker Quote |  |  | 99.250-101.000 |  |  |  | 99.291 |
Corporate Bonds & Notes |
Banking & Finance |  |  | 10,917 |  |  | Reference Instrument |  | Option Adjusted Spread |  |  | 584.983 bps |  |  |  | — |
Industrials |  |  | 2 |  |  | Proxy Pricing |  | Base Price |  |  | 0.083 |  |  |  | — |
|  |  | 1,752 |  |  | Reference Instrument |  | Broker Quote |  |  | 101.520 |  |  |  | — |
Non-Agency Mortgage-Backed Securities |  |  | 33,634 |  |  | Indicative Market Quotation |  | Broker Quote |  |  | 99.900-100.000 |  |  |  | 99.950 |
|  |  | 3,802 |  |  | Proxy Pricing |  | Base Price |  |  | 2.000-99.375 |  |  |  | 89.931 |
Asset-Backed Securities |  |  | 31,683 |  |  | Proxy Pricing |  | Base Price |  |  | 2.312-100,205.254 |  |  |  | 57,400.888 |
Common Stocks |
Energy |  |  | 525 |  |  | Other Valuation Techniques(2) |  | — |  |  | — |  |  |  | — |
Industrials |  |  | 5 |  |  | Indicative Market Quotation |  | Broker Quote |  | $ | 15.000 |  |  |  | — |
Utilities |  |  | 4,678 |  |  | Indicative Market Quotation |  | Broker Quote |  | $ | 35.750 |  |  |  | — |
Short Term |
Argentina Treasury Bills |  |  | 392 |  |  |  |  |  |  |  |  |  |  |  |  |
Total |  | $ | 135,656 |  |  |  |  |  |  |  |  |  |  |  |  |

(1) | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at December 31, 2019 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.

110 |  | PIMCO CLOSED-END FUNDS |  |  |  |  | See Accompanying Notes |

Notes to Financial Statements

December 31, 2019 (Unaudited)

1. ORGANIZATION

PCM Fund, Inc., PIMCO Global StocksPLUS® & Income Fund, PIMCO Income Opportunity Fund, PIMCO Strategic Income Fund, Inc., PIMCO Dynamic Credit and Mortgage Income Fund and PIMCO Dynamic Income Fund (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”). PIMCO Global StocksPLUS® & Income Fund, PIMCO Income Opportunity Fund, PIMCO Dynamic Credit and Mortgage Income Fund and PIMCO Dynamic Income Fund were organized as Massachusetts business trusts on the dates shown in the table below. PCM Fund, Inc. and PIMCO Strategic Income Fund, Inc. were organized as Maryland corporations 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 |
PCM Fund, Inc. |  |  |  |  |  |  | June 23, 1993 |
PIMCO Global StocksPLUS® & Income Fund |  |  |  |  |  |  | February 16, 2005 |
PIMCO Income Opportunity Fund |  |  |  |  |  |  | September 12, 2007 |
PIMCO Strategic Income Fund, Inc. |  |  |  |  |  |  | December 9, 1993 |
PIMCO Dynamic Credit and Mortgage Income Fund |  |  |  |  |  |  | September 27, 2012 |
PIMCO Dynamic Income Fund |  |  |  |  |  |  | January 19, 2011 |

Hereinafter, the terms “Trustee” or “Trustees” shall refer to a Director or Directors of applicable Funds.

2. SIGNIFICANT ACCOUNTING POLICIES

The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”). Each Fund is treated as an investment company under the reporting requirements of U.S. GAAP. The functional and reporting currency for the Funds is the U.S. dollar. The preparation of financial statements in accordance with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

(a) Securities Transactions and Investment Income Securities transactions are recorded as of the trade date for financial reporting purposes. Securities purchased or sold on a when-issued or delayed-delivery basis may be settled beyond a standard settlement period for the security after the trade date. Realized gains (losses) from securities sold are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date, except certain dividends from foreign securities where the ex-dividend date may have passed, which are

recorded as soon as a Fund is informed of the ex-dividend date. Interest income, adjusted for the accretion of discounts and amortization of premiums, is recorded on the accrual basis from settlement date, with the exception of securities with a forward starting effective date, where interest income is recorded on the accrual basis from effective date. For convertible securities, premiums attributable to the conversion feature are not amortized. Estimated tax liabilities on certain foreign securities are recorded on an accrual basis and are reflected as components of interest income or net change in unrealized appreciation (depreciation) on investments on the Statements of Operations, as appropriate. Tax liabilities realized as a result of such security sales are reflected as a component of net realized gain (loss) on investments on the Statements of Operations. Paydown gains (losses) on mortgage-related and other asset-backed securities, if any, are recorded as components of interest income on the Statements of Operations. Income or short-term capital gain distributions received from registered investment companies, if any, are recorded as dividend income. Long-term capital gain distributions received from registered investment companies, if any, are recorded as realized gains.

Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivable when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is probable.

(b) Foreign Currency Translation The market values of foreign securities, currency holdings and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars based on the current exchange rates each business day. Purchases and sales of securities and income and expense items denominated in foreign currencies, if any, are translated into U.S. dollars at the exchange rate in effect on the transaction date. The Funds do not separately report the effects of changes in foreign exchange rates from changes in market prices on securities held. Such changes are included in net realized gain (loss) and net change in unrealized appreciation (depreciation) from investments on the Statements of Operations. The Funds may invest in foreign currency-denominated securities and may engage in foreign currency transactions either on a spot (cash) basis at the rate prevailing in the currency exchange market at the time or through a forward foreign currency contract. Realized foreign exchange gains (losses) arising from sales of spot foreign currencies, currency gains (losses) realized between the trade and settlement dates on securities transactions and the difference between the recorded amounts of dividends, interest, and foreign withholding taxes and the U.S. dollar equivalent of the amounts actually received or paid are included in net realized gain (loss) on foreign currency transactions on

|  | SEMIANNUAL REPORT |  | DECEMBER 31, 2019 |  | 111

Notes to Financial Statements (Cont.)

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.

(c) Distributions — Common Shares The following table shows the anticipated frequency of distributions from net investment income to common shareholders.

|  |  |  |  | Distribution Frequency |
Fund Name |  |  |  |  | Declared |  |  | Distributed |
PCM Fund, Inc. |  |  |  |  |  |  | Monthly |  |  |  | Monthly |
PIMCO Global StocksPLUS® & Income Fund |  |  |  |  |  |  | Monthly |  |  |  | Monthly |
PIMCO Income Opportunity Fund |  |  |  |  |  |  | Monthly |  |  |  | Monthly |
PIMCO Strategic Income Fund, Inc. |  |  |  |  |  |  | Monthly |  |  |  | Monthly |
PIMCO Dynamic Credit and Mortgage Income Fund |  |  |  |  |  |  | Monthly |  |  |  | Monthly |
PIMCO Dynamic Income Fund |  |  |  |  |  |  | Monthly |  |  |  | Monthly |

Each Fund other than the PIMCO Global StocksPLUS® & Income Fund and PIMCO Strategic Income Fund, Inc. generally distributes each year all of its net investment income and net short-term capital gains. The PIMCO Global StocksPLUS® & Income Fund and PIMCO Strategic Income Fund, Inc. intend to distribute all or substantially all of their net investment income and net short-term capital gains over time. In addition, at least annually, each Fund generally distributes net realized long-term capital gains not previously distributed, if any.

A Fund may engage in investment strategies, including the use of derivatives, to, among other things, seek to generate current, distributable income without regard to possible declines in the Fund’s net asset value (“NAV”). A Fund’s income and gain generating strategies, including certain derivatives strategies, may generate current, distributable income, even if such strategies could potentially result in declines in the Fund’s NAV. A Fund’s income and gain generating strategies, including certain derivatives strategies, may generate current income and gains taxable as ordinary income sufficient to support monthly distributions even in situations when the Fund has experienced a decline in net assets due to, for example, adverse changes in the broad U.S. or non-U.S. equity markets or the Fund’s debt investments, or arising from its use of derivatives. A Fund may enter into opposite sides of interest rate swap and other derivatives for the principal purpose of generating distributable gains on the one side (characterized as ordinary income for tax purposes) that are not part of the Fund’s duration or yield curve management strategies (“paired swap transactions”), 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.

For tax years ending before July 1, 2018, PIMCO Strategic Income Fund, Inc. (“RCS”) accounted for mortgage dollar rolls as financing transactions. On July 18, 2019, the Internal Revenue Service (“IRS”) granted RCS’ application for a change in accounting method for mortgage dollar rolls. Accordingly, for tax years ending after June 30, 2018, RCS accounts for mortgage dollar rolls as sales or exchanges. Please see “Federal Income Tax Matters” in the Notes to Financial Statements for information regarding RCS’ treatment of mortgage dollar rolls and its impact on the Fund’s distributions and related consequences.

Income distributions and capital gain distributions are determined in accordance with income tax regulations which may differ from U.S. GAAP. Differences between tax regulations and U.S. GAAP may cause timing differences between income and capital gain recognition. Further, the character of investment income and capital gains may be different for certain transactions under the two methods of accounting. As a result, income distributions and capital gain distributions declared during a fiscal period may differ significantly from the net investment income (loss) and realized gains (losses) reported on each Fund’s annual financial statements presented under U.S. GAAP.

If a 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 accounting practices, the Fund will notify shareholders of the estimated composition of such distribution through a Section 19 Notice. For these purposes, a Fund estimates 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 estimated 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

112 |  | PIMCO CLOSED-END FUNDS |  |  |  |  |  |

December 31, 2019 (Unaudited)

treatment under U.S. GAAP. Examples of such differences may include, among others, the treatment of paydowns on mortgage-backed securities purchased at a discount and 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 the 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 reported on Form 1099 DIV sent to shareholders for the calendar year.

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.

(d) New Accounting Pronouncements In August 2018, the Financial Accounting Standards Board issued an Accounting Standards Update (“ASU”), ASU 2018-13, which modifies certain disclosure requirements for fair value measurements in Accounting Standards Codification 820. The ASU is effective for annual periods beginning after December 15, 2019, and interim periods within those annual periods. At this time, management has elected to early adopt the ASU and the changes are incorporated in the financial statements.

3. INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS

(a) Investment Valuation Policies The NAV of a Fund, or each of its share classes as applicable, is determined by dividing the total value of portfolio investments and other assets attributable to that Fund or class less any liabilities by the total number of shares outstanding of that Fund or class.

On each day that the New York Stock Exchange (“NYSE”) is open, Fund shares are ordinarily valued as of the close of regular trading (normally 4:00 p.m., Eastern time) (“NYSE Close”). Information that becomes known to the Funds or their agents after the time as of which NAV has been calculated on a particular day will not generally be used to retroactively adjust the price of a security or the NAV determined earlier that day. Each Fund reserves the right to change the time as of which its respective NAV is calculated if the Fund closes earlier, or as permitted by the U.S. Securities and Exchange Commission (“SEC”).

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 Funds’ approved pricing services, quotation reporting systems and other third-party sources (together, “Pricing Services”). The Funds will normally use pricing data for domestic equity securities received shortly after the NYSE Close and do not normally take into account trading, clearances or settlements that take place after the NYSE Close. If market value pricing is used, a foreign (non-U.S.) equity security traded on a foreign exchange or on more than one exchange is typically valued using pricing information from the exchange considered by PIMCO to be the primary exchange. A foreign (non-U.S.) equity security will be valued as of the close of trading on the foreign exchange, or the NYSE Close, if the NYSE Close occurs before the end of trading on the foreign exchange. Domestic and foreign (non-U.S.) fixed income securities, non-exchange traded derivatives, and equity options are normally valued on the basis of quotes obtained from brokers and dealers or Pricing Services using 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. A Fund’s investments in open-end management investment companies, other than exchange-traded funds (“ETFs”), are valued at the NAVs of such investments.

If a foreign (non-U.S.) equity security’s value has materially changed after the close of the security’s primary exchange or principal market but before the NYSE Close, the security may be valued at fair value based on procedures established and approved by the 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, a Fund may determine the fair value of investments based on information provided by Pricing Services and other third-party vendors, which may recommend fair value or adjustments with reference to other securities, indices or assets. In considering whether fair valuation is required and in determining fair values, a Fund may, among other things, consider significant events (which may be considered to include changes in the value of U.S.

|  | SEMIANNUAL REPORT |  | DECEMBER 31, 2019 |  | 113

Notes to Financial Statements (Cont.)

securities or securities indices) that occur after the close of the relevant market and before the NYSE Close. A Fund may utilize modeling tools provided by third-party vendors to determine fair values of non-U.S. securities. For these purposes, any movement in the applicable reference index or instrument (“zero trigger”) relating to the 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 a Fund is not open for business, which may result in a Fund’s portfolio investments being affected when shareholders are unable to buy or sell shares.

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

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

Investments for which market quotes or market based valuations are not readily available are valued at fair value as determined in good faith by the Board or persons acting at their direction. The Board has adopted methods for valuing securities and other assets in circumstances where market quotes are not readily available, and has delegated to PIMCO the responsibility for applying the fair valuation methods. In the event that market quotes or market based valuations are not readily available, and the security or asset cannot be valued pursuant to a Board approved valuation method, the value of the security or asset will be determined in good faith by the Board. Market

quotes are considered not readily available in circumstances where there is an absence of current or reliable market-based data (e.g., trade information, bid/ask information, indicative market quotations (“Broker Quotes”), Pricing Services’ prices), including where events occur after the close of the relevant market, but prior to the NYSE Close, that materially affect the values of a Fund’s securities or assets. In addition, market quotes are considered not readily available when, due to extraordinary circumstances, the exchanges or markets on which the securities trade do not open for trading for the entire day and no other market prices are available. The Board has delegated, to the Manager, the responsibility for monitoring significant events that may materially affect the values of a Fund’s securities or assets and for determining whether the value of the applicable securities or assets should be reevaluated in light of such significant events.

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

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

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

∎ |  | Level 2 — Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest

114 |  | PIMCO CLOSED-END FUNDS |  |  |  |  |  |

December 31, 2019 (Unaudited)

|  | 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.

Transfers from Level 1 to Level 3 are a result of a change from the use of an exchange traded price or a trade price on the initial purchase date (Level 1) to the use of a valuation technique which utilizes significant unobservable inputs due to an absence of current or reliable market based data (Level 3). Assets or liabilities categorized as Level 2 or 3 as of period end have been transferred between Levels 2 and 3 since the prior period due to changes in the method utilized in valuing the investments. Transfers from Level 2 to Level 3 are a result of a change, in the normal course of business, from the use of methods used by Pricing Services (Level 2) to the use of a Broker Quote or valuation technique which utilizes significant unobservable inputs due to an absence of current or reliable market-based data (Level 3). Transfers from Level 3 to Level 2 are a result of the availability of current and reliable market-based data provided by Pricing Services or other valuation techniques which utilize significant observable inputs. In accordance with the requirements of U.S. GAAP, the amounts of transfers into and out of Level 3, if material, are disclosed in the Notes to Schedule of Investments for each respective Fund.

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

(c) Valuation Techniques and the Fair Value Hierarchy

Level 1 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.

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

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

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 Manager may elect to obtain Broker Quotes directly from the broker-dealer or passed through from a third-party vendor. In the event that fair value is based upon a single sourced Broker Quote, these securities are categorized as Level 3 of the fair value hierarchy. Broker Quotes are typically received from established market participants. Although independently received, the Manager does not have the transparency to view the underlying inputs which support the market quotation. Significant changes in the Broker Quote would have direct and proportional changes in the fair value of the security.

Interest only (“IO”) weighted average life model begins amortization with the base price with the ending price being zero over the weighted average life of the IO on a straight-line basis. The base price may be a broker-dealer quote, transaction price, or an internal value as derived from the 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 used to set 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.

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

Reference instrument valuation estimates fair value by utilizing the correlation of the security to one or more broad-based securities, market indices, and/or other financial instruments, whose pricing information is readily available. Unobservable inputs may include those used in algorithms based on percentage change in the reference instruments and/or weights of each reference instrument. Significant changes in the unobservable inputs would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.

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.

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December 31, 2019 (Unaudited)

Short-term debt instruments (such as commercial paper) having a remaining maturity of 60 days or less may be valued at amortized cost, so long as the amortized cost value of such short-term debt instruments is approximately the same as the fair value of the instrument as

determined without the use of amortized cost valuation. These securities are categorized as Level 2 or Level 3 of the fair value hierarchy depending on the source of the base price.

4. SECURITIES AND OTHER INVESTMENTS

(a) Investments in Affiliates

An affiliate includes any company in which a Fund owns 5% or more of the company’s outstanding voting shares. The table below represents transactions in and earnings from these affiliated issuers at December 31, 2019 (amounts in thousands†, except number of shares).

PIMCO Dynamic Credit and Mortgage Income Fund

Security Name |  |  |  |  | Shares Held at 06/30/2019 |  |  | Shares Purchased |  |  | Shares Sold |  |  | Shares Held at 12/31/2019 |  |  | Net Realized Gain/(Loss) |  |  | Change in Unrealized Appreciation (Depreciation) |  |  | Market Value 12/31/2019 |  |  | Dividend Income |
Sierra Hamilton Holder LLC |  |  |  |  |  |  | 30,136,800 |  |  |  | 0 |  |  |  | 0 |  |  |  | 30,136,800 |  |  | $ | 0 |  |  | $ | (2,855 | ) |  | $ | 5,707 |  |  | $ | 0 |

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

(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 a 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, a 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, a 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. A Fund may dispose of or renegotiate a delayed-delivery transaction after it is entered into, which may result in a realized gain (loss). When a Fund has sold a security on a delayed- delivery basis, the Fund does not participate in future gains (losses) with respect to the security.

Inflation-Indexed Bonds are fixed income securities whose principal value is periodically adjusted by the rate of inflation. The interest rate on these bonds is generally fixed at issuance at a rate lower than typical bonds. Over the life of an inflation-indexed bond, however, interest will be paid based on a principal value which is adjusted for inflation. Any increase or decrease in the principal amount of an inflation-indexed bond will be included as interest income on the Statements of Operations, even though investors do not receive their principal until maturity. Repayment of the original bond principal upon maturity (as adjusted for inflation) is guaranteed in the case of U.S. Treasury Inflation-Protected Securities. For bonds that do not provide a similar guarantee, the adjusted principal value of the bond repaid at maturity may be less than the original principal.

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,

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Notes to Financial Statements (Cont.)

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 created from pools of residential or commercial mortgage loans, including mortgage loans made by savings and loan institutions, mortgage bankers, commercial banks and others. These securities typically provide a monthly payment which consists of both principal and interest. Interest may be determined by fixed or adjustable rates. In times of declining interest rates, there is a greater likelihood that a Fund’s higher yielding securities will be pre-paid with the Fund being unable to reinvest the proceeds in an investment with as great a yield. The rate of prepayments on underlying mortgages will affect the price and volatility of a mortgage-related security, and may have the effect of shortening or extending the effective duration of the security relative to what was anticipated at the time of purchase. Interest-only and principal-only securities are especially sensitive to interest rate changes, which can affect not only their prices but can also change the income flows and repayment assumptions about those investments. The timely payment of principal and interest of certain mortgage-related securities is guaranteed with the full faith and credit of the U.S. Government. Pools created and guaranteed by non-governmental issuers, including government-sponsored corporations, may be supported by various forms of insurance or guarantees, but there can be no assurance that private insurers or guarantors can meet their obligations under the insurance policies or guarantee arrangements. Many of the risks of investing in mortgage-related securities secured by commercial mortgage loans reflect the effects of local and other economic conditions on real estate markets, the ability of tenants to make lease payments, and the ability of a property to attract and retain tenants. These securities may be less liquid and may exhibit greater price volatility than other types of mortgage-related or other asset-backed securities. Other asset-backed securities are created from many types of assets, including, but not limited to, auto loans, accounts receivable such as credit card receivables and hospital account receivables, home equity loans, student loans, boat loans, mobile home loans, recreational vehicle loans, manufactured housing loans, aircraft leases,

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computer leases and syndicated bank loans. The Funds may invest in any level of the capital structure of an issuer of mortgage-backed or asset-backed securities, including the equity or “first loss” tranche.

Collateralized Debt Obligations (“CDOs”) include Collateralized Bond Obligations (“CBOs”), Collateralized Loan Obligations (“CLOs”) and other similarly structured securities. CBOs and CLOs are types of asset-backed securities. A CBO is a trust which is typically backed by a diversified pool of high risk, below investment grade fixed income securities. A CLO is a trust typically collateralized by a pool of loans, which may include, among others, domestic and foreign senior secured loans, senior unsecured loans, and subordinate corporate loans, including loans that may be rated below investment grade or equivalent unrated loans. For both CBOs and CLOs, the cash flows from the trust are split into two or more portions, called tranches, varying in risk and yield. The riskiest portion is the “equity” tranche which bears the bulk of defaults from the bonds or loans in the trust and serves to protect the other, more senior tranches from default in all but the most severe circumstances. Since it is partially protected from defaults, a senior tranche from a CBO trust or CLO trust typically has higher ratings and lower yields than the underlying securities, and can be rated investment grade. Despite the protection from the equity tranche, CBO or CLO tranches can experience substantial losses due to actual defaults, increased sensitivity to defaults due to collateral default and disappearance of protecting tranches, market anticipation of defaults and aversion to CBO or CLO securities as a class. The risks of an investment in a CDO depend largely on the type of the collateral securities and the class of the CDO in which a Fund invests. CDOs carry additional risks including, but not limited to, (i) the possibility that distributions from collateral securities will not be adequate to make interest or other payments, (ii) the collateral may decline in value or default, (iii) the risk that a Fund may invest in CDOs that are subordinate to other classes, and (iv) the complex structure of the security may not be fully understood at the time of investment and may produce disputes with the issuer or unexpected investment results.

Collateralized Mortgage Obligations (“CMOs”) are debt obligations of a legal entity that are collateralized by whole mortgage loans or private mortgage bonds and divided into classes. CMOs are structured into multiple classes, often referred to as “tranches”, with each class bearing a different stated maturity and entitled to a different schedule for payments of principal and interest, including prepayments. CMOs may be less liquid and may exhibit greater price volatility than other types of mortgage-related or asset-backed securities.

As CMOs have evolved, some classes of CMO bonds have become more common. For example, a Fund may invest in parallel-pay and planned amortization class (“PAC”) CMOs and multi-class pass-through certificates. Parallel-pay CMOs and multi-class pass-through

certificates are structured to provide payments of principal on each payment date to more than one class. These simultaneous payments are taken into account in calculating the stated maturity date or final distribution date of each class, which, as with other CMO and multi-class pass-through structures, must be retired by its stated maturity date or final distribution date but may be retired earlier. PACs generally require payments of a specified amount of principal on each payment date. PACs are parallel-pay CMOs with the required principal amount on such securities having the highest priority after interest has been paid to all classes. Any CMO or multi-class pass-through structure that includes PAC securities must also have support tranches — known as support bonds, companion bonds or non-PAC bonds — which lend or absorb principal cash flows to allow the PAC securities to maintain their stated maturities and final distribution dates within a range of actual prepayment experience. These support tranches are subject to a higher level of maturity risk compared to other mortgage-related securities, and usually provide a higher yield to compensate investors. If principal cash flows are received in amounts outside a pre-determined range such that the support bonds cannot lend or absorb sufficient cash flows to the PAC securities as intended, the PAC securities are subject to heightened maturity risk. A Fund may invest in various tranches of CMO bonds, including support bonds and equity or “first loss” tranches (see “Collateralized Debt Obligations” above).

Stripped Mortgage-Backed Securities (“SMBS”) are derivative multi-class mortgage securities. SMBS are usually structured with two classes that receive different proportions of the interest and principal distributions on a pool of mortgage assets. An SMBS will have one class that will receive all of the interest (the interest-only or “IO” class), while the other class will receive the entire principal (the principal-only or “PO” class). IOs and POs can be extremely volatile in response to changes in interest rates. As interest rates rise and fall, the value of IOs tends to move in the same direction as interest rates. POs perform best when prepayments on the underlying mortgages rise since this increases the rate at which the principal is returned and the yield to maturity on the PO. When payments on mortgages underlying a PO are slower than anticipated, the life of the PO is lengthened and the yield to maturity is reduced. The yield to maturity on an IO class is extremely sensitive to the rate of principal payments (including prepayments) on the related underlying mortgage assets, and a rapid rate of principal payments may have a material adverse effect on a Fund’s yield to maturity from these securities. If the underlying mortgage assets experience greater than anticipated prepayments of principal, the Funds may fail to recoup some or all of its initial investment in these securities even if the security is in one of the highest rating categories.

Payments received for IOs are included in interest income on the Statements of Operations. Because no principal will be received at the maturity of an IO, adjustments are made to the cost of the security on a

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Notes to Financial Statements (Cont.)

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 at December 31, 2019, as applicable, are disclosed in the Notes to Schedules of Investments.

Securities Issued by U.S. Government Agencies or Government-Sponsored Enterprises are obligations of and, in certain cases, guaranteed by, the U.S. Government, its agencies or instrumentalities. Some U.S. Government securities, such as Treasury bills, notes and bonds, and securities guaranteed by the Government National Mortgage Association, are supported by the full faith and credit of the U.S. Government; others, such as those of the Federal Home Loan Banks, are supported by the right of the issuer to borrow from the U.S. Department of the Treasury (the “U.S. Treasury”); and others, such as those of the Federal National Mortgage Association (“FNMA” or “Fannie Mae”), are supported by the discretionary authority of the U.S. Government to purchase the agency’s obligations. U.S. Government securities may include zero coupon securities which do not distribute interest on a current basis and tend to be subject to a greater risk than interest-paying securities of similar maturities.

Government-related guarantors (i.e., not backed by the full faith and credit of the U.S. Government) include FNMA and the Federal Home Loan Mortgage Corporation (“FHLMC” or “Freddie Mac”). FNMA is a government-sponsored corporation. FNMA purchases conventional (i.e., not insured or guaranteed by any government agency) residential mortgages from a list of approved seller/servicers which include state and federally chartered savings and loan associations, mutual savings banks, commercial banks and credit unions and mortgage bankers. Pass-through securities issued by FNMA are guaranteed as to timely payment of principal and interest by FNMA, but are not backed by the full faith and credit of the U.S. Government. FHLMC issues Participation Certificates (“PCs”), which are pass-through securities, each representing an undivided interest in a pool of residential mortgages. FHLMC guarantees the timely payment of interest and ultimate collection of principal, but PCs are not backed by the full faith and credit of the U.S. Government. Instead, they are supported only by the discretionary authority of the U.S. Government to purchase the agency’s obligations.

In June 2019, under the Single Security Initiative, FNMA and FHLMC started issuing Uniform Mortgage-Backed Securities in place of their current offerings of TBA-eligible securities. The Single Security Initiative seeks to support the overall liquidity of the TBA market and aligns the characteristics of FNMA and FHLMC certificates. The effects that the Single Security Initiative may have on the market for TBA and other mortgage-backed securities are uncertain.

Roll-timing strategies can be used where a Fund seeks to extend the expiration or maturity of a position, such as a TBA security on an underlying asset, by closing out the position before expiration and opening a new position with respect to substantially the same underlying asset with a later expiration date. TBA securities purchased or sold are reflected on the Statements of Assets and Liabilities as an asset or liability, respectively. Recently finalized FINRA rules include

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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 are freely transferable and are often traded on major exchanges. 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. For a detailed description of credit and counterparty

risks that can be associated with borrowings and other financing transactions; please see Note 7, Principal Risks.

(a) Repurchase Agreements Under the terms of a typical repurchase agreement, a Fund purchases an underlying debt obligation (collateral) subject to an obligation of the seller to repurchase, and a Fund to resell, the obligation at an agreed-upon price and time. In an open maturity repurchase agreement, there is no pre-determined repurchase date and the agreement can be terminated by the Fund or counterparty at any time. The underlying securities for all repurchase agreements are held by a Fund’s custodian or designated subcustodians under tri-party repurchase agreements and in certain instances will remain in custody with the counterparty. The market value of the collateral must be equal to or exceed the total amount of the repurchase obligations, including interest. Repurchase agreements, if any, including accrued interest, are included on the Statements of Assets and Liabilities. Interest earned is recorded as a component of interest income on the Statements of Operations. In periods of increased demand for collateral, a Fund may pay a fee for the receipt of collateral, which may result in interest expense to the Fund.

(b) Reverse Repurchase Agreements In a reverse repurchase agreement, a Fund delivers a security in exchange for cash to a financial institution, the counterparty, with a simultaneous agreement to repurchase the same or substantially the same security at an agreed upon price and date. In an open maturity reverse repurchase agreement, there is no pre-determined repurchase date and the agreement can be terminated by the Fund or counterparty at any time. A Fund is entitled to receive principal and interest payments, if any, made on the security delivered to the counterparty during the term of the agreement. Cash received in exchange for securities delivered plus accrued interest payments to be made by a Fund to counterparties are reflected as a liability on the Statements of Assets and Liabilities. Interest payments made by a Fund to counterparties are recorded as a component of interest expense on the Statements of Operations. In periods of increased demand for the security, a Fund may receive a fee for use of the security by the counterparty, which may result in interest income to the Fund. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, a Fund’s use of the proceeds of the agreement may be restricted pending a determination by the other party, or its trustee or receiver, whether to enforce a Fund’s obligation to repurchase the securities. Reverse repurchase agreements involve leverage risk and also the risk that the market value of the securities to be repurchased may decline below the repurchase price; please see Note 7, Principal Risks.

(c) Short Sales Short sales are transactions in which a Fund sells a security that it may not own. A Fund may make short sales of securities to (i) offset potential declines in long positions in similar securities,

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(ii) to increase the flexibility of the Fund, (iii) for investment return, (iv) as part of a risk arbitrage strategy, and (v) as part of its overall portfolio management strategies involving the use of derivative instruments. When a Fund engages in a short sale, it may borrow the security sold short and deliver it to the counterparty. A Fund will ordinarily have to pay a fee or premium to borrow a security and be obligated to repay the lender of the security any dividend or interest that accrues on the security during the period of the loan. Securities sold in short sale transactions and the dividend or interest payable on such securities, if any, are reflected as payable for short sales on the Statements of Assets and Liabilities. Short sales expose a Fund to the risk that it will be required to cover its short position at a time when the security or other asset has appreciated in value, thus resulting in losses to a Fund. A short sale is “against the box” if a Fund holds in its portfolio or has the right to acquire the security sold short, or securities identical to the security sold short, at no additional cost. A Fund will be subject to additional risks to the extent that it engages in short sales that are not “against the box.” A Fund’s loss on a short sale could theoretically be unlimited in cases where a Fund is unable, for whatever reason, to close out its short position.

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 Global StocksPLUS® & Income Fund is subject to regulation as a commodity pool under the Commodity Exchange Act pursuant to recent rule changes by the Commodity Futures Trading Commission (the “CFTC”). The Manager has registered with the CFTC as a 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 Global StocksPLUS® & Income Fund.

(a) Forward Foreign Currency Contracts may be engaged, in connection with settling planned purchases or sales of securities, to hedge the currency exposure associated with some or all of a Fund’s securities or as part of an investment strategy. A forward foreign currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. The market value of a forward foreign currency contract fluctuates with changes in foreign currency exchange rates. Forward foreign currency contracts are marked to market daily, and the change in value is recorded by a Fund as an unrealized gain (loss). Realized gains (losses) are equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed and are recorded upon delivery or receipt of the currency. The contractual obligations of a buyer or seller of a forward foreign currency contract may generally be satisfied by taking or making physical delivery of the underlying currency, establishing an opposite position in the contract and recognizing the profit or loss on both positions simultaneously on the delivery date or, in some instances, paying a cash settlement before the designated date of delivery. These contracts may involve market risk in excess of the unrealized gain (loss) reflected on the Statements of Assets and Liabilities. Although forwards may be intended to minimize the risk of loss due to a decline in the value of the hedged currencies, at the same time, they tend to limit any potential gain which might result should the value of such currencies increase. In addition, a Fund could be exposed to risk if the counterparties are unable to meet the terms of the contracts or if the value of the currency changes unfavorably to the U.S. dollar. To mitigate such risk, cash or securities may be exchanged as collateral pursuant to the terms of the underlying contracts.

(b) Futures Contracts are agreements to buy or sell a security or other asset for a set price on a future date and are traded on an exchange. A Fund may use futures contracts to manage its exposure to the securities markets or to movements in interest rates and currency values or for other investment purposes. Generally, a futures contract provides for the future sale by one party and purchase by another party of a specified quantity of the security or other financial instrument at a specified price and time. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in market value of the securities held by a Fund and the prices of futures contracts and the possibility of an illiquid market. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, a Fund is required to deposit with its futures broker an amount of cash, U.S. Government and Agency Obligations, or select sovereign debt, in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and based on changes in the price of the contracts, a

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Fund pays or receives cash or other eligible assets equal to the daily change in the value of the contract (“variation margin”). Futures Variation Margins, if any, are disclosed within centrally cleared financial derivative instruments on the Statements of Assets and Liabilities. Gains (losses) are recognized but not considered realized until the contracts expire or close. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin included within exchange traded or centrally cleared financial derivative instruments on the Statements of Assets and Liabilities.

(c) Options Contracts An option on an instrument (or an index) is a contract that gives the holder of the option, in return for a premium, the right to buy from (in the case of a call) or sell to (in the case of a put) the writer of the option the instrument underlying the option (or the cash value of the index) at a specified exercise price at any time during the term of the option. Writing put options tends to increase a Fund’s exposure to the underlying instrument. Writing call options tends to decrease a Fund’s exposure to the underlying instrument. When a Fund writes a call or put, an amount equal to the premium received is recorded and subsequently marked to market to reflect the current value of the option written. These amounts are included on the Statements of Assets and Liabilities. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against amounts paid on the underlying futures, swap, security or currency transaction to determine the realized gain (loss). Certain options may be written with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms. A Fund as a writer of an option has no control over whether the underlying instrument may be sold (“call”) or purchased (“put”) and as a result bears the market risk of an unfavorable change in the price of the instrument underlying the written option. There is the risk a Fund may not be able to enter into a closing transaction because of an illiquid market.

Purchasing call options tends to increase a Fund’s exposure to the underlying instrument. Purchasing put options tends to decrease a Fund’s exposure to the underlying instrument. A Fund pays a premium which is included as an asset on the Statements of Assets and Liabilities and subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options which expire are treated as realized losses. Certain options may be purchased with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms. The risk associated with purchasing put and call options is limited to the premium paid. Premiums paid for purchasing options which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain (loss) when the underlying transaction is executed.

Options on Exchange-Traded Futures Contracts (“Futures Option”) may be written or purchased to hedge an existing position or future investment, for speculative purposes or to manage exposure to market movements. A Futures Option is an option contract in which the underlying instrument is a single futures contract.

Options on Securities may be written or purchased to enhance returns or to hedge an existing position or future investment. An option on a security uses a specified security as the underlying instrument for the option contract.

(d) 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 recorded as variation margin on the Statements of Assets and Liabilities. Centrally Cleared and OTC swap payments received or paid at the beginning of the measurement period are included on the Statements of Assets and Liabilities and represent premiums paid or received upon entering into the swap agreement to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors). Upfront premiums received (paid) are initially recorded as liabilities (assets) and subsequently marked to market to reflect the current value of the swap. These upfront premiums are recorded as realized gain (loss) on the Statements of Operations upon termination or maturity of the swap. A liquidation payment received or made at the termination of the swap is recorded as realized gain (loss) on the Statements of Operations. Net periodic payments received or paid by a Fund are included as part of realized gain (loss) on the Statements of Operations.

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For purposes of a Fund’s investment policy adopted pursuant to Rule 35d-1 under the Act (if any), the Fund will account for derivative instruments at market value. For purposes of applying a Fund’s other investment policies and restrictions, swap agreements, like other derivative instruments, may be valued by a Fund at market value, notional value or full exposure value (i.e., the sum of the notional amount for the contract plus the market value) or any combination of the foregoing (e.g., notional value for purposes of calculating the numerator and market value for purposes of calculating the denominator for compliance with a particular policy or restriction). See Note 6 — Asset Segregation below. In the case of a credit default swap, in applying certain of a Fund’s investment policies and restrictions, the Funds will value the credit default swap at its notional value or its full exposure value (i.e., the sum of the notional amount for the contract plus the market value), but may value the credit default swap at market value for purposes of applying certain of a Fund’s other investment policies and restrictions. For example, a Fund may value credit default swaps at full exposure value for purposes of a Fund’s credit quality guidelines (if any) because such value in general better reflects a Fund’s actual economic exposure during the term of the credit default swap agreement. As a result, a Fund may, at times, have notional exposure to an asset class (before netting) that is greater or lesser than the stated limit or restriction noted in a Fund’s prospectus. In this context, both the notional amount and the market value may be positive or negative depending on whether a Fund is selling or buying protection through the credit default swap. The manner in which certain securities or other instruments are valued by a Fund for purposes of applying investment policies and restrictions may differ from the manner in which those investments are valued by other types of investors.

Entering into swap agreements involves, to varying degrees, elements of interest, credit, market and documentation risk in excess of the amounts recognized on the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of contractual terms in the agreements and that there may be unfavorable changes in interest rates or the values of the asset upon which the swap is based.

A Fund’s maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from the counterparty over the contract’s remaining life, to the extent that amount is positive. The risk may be mitigated by having a master netting arrangement between a Fund and the counterparty and by the posting of collateral to a Fund to cover a Fund’s exposure to the counterparty.

To the extent a Fund has a policy to limit the net amount owed to or to be received from a single counterparty under existing swap

agreements, such limitation only applies to counterparties to OTC swaps and does not apply to centrally cleared swaps where the counterparty is a central counterparty or derivatives clearing organization.

Credit Default Swap Agreements on corporate, loan, sovereign, U.S. municipal or U.S. Treasury issues are entered into to provide a measure of protection against defaults of the issuers (i.e., to reduce risk where a Fund owns or has exposure to the referenced obligation) or to take an active long or short position with respect to the likelihood of a particular issuer’s default. Credit default swap agreements involve one party making a stream of payments (referred to as the buyer of protection) to another party (the seller of protection) in exchange for the right to receive a specified return in the event that the referenced entity, obligation or index, as specified in the swap agreement, undergoes a certain credit event. As a seller of protection on credit default swap agreements, a Fund will generally receive from the buyer of protection a fixed rate of income throughout the term of the swap provided that there is no credit event. As the seller, a Fund would effectively add leverage to its portfolio because, in addition to its total net assets, a Fund would be subject to investment exposure on the notional amount of the swap.

If a Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. If a Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. Recovery values are estimated by market makers considering either industry standard recovery rates or entity specific factors and considerations until a credit event occurs. If a credit event has occurred, the recovery value is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the settlement value. The ability to deliver other obligations may result in a cheapest-to-deliver option (the buyer of protection’s right to choose the deliverable obligation with the lowest value following a credit event).

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Credit default swap agreements on corporate or sovereign issues involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a default or other credit event. If a credit event occurs and cash settlement is not elected, a variety of other deliverable obligations may be delivered in lieu of the specific referenced obligation. The ability to deliver other obligations may result in a cheapest-to-deliver option (the buyer of protection’s right to choose the deliverable obligation with the lowest value following a credit event).

Credit default swap agreements on asset-backed securities involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the event that the referenced entity, obligation or index, as specified in the agreement, undergoes a certain credit event. Unlike credit default swaps on corporate, loan, sovereign, U.S. municipal or U.S. Treasury issues, deliverable obligations in most instances would be limited to the specific referenced obligation, or in some cases, specific tranches of the specified reference obligation, as performance for asset-backed securities can vary across deals. Prepayments, principal paydowns, and other writedown or loss events on the underlying mortgage loans will reduce the outstanding principal balance of the referenced obligation. These reductions may be temporary or permanent as defined under the terms of the swap agreement and the notional amount for the swap agreement will be adjusted by corresponding amounts. A Fund may use credit default swaps on asset-backed securities to provide a measure of protection against defaults of the referenced obligation or to take an active long or short position with respect to the likelihood of a particular referenced obligation’s default.

Credit default swap agreements on credit indices involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a write-down, principal shortfall, interest shortfall or default of all or part of the referenced entities comprising the credit index. A credit index is a basket of credit instruments or exposures designed to be representative of some part of the credit market as a whole. These indices are made up of reference credits that are judged by a poll of dealers to be the most liquid entities in the credit default swap market based on the sector of the index. Components of the indices may include, but are not limited to, investment grade securities, high yield securities, asset-backed securities, emerging markets, and/or various credit ratings within each sector. Credit indices are traded using credit default swaps with standardized terms including a fixed spread and standard maturity dates. An index credit default swap references all the names in the index, and if there is a default, the credit event is settled based on that name’s weight in the index. The composition of the indices changes periodically, usually every six months, and for most indices, each name

has an equal weight in the index. Credit default swaps on credit indices may be used to hedge a portfolio of credit default swaps or bonds, which is less expensive than it would be to buy many credit default swaps to achieve a similar effect or to take an active long or short position with respect to the likelihood of a particular referenced obligation’s default. Credit default swaps on indices are instruments often used to attempt to protect investors owning bonds against default, but may also be used for speculative purposes.

Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate, loan, sovereign, U.S. municipal or U.S. Treasury issues as of period end, if any, are disclosed in the Notes to Schedules of Investments. They serve as an indicator of the current status of payment/performance risk and represent the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. For credit default swap agreements on asset-backed securities and credit indices, the quoted market prices and resulting values serve as the indicator of the current status of the payment/performance risk. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

The maximum potential amount of future payments (undiscounted) that a Fund as a seller of protection could be required to make under a credit default swap agreement equals the notional amount of the agreement. Notional amounts of each individual credit default swap agreement outstanding as of period end for which a Fund is the seller of protection are disclosed in the Notes to Schedules of Investments. These potential amounts would be partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swap agreements entered into by a Fund for the same referenced entity or entities.

Interest Rate Swap Agreements may be entered into to help hedge against interest rate risk exposure and to maintain a Fund’s ability to generate income at prevailing market rates. The value of the fixed rate bonds that the Funds hold may decrease if interest rates rise. To help hedge against this risk and to maintain its ability to generate income at prevailing market rates, a Fund may enter into interest rate swap agreements. Interest rate swap agreements involve the exchange

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Notes to Financial Statements (Cont.)

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.

Total Return Swap Agreements are entered into to gain or mitigate exposure to the underlying reference asset. Total return swap agreements involve commitments where single or multiple cash flows are exchanged based on the price of an underlying reference asset and on a fixed or variable interest rate. Total return swap agreements may involve commitments to pay interest in exchange for a market-linked return. One counterparty pays out the total return of a specific underlying reference asset, which may include a single security, a basket of securities, or an index, and in return receives a fixed or variable rate. At the maturity date, a net cash flow is exchanged where the total return is equivalent to the return of the underlying reference asset less a financing rate, if any. As a receiver, a Fund would receive payments based on any net positive total return and would owe payments in the event of a net negative total return. As the payer, a Fund would owe payments on any net positive total return, and would receive payments in the event of a net negative total return. A Fund’s use of a total return swap exposes the Fund to credit loss in the event of nonperformance by the swap counterparty. Risk may also arise from the unanticipated movements in value of exchange rates, interest rates, securities, or the index.

Asset Segregation Certain transactions described above can be viewed as constituting a form of borrowing or financing transaction by a Fund. In such event, a Fund will cover its obligation under such transactions by segregating or “earmarking” assets in accordance with procedures adopted by the Board, in which case such transactions will not be considered “senior securities” by a Fund. With respect to forwards, futures contracts, options and swaps that are contractually

required to cash settle (i.e., where physical delivery of the underlying reference asset is not permitted), a Fund (other than PIMCO Dynamic Income Fund and PIMCO Income Opportunity Fund) is permitted to segregate or earmark liquid assets equal to a Fund’s daily marked-to-market net obligation under the derivative instrument, if any, rather than the derivative’s full notional value. For PIMCO Dynamic Income Fund and PIMCO Income Opportunity Fund, with respect to forwards and futures contracts and interest rate swaps that are contractually required to cash settle (i.e., where physical delivery of the underlying reference asset is not permitted), the Fund is permitted to segregate or earmark liquid assets equal to the Fund’s daily marked-to-market net obligation under the derivative instrument, if any, rather than the derivative’s full notional value, but may segregate full notional value, as applicable, with respect to certain other derivative instruments (including written credit default swaps and written options) that contractually require or permit physical delivery of securities or other underlying assets. By segregating or earmarking liquid assets equal to only its net marked-to-market obligation under certain derivatives that are required to cash settle, a Fund will have the ability to employ leverage to a greater extent than if a Fund were to segregate or earmark liquid assets equal to the full notional value of the derivative.

7. PRINCIPAL RISKS

In the normal course of business, the Funds trade financial instruments and enter into financial transactions where risk of potential loss exists due to such things as changes in the market (market risk) or failure or inability of the other party to a transaction to perform (credit and counterparty risk). See below for a detailed description of select principal risks. For a more comprehensive list of potential risks the Funds may be subject to, please see the Important Information About the Funds.

Market Risks A Fund’s investments in financial derivative instruments and other financial instruments expose the Fund to various risks such as, but not limited to, interest rate, foreign (non-U.S.) currency, equity and commodity risks.

Interest rate risk is the risk that fixed income securities and other instruments held by a Fund will decline in value because of changes in interest rates. As nominal interest rates rise, the value of certain fixed income securities held by a Fund is likely to decrease. A nominal interest rate can be described as the sum of a real interest rate and an expected inflation rate. Interest rate changes can be sudden and unpredictable, and a Fund may lose money if these changes are not anticipated by the Fund’s management. Variable rate securities may decline in value if their interest rates do not rise as much, or as quickly, as interest rates in general. A Fund may not be able to hedge against

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changes in interest rates or may choose not to do so for cost or other reasons. In addition, any hedges may not work as intended.

Fixed income securities with longer durations tend to be more sensitive to changes in interest rates, usually making them more volatile than securities with shorter durations. Duration is a measure used to determine the sensitivity of a security’s price to changes in interest rates that incorporates a security’s yield, coupon, final maturity and call features, among other characteristics. Duration is useful primarily as a measure of the sensitivity of a fixed income security’s market price to interest rate (i.e. yield) movements. All other things remaining equal, for each one percentage point increase in interest rates, the value of a portfolio of fixed income investments would generally be expected to decline by one percent for every year of the portfolio’s average duration above zero. For example, the value of a portfolio of fixed income securities with an average duration of three years would generally be expected to decline by approximately 3% if interest rates rose by one percentage point. Convexity is an additional measure used to understand a security’s interest rate sensitivity. Convexity measures the rate of change of duration in response to changes in interest rates and may be positive or negative. Securities with negative convexity may experience greater losses during periods of rising interest rates, and accordingly Funds holding such securities may be subject to a greater risk of losses in periods of rising interest rates.

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.). This is especially true under current conditions because interest rates and bond yields are near historically low levels. Thus, the Funds currently face a heightened level of risk associated with rising interest rates and/or bond yields. This could be driven by a variety of factors, including but not limited to central bank monetary policies, changing inflation or real growth rates, general economic conditions, increasing bond issuances or reduced market demand for low yielding investments. During periods of very low or negative interest rates, a Fund may be unable to maintain positive returns. Changing interest rates, including rates that fall below zero, may have unpredictable effects on markets, may result in heightened market volatility and may detract from Fund performance to the extent a Fund is exposed to such interest rates. Rising interest rates may result in a decline in value of a Fund’s fixed-income investments and in periods of volatility. Further, while U.S. bond markets have steadily grown over the past three decades, dealer “market making” ability has remained relatively stagnant. As a result, dealer inventories of certain types of bonds and similar instruments, which provide a core indication of the ability of financial intermediaries to “make markets,” are at or near historic lows in relation to market size. Because market makers provide

stability to a market through their intermediary services, the significant reduction in dealer inventories could potentially lead to decreased liquidity and increased volatility in the fixed income markets. Such issues may be exacerbated during periods of economic uncertainty. All of these factors, collectively and/or individually, could cause a Fund to lose value.

Foreign (non-U.S.) securities in this report 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. If a Fund invests directly in foreign (non-U.S.) currencies or in securities that trade in, and receive revenues in, foreign (non-U.S.) currencies, or in financial derivatives that provide exposure to foreign (non-U.S.) currencies, it will be subject to the risk that those currencies will decline in value relative to the base currency of the Fund, or, in the case of hedging positions, that the Fund’s base currency will decline in value relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons, including changes in interest rates, intervention (or the failure to intervene) by U.S. or foreign governments, central banks or supranational entities such as the International Monetary Fund, or by the imposition of currency controls or other political developments in the United States or abroad. As a result, a Fund’s investments in foreign currency denominated securities may reduce the Fund’s returns.

The market values of a Fund’s investments may decline due to general market conditions which are not specifically related to a particular company or issuer, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates or adverse investor sentiment. They may also decline due to factors which affect a particular industry or industries, such as labor shortages or increased production costs and competitive conditions within an industry. Equity securities and equity related investments generally have greater market price volatility than fixed income securities, although under certain market conditions fixed income securities may have comparable or greater price volatility. Credit ratings downgrades may also negatively affect securities held by a Fund. Even when markets perform well, there is no assurance that the investments held by a Fund will increase in value along with the broader market. In addition, market risk includes the risk that geopolitical events will disrupt the economy on a national or global level.

A Fund’s investments in commodity-linked financial derivative instruments may subject the Fund to greater market price volatility than investments in traditional securities. The value of commodity-linked financial derivative instruments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity, such as

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Notes to Financial Statements (Cont.)

drought, floods, weather, livestock disease, embargoes, tariffs and international economic, political and regulatory developments.

Credit and Counterparty Risks A Fund will be exposed to credit risk to parties with whom it trades and will also bear the risk of settlement default. A Fund seeks to minimize concentrations of credit risk by undertaking transactions with a large number of counterparties on recognized and reputable exchanges, where applicable. Over the counter (“OTC”) derivative transactions are subject to the risk that a counterparty to the transaction will not fulfill its contractual obligations to the other party, as many of the protections afforded to centrally cleared derivative transactions might not be available for OTC derivative transactions. For derivatives traded on an exchange or through a central counterparty, credit risk resides with a Fund’s clearing broker, or the clearinghouse itself, rather than with a counterparty in an OTC derivative transaction. A Fund could lose money if the issuer or guarantor of a fixed income security, or the counterparty to a financial derivatives contract, repurchase agreement or a loan of portfolio securities, is unable or unwilling to make timely principal and/or interest payments, or to otherwise honor its obligations. Securities are subject to varying degrees of credit risk, which are often reflected in credit ratings.

Similar to credit risk, a Fund may be exposed to counterparty risk, or the risk that an institution or other entity with which the Fund has unsettled or open transactions will default. PIMCO, as the Manager, seeks to minimize counterparty risks to the Funds through a number of ways. Prior to entering into transactions with a new counterparty, the PIMCO Counterparty Risk Committee conducts an extensive credit review of such counterparty and must approve the use of such counterparty. Furthermore, pursuant to the terms of the underlying contract, to the extent that unpaid amounts owed to a Fund exceed a predetermined threshold, such counterparty is required to advance collateral to the Fund in the form of cash or securities equal in value to the unpaid amount owed to the Fund. A Fund may invest such collateral in securities or other instruments and will typically pay interest to the counterparty on the collateral received. If the unpaid amount owed to a Fund subsequently decreases, the Fund would be required to return to the counterparty all or a portion of the collateral previously advanced. PIMCO’s attempts to minimize counterparty risk may, however, be unsuccessful.

All transactions in listed securities are settled/paid for upon delivery using approved counterparties. The risk of default is considered minimal, as delivery of securities sold is only made once a Fund has received payment. Payment is made on a purchase once the securities have been delivered by the counterparty. The trade will fail if either party fails to meet its obligation.

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.

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December 31, 2019 (Unaudited)

Master Securities Forward Transaction Agreements (“Master Forward Agreements”) govern certain forward settling transactions, such as TBA securities, delayed-delivery or certain sale-buyback transactions by and between a Fund and select counterparties. The Master Forward Agreements maintain provisions for, among other things, transaction initiation and confirmation, payment and transfer, events of default, termination, and maintenance of collateral. The market value of forward settling transactions, collateral pledged or received, and the net exposure by counterparty as of period end is disclosed in the Notes to Schedules of Investments.

Customer Account Agreements and related addenda govern cleared derivatives transactions such as futures, options on futures, and cleared OTC derivatives. Such transactions require posting of initial margin as determined by each relevant clearing agency which is segregated in an account at a futures commission merchant (“FCM”) registered with the CFTC. In the United States, counterparty risk may be reduced as creditors of an FCM cannot have a claim to Fund assets in the segregated account. Portability of exposure reduces risk to the Funds. Variation margin, or changes in market value, are generally exchanged daily, but may not be netted between futures and cleared OTC derivatives unless the parties have agreed to a separate arrangement in respect of portfolio margining. The market value or accumulated unrealized appreciation (depreciation), initial margin posted, and any unsettled variation margin as of period end are disclosed in the Notes to Schedules of Investments.

Prime Broker Arrangements may be entered into to facilitate execution and/or clearing of listed equity option transactions or short sales of equity securities between a Fund and selected counterparties. The arrangements provide guidelines surrounding the rights, obligations, and other events, including, but not limited to, margin, execution, and settlement. These agreements maintain provisions for, among other things, payments, maintenance of collateral, events of default, and termination. Margin and other assets delivered as collateral are typically in the possession of the prime broker and would offset any obligations due to the prime broker. The market values of listed options and securities sold short and related collateral are disclosed in the Notes to Schedules of Investments.

International Swaps and Derivatives Association, Inc. Master Agreements and Credit Support Annexes (“ISDA Master Agreements”) govern bilateral OTC derivative transactions entered into by a Fund with select counterparties. ISDA Master Agreements maintain provisions for general obligations, representations, agreements, collateral posting and events of default or termination. Events of termination include conditions that may entitle counterparties to elect to terminate early and cause settlement of all outstanding transactions under the applicable ISDA Master Agreement. Any election to

terminate early could be material to the financial statements. In limited circumstances, 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. These amounts, if any, may be segregated with a third-party custodian. 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 Pursuant to the Investment Management Agreement with PIMCO (the “Agreement”), and subject to the supervision of the Board, PIMCO is responsible for providing to each Fund investment guidance and policy direction in connection with the management of the Fund, including oral and written research, analysis, advice, and statistical and economic data and information. In addition, pursuant to the Agreement and subject to the general supervision of the Board, PIMCO, at its expense, provides or causes to be furnished most other supervisory and administrative services the Funds require, including but not limited to, expenses of most third-party service providers (e.g., audit, custodial, legal, transfer agency, printing) and other expenses, such as those associated with insurance, proxy solicitations and mailings for shareholder meetings, NYSE listing and related fees, tax services, valuation services and other services the Funds require for their daily operations. Pursuant to the Agreement, PIMCO receives an annual fee, payable monthly, at the annual rates shown in the table below:

Fund Name |  |  |  |  | Annual Rate |
PCM Fund, Inc. |  |  |  |  |  |  | 0.900% | (1)
PIMCO Global StocksPLUS® & Income Fund |  |  |  |  |  |  | 1.105% | (2)
PIMCO Income Opportunity Fund |  |  |  |  |  |  | 1.055% | (1)
PIMCO Strategic Income Fund, Inc. |  |  |  |  |  |  | 0.955% | (3)
PIMCO Dynamic Credit and Mortgage Income Fund |  |  |  |  |  |  | 1.150% | (4)
PIMCO Dynamic Income Fund |  |  |  |  |  |  | 1.150% | (4)

(1) | Management fees calculated based on the Fund’s average daily “total managed assets”. Total managed assets refer to the total assets of each Fund (including assets attributable to any reverse repurchase agreements, borrowings and preferred shares that may be outstanding) minus accrued liabilities (other than liabilities representing reverse repurchase agreements and borrowings).

(2) | Management fees calculated based on the Fund’s average daily “total managed assets”. Total managed assets refer to the total assets of each Fund (including assets attributable to any preferred shares and borrowings that may be outstanding) minus accrued liabilities (other than liabilities representing borrowings).

(3) | Management fees calculated based on the Fund’s average daily net asset value (including daily net assets attributable to any preferred shares of the Fund that may be outstanding).

(4) | Management fees calculated based on the Fund’s average daily “total managed assets”. Total managed assets includes total assets of the Fund (including assets attributable to any reverse repurchase agreements, dollar rolls, borrowings and preferred shares that may be outstanding) minus accrued liabilities (other than liabilities representing reverse repurchase agreements, dollar rolls and borrowings).

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Notes to Financial Statements (Cont.)

(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 loan and other investments made by the Fund, subject to specific or general authorization by the Fund’s Board (for example, so-called “broken-deal costs” (e.g., fees, costs, expenses and liabilities, including, for example, due diligence-related fees, costs, expenses and liabilities, with respect to unconsummated investments))); (iv) expenses of the Fund’s securities lending (if any), including any securities lending agent fees, as governed by a separate securities lending agreement; (v) costs, including interest expense, of borrowing money or engaging in other types of leverage financing, including, without limitation, through the use by the Fund of reverse repurchase agreements, tender option bonds, bank borrowings and credit facilities; (vi) costs, including dividend and/or interest expenses and other costs (including, without limitation, offering and related legal costs, fees to brokers, fees to auction agents, fees to transfer agents, fees to ratings agencies and fees to auditors associated with satisfying ratings agency requirements for preferred shares or other securities issued by the Fund and other related requirements in the Fund’s organizational documents) associated with the Fund’s issuance, offering, redemption and maintenance of preferred shares, commercial paper or other senior securities for the purpose of incurring leverage; (vii) fees and expenses of any underlying funds or other pooled vehicles in which the Fund invests; (viii) dividend and interest expenses on short positions taken by the Fund; (ix) fees and expenses, including travel expenses, and fees and expenses of legal counsel retained for their benefit, of Trustees who are not officers, employees, partners, shareholders or members of PIMCO or its subsidiaries or affiliates; (x) extraordinary expenses, including extraordinary legal expenses, that may arise, including expenses incurred in connection with litigation, proceedings, other claims, and the legal obligations of the Fund to indemnify its Trustees, officers, employees, shareholders, distributors, and agents with respect thereto; (xi) organizational and offering expenses of the Fund, including with respect to share offerings, such as rights offerings and shelf offerings, following the Fund’s initial offering, and expenses associated with tender offers and other share repurchases and redemptions; and (xii) expenses of the Fund which are capitalized in accordance with U.S. GAAP.

Each of the Trustees of the Funds who is not an interested person under Section 2(a)(19) of the Act, (the “Independent Trustees”), also serves as a trustee of a number of other closed-end funds for which PIMCO serves as investment manager (together with the Funds, the “PIMCO Closed-End Funds”), as well as PIMCO Flexible Credit Income Fund and PIMCO Flexible Municipal Income Fund, each a closed end management investment company managed by PIMCO that is operated as an “interval fund” (the ”PIMCO Interval Funds”), and PIMCO Managed Accounts Trust, an open-end management investment company with multiple series for which PIMCO serves as investment adviser and administrator (“PMAT” and, together with the PIMCO Closed-End Funds and the PIMCO Interval Funds, the “PIMCO Managed Funds”). In addition, each of the Independent Trustees, also serves as a trustee of certain investment companies (together, the “Allianz-Managed Funds”), for which Allianz Global Investors U.S. LLC (“AllianzGI U.S.”), an affiliate of PIMCO, serves as investment manager. The Funds pay no compensation directly to any Trustee or any other officer who is affiliated with the Manager, all of whom receive remuneration for their services to the Funds from the Manager or its affiliates.

10. RELATED PARTY TRANSACTIONS

The Manager is a related party. Fees payable to this party are disclosed in Note 9, Fees and Expenses, and the accrued related party fee amounts are disclosed on the Statements of Assets and Liabilities.

Certain Funds are permitted to purchase or sell securities from or to certain related affiliated funds under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of securities by the Funds from or to another fund or portfolio that are, or could be, considered an affiliate, or an affiliate of an affiliate, by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule 17a-7 under the Act. Further, as defined under the procedures, each transaction is effected at the current market price. Purchases and sales of securities pursuant to Rule 17a-7 under the Act for the period ended December 31, 2019, were as follows (amounts in thousands†):

Fund Name |  |  |  |  | Purchases |  |  | Sales |
PCM Fund, Inc. |  |  |  |  |  | $ | 278 |  |  | $ | 2,456 |
PIMCO Global StocksPLUS® & Income Fund |  |  |  |  |  |  | 186 |  |  |  | 4,608 |
PIMCO Income Opportunity Fund |  |  |  |  |  |  | 1,707 |  |  |  | 14,816 |
PIMCO Strategic Income Fund, Inc. |  |  |  |  |  |  | 716 |  |  |  | 11,548 |
PIMCO Dynamic Credit and Mortgage Income Fund |  |  |  |  |  |  | 7,344 |  |  |  | 243,906 |
PIMCO Dynamic Income Fund |  |  |  |  |  |  | 4,077 |  |  |  | 143,328 |

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

11. GUARANTEES AND INDEMNIFICATIONS

Under the organizational documents of PIMCO Global StocksPLUS® & Income Fund, PIMCO Income Opportunity Fund, PIMCO Dynamic Credit

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December 31, 2019 (Unaudited)

and Mortgage Income Fund and PIMCO Dynamic Income Fund, 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. Under the organizational documents of PCM Fund, Inc., and PIMCO Strategic Income Fund, Inc., each Director and officer is indemnified to the fullest extent permitted by Maryland law and the Act. For PCM Fund, Inc., employees and agents of the Fund are indemnified to the maximum extent permitted by Maryland Law and the Act. For PIMCO Strategic Income Fund, Inc., employees and agents of the Fund may be indemnified to the extent determined by the Board and subject to the limitations of the Act. Additionally, in the normal course of business, the Funds enter into contracts that contain a variety of indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds have not had prior claims or losses pursuant to these contracts.

12. PURCHASES AND SALES OF SECURITIES

The length of time a Fund has held a particular security is not generally a consideration in investment decisions. A change in the securities held by a Fund is known as “portfolio turnover.” Each Fund may engage in frequent and active trading of portfolio securities to achieve its investment objective, particularly during periods of volatile market movements. High portfolio turnover may involve correspondingly greater transaction costs, including brokerage commissions or dealer mark-ups and other transaction costs on the sale of securities and reinvestments in other securities, which are borne by the Fund. Such sales may also result in realization of taxable capital gains, including short-term capital gains (which are generally taxed at ordinary income tax rates when distributed to shareholders). The transaction costs associated with portfolio turnover may adversely affect a Fund’s performance. The portfolio turnover rates are reported in the Financial Highlights.

Purchases and sales of securities (excluding short-term investments) for the period ended December 31, 2019, were as follows (amounts in thousands†):

|  |  | U.S. Government/Agency |  |  | All Other |
Fund Name |  |  | Purchases |  |  | Sales |  |  | Purchases |  |  | Sales |
PCM Fund, Inc. |  |  |  |  |  | $ | 506 |  |  | $ | 0 |  |  | $ | 19,368 |  |  | $ | 6,051 |
PIMCO Global StocksPLUS® & Income Fund |  |  |  |  |  |  | 268,282 |  |  |  | 266,665 |  |  |  | 16,602 |  |  |  | 7,090 |
PIMCO Income Opportunity Fund |  |  |  |  |  |  | 1,856 |  |  |  | 0 |  |  |  | 119,281 |  |  |  | 56,132 |
PIMCO Strategic Income Fund, Inc. |  |  |  |  |  |  | 3,364,375 |  |  |  | 3,417,073 |  |  |  | 86,095 |  |  |  | 37,314 |
PIMCO Dynamic Credit and Mortgage Income Fund |  |  |  |  |  |  | 13,603 |  |  |  | 0 |  |  |  | 520,955 |  |  |  | 531,964 |
PIMCO Dynamic Income Fund |  |  |  |  |  |  | 6,673 |  |  |  | 0 |  |  |  | 295,513 |  |  |  | 257,516 |

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

13. COMMON SHARES OFFERING

PCM Fund, Inc. has the authority to issue 300 million shares of $0.001 par value common stock. PIMCO Strategic Income Fund, Inc. has the authority to issue 500 million shares of $0.00001 par value common stock. PIMCO Global StocksPLUS® & Income Fund, PIMCO Income Opportunity Fund, PIMCO Dynamic Credit and Mortgage Income Fund and PIMCO Dynamic Income Fund have authorized an unlimited number of Common Shares at a par value of $0.00001 per share.

On March 23, 2017, the SEC declared effective a registration statement filed using the “shelf” registration process for PIMCO Dynamic Income Fund (the “Original PDI Shelf Registration”). Pursuant to the Original PDI Shelf Registration, PIMCO Dynamic Income Fund was permitted to offer and sell, from time to time, in one or more offerings, up to 9,500,000 of its Common Shares, par value $0.00001 per share. The aggregate sale proceeds for the sales of the PIMCO Dynamic Income Fund Common Shares were subject to an aggregate cap of $275,685,250. As of September 30, 2019, the Fund had sold an aggregate of 8,903,586 Common Shares pursuant to the Original PDI Shelf Registration, representing net proceeds to the Fund of $272,643,809 after payment of commissions. On November 6, 2019,

the SEC declared effective a new registration statement filed using the “shelf” registration process for PIMCO Dynamic Income Fund (the “New Shelf PDI Registration”). Pursuant to the New PDI Shelf Registration, PIMCO Dynamic Income Fund may offer and sell, from time to time, in one or more offerings, up to $560,000,000 of its Common Shares, par value $0.00001 per share. The 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. During the period ended December 31, 2019, the Fund sold 781,311 Common Shares pursuant to the Original PDI Shelf Registration and the New PDI Shelf Registration. Proceeds from the offerings during the period ended December 31, 2019 (net of commissions and fees) were $25,616,330.

On July 6, 2018, the SEC declared effective a registration statement filed using the “shelf” registration process for PIMCO Income Opportunity Fund. Pursuant to the shelf registration, PIMCO Income

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Notes to Financial Statements (Cont.)

Opportunity Fund may offer and sell, from time to time, in one or more offerings, up to 3,000,000 of its Common Shares, par value $0.00001 per share. The aggregate sale proceeds for the sales of the PIMCO Income Opportunity Fund Common Shares are subject to an aggregate cap of $85,000,000. The 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. During the period ended December 31, 2019, the Fund sold 1,379,957 Common Shares. Proceeds from the offerings during the period ended December 31, 2019 (net of commissions and fees) were $37,007,838.

On December 4, 2019, the SEC declared effective a registration statement filed using the “shelf” registration process for PIMCO Dynamic Credit and Mortgage Income Fund. Pursuant to the shelf registration, PIMCO Dynamic Credit and Mortgage Income Fund may offer and sell, from time to time, in one or more offerings, up to $1,000,000,000 of its Common Shares, par value $0.00001 per share. The 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. During the period ended December 31, 2019, the Fund sold 1,426,593 Common Shares. Proceeds from the offerings during the period ended December 31, 2019 (net of commissions and fees) were $35,858,939.

14. BASIS FOR CONSOLIDATION

PCILS I LLC and PDILS I LLC (each a “Subsidiary” and, collectively, the “Subsidiaries”), both Delaware LLC exempted companies, were formed as wholly owned subsidiaries acting as investment vehicles for PIMCO Dynamic Credit and Mortgage Income Fund and PIMCO Dynamic Income Fund (for purposes of this section, each a “Fund” and, collectively, the “Funds”), respectively, in order to effect certain investments consistent with each Fund’s objectives and policies in effect from time to time. PCILS I LLC and PDILS I LLC were formed on March 7, 2013 and March 12, 2013, respectively. PIMCO Dynamic Income Credit and Mortgage Fund’s and PIMCO Dynamic Income Fund’s investment portfolios have been consolidated and include the portfolio holdings of each Fund’s respective Subsidiary. Accordingly, the consolidated financial statements for each Fund include the accounts of each Fund’s respective subsidiary. All inter-company transactions and

balances have been eliminated. This structure was established so that certain loans could be held by a separate legal entity from the Funds. The net assets of PCILS I LLC and PDILS I LLC as of period end represented 1.0% and 0.4%, respectively, of each respective Fund’s consolidated net assets.

15. REGULATORY AND LITIGATION MATTERS

The Funds are not named as defendants in any material litigation or arbitration proceedings and are not aware of any material litigation or claim pending or threatened against them.

The foregoing speaks only as of the date of this report.

16. FEDERAL INCOME TAX MATTERS

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

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

In accordance with U.S. GAAP, the Manager has reviewed the Funds’ tax positions for all open tax years. As of December 31, 2019, 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.

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December 31, 2019 (Unaudited)

As of their last fiscal year ended June 30, 2019, the Funds had the following post-effective capital losses with no expiration (amounts in thousands†):

|  |  |  |  | Short-Term |  |  | Long-Term |
PCM Fund, Inc. |  |  |  |  |  | $ | 0 |  |  | $ | 1,558 |
PIMCO Global StocksPLUS® & Income Fund |  |  |  |  |  |  | 23,425 |  |  |  | 727 |
PIMCO Income Opportunity Fund |  |  |  |  |  |  | 0 |  |  |  | 0 |
PIMCO Strategic Income Fund, Inc. |  |  |  |  |  |  | 9,168 |  |  |  | 37,048 |
PIMCO Dynamic Credit and Mortgage Income Fund |  |  |  |  |  |  | 99,603 |  |  |  | 62,671 |
PIMCO Dynamic Income Fund |  |  |  |  |  |  | 0 |  |  |  | 0 |

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

As of December 31, 2019, the aggregate cost and the net unrealized appreciation/(depreciation) of investments for Federal income tax purposes are as follows (amounts in thousands†):

|  |  |  |  | Federal Tax Cost |  |  | Unrealized Appreciation |  |  | Unrealized (Depreciation) |  |  | Net Unrealized Appreciation/ (Depreciation)(1) |
PCM Fund, Inc. |  |  |  |  |  | $ | 182,527 |  |  | $ | 22,945 |  |  | $ | (14,181 | ) |  | $ | 8,764 |
PIMCO Global StocksPLUS® & Income Fund |  |  |  |  |  |  | 196,341 |  |  |  | 25,699 |  |  |  | (22,090 | ) |  |  | 3,609 |
PIMCO Income Opportunity Fund |  |  |  |  |  |  | 618,329 |  |  |  | 71,057 |  |  |  | (45,440 | ) |  |  | 25,617 |
PIMCO Strategic Income Fund, Inc. |  |  |  |  |  |  | 994,501 |  |  |  | 50,622 |  |  |  | (43,397 | ) |  |  | 7,225 |
PIMCO Dynamic Credit and Mortgage Income Fund |  |  |  |  |  |  | 5,663,733 |  |  |  | 582,203 |  |  |  | (490,239 | ) |  |  | 91,964 |
PIMCO Dynamic Income Fund |  |  |  |  |  |  | 2,471,420 |  |  |  | 336,601 |  |  |  | (198,780 | ) |  |  | 137,821 |

† | 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.

For tax years ending before July 1, 2018, RCS accounted for mortgage dollar rolls as financing transactions, such that the Fund treated the difference between the selling price and future purchase price on a mortgage dollar roll as interest income for U.S. federal income tax purposes. On July 18, 2019, the IRS granted RCS’ application for a change in accounting method for mortgage dollar rolls. Accordingly, for tax years ending after June 30, 2018, RCS accounts for mortgage dollar rolls as sales or exchanges for U.S. federal income tax purposes.

The Fund’s treatment of mortgage dollar rolls for U.S. federal income tax purposes determines the character and source of the Fund’s distributions relating to income earned thereon. Treatment of mortgage dollar rolls as financing transactions may increase the amount of distributions received by Fund shareholders, or may increase the portion thereof that is taxed as ordinary income, and cause shareholders to be taxed on distributions that effectively represent a return of the shareholder’s investment therein. As a result of the change in accounting method granted by the IRS, for tax years ending after June 30, 2018, the Fund expects that any gain or loss it recognizes on mortgage dollar rolls will generally be treated as short-term capital gain or loss, as applicable. Any such short-term capital gains for a taxable year will be offset by the Fund’s capital losses for such year, and any available capital loss carryforwards. The application of sale or exchange treatment to mortgage dollar rolls may therefore increase the portion of the Fund’s distributions to shareholders that are

treated as returns of capital for U.S. federal income tax purposes, or lead the Fund to decrease its distributions to reduce or avoid returns of capital.

The U.S. federal income tax rules governing the treatment of mortgage dollar roll transactions are complex, and the proper treatment of such transactions is uncertain. If the IRS were to challenge or recharacterize RCS’s treatment of mortgage dollar rolls successfully, it would affect the amount, timing and character of distributions received by the Fund’s shareholders. A taxpayer requesting a voluntary accounting method change generally receives audit protection for all taxable years prior to the year of change with respect to the item that is being changed. Because the IRS has approved the Fund’s requested change in accounting method for mortgage dollar rolls, the IRS will not, subject to certain exceptions that the Fund does not expect to apply, challenge or recharacterize the Fund’s treatment of mortgage dollar rolls as financing transactions for taxable years ending before July 1, 2018.

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.

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Notes to Financial Statements (Cont.)

December 31, 2019 (Unaudited)

On January 02, 2020, the following distributions were declared to common shareholders payable February 03, 2020 to shareholders of record on January 13, 2020:

PCM Fund, Inc. |  |  |  |  |  | $ | 0.080000 per common share |
PIMCO Global StocksPLUS® & Income Fund |  |  |  |  |  | $ | 0.093940 per common share |
PIMCO Income Opportunity Fund |  |  |  |  |  | $ | 0.190000 per common share |
PIMCO Strategic Income Fund, Inc. |  |  |  |  |  | $ | 0.061200 per common share |
PIMCO Dynamic Credit and Mortgage Income Fund |  |  |  |  |  | $ | 0.174000 per common share |
PIMCO Dynamic Income Fund |  |  |  |  |  | $ | 0.220500 per common share |

On February 03, 2020, the following distributions were declared to common shareholders payable March 02, 2020 to shareholders of record on February 13, 2020:

PCM Fund, Inc. |  |  |  |  |  | $ | 0.080000 per common share |
PIMCO Global StocksPLUS® & Income Fund |  |  |  |  |  | $ | 0.093940 per common share |
PIMCO Income Opportunity Fund |  |  |  |  |  | $ | 0.190000 per common share |
PIMCO Strategic Income Fund, Inc. |  |  |  |  |  | $ | 0.061200 per common share |
PIMCO Dynamic Credit and Mortgage Income Fund |  |  |  |  |  | $ | 0.174000 per common share |
PIMCO Dynamic Income Fund |  |  |  |  |  | $ | 0.220500 per common share |

There were no other subsequent events identified that require recognition or disclosure.

134 |  | PIMCO CLOSED-END FUNDS |  |  |  |  |  |

Glossary: (abbreviations that may be used in the preceding statements)

(Unaudited)

Counterparty Abbreviations:
BCY |  | Barclays Capital, Inc. |  | FICC |  | Fixed Income Clearing Corporation |  | RBC |  | Royal Bank of Canada
BNY |  | Bank of New York Mellon |  | FOB |  | Credit Suisse Securities (USA) LLC |  | RCE |  | Royal Bank of Canada Europe Limited
BOA |  | Bank of America N.A. |  | GLM |  | Goldman Sachs Bank USA |  | RCY |  | Royal Bank of Canada
BOS |  | BofA Securities, Inc. |  | GST |  | Goldman Sachs International |  | RDR |  | RBC Capital Markets LLC
BPS |  | BNP Paribas S.A. |  | HUS |  | HSBC Bank USA N.A. |  | RTA |  | RBC (Barbados) Trading Bank Corp.
BRC |  | Barclays Bank PLC |  | IND |  | Crédit Agricole Corporate and Investment Bank S.A. |  | RYL |  | NatWest Markets Plc
BSH |  | Banco Santander S.A. - New York Branch |  | JML |  | JP Morgan Securities Plc |  | SAL |  | Citigroup Global Markets, Inc.
CBK |  | Citibank N.A. |  | JPM |  | JP Morgan Chase Bank N.A. |  | SBI |  | Citigroup Global Markets Ltd.
CEW |  | Canadian Imperial Bank of Commerce |  | JPS |  | J.P. Morgan Securities LLC |  | SCX |  | Standard Chartered Bank, London
CFR |  | Credit Suisse Securities (Europe) Ltd. |  | MBC |  | HSBC Bank Plc |  | SGY |  | Societe Generale, NY
CIW |  | CIBC World Markets Corp. |  | MEI |  | Merrill Lynch International |  | SOG |  | Societe Generale Paris
CSG |  | Credit Suisse AG Cayman |  | MSB |  | Morgan Stanley Bank, N.A |  | SSB |  | State Street Bank and Trust Co.
DBL |  | Deutsche Bank AG London |  | MYC |  | Morgan Stanley Capital Services LLC |  | TOR |  | The Toronto-Dominion Bank
DUB |  | Deutsche Bank AG |  | MYI |  | Morgan Stanley & Co. International PLC |  | UAG |  | UBS AG Stamford
FAR |  | Wells Fargo Bank National Association |  | MZF |  | Mizuho Securities USA |  | UBS |  | UBS Securities LLC
FBF |  | Credit Suisse International |  | NOM |  | Nomura Securities International Inc. |  |  |  |
Currency Abbreviations:
ARS |  | Argentine Peso |  | EUR |  | Euro |  | PEN |  | Peruvian New Sol
AUD |  | Australian Dollar |  | GBP |  | British Pound |  | RUB |  | Russian Ruble
BRL |  | Brazilian Real |  | JPY |  | Japanese Yen |  | TRY |  | Turkish New Lira
CAD |  | Canadian Dollar |  | MXN |  | Mexican Peso |  | USD (or $) |  | United States Dollar
CLP |  | Chilean Peso |  | NZD |  | New Zealand Dollar |  |  |  |
Exchange Abbreviations:
CME |  | Chicago Mercantile Exchange |  | OTC |  | Over the Counter |  |  |  |
Index/Spread Abbreviations:
ABX.HE |  | Asset-Backed Securities Index - Home Equity |  | EUR003M |  | 3 Month EUR Swap Rate |  | S&P 500 |  | Standard & Poor’s 500 Index
ARLLMONP |  | Argentina Blended Policy Rate |  | LIBOR03M |  | 3 Month USD-LIBOR |  | US0001M |  | 1 Month USD Swap Rate
BADLARPP |  | Argentina Badlar Floating Rate Notes |  | NDDUEAFE |  | MSCI EAFE Index |  | US0003M |  | 3 Month USD Swap Rate
BP0003M |  | 3 Month GBP-LIBOR |  | PRIME |  | Daily US Prime Rate |  |  |  |
Other Abbreviations:
ABS |  | Asset-Backed Security |  | CDO |  | Collateralized Debt Obligation |  | REMIC |  | Real Estate Mortgage Investment Conduit
ALT |  | Alternate Loan Trust |  | CLO |  | Collateralized Loan Obligation |  | SP - ADR |  | Sponsored American Depositary Receipt
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
CBO |  | Collateralized Bond Obligation |  | PIK |  | Payment-in-Kind |  |  |  |

|  | SEMIANNUAL REPORT |  | DECEMBER 31, 2019 |  | 135

Changes to Boards of Trustees

(Unaudited)

Effective December 31, 2019, Bradford K. Gallagher resigned from his position as Trustee or Director, as applicable, of each of the Funds.

136 |  | PIMCO CLOSED-END FUNDS |  |  |  |  |  |

General Information

Investment Manager

Pacific Investment Management Company LLC

650 Newport Center Drive,

Newport Beach, CA, 92660

Custodian

State Street Bank and Trust Company

801 Pennsylvania Avenue

Kansas City, MO 64105

Transfer Agent, Dividend Paying Agent and Registrar

American Stock Transfer & Trust Company, LLC

6201 15th Avenue

Brooklyn, NY 11219

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.

CEF4010SAR_123119

Item 2. | Code of Ethics.

The information required by this Item 2 is only required in an annual report on this Form N-CSR.

Item 3. | Audit Committee Financial Expert.

The information required by this Item 3 is only required in an annual report on this Form N-CSR.

Item 4. | Principal Accountant Fees and Services.

The information required by this Item 4 is only required in an annual report on this Form N-CSR.

Item 5. | Audit Committee of Listed Registrants.

The information required by this Item 5 is only required in an annual report on this Form N-CSR.

Item 6. | Schedule of Investments.

The information required by this Item 6 is included as part of the semiannual reports to shareholders filed under Item 1 of this Form N-CSR.

Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

The information required by this Item 7 is only required in an annual report on this Form N-CSR.

Item 8. | Portfolio Managers of Closed-End Management Investment Companies.

Not applicable.

Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

None.

Item 10. | Submission of Matters to a Vote of Security Holders.

There have been no material changes to the procedures by which shareholders may recommend nominees to the Fund’s Board of Trustees since the Fund last provided disclosure in response to this item.

Item 11. | Controls and Procedures.

| (a) | The principal executive officer and principal financial & accounting officer have concluded as of a date within 90 days of the filing date of this report, based on their evaluation of the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the 1940 Act), that the design of such procedures is effective to provide reasonable assurance that material information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the time periods specified in the Commission’s rules and forms.

| (b) | There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the last fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 12. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

The information required by this Item 12 is only required in an annual report on this Form N-CSR.

Item 13. | Exhibits.

| (a)(1) | Exhibit 99.CODE—Code of Ethics is not applicable for semiannual reports.

| (a)(2) | Exhibit 99.CERT—Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.

| (a)(3) | None.

| (a)(4) | There was no change in the registrant’s independent public accountant for the period covered by the report.

| (b) | Exhibit 99.906CERT—Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.

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.

PCM Fund, Inc.
By: |  | /s/ Eric D. Johnson
|  | Eric D. Johnson
|  | President (Principal Executive Officer)
Date: |  | February 28, 2020

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By: |  | /s/ Eric D. Johnson
|  | Eric D. Johnson
|  | President (Principal Executive Officer)
Date: |  | February 28, 2020

By: |  | /s/ Bradley Todd
|  | Bradley Todd
|  | Treasurer (Principal Financial & Accounting Officer)
Date: |  | February 28, 2020