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

 

FORM N-Q

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act file number

811-22673

 

PIMCO Dynamic Income Fund

(Exact name of registrant as specified in charter)

 

1633 Broadway New York, New York

 

10019

(Address of principal executive offices)

 

(Zip code)

 

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

(Name and address of agent for service)

 

Registrant’s telephone number, including area code:

212-739-3371

 

 

Date of fiscal year end:

March 31, 2014

 

 

Date of reporting period:

June 30, 2013

 

 


 

Item 1. Schedule of Investments

 

PIMCO Dynamic Income Fund Schedule of Investments

June 30, 2013 (unaudited)

 

Principal
Amount
(000s)

 

 

 

Value*

 

MORTGAGE-BACKED SECURITIES - 103.4%

 

 

 

£13,081

 

Alba PLC, 0.769%, 12/15/38 CMO (m)

 

$13,932,878

 

 

 

American Home Mortgage Assets Trust, CMO,

 

 

 

$12,484

 

0.483%, 8/25/37 (m)

 

3,203,116

 

14,741

 

6.25%, 6/25/37

 

9,703,976

 

 

 

American Home Mortgage Investment Trust, CMO (m),

 

 

 

10,058

 

0.493%, 9/25/45 (k)

 

8,876,487

 

9,739

 

0.793%, 2/25/44

 

2,584,846

 

 

 

Banc of America Alternative Loan Trust, CMO,

 

 

 

353

 

0.593%, 5/25/35 (m)

 

251,238

 

845

 

6.00%, 6/25/37

 

644,928

 

330

 

6.00%, 6/25/46

 

270,659

 

 

 

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

 

 

 

15,300

 

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

 

9,841,717

 

34,515

 

0.402%, 4/20/47 (k)

 

25,140,691

 

4,612

 

0.642%, 2/20/35

 

1,255,412

 

533

 

2.894%, 1/20/47

 

418,674

 

865

 

3.032%, 1/25/35

 

431,025

 

4,772

 

Banc of America Funding Trust, 2.869%, 3/20/36 CMO (m)

 

3,955,829

 

 

 

Banc of America Mortgage Trust, CMO (m),

 

 

 

471

 

2.997%, 10/20/46

 

281,998

 

2,565

 

3.03%, 1/25/36

 

2,300,034

 

 

 

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

 

 

 

13,000

 

5.383%, 12/15/16 (k)

 

13,691,288

 

38,264

 

5.665%, 2/17/51 (g)(m)

 

40,187,381

 

€4,102

 

Bancaja 8 Fondo de Titulizacion de Activos, 0.317%, 10/25/37 CMO (m)

 

4,463,746

 

 

 

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

 

 

 

$7,018

 

2.328%, 7/26/45 (b)(l)(m) (acquisition cost - $5,649,452; purchased 3/13/13)

 

5,788,376

 

14,380

 

2.759%, 5/26/36 (m)

 

9,910,061

 

8,051

 

4.997%, 3/26/35 (m)

 

6,970,067

 

26,855

 

5.012%, 4/26/37 (m)

 

14,295,387

 

6,052

 

5.159%, 10/26/35 (m)

 

5,271,158

 

6,327

 

5.251%, 6/26/47 (m)

 

5,137,392

 

12,685

 

5.50%, 12/26/35

 

10,186,664

 

4,770

 

5.604%, 7/26/35 (m)

 

4,054,644

 

8,578

 

6.00%, 8/26/37 (m)

 

4,943,686

 

12,515

 

Bear Stearns ALT-A Trust, 0.393%, 2/25/34 CMO (k)(m)

 

7,991,729

 

€29,982

 

Celtic Residential Irish Mortgage Securitisation No. 9 PLC, 0.359%, 11/13/47 CMO (m)

 

32,239,108

 

10,749

 

Celtic Residential Irish Mortgage Securitisation No. 10 PLC, 0.45%, 4/10/48 CMO (m)

 

11,293,564

 

8,614

 

Celtic Residential Irish Mortgage Securitisation No. 11 PLC, 0.468%, 12/14/48 CMO (m)

 

9,530,494

 

5,300

 

Celtic Residential Irish Mortgage Securitisation No. 12 Ltd., 0.409%, 3/18/49 CMO (m)

 

5,346,525

 

$5,384

 

Chase Mortgage Finance Trust, 5.005%, 3/25/37 CMO (k)(m)

 

4,435,476

 

 

 

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

 

 

 

1,781

 

2.57%, 3/25/36

 

1,608,134

 

10,125

 

3.027%, 9/25/37 (k)

 

8,080,691

 

 

 

Countrywide Alternative Loan Trust, CMO,

 

 

 

28,225

 

0.383%, 9/25/46 (k)(m)

 

18,485,003

 

30,943

 

0.764%, 12/25/35 IO

 

422,868

 

32,657

 

0.923%, 11/25/35 (k)(m)

 

26,242,301

 

15,538

 

1.018%, 11/25/46 (k)(m)

 

9,229,470

 

24,604

 

1.545%, 12/25/35 IO

 

1,757,650

 

544

 

5.50%, 2/25/20

 

544,805

 

5,443

 

5.50%, 7/25/35 (k)

 

4,958,292

 

19,038

 

5.50%, 12/25/35 (k)

 

15,485,010

 

364

 

5.50%, 1/25/36

 

329,525

 

5,170

 

5.50%, 4/25/37 (k)

 

3,854,528

 

509

 

5.75%, 1/25/36

 

446,129

 

17,997

 

5.75%, 1/25/37 (k)

 

14,094,821

 

5,963

 

5.75%, 4/25/37 (k)

 

5,103,585

 

880

 

6.00%, 6/25/36

 

753,951

 

361

 

6.00%, 12/25/36

 

261,479

 

4,671

 

6.00%, 1/25/37 (k)

 

4,009,421

 

1,625

 

6.00%, 2/25/37

 

1,221,007

 

12,139

 

6.00%, 4/25/37 (k)

 

9,115,094

 

12,044

 

6.00%, 5/25/37 (k)

 

9,346,913

 

5,306

 

6.00%, 7/25/37 (k)

 

4,691,652

 

21,732

 

6.957%, 7/25/36 IO (m)

 

6,038,632

 

2,325

 

37.842%, 5/25/37 (b)(m)

 

4,338,129

 

 

 

Countrywide Home Loan Mortgage Pass-Through Trust, CMO,

 

 

 

416

 

0.493%, 3/25/35 (k)(m)

 

361,734

 

4,284

 

0.533%, 3/25/36 (m)

 

1,918,564

 

25

 

5.00%, 11/25/35

 

22,215

 

22,870

 

5.452%, 6/25/47 (k)(m)

 

20,202,550

 

382

 

5.50%, 12/25/34

 

326,932

 

 


 

PIMCO Dynamic Income Fund Schedule of Investments

June 30, 2013 (unaudited)

 

$185

 

5.50%, 11/25/35

 

$166,749

 

749

 

6.00%, 7/25/37

 

665,666

 

10

 

6.00%, 8/25/37

 

8,649

 

10,261

 

6.00%, 8/25/37 (k)

 

9,245,824

 

540

 

6.00%, 1/25/38

 

471,147

 

 

 

Credit Suisse Mortgage Capital Certificates, CMO,

 

 

 

3,000

 

1.413%, 10/15/21 (a)(d)(m)

 

2,936,865

 

11,208

 

2.845%, 7/26/49 (a)(d)(m)

 

6,515,098

 

27,326

 

3.292%, 4/26/35 (a)(d)(m)

 

22,074,492

 

88,639

 

4.587%, 2/27/47 (a)(d)(k)(m)

 

65,436,439

 

14,410

 

4.954%, 7/26/37 (a)(d)(k)(m)

 

7,932,454

 

12,950

 

5.569%, 2/15/39 (k)(m)

 

13,845,305

 

10,000

 

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

 

10,913,260

 

24,017

 

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

 

9,405,653

 

5,239

 

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

 

3,754,732

 

 

 

Credit Suisse Mortgage Capital Certificates Mortgage-Backed Trust, CMO,

 

 

 

13,488

 

5.896%, 4/25/36

 

12,612,061

 

8,440

 

6.50%, 10/25/21 (k)

 

7,175,453

 

19,458

 

6.50%, 7/26/36 (k)

 

9,691,422

 

2,627

 

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

 

2,313,999

 

 

 

Diversity Funding Ltd., CMO (m),

 

 

 

£8,846

 

2.221%, 2/10/46

 

12,381,112

 

1,310

 

2.571%, 2/10/46

 

1,218,793

 

1,193

 

3.071%, 2/10/46

 

752,550

 

1,170

 

3.571%, 2/10/46

 

281,951

 

702

 

4.821%, 2/10/46

 

79,967

 

234

 

5.321%, 2/10/46 (f)

 

17,652

 

247

 

5.421%, 2/10/46 (f)

 

14,875

 

€32,766

 

Emerald Mortgages No. 4 PLC, 0.24%, 7/15/48 CMO (m)

 

32,893,540

 

2,457

 

European Property Capital 3 EPC, 0.799%, 5/22/15 CMO (m)

 

1,738,585

 

$11,100

 

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

 

11,260,415

 

 

 

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

 

 

 

14,107

 

2.297%, 8/25/35

 

2,922,931

 

2,894

 

6.907%, 11/25/36 IO (b)

 

881,108

 

1,342

 

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

 

1,232,345

 

7,958

 

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

 

8,205,550

 

5,572

 

Greenpoint Mortgage Funding Trust, 0.393%, 12/25/46 CMO (m)

 

2,361,335

 

 

 

GSR Mortgage Loan Trust, CMO,

 

 

 

390

 

3.15%, 11/25/35 (k)(m)

 

357,841

 

—

(h)

5.50%, 5/25/36

 

305

 

1,864

 

6.50%, 8/25/36 (m)

 

1,492,168

 

 

 

Harborview Mortgage Loan Trust, CMO (m),

 

 

 

28

 

0.382%, 1/19/38

 

22,531

 

28,448

 

0.432%, 3/19/36 (k)

 

19,324,279

 

13,946

 

0.442%, 1/19/36 (k)

 

9,065,449

 

16,220

 

0.842%, 6/20/35 (k)

 

7,929,665

 

3,684

 

1.092%, 6/20/35

 

905,211

 

566

 

Impac CMB Trust, 0.913%, 10/25/34 CMO (m)

 

459,711

 

29

 

Impac Secured Assets Trust, 0.303%, 5/25/37 CMO (m)

 

18,461

 

8,966

 

IndyMac IMSC Mortgage Loan Trust, 2.859%, 6/25/37 CMO (k)(m)

 

6,487,374

 

159

 

IndyMac INDA Mortgage Loan Trust, 5.271%, 3/25/37 CMO (m)

 

135,213

 

 

 

IndyMac Index Mortgage Loan Trust, CMO (m),

 

 

 

7,394

 

0.393%, 11/25/46 (k)

 

3,760,410

 

4,700

 

0.443%, 2/25/37

 

2,293,722

 

688

 

0.493%, 7/25/36

 

538,341

 

753

 

2.581%, 2/25/35

 

628,389

 

 

 

JPMorgan Alternative Loan Trust, CMO (k),

 

 

 

55,863

 

0.393%, 6/25/37 (m)

 

28,856,506

 

13,255

 

5.85%, 11/25/36 (m)

 

11,607,187

 

10,000

 

5.96%, 12/25/36

 

8,340,250

 

5,000

 

6.31%, 8/25/36

 

3,702,390

 

75,398

 

JPMorgan Chase Commercial Mortgage Securities Corp., 2.206%, 6/15/45 CMO, IO (k)(m)

 

8,014,094

 

 

 

JPMorgan Mortgage Trust, CMO (m),

 

 

 

11,431

 

2.781%, 6/25/37 (k)

 

9,104,747

 

9,294

 

5.462%, 4/25/37 (k)

 

8,325,186

 

2,594

 

5.679%, 10/25/36

 

2,317,838

 

8,782

 

KGS Alpha SBA, 1.055%, 4/25/38 CMO (a)(b)(d)(g)(l) (acquisition cost - $456,257; purchased 10/18/12)

 

472,928

 

 

 

Lavendar Trust, CMO (a)(d),

 

 

 

7,569

 

5.50%, 9/26/35

 

5,245,388

 

18,331

 

6.00%, 11/26/36

 

11,910,484

 

10,913

 

LB Commercial Mortgage Trust, 6.081%, 7/15/44 CMO (k)(m)

 

12,096,899

 

 

 

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

 

 

 

298,604

 

0.26%, 2/15/40 IO (a)(d)

 

4,095,808

 

7,751

 

5.452%, 9/15/39

 

8,149,324

 

 

 

Lehman Mortgage Trust, CMO,

 

 

 

224

 

5.50%, 11/25/35

 

219,178

 

2,431

 

6.00%, 8/25/36

 

2,070,202

 

1,608

 

6.00%, 9/25/36

 

1,276,596

 

11,642

 

6.50%, 9/25/37 (k)

 

10,092,360

 

49,139

 

7.25%, 9/25/37 (k)

 

25,843,945

 

 

 

Lehman XS Trust, CMO (m),

 

 

 

 


 

PIMCO Dynamic Income Fund Schedule of Investments

June 30, 2013 (unaudited)

 

$36,910

 

0.473%, 7/25/37

 

$7,698,935

 

5,531

 

0.693%, 7/25/47

 

635,438

 

 

 

MASTR Adjustable Rate Mortgages Trust, CMO (m),

 

 

 

32,227

 

0.393%, 5/25/47 (k)

 

21,020,684

 

6,224

 

0.533%, 5/25/47

 

1,995,649

 

 

 

MASTR Alternative Loans Trust, CMO (m),

 

 

 

28,195

 

0.543%, 3/25/36 (k)

 

5,922,684

 

36,034

 

0.593%, 3/25/36

 

7,672,049

 

664

 

MASTR Asset Securitization Trust, 5.296%, 11/25/33 CMO (a)(d)(m)

 

18,215

 

 

 

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

 

 

 

11,082

 

2.611%, 1/26/35 (m)

 

9,746,611

 

6,285

 

2.611%, 2/26/37 (m)

 

4,722,996

 

26,634

 

2.854%, 7/26/35 (k)(m)

 

17,452,027

 

4,998

 

5.292%, 9/26/35 (m)

 

3,989,992

 

7,969

 

6.00%, 4/26/36

 

4,319,757

 

 

 

Newgate Funding, CMO (m),

 

 

 

£2,200

 

0.71%, 12/15/50

 

2,384,088

 

€2,750

 

1.46%, 12/15/50

 

2,948,643

 

5,250

 

1.71%, 12/15/50

 

5,176,497

 

£4,150

 

1.759%, 12/15/50

 

5,017,993

 

 

 

Nomura Asset Acceptance Corp., CMO (k),

 

 

 

$1,047

 

5.82%, 3/25/47

 

1,052,219

 

17,097

 

6.138%, 3/25/47

 

17,186,027

 

32,601

 

6.347%, 3/25/47

 

32,771,558

 

1,142

 

NovaStar Mortgage-Backed Notes, 0.383%, 9/25/46 CMO (m)

 

911,551

 

 

 

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

 

 

 

20,150

 

2.59%, 7/26/45 (m)

 

17,971,779

 

10,153

 

3.072%, 2/26/36 (k)(m)

 

3,989,103

 

9,689

 

6.00%, 3/26/36

 

6,886,662

 

18,463

 

6.24%, 11/21/35 (k)(m)

 

11,313,541

 

32,153

 

6.804%, 11/26/35 (k)(m)

 

19,832,064

 

 

 

Residential Accredit Loans, Inc., CMO,

 

 

 

14,969

 

0.373%, 7/25/36 (k)(m)

 

9,583,631

 

32,614

 

0.383%, 5/25/37 (k)(m)

 

24,556,381

 

12,584

 

1.168%, 1/25/46 (k)(m)

 

8,576,280

 

1,980

 

4.224%, 1/25/36 (m)

 

1,507,616

 

1,782

 

6.00%, 8/25/35

 

1,559,923

 

1,008

 

6.00%, 6/25/36

 

790,473

 

9,665

 

6.00%, 8/25/36 (k)

 

7,594,346

 

22,199

 

7.00%, 10/25/37 (k)

 

18,705,159

 

 

 

Residential Asset Securitization Trust, CMO,

 

 

 

2,099

 

5.50%, 7/25/35

 

1,943,714

 

5,770

 

6.25%, 8/25/37

 

3,189,033

 

 

 

Residential Funding Mortgage Securities I, CMO,

 

 

 

542

 

5.85%, 11/25/35

 

515,117

 

7,522

 

5.906%, 8/25/36 (k)(m)

 

6,743,467

 

4,292

 

6.00%, 4/25/37

 

3,908,421

 

2,601

 

Sequoia Mortgage Trust, 0.562%, 7/20/36 CMO (m)

 

1,588,118

 

£2,722

 

Southern Pacific Securities PLC, 4.006%, 12/10/42 CMO (m)

 

3,787,322

 

 

 

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

 

 

 

$6,888

 

4.516%, 8/25/36 (k)

 

4,368,587

 

15,477

 

4.968%, 2/25/37 (k)

 

10,740,963

 

5,594

 

5.163%, 4/25/47 (k)

 

4,244,480

 

2,136

 

5.271%, 7/25/35

 

1,857,469

 

 

 

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

 

 

 

4,098

 

0.363%, 3/25/37

 

532,404

 

30,905

 

0.383%, 7/25/46 (k)

 

23,331,215

 

 

 

Suntrust Alternative Loan Trust, CMO (m),

 

 

 

28,487

 

0.543%, 4/25/36 (k)

 

9,670,421

 

7,699

 

6.957%, 4/25/36 IO

 

2,417,812

 

 

 

TBW Mortgage-Backed Trust, CMO (k),

 

 

 

15,662

 

5.80%, 3/25/37

 

8,803,280

 

14,515

 

6.12%, 3/25/37

 

8,153,131

 

32,972

 

6.50%, 7/25/36

 

17,288,062

 

 

 

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

 

 

 

531

 

0.608%, 6/25/44

 

447,382

 

21,189

 

0.919%, 6/25/47 (k)

 

5,087,862

 

38,451

 

0.979%, 7/25/47 (k)

 

30,904,177

 

893

 

1.049%, 10/25/46

 

668,978

 

3,445

 

1.149%, 7/25/46

 

2,632,746

 

110

 

1.174%, 2/25/46

 

99,582

 

1,645

 

2.22%, 7/25/47 (k)

 

1,198,252

 

10,637

 

4.887%, 3/25/37 (k)

 

9,477,691

 

762

 

5.011%, 2/25/37

 

697,608

 

 

 

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

 

 

 

22,577

 

0.433%, 1/25/47 (m)

 

13,061,190

 

9,096

 

6.00%, 4/25/37

 

7,646,142

 

1,316

 

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

 

1,176,164

 

28,600

 

Wells Fargo Mortgage Loan Trust, 5.592%, 4/27/36 CMO (a)(d)(m)

 

26,429,181

 

 

 

Wells Fargo Mortgage-Backed Securities Trust, CMO,

 

 

 

1,347

 

2.644%, 10/25/35 (m)

 

1,320,461

 

 


 

PIMCO Dynamic Income Fund Schedule of Investments

June 30, 2013 (unaudited)

 

$847

 

6.00%, 7/25/36

 

$827,841

 

1,741

 

6.00%, 9/25/36

 

1,681,096

 

529

 

6.00%, 4/25/37

 

509,882

 

1,287

 

6.00%, 6/25/37 (k)

 

1,247,835

 

2,536

 

6.00%, 8/25/37 (k)

 

2,483,343

 

179

 

6.00%, 8/25/37

 

177,300

 

Total Mortgage-Backed Securities (cost-$1,255,055,602)

 

1,435,017,996

 

 

 

 

 

 

 

CORPORATE BONDS & NOTES - 34.5%

 

 

 

Banking - 11.0%

 

 

 

9,100

 

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

 

9,771,125

 

12,500

 

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

 

12,093,750

 

€7,100

 

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

 

9,462,865

 

3,000

 

Citigroup, Inc., 1.469%, 11/30/17 (k)(m)

 

3,699,107

 

15,800

 

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

 

22,211,346

 

 

 

Eksportfinans ASA (k),

 

 

 

$700

 

2.00%, 9/15/15

 

675,500

 

1,700

 

5.50%, 5/25/16

 

1,779,475

 

1,900

 

5.50%, 6/26/17

 

1,976,000

 

6,000

 

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

 

6,049,362

 

€15,800

 

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

 

20,375,825

 

$36,500

 

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

 

42,433,258

 

 

 

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

 

 

 

€5,446

 

0.95%, 6/8/15

 

6,826,498

 

$5,000

 

0.974%, 3/9/15

 

4,808,250

 

€7,900

 

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

 

10,782,714

 

 

 

 

 

152,945,075

 

Building Materials - 0.5%

 

 

 

 

 

Corporation GEO S.A.B. de C.V. (a)(d)(f),

 

 

 

$300

 

8.875%, 3/27/22

 

135,000

 

10,530

 

9.25%, 6/30/20

 

4,738,500

 

5,000

 

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

 

1,750,000

 

5,000

 

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

 

1,150,000

 

 

 

 

 

7,773,500

 

Chemicals - 2.0%

 

 

 

25,980

 

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

 

27,733,650

 

 

 

 

 

 

 

Coal - 0.5%

 

 

 

 

 

Mongolian Mining Corp. (k),

 

 

 

5,900

 

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

 

5,044,500

 

1,600

 

8.875%, 3/29/17

 

1,368,000

 

 

 

 

 

6,412,500

 

Diversified Financial Services - 6.7%

 

 

 

12,900

 

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

 

9,804,000

 

9,600

 

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

 

9,941,194

 

€900

 

Cedulas TDA 1 Fondo de Titulizacion de Activos, 0.27%, 4/8/16 (m)

 

1,066,625

 

31,700

 

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

 

30,412,864

 

$10,000

 

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

 

11,319,060

 

4,181

 

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

 

4,076,475

 

3,500

 

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

 

3,917,182

 

 

 

SLM Corp. (k),

 

 

 

5,000

 

6.00%, 1/25/17

 

5,250,000

 

6,245

 

7.25%, 1/25/22

 

6,588,475

 

 

 

Springleaf Finance Corp. (k),

 

 

 

2,300

 

6.50%, 9/15/17

 

2,231,000

 

5,400

 

6.90%, 12/15/17

 

5,325,750

 

15,412

 

Toll Road Investors Partnership II L.P., zero coupon, 2/15/45 (MBIA) (a)(b)(d)(l) (acquisition cost - $2,538,357; purchased 11/20/12)

 

2,568,115

 

 

 

 

 

92,500,740

 

Electric Utilities - 0.6%

 

 

 

5,000

 

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

 

2,831,250

 

 

 

Energy Future Intermediate Holding Co. LLC (k),

 

 

 

3,100

 

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

 

3,162,000

 

1,700

 

10.00%, 12/1/20

 

1,870,000

 

 

 

 

 

7,863,250

 

Engineering & Construction - 0.9%

 

 

 

11,848

 

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

 

12,114,392

 

 


 

PIMCO Dynamic Income Fund Schedule of Investments

June 30, 2013 (unaudited)

 

Food & Beverage - 0.5%

 

 

 

$2,500

 

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

 

$2,572,000

 

5,000

 

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

 

4,987,500

 

 

 

 

 

7,559,500

 

Household Products/Wares - 1.7%

 

 

 

8,236

 

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

 

7,597,710

 

 

 

Reynolds Group Issuer, Inc. (k),

 

 

 

6,000

 

6.875%, 2/15/21

 

6,315,000

 

9,000

 

7.875%, 8/15/19

 

9,855,000

 

 

 

 

 

23,767,710

 

Insurance - 1.1%

 

 

 

£8,500

 

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

 

15,242,222

 

 

 

 

 

 

 

Lodging - 0.3%

 

 

 

$12,000

 

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

 

3,870,000

 

 

 

 

 

 

 

Media - 0.6%

 

 

 

7,800

 

Radio One, Inc., 12.50%, 5/24/16

 

7,897,500

 

 

 

 

 

 

 

Miscellaneous Manufacturing - 0.0%

 

 

 

238

 

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

 

178,500

 

 

 

 

 

 

 

Oil & Gas - 1.5%

 

 

 

5,000

 

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

 

5,625,000

 

5,000

 

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

 

5,337,500

 

16,700

 

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

 

5,427,500

 

7,000

 

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

 

4,165,000

 

 

 

 

 

20,555,000

 

Pipelines - 1.6%

 

 

 

15,900

 

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

 

14,071,500

 

9,740

 

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

 

8,425,100

 

 

 

 

 

22,496,600

 

Retail - 2.6%

 

 

 

£1,950

 

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

 

3,047,413

 

500

 

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

 

748,703

 

3,775

 

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

 

5,756,243

 

12,120

 

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

 

16,037,500

 

6,800

 

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

 

10,753,570

 

 

 

 

 

36,343,429

 

Software - 0.7%

 

 

 

 

 

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

 

 

 

$5,000

 

7.375%, 6/15/19

 

5,162,500

 

5,000

 

8.75%, 1/15/22 PIK

 

5,162,500

 

 

 

 

 

10,325,000

 

Telecommunications - 1.1%

 

 

 

8,500

 

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

 

8,308,750

 

7,000

 

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

 

7,262,500

 

 

 

 

 

15,571,250

 

Transportation - 0.6%

 

 

 

6,500

 

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

 

6,548,750

 

2,850

 

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

 

1,895,250

 

 

 

 

 

8,444,000

 

Total Corporate Bonds & Notes (cost-$457,586,729)

 

479,593,818

 

 

 

 

 

 

 

ASSET-BACKED SECURITIES - 25.1%

 

 

 

 

 

Bear Stearns Asset-Backed Securities Trust (m),

 

 

 

4,000

 

0.743%, 6/25/36

 

2,989,562

 

566

 

2.595%, 10/25/36

 

361,636

 

2,871

 

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

 

1,772,019

 

 

 

Citigroup Mortgage Loan Trust, Inc.,

 

 

 

3,768

 

5.811%, 3/25/36

 

2,580,794

 

648

 

5.852%, 5/25/36

 

406,952

 

 

 

Conseco Finance Securitizations Corp.,

 

 

 

10,664

 

7.96%, 5/1/31

 

8,796,300

 

17,967

 

7.97%, 5/1/32 (k)

 

13,036,533

 

 


 

PIMCO Dynamic Income Fund Schedule of Investments

June 30, 2013 (unaudited)

 

$31,610

 

8.20%, 5/1/31 (k)

 

$27,217,287

 

9,740

 

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

 

8,852,754

 

7,000

 

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

 

7,296,695

 

 

 

Countrywide Asset-Backed Certificates,

 

 

 

15,000

 

0.363%, 6/25/47 (k)(m)

 

11,925,630

 

5,556

 

0.393%, 4/25/36 (m)

 

4,785,471

 

35

 

0.993%, 3/25/33 (m)

 

31,771

 

2,405

 

1.573%, 12/25/32 (m)

 

2,019,914

 

1,305

 

4.915%, 2/25/36 (m)

 

1,269,248

 

2,613

 

5.348%, 7/25/36 (m)

 

2,629,328

 

4,000

 

5.505%, 4/25/36 (k)(m)

 

3,936,336

 

4,280

 

5.588%, 8/25/36 (m)

 

4,122,744

 

4,769

 

5.657%, 3/25/34 (m)

 

5,306,928

 

550

 

5.859%, 10/25/46

 

375,781

 

10,800

 

Credit-Based Asset Servicing and Securitization LLC, 5.938%, 10/25/36 (a)(d)

 

9,029,318

 

12,502

 

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

 

10,737,160

 

 

 

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

 

 

 

273

 

0.643%, 12/25/42

 

237,496

 

13,399

 

0.663%, 4/25/42 (k)

 

11,406,265

 

1,658

 

2.443%, 4/25/42

 

785,282

 

11,257

 

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

 

11,044,419

 

4,523

 

GSAA Trust, 6.205%, 3/25/46

 

4,544,365

 

1,948

 

Home Equity Mortgage Loan Asset-Backed Trust, 6.577%, 12/25/31

 

903,210

 

34,106

 

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

 

33,159,109

 

12,360

 

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

 

10,731,250

 

292

 

Long Beach Mortgage Loan Trust, 1.243%, 2/25/34 (m)

 

265,020

 

27,500

 

Morgan Stanley Home Equity Loan Trust, 0.423%, 4/25/37 (k)(m)

 

15,529,910

 

 

 

Oakwood Mortgage Investors, Inc.,

 

 

 

9,555

 

5.92%, 9/15/17 (m)

 

4,690,944

 

5,831

 

6.61%, 2/15/21 (m)

 

3,162,182

 

26,360

 

7.40%, 7/15/30 (k)(m)

 

18,693,322

 

7,575

 

7.405%, 12/15/30 (m)

 

4,547,727

 

6,123

 

7.84%, 11/15/29 (k)(m)

 

6,025,744

 

2,484

 

8.49%, 10/15/30

 

585,609

 

 

 

Popular ABS Mortgage Pass-Through Trust,

 

 

 

3,663

 

1.443%, 8/25/35 (m)

 

1,882,282

 

8,422

 

4.955%, 7/25/35 (k)

 

6,712,450

 

39

 

Renaissance Home Equity Loan Trust, 0.693%, 12/25/33 (m)

 

39,170

 

11,872

 

Residential Asset Mortgage Products, Inc., 1.168%, 4/25/34 (k)(m)

 

9,260,622

 

9,594

 

Residential Asset Securities Corp., 0.353%, 6/25/36 (k)(m)

 

8,833,348

 

7,800

 

Sorin Real Estate CDO IV Ltd., 0.806%, 10/28/46 (a)(d)(g)(m)

 

3,032,673

 

2,354

 

Soundview Home Equity Loan Trust, 5.648%, 10/25/36

 

2,033,838

 

 

 

South Coast Funding VII Ltd. (a)(d)(g)(m),

 

 

 

196,284

 

0.54%, 1/6/41 CDO

 

52,872,090

 

5,942

 

0.54%, 1/6/41 CDO (b)(l) (acquisition cost - $1,173,544; purchased 11/8/12)

 

1,573,648

 

8,564

 

Structured Asset Securities Corp., 6.193%, 5/25/32 (k)(m)

 

4,061,059

 

1,763

 

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

 

1,928,805

 

Total Asset-Backed Securities (cost-$313,763,666)

 

348,022,000

 

 

 

 

 

 

 

SENIOR LOANS (a)(c) - 7.2%

 

 

 

Auto Components - 0.9%

 

 

 

11,875

 

Keystone Automotive Operations, Inc., 9.75% - 10.25%, 2/15/16, Term B (b)(l) (acquisition cost - $11,780,913; purchased 7/19/12 - 8/8/12)

 

12,171,519

 

 

 

 

 

 

 

Financial Services - 1.1%

 

 

 

14,652

 

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

 

14,691,279

 

 

 

 

 

 

 

Food & Beverage - 0.4%

 

 

 

5,193

 

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

 

5,177,254

 

 

 

 

 

 

 

Hotels/Gaming - 1.1%

 

 

 

15,200

 

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

 

15,808,000

 

 

 

 

 

 

 

Real Estate - 3.0%

 

 

 

 

 

Toys R Us Properties Ltd. (g),

 

 

 

£20,000

 

5.95%, 2/14/20, Term A

 

30,511,009

 

5,000

 

8.25%, 2/14/20, Term B

 

7,627,752

 

2,500

 

10.45%, 2/14/20, Term C

 

3,830,143

 

 

 

 

 

41,968,904

 

Telecommunications - 0.7%

 

 

 

$9,975

 

Univision Communications, Inc., 4.50%, 3/1/20

 

9,901,973

 

Total Senior Loans (cost-$96,889,423)

 

99,718,929

 

 


 

PIMCO Dynamic Income Fund Schedule of Investments

June 30, 2013 (unaudited)

 

U.S. GOVERNMENT AGENCY SECURITIES (m) - 3.7%

 

 

 

 

 

Fannie Mae, CMO,

 

 

 

$22,096

 

5.727%, 7/25/41 IO

 

$2,913,191

 

32,390

 

5.877%, 10/25/40 IO

 

4,628,704

 

2,238

 

6.107%, 1/25/38 IO

 

346,155

 

1,183

 

6.157%, 12/25/37 IO

 

168,564

 

2,285

 

6.207%, 12/25/37 IO

 

376,668

 

612

 

6.217%, 6/25/37 IO

 

69,513

 

69,413

 

6.247%, 3/25/37 - 4/25/37 IO

 

13,031,186

 

2,580

 

6.257%, 4/25/37 IO

 

448,307

 

657

 

6.307%, 2/25/37 IO

 

85,941

 

2,065

 

6.327%, 9/25/37 IO

 

304,810

 

66,801

 

6.367%, 6/25/41 IO

 

10,008,710

 

488

 

6.407%, 11/25/35 IO

 

80,522

 

612

 

6.457%, 11/25/36 IO

 

99,064

 

2,055

 

6.527%, 6/25/37 IO

 

356,734

 

5,878

 

6.557%, 10/25/35 IO

 

1,002,542

 

5,194

 

6.577%, 5/25/37 IO

 

933,664

 

5,812

 

6.607%, 11/25/36 IO

 

1,059,105

 

6,076

 

6.787%, 3/25/38 IO

 

1,404,737

 

4,703

 

6.807%, 2/25/38 IO

 

724,180

 

4,096

 

6.907%, 6/25/23 IO

 

743,992

 

5,985

 

11.941%, 1/25/41 (b)

 

7,158,827

 

 

 

Freddie Mac, CMO,

 

 

 

1,041

 

6.218%, 5/15/37 IO

 

147,239

 

7,227

 

6.278%, 7/15/36 IO

 

1,198,341

 

2,766

 

6.388%, 9/15/36 IO

 

392,538

 

6,745

 

6.508%, 4/15/36 IO

 

877,386

 

4,714

 

7.588%, 9/15/36 IO

 

1,350,748

 

602

 

13.969%, 9/15/41 (b)

 

723,660

 

659

 

16.394%, 9/15/34 (b)

 

856,959

 

Total U.S. Government Agency Securities (cost-$54,562,600)

 

51,491,987

 

 

 

 

 

U.S. TREASURY OBLIGATIONS - 3.6%

 

 

 

 

 

U.S. Treasury Notes,

 

 

 

4,100

 

0.25%, 1/31/14 (j)

 

4,103,284

 

700

 

0.25%, 2/28/14 (j)

 

700,561

 

18,000

 

0.25%, 5/31/14

 

18,011,610

 

800

 

0.50%, 11/15/13 (j)

 

801,203

 

2,675

 

0.75%, 12/15/13 (j)

 

2,682,942

 

64

 

1.00%, 1/15/14

 

64,306

 

18,900

 

1.25%, 2/15/14 (j)(k)

 

19,031,412

 

5,162

 

1.25%, 4/15/14 (j)

 

5,206,058

 

Total U.S. Treasury Obligations (cost-$50,596,247)

 

50,601,376

 

 

 

 

 

 

 

Shares

 

 

 

 

 

CONVERTIBLE PREFERRED STOCK - 0.9%

 

 

 

Aerospace & Defense - 0.3%

 

 

 

70,000

 

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

 

4,155,200

 

 

 

 

 

 

 

Electric Utilities - 0.6%

 

 

 

151,700

 

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

 

8,194,834

 

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

 

12,350,034

 

 

 

 

 

 

 

Principal
Amount
(000s)

 

 

 

 

 

SHORT-TERM INVESTMENTS - 8.7%

 

 

 

U.S. Treasury Obligations - 7.2%

 

 

 

$78,187

 

U.S. Treasury Bills, 0.089%-0.155%, 12/12/13-6/26/14 (j)(k)(n)

 

78,105,879

 

 

 

U.S. Treasury Notes,

 

 

 

4,996

 

0.25%, 3/31/14 (j)(k)

 

4,999,512

 

16,300

 

0.25%, 4/30/14 (j)(k)

 

16,311,149

 

300

 

1.75%, 3/31/14

 

303,574

 

Total U.S. Treasury Obligations (cost-$99,717,383)

 

99,720,114

 

 


 

PIMCO Dynamic Income Fund Schedule of Investments

June 30, 2013 (unaudited)

 

Repurchase Agreements - 1.5%

 

 

 

$20,300

 

Credit Suisse Securities (USA) LLC,
dated 6/28/13, 0.17%, due 7/1/13, proceeds $20,300,288; collateralized by U.S. Treasury Notes, 2.125%, due 12/31/15, valued at $20,558,821 including accrued interest (cost-$20,300,000)

 

$20,300,000

 

Total Short-Term Investments (cost-$120,017,383)

 

120,020,114

 

 

 

 

 

 

 

Total Investments (cost-$2,359,951,928) (o)- 187.1%

 

2,596,816,254

 

Liabilities in excess of other assets-(87.1)%

 

(1,208,739,396

)

Net Assets-100.0%

 

$1,388,076,858

 

 


 

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. Securities purchased on a when-issued or delayed-delivery basis are marked to market daily until settlement at the forward settlement date. Centrally cleared swaps are valued at the price determined by the relevant exchange.

 

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

 

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

 

Short-term securities maturing in 60 days or less are valued at amortized cost, if their original term to maturity was 60 days or less, or by amortizing their value on the 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 investments may differ from the value that would be realized if the investments were sold, and these differences could be material. The Fund’s NAV is normally determined as of the close of regular trading (normally, 4:00 p.m. Eastern time) on the NYSE on each day the NYSE is open for business.

 

 

(a)

Private Placement—Restricted as to resale and may not have a readily available market. Securities with an aggregate value of $786,858,846, representing 56.7% 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 June 30, 2013.

 

 

(d)

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

 

 

(e)

When-issued or delayed-delivery. To be settled/delivered after June 30, 2013.

 

 

(f)

In default.

 

 

(g)

Fair-Valued—Securities with an aggregate value of $173,266,733, representing 12.5% of net assets.

 

 

(h)

Principal amount less than $500.

 

 

(i)

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.

 

 

(j)

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

 

 

(k)

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

 

 

(l)

Restricted. The aggregate acquisition cost of such securities is $45,105,513. The aggregate value is $46,329,061, representing 3.3% of net assets.

 

 

(m)

Variable or Floating Rate Security—Securities with an interest rate that changes periodically. The interest rate disclosed reflects the rate in effect on June 30, 2013.

 

 

(n)

Rates reflect the effective yields at purchase date.

 

 

(o)

At June 30, 2013, the cost basis of portfolio securities of $2,359,951,928 was substantially the same for both federal income tax and book purposes. Gross unrealized appreciation was $276,250,595; gross unrealized depreciation was $39,386,269; and net unrealized appreciation was $236,864,326.

 


 

(p)

Credit default swap agreements outstanding at June 30, 2013:

 

OTC sell protection swap agreements(1):

 

Swap Counterparty/
Referenced Debt Issuer

 

Notional
Amount
(000s)(3)

 

Credit
Spread(2)

 

Termination
Date

 

Payments
Received

 

Value(4)

 

Upfront
Premiums
Received

 

Unrealized
Appreciation

 

Bank of America:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Nokia Oyj

 

€2,000

 

4.78

%

6/20/17

 

5.00

%

$24,336

 

$(250,220

)

$274,556

 

Credit Suisse First Boston:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

J.C. Penney Corp., Inc.

 

$1,500

 

7.60

%

3/20/18

 

5.00

%

(142,319

)

(270,000

)

127,681

 

Markit ABX.HE AA 6-2

 

35,764

 

†

 

5/25/46

 

0.17

%

(31,243,253

)

(31,785,459

)

542,206

 

Nokia Oyj

 

€2,500

 

4.78

%

6/20/17

 

5.00

%

30,421

 

(473,437

)

503,858

 

Nokia Oyj

 

1,950

 

4.98

%

9/20/17

 

5.00

%

5,927

 

(421,088

)

427,015

 

Goldman Sachs:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Markit ABX.HE A 6-1

$14,171

 

†

 

7/25/45

 

0.54

%

(12,109,391

)

(12,346,904

)

237,513

 

Morgan Stanley:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

J.C. Penney Corp., Inc.

 

5,000

 

7.02

%

6/20/17

 

5.00

%

(325,869

)

(400,000

)

74,131

 

J.C. Penney Corp., Inc.

 

5,000

 

7.14

%

9/20/17

 

5.00

%

(361,064

)

(412,500

)

51,436

 

 

 

 

 

 

 

 

 

 

 

$(44,121,212

)

$(46,359,608

)

$2,238,396

 

 

†

Credit Spread not quoted for asset-backed securities.

 

 

(1)

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

 

 

(2)

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

 

 

(3)

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

 

 

(4)

The quoted market prices and resulting values for credit default swap agreements serve as an indicator of the status at June 30, 2013 of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement have been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

 

 

(q)

Interest rate swap agreements outstanding at June 30, 2013:

 

Centrally cleared swap agreements:

 

 

 

Notional

 

 

 

Rate Type

 

 

 

Unrealized

 

Broker (Exchange)

 

Amount
(000s)

 

Termination
Date

 

Payments
Made

 

Payments
Received

 

Value

 

Appreciation
(Depreciation)

 

Credit Suisse First Boston (CME)

 

$200,000

 

6/19/20

 

3-Month USD-LIBOR

 

1.25%

 

$(11,643,377

)

$(7,928,377

)

Credit Suisse First Boston (CME)

 

134,000

 

6/20/22

 

4.00%

 

3-Month USD-LIBOR

 

(16,637,269

)

9,579,196

 

Credit Suisse First Boston (CME)

 

184,000

 

3/20/43

 

2.75%

 

3-Month USD-LIBOR

 

23,913,012

 

20,225,489

 

 

 

 

 

 

 

 

 

 

 

$(4,367,634

)

$21,876,308

 

 

(r)

Forward foreign currency contracts outstanding at June 30, 2013:

 

 

 

Counterparty

 

U.S.$ Value on
Origination Date

 

U.S.$ Value
June 30, 2013

 

Unrealized
Appreciation
(Depreciation)

 

Purchased:

 

 

 

 

 

 

 

 

 

77,269,000 British Pound settling 7/2/13

 

Goldman Sachs

 

$119,318,790

 

$117,522,251

 

$(1,796,539

)

2,902,000 British Pound settling 7/2/13

 

Morgan Stanley

 

4,483,383

 

4,413,796

 

(69,587

)

2,943,000 Euro settling 7/2/13

 

Barclays Bank

 

3,804,516

 

3,830,754

 

26,238

 

2,692,000 Euro settling 8/2/13

 

Barclays Bank

 

3,500,830

 

3,504,471

 

3,641

 

1,748,000 Euro settling 8/2/13

 

HSBC Bank

 

2,287,083

 

2,275,563

 

(11,520

)

4,735,000 Euro settling 9/17/13

 

JPMorgan Chase

 

6,350,061

 

6,165,379

 

(184,682

)

113,326,000 Euro settling 7/2/13

 

Morgan Stanley

 

150,449,105

 

147,510,726

 

(2,938,379

)

113,987,000 Euro settling 7/2/13

 

Royal Bank of Scotland

 

149,163,388

 

148,371,116

 

(792,272

)

Sold:

 

 

 

 

 

 

 

 

 

2,726,000 British Pound settling 7/2/13

 

Deutsche Bank

 

4,258,789

 

4,146,109

 

112,680

 

77,269,000 British Pound settling 8/2/13

 

Goldman Sachs

 

119,294,449

 

117,497,525

 

1,796,924

 

1,125,000 British Pound settling 7/2/13

 

Royal Bank of Scotland

 

1,755,654

 

1,711,068

 

44,586

 

76,320,000 British Pound settling 7/2/13

 

UBS

 

115,337,684

 

116,078,870

 

(741,186

)

2,934,000 Euro settling 8/2/13

 

Credit Suisse First Boston

 

3,827,330

 

3,819,509

 

7,821

 

3,604,000 Euro settling 7/2/13

 

Deutsche Bank

 

4,829,998

 

4,691,145

 

138,853

 

113,326,000 Euro settling 7/2/13

 

Morgan Stanley

 

146,383,421

 

147,510,725

 

(1,127,304

)

113,987,000 Euro settling 8/2/13

 

Royal Bank of Scotland

 

149,187,440

 

148,389,354

 

798,086

 

113,326,000 Euro settling 7/2/13

 

UBS

 

150,449,105

 

147,510,726

 

2,938,379

 

 

 

 

 

 

 

 

 

$(1,794,261

)

 


 

(s)

At June 30, 2013, the Fund held $1,390,000 in cash as collateral and pledged cash collateral of $8,912,000 for derivative contracts. Cash collateral held may be invested in accordance with the Fund’s investment strategy.  Cash collateral of $223,000 was segregated in the Fund’s name, at a third party, but cannot be invested by the Fund.

 

 

(t)

Open reverse repurchase agreements at June 30, 2013:

 

Counterparty

 

Rate

 

Trade Date

 

Due Date

 

Principal & Interest

 

Principal

 

Bank of America

 

1.346

%

6/21/13

 

7/22/13

 

$25,487,526

 

$25,478,000

 

Barclays Bank

 

0.31

 

4/2/13

 

7/3/13

 

8,546,261

 

8,539,618

 

 

 

0.40

 

5/29/13

 

7/1/13

 

3,818,308

 

3,816,892

 

 

 

0.40

 

6/28/13

 

9/2/13

 

3,503,055

 

3,503,055

 

 

 

0.40

 

6/28/13

 

10/3/13

 

9,123,787

 

9,123,787

 

 

 

0.50

 

4/4/13

 

7/5/13

 

2,696,291

 

2,693,000

 

 

 

0.50

 

4/8/13

 

7/5/13

 

1,009,176

 

1,008,000

 

 

 

0.55

 

6/20/13

 

9/20/13

 

5,842,943

 

5,841,953

 

 

 

0.65

 

2/27/13

 

2/25/15

 

4,955,069

 

4,944,000

 

 

 

0.65

 

5/3/13

 

8/5/13

 

9,172,761

 

9,163,000

 

 

 

0.65

 

6/21/13

 

9/18/13

 

30,400,488

 

30,395,000

 

 

 

0.65

 

6/25/13

 

9/25/13

 

29,667,214

 

29,664,000

 

 

 

0.71

 

4/4/13

 

7/5/13

 

26,687,237

 

26,641,000

 

 

 

0.71

 

4/8/13

 

7/5/13

 

4,865,063

 

4,857,000

 

 

 

0.71

 

5/28/13

 

8/28/13

 

13,589,106

 

13,580,000

 

 

 

0.75

 

5/28/13

 

8/28/13

 

12,383,766

 

12,375,000

 

 

 

1.00

 

6/24/13

 

9/24/13

 

14,531,463

 

14,528,652

 

 

 

1.10

 

4/16/13

 

7/17/13

 

11,674,047

 

11,647,000

 

 

 

1.276

 

4/26/13

 

7/26/13

 

44,061,835

 

43,959,000

 

 

 

1.279

 

4/9/13

 

7/5/13

 

2,728,020

 

2,719,999

 

 

 

1.35

 

6/20/13

 

9/20/13

 

4,415,171

 

4,413,354

 

 

 

1.523

 

6/18/13

 

9/19/13

 

13,526,435

 

13,519,000

 

 

 

1.523

 

6/19/13

 

9/19/13

 

6,191,367

 

6,188,000

 

 

 

1.523

 

6/24/13

 

9/24/13

 

11,426,383

 

11,423,000

 

 

 

1.524

 

6/7/13

 

9/6/13

 

6,371,467

 

6,365,000

 

 

 

1.525

 

6/5/13

 

9/5/13

 

5,776,355

 

5,770,000

 

 

 

1.526

 

4/25/13

 

7/22/13

 

23,444,395

 

23,378,000

 

 

 

1.526

 

4/26/13

 

7/26/13

 

8,932,922

 

8,908,000

 

 

 

1.526

 

5/1/13

 

8/1/13

 

2,945,597

 

2,938,000

 

Citigroup

 

0.944

 

6/6/13

 

7/11/13

 

6,633,346

 

6,629,000

 

 

 

1.027

 

4/17/13

 

7/17/13

 

6,712,331

 

6,698,000

 

Credit Suisse First Boston

 

0.45

 

6/14/13

 

9/16/13

 

21,047,472

 

21,043,000

 

 

 

1.60

 

5/16/13

 

7/15/13

 

8,675,701

 

8,658,000

 

 

 

1.60

 

5/17/13

 

7/18/13

 

54,999,780

 

54,890,000

 

 

 

1.60

 

5/23/13

 

7/23/13

 

24,740,810

 

24,698,000

 

 

 

1.60

 

5/28/13

 

7/30/13

 

4,947,465

 

4,940,000

 

 

 

1.60

 

5/30/13

 

7/31/13

 

13,914,762

 

13,895,000

 

 

 

1.60

 

6/4/13

 

8/5/13

 

70,865,937

 

70,781,000

 

 

 

1.60

 

6/5/13

 

8/7/13

 

12,646,597

 

12,632,000

 

 

 

1.60

 

6/13/13

 

8/14/13

 

7,174,735

 

7,169,000

 

 

 

1.60

 

6/20/13

 

8/21/13

 

47,985,448

 

47,962,000

 

Deutsche Bank

 

(2.00

)

5/20/13

 

5/17/15

 

8,124,997

 

8,144,000

 

 

 

(1.00

)

3/25/13

 

3/22/15

 

1,656,478

 

1,661,000

 

 

 

0.58

 

5/30/13

 

8/29/13

 

3,905,012

 

3,903,000

 

 

 

0.58

 

6/28/13

 

9/26/13

 

18,485,893

 

18,485,000

 

 

 

0.60

 

6/28/13

 

10/7/13

 

30,263,000

 

30,263,000

 

 

 

0.68

 

4/2/13

 

7/3/13

 

33,189,914

 

33,135,000

 

 

 

0.68

 

4/3/13

 

7/3/13

 

9,544,020

 

9,528,000

 

 

 

0.68

 

4/9/13

 

7/3/13

 

2,002,134

 

1,999,000

 

 

 

0.68

 

5/8/13

 

7/3/13

 

947,966

 

947,000

 

JPMorgan Chase

 

1.476

 

4/25/13

 

7/24/13

 

15,388,155

 

15,346,000

 

Morgan Stanley

 

1.10

 

5/7/13

 

7/12/13

 

12,101,303

 

12,081,000

 

 

 

1.15

 

5/7/13

 

7/12/13

 

7,226,675

 

7,214,000

 

Royal Bank of Canada

 

0.45

 

6/14/13

 

9/17/13

 

9,441,006

 

9,439,000

 

 

 

1.273

 

5/6/13

 

8/6/13

 

15,121,886

 

15,092,000

 

 

 

1.273

 

5/29/13

 

8/29/13

 

17,252,108

 

17,232,000

 

 

 

1.274

 

6/11/13

 

9/11/13

 

12,006,492

 

11,998,000

 

 

 

1.275

 

5/9/13

 

8/9/13

 

73,015,800

 

72,879,000

 

 

 

1.279

 

4/9/13

 

7/8/13

 

38,284,561

 

38,171,999

 

 

 

1.28

 

4/29/13

 

7/29/13

 

16,544,978

 

16,508,000

 

 

 

2.292

 

5/14/13

 

5/14/14

 

63,909,788

 

63,620,000

 

Royal Bank of Scotland

 

0.50

 

5/15/13

 

7/23/13

 

10,763,111

 

10,756,050

 

 

 

1.192

 

6/24/13

 

7/26/13

 

12,643,930

 

12,641,000

 

 

 

1.193

 

5/30/13

 

7/1/13

 

10,072,670

 

10,062,000

 

 

 

1.193

 

6/17/13

 

7/18/13

 

10,690,958

 

10,686,000

 

 

 

1.195

 

6/28/13

 

8/1/13

 

9,852,000

 

9,852,000

 

 

 

1.526

 

4/25/13

 

7/25/13

 

7,041,943

 

7,022,000

 

 

 

1.543

 

6/6/13

 

7/11/13

 

8,768,386

 

8,759,000

 

 

 

1.543

 

6/17/13

 

7/18/13

 

28,965,370

 

28,948,000

 

 

 

1.545

 

6/28/13

 

7/24/13

 

10,837,395

 

10,836,000

 

 

 

1.625

 

6/5/13

 

9/5/13

 

7,813,159

 

7,804,000

 

 

 

1.627

 

4/15/13

 

7/16/13

 

5,585,370

 

5,566,000

 

UBS

 

0.40

 

4/23/13

 

7/23/13

 

44,335,481

 

44,301,353

 

 

 

0.55

 

6/21/13

 

12/20/13

 

21,068,218

 

21,065,000

 

 

 

0.58

 

6/21/13

 

12/20/13

 

4,946,797

 

4,946,000

 

 

 

2.533

 

3/26/13

 

10/4/13

 

3,257,080

 

3,235,000

 

 

 

 

 

 

 

 

 

 

 

$1,211,500,712

 

 

(u)

The weighted average daily balance of reverse repurchase agreements during the three months ended June 30, 2013 was $1,188,063,089 at a weighted average interest rate of 1.22%. Total value of underlying collateral (refer to the Schedule of Investments for positions transferred for the benefit of the counterparty as collateral) for open reverse repurchase agreements at June 30, 2013 was $1,404,933,855.

 

At June 30, 2013, the Fund held U.S. Treasury Obligations and Mortgage-Backed Securities valued at $331,392 and $6,743,466, respectively, and $454,000 in cash as collateral for open reverse repurchase agreements. Cash collateral held may be invested in accordance with the Fund’s investment strategy. Securities held as collateral will not be pledged and are not reflected in the Schedule of Investments.

 

Glossary:

 

ABX.HE - Asset-Backed Securities Index Home Equity

£ - British Pound

CDO - Collateralized Debt Obligation

CME - Chicago Mercantile Exchange

CMO - Collateralized Mortgage Obligation

€ - Euro

FRN - Floating Rate Note

IO - Interest Only

LIBOR - London Inter-Bank Offered Rate

MBIA - insured by MBIA Insurance Corp.

OTC - Over-the-Counter

PIK - Payment-in-Kind

 


 

Fair Value Measurements

 

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

 

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

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

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

 

The 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 credit default swaps are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.

 

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

 

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

 

The valuation techniques used by the Fund to measure fair value during the three months ended June 30, 2013 were intended to maximize the use of observable inputs and to minimize the use of unobservable inputs.

 

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

 

A summary of the inputs used at June 30, 2013 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
6/30/13

 

Investments in Securities - Assets

 

 

 

 

 

 

 

 

 

Mortgage-Backed Securities

 

$—

 

$1,394,357,687

 

$40,660,309

 

$1,435,017,996

 

Corporate Bonds & Notes

 

—

 

479,593,818

 

—

 

479,593,818

 

Asset-Backed Securities

 

—

 

257,384,480

 

90,637,520

 

348,022,000

 

Senior Loans:

 

 

 

 

 

 

 

 

 

Auto Components

 

—

 

—

 

12,171,519

 

12,171,519

 

Hotels/Gaming

 

—

 

—

 

15,808,000

 

15,808,000

 

Real Estate

 

—

 

—

 

41,968,904

 

41,968,904

 

All Other

 

—

 

29,770,506

 

—

 

29,770,506

 

U.S. Government Agency Securities

 

—

 

51,491,987

 

—

 

51,491,987

 

U.S. Treasury Obligations

 

—

 

50,601,376

 

—

 

50,601,376

 

Convertible Preferred Stock

 

12,350,034

 

—

 

—

 

12,350,034

 

Short-Term Investments

 

—

 

120,020,114

 

—

 

120,020,114

 

 

 

12,350,034

 

2,383,219,968

 

201,246,252

 

2,596,816,254

 

Other Financial Instruments* - Assets

 

 

 

 

 

 

 

 

 

Credit Contracts

 

—

 

2,238,396

 

—

 

2,238,396

 

Foreign Exchange Contracts

 

—

 

5,867,208

 

—

 

5,867,208

 

Interest Rate Contracts

 

—

 

29,804,685

 

—

 

29,804,685

 

 

 

—

 

37,910,289

 

—

 

37,910,289

 

Other Financial Instruments* - Liabilities

 

 

 

 

 

 

 

 

 

Foreign Exchange Contracts

 

—

 

(7,661,469

)

—

 

(7,661,469

)

Interest Rate Contracts

 

—

 

(7,928,377

)

—

 

(7,928,377

)

 

 

—

 

(15,589,846

)

—

 

(15,589,846

)

Totals

 

$12,350,034

 

$2,405,540,411

 

$201,246,252

 

$2,619,136,697

 

 

At June 30, 2013, there were no transfers between Levels 1 and 2.

 

A roll forward of fair value measurements using significant unobservable inputs (Level 3) for the three months ended June 30, 2013, was as follows:

 

 

 

Beginning
Balance
3/31/13

 

Purchases

 

Sales

 

Accrued
Discount
(Premiums)

 

Net
Realized
Gain (Loss)

 

Net Change
in Unrealized
Appreciation/
Depreciation

 

Transfers
into
Level 3

 

Transfers
out of
Level 3**

 

Ending
Balance
6/30/13

 

Investments in Securities - Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Mortgage-Backed Securities

 

$59,476,261

 

$—

 

$(14,174

)

$30,851

 

$(401,431

)†

$(1,275,326

)

$—

 

$(17,155,872

)

$40,660,309

 

Asset-Backed Securities

 

54,059,850

 

33,895,758

 

(1,145,961

)

414,994

 

894,737

 

2,518,142

 

—

 

—

 

90,637,520

 

Senior Loans:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Auto Components

 

12,078,543

 

—

 

(25,390

)

6,479

 

618

 

111,269

 

—

 

—

 

12,171,519

 

Hotels/Gaming

 

16,530,000

 

—

 

—

 

12,140

 

—

 

(734,140

)

—

 

—

 

15,808,000

 

Real Estate

 

42,108,179

 

—

 

—

 

—

 

—

 

(139,275

)

—

 

—

 

41,968,904

 

Totals

 

$184,252,833

 

$33,895,758

 

$(1,185,525

)

$464,464

 

$493,924

 

$480,670

 

$—

 

$(17,155,872

)

$201,246,252

 

 

† Relates to paydown shortfall

 

The following table presents additional information about valuation techniques and inputs used for investments that are measured at fair value and categorized within Level 3 at June 30, 2013:

 

 

 

Ending
Balance
at 6/30/13

 

Valuation
Technique Used

 

Unobservable
Inputs

 

Input Values

 

Investments in Securities - Assets

 

 

 

 

 

 

 

 

 

Mortgage-Backed Securities

 

$40,187,381

 

Benchmarked Pricing

 

Security Price Reset

 

$105.03

 

 

 

472,928

 

Interest Only Weighted Average Life Model

 

Security Price Reset

 

$5.39

 

Asset-Backed Securities

 

90,637,520

 

Benchmarked Pricing

 

Security Price Reset

 

$26.48-$38.88

 

Senior Loans

 

41,968,904

 

Benchmarked Pricing

 

Security Price Reset

 

$152.56-$153.21

 

 

 

27,979,519

 

Third-Party Pricing Vendor

 

Single Broker Quote

 

$102.50-$104.00

 

 

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

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

The net change in unrealized appreciation/depreciation of Level 3 investments held at June 30, 2013 was $1,007,566.

 


 

Item 2. Controls and Procedures

 

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

 

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

 

Item 3. Exhibits

 

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

 


 

SIGNATURES

 

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

 

Registrant: PIMCO Dynamic Income Fund

 

 

 

By

/s/ Brian S. Shlissel

 

Brian S. Shlissel,

 

President & Chief Executive Officer

 

 

 

Date: August 16, 2013

 

 

 

By

/s/ Lawrence G. Altadonna

 

Lawrence G. Altadonna,

 

Treasurer, Principal Financial & Accounting Officer

 

 

 

Date: August 16, 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

 

Brian S. Shlissel,

 

President & Chief Executive Officer

 

 

 

Date: August 16, 2013

 

 

 

By

/s/ Lawrence G. Altadonna

 

Lawrence G. Altadonna,

 

Treasurer, Principal Financial & Accounting Officer

 

 

 

Date: August 16, 2013

 

 

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