N-Q 1 d368683dnq.htm PIMCO STRATEGIC INCOME FUND, INC. PIMCO Strategic Income Fund, Inc.

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM N-Q

 

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act File Number:   811-08216
Registrant Name:   PIMCO Strategic Income Fund
Address of Principal Executive Offices:   1633 Broadway
  New York, NY 10019
Name and Address of Agent for Service:   William G. Galipeau
  650 Newport Center Drive
  Newport Beach, CA 92660
Registrant’s telephone number, including area code:   (844) 337-4626
Date of Fiscal Year End:   June 30
Date of Reporting Period:   March 31, 2017

Item 1. Schedule of Investments

Schedule of Investments

PIMCO Strategic Income Fund, Inc.

March 31, 2017 (Unaudited)

 

                                         
    PRINCIPAL
AMOUNT
(000S)		     MARKET
VALUE
(000S)		  

INVESTMENTS IN SECURITIES 288.6%

    

LOAN PARTICIPATIONS AND ASSIGNMENTS 2.7%

    

Avolon Holdings Ltd.

    

2.250% due 09/20/2020

   $ 30     $ 31  

3.500% due 03/20/2022

     200       203  

Cyxtera Technologies, Inc.

    

4.750% due 03/28/2024

     21       21  

Energy Future Intermediate Holding Co. LLC

    

4.304% due 06/30/2017

     7,338       7,344  

iHeartCommunications, Inc.

    

7.732% due 01/30/2019

     900       777  

Sequa Corp.

    

5.250% due 06/19/2017

     484       479  
   

 

 

  

Total Loan Participations and Assignments

(Cost $8,942)

       8,855  
   

 

 

  

CORPORATE BONDS & NOTES 22.2%

    

BANKING & FINANCE 11.3%

    

Barclays Bank PLC

    

7.625% due 11/21/2022 (k)

     800       877  

14.000% due 06/15/2019 (g)

   GBP 1,300       1,997  

BNP Paribas S.A.

   

7.375% due 08/19/2025 (g)

   $ 1,800       1,852  

Cantor Fitzgerald LP

   

7.875% due 10/15/2019 (k)

     930       1,024  

Cooperatieve Rabobank UA

   

11.000% due 06/30/2019 (g)(k)

     4,166       4,879  

CyrusOne LP

    

5.000% due 03/15/2024

     20       21  

5.375% due 03/15/2027

     10       10  

Deutsche Bank AG

   

4.250% due 10/14/2021 (k)

     3,200       3,283  

Exeter Finance Corp.

   

9.750% due 05/20/2019

     2,400       2,299  

Jefferies LoanCore LLC

   

6.875% due 06/01/2020 (k)

     1,000       1,018  

Navient Corp.

   

5.875% due 03/25/2021

     1,009       1,019  

Neuberger Berman Group LLC

   

4.875% due 04/15/2045 (k)

     1,200       1,077  

Pinnacol Assurance

   

8.625% due 06/25/2034 (i)

     2,600       2,607  

Royal Bank of Scotland Group PLC

   

8.625% due 08/15/2021 (g)(k)

     1,000       1,045  

Sberbank of Russia Via SB Capital S.A.

   

6.125% due 02/07/2022 (k)

     2,000       2,196  

SL Green Realty Corp.

   

7.750% due 03/15/2020 (k)

     4,500       5,056  

Spirit Realty LP

   

4.450% due 09/15/2026 (k)

     3,300       3,260  

TIG FinCo PLC

   

8.750% due 04/02/2020

   GBP 2,840       3,382  
   

 

 

  
        36,902  
   

 

 

  

INDUSTRIALS 7.4%

    

BWAY Holding Co.

    

5.500% due 04/15/2024 (c)

   $ 76       77  

7.250% due 04/15/2025 (c)

     54       54  

Caesars Entertainment Operating Co., Inc.

    

8.500% due 02/15/2020 ^(h)

     1,312       1,525  

9.000% due 02/15/2020 ^(h)

     65       76  

Cardtronics, Inc.

   

5.500% due 05/01/2025 (c)

     17       17  

Charter Communications Operating LLC

   

5.375% due 05/01/2047 (c)

     36       36  

Chobani LLC

   

7.500% due 04/15/2025 (c)

     40       41  

CommScope Technologies LLC

   

5.000% due 03/15/2027

     40       40  

Community Health Systems, Inc.

   

6.250% due 03/31/2023

     91       93  

CVS Pass-Through Trust

   

7.507% due 01/10/2032

     828       1,020  

Dole Food Co., Inc.

   

7.250% due 06/15/2025 (c)

     37       37  

                                         
             

Dynegy, Inc.

   

8.034% due 02/02/2024

     98       94  

EI Group PLC

   

6.875% due 05/09/2025

   GBP 620       846  

Forbes Energy Services Ltd.

   

9.000% due 06/15/2019 ^(h)

   $ 240       160  

Frontier Finance PLC

   

8.000% due 03/23/2022

   GBP 2,600       3,251  

Gartner, Inc.

   

5.125% due 04/01/2025

   $ 29       30  

Goodyear Tire & Rubber Co.

   

4.875% due 03/15/2027

     22       22  

Hexion, Inc.

    

10.375% due 02/01/2022

     23       23  

13.750% due 02/01/2022

     22       21  

iHeartCommunications, Inc.

    

9.000% due 03/01/2021

     2,470       1,883  

9.000% due 09/15/2022

     1,000       755  

Kinder Morgan, Inc.

    

5.300% due 12/01/2034 (k)

     1,500       1,514  

7.750% due 01/15/2032 (k)

     4,500       5,626  

Millar Western Forest Products Ltd.

   

8.500% due 04/01/2021

     48       30  

N&W Global Vending SpA

   

7.000% due 10/15/2023

   EUR 204       228  

Spanish Broadcasting System, Inc.

   

12.500% due 04/15/2017 (k)

   $ 1,000       1,002  

Team Health Holdings, Inc.

   

6.375% due 02/01/2025

     10       10  

UAL Pass-Through Trust

   

6.636% due 01/02/2024

     1,618       1,751  

UCP, Inc.

   

8.500% due 10/21/2017

     3,700       3,678  

Valeant Pharmaceuticals International, Inc.

    

6.500% due 03/15/2022

     49       51  

7.000% due 03/15/2024

     244       251  
   

 

 

  
      24,242  
   

 

 

  

UTILITIES 3.5%

    

Gazprom Neft OAO Via GPN Capital S.A.

   

6.000% due 11/27/2023

     7,150       7,740  

Gazprom OAO Via Gaz Capital S.A.

   

8.625% due 04/28/2034 (k)

     2,600       3,405  

Petrobras Global Finance BV

    

6.125% due 01/17/2022

     102       107  

7.375% due 01/17/2027

     120       127  
   

 

 

  
      11,379  
   

 

 

  
Total Corporate Bonds & Notes
(Cost $68,430)		         72,523  
   

 

 

  

MUNICIPAL BONDS & NOTES 0.9%

    

ILLINOIS 0.0%

    

Chicago, Illinois General Obligation Bonds, Series 2014

   

6.314% due 01/01/2044

     50       45  

Chicago, Illinois General Obligation Bonds, Series 2017

   

7.045% due 01/01/2029

     70       71  
   

 

 

  
      116  
   

 

 

  

WEST VIRGINIA 0.9%

    

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

    

0.000% due 06/01/2047 (e)

     25,300       1,278  

7.467% due 06/01/2047

     1,685       1,616  
   

 

 

  
      2,894  
   

 

 

  
Total Municipal Bonds & Notes
(Cost $2,828)		       3,010  
   

 

 

  

U.S. GOVERNMENT AGENCIES 173.8%

    

Fannie Mae

    

1.876% due 08/25/2054 (a)(k)

     24,200       1,461  

2.500% due 12/25/2027 (a)

     4,993       408  

2.565% due 12/01/2030

     168       171  

2.699% due 09/01/2028

     7       7  

2.700% due 04/01/2030

     1       1  

2.862% due 11/01/2027

     49       50  

2.900% due 12/01/2028

     43       45  

3.000% due 03/01/2031

     59       60  

3.104% due 03/01/2032

     78       78  

4.250% due 11/25/2024 - 03/25/2033

     559       593  

4.500% due 09/01/2023 - 08/01/2041

     280       301  

4.500% due 07/25/2040 - 04/01/2041 (k)

     2,118       2,241  

4.532% due 07/25/2029

     730       740  

                                         

5.000% due 12/01/2018 - 07/25/2038

     264       284  

5.000% due 01/25/2038 (k)

     10,029       10,923  

5.500% due 07/25/2024

     20       21  

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

     7,581       8,371  

5.559% due 12/25/2042

     38       41  

5.750% due 06/25/2033

     33       37  

5.807% due 08/25/2043

     1,964       2,164  

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

     2,118       2,399  

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

     7,475       8,469  

6.134% due 02/25/2042

     592       671  

6.185% due 10/25/2042

     17       20  

6.474% due 09/25/2041

     566       620  

6.500% due 10/01/2018 - 11/01/2047

     8,030       9,121  

6.500% due 12/01/2036 - 07/01/2039 (k)

     739       836  

6.732% due 07/25/2029

     660       691  

6.761% due 10/25/2042

     438       502  

6.850% due 12/18/2027

     16       18  

7.000% due 05/01/2017 - 01/01/2047

     2,071       2,359  

7.000% due 07/01/2036 (k)

     361       386  

7.500% due 12/01/2017 - 06/25/2044

     1,859       2,169  

7.700% due 03/25/2023

     19       21  

7.791% due 06/19/2041

     908       1,047  

8.000% due 09/25/2021 - 06/01/2032

     355       387  

8.500% due 09/25/2021 - 06/25/2030

     625       714  

9.449% due 05/15/2021

     53       57  

9.898% due 07/15/2027

     30       30  

Fannie Mae, TBA

    

3.000% due 10/01/2046 - 08/01/2047

     193,000       191,055  

3.500% due 10/01/2046 - 09/01/2047

     234,000       238,881  

4.000% due 03/01/2047

     3,000       3,147  

Freddie Mac

    

0.000% due 04/25/2045 (b)(e)

     1,485       1,292  

0.200% due 04/25/2045 (a)

     3,268       10  

1.767% due 11/15/2038 (a)(k)

     45,199       3,099  

2.006% due 05/15/2038 (a)(k)

     22,312       1,741  

2.019% due 09/15/2036 (a)(k)

     24,668       1,672  

2.158% due 08/15/2036 (a)

     6,974       453  

2.691% due 12/01/2026

     6       6  

2.749% due 09/01/2031

     34       35  

3.226% due 04/01/2033

     3       3  

5.000% due 02/15/2024

     9       9  

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

     7,414       8,302  

5.695% due 07/25/2032

     129       141  

5.982% due 08/25/2029

     380       376  

6.000% due 04/01/2017 - 03/15/2035

     828       933  

6.000% due 02/15/2032 (k)

     2,328       2,666  

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

     5,708       6,553  

6.500% due 06/15/2031 - 07/01/2037 (k)

     3,193       3,559  

6.900% due 09/15/2023

     306       334  

6.950% due 07/15/2021

     137       146  

7.000% due 06/01/2017 - 10/25/2043

     3,164       3,592  

7.000% due 03/15/2029 - 08/01/2036 (k)

     2,693       3,083  

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

     1,264       1,392  

7.500% due 04/01/2028 - 12/01/2030 (k)

     1,407       1,615  

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

     299       333  

8.532% due 12/25/2027

     1,598       1,804  

11.732% due 03/25/2025

     394       497  

Freddie Mac, TBA

    

4.000% due 11/01/2046

     3,000       3,147  

Ginnie Mae

    

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

     790       904  

6.000% due 07/15/2037 - 11/15/2038 (k)

     1,371       1,572  

6.500% due 11/20/2024 - 10/20/2038

     103       111  

6.500% due 04/15/2032 - 05/15/2032 (k)

     663       752  

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

     53       55  

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

     809       855  

8.000% due 05/15/2017 - 11/15/2022

     6       6  

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

     11       13  

9.000% due 12/15/2017 - 01/15/2020

     77       78  

Ginnie Mae, TBA

    

4.000% due 09/01/2047

     20,000       21,113  

Small Business Administration

    

4.625% due 02/01/2025

     127       133  

5.510% due 11/01/2027

     496       536  

5.780% due 08/01/2027

     40       43  

5.820% due 07/01/2027

     44       48  

6.300% due 06/01/2018

     21       22  

7.200% due 06/01/2017

     1       1  

Vendee Mortgage Trust

    

6.500% due 03/15/2029

     178       201  

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

     123       138  

7.500% due 09/15/2030

     2,647       3,125  
   

 

 

  

Total U.S. Government Agencies

(Cost $572,303)

       568,096  
   

 

 

  

                                         

U.S. TREASURY OBLIGATIONS 19.5%

    

U.S. Treasury Notes

    

2.000% due 08/15/2025 (k)(m)(o)

     65,700       63,974  
   

 

 

  

Total U.S. Treasury Obligations

(Cost $64,955)

       63,974  
   

 

 

  

NON-AGENCY MORTGAGE-BACKED SECURITIES 45.0%

    

Adjustable Rate Mortgage Trust

    

3.170% due 07/25/2035

     737       674  

3.699% due 08/25/2035

     1,678       1,614  

Banc of America Mortgage Trust

   

3.514% due 02/25/2035

     25       25  

Bancorp Commercial Mortgage Trust

   

6.949% due 11/15/2033

     4,500       4,490  

Barclays Commercial Mortgage Securities Trust

   

3.330% due 08/15/2027

     2,700       2,621  

BCAP LLC Trust

    

0.981% due 07/26/2036

     211       164  

3.045% due 10/26/2036

     2,588       2,307  

3.068% due 10/26/2033

     130       113  

3.174% due 06/26/2035

     43       39  

Bear Stearns ALT-A Trust

   

3.527% due 08/25/2036 ^(k)

     435       322  

Bear Stearns Commercial Mortgage Securities Trust

    

5.608% due 12/11/2040

     5,728       5,457  

5.716% due 04/12/2038

     120       93  

7.000% due 05/20/2030

     833       849  

Celtic Residential Irish Mortgage Securitisation PLC

    

0.001% due 11/13/2047

   EUR 5,473       5,841  

0.603% due 12/14/2048

   GBP 4,929       6,173  

Citigroup Mortgage Loan Trust, Inc.

   

7.000% due 09/25/2033

   $ 4       4  

Citigroup/Deutsche Bank Commercial Mortgage Trust

   

5.398% due 12/11/2049

     91       77  

Commercial Mortgage Loan Trust

   

6.101% due 12/10/2049

     1,932       1,154  

Commercial Mortgage Trust

    

5.505% due 03/10/2039

     3,997       3,846  

5.595% due 06/10/2046

     1,125       965  

Countrywide Alternative Loan Trust

    

1.192% due 07/25/2046 ^

     2,335       1,827  

5.500% due 05/25/2022 ^

     31       22  

6.500% due 07/25/2035 ^

     760       549  

Countrywide Home Loan Mortgage Pass-Through Trust

    

1.622% due 03/25/2035

     2,291       1,943  

2.852% due 03/25/2046 ^

     3,648       2,076  

3.135% due 08/25/2034

     710       657  

Countrywide Home Loan Reperforming REMIC Trust

    

7.500% due 11/25/2034

     1,248       1,259  

7.500% due 06/25/2035 ^

     226       232  

Credit Suisse Commercial Mortgage Trust

   

5.695% due 09/15/2040

     1,360       1,367  

Credit Suisse First Boston Mortgage Securities Corp.

   

2.132% due 03/25/2034 ^

     390       382  

Credit Suisse First Boston Mortgage-Backed Trust

   

7.000% due 02/25/2034

     510       558  

Credit Suisse Mortgage Capital Certificates

   

6.500% due 03/25/2036 ^

     1,208       707  

Epic Drummond Ltd.

   

0.000% due 01/25/2022

   EUR 234       246  

Eurosail PLC

    

1.944% due 09/13/2045

   GBP 1,751       1,744  

2.594% due 09/13/2045

     1,251       1,191  

4.194% due 09/13/2045

     1,063       1,000  

GC Pastor Hipotecario FTA

   

0.000% due 06/21/2046

   EUR 1,823       1,578  

GE Commercial Mortgage Corp. Trust

   

5.606% due 12/10/2049

   $ 5,000       4,975  

GMAC Mortgage Corp. Loan Trust

   

3.696% due 08/19/2034

     153       145  

GSAA Trust

   

6.000% due 04/01/2034

     1,165       1,211  

GSMPS Mortgage Loan Trust

    

6.238% due 06/19/2027

     44       43  

7.000% due 06/25/2043

     3,015       3,195  

8.000% due 09/19/2027

     621       636  

GSR Mortgage Loan Trust

    

1.312% due 12/25/2034

     443       400  

2.560% due 03/25/2033

     3       3  

6.500% due 01/25/2034

     283       299  

IM Pastor Fondo de Titluzacion Hipotecaria

   

0.000% due 03/22/2043

   EUR 627       549  

                                         
             

JPMorgan Chase Commercial Mortgage Securities Trust

   

5.623% due 05/12/2045

   $ 955       823  

JPMorgan Commercial Mortgage-Backed Securities Trust

   

5.836% due 03/18/2051

     3,697       3,700  

JPMorgan Mortgage Trust

    

3.137% due 10/25/2036 ^

     3,003       2,833  

5.500% due 08/25/2022 ^

     27       27  

5.500% due 06/25/2037 ^

     298       293  

LB-UBS Commercial Mortgage Trust

   

5.350% due 09/15/2040

     3,620       3,553  

Lehman XS Trust

   

1.832% due 09/25/2047

     6,455       5,350  

MASTR Adjustable Rate Mortgages Trust

   

3.530% due 10/25/2034

     1,163       1,033  

MASTR Alternative Loan Trust

    

6.250% due 07/25/2036

     476       406  

6.500% due 03/25/2034

     927       986  

7.000% due 04/25/2034

     64       69  

MASTR Reperforming Loan Trust

    

7.000% due 05/25/2035

     4,408       4,351  

7.500% due 07/25/2035

     2,380       2,413  

Merrill Lynch Mortgage Trust

   

5.841% due 06/12/2050

     5,100       5,019  

Morgan Stanley Capital Trust

    

5.777% due 04/15/2049

     5,718       5,703  

5.942% due 06/11/2049

     1,400       1,326  

Morgan Stanley Resecuritization Trust

   

2.716% due 12/26/2046

     7,952       5,817  

NAAC Reperforming Loan REMIC Trust

    

7.000% due 10/25/2034 ^

     1,213       1,218  

7.500% due 03/25/2034 ^

     3,180       2,950  

7.500% due 10/25/2034 ^

     3,640       3,846  

Newgate Funding PLC

    

0.920% due 12/15/2050

   EUR 2,402       2,361  

1.170% due 12/15/2050

     2,402       2,229  

1.344% due 12/15/2050

   GBP 3,308       3,882  

1.594% due 12/15/2050

     2,717       3,139  

RBSSP Resecuritization Trust

    

6.000% due 02/26/2037

   $ 4,710       3,651  

6.250% due 12/26/2036

     6,374       3,870  

Residential Accredit Loans, Inc. Trust

   

6.000% due 08/25/2035 ^

     1,973       1,812  

Residential Asset Mortgage Products Trust

    

8.500% due 10/25/2031

     553       644  

8.500% due 11/25/2031

     783       829  

Structured Asset Mortgage Investments Trust

   

2.138% due 08/25/2047 ^(k)

     3,519       3,166  

Structured Asset Securities Corp. Mortgage Loan Trust

   

7.500% due 10/25/2036 ^

     3,205       2,775  

WaMu Mortgage Pass-Through Certificates Trust

   

2.736% due 05/25/2035 (k)

     330       331  

Washington Mutual Mortgage Pass-Through Certificates Trust

    

7.000% due 03/25/2034

     153       167  

7.500% due 04/25/2033

     428       458  

Wells Fargo Mortgage-Backed Securities Trust

    

3.073% due 06/25/2035

     337       344  

3.096% due 04/25/2036 ^

     40       40  
   

 

 

  

Total Non-Agency Mortgage-Backed Securities

(Cost $141,307)

       147,036  
   

 

 

  

ASSET-BACKED SECURITIES 17.7%

    

Access Financial Manufactured Housing Contract Trust

   

7.650% due 05/15/2021

     208       62  

Airspeed Ltd.

   

1.182% due 06/15/2032

     1,906       1,584  

Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates

   

4.507% due 11/25/2032 ^

     251       6  

Bear Stearns Asset-Backed Securities Trust

   

1.105% due 09/25/2034

     662       590  

Citigroup Mortgage Loan Trust, Inc.

    

1.142% due 12/25/2036

     5,363       3,313  

1.202% due 12/25/2036 (k)

     2,763       1,488  

1.242% due 03/25/2037 (k)

     6,808       5,311  

Conseco Finance Securitizations Corp.

   

7.960% due 05/01/2031

     1,661       1,181  

Conseco Financial Corp.

    

6.530% due 02/01/2031

     149       148  

7.050% due 01/15/2027

     146       153  

Countrywide Asset-Backed Certificates

    

1.112% due 12/25/2036 ^

     3,777       3,745  

1.122% due 06/25/2047 ^

     9,596       7,398  

1.182% due 06/25/2037 ^(k)

     2,700       2,002  

1.182% due 06/25/2047

     6,821       5,294  

1.272% due 06/25/2037 (k)

     8,449       6,066  

4.815% due 07/25/2036 (k)

       11,700       11,667  

                                         
             

Countrywide Asset-Backed Certificates Trust

   

2.632% due 11/25/2034

     2,297       1,269  

Credit-Based Asset Servicing and Securitization LLC

   

6.020% due 12/25/2037

     720       749  

Encore Credit Receivables Trust

   

1.717% due 07/25/2035

     576       431  

Greenpoint Manufactured Housing

   

8.300% due 10/15/2026

     760       834  

National Collegiate Commutation Trust

   

0.000% due 03/25/2038

     10,400       4,653  

Oakwood Mortgage Investors, Inc.

   

1.142% due 06/15/2032

     20       18  

Residential Asset Mortgage Products Trust

   

8.500% due 12/25/2031

     20       16  
   

 

 

  

Total Asset-Backed Securities

(Cost $57,406)

       57,978  
   

 

 

  

SOVEREIGN ISSUES 1.0%

    

Argentine Government International Bond

   

7.820% due 12/31/2033

   EUR 2,257       2,556  

Ecuador Government International Bond

   

9.650% due 12/13/2026

   $ 600       622  
   

 

 

  

Total Sovereign Issues

(Cost $3,079)

       3,178  
   

 

 

  
    SHARES        

COMMON STOCKS 0.1%

    

ENERGY 0.1%

    

SemGroup Corp. ‘A’

     7,966       287  
   

 

 

  

Total Common Stocks

(Cost $221)

       287  
   

 

 

  

WARRANTS 0.0%

    

UTILITIES 0.0%

    

Dynegy, Inc. - Exp. 02/02/2024

     3,986       2  
   

 

 

  

Total Warrants

(Cost $10)

       2  
   

 

 

  

SHORT-TERM INSTRUMENTS 5.7%

    

REPURCHASE AGREEMENTS (j) 4.5%

       14,592  
   

 

 

  
    PRINCIPAL
AMOUNT
(000S)		        

SHORT-TERM NOTES 0.2%

    

Federal Home Loan Bank

    

0.730% due 04/17/2017 (e)(f)

   $ 600       600  
   

 

 

  

U.S. TREASURY BILLS 1.0%

    

0.664% due 04/20/2017 - 04/27/2017 (d)(e)(k)(o)

     3,420       3,418  
   

 

 

  

Total Short-Term Instruments

(Cost $18,611)

       18,610  
   

 

 

  

Total Investments in Securities

(Cost $938,092)

       943,549  
   

 

 

  

Total Investments 288.6%

(Cost $938,092)

     $ 943,549  

Financial Derivative Instruments (l)(n) (0.8)%

(Cost or Premiums, net $(2,158))

       (2,568 ) 
Other Assets and Liabilities, net (187.8)%       (614,083 ) 
   

 

 

  
Net Assets 100.0%     $ 326,898  
   

 

 

  

Notes to Schedule of Investments (amounts in thousands*, except number of contracts):

 

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

 

^ Security is in default.

 

(a) Interest only security.

 

(b) Principal only security.

 

(c) When-issued security.

 

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

 

(e) Zero coupon security.

 

(f) Coupon represents a yield to maturity.

 

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

 

(h) Security is subject to a forbearance agreement entered into by the Fund which forbears the Fund from taking action to, among other things, accelerate and collect payments on the subject note with respect to specified events of default.

 

(i) Restricted Securities:

 

Issuer Description      Coupon        Maturity
Date		        Acquisition Date        Cost        Market
Value		        Market Value
as Percentage
of Net Assets		  

Pinnacol Assurance

        8.625%          06/25/2034          06/23/2014        $   2,600        $   2,607          0.80%  
                   

 

 

       

 

 

       

 

 

  

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)		  
IND     0.750 %      03/31/2017       04/03/2017     $ 2,300     U.S. Treasury Notes 1.500% due 08/15/2026   $ (2,346 )    $ 2,300     $ 2,300  
SAL     0.960       03/31/2017       04/03/2017         11,400     U.S. Treasury Notes 1.750% due 12/31/2020     (11,636 )      11,400       11,401  
SSB     0.050       03/31/2017       04/03/2017       892     U.S. Treasury Notes 3.500% due 05/15/2020 (2)     (911 )      892       892  
           

 

 

    

 

 

    

 

 

  

Total Repurchase Agreements

         $   (14,893 )    $   14,592     $   14,593  
           

 

 

    

 

 

    

 

 

  

Reverse Repurchase Agreements:

 

Counterparty    Borrowing
Rate (3)		      Settlement
Date		      Maturity
Date		     Amount
Borrowed (3)		     Payable for
Reverse
Repurchase
Agreements		  

BPS

      1.000 %       01/13/2017        04/12/2017     $ (7,972 )    $ (7,990 ) 
     1.030        02/10/2017        05/15/2017       (1,440 )      (1,442 ) 
     1.200        01/13/2017        04/12/2017       (10,083 )      (10,110 ) 
     1.480        01/13/2017        04/12/2017       (5,547 )      (5,565 ) 
     1.490        01/18/2017        04/18/2017       (3,421 )      (3,432 ) 
     1.530        01/31/2017        05/01/2017       (2,941 )      (2,949 ) 
     1.550        03/02/2017        06/02/2017       (3,127 )      (3,131 ) 
     1.580        01/27/2017        04/26/2017       (9,782 )      (9,810 ) 
     1.600        01/13/2017        04/12/2017         (10,856 )      (10,895 ) 
     1.660        03/08/2017        06/08/2017       (4,813 )      (4,819 ) 
     1.718        01/13/2017        04/12/2017       (15,348 )      (15,406 ) 
     1.890        01/31/2017        04/15/2017       (829 )      (832 ) 
     1.890        01/31/2017        05/01/2017       (1,544 )      (1,549 ) 
     2.589        01/31/2017        05/01/2017       (9,302 )      (9,343 ) 
     2.648        03/16/2017        06/16/2017       (4,140 )      (4,145 ) 
     2.840        11/28/2016        05/26/2017       (4,723 )      (4,770 ) 

JML

      1.750        03/01/2017        04/12/2017       (4,563 )      (4,563 ) 

UBS

      1.920        03/14/2017        06/14/2017       (849 )      (850 ) 
            

 

 

  

Total Reverse Repurchase Agreements

 

        $   (101,601 ) 
            

 

 

  

Sale-Buyback Transactions:

 

Counterparty    Borrowing
Rate (3)		      Borrowing
Date		      Maturity
Date		     Amount
Borrowed (3)		     Payable for
Sale-Buyback
Transactions (4)		  

BPG

      0.890 %       03/06/2017        04/03/2017     $ (1,737 )    $ (1,738 ) 
     0.920        03/08/2017        04/07/2017       (4,400 )      (4,403 ) 

TDM

      0.740        01/24/2017        04/24/2017       (27,188 )      (27,226 ) 
     0.740        02/08/2017        04/10/2017       (3,897 )      (3,902 ) 
     0.750        02/16/2017        04/17/2017       (1,545 )      (1,547 ) 
     0.760        01/13/2017        04/13/2017       (13,341 )      (13,364 ) 
            

 

 

  

Total Sale-Buyback Transactions

              $   (52,180 ) 
            

 

 

  

 

(1) Includes accrued interest.
(2) Collateral is held in custody by the counterparty.
(3) The average amount of borrowings outstanding during the period ended March 31, 2017 was $(148,049) at a weighted average interest rate of 1.115%.
(4) Payable for sale-buyback transactions includes $(16) of deferred price drop.

 

(k) Securities with an aggregate market value of $170,779 and cash of $600 have been pledged as collateral under the terms of master agreements as of March 31, 2017.

 

(l) Financial Derivative Instruments: Exchange-Traded or Centrally Cleared

Futures Contracts:

 

                             Variation Margin  
Description    Type    Expiration
Month		      # of
Contracts		     Unrealized
Appreciation/
(Depreciation)		     Asset     Liability  

U.S. Treasury 2-Year Note June Futures

    Long      06/2017        138     $ 86     $ 11     $ 0  
          

 

 

    

 

 

    

 

 

  

Total Futures Contracts

 

   $     86     $     11     $     0  
          

 

 

    

 

 

    

 

 

  

Swap Agreements:

Interest Rate Swaps

 

      Variation Margin  
Pay/Receive
Floating Rate		    Floating Rate Index    Fixed Rate      Maturity
Date		      Notional
Amount		      Market
Value		     Unrealized
Appreciation/
(Depreciation)		     Asset     Liability  
Pay   

1-Year BRL-CDI

      15.590 %       01/04/2021      BRL 7,200      $ 336     $ 99     $ 0     $ (1 ) 
Pay   

3-Month CAD-Bank Bill

      3.300        06/19/2024      CAD  11,200        1,009       488       0       (26 ) 
Receive   

3-Month CAD-Bank Bill

      3.500        06/20/2044        3,800        (699 )      (567 )      17       0  
Receive   

3-Month USD-LIBOR

      1.750        12/21/2023      $ 39,400        951       2,016       0       (39 ) 
Pay   

3-Month USD-LIBOR

      1.750        12/21/2026        63,800        3,251       4,511       0       (94 ) 
Receive (1)   

3-Month USD-LIBOR

      1.500        06/21/2027        28,000        2,403       215       0       (46 ) 
Receive   

3-Month USD-LIBOR

      2.250        12/21/2046        5,000        409       863       0       (6 ) 
Receive (1)   

3-Month USD-LIBOR

      1.750        06/21/2047        50,300        10,469       1,589       0       (82 ) 
              

 

 

    

 

 

    

 

 

    

 

 

  
               $     18,129     $     9,214     $     17     $     (294 ) 
              

 

 

    

 

 

    

 

 

    

 

 

  

Total Swap Agreements

      $ 18,129     $ 9,214     $ 17     $ (294 ) 
              

 

 

    

 

 

    

 

 

    

 

 

  

 

(1) This instrument has a forward starting effective date.

 

(m) Securities with an aggregate market value of $10,523 and cash of $311 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of March 31, 2017.

 

(n) 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

     04/2017      BRL      938      $     296     $ 0     $ (4 ) 
    04/2017      EUR       15,420          16,357       0       (94 ) 
    04/2017      GBP      1,222          1,536       5       0  
    04/2017      $      305      BRL     939       0       (5 ) 
    05/2017      BRL      939      $     303       5       0  

BPS

     04/2017           939          304       4       0  
    04/2017      $      296      BRL     939       4       0  
    04/2017           13,583      EUR      12,594       0       (147 ) 
    05/2017      EUR      12,594      $     13,600       148       0  

GLM

     04/2017      CAD      78          58       0       0  
    04/2017      EUR      473          502       0       (2 ) 
    04/2017      GBP      1,575          1,926       0       (47 ) 
    04/2017      $      26,518      GBP     21,341       220       0  
    05/2017      GBP      21,341      $     26,536       0       (220 ) 

JPM

     04/2017           2,600          3,251       0       (6 ) 
    04/2017      $      3,310      EUR     3,083       0       (21 ) 
    04/2017           386      GBP     315       8       0  

MSB

     04/2017      GBP       16,259      $     20,391       20       0  

UAG

     04/2017      $      233      EUR     216       0       (3 ) 
              

 

 

    

 

 

  

Total Forward Foreign Currency Contracts

 

   $ 414     $ (549 ) 
              

 

 

    

 

 

  

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 05/01/2047    $     75.219        05/04/2017     $ 50,000     $ 2     $ 0  
FAR    Put - OTC Fannie Mae, TBA 3.000% due 04/01/2047      71.000        04/05/2017       127,000       5       0  
   Put - OTC Fannie Mae, TBA 3.500% due 04/01/2047      76.000        04/05/2017           185,000       7       0  
JPM    Put - OTC Fannie Mae, TBA 3.500% due 04/01/2047      70.000        04/05/2017       11,000       0       0  
            

 

 

    

 

 

  
          $     14     $     0  
            

 

 

    

 

 

  

Total Purchased Options

     $ 14     $ 0  
            

 

 

    

 

 

  

Swap Agreements:

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

 

      Swap Agreements, at Value  
Counterparty   Reference Entity   Fixed
Receive Rate		     Maturity
Date		    Implied Credit
Spread at
March 31, 2017 (2)		     Notional
Amount (3)		      Premiums
Paid/(Received)		     Unrealized
Appreciation/
(Depreciation)		     Asset     Liability  
BOA  

Indonesia Government International Bond

     1.000 %   

06/20/2019

      0.501 %    $ 100      $ (3 )    $ 4     $ 1     $ 0  
BPS  

Petrobras Global Finance BV

     1.000    

12/20/2019

      1.576       3,100        (306 )      260       0       (46 ) 
DUB  

Indonesia Government International Bond

     1.000    

06/20/2019

      0.501       300        (11 )      15       4       0  
GST  

Petrobras Global Finance BV

     1.000    

09/20/2020

      2.071       10        (1 )      1       0       0  
HUS  

Petrobras Global Finance BV

     1.000    

12/20/2019

      1.576       3,400        (338 )      287       0       (51 ) 
JPM  

Indonesia Government International Bond

     1.000    

06/20/2019

      0.501       800        (27 )      36       9       0  
 

Russia Government International Bond

     1.000    

12/20/2020

      1.128       200        (23 )      22       0       (1 ) 
             

 

 

    

 

 

    

 

 

    

 

 

  
          $     (709 )    $     625     $     14     $     (98 ) 
             

 

 

    

 

 

    

 

 

    

 

 

  

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

 

                                      Swap Agreements, at Value (4)  
Counterparty   Index/Tranches   Fixed
Receive Rate		     Maturity
Date		     Notional
Amount (3)		     Premiums
Paid/(Received)		     Unrealized
Appreciation/
(Depreciation)		     Asset     Liability  
DUB  

CMBX.NA.BBB-.6 Index

     3.000 %      05/11/2063     $ 1,100     $ (67 )    $ (73 )    $ 0     $ (140 ) 
 

CMBX.NA.BBB-.8 Index

     3.000       10/17/2057       1,400       (161 )      (70 )      0       (231 ) 
 

CMBX.NA.BBB-.9 Index

     3.000       09/17/2058       900       (113 )      8       0       (105 ) 
FBF  

CMBX.NA.BBB-.6 Index

     3.000       05/11/2063       100       (12 )      (1 )      0       (13 ) 
 

CMBX.NA.BBB-.7 Index

     3.000       01/17/2047       100       (10 )      1       0       (9 ) 
 

CMBX.NA.BBB-.8 Index

     3.000       10/17/2057       400       (63 )      (3 )      0       (66 ) 
GST  

CMBX.NA.A.6 Index

     2.000       05/11/2063       1,400       (71 )      (1 )      0       (72 ) 
 

CMBX.NA.BB.6 Index

     5.000       05/11/2063       1,000       (135 )      (68 )      0       (203 ) 
 

CMBX.NA.BBB-.6 Index

     3.000       05/11/2063       2,200       (121 )      (159 )      0       (280 ) 
 

CMBX.NA.BBB-.7 Index

     3.000       01/17/2047       400       (20 )      (16 )      0       (36 ) 
 

CMBX.NA.BBB-.9 Index

     3.000       09/17/2058       2,200       (274 )      17       0       (257 ) 
MYC  

CMBX.NA.BBB-.10 Index

     3.000       11/17/2059       200       (24 )      4       0       (20 ) 
 

CMBX.NA.BBB-.6 Index

     3.000       05/11/2063       3,100       (179 )      (215 )      0       (394 ) 
 

CMBX.NA.BBB-.7 Index

     3.000       01/17/2047       700       (31 )      (32 )      0       (63 ) 
 

CMBX.NA.BBB-.8 Index

     3.000       10/17/2057       400       (46 )      (20 )      0       (66 ) 
 

CMBX.NA.BBB-.9 Index

     3.000       09/17/2058       1,100       (136 )      8       0       (128 ) 
         

 

 

    

 

 

    

 

 

    

 

 

  
        $ (1,463 )    $   (620 )    $ 0     $ (2,083 ) 
         

 

 

    

 

 

    

 

 

    

 

 

  

Total Swap Agreements

         $   (2,172 )    $ 5     $   14     $   (2,181 ) 
         

 

 

    

 

 

    

 

 

    

 

 

  

 

(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 on credit indices 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.

 

(o) Securities with an aggregate market value of $2,269 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of March 31, 2017.

Fair Value Measurements

The following is a summary of the fair valuations according to the inputs used as of March 31, 2017 in valuing the Fund’s assets and liabilities:

 

Category and Subcategory    Level 1        Level 2        Level 3        Fair Value
at 03/31/2017		  

Investments in Securities, at Value

                  

Loan Participations and Assignments

    $ 0        $ 8,376        $ 479        $ 8,855  

Corporate Bonds & Notes

                  

Banking & Finance

      0          31,996          4,906          36,902  

Industrials

      0          17,313          6,929          24,242  

Utilities

      0          11,379          0          11,379  

Municipal Bonds & Notes

                  

Illinois

      0          116          0          116  

West Virginia

      0          2,894          0          2,894  

U.S. Government Agencies

      0          568,096          0          568,096  

U.S. Treasury Obligations

      0          63,974          0          63,974  

Non-Agency Mortgage-Backed Securities

      0          147,036          0          147,036  

Asset-Backed Securities

      0          53,325          4,653          57,978  

Sovereign Issues

      0          3,178          0          3,178  

Common Stocks

                  

Energy

      287          0          0          287  

Warrants

                  

Utilities

      2          0          0          2  

Short-Term Instruments

                  

Repurchase Agreements

      0          14,592          0          14,592  

Short-Term Notes

      0          600          0          600  

U.S. Treasury Bills

      0          3,418          0          3,418  

Total Investments

    $ 289        $ 926,293        $ 16,967        $ 943,549  

Financial Derivative Instruments - Assets

                  

Exchange-traded or centrally cleared

      11          17          0          28  

Over the counter

      0          428          0          428  
   $ 11        $ 445        $ 0        $ 456  

Financial Derivative Instruments - Liabilities

                  

Exchange-traded or centrally cleared

      0          (294 )         0          (294 ) 

Over the counter

      0          (2,730 )         0          (2,730 ) 
     $ 0        $ (3,024 )       $ 0        $ (3,024 ) 

Total Financial Derivative Instruments

    $ 11        $ (2,579 )       $ 0        $ (2,568 ) 

Totals

    $     300        $     923,714        $     16,967        $     940,981  

There were no significant transfers among Levels 1 and 2 during the period ended March 31, 2017.

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended March 31, 2017:

 

Category and Subcategory   Beginning
Balance
at 06/30/2016		     Net
Purchases		     Net
Sales 		    Accrued
Discounts/
(Premiums)		     Realized
Gain/
(Loss)		     Net Change in
Unrealized
Appreciation/
(Depreciation) (1)		     Transfers
into
Level 3		     Transfers
out
of Level 3		     Ending
Balance
at 03/31/2017		     Net Change in
Unrealized
Appreciation/
(Depreciation)
on Investments
Held at
03/31/2017 (1)		  
Investments in Securities, at Value                

Loan Participations and Assignments

   $ 0     $ 0     $ 0     $ 0     $ 0     $ 0     $ 479     $ 0     $ 479     $ 0  

Corporate Bonds & Notes Banking & Finance

     9,149       0       (4,303 )      18       47       (5 )      0       0       4,906       (246 ) 

Industrials

     3,725       3,246       0       4       0       (46 )      0       0       6,929       (46 ) 

Asset-Backed Securities

     0       4,524       0       124       0       5       0       0       4,653       5  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Totals

   $   12,874     $   7,770     $   (4,303 )    $   146     $   47     $   (46 )    $   479     $   0     $   16,967     $   (287 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

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 03/31/2017		      Valuation Technique   Unobservable Inputs    Input Value(s)
(% Unless Noted Otherwise)		  

Investments in Securities, at Value

 

Loan Participations and Assignments

    $ 479      Third Party Vendor   Broker Quote      99.000  

Corporate Bonds & Notes

           

Banking & Finance

      2,607     

Proxy Pricing

  

Base Price

      102.667  
     2,299     

Reference Instrument

  

Spread movement

      204.000 bps 

Industrials

      6,929     

Proxy Pricing

  

Base Price

      99.500 - 100.000  

Asset-Backed Securities

      4,653      Proxy Pricing   Base Price      44.000 - 46.000  
  

 

 

          

Total

    $   16,967          
  

 

 

          

 

(1) Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at March 31, 2017 may be due to an investment no longer held or categorized as Level 3 at period end.

See Accompanying Notes

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, less any liabilities attributable to that Fund, by the total number of shares outstanding of that Fund.

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

For purposes of calculating NAV, portfolio securities and other assets for which market quotes are readily available are valued at market value. Market value is generally determined on the basis of official closing prices or the last reported sales prices, or if no sales are reported, based on quotes obtained from established market makers or prices (including evaluated prices) supplied by the 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 do not normally take into account trading, clearances or settlements that take place after the NYSE Close. A foreign (non-U.S.) equity security traded on a foreign exchange or on more than one exchange is typically valued using pricing information from the exchange considered by 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 or other pricing sources. 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 non-U.S. securities. Foreign exchanges may permit trading in foreign (non-U.S.) equity securities on days when the Trust is not open for business, which may result in the Fund’s portfolio investments being affected when shareholders are unable to buy or sell shares.

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

Investments valued in currencies other than the U.S. dollar are converted to the U.S. dollar using exchange rates obtained from Pricing Services. As a result, the value of such investments and, in turn, the NAV of the Fund’s shares may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of investments traded in markets outside the United States or denominated in currencies other than the U.S. dollar may be affected significantly on a day that the 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 Valuation Oversight Committee of the Board (“Valuation Oversight Committee”), generally based on recommendations provided by the Manager. Market quotes are considered not readily available in circumstances where there is an absence of current or reliable market-based data (e.g., trade information, bid/ask information, indicative market quotations (“Broker Quotes”), Pricing Services’ prices), including where events occur after the close of the relevant market, but prior to the NYSE Close, that materially affect the values of the Fund’s securities or assets. In addition, market quotes are considered not readily available when, due to extraordinary circumstances, the exchanges or markets on which the securities trade do not open for trading for the entire day and no other market prices are available. The Board has delegated to the Manager the responsibility for monitoring significant events that may materially affect the values of the Fund’s securities or assets and for determining whether the value of the applicable securities or assets should be reevaluated in light of such significant events.

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

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

 

•   Level 1—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 valuation 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 valuation methods used by third-party 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 between Levels 1 and 2 and 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.

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

Investments in registered open-end investment companies (other than ETFs) will be valued based upon the NAVs of such investments and are categorized as Level 1 of the fair value hierarchy. Investments in unregistered open-end investment companies will be calculated based upon the NAVs of such investments and are considered Level 1 provided that the NAVs are observable, calculated daily and are the value at which both purchases and sales will be conducted. Investments in privately held investment funds with significant restrictions on redemption where the inputs to the NAVs are observable will be valued based upon the NAVs of such investments and are 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 based 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.

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 of such short-term debt instrument is approximately the same as the fair value of the instrument as determined without the use of amortized cost valuation. Short-term debt instruments having a remaining maturity of 60 days or less are categorized as Level 3 of the fair value hierarchy.

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

2. FEDERAL INCOME TAX MATTERS

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

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

In accordance with U.S. GAAP, the Manager has reviewed the Fund’s tax positions for all open tax years. As of March 31, 2017, the Fund has recorded no liability for net unrecognized tax benefits relating to uncertain income tax positions they have taken or expect to take in future tax returns.

The Fund files U.S. tax returns. While the statute of limitations remains open to examine the Fund’s U.S. tax returns filed for the fiscal years from 2014-2016, no examinations are in progress or anticipated at this time. The Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.

As of March 31, 2017, the aggregate cost and the net unrealized appreciation (depreciation) of investments for Federal income tax purposes are as follows (amounts in thousands):

 

                                                              
Federal
Tax Cost		     Aggregate Gross
Unrealized
Appreciation		     Aggregate Gross
Unrealized
(Depreciation)		     Net Unrealized
Appreciation
(Depreciation)  (1)		  
  $  938,092     $   22,165     $   (16,708 )    $   5,457  

 

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

GLOSSARY: (abbreviations that may be used in the preceding statements)      (Unaudited)
Counterparty Abbreviations:         
BOA    Bank of America N.A.   GST    Goldman Sachs International   MYC    Morgan Stanley Capital Services, Inc.
BPG    BNP Paribas Securities Corp.   IND    Crédit Agricole Corporate and Investment Bank S.A.   SAL    Citigroup Global Markets, Inc.
BPS    BNP Paribas S.A.   HUS    HSBC Bank USA N.A.   SSB    State Street Bank and Trust Co.
DUB    Deutsche Bank AG   JML    JP Morgan Securities Plc   TDM    TD Securities (USA) LLC
FAR    Wells Fargo Bank National Association   JPM    JPMorgan Chase Bank N.A.   UAG    UBS AG Stamford
FBF    Credit Suisse International   MSB    Morgan Stanley Bank, N.A   UBS    UBS Securities LLC
GLM    Goldman Sachs Bank USA          
Currency Abbreviations:         
BRL    Brazilian Real   EUR    Euro   USD (or $)    United States Dollar
CAD    Canadian Dollar   GBP    British Pound     
Exchange Abbreviations:         
OTC    Over the Counter          
Index/Spread Abbreviations:         
CMBX    Commercial Mortgage-Backed Index          
Other Abbreviations:         
ALT    Alternate Loan Trust   LIBOR    London Interbank Offered Rate   TBA    To-Be-Announced
CDI    Brazil Interbank Deposit Rate   REMIC    Real Estate Mortgage Investment Conduit     

Item 2. Controls and Procedures

 

  (a) The principal executive officer and principal financial & accounting officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))), are effective based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.

 

  (b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3. Exhibits

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

Signatures

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

 

PIMCO Strategic Income Fund

By: /s/ Peter G. Strelow                                                   

Peter G. Strelow
President (Principal Executive Officer)
Date: May 26, 2017

By: /s/ William G. Galipeau                                            

William G. Galipeau
Treasurer (Principal Financial & Accounting Officer)
Date: May 26, 2017

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

 

By: /s/ Peter G. Strelow                                                   

Peter G. Strelow
President (Principal Executive Officer)
Date: May 26, 2017

By: /s/ William G. Galipeau                                            

William G. Galipeau
Treasurer (Principal Financial & Accounting Officer)
Date: May 26, 2017