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

Schedule of Investments PIMCO PCM Fund, Inc.

March 31, 2023

(Unaudited)

 

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

 

 

PRINCIPAL
AMOUNT
(000s)

 

MARKET
VALUE
(000s)

INVESTMENTS IN SECURITIES 189.5% ¤

 

 

 

 

LOAN PARTICIPATIONS AND ASSIGNMENTS 27.9%

 

 

 

 

AP Core Holdings LLC
10.340% (LIBOR01M + 5.500%) due 09/01/2027 ~

$

860

$

839

Diamond Sports Group LLC
12.775% (LIBOR03M + 8.150%) due 05/25/2026 ~

 

1,284

 

1,212

Encina Private Credit LLC
TBD% - 9.155% (LIBOR01M + 4.470%) due 11/30/2025 «~µ

 

2,573

 

2,492

Envision Healthcare Corp.

 

 

 

 

12.701% due 04/29/2027

 

1,185

 

1,173

16.326% due 04/28/2028

 

2,881

 

2,144

Exgen Texas Power LLC
11.533% (LIBOR03M + 6.750%) due 10/08/2026 «~

 

1,338

 

1,344

Forbes Energy Services LLC
TBD% due 06/30/2023 «

 

521

 

0

Ivanti Software, Inc.
9.212% (LIBOR03M + 4.250%) due 12/01/2027 ~

 

1,672

 

1,379

Lealand Finance Co. BV
7.840% (LIBOR01M + 3.000%) due 06/28/2024 ~

 

27

 

20

Lealand Finance Co. BV (5.840% Cash and 3.000% PIK)
8.840% (LIBOR01M + 1.000%) due 06/30/2025 ~(b)

 

200

 

135

Profrac Services LLC
TBD% - 12.420% due 03/04/2025

 

1,076

 

1,071

PUG LLC

 

 

 

 

8.340% (LIBOR01M + 3.500%) due 02/12/2027 ~

 

693

 

506

9.090% (LIBOR01M + 4.250%) due 02/12/2027 «~

 

282

 

204

Radiate Holdco LLC
8.090% (LIBOR01M + 3.250%) due 09/25/2026 ~

 

997

 

820

Redstone Holdco 2 LP
9.568% (LIBOR03M + 4.750%) due 04/27/2028 ~

 

1,233

 

975

Rising Tide Holdings, Inc.

 

 

 

 

9.703% (LIBOR03M + 4.750%) due 06/01/2028 ~

 

1,084

 

660

13.203% (LIBOR03M + 8.250%) due 06/01/2029 ~

 

168

 

46

Softbank Vision Fund
5.000% due 12/21/2025 «

 

749

 

706

Syniverse Holdings, Inc.
11.898% due 05/13/2027

 

2,014

 

1,793

Team Health Holdings, Inc.
7.590% (LIBOR01M + 2.750%) due 02/06/2024 ~

 

1,767

 

1,520

U.S. Renal Care, Inc.

 

 

 

 

9.875% (LIBOR01M + 5.000%) due 06/26/2026 ~

 

991

 

678

10.375% (LIBOR01M + 5.500%) due 06/26/2026 ~

 

1,462

 

1,000

Veritas U.S., Inc.
9.840% (LIBOR01M + 5.000%) due 09/01/2025 ~

 

1,197

 

915

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

 

936

 

705

Windstream Services LLC
TBD% - 11.157% due 09/21/2027 «

 

165

 

150

Total Loan Participations and Assignments (Cost $26,139)

 

 

 

22,487

CORPORATE BONDS & NOTES 23.7%

 

 

 

 

BANKING & FINANCE 5.5%

 

 

 

 

Navient Corp.
5.625% due 01/25/2025

 

51

 

46

Piper Sandler Cos.
5.200% due 10/15/2023

 

900

 

898

SVB Financial Group

 

 

 

 

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

 

284

 

162

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

 

100

 

61

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

 

200

 

116

Uniti Group LP

 

 

 

 

6.000% due 01/15/2030 (j)

 

1,065

 

624

10.500% due 02/15/2028

 

807

 

783

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

 

2,205

 

1,742

 

 

 

 

4,432

INDUSTRIALS 17.1%

 

 

 

 

Carvana Co.
10.250% due 05/01/2030

 

400

 

228

 

 

 

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

March 31, 2023

(Unaudited)

 

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

 

680

 

684

DISH DBS Corp.

 

 

 

 

5.250% due 12/01/2026 (j)

 

660

 

528

5.750% due 12/01/2028 (j)

 

400

 

299

DISH Network Corp.
11.750% due 11/15/2027 (j)

 

800

 

777

Exela Intermediate LLC
11.500% due 07/15/2026

 

17

 

2

Illuminate Buyer LLC
9.000% due 07/01/2028 (j)

 

500

 

444

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

 

9

 

10

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

 

1,783

 

1,579

Topaz Solar Farms LLC

 

 

 

 

4.875% due 09/30/2039 (j)

 

273

 

226

5.750% due 09/30/2039 (j)

 

1,867

 

1,774

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

 

712

 

188

Veritas U.S., Inc.
7.500% due 09/01/2025 (j)

 

1,200

 

904

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

 

965

 

1,020

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

 

4,180

 

3,720

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

 

1,752

 

1,437

 

 

 

 

13,820

UTILITIES 1.1%

 

 

 

 

Pacific Gas & Electric Co.

 

 

 

 

3.750% due 08/15/2042

 

2

 

2

4.000% due 12/01/2046

 

2

 

1

4.200% due 03/01/2029 (j)

 

500

 

458

4.300% due 03/15/2045 (j)

 

463

 

349

4.450% due 04/15/2042 (j)

 

22

 

17

4.500% due 12/15/2041 (j)

 

26

 

21

 

 

 

 

848

Total Corporate Bonds & Notes (Cost $21,774)

 

 

 

19,100

CONVERTIBLE BONDS & NOTES 0.6%

 

 

 

 

INDUSTRIALS 0.6%

 

 

 

 

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

 

700

 

447

Total Convertible Bonds & Notes (Cost $688)

 

 

 

447

MUNICIPAL BONDS & NOTES 1.4%

 

 

 

 

PUERTO RICO 1.4%

 

 

 

 

Commonwealth of Puerto Rico Bonds, Series 2022

 

 

 

 

0.000% due 11/01/2043

 

1,418

 

619

0.000% due 11/01/2051

 

1,234

 

468

Total Municipal Bonds & Notes (Cost $1,276)

 

 

 

1,087

U.S. GOVERNMENT AGENCIES 4.7%

 

 

 

 

Fannie Mae

 

 

 

 

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

 

3,106

 

598

10.595% due 07/25/2029 •(j)

 

230

 

252

Freddie Mac

 

 

 

 

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

 

6,033

 

398

1.305% due 05/25/2050 •(a)(j)

 

1,645

 

208

2.010% due 11/25/2045 ~(a)

 

1,027

 

81

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

 

1,873

 

239

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

 

5,797

 

1,267

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

 

383

 

17

9.995% due 10/25/2029 •(j)

 

250

 

267

12.395% due 12/25/2027 •

 

412

 

419

Total U.S. Government Agencies (Cost $3,891)

 

 

 

3,746

NON-AGENCY MORTGAGE-BACKED SECURITIES 48.3%

 

 

 

 

245 Park Avenue Trust
3.657% due 06/05/2037 ~(j)

 

1,065

 

786

Adjustable Rate Mortgage Trust
4.178% due 01/25/2036 ^~

 

50

 

43

Ashford Hospitality Trust
6.084% due 04/15/2035 ~(j)

 

900

 

842

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

March 31, 2023

(Unaudited)

 

Banc of America Alternative Loan Trust
5.376% due 04/25/2037 ^~

 

68

 

60

Banc of America Funding Trust

 

 

 

 

3.000% due 12/20/2034 ~

 

190

 

133

3.681% due 03/20/2036 ~

 

39

 

32

5.806% due 03/25/2037 ^~

 

39

 

39

7.000% due 10/25/2037 ^

 

330

 

231

Banc of America Mortgage Trust

 

 

 

 

3.648% due 06/25/2035 ~

 

38

 

32

4.535% due 06/20/2031 ~

 

168

 

162

Bancorp Commercial Mortgage Trust
8.434% due 08/15/2032 ~(j)

 

1,580

 

1,569

Barclays Commercial Mortgage Securities Trust

 

 

 

 

3.688% due 02/15/2053 ~(j)

 

1,000

 

753

7.634% due 10/15/2037 •(j)

 

900

 

832

BCAP LLC Trust
5.194% due 07/26/2036 ~

 

66

 

55

Bear Stearns ALT-A Trust

 

 

 

 

3.575% due 05/25/2036 ~

 

30

 

23

3.647% due 05/25/2036 ^~

 

125

 

89

3.731% due 11/25/2036 ^~

 

486

 

255

3.841% due 08/25/2036 ^~

 

186

 

95

3.856% due 01/25/2047 ~

 

22

 

10

4.125% due 09/25/2034 ~

 

63

 

59

4.200% due 07/25/2035 ^~

 

104

 

74

5.185% due 04/25/2037 •

 

399

 

337

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

 

30

 

21

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

 

40

 

38

BHP Trust
7.622% due 08/15/2036 ~(j)

 

588

 

543

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

 

120

 

111

CD Mortgage Trust
5.688% due 10/15/2048

 

62

 

55

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

 

159

 

87

Citigroup Commercial Mortgage Trust
5.084% due 12/10/2049 ~

 

345

 

159

Citigroup Mortgage Loan Trust

 

 

 

 

3.795% due 11/25/2036 ^~

 

1

 

1

3.864% due 11/25/2035 ~(j)

 

1,111

 

626

4.223% due 10/25/2035 ~

 

252

 

197

6.250% due 11/25/2037 ~

 

647

 

314

Citigroup Mortgage Loan Trust, Inc. Mortgage Pass-Through Certificates
3.621% due 09/25/2035 ^~

 

60

 

43

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

 

1,377

 

1,347

Commercial Mortgage Loan Trust
6.210% due 12/10/2049 ~

 

133

 

34

Connecticut Avenue Securities Trust
7.660% due 10/25/2041 •(j)

 

800

 

756

Countrywide Alternative Loan Trust

 

 

 

 

4.138% due 12/25/2035 •(j)

 

587

 

470

5.395% due 10/25/2037 •(j)

 

3,502

 

797

5.405% due 02/25/2037 •

 

124

 

101

5.425% due 02/25/2036 ^•

 

371

 

319

5.500% due 03/25/2035

 

375

 

172

6.000% due 11/25/2035 ^

 

160

 

28

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

 

2,134

 

1,048

Countrywide Home Loan Mortgage Pass-Through Trust

 

 

 

 

3.512% due 09/20/2036 ^~

 

62

 

52

3.631% due 09/25/2047 ^~

 

175

 

149

5.485% due 03/25/2035 •

 

69

 

57

5.910% due 02/20/2036 ^•

 

3

 

2

6.000% due 05/25/2037 ^

 

180

 

87

6.715% due 03/25/2046 ^•

 

328

 

211

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

 

31

 

31

Credit Suisse Mortgage Capital Mortgage-Backed Trust

 

 

 

 

6.000% due 07/25/2036 (j)

 

871

 

465

6.396% due 04/25/2036 þ

 

147

 

82

6.500% due 05/25/2036 ^

 

144

 

58

DBGS Mortgage Trust

 

 

 

 

0.181% due 10/15/2036 ~(a)

 

147,870

 

427

6.734% due 06/15/2033 •(j)

 

900

 

730

7.284% due 06/15/2033 •

 

200

 

156

Extended Stay America Trust
8.385% due 07/15/2038 ~(j)

 

879

 

827

First Horizon Alternative Mortgage Securities Trust
5.072% due 08/25/2035 ^~

 

2

 

0

Freddie Mac

 

 

 

 

12.060% due 10/25/2041 •(j)

 

1,100

 

1,025

12.360% due 11/25/2041 ~(j)

 

1,100

 

1,024

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

March 31, 2023

(Unaudited)

 

GS Mortgage Securities Corp. Trust

 

 

 

 

4.599% due 10/10/2032 ~(j)

 

800

 

719

4.599% due 10/10/2032 ~

 

100

 

87

GS Mortgage Securities Trust
0.459% due 08/10/2043 ~(a)

 

1,799

 

14

GSR Mortgage Loan Trust
3.530% due 03/25/2047 ^~

 

583

 

373

HarborView Mortgage Loan Trust
5.261% due 01/19/2036 •

 

403

 

247

IndyMac INDA Mortgage Loan Trust
3.613% due 06/25/2037 ~

 

101

 

74

IndyMac INDX Mortgage Loan Trust

 

 

 

 

3.164% due 05/25/2036 ~

 

91

 

46

5.645% due 11/25/2034 •

 

56

 

48

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

 

749

 

438

JP Morgan Chase Commercial Mortgage Securities Trust

 

 

 

 

0.392% due 02/15/2046 «~(a)(j)

 

53,587

 

92

6.048% due 02/12/2051 ~

 

31

 

255

6.201% due 07/05/2033 •(j)

 

843

 

743

8.934% due 02/15/2035 •(j)

 

786

 

736

11.075% due 11/15/2038 •(j)

 

900

 

802

JP Morgan Mortgage Trust
3.938% due 07/25/2035 ~

 

11

 

11

Lehman Mortgage Trust

 

 

 

 

5.898% due 04/25/2036 ^~

 

162

 

108

6.000% due 05/25/2037 ^

 

6

 

6

MASTR Adjustable Rate Mortgages Trust
4.108% due 11/25/2035 ^~

 

227

 

133

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

 

155

 

103

Merrill Lynch Mortgage Investors Trust

 

 

 

 

2.969% due 05/25/2033 ~

 

2

 

2

3.821% due 02/25/2034 ~

 

3

 

3

4.124% due 11/25/2035 ~

 

39

 

37

5.265% due 07/25/2030 •

 

18

 

17

5.505% due 11/25/2029 •

 

47

 

41

MFA Trust

 

 

 

 

3.744% due 08/25/2061 ~(j)

 

1,000

 

854

4.280% due 12/25/2066 ~(j)

 

1,000

 

729

Morgan Stanley Capital Trust

 

 

 

 

0.000% due 11/12/2049 ~(a)

 

1,000

 

0

9.159% due 11/15/2034 •

 

400

 

380

Morgan Stanley Mortgage Loan Trust

 

 

 

 

4.334% due 01/25/2035 ^~

 

171

 

133

6.000% due 08/25/2037 ^

 

136

 

58

Morgan Stanley Re-REMIC Trust
4.026% due 03/26/2037 ~(j)

 

1,797

 

1,538

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

 

100

 

90

Natixis Commercial Mortgage Securities Trust

 

 

 

 

4.058% due 04/10/2037 ~(j)

 

1,197

 

837

8.772% due 03/15/2035 •(j)

 

304

 

291

10.020% due 03/15/2035 •(j)

 

608

 

577

New Residential Mortgage Loan Trust
3.882% due 11/25/2059 ~(j)

 

2,900

 

1,389

Nomura Asset Acceptance Corp. Alternative Loan Trust
5.915% due 02/25/2035 •(j)

 

210

 

202

Regal Trust
3.357% due 09/29/2031 •

 

11

 

10

Residential Accredit Loans, Inc. Trust

 

 

 

 

4.930% due 01/25/2036 ^~

 

167

 

127

6.000% due 08/25/2035 ^

 

126

 

107

6.000% due 06/25/2036 ^

 

67

 

54

6.500% due 09/25/2037 ^

 

122

 

98

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

 

181

 

57

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

 

92

 

78

Structured Adjustable Rate Mortgage Loan Trust

 

 

 

 

3.624% due 04/25/2036 ^~

 

157

 

94

3.939% due 09/25/2036 ^

 

26

 

23

4.115% due 01/25/2036 ^~

 

175

 

106

Structured Asset Mortgage Investments Trust
5.265% due 08/25/2036 ^~(j)

 

308

 

243

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

 

102

 

41

Tharaldson Hotel Portfolio Trust
8.190% due 11/11/2034 •(j)

 

1,126

 

1,061

Wachovia Bank Commercial Mortgage Trust
0.675% due 10/15/2041 ~(a)

 

17

 

0

WaMu Mortgage Pass-Through Certificates Trust

 

 

 

 

3.489% due 12/25/2036 ^~(j)

 

157

 

137

4.638% due 10/25/2046 ~

 

699

 

614

4.638% due 11/25/2046 ~(j)

 

456

 

388

5.745% due 10/25/2045 •(j)

 

2,463

 

2,007

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

March 31, 2023

(Unaudited)

 

5.825% due 06/25/2044 ~

 

166

 

149

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

 

658

 

537

Wells Fargo Commercial Mortgage Trust
4.928% due 12/15/2039 ~(j)

 

1,042

 

919

Worldwide Plaza Trust
3.596% due 11/10/2036 ~(j)

 

2,400

 

713

Total Non-Agency Mortgage-Backed Securities (Cost $45,031)

 

 

 

38,937

ASSET-BACKED SECURITIES 64.9%

 

 

 

 

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

 

1,122

 

813

Asset-Backed Securities Corp. Home Equity Loan Trust

 

 

 

 

5.940% due 02/25/2035 •(j)

 

1,396

 

1,385

8.028% due 06/21/2029 •

 

58

 

56

Bear Stearns Asset-Backed Securities Trust

 

 

 

 

3.893% due 07/25/2036 ~

 

61

 

61

5.415% due 04/25/2036 •(j)

 

1,982

 

2,710

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

 

1,185

 

167

Citigroup Mortgage Loan Trust

 

 

 

 

5.005% due 12/25/2036 •(j)

 

1,070

 

598

5.065% due 12/25/2036 •(j)

 

653

 

276

5.520% due 11/25/2045 •(j)

 

37

 

37

5.545% due 11/25/2046 •(j)

 

1,100

 

886

8.370% due 12/25/2033 •(j)

 

1,003

 

1,013

Conseco Finance Securitizations Corp.

 

 

 

 

7.960% due 05/01/2031

 

324

 

101

9.163% due 03/01/2033 ~

 

742

 

683

Countrywide Asset-Backed Certificates Trust

 

 

 

 

4.995% due 04/25/2047 ^•

 

44

 

44

5.045% due 06/25/2037 ^•(j)

 

499

 

477

5.105% due 12/25/2036 ^•(j)

 

751

 

677

5.115% due 09/25/2046 •(j)

 

4,144

 

3,326

5.325% due 05/25/2036 •(j)

 

7,681

 

6,355

6.495% due 06/25/2035 •(j)

 

4,000

 

3,910

6.720% due 10/25/2035 •(j)

 

2,212

 

1,715

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

 

600

 

392

EMC Mortgage Loan Trust

 

 

 

 

5.895% due 05/25/2040 ~

 

111

 

104

6.145% due 02/25/2041 •

 

184

 

177

Flagship Credit Auto Trust

 

 

 

 

0.000% due 06/15/2026 «(e)

 

2

 

88

0.000% due 06/15/2029 «(e)

 

14

 

2,509

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

 

27

 

22

GSAMP Trust

 

 

 

 

6.645% due 06/25/2035 •(j)

 

2,200

 

2,105

7.470% due 12/25/2034 ~(j)

 

2,151

 

1,632

Home Equity Mortgage Loan Asset-Backed Trust

 

 

 

 

5.085% due 04/25/2037 •(j)

 

3,357

 

2,196

5.595% due 10/25/2035 •

 

127

 

124

HSI Asset Securitization Corp. Trust

 

 

 

 

4.955% due 04/25/2037 •(j)

 

2,856

 

1,469

5.185% due 12/25/2036 •(j)

 

4,329

 

1,160

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

 

736

 

349

Marlette Funding Trust

 

 

 

 

0.000% due 07/16/2029 «(e)

 

5

 

375

0.000% due 03/15/2030 «(e)

 

8

 

288

MASTR Asset-Backed Securities Trust
5.065% due 08/25/2036 •(j)

 

2,517

 

983

Morgan Stanley ABS Capital, Inc. Trust

 

 

 

 

4.985% due 10/25/2036 ~(j)

 

8,123

 

3,614

5.625% due 12/25/2034 •

 

98

 

88

Morgan Stanley Home Equity Loan Trust
5.910% due 05/25/2035 •(j)

 

1,917

 

1,576

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

 

3,500

 

1,064

People's Financial Realty Mortgage Securities Trust
4.975% due 09/25/2036 ~

 

5,733

 

1,129

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

 

3,358

 

1,557

Securitized Asset-Backed Receivables LLC Trust
5.490% due 01/25/2035 •

 

224

 

221

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

 

0

 

253

SoFi Professional Loan Program LLC
0.000% due 01/25/2039 «(e)

 

1,000

 

71

Sofi Professional Loan Program LLC
0.000% due 05/25/2040 (e)

 

1,000

 

100

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

 

339

 

46

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

March 31, 2023

(Unaudited)

 

Soundview Home Loan Trust
5.795% due 10/25/2037 ~(j)

 

1,708

 

1,243

Structured Asset Investment Loan Trust

 

 

 

 

6.570% due 10/25/2034 •(j)

 

1,986

 

1,906

9.345% due 10/25/2033 •

 

68

 

74

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

 

74

 

66

Total Asset-Backed Securities (Cost $60,746)

 

 

 

52,271

 

 

SHARES

 

 

COMMON STOCKS 3.8%

 

 

 

 

COMMUNICATION SERVICES 0.2%

 

 

 

 

Clear Channel Outdoor Holdings, Inc. (d)

 

108,013

 

130

CONSUMER DISCRETIONARY 0.2%

 

 

 

 

iHeartMedia, Inc. 'A' (d)

 

25,745

 

101

iHeartMedia, Inc. 'B' «(d)

 

20,009

 

70

 

 

 

 

171

ENERGY 0.1%

 

 

 

 

Axis Energy Services 'A' «(d)(h)

 

3,344

 

110

INDUSTRIALS 3.0%

 

 

 

 

Mcdermott International Ltd. «(d)

 

7,216

 

2

Neiman Marcus Group Ltd. LLC «(d)(h)

 

13,191

 

2,038

Syniverse Holdings, Inc. «(h)

 

331,150

 

312

Voyager Aviation Holdings LLC «(d)

 

307

 

0

Westmoreland Mining Holdings «(d)(h)

 

9,231

 

28

 

 

 

 

2,380

UTILITIES 0.3%

 

 

 

 

TexGen Power LLC «(d)(h)

 

9,914

 

275

Total Common Stocks (Cost $3,244)

 

 

 

3,066

WARRANTS 0.7%

 

 

 

 

INFORMATION TECHNOLOGY 0.7%

 

 

 

 

Windstream Holdings LLC - Exp. 9/21/2055 «

 

43,518

 

590

Total Warrants (Cost $316)

 

 

 

590

PREFERRED SECURITIES 0.5%

 

 

 

 

FINANCIALS 0.0%

 

 

 

 

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

 

11,000

 

1

INDUSTRIALS 0.5%

 

 

 

 

Voyager Aviation Holdings LLC «

 

1,842

 

427

Total Preferred Securities (Cost $605)

 

 

 

428

REAL ESTATE INVESTMENT TRUSTS 0.8%

 

 

 

 

REAL ESTATE 0.8%

 

 

 

 

CBL & Associates Properties, Inc.

 

4,345

 

112

Uniti Group, Inc.

 

34,736

 

123

VICI Properties, Inc.

 

13,531

 

441

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

March 31, 2023

(Unaudited)

 

Total Real Estate Investment Trusts (Cost $332)

 

 

 

676

 

 

PRINCIPAL
AMOUNT
(000s)

 

 

SHORT-TERM INSTRUMENTS 12.2%

 

 

 

 

REPURCHASE AGREEMENTS (i) 11.9%

 

 

 

9,625

U.S. TREASURY BILLS 0.3%

 

 

 

 

4.800% due 05/25/2023 (e)(f)(m)

 

252

 

250

Total Short-Term Instruments (Cost $9,875)

 

 

 

9,875

Total Investments in Securities (Cost $173,917)

 

 

 

152,710

Total Investments 189.5% (Cost $173,917)

 

 

$

152,710

Financial Derivative Instruments (k)(l) (0.4)%(Cost or Premiums, net $1,757)

 

 

 

(284)

Other Assets and Liabilities, net (89.1)%

 

 

 

(71,849)

Net Assets 100.0%

 

 

$

80,577

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

March 31, 2023

(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

Axis Energy Services 'A'

 

 

07/01/2021

$

49

$

110

0.14

%

Neiman Marcus Group Ltd. LLC

 

 

09/25/2020

 

425

 

2,038

2.53

 

Syniverse Holdings, Inc.

 

 

05/12/2022 - 11/30/2022

 

325

 

312

0.39

 

TexGen Power LLC

 

 

07/20/2018

 

314

 

275

0.34

 

Westmoreland Mining Holdings

 

 

12/08/2014

 

269

 

28

0.03

 

 

 

 

 

$

1,382

$

2,763

3.43% 

BORROWINGS AND OTHER FINANCING TRANSACTIONS

(i)

REPURCHASE AGREEMENTS:

Counterparty

Lending
Rate

Settlement
Date

Maturity
Date

 

Principal
Amount

Collateralized By

 

Collateral
(Received)

 

Repurchase
Agreements,
at Value

 

Repurchase
Agreement
Proceeds
to be
Received(1)

FICC

2.200%

03/31/2023

04/03/2023

$

525

U.S. Treasury Inflation Protected Securities 0.125% due 07/15/2024

$

(536)

$

525

$

525

 

4.830

03/31/2023

04/03/2023

 

9,100

U.S. Treasury Inflation Protected Securities 2.125% due 02/15/2041

 

(9,282)

 

9,100

 

9,104

Total Repurchase Agreements

 

$

(9,818)

$

9,625

$

9,629

REVERSE REPURCHASE AGREEMENTS:

Counterparty

Borrowing Rate(2)

Settlement Date

Maturity Date

 

Amount
Borrowed(2)

 

Payable for
Reverse
Repurchase
Agreements

BNY

5.450%

10/20/2022

04/20/2023

$

(4,874)

$

(4,995)

BOS

5.100

01/10/2023

04/12/2023

 

(290)

 

(293)

 

5.540

03/13/2023

04/13/2023

 

(174)

 

(174)

 

5.820

03/14/2023

07/13/2023

 

(1,435)

 

(1,439)

 

5.970

03/14/2023

07/13/2023

 

(1,494)

 

(1,498)

BPS

5.100

01/09/2023

04/06/2023

 

(15)

 

(15)

 

5.230

02/17/2023

06/20/2023

 

(668)

 

(673)

 

5.500

01/27/2023

07/27/2023

 

(355)

 

(358)

 

5.500

03/14/2023

07/14/2023

 

(2,030)

 

(2,036)

 

5.550

01/09/2023

07/10/2023

 

(449)

 

(455)

 

5.550

03/02/2023

07/31/2023

 

(5,173)

 

(5,198)

 

5.550

03/30/2023

07/31/2023

 

(212)

 

(212)

 

5.919

01/09/2023

05/10/2023

 

(497)

 

(504)

 

5.970

03/09/2023

07/07/2023

 

(5,716)

 

(5,739)

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

March 31, 2023

(Unaudited)

 

 

5.970

03/16/2023

07/14/2023

 

(2,216)

 

(2,223)

 

6.169

01/09/2023

05/10/2023

 

(594)

 

(603)

 

6.270

03/09/2023

07/07/2023

 

(1,309)

 

(1,315)

BRC

6.000

01/17/2023

07/19/2023

 

(277)

 

(281)

 

6.050

01/17/2023

07/19/2023

 

(3,190)

 

(3,230)

 

6.090

02/10/2023

08/10/2023

 

(1,590)

 

(1,604)

 

6.100

01/17/2023

07/19/2023

 

(609)

 

(617)

 

6.170

01/06/2023

06/06/2023

 

(544)

 

(552)

 

6.270

01/06/2023

06/06/2023

 

(580)

 

(588)

 

6.310

02/24/2023

08/24/2023

 

(2,094)

 

(2,108)

 

6.350

03/07/2023

09/07/2023

 

(2,366)

 

(2,377)

CIB

5.390

01/17/2023

07/17/2023

 

(18)

 

(18)

IND

5.150

03/30/2023

06/09/2023

 

(1,375)

 

(1,375)

 

5.800

03/09/2023

06/09/2023

 

(2,563)

 

(2,574)

JPS

6.023

02/01/2023

07/31/2023

 

(1,405)

 

(1,420)

MSB

6.120

02/03/2023

07/31/2023

 

(762)

 

(769)

MZF

5.910

03/22/2023

09/22/2023

 

(4,860)

 

(4,870)

 

6.080

03/28/2023

09/25/2023

 

(368)

 

(369)

RBC

5.760

03/13/2023

07/13/2023

 

(677)

 

(679)

RCY

5.400

01/17/2023

07/17/2023

 

(1,999)

 

(2,021)

RTA

6.000

01/12/2023

04/12/2023

 

(2,139)

 

(2,166)

SOG

5.000

03/24/2023

TBD(3)

 

(423)

 

(423)

 

5.470

03/07/2023

06/07/2023

 

(913)

 

(917)

 

5.520

02/02/2023

08/02/2023

 

(1,421)

 

(1,434)

 

5.970

03/07/2023

08/04/2023

 

(540)

 

(542)

TDM

5.000

03/24/2023

TBD(3)

 

(677)

 

(678)

UBS

5.260

03/30/2023

04/19/2023

 

(136)

 

(136)

ULO

5.680

01/13/2023

04/13/2023

 

(3,465)

 

(3,509)

 

5.780

01/13/2023

04/13/2023

 

(5,668)

 

(5,741)

 

6.540

03/10/2023

09/11/2023

 

(4,251)

 

(4,270)

Total Reverse Repurchase Agreements

 

 

 

 

 

$

(72,998)

(j)

Securities with an aggregate market value of $93,139 and cash of $273 have been pledged as collateral under the terms of master agreements as of March 31, 2023.

(1)

Includes accrued interest.

(2)

The average amount of borrowings outstanding during the period ended March 31, 2023 was $(72,189) at a weighted average interest rate of 4.142%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.

(3)

Open maturity reverse repurchase agreement.

(k)

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

03/2024

 

5

$

(1,196)

 

$

20

$

0

$

0

3-Month SOFR Active Contract December Futures

03/2025

 

1

 

(242)

 

 

2

 

0

 

0

3-Month SOFR Active Contract December Futures

03/2026

 

1

 

(243)

 

 

2

 

0

 

0

3-Month SOFR Active Contract June Futures

09/2024

 

2

 

(482)

 

 

6

 

0

 

0

3-Month SOFR Active Contract June Futures

09/2025

 

2

 

(485)

 

 

4

 

0

 

(1)

3-Month SOFR Active Contract March Futures

06/2024

 

4

 

(961)

 

 

14

 

0

 

(1)

3-Month SOFR Active Contract March Futures

06/2025

 

2

 

(485)

 

 

4

 

0

 

(1)

3-Month SOFR Active Contract March Futures

06/2026

 

1

 

(243)

 

 

2

 

0

 

0

3-Month SOFR Active Contract September Futures

12/2024

 

2

 

(484)

 

 

5

 

0

 

0

3-Month SOFR Active Contract September Futures

12/2025

 

1

 

(243)

 

 

2

 

0

 

0

Total Futures Contracts

 

$

61

$

0

$

(3)

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, 2023(2)

 

Notional
Amount(3)

 

Premiums
Paid/
(Received)

 

Unrealized
Appreciation/
(Depreciation)

 

Market
Value(4)

 

Asset

 

Liability

Ford Motor Credit Co. LLC

5.000%

Quarterly

06/20/2027

2.892

%

$

800

$

84

$

(21)

$

63

$

2

$

0

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

March 31, 2023

(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

1-Day USD-SOFR Compounded-OIS

4.875%

Annual

12/21/2023

$

38,500

$

(54)

$

86

$

32

$

0

$

(3)

Receive(5)

1-Day USD-SOFR Compounded-OIS

2.450

Annual

12/20/2024

 

3,800

 

0

 

47

 

47

 

0

 

(3)

Receive(5)

1-Day USD-SOFR Compounded-OIS

2.350

Annual

01/17/2025

 

1,900

 

0

 

23

 

23

 

0

 

(2)

Receive(5)

1-Day USD-SOFR Compounded-OIS

2.300

Annual

01/17/2026

 

300

 

0

 

6

 

6

 

0

 

(1)

Pay(5)

1-Day USD-SOFR Compounded-OIS

3.000

Annual

06/21/2030

 

6,900

 

(134)

 

60

 

(74)

 

30

 

0

Receive

1-Day USD-SOFR Compounded-OIS

1.750

Annual

06/15/2052

 

5,700

 

994

 

401

 

1,395

 

0

 

(57)

Receive

1-Day USD-SOFR Compounded-OIS

1.750

Annual

12/21/2052

 

2,800

 

674

 

(1)

 

673

 

0

 

(28)

Pay

3-Month USD-LIBOR

1.250

Semi-Annual

12/15/2026

 

200

 

(1)

 

(16)

 

(17)

 

0

 

0

Pay

3-Month USD-LIBOR

1.550

Semi-Annual

01/20/2027

 

1,900

 

(7)

 

(156)

 

(163)

 

5

 

0

Pay

3-Month USD-LIBOR

0.500

Semi-Annual

06/16/2028

 

140

 

(7)

 

(14)

 

(21)

 

0

 

0

Pay

3-Month USD-LIBOR

1.700

Semi-Annual

01/12/2029

 

2,000

 

(8)

 

(203)

 

(211)

 

6

 

0

Pay

3-Month USD-LIBOR

3.000

Semi-Annual

06/19/2029

 

7,800

 

630

 

(823)

 

(193)

 

27

 

0

Pay

3-Month USD-LIBOR

1.250

Semi-Annual

06/17/2030

 

3,450

 

151

 

(643)

 

(492)

 

13

 

0

Receive

3-Month USD-LIBOR

1.370

Semi-Annual

07/19/2031

 

100

 

0

 

16

 

16

 

0

 

0

Receive

3-Month USD-LIBOR

1.360

Semi-Annual

07/20/2031

 

100

 

0

 

16

 

16

 

0

 

0

Receive

3-Month USD-LIBOR

3.000

Semi-Annual

12/19/2038

 

5,200

 

18

 

252

 

270

 

0

 

(41)

Receive

3-Month USD-LIBOR

2.000

Semi-Annual

01/15/2050

 

100

 

(1)

 

25

 

24

 

0

 

(1)

Receive

3-Month USD-LIBOR

1.625

Semi-Annual

01/16/2050

 

400

 

0

 

123

 

123

 

0

 

(4)

Receive

3-Month USD-LIBOR

1.750

Semi-Annual

01/22/2050

 

700

 

(4)

 

203

 

199

 

0

 

(7)

Receive

3-Month USD-LIBOR

1.625

Semi-Annual

02/03/2050

 

400

 

(2)

 

124

 

122

 

0

 

(4)

Receive

3-Month USD-LIBOR

1.450

Semi-Annual

04/07/2051

 

1,300

 

0

 

443

 

443

 

0

 

(12)

 

 

 

 

 

 

$

2,249

$

(31)

$

2,218

$

81

$

(163)

Total Swap Agreements

$

2,333

$

(52)

$

2,281

$

83

$

(163)

 

Cash of $1,789 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of March 31, 2023.

(1)

If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

(2)

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

(3)

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

(4)

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

(5)

This instrument has a forward starting effective date.

(l)

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

$

1,762

$

(351)

$

214

$

0

$

(137)

 

ABX.HE.PENAAA.7-1 Index

0.090

Monthly

08/25/2037

 

560

 

(225)

 

161

 

0

 

(64)

Total Swap Agreements

$

(576)

$

375

$

0

$

(201)

(m)

Securities with an aggregate market value of $250 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of March 31, 2023.

(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.

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

March 31, 2023

(Unaudited)

 

(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, 2023 in valuing the Fund's assets and liabilities:

 

Category and Subcategory

Level 1

Level 2

Level 3

Fair Value
at 03/31/2023

Investments in Securities, at Value

Loan Participations and Assignments

$

0

$

17,591

$

4,896

$

22,487

 

Corporate Bonds & Notes

 

Banking & Finance

 

0

 

4,432

 

0

 

4,432

 

 

Industrials

 

0

 

13,820

 

0

 

13,820

 

 

Utilities

 

0

 

848

 

0

 

848

 

Convertible Bonds & Notes

 

Industrials

 

0

 

447

 

0

 

447

 

Municipal Bonds & Notes

 

Puerto Rico

 

0

 

1,087

 

0

 

1,087

 

U.S. Government Agencies

 

0

 

3,746

 

0

 

3,746

 

Non-Agency Mortgage-Backed Securities

 

0

 

38,845

 

92

 

38,937

 

Asset-Backed Securities

 

0

 

48,641

 

3,630

 

52,271

 

Common Stocks

 

Communication Services

 

130

 

0

 

0

 

130

 

 

Consumer Discretionary

 

101

 

0

 

70

 

171

 

 

Energy

 

0

 

0

 

110

 

110

 

 

Industrials

 

0

 

0

 

2,380

 

2,380

 

 

Utilities

 

0

 

0

 

275

 

275

 

Warrants

 

Information Technology

 

0

 

0

 

590

 

590

 

Preferred Securities

 

Financials

 

0

 

1

 

0

 

1

 

 

Industrials

 

0

 

0

 

427

 

427

 

Real Estate Investment Trusts

 

Real Estate

 

676

 

0

 

0

 

676

 

Short-Term Instruments

 

Repurchase Agreements

 

0

 

9,625

 

0

 

9,625

 

 

U.S. Treasury Bills

 

0

 

250

 

0

 

250

 

Total Investments

$

907

$

139,333

$

12,470

$

152,710

 

Financial Derivative Instruments - Assets

Exchange-traded or centrally cleared

$

0

$

83

$

0

$

83

 

Financial Derivative Instruments - Liabilities

Exchange-traded or centrally cleared

 

0

 

(166)

 

0

 

(166)

 

Over the counter

 

0

 

(201)

 

0

 

(201)

 

 

$

0

$

(367)

$

0

$

(367)

 

Total Financial Derivative Instruments

$

0

$

(284)

$

0

$

(284)

 

Totals

$

907

$

139,049

$

12,470

$

152,426

 

 

 

 

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended March 31, 2023:

Category and Subcategory

Beginning
Balance
at 06/30/2022

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 03/31/2023

Net Change in
Unrealized
Appreciation/
(Depreciation)
on Investments
Held at
03/31/2023 (1)

Investments in Securities, at Value

Loan Participations and Assignments

$

8,086

$

859

$

(406)

$

(91)

$

(9)

$

(529)

$

150

$

(3,164)

$

4,896

$

(104)

Corporate Bonds & Notes

 

Industrials

 

3,908

 

61

 

0

 

0

 

0

 

(249)

 

0

 

(3,720)

 

0

 

0

Non-Agency Mortgage-Backed Securities

 

0

 

0

 

0

 

0

 

0

 

0

 

92

 

0

 

92

 

0

Asset-Backed Securities

 

6,695

 

0

 

0

 

16

 

0

 

(3,081)

 

0

 

0

 

3,630

 

(3,080)

Common Stocks

 

Consumer Discretionary

 

142

 

0

 

0

 

0

 

0

 

(72)

 

0

 

0

 

70

 

(72)

 

Energy

 

49

 

0

 

0

 

0

 

0

 

61

 

0

 

0

 

110

 

61

 

Industrials

 

2,588

 

21

 

0

 

0

 

0

 

(229)

 

0

 

0

 

2,380

 

(229)

 

Materials

 

68

 

0

 

(75)

 

0

 

75

 

(68)

 

0

 

0

 

0

 

0

 

Utilities

 

248

 

0

 

0

 

0

 

0

 

27

 

0

 

0

 

275

 

27

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

March 31, 2023

(Unaudited)

 

Warrants

 

Industrials

 

71

 

0

 

(15)

 

0

 

14

 

(70)

 

0

 

0

 

0

 

0

 

Information Technology

 

928

 

0

 

0

 

0

 

0

 

(338)

 

0

 

0

 

590

 

(338)

Preferred Securities

 

Industrials

 

4,854

 

0

 

(5,111)

 

0

 

2,927

 

(2,243)

 

0

 

0

 

427

 

(130)

Totals

$

27,637

$

941

$

(5,607)

$

(75)

$

3,007

$

(6,791)

$

242

$

(6,884)

$

12,470

$

(3,865)


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 03/31/2023

Valuation Technique

Unobservable Inputs

 

Input Value(s)

Weighted Average

Investments in Securities, at Value

Loan Participations and Assignments

$

1,344

Discounted Cash Flow

Discount Spread

 

6.730

—

 

 

3,198

Discounted Cash Flow

Discount Rate

 

6.680 - 8.410

7.062

 

 

354

Third Party Vendor

Broker Quote

 

72.250 - 91.000

80.208

Non-Agency Mortgage-Backed Securities

 

92

Discounted Cash Flow

Discount Rate

 

11.000

—

Asset-Backed Securities

 

3,630

Discounted Cash Flow

Discount Rate

 

10.000 - 22.000

17.511

Common Stocks

 

Consumer Discretionary

 

70

Adjusted Market Price

Adjustment Factor

 

10.000

—

 

Energy

 

110

Comparable Multiple

EBITDA Multiple

X

4.400

—

 

Industrials

 

312

Discounted Cash Flow

Discount Rate

 

13.960

—

 

 

 

2,038

Discounted Cash Flow/Comparable Multiple

Discount Rate/Revenue Multiple/EBITDA Multiple

%/
X/X

10.000/0.550/6.000

—

 

 

 

28

Indicative Market Quotation

Broker Quote

$

3.000

—

 

 

 

2

Other Valuation Techniques(2)

-

 

-

—

 

Utilities

 

275

Indicative Market Quotation

Price

$

27.750

—

Warrants

 

Information Technology

 

590

Comparable Multiple

EBITDA Multiple

X

4.500

—

Preferred Securities

 

Industrials

 

427

Discounted Cash Flow/Comparable Multiple

Discount Rate/TBV Multiple

%/
x

27.030/0.340

—

Total

$

12,470

(1)

Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at March 31, 2023 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, 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 does not normally take into account trading, clearances or settlements that take place after the NYSE Close. A foreign (non-U.S.) equity security traded on a foreign exchange or on more than one exchange is typically valued using pricing information from the exchange considered by Pacific Investment Management Company LLC (“PIMCO” or the “Manager”) to be the primary exchange. 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 of 1940, as amended (the “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. 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 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 and non-U.S. bonds 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, 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 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, 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 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 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.

 

Notes to Financial Statements (Cont.)

 

 

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.

 

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.

 

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

 

The Discounted Cash Flow model is based on future cash flows generated by the investment and may be normalized based on expected investment performance. Future cash flows are discounted to present value using an appropriate rate of return, typically calibrated to the initial transaction date and adjusted based on Capital Asset Pricing Model and/or other market-based inputs. Significant changes in the unobservable inputs would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.

 

Securities may be valued based on purchase prices of privately negotiated transactions. 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 comparable valuation estimates fair value by applying a valuation multiple to a key performance metric of the company, which may include unobservable inputs such as earnings before interest, taxes, depreciation and amortization (“EBITDA”), the PIMCO’s assumptions regarding comparable companies and non-public statements from the 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.

 

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.

 

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 March 31, 2023, 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 GST Goldman Sachs International RCY Royal Bank of Canada
BOS BofA Securities, Inc. IND Crédit Agricole Corporate and Investment Bank
S.A.		 RTA RBC (Barbados) Trading Bank Corp.
BPS BNP Paribas S.A. JPS J.P. Morgan Securities LLC SOG Societe Generale Paris
BRC Barclays Bank PLC MSB Morgan Stanley Bank, N.A TDM TD Securities (USA) LLC
CIB Canadian Imperial Bank of Commerce MZF Mizuho Securities USA LLC UBS UBS Securities LLC
FICC Fixed Income Clearing Corporation RBC Royal Bank of Canada ULO UBS AG London
 
Currency Abbreviations:
USD (or $) United States Dollar
 
Index/Spread Abbreviations:
ABX.HE Asset-Backed Securities Index - Home
Equity		 LIBOR03M 3 Month USD-LIBOR SOFR Secured Overnight Financing Rate
LIBOR01M 1 Month USD-LIBOR
 
Other Abbreviations:
ABS Asset-Backed Security LIBOR London Interbank Offered Rate TBA To-Be-Announced
ALT Alternate Loan Trust OIS Overnight Index Swap TBD To-Be-Determined
CLO Collateralized Loan Obligation PIK Payment-in-Kind TBD% Interest rate to be determined when loan
settles or at the time of funding
EBITDA Earnings before Interest, Taxes,
Depreciation and Amoritization		 REMIC Real Estate Mortgage Investment Conduit