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

Schedule of Investments PIMCO PCM Fund, Inc.

March 31, 2020

(Unaudited)

 

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

 

 

PRINCIPAL
AMOUNT
(000s)

 

MARKET
VALUE
(000s)

INVESTMENTS IN SECURITIES 186.6% ¤

 

 

 

 

LOAN PARTICIPATIONS AND ASSIGNMENTS 15.2%

 

 

 

 

Ancestry.com Operations, Inc.
5.240% (LIBOR03M + 4.250%) due 08/27/2026 «~

$

99

$

83

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

 

5

 

5

Clear Channel Outdoor Holdings, Inc.
4.489% (LIBOR03M + 3.500%) due 08/21/2026 ~

 

100

 

90

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

 

659

 

500

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

 

23

 

22

Emerald TopCo, Inc.
4.489% (LIBOR03M + 3.500%) due 07/24/2026 ~

 

6

 

5

Encina Private Credit LLC
TBD% - 3.832% (LIBOR03M + 3.128%) due 11/30/2025 «~µ

 

3,000

 

3,000

EyeCare Partners LLC

 

 

 

 

TBD% due 02/18/2027 µ

 

2

 

2

4.822% (LIBOR03M + 3.750%) due 02/05/2027 ~

 

10

 

8

Financial & Risk U.S. Holdings, Inc.
4.239% (LIBOR03M + 3.250%) due 10/01/2025 ~

 

219

 

212

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

 

556

 

444

Froneri International PLC

 

 

 

 

3.239% (LIBOR03M + 2.250%) due 01/29/2027 «~

 

26

 

25

6.739% (LIBOR03M + 5.750%) due 01/31/2028 «~

 

5

 

5

Frontier Communications Corp.
5.210% - 5.350% (LIBOR03M + 3.750%) due 06/15/2024 ~

 

786

 

745

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

 

9

 

8

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

 

5

 

4

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

 

168

 

131

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

 

5

 

4

McDermott International, Inc.

 

 

 

 

10.647% (LIBOR03M + 9.000%) due 10/22/2020 ~

 

108

 

107

10.647% - 10.806% (LIBOR03M + 9.000%) due 10/21/2020 ~

 

623

 

575

McDermott Technology Americas, Inc.

 

 

 

 

TBD% due 10/21/2021 ^«(d)

 

382

 

353

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

 

1,136

 

343

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

 

20

 

17

Nascar Holdings, Inc.
3.674% (LIBOR03M + 2.750%) due 10/19/2026 ~

 

13

 

12

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

 

110

 

96

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

 

1,815

 

735

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

 

1,636

 

650

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

 

106

 

106

Parexel International Corp.
3.739% (LIBOR03M + 2.750%) due 09/27/2024 ~

 

100

 

86

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

 

113

 

109

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

 

6

 

5

Sequa Mezzanine Holdings LLC
10.770% (LIBOR03M + 9.000%) due 04/28/2022 ~

 

800

 

590

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

 

23

 

21

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

 

96

 

88

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

 

1,416

 

946

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

 

85

 

76

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

 

2,603

 

2,226

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

 

9

 

7

 

 

 

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

March 31, 2020

(Unaudited)

 

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

 

182

 

179

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

 

626

 

453

Windstream Services LLC

 

 

 

 

7.500% (PRIME + 4.250%) due 02/17/2024 «~

 

626

 

390

Total Loan Participations and Assignments (Cost $17,732)

 

 

 

13,463

CORPORATE BONDS & NOTES 30.2%

 

 

 

 

BANKING & FINANCE 9.6%

 

 

 

 

CBL & Associates LP

 

 

 

 

4.600% due 10/15/2024 (k)

 

190

 

41

5.950% due 12/15/2026 (k)

 

1,621

 

311

CIT Group, Inc.
5.000% due 08/15/2022 (k)

 

300

 

295

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

 

2

 

2

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

 

13

 

10

Ford Motor Credit Co. LLC
5.014% (US0003M + 3.140%) due 01/07/2022 ~(k)

 

280

 

227

Fortress Transportation & Infrastructure Investors LLC

 

 

 

 

6.500% due 10/01/2025 (k)

 

76

 

56

6.750% due 03/15/2022 (k)

 

104

 

97

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

 

6

 

4

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

 

14

 

13

Ladder Capital Finance Holdings LLLP
4.250% due 02/01/2027

 

7

 

6

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

 

1,200

 

1,139

Navient Corp.

 

 

 

 

5.625% due 01/25/2025

 

51

 

42

6.125% due 03/25/2024

 

102

 

96

6.500% due 06/15/2022 (k)

 

200

 

196

7.250% due 01/25/2022 (k)

 

300

 

295

7.250% due 09/25/2023

 

24

 

24

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

 

20

 

20

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

 

7

 

7

Piper Jaffray Cos.

 

 

 

 

4.740% due 10/15/2021 (k)

 

200

 

190

5.200% due 10/15/2023 (k)

 

900

 

854

Sabra Health Care LP
4.800% due 06/01/2024

 

32

 

32

Springleaf Finance Corp.

 

 

 

 

5.625% due 03/15/2023 (k)

 

771

 

761

6.125% due 03/15/2024

 

24

 

24

6.875% due 03/15/2025 (k)

 

1,025

 

1,040

Toll Road Investors Partnership LP
0.000% due 02/15/2045 (f)

 

194

 

63

Uniti Group LP
7.875% due 02/15/2025 (k)

 

1,005

 

942

Voyager Aviation Holdings LLC
8.500% due 08/15/2021 (k)

 

1,842

 

1,747

 

 

 

 

8,534

INDUSTRIALS 14.2%

 

 

 

 

Albertsons Cos., Inc.

 

 

 

 

3.500% due 02/15/2023

 

3

 

3

4.625% due 01/15/2027

 

2

 

2

4.875% due 02/15/2030

 

3

 

3

Arconic Corp.
6.125% due 02/15/2028

 

5

 

5

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

 

1,996

 

1,617

CCO Holdings LLC

 

 

 

 

4.500% due 08/15/2030

 

26

 

26

4.750% due 03/01/2030

 

36

 

36

Centene Corp.
4.750% due 01/15/2025

 

33

 

34

Charter Communications Operating LLC
4.800% due 03/01/2050

 

41

 

43

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

 

22

 

21

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

 

459

 

398

Community Health Systems, Inc.

 

 

 

 

6.250% due 03/31/2023 (k)

 

2,356

 

2,254

6.625% due 02/15/2025 (k)

 

221

 

206

 

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

March 31, 2020

(Unaudited)

 

8.000% due 03/15/2026 (k)

 

78

 

74

8.625% due 01/15/2024 (k)

 

236

 

235

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

 

14

 

14

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

 

1,017

 

1,183

DAE Funding LLC

 

 

 

 

4.000% due 08/01/2020

 

2

 

2

4.500% due 08/01/2022

 

10

 

9

5.000% due 08/01/2024

 

22

 

20

5.250% due 11/15/2021 (k)

 

102

 

93

5.750% due 11/15/2023 (k)

 

100

 

93

Dealer Tire LLC
8.000% due 02/01/2028

 

4

 

3

Diamond Resorts International, Inc.

 

 

 

 

7.750% due 09/01/2023

 

20

 

15

10.750% due 09/01/2024 (k)

 

500

 

309

DriveTime Automotive Group, Inc.
8.000% due 06/01/2021 (k)

 

330

 

294

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

 

400

 

363

Energy Transfer Operating LP

 

 

 

 

2.900% due 05/15/2025

 

5

 

4

3.750% due 05/15/2030

 

14

 

11

5.000% due 05/15/2050

 

14

 

11

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

 

382

 

96

Exela Intermediate LLC
10.000% due 07/15/2023

 

23

 

6

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

 

350

 

166

Front Range BidCo, Inc.

 

 

 

 

4.000% due 03/01/2027

 

56

 

54

6.125% due 03/01/2028

 

18

 

17

Full House Resorts, Inc.

 

 

 

 

8.575% due 01/31/2024

 

100

 

96

9.738% due 02/02/2024

 

8

 

8

General Electric Co.

 

 

 

 

5.875% due 01/14/2038

 

4

 

5

6.150% due 08/07/2037

 

2

 

2

6.875% due 01/10/2039

 

10

 

12

Griffon Corp.
5.750% due 03/01/2028

 

5

 

5

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

 

22

 

20

iHeartCommunications, Inc.

 

 

 

 

6.375% due 05/01/2026 (k)

 

233

 

222

8.375% due 05/01/2027 (k)

 

245

 

210

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

 

23

 

22

Kraft Heinz Foods Co.
3.950% due 07/15/2025 (k)

 

100

 

98

Kronos Acquisition Holdings, Inc.
9.000% due 08/15/2023 (k)

 

200

 

166

Lamar Media Corp.
3.750% due 02/15/2028

 

6

 

6

Laredo Petroleum, Inc.

 

 

 

 

9.500% due 01/15/2025

 

7

 

3

10.125% due 01/15/2028

 

11

 

4

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

 

4

 

4

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

 

7

 

7

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

 

30

 

33

MSCI, Inc.
3.625% due 09/01/2030

 

5

 

5

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

 

14

 

9

Netflix, Inc.
5.375% due 11/15/2029

 

12

 

13

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

 

45

 

11

Ortho-Clinical Diagnostics, Inc.

 

 

 

 

6.625% due 05/15/2022 (k)

 

14

 

13

7.250% due 02/01/2028

 

16

 

14

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

 

21

 

21

PetSmart, Inc.
5.875% due 06/01/2025

 

19

 

19

Prime Security Services Borrower LLC
6.250% due 01/15/2028

 

12

 

10

Radiology Partners, Inc.
9.250% due 02/01/2028

 

10

 

9

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

 

4

 

2

 

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

March 31, 2020

(Unaudited)

 

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

 

3

 

3

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

 

3

 

3

Station Casinos LLC
4.500% due 02/15/2028

 

2

 

2

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

 

32

 

28

Topaz Solar Farms LLC

 

 

 

 

4.875% due 09/30/2039 (k)

 

329

 

340

5.750% due 09/30/2039 (k)

 

2,167

 

2,393

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

 

18

 

16

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

 

8

 

7

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

 

23

 

19

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

 

51

 

26

Trident TPI Holdings, Inc.
9.250% due 08/01/2024

 

4

 

3

Triumph Group, Inc.

 

 

 

 

5.250% due 06/01/2022

 

4

 

3

6.250% due 09/15/2024

 

11

 

10

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

 

14

 

12

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

 

389

 

360

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

 

5

 

4

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

 

438

 

377

ViaSat, Inc.

 

 

 

 

5.625% due 09/15/2025

 

18

 

17

5.625% due 04/15/2027

 

4

 

4

Western Midstream Operating LP

 

 

 

 

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

 

9

 

5

3.100% due 02/01/2025

 

4

 

2

4.050% due 02/01/2030

 

4

 

2

5.250% due 02/01/2050

 

5

 

2

Wyndham Destinations, Inc.

 

 

 

 

3.900% due 03/01/2023

 

14

 

12

4.625% due 03/01/2030

 

5

 

4

5.750% due 04/01/2027 (k)

 

154

 

130

 

 

 

 

12,553

UTILITIES 6.4%

 

 

 

 

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

 

14

 

13

Edison International
5.750% due 06/15/2027

 

11

 

11

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

 

24

 

24

Pacific Gas & Electric Co.

 

 

 

 

3.300% due 03/15/2027 ^(d)(k)

 

132

 

127

3.400% due 08/15/2024 ^(d)(k)

 

85

 

83

3.500% due 10/01/2020 ^(d)(k)

 

388

 

382

3.500% due 06/15/2025 ^(d)(k)

 

151

 

147

3.750% due 08/15/2042 ^(d)

 

2

 

2

3.850% due 11/15/2023 ^(d)(k)

 

14

 

14

4.000% due 12/01/2046 ^(d)

 

2

 

2

4.250% due 05/15/2021 ^(d)(k)

 

373

 

369

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

 

24

 

23

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

 

26

 

25

4.600% due 06/15/2043 ^(d)

 

9

 

9

4.650% due 08/01/2028 ^(d)(k)

 

227

 

238

4.750% due 02/15/2044 ^(d)(k)

 

157

 

155

5.125% due 11/15/2043 ^(d)(k)

 

244

 

247

5.400% due 01/15/2040 ^(d)

 

4

 

4

5.800% due 03/01/2037 ^(d)(k)

 

644

 

659

6.050% due 03/01/2034 ^(d)(k)

 

323

 

328

6.250% due 03/01/2039 ^(d)(k)

 

151

 

155

6.350% due 02/15/2038 ^(d)(k)

 

57

 

58

Southern California Edison Co.

 

 

 

 

3.650% due 03/01/2028

 

2

 

2

3.650% due 02/01/2050

 

5

 

5

4.125% due 03/01/2048

 

16

 

17

4.650% due 10/01/2043

 

30

 

33

4.875% due 03/01/2049

 

40

 

46

5.750% due 04/01/2035

 

2

 

3

6.000% due 01/15/2034

 

20

 

24

6.650% due 04/01/2029

 

13

 

15

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

 

7

 

7

 

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

March 31, 2020

(Unaudited)

 

Sprint Corp.

 

 

 

 

7.125% due 06/15/2024 (k)

 

158

 

175

7.250% due 09/15/2021 (k)

 

100

 

104

7.250% due 02/01/2028

 

59

 

60

7.625% due 02/15/2025 (k)

 

394

 

439

7.625% due 03/01/2026 (k)

 

954

 

1,085

7.875% due 09/15/2023 (k)

 

527

 

584

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

 

4

 

3

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

 

20

 

16

 

 

 

 

5,693

Total Corporate Bonds & Notes (Cost $29,378)

 

 

 

26,780

CONVERTIBLE BONDS & NOTES 0.0%

 

 

 

 

INDUSTRIALS 0.0%

 

 

 

 

Caesars Entertainment Corp.
5.000% due 10/01/2024

 

28

 

29

Total Convertible Bonds & Notes (Cost $51)

 

 

 

29

MUNICIPAL BONDS & NOTES 0.8%

 

 

 

 

WEST VIRGINIA 0.8%

 

 

 

 

Tobacco Settlement Finance Authority, West Virginia Revenue Bonds, Series 2007
7.467% due 06/01/2047

 

780

 

757

Total Municipal Bonds & Notes (Cost $737)

 

 

 

757

U.S. GOVERNMENT AGENCIES 4.6%

 

 

 

 

Fannie Mae

 

 

 

 

4.497% due 07/25/2029 •(k)

 

169

 

157

4.513% due 02/25/2040 •

 

50

 

34

6.697% due 07/25/2029 •

 

230

 

150

Freddie Mac

 

 

 

 

0.000% due 02/25/2046 (b)(f)(k)

 

1,291

 

1,172

0.100% due 05/25/2020 - 02/25/2046 (a)

 

16,836

 

9

0.493% due 01/25/2021 ~(a)

 

2,458

 

6

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

 

6,293

 

484

0.716% due 10/25/2020 ~(a)

 

6,992

 

5

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

 

1,027

 

133

3.615% due 06/25/2041 ~(a)

 

10,500

 

342

3.981% due 04/25/2025 ~(k)

 

1,300

 

1,159

6.097% due 10/25/2029 •

 

250

 

131

8.497% due 12/25/2027 •

 

446

 

288

Total U.S. Government Agencies (Cost $4,462)

 

 

 

4,070

NON-AGENCY MORTGAGE-BACKED SECURITIES 46.5%

 

 

 

 

Adjustable Rate Mortgage Trust
4.060% due 01/25/2036 ^~

 

133

 

110

Banc of America Alternative Loan Trust
5.983% due 04/25/2037 ^~

 

141

 

133

Banc of America Funding Trust

 

 

 

 

3.150% due 12/20/2034 ~

 

287

 

180

3.747% due 03/20/2036 ~

 

71

 

60

5.806% due 03/25/2037 ^~

 

78

 

73

7.000% due 10/25/2037 ^

 

476

 

359

Banc of America Mortgage Trust

 

 

 

 

4.526% due 06/25/2035 ~

 

60

 

49

4.543% due 06/20/2031 ~

 

304

 

285

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

 

2,300

 

2,172

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

 

87

 

66

Bear Stearns ALT-A Trust

 

 

 

 

1.117% due 04/25/2037 •(k)

 

620

 

469

3.579% due 05/25/2036 ~

 

38

 

29

3.647% due 05/25/2036 ^~

 

198

 

165

3.716% due 08/25/2036 ^~

 

219

 

222

3.758% due 09/25/2034 ~

 

92

 

81

3.775% due 11/25/2036 ^~(k)

 

652

 

491

3.825% due 01/25/2047 ~

 

34

 

23

3.878% due 07/25/2035 ^~

 

135

 

109

3.884% due 08/25/2036 ^~

 

263

 

160

Bear Stearns Commercial Mortgage Securities Trust

 

 

 

 

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

 

830

 

850

5.745% due 04/12/2038 ~

 

40

 

40

BRAD Resecuritization Trust

 

 

 

 

2.193% due 03/12/2021 «

 

1,231

 

18

6.550% due 03/12/2021 «

 

295

 

294

 

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

March 31, 2020

(Unaudited)

 

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

 

266

 

196

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

 

16

 

16

CD Mortgage Trust
5.688% due 10/15/2048

 

1,039

 

602

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

 

218

 

157

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

 

673

 

413

Citigroup Mortgage Loan Trust

 

 

 

 

4.130% due 11/25/2035 ~

 

1,619

 

1,104

4.223% due 11/25/2036 ^~

 

81

 

70

4.685% due 08/25/2035 ^~

 

38

 

30

6.250% due 11/25/2037 ~

 

846

 

583

Citigroup Mortgage Loan Trust, Inc.
3.507% due 10/25/2035 ~

 

415

 

272

Citigroup Mortgage Loan Trust, Inc. Mortgage Pass-Through Certificates
3.950% due 09/25/2035 ^~

 

112

 

82

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

 

11

 

11

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

 

1,700

 

1,646

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

 

751

 

482

Commercial Mortgage Trust
5.895% due 07/10/2046 ~(k)

 

690

 

683

Countrywide Alternative Loan Trust

 

 

 

 

1.227% due 02/25/2037 •

 

202

 

161

1.237% due 02/25/2036 ^•(k)

 

612

 

457

1.497% due 10/25/2037 •

 

4,118

 

965

2.966% due 12/25/2035 •(k)

 

1,054

 

895

5.500% due 03/25/2035

 

485

 

304

6.000% due 11/25/2035 ^

 

172

 

49

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

 

2,751

 

1,888

Countrywide Home Loan Mortgage Pass-Through Trust

 

 

 

 

1.587% due 03/25/2035 •

 

130

 

102

2.817% due 03/25/2046 ^•(k)

 

611

 

360

3.711% due 02/20/2036 ^•

 

7

 

6

3.750% due 09/20/2036 ^~

 

105

 

86

3.792% due 09/25/2047 ^~

 

323

 

272

6.000% due 05/25/2037 ^

 

257

 

179

Credit Suisse Commercial Mortgage Trust

 

 

 

 

5.457% due 02/15/2040 ~(k)

 

3,222

 

579

5.869% due 09/15/2040 ~(k)

 

241

 

118

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

 

51

 

53

Credit Suisse Mortgage Capital Certificates
2.161% due 11/30/2037 ~(k)

 

2,900

 

2,298

Credit Suisse Mortgage Capital Mortgage-Backed Trust

 

 

 

 

5.896% due 04/25/2036 þ

 

205

 

136

6.000% due 07/25/2036

 

1,110

 

815

6.500% due 05/25/2036 ^

 

163

 

84

First Horizon Alternative Mortgage Securities Trust
3.610% due 08/25/2035 ^~

 

15

 

3

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

 

201

 

172

GS Mortgage Securities Corp. Trust
4.591% due 10/10/2032 ~

 

900

 

745

GS Mortgage Securities Trust

 

 

 

 

1.225% due 08/10/2043 ~(a)

 

8,764

 

86

2.174% due 05/10/2045 ~(a)

 

3,546

 

92

5.622% due 11/10/2039

 

512

 

391

GSR Mortgage Loan Trust
3.800% due 03/25/2047 ^~(k)

 

966

 

742

HarborView Mortgage Loan Trust
1.250% due 01/19/2036 •

 

598

 

415

IndyMac Mortgage Loan Trust

 

 

 

 

1.747% due 11/25/2034 •

 

94

 

76

3.381% due 05/25/2036 ~

 

130

 

86

4.239% due 06/25/2037 ~

 

229

 

183

JPMorgan Alternative Loan Trust
6.500% due 03/25/2036 ^(k)

 

1,051

 

783

JPMorgan Chase Commercial Mortgage Securities Corp.
1.593% due 03/12/2039 ~(a)

 

167

 

0

JPMorgan Chase Commercial Mortgage Securities Trust

 

 

 

 

0.488% due 02/15/2046 ~(a)

 

57,062

 

203

5.411% due 05/15/2047 (k)

 

1,544

 

1,790

6.059% due 02/12/2051 ~(k)

 

685

 

691

JPMorgan Mortgage Trust
4.688% due 07/25/2035 ~

 

40

 

35

LB-UBS Commercial Mortgage Trust

 

 

 

 

5.407% due 11/15/2038 ^(k)

 

299

 

169

5.562% due 02/15/2040 ^~

 

119

 

67

Lehman Mortgage Trust

 

 

 

 

5.000% due 08/25/2021 ^

 

63

 

63

 

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

March 31, 2020

(Unaudited)

 

5.829% due 04/25/2036 ^~

 

144

 

120

6.000% due 05/25/2037 ^

 

261

 

253

MASTR Adjustable Rate Mortgages Trust
3.892% due 11/25/2035 ^~

 

347

 

251

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

 

325

 

284

Merrill Lynch Mortgage Investors Trust

 

 

 

 

1.367% due 07/25/2030 •

 

52

 

47

1.607% due 11/25/2029 •

 

78

 

71

4.356% due 11/25/2035 •

 

93

 

85

Morgan Stanley Capital Trust

 

 

 

 

0.303% due 11/12/2049 ~(a)

 

5,399

 

8

5.399% due 12/15/2043

 

108

 

73

Morgan Stanley Mortgage Loan Trust

 

 

 

 

3.934% due 01/25/2035 ^~

 

225

 

157

6.000% due 08/25/2037 ^

 

206

 

132

Morgan Stanley Resecuritization Trust
4.033% due 03/26/2037 ~

 

4,257

 

3,729

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

 

165

 

155

Motel Trust
7.631% due 08/15/2024 •

 

1,049

 

830

Regal Trust
2.535% due 09/29/2031 •

 

15

 

14

Residential Accredit Loans, Inc. Trust

 

 

 

 

4.682% due 01/25/2036 ^~

 

297

 

253

6.000% due 08/25/2035 ^

 

236

 

218

6.000% due 06/25/2036 ^

 

126

 

109

6.500% due 09/25/2037 ^

 

216

 

194

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

 

203

 

107

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

 

190

 

173

Structured Adjustable Rate Mortgage Loan Trust

 

 

 

 

3.864% due 04/25/2036 ^~

 

281

 

199

3.868% due 01/25/2036 ^~

 

264

 

175

4.515% due 09/25/2036 ^~

 

108

 

92

Structured Asset Mortgage Investments Trust
1.157% due 08/25/2036 ^•

 

694

 

560

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

 

133

 

85

Wachovia Bank Commercial Mortgage Trust

 

 

 

 

0.936% due 10/15/2041 ~(a)

 

47

 

0

5.720% due 10/15/2048 ~(k)

 

1,783

 

1,734

WaMu Mortgage Pass-Through Certificates Trust

 

 

 

 

1.437% due 06/25/2044 •

 

365

 

314

2.484% due 11/25/2046 •(k)

 

397

 

331

3.740% due 12/25/2036 ^~

 

272

 

235

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

 

1,106

 

822

Wells Fargo Alternative Loan Trust
5.500% due 07/25/2022

 

5

 

5

Wells Fargo-RBS Commercial Mortgage Trust
0.794% due 02/15/2044 ~(a)

 

12,573

 

47

Total Non-Agency Mortgage-Backed Securities (Cost $42,596)

 

 

 

41,246

ASSET-BACKED SECURITIES 78.4%

 

 

 

 

Asset-Backed Securities Corp. Home Equity Loan Trust

 

 

 

 

2.042% due 02/25/2035 •(k)

 

3,041

 

2,879

2.672% due 12/25/2034 •(k)

 

1,450

 

1,344

4.174% due 06/21/2029 •

 

83

 

76

Bayview Financial Acquisition Trust
1.221% due 12/28/2036 •

 

49

 

49

Bear Stearns Asset-Backed Securities Trust

 

 

 

 

1.327% due 04/25/2036 •(k)

 

2,060

 

2,306

4.200% due 07/25/2036 ~

 

298

 

285

5.500% due 12/25/2035

 

36

 

29

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

 

1,185

 

404

Centex Home Equity Loan Trust
1.697% due 01/25/2035 •(k)

 

1,643

 

1,439

Citigroup Mortgage Loan Trust

 

 

 

 

1.107% due 12/25/2036 •(k)

 

1,486

 

904

1.167% due 12/25/2036 •(k)

 

818

 

383

1.397% due 11/25/2045 •(k)

 

2,488

 

2,435

1.647% due 11/25/2046 •(k)

 

1,900

 

966

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

 

3,248

 

2,661

Conseco Finance Securitizations Corp.

 

 

 

 

7.960% due 05/01/2031

 

345

 

174

9.163% due 03/01/2033 ~

 

794

 

682

Countrywide Asset-Backed Certificates

 

 

 

 

1.077% due 12/25/2036 ^•(k)

 

1,063

 

818

1.087% due 06/25/2035 •(k)

 

2,168

 

1,720

1.087% due 06/25/2047 ^•(k)

 

2,359

 

1,915

 

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

March 31, 2020

(Unaudited)

 

1.097% due 04/25/2047 ^•(k)

 

723

 

676

1.147% due 06/25/2037 ^•(k)

 

687

 

571

1.187% due 05/25/2036 •(k)

 

8,207

 

5,466

2.597% due 06/25/2035 •(k)

 

4,000

 

3,522

Countrywide Asset-Backed Certificates Trust

 

 

 

 

1.217% due 09/25/2046 •(k)

 

4,262

 

2,558

2.822% due 10/25/2035 •

 

2,104

 

1,331

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

 

1,900

 

1,900

EMC Mortgage Loan Trust

 

 

 

 

1.997% due 05/25/2040 •(k)

 

328

 

318

2.247% due 02/25/2041 •

 

292

 

268

Fremont Home Loan Trust
1.127% due 04/25/2036 •(k)

 

600

 

575

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

 

64

 

54

GSAMP Trust

 

 

 

 

2.697% due 12/25/2034 •

 

2,181

 

1,123

2.747% due 06/25/2035 •(k)

 

2,200

 

1,875

Harley Marine Financing LLC
7.869% due 05/15/2043 «

 

1,000

 

466

Home Equity Mortgage Loan Asset-Backed Trust
1.187% due 04/25/2037 •(k)

 

4,324

 

2,980

HSI Asset Securitization Corp. Trust
1.057% due 04/25/2037 •(k)

 

3,549

 

1,831

Marlette Funding Trust

 

 

 

 

0.000% due 07/16/2029 «(f)

 

3

 

589

0.000% due 03/15/2030 «(f)

 

8

 

3,170

MASTR Asset-Backed Securities Trust
1.057% due 08/25/2036 •(k)

 

3,077

 

1,455

Morgan Stanley ABS Capital, Inc. Trust
1.727% due 12/25/2034 •

 

143

 

113

Morgan Stanley Home Equity Loan Trust
2.012% due 05/25/2035 •(k)

 

1,913

 

1,079

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

 

3,500

 

1,065

People's Financial Realty Mortgage Securities Trust
1.077% due 09/25/2036 •

 

1,481

 

381

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

 

3,798

 

1,955

Residential Asset Securities Corp. Trust
1.637% due 08/25/2035 •(k)

 

4,350

 

3,548

Securitized Asset-Backed Receivables LLC Trust

 

 

 

 

1.377% due 01/25/2035 •

 

844

 

726

1.397% due 10/25/2035 •(k)

 

5,500

 

4,906

SoFi Consumer Loan Program LLC
0.000% due 11/25/2026 «(f)

 

22

 

891

SoFi Professional Loan Program LLC

 

 

 

 

0.000% due 03/25/2036 «(f)

 

10

 

69

0.000% due 01/25/2039 (f)

 

1,000

 

274

0.000% due 05/25/2040 (f)

 

1,000

 

339

0.000% due 09/25/2040 (f)

 

339

 

159

Structured Asset Investment Loan Trust

 

 

 

 

2.672% due 10/25/2034 •(k)

 

1,986

 

1,620

5.447% due 10/25/2033 •

 

68

 

58

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

 

239

 

229

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

 

1,856

 

0

Total Asset-Backed Securities (Cost $74,020)

 

 

 

69,609

 

 

SHARES

 

 

COMMON STOCKS 1.2%

 

 

 

 

COMMUNICATION SERVICES 0.1%

 

 

 

 

Clear Channel Outdoor Holdings, Inc. (e)

 

108,013

 

69

iHeartMedia, Inc. «

 

83

 

1

iHeartMedia, Inc. 'A' (e)

 

6,080

 

44

 

 

 

 

114

CONSUMER DISCRETIONARY 0.6%

 

 

 

 

Caesars Entertainment Corp. (e)

 

71,398

 

483

ENERGY 0.0%

 

 

 

 

Forbes Energy Services Ltd. (e)(i)

 

35,625

 

3

INDUSTRIALS 0.1%

 

 

 

 

Westmoreland Mining Holdings LLC «(i)

 

9,231

 

78

 

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

March 31, 2020

(Unaudited)

 

UTILITIES 0.4%

 

 

 

 

TexGen Power LLC «

 

9,914

 

372

Total Common Stocks (Cost $3,931)

 

 

 

1,050

WARRANTS 0.3%

 

 

 

 

COMMUNICATION SERVICES 0.3%

 

 

 

 

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

 

39,591

 

290

INDUSTRIALS 0.0%

 

 

 

 

Sequa Corp. - Exp. 04/28/2024 «

 

118,000

 

19

Total Warrants (Cost $876)

 

 

 

309

PREFERRED SECURITIES 1.4%

 

 

 

 

INDUSTRIALS 1.4%

 

 

 

 

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

 

53,000

 

44

Sequa Corp. (12.000% PIK)
12.000% «(c)

 

2,828

 

1,238

Total Preferred Securities (Cost $2,200)

 

 

 

1,282

REAL ESTATE INVESTMENT TRUSTS 2.0%

 

 

 

 

REAL ESTATE 2.0%

 

 

 

 

VICI Properties, Inc.

 

104,988

 

1,747

Total Real Estate Investment Trusts (Cost $1,538)

 

 

 

1,747

SHORT-TERM INSTRUMENTS 6.0%

 

 

 

 

REPURCHASE AGREEMENTS (j) 5.4%

 

 

 

4,755

U.S. TREASURY BILLS 0.6%

 

 

 

 

1.056% due 04/28/2020 (f)(g)(n)

 

495

 

495

Total Short-Term Instruments (Cost $5,250)

 

 

 

5,250

Total Investments in Securities (Cost $182,771)

 

 

 

165,592

Total Investments 186.6% (Cost $182,771)

 

 

$

165,592

Financial Derivative Instruments (l)(m) (0.2)%(Cost or Premiums, net $220)

 

 

 

(210)

Other Assets and Liabilities, net (86.4)%

 

 

 

(76,619)

Net Assets 100.0%

 

 

$

88,763

 

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

March 31, 2020

(Unaudited)

 

 

NOTES TO SCHEDULE OF INVESTMENTS:

 

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

 

¤

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

^

Security is in default.

«

Security valued using significant unobservable inputs (Level 3).

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. See Note 4, Securities and Other Investments, in the Notes to Financial Statements for more information regarding unfunded loan commitments.

~

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

•

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

þ

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

(a)

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

(b)

Principal only security.

(c)

Payment in-kind security.

(d)

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

(e)

Security did not produce income within the last twelve months.

(f)

Zero coupon security.

(g)

Coupon represents a yield to maturity.

(h)

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

(i)

RESTRICTED SECURITIES:

Issuer Description

 

 

Acquisition
Date

 

Cost

 

Market
Value

Market Value
as Percentage
of Net Assets

Forbes Energy Services Ltd.

 

 

07/29/2014

$

1,769

$

3

0.00

%

Westmoreland Mining Holdings LLC

 

 

12/08/2014

 

269

 

78

0.09

 

 

 

 

 

$

2,038

$

81

0.09%

BORROWINGS AND OTHER FINANCING TRANSACTIONS

(j)

REPURCHASE AGREEMENTS:

Counterparty

Lending
Rate

Settlement
Date

Maturity
Date

 

Principal
Amount

Collateralized By

 

Collateral
(Received)

 

Repurchase
Agreements,
at Value

 

Repurchase
Agreement
Proceeds
to be
Received

FICC

0.000%

03/31/2020

04/01/2020

$

555

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

$

(568)

$

555

$

555

RDR

0.000

03/31/2020

04/01/2020

 

4,200

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

 

(4,301)

 

4,200

 

4,200

Total Repurchase Agreements

 

$

(4,869)

$

4,755

$

4,755

REVERSE REPURCHASE AGREEMENTS:

Counterparty

Borrowing Rate(1)

Settlement Date

Maturity Date

 

Amount
Borrowed(1)

 

Payable for
Reverse
Repurchase
Agreements

BNY

2.722%

01/08/2020

04/09/2020

$

(6,854)

$

(6,898)

BOS

2.537

02/26/2020

04/24/2020

 

(5,280)

 

(5,293)

BPS

1.450

03/12/2020

04/13/2020

 

(1,515)

 

(1,516)

 

1.790

03/16/2020

TBD(2)

 

(1,021)

 

(1,021)

 

2.000

03/24/2020

04/22/2020

 

(2,250)

 

(2,251)

BRC

2.204

03/03/2020

06/03/2020

 

(372)

 

(373)

 

2.264

03/04/2020

06/03/2020

 

(138)

 

(138)

 

2.500

03/18/2020

04/22/2020

 

(850)

 

(851)

 

2.586

03/19/2020

04/27/2020

 

(1,450)

 

(1,451)

 

4.750

03/19/2020

TBD(2)

 

(1,655)

 

(1,655)

CEW

2.150

03/19/2020

04/21/2020

 

(241)

 

(241)

 

2.350

03/30/2020

04/30/2020

 

(213)

 

(213)

CIW

1.600

03/24/2020

04/28/2020

 

(1,112)

 

(1,112)

CSG

2.250

03/20/2020

TBD(2)

 

(1,598)

 

(1,598)

JML

1.360

03/12/2020

04/09/2020

 

(812)

 

(813)

 

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

March 31, 2020

(Unaudited)

 

JPS

2.650

01/06/2020

04/06/2020

 

(2,489)

 

(2,505)

MZF

2.000

03/06/2020

06/04/2020

 

(5,793)

 

(5,801)

NOM

2.350

03/03/2020

04/07/2020

 

(161)

 

(161)

RBC

2.051

03/06/2020

06/04/2020

 

(615)

 

(616)

RTA

2.117

02/18/2020

05/21/2020

 

(940)

 

(942)

 

2.132

02/11/2020

05/11/2020

 

(1,633)

 

(1,638)

 

2.195

01/31/2020

04/30/2020

 

(645)

 

(647)

 

2.641

02/04/2020

05/04/2020

 

(2,812)

 

(2,824)

 

2.641

02/05/2020

05/05/2020

 

(9,779)

 

(9,819)

 

2.670

01/29/2020

04/28/2020

 

(1,707)

 

(1,715)

SAL

2.731

02/10/2020

05/15/2020

 

(3,162)

 

(3,174)

SOG

1.500

03/17/2020

TBD(2)

 

(752)

 

(752)

 

2.450

03/24/2020

TBD(2)

 

(121)

 

(121)

 

2.736

01/16/2020

04/14/2020

 

(298)

 

(300)

 

2.786

01/17/2020

04/14/2020

 

(2,411)

 

(2,425)

 

2.822

01/08/2020

04/09/2020

 

(726)

 

(731)

UBS

1.300

03/16/2020

04/15/2020

 

(395)

 

(395)

 

1.350

03/10/2020

04/09/2020

 

(2,356)

 

(2,358)

 

1.350

03/16/2020

04/15/2020

 

(71)

 

(71)

 

1.450

03/06/2020

04/03/2020

 

(1,586)

 

(1,588)

 

1.450

03/09/2020

04/08/2020

 

(77)

 

(77)

 

1.450

03/10/2020

04/09/2020

 

(484)

 

(484)

 

1.600

03/10/2020

04/09/2020

 

(1,212)

 

(1,213)

 

2.000

03/26/2020

TBD(2)

 

(1,746)

 

(1,747)

 

2.020

02/19/2020

04/24/2020

 

(305)

 

(306)

 

2.050

02/11/2020

04/16/2020

 

(357)

 

(358)

 

2.100

04/03/2020

05/01/2020

 

(1,082)

 

(1,082)

 

2.120

02/19/2020

04/24/2020

 

(346)

 

(347)

 

2.150

02/11/2020

04/16/2020

 

(1,972)

 

(1,978)

 

2.270

02/19/2020

04/24/2020

 

(208)

 

(209)

 

2.487

01/17/2020

04/16/2020

 

(961)

 

(966)

 

2.515

03/03/2020

04/07/2020

 

(1,578)

 

(1,581)

 

2.691

02/05/2020

05/05/2020

 

(1,447)

 

(1,453)

 

2.784

01/10/2020

04/13/2020

 

(3,308)

 

(3,329)

 

2.850

01/06/2020

04/06/2020

 

(3,098)

 

(3,119)

Total Reverse Repurchase Agreements

 

 

 

 

 

$

(82,256)

(k)

Securities with an aggregate market value of $100,065 and cash of $4,003 have been pledged as collateral under the terms of master agreements as of March 31, 2020.

(1)

The average amount of borrowings outstanding during the period ended March 31, 2020 was $(73,594) at a weighted average interest rate of 2.849%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.

(2)

Open maturity reverse repurchase agreement.

(l)

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

U.S. Treasury 30-Year Bond June Futures

06/2020

 

1

$

(179)

 

$

(7)

$

2

$

0

Total Futures Contracts

 

$

(7)

$

2

$

0

SWAP AGREEMENTS:

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

 

Variation Margin

Reference Entity

Fixed
Receive Rate

Payment
Frequency

Maturity
Date

Implied
Credit Spread at
March 31, 2020(2)

 

Notional
Amount(3)

 

Premiums
Paid/
(Received)

 

Unrealized
Appreciation/
(Depreciation)

 

Market
Value(4)

 

Asset

 

Liability

Frontier Communications Corp.

5.000%

Quarterly

06/20/2020

1289.750

%

$

590

$

(33)

$

(398)

$

(431)

$

0

$

(12)

Sprint Communications, Inc.

5.000

Quarterly

12/20/2021

1.398

 

 

300

 

9

 

10

 

19

 

2

 

0

 

 

 

 

 

 

$

(24)

$

(388)

$

(412)

$

2

$

(12)

 

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

March 31, 2020

(Unaudited)

 

INTEREST RATE SWAPS

 

Variation Margin

Pay/
Receive
Floating Rate

Floating Rate Index

Fixed Rate

Payment
Frequency

Maturity
Date

 

Notional
Amount

 

Premiums
Paid/
(Received)

 

Unrealized
Appreciation/
(Depreciation)

 

Market
Value

 

Asset

 

Liability

Pay

3-Month USD-LIBOR

2.750%

Semi-Annual

12/19/2023

$

15,300

$

(131)

$

1,554

$

1,423

$

5

$

0

Pay

3-Month USD-LIBOR

1.750

Semi-Annual

12/21/2023

 

32,300

 

606

 

1,095

 

1,701

 

8

 

0

Pay

3-Month USD-LIBOR

1.750

Semi-Annual

12/21/2026

 

3,200

 

77

 

185

 

262

 

0

 

(5)

Pay

3-Month USD-LIBOR

3.000

Semi-Annual

06/19/2029

 

7,800

 

630

 

1,071

 

1,701

 

0

 

(38)

Receive

3-Month USD-LIBOR

3.000

Semi-Annual

12/19/2038

 

9,000

 

30

 

(3,537)

 

(3,507)

 

159

 

0

Receive

3-Month USD-LIBOR

2.000

Semi-Annual

01/15/2050

 

100

 

(1)

 

(29)

 

(30)

 

3

 

0

Receive

3-Month USD-LIBOR

1.625

Semi-Annual

01/16/2050

 

400

 

0

 

(78)

 

(78)

 

11

 

0

Receive

3-Month USD-LIBOR

1.750

Semi-Annual

01/22/2050

 

700

 

(4)

 

(157)

 

(161)

 

20

 

0

Receive

3-Month USD-LIBOR

1.625

Semi-Annual

02/03/2050

 

400

 

(1)

 

(78)

 

(79)

 

11

 

0

 

 

 

 

 

 

$

1,206

$

26

$

1,232

$

217

$

(43)

Total Swap Agreements

$

1,182

$

(362)

$

820

$

219

$

(55)

Cash of $1,031 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of March 31, 2020.

(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.

(m)

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

$

3,920

$

(780)

$

526

$

0

$

(254)

 

ABX.HE.PENAAA.7-1 Index

0.090

Monthly

08/25/2037

 

939

 

(182)

 

60

 

0

 

(122)

Total Swap Agreements

$

(962)

$

586

$

0

$

(376)

(n)

Securities with an aggregate market value of $495 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of March 31, 2020.

(1)

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 March 31, 2020 in valuing the Fund's assets and liabilities:

 

Category and Subcategory

Level 1

Level 2

Level 3

Fair Value
at 03/31/2020

 

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

March 31, 2020

(Unaudited)

 

Investments in Securities, at Value

Loan Participations and Assignments

$

0

$

8,712

$

4,751

$

13,463

 

Corporate Bonds & Notes

 

Banking & Finance

 

0

 

8,534

 

0

 

8,534

 

 

Industrials

 

0

 

12,553

 

0

 

12,553

 

 

Utilities

 

0

 

5,693

 

0

 

5,693

 

Convertible Bonds & Notes

 

Industrials

 

0

 

29

 

0

 

29

 

Municipal Bonds & Notes

 

West Virginia

 

0

 

757

 

0

 

757

 

U.S. Government Agencies

 

0

 

4,070

 

0

 

4,070

 

Non-Agency Mortgage-Backed Securities

 

0

 

40,934

 

312

 

41,246

 

Asset-Backed Securities

 

0

 

63,359

 

6,250

 

69,609

 

Common Stocks

 

Communication Services

 

113

 

0

 

1

 

114

 

 

Consumer Discretionary

 

483

 

0

 

0

 

483

 

 

Energy

 

0

 

3

 

0

 

3

 

 

Industrials

 

0

 

0

 

78

 

78

 

 

Utilities

 

0

 

0

 

372

 

372

 

Warrants

 

Communication Services

 

0

 

290

 

0

 

290

 

 

Industrials

 

0

 

0

 

19

 

19

 

Preferred Securities

 

Industrials

 

0

 

44

 

1,238

 

1,282

 

Real Estate Investment Trusts

 

Real Estate

 

1,747

 

0

 

0

 

1,747

 

Short-Term Instruments

 

Repurchase Agreements

 

0

 

4,755

 

0

 

4,755

 

 

U.S. Treasury Bills

 

0

 

495

 

0

 

495

 

Total Investments

$

2,343

$

150,228

$

13,021

$

165,592

 

Financial Derivative Instruments - Assets

Exchange-traded or centrally cleared

$

2

$

219

$

0

$

221

 

Financial Derivative Instruments - Liabilities

Exchange-traded or centrally cleared

 

0

 

(55)

 

0

 

(55)

 

Over the counter

 

0

 

(376)

 

0

 

(376)

 

 

$

0

$

(431)

$

0

$

(431)

 

Total Financial Derivative Instruments

$

2

$

(212)

$

0

$

(210)

 

Totals

$

2,345

$

150,016

$

13,021

$

165,382

 

 

 

 

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

Category and Subcategory

Beginning
Balance
at 06/30/2019

Net
Purchases

Net
Sales/Settlements

Accrued
Discounts/
(Premiums)

Realized
Gain/(Loss)

Net Change in
Unrealized
Appreciation/
(Depreciation) (1)

Transfers into
Level 3

Transfers out
of Level 3

Ending
Balance
at 03/31/2020

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

Investments in Securities, at Value

Loan Participations and Assignments

$

2,020

$

6,900

$

(2,699)

$

22

$

(719)

$

(588)

$

644

$

(829)

$

4,751

$

(326)

Non-Agency Mortgage-Backed Securities

 

377

 

0

 

(34)

 

2

 

0

 

(33)

 

0

 

0

 

312

 

(33)

Asset-Backed Securities

 

3,391

 

3,138

 

(379)

 

2

 

34

 

(1,001)

 

1,065

 

0

 

6,250

 

(1,023)

Common Stocks

 

Industrials

 

134

 

0

 

0

 

0

 

0

 

(56)

 

0

 

0

 

78

 

(55)

 

Telecommunication Services

 

0

 

0

 

0

 

0

 

0

 

0

 

1

 

0

 

1

 

0

 

Utilities

 

389

 

0

 

0

 

0

 

0

 

(17)

 

0

 

0

 

372

 

(17)

Warrants

 

Industrials

 

139

 

0

 

0

 

0

 

0

 

(120)

 

0

 

0

 

19

 

(120)

Preferred Securities

 

Industrials

 

2,763

 

262

 

0

 

0

 

0

 

(1,787)

 

0

 

0

 

1,238

 

(1,787)

Totals

$

9,213

$

10,300

$

(3,112)

$

26

$

(685)

$

(3,602)

$

1,710

$

(829)

$

13,021

$

(3,361)


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

 

(% Unless Noted Otherwise)

 

Category and Subcategory

Ending
Balance
at 03/31/2020

Valuation Technique

Unobservable Inputs

 

Input Value(s)

Weighted Average

Investments in Securities, at Value

Loan Participations and Assignments

$

3,000

Market Based Approach

Recovery Value

 

100.000

—

 

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

March 31, 2020

(Unaudited)

 

 

 

390

Reference Instrument

Spread

$

0.750

—

 

 

1,361

Third Party Vendor

Broker Quote

 

63.000 - 100.250

83.995

Non-Agency Mortgage-Backed Securities

 

312

Proxy Pricing

Base Price

 

1.500 - 99.500

93.707

Asset-Backed Securities

 

466

Other Valuation Techniques(2)

—

 

—

—

 

 

5,784

Proxy Pricing

Base Price

 

0.000 - 37,374.762

23,444.979

Common Stocks

 

Industrials

 

78

Other Valuation Techniques(2)

—

 

—

—

 

Telecommunication Services

 

1

Other Valuation Techniques(2)

—

 

—

—

 

Utilities

 

372

Indicative Market Quotation

Broker Quote

$

37.500

—

Warrants

 

Industrials

 

19

Other Valuation Techniques(2)

—

 

—

—

Preferred Securities

 

Industrials

 

1,238

Fundamental Valuation

Company Equity Value

$

328,700,000.000

—

Total

$

13,021

(1)

Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at March 31, 2020 may be due to an investment no longer held or categorized as Level 3 at period end.

(2)

Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not considered significant to the Fund.

 

 

​

Notes to Financial Statements    

        

1. INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS

(a) Investment Valuation Policies The net asset value (“NAV”) of the Fund's shares is determined by dividing the total value of portfolio investments and other assets attributable to the Fund less any liabilities by the total number of shares outstanding of the Fund.

On each day that the New York Stock Exchange (“NYSE”) is open, Fund shares are ordinarily valued as of the close of regular trading (normally 4:00 p.m., Eastern time) (“NYSE Close”). Information that becomes known to the Fund or its agents after the time as of which NAV has been calculated on a particular day will not generally be used to retroactively adjust the price of a security or the NAV determined earlier that day. The Fund reserves the right to change the time as of which its NAV is calculated if the Fund closes earlier, or as permitted by the U.S. Securities and Exchange Commission (“SEC”).

 

For purposes of calculating a NAV, portfolio securities and other assets for which market quotes are readily available are valued at market value. Market value is generally determined on the basis of official closing prices or the last reported sales prices, or if no sales are reported, based on quotes obtained from established market makers or prices (including evaluated prices) supplied by the Fund's approved pricing services, quotation reporting systems and other third-party sources (together, “Pricing Services”). The Fund will normally use pricing data for domestic equity securities received shortly after the NYSE Close and does not normally take into account trading, clearances or settlements that take place after the NYSE Close. If market value pricing is used, a foreign (non-U.S.) equity security traded on a foreign exchange or on more than one exchange is typically valued using pricing information from the exchange considered by Pacific Investment Management Company LLC (“PIMCO” or the “Manager”) to be the primary exchange. A foreign (non-U.S.) equity security will be valued as of the close of trading on the foreign exchange, or the NYSE Close, if the NYSE Close occurs before the end of trading on the foreign exchange. Domestic and foreign (non-U.S.) fixed income securities, non-exchange traded derivatives, and equity options are normally valued on the basis of quotes obtained from brokers and dealers or Pricing Services using data reflecting the earlier closing of the principal markets for those securities. Prices obtained from Pricing Services may be based on, among other things, information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. Certain fixed income securities purchased on a delayed-delivery basis are marked to market daily until settlement at the forward settlement date. Exchange-traded options, except equity options, futures and options on futures are valued at the settlement price determined by the relevant exchange. Swap agreements are valued on the basis of bid quotes obtained from brokers and dealers or market-based prices supplied by Pricing Services. The Fund's investments in open-end management investment companies, other than exchange-traded funds ("ETFs"), are valued at the NAVs of such investments.

 

If a foreign (non-U.S.) equity security’s value has materially changed after the close of the security’s primary exchange or principal market but before the NYSE Close, the security may be valued at fair value based on procedures established and approved by the Board of Trustees (the “Board”). Foreign (non-U.S.) equity securities that do not trade when the NYSE is open are also valued at fair value. With respect to foreign (non-U.S.) equity securities, the Fund may determine the fair value of investments based on information provided by Pricing Services and other third-party vendors, which may recommend fair value or adjustments with reference to other securities, indices or assets. In considering whether fair valuation is required and in determining fair values, the Fund may, among other things, consider significant events (which may be considered to include changes in the value of U.S. securities or securities indices) that occur after the close of the relevant market and before the NYSE Close. The Fund may utilize modeling tools provided by third-party vendors to determine fair values of foreign (non-U.S.) securities. For these purposes, any movement in the applicable reference index or instrument (“zero trigger”) relating to the foreign (non-U.S.) security being fair valued between the earlier close of the applicable foreign market and the NYSE Close may be deemed to be a significant event, prompting the application of the pricing model (effectively resulting in daily fair valuations). Foreign exchanges may permit trading in foreign (non-U.S.) equity securities on days when the Fund is not open for business, which may result in the Fund's portfolio investments being affected when shareholders are unable to buy or sell shares.

 

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

 

Investments valued in currencies other than the U.S. dollar are converted to the U.S. dollar using exchange rates obtained from Pricing Services. As a result, the value of such investments and, in turn, the NAV of the Fund's shares may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of investments traded in markets outside the United States or denominated in currencies other than the U.S. dollar may be affected significantly on a day that the Fund is not open for business. As a result, to the extent that the Fund holds foreign (non-U.S.) investments, the value of those investments may change at times when shareholders are unable to buy or sell shares and the value of such investments will be reflected in the Fund's next calculated NAV.

 

Investments for which market quotes or market based valuations are not readily available are valued at fair value as determined in good faith by the Board or persons acting at their direction. The Board has adopted methods for valuing securities and other assets in circumstances where market quotes are not readily available, and has delegated to PIMCO the responsibility for applying the fair valuation methods. In the event that market quotes or market based valuations are not readily available, and the security or asset cannot be valued pursuant to a Board approved valuation method, the value of the security or asset will be determined in good faith by the Board. Market quotes are considered not readily available in circumstances where there is an absence of current or reliable market-based data (e.g., trade information, bid/ask information, indicative market quotations (“Broker Quotes”), Pricing Services’ prices), including where events occur after the close of the relevant market, but prior to the NYSE Close, that materially affect the values of the Fund's securities or assets. In addition, market quotes are considered not readily available when, due to extraordinary circumstances, the exchanges or markets on which the securities trade do not open for trading for the entire day and no other market prices are available. The Board has delegated, to the Manager, the responsibility for monitoring significant events that may materially affect the values of the Fund's securities or assets and for determining whether the value of the applicable securities or assets should be reevaluated in light of such significant events.

 

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

 

(b) Fair Value Hierarchy U.S. GAAP describes fair value as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. It establishes a fair value hierarchy that prioritizes inputs to valuation methods and requires disclosure of the fair value hierarchy,

 

Notes to Financial Statements (Cont.)

 

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

 

• Level 1 — Quoted prices in active markets or exchanges for identical assets and liabilities.

 

• Level 2 — Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.

 

• Level 3 — Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair value of investments.

 

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

 

For fair valuations using significant unobservable inputs, U.S. GAAP requires a reconciliation of the beginning to ending balances for reported fair values that presents changes attributable to realized gain (loss), unrealized appreciation (depreciation), purchases and sales, accrued discounts (premiums), and transfers into and out of the Level 3 category during the period. The end of period value is used for the transfers between Levels of the Fund's assets and liabilities. Additionally, U.S. GAAP requires quantitative information regarding the significant unobservable inputs used in the determination of fair value of assets or liabilities categorized as Level 3 in the fair value hierarchy. In accordance with the requirements of U.S. GAAP, a fair value hierarchy, and if material, a Level 3 reconciliation and details of significant unobservable inputs, have been included in the Notes to Schedule of Investments for the Fund.

 

(c) Valuation Techniques and the Fair Value Hierarchy

Level 1 and Level 2 trading assets and trading liabilities, at fair value The valuation methods (or “techniques”) and significant inputs used in determining the fair values of portfolio securities or other assets and liabilities categorized as Level 1 and Level 2 of the fair value hierarchy are as follows:

 

Fixed income securities including corporate, convertible and municipal bonds and notes, U.S. government agencies, U.S. treasury obligations, sovereign issues, bank loans, convertible preferred securities and non-U.S. bonds are normally valued on the basis of quotes obtained from brokers and dealers or Pricing Services that use broker-dealer quotations, reported trades or valuation estimates from their internal pricing models. The Pricing Services' internal models use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar assets. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.

 

Fixed income securities purchased on a delayed-delivery basis or as a repurchase commitment in a sale-buyback transaction are marked to market daily until settlement at the forward settlement date and are categorized as Level 2 of the fair value hierarchy.

 

Mortgage-related and asset-backed securities are usually issued as separate tranches, or classes, of securities within each deal. These securities are also normally valued by Pricing Services that use broker-dealer quotations, reported trades or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche-level attributes, current market data, estimated cash flows and market-based yield spreads for each tranche, and incorporate deal collateral performance, as available. Mortgage-related and asset-backed securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.

 

Common stocks, ETFs, exchange-traded notes and financial derivative instruments, such as futures contracts, rights and warrants, or options on futures that are traded on a national securities exchange, are stated at the last reported sale or settlement price on the day of valuation. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy.

 

Valuation adjustments may be applied to certain securities that are solely traded on a foreign exchange to account for the market movement between the close of the foreign market and the NYSE Close. These securities are valued using Pricing Services that consider the correlation of the trading patterns of the foreign security to the intraday trading in the U.S. markets for investments. Securities using these valuation adjustments are categorized as Level 2 of the fair value hierarchy. Preferred securities and other equities traded on inactive markets or valued by reference to similar instruments are also categorized as Level 2 of the fair value hierarchy.

 

Equity exchange-traded options and over the counter financial derivative instruments, such as forward foreign currency contracts and options contracts derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These contracts are normally valued on the basis of quotes obtained from a quotation reporting system, established market makers or Pricing Services (normally determined as of the NYSE Close). Depending on the product and the terms of the transaction, financial derivative instruments can be valued by Pricing Services using a series of techniques, including simulation pricing models. The pricing models use inputs that are observed from actively quoted markets such as quoted prices, issuer details, indices, bid/ask spreads, interest rates, implied volatilities, yield curves, dividends and exchange rates. Financial derivative instruments that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.

 

Centrally cleared swaps and over the counter swaps derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. They are valued using a broker-dealer bid quotation or on market-based prices provided by Pricing Services (normally determined as of the NYSE Close). Centrally cleared swaps and over the counter swaps can be valued by Pricing Services using a series of techniques, including simulation pricing models. The pricing models may use inputs that are observed from actively quoted markets such as the overnight index swap rate, London Interbank Offered Rate forward rate, interest rates, yield curves and credit spreads. These securities are categorized as Level 2 of the fair value hierarchy.

 

March 31, 2020 (Unaudited)

 

 

Level 3 trading assets and trading liabilities, at fair value When a fair valuation method is applied by PIMCO that uses significant unobservable inputs, investments will be priced by a method that the Board or persons acting at their direction believe reflects fair value and are categorized as Level 3 of the fair value hierarchy. The valuation techniques and significant inputs used in determining the fair values of portfolio assets and liabilities categorized as Level 3 of the fair value hierarchy are as follows:

 

Proxy pricing procedures set the base price of a fixed income security and subsequently adjust the price proportionally to market value changes of a pre-determined security deemed to be comparable in duration, generally a U.S. Treasury or sovereign note based on country of issuance. The base price may be a broker-dealer quote, transaction price, or an internal value as derived by analysis of market data. The base price of the security may be reset on a periodic basis based on the availability of market data and procedures approved by the Valuation Oversight Committee. Significant changes in the unobservable inputs of the proxy pricing process (the base price) would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.

 

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

 

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

 

Fundamental analysis valuation estimates fair value by using an internal model that utilizes financial statements of the non-public underlying 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.

 

Market based valuation estimates fair value by projecting the company's market value, which may include unobservable inputs such as estimated recovery on assets. Significant changes in the unobservable inputs would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.

 

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

 

2. FEDERAL INCOME TAX MATTERS

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

 

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

 

In accordance with U.S. GAAP, the Manager has reviewed the Fund's tax positions for all open tax years. As of March 31, 2020, the Fund has recorded no liability for net unrecognized tax benefits relating to uncertain income tax positions it has taken or expects to take in future tax returns.

 

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

 

 

 

Glossary: (abbreviations that may be used in the preceding statements)

(Unaudited)
                 

Counterparty Abbreviations:

 

 

 

 

 

 

 

 

BNY

Bank of New York Mellon

FICC

Fixed Income Clearing Corporation

RBC

Royal Bank of Canada

BOS

BofA Securities, Inc.

GST

Goldman Sachs International

RDR

RBC Capital Markets LLC

BPS

BNP Paribas S.A.

JML

JP Morgan Securities Plc

RTA

RBC (Barbados) Trading Bank Corp.

BRC

Barclays Bank PLC

JPS

J.P. Morgan Securities LLC

SAL

Citigroup Global Markets, Inc.

CEW

Canadian Imperial Bank of Commerce

MZF

Mizuho Securities USA

SOG

Societe Generale Paris

CIW

CIBC World Markets Corp.

NOM

Nomura Securities International Inc.

UBS

UBS Securities LLC

CSG

Credit Suisse AG Cayman
                     

Currency Abbreviations:

 

 

 

 

 

 

 

 

USD (or $)

United States Dollar
                     

Index/Spread Abbreviations:

 

 

 

 

 

 

 

 

ABX.HE

Asset-Backed Securities Index - Home Equity

PRIME

Daily US Prime Rate

US0003M

3 Month USD Swap Rate

LIBOR03M

3 Month USD-LIBOR
                     

Other  Abbreviations:

 

 

 

 

 

 

 

 

ABS

Asset-Backed Security

PIK

Payment-in-Kind

TBD

To-Be-Determined

ALT

Alternate Loan Trust

TBA

To-Be-Announced

TBD%

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

LIBOR

London Interbank Offered Rate