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:

October 31, 2012

 

 



 

ITEM 1:  REPORT TO SHAREHOLDERS

 

 

October 31, 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

9-29

 

 

Statements of Assets and Liabilities

30

 

 

Statements of Operations

31

 

 

Statements of Changes in Net Assets

32-33

 

 

Statements of Cash Flows

34

 

 

Notes to Financial Statements

35-58

 

 

Financial Highlights

59-60

 

 

Report of Independent Registered Public Accounting Firm

61

 

 

Annual Shareholder Meeting Results/Changes to Bylaws

62

 

 

Proxy Voting Policies & Procedures/Tax Information

63

 

 

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

64-68

 

 

Privacy Policy

69

 

 

Dividend Reinvestment Plan

70-71

 

 

Board of Trustees

72-73

 

 

Fund Officers

74

 

PIMCO Corporate & Income Strategy Fund          

 

10.31.12 | PIMCO Income Opportunity Fund Annual Report

1

 


 

Dear Shareholder,

 

The U.S. economy expanded during the twelve-month fiscal reporting period ended October 31, 2012, however growth slowed amid ongoing geopolitical and economic concerns in both the United States and abroad. After reaching multi-year highs, stock markets slipped as corporate profits leveled off.

 

Twelve Months in Review

For the twelve-month fiscal reporting period ended October 31, 2012:

 

·       PIMCO Corporate & Income Strategy Fund advanced 32.57% on net asset value (“NAV”) and 33.21% on market price.

 

·       PIMCO Income Opportunity Fund rose 28.15% on NAV and 26.98% on market price.

 

As the fiscal reporting period began, U.S. gross domestic product (“GDP”), the value of goods and services produced in the country, the broadest measure of economic activity and the principal indicator of economic performance, was expanding at a healthy annual rate of 4.1%. This growth rate, the strongest since 2009, eased to a 2.0% annual pace during the first quarter of 2012, and to a 1.3% rate during the second quarter of 2012, before rebounding to growth of 2.0% (preliminary estimate) during the third quarter.

 

Hans W. Kertess
Chairman

 

Brian S. Shlissel
President & CEO

 

As the economy slowed, the Federal Reserve (“the Fed”) revealed that it would launch a third round of “quantitative easing.” The Fed agreed to purchase $40 billion of mortgage securities each month for the foreseeable future, the objective of which is to lower already record low mortgage rates in an effort to boost the housing market. The Fed also announced that it expects to keep the Fed Funds rate in the 0.0% to 0.25% range well into 2015, longer than previously forecasted.

 

Despite the slowdown, the U.S. economy showed clear signs of improvement. The unemployment rate dropped from 8.9% to 7.9% during the reporting period. Consumer confidence reached its highest level since 2007 and the housing market showed signs of recovery.

 

 

PIMCO Corporate & Income Strategy Fund

 

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PIMCO Income Opportunity Fund Annual Report  | 10.31.12

 

 


 

Outlook

The U.S. election is over, however, the division of power that produced political gridlock in recent years remains. Republicans continue to have control in the House of Representatives, Democrats hold a majority in the Senate, and President Obama was re-elected. The government must act prior to the end of the year in order to help prevent the U.S. economy from falling off “the fiscal cliff” – a series of tax cuts scheduled to expire on December 31, 2012 and major spending reductions planned to begin in January 2013. Higher taxes, reduced spending, or both, would likely have a negative impact on the economy in 2013. The resolution remains uncertain, consequently, there are many reasons for caution going forward.

 

This caution extends overseas, where the sovereign debt crisis in the European Union (“E.U.”) continues. Economic growth in the E.U. has ground to a halt with unemployment reaching 11.6% as of October 2012. Growth in China also slowed during the twelve-month fiscal period, however there are signs that a rebound may be underway.

 

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          

 

10.31.12 | PIMCO Income Opportunity Fund Annual Report

3

 

 


 

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

October 31, 2012

 

For the 12-months ended October 31, 2012, PIMCO Corporate & Income Strategy Fund returned 32.57% on net asset value (“NAV”) and 33.21% on market price.

 

For the 12-months ended October 31, 2012, PIMCO Income Opportunity Fund returned 28.15% on NAV and 26.98% on market price.

 

While the U.S. fixed income market experienced periods of weakness during the reporting period, all told, solid results were achieved with investors who assumed greater risk generally rewarded. Market volatility was often triggered by macro issues impacting investor sentiment, such as the European sovereign debt crisis and moderating global growth. However, market setbacks were typically short-lived, as investor risk aversion was often quickly replaced with renewed risk appetite as incremental yield was sought in the low interest rate environment. Investor sentiment was also buoyed later in the reporting period due to signs of progress in Europe, coupled with additional quantitative easing by the Federal Reserve Board and the European Central Bank. During the 12-months ended October 31, 2012, short-term Treasury yields rose modestly, long-term Treasury yields declined and the yield curve flattened. Spread sectors (non-U.S. Treasuries) generally outperformed equal-duration Treasuries, with lower-rated, higher yielding securities generating the strongest returns.

 

Compared to the 5.25% 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 13.61% and 9.71%, respectively (as measured by the Barclays U.S. High Yield and Barclays U.S. Credit Indices) for the 12-month reporting period. On a total return basis, lower rated, higher yielding investment grade corporate bonds generally outperformed higher quality fixed income instruments. AAA-, AA-, A and BBB-rated issues, as measured by the Barclays U.S. Credit Index, returned 3.40%, 7.19%, 10.10%, and 11.73%, respectively. Within the high yield market, BB-rated issues returned 13.60%,

 

 

PIMCO Corporate & Income Strategy Fund

 

4

 

PIMCO Income Opportunity Fund Annual Report  | 10.31.12

 

 


 

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

October 31, 2012 (continued)

 

versus 13.25% for B-rated names as measured by the Barclays U.S. High Yield Index.

 

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 Furthermore, an overweighting to life insurance was rewarded as this sector outperformed the Index during the fiscal period. An underweighting to electric utilities was positive for results as these issues underperformed the Index. The Fund’s duration positioning was also beneficial to returns as a longer duration than that of the Index was positive during the reporting period as interest rates declined during the 12-months ended October 31, 2012.

 

On the downside, the Fund’s underweight positioning in telecommunications hindered performance as this sector outperformed the Index during the reporting period. The Fund’s overweighting in energy hindered returns as this sector underperformed the Index.

 

PIMCO Income Opportunity

Sector positioning largely drives results

The Fund produced strong absolute returns during the 12-month reporting period. Allocations to non-agency mortgage-backed securities were a significant contributor to results, as these securities outperformed the broader market. Driving these strong returns were generally robust investor demand for higher yielding assets, improving collateral performance, signs of a bottom in the housing market and continuing positive supply technicals. An emphasis on select, high quality, financial issues was also beneficial to performance, as these securities generally outperformed the broad market during the reporting period. Positions in select insurance

 

PIMCO Corporate & Income Strategy Fund          

 

10.31.12 | PIMCO Income Opportunity Fund Annual Report

5

 


 

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

October 31, 2012 (continued)

 

issues enhanced performance as these companies outperformed the broader credit market during the 12-months ended October 31, 2012. The Fund’s overweighting to credit spread duration was helpful, as credit spreads tightened during the reporting period.

 

On the downside, the Fund’s underweighting to the high yield corporate sector detracted from results as this was one of best performing credit sectors, supported by low default rates and generally strong demand from investors looking for incremental yield 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. 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 Annual Report  | 10.31.12

 

 


 

PIMCO Corporate & Income Strategy Fund Performance & Statistics

October 31, 2012 (unaudited)

 

Total Return(1):

 

Market Price

NAV

1 Year

 

33.21%

32.57%

5 Year

 

17.92%

16.69%

10 Year

 

15.06%

15.00%

Commencement of Operations (12/21/01) to 10/31/12

 

13.21%

12.85%

 

Market Price/NAV Performance:

Market Price/NAV:

 

 

Commencement of Operations (12/21/01) to 10/31/12

Market Price

 

$18.17

 

NAV

 

$15.90

 NAV

Premium to NAV

 

14.28%

 Market Price

Market Price Yield(2) 

 

7.43%

 

Leverage Ratio(3)

 

30.08%

 

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 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 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 current monthly dividend per common share (comprised of net investment income) by the market price per common share at October 31, 2012.

 

(3) Represents Preferred Shares and Reverse Repurchase Agreements (collectively “Leverage”) 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          

 

10.31.12 | PIMCO Income Opportunity Fund Annual Report

7

 

 


 

PIMCO Income Opportunity Fund Performance & Statistics

October 31, 2012 (unaudited)

 

 

Total Return(1):

 

Market Price

NAV

1 Year

 

26.98%

28.15%

3 Year

 

25.54%

22.44%

Commencement of Operations (11/30/07) to 10/31/12

 

15.60%

15.26%

 

Market Price/NAV Performance:

Market Price/NAV:

 

 

Commencement of Operations (11/30/07) to 10/31/12

Market Price

 

$29.85

 

NAV

 

$27.86

 NAV

Premium to NAV

 

7.14%

 Market Price

Market Price Yield(2) 

 

7.64%

 

Leverage Ratio(3)

 

38.44%

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 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 each Fund’s shares, or changes in Fund dividends.

 

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

 

(2) Market Price Yield is determined by dividing the annualized current monthly dividend per share (comprised of net investment income and short-term capital gains, if any) by the market price per share at October 31, 2012.

 

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

 

 

PIMCO Corporate & Income Strategy Fund

 

8

 

PIMCO Income Opportunity Fund Annual Report  | 10.31.12

 

 


 

PIMCO Corporate & Income Strategy Fund Schedule of Investments

October 31, 2012

Principal
Amount
(000s)

 

 

 

 

Value

 

CORPORATE BONDS & NOTES – 58.4%

 

 

 

 

 

 

 

Airlines – 0.9%

 

 

 

$1,716

 

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

 

$1,818,615

 

1,733

 

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

 

1,889,389

 

 

 

United Air Lines Pass Through Trust,

 

 

 

1,305

 

7.336%, 1/2/21 (a) (b) (d) (m)
(acquisition cost-$1,305,258; purchased 6/19/07)

 

1,285,679

 

2,184

 

10.40%, 5/1/18 (l)

 

2,509,128

 

 

 

 

 

 

 

 

 

 

 

7,502,811

 

Automotive – 1.8%

 

 

 

 

 

Ford Motor Co.,

 

 

 

12,000

 

7.70%, 5/15/97

 

13,305,000

 

1,500

 

9.98%, 2/15/47

 

2,090,625

 

 

 

 

 

 

 

 

 

 

 

15,395,625

 

Banking – 8.3%

 

 

 

4,000

 

ABN Amro North American Holding Preferred Capital Repackage Trust I, 6.523%, 11/30/12 (a) (b) (d) (g) (m)
(acquisition cost-$2,410,000; purchased 7/15/09)

 

4,040,000

 

2,400

 

AgFirst Farm Credit Bank, 7.30%, 11/30/12 (a) (b) (d) (g) (m)
(acquisition cost-$1,904,000; purchased 2/26/10-3/2/10)

 

2,399,762

 


7,760

 

Barclays Bank PLC,
10.179%, 6/12/21 (a) (b) (d) (m)
(acquisition cost-$7,779,400; purchased 6/10/09)

 

10,334,496

 

£200

 

14.00%, 6/15/19 (g)

 

417,600

 

$5,000

 

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

 

5,729,010

 

27,790

 

Cooperatieve Centrale Raiffeisen-Boerenleenbank BA,
11.00%, 6/30/19 (a) (b) (d) (g) (l) (m)
(acquisition cost-$29,359,603; purchased 5/29/09-1/30/12)

 

37,388,083

 

 

 

HBOS PLC,

 

 

 

4,000

 

1.112%, 9/6/17 (h)

 

3,366,000

 

2,000

 

6.75%, 5/21/18 (a) (b) (d) (m)
(acquisition cost-$1,991,680; purchased 5/15/08)

 

2,130,000

 

1,000

 

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

 

1,380,000

 

1,900

 

Regions Financial Corp., 7.375%, 12/10/37

 

2,049,625

 

£1,200

 

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

 

1,975,616

 

 

 

 

 

 

 

 

 

 

 

71,210,192

 

Building & Construction – 0.3%

 

 

 

$1,000

 

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

 

1,008,800

 

1,700

 

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

 

1,957,827

 

 

 

 

 

 

 

 

 

 

 

2,966,627

 

Energy – 0.0%

 

 

 

4,300

 

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

 

215,000

 

Financial Services – 24.8%

 

 

 

2,300

 

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

 

1,357,000

 

 

 

Ally Financial, Inc.,

 

 

 

240

 

5.35%, 1/15/14

 

239,307

 

70

 

5.75%, 1/15/14

 

69,629

 

372

 

5.85%, 6/15/13

 

370,911

 

 

 

 

 

 

 

 

 

 

 

 

 

 

PIMCO Corporate & Income Strategy Fund          

 

10.31.12 | PIMCO Income Opportunity Fund Annual Report

9

 

 


 

PIMCO Corporate & Income Strategy Fund Schedule of Investments

October 31, 2012 (continued)

Principal
Amount
(000s)

 

 

 

 

Value

 

 

 

 

 

Financial Services (continued)

 

 

 

$225

 

6.00%, 7/15/13

 

$223,971

 

34

 

6.00%, 3/15/19

 

33,133

 

494

 

6.00%, 9/15/19

 

486,676

 

492

 

6.05%, 8/15/19

 

481,744

 

659

 

6.125%, 10/15/19

 

643,141

 

343

 

6.15%, 9/15/19

 

338,181

 

5

 

6.15%, 10/15/19

 

4,877

 

10

 

6.20%, 4/15/19

 

9,858

 

517

 

6.25%, 12/15/18

 

509,446

 

10

 

6.25%, 4/15/19

 

9,786

 

182

 

6.25%, 5/15/19

 

178,643

 

10

 

6.25%, 7/15/19

 

9,869

 

620

 

6.30%, 8/15/19

 

609,176

 

210

 

6.35%, 5/15/13

 

210,649

 

5

 

6.35%, 7/15/19

 

4,936

 

158

 

6.40%, 12/15/18

 

153,728

 

133

 

6.50%, 2/15/16

 

132,509

 

771

 

6.50%, 6/15/18

 

762,072

 

666

 

6.50%, 11/15/18

 

656,477

 

879

 

6.50%, 12/15/18

 

866,714

 

11

 

6.50%, 5/15/19

 

10,736

 

55

 

6.50%, 1/15/20

 

54,369

 

78

 

6.60%, 5/15/18

 

76,821

 

476

 

6.65%, 6/15/18

 

468,403

 

770

 

6.65%, 10/15/18

 

761,950

 

682

 

6.70%, 6/15/18

 

669,931

 

250

 

6.70%, 11/15/18

 

247,524

 

499

 

6.70%, 12/15/19

 

493,431

 

195

 

6.75%, 8/15/16

 

192,369

 

10

 

6.75%, 6/15/17

 

9,875

 

26

 

6.75%, 3/15/18

 

25,655

 

554

 

6.75%, 7/15/18

 

548,663

 

113

 

6.75%, 9/15/18

 

109,471

 

432

 

6.75%, 10/15/18

 

428,523

 

125

 

6.75%, 11/15/18

 

122,691

 

293

 

6.75%, 5/15/19

 

290,284

 

209

 

6.75%, 6/15/19

 

207,668

 

682

 

6.80%, 9/15/18

 

676,933

 

135

 

6.80%, 10/15/18

 

133,904

 

30

 

6.85%, 5/15/18

 

29,543

 

80

 

6.875%, 7/15/18

 

78,139

 

133

 

6.90%, 6/15/17

 

132,011

 

535

 

6.90%, 7/15/18

 

531,583

 

320

 

6.90%, 8/15/18

 

317,239

 

10

 

7.00%, 8/15/16

 

10,001

 

133

 

7.00%, 2/15/18

 

131,802

 

2,262

 

7.00%, 5/15/18

 

2,218,708

 

60

 

7.00%, 8/15/18

 

58,861

 

975

 

7.00%, 9/15/18

 

960,092

 

560

 

7.00%, 11/15/23

 

554,544

 

107

 

7.05%, 3/15/18

 

105,100

 

1,771

 

7.05%, 4/15/18

 

1,756,921

 

105

 

7.125%, 10/15/17

 

103,765

 

 

 

 

 

 

 

 

 

PIMCO Corporate & Income Strategy Fund

10

 

PIMCO Income Opportunity Fund Annual Report | 10.31.12

 


 

PIMCO Corporate & Income Strategy Fund Schedule of Investments

October 31, 2012 (continued)

Principal
Amount
(000s)

 

 

 

 

Value

 

 

 

 

 

 

 

Financial Services (continued)

 

 

 

$148

 

7.15%, 6/15/16

 

$146,209

 

143

 

7.15%, 9/15/18

 

141,034

 

210

 

7.15%, 1/15/25

 

205,994

 

270

 

7.25%, 9/15/17

 

267,995

 

214

 

7.25%, 4/15/18

 

212,297

 

1,515

 

7.25%, 8/15/18

 

1,491,483

 

385

 

7.25%, 9/15/18

 

379,933

 

50

 

7.25%, 3/15/25

 

49,639

 

227

 

7.30%, 12/15/17

 

225,323

 

61

 

7.30%, 1/15/18

 

60,425

 

12,781

 

7.375%, 11/15/16

 

12,699,956

 

80

 

7.375%, 4/15/18

 

78,476

 

20

 

7.40%, 12/15/17

 

19,746

 

16

 

7.50%, 11/15/16

 

15,812

 

45

 

7.50%, 11/15/17

 

44,573

 

23

 

7.50%, 12/15/17

 

22,864

 

27

 

7.625%, 11/15/12

 

27,008

 

266

 

9.00%, 7/15/20

 

265,430

 

2,000

 

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

 

2,180,000

 

 

 

BNP Paribas S.A. (g),

 

 

 

7,800

 

7.195%, 6/25/37 (a) (d) (l)

 

7,722,000

 

€350

 

7.781%, 7/2/18

 

461,591

 

$1,790

 

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

 

2,384,121

 

1,500

 

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

 

1,552,500

 

3,300

 

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

 

3,395,406

 

509

 

Cedar Brakes II LLC, 9.875%, 9/1/13 (a) (b) (d) (m)
(acquisition cost-$508,256; purchased 9/12/02)

 

525,386

 

 

 

Citigroup, Inc.,

 

 

 

CAD1,300

 

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

 

1,215,191

 

$300

 

6.125%, 8/25/36

 

332,489

 

 

 

Credit Agricole S.A. (g),

 

 

 

€2,000

 

7.875%, 10/26/19

 

2,515,826

 

$21,400

 

8.375%, 10/13/19 (a) (d) (l)

 

21,881,500

 

£500

 

General Electric Capital Corp.,
6.50%, 9/15/67, (converts to FRN on 9/15/17) (a) (d)

 

822,810

 

 

 

Goldman Sachs Group, Inc.,

 

 

 

$4,000

 

6.45%, 5/1/36 (l)

 

4,273,980

 

7,000

 

6.75%, 10/1/37

 

7,715,330

 

 

 

International Lease Finance Corp.,

 

 

 

2,900

 

6.75%, 9/1/16 (a) (d)

 

3,291,500

 

1,000

 

8.625%, 9/15/15

 

1,129,750

 

7,300

 

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

 

8,438,267

 

 

 

LBG Capital No.1 PLC,

 

 

 

€300

 

7.375%, 3/12/20

 

372,241

 

£100

 

7.588%, 5/12/20

 

161,004

 

£200

 

7.867%, 12/17/19

 

321,943

 

£400

 

7.869%, 8/25/20

 

647,759

 

$12,700

 

7.875%, 11/1/20 (a) (b) (d) (m)
(acquisition cost-$10,447,750; purchased 12/7/09-4/16/10)

 

13,176,250

 

17,500

 

8.00%, 6/15/20 (a) (b) (d) (g) (m)
(acquisition cost-$14,068,875; purchased 2/2/10-2/11/10)

 

16,878,155

 

 

 

 

 

 

 

 

 

 

 

 

 

 

PIMCO Corporate & Income Strategy Fund          

 

10.31.12 | PIMCO Income Opportunity Fund Annual Report

11

 

 


 

PIMCO Corporate & Income Strategy Fund Schedule of Investments

October 31, 2012 (continued)

Principal
Amount
(000s)

 

 

 

 

Value

 

 

 

 

 

 

 

Financial Services (continued)

 

 

 

$8,500

 

8.50%, 12/17/21 (a) (b) (d) (g) (m)
(acquisition cost-$3,882,703; purchased 11/14/08-11/18/08)

 

$7,905,000

 

£300

 

11.04%, 3/19/20

 

537,984

 

 

 

LBG Capital No.2 PLC,

 

 

 

€400

 

8.875%, 2/7/20

 

531,214

 

£3,100

 

9.125%, 7/15/20

 

5,152,701

 

£500

 

9.334%, 2/7/20

 

840,763

 

$3,500

 

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

 

3,547,628

 

5,200

 

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

 

6,022,073

 

 

 

Royal Bank of Scotland Group PLC (g),

 

 

 

1,000

 

6.99%, 10/5/17 (a) (b) (d) (m)
(acquisition cost-$770,000; purchased 1/30/12)

 

917,500

 

1,500

 

7.64%, 9/29/17

 

1,271,250

 

4,100

 

7.648%, 9/30/31

 

4,079,500

 

 

 

SLM Corp.,

 

 

 

5,900

 

8.00%, 3/25/20

 

6,862,408

 

12,500

 

8.45%, 6/15/18

 

14,917,875

 

 

 

Springleaf Finance Corp.,

 

 

 

€1,500

 

4.125%, 11/29/13

 

1,924,782

 

$2,200

 

5.40%, 12/1/15

 

2,068,000

 

500

 

6.50%, 9/15/17

 

445,310

 

3,000

 

6.90%, 12/15/17

 

2,655,000

 

6,700

 

UBS AG, 7.625%, 8/17/22

 

7,231,866

 

5,900

 

Wells Fargo & Co., 7.98%, 3/15/18 (g)

 

6,998,875

 

 

 

 

 

 

 

 

 

 

 

212,538,868

 

Healthcare & Hospitals – 1.8%

 

 

 

 

 

HCA, Inc.,

 

 

 

10,000

 

7.875%, 2/15/20

 

11,225,000

 

3,600

 

8.50%, 4/15/19

 

4,063,500

 

 

 

 

 

 

 

 

 

 

 

15,288,500

 

Hotels/Gaming – 0.5%

 

 

 

 

 

MGM Resorts International,

 

 

 

700

 

10.375%, 5/15/14

 

790,125

 

1,050

 

11.125%, 11/15/17

 

1,162,875

 

2,157

 

Times Square Hotel Trust, 8.528%, 8/1/26 (a) (b) (d) (m)
(acquisition cost-$2,565,255; purchased 11/22/04)

 

2,304,852

 

 

 

 

 

 

 

 

 

 

 

4,257,852

 

Household Products – 0.2%

 

 

 

1,700

 

Reynolds Group Issuer, Inc., 9.00%, 4/15/19

 

1,729,750

 

Insurance – 16.6%

 

 

 

1,400

 

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

 

1,603,000

 

9,000

 

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

 

10,777,500

 

 

 

American International Group, Inc.,

 

 

 

14,000

 

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

 

14,525,000

 

MXN16,000

 

7.98%, 6/15/17

 

1,197,236

 

€2,000

 

8.00%, 5/22/68, (converts to FRN on 5/22/18)

 

3,001,097

 

$46,750

 

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

 

58,554,375

 

12,700

 

8.25%, 8/15/18 (l)

 

16,530,396

 

£500

 

8.625%, 5/22/68, (converts to FRN on 5/22/18) (a) (b) (d) (m)
(acquisition cost-$820,199; purchased 5/7/12)

 

958,570

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

PIMCO Corporate & Income Strategy Fund

 

 

12

 

PIMCO Income Opportunity Fund Annual Report | 10.31.12

 

 

 


 

PIMCO Corporate & Income Strategy Fund Schedule of Investments

October 31, 2012 (continued)

Principal
Amount
(000s)

 

 

 

 

Value

 

 

 

 

 

 

 

Insurance (continued)

 

 

 

£3,400

 

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

 

$6,518,277

 

$5,100

 

Dai-ichi Life Insurance Co., Ltd., 7.25%, 7/25/21 (a) (b) (d) (g) (l) (m)
(acquisition cost-$4,985,000; purchased 3/8/11-3/15/11)

 

5,960,411

 

9,000

 

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

 

10,911,663

 

6,800

 

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

 

8,316,944

 

2,500

 

Validus Holdings Ltd., 8.875%, 1/26/40

 

3,341,968

 

 

 

 

 

 

 

 

 

 

 

142,196,437

 

Metals & Mining – 0.6%

 

 

 

4,000

 

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

 

4,724,000

 

Paper/Paper Products – 0.1%

 

 

 

850

 

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

 

722,500

 

Telecommunications – 1.7%

 

 

 

8,200

 

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

 

8,982,872

 

5,360

 

Qwest Corp., 7.20%, 11/10/26

 

5,427,000

 

 

 

 

 

 

 

 

 

 

 

14,409,872

 

Utilities – 0.8%

 

 

 

3,900

 

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

 

4,319,250

 

1,215

 

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

 

1,063,125

 

1,100

 

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

 

1,160,227

 

 

 

 

 

 

 

 

 

 

 

6,542,602

 

Total Corporate Bonds & Notes (cost-$405,325,649)

 

499,700,636

 

 

 

 

 

 

 

MORTGAGE-BACKED SECURITIES – 16.5%

 

 

 

 

 

 

 

 

 

868

 

American Home Mortgage Assets LLC, 0.441%, 9/25/46, CMO (h)

 

121,496

 

309

 

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

 

238,125

 

6,975

 

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

 

6,126,231

 

 

 

BCAP LLC Trust, CMO (a) (d) (h),

 

 

 

2,500

 

5.459%, 3/26/37

 

341,250

 

1,344

 

11.256%, 6/26/36

 

250,683

 

 

 

Bear Stearns Alt-A Trust, CMO (h),

 

 

 

1,952

 

2.899%, 9/25/35

 

1,407,954

 

2,566

 

3.071%, 11/25/36

 

1,633,091

 

 

 

Chase Mortgage Finance Corp., CMO,

 

 

 

29

 

2.752%, 12/25/35 (h)

 

25,437

 

2,545

 

6.00%, 7/25/37

 

2,264,203

 

3,445

 

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

 

3,528,060

 

 

 

Countrywide Alternative Loan Trust, CMO,

 

 

 

802

 

5.50%, 3/25/35

 

664,411

 

368

 

5.50%, 3/25/36

 

247,890

 

1,916

 

5.75%, 3/25/37

 

1,543,036

 

1,002

 

6.00%, 2/25/35

 

895,236

 

3,030

 

6.00%, 4/25/37

 

2,356,230

 

1,297

 

6.00%, 7/25/37

 

1,108,687

 

2,475

 

6.00%, 8/25/37

 

1,655,825

 

1,121

 

6.50%, 8/25/36

 

733,325

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

PIMCO Corporate & Income Strategy Fund         

 

10.31.12 | PIMCO Income Opportunity Fund Annual Report

13

 

 


 

PIMCO Corporate & Income Strategy Fund Schedule of Investments

October 31, 2012 (continued)

Principal
Amount
(000s)

 

 

 

 

Value

 

 

 

 

 

 

 

 

 

Countrywide Home Loan Mortgage Pass Through Trust, CMO,

 

 

 

$694

 

2.868%, 9/20/36 (h)

 

$419,150

 

2,169

 

5.50%, 10/25/35

 

2,126,870

 

2,456

 

5.75%, 3/25/37

 

2,140,503

 

1,574

 

6.00%, 2/25/37

 

1,403,848

 

1,421

 

6.00%, 3/25/37

 

1,249,648

 

450

 

6.00%, 4/25/37

 

410,778

 

 

 

Credit Suisse Mortgage Capital Certificates, CMO,

 

 

 

3,177

 

5.863%, 2/25/37 (h)

 

2,088,717

 

1,458

 

6.00%, 2/25/37

 

1,256,215

 

3,493

 

6.00%, 6/25/37

 

3,003,444

 

12,527

 

First Horizon Alternative Mortgage Securities, 6.00%, 8/25/36, CMO

 

10,523,605

 

 

 

GSR Mortgage Loan Trust, CMO,

 

 

 

615

 

5.50%, 5/25/36

 

544,999

 

8,037

 

6.00%, 2/25/36

 

7,628,688

 

4,910

 

IndyMac IMSC Mortgage Loan Trust, 6.50%, 7/25/37, CMO

 

3,019,532

 

 

 

JPMorgan Alternative Loan Trust, CMO,

 

 

 

4,025

 

5.667%, 3/25/37 (h)

 

2,708,943

 

2,500

 

6.31%, 8/25/36

 

1,770,472

 

 

 

JPMorgan Mortgage Trust, CMO,

 

 

 

3,716

 

5.00%, 3/25/37

 

3,118,222

 

8,522

 

5.154%, 2/25/36 (h)

 

7,200,940

 

1,888

 

5.366%, 1/25/37 (h)

 

1,657,803

 

674

 

6.00%, 8/25/37

 

587,496

 

727

 

Lehman Mortgage Trust, 6.00%, 7/25/37, CMO

 

613,735

 

4,944

 

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

 

4,576,295

 

9,403

 

New Century Alternative Mortgage Loan Trust, 6.173%, 7/25/36, CMO (h)

 

6,577,745

 

1,246

 

Residential Accredit Loans, Inc., 0.441%, 5/25/37, CMO, (h)

 

292,424

 

2,648

 

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

 

2,677,161

 

 

 

Residential Asset Securitization Trust, CMO,

 

 

 

921

 

6.00%, 9/25/36

 

585,151

 

3,174

 

6.00%, 3/25/37

 

2,455,342

 

4,430

 

6.00%, 5/25/37

 

3,956,560

 

4,519

 

6.25%, 9/25/37

 

3,111,054

 

 

 

Residential Funding Mortgage Securities I, CMO,

 

 

 

2,269

 

6.00%, 1/25/37

 

2,018,861

 

2,633

 

6.25%, 8/25/36

 

2,376,172

 

936

 

Sequoia Mortgage Trust, 2.707%, 2/20/47, CMO (h),

 

805,708

 

 

 

Structured Adjustable Rate Mortgage Loan Trust, CMO (h),

 

 

 

6,390

 

5.349%, 5/25/36

 

5,209,509

 

5,213

 

5.356%, 1/25/36

 

3,726,899

 

 

 

Suntrust Adjustable Rate Mortgage Loan Trust, CMO (h),

 

 

 

1,968

 

5.487%, 4/25/37

 

1,621,474

 

1,094

 

5.812%, 2/25/37

 

872,954

 

 

 

WaMu Mortgage Pass Through Certificates, CMO (h),

 

 

 

1,059

 

2.596%, 7/25/37

 

777,877

 

704

 

2.726%, 9/25/36

 

558,119

 

1,851

 

5.199%, 2/25/37

 

1,727,074

 

2,384

 

6.09%, 10/25/36

 

2,066,994

 

 

 

Washington Mutual Alternative Mortgage Pass Through Certificates, CMO (h),

 

 

 

730

 

0.918%, 4/25/47

 

47,133

 

1,294

 

0.994%, 5/25/47

 

203,702

 

2,158

 

Wells Fargo Alternative Loan Trust, 6.00%, 7/25/37, CMO

 

1,948,999

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

PIMCO Corporate & Income Strategy Fund

 

 

14

 

PIMCO Income Opportunity Fund Annual Report | 10.31.12

 

 

 


 

PIMCO Corporate & Income Strategy Fund Schedule of Investments

October 31, 2012 (continued)

Principal
Amount
(000s)

 

 

 

 

Value

 

 

 

 

 

 

 

 

 

Wells Fargo Mortgage-Backed Securities Trust, CMO,

 

 

 

$226

 

2.617%, 5/25/36 (h)

 

$196,882

 

1,243

 

2.622%, 7/25/36 (h)

 

1,025,740

 

578

 

2.667%, 4/25/36 (h)

 

526,778

 

10,601

 

5.08%, 8/25/36 (h)

 

9,730,383

 

1,400

 

5.645%, 10/25/36 (h)

 

1,373,281

 

1,576

 

6.00%, 7/25/37

 

1,561,781

 

 

 

 

 

 

 

Total Mortgage-Backed Securities (cost-$131,102,572)

 

141,222,830

 

 

 

 

 

 

 

MUNICIPAL BONDS – 7.0%

 

 

 

 

 

 

 

California – 3.9%

 

 

 

4,200

 

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

 

4,698,414

 

1,800

 

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

 

1,989,288

 

2,400

 

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

 

2,816,040

 

9,820

 

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

 

10,307,465

 

5,000

 

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

 

5,993,000

 

7,400

 

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

 

7,320,598

 

 

 

 

 

 

 

 

 

 

 

33,124,805

 

Louisiana – 0.2%

 

 

 

 

 

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

 

 

 

800

 

8.30%, 12/1/29

 

913,632

 

820

 

8.55%, 12/1/34

 

922,934

 

300

 

8.80%, 12/1/39

 

339,147

 

 

 

 

 

 

 

 

 

 

 

2,175,713

 

Texas – 2.9%

 

 

 

4,000

 

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

 

4,846,960

 

17,200

 

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

 

20,057,436

 

 

 

 

 

 

 

 

 

 

 

24,904,396

 

 

 

 

 

 

 

Total Municipal Bonds (cost-$55,303,883)

 

60,204,914

 

 

 

 

 

 

 

Shares

 

 

 

 

 

 

 

 

 

 

 

 

PREFERRED STOCK – 3.3%

 

 

 

 

 

 

 

 

 

Banking – 0.2%

 

 

 

30,200

 

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

 

1,621,136

 

Financial Services – 2.8%

 

 

 

100,000

 

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

 

2,505,000

 

250,000

 

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

 

6,952,500

 

552,000

 

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

 

14,429,280

 

 

 

 

 

 

 

 

 

 

 

23,886,780

 

Real Estate Investment Trust – 0.3%

 

 

 

2,500

 

Sovereign Real Estate Investment Trust, 12.00%, 5/16/20 (a) (b) (d) (g) (m)
(acquisition cost-$2,600,000; purchased 6/6/12)

 

3,009,693

 

Total Preferred Stock (cost-$26,941,200)

 

28,517,609

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               

PIMCO Corporate & Income Strategy Fund         

 

10.31.12 | PIMCO Income Opportunity Fund Annual Report

15

 

 


 

PIMCO Corporate & Income Strategy Fund Schedule of Investments

October 31, 2012 (continued)

Principal
Amount
(000s)

 

 

 

 

Value

 

SENIOR LOANS (a) (c) – 2.3%

 

 

 

 

 

 

 

Financial Services – 2.3%

 

 

 

$20,000

 

Springleaf Finance Corp., 5.50%, 5/10/17 (cost-$19,923,459)

 

$19,750,000

 

 

 

 

 

 

 

Shares

 

 

 

 

 

 

 

 

 

 

CONVERTIBLE PREFERRED STOCK – 1.8%

 

 

 

 

 

 

 

Financial Services – 0.9%

 

 

 

6,050

 

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

 

7,562,500

 

 

 

 

 

Utilities – 0.9%

 

 

 

 

 

PPL Corp.,

 

 

 

53,400

 

8.75%, 5/1/14

 

2,892,678

 

90,000

 

9.50%, 7/1/13

 

4,889,700

 

 

 

 

 

 

 

 

 

 

 

7,782,378

 

Total Convertible Preferred Stock (cost-$11,077,008)

 

15,344,878

 

 

 

 

 

Principal
Amount
(000s)

 

 

 

 

 

 

 

 

 

 

 

ASSET-BACKED SECURITIES – 0.9%

 

 

 

 

 

 

 

$2,168

 

GSAA Trust, 6.295%, 6/25/36

 

1,356,107

 

1,712

 

Mid-State Trust, 6.34%, 10/15/36

 

1,813,497

 

3,065

 

Mid-State Trust IV, 8.33%, 4/1/30

 

3,217,873

 

1,346

 

Morgan Stanley Mortgage Loan Trust, 6.25%, 7/25/47 (h)

 

959,106

 

 

 

 

 

 

 

Total Asset-Backed Securities (cost-$7,039,205)

 

7,346,583

 

 

 

 

 

Repurchase Agreements – 9.8%

 

 

 

6,700

 

Barclays Capital, Inc.,
dated 10/31/12, 0.30%-0.35%, due 11/1/12, proceeds $6,700,059; collateralized by Ginnie Mae, 3.50%, due 6/20/42, valued at $2,274,071 and U.S. Treasury Inflation Index Bond, 2.125%, due 2/15/40, valued at $4,614,496 including accrued interest

 

6,700,000

 

11,100

 

Citigroup Global Markets, Inc.,
dated 10/31/12, 0.30%, due 11/1/12, proceeds $11,100,093; collateralized by U.S. Treasury Notes, 0.25%, due 8/15/15, valued at $11,321,984 including accrued interest

 

11,100,000

 

44,300

 

Credit Suisse Securities (USA) LLC,
dated 10/31/12, 0.33%, due 11/1/12, proceeds $44,300,406; collateralized by U.S. Treasury Notes, 0.25%, due 5/15/15, valued at $45,383,760 including accrued interest

 

44,300,000

 

4,100

 

Goldman Sachs & Co.,
dated 10/31/12, 0.28%, due 11/1/12, proceeds $4,100,032; collateralized by Fannie Mae, 5.00%, due 4/1/38, valued at $4,227,615 including accrued interest

 

4,100,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

PIMCO Corporate & Income Strategy Fund

 

 

16

 

PIMCO Income Opportunity Fund Annual Report | 10.31.12

 

 

 


 

PIMCO Corporate & Income Strategy Fund Schedule of Investments

October 31, 2012 (continued)

Principal
Amount
(000s)

 

 

 

 

Value

 

 

 

 

 

 

 

Repurchase Agreements (continued)

 

 

 

$16,600

 

Morgan Stanley & Co.,
dated 10/31/12, 0.31%-0.33%, due 11/1/12, proceeds $16,600,146; collateralized by Fannie Mae, 1.06%, due 10/12/17, valued at $5,629,383 and U.S. Treasury Notes, 1.50%, due 6/30/16, valued at $11,340,708 including accrued interest

 

$16,600,000

 

654

 

State Street Bank & Trust Co.,
dated 10/31/12, 0.01%, due 11/1/12, proceeds $654,000; collateralized by Fannie Mae, 2.26%, due 10/17/22, valued at $668,344 including accrued interest

 

654,000

 

 

 

 

 

 

 

Total Repurchase Agreements (cost-$83,454,000)

 

83,454,000

 

Total Investments
(cost-$740,166,976) – 100.0%

 

$855,541,450

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

PIMCO Corporate & Income Strategy Fund         

 

10.31.12 | PIMCO Income Opportunity Fund Annual Report

17

 

 

 


 

PIMCO Income Opportunity Fund Schedule of Investments

October 31, 2012

Principal
Amount
(000s)

 

 

 

 

Value

 

MORTGAGE-BACKED SECURITIES – 50.9%

 

 

 

 

 

 

 

 

 

$385

 

Adjustable Rate Mortgage Trust, 2.992%, 1/25/36, CMO (h)

 

$298,394

 

£361

 

Auburn Securities PLC, 0.913%, 10/1/41, CMO (h)

 

541,709

 

 

 

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

 

 

 

$363

 

2.718%, 12/20/36

 

366,059

 

2,187

 

2.91%, 12/20/34

 

1,830,543

 

509

 

2.965%, 12/20/34

 

309,621

 

2,696

 

3.037%, 3/20/36

 

2,218,073

 

1,347

 

5.915%, 10/20/46

 

979,811

 

3,228

 

Banc of America Large Loan, Inc., 1.964%, 11/15/15, CMO (a) (d) (h)

 

3,228,667

 

 

 

Banc of America Mortgage Securities, Inc., CMO,

 

 

 

813

 

3.111%, 6/25/35 (h)

 

803,696

 

413

 

3.121%, 9/25/34 (h)

 

411,083

 

1,132

 

5.75%, 8/25/34 (l)

 

1,206,187

 

305

 

Banc of America Mortgage Trust, 2.97%, 10/20/46, CMO (h)

 

164,491

 

 

 

BCAP LLC Trust, CMO (a) (d) (h),

 

 

 

2,532

 

2.209%, 11/26/37

 

2,428,403

 

550

 

5.023%, 3/26/36

 

508,917

 

 

 

Bear Stearns Adjustable Rate Mortgage Trust, CMO (h),

 

 

 

186

 

2.817%, 9/25/34

 

154,473

 

1,791

 

2.849%, 10/25/36

 

1,361,451

 

685

 

2.88%, 1/25/35

 

676,382

 

756

 

2.97%, 8/25/47

 

521,317

 

1,531

 

5.276%, 3/25/35

 

1,516,418

 

222

 

5.468%, 9/25/34

 

219,441

 

819

 

5.473%, 6/25/47

 

685,757

 

 

 

Bear Stearns Alt-A Trust, CMO (h),

 

 

 

3,017

 

0.371%, 6/25/46

 

1,502,664

 

1,785

 

0.561%, 1/25/35

 

1,698,524

 

585

 

2.745%, 4/25/35

 

434,353

 

6,527

 

2.866%, 8/25/36

 

4,169,787

 

1,658

 

2.96%, 5/25/36

 

979,817

 

1,753

 

2.993%, 9/25/34

 

1,494,113

 

115

 

2.996%, 11/25/35

 

86,861

 

954

 

3.112%, 5/25/35

 

665,227

 

1,113

 

3.561%, 9/25/34

 

1,081,816

 

1,092

 

4.785%, 11/25/36

 

807,141

 

613

 

4.791%, 7/25/35

 

451,337

 

985

 

5.504%, 8/25/36

 

666,023

 

2,500

 

Bear Stearns Commercial Mortgage Securities, 5.529%, 3/13/40, CMO (a) (d) (h)

 

2,391,170

 

£574

 

Bluestone Securities PLC, 0.896%, 6/9/43, CMO (h)

 

842,613

 

$4,123

 

CBA Commercial Small Balance Commercial Mortgage,
5.54%, 1/25/39, CMO (a) (b) (d) (m)
(acquisition cost-$2,324,074; purchased 11/18/09)

 

2,214,306

 

€732

 

Celtic Residential Irish Mortgage Securitisation,
0.351%, 11/13/47, CMO (h)

 

721,621

 

 

 

Chase Mortgage Finance Corp., CMO,

 

 

 

$1,950

 

5.50%, 11/25/21

 

1,865,881

 

2,315

 

6.00%, 3/25/37

 

1,991,088

 

 

 

Citigroup Mortgage Loan Trust, Inc., CMO,

 

 

 

1,116

 

3.046%, 3/25/37 (h)

 

743,100

 

1,026

 

5.50%, 11/25/35

 

839,793

 

2,170

 

Commercial Mortgage Pass Through Certificates, 5.934%, 7/10/46, CMO (a) (d) (h)

 

2,375,740

 

 

 

 

 

 

 

 

 

PIMCO Corporate & Income Strategy Fund

 

 

18

 

PIMCO Income Opportunity Fund Annual Report | 10.31.12

 

 

 


 

PIMCO Income Opportunity Fund Schedule of Investments

October 31, 2012 (continued)

Principal
Amount
(000s)

 

 

 

 

Value

 

 

 

 

 

 

 

Countrywide Alternative Loan Trust, CMO,

 

 

 

$1,579

 

0.406%, 12/20/46 (h)

 

$974,727

 

1,829

 

0.461%, 6/25/37 (h)

 

911,531

 

3,829

 

0.541%, 11/20/35 (h)

 

2,563,030

 

3,744

 

0.561%, 5/25/36 (h)

 

2,006,618

 

375

 

5.50%, 10/25/35

 

349,100

 

626

 

6.00%, 11/25/35

 

341,315

 

742

 

6.00%, 4/25/36

 

571,629

 

1,285

 

6.00%, 4/25/37

 

940,476

 

6,400

 

6.00%, 5/25/37

 

4,936,501

 

724

 

6.25%, 8/25/37

 

527,222

 

967

 

6.50%, 9/25/32

 

877,059

 

2,453

 

6.50%, 7/25/35

 

989,901

 

1,000

 

6.50%, 6/25/36

 

668,581

 

 

 

Countrywide Home Loan Mortgage Pass Through Trust, CMO,

 

 

 

1,454

 

0.531%, 3/25/35 (h)

 

1,073,765

 

57

 

2.85%, 10/20/35 (h)

 

42,616

 

242

 

2.895%, 8/20/35 (h)

 

179,618

 

674

 

2.959%, 6/20/35 (h)

 

469,805

 

5,693

 

2.971%, 11/25/35 (h)

 

4,429,391

 

141

 

3.026%, 8/25/34 (h)

 

121,135

 

1,672

 

3.145%, 9/25/47 (h)

 

1,247,410

 

1,888

 

3.285%, 3/25/37 (h)

 

1,137,220

 

429

 

5.50%, 8/25/35

 

426,165

 

2,643

 

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

 

2,751,482

 

 

 

Credit Suisse Mortgage Capital Certificates, CMO,

 

 

 

871

 

0.384%, 10/15/21 (a) (d) (h)

 

850,919

 

1,083

 

0.811%, 7/25/36 (h)

 

380,825

 

808

 

5.896%, 4/25/36

 

645,194

 

688

 

6.50%, 5/25/36

 

503,654

 

812

 

6.50%, 7/26/36

 

411,521

 

€5,214

 

DECO Series, 0.361%, 10/27/20, CMO (h)

 

6,530,901

 

 

 

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

 

 

 

$1,086

 

0.361%, 2/25/47

 

616,155

 

241

 

6.25%, 7/25/36

 

138,972

 

839

 

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

 

872,204

 

1,291

 

Downey Savings & Loan Assoc. Mortgage Loan Trust,
0.392%, 4/19/47, CMO (h)

 

279,988

 

 

 

EMF-NL, CMO (h),

 

 

 

€800

 

1.209%, 7/17/41

 

658,444

 

€1,000

 

1.459%, 10/17/41

 

1,075,651

 

 

 

First Horizon Alternative Mortgage Securities, CMO,

 

 

 

$2,734

 

2.501%, 11/25/36 (h)

 

1,791,261

 

741

 

2.564%, 5/25/36 (h)

 

519,879

 

439

 

2.574%, 2/25/36 (h)

 

315,426

 

595

 

2.608%, 8/25/35 (h)

 

132,869

 

259

 

6.25%, 11/25/36

 

202,890

 

 

 

First Horizon Mortgage Pass Through Trust, CMO,

 

 

 

2,229

 

2.593%, 1/25/37 (h)

 

1,811,520

 

402

 

5.256%, 7/25/37 (h)

 

343,569

 

426

 

5.50%, 8/25/35

 

337,105

 

52,679

 

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

 

294,825

 

 

 

 

 

 

 

 

PIMCO Corporate & Income Strategy Fund          

 

10.31.12 | PIMCO Income Opportunity Fund Annual Report

19

 

 


 

PIMCO Income Opportunity Fund Schedule of Investments

October 31, 2012 (continued)

Principal
Amount
(000s)

 

 

 

 

Value

 

 

 

 

 

 

 

GMAC Mortgage Corp. Loan Trust, CMO (h),

 

 

 

$433

 

3.454%, 6/25/34

 

$427,025

 

209

 

3.564%, 7/19/35

 

188,787

 

385

 

3.615%, 6/25/34

 

378,745

 

2,016

 

Greenpoint Mortgage Funding Trust, 0.391%, 1/25/37, CMO (h)

 

1,166,256

 

456

 

Greenwich Capital Commercial Funding Corp., 0.359%, 11/5/21, CMO (a) (d) (h)

 

444,057

 

 

 

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

 

 

 

10,126

 

1.548%, 8/10/43, IO

 

836,139

 

140

 

4.805%, 3/6/20

 

140,078

 

2,100

 

5.991%, 8/10/43

 

2,320,951

 

 

 

GSR Mortgage Loan Trust, CMO,

 

 

 

1,110

 

0.661%, 7/25/37 (h)

 

720,306

 

3,367

 

2.716%, 1/25/36 (h)

 

2,860,541

 

58

 

2.937%, 12/25/34 (h)

 

50,264

 

151

 

6.00%, 9/25/34

 

154,464

 

 

 

Harborview Mortgage Loan Trust, CMO (h),

 

 

 

3,320

 

0.402%, 2/19/46

 

2,374,726

 

5,911

 

0.422%, 11/19/36

 

4,139,763

 

241

 

0.532%, 1/19/35

 

183,035

 

594

 

0.772%, 6/19/34

 

544,757

 

2,765

 

5.607%, 6/19/36

 

1,932,981

 

538

 

5.75%, 8/19/36

 

388,031

 

750

 

Homebanc Mortgage Trust, 0.461%, 3/25/35, CMO (h)

 

581,724

 

€1,121

 

IM Pastor FTH, 0.373%, 3/22/44, CMO (h)

 

1,002,295

 

$605

 

Impac CMB Trust, 0.471%, 11/25/35, CMO (h)

 

372,549

 

2,638

 

Indymac INDA Mortgage Loan Trust, 2.826%, 12/25/36, CMO (h)

 

1,989,631

 

 

 

Indymac Index Mortgage Loan Trust, CMO (h),

 

 

 

394

 

1.011%, 8/25/34

 

299,917

 

814

 

1.071%, 9/25/34

 

591,862

 

613

 

2.479%, 6/25/37

 

387,635

 

1,845

 

2.978%, 5/25/37

 

1,258,394

 

289

 

5.203%, 5/25/37

 

52,198

 

2,692

 

5.215%, 11/25/36

 

2,343,225

 

 

 

JPMorgan Alternative Loan Trust, CMO (h),

 

 

 

890

 

2.851%, 5/25/36

 

610,351

 

523

 

5.50%, 11/25/36

 

525,206

 

4,000

 

JPMorgan Chase Commercial Mortgage Securities Corp.,
5.633%, 3/18/51, CMO (a) (d) (f) (h)

 

4,324,283

 

 

 

JPMorgan Mortgage Trust, CMO,

 

 

 

744

 

2.994%, 6/25/37 (h)

 

580,438

 

376

 

3.014%, 7/25/35 (h)

 

374,139

 

121

 

3.023%, 10/25/36 (h)

 

90,798

 

1,795

 

5.407%, 5/25/36 (h)

 

1,473,460

 

3,088

 

5.50%, 11/25/34 (l)

 

3,130,706

 

347

 

6.00%, 8/25/37

 

300,291

 

3,700

 

KGS Alpha SBA, 1.00%, 4/25/38, IO (a) (b) (d) (f) (m)
(acquisition cost-$196,378; purchased 10/18/12)

 

196,251

 

 

 

Landmark Mortgage Securities PLC, CMO (h),

 

 

 

€652

 

0.472%, 6/17/38

 

782,988

 

£1,710

 

0.873%, 6/17/38

 

2,563,337

 

 

 

Lehman Mortgage Trust, CMO,

 

 

 

$4,575

 

6.00%, 5/25/37

 

4,280,283

 

936

 

6.477%, 4/25/36 (h)

 

910,356

 

 

 

 

 

 

 

 

 

PIMCO Corporate & Income Strategy Fund

 

 

20

 

PIMCO Income Opportunity Fund Annual Report | 10.31.12

 

 

 


 

PIMCO Income Opportunity Fund Schedule of Investments

October 31, 2012 (continued)

Principal
Amount
(000s)

 

 

 

 

Value

 

 

 

 

 

 

 

MASTR Adjustable Rate Mortgage Trust, CMO (h),

 

 

 

$1,605

 

0.421%, 4/25/46

 

$1,066,514

 

922

 

0.894%, 1/25/47

 

493,830

 

1,309

 

3.332%, 10/25/34

 

1,061,683

 

 

 

Morgan Stanley Mortgage Loan Trust, CMO,

 

 

 

3,677

 

2.899%, 7/25/35 (h)

 

2,828,554

 

667

 

3.171%, 1/25/35 (h)

 

46,075

 

1,173

 

5.75%, 12/25/35

 

956,980

 

841

 

6.00%, 8/25/37

 

786,127

 

6,200

 

Morgan Stanley Reremic Trust, zero coupon, 7/17/56, CMO, PO (a) (b) (d) (m)
(acquisition cost-$5,517,453; purchased 4/6/11)

 

5,518,000

 

 

 

Prime Mortgage Trust, CMO,

 

 

 

6,959

 

0.561%, 6/25/36 (h)

 

2,618,019

 

395

 

7.00%, 7/25/34

 

363,963

 

404

 

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

 

403,624

 

2,000

 

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

 

2,126,215

 

55

 

Regal Trust IV, 2.594%, 9/29/31, CMO (a) (d) (h)

 

51,138

 

 

 

Residential Accredit Loans, Inc., CMO,

 

 

 

535

 

0.391%, 6/25/46 (h)

 

234,595

 

274

 

5.50%, 4/25/37

 

191,195

 

1,241

 

6.00%, 8/25/35

 

1,102,170

 

1,213

 

6.00%, 1/25/37

 

925,014

 

940

 

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

 

713,650

 

 

 

Residential Funding Mortgage Securities I, CMO,

 

 

 

700

 

5.735%, 7/27/37 (h)

 

613,903

 

1,319

 

6.00%, 6/25/37

 

1,133,329

 

846

 

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

 

859,087

 

752

 

Sequoia Mortgage Trust, 2.872%, 1/20/38, CMO (h)

 

574,643

 

 

 

Structured Adjustable Rate Mortgage Loan Trust, CMO (h),

 

 

 

53

 

2.824%, 8/25/34

 

49,835

 

2,589

 

5.066%, 11/25/36