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

Schedule of Investments PIMCO PCM Fund, Inc.

September 30, 2024 (Unaudited)

 

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

 

 

PRINCIPAL
AMOUNT
(000s)

 

MARKET
VALUE
(000s)

INVESTMENTS IN SECURITIES 145.6% ¤

 

 

 

 

LOAN PARTICIPATIONS AND ASSIGNMENTS 19.5%

 

 

 

 

AL GCX Holdings LLC
TBD% (TSFR1M + 2.750%) due 05/17/2029 ~

$

497

$

499

Cengage Learning, Inc.
TBD% (TSFR6M + 4.250%) due 03/22/2031 ~

 

200

 

200

CoreWeave Compute Acquisition Co. LLC
TBD% - 11.300% (TSFR3M + 6.000%) due 05/16/2029 «~µ

 

800

 

800

Diamond Sports Group LLC
TBD% due 05/25/2026 «

 

571

 

475

Element Materials Technology Group U.S. Holdings, Inc.
TBD% due 07/06/2029

 

992

 

997

Encina Private Credit LLC
TBD% - 9.000% due 11/30/2025 «µ

 

522

 

512

Envision Healthcare Corp.

 

 

 

 

TBD% due 07/20/2026 «

 

81

 

81

TBD% due 11/03/2028 «

 

1,752

 

1,813

EPIC Y-Grade Services LP
TBD% (TSFR3M + 5.750%) due 06/29/2029 ~

 

300

 

299

First Brands Group LLC
TBD% due 03/30/2027

 

399

 

395

Ivanti Software, Inc.
TBD% due 12/01/2027

 

1,143

 

975

LABL, Inc.
TBD% due 10/29/2028

 

399

 

391

Lealand Finance Co. BV
TBD% due 06/30/2027

 

27

 

15

Lealand Finance Co. BV (5.969% Cash and 3.000% PIK)
8.969% due 12/31/2027 (b)

 

219

 

84

LifePoint Health, Inc.
TBD% (TSFR3M + 4.750%) due 11/16/2028 ~

 

557

 

558

Modena Buyer LLC
TBD% due 07/01/2031

 

500

 

480

RealPage, Inc.
TBD% due 04/24/2028

 

319

 

310

Softbank Vision Fund II
TBD% due 12/23/2025 «

 

555

 

549

Syniverse Holdings, Inc.
TBD% due 05/13/2027

 

1,983

 

1,964

U.S. Renal Care, Inc.
TBD% due 06/20/2028

 

2,054

 

1,880

Veritas U.S., Inc.
TBD% due 09/01/2025

 

424

 

399

Wesco Aircraft Holdings, Inc.
TBD% (TSFR3M + 8.600%) due 10/31/2024 «~

 

1,025

 

1,097

Westmoreland Mining Holdings LLC
TBD% due 03/15/2029

 

286

 

187

Windstream Services LLC
TBD% due 09/21/2027

 

163

 

163

Total Loan Participations and Assignments (Cost $14,826)

 

 

 

15,123

CORPORATE BONDS & NOTES 23.2%

 

 

 

 

BANKING & FINANCE 3.2%

 

 

 

 

Armor Holdco, Inc.
8.500% due 11/15/2029

 

200

 

192

BGC Group, Inc.
6.600% due 06/10/2029

 

100

 

103

Navient Corp.
5.625% due 01/25/2025

 

51

 

50

SVB Financial Group

 

 

 

 

1.800% due 02/02/2031 ^(c)

 

284

 

166

4.345% due 04/29/2028 ^(c)

 

100

 

59

4.570% due 04/29/2033 ^(c)

 

200

 

117

Uniti Group LP

 

 

 

 

6.000% due 01/15/2030 (i)

 

1,065

 

910

10.500% due 02/15/2028 (i)

 

807

 

862

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

September 30, 2024 (Unaudited)

 

VoyagerAviation Holdings LLC
8.500% due 05/09/2026 ^«(c)

 

1,012

 

0

 

 

 

 

2,459

INDUSTRIALS 19.5%

 

 

 

 

Avient Corp.
6.250% due 11/01/2031

 

100

 

103

Carvana Co. (11.000% Cash and 13.000% PIK)
24.000% due 06/01/2030 (b)

 

592

 

635

Carvana Co. (14.000% PIK)
14.000% due 06/01/2031 (b)

 

521

 

605

Carvana Co. (9.000% Cash and 12.000% PIK)
21.000% due 12/01/2028 (b)

 

205

 

212

Chobani LLC
7.625% due 07/01/2029

 

100

 

105

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

 

489

 

487

DISH DBS Corp.

 

 

 

 

5.250% due 12/01/2026

 

660

 

611

5.750% due 12/01/2028

 

400

 

350

DISH Network Corp.
11.750% due 11/15/2027

 

800

 

840

Exela Intermediate LLC (5.750% Cash and 5.750% PIK)
11.500% due 04/15/2026 (b)

 

15

 

3

Fertitta Entertainment LLC
6.750% due 01/15/2030

 

400

 

373

GN Bondco LLC
9.500% due 10/15/2031

 

400

 

421

JetBlue Airways Corp.
9.875% due 09/20/2031 (i)

 

400

 

422

Kronos Acquisition Holdings, Inc.
10.750% due 06/30/2032

 

400

 

378

LifePoint Health, Inc.

 

 

 

 

9.875% due 08/15/2030

 

100

 

110

11.000% due 10/15/2030 (i)

 

500

 

565

Newfold Digital Holdings Group, Inc.
6.000% due 02/15/2029 (i)

 

300

 

201

Olympus Water U.S. Holding Corp.
7.250% due 06/15/2031

 

200

 

208

Performance Food Group, Inc.
6.125% due 09/15/2032

 

100

 

102

PetSmart, Inc.
7.750% due 02/15/2029

 

200

 

198

Prime Healthcare Services, Inc.
9.375% due 09/01/2029

 

500

 

516

Rivian Holdings LLC
11.359% due 10/15/2026 •

 

500

 

506

Topaz Solar Farms LLC
4.875% due 09/30/2039 (i)

 

244

 

221

Transocean Aquila Ltd.
8.000% due 09/30/2028

 

363

 

372

Transocean, Inc.
8.250% due 05/15/2029

 

500

 

496

U.S. Renal Care, Inc.
10.625% due 06/28/2028 (i)

 

249

 

219

Valaris Ltd.
8.375% due 04/30/2030

 

100

 

103

Venture Global LNG, Inc.

 

 

 

 

9.500% due 02/01/2029

 

200

 

225

9.875% due 02/01/2032 (i)

 

300

 

334

Wesco Aircraft Holdings, Inc. (7.500% Cash and 3.000% PIK)
10.500% due 11/15/2026 ^«(b)(c)

 

4,180

 

3,521

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

 

1,752

 

1,755

 

 

 

 

15,197

UTILITIES 0.5%

 

 

 

 

Pacific Gas & Electric Co.
4.300% due 03/15/2045 (i)

 

463

 

388

Total Corporate Bonds & Notes (Cost $19,508)

 

 

 

18,044

CONVERTIBLE BONDS & NOTES 0.6%

 

 

 

 

INDUSTRIALS 0.6%

 

 

 

 

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

 

700

 

437

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

September 30, 2024 (Unaudited)

 

Total Convertible Bonds & Notes (Cost $691)

 

 

 

437

MUNICIPAL BONDS & NOTES 0.2%

 

 

 

 

PUERTO RICO 0.2%

 

 

 

 

Commonwealth of Puerto Rico Bonds, Series 2022
0.000% due 11/01/2051

 

278

 

182

Total Municipal Bonds & Notes (Cost $125)

 

 

 

182

U.S. GOVERNMENT AGENCIES 3.6%

 

 

 

 

Fannie Mae
4.000% due 06/25/2050 (a)

 

597

 

119

Freddie Mac

 

 

 

 

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

 

5,884

 

394

0.755% due 05/25/2050 •(a)

 

1,382

 

198

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

 

1,027

 

59

3.500% due 02/25/2041 (a)

 

1,550

 

223

4.000% due 07/25/2050 (a)

 

5,162

 

1,143

5.000% due 03/15/2040 (a)

 

136

 

5

10.545% due 10/25/2029 •(i)

 

250

 

270

12.945% due 12/25/2027 •

 

354

 

366

Total U.S. Government Agencies (Cost $2,778)

 

 

 

2,777

NON-AGENCY MORTGAGE-BACKED SECURITIES 41.5%

 

 

 

 

245 Park Avenue Trust
3.779% due 06/05/2037 ~

 

1,065

 

938

Adjustable Rate Mortgage Trust
6.266% due 01/25/2036 ~

 

46

 

44

Ashford Hospitality Trust
6.669% due 04/15/2035 •(i)

 

900

 

894

Banc of America Alternative Loan Trust
5.235% due 04/25/2037 ~

 

59

 

52

Banc of America Funding Trust

 

 

 

 

3.389% due 12/20/2034 ~

 

93

 

66

4.304% due 03/20/2036 ~

 

32

 

27

5.806% due 03/25/2037 ~

 

31

 

29

7.000% due 10/25/2037

 

270

 

193

Banc of America Mortgage Trust

 

 

 

 

5.783% due 06/25/2035 ~

 

36

 

34

6.979% due 06/20/2031 ~

 

96

 

97

Bancorp Commercial Mortgage Trust
9.193% due 08/15/2032 •(i)

 

145

 

144

Barclays Commercial Mortgage Securities Trust

 

 

 

 

3.811% due 02/15/2053 ~

 

1,000

 

807

8.219% due 10/15/2037 •(i)

 

900

 

891

BCAP LLC Trust
5.850% due 07/26/2036 ~

 

45

 

38

Bear Stearns ALT-A Trust

 

 

 

 

3.955% due 05/25/2036 ~

 

705

 

649

4.261% due 05/25/2036 ~

 

22

 

16

4.560% due 08/25/2036 ~

 

182

 

87

4.629% due 01/25/2047 ~

 

20

 

10

4.638% due 07/25/2035 ~

 

86

 

62

5.080% due 11/25/2036 ~

 

451

 

233

5.309% due 04/25/2037 •

 

363

 

320

7.125% due 09/25/2034 ~

 

57

 

54

Bear Stearns Asset-Backed Securities Trust
5.500% due 12/25/2035

 

21

 

14

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

 

25

 

25

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

 

77

 

74

CD Mortgage Trust
5.688% due 10/15/2048

 

53

 

50

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

 

154

 

86

Citigroup Commercial Mortgage Trust
5.590% due 12/10/2049 ~

 

199

 

126

Citigroup Mortgage Loan Trust

 

 

 

 

5.525% due 10/25/2035 ~

 

877

 

775

5.602% due 11/25/2035 ~(i)

 

1,030

 

540

6.250% due 11/25/2037 ~

 

649

 

291

Citigroup Mortgage Loan Trust, Inc. Mortgage Pass-Through Certificates
4.169% due 09/25/2035 ~

 

57

 

39

Connecticut Avenue Securities Trust
8.380% due 10/25/2041 •(i)

 

800

 

825

Countrywide Alternative Loan Trust

 

 

 

 

5.500% due 03/25/2035

 

370

 

159

5.519% due 10/25/2037 •(i)

 

3,340

 

701

5.529% due 02/25/2037 •

 

108

 

89

5.549% due 02/25/2036 •

 

339

 

302

6.000% due 11/25/2035

 

158

 

24

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

September 30, 2024 (Unaudited)

 

6.000% due 04/25/2036 (i)

 

2,129

 

1,024

Countrywide Home Loan Mortgage Pass-Through Trust

 

 

 

 

4.502% due 09/20/2036 ~

 

51

 

46

4.844% due 09/25/2047 ~

 

163

 

150

5.609% due 03/25/2035 •

 

60

 

53

6.000% due 05/25/2037

 

177

 

80

6.662% due 02/20/2036 •

 

2

 

2

6.839% due 03/25/2046 •

 

202

 

146

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

 

26

 

26

Credit Suisse Mortgage Capital Mortgage-Backed Trust

 

 

 

 

6.000% due 07/25/2036 (i)

 

834

 

414

6.396% due 04/25/2036 þ

 

134

 

72

6.500% due 05/25/2036

 

143

 

62

DBGS Mortgage Trust
0.201% due 10/15/2036 ~(a)

 

147,870

 

11

Extended Stay America Trust
8.911% due 07/15/2038 •(i)

 

802

 

803

First Horizon Alternative Mortgage Securities Trust
6.193% due 08/25/2035 ~

 

1

 

0

Freddie Mac

 

 

 

 

12.780% due 10/25/2041 •(i)

 

1,100

 

1,186

13.080% due 11/25/2041 •(i)

 

1,100

 

1,194

GS Mortgage Securities Corp. Trust

 

 

 

 

4.744% due 10/10/2032 ~(i)

 

800

 

790

4.744% due 10/10/2032 ~

 

100

 

98

GS Mortgage Securities Trust
0.547% due 08/10/2043 ~(a)

 

1,743

 

5

GSR Mortgage Loan Trust
4.420% due 03/25/2047 ~

 

552

 

342

HarborView Mortgage Loan Trust
4.867% due 01/19/2036 •

 

364

 

226

IndyMac INDA Mortgage Loan Trust
4.207% due 06/25/2037 ~

 

81

 

62

IndyMac INDX Mortgage Loan Trust
3.462% due 05/25/2036 ~

 

88

 

48

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

 

719

 

406

JP Morgan Chase Commercial Mortgage Securities Trust

 

 

 

 

0.496% due 02/15/2046 «~(a)

 

51,098

 

21

6.241% due 02/12/2051 ~

 

18

 

18

6.663% due 07/05/2033 •(i)

 

843

 

725

7.444% due 02/15/2035 •

 

212

 

205

9.394% due 02/15/2035 •(i)

 

763

 

735

11.601% due 11/15/2038 •(i)

 

900

 

858

JP Morgan Mortgage Trust
7.205% due 07/25/2035 ~

 

6

 

6

Lehman Mortgage Trust

 

 

 

 

5.761% due 04/25/2036 ~

 

139

 

89

6.000% due 05/25/2037

 

2

 

2

MASTR Adjustable Rate Mortgages Trust
6.029% due 11/25/2035 ~

 

169

 

77

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

 

145

 

86

Merrill Lynch Mortgage Investors Trust

 

 

 

 

5.389% due 07/25/2030 •

 

8

 

8

5.603% due 11/25/2035 •

 

34

 

33

5.629% due 11/25/2029 •

 

30

 

27

6.266% due 02/25/2034 ~

 

2

 

2

6.971% due 05/25/2033 ~

 

7

 

7

MFA Trust

 

 

 

 

4.255% due 12/25/2066 ~(i)

 

1,000

 

836

4.448% due 08/25/2061 ~(i)

 

1,000

 

874

Morgan Stanley Capital Trust

 

 

 

 

0.818% due 11/12/2049 ~(a)

 

92

 

0

9.744% due 11/15/2034 •

 

400

 

397

Morgan Stanley Mortgage Loan Trust

 

 

 

 

6.000% due 08/25/2037

 

136

 

49

6.634% due 01/25/2035 ~

 

134

 

116

Morgan Stanley Re-REMIC Trust
4.713% due 03/26/2037 ~(i)

 

1,609

 

1,384

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

 

38

 

35

Natixis Commercial Mortgage Securities Trust

 

 

 

 

4.193% due 04/10/2037 ~

 

1,197

 

660

9.041% due 03/15/2035 •(i)

 

263

 

263

10.290% due 03/15/2035 •(i)

 

525

 

525

New Residential Mortgage Loan Trust
3.863% due 11/25/2059 ~(i)

 

2,900

 

1,546

Regal Trust
1.723% due 09/29/2031 •

 

9

 

8

Residential Accredit Loans, Inc. Trust

 

 

 

 

5.244% due 01/25/2036 ~

 

157

 

115

6.000% due 08/25/2035

 

97

 

87

6.000% due 06/25/2036

 

55

 

44

6.500% due 09/25/2037

 

104

 

87

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

September 30, 2024 (Unaudited)

 

ResidentialAsset Securitization Trust
6.000% due 03/25/2037

 

182

 

57

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

 

81

 

69

Soho Trust
2.786% due 08/10/2038 ~

 

450

 

310

Structured Adjustable Rate Mortgage Loan Trust

 

 

 

 

4.142% due 04/25/2036 ~

 

145

 

78

4.635% due 01/25/2036 ~

 

165

 

93

5.189% due 09/25/2036

 

13

 

11

Structured Asset Mortgage Investments Trust
5.389% due 08/25/2036 •(i)

 

274

 

225

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

 

102

 

38

Verus Securitization Trust
7.834% due 06/25/2069 ~

 

500

 

495

WaMu Mortgage Pass-Through Certificates Trust

 

 

 

 

4.306% due 12/25/2036 ~(i)

 

143

 

129

5.869% due 10/25/2045 •(i)

 

2,389

 

2,056

5.949% due 06/25/2044 •

 

147

 

140

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

 

579

 

490

Wells Fargo Commercial Mortgage Trust
5.092% due 12/15/2039 ~(i)

 

1,042

 

929

Worldwide Plaza Trust
3.715% due 11/10/2036 ~

 

2,400

 

141

Total Non-Agency Mortgage-Backed Securities (Cost $37,658)

 

 

 

32,237

ASSET-BACKED SECURITIES 45.8%

 

 

 

 

AIM Aviation Finance Ltd.
6.213% due 02/15/2040 þ(i)

 

659

 

564

Apex Credit CLO Ltd.
0.000% due 10/20/2034 ~

 

500

 

290

Asset-Backed Securities Corp. Home Equity Loan Trust

 

 

 

 

6.064% due 02/25/2035 •(i)

 

1,029

 

1,109

8.284% due 06/21/2029 •

 

58

 

56

Bear Stearns Asset-Backed Securities Trust

 

 

 

 

5.238% due 07/25/2036 ~

 

12

 

12

5.466% due 04/25/2036 •(i)

 

1,776

 

1,562

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

 

1,185

 

111

Citigroup Mortgage Loan Trust

 

 

 

 

5.289% due 12/25/2036 •(i)

 

992

 

544

5.409% due 12/25/2036 •(i)

 

615

 

248

5.669% due 11/25/2046 •(i)

 

1,100

 

933

Conseco Finance Securitizations Corp.

 

 

 

 

7.960% due 05/01/2031

 

324

 

76

9.163% due 03/01/2033 ~

 

699

 

710

Countrywide Asset-Backed Certificates Trust

 

 

 

 

5.369% due 06/25/2037 •(i)

 

457

 

474

5.374% due 09/25/2046 •(i)

 

4,172

 

3,483

5.449% due 05/25/2036 •(i)

 

6,808

 

5,791

6.844% due 10/25/2035 •(i)

 

2,230

 

1,855

Crown City CLO
0.000% due 04/20/2035 ~

 

600

 

323

EMC Mortgage Loan Trust

 

 

 

 

6.019% due 05/25/2040 •

 

41

 

47

6.269% due 02/25/2041 •

 

159

 

162

Flagship Credit Auto Trust
0.000% due 06/15/2029 «(e)

 

14

 

461

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

 

16

 

14

GSAMP Trust
7.594% due 12/25/2034 •(i)

 

2,156

 

1,736

Home Equity Mortgage Loan Asset-Backed Trust

 

 

 

 

5.209% due 04/25/2037 •(i)

 

3,051

 

2,090

5.719% due 10/25/2035 •

 

74

 

74

HSI Asset Securitization Corp. Trust

 

 

 

 

5.079% due 04/25/2037 •(i)

 

2,688

 

1,427

5.309% due 12/25/2036 •(i)

 

4,172

 

1,098

Lehman XS Trust
6.260% due 11/25/2035 þ

 

681

 

311

MAN GLG U.S. CLO Ltd.
0.000% due 07/15/2034 ~

 

600

 

384

Marlette Funding Trust

 

 

 

 

0.000% due 07/16/2029 «(e)

 

5

 

14

0.000% due 03/15/2030 «(e)

 

8

 

157

MASTR Asset-Backed Securities Trust
5.189% due 08/25/2036 •(i)

 

2,395

 

914

Morgan Stanley ABS Capital, Inc. Trust

 

 

 

 

5.109% due 10/25/2036 •(i)

 

8,084

 

3,596

5.749% due 12/25/2034 •

 

86

 

81

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

 

3,500

 

934

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

September 30, 2024 (Unaudited)

 

People'sFinancial Realty Mortgage Securities Trust
5.099% due 09/25/2036 •(i)

 

5,629

 

1,049

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

 

3,245

 

1,360

Securitized Asset-Backed Receivables LLC Trust
5.614% due 01/25/2035 •

 

35

 

38

SMB Private Education Loan Trust
0.000% due 02/16/2055 «(e)

 

0

 

187

SoFi Professional Loan Program LLC
0.000% due 09/25/2040 «(e)

 

339

 

32

Soundview Home Loan Trust
5.919% due 10/25/2037 •(i)

 

1,530

 

1,173

Structured Asset Investment Loan Trust
9.469% due 10/25/2033 •

 

68

 

78

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

 

30

 

29

Total Asset-Backed Securities (Cost $47,971)

 

 

 

35,587

 

 

SHARES

 

 

COMMON STOCKS 10.1%

 

 

 

 

COMMUNICATION SERVICES 2.1%

 

 

 

 

Clear Channel Outdoor Holdings, Inc.(d)

 

108,013

 

173

iHeartMedia, Inc. 'A'(d)

 

25,745

 

48

iHeartMedia, Inc. 'B'«(d)

 

20,009

 

33

Syniverse Holdings, Inc.«(h)

 

397,203

 

386

Windstream Units«(d)

 

43,518

 

1,010

 

 

 

 

1,650

CONSUMER DISCRETIONARY 2.3%

 

 

 

 

Neiman Marcus Group Ltd. LLC«(d)(h)

 

13,191

 

1,733

West Marine«(d)(h)

 

2,750

 

17

 

 

 

 

1,750

HEALTH CARE 5.6%

 

 

 

 

Amsurg Equity«(d)(h)

 

81,058

 

4,371

INDUSTRIALS 0.1%

 

 

 

 

Mcdermott International Ltd.(d)

 

7,216

 

2

Westmoreland Mining Holdings«(d)(h)

 

9,154

 

8

Westmoreland Mining LLC«(d)(h)

 

9,234

 

39

 

 

 

 

49

Total Common Stocks (Cost $6,748)

 

 

 

7,820

WARRANTS 0.0%

 

 

 

 

CONSUMER DISCRETIONARY 0.0%

 

 

 

 

West Marine - Exp. 09/08/2028«

 

357

 

0

Total Warrants (Cost $0)

 

 

 

0

PREFERRED SECURITIES 0.0%

 

 

 

 

BANKING & FINANCE 0.0%

 

 

 

 

SVB Financial Group
4.700% due 11/15/2031 ^(c)(g)

 

11,000

 

0

Total Preferred Securities (Cost $1)

 

 

 

0

REAL ESTATE INVESTMENT TRUSTS 0.8%

 

 

 

 

REAL ESTATE 0.8%

 

 

 

 

Uniti Group, Inc.

 

34,736

 

196

VICI Properties, Inc.

 

13,531

 

451

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

September 30, 2024 (Unaudited)

 

Total Real Estate Investment Trusts (Cost $256)

 

 

 

647

 

 

PRINCIPAL
AMOUNT
(000s)

 

 

SHORT-TERM INSTRUMENTS 0.3%

 

 

 

 

U.S. TREASURY BILLS 0.3%

 

 

 

 

5.333% due 10/17/2024 (e)(f)(l)

$

274

 

273

Total Short-Term Instruments (Cost $273)

 

 

 

273

Total Investments in Securities (Cost $130,835)

 

 

 

113,127

 

 

SHARES

 

 

INVESTMENTS IN AFFILIATES 13.0%

 

 

 

 

SHORT-TERM INSTRUMENTS 13.0%

 

 

 

 

CENTRAL FUNDS USED FOR CASH MANAGEMENT PURPOSES 13.0%

 

 

 

 

PIMCO Short-Term Floating NAV Portfolio III

 

1,041,513

 

10,141

Total Short-Term Instruments (Cost $10,134)

 

 

 

10,141

Total Investments in Affiliates (Cost $10,134)

 

 

 

10,141

Total Investments 158.6% (Cost $140,969)

 

 

$

123,268

Financial Derivative Instruments(j)(k)(0.2)%(Cost or Premiums, net $1,131)

 

 

 

(148)

Other Assets and Liabilities, net (58.4)%

 

 

 

(45,400)

Net Assets Applicable to Common Shareholders 100.0%

 

 

$

77,720

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

September 30, 2024 (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)

Payment in-kind security.

(c)

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

(d)

Security did not produce income within the last twelve months.

(e)

Zero coupon security.

(f)

Coupon represents a yield to maturity.

(g)

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

(h)

RESTRICTED SECURITIES:

Issuer Description

 

 

Acquisition
Date

 

Cost

 

Market
Value

Market Value
as Percentage
of Net Assets Applicable to Common Shareholders

Amsurg Equity

 

 

11/02/2023 - 11/06/2023

$

3,387

$

4,371

5.62

%

Neiman Marcus Group Ltd. LLC

 

 

09/25/2020

 

425

 

1,733

2.23

 

Syniverse Holdings, Inc.

 

 

05/12/2022 - 05/31/2024

 

391

 

386

0.50

 

West Marine

 

 

09/12/2023

 

39

 

17

0.02

 

Westmoreland Mining Holdings

 

 

12/08/2014

 

267

 

8

0.01

 

Westmoreland Mining LLC

 

 

06/30/2023

 

61

 

39

0.05

 

 

 

 

 

$

4,570

$

6,554

8.43%  

BORROWINGS AND OTHER FINANCING TRANSACTIONS

REVERSE REPURCHASE AGREEMENTS:

Counterparty

Borrowing Rate(1)

Settlement Date

Maturity Date

 

Amount
Borrowed(1)

 

Payable for
Reverse
Repurchase
Agreements

BNY

5.940%

07/08/2024

01/08/2025

$

(2,967)

$

(3,011)

BOS

5.630

08/08/2024

11/08/2024

 

(311)

 

(313)

BPS

5.830

07/29/2024

10/29/2024

 

(588)

 

(594)

 

5.830

09/30/2024

10/29/2024

 

(200)

 

(200)

 

6.070

08/16/2024

02/14/2025

 

(270)

 

(272)

 

6.090

07/29/2024

01/21/2025

 

(7,528)

 

(7,616)

 

6.190

08/16/2024

02/14/2025

 

(643)

 

(649)

 

6.390

07/29/2024

01/21/2025

 

(1,547)

 

(1,566)

BRC

4.000

09/20/2024

TBD(2)

 

(162)

 

(162)

 

5.200

09/20/2024

TBD(2)

 

(731)

 

(732)

 

6.090

09/12/2024

01/10/2025

 

(1,021)

 

(1,025)

 

6.090

09/26/2024

01/24/2025

 

(113)

 

(113)

 

6.290

09/26/2024

01/24/2025

 

(1,890)

 

(1,892)

 

6.370

08/05/2024

02/05/2025

 

(940)

 

(950)

BYR

5.340

08/21/2024

12/20/2024

 

(506)

 

(510)

DBL

5.925

09/13/2024

11/08/2024

 

(223)

 

(224)

GLM

5.320

09/27/2024

06/24/2025

 

(538)

 

(538)

 

5.420

09/27/2024

06/24/2025

 

(609)

 

(610)

 

6.180

02/08/2024

10/29/2024

 

(516)

 

(538)

IND

5.410

09/18/2024

12/17/2024

 

(660)

 

(661)

 

5.460

09/18/2024

12/17/2024

 

(731)

 

(732)

 

5.530

09/27/2024

12/30/2024

 

(579)

 

(579)

 

5.580

09/27/2024

12/30/2024

 

(1,414)

 

(1,414)

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

September 30, 2024 (Unaudited)

 

MZF

5.680

09/18/2024

03/18/2025

 

(4,121)

 

(4,130)

RTA

5.880

09/19/2024

01/21/2025

 

(639)

 

(641)

 

6.030

10/01/2024

11/15/2024

 

(158)

 

(158)

 

6.040

09/17/2024

11/01/2024

 

(158)

 

(158)

 

6.130

07/08/2024

10/08/2024

 

(1,730)

 

(1,757)

SOG

5.690

07/29/2024

10/29/2024

 

(468)

 

(473)

 

6.040

08/20/2024

02/20/2025

 

(667)

 

(672)

TDM

5.000

09/20/2024

TBD(2)

 

(19)

 

(19)

UBS

5.170

10/02/2024

01/03/2025

 

(1,102)

 

(1,102)

 

5.680

09/10/2024

03/10/2025

 

(4,212)

 

(4,226)

 

5.850

07/02/2024

10/02/2024

 

(1,067)

 

(1,083)

 

6.510

07/10/2024

10/08/2024

 

(6,170)

 

(6,263)

Total Reverse Repurchase Agreements

 

 

 

 

 

$

(45,583)

(i)

Securities with an aggregate market value of $58,655 have been pledged as collateral under the terms of master agreements as of September 30, 2024.

(1)

The average amount of borrowings outstanding during the period ended September 30, 2024 was $(47,457) at a weighted average interest rate of 6.372%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.

(2)

Open maturity reverse repurchase agreement.

(j)

FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED

FUTURES CONTRACTS:

SHORT FUTURES CONTRACTS

 

Variation Margin

Description

 

 

 

Expiration
Month

 

# of
Contracts

 

Notional
Amount

 

 

Unrealized
Appreciation/
(Depreciation)

 

Asset

 

Liability

3-Month SOFR Active Contract December Futures

03/2025

 

1

$

(240)

 

$

5

$

0

$

0

3-Month SOFR Active Contract December Futures

03/2026

 

1

 

(243)

 

 

2

 

0

 

0

3-Month SOFR Active Contract June Futures

09/2025

 

2

 

(484)

 

 

5

 

1

 

0

3-Month SOFR Active Contract March Futures

06/2025

 

2

 

(482)

 

 

7

 

1

 

0

3-Month SOFR Active Contract March Futures

06/2026

 

1

 

(243)

 

 

2

 

0

 

0

3-Month SOFR Active Contract September Futures

12/2024

 

2

 

(476)

 

 

12

 

0

 

0

3-Month SOFR Active Contract September Futures

12/2025

 

1

 

(242)

 

 

2

 

0

 

0

Total Futures Contracts

 

$

35

$

2

$

0

SWAP AGREEMENTS:

INTEREST RATE SWAPS

 

Variation Margin(1)

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

1-Day USD-SOFR Compounded-OIS

2.450%

Annual

12/20/2024

$

3,800

$

0

$

109

$

109

$

1

$

0

Receive

1-Day USD-SOFR Compounded-OIS

2.350

Annual

01/17/2025

 

1,900

 

0

 

55

 

55

 

0

 

0

Receive

1-Day USD-SOFR Compounded-OIS

2.300

Annual

01/17/2026

 

300

 

0

 

12

 

12

 

1

 

0

Pay

1-Day USD-SOFR Compounded-OIS

1.250

Semi-Annual

12/15/2026

 

200

 

(1)

 

(9)

 

(10)

 

0

 

0

Pay

1-Day USD-SOFR Compounded-OIS

1.550

Semi-Annual

01/20/2027

 

1,900

 

(4)

 

(100)

 

(104)

 

0

 

(4)

Pay

1-Day USD-SOFR Compounded-OIS

0.500

Semi-Annual

06/16/2028

 

140

 

(5)

 

(10)

 

(15)

 

0

 

0

Pay

1-Day USD-SOFR Compounded-OIS

3.750

Annual

12/20/2028

 

4,900

 

45

 

(17)

 

28

 

0

 

(12)

Pay

1-Day USD-SOFR Compounded-OIS

1.700

Semi-Annual

01/12/2029

 

2,000

 

(6)

 

(158)

 

(164)

 

0

 

(5)

Pay

1-Day USD-SOFR Compounded-OIS

4.250

Annual

06/19/2029

 

7,800

 

(32)

 

344

 

312

 

0

 

(22)

Pay

1-Day USD-SOFR Compounded-OIS

4.500

Annual

06/17/2030

 

10,300

 

8

 

630

 

638

 

0

 

(31)

Receive

1-Day USD-SOFR Compounded-OIS

1.370

Semi-Annual

07/19/2031

 

100

 

0

 

14

 

14

 

0

 

0

Receive

1-Day USD-SOFR Compounded-OIS

1.360

Semi-Annual

07/20/2031

 

100

 

0

 

14

 

14

 

0

 

0

Receive

1-Day USD-SOFR Compounded-OIS

3.500

Annual

12/20/2033

 

1,800

 

54

 

(54)

 

0

 

6

 

0

Receive

1-Day USD-SOFR Compounded-OIS

3.000

Semi-Annual

12/19/2038

 

5,200

 

13

 

352

 

365

 

17

 

0

Receive

1-Day USD-SOFR Compounded-OIS

2.000

Semi-Annual

01/15/2050

 

100

 

(1)

 

30

 

29

 

0

 

0

Receive

1-Day USD-SOFR Compounded-OIS

1.625

Semi-Annual

01/16/2050

 

400

 

0

 

140

 

140

 

1

 

0

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

September 30, 2024 (Unaudited)

 

Receive

1-Day USD-SOFR Compounded-OIS

1.750

Semi-Annual

01/22/2050

 

700

 

(4)

 

233

 

229

 

2

 

0

Receive

1-Day USD-SOFR Compounded-OIS

1.625

Semi-Annual

02/03/2050

 

400

 

(2)

 

141

 

139

 

1

 

0

Receive

1-Day USD-SOFR Compounded-OIS

1.450

Semi-Annual

04/07/2051

 

1,300

 

(1)

 

504

 

503

 

4

 

0

Receive

1-Day USD-SOFR Compounded-OIS

1.750

Annual

06/15/2052

 

5,700

 

994

 

687

 

1,681

 

18

 

0

Receive

1-Day USD-SOFR Compounded-OIS

1.750

Annual

12/21/2052

 

2,800

 

674

 

206

 

880

 

8

 

0

Total Swap Agreements

$

1,732

$

3,123

$

4,855

$

59

$

(74)

Cash of $1,150 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of September 30, 2024.

(k)

FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER

SWAP AGREEMENTS:

CREDIT DEFAULT SWAPS ON CREDIT INDEXES - 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

$

1,484

$

(296)

$

186

$

0

$

(110)

 

ABX.HE.PENAAA.7-1 Index «

0.090

Monthly

08/25/2037

 

398

 

(305)

 

280

 

0

 

(25)

Total Swap Agreements

$

(601)

$

466

$

0

$

(135)

(l)

Securities with an aggregate market value of $273 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of September 30, 2024.

(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, 2024 in valuing the Fund's assets and liabilities:

 

Category and Subcategory

Level 1

Level 2

Level 3

Fair Value
at 09/30/2024

Investments in Securities, at Value

Loan Participations and Assignments

$

0

$

9,796

$

5,327

$

15,123

 

Corporate Bonds & Notes

 

Banking & Finance

 

0

 

2,459

 

0

 

2,459

 

 

Industrials

 

0

 

11,676

 

3,521

 

15,197

 

 

Utilities

 

0

 

388

 

0

 

388

 

Convertible Bonds & Notes

 

Industrials

 

0

 

437

 

0

 

437

 

Municipal Bonds & Notes

 

Puerto Rico

 

0

 

182

 

0

 

182

 

U.S. Government Agencies

 

0

 

2,777

 

0

 

2,777

 

Non-Agency Mortgage-Backed Securities

 

0

 

32,216

 

21

 

32,237

 

Asset-Backed Securities

 

0

 

34,736

 

851

 

35,587

 

Common Stocks

 

Communication Services

 

221

 

0

 

1,429

 

1,650

 

 

Consumer Discretionary

 

0

 

0

 

1,750

 

1,750

 

 

Health Care

 

0

 

0

 

4,371

 

4,371

 

 

Industrials

 

2

 

0

 

47

 

49

 

Real Estate Investment Trusts

 

Real Estate

 

647

 

0

 

0

 

647

 

Short-Term Instruments

 

U.S. Treasury Bills

 

0

 

273

 

0

 

273

 

 

$

870

$

94,940

$

17,317

$

113,127

 

Investments in Affiliates, at Value

Short-Term Instruments

 

Central Funds Used for Cash Management Purposes

$

10,141

$

0

$

0

$

10,141

 

Total Investments

$

11,011

$

94,940

$

17,317

$

123,268

 

Financial Derivative Instruments - Assets

Exchange-traded or centrally cleared

$

0

$

61

$

0

$

61

 

Financial Derivative Instruments - Liabilities

Exchange-traded or centrally cleared

 

0

 

(74)

 

0

 

(74)

 

Over the counter

 

0

 

0

 

(135)

 

(135)

 

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

September 30, 2024 (Unaudited)

 

 

$

0

$

(74)

$

(135)

$

(209)

 

Total Financial Derivative Instruments

$

0

$

(13)

$

(135)

$

(148)

 

Totals

$

11,011

$

94,927

$

17,182

$

123,120

 

 

 

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended September 30, 2024:

Category and Subcategory

Beginning
Balance
at 06/30/2024

Net
Purchases (1)

Net
Sales/Settlements (1)

Accrued
Discounts/
(Premiums)

Realized
Gain/(Loss)

Net Change in
Unrealized
Appreciation/
(Depreciation) (2)

Transfers into
Level 3

Transfers out
of Level 3

Ending
Balance
at 09/30/2024

Net Change in
Unrealized
Appreciation/
(Depreciation)
on Investments
Held at
09/30/2024 (2)

Investments in Securities, at Value

Loan Participations and Assignments

$

4,920

$

31

$

(181)

$

(3)

$

0

$

85

$

475

$

0

$

5,327

$

79

Corporate Bonds & Notes

 

Banking & Finance

 

134

 

0

 

(164)

 

0

 

9

 

21

 

0

 

0

 

0

 

(115)

 

Industrials

 

3,804

 

0

 

0

 

0

 

0

 

(283)

 

0

 

0

 

3,521

 

(283)

Non-Agency Mortgage-Backed Securities

 

1,173

 

0

 

(65)

 

3

 

(3)

 

91

 

0

 

(1,178)

 

21

 

20

Asset-Backed Securities

 

1,848

 

0

 

(193)

 

2

 

(240)

 

(80)

 

0

 

(486)

 

851

 

(368)

Common Stocks

 

Communication Services(3)

 

1,129

 

0

 

0

 

0

 

0

 

300

 

0

 

0

 

1,429

 

302

 

Consumer Discretionary(4)

 

1,799

 

0

 

0

 

0

 

0

 

(49)

 

0

 

0

 

1,750

 

(50)

 

Energy

 

173

 

0

 

(187)

 

0

 

138

 

(124)

 

0

 

0

 

0

 

0

 

Health Care

 

4,013

 

0

 

0

 

0

 

0

 

358

 

0

 

0

 

4,371

 

359

 

Industrials

 

60

 

0

 

0

 

0

 

0

 

(13)

 

0

 

0

 

47

 

(12)

Preferred Securities

 

Industrials

 

0

 

0

 

0

 

0

 

(604)

 

604

 

0

 

0

 

0

 

0

 

$

19,053

$

31

$

(790)

$

2

$

(700)

$

910

$

475

$

(1,664)

$

17,317

$

(68)

Financial Derivative Instruments- Liabilities

Over the counter

$

(144)

$

3

$

(54)

$

0

$

27

$

33

$

0

$

0

$

(135)

$

5

Totals

$

18,909

$

34

$

(844)

$

2

$

(673)

$

943

$

475

$

(1,664)

$

17,182

$

(63)

 


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

 

(% Unless Noted Otherwise)

 

Category and Subcategory

Ending
Balance
at 09/30/2024

Valuation Technique

Unobservable Inputs

 

Input Value(s)

Weighted Average

Investments in Securities, at Value

Loan Participations and Assignments

$

81

Comparable Companies

EBITDA Multiple

X

15.500

—

 

 

2,958

Discounted Cash Flow

Discount Rate

 

7.220 - 25.750

14.864

 

 

475

Expected Recovery

Recovery Rate

 

83.144

—

 

 

1,813

Third Party Vendor

Broker Quote

 

103.500

—

Corporate Bonds & Notes

 

Industrials

 

3,521

Comparable Companies/Discounted Cash Flow

Revenue Multiple/Discount Rate

X/%

1.000/9.500

—

Non-Agency Mortgage-Backed Securities

 

21

Discounted Cash Flow

Discount Rate

 

99.999

—

Asset-Backed Securities

 

851

Discounted Cash Flow

Discount Rate

 

12.000 - 99.999

79.386

Common Stocks

 

Communication Services

 

1,010

Comparable Companies

EBITDA Multiple

X

4.438

—

 

 

 

386

Discounted Cash Flow

Discount Rate

 

12.950

—

 

 

 

33

Reference Instrument

Stock Price w/Liquidity Discount

 

10.000

—

 

Consumer Discretionary

 

1,733

Comparable Companies/Discounted Cash Flow

Comparable Companies/Discount Rate/Revenue multiple

X/X/%

0.610/6.830/10.000

—

 

 

 

17

Discounted Cash Flow/Comparable Companies

Discount Rate/Revenue multiple

%/X

20.750/0.500

—

 

Health Care

 

4,371

Comparable Companies

EBITDA Multiple

X

15.500

 

 

Industrials

 

47

Indicative Market Quotation

Broker Quote

$

0.880 - 4.250

3.679

Financial Derivative Instruments- Liabilities

 

Over the counter

 

(135)

Indicative Market Quotation

Broker Quote

$

92.500 - 93.500

92.687

Total

$

17,182

(1)

Net Purchases and Settlements for Financial Derivative Instruments may include payments made or received upon entering into swap agreements to compensate for differences between the stated terms of the swap agreement and prevailing market conditions.

(2)

Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at September 30, 2024 may be due to an investment no longer held or categorized as Level 3 at period end.

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

September 30, 2024 (Unaudited)

 

(3)

Sector type updated from Industrials and Utilities to Communication Services since prior fiscal year end.

(4)

Sector type updated from Industrials and Utilities to Consumer Discretionary since prior fiscal year end.

 

 

​

Notes to Financial Statements

 

1. INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS

(a) Investment Valuation Policies The NAV of the Fund's shares, or each of its share classes, as applicable, is determined by dividing the total value of portfolio investments and other assets attributable to the Fund or class, less any liabilities, as applicable, by the total number of shares outstanding.

 

On each day that the New York Stock Exchange (“NYSE”) is open, the Fund’s 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 may calculate its NAV as of the earlier closing time or calculate its NAV as of the NYSE Close for that day. The Fund generally does not calculate its NAV on days on which the NYSE is not open for business. If the NYSE is closed on a day it would normally be open for business, the Fund may calculate its NAV as of the NYSE Close for such day or such other time that the Fund may determine.

 

For purposes of calculating NAV, portfolio securities and other assets for which market quotations are readily available are valued at market value. A market quotation is readily available only when that quotation is a quoted price (unadjusted) in active markets for identical investments that the Fund can access at the measurement date, provided that a quotation will not be readily available if it is not reliable. Market value is generally determined on the basis of official closing prices or the last reported sales prices. 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”) to be the primary exchange. If market value pricing is used, 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.

 

Investments for which market quotations are not readily available are valued at fair value as determined in good faith pursuant to Rule 2a-5 under the Investment Company Act. As a general principle, the fair value of a security or other asset is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Pursuant to Rule 2a-5, the Board of Trustees has designated PIMCO as the valuation designee (“Valuation Designee”) for the Fund to perform the fair value determination relating to all Fund investments. PIMCO may carry out its designated responsibilities as Valuation Designee through various teams and committees. The Valuation Designee’s policies and procedures govern the Valuation Designee’s selection and application of methodologies for determining and calculating the fair value of Fund investments. The Valuation Designee may value Fund portfolio securities for which market quotations are not readily available and other Fund assets utilizing inputs from pricing services, quotation reporting systems, valuation agents and other third-party sources (together, “Pricing Sources”).

 

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 Sources using data reflecting the earlier closing of the principal markets for those securities. Prices obtained from Pricing Sources 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. 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. 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 Sources. With respect to any portion of the Fund’s assets that are invested in one or more open-end management investment companies (other than ETFs), the Fund’s NAV will be calculated based on 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. 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 Sources, which may recommend fair value or adjustments with reference to other securities, indexes or assets. In considering whether fair valuation is required and in determining fair values, the Valuation Designee may, among other things, consider significant events (which may be considered to include changes in the value of U.S. securities or securities indexes) 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, unless otherwise determined by the Valuation Designee, 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.

 

Investments valued in currencies other than the U.S. dollar are converted to the U.S. dollar using exchange rates obtained from Pricing Sources. 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.

 

Fair valuation may require subjective determinations about the value of a security. While the Fund’s and Valuation Designee's policies and procedures are 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 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 (unadjusted) in active markets or exchanges for identical assets and liabilities.

 

 

Notes to Financial Statements (Cont.)

 

• 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 Valuation Designee 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 Sources (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 Sources 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:

 

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 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.

 

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, non-U.S. bonds and short-term debt instruments (such as commercial paper, time deposits and certificates of deposit) are normally valued on the basis of quotes obtained from brokers and dealers or Pricing Sources that use broker-dealer quotations, reported trades or valuation estimates from their internal pricing models. The Pricing Sources' 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 Sources 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.

 

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 Sources 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 Sources. 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, indexes, 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 Sources (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 Sources 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, indexes, 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, indexes, 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 Sources (normally determined as of the NYSE Close). Centrally cleared swaps and over the counter swaps can be valued by Pricing Sources using a series of techniques, including simulation pricing models. The pricing models may use inputs that are

 

Notes to Financial Statements (Cont.)

 

observed from actively quoted markets such as the overnight index swap rate, LIBOR forward rate, interest rates, yield curves and credit spreads. These securities are categorized as Level 2 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 indexes, and/or other financial instruments, whose pricing information is readily available. Unobservable inputs may include those used in algorithms based on percentage change in the reference instruments and/or weights of each reference instrument. Significant changes in the unobservable inputs would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 2 or Level 3 of the fair value hierarchy depending on the source or input of the reference instrument.

 

Expected recovery valuation estimates that the fair value of an existing asset can be recovered, net of any liability. 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 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.

 

Short-term debt instruments (such as commercial paper, time deposits and certificates of deposit) 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.

 

When a fair valuation method is applied by PIMCO that uses significant unobservable inputs, investments will be priced by a method that the Valuation Designee believes reflects fair value and are categorized as Level 3 of the fair value hierarchy.

 

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, 2024, the Fund has recorded no liability for net unrecognized tax benefits relating to uncertain income tax positions it has taken or expect 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.

 

3. INVESTMENTS IN AFFILIATES

The Fund may invest in the PIMCO Short Asset Portfolio and the PIMCO Short-Term Floating NAV Portfolio III ("Central Funds") to the extent permitted by the Act, rules thereunder or exemptive relief therefrom. The Central Funds are registered investment companies created for use solely by the series of the Trust and other series of registered investment companies advised by the Adviser, in connection with their cash management activities. The main investments of the Central Funds are money market and short maturity fixed income instruments. The Central Funds may incur expenses related to their investment activities, but do not pay Investment Advisory Fees or Supervisory and Administrative Fees to the Adviser. The Central Funds are considered to be affiliated with the Fund. A copy of each affiliate fund’s shareholder report is available at the U.S Securities and Exchange Commission (“SEC”) website at www.sec.gov, on the Fund’s website at www.pimco.com, or upon request, as applicable. The tables below show the Fund's transactions in and earnings from investments in the affiliated funds for the period ended September 30, 2024 (amounts in thousands†):

Investment in PIMCO Short-Term Floating NAV Portfolio III

 

 

Market Value
06/30/2024

 

Purchases at
Cost

 

Proceeds from
Sales

 

Net
Realized
Gain (Loss)

 

Change in
Unrealized
Appreciation
(Depreciation)

 

Market Value
09/30/2024

 

Dividend
Income(1)

 

Realized Net
Capital
Gain
Distributions(1)

$

8,525

$

12,809

$

(11,200)

$

2

$

5

$

10,141

$

112

$

0

 

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

(1) The tax characterization of distributions is determined in accordance with Federal income tax regulations and may contain a return of capital. The actual tax characterization of distributions received is determined at the end of the fiscal year of the affiliated fund.

 

​

Glossary: (abbreviations that may be used in the preceding statements)       (Unaudited)
                     
Counterparty Abbreviations:                
BNY   Bank of New York Mellon   DBL   Deutsche Bank AG London   RTA   RBC (Barbados) Trading Bank Corp.
BOS   BofA Securities, Inc.   GLM   Goldman Sachs Bank USA   SOG   Societe Generale Paris
BPS   BNP Paribas S.A.   GST   Goldman Sachs International   TDM   TD Securities (USA) LLC
BRC   Barclays Bank PLC   IND   Crédit Agricole Corporate and Investment Bank
S.A.		   UBS   UBS Securities LLC
BYR   The Bank of Nova Scotia - Toronto   MZF   Mizuho Securities USA LLC        
                     
Currency Abbreviations:                
USD (or $)   United States Dollar                
                     
Index/Spread Abbreviations:                
ABX.HE   Asset-Backed Securities Index - Home
Equity		   TSFR1M   Term SOFR 1-Month   TSFR6M   Term SOFR 6-Month
SOFR   Secured Overnight Financing Rate   TSFR3M   Term SOFR 3-Month        
                     
Other  Abbreviations:                
ABS   Asset-Backed Security   OIS   Overnight Index Swap   TBA   To-Be-Announced
ALT   Alternate Loan Trust   PIK   Payment-in-Kind   TBD   To-Be-Determined
CLO   Collateralized Loan Obligation   REMIC   Real Estate Mortgage Investment Conduit   TBD%   Interest rate to be determined when loan
settles or at the time of funding