UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM N-CSR

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES

 

Investment Company Act file number

811-10555

 

PIMCO Corporate & Income Strategy Fund

(Exact name of registrant as specified in charter)

 

1633 Broadway, New York, New York

 

10019

(Address of principal executive offices)

 

(Zip code)

 

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

(Name and address of agent for service)

 

Registrant’s telephone number, including area code:

212-739-3371

 

 

Date of fiscal year end:

October 31, 2012

 

 

Date of reporting period:

April 30, 2012

 

 



 

ITEM 1. REPORT TO SHAREHOLDERS

 

 

April 30, 2012

 

 

PIMCO Corporate & Income Strategy Fund

PIMCO Income Opportunity Fund

 

 

 


 

Contents

 

Letter to Shareholders

2–3

 

 

Fund Insights

4–6

 

 

Performance & Statistics

7–8

 

 

Schedules of Investments

9–28

 

 

Statements of Assets and Liabilities

29

 

 

Statements of Operations

30

 

 

Statements of Changes in Net Assets

31–32

 

 

Statements of Cash Flows

33

 

 

Notes to Financial Statements

34–55

 

 

Financial Highlights

56–57

 

 

Annual Shareholder Meeting Results/Changes to Board of Trustees/Changes to Bylaws/Proxy Voting Policies & Procedures

58

 

 

A Note Regarding Matters Relating to the Trustees’ Consideration of the Investment Management & Portfolio Management Agreements

59

 

 

 

PIMCO Corporate & Income Strategy Fund

 

 

4.30.12 | 

PIMCO Income Opportunity Fund Semi-Annual Report

1

 

 


 

Dear Shareholder,

 

The U.S. economy expanded throughout the six-month reporting period ended April 30, 2012, although the growth rate slowed during the second half of the period. Corporate balance sheets remained quite healthy and stock markets reached multi-year highs despite the slowdown.

 

Hans W. Kertess

Chairman

 

Brian S. Shlissel

President & CEO

 

Six Months in Review

For the six-month period ended April 30, 2012:

 

 

·

PIMCO Corporate & Income Strategy Fund rose 13.53% on net asset value (“NAV”) and 12.38% on market price.

 

 

 

·

PIMCO Income Opportunity Fund rose 10.10% on NAV and 9.07% on market price.

 

 

 

The first half of the reporting period was encouraging, with gross domestic product (“GDP”), the value of goods and services produced in the country, the broadest measure of economic activity and the principal indicator of economic performance, expanding at an annual rate of 3.0%. This growth, the strongest in two years, eased to a 2.2% annual pace (preliminary estimate) during the first quarter of 2012.

Contributing to the GDP slowdown was a decline in government spending, which eased at the federal, state and local levels for the seventh consecutive quarter. The level of corporate spending also diminished.

In contrast, consumer spending rose despite increasing gasoline prices. Manufacturing, which represents approximately 10% of the U.S. economy, reported gains and the housing sector showed signs of improvement. The U.S. unemployment rate fell to 8.1%, the lowest level in three years.

 

 

The Federal Reserve (the “Fed”) maintained a cautious stance throughout the six-month reporting period. Chairman Ben Bernanke indicated that the Fed would maintain short-term interest rates in the 0.0% to 0.25% range through late 2014. He also revealed to Congress that the Fed has not ruled out further attempts to stimulate the economy.

 

The U.S. slowdown, combined with Europe’s deepening sovereign debt crisis and concern that China’s economy was cooling off, aided bond prices. The yield on the benchmark ten-year U.S. Treasury bond hovered around 2.00% for much of the six-month reporting period.

 

 

PIMCO Corporate & Income Strategy Fund

 

2

 

PIMCO Income Opportunity Fund Semi-Annual Report | 4.30.12

 

 


 

During the reporting period, there was healthy demand for higher-yielding corporate bonds.

 

Outlook

GDP growth of 2.2% during January-to-March 2012 is below the Fed’s forecast that economic growth for 2012 would be in the 2.5% to 2.9% range. The Fed has also warned of “significant downside risks to the economic outlook, including strains in global financial markets.” These strains were exemplified by the fiscal crisis in the European Union (“E.U.”), which appeared to worsen in the days immediately following the close of the six-month reporting period. Troubles on the continent cannot help but be felt on this side of the Atlantic since the U.S. economy is closely tied to that of the E.U.

 

 

There is also considerable uncertainty in this presidential election year regarding future levels of federal taxes and spending, as a series of tax cuts are set to expire on December 31, 2012 and major spending reductions are planned to begin in January 2013. The prospect of higher taxes, reduced spending, or both, would almost certainly negatively impact the economy in 2013.

 

 

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

 

 

For specific information on the Funds and their performance, please review the following pages. If you have any questions regarding the information provided, we encourage you to contact your financial advisor or call the Funds’ shareholder servicing agent at (800) 254-5197. In addition, a wide range of information and resources is available on our website, www.allianzinvestors.com/closedendfunds.

 

Together with Allianz Global Investors Fund Management LLC, the Funds’ investment manager, and Pacific Investment Management Company LLC (“PIMCO”), the Funds’ sub-adviser, we thank you for investing with us.

 

We remain dedicated to serving your investment needs.

 

Sincerely,

 

 

 

 

 

 

 

 

Hans W. Kertess

 

Brian S. Shlissel

Chairman

 

President & Chief Executive Officer

 

 

 

PIMCO Corporate & Income Strategy Fund

 

 

4.30.12 | 

PIMCO Income Opportunity Fund Semi-Annual Report

3

 

 


 

PIMCO Corporate & Income Strategy Fund/PIMCO Income Opportunity Fund Fund Insights

April 30, 2012 (unaudited)

 

For the six months ended April 30, 2012, PIMCO Corporate & Income Strategy Fund returned 13.53% on net asset value (“NAV”) and 12.38% on market price.

 

For the six months ended April 30, 2012, PIMCO Income Opportunity Fund returned 10.10% on NAV and 9.07% on market price.

 

The U.S. fixed income market experienced periods of volatility during the reporting period, but ultimately generated positive returns. There were shifting expectations for the U.S. economy during the six months ended April 30, 2012. As the reporting period began, fears of a double-dip recession appeared to be receding, as certain economic data was better than expected. This largely continued during the first quarter of 2012 as unemployment moved lower and consumer spending accelerated. During this time, both short- and long-term Treasury yields generally moved higher and most spread sectors (non-U.S. Treasuries) outperformed equal-duration Treasuries. Investor sentiment reversed course in April, given fears of contagion from the European sovereign debt crisis and concerns that the U.S. economy may be hitting a soft patch. This in turn triggered increased risk aversion and falling Treasury yields. All told, during the six months ended April 30, 2012, short-term Treasury yields rose modestly, long-term Treasury yields declined and the yield curve flattened. Spread sectors generally outperformed equal-duration Treasuries, with lower-rated, higher yielding securities generating the strongest returns.

 

Compared to the 2.44% return for the overall U.S. fixed income market (as measured by the Barclays U.S. Aggregate Index), high yield and investment grade bonds returned 6.91% and 3.64%, respectively (as measured by the Barclays U.S. High Yield and Barclays U.S. Credit Indices) for the six month reporting period.

 

 

PIMCO Corporate & Income Strategy Fund

 

4

 

PIMCO Income Opportunity Fund Semi-Annual Report | 4.30.12

 

 


 

Given strong overall demand from investors looking for yield, on a total return basis, lower rated, higher yielding corporate bonds generally outperformed their higher quality, lower yielding counterparts. For instance, AAA-, AA-, A and BBB-rated issues returned 1.29%, 3.26%, 3.65%, and 4.42%, respectively, during the six months ended April 30, 2012. The same trend held true in the high yield market, as BB-rated issues returned 6.46%, versus 6.63% for B-rated names.

 

PIMCO Corporate & Income Strategy

 

Sector positioning and duration drive results

The Fund generated strong absolute and relative returns during the reporting period. An overweighting to banks contributed to performance, as the banking sector outperformed the 80% Barclays Credit/20% B of A Merrill Lynch BB/B Constrained Index (the “Index”)1 as risk appetite was generally robust. Furthermore, an overweighting to life insurance was rewarded as this sector outperformed the Index during the reporting period. The Fund’s duration positioning also contributed to results. Having a longer duration than that of the Index during the reporting period was a positive as interest rates declined during the six months ended April 30, 2012. On the downside, the Fund’s overweighting to energy companies was a negative as the sector underperformed the Index during the period. The Fund’s underweighting to consumer cyclicals also detracted from performance as the sector outperformed the Index.

 

PIMCO Income Opportunity

 

Sector positioning largely drives results

The Fund produced strong absolute and relative returns versus the Index during the six month reporting period. Allocations to senior commercial mortgage-backed securities (“CMBS”) were beneficial for performance. An overweighting to CMBS was maintained to take advantage of spreads that remained attractive on a historical basis, as well as compared to other fixed

 

 

 

PIMCO Corporate & Income Strategy Fund

 

 

4.30.12 | 

PIMCO Income Opportunity Fund Semi-Annual Report

5

 

 


 

PIMCO Corporate & Income Strategy Fund/PIMCO Income Opportunity Fund Fund Insights

April 30, 2012 (unaudited) (continued)

 

income sectors. The Fund’s overweighting to high yield automotive securities was beneficial as auto sales rebounded during the first few months of 2012. An overweighting to investment grade insurance life was rewarded, as this sector outperformed the broader market. In addition, the Fund’s underweighting to metals and mining contributed to returns, as precious metal prices declined during the six months ended April 30, 2012. On the downside, the Fund’s overweighting to high yield utilities detracted from results, as low natural gas prices negatively impacted the profitability of older power plants. Moreover, the Fund’s U.S. interest rate strategy was negative, as having a relatively short duration in the U.S. detracted from returns as interest rates declined during the reporting period. Having a yield curve steepening bias was also a negative as the yield curve flattened during the reporting period.

 

 

1 The Barclays Credit Index consists of publicly issued U.S. corporate and specified foreign debentures and secured notes that meet specified maturity, liquidity, and quality requirements. It includes both corporate and non-corporate sectors. The corporate sectors are Industrial, Utility, and Finance, which include both U.S. and non-U.S. corporations. The non-corporate sectors are Sovereign, Supranational, Foreign Agency, and Foreign Local Government. It is not possible to invest directly in an unmanaged index. The B of A Merrill Lynch BB/B Constrained Index tracks the performance of BB-B Rated U.S. dollar-denominated corporate bonds publicly issued in the U.S. domestic market. Qualifying bonds are capitalization-weighted provided the total allocation to an individual issuer (defined by Bloomberg tickers) does not exceed 2%. Issuers that exceed the limit are reduced to 2% and the face value of each of their bonds is adjusted on a pro-rata basis. Similarly, the face value of bonds of all other issuers that fall below the 2% cap are increased on a pro-rata basis. It is not possible to invest directly in an unmanaged index.

 

 

PIMCO Corporate & Income Strategy Fund

 

6

 

PIMCO Income Opportunity Fund Semi-Annual Report | 4.30.12

 

 


 

PIMCO Corporate & Income Strategy Fund
Performance & Statistics

April 30, 2012 (unaudited)

 

Total Return(1):

 

Market Price

 

NAV

Six Month

 

12.38%

 

13.53%

1 Year

 

3.10%

 

3.45%

5 Year

 

12.39%

 

12.55%

10 Year

 

12.42%

 

12.27%

Commencement of Operations (12/21/01) to 4/30/12

 

12.04%

 

11.83%

 

Market Price/NAV Performance:

Commencement of Operations (12/21/01) to 4/30/12

 Market Price

 NAV

 

Market Price/NAV:

 

 

Market Price

 

$15.96

NAV

 

$14.25

Premium to NAV

 

12.00%

Market Price Yield(2)

 

8.46%

Leverage Ratio(3)

 

38.88%

 

 

 

Moody’s Ratings

(as a % of total investments)

 

 

 

 

(1) Past performance is no guarantee of future results. Total return is calculated by determining the percentage change in NAV or market price (as applicable) in the specified period. The calculation assumes that all income dividends, capital gain and return of capital distributions, if any, have been reinvested. Total return does not reflect broker commissions or sales charges in connection with the purchase or sale of Fund shares. Total return for a period of less than one year is not annualized. Total return for a period of more than one year represents the average annual total return.

 

Performance at market price will differ from its results at NAV. Although market price returns typically reflect investment results over time, during shorter periods returns at market price can also be influenced by factors such as changing views about the Funds, market conditions, supply and demand for the Fund’s shares, or changes in Fund dividends.

 

An investment in the Fund involves risk, including the loss of principal. Total return, market price, market price yield and NAV will fluctuate with changes in market conditions. This data is provided for information purposes only and is not intended for trading purposes. Closed-end funds, unlike open-end funds, are not continuously offered. There is a one time public offering and once issued, shares of closed-end funds are traded in the open market through a stock exchange. NAV is equal to total assets attributable to common shareholders less total liabilities divided by the number of common shares outstanding. Holdings are subject to change daily.

 

(2) Market Price Yield is determined by dividing the annualized May 2012 monthly dividend per common share (comprised of net investment income) by the market price per common share at April 30, 2012.

 

(3) Represents Preferred Shares and Reverse Repurchase Agreements (collectively “Leverage”) that are outstanding, as a percentage of total managed assets. Total managed assets refer to total assets (including assets attributable to Leverage) minus accrued liabilities (other than liabilities representing Leverage).

 

 

 

PIMCO Corporate & Income Strategy Fund

 

 

4.30.12 | 

PIMCO Income Opportunity Fund Semi-Annual Report

7

 

 


 

PIMCO Income Opportunity Fund
Performance & Statistics

April 30, 2012 (unaudited)

 

Total Return(1):

 

Market Price

 

NAV

Six Month

 

9.07%

 

10.10%

1 Year

 

4.85%

 

4.57%

3 Year

 

32.46%

 

30.51%

Commencement of Operations (11/30/07) to 4/30/12

 

13.55%

 

13.19%

 

Market Price/NAV Performance:

Commencement of Operations (11/30/07) to 4/30/12

 Market Price

 NAV

 

Market Price/NAV:

 

 

Market Price

 

$26.74

NAV

 

$25.02

Premium to NAV

 

6.87%

Market Price Yield(2)

 

8.53%

Leverage Ratio(3)

 

40.66%

 

 

 

Moody’s Ratings

(as a % of total investments)

 

 

 

 

(1) Past performance is no guarantee of future results. Total return is calculated by determining the percentage change in NAV or market price (as applicable) in the specified period. The calculation assumes that all income dividends, capital gain and return of capital distributions, if any, have been reinvested. Total return does not reflect broker commissions or sales charges in connection with the purchase or sale of Fund shares. Total return for a period less than one year is not annualized. Total return for a period of more than one year represents the average annual total return.

 

Performance at market price will differ from results at NAV. Although market price returns typically reflect investment results over time, during shorter periods returns at market price can also be influenced by factors such as changing views about the Fund, market conditions, supply and demand for the Fund’s shares, or changes in the Fund’s dividends.

 

An investment in the Fund involves risk, including the loss of principal. Total return, market price, market price yield and NAV will fluctuate with changes in market conditions. This data is provided for information purposes only and is not intended for trading purposes. Closed-end funds, unlike open-end funds, are not continuously offered. There is a one time public offering and once issued, shares of closed-end funds are traded in the open market through a stock exchange. NAV is equal to total assets attributable to common shareholders less total liabilities divided by the number of common shares outstanding. Holdings are subject to change daily.

 

(2) Market Price Yield is determined by dividing the annualized current monthly dividend per common share (comprised of net investment income and short-term capital gains, if any) by the market price per common share at April 30, 2012.

 

(3) Represents Reverse Repurchase Agreements (“Leverage”) that are outstanding, as a percentage of total managed assets. Total Managed assets refer to the total assets of the Fund (including assets attributable to Leverage) minus accrued liabilities (other than liabilities representing Leverage).

 

 

PIMCO Corporate & Income Strategy Fund

 

8

 

PIMCO Income Opportunity Fund Semi-Annual Report | 4.30.12

 

 


 

PIMCO Corporate & Income Strategy Fund Schedule of Investments

April 30, 2012 (unaudited)

Principal
 Amount
    (000s)

 

 

 

Value

 

CORPORATE BONDS & NOTES – 58.8%

 

 

 

 

 

 

 

Airlines – 0.9%

 

 

 

$1,796

 

American Airlines Pass Through Trust, 10.375%, 1/2/21

 

$1,935,539

 

1,806

 

Continental Airlines Pass Through Trust, 9.798%, 10/1/22

 

1,932,400

 

 

 

United Air Lines Pass Through Trust,

 

 

 

1,339

 

7.336%, 1/2/21 (a) (b) (d) (k) (acquisition cost-$1,338,611; purchased 6/19/07)

 

1,325,224

 

2,303

 

10.40%, 5/1/18 (j)

 

2,629,063

 

 

 

 

 

7,822,226

 

Automotive – 0.2%

 

 

 

1,500

 

Ford Motor Co., 9.98%, 2/15/47

 

2,006,250

 

Banking – 8.3%

 

 

 

4,000

 

ABN Amro North American Holding Preferred Capital Repackage Trust I, 6.523%, 11/8/12 (a) (d) (g)

 

3,600,000

 

2,400

 

AgFirst Farm Credit Bank, 7.30%, 5/29/12 (a) (b) (d) (g) (k) (acquisition cost-$1,904,000; purchased 2/26/10-3/2/10)

 

2,351,760

 

1,150

 

BankAmerica Capital II, 8.00%, 12/15/26

 

1,164,375

 

 

 

Barclays Bank PLC,

 

 

 

7,760

 

10.179%, 6/12/21 (a) (d) (j)

 

9,104,963

 

£200

 

14.00%, 6/15/19 (g)

 

389,496

 

$5,000

 

BPCE S.A., 12.50%, 9/30/19 (a) (d) (g)

 

5,259,705

 

27,790

 

Cooperatieve Centrale Raiffeisen-Boerenleenbank BA, 11.00%, 6/30/19 (a) (d) (g) (j)

 

35,474,102

 

 

 

HBOS PLC,

 

 

 

4,000

 

0.676%, 9/6/17, FRN

 

2,923,000

 

2,000

 

6.75%, 5/21/18 (a) (d)

 

1,839,518

 

1,000

 

HSBC Capital Funding L.P., 10.176%, 6/30/30 (g)

 

1,310,000

 

 

 

Regions Financial Corp.,

 

 

 

1,900

 

7.375%, 12/10/37

 

1,871,500

 

3,400

 

7.75%, 11/10/14

 

3,748,500

 

£1,200

 

Santander Finance Preferred S.A. Unipersonal, 11.30%, 7/27/14 (g)

 

1,908,530

 

 

 

 

 

70,945,449

 

Building & Construction – 0.3%

 

 

 

$1,000

 

Desarrolladora Homex SAB De C.V., 9.50%, 12/11/19 (a) (d)

 

1,042,500

 

1,700

 

Macmillan Bloedel Pembroke L.P., 7.70%, 2/15/26

 

1,819,765

 

 

 

 

 

2,862,265

 

Consumer Products – 0.2%

 

 

 

1,700

 

Reynolds Group Issuer, Inc., 9.00%, 4/15/19 (a) (d)

 

1,717,000

 

Energy – 0.3%

 

 

 

4,300

 

Dynegy Roseton LLC/Danskammer Pass Through Trust, 7.67%, 11/8/16, Ser. B, (e)

 

2,795,000

 

Financial Services – 27.7%

 

 

 

2,300

 

AGFC Capital Trust I, 6.00%, 1/15/67, (converts to FRN on 1/15/17) (a) (d)

 

1,150,000

 

 

 

Ally Financial, Inc.,

 

 

 

240

 

5.35%, 1/15/14

 

234,898

 

70

 

5.75%, 1/15/14

 

68,408

 

372

 

5.85%, 6/15/13

 

372,262

 

753

 

6.00%, 7/15/13-9/15/19

 

703,031

 

492

 

6.05%, 8/15/19

 

444,275

 

659

 

6.125%, 10/15/19

 

595,192

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

PIMCO Corporate & Income Strategy Fund

 

 

4.30.12 | 

PIMCO Income Opportunity Fund Semi-Annual Report

9

 

 


 

PIMCO Corporate & Income Strategy Fund Schedule of Investments

April 30, 2012 (unaudited) (continued)

Principal
 Amount
    (000s)

 

 

 

Value

 

 

 

 

 

Financial Services (continued)

 

 

 

$348

 

6.15%, 9/15/19-10/15/19

 

$321,025

 

10

 

6.20%, 4/15/19

 

9,132

 

719

 

6.25%, 12/15/18-7/15/19

 

653,519

 

620

 

6.30%, 8/15/19

 

566,782

 

215

 

6.35%, 5/15/13-7/15/19

 

213,893

 

158

 

6.40%, 12/15/18

 

146,276

 

2,515

 

6.50%, 2/15/16-1/15/20

 

2,347,641

 

78

 

6.60%, 5/15/18

 

73,615

 

1,246

 

6.65%, 6/15/18-10/15/18

 

1,153,209

 

1,431

 

6.70%, 6/15/18-12/15/19

 

1,332,823

 

1,957

 

6.75%, 8/15/16-6/15/19

 

1,841,855

 

817

 

6.80%, 9/15/18-10/15/18

 

765,532

 

30

 

6.85%, 5/15/18

 

28,681

 

80

 

6.875%, 7/15/18

 

75,690

 

988

 

6.90%, 6/15/17-8/15/18

 

937,654

 

4,000

 

7.00%, 8/15/16-11/15/23

 

3,765,002

 

1,878

 

7.05%, 3/15/18-4/15/18

 

1,801,321

 

105

 

7.125%, 10/15/17

 

101,238

 

501

 

7.15%, 6/15/16-1/15/25

 

477,709

 

2,434

 

7.25%, 9/15/17-3/15/25

 

2,335,160

 

288

 

7.30%, 12/15/17-1/15/18

 

277,526

 

12,861

 

7.375%, 11/15/16-4/15/18

 

12,626,869

 

20

 

7.40%, 12/15/17

 

19,418

 

84

 

7.50%, 11/15/16-12/15/17

 

81,500

 

266

 

9.00%, 7/15/20

 

266,004

 

2,000

 

American Express Co., 6.80%, 9/1/66, (converts to FRN on 9/1/16)

 

2,050,500

 

€1,500

 

American General Finance Corp., 4.125%, 11/29/13

 

1,801,887

 

$445

 

Bank of America Corp., 6.50%, 8/1/16

 

486,890

 

 

 

BNP Paribas S.A. (g),

 

 

 

6,700

 

7.195%, 6/25/37 (a) (d) (j)

 

5,829,000

 

€350

 

7.781%, 7/2/18

 

439,667

 

$1,790

 

Capital One Bank USA N.A., 8.80%, 7/15/19

 

2,262,737

 

1,500

 

Capital One Capital V, 10.25%, 8/15/39

 

1,571,250

 

3,300

 

Capital One Capital VI, 8.875%, 5/15/40

 

3,387,889

 

878

 

Cedar Brakes II LLC, 9.875%, 9/1/13 (a) (d)

 

911,605

 

 

 

Citigroup, Inc.,

 

 

 

CAD 1,300

 

5.365%, 3/6/36 (a) (b) (k) (acquisition cost-$1,126,438; purchased 5/19/11)

 

1,076,612

 

$300

 

6.125%, 8/25/36

 

297,458

 

21,500

 

Citigroup Capital XXI, 8.30%, 12/21/77, (converts to FRN on 12/21/37)

 

21,889,687

 

 

 

Credit Agricole S.A. (g),

 

 

 

€2,000

 

7.875%, 10/26/19

 

2,223,764

 

$21,400

 

8.375%, 10/13/19 (a) (d) (j)

 

18,939,000

 

£500

 

General Electric Capital Corp.,

 

 

 

 

 

6.50%, 9/15/67, (converts to FRN on 9/15/17) (a) (d)

 

766,820

 

 

 

Goldman Sachs Group, Inc.,

 

 

 

$4,000

 

6.45%, 5/1/36

 

3,908,456

 

7,000

 

6.75%, 10/1/37 (j)

 

6,938,981

 

 

 

International Lease Finance Corp.,

 

 

 

2,900

 

6.75%, 9/1/16 (a) (d)

 

3,146,500

 

1,000

 

8.625%, 9/15/15

 

1,111,250

 

7,300

 

JPMorgan Chase & Co., 7.90%, 4/30/18 (g)

 

8,025,934

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

PIMCO Corporate & Income Strategy Fund

 

10

 

PIMCO Income Opportunity Fund Semi-Annual Report | 4.30.12

 

 


 

PIMCO Corporate & Income Strategy Fund Schedule of Investments

April 30, 2012 (unaudited) (continued)

Principal
 Amount
    (000s)

 

 

 

Value

 

 

 

 

 

Financial Services (continued)

 

 

 

$4,100

 

JPMorgan Chase Capital XX, 6.55%, 9/15/66, (converts to FRN on 9/15/36) (j)

 

$4,135,875

 

 

 

LBG Capital No.1 PLC,

 

 

 

€300

 

7.375%, 3/12/20

 

322,573

 

£100

 

7.588%, 5/12/20

 

135,418

 

£200

 

7.867%, 12/17/19

 

274,248

 

£400

 

7.869%, 8/25/20

 

548,540

 

$12,700

 

7.875%, 11/1/20 (a) (d)

 

11,209,846

 

17,500

 

8.00%, 6/15/20 (a) (d) (g)

 

14,700,000

 

8,500

 

8.50%, 12/17/21 (a) (d) (g)

 

7,905,000

 

£300

 

11.04%, 3/19/20

 

490,521

 

 

 

LBG Capital No.2 PLC,

 

 

 

€400

 

8.875%, 2/7/20

 

473,885

 

£3,100

 

9.125%, 7/15/20

 

4,454,941

 

£500

 

9.334%, 2/7/20

 

752,625

 

$3,500

 

National City Preferred Capital Trust I, 12.00%, 12/10/12 (g)

 

3,733,688

 

5,200

 

PNC Financial Services Group, Inc., 6.75%, 8/1/21 (g)

 

5,471,638

 

2,700

 

PNC Preferred Funding Trust I, 2.124%, 3/15/17 (a) (d) (g)

 

2,079,432

 

 

 

Royal Bank of Scotland Group PLC (g),

 

 

 

1,000

 

6.99%, 10/5/17 (a) (d)

 

795,000

 

1,500

 

7.64%, 9/29/17

 

1,016,250

 

4,100

 

7.648%, 9/30/31

 

3,387,625

 

 

 

SLM Corp.,

 

 

 

5,900

 

8.00%, 3/25/20

 

6,298,250

 

19,500

 

8.45%, 6/15/18

 

21,450,000

 

 

 

Springleaf Finance Corp.,

 

 

 

2,200

 

5.40%, 12/1/15

 

1,892,000

 

500

 

6.50%, 9/15/17

 

407,500

 

3,000

 

6.90%, 12/15/17

 

2,463,750

 

1,800

 

State Street Capital Trust III, 5.464%, 5/29/12 (g)

 

1,808,136

 

900

 

USB Capital IX, 3.50%, 5/29/12 (g)

 

687,168

 

12,100

 

Wachovia Capital Trust III, 5.57%, 5/29/12 (g) (j)

 

11,268,125

 

7,000

 

Wells Fargo & Co., 7.98%, 3/15/18 (g)

 

7,630,000

 

 

 

 

 

238,645,061

 

Healthcare & Hospitals – 1.8%

 

 

 

 

 

HCA, Inc.,

 

 

 

10,000

 

7.875%, 2/15/20

 

11,150,000

 

3,600

 

8.50%, 4/15/19

 

4,056,750

 

 

 

 

 

15,206,750

 

Hotels/Gaming – 0.5%

 

 

 

 

 

MGM Resorts International,

 

 

 

700

 

10.375%, 5/15/14

 

801,500

 

1,050

 

11.125%, 11/15/17

 

1,194,375

 

2,197

 

Times Square Hotel Trust, 8.528%, 8/1/26 (a) (d)

 

2,344,843

 

 

 

 

 

4,340,718

 

Insurance – 15.3%

 

 

 

1,400

 

American General Institutional Capital A, 7.57%, 12/1/45 (a) (d)

 

1,421,000

 

9,000

 

American General Institutional Capital B, 8.125%, 3/15/46 (a) (d)

 

9,270,000

 

 

 

American International Group, Inc.,

 

 

 

14,000

 

6.25%, 3/15/87, (converts to FRN on 3/15/37) (j)

 

12,766,040

 

£6,911

 

6.765%, 11/15/17 (a) (d)

 

12,266,562

 

 

 

 

 

 

 

 

 

 

PIMCO Corporate & Income Strategy Fund

 

 

4.30.12 | 

PIMCO Income Opportunity Fund Semi-Annual Report

11

 

 


 

PIMCO Corporate & Income Strategy Fund Schedule of Investments

April 30, 2012 (unaudited) (continued)

Principal
 Amount
    (000s)

 

 

 

Value

 

 

 

 

 

Insurance (continued)

 

 

 

MXN 16,000

 

7.98%, 6/15/17

 

$1,211,009

 

$46,750

 

8.175%, 5/15/68, (converts to FRN on 5/15/38) (j)

 

50,197,813

 

12,700

 

8.25%, 8/15/18 (j)

 

15,422,740

 

£1,900

 

8.625%, 5/22/68, (converts to FRN on 5/22/18)

 

3,068,092

 

$5,100

 

Dai-ichi Life Insurance Co., Ltd., 7.25%, 7/25/21 (a) (d) (g) (j)

 

5,367,638

 

2,600

 

Genworth Financial, Inc., 8.625%, 12/15/16 (j)

 

2,835,791

 

9,000

 

Metlife Capital Trust IV, 7.875%, 12/15/67, (converts to FRN on 12/15/37) (a) (d) (j)

 

10,057,500

 

6,800

 

Pacific Life Insurance Co., 7.90%, 12/30/23 (a) (d) (j)

 

8,132,895

 

 

 

 

 

132,017,080

 

Metals & Mining – 0.5%

 

 

 

4,000

 

Gerdau Holdings, Inc., 7.00%, 1/20/20 (a) (d) (j)

 

4,570,000

 

Paper/Paper Products – 0.1%

 

 

 

850

 

Norske Skogindustrier ASA, 6.125%, 10/15/15 (a) (d)

 

603,500

 

Telecommunications – 1.9%

 

 

 

1,700

 

CenturyLink, Inc., 6.00%, 4/1/17

 

1,827,349

 

8,200

 

Mountain States Telephone & Telegraph Co., 7.375%, 5/1/30 (j)

 

8,537,815

 

5,360

 

Qwest Corp., 7.20%, 11/10/26 (j)

 

5,427,000

 

 

 

 

 

15,792,164

 

Utilities – 0.8%

 

 

 

3,900

 

AES Andres Dominicana Ltd., 9.50%, 11/12/20 (a) (d)

 

4,134,000

 

1,700

 

FPL Energy Wind Funding LLC, 6.876%, 6/27/17 (a) (d)

 

1,368,500

 

1,100

 

PPL Capital Funding, Inc., 6.70%, 3/30/67, (converts to FRN on 3/30/17)

 

1,090,122

 

 

 

 

 

6,592,622

 

Total Corporate Bonds & Notes (cost-$435,569,117)

 

505,916,085

 

 

 

 

 

 

 

MUNICIPAL BONDS – 21.0%

 

 

 

 

 

 

 

 

 

California – 11.5%

 

 

 

9,000

 

Alameda Cnty. Joint Powers Auth. Rev., 7.046%, 12/1/44, Ser. A

 

11,081,250

 

4,200

 

City & Cnty. of San Francisco, Capital Improvement Projects, CP, 6.487%, 11/1/41, Ser. D

 

4,548,852

 

1,800

 

Long Beach Redev. Agcy., Tax Allocation, 8.36%, 8/1/40

 

1,969,938

 

7,700

 

Los Angeles Cnty. Public Works Financing Auth. Rev., 7.618%, 8/1/40

 

9,892,960

 

2,400

 

Oakland Unified School Dist., Alameda Cnty., GO, 9.50%, 8/1/34

 

2,817,912

 

9,820

 

Riverside Cnty. Dev. Agcy., Tax Allocation, 7.50%, 10/1/30, Ser. A-T

 

10,196,695

 

2,100

 

San Luis Obispo Cnty. Rev., zero coupon, 9/1/27, Ser. C (NPFGC)

 

907,410

 

800

 

San Marcos Unified School Dist., GO, zero coupon, 8/1/29

 

343,104

 

 

 

State Public Works Board Rev.,

 

 

 

16,855

 

7.804%, 3/1/35, Ser. B-2

 

19,219,251

 

20,000

 

8.361%, 10/1/34, Ser. G-2

 

25,105,000

 

5,000

 

State, GO, 7.95%, 3/1/36

 

5,888,500

 

7,400

 

Stockton Public Financing Auth. Rev., 7.942%, 10/1/38, Ser. B

 

6,710,024

 

 

 

 

 

98,680,896

 

Colorado – 0.7%

 

 

 

5,000

 

Denver Public Schools, CP, 7.017%, 12/15/37, Ser. B

 

6,443,550

 

District of Columbia – 1.7%

 

 

 

13,000

 

Metropolitan Airports Auth. Rev., 7.462%, 10/1/46

 

14,841,320

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

PIMCO Corporate & Income Strategy Fund

 

12

 

PIMCO Income Opportunity Fund Semi-Annual Report | 4.30.12

 

 


 

PIMCO Corporate & Income Strategy Fund Schedule of Investments

April 30, 2012 (unaudited) (continued)

 

Principal
 Amount
    (000s)

 

 

 

Value

 

 

 

 

 

 

 

Louisiana – 0.3%

 

 

 

 

 

New Orleans, Public Improvements, GO, Ser. A,

 

 

 

$800

 

8.30%, 12/1/29

 

$909,104

 

820

 

8.55%, 12/1/34

 

916,153

 

300

 

8.80%, 12/1/39

 

336,744

 

 

 

 

 

2,162,001

 

Ohio – 3.9%

 

 

 

 

 

24,000

 

American Municipal Power, Inc. Rev., Comb Hydroelectric Projects, 8.084%, 2/15/50, Ser. B

 

33,834,480

 

 

 

 

 

 

 

Pennsylvania – 0.1%

 

 

 

2,000

 

Philadelphia Auth. for Industrial Dev. Rev., zero coupon, 4/15/26, Ser. B (AMBAC)

 

748,600

 

 

 

 

 

 

 

Texas – 2.8%

 

 

 

 

 

4,000

 

Dallas Convention Center Hotel Dev. Corp. Rev., 7.088%, 1/1/42

 

4,703,400

 

17,200

 

North Texas Tollway Auth. Rev., 8.91%, 2/1/30

 

19,609,720

 

 

 

 

 

24,313,120

 

Total Municipal Bonds (cost-$160,574,231)

 

181,023,967

 

 

 

 

 

 

 

MORTGAGE-BACKED SECURITIES – 10.9%

 

 

 

 

 

 

 

1,058

 

American Home Mortgage Assets LLC, 0.469%, 9/25/46, CMO, FRN

 

140,237

 

354

 

Banc of America Alternative Loan Trust, 6.00%, 1/25/36, CMO

 

256,272

 

7,551

 

Banc of America Funding Corp., 6.00%, 3/25/37, CMO

 

5,990,721

 

 

 

BCAP LLC Trust, CMO, VRN (a) (d),

 

 

 

2,500

 

5.579%, 3/26/37

 

325,000

 

1,680

 

11.84%, 6/26/36

 

197,437

 

2,671

 

Bear Stearns Alt-A Trust, 2.863%, 11/25/36, CMO, FRN

 

1,443,149

 

 

 

Chase Mortgage Finance Corp., CMO,

 

 

 

42

 

2.805%, 12/25/35, FRN

 

39,717

 

2,913

 

6.00%, 7/25/37

 

2,455,108

 

3,565

 

Citicorp Mortgage Securities, Inc., 6.00%, 6/25/36, CMO

 

3,517,812

 

 

 

Countrywide Alternative Loan Trust, CMO,

 

 

 

406

 

5.50%, 3/25/36

 

261,271

 

2,032

 

5.75%, 3/25/37

 

1,467,592

 

1,394

 

6.00%, 7/25/37

 

1,099,466

 

1,210

 

6.50%, 8/25/36

 

702,150

 

 

 

Countrywide Home Loan Mortgage Pass Through Trust, CMO,

 

 

 

775

 

2.682%, 9/20/36, FRN

 

377,891

 

2,632

 

5.50%, 10/25/35

 

2,518,321

 

2,679

 

5.75%, 3/25/37

 

2,178,057

 

1,760

 

6.00%, 2/25/37

 

1,435,051

 

1,570

 

6.00%, 3/25/37

 

1,292,537

 

517

 

6.00%, 4/25/37

 

447,723

 

 

 

Credit Suisse Mortgage Capital Certificates, CMO,

 

 

 

1,553

 

6.00%, 2/25/37

 

1,209,894

 

3,763

 

6.00%, 6/25/37

 

3,193,001

 

 

 

GSR Mortgage Loan Trust, CMO,

 

 

 

666

 

5.50%, 5/25/36

 

532,221

 

8,559

 

6.00%, 2/25/36

 

7,703,268

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

PIMCO Corporate & Income Strategy Fund

 

 

4.30.12 | 

PIMCO Income Opportunity Fund Semi-Annual Report

13

 

 


 

PIMCO Corporate & Income Strategy Fund Schedule of Investments

April 30, 2012 (unaudited) (continued)

 

Principal
 Amount
    (000s)

 

 

 

Value

 

 

 

 

 

 

 

 

 

JPMorgan Mortgage Trust, CMO,

 

 

 

$4,271

 

5.00%, 3/25/37

 

$3,208,278

 

2,074

 

5.41%, 1/25/37, FRN

 

1,617,579

 

745

 

6.00%, 8/25/37

 

615,612

 

5,377

 

Morgan Stanley Mortgage Loan Trust, 6.00%, 2/25/36, CMO

 

4,432,169

 

1,311

 

Residential Accredit Loans, Inc., 0.469%, 5/25/37, CMO, FRN

 

322,811

 

3,001

 

Residential Asset Mortgage Products, Inc., 6.50%, 12/25/31, CMO

 

3,016,856

 

961

 

Residential Asset Securitization Trust, 6.00%, 9/25/36, CMO

 

530,002

 

 

 

Residential Funding Mortgage Securities I, CMO,

 

 

 

2,495

 

6.00%, 1/25/37

 

2,029,808

 

2,881

 

6.25%, 8/25/36

 

2,396,035

 

1,024

 

Sequoia Mortgage Trust, 2.637%, 2/20/47, CMO, FRN

 

796,491

 

 

 

Suntrust Adjustable Rate Mortgage Loan Trust, CMO, FRN,

 

 

 

2,201

 

5.501%, 4/25/37

 

1,678,720

 

1,182

 

5.81%, 2/25/37

 

860,363

 

 

 

WaMu Mortgage Pass Through Certificates, CMO, FRN,

 

 

 

749

 

2.514%, 9/25/36

 

523,716

 

1,166

 

4.95%, 7/25/37

 

755,749

 

13,469

 

5.316%, 7/25/37

 

11,202,919

 

2,000

 

5.43%, 2/25/37

 

1,655,142

 

 

 

Washington Mutual Alternative Mortgage Pass Through Certificates, CMO, FRN,

 

 

 

1,264

 

0.918%, 4/25/47

 

135,991

 

1,346

 

0.999%, 5/25/47

 

285,416

 

 

 

Wells Fargo Mortgage-Backed Securities Trust, CMO,

 

 

 

11,513

 

2.606%, 10/25/36, FRN

 

8,807,035

 

1,355

 

2.619%, 7/25/36, FRN

 

1,011,099

 

241

 

2.647%, 5/25/36, FRN

 

179,455

 

614

 

2.667%, 4/25/36, FRN

 

507,213

 

7,387

 

2.702%, 7/25/36, FRN

 

5,645,458

 

1,400

 

5.667%, 10/25/36, FRN

 

1,242,107

 

1,771

 

6.00%, 7/25/37

 

1,739,019

 

Total Mortgage-Backed Securities (cost-$90,997,973)

 

93,978,939

 

 

 

 

 

 

 

Shares

 

 

 

 

 

 

 

 

 

 

 

 

PREFERRED STOCK – 2.6%

 

 

 

 

 

 

 

Banking – 0.2%

 

 

 

30,200

 

CoBank Acb, 11.00%, 7/1/13, Ser. C (a) (b) (d) (g) (k) (acquisition cost-$1,678,450; purchased 2/26/10-2/1/11)

 

1,610,983

 

 

 

 

 

 

 

Financial Services – 2.4%

 

 

 

100,000

 

Ally Financial, Inc., 8.50%, 5/15/16, Ser. A (g) (l)

 

2,240,000

 

250,000

 

Citigroup Capital XIII, 7.875%, 10/30/15 (l)

 

6,657,500

 

512,000

 

GMAC Capital Trust I, 8.125%, 2/15/16, Ser. 2 (l)

 

12,262,400

 

 

 

 

 

21,159,900

 

Total Preferred Stock (cost-$23,337,200)

 

22,770,883

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

PIMCO Corporate & Income Strategy Fund

 

14

 

PIMCO Income Opportunity Fund Semi-Annual Report | 4.30.12

 

 


 

PIMCO Corporate & Income Strategy Fund Schedule of Investments

April 30, 2012 (unaudited) (continued)

 

Principal
 Amount
    (000s)

 

 

 

Value

 

 

 

 

 

SENIOR LOANS (a) (c) – 2.2%

 

 

 

 

 

 

 

 

 

Financial Services – 2.2%

 

 

 

$20,000

 

Springleaf Finance Corp., 5.50%, 5/10/17 (cost-$19,914,929)

 

$18,985,000

 

 

 

 

 

 

 

Shares

 

 

 

 

 

 

 

 

 

 

 

 

CONVERTIBLE PREFERRED STOCK – 1.9%

 

 

 

 

 

 

 

 

 

Financial Services – 1.0%

 

 

 

8,050

 

Wells Fargo & Co., 7.50%, 3/15/13, Ser. L (g)

 

9,016,241

 

 

 

 

 

 

 

Utilities – 0.9%

 

 

 

 

 

 

 

PPL Corp.,

 

 

 

53,400

 

8.75%, 5/1/14

 

2,749,032

 

90,000

 

9.50%, 7/1/13

 

4,805,100

 

 

 

 

 

7,554,132

 

Total Convertible Preferred Stock (cost-$12,276,951)

 

16,570,373

 

 

 

 

 

 

 

 Principal
  Amount
      (000s)

 

 

 

 

 

 

 

 

 

 

 

 

ASSET-BACKED SECURITIES – 0.9%

 

 

 

 

 

 

 

$5,739

 

Greenpoint Manufactured Housing, 8.45%, 6/20/31, VRN

 

5,547,858

 

2,253

 

GSAA Trust, 6.295%, 6/25/36

 

1,301,753

 

1,420

 

Morgan Stanley Mortgage Loan Trust, 6.25%, 7/25/47, VRN

 

959,225

 

Total Asset-Backed Securities (cost-$7,208,401)

 

7,808,836

 

 

 

 

 

 

 

SOVEREIGN DEBT OBLIGATIONS – 0.7%

 

 

 

 

 

 

 

Brazil – 0.7%

 

 

 

 

 

BRL 8,400

 

Brazilian Government International Bond, 12.50%, 1/5/22 (cost-$4,845,357)

 

5,794,927

 

 

 

 

 

 

 

SHORT-TERM INVESTMENTS – 1.0%

 

 

 

 

 

 

 

 

 

Corporate Notes – 0.1%

 

 

 

Financial Services – 0.1%

 

 

 

 

 

Ally Financial, Inc.,

 

 

 

$896

 

6.75%, 7/15/12

 

893,619

 

27

 

7.625%, 11/15/12

 

27,277

 

Total Corporate Notes (cost-$922,680)

 

920,896

 

 

 

 

 

U.S. Treasury Obligations (h) (m) – 0.4%

 

 

 

3,091

 

U.S. Treasury Bills, 0.096%-0.148%, 8/23/12-12/13/12 (cost-$3,089,187)

 

3,089,319

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

PIMCO Corporate & Income Strategy Fund

 

 

4.30.12 | 

PIMCO Income Opportunity Fund Semi-Annual Report

15

 

 


 

PIMCO Corporate & Income Strategy Fund Schedule of Investments

April 30, 2012 (unaudited) (continued)

 

Principal
 Amount
    (000s)

 

 

 

Value

 

 

 

 

 

Repurchase Agreements – 0.5%

 

 

 

$3,600

 

Deutsche Bank Securities, Inc.,
dated 4/30/12, 0.18%, due 5/1/12, proceeds $3,600,018; collateralized by U.S. Treasury Notes, 1.50%, due 12/31/13, valued at $3,673,421 including accrued interest

 

$3,600,000

 

672

 

State Street Bank & Trust Co.,
dated 4/30/12, 0.01%, due 5/1/12, proceeds $672,000; collateralized by Freddie Mac, 0.855%, due 11/25/14, valued at $687,782 including accrued interest

 

672,000

 

Total Repurchase Agreements (cost-$4,272,000)

 

4,272,000

 

Total Short-Term Investments (cost-$8,283,867)

 

8,282,215

 

Total Investments (cost-$763,008,026) – 100.0%

 

$861,131,225

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

PIMCO Corporate & Income Strategy Fund

 

16

 

PIMCO Income Opportunity Fund Semi-Annual Report | 4.30.12

 

 


 

PIMCO Income Opportunity Fund Schedule of Investments

April 30, 2012 (unaudited)

 

Principal
 Amount
    (000s)

 

 

 

Value

 

 

 

 

 

 

 

MORTGAGE-BACKED SECURITIES – 53.6%

 

 

 

 

 

 

 

 

 

$407

 

Adjustable Rate Mortgage Trust, 2.821%, 1/25/36, CMO, FRN

 

$259,598

 

£375

 

Auburn Securities PLC, 1.094%, 10/1/41, CMO, FRN

 

523,338

 

$156

 

Banc of America Alternative Loan Trust, 6.25%, 1/25/37, CMO

 

5,394

 

 

 

Banc of America Funding Corp., CMO, FRN,

 

 

 

397

 

2.545%, 12/20/36

 

385,419

 

2,249

 

2.815%, 12/20/34

 

1,602,105

 

557

 

2.835%, 12/20/34

 

347,144

 

2,920

 

3.041%, 3/20/36

 

2,072,254

 

1,534

 

5.934%, 10/20/46

 

956,248

 

2,827

 

Banc of America Large Loan, Inc., 1.991%, 11/15/15, CMO, FRN (a) (d)

 

2,653,926

 

842

 

Banc of America Merrill Lynch Commercial Mortgage, Inc., 5.918%, 4/11/36, CMO (a) (d)

 

703,269

 

 

 

Banc of America Mortgage Securities, Inc., CMO,

 

 

 

393

 

2.683%, 10/20/46, FRN

 

186,224

 

450

 

2.758%, 9/25/34, FRN

 

417,090

 

1,026

 

2.87%, 6/25/35, FRN

 

995,419

 

1,225

 

5.75%, 8/25/34 (j)

 

1,243,169

 

 

 

BCAP LLC Trust, CMO (a) (d),

 

 

 

2,532

 

5.00%, 11/26/37, VRN

 

2,389,816

 

550

 

5.039%, 3/26/36, FRN

 

493,124

 

 

 

Bear Stearns Adjustable Rate Mortgage Trust, CMO, FRN,

 

 

 

195

 

2.525%, 9/25/34

 

142,254

 

849

 

2.697%, 1/25/35

 

758,085

 

1,889

 

2.711%, 10/25/36

 

1,204,586

 

1,741

 

5.274%, 3/25/35

 

1,625,766

 

812

 

5.466%, 8/25/47

 

471,260

 

265

 

5.47%, 9/25/34

 

245,671

 

636

 

5.587%, 6/25/47

 

471,751

 

 

 

Bear Stearns Alt-A Trust, CMO,

 

 

 

3,296

 

0.399%, 6/25/46, FRN

 

1,349,722

 

1,915

 

0.589%, 1/25/35, FRN (j)

 

1,665,064

 

1,940

 

2.664%, 9/25/34, FRN

 

1,443,483

 

603

 

2.703%, 4/25/35, FRN

 

365,613

 

1,739

 

2.982%, 5/25/36, FRN

 

830,849

 

993

 

3.025%, 5/25/35, FRN

 

592,951

 

1,127

 

3.54%, 9/25/34, FRN

 

969,920

 

6,874

 

4.335%, 8/25/36, FRN

 

3,732,204

 

634

 

4.92%, 7/25/35, FRN

 

432,055

 

1,217

 

4.987%, 11/25/36, FRN

 

724,164

 

123

 

5.312%, 11/25/35, FRN

 

91,258

 

1,068

 

5.602%, 8/25/36, VRN

 

632,916

 

2,500

 

Bear Stearns Commercial Mortgage Securities, 5.733%, 3/13/40, CMO, VRN (a) (d)

 

2,271,521

 

£605

 

Bluestone Securities PLC, 1.261%, 6/9/43, CMO, FRN

 

815,798

 

$4,279

 

CBA Commercial Small Balance Commercial Mortgage, 5.54%, 1/25/39, CMO (a) (d)

 

1,945,584

 

 

 

Chase Mortgage Finance Corp., CMO,

 

 

 

2,158

 

5.50%, 11/25/21

 

2,005,950

 

2,595

 

6.00%, 3/25/37

 

2,091,818

 

 

 

Citigroup Mortgage Loan Trust, Inc., CMO,

 

 

 

1,163

 

3.017%, 3/25/37, FRN

 

782,818

 

1,046

 

5.50%, 11/25/35

 

801,276

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

PIMCO Corporate & Income Strategy Fund

 

 

4.30.12 | 

PIMCO Income Opportunity Fund Semi-Annual Report

17

 

 


 

PIMCO Income Opportunity Fund Schedule of Investments

April 30, 2012 (unaudited) (continued)

 

Principal
 Amount
    (000s)

 

 

 

Value

 

 

 

 

 

 

 

$2,170

 

Commercial Mortgage Pass Through Certificates, 6.093%, 7/10/46, CMO, VRN (a) (d)

 

$2,071,879

 

 

 

Countrywide Alternative Loan Trust, CMO,

 

 

 

1,663

 

0.435%, 12/20/46, FRN

 

884,619

 

1,905

 

0.489%, 6/25/37, FRN

 

855,317

 

4,029

 

0.57%, 11/20/35, FRN

 

2,291,013

 

4,017

 

0.589%, 5/25/36, FRN

 

1,768,508

 

475

 

5.50%, 10/25/35

 

434,582

 

691

 

6.00%, 11/25/35

 

345,523

 

784

 

6.00%, 4/25/36

 

533,371

 

1,390

 

6.00%, 4/25/37

 

853,601

 

3,022

 

6.00%, 5/25/37

 

2,139,127

 

808

 

6.25%, 8/25/37

 

502,284

 

1,121

 

6.50%, 9/25/32

 

978,501

 

2,453

 

6.50%, 7/25/35

 

1,104,764

 

1,121

 

6.50%, 6/25/36

 

698,704

 

 

 

Countrywide Home Loan Mortgage Pass Through Trust, CMO,

 

 

 

1,569

 

0.559%, 3/25/35, FRN

 

1,021,211

 

60

 

2.602%, 10/20/35, FRN

 

39,817

 

256

 

2.677%, 8/20/35, FRN

 

167,600

 

6,062

 

2.705%, 11/25/35, FRN

 

4,326,975

 

700

 

2.75%, 6/20/35, FRN

 

513,806

 

153

 

2.798%, 8/25/34, FRN

 

113,419

 

2,105

 

3.402%, 3/25/37, FRN

 

1,033,848

 

531

 

5.50%, 8/25/35

 

499,705

 

1,790

 

5.52%, 9/25/47, FRN

 

1,178,338

 

2,770

 

Credit Suisse First Boston Mortgage Securities Corp., 7.50%, 5/25/32, CMO (j)

 

2,872,399

 

 

 

Credit Suisse Mortgage Capital Certificates, CMO,

 

 

 

917

 

0.41%, 10/15/21, FRN (a) (d)

 

863,491

 

1,117

 

0.839%, 7/25/36, FRN

 

489,399

 

835

 

5.896%, 4/25/36

 

529,390

 

706

 

6.50%, 5/25/36

 

385,865

 

876

 

6.50%, 7/26/36

 

349,748

 

€5,240

 

DECO Series, 0.884%, 10/27/20, CMO, FRN

 

6,311,590

 

 

 

Deutsche ALT-A Securities, Inc. Alternate Loan Trust, CMO,

 

 

 

$1,140

 

0.389%, 2/25/47, FRN

 

559,339

 

261

 

6.25%, 7/25/36, VRN

 

133,041

 

1,004

 

Deutsche Mortgage Securities, Inc., 5.50%, 9/25/33, CMO

 

1,041,628

 

1,624

 

Downey Savings & Loan Assoc. Mortgage Loan Trust, 0.42%, 4/19/47, CMO, FRN

 

373,161

 

 

 

EMF-NL, CMO, FRN,

 

 

 

€800

 

1.753%, 7/17/41

 

672,440

 

€1,000

 

2.003%, 10/17/41

 

1,007,777

 

 

 

First Horizon Alternative Mortgage Securities, CMO,

 

 

 

$452

 

2.384%, 2/25/36, FRN

 

332,943

 

613

 

2.457%, 8/25/35, FRN

 

111,899

 

2,964

 

2.513%, 11/25/36, FRN

 

1,581,019

 

784

 

2.559%, 5/25/36, FRN

 

414,941

 

278

 

6.25%, 11/25/36

 

197,927

 

 

 

First Horizon Asset Securities, Inc., CMO,

 

 

 

2,374

 

2.584%, 1/25/37, FRN

 

1,738,895

 

415

 

5.50%, 8/25/35

 

307,103

 

443

 

5.54%, 7/25/37, FRN

 

357,065

 

 

 

 

 

 

 

 

 

PIMCO Corporate & Income Strategy Fund

 

18

 

PIMCO Income Opportunity Fund Semi-Annual Report | 4.30.12

 

 


 

PIMCO Income Opportunity Fund Schedule of Investments

April 30, 2012 (unaudited) (continued)

 

Principal
 Amount
    (000s)

 

 

 

Value

 

 

 

 

 

 

 

$53,031

 

FREMF Mortgage Trust, 0.10%, 5/25/20, CMO, IO, VRN (f)

 

$307,557

 

 

 

GMAC Mortgage Corp. Loan Trust, CMO, FRN,

 

 

 

222

 

3.111%, 7/19/35

 

202,628

 

419

 

3.127%, 6/25/34

 

374,568

 

439

 

3.454%, 6/25/34

 

403,838

 

2,117

 

Greenpoint Mortgage Funding Trust, 0.419%, 1/25/37, CMO, FRN

 

1,118,029

 

765

 

Greenwich Capital Commercial Funding Corp., 0.381%, 11/5/21, CMO, FRN (a) (d)

 

730,838

 

 

 

GS Mortgage Securities Corp. II, CMO (a) (d),

 

 

 

10,217

 

1.694%, 8/10/43, IO, VRN

 

878,194

 

140

 

4.805%, 3/6/20, FRN

 

140,078

 

2,100

 

6.137%, 8/10/43, VRN

 

1,926,012

 

 

 

GSR Mortgage Loan Trust, CMO,

 

 

 

1,184

 

0.689%, 7/25/37, FRN

 

708,981

 

3,588

 

2.691%, 1/25/36, FRN

 

2,838,787

 

66

 

2.901%, 12/25/34, FRN

 

49,452

 

147

 

6.00%, 9/25/34

 

150,175

 

 

 

Harborview Mortgage Loan Trust, CMO,

 

 

 

3,449

 

0.43%, 2/19/46, FRN

 

2,134,710

 

6,299

 

0.45%, 11/19/36, FRN

 

3,857,326

 

260

 

0.56%, 1/19/35, FRN

 

171,935

 

711

 

0.80%, 6/19/34, FRN

 

564,732

 

2,818

 

5.531%, 6/19/36, FRN

 

1,736,700

 

608

 

5.75%, 8/19/36, VRN

 

357,234

 

788

 

Homebanc Mortgage Trust, 0.489%, 3/25/35, CMO, FRN

 

550,362

 

€1,171

 

IM Pastor FTH, 0.972%, 3/22/44, CMO, FRN

 

999,875

 

$633

 

Impac CMB Trust, 0.499%, 11/25/35, CMO, FRN

 

377,215

 

2,822

 

Indymac INDA Mortgage Loan Trust, 2.768%, 12/25/36, CMO, FRN

 

1,820,763

 

 

 

Indymac Index Mortgage Loan Trust, CMO, FRN,

 

 

 

421

 

1.039%, 8/25/34

 

277,913

 

847

 

1.099%, 9/25/34

 

568,306

 

1,971

 

3.239%, 5/25/37

 

1,082,747

 

661

 

3.638%, 6/25/37

 

324,464

 

2,841

 

5.272%, 11/25/36

 

2,092,037

 

372

 

5.345%, 5/25/37

 

67,467

 

¥3,332

 

JLOC Ltd., 0.456%, 2/16/16, CMO, FRN (f)

 

40,064

 

 

 

JPMorgan Alternative Loan Trust, CMO,

 

 

 

$949

 

2.795%, 5/25/36, FRN

 

562,638

 

726

 

5.50%, 11/25/36, VRN

 

723,528

 

4,000

 

JPMorgan Chase Commercial Mortgage Securities Corp., 5.714%, 3/18/51, CMO, VRN (a) (d)

 

3,935,218

 

 

 

JPMorgan Mortgage Trust, CMO,

 

 

 

126

 

2.772%, 10/25/36, FRN

 

92,524

 

445

 

3.628%, 7/25/35, FRN

 

418,441

 

838

 

3.804%, 6/25/37, FRN

 

557,768

 

2,003

 

5.493%, 5/25/36, FRN

 

1,548,840

 

3,004

 

5.50%, 11/25/34

 

3,042,728

 

383

 

6.00%, 8/25/37

 

319,502

 

 

 

Landmark Mortgage Securities PLC, CMO, FRN,

 

 

 

€710

 

1.082%, 6/17/38

 

798,421

 

£1,862

 

1.257%, 6/17/38

 

2,579,424

 

 

 

Lehman Mortgage Trust, CMO,

 

 

 

$4,849

 

6.00%, 5/25/37

 

4,273,069

 

1,098

 

6.452%, 4/25/36, VRN

 

1,061,728

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

PIMCO Corporate & Income Strategy Fund

 

 

4.30.12 | 

PIMCO Income Opportunity Fund Semi-Annual Report

19

 

 


 

PIMCO Income Opportunity Fund Schedule of Investments

April 30, 2012 (unaudited) (continued)

 

Principal
 Amount
    (000s)

 

 

 

Value

 

 

 

 

 

 

 

 

 

MASTR Adjustable Rate Mortgage Trust, CMO, FRN,

 

 

 

$1,694

 

0.449%, 4/25/46

 

$921,595

 

1,018

 

0.898%, 1/25/47

 

483,621

 

1,329

 

3.319%, 10/25/34

 

949,451

 

 

 

Morgan Stanley Mortgage Loan Trust, CMO,

 

 

 

1,393

 

2.796%, 7/25/35, FRN

 

933,602

 

735

 

3.028%, 1/25/35, FRN

 

56,603

 

1,253

 

5.75%, 12/25/35

 

964,396

 

905

 

6.00%, 8/25/37

 

805,954

 

6,200

 

Morgan Stanley Reremic Trust, zero coupon, 7/17/56, CMO, PO (a) (d)

 

5,440,500

 

 

 

Prime Mortgage Trust, CMO,

 

 

 

7,167

 

0.589%, 6/25/36, FRN

 

2,371,193

 

440

 

7.00%, 7/25/34

 

411,092

 

691

 

Prudential Securities Secured Financing Corp., 6.755%, 6/16/31, CMO, VRN (a) (d)

 

690,660

 

2,000

 

RBSCF Trust, 5.223%, 8/16/48, CMO, VRN (a) (d)

 

1,994,149

 

62

 

Regal Trust IV, 2.724%, 9/29/31, CMO, FRN (a) (d)

 

54,891

 

 

 

Residential Accredit Loans, Inc., CMO,

 

 

 

555

 

0.419%, 6/25/46, FRN

 

209,511

 

293

 

5.50%, 4/25/37

 

179,333

 

1,297

 

6.00%, 8/25/35

 

1,088,241

 

1,299

 

6.00%, 1/25/37

 

835,733

 

981

 

Residential Asset Securitization Trust, 6.00%, 3/25/37, CMO

 

637,468

 

 

 

Residential Funding Mortgage Securities I, CMO,

 

 

 

720

 

5.656%, 7/27/37, FRN

 

563,074

 

1,475

 

6.00%, 6/25/37

 

1,175,369

 

979

 

Salomon Brothers Mortgage Securities VII, Inc., 6.50%, 2/25/29, CMO

 

990,103

 

812

 

Sequoia Mortgage Trust, 4.44%, 1/20/38, CMO, FRN

 

536,586

 

 

 

Structured Adjustable Rate Mortgage Loan Trust, CMO, FRN,

 

 

 

54

 

2.727%, 8/25/34

 

47,584

 

3,382

 

5.232%, 11/25/36

 

2,776,168

 

2,640

 

5.481%, 1/25/36

 

1,838,914

 

 

 

Structured Asset Mortgage Investments, Inc., CMO, FRN,

 

 

 

4,037

 

0.449%, 8/25/36

 

2,351,517

 

336

 

0.469%, 5/25/45

 

211,664

 

1,028

 

Structured Asset Securities Corp., 2.56%, 1/25/34, CMO, FRN

 

919,233

 

873

 

Suntrust Adjustable Rate Mortgage Loan Trust, 5.725%, 10/25/37, CMO, FRN

 

754,574

 

€190

 

Talisman Finance PLC, 0.957%, 4/22/17, CMO, FRN

 

221,042

 

$667

 

TBW Mortgage-Backed Pass Through Certificates, 6.00%, 7/25/36, CMO

 

335,141

 

367

 

Wachovia Bank Commercial Mortgage Trust, 0.33%, 9/15/21, CMO, FRN (a) (d)

 

355,581

 

5,000

 

WaMu Commercial Mortgage Securities Trust, 6.302%, 3/23/45, CMO, VRN (a) (d)

 

3,988,358

 

 

 

WaMu Mortgage Pass Through Certificates, CMO, FRN,

 

 

 

73

 

0.529%, 10/25/45

 

58,420

 

213

 

2.121%, 3/25/33

 

210,008

 

3,757

 

2.627%, 7/25/37

 

2,282,097

 

1,392

 

2.681%, 3/25/37

 

879,063

 

2,727

 

2.691%, 2/25/37

 

1,936,067

 

3,955

 

2.706%, 7/25/46

 

3,119,221

 

3,650

 

4.775%, 6/25/37

 

2,446,256

 

3,022

 

5.165%, 7/25/37

 

2,177,779

 

910

 

5.173%, 11/25/36

 

677,222

 

2,293

 

5.22%, 2/25/37

 

1,659,580

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

PIMCO Corporate & Income Strategy Fund

 

20

 

PIMCO Income Opportunity Fund Semi-Annual Report | 4.30.12

 

 


 

PIMCO Income Opportunity Fund Schedule of Investments

April 30, 2012 (unaudited) (continued)

Principal
Amount
(000s)

 

 

 

Value

 

 

 

 

 

 

 

 

 

Washington Mutual Alternative Mortgage Pass Through Certificates, CMO,

 

 

 

$1,243

 

1.008%, 10/25/46, FRN

 

$524,853

 

5,820

 

5.50%, 7/25/35

 

4,456,368

 

74

 

Washington Mutual MSC Mortgage Pass Through Certificates, 1.60%, 6/25/33, CMO, FRN

 

47,335

 

 

 

Wells Fargo Mortgage-Backed Securities Trust, CMO,

 

 

 

1,099

 

0.739%, 7/25/37, FRN

 

868,629

 

79

 

2.628%, 10/25/36, FRN

 

59,211

 

78

 

2.65%, 9/25/36, FRN

 

58,415

 

186

 

2.686%, 4/25/36, FRN

 

149,350

 

2,200

 

2.749%, 9/25/36, FRN

 

1,623,093

 

110

 

5.50%, 1/25/36

 

54,125

 

2,500

 

WFDB Commercial Mortgage Trust, 6.403%, 7/5/24, CMO (a) (d)

 

2,581,408

 

Total Mortgage-Backed Securities (cost-$191,342,809)

 

197,413,663

 

 

 

 

 

 

 

CORPORATE BONDS & NOTES – 46.6%

 

 

 

 

 

 

 

Aerospace/Defense – 0.3%

 

 

 

1,700

 

Colt Defense LLC, 8.75%, 11/15/17

 

1,100,750

 

Airlines – 3.8%

 

 

 

970

 

American Airlines Pass Through Trust, 8.625%, 4/15/23

 

1,023,855

 

2,500

 

American Airlines, Inc., 10.50%, 10/15/12 (e)

 

2,631,250

 

 

 

Continental Airlines Pass Through Trust (j),

 

 

 

1,110

 

7.707%, 10/2/22

 

1,198,636

 

1,094

 

8.048%, 5/1/22

 

1,187,605

 

1,754

 

Delta Air Lines, Inc., 7.75%, 6/17/21 (j)

 

2,000,119

 

678

 

Northwest Airlines, Inc., 1.243%, 11/20/15, FRN (MBIA) (j)

 

643,982

 

 

 

United Air Lines Pass Through Trust (j),

 

 

 

2,505

 

9.75%, 7/15/18

 

2,861,572

 

2,304

 

10.40%, 5/1/18

 

2,629,063

 

 

 

 

 

14,176,082

 

Banking – 10.7%

 

 

 

£2,100

 

Barclays Bank PLC, 14.00%, 6/15/19 (g)

 

4,089,707

 

 

 

BPCE S.A. (g),

 

 

 

€750

 

9.00%, 3/17/15

 

883,570

 

€350

 

9.25%, 4/22/15

 

398,723

 

 

 

Cooperatieve Centrale Raiffeisen-Boerenleenbank BA,

 

 

 

€3,000

 

6.875%, 3/19/20

 

3,844,026

 

$6,875

 

11.00%, 6/30/19 (a) (d) (g) (j)

 

8,775,979

 

7,300

 

Discover Bank, 7.00%, 4/15/20 (j)

 

8,498,653

 

£1,200

 

DnB NOR Bank ASA, 6.012%, 3/29/17 (g)

 

1,840,368

 

$5,000

 

Lloyds TSB Bank PLC, 6.375%, 1/21/21 (j)

 

5,411,455

 

5,000

 

Regions Financial Corp., 7.75%, 11/10/14 (j)

 

5,512,500

 

 

 

 

 

39,254,981

 

Construction & Engineering – 0.9%

 

 

 

3,600

 

Alion Science and Technology Corp., 12.00%, 11/1/14, PIK

 

3,330,000

 

Energy – 0.6%

 

 

 

2,100

 

Berau Coal Energy Tbk PT, 7.25%, 3/13/17 (a) (d)

 

2,100,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

PIMCO Corporate & Income Strategy Fund

 

 

4.30.12 | 

PIMCO Income Opportunity Fund Semi-Annual Report

21

 

 


 

PIMCO Income Opportunity Fund Schedule of Investments

April 30, 2012 (unaudited) (continued)

 

Principal
Amount
(000s)

 

 

 

Value

 

 

 

 

 

 

 

Financial Services – 10.5%

 

 

 

$1,000

 

AGFC Capital Trust I, 6.00%, 1/15/67, (converts to FRN on 1/15/17) (a) (d)

 

$500,000

 

 

 

Ally Financial, Inc. (j),

 

 

 

1,850

 

6.75%, 12/1/14

 

1,947,902

 

5,000

 

8.30%, 2/12/15

 

5,500,000

 

 

<