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

 

PIMCO High Income Fund

(Exact name of registrant as specified in charter)

 

1633 Broadway, New York, NY

 

10019

(Address of principal executive offices)

 

(Zip code)

 

Lawrence G. Altadonna — 1633 Broadway, New York, NY 10019

(Name and address of agent for service)

 

Registrant’s telephone number, including area code:

212-739-3371

 

 

Date of fiscal year end:

March 31, 2013

 

 

Date of reporting period:

March 31, 2013

 

 



 

ITEM 1. Report to Shareholders

 

 

March 31, 2013

 

PIMCO Dynamic Income Fund

PIMCO Global StocksPLUS® & Income Fund

PIMCO High Income Fund

 

 


 

Contents

 

 

 

Letter to Shareholders

2–3

 

 

Fund Insights

4–8

 

 

Performance & Statistics

9–11

 

 

Schedules of Investments

12–58

 

 

Statements of Assets and Liabilities

59–60

 

 

Statements of Operations

61

 

 

Statements of Changes in Net Assets

62–64

 

 

Statements of Cash Flows

65

 

 

Notes to Financial Statements

66–82

 

 

Financial Highlights

83-85

 

 

Report of Independent Registered Public Accounting Firm

86

 

 

Tax Information/Proxy Voting Policies & Procedures

87

 

 

Annual Shareholder Meetings Results/ Changes in Investment Policy

88

 

 

Privacy Policy

89

 

 

Dividend Reinvestment Plan

90-91

 

 

Board of Trustees

92-93

 

 

Fund Officers

94

 

 

 

PIMCO Dynamic Income Fund

 

 

PIMCO Global StocksPLUS® & Income Fund

 

 

3.31.13 | PIMCO High Income Fund Annual Report

1

 

 

 


 

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 world’s 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.

 

 

 

Hans W. Kertess

Chairman

 

 

Brian S. Shlissel

President & CEO

 

The Standard & Poor’s 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 quarter’s 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.

 

 

 

PIMCO Dynamic Income Fund

 

PIMCO Global StocksPLUS® & Income Fund

2

 

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.

 

 

 

 

 

 

Receive this report electronically and eliminate paper mailings. To enroll, go to us.allianzgi.com/edelivery.

 

 

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-zone’s 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.

 

 

 

 

 

 

 

 

 

 

 

 

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,

 

 

 

 

Hans W. Kertess

Brian S. Shlissel

Chairman of the Board of Trustees

President & Chief Executive Officer

 

 

 

PIMCO Dynamic Income Fund

 

 

PIMCO Global StocksPLUS® & Income Fund

 

 

3.31.13 | PIMCO High Income Fund Annual Report

3

 

 


 

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 Fund’s 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 Fund’s performance as intermediate- and longer-term rates moved higher during the reporting period.

 

There were no significant detractors from performance during the reporting period.

 

 

 

PIMCO Dynamic Income Fund

 

PIMCO Global StocksPLUS® & Income Fund

4

 

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

 

 

 

PIMCO Dynamic Income Fund

 

 

PIMCO Global StocksPLUS® & Income Fund

 

 

3.31.13 | PIMCO High Income Fund Annual Report

5

 

 


 

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 Fund’s 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 Fund’s 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 Fund’s 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 Fund’s assets are primarily actively managed in a portfolio of fixed income securities with the objective of adding incremental return.

 

The Fund’s 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 Fund’s 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.

 

 

 

PIMCO Dynamic Income Fund

 

PIMCO Global StocksPLUS® & Income Fund

6

 

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%.

 

 

 

PIMCO Dynamic Income Fund

 

 

PIMCO Global StocksPLUS® & Income Fund

 

 

3.31.13 | PIMCO High Income Fund Annual Report

7

 

 


 

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 Fund’s long duration added to performance as interest rates in the US declined during the 12-month period.

 

Detracting from these positive results was the Fund’s 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.

 

 

 

PIMCO Dynamic Income Fund

 

PIMCO Global StocksPLUS® & Income Fund

8

 

PIMCO High Income Fund Annual Report     | 3.31.13

 


 

PIMCO Dynamic Income Fund
Performance & Statistics

March 31, 2013 (unaudited)

 

Total Return(1):

 

Market Price

 

NAV

Commencement of Operations (5/30/12) to 3/31/13

 

35.21%

 

40.17%

 

Market Price/NAV Performance:

Market Price/NAV:

 

 

Commencement of Operations (5/30/12) to 3/31/13

Market Price

 

$31.10

 

NAV

 

$30.69

Premium to NAV

 

1.34%

Market Price Yield(2)

 

6.83%

Leverage Ratio(3)

 

47.39%

 

Moody’s Ratings

(as a % of total investments)

 

 

 

 

 

 

 

(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 Fund’s 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).

 

 

 

PIMCO Dynamic Income Fund

 

 

PIMCO Global StocksPLUS® & Income Fund

 

 

3.31.13 | PIMCO High Income Fund Annual Report

9

 

 


 

PIMCO Global StocksPLUS® & Income Fund
Performance & Statistics

March 31, 2013 (unaudited)

 

Total Return(1):

 

Market Price

 

NAV

1 Year

 

21.57%

 

35.36%

5 Year

 

19.47%

 

15.22%

Commencement of Operations (5/31/05) to 3/31/13

 

14.70%

 

12.99%

 

Market Price/NAV Performance:

Market Price/NAV:

 

 

Commencement of Operations (5/31/05) to 3/31/13

Market Price

 

$21.95

 

NAV

 

$14.32

Premium to NAV

 

53.28%

Market Price Yield(2)

 

10.02%

Leverage Ratio(3)

 

37.99%

 

Moody’s Ratings

(as a % of total investments, before
options written and securities sold short)

 

 

 

 

 

 

 

(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 Fund’s 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).

 

 

 

PIMCO Dynamic Income Fund

 

PIMCO Global StocksPLUS® & Income Fund

10

 

PIMCO High Income Fund Annual Report     | 3.31.13

 


 

PIMCO High Income Fund
Performance & Statistics

March 31, 2013 (unaudited)

 

Total Return(1):

 

Market Price

 

NAV

1 Year

 

8.53%

 

31.32%

5 Year

 

16.42%

 

14.95%

Commencement of Operations (4/30/03) to 3/31/13

 

12.24%

 

11.48%

 

Market Price/NAV Performance:

Market Price/NAV:

 

 

Commencement of Operations (4/30/03) to 3/31/13

Market Price

 

$12.35

 

NAV

 

$8.65

Premium to NAV

 

42.77%

Market Price Yield(2)

 

11.48%

Leverage Ratio(3)

 

21.54%

 

Moody’s Ratings

(as a % of total investments)

 

 

 

 

 

 

 

(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 Fund’s 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).

 

 

 

PIMCO Dynamic Income Fund

 

 

PIMCO Global StocksPLUS® & Income Fund

 

 

3.31.13 | PIMCO High Income Fund Annual Report

11

 

 


 

PIMCO Dynamic Income Fund Schedule of Investments

March 31, 2013

Principal
Amount
(000s)

 

 

 

 

Value

 

MORTGAGE-BACKED SECURITIES – 106.4%

 

 

 

 

 

 

 

 

 

£13,243

 

Alba PLC, 0.767%, 12/15/38 CMO (k)

 

$13,257,237

 

 

 

American Home Mortgage Assets Trust, CMO,

 

 

 

$12,906

 

0.494%, 8/25/37 (k)

 

3,385,413

 

9,735

 

6.25%, 6/25/37

 

6,339,593

 

 

 

American Home Mortgage Investment Trust, CMO (k),

 

 

 

10,312

 

0.504%, 9/25/45 (i)

 

8,638,124

 

9,739

 

0.804%, 2/25/44

 

2,553,073

 

 

 

Banc of America Alternative Loan Trust, CMO,

 

 

 

376

 

0.604%, 5/25/35 (k)

 

277,397

 

887

 

6.00%, 6/25/37

 

708,993

 

350

 

6.00%, 6/25/46

 

282,084

 

 

 

Banc of America Funding Corp., CMO (k),

 

 

 

15,300

 

zero coupon, 7/26/36 (a) (d)

 

9,482,847

 

36,097

 

0.413%, 4/20/47 (i)

 

27,773,014

 

4,612

 

0.653%, 2/20/35

 

1,213,071

 

566

 

2.924%, 1/20/47 (i)

 

441,084

 

890

 

3.03%, 1/25/35

 

502,392

 

4,983

 

Banc of America Funding Trust, 2.922%, 3/20/36 CMO (k)

 

4,257,724

 

 

 

Banc of America Mortgage Trust, CMO (k),

 

 

 

547

 

2.997%, 10/20/46

 

337,351

 

2,634

 

3.028%, 1/25/36

 

2,447,940

 

 

 

Banc of America Re-Remic Trust, CMO (a) (d),

 

 

 

13,000

 

5.383%, 12/15/16 (i)

 

14,111,292

 

38,264

 

5.634%, 2/17/51 (f) (k)

 

42,918,482

 

€4,237

 

Bancaja FTA, 0.319%, 10/25/37 CMO (k)

 

4,498,918

 

 

 

BCAP LLC Trust, CMO (a) (d),

 

 

 

$7,018

 

2.829%, 7/26/45 (b) (j) (k) (acquisition cost-$5,649,452; purchased 3/13/13)

 

5,655,505

 

14,380

 

3.019%, 5/26/36 (k)

 

6,993,783

 

8,051

 

5.002%, 3/26/35 (k)

 

6,813,575

 

27,442

 

5.041%, 4/26/37 (k)

 

14,454,260

 

6,052

 

5.151%, 10/26/35 (k)

 

4,761,766

 

6,404

 

5.353%, 6/26/47 (k)

 

5,063,424

 

12,769

 

5.50%, 12/26/35

 

9,822,738

 

4,770

 

5.641%, 7/26/35 (k)

 

3,647,929

 

8,578

 

5.893%, 8/26/37 (k)

 

5,081,785

 

12,755

 

Bear Stearns ALT-A Trust, 0.404%, 2/25/34 CMO (i) (k)

 

8,381,070

 

€30,415

 

Celtic Residential Irish Mortgage Securitisation No. 9 PLC, 0.357%, 11/13/47 CMO (k)

 

30,622,838

 

10,872

 

Celtic Residential Irish Mortgage Securitisation No. 10 PLC, 0.432%, 4/10/48 CMO (k)

 

10,733,201

 

8,751

 

Celtic Residential Irish Mortgage Securitisation No. 11 PLC, 0.461%, 12/14/48 CMO (k)

 

8,623,604

 

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

12

 

PIMCO High Income Fund Annual Report     | 3.31.13

 


 

PIMCO Dynamic Income Fund Schedule of Investments

March 31, 2013 (continued)

Principal
Amount
(000s)

 

 

 

 

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

13

 

 


 

PIMCO Dynamic Income Fund Schedule of Investments

March 31, 2013 (continued)

Principal
Amount
(000s)

 

 

 

 

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)
(acquisition cost-$470,431; purchased 10/18/12)

 

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

14

 

PIMCO High Income Fund Annual Report     | 3.31.13

 


 

PIMCO Dynamic Income Fund Schedule of Investments

March 31, 2013 (continued)

Principal
Amount
(000s)

 

 

 

 

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

15

 

 


 

PIMCO Dynamic Income Fund Schedule of Investments

March 31, 2013 (continued)

Principal
Amount
(000s)

 

 

 

 

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) 
(acquisition cost-$9,100,000; purchased 10/10/12)

 

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

16

 

PIMCO High Income Fund Annual Report     | 3.31.13

 


 

PIMCO Dynamic Income Fund Schedule of Investments

March 31, 2013 (continued)

Principal
Amount
(000s)

 

 

 

 

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)
(acquisition cost-$2,538,357; purchased 11/20/12)

 

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

17

 

 


 

PIMCO Dynamic Income Fund Schedule of Investments

March 31, 2013 (continued)

Principal
Amount
(000s)

 

 

 

 

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)
(acquisition cost-$4,320,000; purchased 6/28/12)

 

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

18

 

PIMCO High Income Fund Annual Report     | 3.31.13

 


 

PIMCO Dynamic Income Fund Schedule of Investments

March 31, 2013 (continued)

Principal
Amount
(000s)

 

 

 

 

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

19

 

 


 

PIMCO Dynamic Income Fund Schedule of Investments

March 31, 2013 (continued)

Principal
Amount
(000s)

 

 

 

 

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)
(acquisition cost-$11,805,318; purchased 7/19/12-8/8/12)

 

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)
(acquisition cost-$14,963,250; purchased 5/30/12-7/10/12)

 

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

20

 

PIMCO High Income Fund Annual Report     | 3.31.13

 


 

PIMCO Dynamic Income Fund Schedule of Investments

March 31, 2013 (continued)

Principal
Amount
(000s)

 

 

 

 

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
Amount
(000s)

 

 

 

 

 

 

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

21

 

 


 

PIMCO Dynamic Income Fund Schedule of Investments

March 31, 2013 (continued)

Principal
Amount
(000s)

 

 

 

 

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

PIMCO Dynamic Income Fund

 

PIMCO Global StocksPLUS® & Income Fund

22

 

PIMCO High Income Fund Annual Report     | 3.31.13

 


 

PIMCO Dynamic Income Fund

Notes to Schedule of Investments

March 31, 2013

 

(a)

Private Placement–Restricted 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)

144A–Exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, typically only to qualified institutional buyers. Unless otherwise indicated, these securities are not considered to be illiquid.

(e)

In default.

(f)

Fair-Valued–Securities 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 Security–Securities 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
Counterparty/
Referenced
Debt Issuer

 

Notional
Amount
(000s)
(1)

 

Credit
Spread

 

Termination
Date

 

Payments
Received

 

Value (2)

 

Upfront
Premiums
Received

 

Unrealized
Appreciation
(Depreciation)

 

 

Bank of America:
Nokia Oyj

 

€2,000

 

5.40%

 

6/20/17

 

5.00%

 

$(32,465

)

$(250,220

)

$217,755

 

 

Credit Suisse First Boston:
JC Penney Corp., Inc.

 

$1,500

 

8.70%

 

3/20/18

 

5.00%

 

(201,878

)

(270,000

)

68,122

 

 

Markit ABX.HE
Index 6-2

 

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
Index 6-1

 

$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.