Consolidated Schedule of Investments PIMCO Dynamic Income Strategy Fund

September 30, 2023

(Unaudited)

 

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

 

 

PRINCIPAL
AMOUNT
(000s)

 

MARKET
VALUE
(000s)

INVESTMENTS IN SECURITIES 109.4% ¤

 

 

 

 

LOAN PARTICIPATIONS AND ASSIGNMENTS 1.7%

 

 

 

 

BDO U.S.A. PC
TBD% due 08/31/2028 «

$

4,535

$

4,444

Castlelake Aviation Ltd.
8.421% due 10/22/2027

 

2,978

 

2,977

Forward Air Corp.
TBD% due 09/20/2030

 

1,800

 

1,761

Intelsat Jackson Holdings SA
9.772% due 02/01/2029

 

374

 

373

Profrac Services LLC
12.753% - 12.902% due 03/04/2025

 

7,404

 

7,432

Total Loan Participations and Assignments (Cost $16,802)

 

 

 

16,987

CORPORATE BONDS & NOTES 16.3%

 

 

 

 

BANKING & FINANCE 0.7%

 

 

 

 

Brandywine Operating Partnership LP
7.800% due 03/15/2028

 

2,000

 

1,864

Credit Agricole SA
6.316% due 10/03/2029 •(a)

 

100

 

100

EPR Properties
3.750% due 08/15/2029

 

3,100

 

2,493

GA Global Funding Trust
2.900% due 01/06/2032

 

2,700

 

1,983

Kilroy Realty LP

 

 

 

 

4.250% due 08/15/2029

 

100

 

86

4.750% due 12/15/2028

 

100

 

91

 

 

 

 

6,617

INDUSTRIALS 12.3%

 

 

 

 

American Builders & Contractors Supply Co., Inc.
3.875% due 11/15/2029

 

4,600

 

3,838

B.C. Unlimited Liability Co.
3.875% due 01/15/2028

 

2,300

 

2,065

Chesapeake Energy Corp.
5.875% due 02/01/2029

 

5,950

 

5,604

CommonSpirit Health
4.187% due 10/01/2049

 

1,900

 

1,420

Community Health Systems, Inc.
5.625% due 03/15/2027

 

5,700

 

4,896

Comstock Resources, Inc.
6.750% due 03/01/2029

 

2,350

 

2,165

Continental Resources, Inc.

 

 

 

 

2.875% due 04/01/2032

 

5,500

 

4,122

5.750% due 01/15/2031

 

2,100

 

1,974

CQP Holdco LP
5.500% due 06/15/2031

 

6,200

 

5,503

DT Midstream, Inc.

 

 

 

 

4.125% due 06/15/2029

 

3,500

 

3,031

4.375% due 06/15/2031

 

3,600

 

3,031

Energy Transfer LP

 

 

 

 

6.125% due 12/15/2045 (e)

 

2,000

 

1,782

6.250% due 04/15/2049 (e)

 

3,000

 

2,757

EnLink Midstream LLC
6.500% due 09/01/2030

 

600

 

583

EQM Midstream Partners LP

 

 

 

 

4.500% due 01/15/2029 (f)

 

1,800

 

1,604

4.750% due 01/15/2031 (f)

 

2,400

 

2,069

5.500% due 07/15/2028 (f)

 

1,100

 

1,034

7.500% due 06/01/2030 (f)

 

3,100

 

3,117

Hess Midstream Operations LP

 

 

 

 

4.250% due 02/15/2030 (f)

 

2,450

 

2,069

5.500% due 10/15/2030 (f)

 

2,200

 

2,002

Howard Midstream Energy Partners LLC
8.875% due 07/15/2028

 

800

 

808

Integris Baptist Medical Center, Inc.
3.875% due 08/15/2050

 

2,000

 

1,367

Intelsat Jackson Holdings SA
6.500% due 03/15/2030

 

1,547

 

1,376

Kinder Morgan, Inc.
5.200% due 06/01/2033

 

4,000

 

3,702

 

 

 

Consolidated Schedule of Investments PIMCO Dynamic Income Strategy Fund (Cont.)

September 30, 2023

(Unaudited)

 

Matador Resources Co.
6.875% due 04/15/2028

 

3,000

 

2,948

Mineral Resources Ltd.
9.250% due 10/01/2028 (a)

 

4,000

 

4,045

National Fuel Gas Co.
2.950% due 03/01/2031

 

1,425

 

1,122

Noble Finance LLC
8.000% due 04/15/2030

 

500

 

507

Northriver Midstream Finance LP
5.625% due 02/15/2026

 

2,000

 

1,908

Olympus Water U.S. Holding Corp.
4.250% due 10/01/2028

 

4,200

 

3,428

Parkland Corp.

 

 

 

 

4.500% due 10/01/2029

 

3,900

 

3,344

4.625% due 05/01/2030

 

3,000

 

2,561

Permian Resources Operating LLC
5.875% due 07/01/2029

 

2,300

 

2,167

Rand Parent LLC
8.500% due 02/15/2030

 

5,000

 

4,631

Rockcliff Energy LLC
5.500% due 10/15/2029

 

4,400

 

3,965

Santos Finance Ltd.
6.875% due 09/19/2033

 

300

 

294

Seadrill Finance Ltd.
8.375% due 08/01/2030

 

750

 

764

Sitios Latinoamerica SAB de CV
5.375% due 04/04/2032

 

5,000

 

4,308

Southwestern Energy Co.
5.375% due 03/15/2030

 

2,250

 

2,053

Strathcona Resources Ltd.
6.875% due 08/01/2026

 

3,200

 

3,019

Suburban Propane Partners LP
5.000% due 06/01/2031 (e)

 

2,900

 

2,424

Sunoco LP

 

 

 

 

4.500% due 05/15/2029 (e)

 

6,500

 

5,712

4.500% due 04/30/2030 (e)

 

3,000

 

2,602

USA Compression Partners LP
6.875% due 09/01/2027 (e)

 

2,500

 

2,426

Valaris Ltd.
8.375% due 04/30/2030

 

5,700

 

5,709

Vital Energy, Inc.
9.750% due 10/15/2030

 

200

 

205

 

 

 

 

122,061

UTILITIES 3.3%

 

 

 

 

CrownRock LP
5.000% due 05/01/2029

 

6,800

 

6,378

Enel Finance International NV
2.250% due 07/12/2031

 

5,200

 

3,933

Hilcorp Energy LP
6.000% due 02/01/2031

 

3,400

 

3,004

National Fuel Gas Co.
5.500% due 10/01/2026

 

1,112

 

1,097

ONEOK, Inc.
6.050% due 09/01/2033

 

8,000

 

7,864

Tallgrass Energy Partners LP
6.000% due 12/31/2030 (f)

 

5,700

 

5,038

Targa Resources Partners LP

 

 

 

 

4.875% due 02/01/2031 (f)

 

2,300

 

2,063

5.500% due 03/01/2030 (f)

 

4,300

 

4,030

 

 

 

 

33,407

Total Corporate Bonds & Notes (Cost $168,654)

 

 

 

162,085

MUNICIPAL BONDS & NOTES 0.4%

 

 

 

 

CALIFORNIA 0.4%

 

 

 

 

Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2021
3.850% due 06/01/2050

 

3,940

 

3,581

Total Municipal Bonds & Notes (Cost $3,579)

 

 

 

3,581

U.S. TREASURY OBLIGATIONS 20.8%

 

 

 

 

U.S. Treasury Notes

 

 

 

 

1.125% due 10/31/2026

 

230,000

 

206,110

Consolidated Schedule of Investments PIMCO Dynamic Income Strategy Fund (Cont.)

September 30, 2023

(Unaudited)

 

Total U.S. Treasury Obligations (Cost $226,248)

 

 

 

206,110

 

 

SHARES

 

 

COMMON STOCKS 61.6%

 

 

 

 

CONSUMER STAPLES 0.8%

 

 

 

 

Kenvue, Inc.

 

401,800

 

8,068

ENERGY 37.5%

 

 

 

 

Antero Midstream Corp.

 

1,145,100

 

13,718

Antero Resources Corp. (b)

 

332,700

 

8,444

Cheniere Energy, Inc.

 

181,600

 

30,138

Chesapeake Energy Corp.

 

317,550

 

27,382

Devon Energy Corp.

 

174,400

 

8,319

Diamondback Energy, Inc.

 

114,900

 

17,796

DT Midstream, Inc. (b)

 

284,000

 

15,029

EnLink Midstream LLC

 

1,414,100

 

17,280

EQT Corp.

 

426,750

 

17,318

Hess Midstream LP 'A' (g)

 

588,756

 

17,151

Kinder Morgan, Inc.

 

1,165,400

 

19,322

Marathon Oil Corp.

 

660,800

 

17,676

Occidental Petroleum Corp.

 

213,083

 

13,825

ONEOK, Inc.

 

367,100

 

23,285

Pioneer Natural Resources Co.

 

114,800

 

26,352

Plains GP Holdings LP 'A' (g)

 

1,358,300

 

21,896

Targa Resources Corp.

 

495,000

 

42,432

Williams Cos., Inc.

 

1,038,700

 

34,994

 

 

 

 

372,357

FINANCIALS 22.7%

 

 

 

 

Intelsat Emergence SA «(b)(h)

 

21,303

 

571

Venture Global Holdings Cls 'A' «(b)(h)

 

3,473

 

224,304

 

 

 

 

224,875

INDUSTRIALS 0.5%

 

 

 

 

AP Moller - Maersk AS 'B'

 

2,600

 

4,694

UTILITIES 0.1%

 

 

 

 

Orsted AS

 

22,300

 

1,217

Total Common Stocks (Cost $307,872)

 

 

 

611,211

MASTER LIMITED PARTNERSHIPS 3.8%

 

 

 

 

ENERGY 3.8%

 

 

 

 

Crestwood Equity Partners LP

 

208,600

 

6,102

Energy Transfer LP

 

1,068,283

 

14,988

Enterprise Products Partners LP

 

181,787

 

4,975

Western Midstream Partners LP

 

287,668

 

7,833

Sunoco LP

 

82,860

 

4,056

Total Master Limited Partnerships (Cost $27,263)

 

 

 

37,954

RIGHTS 0.0%

 

 

 

 

INDUSTRIALS 0.0%

 

 

 

 

Intelsat Jackson Holdings SA - Exp. 12/05/2025 «(b)

 

2,231

 

21

Total Rights (Cost $0)

 

 

 

21

WARRANTS 0.0%

 

 

 

 

INDUSTRIALS 0.0%

 

 

 

 

Intelsat Jackson Holdings SA - Exp. 12/05/2025 «

 

2,231

 

21

Consolidated Schedule of Investments PIMCO Dynamic Income Strategy Fund (Cont.)

September 30, 2023

(Unaudited)

 

Total Warrants (Cost $0)

 

 

 

21

EXCHANGE-TRADED FUNDS 0.4%

 

 

 

 

Alerian MLP ETF

 

101,300

 

4,275

Total Exchange-Traded Funds (Cost $3,701)

 

 

 

4,275

SHORT-TERM INSTRUMENTS 4.4%

 

 

 

 

REPURCHASE AGREEMENTS (i) 4.4%

 

 

 

43,869

 

 

PRINCIPAL
AMOUNT
(000s)

 

 

U.S. TREASURY BILLS 0.0%

 

 

 

 

5.412% due 11/09/2023 (c)(d)(m)

 

195

 

194

Total Short-Term Instruments (Cost $44,063)

 

 

 

44,063

Total Investments in Securities (Cost $798,182)

 

 

 

1,086,308

Total Investments 109.4% (Cost $798,182)

 

 

$

1,086,308

Financial Derivative Instruments (k)(l) 2.7%(Cost or Premiums, net $15,642)

 

 

 

26,892

Other Assets and Liabilities, net (12.1)%

 

 

 

(120,557)

Net Assets 100.0%

 

 

$

992,643

Consolidated Schedule of Investments PIMCO Dynamic Income Strategy Fund (Cont.)

September 30, 2023

(Unaudited)

 

 

NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:

 

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

 

¤

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

«

Security valued using significant unobservable inputs (Level 3).

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

(a)

When-issued security.

(b)

Security did not produce income within the last twelve months.

(c)

Zero coupon security.

(d)

Coupon represents a yield to maturity.

(e)

Comprises of a debt issuance of a qualified publicly-traded partnership (“QPTP”).

(f)

As a result of the completion of a recent corporation action, common units of the previous QPTP are no longer publicly traded. The succeeding entity per the respective corporate action is treated as a Corporation for U.S. Tax purposes.

(g)

This Company is structured like a Master Limited Partnership, but is not treated as a QPTP for required regulated investment company (“RIC”) asset diversification purposes.

(h)

RESTRICTED SECURITIES:

Issuer Description

 

 

Acquisition
Date

 

Cost

 

Market
Value

Market Value
as Percentage
of Net Assets

Intelsat Emergence SA

 

 

02/05/2020 - 07/03/2023

$

1,699

$

571

0.05

%

Venture Global Holdings Cls 'A'

 

 

06/27/2019 - 09/07/2022

 

22,361

 

224,304

22.60

 

 

 

 

 

$

24,060

$

224,875

22.65

%

BORROWINGS AND OTHER FINANCING TRANSACTIONS

(i)

REPURCHASE AGREEMENTS:

Counterparty

Lending
Rate

Settlement
Date

Maturity
Date

 

Principal
Amount

Collateralized By

 

Collateral
(Received)

 

Repurchase
Agreements,
at Value

 

Repurchase
Agreement
Proceeds
to be
Received
(1)

BOS

5.330%

09/29/2023

10/02/2023

$

5,200

U.S. Treasury Bonds 3.250% due 05/15/2042

$

(5,283)

$

5,200

$

5,202

 

5.360

09/29/2023

10/02/2023

 

5,200

U.S. Treasury Bonds 4.000% due 11/15/2042

 

(5,292)

 

5,200

 

5,202

BPS

5.360

09/29/2023

10/02/2023

 

4,100

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

 

(10)

 

4,100

 

4,102

FICC

2.600

09/29/2023

10/02/2023

 

2,667

U.S. Treasury Notes 5.000% due 08/31/2025

 

(2,720)

 

2,667

 

2,667

 

5.310

09/29/2023

10/02/2023

 

19,300

U.S. Treasury Inflation Protected Securities 1.125% due 01/15/2033

 

(19,686)

 

19,300

 

19,309

GSC

5.360

09/29/2023

10/02/2023

 

1,900

Freddie Mac 3.000% due 08/01/2052

 

(6)

 

1,900

 

1,901

SSB

2.600

09/29/2023

10/02/2023

 

302

U.S. Treasury Notes 1.875% due 06/30/2026(2)

 

(308)

 

302

 

302

TDM

5.360

09/29/2023

10/02/2023

 

5,200

U.S. Treasury Notes 1.250% due 08/15/2031

 

(11)

 

5,200

 

5,202

Total Repurchase Agreements

 

$

(33,316)

$

43,869

$

43,887

REVERSE REPURCHASE AGREEMENTS:

Counterparty

Borrowing Rate(3)

Settlement Date

Maturity Date

 

Amount
Borrowed
(3)

 

Payable for
Reverse
Repurchase
Agreements

CIB

5.410%

09/14/2023

10/11/2023

$

(112,746)

$

(113,051)

NOM

5.650

07/28/2023

TBD(4)

 

(11,885)

 

(12,008)

Total Reverse Repurchase Agreements

 

 

 

 

 

$

(125,059)

(j)

Securities with an aggregate market value of $125,473 have been pledged as collateral under the terms of master agreements as of September 30, 2023.

(1)

Includes accrued interest.

(2)

Collateral is held in custody by the counterparty.

(3)

The average amount of borrowings outstanding during the period ended September 30, 2023 was $(134,812) at a weighted average interest rate of 5.349%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.

(4)

Open maturity reverse repurchase agreement.

(k)

FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED

Consolidated Schedule of Investments PIMCO Dynamic Income Strategy Fund (Cont.)

September 30, 2023

(Unaudited)

 

WRITTEN OPTIONS:

FUTURE STYLED COMMODITY OPTIONS(1)

Description

 

 

Strike
Price

Expiration
Date

# of
Contracts

 

Notional Amount

 

Cost

 

Market
Value

Call – ICE Brent Crude December 2023 Futures

 

$

90.000

10/26/2023

40

$

40

$

(47)

$

(165)

Total Written Options

$

(47)

$

(165)

FUTURES CONTRACTS:

LONG FUTURES CONTRACTS

 

Variation Margin

Description

 

 

 

Expiration
Month

 

# of
Contracts

 

Notional
Amount

 

 

Unrealized
Appreciation/
(Depreciation)

 

Asset

 

Liability

Brent Crude December Futures

10/2023

 

27

$

2,489

 

$

203

$

0

$

(24)

Brent Crude December Futures

10/2024

 

6

 

494

 

 

(11)

 

0

 

(3)

California Carbon Allowance December Futures

12/2023

 

458

 

16,813

 

 

3,424

 

64

 

0

California Carbon Allowance December Futures

12/2024

 

148

 

5,855

 

 

(17)

 

21

 

0

Natural Gas October Futures

09/2024

 

141

 

4,764

 

 

(780)

 

1

 

0

 

 

 

 

 

 

 

 

$

2,819

$

86

$

(27)

SHORT FUTURES CONTRACTS

 

Variation Margin

Description

 

 

 

Expiration
Month

 

# of
Contracts

 

Notional
Amount

 

 

Unrealized
Appreciation/
(Depreciation)

 

Asset

 

Liability

Natural Gas January Futures

12/2024

 

141

$

(6,238)

 

$

900

$

3

$

0

Natural Gas November Futures

10/2023

 

200

 

(6,373)

 

 

1,420

 

222

 

0

 

 

 

 

 

 

 

 

$

2,320

$

225

$

0

Total Futures Contracts

 

$

5,139

$

311

$

(27)

SWAP AGREEMENTS:

INTEREST RATE SWAPS

 

Variation Margin

Pay/
Receive
Floating Rate

Floating Rate Index

Fixed Rate

Payment
Frequency

Maturity
Date

 

Notional
Amount

 

Premiums
Paid/
(Received)

 

Unrealized
Appreciation/
(Depreciation)

 

Market
Value

 

Asset

 

Liability

Receive

1-Day USD-SOFR Compounded-OIS

1.000%

Annual

10/31/2026

$

226,200

$

15,689

$

15,667

$

31,356

$

0

$

(109)

Total Swap Agreements

$

15,689

$

15,667

$

31,356

$

0

$

(109)

Cash of $8,866 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of September 30, 2023.

(1)

Future styled option variation margin asset of $28 is outstanding at period end.

(l)

FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER

FORWARD FOREIGN CURRENCY CONTRACTS:

 

Unrealized Appreciation/(Depreciation)

Counterparty

Settlement
Month

 

Currency to
be Delivered

 

Currency to
be Received

 

Asset

 

Liability

BOA

10/2023

DKK

29,454

$

4,311

$

135

$

0

 

10/2023

$

4,238

DKK

29,927

 

5

 

0

 

11/2023

DKK

29,880

$

4,238

 

0

 

(5)

 

11/2023

$

693

EUR

639

 

0

 

(16)

BPS

10/2023

DKK

32,087

$

4,690

 

142

 

0

 

11/2023

CAD

29,390

 

21,935

 

284

 

0

 

11/2023

$

1,867

EUR

1,726

 

0

 

(39)

BRC

11/2023

EUR

268

$

288

 

4

 

0

 

11/2023

$

11

EUR

10

 

0

 

0

CBK

11/2023

CAD

1,998

$

1,488

 

16

 

0

 

11/2023

EUR

1,264

 

1,356

 

17

 

0

 

11/2023

$

1,226

EUR

1,142

 

1

 

(17)

 

11/2023

 

77

GBP

61

 

0

 

(3)

JPM

11/2023

EUR

3,321

$

3,585

 

68

 

0

 

11/2023

GBP

589

 

739

 

21

 

0

 

11/2023

$

91

EUR

86

 

0

 

0

 

11/2023

 

522

GBP

409

 

0

 

(22)

RBC

11/2023

CAD

218

$

162

 

2

 

0

 

11/2023

EUR

938

 

1,036

 

42

 

0

Consolidated Schedule of Investments PIMCO Dynamic Income Strategy Fund (Cont.)

September 30, 2023

(Unaudited)

 

 

11/2023

$

12,081

CAD

16,335

 

0

 

(47)

 

11/2023

 

868

EUR

786

 

0

 

(36)

SCX

11/2023

 

919

 

830

 

0

 

(40)

TOR

11/2023

CAD

866

$

645

 

7

 

0

UAG

11/2023

$

646

EUR

586

 

0

 

(26)

Total Forward Foreign Currency Contracts

$

744

$

(251)

SWAP AGREEMENTS:

TOTAL RETURN SWAPS ON AND EQUITY INDICES

 

Swap Agreements, at Value

Counterparty

Pay/Receive(1)

Underlying
Reference

# of Units

Financing Rate

Payment
Frequency

Maturity
Date

 

Notional
Amount

 

Premiums
Paid/(Received)

 

Unrealized
Appreciation/
(Depreciation)

 

Asset

 

Liability

BOA

Receive

Alerian Midstream Energy Total Return Index

16,725

5.780% (1-Month USD-LIBOR plus a specified spread)

Maturity

12/13/2023

$

11,815

$

0

$

89

$

89

$

0

BPS

Receive

AMZX Index

12,312

5.500% (1-Month USD-LIBOR plus a specified spread)

Maturity

12/13/2023

 

18,553

 

0

 

2,739

 

2,739

 

0

 

Receive

AMZX Index

9,301

5.630% (1-Month USD-LIBOR plus a specified spread)

Maturity

12/20/2023

 

14,622

 

0

 

1,496

 

1,496

 

0

FAR

Receive

AMZX Index

12,776

5.880% (1-Month USD-LIBOR plus a specified spread)

Maturity

08/21/2024

 

21,571

 

0

 

1,130

 

1,130

 

0

JPM

Receive

Alerian Midstream Energy Total Return Index

16,689

6.010% (1-Month USD-LIBOR plus a specified spread)

Maturity

11/06/2024

 

12,400

 

0

 

0

 

0

 

0

 

 

 

 

 

 

 

 

$

0

$

5,454

$

5,454

$

0

TOTAL RETURN SWAPS ON SECURITIES

 

Swap Agreements, at Value

Counterparty

Pay/Receive(1)

Underlying
Reference

# of Shares

Financing Rate

Payment
Frequency

Maturity
Date

 

Notional
Amount

 

Premiums
Paid/(Received)

 

Unrealized
Appreciation/
(Depreciation)

 

Asset

 

Liability

BOA

Receive

Plains All American Pipeline LP

170,000

5.830% (1-Month USD-LIBOR plus a specified spread)

Monthly

11/15/2023

$

2,604

$

0

$

(12)

$

0

$

(12)

 

Receive

Apartment Income REIT Corp.

1

5.580% (1-Month USD-LIBOR plus a specified spread)

Maturity

01/23/2024

 

0

 

0

 

0

 

0

 

0

 

Receive

EPR Properties

1

5.580% (1-Month USD-LIBOR plus a specified spread)

Maturity

01/23/2024

 

0

 

0

 

0

 

0

 

0

 

Receive

Simon Property Group, Inc.

1

5.580% (1-Month USD-LIBOR plus a specified spread)

Maturity

01/23/2024

 

0

 

0

 

0

 

0

 

0

 

Receive

WP Carey, Inc.

1

5.580% (1-Month USD-LIBOR plus a specified spread)

Maturity

01/23/2024

 

0

 

0

 

0

 

0

 

0

 

Receive

Energy Transfer LP

895,600

5.830% (1-Month USD-LIBOR plus a specified spread)

Maturity

02/07/2024

 

10,669

 

0

 

2,022

 

2,022

 

0

 

Receive

Energy Transfer LP

1,143,495

5.850% (1-Month USD-LIBOR plus a specified spread)

Maturity

02/07/2024

 

14,328

 

0

 

2,190

 

2,190

 

0

Consolidated Schedule of Investments PIMCO Dynamic Income Strategy Fund (Cont.)

September 30, 2023

(Unaudited)

 

 

Receive

Enterprise Products Partners LP

702,000

5.770% (1-Month USD-LIBOR plus a specified spread)

Maturity

02/07/2024

 

17,929

 

0

 

1,608

 

1,608

 

0

 

Receive

MPLX LP

710,500

5.770% (1-Month USD-LIBOR plus a specified spread)

Maturity

02/07/2024

 

24,017

 

0

 

1,746

 

1,746

 

0

 

Receive

MPLX LP

145,000

5.830% (1-Month USD-LIBOR plus a specified spread)

Maturity

02/07/2024

 

4,759

 

0

 

202

 

202

 

0

 

Receive

Plains All American Pipeline LP

936,200

5.860% (1-Month USD-LIBOR plus a specified spread)

Maturity

02/07/2024

 

12,018

 

0

 

2,466

 

2,466

 

0

 

Receive

Western Gas Partners LP

779,700

5.760% (1-Month USD-LIBOR plus a specified spread)

Maturity

02/07/2024

 

21,238

 

0

 

343

 

343

 

0

FAR

Receive

Plains All American Pipeline LP

706,000

5.860% (1-Month USD-LIBOR plus a specified spread)

Maturity

10/18/2023

 

8,698

 

0

 

2,267

 

2,267

 

0

 

Receive

Western Gas Partners LP

410,000

5.860% (1-Month USD-LIBOR plus a specified spread)

Maturity

10/18/2023

 

11,636

 

0

 

(243)

 

0

 

(243)

 

Receive

Energy Transfer LP

1,131,421

5.810% (1-Month USD-LIBOR plus a specified spread)

Maturity

03/13/2024

 

14,460

 

0

 

1,591

 

1,591

 

0

 

Receive

Enterprise Products Partners LP

670,000

5.810% (1-Month USD-LIBOR plus a specified spread)

Maturity

03/13/2024

 

17,319

 

0

 

1,056

 

1,056

 

0

 

Receive

MPLX LP

318,000

5.810% (1-Month USD-LIBOR plus a specified spread)

Maturity

03/13/2024

 

11,000

 

0

 

407

 

407

 

0

 

Receive

Plains All American Pipeline LP

152,000

5.810% (1-Month USD-LIBOR plus a specified spread)

Maturity

03/13/2024

 

1,933

 

0

 

407

 

407

 

0

 

Receive

Western Gas Partners LP

216,550

5.810% (1-Month USD-LIBOR plus a specified spread)

Maturity

03/13/2024

 

6,055

 

0

 

(70)

 

0

 

(70)

GST

Receive

Energy Transfer LP

938,239

5.930% (1-Month USD-LIBOR plus a specified spread)

Maturity

02/21/2024

 

11,737

 

0

 

1,824

 

1,824

 

0

 

Receive

Enterprise Products Partners LP

398,000

5.930% (1-Month USD-LIBOR plus a specified spread)

Maturity

02/21/2024

 

10,006

 

0

 

1,078

 

1,078

 

0

 

Receive

MPLX LP

399,000

5.930% (1-Month USD-LIBOR plus a specified spread)

Maturity

02/21/2024

 

13,550

 

0

 

1,028

 

1,028

 

0

 

Receive

Plains All American Pipeline LP

274,000

5.930% (1-Month USD-LIBOR plus a specified spread)

Maturity

02/21/2024

 

3,318

 

0

 

967

 

967

 

0

 

Receive

Western Gas Partners LP

117,425

5.930% (1-Month USD-LIBOR plus a specified spread)

Maturity

02/21/2024

 

3,235

 

0

 

58

 

58

 

0

Consolidated Schedule of Investments PIMCO Dynamic Income Strategy Fund (Cont.)

September 30, 2023

(Unaudited)

 

JPM

Receive

Gaming and Leisure Properties, Inc.

1

5.580% (1-Month USD-LIBOR plus a specified spread)

Maturity

03/13/2024

 

0

 

0

 

0

 

0

 

0

 

Receive

Host Hotels & Resorts, Inc.

1

5.580% (1-Month USD-LIBOR plus a specified spread)

Maturity

03/13/2024

 

0

 

0

 

0

 

0

 

0

 

Receive

Vici Properities, Inc.

1

5.580% (1-Month USD-LIBOR plus a specified spread)

Maturity

03/13/2024

 

0

 

0

 

0

 

0

 

0

 

 

 

 

 

 

 

 

$

0

$

20,935

$

21,260

$

(325)

Total Swap Agreements

$

0

$

26,389

$

26,714

$

(325)

(m)

Securities with an aggregate market value of $194 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of September 30, 2023.

(1)

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

FAIR VALUE MEASUREMENTS

The following is a summary of the fair valuations according to the inputs used as of September 30, 2023 in valuing the Fund's assets and liabilities:

 

Category and Subcategory

Level 1

Level 2

Level 3

Fair Value
at 09/30/2023

Investments in Securities, at Value

Loan Participations and Assignments

$

0

$

12,543

$

4,444

$

16,987

 

Corporate Bonds & Notes

 

Banking & Finance

 

0

 

6,617

 

0

 

6,617

 

 

Industrials

 

0

 

122,061

 

0

 

122,061

 

 

Utilities

 

0

 

33,407

 

0

 

33,407

 

Municipal Bonds & Notes

 

California

 

0

 

3,581

 

0

 

3,581

 

U.S. Treasury Obligations

 

0

 

206,110

 

0

 

206,110

 

Common Stocks

 

Consumer Staples

 

8,068

 

0

 

0

 

8,068

 

 

Energy

 

372,357

 

0

 

0

 

372,357

 

 

Financials

 

0

 

0

 

224,875

 

224,875

 

 

Industrials

 

0

 

4,694

 

0

 

4,694

 

 

Utilities

 

0

 

1,217

 

0

 

1,217

 

Master Limited Partnerships

 

Energy

 

37,954

 

0

 

0

 

37,954

 

Rights

 

Industrials

 

0

 

0

 

21

 

21

 

Warrants

 

Industrials

 

0

 

0

 

21

 

21

 

Exchange-Traded Funds

 

4,275

 

0

 

0

 

4,275

 

Short-Term Instruments

 

Repurchase Agreements

 

0

 

43,869

 

0

 

43,869

 

 

U.S. Treasury Bills

 

0

 

194

 

0

 

194

 

Total Investments

$

422,654

$

434,293

$

229,361

$

1,086,308

 

Financial Derivative Instruments - Assets

Exchange-traded or centrally cleared

 

311

 

0

 

0

 

311

 

Over the counter

 

0

 

27,458

 

0

 

27,458

 

 

$

311

$

27,458

$

0

$

27,769

 

Financial Derivative Instruments - Liabilities

Exchange-traded or centrally cleared

 

(192)

 

(109)

 

0

 

(301)

 

Over the counter

 

0

 

(576)

 

0

 

(576)

 

 

$

(192)

$

(685)

$

0

$

(877)

 

Total Financial Derivative Instruments

$

119

$

26,773

$

0

$

26,892

 

Totals

$

422,773

$

461,066

$

229,361

$

1,113,200

 

 

 

 

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended September 30, 2023:

Category and Subcategory

Beginning
Balance
at 06/30/2023

Net
Purchases

Net
Sales/Settlement
s

Accrued
Discounts/
(Premiums)

Realized
Gain/(Loss)

Net Change in
Unrealized
Appreciation/
(Depreciation)
(1)

Transfers into
Level 3

Transfers out
of Level 3

Ending
Balance
at 09/30/2023

Net Change in
Unrealized
Appreciation/
(Depreciation)
on Investments
Held at
09/30/2023
(1)

Consolidated Schedule of Investments PIMCO Dynamic Income Strategy Fund (Cont.)

September 30, 2023

(Unaudited)

 

Investments in Securities, at Value

Loan Participations and Assignments

$

3,720

$

4,444

$

(4,000)

$

17

$

283

$

(20)

$

0

$

0

$

4,444

$

0

Common Stocks

 

Energy

 

100,536

 

0

 

(22,361)

 

0

 

0

 

(78,175)

 

0

 

0

 

0

 

0

 

Financials

 

489

 

22,361

 

0

 

0

 

0

 

202,025

 

0

 

0

 

224,875

 

202,025

Rights

 

Industrials

 

11

 

0

 

0

 

0

 

0

 

10

 

0

 

0

 

21

 

10

Warrants

 

Industrials

 

16

 

0

 

0

 

0

 

0

 

5

 

0

 

0

 

21

 

5

Totals

$

104,772

$

26,805

$

(26,361)

$

17

$

283

$

123,845

$

0

$

0

$

229,361

$

202,040


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

 

(% Unless Noted Otherwise)

 

Category and Subcategory

Ending
Balance
at 09/30/2023

Valuation Technique

Unobservable Inputs

 

Input Value(s)

Weighted Average

Investments in Securities, at Value

Loan Participations and Assignments

$

4,444

Recent Transaction

Purchase Price

 

98.000

Common Stocks

 

Financials

 

224,304

Comparable Companies/Discounted Cash Flow

EBITDA Multiple/Discount Rate

X/%

10.300/15.000

 

 

 

571

Indicative Market Quotation/Comparable Companies

Broker Quote/EBITDA Multiple

$/X

22.500/4.000

Rights

 

Industrials

 

21

Discounted Cash Flow

Discount Rate

 

2.750

Warrants

 

Industrials

 

21

Discounted Cash Flow

Discount Rate

 

2.750

Total

$

229,361

(1)

Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at September 30, 2023 may be due to an investment no longer held or categorized as Level 3 at period end.

 

Notes to Financial Statements  

 

1. BASIS FOR CONSOLIDATION

The PIMCO Cayman Commodity Fund IX, Ltd., NRGX SPV I LLC and NRGX SPV II LLC (each a “Subsidiary” and, collectively, the “Subsidiaries”), a wholly owned subsidiary of the PIMCO Dynamic Income Strategy Fund (the “Fund”) organized under the laws of the Cayman Islands, acts as investment vehicles for the Fund in order to effect certain investments for the Fund consistent with the Fund’s investment objectives and policies in effect from time to time. The Fund’s investment portfolio has been consolidated and includes the portfolio holdings of the Fund and the Subsidiaries. Accordingly, the consolidated financial statements include the accounts of the Fund and the Subsidiaries. All intercompany transactions and balances have been eliminated. The Fund may invest up to 25% of its total assets in the Subsidiaries. The Subsidiaries may invest without limit in commodity-linked swap agreements and other commodity-linked derivative instruments. A subscription agreement was entered into between the Fund and the Subsidiaries comprising the entire issued share capital of the Subsidiaries, with the intent that the Fund will remain the sole shareholder and retain all rights. Under the Memorandum and Articles of Association, shares issued by the Subsidiaries confer upon a shareholder the right to receive notice of, to attend and to vote at general meetings of the Subsidiaries and shall confer upon the shareholder rights in a winding-up or repayment of capital and the right to participate in the profits or assets of the Subsidiaries. See the table below for details regarding the structure, incorporation and relationship as of period end of the Subsidiaries.

 

Subsidiary

 

Date of Formation

Subsidiary % of Consolidated Fund Net Assets

Cayman Commodity Fund IX, Ltd

 

12/14/2018

2.1%

NRGX SPV I LLC

 

11/07/2022

0.8%

NRGX SPV II LLC

 

11/07/2022

0.0%

 

2. INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS

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

 

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

 

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

 

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

 

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

 

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

 

Investments valued in currencies other than the U.S. dollar are converted to the U.S. dollar using exchange rates obtained from Pricing Sources. As a result, the value of such

 

Notes to Financial Statements (Cont.)

 

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

 

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

 

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

 

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

 

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

 

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

 

In accordance with the requirements of U.S. GAAP, the amounts of transfers into and out of Level 3, if material, are disclosed in the Notes to Consolidated Schedule of Investments for the Fund.

 

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

 

(c) Valuation Techniques and the Fair Value Hierarchy

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

 

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

 

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

 

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

 

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

 

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

 

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

 

Notes to Financial Statements (Cont.)

 

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

 

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

 

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

 

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

 

Common stock equivalent valuation estimates fair value by applying an equity adjustment based on observable comparable companies' equity value variances. Significant changes in the unobservable inputs would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.

 

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

 

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

 

The Option Pricing model may be utilized if an income or market approach is unreliable, or if the enterprise value is not sufficient to cover outstanding debt and preferred claims in the capital structure. Option models can also be ‘back-solved’ if there are recent indicative transactions for securities within the same issuer. For instance, the Black-Scholes model is a specific type of generally accepted option model, typically used to value call options, puts, warrants, and convertible preferred securities. Significant changes in the unobservable inputs would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.

 

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

 

Securities that are smaller in size than institutional-sized or round lot positions of the particular security/instrument type may apply an adjustment factor to the daily Vendor-provided price for the corresponding round lot position to arrive at a fair value for the applicable odd lot positions. The adjustment factor is determined by comparing the prices of internal trades with vendor prices, calculating the weighted average differences, and using that difference as an adjustment factor to vendor prices. These securities are categorized as Level 3 of the fair value hierarchy.

 

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

 

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

 

3. FEDERAL INCOME TAX MATTERS

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

 

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

 

In accordance with U.S. GAAP, the Manager has reviewed the Fund's tax positions for all open tax years. As of September 30, 2023, the Fund has recorded no liability for net unrecognized tax benefits relating to uncertain income tax positions it has taken or expects to take in future tax returns.

 

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

 

Glossary: (abbreviations that may be used in the preceding statements)   (Unaudited)
                     
Counterparty Abbreviations:    
BOA   Bank of America N.A.   FICC   Fixed Income Clearing Corporation    RBC   Royal Bank of Canada
BOS   BofA Securities, Inc.   GSC   Goldman Sachs & Co. LLC   SCX   Standard Chartered Bank, London
BPS   BNP Paribas S.A.   GST   Goldman Sachs International   SSB   State Street Bank and Trust Co.
BRC   Barclays Bank PLC   JPM   JP Morgan Chase Bank N.A.   TDM   TD Securities (USA) LLC
CBK   Citibank N.A.   NOM   Nomura Securities International, Inc.   TOR   The Toronto-Dominion Bank
CIB   Canadian Imperial Bank of Commerce   PER   Pershing LLC   UAG   UBS AG Stamford
FAR   Wells Fargo Bank National Association                
                     
Currency Abbreviations:    
CAD   Canadian Dollar   EUR   Euro   USD (or $)   United States Dollar
DKK   Danish Krone   GBP   British Pound        
                     
Index/Spread Abbreviations:    
AMZX   Alerian MLP Total Return Index   SOFR   Secured Overnight Financing Rate        
                     
Other  Abbreviations:    
EBITDA   Earnings before Interest, Taxes,
Depreciation and Amoritization
  REIT   Real Estate Investment Trust   TBD   To-Be-Determined
LIBOR   London Interbank Offered Rate   TBA   To-Be-Announced   TBD%   Interest rate to be determined when loan
settles or at the time of funding
OIS   Overnight Index Swap                


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