UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

 

FORM N-Q

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act file number

811-22673

 

PIMCO Dynamic Income 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:

March 31, 2014

 

 

Date of reporting period:

December 31, 2013

 

 


 

Item 1. Schedule of Investments

 

Schedule of Investments

PIMCO Dynamic Income Fund

December 31, 2013 (unaudited)

 

Principal 
Amount
(000s)

 

 

 

Value*

 

MORTGAGE-BACKED SECURITIES - 108.1%

 

 

 

£12,699

 

Alba PLC, 0.785%, 12/15/38, CMO (l)

 

$17,326,147

 

 

 

American Home Mortgage Assets Trust, CMO,

 

 

 

$4,547

 

0.435%, 11/25/35 (l)

 

3,715,033

 

12,200

 

0.455%, 8/25/37 (l)

 

4,485,347

 

14,048

 

6.25%, 6/25/37 (i)

 

8,919,543

 

 

 

American Home Mortgage Investment Trust, CMO (l),

 

 

 

9,655

 

0.465%, 9/25/45 (i)

 

8,849,611

 

9,739

 

1.065%, 2/25/44

 

2,529,287

 

 

 

Banc of America Alternative Loan Trust, CMO,

 

 

 

290

 

0.565%, 5/25/35 (l)

 

222,672

 

775

 

6.00%, 6/25/37

 

586,303

 

309

 

6.00%, 6/25/46

 

256,528

 

 

 

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

 

 

 

10,469

 

zero coupon, 6/26/35 (a)(d)

 

9,110,880

 

15,300

 

zero coupon, 7/26/36 (a)(d)

 

9,572,840

 

31,618

 

0.377%, 4/20/47 (i)

 

24,457,305

 

4,612

 

0.617%, 2/20/35

 

1,256,293

 

492

 

2.724%, 1/20/47

 

397,993

 

4,339

 

2.85%, 3/20/36

 

3,689,497

 

743

 

2.89%, 1/25/35

 

397,877

 

 

 

Banc of America Mortgage Trust, CMO (l),

 

 

 

466

 

2.622%, 10/20/46

 

291,603

 

1,957

 

2.884%, 1/25/36

 

1,774,739

 

 

 

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

 

 

 

13,000

 

5.383%, 12/15/16 (i)

 

13,775,034

 

38,264

 

5.633%, 2/17/51 (l)

 

39,032,818

 

€3,803

 

Bancaja 8 Fondo de Titulizacion de Activos, 0.332%, 10/25/37, CMO (l)

 

4,640,956

 

 

 

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

 

 

 

$7,018

 

2.348%, 7/26/45 (l)

 

5,761,971

 

9,500

 

2.434%, 11/26/35 (l)

 

7,476,082

 

14,093

 

2.77%, 5/26/36 (l)

 

9,897,084

 

8,320

 

3.485%, 8/26/37 (l)

 

4,980,748

 

26,498

 

4.761%, 4/26/37 (l)

 

14,598,617

 

8,051

 

4.99%, 3/26/35 (l)

 

6,951,106

 

6,232

 

5.108%, 6/26/47 (l)

 

5,136,907

 

6,052

 

5.16%, 10/26/35 (l)

 

5,400,579

 

4,770

 

5.476%, 7/26/35 (l)

 

4,143,661

 

12,405

 

5.50%, 12/26/35

 

10,169,641

 

11,453

 

Bear Stearns ALT-A Trust, 0.365%, 2/25/34, CMO (i)(l)

 

7,604,223

 

€28,969

 

Celtic Residential Irish Mortgage Securitisation No. 9 PLC, 0.452%, 11/13/47, CMO (l)

 

34,391,292

 

10,495

 

Celtic Residential Irish Mortgage Securitisation No. 10 PLC, 0.467%, 4/10/48, CMO (l)

 

12,076,511

 

8,319

 

Celtic Residential Irish Mortgage Securitisation No. 11 PLC, 0.537%, 12/14/48, CMO (l)

 

9,446,874

 

5,300

 

Celtic Residential Irish Mortgage Securitisation No. 12 Ltd., 0.49%, 3/18/49, CMO (l)

 

5,896,515

 

$5,534

 

Chase Mortgage Finance Trust, 2.994%, 3/25/37, CMO (i)(l)

 

4,740,409

 

 

 

Citigroup Mortgage Loan Trust, Inc., CMO (l),

 

 

 

1,599

 

2.50%, 3/25/36

 

1,470,535

 

9,652

 

2.845%, 9/25/37 (i)

 

7,973,377

 

 

 

Countrywide Alternative Loan Trust, CMO,

 

 

 

26,631

 

0.355%, 9/25/46 (i)(l)

 

18,674,699

 

27,013

 

0.766%, 12/25/35, IO

 

526,191

 

31,965

 

0.895%, 11/25/35 (i)(l)

 

26,631,347

 

14,271

 

0.978%, 11/25/46 (i)(l)

 

9,269,315

 

21,901

 

1.572%, 12/25/35, IO

 

1,453,688

 

247

 

4.741%, 6/25/47 (l)

 

194,461

 

509

 

5.50%, 2/25/20

 

507,527

 

4,854

 

5.50%, 7/25/35 (i)

 

4,441,166

 

1,491

 

5.50%, 11/25/35

 

1,288,490

 

17,549

 

5.50%, 12/25/35 (i)

 

14,605,856

 

320

 

5.50%, 1/25/36

 

293,974

 

4,797

 

5.50%, 4/25/37

 

3,595,901

 

473

 

5.75%, 1/25/36

 

416,015

 

16,492

 

5.75%, 1/25/37 (i)

 

13,423,967

 

5,432

 

5.75%, 4/25/37 (i)

 

4,817,208

 

806

 

6.00%, 6/25/36

 

693,550

 

868

 

6.00%, 11/25/36

 

717,591

 

344

 

6.00%, 12/25/36

 

259,822

 

4,272

 

6.00%, 1/25/37 (i)

 

3,459,684

 

1,466

 

6.00%, 2/25/37

 

1,101,729

 

11,547

 

6.00%, 4/25/37 (i)

 

8,308,958

 

11,120

 

6.00%, 5/25/37 (i)

 

8,649,299

 

4,699

 

6.00%, 7/25/37 (i)

 

4,215,853

 

20,175

 

6.985%, 7/25/36, IO (l)

 

4,952,328

 

2,156

 

38.012%, 5/25/37 (b)(l)

 

3,607,689

 

 


 

Schedule of Investments

PIMCO Dynamic Income Fund

December 31, 2013 (unaudited)

 

 

 

Countrywide Home Loan Mortgage Pass-Through Trust, CMO,

 

 

 

$386

 

0.465%, 3/25/35 (l)

 

$348,122

 

4,093

 

0.505%, 3/25/36 (l)

 

2,215,539

 

133

 

5.00%, 11/25/35

 

122,992

 

18,677

 

5.279%, 6/25/47 (i)(l)

 

17,256,618

 

342

 

5.50%, 12/25/34

 

295,264

 

161

 

5.50%, 11/25/35

 

151,550

 

654

 

6.00%, 7/25/37

 

571,637

 

8

 

6.00%, 8/25/37

 

7,517

 

9,151

 

6.00%, 8/25/37 (i)

 

8,228,880

 

485

 

6.00%, 1/25/38

 

428,527

 

 

 

Credit Suisse Mortgage Capital Certificates,

 

 

 

3,000

 

1.387%, 10/15/21, CMO (a)(d)(l)

 

2,963,864

 

11,208

 

2.415%, 7/26/49, CMO (a)(d)(l)

 

7,635,147

 

27,326

 

3.132%, 4/26/35, CMO (a)(d)(l)

 

22,030,825

 

84,028

 

4.667%, 2/27/47, CMO (a)(d)(i)(l)

 

59,365,306

 

13,966

 

4.784%, 7/26/37, CMO (a)(d)(i)(l)

 

8,010,718

 

12,950

 

5.465%, 2/15/39, CMO (i)(l)

 

13,774,391

 

10,000

 

5.692%, 4/16/49, CMO (a)(d)(i)(l)

 

10,770,255

 

12,984

 

5.896%, 4/25/36, CMO (i)

 

11,377,400

 

17,030

 

6.50%, 7/26/36, CMO (i)

 

8,984,285

 

22,478

 

7.00%, 8/26/36, CMO (a)(d)

 

8,991,085

 

5,126

 

7.00%, 8/27/36, CMO (a)(d)

 

3,519,470

 

7,425

 

Credit Suisse Mortgage Capital Certificates Mortgage-Backed Trust, 6.50%, 10/25/21, CMO (i)

 

6,265,990

 

 

 

Debussy DTC 1, CMO (a)(d),

 

 

 

£18,250

 

5.93%, 7/12/25

 

30,674,248

 

5,000

 

8.25%, 7/12/25

 

7,824,820

 

$2,319

 

Deutsche ALT-A Securities, Inc. Alternate Loan Trust, 6.00%, 10/25/21, CMO

 

2,021,519

 

 

 

Diversity Funding Ltd., CMO (l),

 

 

 

£7,754

 

1.518%, 2/10/46

 

11,876,132

 

1,310

 

1.868%, 2/10/46

 

1,336,447

 

1,193

 

2.368%, 2/10/46

 

827,758

 

1,170

 

2.868%, 2/10/46

 

315,712

 

702

 

4.118%, 2/10/46

 

92,618

 

234

 

4.618%, 2/10/46 (e)

 

20,944

 

247

 

4.718%, 2/10/46 (e)

 

17,762

 

€31,715

 

Emerald Mortgages No. 4 PLC, 0.339%, 7/15/48, CMO (l)

 

35,608,350

 

$8,325

 

Extended Stay America Trust, 7.625%, 12/5/19, CMO (a)(d)

 

8,364,785

 

 

 

First Horizon Alternative Mortgage Securities Trust, CMO (l),

 

 

 

12,390

 

2.238%, 8/25/35

 

2,713,116

 

2,618

 

6.935%, 11/25/36, IO (b)

 

594,302

 

1,184

 

First Horizon Mortgage Pass-Through Trust, 5.50%, 8/25/37, CMO

 

991,935

 

7,958

 

GMAC Commercial Mortgage Securities, Inc., 4.915%, 12/10/41, CMO (i)

 

8,107,690

 

5,435

 

Greenpoint Mortgage Funding Trust, 0.365%, 12/25/46, CMO (l)

 

2,589,084

 

 

 

GSR Mortgage Loan Trust, CMO (l),

 

 

 

398

 

2.787%, 11/25/35

 

364,730

 

1,807

 

6.50%, 8/25/36

 

1,508,202

 

 

 

Harborview Mortgage Loan Trust, CMO (l),

 

 

 

26

 

0.356%, 1/19/38

 

21,390

 

27,154

 

0.406%, 3/19/36 (i)

 

19,991,526

 

13,121

 

0.416%, 1/19/36 (i)

 

8,780,417

 

15,933

 

0.817%, 6/20/35 (i)

 

8,664,854

 

3,618

 

1.067%, 6/20/35

 

776,107

 

528

 

Impac CMB Trust, 0.885%, 10/25/34, CMO (l)

 

451,859

 

28

 

Impac Secured Assets Trust, 0.275%, 5/25/37, CMO (l)

 

18,178

 

8,656

 

IndyMac IMSC Mortgage Loan Trust, 2.732%, 6/25/37, CMO (i)(l)

 

6,481,950

 

143

 

IndyMac INDA Mortgage Loan Trust, 5.251%, 3/25/37, CMO (l)

 

130,062

 

 

 

IndyMac Index Mortgage Loan Trust, CMO (l),

 

 

 

7,161

 

0.365%, 11/25/46 (i)

 

4,060,383

 

4,700

 

0.415%, 2/25/37

 

2,407,387

 

629

 

0.465%, 7/25/36

 

503,861

 

721

 

2.482%, 2/25/35

 

617,168

 

 

 

JPMorgan Alternative Loan Trust, CMO (i),

 

 

 

51,880

 

0.365%, 6/25/37 (l)

 

28,212,220

 

12,686

 

5.85%, 11/25/36 (l)

 

11,765,567

 

10,000

 

5.96%, 12/25/36

 

8,377,950

 

5,000

 

6.31%, 8/25/36

 

3,665,585

 

74,736

 

JPMorgan Chase Commercial Mortgage Securities Corp., 2.013%, 6/15/45, CMO, IO (i)(l)

 

7,357,919

 

 

 

JPMorgan Mortgage Trust, CMO (l),

 

 

 

10,306

 

2.73%, 6/25/37 (i)

 

9,121,088

 

8,555

 

5.218%, 4/25/37 (i)

 

7,896,774

 

2,407

 

5.588%, 10/25/36

 

2,222,704

 

7,988

 

KGS Alpha SBA, 1.055%, 4/25/38, CMO (a)(b)(d)(f)(j) (acquisition cost - $435,052; purchased 10/18/12)

 

388,927

 

 

 

Lavendar Trust, CMO (a)(d),

 

 

 

7,314

 

5.50%, 9/26/35

 

5,337,271

 

17,535

 

6.00%, 11/26/36

 

11,856,320

 

10,913

 

LB Commercial Mortgage Trust, 5.884%, 7/15/44, CMO (i)(l)

 

12,136,200

 

 

 

LB-UBS Commercial Mortgage Trust, CMO (i)(l),

 

 

 

217,034

 

0.13%, 2/15/40, IO (a)(d)

 

3,415,905

 

7,751

 

5.452%, 9/15/39

 

8,291,214

 

 


 

Schedule of Investments

PIMCO Dynamic Income Fund

December 31, 2013 (unaudited)

 

 

 

Lehman Mortgage Trust, CMO,

 

 

 

$192

 

5.50%, 11/25/35

 

$182,722

 

2,173

 

6.00%, 8/25/36

 

1,901,187

 

1,459

 

6.00%, 9/25/36

 

1,185,290

 

9,566

 

6.50%, 9/25/37 (i)

 

7,849,836

 

46,186

 

7.25%, 9/25/37 (i)

 

23,980,586

 

 

 

Lehman XS Trust, CMO (l),

 

 

 

33,829

 

0.445%, 7/25/37

 

7,296,172

 

4,996

 

0.665%, 7/25/47

 

752,179

 

 

 

MASTR Adjustable Rate Mortgages Trust, CMO (l),

 

 

 

30,918

 

0.365%, 5/25/47 (i)

 

21,849,376

 

5,931

 

0.505%, 5/25/47

 

1,685,047

 

 

 

MASTR Alternative Loans Trust, CMO (l),

 

 

 

27,470

 

0.515%, 3/25/36 (i)

 

6,204,386

 

35,107

 

0.565%, 3/25/36

 

7,997,613

 

568

 

MASTR Asset Securitization Trust, 5.292%, 11/25/33, CMO (a)(d)(l)

 

144,957

 

 

 

Morgan Stanley Re-Remic Trust, CMO (a)(d),

 

 

 

11,082

 

2.609%, 1/26/35 (l)

 

10,269,925

 

6,285

 

2.609%, 2/26/37 (l)

 

4,774,024

 

26,634

 

2.719%, 7/26/35 (l)

 

17,454,211

 

4,998

 

5.255%, 9/26/35 (l)

 

3,982,808

 

7,969

 

6.00%, 4/26/36

 

4,400,856

 

 

 

Newgate Funding, CMO (l),

 

 

 

£2,200

 

0.725%, 12/15/50

 

2,842,065

 

€2,750

 

1.527%, 12/15/50

 

3,226,284

 

£4,150

 

1.775%, 12/15/50

 

5,896,341

 

€5,250

 

1.777%, 12/15/50

 

6,022,765

 

 

 

Nomura Asset Acceptance Corp., CMO,

 

 

 

$973

 

5.82%, 3/25/47

 

974,313

 

15,888

 

6.138%, 3/25/47 (i)

 

15,908,583

 

30,294

 

6.347%, 3/25/47 (i)

 

30,329,324

 

1,041

 

NovaStar Mortgage-Backed Notes, 0.355%, 9/25/46, CMO (l)

 

878,400

 

 

 

RBSSP Resecuritization Trust, CMO (a)(d),

 

 

 

20,150

 

2.258%, 7/26/45 (l)

 

18,616,557

 

10,001

 

2.70%, 2/26/36 (i)(l)

 

4,070,308

 

13,541

 

2.705%, 5/26/37 (l)

 

10,229,671

 

18,084

 

5.675%, 11/21/35 (i)(l)

 

11,484,712

 

9,374

 

6.00%, 3/26/36

 

6,751,681

 

30,894

 

6.054%, 11/26/35 (i)(l)

 

19,720,523

 

 

 

Residential Accredit Loans, Inc., CMO,

 

 

 

14,282

 

0.345%, 7/25/36 (i)(l)

 

9,126,191

 

30,825

 

0.355%, 5/25/37 (i)(l)

 

25,486,362

 

12,217

 

1.143%, 1/25/46 (i)(l)

 

8,625,777

 

1,761

 

4.281%, 1/25/36 (l)

 

1,368,395

 

1,659

 

6.00%, 8/25/35

 

1,451,694

 

3,862

 

6.00%, 6/25/36

 

3,003,358

 

8,935

 

6.00%, 8/25/36 (i)

 

6,801,898

 

21,028

 

7.00%, 10/25/37 (i)

 

16,519,457

 

 

 

Residential Asset Securitization Trust, CMO,

 

 

 

1,879

 

5.50%, 7/25/35

 

1,714,005

 

5,324

 

6.25%, 8/25/37

 

2,935,291

 

 

 

Residential Funding Mortgage Securities I, CMO,

 

 

 

506

 

5.85%, 11/25/35

 

475,717

 

6,718

 

5.921%, 8/25/36 (i)(l)

 

6,121,632

 

3,833

 

6.00%, 4/25/37

 

3,359,589

 

 

 

Sequoia Mortgage Trust, CMO (l),

 

 

 

2,377

 

0.537%, 7/20/36

 

1,486,962

 

1,436

 

1.367%, 10/20/27

 

1,186,409

 

£2,722

 

Southern Pacific Securities PLC, 4.023%, 12/10/42, CMO (l)

 

4,137,147

 

 

 

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

 

 

 

$14,918

 

zero coupon, 2/25/37 (i)

 

10,115,145

 

1,927

 

5.054%, 7/25/35

 

1,709,712

 

6,135

 

5.421%, 8/25/36 (i)

 

3,954,188

 

5,070

 

8.263%, 4/25/47 (i)

 

3,886,685

 

 

 

Structured Asset Mortgage Investments II Trust, CMO (l),

 

 

 

3,951

 

0.335%, 3/25/37

 

1,142,173

 

30,111

 

0.355%, 7/25/46 (i)

 

24,965,741

 

 

 

Suntrust Alternative Loan Trust, CMO (l),

 

 

 

27,064

 

0.515%, 4/25/36 (i)

 

9,256,847

 

7,315

 

6.985%, 4/25/36, IO

 

2,228,327

 

 

 

TBW Mortgage-Backed Trust, CMO (i),

 

 

 

15,205

 

5.80%, 3/25/37

 

8,068,332

 

14,092

 

6.12%, 3/25/37

 

7,473,774

 

28,858

 

6.50%, 7/25/36

 

14,838,646

 

 

 

WaMu Mortgage Pass-Through Certificates, CMO (l),

 

 

 

491

 

0.608%, 6/25/44

 

451,381

 

19,645

 

0.889%, 6/25/47 (i)

 

7,033,607

 

37,003

 

0.955%, 7/25/47 (i)

 

32,191,119

 

857

 

1.019%, 10/25/46

 

684,083

 

3,269

 

1.119%, 7/25/46

 

2,706,248

 

102

 

1.143%, 2/25/46

 

96,576

 

1,546

 

2.213%, 7/25/47

 

1,120,726

 

 


 

Schedule of Investments

PIMCO Dynamic Income Fund

December 31, 2013 (unaudited)

 

$9,585

 

4.53%, 3/25/37 (i)

 

$8,554,575

 

668

 

4.733%, 2/25/37

 

618,966

 

 

 

Washington Mutual Mortgage Pass-Through Certificates, CMO (i),

 

 

 

20,846

 

0.405%, 1/25/47 (l)

 

12,392,150

 

8,288

 

6.00%, 4/25/37

 

6,996,680

 

1,184

 

Wells Fargo Alternative Loan Trust, 5.75%, 7/25/37, CMO

 

1,065,933

 

28,600

 

Wells Fargo Mortgage Loan Trust, 5.573%, 4/27/36, CMO (a)(d)(l)

 

26,901,233

 

 

 

Wells Fargo Mortgage-Backed Securities Trust, CMO,

 

 

 

1,144

 

2.625%, 10/25/35 (l)

 

1,120,409

 

709

 

6.00%, 7/25/36

 

687,919

 

1,502

 

6.00%, 9/25/36

 

1,434,238

 

452

 

6.00%, 4/25/37

 

428,411

 

1,091

 

6.00%, 6/25/37

 

1,049,458

 

2,313

 

6.00%, 8/25/37

 

2,198,954

 

Total Mortgage-Backed Securities (cost-$1,265,887,515)

 

1,479,661,890

 

 

 

 

 

 

 

CORPORATE BONDS & NOTES - 36.7%

 

 

 

 

 

 

 

Auto Components - 0.7%

 

 

 

7,983

 

Commercial Vehicle Group, Inc., 7.875%, 4/15/19 (i)

 

8,002,958

 

1,950

 

Pittsburgh Glass Works LLC, 8.00%, 11/15/18 (a)(b)(d)(i)(j) (acquisition cost - $1,950,000; purchased 10/29/13)

 

2,062,125

 

 

 

 

 

10,065,083

 

Banking - 11.7%

 

 

 

9,100

 

Banco Continental SAECA, 8.875%, 10/15/17 (a)(d)(i)

 

9,725,625

 

12,500

 

Banco do Brasil S.A., 3.875%, 10/10/22 (i)

 

10,906,250

 

€15,800

 

Cooperatieve Centrale Raiffeisen-Boerenleenbank BA, 6.875%, 3/19/20 (i)

 

24,689,240

 

$10,700

 

Credit Suisse AG, 6.50%, 8/8/23 (a)(b)(d)(i)(j) (acquisition cost - $10,700,000; purchased 8/1/13)

 

11,408,875

 

 

 

Eksportfinans ASA,

 

 

 

700

 

2.00%, 9/15/15 (i)

 

691,250

 

1,700

 

5.50%, 5/25/16

 

1,797,750

 

1,900

 

5.50%, 6/26/17 (i)

 

2,010,675

 

6,000

 

Intesa Sanpaolo SpA, 6.50%, 2/24/21 (a)(d)(i)

 

6,571,590

 

€15,800

 

LBG Capital No. 2 PLC, 6.385%, 5/12/20

 

23,056,515

 

$36,500

 

Morgan Stanley, 7.30%, 5/13/19 (i)

 

44,353,048

 

 

 

Royal Bank of Scotland NV (i)(l),

 

 

 

5,000

 

0.942%, 3/9/15

 

4,945,750

 

€5,446

 

0.99%, 6/8/15

 

7,385,597

 

7,900

 

Royal Bank of Scotland PLC, 6.934%, 4/9/18 (i)

 

12,374,257

 

 

 

 

 

159,916,422

 

Building Materials - 0.2%

 

 

 

 

 

Corporacion GEO S.A.B. de C.V. (a)(d)(e),

 

 

 

$300

 

8.875%, 3/27/22

 

45,000

 

10,530

 

9.25%, 6/30/20

 

1,579,500

 

5,000

 

Desarrolladora Homex S.A.B. de C.V., 9.75%, 3/25/20 (a)(d)(e)

 

612,500

 

5,000

 

Urbi Desarrollos Urbanos S.A.B. de C.V., 9.75%, 2/3/22 (a)(d)(e)

 

750,000

 

 

 

 

 

2,987,000

 

Chemicals - 2.1%

 

 

 

25,980

 

Ineos Finance PLC, 7.50%, 5/1/20 (a)(d)(i)

 

28,610,475

 

 

 

 

 

 

 

Coal - 0.5%

 

 

 

 

 

Mongolian Mining Corp.,

 

 

 

5,900

 

8.875%, 3/29/17 (a)(d)

 

4,690,500

 

2,900

 

8.875%, 3/29/17

 

2,305,500

 

 

 

 

 

6,996,000

 

Diversified Financial Services - 7.2%

 

 

 

12,900

 

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

 

10,900,500

 

9,600

 

Cantor Fitzgerald L.P., 7.875%, 10/15/19 (a)(d)(i)

 

10,128,000

 

€900

 

Cedulas TDA 1 Fondo de Titulizacion de Activos, 0.285%, 4/8/16 (l)

 

1,189,348

 

31,700

 

Cedulas TDA 6 Fondo de Titulizacion de Activos, 4.25%, 4/10/31 (i)

 

36,875,072

 

$10,000

 

General Electric Capital Corp., 7.125%, 6/15/22 (g)

 

11,193,010

 

4,181

 

Jefferies LoanCore LLC, 6.875%, 6/1/20 (a)(b)(d)(i)(j) (acquisition cost - $4,223,740; purchased 5/16/13 - 5/17/13)

 

4,160,095

 

5,000

 

SLM Corp., 6.00%, 1/25/17 (i)

 

5,431,250

 

 

 

Springleaf Finance Corp. (i),

 

 

 

2,300

 

6.50%, 9/15/17

 

2,472,500

 

5,400

 

6.90%, 12/15/17

 

5,929,200

 

1,417

 

Stearns Holdings, Inc., 9.375%, 8/15/20 (a)(b)(d)(j) (acquisition cost - $1,417,000; purchased 7/30/13)

 

1,452,425

 

54,547

 

Toll Road Investors Partnership II L.P., zero coupon, 2/15/45 (MBIA) (a)(b)(d)(j) (acquisition cost - $9,676,435; purchased 11/20/12 - 7/26/13)

 

9,460,987

 

 

 

 

 

99,192,387

 

 


 

Schedule of Investments

PIMCO Dynamic Income Fund

December 31, 2013 (unaudited)

 

Electric Utilities - 0.6%

 

 

 

$5,000

 

Edison Mission Energy, 7.00%, 5/15/17 (e)

 

$3,812,500

 

 

 

Energy Future Intermediate Holding Co. LLC (i),

 

 

 

3,100

 

6.875%, 8/15/17 (a)(d)

 

3,224,000

 

1,700

 

10.00%, 12/1/20

 

1,814,750

 

 

 

 

 

8,851,250

 

Engineering & Construction - 0.9%

 

 

 

11,966

 

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

 

12,235,536

 

 

 

 

 

 

 

Food & Beverage - 0.8%

 

 

 

2,500

 

BRF - Brasil Foods S.A., 5.875%, 6/6/22 (a)(d)(i)

 

2,501,250

 

3,187

 

Carolina Beverage Group LLC, 10.625%, 8/1/18 (a)(b)(d)(i)(j) (acquisition cost - $3,234,503; purchased 7/23/13 - 7/24/13)

 

3,362,285

 

5,000

 

Minerva Luxembourg S.A., 7.75%, 1/31/23 (a)(d)(i)

 

4,975,000

 

 

 

 

 

10,838,535

 

Household Products/Wares - 1.8%

 

 

 

8,236

 

Armored Autogroup, Inc., 9.25%, 11/1/18 (i)

 

7,968,330

 

 

 

Reynolds Group Issuer, Inc. (i),

 

 

 

6,000

 

6.875%, 2/15/21

 

6,495,000

 

9,000

 

7.875%, 8/15/19

 

9,990,000

 

 

 

 

 

24,453,330

 

Lodging - 0.4%

 

 

 

12,000

 

Buffalo Thunder Development Authority, 9.375%, 12/15/14 (a)(b)(d)(e)(j) (acquisition cost - $4,320,000; purchased 6/28/12)

 

4,860,000

 

 

 

 

 

 

 

Media - 0.6%

 

 

 

7,800

 

Radio One, Inc., 12.50%, 5/24/16 (i)

 

7,839,000

 

 

 

 

 

 

 

Metal Fabricate/Hardware - 0.3%

 

 

 

4,000

 

Wise Metals Group LLC, 8.75%, 12/15/18 (a)(b)(d)(j) (acquisition cost - $4,000,000; purchased 11/26/13)

 

4,230,000

 

 

 

 

 

 

 

Oil & Gas - 1.4%

 

 

 

5,000

 

Afren PLC, 10.25%, 4/8/19 (i)

 

5,800,000

 

5,000

 

Alliance Oil Co., Ltd., 9.875%, 3/11/15 (i)

 

5,281,250

 

3,074

 

Ecopetrol S.A., 7.375%, 9/18/43

 

3,339,901

 

16,700

 

OGX Austria GmbH, 8.50%, 6/1/18 (a)(d)(e)(i)

 

1,419,500

 

7,000

 

Petroleos de Venezuela S.A., 5.50%, 4/12/37 (i)

 

3,622,500

 

 

 

 

 

19,463,151

 

Paper & Forest Products - 0.4%

 

 

 

6,000

 

Millar Western Forest Products Ltd., 8.50%, 4/1/21 (i)

 

6,195,000

 

 

 

 

 

 

 

Pipelines - 1.6%

 

 

 

15,900

 

NGPL PipeCo LLC, 7.768%, 12/15/37 (a)(d)(i)

 

13,674,000

 

9,740

 

Rockies Express Pipeline LLC, 6.875%, 4/15/40 (a)(d)(i)

 

8,108,550

 

 

 

 

 

21,782,550

 

Retail - 3.0%

 

 

 

£1,950

 

Aston Martin Capital Ltd., 9.25%, 7/15/18

 

3,519,722

 

500

 

Enterprise Inns PLC, 6.50%, 12/6/18

 

863,164

 

3,557

 

Punch Taverns Finance PLC, 6.82%, 7/15/20 (i)

 

6,229,601

 

12,120

 

Spirit Issuer PLC, 5.472%, 12/28/34 (l)

 

18,715,380

 

6,800

 

Unique Pub Finance Co. PLC, 6.542%, 3/30/21

 

11,739,029

 

 

 

 

 

41,066,896

 

Software - 0.4%

 

 

 

$5,000

 

First Data Corp., 7.375%, 6/15/19 (a)(d)(i)

 

5,350,000

 

 

 

 

 

 

 

Telecommunications - 1.5%

 

 

 

13,162

 

GCI, Inc., 6.75%, 6/1/21 (i)

 

12,668,425

 

7,000

 

VimpelCom Holdings BV, 7.504%, 3/1/22 (i)

 

7,329,840

 

 

 

 

 

19,998,265

 

Transportation - 0.6%

 

 

 

6,500

 

Aeropuertos Dominicanos Siglo XXI S.A., 9.25%, 11/13/19 (a)(d)(i)

 

6,435,000

 

2,850

 

Western Express, Inc., 12.50%, 4/15/15 (a)(d)(i)

 

1,824,000

 

 

 

 

 

8,259,000

 

Total Corporate Bonds & Notes (cost-$470,387,504)

 

503,189,880

 

 


 

Schedule of Investments

PIMCO Dynamic Income Fund

December 31, 2013 (unaudited)

 

ASSET-BACKED SECURITIES - 25.8%

 

 

 

$2,508

 

Asset Backed Funding Certificates, 1.215%, 3/25/34 (l)

 

$1,982,367

 

 

 

Bear Stearns Asset-Backed Securities Trust (l),

 

 

 

8,346

 

0.715%, 6/25/36

 

6,798,359

 

527

 

2.519%, 10/25/36

 

341,310

 

2,828

 

Bombardier Capital Mortgage Securitization Corp. Trust, 7.44%, 12/15/29 (i)(l)

 

1,768,252

 

 

 

Citigroup Mortgage Loan Trust, Inc.,

 

 

 

3,605

 

5.703%, 3/25/36

 

2,419,925

 

618

 

5.852%, 5/25/36

 

393,247

 

 

 

Conseco Finance Securitizations Corp. (i),

 

 

 

10,308

 

7.96%, 5/1/31

 

8,443,723

 

17,582

 

7.97%, 5/1/32

 

12,586,985

 

30,555

 

8.20%, 5/1/31

 

26,132,479

 

9,740

 

9.163%, 3/1/33 (l)

 

9,032,730

 

7,000

 

Conseco Financial Corp., 7.06%, 2/1/31 (i)(l)

 

7,239,638

 

 

 

Countrywide Asset-Backed Certificates,

 

 

 

16,650

 

0.335%, 6/25/47 (i)(l)

 

13,705,597

 

6,121

 

0.365%, 4/25/36 (l)

 

5,403,003

 

39,844

 

0.425%, 1/25/46 (l)

 

689,417

 

2,500

 

0.585%, 6/25/36 (l)

 

597,784

 

10,000

 

0.685%, 5/25/36 (l)

 

1,026,715

 

35

 

0.965%, 3/25/33 (l)

 

31,962

 

2,405

 

1.545%, 12/25/32 (l)

 

2,054,968

 

1,070

 

4.915%, 2/25/36 (l)

 

1,040,408

 

2,553

 

5.348%, 7/25/36 (l)

 

2,510,540

 

3,598

 

5.505%, 4/25/36 (l)

 

3,553,992

 

3,840

 

5.588%, 8/25/36 (l)

 

3,747,264

 

4,009

 

5.657%, 3/25/34 (l)

 

5,074,589

 

530

 

5.859%, 10/25/46

 

362,092

 

10,800

 

Credit-Based Asset Servicing and Securitization LLC, 5.606%, 10/25/36 (a)(d)(i)

 

9,317,354

 

11,766

 

CSAB Mortgage-Backed Trust, 5.50%, 5/25/37 (i)

 

10,256,093

 

 

 

EMC Mortgage Loan Trust (a)(d)(l),

 

 

 

242

 

0.615%, 12/25/42

 

225,967

 

12,286

 

0.635%, 4/25/42 (i)

 

10,867,022

 

2,813

 

2.415%, 4/25/42

 

1,471,255

 

10,137

 

GMACM Home Equity Loan Trust, 6.249%, 12/25/37 (i)

 

9,878,974

 

4,076

 

GSAA Trust, 6.205%, 3/25/46

 

3,884,549

 

1,846

 

Home Equity Mortgage Loan Asset-Backed Trust, 7.397%, 12/25/31

 

905,016

 

32,919

 

Legg Mason PT, 6.55%, 3/10/20 (a)(d)(f)

 

32,562,086

 

11,350

 

Lehman XS Trust, 5.91%, 6/24/46 (i)

 

9,709,707

 

272

 

Long Beach Mortgage Loan Trust, 1.215%, 2/25/34 (l)

 

252,847

 

27,060

 

Morgan Stanley Home Equity Loan Trust, 0.395%, 4/25/37 (i)(l)

 

16,222,088

 

 

 

Oakwood Mortgage Investors, Inc.,

 

 

 

9,430

 

5.92%, 9/15/17 (l)

 

4,269,739

 

5,755

 

6.61%, 2/15/21 (l)

 

2,870,139

 

25,672

 

7.40%, 7/15/30 (l)

 

18,126,715

 

7,476

 

7.405%, 12/15/30 (l)

 

4,129,789

 

5,821

 

7.84%, 11/15/29 (i)(l)

 

5,692,859

 

2,245

 

8.49%, 10/15/30

 

427,386

 

 

 

Popular ABS Mortgage Pass-Through Trust,

 

 

 

3,663

 

ABS, 1.415%, 8/25/35 (l)

 

2,032,046

 

8,422

 

4.812%, 7/25/35 (i)

 

7,296,443

 

37

 

Renaissance Home Equity Loan Trust, 0.665%, 12/25/33 (l)

 

36,269

 

11,872

 

Residential Asset Mortgage Products, Inc., 1.14%, 4/25/34 (i)(l)

 

9,623,601

 

 

 

Residential Asset Securities Corp. (l),

 

 

 

8,604

 

0.325%, 6/25/36 (i)

 

8,057,876

 

11,000

 

0.405%, 8/25/36

 

5,825,864

 

7,832

 

Sorin Real Estate CDO IV Ltd., 0.768%, 10/28/46 (a)(d)(l)

 

2,975,970

 

 

 

Soundview Home Equity Loan Trust,

 

 

 

10,206

 

0.445%, 6/25/37 (l)

 

5,629,057

 

2,254

 

5.588%, 10/25/36

 

1,856,502

 

 

 

South Coast Funding VII Ltd. (a)(d)(l),

 

 

 

192,529

 

0.503%, 1/6/41, CDO

 

45,013,297

 

5,828

 

0.503%, 1/6/41, CDO (b)(j) (acquisition cost - $1,151,095; purchased 11/8/12)

 

1,362,663

 

8,405

 

Structured Asset Securities Corp., 6.165%, 5/25/32 (l)

 

4,005,064

 

1,647

 

Vanderbilt Acquisition Loan Trust, 7.33%, 5/7/32 (l)

 

1,805,226

 

Total Asset-Backed Securities (cost-$327,364,224)

 

353,526,809

 

 

 

 

 

 

 

U.S. TREASURY OBLIGATIONS - 2.8%

 

 

 

 

 

U.S. Treasury Notes,

 

 

 

16,832

 

0.25%, 5/31/14 (h)

 

16,842,857

 

5,100

 

0.25%, 10/31/14

 

5,104,784

 

14,900

 

0.25%, 1/15/15

 

14,913,380

 

800

 

0.375%, 11/15/14

 

801,578

 

Total U.S. Treasury Obligations (cost-$37,654,168)

 

37,662,599

 

 


 

Schedule of Investments

PIMCO Dynamic Income Fund

December 31, 2013 (unaudited)

 

U.S. GOVERNMENT AGENCY SECURITIES (l)- 2.7%

 

 

 

 

 

Fannie Mae, CMO,

 

 

 

$17,383

 

5.755%, 7/25/41, IO

 

$2,102,254

 

25,605

 

5.905%, 10/25/40, IO

 

3,162,471

 

886

 

6.185%, 12/25/37, IO

 

116,799

 

55,374

 

6.275%, 3/25/37 - 4/25/37, IO

 

7,601,748

 

573

 

6.335%, 2/25/37, IO

 

80,008

 

1,787

 

6.355%, 9/25/37, IO

 

286,737

 

53,585

 

6.395%, 6/25/41, IO

 

7,479,927

 

482

 

6.485%, 11/25/36, IO

 

70,933

 

1,542

 

6.555%, 6/25/37, IO

 

291,961

 

5,232

 

6.585%, 10/25/35, IO

 

895,865

 

4,389

 

6.605%, 5/25/37, IO

 

702,212

 

5,088

 

6.815%, 3/25/38, IO

 

997,386

 

3,650

 

6.835%, 2/25/38, IO

 

570,126

 

3,493

 

6.935%, 6/25/23, IO

 

666,963

 

5,985

 

12.005%, 1/25/41 (b)

 

6,992,829

 

 

 

Freddie Mac, CMO,

 

 

 

721

 

6.243%, 5/15/37, IO

 

94,345

 

6,171

 

6.303%, 7/15/36, IO

 

875,046

 

2,416

 

6.413%, 9/15/36, IO

 

416,657

 

5,732

 

6.533%, 4/15/36, IO

 

808,602

 

3,945

 

7.613%, 9/15/36, IO

 

868,922

 

602

 

14.055%, 9/15/41 (b)

 

692,359

 

537

 

16.458%, 9/15/34 (b)

 

675,934

 

Total U.S. Government Agency Securities (cost-$47,486,263)

 

36,450,084

 

 

 

 

 

SENIOR LOANS - 2.3%

 

 

 

Auto Components - 0.0%

 

 

 

200

 

Keystone Automotive Operations, Inc., 7.00%, 8/13/19 (a)(b)(c)(j) (acquisition cost - $196,508; purchased 8/8/13)

 

200,622

 

 

 

 

 

 

 

Diversified Financial Services - 0.4%

 

 

 

5,800

 

Springleaf Financial Funding Co., 4.75%, 9/30/19, Term B2 (a)(c)

 

5,879,750

 

 

 

 

 

 

 

Food & Beverage - 0.2%

 

 

 

2,764

 

Candy Intermediate Holdings, Inc., 7.50%, 6/18/18, Term B (a)(c)

 

2,623,562

 

 

 

 

 

 

 

Hotels/Gaming - 1.0%

 

 

 

12,667

 

Stockbridge SBE Holdings LLC, 13.00%, 5/2/17, Term B (a)(b)(c)(j) (acquisition cost - $12,666,667; purchased 5/30/12 - 7/10/12)

 

13,996,667

 

 

 

 

 

 

 

Plumbing & HVAC Equipment - 0.7%

 

 

 

9,450

 

AMPAM Parks Mechanical, Inc., 8.375%, 10/31/18 (a)(b)(d)(f)(j) (acquisition cost - $9,261,000; purchased 10/30/13)

 

9,267,314

 

Total Senior Loans (cost-$30,529,616)

 

31,967,915

 

 

 

 

 

 

 

Shares

 

 

 

 

 

CONVERTIBLE PREFERRED STOCK - 0.9%

 

 

 

Aerospace & Defense - 0.3%

 

 

 

70,000

 

United Technologies Corp., 7.50%, 8/1/15

 

4,582,900

 

 

 

 

 

 

 

Electric Utilities - 0.6%

 

 

 

151,700

 

PPL Corp., 8.75%, 5/1/14

 

8,021,896

 

Total Convertible Preferred Stock (cost-$11,480,278)

 

12,604,796

 

 

 

 

 

PREFERRED STOCK - 0.3%

 

 

 

Banking - 0.3%

 

 

 

36,000

 

AgriBank FCB, 6.875%, 1/1/24 (a)(b)(d)(g)(j)(k) (acquisition cost - $3,600,000; purchased 10/29/13) (cost-$3,600,000)

 

3,553,877

 

 

 

 

 

 

 

Principal
Amount
(000s)

 

 

 

 

 

SHORT-TERM INVESTMENTS - 7.2%

 

 

 

U.S. Treasury Obligations - 6.6%

 

 

 

$22,566

 

U.S. Treasury Bills, 0.089%-0.137%, 2/6/14-11/13/14 (h)(m)

 

22,561,141

 

 

 

U.S. Treasury Notes,

 

 

 

4,422

 

0.25%, 1/31/14 (h)

 

4,422,951

 

21,100

 

0.25%, 6/30/14 (h)(i)

 

21,117,724

 

22,854

 

0.25%, 8/31/14

 

22,874,980

 

9,134

 

0.25%, 9/15/14

 

9,142,385

 

500

 

0.25%, 9/30/14

 

500,439

 

200

 

0.25%, 11/30/14

 

200,191

 

 


 

Schedule of Investments

PIMCO Dynamic Income Fund

December 31, 2013 (unaudited)

 

$6,020

 

0.50%, 10/15/14

 

$6,037,404

 

3,000

 

0.625%, 7/15/14

 

3,008,556

 

Total U.S. Treasury Obligations (cost-$89,855,145)

 

89,865,771

 

 

 

 

 

 

 

Repurchase Agreements - 0.5%

 

 

 

2,400

 

Banc of America Securities LLC, dated 12/31/13, 0.01%, due 1/2/14, proceeds $2,400,001; collateralized by U.S. Treasury Notes, 0.375%, due 1/15/16, valued at $2,452,479 including accrued interest

 

2,400,000

 

4,600

 

RBC Capital Markets LLC, dated 12/31/13, 0.01%, due 1/2/14, proceeds $4,600,003; collateralized by U.S. Treasury Notes, 4.125%, due 5/15/15, valued at $4,695,488 including accrued interest

 

4,600,000

 

Total Repurchase Agreements (cost-$7,000,000)

 

7,000,000

 

 

 

 

 

 

 

U.S. Government Agency Securities - 0.1%

 

 

 

1,894

 

Freddie Mac Discount Notes, 0.101%, 7/1/14 (m) (cost-$1,893,053)

 

1,893,242

 

Total Short-Term Investments (cost-$98,748,198)

 

98,759,013

 

 

 

 

 

Total Investments (cost-$2,293,137,766) (n)-186.8%

 

2,557,376,863

 

Liabilities in excess of other assets-(86.8)%

 

(1,188,049,402

)

Net Assets-100.0%

 

$1,369,327,461

 

 


 

Notes to Schedule of Investments:

 

*

Portfolio securities and other financial instruments for which market quotations are readily available are stated at market value. Market value is generally determined on the basis of last reported sales prices, or if no sales are reported, on the basis of quotes obtained from a quotation reporting system, established market makers, or independent pricing services. The Fund’s investments are valued daily using prices supplied by an independent pricing service or dealer quotations, or by using the last sale price on the exchange that is the primary market for such securities, or the mean between the last quoted bid and ask price. Independent pricing services use information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. Centrally cleared swaps are valued at the price determined by the relevant exchange.

 

The Board of Trustees (the “Board”) has adopted procedures for valuing portfolio securities and other financial derivative instruments in circumstances where market quotes are not readily available, and has delegated the responsibility for applying the valuation methods to Allianz Global Investors Fund Management LLC (the “Investment Manager”) and Pacific Investment Management Company LLC (the “Sub-Adviser”). The Fund’s Valuation Committee was established by the Board to oversee the implementation of the Fund’s valuation methods and to make fair value determinations on behalf of the Board, as instructed. The Sub-Adviser monitors the continued appropriateness of methods applied and determines if adjustments should be made in light of market changes, events affecting the issuer, or other factors. If the Sub-Adviser determines that a valuation method may no longer be appropriate, another valuation method may be selected, or the Valuation Committee will be convened to consider the matter and take any appropriate action in accordance with procedures set forth by the Board. The Board shall review the appropriateness of the valuation methods and these methods may be amended or supplemented from time to time by the Valuation Committee.

 

Benchmark pricing procedures are used as the basis for setting the base price of a fixed-income security and for subsequently adjusting the price proportionally to market value changes of a pre-determined security deemed to be comparable in duration, generally a U.S. Treasury or sovereign note based on country of issuance. The base price may be a broker-dealer quote, transaction price, or an internal value as derived by analysis of market data. The base price of the security may be reset on a periodic basis based on the availability of market data and procedures approved by the Valuation Committee. The validity of the fair value is reviewed by the Sub-Adviser on a periodic basis and may be amended as the availability of market data indicates a material change.

 

Short-term securities maturing in 60 days or less are valued at amortized cost, if their original term to maturity was 60 days or less, or by amortizing their value on the 61st day prior to maturity, if the original term to maturity exceeded 60 days.

 

Investments initially valued in currencies other than the U.S. dollar are converted to the U.S. dollar using exchange rates obtained from pricing services. As a result, the net asset value (“NAV”) of the Fund’s shares may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of securities traded in markets outside the United States or denominated in currencies other than the U.S. dollar may be affected significantly on a day that the New York Stock Exchange (“NYSE”) is closed.

 

The prices used by the Fund to value investments may differ from the value that would be realized if the investments were sold, and these differences could be material. The Fund’s NAV is normally determined as of the close of regular trading (normally, 4:00 p.m. Eastern time) on the NYSE on each day the NYSE is open for business.

 

 

(a)

Private Placement—Restricted as to resale and may not have a readily available market. Securities with an aggregate value of $777,397,568, representing 56.8% of net assets.

 

 

(b)

Illiquid.

 

 

(c)

These securities generally pay interest at rates which are periodically pre-determined by reference to a base lending rate plus a premium. These base lending rates are generally either the lending rate offered by one or more major European banks, such as the “LIBOR” or the prime rate offered by one or more major United States banks, or the certificate of deposit rate. These securities are generally considered to be restricted as the Fund is ordinarily contractually obligated to receive approval from the Agent bank and/or borrower prior to disposition. Remaining maturities of senior loans may be less than the stated maturities shown as a result of contractual or optional payments by the borrower. Such prepayments cannot be predicted with certainty. The interest rate disclosed reflects the rate in effect on December 31, 2013.

 

 

(d)

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

 

 

(e)

In default.

 

 

(f)

Fair-Valued—Securities with an aggregate value of $42,218,327, representing 3.1% of net assets.

 

 

(g)

Perpetual maturity. The date shown, if any, is the next call date.  For Corporate Bonds & Notes the interest rate is fixed until the first call date and variable thereafter.

 

 

(h)

All or partial amount segregated for the benefit of the counterparty as collateral for derivatives.

 

 

(i)

All or partial amount transferred for the benefit of the counterparty as collateral for reverse repurchase agreements.

 

 

(j)

Restricted. The aggregate acquisition cost of such securities is $66,832,000. The aggregate value is $69,766,862, representing 5.1% of net assets.

 

 

(k)

Dividend rate is fixed until the first call date and variable thereafter.

 

 

(l)

Variable or Floating Rate Security—Securities with an interest rate that changes periodically.  The interest rate disclosed reflects the rate in effect on December 31, 2013.

 

 

(m)

Rates reflect the effective yields at purchase date.

 

 

(n)

At December 31, 2013, the cost basis of portfolio securities of $2,293,137,766 was substantially the same for both federal income tax and book purposes. Gross unrealized appreciation was $322,146,618; gross unrealized depreciation was $57,907,521; and net unrealized appreciation was $264,239,097.

 

 

(o)

Credit default swap agreements outstanding at December 31, 2013:

 


 

OTC sell protection swap agreements(1):

 

Swap Counterparty/
Referenced Debt Issuer

 

Notional
Amount
(000s)(3)

 

Credit
Spread(2)

 

Termination
Date

 

Payments
Received

 

Value(4)

 

Upfront
Premiums
Received

 

Unrealized
Appreciation

 

Credit Suisse First Boston:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Markit ABX.HE AA 06-2

 

$32,737

 

 

†

5/25/46

 

0.17

%

$(28,615,777

)

$(29,095,252

)

$479,475

 

Goldman Sachs:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Markit ABX.HE A 06-1

 

13,819

 

 

†

7/25/45

 

0.54

%

(11,612,654

)

(12,040,841

)

428,187

 

 

 

 

 

 

 

 

 

 

 

$(40,228,431

)

$(41,136,093

)

$907,662

 

 

†

Credit Spread not quoted for asset-backed securities.

 

 

(1)

If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. Recovery values are assumed by market makers considering either industry standard recovery rates or entity specific factors and considerations until a credit event occurs. If a credit event has occurred, the recovery value is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the settlement value.

 

 

(2)

Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements as of year/period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative.  The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement.  Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

 

 

(3)

This represents the maximum potential amount the Fund could be required to make available as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

 

 

(4)

The quoted market prices and resulting values for credit default swap agreements serve as an indicator of the status at December 31, 2013 of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement have been closed/sold as of the period end.  Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

 

 

(p)

Interest rate swap agreements outstanding at December 31, 2013:

 

Centrally cleared swap agreements:

 

 

 

Notional

 

 

 

Rate Type

 

 

 

Unrealized

 

Broker (Exchange)

 

Amount
(000s)

 

Termination
Date

 

Payments
Made

 

Payments
Received

 

Value

 

Appreciation
(Depreciation)

 

Credit Suisse First Boston (CME)

 

$134,000

 

6/20/22

 

4.00%

 

3-Month USD-LIBOR

 

$(12,532,465

)

$13,684,001

 

Credit Suisse First Boston (CME)

 

133,000

 

12/18/23

 

3-Month USD-LIBOR

 

3.00%

 

(887,200

)

(1,020,200

)

Credit Suisse First Boston (CME)

 

102,200

 

3/20/43

 

2.75%

 

3-Month USD-LIBOR

 

21,481,983

 

19,433,804

 

 

 

 

 

 

 

 

 

 

 

$8,062,318

 

$32,097,605

 

 

(q)

Forward foreign currency contracts outstanding at December 31, 2013:

 

 

 

Counterparty

 

U.S.$ Value on
Origination Date

 

U.S.$ Value
December 31, 2013

 

Unrealized
Appreciation
(Depreciation)

 

Purchased:

 

 

 

 

 

 

 

 

 

72,799,090 British Pound settling 1/2/14

 

Barclays Bank

 

$118,516,919

 

$120,551,647

 

$2,034,728

 

712,000 British Pound settling 2/4/14

 

Credit Suisse First Boston

 

1,177,196

 

1,178,786

 

1,590

 

112,639,520 Euro settling 1/2/14

 

BNP Paribas

 

154,879,340

 

154,958,117

 

78,777

 

910,000 Euro settling 2/4/14

 

Deutsche Bank

 

1,243,772

 

1,251,868

 

8,096

 

Sold:

 

 

 

 

 

 

 

 

 

72,799,090 British Pound settling 2/4/14

 

Barclays Bank

 

118,489,838

 

120,526,011

 

(2,036,173

)

1,693,828 British Pound settling 1/2/14

 

Citigroup

 

2,751,340

 

2,804,895

 

(53,555

)

608,488 British Pound settling 2/4/14

 

Citigroup

 

994,000

 

1,007,411

 

(13,411

)

69,183,262 British Pound settling 1/2/14

 

Credit Suisse First Boston

 

112,038,280

 

114,564,016

 

(2,525,736

)

1,922,000 British Pound settling 1/2/14

 

HSBC Bank

 

3,145,590

 

3,182,736

 

(37,146

)

640,107 Euro settling 1/2/14

 

Barclays Bank

 

866,000

 

880,595

 

(14,595

)

112,639,520 Euro settling 2/4/14

 

BNP Paribas

 

154,875,961

 

154,955,824

 

(79,863

)

106,534 Euro settling 1/2/14

 

Citigroup

 

144,000

 

146,559

 

(2,559

)

831,148 Euro settling 2/4/14

 

Citigroup

 

1,136,000

 

1,143,392

 

(7,392

)

111,892,879 Euro settling 1/2/14

 

JPMorgan Chase

 

150,570,428

 

153,930,963

 

(3,360,535

)

 

 

 

 

 

 

 

 

$(6,007,774

)

 


 

(r)

At December 31, 2013, the Fund held $710,000 in cash as collateral and pledged cash collateral of $5,754,000 for derivative contracts. Cash collateral held may be invested in accordance with the Fund’s investment strategy. As part of the cash collateral held, $223,000 was segregated in the Fund’s name, at a third party, but cannot be invested by the Fund.

 

 

(s)

Open reverse repurchase agreements at December 31, 2013:

 

Counterparty

 

Rate

 

Trade Date

 

Due Date

 

Principal & Interest

 

Principal

 

Bank of America

 

1.32

%

12/2/13

 

1/7/14

 

$6,298,151

 

$6,291,000

 

 

 

1.32

 

12/17/13

 

1/17/14

 

17,597,318

 

17,587,000

 

Barclays Bank

 

0.40

 

11/5/13

 

2/5/14

 

7,172,619

 

7,168,000

 

 

 

0.50

 

10/8/13

 

1/7/14

 

3,426,087

 

3,422,000

 

 

 

0.50

 

11/21/13

 

2/13/14

 

2,118,235

 

2,117,000

 

 

 

0.55

 

9/4/13

 

9/3/15

 

5,631,305

 

5,621,000

 

 

 

0.60

 

9/20/13

 

1/16/14

 

6,175,029

 

6,164,466

 

 

 

0.65

 

10/8/13

 

1/7/14

 

25,263,167

 

25,224,000

 

 

 

0.65

 

11/5/13

 

2/5/14

 

8,813,220

 

8,804,000

 

 

 

0.65

 

11/21/13

 

2/13/14

 

2,512,904

 

2,511,000

 

 

 

0.65

 

11/26/13

 

2/13/14

 

11,865,456

 

11,857,000

 

 

 

0.65

 

12/18/13

 

3/14/14

 

39,083,582

 

39,073,000

 

 

 

0.65

 

12/20/13

 

3/19/14

 

42,458,964

 

42,449,000

 

 

 

0.96

 

10/17/13

 

1/21/14

 

10,400,312

 

10,379,000

 

 

 

1.24

 

10/24/13

 

1/24/14

 

41,145,969

 

41,047,000

 

 

 

1.42

 

10/15/13

 

1/16/14

 

4,555,564

 

4,541,429

 

 

 

1.49

 

10/16/13

 

1/15/14

 

22,421,150

 

22,349,000

 

 

 

1.49

 

10/24/13

 

1/24/14

 

8,302,986

 

8,279,000

 

 

 

1.49

 

10/31/13

 

1/30/14

 

3,095,049

 

3,087,000

 

 

 

1.49

 

12/5/13

 

3/5/14

 

11,283,061

 

11,270,000

 

 

 

1.49

 

12/23/13

 

3/20/14

 

18,445,631

 

18,438,000

 

 

 

1.50

 

12/24/13

 

3/24/14

 

12,197,572

 

12,193,000

 

BNP Paribas

 

1.254

 

12/12/13

 

3/11/14

 

8,674,341

 

8,668,000

 

Citigroup

 

0.92

 

12/17/13

 

1/16/14

 

6,520,665

 

6,518,000

 

 

 

0.99

 

10/21/13

 

1/22/14

 

6,168,358

 

6,156,000

 

Credit Suisse First Boston

 

0.45

 

12/16/13

 

2/18/14

 

20,669,391

 

20,665,000

 

 

 

1.60

 

11/18/13

 

1/17/14

 

9,757,476

 

9,738,000

 

 

 

1.60

 

11/25/13

 

1/24/14

 

3,896,570

 

3,890,000

 

 

 

1.60

 

11/27/13

 

1/27/14

 

18,014,778

 

17,986,000

 

 

 

1.60

 

12/9/13

 

2/7/14

 

31,710,789

 

31,677,000

 

 

 

1.60

 

12/10/13

 

2/7/14

 

11,723,284

 

11,711,000

 

 

 

1.60

 

12/16/13

 

2/18/14

 

94,090,037

 

94,019,000

 

Deutsche Bank

 

0.59

 

10/7/13

 

1/7/14

 

21,805,046

 

21,774,000

 

 

 

0.59

 

11/1/13

 

1/7/14

 

978,994

 

978,000

 

 

 

0.59

 

12/19/13

 

1/15/14

 

10,127,323

 

10,125,000

 

 

 

0.59

 

12/23/13

 

3/20/14

 

19,390,177

 

19,387,000

 

JPMorgan Chase

 

1.37

 

12/18/13

 

1/14/14

 

7,904,510

 

7,900,000

 

Morgan Stanley

 

1.10

 

10/15/13

 

1/15/14

 

11,930,730

 

11,902,000

 

 

 

1.15

 

10/15/13

 

1/15/14

 

7,042,728

 

7,025,000

 

Royal Bank of Canada

 

0.45

 

12/17/13

 

3/14/14

 

9,395,879

 

9,394,000

 

 

 

0.45

 

12/31/13

 

3/14/14

 

21,130,000

 

21,130,000

 

 

 

0.47

 

10/16/13

 

1/3/14

 

20,935,297

 

20,914,000

 

 

 

1.24

 

10/8/13

 

1/7/14

 

36,471,717

 

36,363,999

 

 

 

1.24

 

10/29/13

 

1/28/14

 

14,747,945

 

14,715,000

 

 

 

1.24

 

11/4/13

 

2/4/14

 

15,415,264

 

15,384,000

 

 

 

1.24

 

11/12/13

 

2/11/14

 

65,893,550

 

65,778,000

 

 

 

1.24

 

11/25/13

 

2/25/14

 

15,921,813

 

15,901,000

 

 

 

1.24

 

12/11/13

 

3/10/14

 

10,739,132

 

10,731,000

 

 

 

2.239

 

11/14/13

 

5/14/14

 

64,212,992

 

63,620,000

 

Royal Bank of Scotland

 

1.24

 

10/21/13

 

1/22/14

 

10,933,423

 

10,906,000

 

 

 

1.24

 

10/25/13

 

1/24/14

 

12,552,763

 

12,523,000

 

 

 

1.24

 

10/30/13

 

1/30/14

 

9,890,756

 

9,869,000

 

 

 

1.49

 

10/23/13

 

1/22/14

 

6,121,937

 

6,104,000

 

 

 

1.59

 

10/17/13

 

1/17/14

 

6,636,493

 

6,614,000

 

 

 

1.59

 

10/21/13

 

1/22/14

 

20,613,247

 

20,547,000

 

 

 

1.59

 

11/4/13

 

2/4/14

 

16,828,739

 

16,785,000

 

 

 

1.59

 

11/7/13

 

2/7/14

 

7,444,367

 

7,426,000

 

 

 

1.59

 

11/20/13

 

2/20/14

 

33,880,989

 

33,813,000

 

Societe Generale

 

1.27

 

12/13/13

 

1/14/14

 

13,205,311

 

13,196,000

 

 

 

1.27

 

12/19/13

 

1/14/14

 

6,619,268

 

6,616,000

 

 

 

1.274

 

12/5/13

 

1/6/14

 

18,100,918

 

18,083,000

 

UBS

 

0.40

 

10/23/13

 

1/23/14

 

48,725,694

 

48,687,666

 

 

 

0.45

 

12/20/13

 

1/23/14

 

11,043,794

 

11,042,000

 

 

 

0.50

 

10/23/13

 

1/23/14

 

11,163,656

 

11,152,767

 

 

 

0.50

 

12/20/13

 

1/23/14

 

5,164,932

 

5,164,000

 

 

 

1.644

 

10/4/13

 

10/6/14

 

3,368,789

 

3,355,000

 

 

 

 

 

 

 

 

 

 

 

$1,115,805,327

 

 


 

(t)

The weighted average daily balance of reverse repurchase agreements during the nine months ended December 31, 2013 was $1,153,012,982, at a weighted average interest rate of 1.22%. Total value of underlying collateral (refer to the Schedule of Investments for positions transferred for the benefit of the counterparty as collateral) for open reverse repurchase agreements at December 31, 2013 was $1,337,150,755.

 

At December 31, 2013, the Fund held $5,471,088, in principal value of Corporate Bonds & Notes, $1,546,010 in U.S. Treasury Obligations and $3,280,000 in cash as collateral for open reverse repurchase agreements. Cash collateral held may be invested in accordance with the Fund’s investment strategy. Securities held as collateral will not be pledged and are not reflected in the Schedule of Investments.

 

 

(u)

At December 31, 2013, the Fund had the following unfunded loan commitments which could be extended at the option of the borrower:

 

Borrower

 

Principal

 

Alinta Ltd.

 

$61,864

 

 


 

Fair Value Measurements

 

Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability (i.e. the “exit price”) in an orderly transaction between market participants. The three levels of the fair value hierarchy are described below:

 

·                  Level 1 — quoted prices in active markets for identical investments that the Fund has the ability to access

·                  Level 2 — valuations based on other significant observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates or other market corroborated inputs

·                  Level 3 — valuations based on significant unobservable inputs (including the Sub-Adviser’s or Valuation Committee’s own assumptions and securities whose price was determined by using a single broker’s quote)

 

The valuation techniques used by the Fund to measure fair value during the nine months ended December 31, 2013 were intended to maximize the use of observable inputs and to minimize the use of unobservable inputs.

 

The Fund’s policy is to recognize transfers between levels at the end of the reporting period. An investment asset’s or liability’s level within the fair value hierarchy is based on the lowest level input, individually or in aggregate, that is significant to the fair value measurement. The objective of fair value measurement remains the same even when there is a significant decrease in the volume and level of activity for an asset or liability and regardless of the valuation techniques used. Investments categorized as Level 1 or 2 as of period end may have been transferred between Levels 1 and 2 since the prior period due to changes in the valuation method utilized in valuing the investments.

 

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following are certain inputs and techniques that the Fund generally uses to evaluate how to classify each major category of assets and liabilities for Level 2 and Level 3, in accordance with Generally Accepted Accounting Principles.

 

Equity Securities (Common and Preferred Stock) — Equity securities traded in inactive markets are valued using inputs which include broker-dealer quotes, recently executed transactions adjusted for changes in the benchmark index, or evaluated price quotes received from independent pricing services that take into account the integrity of the market sector and issuer, the individual characteristics of the security, and information received from broker-dealers and other market sources pertaining to the issuer or security. To the extent that these inputs are observable, the values of equity securities are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.

 

U.S. Treasury Obligations — U.S. Treasury obligations are valued by independent pricing services based on pricing models that evaluate the mean between the most recently quoted bid and ask price. The models also take into consideration data received from active market makers and broker-dealers, yield curves, and the spread over comparable U.S. Treasury issues. The spreads change daily in response to market conditions and are generally obtained from the new issue market and broker-dealer sources. To the extent that these inputs are observable, the values of U.S. Treasury obligations are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.

 

Government Sponsored Enterprise and Mortgage-Backed Securities — Government sponsored enterprise and mortgage-backed securities are valued by independent pricing services using pricing models based on inputs that include issuer type, coupon, cash flows, mortgage prepayment projection tables and Adjustable Rate Mortgage evaluations that incorporate index data, periodic and life caps and the next coupon reset date. To the extent that these inputs are observable, the values of government sponsored enterprise and mortgage-backed securities are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.

 

Corporate Bonds & Notes — Corporate bonds & notes are generally comprised of two main categories: investment grade bonds and high yield bonds. Investment grade bonds are valued by independent pricing services using various inputs and techniques, which include broker-dealer quotations, live trading levels, recently executed transactions in securities of the issuer or comparable issuers, and option adjusted spread models that include base curve and spread curve inputs. Adjustments to individual bonds can be applied to recognize trading differences compared to other bonds issued by the same issuer. High yield bonds are valued by independent pricing services based primarily on broker-dealer quotations from relevant market makers and recently executed transactions in securities of the issuer or comparable issuers. The broker-dealer quotations received are supported by credit analysis of the issuer that takes into consideration credit quality assessments, daily trading

 


 

activity, and the activity of the underlying equities, listed bonds and sector-specific trends. To the extent that these inputs are observable, the values of corporate bonds & notes are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.

 

Asset-Backed Securities and Collateralized Mortgage Obligations — Asset-backed securities and collateralized mortgage obligations are valued by independent pricing services using pricing models based on a security’s average life volatility. The models also take into account tranche characteristics such as coupon, average life, collateral types, ratings, the issuer and tranche type, underlying collateral and performance of the collateral, and discount margin for certain floating rate issues. To the extent that these inputs are observable, the values of asset-backed securities and collateralized mortgage obligations are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.

 

Forward Foreign Currency Contracts — Forward foreign currency contracts are valued by independent pricing services using various inputs and techniques, which include broker-dealer quotations, actual trading information and foreign currency exchange rates gathered from leading market makers and foreign currency exchange trading centers throughout the world. To the extent that these inputs are observable, the values of forward foreign currency contracts are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.

 

Credit Default Swaps — Credit default swaps traded over-the-counter (“OTC”) are valued by independent pricing services using pricing models that take into account, among other factors, information received from market makers and broker-dealers, default probabilities from index specific credit spread curves, recovery rates, and cash flows. To the extent that these inputs are observable, the values of credit default swaps are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.

 

Interest Rate Swaps — OTC interest rate swaps are valued by independent pricing services using pricing models that are based on real-time intraday snapshots of relevant interest rate curves that are built using the most actively traded securities for a given maturity. The pricing models also incorporate cash and money market rates. In addition, market data pertaining to interest rate swaps is monitored regularly to ensure that interest rates are properly depicting the current market rate. Centrally cleared interest rate swaps are valued at the price determined by the relevant exchange. To the extent that these inputs are observable, the values of interest rate swaps are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.

 

Senior Loans — Senior Loans are valued by independent pricing services based on the average of quoted prices received from multiple dealers or valued relative to other benchmark securities when broker-dealer quotes are unavailable. These quoted prices are based on interest rates, yield curves, option adjusted spreads and credit spreads. To the extent that these inputs are observable, the values of Senior Loans are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.

 

A summary of the inputs used at December 31, 2013 in valuing the Fund’s assets and liabilities is listed below (refer to the Schedule of Investments and Notes to Schedule of Investments for more detailed information on Investments in Securities and Other Financial Instruments):

 

 

 

Level 1 -
Quoted Prices

 

Level 2 -
Other Significant
Observable
Inputs

 

Level 3 -
Significant
Unobservable
Inputs

 

Value at
12/31/13

 

Investments in Securities - Assets

 

 

 

 

 

 

 

 

 

Mortgage-Backed Securities

 

$—

 

$1,479,272,963

 

$388,927

 

$1,479,661,890

 

Corporate Bonds & Notes

 

—

 

503,189,880

 

—

 

503,189,880

 

Asset-Backed Securities

 

—

 

320,964,723

 

32,562,086

 

353,526,809

 

U.S. Treasury Obligations

 

—

 

37,662,599

 

—

 

37,662,599

 

U.S. Government Agency Securities

 

—

 

36,450,084

 

—

 

36,450,084

 

Senior Loans:

 

 

 

 

 

 

 

 

 

Hotels/Gaming

 

—

 

—

 

13,996,667

 

13,996,667

 

Plumbing & HVAC Equipment

 

—

 

—

 

9,267,314

 

9,267,314

 

All Other

 

—

 

8,703,934

 

—

 

8,703,934

 

Convertible Preferred Stock

 

12,604,796

 

—

 

—

 

12,604,796

 

Preferred Stock

 

—

 

3,553,877

 

—

 

3,553,877

 

Short-Term Investments

 

—

 

98,759,013

 

—

 

98,759,013

 

 

 

12,604,796

 

2,488,557,073

 

56,214,994

 

2,557,376,863

 

Other Financial Instruments* - Assets

 

 

 

 

 

 

 

 

 

Credit Contracts

 

—

 

907,662

 

—

 

907,662

 

Foreign Exchange Contracts

 

—

 

2,123,191

 

—

 

2,123,191

 

Interest Rate Contracts

 

—

 

33,117,805

 

—

 

33,117,805

 

 

 

—

 

36,148,658

 

—

 

36,148,658

 

Other Financial Instruments* - Liabilities

 

 

 

 

 

 

 

 

 

Foreign Exchange Contracts

 

—

 

(8,130,965

)

—

 

(8,130,965

)

Interest Rate Contracts

 

—

 

(1,020,200

)

—

 

(1,020,200

)

 

 

—

 

(9,151,165

)

—

 

(9,151,165

)

Totals

 

$12,604,796

 

$2,515,554,566

 

$56,214,994

 

$2,584,374,356

 

 


 

At December 31, 2013, there were no transfers between Levels 1 and 2.

 

A roll forward of fair value measurements using significant unobservable inputs (Level 3) for the nine months ended December 31, 2013, was as follows:

 

 

 

Beginning
Balance
3/31/13

 

Purchases

 

Sales

 

Accrued
Discount
(Premiums)

 

Net
Realized
Gain (Loss)

 

Net Change
in Unrealized
Appreciation/
Depreciation

 

Transfers
into
Level 3

 

Transfers
out of
Level 3**

 

Ending
Balance
12/31/13

 

Investments in Securities - Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Mortgage-Backed Securities

 

$59,476,261

 

$781

 

$(33,126

)

$96,131

 

$(1,019,279

)†

$(1,905,432

)

$—

 

$(56,226,409

)

$388,927

 

Asset-Backed Securities

 

54,059,850

 

33,927,325

 

(6,201,416

)

1,256,879

 

3,911,202

 

(5,039,824

)

—

 

(49,351,930

)

32,562,086

 

Senior Loans:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Auto Components

 

12,078,543

 

—

 

(11,900,042

)

9,724

 

65,894

 

(254,119

)

—

 

—

 

—

 

Hotels/Gaming

 

16,530,000

 

—

 

(2,533,334

)

33,547

 

29,292

 

(62,838

)

—

 

—

 

13,996,667

 

Plumbing & HVAC Equipment

 

—

 

9,261,000

 

—

 

6,421

 

—

 

(107

)

—

 

—

 

9,267,314

 

Real Estate

 

42,108,179

 

—

 

(42,296,369

)

—

 

349,229

 

(161,039

)

—

 

—

 

—

 

Totals

 

$184,252,833

 

$43,189,106

 

$(62,964,287

)

$1,402,702

 

$3,336,338

 

$(7,423,359

)

$—

 

$(105,578,339

)

$56,214,994

 

 

The following table presents additional information about valuation techniques and inputs used for investments that are measured at fair value and categorized within Level 3 at December 31, 2013:

 

 

 

Ending
Balance
at 12/31/13

 

Valuation
Technique Used

 

Unobservable
Inputs

 

Input Values

 

Investments in Securities - Assets

 

 

 

 

 

 

 

 

 

Mortgage-Backed Securities

 

$388,927

 

Interest Only Weighted Average Life Model

 

Security Price Reset

 

$4.89

 

Asset-Backed Securities

 

32,562,086

 

Benchmarked Pricing

 

Security Price Reset

 

$98.92

 

Senior Loans

 

13,996,667

 

Third-Party Pricing Vendor

 

Single Broker Quote

 

$110.50

 

 

 

9,267,314

 

Amortization of Discount

 

Discount

 

0.07

%

 

* Other financial instruments are derivatives, such as swap agreements and forward foreign currency contracts, which are valued at the unrealized appreciation (depreciation) of the instrument.

** Transferred out of Level 3 into Level 2 because an evaluated price with observable inputs from a third-party pricing vendor became available.

† Paydown shortfall.

 

The net change in unrealized appreciation/depreciation of Level 3 investments held at December 31, 2013 was $1,286,606.

 

Glossary:

 

ABS - Asset-Backed Securities

 

ABX.HE - Asset-Backed Securities Index Home Equity

 

£ - British Pound

 

CDO - Collateralized Debt Obligation

 

CME - Chicago Mercantile Exchange

 

CMO - Collateralized Mortgage Obligation

 

€ - Euro

 


 

FRN - Floating Rate Note

 

IO - Interest Only

 

LIBOR - London Inter-Bank Offered Rate

 

MBIA - insured by MBIA Insurance Corp.

 

OTC - Over-the-Counter

 

PIK - Payment-in-Kind

 


 

Item 2. Controls and Procedures

 

(a) The registrant’s President & Chief Executive Officer and Treasurer, Principal Financial & Accounting Officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR270.30a-3(c))), are effective based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this document.

 

(b) There were no significant changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR270.30a-3(d))) that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

Item 3. Exhibits

 

(a) Exhibit 99.302 Cert. — Certification pursuant to Section 302 of the Sarbanes-Oxley Act of 2002

 


 

SIGNATURES

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

Registrant: PIMCO Dynamic Income Fund

 

By

/s/ Brian S. Shlissel

 

Brian S. Shlissel

President & Chief Executive Officer

 

Date: February 25, 2014

 

By

/s/ Lawrence G. Altadonna

 

Lawrence G. Altadonna

Treasurer, Principal Financial & Accounting Officer

 

Date: February 25, 2014

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By

/s/ Brian S. Shlissel

 

Brian S. Shlissel

President & Chief Executive Officer

 

Date: February 25, 2014

 

By

/s/ Lawrence G. Altadonna

 

Lawrence G. Altadonna

Treasurer, Principal Financial & Accounting Officer

 

Date: February 25, 2014