PCM Fund, Inc.

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

Investment Company Act file number: 811-07816

PCM Fund Inc.

(Exact name of registrant as specified in charter)

1633 Broadway, New York, NY 10019

(Address of principal executive offices)

William G. Galipeau

Treasurer (Principal Financial & Accounting Officer)

650 Newport Center Drive

Newport Beach, CA 92660

(Name and address of agent for service)

Copies to:

David C. Sullivan

Ropes & Gray LLP

Prudential Tower

800 Boylston Street

Boston, MA 02199

Registrant’s telephone number, including area code: (844) 337-4626

Date of fiscal year end: June 30

Date of reporting period: December 31, 2015

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

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


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


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PIMCO Closed-End Funds

 

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Semiannual Report

 

December 31, 2015

 

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PCM Fund, Inc.

PIMCO Global StocksPLUS® & Income Fund

PIMCO Income Opportunity Fund

PIMCO Strategic Income Fund, Inc.

PIMCO Dynamic Credit Income Fund

PIMCO Dynamic Income Fund

 

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Table of Contents

 

            Page  
     

Letter from the Chairman of the Board & President

        2   

Important Information About the Funds

        4   

Financial Highlights

        16   

Statements of Assets and Liabilities

        18   

Consolidated Statements of Assets and Liabilities

        19   

Statements of Operations

        20   

Consolidated Statements of Operations

        21   

Statements of Changes in Net Assets

        22   

Consolidated Statements of Changes in Net Assets

        24   

Statements of Cash Flows

        25   

Consolidated Statements of Cash Flows

        26   

Notes to Financial Statements

        89   

Glossary

        109   

Investment Strategy Updates

        110   
     
Fund    Fund
Summary
     Schedule of
Investments
 
     

PCM Fund, Inc.

     9         27   

PIMCO Global StocksPLUS® & Income Fund

     10         34   

PIMCO Income Opportunity Fund

     11         44   

PIMCO Strategic Income Fund, Inc.

     12         55   

PIMCO Dynamic Credit Income Fund

     13         64   

PIMCO Dynamic Income Fund

     14         78   


Letter from the Chairman of the Board & President

 

Dear Shareholder:

 

The financial markets experienced periods of volatility during the reporting period. Investor sentiment was challenged at times given mixed economic data, uncertainties surrounding future global monetary policy, falling commodity prices and geopolitical issues.

 

For the six-month reporting period ended December 31, 2015

 

The U.S. economy expanded during the reporting period, but the pace was uneven. Looking back, U.S. gross domestic product (“GDP”), which represents the value of goods and services produced in the country, the broadest measure of economic activity and the principal indicator of economic performance, expanded at a 3.9% annual pace during the second quarter of 2015. Economic activity then decelerated, as GDP grew at a 2.0% annual pace during the third quarter of 2015. Finally, the Commerce Department’s initial reading — released after the reporting period had ended — showed that fourth quarter 2015 GDP grew at an annual pace of 0.7%.

 

After nearly a decade of highly accommodative monetary policy, the Federal Reserve (“Fed”) raised interest rates at its meeting in mid-December 2015. The Fed’s action pushed rates from a range between 0% and 0.25% to a range between 0.25% and 0.50%. In its official statement following the meeting, the Fed said, “The Committee expects that economic conditions will evolve in a manner that will warrant only gradual increases in the federal funds rate; the federal funds rate is likely to remain, for some time, below levels that are expected to prevail in the longer run.”

 

Economic activity outside the U.S. was mixed during the reporting period. Anemic growth and concerns of deflation in the eurozone caused the European Central Bank (“ECB”) to announce that beginning in March 2015, it would start a 60 billion-a-month bond-buying program that was expected to run until at least September 2016. In December 2015, continued economic headwinds prompted the ECB to extend its monthly bond-buying program by six months, until at least March 2017.

 

Commodities and emerging markets dominated the news over the reporting period. Crude oil declined from $64 to $37 between June and December, as OPEC continued pumping at close to full capacity and even as U.S. production started to contract. In August 2015, China surprised the markets by allowing its currency to depreciate by nearly 2% against the U.S. dollar, and then spent over $180 billion in foreign reserves over the course of the fourth quarter to support its currency. Meanwhile, Chinese equity markets continued their sharp sell-off, casting a shadow on global risk assets. Elsewhere in emerging markets, the Brazilian political and economic situation continued to deteriorate, culminating in Standard & Poor’s and Fitch downgrading Brazilian foreign currency debt rating to below investment grade.

 

Outlook

 

PIMCO’s baseline view sees U.S. economic growth in the range of 2.0% - 2.5% over the next four quarters — in line with the average growth rate of the U.S. economy during the current expansion — and headline CPI (Consumer Price Index) inflation in a range of 1.5% - 2%. In PIMCO’s view, given moderate global recovery and the strong U.S. dollar, there will be little if any boost to aggregate demand from international trade. On the positive side of the ledger, PIMCO believes that the recent budget agreement between Congress and President Obama will provide the U.S. economy a modest and unexpected fiscal boost from the increase in federal spending. With respect to the Fed, after December’s initial rate hike, the market is pricing in two further quarter-point increases in 2016. PIMCO believes there is a risk that the Fed will deliver more rate hikes than the market is currently pricing in.

 

Overseas, PIMCO’s baseline view for the eurozone is economic growth of around 1.5% over the next four quarters, with inflation from roughly zero in 2015 to about 1% in 2016. PIMCO believes that ECB quantitative easing will have a positive impact on loan growth. However, while net exports should benefit from the cumulative weakening of the

euro, it is PIMCO’s belief that slower growth from the eurozone’s major trading partners may limit the contribution to growth from net exports in 2016. PIMCO sees the prospects of a modest pickup in Japanese growth to about 1% in

 

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2016, versus an estimated 0.6% in 2015. In PIMCO’s view, headline inflation will remain positive in 2016, but at around 0.5 - 1% is well below the Bank of Japan’s target of 2%.

 

In the following pages of this PIMCO Closed-End Funds Semiannual Report, please find specific details regarding investment performance and a discussion of factors that most affected the Funds’ performance over the six months ended December 31, 2015.

 

Thank you for investing with us. We value your trust and will continue to work diligently to meet your investment needs. If you have questions regarding any of your PIMCO Closed-End Funds investments, please contact your financial advisor or call the Funds’ shareholder servicing agent at (844) 33-PIMCO or (844) 337-4626. We also invite you to visit our website at www.pimco.com to learn more about our views.

 

Sincerely,

 

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Hans W. Kertess   Peter G. Strelow
Chairman of the Board   President

 

  SEMIANNUAL REPORT   DECEMBER 31, 2015   3


Important Information About the Funds

 

We believe that bond funds have an important role to play in a well-diversified investment portfolio. It is important to note, however, that in an environment where interest rates trend upward, rising rates would negatively impact the performance of most bond funds, and fixed-income securities held by a Fund are likely to decrease in value. A number of factors can cause interest rates to rise (e.g., central bank monetary policies, inflation rates, general economic conditions, etc.). Accordingly, changes in interest rates can be sudden, and there is no guarantee that Fund Management will anticipate such movement. As of the date of this report, interest rates in the U.S. are at or near historically low levels. As such, bond funds may currently face an increased exposure to the risks associated with rising interest rates. This is especially true since the Federal Reserve Board has concluded its quantitative easing program and, at its meeting on December 16, 2015, raised interest rates for the first time since 2006 from a target range of 0% to 0.25% to a target range of 0.25% to 0.50%. Further, while the U.S. bond market has steadily grown over the past three decades, dealer inventories of corporate bonds have remained relatively stagnant. As a result, there has been a significant reduction in the ability of dealers to “make markets” in corporate bonds. All of the factors mentioned above, individually or collectively, could lead to increased volatility and/or lower liquidity in the fixed income markets, which could result in increased losses to a Fund. Bond funds and individual bonds with a longer duration (a measure of the sensitivity of a security’s price to changes in interest rates) tend to be more sensitive to changes in interest rates, usually making them more volatile than securities or funds with shorter durations. In addition, in the current low interest rate environment, the market price of the Funds’ common shares may be particularly sensitive to changes in interest rates or the perception that there will be a change in interest rates.

 

The use of derivatives may subject the Funds to greater volatility than investments in traditional securities. The Funds may use derivative instruments for hedging purposes or as part of an investment strategy. Use of these instruments may involve certain costs and risks such as liquidity risk, interest rate risk, market risk, call risk, credit risk, management risk and the risk that a Fund could not close out a position when it would be most advantageous to do so. Certain derivative transactions may have a leveraging effect on a Fund. For example, a small investment in a derivative instrument may have a significant impact on a Fund’s exposure to interest rates, currency exchange rates or other investments. As a result, a relatively small price movement in a derivative instrument may cause an immediate and substantial loss or gain, which translates into heightened volatility in a Fund’s net asset value “NAV”. A Fund may engage in such transactions regardless of whether the Fund owns the asset, instrument or components of the index underlying a derivative instrument. A Fund may invest a significant portion of its assets in these types of

instruments. If it does, a Fund’s investment exposure could far exceed the value of its portfolio securities and its investment performance could be primarily dependent upon securities it does not directly own. Changes in regulation relating to a mutual fund’s use of derivatives and related instruments could potentially limit or impact a Fund’s ability to invest in derivatives, limit a Fund’s ability to employ certain strategies that use derivatives and adversely affect the value or performance of derivatives and a Fund.

 

For purposes of applying a Fund’s investment policies and restrictions, swap agreements are generally valued by the Fund at market value. In the case of a credit default swap, however, in applying certain of a Fund’s investment policies and restrictions, the Fund will value the credit default swap at its notional value or its full exposure value (i.e., the sum of the notional amount for the contract plus the market value), but may value the credit default swap at market value for purposes of applying certain of the Fund’s other investment policies and restrictions. For example, a Fund may value credit default swaps at full exposure value for purposes of the Fund’s credit quality guidelines (if any) because such value reflects the Fund’s actual economic exposure during the term of the credit default swap agreement. In this context, both the notional amount and the market value may be positive or negative depending on whether a Fund is selling or buying protection through the credit default swap. The manner in which certain securities or other instruments are valued by a Fund for purposes of applying investment policies and restrictions may differ from the manner in which those investments are valued by other types of investors.

 

A Fund’s use of leverage creates the opportunity for increased income for the Fund’s common shareholders, but also creates special risks. Leverage is a speculative technique that may expose a Fund to greater risk and increased costs. If shorter-term interest rates rise relative to the rate of return on a Fund’s portfolio, the interest and other costs to the Fund of leverage could exceed the rate of return on the debt obligations and other investments held by the Fund, thereby reducing return to the Fund’s common shareholders. In addition, fees and expenses of any form of leverage used by a Fund will be borne entirely by its common shareholders (and not by preferred shareholders, if any) and will reduce the investment return of the Fund’s common shares. There can be no assurance that a Fund’s use of leverage will result in a higher yield on its common shares, and it may result in losses. Leverage creates several major types of risks for a Fund’s common shareholders, including: (1) the likelihood of greater volatility of net asset value and market price of the Fund’s common shares, and of the investment return to the Fund’s common shareholders, than a comparable portfolio without leverage; (2) the possibility either that the Fund’s common share dividends will fall if the interest and other costs of leverage rise, or that dividends paid on the Fund’s common shares will fluctuate

 

 

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because such costs vary over time; and (3) the effects of leverage in a declining market or a rising interest rate environment, as leverage is likely to cause a greater decline in the net asset value of the Fund’s common shares than if the Fund were not leveraged and may result in a greater decline in the market value of the Fund’s common shares.

 

A Fund’s investments in and exposure to foreign securities involve special risks. For example, the value of these investments may decline in response to unfavorable political and legal developments, unreliable or untimely information or economic and financial instability. Foreign securities may experience more rapid and extreme changes in value than investments in securities of U.S. issuers. The securities markets of certain foreign countries are relatively small, with a limited number of companies representing a small number of industries. Issuers of foreign securities are usually not subject to the same degree of regulation as U.S. issuers. Reporting, accounting, auditing and custody standards of foreign countries differ, in some cases significantly, from U.S. standards. Also, nationalization, expropriation or other confiscation, currency blockage, political changes or diplomatic developments could adversely affect a Fund’s investments in foreign securities. In the event of nationalization, expropriation or other confiscation, a Fund could lose its entire investment in foreign securities. Risks associated with investing in foreign securities may be increased when a Fund invests in emerging markets. For example, if a Fund invests in emerging market debt, it may face increased exposure to interest rate, liquidity, volatility, and redemption risk due to the specific economic, political, geographical, or legal background of the emerging market.

 

Investments in loans are generally subject to risks similar to those of investments in other types of debt obligations, including, among others, credit risk, interest rate risk, variable and floating rate securities risk, and, as applicable, risks associated with mortgage-related securities. In addition, in many cases loans are subject to the risks associated with below-investment grade securities. In the case of a loan participation or assignment, a Fund generally has no right to enforce compliance with the terms of the loan agreement with the borrower. As a result, a Fund may be subject to the credit risk of both the borrower and the lender that is selling the loan agreement. In the event of the insolvency of the lender selling a loan participation, a Fund may be treated as a general creditor of the lender and may not benefit from any set-off between the lender and the borrower. The Funds may be subject to heightened or additional risks and potential liabilities and costs by investing in mezzanine and other subordinated loans or acting as an originator of loans, including those arising under bankruptcy, fraudulent conveyance, equitable subordination, lender liability, environmental and other laws and regulations, and risks and costs associated with debt servicing and taking foreclosure actions associated with the loans. To the extent that a Fund originates a loan, it may be responsible for all or a substantial portion of the expenses

associated with initiating the loan, irrespective of whether the loan transaction is ultimately consummated or closed. This may include significant legal and due diligence expenses, which will be indirectly borne by a Fund and its shareholders.

 

Mortgage-related and other asset-backed securities often involve risks that are different from or more acute than risks associated with other types of debt instruments. Generally, rising interest rates tend to extend the duration of fixed rate mortgage-related securities, making them more sensitive to changes in interest rates. As a result, in a period of rising interest rates, if a Fund holds mortgage-related securities, it may experience additional volatility since individual mortgage holders are less likely to exercise prepayment options, thereby putting additional downward pressure on the value of these securities and potentially causing the Fund to lose money. This is known as extension risk. Mortgage-backed securities can be highly sensitive to rising interest rates, such that even small movements can cause an investing Fund to lose value. Mortgage-backed securities, and in particular those not backed by a government guarantee, are subject to credit risk. In addition, adjustable and fixed rate mortgage-related securities are subject to prepayment risk. When interest rates decline, borrowers may pay off their mortgages sooner than expected. This can reduce the returns of the Funds because the Funds may have to reinvest that money at the lower prevailing interest rates. The Funds’ investments in other asset-backed securities are subject to risks similar to those associated with mortgage-related securities, as well as additional risks associated with the nature of the assets and the servicing of those assets. Payment of principal and interest on asset-backed securities may be largely dependent upon the cash flows generated by the assets backing the securities, and asset-backed securities may not have the benefit of any security interest in the related assets.

 

High-yield bonds (commonly referred to as “junk bonds”) typically have a lower credit rating than other bonds. Lower-rated bonds generally involve a greater risk to principal than higher-rated bonds. Further, markets for lower-rated bonds are typically less liquid than for higher rated bonds, and public information is usually less abundant in such markets. Thus, high yield investments increase the chance that a Fund will lose money on its investment. The Funds may also invest in bonds and other instruments that are not rated, but which PIMCO considers to be equivalent to high-yield investments. The Funds may hold defaulted securities that may involve special considerations including bankruptcy proceedings, other regulatory and legal restrictions affecting the Funds’ ability to trade, and the availability of prices from independent pricing services or dealer quotations. Defaulted securities are often illiquid and may not be actively traded. Sale of securities in bankrupt companies at an acceptable price may be difficult and differences compared to the value of the securities used by the Funds could be material.

 

 

  SEMIANNUAL REPORT   DECEMBER 31, 2015   5


Important Information About the Funds (Cont.)

 

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

 

The global economic crisis brought several small economies in Europe to the brink of bankruptcy and many other economies into recession and weakened the banking and financial sectors of many European countries. For example, the governments of Greece, Spain, Portugal, and the Republic of Ireland have all experienced large public budget deficits, the effects of which are still yet unknown and may slow the overall recovery of the European economies from the global economic crisis. In addition, due to large public deficits, some European countries may be dependent on assistance from other European governments and institutions or other central banks or supranational agencies such as the International Monetary Fund. Assistance may be dependent on a country’s implementation of reforms or reaching a certain level of performance. Failure to reach those objectives or an insufficient level of assistance could result in a deep economic downturn which could significantly affect the value of a Fund’s European investments. It is possible that one or more Economic and Monetary Union of the European Union (“EMU”) member countries could abandon the euro and return to a national currency and/or that the euro will cease to exist as a single currency in its current form. The exit of any country out of the euro may have an extremely destabilizing effect on other eurozone countries and their economies and a negative effect on the global economy as a whole. Such an exit by one country may also increase the possibility that additional countries may exit the euro should they face similar financial difficulties.

 

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

limited volume of trading, resulting in difficulty in obtaining accurate prices. The Russian securities market, as compared to U.S. markets, has significant price volatility, less liquidity, a smaller market capitalization and a smaller number of traded securities. There may be little publicly available information about issuers. Settlement, clearing and registration of securities transactions are subject to risks because of registration systems that may not be subject to effective government supervision. This may result in significant delays or problems in registering the transfer of securities. Russian securities laws may not recognize foreign nominee accounts held with a custodian bank, and therefore the custodian may be considered the ultimate owner of securities they hold for their clients. Ownership of securities issued by Russian companies is recorded by companies themselves and by registrars instead of through a central registration system. It is possible that the ownership rights of the Funds could be lost through fraud or negligence. While applicable Russian regulations impose liability on registrars for losses resulting from their errors, it may be difficult for the Funds to enforce any rights it may have against the registrar or issuer of the securities in the event of loss of share registration. Adverse currency exchange rates are a risk and there may be a lack of available currency hedging instruments. Investments in Russia may be subject to the risk of nationalization or expropriation of assets. Oil, natural gas, metals, and timber account for a significant portion of Russia’s exports, leaving the country vulnerable to swings in world prices.

 

The common shares of the Funds trade on the New York Stock Exchange. As with any stock, the price of a Fund’s common shares will fluctuate with market conditions and other factors. If you sell your common shares of a Fund, the price received may be more or less than your original investment. Shares of closed-end management investment companies frequently trade at a discount from their net asset value. The common shares of a Fund may trade at a price that is less than the initial offering price and/or the net asset value of such shares. Further, if a Fund’s shares trade at a price that is more than the initial offering price and/or the net asset value of such shares, including at a substantial premium and/or for an extended period of time, there is no assurance that any such premium will be sustained for any period of time and will not decrease, or that the shares will not trade at a discount to net asset value thereafter.

 

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

 

 

6   PIMCO CLOSED-END FUNDS     


 

If the Fund estimates that a portion of one of its dividend distributions may be comprised of amounts from sources other than net investment income, the Fund will notify shareholders of record of the estimated composition of such distribution through a Section 19 Notice. To determine the sources of the Fund’s distributions, the Fund references its accounting records at the time the distribution is paid. If, based on such accounting records, a particular distribution does not include capital gains or paid-in surplus or other capital sources, a Section 19 Notice generally will not be issued. It is important to note that differences exist between a Fund’s accounting entries maintained on a day-to-day basis, the Fund’s financial statements presented in accordance with U.S. GAAP, and accounting practices under income tax regulations. Examples of such differences may include the treatment of paydowns on mortgage-backed securities purchased at a discount and periodic payments under interest rate swap contracts. A Fund may not issue a Section 19 Notice in situations where the Fund’s financial statements prepared later and in accordance with U.S. GAAP or the final tax character of those distributions might later report that the sources of those distributions included capital gains and/or a return of capital. Please visit www.pimco.com for the most recent Section 19 Notice, if applicable, for additional information regarding the composition of distributions. Final determination of a distribution’s tax character will be reported on Form 1099 DIV sent to shareholders each January.

 

The Funds may be subject to various risks in addition to those described above. Some of these risks may include, but are not limited to, the following: asset allocation risk, credit risk, stressed securities risk, distressed and defaulted securities risk, corporate bond risk, market risk, issuer risk, liquidity risk, equity securities and related market risk, mortgage-related and other asset-backed securities risk, extension risk, prepayment risk, privately issued mortgage-related securities risk, mortgage market/ subprime risk, foreign (non-U.S.) investment risk, emerging markets risk, currency risk, redenomination risk, non-diversification risk, management risk, municipal bond risk, inflation-indexed security risk, senior debt risk, loans, participations and assignments risk, reinvestment risk, real estate risk, U.S. Government securities risk, foreign (non-U.S.) government securities risk, valuation risk, segregation and cover risk, focused investment risk, credit default swaps risk, event-linked securities risk, counterparty risk, preferred securities risk, confidential information access risk, other investment companies risk, private placements risk, inflation/deflation risk, regulatory risk, tax risk, recent economic conditions risk, market disruptions and geopolitical risk, potential conflicts of interest involving allocation of investment opportunities, repurchase agreements risk, securities lending risk, zero-coupon bond and payment-in-kind securities risk, portfolio turnover risk, smaller company risk, short

sale risk and convertible securities risk. A description of certain of these risks is available in the Notes to Financial Statements of this Report.

 

On each Fund Summary page in this Shareholder Report, the Average Annual Total Return table measures performance assuming that all dividend and capital gain distributions were reinvested. Total return is calculated by determining the percentage change in NAV or market price (as applicable) in the specified period. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total return for a period of more than one year represents the average annual total return. Performance at market price will differ from results at NAV. Although market price returns tend to reflect investment results over time, during shorter periods returns at market price can also be influenced by factors such as changing views about a Fund, market conditions, supply and demand for the Fund’s shares, or changes in the Fund’s dividends. Performance shown is net of fees and expenses.

 

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

 

Fund Name       Commencement
of Operations
    Diversification
Status

PCM Fund, Inc.

      09/02/93      Diversified

PIMCO Global StocksPlus® & Income Fund

      05/31/05      Diversified

PIMCO Income Opportunity Fund

      11/30/07      Diversified

PIMCO Strategic Income Fund, Inc.

      02/24/94      Diversified

PIMCO Dynamic Credit Income Fund

      01/31/13      Diversified

PIMCO Dynamic Income Fund

      05/30/12      Diversified

 

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

 

The Trustees/Directors1 are responsible generally for overseeing the management of the Funds. The Trustees authorize the Funds to enter into service agreements with the Investment Manager and other service providers in order to provide, and in some cases authorize service providers to procure through other parties, necessary or desirable services on behalf of the Funds. Shareholders are not parties to or third-party beneficiaries of such service agreements. Neither a Fund’s original or any subsequent prospectus or Statement of Additional Information (SAI), any press release or shareholder report, any contracts filed as exhibits to a Fund’s registration statement, nor any other communications, disclosure documents or regulatory filings from or on behalf of a Fund creates a contract between or among any shareholder of a Fund, on the one hand, and the Fund, a service provider to the

 

 

 

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

 

  SEMIANNUAL REPORT   DECEMBER 31, 2015   7


Important Information About the Funds (Cont.)

 

Fund, and/or the Trustees or officers of the Fund, on the other hand. The Trustees (or the Funds and their officers, service providers or other delegates acting under authority of the Trustees) may amend its most recent or use a new prospectus or SAI with respect to a Fund, adopt and disclose new or amended policies and other changes in press releases and shareholder reports and/or amend, file and/or issue any other communications, disclosure documents or regulatory filings, and may amend or enter into any contracts to which a Fund is a party, and interpret the investment objective(s), policies, restrictions and contractual provisions applicable to any Fund, without shareholder input or approval, except in circumstances in which shareholder approval is specifically required by law (such as changes to fundamental investment policies) or where a shareholder approval requirement was specifically disclosed in a Fund’s prospectus, SAI or shareholder report and is otherwise still in effect.

 

PIMCO has adopted written proxy voting policies and procedures (“Proxy Policy”) as required by Rule 206(4)-6 under the Investment Advisers Act of 1940. The Proxy Policy has been adopted by the Funds as the policies and procedures that PIMCO will use when voting proxies on behalf of the Funds. A description of the policies and procedures

that PIMCO uses to vote proxies relating to portfolio securities of each Fund, and information about how each Fund voted proxies relating to portfolio securities held during the most recent twelve-month period ended June 30, are available without charge, upon request, by calling the Funds at (844) 33-PIMCO (844-337-4626), on the Funds’ website at www.pimco.com, and on the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.

 

Each Fund files a complete schedule of its portfolio holdings with the SEC for the first and third quarters of its fiscal year on Form N-Q. A copy of each Fund’s Form N-Q is available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C., and is available without charge, upon request by calling the Funds at (844) 33-PIMCO (844-337-4626) and on the Funds’ website at www.pimco.com. Updated portfolio holdings information about a Fund will be available at www.pimco.com approximately 15 calendar days after such Fund’s most recent fiscal quarter end, and will remain accessible until such Fund files a Form N-Q or a shareholder report for the period which includes the date of the information. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

 

 

8   PIMCO CLOSED-END FUNDS     


PCM Fund, Inc.

 

Symbol on NYSE - PCM

 

Allocation Breakdown

 

Non-Agency Mortgage-Backed Securities

    43.1%   

Asset-Backed Securities

    31.7%   

Corporate Bonds & Notes

    16.7%   

Short-Term Instruments

    3.6%   

Bank Loan Obligations

    2.9%   

Other

    2.0%   
   

% of Investments, at value as of 12/31/15. Financial derivative instruments, if any, are excluded.

 

Fund Information (as of December 31, 2015)(1)

 

Market Price

    $9.24   

NAV

    $9.82   

Premium/(Discount) to NAV

    (5.91)%   

Market Price Distribution Yield(2)

    10.39%   

NAV Distribution Yield(2)

    9.78%   

Total Effective Leverage(3)

    45%   
 

 

Average Annual Total Return(1) for the period ended December 31, 2015  
    6 Month*     1 Year     5 Year     10 Year     Commencement
of Operations
(09/02/93)
 
Market Price     (3.38)%        (4.62)%        6.78%        6.75%        7.90%   
NAV     (3.68)%        0.37%        10.23%        9.52%        8.79%   

 

All Fund returns are net of fees and expenses.

 

* Cumulative return

 

(1) 

Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Total return, market price, NAV, market price distribution yield, and NAV distribution yield will fluctuate with changes in market conditions. For performance current to the most recent month-end, visit www.pimco.com or call (844) 33-PIMCO.

 

(2) 

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

 

(3) 

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

 

Investment Objective and Strategy Overview

 

»  

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

 

Fund Insights

 

»  

For the period from July 1, 2015 through December 31, 2015, the Fund’s allocation to high yield corporate bonds was the primary detractor from performance. The asset class sold off amid broad commodity weakness and retail fund outflows late in the reporting period.

 

»  

Within high yield, the Fund’s exposure to energy, as well as select names in media and telecommunications, were the key detractors. Exposure to utilities, manufacturing and raw materials credits further dampened returns.

 

»  

The Fund’s allocation to commercial mortgage-backed securities was a significant contributor to performance, supported by their attractive carry, the rate of interest earned by holding the respective securities.

 

»  

The Fund’s exposure to U.S. interest rates was a significant contributor to performance, due mainly to an emphasis on the intermediate portion of the curve, which provided an attractive carry during a period when rates were mostly flat.

 

»  

The Fund’s allocation to non-agency mortgage-backed securities was a modest contributor to returns. The sector continued to benefit from an improving U.S. housing market and limited outstanding supply.

 

  SEMIANNUAL REPORT   DECEMBER 31, 2015   9


PIMCO Global StocksPLUS® & Income Fund

 

Symbol on NYSE - PGP

 

Allocation Breakdown

 

Non-Agency Mortgage-Backed Securities

    44.4%   

Corporate Bonds & Notes

    27.3%   

Short-Term Instruments

    13.8%   

Asset-Backed Securities

    8.5%   

Bank Loan Obligations

    1.9%   

Other

    4.1%   
   

% of Investments, at value as of 12/31/15. Financial derivative instruments, if any, are excluded.

 

Fund Information (as of December 31, 2015)(1)

 

Market Price

    $18.12   

NAV

    $10.88   

Premium/(Discount) to NAV

    66.54%   

Market Price Distribution Yield(2)

    12.14%   

NAV Distribution Yield(2)

    20.22%   

Total Effective Leverage(3)

    41%   
 

 

Average Annual Total Return(1) for the period ended December 31, 2015  
    6 Month*     1 Year     5 Year     10 Year     Commencement
of Operations
(05/31/05)
 
Market Price     14.55%        5.41%        7.65%        12.92%        11.79%   
NAV     (7.30)%        0.60%        11.60%        10.83%        11.28%   

 

All Fund returns are net of fees and expenses.

 

* Cumulative return

 

(1) 

Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Total return, market price, NAV, market price distribution yield, and NAV distribution yield will fluctuate with changes in market conditions. For performance current to the most recent month-end, visit www.pimco.com or call (844) 33-PIMCO.

 

(2) 

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

 

(3) 

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

 

Investment Objective and Strategy Overview

 

»  

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

 

Fund Insights

 

»  

Exposure to the S&P 500 Index and the MSCI EAFE Index through equity index derivatives was a primary detractor from absolute returns. During the reporting period, international equities (as represented by the MSCI EAFE Index) declined -6.01% and U.S. equities (as represented by the S&P 500 Index) were basically flat.

 

»  

The fixed income portfolio that backs the equity index derivatives also detracted from returns, alongside weakness in corporate and emerging market credits.

 

»  

Exposure to high yield corporate bonds had a major negative impact on performance. High yield spreads widened amid broad commodity weakness and retail fund outflows late in the reporting period. Corporate credits associated with energy and raw materials, as well as select names in manufacturing, media and telecommunications, were among the worst performers.

 

»  

Exposure to local and hard currency-denominated Brazilian debt was another significant detractor from returns. During the reporting period, Brazil was negatively impacted by its slowing economy, high inflation and a political crisis.

 

»  

A yield curve-steepening strategy implemented through U.S. dollar interest rate swaps detracted from performance as the swap curve flattened.

 

»  

Exposure to residential non-agency mortgages added modestly to performance, as these securities benefited from an improving housing market and limited supply.

 

»  

A defensive option strategy involving written at-the-money calls and purchased out-of-the-money puts on S&P 500 futures contracts had a positive impact on performance.

 

10   PIMCO CLOSED-END FUNDS     


PIMCO Income Opportunity Fund

 

Symbol on NYSE - PKO

 

Allocation Breakdown

 

Corporate Bonds & Notes

    31.5%   

Asset-Backed Securities

    29.6%   

Non-Agency Mortgage-Backed Securities

    27.4%   

Short-Term Instruments

    3.2%   

Convertible Preferred Securities

    3.0%   

Other

    5.3%   
   

% of Investments, at value as of 12/31/15. Financial derivative instruments, if any, are excluded.

 

Fund Information (as of December 31, 2015)(1)

 

Market Price

    $21.17   

NAV

    $22.68   

Premium/(Discount) to NAV

    (6.66)%   

Market Price Distribution Yield(2)

    10.77%   

NAV Distribution Yield(2)

    10.05%   

Total Effective Leverage(3)

    42%   
 

 

Average Annual Total Return(1) for the period ended December 31, 2015  
    6 Month*     1 Year     5 Year     Commencement
of Operations
(11/30/07)
 
Market Price     (5.86)%        (4.91)%        8.18%        9.92%   
NAV     (6.41)%        (1.70)%        9.42%        11.49%   

 

All Fund returns are net of fees and expenses.

 

* Cumulative return

 

(1) 

Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Total return, market price, NAV, market price distribution yield, and NAV distribution yield will fluctuate with changes in market conditions. For performance current to the most recent month-end, visit www.pimco.com or call (844) 33-PIMCO.

 

(2) 

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

 

(3) 

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

 

Investment Objective and Strategy Overview

 

»  

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

 

Fund Insights

 

»  

For the period from July 1, 2015 through December 31, 2015, the Fund’s allocation to high yield corporate bonds was the primary detractor from performance, as the asset class struggled amid broad commodity weakness and retail fund outflows late in the reporting period.

 

»  

Within high yield, exposure to banking and brokerage, utilities, energy, telecommunications, media, raw materials and manufacturing credits detracted from results.

 

»  

Exposure to local and hard currency-denominated Brazilian debt was a major detractor from returns. Brazil was negatively impacted by its slowing economy, high inflation and a political crisis.

 

»  

The Fund’s exposure to U.S. dollar-denominated Russian quasi-sovereign bonds contributed meaningfully to returns. Spreads on these issues continued to retrace much of the widening that occurred during the second half of 2014 as geopolitical tensions in the region eased and investor sentiment improved.

 

»  

The Fund’s exposure to U.S. interest rates was modestly positive for performance given the carry, the rate of interest earned by holding the respective securities, associated with such exposure. This positive impact, however, was partially offset by strategies designed to benefit from rising long-term interest rates, as long-term yields fell during the reporting period.

 

»  

The Fund’s allocation to securitized credit was a modest contributor to performance. Positive contributions from commercial mortgage-backed securities, structured credit and lower-beta non-agency residential mortgage-backed securities were partially offset by negative contributions from higher-beta non-agency residential mortgage-backed securities.

 

  SEMIANNUAL REPORT   DECEMBER 31, 2015   11


PIMCO Strategic Income Fund, Inc.

 

Symbol on NYSE - RCS

 

Allocation Breakdown

 

U.S. Government Agencies

    57.0%   

Non-Agency Mortgage-Backed Securities

    16.1%   

Corporate Bonds & Notes

    10.7%   

U.S. Treasury Obligations

    7.4%   

Asset-Backed Securities

    6.4%   

Short-Term Instruments

    0.9%   

Other

    1.5%   
   

% of Investments, at value as of 12/31/15. Financial derivative instruments, if any, are excluded.

Fund Information (as of December 31, 2015)(1)

 

Market Price

    $8.95   

NAV

    $8.03   

Premium/(Discount) to NAV

    11.46%   

Market Price Distribution Yield(2)

    10.73%   

NAV Distribution Yield(2)

    11.96%   

Total Effective Leverage(3)

    28%   
 

 

Average Annual Total Return(1) for the period ended December 31, 2015  
    6 Month*     1 Year     5 Year     10 Year     Commencement
of Operations
(02/24/94)
 
Market Price     9.45%        5.96%        9.15%        10.22%        8.93%   
NAV     (0.36)%        3.89%        8.97%        10.37%        8.62%   

 

All Fund returns are net of fees and expenses.

 

* Cumulative return

 

(1) 

Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Total return, market price, NAV, market price distribution yield, and NAV distribution yield will fluctuate with changes in market conditions. For performance current to the most recent month-end, visit www.pimco.com or call (844) 33-PIMCO.

 

(2) 

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

 

(3) 

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

 

Investment Objective and Strategy Overview

 

»  

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

 

Fund Insights

 

»  

For the period from July 1, 2015 through December 31, 2015, the Fund’s allocation to securitized credit was a primary contributor to performance. In particular, the positive contribution from exposure to both agency and non-agency residential mortgage-backed securities boosted returns given an improving U.S. housing market.

 

»  

The Fund’s exposure to local and hard currency-denominated Brazilian debt was a major detractor from returns. Brazil was negatively impacted by its slowing economy, high inflation and a political crisis.

 

»  

The Fund’s exposure to U.S. interest rates was substantially negative for performance. In particular, strategies designed to benefit from rising long-term interest rates hurt performance as long-term yields fell during the reporting period.

 

»  

The Fund’s allocation to high yield corporate bonds modestly detracted from performance. The asset class struggled amid broad commodity weakness and retail fund outflows late in the reporting period.

 

»  

The Fund’s exposure to U.S. dollar-denominated Russian quasi-sovereign bonds contributed meaningfully to returns. Spreads on these issues continued to retrace much of the widening that occurred during the second half of 2014 as geopolitical tensions in the region eased and investor sentiment improved.

 

»  

Within investment grade credit, exposure to banking/brokerage and utilities modestly contributed to returns, as balance sheet strengthening and improving profitability in the former and the defensive nature of the latter benefited the Fund.

 

12   PIMCO CLOSED-END FUNDS     


PIMCO Dynamic Credit Income Fund

 

Symbol on NYSE - PCI

 

Allocation Breakdown

 

Asset-Backed Securities

    44.4%   

Non-Agency Mortgage-Backed Securities

    25.3%   

Corporate Bonds & Notes

    22.9%   

Bank Loan Obligations

    2.9%   

Short-Term Instruments

    2.2%   

Other

    2.3%   
   

% of Investments, at value as of 12/31/15. Financial derivative instruments, if any, are excluded.

 

Fund Information (as of December 31, 2015)(1)

 

Market Price

    $18.03   

NAV

    $20.42   

Premium/(Discount) to NAV

    (11.70)%   

Market Price Distribution Yield(2)

    10.92%   

NAV Distribution Yield(2)

    9.64%   

Total Effective Leverage(3)

    46%   
 

 

Average Annual Total Return(1) for the period ended December 31, 2015  
    6 Month*     1 Year     Commencement
of Operations
(01/31/13)
 
Market Price     (4.74)%        (2.62)%        (0.97)%   
NAV     (6.18)%        (1.53)%        4.25%   

 

All Fund returns are net of fees and expenses.

 

* Cumulative return

 

(1) 

Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Total return, market price, NAV, market price distribution yield, and NAV distribution yield will fluctuate with changes in market conditions. For performance current to the most recent month-end, visit www.pimco.com or call (844) 33-PIMCO.

 

(2) 

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

 

(3) 

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

 

Investment Objective and Strategy Overview

 

»  

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

 

Fund Insights

 

»  

For the period July 1, 2015 through December 31, 2015, the Fund’s allocation to high yield corporate bonds was the primary detractor from performance, as the asset class struggled amid broad commodity weakness and retail fund outflows late in the reporting period.

 

»  

Exposure to local and hard currency-denominated Brazilian debt was a significant detractor from returns. Brazil was negatively impacted by its slowing economy, high inflation and a political crisis.

 

»  

The Fund’s allocation to securitized credit detracted from performance. On the upside, positions in prime and lower-beta non-agency residential mortgage-backed securities and commercial mortgage-back securities contributed to returns. However, this was more than offset by weakness in the Fund’s higher-beta non-agency residential mortgage-backed securities.

 

»  

The Fund’s exposure to dollar-denominated Russian quasi-sovereign bonds had a positive impact on performance. The spreads on these issues continued to retrace much of the widening that occurred during the second half of 2014, as geopolitical tensions in the region eased and investor sentiment improved.

 

»  

The Fund’s exposure to U.S. interest rates was modestly positive for performance given the carry, the rate of interest earned by holding the respective securities, associated with such exposure. This positive impact, however, was partially offset by strategies designed to benefit from rising long-term interest rates, as long-term yields fell during the reporting period.

 

»  

Within investment grade credit, exposure to banking/brokerage and utilities modestly contributed to returns, as balance sheet strengthening and improving profitability in the former and the defensive nature of the latter benefited the Fund.

 

  SEMIANNUAL REPORT   DECEMBER 31, 2015   13


PIMCO Dynamic Income Fund

 

Symbol on NYSE - PDI

 

Allocation Breakdown

 

Non-Agency Mortgage-Backed Securities

    55.6%   

Asset-Backed Securities

    23.8%   

Corporate Bonds & Notes

    12.8%   

Short-Term Instruments

    3.7%   

Sovereign Issues

    1.4%   

Other

    2.7%   
   

% of Investments, at value as of 12/31/15. Financial derivative instruments, if any, are excluded.

Fund Information (as of December 31, 2015)(1)

 

Market Price

    $27.36   

NAV

    $27.17   

Premium/(Discount) to NAV

    0.70%   

Market Price Distribution Yield(2)

    9.67%   

NAV Distribution Yield(2)

    9.74%   

Total Effective Leverage(3)

    48%   
 

 

Average Annual Total Return(1) for the period ended December 31, 2015  
    6 Month*     1 Year     Commencement
of Operations
(05/30/12)
 
Market Price     7.31%        6.16%        17.12%   
NAV     (0.96)%        4.54%        18.56%   

 

All Fund returns are net of fees and expenses.

 

* Cumulative return

 

(1) 

Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Total return, market price, NAV, market price distribution yield, and NAV distribution yield will fluctuate with changes in market conditions. For performance current to the most recent month-end, visit www.pimco.com or call (844) 33-PIMCO.

 

(2) 

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

 

(3) 

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

 

Investment Objective and Strategy Overview

 

»  

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

 

Fund Insights

 

»  

For the period July 1, 2015 through December 31, 2015, exposure to local and hard currency-denominated Brazilian debt was a primary detractor from returns. Brazil was negatively impacted by its slowing economy, high inflation and a political crisis.

 

»  

The Fund’s allocation to high yield corporate bonds significantly detracted from performance, as the asset class struggled amid broad commodity weakness and retail fund outflows late in the reporting period.

 

»  

The Fund’s allocation to securitized credit contributed to performance. Positions in prime and lower-beta non-agency residential mortgage-backed securities and commercial mortgage-back securities contributed to returns. However, this was partially offset by weakness in the Fund’s higher-beta non-agency residential mortgage-backed securities.

 

»  

The Fund’s exposure to dollar-denominated Russian quasi-sovereign bonds had a positive impact on performance. The spreads on these issues continued to retrace much of the widening that occurred during the second half of 2014, as geopolitical tensions in the region eased and investor sentiment improved.

 

»  

Within investment grade credit, exposure to banking/brokerage and utilities modestly contributed to returns, as balance sheet strengthening and improving profitability in the former and the defensive nature of the latter benefited the Fund.

 

»  

The Fund’s exposure to U.S. interest rates was modestly positive for performance given the carry, the rate of interest earned by holding the respective securities, associated with such exposure. This positive impact, however, was partially offset by strategies designed to benefit from rising long-term interest rates, as long-term yields fell during the reporting period.

 

14   PIMCO CLOSED-END FUNDS     


 

 

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  SEMIANNUAL REPORT   DECEMBER 31, 2015   15


Financial Highlights

 

          Investment Operations         Less Distributions  
                                                     
        
Net Asset Value
Beginning of
Year or
Period
    Net Investment
Income  (a)
    Net Realized/
Unrealized
Gain (Loss)
    Total          From Net
Investment
Income (b)
    From Net
Realized
Capital (Loss) (b)
    Tax Basis
Return of
Capital (b)
    Total  

PCM Fund, Inc.

                 

07/01/2015 - 12/31/2015+

  $ 10.68      $ 0.42      $   (0.80   $   (0.38       $   (0.48   $ 0.00      $ 0.00      $ (0.48

01/01/2015 - 06/30/2015(e)

    10.72        0.44        0.00     0.44            (0.48     0.00        0.00        (0.48 )(j) 

12/31/2014

    11.17        0.94        (0.34     0.60            (1.05     0.00        0.00        (1.05

12/31/2013

    11.35        1.12        (0.20     0.92            (1.10     0.00        0.00        (1.10

12/31/2012

    9.48        1.06        1.93        2.99            (1.12     0.00        0.00        (1.12

12/31/2011

    9.88        1.13        (0.47     0.66            (1.06     0.00        0.00        (1.06

12/31/2010

    7.73        1.12        2.29        3.41            (1.26     0.00        0.00        (1.26

PIMCO Global StocksPLUS® & Income Fund

                 

07/01/2015 - 12/31/2015+

  $ 12.88      $ 0.52      $ (1.42   $ (0.90       $ (1.10   $ 0.00      $ 0.00      $ (1.10

04/01/2015 - 06/30/2015(f)

    12.82        0.34        0.27        0.61            (0.55     0.00        0.00        (0.55 )(j) 

03/31/2015

    14.72        1.15        (0.85     0.30            (2.20     0.00        0.00        (2.20

03/31/2014

    14.32        1.39        1.21        2.60            (2.20     0.00        0.00        (2.20

03/31/2013

    12.57        1.38        2.57        3.95            (2.20     0.00        0.00        (2.20

03/31/2012

    14.88        1.61        (1.72     (0.11         (2.20     0.00        0.00        (2.20

03/31/2011

    12.52        1.75        2.81        4.56            (2.20     0.00        0.00        (2.20

PIMCO Income Opportunity Fund

                 

07/01/2015 - 12/31/2015+

  $ 25.94      $ 1.11      $ (2.72   $ (1.61       $ (1.14   $   (0.51   $ 0.00      $ (1.65

11/01/2014 - 06/30/2015(g)

    28.38        1.54        (0.86     0.68            (2.34     (0.77       (0.01     (3.12 )(j) 

10/31/2014

    28.67        2.71        (0.12     2.59            (2.88     0.00        0.00        (2.88

10/31/2013

    27.86        2.87        0.77        3.64            (2.83     0.00        0.00        (2.83

10/31/2012

    24.62        2.61        3.69        6.30            (3.06     0.00        0.00        (3.06

10/31/2011

    26.97        3.24        (2.20     1.04            (3.39     0.00        0.00        (3.39

10/31/2010

    21.40        3.11        4.58        7.69            (2.12     0.00        0.00        (2.12

PIMCO Strategic Income Fund, Inc.

                 

07/01/2015 - 12/31/2015+

  $ 8.58      $ 0.35      $ (0.38   $ (0.03       $ (0.52   $ 0.00      $ 0.00      $ (0.52

02/01/2015 - 06/30/2015(h)

    8.57        0.30        0.11        0.41            (0.40     0.00        0.00        (0.40 )(j) 

01/31/2015

    9.24        0.90        (0.55     0.35            (1.02     0.00        0.00        (1.02

01/31/2014

    9.66        0.99        (0.30     0.69            (1.11     0.00        0.00        (1.11

01/31/2013

    8.91        1.05        0.95        2.00            (1.25     0.00        0.00        (1.25

01/31/2012

    9.97        1.36        (1.03     0.33            (1.39     0.00        0.00        (1.39

01/31/2011

    9.08        1.27        1.04        2.31            (1.42     0.00        0.00        (1.42

PIMCO Dynamic Credit Income Fund (Consolidated)

                 

07/01/2015 - 12/31/2015+

  $ 23.00      $ 0.57      $ (1.95   $ (1.38       $ (1.20   $ 0.00      $ 0.00      $ (1.20

01/01/2015 - 06/30/2015(e)

    22.83        0.76        0.35        1.11            (0.94     0.00        0.00        (0.94 )(j) 

12/31/2014

    24.04        1.79        (0.53     1.26            (2.47     0.00        0.00        (2.47

01/31/2013 - 12/31/2013

    23.88        1.33        0.76        2.09            (1.68     (0.24     0.00        (1.92

PIMCO Dynamic Income Fund (Consolidated)

                 

07/01/2015 - 12/31/2015+

  $   31.38      $   1.44      $ (1.74   $ (0.30       $ (2.92   $ (0.99   $ 0.00      $   (3.91

04/01/2015 - 06/30/2015(f)

    30.74        0.80        0.47        1.27            (0.63     0.00        0.00        (0.63 )(j) 

03/31/2015

    32.11        3.25        (0.49     2.76            (4.13     0.00        0.00        (4.13

03/31/2014

    30.69        3.70        1.24        4.94            (3.29     (0.23     0.00        (3.52

05/30/2012 - 03/31/2013

    23.88        2.79        6.50        9.29            (2.18     (0.27     0.00        (2.45

 

+ Unaudited
* Annualized
^ Reflects an amount rounding to less than one cent.
(a)

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

(b) 

Determined in accordance with federal income tax regulations, see Note 2(c) in the Notes to Financial Statements for more information.

(c)

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

 

16   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


      Common Share         Ratios/Supplemental Data  
                                  Ratios to Average Net Assets  
Offering
Cost
Charged to
Paid in Capital
in Excess of Par
    Net Asset
Value End of
Year or
Period
    Market Price
End of Year
or Period
    Total
Investment
Return  (c)
         Net Assets
End of Year or
Period (000s)
    Expenses (d)     Expenses
Excluding
Interest
Expense (d)
    Expenses
Excluding
Interest
Expense and
Waivers
    Net
Investment
Income
    Portfolio
Turnover
Rate
 
                   
$ N/A      $ 9.82      $ 9.24        (3.38 )%        $ 113,316        2.54 %*      1.58 %*      1.58 %*      8.00 %*      9
  N/A        10.68        10.05        (1.28         123,235        2.26     1.54     1.54     8.32     20   
  N/A        10.72        10.65        0.34            123,633        1.89        1.40        1.40        8.38        11   
  N/A        11.17        11.65        6.49            128,672        2.05        1.52        1.52        9.75        6   
  N/A        11.35        12.02        23.34            130,461        2.59        1.76        1.76        10.05        13   
  N/A        9.48        10.77        10.43            108,810        2.44        1.75        1.75        11.30        26   
  N/A        9.88        10.80        54.01            113,020        2.41        1.75        1.75        11.91        28   
                   
$ N/A      $ 10.88      $ 18.12        14.55       $ 115,016        2.45 %*      1.73 %*      1.73 %*      8.58 %*      9
  N/A        12.88        16.92        (21.82         135,468        2.34     1.72     1.72     10.35     3   
  N/A        12.82        22.27        4.05            134,594        2.30        1.78        1.78        8.29        92   
  N/A        14.72        23.67        19.44            153,393        1.94        1.67        1.67        9.62        197   
  N/A        14.32        21.95        21.57            148,170        2.64        2.10        2.10        10.75        33   
  N/A        12.57        20.18        (8.00         128,952        2.71        2.12        2.12        12.70        90   
  N/A        14.88        24.48        43.45            150,881        2.81        2.20        2.20        13.07        80   
                   
$ N/A      $ 22.68      $ 21.17        (5.86 )%        $ 339,424        2.50 %*      1.72 %*      1.72 %*      8.78 %*      5
  N/A        25.94        24.20        0.22            388,353        2.43     1.79     1.79     8.93     14   
  N/A        28.38        27.26        4.39            424,632        2.01        1.65        1.65        9.44        175   
  N/A        28.67        28.90        6.81            426,561        1.93        1.66        1.66        10.03        65   
  N/A        27.86        29.85        26.98            411,976        2.29        1.86        1.86        10.38        57   
  N/A        24.62        26.45        11.68            359,909        2.44        1.93        1.93        12.40        194   
  N/A        26.97        26.92        39.51            391,730        2.36        1.86        1.86        13.07        77   
                   
$ N/A      $ 8.03      $ 8.95        9.45       $ 336,374        1.24 %*      0.96 %*      0.96 %*      8.31 %*      35
  N/A        8.58        8.69        (5.81         357,692        1.16     0.96     0.96     8.58     17   
  N/A        8.57        9.65        5.92            355,942        1.18        0.98        0.98        10.01        90   
  N/A        9.24        10.12        (4.58         379,762        1.39        1.00        1.00        10.48        208   
  N/A        9.66        11.84        12.21            392,317        1.55        1.00        1.00        11.14        293   
  N/A        8.91        11.80        28.34            357,712        1.48        1.01        1.01        14.27        147   
  N/A        9.97        10.44        11.82            394,695        1.43        1.04        1.04        12.98        168   
                   
$ N/A      $   20.42      $   18.03        (4.74 )%        $   2,801,620        2.95 %*      1.99 %*      1.99 %*      5.12 %*      14
  N/A        23.00        20.18        2.23            3,155,689        2.63     1.97     1.97     6.71     31   
    (0.00 )^      22.83        20.65        2.68            3,132,146        2.36        1.91        1.91        7.29        35   
  (0.01     24.04        22.48        (2.79         3,298,673        1.52     1.42     1.42     6.06     76   
                   
$ N/A      $ 27.17      $ 27.36        7.31       $ 1,246,052        3.34 %*      2.07 %*      2.07 %*      9.29 %*      6
  N/A        31.38        29.21        2.87            1,426,891        2.83     2.01     2.01     10.23     5   
  N/A        30.74        29.00        9.04            1,397,987        3.12        2.12        2.12        9.97        10   
  N/A        32.11        30.32        9.62            1,458,961        3.15        2.17        2.17        11.90        18   
  (0.03     30.69        31.10        35.21            1,393,099        2.91     2.04     2.04     12.04     16   

 

(d)

Interest expense primarily relates to participation in borrowing and financing transactions. See Note 5 in the Notes to Financial Statements for more information.

(e)

Fiscal year end changed from December 31st to June 30th.

(f)

Fiscal year end changed from March 31st to June 30th.

(g)

Fiscal year end changed from October 31st to June 30th.

(h)

Fiscal year end changed from January 31st to June 30th.

(i)

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

 

  SEMIANNUAL REPORT   DECEMBER 31, 2015   17


Statements of Assets and Liabilities

 

(Unaudited)

December 31, 2015

 

(Amounts in thousands, except per share amounts)   PIMCO
PCM Fund,
Inc.
    PIMCO Global
StocksPLUS® &
Income
Fund
    PIMCO Income
Opportunity
Fund
    PIMCO
Strategic
Income Fund,
Inc.
 

Assets:

       

Investments, at value

                               

Investments in securities*

  $ 195,235      $ 170,159      $ 552,769      $ 870,919   

Financial Derivative Instruments

                               

Exchange-traded or centrally cleared

    8        1,220        16        92   

Over the counter

    0        693        507        1,171   

Cash

    12        280        0        439   

Deposits with counterparty

    591        28,381        2,918        12,724   

Foreign currency, at value

    0        69        189        140   

Receivable for investments sold

    2,578        7,568        10,703        2   

Receivable for mortgage dollar rolls

    0        0        0        299,865   

Interest and dividends receivable

    1,110        1,384        4,329        3,369   

Other assets

    2        2        3        9   

Total Assets

    199,536        209,756        571,434          1,188,730   

Liabilities:

       

Borrowings & Other Financing Transactions

                               

Payable for reverse repurchase agreements

  $ 82,849      $ 75,066      $ 211,969      $ 122,275   

Payable for sale-buyback transactions

    0        0        0        57,103   

Payable for mortgage dollar rolls

    0        0        0        299,865   

Financial Derivative Instruments

                               

Exchange-traded or centrally cleared

    13        2,421        248        1,062   

Over the counter

    1,661        6,881        12,492        2,726   

Payable for investments purchased

    582        7,840        2,850        452   

Payable for TBA investments purchased

    0        0        0        364,210   

Deposits from counterparty

    0        399        210        840   

Distributions payable to common shareholders

    923        1,938        2,844        3,350   

Overdraft due to custodian

    0        0        849        0   

Accrued management fees

    169        194        548        299   

Other liabilities

    23        1        0        174   

Total Liabilities

    86,220        94,740        232,010        852,356   

Net Assets

  $   113,316      $   115,016      $   339,424      $ 336,374   

Net Assets Consist of:

       

Shares:

                               

Par value ($0.001 per share), ($0.00001 per share), ($0.00001 per share), ($0.00001 per share)

  $ 12      $ 0      $ 0      $ 0   

Paid in capital in excess of par

    125,541        232,983        343,103        427,496   

(Overdistributed) net investment income

    (1,363     (7,315     (5,932     (3,651

Accumulated undistributed net realized (loss)

    (13,722     (131,019     (2,705     (97,728

Net unrealized appreciation

    2,848        20,367        4,958        10,257   
    $ 113,316      $ 115,016      $ 339,424      $ 336,374   

Common Shares Issued and Outstanding

    11,538        10,567        14,968        41,890   

Net Asset Value Per Common Share

  $ 9.82      $ 10.88      $ 22.68      $ 8.03   

Cost of investments in securities

  $ 192,280      $ 160,925      $ 542,704      $ 860,061   

Cost of foreign currency held

  $ 0      $ 70      $ 195      $ 139   

Cost or premiums of financial derivative instruments, net

  $ (1,676   $ (692   $ (6,418   $ (762

* Includes repurchase agreements of:

  $ 268      $ 983      $ 0      $ 3,612   

 

 

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

 

18   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


Consolidated Statements of Assets and Liabilities

 

(Unaudited)

December 31, 2015

 

(Amounts in thousands, except per share amounts)   PIMCO
Dynamic
Credit Income
Fund
    PIMCO
Dynamic
Income Fund
 

Assets:

   

Investments, at value

               

Investments in securities*

  $ 4,880,995      $ 2,326,446   

Financial Derivative Instruments

               

Exchange-traded or centrally cleared

    3,465        1,130   

Over the counter

    36,343        6,844   

Cash

    0        5,961   

Deposits with counterparty

    46,042        20,687   

Foreign currency, at value

    23,790        189   

Receivable for investments sold

    48,394        22,968   

Interest and dividends receivable

    30,598        13,042   

Other assets

    12        5   

Total Assets

    5,069,639        2,397,272   

Liabilities:

   

Borrowings & Other Financing Transactions

               

Payable for reverse repurchase agreements

  $ 2,134,233      $ 1,100,940   

Financial Derivative Instruments

               

Exchange-traded or centrally cleared

    4,071        1,921   

Over the counter

    46,343        17,335   

Payable for investments purchased

    26,644        11,614   

Deposits from counterparty

    27,037        6,810   

Distributions payable to common shareholders

    22,513        10,028   

Overdraft due to custodian

    1,844        0   

Accrued management fees

    5,333        2,572   

Other liabilities

    1        0   

Total Liabilities

    2,268,019        1,151,220   

Net Assets Applicable to Common Shareholders

  $ 2,801,620      $ 1,246,052   

Composition of Net Assets Applicable to Common Shareholders:

   

Par value ($0.00001 per share)

  $ 1      $ 0   

Paid in capital in excess of par

    3,274,224        1,096,765   

(Overdistributed) net investment income

    (94,646     (32,279

Accumulated undistributed net realized gain (loss)

    (68,411     11,659   

Net unrealized appreciation (depreciation)

    (309,548     169,907   
    $   2,801,620      $   1,246,052   

Common Shares Issued and Outstanding

    137,221        45,851   

Net Asset Value Per Common Share

  $ 20.42      $ 27.17   

Cost of investments in securities

  $ 5,161,818      $ 2,175,482   

Cost of foreign currency held

  $ 23,768      $ 187   

Cost or premiums of financial derivative instruments, net

  $ 1,590      $ (27,080

* Includes repurchase agreements of:

  $ 49,000      $ 62,569   

 

 

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

 

  SEMIANNUAL REPORT   DECEMBER 31, 2015   19


Statements of Operations

 

Six Months Ended December 31, 2015 (Unaudited)                        
(Amounts in thousands)   PIMCO
PCM Fund,
Inc.
    PIMCO
Global
StocksPLUS® &
Income
Fund
    PIMCO
Income
Opportunity
Fund
    PIMCO
Strategic
Income Fund,
Inc.
 

Investment Income:

       

Interest, net of foreign taxes*

  $ 6,396      $ 6,997      $ 20,669      $ 16,916   

Dividends

    2        14        592        7   

Total Income

    6,398        7,011        21,261        16,923   

Expenses:

       

Management fees

    955        1,095        3,219        1,692   

Trustee fees and related expenses

    5        5        26        16   

Interest expense

    582        455        1,465        495   

Total Expenses

    1,542        1,555        4,710        2,203   

Net Investment Income

    4,856        5,456        16,551        14,720   

Net Realized Gain (Loss):

       

Investments in securities

    1,899        989        3,346        2,529   

Exchange-traded or centrally cleared financial derivative instruments

    (133     (9,980     (3,342     (9,216

Over the counter financial derivative instruments

    3,324        1,835        9,659        3,176   

Foreign currency

    0        2        271        (15

Net Realized Gain (Loss)

    5,090        (7,154     9,934        (3,526

Net Change in Unrealized Appreciation (Depreciation):

       

Investments in securities

      (10,980       (10,022     (36,303       (12,572

Exchange-traded or centrally cleared financial derivative instruments

    (95     7,155        313        804   

Over the counter financial derivative instruments

    (3,252     (5,436     (15,782     (611

Foreign currency assets and liabilities

    0        357        1,056        (29

Net Change in Unrealized (Depreciation)

    (14,327     (7,946     (50,716     (12,408

Net (Decrease) in Net Assets Resulting from Operations

  $ (4,381   $ (9,644   $   (24,231   $ (1,214

* Foreign tax withholdings

  $ 0      $ 0      $ 1      $ 0   

 

 

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

 

20   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


Consolidated Statements of Operations

 

Six Months Ended December 31, 2015 (Unaudited)            
(Amounts in thousands)   PIMCO
Dynamic
Credit Income
Fund
    PIMCO
Dynamic
Income Fund
 

Investment Income:

   

Interest, net of foreign taxes*

  $ 124,287      $ 88,732   

Dividends

    0        336   

Total Income

    124,287        89,068   

Expenses:

   

Management fees

    30,305        14,450   

Trustee fees and related expenses

    197        94   

Interest expense

    14,840        8,971   

Miscellaneous Expense

    91        61   

Total Expenses

    45,433        23,576   

Net Investment Income

    78,854        65,492   

Net Realized Gain (Loss):

   

Investments in securities

    (46,446     (9,365

Exchange-traded or centrally cleared financial derivative instruments

    17,690        2,409   

Over the counter financial derivative instruments

    34,869        25,445   

Foreign currency

    (1,685     (824

Net Realized Gain

    4,428        17,665   

Net Change in Unrealized Appreciation (Depreciation):

   

Investments in securities

    (228,517     (85,201

Exchange-traded or centrally cleared financial derivative instruments

    (29,151     (10,246

Over the counter financial derivative instruments

    (26,922     (5,918

Foreign currency assets and liabilities

    11,733        5,153   

Net Change in Unrealized (Depreciation)

    (272,857     (96,212

Net (Decrease) in Net Assets Resulting from Operations

  $   (189,575   $   (13,055

* Foreign tax withholdings

  $ 12      $ 0   

 

 

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

 

  SEMIANNUAL REPORT   DECEMBER 31, 2015   21


Statements of Changes in Net Assets

 

    PCM Fund, Inc.         PIMCO Global StocksPLUS® & Income Fund  
(Amounts in thousands)   Six Months Ended
December 31, 2015
    Period from
January 1, 2015 to
June 30, 2015 (a)
    Year Ended
December 31, 2014
        Six Months Ended
December 31, 2015
   

Period from
April 1, 2015 to
June 30, 2015 (b)

    Year Ended
March 31, 2015
 

Increase (Decrease) in Net Assets from:

             

Operations:

             

Net investment income

  $ 4,856      $ 5,058      $ 10,813          $ 5,456      $ 3,559      $ 12,039   

Net realized gain (loss)

    5,090        5,586        64            (7,154     8,310        (19,967

Net change in unrealized appreciation (depreciation)

    (14,327     (5,577     (4,000         (7,946     (5,604     10,460   

Net Increase (Decrease) in Net assets Resulting from Operations

    (4,381     5,067        6,877            (9,644     6,265        2,532   

Distributions to Common Shareholders:

             

From net investment income(e)

    (5,538     (5,537     (12,094         (11,602     (5,782     (23,021

From net realized capital gains(e)

    0        0        0            0        0        0   

Tax basis return of capital(e)

    0        0        0            0        0        0   

Total Distributions to Common Shareholders

    (5,538     (5,537 )(f)      (12,094         (11,602     (5,782 )(f)      (23,021

Common Share Transactions**:

             

Issued as reinvestment of distributions

    0        72        178            794        391        1,690   

Total Increase (Decrease) in Net Assets

    (9,919     (398     (5,039         (20,452     874        (18,799

Net Assets Applicable to Common Shareholders:

             

Beginning of year or period

    123,235        123,633        128,672            135,468        134,594        153,393   

End of year or period*

  $   113,316      $   123,235      $   123,633          $   115,016      $   135,468      $   134,594   

* Including undistributed (overdistributed) net investment income of:

  $ (1,363   $ (681   $ (540       $ (7,315   $ (1,169   $ (3,939

** Common Share Transactions:

             

Shares issued as reinvestment of distributions

    0        7        16            49        18        78   

 

 

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

(a) 

Fiscal year end changed from December 31st to June 30th.

(b) 

Fiscal year end changed from March 31st to June 30th.

(c) 

Fiscal year end changed from October 31st to June 30th.

(d)

Fiscal year end changed from January 31st to June 30th.

(e) 

Determined in accordance with federal income tax regulations, see Note 2(c) in the Notes to Financial Statements for more information.

(f) 

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

 

22   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


 

PIMCO Income Opportunity Fund         PIMCO Strategic Income Fund, Inc.  
Six Months Ended
December 31, 2015
    Period from
November 1, 2014 to
June 30, 2015 (c)
    Year Ended
October 31, 2014
        Six Months Ended
December 31, 2015
   

Period from
February 1, 2015 to
June 30, 2015 (d)

    Year Ended
January 31, 2015
 
           
           
$ 16,551      $ 23,106      $ 40,467          $ 14,720      $ 12,571      $ 37,303   
  9,934        (3,967     18,425            (3,526     11,358        15,398   
  (50,716     (9,047     (20,170         (12,408     (7,166     (38,494
  (24,231     10,092        38,722            (1,214     16,763        14,207   
           
    (17,064     (34,865     (42,972         (21,736     (16,651     (42,226
  (7,634     (11,498     0            0        0        0   
  0        (224     0            0        0        0   
  (24,698     (46,587 )(f)      (42,972         (21,736     (16,651 )(f)      (42,226
           
  0        216        2,321            1,632        1,638        4,199   
  (48,929     (36,279     (1,929         (21,318     1,750        (23,820
           
  388,353        424,632        426,561            357,692        355,942        379,762   
$ 339,424      $   388,353      $   424,632          $   336,374      $   357,692      $   355,942   
$ (5,932   $ (5,419   $ 6,094          $ (3,651   $ 3,365      $ 2,692   
           
  0        8        82            190        182        432   

 

  SEMIANNUAL REPORT   DECEMBER 31, 2015   23


Consolidated Statements of Changes in Net Assets

 

     PIMCO Dynamic Credit Income Fund          PIMCO Dynamic Income Fund  
(Amounts in thousands)    Six Months Ended
December 31, 2015
    

Period from
January 1, 2015 to
June 30, 2015 (a)

     Year Ended
December 31, 2014
         Six Months Ended
December 31, 2015
    Period from
April 1, 2015 to
June 30, 2015 (b)
    Year Ended
March 31, 2015
 

Increase (Decrease) in Net Assets from:

                 

Operations:

                 

Net investment income

   $ 78,854       $ 104,043       $ 245,912           $ 65,492      $ 36,172      $ 147,564   

Net realized gain (loss)

     4,428         29,622         12,922             17,665        37,320        76,891   

Net change in unrealized appreciation (depreciation)

     (272,857      18,523         (85,852          (96,212     (15,937     (99,042

Net Increase (Decrease) in Net Assets Resulting from Operations

     (189,575      152,188         172,982             (13,055     57,555        125,413   

Distributions to Common Shareholders:

                 

From net investment income(c)

     (164,494      (128,645      (339,486          (132,888     (28,651     (187,696

From net realized capital gains(c)

     0         0         0             (45,024     0        0   

Total Distributions to Common Shareholders

     (164,494      (128,645 )(d)       (339,486          (177,912     (28,651 )(d)      (187,696

Common Share Transactions**:

                 

Offering costs charged to paid in capital in excess of par

     0         0         (23          0        0        0   

Issued as reinvestment of distributions

     0         0         0             10,128        0        1,309   

Net increase (decrease) resulting from common share transactions

     0         0         (23          10,128        0        1,309   

Total Increase (Decrease) in Net Assets

     (354,069      23,543         (166,527          (180,839     28,904        (60,974

Net Assets Applicable to Common Shareholders:

                 

Beginning of year or period

     3,155,689         3,132,146         3,298,673             1,426,891        1,397,987        1,458,961   

End of year or period*

   $   2,801,620       $   3,155,689       $   3,132,146           $   1,246,052      $   1,426,891      $   1,397,987   

* Including undistributed (overdistributed) net investment income of:

   $ (94,646    $ (9,006    $ (24,101        $ (32,279   $ 35,117      $ 22,795   

** Common Share Transactions:

                 

Shares issued as reinvestment of distributions

     0         0         0             372        0        41   

 

 

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

(a) 

Fiscal year end changed from December 31st to June 30th.

(b) 

Fiscal year end changed from March 31st to June 30th.

(c) 

Determined in accordance with federal income tax regulations, see Note 2(c) in the Notes to Financial Statements for more information.

(d)

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

 

24   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


Statements of Cash Flows

 

Six Months Ended December 31, 2015 (Unaudited)                        
(Amounts in thousands)   PCM Fund,
Inc
    PIMCO
Global
StocksPLUS® &
Income
Fund
    PIMCO
Income
Opportunity
Fund
    PIMCO
Strategic
Income Fund,
Inc.
 

Cash Flows Provided by Operating Activities:

       

Net (decrease) in net assets resulting from operations

  $ (4,381 )   $ (9,644   $ (24,231 )   $ (1,214 )

Adjustments to Reconcile Net (Decrease) in Net Assets from Operations to Net Cash Provided by Operating Activities:

       

Purchases of long-term securities

    (20,222 )     (13,731     (27,495 )     (303,474 )

Proceeds from sales of long-term securities

    26,421       19,681        75,986       323,581  

(Purchases) Proceeds from sales of short-term portfolio investments, net

    (1,004 )     4,407        15,497       10,871  

(Increase) decrease in deposits with counterparty

    31       (12,839     (1,102 )     (3,762 )

(Increase) decrease in receivable for investments sold

    11        (5,433     (1,243 )     3,070  

(Increase) decrease in interest and dividends receivable

    101       (143     282       328  

Decrease in exchange-traded or centrally cleared financial derivative instruments

    (213 )     (1,020     (2,683 )     (7,260 )

(Increase) decrease in over the counter financial derivative instruments

    109       (332     296       3,197  

(Increase) decrease in other assets

    0       0        (1 )     2  

Increase in payable for investments purchased

    575       7,352        1,738       42,885  

Increase (decrease) in deposits from counterparty

    0       182        (3,009 )     (830 )

Increase (decrease) in accrued investment advisory fees

    9       3        (64 )     18  

Proceeds from (Payments on) foreign currency transactions

    0       (8     209       (44 )

(Decrease) in other liabilities

    (65 )     (58     (94 )     (443 )

Net Realized (Gain) Loss

                               

Investments in securities

    (1,899 )     (989     (3,346 )     (2,529 )

Exchange-traded or centrally cleared financial derivative instruments

    133       9,980        3,342       9,216  

Over the counter financial derivative instruments

    (3,324 )     (1,835     (9,659 )     (3,176 )

Foreign currency

    0       (2     (271 )     15  

Net Change in Unrealized (Appreciation) Depreciation

                               

Investments in securities

    10,980       10,022        36,303       12,572  

Exchange-traded or centrally cleared financial derivative instruments

    95        (7,155 )     (313     (804 )

Over the counter financial derivative instruments

    3,252        5,436       15,782        611  

Foreign currency assets and liabilities

    0        (357 )     (1,056     29  

Net amortization (accretion) on investments

    55        157       (1,294     (200 )

Net Cash Provided by Operating Activities

    10,664        3,674       73,574        82,659  

Cash Flows (Used for) Financing Activities:

       

Increase (decrease) in overdraft due to custodian

    0        0       849        0  

Cash dividend paid*

    (5,538     (10,798 )     (24,698     (20,090 )

Proceeds from reverse repurchase agreements

    145,811        115,802       428,749        401,921  

Payments on reverse repurchase agreements

      (151,007       (109,215 )       (479,046     (417,846 )

Proceeds from sale-buyback transactions

    0        0       0        3,419,948  

Payments on sale-buyback transactions

    0        0       0        (3,466,649 )

Proceeds from mortgage dollar rolls

    0        0       0        2,038,825  

Payments on mortgage dollar rolls

    0        0       0          (2,038,671 )

Proceeds from deposits from counterparty

    0        0       768        280  

Payments on deposits from counterparty

    0        0       (1,316     (280 )

Net Cash (Used for) Financing Activities

    (10,734     (4,211 )     (74,694     (82,562 )

Net Increase (Decrease) in Cash and Foreign Currency

    (70     (537 )     (1,120     97  

Cash and Foreign Currency:

       

Beginning of period

    82        886       1,309        482  

End of period

  $ 12      $ 349     $ 189      $ 579  

* Reinvestment of distributions

  $ 0      $ 794     $ 0      $ 1,632  

Supplemental Disclosure of Cash Flow Information:

       

Interest expense paid during the period

  $ 453      $ 375     $ 1,254      $ 144  

 

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

 

  SEMIANNUAL REPORT   DECEMBER 31, 2015   25


Consolidated Statements of Cash Flows

 

Six Months Ended December 31, 2015 (Unaudited)            
(Amounts in thousands)  

PIMCO

Dynamic
Credit Income
Fund

   

PIMCO

Dynamic

Income Fund

 

Cash Flows Provided by (Used for) Operating Activities:

   

Net (decrease) in net assets resulting from operations

  $ (189,575   $ (13,055

Adjustments to Reconcile Net (Decrease) in Net Assets from Operations to Net Cash Provided by (Used for)
Operating Activities:

   

Purchases of long-term securities

    (848,865     (367,354

Proceeds from sales of long-term securities

    870,836        254,994   

Proceeds from sales of short-term portfolio investments, net

    137,373        35,760   

(Increase) decrease in deposits with counterparty

    (26,184     5,000   

(Increase) decrease in receivable for investments sold

    127,823        (15,351

Decrease in interest and dividends receivable

    5,960        1,252   

(Increase) in exchange-traded or centrally cleared financial derivative instruments

    (8,675     (6,723

Decrease in over the counter financial derivative instruments

    20,068        25,246   

Decrease in other assets

    4        3   

Increase (decrease) in payable for investments purchased

    (70,677     9,713   

Increase (decrease) in deposits from counterparty

    1,958        (5,190

Increase (decrease) in accrued investment advisory fees

    (825     140   

Payments on foreign currency transactions

    (2,529     (1,065

(Decrease) in other liabilities

    (322     (159

Net Realized (Gain) Loss

               

Investments in securities

    46,446        9,365   

Exchange-traded or centrally cleared financial derivative instruments

    (17,690     (2,409

Over the counter financial derivative instruments

    (34,869     (25,445

Foreign currency

    1,685        824   

Net Change in Unrealized (Appreciation) Depreciation

               

Investments in securities

    228,517        85,201   

Exchange-traded or centrally cleared financial derivative instruments

    29,151        10,246   

Over the counter financial derivative instruments

    26,922        5,918   

Foreign currency assets and liabilities

    (11,733     (5,153

Net amortization (accretion) on investments

    (13,282     (7,056

Net Cash Provided by (Used for) Operating Activities

    271,517        (5,298

Cash Flows (Used for) Financing Activities:

   

Increase in overdraft due to custodian

    1,844        0   

Cash dividend paid*

    (163,422     (167,307

Proceeds from reverse repurchase agreements

    4,119,478        1,780,149   

Payments on reverse repurchase agreements

      (4,229,896       (1,613,974

Proceeds from deposits from counterparty

    8,969        981   

Payments on deposits from counterparty

    (8,787     (2,661

Net Cash (Used for) Financing Activities

    (271,814     (2,812

Net (Decrease) in Cash and Foreign Currency

    (297     (8,110

Cash and Foreign Currency:

   

Beginning of period

    24,087        14,260   

End of period

  $ 23,790      $ 6,150   

* Reinvestment of distributions

  $ 0      $ 10,128   

Supplemental Disclosure of Cash Flow Information:

   

Interest expense paid during the period

  $ 10,374      $ 6,705   

 

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

 

26   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


Schedule of Investments PCM Fund, Inc.

 

December 31, 2015 (Unaudited)

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
INVESTMENTS IN SECURITIES 172.2%   
BANK LOAN OBLIGATIONS 4.9%   

Cactus Wellhead LLC

  

7.000% due 07/31/2020

  $     494      $     367   

Energy Future Intermediate Holding Co. LLC

  

4.250% due 06/19/2016

      2,274          2,270   

Getty Images, Inc.

  

4.750% due 10/18/2019

      380          241   

iHeartCommunications, Inc.

  

7.174% due 01/30/2019

      3,000          2,115   

Sequa Corp.

  

5.250% due 06/19/2017

      830          577   
       

 

 

 

Total Bank Loan Obligations (Cost $6,857)

    5,570   
       

 

 

 
CORPORATE BONDS & NOTES 28.7%   
BANKING & FINANCE 12.6%   

American International Group, Inc.

  

8.175% due 05/15/2068 (g)

      600          791   

Blackstone CQP Holdco LP

  

9.296% due 03/19/2019

      3,926          3,916   

Cantor Fitzgerald LP

  

7.875% due 10/15/2019 (g)

      740          814   

Communications Sales & Leasing, Inc.

  

8.250% due 10/15/2023 (g)

      600          515   

Exeter Finance Corp.

  

9.750% due 05/20/2019

      800          786   

Ford Motor Credit Co. LLC

  

8.000% due 12/15/2016 (g)

      500          529   

Jefferies Finance LLC

  

7.500% due 04/15/2021

      187          165   

Jefferies LoanCore LLC

  

6.875% due 06/01/2020 (g)

      800          768   

KGH Intermediate Holdco LLC

  

8.500% due 08/08/2019 (e)

      1,453          1,217   

Navient Corp.

  

5.500% due 01/15/2019 (g)

      1,000          937   

8.450% due 06/15/2018 (g)

      850          897   

OneMain Financial Holdings, Inc.

  

7.250% due 12/15/2021 (g)

      536          539   

Springleaf Finance Corp.

  

6.500% due 09/15/2017 (g)

      455          465   

6.900% due 12/15/2017 (g)

      1,200          1,245   

Toll Road Investors Partnership LP

  

0.000% due 02/15/2045 (c)

      3,515          738   
       

 

 

 
      14,322   
       

 

 

 
INDUSTRIALS 13.6%   

Ancestry.com Holdings LLC (9.625% Cash or 10.375% PIK)

   

9.625% due 10/15/2018 (b)(g)

      255          252   

Boxer Parent Co., Inc. (9.000% Cash or 9.750% PIK)

  

9.000% due 10/15/2019 (b)(g)

      1,089          679   

Caesars Entertainment Operating Co., Inc.

  

8.500% due 02/15/2020 ^(d)(g)

      3,143          2,404   

9.000% due 02/15/2020 ^(d)

      182          139   

California Resources Corp.

  

6.000% due 11/15/2024 (g)

      748          230   

Chesapeake Energy Corp.

  

3.571% due 04/15/2019

      20          6   

CVS Pass-Through Trust

  

5.880% due 01/10/2028 (g)

      1,402          1,508   

7.507% due 01/10/2032 (g)

      866          1,023   

Forbes Energy Services Ltd.

  

9.000% due 06/15/2019 (g)

      1,900          921   
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Global Geophysical Services, Inc.

  

10.500% due 05/01/2017 ^

  $     285      $     20   

Intrepid Aviation Group Holdings LLC

  

6.875% due 02/15/2019

      1,700          1,402   

Rockies Express Pipeline LLC

  

6.875% due 04/15/2040

      252          218   

Scientific Games International, Inc.

  

10.000% due 12/01/2022 (g)

      650          465   

Sequa Corp.

  

7.000% due 12/15/2017

      1,140          368   

Spanish Broadcasting System, Inc.

  

12.500% due 04/15/2017 (g)

      2,290          2,258   

UAL Pass-Through Trust

  

6.636% due 01/02/2024 (g)

      618          659   

9.750% due 07/15/2018

      394          417   

10.400% due 05/01/2018

      210          223   

UCP, Inc.

  

8.500% due 10/21/2017

      1,300          1,299   

Warren Resources, Inc.

  

9.000% due 08/01/2022

      1,000          155   

Westmoreland Coal Co.

  

8.750% due 01/01/2022 (g)

      1,264          784   
       

 

 

 
          15,430   
       

 

 

 
UTILITIES 2.5%   

Frontier Communications Corp.

  

8.875% due 09/15/2020

      90          91   

10.500% due 09/15/2022

      150          149   

11.000% due 09/15/2025

      150          149   

Illinois Power Generating Co.

  

6.300% due 04/01/2020 (g)

      1,515          917   

7.950% due 06/01/2032 (g)

      1,024          599   

Sprint Corp.

  

7.125% due 06/15/2024 (g)

      1,246          913   
       

 

 

 
          2,818   
       

 

 

 

Total Corporate Bonds & Notes (Cost $38,171)

      32,570   
       

 

 

 
MUNICIPAL BONDS & NOTES 1.1%   
ARKANSAS 0.5%   

Little Rock Municipal Property Owners Multipurpose Improvement District No. 10, Arkansas Special Tax Bonds, Series 2007

    

7.200% due 03/01/2032

      545          518   
       

 

 

 
WEST VIRGINIA 0.6%   

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

   

7.467% due 06/01/2047

      855          741   
       

 

 

 

Total Municipal Bonds & Notes (Cost $1,345)

    1,259   
       

 

 

 
U.S. GOVERNMENT AGENCIES 2.5%   

Freddie Mac

  

0.645% due 01/25/2021 (a)

      2,819          69   

0.737% due 10/25/2020 (a)(g)

      8,910          256   

3.615% due 06/25/2041 (a)(g)

      10,500          1,794   

7.972% due 12/25/2027

      700          655   
       

 

 

 

Total U.S. Government Agencies (Cost $2,581)

    2,774   
       

 

 

 
NON-AGENCY MORTGAGE-BACKED SECURITIES 74.1%   

Adjustable Rate Mortgage Trust

  

2.805% due 01/25/2036 ^

      297          257   
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Banc of America Alternative Loan Trust

  

6.243% due 04/25/2037 ^(g)

  $     394      $     305   

Banc of America Funding Trust

  

2.811% due 12/20/2034

      626          569   

5.660% due 03/20/2036

      181          163   

5.806% due 03/25/2037 ^

      184          164   

7.000% due 10/25/2037 ^

      819          517   

Banc of America Mortgage Trust

  

2.761% due 06/20/2031

      522          536   

2.834% due 06/25/2035

      227          220   

2.869% due 11/25/2034

      382          382   

BCAP LLC Trust

  

0.407% due 07/26/2036

      87          67   

BCRR Trust

  

5.858% due 07/17/2040

      1,000          1,042   

Bear Stearns ALT-A Trust

  

0.592% due 04/25/2037

      1,265          936   

2.660% due 08/25/2036 ^

      993          846   

2.702% due 11/25/2036 ^

      1,090          790   

2.753% due 01/25/2047

      79          57   

2.862% due 05/25/2036 ^

      402          308   

2.941% due 05/25/2036

      61          44   

2.956% due 08/25/2036 ^

      448          337   

3.617% due 09/25/2034

      244          243   

4.813% due 07/25/2035 ^

      195          162   

Bear Stearns Commercial Mortgage Securities Trust

  

5.722% due 06/11/2040 (g)

      1,579          1,618   

6.901% due 05/11/2039 (g)

      476          483   

BRAD Resecuritization Trust

  

2.178% due 03/12/2021

      2,522          195   

6.550% due 03/12/2021

      471          481   

CBA Commercial Small Balance Commercial Mortgage

  

5.540% due 01/25/2039 ^

      673          587   

Chase Mortgage Finance Trust

  

6.000% due 03/25/2037 ^

      354          309   

Citigroup Commercial Mortgage Trust

  

0.530% due 05/15/2043 (a)

      2,492          0   

5.710% due 12/10/2049 (g)

      2,500          2,586   

Citigroup Mortgage Loan Trust, Inc.

  

2.589% due 10/25/2035

      228          186   

2.684% due 11/25/2036 ^

      269          240   

2.792% due 08/25/2035 ^

      179          169   

Citigroup Mortgage Loan Trust, Inc. Mortgage Pass-Through Certificates

   

2.838% due 09/25/2035 ^

      340          296   

CitiMortgage Alternative Loan Trust

  

5.500% due 04/25/2022 ^

      70          72   

COBALT Commercial Mortgage Trust

  

5.223% due 08/15/2048 (g)

      1,494          1,519   

Commercial Mortgage Trust

  

6.126% due 07/10/2046 (g)

      690          740   

6.586% due 07/16/2034

      618          633   

6.922% due 07/16/2034 (g)

      1,500            1,541   

Countrywide Alternative Loan Trust

  

0.702% due 02/25/2037 (g)

      426          334   

0.712% due 02/25/2036 ^

      1,235          1,142   

1.257% due 12/25/2035 (g)

      2,761          2,319   

5.500% due 03/25/2035

      932          784   

6.000% due 11/25/2035 ^

      227          114   

6.000% due 04/25/2036 ^(g)

      5,069          4,286   

Countrywide Home Loan Mortgage Pass-Through Trust

  

0.742% due 03/25/2035

      299          235   

2.559% due 09/20/2036 ^

      214          191   

2.593% due 02/20/2036 ^

      22          20   

2.718% due 09/25/2047 ^

      834          754   

6.000% due 05/25/2037 ^

      492          445   

Credit Suisse First Boston Mortgage Securities Corp.

  

7.000% due 02/25/2033

      98          103   
 

 

See Accompanying Notes   SEMIANNUAL REPORT   DECEMBER 31, 2015   27


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

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Credit Suisse Mortgage Capital Mortgage-Backed Trust

  

5.896% due 04/25/2036

  $     350      $     268   

6.000% due 07/25/2036

      2,080          1,597   

6.500% due 05/25/2036 ^

      238          154   

FFCA Secured Franchise Loan Trust

  

0.959% due 09/18/2027 (a)

      2,265          63   

First Horizon Alternative Mortgage Securities Trust

  

2.298% due 08/25/2035 ^

      149          40   

First Horizon Mortgage Pass-Through Trust

  

2.608% due 04/25/2035

      151          151   

FREMF Mortgage Trust

  

0.100% due 05/25/2020 (a)

      14,337          46   

GS Mortgage Securities Trust

  

1.469% due 08/10/2043 (a)

      14,720          795   

2.519% due 05/10/2045 (a)

      6,127          549   

6.079% due 08/10/2043 (g)

      1,670          1,758   

GSR Mortgage Loan Trust

  

2.835% due 03/25/2047 (g)

      1,898          1,649   

HarborView Mortgage Loan Trust

  

0.453% due 01/19/2036

      1,057          720   

4.007% due 06/19/2036 ^

      463          318   

IndyMac Mortgage Loan Trust

  

1.222% due 11/25/2034

      175          159   

2.813% due 05/25/2036

      259          186   

2.928% due 06/25/2037

      686          636   

JPMorgan Alternative Loan Trust

  

6.500% due 03/25/2036

      1,748          1,526   

JPMorgan Chase Commercial Mortgage Securities Corp.

  

1.334% due 03/12/2039 (a)

      555          8   

JPMorgan Chase Commercial Mortgage Securities Trust

  

0.457% due 02/15/2046 (a)

      61,000          1,567   

5.695% due 02/12/2049 (g)

      1,348          1,392   

5.794% due 02/12/2051 (g)

      1,056          1,099   

5.937% due 02/15/2051

      29          29   

6.450% due 05/12/2034 (g)

      2,848          2,913   

JPMorgan Commercial Mortgage-Backed Securities Trust

   

5.637% due 03/18/2051 (g)

      4,100          4,293   

JPMorgan Mortgage Trust

  

2.726% due 07/25/2035

      163          164   

LB Commercial Mortgage Trust

  

5.600% due 10/15/2035

      286          293   

5.898% due 07/15/2044 (g)

      928          963   

LB-UBS Commercial Mortgage Trust

  

5.347% due 11/15/2038 (g)

      1,278          1,302   

Lehman Mortgage Trust

  

5.000% due 08/25/2021 ^

      566          549   

5.945% due 04/25/2036

      280          252   

6.000% due 05/25/2037 ^

      642          627   

Luminent Mortgage Trust

  

0.391% due 12/25/2036

      1,055          857   

MASTR Adjustable Rate Mortgages Trust

  

2.632% due 11/25/2035 ^

      774          599   

MASTR Asset Securitization Trust

  

6.000% due 06/25/2036 ^

      810          785   

Merrill Lynch Mortgage Investors Trust

  

0.842% due 07/25/2030

      336          309   

1.082% due 11/25/2029

      179          174   

2.798% due 11/25/2035

      306          305   

Morgan Stanley Capital Trust

  

0.216% due 11/12/2049 (a)

      53,679          155   

5.447% due 02/12/2044 (g)

      2,000            2,047   

5.692% due 04/15/2049

      315          323   

5.809% due 12/12/2049 (g)

      474          495   

Morgan Stanley Capital, Inc.

  

6.010% due 11/15/2030 (g)

      1,812          1,854   
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Morgan Stanley Mortgage Loan Trust

  

2.717% due 01/25/2035 ^

  $     370      $     180   

6.000% due 08/25/2037 ^

      388          359   

Morgan Stanley Resecuritization Trust

  

5.348% due 03/26/2037

      5,748          4,444   

Regal Trust

  

2.151% due 09/29/2031

      244          226   

Residential Accredit Loans, Inc. Trust

  

3.811% due 01/25/2036 ^

      586          476   

6.000% due 08/25/2035 ^(g)

      381          353   

6.500% due 09/25/2037 ^

      393          304   

Residential Asset Securitization Trust

  

6.000% due 03/25/2037 ^

      308          216   

Residential Funding Mortgage Securities, Inc. Trust

  

6.000% due 06/25/2036 ^

      439          404   

Royal Bank of Scotland Capital Funding Trust

  

5.223% due 08/16/2048 (g)

      1,000          1,017   

5.336% due 05/16/2047 (g)

      1,000          1,022   

6.068% due 02/17/2051

      2,744          2,757   

Structured Adjustable Rate Mortgage Loan Trust

  

4.035% due 01/25/2036 ^(g)

      483          372   

4.391% due 11/25/2036 ^

      257          247   

4.456% due 04/25/2036 ^(g)

      587          438   

5.042% due 09/25/2036 ^

      385          345   

Structured Asset Mortgage Investments Trust

  

0.632% due 08/25/2036 ^

      1,222          939   

Structured Asset Securities Corp. Trust

  

5.000% due 05/25/2035

      81          82   

TBW Mortgage-Backed Trust

  

6.000% due 07/25/2036 ^

      207          154   

Wachovia Bank Commercial Mortgage Trust

  

0.943% due 10/15/2041 (a)

      4,844          4   

5.509% due 04/15/2047 (g)

      1,000          1,029   

WaMu Commercial Mortgage Securities Trust

  

5.773% due 03/23/2045 (g)

      1,000          1,010   

WaMu Mortgage Pass-Through Certificates Trust

  

0.912% due 06/25/2044

      739          644   

2.300% due 12/25/2036 ^(g)

      596          520   

Washington Mutual Mortgage Pass-Through Certificates Trust

   

6.500% due 08/25/2036 ^(g)

      2,085          1,549   

Wells Fargo Alternative Loan Trust

  

5.500% due 07/25/2022

      55          55   

Wells Fargo-RBS Commercial Mortgage Trust

  

0.985% due 02/15/2044 (a)(g)

      23,212          616   
       

 

 

 

Total Non-Agency Mortgage-Backed Securities (Cost $73,691)

      84,058   
       

 

 

 
ASSET-BACKED SECURITIES 54.7%   

Asset-Backed Securities Corp. Home Equity Loan Trust

  

1.517% due 02/25/2035

      56          46   

2.147% due 12/25/2034 (g)

      2,496          2,235   

3.652% due 06/21/2029

      156          148   

Associates Manufactured Housing Pass-Through Certificates

   

7.150% due 03/15/2028 (g)

      428          501   

Bayview Financial Acquisition Trust

  

0.512% due 12/28/2036

      229          221   

Bear Stearns Asset-Backed Securities Trust

  

0.802% due 06/25/2036

      32          32   

2.934% due 07/25/2036

      435          412   

5.500% due 12/25/2035

      86          74   

Bombardier Capital Mortgage Securitization Corp.

  

7.830% due 06/15/2030

      1,197          648   

Centex Home Equity Loan Trust

  

0.922% due 01/25/2035

      1,647          1,365   
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Citigroup Mortgage Loan Trust, Inc.

  

0.582% due 12/25/2036 (g)

  $     1,951      $     1,293   

0.671% due 11/25/2045 (g)

      5,300          4,829   

0.682% due 03/25/2037 (g)

      5,699          4,448   

Conseco Finance Securitizations Corp.

  

7.960% due 05/01/2031

      399          300   

9.163% due 03/01/2033

      970          863   

Countrywide Asset-Backed Certificates

  

0.552% due 12/25/2036 ^(g)

      1,740          1,569   

0.562% due 06/25/2035 (g)

      3,903          3,015   

0.562% due 01/25/2037

      1,241          1,168   

0.562% due 06/25/2047 ^(g)

      4,236          3,285   

0.622% due 06/25/2037 ^(g)

      1,098          993   

0.662% due 05/25/2036

      7,772          4,104   

2.072% due 06/25/2035 (g)

      4,000          2,964   

5.397% due 10/25/2032 ^

      882          769   

EMC Mortgage Loan Trust

  

1.521% due 02/25/2041

      379          370   

Fremont Home Loan Trust

  

0.602% due 04/25/2036 (g)

      1,791          1,527   

GE Capital Mortgage Services, Inc. Trust

  

6.705% due 04/25/2029

      160          146   

GSAMP Trust

  

2.222% due 06/25/2035

      2,200          1,814   

HSI Asset Securitization Corp. Trust

  

0.532% due 04/25/2037

      2,448          1,390   

IndyMac Home Equity Mortgage Loan Asset-Backed Trust

   

0.662% due 04/25/2037 (g)

      6,056          3,742   

Keystone Owner Trust

  

9.000% due 01/25/2029

      56          31   

Lehman XS Trust

  

5.420% due 11/25/2035 ^(g)

      353          356   

MASTR Asset-Backed Securities Trust

  

0.532% due 08/25/2036

      4,007          1,913   

Morgan Stanley ABS Capital, Inc. Trust

  

1.202% due 12/25/2034

      237          195   

Renaissance Home Equity Loan Trust

  

7.238% due 09/25/2037 ^

      4,404          2,661   

Residential Asset Mortgage Products Trust

  

1.162% due 09/25/2032

      54          50   

1.517% due 12/25/2033

      873          810   

Residential Asset Securities Corp. Trust

  

0.882% due 06/25/2031

      1,895          1,772   

1.112% due 08/25/2035 (g)

      4,350          3,261   

Securitized Asset-Backed Receivables LLC Trust

  

0.872% due 10/25/2035 (g)

      5,500          4,243   

Southern Pacific Secured Asset Corp.

  

0.762% due 07/25/2029

      25          24   

Structured Asset Investment Loan Trust

  

2.147% due 10/25/2034

      1,986          1,671   

4.922% due 10/25/2033

      68          29   

UCFC Manufactured Housing Contract

  

7.900% due 01/15/2028 ^

      606          626   

UPS Capital Business Credit

  

6.081% due 04/15/2026

      1,856          44   
       

 

 

 

Total Asset-Backed Securities (Cost $62,579)

      61,957   
       

 

 

 
        SHARES            
COMMON STOCKS 0.1%   
ENERGY 0.1%   

SemGroup Corp. ‘A’

      2,654          77   
       

 

 

 

Total Common Stocks (Cost $74)

    77   
       

 

 

 
 

 

28   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


 

December 31, 2015 (Unaudited)

 

        SHARES         MARKET
VALUE
(000S)
 
WARRANTS 0.0%   
INDUSTRIALS 0.0%   

Global Geophysical Services, Inc. - Exp. 05/01/2049

      1,239      $     0   
       

 

 

 

Total Warrants (Cost $12)

    0   
       

 

 

 
SHORT-TERM INSTRUMENTS 6.1%   
REPURCHASE AGREEMENTS (f) 0.2%   
          268   
       

 

 

 
        PRINCIPAL
AMOUNT
(000S)
           
SHORT-TERM NOTES 4.4%   

Fannie Mae

  

0.228% due 01/14/2016 - 02/03/2016

  $     900            900   
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

0.264% due 02/10/2016

  $     300      $     300   

Federal Home Loan Bank

  

0.137% due 01/19/2016

      200          200   

0.162% due 01/29/2016 - 02/03/2016

      900          899   

0.188% due 01/20/2016 - 01/29/2016

      1,300          1,300   

0.193% due 02/08/2016

      100          100   

0.213% due 01/27/2016

      100          100   

0.244% due 01/26/2016

      500          500   

0.294% due 02/19/2016

      100          100   

0.304% due 01/25/2016

      100          100   

0.314% due 01/26/2016 - 01/28/2016

      300          300   

0.375% due 02/19/2016

      200          200   
       

 

 

 
            4,999   
       

 

 

 
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
U.S. TREASURY BILLS 1.5%   

0.193% due 01/14/2016 (j)

  $     1,703      $     1,703   
       

 

 

 
Total Short-Term Instruments (Cost $6,970)     6,970   
       

 

 

 
       
Total Investments in Securities (Cost $192,280)     195,235   
       
Total Investments 172.2% (Cost $192,280)       $       195,235   

Financial Derivative
Instruments (1.5%) (h)(i)

(Cost or Premiums, net $(1,676))

    (1,666
Other Assets and Liabilities, net (70.7%)     (80,253
       

 

 

 
Net Assets 100.0%      $     113,316   
       

 

 

 
 

NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*):

 

* A zero balance may reflect actual amounts rounding to less than one thousand.
^ Security is in default.
(a) Interest only security.
(b) Payment in-kind bond security.
(c) Zero coupon bond.
(d) Security is subject to a forbearance agreement entered into by the Fund which forbears the Fund from taking action to, among other things, accelerate and collect payments on the subject note with respect to specified events of default.

 

(e)  RESTRICTED SECURITIES:

 

Issuer Description    Coupon    Maturity
Date
     Acquisition
Date
    Cost     Market
Value
    Market Value
as Percentage
of Net Assets
 

KGH Intermediate Holdco LLC

   8.500%      08/08/2019         08/07/2014        $    1,431      $     1,217        1.07%   
          

 

 

   

 

 

   

 

 

 

 

BORROWINGS AND OTHER FINANCING TRANSACTIONS

 

(f)  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)
 

SAL

    0.580     12/31/2015        01/04/2016      $     100      U.S. Treasury Notes 2.750% due 02/15/2024   $ (102   $ 100      $ 100   

SSB

    0.010        12/31/2015        01/04/2016        168      Fannie Mae 2.170% due 10/17/2022     (172     168        168   
           

 

 

   

 

 

   

 

 

 

Total Repurchase Agreements

  

      $     (274   $     268      $     268   
           

 

 

   

 

 

   

 

 

 

 

(1) 

Includes accrued interest.

 

REVERSE REPURCHASE AGREEMENTS:

 

Counterparty   Borrowing
Rate
     Borrowing
Date
     Maturity
Date
    Amount
Borrowed  (3)
    Payable for
Reverse
Repurchase
Agreements
 

BCY

    (1.000 %)       12/11/2015         (TBD )(2)    $ (363   $ (363
    (0.375      12/15/2015         (TBD )(2)      (293     (293
    0.213         10/02/2015         04/01/2016            (1,186     (1,193
    0.900         11/24/2015         (TBD )(2)      (1,512     (1,512
    1.179         10/30/2015         02/01/2016        (192     (192
    1.573         10/07/2015         01/07/2016        (556     (558
    1.992         12/11/2015         03/11/2016        (1,251         (1,253
    2.131         10/02/2015         04/01/2016        (1,147     (1,153
    2.134         10/01/2015         04/01/2016        (2,022     (2,033
    2.176         10/01/2015         10/03/2016        (2,258     (2,271

BOS

    2.198         07/06/2015         01/06/2016        (1,845     (1,865

DEU

    1.000         10/02/2015         01/04/2016        (2,019     (2,024
    1.000         10/08/2015         01/08/2016        (2,147     (2,152
    1.000         10/28/2015         01/28/2016        (1,372     (1,375

 

See Accompanying Notes   SEMIANNUAL REPORT   DECEMBER 31, 2015   29


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

 

Counterparty   Borrowing
Rate
     Borrowing
Date
     Maturity
Date
    Amount
Borrowed  (3)
    Payable for
Reverse
Repurchase
Agreements
 
    1.000      11/04/2015         02/04/2016      $     (1,517   $ (1,520
    1.050         11/12/2015         02/12/2016        (433     (434
    1.100         11/30/2015         03/01/2016        (2,342     (2,344
    1.300         01/04/2016         04/04/2016        (1,741     (1,741

JPS

    1.163         07/14/2015         01/14/2016        (1,470     (1,478
    1.242         12/11/2015         03/11/2016        (1,726     (1,727
    1.254         08/07/2015         02/08/2016        (1,904     (1,914
    1.992         12/11/2015         03/11/2016        (2,074     (2,077

MSC

    1.200         10/16/2015         01/19/2016        (3,698     (3,708

RDR

    0.630         10/08/2015         01/08/2016        (774     (775
    0.630         11/03/2015         02/03/2016        (523     (524
    1.050         11/13/2015         05/13/2016        (249     (249
    1.100         12/24/2015         05/27/2016        (737     (737
    1.170         08/03/2015         02/03/2016        (921     (926
    1.200         12/01/2015         06/01/2016        (579     (580
    1.280         11/23/2015         02/23/2016        (1,177     (1,179
    1.470         08/03/2015         02/03/2016        (877     (882
    1.530         10/14/2015         04/14/2016        (552     (554
    1.570         11/10/2015         05/10/2016        (848     (850

RTA

    1.521         11/09/2015         05/09/2016        (3,747     (3,756
    1.521         11/12/2015         05/12/2016        (5,661     (5,674
    1.616         03/24/2015         03/24/2016        (1,104     (1,118
    1.628         04/14/2015         04/15/2016        (2,709     (2,741
    1.732         07/27/2015         07/26/2016        (3,254     (3,279

SAL

    1.167         11/19/2015         02/19/2016        (1,816     (1,819
    1.195         07/07/2015         01/07/2016        (2,361     (2,375
    1.254         07/14/2015         01/14/2016        (1,414     (1,423
    1.349         11/02/2015         05/02/2016        (2,247     (2,252
    1.395         11/13/2015         05/13/2016        (2,287     (2,292

SOG

    0.840         10/14/2015         01/14/2016        (853     (855
    0.840         10/19/2015         01/19/2016        (816     (817
    0.840         10/29/2015         01/29/2016        (484     (485
    0.950         11/30/2015         03/01/2016        (875     (876
    0.990         11/24/2015         02/24/2016        (764     (765

UBS

    0.900         10/20/2015         01/20/2016        (950     (952
    1.737         11/05/2015         02/05/2016        (2,220     (2,226
    1.737         11/06/2015         02/08/2016        (711     (713
    1.828         11/20/2015         02/22/2016        (3,612     (3,620
    1.878         11/20/2015         02/22/2016        (2,369     (2,375
           

 

 

 

Total Reverse Repurchase Agreements

  

    $     (82,849
           

 

 

 

 

(2) 

Open maturity reverse repurchase agreement.

(3) 

The average amount of borrowings outstanding during the period ended December 31, 2015 was $(86,969) at a weighted average interest rate of 1.276%.

 

BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY

 

The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral (received)/pledged as of December 31, 2015:

 

(g) Securities with an aggregate market value of $103,470 and cash of $370 have been pledged as collateral under the terms of the following master agreements as of December 31, 2015.

 

Counterparty   Repurchase
Agreement
Proceeds
to be
Received
     Payable for
Reverse
Repurchase
Agreements
     Payable for
Sale-Buyback
Transactions
     Total
Borrowings and
Other Financing
Transactions
     Collateral
(Received)/Pledged
     Net Exposure  (4)  

Global/Master Repurchase Agreement

                

BCY

  $ 0       $ (10,821    $ 0       $ (10,821    $ 15,319       $     4,498   

BOS

    0         (1,865      0         (1,865      2,040         175   

DEU

    0         (11,590      0             (11,590          12,199         609   

JPS

    0         (7,196      0         (7,196      8,487         1,291   

MSC

    0         (3,708      0         (3,708      4,626         918   

RDR

    0         (7,256      0         (7,256      8,457         1,201   

RTA

    0         (16,568      0         (16,568      23,500         6,932   

SAL

    100         (10,161      0         (10,061      11,778         1,717   

SOG

    0         (3,798      0         (3,798      4,008         210   

SSB

    168         0         0         168         (172      (4

UBS

    0         (9,886      0         (9,886      13,324         3,438   
 

 

 

    

 

 

    

 

 

          

Total Borrowings and Other Financing Transactions

  $     268       $     (82,849    $     0            
 

 

 

    

 

 

    

 

 

          

 

(4) 

Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements.

 

30   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


 

December 31, 2015 (Unaudited)

 

 

CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS

 

Remaining Contractual Maturity of the Agreements

 

     Overnight and
Continuous
     Up to 30 days      31-90 days      Greater Than 90 days     Total  

Reverse Repurchase Agreements

            

Asset-Backed Securities

  $ 0       $ 0       $ (8,935    $ (16,084   $ (25,019

Corporate Bonds & Notes

    0         (9,435      (6,462      (3,734     (19,631

Non-Agency Mortgage-Backed Securities

    0         (11,407      (11,642      (11,964     (35,013

U.S. Government Agencies

    0         0         (1,445      0        (1,445
 

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Total Borrowings

  $     0       $     (20,842    $     (28,484    $     (31,782   $ (81,108
 

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Gross amount of recognized liabilities for reverse repurchase agreements (5)

  

        $     (81,108
            

 

 

 

 

(5) 

Unsettled reverse repurchase agreements liability of $(1,741) is outstanding at period end.

 

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

 

SWAP AGREEMENTS:

 

INTEREST RATE SWAPS

 

Pay/Receive
Floating Rate
   Floating Rate Index    Fixed Rate     Maturity
Date
     Notional
Amount
    Market
Value
     Unrealized
(Depreciation)
     Variation Margin  
                   Asset      Liability  

Pay

  

3-Month USD-LIBOR

     2.750     06/17/2025       $     2,220      $     113       $ (23    $ 8       $ 0   

Receive

  

3-Month USD-LIBOR

     2.750        12/16/2045         1,500        (31      (99      0         (13
            

 

 

    

 

 

    

 

 

    

 

 

 
             $ 82       $ (122    $ 8       $ (13
            

 

 

    

 

 

    

 

 

    

 

 

 

Total Swap Agreements

  

  $ 82       $     (122    $     8       $     (13
            

 

 

    

 

 

    

 

 

    

 

 

 

 

FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED SUMMARY

 

The following is a summary of the market value and variation margin of Exchange-Traded or Centrally Cleared Financial Derivative Instruments as of December 31, 2015:

 

Cash of $221 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2015. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements.

 

    Financial Derivative Assets         Financial Derivative Liabilities  
    Market Value     Variation Margin
Asset
    Total         Market Value     Variation Margin
Liability
    Total  
     Purchased
Options
    Futures     Swap
Agreements
          Written
Options
    Futures     Swap
Agreements
   

Total Exchange-Traded or Centrally Cleared

  $     0      $     0      $     8      $     8        $     0      $       0      $      (13)    $     (13
 

 

 

   

 

 

   

 

 

   

 

 

     

 

 

   

 

 

   

 

 

   

 

 

 

 

(i)  FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER

 

SWAP AGREEMENTS:

 

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

 

Counterparty   Index/Tranches   Fixed
Receive Rate
    Maturity
Date
    Notional
Amount  (2)
    Premiums
(Received)
    Unrealized
Appreciation
    Swap Agreements, at Value (3)  
              Asset     Liability  
GST  

ABX.HE.AA.6-1 Index

    0.320%        07/25/2045      $     6,545      $ (1,302   $ 7      $ 0      $ (1,295
 

ABX.HE.PENAAA.7-1 Index

    0.090           08/25/2037        1,929        (374     8        0        (366
         

 

 

   

 

 

   

 

 

   

 

 

 
          $ (1,676   $ 15      $ 0      $ (1,661
         

 

 

   

 

 

   

 

 

   

 

 

 

Total Swap Agreements

  

      $     (1,676   $     15      $     0      $     (1,661
         

 

 

   

 

 

   

 

 

   

 

 

 

 

(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 or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

(2) 

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

(3) 

The prices and resulting values for credit default swap agreements on credit indices serve as an indicator 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 referenced indices’ credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

 

See Accompanying Notes   SEMIANNUAL REPORT   DECEMBER 31, 2015   31


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

 

 

FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER SUMMARY

 

The following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral pledged as of December 31, 2015:

 

(j) Securities with an aggregate market value of $1,703 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2015.

 

    Financial Derivative Assets          Financial Derivative Liabilities                     
Counterparty   Forward
Foreign
Currency
Contracts
     Purchased
Options
     Swap
Agreements
     Total
Over the
Counter
          Forward
Foreign
Currency
Contracts
     Written
Options
     Swap
Agreements
    Total
Over the
Counter
    Net Market
Value of OTC
Derivatives
    Collateral
Pledged
     Net
Exposure  (4)
 

GST

  $ 0       $ 0       $ 0       $ 0         $ 0       $ 0       $ (1,661   $ (1,661   $ (1,661   $ 1,703       $ 42   
 

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

    

 

 

   

 

 

        

 

(4) 

Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements.

 

FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS

 

The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal Risks, in the Notes to Financial Statements on risks of the Fund.

 

Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of December 31, 2015:

 

    Derivatives not accounted for as hedging instruments  
     Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Exchange
Contracts
     Interest
Rate Contracts
     Total  

Financial Derivative Instruments - Assets

                

Exchange-traded or centrally cleared

                

Swap Agreements

  $ 0       $ 0       $ 0       $ 0       $ 8       $ 8   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Financial Derivative Instruments - Liabilities

                

Exchange-traded or centrally cleared

                

Swap Agreements

  $ 0       $ 0       $ 0       $ 0       $ 13       $ 13   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Over the counter

                

Swap Agreements

  $ 0       $ 1,661       $ 0       $ 0       $ 0       $ 1,661   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
  $     0       $     1,661       $     0       $     0       $     13       $     1,674   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

The effect of Financial Derivative Instruments on the Statements of Operations for the period ended December 31, 2015:

 

    Derivatives not accounted for as hedging instruments  
     Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Exchange
Contracts
     Interest
Rate Contracts
     Total  

Net Realized Gain (Loss) on Financial Derivative Instruments

                

Exchange-traded or centrally cleared

                

Swap Agreements

  $ 0       $ 0       $ 0       $ 0       $ (133    $ (133
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Over the counter

                

Swap Agreements

  $ 0       $ 3,189       $ 0       $ 0       $ 135       $ 3,324   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
  $ 0       $ 3,189       $ 0       $ 0       $ 2       $ 3,191   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net Change in Unrealized (Depreciation) on Financial Derivative Instruments

  

           

Exchange-traded or centrally cleared

                

Swap Agreements

  $ 0       $ 0       $ 0       $ 0       $ (95    $ (95
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Over the counter

                

Swap Agreements

  $ 0       $ (3,141    $ 0       $ 0       $ (111    $ (3,252
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
  $     0       $     (3,141    $     0       $     0       $     (206    $     (3,347
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

32   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


 

December 31, 2015 (Unaudited)

 

 

FAIR VALUE MEASUREMENTS

 

The following is a summary of the fair valuations according to the inputs used as of December 31, 2015 in valuing the Fund’s assets and liabilities:

 

Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
12/31/2015
 

Investments in Securities, at Value

       

Bank Loan Obligations

  $ 0      $ 5,570      $ 0      $ 5,570   

Corporate Bonds & Notes

       

Banking & Finance

    0        8,402            5,920        14,322   

Industrials

    0        14,111        1,319        15,430   

Utilities

    0        2,818        0        2,818   

Municipal Bonds & Notes

       

Arkansas

    0        518        0        518   

West Virginia

    0        741        0        741   

U.S. Government Agencies

    0        2,774        0        2,774   

Non-Agency Mortgage-Backed Securities

    0            83,319        739            84,058   

Asset-Backed Securities

    0        61,882        75        61,957   

Common Stocks

       

Energy

        77        0        0        77   

Short-Term Instruments

       

Repurchase Agreements

    0        268        0        268   

Short-Term Notes

    0        4,999        0        4,999   

U.S. Treasury Bills

    0        1,703        0        1,703   

Total Investments

  $     77      $     187,105      $     8,053      $     195,235   
Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
12/31/2015
 

Financial Derivative Instruments - Assets

  

   

Exchange-traded or centrally cleared

  $ 0      $ 8      $ 0      $ 8   

Financial Derivative Instruments - Liabilities

  

   

Exchange-traded or centrally cleared

    0        (13     0        (13

Over the counter

    0        (1,661     0        (1,661
  $ 0      $ (1,674   $ 0      $ (1,674

Totals

  $     77      $     185,439      $     8,053      $     193,569   
 

 

There were no significant transfers between Levels 1 and 2 during the period ended December 31, 2015.

 

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended December 31, 2015:

 

Category and Subcategory   Beginning
Balance
at 06/30/2015
    Net
Purchases
    Net
Sales
    Accrued
Discounts/
(Premiums)
    Realized
Gain/(Loss)
    Net Change in
Unrealized
Appreciation/
(Depreciation) (1)
    Transfers into
Level 3
    Transfers out
of Level 3
    Ending
Balance
at 12/31/2015
    Net Change in
Unrealized
Appreciation/
(Depreciation)
on Investments
Held  at
12/31/2015 (1)
 

Investments in Securities, at Value

                   

Bank Loan Obligations

  $ 424      $ 0      $ (2   $ 1      $ 0      $ (56   $ 0      $ (367   $ 0      $ 0   

Corporate Bonds & Notes

                   

Banking & Finance

    6,039        179        (19         (2         0            (277     0        0            5,920            (277

Industrials

    1,825        0        (80     1        0        (10     0            (417     1,319        9   

Mortgage-Backed Securities

    672        0        (18     2        1        19            63        0        739        20   

Asset-Backed Securities

    75        0        0        3        0        (3     0        0        75        (3

Warrants

                   

Industrials

    12        0        0        0        0        (12     0        0        0        (11
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Totals

  $     9,047      $     179      $     (119   $ 5      $ 1      $ (339   $ 63      $ (784   $ 8,053      $ (262
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

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

 

Category and Subcategory   Ending
Balance
at 12/31/2015
       Valuation
Technique
   Unobservable
Inputs
   Input Value(s)
(% Unless
Noted
Otherwise)
 

Investments in Securities, at Value

     

Corporate Bonds & Notes

            

Banking & Finance

  $ 3,918         Reference Instrument    Spread      210.00 bps   
    1,217         Reference Instrument    Spread Movement      653.21 bps   
    785         Proxy Pricing    Base Price      99.87   

Industrials

    1,319         Proxy Pricing    Base Price      6.94-100.09   

Mortgage-Backed Securities

    63         Other Valuation Techniques (2)         —     
    676         Proxy Pricing    Base Price      7.75-102.50   

Asset-Backed Securities

    75         Proxy Pricing    Base Price      2.39-54.93   
 

 

 

            

Total

  $     8,053              
 

 

 

            

 

(1) 

Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at December 31, 2015 may be due to an investment no longer held or categorized as Level 3 at period end.

(2) 

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

 

See Accompanying Notes   SEMIANNUAL REPORT   DECEMBER 31, 2015   33


Schedule of Investments PIMCO Global StocksPLUS® & Income Fund

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
INVESTMENTS IN SECURITIES 147.9%   
BANK LOAN OBLIGATIONS 2.8%   

Energy Future Intermediate Holding Co. LLC

  

4.250% due 06/19/2016

  $     2,363      $     2,359   

iHeartCommunications, Inc.

  

7.174% due 01/30/2019

      200          141   

OGX

  

TBD% - 13.000% due 04/10/2049

    133          136   

Sequa Corp.

       

5.250% due 06/19/2017

      912          634   
       

 

 

 

Total Bank Loan Obligations (Cost $3,523)

      3,270   
       

 

 

 
CORPORATE BONDS & NOTES 40.4%   
BANKING & FINANCE 23.8%   

AGFC Capital Trust

  

6.000% due 01/15/2067 (j)

      1,000          705   

Banco do Brasil S.A.

  

9.000% due 06/18/2024 (f)(j)

      900          594   

Banco Espirito Santo S.A.

  

4.000% due 01/21/2019

  EUR     200          30   

4.750% due 01/15/2018

      100          15   

Barclays Bank PLC

  

14.000% due 06/15/2019 (f)

  GBP     100          191   

Blackstone CQP Holdco LP

  

9.296% due 03/19/2019

  $     4,796          4,783   

BNP Paribas S.A.

  

7.375% due 08/19/2025 (f)(j)

      1,100          1,130   

Cantor Fitzgerald LP

  

7.875% due 10/15/2019 (j)

      370          407   

Communications Sales & Leasing, Inc.

  

8.250% due 10/15/2023 (j)

      400          343   

Exeter Finance Corp.

  

9.750% due 05/20/2019

      900          884   

Ford Motor Credit Co. LLC

  

8.000% due 12/15/2016 (j)

      3,850          4,072   

Jefferies Finance LLC

  

7.500% due 04/15/2021 (j)

      767          678   

Jefferies LoanCore LLC

  

6.875% due 06/01/2020 (j)

      800          768   

KGH Intermediate Holdco LLC

  

8.500% due 08/08/2019 (h)

      1,840          1,543   

LBG Capital PLC

  

7.588% due 05/12/2020 (j)

  GBP     500          754   

15.000% due 12/21/2019 (j)

      800          1,605   

Navient Corp.

  

5.500% due 01/15/2019 (j)

  $     1,000          937   

8.450% due 06/15/2018 (j)

      970          1,023   

OneMain Financial Holdings, Inc.

  

7.250% due 12/15/2021 (j)

      613          616   

Pinnacol Assurance

  

8.625% due 06/25/2034 (h)

      1,100          1,131   

Rabobank Group

  

6.875% due 03/19/2020 (j)

  EUR     1,000          1,296   

11.000% due 06/30/2019 (f)(j)

  $     1,135          1,405   

Springleaf Finance Corp.

  

6.500% due 09/15/2017 (j)

      900          920   

6.900% due 12/15/2017

      200          208   

TIG FinCo PLC

  

8.500% due 03/02/2020

  GBP     132          200   

8.750% due 04/02/2020

      678          889   

Toll Road Investors Partnership LP

  

0.000% due 02/15/2045 (e)

  $     1,010          212   
       

 

 

 
            27,339   
       

 

 

 
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
INDUSTRIALS 13.3%   

Ancestry.com Holdings LLC (9.625% Cash or 10.375% PIK)

   

9.625% due 10/15/2018 (b)(j)

  $     264      $     261   

Boxer Parent Co., Inc. (9.000% Cash or 9.750% PIK)

  

9.000% due 10/15/2019 (b)(j)

      1,308          816   

Caesars Entertainment Operating Co., Inc.

  

8.500% due 02/15/2020 ^(g)(j)

      3,667          2,805   

9.000% due 02/15/2020 ^(g)(j)

      183          140   

Chesapeake Energy Corp.

  

3.571% due 04/15/2019

      20          6   

Corp. GEO S.A.B. de C.V.

  

9.250% due 06/30/2020 ^

      470          10   

CVS Pass-Through Trust

  

5.880% due 01/10/2028 (j)

      534          575   

Enterprise Inns PLC

  

6.875% due 05/09/2025

  GBP     10          15   

Forbes Energy Services Ltd.

  

9.000% due 06/15/2019

  $     292          142   

Global Geophysical Services, Inc.

  

10.500% due 05/01/2017 ^

      357          25   

Harvest Operations Corp.

  

6.875% due 10/01/2017 (j)

      940          728   

iHeartCommunications, Inc.

  

9.000% due 03/01/2021 (j)

      690          484   

9.000% due 09/15/2022 (j)

      1,000          694   

Intelsat Luxembourg S.A.

  

7.750% due 06/01/2021 (j)

      1,310          616   

8.125% due 06/01/2023

      54          25   

Intrepid Aviation Group Holdings LLC

  

6.875% due 02/15/2019

      1,890          1,559   

Millar Western Forest Products Ltd.

  

8.500% due 04/01/2021

      30          16   

Numericable-SFR S.A.S.

  

6.250% due 05/15/2024 (j)

      1,900          1,838   

OGX Austria GmbH

  

8.375% due 04/01/2022 ^

      2,050          0   

8.500% due 06/01/2018 ^

      1,400          0   

Rockies Express Pipeline LLC

  

6.875% due 04/15/2040

      71          61   

Scientific Games International, Inc.

  

10.000% due 12/01/2022 (j)

      700          500   

Sequa Corp.

  

7.000% due 12/15/2017 (j)

      1,166          376   

Spanish Broadcasting System, Inc.

  

12.500% due 04/15/2017 (j)

      500          493   

Tembec Industries, Inc.

  

9.000% due 12/15/2019 (j)

      600          393   

UAL Pass-Through Trust

  

6.636% due 01/02/2024 (j)

      1,545          1,647   

10.400% due 05/01/2018 (j)

      210          223   

Westmoreland Coal Co.

  

8.750% due 01/01/2022 (j)

      1,415          877   
       

 

 

 
            15,325   
       

 

 

 
       
UTILITIES 3.3%   

Frontier Communications Corp.

  

8.875% due 09/15/2020

      90          91   

10.500% due 09/15/2022

      150          149   

11.000% due 09/15/2025

      150          149   

Illinois Power Generating Co.

  

6.300% due 04/01/2020 (j)

      480          290   

7.950% due 06/01/2032 (j)

      800          468   

Odebrecht Drilling Norbe Ltd.

  

6.350% due 06/30/2022

      785          290   
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Odebrecht Offshore Drilling Finance Ltd.

  

6.625% due 10/01/2023 (g)

  $     827      $     190   

Petrobras Global Finance BV

  

6.750% due 01/27/2041 (j)

      1,790          1,155   

6.850% due 06/05/2049

      300          196   

6.875% due 01/20/2040 (j)

      520          341   

7.875% due 03/15/2019 (j)

      440          391   

Sierra Hamilton LLC

  

12.250% due 12/15/2018

      100          49   

Sprint Capital Corp.

  

6.875% due 11/15/2028

      100          70   
       

 

 

 
          3,829   
       

 

 

 

Total Corporate Bonds & Notes
(Cost $55,082)

   

        46,493   
       

 

 

 
       
MUNICIPAL BONDS & NOTES 1.4%   
ILLINOIS 0.1%   

Chicago, Illinois General Obligation Bonds, Series 2015

  

7.375% due 01/01/2033

      40          42   

7.750% due 01/01/2042

      70          71   
       

 

 

 
          113   
       

 

 

 
WEST VIRGINIA 1.3%   

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

   

7.467% due 06/01/2047

      1,715          1,487   
       

 

 

 

Total Municipal Bonds & Notes (Cost $1,725)

    1,600   
       

 

 

 
U.S. GOVERNMENT AGENCIES 2.7%   

Fannie Mae

  

5.628% due 03/25/2037 (a)(j)

      655          112   

5.728% due 11/25/2039 (a)(j)

      584          93   

5.878% due 01/25/2038 (a)(j)

      840          126   

5.958% due 03/25/2037 (a)(j)

      669          100   

5.978% due 12/25/2037 (a)(j)

      993          131   

5.988% due 06/25/2037 (a)(j)

      253          38   

6.018% due 04/25/2037 (a)(j)

      594          87   

6.028% due 04/25/2037 (a)(j)

      1,494          277   

6.178% due 11/25/2035 (a)(j)

      265          41   

6.378% due 11/25/2036 (a)(j)

      3,111          537   

6.778% due 02/25/2037 (a)(j)

      605          107   

7.000% due 12/25/2023 (j)

      162          181   

7.500% due 06/01/2032

      46          48   

7.800% due 06/25/2026

      4          4   

9.973% due 12/25/2042

      99          113   

13.610% due 08/25/2022 (j)

      197          258   

Freddie Mac

  

0.737% due 10/25/2020 (a)(j)

      10,673          307   

6.110% due 03/15/2037 (a)(j)

      1,068          153   

6.240% due 09/15/2036 (a)(j)

      657          98   

6.250% due 09/15/2036 (a)(j)

      1,461          246   

7.000% due 08/15/2023

      8          9   
       

 

 

 

Total U.S. Government Agencies
(Cost $3,041)

      3,066   
       

 

 

 
U.S. TREASURY OBLIGATIONS 0.9%   

U.S. Treasury Notes

  

1.500% due 08/31/2018 (l)(n)

      1,000          1,007   
       

 

 

 

Total U.S. Treasury Obligations
(Cost $1,000)

    1,007   
       

 

 

 
NON-AGENCY MORTGAGE-BACKED SECURITIES 65.7%   

Banc of America Alternative Loan Trust

  

16.012% due 09/25/2035 ^(j)

      2,499          3,068   
 

 

34   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


 

December 31, 2015 (Unaudited)

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Banc of America Funding Trust

  

2.621% due 03/20/2036

  $     991      $     917   

2.811% due 12/20/2034

      626          570   

5.846% due 01/25/2037 ^

      351          295   

Banc of America Mortgage Trust

  

6.000% due 07/25/2046 ^

      4          4   

Banc of America/Merrill Lynch Commercial Mortgage, Inc.

   

5.762% due 03/11/2041 (j)

      2,000          2,160   

BCAP LLC Trust

  

6.250% due 11/26/2036

      630          637   

BCRR Trust

  

5.858% due 07/17/2040 (j)

      3,000          3,127   

Bear Stearns Adjustable Rate Mortgage Trust

  

2.749% due 07/25/2036 ^

      440          375   

Bear Stearns ALT-A Trust

  

2.587% due 04/25/2035

      359          300   

2.726% due 09/25/2035

      246          209   

2.741% due 11/25/2035 ^

      147          110   

Bear Stearns Asset-Backed Securities Trust

  

22.108% due 03/25/2036 ^(j)

      2,142          2,496   

Bear Stearns Commercial Mortgage Securities Trust

  

5.486% due 02/11/2041

      1,000          996   

Bear Stearns Structured Products, Inc. Trust

  

2.566% due 12/26/2046

      438          324   

2.693% due 01/26/2036 (j)

      1,235          1,021   

BRAD Resecuritization Trust

  

2.178% due 03/12/2021

      2,114          164   

6.550% due 03/12/2021

      395          404   

CBA Commercial Small Balance Commercial Mortgage

  

5.540% due 01/25/2039 ^

      673          587   

Celtic Residential Irish Mortgage Securitisation PLC

  

0.054% due 11/13/2047 (j)

  EUR     2,146          2,211   

Charlotte Gateway Village LLC

  

6.410% due 12/01/2016

  $     251          255   

Chevy Chase Funding LLC Mortgage-Backed Certificates

  

0.561% due 10/25/2034

      14          13   

0.722% due 08/25/2035

      189          172   

Citigroup Mortgage Loan Trust, Inc.

  

2.751% due 03/25/2037 ^(j)

      625          498   

Commercial Mortgage Trust

  

0.132% due 10/10/2046 (a)(j)

      77,000          842   

6.126% due 07/10/2046

      760          815   

Countrywide Alternative Loan Trust

  

0.612% due 05/20/2046 ^(j)

      1,166          892   

0.662% due 12/25/2046 ^

      140          94   

0.752% due 10/25/2035 (j)

      1,374            1,097   

0.772% due 05/25/2036 ^(j)

      2,405          1,409   

2.608% due 10/25/2035 ^

      261          232   

2.673% due 02/25/2037 ^

      355          320   

5.500% due 08/25/2034 (j)

      724          725   

5.500% due 02/25/2036 ^

      38          35   

5.500% due 03/25/2036 ^(j)

      726          619   

6.250% due 09/25/2034

      110          113   

6.728% due 07/25/2036 (a)

      1,746          575   

18.641% due 07/25/2035 (j)

      1,518          2,032   

Countrywide Home Loan Mortgage Pass-Through Trust

  

0.662% due 03/25/2036

      266          226   

0.742% due 03/25/2035 (j)

      1,519          1,345   

1.202% due 02/25/2035

      179          141   

2.506% due 10/20/2035 ^

      223          189   

2.593% due 02/20/2036 ^

      1,606          590   

2.596% due 10/20/2035 ^

      298          271   

2.720% due 03/25/2037 ^

      499          410   

2.766% due 08/25/2034

      357          327   

2.905% due 10/20/2035 (j)

      740          673   

5.500% due 08/25/2035 ^

      49          45   
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Credit Suisse Commercial Mortgage Trust

  

6.067% due 02/15/2041 (j)

  $     2,000      $       2,106   

Credit Suisse Mortgage Capital Certificates

  

5.467% due 09/16/2039 (j)

      900          912   

Credit Suisse Mortgage Capital Mortgage-Backed Trust

  

6.000% due 11/25/2036

      311          299   

First Horizon Alternative Mortgage Securities Trust

  

2.287% due 11/25/2036 ^

      647          511   

First Horizon Mortgage Pass-Through Trust

  

2.731% due 01/25/2037 ^(j)

      1,330          1,185   

GMAC Mortgage Corp. Loan Trust

  

3.277% due 06/25/2034

      160          156   

GS Mortgage Securities Trust

  

6.079% due 08/10/2043 (j)

      730          769   

GSR Mortgage Loan Trust

  

2.676% due 05/25/2035

      224          205   

2.748% due 04/25/2035

      416          399   

5.500% due 06/25/2036 ^

      118          111   

HarborView Mortgage Loan Trust

  

1.002% due 04/19/2034

      33          30   

2.149% due 11/19/2034

      150          119   

2.754% due 02/25/2036 ^

      65          54   

4.007% due 06/19/2036 ^

      572          392   

4.730% due 08/19/2036 ^

      35          32   

HSI Asset Loan Obligation Trust

  

2.713% due 01/25/2037 ^

      575          455   

IndyMac Mortgage Loan Trust

  

0.491% due 06/25/2037 ^(j)

      1,967          1,365   

0.702% due 03/25/2035

      57          50   

2.579% due 06/25/2037 ^

      802          615   

JPMBB Commercial Mortgage Securities Trust

  

0.154% due 11/15/2045 (a)(j)

      76,047          1,497   

JPMorgan Chase Commercial Mortgage Securities Corp.

  

5.587% due 05/15/2041 (j)

      1,500          1,526   

JPMorgan Mortgage Trust

  

2.582% due 04/25/2037 ^(j)

      1,285          997   

5.500% due 01/25/2036 ^

      94          88   

5.500% due 06/25/2037 ^

      79          77   

Luminent Mortgage Trust

  

0.391% due 12/25/2036 (j)

      977          793   

0.622% due 10/25/2046 (j)

      896          771   

MASTR Adjustable Rate Mortgages Trust

  

2.632% due 11/25/2035 ^

      1,101          852   

3.087% due 10/25/2034

      325          287   

Merrill Lynch Alternative Note Asset Trust

  

0.492% due 01/25/2037

      328          147   

Merrill Lynch/Countrywide Commercial Mortgage Trust

  

5.378% due 08/12/2048 (j)

      881          902   

Morgan Stanley Capital Trust

  

5.569% due 12/15/2044 (j)

      1,283          1,337   

Opteum Mortgage Acceptance Corp. Trust

  

0.692% due 07/25/2036

      377          258   

Prime Mortgage Trust

  

6.128% due 11/25/2036 (a)

      6,959          787   

Provident Funding Mortgage Loan Trust

  

2.639% due 10/25/2035

      144          143   

RBSSP Resecuritization Trust

  

5.000% due 09/26/2036 (j)

      2,463          1,693   

Residential Accredit Loans, Inc. Trust

  

3.150% due 12/26/2034 ^

      392          325   

3.811% due 01/25/2036 ^(j)

      1,205          979   

6.000% due 09/25/2035

      599          461   

6.000% due 08/25/2036 ^

      430          351   

Residential Asset Mortgage Products Trust

  

7.500% due 12/25/2031

      121          126   

Royal Bank of Scotland Capital Funding Trust

  

6.068% due 02/17/2051 (j)

      3,000            3,014   
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Structured Adjustable Rate Mortgage Loan Trust

  

1.685% due 05/25/2035 ^(j)

  $     2,839      $     2,023   

2.789% due 09/25/2036 ^

      452          294   

2.877% due 09/25/2035

      130          111   

4.035% due 01/25/2036 ^

      537          413   

4.391% due 11/25/2036 ^

      257          247   

4.456% due 04/25/2036 ^

      587          438   

Structured Asset Mortgage Investments Trust

  

0.652% due 02/25/2036

      539          420   

0.702% due 02/25/2036 ^

      443          346   

Suntrust Adjustable Rate Mortgage Loan Trust

  

2.767% due 01/25/2037 ^

      210          195   

Theatre Hospitals PLC

  

3.579% due 10/15/2031 (j)

  GBP     1,080          1,499   

Wachovia Bank Commercial Mortgage Trust

  

5.169% due 01/15/2041 (j)

  $     1,500          1,519   

5.952% due 02/15/2051 (j)

      2,500          2,640   

WaMu Commercial Mortgage Securities Trust

  

5.773% due 03/23/2045 (j)

      1,000          1,010   

WaMu Mortgage Pass-Through Certificates Trust

  

0.712% due 07/25/2045

      156          147   

0.987% due 01/25/2047

      152          139   

2.300% due 12/25/2036 ^

      666          582   

4.408% due 07/25/2037 ^

      189          175   

Washington Mutual Mortgage Pass-Through Certificates Trust

   

1.027% due 04/25/2047 ^

      1,126          132   

Wells Fargo Mortgage-Backed Securities Trust

  

6.000% due 03/25/2037 ^

      462          456   

Wells Fargo-RBS Commercial Mortgage Trust

  

0.337% due 12/15/2046 (a)

      30,000          715   
       

 

 

 

Total Non-Agency
Mortgage-Backed Securities
(Cost $58,785)

      75,607   
       

 

 

 
       
ASSET-BACKED SECURITIES 12.5%   

Apidos CLO

  

0.000% due 07/22/2026 (e)

      500          275   

Bear Stearns Asset-Backed Securities Trust

  

6.500% due 08/25/2036 ^

      758          499   

Bombardier Capital Mortgage Securitization Corp.

  

7.830% due 06/15/2030

      1,437          778   

Carrington Mortgage Loan Trust

  

0.572% due 08/25/2036

      100          62   

Centex Home Equity Loan Trust

  

0.872% due 06/25/2035

      236          203   

Citigroup Mortgage Loan Trust, Inc.

  

0.582% due 12/25/2036 (j)

      2,154          1,427   

0.582% due 01/25/2037

      247          146   

5.972% due 01/25/2037 ^

      769          514   

Conseco Finance Securitizations Corp.

  

7.960% due 05/01/2031

      449          338   

Countrywide Asset-Backed Certificates

  

0.552% due 12/25/2036 ^(j)

      1,933          1,744   

0.572% due 01/25/2037

      151          145   

0.972% due 09/25/2034

      129          124   

5.397% due 10/25/2032 ^(j)

      882          769   

EMC Mortgage Loan Trust

  

1.362% due 05/25/2039

      577          556   

Lehman XS Trust

  

5.058% due 05/25/2037 ^

      361          463   

5.420% due 11/25/2035 ^

      353          356   

MASTR Asset-Backed Securities Trust

  

5.233% due 11/25/2035

      150          151   

Morgan Stanley ABS Capital, Inc. Trust

  

0.482% due 05/25/2037

      158          101   
 

 

See Accompanying Notes   SEMIANNUAL REPORT   DECEMBER 31, 2015   35


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

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Residential Asset Mortgage Products Trust

  

1.102% due 03/25/2033

  $     62      $     56   

5.572% due 06/25/2032

      94          93   

Soundview Home Loan Trust

  

0.482% due 11/25/2036

      216          80   

South Coast Funding Ltd.

  

0.587% due 01/06/2041

      15,165          4,550   

Structured Asset Securities Corp. Mortgage Loan Trust

  

0.572% due 05/25/2036

      412          397   

0.722% due 06/25/2035

      562          499   

Washington Mutual Asset-Backed Certificates Trust

  

0.482% due 10/25/2036

      124          64   
       

 

 

 

Total Asset-Backed Securities
(Cost $13,010)

      14,390   
       

 

 

 
SOVEREIGN ISSUES 0.7%   

Costa Rica Government International Bond

  

7.000% due 04/04/2044

      300          251   

Republic of Greece Government International Bond

  

3.000% due 02/24/2023

  EUR     33          27   

3.000% due 02/24/2024

      33          26   

3.000% due 02/24/2025

      33          26   

3.000% due 02/24/2026

      33          25   

3.000% due 02/24/2027

      33          24   

3.000% due 02/24/2028

      33          24   

3.000% due 02/24/2029

      33          23   

3.000% due 02/24/2030

      33          23   

3.000% due 02/24/2031

      33          22   

3.000% due 02/24/2032

      33          22   

3.000% due 02/24/2033

      33          22   

3.000% due 02/24/2034

      33          21   

3.000% due 02/24/2035

      33          21   

3.000% due 02/24/2036

      33          21   

3.000% due 02/24/2037

      33          20   

3.000% due 02/24/2038

      33          21   
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

3.000% due 02/24/2039

  EUR     33      $     21   

3.000% due 02/24/2040

      33          21   

3.000% due 02/24/2041

      33          21   

3.000% due 02/24/2042

      33          21   

4.750% due 04/17/2019

      100          100   
       

 

 

 

Total Sovereign Issues (Cost $800)

    803   
       

 

 

 
        SHARES            
COMMON STOCKS 0.1%   
ENERGY 0.0%   

OGX Petroleo e Gas S.A. ADR (c)

    54,707          0   
       

 

 

 
FINANCIALS 0.1%        

TIG FinCo PLC (h)

      103,539          107   
       

 

 

 

Total Common Stocks (Cost $153)

      107   
       

 

 

 
       
WARRANTS 0.0%   
INDUSTRIALS 0.0%   

Global Geophysical Services, Inc. - Exp. 05/01/2049

    1,552          1   
       

 

 

 

Total Warrants (Cost $15)

    1   
       

 

 

 
       
PREFERRED SECURITIES 0.4%   
BANKING & FINANCE 0.4%   

AgriBank FCB

  

6.875% due 01/01/2024 (f)

      4,000          423   
       

 

 

 

Total Preferred Securities (Cost $400)

    423   
       

 

 

 
       
SHORT-TERM INSTRUMENTS 20.3%   
REPURCHASE AGREEMENTS (i) 0.9%   
          983   
       

 

 

 
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
SHORT-TERM NOTES 10.8%   

Federal Home Loan Bank

  

0.228% due 01/22/2016

  $     100      $     100   

0.233% due 01/29/2016

      1,900          1,900   

0.243% due 01/27/2016

      2,300          2,300   

0.254% due 01/27/2016

      300          300   

0.264% due 01/22/2016

      600          600   

0.314% due 01/26/2016

      100          100   

0.330% due 02/26/2016

      7,200          7,197   
       

 

 

 
          12,497   
       

 

 

 
       
U.S. TREASURY BILLS 8.6%   

0.251% due 01/07/2016 - 06/30/2016 (d)(n)

      9,914          9,912   
       

 

 

 
Total Short-Term Instruments
(Cost $23,391)
          23,392   
       

 

 

 
Total Investments in Securities
(Cost $160,925)
          170,159   
       
Total Investments 147.9%
(Cost $160,925)
      $     170,159   

Financial Derivative
Instruments (k)(m) (6.4%)

(Cost or Premiums, net $(692))

    (7,389
Other Assets and Liabilities, net (41.5%)     (47,754
       

 

 

 
Net Assets 100.0%      $       115,016   
       

 

 

 
 

NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*, EXCEPT NUMBER OF CONTRACTS AND UNITS):

 

* A zero balance may reflect actual amounts rounding to less than one thousand.
^ Security is in default.
(a) Interest only security.
(b) Payment in-kind bond security.
(c) Security did not produce income within the last twelve months.
(d) Coupon represents a weighted average yield to maturity.
(e) Zero coupon bond.
(f) Perpetual maturity; date shown, if applicable, represents next contractual call date.
(g) Security is subject to a forbearance agreement entered into by the Fund which forbears the Fund from taking action to, among other things, accelerate and collect payments on the subject note with respect to specified events of default.

 

(h)  RESTRICTED SECURITIES:

 

Issuer Description   Acquisition
Date
  Cost     Market
Value
    Market Value
as Percentage
of Net Assets
 

KGH Intermediate Holdco LLC 8.500% due 08/08/2019

  08/07/2014   $ 1,813      $ 1,543        1.35%   

Pinnacol Assurance 8.625% due 06/25/2034

  06/23/2014     1,100        1,131        0.98%   

TIG FinCo PLC

  04/02/2015     153        107        0.09%   
   

 

 

   

 

 

   

 

 

 
    $     3,066      $     2,781        2.42%   
   

 

 

   

 

 

   

 

 

 

 

36   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


 

December 31, 2015 (Unaudited)

 

 

BORROWINGS AND OTHER FINANCING TRANSACTIONS

 

(i)  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)
 

SAL

  0.580%     12/31/2015        01/04/2016      $     200      U.S. Treasury Notes 2.750% due 02/15/2024   $ (204   $ 200      $ 200   

SSB

  0.010     12/31/2015        01/04/2016        783      Fannie Mae 2.170% due 10/17/2022     (802     783        783   
           

 

 

   

 

 

   

 

 

 

Total Repurchase Agreements

  

        $     (1,006   $     983      $     983   
           

 

 

   

 

 

   

 

 

 

 

(1) 

Includes accrued interest.

 

REVERSE REPURCHASE AGREEMENTS:

 

Counterparty   Borrowing
Rate
     Borrowing
Date
     Maturity
Date
    Amount
Borrowed  (3)
    Payable for
Reverse
Repurchase
Agreements
 

BCY

    (2.000 %)       11/30/2015         TBD (2)      $        (382   $ (381
    0.000         11/24/2015         TBD (2)        (1,908     (1,908
    1.070         10/22/2015         01/22/2016          (1,454     (1,457
    1.073         10/08/2015         01/08/2016          (913     (915
    1.650         12/14/2015         02/12/2016          (620     (621
    1.820         10/22/2015         01/22/2016          (2,636     (2,646
    1.862         11/17/2015         02/17/2016          (2,229     (2,235
    2.134         10/01/2015         04/01/2016          (591     (594
    2.176         10/01/2015         10/03/2016          (1,142     (1,149

BOS

    2.362         12/08/2015         03/08/2016          (2,273     (2,277
    2.505         09/21/2015         03/21/2016          (1,475     (1,486

BPG

    2.093         03/23/2015         03/22/2016          (1,254     (1,255

DEU

    1.000         10/08/2015         01/08/2016          (517     (518
    1.000         10/14/2015         01/14/2016          (837     (839
    1.000         10/29/2015         01/29/2016          (725     (726
    1.100         11/30/2015         03/01/2016          (1,522     (1,524
    1.100         12/04/2015         03/04/2016          (2,782     (2,785
    1.150         12/04/2015         03/04/2016          (218     (218
    1.200         12/16/2015         03/16/2016          (2,415     (2,417
    1.250         12/21/2015         03/21/2016          (647     (647
    1.400         12/22/2015         03/01/2016              (1,871     (1,872

FOB

    2.067         12/14/2015         01/14/2016          (2,322     (2,325

JPS

    1.354         08/07/2015         02/08/2016          (1,944     (1,955
    1.652         12/16/2015         03/16/2016          (1,272     (1,273

MSC

    1.300         11/09/2015         02/09/2016          (2,690     (2,695
    1.400         12/21/2015         03/21/2016          (1,924     (1,925
    1.500         12/21/2015         03/21/2016          (1,220     (1,221

RDR

    0.630         10/29/2015         01/29/2016          (1,098     (1,099
    0.760         11/23/2015         02/23/2016          (2,929     (2,932
    0.940         12/24/2015         03/11/2016          (319     (319
    1.400         11/30/2015         05/27/2016          (3,293     (3,297
    1.450         07/14/2015         01/14/2016          (1,155     (1,163

RTA

    1.493         12/15/2015         03/11/2016          (1,788     (1,789
    1.697         07/02/2015         07/01/2016          (1,615     (1,629
    2.039         12/21/2015         12/20/2016          (1,742     (1,743

SAL

    1.121         10/15/2015         01/15/2016          (1,395     (1,399
    1.404         11/18/2015         05/18/2016          (630     (631

SOG

    0.820         10/19/2015         01/19/2016          (847     (849
    0.950         11/30/2015         03/01/2016          (875     (876
    0.990         11/23/2015         02/23/2016          (444     (445

UBS

    0.550         12/04/2015         03/04/2016        EUR        (1,051     (1,143
    0.860         10/16/2015         01/18/2016          (1,611     (1,754
    0.900         12/14/2015         01/28/2016        $        (1,360     (1,361
    0.950         11/11/2015         02/11/2016        GBP        (990     (1,462
    0.950         11/30/2015         03/01/2016        $        (1,031     (1,032
    0.950         12/22/2015         01/18/2016        GBP        (428     (631
    1.000         12/14/2015         01/28/2016        $        (751     (751
    1.050         11/30/2015         03/01/2016          (837     (838
    1.050         12/14/2015         01/28/2016          (606     (606
    1.481         10/02/2015         01/05/2016        GBP        (824     (1,219
    1.710         03/24/2015         01/04/2016        $        (3,882     (3,935
    1.740         03/24/2015         01/04/2016          (2,268     (2,299
             

 

 

 

Total Reverse Repurchase Agreements

  

         $     (75,066
             

 

 

 

 

See Accompanying Notes   SEMIANNUAL REPORT   DECEMBER 31, 2015   37


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

 

 

(2) 

Open maturity reverse repurchase agreement.

(3) 

The average amount of borrowings outstanding during the period ended December 31, 2015 was $(67,982) at a weighted average interest rate of 1.282%.

 

BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY

 

The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral (received)/pledged as of December 31, 2015:

 

(j) Securities with an aggregate market value of $91,548 and cash of $148 have been pledged as collateral under the terms of the following master agreements as of December 31, 2015.

 

Counterparty   Repurchase
Agreement
Proceeds
to be
Received
     Payable for
Reverse
Repurchase
Agreements
     Payable for
Sale-Buyback
Transactions
     Total
Borrowings and
Other Financing
Transactions
     Collateral
(Received)/Pledged
     Net Exposure  (4)  

Global/Master Repurchase Agreement

                

BCY

  $ 0       $ (11,906    $ 0       $     (11,906    $     15,170       $     3,264   

BOS

    0         (3,763      0         (3,763      5,718         1,955   

BPG

    0         (1,255      0         (1,255      1,345         90   

DEU

    0         (11,546      0         (11,546      13,253         1,707   

FOB

    0         (2,325      0         (2,325      3,679         1,354   

JPS

    0         (3,228      0         (3,228      3,632         404   

MSC

    0         (5,841      0         (5,841      6,970         1,129   

RDR

    0         (8,810      0         (8,810      9,592         782   

RTA

    0         (5,161      0         (5,161      7,060         1,899   

SAL

    200         (2,030      0         (1,830      2,319         489   

SOG

    0         (2,170      0         (2,170      2,342         172   

SSB

    783         0         0         783         (802      (19

UBS

    0         (17,031      0         (17,031      20,414         3,383   
 

 

 

    

 

 

    

 

 

          

Total Borrowings and Other Financing Transactions

  $     983       $     (75,066    $     0            
 

 

 

    

 

 

    

 

 

          

 

(4) 

Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements.

 

CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS

 

Remaining Contractual Maturity of the Agreements

 

     Overnight and
Continuous
     Up to 30 days      31-90 days      Greater Than 90 days     Total  

Reverse Repurchase Agreements

  

       

Asset-Backed Securities

  $ 0       $ 0       $ (942    $ (1,743   $ (2,685

Corporate Bonds and Notes

    0         (7,381      (19,128      (2,289     (28,798

Non-Agency Mortgage Securities

    0         (16,740      (17,169      (7,301     (41,210

U.S. Government Agencies

    0         (2,373      0         0        (2,373
 

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Total Borrowings

  $     0       $     (26,494    $     (37,239    $     (11,333   $     (75,066
 

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Gross amount of recognized liabilities for reverse repurchase agreements

  

  $ (75,066
            

 

 

 

 

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

 

PURCHASED OPTIONS:

 

OPTIONS ON EXCHANGE-TRADED FUTURES CONTRACTS

 

Description    Strike
Price
     Expiration
Date
     # of
Contracts
    Cost     Market
Value
 

Put - CME S&P 500 Index January Futures

   $     1,945.000         01/15/2016         108      $ 0      $ 167   
          

 

 

   

 

 

 

Total Purchased Options

           $     0      $     167   
          

 

 

   

 

 

 

 

WRITTEN OPTIONS:

 

OPTIONS ON EXCHANGE-TRADED FUTURES CONTRACTS

 

Description    Strike
Price
     Expiration
Date
     # of
Contracts
    Premiums
(Received)
    Market
Value
 

Call - CME S&P 500 Index January Futures

   $     2,045.000         01/15/2016         108      $ 0      $ (556
          

 

 

   

 

 

 

Total Written Options

           $     0      $     (556
          

 

 

   

 

 

 

 

38   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


 

December 31, 2015 (Unaudited)

 

 

FUTURES CONTRACTS:

 

Description   Type    Expiration
Month
     # of
Contracts
    Unrealized
Appreciation
    Variation Margin  
            Asset     Liability  

E-mini S&P 500 Index March Futures

  Long      03/2016         9      $ 8      $ 0      $ (8

S&P 500 Index March Futures

  Long      03/2016         111        372        0        (533
         

 

 

   

 

 

   

 

 

 

Total Futures Contracts

          $     380      $     0      $     (541
         

 

 

   

 

 

   

 

 

 

 

SWAP AGREEMENTS:

 

INTEREST RATE SWAPS

 

Pay/Receive
Floating Rate
   Floating Rate Index    Fixed Rate     Maturity
Date
     Notional
Amount
    Market
Value
     Unrealized
Appreciation/
(Depreciation)
    Variation Margin  
                  Asset      Liability  

Pay

  

3-Month CAD-Bank Bill

     3.300     06/19/2024         CAD        4,900      $ 470       $ 242      $ 6       $ 0   

Receive

  

3-Month CAD-Bank Bill

     3.500        06/20/2044           1,600        (252      (196     0         (6

Pay

  

3-Month USD-LIBOR

     2.750        06/19/2023         $        345,000        18,086         15,237        982         0   

Pay

  

3-Month USD-LIBOR

     3.000        06/18/2024           19,700        1,419         385        65         0   

Receive

  

3-Month USD-LIBOR

     2.250        06/15/2026           328,400        1,219         804        0         (1,318
              

 

 

    

 

 

   

 

 

    

 

 

 
               $ 20,942       $ 16,472      $ 1,053       $ (1,324
              

 

 

    

 

 

   

 

 

    

 

 

 

Total Swap Agreements

               $     20,942       $     16,472      $     1,053       $     (1,324
              

 

 

    

 

 

   

 

 

    

 

 

 

 

FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED SUMMARY

 

The following is a summary of the market value and variation margin of Exchange-Traded or Centrally Cleared Financial Derivative Instruments as of December 31, 2015:

 

(l) Securities with an aggregate market value of $1,006 and cash of $28,233 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2015. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements.

 

    Financial Derivative Assets         Financial Derivative Liabilities  
    Market Value     Variation Margin
Asset
    Total         Market Value     Variation Margin
Liability
    Total  
     Purchased
Options
    Futures     Swap
Agreements
          Written
Options
    Futures     Swap
Agreements
   

Total Exchange-Traded or Centrally Cleared

  $     167      $     0      $     1,053      $     1,220        $     (556)      $     (541)      $     (1,324)      $     (2,421)   
 

 

 

   

 

 

   

 

 

   

 

 

     

 

 

   

 

 

   

 

 

   

 

 

 

 

(m)  FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER

 

FORWARD FOREIGN CURRENCY CONTRACTS:

 

Counterparty    Settlement
Month
     Currency to
be Delivered
     Currency to
be Received
    Unrealized Appreciation/
(Depreciation)
 
           Asset     Liability  

BOA

     02/2016       $          2,594         GBP        1,746      $ 0      $     (20
                

CBK

     01/2016           1,331           880        0        (34
     02/2016         SEK        104       $          12        0        0   
     02/2016         SGD        31           22        0        0   
                

DUB

     01/2016         BRL        903           239            11        0   
     01/2016       $          231         BRL        903        0        (2
     02/2016         BRL        903       $          228        2        0   
     02/2016         DKK        84           12        0        0   
                

GLM

     01/2016         JPY        38,008           312        0        (4
     01/2016       $          133         JPY        16,315        3        0   
                

HUS

     01/2016         EUR        2,723       $          2,902        0        (58
     01/2016       $          1,140         EUR        1,050        1        0   
     02/2016         AUD        50       $          35        0        (1
     02/2016         CHF        24           24        0        0   
     02/2016         HKD        403           52        0        0   
     02/2016         JPY        5,780           47        0        (1
                

JPM

     01/2016         EUR        253           277        2        0   
     01/2016       $          4,862         GBP        3,276        0        (32
     02/2016         CAD        54       $          41        2        0   
     02/2016         CHF        32           32        0        0   
     02/2016         GBP        3,276           4,862        32        0   
     02/2016         JPY        5,034           41        0        (1
     02/2016       $          136         EUR        125        0        0   
                

 

See Accompanying Notes   SEMIANNUAL REPORT   DECEMBER 31, 2015   39


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

 

Counterparty    Settlement
Month
     Currency to
be Delivered
     Currency to
be Received
    Unrealized Appreciation/
(Depreciation)
 
           Asset     Liability  

MSB

     01/2016         GBP        4,631       $          6,982      $ 155      $ 0   
     01/2016       $          179         JPY            21,693        1        0   
     02/2016         JPY            21,693       $          179        0        (1
                

SCX

     01/2016       $          231         EUR        211        0        (2
                

UAG

     01/2016           1,873           1,715        0        (10
     01/2016           707         GBP        475        0        (7
     02/2016         EUR        1,715       $          1,875        10        0   
              

 

 

   

 

 

 

Total Forward Foreign Currency Contracts

  

            $     219      $     (173
              

 

 

   

 

 

 

 

WRITTEN OPTIONS:

 

TRANSACTIONS IN WRITTEN CALL AND PUT OPTIONS FOR THE PERIOD ENDED DECEMBER 31, 2015:

 

     # of
Contracts
       Premiums  

Balance at Beginning of Period

    123         $ (824

Sales

    807               (6,015

Closing Buys

    (588        5,135   

Expirations

    (234        1,704   

Exercised

    0           0   
 

 

 

      

 

 

 

Balance at End of Period

    108         $ 0   
 

 

 

      

 

 

 

 

SWAP AGREEMENTS:

 

CREDIT DEFAULT SWAPS ON ASSET-BACKED SECURITIES - BUY PROTECTION (1)

 

Counterparty   Reference Obligation   Fixed
(Pay) Rate
    Maturity
Date
    Notional
Amount  (3)
    Premiums
Paid/(Received)
    Unrealized
(Depreciation)
    Swap Agreements, at Value (4)  
              Asset     Liability  
GST
 
 

Telos CLO Ltd. 3-Month USD-LIBOR plus 4.250% due 10/11/2021

    (5.000%     10/11/2021      $     1,500        $    0      $     (37   $     0      $     (37
         

 

 

   

 

 

   

 

 

   

 

 

 

 

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

 

Counterparty   Reference Obligation   Fixed
Receive Rate
    Maturity
Date
    Notional
Amount  (3)
    Premiums
Paid/(Received)
    Unrealized
Appreciation/
(Depreciation)
    Swap Agreements, at Value (4)  
              Asset     Liability  
BOA  

Long Beach Mortgage Loan Trust 1-Month USD-LIBOR plus 5.250% due 07/25/2033

    6.250%        07/25/2033      $     384      $ 0      $     (24   $ 0      $ (24
               
MYC  

Morgan Stanley Dean Witter Capital 1-Month USD-LIBOR plus 3.225% due 08/25/2032

    3.225           08/25/2032        156        (3     15        12        0   
         

 

 

   

 

 

   

 

 

   

 

 

 
          $     (3   $ (9   $     12      $     (24
         

 

 

   

 

 

   

 

 

   

 

 

 

 

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

 

Counterparty   Index/Tranches   Fixed
Receive Rate
    Maturity
Date
    Notional
Amount  (3)
    Premiums
(Received)
   

Unrealized

Appreciation

    Swap Agreements, at Value (4)  
              Asset     Liability  
GST  

ABX.HE.AA.6-1 Index

    0.320%        07/25/2045      $     2,909      $     (579   $ 4      $ 0      $ (575
 

ABX.HE.PENAAA.7-1 Index

    0.090           08/25/2037        2,057        (398     7        0        (391
         

 

 

   

 

 

   

 

 

   

 

 

 
          $     (977   $     11      $     0      $     (966
         

 

 

   

 

 

   

 

 

   

 

 

 

 

(1)

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

(2)

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

(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 on asset-backed securities and credit indices serve as an indicator 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 referenced indices’ credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

 

40   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


 

December 31, 2015 (Unaudited)

 

 

INTEREST RATE SWAPS

 

Counterparty   Pay/Receive
Floating Rate
  Floating Rate Index   Fixed Rate     Maturity
Date
    Notional
Amount
    Premiums
Paid
    Unrealized
Appreciation/
(Depreciation)
    Swap Agreements, at Value  
                Asset     Liability  
BPS  

Pay

 

1-Year BRL-CDI

    12.055%        01/04/2021        BRL        3,600      $ 10      $     (116   $ 0      $     (106
                   
GLM  

Pay

 

3-Month USD-LIBOR

    2.350           02/18/2021      $          42,500        278        184            462        0   
             

 

 

   

 

 

   

 

 

   

 

 

 
              $     288      $ 68      $ 462      $ (106
             

 

 

   

 

 

   

 

 

   

 

 

 

 

TOTAL RETURN SWAPS ON EQUITY INDICES

 

Counterparty   Pay/Receive (5)   Underlying
Reference
  # of Units     Financing Rate   Maturity
Date
    Notional
Amount
    Premiums
Paid/(Received)
    Unrealized
(Depreciation)
    Swap Agreements, at Value  
                  Asset     Liability  

FBF

 

Receive

 

NDDUEAFE Index

    12,110     

1-Month USD-LIBOR plus a specified spread

    05/13/2016      $     64,041        $ (5,575   $ 0      $ (5,575
               

 

 

   

 

 

   

 

 

 

Total Swap Agreements

  

        $     (692   $     (5,542   $     474      $     (6,708
             

 

 

   

 

 

   

 

 

   

 

 

 

 

(5)

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

 

FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER SUMMARY

 

The following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral (received)/pledged as of December 31, 2015:

 

(n) Securities with an aggregate market value of $6,373 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2015.

 

    Financial Derivative Assets          Financial Derivative Liabilities                    
Counterparty   Forward
Foreign
Currency
Contracts
     Purchased
Options
     Swap
Agreements
     Total
Over the
Counter
          Forward
Foreign
Currency
Contracts
    Written
Options
     Swap
Agreements
    Total
Over the
Counter
    Net Market
Value of OTC
Derivatives
    Collateral
(Received)/
Pledged
    Net
Exposure  (6)
 

BOA

  $ 0       $ 0       $ 0       $ 0         $ (20   $ 0       $ (24   $ (44   $ (44   $ 292      $ 248   

BPS

    0         0         0         0           0        0         (106     (106     (106     0        (106

CBK

    0         0         0         0           (34     0         0        (34     (34     0        (34

DUB

    13         0         0         13           (2     0         0        (2     11        (20     (9

FBF

    0         0         0         0           0        0         (5,575     (5,575     (5,575     5,056        (519

GLM

    3         0         462         465           (4     0         0        (4     461        (380     81   

GST

    0         0         0         0           0        0         (1,003     (1,003     (1,003     1,025        22   

HUS

    1         0         0         1           (60     0         0        (60     (59     0        (59

JPM

    36         0         0         36           (33     0         0        (33     3        0        3   

MSB

    156         0         0         156           (1     0         0        (1     155        0        155   

MYC

    0         0         12         12           0        0         0        0        12        0        12   

SCX

    0         0         0         0           (2     0         0        (2     (2     0        (2

UAG

    10         0         0         10           (17     0         0        (17     (7     0        (7
 

 

 

    

 

 

    

 

 

    

 

 

      

 

 

   

 

 

    

 

 

   

 

 

       

Total Over the Counter

  $ 219       $ 0       $ 474       $ 693         $ (173   $ 0       $ (6,708   $ (6,881      
 

 

 

    

 

 

    

 

 

    

 

 

      

 

 

   

 

 

    

 

 

   

 

 

       

 

(6)

Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements.

 

See Accompanying Notes   SEMIANNUAL REPORT   DECEMBER 31, 2015   41


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

 

 

FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS

 

The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal Risks, in the Notes to Financial Statements on risks of the Fund.

 

Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of December 31, 2015:

 

    Derivatives not accounted for as hedging instruments  
     Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Exchange
Contracts
     Interest
Rate Contracts
     Total  

Financial Derivative Instruments - Assets

                

Exchange-traded or centrally cleared

                

Purchased Options

  $ 0       $ 0       $ 167       $ 0       $ 0       $ 167   

Swap Agreements

    0         0         0         0         1,053         1,053   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
  $ 0       $ 0       $ 167       $ 0       $ 1,053       $ 1,220   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Over the counter

                

Forward Foreign Currency Contracts

  $ 0       $ 0       $ 0       $ 219       $ 0       $ 219   

Swap Agreements

    0         12         0         0         462         474   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
  $ 0       $ 12       $ 0       $ 219       $ 462       $ 693   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
  $ 0       $ 12       $ 167       $ 219       $ 1,515       $ 1,913   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Financial Derivative Instruments - Liabilities

                

Exchange-traded or centrally cleared

                

Written Options

  $ 0       $ 0       $ 556       $ 0       $ 0       $ 556   

Futures

    0         0         541         0         0         541   

Swap Agreements

    0         0         0         0         1,324         1,324   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
  $ 0       $ 0       $ 1,097       $ 0       $ 1,324       $ 2,421   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Over the counter

                

Forward Foreign Currency Contracts

  $ 0       $ 0       $ 0       $ 173       $ 0       $ 173   

Swap Agreements

    0         1,027         5,575         0         106         6,708   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
  $ 0       $ 1,027       $ 5,575       $ 173       $ 106       $ 6,881   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
  $     0       $     1,027       $     6,672       $     173       $     1,430       $     9,302   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

The effect of Financial Derivative Instruments on the Statements of Operations for the period ended December 31, 2015:

 

    Derivatives not accounted for as hedging instruments  
     Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Exchange
Contracts
     Interest
Rate Contracts
     Total  

Net Realized Gain (Loss) on Financial Derivative Instruments

  

        

Exchange-traded or centrally cleared

                

Purchased Options

  $ 0       $ 0       $ (1,961    $ 0       $ 0       $ (1,961

Written Options

    0         0         3,745         0         0         3,745   

Futures

    0         0         (1,621      0         0         (1,621

Swap Agreements

    0         0         0         0         (10,143          (10,143
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
  $ 0       $ 0       $ 163       $ 0       $ (10,143    $ (9,980
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Over the counter

                

Forward Foreign Currency Contracts

  $ 0       $ 0       $ 0       $ 310       $ 0       $ 310   

Swap Agreements

    0         1,780         (378      0         123         1,525   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
  $ 0       $ 1,780       $ (378    $ 310       $ 123       $ 1,835   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
  $ 0       $ 1,780       $ (215    $ 310       $     (10,020    $ (8,145
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative Instruments

  

        

Exchange-traded or centrally cleared

                

Purchased Options

  $ 0       $ 0       $ (142    $ 0       $ 0       $ (142

Written Options

    0         0         (1,240      0         0         (1,240

Futures

    0         0         1,582         0         0         1,582   

Swap Agreements

    0         0         0         0         6,955         6,955   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
  $ 0       $ 0       $ 200       $ 0       $ 6,955       $ 7,155   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Over the counter

                

Forward Foreign Currency Contracts

  $ 0       $ 0       $ 0       $ 155       $ 0       $ 155   

Swap Agreements

    0         (1,767      (3,725      0         (99      (5,591
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
  $ 0       $ (1,767    $ (3,725    $ 155       $ (99    $ (5,436
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
  $     0       $     (1,767    $     (3,525    $     155       $ 6,856       $ 1,719   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

42   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


 

December 31, 2015 (Unaudited)

 

 

FAIR VALUE MEASUREMENTS

 

The following is a summary of the fair valuations according to the inputs used as of December 31, 2015 in valuing the Fund’s assets and liabilities:

 

Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
12/31/2015
 

Investments in Securities, at Value

  

   

Bank Loan Obligations

  $     0      $ 3,134      $ 136      $ 3,270   

Corporate Bonds & Notes

       

Banking & Finance

    0            18,998            8,341            27,339   

Industrials

    0        15,300        25        15,325   

Utilities

    0        3,829        0        3,829   

Municipal Bonds & Notes

       

Illinois

    0        113        0        113   

West Virginia

    0        1,487        0        1,487   

U.S. Government Agencies

    0        3,066        0        3,066   

U.S. Treasury Obligations

    0        1,007        0        1,007   

Non-Agency Mortgage-Backed Securities

    0        74,461        1,146        75,607   

Asset-Backed Securities

    0        14,390        0        14,390   

Sovereign Issues

    0        803        0        803   

Common Stocks

       

Financials

    0        0        107        107   

Warrants

       

Industrials

    0        0        1        1   

Preferred Securities

       

Banking & Finance

    0        423        0        423   
Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
12/31/2015
 

Short-Term Instruments

       

Repurchase Agreements

  $ 0      $ 983      $ 0      $ 983   

Short-Term Notes

    0        12,497        0        12,497   

U.S. Treasury Bills

    0        9,912        0        9,912   

Total Investments

  $ 0      $     160,403      $     9,756      $     170,159   

Financial Derivative Instruments - Assets

  

     

Exchange-traded or centrally cleared

    167        1,053        0        1,220   

Over the counter

    0        693        0        693   
  $ 167      $ 1,746      $ 0      $ 1,913   

Financial Derivative Instruments - Liabilities

  

Exchange-traded or centrally cleared

    (1,097     (1,324     0        (2,421

Over the counter

    0        (6,881     0        (6,881
  $     (1,097   $ (8,205   $ 0      $ (9,302

Totals

  $ (930   $ 153,944      $ 9,756      $ 162,770   
 

 

There were no significant transfers between Levels 1 and 2 during the period ended December 31, 2015.

 

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended December 31, 2015:

 

Category and Subcategory   Beginning
Balance
at 06/30/2015
    Net
Purchases
    Net
Sales
    Accrued
Discounts/
(Premiums)
    Realized
Gain/(Loss)
    Net Change in
Unrealized
Appreciation/
(Depreciation) (1)
    Transfers into
Level 3
    Transfers out
of Level 3
    Ending
Balance
at 12/31/2015
    Net Change in
Unrealized
Appreciation/
(Depreciation)
on Investments
Held at
12/31/2015 (1)
 

Investments in Securities, at Value

  

               

Bank Loan Obligations

  $ 150      $ 0      $ 0      $ 0      $ 0      $ (14   $ 0      $ 0      $ 136      $ (13

Corporate Bonds & Notes

                   

Banking & Finance

    8,489        215        (23     2        0        (342     0        0        8,341        (344

Industrials

    4        0        0        0        0        21        0        0        25        20   

Mortgage-Backed Securities

    1,301        0        (161     1        14        (9     0        0        1,146        1   

Common Stocks

                   

Financials

    104        0        0        0        0        3        0        0        107        3   

Warrants

                   

Industrials

    15        0        0        0        0        (14     0        0        1        (14
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Totals

  $     10,063      $     215      $     (184   $     3      $     14      $     (355   $     0      $     0      $     9,756      $     (347
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

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

 

Category and Subcategory   Ending
Balance
at 12/31/2015
       Valuation
Technique
   Unobservable
Inputs
   Input Value(s)
(% Unless
Noted
Otherwise)
 

Investments in Securities, at Value

     

Bank Loan Obligations

  $ 136         Other Valuation Techniques (2)         —     

Corporate Bonds & Notes

            

Banking & Finance

    4,783         Reference Instrument    Spread      210.00 bps   
    1,543         Reference Instrument    Spread Movement      653.21 bps   
    2,015         Proxy Pricing    Base Price        99.87-102.67   

Industrials

    25         Proxy Pricing    Base Price      6.94   

Mortgage-Backed Securities

    821         Proxy Pricing    Base Price      7.75-102.50   
    325         Third Party Vendor    Broker Quote      74.00   

Common Stocks

            

Financials

    107         Other Valuation Techniques (2)         —     

Warrants

            

Industrials

    1         Proxy Pricing    Base Price    $ 0.37   
 

 

 

            

Total

  $     9,756              
 

 

 

            

 

(1)

Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at December 31, 2015 may be due to an investment no longer held or categorized as Level 3 at period end.

(2)

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

 

See Accompanying Notes   SEMIANNUAL REPORT   DECEMBER 31, 2015   43


Schedule of Investments PIMCO Income Opportunity Fund

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
INVESTMENTS IN SECURITIES 162.9%   
BANK LOAN OBLIGATIONS 4.1%   

Energy Future Intermediate Holding Co. LLC

  

4.250% due 06/19/2016

  $     7,507      $     7,494   

Essar Steel Algoma, Inc.

  

TBD% due 08/09/2019 ^

      437          109   

Getty Images, Inc.

  

4.750% due 10/18/2019

      1,180          749   

iHeartCommunications, Inc.

  

7.174% due 01/30/2019

      4,600          3,243   

OGX

  

TBD% - 13.000% due 04/10/2049

    271          278   

Sequa Corp.

  

5.250% due 06/19/2017

      3,126          2,172   
       

 

 

 

Total Bank Loan Obligations (Cost $16,796)

      14,045   
       

 

 

 
CORPORATE BONDS & NOTES 51.2%   
BANKING & FINANCE 23.2%   

AGFC Capital Trust

  

6.000% due 01/15/2067 (i)

      2,300          1,621   

Banco Continental SAECA

  

8.875% due 10/15/2017 (i)

      3,900          3,983   

Banco do Brasil S.A.

  

6.250% due 04/15/2024 (f)

      240          118   

Banco Espirito Santo S.A.

  

4.000% due 01/21/2019

  EUR     3,100          462   

Banco Popular Espanol S.A.

  

11.500% due 10/10/2018 (f)(i)

      2,100          2,488   

Barclays Bank PLC

  

7.625% due 11/21/2022 (i)

  $     400          456   

14.000% due 06/15/2019 (f)(i)

  GBP     2,170          4,144   

Barclays PLC

  

8.000% due 12/15/2020 (f)

  EUR     200          236   

Blackstone CQP Holdco LP

  

9.296% due 03/19/2019

  $     13,533          13,498   

Cantor Fitzgerald LP

  

7.875% due 10/15/2019 (i)

      3,160          3,475   

Communications Sales & Leasing, Inc.

  

8.250% due 10/15/2023 (i)

      1,300          1,115   

Credit Agricole S.A.

  

7.875% due 01/23/2024 (f)(i)

      1,900          1,949   

Credit Suisse AG

  

6.500% due 08/08/2023 (i)

      200          216   

Exeter Finance Corp.

  

9.750% due 05/20/2019

      2,800          2,750   

Jefferies Finance LLC

  

7.500% due 04/15/2021 (i)

      2,285          2,019   

Jefferies LoanCore LLC

  

6.875% due 06/01/2020

      1,050          1,008   

KGH Intermediate Holdco LLC

  

8.500% due 08/08/2019 (h)

      5,037          4,221   

LBG Capital PLC

  

7.588% due 05/12/2020 (i)

  GBP     1,500          2,261   

7.869% due 08/25/2020

      300          456   

15.000% due 12/21/2019

  EUR     250          389   

15.000% due 12/21/2019 (i)

  GBP     3,343          6,707   

National Bank of Greece S.A.

  

3.875% due 10/07/2016

  EUR     1,000          1,064   

Navient Corp.

  

5.500% due 01/15/2019

  $     1,000          937   

5.625% due 08/01/2033

      170          115   

OneMain Financial Holdings, Inc.

  

7.250% due 12/15/2021 (i)

      1,985          1,995   
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Pinnacol Assurance

  

8.625% due 06/25/2034 (h)

  $     2,900      $     2,981   

Sberbank of Russia Via SB Capital S.A.

  

6.125% due 02/07/2022 (i)

      6,800          6,847   

6.125% due 02/07/2022

      600          604   

Tesco Property Finance PLC

  

6.052% due 10/13/2039

  GBP     917          1,274   

TIG FinCo PLC

  

8.500% due 03/02/2020

      431          654   

8.750% due 04/02/2020 (i)

      2,336          3,065   

Toll Road Investors Partnership LP

  

0.000% due 02/15/2045 (e)

  $     14,632          3,073   

Vnesheconombank Via VEB Finance PLC

  

5.942% due 11/21/2023 (i)

      1,600          1,500   

6.902% due 07/09/2020

      1,000          1,015   
       

 

 

 
            78,696   
       

 

 

 
INDUSTRIALS 19.5%   

Ancestry.com Holdings LLC (9.625% Cash or 10.375% PIK)

   

9.625% due 10/15/2018 (b)(i)

      800          791   

Boxer Parent Co., Inc. (9.000% Cash or 9.750% PIK)

  

9.000% due 10/15/2019 (b)(i)

      3,601          2,246   

Caesars Entertainment Operating Co., Inc.

  

8.500% due 02/15/2020 ^(g)(i)

      10,192          7,797   

9.000% due 02/15/2020 ^(g)

      583          446   

California Resources Corp.

  

6.000% due 11/15/2024 (i)

      577          177   

8.000% due 12/15/2022 (i)

      1,547          818   

Chesapeake Energy Corp.

  

3.571% due 04/15/2019

      60          17   

Continental Airlines Pass-Through Trust

  

7.707% due 10/02/2022

      680          742   

8.048% due 05/01/2022

      669          750   

Corp. GEO S.A.B. de C.V.

  

8.875% due 03/27/2022 ^

      200          4   

9.250% due 06/30/2020 ^

      1,800          38   

Crimson Merger Sub, Inc.

  

6.625% due 05/15/2022 (i)

      1,000          688   

CVS Pass-Through Trust

  

7.507% due 01/10/2032 (i)

      2,597          3,069   

Delta Air Lines Pass-Through Trust

  

7.750% due 06/17/2021

      566          636   

DriveTime Automotive Group, Inc.

  

8.000% due 06/01/2021 (i)

      1,500          1,343   

Enterprise Inns PLC

  

6.875% due 05/09/2025

  GBP     20          30   

Forbes Energy Services Ltd.

  

9.000% due 06/15/2019 (i)

  $     1,580          766   

Global Geophysical Services, Inc.

  

10.500% due 05/01/2017 ^

      958          66   

Harvest Operations Corp.

  

6.875% due 10/01/2017 (i)

      2,820          2,185   

Hellenic Railways Organization S.A.

  

4.028% due 03/17/2017

  EUR     800          809   

iHeartCommunications, Inc.

  

9.000% due 03/01/2021 (i)

  $     3,790          2,658   

Intelsat Luxembourg S.A.

  

7.750% due 06/01/2021

      3,958          1,860   

8.125% due 06/01/2023

      166          76   

Intrepid Aviation Group Holdings LLC

  

6.875% due 02/15/2019

      6,181          5,099   

Millar Western Forest Products Ltd.

  

8.500% due 04/01/2021 (i)

      1,876          985   

Numericable-SFR S.A.S.

  

4.875% due 05/15/2019 (i)

      2,455          2,440   

6.000% due 05/15/2022 (i)

      500          486   
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

OGX Austria GmbH

  

8.375% due 04/01/2022 ^

  $     3,300      $     0   

8.500% due 06/01/2018 ^

      3,700          0   

Perstorp Holding AB

  

8.750% due 05/15/2017 (i)

      4,600          4,577   

Petroleos de Venezuela S.A.

  

6.000% due 11/15/2026

      130          48   

Rockies Express Pipeline LLC

  

6.875% due 04/15/2040

      213          184   

Russian Railways via RZD Capital PLC

  

7.487% due 03/25/2031

  GBP     100          140   

Sequa Corp.

  

7.000% due 12/15/2017 (i)

  $     2,700          871   

Spanish Broadcasting System, Inc.

  

12.500% due 04/15/2017 (i)

      7,650          7,545   

Spirit Issuer PLC

  

6.582% due 12/28/2027

  GBP     2,175          3,359   

Tembec Industries, Inc.

  

9.000% due 12/15/2019 (i)

  $     1,800          1,179   

Times Square Hotel Trust

  

8.528% due 08/01/2026 (i)

      4,869          5,896   

UAL Pass-Through Trust

  

9.750% due 07/15/2018

      1,183          1,250   

10.400% due 05/01/2018 (i)

      630          669   

UCP, Inc.

  

8.500% due 10/21/2017

      2,800          2,798   

Unique Pub Finance Co. PLC

  

7.395% due 03/28/2024

  GBP     500          747   
       

 

 

 
            66,285   
       

 

 

 
UTILITIES 8.5%   

AK Transneft OJSC Via TransCapitalInvest Ltd.

  

8.700% due 08/07/2018

  $     500          549   

Frontier Communications Corp.

  

8.875% due 09/15/2020

      280          284   

10.500% due 09/15/2022

      450          448   

11.000% due 09/15/2025

      450          447   

Gazprom Neft OAO Via GPN Capital S.A.

  

4.375% due 09/19/2022

      200          178   

6.000% due 11/27/2023 (i)

      1,350          1,277   

Gazprom OAO Via Gaz Capital S.A.

  

5.999% due 01/23/2021

      381          381   

6.510% due 03/07/2022 (i)

      3,400          3,431   

6.605% due 02/13/2018 (i)

  EUR     100          114   

8.625% due 04/28/2034 (i)

  $     1,081          1,217   

9.250% due 04/23/2019

      100          112   

Genesis Energy LP

  

5.625% due 06/15/2024 (i)

      1,100          842   

Illinois Power Generating Co.

  

6.300% due 04/01/2020 (i)

      4,295          2,598   

7.950% due 06/01/2032 (i)

      4,033          2,359   

Odebrecht Drilling Norbe Ltd.

  

6.350% due 06/30/2022

      3,925          1,452   

Petrobras Global Finance BV

  

2.886% due 03/17/2017

      100          92   

5.750% due 01/20/2020 (i)

      570          449   

6.250% due 03/17/2024

      20          14   

6.250% due 12/14/2026 (i)

  GBP     600          577   

6.625% due 01/16/2034

      200          183   

7.875% due 03/15/2019 (i)

  $     9,700          8,609   

Sierra Hamilton LLC

  

12.250% due 12/15/2018

      200          98   

Sprint Capital Corp.

  

6.875% due 11/15/2028

      200          141   

Sprint Corp.

  

7.125% due 06/15/2024 (i)

      4,082          2,990   
 

 

44   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


 

December 31, 2015 (Unaudited)

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

7.875% due 09/15/2023 (i)

  $     165      $     124   
       

 

 

 
          28,966   
       

 

 

 

Total Corporate Bonds & Notes (Cost $205,100)

      173,947   
       

 

 

 
CONVERTIBLE BONDS & NOTES 1.6%   
BANKING & FINANCE 1.6%   

SL Green Operating Partnership LP

  

3.000% due 10/15/2017

      3,800          5,432   
       

 

 

 

Total Convertible Bonds & Notes (Cost $3,792)

    5,432   
       

 

 

 
MUNICIPAL BONDS & NOTES 0.9%   
ILLINOIS 0.1%   

Chicago, Illinois General Obligation Bonds, Series 2015

  

7.375% due 01/01/2033

      120          127   

7.750% due 01/01/2042

      210          212   
       

 

 

 
          339   
       

 

 

 
IOWA 0.1%   

Iowa Tobacco Settlement Authority Revenue Bonds, Series 2005

   

6.500% due 06/01/2023

      180          181   
       

 

 

 
WEST VIRGINIA 0.7%   

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

   

7.467% due 06/01/2047

      2,730          2,367   
       

 

 

 

Total Municipal Bonds & Notes (Cost $3,125)

    2,887   
       

 

 

 
U.S. GOVERNMENT AGENCIES 0.3%   

Fannie Mae

  

4.000% due 11/01/2033 - 10/01/2040

      77          81   

Freddie Mac

  

0.737% due 10/25/2020 (a)(i)

      28,683          825   
       

 

 

 

Total U.S. Government Agencies (Cost $922)

    906   
       

 

 

 
U.S. TREASURY OBLIGATIONS 0.5%   

U.S. Treasury Floating Rate Notes

  

0.428% due 10/31/2017 (l)

      1,800          1,799   
       

 

 

 

Total U.S. Treasury Obligations (Cost $1,800)

    1,799   
       

 

 

 
NON-AGENCY MORTGAGE-BACKED SECURITIES 44.7%   

Adjustable Rate Mortgage Trust

  

2.805% due 01/25/2036

      229          200   

Auburn Securities PLC

  

0.902% due 10/01/2041

  GBP     247          351   

Banc of America Alternative Loan Trust

  

16.012% due 09/25/2035 ^

  $     2,115          2,597   

Banc of America Funding Trust

  

2.453% due 12/20/2036

      202          204   

2.632% due 03/20/2036 ^

      1,475          1,275   

2.811% due 12/20/2034

      1,357          1,235   

3.203% due 10/20/2046 ^

      796          605   

Banc of America Mortgage Trust

  

2.747% due 10/20/2046 ^

      182          110   

2.815% due 09/25/2034

      227          223   

5.750% due 08/25/2034

      435          461   
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Bear Stearns Adjustable Rate Mortgage Trust

  

2.599% due 09/25/2034

  $     126      $     119   

2.774% due 03/25/2035

      533          502   

2.832% due 10/25/2036 ^

      1,394          1,178   

2.833% due 08/25/2047 ^

      541          445   

2.915% due 09/25/2034

      137          134   

4.718% due 06/25/2047 ^

      399          358   

Bear Stearns ALT-A Trust

  

0.742% due 06/25/2046 ^(i)

      4,646          3,383   

1.122% due 01/25/2035 (i)

      1,007          986   

2.550% due 04/25/2035

      452          350   

2.602% due 11/25/2035

      83          65   

2.660% due 08/25/2036 ^

      3,974          3,385   

2.862% due 05/25/2036 ^

      1,105          847   

2.889% due 05/25/2035

      679          575   

2.956% due 08/25/2036 ^(i)

      686          516   

3.617% due 09/25/2034

      732          729   

4.193% due 11/25/2036 ^

      725          527   

4.813% due 07/25/2035 ^

      417          347   

Bear Stearns Commercial Mortgage Securities Trust

  

6.000% due 11/11/2035 ^

      264          264   

Bluestone Securities PLC

  

0.798% due 06/09/2043

  GBP     422          578   

BRAD Resecuritization Trust

  

2.178% due 03/12/2021

  $     3,435          266   

6.550% due 03/12/2021

      642          656   

CBA Commercial Small Balance Commercial Mortgage

  

5.540% due 01/25/2039 ^

      2,049          1,786   

Celtic Residential Irish Mortgage Securitisation PLC

  

0.054% due 11/13/2047

  EUR     580          598   

Chase Mortgage Finance Trust

  

5.500% due 11/25/2021 ^

  $     1,105          917   

6.000% due 03/25/2037 ^

      1,151          1,003   

Citigroup Global Markets Mortgage Securities, Inc.

  

6.500% due 02/25/2029

      385          392   

Citigroup Mortgage Loan Trust, Inc.

  

2.751% due 03/25/2037 ^(i)

      2,045            1,630   

5.500% due 11/25/2035 ^

      896          801   

Commercial Mortgage Trust

  

6.126% due 07/10/2046 (i)

      2,170          2,328   

Countrywide Alternative Loan Trust

  

0.597% due 12/20/2046 ^(i)

      1,235          921   

0.672% due 06/25/2037 ^(i)

      1,272          938   

0.743% due 11/20/2035 (i)

      10,182          8,281   

0.772% due 05/25/2036 ^(i)

      2,405          1,409   

0.772% due 06/25/2036 ^(i)

      2,098          1,436   

5.500% due 10/25/2035 ^

      465          436   

5.500% due 12/25/2035 ^(i)

      2,290          1,999   

5.750% due 05/25/2036 ^

      426          361   

6.000% due 11/25/2035 ^

      454          228   

6.000% due 04/25/2036 ^(i)

      455          406   

6.000% due 04/25/2037 ^

      801          585   

6.000% due 05/25/2037 ^(i)

      1,696          1,466   

6.250% due 08/25/2037 ^

      470          402   

6.500% due 09/25/2032 ^

      477          467   

6.500% due 07/25/2035 ^

      759          611   

6.500% due 06/25/2036 ^(i)

      666          545   

Countrywide Home Loan Mortgage Pass-Through Trust

  

0.742% due 03/25/2035 (i)

      1,015          899   

2.509% due 08/20/2035 ^

      144          136   

2.642% due 06/20/2035

      410          369   

2.706% due 11/25/2035 ^(i)

      3,591          3,088   

2.720% due 03/25/2037 ^

      1,526          1,254   

2.766% due 08/25/2034 ^

      92          82   

2.877% due 09/25/2047 ^

      1,162          1,036   

5.500% due 08/25/2035 ^

      132          120   

Credit Suisse Commercial Mortgage Trust

  

6.500% due 07/26/2036 ^

      569          337   
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Credit Suisse First Boston Mortgage Securities Corp.

  

7.500% due 05/25/2032 (i)

  $     1,839      $       1,980   

Credit Suisse Mortgage Capital Mortgage-Backed Trust

  

1.022% due 07/25/2036 ^

      736          302   

5.896% due 04/25/2036

      613          469   

6.500% due 05/25/2036 ^

      515          334   

Deutsche ALT-A Securities, Inc.

  

0.572% due 02/25/2047

      826          590   

Deutsche ALT-B Securities, Inc.

  

6.250% due 07/25/2036 ^

      147          115   

Deutsche Mortgage Securities, Inc. Mortgage Loan Trust

   

5.500% due 09/25/2033

      222          231   

Downey Savings & Loan Association Mortgage Loan Trust

   

0.582% due 04/19/2047 ^

      555          184   

EMF-NL BV

  

0.948% due 07/17/2041

  EUR     800          750   

2.198% due 10/17/2041

      1,000          1,054   

Epic Drummond Ltd.

  

0.137% due 01/25/2022

      1,904          1,856   

First Horizon Alternative Mortgage Securities Trust

  

2.287% due 11/25/2036 ^

  $     1,942          1,532   

2.298% due 08/25/2035 ^

      265          71   

2.325% due 05/25/2036 ^

      2,690          2,187   

2.407% due 02/25/2036

      270          218   

6.250% due 11/25/2036 ^

      157          124   

First Horizon Mortgage Pass-Through Trust

  

2.447% due 07/25/2037 ^

      196          164   

2.731% due 01/25/2037 ^(i)

      1,492          1,329   

5.500% due 08/25/2035

      224          202   

FREMF Mortgage Trust

  

0.100% due 05/25/2020 (a)

      48,389          155   

GMAC Mortgage Corp. Loan Trust

  

3.089% due 06/25/2034

      245          239   

3.197% due 07/19/2035

      113          107   

3.277% due 06/25/2034

      206          202   

GreenPoint Mortgage Funding Trust

  

0.602% due 01/25/2037

      1,536          1,247   

GS Mortgage Securities Trust

  

1.469% due 08/10/2043 (a)

      8,354          451   

6.079% due 08/10/2043 (i)

      2,100          2,211   

GSR Mortgage Loan Trust

  

0.872% due 07/25/2037 ^

      556          388   

2.869% due 01/25/2036 ^(i)

      1,939          1,814   

3.129% due 12/25/2034

      43          42   

6.000% due 09/25/2034

      183          184   

HarborView Mortgage Loan Trust

  

0.592% due 02/19/2046 (i)

      2,398          2,080   

0.612% due 11/19/2036 (i)

      4,507          3,394   

0.962% due 06/19/2034

      360          338   

1.042% due 01/19/2035 (i)

      357          311   

2.664% due 08/19/2036 ^

      315          235   

4.007% due 06/19/2036 ^

      1,531          1,051   

HomeBanc Mortgage Trust

  

0.672% due 03/25/2035

      498          431   

IM Pastor Fondo de Titulizacion de Activos

  

0.009% due 03/22/2044

  EUR     823          720   

Impac CMB Trust

  

0.942% due 11/25/2035 ^

  $     444          373   

IndyMac Mortgage Loan Trust

  

0.652% due 04/25/2035

      251          220   

1.222% due 08/25/2034

      256          220   

1.282% due 09/25/2034

      576          530   

2.302% due 06/25/2037 ^

      456          348   

2.782% due 05/25/2037 ^(i)

      1,654          1,271   

2.876% due 12/25/2036 ^

      1,972          1,749   
 

 

See Accompanying Notes   SEMIANNUAL REPORT   DECEMBER 31, 2015   45


Schedule of Investments PIMCO Income Opportunity Fund (Cont.)

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

4.450% due 11/25/2036 ^

  $     1,474      $     1,325   

4.521% due 05/25/2037 ^

      47          6   

JPMorgan Alternative Loan Trust

  

2.692% due 05/25/2036 ^

      633          519   

5.500% due 11/25/2036 ^

      7          5   

JPMorgan Commercial Mortgage-Backed Securities Trust

   

5.637% due 03/18/2051 (i)

      4,000          4,188   

JPMorgan Mortgage Trust

  

2.618% due 07/25/2035

      170          169   

2.690% due 10/25/2036 ^

      77          66   

2.867% due 05/25/2036 ^

      1,107          992   

6.000% due 08/25/2037 ^

      868          769   

Landmark Mortgage Securities PLC

  

0.088% due 06/17/2038

  EUR     328          338   

0.805% due 06/17/2038

  GBP     859          1,180   

Lehman Mortgage Trust

  

5.945% due 04/25/2036

  $     486          438   

6.000% due 05/25/2037 ^(i)

      2,238          2,186   

MASTR Adjustable Rate Mortgages Trust

  

0.997% due 01/25/2047 ^(i)

      537          380   

3.087% due 10/25/2034

      1,040          919   

Morgan Stanley Mortgage Loan Trust

  

2.563% due 07/25/2035 ^(i)

      2,491          2,146   

2.717% due 01/25/2035 ^

      370          180   

5.750% due 12/25/2035 ^

      705          688   

6.000% due 08/25/2037 ^

      388          359   

Prime Mortgage Trust

  

0.772% due 06/25/2036 ^

      4,485          2,499   

7.000% due 07/25/2034

      240          230   

RBSSP Resecuritization Trust

  

6.000% due 07/26/2037

      9,240          6,809   

Regal Trust

  

2.151% due 09/29/2031

      21          20   

Residential Accredit Loans, Inc. Trust

  

0.632% due 06/25/2037

      2,669          2,058   

5.500% due 04/25/2037

      169          137   

6.000% due 08/25/2035 ^

      786          728   

6.000% due 01/25/2037 ^

      796          673   

Residential Asset Securitization Trust

  

6.000% due 03/25/2037 ^

      616          433   

Residential Funding Mortgage Securities, Inc. Trust

  

4.077% due 07/27/2037 ^

      443          386   

6.000% due 06/25/2037 ^

      687          606   

Royal Bank of Scotland Capital Funding Trust

  

5.223% due 08/16/2048 (i)

      2,000          2,035   

Sequoia Mortgage Trust

  

2.872% due 01/20/2038 ^

      494          419   

Structured Adjustable Rate Mortgage Loan Trust

  

2.504% due 08/25/2034

      34          33   

4.035% due 01/25/2036 ^

      1,576          1,213   

4.391% due 11/25/2036 ^

      815          782   

Structured Asset Mortgage Investments Trust

  

0.632% due 08/25/2036 ^(i)

      3,056          2,348   

0.652% due 05/25/2045

      218          193   

Structured Asset Securities Corp. Mortgage Pass-Through Certificates

   

2.502% due 01/25/2034

      583          568   

TBW Mortgage-Backed Trust

  

6.000% due 07/25/2036 ^

      415          309   

WaMu Commercial Mortgage Securities Trust

  

5.773% due 03/23/2045 (i)

      5,000          5,048   

WaMu Mortgage Pass-Through Certificates Trust

  

2.096% due 03/25/2037 ^

      761          634   

2.149% due 11/25/2036 ^

      463          396   

2.149% due 07/25/2046 (i)

      2,612            2,359   

2.183% due 03/25/2033

      120          120   
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

2.194% due 06/25/2037 ^(i)

  $     2,225      $     1,940   

2.292% due 02/25/2037 ^

      1,253          1,126   

2.380% due 07/25/2037 ^

      1,769          1,594   

2.465% due 07/25/2037 ^(i)

      4,034          3,278   

Washington Mutual Mortgage Pass-Through Certificates Trust

   

1.107% due 10/25/2046 ^

      690          483   

1.600% due 06/25/2033

      67          66   

Wells Fargo Mortgage-Backed Securities Trust

  

0.922% due 07/25/2037 ^

      431          375   

2.723% due 10/25/2036 ^

      42          39   

2.744% due 04/25/2036 ^

      46          45   

2.745% due 09/25/2036 ^

      42          39   

5.500% due 01/25/2036 ^

      15          4   
       

 

 

 

Total Non-Agency Mortgage-Backed Securities
(Cost $128,766)

      151,619   
       

 

 

 
ASSET-BACKED SECURITIES 48.1%   

Access Financial Manufactured Housing Contract Trust

  

7.650% due 05/15/2021

      213          118   

Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates

   

2.147% due 05/25/2034

      154          115   

3.272% due 08/25/2032

      1,382          1,307   

Asset-Backed Funding Certificates Trust

  

0.572% due 10/25/2036 (i)

      8,718          7,478   

0.982% due 10/25/2033

      167          149   

1.082% due 03/25/2035 (i)

      4,431          3,560   

Associates Manufactured Housing Pass-Through Certificates

   

7.150% due 03/15/2028 (i)

      1,608          1,884   

Bear Stearns Asset-Backed Securities Trust

  

0.652% due 09/25/2034

      241          222   

0.652% due 09/25/2034 (i)

      706          649   

2.934% due 07/25/2036

      725          498   

Bombardier Capital Mortgage Securitization Corp.

  

7.830% due 06/15/2030

      3,587          1,942   

Conseco Finance Securitizations Corp.

  

7.770% due 09/01/2031

      1,058          1,173   

7.960% due 05/01/2031

      1,794          1,350   

7.970% due 05/01/2032

      274          167   

8.060% due 09/01/2029

      3,111          1,990   

9.163% due 03/01/2033

      3,070          2,732   

Conseco Financial Corp.

  

6.220% due 03/01/2030

      148          155   

6.330% due 11/01/2029

      89          91   

6.530% due 02/01/2031

      1,460          1,470   

7.050% due 01/15/2027

      251          268   

7.140% due 03/15/2028

      350          366   

7.240% due 06/15/2028

      168          172   

Countrywide Asset-Backed Certificates

  

0.562% due 06/25/2035 (i)

      12,277          9,485   

0.672% due 01/25/2037 (i)

      15,575          12,183   

0.762% due 12/25/2036 ^

      852          598   

0.982% due 08/25/2032 ^

      410          351   

1.397% due 02/25/2034

      327          304   

1.697% due 02/25/2035 (i)

      3,750          3,415   

Countrywide Asset-Backed Certificates Trust

  

0.572% due 03/25/2047 (i)

      10,767          9,613   

1.202% due 11/25/2034 (i)

      528          514   

4.693% due 10/25/2035

      54          56   

Credit Suisse First Boston Mortgage Securities Corp.

  

1.472% due 02/25/2031

      2,773          2,566   

Credit-Based Asset Servicing and Securitization LLC

  

1.742% due 12/25/2035

      1,377          1,087   

First Franklin Mortgage Loan Trust

  

0.872% due 11/25/2036 (i)

      10,000          8,554   
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

1.022% due 07/25/2035 (i)

  $     8,092      $     6,059   

Greenpoint Manufactured Housing

  

8.300% due 10/15/2026

      1,000          1,054   

Home Equity Asset Trust

  

2.822% due 10/25/2033

      36          33   

Home Equity Loan Trust

  

0.652% due 04/25/2037

      6,015          3,558   

0.762% due 04/25/2037

      8,700          4,947   

IndyMac Home Equity Mortgage Loan Asset-Backed Trust

  

0.662% due 04/25/2037

      18,168            11,227   

0.742% due 04/25/2037 (i)

      6,248          4,689   

JPMorgan Mortgage Acquisition Trust

  

0.502% due 08/25/2036

      10          5   

0.612% due 03/25/2047

      1,849          1,324   

KGS Alpha SBA Trust

  

1.016% due 04/25/2038 (a)

      1,994          75   

Lehman ABS Mortgage Loan Trust

  

0.512% due 06/25/2037

      7,018          4,357   

0.622% due 06/25/2037

      5,463          3,450   

Long Beach Mortgage Loan Trust

  

2.897% due 03/25/2032

      365          311   

MASTR Asset-Backed Securities Trust

  

5.233% due 11/25/2035

      150          151   

Morgan Stanley Dean Witter Capital, Inc. Trust

  

1.847% due 02/25/2033 (i)

      531          506   

Morgan Stanley Home Equity Loan Trust

  

1.472% due 12/25/2034 (i)

      4,445          3,858   

NovaStar Mortgage Funding Trust

  

0.592% due 11/25/2036

      1,619          772   

Oakwood Mortgage Investors, Inc.

  

0.561% due 06/15/2032

      24          22   

Option One Mortgage Loan Trust

  

5.662% due 01/25/2037 ^

      25          25   

Origen Manufactured Housing Contract Trust

  

7.650% due 03/15/2032

      2,677          2,800   

Ownit Mortgage Loan Trust

  

3.426% due 12/25/2036

      2,742          1,708   

Park Place Securities, Inc. Asset-Backed Pass-Through Certificates

   

2.297% due 10/25/2034

      1,161          646   

Residential Asset Mortgage Products Trust

  

1.547% due 08/25/2033

      926          826   

2.147% due 09/25/2034

      3,239          2,199   

4.020% due 04/25/2033

      4          4   

5.220% due 07/25/2034 ^

      134          128   

5.807% due 11/25/2033 (i)

      1,189          1,270   

Residential Asset Securities Corp. Trust

  

0.862% due 10/25/2035

      3,526          2,688   

4.470% due 03/25/2032

      5          5   

Saxon Asset Securities Trust

  

1.397% due 12/26/2034

      683          529   

Securitized Asset-Backed Receivables LLC Trust

  

0.652% due 02/25/2037 ^

      434          240   

1.097% due 01/25/2035

      57          53   

South Coast Funding Ltd.

  

0.587% due 01/06/2041

      46,562          13,968   

Specialty Underwriting & Residential Finance Trust

  

0.572% due 06/25/2037 (i)

      6,979          4,883   

Structured Asset Investment Loan Trust

  

0.642% due 01/25/2036 (i)

      7,107          5,392   

Structured Asset Securities Corp. Mortgage Loan Trust

  

0.722% due 06/25/2035

      562          499   

Talon Funding Ltd.

  

0.942% due 06/05/2035

      2,048          1,341   

UCFC Home Equity Loan Trust

  

7.750% due 04/15/2030

      741          742   
 

 

46   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


 

December 31, 2015 (Unaudited)

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Vanderbilt Acquisition Loan Trust

  

7.330% due 05/07/2032

  $     364      $     392   
       

 

 

 

Total Asset-Backed Securities (Cost $150,941)

      163,318   
       

 

 

 
SOVEREIGN ISSUES 0.5%   

Athens Urban Transportation Organisation

  

4.851% due 09/19/2016

  EUR     175          178   

Brazil Notas do Tesouro Nacional

  

10.000% due 01/01/2021

  BRL     42          8   

10.000% due 01/01/2023

      62          12   

10.000% due 01/01/2025

      900          163   

Costa Rica Government International Bond

  

7.000% due 04/04/2044

  $     700          586   

Republic of Greece Government International Bond

  

3.800% due 08/08/2017

  JPY     46,000          344   

4.500% due 07/03/2017

      40,000          306   

4.750% due 04/17/2019

  EUR     200          200   
       

 

 

 

Total Sovereign Issues (Cost $2,287)

    1,797   
       

 

 

 
        SHARES            
COMMON STOCKS 0.2%   
CONSUMER DISCRETIONARY 0.1%   

Tribune Media Co. ‘A’

      5,969          202   

Tribune Publishing Co.

      1,492          14   
       

 

 

 
          216   
       

 

 

 
ENERGY 0.0%   

OGX Petroleo e Gas S.A. ADR (c)

    110,824          0   
       

 

 

 
        SHARES         MARKET
VALUE
(000S)
 
FINANCIALS 0.1%   

TIG FinCo PLC (h)

      330,393      $     341   
       

 

 

 

Total Common Stocks (Cost $830)

    557   
       

 

 

 
WARRANTS 0.0%   
INDUSTRIALS 0.0%   

Global Geophysical Services, Inc. - Exp. 05/01/2049

      4,165          2   
       

 

 

 

Total Warrants (Cost $40)

    2   
       

 

 

 
CONVERTIBLE PREFERRED SECURITIES 5.0%   
BANKING & FINANCE 5.0%   

Wells Fargo & Co.

  

7.500% (f)

      14,500          16,796   
       

 

 

 

Total Convertible Preferred Securities (Cost $9,203)

      16,796   
       

 

 

 
PREFERRED SECURITIES 0.6%   
BANKING & FINANCE 0.6%   

AgriBank FCB

  

6.875% due 01/01/2024 (f)

      10,000          1,058   

Navient Corp. CPI Linked Security

  

1.964% due 03/15/2017

      32,400          766   

2.014% due 01/16/2018

      8,500          196   
       

 

 

 

Total Preferred Securities (Cost $1,460)

    2,020   
       

 

 

 
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
SHORT-TERM INSTRUMENTS 5.2%   
SHORT-TERM NOTES 1.1%   

Federal Home Loan Bank

  

0.345% due 02/10/2016

  $     2,500      $     2,500   

Freddie Mac

  

0.233% due 01/12/2016

      1,300          1,300   
       

 

 

 
          3,800   
       

 

 

 
U.S. TREASURY BILLS 4.1%   

0.278% due 01/07/2016 - 06/30/2016 (d)(l)

      13,850          13,844   
       

 

 

 
Total Short-Term Instruments (Cost $17,642)           17,644   
       

 

 

 
       
Total Investments in Securities (Cost $542,704)           552,769   
       
Total Investments 162.9% (Cost $542,704)       $     552,769   

Financial Derivative
Instruments (j)(k) (3.6%)

(Cost or Premiums, net $(6,418))

    (12,217
Other Assets and Liabilities, net (59.3%)       (201,128
       

 

 

 
Net Assets 100.0%      $     339,424   
       

 

 

 
 

NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*):

 

* A zero balance may reflect actual amounts rounding to less than one thousand.
^ Security is in default.
(a) Interest only security.
(b) Payment in-kind bond security.
(c) Security did not produce income within the last twelve months.
(d) Coupon represents a weighted average yield to maturity.
(e) Zero coupon bond.
(f) Perpetual maturity; date shown, if applicable, represents next contractual call date.
(g) Security is subject to a forbearance agreement entered into by the Fund which forbears the Fund from taking action to, among other things, accelerate and collect payments on the subject note with respect to specified events of default.

 

(h)  RESTRICTED SECURITIES:

 

Issuer Description                Acquisition
Date
    Cost     Market
Value
    Market Value
as Percentage
of Net Assets
 

KGH Intermediate Holdco LLC 8.500% due 08/08/2019

           08/07/2014      $ 4,960      $ 4,221        1.24

Pinnacol Assurance 8.625% due 06/25/2034

           06/23/2014        2,900        2,981        0.88   

TIG FinCo PLC

           04/02/2015        490        341        0.10   
          

 

 

   

 

 

   

 

 

 
           $     8,350      $     7,543        2.22
          

 

 

   

 

 

   

 

 

 

 

BORROWINGS AND OTHER FINANCING TRANSACTIONS

 

REVERSE REPURCHASE AGREEMENTS:

 

Counterparty   Borrowing
Rate
     Borrowing
Date
     Maturity
Date
    Amount
Borrowed  (2)
    Payable for
Reverse
Repurchase
Agreements
 

BCY

    (2.000 %)       11/30/2015         TBD (1)      $        (628   $ (627
    (0.375      12/15/2015         TBD (1)        (895     (895
    (0.375      11/24/2015         TBD (1)        (4,824         (4,824

 

See Accompanying Notes   SEMIANNUAL REPORT   DECEMBER 31, 2015   47


Schedule of Investments PIMCO Income Opportunity Fund (Cont.)

 

Counterparty   Borrowing
Rate
     Borrowing
Date
     Maturity
Date
    Amount
Borrowed  (2)
    Payable for
Reverse
Repurchase
Agreements
 
    1.094      11/09/2015         02/09/2016        $        (656   $ (657
    1.550         11/30/2015         03/01/2016          (798     (799
    1.714         11/19/2015         02/19/2016          (1,320     (1,323
    2.124         05/15/2015         11/14/2016          (7,745     (7,768
    2.128         08/28/2015         02/29/2016          (3,682     (3,710
    2.131         10/02/2015         04/01/2016          (3,312     (3,330
    2.444         09/25/2015         09/26/2016          (8,957     (8,963

BOS

    2.198         07/06/2015         01/06/2016          (1,872     (1,893

BPG

    1.050         12/09/2015         01/13/2016          (1,741     (1,742
    1.450         12/24/2015         03/24/2016          (3,707     (3,708

DEU

    1.000         10/21/2015         01/21/2016          (2,298     (2,303
    1.000         11/04/2015         02/04/2016          (1,131     (1,133
    1.050         11/12/2015         02/12/2016          (2,329     (2,333
    1.100         11/30/2015         03/01/2016          (1,905     (1,907
    1.100         12/04/2015         03/04/2016          (516     (517
    1.200         12/11/2015         03/11/2016          (3,304     (3,307

JML

    0.550         12/02/2015         02/03/2016        EUR        (90     (98
    1.250         11/19/2015         01/19/2016        $        (1,997     (2,000
    1.250         11/23/2015         01/22/2016          (2,870     (2,874
    1.250         12/02/2015         01/06/2016          (905     (906
    1.250         12/16/2015         01/19/2016          (3,800     (3,803
    1.350         01/06/2016         02/08/2016          (876     (876

JPS

    1.439         09/04/2015         03/04/2016          (1,807     (1,816
    2.006         11/12/2015         02/12/2016          (7,119     (7,140

MSC

    0.600         10/08/2015         01/08/2016          (3,718     (3,724
    1.150         11/09/2015         02/09/2016          (1,296     (1,298
    1.500         12/21/2015         03/21/2016          (3,595     (3,597

RBC

    1.380         12/24/2015         06/24/2016          (2,981     (2,982

RDR

    0.920         12/24/2015         03/09/2016          (1,057     (1,057
    1.100         11/30/2015         05/27/2016          (2,107     (2,109

RTA

    0.904         07/14/2015         01/14/2016          (458     (460
    0.904         12/09/2015         01/14/2016          (2,243     (2,245
    1.477         10/26/2015         04/26/2016          (2,872     (2,880
    1.626         04/29/2015         05/02/2016          (7,316     (7,399
    1.628         04/15/2015         04/15/2016          (6,593     (6,672
    1.631         04/27/2015         04/25/2016          (2,406     (2,434
    1.640         03/20/2015         03/21/2016          (4,570     (4,630
    1.763         10/28/2015         10/27/2016          (4,727     (4,743

SAL

    1.124         10/02/2015         01/04/2016          (4,851     (4,865
    1.252         12/08/2015         03/08/2016          (438     (438
    1.318         12/16/2015         03/16/2016          (884     (885
    1.403         01/04/2016         04/04/2016          (4,701     (4,701

SOG

    0.840         10/19/2015         01/19/2016          (3,238     (3,244
    0.840         10/20/2015         01/20/2016          (815     (816
    0.840         10/28/2015         01/28/2016          (1,739     (1,742
    0.860         11/12/2015         02/12/2016          (898     (899
    0.880         11/12/2015         02/12/2016          (813     (814
    0.990         11/23/2015         02/23/2016          (1,062     (1,063
    0.990         11/24/2015         02/24/2016          (4,202     (4,207
    1.030         11/30/2015         03/01/2016          (2,377     (2,379

UBS

    0.780         10/26/2015         01/26/2016        EUR        (1,973     (2,147
    0.880         12/18/2015         01/18/2016        GBP        (1,751     (2,582
    0.900         10/16/2015         01/19/2016        $        (3,664     (3,671
    0.950         10/16/2015         01/18/2016        GBP        (2,621     (3,872
    0.950         11/11/2015         02/11/2016          (4,084     (6,030
    0.950         11/16/2015         01/18/2016          (1,333     (1,968
    1.000         10/16/2015         01/19/2016        $        (1,242     (1,245
    1.000         11/03/2015         05/03/2016          (212     (212
    1.050         10/28/2015         01/28/2016          (1,341     (1,344
    1.050         11/20/2015         05/20/2016          (212     (212
    1.050         11/30/2015         03/01/2016          (1,281     (1,282
    1.050         12/14/2015         01/28/2016          (372     (372
    1.100         08/28/2015         02/29/2016          (147     (148
    1.100         11/03/2015         05/03/2016          (926     (928
    1.100         11/20/2015         05/20/2016          (6,644     (6,653
    1.150         08/28/2015         02/29/2016          (806     (809
    1.150         11/20/2015         05/20/2016          (1,009     (1,011
    1.627         10/05/2015         01/05/2016          (8,347     (8,381
    1.677         10/05/2015         01/05/2016          (3,721     (3,737
    1.690         03/24/2015         01/04/2016          (3,347         (3,392

 

48   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


 

December 31, 2015 (Unaudited)

 

Counterparty   Borrowing
Rate
     Borrowing
Date
     Maturity
Date
    Amount
Borrowed  (2)
    Payable for
Reverse
Repurchase
Agreements
 
    1.710      03/24/2015         01/04/2016        $        (1,095   $ (1,110
    1.740         03/24/2015         01/04/2016          (1,390     (1,409
    1.741         11/09/2015         02/09/2016          (7,343     (7,363
    1.751         12/10/2015         01/28/2016          (6,918     (6,926
    1.902         12/14/2015         01/28/2016          (1,628     (1,630
             

 

 

 

Total Reverse Repurchase Agreements

  

      $     (211,969
             

 

 

 

 

(1) 

Open maturity reverse repurchase agreement.

(2) 

The average amount of borrowings outstanding during the period ended December 31, 2015 was $(222,608) at a weighted average interest rate of 1.251%.

 

BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY

 

The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral pledged as of December 31, 2015:

 

(i) Securities with an aggregate market value of $260,388 and cash of $635 have been pledged as collateral under the terms of the following master agreements as of December 31, 2015.

 

Counterparty   Repurchase
Agreement
Proceeds
to be
Received
     Payable for
Reverse
Repurchase
Agreements
     Payable for
Sale-Buyback
Transactions
     Total
Borrowings and
Other Financing
Transactions
     Collateral
Pledged
     Net Exposure  (3)  

Global/Master Repurchase Agreement

                

BCY

  $ 0       $ (32,896    $ 0       $     (32,896    $     46,822       $     13,926   

BOS

    0         (1,893      0         (1,893      2,035         142   

BPG

    0         (5,450      0         (5,450      6,038         588   

DEU

    0         (11,500      0         (11,500      12,148         648   

JML

    0         (10,557      0         (10,557      11,982         1,425   

JPS

    0         (8,956      0         (8,956      12,579         3,623   

MSC

    0         (8,619      0         (8,619      9,752         1,133   

RBC

    0         (2,982      0         (2,982      3,362         380   

RDR

    0         (3,166      0         (3,166      3,299         133   

RTA

    0         (31,463      0         (31,463      39,456         7,993   

SAL

    0         (10,889      0         (10,889      13,120         2,231   

SOG

    0         (15,164      0         (15,164      16,525         1,361   

UBS

    0         (68,434      0         (68,434      83,635         15,201   
 

 

 

    

 

 

    

 

 

          

Total Borrowings and Other Financing Transactions

  $     0       $     (211,969    $     0            
 

 

 

    

 

 

    

 

 

          

 

(3) 

Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements.

 

CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS

 

Remaining Contractual Maturity of the Agreements

 

     Overnight and
Continuous
     Up to 30 days      31-90 days      Greater Than 90 days     Total  

Reverse Repurchase Agreements

  

       

Asset-Backed Securities

  $ 0       $ (16,438    $ (19,974    $ (20,868   $ (57,280

Corporate Bonds & Notes

    0         (43,060      (32,490      (20,453     (96,003

Non-Agency Mortgage-Backed Securities

    0         (16,905      (12,226      (23,321     (52,452

U.S. Government Agencies

    0         0         (657      0        (657
 

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Total Borrowings

  $     0       $     (76,403    $     (65,347    $     (64,642   $     (206,392
 

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Gross amount of recognized liabilities for reverse repurchase agreements (4)

  

  $ (206,392
            

 

 

 

 

(4) 

Unsettled reverse repurchase agreements liability of $(5,577) is outstanding at period end.

 

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

 

SWAP AGREEMENTS:

 

INTEREST RATE SWAPS

 

Pay/Receive
Floating Rate
   Floating Rate Index    Fixed Rate     Maturity
Date
     Notional
Amount
    Market
Value
     Unrealized
Appreciation/
(Depreciation)
     Variation Margin  
                   Asset      Liability  

Pay

  

3-Month CAD-Bank Bill

     3.300     06/19/2024       CAD     13,300      $     1,276       $ 658       $     16       $ 0   

Receive

  

3-Month CAD-Bank Bill

     3.500        06/20/2044         4,400        (693          (539      0             (18

 

See Accompanying Notes   SEMIANNUAL REPORT   DECEMBER 31, 2015   49


Schedule of Investments PIMCO Income Opportunity Fund (Cont.)

 

Pay/Receive
Floating Rate
   Floating Rate Index    Fixed Rate     Maturity
Date
     Notional
Amount
    Market
Value
     Unrealized
Appreciation/
(Depreciation)
     Variation Margin  
                   Asset      Liability  

Receive

  

3-Month USD-LIBOR

     2.250     06/15/2026         $    13,100      $ 42       $ (4    $ 0       $ (53

Receive

  

3-Month USD-LIBOR

     2.500        06/15/2046         17,400        779             (102      0         (139

Pay

  

6-Month AUD-BBR-BBSW

     3.500        06/17/2025         AUD      5,200        147         18         0         (38
            

 

 

    

 

 

    

 

 

    

 

 

 
             $ 1,551       $ 31       $ 16       $ (248
            

 

 

    

 

 

    

 

 

    

 

 

 

Total Swap Agreements

  

       $     1,551       $ 31       $     16       $     (248
            

 

 

    

 

 

    

 

 

    

 

 

 

 

FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED SUMMARY

 

The following is a summary of the market value and variation margin of Exchange-Traded or Centrally Cleared Financial Derivative Instruments as of December 31, 2015:

 

Cash of $2,283 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2015. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements.

 

    Financial Derivative Assets         Financial Derivative Liabilities  
    Market Value     Variation Margin
Asset
              Market Value     Variation Margin
Liability
       
     Purchased
Options
    Futures     Swap
Agreements
    Total         Written
Options
    Futures     Swap
Agreements
    Total  

Total Exchange-Traded or Centrally Cleared

  $     0      $     0      $     16      $     16        $     0      $     0      $     (248)      $     (248)   
 

 

 

   

 

 

   

 

 

   

 

 

     

 

 

   

 

 

   

 

 

   

 

 

 

 

(k)  FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER

 

FORWARD FOREIGN CURRENCY CONTRACTS:

 

Counterparty    Settlement
Month
     Currency to
be Delivered
     Currency to
be Received
    Unrealized Appreciation/
(Depreciation)
 
           Asset      Liability  

CBK

     01/2016         EUR        1,693       $          1,838      $ 0       $ (2
     01/2016       $          1,456         EUR        1,350        11         0   
                 

DUB

     01/2016         BRL        21,750       $          5,551        53         0   
     01/2016       $          5,758         BRL        21,749        0         (261
     02/2016           5,496           21,749        0         (53
                 

GLM

     01/2016         GBP        313       $          473        12         0   
     01/2016         JPY        82,500           675        0         (11
                 

HUS

     01/2016         EUR        10,677           11,378        0         (225
                 

JPM

     01/2016         GBP        652           982        21         0   
     01/2016       $          12,911         GBP        8,700        0         (85
     02/2016         GBP        8,700       $          12,911        84         0   
     02/2016       $          38         BRL        155        1         0   
                 

MSB

     01/2016         GBP        7,735       $          11,662        259         0   
     01/2016       $          681         JPY        82,500        5         0   
     02/2016         JPY        82,500       $          682        0         (5
                 

UAG

     01/2016       $          12,037         EUR        11,020        0         (61
     02/2016         EUR        11,020       $          12,046        61         0   
              

 

 

    

 

 

 

Total Forward Foreign Currency Contracts

  

  $     507       $     (703
              

 

 

    

 

 

 

 

SWAP AGREEMENTS:

 

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

 

Counterparty   Reference Entity   Fixed
Receive Rate
    Maturity
Date
    Implied
Credit Spread at
December 31, 2015 (2)
    Notional
Amount  (3)
    Premiums
Paid/(Received)
    Unrealized
Appreciation/
(Depreciation)
    Swap Agreements, at Value  
                Asset     Liability  
BOA  

Russia Government International Bond

    1.000     06/20/2024        3.393%      $ 400      $     (40   $     (24   $     0      $     (64
                 
BRC  

Gazprom S.A.

    1.900        12/20/2017        3.019%            1,250        0        (26     0        (26
 

JSC VTB Bank

    2.340        12/20/2017        3.923%        1,250        0        (36     0        (36
 

Russia Government International Bond

    1.000        06/20/2019        2.658%        200        (12     1        0        (11
 

Russia Government International Bond

    1.000        06/20/2024        3.393%        400        (46     (19     0        (65
 

Russia Government International Bond

    1.000        09/20/2024        3.403%        300        (25     (25     0        (50
                 
CBK  

Russia Government International Bond

    1.000        06/20/2019        2.658%        1,000        (62     8        0        (54
 

Russia Government International Bond

    1.000        06/20/2024        3.393%        500        (53     (28     0        (81
 

Russia Government International Bond

    1.000        09/20/2024        3.403%        300        (26     (24     0        (50
                 
FBF  

TNK-NS BP Finance S.A.

    3.150        12/20/2017        3.883%        1,500        0        (19     0        (19
                 

 

50   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


 

December 31, 2015 (Unaudited)

 

Counterparty   Reference Entity   Fixed
Receive Rate
    Maturity
Date
    Implied
Credit Spread at
December 31, 2015 (2)
    Notional
Amount  (3)
    Premiums
Paid/(Received)
    Unrealized
Appreciation/
(Depreciation)
    Swap Agreements, at Value  
                Asset     Liability  
GST  

Petrobras Global Finance BV

    1.000     09/20/2020        10.013     $    110      $ (16   $ (18   $ 0      $ (34
 

Russia Government International Bond

    1.000        06/20/2019        2.658        400        (25     4        0        (21
 

Russia Government International Bond

    1.000        03/20/2020        2.862        100        (19     12        0        (7
 

Russia Government International Bond

    1.000        06/20/2024        3.393        200        (23     (9     0        (32
                 
HUS  

Russia Government International Bond

    1.000        06/20/2019        2.658        130        (5     (2     0        (7
 

Russia Government International Bond

    1.000        06/20/2024        3.393        130        (13     (8     0        (21
 

Russia Government International Bond

    1.000        09/20/2024        3.403        69        (10     (1     0        (11
                 
JPM  

Gazprom OAO Via Gaz Capital S.A.

    1.000        09/20/2020        3.788            3,200        (451     80        0        (371
 

Russia Government International Bond

    1.000        06/20/2024        3.393        200        (18     (14     0        (32
           

 

 

   

 

 

   

 

 

   

 

 

 
            $     (844   $     (148   $     0      $     (992
           

 

 

   

 

 

   

 

 

   

 

 

 

 

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

 

Counterparty   Index/Tranches   Fixed
Receive Rate
    Maturity
Date
         Notional
Amount  (3)
    Premiums
(Received)
    Unrealized
Appreciation
    Swap Agreements, at Value (4)  
                Asset     Liability  
GST  

ABX.HE.AA.6-1 Index

    0.320     07/25/2045        $     18,725      $ (3,727   $ 22      $ 0      $ (3,705
 

ABX.HE.PENAAA.7-1 Index

    0.090        08/25/2037          5,980        (1,158     22        0        (1,136
           

 

 

   

 

 

   

 

 

   

 

 

 
            $     (4,885   $     44      $     0      $     (4,841
           

 

 

   

 

 

   

 

 

   

 

 

 

 

(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 or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

(2) 

Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as an indicator 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 on credit indices serve as an indicator 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 referenced indices’ credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

 

INTEREST RATE SWAPS

 

Counterparty   Pay/Receive
Floating Rate
  Floating Rate Index   Fixed Rate     Maturity
Date
  Notional
Amount
    Premiums
Paid/(Received)
    Unrealized
Appreciation/
(Depreciation)
    Swap Agreements, at Value  
                Asset     Liability  
HUS  

Pay

  1-Year BRL-CDI     11.680   01/04/2021     BRL        150,000      $ (686   $ (4,273   $ 0      $ (4,959
 

Pay

  1-Year BRL-CDI     12.055      01/04/2021       34,000        (3     (994     0        (997
                   
MYC  

Pay

  1-Year BRL-CDI     15.590      01/04/2021       20        0        0        0        0   
             

 

 

   

 

 

   

 

 

   

 

 

 
              $ (689   $ (5,267   $ 0      $ (5,956
             

 

 

   

 

 

   

 

 

   

 

 

 

Total Swap Agreements

          $     (6,418   $     (5,371   $     0      $     (11,789
             

 

 

   

 

 

   

 

 

   

 

 

 

 

FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER SUMMARY

 

The following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral (received)/pledged as of December 31, 2015:

 

(l) Securities with an aggregate market value of $12,730 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2015.

 

    Financial Derivative Assets          Financial Derivative Liabilities                     
Counterparty   Forward
Foreign
Currency
Contracts
     Purchased
Options
     Swap
Agreements
     Total
Over the
Counter
          Forward
Foreign
Currency
Contracts
    Written
Options
     Swap
Agreements
    Total
Over the
Counter
    Net Market
Value of OTC
Derivatives
    Collateral
(Received)/
Pledged
     Net
Exposure  (5)
 

BOA

  $ 0       $ 0       $ 0       $ 0         $ 0      $ 0       $ (64   $ (64   $ (64   $ 261       $ 197   

BRC

    0         0         0         0           0        0         (188     (188     (188     247         59   

CBK

    11         0         0         11           (2     0         (185     (187     (176     149         (27

DUB

    53         0         0         53           (314     0         0        (314     (261     155         (106

FBF

    0         0         0         0           0        0         (19     (19     (19     0         (19

GLM

    12         0         0         12           (11     0         0        (11     1        0         1   

GST

    0         0         0         0           0        0         (4,935     (4,935     (4,935     5,051         116   

HUS

    0         0         0         0           (225     0         (5,995     (6,220     (6,220     6,158         (62

 

See Accompanying Notes   SEMIANNUAL REPORT   DECEMBER 31, 2015   51


Schedule of Investments PIMCO Income Opportunity Fund (Cont.)

 

    Financial Derivative Assets          Financial Derivative Liabilities                     
Counterparty   Forward
Foreign
Currency
Contracts
     Purchased
Options
     Swap
Agreements
     Total
Over the
Counter
          Forward
Foreign
Currency
Contracts
    Written
Options
     Swap
Agreements
    Total
Over the
Counter
    Net Market
Value of OTC
Derivatives
    Collateral
(Received)/
Pledged
     Net
Exposure  (5)
 

JPM

  $ 106       $ 0       $ 0       $ 106         $ (85   $ 0       $ (403   $ (488   $ (382   $ 499       $ 117   

MSB

    264         0         0         264           (5     0         0        (5     259        0         259   

UAG

    61         0         0         61           (61     0         0        (61     0        0         0   
 

 

 

    

 

 

    

 

 

    

 

 

      

 

 

   

 

 

    

 

 

   

 

 

        

Total Over the Counter

  $ 507       $ 0       $ 0       $ 507         $ (703   $ 0       $ (11,789   $ (12,492       
 

 

 

    

 

 

    

 

 

    

 

 

      

 

 

   

 

 

    

 

 

   

 

 

        

 

(5) 

Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements.

 

FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS

 

The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal Risks, in the Notes to Financial Statements on risks of the Fund.

 

Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of December 31, 2015:

 

    Derivatives not accounted for as hedging instruments  
     Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Exchange
Contracts
     Interest
Rate Contracts
     Total  

Financial Derivative Instruments - Assets

                

Exchange-traded or centrally cleared

                

Swap Agreements

  $ 0       $ 0       $ 0       $ 0       $ 16       $ 16   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Over the counter

                

Forward Foreign Currency Contracts

  $ 0       $ 0       $ 0       $ 507       $ 0       $ 507   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
  $ 0       $ 0       $ 0       $ 507       $ 16       $ 523   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Financial Derivative Instruments - Liabilities

                

Exchange-traded or centrally cleared

                

Swap Agreements

  $ 0       $ 0       $ 0       $ 0       $ 248       $ 248   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Over the counter

                

Forward Foreign Currency Contracts

  $ 0       $ 0       $ 0       $ 703       $ 0       $ 703   

Swap Agreements

    0         5,833         0         0         5,956         11,789   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
  $ 0       $ 5,833       $ 0       $ 703       $ 5,956       $ 12,492   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
  $     0       $     5,833       $     0       $     703       $     6,204       $     12,740   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

The effect of Financial Derivative Instruments on the Statements of Operations for the period ended December 31, 2015:

 

    Derivatives not accounted for as hedging instruments  
     Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Exchange
Contracts
     Interest
Rate Contracts
     Total  

Net Realized Gain (Loss) on Financial Derivative Instruments

  

           

Exchange-traded or centrally cleared

                

Swap Agreements

  $ 0       $ 0       $ 0       $ 0       $ (3,342    $ (3,342
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Over the counter

                

Forward Foreign Currency Contracts

  $ 0       $ 0       $ 0       $ 3,184       $ 0       $ 3,184   

Swap Agreements

    0         9,327         0         0         (2,852      6,475   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
  $ 0       $ 9,327       $ 0       $ 3,184       $ (2,852    $ 9,659   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
  $ 0       $ 9,327       $ 0       $ 3,184       $ (6,194    $ 6,317   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative Instruments

  

     

Exchange-traded or centrally cleared

                

Swap Agreements

  $ 0       $ 0       $ 0       $ 0       $ 313       $ 313   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Over the counter

                

Forward Foreign Currency Contracts

  $ 0       $ 0       $ 0       $ (2,267    $ 0       $ (2,267

Swap Agreements

    0         (8,903      0         0         (4,612      (13,515
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
  $ 0       $ (8,903    $ 0       $ (2,267    $ (4,612    $ (15,782
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
  $     0       $     (8,903    $     0       $     (2,267    $     (4,299    $     (15,469
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

52   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


 

December 31, 2015 (Unaudited)

 

 

FAIR VALUE MEASUREMENTS

 

The following is a summary of the fair valuations according to the inputs used as of December 31, 2015 in valuing the Fund’s assets and liabilities:

 

Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
12/31/2015
 

Investments in Securities, at Value

       

Bank Loan Obligations

  $ 0      $ 13,768      $ 277      $ 14,045   

Corporate Bonds & Notes

       

Banking & Finance

    0        55,246            23,450        78,696   

Industrials

    0        63,421        2,864        66,285   

Utilities

    0        28,966        0        28,966   

Convertible Bonds & Notes

       

Banking & Finance

    0        5,432        0        5,432   

Municipal Bonds & Notes

       

Illinois

    0        339        0        339   

Iowa

    0        181        0        181   

West Virginia

    0        2,367        0        2,367   

U.S. Government Agencies

    0        906        0        906   

U.S. Treasury Obligations

    0        1,799        0        1,799   

Non-Agency Mortgage-Backed Securities

    0        150,697        922        151,619   

Asset-Backed Securities

    0            163,243        75            163,318   

Sovereign Issues

    0        1,797        0        1,797   

Common Stocks

       

Consumer Discretionary

        216        0        0        216   

Financials

    0        0        341        341   

Warrants

       

Industrials

    0        0        2        2   

Convertible Preferred Securities

       

Banking & Finance

    0        16,796        0        16,796   
Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
12/31/2015
 

Preferred Securities

       

Banking & Finance

  $ 962      $ 1,058      $ 0      $ 2,020   

Short-Term Instruments

       

Short-Term Notes

    0        3,800        0        3,800   

U.S. Treasury Bills

    0        13,844        0        13,844   

Total Investments

  $ 1,178      $ 523,660      $ 27,931      $ 552,769   

Financial Derivative Instruments - Assets

  

Exchange-traded or centrally cleared

    0        16        0        16   

Over the counter

    0        507        0        507   
  $ 0      $ 523      $ 0      $ 523   

Financial Derivative Instruments - Liabilities

  

Exchange-traded or centrally cleared

    0        (248     0        (248

Over the counter

    0        (12,492     0        (12,492
  $ 0      $ (12,740   $ 0      $ (12,740

Totals

  $     1,178      $     511,443      $     27,931      $     540,552   
 

 

There were no significant transfers between Levels 1 and 2 during the period ended December 31, 2015.

 

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended December 31, 2015:

 

Category and Subcategory   Beginning
Balance
at 06/30/2015
    Net
Purchases  (1)
    Net
Sales  (1)
    Accrued
Discounts/
(Premiums)
    Realized
Gain/(Loss)
    Net Change in
Unrealized
Appreciation/
(Depreciation) (2)
    Transfers into
Level 3
    Transfers out
of Level 3
    Ending
Balance
at 12/31/2015
    Net Change in
Unrealized
Appreciation/
(Depreciation)
on Investments
Held at
12/31/2015 (2)
 

Investments in Securities, at Value

  

                 

Bank Loan Obligations

  $ 304      $ 0      $ 0      $ 1      $ 0      $ (28   $ 0      $ 0      $ 277      $ (27

Corporate Bonds & Notes

                   

Banking & Finance

    23,887        608        (99     6        2        (954     0        0        23,450        (958

Industrials

    6,074        0        (421     9        28        (84     0        (2,742     2,864        39   

Non-Agency Mortgage-Backed Securities

    1,012        0        (23     2        1        28        0        (98     922        28   

Asset-Backed Securities

    0        0        0        (8     0        (15     98        0        75        (14

Common Stocks

                   

Financials

    332        0        0        0        0        9        0        0        341        9   

Warrants

                   

Industrials

    40        0        0        0        0        (38     0        0        2        (38
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Totals

  $     31,649      $     608      $     (543   $     10      $     31      $     (1,082   $     98      $     (2,840   $     27,931      $     (961
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

See Accompanying Notes   SEMIANNUAL REPORT   DECEMBER 31, 2015   53


Schedule of Investments PIMCO Income Opportunity Fund (Cont.)

 

December 31, 2015 (Unaudited)

 

 

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

 

Category and Subcategory   Ending
Balance
at 12/31/2015
       Valuation
Technique
   Unobservable
Inputs
   Input Value(s)
(% Unless Noted
Otherwise)
 

Investments in Securities, at Value

     

Bank Loan Obligations

  $ 277         Other Valuation Techniques (3)         —     

Corporate Bonds & Notes

            

Banking & Finance

    13,497         Reference Instrument    Spread      210.00 bps   
    4,222         Reference Instrument    Spread Movement      653.21 bps   
    5,731         Proxy Pricing    Base Price        99.87-102.67   

Industrials

    2,864         Proxy Pricing    Base Price      6.94-100.09   

Non-Agency Mortgage-Backed Securities

    922         Proxy Pricing    Base Price      7.75-102.50   

Asset-Backed Securities

    75         Proxy Pricing    Base Price      3.78   

Common Stocks

            

Financials

    341         Other Valuation Techniques (3)         —     

Warrants

            

Industrials

    2         Proxy Pricing    Base Price    $ 0.37   
 

 

 

            

Total

  $     27,931              
 

 

 

            

 

(1) 

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

(2) 

Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at December 31, 2015 may be due to an investment no longer held or categorized as Level 3 at period end.

(3) 

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

 

54   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


Schedule of Investments PIMCO Strategic Income Fund, Inc.

 

December 31, 2015 (Unaudited)

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
INVESTMENTS IN SECURITIES 258.9%   
BANK LOAN OBLIGATIONS 2.4%   

Energy Future Intermediate Holding Co. LLC

  

4.250% due 06/19/2016

  $     7,138      $     7,126   

iHeartCommunications, Inc.

  

7.174% due 01/30/2019

      900          635   

Sequa Corp.

  

5.250% due 06/19/2017

      490          340   
       

 

 

 

Total Bank Loan Obligations (Cost $8,517)

    8,101   
       

 

 

 
CORPORATE BONDS & NOTES 27.6%   
BANKING & FINANCE 18.9%   

Barclays Bank PLC

  

14.000% due 06/15/2019 (c)

  GBP     1,300          2,482   

Blackstone CQP Holdco LP

  

9.296% due 03/19/2019

  $     12,636          12,603   

BNP Paribas S.A.

  

7.375% due 08/19/2025 (c)

      2,800          2,877   

Cantor Fitzgerald LP

  

7.875% due 10/15/2019

      930          1,023   

Exeter Finance Corp.

  

9.750% due 05/20/2019

      2,400          2,357   

International Lease Finance Corp.

  

6.750% due 09/01/2016 (g)

      2,000          2,057   

Jefferies LoanCore LLC

  

6.875% due 06/01/2020

      1,000          960   

KGH Intermediate Holdco LLC

  

8.500% due 08/08/2019 (e)

      4,360          3,653   

LBG Capital PLC

  

15.000% due 12/21/2019

  EUR     200          311   

15.000% due 12/21/2019

  GBP     2,600          5,217   

Navient Corp.

  

5.500% due 01/15/2019

  $     1,000          937   

8.450% due 06/15/2018 (g)

      1,940          2,047   

Pinnacol Assurance

  

8.625% due 06/25/2034 (e)

      2,600          2,672   

Rabobank Group

  

6.875% due 03/19/2020

  EUR     2,000          2,592   

11.000% due 06/30/2019 (c)(g)

  $     4,166          5,159   

Sberbank of Russia Via SB Capital S.A.

  

3.352% due 11/15/2019

  EUR     3,200          3,423   

6.125% due 02/07/2022

  $     2,000          2,014   

SL Green Realty Corp.

  

7.750% due 03/15/2020

      4,500          5,259   

Springleaf Finance Corp.

  

6.500% due 09/15/2017

      500          511   

6.900% due 12/15/2017

      500          519   

Vnesheconombank Via VEB Finance PLC

  

5.942% due 11/21/2023

      5,200          4,875   
       

 

 

 
            63,548   
       

 

 

 
INDUSTRIALS 3.2%   

Caesars Entertainment Operating Co., Inc.

  

8.500% due 02/15/2020 ^(d)

      1,334          1,021   

9.000% due 02/15/2020 ^(d)

      66          51   

CVS Pass-Through Trust

  

7.507% due 01/10/2032

      866          1,023   

Enterprise Inns PLC

  

6.875% due 05/09/2025

  GBP     20          30   

Forbes Energy Services Ltd.

  

9.000% due 06/15/2019

  $     240          116   

iHeartCommunications, Inc.

  

9.000% due 03/01/2021

      400          281   

Millar Western Forest Products Ltd.

  

8.500% due 04/01/2021

      48          25   
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Rockies Express Pipeline LLC

  

6.875% due 04/15/2040

  $     213      $     184   

Spanish Broadcasting System, Inc.

  

12.500% due 04/15/2017

      1,000          986   

UAL Pass-Through Trust

  

6.636% due 01/02/2024 (g)

      1,853          1,976   

9.750% due 07/15/2018 (g)

      394          417   

10.400% due 05/01/2018 (g)

      945          1,003   

UCP, Inc.

  

8.500% due 10/21/2017

      3,700          3,697   
       

 

 

 
          10,810   
       

 

 

 
UTILITIES 5.5%   

AK Transneft OJSC Via TransCapitalInvest Ltd.

  

8.700% due 08/07/2018

      3,100          3,399   

Gazprom Neft OAO Via GPN Capital S.A.

  

6.000% due 11/27/2023 (g)

      8,850          8,374   

Gazprom OAO Via Gaz Capital S.A.

  

8.625% due 04/28/2034

      2,600          2,926   

Illinois Power Generating Co.

  

6.300% due 04/01/2020

      115          70   

7.950% due 06/01/2032

      273          160   

Petrobras Global Finance BV

  

2.461% due 01/15/2019

      3,800          2,897   

3.406% due 03/17/2020

      150          107   

5.750% due 01/20/2020

      140          110   

7.875% due 03/15/2019

      500          444   
       

 

 

 
          18,487   
       

 

 

 

Total Corporate Bonds & Notes
(Cost $92,314)

      92,845   
       

 

 

 
MUNICIPAL BONDS & NOTES 0.4%   
WEST VIRGINIA 0.4%   

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

   

7.467% due 06/01/2047

      1,715          1,487   
       

 

 

 

Total Municipal Bonds & Notes
(Cost $1,616)

    1,487   
       

 

 

 
U.S. GOVERNMENT AGENCIES 147.6%   

Fannie Mae

  

2.190% due 12/01/2030

      182          186   

2.325% due 04/01/2030

      1          1   

2.385% due 09/01/2028

      8          8   

2.479% due 03/01/2032

      83          83   

2.500% due 12/25/2027 (a)

      6,402          557   

2.570% due 12/01/2028

      47          49   

2.663% due 11/01/2027

      54          55   

2.875% due 03/01/2031

      64          65   

4.250% due 11/25/2024 - 03/25/2033

      530          568   

4.500% due 09/01/2023 - 08/01/2041 (g)

      3,603          3,843   

5.000% due 12/01/2018

      2          2   

5.000% due 01/25/2038 - 07/25/2038 (g)

      16,276          17,833   

5.500% due 12/25/2016 - 07/25/2024

      29          31   

5.500% due 11/25/2032 - 04/25/2035 (g)

      9,622          10,518   

5.735% due 12/25/2042

      44          49   

5.750% due 06/25/2033

      41          47   

5.807% due 08/25/2043 (g)

      2,476          2,784   

6.000% due 02/25/2017 - 12/01/2032

      34          37   
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

6.000% due 09/25/2031 - 01/25/2044 (g)

  $     13,157      $     14,907   

6.335% due 02/25/2042 (g)

      717          825   

6.357% due 10/25/2042

      21          24   

6.500% due 10/01/2018 - 11/01/2047

      1,920          2,152   

6.500% due 09/01/2028 - 06/25/2044 (g)

      9,095          10,477   

6.808% due 09/25/2041 (g)

      695          780   

6.850% due 12/18/2027

      20          23   

7.000% due 03/01/2016 - 01/01/2047

      2,038          2,273   

7.000% due 05/01/2017 - 03/25/2045 (g)

      1,349          1,519   

7.028% due 10/25/2042 (g)

      523          601   

7.500% due 06/01/2017 - 03/25/2044

      603          691   

7.500% due 05/01/2022 - 06/25/2044 (g)

      1,796          2,076   

7.700% due 03/25/2023

      27          31   

7.844% due 06/19/2041 (g)

      1,033          1,145   

8.000% due 09/25/2021 - 06/01/2032

      349          386   

8.000% due 05/01/2030 - 10/01/2031 (g)

      246          284   

8.500% due 09/25/2021 - 06/25/2030

      424          472   

8.500% due 06/18/2027 (g)

      504          576   

9.443% due 05/15/2021

      156          170   

9.937% due 07/15/2027

      56          62   

Fannie Mae, TBA

  

3.000% due 01/01/2046

      121,000          120,726   

3.500% due 06/01/2045 - 05/01/2046

      209,000            215,130   

4.000% due 03/01/2046

      3,000          3,168   

Freddie Mac

  

2.408% due 04/01/2033

      4          4   

2.499% due 09/01/2031

      37          38   

2.512% due 12/01/2026

      7          7   

5.000% due 02/15/2024

      12          13   

5.500% due 04/01/2039 - 06/15/2041 (g)

      9,935          11,104   

6.000% due 09/15/2016 - 03/15/2035

      916          1,029   

6.000% due 04/01/2017 - 02/15/2032 (g)

      3,442          3,912   

6.040% due 07/25/2032

      152          173   

6.500% due 08/01/2021 - 09/01/2047

      1,675          1,910   

6.500% due 10/15/2023 - 03/25/2044 (g)

      9,983          11,386   

6.900% due 09/15/2023 (g)

      434          479   

6.950% due 07/15/2021

      207          228   

7.000% due 04/01/2016 - 10/25/2043

      2,401          2,646   

7.000% due 08/01/2021 - 02/25/2043 (g)

      5,603          6,349   

7.500% due 01/01/2016 - 02/25/2042

      445          490   

7.500% due 05/15/2024 - 05/01/2032 (g)

      2,952          3,400   

7.972% due 12/25/2027

      2,200          2,058   

8.000% due 08/15/2022 - 04/15/2030

      132          147   

8.000% due 12/01/2026 (g)

      252          282   

10.922% due 05/25/2028

      345          346   

11.172% due 03/25/2025

      400          431   
 

 

See Accompanying Notes   SEMIANNUAL REPORT   DECEMBER 31, 2015   55


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

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Freddie Mac, TBA

  

4.000% due 11/01/2045

  $     3,000      $     3,169   

Ginnie Mae

  

6.000% due 04/15/2029 - 11/15/2038 (g)

      2,507          2,852   

6.000% due 08/15/2031 - 12/15/2038

      60          68   

6.500% due 11/20/2024 - 10/20/2038

      135          146   

6.500% due 04/15/2032 - 05/15/2032 (g)

      814          950   

7.000% due 04/15/2024 - 06/15/2026

      65          70   

7.500% due 01/15/2017 - 03/15/2029

      254          263   

7.500% due 03/15/2026 - 01/15/2029 (g)

      691          745   

8.000% due 01/15/2017 - 11/15/2022

      14          14   

8.500% due 10/15/2016 - 02/15/2031

      12          13   

9.000% due 11/15/2016 - 11/15/2019

      86          87   

9.000% due 11/15/2019 - 01/15/2020 (g)

      54          58   

Ginnie Mae, TBA

  

4.000% due 09/01/2045

      20,000          21,212   

Small Business Administration

  

4.625% due 02/01/2025

      194          206   

5.510% due 11/01/2027

      625          696   

5.780% due 08/01/2027

      67          75   

5.820% due 07/01/2027

      63          71   

6.300% due 06/01/2018

      42          45   

7.200% due 06/01/2017

      5          5   

7.700% due 07/01/2016

      2          2   

Vendee Mortgage Trust

  

6.500% due 03/15/2029

      224          256   

6.750% due 02/15/2026 - 06/15/2026

      153          174   

7.500% due 09/15/2030

      3,182          3,806   
       

 

 

 

Total U.S. Government Agencies (Cost $492,195)

      496,629   
       

 

 

 
U.S. TREASURY OBLIGATIONS 19.1%   

U.S. Treasury Bonds

  

2.000% due 08/15/2025 (g)

      65,700          64,064   
       

 

 

 

Total U.S. Treasury Obligations (Cost $65,106)

    64,064   
       

 

 

 
NON-AGENCY MORTGAGE-BACKED SECURITIES 41.8%   

Adjustable Rate Mortgage Trust

  

2.531% due 07/25/2035

      1,070          971   

2.788% due 08/25/2035

      2,961          2,906   

Banc of America Mortgage Trust

  

2.650% due 02/25/2035

      33          32   

Banc of America Re-REMIC Trust

  

5.686% due 04/24/2049

      2,833          2,922   

BCAP LLC Trust

  

0.407% due 07/26/2036

      211          161   

2.728% due 06/26/2035

      43          38   

2.733% due 10/26/2036

      3,878          3,429   

2.736% due 10/26/2033

      130          112   

Bear Stearns ALT-A Trust

  

2.956% due 08/25/2036 ^

      507          382   

Bear Stearns Commercial Mortgage Securities Trust

  

7.000% due 05/20/2030

      1,920          2,010   
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Celtic Residential Irish Mortgage Securitisation PLC

  

0.054% due 11/13/2047

  EUR     6,350      $       6,545   

0.845% due 12/14/2048

  GBP     5,631          7,599   

Citigroup Mortgage Loan Trust, Inc.

  

7.000% due 09/25/2033

  $     4          5   

Countrywide Alternative Loan Trust

  

0.597% due 12/20/2046 ^

      10,803          8,058   

0.632% due 07/25/2046 ^

      3,065          2,423   

5.500% due 05/25/2022 ^

      60          52   

6.250% due 08/25/2037 ^

      901          771   

6.500% due 07/25/2035 ^

      759          611   

Countrywide Home Loan Mortgage Pass-Through Trust

  

0.742% due 03/25/2035

      3,110          2,451   

3.115% due 08/25/2034

      922          839   

Countrywide Home Loan Reperforming REMIC Trust

  

7.500% due 11/25/2034

      1,827          1,878   

7.500% due 06/25/2035 ^

      290          306   

Credit Suisse Commercial Mortgage Trust

  

5.695% due 09/15/2040

      2,216          2,291   

Credit Suisse First Boston Mortgage Securities Corp.

  

1.572% due 03/25/2034 ^

      607          588   

7.000% due 02/25/2034

      750          810   

Credit Suisse Mortgage Capital Certificates

  

6.500% due 03/25/2036 ^

      1,412          920   

Emerald Mortgages PLC

  

0.051% due 07/15/2048

  EUR     3,315          3,390   

Epic Drummond Ltd.

  

0.137% due 01/25/2022

      1,804          1,758   

GMAC Mortgage Corp. Loan Trust

  

3.251% due 08/19/2034

  $     204          195   

GSAA Trust

  

6.000% due 04/01/2034

      1,351          1,419   

GSMPS Mortgage Loan Trust

  

7.000% due 06/25/2043

      3,731          4,016   

7.500% due 06/19/2027

      54          53   

8.000% due 09/19/2027

      790          808   

GSR Mortgage Loan Trust

  

0.752% due 12/25/2034

      649          587   

1.860% due 03/25/2033

      4          4   

6.500% due 01/25/2034

      359          376   

HarborView Mortgage Loan Trust

  

4.007% due 06/19/2036 ^

      1,633          1,121   

JPMorgan Commercial Mortgage-Backed Securities Trust

  

5.637% due 03/18/2051

      4,000          4,188   

JPMorgan Mortgage Trust

  

2.782% due 10/25/2036 ^

      3,815          3,613   

5.500% due 08/25/2022 ^

      45          44   

5.500% due 06/25/2037 ^

      821          815   

Lehman XS Trust

  

1.047% due 09/25/2047

      7,390          6,065   

Luminent Mortgage Trust

  

0.391% due 12/25/2036

      2,634          2,139   

MASTR Adjustable Rate Mortgages Trust

  

3.087% due 10/25/2034

      1,300          1,149   

MASTR Alternative Loan Trust

  

6.250% due 07/25/2036

      598          521   

6.500% due 03/25/2034

      977          1,049   

7.000% due 04/25/2034

      74          77   

MASTR Reperforming Loan Trust

  

7.000% due 05/25/2035

      5,132          5,200   

7.500% due 07/25/2035

      2,681          2,689   

Morgan Stanley Resecuritization Trust

  

2.185% due 12/26/2046

      8,155          5,968   

NAAC Reperforming Loan REMIC Trust

  

7.000% due 10/25/2034 ^

      1,387          1,412   

7.500% due 03/25/2034 ^

      3,765          3,693   

7.500% due 10/25/2034 ^

      4,162          4,404   
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Newgate Funding PLC

  

1.122% due 12/15/2050

  EUR     2,697      $     2,586   

1.372% due 12/15/2050

      2,697          2,523   

1.583% due 12/15/2050

  GBP     3,713          4,993   

1.833% due 12/15/2050

      3,050          3,897   

RBSSP Resecuritization Trust

  

6.000% due 02/26/2037

  $     4,257          3,392   

6.250% due 12/26/2036

      7,029          4,743   

Residential Accredit Loans, Inc. Trust

  

6.000% due 08/25/2035 ^

      2,407          2,227   

Residential Asset Mortgage Products Trust

  

7.000% due 08/25/2016

      23          23   

8.500% due 10/25/2031

      667          752   

8.500% due 11/25/2031

      1,056          1,144   

Structured Asset Mortgage Investments Trust

  

1.757% due 08/25/2047 ^

      3,929          3,276   

Structured Asset Securities Corp. Mortgage Loan Trust

  

7.500% due 10/25/2036 ^

      3,539          3,236   

WaMu Mortgage Pass-Through Certificates Trust

  

2.458% due 05/25/2035

      468          470   

Washington Mutual Mortgage Pass-Through Certificates Trust

   

7.000% due 03/25/2034

      209          222   

7.500% due 04/25/2033

      582          625   

Wells Fargo Mortgage-Backed Securities Trust

  

2.738% due 06/25/2035

      457          461   

2.744% due 04/25/2036 ^

      57          56   
       

 

 

 

Total Non-Agency Mortgage-Backed Securities
(Cost $129,016)

      140,489   
       

 

 

 
ASSET-BACKED SECURITIES 16.6%   

Access Financial Manufactured Housing Contract Trust

  

7.650% due 05/15/2021

      213          118   

Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates

   

3.947% due 11/25/2032 ^

      330          13   

Bear Stearns Asset-Backed Securities Trust

  

0.652% due 09/25/2034

      797          732   

Citigroup Mortgage Loan Trust, Inc.

  

0.582% due 12/25/2036

      5,609          3,716   

0.682% due 03/25/2037

      8,629          6,735   

Conseco Finance Securitizations Corp.

  

7.960% due 05/01/2031

      1,745          1,313   

7.970% due 05/01/2032

      274          167   

Conseco Financial Corp.

  

6.530% due 02/01/2031

      171          172   

7.050% due 01/15/2027

      251          268   

Countrywide Asset-Backed Certificates

  

0.552% due 12/25/2036 ^

      4,663          4,206   

0.562% due 06/25/2047 ^

      12,407          9,620   

0.622% due 06/25/2037 ^

      3,224          2,913   

0.622% due 06/25/2047

      8,874          6,478   

0.712% due 06/25/2037

      8,449          5,677   

4.942% due 07/25/2036

      11,700          10,654   

Credit-Based Asset Servicing and Securitization LLC

  

6.020% due 12/25/2037

      901          946   

Green Tree Servicing LLC

  

8.970% due 04/25/2038

      993          1,020   

Greenpoint Manufactured Housing

  

8.300% due 10/15/2026

      1,000          1,054   

Oakwood Mortgage Investors, Inc.

  

0.561% due 06/15/2032

      24          22   

Residential Asset Mortgage Products Trust

  

8.500% due 12/25/2031

      22          20   
       

 

 

 

Total Asset-Backed Securities (Cost $56,247)

    55,844   
       

 

 

 
 

 

56   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


 

December 31, 2015 (Unaudited)

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
SOVEREIGN ISSUES 1.0%   

Brazil Notas do Tesouro Nacional

  

10.000% due 01/01/2025

  BRL     16,200      $     2,930   

Costa Rica Government International Bond

  

7.000% due 04/04/2044

  $     700          586   
       

 

 

 

Total Sovereign Issues (Cost $7,115)

      3,516   
       

 

 

 
        SHARES            
COMMON STOCKS 0.1%   
ENERGY 0.1%   

SemGroup Corp. ‘A’

      7,966          230   
       

 

 

 

Total Common Stocks (Cost $221)

    230   
       

 

 

 
       
SHORT-TERM INSTRUMENTS 2.3%   
REPURCHASE AGREEMENTS (f) 1.1%   
          3,612   
       

 

 

 
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
U.S. TREASURY BILLS 1.2%   

0.150% due 01/07/2016 - 01/28/2016 (b)(g)(j)

  $     4,102      $     4,102   
       

 

 

 
Total Short-Term Instruments (Cost $7,714)     7,714   
       

 

 

 
       
Total Investments in Securities (Cost $860,061)     870,919   
       
Total Investments 258.9%
(Cost $860,061)
      $     870,919   

Financial Derivative
Instruments (h)(i) (0.8%)

(Cost or Premiums, net $(762))

    (2,525
Other Assets and Liabilities, net (158.1%)       (532,020
       

 

 

 
Net Assets 100.0%       $     336,374   
       

 

 

 
 

NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*, EXCEPT NUMBER OF CONTRACTS):

 

* A zero balance may reflect actual amounts rounding to less than one thousand.
^ Security is in default.
(a) Interest only security.
(b) Coupon represents a weighted average yield to maturity.
(c) Perpetual maturity; date shown, if applicable, represents next contractual call date.
(d) Security is subject to a forbearance agreement entered into by the Fund which forbears the Fund from taking action to, among other things, accelerate and collect payments on the subject note with respect to specified events of default.

 

(e)  RESTRICTED SECURITIES:

 

Issuer Description    Coupon      Maturity
Date
     Acquisition
Date
    Cost     Market
Value
    Market Value
as Percentage
of Net Assets
 

KGH Intermediate Holdco LLC

     8.500      08/08/2019         08/07/2014      $ 4,293      $ 3,653        1.09%   

Pinnacol Assurance

     8.625      06/25/2034         06/23/2014        2,600        2,672        0.79%   
          

 

 

   

 

 

   

 

 

 
           $     6,893      $     6,325        1.88%   
          

 

 

   

 

 

   

 

 

 

 

BORROWINGS AND OTHER FINANCING TRANSACTIONS

 

(f)  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)
 

SAL

  0.580%     12/31/2015        01/04/2016      $ 600      U.S. Treasury Notes 2.750% due 02/15/2024   $ (612   $ 600      $ 600   

SSB

  0.010     12/31/2015        01/04/2016            3,012      Fannie Mae 2.140% due 11/07/2022     (3,076     3,012        3,012   
           

 

 

   

 

 

   

 

 

 

Total Repurchase Agreements

  

        $     (3,688   $     3,612      $     3,612   
           

 

 

   

 

 

   

 

 

 

 

(1) 

Includes accrued interest.

 

REVERSE REPURCHASE AGREEMENTS:

 

Counterparty   Borrowing
Rate
     Borrowing
Date
     Maturity
Date
    Amount
Borrowed  (2)
    Payable for
Reverse
Repurchase
Agreements
 

DEU

    0.400      10/08/2015         01/08/2016      $ (5,083   $ (5,088
    0.450         10/14/2015         01/14/2016            (40,541         (40,582
    0.500         10/14/2015         01/14/2016        (24,376     (24,404
    0.500         10/27/2015         01/27/2016        (27,261     (27,287
    0.500         10/28/2015         01/28/2016        (4,098     (4,102
    0.600         11/04/2015         02/04/2016        (5,628     (5,634
    1.050         11/12/2015         02/12/2016        (2,791     (2,795

 

See Accompanying Notes   SEMIANNUAL REPORT   DECEMBER 31, 2015   57


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

 

Counterparty   Borrowing
Rate
     Borrowing
Date
     Maturity
Date
    Amount
Borrowed  (2)
    Payable for
Reverse
Repurchase
Agreements
 
    1.100      12/04/2015         03/04/2016      $ (946   $ (947
    1.200         12/11/2015         03/11/2016            (2,064     (2,066
    1.200         12/16/2015         03/16/2016        (5,326     (5,329

JML

    1.250         11/23/2015         01/22/2016        (4,035     (4,041
           

 

 

 

Total Reverse Repurchase Agreements

  

    $     (122,275
           

 

 

 

 

SALE-BUYBACK TRANSACTIONS:

 

Counterparty   Borrowing
Rate
     Borrowing
Date
     Maturity
Date
    Amount
Borrowed  (2)
    Payable for
Sale-Buyback
Transactions (3)
 

BCY

    0.819      12/09/2015         01/08/2016      $ (2,856   $ (2,858
    0.849         12/08/2015         01/08/2016            (46,679     (46,724
    0.950         12/21/2015         01/04/2016        (7,517     (7,521
           

 

 

 

Total Sale-Buyback Transactions

  

    $     (57,103
           

 

 

 

 

MORTGAGE DOLLAR ROLLS:

 

Counterparty   Borrowing
Rate
     Borrowing
Date
     Maturity
Date
    Amount
Received
    Amount
Borrowed  (2)
 

FOB

    2.376      01/13/2016         02/10/2016      $ 121,118      $ (121,118
    2.570         01/13/2016         02/10/2016        55,791        (55,791
    2.667         01/13/2016         02/10/2016        119,784        (119,784

MSC

    2.352         01/13/2016         02/10/2016        3,172        (3,172
         

 

 

   

 

 

 

Total Mortgage Dollar Rolls

  

        $     299,865      $     (299,865
         

 

 

   

 

 

 

 

(2) 

The average amount of borrowings outstanding during the period ended December 31, 2015 was $(636,337) at a weighted average interest rate of 1.557%.

(3) 

Payable for sale-buyback transactions include $12 of deferred price drop.

 

BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY

 

The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral (received)/pledged as of December 31, 2015:

 

(g) Securities with an aggregate market value of $184,521 have been pledged as collateral under the terms of the following master agreements as of December 31, 2015.

 

Counterparty   Repurchase
Agreement
Proceeds
to be
Received
    Payable for
Reverse
Repurchase
Agreements
    Payable for
Sale-Buyback
Transactions
    Receivable for
Mortgage
Dollar Rolls
    Payable for
Mortgage
Dollar Rolls
    Total
Borrowings and
Other Financing
Transactions
    Collateral
(Received)/Pledged
    Net Exposure  (4)  

Global/Master Repurchase Agreement

               

DEU

  $ 0      $ (118,234   $ 0      $ 0      $ 0      $     (118,234   $     121,973      $     3,739   

JML

    0        (4,041     0        0        0        (4,041     4,731        690   

SAL

    600        0        0        0        0        600        (612     (12

SSB

    3,012        0        0        0        0        3,012        (3,076     (64

Master Securities Forward Transaction Agreement

               

BCY

    0        0        (57,103     0        0        0        0        0   

FOB

    0        0        0        296,693        (296,693     0        0        0   

GSC

    0        0        0        0        0        0        372        372   

MSC

    0        0        0        3,172        (3,172     0        0        0   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

       

Total Borrowings and Other Financing Transactions

  $     3,612      $     (122,275   $     (57,103   $     299,865      $     (299,865      
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

       

 

(4) 

Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements.

 

58   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


 

December 31, 2015 (Unaudited)

 

 

CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS

 

Remaining Contractual Maturity of the Agreements

 

     Overnight and
Continuous
     Up to 30 days      31-90 days      Greater Than 90 days     Total  

Reverse Repurchase Agreements

            

Corporate Bonds & Notes

  $ 0       $ (4,041    $ (11,137    $ 0      $ (15,178

U.S. Government Agencies

    0         (101,463      (5,634      0        (107,097
 

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Total

  $ 0       $ (105,504    $ (16,771    $ 0      $ (122,275

Sale-Buyback Transactions

            

U.S. Treasury Obligations

    0         (57,103      0         0        (57,103
 

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Total

  $ 0       $ (57,103    $ 0       $ 0      $ (57,103
 

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Total Borrowings

  $     0       $     (162,607    $     (16,771    $     0      $ (179,378
 

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Gross amount of recognized liabilities for reverse repurchase agreements and sale-buyback financing transactions

  

  $     (179,378
            

 

 

 

 

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

 

FUTURES CONTRACTS:

 

Description    Type    Expiration
Month
     # of
Contracts
    Unrealized
(Depreciation)
    Variation Margin  
             Asset     Liability  

U.S. Treasury 2-Year Note March Futures

  

Long

     03/2016         138      $ (58   $ 6      $ 0   
          

 

 

   

 

 

   

 

 

 

Total Futures Contracts

           $     (58   $     6      $     0   
          

 

 

   

 

 

   

 

 

 

 

SWAP AGREEMENTS:

 

INTEREST RATE SWAPS

 

Pay/Receive
Floating Rate
   Floating Rate Index    Fixed Rate      Maturity
Date
    Notional
Amount
    Market
Value
    Unrealized
Appreciation/
(Depreciation)
    Variation Margin  
                 Asset      Liability  

Pay

  

3-Month CAD-Bank Bill

     3.300      06/19/2024        CAD        11,200      $ 1,074      $ 554      $ 13       $ 0   

Receive

  

3-Month CAD-Bank Bill

     3.500         06/20/2044          3,800        (598         (466     0         (15

Pay

  

3-Month USD-LIBOR

     2.500         06/17/2022        $        31,500        1,164        329        73         0   

Receive

  

3-Month USD-LIBOR

     2.000         06/15/2023          87,600        459        (35     0         (276

Receive

  

3-Month USD-LIBOR

     2.250         06/15/2026          87,000        323        217        0         (349

Receive

  

3-Month USD-LIBOR

     2.500         06/15/2046          52,700        2,348        (312     0         (422
              

 

 

   

 

 

   

 

 

    

 

 

 
               $ 4,770      $ 287      $ 86       $ (1,062
              

 

 

   

 

 

   

 

 

    

 

 

 

Total Swap Agreements

            $     4,770      $ 287      $     86       $     (1,062
              

 

 

   

 

 

   

 

 

    

 

 

 

 

FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED SUMMARY

 

The following is a summary of the market value and variation margin of Exchange-Traded or Centrally Cleared Financial Derivative Instruments as of December 31, 2015:

 

Cash of $12,724 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2015. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements.

 

    Financial Derivative Assets         Financial Derivative Liabilities  
    Market Value     Variation Margin
Asset
    Total         Market Value     Variation Margin
Liability
   

Total

 
     Purchased
Options
    Futures     Swap
Agreements
          Written
Options
    Futures     Swap
Agreements
   

Total Exchange-Traded or Centrally Cleared

  $     0      $     6      $     86      $     92        $     0      $     0      $     (1,062   $     (1,062
 

 

 

   

 

 

   

 

 

   

 

 

     

 

 

   

 

 

   

 

 

   

 

 

 

 

(i)  FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER

 

FORWARD FOREIGN CURRENCY CONTRACTS:

 

Counterparty    Settlement
Month
     Currency to
be Delivered
     Currency to
be Received
    Unrealized Appreciation/
(Depreciation)
 
           Asset     Liability  

CBK

     01/2016         EUR        1,604       $          1,741      $ 0      $ (2
     01/2016       $          453         EUR        427            11        0   
     01/2016           26,315         GBP        17,732        0            (175

 

See Accompanying Notes   SEMIANNUAL REPORT   DECEMBER 31, 2015   59


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

 

Counterparty    Settlement
Month
     Currency to
be Delivered
     Currency to
be Received
    Unrealized Appreciation/
(Depreciation)
 
           Asset     Liability  
     02/2016         GBP        17,732       $          26,316      $ 173      $ 0   
     02/2016       $          448         GBP        297        0        (10
                

DUB

     01/2016         BRL        17,036       $          4,510        204        0   
     01/2016       $          4,347         BRL        17,035        0        (41
     02/2016         BRL        17,035       $          4,305        41        0   
                

GLM

     01/2016         EUR        59           63        0        (1
     01/2016       $          508         EUR        478        12        0   
                

HUS

     01/2016         EUR        20,706       $          22,066        0        (436
                

JPM

     01/2016       $          230         EUR        210        0        (1
     02/2016           721         BRL        2,944        16        0   
     02/2016           1,142         GBP        756        0        (28
                

MSB

     01/2016         GBP        17,732       $          26,734        593        0   
     02/2016         CAD        105           79        3        0   
                

UAG

     01/2016       $          23,216         EUR        21,254        0        (118
     02/2016         EUR        21,254       $          23,232        118        0   
              

 

 

   

 

 

 

Total Forward Foreign Currency Contracts

  

  $     1,171      $     (812
              

 

 

   

 

 

 

 

PURCHASED OPTIONS:

 

OPTIONS ON SECURITIES

 

Counterparty   Description    Strike
Price
    Expiration
Date
    Notional
Amount
    Cost     Market
Value
 
DUB  

Put - OTC Fannie Mae 3.500% due 02/01/2046

   $     80.000        02/04/2016        $      20,000      $ 2      $ 0   
            
FBF  

Put - OTC Fannie Mae 3.000% due 01/01/2046

     80.000        01/06/2016            100,000            4        0   
 

Put - OTC Fannie Mae 3.500% due 01/01/2046

     80.000        01/06/2016        80,000        3        0   
          

 

 

   

 

 

 
           $ 9      $ 0   
          

 

 

   

 

 

 

Total Purchased Options

         $     9      $     0   
          

 

 

   

 

 

 

 

SWAP AGREEMENTS:

 

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

 

Counterparty   Reference Entity   Fixed
Receive Rate
    Maturity
Date
    Implied
Credit Spread at
December 31, 2015 (2)
    Notional
Amount  (3)
    Premiums
(Received)
    Unrealized
Appreciation/
(Depreciation)
    Swap Agreements, at Value  
                Asset     Liability  
BOA  

Indonesia Government International Bond

    1.000     06/20/2019        1.707     $       600      $ (20   $ 6      $ 0      $ (14
                 
BPS  

Petrobras International Finance Co.

    1.000        12/20/2019        9.956        3,100        (306     (547     0        (853
                 
DUB  

Indonesia Government International Bond

    1.000        06/20/2019        1.707        1,200        (42     14        0        (28
                 
GST  

Petrobras Global Finance BV

    1.000        09/20/2020        10.013        10        (1     (2     0        (3
                 
HUS  

Petrobras International Finance Co.

    1.000        12/20/2019        9.956        3,400        (338     (598     0        (936
                 
JPM  

Indonesia Government International Bond

    1.000        06/20/2019        1.707        1,200        (40     12        0        (28
 

Russia Government International Bond

    1.000        12/20/2020        3.062        200        (23     5        0        (18
           

 

 

   

 

 

   

 

 

   

 

 

 
            $     (770   $     (1,110   $     0      $     (1,880
           

 

 

   

 

 

   

 

 

   

 

 

 

 

(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 or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

(2) 

Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as an indicator 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.

 

INTEREST RATE SWAPS

 

Counterparty   Pay/Receive
Floating Rate
  Floating Rate Index   Fixed Rate     Maturity
Date
    Notional
Amount
    Premiums
(Received)
    Unrealized
(Depreciation)
    Swap Agreements, at Value  
                Asset     Liability  
BPS  

Pay

  1-Year BRL-CDI     15.590%        01/04/2021        BRL            7,200      $ (1   $ (33   $ 0      $ (34
             

 

 

   

 

 

   

 

 

   

 

 

 

Total Swap Agreements

  

        $     (771   $     (1,143   $     0      $     (1,914
             

 

 

   

 

 

   

 

 

   

 

 

 

 

60   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


 

December 31, 2015 (Unaudited)

 

 

FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER SUMMARY

 

The following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral (received)/pledged as of December 31, 2015:

 

(j) Securities with an aggregate market value of $2,326 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2015.

 

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

BOA

  $ 0      $ 0      $ 0      $ 0        $ 0      $ 0      $ (14   $ (14   $ (14   $ 22      $ 8   

BPS

    0        0        0        0          0        0        (887     (887     (887     733        (154

CBK

    184        0        0        184          (187     0        0        (187     (3     0        (3

DUB

    245        0        0        245          (41     0        (28     (69     176        (180     (4

GLM

    12        0        0        12          (1     0        0        (1     11        0        11   

GST

    0        0        0        0          0        0        (3     (3     (3     0        (3

HUS

    0        0        0        0          (436     0        (936     (1,372     (1,372     1,571        199   

JPM

    16        0        0        16          (29     0        (46     (75     (59     0        (59

MSB

    596        0        0        596          0        0        0        0        596        (350     246   

UAG

    118        0        0        118          (118     0        0        (118     0        0        0   
 

 

 

   

 

 

   

 

 

   

 

 

     

 

 

   

 

 

   

 

 

   

 

 

       

Total Over the Counter

  $ 1,171      $ 0      $ 0      $ 1,171        $ (812   $ 0      $ (1,914   $ (2,726      
 

 

 

   

 

 

   

 

 

   

 

 

     

 

 

   

 

 

   

 

 

   

 

 

       

 

(4) 

Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements.

 

FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS

 

The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal Risks, in the Notes to Financial Statements on risks of the Fund.

 

Fair Values of Financial Derivative Instruments on the Statement of Assets and Liabilities as of December 31, 2015:

 

    Derivatives not accounted for as hedging instruments  
     Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Exchange
Contracts
     Interest
Rate Contracts
     Total  

Financial Derivative Instruments - Assets

                

Exchange-traded or centrally cleared

                

Futures

  $ 0       $ 0       $ 0       $ 0       $ 6       $ 6   

Swap Agreements

    0         0         0         0         86         86   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
  $ 0       $ 0       $ 0       $ 0       $ 92       $ 92   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Over the counter

                

Forward Foreign Currency Contracts

  $ 0       $ 0       $ 0       $ 1,171       $ 0       $ 1,171   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
  $ 0       $ 0       $ 0       $     1,171       $ 92       $ 1,263   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Financial Derivative Instruments - Liabilities

                

Exchange-traded or centrally cleared

                

Swap Agreements

  $ 0       $ 0       $ 0       $ 0       $ 1,062       $ 1,062   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Over the counter

                

Forward Foreign Currency Contracts

  $ 0       $ 0       $ 0       $ 812       $ 0       $ 812   

Swap Agreements

    0         1,880         0         0         34         1,914   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
  $ 0       $ 1,880       $ 0       $ 812       $ 34       $ 2,726   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
  $     0       $     1,880       $     0       $ 812       $     1,096       $     3,788   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

See Accompanying Notes   SEMIANNUAL REPORT   DECEMBER 31, 2015   61


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

 

 

The effect of Financial Derivative Instruments on the Statement of Operations for the period ended December 31, 2015:

 

    Derivatives not accounted for as hedging instruments  
     Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Exchange
Contracts
     Interest
Rate Contracts
     Total  

Net Realized Gain (Loss) on Financial Derivative Instruments

  

Exchange-traded or centrally cleared

                

Futures

  $ 0       $ 0       $ 0       $ 0       $ (7    $ (7

Swap Agreements

    0         0         0         0         (9,209      (9,209
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
  $ 0       $ 0       $ 0       $ 0       $ (9,216    $ (9,216
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Over the counter

                

Forward Foreign Currency Contracts

  $ 0       $ 0       $ 0       $ 3,104       $ 0       $ 3,104   

Purchased Options

    0         0         0         0         (6      (6

Swap Agreements

    0         49         0         0         29         78   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
  $ 0       $ 49       $ 0       $ 3,104       $ 23       $ 3,176   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
  $ 0       $ 49       $ 0       $     3,104       $     (9,193    $ (6,040
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative Instruments

  

Exchange-traded or centrally cleared

                

Futures

  $ 0       $ 0       $ 0       $ 0       $ (88    $ (88

Swap Agreements

    0         0         0         0         892         892   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
  $ 0       $ 0       $ 0       $ 0       $ 804       $ 804   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Over the counter

                

Forward Foreign Currency Contracts

  $ 0       $ 0       $ 0       $ 452       $ 0       $ 452   

Purchased Options

    0         0         0         0         (5      (5

Swap Agreements

    0         (1,025      0         0         (33          (1,058
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
  $ 0       $ (1,025    $ 0       $ 452       $ (38    $ (611
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
  $     0       $     (1,025    $     0       $ 452       $ 766       $ 193   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

FAIR VALUE MEASUREMENTS

 

The following is a summary of the fair valuations according to the inputs used as of December 31, 2015 in valuing the Fund’s assets and liabilities:

 

Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
12/31/2015
 

Investments in Securities, at Value

       

Bank Loan Obligations

  $ 0      $ 8,101      $ 0      $ 8,101   

Corporate Bonds & Notes

       

Banking & Finance

    0        42,262        21,286        63,548   

Industrials

    0        7,113        3,697        10,810   

Utilities

    0        18,487        0        18,487   

Municipal Bonds & Notes

       

West Virginia

    0        1,487        0        1,487   

U.S. Government Agencies

    0        496,629        0        496,629   

U.S. Treasury Obligations

    0        64,064        0        64,064   

Non-Agency Mortgage-Backed Securities

    0        140,489        0        140,489   

Asset-Backed Securities

    0        55,844        0        55,844   

Sovereign Issues

    0        3,516        0        3,516   

Common Stocks

       

Energy

    230        0        0        230   

Short-Term Instruments

       

Repurchase Agreements

    0        3,612        0        3,612   

U.S. Treasury Bills

    0        4,102        0        4,102   

Total Investments

  $     230      $     845,706      $     24,983      $     870,919   
Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
12/31/2015
 

Financial Derivative Instruments - Assets

  

Exchange-traded or centrally cleared

  $ 6      $ 86      $ 0      $ 92   

Over the counter

    0        1,171        0        1,171   
  $ 6      $ 1,257      $ 0      $ 1,263   

Financial Derivative Instruments - Liabilities

  

Exchange-traded or centrally cleared

    0        (1,062       (1,062

Over the counter

    0        (2,726     0        (2,726
  $ 0      $ (3,788   $ 0      $ (3,788

Totals

  $     236      $     843,175      $     24,983      $     868,394   
 

 

62   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


 

December 31, 2015 (Unaudited)

 

 

There were no significant transfers between Levels 1 and 2 during the period ended December 31, 2015.

 

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended December 31, 2015:

 

Category and Subcategory   Beginning
Balance
at 06/30/2015
    Net
Purchases
    Net
Sales
    Accrued
Discounts/
(Premiums)
    Realized
Gain/(Loss)
    Net Change in
Unrealized
Appreciation/
(Depreciation) (1)
    Transfers into
Level 3
    Transfers out
of Level 3
    Ending
Balance
at 12/31/2015
    Net Change in
Unrealized
Appreciation/
(Depreciation)
on Investments
Held at
12/31/2015 (1)
 

Investments in Securities, at Value

  

           

Corporate Bonds & Notes

                   

Banking & Finance

  $ 21,621      $ 567      $ (56   $ 5      $ 1      $ (852   $ 0      $ 0      $ 21,286      $ (854

Industrials

    4,231        0        (81     2        0        (39     0        (416     3,697        (20
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Totals

  $     25,852      $     567      $     (137   $     7      $     1      $     (891   $     0      $     (416   $     24,983      $     (874
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

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

 

Category and Subcategory   Ending
Balance
at 12/31/2015
       Valuation
Technique
   Unobservable
Inputs
   Input Value(s)
(% Unless
Noted
Otherwise)
 

Investments in Securities, at Value

            

Corporate Bonds & Notes

            

Banking & Finance

  $ 12,603         Reference Instrument    Spread      210.00 bps   
    3,653         Reference Instrument    Spread Movement      653.21 bps   
    5,030         Proxy Pricing    Base Price      99.87-102.67   

Industrials

    3,697         Proxy Pricing    Base Price      100.09   
 

 

 

            

Total

  $     24,983              
 

 

 

            

 

(1) 

Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at December 31, 2015 may be due to an investment no longer held or categorized as Level 3 at period end.

 

See Accompanying Notes   SEMIANNUAL REPORT   DECEMBER 31, 2015   63


Consolidated Schedule of Investments PIMCO Dynamic Credit Income Fund

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
INVESTMENTS IN SECURITIES 174.2%   
BANK LOAN OBLIGATIONS 5.1%   

Energy Future Intermediate Holding Co. LLC

  

4.250% due 06/19/2016

  $     71,072      $     70,950   

Essar Steel Algoma, Inc.

  

TBD% due 08/09/2019 ^

      3,523          881   

Fortescue Metals Group Ltd.

  

4.250% due 06/30/2019

      13,253          9,949   

Getty Images, Inc.

  

4.750% due 10/18/2019

      10,645          6,753   

Hellenic Republic

  

3.930% due 03/30/2016

  EUR     6,000          6,350   

iHeartCommunications, Inc.

  

7.174% due 01/30/2019

  $     24,775          17,466   

Maxim Crane Works LP

  

10.250% due 11/26/2018

      10,000          9,900   

OGX

  

TBD% - 13.000% due 04/10/2049

    2,107          2,158   

Sabine Oil & Gas LLC

  

TBD% due 12/31/2018 ^

      7,800          195   

Sequa Corp.

  

5.250% due 06/19/2017

      25,040          17,403   
       

 

 

 

Total Bank Loan Obligations (Cost $172,604)

      142,005   
       

 

 

 
CORPORATE BONDS & NOTES 39.8%   
BANKING & FINANCE 15.0%   

AGFC Capital Trust

  

6.000% due 01/15/2067 (k)

      20,300          14,312   

Banco do Brasil S.A.

  

6.250% due 04/15/2024 (g)(k)

    7,760          3,802   

9.000% due 06/18/2024 (g)(k)

    5,029          3,319   

Banco Espirito Santo S.A.

  

2.625% due 05/08/2017 (k)

  EUR     6,900          1,091   

4.000% due 01/21/2019 (k)

      15,000          2,233   

Banco Popular Espanol S.A.

  

11.500% due 10/10/2018 (g)(k)

    16,900          20,019   

Barclays Bank PLC

  

2.010% due 12/21/2020

  MXN     7,500          424   

14.000% due 06/15/2019 (g)(k)

  GBP     8,530          16,289   

Blackstone CQP Holdco LP

  

9.296% due 03/19/2019

  $     107,345          107,064   

Cantor Fitzgerald LP

  

7.875% due 10/15/2019 (k)

      10,555          11,607   

Credit Agricole S.A.

  

7.875% due 01/23/2024 (g)(k)

    8,100          8,308   

Exeter Finance Corp.

  

9.750% due 05/20/2019

      21,900          21,512   

Jefferies Finance LLC

  

7.500% due 04/15/2021 (k)

      14,461          12,780   

Jefferies LoanCore LLC

  

6.875% due 06/01/2020 (k)

      1,200          1,152   

KGH Intermediate Holdco LLC

  

8.500% due 08/08/2019 (i)

      39,719          33,287   

LBG Capital PLC

  

15.000% due 12/21/2019 (k)

  GBP     1,100          2,207   

Legg Mason PT

  

7.130% due 01/10/2021

  $     12,200          12,747   

8.600% due 08/10/2021

      7,714          8,471   

National Bank of Greece S.A.

  

3.875% due 10/07/2016

  EUR     700          745   

Novo Banco S.A.

  

5.000% due 05/21/2019 (k)

      1,500          1,459   
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Pinnacol Assurance

  

8.625% due 06/25/2034 (i)

  $     23,200      $     23,846   

Rio Oil Finance Trust

  

9.250% due 07/06/2024 (k)

      7,253          5,376   

9.750% due 01/06/2027 (k)

      3,000          2,209   

Royal Bank of Scotland Group PLC

  

7.500% due 08/10/2020 (g)

      600          626   

8.000% due 08/10/2025 (g)

      600          636   

Sberbank of Russia Via SB Capital S.A.

  

6.125% due 02/07/2022

      8,300          8,357   

6.125% due 02/07/2022 (k)

      51,100          51,453   

Tesco Property Finance PLC

  

6.052% due 10/13/2039 (k)

  GBP     7,035          9,777   

TIG FinCo PLC

  

8.500% due 03/02/2020 (k)

      3,318          5,039   

8.750% due 04/02/2020 (k)

      18,718          24,559   

Vnesheconombank Via VEB Finance PLC

  

3.035% due 02/21/2018 (k)

  EUR     500          526   

6.025% due 07/05/2022

  $     200          190   

6.902% due 07/09/2020 (k)

      5,800          5,888   
       

 

 

 
            421,310   
       

 

 

 
INDUSTRIALS 16.7%        

Altice Luxembourg S.A.

  

7.250% due 05/15/2022 (k)

  EUR     6,627          6,764   

Ancestry.com Holdings LLC (9.625% Cash or 10.375% PIK)

   

9.625% due 10/15/2018 (c)(k)

  $     11,483          11,354   

Boxer Parent Co., Inc. (9.000% Cash or 9.750% PIK)

  

9.000% due 10/15/2019 (c)(k)

      28,642          17,865   

Caesars Entertainment Operating Co., Inc.

  

8.500% due 02/15/2020 ^(h)(k)

      71,967          55,055   

9.000% due 02/15/2020 ^(h)

      4,518          3,456   

11.250% due 06/01/2017 ^(h)

      5,000          3,775   

Chesapeake Energy Corp.

  

3.571% due 04/15/2019

      480          135   

Crimson Merger Sub, Inc.

  

6.625% due 05/15/2022 (k)

      7,905          5,435   

DriveTime Automotive Group, Inc.

  

8.000% due 06/01/2021 (k)

      11,500          10,292   

Enterprise Inns PLC

  

6.500% due 12/06/2018 (k)

  GBP     742          1,172   

6.875% due 02/15/2021 (k)

      2,360          3,709   

6.875% due 05/09/2025 (k)

      2,210          3,356   

Forbes Energy Services Ltd.

  

9.000% due 06/15/2019 (k)

  $     8,140          3,948   

Harvest Operations Corp.

  

6.875% due 10/01/2017 (k)

      22,932          17,772   

Hellenic Railways Organization S.A.

  

4.028% due 03/17/2017

  EUR     6,400          6,468   

5.014% due 12/27/2017

      800          804   

iHeartCommunications, Inc.

  

9.000% due 03/01/2021 (k)

  $     36,570          25,645   

Intelsat Luxembourg S.A.

  

7.750% due 06/01/2021 (k)

      15,815          7,433   

8.125% due 06/01/2023

      1,289          586   

Intrepid Aviation Group Holdings LLC

  

6.875% due 02/15/2019 (k)

      40,120          33,099   

Millar Western Forest Products Ltd.

  

8.500% due 04/01/2021 (k)

      18,266          9,590   

Numericable-SFR S.A.S.

  

4.875% due 05/15/2019 (k)

      15,245          15,150   

6.000% due 05/15/2022 (k)

      3,900          3,793   

OGX Austria GmbH

  

8.375% due 04/01/2022 ^

      6,000          0   

8.500% due 06/01/2018 ^

      48,450          1   
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Perstorp Holding AB

  

8.750% due 05/15/2017 (k)

  $     46,270      $     46,039   

Petroleos de Venezuela S.A.

  

6.000% due 11/15/2026 (k)

      1,070          396   

Russian Railways via RZD Capital PLC

  

7.487% due 03/25/2031

  GBP     100          140   

Schaeffler Holding Finance BV (6.875% Cash or 6.875% PIK)

   

6.875% due 08/15/2018 (c)(k)

  EUR     5,400          6,087   

Schaeffler Holding Finance BV (6.875% Cash or 7.625% PIK)

   

6.875% due 08/15/2018 (c)(k)

  $     5,250          5,421   

Sequa Corp.

  

7.000% due 12/15/2017 (k)

      24,447          7,884   

Soho House Bond Ltd.

  

9.125% due 10/01/2018 (k)

  GBP     15,350          23,647   

Spanish Broadcasting System, Inc.

  

12.500% due 04/15/2017 (k)

  $     60,430          59,599   

Spirit Issuer PLC

  

3.289% due 12/28/2031

  GBP     1,100          1,508   

5.472% due 12/28/2028 (k)

      8,007          11,981   

Tembec Industries, Inc.

  

9.000% due 12/15/2019 (k)

  $     14,600          9,563   

UCP, Inc.

  

8.500% due 10/21/2017

      23,300          23,281   

Unique Pub Finance Co. PLC

  

7.395% due 03/28/2024 (k)

  GBP     3,700          5,524   

Westmoreland Coal Co.

  

8.750% due 01/01/2022 (k)

  $     32,972          20,443   
       

 

 

 
            468,170   
       

 

 

 
UTILITIES 8.1%        

AK Transneft OJSC Via TransCapitalInvest Ltd.

  

8.700% due 08/07/2018 (k)

      3,000          3,289   

Frontier Communications Corp.

  

8.875% due 09/15/2020 (k)

      2,240          2,274   

10.500% due 09/15/2022 (k)

      3,670          3,656   

11.000% due 09/15/2025 (k)

      3,670          3,642   

Gazprom Neft OAO Via GPN Capital S.A.

  

4.375% due 09/19/2022 (k)

      5,400          4,796   

6.000% due 11/27/2023 (k)

      35,000          33,116   

Gazprom OAO Via Gaz Capital S.A.

  

4.950% due 07/19/2022 (k)

      1,500          1,410   

5.999% due 01/23/2021 (k)

      2,525          2,525   

6.510% due 03/07/2022 (k)

      1,370          1,383   

6.605% due 02/13/2018 (k)

  EUR     900          1,029   

7.288% due 08/16/2037 (k)

  $     1,388          1,386   

8.625% due 04/28/2034 (k)

      2,725          3,067   

9.250% due 04/23/2019 (k)

      4,700          5,262   

Genesis Energy LP

  

5.625% due 06/15/2024 (k)

      8,900          6,809   

5.750% due 02/15/2021 (k)

      500          425   

Illinois Power Generating Co.

  

6.300% due 04/01/2020 (k)

      34,047          20,598   

7.950% due 06/01/2032 (k)

      31,789          18,597   

Odebrecht Drilling Norbe Ltd.

  

6.350% due 06/30/2022 (k)

      3,847          1,423   

Odebrecht Offshore Drilling Finance Ltd.

  

6.625% due 10/01/2023 (h)

      827          190   

6.750% due 10/01/2023 (h)(k)

      25,207          6,050   

Petrobras Global Finance BV

  

2.886% due 03/17/2017 (k)

      400          368   

3.250% due 04/01/2019 (k)

  EUR     200          160   

3.406% due 03/17/2020 (k)

  $     5,000          3,563   

4.375% due 05/20/2023 (k)

      400          265   

5.375% due 10/01/2029 (k)

  GBP     2,320          2,008   
 

 

64   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


 

December 31, 2015 (Unaudited)

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

5.750% due 01/20/2020 (k)

  $     10,615      $     8,359   

6.250% due 03/17/2024 (k)

      190          137   

6.250% due 12/14/2026 (k)

  GBP     6,398          6,156   

6.625% due 01/16/2034 (k)

      11,017          10,060   

7.875% due 03/15/2019 (k)

  $     34,521          30,637   

Sierra Hamilton LLC

  

12.250% due 12/15/2018 (k)

      30,000          14,700   

Sprint Capital Corp.

  

6.875% due 11/15/2028 (k)

      1,700          1,194   

Sprint Corp.

  

7.125% due 06/15/2024 (k)

      22,613          16,564   

7.875% due 09/15/2023 (k)

      8,746          6,590   

Yellowstone Energy LP

  

5.750% due 12/31/2026

      4,358          4,349   
       

 

 

 
          226,037   
       

 

 

 

Total Corporate Bonds & Notes
(Cost $1,375,458)

      1,115,517   
       

 

 

 
MUNICIPAL BONDS & NOTES 0.9%   
ILLINOIS 0.1%   

Chicago, Illinois General Obligation Bonds, Series 2015

  

7.375% due 01/01/2033

      950          1,005   

7.750% due 01/01/2042

      1,690          1,712   
       

 

 

 
          2,717   
       

 

 

 
IOWA 0.1%        

Iowa Tobacco Settlement Authority Revenue Bonds, Series 2005

   

6.500% due 06/01/2023

      1,600          1,608   
       

 

 

 
NEW JERSEY 0.3%   

New Jersey Economic Development Authority Revenue Bonds, Series 2005

   

6.500% due 09/01/2036

      6,795          7,226   
       

 

 

 
WEST VIRGINIA 0.4%   

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

   

7.467% due 06/01/2047

      14,560          12,623   
       

 

 

 

Total Municipal Bonds & Notes
(Cost $23,387)

    24,174   
       

 

 

 
U.S. GOVERNMENT AGENCIES 0.7%   

Fannie Mae

  

3.000% due 01/25/2042 (a)(k)

      1,782          163   

3.500% due 08/25/2032 (a)(k)

      3,747          494   

5.578% due 08/25/2038 (a)(k)

      2,115          319   

5.728% due 02/25/2043 (a)(k)

      7,667          1,316   

6.218% due 12/25/2036 (a)(k)

      6,056          1,070   

6.228% due 04/25/2037 (a)(k)

      10,595          1,127   

8.116% due 10/25/2042 (k)

      2,795          3,122   

Freddie Mac

  

4.000% due 03/15/2027 (a)(k)

      1,977          192   

5.870% due 09/15/2042 (a)(k)

      2,598          398   

6.170% due 12/15/2034 (a)(k)

      3,521          332   

11.172% due 03/25/2025

      7,344          7,912   

Ginnie Mae

  

3.500% due 06/20/2042 (a)(k)

      2,188          226   

4.000% due 09/20/2042 (a)(k)

      3,534          587   

5.718% due 08/20/2042 (a)(k)

      4,775          997   

5.848% due 12/20/2040 (a)(k)

      4,551          814   

6.356% due 08/16/2039 (a)(k)

      5,890          780   
       

 

 

 

Total U.S. Government Agencies
(Cost $19,630)

    19,849   
       

 

 

 
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
U.S. TREASURY OBLIGATIONS 0.6%   

U.S. Treasury Floating Rate Notes

  

0.337% due 07/31/2017 (k)(m)(o)

  $     10,900      $     10,883   

0.428% due 10/31/2017 (m)(o)

      5,300          5,299   
       

 

 

 

Total U.S. Treasury Obligations
(Cost $16,182)

      16,182   
       

 

 

 
NON-AGENCY MORTGAGE-BACKED SECURITIES 44.1%   

Adjustable Rate Mortgage Trust

  

0.552% due 03/25/2036

      8,573          5,691   

3.286% due 03/25/2037 (k)

      6,670          5,382   

4.823% due 11/25/2037 ^(k)

      1,823          1,364   

American Home Mortgage Assets Trust

  

6.250% due 06/25/2037

      629          457   

American Home Mortgage Investment Trust

  

6.100% due 01/25/2037

      5,833          3,454   

ASG Resecuritization Trust

  

6.000% due 06/28/2037

      52,707          40,603   

Banc of America Alternative Loan Trust

  

6.000% due 07/25/2035 ^

      233          224   

6.000% due 11/25/2035 ^

      1,663          1,570   

6.000% due 04/25/2036

      2,243          1,721   

6.000% due 07/25/2046 ^

      2,659          2,202   

6.500% due 02/25/2036 ^

      4,730          4,157   

16.012% due 09/25/2035 ^

      687          844   

Banc of America Funding Trust

  

0.632% due 04/25/2037 ^

      3,551          2,560   

2.684% due 09/20/2046

      4,756          3,976   

2.873% due 04/20/2035 ^

      5,911          4,365   

2.973% due 09/20/2047 ^

      919          687   

2.988% due 09/20/2037

      1,629          1,104   

5.762% due 08/26/2036

      6,927          5,040   

6.000% due 10/25/2037 ^

      8,103          6,131   

Banc of America Mortgage Trust

  

5.750% due 10/25/2036 ^

      3,351          2,803   

5.750% due 05/25/2037 ^

      2,299          1,742   

6.000% due 10/25/2036 ^

      407          344   

Banc of America/Merrill Lynch Commercial Mortgage, Inc.

   

5.402% due 07/10/2042

      3,000          3,004   

BCAP LLC Trust

  

0.391% due 09/26/2035

      3,806          3,781   

0.401% due 05/26/2036

      6,617          3,442   

0.451% due 02/26/2037

      19,447          11,520   

0.721% due 05/26/2035

      7,200          4,316   

2.732% due 05/26/2037

      11,311          9,619   

2.756% due 03/26/2037

      4,344          3,499   

2.782% due 07/26/2036

      8,292          7,515   

4.459% due 03/27/2037

      9,110          6,139   

4.749% due 07/26/2036

      1,877          1,527   

5.500% due 12/26/2035

      15,170          11,069   

6.862% due 10/26/2037

      4,602          4,313   

8.477% due 06/26/2037

      7,945          7,501   

9.267% due 11/26/2035

      2,643          2,889   

10.860% due 07/26/2036

      855          872   

15.644% due 01/26/2036

      14,257          4,229   

Bear Stearns Adjustable Rate Mortgage Trust

  

2.500% due 02/25/2036 ^

      2,289          1,930   

Bear Stearns ALT-A Trust

  

0.762% due 08/25/2036 (k)

      49,723          38,398   

0.922% due 01/25/2036 ^

      8,859          7,070   

2.416% due 03/25/2036

      3,919          2,728   

2.518% due 04/25/2037 (k)

      10,383          7,846   

2.711% due 07/25/2036

      70,253          38,095   

2.820% due 05/25/2036 ^

      2,129          1,473   

2.844% due 12/25/2046 ^

      9,294          6,699   

3.048% due 09/25/2035 ^

      7,849          5,936   
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

3.151% due 08/25/2046 (k)

  $     7,370      $     5,588   

Bear Stearns Mortgage Funding Trust

  

7.000% due 08/25/2036

      5,599          5,321   

Citigroup Mortgage Loan Trust, Inc.

  

2.474% due 08/25/2037

      6,267          4,525   

2.643% due 07/25/2046 ^

      1,578          1,385   

2.694% due 07/25/2036 ^

      5,269          3,379   

2.962% due 03/25/2037 ^

      4,432          3,546   

5.302% due 04/25/2037 ^

      1,493          1,308   

5.500% due 12/25/2035

      4,542          3,652   

6.500% due 09/25/2036

      1,852          1,390   

Countrywide Alternative Loan Resecuritization Trust

  

3.942% due 03/25/2047

      5,782          5,442   

Countrywide Alternative Loan Trust

  

0.592% due 03/20/2047

      509          398   

0.597% due 12/20/2046 ^(k)

      93,825          69,983   

0.602% due 05/25/2036 (k)

      36,251          31,384   

0.612% due 05/20/2046 ^(k)

      35,331          27,030   

0.632% due 08/25/2047 ^

      2,843          2,440   

0.652% due 03/25/2036 (k)

      33,736          31,050   

0.682% due 07/25/2036 (k)

      11,266          8,935   

0.713% due 11/20/2035

      404          326   

1.122% due 10/25/2035 ^(k)

      1,904          1,517   

1.567% due 07/20/2035 ^

      25,085          19,825   

5.269% due 05/25/2036 (k)

      13,553          11,613   

5.500% due 11/25/2035 (k)

      3,740          2,996   

5.500% due 02/25/2036 ^

      2,785          2,543   

5.500% due 02/25/2036

      3,063          2,776   

5.500% due 05/25/2036 ^(k)

      3,234          3,049   

5.500% due 05/25/2037

      2,871          2,457   

6.000% due 03/25/2035 ^

      728          628   

6.000% due 02/25/2036 (k)

      31,493            26,737   

6.000% due 04/25/2036

      1,101          950   

6.000% due 01/25/2037 ^(k)

      2,311          2,144   

6.000% due 02/25/2037 ^(k)

      960          754   

6.000% due 02/25/2037 (k)

      7,764          6,892   

6.000% due 02/25/2037 ^

      952          748   

6.000% due 04/25/2037 ^

      9,465          7,429   

6.000% due 04/25/2037 (k)

      13,363          11,776   

6.000% due 08/25/2037

      5,014          4,187   

6.000% due 08/25/2037 ^(k)

      17,961          14,996   

6.250% due 12/25/2036 ^(k)

      1,069          870   

18.641% due 07/25/2035

      224          300   

Countrywide Asset-Backed Certificates

  

0.662% due 04/25/2036 (k)

      1,124          999   

Countrywide Home Loan Mortgage Pass-Through Trust

  

2.292% due 03/25/2046 ^(k)

      62,190          35,087   

2.476% due 03/20/2036 (k)

      5,867          6,663   

4.704% due 05/20/2036 ^

      5,172          4,401   

6.000% due 01/25/2038 ^(k)

      7,043          6,337   

Credit Suisse First Boston Mortgage Securities Corp.

  

6.000% due 01/25/2036

      581          454   

Credit Suisse Mortgage Capital Certificates

  

2.431% due 10/26/2036

      22,608          16,346   

2.767% due 04/28/2037

      7,392          5,318   

2.838% due 12/29/2037

      5,391          3,194   

5.750% due 05/26/2037

      32,140          28,713   

Credit Suisse Mortgage Capital Mortgage-Backed Trust

  

6.000% due 07/25/2036

      4,164          3,197   

6.500% due 05/25/2036 ^

      4,533          3,478   

6.750% due 08/25/2036 ^(k)

      4,624          3,702   

Debussy PLC

  

5.930% due 07/12/2025 (k)

  GBP     55,000          79,466   

8.250% due 07/12/2025

      10,000          11,642   

Deutsche ALT-A Securities, Inc.

  

0.722% due 04/25/2037

  $     12,568          6,602   

5.500% due 12/25/2035 ^

      1,245          1,054   
 

 

See Accompanying Notes   SEMIANNUAL REPORT   DECEMBER 31, 2015   65


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

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Epic Drummond Ltd.

  

0.137% due 01/25/2022

  EUR     75,104      $       73,219   

First Horizon Alternative Mortgage Securities Trust

  

0.000% due 02/25/2020 (b)(f)

  $     33          30   

0.000% due 05/25/2020 (b)(f)

      40          34   

0.000% due 06/25/2020 ^(b)(f)

      25          24   

0.000% due 03/25/2035 (b)(f)

      188          133   

Greenwich Capital Commercial Funding Corp.

  

6.047% due 06/10/2036

      2,850          2,886   

Grifonas Finance PLC

  

0.319% due 08/28/2039

  EUR     7,518          5,982   

GSC Capital Corp. Mortgage Trust

  

0.602% due 05/25/2036 ^

  $     5,171          4,029   

HarborView Mortgage Loan Trust

  

2.501% due 06/19/2045 ^

      1,651          1,042   

4.007% due 06/19/2036 ^

      1,300          892   

HomeBanc Mortgage Trust

  

2.296% due 04/25/2037 ^

      7,738          4,855   

HSI Asset Loan Obligation Trust

  

6.000% due 06/25/2037 ^

      11,821          10,301   

Impac Secured Assets Trust

  

0.592% due 01/25/2037 (k)

      12,868          11,111   

IndyMac Mortgage Loan Trust

  

0.602% due 02/25/2037

      2,210          1,557   

0.632% due 11/25/2036

      410          353   

2.674% due 11/25/2035 ^

      7,281          6,174   

3.000% due 06/25/2036

      1,880          1,541   

Jefferies Resecuritization Trust

  

6.000% due 12/26/2036

      4,503          1,906   

JPMorgan Alternative Loan Trust

  

0.732% due 06/27/2037

      22,732          18,690   

2.692% due 05/25/2036 ^

      1,551          1,273   

3.192% due 11/25/2036 ^

      1,842          1,660   

6.000% due 12/25/2035 ^(k)

      1,786          1,658   

JPMorgan Chase Commercial Mortgage Securities Trust

  

5.830% due 06/12/2041 (k)

      10,975          10,974   

JPMorgan Resecuritization Trust

  

2.738% due 03/21/2037

      8,896          7,504   

5.999% due 04/26/2036

      7,449          4,391   

6.000% due 09/26/2036

      3,517          2,412   

Lavender Trust

  

6.250% due 10/26/2036

      5,174          3,864   

Lehman Mortgage Trust

  

6.000% due 01/25/2038 ^

      6,355          6,335   

Lehman XS Trust

  

1.121% due 08/25/2047

      927          632   

MASTR Alternative Loan Trust

  

1.122% due 02/25/2036

      2,822          1,918   

Merrill Lynch Alternative Note Asset Trust

  

6.000% due 05/25/2037 ^

      5,406          4,734   

Merrill Lynch Mortgage Investors Trust

  

2.658% due 03/25/2036 ^

      16,603          11,220   

Morgan Stanley Mortgage Loan Trust

  

0.592% due 05/25/2036

      237          106   

2.750% due 05/25/2036 ^

      3,825          2,775   

3.146% due 11/25/2037

      3,721          2,867   

5.962% due 06/25/2036

      2,107          1,106   

Morgan Stanley Re-REMIC Trust

  

0.557% due 02/26/2037

      7,995          5,430   

0.567% due 03/26/2037

      4,866          3,637   

PHH Alternative Mortgage Trust

  

0.000% due 02/25/2037 ^(b)(f)

      12          9   

RBSSP Resecuritization Trust

  

2.995% due 09/26/2035

      8,061          5,245   

5.500% due 05/26/2036

      5,230          4,415   

9.391% due 06/26/2037

      915          540   
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Residential Accredit Loans, Inc. Trust

  

0.572% due 02/25/2037

  $     1,102      $     893   

6.000% due 12/25/2035 ^

      4,881          4,291   

6.000% due 11/25/2036 ^

      5,588          4,613   

6.000% due 03/25/2037 ^(k)

      4,559          3,942   

6.250% due 02/25/2037 ^

      7,415          5,874   

6.500% due 09/25/2037 ^

      1,879          1,450   

Residential Asset Mortgage Products Trust

  

8.000% due 05/25/2032 (k)

      1,283          1,140   

Residential Asset Securitization Trust

  

6.000% due 05/25/2036

      1,793          1,601   

6.000% due 02/25/2037 ^

      329          251   

6.000% due 03/25/2037 ^

      4,132          2,907   

6.250% due 10/25/2036 ^

      203          170   

Residential Funding Mortgage Securities, Inc. Trust

  

6.000% due 10/25/2036 ^

      1,734          1,557   

Sequoia Mortgage Trust

  

1.056% due 02/20/2034

      1,009          950   

1.970% due 09/20/2032

      1,091          1,051   

5.357% due 06/20/2037 ^(k)

      21,475          19,555   

Structured Adjustable Rate Mortgage Loan Trust

  

2.753% due 04/25/2036 ^

      1,431          1,306   

Structured Asset Mortgage Investments Trust

  

0.632% due 05/25/2046

      50          40   

1.594% due 02/25/2036 ^

      14,427          12,311   

Structured Asset Securities Corp. Trust

  

5.500% due 10/25/2035 ^

      4,323          3,343   

Suntrust Adjustable Rate Mortgage Loan Trust

  

6.005% due 02/25/2037 ^

      9,636          8,088   

Theatre Hospitals PLC

  

3.579% due 10/15/2031 (k)

  GBP     41,189          57,174   

WaMu Mortgage Pass-Through Certificates Trust

  

2.149% due 07/25/2046

  $     461          416   

2.378% due 08/25/2036 ^

      4,050          3,533   

Washington Mutual Mortgage Pass-Through Certificates Trust

   

0.662% due 01/25/2047 ^

      3,280          2,469   

1.227% due 06/25/2046

      12,352          6,935   

4.530% due 09/25/2036 ^

      4,872          2,659   

5.750% due 11/25/2035 ^

      2,779          2,516   

5.967% due 05/25/2036 ^(k)

      11,354          8,702   

Wells Fargo Mortgage Loan Trust

  

2.835% due 03/27/2037

      8,445          6,075   
       

 

 

 

Total Non-Agency
Mortgage-Backed Securities
(Cost $1,222,845)

      1,236,029   
       

 

 

 
ASSET-BACKED SECURITIES 77.4%   

Aames Mortgage Investment Trust

  

1.412% due 07/25/2035 (k)

      19,113          15,603   

Accredited Mortgage Loan Trust

  

0.682% due 09/25/2036 (k)

      2,200          1,880   

1.022% due 07/25/2035

      5,453          4,421   

ACE Securities Corp. Home Equity Loan Trust

  

0.532% due 12/25/2036

      22,825          9,236   

0.722% due 02/25/2036

      5,618          5,064   

1.042% due 02/25/2036 ^

      8,102          6,712   

1.397% due 07/25/2035

      2,900          2,457   

1.517% due 07/25/2035 ^

      17,938          9,257   

1.922% due 11/25/2034

      1,591          1,388   

Aegis Asset-Backed Securities Trust

  

0.852% due 12/25/2035 (k)

      18,200          13,201   

0.902% due 06/25/2035

      12,094          8,889   

Aircraft Certificate Owner Trust

  

7.001% due 09/20/2022

      2,514          2,518   

Ameriquest Mortgage Securities Trust

  

0.762% due 04/25/2036 (k)

      30,500          25,409   

0.812% due 03/25/2036 (k)

      20,042          17,636   
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates

   

0.872% due 01/25/2036 (k)

  $     22,225      $       17,765   

1.032% due 09/25/2035 (k)

      7,000          4,716   

1.122% due 04/25/2035 (k)

      21,004          17,593   

1.202% due 05/25/2034

      2,868          2,657   

1.487% due 11/25/2034 (k)

      5,526          4,538   

2.372% due 09/25/2032

      1,148          937   

4.773% due 05/25/2034 ^

      2,745          2,343   

Amortizing Residential Collateral Trust

  

1.547% due 08/25/2032

      1,018          947   

Argent Securities Trust

  

0.512% due 07/25/2036

      1,500          609   

0.522% due 06/25/2036

      875          318   

0.542% due 04/25/2036

      1,357          526   

0.572% due 06/25/2036

      1,236          452   

0.572% due 09/25/2036

      10,384          4,085   

0.612% due 03/25/2036

      14,804          7,298   

Argent Securities, Inc. Asset-Backed Pass-Through Certificates

   

0.652% due 01/25/2036

      4,048          3,103   

0.742% due 01/25/2036 (k)

      20,878          16,172   

0.802% due 02/25/2036 (k)

      43,570          29,756   

1.697% due 11/25/2034

      9,031          6,771   

Asset-Backed Funding Certificates Trust

  

0.972% due 07/25/2035

      7,400          5,940   

1.472% due 03/25/2034

      1,591          1,282   

Asset-Backed Securities Corp. Home Equity Loan Trust

  

3.331% due 08/15/2033

      896          822   

Bear Stearns Asset-Backed Securities Trust

  

1.622% due 07/25/2035 (k)

      39,756          31,600   

1.922% due 10/27/2032

      708          650   

2.297% due 12/25/2034 (k)

      18,650          14,156   

3.344% due 10/25/2036

      893          781   

6.000% due 12/25/2035 ^

      1,066          923   

Carrington Mortgage Loan Trust

  

0.502% due 10/25/2036

      1,390          810   

0.682% due 02/25/2037

      8,300          5,965   

0.842% due 02/25/2037

      13,201          8,614   

1.472% due 05/25/2035 (k)

      4,400          3,345   

Centex Home Equity Loan Trust

  

0.902% due 10/25/2035

      9,213          8,211   

CIFC Funding Ltd.

  

0.010% due 05/24/2026

      3,390          2,232   

Citigroup Mortgage Loan Trust, Inc.

  

0.562% due 01/25/2037 (k)

      42,047          31,686   

0.582% due 09/25/2036 (k)

      28,324          20,886   

0.622% due 05/25/2037 (k)

      1,056          767   

0.642% due 12/25/2036

      6,316          3,659   

0.822% due 03/25/2037 (k)

      39,086          31,464   

0.832% due 10/25/2035 (k)

      8,200          7,592   

6.351% due 05/25/2036 ^

      3,904          2,573   

Countrywide Asset-Backed Certificates

  

0.552% due 12/25/2036 ^(k)

      44,653          40,276   

0.562% due 06/25/2035 (k)

      99,525          76,891   

0.562% due 01/25/2037

      31,079          29,267   

0.562% due 06/25/2037 (k)

      36,114          27,573   

0.562% due 07/25/2037 ^(k)

      21,474          18,732   

0.562% due 06/25/2047 ^(k)

      66,960          51,922   

0.572% due 04/25/2047

      3,776          3,254   

0.572% due 06/25/2047 ^(k)

      37,066          33,293   

0.582% due 05/25/2036 (k)

      18,728          19,167   

0.582% due 03/25/2037 (k)

      20,024          18,729   

0.592% due 03/25/2037 (k)

      13,054          13,533   

0.592% due 05/25/2037 (k)

      4,708          4,393   

0.622% due 06/25/2037 ^(k)

      27,899          25,208   

0.642% due 05/25/2037

      25,000          15,354   

0.642% due 08/25/2037

      26,000          16,113   
 

 

66   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


 

December 31, 2015 (Unaudited)

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

0.642% due 05/25/2047

  $     17,951      $       12,204   

0.642% due 06/25/2047 ^

      18,428          10,435   

0.652% due 04/25/2047

      32,084          16,586   

0.652% due 10/25/2047 (k)

      47,292          42,000   

0.662% due 03/25/2036 (k)

      54,961          49,933   

0.702% due 01/25/2045

      7,700          6,288   

0.712% due 10/25/2047

      59,229          35,819   

0.862% due 04/25/2036 (k)

      10,000          8,225   

0.872% due 03/25/2047 ^

      2,503          1,864   

1.172% due 03/25/2034 (k)

      993          955   

1.922% due 02/25/2035

      4,300          3,769   

5.049% due 10/25/2046 ^(k)

      1,128          1,073   

5.397% due 10/25/2032 ^(k)

      22,521          19,629   

Countrywide Asset-Backed Certificates Trust

  

0.572% due 03/25/2047 (k)

      26,364          23,538   

0.582% due 03/25/2037 (k)

      24,815          23,005   

0.882% due 05/25/2036

      7,400          6,445   

1.052% due 08/25/2035

      7,400          6,720   

1.062% due 10/25/2035 (k)

      7,200          6,292   

1.072% due 07/25/2035 (k)

      4,500          4,113   

1.152% due 07/25/2035

      6,900          5,913   

1.222% due 08/25/2047 (k)

      34,100          29,343   

1.322% due 04/25/2035 (k)

      10,753          9,421   

1.322% due 04/25/2035

      3,400          2,809   

2.147% due 11/25/2034 (k)

      16,304          13,900   

Credit-Based Asset Servicing and Securitization LLC

  

1.052% due 07/25/2035 (k)

      3,000          2,089   

Encore Credit Receivables Trust

  

1.112% due 07/25/2035

      486          400   

Fieldstone Mortgage Investment Trust

  

0.592% due 07/25/2036

      7,940          4,671   

First Franklin Mortgage Loan Trust

  

0.662% due 04/25/2036

      6,825          4,427   

0.872% due 11/25/2036 (k)

      27,273          23,330   

1.322% due 01/25/2035

      2,960          2,685   

Fremont Home Loan Trust

  

0.572% due 01/25/2037

      4,433          2,316   

0.662% due 02/25/2037

      1,824          1,050   

0.912% due 07/25/2035

      2,800          2,491   

Gramercy Real Estate CDO Ltd.

  

0.880% due 07/25/2041

      1,150          1,067   

GSAA Trust

  

5.058% due 05/25/2035

      5,158          4,877   

GSAMP Trust

  

0.482% due 01/25/2037

      4,803          2,890   

0.512% due 01/25/2037

      1,433          866   

0.582% due 05/25/2046 (k)

      1,173          1,060   

0.622% due 11/25/2036

      5,745          3,267   

0.672% due 12/25/2036

      6,008          3,438   

0.692% due 04/25/2036 (k)

      26,000          16,028   

2.072% due 10/25/2034

      906          848   

2.972% due 10/25/2033

      917          862   

Hillcrest CDO Ltd.

  

0.827% due 12/10/2039

      40,792          21,212   

Home Equity Asset Trust

  

1.517% due 05/25/2035

      3,800          3,345   

1.622% due 07/25/2035

      4,000          3,186   

Home Equity Loan Trust

  

0.762% due 04/25/2037

      8,000          4,549   

HSI Asset Securitization Corp. Trust

  

0.532% due 12/25/2036

      20,985          8,942   

0.582% due 10/25/2036

      11,981          6,385   

0.592% due 12/25/2036

      18,212          7,791   

0.612% due 01/25/2037 (k)

      49,500          30,078   

0.812% due 11/25/2035

      5,830          4,139   

IndyMac Home Equity Mortgage Loan Asset-Backed Trust

  

0.582% due 11/25/2036

      7,520          4,943   
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

0.662% due 04/25/2037

  $     4,942      $     3,054   

0.862% due 03/25/2036

      1,504          1,040   

IXIS Real Estate Capital Trust

  

1.052% due 02/25/2036

      11,040          9,799   

1.397% due 09/25/2035 ^

      5,457          3,446   

JPMorgan Mortgage Acquisition Corp.

  

0.812% due 05/25/2035 (k)

      5,000          4,073   

JPMorgan Mortgage Acquisition Trust

  

0.572% due 07/25/2036

      2,482          1,304   

0.582% due 07/25/2036 ^

      1,636          771   

0.662% due 08/25/2036

      2,947          2,419   

0.672% due 07/25/2036 (k)

      18,262          15,478   

5.059% due 11/25/2036

      2,000          2,024   

5.462% due 10/25/2036 ^

      5,289          4,087   

5.888% due 10/25/2036 ^(k)

      17,632          13,618   

Lehman XS Trust

  

5.101% due 05/25/2037 ^(k)

      17,850            13,838   

Long Beach Mortgage Loan Trust

  

0.852% due 11/25/2035 (k)

      20,000          17,293   

1.072% due 09/25/2034

      1,216          1,011   

1.397% due 04/25/2035

      32,000          27,262   

MASTR Asset-Backed Securities Trust

  

0.592% due 06/25/2036

      7,441          6,019   

0.592% due 10/25/2036

      4,643          4,023   

0.602% due 02/25/2036

      10,752          5,965   

0.662% due 06/25/2036

      4,558          2,510   

0.712% due 12/25/2035

      8,713          7,810   

0.782% due 12/25/2035

      11,886          5,779   

Merrill Lynch Mortgage Investors Trust

  

0.612% due 04/25/2047

      762          437   

Morgan Stanley ABS Capital, Inc. Trust

  

0.482% due 09/25/2036

      4,557          2,072   

0.492% due 10/25/2036

      5          3   

0.562% due 10/25/2036

      11,938          6,674   

0.572% due 06/25/2036 (k)

      9,288          6,157   

0.572% due 09/25/2036

      9,155          4,245   

0.572% due 11/25/2036

      23,623          14,174   

0.642% due 10/25/2036

      5,753          3,256   

0.692% due 03/25/2036

      30,000          24,385   

1.067% due 09/25/2035

      6,500          5,742   

1.097% due 09/25/2035

      17,232          12,787   

2.372% due 05/25/2034

      2,891          2,553   

Morgan Stanley Capital, Inc. Trust

  

0.712% due 01/25/2036 (k)

      25,185          22,869   

New Century Home Equity Loan Trust

  

3.422% due 01/25/2033 ^

      782          694   

Nomura Home Equity Loan, Inc. Home Equity Loan Trust

   

0.752% due 10/25/2036 ^

      5,708          2,383   

Option One Mortgage Loan Trust

  

0.562% due 01/25/2037 (k)

      13,926          8,062   

0.642% due 01/25/2037

      2,840          1,664   

0.672% due 03/25/2037

      841          493   

0.752% due 04/25/2037

      3,465          2,138   

Option One Mortgage Loan Trust Asset-Backed Certificates

   

0.882% due 11/25/2035 (k)

      13,200          9,876   

Park Place Securities, Inc.

  

1.052% due 09/25/2035

      9,600          5,909   

Park Place Securities, Inc. Asset-Backed Pass-Through Certificates

   

0.912% due 08/25/2035

      8,350          6,846   

0.912% due 09/25/2035 (k)

      10,713          8,656   

0.972% due 07/25/2035 (k)

      30,950          23,998   

1.457% due 03/25/2035 ^

      7,500          5,650   

1.547% due 10/25/2034

      10,000          8,393   

1.667% due 01/25/2036 (k)

      4,427          4,007   
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

1.742% due 01/25/2036 ^

  $     10,978      $     8,143   

2.222% due 12/25/2034

      9,329          7,909   

Popular ABS Mortgage Pass-Through Trust

  

0.812% due 02/25/2036

      7,000          5,886   

1.112% due 06/25/2035

      626          500   

1.572% due 06/25/2035

      683          505   

Renaissance Home Equity Loan Trust

  

5.612% due 04/25/2037

      3,277          1,768   

Residential Asset Mortgage Products Trust

  

0.742% due 01/25/2036

      14,303          11,130   

0.802% due 01/25/2036

      4,360          3,412   

0.902% due 09/25/2035

      6,494          5,879   

0.971% due 04/25/2034

      5,606          5,167   

1.091% due 04/25/2034

      6,252          5,943   

1.142% due 02/25/2035

      250          226   

1.796% due 04/25/2034 ^

      1,692          891   

2.201% due 04/25/2034 ^

      2,139          982   

Residential Asset Securities Corp. Trust

  

0.552% due 11/25/2036 (k)

      15,429          12,856   

0.652% due 06/25/2036 (k)

      41,332          31,529   

0.662% due 09/25/2036 (k)

      16,782          14,988   

0.682% due 07/25/2036 (k)

      17,800          14,154   

0.702% due 04/25/2036

      5,270          4,539   

0.752% due 04/25/2036 (k)

      17,500          14,096   

0.762% due 05/25/2037 (k)

      9,275          6,797   

0.832% due 01/25/2036

      3,200          2,858   

1.547% due 02/25/2035

      1,900          1,581   

Saxon Asset Securities Trust

  

2.172% due 12/25/2037 (k)

      57,760          51,727   

Securitized Asset-Backed Receivables LLC Trust

  

0.562% due 07/25/2036 (k)

      31,003          23,648   

0.582% due 07/25/2036

      3,363          1,668   

0.672% due 05/25/2036 (k)

      22,126          12,765   

0.692% due 03/25/2036 (k)

      11,167          9,073   

0.872% due 10/25/2035 (k)

      13,000          10,029   

1.082% due 08/25/2035

      5,900          3,731   

Soundview Home Loan Trust

  

0.572% due 06/25/2037 (k)

      4,358          2,669   

0.582% due 11/25/2036 (k)

      15,462          13,239   

0.602% due 02/25/2037

      9,137          3,918   

0.682% due 02/25/2037

      4,191          1,818   

0.702% due 05/25/2036 (k)

      14,465          11,614   

0.772% due 03/25/2036

      7,933          6,330   

1.372% due 10/25/2037

      9,947          6,932   

1.522% due 09/25/2037

      2,642          1,875   

Specialty Underwriting & Residential Finance Trust

  

0.772% due 03/25/2037

      762          412   

1.397% due 12/25/2035

      6,082          5,458   

2.222% due 05/25/2035

      2,828          2,592   

3.979% due 02/25/2037 ^

      4,018          2,077   

Structured Asset Securities Corp. Mortgage Loan Trust

  

0.672% due 09/25/2036 (k)

      27,300          22,080   

Taberna Preferred Funding Ltd.

  

0.684% due 02/05/2037

      53,765          46,238   

0.714% due 08/05/2036 ^

      24,888          18,168   

0.714% due 08/05/2036

      6,187          4,517   

Trapeza CDO LLC

  

1.306% due 01/20/2034

      28,975          23,615   

Trapeza CDO Ltd.

  

1.293% due 07/15/2034

      35,000          27,825   

Wachovia Mortgage Loan Trust

  

1.112% due 10/25/2035

      8,000          6,120   

Wells Fargo Home Equity Asset-Backed Securities Trust

  

0.752% due 05/25/2036

      5,000          4,049   
       

 

 

 

Total Asset-Backed Securities
(Cost $2,138,852)

      2,168,103   
       

 

 

 
 

 

See Accompanying Notes   SEMIANNUAL REPORT   DECEMBER 31, 2015   67


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

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
SOVEREIGN ISSUES 1.7%   

Athens Urban Transportation Organisation

  

4.851% due 09/19/2016

  EUR     1,425      $     1,446   

Brazil Notas do Tesouro Nacional

  

6.000% due 08/15/2050

  BRL     141,046          30,275   

10.000% due 01/01/2021

      20,418          4,121   

10.000% due 01/01/2025

      12,285          2,222   

Costa Rica Government International Bond

  

7.000% due 04/04/2044 (k)

  $     3,513          2,942   

Republic of Greece Government International Bond

  

3.800% due 08/08/2017

  JPY     347,000          2,598   

4.500% due 07/03/2017

      310,000          2,373   

4.750% due 04/17/2019

  EUR     1,900          1,900   
       

 

 

 

Total Sovereign Issues (Cost $80,414)

      47,877   
       

 

 

 
        SHARES            
COMMON STOCKS 0.1%   
ENERGY 0.0%        

OGX Petroleo e Gas S.A. ADR (d)

    858,035          0   
       

 

 

 
        SHARES         MARKET
VALUE
(000S)
 
FINANCIALS 0.1%   

TIG FinCo PLC (i)

      2,651,536      $     2,736   
       

 

 

 

Total Common Stocks (Cost $3,931)

    2,736   
       

 

 

 
SHORT-TERM INSTRUMENTS 3.8%   
REPURCHASE AGREEMENTS (j) 1.7%   
            49,000   
       

 

 

 
        PRINCIPAL
AMOUNT
(000S)
           
SHORT-TERM NOTES 0.1%   

Federal Home Loan Bank

  

0.200% due 01/27/2016

  $     1,200          1,200   

0.330% due 02/26/2016

      1,900          1,899   
       

 

 

 
          3,099   
       

 

 

 
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
U.S. TREASURY BILLS 2.0%   

0.314% due 01/07/2016 - 06/30/2016 (e)(k)(o)

  $     56,472      $     56,424   
       

 

 

 
Total Short-Term Instruments
(Cost $108,515)
          108,523   
       

 

 

 
       
Total Investments in Securities
(Cost $5,161,818)
          4,880,995   
       
Total Investments 174.2%
(Cost $5,161,818)
      $     4,880,995   

Financial Derivative
Instruments (l)(n) (0.4%)

(Cost or Premiums, net $1,590)

    (10,606
Other Assets and Liabilities, net (73.8%)     (2,068,769
       

 

 

 

Net Assets 100.0%

    $       2,801,620   
       

 

 

 
 

NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*):

 

* A zero balance may reflect actual amounts rounding to less than one thousand.
^ Security is in default.
(a) Interest only security.
(b) Principal only security.
(c) Payment in-kind bond security.
(d) Security did not produce income within the last twelve months.
(e) Coupon represents a weighted average yield to maturity.
(f) Zero coupon bond.
(g) Perpetual maturity; date shown, if applicable, represents next contractual call date.
(h) Security is subject to a forbearance agreement entered into by the Fund which forbears the Fund from taking action to, among other things, accelerate and collect payments on the subject note with respect to specified events of default.

 

(i)  RESTRICTED SECURITIES:

 

Issuer Description                Acquisition
Date
    Cost     Market
Value
    Market Value
as Percentage
of Net Assets
 

KGH Intermediate Holdco LLC 8.500% due 08/08/2019

           08/07/2014      $ 39,112      $ 33,287        1.19

Pinnacol Assurance 8.625% due 06/25/2034

           06/23/2014        23,200        23,846        0.85

TIG FinCo PLC

           04/02/2015        3,931        2,736        0.10
          

 

 

   

 

 

   

 

 

 
           $     66,243      $     59,869        2.14
          

 

 

   

 

 

   

 

 

 

 

BORROWINGS AND OTHER FINANCING TRANSACTIONS

 

(j)  REPURCHASE AGREEMENTS:

 

Counterparty   Lending
Rate
  Settlement
Date
    Maturity
Date
    Principal
Amount
    Collateralized By   Collateral
(Received)
    Repurchase
Agreements,
at Value
    Repurchase
Agreement
Proceeds
to be
Received (1)
 

BOS

  0.600%     12/31/2015        01/04/2016      $     19,500      U.S. Treasury Notes 1.375% due 02/29/2020   $ (19,979   $ 19,500      $ 19,501   

DEU

  0.350     12/31/2015        01/04/2016        11,200      U.S. Treasury Bonds 2.875% due 05/15/2043     (11,443     11,200        11,201   

RDR

  0.540     12/31/2015        01/04/2016        18,300      U.S. Treasury Notes 2.125% due 12/31/2022     (18,689     18,300        18,301   
           

 

 

   

 

 

   

 

 

 

Total Repurchase Agreements

  

        $     (50,111   $     49,000      $     49,003   
           

 

 

   

 

 

   

 

 

 

 

(1) 

Includes accrued interest.

 

68   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


 

December 31, 2015 (Unaudited)

 

 

REVERSE REPURCHASE AGREEMENTS:

 

Counterparty   Borrowing
Rate
     Borrowing
Date
     Maturity
Date
    Amount
Borrowed  (3)
     Payable for
Reverse
Repurchase
Agreements
 

BCY

    (2.000 %)       12/29/2015         TBD (2)      $        (1,135    $ (1,135
    (1.000      12/03/2015         TBD (2)        (1,612      (1,611
    (0.200      11/24/2015         TBD (2)        (4,926      (4,925
    0.000         11/24/2015         TBD (2)        (25,272          (25,272
    0.900         12/02/2015         TBD (2)        (12,960      (12,971
    1.112         11/18/2015         02/17/2016          (3,696      (3,701
    1.150         12/07/2015         03/07/2016          (4,027      (4,031
    1.252         12/14/2015         03/14/2016          (300      (300
    1.450         12/03/2015         03/03/2016          (2,843      (2,847
    1.550         11/30/2015         03/01/2016          (5,097      (5,105
    1.650         12/16/2015         02/16/2016          (7,817      (7,824
    1.817         10/21/2015         01/21/2016          (58,127      (58,345
    1.823         10/27/2015         01/27/2016          (23,864      (23,947
    1.834         11/04/2015         02/04/2016          (43,069      (43,203
    1.900         06/30/2015         04/04/2016          (11,970      (12,089
    1.900         07/07/2015         04/04/2016          (15,088      (15,234
    1.962         12/08/2015         03/08/2016          (10,072      (10,087
    1.992         12/11/2015         03/11/2016          (5,984      (5,992
    2.129         09/25/2015         03/25/2016          (6,263      (6,300
    2.134         10/01/2015         04/01/2016          (6,342      (6,378
    2.167         10/16/2015         10/17/2016          (20,519      (20,618
    2.169         09/22/2015         09/22/2016          (4,838      (4,842
    2.212         05/14/2015         11/14/2016          (20,027      (20,088
    2.444         03/23/2015         09/26/2016          (2,600      (2,616
    2.444         03/25/2015         09/26/2016          (13,291      (13,300

BOS

    0.010         12/31/2015         01/04/2016          (19,950      (19,950

BPG

    0.940         07/17/2015         01/19/2016          (8,359      (8,396
    1.030         10/27/2015         01/27/2016          (5,546      (5,557
    1.050         12/01/2015         01/13/2016          (1,516      (1,517
    1.050         12/09/2015         01/13/2016          (7,188      (7,193
    1.080         11/10/2015         02/10/2016          (4,839      (4,847
    1.823         10/27/2015         01/27/2016          (9,401      (9,434
    1.826         03/23/2015         03/22/2016          (53,250      (53,282
    1.870         08/17/2015         02/17/2016          (10,226      (10,300
    2.349         08/20/2015         08/19/2016          (19,883      (20,061
    2.349         08/21/2015         08/19/2016          (12,363      (12,473
    2.434         11/12/2015         11/14/2016          (19,906      (19,977
    2.466         11/30/2015         11/30/2016          (9,013      (9,035
    2.545         12/10/2015         12/09/2016          (4,479      (4,487
    2.552         12/11/2015         12/09/2016          (13,588      (13,611

BPS

    0.420         10/23/2015         01/25/2016        EUR        (5,085      (5,531
    0.500         11/09/2015         01/29/2016          (16,564      (18,015
    1.000         11/09/2015         01/29/2016        GBP        (2,638      (3,895

BRC

    (1.000      11/30/2015         TBD (2)        (548      (807
    1.150         12/03/2015         03/03/2016        $        (6,426      (6,433
    1.450         12/03/2015         03/03/2016          (37,401      (37,449
    1.450         12/07/2015         03/07/2016          (12,187      (12,201
    1.450         12/10/2015         02/10/2016          (639      (640
    1.550         12/03/2015         03/03/2016        $        (3,320      (3,325
    1.650         12/11/2015         02/10/2016          (1,736      (1,738
    1.650         12/14/2015         02/16/2016          (1,651      (1,653

CFR

    1.050         11/25/2015         02/23/2016        EUR        (837      (911
    1.350         10/26/2015         01/26/2016        GBP            (13,250      (19,585

DBL

    1.150         10/27/2015         01/27/2016          (6,840      (10,106
    1.650         12/14/2015         03/14/2016          (2,976      (4,391

DEU

    1.000         10/13/2015         01/13/2016        $        (2,444      (2,450
    1.000         10/21/2015         01/21/2016          (7,417      (7,432
    1.000         12/14/2015         01/13/2016          (926      (926
    1.100         11/24/2015         02/23/2016          (5,925      (5,932
    1.100         12/04/2015         03/04/2016          (6,528      (6,534
    1.150         12/04/2015         03/04/2016          (5,305      (5,310

GLM

    1.941         11/06/2015         02/08/2016          (8,873      (8,901

GSC

    1.719         12/07/2015         01/07/2016          (49,579      (49,645
    1.787         12/09/2015         01/11/2016          (39,536      (39,587

JML

    1.250         11/19/2015         01/19/2016          (7,174      (7,185
    1.250         11/23/2015         01/22/2016          (5,165      (5,172
    1.250         12/02/2015         01/06/2016          (21,776      (21,801
    1.250         12/16/2015         01/19/2016          (12,555      (12,566

 

See Accompanying Notes   SEMIANNUAL REPORT   DECEMBER 31, 2015   69


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

 

Counterparty   Borrowing
Rate
     Borrowing
Date
     Maturity
Date
    Amount
Borrowed  (3)
     Payable for
Reverse
Repurchase
Agreements
 
    1.250      12/31/2015         01/06/2016        $        (649    $ (649
    1.350         01/06/2016         02/08/2016          (21,473      (21,473

RBC

    0.930         11/20/2015         02/22/2016          (9,609      (9,620
    1.400         10/16/2015         01/18/2016        GBP        (4,021      (5,947

RCE

    1.750         12/18/2015         03/18/2016          (6,504      (9,595

RDR

    0.630         12/24/2015         01/14/2016        $        (10,830      (10,832
    0.900         07/14/2015         01/14/2016          (2,587      (2,598
    0.920         12/17/2015         03/09/2016          (502      (502
    0.940         08/04/2015         02/04/2016          (5,506      (5,528
    0.980         08/20/2015         02/22/2016          (505      (507
    1.150         09/28/2015         03/28/2016          (1,364      (1,368
    1.400         12/04/2015         06/06/2016          (2,411      (2,414
    1.540         09/08/2015         03/08/2016          (8,485      (8,528
    1.580         10/07/2015         04/07/2016          (11,323      (11,367
    1.698         06/30/2015         04/11/2016          (33,689      (33,988
    1.790         12/08/2015         06/08/2016          (5,362      (5,369

RTA

    0.895         07/02/2015         01/04/2016          (10,807      (10,857
    0.940         08/03/2015         02/03/2016          (9,243      (9,280
    0.940         08/04/2015         02/04/2016          (7,668      (7,699
    0.980         08/20/2015         02/22/2016          (14,195      (14,248
    0.985         10/02/2015         04/01/2016          (8,408      (8,430
    1.005         09/23/2015         03/23/2016          (3,729      (3,740
    1.011         11/06/2015         05/06/2016          (1,546      (1,549
    1.053         11/19/2015         05/19/2016          (23,722      (23,754
    1.377         01/04/2016         07/05/2016          (8,051      (8,051
    1.616         03/24/2015         03/24/2016          (27,934      (28,293
    1.616         03/25/2015         03/25/2016          (28,108      (28,468
    1.619         04/13/2015         04/13/2016          (10,728      (10,856
    1.622         03/23/2015         03/23/2016          (22,785      (23,080
    1.623         04/02/2015         04/04/2016          (32,387      (32,791
    1.624         04/01/2015         04/01/2016          (9,899      (10,023
    1.631         05/26/2015         04/25/2016          (47,616      (48,097
    1.640         03/20/2015         03/21/2016          (7,356      (7,453
    1.640         08/21/2015         03/21/2016          (9,637      (9,697
    1.660         05/14/2015         05/16/2016          (14,117      (14,270
    1.670         06/05/2015         06/03/2016          (20,970      (21,177
    1.678         06/01/2015         05/31/2016          (8,343      (8,427
    1.698         07/20/2015         07/19/2016          (2,597      (2,618
    1.716         06/16/2015         06/15/2016          (11,605      (11,717
    1.717         06/17/2015         06/16/2016          (22,791      (23,009
    1.725         06/17/2015         06/16/2016          (24,457      (24,692
    1.732         07/27/2015         07/26/2016          (10,626      (10,708
    1.734         08/06/2015         08/05/2016          (7,510      (7,565
    1.751         10/22/2015         10/21/2016          (36,930      (37,063
    1.757         08/06/2015         08/05/2016          (14,005      (14,108
    1.759         10/26/2015         10/25/2016          (30,462      (30,566
    1.857         11/19/2015         11/18/2016          (12,478      (12,508
    1.861         11/18/2015         11/17/2016          (14,412      (14,447
    1.872         11/23/2015         11/22/2016          (19,863      (19,906
    2.103         01/04/2016         01/03/2017              (13,468      (13,468

RYL

    0.700         10/16/2015         01/18/2016        EUR        (5,938      (6,464
    1.000         11/12/2015         02/12/2016        GBP        (7,378          (10,892

SOG

    0.700         11/18/2015         02/18/2016        EUR        (941      (1,024
    0.820         10/23/2015         01/25/2016        $        (8,460      (8,474
    0.820         11/06/2015         01/29/2016          (3,464      (3,469
    0.820         12/22/2015         01/20/2016          (5,350      (5,352
    0.840         10/13/2015         01/13/2016          (25,261      (25,310
    0.840         10/14/2015         01/14/2016          (2,889      (2,894
    0.840         10/16/2015         01/19/2016          (2,506      (2,511
    0.840         10/19/2015         01/19/2016          (6,251      (6,262
    0.840         10/20/2015         01/20/2016          (12,769      (12,792
    0.840         10/29/2015         01/29/2016          (3,015      (3,020
    0.880         11/12/2015         02/12/2016          (2,463      (2,466
    0.950         11/23/2015         02/23/2016          (8,378      (8,387
    0.990         11/24/2015         02/24/2016          (13,263      (13,278
    1.000         11/30/2015         03/01/2016          (1,946      (1,948
    1.030         11/30/2015         03/01/2016          (2,277      (2,279
    1.060         10/16/2015         04/15/2016          (4,950      (4,962
    1.100         10/16/2015         04/15/2016          (1,268      (1,271
    1.150         12/10/2015         03/10/2016          (6,484      (6,489
    1.150         12/14/2015         02/16/2016          (838      (839

 

70   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


 

December 31, 2015 (Unaudited)

 

Counterparty   Borrowing
Rate
     Borrowing
Date
     Maturity
Date
    Amount
Borrowed  (3)
    Payable for
Reverse
Repurchase
Agreements
 
    1.918      10/07/2015         04/07/2016        $        (8,846   $ (8,888
    2.038         06/12/2015         06/10/2016          (8,390     (8,390
    2.044         07/28/2015         07/28/2016              (23,258     (23,348
    2.045         07/27/2015         07/26/2016          (22,232     (22,319
    2.077         12/08/2015         06/08/2016          (32,221     (32,271
    2.102         12/14/2015         06/14/2016          (48,976     (49,036

UBS

    0.880         10/27/2015         01/18/2016        GBP        (3,729     (5,506
    0.880         11/06/2015         02/08/2016          (10,741     (15,857
    0.900         10/14/2015         01/14/2016        $        (1,394     (1,396
    0.900         11/09/2015         02/09/2016        GBP        (2,915     (4,303
    0.900         11/25/2015         01/14/2016        $        (12,884     (12,897
    0.900         12/08/2015         01/08/2016        GBP        (5,469     (8,067
    0.950         10/14/2015         01/14/2016        $        (2,858     (2,864
    0.950         10/15/2015         01/15/2016          (15,881     (15,915
    0.950         10/16/2015         01/18/2016        GBP        (3,140     (4,639
    0.950         10/23/2015         01/25/2016          (1,281     (1,893
    0.950         10/26/2015         01/26/2016          (9,197     (13,584
    0.950         11/12/2015         02/12/2016        $        (2,457     (2,460
    0.950         11/13/2015         02/16/2016          (5,386     (5,393
    0.950         11/17/2015         02/17/2016          (1,860     (1,862
    1.000         07/28/2015         01/28/2016          (29,780     (29,912
    1.000         10/16/2015         01/19/2016          (9,029     (9,049
    1.000         10/20/2015         01/20/2016          (3,296     (3,303
    1.000         11/10/2015         02/10/2016          (3,807     (3,813
    1.000         11/12/2015         02/12/2016          (537     (538
    1.000         11/17/2015         02/17/2016          (7,239     (7,249
    1.050         10/23/2015         01/25/2016          (3,207     (3,214
    1.050         11/30/2015         03/01/2016          (9,156     (9,165
    1.050         12/14/2015         01/28/2016          (2,334     (2,335
    1.100         11/04/2015         02/04/2016          (432     (432
    1.100         11/09/2015         05/09/2016          (10,365     (10,383
    1.100         11/10/2015         02/10/2016          (685     (686
    1.150         08/28/2015         02/29/2016          (8,647     (8,683
    1.170         11/24/2015         05/09/2016          (10,442     (10,456
    1.481         10/02/2015         01/05/2016        GBP        (25,167     (37,247
    1.530         12/11/2015         02/18/2016          (40,002     (59,031
    1.676         10/01/2015         01/04/2016        $        (18,869     (18,952
    1.690         03/24/2015         01/04/2016          (21,572     (21,862
    1.734         11/04/2015         02/04/2016          (21,261     (21,323
    1.737         11/06/2015         02/08/2016          (9,400     (9,427
             

 

 

 

Total Reverse Repurchase Agreements

  

         $     (2,134,233
             

 

 

 

 

(2) 

Open maturity reverse repurchase agreement.

(3) 

The average amount of borrowings outstanding during the period ended December 31, 2015 was $(2,101,111) at a weighted average interest rate of 1.346%.

 

BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY

 

The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral (received)/pledged as of December 31, 2015:

 

(k) Securities with an aggregate market value of $2,690,656 and cash of $21,559 have been pledged as collateral under the terms of the following master agreements as of December 31, 2015.

 

Counterparty   Repurchase
Agreement
Proceeds
to be
Received
     Payable for
Reverse
Repurchase
Agreements
     Payable for
Sale-Buyback
Transactions
     Total
Borrowings and
Other Financing
Transactions
     Collateral
(Received)/Pledged
     Net Exposure  (4)  

Global/Master Repurchase Agreement

                

BCY

  $ 0       $ (312,761    $     0       $     (312,761    $     430,158       $     117,397   

BOS

        19,501         (19,950      0         (449      (26      (475

BPG

    0             (180,170      0         (180,170      238,807         58,637   

BPS

    0         (27,441      0         (27,441      41,577         14,136   

BRC

    0         (64,246      0         (64,246      84,100         19,854   

CFR

    0         (20,496      0         (20,496      24,337         3,841   

DBL

    0         (14,497      0         (14,497      17,481         2,984   

DEU

    11,201         (28,584      0         (17,383      22,374         4,991   

GLM

    0         (8,901      0         (8,901      12,522         3,621   

GSC

    0         (89,232      0         (89,232      117,966         28,734   

JML

    0         (68,846      0         (68,846      58,255         (10,591

 

See Accompanying Notes   SEMIANNUAL REPORT   DECEMBER 31, 2015   71


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

 

Counterparty   Repurchase
Agreement
Proceeds
to be
Received
     Payable for
Reverse
Repurchase
Agreements
     Payable for
Sale-Buyback
Transactions
     Total
Borrowings and
Other Financing
Transactions
     Collateral
(Received)/Pledged
     Net Exposure  (4)  

RBC

  $ 0       $ (15,567    $ 0       $ (15,567    $ 17,057       $ 1,490   

RCE

    0         (9,595      0         (9,595      18,873         9,278   

RDR

    18,301         (83,001      0         (64,700      82,628         17,928   

RTA

    0         (552,615      0             (552,615          716,917             164,302   

RYL

    0         (17,356      0         (17,356      18,060         704   

SOG

    0         (257,279      0         (257,279      330,103         72,824   

UBS

    0         (363,696      0         (363,696      441,061         77,365   
 

 

 

    

 

 

    

 

 

          

Total Borrowings and Other Financing Transactions

  $     49,003       $     (2,134,233    $     0            
 

 

 

    

 

 

    

 

 

          

 

(4) 

Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. The Fund and Subsidiary are recognized as two separate legal entities. As such, exposure cannot be netted. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements.

 

CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS

 

Remaining Contractual Maturity of the Agreements

 

     Overnight and
Continuous
     Up to 30 days      31-90 days      Greater Than 90 days     Total  

Reverse Repurchase Agreements

            

Asset-Backed Securities

  $ 0       $ (197,826    $ (167,315    $ (547,803   $ (912,944

Corporate Bonds & Notes

    0         (356,737      (267,875      (107,524     (732,136

Non-Agency Mortgage-Backed Securities

    0         (61,194      (175,645      (176,531     (413,370

Sovereign Issues

    0         0         (2,460      0        (2,460

U.S. Government Agencies

    0         (2,598      (5,369      (2,414     (10,381

U.S. Treasury Obligations

    0         (19,950      0         0        (19,950
 

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Total Borrowings

  $     0       $     (638,305    $     (618,664    $     (834,272   $ (2,091,241
 

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Gross amount of recognized liabilities for reverse repurchase agreements (5)

  

  $     (2,091,241
            

 

 

 

 

(5) 

Unsettled reverse repurchase agreements liability of $(42,992) is outstanding at period end.

 

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

 

SWAP AGREEMENTS:

 

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

 

Index/Tranches          Fixed
Receive Rate
    Maturity
Date
     Notional
Amount  (2)
    Market
Value  (3)
     Unrealized
Appreciation/
(Depreciation)
    Variation Margin  
                  Asset      Liability  

CDX.HY-24 5-Year Index

        5.000     06/20/2020       $     76,527      $     3,012       $     (2,723   $ 75       $ 0   

CDX.HY-25 5-Year Index

        5.000        12/20/2020         59,500        831         3        100         0   

CDX.IG-25 5-Year Index

        1.000        12/20/2020         7,000        41         9        1         0   
            

 

 

    

 

 

   

 

 

    

 

 

 
             $ 3,884       $ (2,711   $     176       $     0   
            

 

 

    

 

 

   

 

 

    

 

 

 

 

(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 or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

(2) 

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

(3) 

The prices and resulting values for credit default swap agreements on credit indices serve as an indicator 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 referenced indices’ credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

 

INTEREST RATE SWAPS

 

Pay/Receive
Floating Rate
   Floating Rate Index    Fixed Rate     Maturity
Date
     Notional
Amount
    Market
Value
     Unrealized
Appreciation/
(Depreciation)
    Variation Margin  
                  Asset      Liability  

Pay

  

3-Month CAD-Bank Bill

     3.300     06/19/2024         CAD        102,200      $ 9,803       $ 5,056      $ 123       $ 0   

Receive

  

3-Month CAD-Bank Bill

     3.500        06/20/2044           46,900            (7,383          (5,711     0         (189

Pay

  

3-Month USD-LIBOR

     2.000        03/20/2023         $            171,000        863         1,533        445         0   

Pay

  

3-Month USD-LIBOR

     2.750        06/17/2025           624,940        31,912         (8,078         2,222         0   

Pay

  

3-Month USD-LIBOR

     2.500        12/16/2025           137,100        3,746         2,756        499         0   

Receive

  

3-Month USD-LIBOR

     2.750        12/16/2045           401,600        (8,258          (27,823     0             (3,398

 

72   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


 

December 31, 2015 (Unaudited)

 

Pay/Receive
Floating Rate
   Floating Rate Index    Fixed Rate     Maturity
Date
     Notional
Amount
    Market
Value
     Unrealized
Appreciation/
(Depreciation)
    Variation Margin  
                  Asset      Liability  

Pay

  

6-Month  AUD-BBR-BBSW

     3.631     03/06/2019         AUD            150,000      $ 4,669       $ 4,669      $ 0       $ (83

Pay

  

6-Month AUD-BBR-BBSW

     3.635        03/06/2019           175,000        5,464         5,464        0         (97

Pay

  

6-Month AUD-BBR-BBSW

     3.500        06/17/2025           41,800        1,185         149        0         (304
              

 

 

    

 

 

   

 

 

    

 

 

 
               $ 42,001       $ (21,985   $ 3,289       $ (4,071
              

 

 

    

 

 

   

 

 

    

 

 

 

Total Swap Agreements

               $     45,885       $     (24,696   $     3,465       $     (4,071
              

 

 

    

 

 

   

 

 

    

 

 

 

 

FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED SUMMARY

 

The following is a summary of the market value and variation margin of Exchange-Traded or Centrally Cleared Financial Derivative Instruments as of December 31, 2015:

 

(m) Securities with an aggregate market value of $9,713 and cash of $24,483 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2015.

 

    Financial Derivative Assets         Financial Derivative Liabilities  
    Market Value     Variation Margin
Asset
    Total         Market Value     Variation Margin
Liability
    Total  
     Purchased
Options
    Futures     Swap
Agreements
          Written
Options
    Futures     Swap
Agreements
   

Total Exchange-Traded or Centrally Cleared

  $     0      $     0      $     3,465      $     3,465        $     0      $     0      $     (4,071)      $     (4,071)   
 

 

 

   

 

 

   

 

 

   

 

 

     

 

 

   

 

 

   

 

 

   

 

 

 

 

(n)  FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER

 

FORWARD FOREIGN CURRENCY CONTRACTS:

 

Counterparty    Settlement
Month
     Currency to
be Delivered
     Currency to
be Received
    Unrealized Appreciation/
(Depreciation)
 
           Asset     Liability  

AZD

     01/2016       $          5,053         AUD        7,046      $ 81      $ 0   
     02/2016         AUD        7,046       $          5,046        0        (81
                

BOA

     01/2016       $          1,540         GBP        1,021        0        (35
     02/2016           4,296         EUR        3,969        21        0   
                

BPS

     01/2016         BRL        63,793       $          16,337        212        0   
     01/2016       $          16,887         BRL        63,793        0        (762
                

BRC

     03/2016         MXN        6,828       $          395        1        0   
                

CBK

     01/2016         BRL        22,399           5,736        75        0   
     01/2016       $          5,904         BRL        22,399        0        (243
     01/2016           39,592         GBP        26,177        0            (1,001
     02/2016         EUR        26,558       $          28,881        48        (55
     02/2016       $          11,728         EUR        10,850        85        (11
                

DUB

     01/2016         BRL        317,430       $          83,938            3,703        0   
     01/2016         GBP        83,936           126,534        2,796        0   
     01/2016       $          81,168         BRL        317,430        0        (933
     02/2016         BRL        138,628       $          35,033        337        0   
     02/2016       $          3,286         BRL        12,931        0        (50
                

GLM

     01/2016         GBP        2,367       $          3,578        89        0   
     01/2016         JPY        658,822           5,394        0        (88
     02/2016         EUR        5,565           6,058        4        0   
                

HUS

     01/2016         BRL        27,002           6,915        90        0   
     01/2016       $          7,074         BRL        27,002        0        (249
                

JPM

     01/2016         BRL        39,799       $          10,192        133        0   
     01/2016         GBP        2,375           3,581        80        0   
     01/2016       $          10,325         BRL        39,798        0        (266
     01/2016           11,201         GBP        7,490        0        (159
     02/2016         EUR        98,943       $          106,310        0        (1,314
     02/2016       $          1,277         AUD        1,818        45        0   
     02/2016           550         BRL        2,246        12        0   
     02/2016           5,699         EUR        5,373        145        0   
                

MSB

     01/2016         BRL        25,810       $          6,610        86        0   
     01/2016         GBP        73           110        2        0   
     01/2016       $          6,625         BRL        25,810        0        (102
     01/2016           80,039         GBP        54,063        0        (340
     01/2016           5,441         JPY        658,822        40        0   
     02/2016         EUR        150       $          160        0        (3
     02/2016         GBP        54,063           80,044        339        0   

 

See Accompanying Notes   SEMIANNUAL REPORT   DECEMBER 31, 2015   73


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

 

Counterparty    Settlement
Month
     Currency to
be Delivered
     Currency to
be Received
    Unrealized Appreciation/
(Depreciation)
 
           Asset     Liability  
     02/2016         JPY        658,822       $          5,444      $ 0      $ (40
     02/2016       $          438         CAD        606        0        0   
     02/2016           50         EUR        46        0        0   
     02/2016           579         GBP        393        0        0   
                

NAB

     01/2016         AUD        7,046       $          5,069        0        (65
                

UAG

     01/2016       $          8,231         GBP        5,460        0        (182
     02/2016           398         JPY        47,775        0        0   
              

 

 

   

 

 

 

Total Forward Foreign Currency Contracts

  

  $     8,424      $     (5,979
              

 

 

   

 

 

 

 

SWAP AGREEMENTS:

 

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

 

Counterparty   Reference Entity   Fixed
Receive Rate
    Maturity
Date
    Implied
Credit Spread at
December 31, 2015 (2)
    Notional
Amount  (3)
    Premiums
(Received)
    Unrealized
Appreciation/
(Depreciation)
    Swap Agreements, at Value  
                Asset     Liability  
BOA  

Gazprom OAO Via Gaz Capital S.A.

    1.000     06/20/2020        3.727     $        500      $ (75   $ 21      $ 0      $ (54
 

Russia Government International Bond

    1.000        06/20/2024        3.393          2,300        (223     (148     0        (371
 

Russia Government International Bond

    1.000        09/20/2024        3.403          1,000        (102     (63     0        (165
                   
BPS  

Petrobras International Finance Co.

    1.000        03/20/2019        9.896          20,000        (1,735     (2,945     0        (4,680
                   
BRC  

Novo Banco S.A.

    5.000        12/20/2020        10.771        EUR        2,500        (223     (262     0        (485
 

Russia Government International Bond

    1.000        06/20/2024        3.393        $        4,900        (574     (216     0        (790
 

Russia Government International Bond

    1.000        09/20/2024        3.403          1,000        (83     (82     0        (165
                   
CBK  

Gazprom OAO Via Gaz Capital S.A.

    1.000        03/20/2019        3.403          15,000        (1,276     203        0        (1,073
 

Navient Corp.

    5.000        09/20/2020        6.546          200        (3     (8     0        (11
 

Russia Government International Bond

    1.000        06/20/2024        3.393          3,900        (434     (195     0        (629
 

Russia Government International Bond

    1.000        09/20/2024        3.403          2,600        (226     (204     0        (430
                   
GST  

Chesapeake Energy Corp.

    5.000        06/20/2019        45.362          100        (6     (60     0        (66
 

Chesapeake Energy Corp.

    5.000        09/20/2020        44.490          100        (10     (60     0        (70
 

Gazprom OAO Via Gaz Capital S.A.

    1.000        06/20/2020        3.727          2,100        (318     90        0        (228
 

Petrobras Global Finance BV

    1.000        09/20/2020        10.013          1,120        (163     (187     0        (350
 

Petrobras International Finance Co.

    1.000        03/20/2019        9.896          15,000        (1,295     (2,215     0        (3,510
 

Russia Government International Bond

    1.000        03/20/2020        2.862          300        (56     34        0        (22
 

Russia Government International Bond

    1.000        06/20/2020        2.937          200        (27     11        0        (16
 

Russia Government International Bond

    1.000        06/20/2024        3.393          400        (45     (20     0        (65
                   
HUS  

Russia Government International Bond

    1.000        09/20/2024        3.403          593        (81     (17     0        (98
                   
JPM  

Gazprom OAO Via Gaz Capital S.A.

    1.000        03/20/2019        3.403          15,000        (1,295     222        0        (1,073
 

Gazprom OAO Via Gaz Capital S.A.

    1.000        09/20/2020        3.788          6,800        (958     169        0        (789
 

Russia Government International Bond

    1.000        06/20/2024        3.393          700        (64     (49     0        (113
                   
MYC  

Gazprom OAO Via Gaz Capital S.A.

    1.000        03/20/2019        3.403          10,000        (876     160        0        (716
 

Russia Government International Bond

    1.000        12/20/2020        3.062          100        (12     3        0        (9
             

 

 

   

 

 

   

 

 

   

 

 

 
              $     (10,160   $     (5,818   $     0      $     (15,978
             

 

 

   

 

 

   

 

 

   

 

 

 

 

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

 

Counterparty   Index/Tranches   Fixed
Receive Rate
    Maturity
Date
    Notional
Amount  (3)
    Premiums
(Received)
    Unrealized
Appreciation
    Swap Agreements, at Value (4)  
              Asset     Liability  
BRC  

ABX.HE.AAA.6-2 Index

    0.110%        05/25/2046      $     11,822      $     (2,551     $    284      $     0      $     (2,267
         

 

 

   

 

 

   

 

 

   

 

 

 

 

(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 or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

(2) 

Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as an indicator 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 on credit indices serve as an indicator 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 referenced indices’ credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

 

74   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


 

December 31, 2015 (Unaudited)

 

 

INTEREST RATE SWAPS

 

Counterparty   Pay/Receive
Floating Rate
  Floating Rate Index   Fixed Rate     Maturity
Date
    Notional
Amount
    Premiums
Paid/(Received)
    Unrealized
Appreciation/
(Depreciation)
    Swap Agreements, at Value  
                Asset     Liability  
BPS  

Pay

 

1-Year BRL-CDI

    15.590     01/04/2021        BRL        5,500      $ 0      $ (26   $ 0      $ (26
                   
CBK  

Pay

 

3-Month USD-LIBOR

    2.350        02/18/2021      $          1,280,000        7,131        6,855        13,986        0   
 

Pay

 

3-Month USD-LIBOR

    2.900        02/18/2026          264,800        1,837        1,790        3,627        0   
                   
FBF  

Pay

 

1-Year BRL-CDI

    12.230        01/04/2021        BRL        550,000        (278     (14,879     0        (15,157
                   
GLM  

Pay

 

1-Year BRL-CDI

    12.230        01/04/2021          250,000        (156     (6,733     0        (6,889
 

Pay

 

3-Month USD-LIBOR

    2.900        02/18/2026      $          460,000        3,620        2,704        6,324        0   
                   
MYC  

Pay

 

1-Year BRL-CDI

    15.590        01/04/2021        BRL        10,070        4        (51     0        (47
 

Pay

 

3-Month USD-LIBOR

    2.350        02/18/2021      $          366,200        2,143        1,839        3,982        0   
             

 

 

   

 

 

   

 

 

   

 

 

 
              $     14,301      $ (8,501   $ 27,919      $ (22,119
             

 

 

   

 

 

   

 

 

   

 

 

 

Total Swap Agreements

          $ 1,590      $     (14,035   $     27,919      $     (40,364
             

 

 

   

 

 

   

 

 

   

 

 

 

 

FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER SUMMARY

 

The following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral (received)/pledged as of December 31, 2015:

 

(o) Securities with an aggregate market value of $32,910 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2015.

 

    Financial Derivative Assets          Financial Derivative Liabilities                    
Counterparty   Forward
Foreign
Currency
Contracts
     Purchased
Options
     Swap
Agreements
     Total
Over the
Counter
          Forward
Foreign
Currency
Contracts
    Written
Options
     Swap
Agreements
    Total
Over the
Counter
    Net Market
Value of OTC
Derivatives
    Collateral
(Received)/
Pledged
    Net
Exposure  (5)
 

AZD

  $ 81       $ 0       $ 0       $ 81         $ (81   $ 0       $ 0      $ (81   $ 0      $ 0      $ 0   

BOA

    21         0         0         21           (35     0         (590     (625     (604     600        (4

BPS

    212         0         0         212           (762     0         (4,706     (5,468     (5,256     5,168        (88

BRC

    1         0         0         1           0        0         (3,707     (3,707     (3,706     3,424        (282

CBK

    208         0         17,613         17,821           (1,310     0         (2,143     (3,453     14,368        (14,143     225   

DUB

    6,836         0         0         6,836           (983     0         0        (983     5,853        (9,730     (3,877

FBF

    0         0         0         0           0        0         (15,157     (15,157     (15,157     14,926        (231

GLM

    93         0         6,324         6,417           (88     0         (6,889     (6,977     (560     562        2   

GST

    0         0         0         0           0        0         (4,327     (4,327     (4,327     4,112        (215

HUS

    90         0         0         90           (249     0         (98     (347     (257     243        (14

JPM

    415         0         0         415           (1,739     0         (1,975     (3,714     (3,299     3,874        575   

MSB

    467         0         0         467           (485     0         0        (485     (18     0        (18

MYC

    0         0         3,982         3,982           0        0         (772     (772     3,210        (3,350     (140

NAB

    0         0         0         0           (65     0         0        (65     (65     0        (65

UAG

    0         0         0         0           (182     0         0        (182     (182     0        (182
 

 

 

    

 

 

    

 

 

    

 

 

      

 

 

   

 

 

    

 

 

   

 

 

       

Total Over the Counter

  $ 8,424       $ 0       $ 27,919       $ 36,343         $ (5,979   $ 0       $ (40,364   $ (46,343      
 

 

 

    

 

 

    

 

 

    

 

 

      

 

 

   

 

 

    

 

 

   

 

 

       

 

(5) 

Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC derivatives can only be netted across transactions governed under the same master agreement with the same legal entity. The Fund and Subsidiary are recognized as two separate legal entities. As such, exposure cannot be netted. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting agreements.

 

FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS

 

The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal Risks, in the Notes to Financial Statements on risks of the Fund.

 

Fair Values of Financial Derivative Instruments on the Consolidated Statements of Assets and Liabilities as of December 31, 2015:

 

    Derivatives not accounted for as hedging instruments  
     Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Exchange
Contracts
     Interest
Rate Contracts
     Total  

Financial Derivative Instruments - Assets

                

Exchange-traded or centrally cleared

                

Swap Agreements

  $ 0       $ 176       $ 0       $ 0       $ 3,289       $ 3,465   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Over the counter

                

Forward Foreign Currency Contracts

  $ 0       $ 0       $ 0       $ 8,424       $ 0       $ 8,424   

Swap Agreements

    0         0         0         0         27,919         27,919   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
  $ 0       $ 0       $ 0       $ 8,424       $ 27,919       $ 36,343   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
  $     0       $     176       $     0       $     8,424       $     31,208       $     39,808   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

See Accompanying Notes   SEMIANNUAL REPORT   DECEMBER 31, 2015   75


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

 

    Derivatives not accounted for as hedging instruments  
     Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Exchange
Contracts
     Interest
Rate Contracts
     Total  

Financial Derivative Instruments - Liabilities

                

Exchange-traded or centrally cleared

                

Swap Agreements

  $ 0       $ 0       $ 0       $ 0       $ 4,071       $ 4,071   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Over the counter

                

Forward Foreign Currency Contracts

  $ 0       $ 0       $ 0       $ 5,979       $ 0       $ 5,979   

Swap Agreements

    0         18,245         0         0         22,119         40,364   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
  $ 0       $ 18,245       $ 0       $ 5,979       $ 22,119       $ 46,343   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
  $     0       $     18,245       $     0       $     5,979       $     26,190       $     50,414   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

The effect of Financial Derivative Instruments on the Consolidated Statements of Operations for the period ended December 31, 2015:

 

    Derivatives not accounted for as hedging instruments  
     Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Exchange
Contracts
     Interest
Rate Contracts
     Total  

Net Realized Gain (Loss) on Financial Derivative Instruments

  

     

Exchange-traded or centrally cleared

                

Swap Agreements

  $ 0       $ 684       $ 0       $ 0       $ 17,006       $ 17,690   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Over the counter

                

Forward Foreign Currency Contracts

  $ 0       $ 0       $ 0       $ 42,483       $ 0       $ 42,483   

Purchased Options

    0         0         0         0         (6,342      (6,342

Swap Agreements

    0         183         0         0         (1,455      (1,272
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
  $ 0       $ 183       $ 0       $ 42,483       $ (7,797    $ 34,869   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
  $     0       $ 867       $ 0       $ 42,483       $ 9,209       $ 52,559   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net Change in Unrealized (Depreciation) on Financial Derivative Instruments

  

           

Exchange-traded or centrally cleared

                

Swap Agreements

  $ 0       $ (839    $ 0       $ 0       $ (28,312    $ (29,151
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Over the counter

                

Forward Foreign Currency Contracts

  $ 0       $ 0       $ 0       $ (14,721    $ 0       $ (14,721

Swap Agreements

    0         (2,505      0         0         (9,696      (12,201
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
  $ 0       $ (2,505    $ 0       $ (14,721    $ (9,696    $ (26,922
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
  $ 0       $     (3,344    $     0       $     (14,721    $     (38,008    $     (56,073
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

FAIR VALUE MEASUREMENTS

 

The following is a summary of the fair valuations according to the inputs used as of December 31, 2015 in valuing the Fund’s assets and liabilities:

 

Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
12/31/2015
 

Investments in Securities, at Value

  

   

Bank Loan Obligations

  $     0      $ 123,597      $ 18,408      $ 142,005   

Corporate Bonds & Notes

       

Banking & Finance

    0        214,383            206,927        421,310   

Industrials

    0        444,889        23,281        468,170   

Utilities

    0        221,688        4,349        226,037   

Municipal Bonds & Notes

       

Illinois

    0        2,717        0        2,717   

Iowa

    0        1,608        0        1,608   

New Jersey

    0        0        7,226        7,226   

West Virginia

    0        12,623        0        12,623   

U.S. Government Agencies

    0        19,849        0        19,849   

U.S. Treasury Obligations

    0        16,182        0        16,182   

Non-Agency Mortgage-Backed Securities

    0            1,236,029        0        1,236,029   

Asset-Backed Securities

    0        2,165,585        2,518            2,168,103   

Sovereign Issues

    0        47,877        0        47,877   

Common Stocks

       

Financials

    0        0        2,736        2,736   

Short-Term Instruments

       

Repurchase Agreements

    0        49,000        0        49,000   
Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
12/31/2015
 

Short-Term Notes

  $ 0      $ 3,099      $ 0      $ 3,099   

U.S. Treasury Bills

    0        56,424        0        56,424   

Total Investments

  $ 0      $ 4,615,550      $ 265,445      $ 4,880,995   

Financial Derivative Instruments - Assets

  

Exchange-traded or centrally cleared

    0        3,465        0        3,465   

Over the counter

    0        36,343        0        36,343   
  $ 0      $ 39,808      $ 0      $ 39,808   

Financial Derivative Instruments - Liabilities

  

Exchange-traded or centrally cleared

    0        (4,071     0        (4,071

Over the counter

    0        (46,343     0        (46,343
  $     0      $ (50,414   $ 0      $ (50,414

Totals

  $ 0      $     4,604,944      $     265,445      $     4,870,389   
 

 

There were no significant transfers between Levels 1 and 2 during the period ended December 31, 2015.

 

76   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


 

December 31, 2015 (Unaudited)

 

 

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended December 31, 2015:

 

Category and Subcategory   Beginning
Balance
at 06/30/2015
    Net
Purchases
    Net
Sales
    Accrued
Discounts/
(Premiums)
    Realized
Gain/(Loss)
    Net Change in
Unrealized
Appreciation/
(Depreciation) (1)
    Transfers into
Level 3
    Transfers out
of Level 3
    Ending
Balance
at 12/31/2015
    Net Change in
Unrealized
Appreciation/
(Depreciation)
on Investments
Held at
12/31/2015 (1)
 

Investments in Securities, at Value

  

               

Bank Loan Obligations

  $ 12,437      $ 6,321      $ 0      $ 35      $ 0      $ (385   $ 0      $ 0      $ 18,408      $ (384

Corporate Bonds & Notes

                   

Banking & Finance

    211,030        4,820        (1,434         (44         (49         (7,396         0        0        206,927        (7,499

Industrials

    23,392        0        0        14        0        (125     0        0        23,281        (125

Utilities

    4,636        0        (183     0        0        (104     0        0        4,349        (100

Municipal Bonds & Notes

                   

New Jersey

    6,972        0        (80     (2     0        336        0        0        7,226        337   

Mortgage-Backed Securities

    33,505        568        (29,607     20            112        (369     0            (4,229     0        0   

Asset-Backed Securities

    2,855        0        (156     (1     (1     (179     0        0        2,518        (169

Common Stocks

                   

Financials

    2,666        0        0        0        0        70        0        0        2,736        70   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Totals

  $     297,493      $     11,709      $     (31,460   $ 22      $ 62      $ (8,152   $ 0      $ (4,229   $     265,445      $     (7,870
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

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:

 

Category and Subcategory   Ending
Balance
at 12/31/2015
     Valuation
Technique
   Unobservable
Inputs
   Input Value(s)
(% Unless
Noted
Otherwise)
 

Investments in Securities, at Value

          

Bank Loan Obligations

  $ 2,158       Other Valuation Techniques (2)    —        —     
    6,350       Proxy Pricing    Base Price      95.50   
    9,900       Third Party Vendor    Broker Quote      99.00   

Corporate Bonds & Notes

          

Banking & Finance

    107,064       Reference Instrument    Spread      210.00 bps   
    33,287       Reference Instrument    Spread Movement      653.21 bps   
    66,576       Proxy Pricing    Base Price      99.87-110.00   

Industrials

    23,281       Proxy Pricing    Base Price      100.09   

Utilities

    4,349       Proxy Pricing    Base Price      99.78   

Municipal Bonds & Notes

          

New Jersey

    7,226       Proxy Pricing    Base Price      107.50   

Asset-Backed Securities

    2,518       Proxy Pricing    Base Price      100.50   

Common Stocks

          

Financials

    2,736       Other Valuation Techniques (2)    —        —     
 

 

 

          

Total

  $     265,445            
 

 

 

          

 

(1) 

Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at December 31, 2015 may be due to an investment no longer held or categorized as Level 3 at period end.

(2) 

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

 

See Accompanying Notes   SEMIANNUAL REPORT   DECEMBER 31, 2015   77


Consolidated Schedule of Investments PIMCO Dynamic Income Fund

 

        PRINCIPAL
AMOUNT
(000S)
       

MARKET
VALUE

(000S)

 
INVESTMENTS IN SECURITIES 186.7%   
BANK LOAN OBLIGATIONS 1.4%   

Energy Future Intermediate Holding Co. LLC

  

4.250% due 06/19/2016

  $     14,214      $     14,189   

Hellenic Republic

  

3.930% due 03/30/2016

  EUR     2,000          2,117   

OGX

  

TBD% - 13.000% due 04/10/2049

  $     646          662   
       

 

 

 

Total Bank Loan Obligations
(Cost $16,878)

   

        16,968   
       

 

 

 
CORPORATE BONDS & NOTES 23.9%   
BANKING & FINANCE 11.3%   

AGFC Capital Trust

  

6.000% due 01/15/2067 (i)

      12,900          9,095   

Banco Continental SAECA

  

8.875% due 10/15/2017 (i)

      9,100          9,293   

Banco do Brasil S.A.

  

3.875% due 10/10/2022

      3,604          2,757   

BNP Paribas S.A.

  

7.375% due 08/19/2025 (e)(i)

      6,000          6,165   

Cantor Fitzgerald LP

  

7.875% due 10/15/2019 (i)

      7,240          7,962   

Communications Sales & Leasing, Inc.

  

8.250% due 10/15/2023 (i)

      2,900          2,487   

Credit Suisse AG

  

6.500% due 08/08/2023 (i)

      800          864   

Eksportfinans ASA

  

5.500% due 05/25/2016 (i)

      1,700          1,722   

5.500% due 06/26/2017 (i)

      1,900          1,981   

Exeter Finance Corp.

  

9.750% due 05/20/2019

      9,700          9,528   

Jefferies LoanCore LLC

  

6.875% due 06/01/2020 (i)

      2,300          2,208   

KGH Intermediate Holdco LLC

  

8.500% due 08/07/2019 (g)

      17,535          14,695   

National Bank of Greece S.A.

  

3.875% due 10/07/2016

  EUR     300          319   

Pinnacol Assurance

  

8.625% due 06/25/2034 (g)

  $     10,200          10,484   

Preferred Term Securities Ltd.

  

0.892% due 09/23/2035

      973          744   

Programa Cedulas TDA Fondo de Titulizacion de Activos

   

0.014% due 04/08/2016 (i)

  EUR     900          978   

Rabobank Group

  

6.875% due 03/19/2020 (i)

      2,900          3,758   

Royal Bank of Scotland Group PLC

  

7.500% due 08/10/2020 (e)

  $     400          418   

8.000% due 08/10/2025 (e)

      200          212   

Royal Bank of Scotland PLC

  

6.934% due 04/09/2018 (i)

  EUR     2,900          3,534   

Sberbank of Russia Via SB Capital S.A.

  

3.352% due 11/15/2019 (i)

        10,000          10,695   

6.125% due 02/07/2022 (i)

  $     7,800          7,854   

6.125% due 02/07/2022

      400          403   

Springleaf Finance Corp.

  

6.500% due 09/15/2017 (i)

      2,300          2,352   

TIG FinCo PLC

  

8.500% due 03/02/2020

  GBP     997          1,513   

8.750% due 04/02/2020 (i)

      5,647          7,409   

Toll Road Investors Partnership LP

  

0.000% due 02/15/2045 (d)

  $       35,561          7,468   
        PRINCIPAL
AMOUNT
(000S)
       

MARKET
VALUE

(000S)

 

Vnesheconombank Via VEB Finance PLC

  

6.902% due 07/09/2020 (i)

  $       13,700      $     13,905   
       

 

 

 
            140,803   
       

 

 

 
INDUSTRIALS 7.2%   

Alliance Oil Co. Ltd.

  

10.000% due 03/11/2019

      4,000          2,360   

Buffalo Thunder Development Authority

  

0.000% due 11/15/2029 (g)

      2,488          25   

11.000% due 12/09/2022

      5,598          2,855   

Caesars Entertainment Operating Co., Inc.

  

9.000% due 02/15/2020 ^(f)

      18,800          14,382   

Chesapeake Energy Corp.

  

3.571% due 04/15/2019

      220          62   

Desarrolladora Homex S.A.B. de C.V.

  

9.750% due 03/25/2020 ^

      5,000          100   

Enterprise Inns PLC

  

6.500% due 12/06/2018 (i)

  GBP     1,100          1,737   

Hellenic Railways Organization S.A.

  

5.014% due 12/27/2017

  EUR     300          302   

Intelsat Luxembourg S.A.

  

7.750% due 06/01/2021 (i)

  $     9,000          4,230   

8.125% due 06/01/2023 (i)

      13,785          6,272   

Intrepid Aviation Group Holdings LLC

  

6.875% due 02/15/2019 (i)

      8,490          7,004   

Millar Western Forest Products Ltd.

  

8.500% due 04/01/2021 (i)

      5,214          2,737   

Numericable-SFR S.A.S.

  

6.000% due 05/15/2022 (i)

      1,700          1,653   

OGX Austria GmbH

  

8.500% due 06/01/2018 ^

      16,700          0   

Petroleos de Venezuela S.A.

  

5.500% due 04/12/2037 (i)

      7,000          2,559   

Reynolds Group Issuer, Inc.

  

7.875% due 08/15/2019 (i)

      5,150          5,350   

Rockies Express Pipeline LLC

  

6.875% due 04/15/2040 (i)

      1,744          1,509   

Spirit Issuer PLC

  

5.472% due 12/28/2028 (i)

  GBP     12,120          18,135   

UCP, Inc.

  

8.500% due 10/21/2017

  $     10,600          10,591   

Unique Pub Finance Co. PLC

  

6.542% due 03/30/2021

  GBP     5,089          7,849   

Urbi Desarrollos Urbanos S.A.B. de C.V.

  

9.750% due 02/03/2022 ^

  $     5,000          18   
       

 

 

 
          89,730   
       

 

 

 
UTILITIES 5.4%   

Frontier Communications Corp.

  

8.875% due 09/15/2020 (i)

      1,030          1,045   

10.500% due 09/15/2022 (i)

      1,690          1,684   

11.000% due 09/15/2025 (i)

      1,690          1,677   

Gazprom Neft OAO Via GPN Capital S.A.

  

4.375% due 09/19/2022 (i)

      2,000          1,776   

6.000% due 11/27/2023 (i)

      40,000          37,848   

Petrobras Global Finance BV

  

4.375% due 05/20/2023

      453          300   

4.875% due 03/17/2020 (i)

      2,860          2,152   

5.375% due 01/27/2021 (i)

      15,800          11,811   

6.250% due 12/14/2026

  GBP     1,500          1,443   

6.625% due 01/16/2034

      700          639   

6.750% due 01/27/2041 (i)

  $     6,224          4,015   

6.850% due 06/05/2049

      1,280          835   
        PRINCIPAL
AMOUNT
(000S)
       

MARKET
VALUE

(000S)

 

7.875% due 03/15/2019 (i)

  $     2,900      $     2,574   
       

 

 

 
          67,799   
       

 

 

 

Total Corporate Bonds & Notes
(Cost $330,728)

      298,332   
       

 

 

 
MUNICIPAL BONDS & NOTES 0.1%   
ILLINOIS 0.1%   

Chicago, Illinois General Obligation Bonds, Series 2015

  

7.375% due 01/01/2033

      430          455   

7.750% due 01/01/2042

      760          770   
       

 

 

 

Total Municipal Bonds & Notes
(Cost $1,169)

    1,225   
       

 

 

 
U.S. GOVERNMENT AGENCIES 2.0%   

Fannie Mae

  

5.498% due 07/25/2041 (a)(i)

    9,311          1,104   

5.648% due 10/25/2040 (a)(i)

    14,527          1,763   

5.928% due 12/25/2037 (a)

      459          74   

6.018% due 03/25/2037 - 04/25/2037 (a)(i)

      31,065          4,557   

6.078% due 02/25/2037 (a)

      337          52   

6.098% due 09/25/2037 (a)(i)

    1,207          254   

6.228% due 11/25/2036 (a)

      276          39   

6.298% due 06/25/2037 (a)(i)

    1,089          128   

6.328% due 10/25/2035 (a)(i)

    3,681          755   

6.558% due 03/25/2038 (a)(i)

    3,190          673   

6.578% due 02/25/2038 (a)(i)

    2,101          337   

6.678% due 06/25/2023 (a)(i)

    3,117          424   

11.426% due 01/25/2041 (i)

      5,985          7,595   

Freddie Mac

  

6.080% due 05/15/2037 (a)

      367          61   

6.140% due 07/15/2036 (a)(i)

    4,063          707   

6.250% due 09/15/2036 (a)(i)

    1,505          254   

6.370% due 04/15/2036 (a)(i)

    2,976          431   

7.450% due 09/15/2036 (a)(i)

    2,589          423   

11.172% due 03/25/2025

      3,298          3,554   

13.819% due 09/15/2041

      602          836   

16.049% due 09/15/2034

      280          331   
       

 

 

 

Total U.S. Government Agencies (Cost $27,485)

    24,352   
       

 

 

 
U.S. TREASURY OBLIGATIONS 0.5%   

U.S. Treasury Floating Rate Notes

  

0.428% due 10/31/2017 (k)(m)

    5,800          5,798   
       

 

 

 

Total U.S. Treasury Obligations (Cost $5,798)

    5,798   
       

 

 

 
NON-AGENCY MORTGAGE-BACKED SECURITIES 103.7%   

Alba PLC

  

0.843% due 12/15/2038

  GBP     10,908          13,482   

American Home Mortgage Assets Trust

  

0.712% due 08/25/2037 ^

  $       11,636          5,773   

0.962% due 11/25/2035 (i)

      3,340          2,958   

6.250% due 06/25/2037 (i)

      10,041          7,294   

American Home Mortgage Investment Trust

  

0.722% due 09/25/2045 (i)

      8,184          6,912   

1.322% due 02/25/2044

      9,739          6,211   

Banc of America Alternative Loan Trust

  

0.822% due 05/25/2035 ^(i)

    1,235          949   

6.000% due 06/25/2037 (i)

      546          446   

6.000% due 06/25/2046

      209          178   

Banc of America Funding Trust

  

0.000% due 06/26/2035

      10,469          8,759   

0.000% due 07/26/2036

      15,300          8,911   

0.433% due 08/25/2047 ^

      9,097          7,600   
 

 

78   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


 

December 31, 2015 (Unaudited)

 

        PRINCIPAL
AMOUNT
(000S)
       

MARKET
VALUE

(000S)

 

0.612% due 04/20/2047 ^(i)

  $     26,249      $     20,753   

0.852% due 02/20/2035 (i)

      4,612          3,402   

2.632% due 03/20/2036 ^(i)

      3,024          2,615   

2.877% due 01/20/2047 ^

      354          290   

2.900% due 01/25/2035

      579          282   

Banc of America Mortgage Trust

  

2.691% due 01/25/2036

      1,234          1,100   

2.747% due 10/20/2046 ^

      418          254   

Banc of America Re-REMIC Trust

  

5.651% due 02/17/2051 (i)

      38,264          39,643   

Bancaja Fondo de Titulizacion de Activos

  

0.057% due 10/25/2037 (i)

  EUR     2,892          3,012   

BCAP LLC Trust

  

2.269% due 07/26/2045

  $     7,018          6,175   

2.282% due 07/26/2035

      4,574          3,905   

2.555% due 11/26/2035

      9,500          8,153   

2.577% due 02/26/2036

      7,956          5,560   

2.709% due 03/26/2035

      8,051          7,623   

2.740% due 10/26/2035

      6,052          5,226   

2.840% due 04/26/2037 (i)

      24,727          17,352   

5.402% due 06/26/2036

      6,237          5,193   

5.500% due 12/26/2035

      11,109          9,155   

6.000% due 08/26/2037

      7,427          6,403   

Bear Stearns Adjustable Rate Mortgage Trust

  

4.718% due 06/25/2047 ^

      6,099          5,467   

Bear Stearns ALT-A Trust

  

0.622% due 02/25/2034 (i)

      9,300          7,831   

3.048% due 09/25/2035 ^(i)

      13,279          10,042   

BRAD Resecuritization Trust

  

2.178% due 03/12/2021

      28,442          2,200   

6.550% due 03/12/2021

      5,316          5,428   

Celtic Residential Irish Mortgage Securitisation PLC

  

0.054% due 11/13/2047 (i)

  EUR       24,793            25,551   

0.067% due 03/18/2049

      4,963          4,984   

0.135% due 12/14/2048

      6,907          7,081   

0.192% due 04/10/2048

      9,369          9,419   

Chase Mortgage Finance Trust

  

2.765% due 03/25/2037 ^(i)

  $     4,991          4,217   

3.650% due 01/25/2036 (i)

      17,317          15,934   

Citigroup Mortgage Loan Trust, Inc.

  

2.730% due 03/25/2036 ^(i)

      1,038          996   

2.905% due 09/25/2037 ^(i)

      8,762          7,966   

2.954% due 10/25/2035 ^(i)

      8,869          7,931   

Countrywide Alternative Loan Trust

  

0.612% due 09/25/2046 ^(i)

      19,336          16,332   

0.749% due 12/25/2035 (a)

      12,332          291   

1.152% due 11/25/2035 (i)

      26,933          22,981   

1.645% due 12/25/2035 (a)

      14,743          1,135   

2.920% due 06/25/2047

      323          276   

5.500% due 02/25/2020

      361          358   

5.500% due 07/25/2035 ^(i)

      2,959          2,616   

5.500% due 11/25/2035 ^(i)

      1,076          987   

5.500% due 01/25/2036 ^

      229          220   

5.500% due 04/25/2037 (i)

      3,962          3,351   

5.750% due 01/25/2036

      366          304   

5.750% due 01/25/2037 ^(i)

      12,266          10,512   

5.750% due 04/25/2037 ^(i)

      4,008          3,642   

6.000% due 06/25/2036 ^(i)

      610          560   

6.000% due 11/25/2036 ^(i)

      643          606   

6.000% due 12/25/2036

      286          220   

6.000% due 01/25/2037 ^(i)

      2,839          2,601   

6.000% due 02/25/2037 ^(i)

      1,134          891   

6.000% due 03/25/2037 ^(i)

      18,683          13,576   

6.000% due 04/25/2037 ^(i)

      8,768          6,398   

6.000% due 07/25/2037 ^(i)

      2,867          2,997   

6.728% due 07/25/2036 (a)

      16,206          5,334   

36.470% due 05/25/2037 ^

      1,696          3,442   
        PRINCIPAL
AMOUNT
(000S)
       

MARKET
VALUE

(000S)

 

Countrywide Home Loan Mortgage Pass-Through Trust

  

0.762% due 03/25/2036

  $     3,433      $     1,788   

1.022% due 03/25/2035

      274          248   

5.000% due 11/25/2035 ^

      88          77   

5.055% due 06/25/2047 ^(i)

      12,064          11,301   

5.500% due 12/25/2034

      193          183   

5.500% due 11/25/2035 ^

      106          103   

6.000% due 07/25/2037 ^

      439          400   

6.000% due 08/25/2037 (i)

      9,670          8,768   

6.000% due 08/25/2037 ^

      5          5   

6.000% due 01/25/2038 ^

      335          301   

Credit Suisse Commercial Mortgage Trust

  

6.500% due 07/26/2036 ^(i)

      14,934          8,835   

Credit Suisse Mortgage Capital Certificates

  

2.324% due 07/26/2049

      10,700          7,661   

2.848% due 04/26/2035 (i)

      27,326          22,663   

4.408% due 07/26/2037 (i)

      13,414          10,541   

5.692% due 04/16/2049 (i)

      10,000          10,320   

5.892% due 02/27/2047 (i)

        68,095            43,994   

7.000% due 08/26/2036

      19,270          9,231   

7.000% due 08/27/2036

      4,966          3,209   

Credit Suisse Mortgage Capital Mortgage-Backed Trust

  

5.896% due 04/25/2036 (i)

      10,630          8,129   

CSAB Mortgage-Backed Trust

  

5.500% due 05/25/2037 ^(i)

      7,610          6,719   

Debussy PLC

  

5.930% due 07/12/2025 (i)

  GBP     18,250          26,368   

8.250% due 07/12/2025

      5,000          5,821   

Deutsche ALT-A Securities, Inc.

  

6.000% due 10/25/2021 ^

  $     1,190          1,016   

Diversity Funding Ltd.

  

1.437% due 02/10/2046 (i)

  GBP     2,653          3,819   

1.787% due 02/10/2046

      1,310          1,678   

2.287% due 02/10/2046

      1,193          1,353   

2.787% due 02/10/2046

      1,170          258   

4.037% due 02/10/2046

      702          41   

4.537% due 02/10/2046 ^

      234          7   

4.637% due 02/10/2046 ^

      247          0   

Emerald Mortgages PLC

  

0.051% due 07/15/2048

  EUR       26,615            27,220   

Epic Drummond Ltd.

  

0.137% due 01/25/2022

      7,215          7,034   

First Horizon Alternative Mortgage Securities Trust

  

2.298% due 08/25/2035 ^

  $     7,161          1,914   

6.678% due 11/25/2036 (a)

      2,087          749   

First Horizon Mortgage Pass-Through Trust

  

5.500% due 08/25/2037 ^

      801          676   

GreenPoint Mortgage Funding Trust

  

0.622% due 12/25/2046 ^

      4,761          2,997   

Grifonas Finance PLC

  

0.319% due 08/28/2039

  EUR       14,383          11,444   

GSR Mortgage Loan Trust

  

2.973% due 11/25/2035

  $     334          303   

6.500% due 08/25/2036 ^

      1,242          985   

HarborView Mortgage Loan Trust

  

0.443% due 03/19/2036 (i)

      23,902          17,279   

0.453% due 01/19/2036 (i)

      11,518          7,850   

1.052% due 06/20/2035 (i)

      14,229          12,735   

1.302% due 06/20/2035 (i)

      3,238          2,751   

Impac CMB Trust

  

1.142% due 10/25/2034

      402          347   

Impac Secured Assets Trust

  

0.532% due 05/25/2037 ^

      22          16   

IndyMac Mortgage Loan Trust

  

0.622% due 11/25/2046 (i)

      9,374          6,703   

0.672% due 02/25/2037

      4,700          2,990   

0.722% due 07/25/2036 (i)

      840          650   
        PRINCIPAL
AMOUNT
(000S)
       

MARKET
VALUE

(000S)

 

2.899% due 06/25/2037 ^(i)

  $     7,256      $     5,391   

2.938% due 02/25/2035

      555          495   

4.410% due 03/25/2037

      84          73   

JPMorgan Alternative Loan Trust

  

0.622% due 06/25/2037 (i)

        45,172            26,762   

3.192% due 11/25/2036 ^(i)

      5,404          5,308   

5.960% due 12/25/2036 ^(i)

      9,689          7,860   

JPMorgan Chase Commercial Mortgage Securities Trust

  

1.746% due 06/15/2045 (a)(i)

      60,166          3,803   

JPMorgan Mortgage Trust

  

2.577% due 06/25/2037 ^(i)

      8,045          7,141   

5.803% due 10/25/2036

      1,903          1,673   

Lavender Trust

  

5.500% due 09/26/2035

      6,925          5,910   

5.999% due 11/26/2036

      15,763          11,750   

LB-UBS Commercial Mortgage Trust

  

0.539% due 02/15/2040 (a)(i)

        209,457          1,290   

Lehman Mortgage Trust

  

5.500% due 11/25/2035 ^

      123          116   

6.000% due 08/25/2036 ^(i)

      1,597          1,363   

6.000% due 09/25/2036 ^

      1,103          902   

6.500% due 09/25/2037 ^(i)

      7,121          5,534   

7.250% due 09/25/2037 ^(i)

      37,213          19,980   

Lehman XS Trust

  

0.702% due 07/25/2037

      27,012          8,901   

0.922% due 07/25/2047

      4,105          1,418   

MASTR Adjustable Rate Mortgages Trust

  

0.421% due 05/25/2047 (i)

      28,120          22,891   

0.561% due 05/25/2047 ^

      5,240          2,450   

MASTR Alternative Loan Trust

  

0.772% due 03/25/2036 (i)

      24,132          5,895   

0.822% due 03/25/2036

      31,897          7,915   

Merrill Lynch Mortgage Investors Trust

  

2.731% due 05/25/2036

      13,014          10,588   

Morgan Stanley Re-REMIC Trust

  

2.618% due 07/26/2035 (i)

      26,634          20,901   

2.661% due 01/26/2035

      11,082          9,921   

2.661% due 02/26/2037

      6,285          5,348   

2.782% due 09/26/2035

      4,998          4,404   

6.000% due 04/26/2036

      7,969          7,083   

Newgate Funding PLC

  

0.783% due 12/15/2050

  GBP     2,149          2,651   

1.122% due 12/15/2050

  EUR     2,431          2,332   

1.372% due 12/15/2050

      4,642          4,343   

1.833% due 12/15/2050

  GBP     3,669          4,687   

NovaStar Mortgage Funding Trust

  

0.411% due 09/25/2046

  $     845          689   

RBSSP Resecuritization Trust

  

2.109% due 07/26/2045 (i)

      20,150          17,195   

2.539% due 02/26/2036 (i)

      8,308          5,593   

2.615% due 11/21/2035 ^(i)

      15,026          12,398   

2.859% due 05/26/2037

      13,151          10,429   

3.016% due 11/26/2035 ^(i)

      28,894          20,049   

6.000% due 03/26/2036 ^

      8,785          7,278   

Residential Accredit Loans, Inc. Trust

  

0.602% due 07/25/2036 (i)

      13,995          8,990   

0.612% due 05/25/2037 (i)

      25,038          20,831   

1.257% due 01/25/2046 ^(i)

      9,981          6,937   

4.349% due 01/25/2036

      1,319          1,033   

6.000% due 08/25/2035 ^

      1,192          1,103   

6.000% due 06/25/2036

      595          505   

6.000% due 09/25/2036 ^(i)

      7,072          4,950   

7.000% due 10/25/2037 (i)

      16,127          13,368   

Residential Asset Securitization Trust

  

5.500% due 07/25/2035

      1,330          1,202   

6.250% due 08/25/2037 ^

      4,853          2,889   
 

 

See Accompanying Notes   SEMIANNUAL REPORT   DECEMBER 31, 2015   79


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

 

        PRINCIPAL
AMOUNT
(000S)
       

MARKET
VALUE

(000S)

 

Residential Funding Mortgage Securities, Inc. Trust

  

5.762% due 08/25/2036 ^(i)

  $     3,868      $     3,450   

5.850% due 11/25/2035 ^

      299          277   

6.000% due 04/25/2037 ^

      2,744          2,491   

Rite Aid Pass-Through Certificates

  

6.790% due 01/02/2021

      11,000          11,674   

Sequoia Mortgage Trust

  

0.772% due 07/20/2036 (i)

    1,689          1,213   

1.407% due 10/20/2027

      1,247          1,047   

Southern Pacific Securities PLC

  

4.083% due 12/10/2042

  GBP     2,722          4,049   

Structured Adjustable Rate Mortgage Loan Trust

  

2.697% due 04/25/2047 (i)

  $     4,227          3,334   

4.203% due 02/25/2037 ^(i)

    14,320          10,407   

4.513% due 08/25/2036 (i)

    4,915          2,726   

Structured Asset Mortgage Investments Trust

  

0.592% due 03/25/2037 ^

      2,584          878   

0.612% due 07/25/2046 ^(i)

    26,474          21,009   

SunTrust Alternative Loan Trust

  

6.728% due 04/25/2036 ^(a)

    6,295          2,152   

TBW Mortgage-Backed Trust

  

6.500% due 07/25/2036 (i)

    25,307          14,736   

Theatre Hospitals PLC

  

3.579% due 10/15/2031 (i)

  GBP     18,946          26,298   

WaMu Mortgage Pass-Through Certificates Trust

  

0.842% due 06/25/2044

  $     367          333   

1.007% due 06/25/2047 ^

      10,598          3,770   

1.067% due 07/25/2047 (i)

      30,086          24,461   

1.137% due 10/25/2046 ^

      697          555   

1.257% due 02/25/2046

      90          83   

1.901% due 07/25/2047 ^

      1,152          786   

4.007% due 03/25/2037 ^(i)

    6,339          5,552   

4.294% due 02/25/2037 ^(i)

    440          408   

Washington Mutual Mortgage Pass-Through Certificates Trust

   

0.662% due 01/25/2047 ^(i)

    16,298          12,265   

1.022% due 07/25/2036 ^(i)

    10,718          6,333   

6.000% due 04/25/2037 ^(i)

    6,057          5,181   

Wells Fargo Alternative Loan Trust

  

2.768% due 07/25/2037 ^(i)

    7,521          6,411   

5.750% due 07/25/2037 ^(i)

    821          751   

Wells Fargo Mortgage Loan Trust

  

5.788% due 04/27/2036 (i)

      28,600          25,831   

Wells Fargo Mortgage-Backed Securities Trust

  

6.000% due 07/25/2036 ^

      409          414   

6.000% due 09/25/2036 ^(i)

    811          779   

6.000% due 04/25/2037 ^

      265          262   

6.000% due 06/25/2037 ^

      609          612   
       

 

 

 

Total Non-Agency
Mortgage-Backed Securities
(Cost $1,111,644)

      1,292,772   
       

 

 

 
ASSET-BACKED SECURITIES 44.5%   

Asset-Backed Funding Certificates Trust

  

1.472% due 03/25/2034

      1,779          1,434   

Bear Stearns Asset-Backed Securities Trust

  

0.972% due 06/25/2036 (i)

    8,846          7,753   

8.419% due 10/25/2036

      6,203          4,487   

Bombardier Capital Mortgage Securitization Corp.

  

7.440% due 12/15/2029 (i)

      2,691          1,567   

Citigroup Mortgage Loan Trust, Inc.

  

0.582% due 12/25/2036 (i)

    22,395          14,837   

0.682% due 03/25/2037 (i)

    34,597          27,005   

5.342% due 03/25/2036 ^(i)

    3,064          2,207   

5.852% due 05/25/2036 ^(i)

    671          443   

Conseco Finance Securitizations Corp.

  

7.960% due 05/01/2031 (i)

    9,261          6,969   

7.970% due 05/01/2032 (i)

    16,446          10,009   
        PRINCIPAL
AMOUNT
(000S)
       

MARKET
VALUE

(000S)

 

8.200% due 05/01/2031 (i)

  $     27,450      $     21,155   

9.163% due 03/01/2033 (i)

      9,740          8,669   

Conseco Financial Corp.

  

7.060% due 02/01/2031 (i)

      6,353          6,579   

7.500% due 03/01/2030

      9,834          8,037   

Countrywide Asset-Backed Certificates

  

0.552% due 12/25/2036 ^(i)

      20,183          18,205   

0.592% due 06/25/2047 (i)

      11,954          11,339   

0.622% due 04/25/2036 (i)

      4,092          3,964   

0.622% due 06/25/2037 ^(i)

      12,897          11,653   

0.622% due 06/25/2047 (i)

        35,448            25,877   

0.682% due 01/25/2046 ^

      3,126          6,488   

0.842% due 06/25/2036 ^

      1,870          666   

1.222% due 03/25/2033

      25          23   

1.802% due 12/25/2032 ^

      1,065          997   

4.579% due 02/25/2036 (i)

      519          530   

4.942% due 07/25/2036 (i)

      1,973          1,959   

5.505% due 04/25/2036 (i)

      1,247          1,237   

5.588% due 08/25/2036 (i)

      1,264          1,253   

Countrywide Asset-Backed Certificates Trust

  

0.662% due 03/25/2047 (i)

      8,000          5,001   

1.222% due 08/25/2047 (i)

      15,900          13,682   

4.896% due 10/25/2046 ^(i)

      3,692          3,375   

Countrywide Home Equity Loan Trust

  

5.381% due 03/25/2034

      1,456          2,865   

Credit-Based Asset Servicing and Securitization LLC

  

5.236% due 10/25/2036 (i)

      10,800          10,506   

EMC Mortgage Loan Trust

  

0.671% due 12/25/2042

      154          148   

0.691% due 04/25/2042 (i)

      8,702          8,019   

2.672% due 04/25/2042

      2,813          2,192   

First Franklin Mortgage Loan Trust

  

0.922% due 12/25/2035 (i)

      23,487          16,583   

GMAC Mortgage Corp. Home Equity Loan Trust

  

6.249% due 12/25/2037 (i)

      6,793          6,742   

GSAMP Trust

  

2.297% due 06/25/2034

      2,159          1,760   

IndyMac Home Equity Mortgage Loan Asset-Backed Trust

  

7.274% due 12/25/2031 ^

      1,300          415   

KGS Alpha SBA Trust

  

1.016% due 04/25/2038 (a)

      5,011          189   

Lehman XS Trust

  

6.170% due 06/24/2046 (i)

      6,797          6,247   

Long Beach Mortgage Loan Trust

  

0.682% due 08/25/2045 (i)

      41,523          32,522   

1.472% due 02/25/2034

      210          203   

1.472% due 06/25/2035 (i)

      27,300          20,947   

MASTR Asset-Backed Securities Trust

  

0.572% due 03/25/2036 (i)

      9,156          6,282   

0.802% due 01/25/2036

      400          312   

Mid-State Capital Corp. Trust

  

6.742% due 10/15/2040

      7,249          7,754   

Morgan Stanley ABS Capital, Inc. Trust

  

0.522% due 11/25/2036

      2,167          1,292   

0.752% due 02/25/2037

      6,931          3,943   

Morgan Stanley Home Equity Loan Trust

  

0.652% due 04/25/2037 (i)

      36,828          21,011   

Oakwood Mortgage Investors, Inc.

  

5.920% due 06/15/2031

      9,021          3,271   

6.610% due 06/15/2031

      5,506          2,218   

7.400% due 07/15/2030

      23,429          14,269   

7.405% due 06/15/2031

      7,152          3,213   

7.840% due 11/15/2029 (i)

      4,729          4,877   

8.490% due 10/15/2030 ^

      1,607          409   

Option One Mortgage Loan Trust

  

0.782% due 01/25/2036

      20,000          13,977   

Popular ABS Mortgage Pass-Through Trust

  

1.672% due 08/25/2035 (i)

      3,663          3,234   
        PRINCIPAL
AMOUNT
(000S)
       

MARKET
VALUE

(000S)

 

Residential Asset Mortgage Products Trust

  

1.397% due 04/25/2034 (i)

  $     11,345      $     9,853   

Residential Asset Securities Corp. Trust

  

0.582% due 06/25/2036 (i)

    4,956          4,788   

0.662% due 08/25/2036 (i)

    11,000          7,543   

Saxon Asset Securities Trust

  

0.872% due 11/25/2037 (i)

      13,000          9,276   

Sorin Real Estate CDO Ltd.

  

0.853% due 10/28/2046

      7,400          6,290   

Soundview Home Loan Trust

  

0.702% due 06/25/2037 (i)

    10,769          6,729   

0.922% due 03/25/2036

      16,905          12,432   

South Coast Funding Ltd.

  

0.587% due 01/06/2041

      4,993          1,498   

0.587% due 01/06/2041 (i)

    164,926          49,478   

Structured Asset Securities Corp.

  

5.884% due 05/25/2032 ^

      7,131          5,744   

Tropic CDO Ltd.

  

0.641% due 07/15/2036

      6,732          4,476   

1.201% due 07/15/2034

      22,500          12,487   

Vanderbilt Acquisition Loan Trust

  

7.330% due 05/07/2032 (i)

      1,154          1,243   
       

 

 

 

Total Asset-Backed Securities
(Cost $522,183)

   

        554,637   
       

 

 

 
SOVEREIGN ISSUES 2.7%   

Brazil Notas do Tesouro Nacional

  

6.000% due 08/15/2050

  BRL     125,666          26,974   

10.000% due 01/01/2021

      9,588          1,935   

10.000% due 01/01/2025

      15,100          2,731   

Brazil Notas do Tesouro Nacional Inflation Linked Bond

  

6.000% due 05/15/2045

      8,798          1,879   
       

 

 

 

Total Sovereign Issues (Cost $60,496)

    33,519   
       

 

 

 
    SHARES            
COMMON STOCKS 0.8%   
ENERGY 0.0%   

OGX Petroleo e Gas S.A. ADR (b)

      262,786          0   
       

 

 

 
FINANCIALS 0.1%   

EME Reorganization Trust

      5,207,199          52   

TIG FinCo PLC (g)

      662,196          683   
       

 

 

 
          735   
       

 

 

 
UTILITIES 0.7%   

PPL Corp.

      245,814          8,390   

Talen Energy Corp. (b)

      30,703          191   
       

 

 

 
          8,581   
       

 

 

 

Total Common Stocks (Cost $9,782)

    9,316   
       

 

 

 
PREFERRED SECURITIES 0.3%   
BANKING & FINANCE 0.3%   

AgriBank FCB

       

6.875% due 01/01/2024 (e)

    36,000          3,808   
       

 

 

 

Total Preferred Securities
(Cost $3,600)

    3,808   
       

 

 

 
SHORT-TERM INSTRUMENTS 6.8%   
REPURCHASE AGREEMENTS (h) 5.0%   
          62,569   
       

 

 

 
 

 

80   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


 

December 31, 2015 (Unaudited)

 

        PRINCIPAL
AMOUNT
(000S)
       

MARKET
VALUE

(000S)

 
SHORT-TERM NOTES 0.1%   

Federal Home Loan Bank

  

0.244% due 01/26/2016

  $     1,800      $     1,800   
       

 

 

 
U.S. TREASURY BILLS 1.7%   

0.188% due 01/07/2016 - 01/21/2016 (c)(m)

        21,350          21,350   
       

 

 

 
Total Short-Term Instruments
(Cost $85,719)
          85,719   
       

 

 

 
       
Total Investments in Securities
(Cost $2,175,482)
          2,326,446   
       
Total Investments 186.7%
(Cost $2,175,482)
      $     2,326,446   

Financial Derivative
Instruments (j)(l) (0.9%)

(Cost or Premiums, net $(27,080))

    (11,282
Other Assets and Liabilities, net (85.8%)       (1,069,112
       

 

 

 
Net Assets 100.0%      $       1,246,052   
       

 

 

 
 

NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*):

 

* A zero balance may reflect actual amounts rounding to less than one thousand.
^ Security is in default.
(a) Interest only security.
(b) Security did not produce income within the last twelve months.
(c) Coupon represents a weighted average yield to maturity.
(d) Zero coupon bond.
(e) Perpetual maturity; date shown, if applicable, represents next contractual call date.
(f) Security is subject to a forbearance agreement entered into by the Fund which forbears the Fund from taking action to, among other things, accelerate and collect payments on the subject note with respect to specified events of default.

 

(g)  RESTRICTED SECURITIES:

 

Issuer Description                Acquisition
Date
    Cost     Market
Value
    Market Value
as Percentage
of Net Assets
 

Buffalo Thunder Development Authority 0.000% due 11/15/2029

           12/08/2014      $ 0      $ 25        0.00

KGH Intermediate Holdco LLC 8.500% due 08/07/2019

           08/07/2014        17,267        14,695        1.17

Pinnacol Assurance 8.625% due 06/25/2034

           06/23/2014        10,200        10,484        0.84

TIG FinCo PLC

           04/02/2015        982        683        0.05
          

 

 

   

 

 

   

 

 

 
           $     28,449      $     25,887        2.06
          

 

 

   

 

 

   

 

 

 

 

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)
 

DEU

  0.350%     12/31/2015        01/04/2016      $ 5,100      U.S. Treasury Bonds 2.875% due 05/15/2043   $ (5,211   $ 5,100      $ 5,100   

IND

  0.480     12/31/2015        01/04/2016            52,100      U.S. Treasury Notes 1.375% due 08/31/2020     (53,183     52,100        52,103   

SSB

  0.010     12/31/2015        01/04/2016        5,369      Fannie Mae 2.170% due 10/17/2022     (5,479     5,369        5,369   
           

 

 

   

 

 

   

 

 

 

Total Repurchase Agreements

  

      $     (63,873   $     62,569      $     62,572   
           

 

 

   

 

 

   

 

 

 

 

(1) 

Includes accrued interest.

 

See Accompanying Notes   SEMIANNUAL REPORT   DECEMBER 31, 2015   81


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

 

 

REVERSE REPURCHASE AGREEMENTS:

 

Counterparty   Borrowing
Rate
     Borrowing
Date
     Maturity
Date
   

Amount
Borrowed (3)

    Payable for
Reverse
Repurchase
Agreements
 

BCY

    0.550      11/24/2015         TBD (2)      $        (2,832   $ (2,834
    1.112         11/18/2015         02/17/2016          (1,429     (1,431
    1.650         12/11/2015         03/11/2016          (8,025     (8,034
    1.650         12/16/2015         02/16/2016          (5,993     (5,998
    1.820         10/22/2015         01/22/2016          (23,882     (23,971
    1.844         11/09/2015         02/09/2016          (6,194     (6,212
    1.900         06/30/2015         04/04/2016          (4,356     (4,399
    1.907         11/30/2015         03/01/2016          (4,976     (4,985
    1.907         12/02/2015         03/02/2016          (7,915     (7,929
    1.962         12/08/2015         03/08/2016          (7,990     (8,002
    2.002         12/14/2015         03/14/2016          (11,061     (11,074
    2.079         10/30/2015         02/01/2016          (1,614     (1,620
    2.117         03/24/2015         09/26/2016          (1,015     (1,016
    2.166         10/23/2015         10/24/2016          (15,516     (15,584
    2.169         09/22/2015         09/22/2016          (1,834     (1,845
    2.177         03/24/2015         09/27/2016          (186     (186
    2.183         05/20/2015         11/21/2016          (24,313     (24,378
    2.444         03/24/2015         09/26/2016          (186     (186
    2.444         03/25/2015         09/26/2016          (19,192     (19,205
    2.444         09/25/2015         09/26/2016          (9,386     (9,392

BOS

    1.907         11/27/2015         02/29/2016          (5,655     (5,666
    2.043         12/10/2015         01/11/2016          (13,631     (13,650
    2.120         11/20/2015         02/22/2016          (23,037     (23,098

BPG

    1.781         03/23/2015         03/22/2016          (29,414     (29,424
    2.342         09/01/2015         09/01/2016          (37,844     (38,152
    2.552         12/11/2015         12/09/2016          (8,286     (8,300

BPS

    0.190         10/23/2015         01/25/2016        EUR        (825     (897
    0.450         12/30/2015         01/25/2016          (3,187     (3,464
    0.520         12/30/2015         01/25/2016          (2,945     (3,201
    0.650         10/23/2015         01/25/2016          (2,492     (2,711

BRC

    (1.000      11/30/2015         TBD (2)      GBP        (1,097     (1,615
    1.450         12/07/2015         03/07/2016        $        (6,962     (6,970
    1.650         12/16/2015         02/16/2016          (12,252     (12,263

DBL

    1.875         11/18/2015         02/18/2016        GBP            (14,112     (20,855
    2.662         12/15/2015         09/12/2016        $        (25,349     (25,359

DEU

    1.300         12/29/2015         01/21/2016          (5,048     (5,049

FOB

    2.023         10/06/2015         01/06/2016          (1,740     (1,749
    2.067         12/14/2015         01/14/2016          (7,147     (7,156
    2.172         12/03/2015         03/03/2016          (1,080     (1,082
    2.237         12/10/2015         03/10/2016          (1,065     (1,067

JML

    0.850         11/12/2015         01/12/2016        EUR        (7,588     (8,257
    1.250         11/19/2015         01/19/2016        $        (4,560     (4,567
    1.250         11/23/2015         01/22/2016          (14,046     (14,067
    1.250         12/02/2015         01/06/2016          (12,533     (12,547
    1.250         12/30/2015         01/22/2016          (1,460     (1,460
    1.350         01/06/2016         02/08/2016          (11,896     (11,896

JPS

    1.992         12/11/2015         03/11/2016          (5,923     (5,931

MSB

    2.084         09/08/2015         09/08/2016          (77,853     (77,975
    2.143         08/25/2015         08/25/2016          (53,140     (53,241

RBE

    1.400         10/16/2015         01/18/2016          (10,655     (15,758
    1.750         12/18/2015         03/18/2016        GBP        (2,991     (4,413

RDR

    0.630         12/24/2015         01/14/2016        $        (7,582     (7,583
    0.920         07/28/2015         01/28/2016          (5,853     (5,877
    0.950         08/10/2015         02/10/2016          (6,569     (6,594
    1.150         11/06/2015         05/06/2016          (3,264     (3,270
    1.560         11/06/2015         05/06/2016          (13,369     (13,403
    1.660         07/15/2015         07/14/2016          (35,692     (35,977
    1.810         07/28/2015         07/27/2016          (10,764     (10,851
    1.970         11/30/2015         11/29/2016          (983     (985

RTA

    1.005         09/23/2015         03/23/2016          (3,716     (3,727
    1.021         11/12/2015         05/12/2016          (1,534     (1,536
    1.377         12/29/2015         07/05/2016          (9,012     (9,014
    1.468         10/22/2015         04/22/2016          (1,681     (1,686
    1.611         04/07/2015         04/07/2016          (32,567     (32,963
    1.619         04/13/2015         04/13/2016          (8,672     (8,776
    1.660         05/14/2015         05/16/2016          (44,710     (45,194
    1.661         05/12/2015         05/12/2016          (42,099         (42,559
    1.678         06/01/2015         05/31/2016          (8,496     (8,582
    1.697         06/11/2015         06/10/2016          (11,247     (11,357
    1.720         07/22/2015         07/21/2016          (5,705     (5,750

 

82   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


 

December 31, 2015 (Unaudited)

 

Counterparty   Borrowing
Rate
     Borrowing
Date
     Maturity
Date
   

Amount
Borrowed (3)

    Payable for
Reverse
Repurchase
Agreements
 
    1.767      12/29/2015         09/23/2016        $        (9,226   $ (9,229
    1.872         11/23/2015         11/22/2016          (18,810     (18,851
    2.073         12/28/2015         12/22/2016          (11,912     (11,917
    2.085         12/30/2015         12/22/2016          (10,844     (10,847

SBI

    1.222         12/04/2015         03/04/2016          (8,865     (8,874
    1.324         10/22/2015         04/22/2016          (3,321     (3,330

SOG

    0.820         10/23/2015         01/25/2016          (1,597     (1,600
    0.860         10/29/2015         01/29/2016          (2,434     (2,438
    0.950         11/30/2015         03/01/2016          (14,703     (14,717
    1.801         08/05/2015         02/05/2016          (21,397     (21,560
    1.824         08/17/2015         02/17/2016          (12,362     (12,450
    1.924         10/27/2015         04/27/2016          (10,197     (10,235
    1.924         12/30/2015         04/27/2016          (4,739     (4,740
    1.941         11/09/2015         05/09/2016          (4,631     (4,645
    2.002         11/27/2015         05/27/2016          (19,455     (19,496
    2.062         12/08/2015         06/08/2016          (15,171     (15,194
    2.087         06/15/2015         06/15/2016          (20,908     (21,036

UBS

    0.850         10/15/2015         01/15/2016          (1,873     (1,877
    0.860         10/16/2015         01/18/2016        EUR            (17,415     (18,962
    0.880         10/16/2015         01/18/2016        GBP        (4,702     (6,946
    0.900         11/03/2015         05/03/2016        $        (847     (848
    0.950         10/15/2015         01/15/2016          (6,845     (6,860
    1.000         12/14/2015         01/28/2016          (4,936     (4,939
    1.000         12/18/2015         01/28/2016          (1,310     (1,311
    1.380         10/28/2015         01/28/2016        GBP        (2,787     (4,120
    1.481         10/02/2015         01/05/2016          (11,577     (17,133
    1.737         11/06/2015         02/08/2016        $        (4,585     (4,598
    1.770         10/23/2015         01/25/2016          (3,354     (3,366
    1.790         03/24/2015         01/04/2016          (2,974     (3,016
             

 

 

 

Total Reverse Repurchase Agreements

  

      $     (1,100,940
             

 

 

 

 

(2) 

Open maturity reverse repurchase agreement.

(3) 

The average amount of borrowings outstanding during the period ended December 31, 2015 was $(1,065,625) at a weighted average interest rate of 1.609%.

 

BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY

 

The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral (received)/pledged as of December 31, 2015:

 

(i) Securities with an aggregate market value of $1,449,647 and cash of $3,628 have been pledged as collateral under the terms of the following master agreements as of December 31, 2015.

 

Counterparty   Repurchase
Agreement
Proceeds
to be
Received
     Payable for
Reverse
Repurchase
Agreements
     Payable for
Sale-Buyback
Transactions
     Total
Borrowings and
Other Financing
Transactions
     Collateral
(Received)/Pledged
     Net Exposure  (4)  

Global/Master Repurchase Agreement

                

BCY

  $ 0       $ (158,281    $ 0       $     (158,281    $ 207,082       $ 48,801   

BOS

    0         (42,414      0         (42,414      59,984         17,570   

BPG

    0         (75,876      0         (75,876      104,341         28,465   

BPS

    0         (10,273      0         (10,273      11,282         1,009   

BRC

    0         (20,848      0         (20,848      25,008         4,160   

DBL

    0         (46,214      0         (46,214      79,578         33,364   

DEU

    5,100         (5,049      0         51         955         1,006   

FOB

    0         (11,054      0         (11,054      15,501         4,447   

IND

    52,103         0         0         52,103         (53,183      (1,080

JML

    0         (52,794      0         (52,794      51,589         1,205   

JPS

    0         (5,931      0         (5,931      8,397         2,466   

MSB

    0         (131,216      0         (131,603          181,625             50,022   

RBE

    0         (20,171      0         (20,171      23,341         3,170   

RDR

    0         (84,540      0         (84,540      101,021         16,481   

RTA

    0         (221,988      0         (221,988      298,608         76,620   

SBI

    0         (12,204      0         (12,204      14,123         1,919   

SOG

    0         (128,111      0         (128,111      175,398         47,287   

SSB

    5,369         0         0         5,369         (5,479      (110

UBS

    0         (73,976      0         (73,976      90,233         16,257   
 

 

 

    

 

 

    

 

 

          

Total Borrowings and Other Financing Transactions

  $     62,572       $     (1,100,940    $     0            
 

 

 

    

 

 

    

 

 

          

 

(4) 

Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. The Fund and Subsidiary are recognized as two separate legal entities. As such, exposure cannot be netted. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements.

 

See Accompanying Notes   SEMIANNUAL REPORT   DECEMBER 31, 2015   83


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

 

 

CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS

 

Remaining Contractual Maturity of the Agreements

 

     Overnight and
Continuous
     Up to 30 days      31-90 days      Greater Than 90 days     Total  

Reverse Repurchase Agreements

  

       

Asset-Backed Securities

  $ 0       $ (8,192    $ (71,310    $ (168,810   $ (248,312

Corporate Bonds & Notes

    0         (102,819      (51,708      (15,847     (170,374

Non-Agency Mortgage-Backed Securities

    0         (87,643      (107,530      (458,011     (653,184

U.S. Government Agencies

    0         (5,878      (8,026      (3,270     (17,174
 

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Total Borrowings

  $     0       $     (204,532    $     (238,574    $     (645,938   $     (1,089,044
 

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Gross amount of recognized liabilities for reverse repurchase agreements (5)

  

  $ (1,089,044
            

 

 

 

 

(5) 

Unsettled reverse repurchase agreements liability of $(11,896) is outstanding at period end.

 

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

 

SWAP AGREEMENTS:

 

INTEREST RATE SWAPS

 

Pay/Receive
Floating Rate
   Floating Rate Index    Fixed Rate     Maturity
Date
     Notional
Amount
    Market
Value
     Unrealized
Appreciation/
(Depreciation)
     Variation Margin  
                   Asset      Liability  

Receive

  

3-Month USD-LIBOR

     4.000     06/20/2022       $     134,000      $ (17,393    $ 8,823       $ 0       $ (341

Pay

  

3-Month USD-LIBOR

     2.500        12/16/2025         310,400        8,481         4,420         1,130         0   

Receive

  

3-Month USD-LIBOR

     2.750        03/20/2043         76,400        (2,158      (3,689      0         (613

Receive

  

3-Month USD-LIBOR

     3.750        06/18/2044         12,200        (2,835      (2,808      0         (115

Receive

  

3-Month USD-LIBOR

     3.500        12/17/2044         44,200        (8,005      (5,398      0         (408

Receive

  

3-Month USD-LIBOR

     3.250        06/17/2045         45,600        (5,861          (2,131      0         (412

Receive

  

3-Month USD-LIBOR

     2.750        12/16/2045         3,800        (95      (139      0         (32
            

 

 

    

 

 

    

 

 

    

 

 

 
             $     (27,866    $ (922    $     1,130       $     (1,921
            

 

 

    

 

 

    

 

 

    

 

 

 

Total Swap Agreements

  

       $ (27,866    $ (922    $ 1,130       $ (1,921
            

 

 

    

 

 

    

 

 

    

 

 

 

 

FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED SUMMARY

 

The following is a summary of the market value and variation margin of Exchange-Traded or Centrally Cleared Financial Derivative Instruments as of December 31, 2015:

 

(k) Securities with an aggregate market value of $4,965 and cash of $17,059 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2015.

 

    Financial Derivative Assets         Financial Derivative Liabilities  
    Market Value     Variation Margin
Asset
              Market Value     Variation Margin
Liability
   

Total

 
     Purchased
Options
    Futures     Swap
Agreements
    Total         Written
Options
    Futures     Swap
Agreements
   

Total Exchange-Traded or Centrally Cleared

  $     0      $     0      $     1,130      $     1,130        $     0      $     0      $     (1,921)      $     (1,921)   
 

 

 

   

 

 

   

 

 

   

 

 

     

 

 

   

 

 

   

 

 

   

 

 

 

 

(l)  FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER

 

FORWARD FOREIGN CURRENCY CONTRACTS:

 

Counterparty    Settlement
Month
     Currency to
be Delivered
     Currency to
be Received
    Unrealized Appreciation/
(Depreciation)
 
           Asset     Liability  

BOA

     01/2016       $          1,042         GBP        691      $ 0      $ (24
                

BPS

     01/2016         BRL        8,751       $          2,311        99        0   
     01/2016       $          2,317         BRL        8,751        0        (105
                

CBK

     01/2016         BRL        26,294       $          6,734        87        0   
     01/2016         EUR        6,414           6,964        0        (7
     01/2016       $          6,931         BRL        26,294        0        (285
     01/2016           79,912         GBP        53,626        0          (856
     02/2016         GBP        42,049       $          62,405        411        0   
     02/2016       $          1,198         EUR        1,096        0        (6
                

DUB

     01/2016         BRL        273,638       $          72,355          3,189        0   
     01/2016         GBP        57,968           87,387        1,931        0   
     01/2016       $          69,928         BRL        273,638        0          (762

 

84   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


 

December 31, 2015 (Unaudited)

 

Counterparty    Settlement
Month
     Currency to
be Delivered
     Currency to
be Received
    Unrealized Appreciation/
(Depreciation)
 
           Asset     Liability  
     02/2016         BRL        167,097       $          42,227      $ 406      $ 0   
     02/2016       $          2,914         BRL        11,467        0        (44
                

GLM

     01/2016           806         EUR        742        1        0   
                

HUS

     01/2016         BRL        22,093       $          5,658        74        0   
     01/2016         EUR        74,006           78,866        0        (1,560
     01/2016       $          5,788         BRL        22,093        0        (204
                

JPM

     01/2016         BRL        33,450       $          8,566        111        0   
     01/2016       $          8,675         BRL        33,450        0        (220
     01/2016           4,452         GBP        2,980        0        (59
     02/2016           683         BRL        2,788        15        0   
                

MSB

     01/2016         BRL        22,888       $          5,862        76        0   
     01/2016       $          5,876         BRL        22,888        0        (90
                

UAG

     01/2016           87,032         EUR        79,678        0        (442
     01/2016           1,007         GBP        671        0        (18
     02/2016         EUR        79,678       $          87,094        444        0   
              

 

 

   

 

 

 

Total Forward Foreign Currency Contracts

  

  $   6,844      $   (4,682
              

 

 

   

 

 

 

 

SWAP AGREEMENTS:

 

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

 

Counterparty   Reference Entity   Fixed
Receive Rate
    Maturity
Date
    Implied
Credit Spread at
December 31, 2015 (2)
    Notional
Amount  (3)
    Premiums
(Received)
    Unrealized
Appreciation/
(Depreciation)
    Swap Agreements, at Value  
                Asset     Liability  
GST  

Chesapeake Energy Corp.

    5.000     09/20/2020        44.490     $    100      $ (10   $ (60   $ 0      $ (70
                 
HUS  

Petrobras Global Finance BV

    1.000        09/20/2020        10.013        240        (34     (41     0        (75
                 
JPM  

Russia Government International Bond

    1.000        12/20/2020        3.062            1,200        (138     28        0        (110
           

 

 

   

 

 

   

 

 

   

 

 

 
            $     (182   $     (73   $     0      $     (255
           

 

 

   

 

 

   

 

 

   

 

 

 

 

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

 

Counterparty   Index/Tranches   Fixed
Receive Rate
    Maturity
Date
    Notional
Amount  (3)
    Premiums
(Received)
    Unrealized
Appreciation
    Swap Agreements, at Value (4)  
              Asset     Liability  
FBF  

ABX.HE.AA.6-2 Index

    0.170%        05/25/2046      $     30,253      $     (26,886   $     14,869      $     0      $     (12,017
         

 

 

   

 

 

   

 

 

   

 

 

 

 

(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 or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

(2) 

Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as an indicator 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 on credit indices serve as an indicator 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 referenced indices’ credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

 

INTEREST RATE SWAPS

 

Counterparty   Pay/Receive
Floating Rate
  Floating Rate Index   Fixed Rate     Maturity
Date
    Notional
Amount
    Premiums
Paid/(Received)
    Unrealized
(Depreciation)
    Swap Agreements, at Value  
                Asset     Liability  
BPS  

Pay

 

1-Year BRL-CDI

    15.590     01/04/2021        BRL        6,800      $ 0      $ (32   $ 0      $ (32
                   
GLM  

Pay

 

1-Year BRL-CDI

    11.680        01/04/2021          9,900        (14     (313     0        (327
                   
MYC  

Pay

 

1-Year BRL-CDI

    15.590        01/04/2021          4,730        2        (24     0        (22
             

 

 

   

 

 

   

 

 

   

 

 

 
              $ (12   $ (369   $ 0      $ (381
             

 

 

   

 

 

   

 

 

   

 

 

 

Total Swap Agreements

          $     (27,080   $     14,427      $     0      $     (12,653
             

 

 

   

 

 

   

 

 

   

 

 

 

 

See Accompanying Notes   SEMIANNUAL REPORT   DECEMBER 31, 2015   85


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

 

 

FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER SUMMARY

 

The following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral (received)/pledged as of December 31, 2015:

 

(m) Securities with an aggregate market value of $15,839 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2015.

 

    Financial Derivative Assets          Financial Derivative Liabilities                    
Counterparty   Forward
Foreign
Currency
Contracts
     Purchased
Options
     Swap
Agreements
     Total
Over the
Counter
          Forward
Foreign
Currency
Contracts
    Written
Options
     Swap
Agreements
    Total
Over the
Counter
    Net Market
Value of OTC
Derivatives
    Collateral
(Received)/
Pledged
    Net
Exposure  (5)
 

BOA

  $ 0       $ 0       $ 0       $ 0         $ (24   $ 0       $ 0      $ (24   $ (24   $ 0      $ (24

BPS

    99         0         0         99           (105     0         (32     (137     (38     0        (38

CBK

    498         0         0         498           (1,154     0         0        (1,154     (656     762        106   

DUB

    5,526         0         0         5,526           (806     0         0        (806     4,720        (7,710     (2,990

FBF

    0         0         0         0           0        0         (12,017     (12,017     (12,017     12,081        64   

GLM

    1         0         0         1           0        0         (327     (327     (326     290        (36

GST

    0         0         0         0           0        0         (70     (70     (70     0        (70

HUS

    74         0         0         74           (1,764     0         (75     (1,839     (1,765     2,385        620   

JPM

    126         0         0         126           (279     0         (110     (389     (263     321        58   

MSB

    76         0         0         76           (90     0         0        (90     (14     0        (14

MYC

    0         0         0         0           0        0         (22     (22     (22     0        (22

UAG

    444         0         0         444           (460     0         0        (460     (16     0        (16
 

 

 

    

 

 

    

 

 

    

 

 

      

 

 

   

 

 

    

 

 

   

 

 

       

Total Over the Counter

  $ 6,844       $ 0       $ 0       $ 6,844         $ (4,682   $ 0       $ (12,653   $ (17,335      
 

 

 

    

 

 

    

 

 

    

 

 

      

 

 

   

 

 

    

 

 

   

 

 

       

 

(5) 

Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC derivatives can only be netted across transactions governed under the same master agreement with the same legal entity. The Fund and Subsidiary are recognized as two separate legal entities. As such, exposure cannot be netted. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting agreements.

 

FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS

 

The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal Risks, in the Notes to Financial Statements on risks of the Fund.

 

Fair Values of Financial Derivative Instruments on the Consolidated Statements of Assets and Liabilities as of December 31, 2015:

 

    Derivatives not accounted for as hedging instruments  
     Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Exchange
Contracts
     Interest
Rate Contracts
     Total  

Financial Derivative Instruments - Assets

                

Exchange-traded or centrally cleared

                

Swap Agreements

  $ 0       $ 0       $ 0       $ 0       $ 1,130       $ 1,130   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Over the counter

                

Forward Foreign Currency Contracts

  $ 0       $ 0       $ 0       $ 6,844       $ 0       $ 6,844   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
  $ 0       $ 0       $ 0       $ 6,844       $ 1,130       $ 7,974   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Financial Derivative Instruments - Liabilities

                

Exchange-traded or centrally cleared

                

Swap Agreements

  $ 0       $ 0       $ 0       $ 0       $ 1,921       $ 1,921   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Over the counter

                

Forward Foreign Currency Contracts

  $ 0       $ 0       $ 0       $ 4,682       $ 0       $ 4,682   

Swap Agreements

    0         12,272         0         0         381         12,653   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
  $     0       $     12,272       $     0       $     4,682       $ 381       $ 17,335   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
  $ 0       $ 12,272       $ 0       $ 4,682       $     2,302       $     19,256   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

The effect of Financial Derivative Instruments on the Consolidated Statements of Operations for the period ended December 31, 2015:

 

    Derivatives not accounted for as hedging instruments  
     Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Exchange
Contracts
     Interest
Rate Contracts
     Total  

Net Realized Gain (Loss) on Financial Derivative Instruments

  

              

Exchange-traded or centrally cleared

                

Swap Agreements

  $ 0       $ 0       $ 0       $ 0       $ 2,409       $ 2,409   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Over the counter

                

Forward Foreign Currency Contracts

  $ 0       $ 0       $ 0       $ 25,460       $ 0       $ 25,460   

Swap Agreements

    0         (15      0         0         0         (15
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
  $ 0       $ (15    $ 0       $ 25,460       $ 0       $ 25,445   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
  $     0       $     (15    $     0       $     25,460       $     2,409       $     27,854   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

86   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


 

December 31, 2015 (Unaudited)

 

    Derivatives not accounted for as hedging instruments  
     Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Exchange
Contracts
     Interest
Rate Contracts
     Total  

Net Change in Unrealized (Depreciation) on Financial Derivative Instruments

  

        

Exchange-traded or centrally cleared

                

Swap Agreements

  $ 0       $ 0       $ 0       $ 0       $     (10,246    $     (10,246
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Over the counter

                

Forward Foreign Currency Contracts

  $ 0       $ 0       $ 0       $ (5,192    $ 0       $ (5,192

Swap Agreements

    0         (409      0         0         (317      (726
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
  $     0       $     (409    $     0       $ (5,192    $ (317    $ (5,918
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
  $ 0       $ (409    $ 0       $     (5,192    $ (10,563    $ (16,164
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

FAIR VALUE MEASUREMENTS

 

The following is a summary of the fair valuations according to the inputs used as of December 31, 2015 in valuing the Fund’s assets and liabilities:

 

Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
12/31/2015
 

Investments in Securities, at Value

  

   

Bank Loan Obligations

  $ 0      $ 14,189      $ 2,779      $ 16,968   

Corporate Bonds & Notes

       

Banking & Finance

    0        106,096        34,707        140,803   

Industrials

    0        79,139        10,591        89,730   

Utilities

    0        67,799        0        67,799   

Municipal Bonds & Notes

       

Illinois

    0        1,225        0        1,225   

U.S. Government Agencies

    0        24,352        0        24,352   

U.S. Treasury Obligations

    0        5,798        0        5,798   

Non-Agency Mortgage-Backed Securities

    0            1,266,313            26,459            1,292,772   

Asset-Backed Securities

    0        554,448        189        554,637   

Sovereign Issues

    0        33,519        0        33,519   

Common Stocks

       

Financials

    52        0        683        735   

Utilities

        8,581        0        0        8,581   

Preferred Securities

       

Banking & Finance

    0        3,808        0        3,808   
Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
12/31/2015
 

Short-Term Instruments

       

Repurchase Agreements

  $ 0      $ 62,569      $ 0      $ 62,569   

Short-Term Notes

    0        1,800        0        1,800   

U.S. Treasury Bills

    0        21,350        0        21,350   

Total Investments

  $ 8,633      $ 2,242,405      $ 75,408      $ 2,326,446   

Financial Derivative Instruments - Assets

  

     

Exchange-traded or centrally cleared

    0        1,130        0        1,130   

Over the counter

    0        6,844        0        6,844   
  $ 0      $ 7,974      $ 0      $ 7,974   

Financial Derivative Instruments - Liabilities

  

Exchange-traded or centrally cleared

    0        (1,921     0        (1,921

Over the counter

    0        (17,335     0        (17,335
  $ 0      $ (19,256   $ 0      $ (19,256

Totals

  $     8,633      $     2,231,123      $     75,408      $     2,315,164   
 

 

There were no significant transfers between Levels 1 and 2 during the period ended December 31, 2015.

 

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended December 31, 2015:

 

Category and Subcategory   Beginning
Balance
at 06/30/2015
    Net
Purchases
    Net
Sales
    Accrued
Discounts/
(Premiums)
    Realized
Gain/(Loss)
    Net Change in
Unrealized
Appreciation/
(Depreciation) (1)
    Transfers into
Level 3
    Transfers out
of Level 3
    Ending
Balance
at 12/31/2015
    Net Change in
Unrealized
Appreciation/
(Depreciation)
on Investments
Held at
12/31/2015 (1)
 

Investments in Securities, at Value

  

               

Bank Loan Obligations

  $ 725      $ 2,132      $ 0      $ 2      $ 0      $ (80   $ 0      $ 0      $ 2,779      $ (79

Corporate Bonds & Notes

                   

Banking & Finance

    36,902        0        (227     48        4            (2,020     0        0        34,707            (2,029

Industrials

    10,642        0        0        6        0        (57     0        0        10,591        (57

Mortgage-Backed Securities

    19,218        0        (199     (8         10        526            7,157            0            26,459        532   

Asset-Backed Securities

    0        0        0            (21     0        (35     0        0        189        (35

Common Stocks

                   

Financials

    666        0        0        0        0        17        0        0        683        17   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Totals

  $     68,153      $     2,132      $     (426   $ 27      $ 14      $ (1,649   $ 7,157      $ 0      $ 75,408      $ (1,651
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

See Accompanying Notes   SEMIANNUAL REPORT   DECEMBER 31, 2015   87


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

 

December 31, 2015 (Unaudited)

 

 

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

 

Category and Subcategory   Ending
Balance
at 12/31/2015
       Valuation
Technique
   Unobservable
Inputs
   Input Value(s)
(% Unless
Noted
Otherwise)
 

Investments in Securities, at Value

  

          

Bank Loan Obligations

  $ 662         Other Valuation Techniques (2)    —        —     
    2,117         Proxy Pricing    Base Price      95.50   

Corporate Bonds & Notes

            

Banking & Finance

    14,695         Reference Instrument    Spread Movement      653.21 bps   
    20,012         Proxy Pricing    Base Price     
 
99.87-
102.67
 
  

Industrials

    10,591         Proxy Pricing    Base Price      100.09   

Mortgage-Backed Securities

    26,459         Proxy Pricing    Base Price      0.00-106.50   

Asset-Backed Securities

    189         Proxy Pricing    Base Price      3.78   

Common Stocks

            

Financials

    683         Other Valuation Techniques (2)         —     
 

 

 

            

Total

  $     75,408              
 

 

 

            

 

(1) 

Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at December 31, 2015 may be due to an investment no longer held or categorized as Level 3 at period end.

(2) 

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

 

88   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


Notes to Financial Statements

 

December 31, 2015 (Unaudited)

 

1. ORGANIZATION

 

PCM Fund, Inc., PIMCO Global StocksPLUS® & Income Fund, PIMCO Income Opportunity Fund, PIMCO Strategic Income Fund, Inc., PIMCO Dynamic Credit Income Fund and PIMCO Dynamic Income Fund (each a “Fund” and collectively the “Funds”) are organized as closed-end management investment companies registered under the Investment Company Act of 1940, as amended, and the rules and regulations thereunder (the “Act”). PIMCO Global StocksPLUS® & Income Fund, PIMCO Income Opportunity Fund, PIMCO Dynamic Credit Income Fund and PIMCO Dynamic Income Fund (each a “Fund” and collectively the “Funds”) were organized as Massachusetts business trusts on the dates shown in the table below. PCM Fund, Inc. and PIMCO Strategic Income Fund, Inc. were organized as Maryland corporations on the dates shown in the table below. Pacific Investment Management Company LLC (“PIMCO” or the “Manager”) serves as the Funds’ investment manager.

 

Fund Name       Formation Date  

PCM Fund, Inc.

      June 23, 1993   

PIMCO Global StocksPLUS® & Income Fund

      February 16, 2005   

PIMCO Income Opportunity Fund

      September 12, 2007   

PIMCO Strategic Income Fund, Inc.

      December 9, 1993   

PIMCO Dynamic Credit Income Fund

      September 27, 2012   

PIMCO Dynamic Income Fund

      January 19, 2011   

 

PCM Fund, Inc. has the authority to issue 300 million shares of $0.001 par value common stock. PIMCO Strategic Income Fund, Inc. has the authority to issue 500 million shares of $0.00001 par value common stock. PIMCO Global StocksPLUS® & Income Fund, PIMCO Income Opportunity Fund, PIMCO Dynamic Credit Income Fund and PIMCO Dynamic Income Fund have authorized an unlimited number of Common Shares at a par value of $0.00001 per share. PIMCO Dynamic Credit Income Fund issued 121,000,000 shares in its initial public offering. An additional 16,204,500 shares were issued in connection with the underwriter’s over-allotment option. These shares were all issued at $25.00 per share before an underwriting discount of $1.125 per share. Offering costs of $1,895,440 (representing approximately $0.01 per share) were offset against the proceeds of the offering and over-allotment option and have been charged to paid-in capital in excess of par.

 

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

 

2. SIGNIFICANT ACCOUNTING POLICIES

 

The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”). Each Fund is treated as an investment company under the reporting requirements of U.S. GAAP. The preparation of financial statements in accordance with U.S.

GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

 

(a) Securities Transactions and Investment Income  Securities transactions are recorded as of the trade date for financial reporting purposes. Securities purchased or sold on a when-issued or delayed-delivery basis may be settled 15 days or more after the trade date. Realized gains and losses from securities sold are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date, except certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as a Fund is informed of the ex-dividend date. Interest income, adjusted for the accretion of discounts and amortization of premiums, is recorded on the accrual basis from settlement date. For convertible securities, premiums attributable to the conversion feature are not amortized. Estimated tax liabilities on certain foreign securities are recorded on an accrual basis and are reflected as components of interest income or net change in unrealized appreciation/depreciation on investments on the Statements of Operations, as appropriate. Tax liabilities realized as a result of such security sales are reflected as a component of net realized gain/loss on investments on the Statements of Operations. Paydown gains and losses on mortgage-related and other asset-backed securities are recorded as components of interest income on the Statements of Operations. Income or short-term capital gain distributions received from underlying funds are recorded as dividend income. Long-term capital gain distributions received from underlying funds are recorded as realized gains.

 

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

 

(b) Cash and Foreign Currency  The functional and reporting currency for the Funds is the U.S. dollar. The market values of foreign securities, currency holdings and other assets and liabilities are translated into U.S. dollars based on the current exchange rates each business day. Purchases and sales of securities and income and expense items denominated in foreign currencies, if any, are translated into U.S. dollars at the exchange rate in effect on the transaction date. The Funds do not separately report the effects of changes in foreign exchange rates from changes in market prices on securities held. Such changes are included in net realized and net changes in unrealized

 

 

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Notes to Financial Statements (Cont.)

 

appreciation (depreciation) from investments on the Statements of Operations. The Funds may invest in foreign currency-denominated securities and may engage in foreign currency transactions either on a spot (cash) basis at the rate prevailing in the currency exchange market at the time or through a forward foreign currency contract (see Financial Derivative Instruments). Realized foreign exchange gains or losses arising from sales of spot foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions and the difference between the recorded amounts of dividends, interest, and foreign withholding taxes and the U.S. dollar equivalent of the amounts actually received or paid are included in net realized gain (loss) on foreign currency transactions on the Statements of Operations. Net unrealized foreign exchange gains and losses arising from changes in foreign exchange rates on foreign denominated assets and liabilities other than investments in securities held at the end of the reporting period are included in net change in unrealized appreciation or depreciation on foreign currency assets and liabilities on the Statements of Operations.

 

(c) Distributions — Common Shares  The Funds intend to declare distributions from net investment income and gains from the sale of portfolio securities and other sources to common shareholders monthly. Net realized capital gains earned by each Fund, if any, will be distributed no less frequently than once each year. A Fund may engage in investment strategies, including the use of derivatives, to, among other things, generate current, distributable income without regard to possible declines in the Fund’s net asset value. A Fund’s income and gain-generating strategies, including certain derivatives strategies, may generate current income and gains for monthly distributions even in situations when the Fund has experienced a decline in net assets, including losses due to adverse changes in securities markets or the Fund’s portfolio of investments, including derivatives. Consequently, common shareholders may receive distributions and owe tax at a time when their investment in a Fund has declined in value, which tax may be at ordinary income rates. Also, the tax treatment of certain derivatives may be open to different interpretations. Any recharacterization of payments made or received by a Fund pursuant to derivatives potentially could affect the amount, timing or character of Fund distributions. In addition, the tax treatment of such investment strategies may be changed by regulation or otherwise.

 

Income distributions and capital gain distributions are determined in accordance with income tax regulations which may differ from U.S. GAAP. Differences between tax regulations and U.S. GAAP may cause timing differences between income and capital gain recognition. Examples of events that give rise to timing differences include wash sales, straddles and capital loss carryforwards. Further, the character of investment income and capital gains may be different for certain

transactions under the two methods of accounting. Examples of characterization differences include the treatment of paydowns on mortgage-backed securities, swaps, foreign currency transactions and contingent debt instruments. As a result, income distributions and capital gain distributions declared during a fiscal period may differ significantly from the net investment income (loss) and realized gains (losses) reported on each Fund’s annual financial statements presented under U.S. GAAP.

 

Distributions classified as a tax basis return of capital, if any, are reflected on the Statements of Changes in Net Assets and have been recorded to paid in capital. In addition, other amounts have been reclassified between undistributed (overdistributed) net investment income (loss), accumulated undistributed (overdistributed) net realized gains (losses) and/or paid in capital to more appropriately conform financial accounting to tax characterizations of distributions.

 

(d) Statements of Cash Flows  U.S. GAAP requires entities providing financial statements that report both financial position and results of operations to also provide a statement of cash flows for each period for which results of operations are provided, but exempts investment companies meeting certain conditions. One of the conditions is that substantially all of the enterprise’s investments were carried at fair value during the period and classified as Level 1 or Level 2 in the fair value hierarchy in accordance with the requirements of U.S. GAAP. Another condition is that the enterprise had little or no debt, based on the average debt outstanding during the period, in relation to average total assets. Funds with certain degrees of borrowing activity, typically through the use of reverse repurchase agreements, sale-buyback transactions or mortgage dollar rolls, have been determined to be at a level requiring a Statement of Cash Flows. Statements of Cash Flows, as applicable, have been prepared using the indirect method which requires net change in net assets resulting from operations to be adjusted to reconcile to net cash flows from operating activities.

 

(e) New Accounting Pronouncements  In June 2014, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) 2014-11 that expanded secured borrowing accounting for certain repurchase agreements. The ASU also sets forth additional disclosure requirements for certain transactions accounted for as sales in order to provide financial statement users with information to compare to similar transactions accounted for as secured borrowings. The ASU became effective prospectively for annual periods beginning after December 15, 2014, and interim periods beginning after March 15, 2015. The Funds have adopted the ASU. The financial statements have been modified to provide enhanced disclosures surrounding secured borrowing transactions. See the Notes to Schedule of Investments for additional details.

 

 

90   PIMCO CLOSED-END FUNDS     


 

December 31, 2015 (Unaudited)

 

 

In August 2014, the FASB issued ASU 2014-15 requiring management to evaluate whether there are conditions or events, considered in the aggregate, that raise substantial doubt about the entity’s ability to continue as a going concern. The ASU is effective prospectively for annual periods ending after December 15, 2016, and interim periods thereafter. At this time, management is evaluating the implications of these changes on the financial statements.

 

In May 2015, the FASB issued ASU 2015-07 which removes the requirement to categorize within the fair value hierarchy all investments for which fair value is measured using the net asset value per share practical expedient. The ASU also removes the requirement to make certain disclosures for all investments that are eligible to be measured at fair value using the net asset value per share practical expedient. The ASU is effective for annual periods beginning after December 15, 2015 and interim periods within those annual periods. At this time, management is evaluating the implications of these changes on the financial statements.

 

3. INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS

 

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

 

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

 

For purposes of calculating NAV, portfolio securities and other assets for which market quotes are readily available are valued at market value. Market value is generally determined on the basis of official closing prices or the last reported sales prices, or if no sales are reported, based on quotes obtained from established market makers or prices (including evaluated prices) supplied by the Funds’ approved pricing services, quotation reporting systems and other third-party sources (together, “Pricing Services”). The Funds will normally use pricing data for domestic equity securities received shortly after the NYSE Close and do not normally take into account trading, clearances or settlements that take place after the NYSE Close. A foreign (non-U.S.) equity security traded on a foreign exchange or on more than one exchange is typically valued using pricing information from the exchange considered by PIMCO to be the primary exchange. A foreign

(non-U.S.) equity security will be valued as of the close of trading on the foreign exchange, or the NYSE Close, if the NYSE Close occurs before the end of trading on the foreign exchange. Domestic and foreign (non-U.S.) fixed income securities, non-exchange traded derivatives, and equity options are normally valued on the basis of quotes obtained from brokers and dealers or Pricing Services using data reflecting the earlier closing of the principal markets for those securities. Prices obtained from Pricing Services may be based on, among other things, information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. Certain fixed income securities purchased on a delayed-delivery basis are marked to market daily until settlement at the forward settlement date. Exchange- traded options, except equity options, futures and options on futures are valued at the settlement price determined by the relevant exchange. Swap agreements are valued on the basis of bid quotes obtained from brokers and dealers or market-based prices supplied by Pricing Services or other pricing sources. With respect to any portion of a Fund’s assets that are invested in one or more open-end management investment companies (other than exchange-traded funds (“ETFs”)), a Fund’s NAV will be calculated based upon the NAVs of such investments.

 

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

 

Senior secured floating rate loans for which an active secondary market exists to a reliable degree will be valued at the mean of the last available bid/ask prices in the market for such loans, as provided by a Pricing Service. Senior secured floating rate loans for which an active

 

 

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Notes to Financial Statements (Cont.)

 

secondary market does not exist to a reliable degree will be valued at fair value, which is intended to approximate market value. In valuing a senior secured floating rate loan at fair value, the factors considered may include, but are not limited to, the following: (a) the creditworthiness of the borrower and any intermediate participants, (b) the terms of the loan, (c) recent prices in the market for similar loans, if any, and (d) recent prices in the market for instruments of similar quality, rate, period until next interest rate reset and maturity.

 

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

 

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

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

 

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

 

n   

Level 1 — Inputs using (unadjusted) quoted prices in active markets or exchanges for identical assets and liabilities.

 

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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.

 

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

 

Assets or liabilities categorized as Level 2 or 3 as of period end have been transferred between Levels 2 and 3 since the prior period due to changes in the valuation 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 valuation methods used by

 

 

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December 31, 2015 (Unaudited)

 

third-party pricing services (Level 2) to the use of a broker quote or valuation technique which utilizes significant unobservable inputs due to an absence of current or reliable market-based data (Level 3). Transfers from Level 3 to Level 2 are a result of the availability of current and reliable market-based data provided by third-party pricing services or other valuation techniques which utilize significant observable inputs. In accordance with the requirements of U.S. GAAP, the amounts of transfers between Levels 1 and 2 and transfers in and out of Level 3, if material, are disclosed in the Notes to Schedules of Investments of each respective Fund.

 

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

 

(c) Valuation Techniques and the Fair Value Hierarchy

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

 

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

 

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

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

 

Common stocks, ETFs, exchange-traded notes and financial derivative instruments, such as futures contracts 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 valued (denominated) in currencies other than the U.S. dollar are converted to the U.S. dollar using exchange rates (currency spot and forward rates) obtained from Pricing Services. As a result, the NAV of a Fund’s shares may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of 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 a Fund is not open for business. Valuation adjustments may be applied to certain securities that are solely traded on a foreign exchange to account for the market movement between the close of the foreign market and the NYSE Close. These securities are valued using Pricing Services that consider the correlation of the trading patterns of the foreign security to the intraday trading in the U.S. markets for investments. Securities using these valuation adjustments are categorized as Level 2 of the fair value hierarchy. Preferred securities and other equities traded on inactive markets or valued by reference to similar instruments are also categorized as Level 2 of the fair value hierarchy.

 

Short-term debt instruments (such as commercial paper) having a remaining maturity of 60 days or less may be valued at amortized cost, so long as the amortized cost of such short-term debt instrument is approximately the same as the fair value of the instrument as determined without the use of amortized cost valuation. Prior to July 31, 2015, short-term investments having a maturity of 60 days or less and repurchase agreements were generally valued at amortized cost which approximates fair value. Short-term debt instruments having a remaining maturity of 60 days or less are categorized as Level 2 of the fair value hierarchy.

 

Equity exchange-traded options and over the counter financial derivative instruments, such as foreign currency contracts, options

 

 

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Notes to Financial Statements (Cont.)

 

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

 

Centrally cleared swaps listed or traded on a multilateral or trade facility platform, such as a registered exchange, are valued at the daily settlement price determined by the respective exchange (if available). For centrally cleared credit default swaps the clearing facility requires its members to provide actionable price levels across complete term structures. These levels, along with external third-party prices, are used to produce daily settlement prices. These securities are categorized as Level 2 of the fair value hierarchy. Centrally cleared interest rate swaps are valued using a pricing model that references the underlying rates including the overnight index swap rate and London Interbank Offered Rate (“LIBOR”) forward rate to produce the daily settlement price. These securities are categorized as Level 2 of the fair value hierarchy.

 

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

 

Proxy pricing procedures set the base price of a fixed income security and subsequently adjust the price proportionally to market value changes of a pre-determined security deemed to be comparable in duration, generally a U.S. Treasury or sovereign note based on country of issuance. The base price may be a broker-dealer quote, transaction price, or an internal value as derived by analysis of market data. The base price of the security may be reset on a periodic basis based on the availability of market data and procedures approved by the Valuation Oversight Committee. Significant changes in the unobservable inputs of the proxy pricing process (the base price) would result in direct and

proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.

 

If third-party evaluated vendor pricing is not available or not deemed to be indicative of fair value, the Manager may elect to obtain indicative market quotations (“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.

 

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

 

The validity of the fair value is reviewed by the Manager on a periodic basis and may be amended in accordance with the Fund’s valuation procedures.

 

4. SECURITIES AND OTHER INVESTMENTS

 

(a) Investments in Securities

Inflation-Indexed Bonds  Certain Funds may invest in inflation-indexed bonds. Inflation-indexed bonds are fixed income securities whose principal value is periodically adjusted to the rate of inflation. In general, the value of an inflation-indexed security tends to decrease when real interest rates increase and can increase when real interest rates decrease. Thus generally, during periods of rising inflation, the value of inflation-indexed securities will tend to increase and during periods of deflation, their value will tend to decrease. The interest rate on these bonds is generally fixed at issuance at a rate lower than typical bonds. Over the life of an inflation-indexed bond, however, interest will be paid based on a principal value which is adjusted for inflation. Any increase or decrease in the principal amount of an inflation-indexed bond will be included as interest income on the Statements of Operations, even though investors do not receive their principal until maturity. Repayment of the original bond principal upon maturity (as adjusted for inflation) is guaranteed in the case of U.S. Treasury inflation-indexed bonds. For bonds that do not provide a similar guarantee, the adjusted principal value of the bond repaid at maturity may be less than the original principal.

 

 

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December 31, 2015 (Unaudited)

 

 

Loan Participations, Assignments and Originations  Certain Funds may invest in direct debt instruments which are interests in amounts owed to lenders or lending syndicates by corporate, governmental, or other borrowers. A Fund’s investments in loans may be in the form of direct investments, participations in loans or assignments of all or a portion of loans from third parties or investments in or originations of loans by a Fund or Funds. A loan is often administered by a bank or other financial institution (the “lender”) that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. A Fund may invest in multiple series or tranches of a loan, which may have varying terms and carry different associated risks. A Fund generally has no right to enforce compliance with the terms of the loan agreement with the borrower. As a result, a Fund may be subject to the credit risk of both the borrower and the lender that is selling the loan agreement.

 

In the event of the insolvency of the lender selling a participation, a Fund may be treated as a general creditor of the lender and may not benefit from any set-off between the lender and the borrower. When a Fund purchases assignments from lenders it acquires direct rights against the borrowers of the loans. These loans may include participations in bridge loans, which are loans taken out by borrowers for a short period (typically less than one year) pending arrangement of more permanent financing through, for example, the issuance of bonds, frequently high yield bonds issued for the purpose of acquisitions.

 

Investments in loans are generally subject to risks similar to those of investments in other types of debt obligations, including, among others, credit risk, interest rate risk, variable and floating rate securities risk, and risks associated with mortgage-related securities. In addition, in many cases loans are subject to the risks associated with below-investment grade securities. The Funds may be subject to heightened or additional risks and potential liabilities and costs by investing in mezzanine and other subordinated loans or acting as an originator of loans, including those arising under bankruptcy, fraudulent conveyance, equitable subordination, lender liability, environmental and other laws and regulations, and risks and costs associated with debt servicing and taking foreclosure actions associated with the loans. To the extent that a Fund originates a loan, it may be responsible for all or a substantial portion of the expenses associated with initiating the loan. This may include significant legal and due diligence expenses, which will be indirectly borne by the Fund and its shareholders. A Fund may pay fees and expenses associated with originating a loan, including significant legal and due diligence expenses, irrespective of whether the loan transaction is ultimately consummated or closed.

 

The types of loans and related investments in which the Funds may invest include, among others, senior loans, subordinated loans (including second lien loans, B-Notes and mezzanine loans), whole

loans, commercial real estate and other commercial loans and structured loans. The Funds may originate loans or acquire direct interests in loans through primary loan distributions and/or in private transactions. In the case of subordinated loans, there may be significant indebtedness ranking ahead of the borrower’s obligation to the holder of such a loan, including in the event of the borrower’s insolvency. Mezzanine loans are typically secured by a pledge of an equity interest in the mortgage borrower that owns the real estate rather than an interest in a mortgage.

 

Investments in loans may include unfunded loan commitments, which are contractual obligations for future funding. Unfunded loan commitments may include revolving credit facilities, which may obligate a Fund to supply additional cash to the borrower on demand. Unfunded loan commitments represent a future obligation in full, even though a percentage of the committed amount may not be utilized by the borrower. When investing in a loan participation, a Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan agreement and only upon receipt of payments by the lender from the borrower. A Fund may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a loan. In certain circumstances, a Fund may receive a penalty fee upon the prepayment of a loan by a borrower. Fees earned or paid are recorded as a component of interest income or interest expense, respectively, on the Statements of Operations. As of December 31, 2015, the Funds had no unfunded loan commitments outstanding.

 

Mortgage-Related and Other Asset-Backed Securities  Certain Funds may invest in mortgage-related and other asset-backed securities that directly or indirectly represent a participation in, or are secured by and payable from, loans on real property. Mortgage-related securities are created from pools of residential or commercial mortgage loans, including mortgage loans made by savings and loan institutions, mortgage bankers, commercial banks and others. These securities provide a monthly payment which consists of both interest and principal. Interest may be determined by fixed or adjustable rates. The rate of prepayments on underlying mortgages will affect the price and volatility of a mortgage-related security, and may have the effect of shortening or extending the effective duration of the security relative to what was anticipated at the time of purchase. The timely payment of principal and interest of certain mortgage-related securities is guaranteed with the full faith and credit of the U.S. Government. Pools created and guaranteed by non-governmental issuers, including government-sponsored corporations, may be supported by various forms of insurance or guarantees, but there can be no assurance that private insurers or guarantors can meet their obligations under the insurance policies or guarantee arrangements. Many of the risks of investing in mortgage-related securities secured by commercial

 

 

  SEMIANNUAL REPORT   DECEMBER 31, 2015   95


Notes to Financial Statements (Cont.)

 

mortgage loans reflect the effects of local and other economic conditions on real estate markets, the ability of tenants to make lease payments, and the ability of a property to attract and retain tenants. These securities may be less liquid and may exhibit greater price volatility than other types of mortgage-related or other asset-backed securities. Other asset-backed securities are created from many types of assets, including auto loans, credit card receivables, home equity loans, and student loans.

 

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

 

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

 

Collateralized Debt Obligations  (“CDOs”) include Collateralized Bond Obligations (“CBOs”), Collateralized Loan Obligations (“CLOs”) and other similarly structured securities. CBOs and CLOs are types of asset-backed securities. A CBO is a trust which is typically backed by a

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

 

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

 

 

96   PIMCO CLOSED-END FUNDS     


 

December 31, 2015 (Unaudited)

 

Payments received for IOs are included in interest income on the Statements of Operations. Because no principal will be received at the maturity of an IO, adjustments are made to the cost of the security on a monthly basis until maturity. These adjustments are included in interest income on the Statements of Operations. Payments received for POs are treated as reductions to the cost and par value of the securities.

 

Payment In-Kind Securities  Certain Funds may invest in payment in-kind securities (“PIKs”). PIKs may give the issuer the option at each interest payment date of making interest payments in either cash or additional debt securities. Those additional debt securities usually have the same terms, including maturity dates and interest rates, and associated risks as the original bonds. The daily market quotations of the original bonds may include the accrued interest (referred to as a dirty price) and require a pro rata adjustment from the unrealized appreciation or depreciation on investments to interest receivable on the Statements of Assets and Liabilities.

 

Restricted Securities  Certain Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities may be sold privately, but are required to be registered or exempted from such registration before being sold to the public. Private placement securities are generally considered to be restricted except for those securities traded between qualified institutional investors under the provisions of Rule 144A of the Securities Act of 1933. Disposal of restricted securities may involve time-consuming negotiations and expenses, and prompt sale at an acceptable price may be difficult to achieve. Restricted securities outstanding at December 31, 2015 are disclosed in the Notes to Schedules of Investments.

 

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

 

Government-related guarantors (i.e., not backed by the full faith and credit of the U.S. Government) include FNMA and the Federal Home Loan

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

 

Certain Funds may engage in strategies where they seek to extend the expiration or maturity of a position, such as a To Be Announced (“TBA”) security on an underlying asset, by closing out the position before expiration and opening a new position with respect to the same underlying asset with a later expiration date. TBA securities purchased or sold are reflected on the Statements of Assets and Liabilities as an asset or liability, respectively.

 

5. BORROWINGS AND OTHER FINANCING TRANSACTIONS

 

The following disclosures contain information on a Fund’s ability to lend or borrow cash or securities to the extent permitted under the Act, which may be viewed as borrowing or financing transactions by a Fund. The location of these instruments is described below. For a detailed description of credit and counterparty risks that can be associated with borrowings and other financing transactions, please see Note 7, Principal Risks.

 

(a) Repurchase Agreements  Certain Funds may engage in repurchase agreements. Under the terms of a typical repurchase agreement, a Fund takes possession of an underlying debt obligation (collateral) subject to an obligation of the seller to repurchase, and a Fund to resell, the obligation at an agreed-upon price and time. The underlying securities for all repurchase agreements are held in safekeeping at the Fund’s custodian or designated subcustodians under tri-party repurchase agreements. The market value of the collateral must be equal to or exceed the total amount of the repurchase obligations, including interest. Repurchase agreements, including accrued interest, are included on the Statements of Assets and Liabilities. Interest earned is recorded as a component of interest income on the Statements of Operations. In periods of increased demand for collateral, a Fund may pay a fee for the receipt of collateral, which may result in interest expense to the Fund.

 

(b) Reverse Repurchase Agreements  Certain Funds may enter into reverse repurchase agreements. In a reverse repurchase agreement, a Fund delivers a security in exchange for cash to a financial institution, the counterparty, with a simultaneous agreement to repurchase the

 

 

  SEMIANNUAL REPORT   DECEMBER 31, 2015   97


Notes to Financial Statements (Cont.)

 

same or substantially the same security at an agreed upon price and date. A Fund is entitled to receive principal and interest payments, if any, made on the security delivered to the counterparty during the term of the agreement. Cash received in exchange for securities delivered plus accrued interest payments to be made by a Fund to counterparties are reflected as a liability on the Statements of Assets and Liabilities. Interest payments made by a Fund to counterparties are recorded as a component of interest expense on the Statements of Operations. In periods of increased demand for the security, a Fund may receive a fee for use of the security by the counterparty, which may result in interest income to the Fund. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, a Fund’s use of the proceeds of the agreement may be restricted pending a determination by the other party, or its trustee or receiver, whether to enforce the Fund’s obligation to repurchase the securities. Reverse repurchase agreements involve leverage risk and also the risk that the market value of the securities to be repurchased may decline below the repurchase price (see Note 7, Principal Risks).

 

(c) Sale-Buybacks  Certain Funds may enter into financing transactions referred to as ‘sale-buybacks’. A sale-buyback transaction consists of a sale of a security by a Fund to a financial institution, the counterparty, with a simultaneous agreement to repurchase the same or substantially the same security at an agreed-upon price and date. A Fund is not entitled to receive principal and interest payments, if any, made on the security sold to the counterparty during the term of the agreement. The agreed-upon proceeds for securities to be repurchased by a Fund are reflected as a liability on the Statements of Assets and Liabilities. A Fund will recognize net income represented by the price differential between the price received for the transferred security and the agreed-upon repurchase price. This is commonly referred to as the ‘price drop’. A price drop consists of (i) the foregone interest and inflationary income adjustments, if any, a Fund would have otherwise received had the security not been sold and (ii) the negotiated financing terms between a Fund and counterparty. Foregone interest and inflationary income adjustments, if any, are recorded as components of interest income on the Statements of Operations. Interest payments based upon negotiated financing terms made by a Fund to counterparties are recorded as a component of interest expense on the Statements of Operations. In periods of increased demand for the security, a Fund may receive a fee for use of the security by the counterparty, which may result in interest income to the Fund. Sale-buybacks involve leverage risk and also the risk that the market value of the securities to be repurchased may decline below the repurchase price (see Note 7, Principal Risks).

 

(d) Mortgage Dollar Rolls  Certain Funds may enter into mortgage dollar roll transactions. Mortgage dollar rolls involve a Fund selling securities for delivery in the current month and simultaneously contracting to repurchase substantially similar (same type, same or similar interest rate and maturity) securities on a specified future date. The difference

between the selling price and future purchase price is an adjustment to interest income on the Statement of Operations. During the roll period, a Fund forgoes principal and interest paid on the securities. A Fund accounts for rolls as financing transactions. A Fund’s dollar roll transactions are intended to enhance the Fund’s yield by earning a spread between the yield on the underlying mortgage securities and short-term interest rates. Dollar rolls involve leverage risk and also the risk that the market value of the securities to be repurchased may decline below the repurchase price (see Note 7, Principal Risks).

 

6. FINANCIAL DERIVATIVE INSTRUMENTS

 

The following disclosures contain information on how and why the Funds may use financial derivative instruments, the credit-risk-related contingent features in certain financial derivative instruments, (“CDS”), and how financial derivative instruments affect the Funds’ financial position, results of operations and cash flows. The location and fair value amounts of these instruments on the Statements of Assets and Liabilities and the realized and changes in unrealized appreciation (depreciation) on the Statements of Operations, each categorized by type of financial derivative contract and related risk exposure, are included in a table in the Notes to Schedules of Investments. The financial derivative instruments outstanding as of period end and the amounts of realized and changes in unrealized appreciation (depreciation) on financial derivative instruments during the period, as disclosed in the Notes to Schedules of Investments, serve as indicators of the volume of financial derivative activity for the Funds.

 

PIMCO Global StocksPLUS® & Income Fund is subject to regulation as a commodity pool under the Commodity Exchange Act pursuant to recent rule changes by the Commodity Futures Trading Commission (the “CFTC”). The Manager has registered with the CFTC as a Commodity Pool Operator and a Commodity Trading Adviser with respect to the Fund, and is a member of the National Futures Association. As a result, additional CFTC-mandated disclosure, reporting and recordkeeping obligations apply to PIMCO Global StocksPLUS® & Income Fund. Compliance with the CFTC’s regulatory requirements could increase PIMCO Global StocksPLUS® & Income Fund’s expenses, adversely affecting its total return.

 

(a) Forward Foreign Currency Contracts  Certain Funds may enter into forward foreign currency contracts in connection with settling planned purchases or sales of securities, to hedge the currency exposure associated with some or all of a Fund’s securities or as a part of an investment strategy. A forward foreign currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. The market value of a forward foreign currency contract fluctuates with changes in foreign currency exchange rates. Forward foreign currency contracts are marked to market daily, and the change in value is recorded by a Fund as an unrealized gain or loss.

 

 

98   PIMCO CLOSED-END FUNDS     


 

December 31, 2015 (Unaudited)

 

Realized gains or losses are equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed and are recorded upon delivery or receipt of the currency. The contractual obligations of a buyer or seller of a forward foreign currency contract may generally be satisfied by taking or making physical delivery of the underlying currency, establishing an opposite position in the contract and recognizing the profit or loss on both positions simultaneously on the delivery date or, in some instances, paying a cash settlement before the designated date of delivery. These contracts may involve market risk in excess of the unrealized gain or loss reflected on the Statements of Assets and Liabilities. Although forwards may be intended to minimize the risk of loss due to a decline in the value of the hedged currencies, at the same time, they tend to limit any potential gain which might result should the value of such currencies increase. In addition, a Fund could be exposed to risk if the counterparties are unable to meet the terms of the contracts or if the value of the currency changes unfavorably to the U.S. dollar. To mitigate such risk, cash or securities may be exchanged as collateral pursuant to the terms of the underlying contracts.

 

(b) Futures Contracts  Certain Funds may enter into futures contracts. A Fund may use futures contracts to manage its exposure to the securities markets or to movements in interest rates and currency values. Generally, a futures contract provides for the future sale by one party and purchase by another party of a specified quantity of the security or other financial instrument at a specified price and time. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in market value of the securities held by a Fund and the prices of futures contracts and the possibility of an illiquid market. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, a Fund is required to deposit with its futures broker an amount of cash, U.S. Government and Agency Obligations, or select sovereign debt, in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and based on such movements in the price of the contracts, the appropriate payable or receivable for the change in value may be posted or collected by the Fund (“variation margin”). Gains or losses are recognized but not considered realized until the contracts expire or close. Futures contracts involve, to varying degrees, risk of loss in excess of variation margin included within exchange traded or centrally cleared financial derivative instruments on the Statements of Assets and Liabilities.

 

(c) Options Contracts  Certain Funds may write call and put options on securities and financial derivative instruments they own or in which they may invest. An option on an instrument (or an index) is a contract that gives the holder of the option, in return for a premium, the right to buy from (in the case of a call) or sell to (in the case of a put) the writer

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

 

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

 

Options on Exchange-Traded Futures Contracts  Certain Funds may write or purchase options on exchange-traded futures contracts (“Futures Option”) to hedge an existing position or future investment, for speculative purposes or to manage exposure to market movements. A Futures Option is an option contract in which the underlying instrument is a single futures contract.

 

Options on Securities  Certain Funds may write or purchase options on securities. An option uses a specified security as the underlying instrument for the option contract. A Fund may write or purchase options to enhance returns or to hedge an existing position or future investment.

 

 

  SEMIANNUAL REPORT   DECEMBER 31, 2015   99


Notes to Financial Statements (Cont.)

 

 

(d) Swap Agreements  Certain Funds may invest in swap agreements. Swap agreements are bilaterally negotiated agreements between a Fund and a counterparty to exchange or swap investment cash flows, assets, foreign currencies or market-linked returns at specified, future intervals. Swap agreements may be privately negotiated in the over the counter market (“OTC swaps”) or may be cleared through a third party, known as a central counterparty or derivatives clearing organization (“Centrally Cleared Swaps”). A Fund may enter into asset, credit default, cross-currency, interest rate, total return, variance and other forms of swap agreements to manage its exposure to credit, currency, interest rate, commodity, equity and inflation risk. In connection with these agreements, securities or cash may be identified as collateral or margin in accordance with the terms of the respective swap agreements to provide assets of value and recourse in the event of default or bankruptcy/insolvency.

 

Centrally Cleared Swaps are marked to market daily based upon valuations as determined from the underlying contract or in accordance with the requirements of the central counterparty or derivatives clearing organization. Changes in market value, if any, are reflected as a component of net change in unrealized appreciation/(depreciation) on the Statements of Operations. Daily changes in valuation of centrally cleared swaps, if any, are recorded as a variation margin on the Statements of Assets and Liabilities. OTC swap payments received or paid at the beginning of the measurement period are included on the Statements of Assets and Liabilities and represent premiums paid or received upon entering into the swap agreement to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors). Upfront premiums received (paid) are initially recorded as liabilities (assets) and subsequently marked to market to reflect the current value of the swap. These upfront premiums are recorded as realized gains or losses on the Statements of Operations upon termination or maturity of the swap. A liquidation payment received or made at the termination of the swap is recorded as realized gain or loss on the Statements of Operations. Net periodic payments received or paid by a Fund are included as part of realized gains or losses on the Statements of Operations.

 

For purposes of applying a Fund’s investment policies and restrictions, swap agreements are generally valued by a Fund at market value. In the case of a credit default swap (see below), however, in applying certain of a Fund’s investment policies and restrictions, the Funds will value the credit default swap at its full exposure value (i.e., the notional amount for the contract), but may value the credit default swap at market value for purposes of applying certain of a Fund’s other investment policies and restrictions. For example, a Fund may value credit default swaps at full exposure value for purposes of a Fund’s credit quality guidelines (if any) because such value reflects a Fund’s

actual economic exposure during the term of the credit default swap agreement. In this context, both the notional amount and the market value may be positive or negative depending on whether a Fund is selling or buying protection through the credit default swap. The manner in which certain securities or other instruments are valued by a Fund for purposes of applying investment policies and restrictions may differ from the manner in which those investments are valued by other types of investors.

 

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

 

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

 

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

 

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

 

 

100   PIMCO CLOSED-END FUNDS     


 

December 31, 2015 (Unaudited)

 

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

 

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

 

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

 

Credit default swap agreements on credit indices involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a write-down, principal shortfall, interest shortfall or default of all or part of the referenced

entities comprising the credit index. A credit index is a basket of credit instruments or exposures designed to be representative of some part of the credit market as a whole. These indices are made up of reference credits that are judged by a poll of dealers to be the most liquid entities in the credit default swap market based on the sector of the index. Components of the indices may include, but are not limited to, investment grade securities, high yield securities, asset-backed securities, emerging markets, and/or various credit ratings within each sector. Credit indices are traded using credit default swaps with standardized terms including a fixed spread and standard maturity dates. An index credit default swap references all the names in the index, and if there is a default, the credit event is settled based on that name’s weight in the index. The composition of the indices changes periodically, usually every six months, and for most indices, each name has an equal weight in the index. Credit default swaps on credit indices may be used to hedge a portfolio of credit default swaps or bonds, which is less expensive than it would be to buy many credit default swaps to achieve a similar effect or to take an active long or short position with respect to the likelihood of a particular referenced obligation’s default. Credit default swaps on indices are instruments often used to attempt to protect investors owning bonds against default, and traders use them to speculate on changes in credit quality.

 

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

 

The maximum potential amount of future payments (undiscounted) that a Fund as a seller of protection could be required to make under a credit default swap agreement equals the notional amount of the agreement. Notional amounts of each individual credit default swap agreement outstanding as of period end for which a Fund is the seller of protection are disclosed in the Notes to Schedules of Investments.

 

 

  SEMIANNUAL REPORT   DECEMBER 31, 2015   101


Notes to Financial Statements (Cont.)

 

These potential amounts would be partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swap agreements entered into by a Fund for the same referenced entity or entities.

 

Interest Rate Swap Agreements  Certain Funds are subject to interest rate risk exposure in the normal course of pursuing their investment objectives. If a Fund holds fixed rate bonds, the value of these bonds may decrease if interest rates rise. To help hedge against this risk and to maintain its ability to generate income at prevailing market rates, a Fund may enter into interest rate swap agreements. Interest rate swap agreements involve the exchange by a Fund with another party for their respective commitment to pay or receive interest on the notional amount of principal. Certain forms of interest rate swap agreements may include: (i) interest rate caps, under which, in return for a premium, one party agrees to make payments to the other to the extent that interest rates exceed a specified rate, or “cap”, (ii) interest rate floors, under which, in return for a premium, one party agrees to make payments to the other to the extent that interest rates fall below a specified rate, or “floor”, (iii) interest rate collars, under which a party sells a cap and purchases a floor or vice versa in an attempt to protect itself against interest rate movements exceeding given minimum or maximum levels, (iv) callable interest rate swaps, under which the buyer pays an upfront fee in consideration for the right to early terminate the swap transaction in whole, at zero cost and at a predetermined date and time prior to the maturity date, (v) spreadlocks, which allow the interest rate swap users to lock in the forward differential (or spread) between the interest rate swap rate and a specified benchmark, or (vi) basis swaps, under which two parties can exchange variable interest rates based on different segments of money markets.

 

Total Return Swap Agreements  Certain Funds may enter into total return swap agreements to gain or mitigate exposure to the underlying reference. Total return swap agreements involve commitments where single or multiple cash flows are exchanged based on the price of an underlying reference and on a fixed or variable interest rate. Total return swap agreements may involve commitments to pay interest in exchange for a market-linked return. One counterparty pays out the total return of a specific reference asset, which may include an underlying equity, index, or bond, and in return receives a fixed or variable rate. At the maturity date, a net cash flow is exchanged where the total return is equivalent to the return of the underlying reference less a financing rate, if any. As a receiver, a Fund would receive payments based on any positive total return and would owe payments in the event of a negative total return. As the payer, a Fund would owe payments on any net positive total return, and would receive payments in the event of a negative total return. A Fund’s use of a total return

swap exposes the Fund to credit loss in the event of nonperformance by the swap counterparty. Risk may also arise from the unanticipated movements in value of exchange rates, interest rates, securities, or the index.

 

Asset Segregation  Certain of the transactions described above can be viewed as constituting a form of borrowing or financing transaction by the Fund. In such event, a Fund may but is not required to cover its commitment under such transactions by segregating or “earmarking” assets in accordance with procedures adopted by the Board of Trustees, in which case such transactions will not be considered “senior securities” by the Fund. With respect to forwards, futures contracts, options and swaps that are contractually permitted or required to cash settle (i.e., where physical delivery of the underlying reference asset is not required), a Fund is permitted to segregate or earmark liquid assets equal to the Fund’s daily marked-to-market net obligation under the derivative instrument, if any, rather than the derivative’s full notional value. By segregating or earmarking liquid assets equal to only its net marked-to-market obligation under derivatives that are required to cash settle, a Fund will have the ability to employ leverage to a greater extent than if a Fund were to segregate or earmark liquid assets equal to the full notional value of the derivative.

 

7. PRINCIPAL RISKS

 

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

 

Market Risks  A Fund’s investments in financial derivatives and other financial instruments expose the Fund to various risks such as, but not limited to, interest rate, foreign currency, equity and commodity risks.

 

Interest rate risk is the risk that fixed income securities will decline in value because of changes in interest rates. As nominal interest rates rise, the value of certain fixed income securities held by a Fund is likely to decrease. A nominal interest rate can be described as the sum of a real interest rate and an expected inflation rate. Interest rate changes can be sudden and unpredictable, and a Fund may lose money if these changes are not anticipated by Fund management. A Fund may not be able to hedge against changes in interest rates or may choose not to do so for cost or other reasons. In addition, any hedges may not work as intended.

 

Fixed income securities with longer durations tend to be more sensitive to changes in interest rates, usually making them more volatile than

 

 

102   PIMCO CLOSED-END FUNDS     


 

December 31, 2015 (Unaudited)

 

securities with shorter durations. Duration is useful primarily as a measure of the sensitivity of a fixed income security’s market price to interest rate (i.e. yield) movements. A wide variety of factors can cause interest rates to rise (e.g., central bank monetary policies, inflation rates, general economic conditions). At present, the U.S. is experiencing historically low interest rates. The Funds may be subject to heightened interest rate risk because the Fed has ended its quantitative easing program and has begun, and may continue, to raise interest rates. Further, while U.S. bond markets have steadily grown over the past three decades, dealer “market making” ability has remained relatively stagnant. Given the importance of intermediary “market making” in creating a robust and active market, fixed income securities may face increased volatility and liquidity risks. All of these factors, collectively and/or individually, could cause a Fund to lose value.

 

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

 

If a Fund invests directly in foreign currencies or in securities that trade in, and receive revenues in, foreign currencies, or in financial derivatives that provide exposure to foreign currencies, it will be subject to the risk that those currencies will decline in value relative to the base currency of the Fund, or, in the case of hedging positions, that the Fund’s base currency will decline in value relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons, including changes in interest rates, intervention (or the failure to intervene) by U.S. or foreign governments, central banks or supranational entities such as the International Monetary Fund, or by the imposition of currency controls or other political developments in the United States or abroad. As a result, a Fund’s investments in foreign currency denominated securities may reduce the Fund’s returns.

 

The market values of a Fund’s investments may decline due to general market conditions which are not specifically related to a particular company or issuer, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates or adverse investor sentiment generally. They may also decline due to factors which affect a particular industry or industries, such as labor shortages or increased production costs and competitive conditions within an industry. Equity securities and equity related investments generally have greater market price volatility than fixed income securities, although under certain market conditions fixed income securities may have comparable or greater price volatility. Credit ratings downgrades may also negatively affect securities held by a Fund. Even when markets perform well, there is no assurance that the investments held by a Fund will increase in value along with the broader market. In addition, market risk includes the risk that geopolitical events will disrupt the economy on a national or global level.

Credit and Counterparty Risks  A Fund will be exposed to credit risk to parties with whom it trades and will also bear the risk of settlement default. A Fund seeks to minimize concentrations of credit risk by undertaking transactions with a large number of counterparties on recognized and reputable exchanges, where applicable. A Fund could lose money if the issuer or guarantor of a fixed income security, or the counterparty to a financial derivatives contract, repurchase agreement or a loan of portfolio securities, is unable or unwilling to make timely principal and/or interest payments, or to otherwise honor its obligations. Securities are subject to varying degrees of credit risk, which are often reflected in credit ratings.

 

Similar to credit risk, a Fund may be exposed to counterparty risk, or the risk that an institution or other entity with which a Fund has unsettled or open transactions will default. PIMCO, as Manager, seeks to minimize counterparty risks to a Fund in a number of ways. Prior to entering into transactions with a new counterparty, the PIMCO Counterparty Risk Committee conducts an extensive credit review of such counterparty and must approve the use of such counterparty. Furthermore, pursuant to the terms of the underlying contract, to the extent that unpaid amounts owed to a Fund exceed a predetermined threshold, such counterparty is required to advance collateral to a Fund in the form of cash or securities equal in value to the unpaid amount owed to the Fund. A Fund may invest such collateral in securities or other instruments and will typically pay interest to the counterparty on the collateral received. If the unpaid amount owed to a Fund subsequently decreases, a Fund would be required to return to the counterparty all or a portion of the collateral previously advanced to a Fund.

 

All transactions in listed securities are settled/paid for upon delivery using approved counterparties. The risk of default is considered minimal, as delivery of securities sold is only made once a Fund has received payment. Payment is made on a purchase once the securities have been delivered by the counterparty. The trade will fail if either party fails to meet its obligation.

 

Master Netting Arrangements  The Funds may be subject to various netting arrangements with select counterparties (“Master Agreements”). Master Agreements govern the terms of certain transactions, and are intended to reduce the counterparty risk associated with relevant transactions by specifying credit protection mechanisms and providing standardization that is intended to improve legal certainty. Each type of Master Agreement governs certain types of transactions. Different types of transactions may be traded out of different legal entities or affiliates of a particular organization, resulting in the need for multiple agreements with a single counterparty. As the Master Agreements are specific to unique operations of different asset types, they allow a Fund to close out and net its total exposure to a counterparty in the event of a default with respect to all the

 

 

  SEMIANNUAL REPORT   DECEMBER 31, 2015   103


Notes to Financial Statements (Cont.)

 

transactions governed under a single Master Agreement with a counterparty. For financial reporting purposes the Statements of Assets and Liabilities generally present derivative assets and liabilities on a gross basis, which reflects the full risks and exposures prior to netting.

 

Master Agreements can also help limit counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under the Master Agreements, collateral is routinely transferred if the total net exposure to certain transactions (net of existing collateral already in place) governed under the relevant Master Agreement with a counterparty in a given account exceeds a specified threshold, which typically ranges from zero to $250,000 depending on the counterparty and the type of Master Agreement. United States Treasury Bills and U.S. dollar cash are generally the preferred forms of collateral, although other forms of AAA rated paper or sovereign securities may be used. Securities and cash pledged as collateral are reflected as assets on the Statements of Assets and Liabilities as either a component of Investments at value (securities) or Deposits with counterparty (cash). Cash collateral received is typically not held in a segregated account and as such is reflected as a liability on the Statements of Assets and Liabilities as Deposits from counterparty. The market value of any securities received as collateral is not reflected as a component of NAV. A Fund’s overall exposure to counterparty risk can change substantially within a short period, as it is affected by each transaction subject to the relevant Master Agreement.

 

Master Repurchase Agreements and Global Master Repurchase Agreements (individually and collectively “Master Repo Agreements”) govern repurchase, reverse repurchase, and sale-buyback transactions between the Funds and select counterparties. Master Repo Agreements maintain provisions for, among other things, initiation, income payments, events of default, and maintenance of collateral. The market value of transactions under the Master Repo Agreement, collateral pledged or received, and the net exposure by counterparty as of period end are disclosed in the Notes to Schedules of Investments.

 

Master Securities Forward Transaction Agreements (“Master Forward Agreements”) govern the considerations and factors surrounding the settlement of certain forward settling transactions, such as To-Be-Announced securities, delayed-delivery or sale-buyback transactions by and between a Fund and select counterparties. The Master Forward Agreements maintain provisions for, among other things, initiation and confirmation, payment and transfer, events of default, termination, and maintenance of collateral. The market value of forward settling transactions, collateral pledged or received, and the net exposure by counterparty as of period end is disclosed in the Notes to Schedules of Investments.

 

Customer Account Agreements and related addendums govern cleared derivatives transactions such as futures, options on futures, and cleared

Over the Counter (“OTC”) derivatives. Cleared derivatives transactions require posting of initial margin as determined by each relevant clearing agency which is segregated at a broker account registered with the Commodity Futures Trading Commission (“CFTC”), or the applicable regulator. In the United States, counterparty risk is significantly reduced as creditors of a futures broker do not have a claim to Fund assets in the segregated account. Additionally, portability of exposure in the event of default further reduces risk to the Funds. Variation margin, or changes in market value, are exchanged daily, but may not be netted between futures and cleared OTC derivatives. The market value or accumulated unrealized appreciation or depreciation, initial margin posted, and any unsettled variation margin as of period end is disclosed in the Notes to Schedule of Investments.

 

International Swaps and Derivatives Association, Inc. Master Agreements and Credit Support Annexes (“ISDA Master Agreements”) govern OTC financial derivative transactions entered into by a Fund and select counterparties. ISDA Master Agreements maintain provisions for general obligations, representations, agreements, collateral and events of default or termination. Events of termination include conditions that may entitle counterparties to elect to terminate early and cause settlement of all outstanding transactions under the applicable ISDA Master Agreement. Any election to terminate early could be material to the financial statements. In limited circumstances, the ISDA Master Agreement may contain additional provisions that add counterparty protection beyond coverage of existing daily exposure if the counterparty has a decline in credit quality below a predefined level. These amounts, if any, may be segregated with a third-party custodian. The market value of OTC financial derivative instruments, collateral received or pledged, and net exposure by counterparty as of period end are disclosed in the Notes to Schedules of Investments.

 

8. BASIS FOR CONSOLIDATION

 

PDILS I LLC and PCILS I LLC (each a “Subsidiary” and, collectively, the “Subsidiaries”), both Delaware LLC exempted companies, were formed as wholly owned subsidiaries acting as investment vehicles for PIMCO Dynamic Income Fund and PIMCO Dynamic Credit Income Fund (for purposes of this section, each a “Fund” and, collectively, the “Funds”), respectively, in order to effect certain investments consistent with each Fund’s objectives and policies in effect from time to time. PIMCO Dynamic Income Fund’s and PIMCO Dynamic Credit Income Fund’s investment portfolios have been consolidated and include the portfolio holdings of each Fund’s respective Subsidiary. Accordingly, the consolidated financial statements for each Fund include the accounts of each Fund’s respective subsidiary. All inter-company transactions and balances have been eliminated. This structure was established so that certain loans could be held by a separate legal entity from the Funds. See the table below for details regarding the structure, incorporation and relationship as of period end of the Subsidiaries (amounts in thousands).

 

 

104   PIMCO CLOSED-END FUNDS     


 

December 31, 2015 (Unaudited)

 

 

        PIMCO Dynamic Credit
Income Fund
    PIMCO Dynamic
Income Fund
 
        PCILS LLC     PDILS I LLC  

Date of Formation

      03/07/2013        03/12/2013   

Consolidated Fund Net Assets

    $   2,801,620      $ 1,246,052   

Subsidiary % of Consolidated Fund Net Assets

      0.0%        0.0%   

Subsidiary Financial Statement Information

                 

Total assets

    $ 0      $ 0   

Total liabilities

      0        0   

Net assets

      0        0   

Total assets

      0        0   

Total liabilities

      0        0   

Total income

      0        0   

Net investment income (loss)

      (23     (10

Net realized gain (loss)

      0        0   

Net change in unrealized appreciation (depreciation)

      0        0   

Increase (decrease) in net assets resulting from operations

    $ (23   $ (10

 

 

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

 

9. FEES AND EXPENSES

 

(a) Management Fee  Pursuant to the Investment Management Agreement with PIMCO (the “Agreement”), subject to the supervision of the Board, PIMCO is responsible for providing to each Fund investment guidance and policy direction in connection with the management of the Fund, including oral and written research, analysis, advice, and statistical and economic data and information. In addition, pursuant to the Agreement and subject to the general supervision of the Board, PIMCO, at its expense, provides or causes to be furnished most other supervisory and administrative services the Funds require, including but not limited to, expenses of most third-party service providers (e.g., audit, custodial, legal, transfer agency, printing) and other expenses, such as those associated with insurance, proxy solicitations and mailings for shareholder meetings, New York Stock Exchange listing and related fees, tax services, valuation services and other services the Funds require for their daily operations.

 

Pursuant to the Agreement, PIMCO receives an annual fee, payable monthly, at the annual rates shown in the table below:

 

Fund Name       Annual
Rate
 

PCM Fund, Inc.

      0.900% (1) 

PIMCO Global StocksPLUS® & Income Fund

      1.105% (2) 

PIMCO Income Opportunity Fund

      1.055% (1) 

PIMCO Strategic Income Fund, Inc.

      0.955% (3) 

PIMCO Dynamic Credit Income Fund

      1.150% (4) 

PIMCO Dynamic Income Fund

      1.150% (4) 

 

(1)

Management fees calculated based on the Fund’s average daily “total managed assets”. Total managed assets refer to the total assets of each Fund (including assets attributable to any reverse repurchase agreements, borrowings and preferred shares

  that may be outstanding) minus accrued liabilities (other than liabilities representing reverse repurchase agreements and borrowings).
(2)

Management fees calculated based on the Fund’s average daily “total managed assets”. Total managed assets refer to the total assets of each Fund (including assets attributable to any preferred shares and borrowings that may be outstanding) minus accrued liabilities (other than liabilities representing borrowings).

(3) 

Management fees calculated based on the Fund’s average daily net asset value (including daily net assets attributable to any preferred shares of the Fund that may be outstanding).

(4)

Management fees calculated based on the Fund’s average daily “total managed assets”. Total managed assets includes total assets of the Fund (including assets attributable to any reverse repurchase agreements, dollar rolls, borrowings and preferred shares that may be outstanding) minus accrued liabilities (other than liabilities representing reverse repurchase agreements, dollar rolls and borrowings).

 

(b) Fund Expenses  Each Fund bears other expenses, which may vary and affect the total level of expenses paid by shareholders, such as (i) salaries and other compensation or expenses, including travel expenses of any of the Fund’s executive officers and employees, if any, who are not officers, directors, shareholders, members, partners or employees of PIMCO or its subsidiaries or affiliates; (ii) taxes and governmental fees, if any, levied against the Fund; (iii) brokerage fees and commissions and other portfolio transaction expenses incurred by or for the Fund (including, without limitation, fees and expenses of outside legal counsel or third-party consultants retained in connection with reviewing, negotiating and structuring specialized loan and other investments made by the Fund, subject to specific or general authorization by the Fund’s Board); (iv) expenses of the Fund’s securities lending (if any), including any securities lending agent fees, as governed by a separate securities lending agreement; (v) costs, including interest expense, of borrowing money or engaging in other types of leverage financing, including, without limitation, through the use by the Fund of reverse repurchase agreements, tender option bonds, bank borrowings and credit facilities; (vi) costs, including dividend and/or interest expenses and other costs (including, without limitation, offering and related legal costs, fees to brokers, fees to auction agents, fees to transfer agents, fees to ratings agencies and fees to auditors associated with satisfying ratings agency requirements for preferred shares or other securities issued by the Fund and other related requirements in the Fund’s organizational documents) associated with the Fund’s issuance, offering, redemption and maintenance of preferred shares, commercial paper or other senior securities for the purpose of incurring leverage; (vii) fees and expenses of any underlying funds or other pooled investment vehicles in which the Fund invests; (viii) dividend and interest expenses on short positions taken by the Fund; (ix) fees and expenses, including travel expenses, and fees and expenses of legal counsel retained for their benefit, of Trustees who are not officers, employees, partners, shareholders or members of PIMCO or its subsidiaries or affiliates; (x) extraordinary expenses, including extraordinary legal expenses, as may arise, including expenses incurred in connection with litigation, proceedings, other claims, and the legal obligations of the Fund to indemnify its Trustees, officers, employees, shareholders, distributors, and agents with respect thereto; (xi) organizational and offering expenses of the

 

 

  SEMIANNUAL REPORT   DECEMBER 31, 2015   105


Notes to Financial Statements (Cont.)

 

Fund, including with respect to share offerings, such as rights offerings and shelf offerings, following the Fund’s initial offering, and expenses associated with tender offers and other share repurchases and redemptions; and (xii) expenses of the Fund which are capitalized in accordance with U.S. GAAP.

 

Each of the Trustees of the Funds who is not an “interested person” under Section 2(a)(19) of the Act, (the “Independent Trustees”) also serves as a trustee of a number of other closed- end funds for which PIMCO serves as investment manager (together with the Funds, the “PIMCO Closed-End Funds”), as well as PIMCO Managed Accounts Trust, an open-end investment company with multiple series for which PIMCO serves as investment manager (“PMAT” and, together with the PIMCO Closed-End Funds, the “PIMCO-Managed Funds”). In addition, each of the Independent Trustees also serves as a trustee of certain investment companies (together, the “Allianz-Managed Funds”), for which Allianz Global Investors Fund Management (“AGIFM”), an affiliate of PIMCO that served as the investment manager of the PIMCO Managed Funds prior to the close of business on September 5, 2014, serves as investment adviser.

 

Each Independent Trustee currently receives annual compensation of $225,000 for his or her service on the Boards of the PIMCO-Managed Funds, payable quarterly. The Independent Chairman of the Boards receives an additional $75,000 per year, payable quarterly. The Audit Oversight Committee Chairman receives an additional $50,000 annually, payable quarterly. Trustees are also reimbursed for meeting-related expenses.

 

Each Trustee’s compensation for his or her service as a Trustee on the Boards of the PIMCO Managed Funds and other costs in connection with joint meetings of such Funds are allocated among the PIMCO-Managed Funds, as applicable, on the basis of fixed percentages as between PMAT and the PIMCO Closed-End Funds. Trustee compensation and other costs will then be further allocated pro rata among the individual PIMCO-Managed Funds within each grouping based on each such PIMCO-Managed Fund’s relative net assets.

 

10. RELATED PARTY TRANSACTIONS

 

The Manager is a related party. Fees payable to this party are disclosed in Note 9 and the accrued related party fee amounts are disclosed on the Statements of Assets and Liabilities.

Certain Funds are permitted to purchase or sell securities from or to certain related affiliated funds under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of securities by the Funds from or to another fund or portfolio that are, or could be, considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule 17a-7 of the Act. Further, as defined under the procedures, each transaction is effected at the current market price. During the periods ended December 31, 2015, as indicated below, the Funds below engaged in purchases and sales of securities pursuant to Rule 17a-7 of the Act (amounts in thousands):

 

Fund Name       Purchases     Sales  

PCM Fund, Inc.

    $ 961      $ 2,946   

PIMCO Global StocksPLUS® & Income Fund

      864        4,873   

PIMCO Income Opportunity Fund

      2,592        12,973   

PIMCO Strategic Income Fund, Inc.

      2,535        8,749   

PIMCO Dynamic Credit Income Fund

          18,524            425,758   

PIMCO Dynamic Income Fund

      36,217        56,367   

 

11. GUARANTEES AND INDEMNIFICATIONS

 

Under the organizational documents of PIMCO Global StocksPLUS® & Income Fund, PIMCO Income Opportunity Fund, PIMCO Dynamic Income Fund and PIMCO Dynamic Credit Income Fund each Trustee and officer is indemnified, to the extent permitted by the Act, against certain liabilities that may arise out of performance of their duties to the Funds. Under the organizational documents of PCM Fund, Inc., and PIMCO Strategic Income Fund, Inc., each Director and officer is indemnified to the fullest extent permitted, and in accordance with the procedures required, by Maryland law. For PCM Fund, Inc., Directors, officers, employees and agents are indemnified to the maximum extent permitted by Maryland Law and the Act. For PIMCO Strategic Income Fund, Inc., employees and agents may be indemnified to the extent determined by the Board and subject to the limitations of the Act. Additionally, in the normal course of business, the Funds enter into contracts that contain a variety of indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds have not had prior claims or losses pursuant to these contracts.

 

 

12. PURCHASES AND SALES OF SECURITIES

 

The length of time a Fund has held a particular security is not generally a consideration in investment decisions. A change in the securities held by a Fund is known as “portfolio turnover.” Each Fund may engage in frequent and active trading of portfolio securities to achieve its investment objective, particularly during periods of volatile market movements. High portfolio turnover involves correspondingly greater transaction costs to a Fund, including brokerage commissions or dealer mark-ups and other transaction costs on the sale of securities and reinvestments in other securities. Such sales may also result in realization of taxable capital gains, including short-term capital gains (which are generally taxed at ordinary income tax rates). The transaction costs and tax effects associated with portfolio turnover may adversely affect a Fund’s performance. The portfolio turnover rates are reported in the Financial Highlights.

 

106   PIMCO CLOSED-END FUNDS     


 

December 31, 2015 (Unaudited)

 

 

Purchases and sales of securities (excluding short-term investments) for the period ended December 31, 2015, as indicated below, were as follows (amounts in thousands):

 

        U.S. Government/Agency     All Other  
Fund Name       Purchases     Sales     Purchases     Sales  

PCM Fund, Inc.

    $ 0      $ 0      $ 19,780      $ 17,173   

PIMCO Global StocksPLUS® & Income Fund

      0        0        13,922        15,383   

PIMCO Income Opportunity Fund

      3,599        1,798        23,852        58,050   

PIMCO Strategic Income Fund, Inc.

          267,162            272,087        36,256        35,532   

PIMCO Dynamic Credit Income Fund

      21,481        5,283            813,297            662,750   

PIMCO Dynamic Income Fund

      11,997        6,193        338,012        121,248   
         

 

 

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

 

13. REGULATORY AND LITIGATION MATTERS

 

The Funds are not named as defendants in any material litigation or arbitration proceedings and are not aware of any material litigation or claim pending or threatened against them.

 

PIMCO has received a Wells Notice from the staff of the U.S. Securities and Exchange Commission (“SEC”) that relates to the PIMCO Total Return Active Exchange-Traded Fund (“BOND”), a series of PIMCO ETF Trust. The notice indicates the staff’s preliminary determination to recommend that the SEC commence a civil action against PIMCO stemming from a nonpublic investigation relating to BOND. A Wells Notice is neither a formal allegation of wrongdoing nor a finding that any law was violated.

 

This matter principally pertains to the valuation of smaller sized positions in non-agency mortgage-backed securities purchased by BOND between its inception on February 29, 2012 and June 30, 2012, BOND’s performance disclosures for that period, and PIMCO’s compliance policies and procedures related to these matters.

 

The Wells process provides PIMCO with the opportunity to demonstrate to the SEC staff why it believes its conduct was appropriate, in keeping with industry standards, and that no action should be taken. PIMCO believes that this matter is unlikely to have a material adverse effect on any Fund or on PIMCO’s ability to provide investment management services to any Fund.

 

The foregoing speaks only as of the date of this report.

 

14. FEDERAL INCOME TAX MATTERS

 

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

 

The Funds 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 following the sale of any applicable investments.

 

In accordance with U.S. GAAP, the Manager has reviewed the Funds’ tax positions for all open tax years. As of December 31, 2015, the Funds have recorded no liability for net unrecognized tax benefits relating to uncertain income tax positions they have taken or expect to take in future tax returns.

 

Each Fund files U.S. tax returns. While the statute of limitations remains open to examine the Funds’ U.S. tax returns filed for the fiscal years from 2012-2014, no examinations are in progress or anticipated at this time. No Fund is aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.

 

 

As of June 30, 2015, the Funds had accumulated capital losses expiring in the following years (amounts in thousands). The Funds will resume capital gain distributions in the future to the extent gains are realized in excess of accumulated capital losses.

 

         Expiration of Accumulated Capital Losses  
         06/30/2016      06/30/2017      06/30/2018      06/30/2019  

PCM Fund, Inc.

     $ 916       $   16,168       $   1,418       $   —     

PIMCO Global StocksPLUS® & Income Fund

       —           89,083         5,575         —     

PIMCO Income Opportunity Fund

       —           —           —           —     

PIMCO Strategic Income Fund, Inc.

         61,816         13,338         —           —     

PIMCO Dynamic Credit Income Fund

       —           —           —           —     

PIMCO Dynamic Income Fund

       —           —           —           —     

 

  SEMIANNUAL REPORT   DECEMBER 31, 2015   107


Notes to Financial Statements (Cont.)

 

December 31, 2015 (Unaudited)

 

 

Under the Regulated Investment Company Modernization Act of 2010, a fund is permitted to carry forward any new capital losses for an unlimited period. Additionally, such capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term under previous law.

 

As of June 30, 2015, the Funds had the following post-effective capital losses with no expiration (amounts in thousands):

 

        Short-Term     Long-Term  

PCM Fund, Inc.

    $ —        $ —     

PIMCO Global StocksPLUS® & Income Fund

        29,137        —     

PIMCO Income Opportunity Fund

      2,825          1,474   

PIMCO Strategic Income Fund, Inc.

      18,953        —     

PIMCO Dynamic Credit Income Fund

      74,579        —     

PIMCO Dynamic Income Fund

      —          —     

 

As of December 31, 2015, the aggregate cost and the net unrealized appreciation (depreciation) of investments for federal income tax purposes are as follows (amounts in thousands):

 

Fund Name        Federal Tax
Cost
     Aggregate
Gross
Unrealized
Appreciation
     Aggregate
Gross
Unrealized
(Depreciation)
     Net
Unrealized
Appreciation
(Depreciation) (1)
 

PCM Fund, Inc.

     $ 192,280       $ 14,752       $ (11,797    $ 2,955   

PIMCO Global StocksPLUS® & Income Fund

       160,929         20,815         (11,585      9,230   

PIMCO Income Opportunity Fund

       542,704         52,788         (42,723      10,065   

PIMCO Strategic Income Fund, Inc.

       860,061         25,933         (15,075      10,858   

PIMCO Dynamic Credit Income Fund

         5,161,919           106,989           (387,913        (280,924

PIMCO Dynamic Income Fund

       2,175,482         255,954         (104,990      150,964   

 

15. SUBSEQUENT EVENTS

 

In preparing these financial statements, the Funds’ management has evaluated events and transactions for potential recognition or disclosure through the date the financial statements were issued.

 

On January 4, 2016, the following distributions were declared to common shareholders payable February 1, 2016 to shareholders of record on January 14, 2016:

 

PCM Fund, Inc.

    $   0.080000 per common share   

PIMCO Global StocksPLUS® & Income Fund

    $ 0.183350 per common share   

PIMCO Income Opportunity Fund

    $ 0.190000 per common share   

PIMCO Strategic Income Fund, Inc.

    $ 0.080000 per common share   

PIMCO Dynamic Credit Income Fund

    $ 0.164063 per common share   

PIMCO Dynamic Income Fund

    $ 0.220500 per common share   

 

On February 1, 2016, the following distributions were declared to common shareholders payable March 1, 2016 to shareholders of record on February 11, 2016:

 

PCM Fund, Inc.

    $ 0.080000 per common share   

PIMCO Global StocksPLUS® & Income Fund

    $   0.183350 per common share   

PIMCO Income Opportunity Fund

    $ 0.190000 per common share   

PIMCO Strategic Income Fund, Inc.

    $ 0.080000 per common share   

PIMCO Dynamic Credit Income Fund

    $ 0.164063 per common share   

PIMCO Dynamic Income Fund

    $ 0.220500 per common share   

 

There were no other subsequent events identified that require recognition or disclosure.

 

108   PIMCO CLOSED-END FUNDS     


 

Glossary: (abbreviations that may be used in the preceding statements)

 

(Unaudited)

 

Counterparty Abbreviations:                
AZD  

Australia and New Zealand Banking Group

  FOB  

Credit Suisse Securities (USA) LLC

  RBC  

Royal Bank of Canada

BCY  

Barclays Capital, Inc.

  GLM  

Goldman Sachs Bank USA

  RCE  

Royal Bank of Canada Europe Limited

BOA  

Bank of America N.A.

  GSC  

Goldman Sachs & Co.

  RDR  

RBC Dain Rausher, Inc.

BOS  

Banc of America Securities LLC

  GST  

Goldman Sachs International

  RTA  

Royal Bank of Canada

BPG  

BNP Paribas Securities Corp.

  HUS  

HSBC Bank USA N.A.

  RYL  

Royal Bank of Scotland Group PLC

BPS  

BNP Paribas S.A.

  IND  

Crédit Agricole Corporate and Investment Bank S.A.

  SAL  

Citigroup Global Markets, Inc.

BRC  

Barclays Bank PLC

  JML  

JP Morgan Securities Plc

  SBI  

Citigroup Global Markets Ltd.

CBK  

Citibank N.A.

  JPM  

JPMorgan Chase Bank N.A.

  SCX  

Standard Chartered Bank

CFR  

Credit Suisse Securities (Europe) Ltd.

  JPS  

JPMorgan Securities, Inc.

  SOG  

Societe Generale

DBL  

Deutsche Bank AG London

  MSB  

Morgan Stanley Bank, N.A

  SSB  

State Street Bank and Trust Co.

DEU  

Deutsche Bank Securities, Inc.

  MSC  

Morgan Stanley & Co., Inc.

  UAG  

UBS AG Stamford

DUB  

Deutsche Bank AG

  MYC  

Morgan Stanley Capital Services, Inc.

  UBS  

UBS Securities LLC

FBF  

Credit Suisse International

  NAB  

National Australia Bank Ltd.

   
Currency Abbreviations:                
AUD  

Australian Dollar

  EUR  

Euro

  MXN  

Mexican Peso

BRL  

Brazilian Real

  GBP  

British Pound

  SEK  

Swedish Krona

CAD  

Canadian Dollar

  HKD  

Hong Kong Dollar

  SGD  

Singapore Dollar

CHF  

Swiss Franc

  JPY  

Japanese Yen

  USD (or $)  

United States Dollar

DKK  

Danish Krone

       
Exchange Abbreviations:                
CME  

Chicago Mercantile Exchange

  OTC  

Over the Counter

   
Index/Spread Abbreviations:                
ABX.HE  

Asset-Backed Securities Index - Home Equity

  NDDUEAFE  

MSCI EAFE Index

  PENAAA  

Penultimate AAA Sub-Index

Other Abbreviations:                
ABS  

Asset-Backed Security

  CDI  

Brazil Interbank Deposit Rate

  JSC  

Joint Stock Company

ADR  

American Depositary Receipt

  CDO  

Collateralized Debt Obligation

  LIBOR  

London Interbank Offered Rate

ALT  

Alternate Loan Trust

  CDX.HY  

Credit Derivatives Index - High Yield

  PIK  

Payment-in-Kind

BBR  

Bank Bill Rate

  CDX.IG  

Credit Derivatives Index - Investment Grade

  REMIC  

Real Estate Mortgage Investment Conduit

BBSW  

Bank Bill Swap Reference Rate

  CLO  

Collateralized Loan Obligation

  TBD%  

Interest rate to be determined when loan settles

 

  SEMIANNUAL REPORT   DECEMBER 31, 2015   109


Investment Strategy Updates

 

(Unaudited)

 

Effective October 6, 2015, each Fund adopted the following non-fundamental investment policy:

 

The staff of the SEC has taken the position that purchased OTC options and the assets used as cover for written OTC options should generally be treated as illiquid. However, the staff of the SEC has also taken the position that the determination of whether a particular instrument is liquid should be made under guidelines and standards established by a fund’s board of trustees/directors. The SEC staff has provided examples of factors that may be taken into account in determining whether a particular instrument should be treated as liquid. Pursuant to policies adopted by the Fund’s Board of Trustees, purchased OTC options and the assets used as cover for OTC options written by a Fund may be treated as liquid under certain circumstances, such as when PIMCO has the contractual right to terminate or close out the OTC option on behalf of a Fund within seven days. These policies are not fundamental policies of the Funds and may be changed or modified by the Board of Trustees without the approval of shareholders, provided that any such change or modification will be consistent with applicable positions of the SEC staff.

 

 

110   PIMCO CLOSED-END FUNDS     


General Information

 

Investment Manager

Pacific Investment Management Company LLC

1633 Broadway

New York, NY 10019

 

Custodian

State Street Bank and Trust Company

801 Pennsylvania Avenue

Kansas City, MO 64105

 

Transfer Agent, Dividend Paying Agent and Registrar

American Stock Transfer & Trust Company, LLC

6201 15th Avenue

Brooklyn, NY 11219

 

Legal Counsel

Ropes & Gray LLP

Prudential Tower

800 Boylston Street

Boston, MA 02199

 

Independent Registered Public Accounting Firm

PricewaterhouseCoopers LLP

1100 Walnut Street, Suite 1300

Kansas City, MO 64106

 

This report is submitted for the general information of the shareholders of PCM Fund, Inc., PIMCO Global StocksPLUS® & Income Fund, PIMCO Income Opportunity Fund, PIMCO Strategic Income Fund, Inc., PIMCO Dynamic Credit Income Fund and PIMCO Dynamic Income Fund.


LOGO

 

CEF4010SAR_123115


Item 2.    Code of Ethics.
   The information required by this Item 2 is only required in an annual report on this Form N-CSR.
Item 3.    Audit Committee Financial Expert.
   The information required by this Item 3 is only required in an annual report on this Form N-CSR.


Item 4.    Principal Accountant Fees and Services.
   The information required by this Item 4 is only required in an annual report on this Form N-CSR.
Item 5.    Audit Committee of Listed Registrants.
   The information required by this Item 5 is only required in an annual report on this Form N-CSR.
Item 6.    Schedule of Investments.
   The Schedule of Investments is included as part of the reports to shareholders under Item 1.
Item 7.    Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
   The information required by this Item 7 is only required in an annual report on this Form N-CSR.
Item 8.    Portfolio Managers of Closed-End Management Investment Companies.
   Not applicable.
Item 9.    Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
   None.
Item 10.    Submission of Matters to a Vote of Security Holders.
   There have been no material changes to the procedures by which shareholders may recommend nominees to the Fund’s Board of Trustees since the Fund last provided disclosure in response to this item.
Item 11.    Controls and Procedures.
   (a)  

The principal executive officer and principal financial & accounting officer have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the 1940 Act) provide reasonable assurances that material information relating to the Registrant is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing of this report.

 

   (b)  

There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d)

under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 12.    Exhibits.  
   (a)(1)   Exhibit 99.CODE—Code of Ethics is not applicable for semiannual reports.
   (a)(2)   Exhibit 99.CERT—Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
   (b)   Exhibit 99.906CERT—Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.


Signatures

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

PCM Fund Inc.
By:  

/s/ PETER G. STRELOW

  Peter G. Strelow
  President (Principal Executive Officer)                        
Date:   February 26, 2016

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/ PETER G. STRELOW

  Peter G. Strelow
  President (Principal Executive Officer)
Date:   February 26, 2016
By:  

/s/ WILLIAM G. GALIPEAU

  William G. Galipeau
  Treasurer (Principal Financial & Accounting Officer)
Date:   February 26, 2016