Consolidated Schedule of Investments PIMCO Dynamic Income Strategy Fund

March 31, 2025 (Unaudited)

 

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

 

 

PRINCIPAL
AMOUNT
(000s)

 

MARKET
VALUE
(000s)

INVESTMENTS IN SECURITIES 126.1% ¤

 

 

 

 

LOAN PARTICIPATIONS AND ASSIGNMENTS 21.8%

 

 

 

 

Adeia, Inc.
6.825% due 06/08/2028

$

2,262

$

2,262

Advisor Group, Inc.
7.825% due 08/17/2028 ~

 

2,985

 

2,967

Aligned Data Centers International LP
7.799% due 05/16/2028 «~

 

8,000

 

8,023

Altice France SA

 

 

 

 

8.285% (EUR003M + 5.500%) due 08/15/2028 ~

EUR

100

 

97

9.802% due 08/15/2028

$

600

 

539

Apro LLC
8.049% due 07/09/2031

 

5,473

 

5,462

Aspire Bakeries Holdings LLC
8.575% due 12/13/2030

 

995

 

999

BDO U.S.A PC
9.325% due 08/31/2028 «

 

4,478

 

4,494

Cast & Crew Payroll LLC
8.075% due 12/29/2028 ~

 

2,992

 

2,890

Central Parent, Inc.
7.549% due 07/06/2029 ~

 

9,077

 

7,818

Chobani LLC
6.825% due 10/25/2027

 

2,963

 

2,967

Clover Holdings 2 LLC
7.750% due 12/09/2031 «

 

2,900

 

2,889

Comexposium

 

 

 

 

1.138% - 4.414% due 10/16/2031 «•

EUR

1,000

 

1,260

4.969% (EUR012M + 4.000%) due 03/28/2026 «~

 

1,025

 

1,291

CoreWeave Compute Acquisition Co. LLC
TBD% - 10.322% due 05/16/2029 «µ

$

5,400

 

5,424

Cotiviti Corp.
7.073% due 05/01/2031

 

2,970

 

2,911

Databricks, Inc.

 

 

 

 

TBD% due 01/03/2031 «µ

 

1,069

 

1,077

8.823% due 01/03/2031 «

 

4,831

 

4,867

DK Crown Holdings, Inc.
6.064% - 6.075% due 03/04/2032

 

200

 

199

Drake Software LLC
8.549% due 06/26/2031 ~

 

1,995

 

1,928

Dye & Durham Corp.
8.399% due 04/11/2031

 

2,380

 

2,389

EMRLD Borrower LP
6.933% due 05/31/2030

 

3,691

 

3,662

EP Purchaser LLC
9.061% due 11/06/2028 ~

 

696

 

699

EPIC Crude Services LP
7.302% due 10/15/2031

 

4,000

 

4,004

EPIC Y-Grade Services LP
10.044% due 06/29/2029

 

3,308

 

3,313

FleetPride, Inc.
TBD% due 09/29/2028

 

3,691

 

3,426

Forward Air Corp.
8.791% due 12/19/2030 ~

 

1,731

 

1,685

Frontier Communications Corp.
6.792% due 07/01/2031

 

2,693

 

2,694

Gateway Casinos & Entertainment Ltd.
10.545% due 12/18/2030

 

2,646

 

2,679

GBT U.S. LLC
6.802% due 07/28/2031

 

3,990

 

3,976

Global Medical Response, Inc.
9.790% due 10/31/2028 ~

 

2,369

 

2,371

Golden State Foods LLC
8.564% due 12/04/2031 ~

 

3,980

 

3,998

Harp Finco Ltd.
TBD% - 9.956% due 01/30/2032 «

GBP

3,865

 

4,893

ITT Holdings LLC
7.075% due 10/11/2030 ~

$

2,977

 

2,983

JSG III Inc.
8.925% due 06/28/2026

 

916

 

914

KDC/ONE Development Corp., Inc.
8.325% due 08/15/2028

 

5,000

 

5,006

LABL, Inc.
9.425% due 10/30/2028 ~

 

2,478

 

2,067

LC Ahab U.S. Bidco LLC
7.325% due 05/01/2031 ~

 

4,975

 

4,944

 

 

 

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

March 31, 2025 (Unaudited)

 

Level 3 Financing, Inc.
TBD% due 03/27/2032

 

200

 

198

Lifepoint Health, Inc.
8.052% due 05/17/2031 ~

 

6,650

 

6,464

Lummus Technology Holdings LLC
TBD% due 12/31/2029

 

3,292

 

3,288

Matador Bidco SARL
8.675% due 07/30/2029 ~

 

2,500

 

2,500

MI Windows & Doors LLC
7.325% due 03/28/2031 ~

 

2,481

 

2,443

Mitnick Corporate Purchaser, Inc.
8.891% due 05/02/2029 ~

 

1,852

 

1,574

Modena Buyer LLC
8.791% due 07/01/2031 ~

 

4,988

 

4,840

Newfold Digital
7.929% due 02/10/2028 «~

 

2,394

 

1,783

Ocs Group Holdings Ltd.
10.450% due 11/27/2031 ~

GBP

5,000

 

6,455

Peraton Corp.
8.175% due 02/01/2028

$

2,772

 

2,473

Phoenix Guarantor, Inc.
6.825% due 02/21/2031 ~

 

3,970

 

3,959

Polaris Newco LLC
8.302% due 06/02/2028 ~

 

4,961

 

4,761

Poseidon Bidco SASU
7.355% (EUR003M + 5.000%) due 03/13/2030 ~

EUR

4,700

 

3,593

Primo Brands Corp.
6.549% due 03/31/2028

$

3,950

 

3,939

Project Alpha Intermediate Holding, Inc.
7.549% due 10/28/2030 ~

 

3,970

 

3,966

Promotora de Informaciones SA
7.964% (EUR003M + 5.220%) due 12/31/2026 ~

EUR

2,400

 

2,562

Proofpoint, Inc.
7.325% due 08/31/2028 ~

$

6,085

 

6,072

Quikrete Holdings, Inc.
6.575% due 02/10/2032

 

1,700

 

1,683

Raven Acquisition Holdings LLC

 

 

 

 

TBD% due 11/19/2031 •µ

 

193

 

191

7.575% due 11/19/2031 ~

 

2,707

 

2,677

Rockpoint Gas Storage Partners LP

 

 

 

 

1.000% due 09/18/2031

 

2,993

 

2,989

SCUR-Alpha 1503 GmbH
9.791% due 03/29/2030 ~

 

1,985

 

1,856

Spruce Bidco, Inc.

 

 

 

 

TBD% due 01/30/2032 «µ

 

458

 

453

6.000% due 02/02/2032 «

JPY

39,364

 

259

7.723% due 01/30/2032 «

CAD

368

 

253

9.325% due 01/30/2032 «

$

2,033

 

2,008

Star Parent, Inc.
8.299% due 09/27/2030

 

4,975

 

4,763

Steenbok Lux Finco 2 SARL
10.000% due 06/30/2026 •

EUR

10,629

 

4,035

Stonepeak Nile Parent LLC
TBD% due 02/04/2032

$

2,100

 

2,094

Subcalidora 2 SARL
8.105% (EUR003M + 5.750%) due 08/14/2029 «~

EUR

3,338

 

3,627

Syniverse Holdings, Inc.
11.299% due 05/13/2027

$

5,536

 

5,449

Teneo Holdings LLC
9.075% due 03/13/2031

 

2,277

 

2,285

TGP Holdings III LLC
7.675% due 06/29/2028

 

2,538

 

2,329

Tidal Waste & Recycling Holdings LLC
7.799% due 10/24/2031

 

2,900

 

2,906

TIH Insurance Holdings LLC
7.049% due 05/06/2031 ~

 

3,700

 

3,681

U.S. Renal Care, Inc.
9.439% due 06/20/2028 ~

 

4,357

 

4,075

Unicorn Bay
13.000% due 12/31/2026 «

HKD

29,916

 

3,864

Varsity Brands, Inc.
7.819% due 08/26/2031

$

6,300

 

6,188

Wand NewCo 3, Inc.
6.825% due 01/30/2031

 

4,883

 

4,818

WaterBridge Midstream Operating LLC
8.315% due 05/10/2029 ~

 

3,980

 

3,998

Win Waste Innovations Holdings, Inc.
8.189% due 03/24/2028

 

1,500

 

1,492

 

 

 

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

March 31, 2025 (Unaudited)

 

X Corp.
10.949% due 10/26/2029 ~

 

3,200

 

3,184

Total Loan Participations and Assignments (Cost $253,063)

 

 

 

248,094

CORPORATE BONDS & NOTES 22.1%

 

 

 

 

BANKING & FINANCE 4.0%

 

 

 

 

American Assets Trust LP
6.150% due 10/01/2034 (g)

 

3,600

 

3,602

Brandywine Operating Partnership LP

 

 

 

 

8.300% due 03/15/2028 (i)

 

2,000

 

2,073

8.875% due 04/12/2029 (i)

 

800

 

839

Burford Capital Global Finance LLC
9.250% due 07/01/2031 (i)

 

4,100

 

4,325

Charles River Re Ltd.
11.042% due 05/10/2031 •

 

1,900

 

1,942

Citadel LP
6.000% due 01/23/2030

 

300

 

305

Fortress Transportation & Infrastructure Investors LLC
7.000% due 05/01/2031 (i)

 

5,000

 

5,084

Integrity Re Ltd.

 

 

 

 

21.292% due 06/08/2026 •

 

650

 

701

27.292% due 06/08/2026 ~

 

650

 

674

Ladder Capital Finance Holdings LLLP
7.000% due 07/15/2031 (i)

 

3,000

 

3,081

MPT Operating Partnership LP
8.500% due 02/15/2032

 

600

 

612

Panama Infrastructure Receivable Purchaser PLC
0.000% due 04/05/2032 (f)(i)

 

8,298

 

5,852

Piedmont Operating Partnership LP

 

 

 

 

3.150% due 08/15/2030

 

3,600

 

3,162

6.875% due 07/15/2029 (i)

 

4,000

 

4,157

Sixth Street Lending Partners
6.125% due 07/15/2030

 

3,600

 

3,625

Starwood Property Trust, Inc.
7.250% due 04/01/2029 (i)

 

2,700

 

2,771

Strategic Credit Opportunities Partners
0.000% due 03/20/2030 «(h)

 

300

 

305

Veraison Re Ltd.
9.292% due 03/08/2033 ~

 

250

 

251

Winston RE Ltd.

 

 

 

 

10.792% due 02/21/2028 ~

 

250

 

250

14.532% due 02/26/2027 •

 

1,000

 

1,058

16.032% due 02/26/2031 •

 

1,000

 

1,050

 

 

 

 

45,719

INDUSTRIALS 15.7%

 

 

 

 

ADT Security Corp.
4.875% due 07/15/2032

 

5,300

 

4,953

Altice France Holding SA

 

 

 

 

8.000% due 05/15/2027

EUR

1,800

 

596

10.500% due 05/15/2027

$

2,400

 

705

Ascent Resources Utica Holdings LLC
6.625% due 10/15/2032 (i)

 

4,500

 

4,483

Axon Enterprise, Inc.

 

 

 

 

6.125% due 03/15/2030

 

500

 

506

6.250% due 03/15/2033

 

400

 

405

BCPE Empire Holdings, Inc.
7.625% due 05/01/2027 (i)

 

2,550

 

2,511

Boparan Finance PLC
9.375% due 11/07/2029

GBP

4,500

 

5,607

Caesars Entertainment, Inc.
6.500% due 02/15/2032 (i)

$

3,000

 

2,992

Capstone Borrower, Inc.
8.000% due 06/15/2030 (i)

 

3,576

 

3,676

Chord Energy Corp.
6.750% due 03/15/2033

 

1,400

 

1,394

Clydesdale Acquisition Holdings, Inc.

 

 

 

 

6.750% due 04/15/2032 (c)

 

1,000

 

1,008

8.750% due 04/15/2030 (i)

 

5,500

 

5,582

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

 

5,700

 

5,448

Dcli Bidco LLC
7.750% due 11/15/2029

 

3,600

 

3,709

DISH DBS Corp.
5.750% due 12/01/2028

 

2,600

 

2,198

Diversified Gas & Oil Corp.
9.750% due 04/09/2029 «(c)

 

2,625

 

2,581

Dye & Durham Ltd.
8.625% due 04/15/2029 (i)

 

2,500

 

2,579

ELO SACA

 

 

 

 

2.875% due 01/29/2026

EUR

800

 

849

3.250% due 07/23/2027

 

3,500

 

3,598

 

 

 

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

March 31, 2025 (Unaudited)

 

Flora Food Management BV
6.875% due 07/02/2029

 

2,500

 

2,751

Global Partners LP
8.250% due 01/15/2032 (i)

$

200

 

206

GYP Holdings Corp.
4.625% due 05/01/2029 (i)

 

4,300

 

4,027

Howard Midstream Energy Partners LLC

 

 

 

 

7.375% due 07/15/2032 (i)

 

3,700

 

3,794

8.875% due 07/15/2028 (i)

 

800

 

835

Ingevity Corp.
3.875% due 11/01/2028 (j)

 

3,600

 

3,363

Insulet Corp.
6.500% due 04/01/2033

 

3,100

 

3,153

Intelligent Packaging Ltd. Finco, Inc.
6.000% due 09/15/2028 (i)

 

4,000

 

3,895

IRB Infrastructure Developers Ltd.
7.110% due 03/11/2032

 

2,400

 

2,425

JetBlue Airways Corp.
9.875% due 09/20/2031 (i)

 

5,700

 

5,631

KBR, Inc.
4.750% due 09/30/2028 (i)

 

1,270

 

1,209

Kodiak Gas Services LLC
7.250% due 02/15/2029 (i)

 

2,000

 

2,040

Kraken Oil & Gas Partners LLC
7.625% due 08/15/2029 (i)

 

5,700

 

5,571

LABL, Inc.
8.625% due 10/01/2031 (i)

 

1,500

 

1,119

Masterbrand, Inc.
7.000% due 07/15/2032 (i)

 

2,700

 

2,698

Matador Resources Co.
6.250% due 04/15/2033 (i)

 

4,000

 

3,912

Mineral Resources Ltd.
9.250% due 10/01/2028

 

4,000

 

4,005

Miter Brands Acquisition Holdco, Inc.
6.750% due 04/01/2032 (i)

 

2,500

 

2,479

NCR Voyix Corp.
5.250% due 10/01/2030 (j)

 

3,484

 

3,366

Newfold Digital Holdings Group, Inc.

 

 

 

 

6.000% due 02/15/2029 «

 

500

 

300

11.750% due 10/15/2028 «

 

3,800

 

3,116

NFE Financing LLC
12.000% due 11/15/2029

 

115

 

97

Noble Finance LLC
8.000% due 04/15/2030 (i)

 

1,700

 

1,700

PetSmart, Inc.
4.750% due 02/15/2028

 

3,200

 

2,998

Primo Water Holdings, Inc.
6.250% due 04/01/2029 (i)

 

2,500

 

2,495

Quikrete Holdings, Inc.
6.375% due 03/01/2032

 

2,200

 

2,216

Rand Parent LLC
8.500% due 02/15/2030 (i)

 

5,000

 

4,957

Raven Acquisition Holdings LLC
6.875% due 11/15/2031

 

2,100

 

2,044

Sitio Royalties Operating Partnership LP
7.875% due 11/01/2028 (i)

 

6,000

 

6,180

Snap, Inc.
6.875% due 03/01/2033

 

600

 

600

Stonepeak Nile Parent LLC
7.250% due 03/15/2032

 

500

 

510

Thames Water Utilities Finance PLC

 

 

 

 

1.250% due 01/31/2032

EUR

2,100

 

1,652

2.625% due 01/24/2032

GBP

1,430

 

1,348

4.375% due 01/18/2031

EUR

3,900

 

3,121

Thames Water Utilities Ltd.
0.000% due 03/22/2027 (f)

GBP

49

 

51

Transocean, Inc.
8.000% due 02/01/2027 (i)

$

4,500

 

4,486

Ubisoft Entertainment SA
0.878% due 11/24/2027

EUR

4,100

 

4,014

UKG, Inc.
6.875% due 02/01/2031 (i)

$

4,000

 

4,061

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

 

3,350

 

3,356

Valvoline, Inc.
3.625% due 06/15/2031

 

4,200

 

3,654

Vmed O2 U.K. Financing PLC
7.750% due 04/15/2032 (i)

 

7,600

 

7,628

Waste Pro USA, Inc.
7.000% due 02/01/2033

 

400

 

402

Weatherford International Ltd.
8.625% due 04/30/2030 (i)

 

3,000

 

3,048

 

 

 

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

March 31, 2025 (Unaudited)

 

Yorkshire Water Finance PLC
5.250% due 04/28/2030

GBP

2,000

 

2,536

 

 

 

 

178,429

UTILITIES 2.4%

 

 

 

 

Aethon United BR LP
7.500% due 10/01/2029 (i)

$

5,000

 

5,089

Anglian Water Services Financing PLC
6.625% due 01/15/2029 þ

GBP

2,000

 

2,666

Edison International
6.250% due 03/15/2030

$

600

 

608

Mong Duong Finance Holdings BV
5.125% due 05/07/2029

 

2,516

 

2,440

Northumbrian Water Finance PLC
4.500% due 02/14/2031

GBP

2,000

 

2,432

PacifiCorp
7.375% due 09/15/2055 ~

$

3,500

 

3,554

WEC Energy Group, Inc.
0.000% due 06/15/2055 «(h)

 

8,000

 

7,901

Yinson Production Financial Services Pte. Ltd.
9.625% due 05/03/2029

 

3,000

 

3,139

 

 

 

 

27,829

Total Corporate Bonds & Notes (Cost $250,899)

 

 

 

251,977

MUNICIPAL BONDS & NOTES 0.0%

 

 

 

 

MICHIGAN 0.0%

 

 

 

 

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

 

500

 

400

Total Municipal Bonds & Notes (Cost $399)

 

 

 

400

U.S. GOVERNMENT AGENCIES 2.2%

 

 

 

 

Freddie Mac

 

 

 

 

0.000% due 08/25/2056 (b)(f)

 

3,188

 

498

0.075% due 08/25/2056 •(a)

 

127,935

 

421

0.737% due 08/25/2056 ~(a)

 

33,053

 

4,001

3.120% due 10/25/2058 ~

 

17,375

 

7,251

3.780% due 05/25/2064 ~

 

10,444

 

5,144

3.904% due 05/25/2057 •

 

4,902

 

2,014

4.432% due 02/25/2059 ~

 

2,515

 

1,066

4.541% due 08/25/2059 •

 

10,221

 

4,680

5.517% due 05/25/2060 ~

 

592

 

310

Total U.S. Government Agencies (Cost $25,372)

 

 

 

25,385

NON-AGENCY MORTGAGE-BACKED SECURITIES 10.8%

 

 

 

 

AG Trust
6.335% due 07/15/2041 •

 

238

 

238

Angel Oak Mortgage Trust
4.800% due 11/25/2067 þ(i)

 

891

 

880

APS Resecuritization Trust
1.437% due 08/28/2054 ~

 

6,729

 

1,821

BDS Ltd.
5.582% due 10/21/2042 •

 

500

 

499

Bear Stearns ALT-A Trust
4.259% due 08/25/2036 ~

 

1,170

 

780

Bear Stearns Mortgage Funding Trust
4.795% due 10/25/2036 •(i)

 

14,135

 

12,511

BX Trust

 

 

 

 

7.037% due 05/15/2035 •(i)

 

5,000

 

4,993

7.359% due 01/17/2039 ~(i)

 

3,000

 

2,870

CIM Trust
5.400% due 04/25/2062 •

 

286

 

282

Citigroup Mortgage Loan Trust
3.000% due 09/25/2064 ~(i)

 

19,700

 

17,661

Colony Mortgage Capital Ltd.

 

 

 

 

6.157% due 11/15/2038 ~

 

3,115

 

3,014

7.400% due 11/15/2038 ~

 

2,500

 

2,253

Countrywide Alternative Loan Trust

 

 

 

 

5.535% due 02/25/2036 •

 

1,515

 

1,185

6.000% due 07/25/2037

 

987

 

593

Credit Suisse Mortgage Capital Mortgage-Backed Trust

 

 

 

 

1.115% due 01/25/2060 ~(i)

 

2,622

 

2,205

3.778% due 11/10/2032 •

 

5,200

 

1,043

GCAT Trust
4.250% due 05/25/2067 •(i)

 

902

 

845

GS Mortgage Securities Corp. Trust
5.566% due 07/15/2035 •

 

998

 

779

GS Mortgage-Backed Securities Trust
3.750% due 10/25/2057 (i)

 

2,222

 

2,172

HarborView Mortgage Loan Trust
4.951% due 03/19/2036 ~(i)

 

19,614

 

13,123

 

 

 

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

March 31, 2025 (Unaudited)

 

JP Morgan Chase Commercial Mortgage Securities Trust

 

 

 

 

4.916% due 04/15/2037 •

 

976

 

958

5.966% due 11/15/2035 ~

 

5,000

 

4,436

6.316% due 11/15/2035 ~

 

5,000

 

3,410

7.617% due 02/15/2035 ~

 

987

 

950

MFA Trust
6.105% due 12/25/2068 þ(i)

 

726

 

730

Mill City Mortgage Loan Trust

 

 

 

 

3.250% due 08/25/2059 ~(i)

 

2,850

 

2,435

3.250% due 10/25/2069 ~(i)

 

8,315

 

8,075

3.750% due 05/25/2058 ~

 

2,596

 

2,270

Morgan Stanley Mortgage Loan Trust
6.731% due 08/25/2036 þ

 

2,583

 

454

Nomura Asset Acceptance Corp. Alternative Loan Trust
7.010% due 08/25/2036 þ

 

7,994

 

2,151

OBX Trust
6.465% due 10/25/2063 þ(i)

 

733

 

741

OPEN Trust
7.408% due 11/15/2040 •(i)

 

213

 

214

PRKCM Trust
7.225% due 11/25/2058 þ(i)

 

780

 

796

PRPM LLC
4.000% due 11/25/2053 þ(i)

 

387

 

381

PRPM Trust
6.221% due 11/25/2068 þ(i)

 

805

 

812

Residential Accredit Loans, Inc. Trust
6.000% due 09/25/2036

 

2,400

 

1,894

Residential Asset Securitization Trust

 

 

 

 

5.500% due 09/25/2035

 

5,448

 

2,515

6.000% due 04/25/2036

 

996

 

432

SMRT Commercial Mortgage Trust
5.320% due 01/15/2039 ~(i)

 

500

 

497

Towd Point Mortgage Trust

 

 

 

 

3.000% due 06/25/2058 ~(i)

 

1,687

 

1,584

3.500% due 03/25/2058 •(i)

 

13,500

 

12,988

4.107% due 04/25/2056 ~(i)

 

3,460

 

3,382

Verus Securitization Trust

 

 

 

 

6.259% due 12/25/2068 þ(i)

 

701

 

707

6.876% due 11/25/2068 •(i)

 

823

 

835

Total Non-Agency Mortgage-Backed Securities (Cost $124,789)

 

 

 

123,394

ASSET-BACKED SECURITIES 26.9%

 

 

 

 

CMBS OTHER 0.9%

 

 

 

 

MF1 LLC

 

 

 

 

5.632% due 02/18/2040 •

 

500

 

499

6.054% due 03/19/2039 •(i)

 

9,000

 

9,016

PFP Ltd.
6.154% due 09/17/2039 ~(i)

 

488

 

491

 

 

 

 

10,006

HOME EQUITY OTHER 23.3%

 

 

 

 

Aames Mortgage Investment Trust
7.135% due 01/25/2035 ~(i)

 

3,500

 

2,663

ACE Securities Corp. Home Equity Loan Trust

 

 

 

 

4.735% due 07/25/2037 •

 

2,116

 

675

4.835% due 12/25/2036 •(i)

 

17,344

 

4,421

5.195% due 03/25/2037 ~

 

1,560

 

628

Bear Stearns Asset-Backed Securities Trust

 

 

 

 

4.705% due 01/25/2037 ~(i)

 

22,785

 

21,478

4.945% due 10/25/2036 •(i)

 

3,264

 

3,109

5.200% due 09/25/2035 •(i)

 

18,687

 

17,889

Centex Home Equity Loan Trust

 

 

 

 

4.990% due 06/25/2036 ~(i)

 

17,000

 

14,915

5.365% due 09/25/2034 •

 

440

 

434

CIT Mortgage Loan Trust
7.060% due 10/25/2037 •(i)

 

71,686

 

69,782

Citigroup Mortgage Loan Trust Asset-Backed Pass-Through Certificates
6.055% due 10/25/2034 ~

 

1,894

 

1,457

Countrywide Asset-Backed Certificates Trust

 

 

 

 

3.555% due 04/25/2036 ~(i)

 

7,200

 

5,875

5.993% due 02/25/2036 þ

 

574

 

556

Credit-Based Asset Servicing & Securitization LLC

 

 

 

 

2.831% due 01/25/2036 þ

 

19

 

16

4.715% due 10/25/2036 •(i)

 

7,306

 

6,617

GSAA Home Equity Trust

 

 

 

 

4.261% due 03/25/2036 ~(i)

 

4,905

 

2,941

4.515% due 03/25/2037 •

 

8,486

 

1,569

4.795% due 12/25/2046 ~(i)

 

12,721

 

3,725

4.895% due 12/25/2046 ~

 

2,206

 

865

4.915% due 10/25/2036 ~(i)

 

12,764

 

4,175

5.055% due 12/25/2035 ~(i)

 

4,363

 

4,236

5.155% due 12/25/2035 ~

 

734

 

663

 

 

 

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

March 31, 2025 (Unaudited)

 

GSAMP Trust

 

 

 

 

4.755% due 04/25/2036 ~(i)

 

13,122

 

9,708

5.005% due 02/25/2036 ~(i)

 

9,041

 

9,075

6.235% due 06/25/2035 ~

 

1,967

 

1,913

Home Equity Asset Trust
4.915% due 08/25/2036 ~(i)

 

3,399

 

3,346

HSI Asset Securitization Corp. Trust
4.635% due 04/25/2037 ~

 

109

 

71

JP Morgan Mortgage Acquisition Corp.

 

 

 

 

4.695% due 12/25/2036 ~(i)

 

5,169

 

3,229

4.795% due 08/25/2036 ~

 

3,470

 

2,246

5.537% due 10/25/2036 þ

 

2,009

 

1,213

5.830% due 07/25/2036 ~(i)

 

5,000

 

4,260

6.080% due 08/25/2036 þ

 

1,174

 

700

Long Beach Mortgage Loan Trust

 

 

 

 

4.935% due 07/25/2036 ~

 

1,646

 

634

5.085% due 09/25/2034 ~

 

1,094

 

1,065

Merrill Lynch Mortgage Investors Trust
6.310% due 04/25/2035 ~(i)

 

1,379

 

1,325

Morgan Stanley ABS Capital, Inc. Trust

 

 

 

 

4.555% due 09/25/2036 ~

 

780

 

270

6.310% due 11/25/2034 ~

 

1,741

 

1,529

New Century Home Equity Loan Trust
5.515% due 01/25/2034 ~

 

473

 

472

NovaStar Mortgage Funding Trust
4.935% due 09/25/2036 ~

 

4,832

 

1,900

Park Place Securities, Inc. Asset-Backed Pass-Through Certificates

 

 

 

 

5.395% due 08/25/2035 ~(i)

 

5,619

 

4,702

6.385% due 02/25/2035 ~

 

670

 

555

Popular ABS Mortgage Pass-Through Trust
4.715% due 01/25/2037 ~(i)

 

11,270

 

9,234

Renaissance Home Equity Loan Trust
5.195% due 05/25/2034 •

 

1,257

 

1,163

Residential Asset Securities Corp. Trust

 

 

 

 

4.735% due 09/25/2036 •(i)

 

8,650

 

7,923

5.230% due 02/25/2036 ~(i)

 

4,100

 

3,334

5.560% due 07/25/2035 •

 

2,342

 

2,340

Saxon Asset Securities Trust
5.335% due 12/26/2034 ~

 

1,456

 

1,410

Securitized Asset-Backed Receivables LLC Trust
4.875% due 04/25/2037 ~

 

1,532

 

1,021

Soundview Home Loan Trust

 

 

 

 

4.615% due 08/25/2037 ~

 

1,804

 

1,768

4.915% due 11/25/2036 ~

 

7,298

 

2,006

4.935% due 11/25/2036 •

 

266

 

250

5.385% due 10/25/2037 ~(i)

 

6,368

 

4,866

Structured Asset Securities Corp. Mortgage Loan Trust

 

 

 

 

5.140% due 02/25/2035 ~

 

1,117

 

1,049

6.235% due 05/25/2035 ~

 

1,004

 

830

6.685% due 04/25/2031 •(i)

 

2,772

 

2,774

7.810% due 11/25/2035 ~(i)

 

8,316

 

7,637

Wells Fargo Home Equity Asset-Backed Securities Trust
8.935% due 10/25/2034 •

 

1,707

 

1,757

 

 

 

 

266,264

HOME EQUITY SEQUENTIAL 0.3%

 

 

 

 

Structured Asset Securities Corp. Mortgage Loan Trust
4.755% due 10/25/2036 ~(i)

 

3,868

 

3,346

WHOLE LOAN COLLATERAL 1.0%

 

 

 

 

First Franklin Mortgage Loan Trust

 

 

 

 

4.675% due 10/25/2036 ~(i)

 

11,341

 

7,357

4.915% due 05/25/2036 •

 

1,500

 

1,284

6.237% due 10/25/2033 •

 

2,391

 

2,359

6.760% due 05/25/2034 ~

 

196

 

173

Residential Asset Mortgage Products Trust
5.035% due 03/25/2036 •

 

302

 

298

 

 

 

 

11,471

OTHER ABS 1.4%

 

 

 

 

ABSLT DE LLC
0.000% due 05/20/2033 «~

 

2,900

 

2,895

Apex Credit CLO Ltd.
0.000% due 10/20/2034 ~

 

5,100

 

2,752

College Avenue Student Loans LLC

 

 

 

 

0.000% due 06/25/2054 «(f)

 

5

 

2,654

6.610% due 06/25/2054 «

 

626

 

633

8.660% due 06/25/2054 «

 

902

 

937

Dryden Senior Loan Fund
1.000% due 04/15/2038 «~(c)

 

3,000

 

2,685

 

 

 

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

March 31, 2025 (Unaudited)

 

Residential Asset Mortgage Products Trust
6.238% due 01/25/2034 ~(i)

 

3,631

 

3,715

 

 

 

 

16,271

Total Asset-Backed Securities (Cost $305,799)

 

 

 

307,358

SOVEREIGN ISSUES 1.1%

 

 

 

 

Avenir Issuer Ireland DAC
6.000% due 10/25/2027

 

2,200

 

2,078

Colombia Government International Bond

 

 

 

 

8.000% due 11/14/2035

 

1,900

 

1,913

8.750% due 11/14/2053

 

2,500

 

2,489

Romania Government International Bond

 

 

 

 

5.375% due 03/22/2031 (i)

EUR

2,500

 

2,680

5.625% due 02/22/2036 (i)

 

2,500

 

2,503

Turkey Government International Bond

 

 

 

 

45.031% due 05/20/2026 ~

TRY

46,200

 

1,221

45.031% due 05/17/2028 ~

 

4,500

 

112

Total Sovereign Issues (Cost $13,617)

 

 

 

12,996

 

 

SHARES

 

 

COMMON STOCKS 20.9%

 

 

 

 

ENERGY 20.8%

 

 

 

 

Enbridge, Inc.

 

908,600

 

40,213

Hess Midstream LP 'A' (g)

 

408,570

 

17,278

New Fortress Energy, Inc. «(d)

 

18,327

 

143

TC Energy Corp.

 

486,900

 

22,994

Venture Global Holdings 'A' «(h)

 

15,699,112

 

157,012

 

 

 

 

237,640

FINANCIALS 0.1%

 

 

 

 

Intelsat Emergence SA «(h)

 

21,303

 

718

Total Common Stocks (Cost $95,874)

 

 

 

238,358

MASTER LIMITED PARTNERSHIPS 19.8%

 

 

 

 

ENERGY 19.8%

 

 

 

 

Energy Transfer LP

 

3,648,999

 

67,835

Enterprise Products Partners LP

 

1,657,387

 

56,583

MPLX LP (j)

 

1,166,800

 

62,447

Plains All American Pipeline LP (j)

 

450,030

 

9,001

Western Midstream Partners LP (j)

 

313,878

 

12,856

Sunoco LP (j)

 

286,300

 

16,623

Total Master Limited Partnerships (Cost $161,870)

 

 

 

225,345

 

 

PRINCIPAL
AMOUNT
(000s)

 

 

SHORT-TERM INSTRUMENTS 0.5%

 

 

 

 

U.S. TREASURY BILLS 0.5%

 

 

 

 

4.292% due 04/17/2025 - 06/26/2025 (e)(f)(j)(m)

$

5,192

 

5,156

Total Short-Term Instruments (Cost $5,157)

 

 

 

5,156

Total Investments in Securities (Cost $1,236,839)

 

 

 

1,438,463

 

 

SHARES

 

 

INVESTMENTS IN AFFILIATES 9.1%

 

 

 

 

SHORT-TERM INSTRUMENTS 9.1%

 

 

 

 

CENTRAL FUNDS USED FOR CASH MANAGEMENT PURPOSES 9.1%

 

 

 

 

PIMCO Short-Term Floating NAV Portfolio III

 

10,671,242

 

103,874

Total Short-Term Instruments (Cost $103,848)

 

 

 

103,874

Total Investments in Affiliates (Cost $103,848)

 

 

 

103,874

Total Investments 135.2% (Cost $1,340,687)

 

 

$

1,542,337

Financial Derivative Instruments (k)(l) 0.2%(Cost or Premiums, net $(1))

 

 

 

2,143

 

 

 

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

March 31, 2025 (Unaudited)

 

Other Assets and Liabilities, net (35.4)%

 

 

 

(404,006)

Net Assets Applicable to Common Shareholders 100.0%

 

 

$

1,140,474

 

 

 

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

March 31, 2025 (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).

µ

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

~

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

•

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

þ

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

(a)

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

(b)

Principal only security.

(c)

When-issued security.

(d)

Security did not produce income within the last twelve months.

(e)

Coupon represents a weighted average yield to maturity.

(f)

Zero coupon security.

(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 Applicable to Common Shareholders

Intelsat Emergence SA

 

 

02/05/2020 - 02/23/2024

$

1,699

$

717

0.06

%

Strategic Credit Opportunities Partners 0.000% due 03/20/2030

 

 

02/20/2025

 

300

 

305

0.03

 

Venture Global Holdings Cls 'A'

 

 

06/27/2019 - 09/07/2022

 

22,361

 

157,011

13.77

 

WEC Energy Group, Inc.0.000% due 06/15/2055

 

 

12/13/2024

 

8,000

 

7,901

0.69

 

 

 

 

 

$

32,360

$

165,934

14.55% 

BORROWINGS AND OTHER FINANCING TRANSACTIONS

REVERSE REPURCHASE AGREEMENTS:

Counterparty

Borrowing Rate(1)

Settlement Date

Maturity Date

 

Amount
Borrowed(1)

 

Payable for
Reverse
Repurchase
Agreements

BYR

4.860%

02/13/2025

05/14/2025

$

(8,324)

$

(8,377)

 

4.860

02/18/2025

05/19/2025

 

(8,081)

 

(8,126)

 

4.860

02/21/2025

05/19/2025

 

(2,972)

 

(2,988)

 

4.880

01/09/2025

04/09/2025

 

(2,636)

 

(2,665)

CEW

4.900

03/10/2025

06/09/2025

 

(23,913)

 

(23,985)

DBL

4.650

03/24/2025

TBD(2)

 

(17,215)

 

(17,232)

DEU

4.650

02/03/2025

05/05/2025

 

(3,914)

 

(3,943)

 

4.800

02/03/2025

05/05/2025

 

(16,031)

 

(16,152)

 

4.800

02/10/2025

04/10/2025

 

(13,581)

 

(13,672)

 

4.800

02/13/2025

04/10/2025

 

(2,281)

 

(2,296)

IND

4.770

03/17/2025

06/17/2025

 

(4,018)

 

(4,026)

 

4.860

03/26/2025

07/25/2025

 

(1,781)

 

(1,782)

 

4.930

03/25/2025

06/25/2025

 

(18,436)

 

(18,454)

 

4.970

03/11/2025

06/11/2025

 

(995)

 

(998)

 

5.010

03/11/2025

06/11/2025

 

(1,140)

 

(1,143)

MBC

2.767

01/13/2025

04/14/2025

EUR

(4,632)

 

(5,041)

MSB

5.310

03/21/2025

09/17/2025

$

(49,908)

 

(49,988)

 

5.410

01/13/2025

07/14/2025

 

(21,743)

 

(21,997)

MSC

5.410

01/13/2025

07/14/2025

 

(6,756)

 

(6,835)

RTA

5.375

02/26/2025

08/26/2025

 

(27,317)

 

(27,456)

 

5.400

01/10/2025

07/10/2025

 

(23,914)

 

(24,203)

SOG

4.810

01/08/2025

04/08/2025

 

(10,404)

 

(10,519)

 

4.830

03/18/2025

06/18/2025

 

(17,049)

 

(17,081)

 

5.410

01/10/2025

07/10/2025

 

(19,696)

 

(19,934)

 

5.410

03/21/2025

09/19/2025

 

(54,457)

 

(54,546)

TDM

2.500

12/20/2024

TBD(2)

 

(3,102)

 

(3,125)

WFS

4.910

03/24/2025

05/23/2025

 

(15,753)

 

(15,770)

 

 

 

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

March 31, 2025 (Unaudited)

 

 

4.960

03/24/2025

05/23/2025

 

(1,977)

 

(1,979)

Total Reverse Repurchase Agreements

 

 

 

 

 

$

(384,313)

SHORT SALES:

Counterparty

Description

 

 

 

Shares

 

Proceeds

 

Payable for
Short Sales

GSC

Common Stocks (4.2)%

 

Cheniere Energy, Inc.

 

 

 

37,400

$

(8,793)

$

(8,654)

 

DTE Midstream LLC

 

 

 

57,500

 

(6,167)

 

(5,576)

 

EQT Corp.

 

 

 

107,800

 

(5,826)

 

(5,760)

 

Targa Resources Corp.

 

 

 

28,500

 

(5,948)

 

(5,713)

 

GE Vernova, Inc.

 

 

 

17,000

 

(6,532)

 

(5,190)

 

Broadcom, Inc.

 

 

 

30,300

 

(6,614)

 

(5,083)

 

TransAlta Corp.

 

 

 

590,400

 

(6,880)

 

(5,532)

 

Sempra

 

 

 

81,700

 

(6,291)

 

(5,859)

 

Total Short Sales (4.2)%

 

 

 

 

$

(53,051)

$

(47,367)

 

 

(i)

Securities with an aggregate market value of $469,577 and cash of $1,187 have been pledged as collateral under the terms of master agreements as of March 31, 2025.

(j)

Securities with an aggregate market value of $29,745 and cash of $53,069 have been pledged as collateral as of March 31, 2025 for equity short sales and equity options as governed by prime brokerage agreements and agreements governing listed equity option transactions.

(1)

The average amount of borrowings outstanding during the period ended March 31, 2025 was $(324,440) at a weighted average interest rate of 5.327%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.

(2)

Open maturity reverse repurchase agreement.

(k)

FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED

FUTURES CONTRACTS:

LONG FUTURES CONTRACTS

 

Variation Margin(1)

Description

 

 

 

Expiration
Month

 

# of
Contracts

 

Notional
Amount

 

 

Unrealized
Appreciation/
(Depreciation)

 

Asset

 

Liability

California Carbon Allowance December Futures

12/2025

 

728

$

22,415

 

$

(4,279)

$

0

$

(80)

California Carbon Allowance Vintage December Futures

12/2026

 

556

 

18,215

 

 

83

 

2

 

(59)

Total Futures Contracts

 

$

(4,196)

$

2

$

(139)

SWAP AGREEMENTS:

INTEREST RATE SWAPS

 

Variation Margin

Pay/
Receive
Floating Rate

Floating Rate Index

Fixed Rate

Payment
Frequency

Maturity
Date

 

Notional
Amount

 

Premiums
Paid/
(Received)

 

Unrealized
Appreciation/
(Depreciation)

 

Market
Value

 

Asset

 

Liability

Pay

1-Day USD-SOFR Compounded-OIS

3.750%

Annual

06/20/2034

$

100

$

(1)

$

0

$

(1)

$

0

$

0

Total Swap Agreements

$

(1)

$

0

$

(1)

$

0

$

0

Cash of $3,560 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of March 31, 2025.

(1)

Unsettled variation margin liability of $(5) for closed futures 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

04/2025

CAD

13,976

$

9,767

$

54

$

0

 

04/2025

JPY

38,872

 

264

 

5

 

0

 

05/2025

HKD

31,008

 

3,991

 

1

 

0

BPS

04/2025

EUR

31,681

 

33,267

 

0

 

(990)

 

04/2025

$

2,086

EUR

1,990

 

65

 

0

 

04/2025

 

51

JPY

7,649

 

0

 

0

 

05/2025

JPY

7,623

$

51

 

0

 

0

 

05/2025

$

1,796

EUR

1,665

 

7

 

0

BRC

04/2025

GBP

1,401

$

1,813

 

3

 

0

 

04/2025

TRY

48,905

 

1,244

 

0

 

(14)

 

04/2025

$

10,469

TRY

404,428

 

0

 

(133)

 

05/2025

TRY

19,905

$

505

 

3

 

(1)

 

05/2025

$

410

TRY

16,090

 

0

 

(10)

 

06/2025

TRY

65,595

$

1,562

 

1

 

(3)

 

 

 

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

March 31, 2025 (Unaudited)

 

 

06/2025

$

12,847

TRY

520,617

 

0

 

(448)

BSH

04/2025

 

121

JPY

18,094

 

0

 

0

 

05/2025

JPY

18,033

$

120

 

0

 

0

CBK

04/2025

DKK

8,165

 

1,149

 

0

 

(34)

 

04/2025

EUR

724

 

793

 

10

 

0

 

04/2025

$

48,771

CAD

69,472

 

0

 

(493)

 

05/2025

CAD

69,370

$

48,771

 

493

 

0

DUB

04/2025

 

65

 

45

 

0

 

0

 

04/2025

GBP

3,865

 

5,002

 

10

 

0

 

04/2025

$

3,584

DKK

24,832

 

15

 

0

 

05/2025

DKK

24,786

$

3,584

 

0

 

(15)

FAR

04/2025

 

12,970

 

1,828

 

0

 

(52)

 

04/2025

$

2,048

EUR

1,949

 

60

 

0

GLM

04/2025

BRL

52,574

$

9,156

 

0

 

(57)

 

04/2025

TRY

3,189

 

79

 

0

 

(2)

 

04/2025

$

9,175

BRL

52,574

 

38

 

0

JPM

04/2025

BRL

52,758

$

9,049

 

0

 

(196)

 

04/2025

CAD

363

 

254

 

2

 

0

 

04/2025

EUR

2,148

 

2,317

 

0

 

(5)

 

04/2025

TRY

6,148

 

153

 

0

 

(5)

 

04/2025

$

9,188

BRL

52,758

 

58

 

0

 

04/2025

 

6,955

CAD

9,970

 

0

 

(27)

 

04/2025

 

33,364

EUR

30,933

 

84

 

0

 

04/2025

 

70

JPY

10,581

 

0

 

0

 

05/2025

EUR

30,933

$

33,419

 

0

 

(83)

 

05/2025

JPY

10,546

 

70

 

0

 

(1)

 

05/2025

$

2,158

EUR

1,997

 

5

 

0

 

05/2025

 

9

TRY

341

 

0

 

0

 

06/2025

 

9,049

BRL

53,429

 

195

 

0

 

06/2025

 

8,659

MXN

178,691

 

0

 

(16)

 

06/2025

 

205

TRY

8,118

 

0

 

(7)

MBC

04/2025

EUR

43

$

45

 

0

 

(2)

 

04/2025

$

16

CAD

23

 

0

 

0

 

04/2025

 

192

DKK

1,323

 

0

 

0

 

05/2025

CAD

23

$

16

 

0

 

0

 

05/2025

DKK

1,320

 

192

 

0

 

0

 

05/2025

JPY

2,543

 

17

 

0

 

0

MYI

04/2025

CAD

65,060

 

45,705

 

492

 

0

 

04/2025

DKK

5,022

 

701

 

0

 

(27)

 

04/2025

GBP

14,945

 

18,937

 

0

 

(368)

RYL

05/2025

CAD

7,256

 

5,081

 

32

 

0

SCX

05/2025

$

299

EUR

276

 

0

 

0

SSB

04/2025

 

26,137

GBP

20,211

 

0

 

(29)

 

05/2025

GBP

20,211

$

26,134

 

29

 

0

Total Forward Foreign Currency Contracts

$

1,662

$

(3,018)

SWAP AGREEMENTS:

TOTAL RETURN SWAPS ON INDEXES

 

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

FAR

Receive

AMZX Index

8,706

5.080% (FEDL01 plus a specified spread)

Maturity

02/04/2026

$

21,111

$

0

$

1,647

$

1,647

$

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

4.930% (FEDL01 plus a specified spread)

Monthly

11/05/2025

$

3,400

$

0

$

(13)

$

0

$

(13)

FAR

Receive

Plains All American Pipeline LP

706,000

4.930% (FEDL01 plus a specified spread)

Maturity

11/05/2025

 

12,306

 

0

 

1,834

 

1,834

 

0

 

Receive

Western Gas Partners LP

410,000

4.930% (FEDL01 plus a specified spread)

Maturity

11/05/2025

 

15,797

 

0

 

1,036

 

1,036

 

0

GST

Receive

Energy Tranfer LP

938,239

4.940% (FEDL01 plus a specified spread)

Maturity

04/15/2026

 

17,770

 

0

 

(358)

 

0

 

(358)

 

Receive

Enterprise product partners LP

398,000

4.970%

Maturity

04/15/2026

 

13,532

 

0

 

34

 

34

 

0

 

Receive

Mplx LP

399,000

4.970%

Maturity

04/15/2026

 

21,686

 

0

 

(367)

 

0

 

(367)

 

 

 

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

March 31, 2025 (Unaudited)

 

 

Receive

Plains All American Pipeline LP

274,000

4.970%

Maturity

04/15/2026

 

5,532

 

0

 

(61)

 

0

 

(61)

 

Receive

Western Gas Partners LP

117,425

4.970%

Maturity

04/15/2026

 

4,913

 

0

 

(111)

 

0

 

(111)

 

 

 

 

 

 

 

 

$

0

$

1,994

$

2,904

$

(910)

Total Swap Agreements

$

0

$

3,641

$

4,551

$

(910)

(m)

Securities with an aggregate market value of $2,277 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of March 31, 2025.

(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 March 31, 2025 in valuing the Fund's assets and liabilities:

 

Category and Subcategory

Level 1

Level 2

Level 3

Fair Value
at 03/31/2025

Investments in Securities, at Value

Loan Participations and Assignments

$

0

$

201,629

 

$

46,465

$

248,094

 

Corporate Bonds & Notes

 

Banking & Finance

 

0

 

45,414

 

305

 

45,719

 

 

Industrials

 

0

 

172,432

 

5,997

 

178,429

 

 

Utilities

 

0

 

19,928

 

7,901

 

27,829

 

Municipal Bonds & Notes

 

Michigan

 

0

 

400

 

0

 

400

 

U.S. Government Agencies

 

0

 

25,385

 

0

 

25,385

 

Non-Agency Mortgage-Backed Securities

 

0

 

123,394

 

0

 

123,394

 

Asset-Backed Securities

 

CMBS Other

 

0

 

10,006

 

0

 

10,006

 

 

Home Equity Other

 

0

 

266,264

 

0

 

266,264

 

 

Home Equity Sequential

 

0

 

3,346

 

0

 

3,346

 

 

Whole Loan Collateral

 

0

 

11,471

 

0

 

11,471

 

 

Other ABS

 

0

 

6,467

 

9,804

 

16,271

 

Sovereign Issues

 

0

 

12,996

 

0

 

12,996

 

Common Stocks

 

Energy

 

80,485

 

0

 

157,155

 

237,640

 

 

Financials

 

0

 

0

 

718

 

718

 

Master Limited Partnerships

 

Energy

 

225,345

 

0

 

0

 

225,345

 

Corporate Bonds & Notes

 

0

 

0

 

0

 

0

 

Loan Participations and Assignments

 

0

 

0

 

0

 

0

 

Short-Term Instruments

 

U.S. Treasury Bills

 

0

 

5,156

 

0

 

5,156

 

 

$

305,830

$

904,288

$

228,345

$

1,438,463

 

Investments in Affiliates, at Value

Short-Term Instruments

 

Central Funds Used for Cash Management Purposes

$

103,874

$

0

$

0

$

103,874

 

Total Investments

$

409,704

$

904,288

$

228,345

$

1,542,337

 

Short Sales, at Value - Liabilities

Common Stocks

 

(47,367)

 

0

 

0

 

(47,367)

 

 

$

(47,367)

$

0

$

0

$

(47,367)

 

Financial Derivative Instruments - Assets

Exchange-traded or centrally cleared

 

2

 

0

 

0

 

2

 

Over the counter

 

0

 

6,213

 

0

 

6,213

 

 

$

2

$

6,213

$

0

$

6,215

 

Financial Derivative Instruments - Liabilities

Exchange-traded or centrally cleared

 

(139)

 

0

 

0

 

(139)

 

Over the counter

 

0

 

(3,928)

 

0

 

(3,928)

 

 

$

(139)

$

(3,928)

$

0

$

(4,067)

 

Total Financial Derivative Instruments

$

(137)

$

2,285

$

0

$

2,148

 

Totals

$

362,200

$

906,573

$

228,345

$

1,497,118

 

 

 

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended March 31, 2025:

Category and Subcategory

Beginning
Balance
at 06/30/2024

Net
Purchases

Net
Sales/Settlements

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 03/31/2025

Net Change in
Unrealized
Appreciation/
(Depreciation)
on Investments
Held at
03/31/2025 (1)

Investments in Securities, at Value

 

 

 

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

March 31, 2025 (Unaudited)

 

 

Loan Participations and Assignments

$

23,053

$

33,381

$

(4,707)

$

86

$

107

$

183

$

2,551

$

(8,189)

$

46,465

$

305

Corporate Bonds & Notes

 

Banking & Finance

 

0

 

300

 

0

 

0

 

0

 

5

 

0

 

0

 

305

 

5

 

Industrials

 

0

 

2,591

 

0

 

0

 

0

 

(10)

 

3,416

 

0

 

5,997

 

(10)

 

Utilities

 

0

 

8,000

 

0

 

0

 

0

 

(99)

 

0

 

0

 

7,901

 

(99)

Asset-Backed Securities

 

 

Home Equity Other

 

74

 

0

 

(6)

 

1

 

3

 

(1)

 

0

 

(71)

 

0

 

0

Other ABS

 

2,127

 

5,610

 

0

 

(1)

 

0

 

498

 

1,570

 

0

 

9,804

 

498

Common Stocks

 

Energy

 

212,794

 

0

 

0

 

0

 

0

 

(55,639)

 

0

 

0

 

157,155

 

(55,640)

 

Financials

 

792

 

0

 

0

 

0

 

0

 

(74)

 

0

 

0

 

718

 

(75)

Totals

$

238,840

$

49,882

$

(4,713)

$

86

$

110

$

(55,137)

$

7,537

$

(8,260)

$

228,345

$

(55,016)


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

 

(% Unless Noted Otherwise)

 

Category and Subcategory

Ending
Balance
at 03/31/2025

Valuation Technique

Unobservable Inputs

 

Input Value(s)

Weighted Average

Investments in Securities, at Value

Loan Participations and Assignments

$

17,941

Discounted Cash Flow

Discount Rate

 

7.360 - 9.500

8.448

 

 

9,275

Indicative Market Quotation

Broker Quote

 

74.500 - 100.500

91.931

 

 

7,865

Recent Transaction

Purchase Price

 

98.000 - 98.750

98.251

 

 

11,384

Third Party Vendor

Broker Quote

 

99.625 - 116.500

103.993

Corporate Bonds & Notes

 

Banking & Finance

 

305

Proxy pricing

Base Price

 

100.000

—

 

Industrials

 

3,416

Indicative Market Quotation

Broker Quote

 

60.000 - 82.000

80.068

 

 

 

2,581

Proxy pricing

Base Price

 

98.000

—

 

Utilities

 

7,901

Discounted Cash Flow

Discount Rate

 

7.310

—

Asset-Backed Securities

Other ABS

 

7,119

Discounted Cash Flow

Discount Rate

 

6.456 - 11.000

9.689

 

 

2,685

Recent Transaction

Purchase Price

 

89.500

—

Common Stocks

 

Energy

 

143

Reference Instrument

Stock Price w/Liquidity Discount

 

6.000

—

 

 

 

157,012

Reference Instrument

Stock Price w/Liquidity Discount

$/
%

10.300/2.900

—

 

Financials

 

718

Comparable Companies

EBITDA Multiple

X

4.660

—

Total

$

228,345

(1)

Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at March 31, 2025 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 Cayman Subsidiary, NRGX SPV I LLC and NRGX SPV II LLC (each a “Subsidiary” and, collectively, the “Subsidiaries”), each a Delaware limited liability company, were formed as wholly owned subsidiaries acting as investment vehicles for the PIMCO Dynamic Income Strategy Fund (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. These structures were established so that certain investments could be held by separate legal entities from the Fund. See the table below for details regarding the structure, incorporation and relationship of each Subsidiary as of period end.

 

Subsidiary

 

Date of Formation

Subsidiary % of Consolidated Fund Net Assets†

Cayman Commodity Fund IX, Ltd

 

12/14/2018

0.5%

NRGX SPV I LLC

 

11/07/2022

0.0%

NRGX SPV II LLC

 

11/07/2022

0.0%

† A zero balance may reflect actual amounts rounding to less than 0.01%.

 

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 portfolio investments. The Valuation Designee may value Fund portfolio securities for which market quotations are not readily available and other Fund assets utilizing inputs from pricing services, quotation reporting systems, valuation agents and other third-party sources (together, “Pricing Sources”).

 

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

 

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

 

Investments valued in currencies other than the U.S. dollar are converted to the U.S. dollar using exchange rates obtained from Pricing Sources. As a result, the value of such investments and, in turn, the NAV of the Fund's shares may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of investments traded in

 

Notes to Financial Statements (Cont.)

 

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.

 

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

 

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

 

Notes to Financial Statements (Cont.)

 

markets for investments. Securities using these valuation adjustments are categorized as Level 2 of the fair value hierarchy. Preferred securities and other equities traded on inactive markets or valued by reference to similar instruments are also categorized as Level 2 of the fair value hierarchy.

 

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

 

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

 

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

 

Proxy pricing procedures set the base price of a fixed income security and subsequently adjust the price proportionally to market value changes of a pre-determined security deemed to be comparable in duration, generally a U.S. Treasury or sovereign note based on country of issuance. The base price may be a broker-dealer quote, transaction price or an internal value as derived by analysis of market data. The base price of the security may be reset on a periodic basis based on the availability of market data and procedures approved by the Valuation Oversight Committee. Significant changes in the unobservable inputs of the proxy pricing process (the base price) 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.

 

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

 

Reference instrument valuation estimates fair value by utilizing the correlation of the security to one or more broad-based securities, market indexes and/or other financial instruments, whose pricing information is readily available. Unobservable inputs may include those used in algorithms based on percentage change in the reference instruments and/or weights of each reference instrument. 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 2 or Level 3 of the fair value hierarchy depending on the source or input of the reference instrument.

 

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

 

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

 

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

 

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

 

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

 

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 March 31, 2025, 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.

Notes to Financial Statements (Cont.)

 

 

4. INVESTMENTS IN AFFILIATES

The Fund may invest in the PIMCO Short Asset Portfolio and the PIMCO Short-Term Floating NAV Portfolio III ("Central Funds") to the extent permitted by the Act, rules thereunder or exemptive relief therefrom. The Central Funds are registered investment companies created for use solely by the series of the Trust and other series of registered investment companies advised by the Adviser, in connection with their cash management activities. The main investments of the Central Funds are money market and short maturity fixed income instruments. The Central Funds may incur expenses related to their investment activities, but do not pay Investment Advisory Fees or Supervisory and Administrative Fees to the Adviser. The Central Funds are considered to be affiliated with the Fund. A copy of each affiliate fund’s shareholder report is available at the U.S Securities and Exchange Commission (“SEC”) website at www.sec.gov, on the Fund’s website at www.pimco.com, or upon request, as applicable. The table below shows the Fund's transactions in and earnings from investments in the affiliated funds for the period ended March 31, 2025 (amounts in thousands†):

Investment in PIMCO Short-Term Floating NAV Portfolio III

 

 

Market Value
06/30/2024

 

Purchases at
Cost

 

Proceeds from
Sales

 

Net
Realized
Gain (Loss)

 

Change in
Unrealized
Appreciation
(Depreciation)

 

Market Value
03/31/2025

 

Dividend
Income(1)

 

Realized Net
Capital
Gain
Distributions(1)

$

107,084

$

733,362

$

(736,600)

$

22

$

6

$

103,874

$

3,091

$

0

 

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

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

 

 

 

​

Glossary: (abbreviations that may be used in the preceding statements)       (Unaudited)
                     
Counterparty Abbreviations:                
BOA   Bank of America N.A.   DUB   Deutsche Bank AG   MSC   Morgan Stanley & Co. LLC.
BPS   BNP Paribas S.A.   FAR   Wells Fargo Bank National Association   MYI   Morgan Stanley & Co. International PLC
BRC   Barclays Bank PLC   GLM   Goldman Sachs Bank USA   RTA   RBC (Barbados) Trading Bank Corp.
                     
BSH   Banco Santander S.A. - New York Branch   GSC   Goldman Sachs & Co. LLC   RYL   NatWest Markets Plc
BYR   The Bank of Nova Scotia - Toronto   GST   Goldman Sachs International   SCX   Standard Chartered Bank, London
CBK   Citibank N.A.   IND   Crédit Agricole Corporate and Investment Bank
S.A.		   SOG   Societe Generale Paris
CEW   Canadian Imperial Bank of Commerce World Markets   JPM   JP Morgan Chase Bank N.A.   SSB   State Street Bank and Trust Co.
DBL   Deutsche Bank AG London   MBC   HSBC Bank Plc   TDM   TD Securities (USA) LLC
DEU   Deutsche Bank Securities, Inc.   MSB   Morgan Stanley Bank, N.A   WFS   Wells Fargo Securities, LLC
                     
Currency Abbreviations:                
BRL   Brazilian Real   GBP   British Pound   MXN   Mexican Peso
CAD   Canadian Dollar   HKD   Hong Kong Dollar   TRY   Turkish New Lira
DKK   Danish Krone   JPY   Japanese Yen   USD (or $)   United States Dollar
EUR   Euro                
                     
Index/Spread Abbreviations:                
AMZX   Alerian MLP Total Return Index   EUR012M   12 Month EUR Swap Rate   SOFR   Secured Overnight Financing Rate
EUR003M   3 Month EUR Swap Rate   FEDL01   Federal funds effective rate        
                     
Other  Abbreviations:                
ABS   Asset-Backed Security   CMBS   Collateralized Mortgage-Backed Security   TBD   To-Be-Determined
ALT   Alternate Loan Trust   DAC   Designated Activity Company   TBD%   Interest rate to be determined when loan
settles or at the time of funding
CLO   Collateralized Loan Obligation   OIS   Overnight Index Swap