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, 2013

 

 

Date of reporting period:

December 31, 2012

 

 


 

Item 1. Schedule of Investments

 

PIMCO Dynamic Income Fund Schedule of Investments

December 31, 2012 (unaudited)

 

Principal
Amount
(000s)

 

 

 

Value*

 

MORTGAGE-BACKED SECURITIES - 105.8%

 

 

 

£13,396

 

Alba PLC, 0.779%, 12/15/38 CMO (k)

 

$13,989,478

 

$13,206

 

American Home Mortgage Assets LLC, 0.50%, 8/25/37 CMO (k)

 

2,976,891

 

 

 

American Home Mortgage Investment Trust, CMO (k),

 

 

 

10,648

 

0.51%, 9/25/45 (i)

 

8,543,059

 

9,739

 

0.81%, 2/25/44

 

2,533,820

 

 

 

Banc of America Alternative Loan Trust, CMO,

 

 

 

392

 

0.61%, 5/25/35 (k)

 

283,224

 

369

 

6.00%, 6/25/46

 

296,150

 

 

 

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

 

 

 

15,300

 

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

 

8,409,015

 

37,627

 

0.421%, 4/20/47 (i)

 

27,399,116

 

4,612

 

0.661%, 2/20/35

 

1,217,033

 

595

 

2.909%, 1/20/47

 

451,920

 

900

 

3.044%, 1/25/35

 

521,779

 

5,261

 

3.045%, 3/20/36

 

4,450,545

 

 

 

Banc of America Mortgage Trust, CMO (k),

 

 

 

625

 

2.997%, 10/20/46

 

349,960

 

2,682

 

4.285%, 1/25/36

 

2,449,513

 

 

 

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

 

 

 

13,000

 

5.383%, 12/15/16 (i)

 

13,916,389

 

38,264

 

5.634%, 2/17/51 (f)(k)

 

42,906,817

 

€4,365

 

Bancaja FTA, 0.313%, 10/25/37 CMO (k)

 

4,656,315

 

 

 

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

 

 

 

$14,380

 

3.034%, 5/26/36 (k)

 

6,877,981

 

8,051

 

5.00%, 3/26/35 (k)

 

6,680,316

 

27,701

 

5.049%, 4/26/37 (k)

 

14,427,320

 

6,052

 

5.158%, 10/26/35 (k)

 

4,142,100

 

12,810

 

5.50%, 12/26/35

 

7,981,361

 

4,770

 

5.675%, 7/26/35 (k)

 

3,139,963

 

13,016

 

Bear Stearns ALT-A Trust, 0.41%, 2/25/34 CMO (i)(k)

 

8,481,381

 

 

 

Celtic Residential Irish Mortgage Securitisation, CMO (k),

 

 

 

€30,969

 

0.35%, 11/13/47

 

32,133,419

 

5,300

 

0.384%, 3/18/49

 

4,892,779

 

8,895

 

0.443%, 12/14/48

 

9,072,785

 

11,027

 

0.454%, 4/10/48

 

11,066,249

 

$6,309

 

Chase Mortgage Finance Corp., 5.293%, 3/25/37 CMO (i)(k)

 

5,454,834

 

 

 

Citigroup Mortgage Loan Trust, Inc. (k),

 

 

 

2,009

 

2.57%, 3/25/36

 

1,854,638

 

11,018

 

3.091%, 9/25/37 CMO (i)

 

8,374,584

 

 

 

Countrywide Alternative Loan Trust, CMO,

 

 

 

30,511

 

0.40%, 9/25/46 (i)(k)

 

19,557,918

 

64,294

 

0.762%-1.543%, 12/25/35 IO

 

2,123,854

 

34,181

 

0.94%, 11/25/35 (i)(k)

 

24,647,997

 

17,720

 

1.015%, 11/25/46 (i)(k)

 

9,835,685

 

578

 

5.50%, 2/25/20

 

579,504

 

5,827

 

5.50%, 7/25/35 (i)

 

5,187,588

 

20,661

 

5.50%, 12/25/35 (i)

 

16,777,111

 

394

 

5.50%, 1/25/36

 

331,205

 

5,583

 

5.50%, 4/25/37

 

4,374,001

 

567

 

5.75%, 1/25/36

 

438,537

 

19,444

 

5.75%, 1/25/37 (i)

 

15,532,158

 

6,504

 

5.75%, 4/25/37 (i)

 

5,533,409

 

967

 

6.00%, 6/25/36

 

796,293

 

385

 

6.00%, 12/25/36

 

280,582

 

5,261

 

6.00%, 1/25/37 (i)

 

4,132,105

 

675

 

6.00%, 2/25/37

 

513,771

 

13,259

 

6.00%, 4/25/37 (i)

 

9,746,723

 

13,402

 

6.00%, 5/25/37 (i)

 

10,517,702

 

4,979

 

6.00%, 7/25/37 (i)

 

4,257,930

 

23,887

 

6.94%, 7/25/36 IO (k)

 

6,398,624

 

2,621

 

37.742%, 5/25/37 (b)(k)

 

4,959,972

 

 

 

Countrywide Home Loan Mortgage Pass-Through Trust, CMO,

 

 

 

631

 

0.51%, 3/25/35 (k)

 

488,485

 

4,493

 

0.55%, 3/25/36 (k)

 

1,875,120

 

175

 

5.00%, 11/25/35

 

164,821

 

430

 

5.50%, 12/25/34

 

368,444

 

212

 

5.50%, 11/25/35

 

207,916

 

27,276

 

5.579%, 6/25/47 (i)(k)

 

25,159,626

 

863

 

6.00%, 7/25/37

 

741,544

 

11,583

 

6.00%, 8/25/37 (i)

 

10,459,488

 

11

 

6.00%, 8/25/37

 

10,052

 

604

 

6.00%, 1/25/38

 

551,683

 

 


 

PIMCO Dynamic Income Fund Schedule of Investments

December 31, 2012 (unaudited) (continued)

 

Principal
Amount
(000s)

 

 

 

Value*

 

 

 

Credit Suisse Mortgage Capital Certificates, CMO,

 

 

 

$3,000

 

1.429%, 10/15/21 (a)(d)(k)

 

$2,692,388

 

93,812

 

4.919%, 2/27/47 (a)(d)(f)(i)(k)

 

61,015,776

 

15,029

 

5.093%, 7/26/37 (a)(d)(i)(k)

 

7,741,509

 

12,950

 

5.409%, 2/15/39 (i)(k)

 

13,779,745

 

10,000

 

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

 

11,128,100

 

13,920

 

5.896%, 4/25/36

 

11,301,986

 

11,208

 

6.036%, 7/26/49 (a)(d)(k)

 

5,267,995

 

7,944

 

6.50%, 10/25/21 (i)

 

6,551,797

 

20,760

 

6.50%, 7/26/36 (i)

 

10,535,501

 

25,481

 

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

 

10,189,099

 

5,396

 

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

 

4,006,499

 

2,935

 

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

 

2,527,285

 

 

 

Diversity Funding Ltd., CMO (k),

 

 

 

£9,976

 

0.742%, 2/10/46

 

15,078,805

 

1,310

 

1.092%, 2/10/46

 

1,346,410

 

1,193

 

1.592%, 2/10/46

 

828,782

 

1,170

 

2.092%, 2/10/46

 

318,517

 

702

 

3.342%, 2/10/46

 

85,606

 

234

 

5.123%, 2/10/46 (e)

 

19,176

 

247

 

5.223%, 2/10/46 (e)

 

16,088

 

€33,634

 

Emerald Mortgages PLC, 0.23%, 7/15/48 CMO (k)

 

34,323,372

 

$15,414

 

First Horizon Alternative Mortgage Securities, 2.444%, 8/25/35 CMO (k)

 

3,320,230

 

1,478

 

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

 

1,363,088

 

7,958

 

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

 

8,174,000

 

5,761

 

Greenpoint Mortgage Funding Trust, 0.41%, 12/25/46 CMO (k)

 

2,076,500

 

 

 

GSR Mortgage Loan Trust, CMO,

 

 

 

99

 

3.135%, 11/25/35 (k)

 

87,270

 

502

 

5.50%, 5/25/36 (i)

 

447,574

 

2,093

 

6.50%, 8/25/36 (k)

 

1,696,918

 

 

 

Harborview Mortgage Loan Trust, CMO (k),

 

 

 

30

 

0.40%, 1/19/38

 

23,025

 

30,426

 

0.45%, 3/19/36 (i)

 

19,781,880

 

14,853

 

0.46%, 1/19/36 (i)

 

9,677,750

 

16,596

 

0.861%, 6/20/35 (i)

 

7,944,365

 

3,725

 

1.111%, 6/20/35

 

848,787

 

620

 

Impac CMB Trust, 0.93%, 10/25/34 CMO (i)(k)

 

482,592

 

30

 

Impac Secured Assets Trust 2007-2, 0.32%, 5/25/37 CMO (k)

 

18,790

 

9,408

 

IndyMac IMSC Mortgage Loan Trust 2007-AR1, 3.018%, 6/25/37 CMO (i)(k)

 

6,026,203

 

175

 

Indymac INDA Mortgage Loan Trust, 5.347%, 3/25/37 CMO (k)

 

147,618

 

 

 

Indymac Index Mortgage Loan Trust, CMO (k),

 

 

 

7,612

 

0.41%, 11/25/46 (i)

 

3,427,673

 

4,700

 

0.46%, 2/25/37

 

1,556,725

 

743

 

0.51%, 7/25/36

 

545,082

 

369

 

2.707%, 2/25/35

 

321,416

 

 

 

JPMorgan Alternative Loan Trust, CMO (i),

 

 

 

59,383

 

0.41%, 6/25/37 (k)

 

29,327,157

 

13,855

 

5.85%, 11/25/36 (k)

 

12,557,832

 

10,000

 

5.96%, 12/25/36

 

7,845,320

 

5,000

 

6.31%, 8/25/36

 

3,523,913

 

75,997

 

JPMorgan Chase Commercial Mortgage Securities Corp., 2.052%, 6/15/45 CMO, IO (i)(k)

 

8,797,096

 

 

 

JPMorgan Mortgage Trust, CMO (k),

 

 

 

13,152

 

3.004%, 6/25/37 (i)

 

10,475,433

 

10,043

 

5.524%, 4/25/37 (i)

 

9,191,796

 

2,778

 

5.745%, 10/25/36

 

2,526,811

 

9,300

 

KGS Alpha SBA, 0.847%, 4/25/38 CMO (a)(b)(d)(f)(j) (acquisition cost - $493,598; purchased 10/18/12)

 

490,047

 

 

 

Lavendar Trust, CMO (a)(d)(f),

 

 

 

8,050

 

5.50%, 9/26/35

 

4,845,703

 

19,544

 

6.00%, 11/26/36

 

11,517,032

 

10,913

 

LB Commercial Mortgage Trust, 5.886%, 7/15/44 CMO (i)(k)

 

12,492,439

 

 

 

LB-UBS Commercial Mortgage Trust, CMO (k),

 

 

 

301,207

 

0.138%, 2/15/40 IO (a)(d)

 

4,217,955

 

7,751

 

5.452%, 9/15/39 (i)

 

8,275,940

 

 

 

Lehman Mortgage Trust, CMO,

 

 

 

291

 

5.50%, 11/25/35

 

293,630

 

2,672

 

6.00%, 8/25/36 (i)

 

2,090,472

 

1,696

 

6.00%, 9/25/36

 

1,340,847

 

13,093

 

6.50%, 9/25/37 (i)

 

10,979,658

 

50,397

 

7.25%, 9/25/37 (i)

 

26,372,695

 

5,940

 

Lehman XS Trust, 0.71%, 7/25/47 CMO (k)

 

473,163

 

 

 

MASTR Adjustable Rate Mortgages Trust, CMO (k),

 

 

 

33,425

 

0.41%, 5/25/47 (i)

 

20,199,003

 

6,531

 

0.55%, 5/25/47

 

1,597,826

 

 

 

MASTR Alternative Loans Trust, CMO (k),

 

 

 

28,985

 

0.56%, 3/25/36 (i)

 

5,411,221

 

37,044

 

0.61%, 3/25/36

 

7,003,731

 

723

 

MASTR Asset Securitization Trust, 5.278%, 11/25/33 CMO (a)(d)(k)

 

113,146

 

 

 

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

 

 

 

11,082

 

2.613%, 1/26/35 (k)

 

7,922,470

 

6,285

 

2.613%, 2/26/37 (k)

 

4,430,571

 

26,634

 

3.03%, 7/26/35 (i)(k)

 

16,244,370

 

4,998

 

5.32%, 9/26/35 (k)

 

3,833,684

 

 


 

PIMCO Dynamic Income Fund Schedule of Investments

December 31, 2012 (unaudited) (continued)

 

Principal
Amount
(000s)

 

 

 

Value*

 

$7,969

 

6.00%, 4/26/36

 

$4,671,671

 

 

 

Newgate Funding PLC, CMO (k),

 

 

 

£2,200

 

0.719%, 12/15/50

 

2,273,824

 

€2,750

 

1.433%, 12/15/50

 

2,462,364

 

5,250

 

1.683%, 12/15/50

 

4,030,784

 

£4,150

 

1.769%, 12/15/50

 

4,651,612

 

 

 

Nomura Asset Acceptance Corp., CMO,

 

 

 

$1,151

 

5.82%, 3/25/47

 

1,136,085

 

18,792

 

6.138%, 3/25/47 (i)

 

18,550,484

 

35,833

 

6.347%, 3/25/47 (i)

 

35,366,337

 

€1,750

 

Opera Finance PLC, 0.51%, 1/15/15 CMO (k)

 

623,677

 

 

 

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

 

 

 

$10,737

 

2.94%, 2/26/36 (i)(k)

 

3,795,022

 

10,000

 

6.00%, 3/26/36

 

5,794,040

 

18,956

 

6.67%, 11/21/35 (i)(k)

 

11,522,166

 

33,774

 

7.19%, 11/26/35 (i)(k)

 

19,266,215

 

 

 

Residential Accredit Loans Trust, CMO,

 

 

 

14,101

 

0.39%, 7/25/36 (i)(k)

 

8,618,870

 

34,952

 

0.40%, 5/25/37 (i)(k)

 

25,103,258

 

13,160

 

1.165%, 1/25/46 (i)(k)

 

8,597,394

 

2,035

 

5.901%, 1/25/36 (k)

 

1,379,419

 

1,862

 

6.00%, 8/25/35

 

1,658,178

 

1,083

 

6.00%, 6/25/36

 

804,668

 

10,420

 

6.00%, 8/25/36 (i)

 

8,215,286

 

24,737

 

7.00%, 10/25/37 (i)

 

19,448,569

 

 

 

Residential Asset Securitization Trust, CMO,

 

 

 

2,452

 

5.50%, 7/25/35

 

2,304,480

 

5,966

 

6.25%, 8/25/37

 

3,354,294

 

 

 

Residential Funding Mortgage Securities I Trust, CMO,

 

 

 

626

 

5.85%, 11/25/35

 

590,202

 

8,394

 

5.891%, 8/25/36 (i)(k)

 

7,471,274

 

4,658

 

6.00%, 4/25/37

 

4,229,417

 

2,748

 

Sequoia Mortgage Trust, 0.581%, 7/20/36 CMO (k)

 

1,852,582

 

£2,722

 

Southern Pacific Securities PLC, 4.019%, 12/10/42 CMO (k)

 

3,781,729

 

 

 

Structured Adjustable Rate Mortgage Loan Trust, CMO (i)(k),

 

 

 

$7,547

 

4.787%, 8/25/36

 

4,831,016

 

15,782

 

5.084%, 2/25/37

 

10,316,875

 

6,149

 

5.163%, 4/25/47

 

4,863,561

 

 

 

Structured Asset Mortgage Investments, Inc., CMO (k),

 

 

 

5,308

 

0.38%, 3/25/37

 

720,934

 

32,429

 

0.40%, 7/25/46 (i)

 

21,699,810

 

 

 

Suntrust Alternative Loan Trust, CMO (k),

 

 

 

31,240

 

0.56%, 4/25/36 (i)

 

7,057,389

 

8,435

 

6.94%, 4/25/36 IO

 

2,561,675

 

 

 

TBW Mortgage-Backed Trust, CMO (i),

 

 

 

16,102

 

5.80%, 3/25/37

 

8,779,701

 

14,922

 

6.12%, 3/25/37

 

8,133,287

 

35,177

 

6.50%, 7/25/36

 

18,121,136

 

 

 

Vanwall Finance PLC, CMO (k),

 

 

 

£11,691

 

0.879%, 4/12/16

 

17,183,770

 

7,494

 

1.139%, 4/12/16

 

10,804,564

 

 

 

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

 

 

 

$569

 

0.67%, 6/25/44

 

489,333

 

22,263

 

0.916%, 6/25/47 (i)

 

6,924,719

 

39,798

 

0.976%, 7/25/47 (i)

 

31,675,275

 

938

 

1.046%, 10/25/46

 

685,749

 

3,629

 

1.145%, 7/25/46

 

2,735,992

 

114

 

1.16%, 2/25/46

 

104,716

 

1,719

 

2.261%, 7/25/47

 

1,241,635

 

12,083

 

5.129%, 3/25/37 (i)

 

11,050,660

 

839

 

5.146%, 2/25/37

 

795,055

 

 

 

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

 

 

 

24,580

 

0.45%, 1/25/47 (k)

 

13,263,682

 

9,952

 

6.00%, 4/25/37

 

7,861,144

 

1,427

 

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

 

1,250,107

 

28,600

 

Wells Fargo Mortgage Loan Trust, 5.572%, 4/27/36 CMO (a)(d)(k)

 

22,186,844

 

 

 

Wells Fargo Mortgage-Backed Securities Trust, CMO,

 

 

 

1,486

 

2.651%, 10/25/35 (k)

 

1,464,658

 

994

 

6.00%, 7/25/36

 

995,458

 

1,998

 

6.00%, 9/25/36

 

1,986,609

 

613

 

6.00%, 4/25/37

 

575,881

 

1,499

 

6.00%, 6/25/37

 

1,488,767

 

3,156

 

6.00%, 8/25/37

 

3,195,210

 

Total Mortgage-Backed Securities (cost-$1,245,193,397)

 

1,384,192,578

 

 

 

 

 

 

 

CORPORATE BONDS & NOTES - 38.5%

 

 

 

Banking - 12.9%

 

 

 

9,100

 

Banco Continental SAECA, 8.875%, 10/15/17 (a)(b)(d)(i)(j) (acquisition cost - $9,100,000; purchased 10/10/12)

 

9,828,000

 

 


 

PIMCO Dynamic Income Fund Schedule of Investments

December 31, 2012 (unaudited) (continued)

 

Principal
Amount
(000s)

 

 

 

Value*

 

$12,500

 

Banco do Brasil S.A., 5.875%, 1/19/23 (a)(d)(i)

 

$13,781,250

 

€7,100

 

Caisse Centrale du Credit Immobilier de France S.A., 4.00%, 1/12/18 (i)

 

9,452,153

 

 

 

Citigroup, Inc. (i),

 

 

 

3,000

 

1.458%, 11/30/17 (k)

 

3,731,397

 

6,000

 

4.75%, 2/10/19 (converts to FRN on 2/10/14)

 

7,691,079

 

15,800

 

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

 

23,290,591

 

 

 

Eksportfinans ASA (i),

 

 

 

$700

 

2.00%, 9/15/15

 

670,398

 

1,700

 

5.50%, 5/25/16

 

1,770,519

 

1,900

 

5.50%, 6/26/17

 

2,000,958

 

6,000

 

Intesa Sanpaolo SpA, 6.50%, 2/24/21 (a)(b)(d)(i)(j) (acquisition cost - $5,125,000; purchased 5/31/12 - 6/26/12)

 

6,326,628

 

€15,800

 

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

 

20,818,726

 

$36,500

 

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

 

44,381,116

 

 

 

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

 

 

 

€5,446

 

0.94%, 6/8/15

 

6,771,666

 

$5,000

 

1.011%, 3/9/15

 

4,757,985

 

€9,000

 

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

 

13,450,332

 

 

 

 

 

168,722,798

 

Building Materials - 1.2%

 

 

 

$5,000

 

Corp. GEO S.A.B. De C.V., 9.25%, 6/30/20 (a)(d)(i)

 

5,425,000

 

5,000

 

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

 

5,450,000

 

5,000

 

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

 

4,750,000

 

 

 

 

 

15,625,000

 

Chemicals - 2.1%

 

 

 

25,980

 

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

 

27,343,950

 

 

 

 

 

 

 

Coal - 0.4%

 

 

 

5,000

 

Mongolian Mining Corp., 8.875%, 3/29/17 (a)(d)(i)

 

5,375,000

 

 

 

 

 

 

 

Commercial Services - 0.7%

 

 

 

8,550

 

Stonemor Operating LLC, 10.25%, 12/1/17 (i)

 

8,849,250

 

 

 

 

 

 

 

Diversified Financial Services - 6.1%

 

 

 

12,900

 

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

 

8,030,250

 

9,600

 

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

 

9,964,224

 

€900

 

Cedulas TDA 1 Fondo de Titulizacion de Activos, 0.276%, 4/8/16 (k)

 

996,512

 

31,700

 

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

 

29,956,718

 

$10,000

 

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

 

11,347,620

 

3,500

 

Lazard Group LLC, 6.85%, 6/15/17 (i)

 

4,048,041

 

 

 

SLM Corp. (i),

 

 

 

5,000

 

6.00%, 1/25/17

 

5,437,500

 

6,245

 

7.25%, 1/25/22

 

6,916,338

 

17,950

 

Toll Road Investors Partnership II L.P. zero coupon, 2/15/45 (NPFGC) (a)(b)(d)(j) (acquisition cost - $2,956,405; purchased 11/20/12)

 

3,046,908

 

 

 

 

 

79,744,111

 

Electric Utilities - 0.6%

 

 

 

5,000

 

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

 

2,675,000

 

 

 

Energy Future Intermediate Holding Co. LLC,

 

 

 

3,100

 

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

 

3,317,000

 

1,700

 

10.00%, 12/1/20

 

1,925,250

 

 

 

 

 

7,917,250

 

Engineering & Construction - 0.9%

 

 

 

11,731

 

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

 

11,349,265

 

 

 

 

 

 

 

Food & Beverage - 0.7%

 

 

 

2,500

 

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

 

2,762,500

 

5,000

 

Minerva Luxembourg S.A., 12.25%, 2/10/22 (a)(d)(i)

 

6,012,500

 

 

 

 

 

8,775,000

 

Household Products/Wares - 1.8%

 

 

 

8,236

 

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

 

7,021,190

 

 

 

Reynolds Group Issuer, Inc. (i),

 

 

 

6,000

 

6.875%, 2/15/21

 

6,495,000

 

9,000

 

7.875%, 8/15/19

 

10,057,500

 

 

 

 

 

23,573,690

 

Insurance - 1.3%

 

 

 

£8,500

 

American International Group, Inc., 8.625%, 5/22/68 (converts to FRN on 5/22/18) (i)

 

16,892,465

 

 

 

 

 

 

 

Lodging - 0.3%

 

 

 

$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)

 

4,320,000

 

 


 

PIMCO Dynamic Income Fund Schedule of Investments

December 31, 2012 (unaudited) (continued)

 

Principal
Amount
(000s)

 

 

 

Value*

 

Miscellaneous Manufacturing - 0.0%

 

 

 

$700

 

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

 

$460,250

 

 

 

 

 

 

 

Oil & Gas - 2.4%

 

 

 

5,000

 

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

 

5,874,140

 

5,000

 

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

 

5,501,750

 

16,700

 

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

 

15,113,500

 

7,000

 

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

 

4,830,000

 

 

 

 

 

31,319,390

 

Pharmaceuticals - 0.2%

 

 

 

2,764

 

Lantheus Medical Imaging, Inc., 9.75%, 5/15/17 (i)

 

2,584,340

 

 

 

 

 

 

 

Pipelines - 1.6%

 

 

 

15,900

 

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

 

16,774,500

 

3,900

 

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

 

3,529,500

 

 

 

 

 

20,304,000

 

Retail - 2.8%

 

 

 

£1,950

 

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

 

3,171,637

 

500

 

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

 

791,107

 

3,969

 

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

 

6,366,528

 

12,120

 

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

 

15,652,225

 

6,800

 

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

 

10,604,409

 

 

 

 

 

36,585,906

 

Software - 0.8%

 

 

 

 

 

First Data Corp. (a)(d)(i),

 

 

 

$5,000

 

7.375%, 6/15/19

 

5,200,000

 

5,000

 

8.75%, 1/15/22 PIK

 

5,137,500

 

 

 

 

 

10,337,500

 

Telecommunications - 1.2%

 

 

 

8,500

 

Nokia Oyj, 5.375%, 5/15/19 (i)

 

8,138,750

 

7,000

 

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

 

8,041,250

 

 

 

 

 

16,180,000

 

Transportation - 0.5%

 

 

 

6,500

 

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

 

6,889,848

 

350

 

Western Express, Inc., 12.50%, 4/15/15 (a)(b)(d)(j) (acquisition cost - $210,250; purchased 11/13/12 - 12/14/12)

 

217,000

 

 

 

 

 

7,106,848

 

Total Corporate Bonds & Notes (cost-$441,281,814)

 

503,366,013

 

 

 

 

 

 

 

ASSET-BACKED SECURITIES - 23.6%

 

 

 

 

 

Bear Stearns Asset-Backed Securities Trust (k),

 

 

 

4,000

 

0.76%, 6/25/36

 

2,728,218

 

582

 

2.724%, 10/25/36

 

339,503

 

2,917

 

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

 

1,855,646

 

 

 

Citigroup Mortgage Loan Trust, Inc.,

 

 

 

674

 

5.852%, 5/25/36

 

423,882

 

3,976

 

5.923%, 3/25/36

 

2,838,245

 

 

 

Conseco Finance Securitizations Corp.,

 

 

 

11,015

 

7.96%, 5/1/31

 

9,465,274

 

18,333

 

7.97%, 5/1/32 (i)

 

13,665,343

 

32,649

 

8.20%, 5/1/31 (i)

 

28,691,144

 

9,740

 

9.163%, 3/1/33 (i)(k)

 

8,757,015

 

7,000

 

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

 

6,776,280

 

 

 

Countrywide Asset-Backed Certificates,

 

 

 

15,000

 

0.38%, 6/25/47 (i)(k)

 

11,039,992

 

5,826

 

0.41%, 4/25/36 (i)(k)

 

4,773,507

 

35

 

1.01%, 3/25/33 (k)

 

30,391

 

2,405

 

1.59%, 12/25/32 (k)

 

1,857,769

 

1,527

 

4.915%, 2/25/36 (k)

 

1,394,128

 

2,697

 

5.348%, 7/25/36 (k)

 

2,260,785

 

4,505

 

5.505%, 4/25/36 (k)

 

3,912,812

 

4,713

 

5.588%, 8/25/36 (k)

 

4,085,177

 

5,321

 

5.657%, 3/25/34 (k)

 

5,832,002

 

555

 

5.859%, 10/25/46

 

369,606

 

10,800

 

Credit-Based Asset Servicing and Securitization LLC, 5.935%, 10/25/36 (a)(d)(f)

 

8,969,746

 

13,280

 

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

 

11,410,804

 

 

 

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

 

 

 

294

 

0.66%, 12/25/42

 

237,555

 

14,443

 

0.68%, 4/25/42 (i)

 

11,264,552

 

 

 


 

PIMCO Dynamic Income Fund Schedule of Investments

December 31, 2012 (unaudited) (continued)

 

Principal
Amount
(000s)

 

 

 

Value*

 

$1,658

 

2.46%, 4/25/42

 

$623,464

 

12,454

 

GMAC Mortgage Corp. Loan Trust, 6.249%, 12/25/37 (i)

 

10,728,395

 

4,949

 

GSAA Trust, 6.205%, 3/25/46

 

4,750,521

 

2,065

 

Home Equity Mortgage Loan Asset-Backed Trust, 7.487%, 12/25/31

 

947,977

 

13,289

 

Lehman XS Trust, 6.17%, 6/25/46 (i)

 

11,490,183

 

314

 

Long Beach Mortgage Loan Trust, 1.26%, 2/25/34 (k)

 

270,431

 

27,500

 

Morgan Stanley Home Equity Loan Trust, 0.44%, 4/25/37 (i)(k)

 

14,331,446

 

 

 

Oakwood Mortgage Investors, Inc. (k),

 

 

 

9,690

 

5.92%, 9/15/17

 

4,808,153

 

5,913

 

6.61%, 2/15/21

 

3,228,999

 

26,893

 

7.40%, 7/15/30 (i)

 

19,446,455

 

7,682

 

7.405%, 12/15/30

 

4,635,858

 

6,418

 

7.84%, 11/15/29 (i)

 

6,376,131

 

 

 

Popular ABS Mortgage Pass-Through Trust,

 

 

 

3,663

 

1.46%, 8/25/35 (k)

 

1,494,803

 

8,422

 

5.105%, 7/25/35 (i)

 

6,187,618

 

10,421

 

RASC Trust, 0.37%, 6/25/36 (i)(k)

 

9,344,490

 

44

 

Renaissance Home Equity Loan Trust, 0.71%, 12/25/33 (k)

 

41,905

 

11,872

 

Residential Asset Mortgage Loan Trust, 1.185%, 4/25/34 (i)(k)

 

8,207,217

 

2,394

 

Soundview Home Equity Loan Trust, 5.552%, 10/25/36 (i)

 

1,815,800

 

 

 

South Coast Funding (a)(d)(f)(k),

 

 

 

199,077

 

0.611%, 1/6/41

 

48,970,241

 

6,027

 

0.611%, 1/6/41 (b)(j) (acquisition cost - $1,190,242; purchased 11/8/12)

 

1,499,363

 

8,564

 

Structured Asset Securities Corp., 6.21%, 5/25/32 (k)

 

3,718,540

 

1,901

 

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

 

2,095,678

 

380

 

Vanderbilt Mortgage Finance, 9.25%, 11/7/32 (k)

 

386,470

 

Total Asset-Backed Securities (cost-$283,720,502)

 

308,379,514

 

 

 

 

 

SENIOR LOANS (a)(c) - 7.0%

 

 

 

Auto Components - 0.9%

 

 

 

11,940

 

Keystone Automotive Operations, Inc., 9.75%, 2/15/16, Term B (b)(j) (acquisition cost - $11,844,302; purchased 7/19/12 - 8/8/12)

 

12,119,103

 

 

 

 

 

 

 

Diversified Financial Services - 1.0%

 

 

 

 

 

RFC Borrower LLC,

 

 

 

7,500

 

5.00%, 11/18/13

 

7,546,875

 

6,000

 

6.75%, 11/18/13

 

6,075,000

 

 

 

 

 

13,621,875

 

Financial Services - 2.1%

 

 

 

27,000

 

Springleaf Finance Corp., 5.50%, 5/10/17

 

26,890,326

 

 

 

 

 

 

 

Food & Beverage - 0.5%

 

 

 

5,985

 

Candy Intermediate Holdings, Inc., 7.50% - 8.50%, 6/18/18

 

6,059,812

 

 

 

 

 

 

 

Hotels/Gaming - 1.2%

 

 

 

15,200

 

Stockbridge SBE Holdings, LLC., 13.00%, 5/2/17, Term B (b)(j) (acquisition cost - $14,963,250; purchased 5/30/12 - 7/10/12)

 

15,181,000

 

 

 

 

 

 

 

Telecommunications - 1.3%

 

 

 

17,588

 

Univision Communications, Inc., 4.462%, 3/31/17

 

17,333,786

 

Total Senior Loans (cost-$87,605,632)

 

91,205,902

 

 

 

 

 

U.S. GOVERNMENT AGENCY SECURITIES (k) - 4.6%

 

 

 

Fannie Mae - 4.1%

 

 

 

27,633

 

5.71%, 7/25/41, CMO, IO

 

3,513,626

 

37,754

 

5.86%, 10/25/40, CMO, IO (i)

 

5,391,348

 

2,899

 

6.09%, 1/25/38, CMO, IO

 

407,117

 

1,475

 

6.14%, 12/25/37, CMO, IO

 

232,110

 

3,207

 

6.19%, 12/25/37, CMO, IO

 

484,929

 

940

 

6.20%, 6/25/37, CMO, IO

 

94,686

 

11,553

 

6.23%, 3/25/37, CMO, IO

 

1,725,932

 

74,924

 

6.23%, 4/25/37, CMO, IO (i)

 

10,896,291

 

2,972

 

6.24%, 4/25/37, CMO, IO

 

550,938

 

753

 

6.29%, 2/25/37, CMO, IO

 

126,029

 

2,382

 

6.31%, 9/25/37, CMO, IO

 

485,892

 

81,780

 

6.35%, 6/25/41, CMO, IO (i)

 

13,562,715

 

557

 

6.39%, 11/25/35, CMO, IO

 

89,113

 

773

 

6.44%, 11/25/36, CMO, IO

 

105,615

 

2,675

 

6.51%, 6/25/37, CMO, IO

 

440,777

 

6,601

 

6.54%, 10/25/35, CMO, IO

 

1,109,612

 

5,961

 

6.56%, 5/25/37, CMO, IO

 

1,187,056

 

6,928

 

6.59%, 11/25/36, CMO, IO

 

1,362,479

 

7,214

 

6.77%, 3/25/38, CMO, IO

 

1,612,354

 

5,653

 

6.79%, 2/25/38, CMO, IO

 

959,020

 

5,202

 

6.89%, 6/25/23, CMO, IO

 

896,033

 

 


 

PIMCO Dynamic Income Fund Schedule of Investments

December 31, 2012 (unaudited) (continued)

 

Principal
Amount
(000s)

 

 

 

Value*

 

$5,985

 

11.903%, 1/25/41, CMO (b)(i)

 

$7,770,993

 

 

 

 

 

53,004,665

 

Freddie Mac - 0.5%

 

 

 

1,191

 

6.201%, 5/15/37, CMO, IO

 

187,124

 

7,899

 

6.261%, 7/15/36, CMO, IO

 

1,339,025

 

3,253

 

6.371%, 9/15/36, CMO, IO

 

524,909

 

7,933

 

6.491%, 4/15/36, CMO, IO

 

1,231,229

 

5,562

 

7.571%, 9/15/36, CMO, IO

 

1,435,111

 

602

 

13.909%, 9/15/41, CMO (b)

 

746,893

 

805

 

16.352%, 9/15/34, CMO (b)

 

979,919

 

 

 

 

 

6,444,210

 

Total U.S. Government Agency Securities (cost-$61,175,980)

 

59,448,875

 

 

 

 

 

 

 

Shares

 

 

 

 

 

CONVERTIBLE PREFERRED STOCK - 0.9%

 

 

 

Aerospace & Defense - 0.3%

 

 

 

70,000

 

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

 

3,899,700

 

 

 

 

 

 

 

Electric Utilities - 0.6%

 

 

 

151,700

 

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

 

8,150,841

 

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

 

12,050,541

 

 

 

 

 

 

 

Principal
Amount
(000s)

 

 

 

 

 

U.S. TREASURY OBLIGATIONS - 0.2%

 

 

 

$2,675

 

U.S. Treasury Notes, 0.75%, 12/15/13 (h) (cost-$2,689,341)

 

2,689,630

 

 

 

 

 

 

 

SHORT-TERM INVESTMENTS - 12.6%

 

 

 

Repurchase Agreements - 8.6%

 

 

 

6,700

 

Banc of America Securities LLC, dated 12/31/12, 0.23%, due 1/2/13, proceeds $6,700,086; collateralized by U.S. Treasury Notes, 0.125%, due 12/31/14, valued at $6,834,965 including accrued interest

 

6,700,000

 

35,900

 

JPMorgan Securities, Inc., dated 12/31/12, 0.25%, due 1/2/13, proceeds $35,900,499; collateralized by U.S. Treasury Notes, 1.75% - 1.875%, due 6/30/15 - 7/31/15, valued at $36,670,118 including accrued interest

 

35,900,000

 

138

 

State Street Bank and Trust Co., dated 12/31/12, 0.01%, due 1/2/13, proceeds $138,000; collateralized by Freddie Mac, 2.06%, due 10/17/22, valued at $144,822 including accrued interest

 

138,000

 

70,200

 

TD Securities (USA) LLC, dated 12/31/12, 0.23%, due 1/2/13, proceeds $70,200,897; collateralized by U.S. Treasury Notes, 1.375% - 10.625% due 8/15/15 - 11/30/15, valued at $73,216,059 including accrued interest

 

70,200,000

 

Total Repurchase Agreements (cost-$112,938,000)

 

112,938,000

 

 

 

 

 

 

 

U.S. Treasury Obligation (h)(l) - 4.0%

 

 

 

52,940

 

U.S. Treasury Bills, 0.122%-0.206%, 2/7/13-12/12/13 (cost-$52,895,766)

 

52,909,471

 

Total Short-Term Investments (cost-$165,833,766)

 

165,847,471

 

 

 

 

 

 

 

Total Investments (cost-$2,298,980,710) (m)- 193.2%

 

2,527,180,524

 

Liabilities in excess of other assets-(93.2)%

 

(1,219,411,017

)

Net Assets-100.0%

 

$1,307,769,507

 

 


 

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”), an affiliate of the Investment Manager. 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 61 st  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 securities may differ from the value that would be realized if the securities 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 $662,739,445, representing 50.7% 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, 2012.

 

 

(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 $180,214,725, representing 13.8% 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 $50,203,047. The aggregate market value is $53,028,049, representing 4.1% of net assets.

 

 

(k)

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, 2012.

 

 

(l)

Rates reflect the effective yields at purchase date.

 

 

(m)

At December 31, 2012, the cost basis of portfolio securities of $2,298,980,710 was substantially the same for both federal income tax and book purposes. Gross unrealized appreciation was $236,057,735; gross unrealized depreciation was $7,857,921; and net unrealized appreciation was $228,199,814.

 


 

(n)

Credit default swap agreements outstanding at December 31, 2012:

 

OTC sell protection swap agreements (1) :

 

Swap Counterparty/
Referenced Debt Issuer

 

Notional
Amount
(000s)(3)

 

Credit
Spread(2)

 

Termination
Date

 

Payments
Received

 

Market
Value(4)

 

Upfront
Premiums
Received

 

Unrealized
Appreciation
(Depreciation)

 

Bank of America:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Nokia Oyj

 

€2,000

 

5.97

%

6/20/17

 

5.00

%

$(92,913

)

$(250,220

)

$157,307

 

Credit Suisse First Boston:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Markit ABX.HE Index 6-2

 

$40,184

 

 

†

5/25/46

 

0.17

%

(35,730,137

)

(35,713,093

)

(17,044

)

Nokia Oyj

 

€3,000

 

5.97

%

6/20/17

 

5.00

%

(139,368

)

(568,125

)

428,757

 

Nokia Oyj

 

2,000

 

6.20

%

9/20/17

 

5.00

%

(121,244

)

(431,885

)

310,641

 

Goldman Sachs:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Markit ABX.HE Index 6-1

 

$14,935

 

 

†

7/25/45

 

0.54

%

(12,948,999

)

(13,012,399

)

63,400

 

Morgan Stanley:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

JC Penney Corp., Inc.

 

5,000

 

8.97

%

6/20/17

 

5.00

%

(668,502

)

(400,000

)

(268,502

)

JC Penney Corp., Inc.

 

5,000

 

9.15

%

9/20/17

 

5.00

%

(724,495

)

(412,500

)

(311,995

)

 

 

 

 

 

 

 

 

 

 

$(50,425,658

)

$(50,788,222

)

$362,564

 

 

†

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 on corporate or sovereign issues as of 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, 2012 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.

 

 

(o)

Interest rate swap agreements outstanding at December 31, 2012:

 

Centrally cleared interest rate swaps:

 

 

 

Notional

 

 

 

Rate Type

 

 

 

Unrealized

 

Broker
(Exchange)

 

Amount
(000s)

 

Termination
Date

 

Payments
Made

 

Payments
Received

 

Market
Value

 

Appreciation
(Depreciation)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Suisse First Boston (CME)

 

$200,000

 

6/19/20

 

3-Month USD-LIBOR

 

1.25%

 

$(2,743,758

)

$(1,371,758

)

Credit Suisse First Boston (CME)

 

134,000

 

6/20/22

 

4.00%

 

3-Month USD-LIBOR

 

(27,631,662

)

1,706,755

 

Morgan Stanley (CME)

 

184,000

 

3/20/43

 

2.75%

 

3-Month USD-LIBOR

 

2,471,322

 

1,588,122

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$(27,904,098

)

$1,923,119

 

 


 

(p)

Forward foreign currency contracts outstanding at December 31, 2012:

 

 

 

Counterparty

 

U.S.$ Value on
Origination Date

 

U.S.$ Value
December 31, 2012

 

Unrealized
Appreciation
(Depreciation)

 

Purchased:

 

 

 

 

 

 

 

 

 

99,000 British Pound settling 3/12/13

 

Credit Suisse First Boston

 

$160,054

 

$160,787

 

$733

 

169,000 British Pound settling 3/12/13

 

HSBC Bank

 

274,833

 

274,474

 

(359

)

111,000 British Pound settling 3/12/13

 

JPMorgan Chase

 

179,396

 

180,276

 

880

 

164,000 British Pound settling 3/12/13

 

Royal Bank of Scotland

 

264,256

 

266,354

 

2,098

 

962,000 Euro settling 3/18/13

 

Barclays Bank

 

1,268,743

 

1,270,631

 

1,888

 

3,946,000 Euro settling 3/18/13

 

Credit Suisse First Boston

 

5,199,842

 

5,211,967

 

12,125

 

104,000 Euro settling 3/18/13

 

UBS

 

135,349

 

137,366

 

2,017

 

Sold:

 

 

 

 

 

 

 

 

 

54,959,000 British Pound settling 3/12/13

 

Bank of America

 

88,500,093

 

89,259,420

 

$(759,327

)

46,627,000 Euro settling 3/18/13

 

Barclays Bank

 

60,878,170

 

61,586,003

 

(707,833

)

55,655,000 Euro settling 3/18/13

 

Citigroup

 

72,614,819

 

73,510,391

 

(895,572

)

3,747,000 Euro settling 3/18/13

 

Deutsche Bank

 

4,901,271

 

4,949,123

 

(47,852

)

650,000 Euro settling 3/18/13

 

HSBC Bank

 

861,578

 

858,535

 

3,043

 

3,136,000 Euro settling 3/18/13

 

UBS

 

4,151,844

 

4,142,100

 

9,744

 

 

 

 

 

 

 

 

 

$(2,378,415

)

 

(q)

At December 31, 2012, the Fund pledged $13,105,000 in cash as collateral for derivative contracts. Cash collateral held may be invested in accordance with the Fund’s investment strategy.  The Cash collateral held, $405,000 was segregated in the Fund’s name, at a third party, but cannot be invested by the Fund.

 

 

(r)

Open reverse repurchase agreements at December 31, 2012:

 

Counterparty

 

Rate

 

Trade Date

 

Due Date

 

Principal & Interest

 

Principal

 

Bank of America

 

1.36

%

12/21/12

 

1/18/13

 

$25,436,525

 

$25,424,999

 

Barclays Bank

 

0.28

 

11/29/12

 

1/29/13

 

8,722,705

 

8,720,415

 

 

 

0.30

 

12/27/12

 

1/28/13

 

10,686,292

 

10,685,757

 

 

 

0.65

 

12/6/12

 

1/4/13

 

7,058,439

 

7,055,000

 

 

 

0.65

 

12/19/12

 

2/6/13

 

8,933,258

 

8,931,000

 

 

 

0.70

 

8/24/12

 

2/25/13

 

3,829,730

 

3,820,000

 

 

 

0.71

 

12/20/12

 

3/20/13

 

11,659,989

 

11,657,000

 

 

 

0.71

 

12/21/12

 

3/20/13

 

15,875,756

 

15,872,000

 

 

 

0.71

 

12/24/12

 

1/24/13

 

28,565,068

 

28,559,998

 

 

 

0.71

 

12/24/12

 

3/25/13

 

28,377,036

 

28,372,000

 

 

 

0.75

 

10/1/12

 

1/4/13

 

33,612,999

 

33,548,000

 

 

 

0.75

 

11/27/12

 

2/27/13

 

33,578,165

 

33,553,000

 

 

 

0.75

 

11/28/12

 

2/27/13

 

2,781,062

 

2,779,000

 

 

 

0.75

 

12/31/12

 

4/4/13

 

42,207,000

 

42,207,000

 

 

 

1.00

 

11/22/12

 

1/22/13

 

14,804,644

 

14,788,180

 

 

 

1.10

 

8/24/12

 

2/25/13

 

10,507,893

 

10,466,000

 

 

 

1.165

 

10/26/12

 

1/25/13

 

45,955,906

 

45,855,000

 

 

 

1.558

 

12/18/12

 

3/19/13

 

5,656,670

 

5,653,000

 

 

 

1.56

 

12/20/12

 

3/20/13

 

12,535,057

 

12,528,000

 

 

 

1.56

 

12/21/12

 

3/22/13

 

11,257,851

 

11,252,000

 

 

 

1.561

 

12/5/12

 

3/5/13

 

5,810,045

 

5,803,000

 

 

 

1.561

 

12/12/12

 

3/8/13

 

5,861,332

 

5,856,000

 

 

 

1.563

 

11/1/12

 

2/1/13

 

2,530,794

 

2,524,000

 

 

 

1.566

 

10/24/12

 

1/24/13

 

8,973,241

 

8,946,000

 

Citigroup

 

1.009

 

11/28/12

 

2/1/13

 

6,436,308

 

6,430,000

 

Credit Suisse First Boston

 

0.50

 

12/18/12

 

3/19/13

 

21,134,402

 

21,130,000

 

 

 

0.60

 

12/17/12

 

1/17/13

 

5,015,265

 

5,013,945

 

 

 

1.50

 

11/19/12

 

1/18/13

 

4,732,584

 

4,724,125

 

 

 

1.60

 

11/13/12

 

1/16/13

 

19,064,271

 

19,022,000

 

 

 

1.60

 

11/15/12

 

1/17/13

 

25,591,479

 

25,537,000

 

 

 

1.60

 

11/16/12

 

1/18/13

 

48,315,716

 

48,215,000

 

 

 

1.60

 

11/19/12

 

1/22/13

 

38,757,645

 

38,682,000

 

 

 

1.60

 

11/26/12

 

1/28/13

 

9,051,861

 

9,037,000

 

 

 

1.60

 

11/27/12

 

1/28/13

 

3,887,281

 

3,881,000

 

 

 

1.60

 

12/3/12

 

2/4/13

 

63,501,556

 

63,417,000

 

 

 

1.60

 

12/18/12

 

2/13/13

 

4,005,669

 

4,003,000

 

 

 

1.70

 

10/24/12

 

1/24/13

 

10,489,560

 

10,455,000

 

Deutsche Bank

 

0.50

 

6/29/12

 

6/28/14

 

5,086,176

 

5,073,000

 

 

 

0.60

 

11/28/12

 

2/28/13

 

3,839,238

 

3,837,000

 

 

 

0.75

 

9/28/12

 

1/2/13

 

43,256,340

 

43,170,000

 

 

 

0.75

 

12/31/12

 

4/2/13

 

43,502,000

 

43,502,000

 

 


 

 

 

0.75

%

12/31/12

 

4/3/13

 

$9,089,000

 

$9,089,000

 

 

 

0.78

 

10/5/12

 

1/4/13

 

11,616,357

 

11,594,000

 

JPMorgan Chase

 

1.513

 

10/31/12

 

1/25/13

 

43,437,708

 

43,323,000

 

Morgan Stanley

 

1.20

 

12/31/12

 

3/5/13

 

18,850,000

 

18,850,000

 

 

 

1.25

 

10/30/12

 

1/2/13

 

18,621,289

 

18,580,000

 

Royal Bank of Canada

 

0.55

 

12/21/12

 

3/13/13

 

9,349,714

 

9,348,000

 

 

 

1.31

 

11/9/12

 

2/11/13

 

7,719,138

 

7,704,000

 

 

 

1.311

 

11/27/12

 

2/27/13

 

15,316,053

 

15,296,000

 

 

 

1.311

 

12/11/12

 

3/11/13

 

15,638,519

 

15,626,000

 

 

 

1.312

 

11/6/12

 

2/7/13

 

14,935,963

 

14,905,000

 

 

 

1.312

 

11/7/12

 

2/8/13

 

57,790,704

 

57,673,000

 

 

 

1.313

 

10/29/12

 

1/29/13

 

17,281,873

 

17,241,000

 

 

 

1.351

 

10/9/12

 

1/9/13

 

34,377,310

 

34,268,000

 

 

 

2.31

 

11/14/12

 

5/14/14

 

63,820,032

 

63,620,000

 

Royal Bank of Scotland

 

1.208

 

11/27/12

 

1/2/13

 

21,589,048

 

21,563,000

 

 

 

1.209

 

12/17/12

 

1/17/13

 

10,907,858

 

10,902,000

 

 

 

1.209

 

12/31/12

 

1/29/13

 

22,322,000

 

22,322,000

 

 

 

1.559

 

12/17/12

 

1/7/13

 

8,303,750

 

8,298,000

 

 

 

1.559

 

12/17/12

 

1/17/13

 

28,302,597

 

28,283,000

 

 

 

1.559

 

12/31/12

 

2/4/13

 

10,538,000

 

10,538,000

 

 

 

1.56

 

12/21/12

 

1/24/13

 

2,188,137

 

2,187,000

 

 

 

1.564

 

12/4/12

 

1/3/13

 

10,742,517

 

10,729,000

 

 

 

1.66

 

12/5/12

 

3/5/13

 

7,016,047

 

7,007,000

 

 

 

1.69

 

10/16/12

 

1/18/13

 

5,412,747

 

5,393,000

 

UBS

 

0.60

 

11/26/12

 

1/23/13

 

40,795,858

 

40,770,918

 

 

 

0.65

 

12/21/12

 

6/21/13

 

26,022,637

 

26,017,000

 

 

 

0.70

 

11/26/12

 

1/23/13

 

12,063,979

 

12,055,375

 

 

 

1.434

 

10/17/12

 

1/17/13

 

7,346,464

 

7,324,000

 

 

 

2.617

 

9/26/12

 

10/4/13

 

3,258,049

 

3,235,000

 

 

 

 

 

 

 

 

 

 

 

$1,293,726,712

 

 

(s)

The weighted average daily balance of reverse repurchase agreements outstanding during the nine months ended December 31, 2012 for the Fund was $866,492,493, at a weighted average interest rate of 1.19%. The total market 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, 2012 was $1,512,813,350.

 

 

 

At December 31, 2012, the Fund held $3,032,551 in principal value of U.S. Treasury Obligations, $1,636,189 in Mortgage-Backed Securities and $4,840,000 in cash as collateral for 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.

 

 


 

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 single broker quotes in determining the fair value of 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, the next coupon reset date, and the convertibility of the bond. 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 OTC 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. 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.

 

The valuation techniques used by the Fund to measure fair value during the fiscal period ended December 31, 2012 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.

 

A summary of the inputs used at December 31, 2012 in valuing the Fund’s assets and liabilities is listed below (refer to the 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
12/31/12

 

Investments in Securities - Assets

 

 

 

 

 

 

 

 

 

Mortgage-Backed Securities

 

$—

 

$1,263,417,203

 

$120,775,375

 

$1,384,192,578

 

Corporate Bonds & Notes

 

—

 

503,366,013

 

—

 

503,366,013

 

Asset-Backed Securities

 

—

 

248,940,164

 

59,439,350

 

308,379,514

 

Senior Loans:

 

 

 

 

 

 

 

 

 

Hotels/Gaming

 

—

 

—

 

15,181,000

 

15,181,000

 

All Other

 

—

 

76,024,902

 

—

 

76,024,902

 

U.S. Government Agency Securities

 

—

 

59,448,875

 

—

 

59,448,875

 

Convertible Preferred Stock

 

12,050,541

 

—

 

—

 

12,050,541

 

U.S. Treasury Obligations

 

—

 

2,689,630

 

—

 

2,689,630

 

Short-Term Investments

 

—

 

165,847,471

 

—

 

165,847,471

 

Total Investments in Securities - Assets

 

$12,050,541

 

$2,319,734,258

 

$195,395,725

 

$2,527,180,524

 

Other Financial Instruments* - Assets

 

 

 

 

 

 

 

 

 

Credit Contracts

 

$—

 

$960,105

 

$—

 

$960,105

 

Foreign Exchange Contracts

 

—

 

32,528

 

—

 

32,528

 

Interest Rate Contracts

 

—

 

3,294,877

 

—

 

3,294,877

 

Total Other Financial Instruments* - Assets

 

$—

 

$4,287,510

 

$—

 

$4,287,510

 

Other Financial Instruments* - Liabilities

 

 

 

 

 

 

 

 

 

Credit Contracts

 

$—

 

$(597,541

)

$—

 

$(597,541

)

Foreign Exchange Contracts

 

—

 

(2,410,943

)

—

 

(2,410,943

)

Interest Rate Contracts

 

—

 

(1,371,758

)

—

 

(1,371,758

)

Total Other Financial Instruments* - Liabilities

 

$—

 

$(4,380,242

)

$—

 

$(4,380,242

)

Total Investments

 

$12,050,541

 

$2,319,641,526

 

$195,395,725

 

$2,527,087,792

 

 

At December 31, 2012, there were no transfers between Levels 1 and 2.

 

A roll forward of fair value measurements using significant unobservable inputs (Level 3) for the fiscal period ended December 31, 2012, was as follows:

 

 

 

Beginning
Balance
5/30/12**

 

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
12/31/12

 

Investments in Securities - Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Mortgage-Backed Securities

 

$—

 

$112,462,861

 

$(3,001,293

)

$111,434

 

$1,138,801

 

$10,063,572

 

$—

 

$—

 

$120,775,375

 

Asset-Backed Securities

 

—

 

52,827,405

 

(1,049,951

)

629,260

 

823,754

 

6,208,882

 

—

 

—

 

59,439,350

 

Senior Loans

 

—

 

14,963,250

 

—

 

25,834

 

—

 

191,916

 

—

 

—

 

15,181,000

 

Totals

 

$—

 

$180,253,516

 

$(4,051,244

)

$766,528

 

$1,962,555

 

$16,464,370

 

$—

 

$—

 

$195,395,725

 

 

The following tables present additional information about valuation techniques and inputs used for investments that are measured at fair value and categorized within Level 3 at December 31, 2012:

 

 

 

Ending
Balance
at 12/31/12

 

Valuation
Technique Used

 

Unobservable
Inputs

 

Input Values

 

Investments in Securities - Assets

 

 

 

 

 

 

 

 

 

Mortgage-Backed Securities

 

$120,285,328

 

Benchmark Pricing

 

Security Price Reset

 

$58.93-$112.14

 

Mortgage-Backed Securities

 

490,047

 

Market Comparable Security

 

Security Price Reset

 

$5.27

 

Asset-Backed Securities

 

59,439,350

 

Benchmark Pricing

 

Security Price Reset

 

$24.60-83.05

 

Senior Loans

 

15,181,000

 

Third-Party Pricing Vendor

 

Single Broker Quote

 

$99.88

 

Total Investments

 

$195,395,725

 

 

 

 

 

 

 

 

* Other financial instruments are derivatives not reflected in the Schedule of Investments, such as swap agreements and forward foreign currency contracts, which are valued at the unrealized appreciation (depreciation) of the instrument.

** Commencement of Operations

 

The net change in unrealized appreciation/depreciation of Level 3 investments which the Fund held at December 31, 2012 was $16,464,370.

 

Glossary:

 

ABS - Asset-Backed Securities

 

ABX - Asset-Backed Securities Index

 

CME - Chicago Mercantile Exchange

 

CMO - Collateralized Mortgage Obligation

 

€ - Euro

 

FRN - Floating Rate Note

 

£ - British Pound

 

IO - Interest Only

 

LIBOR - London Inter-Bank Offered Rate

 

NPFGC - insured by National Public Finance Guarantee 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 CFR270.3a-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

 

President & Chief Executive Officer

 

 

 

Date: February 22, 2013

 

 

 

By

/s/ Lawrence G. Altadonna

 

Treasurer, Principal Financial & Accounting Officer

 

 

 

Date: February 22, 2013

 

 

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

 

President & Chief Executive Officer

 

 

 

Date: February 22, 2013

 

 

 

By

/s/ Lawrence G. Altadonna

 

Treasurer, Principal Financial & Accounting Officer

 

 

 

Date: February 22, 2013

 

 

 

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