UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number |
811-21311 | |||||||
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PIMCO High Income Fund | ||||||||
(Exact name of registrant as specified in charter) | ||||||||
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1633 Broadway, New York, NY |
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10019 | ||||||
(Address of principal executive offices) |
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(Zip code) | ||||||
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Lawrence G. Altadonna 1633 Broadway, New York, NY 10019 | ||||||||
(Name and address of agent for service) | ||||||||
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Registrants telephone number, including area code: |
212-739-3371 |
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Date of fiscal year end: |
March 31, 2013 |
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Date of reporting period: |
March 31, 2013 |
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ITEM 1. Report to Shareholders
March 31, 2013
PIMCO Dynamic Income Fund
PIMCO Global StocksPLUS® & Income Fund
PIMCO High Income Fund
Contents |
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Letter to Shareholders |
23 |
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Fund Insights |
48 |
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Performance & Statistics |
911 |
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Schedules of Investments |
1258 |
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Statements of Assets and Liabilities |
5960 |
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Statements of Operations |
61 |
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Statements of Changes in Net Assets |
6264 |
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Statements of Cash Flows |
65 |
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Notes to Financial Statements |
6682 |
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Financial Highlights |
83-85 |
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Report of Independent Registered Public Accounting Firm |
86 |
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Tax Information/Proxy Voting Policies & Procedures |
87 |
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Annual Shareholder Meetings Results/ Changes in Investment Policy |
88 |
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Privacy Policy |
89 |
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Dividend Reinvestment Plan |
90-91 |
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Board of Trustees |
92-93 |
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Fund Officers |
94 |
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PIMCO Dynamic Income Fund |
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PIMCO Global StocksPLUS® & Income Fund |
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3.31.13 | PIMCO High Income Fund Annual Report |
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Dear Shareholder:
US stock markets surged to all-time highs during the fiscal twelve-month reporting period ended March 31, 2013, capping a dramatic comeback from the lows of March 2009. The market rally over the past four years has been, in both nominal and real terms, the fifth largest since 1940. It is notable that these gains have come despite the steady headwinds that continue to challenge the worlds three largest economies, the US, the European Union (E.U.) and China.
For the reporting period ended March 31, 2013 · PIMCO Dynamic Income Fund returned 40.17% on net asset value (NAV) and 35.21% on market price since its inception, on May 30, 2012.
· PIMCO Global StocksPLUS® & Income Fund returned 35.36% on NAV and 21.57% on market price.
· PIMCO High Income Fund returned 31.32% on NAV and 8.53% on market price.
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Hans W. Kertess Chairman
Brian S. Shlissel President & CEO |
The Standard & Poors 500 (S&P 500) Index, a proxy for the US stock market, advanced 13.96%, the MSCI Europe, Australasia and Far East Index (EAFE) returned 11.25% in US dollar terms, and the BofA Merrill Lynch US High Yield Master II Index increased 13.11% for the year ended March 31, 2013. The broad bond market, as measured by the Barclays US Aggregate Index, rose 3.77% while the Barclays US Treasury Bond Index returned 0.14% during the reporting period.
The US economy advanced during the reporting period, albeit modestly and erratically. As the year began, US gross domestic product (GDP), the value of goods and services produced in the country, the broadest measure of economic activity and the principal indicator of economic performance, was growing at a 2.0% annual rate. Growth eased to a 1.3% pace during the second quarter of 2012, before accelerating to an annual rate of 3.1% during the third quarter of 2012. GDP growth slowed to a 0.4% pace during the fourth quarter of 2012, which the government indicated was due to a drop in defense spending.
During the same period, the E.U.s recession deepened. GDP in the 17-nation euro zone contracted every quarter in 2012, with the fourth quarters pace of -0.60% the steepest of all. The E.U.s economy has contracted for five consecutive quarters. Unemployment in the E.U. reached 12% for the first time since the currency was launched in 1999.
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PIMCO Dynamic Income Fund |
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PIMCO Global StocksPLUS® & Income Fund |
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PIMCO High Income Fund Annual Report | 3.31.13 |
The European Central Bank (E.C.B.), under the leadership of President Mario Draghi, announced a massive bond-buying program. In unveiling the measure, Draghi indicated that the E.C.B. would do whatever it takes to preserve the euro. These comments helped to lower borrowing costs for nations struggling with sovereign debt woes, such as Greece, while easing concerns that a nation may exit the E.U.
In China, growth accelerated for the first time in two years, as GDP growth reached a 7.9% pace, an increase from 7.4% during the third quarter of 2012. However, GDP then eased to a 7.7% annual rate as the period drew to a close in the first quarter of 2013.
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Receive this report electronically and eliminate paper mailings. To enroll, go to us.allianzgi.com/edelivery. |
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The Road Ahead The International Monetary Fund (IMF) predicts that, as a result of the automatic budget reductions that the US government began making in March 2013 US GDP will expand at a 1.7% pace in 2013, down from a previous estimate of 2.0%. The IMF also predicts the E.U.s downturn will continue, forecasting a -0.2% contraction in the euro-zones GDP for 2013. Given the interconnection of the US, European and Chinese economies, economic issues experienced in one of these economies are likely to impact the other economies. |
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For specific information on the Funds and their performance, please review the following pages. If you have any questions regarding the information provided, we encourage you to contact your financial advisor or call the Funds shareholder servicing agent at (800) 254-5197. In addition, a wide range of information and resources is available on our website, us.allianzgi.com/closedendfunds.
Together with Allianz Global Investors Fund Management LLC, the Funds investment manager, and Pacific Investment Management Company LLC (PIMCO), the Funds sub-adviser, we thank you for investing with us.
We remain dedicated to serving your investment needs.
Sincerely,
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Hans W. Kertess |
Brian S. Shlissel |
Chairman of the Board of Trustees |
President & Chief Executive Officer |
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PIMCO Dynamic Income Fund |
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PIMCO Global StocksPLUS® & Income Fund |
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3.31.13 | PIMCO High Income Fund Annual Report |
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PIMCO Dynamic Income Fund Fund Insights
March 31, 2013 (unaudited)
For the period from its inception on May 30, 2012 through March 31, 2013 (the reporting period), PIMCO Dynamic Income Fund (the Fund) returned 40.17% on net asset value (NAV) and 35.21% on market price.
A number of macro issues caused the financial markets to experience periods of volatility during the reporting period. These included a continuation of the European sovereign debt crisis, slower global economic growth, the US fiscal cliff and sequestration. Against this backdrop, there were periods of heightened risk aversion. Despite these issues, investors who assumed greater risk were rewarded. The overall US fixed income market, as measured by the Barclays US Aggregate Bond Index, returned 3.77% during the reporting period. The yield curve steepened over the reporting period, as short-term yields declined slightly, whereas longer-term yields moved higher.
Spread sectors (non-Treasuries) generally outperformed equal-duration Treasuries as investors looked for yield in the low interest rate environment. For instance, emerging market debt advanced 10.44% during the reporting period, as measured by the JPMorgan EMBI Global Index. The global high yield corporate bond market, as measured by the Barclays Global High Yield Index, returned 12.98%, compared to the global credit market advance of 6.69%, as measured by the Barclays Global Credit Index.
Sector positioning produces positive results
The Fund posted strong absolute and relative returns during the reporting period. An allocation to non-agency mortgage-backed securities helped results, as these bonds outperformed the broader market, supported by positive supply/demand technicals. The Funds exposure to high yield corporate bonds was beneficial, as their spreads tightened during the reporting period. An emphasis on banking enhanced results as these issues outperformed the broader market. A short duration aided the Funds performance as intermediate- and longer-term rates moved higher during the reporting period.
There were no significant detractors from performance during the reporting period.
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PIMCO Dynamic Income Fund |
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PIMCO Global StocksPLUS® & Income Fund |
|
PIMCO High Income Fund Annual Report | 3.31.13 |
PIMCO Global StocksPLUS® & Income Fund Fund Insights
March 31, 2013 (unaudited)
For the 12-month period ended March 31, 2013, PIMCO Global StocksPLUS® & Income Fund (the Fund) returned 35.36% on net asset value (NAV) and 21.57% on market price.
A number of macro issues caused the global financial markets to experience periods of volatility during the reporting period. These included a continuation of the European sovereign debt crisis, slower global economic growth, the US fiscal cliff and sequestration. Despite these issues, investors who assumed greater risk were rewarded during the reporting period.
The global developed equity markets produced strong results during the 12 months ended March 31, 2013. Over this period, the US stock market returned 13.96%, as measured by the S&P 500 Index (the S&P 500). The S&P 500 fell sharply during the first two months of the period, as investor risk aversion heightened due to fears of contagion from the European sovereign debt crisis and weaker than expected economic data in the US. The S&P 500 then moved higher during nine of the next ten months and, on the last trading day of March 2013, reached an all-time high. Supporting the market over that period were generally robust investor demand, corporate profits that often exceeded expectations and ongoing policy accommodation by the Federal Reserve. International developed equities, as measured by the MSCI EAFE Index, also posted a double-digit return, although they lagged the S&P 500. All told, international developed equities returned 11.25% (as measured by the MSCI EAFE Index) for the 12 months ended March 31, 2013.
US Treasury yields fluctuated during the reporting period, but moved lower during the 12 months ended March 31, 2013. Yields generally moved lower over the first five months of the period given mixed economic data and periods of risk aversion. In late July 2012, the yield on the 10-year Treasury reached an all-time low. Subsequently, yields typically moved higher as the US economy continued to expand and ongoing policy accommodation triggered expectations for future inflation. The yield curve flattened during the 12 months ended March 31, 2013, as longer-term yields fell more than their short-term counterparts. The spread sectors (non-Treasuries) generally
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PIMCO Dynamic Income Fund |
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|
PIMCO Global StocksPLUS® & Income Fund |
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3.31.13 | PIMCO High Income Fund Annual Report |
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PIMCO Global StocksPLUS® & Income Fund Fund Insights
March 31, 2013 (unaudited) (continued)
outperformed equal-duration Treasuries during the period as investors looked for yield in the low interest rate environment.
Equity exposure produces generally positive results
Performance benefited from an average 52% exposure to US equities during the reporting period through S&P 500 futures contracts along with a defensive option strategy that sought to generate income and limit losses. The Fund utilized total return swaps to gain access to the MSCI EAFE Index. The Funds average exposure to foreign stocks was 48% during the reporting period. This was beneficial to performance given the strong results from international developed equities.
The Funds defensive option strategy detracted from performance due to the exercise of written call options during the equity market rally that took place from late 2012 through the end of the period.
Allocations to spread sectors produced positive results
A minor portion of the Funds assets were invested in futures contracts and total return swaps. These instruments permit participation in the returns of the S&P 500 and MSCI EAFE indexes without having to hold the individual stocks which comprise these indexes. The Funds assets are primarily actively managed in a portfolio of fixed income securities with the objective of adding incremental return.
The Funds fixed income securities contributed to performance during the reporting period. Holdings of residential non-agency mortgage-backed securities and commercial mortgage-backed securities added significant value, as strong demand for high quality income and a strengthening US housing market drove prices higher. Allocations to high yield and investment grade corporate bonds, with the latter emphasizing the Financial sector, positively impacted returns due to narrowing credit spreads during the 12-month period. The Funds US interest rate strategy had a beneficial impact on performance, as US Treasury yields were broadly lower during the 12 months ended March 31, 2013. The Fund also benefited from earning a yield in excess of the money market interest rate cost associated with equity index futures and swaps ownership.
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PIMCO Dynamic Income Fund |
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PIMCO Global StocksPLUS® & Income Fund |
|
PIMCO High Income Fund Annual Report | 3.31.13 |
PIMCO High Income Fund Fund Insights
March 31, 2013 (unaudited)
For the fiscal 12-month period ended March 31, 2013, PIMCO High Income Fund (the Fund) returned 31.32% on net asset value (NAV) and 8.53% on market price.
A number of macro issues caused the financial markets to experience periods of volatility during the reporting period. These included a continuation of the European sovereign debt crisis, slower global economic growth, the US fiscal cliff and sequestration. Despite these issues, investors who assumed great risk were rewarded during the reporting period.
The overall US fixed income market, as measured by the Barclays US Aggregate Index, returned 3.77% during the 12 months ended March 31, 2013. US Treasury yields fluctuated during the reporting period, but moved lower over the 12 months ended March 31, 2013. Yields generally moved lower during the first five months of the period given mixed economic data and periods of risk aversion. In late July 2012, the yield on the 10-year Treasury reached an all-time low. Subsequently, yields typically moved higher as the US economy continued to expand and ongoing policy accommodation triggered expectations for future inflation. The yield curve flattened during the 12 months ended March 31, 2013, as longer-term yields fell more than short-term yields. The spread sectors (non-Treasuries) generally outperformed equal-duration Treasuries during the period as investors looked for yield in the low interest rate environment.
The US high yield market advanced 13.11% during the 12 months ended March 31, 2013, as measured by the BofA Merrill Lynch High Yield Master II Index (the Index). Supporting the high yield market were corporate profits that often exceeded expectations, cash-rich corporate balance sheets, low defaults and overall solid demand. In aggregate, during the 12-month period, lower quality securities generally outperformed their higher quality counterparts, with CCC and lower-rated bonds returning 16.12% and BB/B-rated securities in the Index returning 12.48%.
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PIMCO Dynamic Income Fund |
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PIMCO Global StocksPLUS® & Income Fund |
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3.31.13 | PIMCO High Income Fund Annual Report |
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PIMCO High Income Fund Fund Insights
March 31, 2013 (unaudited) (continued)
Sector positioning produces largely positive results
The Fund posted strong absolute and relative returns on a NAV basis during the reporting period. An allocation to non-agency mortgage-backed securities helped results, as these bond issues outperformed the broader market, supported by positive supply/demand technicals. An emphasis on select high quality Banking issues enhanced performance, as did an overweighting to the Insurance sector, as they outperformed the broader market. The Funds long duration added to performance as interest rates in the US declined during the 12-month period.
Detracting from these positive results was the Funds underweighting to high yield corporate bonds, as the spreads on these securities tightened during the reporting period. A tactical allocation to emerging markets in the first quarter of 2013 was negative, as this asset class underperformed the broader credit market during that time.
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PIMCO Dynamic Income Fund |
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PIMCO Global StocksPLUS® & Income Fund |
|
PIMCO High Income Fund Annual Report | 3.31.13 |
PIMCO Dynamic Income Fund
Performance & Statistics
March 31, 2013 (unaudited)
Total Return(1): |
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Market Price |
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NAV |
Commencement of Operations (5/30/12) to 3/31/13 |
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35.21% |
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40.17% |
Market Price/NAV Performance: |
Market Price/NAV: |
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Commencement of Operations (5/30/12) to 3/31/13 |
Market Price |
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$31.10 | |
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NAV |
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$30.69 | |
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Premium to NAV |
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1.34% | |
Market Price Yield(2) |
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6.83% | ||
Leverage Ratio(3) |
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47.39% | ||
Moodys Ratings (as a % of total investments) |
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(1) Past performance is no guarantee of future results. Total return is calculated by determining the percentage change in NAV or market price (as applicable) in the specified period. The calculation assumes that all dividends and distributions, if any, have been reinvested. Total return does not reflect broker commissions or sales charges in connection with the purchase or sale of Fund shares. Total return for a period of less than one year is not annualized.
Performance at market price will differ from results at NAV. Although market price returns typically reflect investment results over time, during shorter periods returns at market price can also be influenced by factors such as changing views about the Fund, market conditions, supply and demand for the Fund s shares, or changes in the Funds dividends.
An investment in the Fund involves risk, including the loss of principal. Total return, market price, market price yield and NAV will fluctuate with changes in market conditions. This data is provided for information purposes only and is not intended for trading purposes. Closed-end funds, unlike open-end funds, are not continuously offered. There is a one time public offering and once issued, shares of closed-end funds are traded in the open market through a stock exchange. NAV is equal to total assets less total liabilities divided by the number of shares outstanding. Holdings are subject to change daily.
(2) Market Price Yield is determined by dividing the annualized current monthly dividend per share (comprised of net investment income and short-term capital gains, if any) by the market price per share at March 31, 2013.
(3) Represents Reverse Repurchase Agreements (Leverage) outstanding, as a percentage of total managed assets. Total managed assets refer to total assets (including assets attributable to Leverage) minus liabilities (other than liabilities representing Leverage).
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PIMCO Dynamic Income Fund |
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PIMCO Global StocksPLUS® & Income Fund |
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3.31.13 | PIMCO High Income Fund Annual Report |
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PIMCO Global StocksPLUS® & Income Fund
Performance & Statistics
March 31, 2013 (unaudited)
Total Return(1): |
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Market Price |
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NAV |
1 Year |
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21.57% |
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35.36% |
5 Year |
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19.47% |
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15.22% |
Commencement of Operations (5/31/05) to 3/31/13 |
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14.70% |
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12.99% |
Market Price/NAV Performance: |
Market Price/NAV: |
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Commencement of Operations (5/31/05) to 3/31/13 |
Market Price |
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$21.95 | |
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NAV |
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$14.32 | |
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Premium to NAV |
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53.28% | |
Market Price Yield(2) |
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10.02% | ||
Leverage Ratio(3) |
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37.99% | ||
Moodys Ratings (as a % of total investments, before |
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(1) Past performance is no guarantee of future results. Total return is calculated by determining the percentage change in NAV or market price (as applicable) in the specified period. The calculation assumes that all dividends and distributions, if any, have been reinvested. Total return does not reflect broker commissions or sales charges in connection with the purchase or sale of Fund shares. Total return for a period of more than one year represents the average annual total return.
Performance at market price will differ from results at NAV. Although market price returns typically reflect investment results over time, during shorter periods returns at market price can also be influenced by factors such as changing views about the Fund, market conditions, supply and demand for the Fund s shares, or changes in the Funds dividends.
An investment in the Fund involves risk, including the loss of principal. Total return, market price, market price yield and NAV will fluctuate with changes in market conditions. This data is provided for information purposes only and is not intended for trading purposes. Closed-end funds, unlike open-end funds, are not continuously offered. There is a one-time public offering and, once issued, shares of closed-end funds are traded in the open market through a stock exchange. NAV is equal to total assets less total liabilities divided by the number of shares outstanding. Holdings are subject to change daily.
(2) Market Price Yield is determined by dividing the annualized current monthly dividend per share (comprised of net investment income) by the market price per share at March 31, 2013.
(3) Represents Reverse Repurchase Agreements (Leverage) outstanding, as a percentage of total managed assets. Total managed assets refer to total assets (including assets attributable to Leverage) minus liabilities (other than liabilities representing Leverage).
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PIMCO Dynamic Income Fund |
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PIMCO Global StocksPLUS® & Income Fund |
|
PIMCO High Income Fund Annual Report | 3.31.13 |
PIMCO High Income Fund
Performance & Statistics
March 31, 2013 (unaudited)
Total Return(1): |
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Market Price |
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NAV |
1 Year |
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8.53% |
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31.32% |
5 Year |
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16.42% |
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14.95% |
Commencement of Operations (4/30/03) to 3/31/13 |
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12.24% |
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11.48% |
Market Price/NAV Performance: |
Market Price/NAV: |
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Commencement of Operations (4/30/03) to 3/31/13 |
Market Price |
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$12.35 | |
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NAV |
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$8.65 | |
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Premium to NAV |
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42.77% | |
Market Price Yield(2) |
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11.48% | ||
Leverage Ratio(3) |
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21.54% | ||
Moodys Ratings (as a % of total investments) |
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(1) Past performance is no guarantee of future results. Total return is calculated by determining the percentage change in NAV or market price (as applicable) in the specified period. The calculation assumes that all dividends and distributions, if any, have been reinvested. Total return does not reflect broker commissions or sales charges in connection with the purchase or sale of Fund shares. Total return for a period of more than one year represents the average annual total return.
Performance at market price will differ from results at NAV. Although market price returns typically reflect investment results over time, during shorter periods returns at market price can also be influenced by factors such as changing views about the Fund, market conditions, supply and demand for the Fund s shares, or changes in the Funds dividends.
An investment in the Fund involves risk, including the loss of principal. Total return, market price, market price yield and NAV will fluctuate with changes in market conditions. This data is provided for information purposes only and is not intended for trading purposes. Closed-end funds, unlike open-end funds, are not continuously offered. There is a one-time public offering and, once issued, shares of closed-end funds are traded in the open market through a stock exchange. NAV is equal to total assets attributable to common shareholders less total liabilities divided by the number of common shares outstanding. Holdings are subject to change daily.
(2) Market Price Yield is determined by dividing the annualized current monthly dividend per common share (comprised of net investment income) by the market price per common share at March 31, 2013.
(3) Represents Preferred Shares (Leverage) outstanding, as a percentage of total managed assets. Total managed assets refer to total assets (including assets attributable to Leverage) minus liabilities (other than liabilities representing Leverage).
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PIMCO Dynamic Income Fund |
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PIMCO Global StocksPLUS® & Income Fund |
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3.31.13 | PIMCO High Income Fund Annual Report |
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PIMCO Dynamic Income Fund Schedule of Investments
March 31, 2013
Principal |
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Value |
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MORTGAGE-BACKED SECURITIES 106.4% |
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£13,243 |
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Alba PLC, 0.767%, 12/15/38 CMO (k) |
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$13,257,237 |
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American Home Mortgage Assets Trust, CMO, |
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$12,906 |
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0.494%, 8/25/37 (k) |
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3,385,413 |
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9,735 |
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6.25%, 6/25/37 |
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6,339,593 |
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American Home Mortgage Investment Trust, CMO (k), |
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10,312 |
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0.504%, 9/25/45 (i) |
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8,638,124 |
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9,739 |
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0.804%, 2/25/44 |
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2,553,073 |
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Banc of America Alternative Loan Trust, CMO, |
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376 |
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0.604%, 5/25/35 (k) |
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277,397 |
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887 |
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6.00%, 6/25/37 |
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708,993 |
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350 |
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6.00%, 6/25/46 |
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282,084 |
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Banc of America Funding Corp., CMO (k), |
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15,300 |
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zero coupon, 7/26/36 (a) (d) |
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9,482,847 |
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36,097 |
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0.413%, 4/20/47 (i) |
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27,773,014 |
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4,612 |
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0.653%, 2/20/35 |
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1,213,071 |
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566 |
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2.924%, 1/20/47 (i) |
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441,084 |
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890 |
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3.03%, 1/25/35 |
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502,392 |
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4,983 |
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Banc of America Funding Trust, 2.922%, 3/20/36 CMO (k) |
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4,257,724 |
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Banc of America Mortgage Trust, CMO (k), |
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547 |
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2.997%, 10/20/46 |
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337,351 |
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2,634 |
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3.028%, 1/25/36 |
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2,447,940 |
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Banc of America Re-Remic Trust, CMO (a) (d), |
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13,000 |
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5.383%, 12/15/16 (i) |
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14,111,292 |
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38,264 |
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5.634%, 2/17/51 (f) (k) |
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42,918,482 |
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4,237 |
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Bancaja FTA, 0.319%, 10/25/37 CMO (k) |
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4,498,918 |
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BCAP LLC Trust, CMO (a) (d), |
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$7,018 |
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2.829%, 7/26/45 (b) (j) (k) (acquisition cost-$5,649,452; purchased 3/13/13) |
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5,655,505 |
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14,380 |
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3.019%, 5/26/36 (k) |
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6,993,783 |
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8,051 |
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5.002%, 3/26/35 (k) |
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6,813,575 |
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27,442 |
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5.041%, 4/26/37 (k) |
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14,454,260 |
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6,052 |
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5.151%, 10/26/35 (k) |
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4,761,766 |
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6,404 |
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5.353%, 6/26/47 (k) |
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5,063,424 |
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12,769 |
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5.50%, 12/26/35 |
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9,822,738 |
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4,770 |
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5.641%, 7/26/35 (k) |
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3,647,929 |
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8,578 |
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5.893%, 8/26/37 (k) |
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5,081,785 |
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12,755 |
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Bear Stearns ALT-A Trust, 0.404%, 2/25/34 CMO (i) (k) |
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8,381,070 |
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30,415 |
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Celtic Residential Irish Mortgage Securitisation No. 9 PLC, 0.357%, 11/13/47 CMO (k) |
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30,622,838 |
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10,872 |
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Celtic Residential Irish Mortgage Securitisation No. 10 PLC, 0.432%, 4/10/48 CMO (k) |
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10,733,201 |
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8,751 |
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Celtic Residential Irish Mortgage Securitisation No. 11 PLC, 0.461%, 12/14/48 CMO (k) |
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8,623,604 |
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5,300 |
|
Celtic Residential Irish Mortgage Securitisation No. 12 Ltd., 0.404%, 3/18/49 CMO (k) |
|
4,783,396 |
| |
$5,740 |
|
Chase Mortgage Finance Trust, 5.241%, 3/25/37 CMO (i) (k) |
|
4,842,875 |
| |
|
|
Citigroup Mortgage Loan Trust, Inc., CMO (k), |
|
|
| |
1,864 |
|
2.57%, 3/25/36 |
|
1,733,333 |
| |
10,748 |
|
3.111%, 9/25/37 (i) |
|
8,745,535 |
| |
|
|
Countrywide Alternative Loan Trust, CMO, |
|
|
| |
29,620 |
|
0.394%, 9/25/46 (i) (k) |
|
19,138,157 |
| |
34,392 |
|
0.762%, 12/25/35 IO |
|
439,234 |
| |
33,414 |
|
0.934%, 11/25/35 (i) (k) |
|
25,317,504 |
| |
16,401 |
|
1.027%, 11/25/46 (i) (k) |
|
9,245,628 |
| |
25,940 |
|
1.543%, 12/25/35 IO |
|
1,582,266 |
| |
561 |
|
5.50%, 2/25/20 |
|
562,914 |
| |
5,652 |
|
5.50%, 7/25/35 (i) |
|
5,118,906 |
| |
|
|
|
|
|
|
|
PIMCO Dynamic Income Fund |
|
PIMCO Global StocksPLUS® & Income Fund |
|
PIMCO High Income Fund Annual Report | 3.31.13 |
PIMCO Dynamic Income Fund Schedule of Investments
March 31, 2013 (continued)
Principal |
|
|
|
|
Value |
|
|
|
|
|
|
| |
$19,883 |
|
5.50%, 12/25/35 (i) |
|
$16,489,075 |
| |
382 |
|
5.50%, 1/25/36 |
|
328,034 |
| |
5,363 |
|
5.50%, 4/25/37 |
|
4,176,155 |
| |
543 |
|
5.75%, 1/25/36 (i) |
|
475,625 |
| |
18,788 |
|
5.75%, 1/25/37 (i) |
|
15,003,330 |
| |
6,251 |
|
5.75%, 4/25/37 (i) |
|
5,431,924 |
| |
920 |
|
6.00%, 6/25/36 |
|
772,106 |
| |
375 |
|
6.00%, 12/25/36 |
|
284,116 |
| |
4,932 |
|
6.00%, 1/25/37 (i) |
|
4,207,626 |
| |
644 |
|
6.00%, 2/25/37 |
|
486,683 |
| |
12,826 |
|
6.00%, 4/25/37 (i) |
|
9,883,073 |
| |
12,646 |
|
6.00%, 5/25/37 (i) |
|
10,071,365 |
| |
5,881 |
|
6.00%, 7/25/37 (i) |
|
5,259,655 |
| |
22,782 |
|
6.946%, 7/25/36 IO (k) |
|
7,252,203 |
| |
2,501 |
|
37.775%, 5/25/37 (b) (k) |
|
4,676,153 |
| |
|
|
Countrywide Home Loan Mortgage Pass-Through Trust, CMO, |
|
|
| |
548 |
|
0.504%, 3/25/35 (k) |
|
449,176 |
| |
4,396 |
|
0.544%, 3/25/36 (k) |
|
2,013,184 |
| |
164 |
|
5.00%, 11/25/35 |
|
149,810 |
| |
413 |
|
5.50%, 12/25/34 |
|
354,303 |
| |
197 |
|
5.50%, 11/25/35 |
|
189,938 |
| |
25,088 |
|
5.527%, 6/25/47 (i) (k) |
|
23,052,860 |
| |
790 |
|
6.00%, 7/25/37 |
|
715,742 |
| |
10 |
|
6.00%, 8/25/37 |
|
9,557 |
| |
10,960 |
|
6.00%, 8/25/37 (i) |
|
10,168,967 |
| |
570 |
|
6.00%, 1/25/38 |
|
513,254 |
| |
|
|
Credit Suisse Mortgage Capital Certificates, CMO, |
|
|
| |
3,000 |
|
1.423%, 10/15/21 (a) (d) (k) |
|
2,849,056 |
| |
27,326 |
|
3.559%, 4/26/35 (a) (d) (k) |
|
21,728,528 |
| |
91,152 |
|
5.001%, 2/27/47 (a) (d) (i) (k) |
|
64,155,948 |
| |
14,826 |
|
5.05%, 7/26/37 (a) (d) (i) (k) |
|
7,876,893 |
| |
12,950 |
|
5.407%, 2/15/39 (i) (k) |
|
14,138,894 |
| |
10,000 |
|
5.692%, 4/16/49 (a) (d) (i) (k) |
|
11,324,270 |
| |
11,208 |
|
5.728%, 7/26/49 (a) (d) (k) |
|
5,409,592 |
| |
13,709 |
|
5.896%, 4/25/36 |
|
11,479,308 |
| |
7,375 |
|
6.50%, 10/25/21 (i) |
|
6,184,902 |
| |
19,837 |
|
6.50%, 7/26/36 (i) |
|
13,405,214 |
| |
24,642 |
|
7.00%, 8/26/36 (a) (d) |
|
9,824,813 |
| |
5,305 |
|
7.00%, 8/27/36 (a) (d) |
|
4,002,795 |
| |
2,824 |
|
Deutsche ALT-A Securities, Inc. Alternate Loan Trust, 6.00%, 10/25/21 CMO |
|
2,475,765 |
| |
|
|
Diversity Funding Ltd., CMO (k), |
|
|
| |
£9,442 |
|
2.165%, 2/10/46 |
|
13,185,040 |
| |
1,310 |
|
2.515%, 2/10/46 |
|
1,222,475 |
| |
1,193 |
|
3.015%, 2/10/46 |
|
758,801 |
| |
1,170 |
|
3.515%, 2/10/46 |
|
283,370 |
| |
702 |
|
4.765%, 2/10/46 |
|
80,029 |
| |
234 |
|
5.123%, 2/10/46 (e) |
|
17,669 |
| |
247 |
|
5.223%, 2/10/46 (e) |
|
14,923 |
| |
33,204 |
|
Emerald Mortgages No. 4 PLC, 0.238%, 7/15/48 CMO (k) |
|
32,911,875 |
| |
$11,100 |
|
Extended Stay America Trust, 7.625%, 12/5/19 CMO (a) (d) |
|
11,918,977 |
| |
|
|
First Horizon Alternative Mortgage Securities Trust, CMO (k), |
|
|
| |
14,730 |
|
2.395%, 8/25/35 |
|
3,136,884 |
| |
3,162 |
|
6.896%, 11/25/36 IO (b) |
|
954,545 |
| |
|
|
|
|
|
|
|
PIMCO Dynamic Income Fund |
|
|
PIMCO Global StocksPLUS® & Income Fund |
|
|
3.31.13 | PIMCO High Income Fund Annual Report |
|
PIMCO Dynamic Income Fund Schedule of Investments
March 31, 2013 (continued)
Principal |
|
|
|
|
Value |
|
|
|
|
|
|
| |
$1,429 |
|
First Horizon Mortgage Pass-Through Trust, 5.50%, 8/25/37 CMO |
|
$1,345,170 |
| |
7,958 |
|
GMAC Commercial Mortgage Securities, Inc., 4.915%, 12/10/41 CMO (i) |
|
8,262,282 |
| |
5,688 |
|
Greenpoint Mortgage Funding Trust, 0.404%, 12/25/46 CMO (k) |
|
2,311,945 |
| |
|
|
GSR Mortgage Loan Trust, CMO, |
|
|
| |
406 |
|
3.146%, 11/25/35 (k) |
|
374,572 |
| |
454 |
|
5.50%, 5/25/36 |
|
415,103 |
| |
2,008 |
|
6.50%, 8/25/36 (k) |
|
1,654,066 |
| |
|
|
Harborview Mortgage Loan Trust, CMO (k), |
|
|
| |
29 |
|
0.393%, 1/19/38 |
|
23,037 |
| |
29,357 |
|
0.443%, 3/19/36 (i) |
|
19,642,607 |
| |
14,298 |
|
0.453%, 1/19/36 (i) |
|
9,651,147 |
| |
16,406 |
|
0.853%, 6/20/35 (i) |
|
7,984,477 |
| |
3,706 |
|
1.103%, 6/20/35 |
|
852,924 |
| |
587 |
|
Impac CMB Trust, 0.924%, 10/25/34 CMO (k) |
|
476,424 |
| |
30 |
|
Impac Secured Assets Trust, 0.314%, 5/25/37 CMO (k) |
|
19,144 |
| |
9,218 |
|
IndyMac IMSC Mortgage Loan Trust, 2.955%, 6/25/37 CMO (i) (k) |
|
6,466,316 |
| |
170 |
|
IndyMac INDA Mortgage Loan Trust, 5.286%, 3/25/37 CMO (k) |
|
150,208 |
| |
|
|
IndyMac Index Mortgage Loan Trust, CMO (k), |
|
|
| |
7,532 |
|
0.404%, 11/25/46 (i) |
|
3,685,468 |
| |
4,700 |
|
0.454%, 2/25/37 |
|
2,262,533 |
| |
717 |
|
0.504%, 7/25/36 |
|
570,368 |
| |
360 |
|
2.595%, 2/25/35 |
|
311,888 |
| |
|
|
JPMorgan Alternative Loan Trust, CMO (i), |
|
|
| |
57,569 |
|
0.404%, 6/25/37 (k) |
|
31,020,822 |
| |
13,711 |
|
5.85%, 11/25/36 (k) |
|
12,634,101 |
| |
10,000 |
|
5.96%, 12/25/36 |
|
7,935,660 |
| |
5,000 |
|
6.31%, 8/25/36 |
|
3,539,370 |
| |
75,688 |
|
JPMorgan Chase Commercial Mortgage Securities Corp., 2.044%, 6/15/45 CMO, IO (i) (k) |
|
8,684,764 |
| |
|
|
JPMorgan Mortgage Trust, CMO (k), |
|
|
| |
12,310 |
|
2.961%, 6/25/37 (i) |
|
10,124,079 |
| |
9,596 |
|
5.507%, 4/25/37 (i) |
|
8,986,441 |
| |
2,681 |
|
5.70%, 10/25/36 |
|
2,472,200 |
| |
8,976 |
|
KGS Alpha SBA, 1.055%, 4/25/38 CMO (a) (b) (d) (f) (i) (j) |
|
468,527 |
| |
|
|
Lavendar Trust, CMO (a) (d) (f), |
|
|
| |
7,770 |
|
5.50%, 9/26/35 |
|
4,853,917 |
| |
18,816 |
|
6.00%, 11/26/36 |
|
11,235,335 |
| |
10,913 |
|
LB Commercial Mortgage Trust, 5.864%, 7/15/44 CMO (i) (k) |
|
12,644,341 |
| |
|
|
LB-UBS Commercial Mortgage Trust, CMO (k), |
|
|
| |
300,923 |
|
0.138%, 2/15/40 IO (a) (d) |
|
4,160,415 |
| |
7,751 |
|
5.452%, 9/15/39 (i) |
|
8,394,155 |
| |
|
|
Lehman Mortgage Trust, CMO, |
|
|
| |
262 |
|
5.50%, 11/25/35 |
|
263,713 |
| |
2,580 |
|
6.00%, 8/25/36 |
|
2,072,262 |
| |
1,657 |
|
6.00%, 9/25/36 |
|
1,337,225 |
| |
12,104 |
|
6.50%, 9/25/37 (i) |
|
10,388,366 |
| |
49,858 |
|
7.25%, 9/25/37 (i) |
|
26,940,702 |
| |
|
|
Lehman XS Trust, CMO (k), |
|
|
| |
38,302 |
|
0.484%, 7/25/37 |
|
9,826,915 |
| |
5,744 |
|
0.704%, 7/25/47 |
|
652,792 |
| |
|
|
MASTR Adjustable Rate Mortgages Trust, CMO (k), |
|
|
| |
32,924 |
|
0.404%, 5/25/47 (i) |
|
20,958,044 |
| |
6,398 |
|
0.544%, 5/25/47 |
|
1,954,420 |
| |
|
|
|
|
|
|
|
PIMCO Dynamic Income Fund |
|
PIMCO Global StocksPLUS® & Income Fund |
|
PIMCO High Income Fund Annual Report | 3.31.13 |
PIMCO Dynamic Income Fund Schedule of Investments
March 31, 2013 (continued)
Principal |
|
|
|
|
Value |
|
|
|
|
|
|
| |
|
|
MASTR Alternative Loans Trust, CMO (k), |
|
|
| |
$28,761 |
|
0.554%, 3/25/36 (i) |
|
$5,921,362 |
| |
36,758 |
|
0.604%, 3/25/36 |
|
7,668,432 |
| |
702 |
|
MASTR Asset Securitization Trust, 5.288%, 11/25/33 CMO (a) (d) (k) |
|
122,843 |
| |
|
|
Morgan Stanley Re-Remic Trust, CMO (a) (d), |
|
|
| |
11,082 |
|
2.606%, 1/26/35 (k) |
|
8,386,533 |
| |
6,285 |
|
2.606%, 2/26/37 (k) |
|
4,573,367 |
| |
26,634 |
|
3.003%, 7/26/35 (i) (k) |
|
16,850,017 |
| |
4,998 |
|
5.31%, 9/26/35 (k) |
|
3,912,814 |
| |
7,969 |
|
6.00%, 4/26/36 |
|
4,601,167 |
| |
|
|
Newgate Funding, CMO (k), |
|
|
| |
£2,200 |
|
0.707%, 12/15/50 |
|
2,383,498 |
| |
2,750 |
|
1.453%, 12/15/50 |
|
2,718,725 |
| |
5,250 |
|
1.703%, 12/15/50 |
|
3,792,024 |
| |
£4,150 |
|
1.757%, 12/15/50 |
|
4,792,344 |
| |
|
|
Nomura Asset Acceptance Corp., CMO, |
|
|
| |
$1,112 |
|
5.82%, 3/25/47 |
|
1,129,869 |
| |
18,155 |
|
6.138%, 3/25/47 (i) |
|
18,448,961 |
| |
34,618 |
|
6.347%, 3/25/47 (i) |
|
35,172,819 |
| |
1,750 |
|
Opera Finance Cmh PLC, 0.495%, 1/15/15 CMO (k) |
|
1,177,700 |
| |
|
|
RBSSP Resecuritization Trust, CMO (a) (d), |
|
|
| |
$20,150 |
|
2.751%, 7/26/45 (k) |
|
16,918,066 |
| |
10,315 |
|
3.132%, 2/26/36 (i) (k) |
|
3,826,324 |
| |
9,761 |
|
6.00%, 3/26/36 |
|
6,815,170 |
| |
18,525 |
|
6.431%, 11/21/35 (i) (k) |
|
11,303,187 |
| |
32,683 |
|
7.053%, 11/26/35 (i) (k) |
|
18,438,047 |
| |
|
|
Residential Accredit Loans, Inc., CMO, |
|
|
| |
15,434 |
|
0.384%, 7/25/36 (i) (k) |
|
10,041,532 |
| |
33,810 |
|
0.394%, 5/25/37 (i) (k) |
|
25,402,070 |
| |
12,826 |
|
1.177%, 1/25/46 (i) (k) |
|
8,717,950 |
| |
2,000 |
|
4.224%, 1/25/36 (k) |
|
1,479,018 |
| |
1,807 |
|
6.00%, 8/25/35 |
|
1,630,087 |
| |
1,045 |
|
6.00%, 6/25/36 |
|
867,007 |
| |
10,090 |
|
6.00%, 8/25/36 (i) |
|
8,221,511 |
| |
23,056 |
|
7.00%, 10/25/37 (i) |
|
18,354,059 |
| |
|
|
Residential Asset Securitization Trust, CMO, |
|
|
| |
2,292 |
|
5.50%, 7/25/35 |
|
2,174,774 |
| |
5,911 |
|
6.25%, 8/25/37 |
|
3,385,542 |
| |
|
|
Residential Funding Mortgage Securities I, CMO, |
|
|
| |
581 |
|
5.85%, 11/25/35 |
|
557,160 |
| |
7,828 |
|
5.907%, 8/25/36 (i) (k) |
|
7,277,224 |
| |
4,395 |
|
6.00%, 4/25/37 |
|
4,053,569 |
| |
2,661 |
|
Sequoia Mortgage Trust, 0.573%, 7/20/36 CMO (i) (k) |
|
1,724,952 |
| |
£2,722 |
|
Southern Pacific Securities PLC, 4.007%, 12/10/42 CMO (k) |
|
3,766,999 |
| |
|
|
Structured Adjustable Rate Mortgage Loan Trust, CMO (i) (k), |
|
|
| |
$7,454 |
|
4.587%, 8/25/36 |
|
5,038,684 |
| |
15,515 |
|
5.205%, 2/25/37 |
|
11,028,971 |
| |
5,911 |
|
5.205%, 4/25/47 |
|
4,614,075 |
| |
|
|
Structured Asset Mortgage Investments II Trust, CMO (k), |
|
|
| |
4,442 |
|
0.374%, 3/25/37 |
|
494,081 |
| |
31,659 |
|
0.394%, 7/25/46 (i) |
|
23,609,850 |
| |
|
|
Suntrust Alternative Loan Trust, CMO (k), |
|
|
| |
29,964 |
|
0.554%, 4/25/36 (i) |
|
7,340,574 |
| |
|
|
|
|
|
|
|
PIMCO Dynamic Income Fund |
|
|
PIMCO Global StocksPLUS® & Income Fund |
|
|
3.31.13 | PIMCO High Income Fund Annual Report |
|
PIMCO Dynamic Income Fund Schedule of Investments
March 31, 2013 (continued)
Principal |
|
|
|
|
Value |
|
|
|
|
|
|
| |
$8,098 |
|
6.946%, 4/25/36 IO |
|
$2,482,468 |
| |
|
|
TBW Mortgage-Backed Trust, CMO (i), |
|
|
| |
15,854 |
|
5.80%, 3/25/37 |
|
9,342,820 |
| |
14,693 |
|
6.12%, 3/25/37 |
|
8,655,159 |
| |
33,615 |
|
6.50%, 7/25/36 |
|
18,419,913 |
| |
|
|
Vanwall Finance PLC, CMO (k), |
|
|
| |
£11,691 |
|
0.853%, 4/12/16 |
|
17,595,352 |
| |
7,494 |
|
1.113%, 4/12/16 |
|
11,319,724 |
| |
|
|
WaMu Mortgage Pass-Through Certificates, CMO (k), |
|
|
| |
$558 |
|
0.67%, 6/25/44 |
|
490,173 |
| |
21,717 |
|
0.927%, 6/25/47 (i) |
|
5,846,822 |
| |
39,141 |
|
0.987%, 7/25/47 (i) |
|
31,658,999 |
| |
917 |
|
1.057%, 10/25/46 |
|
716,788 |
| |
3,537 |
|
1.158%, 7/25/46 |
|
2,710,885 |
| |
112 |
|
1.175%, 2/25/46 |
|
103,337 |
| |
1,704 |
|
2.212%, 7/25/47 (i) |
|
1,236,333 |
| |
11,551 |
|
5.048%, 3/25/37 (i) |
|
10,808,343 |
| |
804 |
|
5.091%, 2/25/37 |
|
771,551 |
| |
|
|
Washington Mutual Alternative Mortgage Pass-Through Certificates, CMO (i), |
|
|
| |
23,610 |
|
0.444%, 1/25/47 (k) |
|
13,638,718 |
| |
9,537 |
|
6.00%, 4/25/37 |
|
8,212,495 |
| |
1,355 |
|
Wells Fargo Alternative Loan Trust, 5.75%, 7/25/37 CMO |
|
1,213,263 |
| |
28,600 |
|
Wells Fargo Mortgage Loan Trust, 5.582%, 4/27/36 CMO (a) (d) (k) |
|
24,432,790 |
| |
|
|
Wells Fargo Mortgage-Backed Securities Trust, CMO, |
|
|
| |
1,425 |
|
2.651%, 10/25/35 (k) |
|
1,402,311 |
| |
916 |
|
6.00%, 7/25/36 (i) |
|
911,705 |
| |
1,886 |
|
6.00%, 9/25/36 |
|
1,890,480 |
| |
571 |
|
6.00%, 4/25/37 |
|
552,301 |
| |
1,398 |
|
6.00%, 6/25/37 |
|
1,398,863 |
| |
2,940 |
|
6.00%, 8/25/37 |
|
2,942,874 |
| |
Total Mortgage-Backed Securities (cost-$1,302,083,170) |
|
1,482,841,405 |
| |||
|
|
|
| |||
CORPORATE BONDS & NOTES 36.5% |
|
|
| |||
|
|
|
|
|
| |
Banking 11.4% |
|
|
| |||
9,100 |
|
Banco Continental SAECA, 8.875%, 10/15/17 (a) (b) (d) (i) (j) |
|
10,032,750 |
| |
12,500 |
|
Banco do Brasil S.A., 5.875%, 1/19/23 (a) (d) (i) |
|
13,468,750 |
| |
7,100 |
|
Caisse Centrale du Credit Immobilier de France S.A., 4.00%, 1/12/18 (i) |
|
9,271,814 |
| |
3,000 |
|
Citigroup, Inc., 1.48%, 11/30/17 (i) (k) |
|
3,712,719 |
| |
15,800 |
|
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA, 6.875%, 3/19/20 (i) |
|
22,795,065 |
| |
|
|
Eksportfinans ASA (i), |
|
|
| |
$700 |
|
2.00%, 9/15/15 |
|
672,458 |
| |
1,700 |
|
5.50%, 5/25/16 |
|
1,767,330 |
| |
1,900 |
|
5.50%, 6/26/17 |
|
1,972,894 |
| |
6,000 |
|
Intesa Sanpaolo SpA, 6.50%, 2/24/21 (a) (d) (i) |
|
6,195,384 |
| |
15,800 |
|
LBG Capital No. 2 PLC, 6.385%, 5/12/20 |
|
20,420,332 |
| |
$36,500 |
|
Morgan Stanley, 7.30%, 5/13/19 (i) |
|
45,248,502 |
| |
|
|
Royal Bank of Scotland NV (i) (k), |
|
|
| |
5,446 |
|
0.95%, 6/8/15 |
|
6,663,326 |
| |
$5,000 |
|
0.981%, 3/9/15 |
|
4,779,050 |
| |
9,000 |
|
Royal Bank of Scotland PLC, 6.934%, 4/9/18 (i) |
|
12,501,041 |
| |
|
|
|
|
159,501,415 |
|
|
PIMCO Dynamic Income Fund |
|
PIMCO Global StocksPLUS® & Income Fund |
|
PIMCO High Income Fund Annual Report | 3.31.13 |
PIMCO Dynamic Income Fund Schedule of Investments
March 31, 2013 (continued)
Principal |
|
|
|
|
Value |
|
|
|
|
|
|
| |
Building Materials 1.0% |
|
|
| |||
|
|
Corp. GEO S.A.B. de C.V. (a) (d), |
|
|
| |
$300 |
|
8.875%, 3/27/22 |
|
$259,500 |
| |
7,000 |
|
9.25%, 6/30/20 (i) |
|
6,125,000 |
| |
5,000 |
|
Desarrolladora Homex S.A.B. de C.V., 9.75%, 3/25/20 (a) (d) (i) |
|
4,300,000 |
| |
5,000 |
|
Urbi Desarrollos Urbanos S.A.B. de C.V., 9.75%, 2/3/22 (a) (d) (i) |
|
3,150,000 |
| |
|
|
|
|
13,834,500 |
| |
Chemicals 2.0% |
|
|
| |||
25,980 |
|
Ineos Finance PLC, 7.50%, 5/1/20 (a) (d) (i) |
|
28,415,625 |
| |
Coal 0.6% |
|
|
| |||
|
|
Mongolian Mining Corp. (i), |
|
|
| |
1,600 |
|
8.875%, 3/29/17 |
|
1,648,000 |
| |
5,900 |
|
8.875%, 3/29/17 (a) (d) |
|
6,077,000 |
| |
|
|
|
|
7,725,000 |
| |
Commercial Services 0.6% |
|
|
| |||
8,550 |
|
Stonemor Operating LLC, 10.25%, 12/1/17 (i) |
|
9,105,750 |
| |
Diversified Financial Services 6.6% |
|
|
| |||
12,900 |
|
AGFC Capital Trust I, 6.00%, 1/15/67 (converts to FRN on 1/15/17) (a) (d) (i) |
|
10,513,500 |
| |
9,600 |
|
Cantor Fitzgerald L.P., 7.875%, 10/15/19 (a) (d) (i) |
|
10,113,552 |
| |
900 |
|
Cedulas TDA 1 Fondo de Titulizacion de Activos, 0.251%, 4/8/16 (k) |
|
1,020,812 |
| |
31,700 |
|
Cedulas TDA 6 Fondo de Titulizacion de Activos, 4.25%, 4/10/31 (i) |
|
31,119,534 |
| |
$10,000 |
|
General Electric Capital Corp., 7.125%, 6/15/22 (g) |
|
11,659,690 |
| |
3,500 |
|
Lazard Group LLC, 6.85%, 6/15/17 (i) |
|
4,029,319 |
| |
|
|
SLM Corp. (i), |
|
|
| |
5,000 |
|
6.00%, 1/25/17 |
|
5,462,500 |
| |
6,245 |
|
7.25%, 1/25/22 |
|
7,010,012 |
| |
|
|
Springleaf Finance Corp. (i), |
|
|
| |
2,300 |
|
6.50%, 9/15/17 |
|
2,300,000 |
| |
5,400 |
|
6.90%, 12/15/17 |
|
5,474,250 |
| |
15,412 |
|
Toll Road Investors Partnership II L.P., zero coupon, 2/15/45 (MBIA) (a) (b) (d) (j) |
|
2,697,454 |
| |
|
|
|
|
91,400,623 |
| |
Electric Utilities 0.6% |
|
|
| |||
5,000 |
|
Edison Mission Energy, 7.00%, 5/15/17 (e) |
|
2,700,000 |
| |
|
|
Energy Future Intermediate Holding Co. LLC (i), |
|
|
| |
3,100 |
|
6.875%, 8/15/17 (a) (d) |
|
3,278,250 |
| |
1,700 |
|
10.00%, 12/1/20 |
|
1,935,875 |
| |
|
|
|
|
7,914,125 |
| |
Engineering & Construction 0.9% |
|
|
| |||
11,731 |
|
Alion Science and Technology Corp., 12.00%, 11/1/14 PIK (i) |
|
12,053,100 |
| |
Food & Beverage 0.6% |
|
|
| |||
2,500 |
|
BRF-Brasil Foods S.A., 5.875%, 6/6/22 (a) (d) (i) |
|
2,787,500 |
| |
5,000 |
|
Minerva Luxembourg S.A., 7.75%, 1/31/23 (a) (d) (i) |
|
5,375,000 |
| |
|
|
|
|
8,162,500 |
| |
Household Products/Wares 1.7% |
|
|
| |||
8,236 |
|
Armored Autogroup, Inc., 9.25%, 11/1/18 (i) |
|
7,391,810 |
| |
|
|
Reynolds Group Issuer, Inc. (i), |
|
|
| |
6,000 |
|
6.875%, 2/15/21 |
|
6,405,000 |
| |
|
|
|
|
|
|
|
PIMCO Dynamic Income Fund |
|
|
PIMCO Global StocksPLUS® & Income Fund |
|
|
3.31.13 | PIMCO High Income Fund Annual Report |
|
PIMCO Dynamic Income Fund Schedule of Investments
March 31, 2013 (continued)
Principal |
|
|
|
|
Value |
|
|
|
|
|
|
| |
Household Products/Wares (continued) |
|
|
| |||
$9,000 |
|
7.875%, 8/15/19 |
|
$9,967,500 |
| |
|
|
|
|
23,764,310 |
| |
Insurance 1.1% |
|
|
| |||
£8,500 |
|
American International Group, Inc., 8.625%, 5/22/68 (converts to FRN on 5/22/18) (i) |
|
15,950,449 |
| |
Lodging 0.3% |
|
|
| |||
$12,000 |
|
Buffalo Thunder Development Authority, 9.375%, 12/15/14 (a) (b) (d) (e) (j) |
|
3,840,000 |
| |
Miscellaneous Manufacturing 0.0% |
|
|
| |||
600 |
|
Colt Defense LLC, 8.75%, 11/15/17 |
|
405,000 |
| |
Oil & Gas 2.1% |
|
|
| |||
5,000 |
|
Afren PLC, 10.25%, 4/8/19 (i) |
|
5,975,000 |
| |
5,000 |
|
Alliance Oil Co., Ltd., 9.875%, 3/11/15 (i) |
|
5,468,750 |
| |
16,700 |
|
OGX Austria GmbH, 8.50%, 6/1/18 (a) (d) (i) |
|
13,109,500 |
| |
7,000 |
|
Petroleos de Venezuela S.A., 5.50%, 4/12/37 (i) |
|
4,777,500 |
| |
|
|
|
|
29,330,750 |
| |
Pharmaceuticals 0.2% |
|
|
| |||
2,764 |
|
Lantheus Medical Imaging, Inc., 9.75%, 5/15/17 (i) |
|
2,757,090 |
| |
Pipelines 1.8% |
|
|
| |||
15,900 |
|
NGPL PipeCo LLC, 7.768%, 12/15/37 (a) (d) (i) |
|
16,218,000 |
| |
9,740 |
|
Rockies Express Pipeline LLC, 6.875%, 4/15/40 (a) (d) (i) |
|
8,863,400 |
| |
|
|
|
|
25,081,400 |
| |
Retail 2.6% |
|
|
| |||
£1,950 |
|
Aston Martin Capital Ltd., 9.25%, 7/15/18 |
|
3,022,186 |
| |
500 |
|
Enterprise Inns PLC, 6.50%, 12/6/18 |
|
755,774 |
| |
3,872 |
|
Punch Taverns Finance PLC, 6.82%, 7/15/20 (i) |
|
5,956,851 |
| |
12,120 |
|
Spirit Issuer PLC, 5.472%, 12/28/34 (k) |
|
15,929,607 |
| |
6,800 |
|
Unique Pub Finance Co. PLC, 6.542%, 3/30/21 |
|
10,306,427 |
| |
|
|
|
|
35,970,845 |
| |
Software 0.8% |
|
|
| |||
|
|
First Data Corp. (a) (d) (i), |
|
|
| |
$5,000 |
|
7.375%, 6/15/19 |
|
5,343,750 |
| |
5,000 |
|
8.75%, 1/15/22 PIK |
|
5,312,500 |
| |
|
|
|
|
10,656,250 |
| |
Telecommunications 1.1% |
|
|
| |||
8,500 |
|
Nokia Oyj, 5.375%, 5/15/19 (i) |
|
8,138,750 |
| |
7,000 |
|
VimpelCom Holdings BV, 7.504%, 3/1/22 (i) |
|
7,807,100 |
| |
|
|
|
|
15,945,850 |
| |
Transportation 0.5% |
|
|
| |||
6,500 |
|
Aeropuertos Dominicanos Siglo XXI S.A., 9.25%, 11/13/19 (a) (d) (i) |
|
7,101,250 |
| |
350 |
|
Western Express, Inc., 12.50%, 4/15/15 (a) (d) |
|
257,250 |
| |
|
|
|
|
7,358,500 |
| |
Total Corporate Bonds & Notes (cost-$452,374,528) |
|
509,173,082 |
| |||
|
|
|
| |||
|
|
|
| |||
|
|
|
|
|
PIMCO Dynamic Income Fund |
|
PIMCO Global StocksPLUS® & Income Fund |
|
PIMCO High Income Fund Annual Report | 3.31.13 |
PIMCO Dynamic Income Fund Schedule of Investments
March 31, 2013 (continued)
Principal |
|
|
|
|
Value |
|
ASSET-BACKED SECURITIES 22.5% |
|
|
| |||
|
|
|
|
|
| |
|
|
Bear Stearns Asset-Backed Securities Trust (k), |
|
|
| |
$4,000 |
|
0.754%, 6/25/36 |
|
$2,813,406 |
| |
582 |
|
2.65%, 10/25/36 |
|
364,687 |
| |
2,895 |
|
Bombardier Capital Mortgage Securitization Corp. Trust, 7.44%, 12/15/29 (i) (k) |
|
1,811,015 |
| |
|
|
Citigroup Mortgage Loan Trust, Inc., |
|
|
| |
662 |
|
5.852%, 5/25/36 |
|
433,352 |
| |
3,841 |
|
5.892%, 3/25/36 |
|
2,714,820 |
| |
|
|
Conseco Finance Securitizations Corp., |
|
|
| |
10,859 |
|
7.96%, 5/1/31 |
|
9,194,727 |
| |
18,161 |
|
7.97%, 5/1/32 (i) |
|
13,294,493 |
| |
32,188 |
|
8.20%, 5/1/31 (i) |
|
27,877,950 |
| |
9,740 |
|
9.163%, 3/1/33 (i) (k) |
|
8,884,205 |
| |
7,000 |
|
Conseco Financial Corp., 7.06%, 2/1/31 (i) (k) |
|
6,895,014 |
| |
|
|
Countrywide Asset-Backed Certificates, |
|
|
| |
15,000 |
|
0.374%, 6/25/47 (i) (k) |
|
11,757,525 |
| |
5,826 |
|
0.404%, 4/25/36 (i) (k) |
|
4,899,037 |
| |
35 |
|
1.004%, 3/25/33 (k) |
|
31,383 |
| |
2,405 |
|
1.584%, 12/25/32 (k) |
|
1,929,582 |
| |
1,460 |
|
4.915%, 2/25/36 (k) |
|
1,370,061 |
| |
2,657 |
|
5.348%, 7/25/36 (k) |
|
2,372,156 |
| |
4,210 |
|
5.505%, 4/25/36 (k) |
|
3,675,809 |
| |
4,519 |
|
5.588%, 8/25/36 (k) |
|
3,938,328 |
| |
5,026 |
|
5.657%, 3/25/34 (k) |
|
5,470,615 |
| |
555 |
|
5.859%, 10/25/46 |
|
380,440 |
| |
10,800 |
|
Credit-Based Asset Servicing and Securitization LLC, 5.973%, 10/25/36 (a) (d) |
|
8,942,389 |
| |
13,158 |
|
CSAB Mortgage-Backed Trust, 5.50%, 5/25/37 (i) |
|
11,343,942 |
| |
|
|
EMC Mortgage Loan Trust (a) (d) (k), |
|
|
| |
286 |
|
0.654%, 12/25/42 |
|
241,919 |
| |
13,890 |
|
0.674%, 4/25/42 (i) |
|
11,319,559 |
| |
1,658 |
|
2.454%, 4/25/42 |
|
673,504 |
| |
11,876 |
|
GMAC Mortgage Corp. Loan Trust, 6.249%, 12/25/37 (i) |
|
11,385,203 |
| |
4,789 |
|
GSAA Trust, 6.205%, 3/25/46 |
|
5,025,001 |
| |
2,014 |
|
Home Equity Mortgage Loan Asset-Backed Trust, 7.209%, 12/25/31 |
|
956,909 |
| |
13,100 |
|
Lehman XS Trust, 6.17%, 6/25/46 (i) |
|
11,623,478 |
| |
302 |
|
Long Beach Mortgage Loan Trust, 1.254%, 2/25/34 (k) |
|
273,591 |
| |
27,500 |
|
Morgan Stanley Home Equity Loan Trust, 0.434%, 4/25/37 (i) (k) |
|
14,496,295 |
| |
|
|
Oakwood Mortgage Investors, Inc., |
|
|
| |
9,611 |
|
5.92%, 9/15/17 (k) |
|
4,835,959 |
| |
5,865 |
|
6.61%, 2/15/21 (k) |
|
3,251,605 |
| |
26,625 |
|
7.40%, 7/15/30 (i) (k) |
|
18,959,658 |
| |
7,620 |
|
7.405%, 12/15/30 (k) |
|
4,673,663 |
| |
6,267 |
|
7.84%, 11/15/29 (i) (k) |
|
6,218,270 |
| |
2,592 |
|
8.49%, 10/15/30 |
|
435,913 |
| |
|
|
Popular ABS Mortgage Pass-Through Trust, |
|
|
| |
3,663 |
|
1.454%, 8/25/35 (k) |
|
1,732,572 |
| |
8,422 |
|
5.053%, 7/25/35 (i) |
|
6,728,136 |
| |
41 |
|
Renaissance Home Equity Loan Trust, 0.704%, 12/25/33 (k) |
|
40,819 |
| |
11,872 |
|
Residential Asset Mortgage Products, Inc., 1.179%, 4/25/34 (i) (k) |
|
8,557,677 |
| |
9,989 |
|
Residential Asset Securities Corp., 0.364%, 6/25/36 (i) (k) |
|
9,167,902 |
| |
7,784 |
|
Sorin Real Estate CDO IV Ltd., 0.831%, 10/28/46 (a) (d) (f) (k) |
|
3,034,539 |
| |
2,394 |
|
Soundview Home Equity Loan Trust, 5.655%, 10/25/36 (i) |
|
2,032,542 |
|
|
PIMCO Dynamic Income Fund |
|
|
PIMCO Global StocksPLUS® & Income Fund |
|
|
3.31.13 | PIMCO High Income Fund Annual Report |
|
PIMCO Dynamic Income Fund Schedule of Investments
March 31, 2013 (continued)
Principal |
|
|
|
|
Value |
|
|
|
|
|
|
| |
|
|
South Coast Funding VII Ltd. (a) (d) (f) (k), |
|
|
| |
$197,396 |
|
0.565%, 1/6/41 |
|
$49,538,808 |
| |
5,976 |
|
0.565%, 1/6/41 (b) (j) (acquisition cost-$1,180,194; purchased 11/8/12) |
|
1,486,503 |
| |
8,564 |
|
Structured Asset Securities Corp., 6.204%, 5/25/32 (k) |
|
3,869,802 |
| |
1,829 |
|
Vanderbilt Acquisition Loan Trust, 7.33%, 5/7/32 (k) |
|
2,013,807 |
| |
363 |
|
Vanderbilt Mortgage Finance, 9.25%, 11/7/32 (k) |
|
369,084 |
| |
Total Asset-Backed Securities (cost-$284,488,522) |
|
313,337,654 |
| |||
|
|
|
|
|
| |
SENIOR LOANS (a) (c) 8.5% |
|
|
| |||
|
|
|
| |||
Auto Components 0.9% |
|
|
| |||
11,900 |
|
Keystone Automotive Operations, Inc., 9.75%, 2/15/16, Term B (b) (j) |
|
12,078,543 |
| |
Financial Services 2.0% |
|
|
| |||
27,000 |
|
Springleaf Finance Corp., 5.50%, 5/10/17 |
|
27,223,587 |
| |
Food & Beverage 0.4% |
|
|
| |||
5,955 |
|
Candy Intermediate Holdings, Inc., 7.50%-8.50%, 6/18/18 |
|
6,088,988 |
| |
Hotels/Gaming 1.2% |
|
|
| |||
15,200 |
|
Stockbridge SBE Holdings LLC, 13.00%, 5/2/17, Term B (b) (j) |
|
16,530,000 |
| |
Real Estate 3.0% |
|
|
| |||
|
|
Toys R Us Properties Ltd. (f), |
|
|
| |
£20,000 |
|
5.95%, 2/14/20, Term A |
|
30,620,328 |
| |
5,000 |
|
8.25%, 2/14/20, Term B |
|
7,655,082 |
| |
2,500 |
|
10.45%, 2/14/20, Term C |
|
3,832,769 |
| |
|
|
|
|
42,108,179 |
| |
Telecommunications 1.0% |
|
|
| |||
|
|
Univision Communications, Inc., |
|
|
| |
$4,524 |
|
4.452%, 3/31/17 |
|
4,552,251 |
| |
10,000 |
|
4.75%, 3/1/20 |
|
10,071,250 |
| |
|
|
|
|
14,623,501 |
| |
Total Senior Loans (cost-$113,359,278) |
|
118,652,798 |
| |||
|
|
|
| |||
U.S. GOVERNMENT AGENCY SECURITIES (i) (k) 4.1% |
|
|
| |||
|
|
|
| |||
Fannie Mae 3.7% |
|
|
| |||
24,975 |
|
5.716%, 7/25/41, CMO, IO |
|
3,538,790 |
| |
35,669 |
|
5.866%, 10/25/40, CMO, IO |
|
4,996,158 |
| |
2,588 |
|
6.096%, 1/25/38, CMO, IO |
|
359,885 |
| |
1,338 |
|
6.146%, 12/25/37, CMO, IO |
|
173,959 |
| |
2,741 |
|
6.196%, 12/25/37, CMO, IO |
|
416,322 |
| |
744 |
|
6.206%, 6/25/37, CMO, IO |
|
63,556 |
| |
77,312 |
|
6.236%, 3/25/37-4/25/37, CMO, IO |
|
13,556,816 |
| |
2,743 |
|
6.246%, 4/25/37, CMO, IO |
|
427,996 |
| |
703 |
|
6.296%, 2/25/37, CMO, IO |
|
108,585 |
| |
2,190 |
|
6.316%, 9/25/37, CMO, IO |
|
377,410 |
| |
74,155 |
|
6.356%, 6/25/41, CMO, IO |
|
12,738,620 |
| |
518 |
|
6.396%, 11/25/35, CMO, IO |
|
83,440 |
| |
718 |
|
6.446%, 11/25/36, CMO, IO |
|
110,554 |
| |
2,544 |
|
6.516%, 6/25/37, CMO, IO |
|
466,643 |
|
|
PIMCO Dynamic Income Fund |
|
PIMCO Global StocksPLUS® & Income Fund |
|
PIMCO High Income Fund Annual Report | 3.31.13 |
PIMCO Dynamic Income Fund Schedule of Investments
March 31, 2013 (continued)
Principal |
|
|
|
|
Value |
|
|
|
|
|
|
| |
Fannie Mae (continued) |
|
|
| |||
$6,230 |
|
6.546%, 10/25/35, CMO, IO |
|
$973,399 |
| |
5,606 |
|
6.566%, 5/25/37, CMO, IO |
|
1,075,336 |
| |
6,417 |
|
6.596%, 11/25/36, CMO, IO |
|
1,224,165 |
| |
6,585 |
|
6.776%, 3/25/38, CMO, IO |
|
1,504,629 |
| |
5,161 |
|
6.796%, 2/25/38, CMO, IO |
|
909,424 |
| |
4,677 |
|
6.896%, 6/25/23, CMO, IO |
|
845,158 |
| |
5,985 |
|
11.916%, 1/25/41, CMO (b) |
|
7,302,527 |
| |
|
|
|
|
51,253,372 |
| |
Freddie Mac 0.4% |
|
|
| |||
1,100 |
|
6.207%, 5/15/37, CMO, IO |
|
172,022 |
| |
7,560 |
|
6.267%, 7/15/36, CMO, IO |
|
1,201,199 |
| |
3,029 |
|
6.377%, 9/15/36, CMO, IO |
|
420,567 |
| |
7,315 |
|
6.497%, 4/15/36, CMO, IO |
|
1,031,770 |
| |
5,173 |
|
7.577%, 9/15/36, CMO, IO |
|
1,382,651 |
| |
602 |
|
13.939%, 9/15/41, CMO (b) |
|
727,701 |
| |
733 |
|
16.367%, 9/15/34, CMO (b) |
|
950,879 |
| |
|
|
|
|
5,886,789 |
| |
Total U.S. Government Agency Securities (cost-$58,505,436) |
|
57,140,161 |
| |||
|
|
|
| |||
U.S. TREASURY OBLIGATIONS 2.0% |
|
|
| |||
|
|
|
| |||
U.S. Treasury Notes 2.0% |
|
|
| |||
4,100 |
|
0.25%, 1/31/14 |
|
4,104,006 |
| |
700 |
|
0.25%, 2/28/14 |
|
700,684 |
| |
800 |
|
0.50%, 11/15/13 |
|
801,969 |
| |
2,675 |
|
0.75%, 12/15/13 (h) |
|
2,686,703 |
| |
64 |
|
1.00%, 1/15/14 |
|
64,440 |
| |
18,900 |
|
1.25%, 2/15/14 (i) |
|
19,082,366 |
| |
Total U.S. Treasury Obligations (cost-$27,432,723) |
|
27,440,168 |
| |||
|
|
|
|
|
| |
Shares |
|
|
|
|
|
|
|
|
|
|
|
| |
CONVERTIBLE PREFERRED STOCK 0.9% |
|
|
| |||
|
|
|
| |||
Aerospace & Defense 0.3% |
|
|
| |||
70,000 |
|
United Technologies Corp., 7.50%, 8/1/15 |
|
4,189,500 |
| |
Electric Utilities 0.6% |
|
|
| |||
151,700 |
|
PPL Corp., 8.75%, 5/1/14 |
|
8,457,275 |
| |
Total Convertible Preferred Stock (cost-$11,480,278) |
|
12,646,775 |
| |||
|
|
|
|
|
| |
Principal |
|
|
|
|
|
|
SHORT-TERM INVESTMENTS 7.8% |
|
|
| |||
|
|
|
| |||
U.S. Treasury Obligations (h) (l) 4.2% |
|
|
| |||
$30,846 |
|
U.S. Treasury Bills, 0.068%-0.183%, 4/18/13-1/9/14 (i) |
|
30,824,404 |
| |
27,012 |
|
U.S. Treasury Cash Management Bills, 0.101%-0.112%, 4/15/13 |
|
27,010,871 |
| |
Total U.S. Treasury Obligations (cost-$57,831,269) |
|
57,835,275 |
| |||
|
|
|
|
|
|
|
PIMCO Dynamic Income Fund |
|
|
PIMCO Global StocksPLUS® & Income Fund |
|
|
3.31.13 | PIMCO High Income Fund Annual Report |
|
PIMCO Dynamic Income Fund Schedule of Investments
March 31, 2013 (continued)
Principal |
|
|
|
|
Value |
|
|
|
|
|
|
| |
Repurchase Agreements 3.6% |
|
|
| |||
$6,100 |
|
Banc of America Securities LLC, dated 3/28/13, 0.21%, due 4/1/13, proceeds $6,100,142; collateralized by U.S. Treasury Notes, 0.625%, due 5/31/17, valued at $6,236,695 including accrued interest |
|
$6,100,000 |
| |
44,300 |
|
Bank of Nova Scotia, dated 3/28/13, 0.22%, due 4/1/13, proceeds $44,301,083; collateralized by U.S. Treasury Notes, 0.25%, due 8/31/14, valued at $45,221,823 including accrued interest |
|
44,300,000 |
| |
Total Repurchase Agreements (cost-$50,400,000) |
|
50,400,000 |
| |||
Total Short-Term Investments (cost-$108,231,269) |
|
108,235,275 |
| |||
Total Investments (cost-$2,357,955,204) 188.7% |
|
2,629,467,318 |
| |||
Liabilities in excess of other assets (88.7)% |
|
(1,236,368,640 |
) | |||
Net Assets 100.0% |
|
$1,393,098,678 |
| |||
|
|
|
|
|
| |
|
|
|
|
|
| |
|
|
|
|
|
| |
|
|
|
|
|
| |
|
|
|
|
|
| |
|
|
|
|
|
| |
|
|
|
|
|
| |
|
|
|
|
|
| |
|
|
|
|
|
| |
|
|
|
|
|
| |
|
|
|
|
|
| |
|
|
|
|
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| |
|
|
|
|
|
| |
|
|
|
|
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| |
|
|
|
|
|
| |
|
|
|
|
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| |
|
|
|
|
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| |
|
|
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|
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| |
|
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| |
|
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| |
|
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| |
|
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| |
|
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| |
|
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| |
|
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|
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| |
|
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| |
|
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|
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| |
|
|
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|
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| |
|
|
|
|
|
| |
|
|
|
|
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| |
|
|
|
|
|
| |
|
|
|
|
|
| |
|
|
|
|
|
| |
|
|
|
|
|
| |
|
|
|
|
|
| |
|
|
|
|
|
| |
|
|
|
|
|
| |
|
|
|
|
|
| |
|
|
|
|
|
|
|
PIMCO Dynamic Income Fund |
|
PIMCO Global StocksPLUS® & Income Fund |
|
PIMCO High Income Fund Annual Report | 3.31.13 |
PIMCO Dynamic Income Fund
Notes to Schedule of Investments
March 31, 2013
(a) |
Private PlacementRestricted as to resale and may not have a readily available market. Securities with an aggregate value of $775,521,711, representing 55.7% of net assets. | ||||||||||||||||
(b) |
Illiquid. | ||||||||||||||||
(c) |
These securities generally pay interest at rates which are periodically pre-determined by reference to a base lending rate plus a premium. These base lending rates are generally either the lending rate offered by one or more major European banks, such as the LIBOR or the prime rate offered by one or more major United States banks, or the certificate of deposit rate. These securities are generally considered to be restricted as the Fund is ordinarily contractually obligated to receive approval from the Agent bank and/or borrower prior to disposition. Remaining maturities of senior loans may be less than the stated maturities shown as a result of contractual or optional payments by the borrower. Such prepayments cannot be predicted with certainty. The interest rate disclosed reflects the rate in effect on March 31, 2013. | ||||||||||||||||
(d) |
144AExempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, typically only to qualified institutional buyers. Unless otherwise indicated, these securities are not considered to be illiquid. | ||||||||||||||||
(e) |
In default. | ||||||||||||||||
(f) |
Fair-ValuedSecurities with an aggregate value of $155,644,290, representing 11.2% of net assets. See Note 1(a) and Note 1(b) in the Notes to Financial Statements. | ||||||||||||||||
(g) |
Perpetual maturity. The date shown, if any, is the next call date. For Corporate Bonds & Notes the interest rate is fixed until the first call date and variable thereafter. | ||||||||||||||||
(h) |
All or partial amount segregated for the benefit of the counterparty as collateral for derivatives. | ||||||||||||||||
(i) |
All or partial amount transferred for the benefit of the counterparty as collateral for reverse repurchase agreements. | ||||||||||||||||
(j) |
Restricted. The aggregate acquisition cost of such securities is $50,027,002. The aggregate value is $52,789,282, representing 3.8% of net assets. | ||||||||||||||||
(k) |
Variable or Floating Rate SecuritySecurities with an interest rate that changes periodically. The interest rate disclosed reflects the rate in effect on March 31, 2013. | ||||||||||||||||
(l) |
Rates reflect the effective yields at purchase date. | ||||||||||||||||
(m) |
Credit default swap agreements outstanding at March 31, 2013: | ||||||||||||||||
|
| ||||||||||||||||
OTC sell protection swap agreements: | |||||||||||||||||
|
| ||||||||||||||||
Swap |
|
Notional |
|
Credit |
|
Termination |
|
Payments |
|
Value (2) |
|
Upfront |
|
Unrealized |
|
| |
Bank of America: |
|
2,000 |
|
5.40% |
|
6/20/17 |
|
5.00% |
|
$(32,465 |
) |
$(250,220 |
) |
$217,755 |
|
| |
Credit Suisse First Boston: |
|
$1,500 |
|
8.70% |
|
3/20/18 |
|
5.00% |
|
(201,878 |
) |
(270,000 |
) |
68,122 |
|
| |
Markit ABX.HE |
|
37,948 |
|
|
|
5/25/46 |
|
0.17% |
|
(33,389,376 |
) |
(33,726,284 |
) |
336,908 |
|
| |
Nokia Oyj |
|
3,000 |
|
5.40% |
|
6/20/17 |
|
5.00% |
|
(48,698 |
) |
(568,125 |
) |
519,427 |
|
| |
Nokia Oyj |
|
2,000 |
|
5.61% |
|
9/20/17 |
|
5.00% |
|
(54,581 |
) |
(431,885 |
) |
377,304 |
|
| |
Goldman Sachs: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
Markit ABX.HE |
|
$14,598 |
|
|
|
7/25/45 |
|
0.54% |
|
(12,649,859 |
) |
(12,718,417 |
) |
68,558 |
|
| |
Morgan Stanley: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
JC Penney Corp., Inc. |
|
5,000 |
|
8.21% |
|
6/20/17 |
|
5.00% |
|
(526,107 |
) |
(400,000 |
) |
(126,107 |
) |
| |
JC Penney Corp., Inc. |
|
5,000 |
|
8.40% |
|
9/20/17 |
|
5.00% |
|
(578,567 |
) |
(412,500 |
) |
(166,067 |
) |
| |
|
|
|
|
|
|
|
|
|
|
$(47,481,531 |
) |
$(48,777,431 |
) |
$1,295,900 |
|
| |
|
| ||||||||||||||||
|
Credit Spread not quoted for asset-backed securities. | ||||||||||||||||
(1) |
This represents the maximum potential amount the Fund could be required to make available 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. | ||||||||||||||||
|
| ||||||||||||||||