NPORT-EX 1 strategicincomefundinc.htm PIMCO STRATEGIC INCOME FUND, INC

 

Schedule of Investments PIMCO Strategic Income Fund, Inc. March 31, 2019 (Unaudited)

 

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

 

   PRINCIPAL
AMOUNT
(000s)		   MARKET
VALUE
(000s)		 
         
INVESTMENTS IN SECURITIES 388.5% ¤          
           
LOAN PARTICIPATIONS AND ASSIGNMENTS 8.0%          
           
Altice France S.A.          
6.484% (LIBOR03M + 4.000%) due 08/14/2026 ~  $100   $96 
Avantor, Inc.          
6.249% (LIBOR03M + 3.750%) due 11/21/2024 ~   47    47 
Bausch Health Cos., Inc.          
5.231% (LIBOR03M + 2.750%) due 11/27/2025 ~   19    19 
CityCenter Holdings LLC          
4.749% (LIBOR03M + 2.250%) due 04/18/2024 ~   130    127 
Concordia International Corp.          
7.993% (LIBOR03M + 5.500%) due 09/06/2024 ~   2,631    2,494 
Core & Main LP          
5.626% (LIBOR03M + 3.000%) due 08/01/2024 «~   20    20 
Diamond Resorts Corp.          
6.249% (LIBOR03M + 3.750%) due 09/02/2023 «~   668    633 
Dubai World          
1.750% - 2.000% (LIBOR03M + 2.000%) due 09/30/2022 ~   1,880    1,758 
Envision Healthcare Corp.          
6.249% (LIBOR03M + 3.750%) due 10/10/2025 ~   299    280 
Forbes Energy Services LLC          
5.000% - 9.000% due 04/13/2021   77    77 
Forest City Enterprises, L.P.          
6.481% (LIBOR03M + 4.000%) due 12/07/2025 «~   100    100 
FrontDoor, Inc.          
5.000% (LIBOR03M + 2.500%) due 08/14/2025 «~   10    10 
Frontier Communications Corp.          
6.250% (LIBOR03M + 3.750%) due 06/15/2024 ~   295    289 
iHeartCommunications, Inc.          
TBD% due 07/30/2019 ^(c)   540    386 
TBD% due 01/30/2020   2,559    1,833 
IRB Holding Corp.          
5.739% (LIBOR03M + 3.250%) due 02/05/2025 ~   438    428 
McDermott Technology Americas, Inc.          
7.499% (LIBOR03M + 5.000%) due 05/12/2025 ~   459    441 
Messer Industrie GmbH          
TBD% due 03/01/2026   60    59 
MH Sub LLC          
6.236% (LIBOR03M + 3.750%) due 09/13/2024 ~   59    58 
NCI Building Systems, Inc.          
6.547% (LIBOR03M + 3.750%) due 04/12/2025 «~   20    19 
Neiman Marcus Group Ltd. LLC          
5.733% - 6.021% (LIBOR03M + 3.250%) due 10/25/2020 ~   3,461    3,223 
Pacific Gas & Electric Co.          
7.500% due 02/22/2049 ^(c)   416    361 
PetSmart, Inc.          
5.490% (LIBOR03M + 3.000%) due 03/11/2022 ~   198    178 
Sequa Mezzanine Holdings LLC          
7.776% (LIBOR03M + 5.000%) due 11/28/2021 ~   168    164 
11.751% (LIBOR03M + 9.000%) due 04/28/2022 «~   7,990    7,830 
SS&C Technologies, Inc.          
4.749% (LIBOR03M + 2.250%) due 04/16/2025 ~   132    131 
Starfruit Finco BV          
5.740% (LIBOR03M + 3.250%) due 10/01/2025 ~   100    99 
Syniverse Holdings, Inc.          
7.484% (LIBOR03M + 5.000%) due 03/09/2023 ~   2,002    1,838 
Univision Communications, Inc.          
5.249% (LIBOR03M + 2.750%) due 03/15/2024 ~   1,494    1,412 
West Corp.          
6.629% (LIBOR03M + 4.000%) due 10/10/2024 ~   35    33 
Westmoreland Coal Co.          
TBD% due 12/16/2020 ^(c)   9    4 
4.522% - 10.913% due 05/21/2019 «   2    2 
Total Loan Participations and Assignments (Cost $24,984)        24,449 
           
CORPORATE BONDS & NOTES 37.4%          
           
BANKING & FINANCE 15.6%          
           
Ally Financial, Inc.          
8.000% due 11/01/2031   3    3 
Ambac LSNI LLC          
7.592% due 02/12/2023 •(k)   323    327 
Ardonagh Midco PLC          
8.375% due 07/15/2023  GBP6,410    7,280 
           
           

 

 

 

Schedule of Investments PIMCO Strategic Income Fund, Inc. (Cont.) March 31, 2019 (Unaudited)

 

8.625% due 07/15/2023   $400    344 
Athene Holding Ltd.           
4.125% due 01/12/2028    28    27 
Avolon Holdings Funding Ltd.           
5.500% due 01/15/2023 (k)    80    82 
AXA Equitable Holdings, Inc.           
4.350% due 04/20/2028    68    69 
5.000% due 04/20/2048    40    39 
Bank of Ireland           
7.375% due 06/18/2020 •(g)(h)   EUR200    236 
Barclays Bank PLC           
7.625% due 11/21/2022 (h)(k)   $800    870 
14.000% due 06/15/2019 •(g)   GBP1,300    1,736 
Barclays PLC           
3.250% due 01/17/2033    100    125 
5.875% due 09/15/2024 •(g)(h)    1,100    1,345 
7.250% due 03/15/2023 •(g)(h)    1,000    1,348 
8.000% due 06/15/2024 •(g)(h)   $250    256 
Brookfield Finance, Inc.           
3.900% due 01/25/2028    48    47 
4.700% due 09/20/2047 (k)    110    106 
Cantor Fitzgerald LP           
7.875% due 10/15/2019 (k)    930    953 
CBL & Associates LP           
5.950% due 12/15/2026    29    21 
Credit Suisse Group AG           
7.500% due 07/17/2023 •(g)(h)(k)    200    206 
Deutsche Bank AG           
4.250% due 10/14/2021 (k)    3,200    3,218 
Emerald Bay S.A.           
0.000% due 10/08/2020 (f)   EUR15    16 
Equinix, Inc.           
2.875% due 03/15/2024    100    116 
2.875% due 02/01/2026    100    116 
Fortress Transportation & Infrastructure Investors LLC           
6.500% due 10/01/2025 (k)   $127    126 
6.750% due 03/15/2022 (k)    256    261 
GE Capital European Funding Unlimited Co.           
2.625% due 03/15/2023   EUR47    56 
GE Capital UK Funding Unlimited Co.           
4.375% due 07/31/2019   GBP10    13 
HSBC Holdings PLC           
5.875% due 09/28/2026 •(g)(h)    200    263 
6.500% due 03/23/2028 •(g)(h)(k)   $300    297 
Hudson Pacific Properties LP           
3.950% due 11/01/2027    18    18 
Hunt Cos., Inc.           
6.250% due 02/15/2026    14    13 
iStar, Inc.           
4.625% due 09/15/2020    7    7 
5.250% due 09/15/2022    10    10 
Kennedy-Wilson, Inc.           
5.875% due 04/01/2024    36    36 
Lloyds Banking Group PLC           
7.500% due 09/27/2025 •(g)(h)(k)    200    203 
7.625% due 06/27/2023 •(g)(h)   GBP250    345 
7.875% due 06/27/2029 •(g)(h)    1,440    2,067 
LoanCore Capital Markets LLC           
6.875% due 06/01/2020 (k)   $1,000    1,002 
Meiji Yasuda Life Insurance Co.           
5.100% due 04/26/2048 •(k)    200    209 
MetLife, Inc.           
5.875% due 03/15/2028 •(g)    6    6 
Nationstar Mortgage LLC           
6.500% due 07/01/2021 (k)    386    387 
Navient Corp.           
5.875% due 03/25/2021 (k)    1,009    1,046 
6.500% due 06/15/2022 (k)    44    46 
Newmark Group, Inc.           
6.125% due 11/15/2023    36    37 
Oppenheimer Holdings, Inc.           
6.750% due 07/01/2022    26    27 
Pinnacol Assurance           
8.625% due 06/25/2034 «(i)    2,600    2,543 
Reckson Operating Partnership LP           
7.750% due 03/15/2020 (k)    4,500    4,692 
Royal Bank of Scotland Group PLC           
7.500% due 08/10/2020 •(g)(h)(k)    600    613 
8.000% due 08/10/2025 •(g)(h)(k)    300    322 
8.625% due 08/15/2021 •(g)(h)(k)    1,200    1,281 
Santander UK Group Holdings PLC           
6.750% due 06/24/2024 •(g)(h)   GBP2,100    2,778 
Sberbank of Russia Via SB Capital S.A.           
6.125% due 02/07/2022 (k)   $2,000    2,089 
Societe Generale S.A.           
7.375% due 10/04/2023 •(g)(h)(k)    200    199 

 

 

 

Schedule of Investments PIMCO Strategic Income Fund, Inc. (Cont.) March 31, 2019 (Unaudited)
     

 

Spirit Realty LP         
4.450% due 09/15/2026 (k)    3,300    3,276 
Springleaf Finance Corp.           
5.625% due 03/15/2023 (k)    700    711 
6.125% due 05/15/2022 (k)    208    216 
6.875% due 03/15/2025 (k)    54    56 
TP ICAP PLC           
5.250% due 01/26/2024   GBP700    928 
UniCredit SpA           
7.830% due 12/04/2023 (k)   $2,240    2,497 
Unigel Luxembourg S.A.           
10.500% due 01/22/2024 (k)    300    324 
WeWork Cos., Inc.           
7.875% due 05/01/2025    40    37 
          47,923 
INDUSTRIALS 16.9%           
            
AA Bond Co. Ltd.           
2.875% due 07/31/2043   GBP1,700    2,124 
Air Canada Pass-Through Trust           
3.700% due 07/15/2027   $11    11 
Altice Financing S.A.           
6.625% due 02/15/2023 (k)    420    431 
7.500% due 05/15/2026 (k)    1,350    1,340 
Altice France S.A.           
8.125% due 02/01/2027 (k)    600    607 
Andeavor Logistics LP           
3.500% due 12/01/2022    6    6 
Associated Materials LLC           
9.000% due 01/01/2024 (k)    2,700    2,666 
Baffinland Iron Mines Corp.           
8.750% due 07/15/2026 (k)    700    706 
Bausch Health Americas, Inc.           
8.500% due 01/31/2027    24    26 
Bombardier, Inc.           
7.875% due 04/15/2027 (k)    110    114 
Charter Communications Operating LLC           
4.200% due 03/15/2028 (k)    56    56 
Clear Channel Worldwide Holdings, Inc.           
6.500% due 11/15/2022 (k)    1,126    1,156 
9.250% due 02/15/2024 (k)    1,846    1,961 
Cleveland-Cliffs, Inc.           
4.875% due 01/15/2024    18    18 
CommScope Finance LLC           
5.500% due 03/01/2024 (k)    45    46 
8.250% due 03/01/2027    4    4 
Community Health Systems, Inc.           
5.125% due 08/01/2021 (k)    705    697 
6.250% due 03/31/2023 (k)    4,879    4,598 
8.000% due 03/15/2026 (k)    210    201 
8.625% due 01/15/2024 (k)    294    295 
CVS Pass-Through Trust           
7.507% due 01/10/2032    761    906 
DAE Funding LLC           
5.250% due 11/15/2021 (k)    100    102 
5.750% due 11/15/2023 (k)    200    206 
Diamond Resorts International, Inc.           
7.750% due 09/01/2023 (k)    507    509 
EI Group PLC           
6.875% due 05/09/2025   GBP620    876 
Envision Healthcare Corp.           
8.750% due 10/15/2026 (k)   $1,059    946 
Exela Intermediate LLC           
10.000% due 07/15/2023 (k)    65    66 
First Quantum Minerals Ltd.           
6.500% due 03/01/2024 (k)    766    723 
6.875% due 03/01/2026 (k)    844    786 
7.000% due 02/15/2021 (k)    316    322 
Frontier Finance PLC           
8.000% due 03/23/2022   GBP2,600    3,357 
Full House Resorts, Inc.           
8.575% due 01/31/2024 «   $197    195 
General Electric Co.           
3.100% due 01/09/2023    92    92 
3.150% due 09/07/2022    20    20 
5.000% due 01/21/2021 •(g)    148    138 
5.550% due 01/05/2026 (k)    303    321 
5.875% due 01/14/2038    8    9 
6.150% due 08/07/2037    7    8 
Huntsman International LLC           
4.500% due 05/01/2029    24    24 
iHeartCommunications, Inc.           
9.000% due 12/15/2019 ^(c)    506    362 
9.000% due 03/01/2021 ^(c)    6,519    4,628 
9.000% due 09/15/2022 ^(c)    1,291    923 
10.625% due 03/15/2023 ^(c)    24    17 

 

 

 

Schedule of Investments PIMCO Strategic Income Fund, Inc. (Cont.) March 31, 2019 (Unaudited)

 

Intelsat Connect Finance S.A.         
9.500% due 02/15/2023 (k)    105    93 
Intelsat Jackson Holdings S.A.           
8.000% due 02/15/2024 (k)    60    63 
8.500% due 10/15/2024 (k)    60    59 
9.750% due 07/15/2025 (k)    64    65 
Intelsat Luxembourg S.A.           
7.750% due 06/01/2021 ^(k)    5,512    4,971 
Kinder Morgan, Inc.           
5.300% due 12/01/2034 (k)    1,500    1,629 
7.750% due 01/15/2032 (k)    4,500    5,883 
Metinvest BV           
8.500% due 04/23/2026 (k)    600    591 
Micron Technology, Inc.           
5.327% due 02/06/2029 (k)    82    84 
Netflix, Inc.           
4.625% due 05/15/2029   EUR100    120 
Ortho-Clinical Diagnostics, Inc.           
6.625% due 05/15/2022 (k)   $162    154 
Par Pharmaceutical, Inc.           
7.500% due 04/01/2027    62    63 
Park Aerospace Holdings Ltd.           
4.500% due 03/15/2023 (k)    78    78 
5.250% due 08/15/2022    7    7 
5.500% due 02/15/2024    18    19 
Petroleos Mexicanos           
6.500% due 03/13/2027    90    91 
6.750% due 09/21/2047    20    18 
Platin GmbH           
6.875% due 06/15/2023   EUR200    220 
Radiate Holdco LLC           
6.875% due 02/15/2023   $40    40 
Rockpoint Gas Storage Canada Ltd.           
7.000% due 03/31/2023    4    4 
Sands China Ltd.           
4.600% due 08/08/2023 (k)    200    207 
5.125% due 08/08/2025 (k)    200    209 
5.400% due 08/08/2028 (k)    200    210 
Shelf Drilling Holdings Ltd.           
8.250% due 02/15/2025    9    9 
Spanish Broadcasting System, Inc.           
12.500% due 04/20/2049 ^(c)    908    938 
Sunoco LP           
4.875% due 01/15/2023    28    29 
T-Mobile USA, Inc.           
4.750% due 02/01/2028    11    11 
Teva Pharmaceutical Finance Netherlands BV           
3.250% due 04/15/2022   EUR200    230 
Topaz Solar Farms LLC           
4.875% due 09/30/2039   $111    109 
5.750% due 09/30/2039    422    438 
Transocean Pontus Ltd.           
6.125% due 08/01/2025 (k)    76    77 
Triumph Group, Inc.           
4.875% due 04/01/2021    20    20 
5.250% due 06/01/2022    14    14 
UAL Pass-Through Trust           
6.636% due 01/02/2024 (k)    1,324    1,396 
Univision Communications, Inc.           
5.125% due 05/15/2023 (k)    152    145 
5.125% due 02/15/2025 (k)    55    51 
UPCB Finance Ltd.           
3.625% due 06/15/2029   EUR110    128 
Vale Overseas Ltd.           
6.250% due 08/10/2026 (k)   $81    88 
6.875% due 11/21/2036    26    30 
6.875% due 11/10/2039    25    29 
ViaSat, Inc.           
5.625% due 09/15/2025 (k)    50    48 
5.625% due 04/15/2027    31    32 
VOC Escrow Ltd.           
5.000% due 02/15/2028    30    29 
Wyndham Destinations, Inc.           
3.900% due 03/01/2023    36    35 
4.250% due 03/01/2022    2    2 
5.750% due 04/01/2027 (k)    443    441 
          51,806 
UTILITIES 4.9%           
            
AT&T, Inc.           
4.900% due 08/15/2037 (k)    198    201 
Frontier Communications Corp.           
8.000% due 04/01/2027 (k)    62    64 
Gazprom Neft OAO Via GPN Capital S.A.           
6.000% due 11/27/2023 (k)    5,600    5,935 

 

 

 

Schedule of Investments PIMCO Strategic Income Fund, Inc. (Cont.) March 31, 2019 (Unaudited)

 

Gazprom OAO Via Gaz Capital S.A.        
8.625% due 04/28/2034 (k)   1,710    2,208 
Odebrecht Offshore Drilling Finance Ltd.          
6.720% due 12/01/2022 (k)   1,103    1,056 
Pacific Gas & Electric Co.          
2.450% due 08/15/2022 ^(c)(k)   342    305 
2.950% due 03/01/2026 ^(c)(k)   460    405 
3.250% due 09/15/2021 ^(c)(k)   74    68 
3.250% due 06/15/2023 ^(c)(k)   182    164 
3.300% due 03/15/2027 ^(c)(k)   347    305 
3.400% due 08/15/2024 ^(c)(k)   163    148 
3.500% due 10/01/2020 ^(c)(k)   221    204 
3.500% due 06/15/2025 ^(c)(k)   388    347 
3.750% due 02/15/2024 ^(c)(k)   218    199 
3.750% due 08/15/2042 ^(c)   12    9 
3.850% due 11/15/2023 ^(c)(k)   52    48 
4.000% due 12/01/2046 ^(c)   7    6 
4.250% due 05/15/2021 ^(c)(k)   115    108 
4.250% due 08/01/2023 ^(c)(k)   100    94 
4.300% due 03/15/2045 ^(c)   51    43 
4.500% due 12/15/2041 ^(c)(k)   86    74 
4.600% due 06/15/2043 ^(c)   8    7 
4.650% due 08/01/2028 ^(c)(k)   200    185 
4.750% due 02/15/2044 ^(c)   48    42 
5.125% due 11/15/2043 ^(c)(k)   274    249 
5.400% due 01/15/2040 ^(c)   8    8 
5.800% due 03/01/2037 ^(c)(k)   277    270 
6.050% due 03/01/2034 ^(c)   34    34 
6.250% due 03/01/2039 ^(c)   44    44 
6.350% due 02/15/2038 ^(c)   15    15 
Petrobras Global Finance BV          
5.750% due 02/01/2029 (k)   124    123 
5.999% due 01/27/2028   10    10 
7.375% due 01/17/2027 (k)   424    469 
Rio Oil Finance Trust          
9.250% due 07/06/2024 (k)   571    624 
9.750% due 01/06/2027 (k)   776    869 
Southern California Edison Co.          
3.650% due 03/01/2028   3    3 
5.750% due 04/01/2035   6    7 
6.000% due 01/15/2034   2    2 
6.650% due 04/01/2029   12    13 
Sprint Communications, Inc.          
6.000% due 11/15/2022   15    15 
Transocean Poseidon Ltd.          
6.875% due 02/01/2027 (k)   60    63 
         15,043 
Total Corporate Bonds & Notes (Cost $113,936)        114,772 
           
MUNICIPAL BONDS & NOTES 1.2%          
           
ILLINOIS 0.1%          
           
Chicago, Illinois General Obligation Bonds, Series 2014          
6.314% due 01/01/2044   50    51 
Chicago, Illinois General Obligation Bonds, Series 2017          
7.045% due 01/01/2029   70    78 
Illinois State General Obligation Bonds, (BABs), Series 2010          
6.725% due 04/01/2035   15    16 
7.350% due 07/01/2035   10    11 
Illinois State General Obligation Bonds, Series 2003          
5.100% due 06/01/2033   145    143 
         299 
WEST VIRGINIA 1.1%          
           
Tobacco Settlement Finance Authority, West Virginia Revenue Bonds, Series 2007          
0.000% due 06/01/2047 (f)   25,300    1,590 
7.467% due 06/01/2047   1,620    1,620 
         3,210 
Total Municipal Bonds & Notes (Cost $3,342)        3,509 
           
U.S. GOVERNMENT AGENCIES 268.9%          
           
Fannie Mae          
1.664% due 08/25/2054 (k)   13,530    741 
2.500% due 12/25/2027 (a)   3,278    225 
4.000% due 06/01/2047   37    38 
4.000% due 09/01/2047 - 07/01/2048 (k)   51,385    53,072 
4.250% due 11/25/2024 (k)   430    430 
4.385% due 09/01/2028 •   3    3 
4.500% due 09/01/2023 - 03/01/2028   70    72 
4.500% due 07/25/2040 - 08/01/2041 (k)   1,300    1,370 
4.542% due 12/01/2028 •   17    18 
4.752% due 11/01/2027 •   41    42 

 

 

 

Schedule of Investments PIMCO Strategic Income Fund, Inc. (Cont.) March 31, 2019 (Unaudited)

 

5.000% due 01/25/2038 (k)   6,331    6,874 
5.000% due 07/25/2038   177    192 
5.025% due 03/01/2032 •   70    70 
5.363% due 12/25/2042 ~   29    31 
5.500% due 07/25/2024   10    11 
5.500% due 11/25/2032 - 04/25/2035 (k)   5,956    6,489 
5.750% due 06/25/2033   23    25 
5.807% due 08/25/2043   1,569    1,700 
6.000% due 09/25/2031 - 01/25/2044   1,595    1,764 
6.000% due 12/01/2032 - 06/01/2040 (k)   4,822    5,317 
6.036% due 07/25/2029 •   490    527 
6.042% due 09/25/2041 ~   415    446 
6.500% due 06/25/2023 - 11/01/2047   4,851    5,414 
6.500% due 03/25/2032 - 07/01/2039 (k)   1,008    1,137 
6.500% due 10/25/2042 ~   12    13 
6.850% due 12/18/2027   11    12 
7.000% due 07/01/2021 - 01/01/2047   1,231    1,337 
7.000% due 03/25/2045 (k)   706    803 
7.500% due 05/01/2022 - 06/25/2044   1,178    1,340 
7.500% due 06/19/2041 - 10/25/2042 ~   891    985 
7.700% due 03/25/2023   9    10 
7.839% due 06/19/2041 ~   704    796 
8.000% due 09/25/2021 - 06/01/2032   237    254 
8.236% due 07/25/2029 •(k)   660    774 
8.500% due 10/25/2021 - 06/25/2030   106    114 
8.500% due 06/18/2027 (k)   250    282 
9.426% due 05/15/2021   13    13 
9.588% due 07/15/2027   6    6 
Fannie Mae, TBA          
3.000% due 10/01/2048 - 08/01/2049   193,000    192,216 
3.500% due 09/01/2048 - 06/01/2049   234,000    237,096 
4.000% due 09/01/2048 - 08/01/2049   232,750    239,261 
Freddie Mac          
0.000% due 04/25/2045 - 11/25/2050 (b)(f)   9,743    6,367 
0.100% due 02/25/2046 - 11/25/2050 (a)   119,569    478 
0.200% due 04/25/2045 (a)   446    0 
1.601% due 11/15/2038 ~(a)(k)   25,673    1,492 
1.668% due 05/15/2038 ~(a)(k)   8,434    508 
1.791% due 08/15/2036   3,825    254 
2.011% due 11/25/2045 ~(a)   5,336    765 
4.613% due 04/01/2033 •   1    1 
4.637% due 12/01/2026 •   4    4 
5.000% due 02/15/2024   5    5 
5.439% due 07/25/2032 ~   106    115 
5.500% due 04/01/2039 - 06/15/2041 (k)   4,864    5,366 
6.000% due 12/15/2028 - 03/15/2035   625    686 
6.000% due 02/15/2032 (k)   1,492    1,640 
6.500% due 08/01/2021 - 09/01/2047   4,159    4,865 
6.500% due 10/15/2023 - 09/15/2031 (k)   2,111    2,370 
6.500% due 09/25/2043 ~   49    56 
6.900% due 09/15/2023   163    173 
6.950% due 07/15/2021   55    57 
7.000% due 08/01/2021 - 10/25/2043   1,449    1,609 
7.000% due 03/15/2029 - 01/01/2036 (k)   2,058    2,312 
7.500% due 05/15/2024 - 02/25/2042   638    686 
7.500% due 08/01/2024 - 12/01/2030 (k)   1,024    1,141 
7.636% due 10/25/2029 •   1,200    1,360 
8.000% due 08/15/2022 - 04/15/2030   77    84 
8.000% due 12/01/2026 (k)   112    120 
10.036% due 12/25/2027 •   1,593    1,906 
13.236% due 03/25/2025 •   387    519 
Freddie Mac, TBA          
4.000% due 11/01/2048   3,000    3,089 
Ginnie Mae          
6.000% due 04/15/2029 - 12/15/2038   99    107 
6.000% due 07/15/2037 - 11/15/2038 (k)   1,170    1,282 
6.500% due 11/20/2024 - 10/20/2038   73    74 
6.500% due 04/15/2032 - 05/15/2032 (k)   450    498 
7.000% due 04/15/2024 - 06/15/2026   35    37 
7.500% due 06/15/2023 - 03/15/2029   441    449 
7.500% due 04/15/2027 - 01/15/2029 (k)   190    201 
8.000% due 11/15/2021 - 11/15/2022   2    2 
8.500% due 05/15/2022 - 02/15/2031   9    9 
9.000% due 10/15/2019 - 01/15/2020   10    9 
Ginnie Mae, TBA          
4.000% due 09/01/2048   20,000    20,660 
Small Business Administration          
4.625% due 02/01/2025   72    74 
5.510% due 11/01/2027   243    259 
5.780% due 08/01/2027   19    20 
5.820% due 07/01/2027   20    21 
Vendee Mortgage Trust          
6.500% due 03/15/2029   123    136 
6.750% due 02/15/2026 - 06/15/2026   80    88 

 

 

 

Schedule of Investments PIMCO Strategic Income Fund, Inc. (Cont.) March 31, 2019 (Unaudited)

 

7.500% due 09/15/2030    1,856    2,133 
Total U.S. Government Agencies (Cost $837,548)         825,407 
            
NON-AGENCY MORTGAGE-BACKED SECURITIES 35.9%           
            
Adjustable Rate Mortgage Trust           
4.663% due 07/25/2035 ~    452    438 
5.126% due 08/25/2035 ~    704    698 
Banc of America Mortgage Trust           
4.504% due 02/25/2035 ~    15    15 
Bancorp Commercial Mortgage Trust           
6.234% due 08/15/2032 •    3,300    3,287 
8.525% due 11/15/2033 •    4,500    4,511 
Barclays Commercial Mortgage Securities Trust           
7.484% due 08/15/2027 •    2,700    2,682 
BCAP LLC Trust           
2.680% due 07/26/2036 ~    211    175 
4.672% due 10/26/2033 ~    130    117 
4.750% due 10/26/2036 ~    1,147    1,144 
4.895% due 06/26/2035 ~    43    40 
Bear Stearns ALT-A Trust           
3.933% due 08/25/2036 ^~    314    209 
Bear Stearns Commercial Mortgage Securities Trust           
5.607% due 12/11/2040 ~    5,728    5,456 
5.657% due 10/12/2041 ~    3,525    3,292 
5.740% due 04/12/2038 ~    120    121 
CD Commercial Mortgage Trust           
5.398% due 12/11/2049 ~    4    2 
Citigroup Commercial Mortgage Trust           
5.541% due 12/10/2049 ~    1,936    1,116 
Citigroup Mortgage Loan Trust, Inc.           
7.000% due 09/25/2033    2    2 
Commercial Mortgage Loan Trust           
5.953% due 12/10/2049 ~    4,765    3,109 
Countrywide Alternative Loan Trust           
2.696% due 07/25/2046 ^•(k)    1,857    1,690 
5.500% due 05/25/2022 ^    4    4 
6.500% due 07/25/2035 ^    310    250 
Countrywide Home Loan Mortgage Pass-Through Trust           
3.126% due 03/25/2035 •(k)    1,644    1,468 
3.435% due 08/25/2034 ~    404    400 
4.356% due 03/25/2046 ^•    2,228    1,447 
Countrywide Home Loan Reperforming REMIC Trust           
7.500% due 11/25/2034    767    782 
7.500% due 06/25/2035 ^    149    153 
Credit Suisse First Boston Mortgage-Backed Pass-through Certificates           
7.000% due 02/25/2034    366    402 
Credit Suisse Mortgage Capital Mortgage-Backed Trust           
6.500% due 03/25/2036 ^(k)    999    522 
Epic Drummond Ltd.           
0.000% due 01/25/2022 •   EUR82    91 
Eurosail PLC           
2.443% due 09/13/2045 •   GBP1,733    2,133 
3.093% due 09/13/2045 •    1,238    1,527 
4.693% due 09/13/2045 •    1,052    1,434 
GC Pastor Hipotecario FTA           
0.000% due 06/21/2046 •   EUR1,442    1,418 
GCCFC Commercial Mortgage Trust           
5.371% due 03/10/2039 ~   $917    427 
GE Commercial Mortgage Corp. Trust           
5.439% due 12/10/2049 ~(k)    936    847 
GMAC Mortgage Corp. Loan Trust           
4.697% due 08/19/2034 ~    53    51 
GS Mortgage Securities Corp.           
4.591% due 10/10/2032 ~    2,900    2,660 
GSAA Trust           
6.000% due 04/01/2034    888    943 
GSMPS Mortgage Loan Trust           
5.641% due 06/19/2027 ~    29    30 
7.000% due 06/25/2043 (k)    2,093    2,341 
8.000% due 09/19/2027 ~    490    485 
GSR Mortgage Loan Trust           
2.816% due 12/25/2034 •    261    251 
4.300% due 03/25/2033 •    2    2 
6.500% due 01/25/2034    183    195 
IM Pastor Fondo de Titluzacion Hipotecaria           
0.000% due 03/22/2043 •   EUR486    493 
JPMorgan Chase Commercial Mortgage Securities Trust           
5.411% due 05/15/2047   $1,885    1,141 
5.623% due 05/12/2045    598    461 
JPMorgan Mortgage Trust           
4.619% due 10/25/2036 ^~    1,761    1,727 
5.500% due 08/25/2022 ^    15    14 
5.500% due 06/25/2037 ^    257    255 
LB-UBS Commercial Mortgage Trust           
5.350% due 09/15/2040 ~(k)    3,620    3,648 

 

 

 

Schedule of Investments PIMCO Strategic Income Fund, Inc. (Cont.) March 31, 2019 (Unaudited)

 

Lehman XS Trust         
3.336% due 09/25/2047 •(k)    4,332    4,222 
MASTR Adjustable Rate Mortgages Trust           
4.173% due 10/25/2034 ~    537    496 
MASTR Alternative Loan Trust           
6.250% due 07/25/2036    369    317 
6.500% due 03/25/2034    765    822 
7.000% due 04/25/2034    33    36 
MASTR Reperforming Loan Trust           
7.000% due 05/25/2035    3,504    3,375 
7.500% due 07/25/2035    1,800    1,874 
Morgan Stanley Capital Trust           
6.118% due 06/11/2049 ~    182    183 
Morgan Stanley Resecuritization Trust           
3.703% due 12/26/2046 ~    7,627    6,789 
Motel 6 Trust           
9.410% due 08/15/2019 •    4,058    4,125 
NAAC Reperforming Loan REMIC Trust           
7.000% due 10/25/2034 ^    943    953 
7.500% due 03/25/2034 ^    2,431    2,457 
7.500% due 10/25/2034 ^    2,828    3,068 
Newgate Funding PLC           
0.941% due 12/15/2050 •   EUR1,981    2,126 
1.191% due 12/15/2050 •    1,981    2,107 
1.845% due 12/15/2050 •   GBP2,728    3,426 
2.095% due 12/15/2050 •    2,241    2,800 
RBSSP Resecuritization Trust           
6.000% due 02/26/2037 ~   $3,624    3,010 
6.250% due 12/26/2036 ~    5,805    3,795 
Residential Accredit Loans, Inc. Trust           
6.000% due 08/25/2035 ^    1,582    1,493 
Residential Asset Mortgage Products Trust           
8.500% due 10/25/2031    407    452 
8.500% due 11/25/2031    755    755 
Structured Asset Mortgage Investments Trust           
3.897% due 08/25/2047 ^•(k)    2,567    2,433 
Structured Asset Securities Corp. Mortgage Loan Trust           
7.500% due 10/25/2036 ^    2,713    2,299 
WaMu Mortgage Pass-Through Certificates Trust           
3.911% due 05/25/2035 ~    186    189 
Washington Mutual Mortgage Pass-Through Certificates Trust           
7.000% due 03/25/2034    118    129 
7.500% due 04/25/2033    261    278 
Wells Fargo Mortgage-Backed Securities Trust           
4.675% due 04/25/2036 ^~    18    18 
4.796% due 06/25/2035 ~    175    181 
Total Non-Agency Mortgage-Backed Securities (Cost $103,703)         110,314 
            
ASSET-BACKED SECURITIES 24.2%           
            
Access Financial Manufactured Housing Contract Trust           
7.650% due 05/15/2021    201    37 
Airspeed Ltd.           
2.754% due 06/15/2032 •    404    392 
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates           
6.011% due 11/25/2032 ^•    172    5 
Bear Stearns Asset-Backed Securities Trust           
2.333% due 09/25/2034 •    411    402 
Citigroup Mortgage Loan Trust           
2.646% due 12/25/2036 •(k)    4,704    3,139 
2.706% due 12/25/2036 •    2,529    1,270 
Citigroup Mortgage Loan Trust, Inc.           
2.746% due 03/25/2037 •(k)    5,524    5,002 
Conseco Finance Corp.           
6.530% due 02/01/2031 ~    116    112 
Conseco Finance Securitizations Corp.           
7.960% due 05/01/2031    1,556    897 
Countrywide Asset-Backed Certificates           
2.616% due 12/25/2036 ^•(k)    3,111    2,889 
2.626% due 06/25/2047 ^•(k)    7,713    6,924 
2.686% due 06/25/2037 ^•(k)    2,258    2,050 
2.686% due 06/25/2047 ^•(k)    5,683    5,023 
2.776% due 06/25/2037 •(k)    8,449    8,150 
4.756% due 07/25/2036 ~(k)    11,700    11,949 
Countrywide Asset-Backed Certificates Trust           
4.136% due 11/25/2034 •    2,297    1,553 
Crecera Americas LLC           
5.563% due 08/31/2020 •    5,200    5,212 
Credit-Based Asset Servicing & Securitization LLC           
5.519% due 12/25/2037 Ø    362    367 
Encore Credit Receivables Trust           
3.221% due 07/25/2035 •    576    543 
Flagship Credit Auto Trust           
0.000% due 12/15/2025 «(f)    12    3,014 
Greenpoint Manufactured Housing           
8.300% due 10/15/2026 ~    400    424 

 

 

 

Schedule of Investments PIMCO Strategic Income Fund, Inc. (Cont.) March 31, 2019 (Unaudited)

 

Marlette Funding Trust         
0.000% due 12/15/2028 «(f)    5,114    2,124 
0.000% due 04/16/2029 «(f)    5    1,725 
National Collegiate Commutation Trust           
0.000% due 03/25/2038 •    10,400    4,607 
Oakwood Mortgage Investors, Inc.           
2.714% due 06/15/2032 •    14    13 
Residential Asset Mortgage Products Trust           
8.500% due 12/25/2031    18    13 
SMB Private Education Loan Trust           
0.000% due 10/15/2048 «(f)    5    4,726 
SoFi Consumer Loan Program LLC           
0.000% due 05/26/2026 «(f)    31    1,667 
Total Asset-Backed Securities (Cost $71,496)         74,229 
            
SOVEREIGN ISSUES 5.2%           
            
Argentina Government International Bond           
3.375% due 01/15/2023   EUR100    90 
3.380% due 12/31/2038 Ø    1,570    1,005 
5.250% due 01/15/2028    100    83 
6.250% due 11/09/2047    100    81 
7.820% due 12/31/2033    3,702    3,627 
45.325% (BADLARPP + 3.250%) due 03/01/2020 ~   ARS500    11 
45.563% (BADLARPP + 2.000%) due 04/03/2022 ~    33,957    761 
49.153% (BADLARPP) due 10/04/2022 ~    32    1 
67.546% (ARLLMONP + 0.000%) due 06/21/2020 ~(a)    143,025    3,680 
Autonomous City of Buenos Aires Argentina           
0.000% due 03/29/2024 •    16,185    334 
Kazakhstan Government International Bond           
2.375% due 11/09/2028   EUR100    116 
Peru Government International Bond           
5.940% due 02/12/2029   PEN998    317 
6.150% due 08/12/2032    1,020    323 
6.350% due 08/12/2028    351    115 
8.200% due 08/12/2026    220    80 
Provincia de Buenos Aires           
0.000% (BADLARPP + 3.750%) due 04/12/2025 ~   ARS128,500    2,693 
Turkey Government International Bond           
4.625% due 03/31/2025   EUR900    983 
5.200% due 02/16/2026    300    333 
7.625% due 04/26/2029 (k)   $1,200    1,191 
Venezuela Government International Bond           
6.000% due 12/09/2020 ^(c)    135    40 
8.250% due 10/13/2024 ^(c)    13    4 
9.250% due 09/15/2027 ^(c)    171    55 
Total Sovereign Issues (Cost $22,469)         15,923 

 

   SHARES     
         
COMMON STOCKS 0.1%          
           
CONSUMER DISCRETIONARY 0.1%          
           
Caesars Entertainment Corp.  (d)   27,655    240 
           
ENERGY 0.0%          
           
Forbes Energy Services Ltd.  (d)(i)   4,500    15 
Total Common Stocks (Cost $550)        255 
           
PREFERRED SECURITIES 1.8%          
           
BANKING & FINANCE 1.8%          
           
Nationwide Building Society          
10.250%~   29,560    5,602 
Total Preferred Securities (Cost $5,834)        5,602 
           
REAL ESTATE INVESTMENT TRUSTS 0.3%          
           
REAL ESTATE 0.3%          
           
VICI Properties, Inc.   44,227    968 

 

 

 

Schedule of Investments PIMCO Strategic Income Fund, Inc. (Cont.) March 31, 2019 (Unaudited)

 

Total Real Estate Investment Trusts (Cost $668)   968 
      
SHORT-TERM INSTRUMENTS 5.5%     
      
REPURCHASE AGREEMENTS (j) 4.9%     
    15,026 

 

   PRINCIPAL
AMOUNT
(000s)		      
           
U.S. TREASURY BILLS 0.6%          
           
2.435% due 05/23/2019 - 06/06/2019 (e)(f)(n)   1,858    1,851 
Total Short-Term Instruments (Cost $16,877)        16,877 
Total Investments in Securities (Cost $1,201,407)        1,192,305 
Total Investments 388.5% (Cost $1,201,407)       $1,192,305 
Financial Derivative Instruments (l)(m) 0.4%(Cost or Premiums, net $(2,885))        1,484 
Other Assets and Liabilities, net (288.9)%        (886,854)
           
Net Assets 100.0%       $306,935 

 

 

 

Schedule of Investments PIMCO Strategic Income Fund, Inc. (Cont.) March 31, 2019 (Unaudited)

 

NOTES TO SCHEDULE OF INVESTMENTS:

 

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

 

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

 

^Security is in default.

 

«Security valued using significant unobservable inputs (Level 3).

 

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

 

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

 

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

 

(a)Interest only security.

 

(b)Principal only security.

 

(c)Security is not accruing income as of the date of this report.

 

(d)Security did not produce income within the last twelve months.

 

(e)Coupon represents a weighted average yield to maturity.

 

(f)Zero coupon security.

 

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

 

(h)Contingent convertible security.

 

(i)RESTRICTED SECURITIES:

 

Issuer Description  Acquisition
Date		   Cost   Market
Value		   Market Value
as Percentage
of Net Assets		 
Forbes Energy Services Ltd.   03/11/2014   $222   $15    0.00%
Pinnacol Assurance 8.625% due 06/25/2034   06/23/2014    2,600    2,543    0.83 
        $2,822   $2,558    0.83%

 

BORROWINGS AND OTHER FINANCING TRANSACTIONS

 

(j)REPURCHASE AGREEMENTS:

 

Counterparty  Lending
Rate		   Settlement
Date		  Maturity
Date		  Principal
Amount		   Collateralized By  Collateral
(Received)		   Repurchase
Agreements,
at Value		   Repurchase
Agreement
Proceeds
to be
Received(1)		 
FICC  2.000%  03/29/2019  04/01/2019  $3,226   U.S. Treasury Notes 2.625% due 07/15/2021  $(3,291)  $3,226   $3,226 
NOM  3.000   03/29/2019  04/01/2019   11,800   U.S. Treasury Notes 2.375% due 03/15/2022   (12,047)   11,800    11,803 
Total Repurchase Agreements               $(15,338)  $15,026   $15,029 

 

REVERSE REPURCHASE AGREEMENTS:

 

Counterparty  Borrowing Rate(2)   Settlement Date  Maturity Date  Amount
Borrowed(2)		   Payable for
Reverse
Repurchase
Agreements		 
BPS  2.650%  02/22/2019  05/21/2019  $(1,129)  $(1,132)
   2.750   03/13/2019  04/15/2019   (62,620)   (62,711)
   2.800   02/14/2019  05/14/2019   (929)   (932)
   2.900   03/05/2019  06/05/2019   (3,123)   (3,130)
   2.930   03/06/2019  06/06/2019   (2,844)   (2,850)
   2.930   03/12/2019  06/12/2019   (15,404)   (15,429)
   2.980   01/24/2019  04/24/2019   (5,429)   (5,459)
   2.990   02/15/2019  05/15/2019   (2,423)   (2,432)
   3.000   02/11/2019  05/13/2019   (7,816)   (7,848)
   3.000   02/14/2019  05/14/2019   (5,381)   (5,402)
   3.150   03/05/2019  06/05/2019   (4,658)   (4,669)
   3.150   03/06/2019  06/06/2019   (2,301)   (2,306)
   3.150   03/07/2019  06/06/2019   (2,444)   (2,449)
   3.150   03/11/2019  06/11/2019   (2,859)   (2,864)
   3.150   03/20/2019  06/20/2019   (141)   (141)
   3.150   03/25/2019  06/06/2019   (72)   (72)
   3.180   03/04/2019  06/04/2019   (4,898)   (4,910)
   3.180   03/13/2019  04/15/2019   (2,660)   (2,665)
   3.180   03/18/2019  06/18/2019   (975)   (976)
   3.180   03/20/2019  06/20/2019   (403)   (403)
   3.200   03/05/2019  06/05/2019   (1,433)   (1,436)

 

 

 

 

Schedule of Investments PIMCO Strategic Income Fund, Inc. (Cont.) March 31, 2019 (Unaudited)

 

   3.220   02/19/2019  05/20/2019   (2,829)   (2,839)
   3.250   02/11/2019  05/13/2019   (3,333)   (3,348)
   3.250   02/14/2019  05/14/2019   (923)   (927)
   3.250   02/19/2019  05/20/2019   (1,752)   (1,759)
   3.260   03/12/2019  06/12/2019   (1,223)   (1,225)
   3.350   01/22/2019  04/22/2019   (1,916)   (1,928)
   3.380   02/14/2019  05/14/2019   (7,583)   (7,616)
   3.400   01/14/2019  04/15/2019   (2,899)   (2,920)
   3.400   01/18/2019  04/15/2019   (48)   (48)
   3.400   01/25/2019  04/15/2019   (72)   (72)
   3.545   03/07/2019  06/06/2019   (1,107)   (1,110)
   3.625   03/19/2019  06/19/2019   (6,760)   (6,769)
   3.684   02/14/2019  05/14/2019   (5,432)   (5,458)
   3.694   02/15/2019  05/15/2019   (17,464)   (17,545)
   3.697   02/08/2019  05/08/2019   (4,634)   (4,659)
   3.713   03/20/2019  06/20/2019   (616)   (617)
   3.787   01/15/2019  04/15/2019   (9,547)   (9,623)
JPS  3.451   03/08/2019  06/10/2019   (2,120)   (2,125)
RBC  3.690   03/11/2019  06/10/2019   (1,494)   (1,497)
RTA  3.613   03/20/2019  06/20/2019   (458)   (459)
   3.663   03/20/2019  06/20/2019   (750)   (751)
UBS  3.000   03/14/2019  TBD(3)   (2,453)   (2,457)
   3.110   03/14/2019  06/13/2019   (279)   (279)
Total Reverse Repurchase Agreements              $(206,247)

 

MORTGAGE DOLLAR ROLLS:

 

Counterparty  Borrowing Rate(2)   Borrowing Date  Maturity Date  Amount
Received		   Amount
Borrowed(2)		 
FOB  0.810%  04/10/2019  05/12/2019  $1,090   $(1,090)
   0.852   04/10/2019  05/12/2019   170,674    (170,674)
   1.021   05/13/2019  06/12/2019   50,224    (50,224)
   1.065   04/10/2019  05/12/2019   204,340    (204,340)
   1.179   05/13/2019  06/12/2019   1,095    (1,095)
MSC  0.810   04/10/2019  05/12/2019   10,104    (10,104)
Total Mortgage Dollar Rolls            $437,527    (437,527)

 

SHORT SALES:

 

Description  Coupon   Maturity
Date		  Principal
Amount		   Proceeds   Payable for
Short Sales		 
U.S. Government Agencies (61.0)% Fannie Mae, TBA   3.000%    04/01/2049  $187,900   $(185,118)  $(187,137)
Total Short Sales (61.0)%                 $(185,118)  $(187,137)

 

(k)Securities with an aggregate market value of $231,530 and cash of $74 have been pledged as collateral under the terms of master agreements as of March 31, 2019.

 

(1)Includes accrued interest.

 

(2)The average amount of borrowings outstanding during the period ended March 31, 2019 was $(917,808) at a weighted average interest rate of 1.554%. Average borrowings may include reverse repurchase agreements, sale-buyback transactions, and mortgage dollar rolls, if held during the period.

 

(3)Open maturity reverse repurchase agreement.

 

(l)FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED

 

FUTURES CONTRACTS:

 

LONG FUTURES CONTRACTS

 

                      Variation Margin 
Description   Expiration
Month		   # of
Contracts		   Notional
Amount		   Unrealized
Appreciation/
(Depreciation)		   Asset   Liability 
90-Day Eurodollar June Futures   06/2019   212   $51,651   $(334)  $0   $(8)
Total Futures Contracts                $(334)  $0   $(8)

 

SWAP AGREEMENTS:

 

CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION(1)

 

                                    Variation Margin 
Reference
Entity		  Fixed
Receive Rate		  Payment
Frequency		  Maturity
Date		   Implied
Credit Spread at
March 31,
2019(2)		   Notional
Amount(3)		   Premiums
Paid/
(Received)		   Unrealized
Appreciation/
(Depreciation)		   Market
Value(4)		   Asset   Liability 
General Electric Co.  1.000%  Quarterly  12/20/2020   0.274%  $200   $(4)   $7  $3   $0   $0 

 

 

 

 

Schedule of Investments PIMCO Strategic Income Fund, Inc. (Cont.) March 31, 2019 (Unaudited)
                                      
General Electric Co.  1.000  Quarterly  12/20/2023   0.920   300    (17)    18   1    0    0 
                     $(21)  $25   $4   $0   $0 

 

INTEREST RATE SWAPS

  

                                   Variation Margin 
Pay/
Receive
Floating
Rate		  Floating Rate Index  Fixed Rate  Payment
Frequency		  Maturity
Date		  Notional
Amount		   Premiums
Paid/
(Received)		   Unrealized
Appreciation/
(Depreciation)		   Market
Value		   Asset   Liability 
Pay  3-Month CAD-Bank Bill  3.300%  Semi-Annual  06/19/2024   CAD11,200   $623   $(15)  $608   $0   $(46)
Receive  3-Month CAD-Bank Bill  3.500  Semi-Annual  06/20/2044   3,800    (534)   (134)   (668)   48    0 
Pay  3-Month USD-LIBOR  3.000  Semi-Annual  06/19/2024  $95,800    (3,658)   411    (3,247)   209    0 
Receive  3-Month USD-LIBOR  2.000  Semi-Annual  06/20/2025   8,400    399    (283)   116    20    0 
Receive  3-Month USD-LIBOR  2.500  Semi-Annual  06/20/2048   57,400    2,198    (1,156)   1,042    170    0 
Receive  6-Month EUR-EURIBOR  0.000  Annual  08/19/2021   EUR257,400    (406)   (590)   (996)   110    0 
Receive  6-Month EUR-EURIBOR  0.260  Annual  09/06/2024   88,000    14    (902)   (888)   284    0 
Pay  6-Month EUR-EURIBOR  0.650  Annual  02/26/2029   167,700    (786)   4,396    3,610    0    (642)
Pay  6-Month EUR-EURIBOR  1.000  Annual  06/19/2029   600    (1)   (32)   (33)   2    0 
Pay  6-Month EUR-EURIBOR  0.750  Annual  09/18/2029   2,300    (20)   (32)   (52)   10    0 
Receive  6-Month EUR-EURIBOR  1.250  Annual  08/19/2049   40,800    872    (2,893)   (2,021)   741    0 
Receive  6-Month GBP-LIBOR  1.500  Semi-Annual  09/18/2029   GBP1,500    (11)   (39)   (50)   0    0 
Receive  6-Month GBP-LIBOR  1.500  Semi-Annual  09/18/2049   1,600    26    (100)   (74)   13    0 
                    $(1,284)  $(1,369)  $(2,653)  $1,607   $(688)
Total Swap Agreements             $(1,305)  $(1,344)  $(2,649)  $1,607   $(688)

 

Cash of $12,312 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of March 31, 2019.

 

(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, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

 

(2)Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators 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.

 

(4)The prices and resulting values for credit default swap agreements serve as indicators 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.

 

(m)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   04/2019  $ 82   ARS 3,387   $0   $ (6)  
    04/2019    17,016   EUR 15,119    0     (56)  
    05/2019  EUR 15,119   $ 17,060    56     0  
BPS   04/2019  ARS 1,935     46    2     0  
    04/2019  $ 44   ARS 1,935    0     0  
    05/2019  ARS 1,058   $ 23    0     0  
BRC   04/2019    65,546     1,521    49     0  
CBK   04/2019  EUR 2,488     2,806    15     0  
    04/2019  GBP 32,702     43,066    473     0  
FBF   04/2019  ARS 4,319     100    0     0  
    04/2019  $ 109   ARS 4,319    0     (9)  
GLM   04/2019  ARS 8,205   $ 197    20     0  
    04/2019  $ 189   ARS 8,205    1     0  
    05/2019  ARS 4,763   $ 104    0     (1)  
HUS   04/2019  PEN 1,700     510    0     (2)  
    04/2019  $ 344   GBP 260    0     (6)  
JPM   04/2019  EUR 12,631   $ 14,418    249     0  
MSB   05/2019  ARS 127,683     3,008    196     0  
SCX   04/2019  $ 42,950   GBP 32,442    0     (696)  
    05/2019  GBP 32,442   $ 43,015    695     0  
SOG   05/2019  $ 2,822   RUB 187,426    15     0  
Total Forward Foreign Currency Contracts                  $1,771   $ (776)  

 

 

 

 

Schedule of Investments PIMCO Strategic Income Fund, Inc. (Cont.) March 31, 2019 (Unaudited)

 

PURCHASED OPTIONS:

 

OPTIONS ON SECURITIES

 

Counterparty  Description  Strike
Price		   Expiration
Date		  Notional
Amount**		   Cost   Market
Value		 
DUB  Put - OTC Fannie Mae, TBA 3.000% due 04/01/2049  $68.000   04/03/2019   16,000    $1   $0 
   Put - OTC Fannie Mae, TBA 3.500% due 04/01/2049   70.000   04/03/2019   38,000     1    0 
   Put - OTC Fannie Mae, TBA 4.000% due 04/01/2049   72.000   04/03/2019   219,000     9    0 
FAR  Put - OTC Fannie Mae, TBA 3.000% due 04/01/2049   67.500   04/03/2019   162,000     6    0 
   Put - OTC Fannie Mae, TBA 3.500% due 04/01/2049   72.500   04/03/2019   185,000     7    0 
GSC  Put - OTC Fannie Mae, TBA 4.000% due 04/01/2049   80.000   04/03/2019   1,000     0    0 
JPM  Put - OTC Fannie Mae, TBA 3.000% due 05/01/2049   69.000   05/06/2019   15,000     1    0 
   Put - OTC Fannie Mae, TBA 3.500% due 05/01/2049   70.000   05/06/2019   11,000     0    0 
   Put - OTC Freddie Mac, TBA 4.000% due 05/01/2049   71.000   05/06/2019   3,000     0    0 
   Put - OTC Ginnie Mae, TBA 4.000% due 05/01/2049   71.000   05/06/2019   20,000     1    0 
SAL  Put - OTC Fannie Mae, TBA 4.000% due 05/01/2049   75.000   05/06/2019   12,000     0    0 
   Put - OTC Fannie Mae, TBA 4.000% due 05/01/2049   77.000   05/06/2019   750     0    0 
Total Purchased Options                $26   $0 

 

SWAP AGREEMENTS:

 

CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION(1)

 

                             Swap Agreements, at Value(4) 
Counterparty  Reference Entity  Fixed
Receive Rate		  Payment
Frequency		  Maturity
Date		  Implied
Credit Spread at
March 31,
2019(2)		   Notional
Amount(3)		   Premiums
Paid/(Received)		   Unrealized
Appreciation/
(Depreciation)		   Asset   Liability 
GST  Petrobras Global Finance BV  1.000%  Quarterly  09/20/2020  0.693%  $10   $(1)  $1   $0   $0
   Russia Government International                                      
JPM  Bond  1.000  Quarterly  12/20/2020  0.814    200    (23)   24   1    0
                        $(24)  $25   $1   $0 

 

CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION(1)

 

                              Swap Agreements, at Value(4) 
Counterparty  Index/Tranches  Fixed
Receive Rate		  Payment
Frequency		  Maturity
Date		  Notional
Amount(3)		   Premiums
Paid/(Received)		   Unrealized
Appreciation/
(Depreciation)		   Asset   Liability 
DUB  CMBX.NA.BBB-.6 Index  3.000%  Monthly  05/11/2063  $1,100   $(67)  $(72)  $0   $(139)
   CMBX.NA.BBB-.8 Index  3.000  Monthly  10/17/2057   1,400    (161)   66    0    (95)
   CMBX.NA.BBB-.9 Index  3.000  Monthly  09/17/2058   900    (113)   59    0    (54)
FBF  CMBX.NA.BBB-.6 Index  3.000  Monthly  05/11/2063   100    (12)   (1)   0    (13)
   CMBX.NA.BBB-.7 Index  3.000  Monthly  01/17/2047   100    (10)   5    0    (5)
   CMBX.NA.BBB-.8 Index  3.000  Monthly  10/17/2057   400    (63)   36    0    (27)
GST  CMBX.NA.A.6 Index  2.000  Monthly  05/11/2063   1,400    (71)   41    0    (30)
   CMBX.NA.BB.6 Index  5.000  Monthly  05/11/2063   1,000    (135)   (97)   0    (232)
   CMBX.NA.BBB-.6 Index  3.000  Monthly  05/11/2063   2,200    (121)   (157)   0    (278)
   CMBX.NA.BBB-.7 Index  3.000  Monthly  01/17/2047   400    (20)   2    0    (18)
   CMBX.NA.BBB-.9 Index  3.000  Monthly  09/17/2058   2,200    (274)   143    0    (131)
MYC  CMBX.NA.BBB-.10 Index  3.000  Monthly  11/17/2059   2,750    (293)   148    0    (145)
   CMBX.NA.BBB-.6 Index  3.000  Monthly  05/11/2063   550    (29)   (40)   0    (69)
   CMBX.NA.BBB-.7 Index  3.000  Monthly  01/17/2047   700    (31)   (1)   0    (32)
   CMBX.NA.BBB-.8 Index  3.000  Monthly  10/17/2057   400    (46)   19    0    (27)
   CMBX.NA.BBB-.9 Index  3.000  Monthly  09/17/2058   1,100    (136)   70    0    (66)
                    $(1,582)  $221   $0   $(1,361)

 

INTEREST RATE SWAPS

 

                              Swap Agreements, at Value 
   Pay/                      Unrealized        
   Receive        Payment  Maturity  Notional   Premiums   Appreciation/        
Counterparty   Floating Rate  Floating Rate Index  Fixed Rate  Frequency  Date  Amount   Paid/(Received)   (Depreciation)   Asset  Liability 
GLM  Pay  3-Month USD-LIBOR  0.330% Annual  09/06/2024 EUR    405,400   $0   $938   $938  $0 
Total Swap Agreements                 $(1,606)  $1,184   $939  $(1,361)

 

(n)Securities with an aggregate market value of $1,473 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of March 31, 2019.

 

**Notional Amount represents the number of contracts.

 

(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, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

 

(2)Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators 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.

 

 

 

 

Schedule of Investments PIMCO Strategic Income Fund, Inc. (Cont.) March 31, 2019 (Unaudited)

 

(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.

 

(4)The prices and resulting values for credit default swap agreements serve as indicators 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.

 

FAIR VALUE MEASUREMENTS

 

The following is a summary of the fair valuations according to the inputs used as of March 31, 2019 in valuing the Fund’s assets and liabilities:

 

Category and Subcategory   Level 1    Level 2    Level 3   Fair Value
at 03/31/2019		 
Investments in Securities, at Value                       
Loan Participations and Assignments  $ 0   $15,835    $ 8,614   $24,449 
Corporate Bonds & Notes                       
Banking & Finance    0    45,380      2,543    47,923 
Industrials    0    51,611      195    51,806 
Utilities    0    15,043      0    15,043 
Municipal Bonds & Notes                       
Illinois    0    299      0    299 
West Virginia    0    3,210      0    3,210 
U.S. Government Agencies    0    825,407      0    825,407 
Non-Agency Mortgage-Backed Securities    0    110,314      0    110,314 
Asset-Backed Securities    0    60,973      13,256    74,229 
Sovereign Issues    0    15,923      0    15,923 
Common Stocks                       
Consumer Discretionary    240    0      0    240 
Energy    0    15      0    15 
Preferred Securities                       
Banking & Finance    0    5,602      0    5,602 
Real Estate Investment Trusts                       
Real Estate    968    0      0    968 
Short-Term Instruments                       
Repurchase Agreements    0    15,026      0    15,026 
U.S. Treasury Bills    0    1,851      0    1,851 
                        
Total Investments  $ 1,208   $1,166,489    $ 24,608   $1,192,305 
                        
Short Sales, at Value - Liabilities                       
U.S. Government Agencies  $ 0   $(187,137)   $ 0   $(187,137)
                        
Financial Derivative Instruments - Assets                       
Exchange-traded or centrally cleared    0    1,607      0    1,607 
Over the counter    0    2,710      0    2,710 
                        
   $ 0   $4,317    $ 0   $4,317 
Financial Derivative Instruments - Liabilities                       
Exchange-traded or centrally cleared    (8)   (688)     0    (696)
Over the counter    0    (2,137)     0    (2,137)
                        
   $ (8)  $(2,825)   $ 0   $(2,833)
                        
Total Financial Derivative Instruments  $ (8)  $1,492    $ 0   $1,484 
                        
Totals  $ 1,200   $980,844    $ 24,608   $1,006,652 

 

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended March 31, 2019:

 

Category and Subcategory  Beginning Balance at 06/30/2018   Net Purchases   Net Sales/Settlements   Accrued Discounts/ (Premiums)   Realized Gain/(Loss)   Net Change in Unrealized Appreciation/ (Depreciation) (1)  

Transfers into Level 3

  

Transfers out of Level 3

   Ending Balance at 03/31/2019   Net Change in Unrealized Appreciation/ (Depreciation) on Investments Held at 03/31/2019 (1) 
Investments in Securities, at Value                                                  
Loan Participations                                                  
and Assignments  $1,377   $7,341   $(2)  $2   $0   $(143)  $39   $0   $8,614   $(143)
Corporate Bonds &                                                  
Notes                                                  
Banking &                                                  
Finance   5,095    0    (2,400)   0    10    (162)   0    0    2,543    (156)
Industrials   190    0    (1)   0    0    6    0    0    195    6 
Asset-Backed                                                  
Securities   0    15,074    (321)   74    (7)   (1,564)   0    0    13,256    (1,564)

 

 

 

 

Schedule of Investments PIMCO Strategic Income Fund, Inc. (Cont.) March 31, 2019 (Unaudited)

 

Totals  $6,662   $22,415   $(2,724)  $76   $3   $(1,863)  $39   $0   $24,608   $(1,857)

 

 

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 03/31/2019		   Valuation Technique  Unobservable Inputs  Input Value(s)
(% Unless Noted Otherwise)		 
Investments in Securities, at Value                
Loan Participations and Assignments  $8,614   Third Party Vendor  Broker Quote   94.750 - 101.000 
Corporate Bonds & Notes                
Banking & Finance   2,543   Reference Instrument  Option Adjusted Spread   642.930 bps 
Industrials   195   Reference Instrument  Yield   9.870 
Asset-Backed Securities   2,124   Other Valuation Techniques(2)  -   - 
    11,132   Proxy Pricing  Base Price   5,371.000 - 106,117.000 
Total  $24,608            

 

(1)Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at March 31, 2019 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 Notes to Financial Statements as securities valued using such techniques are not considered significant to the Fund.

 

 

 

 

Notes to Financial Statements

 

1. INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS

 

(a) Investment Valuation Policies The net asset value (“NAV”) of the Fund’s shares 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 the 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 as of which its NAV is calculated if the Fund closes earlier, or as permitted by the U.S. Securities and Exchange Commission (“SEC”).

 

For purposes of calculating a 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 Fund’s 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 does not normally take into account trading, clearances or settlements that take place after the NYSE Close. If market value pricing is used, a foreign (non-U.S.) equity security traded on a foreign exchange or on more than one exchange is typically valued using pricing information from the exchange considered by Pacific Investment Management Company LLC (“PIMCO” or the “Manager”) to be the primary exchange. 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 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. The Fund’s investments in open-end management investment companies, other than exchange-traded funds (“ETFs”), are valued at 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. For these purposes, any movement in the applicable reference index or instrument (“zero trigger”) relating to the non U.S security being fair valued between the earlier close of the applicable foreign market and the NYSE Close may be deemed to be a significant event, prompting the application of the pricing model (effectively resulting in daily fair valuations). Foreign exchanges may permit trading in foreign (non-U.S.) equity securities on days when the Fund is not open for business, which may result in the Fund’s portfolio investments being affected when shareholders are unable to buy or sell shares.

 

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 Fund is not open for business. As a result, to the extent that the Fund holds foreign (non-U.S.) investments, the value of those investments may change at times when shareholders are unable to buy or sell shares and the value of such investments will be reflected in the Fund’s next calculated NAV.

 

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 Board. 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,

 

 

 

 

Notes to Financial Statements (Cont.)

 

separately for each major category of assets and liabilities, that segregates fair value measurements into levels (Level 1, 2, or 3). The inputs or methodology used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. Levels 1, 2, and 3 of the fair value hierarchy are defined as follows:

 

• Level 1 — Quoted prices 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.

 

Assets or liabilities categorized as Level 2 or 3 as of period end have been transferred between Levels 2 and 3 since the prior period due to changes in the method utilized in valuing the investments. Transfers from Level 2 to Level 3 are a result of a change, in the normal course of business, from the use of methods used by Pricing Services (Level 2) to the use of a Broker Quote or valuation technique which utilizes significant unobservable inputs due to an absence of current or reliable market-based data (Level 3). In accordance with the requirements of U.S. GAAP, the amounts of transfers into and out of Level 3, if material, are disclosed in the Notes to Consolidated Schedule of Investments for the Fund.

 

For fair valuations using significant unobservable inputs, U.S. GAAP requires a reconciliation of the beginning to ending balances for reported fair values that presents changes attributable to realized gain (loss), unrealized appreciation (depreciation), purchases and sales, accrued discounts (premiums), and transfers into and out of the Level 3 category during the period. The end of period value is used for the transfers between 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, rights and warrants, or options on futures that are traded on a national securities exchange, are stated at the last reported sale or settlement price on the day of valuation. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy.

 

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.

 

Equity exchange-traded options and over the counter financial derivative instruments, such as forward foreign currency contracts and options contracts derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These contracts are normally valued on the basis of quotes obtained from a quotation reporting system, established market makers or Pricing 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 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 and over the counter swaps derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. They are valued using a broker-dealer bid quotation or on market-based prices provided by Pricing Services (normally determined as of the NYSE close). Centrally cleared swaps and over the counter swaps can be valued by Pricing Services using a series of techniques, including simulation pricing models. The pricing models may use inputs that are observed from actively quoted markets such as the overnight index swap rate (“OIS”), London Interbank Offered Rate (“LIBOR”) forward rate, interest rates, yield curves and credit spreads. These securities are categorized as Level 2 of the fair value hierarchy.

 

 

 

 

March 31, 2019 (Unaudited)

 

Level 3 trading assets and trading liabilities, at fair value When a fair valuation method is applied by PIMCO 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.

 

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

 

Reference instrument valuation estimates fair value by utilizing the correlation of the security to one or more broad-based securities, market indices, and/or other financial instruments, whose pricing information is readily available. Unobservable inputs may include those used in algorithm formulas based on percentage change in the reference instruments and/or weights of each reference instrument. Significant changes in the unobservable inputs would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.

 

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

 

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 March 31, 2019, the Fund has recorded no liability for net unrecognized tax benefits relating to uncertain income tax positions it has taken or expects to take in future tax returns.

 

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

 

 

 

 

Glossary: (abbreviations that may be used in the preceding statements)   (Unaudited)
     
Counterparty Abbreviations:        
BOA Bank of America N.A. FOB Credit Suisse Securities (USA) LLC MSC Morgan Stanley & Co., Inc.
BPS BNP Paribas S.A. GLM Goldman Sachs Bank USA MYC Morgan Stanley Capital Services, Inc.
BRC Barclays Bank PLC GSC Goldman Sachs & Co. NOM Nomura Securities International Inc.
CBK Citibank N.A. GST Goldman Sachs International RBC Royal Bank of Canada
DUB Deutsche Bank AG HUS HSBC Bank USA N.A. RTA RBC (Barbados) Trading Bank Corp.
FAR Wells Fargo Bank National Association JPM JP Morgan Chase Bank N.A. SAL Citigroup Global Markets, Inc.
FBF Credit Suisse International JPS JP Morgan Securities, Inc. SCX Standard Chartered Bank
FICC Fixed Income Clearing Corporation MSB Morgan Stanley Bank, N.A SOG Societe Generale Paris
           
Currency Abbreviations:        
ARS Argentine Peso GBP British Pound RUB Russian Ruble
CAD Canadian Dollar PEN Peruvian New Sol USD (or $) United States Dollar
EUR Euro        
           
Exchange Abbreviations:        
OTC Over the Counter        
           
Index/Spread Abbreviations:        
ARLLMONP Argentina Blended Policy Rate CMBX Commercial Mortgage-Backed Index LIBOR03M 3 Month USD-LIBOR
BADLARPP Argentina Badlar Floating Rate Notes        
           
Other Abbreviations:        
ALT Alternate Loan Trust LIBOR London Interbank Offered Rate TBD To-Be-Determined
          Interest rate to be determined when loan
BABs Build America Bonds REMIC Real Estate Mortgage Investment Conduit TBD% settles or at the time of funding
EURIBOR Euro Interbank Offered Rate TBA To-Be-Announced