PIMCO 25 Year Zero Coupon U.S. Treasury Index Fund (ZROZ US) - Portfolio Construction Methodology

Group 1 - The PIMCO 25 Year Zero Coupon U.S. Treasury Index Fund (ZROZ) is constructed to provide market-value-weighted exposure to U.S. Treasury principal STRIPS with a remaining maturity of 25 years or more [1] - Eligible securities for the index include zero-coupon principal components from Treasury bonds with at least USD 1 billion outstanding at strip, excluding coupon STRIPS and TIPS [1] - The index is designed to isolate long-duration Treasury rate exposure through principal STRIPS only, maximizing convexity at the targeted tenor [1] Group 2 - The index undergoes monthly reconstitution at month-end, with additions and deletions based on market data up to a specified cutoff [1] - Weighting of the index is based on outstanding market value, which means that duration and maturity profiles change as issues age [1] - The index applies standard treatment for reopenings, maturities, and corporate-action-equivalents in STRIPS [1]