NPORT-EX 2 strategicincomefundinc.htm PIMCO STRATEGIC INCOME FUND, INC. strategicincomefundinc

Schedule of Investments PIMCO Strategic Income Fund, Inc. (Cont.)

March 31, 2020

(Unaudited)

 

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

 

 

PRINCIPAL
AMOUNT
(000s)

 

MARKET
VALUE
(000s)

INVESTMENTS IN SECURITIES 307.6% ¤

 

 

 

 

LOAN PARTICIPATIONS AND ASSIGNMENTS 11.5%

 

 

 

 

Advanz Pharma Corp.
6.568% (LIBOR03M + 5.500%) due 09/06/2024 ~

$

2,487

$

2,160

Al Convoy (Luxembourg) SARL
TBD% due 01/17/2027

 

100

 

94

Altice France S.A.
4.705% (LIBOR03M + 4.000%) due 08/14/2026 ~

 

99

 

93

Arconic Rolled Products Corp.
TBD% due 02/04/2027 «

 

12

 

11

Core & Main LP
4.330% - 4.331% (LIBOR03M + 2.750%) due 08/01/2024 ~

 

20

 

17

Diamond Resorts Corp.
4.750% (LIBOR03M + 3.750%) due 09/02/2023 ~

 

820

 

621

Dubai World (3.000% Cash and 1.750% PIK)
4.750% (LIBOR03M + 2.000%) due 09/30/2022 ~(c)

 

1,868

 

1,742

Elanco Animal Health, Inc.
TBD% due 02/04/2027

 

59

 

57

Envision Healthcare Corp.
4.739% (LIBOR03M + 3.750%) due 10/10/2025 ~

 

8,113

 

4,348

Fleet U.S. Bidco, Inc.
4.322% (LIBOR03M + 3.250%) due 10/07/2026 «~

 

8

 

7

Forbes Energy Services LLC (6.909% Cash and 11.000% PIK)
17.909% (LIBOR03M + 5.000%) due 04/13/2021 ~(c)

 

70

 

56

Ingersoll Rand Co. Ltd.
2.739% (LIBOR03M + 1.750%) due 03/01/2027 ~

 

24

 

23

Innophos, Inc.
4.755% (LIBOR03M + 3.750%) due 02/04/2027 «~

 

12

 

10

Intelsat Jackson Holdings S.A.
5.682% (LIBOR03M + 3.750%) due 11/27/2023 ~

 

10

 

9

IRB Holding Corp.
3.750% - 3.954% (LIBOR03M + 2.750%) due 02/05/2025 «~

 

434

 

339

Jefferies Finance LLC
4.239% - 4.250% (LIBOR03M + 3.250%) due 06/03/2026 ~

 

12

 

10

McDermott International, Inc.
10.647% - 10.806% (LIBOR03M + 9.000%) due 10/21/2020 ~

 

714

 

659

McDermott Technology Americas, Inc.

 

 

 

 

TBD% due 10/21/2021 ^«(d)

 

497

 

460

TBD% due 05/09/2025 ^(d)

 

1,089

 

329

Messer Industrie GmbH
3.950% (LIBOR03M + 2.500%) due 03/01/2026 ~

 

39

 

35

MH Sub LLC
4.822% (LIBOR03M + 3.750%) due 09/13/2024 ~

 

59

 

51

NCI Building Systems, Inc.
4.561% (LIBOR03M + 3.750%) due 04/12/2025 «~

 

20

 

17

Neiman Marcus Group Ltd. LLC
7.500% (LIBOR03M + 6.000%) due 10/25/2023 ~

 

3,586

 

1,452

Neiman Marcus Group Ltd. LLC (6.516% Cash and 1.000% PIK)
7.516% (LIBOR03M + 5.500%) due 10/25/2023 ~(c)

 

5,007

 

1,990

Ortho-Clinical Diagnostics S.A.
4.765% (LIBOR03M + 3.250%) due 06/30/2025 ~

 

321

 

275

Pacific Gas & Electric Co.
TBD% due 02/22/2049 ^«(d)

 

416

 

417

PetSmart, Inc.
5.000% (LIBOR03M + 4.000%) due 03/11/2022 ~

 

153

 

148

PUG LLC
4.489% - 4.950% (LIBOR03M + 3.500%) due 01/29/2027 «~

 

16

 

14

Sequa Mezzanine Holdings LLC

 

 

 

 

6.742% (LIBOR03M + 5.000%) due 11/28/2021 «~

 

166

 

134

10.770% (LIBOR03M + 9.000%) due 04/28/2022 ~

 

7,990

 

5,893

Sotera Health Holdings LLC
5.500% (LIBOR03M + 4.500%) due 12/11/2026 ~

 

59

 

53

SS&C Technologies, Inc.
2.739% (LIBOR03M + 1.750%) due 04/16/2025 ~

 

114

 

104

Starfruit Finco BV
3.863% (LIBOR03M + 3.000%) due 10/01/2025 «~

 

96

 

88

Summer (BC) Holdco B SARL

 

 

 

 

6.906% (LIBOR03M + 5.000%) due 12/04/2026 «~

 

1,224

 

1,010

6.917% (LIBOR03M + 5.000%) due 12/04/2026 «~

 

306

 

252

Syniverse Holdings, Inc.
6.873% (LIBOR03M + 5.000%) due 03/09/2023 ~

 

3,855

 

2,576

U.S. Renal Care, Inc.
6.000% (LIBOR03M + 5.000%) due 06/26/2026 ~

 

208

 

187

Univision Communications, Inc.
3.750% (LIBOR03M + 2.750%) due 03/15/2024 ~

 

2,086

 

1,783

 

Schedule of Investments PIMCO Strategic Income Fund, Inc. (Cont.)

March 31, 2020

(Unaudited)

 

West Corp.
5.000% - 5.450% (LIBOR03M + 4.000%) due 10/10/2024 «~

 

34

 

27

Westmoreland Mining Holdings LLC
9.093% (LIBOR03M + 8.250%) due 03/15/2022 ~

 

1

 

1

Westmoreland Mining Holdings LLC (15.000% PIK)
15.000% due 03/15/2029 «(c)

 

5

 

3

Total Loan Participations and Assignments (Cost $38,985)

 

 

 

27,555

CORPORATE BONDS & NOTES 32.6%

 

 

 

 

BANKING & FINANCE 8.3%

 

 

 

 

Ally Financial, Inc.
8.000% due 11/01/2031

 

3

 

3

Ambac LSNI LLC
6.450% due 02/12/2023 •

 

294

 

281

Ardonagh Midco PLC
8.375% due 07/15/2023

GBP

5,810

 

6,180

Banco de Credito del Peru
4.650% due 09/17/2024

PEN

400

 

118

Barclays Bank PLC
7.625% due 11/21/2022 (i)(l)

$

800

 

819

Barclays PLC

 

 

 

 

5.875% due 09/15/2024 •(h)(i)(l)

GBP

900

 

795

8.000% due 06/15/2024 •(h)(i)(l)

$

250

 

232

BGC Partners, Inc.
3.750% due 10/01/2024 (l)

 

400

 

359

Brookfield Finance, Inc.

 

 

 

 

3.900% due 01/25/2028

 

6

 

6

4.700% due 09/20/2047

 

78

 

74

Cantor Fitzgerald LP
4.875% due 05/01/2024

 

12

 

12

CBL & Associates LP

 

 

 

 

4.600% due 10/15/2024 (l)

 

477

 

102

5.250% due 12/01/2023 (l)

 

82

 

19

5.950% due 12/15/2026 (l)

 

280

 

54

Credit Suisse Group AG
7.500% due 07/17/2023 •(h)(i)(l)

 

200

 

184

Emerald Bay S.A.
0.000% due 10/08/2020 (g)

EUR

15

 

16

Equitable Holdings, Inc.
5.000% due 04/20/2048

$

5

 

5

ESH Hospitality, Inc.
4.625% due 10/01/2027

 

31

 

24

Fortress Transportation & Infrastructure Investors LLC
6.500% due 10/01/2025 (l)

 

100

 

74

GE Capital International Funding Co. Unlimited Co.
4.418% due 11/15/2035 (l)

 

200

 

217

HSBC Holdings PLC
5.875% due 09/28/2026 •(h)(i)

GBP

200

 

222

Hudson Pacific Properties LP
3.950% due 11/01/2027

$

18

 

17

Hunt Cos., Inc.
6.250% due 02/15/2026

 

14

 

11

ING Groep NV
5.750% due 11/16/2026 •(h)(i)(l)

 

200

 

173

Kennedy-Wilson, Inc.
5.875% due 04/01/2024 (l)

 

36

 

33

LoanCore Capital Markets LLC
6.875% due 06/01/2020 (l)

 

1,000

 

949

Newmark Group, Inc.
6.125% due 11/15/2023 (l)

 

52

 

53

Oppenheimer Holdings, Inc.
6.750% due 07/01/2022

 

20

 

19

Pinnacol Assurance
8.625% due 06/25/2034 «(j)

 

2,600

 

2,935

Royal Bank of Scotland Group PLC
8.000% due 08/10/2025 •(h)(i)(l)

 

300

 

282

Sabra Health Care LP
4.800% due 06/01/2024 (l)

 

85

 

86

Sberbank of Russia Via SB Capital S.A.
6.125% due 02/07/2022 (l)

 

2,000

 

2,073

Societe Generale S.A.
7.375% due 10/04/2023 •(h)(i)

 

200

 

173

Springleaf Finance Corp.
6.875% due 03/15/2025 (l)

 

54

 

55

TP ICAP PLC

 

 

 

 

5.250% due 01/26/2024 (l)

GBP

700

 

855

5.250% due 05/29/2026

 

100

 

116

 

Schedule of Investments PIMCO Strategic Income Fund, Inc. (Cont.)

March 31, 2020

(Unaudited)

 

UniCredit SpA
7.830% due 12/04/2023 (l)

$

2,240

 

2,395

 

 

 

 

20,021

INDUSTRIALS 19.6%

 

 

 

 

AA Bond Co. Ltd.
2.875% due 07/31/2043 (l)

GBP

1,700

 

2,000

Altice Financing S.A.

 

 

 

 

2.250% due 01/15/2025

EUR

100

 

99

7.500% due 05/15/2026 (l)

$

1,350

 

1,320

Arconic Corp.
6.125% due 02/15/2028

 

12

 

12

Associated Materials LLC
9.000% due 01/01/2024 (l)

 

2,700

 

2,187

Avon International Capital PLC
6.500% due 08/15/2022

 

16

 

14

B.C. Unlimited Liability Co.
4.375% due 01/15/2028

 

18

 

17

Baffinland Iron Mines Corp.
8.750% due 07/15/2026 (l)

 

700

 

626

Bombardier, Inc.

 

 

 

 

6.000% due 10/15/2022 (l)

 

100

 

76

6.125% due 01/15/2023 (l)

 

400

 

284

7.500% due 12/01/2024 (l)

 

430

 

288

7.500% due 03/15/2025

 

6

 

4

7.875% due 04/15/2027 (l)

 

1,296

 

904

Camelot Finance S.A.
4.500% due 11/01/2026

 

4

 

4

CCO Holdings LLC

 

 

 

 

4.500% due 08/15/2030

 

72

 

71

4.750% due 03/01/2030

 

80

 

80

Centene Corp.
4.750% due 01/15/2025

 

83

 

85

Charter Communications Operating LLC
4.800% due 03/01/2050 (l)

 

105

 

110

Citrix Systems, Inc.
3.300% due 03/01/2030

 

58

 

54

Clear Channel Worldwide Holdings, Inc.
9.250% due 02/15/2024 (l)

 

880

 

762

Community Health Systems, Inc.

 

 

 

 

6.250% due 03/31/2023 (l)

 

5,065

 

4,847

8.000% due 03/15/2026 (l)

 

294

 

281

8.625% due 01/15/2024 (l)

 

544

 

541

Connect Finco SARL
6.750% due 10/01/2026

 

28

 

23

Corning, Inc.
5.450% due 11/15/2079

 

36

 

37

CVS Pass-Through Trust
7.507% due 01/10/2032 (l)

 

712

 

926

DISH DBS Corp.
5.875% due 07/15/2022

 

2

 

2

Eldorado Resorts, Inc.
6.000% due 09/15/2026 (l)

 

1,100

 

999

Energy Transfer Operating LP

 

 

 

 

2.900% due 05/15/2025

 

12

 

10

3.750% due 05/15/2030

 

36

 

28

5.000% due 05/15/2050

 

36

 

28

Envision Healthcare Corp.
8.750% due 10/15/2026 (l)

 

1,059

 

266

Exela Intermediate LLC
10.000% due 07/15/2023 (l)

 

65

 

18

Ferroglobe PLC
9.375% due 03/01/2022

 

650

 

191

First Quantum Minerals Ltd.

 

 

 

 

6.500% due 03/01/2024 (l)

 

766

 

641

6.875% due 03/01/2026 (l)

 

544

 

440

Flex Ltd.
4.875% due 06/15/2029

 

9

 

9

Frontier Finance PLC
8.000% due 03/23/2022 (l)

GBP

2,600

 

3,335

Full House Resorts, Inc.

 

 

 

 

8.575% due 01/31/2024

$

195

 

187

9.738% due 02/02/2024

 

17

 

16

General Electric Co.

 

 

 

 

5.875% due 01/14/2038

 

8

 

9

6.150% due 08/07/2037

 

7

 

8

Griffon Corp.
5.750% due 03/01/2028

 

12

 

11

HCA, Inc.
3.500% due 09/01/2030

 

60

 

55

iHeartCommunications, Inc.
0.000% due 05/01/2026 (l)

 

617

 

588

IHO Verwaltungs GmbH (3.625% Cash or 4.375% PIK)
3.625% due 05/15/2025 (c)

EUR

135

 

119

 

Schedule of Investments PIMCO Strategic Income Fund, Inc. (Cont.)

March 31, 2020

(Unaudited)

 

IHO Verwaltungs GmbH (3.875% Cash or 4.625% PIK)
3.875% due 05/15/2027 (c)

 

100

 

85

IHO Verwaltungs GmbH (6.000% Cash or 6.750% PIK)
6.000% due 05/15/2027 (c)(l)

$

208

 

147

IHO Verwaltungs GmbH (6.375% Cash or 7.125% PIK)
6.375% due 05/15/2029 (c)(l)

 

200

 

155

Intelsat Connect Finance S.A.
9.500% due 02/15/2023 (l)

 

105

 

39

Intelsat Jackson Holdings S.A.

 

 

 

 

8.000% due 02/15/2024 (l)

 

60

 

58

8.500% due 10/15/2024 (l)

 

2,681

 

1,705

9.750% due 07/15/2025 (l)

 

1,861

 

1,175

Intelsat Luxembourg S.A.
7.750% due 06/01/2021 ^(l)

 

2,776

 

1,409

Kinder Morgan, Inc.

 

 

 

 

5.300% due 12/01/2034 (l)

 

1,500

 

1,451

7.750% due 01/15/2032 (l)

 

4,500

 

5,199

Laredo Petroleum, Inc.

 

 

 

 

9.500% due 01/15/2025

 

20

 

8

10.125% due 01/15/2028

 

30

 

12

LifePoint Health, Inc.
4.375% due 02/15/2027

 

12

 

11

Mattel, Inc.
5.875% due 12/15/2027

 

16

 

16

Micron Technology, Inc.
5.327% due 02/06/2029 (l)

 

82

 

90

NCL Corp. Ltd.
3.625% due 12/15/2024

 

34

 

22

Netflix, Inc.

 

 

 

 

3.625% due 06/15/2030

EUR

100

 

108

3.875% due 11/15/2029 (l)

 

335

 

364

4.625% due 05/15/2029

 

100

 

113

4.875% due 06/15/2030 (l)

$

100

 

102

5.375% due 11/15/2029

 

30

 

32

Noble Holding International Ltd.
7.875% due 02/01/2026

 

277

 

69

Ortho-Clinical Diagnostics, Inc.
6.625% due 05/15/2022 (l)

 

37

 

35

Pacific Drilling SA
8.375% due 10/01/2023 (l)

 

152

 

42

Pan American Energy LLC
30.362% (BADLARPP) due 11/20/2020 «~

ARS

13,830

 

156

Par Pharmaceutical, Inc.
7.500% due 04/01/2027

$

56

 

56

Petroleos Mexicanos

 

 

 

 

2.750% due 04/21/2027 (l)

EUR

4,538

 

3,310

5.350% due 02/12/2028 (l)

$

326

 

228

5.950% due 01/28/2031 (l)

 

100

 

69

6.490% due 01/23/2027

 

40

 

30

6.500% due 03/13/2027 (l)

 

612

 

458

6.750% due 09/21/2047

 

20

 

13

6.840% due 01/23/2030 (l)

 

110

 

80

6.950% due 01/28/2060 (l)

 

150

 

102

7.690% due 01/23/2050

 

60

 

42

Platin 1426 GmbH
6.875% due 06/15/2023

EUR

200

 

185

Radiate Holdco LLC
6.875% due 02/15/2023

$

3

 

3

Range Resources Corp.
9.250% due 02/01/2026

 

12

 

7

Sands China Ltd.

 

 

 

 

4.600% due 08/08/2023 (l)

 

200

 

206

5.125% due 08/08/2025 (l)

 

200

 

190

5.400% due 08/08/2028 (l)

 

200

 

189

Sealed Air Corp.
4.000% due 12/01/2027

 

5

 

5

Sensata Technologies, Inc.
4.375% due 02/15/2030

 

12

 

11

Spanish Broadcasting System, Inc.
12.500% due 04/15/2049 (d)^

 

908

 

944

Staples, Inc.
7.500% due 04/15/2026

 

9

 

8

TEGNA, Inc.
4.625% due 03/15/2028

 

84

 

74

Teva Pharmaceutical Finance BV
3.650% due 11/10/2021 (l)

 

64

 

62

Teva Pharmaceutical Finance Co. BV
3.650% due 11/10/2021 (l)

 

108

 

104

Teva Pharmaceutical Finance Netherlands BV
2.200% due 07/21/2021 (l)

 

187

 

180

Topaz Solar Farms LLC

 

 

 

 

4.875% due 09/30/2039 (l)

 

893

 

923

5.750% due 09/30/2039 (l)

 

2,266

 

2,502

TransDigm, Inc.
5.500% due 11/15/2027

 

48

 

43

 

Schedule of Investments PIMCO Strategic Income Fund, Inc. (Cont.)

March 31, 2020

(Unaudited)

 

Transocean Guardian Ltd.
5.875% due 01/15/2024

 

20

 

16

Transocean Pontus Ltd.
6.125% due 08/01/2025 (l)

 

67

 

55

Transocean, Inc.

 

 

 

 

7.250% due 11/01/2025 (l)

 

120

 

61

8.000% due 02/01/2027

 

38

 

18

Triumph Group, Inc.

 

 

 

 

5.250% due 06/01/2022

 

14

 

12

6.250% due 09/15/2024

 

12

 

11

U.S. Renal Care, Inc.
10.625% due 07/15/2027

 

38

 

32

UAL Pass-Through Trust
6.636% due 01/02/2024 (l)

 

1,167

 

1,080

Unigel Luxembourg S.A.
8.750% due 10/01/2026 (l)

 

200

 

121

United Rentals North America, Inc.
4.000% due 07/15/2030

 

12

 

11

Valaris PLC

 

 

 

 

5.750% due 10/01/2044 (l)

 

162

 

13

7.750% due 02/01/2026

 

8

 

1

Vale Overseas Ltd.

 

 

 

 

6.250% due 08/10/2026 (l)

 

81

 

88

6.875% due 11/21/2036

 

26

 

29

6.875% due 11/10/2039

 

25

 

28

Vale S.A.
3.750% due 01/10/2023

EUR

200

 

217

ViaSat, Inc.

 

 

 

 

5.625% due 09/15/2025

$

42

 

40

5.625% due 04/15/2027

 

6

 

6

Western Midstream Operating LP

 

 

 

 

2.698% (US0003M + 0.850%) due 01/13/2023 ~

 

24

 

13

3.100% due 02/01/2025

 

12

 

6

4.050% due 02/01/2030

 

12

 

5

5.250% due 02/01/2050

 

12

 

5

Wyndham Destinations, Inc.

 

 

 

 

3.900% due 03/01/2023

 

36

 

30

4.625% due 03/01/2030

 

12

 

9

YPF S.A.
33.161% (BADLARPP + 4.000%) due 09/24/2020 «~

ARS

4,520

 

50

 

 

 

 

47,196

UTILITIES 4.7%

 

 

 

 

CenturyLink, Inc.
4.000% due 02/15/2027

$

96

 

92

Edison International
5.750% due 06/15/2027

 

24

 

25

Frontier Communications Corp.
8.000% due 04/01/2027

 

62

 

61

Gazprom Neft OAO Via GPN Capital S.A.
6.000% due 11/27/2023 (l)

 

5,600

 

5,897

Gazprom OAO Via Gaz Capital S.A.
8.625% due 04/28/2034 (l)

 

1,710

 

2,362

Odebrecht Offshore Drilling Finance Ltd.
6.720% due 12/01/2022 ^(l)

 

931

 

750

Petrobras Global Finance BV
5.093% due 01/15/2030 (l)

 

339

 

311

Rio Oil Finance Trust

 

 

 

 

9.250% due 07/06/2024 (l)

 

502

 

495

9.750% due 01/06/2027 (l)

 

710

 

678

Southern California Edison Co.

 

 

 

 

3.650% due 03/01/2028

 

3

 

3

3.650% due 02/01/2050

 

12

 

12

4.875% due 03/01/2049 (l)

 

100

 

116

5.750% due 04/01/2035

 

6

 

8

6.000% due 01/15/2034

 

2

 

2

6.650% due 04/01/2029

 

36

 

43

Southern California Gas Co.
2.550% due 02/01/2030

 

27

 

26

Sprint Communications, Inc.
6.000% due 11/15/2022

 

35

 

37

Sprint Corp.

 

 

 

 

7.125% due 06/15/2024 (l)

 

100

 

110

7.250% due 09/15/2021 (l)

 

107

 

111

Talen Energy Supply LLC
6.625% due 01/15/2028

 

12

 

10

 

Schedule of Investments PIMCO Strategic Income Fund, Inc. (Cont.)

March 31, 2020

(Unaudited)

 

Transocean Poseidon Ltd.
6.875% due 02/01/2027 (l)

 

60

 

49

 

 

 

 

11,198

Total Corporate Bonds & Notes (Cost $87,570)

 

 

 

78,415

CONVERTIBLE BONDS & NOTES 0.0%

 

 

 

 

UTILITIES 0.0%

 

 

 

 

Ensco Jersey Finance Ltd.
3.000% due 01/31/2024

 

12

 

3

Total Convertible Bonds & Notes (Cost $8)

 

 

 

3

MUNICIPAL BONDS & NOTES 1.1%

 

 

 

 

ILLINOIS 0.1%

 

 

 

 

Chicago, Illinois General Obligation Bonds, Series 2017
7.045% due 01/01/2029

 

70

 

81

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

 

55

 

55

 

 

 

 

163

WEST VIRGINIA 1.0%

 

 

 

 

Tobacco Settlement Finance Authority, West Virginia Revenue Bonds, Series 2007

 

 

 

 

0.000% due 06/01/2047 (g)

 

25,300

 

1,091

7.467% due 06/01/2047

 

1,590

 

1,542

 

 

 

 

2,633

Total Municipal Bonds & Notes (Cost $3,423)

 

 

 

2,796

U.S. GOVERNMENT AGENCIES 194.5%

 

 

 

 

Fannie Mae

 

 

 

 

1.101% due 12/25/2042 ~(a)

 

4,363

 

177

2.272% due 08/25/2054 ~(a)(l)

 

10,608

 

680

2.500% due 12/25/2027 (a)

 

2,512

 

137

3.500% due 07/25/2036 (a)(l)

 

7,028

 

701

3.500% due 07/25/2042 - 12/25/2049 (a)

 

818

 

92

3.821% due 03/01/2032 •(l)

 

66

 

67

4.250% due 11/25/2024 (l)

 

259

 

266

4.325% due 11/01/2027 •

 

11

 

11

4.365% due 12/01/2028 •

 

16

 

16

4.497% due 07/25/2029 •(l)

 

487

 

451

4.500% due 07/25/2040 (l)

 

1,008

 

1,128

4.510% due 09/01/2028 •

 

3

 

3

4.580% due 06/25/2043 •(a)

 

100

 

21

5.000% due 01/25/2038 (l)

 

5,229

 

6,020

5.000% due 07/25/2038

 

146

 

168

5.053% due 10/25/2049 •(a)(l)

 

14,368

 

2,242

5.103% due 02/25/2049 •(a)

 

459

 

70

5.262% due 12/25/2042 ~

 

25

 

28

5.500% due 07/25/2024

 

7

 

7

5.500% due 11/25/2032 - 04/25/2035 (l)

 

5,178

 

5,916

5.593% due 02/25/2042 ~

 

413

 

464

5.750% due 06/25/2033

 

19

 

22

5.781% due 10/25/2042 ~

 

10

 

12

5.803% due 07/25/2041 •(a)

 

1,593

 

213

5.807% due 08/25/2043

 

1,230

 

1,404

6.000% due 09/25/2031 - 01/25/2044

 

1,057

 

1,224

6.229% due 10/25/2042 ~

 

300

 

353

6.500% due 06/25/2023 - 11/01/2047

 

3,222

 

3,798

6.500% due 02/01/2028 - 09/01/2033 (l)

 

246

 

270

6.697% due 07/25/2029 •

 

660

 

429

6.850% due 12/18/2027

 

9

 

10

7.000% due 06/18/2027 - 01/01/2047

 

632

 

718

7.000% due 09/25/2041 ~

 

350

 

390

7.000% due 03/25/2045 (l)

 

577

 

677

7.500% due 10/25/2022 - 06/25/2044

 

930

 

1,104

7.500% due 06/19/2041 ~

 

83

 

100

7.700% due 03/25/2023

 

6

 

7

7.780% due 06/19/2041 ~

 

644

 

762

8.000% due 09/25/2021

 

14

 

14

8.500% due 10/25/2021 - 06/25/2030

 

267

 

304

9.399% due 05/15/2021

 

5

 

5

9.427% due 07/15/2027

 

2

 

2

Fannie Mae, TBA
3.000% due 06/01/2040

 

4,000

 

4,180

Freddie Mac

 

 

 

 

0.000% due 02/25/2046 (b)(g)(l)

 

3,579

 

3,249

 

Schedule of Investments PIMCO Strategic Income Fund, Inc. (Cont.)

March 31, 2020

(Unaudited)

 

0.100% due 02/25/2046 (a)

 

42,811

 

26

2.011% due 11/25/2045 ~(a)

 

5,336

 

692

2.373% due 05/15/2038 •(a)(l)

 

4,962

 

229

2.503% due 08/15/2036 ~(a)

 

2,678

 

160

2.540% due 11/15/2038 ~(a)(l)

 

19,722

 

1,300

3.887% due 12/01/2026 •

 

3

 

3

3.988% due 04/01/2033 •

 

1

 

1

5.000% due 02/15/2024

 

3

 

3

5.295% due 04/25/2048 - 11/25/2049 •(a)(l)

 

53,981

 

9,719

5.371% due 07/25/2032 ~

 

93

 

105

5.500% due 04/01/2039 - 06/15/2041 (l)

 

4,147

 

4,754

6.000% due 12/15/2028 - 03/15/2035

 

558

 

628

6.000% due 02/15/2032 (l)

 

1,250

 

1,503

6.097% due 10/25/2029 •

 

650

 

341

6.500% due 08/01/2021 - 09/01/2047

 

3,216

 

3,781

6.500% due 06/15/2031 - 07/15/2032 (l)

 

2,044

 

2,414

6.500% due 09/25/2043 ~

 

44

 

54

6.900% due 09/15/2023

 

102

 

109

6.950% due 07/15/2021

 

22

 

22

7.000% due 09/01/2021 - 10/25/2043

 

1,006

 

1,160

7.000% due 03/15/2029 - 01/01/2036 (l)

 

1,744

 

2,037

7.500% due 05/15/2024 - 02/25/2042

 

1,029

 

1,165

7.500% due 08/01/2024 - 03/01/2037 (l)

 

286

 

313

8.000% due 08/15/2022 - 04/15/2030

 

49

 

57

8.000% due 12/01/2026 (l)

 

71

 

78

8.497% due 12/25/2027 •

 

1,587

 

1,023

11.697% due 03/25/2025 •

 

384

 

281

Ginnie Mae

 

 

 

 

3.027% due 12/20/2048 •(a)(l)

 

22,064

 

1,879

5.277% due 08/20/2049 - 09/20/2049 •(a)(l)

 

121,561

 

21,609

5.427% due 06/20/2047 •(a)(l)

 

14,486

 

1,977

6.000% due 04/15/2029 - 12/15/2038

 

758

 

850

6.000% due 07/15/2037 - 09/15/2038 (l)

 

247

 

280

6.500% due 11/20/2024 - 05/15/2032 (l)

 

398

 

452

6.500% due 08/20/2038 - 10/20/2038

 

7

 

8

7.000% due 04/15/2024 - 06/15/2026

 

28

 

31

7.500% due 06/15/2023 - 03/15/2029

 

316

 

324

7.500% due 04/15/2027 - 01/15/2028 (l)

 

163

 

175

8.000% due 11/15/2021 - 11/15/2022

 

1

 

1

8.500% due 05/15/2022 - 02/15/2031

 

8

 

9

Ginnie Mae, TBA
4.000% due 04/01/2050

 

20,000

 

21,262

Small Business Administration

 

 

 

 

4.625% due 02/01/2025

 

50

 

53

5.510% due 11/01/2027

 

184

 

202

5.780% due 08/01/2027

 

14

 

15

5.820% due 07/01/2027

 

16

 

17

Uniform Mortgage-Backed Security

 

 

 

 

4.000% due 06/01/2047 - 06/01/2048

 

1,649

 

1,771

4.000% due 09/01/2047 - 07/01/2048 (l)

 

24,930

 

26,814

4.500% due 09/01/2023

 

16

 

17

4.500% due 03/01/2028 - 08/01/2041 (l)

 

219

 

238

6.000% due 12/01/2032 - 06/01/2040 (l)

 

2,408

 

2,776

6.000% due 12/01/2032 - 09/01/2037

 

1,628

 

1,864

6.500% due 01/01/2028 - 12/01/2036

 

723

 

840

6.500% due 07/01/2029 - 07/01/2039 (l)

 

786

 

906

7.000% due 07/01/2021

 

17

 

17

7.500% due 05/01/2022

 

12

 

13

8.000% due 12/01/2022 - 06/01/2032

 

76

 

84

8.000% due 07/01/2031 - 10/01/2031 (l)

 

101

 

110

Uniform Mortgage-Backed Security, TBA

 

 

 

 

2.500% due 05/01/2050 - 06/01/2050

 

260,300

 

268,853

3.000% due 05/01/2050

 

40,100

 

41,994

Vendee Mortgage Trust

 

 

 

 

6.500% due 03/15/2029

 

96

 

111

6.750% due 02/15/2026 - 06/15/2026

 

61

 

70

7.500% due 09/15/2030

 

1,613

 

1,971

Total U.S. Government Agencies (Cost $460,063)

 

 

 

467,463

NON-AGENCY MORTGAGE-BACKED SECURITIES 31.1%

 

 

 

 

Adjustable Rate Mortgage Trust

 

 

 

 

3.886% due 07/25/2035 ~

 

359

 

314

4.262% due 08/25/2035 ~

 

438

 

395

Banc of America Mortgage Trust
3.676% due 02/25/2035 ~

 

11

 

10

Bancorp Commercial Mortgage Trust
4.455% due 08/15/2032 •

 

3,300

 

3,116

BCAP LLC Trust
2.047% due 07/26/2036 ~

 

211

 

160

Bear Stearns ALT-A Trust
3.884% due 08/25/2036 ^~

 

298

 

181

Bear Stearns Commercial Mortgage Securities Trust

 

 

 

 

5.606% due 12/11/2040 ~(l)

 

5,728

 

5,351

5.657% due 10/12/2041 ~(l)

 

2,948

 

3,019

5.745% due 04/12/2038 ~

 

120

 

120

 

Schedule of Investments PIMCO Strategic Income Fund, Inc. (Cont.)

March 31, 2020

(Unaudited)

 

CD Commercial Mortgage Trust
5.398% due 12/11/2049 ~

 

2

 

2

Citigroup Commercial Mortgage Trust
5.557% due 12/10/2049 ~

 

1,917

 

1,176

Citigroup Mortgage Loan Trust, Inc.
7.000% due 09/25/2033

 

2

 

2

Commercial Mortgage Loan Trust
5.983% due 12/10/2049 ~

 

4,399

 

2,823

Countrywide Alternative Loan Trust

 

 

 

 

1.157% due 07/25/2046 ^•(l)

 

1,504

 

1,191

6.500% due 07/25/2035 ^

 

261

 

203

Countrywide Home Loan Mortgage Pass-Through Trust

 

 

 

 

1.587% due 03/25/2035 •(l)

 

1,357

 

1,061

2.817% due 03/25/2046 ^•

 

1,751

 

1,031

3.425% due 08/25/2034 ~

 

359

 

310

Countrywide Home Loan Reperforming REMIC Trust

 

 

 

 

7.500% due 11/25/2034

 

608

 

604

7.500% due 06/25/2035 ^

 

119

 

121

Credit Suisse Commercial Mortgage Trust
5.457% due 02/15/2040 ~(l)

 

4,680

 

841

Credit Suisse First Boston Mortgage-Backed Pass-Through Certificates
7.000% due 02/25/2034

 

357

 

372

Credit Suisse Mortgage Capital Mortgage-Backed Trust
6.500% due 03/25/2036 ^

 

951

 

426

Eurosail PLC

 

 

 

 

2.106% due 09/13/2045 •

GBP

1,582

 

1,705

2.756% due 09/13/2045 •

 

1,130

 

1,182

4.356% due 09/13/2045 •

 

960

 

1,122

GC Pastor Hipotecario FTA
0.000% due 06/21/2046 •

EUR

1,261

 

1,130

GE Commercial Mortgage Corp. Trust
5.606% due 12/10/2049 ~(l)

$

603

 

515

GMAC Mortgage Corp. Loan Trust
4.512% due 08/19/2034 ~

 

40

 

34

GS Mortgage Securities Corp. Trust

 

 

 

 

4.591% due 10/10/2032 ~(l)

 

2,200

 

1,839

4.591% due 10/10/2032 ~

 

400

 

305

GSAA Home Equity Trust
6.000% due 04/01/2034

 

746

 

742

GSMPS Mortgage Loan Trust

 

 

 

 

7.000% due 06/25/2043

 

1,834

 

1,931

7.500% due 06/19/2027 ~

 

25

 

24

8.000% due 09/19/2027 ~

 

415

 

396

GSR Mortgage Loan Trust

 

 

 

 

1.277% due 12/25/2034 •

 

231

 

191

2.930% due 03/25/2033 •

 

1

 

1

6.500% due 01/25/2034

 

138

 

142

IM Pastor Fondo de Titluzacion Hipotecaria
0.000% due 03/22/2043 •

EUR

418

 

362

JPMorgan Chase Commercial Mortgage Securities Trust

 

 

 

 

5.411% due 05/15/2047

$

1,067

 

1,237

5.623% due 05/12/2045

 

64

 

57

JPMorgan Mortgage Trust

 

 

 

 

4.454% due 10/25/2036 ^~

 

1,417

 

1,231

5.500% due 08/25/2022 ^

 

8

 

8

5.500% due 06/25/2037 ^

 

233

 

221

MASTR Adjustable Rate Mortgages Trust
3.755% due 10/25/2034 ~

 

516

 

419

MASTR Alternative Loan Trust

 

 

 

 

6.250% due 07/25/2036

 

324

 

237

6.500% due 03/25/2034

 

733

 

767

7.000% due 04/25/2034

 

25

 

27

MASTR Reperforming Loan Trust

 

 

 

 

7.000% due 05/25/2035

 

3,253

 

2,862

7.500% due 07/25/2035

 

1,641

 

1,502

Morgan Stanley Resecuritization Trust
3.356% due 12/26/2046 ~

 

7,348

 

6,126

Motel Trust
7.631% due 08/15/2024 •

 

2,951

 

2,333

NAAC Reperforming Loan REMIC Trust

 

 

 

 

7.000% due 10/25/2034 ^

 

839

 

798

7.500% due 03/25/2034 ^(l)

 

2,224

 

2,122

7.500% due 10/25/2034 ^(l)

 

2,518

 

2,543

Newgate Funding PLC

 

 

 

 

0.761% due 12/15/2050 •

EUR

1,774

 

1,697

1.011% due 12/15/2050 •

 

1,774

 

1,566

1.487% due 12/15/2050 •

GBP

2,444

 

2,640

1.737% due 12/15/2050 •

 

2,007

 

2,175

RBSSP Resecuritization Trust

 

 

 

 

3.629% due 12/26/2036 ~

$

5,531

 

3,297

6.000% due 02/26/2037 ~

 

3,227

 

2,478

Residential Accredit Loans, Inc. Trust
6.000% due 08/25/2035 ^

 

1,490

 

1,376

Residential Asset Mortgage Products Trust

 

 

 

 

8.500% due 10/25/2031

 

339

 

358

8.500% due 11/25/2031

 

642

 

580

 

Schedule of Investments PIMCO Strategic Income Fund, Inc. (Cont.)

March 31, 2020

(Unaudited)

 

Structured Asset Securities Corp. Mortgage Loan Trust
7.500% due 10/25/2036 ^(l)

 

2,551

 

1,255

WaMu Mortgage Pass-Through Certificates Trust
4.343% due 05/25/2035 ~

 

135

 

128

Washington Mutual Mortgage Pass-Through Certificates Trust

 

 

 

 

7.000% due 03/25/2034

 

84

 

86

7.500% due 04/25/2033

 

218

 

224

Total Non-Agency Mortgage-Backed Securities (Cost $76,835)

 

 

 

74,800

ASSET-BACKED SECURITIES 17.0%

 

 

 

 

Access Financial Manufactured Housing Contract Trust
7.650% due 05/15/2021

 

200

 

15

Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates
4.472% due 11/25/2032 ^•

 

115

 

2

Bear Stearns Asset-Backed Securities Trust
1.578% due 09/25/2034 •

 

338

 

322

Citigroup Mortgage Loan Trust, Inc.
1.207% due 03/25/2037 •(l)

 

4,918

 

4,029

Conseco Finance Corp.
6.530% due 02/01/2031 ~

 

100

 

95

Conseco Finance Securitizations Corp.
7.960% due 05/01/2031

 

1,510

 

760

Countrywide Asset-Backed Certificates

 

 

 

 

1.077% due 12/25/2036 ^•(l)

 

2,851

 

2,194

1.087% due 06/25/2047 ^•(l)

 

6,909

 

5,607

1.147% due 06/25/2037 ^•(l)

 

2,017

 

1,675

1.147% due 06/25/2047 ^•(l)

 

5,221

 

4,108

Countrywide Asset-Backed Certificates Trust
2.597% due 11/25/2034 •

 

2,297

 

1,379

Crecera Americas LLC
5.563% due 08/31/2020 •

 

5,200

 

5,201

Credit-Based Asset Servicing & Securitization LLC
5.260% due 12/25/2037 þ

 

262

 

261

Encore Credit Receivables Trust
1.682% due 07/25/2035 •

 

576

 

457

Flagship Credit Auto Trust
0.000% due 12/15/2025 (g)«

 

12

 

1,218

Greenpoint Manufactured Housing
8.300% due 10/15/2026 ~

 

250

 

255

Marlette Funding Trust

 

 

 

 

0.000% due 12/15/2028 (g)«

 

6

 

916

0.000% due 04/16/2029 (g)«

 

5

 

1,081

0.000% due 07/16/2029 (g)«

 

7

 

1,555

National Collegiate Commutation Trust
0.000% due 03/25/2038 •«

 

10,400

 

3,165

Oakwood Mortgage Investors, Inc.
0.935% due 06/15/2032 •

 

11

 

9

Residential Asset Mortgage Products Trust
8.500% due 12/25/2031

 

13

 

9

SMB Private Education Loan Trust
0.000% due 10/15/2048 (g)«

 

5

 

3,126

SoFi Consumer Loan Program LLC

 

 

 

 

0.000% due 05/26/2026 (g)«

 

31

 

967

0.000% due 11/25/2026 (g)«

 

60

 

2,430

Total Asset-Backed Securities (Cost $54,928)

 

 

 

40,836

SOVEREIGN ISSUES 2.5%

 

 

 

 

Argentina Government International Bond

 

 

 

 

3.375% due 01/15/2023

EUR

100

 

29

3.380% due 12/31/2038 þ

 

1,570

 

470

5.250% due 01/15/2028

 

100

 

28

6.250% due 11/09/2047

 

100

 

28

7.820% due 12/31/2033 (l)

 

3,702

 

1,376

15.500% due 10/17/2026

ARS

15,810

 

66

36.575% (BADLARPP + 2.000%) due 04/03/2022 ~

 

34,137

 

259

38.039% (ARLLMONP) due 06/21/2020 ~

 

180,595

 

1,310

42.781% (BADLARPP) due 10/04/2022 ~

 

32

 

1

Autonomous City of Buenos Aires Argentina
32.413% due 03/29/2024 ~

 

46,535

 

385

Ghana Government International Bond

 

 

 

 

6.375% due 02/11/2027

$

323

 

238

7.875% due 02/11/2035

 

388

 

275

Provincia de Buenos Aires

 

 

 

 

33.929% due 05/31/2022 •

ARS

60

 

0

37.463% (BADLARPP + 3.750%) due 04/12/2025 ~

 

194,090

 

1,137

South Africa Government International Bond
5.750% due 09/30/2049

$

400

 

292

Venezuela Government International Bond

 

 

 

 

6.000% due 12/09/2020 ^(d)

 

135

 

14

8.250% due 10/13/2024 ^(d)

 

13

 

1

 

Schedule of Investments PIMCO Strategic Income Fund, Inc. (Cont.)

March 31, 2020

(Unaudited)

 

9.250% due 09/15/2027 ^(d)

 

171

 

17

Total Sovereign Issues (Cost $18,972)

 

 

 

5,926

 

 

SHARES

 

 

COMMON STOCKS 0.2%

 

 

 

 

COMMUNICATION SERVICES 0.1%

 

 

 

 

Clear Channel Outdoor Holdings, Inc. (e)

 

291,816

 

187

iHeartMedia, Inc. «(e)

 

216

 

1

iHeartMedia, Inc. 'A' (e)

 

16,075

 

118

 

 

 

 

306

CONSUMER DISCRETIONARY 0.1%

 

 

 

 

Caesars Entertainment Corp. (e)

 

27,655

 

187

ENERGY 0.0%

 

 

 

 

Forbes Energy Services Ltd. (e)(j)

 

4,500

 

0

INDUSTRIALS 0.0%

 

 

 

 

Westmoreland Mining Holdings LLC «(j)(e)

 

70

 

1

Total Common Stocks (Cost $2,273)

 

 

 

494

WARRANTS 0.3%

 

 

 

 

COMMUNICATION SERVICES 0.3%

 

 

 

 

iHeartMedia, Inc. - Exp. 05/01/2039

 

104,691

 

765

Total Warrants (Cost $1,972)

 

 

 

765

PREFERRED SECURITIES 3.2%

 

 

 

 

BANKING & FINANCE 3.2%

 

 

 

 

Nationwide Building Society
10.250% ~

 

36,440

 

5,929

Stichting AK Rabobank Certificaten
6.500% due 12/29/2049 (h)

 

1,676,000

 

1,683

 

 

 

 

7,612

INDUSTRIALS 0.0%

 

 

 

 

General Electric Co.
5.000% due 01/21/2021 •(h)

 

139,000

 

115

Total Preferred Securities (Cost $9,662)

 

 

 

7,727

REAL ESTATE INVESTMENT TRUSTS 0.3%

 

 

 

 

REAL ESTATE 0.3%

 

 

 

 

VICI Properties, Inc.

 

44,227

 

736

Total Real Estate Investment Trusts (Cost $667)

 

 

 

736

SHORT-TERM INSTRUMENTS 13.3%

 

 

 

 

REPURCHASE AGREEMENTS (k) 10.0%

 

 

 

23,989

U.S. TREASURY BILLS 3.3%

 

 

 

 

0.147% due 04/07/2020 - 06/18/2020 (f)(g)(o)

 

7,920

 

7,919

Total Short-Term Instruments (Cost $31,908)

 

 

 

31,908

Total Investments in Securities (Cost $787,266)

 

 

 

739,424

Total Investments 307.6% (Cost $787,266)

 

 

$

739,424

Financial Derivative Instruments (m)(n) 0.3%(Cost or Premiums, net $1,351)

 

 

 

606

Other Assets and Liabilities, net (207.9)%

 

 

 

(499,673)

Net Assets 100.0%

 

 

$

240,357

 

Schedule of Investments PIMCO Strategic Income Fund, Inc. (Cont.)

March 31, 2020

(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.

þ

Coupon 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)

Security is an Interest Only ("IO") or IO Strip.

(b)

Principal only security.

(c)

Payment in-kind security.

(d)

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

(e)

Security did not produce income within the last twelve months.

(f)

Coupon represents a weighted average yield to maturity.

(g)

Zero coupon security.

(h)

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

(i)

Contingent convertible security.

(j)

RESTRICTED SECURITIES:

Issuer Description

 

 

Acquisition
Date

 

Cost

 

Market
Value

Market Value
as Percentage
of Net Assets

Forbes Energy Services Ltd.

 

 

03/11/2014

$

222

$

0

0.00

%

Pinnacol Assurance8.625% due 06/25/2034

 

 

06/23/2014

 

2,600

 

2,935

1.22

 

Westmoreland Mining Holdings LLC

 

 

03/26/2019

 

0

 

1

0.00

 

 

 

 

 

$

2,822

$

2,936

1.22%

BORROWINGS AND OTHER FINANCING TRANSACTIONS

(k)

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

FICC

0.000%

03/31/2020

04/01/2020

$

4,489

U.S. Treasury Inflation Protected Securities 1.125% due 01/15/2021

$

(4,581)

$

4,489

$

4,489

RDR

0.000

03/31/2020

04/01/2020

 

19,500

U.S. Treasury Notes 1.625% due 05/15/2026

 

(19,966)

 

19,500

 

19,500

Total Repurchase Agreements

 

$

(24,547)

$

23,989

$

23,989

REVERSE REPURCHASE AGREEMENTS:

Counterparty

Borrowing Rate(1)

Settlement Date

Maturity Date

 

Amount
Borrowed(1)

 

Payable for
Reverse
Repurchase
Agreements

BPS

(0.300)%

03/11/2020

06/11/2020

EUR

(331)

$

(366)

 

(0.200)

03/11/2020

06/11/2020

 

(1,215)

 

(1,339)

 

(0.150)

03/17/2020

06/17/2020

 

(3,992)

 

(4,402)

 

0.950

01/16/2020

04/16/2020

GBP

(871)

 

(1,084)

 

0.950

03/17/2020

04/16/2020

$

(9,315)

 

(9,319)

 

0.980

03/17/2020

06/17/2020

GBP

(4,609)

 

(5,727)

 

1.000

03/05/2020

TBD(2)

$

(1,767)

 

(1,768)

 

1.250

03/12/2020

04/09/2020

 

(2,171)

 

(2,173)

 

1.250

03/17/2020

04/16/2020

 

(1,755)

 

(1,756)

 

1.300

03/10/2020

04/14/2020

 

(13,555)

 

(13,565)

 

1.300

03/12/2020

04/09/2020

 

(1,936)

 

(1,937)

 

1.300

03/17/2020

04/16/2020

 

(2,369)

 

(2,370)

 

1.340

03/05/2020

04/09/2020

 

(21,533)

 

(21,554)

 

1.350

03/17/2020

04/16/2020

 

(1,616)

 

(1,617)

 

1.400

03/17/2020

04/16/2020

 

(41)

 

(41)

 

Schedule of Investments PIMCO Strategic Income Fund, Inc. (Cont.)

March 31, 2020

(Unaudited)

 

 

1.450

03/05/2020

04/07/2020

 

(2,481)

 

(2,484)

 

1.450

03/17/2020

04/16/2020

 

(7,577)

 

(7,581)

 

1.450

03/20/2020

04/17/2020

 

(16,410)

 

(16,417)

 

1.480

03/12/2020

04/09/2020

 

(5,182)

 

(5,186)

 

1.500

03/12/2020

04/09/2020

 

(328)

 

(328)

 

1.550

03/19/2020

04/20/2020

 

(347)

 

(347)

 

1.550

03/24/2020

04/28/2020

 

(592)

 

(592)

 

1.650

03/05/2020

04/07/2020

 

(1,120)

 

(1,121)

 

1.750

03/23/2020

04/22/2020

 

(1,758)

 

(1,759)

 

1.750

03/24/2020

04/28/2020

 

(2,745)

 

(2,746)

 

1.800

03/24/2020

04/28/2020

 

(24)

 

(24)

 

1.850

03/24/2020

04/28/2020

 

(1,094)

 

(1,095)

 

1.966

03/05/2020

04/09/2020

 

(2,000)

 

(2,003)

 

2.000

03/23/2020

04/22/2020

 

(599)

 

(599)

 

2.000

03/24/2020

04/22/2020

 

(3,864)

 

(3,866)

 

2.050

03/04/2020

04/08/2020

 

(1,260)

 

(1,262)

 

2.784

01/10/2020

04/09/2020

 

(12,649)

 

(12,729)

 

2.788

01/13/2020

04/13/2020

 

(5,907)

 

(5,943)

BRC

2.500

03/18/2020

04/22/2020

 

(2,293)

 

(2,295)

 

2.763

01/03/2020

04/01/2020

 

(7,596)

 

(7,648)

 

3.443

04/01/2020

05/01/2020

 

(5,862)

 

(5,862)

CEW

1.750

03/16/2020

04/13/2020

 

(5,234)

 

(5,238)

CIB

1.300

03/24/2020

04/23/2020

 

(15,634)

 

(15,639)

 

1.340

03/04/2020

04/08/2020

 

(9,578)

 

(9,588)

CSG

1.500

03/05/2020

04/03/2020

 

(1,024)

 

(1,025)

 

2.500

04/03/2020

TBD(2)

 

(819)

 

(819)

FOB

1.350

03/05/2020

04/03/2020

 

(841)

 

(842)

 

1.750

04/03/2020

TBD(2)

 

(829)

 

(829)

JPS

0.920

03/12/2020

04/15/2020

 

(1,530)

 

(1,531)

NOM

1.900

03/19/2020

04/23/2020

 

(995)

 

(996)

RTA

2.297

01/07/2020

04/06/2020

 

(1,730)

 

(1,739)

SOG

1.400

03/16/2020

04/15/2020

 

(342)

 

(342)

UBS

1.200

03/06/2020

04/03/2020

 

(401)

 

(401)

 

1.300

03/16/2020

04/15/2020

 

(1,965)

 

(1,966)

 

1.750

03/20/2020

04/20/2020

 

(3,264)

 

(3,266)

 

2.100

03/26/2020

04/24/2020

 

(148)

 

(148)

 

2.100

04/03/2020

05/01/2020

 

(313)

 

(313)

Total Reverse Repurchase Agreements

 

 

 

 

 

$

(195,587)

(l)

Securities with an aggregate market value of $200,640 and cash of $14,242 have been pledged as collateral under the terms of master agreements as of March 31, 2020.

(1)

The average amount of borrowings outstanding during the period ended March 31, 2020 was $(223,742) at a weighted average interest rate of 2.388%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.

(2)

Open maturity reverse repurchase agreement.

(m)

FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED

SWAP AGREEMENTS:

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

CAD

11,200

$

624

$

196

$

820

$

0

$

(11)

Receive

3-Month CAD-Bank Bill

3.500

Semi-Annual

06/20/2044

 

3,800

 

(534)

 

(655)

 

(1,189)

 

70

 

0

Receive

3-Month USD-LIBOR

1.500

Semi-Annual

12/18/2021

$

25,000

 

64

 

(626)

 

(562)

 

0

 

(6)

Receive

3-Month USD-LIBOR

3.000

Semi-Annual

06/19/2022

 

97,400

 

(3,088)

 

(3,278)

 

(6,366)

 

0

 

(76)

Receive

3-Month USD-LIBOR

3.000

Semi-Annual

06/19/2024

 

32,500

 

(1,241)

 

(2,491)

 

(3,732)

 

0

 

(7)

Receive

3-Month USD-LIBOR

1.500

Semi-Annual

12/18/2024

 

14,000

 

46

 

(774)

 

(728)

 

0

 

(1)

Receive

3-Month USD-LIBOR

2.000

Semi-Annual

06/20/2025

 

8,400

 

399

 

(1,092)

 

(693)

 

2

 

0

Pay

3-Month USD-LIBOR

3.000

Semi-Annual

06/19/2029

 

65,000

 

5,159

 

9,012

 

14,171

 

0

 

(314)

 

Pay

3-Month USD-LIBOR

1.500

Semi-Annual

12/18/2029

 

7,000

 

(107)

 

668

 

561

 

0

 

(37)

Receive

3-Month USD-LIBOR

2.000

Semi-Annual

01/15/2050

 

4,400

 

(32)

 

(1,283)

 

(1,315)

 

129

 

0

Receive

3-Month USD-LIBOR

1.625

Semi-Annual

01/16/2050

 

9,600

 

(18)

 

(1,861)

 

(1,879)

 

270

 

0

Receive

3-Month USD-LIBOR

1.750

Semi-Annual

01/22/2050

 

11,600

 

(43)

 

(2,628)

 

(2,671)

 

331

 

0

Receive

3-Month USD-LIBOR

1.625

Semi-Annual

02/03/2050

 

6,900

 

(1)

 

(1,352)

 

(1,353)

 

194

 

0

Receive

3-Month USD-LIBOR

1.875

Semi-Annual

02/07/2050

 

1,400

 

(5)

 

(366)

 

(371)

 

40

 

0

Receive

6-Month EUR-EURIBOR

0.260

Annual

09/06/2024

EUR

34,800

 

6

 

(998)

 

(992)

 

0

 

(1)

Receive

6-Month GBP-LIBOR

0.750

Semi-Annual

03/18/2050

GBP

6,500

 

128

 

(491)

 

(363)

 

0

 

(23)

Total Swap Agreements

$

1,357

$

(8,019)

$

(6,662)

$

1,036

$

(476)

Cash of $7,329 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of March 31, 2020.

(n)

FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER

 

Schedule of Investments PIMCO Strategic Income Fund, Inc. (Cont.)

March 31, 2020

(Unaudited)

 

FORWARD FOREIGN CURRENCY CONTRACTS:

 

Unrealized Appreciation/(Depreciation)

Counterparty

Settlement
Month

 

Currency to
be Delivered

 

Currency to
be Received

 

Asset

 

Liability

BPS

04/2020

CAD

392

$

290

$

11

$

0

 

04/2020

EUR

3,025

 

3,369

 

38

 

(5)

 

04/2020

TRY

2,274

 

359

 

16

 

0

 

04/2020

$

9,282

EUR

8,346

 

26

 

(103)

 

04/2020

 

4,204

GBP

3,473

 

110

 

0

 

04/2020

 

441

TRY

2,723

 

0

 

(31)

 

05/2020

 

477

EUR

430

 

0

 

(2)

BRC

04/2020

GBP

699

$

856

 

0

 

(12)

 

04/2020

$

404

EUR

368

 

2

 

0

 

04/2020

 

23,075

GBP

18,873

 

367

 

0

 

05/2020

GBP

18,873

$

23,090

 

0

 

(368)

BSH

05/2020

$

2,996

MXN

58,756

 

0

 

(530)

CBK

04/2020

CAD

177

$

130

 

4

 

0

 

04/2020

EUR

14,328

 

15,784

 

64

 

(82)

 

04/2020

GBP

817

 

1,065

 

51

 

0

 

04/2020

PEN

1,743

 

521

 

14

 

0

 

04/2020

TRY

571

 

87

 

1

 

0

 

04/2020

$

2,519

EUR

2,330

 

51

 

0

 

04/2020

 

3,650

GBP

2,944

 

42

 

(36)

 

04/2020

 

667

PEN

2,374

 

25

 

0

DUB

04/2020

PEN

249

$

71

 

0

 

(2)

GLM

04/2020

TRY

455

 

72

 

3

 

0

 

04/2020

$

516

EUR

478

 

11

 

0

 

04/2020

 

463

PEN

1,644

 

16

 

0

 

04/2020

 

3,052

RUB

195,242

 

0

 

(571)

 

06/2020

 

238

CLP

190,423

 

0

 

(15)

HUS

04/2020

GBP

784

$

924

 

0

 

(50)

 

04/2020

MXN

58,412

 

2,345

 

0

 

(110)

 

04/2020

$

132

EUR

121

 

2

 

0

JPM

04/2020

 

756

PEN

2,683

 

26

 

0

 

04/2020

 

274

TRY

1,699

 

0

 

(18)

MYI

04/2020

TRY

920

$

145

 

6

 

0

 

04/2020

$

67

TRY

414

 

0

 

(5)

SCX

04/2020

RUB

194,658

$

2,486

 

12

 

0

 

05/2020

EUR

5,574

 

6,124

 

0

 

(32)

SOG

04/2020

GBP

23,689

 

30,542

 

1,117

 

0

UAG

04/2020

$

147

EUR

136

 

3

 

0

Total Forward Foreign Currency Contracts

$

2,018

$

(1,972)

PURCHASED OPTIONS:

OPTIONS ON SECURITIES

Counterparty

Description

 

Strike
Price

Expiration
Date

 

 

Notional
Amount(1)

 

Cost

 

Market
Value

DUB

Put - OTC Uniform Mortgage-Backed Security, TBA 3.000% due 04/01/2050

$

72.000

04/08/2020

 

 

5,000

$

0

$

0

 

Put - OTC Uniform Mortgage-Backed Security, TBA 3.500% due 04/01/2050

 

73.000

04/08/2020

 

 

38,000

 

2

 

0

 

Put - OTC Uniform Mortgage-Backed Security, TBA 4.000% due 04/01/2050

 

74.500

04/08/2020

 

 

45,700

 

2

 

0

FAR

Put - OTC Uniform Mortgage-Backed Security, TBA 2.500% due 04/01/2050

 

60.000

04/08/2020

 

 

189,000

 

7

 

0

 

Put - OTC Uniform Mortgage-Backed Security, TBA 2.500% due 05/01/2050

 

62.000

05/06/2020

 

 

18,200

 

1

 

0

 

Put - OTC Uniform Mortgage-Backed Security, TBA 3.000% due 05/01/2050

 

69.500

05/06/2020

 

 

34,100

 

1

 

0

 

Put - OTC Uniform Mortgage-Backed Security, TBA 3.500% due 04/01/2050

 

72.500

04/08/2020

 

 

7,000

 

0

 

0

 

Put - OTC Uniform Mortgage-Backed Security, TBA 4.000% due 04/01/2050

 

76.500

04/08/2020

 

 

1,000

 

0

 

0

JPM

Put - OTC Ginnie Mae 4.000% due 05/01/2050

 

75.000

05/06/2020

 

 

20,000

 

1

 

0

 

Put - OTC Uniform Mortgage-Backed Security, TBA 2.500% due 05/01/2050

 

71.000

05/06/2020

 

 

53,100

 

2

 

0

 

Put - OTC Uniform Mortgage-Backed Security, TBA 3.000% due 05/01/2050

 

72.000

05/06/2020

 

 

25,000

 

1

 

0

Total Purchased Options

$

17

$

0

 

Schedule of Investments PIMCO Strategic Income Fund, Inc. (Cont.)

March 31, 2020

(Unaudited)

 

SWAP AGREEMENTS:

CREDIT DEFAULT SWAPS ON SOVEREIGN ISSUES - SELL PROTECTION(2)

 

Swap Agreements, at Value (5)

Counterparty

Reference Entity

Fixed
Receive Rate

Payment
Frequency

Maturity
Date

Implied
Credit Spread at
March 31, 2020(3)

 

Notional
Amount(4)

 

Premiums
Paid/(Received)

 

Unrealized
Appreciation/
(Depreciation)

 

Asset

 

Liability

JPM

Russia Government International Bond

1.000%

Quarterly

12/20/2020

0.979%

$

200

$

(23)

$

23

$

0

$

0

Total Swap Agreements

$

(23)

$

23

$

0

$

0

(o)

Securities with an aggregate market value of $1,145 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of March 31, 2020.

(1)

Notional Amount represents the number of contracts.

(2)

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.

(3)

Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on 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.

(4)

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.

(5)

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 underlying referenced instrument's 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, 2020 in valuing the Fund's assets and liabilities:

 

Category and Subcategory

Level 1

Level 2

Level 3

Fair Value
at 03/31/2020

Investments in Securities, at Value

Loan Participations and Assignments

$

0

$

24,766

$

2,789

$

27,555

 

Corporate Bonds & Notes

 

Banking & Finance

 

0

 

17,086

 

2,935

 

20,021

 

 

Industrials

 

0

 

46,990

 

206

 

47,196

 

 

Utilities

 

0

 

11,198

 

0

 

11,198

 

Convertible Bonds & Notes

 

Utilities

 

0

 

3

 

0

 

3

 

Municipal Bonds & Notes

 

Illinois

 

0

 

163

 

0

 

163

 

 

West Virginia

 

0

 

2,633

 

0

 

2,633

 

U.S. Government Agencies

 

0

 

467,463

 

0

 

467,463

 

Non-Agency Mortgage-Backed Securities

 

0

 

74,800

 

0

 

74,800

 

Asset-Backed Securities

 

0

 

26,378

 

14,458

 

40,836

 

Sovereign Issues

 

0

 

5,926

 

0

 

5,926

 

Common Stocks

 

Communication Services

 

305

 

0

 

1

 

306

 

 

Consumer Discretionary

 

187

 

0

 

0

 

187

 

 

Industrials

 

0

 

0

 

1

 

1

 

Warrants

 

Communication Services

 

0

 

765

 

0

 

765

 

Preferred Securities

 

Banking & Finance

 

0

 

7,612

 

0

 

7,612

 

 

Industrials

 

0

 

115

 

0

 

115

 

Real Estate Investment Trusts

 

Real Estate

 

736

 

0

 

0

 

736

 

Short-Term Instruments

 

Repurchase Agreements

 

0

 

23,989

 

0

 

23,989

 

 

U.S. Treasury Bills

 

0

 

7,919

 

0

 

7,919

 

Total Investments

$

1,228

$

717,806

$

20,390

$

739,424

 

Financial Derivative Instruments - Assets

Exchange-traded or centrally cleared

 

0

 

1,036

 

0

 

1,036

 

Over the counter

 

0

 

2,018

 

0

 

2,018

 

 

$

0

$

3,054

$

0

$

3,054

 

Financial Derivative Instruments - Liabilities

Exchange-traded or centrally cleared

 

0

 

(476)

 

0

 

(476)

 

Over the counter

 

0

 

(1,972)

 

0

 

(1,972)

 

 

$

0

$

(2,448)

$

0

$

(2,448)

 

 

Schedule of Investments PIMCO Strategic Income Fund, Inc. (Cont.)

March 31, 2020

(Unaudited)

 

Total Financial Derivative Instruments

$

0

$

606

$

0

$

606

 

Totals

$

1,228

$

718,412

$

20,390

$

740,030

 

 

 

 

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended March 31, 2020:

Category and Subcategory

Beginning
Balance
at 06/30/2019

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 03/31/2020

Net Change in
Unrealized
Appreciation/
(Depreciation)
on Investments
Held at
03/31/2020 (1)

Investments in Securities, at Value

Loan Participations and Assignments

$

3,705

$

8,001

$

(3,894)

$

113

$

(874)

$

(2,536)

$

269

$

(1,995)

$

2,789

$

(290)

Corporate Bonds & Notes

 

Banking & Finance

 

2,685

 

0

 

0

 

0

 

0

 

250

 

0

 

0

 

2,935

 

250

 

Industrials

 

0

 

298

 

0

 

4

 

0

 

(96)

 

0

 

0

 

206

 

(96)

Asset-Backed Securities

 

18,276

 

0

 

0

 

0

 

0

 

(6,983)

 

3,165

 

0

 

14,458

 

(6,982)

Common Stocks

 

Industrials

 

1

 

0

 

0

 

0

 

0

 

0

 

0

 

0

 

1

 

0

 

Telecommunication Services

 

0

 

0

 

0

 

0

 

0

 

0

 

1

 

0

 

1

 

0

Totals

$

24,667

$

8,299

$

(3,894)

$

117

$

(874)

$

(9,365)

$

3,435

$

(1,995)

$

20,390

$

(7,118)


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:

 

 

(% Unless Noted Otherwise)

Category and Subcategory

Ending
Balance
at 03/31/2020

Valuation Technique

Unobservable Inputs

 

Input Value(s)
(% Unless Noted Otherwise)

Weighted Average%

Investments in Securities, at Value

Loan Participations and Assignments

$

2,789

Third Party Vendor

Broker Quote

 

63.000 - 100.250

86.524

Corporate Bonds & Notes

 

Banking & Finance

 

2,935

Reference Instrument

Option Adjusted Spread

 

538.500 bps

—

 

Industrials

 

206

Other Valuation Techniques(2)

—

 

—

—

Asset-Backed Securities

 

916

Other Valuation Techniques(2)

—

 

—

—

 

 

13,542

Proxy Pricing

Base Price

 

30.491 - 72,245.980

22,954.129

Common Stocks

 

Industrials

 

1

Other Valuation Techniques(2)

—

 

—

—

 

Telecommunication Services

 

1

Other Valuation Techniques(2)

—

 

—

—

Total

$

20,390

(1)

Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at March 31, 2020 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 the 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 (normally 4:00 p.m., Eastern time) (“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 (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 foreign (non-U.S.) securities. For these purposes, any movement in the applicable reference index or instrument (“zero trigger”) relating to the foreign (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 are 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 are 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). Transfers from Level 3 to Level 2 are a result of the availability of current and reliable market-based data provided by Pricing Services or other valuation techniques which utilize significant observable inputs. 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 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, London Interbank Offered Rate forward rate, interest rates, yield curves and credit spreads. These securities are categorized as Level 2 of the fair value hierarchy.

 

March 31, 2020 (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 algorithms 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, 2020, 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:

 

 

 

 

 

 

 

 

BPS

BNP Paribas S.A.

FAR

Wells Fargo Bank National Association

NOM

Nomura Securities International Inc.

BRC

Barclays Bank PLC

FICC

Fixed Income Clearing Corporation

RDR

RBC Capital Markets LLC

BSH

Banco Santander S.A. - New York Branch

FOB

Credit Suisse Securities (USA) LLC

RTA

RBC (Barbados) Trading Bank Corp.

CBK

Citibank N.A.

GLM

Goldman Sachs Bank USA

SCX

Standard Chartered Bank, London

CEW

Canadian Imperial Bank of Commerce

HUS

HSBC Bank USA N.A.

SOG

Societe Generale Paris

CIB

Canadian Imperial Bank of Commerce

JPM

JP Morgan Chase Bank N.A.

UAG

UBS AG Stamford

CSG

Credit Suisse AG Cayman

JPS

J.P. Morgan Securities LLC

UBS

UBS Securities LLC

DUB

Deutsche Bank AG

MYI

Morgan Stanley & Co. International PLC
 

Currency Abbreviations:

 

 

 

 

 

 

 

 

ARS

Argentine Peso

GBP

British Pound

RUB

Russian Ruble

CAD

Canadian Dollar

MXN

Mexican Peso

TRY

Turkish New Lira

CLP

Chilean Peso

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

LIBOR03M

3 Month USD-LIBOR

US0003M

3 Month USD Swap Rate

BADLARPP

Argentina Badlar Floating Rate Notes
 

Other  Abbreviations:

 

 

 

 

 

 

 

 

ALT

Alternate Loan Trust

LIBOR

London Interbank Offered Rate

TBA

To-Be-Announced

BABs

Build America Bonds

PIK

Payment-in-Kind

TBD

To-Be-Determined

EURIBOR

Euro Interbank Offered Rate

REMIC

Real Estate Mortgage Investment Conduit

TBD%

Interest rate to be determined when loan settles or at the time of funding