UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
|
Investment Company Act file number |
811-21311 | |||||||
|
| ||||||||
|
PIMCO High Income Fund | ||||||||
|
(Exact name of registrant as specified in charter) | ||||||||
|
| ||||||||
|
1633 Broadway New York, New York |
|
10019 | ||||||
|
(Address of principal executive offices) |
|
(Zip code) | ||||||
|
| ||||||||
|
Lawrence G. Altadonna — 1633 Broadway New York, New York 10019 | ||||||||
|
(Name and address of agent for service) | ||||||||
|
| ||||||||
|
Registrant’s telephone number, including area code: |
212-739-3371 |
| ||||||
|
| ||||||||
|
Date of fiscal year end: |
March 31, 2014 |
| ||||||
|
| ||||||||
|
Date of reporting period: |
December 31, 2013 |
| ||||||
Item 1. Schedule of Investments
Schedule of Investments
PIMCO High Income Fund
December 31, 2013 (unaudited)
|
Principal |
|
|
|
Value* |
|
|
MUNICIPAL BONDS - 33.2% |
|
|
| ||
|
California - 11.7% |
|
|
| ||
|
$2,000 |
|
Anaheim Redev. Agcy., Tax Allocation, GO, 6.506%, 2/1/31, Ser. D (AGM) |
|
$2,072,120 |
|
|
1,100 |
|
City & Cnty. of San Francisco, Capital Improvement Projects, CP, 6.487%, 11/1/41, Ser. D |
|
1,156,485 |
|
|
35,500 |
|
Contra Costa Community College Dist., GO, 6.504%, 8/1/34 |
|
36,610,085 |
|
|
|
|
Golden State Tobacco Securitization Corp. Rev., |
|
|
|
|
200 |
|
5.00%, 6/1/35, Ser. A (FGIC) |
|
195,366 |
|
|
4,200 |
|
5.75%, 6/1/47, Ser. A-1 |
|
3,115,728 |
|
|
22,200 |
|
Infrastructure & Economic Dev. Bank Rev., 6.486%, 5/15/49 |
|
23,304,450 |
|
|
3,425 |
|
Long Beach Redev. Agcy., Tax Allocation, 8.36%, 8/1/40 |
|
3,546,724 |
|
|
6,665 |
|
Los Angeles Department of Water & Power Rev., 7.003%, 7/1/41 |
|
7,358,760 |
|
|
15,100 |
|
Oakland Unified School Dist., Alameda Cnty., GO, 9.50%, 8/1/34 |
|
16,518,947 |
|
|
1,500 |
|
Sacramento Cnty. Rev., 7.25%, 8/1/25 |
|
1,513,155 |
|
|
|
|
San Diego Redev. Agcy., Tax Allocation, Ser. A, |
|
|
|
|
7,500 |
|
7.625%, 9/1/30 |
|
7,765,275 |
|
|
6,500 |
|
7.75%, 9/1/40 |
|
6,723,730 |
|
|
320 |
|
San Diego Tobacco Settlement Funding Corp. Rev., 7.125%, 6/1/32 |
|
294,378 |
|
|
1,800 |
|
Southern California Public Power Auth. Rev., 5.943%, 7/1/40 |
|
1,921,320 |
|
|
|
|
State, GO, |
|
|
|
|
6,000 |
|
7.70%, 11/1/30 |
|
6,956,820 |
|
|
30,000 |
|
7.95%, 3/1/36 |
|
34,710,600 |
|
|
|
|
State Public Works Board Rev., |
|
|
|
|
32,055 |
|
7.804%, 3/1/35, Ser. B-2 |
|
36,633,736 |
|
|
7,070 |
|
8.00%, 3/1/35, Ser. A-2 |
|
7,902,917 |
|
|
3,300 |
|
State Univ. Rev., 6.484%, 11/1/41 |
|
3,715,074 |
|
|
4,130 |
|
Univ. of California Rev., 4.858%, 5/15/12, Ser. AD |
|
3,578,521 |
|
|
|
|
|
|
205,594,191 |
|
|
Colorado - 0.1% |
|
|
| ||
|
1,000 |
|
Upper Eagle Regional Water Auth. Rev., 6.518%, 12/1/39 |
|
1,043,810 |
|
|
|
|
|
|
|
|
|
Connecticut - 0.2% |
|
|
| ||
|
3,400 |
|
Stratford, GO, 6.00%, 8/15/38 |
|
3,469,428 |
|
|
|
|
|
|
|
|
|
District of Columbia - 0.5% |
|
|
| ||
|
7,500 |
|
Howard Univ. Rev., 7.625%, 10/1/35, Ser. B |
|
7,972,950 |
|
|
|
|
|
|
|
|
|
Florida - 1.9% |
|
|
| ||
|
15,000 |
|
Broward Cnty. Half-Cent Sales Tax Rev., 6.206%, 10/1/30 |
|
16,041,150 |
|
|
16,500 |
|
Palm Bay Rev., 6.315%, 10/1/40 |
|
16,578,045 |
|
|
|
|
|
|
32,619,195 |
|
|
Georgia - 3.4% |
|
|
| ||
|
|
|
Municipal Electric Auth. of Georgia Rev., |
|
|
|
|
5,800 |
|
6.637%, 4/1/57 |
|
6,102,412 |
|
|
49,900 |
|
6.655%, 4/1/57 |
|
52,190,410 |
|
|
1,665 |
|
7.055%, 4/1/57 |
|
1,665,882 |
|
|
|
|
|
|
59,958,704 |
|
|
Illinois - 2.6% |
|
|
| ||
|
|
|
Chicago, GO, |
|
|
|
|
11,000 |
|
6.257%, 1/1/40 |
|
9,977,550 |
|
|
34,805 |
|
7.517%, 1/1/40 |
|
36,218,431 |
|
|
|
|
|
|
46,195,981 |
|
|
Louisiana - 0.5% |
|
|
| ||
|
10,000 |
|
Administrators of the Tulane Educational Fund Rev., 5.00%, 10/1/47, Ser. C |
|
8,562,900 |
|
|
|
|
|
|
|
|
|
Nebraska - 1.1% |
|
|
| ||
|
18,500 |
|
Public Power Generation Agcy. Rev., 7.242%, 1/1/41 |
|
19,558,570 |
|
|
|
|
|
|
|
|
|
Nevada - 1.4% |
|
|
| ||
|
20,000 |
|
Las Vegas Valley Water Dist., GO, 7.263%, 6/1/34 |
|
21,573,000 |
|
|
3,900 |
|
North Las Vegas, GO, 6.572%, 6/1/40 |
|
3,233,568 |
|
|
|
|
|
|
24,806,568 |
|
|
New Jersey - 0.0% |
|
|
| ||
|
700 |
|
Tobacco Settlement Financing Corp. Rev., 5.00%, 6/1/41, Ser. 1-A |
|
494,550 |
|
|
|
|
|
|
|
|
|
New York - 2.2% |
|
|
| ||
|
36,900 |
|
New York City Transitional Finance Auth. Rev., 5.932%, 11/1/36 |
|
39,102,561 |
|
Schedule of Investments
PIMCO High Income Fund
December 31, 2013 (unaudited)
|
Principal |
|
|
|
Value* |
|
|
Ohio - 2.8% |
|
|
| ||
|
|
|
American Municipal Power, Inc. Rev., |
|
|
|
|
$3,500 |
|
5.939%, 2/15/47 |
|
$3,563,245 |
|
|
17,100 |
|
Comb Hydroelectric Projects, 8.084%, 2/15/50, Ser. B |
|
22,573,710 |
|
|
20,000 |
|
Princeton City School Dist., GO, 6.39%, 12/1/47 |
|
19,785,400 |
|
|
4,600 |
|
State Univ. Rev., 4.80%, 6/1/11, Ser. A |
|
3,984,888 |
|
|
|
|
|
|
49,907,243 |
|
|
Pennsylvania - 2.6% |
|
|
| ||
|
8,800 |
|
Economic Dev. Financing Auth. Rev., 6.532%, 6/15/39, Ser. B |
|
9,319,816 |
|
|
5,115 |
|
Northampton Cnty. General Purpose Auth. Rev., 5.902%, 11/1/53, Ser. B |
|
4,980,987 |
|
|
|
|
School Dist. of Philadelphia, GO, |
|
|
|
|
7,000 |
|
6.615%, 6/1/30 |
|
6,818,980 |
|
|
25,000 |
|
6.765%, 6/1/40 |
|
24,229,000 |
|
|
|
|
|
|
45,348,783 |
|
|
Texas - 1.4% |
|
|
| ||
|
14,500 |
|
Dallas Convention Center Hotel Dev. Corp. Rev., 7.088%, 1/1/42 |
|
16,411,825 |
|
|
7,535 |
|
El Paso Downtown Dev. Corp. Rev., 7.25%, 8/15/43 (b) |
|
7,520,533 |
|
|
|
|
|
|
23,932,358 |
|
|
Washington - 0.5% |
|
|
| ||
|
8,000 |
|
Spokane Cnty. Wastewater System Rev., 6.474%, 12/1/29 |
|
8,738,560 |
|
|
|
|
|
|
|
|
|
Wisconsin - 0.3% |
|
|
| ||
|
5,690 |
|
Green Bay Redev. Auth. Rev., 6.15%, 6/1/43 (b) |
|
5,625,077 |
|
|
Total Municipal Bonds (cost-$583,603,779) |
|
582,931,429 |
| ||
|
|
|
|
| ||
|
U.S. GOVERNMENT AGENCY SECURITIES (b)- 25.4% |
|
|
| ||
|
|
|
Fannie Mae, |
|
|
|
|
98,177 |
|
2.50%, 10/25/22 - 9/25/27, CMO, IO |
|
9,819,151 |
|
|
55,480 |
|
3.00%, 6/25/28 - 1/25/42, CMO, IO |
|
8,077,965 |
|
|
55,721 |
|
3.50%, 9/25/27 - 2/25/43, CMO, IO |
|
9,783,552 |
|
|
8,648 |
|
4.00%, 5/25/20 - 11/25/42, CMO, IO |
|
1,371,646 |
|
|
30,833 |
|
4.50%, 1/25/43, CMO, IO (h) |
|
8,083,227 |
|
|
8,228 |
|
4.50%, 2/25/43, CMO, IO |
|
1,862,330 |
|
|
11,120 |
|
5.885%, 11/25/36, CMO, IO (j) |
|
1,425,977 |
|
|
70,068 |
|
5.885%, 10/25/42, CMO, IO (h)(j) |
|
15,907,973 |
|
|
3,029 |
|
5.985%, 9/25/42, CMO, IO (j) |
|
649,608 |
|
|
18,630 |
|
6.035%, 6/25/42 - 10/25/42, CMO, IO (j) |
|
3,885,180 |
|
|
54,091 |
|
6.035%, 9/25/42, CMO, IO (h)(j) |
|
10,218,600 |
|
|
12,029 |
|
6.085%, 8/25/41, CMO, IO (j) |
|
2,224,799 |
|
|
21,191 |
|
6.385%, 5/25/42, CMO, IO (j) |
|
4,509,645 |
|
|
99,105 |
|
6.435%, 4/25/41 - 10/25/43, CMO, IO (j) |
|
22,524,591 |
|
|
29,217 |
|
6.465%, 10/25/39, CMO, IO (h)(j) |
|
5,493,962 |
|
|
7,353 |
|
6.485%, 3/25/42, CMO, IO (j) |
|
1,503,707 |
|
|
142,149 |
|
6.505%, 10/25/17, IO (h)(j) |
|
18,562,666 |
|
|
322,475 |
|
6.505%, 1/25/18, IO (e)(h)(j) |
|
39,862,677 |
|
|
16,412 |
|
6.515%, 1/25/37, CMO, IO (j) |
|
2,784,580 |
|
|
5,573 |
|
6.535%, 1/25/35, CMO, IO (j) |
|
864,318 |
|
|
28,105 |
|
11.561%, 8/25/43, CMO (h)(j) |
|
28,198,764 |
|
|
5,578 |
|
15.342%, 5/25/43, CMO (h)(j) |
|
5,940,749 |
|
|
|
|
Freddie Mac, |
|
|
|
|
417,595 |
|
0.291%, 11/25/17, IO (j) |
|
4,206,224 |
|
|
414,864 |
|
0.317%, 7/25/23, IO (j) |
|
10,427,606 |
|
|
14,395 |
|
2.083%, 5/25/18, IO (j) |
|
1,142,406 |
|
|
77,991 |
|
2.50%, 10/15/27 - 7/15/42, CMO, IO |
|
8,877,099 |
|
|
54,878 |
|
2.50%, 1/15/28, CMO, IO (h) |
|
6,235,314 |
|
|
98,752 |
|
3.00%, 12/15/42, CMO, IO (h) |
|
20,035,049 |
|
|
20,149 |
|
3.50%, 12/15/26 - 9/15/32, CMO, IO |
|
2,906,949 |
|
|
27,508 |
|
3.50%, 1/15/43, CMO, IO (h) |
|
6,597,826 |
|
|
7,835 |
|
4.00%, 8/15/20 - 8/15/42, CMO, IO |
|
1,487,064 |
|
|
2,107 |
|
4.50%, 10/15/37, CMO, IO |
|
340,095 |
|
|
3,842 |
|
5.00%, 6/15/33, CMO, IO (j) |
|
721,205 |
|
|
98,628 |
|
5.783%, 8/15/43, CMO, IO (h)(j) |
|
22,498,378 |
|
|
98,628 |
|
5.803%, 8/15/43, CMO, IO (h)(j) |
|
22,709,755 |
|
|
2,318 |
|
5.833%, 8/15/42, CMO, IO (j) |
|
478,026 |
|
|
2,561 |
|
5.933%, 7/15/35, CMO, IO (j) |
|
382,689 |
|
|
52,112 |
|
5.983%, 10/15/42, CMO, IO (h)(j) |
|
10,595,020 |
|
|
11,308 |
|
6.033%, 9/15/41 - 2/15/42, CMO, IO (j) |
|
2,115,806 |
|
|
47,773 |
|
6.373%, 2/15/42, CMO, IO (h)(j) |
|
9,927,391 |
|
|
16,175 |
|
6.453%, 11/15/36, CMO, IO (j) |
|
2,550,978 |
|
|
47,144 |
|
6.483%, 2/15/41 - 5/15/41, CMO, IO (j) |
|
9,207,092 |
|
|
6,838 |
|
6.533%, 7/15/42, CMO, IO (j) |
|
1,647,430 |
|
|
23,179 |
|
11.427%, 12/15/40 - 8/15/43, CMO (h)(j) |
|
23,052,561 |
|
|
114 |
|
12.667%, 5/15/33, CMO (j) |
|
125,747 |
|
Schedule of Investments
PIMCO High Income Fund
December 31, 2013 (unaudited)
|
Principal |
|
|
|
Value* |
|
|
|
|
Ginnie Mae, CMO, IO, |
|
|
|
|
$44,192 |
|
3.50%, 1/20/42 - 3/20/43 |
|
$7,389,584 |
|
|
54,442 |
|
4.00%, 3/20/42 - 3/20/43 |
|
9,328,167 |
|
|
14,606 |
|
4.50%, 1/20/36 - 7/20/42 |
|
2,384,599 |
|
|
87,555 |
|
4.50%, 3/20/40 (h) |
|
19,262,846 |
|
|
880 |
|
5.00%, 9/20/42 |
|
181,532 |
|
|
7,791 |
|
5.963%, 10/20/41 (j) |
|
1,085,105 |
|
|
136,186 |
|
5.983%, 10/20/41 (h)(j) |
|
21,995,503 |
|
|
9,354 |
|
6.033%, 10/16/42 (j) |
|
1,681,128 |
|
|
31,764 |
|
6.083%, 2/20/42 (h)(j) |
|
5,929,134 |
|
|
7,717 |
|
6.483%, 1/20/41 (j) |
|
1,609,351 |
|
|
13,563 |
|
6.533%, 5/16/42 (j) |
|
2,689,654 |
|
|
4,766 |
|
6.583%, 1/20/42 (j) |
|
1,038,523 |
|
|
4,305 |
|
7.213%, 11/20/36 (j) |
|
739,022 |
|
|
Total U.S. Government Agency Securities (cost-$446,483,002) |
|
447,137,525 |
| ||
|
|
|
|
| ||
|
CORPORATE BONDS & NOTES - 22.3% |
|
|
| ||
|
Airlines - 0.3% |
|
|
| ||
|
4,789 |
|
American Airlines Pass-Through Trust, 10.18%, 1/2/13 (d)(e) |
|
5,263,494 |
|
|
|
|
|
|
|
|
|
Auto Manufacturers - 0.6% |
|
|
| ||
|
9,100 |
|
Ford Motor Co., 7.70%, 5/15/97 (h) |
|
9,792,264 |
|
|
|
|
|
|
|
|
|
Banking - 4.7% |
|
|
| ||
|
6,000 |
|
Citigroup, Inc., 6.125%, 8/25/36 (h) |
|
6,398,268 |
|
|
|
|
LBG Capital No. 1 PLC, |
|
|
|
|
€1,885 |
|
7.375%, 3/12/20 (h) |
|
2,767,627 |
|
|
£900 |
|
7.588%, 5/12/20 |
|
1,587,973 |
|
|
3,400 |
|
7.869%, 8/25/20 |
|
6,015,901 |
|
|
$2,000 |
|
8.50%, 12/17/21 (a)(c)(f) |
|
2,141,642 |
|
|
|
|
LBG Capital No. 2 PLC, |
|
|
|
|
£284 |
|
9.00%, 12/15/19 |
|
508,049 |
|
|
5,500 |
|
9.125%, 7/15/20 |
|
9,899,914 |
|
|
850 |
|
11.25%, 9/14/23 |
|
1,629,952 |
|
|
$38,500 |
|
Lloyds Bank PLC, 12.00%, 12/16/24 (a)(c)(f)(h) |
|
52,310,220 |
|
|
|
|
|
|
83,259,546 |
|
|
Chemicals - 0.2% |
|
|
| ||
|
€2,000 |
|
Perstorp Holding AB, 9.00%, 5/15/17 (h) |
|
2,985,433 |
|
|
|
|
|
|
|
|
|
Commercial Services - 2.7% |
|
|
| ||
|
$58,970 |
|
Hamilton College, 4.75%, 7/1/13 (h) |
|
47,564,789 |
|
|
|
|
|
|
|
|
|
Diversified Financial Services - 2.8% |
|
|
| ||
|
27,410 |
|
AGFC Capital Trust I, 6.00%, 1/15/67 (converts to FRN on 1/15/17) (a)(c)(h) |
|
23,161,450 |
|
|
8,543 |
|
GSPA Monetization Trust, 6.422%, 10/9/29 (a)(b)(c)(i) (acquisition cost - $8,441,742; purchased 9/23/13) |
|
8,389,627 |
|
|
18,000 |
|
International Lease Finance Corp., 6.98%, 10/15/18 (e)(j) |
|
18,011,490 |
|
|
|
|
|
|
49,562,567 |
|
|
Electric Utilities - 0.3% |
|
|
| ||
|
4,093 |
|
Bruce Mansfield Unit, 6.85%, 6/1/34 |
|
4,320,323 |
|
|
337 |
|
GenOn REMA LLC, 9.237%, 7/2/17 |
|
347,049 |
|
|
|
|
|
|
4,667,372 |
|
|
Healthcare-Services - 1.6% |
|
|
| ||
|
30,000 |
|
City of Hope, 5.623%, 11/15/43 (h) |
|
28,945,950 |
|
|
|
|
|
|
|
|
|
Insurance - 1.7% |
|
|
| ||
|
5,018 |
|
American International Group, Inc., 6.25%, 3/15/87 (converts to FRN on 3/15/37) |
|
5,043,090 |
|
|
25,000 |
|
Doctors Co., 6.50%, 10/15/23 (a)(b)(c)(h)(i) (acquisition cost - $25,000,000; purchased 10/8/13) |
|
24,910,525 |
|
|
|
|
|
|
29,953,615 |
|
|
Media - 2.7% |
|
|
| ||
|
|
|
Time Warner Cable, Inc. (h), |
|
|
|
|
1,100 |
|
5.50%, 9/1/41 |
|
911,658 |
|
|
3,800 |
|
5.85%, 5/1/17 |
|
4,146,343 |
|
|
10,400 |
|
5.875%, 11/15/40 |
|
8,998,236 |
|
|
5,100 |
|
6.75%, 7/1/18 |
|
5,722,343 |
|
|
1,600 |
|
6.75%, 6/15/39 |
|
1,506,997 |
|
|
3,800 |
|
7.30%, 7/1/38 |
|
3,789,949 |
|
|
2,700 |
|
8.75%, 2/14/19 |
|
3,222,504 |
|
|
|
|
Time Warner Entertainment Co. L.P. (h), |
|
|
|
|
2,500 |
|
8.375%, 3/15/23 |
|
2,876,297 |
|
|
14,800 |
|
8.375%, 7/15/33 |
|
16,126,835 |
|
|
|
|
|
|
47,301,162 |
|
Schedule of Investments
PIMCO High Income Fund
December 31, 2013 (unaudited)
|
Principal |
|
|
|
Value* |
|
|
Oil & Gas - 0.4% |
|
|
| ||
|
$5,700 |
|
Anadarko Petroleum Corp., 7.00%, 11/15/27 (h) |
|
$5,836,042 |
|
|
1,000 |
|
Cie Generale de Geophysique - Veritas, 7.75%, 5/15/17 |
|
1,032,500 |
|
|
|
|
|
|
6,868,542 |
|
|
Real Estate - 0.4% |
|
|
| ||
|
5,011 |
|
Midwest Family Housing LLC, 6.631%, 1/1/51 (CIFG) (a)(b)(c)(e)(i) (acquisition cost - $4,028,528; purchased 9/25/12) |
|
3,580,696 |
|
|
4,762 |
|
Tri-Command Military Housing LLC, 5.383%, 2/15/48 (NPFGC) (a)(c) |
|
3,704,790 |
|
|
|
|
|
|
7,285,486 |
|
|
Telecommunications - 2.1% |
|
|
| ||
|
1,122 |
|
CenturyLink, Inc., 7.20%, 12/1/25 |
|
1,096,755 |
|
|
15,200 |
|
Mountain States Telephone & Telegraph Co., 7.375%, 5/1/30 (h) |
|
15,584,711 |
|
|
19,625 |
|
Northwestern Bell Telephone, 7.75%, 5/1/30 (h) |
|
20,354,127 |
|
|
|
|
|
|
37,035,593 |
|
|
Transportation - 1.8% |
|
|
| ||
|
£17,500 |
|
Russian Railways via RZD Capital PLC, 7.487%, 3/25/31 (h) |
|
31,732,140 |
|
|
|
|
Total Corporate Bonds & Notes (cost-$356,181,254) |
|
392,217,953 |
|
|
|
|
|
|
|
|
|
MORTGAGE-BACKED SECURITIES - 12.7% |
|
|
| ||
|
$1,592 |
|
American Home Mortgage Assets Trust, 6.25%, 6/25/37, CMO |
|
1,010,909 |
|
|
|
|
Banc of America Alternative Loan Trust, CMO, |
|
|
|
|
16,914 |
|
5.434%, 6/25/46, IO (b)(j) |
|
2,430,099 |
|
|
7,279 |
|
6.00%, 3/25/36 |
|
5,316,838 |
|
|
133 |
|
6.00%, 6/25/46 (j) |
|
110,746 |
|
|
1,179 |
|
Banc of America Funding Corp., 6.00%, 7/25/37, CMO |
|
878,376 |
|
|
52 |
|
Banc of America Mortgage Trust, 2.932%, 2/25/36, CMO (j) |
|
43,997 |
|
|
|
|
BCAP LLC Trust, CMO (a)(c), |
|
|
|
|
4,700 |
|
5.222%, 3/26/37 (j) |
|
1,404,421 |
|
|
9,341 |
|
13.50%, 10/26/36 |
|
7,451,885 |
|
|
9,243 |
|
14.369%, 9/26/36 |
|
7,647,214 |
|
|
3,752 |
|
14.963%, 6/26/36 (j) |
|
975,484 |
|
|
|
|
Bear Stearns Adjustable Rate Mortgage Trust, CMO (j), |
|
|
|
|
692 |
|
2.861%, 5/25/47 |
|
581,760 |
|
|
380 |
|
5.256%, 11/25/34 |
|
369,518 |
|
|
|
|
Chase Mortgage Finance Trust, CMO, |
|
|
|
|
47 |
|
2.536%, 12/25/35 (j) |
|
42,472 |
|
|
17 |
|
5.50%, 5/25/36 |
|
16,684 |
|
|
263 |
|
5.64%, 9/25/36 (j) |
|
238,054 |
|
|
8,663 |
|
CHL Mortgage Pass-Through Trust, 5.185%, 12/25/36, CMO, IO (b)(j) |
|
1,265,501 |
|
|
|
|
Citigroup Mortgage Loan Trust, Inc., CMO, |
|
|
|
|
183 |
|
2.591%, 7/25/46 (j) |
|
145,888 |
|
|
318 |
|
2.754%, 7/25/37 (j) |
|
266,995 |
|
|
1,682 |
|
5.762%, 8/25/37 (j) |
|
1,345,972 |
|
|
5,119 |
|
6.50%, 9/25/36 (a)(c) |
|
3,627,456 |
|
|
|
|
CitiMortgage Alternative Loan Trust, CMO, |
|
|
|
|
1,016 |
|
6.00%, 12/25/36 |
|
865,439 |
|
|
295 |
|
6.00%, 6/25/37 |
|
245,596 |
|
|
|
|
Countrywide Alternative Loan Trust, CMO, |
|
|
|
|
975 |
|
0.415%, 12/25/35 (j) |
|
1,100,437 |
|
|
591 |
|
2.82%, 2/25/37 (j) |
|
510,890 |
|
|
1,938 |
|
3.948%, 7/25/46 (j) |
|
1,813,221 |
|
|
11,815 |
|
4.835%, 4/25/35, IO (b)(j) |
|
1,197,280 |
|
|
1,131 |
|
5.198%, 7/25/21 (j) |
|
1,082,302 |
|
|
555 |
|
5.50%, 3/25/36 |
|
431,735 |
|
|
4,780 |
|
6.00%, 3/25/36 |
|
3,835,111 |
|
|
9,076 |
|
6.00%, 5/25/36 |
|
7,317,548 |
|
|
429 |
|
6.00%, 11/25/36 |
|
341,072 |
|
|
10,513 |
|
6.00%, 2/25/37 |
|
7,830,560 |
|
|
8,115 |
|
6.00%, 3/25/37 |
|
6,521,033 |
|
|
5,794 |
|
6.00%, 5/25/37 |
|
4,506,797 |
|
|
3,503 |
|
6.00%, 2/25/47 |
|
2,744,384 |
|
|
5,934 |
|
6.25%, 12/25/36 (j) |
|
4,803,240 |
|
|
504 |
|
6.25%, 8/25/37 |
|
404,777 |
|
|
1,651 |
|
6.50%, 6/25/36 |
|
1,230,076 |
|
|
9,479 |
|
6.50%, 9/25/37 |
|
7,388,242 |
|
|
12,857 |
|
6.50%, 11/25/37 |
|
10,643,027 |
|
|
|
|
Countrywide Home Loan Mortgage Pass-Through Trust, CMO, |
|
|
|
|
980 |
|
2.604%, 9/20/36 (j) |
|
698,369 |
|
|
113 |
|
2.726%, 9/25/47 (j) |
|
94,326 |
|
|
2,668 |
|
5.75%, 6/25/37 |
|
2,408,869 |
|
|
633 |
|
6.00%, 4/25/37 |
|
570,679 |
|
|
9,606 |
|
6.00%, 5/25/37 |
|
8,039,221 |
|
|
2,624 |
|
6.25%, 9/25/36 |
|
2,280,794 |
|
Schedule of Investments
PIMCO High Income Fund
December 31, 2013 (unaudited)
|
Principal |
|
|
|
Value* |
|
|
$3,924 |
|
Credit Suisse First Boston Mortgage Securities Corp., 6.00%, 1/25/36, CMO |
|
$3,025,104 |
|
|
2,130 |
|
Credit Suisse Mortgage Capital Certificates Mortgage-Backed Trust, 6.50%, 10/25/21, CMO |
|
1,797,258 |
|
|
2,627 |
|
Deutsche ALT-B Securities Mortgage Loan Trust, 5.945%, 2/25/36, CMO |
|
2,102,659 |
|
|
3,701 |
|
First Horizon Alternative Mortgage Securities Trust, 6.00%, 5/25/36, CMO |
|
3,199,996 |
|
|
|
|
Harborview Mortgage Loan Trust, CMO (j), |
|
|
|
|
879 |
|
2.665%, 8/19/36 |
|
662,056 |
|
|
70 |
|
5.027%, 8/19/36 |
|
58,708 |
|
|
4,000 |
|
IndyMac Index Mortgage Loan Trust, 4.596%, 5/25/37, CMO (j) |
|
2,820,885 |
|
|
13,989 |
|
JPMorgan Alternative Loan Trust, 4.131%, 3/25/37, CMO (j) |
|
10,576,152 |
|
|
|
|
JPMorgan Mortgage Trust, CMO, |
|
|
|
|
596 |
|
2.575%, 1/25/37 (j) |
|
509,856 |
|
|
667 |
|
5.75%, 1/25/36 |
|
613,227 |
|
|
26,311 |
|
6.455%, 1/25/37, IO (b)(j) |
|
5,475,862 |
|
|
228 |
|
Merrill Lynch Mortgage-Backed Securities Trust, 4.627%, 4/25/37, CMO (j) |
|
187,560 |
|
|
286,916 |
|
Morgan Stanley Bank of America Merrill Lynch Trust, 1.047%, 10/15/46, IO (b)(j) |
|
16,406,274 |
|
|
9,800 |
|
RBSSP Resecuritization Trust, 8.904%, 6/26/37, CMO (a)(c)(j) |
|
5,790,761 |
|
|
|
|
Residential Accredit Loans, Inc., CMO, |
|
|
|
|
7,512 |
|
6.00%, 4/25/36 |
|
5,860,672 |
|
|
3,199 |
|
6.00%, 6/25/36 |
|
2,487,734 |
|
|
7,773 |
|
6.00%, 12/25/36 |
|
6,016,106 |
|
|
2,822 |
|
6.50%, 7/25/37 |
|
2,142,051 |
|
|
|
|
Residential Asset Securitization Trust, CMO, |
|
|
|
|
1,617 |
|
6.00%, 9/25/36 |
|
1,030,221 |
|
|
1,032 |
|
6.25%, 10/25/36 |
|
796,348 |
|
|
7,259 |
|
6.25%, 9/25/37 |
|
5,198,647 |
|
|
1,173 |
|
6.50%, 8/25/36 |
|
772,741 |
|
|
4,069 |
|
Residential Funding Mortgage Securities I, 6.25%, 8/25/36, CMO |
|
3,649,496 |
|
|
121 |
|
Sequoia Mortgage Trust, 2.414%, 1/20/47, CMO (j) |
|
103,775 |
|
|
|
|
Structured Adjustable Rate Mortgage Loan Trust, CMO (j), |
|
|
|
|
344 |
|
5.089%, 1/25/36 |
|
269,750 |
|
|
1,322 |
|
8.263%, 4/25/47 |
|
1,013,288 |
|
|
|
|
WaMu Mortgage Pass-Through Certificates, CMO (j), |
|
|
|
|
217 |
|
2.016%, 1/25/37 |
|
178,711 |
|
|
1,740 |
|
2.065%, 11/25/36 |
|
1,476,080 |
|
|
142 |
|
2.086%, 12/25/36 |
|
120,760 |
|
|
190 |
|
2.127%, 4/25/37 |
|
150,147 |
|
|
394 |
|
2.409%, 2/25/37 |
|
319,831 |
|
|
346 |
|
4.465%, 5/25/37 |
|
284,253 |
|
|
424 |
|
4.558%, 2/25/37 |
|
351,454 |
|
|
|
|
Washington Mutual Mortgage Pass-Through Certificates, CMO, |
|
|
|
|
465 |
|
0.905%, 4/25/47 (j) |
|
48,443 |
|
|
9,384 |
|
6.00%, 7/25/36 |
|
6,932,956 |
|
|
8,790 |
|
6.00%, 6/25/37 |
|
7,292,444 |
|
|
6,169 |
|
6.50%, 3/25/36 |
|
3,983,708 |
|
|
20,183 |
|
6.515%, 4/25/37, IO (b)(j) |
|
4,375,507 |
|
|
185 |
|
Wells Fargo Mortgage-Backed Securities Trust, 2.739%, 9/25/36, CMO (j) |
|
169,822 |
|
|
|
|
Total Mortgage-Backed Securities (cost-$216,632,408) |
|
222,326,597 |
|
|
|
|
|
|
|
|
|
ASSET-BACKED SECURITIES - 2.1% |
|
|
| ||
|
13,700 |
|
Countrywide Asset-Backed Certificates, 5.43%, 7/25/36 |
|
9,537,693 |
|
|
3,238 |
|
GSAA Home Equity Trust, 5.772%, 11/25/36 (j) |
|
1,998,422 |
|
|
|
|
GSAA Trust, |
|
|
|
|
5,021 |
|
5.80%, 3/25/37 |
|
2,918,937 |
|
|
3,576 |
|
5.917%, 3/25/37 (j) |
|
1,890,696 |
|
|
13,619 |
|
IndyMac Residential Asset-Backed Trust, 0.325%, 7/25/37 (j) |
|
8,467,410 |
|
|
4,247 |
|
JPMorgan Mortgage Acquisition Trust, 5.052%, 1/25/37 |
|
3,592,647 |
|
|
|
|
Morgan Stanley Mortgage Loan Trust (j), |
|
|
|
|
1,044 |
|
5.75%, 11/25/36 |
|
531,205 |
|
|
2,177 |
|
6.25%, 7/25/47 |
|
1,622,817 |
|
|
9,084 |
|
Renaissance Home Equity Loan Trust, 6.998%, 9/25/37 |
|
5,487,706 |
|
|
387 |
|
Washington Mutual Asset-Backed Certificates, 0.315%, 5/25/36 (j) |
|
242,849 |
|
|
|
|
Total Asset-Backed Securities (cost-$33,819,220) |
|
36,290,382 |
|
|
|
|
|
|
|
|
|
Shares |
|
|
|
|
|
|
PREFERRED STOCK - 2.0% |
|
|
| ||
|
Diversified Financial Services - 2.0% |
|
|
| ||
|
30,700 |
|
Farm Credit Bank, 10.00%, 12/15/20, Ser. 1 (f) (cost-$35,249,250) |
|
35,861,437 |
|
|
|
|
|
| ||
|
CONVERTIBLE PREFERRED STOCK - 0.0% |
|
|
| ||
|
Airlines - 0.0% |
|
|
| ||
|
1 |
|
American Airlines Group, Inc., 6.25%, Ser. A (f) (cost-$10) |
|
26 |
|
Schedule of Investments
PIMCO High Income Fund
December 31, 2013 (unaudited)
|
Principal |
|
|
|
Value* |
|
|
SHORT-TERM INVESTMENTS - 2.3% |
|
|
| ||
|
Repurchase Agreements - 2.2% |
|
|
| ||
|
$6,700 |
|
Banc of America Securities LLC, dated 12/31/13, 0.01%, due 1/2/14, proceeds $6,700,004; collateralized by U.S. Treasury Notes, 0.375%, due 1/15/16, valued at $6,846,711 including accrued interest |
|
$6,700,000 |
|
|
28,500 |
|
RBC Capital Markets LLC, dated 12/31/13, 0.005%, due 1/2/14, proceeds $28,500,008; collateralized by U.S. Treasury Notes, 0.75%, due 3/31/18, valued at $29,076,836 including accrued interest |
|
28,500,000 |
|
|
2,856 |
|
State Street Bank and Trust Co., dated 12/31/13, 0.00%, due 1/2/14, proceeds $2,856,000; collateralized by Freddie Mac, 2.08%, due 10/17/22, valued at $2,914,899 including accrued interest |
|
2,856,000 |
|
|
Total Repurchase Agreements (cost-$38,056,000) |
|
38,056,000 |
| ||
|
|
|
|
|
|
|
|
U.S. Treasury Obligations (g)(h)(k)- 0.1% |
|
|
| ||
|
2,251 |
|
U.S. Treasury Bills, 0.044%-0.122%, 1/2/14-11/13/14 (cost-$2,249,533) |
|
2,249,877 |
|
|
Total Short-Term Investments (cost-$40,305,533) |
|
40,305,877 |
| ||
|
|
|
|
|
|
|
|
Total Investments (cost-$1,712,274,456) (l)-100.0% |
|
$1,757,071,226 |
| ||
Notes to Schedule of Investments:
|
* |
Portfolio securities and other financial instruments for which market quotations are readily available are stated at market value. Market value is generally determined on the basis of last reported sales prices, or if no sales are reported, on the basis of quotes obtained from a quotation reporting system, established market makers, or independent pricing services. The Fund’s investments are valued daily using prices supplied by an independent pricing service or dealer quotations, or by using the last sale price on the exchange that is the primary market for such securities, or the mean between the last quoted bid and ask price. Independent pricing services use information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. Centrally cleared swaps are valued at the price determined by the relevant exchange.
The Board of Trustees (the “Board”) has adopted procedures for valuing portfolio securities and other financial derivative instruments in circumstances where market quotes are not readily available, and has delegated the responsibility for applying the valuation methods to Allianz Global Investors Fund Management LLC (the “Investment Manager”) and Pacific Investment Management Company LLC (the “Sub-Adviser”). The Fund’s Valuation Committee was established by the Board to oversee the implementation of the Fund’s valuation methods and to make fair value determinations on behalf of the Board, as instructed. The Sub-Adviser monitors the continued appropriateness of methods applied and determines if adjustments should be made in light of market changes, events affecting the issuer, or other factors. If the Sub-Adviser determines that a valuation method may no longer be appropriate, another valuation method may be selected, or the Valuation Committee will be convened to consider the matter and take any appropriate action in accordance with procedures set forth by the Board. The Board shall review the appropriateness of the valuation methods and these methods may be amended or supplemented from time to time by the Valuation Committee.
Benchmark pricing procedures are used as the basis for setting the base price of a fixed-income security and for subsequently adjusting 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 Committee. The validity of the fair value is reviewed by the Sub-Adviser on a periodic basis and may be amended as the availability of market data indicates a material change.
Short-term securities maturing in 60 days or less are valued at amortized cost, if their original term to maturity was 60 days or less, or by amortizing their value on the 61st day prior to maturity, if the original term to maturity exceeded 60 days.
Investments initially 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 net asset value (“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 securities 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 New York Stock Exchange (“NYSE”) is closed.
The prices used by the Fund to value investments may differ from the value that would be realized if the investments were sold, and these differences could be material. The Fund’s NAV is normally determined as of the close of regular trading (normally, 4:00 p.m. Eastern time) on the NYSE on each day the NYSE is open for business. |
|
|
|
|
(a) |
Private Placement—Restricted as to resale and may not have a readily available market. Securities with an aggregate value of $145,096,171, representing 8.3% of total investments. |
|
|
|
|
(b) |
Illiquid. |
|
|
|
|
(c) |
144A—Exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, typically only to qualified institutional buyers. Unless otherwise indicated, these securities are not considered to be illiquid. |
|
|
|
|
(d) |
In default. |
|
|
|
|
(e) |
Fair-Valued—Securities with an aggregate value of $66,718,357, representing 3.8% of total investments. |
|
|
|
|
(f) |
Perpetual maturity. The date shown, if any, is the next call date. For Corporate Bonds & Notes the interest rate is fixed until the first call date and variable thereafter. |
|
|
|
|
(g) |
All or partial amount segregated for the benefit of the counterparty as collateral for derivatives. |
|
|
|
|
(h) |
All or partial amount transferred for the benefit of the counterparty as collateral for reverse repurchase agreements. |
|
|
|
|
(i) |
Restricted. The aggregate acquisition cost of such securities is $37,470,270. The aggregate value is $36,880,848, representing 2.1% of total investments. |
|
|
|
|
(j) |
Variable or Floating Rate Security—Securities with an interest rate that changes periodically. The interest rate disclosed reflects the rate in effect on December 31, 2013. |
|
|
|
|
(k) |
Rates reflect the effective yields at purchase date. |
|
|
|
|
(l) |
At December 31, 2013, the cost basis of portfolio securities of $1,712,274,456 was substantially the same for both federal income tax and book purposes. Gross unrealized appreciation was $70,114,433; gross unrealized depreciation was $25,317,663; and net unrealized appreciation was $44,796,770. |
|
(m) |
Interest rate swap agreements outstanding at December 31, 2013: |
OTC swap agreements:
|
|
|
Notional |
|
|
|
Rate Type |
|
|
|
Upfront |
|
Unrealized |
| ||
|
Swap |
|
Amount |
|
Termination |
|
Payments |
|
Payments |
|
Value |
|
Premiums |
|
Appreciation |
|
|
Bank of America |
|
$50,600 |
|
4/30/19 |
|
3-Month USD-LIBOR |
|
1.90 |
% |
$(163,701 |
) |
$68,665 |
|
$(232,366 |
) |
|
Deutsche Bank |
|
50,600 |
|
4/30/19 |
|
3-Month USD-LIBOR |
|
1.90 |
% |
(163,701 |
) |
63,605 |
|
(227,306 |
) |
|
JPMorgan Chase |
|
108,000 |
|
4/30/19 |
|
3-Month USD-LIBOR |
|
1.90 |
% |
(349,401 |
) |
145,992 |
|
(495,393 |
) |
|
Morgan Stanley |
|
600,000 |
|
4/30/19 |
|
3-Month USD-LIBOR |
|
1.90 |
% |
(1,941,118 |
) |
(3,796,288 |
) |
1,855,170 |
|
|
|
|
|
|
|
|
|
|
|
|
$(2,617,921 |
) |
$(3,518,026 |
) |
$900,105 |
|
Centrally cleared swap agreements:
|
|
|
Notional |
|
|
|
Rate Type |
|
|
|
Unrealized |
| ||
|
Broker (Exchange) |
|
Amount |
|
Termination |
|
Payments |
|
Payments |
|
Value |
|
Appreciation |
|
|
Barclays Bank (CME) |
|
$100,000 |
|
6/19/20 |
|
3-Month USD-LIBOR |
|
2.00% |
|
$(1,923,586 |
) |
$(1,838,233 |
) |
|
Barclays Bank (CME) |
|
69,000 |
|
3/19/24 |
|
3.00% |
|
3-Month USD-LIBOR |
|
1,196,699 |
|
1,676,249 |
|
|
Goldman Sachs (CME) |
|
100,000 |
|
6/19/20 |
|
3-Month USD-LIBOR |
|
2.00% |
|
(1,923,585 |
) |
(1,510,067 |
) |
|
Goldman Sachs (CME) |
|
69,000 |
|
3/19/24 |
|
3.00% |
|
3-Month USD-LIBOR |
|
1,196,699 |
|
1,446,699 |
|
|
Goldman Sachs (CME) |
|
700,000 |
|
6/18/43 |
|
3.75% |
|
3-Month USD-LIBOR |
|
34,448,414 |
|
43,558,414 |
|
|
Goldman Sachs (CME) |
|
700,000 |
|
6/19/44 |
|
3-Month USD-LIBOR |
|
3.50% |
|
(56,493,875 |
) |
(45,832,084 |
) |
|
Morgan Stanley (CME) |
|
297,000 |
|
6/18/44 |
|
3.75% |
|
3-Month USD-LIBOR |
|
15,118,678 |
|
11,780,288 |
|
|
|
|
|
|
|
|
|
|
|
|
$(8,380,556 |
) |
$9,281,266 |
|
|
(n) |
Forward foreign currency contracts outstanding at December 31, 2013: |
|
|
|
Counterparty |
|
U.S.$ Value on |
|
U.S.$ Value |
|
Unrealized |
|
|
Purchased: |
|
|
|
|
|
|
|
|
|
|
45,899,104 Brazilian Real settling 1/3/14 |
|
Credit Suisse First Boston |
|
$19,519,908 |
|
$19,454,955 |
|
$(64,953 |
) |
|
44,357,684 Brazilian Real settling 1/3/14 |
|
Deutsche Bank |
|
18,935,236 |
|
18,801,604 |
|
(133,632 |
) |
|
44,925,547 Brazilian Real settling 1/3/14 |
|
Morgan Stanley |
|
19,180,593 |
|
19,042,300 |
|
(138,293 |
) |
|
8,900,924 Brazilian Real settling 1/3/14 |
|
UBS |
|
3,792,792 |
|
3,772,777 |
|
(20,015 |
) |
|
13,524,000 British Pound settling 1/2/14 |
|
Barclays Bank |
|
22,017,072 |
|
22,395,067 |
|
377,995 |
|
|
1,955,000 Euro settling 2/4/14 |
|
Barclays Bank |
|
2,693,663 |
|
2,689,452 |
|
(4,211 |
) |
|
614,000 Euro settling 1/2/14 |
|
Citigroup |
|
845,293 |
|
844,679 |
|
(614 |
) |
|
Sold: |
|
|
|
|
|
|
|
|
|
|
45,899,104 Brazilian Real settling 1/3/14 |
|
Credit Suisse First Boston |
|
19,593,231 |
|
19,454,955 |
|
138,276 |
|
|
44,357,684 Brazilian Real settling 1/3/14 |
|
Deutsche Bank |
|
19,591,751 |
|
18,801,604 |
|
790,147 |
|
|
44,925,547 Brazilian Real settling 1/3/14 |
|
Morgan Stanley |
|
19,878,560 |
|
19,042,300 |
|
836,260 |
|
|
1,801,672 Brazilian Real settling 2/4/14 |
|
Morgan Stanley |
|
765,237 |
|
757,528 |
|
7,709 |
|
|
8,900,924 Brazilian Real settling 1/3/14 |
|
UBS |
|
3,799,592 |
|
3,772,777 |
|
26,815 |
|
|
13,524,000 British Pound settling 2/4/14 |
|
Barclays Bank |
|
22,012,041 |
|
22,390,304 |
|
(378,263 |
) |
|
13,524,000 British Pound settling 1/2/14 |
|
Credit Suisse First Boston |
|
21,901,334 |
|
22,395,067 |
|
(493,733 |
) |
|
614,000 Euro settling 1/2/14 |
|
Bank of America |
|
831,055 |
|
844,679 |
|
(13,624 |
) |
|
614,000 Euro settling 2/4/14 |
|
Citigroup |
|
845,275 |
|
844,667 |
|
608 |
|
|
1,949,000 Euro settling 2/4/14 |
|
HSBC Bank |
|
2,676,210 |
|
2,681,198 |
|
(4,988 |
) |
|
|
|
|
|
|
|
|
|
$925,484 |
|
|
(o) |
At December 31, 2013, the Fund held $5,410,000 in cash collateral and pledged cash collateral of $22,400,000 for derivative contracts. Cash collateral held may be invested in accordance with the Fund’s investment strategy. |
|
|
|
|
(p) |
Open reverse repurchase agreements at December 31, 2013: |
|
Counterparty |
|
Rate |
|
Trade Date |
|
Due Date |
|
Principal & Interest |
|
Principal |
|
|
Barclays Bank |
|
0.40 |
% |
12/3/13 |
|
1/9/14 |
|
$15,660,218 |
|
$15,655,000 |
|
|
|
|
0.50 |
|
12/4/13 |
|
1/7/14 |
|
23,435,435 |
|
23,426,000 |
|
|
|
|
0.55 |
|
12/3/13 |
|
1/9/14 |
|
31,554,456 |
|
31,540,000 |
|
|
|
|
0.55 |
|
12/31/13 |
|
1/7/14 |
|
1,272,000 |
|
1,272,000 |
|
|
|
|
0.58 |
|
12/12/13 |
|
1/1/14 |
|
14,217,447 |
|
14,212,755 |
|
|
|
|
0.67 |
|
12/11/13 |
|
1/9/14 |
|
94,502,678 |
|
94,464,000 |
|
|
|
|
0.67 |
|
12/11/13 |
|
1/13/14 |
|
4,860,989 |
|
4,859,000 |
|
|
|
|
0.67 |
|
12/13/13 |
|
1/13/14 |
|
15,029,592 |
|
15,024,000 |
|
|
|
|
0.67 |
|
12/19/13 |
|
1/10/14 |
|
48,844,723 |
|
48,832,000 |
|
|
|
|
0.67 |
|
12/19/13 |
|
1/13/14 |
|
12,085,148 |
|
12,082,000 |
|
|
|
|
0.67 |
|
12/19/13 |
|
1/22/14 |
|
35,088,140 |
|
35,079,000 |
|
|
Credit Suisse First Boston |
|
(0.75 |
) |
12/17/13 |
|
1/1/14 |
|
2,689,067 |
|
2,689,960 |
|
|
|
|
0.49 |
|
11/4/13 |
|
1/1/14 |
|
2,283,821 |
|
2,282,010 |
|
|
Deutsche Bank |
|
0.55 |
|
12/2/13 |
|
1/7/14 |
|
22,826,806 |
|
22,816,000 |
|
|
|
|
0.55 |
|
12/20/13 |
|
1/15/14 |
|
10,886,162 |
|
10,884,000 |
|
|
|
|
0.58 |
|
12/2/13 |
|
1/7/14 |
|
12,707,343 |
|
12,701,000 |
|
|
|
|
0.58 |
|
12/20/13 |
|
1/15/14 |
|
10,087,112 |
|
10,085,000 |
|
|
|
|
0.59 |
|
12/4/13 |
|
1/28/14 |
|
14,002,652 |
|
13,996,000 |
|
|
Morgan Stanley |
|
0.50 |
|
12/2/13 |
|
1/6/14 |
|
33,853,570 |
|
33,839,000 |
|
|
|
|
0.50 |
|
12/23/13 |
|
1/21/14 |
|
14,624,031 |
|
14,622,000 |
|
|
Royal Bank of Canada |
|
0.40 |
|
12/3/13 |
|
1/6/14 |
|
27,476,156 |
|
27,467,000 |
|
|
|
|
0.40 |
|
12/16/13 |
|
1/17/14 |
|
16,404,098 |
|
16,401,000 |
|
|
|
|
0.40 |
|
12/17/13 |
|
1/17/14 |
|
13,732,441 |
|
13,730,000 |
|
|
|
|
0.40 |
|
12/19/13 |
|
1/17/14 |
|
11,317,760 |
|
11,316,000 |
|
|
|
|
0.40 |
|
12/31/13 |
|
1/17/14 |
|
3,964,000 |
|
3,964,000 |
|
|
|
|
0.45 |
|
12/31/13 |
|
4/4/14 |
|
27,930,000 |
|
27,930,000 |
|
|
Royal Bank of Scotland |
|
0.85 |
|
11/1/13 |
|
1/1/14 |
|
15,111,214 |
|
15,089,843 |
|
|
|
|
|
|
|
|
|
|
|
|
$536,258,568 |
|
|
(q) |
The weighted average daily balance of reverse repurchase agreements during the nine months ended December 31, 2013 was $326,066,626, at a weighted average interest rate of 0.57%. Total value of underlying collateral (refer to the Schedule of Investments for positions transferred for the benefit of the counterparty as collateral) for open reverse repurchase agreements at December 31, 2013 was $598,072,877.
At December 31, 2013, the Fund held $140,720,040 in principal value in Corporate Bonds & Notes as collateral and pledged cash collateral of $980,000 for open reverse repurchase agreements. Cash collateral held may be invested in accordance with the Fund’s investment strategy. Securities held as collateral will not be pledged and are not reflected in the Schedule of Investments. |
Fair Value Measurements
Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability (i.e. the “exit price”) in an orderly transaction between market participants. The three levels of the fair value hierarchy are described below:
· Level 1 – quoted prices in active markets for identical investments that the Fund has the ability to access
· Level 2 – valuations based on other significant observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates or other market corroborated inputs
· Level 3 – valuations based on significant unobservable inputs (including the Sub-Adviser’s or Valuation Committee’s own assumptions and securities whose price was determined by using a single broker’s quote)
The valuation techniques used by the Fund to measure fair value during the nine months ended December 31, 2013 were intended to maximize the use of observable inputs and to minimize the use of unobservable inputs.
The Fund’s policy is to recognize transfers between levels at the end of the reporting period. An investment asset’s or liability’s level within the fair value hierarchy is based on the lowest level input, individually or in aggregate, that is significant to the fair value measurement. The objective of fair value measurement remains the same even when there is a significant decrease in the volume and level of activity for an asset or liability and regardless of the valuation techniques used. Investments categorized as Level 1 or 2 as of period end may have been transferred between Levels 1 and 2 since the prior period due to changes in the valuation method utilized in valuing the investments.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following are certain inputs and techniques that the Fund generally uses to evaluate how to classify each major category of assets and liabilities for Level 2 and Level 3, in accordance with Generally Accepted Accounting Principles.
Equity Securities (Common and Preferred Stock) — Equity securities traded in inactive markets are valued using inputs which include broker-dealer quotes, recently executed transactions adjusted for changes in the benchmark index, or evaluated price quotes received from independent pricing services that take into account the integrity of the market sector and issuer, the individual characteristics of the security, and information received from broker-dealers and other market sources pertaining to the issuer or security. To the extent that these inputs are observable, the values of equity securities are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.
U.S. Treasury Obligations — U.S. Treasury obligations are valued by independent pricing services based on pricing models that evaluate the mean between the most recently quoted bid and ask price. The models also take into consideration data received from active market makers and broker-dealers, yield curves, and the spread over comparable U.S. Treasury issues. The spreads change daily in response to market conditions and are generally obtained from the new issue market and broker-dealer sources. To the extent that these inputs are observable, the values of U.S. Treasury obligations are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.
Government Sponsored Enterprise and Mortgage-Backed Securities — Government sponsored enterprise and mortgage-backed securities are valued by independent pricing services using pricing models based on inputs that include issuer type, coupon, cash flows, mortgage prepayment projection tables and Adjustable Rate Mortgage evaluations that incorporate index data, periodic and life caps and the next coupon reset date. To the extent that these inputs are observable, the values of government sponsored enterprise and mortgage-backed securities are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.
Municipal Bonds — Municipal bonds are valued by independent pricing services based on pricing models that take into account, among other factors, information received from market makers and broker-dealers, current trades, bid-want lists, offerings, market movements, the callability of the bond, state of issuance, benchmark yield curves, and bond insurance. To the extent that these inputs are observable, the values of municipal bonds are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.
Corporate Bonds & Notes — Corporate bonds & notes are generally comprised of two main categories: investment grade bonds and high yield bonds. Investment grade bonds are valued by independent pricing services using various inputs and
techniques, which include broker-dealer quotations, live trading levels, recently executed transactions in securities of the issuer or comparable issuers, and option adjusted spread models that include base curve and spread curve inputs. Adjustments to individual bonds can be applied to recognize trading differences compared to other bonds issued by the same issuer. High yield bonds are valued by independent pricing services based primarily on broker-dealer quotations from relevant market makers and recently executed transactions in securities of the issuer or comparable issuers. The broker-dealer quotations received are supported by credit analysis of the issuer that takes into consideration credit quality assessments, daily trading activity, and the activity of the underlying equities, listed bonds and sector-specific trends. To the extent that these inputs are observable, the values of corporate bonds & notes are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.
Asset-Backed Securities and Collateralized Mortgage Obligations — Asset-backed securities and collateralized mortgage obligations are valued by independent pricing services using pricing models based on a security’s average life volatility. The models also take into account tranche characteristics such as coupon, average life, collateral types, ratings, the issuer and tranche type, underlying collateral and performance of the collateral, and discount margin for certain floating rate issues. To the extent that these inputs are observable, the values of asset-backed securities and collateralized mortgage obligations are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.
Forward Foreign Currency Contracts — Forward foreign currency contracts are valued by independent pricing services using various inputs and techniques, which include broker-dealer quotations, actual trading information and foreign currency exchange rates gathered from leading market makers and foreign currency exchange trading centers throughout the world. To the extent that these inputs are observable, the values of forward foreign currency contracts are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.
Interest Rate Swaps — OTC interest rate swaps are valued by independent pricing services using pricing models that are based on real-time intraday snapshots of relevant interest rate curves that are built using the most actively traded securities for a given maturity. The pricing models also incorporate cash and money market rates. In addition, market data pertaining to interest rate swaps is monitored regularly to ensure that interest rates are properly depicting the current market rate. Centrally cleared interest rate swaps are valued at the price determined by the relevant exchange. To the extent that these inputs are observable, the values of interest rate swaps are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.
A summary of the inputs used at December 31, 2013 in valuing the Fund’s assets and liabilities is listed below (refer to the Schedule of Investments and Notes to Schedule of Investments for more detailed information on Investments in Securities and Other Financial Instruments):
|
|
|
Level 1 - |
|
Level 2 - |
|
Level 3 - |
|
Value at |
|
|
Investments in Securities - Assets |
|
|
|
|
|
|
|
|
|
|
Municipal Bonds |
|
$— |
|
$582,931,429 |
|
$— |
|
$582,931,429 |
|
|
U.S. Government Agency Securities |
|
— |
|
407,274,848 |
|
39,862,677 |
|
447,137,525 |
|
|
Corporate Bonds & Notes: |
|
|
|
|
|
|
|
|
|
|
Airlines |
|
— |
|
— |
|
5,263,494 |
|
5,263,494 |
|
|
Diversified Financial Services |
|
— |
|
23,161,450 |
|
26,401,117 |
|
49,562,567 |
|
|
Electric Utilities |
|
— |
|
4,320,323 |
|
347,049 |
|
4,667,372 |
|
|
Real Estate |
|
— |
|
3,704,790 |
|
3,580,696 |
|
7,285,486 |
|
|
All Other |
|
— |
|
325,439,034 |
|
— |
|
325,439,034 |
|
|
Mortgage-Backed Securities |
|
— |
|
221,351,113 |
|
975,484 |
|
222,326,597 |
|
|
Asset-Backed Securities |
|
— |
|
36,290,382 |
|
— |
|
36,290,382 |
|
|
Preferred Stock |
|
— |
|
35,861,437 |
|
— |
|
35,861,437 |
|
|
Convertible Preferred Stock |
|
26 |
|
— |
|
— |
|
26 |
|
|
Short-Term Investments |
|
— |
|
40,305,877 |
|
— |
|
40,305,877 |
|
|
|
|
26 |
|
1,680,640,683 |
|
76,430,517 |
|
1,757,071,226 |
|
|
Other Financial Instruments* - Assets |
|
|
|
|
|
|
|
|
|
|
Foreign Exchange Contracts |
|
— |
|
2,177,810 |
|
— |
|
2,177,810 |
|
|
Interest Rate Contracts |
|
— |
|
60,316,820 |
|
— |
|
60,316,820 |
|
|
|
|
— |
|
62,494,630 |
|
— |
|
62,494,630 |
|
|
Other Financial Instruments* - Liabilities |
|
|
|
|
|
|
|
|
|
|
Foreign Exchange Contracts |
|
— |
|
(1,252,326 |
) |
— |
|
(1,252,326 |
) |
|
Interest Rate Contracts |
|
— |
|
(50,135,449 |
) |
— |
|
(50,135,449 |
) |
|
|
|
— |
|
(51,387,775 |
) |
— |
|
(51,387,775 |
) |
|
Totals |
|
$26 |
|
$1,691,747,538 |
|
$76,430,517 |
|
$1,768,178,081 |
|
At December 31, 2013, there were no transfers between Levels 1 and 2.
A roll forward of fair value measurements using significant unobservable inputs (Level 3) for the nine months ended December 31, 2013, was as follows:
|
|
|
Beginning |
|
Purchases |
|
Sales |
|
Accrued |
|
Net |
|
Net Change |
|
Transfers |
|
Transfers |
|
Ending |
|
|
Investments in Securities - Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Government Agency Securities |
|
$— |
|
$46,647,573 |
|
$(4,825,703 |
) |
$— |
|
$— |
|
$(1,959,193 |
) |
$— |
|
$— |
|
$39,862,677 |
|
|
Corporate Bonds & Notes: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Airlines |
|
20,766,204 |
|
2,125,849 |
|
(17,110,342 |
) |
(45,101 |
) |
471,032 |
|
(944,148 |
) |
— |
|
— |
|
5,263,494 |
|
|
Diversified Financial Services |
|
18,558,995 |
|
8,479,202 |
|
(37,912 |
) |
47,170 |
|
449 |
|
(646,787 |
) |
— |
|
— |
|
26,401,117 |
|
|
Electric Utilities |
|
1,062,894 |
|
75,250 |
|
(9,822,118 |
) |
(1,607 |
) |
(2,289 |
) |
9,034,919 |
|
— |
|
— |
|
347,049 |
|
|
Real Estate |
|
3,960,124 |
|
— |
|
(15,000 |
) |
2,980 |
|
2,933 |
|
(370,341 |
) |
— |
|
— |
|
3,580,696 |
|
|
Mortgage-Backed Securities |
|
334,813 |
|
598,660 |
|
— |
|
67,006 |
|
(169,694 |
)† |
144,699 |
|
— |
|
— |
|
975,484 |
|
|
Totals |
|
$44,683,030 |
|
$57,926,534 |
|
$(31,811,075 |
) |
$70,448 |
|
$302,431 |
|
$5,259,149 |
|
$— |
|
$— |
|
$76,430,517 |
|
The following table presents additional information about valuation techniques and inputs used for investments that are measured at fair value and categorized within Level 3 at December 31, 2013:
|
|
|
Ending |
|
Valuation |
|
Unobservable |
|
Input Values |
|
|
Investments in Securities - Assets |
|
|
|
|
|
|
|
|
|
|
U.S. Government Agency Securities |
|
$39,862,677 |
|
Interest Only Weighted Average Life Model |
|
Security Price Reset |
|
$12.36 |
|
|
Corporate Bonds & Notes |
|
26,855,680 |
|
Benchmark Pricing |
|
Security Price Reset |
|
$71.45 - $109.91 |
|
|
|
|
8,736,676 |
|
Third-Party Pricing Vendor |
|
Single Broker Quote |
|
$98.20 - $103.00 |
|
|
Mortgage-Backed Securities |
|
975,484 |
|
Third-Party Pricing Vendor |
|
Single Broker Quote |
|
$26.00 |
|
* Other financial instruments are derivatives, such as swap agreements and forward foreign currency contracts, which are valued at the unrealized appreciation (depreciation) of the instrument.
† Paydown shortfall.
The net change in unrealized appreciation/depreciation of Level 3 investments held at December 31, 2013 was $(5,625,861).
Glossary:
AGM - insured by Assured Guaranty Municipal Corp.
£ - British Pound
CIFG - insured by CDC IXIS Financial Guaranty Services, Inc.
CME - Chicago Mercantile Exchange
CMO - Collateralized Mortgage Obligation
CP - Certificates of Participation
€ - Euro
FGIC - insured by Financial Guaranty Insurance Co.
FRN - Floating Rate Note
GO - General Obligation Bond
IO - Interest Only
LIBOR - London Inter-Bank Offered Rate
NPFGC - insured by National Public Finance Guarantee Corp.
OTC - Over-the-Counter
Item 2. Controls and Procedures
(a) The registrant’s President & Chief Executive Officer and Treasurer, Principal Financial & Accounting Officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))), are effective based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this document.
(b) There were no significant changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d))) that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 3. Exhibits
(a) Exhibit 99.302 Cert. — Certification pursuant to Section 302 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.
Registrant: PIMCO High Income Fund
|
By: |
/s/ Brian S. Shlissel |
|
|
|
Brian S. Shlissel, |
|
|
|
|
|
|
Date: February 25, 2014 |
| |
|
|
|
|
|
By: |
/s/ Lawrence G. Altadonna |
|
|
|
Lawrence G. Altadonna, |
|
|
|
|
|
|
Date: February 25, 2014 |
| |
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/ Brian S. Shlissel |
|
|
|
Brian S. Shlissel, |
|
|
|
|
|
|
Date: February 25, 2014 |
| |
|
|
|
|
|
By: |
/s/ Lawrence G. Altadonna |
|
|
|
Lawrence G. Altadonna, |
|
|
|
|
|
|
Date: February 25, 2014 |
| |