Edgar Filing: PIMCO INCOME STRATEGY FUND

PIMCO Income Strategy Fund

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:		811-21374

Registrant Name:		PIMCO Income Strategy Fund

Address of Principal Executive Offices:		1633 Broadway
		New York, NY 10019

Name and Address of Agent for Service:		William G. Galipeau
		650 Newport Center Drive
		Newport Beach, CA 92660

Registrant’s telephone number, including area code:		(844) 337-4626

Date of Fiscal Year End:		July 31

Date of Reporting Period:		October 31, 2015

Item 1. Schedule of Investments

Schedule of Investments

PIMCO Income Strategy Fund

October 31, 2015 (Unaudited)


	PRINCIPAL AMOUNT (000s)		MARKET VALUE (000s)
INVESTMENTS IN SECURITIES 124.2%
BANK LOAN OBLIGATIONS 1.9%
Concordia Healthcare Corp.
5.250% due 10/20/2021	$	600	$	579
iHeartCommunications, Inc.
6.938% due 01/30/2019		3,100		2,605
Sequa Corp.
5.250% due 06/19/2017		2,541		2,121

Total Bank Loan Obligations (Cost $5,779)				5,305

CORPORATE BONDS & NOTES 60.5%
BANKING & FINANCE 35.0%
American International Group, Inc.
6.250% due 03/15/2087 (g)		5,476		5,996
8.175% due 05/15/2068		693		916
Banco do Brasil S.A.
6.250% due 04/15/2024 (d)		900		486
9.000% due 06/18/2024 (d)		4,000		2,780
Banco Santander S.A.
6.250% due 09/11/2021 (d)	EUR	500		532
Barclays Bank PLC
14.000% due 06/15/2019 (d)	GBP	3,700		7,409
BGC Partners, Inc.
5.375% due 12/09/2019	$	3,040		3,183
BNP Paribas S.A.
7.375% due 08/19/2025 (d)		3,100		3,212
Cantor Fitzgerald LP
6.500% due 06/17/2022 (g)		4,000		4,195
Citigroup, Inc.
5.950% due 05/15/2025 (d)		2,100		2,029
Co-operative Group Holdings Ltd.
7.500% due 07/08/2026	GBP	3,050		5,061
Communications Sales & Leasing, Inc.
8.250% due 10/15/2023	$	1,500		1,394
Credit Agricole S.A.
6.500% due 06/23/2021 (d)	EUR	200		222
7.500% due 06/23/2026 (d)	GBP	1,600		2,430
7.875% due 01/23/2024 (d)	$	1,500		1,542
GSPA Monetization Trust
6.422% due 10/09/2029		2,372		2,692
Jefferies Finance LLC
6.875% due 04/15/2022		3,800		3,591
LBG Capital PLC
9.125% due 07/15/2020	GBP	1,134		1,879
Lloyds Bank PLC
12.000% due 12/16/2024 (d)	$	400		578
Lloyds Banking Group PLC
7.625% due 06/27/2023 (d)	GBP	3,600		5,862
Millennium Offshore Services Superholdings LLC
9.500% due 02/15/2018	$	2,100		1,911
National Bank of Greece S.A.
3.875% due 10/07/2016	EUR	400		424
Navient Corp.
5.500% due 01/15/2019	$	6,700		6,675
5.625% due 08/01/2033		100		74
8.450% due 06/15/2018		1,500		1,612
Novo Banco S.A.
2.625% due 05/08/2017	EUR	900		922
4.000% due 01/21/2019		1,700		1,721
4.750% due 01/15/2018		1,200		1,235
5.000% due 04/04/2019		101		102
5.000% due 04/23/2019		311		314
5.000% due 05/14/2019		206		207
5.000% due 05/21/2019		115		115
5.000% due 05/23/2019		115		117
5.875% due 11/09/2015		900		989
OneMain Financial Holdings, Inc.
7.250% due 12/15/2021	$	1,512		1,584
Rabobank Group
8.400% due 06/29/2017 (d)		300		326
Rio Oil Finance Trust
6.250% due 07/06/2024		8,200		6,785
Sberbank of Russia Via SB Capital S.A.
5.717% due 06/16/2021		3,000		3,030


Tesco Property Finance PLC
5.411% due 07/13/2044	GBP	2,174	2,946
6.052% due 10/13/2039		1,284	1,905
TIG FinCo PLC
8.500% due 03/02/2020		111	180
8.750% due 04/02/2020		932	1,336
Vnesheconombank Via VEB Finance PLC
5.942% due 11/21/2023	$	1,500	1,440
6.902% due 07/09/2020		5,100	5,228

			97,167

INDUSTRIALS 15.8%
BMC Software Finance, Inc.
8.125% due 07/15/2021		710	552
Boxer Parent Co., Inc. (9.000% Cash or 9.750% PIK)
9.000% due 10/15/2019 (b)		2,360	1,696
Caesars Entertainment Operating Co., Inc.
9.000% due 02/15/2020 ^		3,855	3,122
11.250% due 06/01/2017 ^		1,600	1,276
CCO Safari LLC
6.484% due 10/23/2045		2,979	3,097
6.834% due 10/23/2055		426	434
Chesapeake Energy Corp.
3.571% due 04/15/2019		230	149
Continental Airlines Pass-Through Trust
9.798% due 10/01/2022		971	1,074
Forbes Energy Services Ltd.
9.000% due 06/15/2019		612	416
Ford Motor Co.
7.700% due 05/15/2097 (g)		9,030	11,197
Harvest Operations Corp.
6.875% due 10/01/2017		2,364	2,009
iHeartCommunications, Inc.
9.000% due 09/15/2022		600	493
Intrepid Aviation Group Holdings LLC
6.875% due 02/15/2019		1,930	1,686
Pertamina Persero PT
6.450% due 05/30/2044		5,249	4,888
Russian Railways via RZD Capital PLC
7.487% due 03/25/2031	GBP	700	1,018
Scientific Games International, Inc.
10.000% due 12/01/2022	$	1,600	1,436
Sequa Corp.
7.000% due 12/15/2017		3,804	1,931
Tembec Industries, Inc.
9.000% due 12/15/2019		1,000	805
Unique Pub Finance Co. PLC
5.659% due 06/30/2027	GBP	2,046	3,159
6.542% due 03/30/2021		701	1,127
Westmoreland Coal Co.
8.750% due 01/01/2022	$	3,026	2,338

			43,903

UTILITIES 9.7%
AK Transneft OJSC Via TransCapitalInvest Ltd.
8.700% due 08/07/2018		1,700	1,885
Frontier Communications Corp.
8.875% due 09/15/2020		210	219
10.500% due 09/15/2022		340	354
11.000% due 09/15/2025		340	357
Gazprom Neft OAO Via GPN Capital S.A.
6.000% due 11/27/2023		7,400	7,161
Gazprom OAO Via Gaz Capital S.A.
5.999% due 01/23/2021		200	203
Illinois Power Generating Co.
6.300% due 04/01/2020		1,420	1,129
7.000% due 04/15/2018		2,400	2,052
7.950% due 06/01/2032		200	157
Northwestern Bell Telephone
7.750% due 05/01/2030 (g)		7,000	7,736
Odebrecht Drilling Norbe Ltd.
6.350% due 06/30/2022		246	123
Odebrecht Offshore Drilling Finance Ltd.
6.625% due 10/01/2023		1,401	473
6.750% due 10/01/2023		1,450	500
Petrobras Global Finance BV
2.750% due 01/15/2018	EUR	230	226
3.214% due 03/17/2020	$	130	100
4.875% due 03/17/2020		210	172
5.750% due 01/20/2020		70	60
6.625% due 01/16/2034	GBP	100	101
6.750% due 01/27/2041	$	1,200	853
7.875% due 03/15/2019		3,200	3,040

			26,901

Total Corporate Bonds & Notes (Cost $173,847)			167,971


MUNICIPAL BONDS & NOTES 8.3%
CALIFORNIA 1.7%
Riverside County, California Redevelopment Successor Agency Tax Allocation Bonds, Series 2010
7.500% due 10/01/2030	600	653
Stockton Public Financing Authority, California Revenue Bonds, (BABs), Series 2009
7.942% due 10/01/2038	3,600	4,044

		4,697

ILLINOIS 2.2%
Chicago, Illinois General Obligation Bonds, (BABs), Series 2010
7.517% due 01/01/2040	6,000	6,131

NEBRASKA 2.5%
Public Power Generation Agency, Nebraska Revenue Bonds, (BABs), Series 2009
7.242% due 01/01/2041	5,700	6,820

VIRGINIA 0.1%
Tobacco Settlement Financing Corp., Virginia Revenue Bonds, Series 2007
6.706% due 06/01/2046	395	305

WEST VIRGINIA 1.8%
Tobacco Settlement Finance Authority, West Virginia Revenue Bonds, Series 2007
7.467% due 06/01/2047	5,685	4,988

Total Municipal Bonds & Notes (Cost $21,662)		22,941

U.S. GOVERNMENT AGENCIES 2.2%
Fannie Mae
3.500% due 12/25/2032 (a)	946	123
4.000% due 11/25/2042 (a)	3,369	500
5.197% due 07/25/2025	410	409
5.744% due 04/25/2028	500	509
14.421% due 12/25/2040	132	202
Freddie Mac
4.678% due 11/25/2055	4,197	2,454
7.747% due 12/25/2027	1,600	1,603
9.614% due 11/15/2040	365	389

Total U.S. Government Agencies (Cost $6,178)		6,189

U.S. TREASURY OBLIGATIONS 0.4%
U.S. Treasury Floating Rate Notes
0.097% due 07/31/2017 (k)	1,165	1,164

Total U.S. Treasury Obligations (Cost $1,165)		1,164

MORTGAGE-BACKED SECURITIES 17.9%
Banc of America Alternative Loan Trust
6.000% due 01/25/2036 ^	77	66
Banc of America Funding Trust
6.000% due 08/25/2036 ^	2,733	2,660
6.000% due 03/25/2037 ^	1,538	1,330
BCAP LLC Trust
5.333% due 03/26/2037	759	226
28.567% due 06/26/2036	154	49
Bear Stearns ALT-A Trust
0.517% due 06/25/2046 ^	3,246	2,341
2.776% due 11/25/2036	321	233
2.911% due 09/25/2035 ^	582	479
Bear Stearns Mortgage Funding Trust
7.000% due 08/25/2036	925	881
Chase Mortgage Finance Trust
2.444% due 12/25/2035 ^	8	8
6.000% due 02/25/2037 ^	786	668
6.000% due 07/25/2037 ^	482	416
6.250% due 10/25/2036 ^	1,534	1,372
Citicorp Mortgage Securities Trust
5.500% due 04/25/2037	96	96
Countrywide Alternative Loan Resecuritization Trust
6.000% due 05/25/2036 ^	2,008	1,752
6.000% due 08/25/2037 ^	853	657
Countrywide Alternative Loan Trust
5.253% due 04/25/2036 ^	870	675
5.500% due 03/25/2035	250	221
5.500% due 12/25/2035 ^	2,897	2,535


5.500% due 03/25/2036 ^	122	105
5.750% due 01/25/2035	303	307
6.000% due 02/25/2035	276	288
6.000% due 08/25/2036 ^	145	136
6.000% due 04/25/2037 ^	942	744
6.250% due 11/25/2036 ^	627	592
6.250% due 12/25/2036 ^	1,342	1,097
6.500% due 08/25/2036 ^	375	289
Countrywide Home Loan Mortgage Pass-Through Trust
2.508% due 02/20/2035	54	54
5.500% due 10/25/2035 ^	658	621
5.750% due 03/25/2037 ^	480	443
6.250% due 09/25/2036 ^	515	476
Credit Suisse Mortgage Capital Mortgage-Backed Trust
6.000% due 02/25/2037 ^	302	268
6.750% due 08/25/2036 ^	1,150	927
Deutsche Mortgage Securities, Inc. Mortgage Loan Trust
1.497% due 06/25/2034	2,030	1,501
GSR Mortgage Loan Trust
5.500% due 05/25/2036 ^	97	94
6.000% due 02/25/2036 ^	3,953	3,374
HarborView Mortgage Loan Trust
0.917% due 01/19/2035	313	281
2.680% due 07/19/2035	49	44
IndyMac Mortgage Loan Trust
6.500% due 07/25/2037 ^	1,937	1,256
JPMorgan Alternative Loan Trust
2.526% due 03/25/2037 ^	1,432	1,130
2.621% due 03/25/2036 ^	1,564	1,251
JPMorgan Mortgage Trust
2.521% due 02/25/2036 ^	443	387
2.549% due 01/25/2037 ^	490	438
5.000% due 03/25/2037 ^	814	694
6.000% due 08/25/2037 ^	204	183
Merrill Lynch Mortgage Investors Trust
2.633% due 03/25/2036 ^	1,385	934
Residential Asset Securitization Trust
5.750% due 02/25/2036 ^	867	710
6.000% due 03/25/2037 ^	613	435
6.000% due 05/25/2037 ^	1,267	1,107
6.000% due 07/25/2037 ^	939	678
6.250% due 09/25/2037 ^	1,567	1,133
Residential Funding Mortgage Securities, Inc. Trust
3.729% due 08/25/2036 ^	1,617	1,430
6.000% due 09/25/2036 ^	201	185
6.000% due 06/25/2037 ^	2,730	2,417
Structured Adjustable Rate Mortgage Loan Trust
2.466% due 11/25/2036 ^	1,427	1,178
4.273% due 07/25/2036 ^	531	447
4.907% due 01/25/2036 ^	1,187	917
4.945% due 03/25/2037 ^	496	354
Suntrust Adjustable Rate Mortgage Loan Trust
2.586% due 02/25/2037 ^	257	226
2.722% due 04/25/2037 ^	1,562	1,330
WaMu Mortgage Pass-Through Certificates Trust
2.143% due 12/25/2046	422	391
2.398% due 09/25/2036 ^	189	172
4.341% due 02/25/2037 ^	492	458
6.013% due 10/25/2036 ^	679	570
Wells Fargo Mortgage-Backed Securities Trust
2.614% due 07/25/2036 ^	284	269
5.750% due 03/25/2037 ^	300	293
6.000% due 06/25/2037 ^	169	170
6.000% due 07/25/2037 ^	269	266

Total Mortgage-Backed Securities (Cost $46,051)		49,715

ASSET-BACKED SECURITIES 22.4%
Asset-Backed Funding Certificates Trust
0.347% due 10/25/2036	7,742	6,660
Bear Stearns Asset-Backed Securities Trust
6.500% due 10/25/2036 ^	250	199
CIFC Funding Ltd.
0.010% due 05/24/2026	1,200	897
Countrywide Asset-Backed Certificates
0.397% due 06/25/2047	7,397	5,398
0.457% due 09/25/2046 ^	2,924	1,942
0.757% due 12/25/2035	3,500	3,309
Countrywide Asset-Backed Certificates Trust
5.130% due 08/25/2035	3,000	2,959
GSAMP Trust
0.457% due 02/25/2046	5,215	3,943
1.172% due 03/25/2035 ^	8,535	5,505
JPMorgan Mortgage Acquisition Trust
0.517% due 04/25/2036	6,000	4,135


Lehman XS Trust
6.290% due 06/24/2046		3,080		2,573
MASTR Asset-Backed Securities Trust
5.233% due 11/25/2035		226		227
Mid-State Trust
6.340% due 10/15/2036		658		716
Morgan Stanley ABS Capital, Inc. Trust
1.187% due 06/25/2035		500		451
Morgan Stanley Capital, Inc. Trust
0.487% due 01/25/2036		4,228		3,838
Morgan Stanley Mortgage Loan Trust
6.250% due 07/25/2047 ^		472		348
Residential Asset Mortgage Products Trust
0.477% due 09/25/2036		400		344
Residential Asset Securities Corp. Trust
0.667% due 09/25/2035		13,627		10,936
Securitized Asset-Backed Receivables LLC Trust
0.337% due 05/25/2036		6,470		3,683
Taberna Preferred Funding Ltd.
0.684% due 08/05/2036		293		214
0.684% due 08/05/2036 ^		5,496		4,012

Total Asset-Backed Securities (Cost $61,228)				62,289

SOVEREIGN ISSUES 0.6%
Republic of Greece Government International Bond
3.800% due 08/08/2017	JPY	201,000		1,449
4.750% due 04/17/2019	EUR	300		303

Total Sovereign Issues (Cost $1,714)				1,752


	SHARES
COMMON STOCKS 0.1%
FINANCIALS 0.1%
TIG FinCo PLC (e)		91,836		122

Total Common Stocks (Cost $136)				122

PREFERRED SECURITIES 4.7%
BANKING & FINANCE 4.7%
Farm Credit Bank of Texas
10.000% due 12/15/2020 (d)		6,000		7,575
GMAC Capital Trust
8.125% due 02/15/2040		207,100		5,349

Total Preferred Securities (Cost $12,333)				12,924

SHORT-TERM INSTRUMENTS 5.2%
REPURCHASE AGREEMENTS (f) 1.2%				3,274


	PRINCIPAL AMOUNT (000s)
SHORT-TERM NOTES 1.9%
Federal Home Loan Bank
0.096% due 01/08/2016	$	4,900		4,899
0.106% due 01/19/2016 - 01/22/2016		500		500

				5,399

U.S. TREASURY BILLS 2.1%
0.143% due 12/31/2015 - 02/11/2016 (c)(i)(k)		5,935		5,934

Total Short-Term Instruments (Cost $14,606)				14,607

Total Investments in Securities (Cost $344,699)				344,979

Total Investments 124.2% (Cost $344,699)			$	344,979
Financial Derivative Instruments (h)(j) (1.6%) (Cost or Premiums, net $(303))				(4,564	)
Preferred Shares (18.5%)				(51,275	)
Other Assets and Liabilities, net (4.1%)				(11,310	)

Net Assets Applicable to Common Shareholders 100.0%			$	277,830

Notes to Schedule of Investments (amounts in thousands*):

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

^	Security is in default.

(a)

Interest only security.

(b)

Payment in-kind bond security.

(c)

Coupon represents a weighted average yield to maturity.

(d)

Perpetual maturity; date shown, if applicable, represents next contractual call date.

(e)

Restricted Securities:


Issuer Description	Acquisition Date		Cost		Market Value		Market Value as Percentage of Net Assets
TIG FinCo PLC		04/02/2015	$	136	$	122		0.04%

Borrowings and Other Financing Transactions

(f)

Repurchase Agreements:


Counterparty	Lending Rate			Settlement Date		Maturity Date		Principal Amount		Collateralized By	Collateral Received, at Value			Repurchase Agreements, at Value		Repurchase Agreement Proceeds to be Received⁽¹⁾
BPG		0.150	%		10/30/2015		11/02/2015	$	700	Freddie Mac 3.500% due 09/01/2045	$	(729	)	$	700	$	700
SSB		0.000			10/30/2015		11/02/2015		2,574	Fannie Mae 2.140% due 11/07/2022		(2,629	)		2,574		2,574

Total Repurchase Agreements											$	(3,358	)	$	3,274	$	3,274

⁽¹⁾	Includes accrued interest.

Reverse Repurchase Agreements:


Counterparty	Borrowing Rate			Borrowing Date		Maturity Date		Amount Borrowed⁽²⁾			Payable for Reverse Repurchase Agreements
BPG		0.630	%		10/05/2015		01/05/2016	$	(2,601	)	$	(2,602	)
MSC		0.600			10/08/2015		01/08/2016		(5,612	)		(5,615	)
RDR		0.630			10/21/2015		01/21/2016		(4,109	)		(4,110	)
UBS		0.700			10/09/2015		01/11/2016		(2,614	)		(2,615	)
		0.700			10/14/2015		01/14/2016		(2,841	)		(2,842	)

Total Reverse Repurchase Agreements											$	(17,784	)

⁽²⁾	The average amount of borrowings outstanding during the period ended October 31, 2015 was $13,595 at a weighted average interest rate of 0.581%.

(g)

Securities with an aggregate market value of $18,962 have been pledged as collateral under the terms of master agreements as of October 31, 2015.

(h)

Financial Derivative Instruments: Exchange-Traded or Centrally Cleared

Swap Agreements:

Credit Default Swaps on Credit Indices - Sell Protection⁽¹⁾


													Variation Margin
Index/Tranches	Fixed Deal Receive Rate			Maturity Date		Notional Amount⁽²⁾		Market Value⁽³⁾		Unrealized Appreciation/ (Depreciation)			Asset		Liability
CDX.HY-24 5-Year Index		5.000	%		06/20/2020	$	7,920	$	504	$	(107	)	$	9	$	0
CDX.HY-25 5-Year Index		5.000			12/20/2020		4,400		165		79			7		0

								$	669	$	(28	)	$	16	$	0

⁽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 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.

⁽²⁾	The maximum potential amount the Fund could be required to pay 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.

⁽³⁾

The prices and resulting values for credit default swap agreements on credit indices serve as an indicator of the current status 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 be 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 indices’ credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

Interest Rate Swaps


															Variation Margin
Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate			Maturity Date		Notional Amount		Market Value			Unrealized Appreciation/ (Depreciation)			Asset		Liability
Pay	3-Month USD-LIBOR		2.750	%		06/17/2025	$	59,720	$	4,288		$	631		$	172	$	0
Pay	3-Month USD-LIBOR		3.500			06/19/2044		83,100		17,753			20,464			705		0
Receive	3-Month USD-LIBOR		2.750			12/16/2045		149,800		(5,666	)		(13,772	)		0		(1,235	)
Pay	6-Month AUD-BBR-BBSW		3.000			12/17/2019	AUD	6,200		146			54			0		(3	)
Pay	6-Month AUD-BBR-BBSW		3.500			06/17/2025		3,900		171			74			0		(10	)

									$	16,692		$	7,451		$	877	$	(1,248	)

Total Swap Agreements									$	17,361		$	7,423		$	893	$	(1,248	)

(i)

Securities with an aggregate market value of $1,520 and cash of $3,642 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of October 31, 2015.

(j)

Financial Derivative Instruments: Over the Counter

Forward Foreign Currency Contracts:


							Unrealized Appreciation/(Depreciation)
Counterparty	Settlement Month		Currency to be Delivered		Currency to be Received		Asset		Liability
BOA		11/2015	GBP	22,685	$	34,483	$	0	$	(488	)
		06/2016	EUR	26		35		7		0
		06/2016	$	1	EUR	1		0		0
BRC		06/2016	EUR	5	$	7		1		0
CBK		11/2015		739		835		23		0
		11/2015	GBP	284		436		0		(2	)
		11/2015	$	335	GBP	221		6		0
DUB		11/2015	BRL	7,152	$	1,828		0		(26	)
		11/2015	$	1,779	BRL	7,152		75		0
		12/2015		1,809		7,152		27		0
		06/2016	EUR	3	$	4		1		0
GLM		11/2015	AUD	266		188		0		(2	)
JPM		11/2015	GBP	107		164		0		(1	)
		11/2015	$	40	GBP	26		1		0
MSB		11/2015	BRL	966	$	250		0		0
		11/2015	JPY	175,679		1,463		8		0
		11/2015	$	249	BRL	966		1		0
		06/2016	EUR	7	$	10		2		0
NAB		11/2015	$	1,400	JPY	168,500		0		(4	)
		12/2015	JPY	168,500	$	1,401		4		0
		06/2016	EUR	15		21		4		0
SCX		11/2015	$	34,934	GBP	22,829		259		0
		12/2015	GBP	22,829	$	34,928		0		(259	)
UAG		11/2015	EUR	6,284		7,033		123		0
		11/2015	$	7,762	EUR	7,023		0		(39	)
		12/2015	EUR	7,023	$	7,765		39		0

Total Forward Foreign Currency Contracts							$	581	$	(821	)

Swap Agreements:

Credit Default Swaps on Corporate Issues - Sell Protection⁽¹⁾


																		Swap Agreements, at Value
Counterparty	Reference Entity	Fixed Deal Receive Rate			Maturity Date		Implied Credit Spread at October 31, 2015⁽²⁾			Notional Amount⁽³⁾		Premiums (Received)			Unrealized (Depreciation)			Asset		Liability
BPS	Petrobras International Finance Co.		1.000	%		12/20/2024		7.544	%	$	500	$	(98	)	$	(87	)	$	0	$	(185	)
GST	Petrobras International Finance Co.		1.000			12/20/2024		7.544			700		(139	)		(121	)		0		(260	)
HUS	Petrobras Global Finance BV		1.000			09/20/2020		7.592			20		(3	)		(2	)		0		(5	)
	Petrobras International Finance Co.		1.000			12/20/2019		7.557			200		(17	)		(27	)		0		(44	)
	Petrobras International Finance Co.		1.000			12/20/2024		7.544			800		(166	)		(131	)		0		(297	)
MYC	Chesapeake Energy Corp.		5.000			09/20/2020		16.433			100		(10	)		(22	)		0		(32	)
	Petrobras International Finance Co.		1.000			12/20/2019		7.557			4,100		(379	)		(530	)		0		(909	)

												$	(812	)	$	(920	)	$	0	$	(1,732	)

⁽¹⁾

⁽²⁾

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

⁽³⁾	The maximum potential amount the Fund could be required to pay 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.

Interest Rate Swaps


																Swap Agreements, at Value
Counterparty	Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate			Maturity Date		Notional Amount		Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)			Asset		Liability
BPS	Pay	1-Year BRL-CDI		11.500	%		01/04/2021	BRL	6,100	$	8		$	(196	)	$	0	$	(188	)
CBK	Pay	1-Year BRL-CDI		11.500			01/04/2021		23,000		(22	)		(687	)		0		(709	)
	Pay	3-Month USD-LIBOR		2.350			02/18/2021	$	61,500		358			222			580		0
DUB	Pay	3-Month USD-LIBOR		2.900			02/18/2026		26,300		173			140			313		0
MYC	Pay	1-Year BRL-CDI		11.500			01/04/2021	BRL	40,500		36			(1,285	)		0		(1,249	)
UAG	Pay	1-Year BRL-CDI		11.250			01/04/2021		29,500		(44	)		(940	)		0		(984	)

										$	509		$	(2,746	)	$	893	$	(3,130	)

Total Swap Agreements										$	(303	)	$	(3,666	)	$	893	$	(4,862	)

(k)

Securities with an aggregate market value of $4,525 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of October 31, 2015.

Fair Value Measurements

The following is a summary of the fair valuations according to the inputs used as of October 31, 2015 in valuing the Fund’s assets and liabilities:


Category and Subcategory	Level 1		Level 2			Level 3		Fair Value at 10/31/2015
Investments in Securities, at Value
Bank Loan Obligations	$	0	$	5,305		$	0	$	5,305
Corporate Bonds & Notes
Banking & Finance		0		94,475			2,692		97,167
Industrials		0		43,903			0		43,903
Utilities		0		26,901			0		26,901
Municipal Bonds & Notes
California		0		4,697			0		4,697
Illinois		0		6,131			0		6,131
Nebraska		0		6,820			0		6,820
Virginia		0		305			0		305
West Virginia		0		4,988			0		4,988
U.S. Government Agencies		0		3,735			2,454		6,189
U.S. Treasury Obligations		0		1,164			0		1,164
Mortgage-Backed Securities		0		49,715			0		49,715
Asset-Backed Securities		0		62,289			0		62,289
Sovereign Issues		0		1,752			0		1,752
Common Stocks
Financials		0		0			122		122
Preferred Securities
Banking & Finance		5,349		7,575			0		12,924
Short-Term Instruments
Repurchase Agreements		0		3,274			0		3,274
Short-Term Notes		0		5,399			0		5,399
U.S. Treasury Bills		0		5,934			0		5,934

Total Investments	$	5,349	$	334,362		$	5,268	$	344,979

Financial Derivative Instruments - Assets
Exchange-traded or centrally cleared		0		893			0		893
Over the counter		0		1,474			0		1,474
	$	0	$	2,367		$	0	$	2,367

Financial Derivative Instruments - Liabilities
Exchange-traded or centrally cleared		0		(1,248	)		0		(1,248	)
Over the counter		0		(5,683	)		0		(5,683	)

	$	0	$	(6,931	)	$	0	$	(6,931	)

Totals	$	5,349	$	329,798		$	5,268	$	340,415

There were no significant transfers between Levels 1 and 2 during the period ended October 31, 2015.

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended October 31, 2015:


Category and Subcategory	Beginning Balance at 07/31/2015		Net Purchases		Net Sales			Accrued Discounts/ (Premiums)		Realized Gain/ (Loss)		Net Change in Unrealized Appreciation/ (Depreciation)⁽¹⁾			Transfers into Level 3		Transfers out of Level 3		Ending Balance at 10/31/2015		Net Change in Unrealized Appreciation/ (Depreciation) on Investments Held at 10/31/2015⁽¹⁾
Investments in Securities, at Value
Corporate Bonds & Notes	$	2,665	$	0	$	(15	)	$	0	$	0	$	42		$	0	$	0	$	2,692	$	43
Banking & Finance
U.S. Government Agencies		0		2,479		(3	)		0		2		(24	)		0		0		2,454		(24	)
Common Stocks		96		0		0			0		0		26			0		0		122		26
Financials

Totals	$	2,761	$	2,479	$	(18	)	$	0	$	2	$	44		$	0	$	0	$	5,268	$	45

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

Category and Subcategory

Ending
Balance
at 10/31/2015

Valuation Technique

Unobservable Inputs

Input Value(s)
(% Unless Noted Otherwise)

Investments in Securities, at Value

Corporate Bonds & Notes

Banking & Finance

2,692

Proxy Pricing

Base Price

113.00

U.S. Government Agencies

2,454

Proxy Pricing

Base Price

59.03

Common Stocks

Financials

122

Other Valuation Techniques⁽²⁾

—

Total

5,268

⁽¹⁾	Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at October 31, 2015 may be due to an investment no longer held or categorized as Level 3 at period end.

⁽²⁾	Includes valuation techniques not defined in the Supplementary Notes to Schedule of Investments as securities valued using such techniques are not considered significant to the Fund.

See Accompanying Notes

Notes to Financial Statements

1. INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS

(a) Investment Valuation Policies The net asset value (“NAV”) of a Fund is determined by dividing the total value of portfolio investments and other assets attributable to that Fund, less any liabilities, by the total number of shares outstanding of that Fund.

On each day that the New York Stock Exchange (“NYSE”) is open, Fund shares are ordinarily valued as of the close of regular trading (“NYSE Close”). Information that becomes known to the Fund or its agents after the time as of which NAV has been calculated on a particular day will not generally be used to retroactively adjust the price of a security or the NAV determined earlier that day. The Fund reserves the right to change the time its respective NAV is calculated if the Fund closes earlier, or as permitted by the SEC.

For purposes of calculating NAV, portfolio securities and other assets for which market quotes are readily available are valued at market value. Market value is generally determined on the basis of official closing prices or the last reported sales prices, or if no sales are reported, based on quotes obtained from established market makers or prices (including evaluated prices) supplied by the approved pricing services, quotation reporting systems and other third-party sources (together, “Pricing Services”). The Fund will normally use pricing data for domestic equity securities received shortly after the NYSE Close and do not normally take into account trading, clearances or settlements that take place after the NYSE Close. A foreign (non-U.S.) equity security traded on a foreign exchange or on more than one exchange is typically valued using pricing information from the exchange considered by the manager to be the primary exchange. A foreign (non-U.S.) equity security will be valued as of the close of trading on the foreign exchange, or the NYSE Close, if the NYSE Close occurs before the end of trading on the foreign exchange. Domestic and foreign (non-U.S.) fixed income securities, non-exchange traded derivatives, and equity options are normally valued on the basis of quotes obtained from brokers and dealers or Pricing Services using data reflecting the earlier closing of the principal markets for those securities. Prices obtained from Pricing Services may be based on, among other things, information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. Certain fixed income securities purchased on a delayed-delivery basis are marked to market daily until settlement at the forward settlement date. Exchange-traded options, except equity options, futures and options on futures (which are discussed below), are valued at the settlement price determined by the relevant exchange. Swap agreements are valued on the basis of bid quotes obtained from brokers and dealers or market-based prices supplied by Pricing Services or other pricing sources. With respect to any portion of the Fund’s assets that are invested in one or more open-end management investment companies (other than exchange-traded funds (“ETFs”)), the Fund’s NAV will be calculated based upon the NAVs of such investments.

If a foreign (non-U.S.) equity security’s value has materially changed after the close of the security’s primary exchange or principal market but before the NYSE Close, the security may be valued at fair value based on procedures established and approved by the Board of Trustees of the Trust (the “Board”). Foreign (non-U.S.) equity securities that do not trade when the NYSE is open are also valued at fair value. With respect to foreign (non-U.S.) equity securities, the Fund may determine the fair value of investments based on information provided by Pricing Services and other third-party vendors, which may recommend fair value or adjustments with reference to other securities, indices or assets. In considering whether fair valuation is required and in determining fair values, the Fund may, among other things, consider significant events (which may be considered to include changes in the value of U.S. securities or securities indices) that occur after the close of the relevant market and before the NYSE Close. The Fund may utilize modeling tools provided by third-party vendors to determine fair values of non-U.S. securities. Foreign (non-U.S.) exchanges may permit trading in foreign (non-U.S.) equity securities on days when the Trust is not open for business, which may result in the Fund’s portfolio investments being affected when shareholders are unable to buy or sell shares.

Senior secured floating rate loans for which an active secondary market exists to a reliable degree will be valued at the mean of the last available bid/ask prices in the market for such loans, as provided by a Pricing Service. Senior secured floating rate loans for which an active secondary market does not exist to a reliable degree will be valued at fair value, which is intended to approximate market value. In valuing a senior secured floating rate loan at fair value, the factors considered may include, but are not limited to, the following: (a) the creditworthiness of the borrower and any intermediate participants, (b) the terms of the loan, (c) recent prices in the market for similar loans, if any, and (d) recent prices in the market for instruments of similar quality, rate, period until next interest rate reset and maturity.

Investments 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 value of such investments and, in turn, the NAV of the Fund’s shares may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of investments traded in markets outside the United States or denominated in currencies other than the U.S. dollar may be affected significantly on a day that the Trust is not open for business. As a result, to the extent that the Fund holds foreign (non-U.S.) investments, the value of those investments may change at times when you cannot purchase, redeem or exchange shares and the value of such investments will be reflected in the Fund’s next calculated NAV.

Investments for which market quotes or market-based valuations are not readily available are valued at fair value as determined in good faith by the Board or persons acting at their direction. The Board has adopted methods for valuing securities and other assets in circumstances where market quotes are not readily available, and has delegated to PIMCO the responsibility for applying the fair valuation methods. In the event that market quotes or market-based valuations are not readily available, and the security or asset cannot be valued pursuant to a Board approved valuation method, the value of the security or asset will be determined in good faith by the Valuation Oversight Committee of the Board (“Valuation Oversight Committee”), generally based on recommendations provided by the Manager. Market quotes are considered not readily available in circumstances where there is an absence of current or reliable market-based data (e.g., trade information, bid/ask information, indicative market quotations (“Broker Quotes”), Pricing Services’ prices), including where events occur after the close of the relevant market, but prior to the NYSE Close, that materially affect the values of the Fund’s securities or assets. In addition, market quotes are considered not readily available when, due to extraordinary circumstances, the exchanges or markets on which the securities trade do not open for trading for the entire day and no other market prices are available. The Board has delegated to the Manager the responsibility for monitoring significant events that may materially affect the values of the Fund’s securities or assets and for determining whether the value of the applicable securities or assets should be reevaluated in light of such significant events.

When the Fund uses fair valuation to determine the value of a portfolio security or other asset for purposes of calculating its NAV, such investments will not be priced on the basis of quotes from the primary market in which they are traded, but rather may be priced by another method that the Board or persons acting at their direction believe reflects fair value. Fair valuation may require subjective determinations about the value of a security. While the Fund’s policy is intended to result in a calculation of the Fund’s NAV that fairly reflects security values as of the time of pricing, the Fund cannot ensure that fair values determined by the Board or persons acting at their direction would accurately reflect the price that the Fund could obtain for a security if it were to dispose of that security as of the time of pricing (for instance, in a forced or distressed sale). The prices used by the Fund may differ from the value that would be realized if the securities were sold.

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

•

Level 1—Inputs using (unadjusted) quoted prices in active markets or exchanges for identical assets and liabilities.

•

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

•

Level 3—Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair value of investments.

In accordance with the requirements of U.S. GAAP, the amounts of transfers between Levels 1 and 2 and transfers in and out of Level 3, if material, are disclosed in the Notes to Schedule of Investments for the Fund.

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

(c) Valuation Techniques and the Fair Value Hierarchy

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

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

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

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

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

Investments valued (denominated) in currencies other than the U.S. dollar are converted to the U.S. dollar using exchange rates (currency spot and forward rates) obtained from Pricing Services. As a result, the NAV of the Fund’s shares may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of 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 Trust is not open for business. Valuation adjustments may be applied to certain securities that are solely traded on a foreign exchange to account for the market movement between the close of the foreign market and the NYSE Close. These securities are valued using Pricing Services that consider the correlation of the trading patterns of the foreign security to the intraday trading in the U.S. markets for investments. Securities using these valuation adjustments are categorized as Level 2 of the fair value hierarchy. Preferred securities and other equities traded on inactive markets or valued by reference to similar instruments are also categorized as Level 2 of the fair value hierarchy.

Short-term debt instruments (such as commercial paper) having a remaining maturity of 60 days or less may be valued at amortized cost, so long as the amortized cost value of such short-term debt instrument is approximately the same as the fair value of the instrument as determined without the use of amortized cost valuation. Prior to July 31, 2015, short-term investments having a maturity of 60 days or less and repurchase agreements were generally valued at amortized cost which approximates fair value. Short-term debt instruments having a remaining maturity of 60 days or less are categorized as Level 2 of the fair value hierarchy.

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

Centrally cleared swaps listed or traded on a multilateral or trade facility platform, such as a registered exchange, are valued at the daily settlement price determined by the respective exchange (if available). For centrally cleared credit default swaps, the clearing facility requires its members to provide actionable price levels across complete term structures. These levels along with external third-party prices are used to produce daily settlement prices. These securities are categorized as Level 2 of the fair value hierarchy. Centrally cleared interest rate swaps are valued using a pricing model that references the underlying rates including the overnight index swap rate and London Interbank Offered Rate (“LIBOR”) forward rate to produce the daily settlement price. These securities are categorized as Level 2 of the fair value hierarchy.

Level 3 trading assets and trading liabilities, at fair value When a fair valuation method is applied by the Manager that uses significant unobservable inputs, investments will be priced by a method that the Board or persons acting at their direction believe reflects fair value and are categorized as Level 3 of the fair value hierarchy. The valuation techniques and significant inputs used in determining the fair values of portfolio assets and liabilities categorized as Level 3 of the fair value hierarchy are as follows:

Proxy pricing procedures set the base price of a fixed income security and subsequently adjust 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 Oversight Committee. Significant changes in the unobservable inputs of the proxy pricing process (the base price) would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.

The validity of the fair value is reviewed by the Manager on a periodic basis and may be amended in accordance with the Fund’s valuation procedures.

2. FEDERAL INCOME TAX MATTERS

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

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

In accordance with U.S. GAAP, the Manager has reviewed the Fund’s tax positions for all open tax years. As of October 31, 2015, the Fund has recorded no liability for net unrecognized tax benefits relating to uncertain income tax positions they have taken or expect to take in future tax returns.

The Fund files U.S. tax returns. While the statute of limitations remains open to examine the Fund’s U.S. tax returns filed for the fiscal years ending in 2012-2014, no examinations are in progress or anticipated at this time. The Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.

As of October 31, 2015, the aggregate cost and the net unrealized appreciation (depreciation) of investments for federal income tax purposes are as follows (amounts in thousands):


Federal Tax Cost		Aggregate Gross Unrealized Appreciation		Aggregate Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation) ⁽¹⁾
$	344,699	$	12,116	$	(11,836	)	$	280

⁽¹⁾	Primary differences, if any, between book and tax net unrealized appreciation/(depreciation) are attributable to wash sale loss deferrals for federal income tax purposes.


GLOSSARY: (abbreviations that may be used in the preceding statements)					(Unaudited)

Counterparty Abbreviations:
BOA	Bank of America N.A.	GST	Goldman Sachs International	NAB	National Australia Bank Ltd.
BPG	BNP Paribas Securities Corp.	HUS	HSBC Bank USA N.A.	RDR	RBC Capital Markets
BPS	BNP Paribas S.A.	JPM	JPMorgan Chase Bank N.A.	SCX	Standard Chartered Bank
BRC	Barclays Bank PLC	MSB	Morgan Stanley Bank, N.A	SSB	State Street Bank and Trust Co.
CBK	Citibank N.A.	MSC	Morgan Stanley & Co., Inc.	UAG	UBS AG Stamford
DUB	Deutsche Bank AG	MYC	Morgan Stanley Capital Services, Inc.	UBS	UBS Securities LLC
GLM	Goldman Sachs Bank USA

Currency Abbreviations:
AUD	Australian Dollar	EUR	Euro	JPY	Japanese Yen
BRL	Brazilian Real	GBP	British Pound	USD (or $)	United States Dollar

Index/Spread Abbreviations:
CDX.HY	Credit Derivatives Index - High Yield

Other Abbreviations:
ABS	Asset-Backed Security	BBR	Bank Bill Rate	LIBOR	London Interbank Offered Rate
ALT	Alternate Loan Trust	BBSW	Bank Bill Swap Reference Rate	PIK	Payment-in-Kind
BABs	Build America Bonds	CDI	Brazil Interbank Deposit Rate

Item 2. Controls and Procedures

(a) The principal executive officer and 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 separate certification for each principal executive officer and principal financial & accounting officer of the registrant as required by Rule 30a-2 under the 1940 Act is attached as Exhibit 99.CERT.

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.

PIMCO Income Strategy Fund

By: /s/ Peter G. Strelow

Peter G. Strelow

President (Principal Executive Officer)

Date: December 28, 2015

By: /s/ William G. Galipeau

William G. Galipeau

Treasurer (Principal Financial & Accounting Officer)

Date: December 28, 2015

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/ Peter G. Strelow

Peter G. Strelow

President (Principal Executive Officer)

Date: December 28, 2015

By: /s/ William G. Galipeau

William G. Galipeau

Treasurer (Principal Financial & Accounting Officer)

Date: December 28, 2015