Schedule of Investments PIMCO High Income Fund

March 31, 2024

(Unaudited)

 

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

 

 

PRINCIPAL
AMOUNT
(000s)

 

MARKET
VALUE
(000s)

INVESTMENTS IN SECURITIES 110.2% ¤

 

 

 

 

LOAN PARTICIPATIONS AND ASSIGNMENTS 23.1%

 

 

 

 

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

EUR

1,200

$

1,261

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

$

400

 

401

Amsurg
14.248% due 07/20/2026 «~

 

10,948

 

10,948

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

 

8,235

 

8,082

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

 

2,500

 

2,500

Cohesity

 

 

 

 

TBD% due 03/08/2031 «µ

 

909

 

909

TBD% due 03/08/2031 «

 

8,600

 

8,600

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

 

6,176

 

5,944

Forward Air Corp.
9.827% (TSFR1M + 4.500%) due 12/19/2030 ~

 

400

 

395

Gateway Casinos & Entertainment Ltd.

 

 

 

 

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

CAD

1,591

 

1,177

13.469% due 10/15/2027

$

7,291

 

7,310

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

 

490

 

428

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

 

105

 

58

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

 

533

 

221

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

 

1,900

 

1,907

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

GBP

11,739

 

14,823

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

$

7,527

 

7,292

Oi SA

 

 

 

 

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

 

3,485

 

61

12.500% due 09/07/2024

 

9,023

 

8,977

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

EUR

3,000

 

3,187

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

 

11,663

 

12,436

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

 

782

 

802

Proofpoint, Inc.
TBD% due 08/31/2028

$

300

 

300

PUG LLC
10.075% (TSFR03M + 4.750%) due 03/15/2030 ~

 

3,600

 

3,610

Red Rock Resorts
TBD% due 03/14/2031

 

1,900

 

1,900

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

 

187

 

181

Steenbok Lux Finco 2 SARL
1TBD% due 06/30/2026

EUR

23,829

 

9,838

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

$

19,540

 

18,705

Telemar Norte Leste SA

 

 

 

 

1.750% due 02/26/2035 «

 

8,442

 

148

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

 

10,818

 

190

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

 

21,439

 

18,687

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

 

5,331

 

4,947

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

 

6,727

 

7,200

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

 

3,355

 

2,181

 

 

 

Schedule of Investments PIMCO High Income Fund (Cont.)

March 31, 2024

(Unaudited)

 

Windstream Services LLC
11.680% due 09/21/2027

 

2,612

 

2,558

Total Loan Participations and Assignments (Cost $177,656)

 

 

 

168,164

CORPORATE BONDS & NOTES 38.5%

 

 

 

 

BANKING & FINANCE 11.3%

 

 

 

 

Agps Bondco PLC

 

 

 

 

4.625% due 01/14/2026

EUR

4,500

 

1,901

5.000% due 04/27/2027

 

2,700

 

1,129

5.500% due 11/13/2026

 

700

 

294

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

$

1,900

 

1,796

Atlantic Marine Corps Communities LLC
5.383% due 02/15/2048 (k)

 

4,099

 

3,201

Banca Monte dei Paschi di Siena SpA

 

 

 

 

7.708% due 01/18/2028 •

EUR

1,700

 

1,924

8.000% due 01/22/2030 •

 

2,230

 

2,438

8.500% due 09/10/2030 •

 

2,000

 

2,226

10.500% due 07/23/2029

 

2,067

 

2,632

Banco Bilbao Vizcaya Argentaria SA
6.033% due 03/13/2035 •

$

800

 

812

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

PEN

1,000

 

266

Banco do Brasil SA
6.000% due 03/18/2031

$

400

 

402

Barclays PLC

 

 

 

 

6.224% due 05/09/2034 •(k)

 

1,320

 

1,362

6.692% due 09/13/2034 •

 

700

 

746

7.437% due 11/02/2033 •(k)

 

2,112

 

2,348

BOI Finance BV
7.500% due 02/16/2027 (k)

EUR

3,300

 

3,376

BPCE SA
7.003% due 10/19/2034 •(k)

$

2,500

 

2,723

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

 

500

 

535

Cape Lookout Re Ltd.
13.362% (T-BILL 1MO + 8.000%) due 04/05/2027 «~

 

900

 

902

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

 

997

 

623

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

 

1,000

 

998

Credit Suisse AG AT1 Claim   600 537,548   69 16,974  

East Lane Re Ltd.
14.612% (T-BILL 3MO + 9.250%) due 03/31/2026 ~

 

250

 

251

Fairfax Financial Holdings Ltd.
6.350% due 03/22/2054

 

1,300

 

1,327

Ford Motor Credit Co. LLC

 

 

 

 

5.800% due 03/08/2029

 

1,000

 

1,004

6.125% due 03/08/2034 (k)

 

1,900

 

1,911

GSPA Monetization Trust
6.422% due 10/09/2029

 

3,793

 

3,648

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

 

939

 

928

Hudson Pacific Properties LP
5.950% due 02/15/2028

 

100

 

92

Integrity Re Ltd.

 

 

 

 

22.362% (T-BILL 1MO + 17.000%) due 06/06/2026 ~

 

450

 

450

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

 

450

 

450

Intesa Sanpaolo SpA

 

 

 

 

6.625% due 06/20/2033 (k)

 

3,600

 

3,739

7.200% due 11/28/2033 (k)

 

2,400

 

2,587

Kennedy Wilson Europe Real Estate Ltd.
3.250% due 11/12/2025

EUR

500

 

508

Lazard Group LLC
6.000% due 03/15/2031

$

300

 

303

Lloyds Banking Group PLC
5.679% due 01/05/2035 •(k)

 

700

 

705

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

 

800

 

810

Panther Escrow Issuer LLC
7.125% due 06/01/2031 (b)

 

2,100

 

2,137

Radian Group, Inc.
6.200% due 05/15/2029

 

1,600

 

1,625

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

 

1,545

 

1,388

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

 

1,200

 

1,259

SVB Financial Group

 

 

 

 

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

 

1,375

 

859

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

 

200

 

128

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

 

200

 

129

3.500% due 01/29/2025 ^(d)

 

100

 

64

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

 

600

 

381

Schedule of Investments PIMCO High Income Fund (Cont.)

March 31, 2024

(Unaudited)

 

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

 

1,800

 

1,142

Trust Fibra Uno
7.375% due 02/13/2034 (k)

 

700

 

699

Uniti Group LP

 

 

 

 

4.750% due 04/15/2028 (k)

 

2,800

 

2,447

6.000% due 01/15/2030 (k)

 

8,363

 

6,244

6.500% due 02/15/2029 (k)

 

3,100

 

2,405

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

 

1,000

 

1,013

VICI Properties LP
3.875% due 02/15/2029 (k)

 

6,900

 

6,356

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

 

4,153

 

726

Winston RE Ltd.
17.112% (T-BILL 3MO + 11.750%) due 02/26/2031 ~

 

700

 

695

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

 

840

 

870

 

 

 

 

81,983

INDUSTRIALS 24.1%

 

 

 

 

Altice France Holding SA

 

 

 

 

8.000% due 05/15/2027

EUR

4,000

 

1,444

10.500% due 05/15/2027

$

3,300

 

1,238

American Airlines Pass-Through Trust

 

 

 

 

3.375% due 11/01/2028 (k)

 

1,266

 

1,197

3.700% due 04/01/2028 (k)

 

898

 

862

BAT Capital Corp.
6.343% due 08/02/2030 (k)

 

800

 

834

Beazer Homes USA, Inc.
7.500% due 03/15/2031

 

700

 

708

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

 

1,687

 

1,626

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

 

7,015

 

6,731

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

 

7,532

 

7,442

CGG SA

 

 

 

 

7.750% due 04/01/2027

EUR

1,400

 

1,386

8.750% due 04/01/2027 (k)

$

7,789

 

7,065

Delek Logistics Partners LP
8.625% due 03/15/2029

 

900

 

920

Directv Financing LLC
5.875% due 08/15/2027 (k)

 

1,600

 

1,515

DISH DBS Corp.

 

 

 

 

5.250% due 12/01/2026

 

4,800

 

3,789

5.750% due 12/01/2028

 

7,850

 

5,410

Ecopetrol SA
8.375% due 01/19/2036

 

260

 

263

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

 

109

 

18

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

 

10,245

 

11,059

General Shopping Investments Ltd.
17.402% due 09/20/2024 (h)

 

2,500

 

113

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

 

5,000

 

4,996

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

 

3,262

 

3,622

Incora
1.000% due 11/15/2026 ^(d)

 

162

 

147

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

 

16,312

 

15,196

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

EUR

3,300

 

3,502

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

$

400

 

382

LifePoint Health, Inc.

 

 

 

 

9.875% due 08/15/2030 (k)

 

1,100

 

1,152

11.000% due 10/15/2030 (k)

 

4,900

 

5,243

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

EUR

900

 

916

Medline Borrower LP
6.250% due 04/01/2029

$

1,000

 

1,006

New Albertsons LP
6.570% due 02/23/2028

 

4,021

 

3,840

Newfold Digital Holdings Group, Inc.

 

 

 

 

6.000% due 02/15/2029

 

1,200

 

941

11.750% due 10/15/2028 (k)

 

500

 

542

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

 

8,700

 

8,130

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

 

3,371

 

185

Petroleos Mexicanos

 

 

 

 

6.700% due 02/16/2032

 

1,663

 

1,384

6.750% due 09/21/2047 (k)

 

1,098

 

731

Schedule of Investments PIMCO High Income Fund (Cont.)

March 31, 2024

(Unaudited)

 

6.840% due 01/23/2030

 

1,100

 

971

8.750% due 06/02/2029 (k)

 

1,257

 

1,227

Prime Healthcare Services, Inc.
7.250% due 11/01/2025 (k)

 

1,604

 

1,597

Station Casinos LLC
6.625% due 03/15/2032

 

1,000

 

1,011

Surgery Center Holdings, Inc.
7.250% due 04/15/2032 (b)

 

600

 

605

Topaz Solar Farms LLC

 

 

 

 

4.875% due 09/30/2039 (k)

 

2,024

 

1,801

5.750% due 09/30/2039

 

6,630

 

6,626

TransDigm, Inc.
6.375% due 03/01/2029

 

1,500

 

1,507

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

 

1,001

 

878

USA Compression Partners LP
7.125% due 03/15/2029

 

400

 

405

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

 

968

 

999

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

BRL

120,000

 

7,760

Venture Global LNG, Inc.

 

 

 

 

9.500% due 02/01/2029

$

2,909

 

3,137

9.875% due 02/01/2032

 

3,100

 

3,343

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

 

4,280

 

3,928

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

 

500

 

508

Wesco Aircraft Holdings, Inc.
10.500% due 11/15/2026 ^(d)

 

662

 

602

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

 

27,010

 

24,579

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

 

9,423

 

8,730

 

 

 

 

175,749

UTILITIES 3.1%

 

 

 

 

FORESEA Holding SA

 

 

 

 

7.500% due 06/15/2030

 

1,244

 

1,171

7.500% due 06/15/2030 (k)

 

1,756

 

1,652

Mountain States Telephone & Telegraph Co.
7.375% due 05/01/2030

 

5,130

 

2,432

NGD Holdings BV
6.750% due 12/31/2026

 

747

 

519

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

 

20,600

 

361

Pacific Gas & Electric Co.

 

 

 

 

4.000% due 12/01/2046 (k)

 

600

 

450

4.450% due 04/15/2042 (k)

 

1,203

 

987

4.750% due 02/15/2044 (k)

 

5,076

 

4,288

PacifiCorp
5.800% due 01/15/2055 (k)

 

700

 

691

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

 

8,700

 

7,580

Raizen Fuels Finance SA
6.450% due 03/05/2034

 

300

 

308

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

 

1,800

 

1,923

 

 

 

 

22,362

Total Corporate Bonds & Notes (Cost $311,384)

 

 

 

280,094

CONVERTIBLE BONDS & NOTES 0.4%

 

 

 

 

INDUSTRIALS 0.4%

 

 

 

 

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

 

5,100

 

3,200

Total Convertible Bonds & Notes (Cost $5,100)

 

 

 

3,200

MUNICIPAL BONDS & NOTES 5.3%

 

 

 

 

DISTRICT OF COLUMBIA 1.5%

 

 

 

 

District of Columbia Revenue Bonds, Series 2011
7.625% due 10/01/2035

 

9,740

 

10,773

MICHIGAN 0.3%

 

 

 

 

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

 

2,300

 

1,824

Schedule of Investments PIMCO High Income Fund (Cont.)

March 31, 2024

(Unaudited)

 

PUERTO RICO 1.6%

 

 

 

 

Commonwealth of Puerto Rico Bonds, Series 2022

 

 

 

 

0.000% due 11/01/2043

 

1,527

 

884

0.000% due 11/01/2051

 

21,761

 

10,797

 

 

 

 

11,681

TEXAS 1.1%

 

 

 

 

El Paso Downtown Development Corp., Texas Revenue Bonds, Series 2013
7.250% due 08/15/2043

 

7,390

 

8,225

WEST VIRGINIA 0.8%

 

 

 

 

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

 

66,200

 

6,138

Total Municipal Bonds & Notes (Cost $36,185)

 

 

 

38,641

U.S. GOVERNMENT AGENCIES 2.0%

 

 

 

 

Fannie Mae

 

 

 

 

0.665% due 07/25/2050 •(a)(k)

 

3,059

 

317

3.500% due 09/25/2027 (a)

 

51

 

2

4.000% due 06/25/2050 (a)(k)

 

1,909

 

365

10.000% due 01/25/2034 •(k)

 

121

 

126

Freddie Mac

 

 

 

 

0.665% due 06/25/2050 •(a)(k)

 

3,304

 

361

0.667% due 07/15/2035 •(a)

 

406

 

24

0.767% due 02/15/2042 •(a)

 

607

 

32

1.707% due 08/15/2036 •(a)

 

227

 

27

2.134% due 05/15/2033 •

 

20

 

18

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

 

471

 

55

6.155% due 11/25/2055 «~

 

13,040

 

8,097

14.635% due 10/25/2027 •

 

4,291

 

4,589

Ginnie Mae

 

 

 

 

3.500% due 06/20/2042 (a)

 

34

 

5

3.500% due 03/20/2043 (a)(k)

 

448

 

81

4.500% due 07/20/2042 (a)

 

74

 

9

5.000% due 09/20/2042 (a)

 

131

 

17

Uniform Mortgage-Backed Security, TBA
3.000% due 04/01/2054

 

100

 

86

Total U.S. Government Agencies (Cost $16,083)

 

 

 

14,211

NON-AGENCY MORTGAGE-BACKED SECURITIES 12.7%

 

 

 

 

Adjustable Rate Mortgage Trust
5.784% due 05/25/2036 •

 

3,036

 

1,248

Atrium Hotel Portfolio Trust

 

 

 

 

7.053% due 06/15/2035 •

 

2,600

 

2,557

7.123% due 12/15/2036 •

 

5,500

 

5,262

Banc of America Alternative Loan Trust

 

 

 

 

0.156% due 06/25/2046 •(a)

 

2,286

 

111

1.196% due 06/25/2037 •(a)

 

1,937

 

158

5.804% due 06/25/2037 •

 

1,784

 

1,337

Banc of America Funding Trust

 

 

 

 

6.000% due 07/25/2037

 

269

 

218

6.250% due 10/26/2036

 

3,948

 

1,639

Banc of America Mortgage Trust
4.891% due 02/25/2036 ~

 

5

 

4

BCAP LLC Trust

 

 

 

 

4.527% due 03/26/2037 þ

 

1,166

 

1,645

6.000% due 05/26/2037 ~

 

4,209

 

1,773

Benchmark Mortgage Trust
3.440% due 08/15/2052 ~

 

1,500

 

1,425

Braemar Hotels & Resorts Trust
7.898% due 06/15/2035 •

 

1,600

 

1,554

BWAY Mortgage Trust
2.917% due 01/10/2035

 

4,444

 

2,623

CALI Mortgage Trust
3.957% due 03/10/2039

 

3,600

 

3,220

CD Mortgage Trust
5.688% due 10/15/2048

 

122

 

112

Chase Mortgage Finance Trust

 

 

 

 

4.365% due 09/25/2036 ~

 

35

 

28

4.897% due 12/25/2035 «~

 

7

 

6

Citigroup Commercial Mortgage Trust
5.248% due 12/10/2049 ~

 

1,699

 

1,093

Citigroup Mortgage Loan Trust

 

 

 

 

4.475% due 07/25/2037 ~

 

57

 

49

5.073% due 11/25/2035 ~

 

9,319

 

5,020

6.500% due 09/25/2036

 

2,205

 

1,208

Colony Mortgage Capital Ltd.

 

 

 

 

7.461% due 11/15/2038 •

 

1,700

 

1,586

8.157% due 11/15/2038 •

 

1,300

 

1,154

Schedule of Investments PIMCO High Income Fund (Cont.)

March 31, 2024

(Unaudited)

 

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

 

2,023

 

82

Countrywide Alternative Loan Trust

 

 

 

 

0.000% due 04/25/2035 •(a)

 

1,861

 

55

4.774% due 02/25/2037 ~

 

79

 

68

5.944% due 12/25/2046 •

 

1,512

 

1,232

6.000% due 02/25/2037

 

4,004

 

1,613

6.250% due 12/25/2036 •

 

2,118

 

891

6.500% due 06/25/2036

 

596

 

279

Countrywide Home Loan Mortgage Pass-Through Trust

 

 

 

 

0.000% due 12/25/2036 •(a)

 

1,652

 

90

4.172% due 09/20/2036 ~

 

197

 

169

4.428% due 09/25/2047 ~

 

15

 

13

Credit Suisse First Boston Mortgage Securities Corp.
6.000% due 01/25/2036

 

1,262

 

768

Credit Suisse Mortgage Capital Mortgage-Backed Trust

 

 

 

 

3.431% due 11/10/2032

 

1,200

 

1,018

9.794% due 07/15/2032 •

 

950

 

851

DBGS Mortgage Trust
7.740% due 10/15/2036 •

 

2,760

 

2,119

Eurosail PLC

 

 

 

 

6.692% due 06/13/2045 •

GBP

3,347

 

3,346

9.342% due 06/13/2045 •

 

988

 

1,009

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

$

1,200

 

1,207

HarborView Mortgage Loan Trust

 

 

 

 

4.047% due 08/19/2036 «~

 

92

 

78

4.724% due 08/19/2036 «~

 

1

 

1

Hilton USA Trust
2.828% due 11/05/2035

 

900

 

781

IM Pastor Fondo de Titluzacion Hipotecaria
4.062% due 03/22/2043 •

EUR

2,177

 

2,048

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

$

1,811

 

1,429

JP Morgan Alternative Loan Trust
4.110% due 03/25/2037 ~

 

2,540

 

2,301

JP Morgan Chase Commercial Mortgage Securities Trust

 

 

 

 

6.972% due 11/15/2035 •

 

1,300

 

1,091

7.190% due 03/15/2036 •

 

1,750

 

923

7.322% due 11/15/2035 •

 

600

 

447

JP Morgan Mortgage Trust

 

 

 

 

1.176% due 01/25/2037 •(a)

 

13,211

 

2,011

3.965% due 07/27/2037 ~

 

3,905

 

3,116

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

 

1,243

 

1,093

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

 

934

 

860

Natixis Commercial Mortgage Securities Trust
3.790% due 11/15/2032 ~

 

3,340

 

2,837

New Orleans Hotel Trust

 

 

 

 

6.962% due 04/15/2032 •

 

1,000

 

941

9.062% due 04/15/2032 •

 

1,400

 

1,290

Nomura Asset Acceptance Corp. Alternative Loan Trust
4.669% due 04/25/2036 ~

 

2,733

 

2,315

Nomura Resecuritization Trust
3.757% due 07/26/2035 ~

 

4,123

 

3,528

Residential Asset Securitization Trust

 

 

 

 

5.844% due 01/25/2046 •

 

165

 

47

6.250% due 09/25/2037

 

4,519

 

1,845

6.500% due 08/25/2036

 

787

 

221

SG Commercial Mortgage Securities Trust
2.937% due 03/15/2037

 

1,400

 

1,269

Structured Adjustable Rate Mortgage Loan Trust

 

 

 

 

4.353% due 04/25/2047 ~

 

264

 

123

4.776% due 01/25/2036 ~

 

94

 

48

Structured Asset Mortgage Investments Trust
5.824% due 07/25/2046 •

 

4,713

 

3,571

WaMu Mortgage Pass-Through Certificates Trust
3.312% due 05/25/2037 ~

 

60

 

46

Washington Mutual Mortgage Pass-Through Certificates Trust

 

 

 

 

1.236% due 04/25/2037 •(a)

 

6,817

 

987

6.500% due 03/25/2036

 

4,101

 

2,894

WSTN Trust

 

 

 

 

7.690% due 07/05/2037 ~

 

1,600

 

1,578

8.455% due 07/05/2037 ~

 

1,600

 

1,590

9.835% due 07/05/2037 ~

 

1,300

 

1,287

Total Non-Agency Mortgage-Backed Securities (Cost $101,752)

 

 

 

92,436

ASSET-BACKED SECURITIES 7.8%

 

 

 

 

ACE Securities Corp. Home Equity Loan Trust
5.724% due 07/25/2036 •

 

1,542

 

1,238

Avoca CLO DAC
0.000% due 04/15/2034 ~

EUR

2,150

 

1,458

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

$

185,947

 

423

Schedule of Investments PIMCO High Income Fund (Cont.)

March 31, 2024

(Unaudited)

 

Carlyle Global Market Strategies Euro CLO DAC

 

 

 

 

0.000% due 04/15/2027 ~

EUR

800

 

195

0.000% due 01/25/2032 ~

 

2,200

 

780

Carlyle U.S. CLO Ltd.
0.000% due 10/15/2031 ~

$

4,200

 

1,353

CIFC Funding Ltd.

 

 

 

 

0.000% due 04/24/2030 ~

 

4,000

 

814

0.000% due 10/22/2031 ~

 

3,000

 

524

Cork Street CLO DAC
0.000% due 11/27/2028 ~

EUR

700

 

125

Countrywide Asset-Backed Certificates Trust
5.849% due 09/25/2046 •

$

12,502

 

9,866

CVC Cordatus Loan Fund DAC
0.000% due 04/15/2032 ~

EUR

2,500

 

790

Duke Funding Ltd.
9.140% due 08/07/2033 •

$

13,523

 

2,011

First Franklin Mortgage Loan Trust
6.314% due 06/25/2036 •

 

3,065

 

2,740

Glacier Funding CDO Ltd.
8.770% due 08/04/2035 •

 

6,310

 

664

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

EUR

639

 

0

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

$

7,503

 

85

Man GLG Euro CLO DAC
0.000% due 10/15/2030 ~

EUR

4,150

 

923

Marlette Funding Trust

 

 

 

 

0.000% due 12/15/2028 «(g)

$

24

 

95

0.000% due 04/16/2029 «(g)

 

7

 

29

0.000% due 07/16/2029 «(g)

 

10

 

104

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

 

600

 

296

Morgan Stanley Mortgage Loan Trust

 

 

 

 

6.465% due 09/25/2046 þ

 

6,072

 

2,009

6.965% due 11/25/2036 •

 

653

 

225

Pagaya AI Debt Selection Trust
8.491% due 06/16/2031

 

2,699

 

2,742

People's Financial Realty Mortgage Securities Trust
5.604% due 09/25/2036 •

 

19,729

 

3,775

Renaissance Home Equity Loan Trust

 

 

 

 

6.998% due 09/25/2037 þ

 

6,341

 

2,654

7.238% due 09/25/2037 þ

 

5,486

 

2,296

Segovia European CLO DAC
0.000% due 04/15/2035 ~

EUR

1,100

 

544

Sherwood Funding CDO Ltd.
8.860% due 11/06/2039 •

$

31,208

 

7,032

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

 

2

 

425

SMB Private Education Loan Trust
0.000% due 10/15/2048 «(g)

 

5

 

1,342

Specialty Underwriting & Residential Finance Trust
6.419% due 06/25/2036 •

 

8,070

 

6,337

Truman Capital Mortgage Loan Trust
9.569% due 01/25/2034 •

 

2,615

 

2,489

Washington Mutual Asset-Backed Certificates Trust
5.744% due 05/25/2036 •

 

136

 

105

Total Asset-Backed Securities (Cost $128,123)

 

 

 

56,488

SOVEREIGN ISSUES 3.4%

 

 

 

 

Argentina Government International Bond

 

 

 

 

0.750% due 07/09/2030 þ

 

9,019

 

4,562

1.000% due 07/09/2029

 

163

 

87

3.500% due 07/09/2041 þ

 

9,486

 

3,837

3.625% due 07/09/2035 þ

 

355

 

148

3.625% due 07/09/2035 þ(k)

 

8,180

 

3,409

3.625% due 07/09/2046 þ

 

115

 

52

4.250% due 01/09/2038 þ

 

1,326

 

617

Argentina Treasury Bond BONCER

 

 

 

 

0.000% due 06/30/2025 (g)

ARS

90,715

 

126

4.000% due 10/14/2024

 

163,929

 

189

Dominican Republic Central Bank Notes

 

 

 

 

13.000% due 12/05/2025

DOP

91,200

 

1,600

13.000% due 01/30/2026

 

125,400

 

2,207

Dominican Republic International Bond
11.250% due 09/15/2035

 

87,600

 

1,608

Ghana Government International Bond

 

 

 

 

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

$

400

 

206

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

 

200

 

103

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

 

600

 

309

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

 

200

 

103

Israel Government International Bond

 

 

 

 

5.375% due 03/12/2029

 

800

 

802

5.500% due 03/12/2034

 

800

 

794

5.750% due 03/12/2054

 

800

 

767

Schedule of Investments PIMCO High Income Fund (Cont.)

March 31, 2024

(Unaudited)

 

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

ARS

14,765

 

14

Republic of Greece Government International Bond

 

 

 

 

2.000% due 04/22/2027

EUR

55

 

58

3.900% due 01/30/2033

 

122

 

139

4.000% due 01/30/2037

 

96

 

108

4.200% due 01/30/2042

 

119

 

136

Romania Government International Bond

 

 

 

 

5.500% due 09/18/2028

 

1,100

 

1,225

6.375% due 09/18/2033

 

1,100

 

1,272

Ukraine Government International Bond
4.375% due 01/27/2032

 

1,471

 

429

Venezuela Government International Bond

 

 

 

 

8.250% due 10/13/2024 ^(d)

$

34

 

5

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

 

452

 

82

Total Sovereign Issues (Cost $28,108)

 

 

 

24,994

 

 

SHARES

 

 

COMMON STOCKS 11.2%

 

 

 

 

COMMUNICATION SERVICES 0.3%

 

 

 

 

Clear Channel Outdoor Holdings, Inc. (e)

 

754,306

 

1,245

iHeartMedia, Inc. 'A' (e)

 

178,528

 

373

iHeartMedia, Inc. 'B' «(e)

 

138,545

 

261

Promotora de Informaciones SA 'A' (e)

 

282,619

 

107

 

 

 

 

1,986

CONSUMER DISCRETIONARY 0.0%

 

 

 

 

Steinhoff International Holdings NV «(e)(i)

 

27,368,642

 

0

ENERGY 0.0%

 

 

 

 

Axis Energy Services 'A' «(i)

 

6,207

 

184

FINANCIALS 1.4%

 

 

 

 

Banca Monte dei Paschi di Siena SpA (e)

 

886,500

 

4,017

Intelsat Emergence SA «(i)

 

222,366

 

6,096

 

 

 

 

10,113

HEALTH CARE 4.1%

 

 

 

 

Amsurg Equity «(e)(i)

 

603,876

 

29,867

INDUSTRIALS 3.0%

 

 

 

 

Drillco Holding Lux SA «(e)(i)

 

170,549

 

4,114

Forsea Holding SA «(e)

 

70,121

 

1,692

Neiman Marcus Group Ltd. LLC «(e)(i)

 

90,604

 

13,259

Syniverse Holdings, Inc. «(i)

 

2,634,016

 

2,428

Voyager Aviation Holdings LLC «(e)

 

1,009

 

0

Westmoreland Mining Holdings «(e)(i)

 

87,552

 

263

Westmoreland Mining LLC «(e)(i)

 

88,323

 

232

 

 

 

 

21,988

UTILITIES 2.4%

 

 

 

 

West Marine New «(e)(i)

 

3,250

 

34

Windstream Units «(e)

 

537,548

 

16,974

 

 

 

 

17,008

Total Common Stocks (Cost $70,104)

 

 

 

81,146

RIGHTS 0.0%

 

 

 

 

CONSUMER DISCRETIONARY 0.0%

 

 

 

 

Promotora de Informaciones SA

 

282,619

 

1

Total Rights (Cost $0)

 

 

 

1

WARRANTS 0.0%

 

 

 

 

FINANCIALS 0.0%

 

 

 

 

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

 

250

 

0

Schedule of Investments PIMCO High Income Fund (Cont.)

March 31, 2024

(Unaudited)

 

Total Warrants (Cost $8,992)

 

 

 

0

PREFERRED SECURITIES 3.6%

 

 

 

 

BANKING & FINANCE 3.6%

 

 

 

 

AGFC Capital Trust
7.326% (US0003M + 1.750%) due 01/15/2067 ~(k)

 

27,410,000

 

15,819

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

 

70,000

 

64

Compeer Financial ACA
4.875% due 08/15/2026 •(h)

 

2,100,000

 

2,005

OCP CLO Ltd.
0.000% due 04/26/2036 ~

 

8,700

 

4,454

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

 

3,335,475

 

3,818

SVB Financial Group

 

 

 

 

4.000% due 05/15/2026 ^(d)(h)

 

200,000

 

3

4.250% due 11/15/2026 ^(d)(h)

 

100,000

 

2

4.700% due 11/15/2031 ^(d)(h)

 

188,000

 

3

 

 

 

 

26,168

INDUSTRIALS 0.0%

 

 

 

 

Voyager Aviation Holdings LLC
9.500% «

 

6,055

 

0

Total Preferred Securities (Cost $26,683)

 

 

 

26,168

REAL ESTATE INVESTMENT TRUSTS 0.5%

 

 

 

 

REAL ESTATE 0.5%

 

 

 

 

Uniti Group, Inc.

 

193,839

 

1,144

VICI Properties, Inc.

 

95,221

 

2,836

Total Real Estate Investment Trusts (Cost $1,513)

 

 

 

3,980

 

 

PRINCIPAL
AMOUNT
(000s)

 

 

SHORT-TERM INSTRUMENTS 1.7%

 

 

 

 

REPURCHASE AGREEMENTS (j) 1.7%

 

 

 

12,016

SHORT-TERM NOTES 0.0%

 

 

 

 

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

ARS

124,858

 

130

U.S. TREASURY BILLS 0.0%

 

 

 

 

5.361% due 05/02/2024 - 06/06/2024 (f)(g)

$

283

 

282

Total Short-Term Instruments (Cost $12,428)

 

 

 

12,428

Total Investments in Securities (Cost $924,111)

 

 

 

801,951

 

 

SHARES

 

 

INVESTMENTS IN AFFILIATES 14.6%

 

 

 

 

SHORT-TERM INSTRUMENTS 14.6%

 

 

 

 

CENTRAL FUNDS USED FOR CASH MANAGEMENT PURPOSES 14.6%

 

 

 

 

PIMCO Short-Term Floating NAV Portfolio III

 

10,929,774

 

106,314

Total Short-Term Instruments (Cost $106,303)

 

 

 

106,314

Total Investments in Affiliates (Cost $106,303)

 

 

 

106,314

Total Investments 124.8% (Cost $1,030,414)

 

 

$

908,265

Financial Derivative Instruments (l)(m) 0.1%(Cost or Premiums, net $45,889)

 

 

 

592

Auction-Rate Preferred Shares (6.0)%

 

 

 

43,525

Other Assets and Liabilities, net (30.9)%

 

 

 

(224,557)

Net Assets Applicable to Common Shareholders 100.0%

 

 

$

727,825

Schedule of Investments PIMCO High Income Fund (Cont.)

March 31, 2024

(Unaudited)

 

 

NOTES TO SCHEDULE OF INVESTMENTS:

 

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

 

¤

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

^

Security is in default.

«

Security valued using significant unobservable inputs (Level 3).

µ

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

~

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

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

þ

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

(a)

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

(b)

When-issued security.

(c)

Payment in-kind security.

(d)

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

(e)

Security did not produce income within the last twelve months.

(f)

Coupon represents a weighted average yield to maturity.

(g)

Zero coupon security.

(h)

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

(i)

RESTRICTED SECURITIES:

Issuer Description

 

 

Acquisition
Date

 

Cost

 

Market
Value

Market Value
as Percentage
of Net Assets

Amsurg Equity

 

 

11/02/2023 - 11/06/2023

$

25,233

$

29,867

4.10

%

Axis Energy Services 'A'

 

 

07/01/2021

 

91

 

184

0.03

 

Drillco Holding Lux SA

 

 

06/08/2023

 

3,411

 

4,114

0.57

 

Intelsat Emergence SA

 

 

06/08/2023

 

15,920

 

6,096

0.84

 

Neiman Marcus Group Ltd. LLC

 

 

06/19/2017 - 02/23/2024

 

2,918

 

13,259

1.82

 

Steinhoff International Holdings NV

 

 

09/25/2020

 

0

 

0

0.00

 

Syniverse Holdings, Inc.

 

 

06/30/2023 - 10/30/2023

 

2,590

 

2,428

0.33

 

West Marine New

 

 

05/12/2022 - 11/30/2023

 

46

 

34

0.00

 

Westmoreland Mining Holdings

 

 

09/12/2023

 

2,141

 

263

0.04

 

Westmoreland Mining LLC

 

 

07/11/2016 - 10/19/2016

 

585

 

232

0.03

 

 

 

 

 

$

52,935

$

56,477

7.76% 

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)

BPS

5.430%

03/28/2024

04/01/2024

$

8,500

U.S. Treasury Notes 0.500% due 04/30/2027

$

(8,680)

$

8,500

$

8,505

FICC

2.600

03/28/2024

04/01/2024

 

3,516

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

 

(3,586)

 

3,516

 

3,517

Total Repurchase Agreements

 

$

(12,266)

$

12,016

$

12,022

REVERSE REPURCHASE AGREEMENTS:

Counterparty

Borrowing Rate(2)

Settlement Date

Maturity Date

 

Amount
Borrowed
(2)

 

Payable for
Reverse
Repurchase
Agreements

BMO

5.680%

03/21/2024

05/20/2024

$

(2,573)

$

(2,577)

BPS

4.320

03/22/2024

06/24/2024

EUR

(3,080)

 

(3,327)

BRC

4.750

03/25/2024

TBD(3)

$

(1,169)

 

(1,170)

BYR

6.030

03/04/2024

05/20/2024

 

(3,149)

 

(3,163)

CDC

5.720

01/24/2024

04/23/2024

 

(939)

 

(949)

 

5.890

01/24/2024

04/23/2024

 

(2,067)

 

(2,090)

 

5.930

02/26/2024

04/02/2024

 

(974)

 

(980)

 

5.980

03/12/2024

07/10/2024

 

(13,124)

 

(13,167)

 

5.980

03/19/2024

07/18/2024

 

(18,735)

 

(18,775)

Schedule of Investments PIMCO High Income Fund (Cont.)

March 31, 2024

(Unaudited)

 

 

5.980

03/25/2024

07/10/2024

 

(464)

 

(465)

 

5.980

03/28/2024

07/26/2024

 

(2,117)

 

(2,118)

DEU

5.830

03/14/2024

06/12/2024

 

(22,409)

 

(22,474)

 

5.830

03/22/2024

06/12/2024

 

(897)

 

(898)

IND

5.910

03/18/2024

06/13/2024

 

(567)

 

(569)

RCY

5.830

03/18/2024

04/17/2024

 

(1,063)

 

(1,065)

SGY

5.750

03/19/2024

04/08/2024

 

(3,151)

 

(3,158)

SOG

5.720

01/29/2024

04/29/2024

 

(1,454)

 

(1,469)

 

5.850

01/19/2024

04/16/2024

 

(2,964)

 

(2,999)

 

5.850

03/19/2024

04/16/2024

 

(6,011)

 

(6,024)

 

5.870

03/25/2024

04/03/2024

 

(6,342)

 

(6,349)

 

5.910

10/10/2023

04/10/2024

 

(1,001)

 

(1,030)

 

6.050

10/19/2023

04/10/2024

 

(1,382)

 

(1,420)

 

6.050

12/01/2023

04/10/2024

 

(2,520)

 

(2,572)

 

6.050

01/24/2024

04/10/2024

 

(5,763)

 

(5,828)

 

6.050

02/08/2024

04/10/2024

 

(7,613)

 

(7,681)

 

6.100

10/11/2023

04/11/2024

 

(3,117)

 

(3,208)

 

6.100

10/12/2023

04/12/2024

 

(5,173)

 

(5,324)

 

6.100

01/19/2024

04/11/2024

 

(1,312)

 

(1,328)

 

6.100

01/24/2024

04/11/2024

 

(595)

 

(602)

 

6.100

01/24/2024

04/12/2024

 

(600)

 

(607)

TDM

5.580

02/20/2024

04/22/2024

 

(4,483)

 

(4,512)

UBS

4.252

03/06/2024

06/06/2024

EUR

(2,627)

 

(2,843)

 

5.850

02/26/2024

05/24/2024

$

(1,202)

 

(1,209)

WFS

5.780

01/09/2024

04/08/2024

 

(6,389)

 

(6,475)

Total Reverse Repurchase Agreements

 

 

 

 

 

$

(138,425)

(k)

Securities with an aggregate market value of $160,014 have been pledged as collateral under the terms of master agreements as of March 31, 2024.

(1)

Includes accrued interest.

(2)

The average amount of borrowings outstanding during the period ended March 31, 2024 was $(114,621) at a weighted average interest rate of 5.817%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.

(3)

Open maturity reverse repurchase agreement.

(l)

FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED

SWAP AGREEMENTS:

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(1)

1-Day GBP-SONIO Compounded-OIS

4.000%

Annual

09/18/2029

GBP

40,800

$

696

$

179

$

875

$

116

$

0

Receive

1-Day GBP-SONIO Compounded-OIS

0.750

Annual

09/21/2032

 

13,400

 

1,297

 

2,606

 

3,903

 

0

 

(44)

Receive

1-Day GBP-SONIO Compounded-OIS

2.000

Annual

03/15/2033

 

6,900

 

768

 

318

 

1,086

 

0

 

(27)

Receive

1-Day GBP-SONIO Compounded-OIS

0.750

Annual

09/21/2052

 

2,700

 

(7)

 

1,830

 

1,823

 

0

 

(17)

Receive

1-Day USD-SOFR Compounded-OIS

0.250

Semi-Annual

06/16/2024

$

14,250

 

13

 

177

 

190

 

9

 

0

Receive

1-Day USD-SOFR Compounded-OIS

3.000

Semi-Annual

06/19/2024

 

1,900

 

(8)

 

7

 

(1)

 

1

 

0

Receive

1-Day USD-SOFR Compounded-OIS

0.400

Semi-Annual

12/18/2024

 

72,000

 

(99)

 

2,746

 

2,647

 

59

 

0

Receive

1-Day USD-SOFR Compounded-OIS

2.450

Annual

12/20/2024

 

27,200

 

(2)

 

763

 

761

 

15

 

0

Pay

1-Day USD-SOFR Compounded-OIS

2.000

Annual

12/21/2024

 

370,800

 

(16,297)

 

4,227

 

(12,070)

 

0

 

(230)

Receive

1-Day USD-SOFR Compounded-OIS

2.350

Annual

01/17/2025

 

13,700

 

1

 

387

 

388

 

9

 

0

Receive

1-Day USD-SOFR Compounded-OIS

2.300

Annual

01/17/2026

 

2,200

 

1

 

102

 

103

 

3

 

0

Receive

1-Day USD-SOFR Compounded-OIS

0.850

Semi-Annual

02/01/2027

 

43,700

 

253

 

4,399

 

4,652

 

103

 

0

Pay

1-Day USD-SOFR Compounded-OIS

1.750

Annual

06/15/2027

 

112,200

 

(2,687)

 

(8,857)

 

(11,544)

 

0

 

(209)

Pay

1-Day USD-SOFR Compounded-OIS

3.250

Annual

06/21/2028

 

23,400

 

(313)

 

(818)

 

(1,131)

 

0

 

(41)

Receive

1-Day USD-SOFR Compounded-OIS

1.370

Semi-Annual

08/25/2028

 

27,135

 

(8)

 

3,312

 

3,304

 

50

 

0

Pay

1-Day USD-SOFR Compounded-OIS

3.750

Annual

12/20/2028

 

89,500

 

784

 

(2,215)

 

(1,431)

 

0

 

(148)

Pay

1-Day USD-SOFR Compounded-OIS

3.000

Semi-Annual

06/19/2029

 

79,200

 

1,112

 

(5,236)

 

(4,124)

 

0

 

(144)

Receive(1)

1-Day USD-SOFR Compounded-OIS

3.750

Annual

06/20/2029

 

31,000

 

(587)

 

791

 

204

 

47

 

0

Schedule of Investments PIMCO High Income Fund (Cont.)

March 31, 2024

(Unaudited)

 

Pay

1-Day USD-SOFR Compounded-OIS

2.000

Annual

12/21/2029

 

53,300

 

(5,501)

 

(265)

 

(5,766)

 

0

 

(96)

Receive

1-Day USD-SOFR Compounded-OIS

1.000

Semi-Annual

12/16/2030

 

127

 

0

 

23

 

23

 

0

 

0

Receive

1-Day USD-SOFR Compounded-OIS

0.750

Semi-Annual

06/16/2031

 

7,300

 

427

 

1,120

 

1,547

 

11

 

0

Receive

1-Day USD-SOFR Compounded-OIS

1.350

Semi-Annual

02/09/2032

 

139,800

 

492

 

26,548

 

27,040

 

178

 

0

Receive

1-Day USD-SOFR Compounded-OIS

1.250

Annual

06/15/2032

 

87,000

 

4,224

 

14,531

 

18,755

 

113

 

0

Receive

1-Day USD-SOFR Compounded-OIS

1.750

Annual

06/15/2032

 

59,500

 

2,570

 

7,946

 

10,516

 

76

 

0

Pay

1-Day USD-SOFR Compounded-OIS

3.500

Semi-Annual

06/19/2044

 

395,600

 

59,600

 

(87,686)

 

(28,086)

 

977

 

0

Receive

1-Day USD-SOFR Compounded-OIS

2.000

Semi-Annual

01/15/2050

 

35,600

 

(247)

 

11,984

 

11,737

 

0

 

(46)

Receive

1-Day USD-SOFR Compounded-OIS

1.750

Semi-Annual

01/22/2050

 

55,100

 

(135)

 

20,543

 

20,408

 

0

 

(71)

Receive

1-Day USD-SOFR Compounded-OIS

1.875

Semi-Annual

02/07/2050

 

42,480

 

(165)

 

14,959

 

14,794

 

0

 

(55)

Pay

1-Day USD-SOFR Compounded-OIS

2.000

Semi-Annual

12/15/2051

 

29,200

 

2,061

 

(11,607)

 

(9,546)

 

40

 

0

Receive

1-Day USD-SOFR Compounded-OIS

1.700

Semi-Annual

02/01/2052

 

223,450

 

(4,208)

 

90,635

 

86,427

 

0

 

(672)

Receive

1-Day USD-SOFR Compounded-OIS

2.750

Annual

06/21/2053

 

9,700

 

916

 

806

 

1,722

 

0

 

(19)

Receive

6-Month EUR-EURIBOR

0.270

Annual

09/11/2024

EUR

25,600

 

4

 

477

 

481

 

11

 

0

Pay

6-Month EUR-EURIBOR

0.650

Annual

02/26/2029

 

65,500

 

66

 

(6,778)

 

(6,712)

 

151

 

0

Receive

6-Month EUR-EURIBOR

0.150

Annual

06/17/2030

 

24,100

 

(1,059)

 

4,946

 

3,887

 

0

 

(77)

Receive

6-Month EUR-EURIBOR

0.250

Annual

09/21/2032

 

3,200

 

290

 

316

 

606

 

0

 

(13)

Receive

6-Month EUR-EURIBOR

1.250

Annual

08/19/2049

 

18,200

 

76

 

4,113

 

4,189

 

0

 

(165)

Pay

6-Month EUR-EURIBOR

0.500

Annual

06/17/2050

 

7,700

 

1,317

 

(4,377)

 

(3,060)

 

65

 

0

Receive(1)

6-Month EUR-EURIBOR

0.830

Annual

12/09/2052

 

26,400

 

424

 

1,093

 

1,517

 

0

 

(44)

Total Swap Agreements

$

46,069

$

94,045

$

140,114

$

2,034

$

(2,118)

Cash of $12,422 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of March 31, 2024.

(1)

This instrument has a forward starting effective date.

(m)

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

04/2024

$

367

EUR

339

$

0

$

(1)

BPS

04/2024

GBP

15,351

$

19,487

 

112

 

0

 

04/2024

$

6,239

EUR

5,726

 

0

 

(62)

DUB

04/2024

EUR

71,660

$

77,888

 

578

 

0

 

05/2024

 

1,033

 

1,120

 

4

 

0

GLM

05/2024

DOP

279,373

 

4,707

 

3

 

(4)

 

06/2024

 

42,646

 

715

 

0

 

(3)

JPM

04/2024

EUR

441

 

479

 

3

 

0

 

04/2024

$

745

EUR

680

 

0

 

(11)

MBC

04/2024

EUR

1,033

$

1,118

 

4

 

0

 

04/2024

$

872

CAD

1,182

 

1

 

0

 

04/2024

 

2,345

EUR

2,142

 

0

 

(34)

 

04/2024

 

19,389

GBP

15,351

 

0

 

(14)

 

05/2024

CAD

1,182

$

872

 

0

 

(1)

 

05/2024

GBP

15,351

 

19,393

 

14

 

0

MYI

04/2024

CAD

1,187

 

874

 

0

 

(2)

 

04/2024

$

68,410

EUR

63,214

 

0

 

(212)

 

05/2024

EUR

63,214

$

68,493

 

216

 

0

SCX

05/2024

$

1,544

EUR

1,424

 

0

 

(6)

Total Forward Foreign Currency Contracts

$

935

$

(350)

SWAP AGREEMENTS:

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

 

Swap Agreements, at Value(4)

Counterparty

Reference Entity

Fixed
Receive Rate

Payment
Frequency

Maturity
Date

Implied
Credit Spread at
March 31, 2024
(2)

 

Notional
Amount
(3)

 

Premiums
Paid/(Received)

 

Unrealized
Appreciation/
(Depreciation)

 

Asset

 

Liability

DUB

Eskom «

4.650%

Quarterly

06/30/2029

0.055%

$

3,300

$

0

$

220

$

220

$

0

JPM

Banca Monte Dei Paschi Di

5.000

Quarterly

06/20/2025

1.068

EUR

200

 

(4)

 

15

 

11

 

0

Schedule of Investments PIMCO High Income Fund (Cont.)

March 31, 2024

(Unaudited)

 

MYC

Petroleos Mexicanos

1.000

Quarterly

12/20/2028

5.083

$

900

 

(176)

 

36

 

0

 

(140)

Total Swap Agreements

$

(180)

$

271

$

231

$

(140)

(1)

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

(2)

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

(3)

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

(4)

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

FAIR VALUE MEASUREMENTS

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

 

Category and Subcategory

Level 1

Level 2

Level 3

Fair Value
at 03/31/2024

Investments in Securities, at Value

Loan Participations and Assignments

$

0

$

139,927

$

28,237

$

168,164

 

Corporate Bonds & Notes

 

Banking & Finance

 

0

 

80,355

 

1,628

 

81,983

 

 

Industrials

 

0

 

175,749

 

0

 

175,749

 

 

Utilities

 

0

 

22,362

 

0

 

22,362

 

Convertible Bonds & Notes

 

Industrials

 

0

 

3,200

 

0

 

3,200

 

Municipal Bonds & Notes

 

District of Columbia

 

0

 

10,773

 

0

 

10,773

 

 

Michigan

 

0

 

1,824

 

0

 

1,824

 

 

Puerto Rico

 

0

 

11,681

 

0

 

11,681

 

 

Texas

 

0

 

8,225

 

0

 

8,225

 

 

West Virginia

 

0

 

6,138

 

0

 

6,138

 

U.S. Government Agencies

 

0

 

6,114

 

8,097

 

14,211

 

Non-Agency Mortgage-Backed Securities

 

0

 

92,351

 

85

 

92,436

 

Asset-Backed Securities

 

0

 

54,493

 

1,995

 

56,488

 

Sovereign Issues

 

0

 

24,994

 

0

 

24,994

 

Common Stocks

 

Communication Services

 

1,725

 

0

 

261

 

1,986

 

 

Energy

 

0

 

0

 

184

 

184

 

 

Financials

 

4,017

 

0

 

6,096

 

10,113

 

 

Health Care

 

0

 

0

 

29,867

 

29,867

 

 

Industrials

 

0

 

0

 

21,988

 

21,988

 

 

Utilities

 

0

 

0

 

17,008

 

17,008

 

Rights

 

Consumer Discretionary

 

1

 

0

 

0

 

1

 

Preferred Securities

 

Banking & Finance

 

0

 

26,168

 

0

 

26,168

 

Real Estate Investment Trusts

 

Real Estate

 

3,980

 

0

 

0

 

3,980

 

Short-Term Instruments

 

Repurchase Agreements

 

0

 

12,016

 

0

 

12,016

 

 

Short-Term Notes

 

0

 

130

 

0

 

130

 

 

U.S. Treasury Bills

 

0

 

282

 

0

 

282

 

 

$

9,723

$

676,782

$

115,446

$

801,951

 

Investments in Affiliates, at Value

Short-Term Instruments

 

Central Funds Used for Cash Management Purposes

$

106,314

$

0

$

0

$

106,314

 

Total Investments

$

116,037

$

676,782

$

115,446

$

908,265

 

Financial Derivative Instruments - Assets

Exchange-traded or centrally cleared

 

0

 

2,034

 

0

 

2,034

 

Over the counter

 

0

 

946

 

220

 

1,166

 

 

$

0

$

2,980

$

220

$

3,200

 

Financial Derivative Instruments - Liabilities

Exchange-traded or centrally cleared

 

0

 

(2,118)

 

0

 

(2,118)

 

Over the counter

 

0

 

(490)

 

0

 

(490)

 

 

$

0

$

(2,608)

$

0

$

(2,608)

 

Total Financial Derivative Instruments

$

0

$

372

$

220

$

592

 

Totals

$

116,037

$

677,154

$

115,666

$

908,857

 

 

 

Schedule of Investments PIMCO High Income Fund (Cont.)

March 31, 2024

(Unaudited)

 

 

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

Category and Subcategory

Beginning
Balance
at 06/30/2023

Net
Purchases
(1)

Net
Sales/Settlements
(1)

Accrued
Discounts/
(Premiums)

Realized
Gain/(Loss)

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

Transfers into
Level 3

Transfers out
of Level 3

Ending
Balance
at 03/31/2024

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

Investments in Securities, at Value

Loan Participations and Assignments

$

49,954

$

24,375

$

(35,204)

$

1,666

$

(6,225)

$

3,912

$

399

$

(10,640)

$

28,237

$

741

Corporate Bonds & Notes

 

Banking & Finance

 

0

 

900

 

0

 

0

 

0

 

2

 

726

 

0

 

1,628

 

2

 

Utilities(3)

 

2,651

 

0

 

0

 

17

 

0

 

155

 

0

 

(2,823)

 

0

 

0

U.S. Government Agencies

 

7,605

 

0

 

(142)

 

25

 

47

 

562

 

0

 

0

 

8,097

 

549

Non-Agency Mortgage-Backed Securities

 

98

 

0

 

(13)

 

1

 

2

 

(3)

 

0

 

0

 

85

 

(2)

Asset-Backed Securities

 

3,905

 

4,835

 

0

 

57

 

0

 

(465)

 

0

 

(6,337)

 

1,995

 

(1,606)

Common Stocks

 

Communication Services

 

454

 

0

 

0

 

0

 

0

 

(193)

 

0

 

0

 

261

 

(193)

 

Energy

 

186

 

0

 

0

 

0

 

0

 

(2)

 

0

 

0

 

184

 

(2)

 

Financials

 

5,103

 

0

 

0

 

0

 

0

 

993

 

0

 

0

 

6,096

 

982

 

Health Care

 

0

 

25,233

 

0

 

0

 

0

 

4,634

 

0

 

0

 

29,867

 

4,634

 

Industrials

 

22,347

 

155

 

0

 

0

 

0

 

(514)

 

0

 

0

 

21,988

 

186

 

Utilities

 

0

 

4,502

 

0

 

0

 

0

 

12,506

 

0

 

0

 

17,008

 

12,506

Rights

 

Industrials

 

110

 

0

 

(215)

 

0

 

216

 

(111)

 

0

 

0

 

0

 

0

Warrants

 

Industrials

 

169

 

0

 

(223)

 

0

 

222

 

(168)

 

0

 

0

 

0

 

0

 

Information Technology

 

8,230

 

0

 

(4,455)

 

0

 

0

 

(3,775)

 

0

 

0

 

0

 

0

Preferred Securities

 

Industrials

 

1,460

 

0

 

0

 

0

 

0

 

(1,460)

 

0

 

0

 

0

 

(1,460)

 

$

102,272

$

60,000

$

(40,252)

$

1,766

$

(5,738)

$

16,073

$

1,125

$

(19,800)

$

115,446

$

16,337

Financial Derivative Instruments- Assets

Over the counter

$

142

$

0

$

0

$

0

$

0

$

78

$

0

$

0

$

220

$

80

Totals

$

102,414

$

60,000

$

(40,252)

$

1,766

$

(5,738)

$

16,151

$

1,125

$

(19,800)

$

115,666

$

16,417


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

 

(% Unless Noted Otherwise)

 

Category and Subcategory

Ending
Balance
at 03/31/2024

Valuation Technique

Unobservable Inputs

 

Input Value(s)

Weighted Average

Investments in Securities, at Value

Loan Participations and Assignments

$

10,948

Comparable Companies

EBITDA Multiple

X

14.000

 

 

7,381

Discounted Cash Flow

Discount Rate

 

17.010 - 26.480

17.010

 

 

9,509

Recent Transaction

Purchase Price

 

100.000

 

 

399

Reference Instrument

 

 

1.750

Corporate Bonds & Notes

 

Banking & Finance

 

726

Expected Recovery

Recovery Rate

 

17.490

 

 

 

902

Proxy pricing

Base Price

 

100.069

U.S. Government Agencies

 

8,097

Discounted Cash Flow

Discount Rate

 

12.100

Non-Agency Mortgage-Backed Securities

 

85

Fair Valuation of Odd Lot Positions

Adjustment Factor

 

2.500

Asset-Backed Securities

 

1,995

Discounted Cash Flow

Discount Rate

 

12.000 - 20.000

13.704

Common Stocks

 

Communication Services

 

261

Reference instrument

Stock Price w/Liquidity Discount

 

10.000

 

Energy

 

184

Comparable Companies

EBITDA Multiple

X

4.000

 

Financials

 

6,096

Comparable Companies

EBITDA Multiple

X

4.000

 

Health Care

 

29,867

Comparable Companies

EBITDA Multiple

X

14.000

 

Industrials

 

13,259

Comparable Companies/Discounted Cash Flow

Revenue multiple/EBITDA multiple/ Discount Rate

X/X
/%

0.560/7.180/10.000

 

 

 

2,428

Discounted Cash Flow

Discount Rate

 

15.380

 

 

 

6,301

Indicative Market Quotation

Broker Quote

$

2.625 - 24.125

22.453

 

Utilities

 

16,974

Comparable Companies

EBITDA Multiple

X

6.100

 

 

 

34

Discounted Cash Flow/Comparable Companies

Discount Rate/Revenue multiple

%/
X

19.250/0.550

Financial Derivative Instruments- Assets

Over the counter

 

220

Indicative Market Quotation

Broker Quote

 

5.510

Total

$

115,666

(1)

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

Schedule of Investments PIMCO High Income Fund (Cont.)

March 31, 2024

(Unaudited)

 

(2)

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

(3)

Sector type updated from Banking & Finance to Utilities since prior fiscal year end.

(4)

Sector type updated from Financials to Industrials since prior fiscal year end.

 

<

Notes to Financial Statements 

 

1. INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS

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

 

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

 

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

 

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

 

Domestic and foreign (non-U.S.) fixed income securities, non-exchange traded derivatives, and equity options are normally valued on the basis of quotes obtained from brokers and dealers or Pricing Sources using data reflecting the earlier closing of the principal markets for those securities. Prices obtained from Pricing Sources may be based on, among other things, information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. Certain fixed income securities purchased on a delayed-delivery basis are marked to market daily until settlement at the forward settlement date. Common stocks, ETFs, exchange-traded notes and financial derivative instruments, such as futures contracts, rights and warrants, or options on futures that are traded on a national securities exchange, are stated at the last reported sale or settlement price on the day of valuation. Exchange-traded options, except equity options, futures and options on futures are valued at the settlement price determined by the relevant exchange. Swap agreements are valued on the basis of bid quotes obtained from brokers and dealers or market-based prices supplied by Pricing Sources. With respect to any portion of the Fund’s assets that are invested in one or more open-end management investment companies (other than ETFs), the Fund’s NAV will be calculated based on the NAVs of such investments.

 

If a foreign (non-U.S.) equity security’s value has materially changed after the close of the security’s primary exchange or principal market but before the NYSE Close, the security may be valued at fair value. Foreign (non-U.S.) equity securities that do not trade when the NYSE is open are also valued at fair value. With respect to foreign (non-U.S.) equity securities, the Fund may determine the fair value of investments based on information provided by Pricing Sources, which may recommend fair value or adjustments with reference to other securities, indexes or assets. In considering whether fair valuation is required and in determining fair values, the Valuation Designee may, among other things, consider significant events (which may be considered to include changes in the value of U.S. securities or securities indexes) that occur after the close of the relevant market and before the NYSE Close. The Fund may utilize modeling tools provided by third-party vendors to determine fair values of foreign (non-U.S.) securities. For these purposes, unless otherwise determined by the Valuation Designee, any movement in the applicable reference index or instrument (“zero trigger”) between the earlier close of the applicable foreign market and the NYSE Close may be deemed to be a significant event, prompting the application of the pricing model (effectively resulting in daily fair valuations). Foreign exchanges may permit trading in foreign (non-U.S.) equity securities on days when the Fund is not open for business, which may result in the Fund's portfolio investments being affected when shareholders are unable to buy or sell shares.

 

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

 

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

 

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

 

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

 

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

 

Notes to Financial Statements (Cont.)

 

 

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

 

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

 

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

 

(c) Valuation Techniques and the Fair Value Hierarchy

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

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

 

Notes to Financial Statements (Cont.)

 

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

 

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

 

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

 

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

 

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

 

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

 

2. FEDERAL INCOME TAX MATTERS

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

 

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

 

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

 

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

 

3. INVESTMENTS IN AFFILIATES

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

 

Investment in PIMCO Short-Term Floating NAV Portfolio III

 

 

Market Value
06/30/2023

 

Purchases at
Cost

 

Proceeds from
Sales

 

Net
Realized
Gain (Loss)

 

Change in
Unrealized
Appreciation
(Depreciation)

 

Market Value
03/31/2024

 

Dividend
Income
(1)

 

Realized Net
Capital
Gain
Distributions
(1)

$

0

$

197,003

$

(90,700)

$

0

$

11

$

106,314

$

1,546

$

1

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

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

    

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Glossary: (abbreviations that may be used in the preceding statements)           (Unaudited)
                     
Counterparty Abbreviations:                
BMO   BMO Capital Markets Corporation   FICC   Fixed Income Clearing Corporation    RCY   Royal Bank of Canada
BOA   Bank of America N.A.   GLM   Goldman Sachs Bank USA   SCX   Standard Chartered Bank, London
BPS   BNP Paribas S.A.   IND   Crédit Agricole Corporate and Investment Bank
S.A.
  SGY   Societe Generale, NY
BRC   Barclays Bank PLC   JPM   JP Morgan Chase Bank N.A.   SOG   Societe Generale Paris
BYR   The Bank of Nova Scotia - Toronto   MBC   HSBC Bank Plc   TDM   TD Securities (USA) LLC
CDC   Natixis Securities Americas LLC   MYC   Morgan Stanley Capital Services LLC   UBS   UBS Securities LLC
DEU   Deutsche Bank Securities, Inc.   MYI   Morgan Stanley & Co. International PLC   WFS   Wells Fargo Securities, LLC
DUB   Deutsche Bank AG                
                     
Currency Abbreviations:                
ARS   Argentine Peso   DOP   Dominican Peso   PEN   Peruvian New Sol
BRL   Brazilian Real   EUR   Euro   USD (or $)   United States Dollar
CAD   Canadian Dollar   GBP   British Pound        
                     
Index/Spread Abbreviations:                
CDOR03   3 month CDN Swap Rate   LIBOR06M   6 Month USD-LIBOR   TSFR1M   Term SOFR 1-Month
EUR003M   3 Month EUR Swap Rate   SOFR   Secured Overnight Financing Rate   TSFR03M   Term SOFR 3-Month
LIBOR03M   3 Month USD-LIBOR   SONIO   Sterling Overnight Interbank Average Rate   US0003M   ICE 3-Month USD LIBOR
                     
Municipal Bond or Agency Abbreviations:                
ACA   American Capital Access Holding Ltd.                
                     
Other  Abbreviations:                
ABS   Asset-Backed Security   EBITDA    Earnings before Interest, Taxes, Depreciation and
Amoritization
  PIK   Payment-in-Kind
CDO   Collateralized Debt Obligation   EURIBOR   Euro Interbank Offered Rate   TBA   To-Be-Announced
CLO   Collateralized Loan Obligation   LIBOR   London Interbank Offered Rate   TBD   To-Be-Determined
DAC   Designated Activity Company   OIS   Overnight Index Swap   TBD%   Interest rate to be determined when loan
settles or at the time of funding


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