NPORT-EX 2 pcm_fundinc.htm PCM FUND, INC. pcm_fundinc

Schedule of Investments PIMCO PCM Fund, Inc.

September 30, 2021

(Unaudited)

 

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

 

 

PRINCIPAL
AMOUNT
(000s)

 

MARKET
VALUE
(000s)

INVESTMENTS IN SECURITIES 180.5% ¤

 

 

 

 

LOAN PARTICIPATIONS AND ASSIGNMENTS 31.9%

 

 

 

 

AAdvantage Loyalty IP Ltd.
5.500% (LIBOR03M + 4.750%) due 04/20/2028 ~

$

700

$

725

AP Core Holdings, LLC
6.250% (LIBOR03M + 5.500%) due 09/01/2027 ~

 

1,126

 

1,130

BMC Software
TBD% due 10/02/2025 «

 

500

 

499

Caesars Resort Collection LLC

 

 

 

 

2.834% (LIBOR03M + 2.750%) due 12/23/2024 ~

 

2,027

 

2,017

3.583% (LIBOR03M + 3.500%) due 07/21/2025 ~

 

348

 

349

Cengage Learning, Inc.
5.750% (LIBOR03M + 4.750%) due 06/29/2026 ~

 

1,127

 

1,136

Clear Channel Outdoor Holdings, Inc.
3.629% (LIBOR03M + 3.500%) due 08/21/2026 ~

 

1,459

 

1,431

Dei Sales, Inc.
5.584% - 6.250% (LIBOR03M + 5.500%) due 04/23/2028 «~

 

1,093

 

1,085

Emerald TopCo, Inc.
3.584% - 3.629% (LIBOR03M + 3.500%) due 07/24/2026 ~

 

6

 

6

Encina Private Credit LLC
TBD% - 4.572% (LIBOR03M + 3.572%) due 11/30/2025 «~µ

 

3,000

 

3,000

Envision Healthcare Corp.
3.834% (LIBOR03M + 3.750%) due 10/10/2025 ~

 

3,846

 

3,433

Forbes Energy Services LLC
TBD% due 12/31/2021 «

 

630

 

0

GIP Blue Holding
TBD% due 09/29/2028 «

 

700

 

702

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

 

165

 

165

Lealand Finance Company B.V.

 

 

 

 

1.084% (LIBOR03M + 1.000%) due 06/30/2025 ~

 

191

 

85

3.084% (LIBOR03M + 3.000%) due 06/30/2024 «~

 

27

 

16

Medline Industries, Inc.

 

 

 

 

TBD% due 08/04/2022 «

 

1,200

 

1,185

TBD% due 09/20/2028

 

229

 

228

MH Sub LLC
3.584% (LIBOR03M + 3.500%) due 09/13/2024 ~

 

19

 

19

Parexel International Corp.

 

 

 

 

TBD% due 08/11/2028

 

193

 

194

Petco Health & Wellness Co.
4.000% (LIBOR03M + 3.250%) due 03/03/2028 ~

 

1,114

 

1,115

PUG LLC
3.584% (LIBOR03M + 3.500%) due 02/12/2027 ~

 

704

 

690

Redstone Buyer LLC
5.500% (LIBOR03M + 4.750%) due 04/27/2028 ~

 

1,500

 

1,481

Rising Tide Holdings, Inc.
5.500% (LIBOR03M + 4.750%) due 06/01/2028 ~

 

1,100

 

1,107

Sabre GLBL, Inc.
4.000% (LIBOR03M + 3.500%) due 12/17/2027 ~

 

1,026

 

1,019

Sequa Mezzanine Holdings LLC
11.750% (LIBOR03M + 10.750%) due 04/28/2024 «~

 

834

 

830

Shutterfly, Inc.
5.750% (LIBOR03M + 5.000%) due 09/25/2026 ~

 

1,700

 

1,703

SkyMiles IP Ltd.
4.750% (LIBOR03M + 3.750%) due 10/20/2027 ~

 

300

 

319

Sotera Health Holdings LLC
3.250% (LIBOR03M + 2.750%) due 12/11/2026 «~

 

24

 

24

Syniverse Holdings, Inc.

 

 

 

 

6.000% (LIBOR03M + 5.000%) due 03/09/2023 ~

 

2,510

 

2,513

10.000% (LIBOR03M + 9.000%) due 03/11/2024 ~

 

41

 

41

Team Health Holdings, Inc.
3.750% (LIBOR03M + 2.750%) due 02/06/2024 ~

 

1,800

 

1,760

U.S. Renal Care, Inc.

 

 

 

 

6.500% (LIBOR03M + 5.500%) due 06/26/2026 ~

 

1,100

 

1,101

United Airlines, Inc.
4.500% (LIBOR03M + 3.750%) due 04/21/2028 ~

 

698

 

705

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

 

2,298

 

2,299

Veritas Holdings, Inc
6.000% (LIBOR03M + 5.000%) due 09/01/2025 ~

 

1,097

 

1,104

Westmoreland Coal Company (15.000% PIK)
15.000% due 03/15/2029 (d)

 

783

 

162

 

 

 

Schedule of Investments PIMCO PCM Fund, Inc. (Cont.)

September 30, 2021

(Unaudited)

 

Windstream Services LLC
7.250% (LIBOR03M + 6.250%) due 09/21/2027 ~

 

168

 

169

Total Loan Participations and Assignments (Cost $35,920)

 

 

 

35,547

CORPORATE BONDS & NOTES 46.9%

 

 

 

 

BANKING & FINANCE 9.5%

 

 

 

 

Ford Motor Credit Co. LLC
5.125% due 06/16/2025 (l)

 

500

 

544

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

 

76

 

78

Kennedy-Wilson, Inc.
4.750% due 02/01/2030 (l)

 

1,086

 

1,104

MGM Growth Properties Operating Partnership LP

 

 

 

 

3.875% due 02/15/2029 (l)

 

200

 

213

4.500% due 09/01/2026 (l)

 

200

 

218

4.625% due 06/15/2025 (l)

 

300

 

324

5.625% due 05/01/2024 (l)

 

100

 

109

5.750% due 02/01/2027 (l)

 

900

 

1,036

Navient Corp.

 

 

 

 

5.625% due 01/25/2025

 

51

 

50

6.125% due 03/25/2024 (l)

 

102

 

109

7.250% due 09/25/2023 (l)

 

24

 

26

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

 

20

 

22

OneMain Finance Corp.
6.125% due 03/15/2024 (l)

 

24

 

26

PennyMac Financial Services, Inc.
5.750% due 09/15/2031 (l)

 

343

 

343

Piper Jaffray Cos.

 

 

 

 

4.740% due 10/15/2021

 

200

 

202

5.200% due 10/15/2023

 

900

 

906

PRA Group, Inc.
5.000% due 10/01/2029 (l)

 

900

 

902

Uniti Group LP

 

 

 

 

6.000% due 01/15/2030 (c)

 

1,065

 

1,058

7.125% due 12/15/2024 (l)

 

107

 

109

7.875% due 02/15/2025 (l)

 

2,420

 

2,560

Voyager Aviation Holdings LLC
8.500% due 05/09/2026 (l)

 

665

 

611

 

 

 

 

10,550

INDUSTRIALS 33.6%

 

 

 

 

American Airlines, Inc.

 

 

 

 

5.500% due 04/20/2026 (l)

 

300

 

316

5.750% due 04/20/2029 (l)

 

1,200

 

1,294

Associated Materials LLC
9.000% due 09/01/2025 (l)

 

770

 

815

Boeing Co.

 

 

 

 

5.705% due 05/01/2040 (l)

 

193

 

246

5.805% due 05/01/2050 (l)

 

129

 

172

5.930% due 05/01/2060 (l)

 

310

 

424

Broadcom, Inc.

 

 

 

 

3.419% due 04/15/2033 (l)

 

500

 

518

3.469% due 04/15/2034 (l)

 

300

 

309

Carnival Corp.
10.500% due 02/01/2026 (l)

 

100

 

116

Carvana Co.
4.875% due 09/01/2029 (l)

 

1,100

 

1,091

Charter Communications Operating LLC

 

 

 

 

3.500% due 03/01/2042 (c)

 

200

 

196

3.850% due 04/01/2061 (l)

 

200

 

191

3.950% due 06/30/2062 (c)

 

900

 

870

4.400% due 12/01/2061 (l)

 

400

 

417

4.800% due 03/01/2050 (l)

 

41

 

46

Community Health Systems, Inc.

 

 

 

 

6.625% due 02/15/2025 (l)

 

221

 

231

8.000% due 03/15/2026 (l)

 

78

 

83

Coty, Inc.
5.000% due 04/15/2026 (l)

 

1,000

 

1,023

CVS Pass-Through Trust
5.880% due 01/10/2028 (l)

 

856

 

991

DAE Funding LLC
5.250% due 11/15/2021 (l)

 

102

 

102

Delta Air Lines, Inc.
7.375% due 01/15/2026 (l)

 

508

 

599

Deluxe Corp.
8.000% due 06/01/2029 (l)

 

1,000

 

1,046

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

 

439

 

357

EQM Midstream Partners LP
4.500% due 01/15/2029 (l)

 

1,100

 

1,143

Schedule of Investments PIMCO PCM Fund, Inc. (Cont.)

September 30, 2021

(Unaudited)

 

Exela Intermediate LLC
10.000% due 07/15/2023

 

23

 

18

Fresh Market, Inc.
9.750% due 05/01/2023 (l)

 

350

 

361

General Electric Co.
6.875% due 01/10/2039

 

2

 

3

iHeartCommunications, Inc.
6.375% due 05/01/2026 (l)

 

233

 

246

Innophos Holdings, Inc.
9.375% due 02/15/2028

 

23

 

25

Mileage Plus Holdings LLC
6.500% due 06/20/2027 (l)

 

100

 

109

Mozart Debt Merger Sub, Inc.

 

 

 

 

3.875% due 04/01/2029 (c)

 

229

 

229

5.250% due 10/01/2029 (c)

 

176

 

176

NCL Corp. Ltd.
10.250% due 02/01/2026 (l)

 

988

 

1,135

Noble Corp. PLC (11.000% Cash or 15.000% PIK)
11.000% due 02/15/2028 (d)

 

9

 

10

Oasis Petroleum, Inc.
6.375% due 06/01/2026 (l)

 

300

 

315

Oracle Corp.
4.100% due 03/25/2061 (j)(l)

 

100

 

107

Ortho-Clinical Diagnostics, Inc.
7.375% due 06/01/2025

 

4

 

4

Premier Entertainment Sub LLC
5.625% due 09/01/2029 (l)

 

1,035

 

1,047

Prime Healthcare Services, Inc.
7.250% due 11/01/2025 (l)

 

1,500

 

1,611

RegionalCare Hospital Partners Holdings, Inc.
9.750% due 12/01/2026 (l)

 

1,000

 

1,057

Royal Caribbean Cruises Ltd.

 

 

 

 

9.125% due 06/15/2023 (l)

 

1,000

 

1,088

11.500% due 06/01/2025 (l)

 

59

 

67

Spirit AeroSystems, Inc.
3.950% due 06/15/2023 (l)

 

520

 

530

Sunnova Energy Corp.
5.875% due 09/01/2026 (l)

 

300

 

306

Surgery Center Holdings, Inc.
10.000% due 04/15/2027 (l)

 

1,000

 

1,081

Topaz Solar Farms LLC

 

 

 

 

4.875% due 09/30/2039 (l)

 

296

 

321

5.750% due 09/30/2039 (l)

 

2,003

 

2,410

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

 

8

 

8

Transocean Pontus Ltd.
6.125% due 08/01/2025

 

19

 

19

Transocean, Inc.
7.250% due 11/01/2025

 

51

 

43

TripAdvisor, Inc.
7.000% due 07/15/2025 (l)

 

1,000

 

1,061

Triumph Group, Inc.
6.250% due 09/15/2024

 

11

 

11

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

 

12

 

13

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

 

278

 

288

Uber Technologies, Inc.
4.500% due 08/15/2029 (l)

 

1,100

 

1,110

Unifrax Escrow Issuer Corp.
7.500% due 09/30/2029 (l)

 

300

 

308

United Airlines, Inc.

 

 

 

 

4.375% due 04/15/2026 (l)

 

200

 

206

4.625% due 04/15/2029 (l)

 

1,400

 

1,449

Univision Communications, Inc.
5.125% due 02/15/2025 (l)

 

438

 

445

Viking Cruises Ltd.
13.000% due 05/15/2025 (l)

 

1,000

 

1,152

Viking Ocean Cruises Ship Ltd.
5.625% due 02/15/2029 (l)

 

1,100

 

1,102

VOC Escrow Ltd.
5.000% due 02/15/2028 (l)

 

100

 

99

Windstream Escrow LLC
7.750% due 08/15/2028 (l)

 

1,609

 

1,683

Wolverine Escrow LLC

 

 

 

 

8.500% due 11/15/2024 (l)

 

1,764

 

1,643

9.000% due 11/15/2026 (l)

 

916

 

847

Wynn Las Vegas LLC

 

 

 

 

5.250% due 05/15/2027 (l)

 

300

 

303

5.500% due 03/01/2025 (l)

 

100

 

102

Wynn Resorts Finance LLC

 

 

 

 

5.125% due 10/01/2029 (l)

 

100

 

101

Schedule of Investments PIMCO PCM Fund, Inc. (Cont.)

September 30, 2021

(Unaudited)

 

7.750% due 04/15/2025 (l)

 

500

 

528

 

 

 

 

37,373

UTILITIES 3.8%

 

 

 

 

Genesis Energy LP
8.000% due 01/15/2027 (l)

 

843

 

855

Lumen Technologies, Inc.
4.000% due 02/15/2027

 

14

 

14

Pacific Gas & Electric Co.

 

 

 

 

3.000% due 06/15/2028 (l)

 

300

 

305

3.750% due 08/15/2042 ^

 

2

 

2

4.000% due 12/01/2046 ^

 

2

 

2

4.300% due 03/15/2045 ^(l)

 

24

 

24

4.450% due 04/15/2042 ^

 

22

 

22

4.500% due 07/01/2040 (l)

 

53

 

54

4.500% due 12/15/2041 ^(l)

 

26

 

25

4.550% due 07/01/2030 (l)

 

712

 

770

4.600% due 06/15/2043 ^

 

9

 

9

4.750% due 02/15/2044 ^(l)

 

1,181

 

1,205

4.950% due 07/01/2050 (l)

 

826

 

880

Southern California Edison Co.
4.875% due 03/01/2049 (l)

 

40

 

48

Transocean Poseidon Ltd.
6.875% due 02/01/2027

 

20

 

20

 

 

 

 

4,235

Total Corporate Bonds & Notes (Cost $50,553)

 

 

 

52,158

CONVERTIBLE BONDS & NOTES 0.5%

 

 

 

 

INDUSTRIALS 0.5%

 

 

 

 

Multiplan Corp. (6.000% Cash or 7.000% PIK)
6.000% due 10/15/2027 (d)

 

700

 

597

Total Convertible Bonds & Notes (Cost $685)

 

 

 

597

MUNICIPAL BONDS & NOTES 1.2%

 

 

 

 

PUERTO RICO 1.2%

 

 

 

 

Commonwealth of Puerto Rico General Obligation Bonds, Series 2014
8.000% due 07/01/2035 ^(e)

 

1,600

 

1,384

Total Municipal Bonds & Notes (Cost $1,308)

 

 

 

1,384

U.S. GOVERNMENT AGENCIES 4.4%

 

 

 

 

Fannie Mae

 

 

 

 

4.000% due 06/25/2050 (a)(l)

 

4,329

 

694

5.836% due 07/25/2029 •

 

230

 

252

Freddie Mac

 

 

 

 

0.000% due 02/25/2046 (b)(h)

 

430

 

361

0.100% due 02/25/2046 (a)

 

430

 

0

0.700% due 11/25/2055 ~(a)(l)

 

6,169

 

415

2.079% due 11/25/2045 ~(a)(l)

 

1,027

 

114

3.500% due 02/25/2041 (a)(l)

 

2,474

 

312

4.000% due 07/25/2050 (a)(l)

 

7,857

 

1,371

5.000% due 03/15/2040 (a)(l)

 

1,087

 

68

5.236% due 10/25/2029 •

 

250

 

274

6.064% due 05/25/2050 •(a)(l)

 

2,254

 

394

7.636% due 12/25/2027 •

 

445

 

482

Uniform Mortgage-Backed Security, TBA
2.000% due 11/01/2036

 

200

 

206

Total U.S. Government Agencies (Cost $5,268)

 

 

 

4,943

NON-AGENCY MORTGAGE-BACKED SECURITIES 31.0%

 

 

 

 

Adjustable Rate Mortgage Trust
2.744% due 01/25/2036 ^~

 

64

 

61

Banc of America Alternative Loan Trust
5.826% due 04/25/2037 ^~

 

100

 

101

Banc of America Funding Trust

 

 

 

 

2.119% due 12/20/2034 ~

 

244

 

167

2.559% due 03/20/2036 ~

 

51

 

47

5.806% due 03/25/2037 ^~

 

51

 

57

7.000% due 10/25/2037 ^

 

382

 

316

Banc of America Mortgage Trust

 

 

 

 

2.632% due 06/20/2031 ~

 

244

 

251

2.964% due 06/25/2035 ~

 

40

 

40

Bancorp Commercial Mortgage Trust
3.834% due 08/15/2032 •(l)

 

2,300

 

2,021

BCAP LLC Trust
0.488% due 07/26/2036 ~

 

87

 

79

Bear Stearns ALT-A Trust

 

 

 

 

0.426% due 04/25/2037 •

 

476

 

467

Schedule of Investments PIMCO PCM Fund, Inc. (Cont.)

September 30, 2021

(Unaudited)

 

2.000% due 09/25/2034 ~

 

79

 

82

2.973% due 11/25/2036 ^~

 

571

 

384

3.053% due 05/25/2036 ~

 

33

 

28

3.053% due 01/25/2047 ~

 

24

 

16

3.153% due 05/25/2036 ^~

 

159

 

152

3.445% due 08/25/2036 ^~

 

212

 

137

3.978% due 07/25/2035 ^~

 

113

 

95

Bear Stearns Commercial Mortgage Securities Trust
5.657% due 10/12/2041 ~

 

54

 

54

CBA Commercial Small Balance Commercial Mortgage
6.040% due 01/25/2039 ^þ

 

160

 

126

CD Mortgage Trust
5.688% due 10/15/2048

 

71

 

70

Chase Mortgage Finance Trust
6.000% due 03/25/2037 ^

 

176

 

123

Citigroup Commercial Mortgage Trust
5.697% due 12/10/2049 ~

 

428

 

229

Citigroup Mortgage Loan Trust

 

 

 

 

2.442% due 11/25/2036 ^~

 

29

 

28

2.705% due 11/25/2035 ~(l)

 

1,276

 

859

6.250% due 11/25/2037 ~

 

708

 

457

Citigroup Mortgage Loan Trust, Inc.
2.529% due 10/25/2035 ~

 

294

 

206

Citigroup Mortgage Loan Trust, Inc. Mortgage Pass-Through Certificates
3.140% due 09/25/2035 ^~

 

85

 

76

CitiMortgage Alternative Loan Trust
5.500% due 04/25/2022 ^

 

1

 

1

Commercial Mortgage Lease-Backed Certificates
6.250% due 06/20/2031 ~

 

1,700

 

1,744

Commercial Mortgage Loan Trust
6.171% due 12/10/2049 ~

 

583

 

271

Countrywide Alternative Loan Trust

 

 

 

 

0.636% due 10/25/2037 •

 

3,765

 

719

0.646% due 02/25/2037 •

 

154

 

136

0.666% due 02/25/2036 ^•

 

462

 

457

1.092% due 12/25/2035 •

 

724

 

669

5.500% due 03/25/2035

 

397

 

245

6.000% due 11/25/2035 ^

 

166

 

50

6.000% due 04/25/2036 ^(l)

 

2,457

 

1,675

Countrywide Home Loan Mortgage Pass-Through Trust

 

 

 

 

0.726% due 03/25/2035 •

 

87

 

80

1.956% due 03/25/2046 ^•(l)

 

473

 

310

1.985% due 02/20/2036 ^•

 

5

 

4

2.708% due 09/20/2036 ^~

 

75

 

72

2.922% due 09/25/2047 ^~

 

218

 

211

6.000% due 05/25/2037 ^

 

199

 

129

Credit Suisse Commercial Mortgage Trust

 

 

 

 

5.457% due 02/15/2040 ~

 

1,497

 

215

5.869% due 09/15/2040 ~

 

1

 

3

Credit Suisse First Boston Mortgage Securities Corp.
7.000% due 02/25/2033

 

42

 

44

Credit Suisse Mortgage Capital Certificates
0.584% due 11/30/2037 ~(l)

 

2,900

 

2,776

Credit Suisse Mortgage Capital Mortgage-Backed Trust

 

 

 

 

6.000% due 07/25/2036

 

1,003

 

748

6.396% due 04/25/2036 þ

 

178

 

123

6.500% due 05/25/2036 ^

 

147

 

77

Extended Stay America Trust
3.784% due 07/15/2038 •(l)

 

895

 

909

First Horizon Alternative Mortgage Securities Trust
2.314% due 08/25/2035 ^~

 

9

 

1

GS Mortgage Securities Corp. Trust
4.744% due 10/10/2032 ~

 

900

 

885

GS Mortgage Securities Trust

 

 

 

 

0.887% due 08/10/2043 ~(a)

 

3,562

 

43

1.972% due 05/10/2045 ~(a)

 

1,495

 

4

GSR Mortgage Loan Trust
2.773% due 03/25/2047 ^~(l)

 

705

 

557

HarborView Mortgage Loan Trust
0.587% due 01/19/2036 •

 

496

 

357

IndyMac Mortgage Loan Trust

 

 

 

 

0.886% due 11/25/2034 •

 

66

 

65

2.832% due 05/25/2036 ~

 

108

 

78

3.255% due 06/25/2037 ~

 

128

 

113

JP Morgan Alternative Loan Trust
6.500% due 03/25/2036 ^(l)

 

835

 

660

JP Morgan Chase Commercial Mortgage Securities Corp.
2.185% due 03/12/2039 ~(a)

 

140

 

0

JP Morgan Chase Commercial Mortgage Securities Trust

 

 

 

 

0.508% due 02/15/2046 ~(a)

 

55,472

 

554

6.044% due 01/12/2038 ~(l)

 

1,031

 

1,046

6.309% due 02/12/2051 «~

 

59

 

329

JP Morgan Mortgage Trust
2.306% due 07/25/2035 ~

 

21

 

22

LB-UBS Commercial Mortgage Trust

 

 

 

 

5.407% due 11/15/2038 ^

 

116

 

37

Schedule of Investments PIMCO PCM Fund, Inc. (Cont.)

September 30, 2021

(Unaudited)

 

5.562% due 02/15/2040 ^~

 

93

 

39

Lehman Mortgage Trust

 

 

 

 

5.942% due 04/25/2036 ^~

 

120

 

100

6.000% due 05/25/2037 ^

 

146

 

147

MASTR Adjustable Rate Mortgages Trust
2.677% due 11/25/2035 ^~

 

274

 

203

MASTR Asset Securitization Trust
6.000% due 06/25/2036 ^•

 

195

 

165

Merrill Lynch Mortgage Investors Trust

 

 

 

 

0.506% due 07/25/2030 •

 

31

 

31

0.746% due 11/25/2029 •

 

61

 

60

2.262% due 02/25/2034 ~

 

4

 

4

2.331% due 05/25/2033 ~

 

3

 

3

2.595% due 11/25/2035 •

 

58

 

59

Morgan Stanley Capital Trust

 

 

 

 

0.473% due 11/12/2049 ~(a)

 

4,544

 

0

5.399% due 12/15/2043

 

71

 

44

Morgan Stanley Mortgage Loan Trust

 

 

 

 

2.609% due 01/25/2035 ^~

 

199

 

182

6.000% due 08/25/2037 ^

 

156

 

94

Morgan Stanley Resecuritization Trust
3.156% due 03/26/2037 ~(l)

 

2,661

 

2,677

Mortgage Equity Conversion Asset Trust
4.000% due 07/25/2060 «

 

131

 

129

Nomura Asset Acceptance Corp. Alternative Loan Trust
1.156% due 02/25/2035 •(l)

 

305

 

314

Regal Trust
1.806% due 09/29/2031 •

 

13

 

13

Residential Accredit Loans, Inc. Trust

 

 

 

 

4.309% due 01/25/2036 ^~

 

209

 

189

6.000% due 08/25/2035 ^

 

166

 

164

6.000% due 06/25/2036 ^

 

88

 

83

6.500% due 09/25/2037 ^

 

158

 

156

Residential Asset Securitization Trust
6.000% due 03/25/2037 ^

 

189

 

102

Residential Funding Mortgage Securities, Inc. Trust
6.000% due 06/25/2036 ^

 

128

 

127

Structured Adjustable Rate Mortgage Loan Trust

 

 

 

 

2.937% due 01/25/2036 ^~

 

221

 

157

3.009% due 04/25/2036 ^~

 

192

 

145

3.359% due 09/25/2036 ^~

 

43

 

40

Structured Asset Mortgage Investments Trust
0.506% due 08/25/2036 ^•

 

532

 

544

TBW Mortgage-Backed Trust
6.000% due 07/25/2036 ^

 

112

 

65

Wachovia Bank Commercial Mortgage Trust

 

 

 

 

1.145% due 10/15/2041 ~(a)

 

33

 

0

5.720% due 10/15/2048 ~

 

1,377

 

1,367

WaMu Mortgage Pass-Through Certificates Trust

 

 

 

 

0.986% due 10/25/2045 •

 

2,592

 

2,242

1.066% due 06/25/2044 •

 

242

 

242

1.763% due 11/25/2046 •

 

512

 

507

2.993% due 12/25/2036 ^~

 

195

 

197

Washington Mutual Mortgage Pass-Through Certificates Trust
6.500% due 08/25/2036 ^(l)

 

814

 

752

Total Non-Agency Mortgage-Backed Securities (Cost $33,742)

 

 

 

34,491

ASSET-BACKED SECURITIES 45.7%

 

 

 

 

Asset-Backed Securities Corp. Home Equity Loan Trust

 

 

 

 

1.181% due 02/25/2035 •(l)

 

2,212

 

2,233

3.334% due 06/21/2029 •

 

64

 

65

Bayview Financial Acquisition Trust
0.505% due 12/28/2036 •

 

3

 

3

Bear Stearns Asset-Backed Securities Trust

 

 

 

 

0.656% due 04/25/2036 •(l)

 

1,973

 

2,752

2.693% due 07/25/2036 ~

 

176

 

177

5.500% due 12/25/2035

 

32

 

27

Bombardier Capital Mortgage Securitization Corp.
7.830% due 06/15/2030 ~

 

1,185

 

284

Citigroup Mortgage Loan Trust

 

 

 

 

0.246% due 12/25/2036 •

 

1,264

 

856

0.306% due 12/25/2036 •(l)

 

715

 

374

0.536% due 11/25/2045 •(l)

 

954

 

954

0.786% due 11/25/2046 •(l)

 

1,900

 

1,826

Conseco Finance Securitizations Corp.

 

 

 

 

7.960% due 05/01/2031

 

333

 

136

9.163% due 03/01/2033 ~

 

724

 

694

Countrywide Asset-Backed Certificates

 

 

 

 

0.236% due 04/25/2047 ^•(l)

 

289

 

287

0.286% due 06/25/2037 ^•(l)

 

598

 

630

0.346% due 12/25/2036 ^•(l)

 

861

 

859

0.566% due 05/25/2036 •(l)

 

8,021

 

7,187

1.736% due 06/25/2035 •(l)

 

4,000

 

4,030

Countrywide Asset-Backed Certificates Trust

 

 

 

 

0.356% due 09/25/2046 •

 

4,036

 

3,752

Schedule of Investments PIMCO PCM Fund, Inc. (Cont.)

September 30, 2021

(Unaudited)

 

1.961% due 10/25/2035 •(l)

 

2,122

 

1,927

EMC Mortgage Loan Trust

 

 

 

 

1.136% due 05/25/2040 •

 

199

 

209

1.386% due 02/25/2041 •

 

184

 

183

Flagship Credit Auto Trust
0.000% due 06/15/2026 «(h)

 

2

 

276

Fremont Home Loan Trust
0.446% due 04/25/2036 •(l)

 

85

 

85

GE Capital Mortgage Services, Inc. Trust
6.705% due 04/25/2029 ~

 

40

 

37

GSAMP Trust

 

 

 

 

1.886% due 06/25/2035 •(l)

 

2,200

 

2,239

2.711% due 12/25/2034 •(l)

 

2,151

 

1,841

Home Equity Mortgage Loan Asset-Backed Trust
0.326% due 04/25/2037 •(l)

 

3,837

 

3,080

HSI Asset Securitization Corp. Trust
0.196% due 04/25/2037 •(l)

 

3,153

 

2,012

Marlette Funding Trust

 

 

 

 

0.000% due 07/16/2029 «(h)

 

5

 

476

0.000% due 03/15/2030 «(h)

 

8

 

1,505

MASTR Asset-Backed Securities Trust
0.306% due 08/25/2036 •(l)

 

2,810

 

1,460

Morgan Stanley ABS Capital, Inc. Trust
0.866% due 12/25/2034 •

 

118

 

118

Morgan Stanley Home Equity Loan Trust
1.151% due 05/25/2035 •(l)

 

1,913

 

1,689

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

 

3,500

 

1,073

People's Financial Realty Mortgage Securities Trust
0.216% due 09/25/2036 •

 

1,434

 

416

Renaissance Home Equity Loan Trust
7.238% due 09/25/2037 ^þ(l)

 

3,581

 

2,102

Securitized Asset-Backed Receivables LLC Trust
0.731% due 01/25/2035 •

 

520

 

513

SoFi Professional Loan Program LLC

 

 

 

 

0.000% due 01/25/2039 «(h)

 

1,000

 

122

0.000% due 05/25/2040 (h)

 

1,000

 

136

0.000% due 09/25/2040 «(a)(h)

 

339

 

74

Structured Asset Investment Loan Trust

 

 

 

 

1.811% due 10/25/2034 •(l)

 

1,986

 

1,995

4.586% due 10/25/2033 •

 

68

 

73

UCFC Manufactured Housing Contract
7.900% due 01/15/2028 ^~

 

138

 

131

UPS Capital Business Credit
7.664% due 04/15/2026 ^«•(e)

 

1,856

 

0

Total Asset-Backed Securities (Cost $49,184)

 

 

 

50,898

 

 

SHARES

 

 

COMMON STOCKS 4.9%

 

 

 

 

COMMUNICATION SERVICES 1.2%

 

 

 

 

Clear Channel Outdoor Holdings, Inc. (f)

 

108,013

 

293

iHeartMedia, Inc. 'A' (f)

 

25,745

 

644

iHeartMedia, Inc. 'B' «(f)

 

20,009

 

450

 

 

 

 

1,387

ENERGY 0.1%

 

 

 

 

Axis Energy Services 'A' «(f)(j)

 

3,344

 

49

Noble Corp. (f)(j)

 

2,288

 

62

 

 

 

 

111

INDUSTRIALS 1.3%

 

 

 

 

McDermott International Ltd. (f)

 

7,216

 

4

Neiman Marcus Group Ltd. LLC «(f)(j)

 

13,191

 

1,417

Noble Corp. (f)

 

275

 

7

Voyager Aviation Holdings «(f)

 

307

 

0

Westmoreland Mining Holdings LLC «(f)(j)

 

9,231

 

0

 

 

 

 

1,428

MATERIALS 1.9%

 

 

 

 

Associated Materials Group, Inc. «(f)(j)

 

294,140

 

2,074

UTILITIES 0.4%

 

 

 

 

TexGen Power LLC «

 

9,914

 

411

Schedule of Investments PIMCO PCM Fund, Inc. (Cont.)

September 30, 2021

(Unaudited)

 

Total Common Stocks (Cost $4,813)

 

 

 

5,411

WARRANTS 1.0%

 

 

 

 

INDUSTRIALS 0.1%

 

 

 

 

Sequa Corp. - Exp. 04/28/2024 «

 

118,000

 

69

INFORMATION TECHNOLOGY 0.9%

 

 

 

 

Windstream Holdings LLC - Exp. 09/21/2055 «

 

43,518

 

1,044

Total Warrants (Cost $316)

 

 

 

1,113

PREFERRED SECURITIES 3.9%

 

 

 

 

INDUSTRIALS 3.9%

 

 

 

 

General Electric Co.
3.446% (US0003M + 3.330%) due 12/15/2021 ~(i)

 

53,000

 

52

Sequa Corp. (15.000% PIK)
15.000% «(d)

 

3,392

 

3,694

Voyager Aviation Holdings LLC
9.500% «

 

1,842

 

545

Total Preferred Securities (Cost $2,841)

 

 

 

4,291

REAL ESTATE INVESTMENT TRUSTS 3.2%

 

 

 

 

REAL ESTATE 3.2%

 

 

 

 

Uniti Group, Inc.

 

46,851

 

579

VICI Properties, Inc.

 

104,988

 

2,983

Total Real Estate Investment Trusts (Cost $1,834)

 

 

 

3,562

 

 

PRINCIPAL
AMOUNT
(000s)

 

 

SHORT-TERM INSTRUMENTS 5.9%

 

 

 

 

REPURCHASE AGREEMENTS (k) 2.4%

 

 

 

2,687

U.S. TREASURY BILLS 3.5%

 

 

 

 

0.051% due 10/07/2021 - 03/31/2022 (g)(h)(o)

 

3,903

 

3,902

Total Short-Term Instruments (Cost $6,589)

 

 

 

6,589

Total Investments in Securities (Cost $193,058)

 

 

 

200,984

Total Investments 180.5% (Cost $193,053)

 

 

$

200,984

Financial Derivative Instruments (m)(n) (0.2)%(Cost or Premiums, net $757)

 

 

 

(242)

Other Assets and Liabilities, net (80.3)%

 

 

 

(89,399)

Net Assets 100.0%

 

 

$

111,343

Schedule of Investments PIMCO PCM Fund, Inc. (Cont.)

September 30, 2021

(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).

µ

All or a portion of this amount represents unfunded loan commitments. The interest rate for the unfunded portion will be determined at the time of funding.

~

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)

When-issued security.

(d)

Payment in-kind security.

(e)

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

(f)

Security did not produce income within the last twelve months.

(g)

Coupon represents a weighted average yield to maturity.

(h)

Zero coupon security.

(i)

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

(j)

RESTRICTED SECURITIES:

Issuer Description

 

 

Acquisition
Date

 

Cost

 

Market
Value

Market Value
as Percentage
of Net Assets

Associated Materials Group, Inc.

 

 

08/24/2020

$

1,868

$

2,074

1.86

%

Axis Energy Services 'A'

 

 

07/01/2021

 

49

 

49

0.04

 

Neiman Marcus Group Ltd. LLC

 

 

09/25/2020

 

425

 

1,417

1.27

 

Noble Corp.

 

 

02/05/2021-02/08/2021

 

27

 

62

0.06

 

Oracle Corp.4.100% due 03/25/2061

 

 

08/12/2021

 

110

 

107

0.10

 

Westmoreland Mining Holdings LLC

 

 

12/08/2014

 

269

 

0

0.00

 

 

 

 

 

$

2,748

$

3,709

3.33%

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%

09/30/2021

10/01/2021

$

2,687

U.S. Treasury Inflation Protected Securities 0.625% due 04/15/2023

$

(2,741)

$

2,687

$

2,687

Total Repurchase Agreements

 

$

(2,741)

$

2,687

$

2,687

REVERSE REPURCHASE AGREEMENTS:

Counterparty

Borrowing Rate(1)

Settlement Date

Maturity Date

 

Amount
Borrowed(1)

 

Payable for
Reverse
Repurchase
Agreements

BNY

0.807%

08/16/2021

02/16/2022

$

(6,706)

$

(6,713)

BOS

0.853

09/23/2021

03/22/2022

 

(3,048)

 

(3,048)

BPS

0.380

09/24/2021

10/20/2021

 

(41)

 

(41)

 

0.390

09/03/2021

10/01/2021

 

(966)

 

(966)

 

0.430

10/01/2021

10/20/2021

 

(967)

 

(967)

 

0.490

08/11/2021

02/11/2022

 

(417)

 

(417)

 

0.490

08/12/2021

02/15/2022

 

(2,304)

 

(2,306)

 

0.490

08/17/2021

02/17/2022

 

(1,193)

 

(1,193)

 

0.490

08/20/2021

02/22/2022

 

(1,803)

 

(1,804)

 

0.490

09/14/2021

02/22/2022

 

(773)

 

(773)

 

0.500

08/03/2021

02/03/2022

 

(2,543)

 

(2,545)

Schedule of Investments PIMCO PCM Fund, Inc. (Cont.)

September 30, 2021

(Unaudited)

 

 

0.500

08/10/2021

02/10/2022

 

(1,550)

 

(1,551)

 

0.500

08/23/2021

02/10/2022

 

(58)

 

(58)

 

0.810

10/01/2021

04/01/2022

 

(3,325)

 

(3,325)

BRC

0.400

09/01/2021

10/01/2021

 

(372)

 

(372)

 

0.400

10/01/2021

11/02/2021

 

(373)

 

(373)

 

0.450

10/01/2021

01/06/2022

 

(530)

 

(530)

 

0.500

09/03/2021

03/03/2022

 

(2,064)

 

(2,065)

 

0.500

09/07/2021

03/07/2022

 

(928)

 

(928)

 

0.500

09/08/2021

03/08/2022

 

(770)

 

(771)

 

0.500

09/23/2021

03/21/2022

 

(627)

 

(627)

 

0.550

06/18/2021

03/10/2022

 

(1,118)

 

(1,120)

 

0.598

09/08/2021

03/08/2022

 

(2,999)

 

(3,000)

 

0.763

07/08/2021

01/10/2022

 

(727)

 

(728)

CIB

0.500

09/28/2021

10/14/2021

 

(1,753)

 

(1,753)

 

0.530

08/13/2021

10/13/2021

 

(165)

 

(165)

 

0.530

08/27/2021

10/12/2021

 

(322)

 

(322)

CSG

0.350

09/28/2021

10/27/2021

 

(372)

 

(372)

GLM

0.824

07/09/2021

10/07/2021

 

(680)

 

(681)

GSC

0.580

08/11/2021

10/12/2021

 

(434)

 

(435)

MZF

0.799

09/14/2021

03/14/2022

 

(8,293)

 

(8,296)

RDR

0.270

09/23/2021

01/20/2022

 

(104)

 

(104)

RTA

0.849

08/09/2021

02/09/2022

 

(2,213)

 

(2,216)

 

0.849

08/11/2021

02/09/2022

 

(1,349)

 

(1,350)

SOG

0.270

09/17/2021

10/14/2021

 

(95)

 

(95)

 

0.270

09/24/2021

10/19/2021

 

(167)

 

(167)

 

0.340

09/22/2021

TBD(2)

 

(784)

 

(784)

 

0.410

08/27/2021

10/19/2021

 

(935)

 

(935)

 

0.500

08/20/2021

02/22/2022

 

(294)

 

(294)

 

0.500

09/07/2021

03/07/2022

 

(447)

 

(447)

 

0.500

09/23/2021

03/23/2022

 

(2,019)

 

(2,019)

 

0.500

09/30/2021

03/07/2022

 

(177)

 

(177)

 

0.856

08/19/2021

02/18/2022

 

(747)

 

(748)

TDM

0.220

08/03/2021

TBD(2)

 

(2,144)

 

(2,145)

 

0.220

08/10/2021

TBD(2)

 

(300)

 

(300)

 

0.220

09/07/2021

TBD(2)

 

(957)

 

(957)

 

0.250

04/16/2021

TBD(2)

 

(1,635)

 

(1,637)

 

0.250

08/18/2021

TBD(2)

 

(352)

 

(352)

 

0.300

08/18/2021

TBD(2)

 

(140)

 

(140)

 

0.350

08/18/2021

TBD(2)

 

(46)

 

(46)

UBS

0.250

06/25/2021

TBD(2)

 

(247)

 

(247)

 

0.350

08/13/2021

08/12/2023

 

(262)

 

(262)

 

0.350

08/13/2021

TBD(2)

 

(512)

 

(512)

 

0.350

08/24/2021

TBD(2)

 

(335)

 

(335)

 

0.350

09/03/2021

09/01/2023

 

(279)

 

(280)

 

0.350

09/03/2021

TBD(2)

 

(3,990)

 

(3,991)

 

0.350

09/23/2021

TBD(2)

 

(749)

 

(750)

 

0.350

09/30/2021

09/30/2023

 

(1,845)

 

(1,845)

 

0.420

08/04/2021

11/04/2021

 

(4,120)

 

(4,123)

 

0.430

07/20/2021

10/19/2021

 

(1,711)

 

(1,713)

 

0.500

07/14/2021

01/12/2022

 

(191)

 

(191)

 

0.510

06/14/2021

01/10/2022

 

(870)

 

(872)

 

0.510

09/30/2021

01/10/2022

 

(260)

 

(260)

 

0.810

08/09/2021

10/08/2021

 

(6,813)

 

(6,822)

 

0.824

07/12/2021

10/12/2021

 

(3,673)

 

(3,680)

Total Reverse Repurchase Agreements

 

 

 

 

 

$

(89,041)

SHORT SALES:

Description

Coupon

Maturity
Date

 

Principal
Amount

 

Proceeds

 

Payable for
Short Sales

U.S. Government Agencies (5.7)%

Uniform Mortgage-Backed Security, TBA

2.000%

11/01/2051

$

2,200

$

(2,216)

$

(2,202)

Uniform Mortgage-Backed Security, TBA

2.500

11/01/2051

 

4,000

 

(4,113)

 

(4,117)

Total Short Sales (5.7)%

 

 

 

 

$

(6,329)

$

(6,319)

(l)

Securities with an aggregate market value of $106,756 have been pledged as collateral under the terms of master agreements as of September 30, 2021.

(1)

The average amount of borrowings outstanding during the period ended September 30, 2021 was $(82,579) at a weighted average interest rate of 0.646%. 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

Schedule of Investments PIMCO PCM Fund, Inc. (Cont.)

September 30, 2021

(Unaudited)

 

SWAP AGREEMENTS:

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

 

Variation Margin

Reference Entity

Fixed
Receive Rate

Payment
Frequency

Maturity
Date

Implied
Credit Spread at
September 30, 2021(2)

 

Notional
Amount(3)

 

Premiums
Paid/
(Received)

 

Unrealized
Appreciation/
(Depreciation)

 

Market
Value(4)

 

Asset

 

Liability

Sprint Communications, Inc.

5.000%

Quarterly

12/20/2021

0.329

%

$

300

$

9

$

(5)

$

4

$

0

$

0

INTEREST RATE SWAPS

 

Variation Margin

Pay/
Receive
Floating Rate

Floating Rate Index

Fixed Rate

Payment
Frequency

Maturity
Date

 

Notional
Amount

 

Premiums
Paid/
(Received)

 

Unrealized
Appreciation/
(Depreciation)

 

Market
Value

 

Asset

 

Liability

Receive(5)

1-Day USD-Federal Funds Rate Compounded-OIS

0.100%

Annual

01/13/2023

$

2,500

$

0

$

1

$

1

$

0

$

0

Pay

3-Month USD-LIBOR

2.750

Semi-Annual

12/19/2023

 

15,300

 

(131)

 

1,025

 

894

 

0

 

(2)

Pay

3-Month USD-LIBOR

1.750

Semi-Annual

12/21/2023

 

32,300

 

606

 

477

 

1,083

 

0

 

(5)

Receive

3-Month USD-LIBOR

0.250

Semi-Annual

06/16/2024

 

500

 

1

 

3

 

4

 

0

 

0

Pay

3-Month USD-LIBOR

1.750

Semi-Annual

12/21/2026

 

3,200

 

77

 

44

 

121

 

4

 

0

Pay

3-Month USD-LIBOR

0.500

Semi-Annual

06/16/2028

 

140

 

(7)

 

0

 

(7)

 

0

 

0

Pay(5)

3-Month USD-LIBOR

1.500

Semi-Annual

12/15/2028

 

4,500

 

52

 

(19)

 

33

 

6

 

0

Pay

3-Month USD-LIBOR

3.000

Semi-Annual

06/19/2029

 

7,800

 

630

 

366

 

996

 

15

 

0

Pay

3-Month USD-LIBOR

1.250

Semi-Annual

06/17/2030

 

4,150

 

186

 

(249)

 

(63)

 

9

 

0

Receive

3-Month USD-LIBOR

1.000

Semi-Annual

12/16/2030

 

627

 

(15)

 

41

 

26

 

0

 

(2)

Receive

3-Month USD-LIBOR

1.370

Semi-Annual

07/19/2031

 

100

 

0

 

1

 

1

 

0

 

0

Receive

3-Month USD-LIBOR

1.360

Semi-Annual

07/20/2031

 

100

 

0

 

2

 

2

 

0

 

0

Receive

3-Month USD-LIBOR

3.000

Semi-Annual

12/19/2038

 

5,200

 

18

 

(1,028)

 

(1,010)

 

0

 

(18)

Receive

3-Month USD-LIBOR

2.000

Semi-Annual

01/15/2050

 

100

 

(1)

 

(3)

 

(4)

 

0

 

0

Receive

3-Month USD-LIBOR

1.625

Semi-Annual

01/16/2050

 

400

 

0

 

20

 

20

 

0

 

(1)

Receive

3-Month USD-LIBOR

1.750

Semi-Annual

01/22/2050

 

700

 

(4)

 

19

 

15

 

0

 

(2)

Receive

3-Month USD-LIBOR

1.625

Semi-Annual

02/03/2050

 

400

 

(2)

 

22

 

20

 

0

 

(1)

Receive

3-Month USD-LIBOR

1.450

Semi-Annual

04/07/2051

 

1,300

 

0

 

109

 

109

 

0

 

(4)

Pay

3-Month USD-LIBOR

1.650

Semi-Annual

04/08/2051

 

5,500

 

0

 

(191)

 

(191)

 

17

 

0

 

 

 

 

 

 

$

1,410

$

640

$

2,050

$

51

$

(35)

Total Swap Agreements

$

1,419

$

635

$

2,054

$

51

$

(35)

Cash of $1,646 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of September 30, 2021.

(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 issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

(3)

The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

(4)

The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the 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.

(5)

This instrument has a forward starting effective date.

(n)

FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER

SWAP AGREEMENTS:

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

 

Swap Agreements, at Value(3)

Counterparty

Index/Tranches

Fixed
Receive Rate

Payment
Frequency

Maturity
Date

 

Notional
Amount(2)

 

Premiums
Paid/(Received)

 

Unrealized
Appreciation/
(Depreciation)

 

Asset

 

Liability

GST

ABX.HE.AA.6-1 Index

0.320%

Monthly

07/25/2045

$

2,677

$

(533)

$

351

$

0

$

(182)

 

ABX.HE.PENAAA.7-1 Index

0.090

Monthly

08/25/2037

 

668

 

(129)

 

53

 

0

 

(76)

Total Swap Agreements

$

(662)

$

404

$

0

$

(258)

(o)

Securities with an aggregate market value of $503 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of September 30, 2021.

Schedule of Investments PIMCO PCM Fund, Inc. (Cont.)

September 30, 2021

(Unaudited)

 

(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)

The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

(3)

The prices and resulting values for credit default swap agreements 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 September 30, 2021 in valuing the Fund's assets and liabilities:

 

Category and Subcategory

Level 1

Level 2

Level 3

Fair Value
at 09/30/2021

Investments in Securities, at Value

Loan Participations and Assignments

$

228

$

27,978

$

7,341

$

35,547

 

Corporate Bonds & Notes

 

Banking & Finance

 

0

 

10,550

 

0

 

10,550

 

 

Industrials

 

405

 

36,968

 

0

 

37,373

 

 

Utilities

 

0

 

4,235

 

0

 

4,235

 

Convertible Bonds & Notes

 

Industrials

 

0

 

597

 

0

 

597

 

Municipal Bonds & Notes

 

Puerto Rico

 

0

 

1,384

 

0

 

1,384

 

U.S. Government Agencies

 

0

 

4,943

 

0

 

4,943

 

Non-Agency Mortgage-Backed Securities

 

0

 

34,033

 

458

 

34,491

 

Asset-Backed Securities

 

0

 

48,445

 

2,453

 

50,898

 

Common Stocks

 

Communication Services

 

937

 

0

 

450

 

1,387

 

 

Energy

 

62

 

0

 

49

 

111

 

 

Industrials

 

0

 

11

 

1,417

 

1,428

 

 

Materials

 

0

 

0

 

2,074

 

2,074

 

 

Utilities

 

0

 

0

 

411

 

411

 

Warrants

 

Industrials

 

0

 

0

 

69

 

69

 

 

Information Technology

 

0

 

0

 

1,044

 

1,044

 

Preferred Securities

 

Industrials

 

0

 

52

 

4,239

 

4,291

 

Real Estate Investment Trusts

 

Real Estate

 

3,562

 

0

 

0

 

3,562

 

Corporate Bonds & Notes

 

0

 

0

 

0

 

0

 

Short-Term Instruments

 

Repurchase Agreements

 

0

 

2,687

 

0

 

2,687

 

 

U.S. Treasury Bills

 

0

 

3,902

 

0

 

3,902

 

 

$

5,194

$

175,785

$

20,005

$

200,984

 

Total Investments

$

5,194

$

175,785

$

20,005

$

200,984

 

Short Sales, at Value - Liabilities

Corporate Bonds & Notes

 

0

 

0

 

0

 

0

 

U.S. Government Agencies

 

0

 

(6,319)

 

0

 

(6,319)

 

 

$

0

$

(6,319)

$

0

$

(6,319)

 

Financial Derivative Instruments - Assets

Exchange-traded or centrally cleared

$

0

$

51

$

0

$

51

 

Financial Derivative Instruments - Liabilities

Exchange-traded or centrally cleared

 

0

 

(35)

 

0

 

(35)

 

Over the counter

 

0

 

(258)

 

0

 

(258)

 

 

$

0

$

(293)

$

0

$

(293)

 

Total Financial Derivative Instruments

$

0

$

(242)

$

0

$

(242)

 

Totals

$

5,194

$

169,224

$

20,005

$

194,423

 

 

 

 

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended September 30, 2021:

Category and Subcategory

Beginning
Balance
at 06/30/2021

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 09/30/2021

Net Change in
Unrealized
Appreciation/
(Depreciation)
on Investments
Held at
09/30/2021 (1)

Investments in Securities, at Value

Loan Participations and Assignments

$

4,406

$

2,933

$

(683)

$

(10)

$

(576)

$

579

$

854

$

(162)

$

7,341

$

(36)

Schedule of Investments PIMCO PCM Fund, Inc. (Cont.)

September 30, 2021

(Unaudited)

 

Non-Agency Mortgage-Backed Securities

 

0

 

0

 

0

 

0

 

0

 

0

 

458

 

0

 

458

 

0

Asset-Backed Securities

 

2,930

 

0

 

0

 

9

 

0

 

(350)

 

0

 

(136)

 

2,453

 

(328)

Common Stocks

 

Communication Services

 

485

 

0

 

0

 

0

 

0

 

(35)

 

0

 

0

 

450

 

(35)

 

Energy

 

0

 

49

 

0

 

0

 

0

 

0

 

0

 

0

 

49

 

0

 

Industrials

 

1,458

 

0

 

0

 

0

 

0

 

(41)

 

0

 

0

 

1,417

 

(41)

 

Materials(2)

 

2,083

 

0

 

0

 

0

 

0

 

(9)

 

0

 

0

 

2,074

 

(9)

 

Utilities

 

411

 

0

 

0

 

0

 

0

 

0

 

0

 

0

 

411

 

0

Warrants

 

Industrials

 

80

 

0

 

0

 

0

 

0

 

(11)

 

0

 

0

 

69

 

(11)

 

Information Technology

 

971

 

0

 

0

 

0

 

0

 

73

 

0

 

0

 

1,044

 

73

Preferred Securities

 

Industrials

 

4,082

 

0

 

(102)

 

0

 

0

 

259

 

0

 

0

 

4,239

 

259

Totals

$

16,906

$

2,982

$

(785)

$

(1)

$

(576)

$

465

$

1,312

$

(298)

$

20,005

$

(128)


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 09/30/2021

Valuation Technique

Unobservable Inputs

 

Input Value(s)

Weighted Average

Investments in Securities, at Value

Loan Participations and Assignments

$

1,185

Proxy Pricing

Base Price

%

99.000

—

 

 

3,156

Third Party Vendor

Broker Quote

 

60.000 - 100.250

98.707

 

 

3,000

Waterfall Recoverability

Recovery Value

 

100.000

—

Non-Agency Mortgage-Backed Securities

 

329

Other Valuation Techniques(3)

—

 

—

—

 

 

129

Proxy Pricing

Base Price

 

98.458

—

Asset-Backed Securities

 

2,453

Proxy Pricing

Base Price

 

0.000 - 17,942.936

14,455.131

Common Stocks

 

Communication Services

 

450

Reference Instrument

Liquidity Discount

 

10.000

—

 

Energy

 

49

Other Valuation Techniques(3)

—

 

—

—

 

Industrials

 

1,417

Discounted Cash Flow

Discount Rate

 

14.000

—

 

Materials

 

2,074

Comparable Companies

EBITDA Multiple

x

8.850

—

 

Utilities

 

411

Indicative Market Quotation

Broker Quote

$

41.500

—

Warrants

 

Industrials

 

69

Other Valuation Techniques(3)

—

 

—

—

 

Information Technology

 

1,044

Comparable Companies

EBITDA Multiple

x

4.400

—

Preferred Securities

 

Industrials

 

3,694

Comparable Companies

EBITDA Multiple

x/x

11.600/8.600

—

 

 

 

545

Comparable Companies/Discounted Cash Flow

Book Value/Discount Rate

x/%

0.200/20.240

—

Total

$

20,005

(1)

Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at September 30, 2021 may be due to an investment no longer held or categorized as Level 3 at period end.

(2)

Sector type updated from Financials to Materials since prior fiscal year end.

(3)

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, less any liabilities, attributable to the Fund 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. If regular trading on the NYSE closes earlier than scheduled, the Fund reserves the right to either (i) calculate its NAV as of the earlier closing time or (ii) calculate its NAV as of the normally scheduled close of regular trading on the NYSE for that day. The Fund generally does not calculate its NAV on days during which the NYSE is closed. However, if the NYSE is closed on a day it would normally be open for business, the Fund reserves the right to calculate its NAV as of the normally scheduled close of regular trading on the NYSE for that day or such other time that the Fund may determine.

 

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 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 such data reflecting 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, quotes obtained from a quotation reporting system, established market makers or pricing services. Swap agreements are valued on the basis of market-based prices supplied by Pricing Services or quotes obtained from brokers and dealers. 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”) 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.

 

 

Notes to Financial Statements (Cont.)

 

(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 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, Level 2 and Level 3 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, Level 2 and Level 3 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.

 

Valuation adjustments may be applied to certain exchange traded futures and options to account for market movement between the exchange settlement and the NYSE close. These securities are valued using quotes obtained from a quotation reporting system, established market makers or pricing services. Financial derivatives using these valuation adjustments 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.

 

Notes to Financial Statements (Cont.)

 

 

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.

 

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.

 

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 2 or Level 3 of the fair value hierarchy depending on the source of the reference instrument.

 

The Discounted Cash Flow model is based on future cash flows generated by the investment and may be normalized based on expected investment performance. Future cash flows are discounted to present value using an appropriate rate of return, typically calibrated to the initial transaction date and adjusted based on Capital Asset Pricing Model and/or other market-based inputs. 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.

 

The Comparable Companies model is based on application of valuation multiples from publicly traded comparable companies to the financials of the subject company. Adjustments may be made to the market-derived valuation multiples based on differences between the comparable companies and the subject company. 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.

 

The Waterfall Recoverability model is based on liquidation or net asset value approaches. Typically this model would be used in distressed scenarios or when a business is worth more through the sale of individual assets than continuing as an operating business. 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 September 30, 2021, 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:
BNY Bank of New York Mellon FICC Fixed Income Clearing Corporation RDR RBC Capital Markets LLC
BOS BofA Securities, Inc. GLM Goldman Sachs Bank USA RTA RBC (Barbados) Trading Bank Corp.
BPS BNP Paribas S.A. GSC Goldman Sachs & Co. LLC SOG Societe Generale Paris
BRC Barclays Bank PLC GST Goldman Sachs International TDM TD Securities (USA) LLC
CIB Canadian Imperial Bank of Commerce MZF Mizuho Securities USA LLC UBS UBS Securities LLC
CSG Credit Suisse AG Cayman
 
Currency Abbreviations:
USD (or $) United States Dollar
 
Exchange Abbreviations:
OTC Over the Counter
 
Index/Spread Abbreviations:
ABX.HE Asset-Backed Securities Index - Home Equity PENAAA Penultimate AAA Sub-Index US0003M ICE 3-Month USD LIBOR
LIBOR03M 3 Month USD-LIBOR
 
Other Abbreviations:
ABS Asset-Backed Security LIBOR London Interbank Offered Rate TBA To-Be-Announced
ALT Alternate Loan Trust OIS Overnight Index Swap TBD To-Be-Determined
EBITDA Earnings before Interest, Taxes, Depreciation and Amoritization PIK Payment-in-Kind TBD% Interest rate to be determined when loan settles or at the time of funding