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Consolidated Schedule of Investments PIMCO Dynamic Income Strategy Fund

September 30, 2025 (Unaudited)

 

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

 

 

PRINCIPAL
AMOUNT
(000s)

 

MARKET
VALUE
(000s)

INVESTMENTS IN SECURITIES 123.0% ¤

 

 

 

 

LOAN PARTICIPATIONS AND ASSIGNMENTS 21.2%

 

 

 

 

Aligned Data Centers International LP
7.538% due 12/18/2029 «~

$

8,000

$

8,063

Altice France SA

 

 

 

 

7.526% (EUR003M + 5.500%) due 08/15/2028 ~

EUR

100

 

111

9.818% (TSFR3M + 5.500%) due 08/15/2028 «~

$

598

 

581

AP Core Holdings II LLC
9.778% (TSFR1M + 5.500%) due 09/01/2027 ~

 

5,000

 

4,876

Apro LLC
7.942% (TSFR1M + 3.750%) due 07/09/2031 ~

 

4,948

 

4,951

Aspire Bakeries Holdings LLC
7.663% (TSFR1M + 3.500%) due 12/23/2030 ~

 

992

 

1,000

Asurion LLC
8.413% (TSFR1M + 4.250%) due 09/19/2030 ~

 

3,300

 

3,283

BDO USA PC
9.223% (TSFR1M + 5.000%) due 08/31/2028 «~

 

4,456

 

4,494

Beach Acquisition Bidco LLC
7.308% (TSFR3M + 3.250%) due 09/12/2032 ~

 

700

 

704

Cast & Crew Payroll LLC
7.913% (TSFR1M + 3.750%) due 12/29/2028 ~

 

2,977

 

2,704

Central Parent, Inc.
7.252% (TSFR3M + 3.250%) due 07/06/2029 ~

 

4,532

 

3,932

Chobani LLC
6.663% (TSFR1M + 2.500%) due 10/25/2027 ~

 

2,948

 

2,959

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

 

2,893

 

2,923

Comexposium

 

 

 

 

TBD% (EUR012M + 0.000%) due 03/28/2026 «~

EUR

1,025

 

1,468

TBD% - 1.138% (Euribor 1YR) due 10/16/2031 «~

 

565

 

809

Coreweave Compute Acquisition Co. IV LLC
TBD% - 10.723% (TSFR3M + 6.000%) due 05/16/2029 «~µ

$

5,400

 

5,556

Cotiviti Corp.
7.030% (TSFR1M + 2.750%) due 05/01/2031 ~

 

2,955

 

2,908

Cyberswift U.S. Finco LLC
TBD% due 09/23/2032

 

3,500

 

3,502

Databricks, Inc.

 

 

 

 

TBD% - 1.000% due 01/03/2031 «µ

 

1,069

 

1,069

TBD% - 1.000% (TSFR1M + 4.500%) due 01/03/2031 «~

 

4,831

 

4,915

Dun & Bradstreet Corp.

 

 

 

 

TBD% due 08/26/2032 «µ

 

227

 

226

TBD% (TSFR1M + 5.500%) due 08/26/2032 «~

 

2,273

 

2,260

Dye & Durham Corp.
8.352% (TSFR3M + 4.250%) due 04/11/2031 ~

 

2,368

 

2,357

Endure Digital, Inc.
7.838% (TSFR1M + 3.500%) due 02/10/2028 «~

 

2,375

 

1,722

Epic Crude Services LP
6.828% (TSFR3M + 2.500%) due 10/15/2031 ~

 

2,790

 

2,797

Fastlane Parent Co., Inc.
8.502% (TSFR3M + 4.500%) due 09/29/2028 ~

 

3,672

 

3,558

Finastra USA, Inc.
8.038% (TSFR3M + 4.000%) due 09/15/2032 ~

 

3,500

 

3,489

Frontier Communications Corp.
6.650% (TSFR1M + 2.500%) due 07/01/2031 ~

 

2,687

 

2,693

Galaxy U.S. Opco, Inc. (10.058% Cash)
10.058% (TSFR3M + 5.750%) due 07/31/2030 ~

 

2,019

 

1,845

Gateway Casinos & Entertainment Ltd.
10.276% (TSFR3M + 6.250%) due 12/18/2030 ~

 

2,633

 

2,635

GBT U.S. III LLC
6.814% (TSFR3M + 2.500%) due 07/25/2031 ~

 

3,980

 

3,993

GFL Environmental, Inc.
6.671% (TSFR3M + 2.500%) due 03/03/2032 ~

 

2,700

 

2,703

Golden State Foods LLC
8.032% (TSFR1M + 4.000%) due 12/04/2031 ~

 

3,960

 

3,975

Harp Finco Ltd.
9.468% due 03/27/2032 «

GBP

3,865

 

5,110

Illuminate Buyer LLC
6.663% (TSFR1M + 2.500%) due 12/31/2029 ~

$

3,275

 

3,287

INEOS U.S. Finance LLC

 

 

 

 

7.163% (TSFR1M + 3.000%) due 02/07/2031 ~

 

345

 

311

7.413% (TSFR1M + 3.250%) due 02/18/2030 ~

 

2,847

 

2,587

ITT Holdings LLC
6.638% (TSFR1M + 2.475%) due 10/11/2030 ~

 

973

 

974

KnowBe4, Inc.
8.064% (TSFR3M + 3.750%) due 07/23/2032 ~

 

3,500

 

3,509

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

September 30, 2025 (Unaudited)

 

Lakeshore Intermediate LLC
7.778% (TSFR1M + 3.500%) due 09/29/2028 ~

 

525

 

439

LC AHAB U.S. Bidco LLC
7.163% (TSFR1M + 3.000%) due 05/01/2031 ~

 

7,935

 

7,942

LifePoint Health, Inc.
8.068% (TSFR3M + 3.750%) due 05/19/2031 ~

 

6,617

 

6,613

McAfee LLC
7.223% (TSFR1M + 3.000%) due 03/01/2029 ~

 

3,691

 

3,536

MI Windows & Doors LLC
6.913% (TSFR1M + 2.750%) due 03/28/2031 ~

 

2,475

 

2,487

Modena Buyer LLC
8.808% (TSFR3M + 4.500%) due 07/01/2031 ~

 

4,963

 

4,908

OCS Group Holdings Ltd.
9.961% due 11/28/2031

GBP

3,950

 

5,315

Peraton Corp.
8.013% (TSFR1M + 3.750%) due 02/01/2028 ~

$

2,753

 

2,329

Phoenix Guarantor, Inc.
6.663% (TSFR1M + 2.500%) due 02/21/2031 ~

 

3,950

 

3,957

Polaris Newco LLC
8.570% (TSFR3M + 4.000%) due 06/02/2028 ~

 

6,049

 

5,842

Poseidon Bidco SASU
7.000% (EUR003M + 5.000%) due 03/13/2030 ~

EUR

4,700

 

2,593

Project Alpha Intermediate Holding, Inc.
7.252% (TSFR3M + 3.250%) due 10/26/2030 ~

$

3,940

 

3,956

Promotora de Informaciones SA
7.494% (EUR003M + 5.470%) due 12/31/2029 «~

EUR

3,198

 

3,698

Proofpoint, Inc.

 

 

 

 

TBD% due 08/31/2028

$

100

 

101

TBD% (TSFR1M + 3.000%) due 08/31/2028 ~

 

6,054

 

6,085

QuidelOrtho Corp.
8.002% (TSFR3M + 4.000%) due 08/20/2032 ~

 

3,400

 

3,387

Raven Acquisition Holdings LLC

 

 

 

 

TBD% - 3.250% due 11/19/2031 µ

 

193

 

193

TBD% - 3.250% (TSFR1M + 3.000%) due 11/19/2031 ~

 

2,693

 

2,695

RealTruck Group, Inc.
9.278% (TSFR1M + 5.000%) due 01/31/2028 ~

 

3,292

 

3,076

SCUR-Alpha 1503 GmbH
9.808% (TSFR3M + 5.500%) due 03/29/2030 ~

 

1,975

 

1,825

Softbank Vision Fund II
TBD% - 7.652% (TSFR3M + 3.650%) due 12/23/2029 «~

 

1,000

 

1,000

Specialty Building Products Holdings LLC
8.013% (TSFR1M + 3.750%) due 10/15/2028 ~

 

2,885

 

2,788

Spruce Bidco II, Inc.

 

 

 

 

TBD% - 0.500% due 01/30/2032 «µ

 

458

 

458

TBD% - 0.500% (JY0003M + 5.250%) due 01/30/2032 «~

JPY

39,266

 

269

TBD% - 0.500% (CDOR06 + 5.000%) due 01/30/2032 «~

CAD

367

 

267

TBD% - 0.500% (TSFR6M + 5.000%) due 01/30/2032 «~

$

2,028

 

2,049

Star Parent, Inc.
8.002% (TSFR3M + 4.000%) due 09/27/2030 ~

 

4,937

 

4,943

Steenbok Lux Finco 2 SARL
1TBD% due 06/30/2026

EUR

8,503

 

3,099

Stonepeak Nile Parent LLC
7.079% - 9.250% (TSFR3M + 2.750%) due 04/09/2032 ~

$

2,100

 

2,102

Subcalidora 2
7.750% (EUR003M + 5.750%) due 08/14/2029 «~

EUR

3,338

 

3,939

Syniverse Holdings, Inc.
11.002% (TSFR3M + 7.000%) due 05/13/2027 ~

$

5,508

 

5,389

Tidal Waste & Recycling Holdings LLC
7.002% (TSFR3M + 3.000%) due 10/24/2031 ~

 

2,886

 

2,906

Truist Insurance Holdings LLC
6.752% (TSFR3M + 2.750%) due 05/06/2031 ~

 

3,700

 

3,706

U.S. Renal Care, Inc.
9.278% (TSFR1M + 5.000%) due 06/28/2028 ~

 

7,427

 

7,110

Unicorn BAY
13.000% due 12/31/2026 «

HKD

23,777

 

3,094

Varsity Brands, Inc.
7.026% (TSFR3M + 3.000%) due 08/26/2031 ~

$

6,269

 

6,277

Vista Management Holding, Inc.
8.041% (TSFR3M + 3.750%) due 04/01/2031 ~

 

5,940

 

5,989

WaterBridge Midstream Operating LLC
8.174% (TSFR1M + 4.000%) due 05/10/2029 ~

 

2,965

 

2,976

WIN Waste Innovations Holdings, Inc.
8.028% (TSFR1M + 3.750%) due 03/24/2028 ~

 

1,496

 

1,510

X Corp.
10.958% (TSFR3M + 6.500%) due 10/26/2029 ~

 

10,040

 

9,863

Total Loan Participations and Assignments (Cost $255,024)

 

 

 

251,550

CORPORATE BONDS & NOTES 27.9%

 

 

 

 

BANKING & FINANCE 5.4%

 

 

 

 

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

 

3,600

 

3,666

Antares Holdings LP
6.350% due 10/23/2029

 

3,500

 

3,581

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

September 30, 2025 (Unaudited)

 

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

 

4,100

 

4,362

Charles River Re Ltd.
11.536% due 05/10/2031 •

 

1,900

 

2,016

Credit Opportunities Partners LLC
6.740% due 03/20/2030 «(g)

 

300

 

306

Diversified Healthcare Trust
7.250% due 10/15/2030

 

200

 

203

Freedom Mortgage Corp.
6.625% due 01/15/2027

 

3,000

 

2,996

FS KKR Capital Corp.
3.125% due 10/12/2028

 

3,500

 

3,245

FTAI Aviation Investors LLC
7.000% due 05/01/2031 (i)

 

5,000

 

5,235

Hudson Pacific Properties LP
5.950% due 02/15/2028

 

3,000

 

2,961

Integrity Re Ltd.

 

 

 

 

21.138% (T-BILL 1MO + 17.234%) due 06/08/2026 ~

 

650

 

714

26.703% (T-BILL 1MO + 22.796%) due 06/08/2026 ~

 

650

 

725

Kona Spc Ltd.
5.718% due 09/15/2026 «•

EUR

1,000

 

1,174

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

$

3,000

 

3,147

New Immo Holding SA

 

 

 

 

3.250% due 07/23/2027

EUR

3,500

 

4,054

5.875% due 04/17/2028

 

1,800

 

2,185

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

$

8,298

 

6,254

Piedmont Operating Partnership LP

 

 

 

 

3.150% due 08/15/2030 (i)

 

3,600

 

3,273

6.875% due 07/15/2029 (i)

 

4,000

 

4,234

Service Properties Trust
0.000% due 09/30/2028 (f)

 

300

 

265

Sixth Street Lending Partners
6.125% due 07/15/2030 (i)

 

3,600

 

3,724

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

 

2,700

 

2,838

Veraison Re Ltd.
8.904% (GSMMUSTI + 5.000%) due 03/08/2033 ~

 

250

 

253

Winston RE Ltd.

 

 

 

 

10.404% (T-BILL 3MO + 6.500%) due 02/21/2028 ~

 

250

 

260

14.114% (BNMMDTSC + 10.210%) due 02/26/2031 ~

 

1,000

 

1,077

15.594% (T-BILL 3MO + 11.690%) due 02/26/2031 ~

 

1,000

 

1,080

 

 

 

 

63,828

INDUSTRIALS 19.1%

 

 

 

 

ADT Security Corp.
4.875% due 07/15/2032 (i)

 

5,300

 

5,140

Altice France Holding SA

 

 

 

 

8.000% due 05/15/2027

EUR

1,800

 

767

10.500% due 05/15/2027

$

2,400

 

870

Altice France SA
5.500% due 10/15/2029

 

2,500

 

2,175

ams-OSRAM AG
12.250% due 03/30/2029

 

900

 

969

Axon Enterprise, Inc.

 

 

 

 

6.125% due 03/15/2030

 

500

 

515

6.250% due 03/15/2033

 

400

 

413

B&G Foods, Inc.
8.000% due 09/15/2028

 

3,200

 

3,104

BCP V Modular Services Finance II PLC
6.500% due 07/10/2031

EUR

1,550

 

1,706

Beignet
6.850% due 06/01/2049 «(c)

$

17,100

 

17,100

Boparan Finance PLC
9.375% due 11/07/2029

GBP

2,100

 

2,955

CAB SELAS
3.375% due 02/01/2028

EUR

3,200

 

3,533

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

$

3,000

 

3,062

Carnival Corp.
6.000% due 05/01/2029

 

3,000

 

3,047

Cerdia Finanz GmbH
9.375% due 10/03/2031

 

3,000

 

3,184

Champion Iron Canada, Inc.
7.875% due 07/15/2032

 

6,500

 

6,801

Cheplapharm Arzneimittel GmbH

 

 

 

 

7.125% due 06/15/2031

EUR

700

 

844

7.500% due 05/15/2030

 

3,300

 

4,018

Chord Energy Corp.

 

 

 

 

6.000% due 10/01/2030

$

500

 

497

6.750% due 03/15/2033

 

1,400

 

1,419

Clydesdale Acquisition Holdings, Inc.

 

 

 

 

6.750% due 04/15/2032

 

1,000

 

1,027

8.750% due 04/15/2030 (i)

 

5,500

 

5,655

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

September 30, 2025 (Unaudited)

 

Cogent Communications Group LLC/Cogent Finance, Inc.
7.000% due 06/15/2027

 

200

 

200

CoreWeave, Inc.
9.000% due 02/01/2031

 

1,400

 

1,437

Czechoslovak Group AS
6.500% due 01/10/2031

 

200

 

207

Dcli Bidco LLC
7.750% due 11/15/2029 (i)

 

3,600

 

3,747

Diversified Gas & Oil Corp.
9.750% due 04/09/2029

 

2,625

 

2,605

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

 

2,500

 

2,474

ELO SACA
2.875% due 01/29/2026

EUR

800

 

938

Excelerate Energy LP
8.000% due 05/15/2030

$

2,500

 

2,663

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

EUR

5,100

 

5,998

Global Partners LP/GLP Finance Corp.
7.125% due 07/01/2033

$

2,000

 

2,051

goeasy Ltd.
7.625% due 07/01/2029

 

200

 

203

Gray Media, Inc.

 

 

 

 

9.625% due 07/15/2032

 

600

 

613

10.500% due 07/15/2029 (i)

 

2,700

 

2,922

Herc Holdings, Inc.
7.250% due 06/15/2033

 

3,000

 

3,134

Hilton Domestic Operating Co., Inc.
5.750% due 09/15/2033

 

700

 

710

Howard Midstream Energy Partners LLC

 

 

 

 

6.625% due 01/15/2034

 

6,000

 

6,121

7.375% due 07/15/2032

 

3,700

 

3,844

Ingevity Corp.
3.875% due 11/01/2028

 

3,900

 

3,751

Insulet Corp.
6.500% due 04/01/2033 (i)

 

5,100

 

5,307

Inversion Escrow Issuer LLC
6.750% due 08/01/2032

 

3,600

 

3,549

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

 

4,700

 

4,885

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

 

5,700

 

5,786

KBR, Inc.
4.750% due 09/30/2028

 

1,270

 

1,257

Kioxia Holdings Corp.
0.000% due 07/24/2030

 

900

 

919

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

 

5,700

 

5,654

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

 

4,000

 

4,029

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

 

2,500

 

2,570

MPH Acquisition Holdings LLC
5.750% due 12/31/2030

 

3,600

 

3,146

NCR Voyix Corp.
5.250% due 10/01/2030

 

3,484

 

3,327

Newfold Digital Holdings Group, Inc.

 

 

 

 

6.000% due 02/15/2029 «

 

500

 

312

11.750% due 10/15/2028 «

 

3,800

 

2,698

Paradigm Parent LLC & Paradigm Parent Co-Issuer, Inc.
8.750% due 04/17/2032

 

200

 

194

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

 

2,500

 

2,502

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

 

2,200

 

2,281

Raising Cane's Restaurants LLC
9.375% due 05/01/2029

 

3,000

 

3,153

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

 

5,000

 

5,200

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

 

2,100

 

2,163

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

 

600

 

614

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

 

500

 

527

Thames Water Super Senior Issuer PLC
9.750% due 10/10/2027

GBP

661

 

992

Thames Water Utilities Finance PLC

 

 

 

 

1.250% due 01/31/2034

EUR

2,100

 

1,706

2.625% due 01/24/2034

GBP

1,430

 

1,316

4.375% due 01/18/2033

EUR

3,900

 

3,229

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

GBP

49

 

57

Toucan FinCo Ltd./Toucan FinCo Can, Inc./Toucan FinCo U.S. LLC
9.500% due 05/15/2030

$

700

 

686

Transocean International Ltd.

 

 

 

 

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

September 30, 2025 (Unaudited)

 

7.875% due 10/15/2032 (c)

 

213

 

215

8.000% due 02/01/2027 (i)

 

4,500

 

4,497

Tronox, Inc.
9.125% due 09/30/2030

 

200

 

196

Ubisoft Entertainment SA
0.878% due 11/24/2027

EUR

5,400

 

5,921

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

$

4,000

 

4,130

Univision Communications, Inc.
8.500% due 07/31/2031

 

3,000

 

3,100

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

 

7,850

 

8,153

Valvoline, Inc.
3.625% due 06/15/2031 (i)

 

4,200

 

3,854

Viking Cruises Ltd.
9.125% due 07/15/2031

 

2,700

 

2,900

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

 

8,700

 

9,151

Weatherford International Ltd.

 

 

 

 

6.750% due 10/15/2033 (c)

 

1,000

 

1,001

8.625% due 04/30/2030

 

100

 

102

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

GBP

2,000

 

2,669

 

 

 

 

226,367

UTILITIES 3.4%

 

 

 

 

Anglian Water Osprey Financing PLC
2.000% due 07/31/2028

 

2,500

 

3,017

Anglian Water Services Financing PLC

 

 

 

 

6.000% due 06/20/2039

 

2,300

 

2,997

6.625% due 01/15/2029 þ

 

2,000

 

2,816

Edison International
6.250% due 03/15/2030

$

600

 

624

EnfraGen Energia Sur SAU/EnfraGen Chile SpA/EnfraGen Spain SAU
8.499% due 06/30/2032

 

2,000

 

2,106

Hawaiian Electric Co., Inc.
6.000% due 10/01/2033

 

200

 

202

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

 

2,236

 

2,215

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

GBP

2,000

 

2,599

PacifiCorp
7.375% due 09/15/2055 •(i)

$

3,500

 

3,690

Sabesp Lux SARL
5.625% due 08/20/2030

 

600

 

603

Sempra
6.375% due 04/01/2056 •

 

2,600

 

2,670

SW Finance I PLC

 

 

 

 

2.375% due 05/28/2028

GBP

2,500

 

3,081

7.375% due 12/12/2041

 

2,200

 

2,947

WEC Energy Group, Inc.
6.690% due 06/15/2055 «~(g)

$

8,000

 

8,169

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

 

3,000

 

3,177

 

 

 

 

40,913

Total Corporate Bonds & Notes (Cost $322,805)

 

 

 

331,108

MUNICIPAL BONDS & NOTES 0.0%

 

 

 

 

MICHIGAN 0.0%

 

 

 

 

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

 

497

 

392

Total Municipal Bonds & Notes (Cost $398)

 

 

 

392

U.S. GOVERNMENT AGENCIES 2.3%

 

 

 

 

Federal Home Loan Mortgage Corp. Seasoned Credit Risk Transfer Trust

 

 

 

 

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

 

3,184

 

512

0.075% due 08/25/2056 ~(a)

 

124,526

 

404

1.505% due 08/25/2056 ~(a)

 

32,179

 

3,886

3.475% due 05/25/2057 ~

 

4,900

 

2,252

3.621% due 10/25/2058 ~

 

17,305

 

7,802

4.554% due 08/25/2059 ~

 

12,083

 

5,879

4.833% due 02/25/2059 ~

 

2,495

 

1,122

5.461% due 05/25/2064 ~

 

10,409

 

5,136

5.820% due 05/25/2060 ~

 

590

 

344

Total U.S. Government Agencies (Cost $26,238)

 

 

 

27,337

U.S. TREASURY OBLIGATIONS 1.4%

 

 

 

 

U.S. Treasury Bonds

 

 

 

 

4.875% due 08/15/2045

 

6,330

 

6,472

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

September 30, 2025 (Unaudited)

 

U.S. Treasury Notes

 

 

 

 

4.250% due 08/15/2035

 

10,260

 

10,344

Total U.S. Treasury Obligations (Cost $16,846)

 

 

 

16,816

NON-AGENCY MORTGAGE-BACKED SECURITIES 9.0%

 

 

 

 

AG Trust
6.166% due 07/15/2041 •

 

238

 

239

American Home Mortgage Assets Trust
4.397% due 03/25/2047 •

 

2,540

 

2,287

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

 

843

 

839

APS Resecuritization Trust
0.147% due 08/28/2054 ~

 

6,555

 

1,782

Bear Stearns ALT-A Trust
4.126% due 08/25/2036 ~

 

1,118

 

735

Bear Stearns Mortgage Funding Trust
4.632% due 10/25/2036 •(i)

 

13,775

 

12,096

Benchmark Mortgage Trust
4.077% due 07/15/2051

 

196

 

194

BX Commercial Mortgage Trust
7.190% due 01/17/2039 •(i)

 

3,000

 

2,992

ChaseFlex Trust Multi-Class Mortgage Pass-Through Certificates

 

 

 

 

4.125% due 08/25/2037 •

 

3,306

 

2,775

4.262% due 08/25/2037 þ

 

1,468

 

1,251

CIM Trust
5.400% due 04/25/2062 ~

 

268

 

267

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

 

19,022

 

17,359

CLNY Trust

 

 

 

 

6.066% due 11/15/2038 •

 

3,115

 

3,042

7.309% due 11/15/2038 •(i)

 

2,500

 

2,320

Countrywide Alternative Loan Trust

 

 

 

 

5.372% due 02/25/2036 •

 

1,456

 

1,129

6.000% due 07/25/2037

 

973

 

571

CSAB Mortgage-Backed Trust
6.220% due 09/25/2036 þ

 

2,728

 

756

CSMC Trust

 

 

 

 

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

 

2,482

 

2,117

3.904% due 11/10/2032 ~

 

5,200

 

850

GCAT Trust
4.250% due 05/25/2067 ~(i)

 

840

 

805

GS Mortgage Securities Corp. Trust
5.397% due 07/15/2035 •

 

998

 

679

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

 

1,995

 

1,959

HarborView Mortgage Loan Trust
4.768% due 03/19/2036 •(i)

 

19,264

 

12,394

JP Morgan Chase Commercial Mortgage Securities Trust

 

 

 

 

4.997% due 04/15/2037 •

 

976

 

963

5.797% due 11/15/2035 •

 

5,000

 

4,321

6.147% due 11/15/2035 •

 

5,000

 

3,702

7.448% due 02/15/2035 •(i)

 

987

 

947

Lehman XS Trust
5.072% due 09/25/2047 •

 

1,759

 

1,575

MASTR Adjustable Rate Mortgages Trust

 

 

 

 

4.953% due 12/25/2046 •

 

4,731

 

3,578

5.372% due 09/25/2037 •

 

757

 

299

MFA Trust
6.105% due 12/25/2068 þ(i)

 

634

 

640

Mill City Mortgage Loan Trust

 

 

 

 

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

 

2,850

 

2,481

3.750% due 05/25/2058 ~(i)

 

2,595

 

2,324

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

 

2,559

 

427

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

 

7,858

 

2,046

OBX Trust
6.465% due 10/25/2063 þ(i)

 

608

 

616

OPEN Trust
7.239% due 11/15/2040 •(i)

 

33

 

33

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

 

654

 

665

PRPM LLC
4.000% due 11/25/2053 þ(i)

 

354

 

351

PRPM Trust
6.221% due 11/25/2068 þ(i)

 

699

 

706

RALI Trust

 

 

 

 

6.000% due 09/25/2036

 

2,283

 

1,854

6.500% due 11/25/2036

 

4,225

 

3,553

Residential Asset Securitization Trust

 

 

 

 

5.500% due 09/25/2035

 

5,410

 

2,331

6.000% due 04/25/2036

 

998

 

424

Seasoned Credit Risk Transfer Trust
5.000% due 06/25/2065 ~

 

500

 

419

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

September 30, 2025 (Unaudited)

 

SMRT Commercial Mortgage Trust
5.151% due 01/15/2039 •(i)

 

500

 

499

Towd Point Mortgage Trust
3.000% due 06/25/2058 ~(i)

 

1,547

 

1,473

Verus Securitization Trust

 

 

 

 

6.259% due 12/25/2068 þ(i)

 

562

 

569

6.876% due 11/25/2068 ~(i)

 

721

 

733

Total Non-Agency Mortgage-Backed Securities (Cost $109,269)

 

 

 

106,967

ASSET-BACKED SECURITIES 24.4%

 

 

 

 

AUTOMOBILE ABS OTHER 0.0%

 

 

 

 

FHF Trust
7.050% due 01/15/2030

 

500

 

498

CMBS OTHER 0.9%

 

 

 

 

BDS LLC
5.415% due 10/21/2042 •

 

500

 

501

MF1 LLC

 

 

 

 

5.456% due 02/18/2040 •

 

500

 

501

5.871% due 03/19/2039 •(i)

 

9,000

 

9,043

PFP Ltd.
6.050% due 09/17/2039 •(i)

 

339

 

340

 

 

 

 

10,385

HOME EQUITY OTHER 20.3%

 

 

 

 

Aames Mortgage Investment Trust
6.972% due 01/25/2035 •(i)

 

3,500

 

2,748

ACE Securities Corp. Home Equity Loan Trust

 

 

 

 

4.572% due 07/25/2037 •

 

2,094

 

668

4.672% due 12/25/2036 •(i)

 

17,152

 

4,308

5.032% due 03/25/2037 •

 

1,540

 

628

Bear Stearns Asset-Backed Securities I Trust

 

 

 

 

4.677% due 01/25/2037 •(i)

 

22,785

 

21,915

4.782% due 10/25/2036 •(i)

 

3,264

 

3,143

5.037% due 09/25/2035 •(i)

 

17,827

 

17,255

Centex Home Equity Loan Trust

 

 

 

 

4.827% due 06/25/2036 •(i)

 

17,000

 

15,277

5.202% due 09/25/2034 •

 

413

 

411

CIT Mortgage Loan Trust
6.897% due 10/25/2037 •(i)

 

56,686

 

56,269

Citigroup Mortgage Loan Trust Asset-Backed Pass-Through Certificates
5.892% due 10/25/2034 •

 

1,894

 

1,502

Citigroup Mortgage Loan Trust, Inc.
4.472% due 12/25/2036 •

 

2,479

 

1,694

Countrywide Asset-Backed Certificates Trust

 

 

 

 

3.123% due 04/25/2036 •(i)

 

7,200

 

6,031

5.993% due 02/25/2036 þ

 

529

 

516

GSAA Home Equity Trust

 

 

 

 

4.114% due 03/25/2036 ~(i)

 

4,770

 

2,859

4.352% due 03/25/2037 •

 

8,442

 

1,520

4.632% due 12/25/2046 •(i)

 

12,511

 

3,577

4.732% due 12/25/2046 •

 

2,151

 

828

4.752% due 10/25/2036 •(i)

 

12,529

 

4,043

GSAA Trust

 

 

 

 

4.892% due 12/25/2035 •(i)

 

4,153

 

4,056

4.992% due 12/25/2035 •

 

734

 

675

GSAMP Trust

 

 

 

 

4.592% due 04/25/2036 •(i)

 

12,831

 

9,694

4.842% due 02/25/2036 •(i)

 

9,042

 

9,366

6.072% due 06/25/2035 •

 

1,849

 

1,812

Home Equity Asset Trust
4.752% due 08/25/2036 •(i)

 

3,401

 

3,446

HSI Asset Securitization Corp. Trust
4.472% due 04/25/2037 •

 

105

 

69

JP Morgan Mortgage Acquisition Trust

 

 

 

 

4.532% due 12/25/2036 •(i)

 

5,042

 

3,198

4.632% due 08/25/2036 •

 

3,364

 

2,142

5.537% due 10/25/2036 þ

 

1,953

 

1,175

5.667% due 07/25/2036 •(i)

 

5,000

 

4,389

6.080% due 08/25/2036 þ

 

1,161

 

689

Long Beach Mortgage Loan Trust

 

 

 

 

4.772% due 07/25/2036 •

 

1,627

 

645

4.922% due 09/25/2034 •

 

1,094

 

1,076

Merrill Lynch First Franklin Mortgage Loan Trust
4.532% due 06/25/2037 •

 

1,480

 

1,477

Merrill Lynch Mortgage Investors Trust
6.147% due 04/25/2035 •(i)

 

1,198

 

1,179

Morgan Stanley ABS Capital I, Inc. Trust

 

 

 

 

4.392% due 09/25/2036 •

 

772

 

266

6.147% due 11/25/2034 •

 

1,741

 

1,559

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

September 30, 2025 (Unaudited)

 

New Century Home Equity Loan Trust
5.352% due 01/25/2034 •

 

396

 

400

NovaStar Mortgage Funding Trust
4.772% due 09/25/2036 •

 

4,640

 

1,820

Park Place Securities, Inc. Asset-Backed Pass-Through Certificates
5.232% due 08/25/2035 •(i)

 

5,619

 

4,918

Popular ABS Mortgage Pass-Through Trust
4.552% due 01/25/2037 •(i)

 

11,299

 

9,924

Renaissance Home Equity Loan Trust
5.032% due 05/25/2034 •

 

1,220

 

1,124

Residential Asset Securities Corporation Trust

 

 

 

 

5.067% due 02/25/2036 •(i)

 

4,100

 

3,410

5.397% due 07/25/2035 •

 

1,993

 

1,997

Saxon Asset Securities Trust

 

 

 

 

4.452% due 05/25/2037 •

 

492

 

364

5.172% due 12/26/2034 •

 

1,249

 

1,216

Securitized Asset-Backed Receivables LLC Trust

 

 

 

 

2.825% due 01/25/2036 þ

 

18

 

16

4.712% due 04/25/2037 •

 

1,475

 

997

Soundview Home Loan Trust

 

 

 

 

4.452% due 08/25/2037 •

 

1,229

 

1,222

4.752% due 11/25/2036 •

 

7,181

 

1,936

4.772% due 11/25/2036 •

 

251

 

239

5.222% due 10/25/2037 •(i)

 

7,308

 

5,669

Structured Asset Securities Corp. Mortgage Loan Trust

 

 

 

 

4.947% due 04/25/2035 •

 

96

 

94

4.977% due 02/25/2035 •

 

1,117

 

1,072

6.072% due 05/25/2035 •

 

1,004

 

854

6.522% due 04/25/2031 •(i)

 

2,772

 

2,827

7.647% due 11/25/2035 •(i)

 

8,098

 

7,254

Wells Fargo Home Equity Asset-Backed Securities Trust
8.772% due 10/25/2034 •

 

1,668

 

1,735

 

 

 

 

241,193

HOME EQUITY SEQUENTIAL 0.3%

 

 

 

 

Structured Asset Securities Corp. Mortgage Loan Trust
4.592% due 10/25/2036 •(i)

 

3,704

 

3,241

WHOLE LOAN COLLATERAL 1.5%

 

 

 

 

First Franklin Mortgage Loan Trust

 

 

 

 

4.512% due 10/25/2036 •(i)

 

11,043

 

7,145

4.752% due 05/25/2036 •

 

1,500

 

1,315

6.597% due 05/25/2034 •

 

198

 

179

Residential Asset Mortgage Products Trust
4.872% due 03/25/2036 •

 

259

 

257

Securitized Asset-Backed Receivables LLC Trust
4.652% due 11/25/2036 •

 

20,233

 

9,203

 

 

 

 

18,099

OTHER ABS 1.4%

 

 

 

 

ABSLT DE LLC
12.635% due 05/20/2033 «~

 

2,900

 

2,947

Apex Credit CLO LLC
0.000% due 10/20/2034 ~

 

5,100

 

2,620

College Avenue Student Loans Trust

 

 

 

 

0.000% due 06/25/2054 «(f)

 

5

 

2,675

6.610% due 06/25/2054

 

626

 

649

8.660% due 06/25/2054

 

902

 

964

Dryden 123 CLO Ltd.
0.000% due 04/15/2038 ~

 

3,000

 

2,808

Residential Asset Mortgage Products Trust
5.511% due 01/25/2034 •(i)

 

3,618

 

3,771

 

 

 

 

16,434

Total Asset-Backed Securities (Cost $285,755)

 

 

 

289,850

SOVEREIGN ISSUES 1.1%

 

 

 

 

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

 

1,400

 

1,351

Colombia Government International Bonds

 

 

 

 

8.000% due 11/14/2035

 

1,900

 

2,043

8.750% due 11/14/2053

 

2,500

 

2,748

Romania Government International Bonds

 

 

 

 

5.375% due 03/22/2031

EUR

2,500

 

2,991

5.625% due 02/22/2036

 

2,500

 

2,859

Turkiye Government Bonds

 

 

 

 

42.493% (BISTREFI) due 05/20/2026 ~

TRY

46,200

 

1,125

42.493% (BISTREFI) due 05/17/2028 ~

 

4,500

 

107

Total Sovereign Issues (Cost $12,865)

 

 

 

13,224

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

September 30, 2025 (Unaudited)

 

 

 

SHARES

 

 

COMMON STOCKS 24.0%

 

 

 

 

COMMUNICATION SERVICES 0.1%

 

 

 

 

SES SA «(d)

 

21,303

 

253

ENERGY 23.9%

 

 

 

 

Enbridge, Inc.

 

727,000

 

36,677

Hess Midstream LP Class A

 

172,570

 

5,962

TC Energy Corp.

 

337,000

 

18,324

Venture Global, Inc. Class A

 

15,699,112

 

222,770

 

 

 

 

283,733

FINANCIALS 0.0%

 

 

 

 

Intelsat SA «(d)(g)

 

21,303

 

0

Total Common Stocks (Cost $71,711)

 

 

 

283,986

MASTER LIMITED PARTNERSHIPS 10.6%

 

 

 

 

ENERGY 10.6%

 

 

 

 

Sunoco LP

 

117,800

 

5,891

Energy Transfer LP

 

2,154,999

 

36,980

Enterprise Products Partners LP

 

1,023,587

 

32,008

MPLX LP

 

829,136

 

41,415

Western Midstream Partners LP

 

233,278

 

9,165

Total Master Limited Partnerships (Cost $91,652)

 

 

 

125,459

 

 

PRINCIPAL
AMOUNT
(000s)

 

 

SHORT-TERM INSTRUMENTS 1.1%

 

 

 

 

REPURCHASE AGREEMENTS (h) 0.3%

 

 

 

3,200

U.S. TREASURY BILLS 0.8%

 

 

 

 

4.115% due 10/14/2025 - 01/13/2026 (e)(f)(l)

$

8,982

 

8,925

Total Short-Term Instruments (Cost $12,124)

 

 

 

12,125

Total Investments in Securities (Cost $1,204,687)

 

 

 

1,458,814

 

 

SHARES

 

 

INVESTMENTS IN AFFILIATES 6.0%

 

 

 

 

SHORT-TERM INSTRUMENTS 6.0%

 

 

 

 

CENTRAL FUNDS USED FOR CASH MANAGEMENT PURPOSES 6.0%

 

 

 

 

PIMCO Short-Term Floating NAV Portfolio III

 

7,333,901

 

71,425

Total Short-Term Instruments (Cost $71,375)

 

 

 

71,425

Total Investments in Affiliates (Cost $71,375)

 

 

 

71,425

Total Investments 129.0% (Cost $1,276,062)

 

 

$

1,530,239

Financial Derivative Instruments (j)(k) (0.3)% (Cost or Premiums, net $75)

 

 

 

(3,792)

Other Assets and Liabilities, net (28.7)%

 

 

 

(340,321)

Net Assets Applicable to Common Shareholders 100.0%

 

 

$

1,186,126

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

September 30, 2025 (Unaudited)

 

NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:

 

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

 

¤

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

«

Security valued using significant unobservable inputs (Level 3).

µ

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

~

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

•

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

þ

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

(a)

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

(b)

Principal only security.

(c)

When-issued security.

(d)

Security did not produce income within the last twelve months.

(e)

Coupon represents a weighted average yield to maturity.

(f)

Zero coupon security.

(g)

RESTRICTED SECURITIES:

Issuer Description

 

 

Acquisition
Date

 

Cost

 

Market
Value

Market Value
as Percentage
of Net Assets

Credit Opportunities Partners LLC6.740% due 03/20/2030

 

 

02/20/2025

$

300

$

306

0.02

%

Intelsat SA

 

 

02/05/2020 - 08/29/2025

 

959

 

0

0.00

 

WEC Energy Group, Inc.6.690% due 06/15/2055

 

 

12/13/2024

 

8,000

 

8,169

0.69

 

 

 

 

 

$

9,259

$

8,475

0.71%

BORROWINGS AND OTHER FINANCING TRANSACTIONS

(h)

REPURCHASE AGREEMENTS:

Counterparty

Lending
Rate

Settlement
Date

Maturity
Date

 

Principal
Amount

Collateralized By

 

Collateral
(Received)

 

Repurchase
Agreements,
at Value

 

Repurchase
Agreement
Proceeds
to be
Received(1)

GSC

4.250%

09/30/2025

10/01/2025

$

3,200

Ginnie Mae 5.500% due 06/20/2054

$

(3,314)

$

3,200

$

3,200

Total Repurchase Agreements

 

$

(3,314)

$

3,200

$

3,200

REVERSE REPURCHASE AGREEMENTS:

Counterparty

Borrowing Rate(2)

Settlement Date

Maturity Date

 

Amount
Borrowed(2)

 

Payable for
Reverse
Repurchase
Agreements

BOS

3.990%

10/01/2025

10/31/2025

$

(2,237)

$

(2,237)

BRC

4.080

09/19/2025

TBD(3)

 

(2,472)

 

(2,476)

BYR

4.450

09/19/2025

TBD(3)

 

(10,186)

 

(10,201)

 

4.660

08/14/2025

11/14/2025

 

(4,965)

 

(4,997)

CEW

4.730

09/09/2025

12/09/2025

 

(4,153)

 

(4,165)

DBL

4.400

09/19/2025

TBD(3)

 

(3,540)

 

(3,545)

 

4.870

07/10/2025

10/10/2025

 

(8,270)

 

(8,363)

DEU

4.770

08/05/2025

11/05/2025

 

(3,995)

 

(4,025)

 

4.920

08/05/2025

11/05/2025

 

(8,874)

 

(8,944)

IND

4.430

09/17/2025

12/17/2025

 

(4,006)

 

(4,013)

 

4.680

09/23/2025

12/23/2025

 

(797)

 

(798)

 

4.680

09/29/2025

12/29/2025

 

(17,794)

 

(17,799)

 

4.730

09/23/2025

12/23/2025

 

(1,006)

 

(1,007)

MSB

5.110

09/30/2025

03/30/2026

 

(16,159)

 

(16,162)

 

5.210

07/14/2025

01/12/2026

 

(17,613)

 

(17,820)

 

5.210

08/19/2025

02/19/2026

 

(2,403)

 

(2,419)

MSC

3.750

09/19/2025

TBD(3)

 

(1,517)

 

(1,519)

 

3.950

09/19/2025

10/01/2025

 

(2,232)

 

(2,235)

 

5.110

09/30/2025

03/30/2026

 

(34,278)

 

(34,283)

 

5.210

07/14/2025

01/12/2026

 

(6,820)

 

(6,900)

RTA

5.185

08/27/2025

02/27/2026

 

(27,122)

 

(27,264)

 

5.210

08/08/2025

02/06/2026

 

(23,695)

 

(23,886)

SOG

4.740

07/09/2025

10/09/2025

 

(13,349)

 

(13,496)

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

September 30, 2025 (Unaudited)

 

 

4.820

07/07/2025

10/07/2025

 

(2,663)

 

(2,693)

 

4.860

07/09/2025

10/09/2025

 

(18,699)

 

(18,911)

 

5.160

09/23/2025

03/23/2026

 

(13,840)

 

(13,855)

 

5.210

07/10/2025

01/09/2026

 

(19,288)

 

(19,528)

 

5.210

09/23/2025

03/23/2026

 

(24,768)

 

(24,797)

TDM

2.250

09/19/2025

TBD(3)

 

(3,084)

 

(3,086)

WFS

4.850

08/25/2025

11/24/2025

 

(16,781)

 

(16,864)

Total Reverse Repurchase Agreements

 

 

 

 

 

$

(318,288)

Cash of $504 has been pledged as collateral as of September 30, 2025 for equity short sales and equity options as governed by prime brokerage agreements and agreements governing listed equity option transactions.

(i)

Securities with an aggregate market value of $393,083 and cash of $1,821 have been pledged as collateral under the terms of master agreements as of September 30, 2025.

(1)

Includes accrued interest.

(2)

The average amount of borrowings outstanding during the period ended September 30, 2025 was $(107,251) at a weighted average interest rate of 5.042%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.

(3)

Open maturity reverse repurchase agreement.

(j)

FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED

FUTURES CONTRACTS:

LONG FUTURES CONTRACTS

 

Variation Margin

Description

 

 

 

Expiration
Month

 

# of
Contracts

 

Notional
Amount

 

 

Unrealized
Appreciation/
(Depreciation)

 

Asset

 

Liability

California Carbon Allowance December Futures

12/2025

 

120

$

3,731

 

$

(545)

$

13

$

0

California Carbon Allowance Vintage December Futures

12/2026

 

1,164

 

38,191

 

 

1,278

 

128

 

0

Total Futures Contracts

 

$

733

$

141

$

0

SWAP AGREEMENTS:

INTEREST RATE SWAPS

 

Variation Margin

Pay/
Receive
Floating Rate

Floating Rate Index

Fixed Rate

Payment
Frequency

Maturity
Date

 

Notional
Amount

 

Premiums
Paid/
(Received)

 

Unrealized
Appreciation/
(Depreciation)

 

Market
Value

 

Asset

 

Liability

Pay

1-Day USD-SOFR Compounded-OIS

3.750%

Annual

06/20/2034

$

100

$

(1)

$

2

$

1

$

0

$

0

Receive(1)

1-Day USD-SOFR Compounded-OIS

3.750

Annual

12/17/2035

 

10,000

 

(93)

 

14

 

(79)

 

15

 

0

Receive(1)

1-Day USD-SOFR Compounded-OIS

3.750

Annual

12/17/2045

 

6,200

 

169

 

13

 

182

 

12

 

0

Total Swap Agreements

$

75

$

29

$

104

$

27

$

0

Cash of $3,353 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of September 30, 2025.

(1)

This instrument has a forward starting effective date.

(k)

FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER

FORWARD FOREIGN CURRENCY CONTRACTS:

 

Unrealized Appreciation/(Depreciation)

Counterparty

Settlement
Month

 

Currency to
be Delivered

 

Currency to
be Received

 

Asset

 

Liability

BOA

10/2025

TRY

5,512

$

132

$

0

$

0

 

10/2025

$

527

EUR

451

 

2

 

0

 

10/2025

 

3

JPY

493

 

0

 

0

 

11/2025

JPY

491

$

3

 

0

 

0

BRC

10/2025

EUR

6,317

 

7,389

 

0

 

(27)

 

10/2025

TRY

6,692

 

157

 

0

 

(2)

 

10/2025

$

2,037

EUR

1,741

 

8

 

0

 

10/2025

 

151

TRY

6,470

 

3

 

0

 

11/2025

EUR

55

$

65

 

0

 

0

 

11/2025

TRY

11,238

 

258

 

0

 

(3)

BSH

10/2025

EUR

39,888

 

46,344

 

0

 

(487)

CBK

10/2025

DKK

25,846

 

4,037

 

0

 

(29)

 

10/2025

HKD

19,782

 

2,544

 

1

 

0

 

10/2025

$

43,245

CAD

60,271

 

64

 

0

 

11/2025

CAD

60,176

$

43,245

 

0

 

(64)

 

11/2025

$

5,186

CAD

7,204

 

0

 

(1)

CIB

11/2025

 

648

 

900

 

0

 

0

 

11/2025

 

250

JPY

37,000

 

1

 

0

FAR

10/2025

EUR

1,270

$

1,484

 

0

 

(7)

 

10/2025

JPY

23,262

 

158

 

1

 

0

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

September 30, 2025 (Unaudited)

 

 

10/2025

$

35,657

GBP

26,514

 

1

 

0

 

11/2025

GBP

26,514

$

35,664

 

0

 

(1)

 

11/2025

$

1,487

EUR

1,270

 

7

 

0

 

12/2025

MXN

228

$

12

 

0

 

0

 

12/2025

$

9,633

MXN

182,540

 

255

 

0

GLM

10/2025

BRL

55,387

$

10,372

 

0

 

(35)

 

10/2025

$

10,414

BRL

55,387

 

0

 

(7)

 

12/2025

 

10,372

 

56,174

 

32

 

0

JPM

10/2025

BRL

55,410

$

10,417

 

7

 

(1)

 

10/2025

CAD

60,180

 

43,548

 

304

 

0

 

10/2025

TRY

5,519

 

133

 

0

 

0

 

10/2025

$

10,007

BRL

55,409

 

404

 

0

 

10/2025

 

4,060

DKK

25,848

 

6

 

0

 

10/2025

 

2,036

EUR

1,741

 

8

 

0

 

11/2025

DKK

25,789

$

4,060

 

0

 

(6)

MBC

10/2025

CAD

32

 

23

 

0

 

0

 

10/2025

EUR

990

 

1,163

 

1

 

0

 

11/2025

$

282

EUR

240

 

0

 

0

MYI

10/2025

JPY

463

$

3

 

0

 

0

 

10/2025

$

72

JPY

10,798

 

1

 

0

 

11/2025

JPY

10,760

$

72

 

0

 

(1)

SOG

10/2025

EUR

2,663

 

3,132

 

5

 

0

 

10/2025

JPY

12,139

 

83

 

1

 

0

 

10/2025

$

55,501

EUR

47,195

 

0

 

(92)

 

10/2025

 

158

JPY

23,514

 

1

 

0

 

11/2025

EUR

47,195

$

55,613

 

92

 

0

 

11/2025

JPY

23,433

 

158

 

0

 

(1)

 

11/2025

$

3,138

EUR

2,663

 

0

 

(5)

SSB

10/2025

GBP

26,514

$

35,738

 

80

 

0

UAG

10/2025

CAD

55

 

40

 

0

 

0

 

10/2025

$

64

HKD

500

 

0

 

0

Total Forward Foreign Currency Contracts

$

1,285

$

(769)

SWAP AGREEMENTS:

TOTAL RETURN SWAPS ON SECURITIES

 

Swap Agreements, at Value

Counterparty

Pay/Receive(1)

Underlying
Reference

# of Shares

Financing Rate

Payment
Frequency

Maturity
Date

 

Notional
Amount

 

Premiums
Paid/(Received)

 

Unrealized
Appreciation/
(Depreciation)

 

Asset

 

Liability

BOA

Receive

Plains All American Pipeline LP

34,700

4.690% (FEDL01 plus a specified spread)

Monthly

11/05/2025

$

592

$

0

$

(2)

$

0

$

(2)

FAR

Receive

Plains All American Pipeline LP

706,000

4.690% (FEDL01 plus a specified spread)

Maturity

11/05/2025

 

12,306

 

0

 

(20)

 

0

 

(20)

 

Receive

Western Gas Partners LP

410,000

4.690% (FEDL01 plus a specified spread)

Maturity

11/05/2025

 

15,797

 

0

 

693

 

693

 

0

GST

Receive

Energy Tranfer LP

938,239

4.800% (SOFR plus a specified spread)

Maturity

04/15/2026

 

17,770

 

0

 

(1,532)

 

0

 

(1,532)

 

Receive

Enterprise Product Partners LP

398,000

4.800% (SOFR plus a specified spread)

Maturity

04/15/2026

 

13,532

 

0

 

(1,021)

 

0

 

(1,021)

 

Receive

Mplx LP

399,000

4.800% (SOFR plus a specified spread)

Maturity

04/15/2026

 

21,686

 

0

 

(1,577)

 

0

 

(1,577)

 

Receive

Plains All American Pipeline LP

274,000

4.800% (SOFR plus a specified spread)

Maturity

04/15/2026

 

5,532

 

0

 

(799)

 

0

 

(799)

 

Receive

Western Gas Partners LP

117,425

4.800% (SOFR plus a specified spread)

Maturity

04/15/2026

 

4,913

 

0

 

(218)

 

0

 

(218)

Total Swap Agreements

$

0

$

(4,476)

$

693

$

(5,169)

(l)

Securities with an aggregate market value of $5,348 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of September 30, 2025.

(1)

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

FAIR VALUE MEASUREMENTS

The following is a summary of the fair valuations according to the inputs used as of September 30, 2025 in valuing the Fund's assets and liabilities:

 

Category and Subcategory

Level 1

Level 2

Level 3

Fair Value
at 09/30/2025

Investments in Securities, at Value

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

September 30, 2025 (Unaudited)

 

Loan Participations and Assignments

$

0

$

200,503

$

51,047

$

251,550

 

Corporate Bonds & Notes

 

Banking & Finance

 

0

 

62,348

 

1,480

 

63,828

 

 

Industrials

 

215

 

206,042

 

20,110

 

226,367

 

 

Utilities

 

0

 

32,744

 

8,169

 

40,913

 

Municipal Bonds & Notes

 

Michigan

 

0

 

392

 

0

 

392

 

U.S. Government Agencies

 

0

 

27,337

 

0

 

27,337

 

U.S. Treasury Obligations

 

0

 

16,816

 

0

 

16,816

 

Non-Agency Mortgage-Backed Securities

 

0

 

106,967

 

0

 

106,967

 

Asset-Backed Securities

 

Automobile ABS Other

 

0

 

498

 

0

 

498

 

 

CMBS Other

 

0

 

10,385

 

0

 

10,385

 

 

Home Equity Other

 

0

 

241,193

 

0

 

241,193

 

 

Home Equity Sequential

 

0

 

3,241

 

0

 

3,241

 

 

Whole Loan Collateral

 

0

 

18,099

 

0

 

18,099

 

 

Other ABS

 

0

 

10,812

 

5,622

 

16,434

 

Sovereign Issues

 

0

 

13,224

 

0

 

13,224

 

Common Stocks

 

Communication Services

 

0

 

0

 

253

 

253

 

 

Energy

 

283,733

 

0

 

0

 

283,733

 

Master Limited Partnerships

 

Energy

 

125,459

 

0

 

0

 

125,459

 

Short-Term Instruments

 

Repurchase Agreements

 

0

 

3,200

 

0

 

3,200

 

 

U.S. Treasury Bills

 

0

 

8,925

 

0

 

8,925

 

 

$

409,407

$

962,726

$

86,681

$

1,458,814

 

Investments in Affiliates, at Value

Short-Term Instruments

 

Central Funds Used for Cash Management Purposes

$

71,425

$

0

$

0

$

71,425

 

Total Investments

$

480,832

$

962,726

$

86,681

$

1,530,239

 

Financial Derivative Instruments - Assets

Exchange-traded or centrally cleared

 

141

 

27

 

0

 

168

 

Over the counter

 

0

 

1,978

 

0

 

1,978

 

 

$

141

$

2,005

$

0

$

2,146

 

Financial Derivative Instruments - Liabilities

Over the counter

$

0

$

(5,938)

$

0

$

(5,938)

 

Total Financial Derivative Instruments

$

141

$

(3,933)

$

0

$

(3,792)

 

Totals

$

480,973

$

958,793

$

86,681

$

1,526,447

 

 

 

 

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended September 30, 2025:

Category and Subcategory

Beginning
Balance
at 06/30/2025

Net
Purchases

Net
Sales/Settlements

Accrued
Discounts/
(Premiums)

Realized
Gain/(Loss)

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

Transfers into
Level 3

Transfers out
of Level 3

Ending
Balance
at 09/30/2025

Net Change in
Unrealized
Appreciation/
(Depreciation)
on Investments
Held at
09/30/2025 (1)

Investments in Securities, at Value

Loan Participations and Assignments

$

45,544

$

976

$

(2,038)

$

86

$

3

$

(79)

$

6,555

$

0

$

51,047

$

(72)

Corporate Bonds & Notes

 

Banking & Finance

 

728

 

1,170

 

(402)

 

0

 

0

 

(16)

 

0

 

0

 

1,480

 

8

 

Industrials

 

3,162

 

17,100

 

0

 

5

 

0

 

(157)

 

0

 

0

 

20,110

 

(157)

 

Utilities

 

7,905

 

0

 

0

 

0

 

0

 

264

 

0

 

0

 

8,169

 

264

Asset-Backed Securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Other ABS

 

5,520

 

0

 

0

 

0

 

0

 

102

 

0

 

0

 

5,622

 

102

Common Stocks

 

Communication Services

 

0

 

0

 

0

 

0

 

0

 

253

 

0

 

0

 

253

 

253

 

Financials

 

735

 

0

 

(740)

 

0

 

0

 

5

 

0

 

0

 

0

 

(734)

Totals

$

63,594

$

19,246

$

(3,180)

$

91

$

3

$

372

$

6,555

$

0

$

86,681

$

(336)


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

 

(% Unless Noted Otherwise)

 

Category and Subcategory

Ending
Balance
at 09/30/2025

Valuation Technique

Unobservable Inputs

 

Input Value(s)

Weighted Average

Investments in Securities, at Value

Loan Participations and Assignments

$

28,752

Discounted Cash Flow

Discount Rate

 

4.790 - 10.193

7.347

 

 

10,801

Indicative Market Quotation

Broker Quote

 

72.500 - 101.750

96.943

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

September 30, 2025 (Unaudited)

 

 

 

1,000

Recent Transaction

Purchase Price

 

100.000

—

 

 

10,494

Third Party Vendor

Broker Quote

 

97.000 - 122.000

104.266

Corporate Bonds & Notes

 

Banking & Finance

 

306

Discounted Cash Flow

Discount Rate

 

6.204

—

 

 

 

1,174

Recent Transaction

Purchase Price

 

100.000

—

 

Industrials

 

3,010

Indicative Market Quotation

Broker Quote

 

62.500 - 71.000

70.118

 

 

 

17,100

Recent Transaction

Purchase Price

 

100.000

—

 

Utilities

 

8,169

Discounted Cash Flow

Discount Rate

 

7.380

10.763

Asset-Backed Securities

 

Other ABS

 

5,622

Discounted Cash Flow

Discount Rate

 

9.640 - 12.000

—

Common Stocks

 

Communication Services

 

253

Discounted Cash Flow

Discount Rate

 

7.930

—

Total

$

86,681

(1)

Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at September 30, 2025 may be due to an investment no longer held or categorized as Level 3 at period end.

 

​

Notes to Financial Statements  

 

1. BASIS FOR CONSOLIDATION

The Cayman Subsidiary, NRGX SPV I LLC and NRGX SPV II LLC (each a “Subsidiary” and, collectively, the “Subsidiaries”), each a Delaware limited liability company, were formed as wholly owned subsidiaries acting as investment vehicles for the PIMCO Dynamic Income Strategy Fund (the “Fund”) in order to effect certain investments for the Fund consistent with the Fund’s investment objectives and policies in effect from time to time. The Fund’s investment portfolio has been consolidated and includes the portfolio holdings of the Fund and the Subsidiaries. Accordingly, the consolidated financial statements include the accounts of the Fund and the Subsidiaries. All intercompany transactions and balances have been eliminated. These structures were established so that certain investments could be held by separate legal entities from the Fund. See the table below for details regarding the structure, incorporation and relationship of each Subsidiary as of period end.

 

Subsidiary

 

Date of Formation

Subsidiary % of Consolidated Fund Net Assets†

Cayman Commodity Fund IX, Ltd

 

12/14/2018

0.8%

NRGX SPV I LLC

 

11/07/2022

0.0%

NRGX SPV II LLC

 

11/07/2022

0.0%

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

 

2. INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS

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

 

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

 

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

 

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

 

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

 

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

 

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

 

Notes to Financial Statements (Cont.)

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

(c) Valuation Techniques and the Fair Value Hierarchy

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

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

Notes to Financial Statements (Cont.)

 

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

3. FEDERAL INCOME TAX MATTERS

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

 

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

 

In accordance with U.S. GAAP, the Manager has reviewed the Fund's tax positions for all open tax years. As of September 30, 2025, the Fund has recorded no liability for net unrecognized tax benefits relating to uncertain income tax positions it has taken or expects to take in future tax returns.

 

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

 

4. INVESTMENTS IN AFFILIATES

The Fund may invest in the PIMCO Short Asset Portfolio and the PIMCO Short-Term Floating NAV Portfolio III ("Central Funds") to the extent permitted by the Act, rules thereunder or exemptive relief therefrom. The Central Funds are registered investment companies created for use solely by the series of the Trust and other series of registered investment companies advised by the Adviser, in connection with their cash management activities. The main investments of the Central Funds are money market and short maturity fixed income instruments. The Central Funds may incur expenses related to their investment activities, but do not pay Investment Advisory Fees or Supervisory and Administrative Fees to the Adviser. The Central Funds are considered to be affiliated with the Fund. A copy of each affiliate fund’s shareholder report is available at the U.S Securities and Exchange Commission (“SEC”) website at www.sec.gov, on the Fund’s website at www.pimco.com, or upon request, as applicable. The table below shows the Fund's transactions in and earnings from investments in the affiliated funds for the period ended September 30, 2025 (amounts in thousands†):

Investment in PIMCO Short-Term Floating NAV Portfolio III

 

Notes to Financial Statements (Cont.)

 

 

Market Value
06/30/2025

 

Purchases at
Cost

 

Proceeds from
Sales

 

Net
Realized
Gain (Loss)

 

Change in
Unrealized
Appreciation
(Depreciation)

 

Market Value
09/30/2025

 

Dividend
Income(1)

 

Realized Net
Capital
Gain
Distributions(1)

$

136,258

$

122,552

$

(187,400)

$

22

$

(7)

$

71,425

$

963

$

0

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

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

 

 

 

​

Glossary: (abbreviations that may be used in the preceding statements)       (Unaudited)
                     
Counterparty Abbreviations:                
BOA   Bank of America N.A.   DEU   Deutsche Bank Securities, Inc.   MSC   Morgan Stanley & Co. LLC.
BOS   BofA Securities, Inc.   FAR   Wells Fargo Bank National Association   MYI   Morgan Stanley & Co. International PLC
BRC   Barclays Bank PLC   GLM   Goldman Sachs Bank USA   RTA   RBC (Barbados) Trading Bank Corp.
                     
BSH   Banco Santander S.A. - New York Branch   GSC   Goldman Sachs & Co. LLC   SOG   Societe Generale Paris
BYR   The Bank of Nova Scotia - Toronto   GST   Goldman Sachs International   SSB   State Street Bank and Trust Co.
CBK   Citibank N.A.   IND   Crédit Agricole Corporate and Investment Bank
S.A.		   TDM   TD Securities (USA) LLC
CEW   Canadian Imperial Bank of Commerce World Markets   JPM   JP Morgan Chase Bank N.A.   UAG   UBS AG Stamford
CIB   Canadian Imperial Bank of Commerce   MBC   HSBC Bank Plc   WFS   Wells Fargo Securities, LLC
DBL   Deutsche Bank AG London   MSB   Morgan Stanley Bank, N.A        
                     
Currency Abbreviations:                
BRL   Brazilian Real   GBP   British Pound   MXN   Mexican Peso
CAD   Canadian Dollar   HKD   Hong Kong Dollar   TRY   Turkish New Lira
DKK   Danish Krone   JPY   Japanese Yen   USD (or $)   United States Dollar
EUR   Euro                
                     
Index/Spread Abbreviations:                
BISTREFI   Turkish Lira Overnight Reference Rate   EUR012M   12 Month EUR Swap Rate   SOFR   Secured Overnight Financing Rate
BNMMDTSC   Dreyfus Treasury Securites Cash Management Fund Yield   FEDL01   Federal funds effective rate   TSFR1M   Term SOFR 1-Month
CDOR06   3 month CDN Swap Rate   GSMMUSTI   Goldman Sachs Money Market US Treasury
Instrument Index		   TSFR3M   Term SOFR 3-Month
EUR003M   3 Month EUR Swap Rate   JY0003M   3 Month JPY-LIBOR   TSFR6M   Term SOFR 6-Month
                     
Other  Abbreviations:                
ABS   Asset-Backed Security   DAC   Designated Activity Company   TBA    To-Be-Announced
ALT   Alternate Loan Trust   EURIBOR   Euro Interbank Offered Rate   TBD   To-Be-Determined
CLO   Collateralized Loan Obligation   OIS   Overnight Index Swap   TBD%   Interest rate to be determined when loan settles or at the time of funding
CMBS   Collateralized Mortgage-Backed Security