Schedule of Investments PIMCO Income Strategy Fund

March 31, 2024

(Unaudited)

 

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

 

 

PRINCIPAL
AMOUNT
(000s)

 

MARKET
VALUE
(000s)

INVESTMENTS IN SECURITIES 108.9% ¤

 

 

 

 

LOAN PARTICIPATIONS AND ASSIGNMENTS 33.7%

 

 

 

 

AI Silk Midco Ltd.
TBD% due 02/24/2031

EUR

1,000

$

1,050

Air Canada
7.833% (TSFR03M + 2.500%) due 03/14/2031 ~

$

100

 

100

Amsurg

 

 

 

 

10.123% (TSFR03M + 4.750%) due 11/03/2028 «~

 

542

 

542

14.248% due 07/20/2026 «~

 

6,538

 

6,538

AP Core Holdings LLC
10.945% due 09/01/2027

 

7,143

 

7,011

AVSC Holding Corp. (8.676% Cash and 0.250% PIK)
8.926% due 03/03/2025 (b)

 

1,905

 

1,916

BDO U.S.A. PC
11.330% (TSFR1M + 6.000%) due 08/31/2028 «~

 

1,354

 

1,362

Cengage Learning, Inc.
TBD% due 03/22/2031

 

800

 

800

Diamond Sports Group LLC
TBD% due 05/25/2026

 

4,157

 

4,001

DirecTV Financing LLC
10.445% (TSFR1M + 5.000%) due 08/02/2027 ~

 

343

 

344

Element Materials Technology Group U.S. Holdings, Inc.
TBD% due 07/06/2029

 

1,995

 

1,999

Encina Private Credit LLC
TBD% - 9.134% due 11/30/2025 «µ

 

1,232

 

1,214

Envalior Finance GmbH

 

 

 

 

9.412% (EUR003M + 5.500%) due 03/29/2030 ~

EUR

1,100

 

1,099

10.813% (TSFR03M + 5.500%) due 03/29/2030 ~

$

1,683

 

1,569

Finastra U.S.A., Inc.

 

 

 

 

0.500% - 12.575% (TSFR1M + 7.250%) due 09/13/2029 «~µ

 

56

 

56

0.500% - 12.575% (TSFR03M + 7.250%) due 09/13/2029 «~

 

544

 

548

Galaxy U.S. Opco, Inc.
10.063% (TSFR03M + 4.750%) due 04/29/2029 ~

 

1,100

 

998

Gateway Casinos & Entertainment Ltd.

 

 

 

 

13.413% (CDOR03 + 8.000%) due 10/18/2027 ~

CAD

2,044

 

1,513

13.469% due 10/15/2027

$

3,437

 

3,446

iHeartCommunications, Inc.
8.695% due 05/01/2026

 

320

 

280

Ivanti Software, Inc.
9.839% due 12/01/2027

 

4,702

 

4,414

Lealand Finance Co. BV
8.442% (TSFR1M + 3.000%) due 06/28/2024 ~

 

40

 

22

Lealand Finance Co. BV (6.441% Cash and 3.000% PIK)
9.441% due 06/30/2025 (b)

 

196

 

81

Lifepoint Health, Inc.
11.087% due 11/16/2028

 

2,640

 

2,650

Magenta Buyer LLC
10.574% (TSFR03M + 5.000%) due 07/27/2028 ~

 

497

 

299

Market Bidco Ltd.
10.044% due 11/04/2027

GBP

4,878

 

6,159

MITER Brands
TBD% due 03/21/2031

$

100

 

101

MPH Acquisition Holdings LLC
9.855% due 09/01/2028

 

4,819

 

4,669

Obol France 3 SAS
8.864% (EUR006M + 4.750%) due 12/31/2025 ~

EUR

3,100

 

3,227

Oi SA

 

 

 

 

1.750% (LIBOR03M + 1.750%) due 02/26/2035 ~

$

2,162

 

38

12.500% due 09/07/2024

 

4,569

 

4,546

Ontario Gaming GTA LP
9.559% (TSFR03M + 4.250%) due 08/01/2030 ~

 

100

 

101

Osaic Holdings, Inc.
TBD% due 08/16/2028

 

200

 

201

Poseidon Bidco SASU
8.902% (EUR003M + 5.000%) due 03/13/2030 ~

EUR

1,400

 

1,487

Promotora de Informaciones SA
9.123% (EUR003M + 5.220%) due 12/31/2026 ~

 

8,567

 

9,135

Promotora de Informaciones SA (6.873% Cash and 5.000% PIK)
11.873% (EUR003M + 2.970%) due 06/30/2027 ~(b)

 

360

 

370

Rising Tide Holdings, Inc.
14.329% (TSFR1M + 9.000%) due 06/01/2026 «~

$

948

 

918

Steenbok Lux Finco 2 SARL
10.000% due 06/30/2026

EUR

8,147

 

3,340

Syniverse Holdings, Inc.
12.302% (TSFR03M + 7.000%) due 05/13/2027 ~

$

9,004

 

8,619

 

 

 

Schedule of Investments PIMCO Income Strategy Fund (Cont.)

March 31, 2024

(Unaudited)

 

Telemar Norte Leste SA

 

 

 

 

1.750% (LIBOR06M + 1.750%) due 02/26/2035 ~

 

6,166

 

108

1.750% due 02/26/2035

 

110

 

2

Triton Water Holdings, Inc.
9.312% (TSFR03M + 4.000%) due 03/31/2028 ~

 

300

 

297

U.S. Renal Care, Inc.
10.442% (TSFR1M + 5.000%) due 06/20/2028 ~

 

9,616

 

8,382

Veritas U.S., Inc.
10.445% due 09/01/2025

 

5,236

 

4,859

Vistra Zero Operating Co. LLC
TBD% due 03/20/2031

 

200

 

200

Wesco Aircraft Holdings, Inc.
TBD% due 05/01/2024 «

 

3,373

 

3,610

Westmoreland Mining Holdings LLC
8.000% due 03/15/2029

 

967

 

628

Windstream Services LLC

 

 

 

 

9.430% due 02/23/2027

 

3,130

 

3,099

11.680% due 09/21/2027

 

419

 

410

WS Audiology
TBD% due 02/27/2029

 

100

 

100

Total Loan Participations and Assignments (Cost $111,055)

 

 

 

108,458

CORPORATE BONDS & NOTES 37.7%

 

 

 

 

BANKING & FINANCE 9.0%

 

 

 

 

Agps Bondco PLC

 

 

 

 

4.625% due 01/14/2026

EUR

2,100

 

887

5.000% due 04/27/2027

 

1,300

 

543

5.500% due 11/13/2026

 

100

 

42

Armor Holdco, Inc.
8.500% due 11/15/2029 (i)

$

2,000

 

1,890

Banca Monte dei Paschi di Siena SpA

 

 

 

 

7.708% due 01/18/2028 •(i)

EUR

1,211

 

1,370

8.000% due 01/22/2030 •(i)

 

918

 

1,004

10.500% due 07/23/2029 (i)

 

2,342

 

2,982

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

PEN

400

 

106

Barclays PLC

 

 

 

 

6.490% due 09/13/2029 •(i)

$

200

 

208

6.692% due 09/13/2034 •(i)

 

300

 

320

7.437% due 11/02/2033 •(i)

 

970

 

1,078

BOI Finance BV
7.500% due 02/16/2027

EUR

1,500

 

1,535

CaixaBank SA
6.840% due 09/13/2034 •(i)

$

200

 

214

CBRE Services, Inc.
5.950% due 08/15/2034 (i)

 

400

 

411

Claveau Re Ltd.
22.612% (T-BILL 3MO + 17.250%) due 07/08/2028 ~

 

498

 

311

Cosaint Re Pte. Ltd.
15.202% (T-BILL 1MO + 9.250%) due 04/03/2028 ~

 

400

 

399

Credit Suisse AG AT1 Claim

 

3,840

 

442

GSPA Monetization Trust
6.422% due 10/09/2029

 

1,068

 

1,028

Hestia Re Ltd.
14.732% (T-BILL 1MO + 9.370%) due 04/22/2025 ~

 

469

 

463

Integrity Re Ltd.
28.362% (T-BILL 1MO + 23.000%) due 06/06/2026 ~

 

1,000

 

1,000

Long Walk Reinsurance Ltd.
15.112% (T-BILL 3MO + 9.750%) due 01/30/2031 ~

 

400

 

405

Sammons Financial Group, Inc.
6.875% due 04/15/2034

 

100

 

101

Sanders Re Ltd.
17.122% (T-BILL 3MO + 11.760%) due 04/09/2029 ~

 

714

 

641

Societe Generale SA
6.691% due 01/10/2034 •(i)

 

400

 

420

SVB Financial Group

 

 

 

 

1.800% due 02/02/2031 ^(c)

 

607

 

379

2.100% due 05/15/2028 ^(c)

 

100

 

64

3.125% due 06/05/2030 ^(c)

 

100

 

64

4.345% due 04/29/2028 ^(c)

 

300

 

190

4.570% due 04/29/2033 ^(c)

 

800

 

507

UBS Group AG

 

 

 

 

6.442% due 08/11/2028 •(i)

 

300

 

309

6.537% due 08/12/2033 •(i)

 

250

 

264

9.016% due 11/15/2033 •(i)

 

250

 

304

Uniti Group LP

 

 

 

 

6.000% due 01/15/2030 (i)

 

4,868

 

3,635

6.500% due 02/15/2029 (i)

 

1,400

 

1,086

Ursa Re Ltd.
14.612% (T-BILL 3MO + 9.250%) due 12/07/2026 ~

 

400

 

405

VICI Properties LP

 

 

 

 

3.875% due 02/15/2029 (i)

 

1,800

 

1,658

4.500% due 01/15/2028 (i)

 

1,280

 

1,230

Schedule of Investments PIMCO Income Strategy Fund (Cont.)

March 31, 2024

(Unaudited)

 

Voyager Aviation Holdings LLC
8.500% due 05/09/2026 ^«(c)

 

2,214

 

387

Winston RE Ltd.
15.612% (T-BILL 3MO + 10.250%) due 02/26/2031 ~

 

250

 

249

Yosemite Re Ltd.
15.340% (T-BILL 3MO + 9.978%) due 06/06/2025 ~

 

390

 

404

 

 

 

 

28,935

INDUSTRIALS 24.2%

 

 

 

 

Aston Martin Capital Holdings Ltd.

 

 

 

 

10.000% due 03/31/2029

 

100

 

102

10.375% due 03/31/2029

GBP

100

 

129

BAT Capital Corp.
6.421% due 08/02/2033 (i)

$

600

 

628

Carvana Co. (12.000% PIK)
12.000% due 12/01/2028 (b)

 

391

 

377

Carvana Co. (13.000% PIK)
13.000% due 06/01/2030 (b)

 

3,503

 

3,361

Carvana Co. (14.000% PIK)
14.000% due 06/01/2031 (b)

 

2,789

 

2,756

CGG SA

 

 

 

 

7.750% due 04/01/2027

EUR

2,900

 

2,871

8.750% due 04/01/2027 (i)

$

1,944

 

1,763

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

 

296

 

306

DISH DBS Corp.

 

 

 

 

5.250% due 12/01/2026

 

3,520

 

2,778

5.750% due 12/01/2028

 

3,560

 

2,453

Ecopetrol SA
8.375% due 01/19/2036

 

200

 

202

Exela Intermediate LLC (11.500% PIK)
11.500% due 04/15/2026 (b)

 

37

 

6

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

 

4,805

 

5,187

GN Bondco LLC
9.500% due 10/15/2031 (i)

 

1,600

 

1,599

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

 

1,050

 

1,166

Intelsat Jackson Holdings SA
6.500% due 03/15/2030 (i)

 

7,443

 

6,934

Inter Media & Communication SpA
6.750% due 02/09/2027 (i)

EUR

900

 

955

Legacy LifePoint Health LLC
4.375% due 02/15/2027

$

200

 

191

LifePoint Health, Inc.

 

 

 

 

9.875% due 08/15/2030 (i)

 

400

 

419

11.000% due 10/15/2030 (i)

 

1,400

 

1,498

Market Bidco Finco PLC
4.750% due 11/04/2027

EUR

400

 

407

Miter Brands Acquisition Holdco, Inc.
6.750% due 04/01/2032

$

100

 

100

New Albertsons LP
6.570% due 02/23/2028

 

2,800

 

2,674

Newfold Digital Holdings Group, Inc.

 

 

 

 

6.000% due 02/15/2029

 

500

 

392

11.750% due 10/15/2028 (i)

 

300

 

325

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

 

5,300

 

4,953

Odebrecht Oil & Gas Finance Ltd.
0.000% due 04/29/2024 (e)(f)

 

450

 

24

Olympus Water U.S. Holding Corp.
5.375% due 10/01/2029

EUR

1,400

 

1,337

Petroleos Mexicanos

 

 

 

 

6.700% due 02/16/2032 (i)

$

830

 

691

6.840% due 01/23/2030 (i)

 

400

 

353

8.750% due 06/02/2029 (i)

 

765

 

746

Topaz Solar Farms LLC

 

 

 

 

4.875% due 09/30/2039 (i)

 

837

 

745

5.750% due 09/30/2039

 

4,045

 

4,043

Transocean Aquila Ltd.
8.000% due 09/30/2028 (i)

 

300

 

309

U.S. Renal Care, Inc.
10.625% due 06/28/2028

 

843

 

740

Valaris Ltd.
8.375% due 04/30/2030 (i)

 

356

 

368

Vale SA
1.378% due 12/29/2049 ~(f)

BRL

60,000

 

3,880

Venture Global LNG, Inc.

 

 

 

 

9.500% due 02/01/2029

$

800

 

863

9.875% due 02/01/2032 (i)

 

1,200

 

1,294

Veritas U.S., Inc.
7.500% due 09/01/2025 (i)

 

1,110

 

1,019

Vital Energy, Inc.
7.875% due 04/15/2032

 

100

 

102

Schedule of Investments PIMCO Income Strategy Fund (Cont.)

March 31, 2024

(Unaudited)

 

Wesco Aircraft Holdings, Inc. (7.500% Cash and 3.000% PIK)
10.500% due 11/15/2026 ^(b)(c)

 

13,761

 

12,523

Windstream Escrow LLC
7.750% due 08/15/2028 (i)

 

4,700

 

4,354

 

 

 

 

77,923

UTILITIES 4.5%

 

 

 

 

FORESEA Holding SA
7.500% due 06/15/2030

 

467

 

439

NGD Holdings BV
6.750% due 12/31/2026

 

165

 

115

Northwestern Bell Telephone
7.750% due 05/01/2030

 

7,000

 

3,292

Oi SA
10.000% due 07/27/2025 ^(c)

 

13,514

 

236

Pacific Gas & Electric Co.

 

 

 

 

4.000% due 12/01/2046 (i)

 

1,004

 

753

4.200% due 03/01/2029 (i)

 

900

 

855

4.450% due 04/15/2042 (i)

 

322

 

264

4.500% due 12/15/2041

 

10

 

8

4.750% due 02/15/2044 (i)

 

1,826

 

1,543

4.950% due 07/01/2050 (i)

 

2,172

 

1,870

Peru LNG SRL
5.375% due 03/22/2030 (i)

 

4,800

 

4,182

Vistra Operations Co. LLC
6.950% due 10/15/2033 (i)

 

800

 

855

 

 

 

 

14,412

Total Corporate Bonds & Notes (Cost $140,346)

 

 

 

121,270

CONVERTIBLE BONDS & NOTES 0.3%

 

 

 

 

INDUSTRIALS 0.3%

 

 

 

 

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

 

1,600

 

1,004

Total Convertible Bonds & Notes (Cost $1,600)

 

 

 

1,004

MUNICIPAL BONDS & NOTES 2.6%

 

 

 

 

MICHIGAN 0.3%

 

 

 

 

Detroit, Michigan General Obligation Bonds, Series 2014
4.000% due 04/01/2044

 

1,300

 

1,031

PUERTO RICO 1.6%

 

 

 

 

Commonwealth of Puerto Rico Bonds, Series 2022

 

 

 

 

0.000% due 11/01/2043 (i)

 

295

 

171

0.000% due 11/01/2051 (i)

 

9,187

 

5,049

 

 

 

 

5,220

WEST VIRGINIA 0.7%

 

 

 

 

Tobacco Settlement Finance Authority, West Virginia Revenue Bonds, Series 2007
0.000% due 06/01/2047 (e)

 

21,900

 

2,031

Total Municipal Bonds & Notes (Cost $7,858)

 

 

 

8,282

U.S. GOVERNMENT AGENCIES 1.6%

 

 

 

 

Fannie Mae

 

 

 

 

0.000% due 12/25/2040 •(i)

 

125

 

113

0.615% due 02/25/2049 •(a)

 

213

 

22

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

 

399

 

65

3.500% due 03/25/2042 (a)(i)

 

836

 

67

4.000% due 11/25/2042 (a)(i)

 

633

 

75

Freddie Mac

 

 

 

 

0.000% due 11/15/2040 •(i)

 

112

 

88

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

 

15,918

 

933

3.000% due 11/15/2033 (a)

 

827

 

42

6.155% due 11/25/2055 «~

 

3,777

 

2,345

12.985% due 12/25/2027 •

 

1,241

 

1,311

Total U.S. Government Agencies (Cost $5,557)

 

 

 

5,061

NON-AGENCY MORTGAGE-BACKED SECURITIES 10.9%

 

 

 

 

Atrium Hotel Portfolio Trust
7.053% due 06/15/2035 •

 

1,200

 

1,180

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

 

401

 

351

BCAP LLC Trust

 

 

 

 

3.918% due 03/27/2036 ~

 

597

 

418

4.527% due 03/26/2037 þ

 

298

 

420

Schedule of Investments PIMCO Income Strategy Fund (Cont.)

March 31, 2024

(Unaudited)

 

Bear Stearns ALT-A Trust

 

 

 

 

4.207% due 09/25/2047 ~

 

1,692

 

806

4.576% due 11/25/2036 ~

 

133

 

70

4.701% due 09/25/2035 ~

 

109

 

60

5.764% due 06/25/2046 •

 

760

 

666

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

 

27

 

27

CALI Mortgage Trust
3.957% due 03/10/2039 (i)

 

1,600

 

1,431

CD Mortgage Trust
5.688% due 10/15/2048

 

145

 

133

Chase Mortgage Finance Trust

 

 

 

 

4.897% due 12/25/2035 «~

 

2

 

1

6.000% due 02/25/2037

 

297

 

117

6.000% due 07/25/2037

 

203

 

92

6.250% due 10/25/2036

 

528

 

212

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

 

4

 

4

Colony Mortgage Capital Ltd.

 

 

 

 

7.461% due 11/15/2038 •

 

1,100

 

1,026

8.157% due 11/15/2038 •

 

1,600

 

1,421

Commercial Mortgage Loan Trust
6.369% due 12/10/2049 ~

 

143

 

6

Countrywide Alternative Loan Resecuritization Trust

 

 

 

 

6.000% due 05/25/2036

 

689

 

387

6.000% due 08/25/2037 ~

 

342

 

185

Countrywide Alternative Loan Trust

 

 

 

 

5.500% due 03/25/2035

 

97

 

41

5.500% due 12/25/2035

 

847

 

458

5.750% due 01/25/2035

 

55

 

52

5.770% due 04/25/2036 ~

 

131

 

113

5.794% due 05/25/2037 •

 

116

 

38

6.000% due 02/25/2035

 

104

 

76

6.000% due 08/25/2036 •

 

120

 

70

6.000% due 12/25/2036

 

1,326

 

402

6.000% due 04/25/2037

 

351

 

166

6.250% due 11/25/2036

 

195

 

146

6.250% due 12/25/2036 •

 

614

 

258

6.500% due 08/25/2036

 

184

 

58

Countrywide Home Loan Mortgage Pass-Through Trust

 

 

 

 

5.077% due 02/20/2035 «~

 

1

 

1

5.500% due 10/25/2035

 

150

 

86

6.250% due 09/25/2036

 

157

 

62

Credit Suisse Mortgage Capital Mortgage-Backed Trust

 

 

 

 

3.778% due 11/10/2032 ~

 

1,000

 

247

9.794% due 07/15/2032 •

 

3,147

 

2,821

Deutsche Mortgage Securities, Inc. Mortgage Loan Trust
7.394% due 06/25/2034 •

 

2,030

 

1,986

Eurosail PLC
9.342% due 06/13/2045 •

GBP

239

 

244

Freddie Mac
13.120% due 11/25/2041 •

$

1,900

 

2,076

GS Mortgage Securities Corp. Trust
8.726% due 08/15/2039 •(i)

 

550

 

553

GSR Mortgage Loan Trust
6.000% due 02/25/2036

 

1,013

 

415

HarborView Mortgage Loan Trust

 

 

 

 

4.236% due 07/19/2035 ~

 

12

 

9

6.161% due 01/19/2035 «•

 

17

 

15

Hilton USA Trust
2.828% due 11/05/2035 (i)

 

400

 

347

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

 

1,633

 

502

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

 

733

 

578

JP Morgan Alternative Loan Trust

 

 

 

 

4.110% due 03/25/2037 ~

 

323

 

293

4.677% due 03/25/2036 ~

 

340

 

240

JP Morgan Chase Commercial Mortgage Securities Trust

 

 

 

 

6.812% due 07/05/2033 •(i)

 

1,182

 

1,045

6.972% due 11/15/2035 •

 

1,300

 

1,091

7.322% due 11/15/2035 •

 

600

 

447

9.623% due 02/15/2035 •

 

2,009

 

1,966

JP Morgan Mortgage Trust

 

 

 

 

5.130% due 01/25/2037 ~

 

76

 

65

5.352% due 02/25/2036 ~

 

78

 

53

Lehman XS Trust
5.884% due 06/25/2047 •

 

385

 

339

Merrill Lynch Mortgage Investors Trust
4.778% due 03/25/2036 ~

 

535

 

303

Morgan Stanley Bank of America Merrill Lynch Trust
3.708% due 05/15/2046 ~

 

409

 

376

Morgan Stanley Capital Trust
9.973% due 11/15/2034 •

 

1,200

 

1,146

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

 

2,043

 

588

Schedule of Investments PIMCO Income Strategy Fund (Cont.)

March 31, 2024

(Unaudited)

 

Residential Asset Securitization Trust

 

 

 

 

5.750% due 02/25/2036

 

372

 

135

6.000% due 07/25/2037

 

1,784

 

681

6.250% due 09/25/2037

 

1,159

 

473

Residential Funding Mortgage Securities, Inc. Trust

 

 

 

 

6.000% due 09/25/2036 «

 

42

 

30

6.000% due 06/25/2037

 

556

 

414

Seasoned Credit Risk Transfer Trust
3.138% due 05/25/2057 ~

 

280

 

116

Structured Adjustable Rate Mortgage Loan Trust

 

 

 

 

4.776% due 01/25/2036 ~

 

403

 

206

5.569% due 11/25/2036 ~

 

328

 

270

SunTrust Adjustable Rate Mortgage Loan Trust

 

 

 

 

5.608% due 02/25/2037 ~

 

31

 

26

5.940% due 04/25/2037 ~

 

206

 

125

WaMu Mortgage Pass-Through Certificates Trust

 

 

 

 

3.971% due 10/25/2036 ~

 

167

 

143

4.174% due 02/25/2037 ~

 

119

 

99

4.244% due 12/25/2046 •

 

151

 

129

6.344% due 10/25/2045 •

 

1,554

 

1,314

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

 

14

 

12

WSTN Trust

 

 

 

 

7.690% due 07/05/2037 ~(i)

 

800

 

789

8.455% due 07/05/2037 ~

 

800

 

795

9.835% due 07/05/2037 ~

 

600

 

594

Total Non-Agency Mortgage-Backed Securities (Cost $38,639)

 

 

 

35,136

ASSET-BACKED SECURITIES 6.2%

 

 

 

 

ABFC Trust
5.594% due 10/25/2036 •

 

525

 

527

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

EUR

1,750

 

612

Apidos CLO
0.000% due 01/20/2031 ~

$

2,200

 

773

Argent Securities Trust
5.824% due 03/25/2036 •

 

5,797

 

3,155

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

EUR

1,070

 

884

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

$

213

 

89

Belle Haven ABS CDO Ltd.
5.842% due 07/05/2046 •

 

85,896

 

195

CIFC Funding Ltd.

 

 

 

 

0.000% due 04/24/2030 ~

 

1,200

 

244

0.000% due 10/22/2031 ~

 

1,000

 

175

Citigroup Mortgage Loan Trust
5.744% due 12/25/2036 •

 

2,610

 

1,063

College Avenue Student Loans LLC

 

 

 

 

0.000% due 06/25/2054 «(e)

 

5

 

2,127

6.610% due 06/25/2054 «

 

626

 

627

8.660% due 06/25/2054 «

 

902

 

904

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

 

5,689

 

1,790

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

EUR

160

 

0

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

$

2,700

 

31

Marlette Funding Trust

 

 

 

 

0.000% due 07/16/2029 «(e)

 

6

 

68

0.000% due 03/15/2030 «(e)

 

3

 

89

Merrill Lynch Mortgage Investors Trust
5.764% due 04/25/2037 •

 

180

 

89

Morgan Stanley Mortgage Loan Trust

 

 

 

 

5.684% due 04/25/2037 •

 

2,442

 

670

6.250% due 02/25/2037 ~

 

191

 

106

Residential Asset Mortgage Products Trust
6.004% due 09/25/2036 •

 

93

 

89

Securitized Asset-Backed Receivables LLC Trust
5.724% due 05/25/2036 •

 

3,824

 

2,048

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

 

1

 

708

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

 

2

 

533

SoFi Professional Loan Program LLC
0.000% due 09/25/2040 «(e)

 

846

 

88

Taberna Preferred Funding Ltd.
5.914% due 08/05/2036 •

 

2,476

 

2,229

Total Asset-Backed Securities (Cost $40,850)

 

 

 

19,913

SOVEREIGN ISSUES 3.2%

 

 

 

 

Argentina Government International Bond

 

 

 

 

0.750% due 07/09/2030 þ

 

1,735

 

877

1.000% due 07/09/2029

 

366

 

196

Schedule of Investments PIMCO Income Strategy Fund (Cont.)

March 31, 2024

(Unaudited)

 

3.500% due 07/09/2041 þ

 

2,872

 

1,162

3.625% due 07/09/2035 þ

 

1,948

 

811

3.625% due 07/09/2046 þ

 

115

 

52

4.250% due 01/09/2038 þ

 

6,188

 

2,880

Argentina Treasury Bond BONCER

 

 

 

 

0.000% due 06/30/2025 (e)

ARS

56,655

 

79

4.000% due 10/14/2024

 

203,263

 

235

Dominican Republic Central Bank Notes

 

 

 

 

13.000% due 12/05/2025

DOP

73,000

 

1,281

13.000% due 01/30/2026

 

58,500

 

1,029

Ghana Government International Bond

 

 

 

 

6.375% due 02/11/2027 ^(c)

$

300

 

155

7.875% due 02/11/2035 ^(c)

 

400

 

206

8.750% due 03/11/2061 ^(c)

 

200

 

103

Provincia de Buenos Aires
106.588% due 04/12/2025

ARS

11,844

 

11

Romania Government International Bond

 

 

 

 

5.375% due 03/22/2031

EUR

190

 

206

5.500% due 09/18/2028

 

500

 

557

6.375% due 09/18/2033

 

500

 

578

Venezuela Government International Bond

 

 

 

 

8.250% due 10/13/2024 (c)

$

12

 

2

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

 

151

 

27

Total Sovereign Issues (Cost $11,913)

 

 

 

10,447

 

 

SHARES

 

 

COMMON STOCKS 11.3%

 

 

 

 

COMMUNICATION SERVICES 0.2%

 

 

 

 

Clear Channel Outdoor Holdings, Inc. (d)

 

261,329

 

431

iHeartMedia, Inc. 'A' (d)

 

62,317

 

130

iHeartMedia, Inc. 'B' «(d)

 

48,387

 

91

Promotora de Informaciones SA 'A' (d)

 

130,203

 

50

 

 

 

 

702

CONSUMER DISCRETIONARY 0.0%

 

 

 

 

Steinhoff International Holdings NV «(d)(g)

 

12,793,342

 

0

ENERGY 0.0%

 

 

 

 

Axis Energy Services 'A' «(g)

 

1,253

 

37

FINANCIALS 1.7%

 

 

 

 

Banca Monte dei Paschi di Siena SpA (d)

 

523,500

 

2,372

Intelsat Emergence SA «(g)

 

113,713

 

3,117

 

 

 

 

5,489

HEALTH CARE 4.2%

 

 

 

 

Amsurg Equity «(d)(g)

 

275,005

 

13,601

INDUSTRIALS 2.5%

 

 

 

 

Drillco Holding Lux SA «(d)(g)

 

26,444

 

638

Forsea Holding SA «(d)

 

10,980

 

265

Neiman Marcus Group Ltd. LLC «(d)(g)

 

39,846

 

5,831

Syniverse Holdings, Inc. «(g)

 

1,230,329

 

1,134

Voyager Aviation Holdings LLC «(d)

 

538

 

0

Westmoreland Mining Holdings «(d)(g)

 

25,226

 

76

Westmoreland Mining LLC «(d)(g)

 

25,448

 

67

 

 

 

 

8,011

UTILITIES 2.7%

 

 

 

 

West Marine New «(d)(g)

 

1,500

 

16

Windstream Units «(d)

 

272,031

 

8,590

 

 

 

 

8,606

Total Common Stocks (Cost $30,559)

 

 

 

36,446

RIGHTS 0.0%

 

 

 

 

CONSUMER DISCRETIONARY 0.0%

 

 

 

 

Promotora de Informaciones SA

 

130,203

 

1

Schedule of Investments PIMCO Income Strategy Fund (Cont.)

March 31, 2024

(Unaudited)

 

Total Rights (Cost $0)

 

 

 

1

WARRANTS 0.0%

 

 

 

 

FINANCIALS 0.0%

 

 

 

 

Intelsat Emergence SA - Exp. 02/17/2027 «

 

277

 

1

UTILITIES 0.0%

 

 

 

 

West Marine - Exp. 09/11/2028 «

 

195

 

0

Total Warrants (Cost $2,268)

 

 

 

1

PREFERRED SECURITIES 0.5%

 

 

 

 

BANKING & FINANCE 0.5%

 

 

 

 

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

 

35,000

 

32

Stichting AK Rabobank Certificaten
6.500% due 12/29/2049 þ(f)(i)

 

1,446,400

 

1,656

SVB Financial Group

 

 

 

 

4.000% due 05/15/2026 ^(c)(f)

 

100,000

 

1

4.250% due 11/15/2026 ^(c)(f)

 

100,000

 

2

4.700% due 11/15/2031 ^(c)(f)

 

140,000

 

2

 

 

 

 

1,693

INDUSTRIALS 0.0%

 

 

 

 

Voyager Aviation Holdings LLC
9.500% «

 

3,228

 

0

Total Preferred Securities (Cost $3,037)

 

 

 

1,693

REAL ESTATE INVESTMENT TRUSTS 0.6%

 

 

 

 

REAL ESTATE 0.6%

 

 

 

 

Uniti Group, Inc.

 

98,821

 

583

VICI Properties, Inc.

 

45,844

 

1,366

Total Real Estate Investment Trusts (Cost $933)

 

 

 

1,949

 

 

PRINCIPAL
AMOUNT
(000s)

 

 

SHORT-TERM INSTRUMENTS 0.3%

 

 

 

 

REPURCHASE AGREEMENTS (h) 0.3%

 

 

 

829

SHORT-TERM NOTES 0.0%

 

 

 

 

Argentina Treasury Bond BONCER
3.750% due 05/20/2024

ARS

116,298

 

121

Total Short-Term Instruments (Cost $950)

 

 

 

950

Total Investments in Securities (Cost $395,565)

 

 

 

350,611

 

 

SHARES

 

 

INVESTMENTS IN AFFILIATES 10.9%

 

 

 

 

SHORT-TERM INSTRUMENTS 10.9%

 

 

 

 

CENTRAL FUNDS USED FOR CASH MANAGEMENT PURPOSES 10.9%

 

 

 

 

PIMCO Short-Term Floating NAV Portfolio III

 

3,621,859

 

35,230

Total Short-Term Instruments (Cost $35,225)

 

 

 

35,230

Total Investments in Affiliates (Cost $35,225)

 

 

 

35,230

Total Investments 119.8% (Cost $430,790)

 

 

$

385,841

Financial Derivative Instruments (j)(k) (0.0)%(Cost or Premiums, net $(2,433))

 

 

 

(63)

Auction Rate Preferred Shares (3.1)%

 

 

 

(10,100)

Other Assets and Liabilities, net (16.7)%

 

 

 

(53,585)

Net Assets Applicable to Common Shareholders 100.0%

 

 

$

322,093

Schedule of Investments PIMCO Income Strategy Fund (Cont.)

March 31, 2024

(Unaudited)

 

 

NOTES TO SCHEDULE OF INVESTMENTS:

 

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

 

¤

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

^

Security is in default.

«

Security valued using significant unobservable inputs (Level 3).

µ

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

~

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

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

þ

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

(a)

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

(b)

Payment in-kind security.

(c)

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

(d)

Security did not produce income within the last twelve months.

(e)

Zero coupon security.

(f)

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

(g)

RESTRICTED SECURITIES:

Issuer Description

 

 

Acquisition
Date

 

Cost

 

Market
Value

Market Value
as Percentage
of Net Assets Applicable to Common Shareholders

Amsurg Equity

 

 

11/02/2023 - 11/06/2023

$

11,491

$

13,601

4.22

%

Axis Energy Services 'A'

 

 

07/01/2021

 

18

 

37

0.01

 

Drillco Holding Lux SA

 

 

06/08/2023

 

529

 

638

0.20

 

Intelsat Emergence SA

 

 

06/19/2017 - 02/23/2024

 

7,942

 

3,117

0.97

 

Neiman Marcus Group Ltd. LLC

 

 

09/25/2020

 

1,306

 

5,831

1.81

 

Steinhoff International Holdings NV

 

 

06/30/2023 - 10/30/2023

 

0

 

0

0.00

 

Syniverse Holdings, Inc.

 

 

05/12/2022 - 11/30/2023

 

1,210

 

1,134

0.35

 

West Marine New

 

 

09/12/2023

 

22

 

16

0.01

 

Westmoreland Mining Holdings

 

 

12/08/2014 - 10/19/2016

 

727

 

76

0.02

 

Westmoreland Mining LLC

 

 

06/30/2023

 

169

 

67

0.02

 

 

 

 

 

$

23,414

$

24,517

7.61% 

BORROWINGS AND OTHER FINANCING TRANSACTIONS

(h)

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

2.600%

03/28/2024

04/01/2024

$

829

U.S. Treasury Notes 5.000% due 09/30/2025

$

(846)

$

829

$

829

Total Repurchase Agreements

 

$

(846)

$

829

$

829

REVERSE REPURCHASE AGREEMENTS:

Counterparty

Borrowing Rate(2)

Settlement Date

Maturity Date

 

Amount
Borrowed
(2)

 

Payable for
Reverse
Repurchase
Agreements

BMO

5.680%

03/21/2024

05/20/2024

$

(680)

$

(682)

BOS

5.770

01/08/2024

04/08/2024

 

(654)

 

(663)

 

6.031

03/04/2024

06/03/2024

 

(5,852)

 

(5,879)

BPS

4.320

03/28/2024

TBD(3)

EUR

(1,230)

 

(1,327)

 

4.386

09/15/2023

04/11/2024

 

(3,800)

 

(4,194)

 

4.386

09/15/2023

TBD(3)

 

(742)

 

(820)

 

5.950

02/23/2024

05/20/2024

$

(1,196)

 

(1,204)

 

6.180

10/10/2023

04/08/2024

 

(3,101)

 

(3,193)

 

6.180

11/24/2023

04/08/2024

 

(331)

 

(338)

 

6.180

02/06/2024

04/08/2024

 

(909)

 

(918)

BRC

6.320

10/24/2023

TBD(3)

 

(3,003)

 

(3,088)

Schedule of Investments PIMCO Income Strategy Fund (Cont.)

March 31, 2024

(Unaudited)

 

BYR

6.030

03/04/2024

05/20/2024

 

(743)

 

(747)

CDC

5.780

03/19/2024

07/18/2024

 

(832)

 

(834)

 

5.870

04/02/2024

07/01/2024

 

(2,913)

 

(2,913)

 

5.930

01/02/2024

04/02/2024

 

(2,898)

 

(2,940)

 

5.980

03/12/2024

07/10/2024

 

(1,464)

 

(1,469)

 

5.980

03/19/2024

07/18/2024

 

(644)

 

(645)

 

5.980

03/20/2024

07/10/2024

 

(5,882)

 

(5,893)

 

5.980

03/28/2024

07/26/2024

 

(586)

 

(587)

DEU

5.830

03/06/2024

06/04/2024

 

(1,011)

 

(1,015)

 

5.830

03/14/2024

06/12/2024

 

(1,782)

 

(1,787)

IND

5.802

03/11/2024

09/06/2024

 

(732)

 

(735)

 

5.950

03/07/2024

06/07/2024

 

(487)

 

(489)

 

6.000

03/07/2024

06/07/2024

 

(886)

 

(889)

 

6.010

02/07/2024

05/07/2024

 

(1,220)

 

(1,231)

 

6.050

03/07/2024

06/07/2024

 

(632)

 

(634)

MSB

6.130

01/26/2024

07/23/2024

 

(244)

 

(247)

RCY

5.830

03/18/2024

04/17/2024

 

(288)

 

(289)

RTA

5.920

03/19/2024

06/20/2024

 

(1,399)

 

(1,402)

SOG

5.560

03/25/2024

05/24/2024

 

(295)

 

(295)

 

5.750

03/21/2024

06/20/2024

 

(192)

 

(192)

 

5.850

01/24/2024

04/16/2024

 

(728)

 

(736)

 

5.850

01/24/2024

04/24/2024

 

(2,255)

 

(2,280)

 

5.850

03/22/2024

04/16/2024

 

(264)

 

(264)

 

5.970

10/12/2023

04/12/2024

 

(1,936)

 

(1,992)

 

6.050

01/24/2024

04/10/2024

 

(183)

 

(185)

 

6.050

02/08/2024

04/10/2024

 

(799)

 

(807)

 

6.100

10/12/2023

04/12/2024

 

(2,063)

 

(2,123)

 

6.100

12/15/2023

04/11/2024

 

(548)

 

(558)

TDM

5.580

02/20/2024

04/22/2024

 

(4,896)

 

(4,927)

UBS

5.850

02/26/2024

05/24/2024

 

(3,474)

 

(3,493)

Total Reverse Repurchase Agreements

 

 

 

 

 

$

(64,904)

(i)

Securities with an aggregate market value of $75,092 have been pledged as collateral under the terms of master agreements as of March 31, 2024.

(1)

Includes accrued interest.

(2)

The average amount of borrowings outstanding during the period ended March 31, 2024 was $(62,344) at a weighted average interest rate of 5.705%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.

(3)

Open maturity reverse repurchase agreement.

(j)

FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED

SWAP AGREEMENTS:

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

 

Variation Margin

Reference Entity

Fixed
Receive Rate

Payment
Frequency

Maturity
Date

Implied
Credit Spread at
March 31, 2024
(2)

 

Notional
Amount
(3)

 

Premiums
Paid/
(Received)

 

Unrealized
Appreciation/
(Depreciation)

 

Market
Value
(4)

 

Asset

 

Liability

Jaguar Land Rover Automotive

5.000%

Quarterly

06/20/2026

0.812

%

EUR

200

$

14

$

6

$

20

$

0

$

0

Jaguar Land Rover Automotive

5.000

Quarterly

12/20/2026

1.253

 

 

1,986

 

76

 

137

 

213

 

3

 

0

 

 

 

 

 

 

$

90

$

143

$

233

$

3

$

0

INTEREST RATE SWAPS

 

Variation Margin

Pay/
Receive
Floating Rate

Floating Rate Index

Fixed Rate

Payment
Frequency

Maturity
Date

 

Notional
Amount

 

Premiums
Paid/
(Received)

 

Unrealized
Appreciation/
(Depreciation)

 

Market
Value

 

Asset

 

Liability

Pay(5)

1-Day GBP-SONIO Compounded-OIS

4.000%

Annual

09/18/2029

GBP

19,100

$

346

$

64

$

410

$

54

$

0

Receive

1-Day GBP-SONIO Compounded-OIS

0.750

Annual

09/21/2032

 

7,300

 

709

 

1,417

 

2,126

 

0

 

(24)

Receive

1-Day GBP-SONIO Compounded-OIS

2.000

Annual

03/15/2033

 

3,700

 

412

 

170

 

582

 

0

 

(15)

Receive

1-Day GBP-SONIO Compounded-OIS

0.750

Annual

09/21/2052

 

300

 

(1)

 

203

 

202

 

0

 

(2)

Receive

1-Day USD-SOFR Compounded-OIS

2.450

Annual

12/20/2024

$

12,700

 

(1)

 

356

 

355

 

7

 

0

Receive

1-Day USD-SOFR Compounded-OIS

2.350

Annual

01/17/2025

 

6,400

 

1

 

180

 

181

 

4

 

0

Pay

1-Day USD-SOFR Compounded-OIS

5.250

Annual

06/17/2025

 

56,000

 

134

 

87

 

221

 

0

 

(37)

Receive

1-Day USD-SOFR Compounded-OIS

2.300

Annual

01/17/2026

 

1,000

 

0

 

47

 

47

 

1

 

0

Schedule of Investments PIMCO Income Strategy Fund (Cont.)

March 31, 2024

(Unaudited)

 

Pay

1-Day USD-SOFR Compounded-OIS

2.250

Semi-Annual

06/15/2026

 

15,300

 

249

 

(988)

 

(739)

 

0

 

(29)

Receive

1-Day USD-SOFR Compounded-OIS

1.350

Semi-Annual

01/20/2027

 

4,900

 

(1)

 

456

 

455

 

11

 

0

Pay

1-Day USD-SOFR Compounded-OIS

1.550

Semi-Annual

01/20/2027

 

21,600

 

(51)

 

(1,835)

 

(1,886)

 

0

 

(50)

Receive

1-Day USD-SOFR Compounded-OIS

1.360

Semi-Annual

02/15/2027

 

2,730

 

(1)

 

251

 

250

 

7

 

0

Pay

1-Day USD-SOFR Compounded-OIS

1.600

Semi-Annual

02/15/2027

 

10,900

 

(27)

 

(896)

 

(923)

 

0

 

(25)

Receive

1-Day USD-SOFR Compounded-OIS

1.450

Semi-Annual

02/17/2027

 

4,500

 

(1)

 

399

 

398

 

11

 

0

Pay

1-Day USD-SOFR Compounded-OIS

1.700

Semi-Annual

02/17/2027

 

18,000

 

(48)

 

(1,417)

 

(1,465)

 

0

 

(42)

Pay

1-Day USD-SOFR Compounded-OIS

2.500

Semi-Annual

12/20/2027

 

28,100

 

106

 

(1,794)

 

(1,688)

 

0

 

(60)

Receive

1-Day USD-SOFR Compounded-OIS

1.420

Semi-Annual

08/17/2028

 

15,100

 

(3)

 

1,815

 

1,812

 

28

 

0

Receive

1-Day USD-SOFR Compounded-OIS

1.380

Semi-Annual

08/24/2028

 

16,100

 

(4)

 

1,957

 

1,953

 

29

 

0

Pay

1-Day USD-SOFR Compounded-OIS

3.000

Semi-Annual

06/19/2029

 

49,900

 

1,404

 

(4,002)

 

(2,598)

 

0

 

(91)

Receive(5)

1-Day USD-SOFR Compounded-OIS

3.750

Annual

06/20/2029

 

14,500

 

(274)

 

370

 

96

 

22

 

0

Pay

1-Day USD-SOFR Compounded-OIS

2.000

Annual

12/21/2029

 

61,800

 

(6,367)

 

(319)

 

(6,686)

 

0

 

(111)

Receive

1-Day USD-SOFR Compounded-OIS

1.160

Semi-Annual

04/12/2031

 

1,400

 

0

 

266

 

266

 

2

 

0

Pay

1-Day USD-SOFR Compounded-OIS

1.380

Semi-Annual

04/12/2031

 

7,000

 

(14)

 

(1,214)

 

(1,228)

 

0

 

(10)

Receive

1-Day USD-SOFR Compounded-OIS

0.750

Semi-Annual

06/16/2031

 

36,300

 

2,460

 

5,237

 

7,697

 

53

 

0

Receive

1-Day USD-SOFR Compounded-OIS

1.750

Semi-Annual

12/15/2031

 

20,100

 

(281)

 

3,411

 

3,130

 

28

 

0

Pay

1-Day USD-SOFR Compounded-OIS

2.000

Annual

12/21/2032

 

12,500

 

(1,710)

 

(110)

 

(1,820)

 

0

 

(13)

Pay

1-Day USD-SOFR Compounded-OIS

3.500

Annual

12/20/2033

 

19,000

 

172

 

(800)

 

(628)

 

0

 

(16)

Pay

1-Day USD-SOFR Compounded-OIS

4.500

Annual

06/19/2044

 

75,300

 

(212)

 

7,676

 

7,464

 

72

 

0

Receive

1-Day USD-SOFR Compounded-OIS

2.000

Semi-Annual

01/15/2050

 

3,200

 

(22)

 

1,077

 

1,055

 

0

 

(4)

Receive

1-Day USD-SOFR Compounded-OIS

1.750

Semi-Annual

01/22/2050

 

8,400

 

(21)

 

3,132

 

3,111

 

0

 

(11)

Receive

1-Day USD-SOFR Compounded-OIS

1.875

Semi-Annual

02/07/2050

 

8,800

 

(34)

 

3,099

 

3,065

 

0

 

(11)

Receive

1-Day USD-SOFR Compounded-OIS

2.250

Semi-Annual

03/12/2050

 

1,700

 

(5)

 

487

 

482

 

0

 

(2)

Receive

1-Day USD-SOFR Compounded-OIS

1.150

Semi-Annual

12/11/2050

 

91,100

 

18

 

42,547

 

42,565

 

0

 

(121)

Pay

6-Month AUD-BBR-BBSW

3.500

Semi-Annual

06/17/2025

AUD

3,900

 

97

 

(128)

 

(31)

 

0

 

0

Receive

6-Month EUR-EURIBOR

0.150

Annual

03/18/2030

EUR

3,400

 

62

 

498

 

560

 

0

 

(9)

Receive

6-Month EUR-EURIBOR

0.250

Annual

09/21/2032

 

3,600

 

326

 

356

 

682

 

0

 

(14)

Receive(5)

6-Month EUR-EURIBOR

0.830

Annual

12/09/2052

 

9,900

 

139

 

430

 

569

 

0

 

(17)

Receive

28-Day MXN-TIIE

8.675

Lunar

04/03/2024

MXN

100

 

0

 

0

 

0

 

0

 

0

 

 

 

 

 

 

$

(2,443)

$

62,485

$

60,042

$

329

$

(714)

Total Swap Agreements

$

(2,353)

$

62,628

$

60,275

$

332

$

(714)

Cash of $10,187 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of March 31, 2024.

(1)

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

(2)

Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate 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.

(k)

FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER

Schedule of Investments PIMCO Income Strategy Fund (Cont.)

March 31, 2024

(Unaudited)

 

FORWARD FOREIGN CURRENCY CONTRACTS:

 

Unrealized Appreciation/(Depreciation)

Counterparty

Settlement
Month

 

Currency to
be Delivered

 

Currency to
be Received

 

Asset

 

Liability

BOA

04/2024

GBP

54

$

68

$

0

$

0

 

04/2024

$

891

EUR

819

 

0

 

(7)

BPS

04/2024

EUR

382

$

418

 

6

 

0

 

04/2024

GBP

5,687

 

7,219

 

41

 

0

 

04/2024

$

2,934

EUR

2,692

 

0

 

(29)

DUB

04/2024

EUR

34,537

$

37,539

 

279

 

0

GLM

05/2024

DOP

115,427

 

1,944

 

1

 

(2)

 

06/2024

 

4,350

 

73

 

0

 

0

JPM

04/2024

EUR

1,365

 

1,483

 

10

 

0

 

04/2024

$

642

EUR

591

 

0

 

(5)

 

06/2024

 

128

MXN

2,172

 

1

 

0

MBC

04/2024

 

1,145

CAD

1,554

 

2

 

0

 

04/2024

 

7,251

GBP

5,741

 

0

 

(5)

 

05/2024

CAD

1,553

$

1,145

 

0

 

(2)

 

05/2024

GBP

5,741

 

7,252

 

5

 

0

MYI

04/2024

CAD

1,559

 

1,148

 

0

 

(3)

 

04/2024

EUR

222

 

241

 

1

 

0

 

04/2024

$

35,073

EUR

32,404

 

0

 

(114)

 

05/2024

EUR

31,152

$

33,754

 

106

 

0

RBC

04/2024

$

0

MXN

3

 

0

 

0

SCX

05/2024

 

2,393

EUR

2,206

 

0

 

(10)

Total Forward Foreign Currency Contracts

$

452

$

(177)

SWAP AGREEMENTS:

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

 

Swap Agreements, at Value(4)

Counterparty

Reference Entity

Fixed
Receive Rate

Payment
Frequency

Maturity
Date

Implied
Credit Spread at
March 31, 2024
(2)

 

Notional
Amount
(3)

 

Premiums
Paid/(Received)

 

Unrealized
Appreciation/
(Depreciation)

 

Asset

 

Liability

DUB

Eskom «

4.650%

Quarterly

06/30/2029

0.055%

$

1,500

$

0

$

100

$

100

$

0

JPM

Banca Monte Dei Paschi Di

5.000

Quarterly

06/20/2025

1.068

EUR

100

 

(2)

 

8

 

6

 

0

MYC

Petroleos Mexicanos

1.000

Quarterly

12/20/2028

5.083

$

400

 

(78)

 

16

 

0

 

(62)

Total Swap Agreements

$

(80)

$

124

$

106

$

(62)

(1)

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

(2)

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

(3)

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

(4)

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

FAIR VALUE MEASUREMENTS

The following is a summary of the fair valuations according to the inputs used as of March 31, 2024 in valuing the Fund's assets and liabilities:

 

Category and Subcategory

Level 1

Level 2

Level 3

Fair Value
at 03/31/2024

Schedule of Investments PIMCO Income Strategy Fund (Cont.)

March 31, 2024

(Unaudited)

 

Investments in Securities, at Value

Loan Participations and Assignments

$

0

$

93,522

$

14,936

$

108,458

 

Corporate Bonds & Notes

 

Banking & Finance

 

0

 

28,548

 

387

 

28,935

 

 

Industrials

 

0

 

77,923

 

0

 

77,923

 

 

Utilities

 

0

 

14,412

 

0

 

14,412

 

Convertible Bonds & Notes

 

Industrials

 

0

 

1,004

 

0

 

1,004

 

Municipal Bonds & Notes

 

Michigan

 

0

 

1,031

 

0

 

1,031

 

 

Puerto Rico

 

0

 

5,220

 

0

 

5,220

 

 

West Virginia

 

0

 

2,031

 

0

 

2,031

 

U.S. Government Agencies

 

0

 

2,716

 

2,345

 

5,061

 

Non-Agency Mortgage-Backed Securities

 

0

 

34,707

 

429

 

35,136

 

Asset-Backed Securities

 

0

 

14,769

 

5,144

 

19,913

 

Sovereign Issues

 

0

 

10,447

 

0

 

10,447

 

Common Stocks

 

Communication Services

 

611

 

0

 

91

 

702

 

 

Energy

 

0

 

0

 

37

 

37

 

 

Financials

 

2,372

 

0

 

3,117

 

5,489

 

 

Health Care

 

0

 

0

 

13,601

 

13,601

 

 

Industrials

 

0

 

0

 

8,011

 

8,011

 

 

Utilities

 

0

 

0

 

8,606

 

8,606

 

Rights

 

Consumer Discretionary

 

1

 

0

 

0

 

1

 

Warrants

 

Financials

 

0

 

0

 

1

 

1

 

Preferred Securities

 

Banking & Finance

 

0

 

1,693

 

0

 

1,693

 

Real Estate Investment Trusts

 

Real Estate

 

1,949

 

0

 

0

 

1,949

 

Short-Term Instruments

 

Repurchase Agreements

 

0

 

829

 

0

 

829

 

 

Short-Term Notes

 

0

 

121

 

0

 

121

 

 

$

4,933

$

288,973

$

56,705

$

350,611

 

Investments in Affiliates, at Value

Short-Term Instruments

 

Central Funds Used for Cash Management Purposes

$

35,230

$

0

$

0

$

35,230

 

Total Investments

$

40,163

$

288,973

$

56,705

$

385,841

 

Financial Derivative Instruments - Assets

Exchange-traded or centrally cleared

 

0

 

332

 

0

 

332

 

Over the counter

 

0

 

458

 

100

 

558

 

 

$

0

$

790

$

100

$

890

 

Financial Derivative Instruments - Liabilities

Exchange-traded or centrally cleared

 

0

 

(714)

 

0

 

(714)

 

Over the counter

 

0

 

(239)

 

0

 

(239)

 

 

$

0

$

(953)

$

0

$

(953)

 

Total Financial Derivative Instruments

$

0

$

(163)

$

100

$

(63)

 

Totals

$

40,163

$

288,810

$

56,805

$

385,778

 

 

 

 

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended March 31, 2024:

Category and Subcategory

Beginning
Balance
at 06/30/2023

Net
Purchases
(1)

Net
Sales/Settlements
(1)

Accrued
Discounts/
(Premiums)

Realized
Gain/(Loss)

Net Change in
Unrealized
Appreciation/
(Depreciation)
(2)

Transfers into
Level 3

Transfers out
of Level 3

Ending
Balance
at 03/31/2024

Net Change in
Unrealized
Appreciation/
(Depreciation)
on Investments
Held at
03/31/2024
(2)

Investments in Securities, at Value

Loan Participations and Assignments

$

33,820

$

10,200

$

(22,593)

$

760

$

(2,922)

$

2,331

$

148

$

(6,808)

$

14,936

$

492

Corporate Bonds & Notes

 

Banking & Finance

 

0

 

0

 

0

 

0

 

0

 

0

 

387

 

0

 

387

 

0

 

Utilities

 

412

 

0

 

0

 

3

 

0

 

24

 

0

 

(439)

 

0

 

0

U.S. Government Agencies

 

2,203

 

0

 

(41)

 

7

 

14

 

162

 

0

 

0

 

2,345

 

159

Non-Agency Mortgage-Backed Securities

 

55

 

0

 

(5)

 

0

 

0

 

0

 

379

 

0

 

429

 

(1)

Asset-Backed Securities

 

1,990

 

3,653

 

0

 

10

 

0

 

(509)

 

0

 

0

 

5,144

 

(510)

Common Stocks

Schedule of Investments PIMCO Income Strategy Fund (Cont.)

March 31, 2024

(Unaudited)

 

 

Communication Services

 

158

 

0

 

0

 

0

 

0

 

(67)

 

0

 

0

 

91

 

(67)

 

Energy

 

38

 

0

 

0

 

0

 

0

 

(1)

 

0

 

0

 

37

 

(1)

 

Financials

 

2,610

 

0

 

0

 

0

 

0

 

507

 

0

 

0

 

3,117

 

502

 

Health Care

 

0

 

11,491

 

0

 

0

 

0

 

2,110

 

0

 

0

 

13,601

 

2,110

 

Industrials

 

8,322

 

72

 

0

 

0

 

0

 

(383)

 

0

 

0

 

8,011

 

(182)

 

Utilities

 

0

 

2,274

 

0

 

0

 

0

 

6,332

 

0

 

0

 

8,606

 

6,332

Rights

 

Consumer Discretionary

 

57

 

0

 

(110)

 

0

 

110

 

(57)

 

0

 

0

 

0

 

0

Warrants

 

Financials

 

86

 

0

 

(114)

 

0

 

114

 

(85)

 

0

 

0

 

1

 

0

 

Information Technology

 

4,165

 

0

 

(2,252)

 

0

 

0

 

(1,913)

 

0

 

0

 

0

 

0

Preferred Securities

 

Industrials

 

778

 

0

 

0

 

0

 

0

 

(778)

 

0

 

0

 

0

 

0

 

$

54,694

$

27,690

$

(25,115)

$

780

$

(2,684)

$

7,673

$

914

$

(7,247)

$

56,705

$

8,834

Financial Derivative Instruments- Assets

Over the counter

$

65

$

0

$

0

$

0

$

0

$

35

$

0

$

0

$

100

$

36

Totals

$

54,759

$

27,690

$

(25,115)

$

780

$

(2,684)

$

7,708

$

914

$

(7,247)

$

56,805

$

8,870


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

 

(% Unless Noted Otherwise)

 

Category and Subcategory

Ending
Balance
at 03/31/2024

Valuation Technique

Unobservable Inputs

 

Input Value(s)

Weighted Average

Investments in Securities, at Value

Loan Participations and Assignments

$

7,080

Comparable Companies

EBITDA Multiple

X

14.000

 

 

7,709

Discounted Cash Flow

Discount Rate

 

9.440 - 26.480

11.903

 

 

147

Reference Instrument

 

 

1.750

Corporate Bonds & Notes

 

Banking & Finance

 

387

Expected Recovery

Recovery Rate

 

17.490

U.S. Government Agencies

 

2,345

Discounted Cash Flow

Discount Rate

 

12.100

Non-Agency Mortgage-Backed Securities

 

429

Fair Valuation of Odd Lot Positions

Adjustment Factor

 

2.500

Asset-Backed Securities

 

1,486

Discounted Cash Flow

Discount Rate

 

12.000 - 20.000

18.774

 

 

3,658

Proxy pricing

Base Price

 

100.000 - 42,417.783

24,702.345

Common Stocks

 

Communication Services

 

91

Reference instrument

Stock Price w/Liquidity Discount

 

10.000

 

Energy

 

37

Comparable Companies

EBITDA Multiple

X

4.000

 

Financials

 

3,117

Comparable Companies

EBITDA Multiple

X

4.000

 

Health Care

 

13,601

Comparable Companies

EBITDA Multiple

X

14.000

 

Industrials

 

5,831

Comparable Companies/Discounted Cash Flow

Revenue Multiple/EBITDA Multiple/Discount Rate

X/X
/%

0.560/7.180/10.000

 

 

 

1,134

Discounted Cash Flow

Discount Rate

 

15.380

 

 

 

1,046

Indicative Market Quotation

Broker Quote

$

2.625 - 24.125

21.222

 

Utilities

 

8,590

Comparable Companies

EBITDA Multiple

X

6.100

 

 

 

16

Discounted Cash Flow/Comparable Companies

Discount Rate/Revenue multiple

%/
X

19.250/0.550

Warrants

 

Financials

 

1

Option Pricing Model

Volatility

 

40.000

Financial Derivative Instruments- Assets

Over the counter

 

100

Indicative Market Quotation

Broker Quote

 

5.510

Total

$

56,805

(1)

Net Purchases and Settlements for Financial Derivative Instruments may include payments made or received upon entering into swap agreements to compensate for differences between the stated terms of the swap agreement and prevailing market conditions.

(2)

Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at March 31, 2024 may be due to an investment no longer held or categorized as Level 3 at period end.

 

<

Notes to Financial Statements 

 

1. INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS

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

 

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

 

For purposes of calculating NAV, portfolio securities and other assets for which market quotations are readily available are valued at market value. A market quotation is readily available only when that quotation is a quoted price (unadjusted) in active markets for identical investments that the Fund can access at the measurement date, provided that a quotation will not be readily available if it is not reliable. Market value is generally determined on the basis of official closing prices or the last reported sales prices. The Fund will normally use pricing data for domestic equity securities received shortly after the NYSE Close and does not normally take into account trading, clearances or settlements that take place after the NYSE Close. A foreign (non-U.S.) equity security traded on a foreign exchange or on more than one exchange is typically valued using pricing information from the exchange considered by Pacific Investment Management Company LLC (“PIMCO” or the “Manager”) to be the primary exchange. If market value pricing is used, a foreign (non-U.S.) equity security will be valued as of the close of trading on the foreign exchange, or the NYSE Close, if the NYSE Close occurs before the end of trading on the foreign exchange.

 

Investments for which market quotations are not readily available are valued at fair value as determined in good faith pursuant to Rule 2a-5 under the Investment Company Act of 1940, as amended (the “Act”). As a general principle, the fair value of a security or other asset is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Pursuant to Rule 2a-5, the Board of Trustees has designated PIMCO as the valuation designee (“Valuation Designee”) for the Fund to perform the fair value determination relating to all Fund investments. PIMCO may carry out its designated responsibilities as Valuation Designee through various teams and committees. The Valuation Designee’s policies and procedures govern the Valuation Designee’s selection and application of methodologies for determining and calculating the fair value of Fund investments. The Valuation Designee may value Fund portfolio securities for which market quotations are not readily available and other Fund assets utilizing inputs from pricing services, quotation reporting systems, valuation agents and other third-party sources (together, “Pricing Sources”).

 

Domestic and foreign (non-U.S.) fixed income securities, non-exchange traded derivatives, and equity options are normally valued on the basis of quotes obtained from brokers and dealers or Pricing Sources using data reflecting the earlier closing of the principal markets for those securities. Prices obtained from Pricing Sources may be based on, among other things, information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. Certain fixed income securities purchased on a delayed-delivery basis are marked to market daily until settlement at the forward settlement date. Common stocks, ETFs, exchange-traded notes and financial derivative instruments, such as futures contracts, rights and warrants, or options on futures that are traded on a national securities exchange, are stated at the last reported sale or settlement price on the day of valuation. Exchange-traded options, except equity options, futures and options on futures are valued at the settlement price determined by the relevant exchange. Swap agreements are valued on the basis of bid quotes obtained from brokers and dealers or market-based prices supplied by Pricing Sources. With respect to any portion of the Fund’s assets that are invested in one or more open-end management investment companies (other than ETFs), the Fund’s NAV will be calculated based on 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. Foreign (non-U.S.) equity securities that do not trade when the NYSE is open are also valued at fair value. With respect to foreign (non-U.S.) equity securities, the Fund may determine the fair value of investments based on information provided by Pricing Sources, which may recommend fair value or adjustments with reference to other securities, indexes or assets. In considering whether fair valuation is required and in determining fair values, the Valuation Designee may, among other things, consider significant events (which may be considered to include changes in the value of U.S. securities or securities indexes) that occur after the close of the relevant market and before the NYSE Close. The Fund may utilize modeling tools provided by third-party vendors to determine fair values of foreign (non-U.S.) securities. For these purposes, unless otherwise determined by the Valuation Designee, any movement in the applicable reference index or instrument (“zero trigger”) between the earlier close of the applicable foreign market and the NYSE Close may be deemed to be a significant event, prompting the application of the pricing model (effectively resulting in daily fair valuations). Foreign exchanges may permit trading in foreign (non-U.S.) equity securities on days when the Fund is not open for business, which may result in the Fund's portfolio investments being affected when shareholders are unable to buy or sell shares.

 

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

 

Fair valuation may require subjective determinations about the value of a security. While the Fund’s and Valuation Designee's policies and procedures are intended to result in a calculation of the Fund's NAV that fairly reflects security values as of the time of pricing, the Fund cannot ensure that fair values accurately reflect the price that the Fund could obtain for a security if it were to dispose of that security as of the time of pricing (for instance, in a forced or distressed sale). The prices used by the Fund may differ from the value that would be realized if the securities were sold.

 

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

 

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

 

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

 

Notes to Financial Statements (Cont.)

 

 

• Level 3 — Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Valuation Designee that are used in determining the fair value of investments.

 

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

 

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

 

(c) Valuation Techniques and the Fair Value Hierarchy

Level 1, Level 2 and Level 3 trading assets and trading liabilities, at fair value The valuation methods (or “techniques”) and significant inputs used in determining the fair values of portfolio securities or other assets and liabilities categorized as Level 1, Level 2 and Level 3 of the fair value hierarchy are as follows:

 

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

 

Investments in registered open-end investment companies (other than ETFs) will be valued based upon the NAVs of such investments and are categorized as Level 1 of the fair value hierarchy. Investments in unregistered open-end investment companies will be calculated based upon the NAVs of such investments and are considered Level 1 provided that the NAVs are observable, calculated daily and are the value at which both purchases and sales will be conducted.

 

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

 

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

 

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

 

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

 

Valuation adjustments may be applied to certain exchange traded futures and options to account for market movement between the exchange settlement and the NYSE Close. These securities are valued using quotes obtained from a quotation reporting system, established market makers or Pricing Sources. Financial derivatives using these valuation adjustments are categorized as Level 2 of the fair value hierarchy.

 

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

 

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

 

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.

 

 

Notes to Financial Statements (Cont.)

 

Expected recovery valuation estimates that the fair value of an existing asset can be recovered, net of any liability. Significant changes in the unobservable inputs would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.

 

The Discounted Cash Flow model is based on future cash flows generated by the investment and may be normalized based on expected investment performance. Future cash flows are discounted to present value using an appropriate rate of return, typically calibrated to the initial transaction date and adjusted based on Capital Asset Pricing Model and/or other market-based inputs. Significant changes in the unobservable inputs would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.

 

The Comparable Companies model is based on application of valuation multiples from publicly traded comparable companies to the financials of the subject company. Adjustments may be made to the market-derived valuation multiples based on differences between the comparable companies and the subject company. Significant changes in the unobservable inputs would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.

 

Securities may be valued based on purchase prices of privately negotiated transactions. Significant changes in the unobservable inputs would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.

 

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

 

When a fair valuation method is applied by PIMCO that uses significant unobservable inputs, investments will be priced by a method that the Valuation Designee believes reflects fair value and are categorized as Level 3 of the fair value hierarchy.

 

2. FEDERAL INCOME TAX MATTERS

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

 

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

 

In accordance with U.S. GAAP, the Manager has reviewed the Fund's tax positions for all open tax years. As of March 31, 2024, the Fund has recorded no liability for net unrecognized tax benefits relating to uncertain income tax positions it has taken or expects to take in future tax returns.

 

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

 

3. INVESTMENTS IN AFFILIATES

The Fund may invest in the PIMCO Short Asset Portfolio and the PIMCO Short-Term Floating NAV Portfolio III (“Central Funds”) to the extent permitted by the Act and rules thereunder. The Central Funds are registered investment companies created for use solely by the series of the Trust and other series of registered investment companies advised by the Adviser, in connection with their cash management activities. The main investments of the Central Funds are money market and short maturity fixed income instruments. The Central Funds may incur expenses related to their investment activities, but do not pay Investment Advisory Fees or Supervisory and Administrative Fees to the Adviser. The Central Funds are considered to be affiliated with the Fund. A complete schedule of portfolio holdings for each affiliate fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-PORT and is available at the SEC’s website at www.sec.gov. A copy of each affiliate fund’s shareholder report is also available at the SEC’s website at www.sec.gov, on the Fund’s website at www.pimco.com, or upon request, as applicable. The tables below show the Fund’s transactions in and earnings from investments in the affiliated Funds for the period ended March 31, 2024 (amounts in thousands):

 

Investment in PIMCO Short-Term Floating NAV Portfolio III

 

 

Market Value
06/30/2023

 

Purchases at
Cost

 

Proceeds from
Sales

 

Net
Realized
Gain (Loss)

 

Change in
Unrealized
Appreciation
(Depreciation)

 

Market Value
03/31/2024

 

Dividend
Income
(1)

 

Realized Net
Capital
Gain
Distributions
(1)

$

0

$

97,022

$

(61,800)

$

3

$

5

$

35,230

$

599

$

0

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

(1) The tax characterization of distributions is determined in accordance with Federal income tax regulations and may contain a return of capital. The actual tax characterization of distributions received is determined at the end of the fiscal year of the affiliated fund.

    

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Glossary: (abbreviations that may be used in the preceding statements)           (Unaudited)
                     
Counterparty Abbreviations:                
BMO   BMO Capital Markets Corporation   DUB   Deutsche Bank AG   MYI   Morgan Stanley & Co. International PLC
BOA   Bank of America N.A.   FICC   Fixed Income Clearing Corporation    RBC   Royal Bank of Canada
BOS   BofA Securities, Inc.   GLM   Goldman Sachs Bank USA   RCY   Royal Bank of Canada
BPS   BNP Paribas S.A.   IND   Crédit Agricole Corporate and Investment Bank
S.A.
  RTA   RBC (Barbados) Trading Bank Corp.
BRC   Barclays Bank PLC   JPM   JP Morgan Chase Bank N.A.   SCX   Standard Chartered Bank, London
BYR   The Bank of Nova Scotia - Toronto   MBC   HSBC Bank Plc   SOG   Societe Generale Paris
CDC   Natixis Securities Americas LLC   MSB   Morgan Stanley Bank, N.A   TDM   TD Securities (USA) LLC
DEU   Deutsche Bank Securities, Inc.   MYC   Morgan Stanley Capital Services LLC        
                     
Currency Abbreviations:                
ARS   Argentine Peso   DOP   Dominican Peso   MXN   Mexican Peso
AUD   Australian Dollar   EUR   Euro   PEN   Peruvian New Sol
BRL   Brazilian Real   GBP   British Pound   USD   United States Dollar
CAD   Canadian Dollar                
                     
Index/Spread Abbreviations:                
CDOR03   3 month CDN Swap Rate   LIBOR03M   3 Month USD-LIBOR   SONIO   Sterling Overnight Interbank Average Rate
EUR003M   3 Month EUR Swap Rate   LIBOR06M   6 Month USD-LIBOR   TSFR1M   Term SOFR 1-Month
EUR006M   6 Month EUR Swap Rate   SOFR   Secured Overnight Financing Rate   TSFR03M   Term SOFR 3-Month
                     
Other  Abbreviations:                
ABS   Asset-Backed Security   DAC   Designated Activity Company   PIK   Payment-in-Kind
ALT   Alternate Loan Trust   EBITDA    Earnings before Interest, Taxes, Depreciation and
Amoritization
  TBA   To-Be-Announced
BBR   Bank Bill Rate   EURIBOR   Euro Interbank Offered Rate   TBD   To-Be-Determined
BBSW   Bank Bill Swap Reference Rate   LIBOR   London Interbank Offered Rate   TBD%   Interest rate to be determined when loan
settles or at the time of funding
CDO   Collateralized Debt Obligation   Lunar   Monthly payment based on 28-day periods.  One
year consists of 13 periods.
  TIIE   Tasa de Interés Interbancaria de Equilibrio
"Equilibrium Interbank Interest Rate"
CLO   Collateralized Loan Obligation   OIS   Overnight Index Swap        


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