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

811-21311

 

PIMCO High Income Fund

(Exact name of registrant as specified in charter)

 

1633 Broadway New York, New York

 

10019

(Address of principal executive offices)

 

(Zip code)

 

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

(Name and address of agent for service)

 

Registrant’s telephone number, including area code:

212-739-3371

 

 

Date of fiscal year end:

March 31, 2014

 

 

Date of reporting period:

December 31, 2013

 

 



 

Item 1. Schedule of Investments

 

Schedule of Investments

PIMCO High Income Fund

December 31, 2013 (unaudited)

 

Principal
Amount
(000s)

 

 

 

Value*

 

MUNICIPAL BONDS - 33.2%

 

 

 

California - 11.7%

 

 

 

$2,000

 

Anaheim Redev. Agcy., Tax Allocation, GO, 6.506%, 2/1/31, Ser. D (AGM)

 

$2,072,120

 

1,100

 

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

 

1,156,485

 

35,500

 

Contra Costa Community College Dist., GO, 6.504%, 8/1/34

 

36,610,085

 

 

 

Golden State Tobacco Securitization Corp. Rev.,

 

 

 

200

 

5.00%, 6/1/35, Ser. A (FGIC)

 

195,366

 

4,200

 

5.75%, 6/1/47, Ser. A-1

 

3,115,728

 

22,200

 

Infrastructure & Economic Dev. Bank Rev., 6.486%, 5/15/49

 

23,304,450

 

3,425

 

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

 

3,546,724

 

6,665

 

Los Angeles Department of Water & Power Rev., 7.003%, 7/1/41

 

7,358,760

 

15,100

 

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

 

16,518,947

 

1,500

 

Sacramento Cnty. Rev., 7.25%, 8/1/25

 

1,513,155

 

 

 

San Diego Redev. Agcy., Tax Allocation, Ser. A,

 

 

 

7,500

 

7.625%, 9/1/30

 

7,765,275

 

6,500

 

7.75%, 9/1/40

 

6,723,730

 

320

 

San Diego Tobacco Settlement Funding Corp. Rev., 7.125%, 6/1/32

 

294,378

 

1,800

 

Southern California Public Power Auth. Rev., 5.943%, 7/1/40

 

1,921,320

 

 

 

State, GO,

 

 

 

6,000

 

7.70%, 11/1/30

 

6,956,820

 

30,000

 

7.95%, 3/1/36

 

34,710,600

 

 

 

State Public Works Board Rev.,

 

 

 

32,055

 

7.804%, 3/1/35, Ser. B-2

 

36,633,736

 

7,070

 

8.00%, 3/1/35, Ser. A-2

 

7,902,917

 

3,300

 

State Univ. Rev., 6.484%, 11/1/41

 

3,715,074

 

4,130

 

Univ. of California Rev., 4.858%, 5/15/12, Ser. AD

 

3,578,521

 

 

 

 

 

205,594,191

 

Colorado - 0.1%

 

 

 

1,000

 

Upper Eagle Regional Water Auth. Rev., 6.518%, 12/1/39

 

1,043,810

 

 

 

 

 

 

 

Connecticut - 0.2%

 

 

 

3,400

 

Stratford, GO, 6.00%, 8/15/38

 

3,469,428

 

 

 

 

 

 

 

District of Columbia - 0.5%

 

 

 

7,500

 

Howard Univ. Rev., 7.625%, 10/1/35, Ser. B

 

7,972,950

 

 

 

 

 

 

 

Florida - 1.9%

 

 

 

15,000

 

Broward Cnty. Half-Cent Sales Tax Rev., 6.206%, 10/1/30

 

16,041,150

 

16,500

 

Palm Bay Rev., 6.315%, 10/1/40

 

16,578,045

 

 

 

 

 

32,619,195

 

Georgia - 3.4%

 

 

 

 

 

Municipal Electric Auth. of Georgia Rev.,

 

 

 

5,800

 

6.637%, 4/1/57

 

6,102,412

 

49,900

 

6.655%, 4/1/57

 

52,190,410

 

1,665

 

7.055%, 4/1/57

 

1,665,882

 

 

 

 

 

59,958,704

 

Illinois - 2.6%

 

 

 

 

 

Chicago, GO,

 

 

 

11,000

 

6.257%, 1/1/40

 

9,977,550

 

34,805

 

7.517%, 1/1/40

 

36,218,431

 

 

 

 

 

46,195,981

 

Louisiana - 0.5%

 

 

 

10,000

 

Administrators of the Tulane Educational Fund Rev., 5.00%, 10/1/47, Ser. C

 

8,562,900

 

 

 

 

 

 

 

Nebraska - 1.1%

 

 

 

18,500

 

Public Power Generation Agcy. Rev., 7.242%, 1/1/41

 

19,558,570

 

 

 

 

 

 

 

Nevada - 1.4%

 

 

 

20,000

 

Las Vegas Valley Water Dist., GO, 7.263%, 6/1/34

 

21,573,000

 

3,900

 

North Las Vegas, GO, 6.572%, 6/1/40

 

3,233,568

 

 

 

 

 

24,806,568

 

New Jersey - 0.0%

 

 

 

700

 

Tobacco Settlement Financing Corp. Rev., 5.00%, 6/1/41, Ser. 1-A

 

494,550

 

 

 

 

 

 

 

New York - 2.2%

 

 

 

36,900

 

New York City Transitional Finance Auth. Rev., 5.932%, 11/1/36

 

39,102,561

 

 



 

Schedule of Investments

PIMCO High Income Fund

December 31, 2013 (unaudited)

 

Principal
Amount
(000s)

 

 

 

Value*

 

Ohio - 2.8%

 

 

 

 

 

American Municipal Power, Inc. Rev.,

 

 

 

$3,500

 

5.939%, 2/15/47

 

$3,563,245

 

17,100

 

Comb Hydroelectric Projects, 8.084%, 2/15/50, Ser. B

 

22,573,710

 

20,000

 

Princeton City School Dist., GO, 6.39%, 12/1/47

 

19,785,400

 

4,600

 

State Univ. Rev., 4.80%, 6/1/11, Ser. A

 

3,984,888

 

 

 

 

 

49,907,243

 

Pennsylvania - 2.6%

 

 

 

8,800

 

Economic Dev. Financing Auth. Rev., 6.532%, 6/15/39, Ser. B

 

9,319,816

 

5,115

 

Northampton Cnty. General Purpose Auth. Rev., 5.902%, 11/1/53, Ser. B

 

4,980,987

 

 

 

School Dist. of Philadelphia, GO,

 

 

 

7,000

 

6.615%, 6/1/30

 

6,818,980

 

25,000

 

6.765%, 6/1/40

 

24,229,000

 

 

 

 

 

45,348,783

 

Texas - 1.4%

 

 

 

14,500

 

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

 

16,411,825

 

7,535

 

El Paso Downtown Dev. Corp. Rev., 7.25%, 8/15/43 (b)

 

7,520,533

 

 

 

 

 

23,932,358

 

Washington - 0.5%

 

 

 

8,000

 

Spokane Cnty. Wastewater System Rev., 6.474%, 12/1/29

 

8,738,560

 

 

 

 

 

 

 

Wisconsin - 0.3%

 

 

 

5,690

 

Green Bay Redev. Auth. Rev., 6.15%, 6/1/43 (b)

 

5,625,077

 

Total Municipal Bonds (cost-$583,603,779)

 

582,931,429

 

 

 

 

 

U.S. GOVERNMENT AGENCY SECURITIES (b)- 25.4%

 

 

 

 

 

Fannie Mae,

 

 

 

98,177

 

2.50%, 10/25/22 - 9/25/27, CMO, IO

 

9,819,151

 

55,480

 

3.00%, 6/25/28 - 1/25/42, CMO, IO

 

8,077,965

 

55,721

 

3.50%, 9/25/27 - 2/25/43, CMO, IO

 

9,783,552

 

8,648

 

4.00%, 5/25/20 - 11/25/42, CMO, IO

 

1,371,646

 

30,833

 

4.50%, 1/25/43, CMO, IO (h)

 

8,083,227

 

8,228

 

4.50%, 2/25/43, CMO, IO

 

1,862,330

 

11,120

 

5.885%, 11/25/36, CMO, IO (j)

 

1,425,977

 

70,068

 

5.885%, 10/25/42, CMO, IO (h)(j)

 

15,907,973

 

3,029

 

5.985%, 9/25/42, CMO, IO (j)

 

649,608

 

18,630

 

6.035%, 6/25/42 - 10/25/42, CMO, IO (j)

 

3,885,180

 

54,091

 

6.035%, 9/25/42, CMO, IO (h)(j)

 

10,218,600

 

12,029

 

6.085%, 8/25/41, CMO, IO (j)

 

2,224,799

 

21,191

 

6.385%, 5/25/42, CMO, IO (j)

 

4,509,645

 

99,105

 

6.435%, 4/25/41 - 10/25/43, CMO, IO (j)

 

22,524,591

 

29,217

 

6.465%, 10/25/39, CMO, IO (h)(j)

 

5,493,962

 

7,353

 

6.485%, 3/25/42, CMO, IO (j)

 

1,503,707

 

142,149

 

6.505%, 10/25/17, IO (h)(j)

 

18,562,666

 

322,475

 

6.505%, 1/25/18, IO (e)(h)(j)

 

39,862,677

 

16,412

 

6.515%, 1/25/37, CMO, IO (j)

 

2,784,580

 

5,573

 

6.535%, 1/25/35, CMO, IO (j)

 

864,318

 

28,105

 

11.561%, 8/25/43, CMO (h)(j)

 

28,198,764

 

5,578

 

15.342%, 5/25/43, CMO (h)(j)

 

5,940,749

 

 

 

Freddie Mac,

 

 

 

417,595

 

0.291%, 11/25/17, IO (j)

 

4,206,224

 

414,864

 

0.317%, 7/25/23, IO (j)

 

10,427,606

 

14,395

 

2.083%, 5/25/18, IO (j)

 

1,142,406

 

77,991

 

2.50%, 10/15/27 - 7/15/42, CMO, IO

 

8,877,099

 

54,878

 

2.50%, 1/15/28, CMO, IO (h)

 

6,235,314

 

98,752

 

3.00%, 12/15/42, CMO, IO (h)

 

20,035,049

 

20,149

 

3.50%, 12/15/26 - 9/15/32, CMO, IO

 

2,906,949

 

27,508

 

3.50%, 1/15/43, CMO, IO (h)

 

6,597,826

 

7,835

 

4.00%, 8/15/20 - 8/15/42, CMO, IO

 

1,487,064

 

2,107

 

4.50%, 10/15/37, CMO, IO

 

340,095

 

3,842

 

5.00%, 6/15/33, CMO, IO (j)

 

721,205

 

98,628

 

5.783%, 8/15/43, CMO, IO (h)(j)

 

22,498,378

 

98,628

 

5.803%, 8/15/43, CMO, IO (h)(j)

 

22,709,755

 

2,318

 

5.833%, 8/15/42, CMO, IO (j)

 

478,026

 

2,561

 

5.933%, 7/15/35, CMO, IO (j)

 

382,689

 

52,112

 

5.983%, 10/15/42, CMO, IO (h)(j)

 

10,595,020

 

11,308

 

6.033%, 9/15/41 - 2/15/42, CMO, IO (j)

 

2,115,806

 

47,773

 

6.373%, 2/15/42, CMO, IO (h)(j)

 

9,927,391

 

16,175

 

6.453%, 11/15/36, CMO, IO (j)

 

2,550,978

 

47,144

 

6.483%, 2/15/41 - 5/15/41, CMO, IO (j)

 

9,207,092

 

6,838

 

6.533%, 7/15/42, CMO, IO (j)

 

1,647,430

 

23,179

 

11.427%, 12/15/40 - 8/15/43, CMO (h)(j)

 

23,052,561

 

114

 

12.667%, 5/15/33, CMO (j)

 

125,747

 

 



 

Schedule of Investments

PIMCO High Income Fund

December 31, 2013 (unaudited)

 

Principal
Amount
(000s)

 

 

 

Value*

 

 

 

Ginnie Mae, CMO, IO,

 

 

 

$44,192

 

3.50%, 1/20/42 - 3/20/43

 

$7,389,584

 

54,442

 

4.00%, 3/20/42 - 3/20/43

 

9,328,167

 

14,606

 

4.50%, 1/20/36 - 7/20/42

 

2,384,599

 

87,555

 

4.50%, 3/20/40 (h)

 

19,262,846

 

880

 

5.00%, 9/20/42

 

181,532

 

7,791

 

5.963%, 10/20/41 (j)

 

1,085,105

 

136,186

 

5.983%, 10/20/41 (h)(j)

 

21,995,503

 

9,354

 

6.033%, 10/16/42 (j)

 

1,681,128

 

31,764

 

6.083%, 2/20/42 (h)(j)

 

5,929,134

 

7,717

 

6.483%, 1/20/41 (j)

 

1,609,351

 

13,563

 

6.533%, 5/16/42 (j)

 

2,689,654

 

4,766

 

6.583%, 1/20/42 (j)

 

1,038,523

 

4,305

 

7.213%, 11/20/36 (j)

 

739,022

 

Total U.S. Government Agency Securities (cost-$446,483,002)

 

447,137,525

 

 

 

 

 

CORPORATE BONDS & NOTES - 22.3%

 

 

 

Airlines - 0.3%

 

 

 

4,789

 

American Airlines Pass-Through Trust, 10.18%, 1/2/13 (d)(e)

 

5,263,494

 

 

 

 

 

 

 

Auto Manufacturers - 0.6%

 

 

 

9,100

 

Ford Motor Co., 7.70%, 5/15/97 (h)

 

9,792,264

 

 

 

 

 

 

 

Banking - 4.7%

 

 

 

6,000

 

Citigroup, Inc., 6.125%, 8/25/36 (h)

 

6,398,268

 

 

 

LBG Capital No. 1 PLC,

 

 

 

€1,885

 

7.375%, 3/12/20 (h)

 

2,767,627

 

£900

 

7.588%, 5/12/20

 

1,587,973

 

3,400

 

7.869%, 8/25/20

 

6,015,901

 

$2,000

 

8.50%, 12/17/21 (a)(c)(f)

 

2,141,642

 

 

 

LBG Capital No. 2 PLC,

 

 

 

£284

 

9.00%, 12/15/19

 

508,049

 

5,500

 

9.125%, 7/15/20

 

9,899,914

 

850

 

11.25%, 9/14/23

 

1,629,952

 

$38,500

 

Lloyds Bank PLC, 12.00%, 12/16/24 (a)(c)(f)(h)

 

52,310,220

 

 

 

 

 

83,259,546

 

Chemicals - 0.2%

 

 

 

€2,000

 

Perstorp Holding AB, 9.00%, 5/15/17 (h)

 

2,985,433

 

 

 

 

 

 

 

Commercial Services - 2.7%

 

 

 

$58,970

 

Hamilton College, 4.75%, 7/1/13 (h)

 

47,564,789

 

 

 

 

 

 

 

Diversified Financial Services - 2.8%

 

 

 

27,410

 

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

 

23,161,450

 

8,543

 

GSPA Monetization Trust, 6.422%, 10/9/29 (a)(b)(c)(i) (acquisition cost - $8,441,742; purchased 9/23/13)

 

8,389,627

 

18,000

 

International Lease Finance Corp., 6.98%, 10/15/18 (e)(j)

 

18,011,490

 

 

 

 

 

49,562,567

 

Electric Utilities - 0.3%

 

 

 

4,093

 

Bruce Mansfield Unit, 6.85%, 6/1/34

 

4,320,323

 

337

 

GenOn REMA LLC, 9.237%, 7/2/17

 

347,049

 

 

 

 

 

4,667,372

 

Healthcare-Services - 1.6%

 

 

 

30,000

 

City of Hope, 5.623%, 11/15/43 (h)

 

28,945,950

 

 

 

 

 

 

 

Insurance - 1.7%

 

 

 

5,018

 

American International Group, Inc., 6.25%, 3/15/87 (converts to FRN on 3/15/37)

 

5,043,090

 

25,000

 

Doctors Co., 6.50%, 10/15/23 (a)(b)(c)(h)(i) (acquisition cost - $25,000,000; purchased 10/8/13)

 

24,910,525

 

 

 

 

 

29,953,615

 

Media - 2.7%

 

 

 

 

 

Time Warner Cable, Inc. (h),

 

 

 

1,100

 

5.50%, 9/1/41

 

911,658

 

3,800

 

5.85%, 5/1/17

 

4,146,343

 

10,400

 

5.875%, 11/15/40

 

8,998,236

 

5,100

 

6.75%, 7/1/18

 

5,722,343

 

1,600

 

6.75%, 6/15/39

 

1,506,997

 

3,800

 

7.30%, 7/1/38

 

3,789,949

 

2,700

 

8.75%, 2/14/19

 

3,222,504

 

 

 

Time Warner Entertainment Co. L.P. (h),

 

 

 

2,500

 

8.375%, 3/15/23

 

2,876,297

 

14,800

 

8.375%, 7/15/33

 

16,126,835

 

 

 

 

 

47,301,162

 

 



 

Schedule of Investments

PIMCO High Income Fund

December 31, 2013 (unaudited)

 

Principal
Amount
(000s)

 

 

 

Value*

 

Oil & Gas - 0.4%

 

 

 

$5,700

 

Anadarko Petroleum Corp., 7.00%, 11/15/27 (h)

 

$5,836,042

 

1,000

 

Cie Generale de Geophysique - Veritas, 7.75%, 5/15/17

 

1,032,500

 

 

 

 

 

6,868,542

 

Real Estate - 0.4%

 

 

 

5,011

 

Midwest Family Housing LLC, 6.631%, 1/1/51 (CIFG) (a)(b)(c)(e)(i) (acquisition cost - $4,028,528; purchased 9/25/12)

 

3,580,696

 

4,762

 

Tri-Command Military Housing LLC, 5.383%, 2/15/48 (NPFGC) (a)(c)

 

3,704,790

 

 

 

 

 

7,285,486

 

Telecommunications - 2.1%

 

 

 

1,122

 

CenturyLink, Inc., 7.20%, 12/1/25

 

1,096,755

 

15,200

 

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

 

15,584,711

 

19,625

 

Northwestern Bell Telephone, 7.75%, 5/1/30 (h)

 

20,354,127

 

 

 

 

 

37,035,593

 

Transportation - 1.8%

 

 

 

£17,500

 

Russian Railways via RZD Capital PLC, 7.487%, 3/25/31 (h)

 

31,732,140

 

 

 

Total Corporate Bonds & Notes (cost-$356,181,254)

 

392,217,953

 

 

 

 

 

 

 

MORTGAGE-BACKED SECURITIES - 12.7%

 

 

 

$1,592

 

American Home Mortgage Assets Trust, 6.25%, 6/25/37, CMO

 

1,010,909

 

 

 

Banc of America Alternative Loan Trust, CMO,

 

 

 

16,914

 

5.434%, 6/25/46, IO (b)(j)

 

2,430,099

 

7,279

 

6.00%, 3/25/36

 

5,316,838

 

133

 

6.00%, 6/25/46 (j)

 

110,746

 

1,179

 

Banc of America Funding Corp., 6.00%, 7/25/37, CMO

 

878,376

 

52

 

Banc of America Mortgage Trust, 2.932%, 2/25/36, CMO (j)

 

43,997

 

 

 

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

 

 

 

4,700

 

5.222%, 3/26/37 (j)

 

1,404,421

 

9,341

 

13.50%, 10/26/36

 

7,451,885

 

9,243

 

14.369%, 9/26/36

 

7,647,214

 

3,752

 

14.963%, 6/26/36 (j)

 

975,484

 

 

 

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

 

 

 

692

 

2.861%, 5/25/47

 

581,760

 

380

 

5.256%, 11/25/34

 

369,518

 

 

 

Chase Mortgage Finance Trust, CMO,

 

 

 

47

 

2.536%, 12/25/35 (j)

 

42,472

 

17

 

5.50%, 5/25/36

 

16,684

 

263

 

5.64%, 9/25/36 (j)

 

238,054

 

8,663

 

CHL Mortgage Pass-Through Trust, 5.185%, 12/25/36, CMO, IO (b)(j)

 

1,265,501

 

 

 

Citigroup Mortgage Loan Trust, Inc., CMO,

 

 

 

183

 

2.591%, 7/25/46 (j)

 

145,888

 

318

 

2.754%, 7/25/37 (j)

 

266,995

 

1,682

 

5.762%, 8/25/37 (j)

 

1,345,972

 

5,119

 

6.50%, 9/25/36 (a)(c)

 

3,627,456

 

 

 

CitiMortgage Alternative Loan Trust, CMO,

 

 

 

1,016

 

6.00%, 12/25/36

 

865,439

 

295

 

6.00%, 6/25/37

 

245,596

 

 

 

Countrywide Alternative Loan Trust, CMO,

 

 

 

975

 

0.415%, 12/25/35 (j)

 

1,100,437

 

591

 

2.82%, 2/25/37 (j)

 

510,890

 

1,938

 

3.948%, 7/25/46 (j)

 

1,813,221

 

11,815

 

4.835%, 4/25/35, IO (b)(j)

 

1,197,280

 

1,131

 

5.198%, 7/25/21 (j)

 

1,082,302

 

555

 

5.50%, 3/25/36

 

431,735

 

4,780

 

6.00%, 3/25/36

 

3,835,111

 

9,076

 

6.00%, 5/25/36

 

7,317,548

 

429

 

6.00%, 11/25/36

 

341,072

 

10,513

 

6.00%, 2/25/37

 

7,830,560

 

8,115

 

6.00%, 3/25/37

 

6,521,033

 

5,794

 

6.00%, 5/25/37

 

4,506,797

 

3,503

 

6.00%, 2/25/47

 

2,744,384

 

5,934

 

6.25%, 12/25/36 (j)

 

4,803,240

 

504

 

6.25%, 8/25/37

 

404,777

 

1,651

 

6.50%, 6/25/36

 

1,230,076

 

9,479

 

6.50%, 9/25/37

 

7,388,242

 

12,857

 

6.50%, 11/25/37

 

10,643,027

 

 

 

Countrywide Home Loan Mortgage Pass-Through Trust, CMO,

 

 

 

980

 

2.604%, 9/20/36 (j)

 

698,369

 

113

 

2.726%, 9/25/47 (j)

 

94,326

 

2,668

 

5.75%, 6/25/37

 

2,408,869

 

633

 

6.00%, 4/25/37

 

570,679

 

9,606

 

6.00%, 5/25/37

 

8,039,221

 

2,624

 

6.25%, 9/25/36

 

2,280,794

 

 



 

Schedule of Investments

PIMCO High Income Fund

December 31, 2013 (unaudited)

 

Principal
Amount
(000s)

 

 

 

Value*

 

$3,924

 

Credit Suisse First Boston Mortgage Securities Corp., 6.00%, 1/25/36, CMO

 

$3,025,104

 

2,130

 

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

 

1,797,258

 

2,627

 

Deutsche ALT-B Securities Mortgage Loan Trust, 5.945%, 2/25/36, CMO

 

2,102,659

 

3,701

 

First Horizon Alternative Mortgage Securities Trust, 6.00%, 5/25/36, CMO

 

3,199,996

 

 

 

Harborview Mortgage Loan Trust, CMO (j),

 

 

 

879

 

2.665%, 8/19/36

 

662,056

 

70

 

5.027%, 8/19/36

 

58,708

 

4,000

 

IndyMac Index Mortgage Loan Trust, 4.596%, 5/25/37, CMO (j)

 

2,820,885

 

13,989

 

JPMorgan Alternative Loan Trust, 4.131%, 3/25/37, CMO (j)

 

10,576,152

 

 

 

JPMorgan Mortgage Trust, CMO,

 

 

 

596

 

2.575%, 1/25/37 (j)

 

509,856

 

667

 

5.75%, 1/25/36

 

613,227

 

26,311

 

6.455%, 1/25/37, IO (b)(j)

 

5,475,862

 

228

 

Merrill Lynch Mortgage-Backed Securities Trust, 4.627%, 4/25/37, CMO (j)

 

187,560

 

286,916

 

Morgan Stanley Bank of America Merrill Lynch Trust, 1.047%, 10/15/46, IO (b)(j)

 

16,406,274

 

9,800

 

RBSSP Resecuritization Trust, 8.904%, 6/26/37, CMO (a)(c)(j)

 

5,790,761

 

 

 

Residential Accredit Loans, Inc., CMO,

 

 

 

7,512

 

6.00%, 4/25/36

 

5,860,672

 

3,199

 

6.00%, 6/25/36

 

2,487,734

 

7,773

 

6.00%, 12/25/36

 

6,016,106

 

2,822

 

6.50%, 7/25/37

 

2,142,051

 

 

 

Residential Asset Securitization Trust, CMO,

 

 

 

1,617

 

6.00%, 9/25/36

 

1,030,221

 

1,032

 

6.25%, 10/25/36

 

796,348

 

7,259

 

6.25%, 9/25/37

 

5,198,647

 

1,173

 

6.50%, 8/25/36

 

772,741

 

4,069

 

Residential Funding Mortgage Securities I, 6.25%, 8/25/36, CMO

 

3,649,496

 

121

 

Sequoia Mortgage Trust, 2.414%, 1/20/47, CMO (j)

 

103,775

 

 

 

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

 

 

 

344

 

5.089%, 1/25/36

 

269,750

 

1,322

 

8.263%, 4/25/47

 

1,013,288

 

 

 

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

 

 

 

217

 

2.016%, 1/25/37

 

178,711

 

1,740

 

2.065%, 11/25/36

 

1,476,080

 

142

 

2.086%, 12/25/36

 

120,760

 

190

 

2.127%, 4/25/37

 

150,147

 

394

 

2.409%, 2/25/37

 

319,831

 

346

 

4.465%, 5/25/37

 

284,253

 

424

 

4.558%, 2/25/37

 

351,454

 

 

 

Washington Mutual Mortgage Pass-Through Certificates, CMO,

 

 

 

465

 

0.905%, 4/25/47 (j)

 

48,443

 

9,384

 

6.00%, 7/25/36

 

6,932,956

 

8,790

 

6.00%, 6/25/37

 

7,292,444

 

6,169

 

6.50%, 3/25/36

 

3,983,708

 

20,183

 

6.515%, 4/25/37, IO (b)(j)

 

4,375,507

 

185

 

Wells Fargo Mortgage-Backed Securities Trust, 2.739%, 9/25/36, CMO (j)

 

169,822

 

 

 

Total Mortgage-Backed Securities (cost-$216,632,408)

 

222,326,597

 

 

 

 

 

 

 

ASSET-BACKED SECURITIES - 2.1%

 

 

 

13,700

 

Countrywide Asset-Backed Certificates, 5.43%, 7/25/36

 

9,537,693

 

3,238

 

GSAA Home Equity Trust, 5.772%, 11/25/36 (j)

 

1,998,422

 

 

 

GSAA Trust,

 

 

 

5,021

 

5.80%, 3/25/37

 

2,918,937

 

3,576

 

5.917%, 3/25/37 (j)

 

1,890,696

 

13,619

 

IndyMac Residential Asset-Backed Trust, 0.325%, 7/25/37 (j)

 

8,467,410

 

4,247

 

JPMorgan Mortgage Acquisition Trust, 5.052%, 1/25/37

 

3,592,647

 

 

 

Morgan Stanley Mortgage Loan Trust (j),

 

 

 

1,044

 

5.75%, 11/25/36

 

531,205

 

2,177

 

6.25%, 7/25/47

 

1,622,817

 

9,084

 

Renaissance Home Equity Loan Trust, 6.998%, 9/25/37

 

5,487,706

 

387

 

Washington Mutual Asset-Backed Certificates, 0.315%, 5/25/36 (j)

 

242,849

 

 

 

Total Asset-Backed Securities (cost-$33,819,220)

 

36,290,382

 

 

 

 

 

 

 

Shares

 

 

 

 

 

PREFERRED STOCK - 2.0%

 

 

 

Diversified Financial Services - 2.0%

 

 

 

30,700

 

Farm Credit Bank, 10.00%, 12/15/20, Ser. 1 (f) (cost-$35,249,250)

 

35,861,437

 

 

 

 

 

CONVERTIBLE PREFERRED STOCK - 0.0%

 

 

 

Airlines - 0.0%

 

 

 

1

 

American Airlines Group, Inc., 6.25%, Ser. A (f) (cost-$10)

 

26

 

 



 

Schedule of Investments

PIMCO High Income Fund

December 31, 2013 (unaudited)

 

Principal
Amount
(000s)

 

 

 

Value*

 

SHORT-TERM INVESTMENTS - 2.3%

 

 

 

Repurchase Agreements - 2.2%

 

 

 

$6,700

 

Banc of America Securities LLC, dated 12/31/13, 0.01%, due 1/2/14, proceeds $6,700,004; collateralized by U.S. Treasury Notes, 0.375%, due 1/15/16, valued at $6,846,711 including accrued interest

 

$6,700,000

 

28,500

 

RBC Capital Markets LLC, dated 12/31/13, 0.005%, due 1/2/14, proceeds $28,500,008; collateralized by U.S. Treasury Notes, 0.75%, due 3/31/18, valued at $29,076,836 including accrued interest

 

28,500,000

 

2,856

 

State Street Bank and Trust Co., dated 12/31/13, 0.00%, due 1/2/14, proceeds $2,856,000; collateralized by Freddie Mac, 2.08%, due 10/17/22, valued at $2,914,899 including accrued interest

 

2,856,000

 

Total Repurchase Agreements (cost-$38,056,000)

 

38,056,000

 

 

 

 

 

 

 

U.S. Treasury Obligations (g)(h)(k)- 0.1%

 

 

 

2,251

 

U.S. Treasury Bills, 0.044%-0.122%, 1/2/14-11/13/14 (cost-$2,249,533)

 

2,249,877

 

Total Short-Term Investments (cost-$40,305,533)

 

40,305,877

 

 

 

 

 

 

 

Total Investments (cost-$1,712,274,456) (l)-100.0%

 

$1,757,071,226

 

 



 


Notes to Schedule of Investments:

 

*

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

 

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

 

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

 

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

 

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

 

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

 

 

(a)

Private Placement—Restricted as to resale and may not have a readily available market. Securities with an aggregate value of $145,096,171, representing 8.3% of total investments.

 

 

(b)

Illiquid.

 

 

(c)

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.

 

 

(d)

In default.

 

 

(e)

Fair-Valued—Securities with an aggregate value of $66,718,357, representing 3.8% of total investments.

 

 

(f)

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.

 

 

(g)

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

 

 

(h)

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

 

 

(i)

Restricted. The aggregate acquisition cost of such securities is $37,470,270. The aggregate value is $36,880,848, representing 2.1% of total investments.

 

 

(j)

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

 

 

(k)

Rates reflect the effective yields at purchase date.

 

 

(l)

At December 31, 2013, the cost basis of portfolio securities of $1,712,274,456 was substantially the same for both federal income tax and book purposes. Gross unrealized appreciation was $70,114,433; gross unrealized depreciation was $25,317,663; and net unrealized appreciation was $44,796,770.

 



 

(m)

Interest rate swap agreements outstanding at December 31, 2013:

 

OTC swap agreements:

 

 

 

Notional

 

 

 

Rate Type

 

 

 

Upfront

 

Unrealized

 

Swap
Counterparty

 

Amount
(000s)

 

Termination
Date

 

Payments
Made

 

Payments
Received

 

Value

 

Premiums
Paid (Received)

 

Appreciation
(Depreciation)

 

Bank of America

 

$50,600

 

4/30/19

 

3-Month USD-LIBOR

 

1.90

%

$(163,701

)

$68,665

 

$(232,366

)

Deutsche Bank

 

50,600

 

4/30/19

 

3-Month USD-LIBOR

 

1.90

%

(163,701

)

63,605

 

(227,306

)

JPMorgan Chase

 

108,000

 

4/30/19

 

3-Month USD-LIBOR

 

1.90

%

(349,401

)

145,992

 

(495,393

)

Morgan Stanley

 

600,000

 

4/30/19

 

3-Month USD-LIBOR

 

1.90

%

(1,941,118

)

(3,796,288

)

1,855,170

 

 

 

 

 

 

 

 

 

 

 

$(2,617,921

)

$(3,518,026

)

$900,105

 

 

Centrally cleared swap agreements:

 

 

 

Notional

 

 

 

Rate Type

 

 

 

Unrealized

 

Broker (Exchange)

 

Amount
(000s)

 

Termination
Date

 

Payments
Made

 

Payments
Received

 

Value

 

Appreciation
(Depreciation)

 

Barclays Bank (CME)

 

$100,000

 

6/19/20

 

3-Month USD-LIBOR

 

2.00%

 

$(1,923,586

)

$(1,838,233

)

Barclays Bank (CME)

 

69,000

 

3/19/24

 

3.00%

 

3-Month USD-LIBOR

 

1,196,699

 

1,676,249

 

Goldman Sachs (CME)

 

100,000

 

6/19/20

 

3-Month USD-LIBOR

 

2.00%

 

(1,923,585

)

(1,510,067

)

Goldman Sachs (CME)

 

69,000

 

3/19/24

 

3.00%

 

3-Month USD-LIBOR

 

1,196,699

 

1,446,699

 

Goldman Sachs (CME)

 

700,000

 

6/18/43

 

3.75%

 

3-Month USD-LIBOR

 

34,448,414

 

43,558,414

 

Goldman Sachs (CME)

 

700,000

 

6/19/44

 

3-Month USD-LIBOR

 

3.50%

 

(56,493,875

)

(45,832,084

)

Morgan Stanley (CME)

 

297,000

 

6/18/44

 

3.75%

 

3-Month USD-LIBOR

 

15,118,678

 

11,780,288

 

 

 

 

 

 

 

 

 

 

 

$(8,380,556

)

$9,281,266

 

 

(n)

Forward foreign currency contracts outstanding at December 31, 2013:

 

 

 

Counterparty

 

U.S.$ Value on
Origination Date

 

U.S.$ Value
December 31, 2013

 

Unrealized
Appreciation
(Depreciation)

 

Purchased:

 

 

 

 

 

 

 

 

 

45,899,104 Brazilian Real settling 1/3/14

 

Credit Suisse First Boston

 

$19,519,908

 

$19,454,955

 

$(64,953

)

44,357,684 Brazilian Real settling 1/3/14

 

Deutsche Bank

 

18,935,236

 

18,801,604

 

(133,632

)

44,925,547 Brazilian Real settling 1/3/14

 

Morgan Stanley

 

19,180,593

 

19,042,300

 

(138,293

)

8,900,924 Brazilian Real settling 1/3/14

 

UBS

 

3,792,792

 

3,772,777

 

(20,015

)

13,524,000 British Pound settling 1/2/14

 

Barclays Bank

 

22,017,072

 

22,395,067

 

377,995

 

1,955,000 Euro settling 2/4/14

 

Barclays Bank

 

2,693,663

 

2,689,452

 

(4,211

)

614,000 Euro settling 1/2/14

 

Citigroup

 

845,293

 

844,679

 

(614

)

Sold:

 

 

 

 

 

 

 

 

 

45,899,104 Brazilian Real settling 1/3/14

 

Credit Suisse First Boston

 

19,593,231

 

19,454,955

 

138,276

 

44,357,684 Brazilian Real settling 1/3/14

 

Deutsche Bank

 

19,591,751

 

18,801,604

 

790,147

 

44,925,547 Brazilian Real settling 1/3/14

 

Morgan Stanley

 

19,878,560

 

19,042,300

 

836,260

 

1,801,672 Brazilian Real settling 2/4/14

 

Morgan Stanley

 

765,237

 

757,528

 

7,709

 

8,900,924 Brazilian Real settling 1/3/14

 

UBS

 

3,799,592

 

3,772,777

 

26,815

 

13,524,000 British Pound settling 2/4/14

 

Barclays Bank

 

22,012,041

 

22,390,304

 

(378,263

)

13,524,000 British Pound settling 1/2/14

 

Credit Suisse First Boston

 

21,901,334

 

22,395,067

 

(493,733

)

614,000 Euro settling 1/2/14

 

Bank of America

 

831,055

 

844,679

 

(13,624

)

614,000 Euro settling 2/4/14

 

Citigroup

 

845,275

 

844,667

 

608

 

1,949,000 Euro settling 2/4/14

 

HSBC Bank

 

2,676,210

 

2,681,198

 

(4,988

)

 

 

 

 

 

 

 

 

$925,484

 

 



 

(o)

At December 31, 2013, the Fund held $5,410,000 in cash collateral and pledged cash collateral of $22,400,000 for derivative contracts. Cash collateral held may be invested in accordance with the Fund’s investment strategy.

 

 

(p)

Open reverse repurchase agreements at December 31, 2013:

 

Counterparty

 

Rate

 

Trade Date

 

Due Date

 

Principal & Interest

 

Principal

 

Barclays Bank

 

0.40

%

12/3/13

 

1/9/14

 

$15,660,218

 

$15,655,000

 

 

 

0.50

 

12/4/13

 

1/7/14

 

23,435,435

 

23,426,000

 

 

 

0.55

 

12/3/13

 

1/9/14

 

31,554,456

 

31,540,000

 

 

 

0.55

 

12/31/13

 

1/7/14

 

1,272,000

 

1,272,000

 

 

 

0.58

 

12/12/13

 

1/1/14

 

14,217,447

 

14,212,755

 

 

 

0.67

 

12/11/13

 

1/9/14

 

94,502,678

 

94,464,000

 

 

 

0.67

 

12/11/13

 

1/13/14

 

4,860,989

 

4,859,000

 

 

 

0.67

 

12/13/13

 

1/13/14

 

15,029,592

 

15,024,000

 

 

 

0.67

 

12/19/13

 

1/10/14

 

48,844,723

 

48,832,000

 

 

 

0.67

 

12/19/13

 

1/13/14

 

12,085,148

 

12,082,000

 

 

 

0.67

 

12/19/13

 

1/22/14

 

35,088,140

 

35,079,000

 

Credit Suisse First Boston

 

(0.75

)

12/17/13

 

1/1/14

 

2,689,067

 

2,689,960

 

 

 

0.49

 

11/4/13

 

1/1/14

 

2,283,821

 

2,282,010

 

Deutsche Bank

 

0.55

 

12/2/13

 

1/7/14

 

22,826,806

 

22,816,000

 

 

 

0.55

 

12/20/13

 

1/15/14

 

10,886,162

 

10,884,000

 

 

 

0.58

 

12/2/13

 

1/7/14

 

12,707,343

 

12,701,000

 

 

 

0.58

 

12/20/13

 

1/15/14

 

10,087,112

 

10,085,000

 

 

 

0.59

 

12/4/13

 

1/28/14

 

14,002,652

 

13,996,000

 

Morgan Stanley

 

0.50

 

12/2/13

 

1/6/14

 

33,853,570

 

33,839,000

 

 

 

0.50

 

12/23/13

 

1/21/14

 

14,624,031

 

14,622,000

 

Royal Bank of Canada

 

0.40

 

12/3/13

 

1/6/14

 

27,476,156

 

27,467,000

 

 

 

0.40

 

12/16/13

 

1/17/14

 

16,404,098

 

16,401,000

 

 

 

0.40

 

12/17/13

 

1/17/14

 

13,732,441

 

13,730,000

 

 

 

0.40

 

12/19/13

 

1/17/14

 

11,317,760

 

11,316,000

 

 

 

0.40

 

12/31/13

 

1/17/14

 

3,964,000

 

3,964,000

 

 

 

0.45

 

12/31/13

 

4/4/14

 

27,930,000

 

27,930,000

 

Royal Bank of Scotland

 

0.85

 

11/1/13

 

1/1/14

 

15,111,214

 

15,089,843

 

 

 

 

 

 

 

 

 

 

 

$536,258,568

 

 

(q)

The weighted average daily balance of reverse repurchase agreements during the nine months ended December 31, 2013 was $326,066,626, at a weighted average interest rate of 0.57%. Total value of underlying collateral (refer to the Schedule of Investments for positions transferred for the benefit of the counterparty as collateral) for open reverse repurchase agreements at December 31, 2013 was $598,072,877.

 

At December 31, 2013, the Fund held $140,720,040 in principal value in Corporate Bonds & Notes as collateral and pledged cash collateral of $980,000 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.

 



 

Fair Value Measurements

 

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

 

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

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

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

 

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

 

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

 

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

 

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

 

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

 

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

 

Municipal Bonds — Municipal bonds are valued by independent pricing services based on pricing models that take into account, among other factors, information received from market makers and broker-dealers, current trades, bid-want lists, offerings, market movements, the callability of the bond, state of issuance, benchmark yield curves, and bond insurance. To the extent that these inputs are observable, the values of municipal bonds 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.

 

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.

 

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

 

 

 

Level 1 -
Quoted Prices

 

Level 2 -
Other Significant
Observable
Inputs

 

Level 3 -
Significant
Unobservable
Inputs

 

Value at
12/31/13

 

Investments in Securities - Assets

 

 

 

 

 

 

 

 

 

Municipal Bonds

 

$—

 

$582,931,429

 

$—

 

$582,931,429

 

U.S. Government Agency Securities

 

 

407,274,848

 

39,862,677

 

447,137,525

 

Corporate Bonds & Notes:

 

 

 

 

 

 

 

 

 

Airlines

 

 

 

5,263,494

 

5,263,494

 

Diversified Financial Services

 

 

23,161,450

 

26,401,117

 

49,562,567

 

Electric Utilities

 

 

4,320,323

 

347,049

 

4,667,372

 

Real Estate

 

 

3,704,790

 

3,580,696

 

7,285,486

 

All Other

 

 

325,439,034

 

 

325,439,034

 

Mortgage-Backed Securities

 

 

221,351,113

 

975,484

 

222,326,597

 

Asset-Backed Securities

 

 

36,290,382

 

 

36,290,382

 

Preferred Stock

 

 

35,861,437

 

 

35,861,437

 

Convertible Preferred Stock

 

26

 

 

 

26

 

Short-Term Investments

 

 

40,305,877

 

 

40,305,877

 

 

 

26

 

1,680,640,683

 

76,430,517

 

1,757,071,226

 

Other Financial Instruments* - Assets

 

 

 

 

 

 

 

 

 

Foreign Exchange Contracts

 

 

2,177,810

 

 

2,177,810

 

Interest Rate Contracts

 

 

60,316,820

 

 

60,316,820

 

 

 

 

62,494,630

 

 

62,494,630

 

Other Financial Instruments* - Liabilities

 

 

 

 

 

 

 

 

 

Foreign Exchange Contracts

 

 

(1,252,326

)

 

(1,252,326

)

Interest Rate Contracts

 

 

(50,135,449

)

 

(50,135,449

)

 

 

 

(51,387,775

)

 

(51,387,775

)

Totals

 

$26

 

$1,691,747,538

 

$76,430,517

 

$1,768,178,081

 

 



 

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

 

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

 

 

 

Beginning
Balance
3/31/13

 

Purchases

 

Sales

 

Accrued
Discount
(Premiums)

 

Net
Realized
Gain (Loss)

 

Net Change
in Unrealized
Appreciation/
Depreciation

 

Transfers
into
Level 3

 

Transfers
out of
Level 3

 

Ending
Balance
12/31/13

 

Investments in Securities - Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Government Agency Securities

 

$—

 

$46,647,573

 

$(4,825,703

)

$—

 

$—

 

$(1,959,193

)

$—

 

$—

 

$39,862,677

 

Corporate Bonds & Notes:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Airlines

 

20,766,204

 

2,125,849

 

(17,110,342

)

(45,101

)

471,032

 

(944,148

)

 

 

5,263,494

 

Diversified Financial Services

 

18,558,995

 

8,479,202

 

(37,912

)

47,170

 

449

 

(646,787

)

 

 

26,401,117

 

Electric Utilities

 

1,062,894

 

75,250

 

(9,822,118

)

(1,607

)

(2,289

)

9,034,919

 

 

 

347,049

 

Real Estate

 

3,960,124

 

 

(15,000

)

2,980

 

2,933

 

(370,341

)

 

 

3,580,696

 

Mortgage-Backed Securities

 

334,813

 

598,660

 

 

67,006

 

(169,694

)†

144,699

 

 

 

975,484

 

Totals

 

$44,683,030

 

$57,926,534

 

$(31,811,075

)

$70,448

 

$302,431

 

$5,259,149

 

$—

 

$—

 

$76,430,517

 

 

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

 

 

 

Ending
Balance
at 12/31/13

 

Valuation
Technique Used

 

Unobservable
Inputs

 

Input Values

 

Investments in Securities - Assets

 

 

 

 

 

 

 

 

 

U.S. Government Agency Securities

 

$39,862,677

 

Interest Only Weighted Average Life Model

 

Security Price Reset

 

$12.36

 

Corporate Bonds & Notes

 

26,855,680

 

Benchmark Pricing

 

Security Price Reset

 

$71.45 - $109.91

 

 

 

8,736,676

 

Third-Party Pricing Vendor

 

Single Broker Quote

 

$98.20 - $103.00

 

Mortgage-Backed Securities

 

975,484

 

Third-Party Pricing Vendor

 

Single Broker Quote

 

$26.00

 

 


* 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.

† Paydown shortfall.

 

The net change in unrealized appreciation/depreciation of Level 3 investments held at December 31, 2013 was $(5,625,861).

 

Glossary:

 

AGM - insured by Assured Guaranty Municipal Corp.

 

£ - British Pound

 

CIFG - insured by CDC IXIS Financial Guaranty Services, Inc.

 

CME - Chicago Mercantile Exchange

 

CMO - Collateralized Mortgage Obligation

 

CP - Certificates of Participation

 

€ - Euro

 

FGIC - insured by Financial Guaranty Insurance Co.

 

FRN - Floating Rate Note

 

GO - General Obligation Bond

 

IO - Interest Only

 



 

LIBOR - London Inter-Bank Offered Rate

 

NPFGC - insured by National Public Finance Guarantee Corp.

 

OTC - Over-the-Counter

 



 

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 CFR 270.30a-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 CFR 270.30a-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 High Income Fund

 

By:

/s/ Brian S. Shlissel

 

 

Brian S. Shlissel,
President & Chief Executive Officer

 

 

 

 

Date: February 25, 2014

 

 

 

 

By:

/s/ Lawrence G. Altadonna

 

 

Lawrence G. Altadonna,
Treasurer, Principal Financial & Accounting Officer

 

 

 

 

Date: February 25, 2014

 

 

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

 

By:

/s/ Brian S. Shlissel

 

 

Brian S. Shlissel,
President & Chief Executive Officer

 

 

 

 

Date: February 25, 2014

 

 

 

 

By:

/s/ Lawrence G. Altadonna

 

 

Lawrence G. Altadonna,
Treasurer, Principal Financial & Accounting Officer

 

 

 

 

Date: February 25, 2014