PIMCO High Income Fund

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM N-Q

 

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act File Number:    811-21311
Registrant Name:    PIMCO High Income Fund
Address of Principal Executive Offices:   

1633 Broadway

New York, NY 10019

Name and Address of Agent for Service:   

Trent W. Walker

650 Newport Center Drive

Newport Beach, CA 92660

Registrant’s telephone number, including area code:    (844) 337-4626
Date of Fiscal Year End:    July 31
Date of Reporting Period:    April 30, 2018


Item 1. Schedule of Investments


Schedule of Investments

PIMCO High Income Fund

April 30, 2018 (Unaudited)

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

 

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

INVESTMENTS IN SECURITIES 128.6% ¤

   

LOAN PARTICIPATIONS AND ASSIGNMENTS 2.6%

   

Alphabet Holding Co., Inc.

   

5.401% (LIBOR03M + 3.500%) due 09/26/2024 ~

  $ 100     $ 86  

Altice Financing S.A.

   

5.098% (LIBOR03M + 2.750%) due 01/31/2026 ~

    31       30  

Avantor, Inc.

   

5.901% (LIBOR03M + 4.000%) due 11/21/2024 ~

    50       50  

Beacon Roofing Supply, Inc.

   

4.128% (LIBOR03M + 2.250%) due 01/02/2025 ~

    60       60  

California Resources Corp.

   

6.647% (LIBOR03M + 4.750%) due 12/31/2022 ~

    50       51  

Centene Corp.

   

TBD% due 09/13/2018

    2,200       2,200  

Crown Americas LLC

   

4.312% (LIBOR03M + 2.000%) due 01/29/2025 ~

    50       51  

CSC Holdings LLC

   

4.397% (LIBOR03M + 2.500%) due 01/25/2026 ~

    100       100  

Dell, Inc.

   

3.910% (LIBOR03M + 2.000%) due 09/07/2023 ~

    100       100  

Forbes Energy Services LLC

   

5.000% - 7.000% due 04/13/2021

    857       868  

Frontier Communications Corp.

   

5.660% (LIBOR03M + 3.750%) due 06/15/2024 ~

    895       886  

Gartner, Inc.

   

3.901% (LIBOR03M + 2.000%) due 04/05/2024 ~

    5       5  

Genworth Financial, Inc.

   

6.395% (LIBOR03M + 4.500%) due 02/22/2023 ~

    50       51  

GTT Communications, Inc.

   

TBD% due 04/28/2025

    100       100  

iHeartCommunications, Inc.

   

TBD% due 01/30/2019 ^(e)

    17,200       13,663  

IRB Holding Corp.

   

5.128% - 5.248% (LIBOR03M + 3.250%) due 02/05/2025 ~

    100       101  

Klockner-Pentaplast of America, Inc.

   

4.750% (EUR003M + 4.750%) due 06/30/2022 ~

  EUR     100       116  

McDermott Technology, Inc.

   

TBD% due 04/04/2025 «

  $ 1,400       1,372  

Meredith Corp.

   

4.901% (LIBOR03M + 3.000%) due 01/31/2025 ~

    100       101  

MH Sub LLC

   

5.647% (LIBOR03M + 3.750%) due 09/13/2024 ~

    169       170  

Ministry of Finance and Economic Affairs

   

TBD% due 12/10/2019 «

    200       200  

Multi Color Corp.

   

4.151% (LIBOR03M + 2.250%) due 10/31/2024 ~

    24       24  

Parexel International Corp.

   

4.651% (LIBOR03M + 2.750%) due 09/27/2024 ~

    100       100  

Ply Gem Industries, Inc.

   

6.089% (LIBOR03M + 3.750%) due 04/12/2025 ~

    200       202  

Sequa Mezzanine Holdings LLC

   

7.071% (LIBOR03M + 5.000%) due 11/28/2021 ~

    328       332  

11.362% (LIBOR03M + 9.000%) due 04/28/2022 ~

    140       143  

Syniverse Holdings, Inc.

   

6.895% (LIBOR03M + 5.000%) due 03/09/2023 ~

    30       30  

Traverse Midstream Partners LLC

   

5.850% (LIBOR03M + 4.000%) due 09/27/2024 ~

    91       91  

West Corp.

   

5.901% (LIBOR03M + 4.000%) due 10/10/2024 ~

    58       59  

Westmoreland Coal Co.

   

8.802% (LIBOR03M + 6.500%) due 12/16/2020 ~

    1,455       508  

Wyndham Hotels & Resorts, Inc.

   

TBD% due 03/28/2025

    100       101  
   

 

 

 

Total Loan Participations and Assignments

(Cost $25,234)

      21,951  
   

 

 

 

CORPORATE BONDS & NOTES 62.1%

   

BANKING & FINANCE 28.3%

   

AGFC Capital Trust

   

4.098% (US0003M + 1.750%) due 01/15/2067 ~

    27,410       15,761  

Ally Financial, Inc.

   

8.000% due 11/01/2031 (m)

    2,762       3,363  

Ardonagh Midco PLC

   

8.375% due 07/15/2023 (m)

  GBP     2,700       3,897  

8.375% due 07/15/2023

    3,100       4,475  


                                         

Assurant, Inc.

   

4.200% due 09/27/2023

  $ 80       80  

Athene Holding Ltd.

   

4.125% due 01/12/2028

    76       71  

Atlantic Marine Corps Communities LLC

   

5.383% due 02/15/2048 (m)

    4,521       4,437  

Avolon Holdings Funding Ltd.

   

5.500% due 01/15/2023

    240       240  

AXA Equitable Holdings, Inc.

   

3.900% due 04/20/2023

    30       30  

4.350% due 04/20/2028

    180       176  

5.000% due 04/20/2048

    104       99  

Banco do Brasil S.A.

   

4.875% due 04/19/2023

    900       896  

Banco Espirito Santo S.A.

   

4.000% due 01/21/2019 ^(e)

  EUR     5,800       2,066  

Banco Santander S.A.

   

6.250% due 09/11/2021 •(i)(j)(m)

    500       670  

Barclays PLC

   

6.500% due 09/15/2019 •(i)(j)(m)

    2,600       3,344  

7.875% due 09/15/2022 •(i)(j)

  GBP     7,210       10,941  

8.000% due 12/15/2020 •(i)(j)(m)

  EUR     7,340       10,215  

Brighthouse Holdings LLC

   

6.500% due 07/27/2037 (i)

  $ 70       72  

Brookfield Finance, Inc.

   

3.900% due 01/25/2028

    128       122  

4.700% due 09/20/2047

    290       278  

Cantor Fitzgerald LP

   

6.500% due 06/17/2022 (m)

    13,100       14,152  

CBL & Associates LP

   

5.950% due 12/15/2026 (m)

    3,324       2,667  

CIT Group, Inc.

   

5.250% due 03/07/2025

    76       78  

Co-operative Group Holdings Ltd.

   

7.500% due 07/08/2026

  GBP     2,800       4,697  

Cooperatieve Rabobank UA

   

6.625% due 06/29/2021 •(i)(j)

  EUR     1,600       2,211  

Credit Agricole S.A.

   

7.500% due 06/23/2026 •(i)(j)

  GBP     200       318  

7.875% due 01/23/2024 •(i)(j)(m)

  $ 250       272  

Doctors Co.

   

6.500% due 10/15/2023 (m)

    10,000       10,701  

Emerald Bay S.A.

   

0.000% due 10/08/2020 (h)

  EUR     2,738       3,108  

Equinix, Inc.

   

2.875% due 03/15/2024

    200       241  

2.875% due 10/01/2025

    100       118  

2.875% due 02/01/2026

    200       234  

Fairfax Financial Holdings Ltd.

   

4.850% due 04/17/2028

  $ 78       77  

Flagstar Bancorp, Inc.

   

6.125% due 07/15/2021 (m)

    3,000       3,171  

Fortress Transportation & Infrastructure Investors LLC

   

6.750% due 03/15/2022 (m)

    390       397  

Freedom Mortgage Corp.

   

8.250% due 04/15/2025

    170       170  

Growthpoint Properties International Pty. Ltd.

   

5.872% due 05/02/2023 (c)

    200       203  

GSPA Monetization Trust

   

6.422% due 10/09/2029

    5,958       6,742  

HSBC Holdings PLC

   

6.000% due 09/29/2023 •(i)(j)

  EUR     2,600       3,638  

6.500% due 03/23/2028 •(i)(j)

  $ 700       712  

Hunt Cos., Inc.

   

6.250% due 02/15/2026

    36       34  

International Lease Finance Corp.

   

6.980% due 10/15/2018 ~

    18,000       18,171  

Iron Mountain, Inc.

   

5.250% due 03/15/2028

    10       10  

iStar, Inc.

   

4.625% due 09/15/2020

    20       20  

5.250% due 09/15/2022

    70       68  

Jefferies Finance LLC

   

7.250% due 08/15/2024

    200       199  

7.375% due 04/01/2020 (m)

    1,200       1,217  

Kennedy-Wilson, Inc.

   

5.875% due 04/01/2024

    96       95  

Life Storage LP

   

3.875% due 12/15/2027

    42       40  

Lloyds Bank PLC

   

12.000% due 12/16/2024 •(i)(m)

    8,500       10,821  

Lloyds Banking Group PLC

   

7.875% due 06/27/2029 •(i)(j)

  GBP     200       334  

LoanCore Capital Markets LLC

   

6.875% due 06/01/2020 (m)

  $ 17,000       17,329  


                                         

Meiji Yasuda Life Insurance Co.

   

5.100% due 04/26/2048 •

    400       408  

MetLife, Inc.

   

5.875% due 03/15/2028 •(i)

    210       215  

Midwest Family Housing LLC

   

6.631% due 01/01/2051

    4,852       4,186  

Nationwide Building Society

   

10.250% ~(i)

  GBP     36       7,813  

Navient Corp.

   

5.625% due 08/01/2033 (m)

  $ 10,734       9,285  

6.500% due 06/15/2022

    114       117  

Oppenheimer Holdings, Inc.

   

6.750% due 07/01/2022

    68       70  

Physicians Realty LP

   

3.950% due 01/15/2028

    90       84  

Provident Funding Associates LP

   

6.375% due 06/15/2025

    37       37  

Rio Oil Finance Trust

   

8.200% due 04/06/2028

    260       271  

9.250% due 07/06/2024

    19,281       21,233  

Royal Bank of Scotland Group PLC

   

7.500% due 08/10/2020 •(i)(j)(m)

    5,840       6,148  

8.000% due 08/10/2025 •(i)(j)(m)

    5,860       6,424  

8.625% due 08/15/2021 •(i)(j)

    3,700       4,061  

Santander UK Group Holdings PLC

   

6.750% due 06/24/2024 •(i)(j)

  GBP     1,895       2,840  

7.375% due 06/24/2022 •(i)(j)

    6,363       9,561  

Societe Generale S.A.

   

6.750% due 04/06/2028 •(i)(j)

  $ 200       199  

Spirit Realty LP

   

4.450% due 09/15/2026 (m)

    2,300       2,191  

Springleaf Finance Corp.

   

6.125% due 05/15/2022

    975       1,003  

STORE Capital Corp.

   

4.500% due 03/15/2028

    54       53  

WeWork Cos., Inc.

   

7.875% due 05/01/2025

    104       101  
   

 

 

 
      239,778  
   

 

 

 

INDUSTRIALS 27.2%

   

Air Canada Pass-Through Trust

   

3.700% due 07/15/2027

    34       33  

Altice Financing S.A.

   

6.625% due 02/15/2023 (m)

    5,600       5,614  

Altice France S.A.

   

5.375% due 05/15/2022

  EUR 2,930       3,628  

Altice Luxembourg S.A.

   

7.250% due 05/15/2022 (m)

    3,040       3,647  

7.750% due 05/15/2022 (m)

  $ 4,900       4,698  

American Woodmark Corp.

   

4.875% due 03/15/2026

    8       8  

Andeavor Logistics LP

   

3.500% due 12/01/2022

    16       16  

4.250% due 12/01/2027

    28       27  

Bacardi Ltd.

   

4.450% due 05/15/2025

    200       199  

4.700% due 05/15/2028

    200       199  

5.150% due 05/15/2038

    200       198  

5.300% due 05/15/2048

    200       197  

Berry Global, Inc.

   

4.500% due 02/15/2026

    43       41  

BMC Software Finance, Inc.

   

8.125% due 07/15/2021 (m)

    13,320       13,353  

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

   

9.000% due 10/15/2019 (d)(m)

    6,210       6,202  

Boyne USA, Inc.

   

7.250% due 05/01/2025

    2       2  

Caesars Resort Collection LLC

   

5.250% due 10/15/2025

    12       11  

Cequel Communications Holdings LLC

   

7.500% due 04/01/2028

    200       204  

CH Robinson Worldwide, Inc.

   

4.200% due 04/15/2028

    50       49  

Charter Communications Operating LLC

   

4.200% due 03/15/2028

    198       187  

Cheniere Energy Partners LP

   

5.250% due 10/01/2025

    49       48  

Chesapeake Energy Corp.

   

5.598% (US0003M + 3.250%) due 04/15/2019 ~

    120       120  

Cleveland-Cliffs, Inc.

   

4.875% due 01/15/2024

    48       47  

Community Health Systems, Inc.

   

5.125% due 08/01/2021 (m)

    4,438       4,105  

6.250% due 03/31/2023 (m)

    8,983       8,214  


                                         

Crown Americas LLC

   

4.750% due 02/01/2026

    30       29  

CSC Holdings LLC

   

5.375% due 02/01/2028

    200       188  

CSN Resources S.A.

   

6.500% due 07/21/2020

    596       583  

CVS Health Corp.

   

4.300% due 03/25/2028 (m)

    570       563  

DAE Funding LLC

   

4.000% due 08/01/2020

    90       90  

DriveTime Automotive Group, Inc.

   

8.000% due 06/01/2021 (m)

    11,130       11,213  

EI Group PLC

   

6.000% due 10/06/2023

  GBP     500       752  

6.875% due 05/09/2025

    6,600       10,033  

Ensco PLC

   

7.750% due 02/01/2026

  $ 14       13  

Exela Intermediate LLC

   

10.000% due 07/15/2023 (m)

    172       173  

Ferroglobe PLC

   

9.375% due 03/01/2022 (m)

    2,250       2,368  

First Quantum Minerals Ltd.

   

6.500% due 03/01/2024

    200       190  

6.875% due 03/01/2026

    200       191  

Ford Motor Co.

   

7.700% due 05/15/2097 (m)

    15,515       18,690  

Fresh Market, Inc.

   

9.750% due 05/01/2023 (m)

    9,300       5,161  

Frontier Finance PLC

   

8.000% due 03/23/2022

  GBP 6,600       9,416  

Full House Resorts, Inc.

   

8.575% due 01/31/2024 «

  $ 499       491  

General Electric Co.

   

5.000% due 01/21/2021 •(i)

    86       85  

General Shopping Finance Ltd.

   

10.000% due 06/01/2018 (i)

    5,300       5,194  

General Shopping Investments Ltd.

   

0.000% due 03/20/2022 ^(e)(i)

    1,500       1,147  

12.000% due 03/20/2022 ^(e)(i)

    1,000       765  

Hadrian Merger Sub, Inc.

   

8.500% due 05/01/2026

    50       50  

Hampton Roads PPV LLC

   

6.621% due 06/15/2053

    20,169       20,560  

Harland Clarke Holdings Corp.

   

8.375% due 08/15/2022

    76       78  

HCA, Inc.

   

7.500% due 11/15/2095

    3,462       3,453  

Hologic, Inc.

   

4.375% due 10/15/2025

    37       36  

iHeartCommunications, Inc.

   

9.000% due 09/15/2022 ^(e)

    6,800       5,457  

IHS Markit Ltd.

   

4.000% due 03/01/2026

    6       6  

Ingevity Corp.

   

4.500% due 02/01/2026

    60       58  

Intelsat Jackson Holdings S.A.

   

5.500% due 08/01/2023

    2,300       1,935  

7.250% due 10/15/2020 (m)

    8,485       8,326  

9.750% due 07/15/2025

    175       172  

Intelsat Luxembourg S.A.

   

6.750% due 06/01/2018

    2,844       2,830  

7.750% due 06/01/2021

    5,615       3,832  

8.125% due 06/01/2023 (m)

    15,504       9,768  

Intrepid Aviation Group Holdings LLC

   

6.875% due 02/15/2019

    8,003       7,923  

IRB Holding Corp.

   

6.750% due 02/15/2026

    2       2  

Live Nation Entertainment, Inc.

   

5.625% due 03/15/2026

    30       30  

Mallinckrodt International Finance S.A.

   

5.500% due 04/15/2025

    108       82  

Meredith Corp.

   

6.875% due 02/01/2026

    50       51  

Metinvest BV

   

7.750% due 04/23/2023

    200       195  

8.500% due 04/23/2026

    1,400       1,351  

Netflix, Inc.

   

4.875% due 04/15/2028

    39       37  

New Albertson’s LP

   

6.570% due 02/23/2028

    4,021       2,714  

Nufarm Australia Ltd.

   

5.750% due 04/30/2026

    76       76  

Odebrecht Oil & Gas Finance Ltd.

   

0.000% due 05/31/2018 (h)(i)

    3,371       80  

OI European Group BV

   

4.000% due 03/15/2023

    27       26  


                                         

Park Aerospace Holdings Ltd.

   

3.625% due 03/15/2021

    118       114  

4.500% due 03/15/2023

    234       225  

5.250% due 08/15/2022

    19       19  

5.500% due 02/15/2024

    54       53  

Pelabuhan Indonesia Persero PT

   

4.500% due 05/02/2023 (c)

    200       199  

Petroleos Mexicanos

   

6.500% due 03/13/2027

    310       321  

6.750% due 09/21/2047

    170       165  

PetSmart, Inc.

   

5.875% due 06/01/2025

    161       117  

Pisces Midco, Inc.

   

8.000% due 04/15/2026

    252       253  

Pitney Bowes, Inc.

   

4.700% due 04/01/2023

    49       47  

QVC, Inc.

   

5.950% due 03/15/2043 (m)

    5,000       4,756  

Radiate Holdco LLC

   

6.875% due 02/15/2023

    100       97  

Rockpoint Gas Storage Canada Ltd.

   

7.000% due 03/31/2023

    12       12  

Russian Railways via RZD Capital PLC

   

7.487% due 03/25/2031

  GBP     13,100       22,585  

Safeway, Inc.

   

7.250% due 02/01/2031 (m)

  $ 5,348       4,514  

Scientific Games International, Inc.

   

5.000% due 10/15/2025

    16       15  

Shelf Drilling Holdings Ltd.

   

8.250% due 02/15/2025

    76       77  

Sigma Holdco BV

   

5.750% due 05/15/2026 (c)

  EUR 100       120  

7.875% due 05/15/2026 (c)

  $ 200       201  

Sprint Spectrum Co. LLC

   

4.738% due 03/20/2025 (m)

    200       202  

5.152% due 03/20/2028 (m)

    600       610  

Standard Industries, Inc.

   

4.750% due 01/15/2028

    134       126  

Sunoco LP

   

4.875% due 01/15/2023

    94       93  

Syngenta Finance NV

   

5.182% due 04/24/2028

    200       197  

T-Mobile USA, Inc.

   

4.750% due 02/01/2028

    29       28  

Telenet Finance Luxembourg Notes SARL

   

5.500% due 03/01/2028

    200       192  

Teva Pharmaceutical Finance Netherlands BV

   

3.250% due 04/15/2022

  EUR 500       615  

4.500% due 03/01/2025

    200       246  

6.000% due 04/15/2024

  $ 400       388  

6.750% due 03/01/2028 (m)

    200       198  

TopBuild Escrow Corp.

   

5.625% due 05/01/2026

    75       75  

Transcontinental Gas Pipe Line Co. LLC

   

4.600% due 03/15/2048

    40       38  

Tronox, Inc.

   

6.500% due 04/15/2026

    26       26  

Unique Pub Finance Co. PLC

   

5.659% due 06/30/2027

  GBP 276       425  

United Group BV

   

4.375% due 07/01/2022

  EUR 100       124  

4.875% due 07/01/2024

    100       124  

Valeant Pharmaceuticals International, Inc.

   

5.500% due 11/01/2025

  $ 20       20  

6.500% due 03/15/2022

    127       132  

7.000% due 03/15/2024

    246       260  

ViaSat, Inc.

   

5.625% due 09/15/2025

    136       131  

Viking Cruises Ltd.

   

5.875% due 09/15/2027

    38       37  

VOC Escrow Ltd.

   

5.000% due 02/15/2028

    106       103  

Westmoreland Coal Co.

   

8.750% due 01/01/2022

    10,290       3,550  

Wind Tre SpA

   

2.625% due 01/20/2023

  EUR 200       220  

2.750% due 01/20/2024 •

    200       225  

3.125% due 01/20/2025

    200       213  

5.000% due 01/20/2026

  $ 200       169  

Wynn Macau Ltd.

   

5.500% due 10/01/2027

    200       195  
   

 

 

 
      230,362  
   

 

 

 


                                         

UTILITIES 6.6%

   

AT&T, Inc.

   

3.400% due 08/14/2024 (m)

    580       586  

3.900% due 08/14/2027 (m)

    520       526  

4.900% due 08/15/2037 (m)

    528       519  

5.150% due 02/15/2050 (m)

    792       773  

5.300% due 08/15/2058 (m)

    1,938       1,927  

Calpine Corp.

   

5.250% due 06/01/2026

    62       60  

CenturyLink, Inc.

   

7.200% due 12/01/2025

    1,122       1,097  

DTEK Finance PLC (10.750% Cash or 10.750% PIK)

   

10.750% due 12/31/2024 (d)

    5,927       6,309  

Frontier Communications Corp.

   

8.500% due 04/01/2026

    130       127  

Mountain States Telephone & Telegraph Co.

   

7.375% due 05/01/2030

    15,200       15,775  

Odebrecht Drilling Norbe Ltd.

   

6.350% due 12/01/2021

    1,675       1,641  

Odebrecht Drilling Norbe Ltd. (6.350% Cash or 7.350% PIK)

   

7.350% due 12/01/2026 (d)

    2,681       1,474  

Odebrecht Offshore Drilling Finance Ltd.

   

6.720% due 12/01/2022

    3,986       3,842  

Odebrecht Offshore Drilling Finance Ltd. (6.720% Cash or 7.720% PIK)

   

7.720% due 12/01/2026 (d)

    12,021       3,576  

Petrobras Global Finance BV

   

5.299% due 01/27/2025

    46       45  

5.999% due 01/27/2028

    237       231  

6.125% due 01/17/2022

    322       341  

6.250% due 12/14/2026

  GBP     8,600       12,855  

6.625% due 01/16/2034

    200       294  

6.750% due 01/27/2041

  $ 300       285  

6.850% due 06/05/2115

    178       165  

7.375% due 01/17/2027 (m)

    2,511       2,697  

8.750% due 05/23/2026

    173       204  

Sprint Corp.

   

7.625% due 03/01/2026

    399       421  

Verizon Communications, Inc.

   

2.875% due 01/15/2038

  EUR 140       171  

3.375% due 10/27/2036

  GBP 100       137  
   

 

 

 
      56,078  
   

 

 

 

Total Corporate Bonds & Notes

(Cost $502,567)

      526,218  
   

 

 

 

CONVERTIBLE BONDS & NOTES 0.6%

   

INDUSTRIALS 0.6%

   

DISH Network Corp.

   

3.375% due 08/15/2026

  $ 5,100       4,641  
   

 

 

 

Total Convertible Bonds & Notes

(Cost $5,100)

      4,641  
   

 

 

 

MUNICIPAL BONDS & NOTES 7.5%

   

CALIFORNIA 0.5%

   

Anaheim Redevelopment Agency, California Tax Allocation Bonds, (AGM Insured), Series 2007

   

6.506% due 02/01/2031

    2,000       2,299  

Sacramento County, California Revenue Bonds, Series 2013

   

7.250% due 08/01/2025

    1,500       1,781  
   

 

 

 
      4,080  
   

 

 

 

DISTRICT OF COLUMBIA 1.2%

   

District of Columbia Revenue Bonds, Series 2011

   

7.625% due 10/01/2035

    9,740       10,620  
   

 

 

 

ILLINOIS 2.6%

   

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

   

6.257% due 01/01/2040

    11,000       10,776  

7.517% due 01/01/2040

    9,805       10,620  

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

   

6.725% due 04/01/2035

    45       47  

7.350% due 07/01/2035

    30       32  

Illinois State General Obligation Bonds, Series 2003

   

5.100% due 06/01/2033

    365       341  
   

 

 

 
      21,816  
   

 

 

 

 


                                         

NEW YORK 0.2%

   

Erie Tobacco Asset Securitization Corp., New York Revenue Bonds, Series 2005

   

6.000% due 06/01/2028

    1,800       1,800  
   

 

 

 

TEXAS 1.2%

   

El Paso Downtown Development Corp., Texas Revenue Bonds, Series 2013

   

7.250% due 08/15/2043

    7,535       9,956  
   

 

 

 

VIRGINIA 0.2%

   

Tobacco Settlement Financing Corp., Virginia Revenue Bonds, Series 2007

   

6.706% due 06/01/2046

    1,375       1,318  
   

 

 

 

WEST VIRGINIA 1.6%

   

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

   

0.000% due 06/01/2047 (h)

    66,200       3,953  

7.467% due 06/01/2047

    9,865       9,738  
   

 

 

 
      13,691  
   

 

 

 

Total Municipal Bonds & Notes

(Cost $57,268)

      63,281  
   

 

 

 

U.S. GOVERNMENT AGENCIES 4.1%

   

Fannie Mae

   

3.500% due 09/25/2027 (a)

    439       48  

6.206% (- 2.0*LIBOR01M + 10.000%) due 10/25/2041 ~

    341       430  

8.412% (- 4.0*LIBOR01M + 16.000%) due 05/25/2043 ~

    590       468  

10.000% (- 5.405*LIBOR01M + 42.703%) due 01/25/2034 ~

    218       238  

Freddie Mac

   

0.000% due 02/25/2046 - 08/25/2046 (b)(h)

    21,772       16,864  

0.100% due 02/25/2046 - 08/25/2046 (a)

    192,445       486  

4.000% due 08/15/2020 (a)

    226       7  

4.203% (- 1.0*LIBOR01M + 6.100%) due 07/15/2035 ~(a)

    1,162       89  

4.303% (- 1.0*LIBOR01M + 6.200%) due 02/15/2042 ~(a)

    2,108       214  

4.500% due 10/15/2037 (a)

    744       76  

4.626% due 11/25/2055 «~

    14,136       8,500  

5.000% (LIBOR01M) due 06/15/2033 ~(a)

    1,535       219  

5.243% (- 1.0*LIBOR01M + 7.140%) due 08/15/2036 ~(a)

    689       126  

9.206% (- 2.0*LIBOR01M + 13.000%) due 05/15/2033 ~

    53       57  

11.097% (US0001M + 9.200%) due 10/25/2027 ~

    4,334       5,859  

Ginnie Mae

   

3.500% due 06/20/2042 - 03/20/2043 (a)

    2,995       495  

4.353% (- 1.0*LIBOR01M + 6.250%) due 02/20/2042 ~(a)

    8,395       632  

4.500% due 07/20/2042 (a)

    249       41  

5.000% due 09/20/2042 (a)

    438       84  
   

 

 

 

Total U.S. Government Agencies

(Cost $35,422)

      34,933  
   

 

 

 

NON-AGENCY MORTGAGE-BACKED SECURITIES 19.9%

   

Adjustable Rate Mortgage Trust

   

2.237% (US0001M + 0.340%) due 05/25/2036 ~

    4,319       2,581  

Banc of America Alternative Loan Trust

   

3.703% (- 1.0*US0001M + 5.600%) due 06/25/2046 ^~(a)

    6,445       560  

Banc of America Funding Trust

   

6.000% due 07/25/2037 ^

    532       506  

6.250% due 10/26/2036

    9,055       7,387  

Banc of America Mortgage Trust

   

3.686% due 02/25/2036 ^~

    20       19  

BCAP LLC Trust

   

4.962% due 03/26/2037

    1,695       1,203  

6.000% due 05/26/2037 ~

    6,853       4,782  

6.260% due 10/26/2036 ~

    7,118       7,028  

6.725% due 09/26/2036 ~

    6,587       6,440  

12.614% due 06/26/2036 ~

    2,483       977  

Bear Stearns Adjustable Rate Mortgage Trust

   

3.456% due 11/25/2034 ~

    70       62  

Bellemeade Re Ltd.

   

8.197% (US0001M + 6.300%) due 07/25/2025 ~

    1,250       1,302  

CD Mortgage Trust

   

5.688% due 10/15/2048

    3,196       1,650  

Chase Mortgage Finance Trust

   

3.476% due 12/25/2035 ^~

    22       22  

3.541% due 09/25/2036 ^~

    119       118  

5.500% due 05/25/2036 ^

    4       3  

Citigroup Commercial Mortgage Trust

   

5.800% due 12/10/2049 ~

    5,832       4,487  

Citigroup Mortgage Loan Trust

   

3.667% due 07/25/2037 ^~

    143       141  

3.775% due 11/25/2035 ~

    16,511       11,501  

3.866% due 08/25/2037 ^~

    417       358  

6.500% due 09/25/2036

    4,455       3,668  


                                         

Citigroup/Deutsche Bank Commercial Mortgage Trust

   

5.398% due 12/11/2049 ~

    2,726       1,615  

Commercial Mortgage Loan Trust

   

6.263% due 12/10/2049 ~

    2,573       1,594  

Commercial Mortgage Trust

   

5.845% due 06/10/2046 ~

    356       98  

Countrywide Alternative Loan Trust

   

2.147% (US0001M + 0.250%) due 12/25/2046 ~

    3,117       2,339  

2.898% due 07/25/2046 ^~

    28       28  

3.103% (- 1.0*US0001M + 5.000%) due 04/25/2035 ~(a)

    4,438       285  

3.686% due 02/25/2037 ^~

    278       270  

4.965% due 07/25/2021 ^~

    255       250  

6.000% due 02/25/2037 ^

    6,029       4,194  

6.250% (US0001M + 0.650%) due 12/25/2036 ^~

    3,378       2,590  

6.500% due 06/25/2036 ^

    970       762  

Countrywide Home Loan Mortgage Pass-Through Trust

   

3.402% due 09/20/2036 ^~

    540       470  

3.453% (- 1.0*US0001M + 5.350%) due 12/25/2036 ~(a)

    3,313       349  

3.480% due 09/25/2047 ^~

    52       49  

Credit Suisse Commercial Mortgage Trust

   

5.832% due 02/15/2039 ~

    1,000       1,000  

5.869% due 09/15/2040 ~

    3,529       3,429  

Credit Suisse First Boston Mortgage Securities Corp.

   

6.000% due 01/25/2036

    2,119       1,897  

Epic Drummond Ltd.

   

0.000% due 01/25/2022 •

  EUR     215       258  

Eurosail PLC

   

1.954% (BP0003M + 1.350%) due 06/13/2045 ~

  GBP 3,347       3,509  

4.604% (BP0003M + 4.000%) due 06/13/2045 ~

    988       1,201  

Grifonas Finance PLC

   

0.009% (EUR006M + 0.280%) due 08/28/2039 ~

  EUR     4,776       5,200  

HarborView Mortgage Loan Trust

   

3.716% due 08/19/2036 ^~

  $ 439       356  

3.736% due 08/19/2036 ^~

    26       24  

IM Pastor Fondo de Titluzacion Hipotecaria

   

0.000% due 03/22/2043 •

  EUR 6,513       7,157  

JPMorgan Alternative Loan Trust

   

3.244% due 03/25/2037 ^~

  $ 7,195       6,764  

JPMorgan Chase Commercial Mortgage Securities Trust

   

5.411% due 05/15/2047

    5,100       3,735  

5.623% due 05/12/2045

    1,901       1,770  

JPMorgan Mortgage Trust

   

3.202% due 07/27/2037 ~

    5,187       1,832  

4.723% (- 1.0*US0001M + 6.620%) due 01/25/2037 ^~(a)

    20,131       4,069  

LB-UBS Commercial Mortgage Trust

   

5.407% due 11/15/2038

    1,336       1,024  

5.562% due 02/15/2040 ~

    1,376       877  

Lehman XS Trust

   

2.117% (US0001M + 0.220%) due 06/25/2047 ~

    3,506       3,177  

Morgan Stanley Capital Trust

   

6.193% due 06/11/2049 ~

    1,059       1,069  

Motel 6 Trust

   

8.823% (LIBOR01M + 6.927%) due 08/15/2019 ~

    11,695       11,907  

Nomura Asset Acceptance Corp. Alternative Loan Trust

   

3.839% due 04/25/2036 ^~

    6,270       5,720  

Nomura Resecuritization Trust

   

6.706% due 07/26/2035 ~

    4,277       3,373  

RBSSP Resecuritization Trust

   

7.531% due 06/26/2037 ~

    4,417       3,815  

Residential Asset Securitization Trust

   

6.250% due 10/25/2036 ^

    561       534  

6.250% due 09/25/2037 ^

    5,141       3,659  

6.500% due 08/25/2036 ^

    865       513  

Structured Adjustable Rate Mortgage Loan Trust

   

3.570% due 01/25/2036 ^~

    185       145  

3.837% due 04/25/2047 ~

    623       501  

Structured Asset Mortgage Investments Trust

   

2.087% (US0001M + 0.190%) due 07/25/2046 ^~

    12,503       11,090  

WaMu Mortgage Pass-Through Certificates Trust

   

3.159% due 05/25/2037 ^~

    165       141  

Washington Mutual Mortgage Pass-Through Certificates Trust

   

4.783% (- 1.0*US0001M + 6.680%) due 04/25/2037 ~(a)

    12,317       2,845  

6.500% due 03/25/2036 ^

    8,069       6,707  
   

 

 

 

Total Non-Agency Mortgage-Backed Securities

(Cost $152,642)

      168,986  
   

 

 

 

ASSET-BACKED SECURITIES 16.4%

   

ACE Securities Corp. Home Equity Loan Trust

   

2.037% (US0001M + 0.140%) due 07/25/2036 ~

    3,693       2,957  

Airspeed Ltd.

   

2.167% (LIBOR01M + 0.270%) due 06/15/2032 ~

    4,671       4,070  

Apidos CLO

   

0.000% due 07/22/2026 ~

    3,000       1,765  

Argent Securities Trust

   

2.087% (US0001M + 0.190%) due 03/25/2036 ~

    5,994       3,623  


                                         

Belle Haven ABS CDO Ltd.

   

2.571% (LIBOR03M + 0.250%) due 07/05/2046 ~

    185,947       1,822  

CIFC Funding Ltd.

   

0.000% due 05/24/2026 (h)

    4,000       2,483  

0.000% due 07/22/2026 (h)

    3,000       1,764  

Citigroup Mortgage Loan Trust

   

1.997% (US0001M + 0.100%) due 12/25/2036 ~

    10,518       7,523  

2.057% (US0001M + 0.160%) due 12/25/2036 ~

    6,282       4,146  

Cork Street CLO Designated Activity Co.

   

0.000% due 11/27/2028 ~

  EUR     2,667       3,272  

3.600% due 11/27/2028

    1,197       1,450  

4.500% due 11/27/2028

    1,047       1,270  

6.200% due 11/27/2028

    1,296       1,571  

Countrywide Asset-Backed Certificates Trust

   

2.167% (US0001M + 0.270%) due 09/25/2046 ~

  $ 15,000       9,389  

Duke Funding Ltd.

   

2.433% (LIBOR03M + 0.640%) due 08/07/2033 ~

    17,334       7,285  

Glacier Funding CDO Ltd.

   

2.057% (US0003M + 0.270%) due 08/04/2035 ~

    7,057       1,741  

Grosvenor Place CLO BV

   

0.000% due 04/30/2029 ~

  EUR 1,000       912  

Halcyon Loan Advisors European Funding BV

   

0.000% due 04/15/2030 ~

    1,100       1,168  

Long Beach Mortgage Loan Trust

   

2.087% (US0001M + 0.190%) due 02/25/2036 ~

  $ 1,420       1,200  

Man GLG Euro CLO

   

0.000% due 10/15/2030 «~

  EUR 4,150       3,946  

Merrill Lynch Mortgage Investors Trust

   

2.057% (US0001M + 0.160%) due 04/25/2037 ~

  $ 956       607  

5.953% due 03/25/2037

    3,945       1,226  

Morgan Stanley Mortgage Loan Trust

   

3.702% (US0006M + 1.250%) due 11/25/2036 ^~

    856       459  

5.965% due 09/25/2046 ^

    7,628       4,336  

NovaStar Mortgage Funding Trust

   

2.057% (LIBOR01M + 0.160%) due 10/25/2036 ~

    33,451       21,030  

People’s Financial Realty Mortgage Securities Trust

   

2.057% (US0001M + 0.160%) due 09/25/2036 ~

    22,125       7,138  

Renaissance Home Equity Loan Trust

   

5.812% due 11/25/2036

    9,313       5,586  

6.998% due 09/25/2037 ^

    7,902       4,410  

7.238% due 09/25/2037 ^

    6,663       3,718  

Sherwood Funding CDO Ltd.

   

2.251% (LIBOR01M + 0.360%) due 11/06/2039 ~

    35,403       10,472  

South Coast Funding Ltd.

   

2.411% (LIBOR03M + 0.600%) due 08/10/2038 ~

    26,635       5,194  

Specialty Underwriting & Residential Finance Trust

   

2.872% (US0001M + 0.975%) due 06/25/2036 ~

    409       110  

Taberna Preferred Funding Ltd.

   

2.167% (US0003M + 0.380%) due 08/05/2036 ~

    646       549  

2.167% (US0003M + 0.380%) due 08/05/2036 ^~

    12,657       10,758  

Washington Mutual Asset-Backed Certificates Trust

   

2.047% (US0001M + 0.150%) due 05/25/2036 ~

    261       227  
   

 

 

 

Total Asset-Backed Securities

(Cost $141,631)

      139,177  
   

 

 

 

SOVEREIGN ISSUES 6.0%

   

Argentina Government International Bond

   

2.260% due 12/31/2038

  EUR 4,410       3,664  

3.375% due 01/15/2023

    200       239  

5.250% due 01/15/2028

    200       235  

6.250% due 11/09/2047

    200       224  

7.820% due 12/31/2033

    14,733       19,673  

22.844% (BADLARPP) due 10/04/2022 ~

  ARS 84       7  

24.839% (BADLARPP + 2.000%) due 04/03/2022 ~

    89,562       4,359  

25.331% (BADLARPP + 2.500%) due 03/11/2019 ~

    400       19  

26.088% (BADLARPP + 3.250%) due 03/01/2020 ~

    1,600       81  

28.875% (ARPP7DRR) due 06/21/2020 ~

    130,062       6,633  

Autonomous Community of Catalonia

   

4.750% due 06/04/2018

  EUR 14       17  

4.900% due 09/15/2021

    2,350       3,125  

Egypt Government International Bond

   

4.750% due 04/16/2026

    400       482  

5.625% due 04/16/2030

    400       478  

Peru Government International Bond

   

6.350% due 08/12/2028

  PEN 4,000       1,337  

Qatar Government International Bond

   

3.875% due 04/23/2023

  $ 600       598  

4.500% due 04/23/2028

    400       400  

5.103% due 04/23/2048

    400       397  

Republic of Greece Government International Bond

   

3.000% due 02/24/2023

  EUR 25       31  

3.000% due 02/24/2024

    25       31  

3.000% due 02/24/2025

    25       30  

3.000% due 02/24/2026

    25       30  

3.000% due 02/24/2027

    25       30  

3.000% due 02/24/2028

    25       30  


                                         

3.000% due 02/24/2029

    25       29  

3.000% due 02/24/2030

    25       29  

3.000% due 02/24/2031

    25       28  

3.000% due 02/24/2032

    25       28  

3.000% due 02/24/2033

    25       28  

3.000% due 02/24/2034

    25       27  

3.000% due 02/24/2035

    25       28  

3.000% due 02/24/2036

    25       27  

3.000% due 02/24/2037

    25       27  

3.000% due 02/24/2038

    25       27  

3.000% due 02/24/2039

    25       27  

3.000% due 02/24/2040

    25       27  

3.000% due 02/24/2041

    25       27  

3.000% due 02/24/2042

    25       27  

4.750% due 04/17/2019

    3,000       3,756  

Saudi Government International Bond

   

4.000% due 04/17/2025

  $ 3,000       2,961  

5.000% due 04/17/2049

    1,400       1,346  

Turkey Government International Bond

   

6.125% due 10/24/2028

    400       400  

Venezuela Government International Bond

   

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

    365       104  

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

    452       142  
   

 

 

 

Total Sovereign Issues

(Cost $49,997)

      51,245  
   

 

 

 
    SHARES        

COMMON STOCKS 1.9%

   

CONSUMER DISCRETIONARY 0.8%

   

Caesars Entertainment Corp. (f)

    584,952       6,639  
   

 

 

 

ENERGY 0.4%

   

Forbes Energy Services Ltd. (f)(k)

    66,131       503  

Ocean Rig UDW, Inc. (f)

    138,675       3,364  

Warren Resources, Inc. «

    23,043       31  
   

 

 

 
      3,898  
   

 

 

 

FINANCIALS 0.7%

   

TIG FinCo PLC «(k)

    3,457,270       5,712  
   

 

 

 

Total Common Stocks

(Cost $17,676)

      16,249  
   

 

 

 

WARRANTS 0.1%

   

INDUSTRIALS 0.1%

   

Sequa Corp. - Exp. 04/28/2024 «

    1,795,000       541  
   

 

 

 

Total Warrants

(Cost $0)

      541  
   

 

 

 

PREFERRED SECURITIES 3.8%

   

BANKING & FINANCE 0.3%

   

Farm Credit Bank of Texas

   

10.000% due 12/15/2020 (i)(k)

    1,840       2,171  
   

 

 

 

INDUSTRIALS 3.5%

   

Sequa Corp.

   

9.000% «

    33,284       29,956  
   

 

 

 

Total Preferred Securities

(Cost $35,451)

      32,127  
   

 

 

 

REAL ESTATE INVESTMENT TRUSTS 2.0%

   

REAL ESTATE 2.0%

   

VICI Properties, Inc. (k)

    934,782       16,994  
   

 

 

 

Total Real Estate Investment Trusts

(Cost $12,650)

      16,994  
   

 

 

 

 


                                         

SHORT-TERM INSTRUMENTS 1.6%

   

REPURCHASE AGREEMENTS (l) 1.2%

      10,449  
   

 

 

 
    PRINCIPAL
AMOUNT
(000S)
       

SHORT-TERM NOTES 0.1%

   

Letras del Banco Central de la Republica Argentina

   

25.150% due 10/17/2018

  ARS     5,400       235  

25.600% due 07/18/2018

    1,190       55  

25.650% due 08/15/2018

    1,300       59  

25.700% due 07/18/2018

    10,300       475  

26.150% due 05/16/2018

    1,489       72  

26.250% due 05/16/2018

    5,780       279  

26.450% due 05/16/2018

    100       5  
   

 

 

 
      1,180  
   

 

 

 

ARGENTINA TREASURY BILLS 0.1%

   

9.034% due 09/14/2018 (g)(h)

    17,800       845  
   

 

 

 

U.S. TREASURY BILLS 0.2%

   

1.577% due 05/03/2018 - 07/05/2018 (g)(h)(m)(p)

  $ 1,495       1,493  
   

 

 

 

Total Short-Term Instruments

(Cost $14,062)

      13,967  
   

 

 

 

Total Investments in Securities

(Cost $1,049,700)

      1,090,310  
   

 

 

 

Total Investments 128.6%

(Cost $1,049,700)

    $ 1,090,310  

Financial Derivative Instruments (n)(o) 0.6%

(Cost or Premiums, net $139,324)

      5,097  
Preferred Shares (12.0)%       (101,975
Other Assets and Liabilities, net (17.2)%       (145,865
   

 

 

 
Net Assets Applicable to Common Shareholders 100.0%     $ 847,567  
   

 

 

 

 


Notes to Schedule of Investments:

 

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

 

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

 

^ Security is in default.

 

« Security valued using significant unobservable inputs (Level 3).

 

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

 

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

 

(a) Interest only security.

 

(b) Principal only security.

 

(c) When-issued security.

 

(d) Payment in-kind security.

 

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

 

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

 

(g) Coupon represents a weighted average yield to maturity.

 

(h) Zero coupon security.

 

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

 

(j) Contingent convertible security.

 

(k) Restricted Securities:

 

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

Farm Credit Bank of Texas
10.000% due 12/15/2020

                 09/17/2013        $ 2,167        $ 2,171          0.26

Forbes Energy Services Ltd.

                 10/09/2014 - 10/17/2016          2,028          503          0.06  

TIG FinCo PLC

                 04/02/2015 - 07/20/2017          4,632          5,712          0.67  

VICI Properties, Inc.

                 11/19/2014 - 11/20/2017          12,650          16,994          2.01  
                   

 

 

      

 

 

      

 

 

 
     $   21,477        $   25,380          3.00
                   

 

 

      

 

 

      

 

 

 

Borrowings and Other Financing Transactions

 

(l) Repurchase Agreements:

 

Counterparty   Lending
Rate
    Settlement
Date
    Maturity
Date
    Principal
Amount
    Collateralized By   Collateral
(Received)
    Repurchase
Agreements,
at Value
    Repurchase
Agreement
Proceeds
to be
Received (1)
 
DEU     1.830     04/30/2018       05/01/2018     $   5,100     U.S. Treasury Bonds 2.750% due 08/15/2042   $ (5,226   $ 5,100     $ 5,100  
FICC     1.250       04/30/2018       05/01/2018       5,349     U.S. Treasury Notes 2.125% due 08/15/2021     (5,457     5,349       5,349  
           

 

 

   

 

 

   

 

 

 

Total Repurchase Agreements

  $   (10,683   $   10,449     $   10,449  
           

 

 

   

 

 

   

 

 

 

 


Reverse Repurchase Agreements:

 

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

BCY

     (2.000 )%       01/09/2018        TBD  (3)    $ (1,646   $ (1,636
     0.750        03/26/2018        TBD  (3)      (1,772     (1,773

BPS

     2.450        03/28/2018        05/29/2018       (10,014     (10,037

CFR

     (2.500      04/09/2018        05/07/2018       (201     (201
     (1.750      03/13/2018        TBD  (3)    EUR (1,756     (2,115

CIW

     2.250        04/11/2018        05/10/2018     $ (13,798     (13,815

JML

     0.000        04/03/2018        TBD  (3)    GBP (1,042     (1,434

JPS

     2.300        04/16/2018        05/16/2018     $ (3,644     (3,648

RTA

     2.798        03/22/2018        06/22/2018       (6,328     (6,348
     2.819        03/12/2018        09/12/2018       (4,176     (4,192
     2.909        04/23/2018        07/23/2018       (2,822     (2,824

SOG

     2.300        02/16/2018        05/16/2018         (12,151     (12,208
     2.330        02/21/2018        05/21/2018       (4,300     (4,319
     2.380        03/07/2018        06/07/2018       (4,073     (4,088
     2.380        03/12/2018        06/12/2018       (1,481     (1,486
     2.560        03/23/2018        06/22/2018       (5,428     (5,443
     2.600        04/10/2018        07/10/2018       (4,833     (4,840
     2.740        05/01/2018        08/01/2018       (18,363     (18,363
     3.189        07/12/2017        07/12/2018       (6,944     (6,952
     3.189        11/29/2017        07/12/2018       (2,134     (2,137

UBS

     0.150        04/30/2018        05/30/2018     EUR (9,866     (11,915
     2.090        02/02/2018        05/02/2018     $ (7,095     (7,131
     2.280        02/27/2018        05/31/2018       (2,099     (2,107
     2.330        03/05/2018        06/05/2018       (7,799     (7,828
     2.370        03/12/2018        06/13/2018       (1,038     (1,041
     2.370        04/10/2018        06/13/2018       (3,093     (3,097
     2.410        03/07/2018        06/07/2018       (4,217     (4,233
     2.410        03/12/2018        05/03/2018       (537     (539
     2.410        03/21/2018        06/12/2018       (764     (766
     2.430        03/05/2018        06/05/2018       (9,968     (10,006
     2.530        02/27/2018        05/31/2018       (3,075     (3,089
     2.560        02/28/2018        05/31/2018       (5,268     (5,291
     2.580        03/05/2018        06/05/2018       (240     (241
     2.620        03/12/2018        06/13/2018       (281     (282
     2.660        03/12/2018        06/12/2018       (13,404     (13,454
     2.890        04/13/2018        05/14/2018       (5,498     (5,506
            

 

 

 

Total Reverse Repurchase Agreements

             $   (184,385
            

 

 

 

 

(m) Securities with an aggregate market value of $199,837 have been pledged as collateral under the terms of master agreements as of April 30, 2018.

 

(1)  Includes accrued interest.
(2)  The average amount of borrowings outstanding during the period ended April 30, 2018 was $(158,210) at a weighted average interest rate of 1.952%. Average borrowings may include sale-buyback transactions and reverse repurchase agreements, if held during the period.
(3)  Open maturity reverse repurchase agreement.

 

(n) Financial Derivative Instruments: Exchange-Traded or Centrally Cleared

Swap Agreements:

Credit Default Swaps on Corporate Issues - Sell Protection (1)

 

                                                                                                                                                                                                                 
      Variation Margin  
Reference Entity   Fixed
Receive Rate
    Payment
Frequency
  Maturity
Date
    Implied Credit
Spread at
April 30, 2018 (2)
    Notional
Amount (3)
    Premiums
Paid/
(Received)
    Unrealized
Appreciation/
(Depreciation)
    Market
Value
    Asset     Liability  

Banco Espirito Santo S.A.

    5.000   Quarterly     09/20/2020       8.365     EUR  5,000     $ (978   $ 708     $ (270   $ 99     $ 0  

Frontier Communications Corp.

    5.000     Quarterly     06/20/2020       8.261     $ 9,600       (317     (210     (527     0       (29

Novo Banco S.A.

    5.000     Quarterly     12/20/2021       7.520     EUR   300       (71     55       (16     7       0  
           

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
        $   (1,366   $   553     $   (813   $   106     $   (29
           

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 


Interest Rate Swaps

 

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

Pay

 

3-Month USD-LIBOR

    2.190   Semi-Annual     12/28/2022     $ 726,200     $ (1,516   $ (17,660   $ (19,176   $ 6     $ 0  

Pay

 

3-Month USD-LIBOR

    2.860     Semi-Annual     04/26/2023         500,000       (1,369     (87     (1,456     0       (13

Receive (4)

 

3-Month USD-LIBOR

    2.000     Semi-Annual     06/20/2023       256,400       4,568       6,698       11,266       0       (35

Pay

 

3-Month USD-LIBOR

    2.500     Semi-Annual     12/20/2027       3,100       55       (160     (105     2       0  

Pay

 

3-Month USD-LIBOR

    3.500     Semi-Annual     06/19/2044       617,800       110,477         (54,180     56,297       457       0  

Receive (4)

 

3-Month USD-LIBOR

    2.500     Semi-Annual     06/20/2048       753,500       28,854       58,086       86,940       0       (219

Receive (4)

 

6-Month EUR-EURIBOR

    1.000     Annual     06/20/2028     EUR 2,200       1       7       8       0       (5

Receive (4)

 

6-Month EUR-EURIBOR

    1.250     Annual     09/19/2028       21,400       (300     (110     (410     0       (50

Pay (4)

 

6-Month GBP-LIBOR

    1.500     Semi-Annual     09/19/2028     GBP 55,200       1,265       (452     813       0       (379
           

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
      $   142,035     $ (7,858   $ 134,177     $ 465     $ (701
           

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Swap Agreements

 

  $   140,669     $ (7,305   $   133,364     $   571     $   (730
           

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Cash of $26,792 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of April 30, 2018.

 

(1)  If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.
(2)  Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
(3)  The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.
(4)  This instrument has a forward starting effective date.

 

(o) Financial Derivative Instruments: Over the Counter

Forward Foreign Currency Contracts:

 

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

BOA

    05/2018      ARS 850      $ 41      $ 0     $ 0  

BPS

    05/2018      PEN 4,622        1,414        0       (6
    05/2018      $ 60      ARS 1,227        0       (1
    06/2018      ARS 33,903      $ 1,595        0       (7
    07/2018        12,116        559        0       (3
    08/2018        1,300        60        2       0  

BRC

    05/2018      $ 61      ARS 1,263        0       0  

CBK

    05/2018      ARS 560      $ 27        0       0  
    05/2018      EUR 4,100        5,064        113       0  
    05/2018      $ 7,236      GBP 5,185        0       (97
    05/2018        580      RUB 33,197        0       (53
    06/2018      ARS 8,848      $ 416        0       (2
    06/2018      GBP 2,281        3,157        12       0  
    07/2018      ARS 2,771        128        0       0  

DUB

    05/2018      BRL 495        149        8       0  
    05/2018      $ 142      BRL 496        0       (1

FBF

    05/2018      ARS 400      $ 19        0       0  
    05/2018      BRL 692        199        1       0  
    05/2018      EUR 70,951        88,054        2,374       0  
    05/2018      $ 203      BRL 692        0       (6
    05/2018        3,656      RUB 207,077        0       (377
    06/2018      BRL 692      $ 203        6       0  

GLM

    05/2018      ARS 270        13        0       0  
    05/2018      BRL 97        29        1       0  
    05/2018      GBP 774        1,081        15       0  
    05/2018      RUB 33,197        535        9       0  
    05/2018      $ 28      BRL 97        0       0  
    07/2018        532      RUB 33,197        0       (9

HUS

    05/2018      ARS 520      $ 25        0       0  
    05/2018      GBP 82,701        117,734        3,874       0  
    05/2018      $ 56      ARS 1,141        0       (1
    05/2018        4,215      RUB         244,682        0       (340
    07/2018      ARS 1,190      $ 56        2       0  

JPM

    05/2018      EUR 1,765        2,159        27       0  
    05/2018      $ 9,923      EUR 8,034        0       (221
    05/2018        1,157      GBP 822        0       (25
    07/2018      ARS 1,607      $ 74        0       0  

MSB

    05/2018      BRL 99        30        2       0  
    05/2018      $ 28      BRL 99        0       0  

RBC

    05/2018      EUR 2,563      $ 3,164        69       0  
    05/2018      GBP 1,507        2,105        30       0  

RYL

    05/2018      ARS 4,100        199        2       0  

SCX

    05/2018      $         110,278      GBP 78,975        0       (1,548
    06/2018      GBP   78,975      $   110,426        1,543       0  

SOG

    06/2018      $ 188      RUB 10,934        0       (15

SSB

    05/2018        86,869      EUR 71,345        0       (714
    06/2018      EUR 71,345      $ 87,066        713       0  
          

 

 

   

 

 

 

Total Forward Foreign Currency Contracts

 

   $   8,803     $   (3,426
          

 

 

   

 

 

 

 


Swap Agreements:

Credit Default Swaps on Corporate Issues - Sell Protection (1)

 

      Swap Agreements, at Value  
Counterparty   Reference Entity   Fixed
Receive Rate
    Payment
Frequency
    Maturity
Date
    Implied Credit
Spread at
April 30, 2018 (2)
   

Notional

Amount (3)

    Premiums
Paid/
(Received)
    Unrealized
Appreciation/
(Depreciation)
    Asset     Liability  

BPS

 

Petrobras Global Finance BV

    1.000     Quarterly       12/20/2024       2.558   $   1,700     $ (332   $ 184     $ 0     $ (148

GST

 

Petrobras Global Finance BV

    1.000       Quarterly       12/20/2024       2.558       2,200       (437     246       0       (191

HUS

 

Petrobras Global Finance BV

    1.000       Quarterly       12/20/2024       2.558       2,800       (581     337       0       (244
             

 

 

   

 

 

   

 

 

   

 

 

 
      $   (1,350   $   767     $   0     $   (583
             

 

 

   

 

 

   

 

 

   

 

 

 

Interest Rate Swaps

 

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

GLM

  Pay   3-Month USD-LIBOR     3.088   Semi-Annual     06/20/2023     $   400,000     $ 5     $ 457     $ 462     $ 0  
             

 

 

   

 

 

   

 

 

   

 

 

 

Total Swap Agreements

 

  $   (1,345   $   1,224     $   462     $   (583
             

 

 

   

 

 

   

 

 

   

 

 

 

 

(p) Securities with an aggregate market value of $433 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of April 30, 2018.

 

(1)  If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.
(2)  Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
(3)  The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

Fair Value Measurements

The following is a summary of the fair valuations according to the inputs used as of April 30, 2018 in valuing the Fund’s assets and liabilities:

 

Category and Subcategory    Level 1        Level 2        Level 3        Fair Value
at 04/30/2018
 

Investments in Securities, at Value

 

Loan Participations and Assignments

   $ 0        $ 20,379        $ 1,572        $ 21,951  

Corporate Bonds & Notes

                 

Banking & Finance

     0          239,778          0          239,778  

Industrials

     0          229,871          491          230,362  

Utilities

     0          56,078          0          56,078  

Convertible Bonds & Notes

                 

Industrials

     0          4,641          0          4,641  

Municipal Bonds & Notes

                 

California

     0          4,080          0          4,080  

District of Columbia

     0          10,620          0          10,620  

Illinois

     0          21,816          0          21,816  

New York

     0          1,800          0          1,800  

Texas

     0          9,956          0          9,956  

Virginia

     0          1,318          0          1,318  

West Virginia

     0          13,691          0          13,691  

U.S. Government Agencies

     0          26,433          8,500          34,933  

Non-Agency Mortgage-Backed Securities

     0          168,986          0          168,986  

Asset-Backed Securities

     0          135,231          3,946          139,177  

Sovereign Issues

     0          51,245          0          51,245  

Common Stocks

                 

Consumer Discretionary

     6,639          0          0          6,639  

Energy

     3,867          0          31          3,898  

Financials

     0          0          5,712          5,712  

Warrants

                 

Industrials

     0          0          541          541  

Preferred Securities

                 

Banking & Finance

     0          2,171          0          2,171  

Industrials

     0          0          29,956          29,956  

Real Estate Investment Trusts

                 

Real Estate

     16,994          0          0          16,994  

Corporate Bonds & Notes

     0          0          0          0  

Short-Term Instruments

                 

Repurchase Agreements

     0          10,449          0          10,449  

Short-Term Notes

     0          1,180          0          1,180  

Argentina Treasury Bills

     0          845          0          845  

U.S. Treasury Bills

     0          1,493          0          1,493  

Total Investments

   $ 27,500        $ 1,012,061        $ 50,749        $ 1,090,310  

Financial Derivative Instruments - Assets

                 

Exchange-traded or centrally cleared

     0          571          0          571  

Over the counter

     0          9,265          0          9,265  
   $ 0        $ 9,836        $ 0        $ 9,836  

Financial Derivative Instruments - Liabilities

                 

Exchange-traded or centrally cleared

     0          (730        0          (730

Over the counter

     0          (4,009        0          (4,009
     $ 0        $ (4,739      $ 0        $ (4,739

Total Financial Derivative Instruments

   $ 0        $ 5,097        $ 0        $ 5,097  

Totals

   $   27,500        $   1,017,158        $   50,749        $   1,095,407  

There were no significant transfers among Levels 1 and 2 during the period ended April 30, 2018.


The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended April 30, 2018:

 

Category and Subcategory   Beginning
Balance
at 07/31/2017
    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 04/30/2018
    Net Change in
Unrealized
Appreciation/
(Depreciation)
on Investments
Held at
04/30/2018 (1)
 
Investments in Securities, at Value  

Loan Participations and Assignments

  $ 1,607     $ 1,630     $ (771   $ 18     $ 8     $ (47   $ 0     $ (873   $ 1,572     $ (12

Corporate Bonds & Notes

                   

Banking & Finance

    7,218       0       (320     3       16       (103     0       (6,814     0       0  

Industrials

    10,403       490       (10,403     0       106       (105     0       0       491       1  

U.S. Government Agencies

    8,136       0       (105     157       41       271       0       0       8,500       267  

Asset-Backed Securities

    0       4,038       0       3       0       (95     0       0       3,946       (95

Common Stocks

                   

Energy

    31       0       0       0       0       0       0       0       31       0  

Financials

    4,561       0       0       0       0       1,151       0       0       5,712       1,151  

Warrants

                   

Industrials

    842       0       0       0       0       (301     0       0       541       (301

Preferred Securities

                   

Industrials

    32,467       0       0       0       0       (2,511     0       0       29,956       (2,511
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Totals

  $ 65,265     $ 6,158     $ (11,599   $ 181     $ 171     $ (1,740   $ 0     $ (7,687   $ 50,749     $ (1,500
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

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 04/30/2018
     Valuation Technique      Unobservable Inputs    Input Value(s)
(% Unless Noted Otherwise)
 

Investments in Securities, at Value

  

Loan Participations and Assignments

   $ 1,572      Proxy Pricing      Base Price      98.000 - 100.000  

Corporate Bonds & Notes

             

Industrials

     491     

Other Valuation Techniques (2)

    

—  

      

U.S. Government Agencies

     8,500      Proxy Pricing      Base Price      60.130  

Asset-Backed Securities

     3,946      Proxy Pricing      Base Price      79.190  

Common Stocks

             

Energy

     31     

Other Valuation Techniques (2)

    

—  

      

Financials

     5,712     

Other Valuation Techniques (2)

    

—  

      

Warrants

             

Industrials

     541     

Other Valuation Techniques (2)

    

—  

      

Preferred Securities

             

Industrials

     29,956     

Indicative Market Quotation

    

Broker Quote

   $ 900.000  
  

 

 

            

Total

   $ 50,749             
  

 

 

            

 

(1)  Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at April 30, 2018 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 Supplementary Notes to Schedule of Investments as securities valued using such techniques are not considered significant to the Fund.

See Accompanying Notes


Notes to Financial Statements

1. INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS

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

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

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