UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number: 811-09721
PIMCO Managed Accounts Trust
(Exact name of registrant as specified in charter)
1633 Broadway, New York, NY 10019
(Address of principal executive offices)
Trent W. Walker
Treasurer (Principal Financial & Accounting Officer)
650 Newport Center Drive
Newport Beach, CA 92660
(Name and address of agent for service)
Copies to:
David C. Sullivan
Ropes & Gray LLP
Prudential Tower
800 Boylston Street
Boston, MA 02199
Registrant’s telephone number, including area code: (844) 337-4626
Date of fiscal year end: December 31
Date of reporting period: December 31, 2017
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
| Item 1. | Reports to Shareholders. |
The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30e-1).
PIMCO Managed Accounts Trust
Annual Report
December 31, 2017
Fixed Income SHares: Series C (“FISH: Series C”)
Fixed Income SHares: Series LD (“FISH: Series LD”)
Fixed Income SHares: Series M (“FISH: Series M”)
Fixed Income SHares: Series R (“FISH: Series R”)
Fixed Income SHares: Series TE (“FISH: Series TE”)
Table of Contents
Letter from the Chairman of the Board & President
Dear Shareholder,
The global equity market rose sharply during the reporting period, supported by accelerating global growth and overall solid corporate profits. Meanwhile, the U.S. fixed income market generated a positive return, despite U.S. monetary policy tightening. Elsewhere, many international central banks continued to pursue accommodative monetary policies.
For the 12-month reporting period ended December 31, 2017
The U.S. economy continued to expand during the reporting period. Looking back, U.S. gross domestic product (“GDP”), which represents the value of goods and services produced in the country, the broadest measure of economic activity and the principal indicator of economic performance, expanded at an annual pace of 1.2% during the first quarter of 2017. GDP growth then improved to an annual pace of 3.1% and 3.2% during the second and third quarters of 2017, respectively. Finally, the Commerce Department’s initial reading — released after the reporting period had ended — showed that fourth quarter 2017 GDP grew at an annual pace of 2.6%.
The Federal Reserve (“Fed”) continued to normalize monetary policy, with three interest rate hikes during the reporting period — in March, June and December. The last move put the federal funds rate between 1.25% and 1.50%. In addition, in October 2017 the Fed started to reduce its balance sheet. Finally, at its December 2017 meeting the Fed indicated that it expected to make three additional rate hikes in 2018, although this will be data dependent.
Economic activity outside the U.S. also accelerated during the reporting period. Regardless, the European Central Bank (“ECB”) and Bank of Japan maintained their highly accommodative monetary policies. Two notable exceptions were the Bank of England, which in November 2017 instituted its first rate hike since 2007, and the Bank of Canada, which raised rates twice during the reporting period. Meanwhile, the ECB indicated that it may pare back its quantitative easing program in 2018.
The municipal (or “muni”) market posted positive returns during 9 of the 12 months in the reporting period. The muni market was supported by overall positive fundamentals and solid investor demand. The Bloomberg Barclays Municipal Bond Index gained 5.45% during the 12 months ended December 31, 2017. In comparison, the overall taxable fixed income market, as measured by the Bloomberg Barclays U.S. Aggregate Bond Index, returned 3.54%.
Outlook
Factoring in larger-than-expected tax cuts and higher federal spending, PIMCO’s baseline view is for above-trend real GDP growth of around 2.5% for the U.S. in 2018. With the unemployment rate likely to drop below 4%, PIMCO expects some upward pressure on wage growth and consumer price inflation, with core inflation rising above
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2% during the course of the year. PIMCO believes that core Personal Consumption Expenditures inflation, the Fed’s preferred measure, should rise as well, from 1.4% currently to 1.7%, making some limited progress toward the Fed’s 2% objective.
With recent growth momentum strong and financial conditions favorable, PIMCO expects the eurozone economy to grow about 2.25% in 2018. According to PIMCO, a key feature of the current eurozone expansion is that the recovery is now broad-based across the region, with much less dispersion in member states’ growth rates than in earlier years. For the UK, PIMCO has an above-consensus forecast of around 1.5% growth in 2018. This is based on the expectation that a deal on a transitional arrangement to smooth the UK separation from the European Union will be struck in the first half of 2018. PIMCO’s base case scenario for Japan foresees a continuation of growth of around 1.25% in 2018, with risks tilting to the upside. Finally, for China, PIMCO expects a controlled deceleration of growth to around 6.25% in 2018.
In the following pages of this PIMCO Managed Accounts Trust Annual Report, please find specific details regarding investment performance and a discussion of factors that most affected the performance of the series of PIMCO Managed Accounts Trust over the 12 months ended December 31, 2017.
Thank you for investing with us. We value your trust and will continue to work diligently to meet your investment needs. We also invite you to visit our website at www.pimco.com/FISH to learn more about our views.
Sincerely,
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| Hans W. Kertess | | Peter G. Strelow |
| Chairman of the Board of Trustees | | President |
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Important Information About the Portfolios
We believe that bond funds have an important role to play in a well-diversified investment portfolio. It is important to note, however, that in an environment where interest rates may trend upward, rising rates would negatively impact the performance of most bond funds, and fixed-income securities and other instruments held by a Portfolio are likely to decrease in value. A wide variety of factors can cause interest rates to rise (e.g., central bank monetary policies, inflation rates, general economic conditions). In addition, changes in interest rates can be sudden and unpredictable, and there is no guarantee that Portfolio management will anticipate such movement accurately. A Portfolio may lose money as a result of movement in interest rates.
As of the date of this report, interest rates in the U.S. and many parts of the world, including certain European countries, are at or near historically low levels. As such, bond funds may currently face an increased exposure to the risks associated with a rising interest rate environment. This is especially true as the Fed ended its quantitative easing program in October 2014 and has begun, and may continue, to raise interest rates. To the extent the Federal Reserve Board continues to raise interest rates, there is a risk that rates across the financial system may rise. Further, while bond markets have steadily grown over the past three decades, dealer inventories of corporate bonds are near historic lows in relation to market size. As a result, there has been a significant reduction in the ability of dealers to “make markets.” Bond funds and individual bonds with a longer duration (a measure used to determine the sensitivity of a security’s price to changes in interest rates) tend to be more sensitive to changes in interest rates, usually making them more volatile than securities or funds with shorter durations. In addition, in the current low interest rate environment, the net asset value (“NAV”) of the Portfolios’ common shares may be particularly sensitive to changes in interest rates or the perception that there will be a change in interest rates. All of the factors mentioned above, individually or collectively, could lead to increased volatility and/or lower liquidity in the fixed income markets or negatively impact a Portfolio’s performance or cause a Portfolio to incur losses.
The use of derivatives may subject the Portfolios to greater volatility than investments in traditional securities. The Portfolios may use derivative instruments for hedging purposes or as part of an investment strategy. Use of these instruments may involve certain costs and risks such as liquidity risk, interest rate risk, market risk, call risk, credit risk, leverage risk, management risk and the risk that a Portfolio may not be able to close out a position when it would be most advantageous to do so. Changes in regulation relating to a mutual fund’s use of derivatives and related instruments could potentially limit or impact the Portfolio’s ability to invest in derivatives, limit the Portfolio’s ability to employ certain strategies that use derivatives and/or adversely affect the value or performance of derivatives and the Portfolio. Certain derivative transactions may have a leveraging effect on a Portfolio. For example, a small investment in a derivative instrument may have a significant impact on a Portfolio’s exposure to interest rates, currency exchange rates or other investments. As a result, a relatively small price movement in an asset, instrument or component of the index underlying a derivative instrument may cause an immediate and substantial loss or gain, which translates into heightened volatility in a Portfolio’s NAV. A Portfolio may engage in such transactions regardless of whether the Portfolio owns the asset, instrument or components of the index underlying the derivative instrument. A Portfolio may invest a significant portion of its assets in these types of instruments. If it does, a Portfolio’s investment exposure could far exceed the value of its portfolio securities and its investment performance could be primarily dependent upon securities it does not own.
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A Portfolio’s use of leverage creates the opportunity for increased income for the Portfolio’s shareholders, but also creates special risks. Leverage is a speculative technique that may expose a Portfolio to greater risk and increased costs. If shorter-term interest rates rise relative to the rate of return on a Portfolio’s holdings, the interest and other costs of leverage to the Portfolio could exceed the rate of return on the debt obligations and other investments held by the Portfolio, thereby reducing return to the Portfolio’s shareholders. In addition, fees and expenses of any form of leverage used by a Portfolio will be borne entirely by its shareholders and will reduce the investment return of the Portfolio’s shares. There can be no assurance that a Portfolio’s use of leverage will result in a higher yield on its shares, and it may result in losses. Leverage creates several major types of risks for a Portfolio’s shareholders, including: (1) the likelihood of greater volatility of net asset value of the Portfolio’s shares, and of the investment return to the Portfolio’s shareholders, than a comparable portfolio without leverage; (2) the possibility either that the Portfolio’s dividends will fall if the interest and other costs of leverage rise, or that dividends paid on the Portfolio’s shares will fluctuate because such costs vary over time; and (3) the effects of leverage in a declining market or a rising interest rate environment, as leverage is likely to cause a greater decline in the net asset value of the Portfolio’s shares than if the Portfolio were not leveraged and may result in a greater decline in the market value of the Portfolio’s shares.
There is a risk that a Portfolio investing in a tender option bond program will not be considered the owner of a tender option bond for federal income tax purposes, and thus will not be entitled to treat such interest as exempt from federal income tax. Certain tender option bonds may be illiquid or may become illiquid as a result of, among other things, a credit rating downgrade, a payment default or a disqualification from tax-exempt status. A Portfolio’s investment in the securities issued by a tender option bond trust may involve greater risk and volatility than an investment in a fixed rate bond, and the value of such securities may decrease significantly when market interest rates increase. Tender option bond trusts could be terminated due to market, credit or other events beyond the Portfolios’ control, which could require the Portfolios to reduce leverage and dispose of portfolio investments at inopportune times and prices. A Portfolio may use a tender option bond program as a way of achieving leverage in its portfolio, in which case the Portfolio will be subject to leverage risk.
A Portfolio’s investments in and exposure to foreign securities involve special risks. For example, the value of these investments may decline in response to unfavorable political and legal developments, unreliable or untimely information or economic and financial instability. Foreign securities may experience more rapid and extreme changes in value than investments in securities of U.S. issuers. The securities markets of certain foreign countries are relatively small, with a limited number of companies representing a small number of industries. Issuers of foreign securities are usually not subject to the same degree of regulation as U.S. issuers. Reporting, accounting, auditing and custody standards of foreign countries differ, in some cases significantly, from U.S. standards. Also, nationalization, expropriation or other confiscation, currency blockage, political changes or diplomatic developments could adversely affect a Portfolio’s investments in foreign securities. In the event of nationalization, expropriation or other confiscation, a Portfolio could lose its entire investment in foreign securities. Investing in foreign (non-U.S.) securities may entail risk due to foreign (non-U.S.) economic and political developments; this risk may be increased when investing in emerging markets. For example, if a Portfolio invests in emerging market debt, it may face increased exposure to interest rate, liquidity, volatility, and redemption risk due to the specific economic, political, geographical, or legal background of the foreign (non-U.S.) issuer.
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Important Information About the Portfolios (Cont.)
The geographical classification of foreign (non-U.S.) securities in this report 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.
Investments in loans (including whole loans) are generally subject to risks similar to those of investments in other types of debt obligations, including, among others, credit risk, interest rate risk, variable and floating rate securities risk, and, as applicable, risks associated with mortgage-related securities. In addition, in many cases loans are subject to the risks associated with below-investment grade securities. In the case of a loan participation or assignment, a Portfolio generally has no right to enforce compliance with the terms of the loan agreement with the borrower. As a result, a Portfolio may be subject to the credit risk of both the borrower and the lender that is selling the loan agreement. In the event of the insolvency of the lender selling a loan participation, a Portfolio may be treated as a general creditor of the lender and may not benefit from any set-off between the lender and the borrower. The Portfolios may be subject to heightened or additional risks and potential liabilities and costs by investing in mezzanine and other subordinated loans, including those arising under bankruptcy, fraudulent conveyance, equitable subordination, lender liability, environmental and other laws and regulations, and risks and costs associated with debt servicing and taking foreclosure actions associated with the loans.
Mortgage-related and other asset-backed securities represent interests in “pools” of mortgages or other assets such as consumer loans or receivables held in trust and often involve risks that are different from or more acute than risks associated with other types of debt instruments. Generally, rising interest rates tend to extend the duration of fixed rate mortgage-related securities, making them more sensitive to changes in interest rates. As a result, in a period of rising interest rates, if a Portfolio holds mortgage-related securities, it may exhibit additional volatility since individual mortgage holders are less likely to exercise prepayment options, thereby putting additional downward pressure on the value of these securities and potentially causing the Portfolio to lose money. This is known as extension risk. Mortgage-backed securities can be highly sensitive to rising interest rates, such that even small movements can cause an investing Portfolio to lose value. Mortgage-backed securities, and in particular those not backed by a government guarantee, are subject to credit risk. In addition, adjustable and fixed rate mortgage-related securities are subject to prepayment risk. When interest rates decline, borrowers may pay off their mortgages sooner than expected. This can reduce the returns of the Portfolios because the Portfolios may have to reinvest that money at the lower prevailing interest rates. A Portfolio’s investments in other asset-backed securities are subject to risks similar to those associated with mortgage-related securities, as well as additional risks associated with the nature of the assets and the servicing of those assets. Payment of principal and interest on asset-backed securities may be largely dependent upon the cash flows generated by the assets backing the securities, and asset-backed securities may not have the benefit of any security interest in the related assets. Additionally, investments in subordinate mortgage-backed and other asset-backed securities will be subject to risks arising from delinquencies and foreclosures, thereby exposing a Portfolio’s investment portfolio to potential losses. Subordinate securities of mortgage-backed and other asset-backed securities are also subject to greater credit risk than those mortgage-backed or other asset-backed securities that are more highly rated.
A Portfolio may also invest in the residual or equity tranches of mortgage-related and other asset-backed instruments, which may be referred to as subordinate mortgage-backed or asset-backed instruments and interest-only mortgage-backed or asset-backed instruments. Subordinate
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mortgage-backed or asset-backed instruments are paid interest only to the extent that there are funds available to make payments. To the extent the collateral pool includes a large percentage of delinquent loans, there is a risk that interest payment on subordinate mortgage-backed or asset-backed instruments will not be fully paid. There are multiple tranches of mortgage-backed and asset-backed instruments, offering investors various maturity and credit risk characteristics. Tranches are categorized as senior, mezzanine, and subordinated/equity or “first loss,” according to their degree of risk. The most senior tranche of a mortgage-backed or asset-backed instrument has the greatest collateralization and pays the lowest interest rate. If there are defaults or the collateral otherwise underperforms, scheduled payments to senior tranches take precedence over those of mezzanine tranches, and scheduled payments to mezzanine tranches take precedence over those to subordinated/equity tranches. Lower tranches represent lower degrees of credit quality and pay higher interest rates intended to compensate for the attendant risks. The return on the lower tranches is especially sensitive to the rate of defaults in the collateral pool. The lowest tranche (i.e., the “equity” or “residual” tranche) specifically receives the residual interest payments (i.e., money that is left over after the higher tranches have been paid and expenses of the issuing entities have been paid) rather than a fixed interest rate. Each Portfolio expects that investments in subordinate mortgage-backed and other asset-backed instruments will be subject to risks arising from delinquencies and foreclosures, thereby exposing its investment portfolio to potential losses. Subordinate securities of mortgage-backed and other asset-backed instruments are also subject to greater credit risk than those mortgage-backed or other asset-backed securities that are more highly rated.
High-yield bonds (commonly referred to as “junk bonds”) typically have a lower credit rating than other bonds. Lower-rated bonds generally involve a greater risk to principal than higher-rated bonds. Further, markets for lower-rated bonds are typically less liquid than for higher-rated bonds, and public information is usually less abundant in markets for lower-rated bonds. Thus, high yield investments increase the chance that a Portfolio will lose money. PIMCO does not rely solely on credit ratings, and develops its own analysis of issuer credit quality. The Portfolio may purchase unrated securities (which are not rated by a rating agency) if PIMCO determines that the security is of comparable quality to a rated security that the Portfolio may purchase. Unrated securities may be less liquid than comparable rated securities and involve the risk that PIMCO may not accurately evaluate the security’s comparative credit quality, which could result in a Portfolio’s portfolio having a higher level of credit and/or high yield risk than PIMCO has estimated or desires for the Portfolio, and could negatively impact the Portfolio’s performance and/or returns. Certain Portfolios may invest a substantial portion of their assets in unrated securities and therefore may be particularly subject to the associated risks. Analysis of the creditworthiness of issuers of high yield securities may be more complex than for issuers of higher-quality debt obligations. To the extent that a Portfolio invests in high yield and/or unrated securities, the Portfolio’s success in achieving its investment objectives may depend more heavily on the portfolio manager’s creditworthiness analysis than if the Portfolio invested exclusively in higher-quality and rated securities. The Portfolios may hold defaulted securities that may involve special considerations including bankruptcy proceedings, other regulatory and legal restrictions affecting the Portfolio’s ability to trade, and the availability of prices from independent pricing services or dealer quotations. Defaulted obligations might be repaid only after lengthy workout or bankruptcy proceedings, during which the issuer might not make any interest or other payments. Defaulted securities are often illiquid and may not be actively traded. Sales of securities in bankrupt companies at an acceptable price may be difficult and differences compared to the value of the securities used by the Portfolios could be material. The credit quality of a particular security or group of securities does not ensure the stability or safety of the overall portfolio.
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Important Information About the Portfolios (Cont.)
Contingent convertible securities (“CoCos”) are a form of hybrid debt security issued primarily by non-U.S. issuers, which have loss absorption mechanisms built into their terms. CoCos have no stated maturity, have fully discretionary coupons and are typically issued in the form of subordinated debt instruments. CoCos generally either convert into equity of the issuer or have their principal written down upon the occurrence of certain triggering events (“triggers”) linked to regulatory capital thresholds or regulatory actions relating to the issuer’s continued viability. As a result, an investment by a Portfolio in CoCos is subject to the risk that coupon (i.e., interest) payments may be cancelled by the issuer or a regulatory authority in order to help the issuer absorb losses. An investment by a Portfolio in CoCos is also subject to the risk that, in the event of the liquidation, dissolution or winding-up of an issuer prior to a trigger event, a Portfolio’s rights and claims will generally rank junior to the claims of holders of the issuer’s other debt obligations. In addition, if CoCos held by a Portfolio are converted into the issuer’s underlying equity securities following a trigger event, the Portfolio’s holding may be further subordinated due to the conversion from a debt to equity instrument. In certain scenarios, investors in CoCos may suffer a loss of capital ahead of equity holders or when equity holders do not. There is no guarantee that a Portfolio will receive a return of principal on CoCos. Any indication that an automatic write-down or conversion event may occur can be expected to have an adverse effect on the market price of CoCos. CoCos are often rated below investment grade and are subject to the risks of high yield securities. Because CoCos are issued primarily by financial institutions, CoCos may present substantially increased risks at times of financial turmoil, which could affect financial institutions more than companies in other sectors and industries. Further, the value of an investment in CoCos is unpredictable and will be influenced by many factors and risks, including interest rate risk, credit risk, market risk and liquidity risk. An investment by a Portfolio in CoCos may result in losses to the Portfolio.
Variable and floating rate securities generally are less sensitive to interest rate changes but may decline in value if their interest rates do not rise as much, or as quickly, as interest rates in general. Conversely floating rate securities will not generally increase in value if interest rates decline. Inverse floating rate securities may decrease in value if interest rates increase. Inverse floating rate securities may also exhibit greater price volatility than a fixed rate obligation with similar credit quality. When a Portfolio holds variable or floating rate securities, a decrease (or, in the case of inverse floating rate securities, an increase) in market interest rates will adversely affect the income received from such securities and the NAV of the Portfolios’ shares.
The Portfolios may invest in securities and instruments that are economically tied to Russia. Investments in Russia are subject to various risks such as political, economic, legal, market and currency risks. The risks include uncertain political and economic policies, short-term market volatility, poor accounting standards, corruption and crime, an inadequate regulatory system, and unpredictable taxation. Investments in Russia are particularly subject to the risk that economic sanctions may be imposed by the United States and/or other countries. Such sanctions — which may impact companies in many sectors, including energy, financial services and defense, among others — may negatively impact the Portfolios’ performance and/or ability to achieve their investment objectives. The Russian securities market is characterized by limited volume of trading, resulting in difficulty in obtaining accurate prices. The Russian securities market, as compared to U.S. markets, has significant price volatility, less liquidity, a smaller market capitalization and a smaller number of traded securities. There may be little publicly available information about issuers. Settlement, clearing and registration of securities transactions are subject to risks because of
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registration systems that may not be subject to effective government supervision. This may result in significant delays or problems in registering the transfer of securities. Russian securities laws may not recognize foreign nominee accounts held with a custodian bank, and therefore the custodian may be considered the ultimate owner of securities they hold for their clients. Ownership of securities issued by Russian companies is recorded by companies themselves and by registrars instead of through a central registration system. It is possible that the ownership rights of the Portfolios could be lost through fraud or negligence. While applicable Russian regulations impose liability on registrars for losses resulting from their errors, it may be difficult for the Portfolios to enforce any rights they may have against the registrar or issuer of the securities in the event of loss of share registration. Adverse currency exchange rates are a risk and there may be a lack of available currency hedging instruments. Investments in Russia may be subject to the risk of nationalization or expropriation of assets. Oil, natural gas, metals, and timber account for a significant portion of Russia’s exports, leaving the country vulnerable to swings in world prices.
Investing in the municipal bond market involves the risks of investing in debt securities generally and certain other risks. The amount of public information available about the municipal bonds in which a Portfolio may invest is generally less than that for corporate equities or bonds, and the investment performance of a Portfolio’s investment in municipal bonds may therefore be more dependent on the analytical abilities of PIMCO than investments in taxable bonds. The secondary market for municipal bonds, also tends to be less well-developed or liquid than many other securities markets, which may adversely affect a Portfolio’s ability to sell its bonds at attractive prices.
The ability of municipal issuers to make timely payments of interest and principal may be diminished during general economic downturns, by litigation, legislation or political events, or by the bankruptcy of the issuer. Laws, referenda, ordinances or regulations enacted in the future by Congress or state legislatures or the applicable governmental entity could extend the time for payment of principal and/or interest, or impose other constraints on enforcement of such obligations, or on the ability of municipal issuers to levy taxes. Issuers of municipal securities might also seek protection under the bankruptcy laws. In the event of bankruptcy of such an issuer, a Portfolio could experience delays in collecting principal and interest and the Portfolio may not, in all circumstances, be able to collect all principal and interest to which it is entitled. To enforce its rights in the event of a default in the payment of interest or repayment of principal, or both, a Portfolio may take possession of, and manage, the assets securing the issuer’s obligations on such securities, which may increase the Portfolio’s operating expenses. Any income derived from the Portfolio’s ownership or operation of such assets may not be tax-exempt. More generally, the Portfolios other than FISH: Series TE do not expect to be eligible to pass through to shareholders the tax-exempt character of interest earned on municipal bonds.
A Portfolio that has substantial exposures to California municipal bonds may be affected significantly by economic, regulatory or political developments affecting the ability of California issuers to pay interest or repay principal. Certain issuers of California municipal bonds have experienced serious financial difficulties in the past and reoccurrence of these difficulties may impair the ability of certain California issuers to pay principal or interest on their obligations. Provisions of the California Constitution and State statutes that limit the taxing and spending authority of California governmental entities may impair the ability of California issuers to pay principal and/or interest on their obligations. While California’s economy is broad, it does have major concentrations in high technology, aerospace and defense-related manufacturing, trade, entertainment, real estate and
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Important Information About the Portfolios (Cont.)
financial services, and may be sensitive to economic problems affecting those industries. Future California political and economic developments, constitutional amendments, legislative measures, executive orders, administrative regulations, litigation and voter initiatives could have an adverse effect on the debt obligations of California issuers.
A Portfolio that has substantial exposures to New York municipal bonds may be affected significantly by economic, regulatory or political developments affecting the ability of New York issuers to pay interest or repay principal. While New York’s economy is broad, it does have concentrations in the financial services industry, and may be sensitive to economic problems affecting that industry. Certain issuers of New York municipal bonds have experienced serious financial difficulties in the past and a reoccurrence of these difficulties may impair the ability of certain New York issuers to pay principal or interest on their obligations. The financial health of New York City affects that of the State, and when New York City experiences financial difficulty it may have an adverse effect on New York municipal bonds held by a Portfolio. The growth rate of New York has at times been somewhat slower than the nation overall. The economic and financial condition of New York also may be affected by various financial, social, economic and political factors.
Municipal obligations issued by the Commonwealth of Puerto Rico or its political subdivisions, agencies, instrumentalities, or public corporations may be affected by economic, market, political, and social conditions in Puerto Rico. Puerto Rico currently is experiencing significant fiscal and economic challenges, including substantial debt service obligations, high levels of unemployment, underfunded public retirement systems, the severe impact of two hurricanes, and persistent government budget deficits. These challenges may negatively affect the value of a Portfolio’s investments in Puerto Rico municipal securities. Major ratings agencies have downgraded the general obligation debt of Puerto Rico to below investment grade and continue to maintain a negative outlook for this debt, which increases the likelihood that the rating will be lowered further. In both August 2015 and January 2016, Puerto Rico defaulted on its debt by failing to make full payment due on its outstanding bonds, and there can be no assurance that Puerto Rico will be able to satisfy its future debt obligations. Further downgrades or defaults may place additional strain on the Puerto Rico economy and may negatively affect the value, liquidity, and volatility of the Portfolio’s investments in Puerto Rico municipal securities. Legislation, including legislation that would allow Puerto Rico to restructure its municipal debt obligations, thus increasing the risk that Puerto Rico may never pay off municipal indebtedness, or may pay only a small fraction of the amount owed, could also impact the value of a Portfolio’s investments in Puerto Rico municipal securities.
As the use of technology has become more prevalent in the course of business, the Portfolios have become potentially more susceptible to operational and information security risks resulting from breaches in cyber security. A breach in cyber security refers to both intentional and unintentional cyber events that may, among other things, cause a Portfolio to lose proprietary information, suffer data corruption and/or destruction or lose operational capacity, result in the unauthorized release or other misuse of confidential information, or otherwise disrupt normal business operations. Cyber security breaches may involve unauthorized access to a Portfolio’s digital information systems (e.g., through “hacking” or malicious software coding), but may also result from outside attacks such as denial-of-service attacks (i.e., efforts to make network services unavailable to intended users). In addition, cyber security breaches involving a Portfolio’s third party service providers (including but not limited to advisers, sub-advisers, administrators, transfer agents, custodians, distributors and other third parties), trading counterparties or issuers in which a Portfolio invests can also subject a
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Portfolio to many of the same risks associated with direct cyber security breaches. Moreover, cyber security breaches involving trading counterparties or issuers in which a Portfolio invests could adversely impact such counterparties or issuers and cause the Portfolio’s investment to lose value.
Cyber security failures or breaches may result in financial losses to a Portfolio and its shareholders. These failures or breaches may also result in disruptions to business operations, potentially resulting in financial losses; interference with a Portfolio’s ability to calculate its net asset value, process shareholder transactions or otherwise transact business with shareholders; impediments to trading; violations of applicable privacy and other laws; regulatory fines; penalties; reputational damage; reimbursement or other compensation costs; additional compliance and cyber security risk management costs and other adverse consequences. In addition, substantial costs may be incurred in order to prevent any cyber incidents in the future.
Like with operational risk in general, the Portfolios have established business continuity plans and risk management systems designed to reduce the risks associated with cyber security. However, there are inherent limitations in these plans and systems, including that certain risks may not have been identified, in large part because different or unknown threats may emerge in the future. As such, there is no guarantee that such efforts will succeed, especially because the Portfolios do not directly control the cyber security systems of issuers in which a Portfolio may invest, trading counterparties or third party service providers to the Portfolios. There is also a risk that cyber security breaches may not be detected. The Portfolios and their shareholders could be negatively impacted as a result.
The Portfolios may be subject to various risks, including, but not limited to, the following: credit risk, currency risk, focused-investment risk, interest rate risk, issuer-non-diversification risk, sovereign debt risk, issuer risk, leveraging risk, liquidity risk, management risk, contingent convertible securities risk, high yield risk, market risk, municipal project-specific risk, municipal securities risk, and turnover risk. A description of certain of these risks is available in the Notes to Financial Statements of this Report.
On each Portfolio Summary page in this Shareholder Report, the Average Annual Total Return table and Cumulative Returns chart measure performance assuming that all dividend and capital gain distributions were reinvested. Returns do not reflect the deduction of taxes that a shareholder would pay on (i) Portfolio distributions or (ii) the redemption of Portfolio shares. Total return for a period of more than one year represents the average annual total return. Performance shown is net of fees and expenses. The figures in the line graph are calculated at net asset value and assume the investment of $10,000 at the end of the month that a Portfolio commenced operations. Each Portfolio measures its performance against a broad-based securities market index (“benchmark index”). Each benchmark index does not take into account fees, expenses or taxes.
The following table discloses the commencement of operations and diversification status of each Portfolio:
| | | | | | | | | | |
| Portfolio Name | | | | | Commencement
of Operations | | | Diversification
Status |
| Fixed Income SHares: Series C | | | | | | | 03/17/00 | | | Diversified |
| Fixed Income SHares: Series LD | | | | | | | 12/20/13 | | | Diversified |
| Fixed Income SHares: Series M | | | | | | | 03/17/00 | | | Diversified |
| Fixed Income SHares: Series R | | | | | | | 04/15/04 | | | Diversified |
| Fixed Income SHares: Series TE | | | | | | | 06/25/12 | | | Non-Diversified |
| | | | | | |
| | ANNUAL REPORT | | DECEMBER 31, 2017 | | 11 |
Important Information About the Portfolios (Cont.)
The Trustees are responsible generally for overseeing the management of the Trust. The Trustees authorize the Trust to enter into service agreements with PIMCO as the Investment Adviser and Administrator, PIMCO Investments LLC and other service providers in order to provide, and in some cases authorize service providers to procure through other parties, necessary or desirable services on behalf of the Trust and the Portfolios. Shareholders are not parties to or third-party beneficiaries of such service agreements. Neither a Portfolio’s prospectus nor summary prospectus, the Trust’s Statement of Additional Information (SAI), any press release or shareholder report, any contracts filed as exhibits to the Trust’s registration statement, nor any other communications, disclosure documents or regulatory filings from or on behalf of the Trust or a Portfolio creates a contract between or among any shareholders of a Portfolio, on the one hand, and the Trust, a Portfolio, a service provider to the Trust or a Portfolio, and/or the Trustees or officers of the Trust, on the other hand.
The Trustees (or the Trust and its officers, service providers or other delegates acting under authority of the Trustees) may amend its most recent or use a new prospectus, summary prospectus or SAI with respect to a Portfolio or the Trust, and/or amend, file and/or issue any other communications, disclosure documents or regulatory filings, and may amend or enter into any contracts to which the Trust or a Portfolio is a party, and interpret the investment objective(s), policies, restrictions and contractual provisions applicable to any Portfolio, without shareholder input or approval, except in circumstances in which shareholder approval is specifically required by law (such as changes to fundamental investment policies) or where a shareholder approval requirement is specifically disclosed in the Trust’s then-current prospectus or SAI.
An investment in a Portfolio is not a deposit of a bank and is not guaranteed or insured by the Federal Deposit Insurance Corporation or any other government agency. It is possible to lose money on investments in the Portfolios.
PIMCO has adopted written proxy voting policies and procedures (“Proxy Policy”) as required by Rule 206(4)-6 under the Investment Advisers Act of 1940. The Proxy Policy has been adopted by the Portfolios as the policies and procedures that PIMCO will use when voting proxies on behalf of the Portfolios. A description of the policies and procedures that PIMCO uses to vote proxies relating to portfolio securities of each Portfolio, and information about how each Portfolio voted proxies relating to portfolio securities held during the most recent twelve-month period ended June 30, are available without charge, upon request, by calling the Portfolios at (800) 927-4648, on the Portfolios’ website at www.pimco.com/ FISH, and on the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.
Each Portfolio files a complete schedule of its portfolio holdings with the SEC for the first and third quarters of its fiscal year on Form N-Q. A copy of each Portfolio’s Form N-Q is available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C., and is available without charge, upon request by calling the Portfolios at (800) 927-4648, on the Portfolios’ website at www.pimco.com/FISH. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
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| 12 | | PIMCO MANAGED ACCOUNTS TRUST | | | | |
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| | | | | | |
| | ANNUAL REPORT | | DECEMBER 31, 2017 | | 13 |
| | |
| Fixed Income SHares: Series C | | FXICX |
Cumulative Returns Through December 31, 2017
| | | | |
| Allocation Breakdown as of 12/31/2017†§ | | | |
| |
| U.S. Treasury Obligations | | | 33.3% | |
| Asset-Backed Securities | | | 21.4% | |
| Corporate Bonds & Notes | | | 20.4% | |
| U.S. Government Agencies | | | 18.7% | |
| Non-Agency Mortgage-Backed Securities | | | 3.2% | |
| Loan Participations and Assignments | | | 1.6% | |
| Other | | | 1.4% | |
| † | | % of Investments, at value. |
| § | | Allocation Breakdown and % of Investments exclude securities sold short and financial derivative instruments, if any. |
| | | | | | | | | | | | | | | | | | |
| Average Annual Total Return for the period ended December 31, 2017 | |
| | | | | 1 Year | | | 5 Year | | | 10 Year | | | Commencement
of Operations≈ | |
 | | Fixed Income SHares: Series C | | | 6.43% | | | | 2.68% | | | | 8.67% | | | | 9.62% | |
 | | Bloomberg Barclays U.S. Credit Intermediate Index | | | 3.67% | | | | 2.43% | | | | 4.55% | | | | 5.39%¨ | |
All Portfolio returns are net of fees and expenses.
¨ Average Annual Return since 03/31/00
≈ For series commencement of operations date please refer to the Important information.
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Returns presented do not reflect the deduction of taxes that a shareholder would pay on portfolio distribution or the redemption of portfolio shares or the deduction of any fees charged to investors at the “wrap account” level. Returns shown do not reflect the deduction of taxes that a shareholder would pay on portfolio distributions or the redemption of portfolio shares. Differences in the Portfolio’s performance versus the index and related attribution information with respect to particular categories of securities or individual positions may be attributable, in part, to differences in the pricing methodologies used by the Portfolio and the index.
The Portfolio’s total annual operating expense ratio in effect as of period end was 0.13%. Details regarding any changes to the Portfolio’s operating expenses, subsequent to period end, can be found in the Portfolio’s current prospectus, as supplemented.
| | | | | | |
| 14 | | PIMCO MANAGED ACCOUNTS TRUST | | | | |
Investment Objective
The Portfolio seeks maximum total return, consistent with preservation of capital and prudent investment management.
Portfolio Insights
The following affected performance during the reporting period:
| » | | Exposure to high yield corporate spread duration contributed to relative performance, as spreads narrowed. |
| » | | U.S. interest rate strategies, particularly with respect to security selection, contributed to relative performance, as U.S. treasury securities outperformed U.S. dollar swaps. |
| » | | Positions in non-agency mortgage-backed securities contributed to relative performance, as total returns in these securities were positive. |
| » | | Long exposure to the Mexican peso contributed to relative performance, as the currency appreciated against the U.S. dollar. |
| » | | Underweight exposure to investment grade corporate spread duration detracted from relative performance, as spreads narrowed. |
| » | | Short positions against a basket of Asian emerging markets currencies, particularly the Taiwanese dollar, detracted from relative performance, as these currencies appreciated against the U.S. dollar. |
| | | | | | |
| | ANNUAL REPORT | | DECEMBER 31, 2017 | | 15 |
| | |
| Fixed Income SHares: Series LD | | FXIDX |
Cumulative Returns Through December 31, 2017
| | | | |
| Allocation Breakdown as of 12/31/2017†§ | | | |
| |
| Corporate Bonds & Notes | | | 55.4% | |
| Asset-Backed Securities | | | 13.2% | |
| U.S. Treasury Obligations | | | 12.3% | |
| Short-Term Instruments | | | 11.3% | |
| Non-Agency Mortgage-Backed Securities | | | 3.4% | |
| Sovereign Issues | | | 2.9% | |
| Other | | | 1.5% | |
| † | | % of Investments, at value. |
| § | | Allocation Breakdown and % of Investments exclude securities sold short and financial derivative instruments, if any. |
| | | | | | | | | | |
| Average Annual Total Return for the period ended December 31, 2017 | |
| | | | | 1 Year | | | Commencement
of Operations≈ | |
| | Fixed Income SHares: Series LD | | | 3.64% | | | | 3.80% | |
| | ICE BofA Merrill Lynch 1-3 Year U.S. Treasury Index | | | 0.42% | | | | 0.61% | |
All Portfolio returns are net of fees and expenses.
≈ For series commencement of operations date please refer to the Important information.
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Returns presented do not reflect the deduction of taxes that a shareholder would pay on portfolio distribution or the redemption of portfolio shares or the deduction of any fees charged to investors at the “wrap account” level. Returns shown do not reflect the deduction of taxes that a shareholder would pay on portfolio distributions or the redemption of portfolio shares. Differences in the Portfolio’s performance versus the index and related attribution information with respect to particular categories of securities or individual positions may be attributable, in part, to differences in the pricing methodologies used by the Portfolio and the index.
The Portfolio’s total annual operating expense ratio in effect as of period end was 0.69%. Details regarding any changes to the Portfolio’s operating expenses, subsequent to period end, can be found in the Portfolio’s current prospectus, as supplemented.
| | | | | | |
| 16 | | PIMCO MANAGED ACCOUNTS TRUST | | | | |
Investment Objective
The Portfolio seeks maximum total return, consistent with preservation of capital and prudent investment management.
Portfolio Insights
The following affected performance during the reporting period:
| » | | Overweight exposure to the investment grade corporate credit sector contributed to performance, as this sector generally posted positive excess returns. |
| » | | Exposure to securitized debt contributed to performance, as these securities generally posted positive total returns. |
| » | | Select holdings of U.S. dollar-denominated emerging market debt contributed to performance over the period, as this sector generally posted positive excess returns. |
| » | | Exposure to U.S. treasury inflation-protected securities contributed to performance, as the breakeven inflation rate rose. |
| » | | A long U.S. dollar position versus the Australian dollar detracted from performance over the period, as the Australian dollar appreciated against the U.S. dollar. |
| | | | | | |
| | ANNUAL REPORT | | DECEMBER 31, 2017 | | 17 |
| | |
| Fixed Income SHares: Series M | | FXIMX |
Cumulative Returns Through December 31, 2017
| | | | |
| Allocation Breakdown as of 12/31/2017†§ | | | |
| |
| U.S. Government Agencies | | | 27.6% | |
| Asset-Backed Securities | | | 23.7% | |
| U.S. Treasury Obligations | | | 22.9% | |
| Non-Agency Mortgage-Backed Securities | | | 12.3% | |
| Corporate Bonds & Notes | | | 10.0% | |
| Municipal Bonds & Notes | | | 2.7% | |
| Short-Term Instruments | | | 0.4% | |
| Other | | | 0.4% | |
| † | | % of Investments, at value. |
| § | | Allocation Breakdown and % of Investments exclude securities sold short and financial derivative instruments, if any. |
| | | | | | | | | | | | | | | | | | |
| Average Annual Total Return for the period ended December 31, 2017 | |
| | | | | 1 Year | | | 5 Year | | | 10 Year | | | Commencement
of Operations≈ | |
| | Fixed Income SHares: Series M | | | 9.60% | | | | 4.58% | | | | 6.73% | | | | 7.77% | |
| | Bloomberg Barclays U.S. MBS Fixed Rate Index | | | 2.48% | | | | 2.04% | | | | 3.87% | | | | 4.93%¨ | |
All Portfolio returns are net of fees and expenses.
¨ Average Annual Return since 03/31/00
≈ For series commencement of operations date please refer to the Important information.
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Returns presented do not reflect the deduction of taxes that a shareholder would pay on portfolio distribution or the redemption of portfolio shares or the deduction of any fees charged to investors at the “wrap account” level. Returns shown do not reflect the deduction of taxes that a shareholder would pay on portfolio distributions or the redemption of portfolio shares. Differences in the Portfolio’s performance versus the index and related attribution information with respect to particular categories of securities or individual positions may be attributable, in part, to differences in the pricing methodologies used by the Portfolio and the index.
The Portfolio’s total annual operating expense ratio in effect as of period end was 0.16%. Details regarding any changes to the Portfolio’s operating expenses, subsequent to period end, can be found in the Portfolio’s current prospectus, as supplemented.
| | | | | | |
| 18 | | PIMCO MANAGED ACCOUNTS TRUST | | | | |
Investment Objective
The Portfolio seeks maximum total return, consistent with preservation of capital and prudent investment management.
Portfolio Insights
The following affected performance during the reporting period:
| » | | Positions in non-agency mortgage-backed securities contributed to relative performance, as total returns in these securities were positive. |
| » | | Positions in taxable municipal bonds contributed to relative performance, as spreads narrowed. |
| » | | Overweight exposure to dollar-denominated emerging market external debt contributed to relative performance, as spreads narrowed. |
| » | | Overweight exposure to investment grade corporate spread duration contributed to relative performance, as spreads narrowed. |
| » | | Exposure to high yield corporate spread duration contributed to relative performance, as spreads narrowed. |
| » | | Short positions against a basket of Asian emerging markets currencies, particularly the Korean won, detracted from relative performance, as these currencies appreciated against the U.S. dollar. |
| | | | | | |
| | ANNUAL REPORT | | DECEMBER 31, 2017 | | 19 |
| | |
| Fixed Income SHares: Series R | | FXIRX |
Cumulative Returns Through December 31, 2017
| | | | |
| Allocation Breakdown as of 12/31/2017†§ | | | |
| |
| U.S. Treasury Obligations | | | 69.0% | |
| Sovereign Issues | | | 12.2% | |
| U.S. Government Agencies | | | 7.1% | |
| Corporate Bonds & Notes | | | 5.5% | |
| Asset-Backed Securities | | | 2.7% | |
| Non-Agency Mortgage-Backed Securities | | | 1.8% | |
| Short-Term Instruments | | | 1.7% | |
| † | | % of Investments, at value. |
| § | | Allocation Breakdown and % of Investments exclude securities sold short and financial derivative instruments, if any. |
| | | | | | | | | | | | | | | | | | |
| Average Annual Total Return for the period ended December 31, 2017 | |
| | | | | 1 Year | | | 5 Year | | | 10 Year | | | Commencement
of Operations≈ | |
| | Fixed Income SHares: Series R | | | 5.16% | | | | 0.59% | | | | 5.97% | | | | 6.18% | |
| | Bloomberg Barclays U.S. TIPS Index | | | 3.01% | | | | 0.13% | | | | 3.53% | | | | 4.25%¨ | |
All Portfolio returns are net of fees and expenses.
¨ Average Annual Return since 04/30/04
≈ For series commencement of operations date please refer to the Important information.
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Returns presented do not reflect the deduction of taxes that a shareholder would pay on portfolio distribution or the redemption of portfolio shares or the deduction of any fees charged to investors at the “wrap account” level. Returns shown do not reflect the deduction of taxes that a shareholder would pay on portfolio distributions or the redemption of portfolio shares. Differences in the Portfolio’s performance versus the index and related attribution information with respect to particular categories of securities or individual positions may be attributable, in part, to differences in the pricing methodologies used by the Portfolio and the index.
The Portfolio’s total annual operating expense ratio in effect as of period end was 0.42%. Details regarding any changes to the Portfolio’s operating expenses, subsequent to period end, can be found in the Portfolio’s current prospectus, as supplemented.
| | | | | | |
| 20 | | PIMCO MANAGED ACCOUNTS TRUST | | | | |
Investment Objective
The Portfolio seeks maximum real return, consistent with preservation of real capital and prudent investment management.
Portfolio Insights
The following affected performance during the reporting period:
| » | | Exposure to U.S. Treasury Inflation-Protected Securities (TIPS) benefited absolute performance, as U.S. TIPS, measured by the Bloomberg Barclays U.S. TIPS Index, posted positive returns. |
| » | | An overweight to TIPS benefited relative performance, as TIPS posted positive returns over the reporting period. |
| » | | Exposure to residential mortgage-backed securities (RMBS) benefited relative performance, as these securities posted positive returns. |
| » | | Exposure to UK index-linked Gilts benefited relative performance, as back-end UK yields fell. |
| » | | Exposure to external emerging market debt benefited relative performance, as these securities posted positive returns. |
| » | | Positions in high yield index credit default swaps detracted from relative performance, as high yield credit spreads tightened. |
| » | | Exposure to Brazil nominal bonds benefited relative performance, as the local rates fell. |
| | | | | | |
| | ANNUAL REPORT | | DECEMBER 31, 2017 | | 21 |
| | |
| Fixed Income SHares: Series TE | | FXIEX |
Cumulative Returns Through December 31, 2017
| | | | |
| Allocation Breakdown as of 12/31/2017†§ | | | |
| |
| Municipal Bonds & Notes | | | 97.1% | |
| Short-Term Instruments | | | 2.9% | |
| † | | % of Investments, at value. |
| § | | Allocation Breakdown and % of Investments exclude securities sold short and financial derivative instruments, if any. |
| | | | | | | | | | | | | | |
| Average Annual Total Return for the period ended December 31, 2017 | |
| | | | | 1 Year | | | 5 Year | | | Commencement
of Operations≈ | |
| | Fixed Income SHares: Series TE | | | 8.61% | | | | 3.20% | | | | 3.19% | |
| | Bloomberg Barclays 1 Year Municipal Bond Index | | | 0.92% | | | | 0.64% | | | | 0.64% | |
All Portfolio returns are net of fees and expenses.
≈ For series commencement of operations date please refer to Important information.
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Returns presented do not reflect the deduction of taxes that a shareholder would pay on portfolio distribution or the redemption of portfolio shares or the deduction of any fees charged to investors at the “wrap account” level. Returns shown do not reflect the deduction of taxes that a shareholder would pay on portfolio distributions or the redemption of portfolio shares. Differences in the Portfolio’s performance versus the index and related attribution information with respect to particular categories of securities or individual positions may be attributable, in part, to differences in the pricing methodologies used by the Portfolio and the index.
The Portfolio’s total annual operating expense ratio in effect as of period end was 0.00%. Details regarding any changes to the Portfolio’s operating expenses, subsequent to period end, can be found in the Portfolio’s current prospectus, as supplemented.
| | | | | | |
| 22 | | PIMCO MANAGED ACCOUNTS TRUST | | | | |
Investment Objective
The Portfolio seeks high current income exempt from U.S. federal income tax consistent with prudent investment management. Total return/capital appreciation is a secondary objective.
Portfolio Insights
The following affected performance during the reporting period:
| » | | Overweight exposure to the revenue-backed segment of the municipal market contributed to performance, as the sector outperformed the general municipal market. |
| » | | Overweight exposure to the industrial revenue sector contributed to performance, as the sector outperformed the general municipal market. |
| » | | Overweight exposure to the healthcare sector contributed to performance, as the sector outperformed the general municipal market. |
| » | | Underweight exposure to the lease-backed sector detracted from performance, as the sector outperformed the general municipal market. |
| » | | Underweight exposure to the water and sewer sector detracted from performance, as the sector outperformed the general municipal market. |
| | | | | | |
| | ANNUAL REPORT | | DECEMBER 31, 2017 | | 23 |
Expense Examples
Example
As a shareholder of a Portfolio, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees (if applicable), and other Portfolio expenses. The Example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period indicated, which for all Portfolios is from July 1, 2017 to December 31, 2017 unless noted otherwise in the table and footnotes below.
Actual Expenses
The information in the table under the heading “Actual” provides information about actual account values and actual expenses. You may use the information in these rows, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.60), then multiply the result by the number in the appropriate row for your Portfolio in the column titled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The information in the table under the heading “Hypothetical (5% return before expenses)” provides information about hypothetical account values and hypothetical expenses based on a Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in a Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the information under the heading “Hypothetical (5% return before expenses)” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Expense ratios may vary period to period because of various factors, such as an increase in expenses that are not covered by the management fees such as fees and expenses of the independent trustees and their counsel, extraordinary expenses and interest expense.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | Actual | | | | | | Hypothetical
(5% return before expenses) | | | | | | | |
| | | | | | Beginning
Account Value
(07/01/17) | | | Ending
Account Value
(12/31/17) | | | Expenses Paid
During Period* | | | | | | Beginning
Account Value
(07/01/17) | | | Ending
Account Value
(12/31/17) | | | Expenses Paid
During Period* | | | | | | Net Annualized
Expense Ratio** | |
Series C | | | | | | $ | 1,000.00 | | | $ | 1,020.00 | | | $ | 2.89 | | | | | | | $ | 1,000.00 | | | $ | 1,022.21 | | | $ | 2.89 | | | | | | | | 0.57 | % |
Series LD | | | | | | | 1,000.00 | | | | 1,010.30 | | | | 7.00 | | | | | | | | 1,000.00 | | | | 1,018.10 | | | | 7.03 | | | | | | | | 1.39 | |
Series M | | | | | | | 1,000.00 | | | | 1,032.90 | | | | 1.73 | | | | | | | | 1,000.00 | | | | 1,023.36 | | | | 1.72 | | | | | | | | 0.34 | |
Series R | | | | | | | 1,000.00 | | | | 1,033.80 | | | | 4.38 | | | | | | | | 1,000.00 | | | | 1,020.76 | | | | 4.36 | | | | | | | | 0.86 | |
Series TE | | | | | | | 1,000.00 | | | | 1,033.90 | | | | 0.31 | | | | | | | | 1,000.00 | | | | 1,024.77 | | | | 0.30 | | | | | | | | 0.06 | (a) |
* Expenses Paid During Period are equal to the net annualized expense ratio for the Portfolio, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period).
** Net Annualized Expense Ratio is reflective of any applicable contractual fee waivers and/or expense reimbursements or voluntary fee waivers. Details regarding fee waivers, if any, can be found in Note 9, Fees and Expenses, in the Notes to Financial Statements.
(a) The Net Annualized Expense Ratio reflected in the expense example above includes 0.06% of non-cash interest expense as shown in the Financial Statements. If the example excluded non-cash interest expense, Expenses Paid During Period would have been $0.00 for Actual Performance and $0.00 Hypothetical Performance. The additional non-cash interest expense does not reflect actual expenses paid by the Portfolio, but instead is offset by additional interest income recorded by the Portfolio in Tender Option Bonds (“TOB”) transactions accounted for as secured borrowing Refer to Note 5, Tender Option Bond Transactions, in the Notes to Financial Statements for additional information regarding TOBs.
| | | | | | |
| 24 | | PIMCO MANAGED ACCOUNTS TRUST | | | | |
Benchmark Descriptions
| | |
| Index | | Description |
| |
| Bloomberg Barclays U.S. Credit Intermediate Index | | The Bloomberg Barclays U.S. Credit Intermediate Index is an unmanaged index of publicly issued U.S. corporate and specified non-U.S. debentures and secured notes with intermediate maturities ranging from 1 to less than 10 years. To qualify, bonds must be SEC-registered. Securities must also meet specific liquidity and quality requirements. |
| |
| Bloomberg Barclays U.S. MBS Fixed-Rate Index | | Bloomberg Barclays U.S. MBS Fixed Rate Index is an unmanaged index of mortgage-backed pass-through securities and hybrid ARM pools of Ginnie Mae (GNMA), Fannie Mae (FNMA), and Freddie Mac (FHLMC). The MBS Index is formed by grouping the universe of about 1,000,000 individual fixed rate MBS pools into approximately 5,500 generic aggregates. |
| |
Bloomberg Barclays U.S.
TIPS Index | | Bloomberg Barclays U.S. TIPS Index is an unmanaged index comprised of all U.S. Treasury Inflation-Protected Securities rated investment grade (Baa3 or better), have at least one year to final maturity, and at least $500 million par amount outstanding. |
| |
| Bloomberg Barclays 1-Year Municipal Bond Index | | The Bloomberg Barclays 1-Year Municipal Bond Index is the 1 Year (1-2) component of the Municipal Bond Index. The Index is a rules- based, market-value-weighted index engineered for the long term tax-exempt bond market. To be included in the Index, bonds must be rated investment-grade (Baa3/BBB- or higher) by at least two of the following ratings agencies: Moody’s, S&P and Fitch. If only two of the three agencies rate the security, the lower rating is used to determine index eligibility. If only one of the three agencies rates a security, the rating must be investment-grade. They must have an outstanding par value of at least $7 million and be issued as part of a transaction of at least $75 million. The bonds must be fixed rate, have a dated-date after December 31, 1990, and must be at least one year from their maturity date. Remarketed issues, taxable municipal bonds, bonds with floating rates, and derivatives, are excluded from the benchmark. |
| |
| ICE BofA Merrill Lynch 1-3 Year U.S. Treasury Index | | The ICE BofA Merrill Lynch 1-3 Year U.S. Treasury Index is an unmanaged index comprised of U.S. Treasury securities, other than inflation-protection securities and STRIPS, with at least $1 billion in outstanding face value and a remaining term to final maturity of at least one year and less than three years. |
| | | | | | |
| | ANNUAL REPORT | | DECEMBER 31, 2017 | | 25 |
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Investment Operations | | | | Less Distributions(b) |
Selected Per Share Data for the Year or Period Ended:^ | |
Net Asset
Value
Beginning
of Year
or Period | | Net
Investment
Income
(Loss)(a) | | Net
Realized/
Unrealized
Gain (Loss) | | Total | | | | From Net
Investment
Income | | From Net
Realized
Capital
Gains | | Tax Basis
Return of
Capital | | Total |
Series C | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
12/31/2017 | | | $ | 10.05 | | | | $ | 0.39 | | | | $ | 0.25 | | | | $ | 0.64 | | | | | | | | | $ | (0.29 | ) | | | $ | 0.00 | | | | $ | (0.10 | ) | | | $ | (0.39 | ) |
12/31/2016 | | | | 10.42 | | | | | 0.44 | | | | | (0.36 | ) | | | | 0.08 | | | | | | | | | | (0.38 | ) | | | | 0.00 | | | | | (0.07 | ) | | | | (0.45 | ) |
11/01/2015 - 12/31/2015(e) | | | | 11.20 | | | | | 0.09 | | | | | (0.11 | ) | | | | (0.02 | ) | | | | | | | | | (0.76 | ) | | | | 0.00 | | | | | 0.00 | | | | | (0.76 | )(f) |
10/31/2015 | | | | 12.29 | | | | | 0.53 | | | | | (0.48 | ) | | | | 0.05 | | | | | | | | | | (0.56 | ) | | | | (0.58 | ) | | | | 0.00 | | | | | (1.14 | ) |
10/31/2014 | | | | 13.11 | | | | | 0.51 | | | | | 0.05 | | | | | 0.56 | | | | | | | | | | (0.55 | ) | | | | (0.83 | ) | | | | 0.00 | | | | | (1.38 | ) |
10/31/2013 | | | | 13.75 | | | | | 0.60 | | | | | (0.24 | ) | | | | 0.36 | | | | | | | | | | (0.90 | ) | | | | (0.10 | ) | | | | 0.00 | | | | | (1.00 | ) |
Series LD | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
12/31/2017 | | | $ | 9.77 | | | | $ | 0.37 | | | | $ | (0.02 | ) | | | $ | 0.35 | | | | | | | | | $ | (0.39 | ) | | | $ | 0.00 | | | | $ | 0.00 | | | | $ | (0.39 | ) |
12/31/2016 | | | | 9.83 | | | | | 0.37 | | | | | 0.03 | | | | | 0.40 | | | | | | | | | | (0.46 | ) | | | | 0.00 | | | | | 0.00 | | | | | (0.46 | ) |
11/01/2015 - 12/31/2015(e) | | | | 10.02 | | | | | 0.06 | | | | | (0.03 | ) | | | | 0.03 | | | | | | | | | | (0.10 | ) | | | | (0.12 | ) | | | | 0.00 | | | | | (0.22 | )(f) |
10/31/2015 | | | | 10.20 | | | | | 0.31 | | | | | 0.00 | | | | | 0.31 | | | | | | | | | | (0.38 | ) | | | | (0.11 | ) | | | | 0.00 | | | | | (0.49 | ) |
12/20/2013 - 10/31/2014 | | | | 10.00 | | | | | 0.19 | | | | | 0.22 | | | | | 0.41 | | | | | | | | | | (0.21 | ) | | | | 0.00 | | | | | 0.00 | | | | | (0.21 | ) |
Series M | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
12/31/2017 | | | $ | 9.95 | | | | $ | 0.45 | | | | $ | 0.49 | | | | $ | 0.94 | | | | | | | | | $ | (0.49 | ) | | | $ | (0.09 | ) | | | $ | 0.00 | | | | $ | (0.58 | ) |
12/31/2016 | | | | 9.87 | | | | | 0.58 | | | | | 0.27 | | | | | 0.85 | | | | | | | | | | (0.49 | ) | | | | (0.28 | ) | | | | 0.00 | | | | | (0.77 | ) |
11/01/2015 - 12/31/2015(e) | | | | 10.06 | | | | | 0.10 | | | | | (0.11 | ) | | | | (0.01 | ) | | | | | | | | | (0.18 | ) | | | | 0.00 | | | | | 0.00 | | | | | (0.18 | )(f) |
10/31/2015 | | | | 10.78 | | | | | 0.50 | | | | | (0.45 | ) | | | | 0.05 | | | | | | | | | | (0.50 | ) | | | | (0.27 | ) | | | | 0.00 | | | | | (0.77 | ) |
10/31/2014 | | | | 10.86 | | | | | 0.43 | | | | | 0.07 | | | | | 0.50 | | | | | | | | | | (0.40 | ) | | | | (0.18 | ) | | | | 0.00 | | | | | (0.58 | ) |
10/31/2013 | | | | 11.22 | | | | | 0.34 | | | | | (0.23 | ) | | | | 0.11 | | | | | | | | | | (0.47 | ) | | | | 0.00 | | | | | 0.00 | | | | | (0.47 | ) |
Series R | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
12/31/2017 | | | $ | 9.13 | | | | $ | 0.35 | | | | $ | 0.11 | | | | $ | 0.46 | | | | | | | | | $ | (0.17 | ) | | | $ | 0.00 | | | | $ | (0.16 | ) | | | $ | (0.33 | ) |
12/31/2016 | | | | 8.94 | | | | | 0.35 | | | | | 0.16 | | | | | 0.51 | | | | | | | | | | (0.13 | ) | | | | 0.00 | | | | | (0.19 | ) | | | | (0.32 | ) |
11/01/2015 - 12/31/2015(e) | | | | 9.46 | | | | | 0.01 | | | | | (0.18 | ) | | | | (0.17 | ) | | | | | | | | | (0.33 | ) | | | | 0.00 | | | | | (0.02 | ) | | | | (0.35 | )(f) |
10/31/2015 | | | | 10.47 | | | | | 0.19 | | | | | (0.62 | ) | | | | (0.43 | ) | | | | | | | | | (0.58 | ) | | | | 0.00 | | | | | 0.00 | | | | | (0.58 | ) |
10/31/2014 | | | | 10.52 | | | | | 0.37 | | | | | 0.01 | | | | | 0.38 | | | | | | | | | | (0.18 | ) | | | | (0.25 | ) | | | | 0.00 | | | | | (0.43 | ) |
10/31/2013 | | | | 11.93 | | | | | 0.19 | | | | | (0.69 | ) | | | | (0.50 | ) | | | | | | | | | (0.23 | ) | | | | (0.68 | ) | | | | 0.00 | | | | | (0.91 | ) |
| | | | | | | | |
| 26 | | PIMCO MANAGED ACCOUNTS TRUST | | | | | See Accompanying Notes | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Ratios/Supplemental Data |
| | | | | | | Ratios to Average Net Assets | | |
Net Asset
Value End
of Year
or Period | | Total
Return(c) | | Net Assets
End of Year or
Period (000s) | | Expenses(d) | | Expenses
Excluding
Waivers(d) | | Expenses
Excluding
Interest
Expense(d) | | Expenses
Excluding
Interest
Expense and
Waivers(d) | | Net
Investment
Income
(Loss) | | Portfolio
Turnover
Rate |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 10.30 | | | | | 6.43 | % | | | $ | 1,310,388 | | | | | 0.43 | % | | | | 0.43 | % | | | | 0.00 | % | | | | 0.00 | % | | | | 3.79 | % | | | | 366 | % |
| | | 10.05 | | | | | 0.84 | | | | | 1,299,845 | | | | | 0.13 | | | | | 0.13 | | | | | 0.00 | | | | | 0.00 | | | | | 4.35 | | | | | 259 | |
| | | 10.42 | | | | | (0.17 | ) | | | | 1,429,703 | | | | | 0.11 | * | | | | 0.11 | * | | | | 0.00 | * | | | | 0.00 | * | | | | 4.54 | * | | | | 8 | |
| | | 11.20 | | | | | 0.43 | | | | | 1,604,425 | | | | | 0.03 | | | | | 0.03 | | | | | 0.00 | | | | | 0.00 | | | | | 4.56 | | | | | 95 | |
| | | 12.29 | | | | | 4.72 | | | | | 2,353,773 | | | | | 0.01 | | | | | 0.01 | | | | | 0.00 | | | | | 0.00 | | | | | 4.11 | | | | | 82 | |
| | | 13.11 | | | | | 2.72 | | | | | 3,261,050 | | | | | 0.00 | | | | | 0.00 | | | | | 0.00 | | | | | 0.00 | | | | | 4.65 | | | | | 149 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 9.73 | | | | | 3.64 | % | | | $ | 86,101 | | | | | 1.30 | % | | | | 1.30 | % | | | | 0.00 | % | | | | 0.00 | % | | | | 3.76 | % | | | | 230 | % |
| | | 9.77 | | | | | 4.17 | | | | | 31,609 | | | | | 0.69 | | | | | 0.69 | | | | | 0.00 | | | | | 0.00 | | | | | 3.83 | | | | | 1,395 | |
| | | 9.83 | | | | | 0.29 | | | | | 31,900 | | | | | 0.32 | * | | | | 0.32 | * | | | | 0.00 | * | | | | 0.00 | * | | | | 3.48 | * | | | | 44 | |
| | | 10.02 | | | | | 3.11 | | | | | 28,100 | | | | | 0.24 | | | | | 0.24 | | | | | 0.00 | | | | | 0.00 | | | | | 3.10 | | | | | 1,135 | |
| | | 10.20 | | | | | 4.08 | | | | | 9,070 | | | | | 0.10 | * | | | | 0.10 | * | | | | 0.00 | * | | | | 0.00 | * | | | | 2.15 | * | | | | 8,278 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 10.31 | | | | | 9.60 | % | | | $ | 1,331,955 | | | | | 0.24 | % | | | | 0.24 | % | | | | 0.00 | % | | | | 0.00 | % | | | | 4.35 | % | | | | 556 | % |
| | | 9.95 | | | | | 8.78 | | | | | 1,324,624 | | | | | 0.16 | | | | | 0.16 | | | | | 0.00 | | | | | 0.00 | | | | | 5.65 | | | | | 582 | |
| | | 9.87 | | | | | (0.07 | ) | | | | 1,487,909 | | | | | 0.14 | * | | | | 0.14 | * | | | | 0.00 | * | | | | 0.00 | * | | | | 5.60 | * | | | | 68 | |
| | | 10.06 | | | | | 0.51 | | | | | 1,622,393 | | | | | 0.06 | | | | | 0.06 | | | | | 0.00 | | | | | 0.00 | | | | | 4.83 | | | | | 473 | |
| | | 10.78 | | | | | 4.78 | | | | | 2,332,201 | | | | | 0.04 | | | | | 0.04 | | | | | 0.00 | | | | | 0.00 | | | | | 4.01 | | | | | 587 | |
| | | 10.86 | | | | | 0.97 | | | | | 2,996,930 | | | | | 0.00 | | | | | 0.00 | | | | | 0.00 | | | | | 0.00 | | | | | 3.25 | | | | | 448 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 9.26 | | | | | 5.16 | % | | | $ | 142,081 | | | | | 0.62 | % | | | | 0.62 | % | | | | 0.00 | % | | | | 0.00 | % | | | | 3.81 | % | | | | 225 | % |
| | | 9.13 | | | | | 5.68 | | | | | 150,112 | | | | | 0.42 | | | | | 0.42 | | | | | 0.00 | | | | | 0.00 | | | | | 3.81 | | | | | 311 | |
| | | 8.94 | | | | | (1.76 | ) | | | | 157,218 | | | | | 0.28 | * | | | | 0.28 | * | | | | 0.00 | * | | | | 0.00 | * | | | | 0.87 | * | | | | 16 | |
| | | 9.46 | | | | | (4.22 | ) | | | | 174,222 | | | | | 0.16 | | | | | 0.16 | | | | | 0.00 | | | | | 0.00 | | | | | 1.89 | | | | | 126 | |
| | | 10.47 | | | | | 3.82 | | | | | 215,671 | | | | | 0.07 | | | | | 0.07 | | | | | 0.00 | | | | | 0.00 | | | | | 3.55 | | | | | 88 | |
| | | 10.52 | | | | | (4.78 | ) | | | | 350,159 | | | | | 0.04 | | | | | 0.04 | | | | | 0.00 | | | | | 0.00 | | | | | 2.06 | | | | | 69 | |
| | | | | | |
| | ANNUAL REPORT | | DECEMBER 31, 2017 | | 27 |
Financial Highlights (Cont.)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Investment Operations | | | | Less Distributions(b) |
Selected Per Share Data for the Year or Period Ended:^ | |
Net Asset
Value
Beginning
of Year
or Period | | Net
Investment
Income
(Loss)(a) | | Net
Realized/
Unrealized
Gain (Loss) | | Total | | | | From Net
Investment
Income | | From Net
Realized
Capital
Gains | | Tax Basis
Return of
Capital | | Total |
Series TE | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
12/31/2017 | | | $ | 9.75 | | | | $ | 0.36 | | | | $ | 0.47 | | | | $ | 0.83 | | | | | | | | | $ | (0.36 | ) | | | $ | 0.00 | | | | $ | 0.00 | | | | $ | (0.36 | ) |
12/31/2016 | | | | 10.02 | | | | | 0.32 | | | | | (0.27 | ) | | | | 0.05 | | | | | | | | | | (0.32 | ) | | | | 0.00 | | | | | 0.00 | | | | | (0.32 | ) |
11/01/2015 - 12/31/2015(e) | | | | 9.85 | | | | | 0.06 | | | | | 0.17 | | | | | 0.23 | | | | | | | | | | (0.06 | ) | | | | 0.00 | | | | | 0.00 | | | | | (0.06 | )(f) |
10/31/2015 | | | | 9.90 | | | | | 0.28 | | | | | (0.06 | ) | | | | 0.22 | | | | | | | | | | (0.27 | ) | | | | 0.00 | | | | | 0.00 | | | | | (0.27 | ) |
10/31/2014 | | | | 9.64 | | | | | 0.26 | | | | | 0.24 | | | | | 0.50 | | | | | | | | | | (0.24 | ) | | | | 0.00 | | | | | 0.00 | | | | | (0.24 | ) |
10/31/2013 | | | | 9.99 | | | | | 0.22 | | | | | (0.35 | ) | | | | (0.13 | ) | | | | | | | | | (0.22 | ) | | | | 0.00 | | | | | 0.00 | | | | | (0.22 | ) |
| ^ | A zero balance may reflect actual amounts rounding to less than $0.01 or 0.01%. |
| (a) | Per share amounts based on average number of shares outstanding during the year or period. |
| (b) | The tax characterization of distributions is determined in accordance with Federal income tax regulations. See Note 2, Distributions to Shareholders, in the Notes to Financial Statements for more information. |
| (c) | The calculation assumes that all income dividends and capital gain distributions, if any, have been reinvested. Total return does not reflect broker commissions or “wrap fee” charges. Total investment return for a period of less than one year is not annualized. |
| (d) | The financial statements reflect the fact that no investment management fees or expenses are incurred by the Portfolios. The Portfolios are an integral part of “wrap-fee” programs sponsored by investment advisers and/or broker-dealers unaffiliated with the Portfolios and PIMCO. Participants in these programs pay a “wrap” fee to the sponsor of the program. |
| (e) | Fiscal year end changed from October 31st to December 31st. |
| (f) | Total distributions for the period ended December 31, 2015 may be lower than prior fiscal years due to fiscal year end changes resulting in a reduction of the amount of days in the period ended December 31, 2015. |
| | | | | | | | |
| 28 | | PIMCO MANAGED ACCOUNTS TRUST | | | | | See Accompanying Notes | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Ratios/Supplemental Data |
| | | | | | | Ratios to Average Net Assets | | |
Net Asset
Value End
of Year
or Period | | Total
Return(c) | | Net Assets
End of Year or
Period (000s) | | Expenses(d) | | Expenses
Excluding
Waivers(d) | | Expenses
Excluding
Interest
Expense(d) | | Expenses
Excluding
Interest
Expense and
Waivers(d) | | Net
Investment
Income
(Loss) | | Portfolio
Turnover
Rate |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 10.22 | | | | | 8.61 | % | | | $ | 91,086 | | | | | 0.04 | % | | | | 0.04 | % | | | | 0.00 | % | | | | 0.00 | % | | | | 3.64 | % | | | | 86 | % |
| | | 9.75 | | | | | 0.40 | | | | | 90,288 | | | | | 0.00 | | | | | 0.00 | | | | | 0.00 | | | | | 0.00 | | | | | 3.14 | | | | | 193 | |
| | | 10.02 | | | | | 2.33 | | | | | 92,821 | | | | | 0.00 | * | | | | 0.00 | * | | | | 0.00 | * | | | | 0.00 | * | | | | 3.43 | * | | | | 5 | |
| | | 9.85 | | | | | 2.25 | | | | | 91,524 | | | | | 0.00 | | | | | 0.00 | | | | | 0.00 | | | | | 0.00 | | | | | 2.91 | | | | | 72 | |
| | | 9.90 | | | | | 5.27 | | | | | 95,841 | | | | | 0.00 | | | | | 0.00 | | | | | 0.00 | | | | | 0.00 | | | | | 2.67 | | | | | 8 | |
| | | 9.64 | | | | | (1.40 | ) | | | | 65,594 | | | | | 0.00 | | | | | 0.00 | | | | | 0.00 | | | | | 0.00 | | | | | 2.19 | | | | | 18 | |
| | | | | | |
| | ANNUAL REPORT | | DECEMBER 31, 2017 | | 29 |
Statements of Assets and Liabilities
| | | | | | | | |
| (Amounts in thousands†, except per share amounts) | | Series C | | | Series LD | |
Assets: | | | | | | | | |
Investments, at value | | | | | | | | |
Investments in securities* | | $ | 2,301,987 | | | $ | 164,516 | |
Financial Derivative Instruments | | | | | | | | |
Exchange-traded or centrally cleared | | | 1,284 | | | | 149 | |
Over the counter | | | 3,407 | | | | 81 | |
Cash | | | 0 | | | | 1 | |
Deposits with counterparty | | | 22,818 | | | | 1,277 | |
Foreign currency, at value | | | 2,971 | | | | 159 | |
Receivable for investments sold | | | 963 | | | | 4,401 | |
Receivable for investments sold on a delayed-delivery basis | | | 0 | | | | 0 | |
Receivable for TBA investments sold | | | 327,822 | | | | 0 | |
Receivable for Portfolio shares sold | | | 4,245 | | | | 277 | |
Interest and/or dividends receivable | | | 13,623 | | | | 1,088 | |
Other assets | | | 17 | | | | 0 | |
Total Assets | | | 2,679,137 | | | | 171,949 | |
| | |
Liabilities: | | | | | | | | |
Borrowings & Other Financing Transactions | | | | | | | | |
Payable for reverse repurchase agreements | | $ | 317,020 | | | $ | 65,122 | |
Payable for sale-buyback transactions | | | 298,498 | | | | 20,013 | |
Payable for tender option bond floating rate certificates | | | 0 | | | | 0 | |
Payable for short sales | | | 0 | | | | 0 | |
Financial Derivative Instruments | | | | | | | | |
Exchange-traded or centrally cleared | | | 928 | | | | 154 | |
Over the counter | | | 5,641 | | | | 333 | |
Payable for investments purchased | | | 0 | | | | 0 | |
Payable for TBA investments purchased | | | 740,334 | | | | 0 | |
Deposits from counterparty | | | 1,138 | | | | 0 | |
Payable for Portfolio shares redeemed | | | 1,067 | | | | 1 | |
Distributions payable | | | 4,123 | | | | 225 | |
Other liabilities | | | 0 | | | | 0 | |
Total Liabilities | | | 1,368,749 | | | | 85,848 | |
| | |
Net Assets | | $ | 1,310,388 | | | $ | 86,101 | |
| | |
Net Assets Consist of: | | | | | | | | |
Shares of beneficial interest of $0.001 par value (unlimited number authorized) | | $ | 127 | | | $ | 9 | |
Paid in capital in excess of par | | | 1,485,184 | | | | 87,320 | |
Undistributed (overdistributed) net investment income | | | (2,949 | ) | | | (3 | ) |
Accumulated undistributed net realized gain (loss) | | | (187,043 | ) | | | (1,159 | ) |
Net unrealized appreciation (depreciation) | | | 15,069 | | | | (66 | ) |
| | |
Net Assets | | $ | 1,310,388 | | | $ | 86,101 | |
| | |
Shares Issued and Outstanding | | | 127,286 | | | | 8,845 | |
| | |
Net Asset Value Per Share Outstanding | | $ | 10.30 | | | $ | 9.73 | |
| | |
Cost of investments in securities | | $ | 2,282,962 | | | $ | 163,987 | |
Cost of foreign currency held | | $ | 2,960 | | | $ | 159 | |
Proceeds received on short sales | | $ | 0 | | | $ | 0 | |
Cost or premiums of financial derivative instruments, net | | $ | 5,650 | | | $ | (285 | ) |
| | |
* Includes repurchase agreements of: | | $ | 15,087 | | | $ | 501 | |
| † | A zero balance may reflect actual amounts rounding to less than one thousand. |
| | | | | | |
| 30 | | PIMCO MANAGED ACCOUNTS TRUST | | | | See Accompanying Notes |
December 31, 2017
| | | | | | | | | | |
| Series M | | | Series R | | | Series TE | |
| | | | | | | | | | |
| | | | | | | | | | | |
| $ | 2,340,654 | | | $ | 252,935 | | | $ | 93,220 | |
| | | | | | | | | | | |
| | 440 | | | | 260 | | | | 0 | |
| | 290 | | | | 417 | | | | 32 | |
| | 7 | | | | 5 | | | | 188 | |
| | 825 | | | | 2,392 | | | | 269 | |
| | 1,178 | | | | 692 | | | | 0 | |
| | 72 | | | | 1 | | | | 0 | |
| | 3,416 | | | | 5,720 | | | | 0 | |
| | 729,991 | | | | 54,809 | | | | 0 | |
| | 11,457 | | | | 231 | | | | 6 | |
| | 10,530 | | | | 822 | | | | 894 | |
| | 19 | | | | 0 | | | | 0 | |
| | 3,098,879 | | | | 318,284 | | | | 94,609 | |
| | |
| | | | | | | | | | |
| | | | | | | | | | | |
| $ | 251,163 | | | $ | 0 | | | $ | 0 | |
| | 162,237 | | | | 101,255 | | | | 0 | |
| | 0 | | | | 0 | | | | 3,009 | |
| | 0 | | | | 2,997 | | | | 0 | |
| | | | | | | | | | | |
| | 112 | | | | 221 | | | | 33 | |
| | 2,670 | | | | 1,892 | | | | 145 | |
| | 2 | | | | 0 | | | | 0 | |
| | 1,345,702 | | | | 69,658 | | | | 0 | |
| | 174 | | | | 0 | | | | 0 | |
| | 696 | | | | 143 | | | | 54 | |
| | 4,168 | | | | 33 | | | | 275 | |
| | 0 | | | | 4 | | | | 7 | |
| | 1,766,924 | | | | 176,203 | | | | 3,523 | |
| | |
| $ | 1,331,955 | | | $ | 142,081 | | | $ | 91,086 | |
| | |
| | | | | | | | | | |
$ |
129 |
| | $ | 15 | | | $ | 9 | |
| | 1,292,232 | | | | 175,144 | | | | 87,809 | |
| | (1,534 | ) | | | 480 | | | | (24 | ) |
| | (7,299 | ) | | | (38,798 | ) | | | (1,563 | ) |
| | 48,427 | | | | 5,240 | | | | 4,855 | |
| | |
| $ | 1,331,955 | | | $ | 142,081 | | | $ | 91,086 | |
| | |
| | 129,164 | | | | 15,344 | | | | 8,911 | |
| | |
| $ | 10.31 | | | $ | 9.26 | | | $ | 10.22 | |
| | |
| $ | 2,289,182 | | | $ | 250,614 | | | $ | 88,436 | |
| $ | 1,207 | | | $ | 702 | | | $ | 0 | |
| $ | 0 | | | $ | 2,984 | | | $ | 0 | |
| $ | 558 | | | $ | (1,556 | ) | | $ | (136 | ) |
| | |
| $ | 8,389 | | | $ | 0 | | | $ | 0 | |
| | | | | | |
| | ANNUAL REPORT | | DECEMBER 31, 2017 | | 31 |
Statements of Operations
| | | | | | | | |
| Year Ended December 31, 2017 | | | | | | |
| (Amounts in thousands†) | | Series C | | | Series LD | |
| | |
Investment Income: | | | | | | | | |
Interest | | $ | 56,194 | | | $ | 3,141 | |
Total Income | | | 56,194 | | | | 3,141 | |
| | |
Expenses: | | | | | | | | |
Interest expense | | | 5,736 | | | | 807 | |
Miscellaneous expense | | | 14 | | | | 1 | |
Total Expenses | | | 5,750 | | | | 808 | |
| | |
Net Investment Income (Loss) | | | 50,444 | | | | 2,333 | |
| | |
Net Realized Gain (Loss): | | | | | | | | |
Investments in securities | | | 10,329 | | | | 624 | |
Exchange-traded or centrally cleared financial derivative instruments | | | 33,526 | | | | (508 | ) |
Over the counter financial derivative instruments | | | (11,465 | ) | | | (287 | ) |
Short sales | | | 221 | | | | 65 | |
Foreign currency | | | 737 | | | | (9 | ) |
| | |
Net Realized Gain (Loss) | | | 33,348 | | | | (115 | ) |
| | |
Net Change in Unrealized Appreciation (Depreciation): | | | | | | | | |
Investments in securities | | | 32,350 | | | | 388 | |
Exchange-traded or centrally cleared financial derivative instruments | | | (33,019 | ) | | | (241 | ) |
Over the counter financial derivative instruments | | | (1,166 | ) | | | (307 | ) |
Foreign currency assets and liabilities | | | 769 | | | | (1 | ) |
| | |
Net Change in Unrealized Appreciation (Depreciation) | | | (1,066 | ) | | | (161 | ) |
| | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | $ | 82,726 | | | $ | 2,057 | |
| † | A zero balance may reflect actual amounts rounding to less than one thousand. |
| | | | | | |
| 32 | | PIMCO MANAGED ACCOUNTS TRUST | | | | See Accompanying Notes |
| | | | | | | | | | |
| | | | | | | | |
| Series M | | | Series R | | | Series TE | |
| | |
| | | | | | | | | | |
| $ | 62,296 | | | $ | 6,812 | | | $ | 3,289 | |
| | 62,296 | | | | 6,812 | | | | 3,289 | |
| | |
| | | | | | | | | | |
| | 3,302 | | | | 955 | | | | 34 | |
| | 4 | | | | 1 | | | | 1 | |
| | 3,306 | | | | 956 | | | | 35 | |
| | |
| | 58,990 | | | | 5,856 | | | | 3,254 | |
| | |
| | | | | | | | | | |
| | 28,531 | | | | 58 | | | | 1,041 | |
| | (1,607 | ) | | | 289 | | | | 139 | |
| | 6,739 | | | | (2,047 | ) | | | 36 | |
| | 0 | | | | 0 | | | | 0 | |
| | 626 | | | | 5 | | | | 0 | |
| | |
| | 34,289 | | | | (1,695 | ) | | | 1,216 | |
| | |
| | | | | | | | | | |
| | 35,093 | | | | 4,749 | | | | 3,111 | |
| | 681 | | | | (424 | ) | | | 48 | |
| | (4,799 | ) | | | (897 | ) | | | (127 | ) |
| | 36 | | | | 64 | | | | 0 | |
| | |
| | 31,011 | | | | 3,492 | | | | 3,032 | |
| | |
| $ | 124,290 | | | $ | 7,653 | | | $ | 7,502 | |
| | | | | | |
| | ANNUAL REPORT | | DECEMBER 31, 2017 | | 33 |
Statements of Changes in Net Assets
| | | | | | | | | | | | | | | | |
| | | Series C | | | Series LD | |
| (Amounts in thousands†) | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016 | |
Increase (Decrease) in Net Assets from: | | | | | | | | | | | | | | | | |
| | | | |
Operations: | | | | | | | | | | | | | | | | |
Net investment income (loss) | | $ | 50,444 | | | $ | 62,875 | | | $ | 2,333 | | | $ | 1,199 | |
Net realized gain (loss) | | | 33,348 | | | | (123,153 | ) | | | (115 | ) | | | (243 | ) |
Net change in unrealized appreciation (depreciation) | | | (1,066 | ) | | | 74,163 | | | | (161 | ) | | | 337 | |
| | | | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | 82,726 | | | | 13,885 | | | | 2,057 | | | | 1,293 | |
| | | | |
Distributions to Shareholders: | | | | | | | | | | | | | | | | |
From net investment income | | | (37,777 | ) | | | (54,775 | ) | | | (2,436 | ) | | | (1,476 | ) |
From net realized capital gains | | | 0 | | | | 0 | | | | 0 | | | | 0 | |
Tax basis return of capital | | | (12,824 | ) | | | (9,773 | ) | | | 0 | | | | 0 | |
| | | | |
Total Distributions(a) | | | (50,601 | ) | | | (64,548 | ) | | | (2,436 | ) | | | (1,476 | ) |
| | | | |
Portfolio Share Transactions: | | | | | | | | | | | | | | | | |
Receipts for shares sold | | | 251,677 | | | | 353,155 | | | | 69,893 | | | | 8,949 | |
Cost of shares redeemed | | | (273,259 | ) | | | (432,350 | ) | | | (15,022 | ) | | | (9,057 | ) |
Net increase (decrease) resulting from Portfolio share transactions | | | (21,582 | ) | | | (79,195 | ) | | | 54,871 | | | | (108 | ) |
| | | | |
Total Increase (Decrease) in Net Assets | | | 10,543 | | | | (129,858 | ) | | | 54,492 | | | | (291 | ) |
| | | | |
Net Assets: | | | | | | | | | | | | | | | | |
Beginning of year | | | 1,299,845 | | | | 1,429,703 | | | | 31,609 | | | | 31,900 | |
End of year* | | $ | 1,310,388 | | | $ | 1,299,845 | | | $ | 86,101 | | | $ | 31,609 | |
| | | | |
*Including undistributed (overdistributed) net investment income of: | | $ | (2,949 | ) | | $ | (4,902 | ) | | $ | (3 | ) | | $ | (20 | ) |
| | | | |
Shares of Beneficial Interest: | | | | | | | | | | | | | | | | |
Shares sold | | | 24,616 | | | | 34,827 | | | | 7,145 | | | | 918 | |
Shares redeemed | | | (26,658 | ) | | | (42,771 | ) | | | (1,537 | ) | | | (927 | ) |
Net increase (decrease) in shares outstanding | | | (2,042 | ) | | | (7,944 | ) | | | 5,608 | | | | (9 | ) |
| † | A zero balance may reflect actual amounts rounding to less than one thousand. |
| (a) | The tax characterization of distributions is determined in accordance with Federal income tax regulations. See Note 2, Distributions to Shareholders, in the Notes to Financial Statements for more information. |
| | | | | | |
| 34 | | PIMCO MANAGED ACCOUNTS TRUST | | | | See Accompanying Notes |
| | | | | | | | | | | | | | | | | | | | | | |
| Series M | | | Series R | | | Series TE | |
Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| $ | 58,990 | | | $ | 84,044 | | | $ | 5,856 | | | $ | 5,563 | | | $ | 3,254 | | | $ | 3,011 | |
| | 34,289 | | | | (4,820 | ) | | | (1,695 | ) | | | (11,225 | ) | | | 1,216 | | | | 404 | |
| | 31,011 | | | | 53,434 | | | | 3,492 | | | | 13,911 | | | | 3,032 | | | | (3,016 | ) |
| | | | | |
|
124,290 |
| | | 132,658 | | | | 7,653 | | | | 8,249 | | | | 7,502 | | | | 399 | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | (64,159 | ) | | | (71,036 | ) | | | (2,982 | ) | | | (1,849 | ) | | | (3,191 | ) | | | (3,006 | ) |
| | (11,632 | ) | | | (37,957 | ) | | | 0 | | | | 0 | | | | 0 | | | | 0 | |
| | 0 | | | | 0 | | | | (2,658 | ) | | | (3,067 | ) | | | 0 | | | | 0 | |
| | | | | |
| | (75,791 | ) | | | (108,993 | ) | | | (5,640 | ) | | | (4,916 | ) | | | (3,191 | ) | | | (3,006 | ) |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 221,955 | | | | 244,368 | | | | 41,645 | | | | 40,079 | | | | 11,555 | | | | 22,635 | |
| | (263,123 | ) | | | (431,318 | ) | | | (51,689 | ) | | | (50,518) | | | | (15,068 | ) | | | (22,561 | ) |
| (41,168 | ) | | | (186,950 | ) | | | (10,044 | ) | | | (10,439 | ) | | | (3,513 | ) | | | 74 | |
| | | | | |
| | 7,331 | | | | (163,285 | ) | | | (8,031 | ) | | | (7,106 | ) | | | 798 | | | | (2,533 | ) |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1,324,624 | | | | 1,487,909 | | | | 150,112 | | | | 157,218 | | | | 90,288 | | | | 92,821 | |
| $ | 1,331,955 | | | $ | 1,324,624 | | | $ | 142,081 | | | $ | 150,112 | | | $ | 91,086 | | | $ | 90,288 | |
| | | | | |
$ | (1,534 | ) | | $ | (3,816 | ) | | $ | 480 | | | $ | (1,112 | ) | | $ | (24 | ) | | $ | (43 | ) |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 21,519 | | | | 24,068 | | | | 4,528 | | | | 4,407 | | | | 1,159 | | | | 2,241 | |
| | (25,432 | ) | | | (41,698 | ) | | | (5,624 | ) | | | (5,559 | ) | | | (1,514 | ) | | | (2,235 | ) |
| | (3,913 | ) | | | (17,630 | ) | | | (1,096 | ) | | | (1,152 | ) | | | (355 | ) | | | 6 | |
| | | | | | |
| | ANNUAL REPORT | | DECEMBER 31, 2017 | | 35 |
Statements of Cash Flows
| | | | | | | | | | | | |
Year Ended December 31, 2017 (Amounts in thousands†) | | Series C | | | Series LD | | | Series R | |
Cash Flows Provided by (Used for) Operating Activities: | | | | | | | | | | | | |
Net increase (decrease) in net assets resulting from operations | | $ | 82,726 | | | $ | 2,057 | | | $ | 7,653 | |
| | | |
Adjustments to Reconcile Net Increase (Decrease) in Net Assets from Operations to Net Cash Provided by (Used for) Operating Activities: | | | | | | | | | | | | |
Purchases of long-term securities | | | (8,586,110 | ) | | | (341,582 | ) | | | (597,023 | ) |
Proceeds from sales of long-term securities | | | 8,461,962 | | | | 261,163 | | | | 545,695 | |
(Purchases) Proceeds from sales of short-term portfolio investments, net | | | 54,718 | | | | (21,620 | ) | | | 20,004 | |
(Increase) decrease in deposits with counterparty | | | 16,074 | | | | (552 | ) | | | (150 | ) |
(Increase) decrease in receivable for investments sold | | | (114,478 | ) | | | (4,401 | ) | | | (3,211 | ) |
(Increase) decrease in interest and/or dividends receivable | | | (246 | ) | | | (613 | ) | | | (214 | ) |
Proceeds from (Payments on) exchange-traded or centrally cleared financial derivative instruments | | | (2,113 | ) | | | (756 | ) | | | (323 | ) |
Proceeds from (Payments on) over the counter financial derivative instruments | | | (10,599 | ) | | | (269 | ) | | | (1,903 | ) |
(Increase) decrease in other assets | | | 0 | | | | 0 | | | | 1 | |
Increase (decrease) in payable for investments purchased | | | 141,083 | | | | 0 | | | | 1,999 | |
Increase (decrease) in deposits from counterparty | | | (8,385 | ) | | | 0 | | | | (520 | ) |
Proceeds from (Payments on) short sales transactions, net | | | 221 | | | | 65 | | | | 2,984 | |
Proceeds from (Payments on) foreign currency transactions | | | 1,506 | | | | (10 | ) | | | 69 | |
Net Realized (Gain) Loss | | | | | | | | | | | | |
Investments in securities | | | (10,329 | ) | | | (624 | ) | | | (58 | ) |
Exchange-traded or centrally cleared financial derivative instruments | | | (33,526 | ) | | | 508 | | | | (289 | ) |
Over the counter financial derivative instruments | | | 11,465 | | | | 287 | | | | 2,047 | |
Short sales | | | (221 | ) | | | (65 | ) | | | 0 | |
Foreign currency | | | (737 | ) | | | 9 | | | | (5 | ) |
Net Change in Unrealized (Appreciation) Depreciation | | | | | | | | | | | | |
Investments in securities | | | (32,350 | ) | | | (388 | ) | | | (4,749 | ) |
Exchange-traded or centrally cleared financial derivative instruments | | | 33,019 | | | | 241 | | | | 424 | |
Over the counter financial derivative instruments | | | 1,166 | | | | 307 | | | | 897 | |
Foreign currency assets and liabilities | | | (769 | ) | | | 1 | | | | (64 | ) |
Net amortization (accretion) on investments | | | 1,256 | | | | 742 | | | | (633 | ) |
Net Cash Provided by (Used for) Operating Activities | | | 5,333 | | | | (105,500 | ) | | | (27,369 | ) |
| | | |
Cash Flows Received from (Used for) Financing Activities: | | | | | | | | | | | | |
Proceeds from shares sold | | | 247,904 | | | | 69,729 | | | | 42,448 | |
Payments on shares redeemed | | | (275,157 | ) | | | (15,021 | ) | | | (51,546 | ) |
Cash distributions paid | | | (52,230 | ) | | | (2,322 | ) | | | (5,979 | ) |
Proceeds from reverse repurchase agreements | | | 6,128,717 | | | | 924,000 | | | | 15,919 | |
Payments on reverse repurchase agreements | | | (6,295,551 | ) | | | (888,798 | ) | | | (15,919 | ) |
Proceeds from sale-buyback transactions | | | 7,267,280 | | | | 2,545,516 | | | | 1,590,573 | |
Payments on sale-buyback transactions | | | (7,028,995 | ) | | | (2,527,478 | ) | | | (1,547,609 | ) |
Net Cash Received from (Used for) Financing Activities | | | (8,032 | ) | | | 105,626 | | | | 27,887 | |
| | | |
Net (Decrease) in Cash and Foreign Currency | | | (2,699 | ) | | | 126 | | | | 518 | |
| | | |
Cash and Foreign Currency: | | | | | | | | | | | | |
Beginning of year | | | 5,670 | | | | 34 | | | | 179 | |
End of year | | $ | 2,971 | | | $ | 160 | | | $ | 697 | |
Supplemental Disclosure of Cash Flow Information: | | | | | | | | | | | | |
Interest expense paid during the year | | $ | 5,745 | | | $ | 808 | | | $ | 994 | |
| † | A zero balance may reflect actual amounts rounding to less than one thousand. |
A Statement of Cash Flows is presented when a Portfolio has a significant amount of borrowing during the year, based on the average total borrowing outstanding in relation to total assets or when substantially all of a Portfolio’s investments are not classified as Level 1 or 2 in the fair value hierarchy.
| | | | | | |
| 36 | | PIMCO MANAGED ACCOUNTS TRUST | | | | See Accompanying Notes |
Schedule of Investments PIMCO Fixed Income SHares: Series C
December 31, 2017
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
| INVESTMENTS IN SECURITIES 175.7% | |
| |
| LOAN PARTICIPATIONS AND ASSIGNMENTS 2.9% | |
Castlelake Aircraft Securitization Trust | |
3.967% due 07/12/2024 « | | $ | | | 9,421 | | | $ | | | 9,459 | |
Energy Future Intermediate Holding Co. LLC | |
4.501% - 4.569% (LIBOR03M + 3.000%) due 06/30/2018 ~ | | | 6,900 | | | | | | 6,924 | |
Petroleo Global Trading | |
3.597% (LIBOR03M + 2.140%) due 02/19/2020 «~ | | | 17,700 | | | | | | 17,551 | |
State of Rio de Janeiro | |
6.024% (LIBOR03M + 3.250%) due 12/20/2020 «~ | | | 3,900 | | | | | | 3,907 | |
| | | | | | | | | | | | |
Total Loan Participations and Assignments
(Cost $37,399) | | | 37,841 | |
| | | | | | | | | | | | |
| |
| CORPORATE BONDS & NOTES 35.8% | |
| |
| BANKING & FINANCE 29.5% | |
ABN AMRO Bank NV | |
4.800% due 04/18/2026 | | | | | 2,000 | | | | | | 2,138 | |
Air Lease Corp. | |
3.000% due 09/15/2023 | | | | | 3,150 | | | | | | 3,129 | |
American Tower Corp. | |
3.500% due 01/31/2023 | | | | | 3,375 | | | | | | 3,454 | |
4.700% due 03/15/2022 | | | | | 1,600 | | | | | | 1,714 | |
Banco Santander S.A. | |
6.250% due 09/11/2021 (c)• | | EUR | | | 400 | | | | | | 527 | |
Bank of America Corp. | |
3.419% due 12/20/2028 • | | $ | | | 242 | | | | | | 242 | |
4.000% due 04/01/2024 | | | | | 271 | | | | | | 287 | |
4.100% due 07/24/2023 | | | | | 5,600 | | | | | | 5,950 | |
4.125% due 01/22/2024 | | | | | 15,100 | | | | | | 16,069 | |
Barclays Bank PLC | |
7.625% due 11/21/2022 | | | | | 1,200 | | | | | | 1,361 | |
7.750% due 04/10/2023 • | | | | | 7,300 | | | | | | 7,428 | |
10.000% due 05/21/2021 | | GBP | | | 300 | | | | | | 509 | |
14.000% due 06/15/2019 (c)• | | | 100 | | | | | | 159 | |
Barclays PLC | |
4.375% due 01/12/2026 | | $ | | | 1,500 | | | | | | 1,564 | |
6.500% due 09/15/2019 (c)• | | EUR | | | 400 | | | | | | 514 | |
Blackstone CQP Holdco LP | |
6.500% due 03/20/2021 | | $ | | | 12,800 | | | | | | 13,056 | |
BPCE S.A. | |
5.150% due 07/21/2024 | | | | | 1,000 | | | | | | 1,086 | |
CIT Group, Inc. | |
3.875% due 02/19/2019 | | | | | 900 | | | | | | 911 | |
Cooperatieve Rabobank UA | |
4.375% due 08/04/2025 | | | | | 6,000 | | | | | | 6,342 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
Credit Agricole S.A. | |
7.500% due 06/23/2026 (c)• | | GBP | | | 100 | | | $ | | | 162 | |
8.125% due 09/19/2033 • | | $ | | | 1,300 | | | | | | 1,352 | |
Credit Suisse AG | |
6.500% due 08/08/2023 | | | | | 2,300 | | | | | | 2,580 | |
Credit Suisse Group Funding Guernsey Ltd. | |
3.800% due 09/15/2022 | | | | | 400 | | | | | | 413 | |
Crown Castle International Corp. | |
5.250% due 01/15/2023 | | | | | 4,000 | | | | | | 4,384 | |
Deutsche Bank AG | |
4.250% due 10/14/2021 | | | | | 16,375 | | | | | | 17,093 | |
Doric Nimrod Air Finance Alpha Ltd.
Pass-Through Trust | |
5.125% due 11/30/2024 | | | | | 7,033 | | | | | | 7,348 | |
FleetBoston Financial Corp. | |
6.875% due 01/15/2028 | | | | | 2,120 | | | | | | 2,590 | |
General Motors Financial Co., Inc. | |
4.250% due 05/15/2023 | | | | | 23,220 | | | | | | 24,343 | |
Goldman Sachs Group, Inc. | |
3.500% due 01/23/2025 | | | | | 25,000 | | | | | | 25,413 | |
4.000% due 03/03/2024 | | | | | 16,700 | | | | | | 17,531 | |
Goodman U.S. Finance Three LLC | |
3.700% due 03/15/2028 | | | | | 3,200 | | | | | | 3,181 | |
HBOS PLC | |
6.750% due 05/21/2018 | | | | | 25,300 | | | | | | 25,731 | |
HSBC Holdings PLC | |
6.375% due 09/17/2024 (c)• | | | | | 1,200 | | | | | | 1,281 | |
JPMorgan Chase & Co. | |
3.625% due 05/13/2024 | | | | | 900 | | | | | | 936 | |
7.900% due 04/30/2018 (c)• | | | | | 30,900 | | | | | | 31,325 | |
Lincoln Finance Ltd. | |
6.875% due 04/15/2021 | | EUR | | | 3,300 | | | | | | 4,165 | |
Lloyds Banking Group PLC | |
7.000% due 06/27/2019 (c)• | | GBP | | | 7,300 | | | | | | 10,414 | |
MetLife Capital Trust | |
7.875% due 12/15/2067 | | $ | | | 600 | | | | | | 803 | |
Morgan Stanley | |
3.700% due 10/23/2024 | | | | | 10,000 | | | | | | 10,340 | |
3.875% due 04/29/2024 | | | | | 1,000 | | | | | | 1,045 | |
4.000% due 07/23/2025 | | | | | 6,900 | | | | | | 7,230 | |
Navient Corp. | |
5.500% due 01/15/2019 | | | | | 1,500 | | | | | | 1,530 | |
5.875% due 03/25/2021 | | | | | 5,255 | | | | | | 5,446 | |
7.250% due 01/25/2022 | | | | | 12,700 | | | | | | 13,653 | |
8.000% due 03/25/2020 | | | | | 1,100 | | | | | | 1,192 | |
Royal Bank of Scotland Group PLC | |
7.500% due 08/10/2020 (c)• | | | | | 1,800 | | | | | | 1,908 | |
8.625% due 08/15/2021 (c)• | | | | | 17,400 | | | | | | 19,640 | |
Santander UK Group Holdings PLC | |
2.875% due 08/05/2021 | | | | | 3,100 | | | | | | 3,096 | |
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | DECEMBER 31, 2017 | | 37 |
Schedule of Investments PIMCO Fixed Income SHares: Series C (Cont.)
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
SLM Student Loan Trust | |
1.066% (BP0003M + 0.550%) due 12/15/2039 ~ | | GBP | | | 7,810 | | | $ | | | 10,224 | |
1.070% (BP0003M + 0.550%) due 03/15/2038 ~ | | | 24,146 | | | | | | 31,944 | |
Springleaf Finance Corp. | |
6.125% due 05/15/2022 | | $ | | | 7,700 | | | | | | 8,027 | |
Tesco Property Finance PLC | |
5.411% due 07/13/2044 | | GBP | | | 391 | | | | | | 613 | |
UBS AG | |
4.750% due 02/12/2026 • | | EUR | | | 400 | | | | | | 539 | |
7.625% due 08/17/2022 | | $ | | | 4,000 | | | | | | 4,683 | |
Wells Fargo & Co. | |
3.450% due 02/13/2023 | | | | | 5,400 | | | | | | 5,506 | |
7.980% due 03/15/2018 (c)• | | | 12,417 | | | | | | 12,634 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 386,735 | |
| | | | | | | | | | | | |
| |
| INDUSTRIALS 4.3% | |
AutoNation, Inc. | |
6.750% due 04/15/2018 | | | | | 800 | | | | | | 810 | |
Charter Communications Operating LLC | |
4.908% due 07/23/2025 | | | | | 800 | | | | | | 852 | |
CSC Holdings LLC | |
7.875% due 02/15/2018 | | | | | 810 | | | | | | 816 | |
Delta Air Lines Pass-Through Trust | |
4.950% due 11/23/2020 | | | | | 184 | | | | | | 189 | |
6.200% due 01/02/2020 « | | | | | 196 | | | | | | 199 | |
Ecopetrol S.A. | |
5.875% due 09/18/2023 | | | | | 2,500 | | | | | | 2,769 | |
Energy Transfer LP | |
9.700% due 03/15/2019 | | | | | 300 | | | | | | 325 | |
Kinder Morgan Energy Partners LP | |
3.500% due 03/01/2021 | | | | | 300 | | | | | | 305 | |
3.950% due 09/01/2022 | | | | | 1,000 | | | | | | 1,033 | |
6.850% due 02/15/2020 | | | | | 3,000 | | | | | | 3,251 | |
Latam Airlines Pass-Through Trust | |
4.200% due 08/15/2029 | | | | | 2,829 | | | | | | 2,868 | |
Magellan Health, Inc. | |
4.400% due 09/22/2024 | | | | | 8,500 | | | | | | 8,566 | |
Northwest Airlines Pass-Through Trust | |
7.041% due 10/01/2023 | | | | | 1,092 | | | | | | 1,244 | |
7.150% due 04/01/2021 | | | | | 10,861 | | | | | | 11,432 | |
Ooredoo International Finance Ltd. | |
5.000% due 10/19/2025 | | | | | 11,800 | | | | | | 12,762 | |
Phosagro OAO via Phosagro Bond Funding DAC | |
4.204% due 02/13/2018 | | | | | 4,300 | | | | | | 4,308 | |
Rockies Express Pipeline LLC | |
5.625% due 04/15/2020 | | | | | 100 | | | | | | 105 | |
SES Global Americas Holdings GP | |
2.500% due 03/25/2019 | | | | | 400 | | | | | | 399 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
SFR Group S.A. | |
5.375% due 05/15/2022 | | EUR | | | 700 | | | $ | | | 867 | |
Solvay Finance America LLC | |
4.450% due 12/03/2025 | | $ | | | 1,000 | | | | | | 1,064 | |
Volkswagen Group of America Finance LLC | |
1.916% (US0003M + 0.470%) due 05/22/2018 ~ | | | 1,100 | | | | | | 1,100 | |
WestJet Airlines Ltd. | |
3.500% due 06/16/2021 | | | | | 1,800 | | | | | | 1,818 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 57,082 | |
| | | | | | | | | | | | |
| |
| UTILITIES 2.0% | |
AK Transneft OJSC Via TransCapitalInvest Ltd. | |
8.700% due 08/07/2018 | | | | | 700 | | | | | | 725 | |
Gazprom OAO Via Gaz Capital S.A. | |
8.146% due 04/11/2018 | | | | | 600 | | | | | | 609 | |
Rosneft Finance S.A. | |
7.875% due 03/13/2018 | | | | | 4,100 | | | | | | 4,145 | |
Verizon Communications, Inc. | |
4.500% due 08/10/2033 | | | | | 12,000 | | | | | | 12,614 | |
4.672% due 03/15/2055 | | | | | 8,000 | | | | | | 7,750 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 25,843 | |
| | | | | | | | | | | | |
Total Corporate Bonds & Notes
(Cost $455,494) | | | 469,660 | |
| | | | | | | | | | | | |
| |
| MUNICIPAL BONDS & NOTES 0.7% | |
| |
| ILLINOIS 0.6% | |
Chicago, Illinois General Obligation Bonds, Series 2008 | |
5.630% due 01/01/2022 | | | | | 200 | | | | | | 203 | |
Chicago, Illinois General Obligation Bonds, Series 2015 | |
7.375% due 01/01/2033 | | | | | 1,500 | | | | | | 1,738 | |
7.750% due 01/01/2042 | | | | | 4,350 | | | | | | 4,837 | |
Chicago, Illinois General Obligation Notes, Series 2015 | |
5.633% due 01/01/2020 | | | | �� | 200 | | | | | | 204 | |
Illinois State General Obligation Bonds, (BABs), Series 2010 | |
7.350% due 07/01/2035 | | | | | 1,095 | | | | | | 1,268 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 8,250 | |
| | | | | | | | | | | | |
| |
| TEXAS 0.1% | |
Texas Public Finance Authority Revenue Notes, Series 2014 | |
8.250% due 07/01/2024 | | | | | 1,390 | | | | | | 1,451 | |
| | | | | | | | | | | | |
Total Municipal Bonds & Notes
(Cost $8,911) | | | 9,701 | |
| | | | | | | | | | | | |
| |
| | | | | | |
| 38 | | PIMCO MANAGED ACCOUNTS TRUST | | | | See Accompanying Notes |
December 31, 2017
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
| U.S. GOVERNMENT AGENCIES 32.9% | |
Fannie Mae | |
4.500% due 08/01/2039 - 11/01/2041 | | $ | | | 282 | | | $ | | | 302 | |
Fannie Mae, TBA | |
3.000% due 01/01/2033 | | | | | 74,000 | | | | | | 75,397 | |
3.500% due 02/01/2033 - 03/01/2048 | | | | | 273,000 | | | | | | 280,132 | |
4.000% due 02/01/2048 - 03/01/2048 | | | | | 21,000 | | | | | | 21,930 | |
5.000% due 01/01/2048 | | | | | 33,000 | | | | | | 35,480 | |
Freddie Mac | |
2.000% (COF 11 + 1.250%) due 12/01/2018 ~ | | | | | 1 | | | | | | 1 | |
6.500% due 01/01/2038 - 10/01/2038 | | | | | 52 | | | | | | 58 | |
Ginnie Mae | |
2.013% (US0001M + 0.770%) due 02/20/2066 ~ | | | 3,526 | | | | | | 3,546 | |
2.375% (H15T1Y + 1.500%) due 01/20/2022 ~ | | | | | 3 | | | | | | 3 | |
Tennessee Valley Authority | |
7.125% due 05/01/2030 | | | | | 10,000 | | | | | | 14,433 | |
| | | | | | | | | | | | |
Total U.S. Government Agencies
(Cost $430,552) | | | 431,282 | |
| | | | | | | | | | | | |
| |
| U.S. TREASURY OBLIGATIONS 58.5% | |
U.S. Treasury Bonds | |
2.750% due 08/15/2047 | | | | | 2,000 | | | | | | 2,000 | |
3.000% due 05/15/2045 | | | | | 24,300 | | | | | | 25,498 | |
U.S. Treasury Notes | |
1.250% due 10/31/2021 (e) | | | | | 207,500 | | | | | | 201,031 | |
1.750% due 04/30/2022 (e)(g)(i) | | | | | 6,000 | | | | | | 5,897 | |
1.750% due 09/30/2022 | | | | | 7,400 | | | | | | 7,252 | |
1.875% due 01/31/2022 (e)(g) | | | | | 164,900 | | | | | | 163,198 | |
1.875% due 08/31/2022 (e)(g)(i) | | | | | 8,000 | | | | | | 7,888 | |
2.125% due 06/30/2022 (g) | | | | | 20,800 | | | | | | 20,763 | |
2.125% due 09/30/2024 (e) | | | | | 50,000 | | | | | | 49,367 | |
2.250% due 02/15/2027 (e) | | | | | 255,600 | | | | | | 252,215 | |
2.375% due 05/15/2027 (e)• | | | | | 31,300 | | | | | | 31,206 | |
| | | | | | | | | | | | |
Total U.S. Treasury Obligations
(Cost $772,996) | | | 766,315 | |
| | | | | | | | | | | | |
| |
| NON-AGENCY MORTGAGE-BACKED SECURITIES 5.6% | |
Banc of America Funding Trust | |
3.830% due 01/20/2047 ^~ | | | | | 69 | | | | | | 66 | |
Bear Stearns Adjustable Rate Mortgage Trust | |
3.200% due 05/25/2034 ~ | | | | | 30 | | | | | | 28 | |
3.570% due 10/25/2033 ~ | | | | | 37 | | | | | | 37 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
3.636% (US0012M + 1.950%) due 03/25/2035 ~ | | $ | | | 82 | | | $ | | | 83 | |
Bear Stearns ALT-A Trust | |
3.351% due 02/25/2036 ^~ | | | | | 700 | | | | | | 625 | |
Citigroup Mortgage Loan Trust, Inc. | |
3.180% (H15T1Y + 2.150%) due 09/25/2035 ~ | | | | | 138 | | | | | | 140 | |
3.410% (H15T1Y + 2.100%) due 09/25/2035 ~ | | | | | 164 | | | | | | 166 | |
Cordusio RMBS SRL | |
0.000% due 06/30/2035 • | | EUR | | | 48 | | | | | | 57 | |
Countrywide Alternative Loan Trust | |
1.752% (US0001M + 0.200%) due 05/25/2036 ~ | | $ | | | 60 | | | | | | 52 | |
6.000% due 08/25/2034 | | | | | 8,711 | | | | | | 9,167 | |
Countrywide Home Loan Mortgage Pass-Through Trust | |
2.192% (US0001M + 0.640%) due 03/25/2035 ~ | | | | | 128 | | | | | | 113 | |
3.456% due 08/25/2034 ^~ | | | | | 20 | | | | | | 19 | |
Credit Suisse First Boston Mortgage-Backed Pass-through Trust | |
3.080% due 07/25/2033 ~ | | | | | 4 | | | | | | 4 | |
Downey Savings & Loan Association Mortgage Loan Trust | |
1.755% (US0001M + 0.260%) due 08/19/2045 ~ | | | | | 880 | | | | | | 834 | |
3.258% due 07/19/2044 ~ | | | | | 589 | | | | | | 594 | |
Eurosail PLC | |
1.470% (BP0003M + 0.950%) due 06/13/2045 ~ | | GBP | | | 2,801 | | | | | | 3,771 | |
Fort Cre LLC | |
3.052% (LIBOR01M + 1.500%) due 05/21/2036 ~ | | $ | | | 2,183 | | | | | | 2,184 | |
GreenPoint Mortgage Funding Trust | |
2.012% (US0001M + 0.460%) due 06/25/2045 ~ | | | | | 1,966 | | | | | | 1,822 | |
GreenPoint Mortgage Funding Trust Pass-Through Certificates | |
3.772% due 10/25/2033 ~ | | | | | 4 | | | | | | 4 | |
GSR Mortgage Loan Trust | |
2.560% (H15T1Y + 1.750%) due 03/25/2033 ~ | | | | | 34 | | | | | | 34 | |
3.472% due 09/25/2035 ~ | | | | | 235 | | | | | | 240 | |
3.506% due 09/25/2035 ~ | | | | | 535 | | | | | | 552 | |
HarborView Mortgage Loan Trust | |
1.685% (US0001M + 0.190%) due 01/19/2038 ~ | | | | | 169 | | | | | | 160 | |
1.841% (US0001M + 0.340%) due 06/20/2035 ~ | | | | | 275 | | | | | | 270 | |
HomeBanc Mortgage Trust | |
1.812% (US0001M + 0.260%) due 01/25/2036 ~ | | | | | 1,322 | | | | | | 1,308 | |
3.132% due 04/25/2037 ^~ | | | | | 104 | | | | | | 97 | |
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | DECEMBER 31, 2017 | | 39 |
Schedule of Investments PIMCO Fixed Income SHares: Series C (Cont.)
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
JPMorgan Mortgage Trust | |
3.104% due 11/25/2033 ~ | | $ | | | 30 | | | $ | | | 29 | |
3.526% due 07/25/2035 ~ | | | | | 331 | | | | | | 333 | |
3.629% due 07/25/2035 ~ | | | | | 480 | | | | | | 497 | |
3.663% due 02/25/2035 ~ | | | | | 27 | | | | | | 27 | |
LMREC, Inc. | |
2.994% (LIBOR01M + 1.700%) due 11/24/2031 «~ | | | 21,000 | | | | | | 21,210 | |
Morgan Stanley Mortgage Loan Trust | |
3.593% due 08/25/2034 ~ | | | | | 3,614 | | | | | | 3,684 | |
RBSSP Resecuritization Trust | |
1.838% (US0001M + 0.500%) due 09/26/2034 ~ | | | 1,563 | | | | | | 1,523 | |
1.838% (US0001M + 0.500%) due 04/26/2037 ~ | | | 1,363 | | | | | | 1,281 | |
Residential Accredit Loans, Inc. Trust | |
1.762% (US0001M + 0.210%) due 04/25/2046 ~ | | | 980 | | | | | | 505 | |
Structured Adjustable Rate Mortgage Loan Trust | |
3.473% due 02/25/2034 ~ | | | | | 56 | | | | | | 56 | |
Structured Asset Mortgage Investments Trust | |
1.862% (US0001M + 0.310%) due 09/25/2045 ~ | | | 844 | | | | | | 802 | |
Uropa Securities PLC | |
0.723% (BP0003M + 0.200%) due 06/10/2059 ~ | | GBP | | | 8,911 | | | | | | 11,729 | |
0.873% (BP0003M + 0.350%) due 06/10/2059 ~ | | | 2,059 | | | | | | 2,622 | |
1.073% (BP0003M + 0.550%) due 06/10/2059 ~ | | | 1,610 | | | | | | 2,047 | |
1.273% (BP0003M + 0.750%) due 06/10/2059 ~ | | | | | 1,715 | | | | | | 2,192 | |
WaMu Mortgage Pass-Through Certificates Trust | |
1.862% (US0001M + 0.310%) due 01/25/2045 ~ | | $ | | | 104 | | | | | | 103 | |
2.063% (12MTA + 1.000%) due 02/25/2046 ~ | | | | | 696 | | | | | | 685 | |
2.292% (US0001M + 0.740%) due 11/25/2034 ~ | | | 1,118 | | | | | | 1,103 | |
Wells Fargo Mortgage-Backed Securities Trust | |
3.650% due 03/25/2036 ~ | | | | | 204 | | | | | | 199 | |
| | | | | | | | | | | | |
Total Non-Agency Mortgage-
Backed Securities
(Cost $69,379) | | | 73,054 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| ASSET-BACKED SECURITIES 37.5% | |
Ameriquest Mortgage Securities Trust | |
1.942% (US0001M + 0.390%) due 03/25/2036 ~ | | | | | 100 | | | | | | 99 | |
Arbor Realty Commercial Real Estate Notes Ltd. | |
2.777% (US0001M + 1.300%) due 04/15/2027 ~ | | | | | 11,900 | | | | | | 12,072 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
Atlas Senior Loan Fund Ltd. | |
2.608% (US0003M + 1.230%) due 01/30/2024 ~ | | $ | | | 7,255 | | | $ | | | 7,290 | |
Atrium CDO Corp. | |
2.203% (US0003M + 0.830%) due 04/22/2027 ~ | | | | | 5,650 | | | | | | 5,661 | |
2.713% (US0003M + 1.350%) due 10/23/2024 ~ | | | | | 10,000 | | | | | | 10,069 | |
Bayview Opportunity Master Fund Trust | |
3.475% due 04/28/2032 ~ | | | | | 3,253 | | | | | | 3,270 | |
Bear Stearns Asset-Backed Securities Trust | |
1.752% (US0001M + 0.200%) due 12/25/2036 ~ | | | | | 1,074 | | | | | | 1,073 | |
1.962% (US0001M + 0.410%) due 12/25/2035 ~ | | | | | 473 | | | | | | 475 | |
2.552% (US0001M + 1.000%) due 10/25/2037 ~ | | | | | 286 | | | | | | 288 | |
BNC Mortgage Loan Trust | |
1.652% (US0001M + 0.100%) due 05/25/2037 ~ | | | | | 74 | | | | | | 74 | |
Bosphorus CLO DAC | |
0.700% due 10/15/2025 | | EUR | | | 5,510 | | | | | | 6,619 | |
BSPRT Issuer Ltd. | |
2.827% (US0001M + 1.350%) due 06/15/2027 ~ | | $ | | | 11,000 | | | | | | 11,046 | |
Carlyle Global Market Strategies CLO Ltd. | |
2.499% (US0003M + 1.140%) due 10/16/2025 ~ | | | | | 15,000 | | | | | | 15,010 | |
Cent CLO Ltd. | |
2.802% (US0003M + 1.410%) due 11/07/2026 ~ | | | | | 5,400 | | | | | | 5,412 | |
Citigroup Mortgage Loan Trust Asset-Backed Pass-Through Certificates | |
2.482% (US0001M + 0.930%) due 05/25/2035 ~ | | | | | 3,499 | | | | | | 3,466 | |
Conseco Finance Corp. | |
6.220% due 03/01/2030 | | | | | 86 | | | | | | 92 | |
6.530% due 02/01/2031 ~ | | | | | 2,293 | | | | | | 2,249 | |
Credit Suisse Mortgage Capital Certificates | |
4.500% due 03/25/2021 | | | | | 9,302 | | | | | | 9,399 | |
Crestline Denali CLO Ltd. | |
2.421% (US0003M + 1.050%) due 10/26/2027 ~ | | | | | 22,470 | | | | | | 22,462 | |
Dryden Senior Loan Fund | |
2.259% (US0003M + 0.900%) due 10/15/2027 ~ | | | | | 8,300 | | | | | | 8,315 | |
2.519% (US0003M + 1.160%) due 10/15/2026 ~ | | | | | 12,600 | | | | | | 12,640 | |
ECAF Ltd. | |
3.473% due 06/15/2040 | | | | | 607 | | | | | | 600 | |
4.947% due 06/15/2040 | | | | | 462 | | | | | | 463 | |
| | | | | | |
| 40 | | PIMCO MANAGED ACCOUNTS TRUST | | | | See Accompanying Notes |
December 31, 2017
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
First Franklin Mortgage Loan Trust | |
2.287% (US0001M + 0.735%) due 09/25/2035 ~ | | $ | | | 610 | | | $ | | | 614 | |
First NLC Trust | |
2.257% (US0001M + 0.705%) due 12/25/2035 ~ | | | | | 622 | | | | | | 626 | |
Fortress Credit BSL Ltd. | |
2.507% (US0003M + 1.150%) due 10/19/2025 ~ | | | | | 13,500 | | | | | | 13,504 | |
Galaxy CLO Ltd. | |
2.549% (US0003M + 1.130%) due 11/16/2025 ~ | | | | | 17,400 | | | | | | 17,453 | |
Gallatin CLO Ltd. | |
2.407% (US0003M + 1.050%) due 07/15/2027 ~ | | | | | 13,600 | | | | | | 13,601 | |
Greystone Commercial Real Estate Ltd. | |
3.027% (US0001M + 1.550%) due 03/15/2027 ~ | | | | | 17,900 | | | | | | 17,938 | |
Harvest CLO DAC | |
0.630% (EUR003M + 0.630%) due 11/18/2029 ~ | | EUR | | | 2,150 | | | | | | 2,593 | |
Home Equity Asset Trust | |
2.752% (US0001M + 1.200%) due 10/25/2033 ~ | | $ | | | 567 | | | | | | 560 | |
Jamestown CLO Ltd. | |
2.499% (US0003M + 1.140%) due 01/15/2026 ~ | | | | | 6,250 | | | | | | 6,267 | |
2.573% (US0003M + 1.220%) due 01/17/2027 ~ | | | | | 12,750 | | | | | | 12,788 | |
Jubilee CLO BV | |
0.471% (EUR003M + 0.800%) due 12/15/2029 ~ | | EUR | | | 12,850 | | | | | | 15,414 | |
KKR Financial CLO Ltd. | |
2.813% (US0003M + 1.450%) due 01/23/2026 ~ | | $ | | | 8,150 | | | | | | 8,212 | |
KVK CLO Ltd. | |
2.509% (US0003M + 1.150%) due 01/15/2026 ~ | | | | | 25,000 | | | | | | 25,058 | |
Lockwood Grove CLO Ltd. | |
2.837% (US0003M + 1.470%) due 04/25/2025 ~ | | | | | 12,250 | | | | | | 12,343 | |
Madison Park Funding Ltd. | |
2.467% (US0003M + 1.110%) due 01/19/2025 ~ | | | | | 20,000 | | | | | | 20,087 | |
Merrill Lynch Mortgage Investors Trust | |
1.672% (US0001M + 0.120%) due 02/25/2037 ~ | | | | | 184 | | | | | | 85 | |
METAL LLC | |
4.581% due 10/15/2042 | | | | | 3,448 | | | | | | 3,452 | |
Morgan Stanley ABS Capital, Inc. Trust | |
2.197% (US0001M + 0.645%) due 09/25/2035 ~ | | | | | 497 | | | | | | 499 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
Morgan Stanley Mortgage Loan Trust | |
1.912% (US0001M + 0.360%) due 04/25/2037 ~ | | $ | | | 132 | | | $ | | | 71 | |
Mountain View CLO Ltd. | |
2.599% (US0003M + 1.240%) due 10/15/2026 ~ | | | | | 7,000 | | | | | | 7,023 | |
Navient Student Loan Trust | |
2.602% (US0001M + 1.050%) due 12/27/2066 ~ | | | | | 20,855 | | | | | | 21,132 | |
NewMark Capital Funding CLO Ltd. | |
2.555% (US0003M + 1.220%) due 06/30/2026 ~ | | | | | 9,260 | | | | | | 9,262 | |
Nomura Home Equity Loan, Inc. Home Equity Loan Trust | |
2.437% (US0001M + 0.885%) due 09/25/2035 ~ | | | | | 1,000 | �� | | | | | 1,010 | |
Northwoods Capital Ltd. | |
2.471% (US0003M + 1.080%) due 11/04/2025 ~ | | | | | 10,600 | | | | | | 10,606 | |
OHA Loan Funding Ltd. | |
2.584% (US0003M + 1.270%) due 08/23/2024 ~ | | | | | 5,179 | | | | | | 5,182 | |
Palmer Square CLO Ltd. | |
2.573% (US0003M + 1.220%) due 10/17/2027 ~ | | | | | 18,600 | | | | | | 18,693 | |
Residential Asset Securities Corp. Trust | |
2.192% (US0001M + 0.640%) due 08/25/2035 ~ | | | | | 6,189 | | | | | | 6,023 | |
Shackleton CLO Ltd. | |
2.479% (US0003M + 1.120%) due 01/13/2025 ~ | | | | | 4,700 | | | | | | 4,712 | |
SLM Student Loan Trust | |
0.221% (EUR003M + 0.550%) due 01/25/2041 ~ | | EUR | | | 8,400 | | | | | | 9,966 | |
Stanwich Mortgage Loan Co. | |
3.844% due 10/16/2046 ~ | | $ | | | 6,792 | | | | | | 6,764 | |
Structured Asset Investment Loan Trust | |
2.242% (US0001M + 0.690%) due 06/25/2035 ~ | | | | | 466 | | | | | | 468 | |
2.257% (US0001M + 0.705%) due 03/25/2034 ~ | | | | | 3,785 | | | | | | 3,683 | |
Structured Asset Securities Corp. Mortgage Loan Trust | |
1.892% (US0001M + 0.340%) due 02/25/2036 ~ | | | | | 1,000 | | | | | | 1,001 | |
2.002% (US0001M + 0.450%) due 11/25/2035 ~ | | | | | 1,200 | | | | | | 1,205 | |
TICP CLO Ltd. | |
2.543% (US0003M + 1.180%) due 01/20/2027 ~ | | | | | 11,800 | | | | | | 11,839 | |
Venture CLO Ltd. | |
2.479% (US0003M + 1.120%) due 04/15/2026 ~ | | | | | 11,300 | | | | | | 11,313 | |
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | DECEMBER 31, 2017 | | 41 |
Schedule of Investments PIMCO Fixed Income SHares: Series C (Cont.)
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
VOLT LLC | |
3.000% due 10/25/2047 | | $ | | | 15,000 | | | $ | | | 14,993 | |
3.125% due 06/25/2047 | | | | | 3,932 | | | | | | 3,943 | |
3.250% due 05/25/2047 | | | | | 3,575 | | | | | | 3,593 | |
3.375% due 04/25/2047 | | | | | 6,844 | | | | | | 6,889 | |
3.375% due 05/28/2047 | | | | | 9,239 | | | | | | 9,276 | |
3.500% due 03/25/2047 | | | | | 11,905 | | | | | | 11,977 | |
Wells Fargo Home Equity Asset-Backed Securities Trust | |
2.437% (US0001M + 0.885%) due 11/25/2035 ~ | | | 1,500 | | | | | | 1,514 | |
2.602% (US0001M + 1.050%) due 10/25/2034 ~ | | | 245 | | | | | | 240 | |
| | | | | | | | | | | | |
Total Asset-Backed Securities (Cost $485,832) | | | 491,616 | |
| | | | | | | | | | | | |
| |
| SOVEREIGN ISSUES 0.5% | |
Autonomous Community of Catalonia | |
4.750% due 06/04/2018 | | EUR | | | 2,500 | | | | | | 3,046 | |
Banco Nacional de Desenvolvimento Economico e Social | |
6.369% due 06/16/2018 | | $ | | | 3,300 | | | | | | 3,371 | |
| | | | | | | | | | | | |
Total Sovereign Issues (Cost $6,298) | | | 6,417 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
| SHORT-TERM INSTRUMENTS 1.3% | |
| |
| REPURCHASE AGREEMENTS (d) 1.2% | |
| | | | | | | | $ | | | 15,087 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| U.S. TREASURY BILLS 0.1% | |
1.151% due 01/04/2018 - 02/22/2018 (a)(b)(e)(i) | | $ | | | 1,015 | | | | | | 1,014 | |
| | | | | | | | | | | | |
Total Short-Term Instruments (Cost $16,101) | | | 16,101 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Total Investments in Securities (Cost $2,282,962) | | | 2,301,987 | |
| | | | | | | | | | | | |
| Total Investments 175.7% (Cost $2,282,962) | | | $ | | | 2,301,987 | |
| | | | | | | | | | | | |
Financial Derivative
Instruments (f)(h) (0.2)% (Cost or Premiums, net $5,650) | | | (1,878 | ) |
| | | | | | | | | | | | |
| Other Assets and Liabilities, net (75.5)% | | | (989,721 | ) |
| | | | | | | | | | | | |
| Net Assets 100.0% | | | $ | | | 1,310,388 | |
| | | | | | | | | | | | |
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*, EXCEPT NUMBER OF CONTRACTS):
| * | A zero balance may reflect actual amounts rounding to less than one thousand. |
| « | Security valued using significant unobservable inputs (Level 3). |
| ~ | 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. |
| (a) | Coupon represents a weighted average yield to maturity. |
| (c) | Perpetual maturity; date shown, if applicable, represents next contractual call date. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(d) 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 | | 0.700% | | | 12/29/2017 | | | | 01/02/2018 | | | $ | 3,387 | | | U.S. Treasury Notes 1.375% due 06/30/2023 | | $ | (3,459 | ) | | $ | 3,387 | | | $ | 3,387 | |
NOM | | 1.300 | | | 12/29/2017 | | | | 01/02/2018 | | | | 11,700 | | | U.S. Treasury Notes 2.000% due 11/15/2026 | | | (11,942 | ) | | | 11,700 | | | | 11,702 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Repurchase Agreements | | | | | $ | (15,401 | ) | | $ | 15,087 | | | $ | 15,089 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| 42 | | PIMCO MANAGED ACCOUNTS TRUST | | | | See Accompanying Notes |
December 31, 2017
REVERSE REPURCHASE AGREEMENTS:
| | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Borrowing
Rate(2) | | | Settlement
Date | | | Maturity
Date | | | Amount
Borrowed(2) | | | Payable for
Reverse
Repurchase
Agreements | |
BOM | | | 1.450 | % | | | 11/17/2017 | | | | 02/15/2018 | | | $ | (3,284 | ) | | $ | (3,290 | ) |
BOS | | | 1.330 | | | | 10/26/2017 | | | | 01/26/2018 | | | | (24,100 | ) | | | (24,161 | ) |
| | | 1.540 | | | | 12/04/2017 | | | | 01/09/2018 | | | | (9,724 | ) | | | (9,736 | ) |
GRE | | | 1.660 | | | | 12/22/2017 | | | | 01/12/2018 | | | | (5,909 | ) | | | (5,912 | ) |
| | | 1.700 | | | | 12/14/2017 | | | | 01/04/2018 | | | | (9,312 | ) | | | (9,320 | ) |
| | | 1.700 | | | | 12/15/2017 | | | | 01/16/2018 | | | | (12,752 | ) | | | (12,763 | ) |
JPS | | | 1.310 | | | | 10/19/2017 | | | | 01/19/2018 | | | | (81,396 | ) | | | (81,618 | ) |
| | | 1.430 | | | | 11/10/2017 | | | | 02/12/2018 | | | | (50,310 | ) | | | (50,416 | ) |
RCY | | | 1.430 | | | | 11/20/2017 | | | | 02/16/2018 | | | | (119,600 | ) | | | (119,804 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Reverse Repurchase Agreements | | | | | | | $ | (317,020 | ) |
| | | | | | | | | | | | | | | | | | | | |
SALE-BUYBACK TRANSACTIONS:
| | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Borrowing
Rate(2) | | | Borrowing
Date | | | Maturity
Date | | | Amount
Borrowed(2) | | | Payable for
Sale-Buyback
Transactions(3) | |
GSC | | | 1.660 | % | | | 12/12/2017 | | | | 01/12/2018 | | | $ | (3,697 | ) | | $ | (3,695 | ) |
NOM | | | 1.300 | | | | 11/09/2017 | | | | 01/09/2018 | | | | (6,242 | ) | | | (6,241 | ) |
UBS | | | 1.270 | | | | 10/10/2017 | | | | 01/09/2018 | | | | (153,737 | ) | | | (153,698 | ) |
| | | 1.370 | | | | 11/10/2017 | | | | 02/07/2018 | | | | (132,844 | ) | | | (132,663 | ) |
| | | 1.470 | | | | 12/05/2017 | | | | 01/30/2018 | | | | (2,204 | ) | | | (2,201 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Sale-Buyback Transactions | | | | | | | | | | | $ | (298,498 | ) |
| | | | | | | | | | | | | | | | | | | | |
BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY
The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral pledged/(received) as of December 31, 2017:
| | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Repurchase
Agreement
Proceeds to be
Received(1) | | | Payable for
Reverse
Repurchase
Agreements | | | Payable for
Sale-Buyback
Transactions | | | Total
Borrowings and
Other Financing
Transactions | | | Collateral
Pledged/
(Received) | | | Net Exposure(4) | |
Global/Master Repurchase Agreement | | | | | | | | | | | | | | | | | | | | | | | | |
BOM | | $ | 0 | | | $ | (3,290 | ) | | $ | 0 | | | $ | (3,290 | ) | | $ | 3,258 | | | $ | (32 | ) |
BOS | | | 0 | | | | (33,897 | ) | | | 0 | | | | (33,897 | ) | | | 33,781 | | | | (116 | ) |
FICC | | | 3,387 | | | | 0 | | | | 0 | | | | 3,387 | | | | (3,459 | ) | | | (72 | ) |
GRE | | | 0 | | | | (27,995 | ) | | | 0 | | | | (27,995 | ) | | | 27,820 | | | | (175 | ) |
JPS | | | 0 | | | | (132,034 | ) | | | 0 | | | | (132,034 | ) | | | 131,215 | | | | (819 | ) |
NOM | | | 11,702 | | | | 0 | | | | 0 | | | | 11,702 | | | | (11,942 | ) | | | (240 | ) |
RCY | | | 0 | | | | (119,804 | ) | | | 0 | | | | (119,804 | ) | | | 118,972 | | | | (832 | ) |
| | | | | |
Master Securities Forward Transaction Agreement | | | | | | | | | | | | | | | | | | | | | |
GSC | | | 0 | | | | 0 | | | | (3,695 | ) | | | (3,695 | ) | | | 3,682 | | | | (13 | ) |
NOM | | | 0 | | | | 0 | | | | (6,241 | ) | | | (6,241 | ) | | | 6,181 | | | | (60 | ) |
UBS | | | 0 | | | | 0 | | | | (288,562 | ) | | | (288,562 | ) | | | 287,219 | | | | (1,343 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Borrowings and Other Financing Transactions | | $ | 15,089 | | | $ | (317,020 | ) | | $ | (298,498 | ) | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | DECEMBER 31, 2017 | | 43 |
Schedule of Investments PIMCO Fixed Income SHares: Series C (Cont.)
CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS
Remaining Contractual Maturity of the Agreements
| | | | | | | | | | | | | | | | | | | | |
| | | Overnight and
Continuous | | | Up to 30 days | | | 31-90 days | | | Greater Than 90 days | | | Total | |
Reverse Repurchase Agreements | |
U.S. Treasury Obligations | | $ | 0 | | | $ | (143,510 | ) | | $ | (173,510 | ) | | $ | 0 | | | $ | (317,020 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total | | $ | 0 | | | $ | (143,510 | ) | | $ | (173,510 | ) | | $ | 0 | | | $ | (317,020 | ) |
| | | | | |
Sale-Buyback Transactions | | | | | | | | | | | | | | | | | | | | |
U.S. Treasury Obligations | | | 0 | | | | (165,835 | ) | | | (132,663 | ) | | | 0 | | | | (298,498 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total | | $ | 0 | | | $ | (165,835 | ) | | $ | (132,663 | ) | | $ | 0 | | | $ | (298,498 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Borrowings | | $ | 0 | | | $ | (309,345 | ) | | $ | (306,173 | ) | | $ | 0 | | | $ | (615,518 | ) |
| | | | | | | | | | | | | | | | | | | | |
Payable for reverse repurchase agreements and sale-buyback financing transactions | | | $ | (615,518 | ) |
| | | | | | | | | | | | | | | | | | | | |
| (e) | Securities with an aggregate market value of $612,129 have been pledged as collateral under the terms of the above master agreements as of December 31, 2017. |
| (1) | Includes accrued interest. |
| (2) | The average amount of borrowings outstanding during the period ended December 31, 2017 was $(521,238) at a weighted average interest rate of 1.049%. Average borrowings may include sale-buyback transactions and reverse repurchase agreements, if held during the period. |
| (3) | Payable for sale-buyback transactions includes $(225) of deferred price drop. |
| (4) | Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information regarding master netting arrangements. |
(f) FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED
PURCHASED OPTIONS:
OPTIONS ON EXCHANGE-TRADED FUTURES CONTRACTS
| | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Strike
Price | | | Expiration
Date | | | # of
Contracts | | | Notional
Amount | | | Cost | | | Market
Value | |
Call - CBOT U.S. Treasury 2-Year Note March Futures | | $ | 108.625 | | | | 02/23/2018 | | | | 61 | | | $ | 122 | | | $ | 1 | | | $ | 0 | |
Call - CBOT U.S. Treasury 2-Year Note March Futures | | | 108.750 | | | | 02/23/2018 | | | | 88 | | | | 176 | | | | 1 | | | | 0 | |
Put - CBOT U.S. Treasury 10-Year Note March Futures | | | 113.000 | | | | 02/23/2018 | | | | 40 | | | | 40 | | | | 0 | | | | 0 | |
Put - CBOT U.S. Treasury 10-Year Note March Futures | | | 113.500 | | | | 02/23/2018 | | | | 1,356 | | | | 1,356 | | | | 11 | | | | 1 | |
Put - CBOT U.S. Treasury 10-Year Note March Futures | | | 114.000 | | | | 02/23/2018 | | | | 653 | | | | 653 | | | | 6 | | | | 1 | |
Put - CBOT U.S. Treasury 10-Year Note March Futures | | | 114.500 | | | | 02/23/2018 | | | | 42 | | | | 42 | | | | 0 | | | | 0 | |
Put - CBOT U.S. Treasury 10-Year Note March Futures | | | 115.000 | | | | 02/23/2018 | | | | 131 | | | | 131 | | | | 1 | | | | 0 | |
Put - CBOT U.S. Treasury 10-Year Note March Futures | | | 115.500 | | | | 02/23/2018 | | | | 19 | | | | 19 | | | | 0 | | | | 0 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 20 | | | $ | 2 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Purchased Options | | | | | | | | | | | $ | 20 | | | $ | 2 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| 44 | | PIMCO MANAGED ACCOUNTS TRUST | | | | See Accompanying Notes |
December 31, 2017
FUTURES CONTRACTS:
LONG FUTURES CONTRACTS
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Expiration
Month | | # of
Contracts | | | Notional
Amount | | | Unrealized
Appreciation/
(Depreciation) | | | Variation Margin | |
| | | | | | Asset | | | Liability | |
Euro-Bund 10-Year Bond March Futures | | 03/2018 | | | 506 | | | | EUR | | | | 98,160 | | | $ | (630 | ) | | $ | 0 | | | $ | (370 | ) |
U.S. Treasury 10-Year Note March Futures | | 03/2018 | | | 550 | | | | $ | | | | 68,226 | | | | (372 | ) | | | 112 | | | | 0 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | $ | (1,002 | ) | | $ | 112 | | | $ | (370 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
SHORT FUTURES CONTRACTS
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Description | | Expiration
Month | | # of
Contracts | | | Notional
Amount | | | Unrealized
Appreciation/
(Depreciation) | | | Variation Margin | |
| | | | | | Asset | | | Liability | |
Euro-OAT France Government 10-Year Bond March Futures | | 03/2018 | | | 720 | | | | EUR | | | | (134,059 | ) | | $ | 1,666 | | | $ | 812 | | | $ | 0 | |
U.S. Treasury 2-Year Note March Futures | | 03/2018 | | | 200 | | | | $ | | | | (42,822 | ) | | | 22 | | | | 0 | | | | (13 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | $ | 1,688 | | | $ | 812 | | | $ | (13 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Futures Contracts | | | $ | 686 | | | $ | 924 | | | $ | (383 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
SWAP AGREEMENTS:
CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION(1)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Reference Entity | | Fixed
Receive
Rate | | | Payment
Frequency | | | Maturity
Date | | | Implied
Credit
Spread at
December 31,
2017(2) | | | Notional
Amount(3) | | | Premiums
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | | | Market
Value | | | Variation Margin | |
| | | | | | | | | | Asset | | | Liability | |
Ally Financial, Inc. | | | 5.000 | % | | | Quarterly | | | | 06/20/2022 | | | | 0.904 | % | | $ | 30,500 | | | $ | 3,769 | | | $ | 1,565 | | | $ | 5,334 | | | $ | 0 | | | $ | (21 | ) |
Ford Motor Co. | | | 5.000 | | | | Quarterly | | | | 12/20/2023 | | | | 1.106 | | | | 11,000 | | | | 1,997 | | | | 376 | | | | 2,373 | | | | 0 | | | | (19 | ) |
Kinder Morgan, Inc. | | | 1.000 | | | | Quarterly | | | | 06/20/2021 | | | | 0.471 | | | | 8,900 | | | | (182 | ) | | | 344 | | | | 162 | | | | 0 | | | | (6 | ) |
Kinder Morgan, Inc. | | | 1.000 | | | | Quarterly | | | | 12/20/2021 | | | | 0.575 | | | | 1,100 | | | | (37 | ) | | | 55 | | | | 18 | | | | 0 | | | | 0 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | $ | 5,547 | | | $ | 2,340 | | | $ | 7,887 | | | $ | 0 | | | $ | (46 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
INTEREST RATE SWAPS
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Pay/
Receive
Floating
Rate | | Floating
Rate Index | | | Fixed
Rate | | | Payment
Frequency | | | Maturity
Date | | | Notional
Amount | | | Premiums
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | | | Market
Value | | | Variation Margin | |
| | | | | | | | | | Asset | | | Liability | |
Receive | |
| 3-Month
USD-LIBOR |
| | | 1.750 | % | | | Semi-Annual | | | | 12/21/2023 | | | | $ | | | | 70,000 | | | $ | 1,127 | | | $ | 996 | | | $ | 2,123 | | | $ | 0 | | | $ | (71 | ) |
Receive | |
| 3-Month
USD-LIBOR |
| | | 1.750 | | | | Semi-Annual | | | | 12/21/2026 | | | | | | | | 256,700 | | | | 1,879 | | | | 11,549 | | | | 13,428 | | | | 0 | | | | (428 | ) |
Receive(4) | |
| 6-Month
GBP-LIBOR |
| | | 1.500 | | | | Semi-Annual | | | | 03/21/2028 | | | | GBP | | | | 46,000 | | | | (1,780 | ) | | | 598 | | | | (1,182 | ) | | | 112 | | | | 0 | |
Receive | |
| 6-Month
JPY-LIBOR |
| | | 0.300 | | | | Semi-Annual | | | | 09/20/2027 | | | | JPY | | | | 6,290,000 | | | | (80 | ) | | | 110 | | | | 30 | | | | 40 | | | | 0 | |
Pay | |
| 28-Day
MXN-TIIE |
| | | 6.000 | | | | Lunar | | | | 06/07/2022 | | | | MXN | | | | 1,039,800 | | | | 790 | | | | (4,541 | ) | | | (3,751 | ) | | | 206 | | | | 0 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | $ | 1,936 | | | $ | 8,712 | | | $ | 10,648 | | | $ | 358 | | | $ | (499 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Swap Agreements | | | $ | 7,483 | | | $ | 11,052 | | | $ | 18,535 | | | $ | 358 | | | $ | (545 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | DECEMBER 31, 2017 | | 45 |
Schedule of Investments PIMCO Fixed Income SHares: Series C (Cont.)
FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED SUMMARY
The following is a summary of the market value and variation margin of Exchange-Traded or Centrally Cleared Financial Derivative Instruments as of December 31, 2017:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Financial Derivative Assets | | | | | | Financial Derivative Liabilities | |
| | | Market Value | | | Variation Margin
Asset | | | | | | | | | Market Value | | | Variation Margin
Liability | | | | |
| | | Purchased
Options | | | Futures | | | Swap
Agreements | | | Total | | | | | | Written
Options | | | Futures | | | Swap
Agreements | | | Total | |
Total Exchange-Traded or Centrally Cleared | | $ | 2 | | | $ | 924 | | | $ | 358 | | | $ | 1,284 | | | | | | | $ | 0 | | | $ | (383) | | | $ | (545) | | | $ | (928) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (g) | Securities with an aggregate market value of $19,153 and cash of $22,818 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2017. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information regarding master netting arrangements. |
| (1) | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio 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 corporate or sovereign 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 Portfolio 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) | This instrument has a forward starting effective date. See Note 2, Securities Transactions and Investment Income, in the Notes to Financial Statements for further information. |
(h) FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER
FORWARD FOREIGN CURRENCY CONTRACTS:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Counterparty | | Settlement
Month | | | Currency to
be Delivered | | | Currency to
be Received | | | Unrealized Appreciation/
(Depreciation) | |
| | | | | Asset | | | Liability | |
BOA | | | 01/2018 | | | | AUD | | | | 34,746 | | | | $ | | | | 26,366 | | | $ | 0 | | | $ | (744 | ) |
| | | 01/2018 | | | | EUR | | | | 12,683 | | | | | | | | 15,039 | | | | 0 | | | | (186 | ) |
| | | 02/2018 | | | | $ | | | | 13,366 | | | | ZAR | | | | 184,466 | | | | 1,467 | | | | 0 | |
| | | 02/2018 | | | | ZAR | | | | 106,782 | | | | $ | | | | 7,910 | | | | 0 | | | | (676 | ) |
BPS | | | 01/2018 | | | | EUR | | | | 24,882 | | | | | | | | 29,663 | | | | 0 | | | | (204 | ) |
| | | 01/2018 | | | | MXN | | | | 15,482 | | | | | | | | 804 | | | | 19 | | | | 0 | |
BRC | | | 01/2018 | | | | $ | | | | 1,137 | | | | GBP | | | | 848 | | | | 8 | | | | 0 | |
| | | 01/2018 | | | | | | | | 13,287 | | | | MXN | | | | 251,830 | | | | 0 | | | | (529 | ) |
CBK | | | 01/2018 | | | | EUR | | | | 300 | | | | $ | | | | 356 | | | | 0 | | | | (4 | ) |
| | | 01/2018 | | | | MXN | | | | 13,824 | | | | | | | | 704 | | | | 4 | | | | 0 | |
| | | 01/2018 | | | | $ | | | | 3,160 | | | | RUB | | | | 184,943 | | | | 45 | | | | 0 | |
| | | 03/2018 | | | | TWD | | | | 2,285,238 | | | | $ | | | | 76,340 | | | | 0 | | | | (770 | ) |
| | | 03/2018 | | | | $ | | | | 13,972 | | | | INR | | | | 916,020 | | | | 259 | | | | 0 | |
GLM | | | 01/2018 | | | | BRL | | | | 74,088 | | | | $ | | | | 22,235 | | | | 0 | | | | (100 | ) |
| | | 01/2018 | | | | $ | | | | 22,397 | | | | BRL | | | | 74,088 | | | | 0 | | | | (62 | ) |
| | | 02/2018 | | | | | | | | 22,149 | | | | | | | | 74,088 | | | | 111 | | | | 0 | |
| | | 02/2018 | | | | | | | | 441 | | | | PLN | | | | 1,602 | | | | 19 | | | | 0 | |
HUS | | | 01/2018 | | | | | | | | 5,165 | | | | RUB | | | | 305,621 | | | | 132 | | | | 0 | |
| | | | | | |
| 46 | | PIMCO MANAGED ACCOUNTS TRUST | | | | See Accompanying Notes |
December 31, 2017
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Counterparty | | Settlement
Month | | | Currency to
be Delivered | | | Currency to
be Received | | | Unrealized Appreciation/
(Depreciation) | |
| | | | | Asset | | | Liability | |
JPM | | | 01/2018 | | | | $ | | | | 21,019 | | | | TRY | | | | 84,240 | | | $ | 1,073 | | | $ | 0 | |
MSB | | | 01/2018 | | | | BRL | | | | 74,088 | | | | $ | | | | 22,396 | | | | 61 | | | | 0 | |
| | | 01/2018 | | | | $ | | | | 22,629 | | | | BRL | | | | 74,088 | | | | 0 | | | | (294 | ) |
SCX | | | 01/2018 | | | | | | | | 3,145 | | | | JPY | | | | 349,178 | | | | 0 | | | | (45 | ) |
| | | 02/2018 | | | | ZAR | | | | 74,549 | | | | $ | | | | 5,520 | | | | 0 | | | | (474 | ) |
UAG | | | 01/2018 | | | | GBP | | | | 54,764 | | | | | | | | 72,895 | | | | 0 | | | | (1,060 | ) |
| | | 03/2018 | | | | KRW | | | | 3,199,711 | | | | | | | | 2,875 | | | | 0 | | | | (117 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Forward Foreign Currency Contracts | | | $ | 3,198 | | | $ | (5,265 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
PURCHASED OPTIONS:
OPTIONS ON SECURITIES
| | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Description | | Strike
Price | | | Expiration
Date | | | Notional
Amount | | | Cost | | | Market
Value | |
JPM | | Put - OTC Fannie Mae, TBA 3.500%
due 03/01/2048 | | $ | 73.000 | | | | 03/06/2018 | | | $ | 265,000 | | | $ | 11 | | | $ | 0 | |
| | | | | | | | | | | | | | | | | | | | | | |
Total Purchased Options | | | | | | | | | | | | | | $ | 11 | | | $ | 0 | |
| | | | | | | | | | | | | | | | | | | | | | |
SWAP AGREEMENTS:
CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION(1)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Reference
Entity | | Fixed
(Pay) Rate | | Payment
Frequency | | Maturity
Date | | | Implied
Credit
Spread at
December 31,
2017(3) | | | Notional
Amount(4) | | | Premiums
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | | | Swap
Agreements,
at Value | |
| | | | | | | | | | Asset | | | Liability | |
GST | | UBS AG | | (1.000)% | | Quarterly | | | 09/20/2022 | | | | 0.520% | | | $ | 2,800 | | | $ | (16 | ) | | $ | (45 | ) | | $ | 0 | | | $ | (61 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION(2)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Counterparty | | Reference Entity | | Fixed
Receive
Rate | | | Payment
Frequency | | | Maturity
Date | | | Implied
Credit
Spread at
December 31,
2017(3) | | | Notional
Amount(4) | | | Premiums
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | | | Swap
Agreements,
at Value | |
| | | | | | | | | | Asset | | | Liability | |
BPS | | Brazil Government International Bond | | | 1.000 | % | | | Quarterly | | | | 06/20/2022 | | | | 1.442 | % | | $ | 10,750 | | | $ | (749 | ) | | $ | 553 | | | $ | 0 | | | $ | (196 | ) |
BRC | | Brazil Government International Bond | | | 1.000 | | | | Quarterly | | | | 06/20/2022 | | | | 1.442 | | | | 5,300 | | | | (370 | ) | | | 273 | | | | 0 | | | | (97 | ) |
| | Mexico Government International Bond | | | 1.000 | | | | Quarterly | | | | 06/20/2022 | | | | 0.948 | | | | 29,800 | | | | (782 | ) | | | 859 | | | | 77 | | | | 0 | |
| | Springleaf Finance Corp. | | | 5.000 | | | | Quarterly | | | | 06/20/2022 | | | | 2.541 | | | | 800 | | | | 66 | | | | 15 | | | | 81 | | | | 0 | |
GST | | Mexico Government International Bond | | | 1.000 | | | | Quarterly | | | | 12/20/2022 | | | | 1.059 | | | | 9,300 | | | | (56 | ) | | | 34 | | | | 0 | | | | (22 | ) |
| | Springleaf Finance Corp. | | | 5.000 | | | | Quarterly | | | | 06/20/2022 | | | | 2.541 | | | | 500 | | | | 43 | | | | 8 | | | | 51 | | | | 0 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | $ | (1,848 | ) | | $ | 1,742 | | | $ | 209 | | | $ | (315 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Swap Agreements | | | $ | (1,864 | ) | | $ | 1,697 | | | $ | 209 | | | $ | (376 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | DECEMBER 31, 2017 | | 47 |
Schedule of Investments PIMCO Fixed Income SHares: Series C (Cont.)
FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER SUMMARY
The following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral pledged/(received) as of December 31, 2017:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Financial Derivative Assets | | | | | | Financial Derivative Liabilities | | | | | | | | | | |
| Counterparty | | Forward
Foreign
Currency
Contracts | | | Purchased
Options | | | Swap
Agreements | | | Total
Over
the
Counter | | | | | | Forward
Foreign
Currency
Contracts | | | Written
Options | | | Swap
Agreements | | | Total
Over the
Counter | | | Net Market
Value of
OTC
Derivatives | | | Collateral
Pledged/
(Received) | | | Net
Exposure(6) | |
BOA | | $ | 1,467 | | | $ | 0 | | | $ | 0 | | | $ | 1,467 | | | | | | | $ | (1,606 | ) | | $ | 0 | | | $ | 0 | | | $ | (1,606 | ) | | $ | (139 | ) | | $ | 0 | | | $ | (139 | ) |
BPS | | | 19 | | | | 0 | | | | 0 | | | | 19 | | | | | | | | (204 | ) | | | 0 | | | | (196 | ) | | | (400 | ) | | | (381 | ) | | | 0 | | | | (381 | ) |
BRC | | | 8 | | | | 0 | | | | 158 | | | | 166 | | | | | | | | (529 | ) | | | 0 | | | | (97 | ) | | | (626 | ) | | | (460 | ) | | | 336 | | | | (124 | ) |
CBK | | | 308 | | | | 0 | | | | 0 | | | | 308 | | | | | | | | (774 | ) | | | 0 | | | | 0 | | | | (774 | ) | | | (466 | ) | | | 843 | | | | 377 | |
GLM | | | 130 | | | | 0 | | | | 0 | | | | 130 | | | | | | | | (162 | ) | | | 0 | | | | 0 | | | | (162 | ) | | | (32 | ) | | | 0 | | | | (32 | ) |
GST | | | 0 | | | | 0 | | | | 51 | | | | 51 | | | | | | | | 0 | | | | 0 | | | | (83 | ) | | | (83 | ) | | | (32 | ) | | | 0 | | | | (32 | ) |
HUS | | | 132 | | | | 0 | | | | 0 | | | | 132 | | | | | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 132 | | | | 0 | | | | 132 | |
JPM | | | 1,073 | | | | 0 | | | | 0 | | | | 1,073 | | | | | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 1,073 | | | | (1,130 | ) | | | (57 | ) |
MSB | | | 61 | | | | 0 | | | | 0 | | | | 61 | | | | | | | | (294 | ) | | | 0 | | | | 0 | | | | (294 | ) | | | (233 | ) | | | 166 | | | | (67 | ) |
SCX | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | | | | | (519 | ) | | | 0 | | | | 0 | | | | (519 | ) | | | (519 | ) | | | 387 | | | | (132 | ) |
UAG | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | | | | | (1,177 | ) | | | 0 | | | | 0 | | | | (1,177 | ) | | | (1,177 | ) | | | 873 | | | | (304 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Over the Counter | | $ | 3,198 | | | $ | 0 | | | $ | 209 | | | $ | 3,407 | | | | | | | $ | (5,265 | ) | | $ | 0 | | | $ | (376 | ) | | $ | (5,641 | ) | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (i) | Securities with an aggregate market value of $2,605 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2017. |
| (1) | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive 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) | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio 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. |
| (3) | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign 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. |
| (4) | The maximum potential amount the Portfolio 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. |
| (6) | Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information regarding master netting arrangements. |
| | | | | | |
| 48 | | PIMCO MANAGED ACCOUNTS TRUST | | | | See Accompanying Notes |
December 31, 2017
FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS
The following is a summary of the fair valuation of the Portfolio’s derivative instruments categorized by risk exposure. See Note 7, Principal Risks, in the Notes to Financial Statements on risks of the Portfolio.
Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of December 31, 2017:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Derivatives not accounted for as hedging instruments | |
| | | Commodity
Contracts | | | Credit
Contracts | | | Equity
Contracts | | | Foreign
Exchange
Contracts | | | Interest
Rate Contracts | | | Total | |
Financial Derivative Instruments - Assets | | | | | | | | | | | | | | | | | | | | | | | | |
Exchange-traded or centrally cleared | | | | | | | | | | | | | | | | | | | | | | | | |
Purchased Options | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 2 | | | $ | 2 | |
Futures | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 924 | | | | 924 | |
Swap Agreements | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 358 | | | | 358 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 1,284 | | | $ | 1,284 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Over the counter | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 3,198 | | | $ | 0 | | | $ | 3,198 | |
Swap Agreements | | | 0 | | | | 209 | | | | 0 | | | | 0 | | | | 0 | | | | 209 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 209 | | | $ | 0 | | | $ | 3,198 | | | $ | 0 | | | $ | 3,407 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 209 | | | $ | 0 | | | $ | 3,198 | | | $ | 1,284 | | | $ | 4,691 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Financial Derivative Instruments - Liabilities | | | | | | | | | | | | | | | | | | | | | | | | |
Exchange-traded or centrally cleared | | | | | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 383 | | | $ | 383 | |
Swap Agreements | | | 0 | | | | 46 | | | | 0 | | | | 0 | | | | 499 | | | | 545 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 46 | | | $ | 0 | | | $ | 0 | | | $ | 882 | | | $ | 928 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Over the counter | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 5,265 | | | $ | 0 | | | $ | 5,265 | |
Swap Agreements | | | 0 | | | | 376 | | | | 0 | | | | 0 | | | | 0 | | | | 376 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 376 | | | $ | 0 | | | $ | 5,265 | | | $ | 0 | | | $ | 5,641 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 422 | | | $ | 0 | | | $ | 5,265 | | | $ | 882 | | | $ | 6,569 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
The effect of Financial Derivative Instruments on the Statements of Operations for the period ended December 31, 2017:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Derivatives not accounted for as hedging instruments | |
| | | Commodity
Contracts | | | Credit
Contracts | | | Equity
Contracts | | | Foreign
Exchange
Contracts | | | Interest
Rate Contracts | | | Total | |
Net Realized Gain (Loss) on Financial Derivative Instruments | |
Exchange-traded or centrally cleared | | | | | | | | | | | | | | | | | | | | | | | | |
Purchased Options | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | (30 | ) | | $ | (30 | ) |
Futures | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | (468 | ) | | | (468 | ) |
Swap Agreements | | | 0 | | | | 2,142 | | | | 0 | | | | 0 | | | | 31,882 | | | | 34,024 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 2,142 | | | $ | 0 | | | $ | 0 | | | $ | 31,384 | | | $ | 33,526 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Over the counter | |
Forward Foreign Currency Contracts | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | (14,152 | ) | | $ | 0 | | | $ | (14,152 | ) |
Purchased Options | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | (20 | ) | | | (20 | ) |
Written Options | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 409 | | | | 409 | |
Swap Agreements | | | 0 | | | | 2,298 | | | | 0 | | | | 0 | | | | 0 | | | | 2,298 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 2,298 | | | $ | 0 | | | $ | (14,152 | ) | | $ | 389 | | | $ | (11,465 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 4,440 | | | $ | 0 | | | $ | (14,152 | ) | | $ | 31,773 | | | $ | 22,061 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | DECEMBER 31, 2017 | | 49 |
Schedule of Investments PIMCO Fixed Income SHares: Series C (Cont.)
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Derivatives not accounted for as hedging instruments | |
| | | Commodity
Contracts | | | Credit
Contracts | | | Equity
Contracts | | | Foreign
Exchange
Contracts | | | Interest
Rate Contracts | | | Total | |
Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative Instruments | |
Exchange-traded or centrally cleared | |
Purchased Options | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | (18 | ) | | $ | (18 | ) |
Futures | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 686 | | | | 686 | |
Swap Agreements | | | 0 | | | | 2,159 | | | | 0 | | | | 0 | | | | (35,846 | ) | | | (33,687 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 2,159 | | | $ | 0 | | | $ | 0 | | | $ | (35,178 | ) | | $ | (33,019 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Over the counter | |
Forward Foreign Currency Contracts | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | (1,883 | ) | | $ | 0 | | | $ | (1,883 | ) |
Purchased Options | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | (10 | ) | | | (10 | ) |
Written Options | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | (237 | ) | | | (237 | ) |
Swap Agreements | | | 0 | | | | 964 | | | | 0 | | | | 0 | | | | 0 | | | | 964 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 964 | | | $ | 0 | | | $ | (1,883 | ) | | $ | (247 | ) | | $ | (1,166 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 3,123 | | | $ | 0 | | | $ | (1,883 | ) | | $ | (35,425 | ) | | $ | (34,185 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2017 in valuing the Portfolio’s assets and liabilities:
| | | | | | | | | | | | | | | | |
| Category and Subcategory | | Level 1 | | | Level 2 | | | Level 3 | | | Fair
Value at
12/31/2017 | |
Investments in Securities, at Value | |
Loan Participations and Assignments | | $ | 0 | | | $ | 6,924 | | | $ | 30,917 | | | $ | 37,841 | |
Corporate Bonds & Notes | |
Banking & Finance | | | 0 | | | | 386,735 | | | | 0 | | | | 386,735 | |
Industrials | | | 0 | | | | 56,883 | | | | 199 | | | | 57,082 | |
Utilities | | | 0 | | | | 25,843 | | | | 0 | | | | 25,843 | |
Municipal Bonds & Notes | |
Illinois | | | 0 | | | | 8,250 | | | | 0 | | | | 8,250 | |
Texas | | | 0 | | | | 1,451 | | | | 0 | | | | 1,451 | |
U.S. Government Agencies | | | 0 | | | | 431,282 | | | | 0 | | | | 431,282 | |
U.S. Treasury Obligations | | | 0 | | | | 766,315 | | | | 0 | | | | 766,315 | |
Non-Agency Mortgage-Backed Securities | | | 0 | | | | 51,844 | | | | 21,210 | | | | 73,054 | |
Asset-Backed Securities | | | 0 | | | | 491,616 | | | | 0 | | | | 491,616 | |
Sovereign Issues | | | 0 | | | | 6,417 | | | | 0 | | | | 6,417 | |
Short-Term Instruments | |
Repurchase Agreements | | | 0 | | | | 15,087 | | | | 0 | | | | 15,087 | |
U.S. Treasury Bills | | | 0 | | | | 1,014 | | | | 0 | | | | 1,014 | |
| | | | |
Total Investments | | $ | 0 | | | $ | 2,249,661 | | | $ | 52,326 | | | $ | 2,301,987 | |
| | | | |
Financial Derivative Instruments - Assets | | | | | | | | | | | | | | | | |
Exchange-traded or centrally cleared | | | 924 | | | | 360 | | | | 0 | | | | 1,284 | |
Over the counter | | | 0 | | | | 3,407 | | | | 0 | | | | 3,407 | |
| | $ | 924 | | | $ | 3,767 | | | $ | 0 | | | $ | 4,691 | |
|
Financial Derivative Instruments - Liabilities | |
Exchange-traded or centrally cleared | | | (383 | ) | | | (545 | ) | | | 0 | | | | (928 | ) |
Over the counter | | | 0 | | | | (5,641 | ) | | | 0 | | | | (5,641 | ) |
| | $ | (383 | ) | | $ | (6,186 | ) | | $ | 0 | | | $ | (6,569 | ) |
| | | | |
Total Financial Derivative Instruments | | $ | 541 | | | $ | (2,419 | ) | | $ | 0 | | | $ | (1,878 | ) |
| | | | |
Totals | | $ | 541 | | | $ | 2,247,242 | | | $ | 52,326 | | | $ | 2,300,109 | |
| | | | | | |
| 50 | | PIMCO MANAGED ACCOUNTS TRUST | | | | See Accompanying Notes |
December 31, 2017
There were no significant transfers among Levels 1 and 2 during the period ended December 31, 2017.
The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Portfolio during the period ended December 31, 2017:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Category and Subcategory | | Beginning
Balance
at 12/31/2016 | | | Net
Purchases | | | Net
Sales | | | 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 12/31/2017 | | | Net Change
in Unrealized
Appreciation/
(Depreciation)
on Investments
Held at
12/31/2017(1) | |
Investments in Securities, at Value | |
Loan Participations and Assignments | | $ | 0 | | | $ | 30,671 | | | $ | (243 | ) | | $ | 69 | | | $ | 0 | | | $ | 420 | | | $ | 0 | | | $ | 0 | | | $ | 30,917 | | | $ | 420 | |
Corporate Bonds & Notes | |
Industrials | | | 17,919 | | | | 0 | | | | (6,306 | ) | | | (83 | ) | | | (141 | ) | | | 43 | | | | 199 | | | | (11,432 | ) | | | 199 | | | | 0 | |
Non-Agency Mortgage-Backed Securities | | | 32,417 | | | | 0 | | | | (9,256 | ) | | | 0 | | | | 0 | | | | 233 | | | | 0 | | | | (2,184 | ) | | | 21,210 | | | | 230 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Totals | | $ | 50,336 | | | $ | 30,671 | | | $ | (15,805 | ) | | $ | (14 | ) | | $ | (141 | ) | | $ | 696 | | | $ | 199 | | | $ | (13,616 | ) | | $ | 52,326 | | | $ | 650 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:
| | | | | | | | | | | | | | | | | | | | |
| Category and Subcategory | | Ending
Balance
at 12/31/2017 | | Valuation
Technique | | Unobservable
Inputs | | Input Value(s)
(% Unless
Noted
Otherwise) |
Investments in Securities, at Value | |
Loan Participations and Assignments | | | $ | 13,366 | | | Proxy Pricing | | Base Price | | | | 100.000-100.170 | |
| | | | 17,551 | | | Reference Instrument | | Discount Margin | | | | 250.200 bps | |
Corporate Bonds & Notes | |
Industrials | | | | 199 | | | Third Party Vendor | | Broker Quote | | | | 101.750 | |
Non-Agency Mortgage-Backed Securities | | | | 21,210 | | | Proxy Pricing | | Broker Quote | | | | 101.00 | |
| | | | | | | | | | | | | | | | |
Total | | | $ | 52,326 | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| (1) | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at December 31, 2017 may be due to an investment no longer held or categorized as Level 3 at period end. |
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | DECEMBER 31, 2017 | | 51 |
Schedule of Investments PIMCO Fixed Income SHares: Series LD
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
| INVESTMENTS IN SECURITIES 191.1% | |
| |
| LOAN PARTICIPATIONS AND ASSIGNMENTS 0.7% | |
Energy Future Intermediate Holding Co. LLC | |
TBD% due 06/30/2018 | | $ | | | 400 | | | $ | | | 401 | |
Las Vegas Sands LLC | |
TBD% due 03/29/2024 | | | | | 246 | | | | | | 248 | |
| | | | | | | | | | | | |
Total Loan Participations and Assignments
(Cost $646) | | | 649 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| CORPORATE BONDS & NOTES 105.8% | |
| |
| BANKING & FINANCE 51.1% | |
AerCap Ireland Capital DAC | |
4.250% due 07/01/2020 (h) | | | | | 500 | | | | | | 519 | |
4.625% due 10/30/2020 (h) | | | | | 500 | | | | | | 524 | |
Air Lease Corp. | |
2.750% due 01/15/2023 (h) | | | | | 1,300 | | | | | | 1,282 | |
4.750% due 03/01/2020 (h) | | | | | 500 | | | | | | 523 | |
Ally Financial, Inc. | |
3.250% due 02/13/2018 | | | | | 100 | | | | | | 100 | |
3.250% due 11/05/2018 | | | | | 200 | | | | | | 201 | |
3.500% due 01/27/2019 | | | | | 300 | | | | | | 302 | |
3.600% due 05/21/2018 | | | | | 800 | | | | | | 803 | |
Aozora Bank Ltd. | |
2.750% due 03/09/2020 (h) | | | | | 1,000 | | | | | | 997 | |
Athene Global Funding | |
2.875% due 10/23/2018 (h) | | | | | 800 | | | | | | 804 | |
Aviation Capital Group LLC | |
2.875% due 01/20/2022 (h) | | | | | 800 | | | | | | 800 | |
6.750% due 04/06/2021 (h) | | | | | 250 | | | | | | 280 | |
Bank of America Corp. | |
8.000% due 01/30/2018 (e)• | | | | | 1,200 | | | | | | 1,206 | |
8.125% due 05/15/2018 (e)• | | | | | 300 | | | | | | 304 | |
Barclays PLC | |
3.520% (US0003M + 2.110%) due 08/10/2021 ~(h) | | | | | 1,000 | | | | | | 1,047 | |
8.250% due 12/15/2018 (e)(f)• | | | | | 1,300 | | | | | | 1,366 | |
Bestgain Real Estate Ltd. | |
2.625% due 03/13/2018 | | | | | 1,000 | | | | | | 1,000 | |
BGC Partners, Inc. | |
5.125% due 05/27/2021 (h) | | | | | 300 | | | | | | 317 | |
BOC Aviation Ltd. | |
2.375% due 09/15/2021 (h) | | | | | 400 | | | | | | 390 | |
3.000% due 03/30/2020 (h) | | | | | 850 | | | | | | 853 | |
3.000% due 05/23/2022 | | | | | 1,300 | | | | | | 1,287 | |
3.875% due 05/09/2019 | | | | | 294 | | | | | | 298 | |
Cantor Fitzgerald LP | |
6.500% due 06/17/2022 (h) | | | | | 200 | | | | | | 222 | |
7.875% due 10/15/2019 (h) | | | | | 300 | | | | | | 325 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
CIT Group, Inc. | |
3.875% due 02/19/2019 | | $ | | | 100 | | | $ | | | 101 | |
5.375% due 05/15/2020 | | | | | 100 | | | | | | 106 | |
5.500% due 02/15/2019 | | | | | 168 | | | | | | 173 | |
Citigroup, Inc. | |
2.315% (US0003M + 0.950%) due 07/24/2023 ~(h) | | | | | 1,500 | | | | | | 1,513 | |
Credit Suisse Group Funding Guernsey Ltd. | |
3.800% due 09/15/2022 (h) | | | | | 850 | | | | | | 878 | |
Doric Nimrod Air Finance Alpha Ltd. Pass-Through Trust | |
5.125% due 11/30/2024 | | | | | 126 | | | | | | 131 | |
Five Corners Funding Trust | |
4.419% due 11/15/2023 (h) | | | | | 500 | | | | | | 536 | |
Hartford Financial Services Group, Inc. | |
5.500% due 03/30/2020 (h) | | | | | 350 | | | | | | 373 | |
HBOS PLC | |
6.750% due 05/21/2018 (h) | | | | | 500 | | | | | | 509 | |
Hyundai Capital Services, Inc. | |
1.625% due 08/30/2019 (h) | | | | | 1,000 | | | | | | 979 | |
ICICI Bank Ltd. | |
3.125% due 08/12/2020 (h) | | | | | 300 | | | | | | 301 | |
3.500% due 03/18/2020 (h) | | | | | 400 | | | | | | 404 | |
International Lease Finance Corp. | |
6.250% due 05/15/2019 (h) | | | | | 200 | | | | | | 210 | |
7.125% due 09/01/2018 (h) | | | | | 300 | | | | | | 310 | |
8.250% due 12/15/2020 (h) | | | | | 250 | | | | | | 288 | |
JPMorgan Chase & Co. | |
7.900% due 04/30/2018 (e)• | | | | | 900 | | | | | | 912 | |
LeasePlan Corp. NV | |
2.500% due 05/16/2018 (h) | | | | | 666 | | | | | | 666 | |
2.875% due 01/22/2019 (h) | | | | | 600 | | | | | | 601 | |
Lloyds Banking Group PLC | |
7.000% due 06/27/2019 (e)(f)• | | GBP | | | 1,050 | | | | | | 1,498 | |
Macquarie Group Ltd. | |
3.000% due 12/03/2018 (h) | | $ | | | 100 | | | | | | 101 | |
Mitsubishi UFJ Lease & Finance Co. Ltd. | |
2.250% due 09/07/2021 (h) | | | | | 1,000 | | | | | | 978 | |
2.750% due 10/21/2020 (h) | | | | | 300 | | | | | | 300 | |
Mizuho Financial Group, Inc. | |
2.408% (US0003M + 0.940%) due 02/28/2022 ~(h) | | | | | 1,400 | | | | | | 1,413 | |
Nationwide Building Society | |
4.125% due 03/20/2023 • | | EUR | | | 200 | | | | | | 242 | |
Navient Corp. | |
4.875% due 06/17/2019 | | $ | | | 1,000 | | | | | | 1,019 | |
5.500% due 01/15/2019 | | | | | 500 | | | | | | 510 | |
8.000% due 03/25/2020 | | | | | 500 | | | | | | 542 | |
Nomura Holdings, Inc. | |
6.700% due 03/04/2020 (h) | | | | | 623 | | | | | | 675 | |
| | | | | | |
| 52 | | PIMCO MANAGED ACCOUNTS TRUST | | | | See Accompanying Notes |
December 31, 2017
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
ORIX Corp. | |
2.900% due 07/18/2022 (h) | | $ | | | 1,200 | | | $ | | | 1,196 | |
Qatari Diar Finance Co. | |
5.000% due 07/21/2020 | | | | | 600 | | | | | | 630 | |
QNB Finance Ltd. | |
2.125% due 02/14/2018 | | | | | 300 | | | | | | 300 | |
Royal Bank of Scotland Group PLC | |
2.886% (US0003M + 1.470%) due 05/15/2023 ~(h) | | | | | 700 | | | | | | 708 | |
3.498% due 05/15/2023 (h)• | | | | | 600 | | | | | | 602 | |
Santander Holdings USA, Inc. | |
2.700% due 05/24/2019 (h) | | | | | 1,000 | | | | | | 1,002 | |
Santander UK PLC | |
2.350% due 09/10/2019 (h) | | | | | 100 | | | | | | 100 | |
SMBC Aviation Capital Finance DAC | |
2.650% due 07/15/2021 (h) | | | | | 700 | | | | | | 689 | |
2.650% due 07/15/2021 | | | | | 600 | | | | | | 591 | |
3.000% due 07/15/2022 (h) | | | | | 300 | | | | | | 297 | |
Springleaf Finance Corp. | |
8.250% due 12/15/2020 | | | | | 200 | | | | | | 221 | |
State Bank of India | |
2.297% (US0003M + 0.950%) due 04/06/2020 ~ | | | | | 600 | | | | | | 602 | |
3.622% due 04/17/2019 (h) | | | | | 1,100 | | | | | | 1,113 | |
Sumitomo Mitsui Trust Bank Ltd. | |
2.050% due 03/06/2019 (h) | | | | | 500 | | | | | | 499 | |
Suncorp-Metway Ltd. | |
2.100% due 05/03/2019 (h) | | | | | 500 | | | | | | 498 | |
UBS AG | |
4.750% due 05/22/2023 (f)• | | | | | 1,900 | | | | | | 1,917 | |
VEREIT Operating Partnership LP | |
3.000% due 02/06/2019 (h) | | | | | 500 | | | | | | 503 | |
WEA Finance LLC | |
2.700% due 09/17/2019 (h) | | | | | 500 | | | | | | 503 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 43,990 | |
| | | | | | | | | | | | |
| |
| INDUSTRIALS 45.5% | |
AbbVie, Inc. | |
2.850% due 05/14/2023 (h) | | | | | 400 | | | | | | 399 | |
AP Moller - Maersk A/S | |
2.550% due 09/22/2019 (h) | | | | | 400 | | | | | | 400 | |
Aptiv PLC | |
3.150% due 11/19/2020 (h) | | | | | 700 | | | | | | 711 | |
Arrow Electronics, Inc. | |
3.500% due 04/01/2022 (h) | | | | | 600 | | | | | | 608 | |
Asciano Finance Ltd. | |
4.625% due 09/23/2020 (h) | | | | | 700 | | | | | | 724 | |
BAT Capital Corp. | |
2.296% due 08/15/2022 ~(h) | | | | | 1,000 | | | | | | 1,013 | |
Boral Finance Pty. Ltd. | |
3.000% due 11/01/2022 (h) | | | | | 600 | | | | | | 595 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
Central Nippon Expressway Co. Ltd. | |
2.424% (US0003M + 0.850%) due 09/14/2021 ~(h) | | $ | | | 1,400 | | | $ | | | 1,417 | |
Charter Communications Operating LLC | |
4.464% due 07/23/2022 | | | | | 700 | | | | | | 731 | |
Crown Castle Towers LLC | |
3.222% due 05/15/2042 (h) | | | | | 300 | | | | | | 304 | |
CVS Health Corp. | |
3.500% due 07/20/2022 (h) | | | | | 200 | | | | | | 204 | |
D.R. Horton, Inc. | |
3.750% due 03/01/2019 | | | | | 200 | | | | | | 203 | |
4.000% due 02/15/2020 (h) | | | | | 300 | | | | | | 309 | |
4.375% due 09/15/2022 (h) | | | | | 1,000 | | | | | | 1,054 | |
Dell International LLC | |
4.420% due 06/15/2021 (h) | | | | | 400 | | | | | | 417 | |
5.450% due 06/15/2023 (h) | | | | | 400 | | | | | | 433 | |
Delta Air Lines Pass-Through Trust | |
7.750% due 06/17/2021 | | | | | 151 | | | | | | 164 | |
Delta Air Lines, Inc. | |
3.625% due 03/15/2022 | | | | | 1,400 | | | | | | 1,422 | |
DISH DBS Corp. | |
4.250% due 04/01/2018 | | | | | 1,000 | | | | | | 1,006 | |
7.875% due 09/01/2019 | | | | | 300 | | | | | | 322 | |
EMC Corp. | |
1.875% due 06/01/2018 | | | | | 600 | | | | | | 597 | |
Energy Transfer LP | |
9.000% due 04/15/2019 (h) | | | | | 200 | | | | | | 216 | |
Flex Ltd. | |
4.625% due 02/15/2020 (h) | | | | | 300 | | | | | | 310 | |
Forest Laboratories LLC | |
5.000% due 12/15/2021 (h) | | | | | 400 | | | | | | 428 | |
General Electric Co. | |
5.000% due 01/21/2021 (e)• | | | | | 1,400 | | | | | | 1,445 | |
Georgia-Pacific LLC | |
3.734% due 07/15/2023 (h) | | | | | 200 | | | | | | 208 | |
Imperial Brands Finance PLC | |
2.050% due 07/20/2018 (h) | | | | | 400 | | | | | | 400 | |
2.950% due 07/21/2020 (h) | | | | | 650 | | | | | | 657 | |
Kansas City Southern | |
3.000% due 05/15/2023 (h) | | | | | 1,500 | | | | | | 1,489 | |
Kinder Morgan, Inc. | |
2.639% (US0003M + 1.280%) due 01/15/2023 ~(h) | | | | | 1,200 | | | | | | 1,221 | |
7.250% due 06/01/2018 (h) | | | | | 500 | | | | | | 510 | |
Latam Airlines Pass-Through Trust | |
4.200% due 08/15/2029 | | | | | 180 | | | | | | 182 | |
Masco Corp. | |
5.950% due 03/15/2022 | | | | | 76 | | | | | | 84 | |
7.125% due 03/15/2020 | | | | | 52 | | | | | | 57 | |
McCormick & Co., Inc. | |
3.150% due 08/15/2024 (h) | | | | | 1,400 | | | | | | 1,409 | |
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | DECEMBER 31, 2017 | | 53 |
Schedule of Investments PIMCO Fixed Income SHares: Series LD (Cont.)
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
MGM Resorts International | |
6.750% due 10/01/2020 | | $ | | | 300 | | | $ | | | 325 | |
8.625% due 02/01/2019 | | | | | 400 | | | | | | 426 | |
Minera y Metalurgica del Boleo S.A. de C.V. | |
2.875% due 05/07/2019 (h) | | | | | 400 | | | | | | 401 | |
Mylan NV | |
3.150% due 06/15/2021 (h) | | | | | 1,400 | | | | | | 1,409 | |
Nabors Industries, Inc. | |
6.150% due 02/15/2018 | | | | | 350 | | | | | | 352 | |
National Fuel Gas Co. | |
8.750% due 05/01/2019 (h) | | | | | 500 | | | | | | 540 | |
Ooredoo Tamweel Ltd. | |
3.039% due 12/03/2018 (h) | | | | | 1,100 | | | | | | 1,106 | |
Petroleos Mexicanos | |
3.125% due 01/23/2019 (h) | | | | | 900 | | | | | | 907 | |
9.250% due 03/30/2018 | | | | | 600 | | | | | | 612 | |
Pioneer Natural Resources Co. | |
3.450% due 01/15/2021 (h) | | | | | 300 | | | | | | 306 | |
6.875% due 05/01/2018 (h) | | | | | 100 | | | | | | 101 | |
QUALCOMM, Inc. | |
2.600% due 01/30/2023 (h) | | | | | 1,700 | | | | | | 1,659 | |
Reynolds American, Inc. | |
4.000% due 06/12/2022 (h) | | | | | 600 | | | | | | 627 | |
Sabine Pass Liquefaction LLC | |
5.625% due 02/01/2021 (h) | | | | | 700 | | | | | | 751 | |
6.250% due 03/15/2022 (h) | | | | | 300 | | | | | | 334 | |
SFR Group S.A. | |
5.375% due 05/15/2022 | | EUR | | | 100 | | | | | | 124 | |
Shire Acquisitions Investments Ireland DAC | |
2.400% due 09/23/2021 | | $ | | | 100 | | | | | | 98 | |
SK Telecom Co. Ltd. | |
2.125% due 05/01/2018 | | | | | 400 | | | | | | 400 | |
Sky PLC | |
3.125% due 11/26/2022 (h) | | | | | 1,000 | | | | | | 1,007 | |
Solvay Finance America LLC | |
3.400% due 12/03/2020 (h) | | | | | 400 | | | | | | 409 | |
Southern Co. | |
2.950% due 07/01/2023 (h) | | | | | 1,100 | | | | | | 1,102 | |
Telefonica Emisiones S.A.U. | |
5.134% due 04/27/2020 (h) | | | | | 850 | | | | | | 900 | |
5.877% due 07/15/2019 (h) | | | | | 200 | | | | | | 210 | |
Teva Pharmaceutical Finance Co. BV | |
3.650% due 11/10/2021 | | | | | 400 | | | | | | 381 | |
Teva Pharmaceutical Finance Netherlands BV | |
1.400% due 07/20/2018 | | | | | 300 | | | | | | 298 | |
1.700% due 07/19/2019 (h) | | | | | 500 | | | | | | 486 | |
2.800% due 07/21/2023 | | | | | 300 | | | | | | 261 | |
Time Warner Cable LLC | |
8.250% due 04/01/2019 | | | | | 300 | | | | | | 321 | |
Universal Health Services, Inc. | |
3.750% due 08/01/2019 | | | | | 100 | | | | | | 102 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
WestJet Airlines Ltd. | |
3.500% due 06/16/2021 (h) | | $ | | | 1,100 | | | $ | | | 1,111 | |
Woodside Finance Ltd. | |
8.750% due 03/01/2019 | | | | | 400 | | | | | | 428 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 39,143 | |
| | | | | | | | | | | | |
| |
| UTILITIES 9.2% | |
AT&T, Inc. | |
2.303% (US0003M + 0.890%) due 02/14/2023 ~(h) | | | | | 1,100 | | | | | | 1,109 | |
BP Capital Markets PLC | |
2.470% (US0003M + 0.870%) due 09/16/2021 ~(h) | | | | | 700 | | | | | | 713 | |
Chugoku Electric Power Co., Inc. | |
2.701% due 03/16/2020 | | | | | 200 | | | | | | 201 | |
Cleveland Electric Illuminating Co. | |
8.875% due 11/15/2018 (h) | | | | | 400 | | | | | | 423 | |
Duquesne Light Holdings, Inc. | |
5.900% due 12/01/2021 (h) | | | | | 300 | | | | | | 332 | |
E.ON International Finance BV | |
5.800% due 04/30/2018 | | | | | 1,384 | | | | | | 1,401 | |
FirstEnergy Corp. | |
2.850% due 07/15/2022 | | | | | 700 | | | | | | 694 | |
KT Corp. | |
2.625% due 04/22/2019 | | | | | 200 | | | | | | 200 | |
Pennsylvania Electric Co. | |
5.200% due 04/01/2020 (h) | | | | | 800 | | | | | | 845 | |
Plains All American Pipeline LP | |
2.600% due 12/15/2019 | | | | | 500 | | | | | | 497 | |
Sinopec Group Overseas Development Ltd. | |
2.125% due 05/03/2019 | | | | | 800 | | | | | | 795 | |
Telecom Italia Capital S.A. | |
6.999% due 06/04/2018 | | | | | 600 | | | | | | 613 | |
Telstra Corp. Ltd. | |
3.125% due 04/07/2025 | | | | | 100 | | | | | | 100 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 7,923 | |
| | | | | | | | | | | | |
Total Corporate Bonds & Notes
(Cost $90,810) | | | | | | 91,056 | |
| | | | | | | | | | | | |
| |
| MUNICIPAL BONDS & NOTES 1.5% | |
| |
| PENNSYLVANIA 1.5% | |
Pennsylvania Higher Education Assistance Agency Revenue Bonds, Series 2006 | |
1.497% due 10/25/2036 ~ | | | | | 1,348 | | | | | | 1,329 | |
| | | | | | | | | | | | |
Total Municipal Bonds & Notes
(Cost $1,324) | | | 1,329 | |
| | | | | | | | | | | | |
| |
| | | | | | |
| 54 | | PIMCO MANAGED ACCOUNTS TRUST | | | | See Accompanying Notes |
December 31, 2017
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
| U.S. GOVERNMENT AGENCIES 0.6% | |
Fannie Mae | |
2.202% (LIBOR01M + 0.650%) due 09/25/2023 ~ | | $ | | | 3 | | | $ | | | 3 | |
2.240% (T7Y - 0.050%) due 09/25/2022 ~ | | | | | 28 | | | | | | 28 | |
3.000% due 03/01/2042 (h) | | | | | 197 | | | | | | 198 | |
Freddie Mac | |
5.477% (LIBOR01M + 4.000%) due 01/15/2022 ~ | | | | | 17 | | | | | | 18 | |
Ginnie Mae | |
1.923% (US0001M + 0.680%) due 08/20/2061 ~ | | | | | 223 | | | | | | 224 | |
1.951% (LIBOR01M + 0.450%) due 10/20/2037 ~ | | | | | 54 | | | | | | 54 | |
| | | | | | | | | | | | |
Total U.S. Government Agencies
(Cost $520) | | | 525 | |
| | | | | | | | | | | | |
| |
| U.S. TREASURY OBLIGATIONS 23.5% | |
U.S. Treasury Inflation Protected Securities (d) | |
0.375% due 07/15/2027 (h) | | | | | 3,731 | | | | | | 3,715 | |
U.S. Treasury Notes | |
1.500% due 10/31/2019 (h) | | | | | 5,100 | | | | | | 5,065 | |
1.875% due 07/31/2022 (h) | | | | | 6,800 | | | | | | 6,708 | |
2.000% due 10/31/2022 (h) | | | | | 2,700 | | | | | | 2,676 | |
2.000% due 11/30/2022 (h) | | | | | 2,100 | | | | | | 2,081 | |
| | | | | | | | | | | | |
Total U.S. Treasury Obligations
(Cost $20,303) | | | 20,245 | |
| | | | | | | | | | | | |
| |
| NON-AGENCY MORTGAGE-BACKED SECURITIES 6.6% | |
American Home Mortgage Investment Trust | |
2.132% (US0001M + 0.580%) due 02/25/2045 ~ | | | | | 6 | | | | | | 6 | |
BAMLL Commercial Mortgage Securities Trust | |
2.051% (LIBOR01M + 0.800%) due 06/15/2028 ~ | | | | | 100 | | | | | | 100 | |
Banc of America Funding Trust | |
1.801% (US0001M + 0.300%) due 02/20/2035 ~ | | | | | 18 | | | | | | 18 | |
3.602% due 09/20/2034 ~ | | | | | 112 | | | | | | 114 | |
Bear Stearns Adjustable Rate Mortgage Trust | |
3.182% due 04/25/2033 ~ | | | | | 41 | | | | | | 41 | |
3.536% due 11/25/2034 ~ | | | | | 70 | | | | | | 69 | |
3.796% due 01/25/2034 ~ | | | | | 11 | | | | | | 11 | |
Citicorp Mortgage Securities Trust | |
5.500% due 08/25/2021 | | | | | 1 | | | | | | 1 | |
Citigroup Mortgage Loan Trust | |
3.630% (H15T1Y + 2.400%) due 10/25/2035 ~ | | | | | 10 | | | | | | 10 | |
Countrywide Alternative Loan Trust | |
1.712% (US0001M + 0.160%) due 07/25/2036 ~ | | | | | 197 | | | | | | 190 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
Countrywide Commercial Mortgage Trust | |
6.290% due 11/12/2043 ~ | | $ | | | 7 | | | $ | | | 7 | |
Credit Suisse First Boston Mortgage Securities Corp. | |
3.126% due 06/25/2033 ~ | | | | | 23 | | | | | | 23 | |
5.362% due 05/15/2036 ~ | | | | | 500 | | | | | | 507 | |
6.500% due 04/25/2033 | | | | | 113 | | | | | | 116 | |
First Republic Mortgage Loan Trust | |
1.827% (US0001M + 0.350%) due 11/15/2031 ~ | | | | | 39 | | | | | | 38 | |
GSR Mortgage Loan Trust | |
3.472% due 09/25/2035 ~ | | | | | 9 | | | | | | 10 | |
3.695% (US0012M + 1.750%) due 08/25/2033 ~ | | | | | 222 | | | | | | 223 | |
Impac CMB Trust | |
2.192% (US0001M + 0.640%) due 03/25/2035 ~ | | | | | 443 | | | | | | 434 | |
2.552% (US0001M + 1.000%) due 07/25/2033 ~ | | | | | 360 | | | | | | 351 | |
JPMorgan Mortgage Trust | |
3.492% due 09/25/2034 ~ | | | | | 11 | | | | | | 11 | |
3.499% due 06/25/2035 ~ | | | | | 24 | | | | | | 24 | |
3.562% due 02/25/2034 ~ | | | | | 62 | | | | | | 64 | |
3.663% due 02/25/2035 ~ | | | | | 5 | | | | | | 5 | |
3.703% due 04/25/2035 ~ | | | | | 200 | | | | | | 204 | |
Mellon Residential Funding Corp. Mortgage Pass-Through Trust | |
1.957% (US0001M + 0.480%) due 06/15/2030 ~ | | | | | 27 | | | | | | 26 | |
2.610% due 10/20/2029 ~ | | | | | 18 | | | | | | 18 | |
Merrill Lynch Mortgage Investors Trust | |
2.012% (US0001M + 0.460%) due 04/25/2029 ~ | | | | | 9 | | | | | | 9 | |
2.192% (US0001M + 0.640%) due 10/25/2028 ~ | | | | | 7 | | | | | | 7 | |
3.041% due 02/25/2035 ~ | | | | | 191 | | | | | | 195 | |
Morgan Stanley Mortgage Loan Trust | |
3.474% due 11/25/2034 ~ | | | | | 13 | | | | | | 13 | |
Motel 6 Trust | |
2.397% due 08/15/2034 ~ | | | | | 893 | | | | | | 897 | |
Prime Mortgage Trust | |
1.952% (US0001M + 0.400%) due 02/25/2034 ~ | | | | | 11 | | | | | | 11 | |
Sequoia Mortgage Trust | |
2.195% (US0001M + 0.700%) due 10/19/2026 ~ | | | | | 93 | | | | | | 91 | |
2.261% (US0001M + 0.760%) due 10/20/2027 ~ | | | | | 17 | | | | | | 16 | |
Structured Asset Mortgage Investments Trust | |
2.075% (US0001M + 0.580%) due 07/19/2034 ~ | | | | | 56 | | | | | | 56 | |
2.155% (US0001M + 0.660%) due 09/19/2032 ~ | | | | | 14 | | | | | | 14 | |
8.914% due 06/25/2029 ~ | | | | | 7 | | | | | | 7 | |
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | DECEMBER 31, 2017 | | 55 |
Schedule of Investments PIMCO Fixed Income SHares: Series LD (Cont.)
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
Structured Asset Securities Corp. Mortgage Loan Trust | |
2.152% (US0001M + 0.600%) due 10/25/2027 ~ | | $ | | | 14 | | | $ | | | 14 | |
Thornburg Mortgage Securities Trust | |
2.192% (US0001M + 0.640%) due 09/25/2043 ~ | | | | | 10 | | | | | | 9 | |
3.189% due 04/25/2045 ~ | | | | | 41 | | | | | | 42 | |
WaMu Mortgage Pass-Through Certificates Trust | |
1.822% (US0001M + 0.270%) due 12/25/2045 ~ | | | | | 265 | | | | | | 258 | |
1.842% (US0001M + 0.290%) due 10/25/2045 ~ | | | | | 45 | | | | | | 44 | |
1.952% (US0001M + 0.400%) due 06/25/2044 ~ | | | | | 35 | | | | | | 35 | |
2.292% (US0001M + 0.740%) due 11/25/2034 ~ | | | | | 91 | | | | | | 89 | |
2.463% (12MTA + 1.400%) due 06/25/2042 ~ | | | | | 11 | | | | | | 11 | |
Wells Fargo Commercial Mortgage Trust | |
2.310% due 12/13/2031 ~ | | | | | 1,000 | | | | | | 1,004 | |
Wells Fargo Mortgage-Backed Securities Trust | |
3.620% due 10/25/2033 ~ | | | | | 55 | | | | | | 56 | |
3.773% due 12/25/2034 ~ | | | | | 138 | | | | | | 144 | |
| | | | | | | | | | | | |
Total Non-Agency Mortgage-Backed Securities
(Cost $5,585) | | | | | | 5,643 | |
| | | | | | | | | | | | |
| |
| ASSET-BACKED SECURITIES 25.3% | |
Aegis Asset-Backed Securities Trust | |
1.822% (US0001M + 0.270%) due 12/25/2035 ~ | | | | | 1 | | | | | | 1 | |
Allegro CLO Ltd. | |
2.598% (US0003M + 1.220%) due 01/30/2026 ~ | | | | | 500 | | | | | | 502 | |
Amortizing Residential Collateral Trust | |
2.552% (US0001M + 1.000%) due 10/25/2034 ~ | | | | | 319 | | | | | | 321 | |
Argent Securities, Inc. Asset-Backed Pass-Through Certificates | |
2.592% (US0001M + 1.040%) due 04/25/2034 ~ | | | | | 101 | | | | | | 101 | |
Atlas Senior Loan Fund Ltd. | |
2.608% (US0003M + 1.230%) due 01/30/2024 ~ | | | | | 427 | | | | | | 429 | |
Babson CLO Ltd. | |
2.503% (US0003M + 1.150%) due 10/17/2026 ~ | | | | | 600 | | | | | | 601 | |
Bayview Opportunity Master Fund Trust | |
3.105% due 07/28/2032 | | | | | 326 | | | | | | 325 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
Bear Stearns Asset-Backed Securities Trust | |
2.302% (US0001M + 0.750%) due 03/25/2035 ~ | | $ | | | 1,000 | | | $ | | | 978 | |
2.352% (LIBOR01M + 0.800%) due 10/27/2032 ~ | | | | | 44 | | | | | | 43 | |
Carlyle Global Market Strategies CLO Ltd. | |
2.499% (US0003M + 1.140%) due 10/16/2025 ~ | | | | | 500 | | | | | | 500 | |
2.524% (US0003M + 1.150%) due 07/27/2026 ~ | | | | | 500 | | | | | | 502 | |
Chase Funding Trust | |
2.292% (US0001M + 0.740%) due 10/25/2032 ~ | | | | | 69 | | | | | | 69 | |
CIFC Funding Ltd. | |
2.385% (US0003M + 1.020%) due 10/24/2025 ~ | | | | | 600 | | | | | | 601 | |
Colony American Finance Ltd. | |
2.544% due 06/15/2048 | | | | | 240 | | | | | | 238 | |
Colony Starwood Homes Trust | |
2.960% (LIBOR01M + 1.500%) due 07/17/2033 ~ | | | | | 197 | | | | | | 199 | |
Delta Funding Home Equity Loan Trust | |
2.297% (US0001M + 0.820%) due 09/15/2029 ~ | | | | | 7 | | | | | | 6 | |
Figueroa CLO Ltd. | |
2.875% (US0003M + 1.250%) due 06/20/2027 ~ | | | | | 600 | | | | | | 604 | |
GSAA Home Equity Trust | |
2.192% (US0001M + 0.640%) due 12/25/2034 ~ | | | | | 17 | | | | | | 17 | |
Halcyon Loan Advisors Funding Ltd. | |
2.283% due 04/20/2027 ~ | | | | | 1,000 | | | | | | 1,000 | |
2.484% (US0003M + 1.130%) due 04/18/2026 ~ | | | | | 1,100 | | | | | | 1,100 | |
JMP Credit Advisors CLO Ltd. | |
2.593% (US0003M + 1.240%) due 10/17/2025 ~ | | | | | 700 | | | | | | 704 | |
KVK CLO Ltd. | |
2.509% (US0003M + 1.150%) due 01/15/2026 ~ | | | | | 700 | | | | | | 702 | |
Navient Student Loan Trust | |
2.802% (US0001M + 1.250%) due 06/25/2065 ~ | | | | | 167 | | | | | | 171 | |
New Century Home Equity Loan Trust | |
2.482% (US0001M + 0.930%) due 11/25/2034 ~ | | | | | 902 | | | | | | 906 | |
NovaStar Mortgage Funding Trust | |
1.992% (LIBOR01M + 0.440%) due 01/25/2036 ~ | | | | | 1,500 | | | | | | 1,491 | |
OneMain Financial Issuance Trust | |
2.570% due 07/18/2025 | | | | | 134 | | | | | | 134 | |
| | | | | | |
| 56 | | PIMCO MANAGED ACCOUNTS TRUST | | | | See Accompanying Notes |
December 31, 2017
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
OZLM Funding Ltd. | |
2.483% (US0003M + 1.130%) due 01/17/2026 ~ | | $ | | | 700 | | | $ | | | 703 | |
Regatta Funding Ltd. | |
2.527% (US0003M + 1.160%) due 10/25/2026 ~ | | | | | 500 | | | | | | 500 | |
Renaissance Home Equity Loan Trust | |
2.052% (US0001M + 0.500%) due 12/25/2033 ~ | | | 6 | | | | | | 6 | |
Residential Mortgage Loan Trust | |
2.828% (US0001M + 1.500%) due 09/25/2029 ~ | | | 5 | | | | | | 5 | |
Securitized Asset-Backed Receivables LLC Trust | |
2.227% (US0001M + 0.675%) due 01/25/2035 ~ | | | 1,429 | | | | | | 1,407 | |
SLM Student Loan Trust | |
2.117% (US0003M + 0.750%) due 04/25/2023 ~ | | | 932 | | | | | | 932 | |
2.138% (US0003M + 0.550%) due 12/15/2025 ~ | | | 587 | | | | | | 590 | |
2.867% (US0003M + 1.500%) due 04/25/2023 ~ | | | 1,061 | | | | | | 1,087 | |
3.067% (US0003M + 1.700%) due 07/25/2023 ~ | | | 881 | | | | | | 909 | |
SMB Private Education Loan Trust | |
2.477% (US0001M + 1.000%) due 06/15/2027 ~ | | | 398 | | | | | | 404 | |
SoFi Professional Loan Program LLC | |
3.020% due 02/25/2040 | | | | | 387 | | | | | | 386 | |
Symphony CLO LP | |
2.450% (US0003M + 1.100%) due 01/09/2023 ~ | | | 86 | | | | | | 86 | |
VOLT LLC | |
3.000% due 10/25/2047 | | | | | 500 | | | | | | 500 | |
3.125% due 06/25/2047 | | | | | 70 | | | | | | 70 | |
3.125% due 09/25/2047 | | | | | 1,442 | | | | | | 1,445 | |
3.250% due 04/25/2059 | | | | | 473 | | | | | | 476 | |
| | | | | | | | | | | | |
Total Asset-Backed Securities (Cost $21,639) | | | | | | 21,751 | |
| | | | | | | | | | | | |
| |
| SOVEREIGN ISSUES 5.5% | |
Export-Import Bank of India | |
2.750% due 04/01/2020 (h) | | | | | 1,200 | | | | | | 1,200 | |
3.875% due 10/02/2019 | | | | | 250 | | | | | | 255 | |
Japan Finance Organization for Municipalities | |
2.125% due 03/06/2019 | | | | | 1,000 | | | | | | 999 | |
Korea Water Resources Corp. | |
2.000% due 04/16/2018 | | | | | 400 | | | | | | 400 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
Malaysia Government International Bond | |
3.260% due 03/01/2018 | | MYR | | | 5,700 | | | $ | | | 1,410 | |
4.240% due 02/07/2018 | | | | | 2,000 | | | | | | 495 | |
| | | | | | | | | | | | |
Total Sovereign Issues (Cost $4,697) | | | | | | 4,759 | |
| | | | | | | | | | | | |
| |
| SHORT-TERM INSTRUMENTS 21.6% | |
| |
| CERTIFICATES OF DEPOSIT 1.2% | |
Itau CorpBanca | |
2.500% due 12/07/2018 | | $ | | | 500 | | | | | | 500 | |
2.570% due 01/11/2019 | | | | | 500 | | | | | | 499 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 999 | |
| | | | | | | | | | | | |
| |
| REPURCHASE AGREEMENTS (g) 0.6% | |
| | | | | | | | | | | 501 | |
| | | | | | | | | | | | |
| |
| ARGENTINA TREASURY BILLS 1.9% | |
2.828% due 05/11/2018 - 05/24/2018 (a)(b) | | | 1,700 | | | | | | 1,682 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| JAPAN TREASURY BILLS 17.8% | |
(0.246)% due 01/22/2018 - 02/13/2018 (a)(b) | | JPY | | | 1,724,200 | | | | | | 15,303 | |
| | | | | | | | | | | | |
| |
| MALAYSIA TREASURY BILLS 0.1% | |
3.032% due 01/19/2018 (b)(c) | | MYR | | | 300 | | | | | | 74 | |
| | | | | | | | | | | | |
Total Short-Term Instruments (Cost $18,463) | | | | | | 18,559 | |
| | | | | | | | | | | | |
| |
| Total Investments in Securities (Cost $163,987) | | | | | | 164,516 | |
| | | | | | | | | | | | |
| Total Investments 191.1% (Cost $163,987) | | | $ | | | 164,516 | |
| | | | | | | | | | | | |
Financial Derivative
Instruments (i)(j) (0.3%) (Cost or Premiums, net $(285)) | | | (257 | ) |
| | | | | | | | | | | | |
| Other Assets and Liabilities, net (90.8)% | | | | | | (78,158 | ) |
| | | | | | | | | | | | |
| Net Assets 100.0% | | | | | | | | $ | | | 86,101 | |
| | | | | | | | | | | | |
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | DECEMBER 31, 2017 | | 57 |
Schedule of Investments PIMCO Fixed Income SHares: Series LD (Cont.)
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*, EXCEPT NUMBER OF CONTRACTS):
| * | A zero balance may reflect actual amounts rounding to less than one thousand. |
| ~ | 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. |
| (a) | Coupon represents a weighted average yield to maturity. |
| (c) | Coupon represents a yield to maturity. |
| (d) | Principal amount of security is adjusted for inflation. |
| (e) | Perpetual maturity; date shown, if applicable, represents next contractual call date. |
| (f) | Contingent Convertible Corporate Bond |
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(g) 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 | | 0.700% | | | 12/29/2017 | | | | 01/02/2018 | | | $ | 501 | | | Federal Agricultural Mortgage Corp. 1.120% due 08/01/2018 | | $ | (511 | ) | | $ | 501 | | | $ | 501 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Repurchase Agreements | | | | | $ | (511 | ) | | $ | 501 | | | $ | 501 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
REVERSE REPURCHASE AGREEMENTS:
| | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Borrowing
Rate(2) | | | Settlement
Date | | | Maturity
Date | | | Amount
Borrowed(2) | | | Payable for
Reverse
Repurchase
Agreements | |
BPS | | | 1.990 | % | | | 12/22/2017 | | | | 01/05/2018 | | | $ | (8,987 | ) | | $ | (8,993 | ) |
FOB | | | 1.750 | | | | 12/15/2017 | | | | 01/05/2018 | | | | (1,591 | ) | | | (1,592 | ) |
| | | 1.900 | | | | 12/22/2017 | | | | 01/11/2018 | | | | (478 | ) | | | (478 | ) |
| | | 1.900 | | | | 12/28/2017 | | | | 01/11/2018 | | | | (1,674 | ) | | | (1,674 | ) |
| | | 1.950 | | | | 12/22/2017 | | | | 01/11/2018 | | | | (381 | ) | | | (381 | ) |
| | | 1.950 | | | | 12/28/2017 | | | | 01/11/2018 | | | | (2,746 | ) | | | (2,747 | ) |
RCY | | | 1.620 | | | | 01/02/2018 | | | | 01/16/2018 | | | | (192 | ) | | | (192 | ) |
| | | 1.650 | | | | 12/19/2017 | | | | 01/02/2018 | | | | (192 | ) | | | (192 | ) |
RDR | | | 1.870 | | | | 12/21/2017 | | | | 01/04/2018 | | | | (1,978 | ) | | | (1,979 | ) |
| | | 1.870 | | | | 12/22/2017 | | | | 01/04/2018 | | | | (1,926 | ) | | | (1,927 | ) |
| | | 1.870 | | | | 01/04/2018 | | | | 01/18/2018 | | | | (3,909 | ) | | | (3,909 | ) |
| | | 1.880 | | | | 12/22/2017 | | | | 01/12/2018 | | | | (3,361 | ) | | | (3,363 | ) |
| | | 1.900 | | | | 12/22/2017 | | | | 01/09/2018 | | | | (289 | ) | | | (289 | ) |
UBS | | | 1.850 | | | | 12/19/2017 | | | | 01/05/2018 | | | | (12,580 | ) | | | (12,589 | ) |
| | | 1.850 | | | | 12/22/2017 | | | | 01/12/2018 | | | | (16,927 | ) | | | (16,937 | ) |
| | | 1.850 | | | | 12/26/2017 | | | | 01/08/2018 | | | | (7,877 | ) | | | (7,880 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Reverse Repurchase Agreements | | | | | | | $ | (65,122 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| 58 | | PIMCO MANAGED ACCOUNTS TRUST | | | | See Accompanying Notes |
December 31, 2017
SALE-BUYBACK TRANSACTIONS:
| | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Borrowing
Rate(2) | | | Borrowing
Date | | | Maturity
Date | | | Amount
Borrowed(2) | | | Payable for
Sale-Buyback
Transactions | |
BCY | | | 0.250 | % | | | 12/29/2017 | | | | 01/02/2018 | | | $ | (2,084 | ) | | $ | (2,084 | ) |
| | | 1.900 | | | | 12/29/2017 | | | | 01/02/2018 | | | | (4,780 | ) | | | (4,780 | ) |
| | | 2.050 | | | | 12/28/2017 | | | | 01/02/2018 | | | | (13,149 | ) | | | (13,149 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Sale-Buyback Transactions | | | $ | (20,013 | ) |
| | | | | | | | | | | | | | | | | | | | |
BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY
The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral pledged/(received) as of December 31, 2017:
| | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Repurchase
Agreement
Proceeds to be
Received(1) | | | Payable for
Reverse
Repurchase
Agreements | | | Payable for
Sale-Buyback
Transactions | | | Total
Borrowings and
Other Financing
Transactions | | | Collateral
Pledged/
(Received) | | | Net Exposure(3) | |
Global/Master Repurchase Agreement | |
BPS | | $ | 0 | | | $ | (8,993 | ) | | $ | 0 | | | $ | (8,993 | ) | | $ | 9,503 | | | $ | 510 | |
FICC | | | 501 | | | | 0 | | | | 0 | | | | 501 | | | | (511 | ) | | | (10 | ) |
FOB | | | 0 | | | | (6,872 | ) | | | 0 | | | | (6,872 | ) | | | 7,263 | | | | 391 | |
RCY | | | 0 | | | | (384 | ) | | | 0 | | | | (384 | ) | | | 396 | | | | 12 | |
RDR | | | 0 | | | | (11,467 | ) | | | 0 | | | | (11,467 | ) | | | 11,964 | | | | 497 | |
UBS | | | 0 | | | | (37,406 | ) | | | 0 | | | | (37,406 | ) | | | 39,093 | | | | 1,687 | |
|
Master Securities Forward Transaction Agreement | |
BCY | | | 0 | | | | 0 | | | | (20,013 | ) | | | (20,013 | ) | | | 19,947 | | | | (66 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Borrowings and Other Financing Transactions | | $ | 501 | | | $ | (65,122) | | | $ | (20,013) | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS
Remaining Contractual Maturity of the Agreements
| | | | | | | | | | | | | | | | | | | | |
| | | Overnight and
Continuous | | | Up to 30 days | | | 31-90 days | | | Greater Than 90 days | | | Total | |
Reverse Repurchase Agreements | |
Corporate Bonds & Notes | | $ | 0 | | | $ | (60,829 | ) | | $ | 0 | | | $ | 0 | | | $ | (60,829 | ) |
U.S. Government Agencies | | | 0 | | | | (192 | ) | | | 0 | | | | 0 | | | | (192 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total | | $ | 0 | | | $ | (61,021 | ) | | $ | 0 | | | $ | 0 | | | $ | (61,021 | ) |
|
Sale-Buyback Transactions | |
U.S. Treasury Obligations | | | 0 | | | | (20,013 | ) | | | 0 | | | | 0 | | | | (20,013 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total | | $ | 0 | | | $ | (20,013 | ) | | $ | 0 | | | $ | 0 | | | $ | (20,013 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Borrowings | | $ | 0 | | | $ | (81,034 | ) | | $ | 0 | | | $ | 0 | | | $ | (80,134 | ) |
| | | | | | | | | | | | | | | | | | | | |
Payable for reverse repurchase agreements and sale-buyback financing transactions(4) | | | $ | (81,034 | ) |
| | | | | | | | | | | | | | | | | | | | |
| (h) | Securities with an aggregate market value of $88,177 have been pledged as collateral under the terms of the above master netting agreements as of December 31, 2017. |
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | DECEMBER 31, 2017 | | 59 |
Schedule of Investments PIMCO Fixed Income SHares: Series LD (Cont.)
| (1) | Includes accrued interest. |
| (2) | The average amount of borrowings outstanding during the period ended December 31, 2017 was $(58,373) at a weighted average interest rate of 1.342%. Average borrowings may include sale-buyback transactions and reverse repurchase agreements, if held during the period. |
| (3) | Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information regarding master netting arrangements. |
| (4) | Unsettled reverse repurchase agreements liability of $(4,101) is outstanding at period end. |
(i) FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED
PURCHASED OPTIONS:
OPTIONS ON EXCHANGE-TRADED FUTURES CONTRACTS
| | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Strike
Price | | | Expiration
Date | | | # of
Contracts | | | Notional
Amount | | | Cost | | | Market
Value | |
Put - CBOT U.S. Treasury 2-Year Note March Futures | | $ | 105.750 | | | | 02/23/2018 | | | | 68 | | | $ | 136 | | | $ | 1 | | | $ | 0 | |
Call - CBOT U.S. Treasury 2-Year Note March Futures | | | 108.750 | | | | 02/23/2018 | | | | 30 | | | | 60 | | | | 0 | | | | 0 | |
Call - CBOT U.S. Treasury 2-Year Note March Futures | | | 108.875 | | | | 02/23/2018 | | | | 11 | | | | 22 | | | | 0 | | | | 0 | |
Call - CBOT U.S. Treasury 2-Year Note March Futures | | | 109.000 | | | | 02/23/2018 | | | | 16 | | | | 32 | | | | 0 | | | | 0 | |
Put - CBOT U.S. Treasury 5-Year Note March Futures | | | 108.000 | | | | 02/23/2018 | | | | 18 | | | | 18 | | | | 0 | | | | 0 | |
Put - CBOT U.S. Treasury 5-Year Note March Futures | | | 109.000 | | | | 02/23/2018 | | | | 5 | | | | 5 | | | | 0 | | | | 0 | |
Put - CBOT U.S. Treasury 5-Year Note March Futures | | | 109.500 | | | | 02/23/2018 | | | | 110 | | | | 110 | | | | 1 | | | | 0 | |
Call - CBOT U.S. Treasury 10-Year Note March Futures | | | 135.500 | | | | 02/23/2018 | | | | 121 | | | | 121 | | | | 1 | | | | 0 | |
Call - CBOT U.S. Treasury Ultra Long-Term Bond March Futures | | | 220.000 | | | | 02/23/2018 | | | | 44 | | | | 44 | | | | 1 | | | | 0 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | $ | 4 | | | $ | 0 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Purchased Options | | | $ | 4 | | | $ | 0 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
FUTURES CONTRACTS:
LONG FUTURES CONTRACTS
| | | | | | | | | | | | | | | | | | | | | | |
| Description | | Expiration
Month | | # of
Contracts | | | Notional
Amount | | | Unrealized
Appreciation/
(Depreciation) | | | Variation Margin | |
| | | | | | Asset | | | Liability | |
90-Day Eurodollar December Futures | | 12/2018 | | | 195 | | | $ | 47,704 | | | $ | (134 | ) | | $ | 7 | | | $ | 0 | |
90-Day Eurodollar June Futures | | 06/2018 | | | 189 | | | | 46,340 | | | | (172 | ) | | | 5 | | | | 0 | |
U.S. Treasury 2-Year Note March Futures | | 03/2018 | | | 30 | | | | 6,423 | | | | 2 | | | | 2 | | | | 0 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | $ | (304 | ) | | $ | 14 | | | $ | 0 | |
| | | | | | | | | | | | | | | | | | | | | | |
SHORT FUTURES CONTRACTS
| | | | | | | | | | | | | | | | | | | | | | |
Description | | Expiration
Month | | # of
Contracts | | | Notional
Amount | | | Unrealized
Appreciation/
(Depreciation) | | | Variation Margin | |
| | | | | | Asset | | | Liability | |
90-Day Eurodollar December Futures | | 12/2019 | | | 195 | | | $ | (47,614 | ) | | $ | 132 | | | $ | 0 | | | $ | (10 | ) |
90-Day Eurodollar June Futures | | 06/2019 | | | 189 | | | | (46,182 | ) | | | 239 | | | | 0 | | | | (7 | ) |
U.S. Treasury 10-Year Note March Futures | | 03/2018 | | | 96 | | | | (11,909 | ) | | | (52 | ) | | | 0 | | | | (20 | ) |
U.S. Treasury Ultra Long-Term Bond March Futures | | 03/2018 | | | 24 | | | | (4,024 | ) | | | (22 | ) | | | 0 | | | | (10 | ) |
United Kingdom Long Gilt March Futures | | 03/2018 | | | 35 | | | GBP | (5,914 | ) | | | (41 | ) | | | 13 | | | | (4 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | $ | 256 | | | $ | 13 | | | $ | (51 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
Total Futures Contracts | | | $ | (48 | ) | | $ | 27 | | | $ | (51 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| 60 | | PIMCO MANAGED ACCOUNTS TRUST | | | | See Accompanying Notes |
December 31, 2017
SWAP AGREEMENTS:
CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION(1)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Index/Tranches | | Fixed
(Pay) Rate | | | Payment
Frequency | | Maturity
Date | | | Notional
Amount(2) | | | Premiums
Paid/(Received) | | | Unrealized
Appreciation/
(Depreciation) | | | Market
Value(3) | | | Variation Margin | |
| | | | | | | | | Asset | | | Liability | |
CDX.IG-28 5-Year Index | | | (1.000)% | | | Quarterly | | | 06/20/2022 | | | $ | 13,500 | | | $ | (280 | ) | | $ | (27 | ) | | $ | (307 | ) | | $ | 0 | | | $ | (3 | ) |
CDX.IG-29 5-Year Index | | | (1.000) | | | Quarterly | | | 12/20/2022 | | | | 12,800 | | | | (300 | ) | | | (9 | ) | | | (309 | ) | | | 0 | | | | (4 | ) |
CDX.HY-29 5-Year Index | | | (5.000) | | | Quarterly | | | 12/20/2022 | | | | 5,200 | | | | (392 | ) | | | (48 | ) | | | (440 | ) | | | 0 | | | | (8 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | $ | (972 | ) | | $ | (84 | ) | | $ | (1,056) | | | $ | 0 | | | $ | (15 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
INTEREST RATE SWAPS
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Pay/
Receive
Floating
Rate | | Floating Rate Index | | Fixed
Rate | | | Payment
Frequency | | | Maturity
Date | | | Notional
Amount | | | Premiums
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | | | Market
Value | | | Variation Margin | |
| | | | | | | | | | Asset | | | Liability | |
Receive(4) | | 1-Day USD-Federal Funds Rate Compounded-OIS | | | 1.675 | % | | | Annual | | | | 09/19/2018 | | | | $ | | | | 196,100 | | | $ | 0 | | | $ | 28 | | | $ | 28 | | | $ | 2 | | | $ | 0 | |
Receive(4) | | 1-Day USD-Federal Funds Rate Compounded-OIS | | | 1.696 | | | | Annual | | | | 09/19/2018 | | | | | | | | 234,400 | | | | 0 | | | | 21 | | | | 21 | | | | 3 | | | | 0 | |
Pay | | 3-Month CAD-Bank Bill | | | 1.400 | | | | Semi-Annual | | | | 09/13/2019 | | | | CAD | | | | 12,850 | | | | (103 | ) | | | (1 | ) | | | (104 | ) | | | 0 | | | | 0 | |
Pay | | 3-Month USD-LIBOR | | | 1.890 | | | | Semi-Annual | | | | 09/19/2018 | | | | $ | | | | 196,100 | | | | 0 | | | | (17 | ) | | | (17 | ) | | | 4 | | | | 0 | |
Pay | | 3-Month USD-LIBOR | | | 1.910 | | | | Semi-Annual | | | | 09/19/2018 | | | | | | | | 234,400 | | | | 0 | | | | (9 | ) | | | (9 | ) | | | 5 | | | | 0 | |
Pay | | 3-Month USD-LIBOR | | | 1.350 | | | | Semi-Annual | | | | 12/28/2018 | | | | | | | | 5,300 | | | | (2 | ) | | | (26 | ) | | | (28 | ) | | | 0 | | | | 0 | |
Pay | | 3-Month USD-LIBOR | | | 2.000 | | | | Semi-Annual | | | | 12/20/2019 | | | | | | | | 15,100 | | | | 61 | | | | (79 | ) | | | (18 | ) | | | 3 | | | | 0 | |
Pay(4) | | 3-Month USD-LIBOR | | | 0.000 | | | | Quarterly | | | | 06/21/2020 | | | | | | | | 61,000 | | | | 2 | | | | (28 | ) | | | (26 | ) | | | 1 | | | | 0 | |
Receive | | 3-Month USD-LIBOR | | | 2.000 | | | | Semi-Annual | | | | 06/15/2021 | | | | | | | | 1,500 | | | | 0 | | | | 9 | | | | 9 | | | | 0 | | | | (1 | ) |
Receive | | 3-Month USD-LIBOR | | | 1.500 | | | | Semi-Annual | | | | 12/21/2021 | | | | | | | | 5,300 | | | | 125 | | | | 20 | | | | 145 | | | | 0 | | | | (3 | ) |
Pay(4) | | 3-Month USD-LIBOR | | | 0.000 | | | | Quarterly | | | | 05/21/2022 | | | | | | | | 44,300 | | | | 0 | | | | (35 | ) | | | (35 | ) | | | 0 | | | | (1 | ) |
Pay | | 3-Month USD-LIBOR | | | 2.000 | | | | Semi-Annual | | | | 12/15/2022 | | | | | | | | 69,800 | | | | (958 | ) | | | 150 | | | | (808 | ) | | | 70 | | | | 0 | |
Receive | | 3-Month USD-LIBOR | | | 2.250 | | | | Semi-Annual | | | | 12/20/2022 | | | | | | | | 6,500 | | | | (46 | ) | | | 45 | | | | (1 | ) | | | 0 | | | | (7 | ) |
Receive(4) | | 3-Month USD-LIBOR | | | 2.000 | | | | Semi-Annual | | | | 12/14/2023 | | | | | | | | 69,800 | | | | 1,377 | | | | (163 | ) | | | 1,214 | | | | 0 | | | | (71 | ) |
Receive | | 3-Month USD-LIBOR | | | 1.750 | | | | Semi-Annual | | | | 12/21/2026 | | | | | | | | 1,600 | | | | 8 | | | | 76 | | | | 84 | | | | 0 | | | | (3 | ) |
Receive | | 3-Month USD-LIBOR | | | 1.500 | | | | Semi-Annual | | | | 06/21/2027 | | | | | | | | 1,300 | | | | 132 | | | | (31 | ) | | | 101 | | | | 0 | | | | (2 | ) |
Pay | | 28-Day MXN-TIIE | | | 7.199 | | | | Lunar | | | | 12/03/2021 | | | | MXN | | | | 19,700 | | | | (3 | ) | | | (20 | ) | | | (23 | ) | | | 3 | | | | 0 | |
Pay | | 28-Day MXN-TIIE | | | 7.150 | | | | Lunar | | | | 06/11/2027 | | | | | | | | 24,200 | | | | (3 | ) | | | (65 | ) | | | (68 | ) | | | 12 | | | | 0 | |
Pay | | 28-Day MXN-TIIE | | | 8.280 | | | | Lunar | | | | 11/28/2036 | | | | | | | | 22,000 | | | | 118 | | | | (106 | ) | | | 12 | | | | 19 | | | | 0 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | $ | 708 | | | $ | (231 | ) | | $ | 477 | | | $ | 122 | | | $ | (88 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Swap Agreements | | | $ | (264 | ) | | $ | (315 | ) | | $ | (579 | ) | | $ | 122 | | | $ | (103 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | DECEMBER 31, 2017 | | 61 |
Schedule of Investments PIMCO Fixed Income SHares: Series LD (Cont.)
FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED SUMMARY
The following is a summary of the market value and variation margin of Exchange-Traded or Centrally Cleared Financial Derivative Instruments as of December 31, 2017:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Financial Derivative Assets | | | | | | Financial Derivative Liabilities | |
| | | Market Value | | | Variation Margin
Asset | | | | | | | | | Market Value | | | Variation Margin
Liability | | | | |
| | | Purchased
Options | | | Futures | | | Swap
Agreements | | | Total | | | | | | Written
Options | | | Futures | | | Swap
Agreements | | | Total | |
Total Exchange-Traded or Centrally Cleared | | $ | 0 | | | $ | 27 | | | $ | 122 | | | $ | 149 | | | | | | | $ | 0 | | | $ | (51) | | | $ | (103) | | | $ | (154) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Cash of $1,277 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2017. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information regarding master netting arrangements.
| (1) | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive 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 Portfolio 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 on credit indices 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 referenced indices’ credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| (4) | This instrument has a forward starting effective date. See Note 2, Securities Transactions and Investment Income, in the Notes to Financial Statements for further information. |
(j) FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER
FORWARD FOREIGN CURRENCY CONTRACTS:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Settlement
Month | | | Currency to
be Delivered | | | Currency to
be Received | | | Unrealized Appreciation/
(Depreciation) | |
| | | | | Asset | | | Liability | |
BOA | | | 01/2018 | | | | AUD | | | | 3,880 | | | $ | | | | | 2,944 | | | $ | 0 | | | $ | (83 | ) |
| | | 01/2018 | | | | EUR | | | | 305 | | | | | | | | 364 | | | | 0 | | | | (2 | ) |
BPS | | | 01/2018 | | | | MXN | | | | 2,342 | | | | | | | | 125 | | | | 6 | | | | 0 | |
| | | 02/2018 | | | | JPY | | | | 36,200 | | | | | | | | 323 | | | | 1 | | | | 0 | |
BRC | | | 02/2018 | | | | MYR | | | | 1,736 | | | | | | | | 415 | | | | 0 | | | | (13 | ) |
| | | 03/2018 | | | | | | | | 3,557 | | | | | | | | 848 | | | | 0 | | | | (29 | ) |
GLM | | | 01/2018 | | | | CAD | | | | 7,607 | | | | | | | | 5,944 | | | | 0 | | | | (108 | ) |
| | | 01/2018 | | | | GBP | | | | 1,161 | | | | | | | | 1,565 | | | | 0 | | | | (3 | ) |
| | | 01/2018 | | | | MXN | | | | 2,045 | | | | | | | | 104 | | | | 1 | | | | 0 | |
| | | 01/2018 | | | | MYR | | | | 583 | | | | | | | | 141 | | | | 0 | | | | (3 | ) |
| | | 01/2018 | | | $ | | | | | 69 | | | | MYR | | | | 283 | | | | 0 | | | | 0 | |
| | | 02/2018 | | | | MYR | | | | 102 | | | $ | | | | | 24 | | | | 0 | | | | (1 | ) |
| | | 03/2018 | | | | | | | | 2,138 | | | | | | | | 511 | | | | 0 | | | | (16 | ) |
MSB | | | 01/2018 | | | | JPY | | | | 1,851,100 | | | | | | | | 16,415 | | | | 18 | | | | (41 | ) |
| | | 02/2018 | | | | MYR | | | | 204 | | | | | | | | 50 | | | | 0 | | | | (1 | ) |
| | | 03/2018 | | | | | | | | 98 | | | | | | | | 23 | | | | 0 | | | | (1 | ) |
SCX | | | 01/2018 | | | | JPY | | | | 169,600 | | | | | | | | 1,515 | | | | 10 | | | | 0 | |
TOR | | | 01/2018 | | | $ | | | | | 1,963 | | | | CAD | | | | 2,523 | | | | 45 | | | | 0 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Forward Foreign Currency Contracts | | | $ | 81 | | | $ | (301 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| 62 | | PIMCO MANAGED ACCOUNTS TRUST | | | | See Accompanying Notes |
December 31, 2017
PURCHASED OPTIONS:
FOREIGN CURRENCY OPTIONS
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Description | | Strike
Price | | | Expiration
Date | | | Notional
Amount | | | Cost | | | Market
Value | |
| BPS | | Call - OTC AUD versus USD | | $ | | | 0.825 | | | | 01/24/2018 | | | | AUD | | | | 4,000 | | | $ | 0 | | | $ | 0 | |
| | Put - OTC USD versus CAD | | CAD | | | 1.193 | | | | 01/19/2018 | | | | $ | | | | 4,000 | | | | 1 | | | | 0 | |
| | Put - OTC USD versus JPY | | JPY | | | 105.000 | | | | 01/24/2018 | | | | | | | | 3,000 | | | | 0 | | | | 0 | |
| | Put - OTC USD versus MXN | | MXN | | | 17.000 | | | | 01/24/2018 | | | | | | | | 200 | | | | 0 | | | | 0 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | $ | 1 | | | $ | 0 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Purchased Options | | | $ | 1 | | | $ | 0 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
WRITTEN OPTIONS:
INTEREST RATE SWAPTIONS
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Description | | Floating Rate Index | | | Pay/
Receive
Floating
Rate | | Exercise
Rate | | | Expiration
Date | | | Notional
Amount | | | Premiums
(Received) | | | Market
Value | |
MYC | | Put - OTC 5-Year
Interest Rate Swap | | | 3-Month USD-LIBOR | | | Pay | | | 2.300% | | | | 01/31/2018 | | | $ | 16,900 | | | $ | (26 | ) | | $ | (32 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Written Options | | | $ | (26 | ) | | $ | (32 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER SUMMARY
The following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral pledged/(received) as of December 31, 2017:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Financial Derivative Assets | | | | | | Financial Derivative Liabilities | | | | | | | | | | |
| Counterparty | | Forward
Foreign
Currency
Contracts | | | Purchased
Options | | | Swap
Agreements | | | Total
Over the
Counter | | | | | | Forward
Foreign
Currency
Contracts | | | Written
Options | | | Swap
Agreements | | | Total
Over the
Counter | | | Net Market
Value of OTC
Derivatives | | | Collateral
Pledged/
(Received) | | | Net
Exposure(1) | |
BOA | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | | | | | $ | (85 | ) | | $ | 0 | | | $ | 0 | | | $ | (85 | ) | | $ | (85 | ) | | $ | 0 | | | $ | (85 | ) |
BPS | | | 7 | | | | 0 | | | | 0 | | | | 7 | | | | | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 7 | | | | 0 | | | | 7 | |
BRC | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | | | | | (42 | ) | | | 0 | | | | 0 | | | | (42 | ) | | | (42 | ) | | | 0 | | | | (42) | |
GLM | | | 1 | | | | 0 | | | | 0 | | | | 1 | | | | | | | | (131 | ) | | | 0 | | | | 0 | | | | (131 | ) | | | (130 | ) | | | 0 | | | | (130 | ) |
MSB | | | 18 | | | | 0 | | | | 0 | | | | 18 | | | | | | | | (43 | ) | | | 0 | | | | 0 | | | | (43 | ) | | | (25 | ) | | | 0 | | | | (25 | ) |
MYC | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | | | | | 0 | | | | (32 | ) | | | 0 | | | | (32 | ) | | | (32) | | | | 0 | | | | (32 | ) |
SCX | | | 10 | | | | 0 | | | | 0 | | | | 10 | | | | | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 10 | | | | 0 | | | | 10 | |
TOR | | | 45 | | | | 0 | | | | 0 | | | | 45 | | | | | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 45 | | | | 0 | | | | 45 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Over the Counter | | $ | 81 | | | $ | 0 | | | $ | 0 | | | $ | 81 | | | | | | | $ | (301) | | | $ | (32) | | | $ | 0 | | | $ | (333) | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (1) | Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information regarding master netting arrangements. |
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | DECEMBER 31, 2017 | | 63 |
Schedule of Investments PIMCO Fixed Income SHares: Series LD (Cont.)
FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS
The following is a summary of the fair valuation of the Portfolio’s derivative instruments categorized by risk exposure. See Note 7, Principal Risks, in the Notes to Financial Statements on risks of the Portfolio.
Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of December 31, 2017:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Derivatives not accounted for as hedging instruments | |
| | | Commodity
Contracts | | | Credit
Contracts | | | Equity
Contracts | | | Foreign
Exchange
Contracts | | | Interest
Rate Contracts | | | Total | |
Financial Derivative Instruments - Assets | |
Exchange-traded or centrally cleared | |
Futures | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 27 | | | $ | 27 | |
Swap Agreements | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 122 | | | | 122 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 149 | | | $ | 149 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Over the counter | |
Forward Foreign Currency Contracts | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 81 | | | $ | 0 | | | $ | 81 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 81 | | | $ | 149 | | | $ | 230 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
Financial Derivative Instruments - Liabilities | |
Exchange-traded or centrally cleared | |
Futures | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 51 | | | $ | 51 | |
Swap Agreements | | | 0 | | | | 15 | | | | 0 | | | | 0 | | | | 88 | | | | 103 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 15 | | | $ | 0 | | | $ | 0 | | | $ | 139 | | | $ | 154 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Over the counter | |
Forward Foreign Currency Contracts | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 301 | | | $ | 0 | | | $ | 301 | |
Written Options | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 32 | | | | 32 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 301 | | | $ | 32 | | | $ | 333 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 15 | | | $ | 0 | | | $ | 301 | | | $ | 171 | | | $ | 487 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
The effect of Financial Derivative Instruments on the Statements of Operations for the period ended December 31, 2017:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Derivatives not accounted for as hedging instruments | |
| | | Commodity
Contracts | | | Credit
Contracts | | | Equity
Contracts | | | Foreign
Exchange
Contracts | | | Interest
Rate Contracts | | | Total | |
Net Realized Gain (Loss) on Financial Derivative Instruments | |
Exchange-traded or centrally cleared | |
Purchased Options | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | (6 | ) | | $ | (6 | ) |
Futures | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 300 | | | | 300 | |
Swap Agreements | | | 0 | | | | (497 | ) | | | 0 | | | | 0 | | | | (305 | ) | | | (802 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | (497 | ) | | $ | 0 | | | $ | 0 | | | $ | (11 | ) | | $ | (508 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Over the counter | |
Forward Foreign Currency Contracts | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | (369 | ) | | $ | 0 | | | $ | (369 | ) |
Purchased Options | | | 0 | | | | 0 | | | | 0 | | | | (4 | ) | | | (8 | ) | | | (12 | ) |
Written Options | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 94 | | | | 94 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | (373 | ) | | $ | 86 | | | $ | (287 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | (497 | ) | | $ | 0 | | | $ | (373 | ) | | $ | 75 | | | $ | (795 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| 64 | | PIMCO MANAGED ACCOUNTS TRUST | | | | See Accompanying Notes |
December 31, 2017
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Derivatives not accounted for as hedging instruments | |
| | | Commodity
Contracts | | | Credit
Contracts | | | Equity
Contracts | | | Foreign
Exchange
Contracts | | | Interest
Rate Contracts | | | Total | |
Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative Instruments | |
Exchange-traded or centrally cleared | |
Purchased Options | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | (3 | ) | | $ | (3 | ) |
Futures | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | (63 | ) | | | (63 | ) |
Swap Agreements | | | 0 | | | | 17 | | | | 0 | | | | 0 | | | | (192 | ) | | | (175 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 17 | | | $ | 0 | | | $ | 0 | | | $ | (258 | ) | | $ | (241 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Over the counter | |
Forward Foreign Currency Contracts | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | (286 | ) | | $ | 0 | | | $ | (286 | ) |
Purchased Options | | | 0 | | | | 0 | | | | 0 | | | | (1 | ) | | | (6 | ) | | | (7 | ) |
Written Options | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | (14 | ) | | | (14 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | (287 | ) | | $ | (20 | ) | | $ | (307 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 17 | | | $ | 0 | | | $ | (287 | ) | | $ | (278 | ) | | $ | (548 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2017 in valuing the Portfolio’s assets and liabilities:
| | | | | | | | | | | | | | | | |
| Category and Subcategory | | Level 1 | | | Level 2 | | | Level 3 | | | Fair
Value at
12/31/2017 | |
Investments in Securities, at Value | |
Loan Participations and Assignments | | $ | 0 | | | $ | 649 | | | $ | 0 | | | $ | 649 | |
Corporate Bonds & Notes | |
Banking & Finance | | | 0 | | | | 43,990 | | | | 0 | | | | 43,990 | |
Industrials | | | 0 | | | | 39,143 | | | | 0 | | | | 39,143 | |
Utilities | | | 0 | | | | 7,923 | | | | 0 | | | | 7,923 | |
Municipal Bonds & Notes | |
Pennsylvania | | | 0 | | | | 1,329 | | | | 0 | | | | 1,329 | |
U.S. Government Agencies | | | 0 | | | | 525 | | | | 0 | | | | 525 | |
U.S. Treasury Obligations | | | 0 | | | | 20,245 | | | | 0 | | | | 20,245 | |
Non-Agency Mortgage-Backed Securities | | | 0 | | | | 5,643 | | | | 0 | | | | 5,643 | |
Asset-Backed Securities | | | 0 | | | | 21,751 | | | | 0 | | | | 21,751 | |
Sovereign Issues | | | 0 | | | | 4,759 | | | | 0 | | | | 4,759 | |
Short-Term Instruments | | | | | | | | | | | | | | | | |
Certificates of Deposit | | | 0 | | | | 999 | | | | 0 | | | | 999 | |
Repurchase Agreements | | | 0 | | | | 501 | | | | 0 | | | | 501 | |
Argentina Treasury Bills | | | 0 | | | | 1,682 | | | | 0 | | | | 1,682 | |
Japan Treasury Bills | | | 0 | | | | 15,303 | | | | 0 | | | | 15,303 | |
Malaysia Treasury Bills | | | 0 | | | | 74 | | | | 0 | | | | 74 | |
| | | | |
Total Investments | | $ | 0 | | | $ | 164,516 | | | $ | 0 | | | $ | 164,516 | |
| | | | |
Financial Derivative Instruments - Assets | | | | | | | | | | | | | | | | |
Exchange-traded or centrally cleared | | | 27 | | | | 122 | | | | 0 | | | | 149 | |
Over the counter | | | 0 | | | | 81 | | | | 0 | | | | 81 | |
| | $ | 27 | | | $ | 203 | | | $ | 0 | | | $ | 230 | |
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | DECEMBER 31, 2017 | | 65 |
Schedule of Investments PIMCO Fixed Income SHares: Series LD (Cont.)
December 31, 2017
| | | | | | | | | | | | | | | | |
| Category and Subcategory | | Level 1 | | | Level 2 | | | Level 3 | | | Fair
Value at
12/31/2017 | |
Financial Derivative Instruments - Liabilities | |
Exchange-traded or centrally cleared | | $ | (51 | ) | | $ | (103 | ) | | $ | 0 | | | $ | (154 | ) |
Over the counter | | | 0 | | | | (333 | ) | | | 0 | | | | (333 | ) |
| | $ | (51 | ) | | $ | (436 | ) | | $ | 0 | | | $ | (487 | ) |
| | | | |
Total Financial Derivative Instruments | | $ | (24 | ) | | $ | (233 | ) | | $ | 0 | | | $ | (257 | ) |
| | | | |
Totals | | $ | (24 | ) | | $ | 164,283 | | | $ | 0 | | | $ | 164,259 | |
There were no significant transfers among Levels 1, 2, or 3 during the period ended December 31, 2017.
| | | | | | |
| 66 | | PIMCO MANAGED ACCOUNTS TRUST | | | | See Accompanying Notes |
Schedule of Investments PIMCO Fixed Income SHares: Series M
December 31, 2017
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
| INVESTMENTS IN SECURITIES 175.7% | |
| |
| LOAN PARTICIPATIONS AND ASSIGNMENTS 0.2% | |
AABS Ltd. | |
4.875% due 01/10/2038 « | | $ | | | 1,950 | | | $ | | | 1,971 | |
Rise Ltd. | |
4.750% due 01/31/2021 «~(g) | | | 500 | | | | | | 503 | |
| | | | | | | | | | | | |
Total Loan Participations
and Assignments
(Cost $2,448) | | | 2,474 | |
| | | | | | | | | | | | |
| |
| CORPORATE BONDS & NOTES 17.5% | |
| |
| BANKING & FINANCE 12.0% | |
AerCap Ireland Capital DAC | |
5.000% due 10/01/2021 | | | | | 15,800 | | | | | | 16,855 | |
Banco Santander Mexico S.A. Institucion de Banca Multiple Grupo Financiero Santand | |
4.125% due 11/09/2022 | | | | | 26,100 | | | | | | 26,916 | |
Barclays Bank PLC | |
7.625% due 11/21/2022 (f) | | | | | 5,200 | | | | | | 5,899 | |
7.750% due 04/10/2023 (f)• | | | | | 2,600 | | | | | | 2,645 | |
14.000% due 06/15/2019 (e)• | | GBP | | | 3,500 | | | | | | 5,553 | |
Barclays PLC | |
8.250% due 12/15/2018 (e)(f)• | | $ | | | 3,000 | | | | | | 3,151 | |
Blackstone CQP Holdco LP | |
6.500% due 03/20/2021 | | | | | 35,000 | | | | | | 35,700 | |
BPCE S.A. | |
4.625% due 07/11/2024 | | | | | 14,300 | | | | | | 15,054 | |
Credit Suisse AG | |
6.500% due 08/08/2023 (f) | | | | | 14,100 | | | | | | 15,812 | |
General Motors Financial Co., Inc. | |
3.200% due 07/13/2020 | | | | | 1,300 | | | | | | 1,318 | |
4.250% due 05/15/2023 | | | | | 9,630 | | | | | | 10,096 | |
Hospitality Properties Trust | |
5.000% due 08/15/2022 | | | | | 8,500 | | | | | | 9,078 | |
Intesa Sanpaolo SpA | |
6.500% due 02/24/2021 | | | | | 2,300 | | | | | | 2,536 | |
Ohio National Financial Services, Inc. | |
6.375% due 04/30/2020 | | | | | 1,500 | | | | | | 1,615 | |
Santander Holdings USA, Inc. | |
3.700% due 03/28/2022 | | | | | 2,000 | | | | | | 2,026 | |
SoQ Sukuk A QSC | |
2.099% due 01/18/2018 | | | | | 4,400 | | | | | | 4,401 | |
Tesco Property Finance PLC | |
5.661% due 10/13/2041 | | GBP | | | 99 | | | | | | 157 | |
5.744% due 04/13/2040 | | | | | 195 | | | | | | 313 | |
5.801% due 10/13/2040 | | | | | 687 | | | | | | 1,113 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 160,238 | |
| | | | | | | | | | | | |
| |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
| INDUSTRIALS 4.1% | |
CNH Industrial Finance Europe S.A. | |
6.250% due 03/09/2018 | | EUR | | | 334 | | | $ | | | 405 | |
CVS Pass-Through Trust | |
7.507% due 01/10/2032 | | $ | | | 6,434 | | | | | | 7,897 | |
Florida Gas Transmission Co. LLC | |
7.900% due 05/15/2019 | | | | | 5,000 | | | | | | 5,355 | |
Ford Motor Co. | |
7.450% due 07/16/2031 | | | | | 1,000 | | | | | | 1,310 | |
Georgia-Pacific LLC | |
8.000% due 01/15/2024 | | | | | 4,200 | | | | | | 5,351 | |
HCA, Inc. | |
6.500% due 02/15/2020 | | | | | 10,300 | | | | | | 10,944 | |
Kinder Morgan, Inc. | |
5.625% due 11/15/2023 | | | | | 1,150 | | | | | | 1,271 | |
Petroleos Mexicanos | |
5.500% due 02/24/2025 | | EUR | | | 13,000 | | | | | | 18,455 | |
Teva Pharmaceutical Finance Netherlands BV | |
1.700% due 07/19/2019 | | $ | | | 3,100 | | | | | | 3,013 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 54,001 | |
| | | | | | | | | | | | |
| |
| UTILITIES 1.4% | |
AT&T, Inc. | |
4.550% due 03/09/2049 | | | | | 1,036 | | | | | | 978 | |
Gazprom OAO Via Gaz Capital S.A. | |
8.146% due 04/11/2018 | | | | | 15,500 | | | | | | 15,745 | |
Odebrecht Drilling Norbe Ltd. | |
6.350% due 12/01/2021 ^(b) | | | 67 | | | | | | 66 | |
Odebrecht Drilling Norbe Ltd. (6.350% Cash or 7.350% PIK) | |
7.350% due 12/01/2026 ^(a)(b) | | | 79 | | | | | | 27 | |
Odebrecht Finance Ltd. | |
0.000% due 02/12/2018 ^(b)(d)(e) | | | 46 | | | | | | 1 | |
Verizon Communications, Inc. | |
4.400% due 11/01/2034 | | | | | 2,000 | | | | | | 2,043 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 18,860 | |
| | | | | | | | | | | | |
Total Corporate Bonds & Notes
(Cost $229,905) | | | 233,099 | |
| | | | | | | | | | | | |
| |
| MUNICIPAL BONDS & NOTES 4.7% | |
| |
| CALIFORNIA 0.4% | |
Newport Beach, California Certificates of Participation Bonds, (BABs), Series 2010 | |
7.168% due 07/01/2040 | | | | | 3,500 | | | | | | 4,882 | |
| | | | | | | | | | | | |
| |
| ILLINOIS 0.3% | |
Chicago, Illinois Waterworks Revenue Bonds, Series 2010 | |
6.642% due 11/01/2029 | | | | | 900 | | | | | | 1,106 | |
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | DECEMBER 31, 2017 | | 67 |
Schedule of Investments PIMCO Fixed Income SHares: Series M (Cont.)
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
Illinois State General Obligation Bonds, Series 2003 | |
5.100% due 06/01/2033 | | $ | | | 3,575 | | | $ | | | 3,575 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,681 | |
| | | | | | | | | | | | |
| |
| OHIO 0.1% | |
American Municipal Power, Inc., Ohio Revenue Bonds, Series 2010 | |
7.734% due 02/15/2033 | | | | | 900 | | | | | | 1,290 | |
| | | | | | | | | | | | |
| |
| PENNSYLVANIA 0.8% | |
Pennsylvania Economic Development Financing Authority Revenue Bonds, (BABs), Series 2010 | |
6.532% due 06/15/2039 | | | | | 600 | | | | | | 784 | |
State Public School Building Authority, Pennsylvania Revenue Bonds, Series 2011 | |
5.426% due 09/15/2026 | | | | | 8,500 | | | | | | 9,577 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 10,361 | |
| | | | | | | | | | | | |
| |
| TEXAS 0.1% | |
Texas Public Finance Authority Revenue Notes, Series 2014 | |
8.250% due 07/01/2024 | | | | | 1,000 | | | | | | 1,044 | |
| | | | | | | | | | | | |
| |
| VIRGINIA 1.3% | |
Tobacco Settlement Financing Corp., Virginia Revenue Bonds, Series 2007 | |
6.706% due 06/01/2046 | | | | | 19,105 | | | | | | 17,289 | |
| | | | | | | | | | | | |
| |
| WEST VIRGINIA 1.7% | |
Tobacco Settlement Finance Authority, West Virginia Revenue Bonds, Series 2007 | |
7.467% due 06/01/2047 | | | | | 23,785 | | | | | | 23,200 | |
| | | | | | | | | | | | |
Total Municipal Bonds & Notes
(Cost $54,182) | | | 62,747 | |
| | | | | | | | | | | | |
| |
| U.S. GOVERNMENT AGENCIES 48.5% | |
Fannie Mae | |
2.002% (LIBOR01M + 0.450%) due 08/25/2021 ~ | | | | | 2 | | | | | | 3 | |
2.480% (COF 11 + 1.250%) due 06/01/2020 ~ | | | | | 2 | | | | | | 2 | |
2.923% (H15T1Y + 2.126%) due 05/01/2033 ~ | | | | | 74 | | | | | | 78 | |
3.000% due 01/01/2046 | | | | | 328 | | | | | | 328 | |
3.039% (H15T1Y + 2.023%) due 05/01/2028 ~ | | | | | 12 | | | | | | 12 | |
3.132% (H15T1Y + 2.157%) due 01/01/2033 ~ | | | | | 36 | | | | | | 38 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
3.215% (US0012M + 1.594%) due 12/01/2034 ~ | | $ | | | 62 | | | $ | | | 65 | |
3.224% (H15T1Y + 1.974%) due 11/01/2032 ~ | | | | | 12 | | | | | | 13 | |
3.248% (H15T1Y + 1.998%) due 10/01/2032 ~ | | | | | 12 | | | | | | 13 | |
3.345% (H15T1Y + 2.095%) due 09/01/2027 ~ | | | | | 41 | | | | | | 42 | |
3.465% (US0012M + 1.715%) due 09/01/2032 ~ | | | | | 8 | | | | | | 8 | |
3.500% due 05/01/2047 | | | | | 562 | | | | | | 577 | |
3.550% (US0012M + 1.800%) due 10/01/2034 ~ | | | | | 44 | | | | | | 44 | |
3.929% due 03/25/2041 ~ | | | | | 14 | | | | | | 14 | |
4.000% due 11/25/2019 - 12/01/2044 | | | | | 74 | | | | | | 76 | |
4.103% due 05/25/2042 ~ | | | | | 13 | | | | | | 14 | |
6.000% due 08/01/2022 - 12/01/2023 | | | | | 62 | | | | | | 63 | |
6.500% due 01/01/2025 - 12/01/2028 | | | | | 38 | | | | | | 43 | |
7.000% due 11/01/2038 | | | | | 51 | | | | | | 56 | |
7.010% due 08/01/2022 | | | | | 13 | | | | | | 13 | |
11.000% due 07/15/2020 | | | | | 1 | | | | | | 1 | |
Fannie Mae, TBA | |
3.000% due 02/01/2048 | | | | | 146,050 | | | | | | 145,891 | |
3.500% due 02/01/2033 - 03/01/2048 | | | | | 88,000 | | | | | | 90,239 | |
4.000% due 02/01/2048 - 03/01/2048 | | | | | 162,345 | | | | | | 169,631 | |
4.500% due 02/01/2048 | | | | | 127,000 | | | | | | 134,976 | |
Freddie Mac | |
1.927% (LIBOR01M + 0.450%) due 08/15/2029 - 12/15/2031 ~ | | | 36 | | | | | | 36 | |
1.977% (LIBOR01M + 0.500%) due 09/15/2030 ~ | | | | | 5 | | | | | | 5 | |
2.027% (LIBOR01M + 0.550%) due 03/15/2032 ~ | | | | | 5 | | | | | | 5 | |
2.127% (LIBOR01M + 0.650%) due 03/15/2020 - 02/15/2024 ~ | | | 225 | | | | | | 229 | |
2.627% (LIBOR01M + 1.150%) due 09/15/2022 ~ | | | | | 17 | | | | | | 17 | |
2.827% (LIBOR01M + 1.350%) due 08/15/2023 ~ | | | | | 5 | | | | | | 5 | |
2.827% (H15T1Y + 1.830%) due 08/01/2032 ~ | | | | | 64 | | | | | | 64 | |
2.973% (H15T1Y + 2.223%) due 01/01/2033 ~ | | | | | 2 | | | | | | 2 | |
3.140% (H15T1Y + 2.207%) due 02/01/2033 ~ | | | | | 39 | | | | | | 41 | |
3.230% (H15T1Y + 2.270%) due 02/01/2029 ~ | | | | | 49 | | | | | | 51 | |
3.250% (H15T1Y + 2.125%) due 08/01/2029 ~ | | | | | 13 | | | | | | 13 | |
3.500% (H15T1Y + 2.250%) due 01/01/2032 - 10/01/2032 ~ | | | 57 | | | | | | 60 | |
| | | | | | |
| 68 | | PIMCO MANAGED ACCOUNTS TRUST | | | | See Accompanying Notes |
December 31, 2017
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
3.643% (US0012M + 1.893%) due 07/01/2032 ~ | | $ | | | 5 | | | $ | | | 5 | |
3.725% (US0012M + 1.975%) due 08/01/2032 ~ | | | | | 6 | | | | | | 6 | |
3.750% (H15T1Y + 2.500%) due 10/01/2032 ~ | | | | | 53 | | | | | | 54 | |
6.000% due 12/15/2028 | | | | | 236 | | | | | | 259 | |
6.500% due 12/15/2023 | | | | | 4 | | | | | | 4 | |
7.000% due 04/01/2029 - 03/01/2030 | | | | | 15 | | | | | | 16 | |
7.500% due 08/15/2030 | | | | | 37 | | | | | | 42 | |
Ginnie Mae | |
1.851% (LIBOR01M + 0.350%) due 06/20/2032 ~ | | | 11 | | | | | | 11 | |
2.250% (H15T1Y + 1.500%) due 11/20/2023 - 10/20/2027 ~ | | | 49 | | | | | | 51 | |
2.375% (H15T1Y + 1.500%) due 01/20/2022 - 03/20/2032 ~ | | | 201 | | | | | | 207 | |
2.625% (H15T1Y + 1.500%) due 05/20/2018 - 06/20/2032 ~ | | | 130 | | | | | | 134 | |
2.750% (H15T1Y + 1.500%) due 07/20/2021 - 07/20/2029 ~ | | | 57 | | | | | | 57 | |
3.000% (H15T1Y + 1.500%) due 04/20/2019 - 08/20/2025 ~ | | | 43 | | | | | | 42 | |
3.125% (H15T1Y + 2.000%) due 06/20/2022 ~ | | | | | 18 | | | | | | 18 | |
6.500% due 05/15/2023 - 12/15/2023 | | | | | 1 | | | | | | 1 | |
Ginnie Mae, TBA | |
4.000% due 01/01/2048 - 02/01/2048 | | | | | 72,600 | | | | | | 75,725 | |
NCUA Guaranteed Notes | |
1.779% (LIBOR01M + 0.450%) due 10/07/2020 ~ | | | 1,381 | | | | | | 1,383 | |
Tennessee Valley Authority | |
2.875% due 02/01/2027 | | | | | 10,000 | | | | | | 10,200 | |
7.125% due 05/01/2030 | | | | | 10,000 | | | | | | 14,433 | |
Vendee Mortgage Trust | |
6.500% due 09/15/2024 | | | | | 389 | | | | | | 417 | |
| | | | | | | | | | | | |
Total U.S. Government Agencies
(Cost $644,773) | | | 645,833 | |
| | | | | | | | | | | | |
| |
| U.S. TREASURY OBLIGATIONS 40.2% | |
U.S. Treasury Bonds | |
2.750% due 08/15/2047 | | | | | 8,530 | | | | | | 8,533 | |
U.S. Treasury Notes | |
1.750% due 03/31/2022 (i)(k)(m) | | | 41,900 | | | | | | 41,216 | |
1.875% due 01/31/2022 (i)(k) | | | 165,100 | | | | | | 163,396 | |
1.875% due 08/31/2024 (i) | | | | | 133,350 | | | | | | 129,751 | |
2.000% due 05/31/2024 (i)(m) | | | 60,400 | | | | | | 59,268 | |
2.250% due 10/31/2024 (i) | | | | | 134,080 | | | | | | 133,448 | |
| | | | | | | | | | | | |
Total U.S. Treasury Obligations
(Cost $540,442) | | | 535,612 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
NON-AGENCY MORTGAGE-BACKED
SECURITIES 21.7% | |
Adjustable Rate Mortgage Trust | |
3.433% due 02/25/2036 ~ | | $ | | | 173 | | | $ | | | 159 | |
3.468% due 01/25/2036 ^~ | | | | | 71 | | | | | | 68 | |
3.497% due 11/25/2035 ^~ | | | | | 203 | | | | | | 179 | |
3.704% due 11/25/2035 ^~ | | | | | 265 | | | | | | 249 | |
American Home Mortgage Assets Trust | |
1.742% (US0001M + 0.190%) due 09/25/2046 ^~ | | | | | 806 | | | | | | 714 | |
1.762% (US0001M + 0.210%) due 10/25/2046 ~ | | | | | 687 | | | | | | 508 | |
1.983% (12MTA + 0.920%) due 11/25/2046 ~ | | | | | 655 | | | | | | 377 | |
American Home Mortgage Investment Trust | |
2.132% (US0001M + 0.580%) due 02/25/2045 ~ | | | | | 44 | | | | | | 44 | |
Banc of America Alternative Loan Trust | |
6.000% due 07/25/2046 ^ | | | | | 193 | | | | | | 172 | |
13.525% (- 2.2 * US0001M + 16.940%) due 09/25/2035 ^~ | | | 159 | | | | | | 188 | |
Banc of America Funding Trust | |
1.691% (US0001M + 0.190%) due 10/20/2036 ~ | | | | | 191 | | | | | | 172 | |
1.762% (US0001M + 0.210%) due 04/25/2037 ^~ | | | | | 158 | | | | | | 131 | |
1.801% (US0001M + 0.300%) due 05/20/2047 ~ | | | | | 93 | | | | | | 86 | |
1.952% (US0001M + 0.400%) due 05/25/2037 ^~ | | | | | 147 | | | | | | 131 | |
3.622% due 09/20/2046 ^~ | | | | | 143 | | | | | | 130 | |
3.633% due 02/20/2036 ~ | | | | | 478 | | | | | | 474 | |
3.650% due 09/20/2047 ^~ | | | | | 230 | | | | | | 208 | |
3.696% due 04/20/2035 ^~ | | | | | 185 | | | | | | 169 | |
5.500% due 03/25/2036 ^ | | | | | 27 | | | | | | 26 | |
Banc of America Mortgage Trust | |
3.594% due 02/25/2034 ~ | | | | | 281 | | | | | | 282 | |
3.631% due 05/25/2035 ^~ | | | | | 1,183 | | | | | | 1,177 | |
3.711% due 07/25/2035 ^~ | | | | | 35 | | | | | | 33 | |
5.500% due 09/25/2035 ^ | | | | | 613 | | | | | | 591 | |
5.500% due 05/25/2037 ^ | | | | | 165 | | | | | | 142 | |
BCAP LLC Trust | |
1.483% due 07/26/2036 ~ | | | | | 207 | | | | | | 199 | |
1.702% (US0001M + 0.150%) due 05/25/2047 ^~ | | | | | 102 | | | | | | 93 | |
1.772% (US0001M + 0.220%) due 05/25/2047 ^~ | | | | | 660 | | | | | | 603 | |
1.784% (12MTA + 0.840%) due 11/26/2046 ~ | | | | | 249 | | | | | | 245 | |
1.828% (US0001M + 0.500%) due 05/26/2035 ~ | | | | | 57 | | | | | | 57 | |
2.202% (US0001M + 0.650%) due 09/25/2047 ~ | | | | | 148 | | | | | | 137 | |
2.665% due 10/26/2035 ~ | | | | | 35 | | | | | | 35 | |
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | DECEMBER 31, 2017 | | 69 |
Schedule of Investments PIMCO Fixed Income SHares: Series M (Cont.)
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
2.752% (US0001M + 1.200%) due 10/25/2047 ~ | | $ | | | 20,481 | | | $ | | | 19,290 | |
3.252% due 02/26/2035 ~ | | | | | 59 | | | | | | 58 | |
3.340% due 03/26/2037 ~ | | | | | 165 | | | | | | 143 | |
3.403% due 01/26/2034 ~ | | | | | 48 | | | | | | 47 | |
3.449% due 06/26/2035 ~ | | | | | 149 | | | | | | 147 | |
3.517% due 03/27/2037 ~ | | | | | 392 | | | | | | 289 | |
3.720% due 07/26/2036 ~ | | | | | 99 | | | | | | 100 | |
3.721% due 07/26/2036 ~ | | | | | 48 | | | | | | 40 | |
3.807% due 07/26/2036 ~ | | | | | 324 | | | | | | 300 | |
4.000% due 02/26/2037 ~ | | | | | 35 | | | | | | 35 | |
7.092% due 10/26/2036 ~ | | | | | 382 | | | | | | 373 | |
Bear Stearns Adjustable Rate Mortgage Trust | |
3.213% due 05/25/2034 ~ | | | | | 48 | | | | | | 48 | |
3.312% due 02/25/2036 ^~ | | | | | 175 | | | | | | 173 | |
3.427% due 03/25/2035 ~ | | | | | 73 | | | | | | 72 | |
3.471% due 08/25/2035 ~ | | | | | 74 | | | | | | 68 | |
3.510% due 10/25/2035 ~ | | | | | 141 | | | | | | 141 | |
3.515% due 06/25/2035 ^~ | | | | | 48 | | | | | | 44 | |
3.520% (H15T1Y + 2.300%) due 10/25/2035 ~ | | | | | 889 | | | | | | 908 | |
3.564% due 01/25/2035 ~ | | | | | 21 | | | | | | 22 | |
3.580% (H15T1Y + 2.150%) due 08/25/2035 ~ | | | | | 2,879 | | | | | | 2,875 | |
3.634% due 02/25/2034 ~ | | | | | 90 | | | | | | 90 | |
3.636% (US0012M + 1.950%) due 03/25/2035 ~ | | | | | 1,238 | | | | | | 1,253 | |
3.662% (US0012M + 1.875%) due 12/25/2046 ^~ | | | | | 1,308 | | | | | | 1,315 | |
3.678% due 05/25/2047 ^~ | | | | | 315 | | | | | | 304 | |
3.730% due 11/25/2034 ~ | | | | | 95 | | | | | | 93 | |
3.766% due 01/25/2034 ~ | | | | | 101 | | | | | | 102 | |
Bear Stearns ALT-A Trust | |
1.992% (US0001M + 0.440%) due 04/25/2036 ~ | | | | | 205 | | | | | | 207 | |
3.298% due 02/25/2036 ^~ | | | | | 52 | | | | | | 47 | |
3.345% due 08/25/2036 ^~ | | | | | 333 | | | | | | 272 | |
3.351% due 02/25/2036 ^~ | | | | | 500 | | | | | | 446 | |
3.429% due 06/25/2034 ~ | | | | | 3,364 | | | | | | 3,156 | |
3.455% due 05/25/2036 ^~ | | | | | 712 | | | | | | 533 | |
3.506% due 11/25/2036 ^~ | | | | | 145 | | | | | | 133 | |
3.522% due 05/25/2035 ~ | | | | | 138 | | | | | | 139 | |
3.552% due 01/25/2036 ~ | | | | | 7,232 | | | | | | 6,821 | |
4.564% due 07/25/2035 ^~ | | | | | 754 | | | | | | 627 | |
Bear Stearns Mortgage Funding Trust | |
1.742% (US0001M + 0.190%) due 01/25/2037 ~ | | | | | 139 | | | | | | 132 | |
Bear Stearns Mortgage Securities, Inc. | |
6.240% due 03/25/2031 ~ | | | | | 6 | | | | | | 6 | |
Bear Stearns Structured Products, Inc. Trust | |
4.009% due 01/26/2036 ~ | | | | | 1,087 | | | | | | 962 | |
Chase Mortgage Finance Trust | |
3.394% due 03/25/2037 ^~ | | | | | 115 | | | | | | 114 | |
3.446% due 03/25/2037 ^~ | | | | | 65 | | | | | | 65 | |
3.541% due 09/25/2036 ^~ | | | | | 2,132 | | | | | | 2,096 | |
6.000% due 05/25/2037 | | | | | 157 | | | | | | 134 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
ChaseFlex Trust | |
1.852% (US0001M + 0.300%) due 07/25/2037 ~ | | $ | | | 281 | | | $ | | | 267 | |
4.361% due 08/25/2037 ^ | | | | | 53 | | | | | | 50 | |
5.000% due 07/25/2037 ^ | | | | | 144 | | | | | | 133 | |
Citigroup Mortgage Loan Trust | |
1.772% (US0001M + 0.220%) due 01/25/2037 ~ | | | | | 5,685 | | | | | | 5,238 | |
2.944% due 10/25/2046 ~ | | | | | 243 | | | | | | 219 | |
3.329% due 09/25/2037 ~ | | | | | 167 | | | | | | 163 | |
3.340% due 03/25/2037 ^~ | | | | | 113 | | | | | | 102 | |
3.486% due 08/25/2035 ~ | | | | | 40 | | | | | | 40 | |
3.630% (H15T1Y + 2.400%) due 10/25/2035 ~ | | | | | 202 | | | | | | 204 | |
3.674% due 09/25/2037 ^~ | | | | | 743 | | | | | | 702 | |
3.710% (H15T1Y + 2.400%) due 11/25/2035 ~ | | | | | 146 | | | | | | 146 | |
5.500% due 12/25/2035 | | | | | 246 | | | | | | 209 | |
6.250% due 11/25/2037 ~ | | | | | 141 | | | | | | 115 | |
Citigroup Mortgage Loan Trust, Inc. | |
3.415% due 12/25/2035 ^~ | | | | | 132 | | | | | | 99 | |
3.541% due 08/25/2035 ~ | | | | | 1,683 | | | | | | 1,673 | |
CitiMortgage Alternative Loan Trust | |
6.500% due 06/25/2037 ^ | | | | | 192 | | | | | | 182 | |
Community Program Loan Trust | |
4.500% due 04/01/2029 | | | | | 175 | | | | | | 175 | |
Countrywide Alternative Loan Resecuritization Trust | |
3.705% due 03/25/2047 ~ | | | | | 106 | | | | | | 106 | |
6.000% due 08/25/2037 ^~ | | | | | 169 | | | | | | 132 | |
Countrywide Alternative Loan Trust | |
1.681% (US0001M + 0.180%) due 02/20/2047 ^~ | | | | | 1,848 | | | | | | 1,545 | |
1.692% (US0001M + 0.140%) due 08/25/2037 ~ | | | | | 952 | | | | | | 861 | |
1.711% (US0001M + 0.210%) due 07/20/2046 ^~ | | | | | 57 | | | | | | 41 | |
1.712% (US0001M + 0.160%) due 12/25/2046 ^~ | | | | | 86 | | | | | | 85 | |
1.722% (US0001M + 0.170%) due 11/25/2036 ~ | | | | | 881 | | | | | | 840 | |
1.722% (US0001M + 0.170%) due 01/25/2037 ^~ | | | | | 396 | | | | | | 387 | |
1.727% (US0001M + 0.175%) due 11/25/2036 ~ | | | | | 9,422 | | | | | | 8,577 | |
1.732% (US0001M + 0.180%) due 11/25/2036 ~ | | | | | 148 | | | | | | 140 | |
1.732% (US0001M + 0.180%) due 05/25/2047 ~ | | | | | 1,504 | | | | | | 1,467 | |
1.742% (US0001M + 0.190%) due 07/25/2046 ^~ | | | | | 134 | | | | | | 112 | |
1.742% (US0001M + 0.190%) due 09/25/2046 ^~ | | | | | 612 | | | | | | 548 | |
1.742% (US0001M + 0.190%) due 10/25/2046 ~ | | | | | 81 | | | | | | 81 | |
| | | | | | |
| 70 | | PIMCO MANAGED ACCOUNTS TRUST | | | | See Accompanying Notes |
December 31, 2017
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
1.772% (US0001M + 0.220%) due 05/25/2035 ~ | | $ | | | 2,474 | | | $ | | | 2,170 | |
1.812% (US0001M + 0.260%) due 07/25/2035 ~ | | | | | 168 | | | | | | 167 | |
1.822% (US0001M + 0.270%) due 05/25/2036 ^~ | | | | | 19 | | | | | | 5 | |
1.862% (US0001M + 0.310%) due 08/25/2035 ^~ | | | | | 244 | | | | | | 209 | |
1.862% (US0001M + 0.310%) due 10/25/2035 ~ | | | | | 149 | | | | | | 135 | |
2.052% (US0001M + 0.500%) due 05/25/2035 ^~ | | | | | 3,866 | | | | | | 3,438 | |
2.052% (US0001M + 0.500%) due 06/25/2035 ~ | | | | | 157 | | | | | | 150 | |
2.058% (US0001M + 0.730%) due 11/25/2035 ~ | | | | | 1,407 | | | | | | 1,392 | |
2.063% (12MTA + 1.000%) due 02/25/2036 ~ | | | | | 579 | | | | | | 529 | |
2.072% (US0001M + 0.520%) due 12/25/2035 ~ | | | | | 1,192 | | | | | | 1,156 | |
2.108% (US0001M + 0.780%) due 09/25/2034 ~ | | | | | 16 | | | | | | 16 | |
2.443% (12MTA + 1.380%) due 11/25/2047 ^~ | | | | | 4,533 | | | | | | 3,835 | |
3.053% due 05/25/2036 ~ | | | | | 67 | | | | | | 54 | |
3.409% due 11/25/2035 ^~ | | | | | 146 | | | | | | 132 | |
3.428% due 08/25/2035 ~ | | | | | 277 | | | | | | 235 | |
3.487% due 06/25/2047 ~ | | | | | 214 | | | | | | 204 | |
5.500% due 11/25/2035 | | | | | 143 | | | | | | 112 | |
5.500% due 02/25/2036 ^ | | | | | 96 | | | | | | 86 | |
5.750% (US0001M + 1.000%) due 03/25/2037 ^~ | | | | | 172 | | | | | | 149 | |
5.750% due 07/25/2037 ^ | | | | | 26 | | | | | | 24 | |
5.750% due 04/25/2047 ^ | | | | | 172 | | | | | | 153 | |
6.000% due 12/25/2034 | | | | | 108 | | | | | | 109 | |
6.000% due 03/25/2036 ^ | | | | | 285 | | | | | | 223 | |
6.000% (US0001M + 1.000%) due 08/25/2036 ^~ | | | | | 96 | | | | | | 86 | |
6.000% due 08/25/2036 ^ | | | | | 301 | | | | | | 270 | |
6.000% due 02/25/2037 ^ | | | | | 625 | | | | | | 448 | |
6.000% due 04/25/2037 | | | | | 112 | | | | | | 98 | |
6.000% due 05/25/2037 ^ | | | | | 530 | | | | | | 398 | |
6.000% due 08/25/2037 ^~ | | | | | 565 | | | | | | 460 | |
6.250% due 11/25/2036 ^ | | | | | 122 | | | | | | 109 | |
6.500% due 05/25/2036 ^ | | | | | 2,113 | | | | | | 1,653 | |
6.500% due 12/25/2036 ^ | | | | | 92 | | | | | | 69 | |
6.500% due 08/25/2037 ^ | | | | | 446 | | | | | | 334 | |
15.532% (- 2.75 * US0001M + 19.800%) due 07/25/2035 ~ | | | | | 60 | | | | | | 72 | |
Countrywide Asset-Backed Certificates | |
2.052% (US0001M + 0.500%) due 03/25/2036 ~ | | | | | 8,983 | | | | | | 8,112 | |
Countrywide Home Loan Mortgage
Pass-Through Trust | |
1.852% (US0001M + 0.300%) due 04/25/2046 ^~ | | | | | 48 | | | | | | 4 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
1.892% (US0001M + 0.340%) due 03/25/2036 ~ | | $ | | | 453 | | | $ | | | 122 | |
2.012% (US0001M + 0.460%) due 05/25/2035 ~ | | | | | 105 | | | | | | 98 | |
2.092% (US0001M + 0.540%) due 02/25/2035 ~ | | | | | 22 | | | | | | 21 | |
2.172% (US0001M + 0.620%) due 03/25/2035 ~ | | | | | 434 | | | | | | 419 | |
2.292% (US0001M + 0.740%) due 02/25/2035 ~ | | | | | 471 | | | | | | 457 | |
2.332% (US0001M + 0.780%) due 02/25/2035 ~ | | | | | 399 | | | | | | 387 | |
2.505% due 04/25/2035 ^~ | | | | | 208 | | | | | | 74 | |
3.186% due 05/20/2036 ^~ | | | | | 186 | | | | | | 159 | |
3.243% due 02/20/2036 ~ | | | | | 387 | | | | | | 320 | |
3.285% due 05/20/2036 ~ | | | | | 82 | | | | | | 78 | |
3.367% due 10/20/2035 ~ | | | | | 88 | | | | | | 78 | |
3.396% due 01/25/2036 ^~ | | | | | 164 | | | | | | 151 | |
3.462% (US0012M + 1.750%) due 02/20/2036 ^~ | | | | | 55 | | | | | | 49 | |
3.482% due 11/25/2037 ~ | | | | | 300 | | | | | | 264 | |
3.488% due 11/25/2034 ~ | | | | | 127 | | | | | | 127 | |
3.524% due 06/25/2034 ~ | | | | | 1,163 | | | | | | 1,177 | |
3.575% due 08/25/2034 ~ | | | | | 8,911 | | | | | | 8,805 | |
3.666% due 08/25/2034 ^~ | | | | | 91 | | | | | | 86 | |
5.500% due 07/25/2037 ^ | | | | | 438 | | | | | | 373 | |
5.750% due 12/25/2035 ^ | | | | | 154 | | | | | | 140 | |
6.000% due 02/25/2037 ^ | | | | | 511 | | | | | | 465 | |
6.000% due 03/25/2037 ^ | | | | | 173 | | | | | | 152 | |
6.000% due 07/25/2037 | | | | | 291 | | | | | | 243 | |
6.500% due 11/25/2036 ^ | | | | | 1,223 | | | | | | 1,019 | |
Countrywide Home Loan Reperforming REMIC Trust | |
6.000% due 03/25/2035 ^ | | | | | 112 | | | | | | 110 | |
Credit Suisse First Boston Mortgage Securities Corp. | |
1.831% due 03/25/2032 ~ | | | | | 17 | | | | | | 16 | |
2.702% (US0001M + 1.150%) due 09/25/2034 ^~ | | | | | 111 | | | | | | 110 | |
Credit Suisse Mortgage Capital Certificates | |
1.658% (US0001M + 0.330%) due 12/27/2035 ~ | | | | | 184 | | | | | | 180 | |
3.315% due 04/26/2038 ~ | | | | | 1,311 | | | | | | 1,310 | |
3.574% due 04/28/2037 ~ | | | | | 520 | | | | | | 450 | |
3.686% due 08/28/2036 ~ | | | | | 72 | | | | | | 72 | |
Credit Suisse Mortgage Capital Trust | |
1.568% (LIBOR01M + 0.240%) due 05/27/2037 ~ | | | | | 96 | | | | | | 95 | |
Deutsche ALT-A Securities, Inc. | |
1.712% (US0001M + 0.160%) due 01/25/2047 ~ | | | | | 95 | | | | | | 92 | |
1.742% (US0001M + 0.190%) due 08/25/2047 ~ | | | | | 511 | | | | | | 489 | |
1.852% (US0001M + 0.300%) due 04/25/2037 ~ | | | | | 458 | | | | | | 296 | |
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | DECEMBER 31, 2017 | | 71 |
Schedule of Investments PIMCO Fixed Income SHares: Series M (Cont.)
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
Deutsche Mortgage & Asset Receiving Corp. | |
1.568% (LIBOR01M + 0.240%) due 11/27/2036 ~ | | $ | | | 473 | | | $ | | | 462 | |
Downey Savings & Loan Association Mortgage Loan Trust | |
1.815% (US0001M + 0.320%) due 07/19/2045 ^~ | | | | | 18 | | | | | | 2 | |
Eurosail PLC | |
1.470% (BP0003M + 0.950%) due 06/13/2045 ~ | | GBP | | | 5,863 | | | | | | 7,878 | |
First Horizon Alternative Mortgage Securities Trust | |
3.196% due 04/25/2036 ^~ | | $ | | | 216 | | | | | | 201 | |
3.258% due 01/25/2036 ^~ | | | | | 399 | | | | | | 328 | |
First Horizon Mortgage Pass-Through Trust | |
3.516% due 11/25/2037 ^~ | | | | | 99 | | | | | | 90 | |
GMAC Mortgage Corp. Loan Trust | |
3.743% due 11/19/2035 ~ | | | | | 168 | | | | | | 163 | |
GreenPoint Mortgage Funding Trust | |
1.752% (US0001M + 0.200%) due 12/25/2046 ^~ | | | | | 345 | | | | | | 314 | |
GS Mortgage Securities Trust | |
3.602% due 10/10/2049 ~ | | | | | 5,000 | | | | | | 5,008 | |
GSC Capital Corp. Mortgage Trust | |
1.732% (US0001M + 0.180%) due 05/25/2036 ^~ | | | | | 180 | | | | | | 160 | |
GSR Mortgage Loan Trust | |
3.472% due 09/25/2035 ~ | | | | | 376 | | | | | | 384 | |
3.525% due 09/25/2035 ~ | | | | | 165 | | | | | | 167 | |
3.528% due 04/25/2035 ~ | | | | | 91 | | | | | | 91 | |
3.665% due 04/25/2035 ~ | | | | | 52 | | | | | | 52 | |
3.832% due 09/25/2034 ~ | | | | | 108 | | | | | | 111 | |
3.855% due 11/25/2035 ~ | | | | | 171 | | | | | | 148 | |
HarborView Mortgage Loan Trust | |
1.685% (US0001M + 0.190%) due 01/19/2038 ~ | | | | | 56 | | | | | | 53 | |
1.735% (US0001M + 0.240%) due 12/19/2036 ^~ | | | | | 6,931 | | | | | | 6,129 | |
1.745% (US0001M + 0.250%) due 01/19/2036 ~ | | | | | 168 | | | | | | 133 | |
1.745% (US0001M + 0.250%) due 01/19/2038 ^~ | | | | | 76 | | | | | | 49 | |
1.935% (US0001M + 0.440%) due 05/19/2035 ~ | | | | | 3,614 | | | | | | 3,492 | |
2.175% (US0001M + 0.680%) due 01/19/2035 ~ | | | | | 60 | | | | | | 56 | |
2.334% (US0006M + 0.560%) due 07/19/2045 ~ | | | | | 62 | | | | | | 60 | |
3.440% due 12/19/2035 ^~ | | | | | 175 | | | | | | 149 | |
3.560% due 06/19/2036 ^~ | | | | | 280 | | | | | | 205 | |
3.720% due 12/19/2035 ^~ | | | | | 96 | | | | | | 95 | |
HomeBanc Mortgage Trust | |
1.732% (US0001M + 0.180%) due 12/25/2036 ~ | | | | | 125 | | | | | | 123 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
Impac Secured Assets Trust | |
1.702% (US0001M + 0.150%) due 11/25/2036 ~ | | $ | | | 1,300 | | | $ | | | 1,151 | |
1.722% (US0001M + 0.170%) due 01/25/2037 ~ | | | | | 188 | | | | | | 180 | |
IndyMac Mortgage Loan Trust | |
1.732% (LIBOR01M + 0.180%) due 07/25/2047 ~ | | | | | 474 | | | | | | 364 | |
1.742% (US0001M + 0.190%) due 09/25/2046 ~ | | | | | 170 | | | | | | 151 | |
1.852% (US0001M + 0.300%) due 11/25/2035 ^~ | | | | | 249 | | | | | | 194 | |
2.112% (US0001M + 0.560%) due 03/25/2035 ~ | | | | | 327 | | | | | | 322 | |
3.069% due 06/25/2037 ^~ | | | | | 133 | | | | | | 123 | |
3.311% due 11/25/2035 ^~ | | | | | 184 | | | | | | 162 | |
3.326% due 10/25/2035 ~ | | | | | 1,015 | | | | | | 948 | |
3.335% due 09/25/2035 ^~ | | | | | 126 | | | | | | 120 | |
3.336% due 06/25/2036 ~ | | | | | 1,723 | | | | | | 1,693 | |
3.340% due 08/25/2035 ~ | | | | | 1,211 | | | | | | 1,108 | |
3.401% due 06/25/2036 ~ | | | | | 6,509 | | | | | | 5,785 | |
3.415% due 08/25/2036 ~ | | | | | 3,083 | | | | | | 3,053 | |
3.625% due 06/25/2035 ^~ | | | | | 99 | | | | | | 89 | |
JPMorgan Alternative Loan Trust | |
1.702% (US0001M + 0.150%) due 03/25/2037 ~ | | | | | 25 | | | | | | 28 | |
1.712% (US0001M + 0.160%) due 10/25/2036 ~ | | | | | 8,930 | | | | | | 8,551 | |
1.829% (US0001M + 0.500%) due 06/27/2037 ~ | | | | | 4,499 | | | | | | 3,777 | |
3.207% due 12/25/2036 ~ | | | | | 40 | | | | | | 42 | |
JPMorgan Mortgage Trust | |
3.375% due 06/25/2037 ^~ | | | | | 229 | | | | | | 208 | |
3.430% due 11/25/2035 ~ | | | | | 98 | | | | | | 96 | |
3.558% due 11/25/2035 ~ | | | | | 95 | | | | | | 92 | |
3.561% due 01/25/2037 ^~ | | | | | 28 | | | | | | 28 | |
3.629% due 07/25/2035 ~ | | | | | 595 | | | | | | 616 | |
3.632% due 04/25/2035 ~ | | | | | 48 | | | | | | 49 | |
3.686% due 07/25/2035 ~ | | | | | 433 | | | | | | 444 | |
3.703% due 04/25/2035 ~ | | | | | 29 | | | | | | 29 | |
3.789% due 09/25/2034 ~ | | | | | 272 | | | | | | 272 | |
6.000% due 01/25/2036 ^ | | | | | 161 | | | | | | 138 | |
JPMorgan Resecuritization Trust | |
3.366% due 05/27/2037 ~ | | | | | 2,584 | | | | | | 2,563 | |
Lavender Trust | |
6.250% due 10/26/2036 | | | | | 322 | | | | | | 269 | |
Lehman Mortgage Trust | |
5.289% due 01/25/2036 ^~ | | | | | 221 | | | | | | 211 | |
5.318% due 12/25/2035 ~ | | | | | 275 | | | | | | 178 | |
6.000% due 07/25/2036 ^ | | | | | 103 | | | | | | 86 | |
Lehman XS Trust | |
1.752% (US0001M + 0.200%) due 08/25/2046 ^~ | | | | | 95 | | | | | | 80 | |
1.782% (US0001M + 0.230%) due 04/25/2046 ^~ | | | | | 73 | | | | | | 70 | |
| | | | | | |
| 72 | | PIMCO MANAGED ACCOUNTS TRUST | | | | See Accompanying Notes |
December 31, 2017
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
1.792% (US0001M + 0.240%) due 11/25/2046 ^~ | | $ | | | 35 | | | $ | | | 4 | |
1.822% (US0001M + 0.270%) due 02/25/2036 ~ | | | | | 9,328 | | | | | | 8,918 | |
Luminent Mortgage Trust | |
1.498% (LIBOR01M + 0.170%) due 12/25/2036 ~ | | | | | 918 | | | | | | 823 | |
1.752% (US0001M + 0.200%) due 10/25/2046 ~ | | | | | 288 | | | | | | 279 | |
MASTR Adjustable Rate Mortgages Trust | |
1.792% (US0001M + 0.240%) due 05/25/2037 ~ | | | | | 153 | | | | | | 99 | |
MASTR Reperforming Loan Trust | |
7.000% due 05/25/2035 | | | | | 1,201 | | | | | | 1,186 | |
8.000% due 07/25/2035 | | | | | 1,082 | | | | | | 1,119 | |
Mellon Residential Funding Corp. Mortgage
Pass-Through Trust | |
2.610% due 10/20/2029 ~ | | | | | 59 | | | | | | 59 | |
Merrill Lynch Alternative Note Asset Trust | |
1.712% (US0001M + 0.160%) due 01/25/2037 ~ | | | | | 151 | | | | | | 80 | |
1.732% (US0001M + 0.180%) due 04/25/2037 ~ | | | | | 327 | | | | | | 328 | |
1.852% (US0001M + 0.300%) due 03/25/2037 ~ | | | | | 1,067 | | | | | | 522 | |
6.000% due 05/25/2037 ^ | | | | | 214 | | | | | | 196 | |
Merrill Lynch Mortgage Investors Trust | |
1.988% (US0001M + 0.660%) due 11/25/2029 ~ | | | | | 84 | | | | | | 82 | |
2.012% (US0001M + 0.460%) due 04/25/2029 ~ | | | | | 63 | | | | | | 62 | |
2.212% (US0001M + 0.660%) due 09/25/2029 ~ | | | | | 52 | | | | | | 52 | |
2.825% (US0006M + 1.000%) due 07/25/2029 ~ | | | | | 68 | | | | | | 66 | |
2.911% (US0006M + 1.250%) due 10/25/2035 ~ | | | | | 312 | | | | | | 316 | |
3.129% due 02/25/2036 ~ | | | | | 59 | | | | | | 59 | |
3.654% due 11/25/2035 ~ | | | | | 131 | | | | | | 132 | |
6.250% due 10/25/2036 | | | | | 2,930 | | | | | | 2,466 | |
Morgan Stanley Dean Witter Capital, Inc. Trust | |
2.730% due 03/25/2033 ~ | | | | | 91 | | | | | | 85 | |
Morgan Stanley Mortgage Loan Trust | |
1.832% (US0001M + 0.280%) due 11/25/2035 ~ | | | | | 51 | | | | | | 52 | |
1.872% (US0001M + 0.320%) due 01/25/2035 ~ | | | | | 50 | | | | | | 47 | |
3.179% due 06/25/2036 ~ | | | | | 108 | | | | | | 110 | |
3.223% due 07/25/2035 ~ | | | | | 4,046 | | | | | | 3,737 | |
6.000% due 10/25/2037 ^ | | | | | 94 | | | | | | 81 | |
Morgan Stanley Re-REMIC Trust | |
2.274% (US0001M + 0.230%) due 02/26/2037 ~ | | | | | 272 | | | | | | 219 | |
2.295% due 03/26/2037 | | | | | 143 | | | | | | 122 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
5.500% due 10/26/2035 ~ | | $ | | | 10,638 | | | $ | | | 9,245 | |
5.500% due 08/26/2047 | | | | | 6 | | | | | | 6 | |
Morgan Stanley Resecuritization Trust | |
1.638% (US0001M + 0.310%) due 01/26/2051 ~ | | | | | 353 | | | | | | 349 | |
NAAC Reperforming Loan REMIC Trust | |
7.500% due 03/25/2034 ^ | | | | | 532 | | | | | | 533 | |
Nomura Asset Acceptance Corp. Alternative Loan Trust | |
3.823% due 02/25/2036 ^~ | | | | | 790 | | | | | | 698 | |
RBSSP Resecuritization Trust | |
1.579% (US0001M + 0.250%) due 02/26/2037 ~ | | | | | 1,492 | | | | | | 1,460 | |
1.648% (US0001M + 0.320%) due 03/26/2037 ~ | | | | | 822 | | | | | | 820 | |
3.646% due 10/26/2035 ~ | | | | | 3,402 | | | | | | 3,453 | |
Residential Accredit Loans, Inc. Trust | |
1.722% (US0001M + 0.170%) due 12/25/2036 ~ | | | | | 463 | | | | | | 395 | |
1.752% (US0001M + 0.200%) due 05/25/2047 ~ | | | | | 180 | | | | | | 175 | |
1.762% (US0001M + 0.210%) due 06/25/2037 ~ | | | | | 153 | | | | | | 133 | |
1.802% (US0001M + 0.250%) due 08/25/2037 ~ | | | | | 487 | | | | | | 474 | |
1.852% (US0001M + 0.300%) due 08/25/2035 ~ | | | | | 200 | | | | | | 178 | |
1.952% (US0001M + 0.400%) due 10/25/2045 ~ | | | | | 158 | | | | | | 144 | |
3.784% due 02/25/2035 ^~ | | | | | 393 | | | | | | 339 | |
4.983% due 02/25/2036 ^~ | | | | | 143 | | | | | | 129 | |
8.000% (- 790.0 * US0001M + 5143.000%) due 04/25/2036 ^~ | | | 186 | | | | | | 184 | |
Residential Asset Securitization Trust | |
6.000% due 06/25/2036 | | | | | 224 | | | | | | 162 | |
6.000% due 11/25/2036 ^ | | | | | 146 | | | | | | 97 | |
6.000% due 03/25/2037 ^ | | | | | 133 | | | | | | 95 | |
6.250% due 11/25/2036 | | | | | 100 | | | | | | 68 | |
6.500% due 04/25/2037 ^ | | | | | 1,341 | | | | | | 765 | |
Residential Funding Mortgage Securities, Inc. Trust | |
4.261% due 03/25/2035 ^~ | | | | | 1,504 | | | | | | 1,243 | |
6.000% due 09/25/2036 ^ | | | | | 299 | | | | | | 283 | |
Structured Adjustable Rate Mortgage Loan Trust | |
1.872% (US0001M + 0.320%) due 10/25/2035 ~ | | | | | 1,800 | | | | | | 1,756 | |
2.287% (US0001M + 0.735%) due 06/25/2034 ~ | | | | | 588 | | | | | | 569 | |
2.463% (12MTA + 1.400%) due 05/25/2035 ^~ | | | | | 568 | | | | | | 472 | |
3.398% due 09/25/2036 ^~ | | | | | 4,799 | | | | | | 3,796 | |
3.422% due 10/25/2034 ~ | | | | | 76 | | | | | | 76 | |
3.438% due 06/25/2036 ^~ | | | | | 50 | | | | | | 48 | |
3.454% due 02/25/2036 ^~ | | | | | 378 | | | | | | 365 | |
3.496% due 10/25/2036 ^~ | | | | | 207 | | | | | | 175 | |
3.877% due 07/25/2037 ^~ | | | | | 7 | | | | | | 6 | |
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | DECEMBER 31, 2017 | | 73 |
Schedule of Investments PIMCO Fixed Income SHares: Series M (Cont.)
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
Structured Asset Mortgage Investments Trust | |
1.732% (US0001M + 0.180%) due 09/25/2047 ~ | | $ | | | 103 | | | $ | | | 101 | |
1.742% (US0001M + 0.190%) due 06/25/2036 ~ | | | | | 11,977 | | | | | | 11,820 | |
1.742% (US0001M + 0.190%) due 07/25/2046 ^~ | | | | | 723 | | | | | | 626 | |
1.742% (US0001M + 0.190%) due 09/25/2047 ~ | | | | | 1,150 | | | | | | 1,105 | |
1.752% (US0001M + 0.200%) due 05/25/2036 ~ | | | | | 1,139 | | | | | | 1,042 | |
1.762% (US0001M + 0.210%) due 09/25/2047 ^~ | | | | | 1,847 | | | | | | 1,703 | |
1.772% (US0001M + 0.220%) due 05/25/2046 ~ | | | | | 1,126 | | | | | | 668 | |
1.812% (US0001M + 0.260%) due 03/25/2037 ~ | | | | | 232 | | | | | | 176 | |
1.812% (US0001M + 0.260%) due 05/25/2046 ^~ | | | | | 40 | | | | | | 48 | |
2.076% (12MTA + 1.480%) due 02/25/2036 ^~ | | | | | 774 | | | | | | 771 | |
2.195% (US0001M + 0.700%) due 03/19/2034 ~ | | | | | 448 | | | | | | 434 | |
2.195% (US0001M + 0.700%) due 02/19/2035 ~ | | | | | 183 | | | | | | 182 | |
2.235% (US0001M + 0.740%) due 12/19/2033 ~ | | | | | 422 | | | | | | 414 | |
Structured Asset Securities Corp. Trust | |
1.902% (US0001M + 0.350%) due 02/25/2035 ~ | | | | | 35 | | | | | | 34 | |
Suntrust Adjustable Rate Mortgage Loan Trust | |
3.536% due 02/25/2037 ^~ | | | | | 519 | | | | | | 448 | |
SunTrust Alternative Loan Trust | |
6.000% due 12/25/2035 | | | | | 685 | | | | | | 678 | |
Thornburg Mortgage Securities Trust | |
2.192% (US0001M + 0.640%) due 09/25/2043 ~ | | | | | 347 | | | | | | 338 | |
2.292% (US0001M + 0.740%) due 09/25/2044 ~ | | | | | 53 | | | | | | 50 | |
3.329% due 09/25/2037 ~ | | | | | 114 | | | | | | 114 | |
Wachovia Mortgage Loan Trust LLC | |
3.687% due 10/20/2035 ~ | | | | | 79 | | | | | | 71 | |
WaMu Mortgage Pass-Through Certificates Trust | |
1.812% (12MTA + 0.810%) due 07/25/2047 ~ | | | | | 19,415 | | | | | | 17,926 | |
1.813% (12MTA + 0.750%) due 06/25/2047 ^~ | | | | | 133 | | | | | | 47 | |
1.822% (US0001M + 0.270%) due 12/25/2045 ~ | | | | | 10 | | | | | | 10 | |
1.942% (US0001M + 0.390%) due 10/25/2044 ~ | | | | | 1,392 | | | | | | 1,390 | |
1.962% (US0001M + 0.410%) due 11/25/2045 ~ | | | | | 292 | | | | | | 277 | |
2.063% (12MTA + 1.000%) due 08/25/2046 ~ | | | | | 2,131 | | | | | | 2,004 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
2.192% (US0001M + 0.640%) due 01/25/2045 ~ | | $ | | | 317 | | | $ | | | 315 | |
2.237% (COF 11 + 1.500%) due 11/25/2046 ~ | | | | | 291 | | | | | | 277 | |
2.263% (12MTA + 1.200%) due 11/25/2042 ~ | | | | | 35 | | | | | | 33 | |
2.292% (US0001M + 0.740%) due 11/25/2034 ~ | | | 279 | | | | | | 276 | |
2.532% (US0001M + 0.980%) due 11/25/2034 ~ | | | 770 | | | | | | 763 | |
2.992% due 12/25/2036 ^~ | | | | | 186 | | | | | | 182 | |
3.163% due 12/25/2036 ^~ | | | | | 1,760 | | | | | | 1,697 | |
3.213% due 08/25/2036 ^~ | | | | | 163 | | | | | | 159 | |
3.237% due 08/25/2033 ~ | | | | | 427 | | | | | | 433 | |
Washington Mutual Mortgage Pass-Through Certificates Trust | |
1.763% (12MTA + 0.700%) due 04/25/2047 ~ | | | | | 532 | | | | | | 410 | |
1.833% (12MTA + 0.770%) due 04/25/2047 ~ | | | | | 778 | | | | | | 593 | |
2.002% (US0001M + 0.450%) due 05/25/2035 ^~ | | | 512 | | | | | | 436 | |
4.372% due 09/25/2036 ^ | | | | | 175 | | | | | | 90 | |
Wells Fargo Alternative Loan Trust | |
3.682% due 07/25/2037 ^~ | | | | | 85 | | | | | | 79 | |
Wells Fargo Mortgage-Backed Securities Trust | |
2.052% (US0001M + 0.500%) due 07/25/2037 ^~ | | | 126 | | | | | | 113 | |
3.267% due 03/25/2036 ^~ | | | | | 135 | | | | | | 134 | |
3.285% due 03/25/2035 ~ | | | | | 1,580 | | | | | | 1,599 | |
3.354% due 07/25/2036 ^~ | | | | | 1,839 | | | | | | 1,796 | |
3.502% due 08/25/2034 ~ | | | | | 130 | | | | | | 135 | |
3.544% due 03/25/2036 ~ | | | | | 879 | | | | | | 892 | |
3.628% due 10/25/2036 ^~ | | | | | 739 | | | | | | 730 | |
3.631% due 10/25/2036 ^~ | | | | | 72 | | | | | | 70 | |
3.638% due 06/25/2035 ~ | | | | | 2,883 | | | | | | 2,914 | |
3.718% due 01/25/2035 ~ | | | | | 448 | | | | | | 451 | |
6.000% due 06/25/2037 ^ | | | | | 143 | | | | | | 142 | |
| | | | | | | | | | | | |
Total Non-Agency Mortgage-Backed Securities
(Cost $269,953) | | | 288,479 | |
| | | | | | | | | | | | |
| |
| ASSET-BACKED SECURITIES 41.7% | |
Aames Mortgage Investment Trust | |
2.108% (US0001M + 0.780%) due 10/25/2035 ~ | | | 200 | | | | | | 197 | |
2.528% (US0001M + 1.200%) due 06/25/2035 ~ | | | 700 | | | | | | 674 | |
AASET Trust | |
3.967% due 05/16/2042 | | | | | 2,673 | | | | | | 2,684 | |
Accredited Mortgage Loan Trust | |
1.682% (US0001M + 0.130%) due 02/25/2037 ~ | | | 1,275 | | | | | | 1,272 | |
| | | | | | |
| 74 | | PIMCO MANAGED ACCOUNTS TRUST | | | | See Accompanying Notes |
December 31, 2017
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
1.810% (US0001M + 0.480%) due 09/25/2035 ~ | | $ | | | 200 | | | $ | | | 192 | |
1.812% (US0001M + 0.260%) due 09/25/2036 ~ | | | | | 1,061 | | | | | | 1,036 | |
ACE Securities Corp. Home Equity Loan Trust | |
1.662% (US0001M + 0.110%) due 12/25/2036 ~ | | | | | 360 | | | | | | 154 | |
1.692% (US0001M + 0.140%) due 07/25/2036 ~ | | | | | 259 | | | | | | 209 | |
1.707% (US0001M + 0.155%) due 08/25/2036 ~ | | | | | 765 | | | | | | 744 | |
1.712% (US0001M + 0.160%) due 05/25/2036 ~ | | | | | 31 | | | | | | 31 | |
1.852% (US0001M + 0.300%) due 02/25/2036 ~ | | | | | 165 | | | | | | 164 | |
1.962% (US0001M + 0.410%) due 12/25/2035 ~ | | | | | 2,000 | | | | | | 1,818 | |
2.022% (US0001M + 0.470%) due 10/25/2035 ~ | | | | | 1,800 | | | | | | 1,788 | |
2.172% (US0001M + 0.620%) due 02/25/2036 ^~ | | | | | 163 | | | | | | 154 | |
2.212% (US0001M + 0.660%) due 11/25/2035 ~ | | | | | 200 | | | | | | 200 | |
2.452% (US0001M + 0.900%) due 12/25/2034 ~ | | | | | 179 | | | | | | 172 | |
2.527% (US0001M + 0.975%) due 06/25/2034 ~ | | | | | 159 | | | | | | 161 | |
2.527% (US0001M + 0.975%) due 07/25/2035 ~ | | | | | 100 | | | | | | 101 | |
Aegis Asset-Backed Securities Trust | |
1.982% (US0001M + 0.430%) due 12/25/2035 ~ | | | | | 200 | | | | | | 187 | |
2.028% (US0001M + 0.700%) due 03/25/2035 ~ | | | | | 300 | | | | | | 286 | |
2.032% (US0001M + 0.480%) due 06/25/2035 ~ | | | | | 200 | | | | | | 176 | |
2.552% (US0001M + 1.000%) due 03/25/2035 ^~ | | | | | 133 | | | | | | 125 | |
Ameriquest Mortgage Securities Trust | |
1.942% (US0001M + 0.390%) due 03/25/2036 ~ | | | | | 400 | | | | | | 397 | |
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates | |
2.002% (US0001M + 0.450%) due 01/25/2036 ~ | | | | | 300 | | | | | | 300 | |
2.022% (US0001M + 0.470%) due 11/25/2035 ~ | | | | | 200 | | | | | | 192 | |
2.072% (US0001M + 0.520%) due 09/25/2035 ~ | | | | | 10,000 | | | | | | 10,008 | |
2.152% (US0001M + 0.600%) due 08/25/2035 ~ | | | | | 218 | | | | | | 219 | |
2.227% (US0001M + 0.675%) due 07/25/2035 ~ | | | | | 800 | | | | | | 803 | |
2.662% (US0001M + 1.110%) due 03/25/2035 ~ | | | | | 200 | | | | | | 196 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
Amortizing Residential Collateral Trust | |
2.132% (US0001M + 0.580%) due 07/25/2032 ~ | | $ | | | 68 | | | $ | | | 66 | |
2.552% (US0001M + 1.000%) due 10/25/2034 ~ | | | | | 217 | | | | | | 218 | |
Argent Securities Trust | |
1.702% (US0001M + 0.150%) due 09/25/2036 ~ | | | | | 922 | | | | | | 408 | |
1.742% (US0001M + 0.190%) due 03/25/2036 ~ | | | | | 366 | | | | | | 221 | |
Argent Securities, Inc. Asset-Backed
Pass-Through Certificates | |
1.782% (US0001M + 0.230%) due 01/25/2036 ~ | | | | | 114 | | | | | | 107 | |
1.872% (US0001M + 0.320%) due 01/25/2036 ~ | | | | | 4,624 | | | | | | 3,959 | |
Asset-Backed Funding Certificates Trust | |
1.662% (US0001M + 0.110%) due 01/25/2037 ~ | | | | | 523 | | | | | | 357 | |
1.692% (US0001M + 0.140%) due 11/25/2036 ~ | | | | | 12,965 | | | | | | 9,442 | |
1.712% (US0001M + 0.160%) due 01/25/2037 ~ | | | | | 330 | | | | | | 227 | |
1.772% (US0001M + 0.220%) due 01/25/2037 ~ | | | | | 198 | | | | | | 137 | |
2.172% (US0001M + 0.620%) due 04/25/2034 ~ | | | | | 352 | | | | | | 353 | |
2.227% (US0001M + 0.675%) due 06/25/2035 ~ | | | | | 241 | | | | | | 242 | |
2.552% (US0001M + 1.000%) due 06/25/2037 ~ | | | | | 250 | | | | | | 204 | |
Asset-Backed Securities Corp. Home Equity Loan Trust | |
2.002% (US0001M + 0.450%) due 11/25/2035 ~ | | | | | 300 | | | | | | 300 | |
2.452% (US0001M + 0.900%) due 06/25/2035 ~ | | | | | 200 | | | | | | 199 | |
2.752% (US0001M + 1.200%) due 06/25/2034 ~ | | | | | 200 | | | | | | 199 | |
3.427% (US0001M + 1.875%) due 09/25/2034 ~ | | | | | 1,433 | | | | | | 1,479 | |
4.477% (US0001M + 3.000%) due 08/15/2033 ~ | | | | | 38 | | | | | | 37 | |
Avery Point CLO Ltd. | |
2.467% (US0003M + 1.100%) due 04/25/2026 ~ | | | | | 5,600 | | | | | | 5,614 | |
Babson CLO Ltd. | |
2.503% (US0003M + 1.150%) due 10/17/2026 ~ | | | | | 15,000 | | | | | | 15,018 | |
Babson Euro CLO BV | |
0.491% (EUR003M + 0.820%) due 10/25/2029 ~ | | EUR | | | 2,250 | | | | | | 2,702 | |
Basic Asset-Backed Securities Trust | |
1.862% (US0001M + 0.310%) due 04/25/2036 ~ | | $ | | | 198 | | | | | | 191 | |
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | DECEMBER 31, 2017 | | 75 |
Schedule of Investments PIMCO Fixed Income SHares: Series M (Cont.)
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
Bayview Opportunity Master Fund Trust | |
3.105% due 07/28/2032 | | $ | | | 3,303 | | | $ | | | 3,297 | |
3.105% due 08/28/2032 | | | | | 7,503 | | | | | | 7,521 | |
Bear Stearns Asset-Backed Securities Trust | |
1.662% (US0001M + 0.110%) due 04/25/2031 ~ | | | | | 101 | | | | | | 127 | |
1.702% (US0001M + 0.150%) due 06/25/2036 ~ | | | | | 198 | | | | | | 198 | |
1.722% (US0001M + 0.170%) due 05/25/2036 ^~ | | | | | 228 | | | | | | 263 | |
1.732% (US0001M + 0.180%) due 06/25/2047 ~ | | | | | 56 | | | | | | 57 | |
1.742% (US0001M + 0.190%) due 05/25/2037 ~ | | | | | 185 | | | | | | 199 | |
1.752% (US0001M + 0.200%) due 12/25/2036 ~ | | | | | 365 | | | | | | 365 | |
1.782% (US0001M + 0.230%) due 02/25/2037 ~ | | | | | 11,675 | | | | | | 10,113 | |
1.822% (US0001M + 0.270%) due 06/25/2036 ~ | | | | | 200 | | | | | | 198 | |
1.952% (US0001M + 0.400%) due 09/25/2046 ~ | | | | | 240 | | | | | | 233 | |
1.982% (US0001M + 0.430%) due 12/25/2035 ~ | | | | | 500 | | | | | | 501 | |
2.002% (US0001M + 0.450%) due 08/25/2036 ~ | | | | | 400 | | | | | | 372 | |
2.052% (US0001M + 0.500%) due 12/25/2035 ~ | | | | | 300 | | | | | | 300 | |
2.102% (US0001M + 0.550%) due 06/25/2036 ~ | | | | | 300 | | | | | | 289 | |
2.252% (US0001M + 0.700%) due 11/25/2035 ^~ | | | | | 200 | | | | | | 209 | |
2.512% (US0001M + 0.960%) due 04/25/2035 ~ | | | | | 108 | | | | | | 109 | |
2.565% due 10/25/2036 ~ | | | | | 67 | | | | | | 50 | |
2.732% (US0001M + 1.180%) due 06/25/2043 ~ | | | | | 1,348 | | | | | | 1,337 | |
2.802% (US0001M + 1.250%) due 08/25/2037 ~ | | | | | 160 | | | | | | 159 | |
3.401% due 07/25/2036 ~ | | | | | 370 | | | | | | 372 | |
18.393% (- 3.286 * US0001M + 23.493%) due 03/25/2036 ^~ | | | 195 | | | | | | 193 | |
Carrington Mortgage Loan Trust | |
1.772% (US0001M + 0.220%) due 01/25/2037 ~ | | | | | 1,200 | | | | | | 882 | |
1.812% (US0001M + 0.260%) due 02/25/2037 ~ | | | | | 1,400 | | | | | | 1,249 | |
2.602% (US0001M + 1.050%) due 05/25/2035 ~ | | | | | 300 | | | | | | 285 | |
Cendant Mortgage Corp. | |
6.000% due 07/25/2043 ~ | | | | | 24 | | | | | | 24 | |
Cent CLO Ltd. | |
2.708% (US0003M + 1.330%) due 10/29/2025 ~ | | | | | 9,050 | | | | | | 9,065 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
CIFC Funding Ltd. | |
2.385% (US0001M + 1.020%) due 10/24/2025 ~ | | $ | | | 15,000 | | | $ | | | 15,023 | |
Citigroup Mortgage Loan Trust | |
1.692% (US0001M + 0.140%) due 12/25/2036 ~ | | | 628 | | | | | | 625 | |
1.722% (US0001M + 0.170%) due 05/25/2037 ~ | | | 19,681 | | | | | | 17,444 | |
1.952% (US0001M + 0.400%) due 11/25/2046 ~ | | | 273 | | | | | | 264 | |
2.002% (US0001M + 0.450%) due 11/25/2045 ~ | | | 279 | | | | | | 276 | |
2.172% (US0001M + 0.620%) due 12/25/2035 ~ | | | 280 | | | | | | 281 | |
6.351% due 05/25/2036 ^ | | | | | 184 | | | | | | 112 | |
Citigroup Mortgage Loan Trust Asset-Backed Pass-Through Certificates | |
2.482% (US0001M + 0.930%) due 05/25/2035 ~ | | | 200 | | | | | | 198 | |
Citigroup Mortgage Loan Trust, Inc. | |
1.812% (US0001M + 0.260%) due 01/25/2037 ~ | | | 300 | | | | | | 296 | |
1.962% (US0001M + 0.410%) due 10/25/2035 ~ | | | 1,524 | | | | | | 1,527 | |
2.272% (US0001M + 0.720%) due 09/25/2035 ^~ | | | 145 | | | | | | 146 | |
2.287% (US0001M + 0.735%) due 09/25/2035 ^~ | | | 500 | | | | | | 492 | |
Conseco Finance Corp. | |
6.810% due 12/01/2028 ~ | | | | | 522 | | | | | | 543 | |
6.870% due 04/01/2030 ~ | | | | | 276 | | | | | | 296 | |
7.060% due 02/01/2031 ~ | | | | | 718 | | | | | | 721 | |
Countrywide Asset-Backed Certificates | |
1.478% (US0001M + 0.150%) due 01/25/2037 ~ | | | 6,251 | | | | | | 6,052 | |
1.628% (US0001M + 0.300%) due 07/25/2036 ~ | | | 240 | | | | | | 240 | |
1.692% (US0001M + 0.140%) due 06/25/2035 ~ | | | 1,630 | | | | | | 1,463 | |
1.692% (US0001M + 0.140%) due 07/25/2037 ^~ | | | 4,722 | | | | | | 4,154 | |
1.702% (US0001M + 0.150%) due 07/25/2036 ~ | | | 144 | | | | | | 144 | |
1.702% (US0001M + 0.150%) due 05/25/2037 ~ | | | 584 | | | | | | 570 | |
1.712% (US0001M + 0.160%) due 01/25/2034 ~ | | | 76 | | | | | | 75 | |
1.712% (US0001M + 0.160%) due 05/25/2036 ~ | | | 623 | | | | | | 507 | |
1.712% (US0001M + 0.160%) due 03/25/2037 ~ | | | 182 | | | | | | 181 | |
1.722% (US0001M + 0.170%) due 03/25/2037 ~ | | | 288 | | | | | | 277 | |
1.722% (US0001M + 0.170%) due 05/25/2037 ~ | | | 183 | | | | | | 182 | |
| | | | | | |
| 76 | | PIMCO MANAGED ACCOUNTS TRUST | | | | See Accompanying Notes |
December 31, 2017
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
1.722% (US0001M + 0.170%) due 06/25/2047 ~ | | $ | | | 271 | | | $ | | | 268 | |
1.732% (US0001M + 0.180%) due 06/25/2047 ~ | | | 492 | | | | | | 483 | |
1.742% (US0001M + 0.190%) due 06/25/2047 ~ | | | 255 | | | | | | 248 | |
1.772% (US0001M + 0.220%) due 09/25/2037 ^~ | | | 244 | | | | | | 210 | |
1.772% (US0001M + 0.220%) due 09/25/2047 ~ | | | 2,040 | | | | | | 1,837 | |
1.778% (US0001M + 0.450%) due 03/25/2036 ~ | | | 100 | | | | | | 96 | |
1.782% (US0001M + 0.230%) due 10/25/2047 ~ | | | 451 | | | | | | 441 | |
1.802% (US0001M + 0.250%) due 01/25/2046 ~ | | | 4,344 | | | | | | 3,948 | |
1.802% (US0001M + 0.250%) due 06/25/2047 ~ | | | 243 | | | | | | 223 | |
1.902% (US0001M + 0.350%) due 04/25/2036 ~ | | | 78 | | | | | | 78 | |
1.952% (US0001M + 0.400%) due 06/25/2036 ~ | | | 300 | | | | | | 294 | |
2.002% (US0001M + 0.450%) due 03/25/2047 ^~ | | | 120 | | | | | | 74 | |
2.032% (LIBOR01M + 0.480%) due 12/25/2031 ^~ | | | 585 | | | | | | 522 | |
2.042% (US0001M + 0.490%) due 02/25/2036 ~ | | | 200 | | | | | | 200 | |
2.212% (US0001M + 0.660%) due 12/25/2035 ~ | | | 300 | | | | | | 304 | |
2.322% (US0001M + 0.770%) due 11/25/2035 ~ | | | 19 | | | | | | 19 | |
2.527% (US0001M + 0.975%) due 02/25/2034 ~ | | | 81 | | | | | | 81 | |
2.602% (US0001M + 1.050%) due 08/25/2035 ~ | | | 100 | | | | | | 101 | |
3.052% (US0001M + 1.500%) due 02/25/2035 ~ | | | 300 | | | | | | 310 | |
Countrywide Asset-Backed Certificates Trust | |
1.478% (US0001M + 0.150%) due 09/25/2046 ~ | | | 5,883 | | | | | | 5,852 | |
1.478% (US0001M + 0.150%) due 10/25/2046 ^~ | | | 2,547 | | | | | | 2,545 | |
1.682% (US0001M + 0.130%) due 04/25/2046 ~ | | | 6,536 | | | | | | 5,374 | |
1.692% (US0001M + 0.140%) due 02/25/2037 ~ | | | 11,142 | | | | | | 10,720 | |
1.702% (US0001M + 0.150%) due 03/25/2047 ~ | | | 205 | | | | | | 199 | |
1.788% (US0001M + 0.460%) due 05/25/2036 ~ | | | 600 | | | | | | 596 | |
1.858% (US0001M + 0.530%) due 02/25/2036 ~ | | | 200 | | | | | | 199 | |
2.258% (US0001M + 0.930%) due 08/25/2035 ~ | | | 73 | | | | | | 73 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
2.272% (US0001M + 0.720%) due 07/25/2034 ~ | | $ | | | 182 | | | $ | | | 183 | |
2.282% (US0001M + 0.730%) due 07/25/2035 ~ | | | 400 | | | | | | 408 | |
2.352% (US0001M + 0.800%) due 08/25/2047 ~ | | | 818 | | | | | | 812 | |
2.452% (US0001M + 0.900%) due 10/25/2034 ~ | | | 97 | | | | | | 96 | |
2.678% (US0001M + 1.350%) due 04/25/2035 ~ | | | 200 | | | | | | 203 | |
Credit-Based Asset Servicing and Securitization LLC | |
1.357% (LIBOR01M + 0.120%) due 07/25/2037 ~ | | | 15 | | | | | | 10 | |
1.458% (LIBOR01M + 0.220%) due 07/25/2037 ~ | | | 325 | | | | | | 219 | |
2.122% (LIBOR01M + 0.570%) due 07/25/2036 ~ | | | 234 | | | | | | 232 | |
2.228% (US0001M + 0.900%) due 11/25/2033 ~ | | | 177 | | | | | | 177 | |
2.497% (US0001M + 0.945%) due 04/25/2036 ~ | | | 80 | | | | | | 80 | |
3.728% due 06/25/2035 ^ | | | | | 13 | | | | | | 13 | |
CVC Cordatus Loan Fund Ltd. | |
0.870% (EUR006M + 0.870%) due 07/15/2027 ~ | | EUR | | | 1,200 | | | | | | 1,442 | |
CVP Cascade CLO Ltd. | |
2.509% (US0003M + 1.150%) due 01/16/2026 ~ | | $ | | | 11,500 | | | | | | 11,526 | |
Delta Funding Home Equity Loan Trust | |
2.117% (US0001M + 0.640%) due 08/15/2030 ~ | | | 65 | | | | | | 63 | |
EMC Mortgage Loan Trust | |
2.292% (US0001M + 0.740%) due 05/25/2040 ~ | | | 13 | | | | | | 12 | |
First Franklin Mortgage Loan Trust | |
1.692% (US0001M + 0.140%) due 12/25/2036 ~ | | | 329 | | | | | | 208 | |
1.702% (US0001M + 0.150%) due 07/25/2036 ~ | | | 75 | | | | | | 75 | |
1.712% (US0001M + 0.160%) due 04/25/2036 ~ | | | 266 | | | | | | 253 | |
1.792% (US0001M + 0.240%) due 04/25/2036 ~ | | | 400 | | | | | | 351 | |
1.792% (US0001M + 0.240%) due 08/25/2036 ~ | | | 344 | | | | | | 254 | |
1.912% (US0001M + 0.360%) due 10/25/2035 ~ | | | 145 | | | | | | 146 | |
1.912% (US0001M + 0.360%) due 11/25/2035 ~ | | | 200 | | | | | | 190 | |
2.227% (US0001M + 0.675%) due 06/25/2036 ~ | | | 192 | | | | | | 193 | |
2.287% (US0001M + 0.735%) due 09/25/2035 ~ | | | 122 | | | | | | 123 | |
2.362% (US0001M + 0.810%) due 04/25/2035 ~ | | | 455 | | | | | | 458 | |
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | DECEMBER 31, 2017 | | 77 |
Schedule of Investments PIMCO Fixed Income SHares: Series M (Cont.)
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
2.422% (US0001M + 0.870%) due 09/25/2034 ~ | | $ | | | 339 | | | $ | | | 339 | |
2.497% (US0001M + 0.945%) due 03/25/2035 ~ | | | 100 | | | | | | 99 | |
2.752% (US0001M + 1.200%) due 01/25/2035 ~ | | | 122 | | | | | | 122 | |
2.977% (US0001M + 1.425%) due 10/25/2034 ~ | | | 948 | | | | | | 936 | |
First NLC Trust | |
1.622% (US0001M + 0.070%) due 08/25/2037 ~ | | | 63 | | | | | | 41 | |
1.788% (US0001M + 0.460%) due 05/25/2035 ~ | | | 992 | | | | | | 955 | |
First Plus Home Loan Owners Trust | |
7.320% due 11/10/2023 ^ | | | | | 6 | | | | | | 2 | |
Fremont Home Loan Trust | |
1.702% (US0001M + 0.150%) due 01/25/2037 ~ | | | 287 | | | | | | 167 | |
1.712% (US0001M + 0.160%) due 08/25/2036 ~ | | | 233 | | | | | | 113 | |
1.722% (US0001M + 0.170%) due 02/25/2036 ~ | | | 69 | | | | | | 65 | |
1.722% (US0001M + 0.170%) due 02/25/2037 ~ | | | 984 | | | | | | 571 | |
1.822% (US0001M + 0.270%) due 02/25/2036 ~ | | | 300 | | | | | | 221 | |
1.822% (US0001M + 0.270%) due 04/25/2036 ~ | | | 3,000 | | | | | | 1,924 | |
2.287% (US0001M + 0.735%) due 07/25/2035 ~ | | | 100 | | | | | | 100 | |
2.342% (LIBOR01M + 0.395%) due 12/25/2029 ~ | | | 10 | | | | | | 9 | |
Gallatin CLO Ltd. | |
2.407% (US0003M + 1.050%) due 07/15/2027 ~ | | | | | 7,600 | | | | | | 7,601 | |
GE-WMC Asset-Backed Pass-Through Certificates | |
1.802% (US0001M + 0.250%) due 12/25/2035 ~ | | | | | 2,705 | | | | | | 2,724 | |
GSAA Home Equity Trust | |
1.672% (US0001M + 0.120%) due 04/25/2047 ~ | | | | | 284 | | | | | | 270 | |
GSAMP Trust | |
1.642% (US0001M + 0.090%) due 01/25/2037 ~ | | | | | 3,281 | | | | | | 2,111 | |
1.672% (US0001M + 0.120%) due 12/25/2036 ~ | | | | | 1,091 | | | | | | 590 | |
1.702% (US0001M + 0.150%) due 06/25/2036 ~ | | | | | 265 | | | | | | 263 | |
1.702% (US0001M + 0.150%) due 09/25/2036 ~ | | | | | 380 | | | | | | 186 | |
1.702% (US0001M + 0.150%) due 12/25/2046 ~ | | | | | 696 | | | | | | 435 | |
1.712% (US0001M + 0.160%) due 05/25/2046 ~ | | | | | 41 | | | | | | 41 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
1.752% (US0001M + 0.200%) due 11/25/2036 ~ | | $ | | | 209 | | | $ | | | 127 | |
1.782% (US0001M + 0.230%) due 12/25/2046 ~ | | | | | 209 | | | | | | 132 | |
1.792% (US0001M + 0.240%) due 12/25/2035 ~ | | | | | 114 | | | | | | 114 | |
1.792% (US0001M + 0.240%) due 06/25/2036 ~ | | | | | 319 | | | | | | 214 | |
1.822% (US0001M + 0.270%) due 04/25/2036 ~ | | | | | 386 | | | | | | 296 | |
3.202% (US0001M + 1.650%) due 10/25/2034 ~ | | | | | 75 | | | | | | 73 | |
Hildene CLO Ltd. | |
2.503% (US0003M + 1.150%) due 01/17/2026 ~ | | | | | 5,600 | | | | | | 5,629 | |
2.537% (US0003M + 1.180%) due 07/19/2026 ~ | | | | | 3,100 | | | | | | 3,110 | |
Home Equity Asset Trust | |
2.647% (US0001M + 1.095%) due 05/25/2035 ~ | | | | | 200 | | | | | | 195 | |
Home Equity Loan Trust | |
1.782% (US0001M + 0.230%) due 04/25/2037 ~ | | | | | 800 | | | | | | 698 | |
1.892% (US0001M + 0.340%) due 04/25/2037 ~ | | | | | 500 | | | | | | 388 | |
Home Equity Mortgage Loan Asset-Backed Trust | |
1.692% (US0001M + 0.140%) due 11/25/2036 ~ | | | | | 519 | | | | | | 489 | |
1.712% (US0001M + 0.160%) due 11/25/2036 ~ | | | | | 424 | | | | | | 326 | |
1.872% (US0001M + 0.320%) due 04/25/2037 ~ | | | | | 385 | | | | | | 353 | |
HSI Asset Securitization Corp. Trust | |
1.662% (US0001M + 0.110%) due 12/25/2036 ~ | | | | | 256 | | | | | | 116 | |
1.722% (US0001M + 0.170%) due 12/25/2036 ~ | | | | | 1,167 | | | | | | 528 | |
1.772% (US0001M + 0.220%) due 12/25/2036 ~ | | | | | 778 | | | | | | 355 | |
1.942% (US0001M + 0.390%) due 11/25/2035 ~ | | | | | 300 | | | | | | 288 | |
ICG U.S. CLO Ltd. | |
2.549% (US0003M + 1.190%) due 10/15/2026 ~ | | | | | 8,500 | | | | | | 8,537 | |
IXIS Real Estate Capital Trust | |
2.182% (US0001M + 0.630%) due 02/25/2036 ~ | | | | | 421 | | | | | | 416 | |
JPMorgan Mortgage Acquisition Corp. | |
1.732% (US0001M + 0.180%) due 02/25/2036 ~ | | | | | 249 | | | | | | 250 | |
1.782% (US0001M + 0.230%) due 05/25/2035 ~ | | | | | 253 | | | | | | 254 | |
JPMorgan Mortgage Acquisition Trust | |
1.498% (US0001M + 0.170%) due 04/25/2036 ~ | | | | | 34 | | | | | | 34 | |
| | | | | | |
| 78 | | PIMCO MANAGED ACCOUNTS TRUST | | | | See Accompanying Notes |
December 31, 2017
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
1.598% (US0001M + 0.270%) due 04/25/2036 ~ | | $ | | | 300 | | | $ | | | 295 | |
1.598% (US0001M + 0.270%) due 07/25/2036 ~ | | | | | 200 | | | | | | 191 | |
1.712% (US0001M + 0.160%) due 01/25/2036 ~ | | | | | 158 | | | | | | 157 | |
1.712% (US0001M + 0.160%) due 05/25/2036 ~ | | | | | 278 | | | | | | 278 | |
1.712% (US0001M + 0.160%) due 06/25/2036 ~ | | | | | 147 | | | | | | 147 | |
1.712% (US0001M + 0.160%) due 01/25/2037 ~ | | | | | 355 | | | | | | 355 | |
1.722% (US0001M + 0.170%) due 04/25/2036 ~ | | | | | 487 | | | | | | 487 | |
1.812% (US0001M + 0.260%) due 03/25/2037 ~ | | | | | 300 | | | | | | 292 | |
1.812% (US0001M + 0.260%) due 06/25/2037 ~ | | | | | 300 | | | | | | 294 | |
1.822% (US0001M + 0.270%) due 05/25/2036 ~ | | | | | 700 | | | | | | 686 | |
1.832% (US0001M + 0.280%) due 01/25/2037 ~ | | | | | 200 | | | | | | 193 | |
6.337% due 08/25/2036 ^ | | | | | 154 | | | | | | 118 | |
Lehman ABS Mortgage Loan Trust | |
1.642% (US0001M + 0.090%) due 06/25/2037 ~ | | | | | 283 | | | | | | 200 | |
1.752% (US0001M + 0.200%) due 06/25/2037 ~ | | | | | 228 | | | | | | 164 | |
Lehman XS Trust | |
1.702% (US0001M + 0.150%) due 04/25/2037 ^~ | | | | | 499 | | | | | | 426 | |
1.722% (US0001M + 0.170%) due 02/25/2037 ^~ | | | | | 1,892 | | | | | | 1,335 | |
Lendmark Funding Trust | |
3.260% due 04/21/2025 | | | | | 2,600 | | | | | | 2,613 | |
Long Beach Mortgage Loan Trust | |
2.168% (LIBOR01M + 0.840%) due 07/25/2031 ~ | | | | | 229 | | | | | | 230 | |
2.197% (US0001M + 0.645%) due 11/25/2035 ~ | | | | | 600 | | | | | | 594 | |
2.312% (US0001M + 0.760%) due 08/25/2045 ~ | | | | | 167 | | | | | | 168 | |
2.602% (US0001M + 1.050%) due 06/25/2035 ~ | | | | | 500 | | | | | | 467 | |
2.827% (US0001M + 1.275%) due 02/25/2035 ~ | | | | | 12,750 | | | | | | 12,191 | |
2.977% (US0001M + 1.425%) due 03/25/2032 ~ | | | | | 333 | | | | | | 330 | |
MASTR Asset-Backed Securities Trust | |
1.662% (US0001M + 0.110%) due 08/25/2036 ~ | | | | | 196 | | | | | | 109 | |
1.702% (US0001M + 0.150%) due 08/25/2036 ~ | | | | | 323 | | | | | | 180 | |
1.732% (US0001M + 0.180%) due 02/25/2036 ~ | | | | | 440 | | | | | | 255 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
1.792% (US0001M + 0.240%) due 06/25/2036 ~ | | $ | | | 193 | | | $ | | | 116 | |
1.792% (US0001M + 0.240%) due 08/25/2036 ~ | | | | | 194 | | | | | | 110 | |
1.852% (US0001M + 0.300%) due 01/25/2036 ~ | | | | | 172 | | | | | | 173 | |
1.932% (US0001M + 0.380%) due 01/25/2036 ~ | | | | | 300 | | | | | | 286 | |
2.052% (US0001M + 0.500%) due 10/25/2035 ^~ | | | | | 339 | | | | | | 311 | |
2.052% (US0001M + 0.500%) due 11/25/2035 ~ | | | | | 12,054 | | | | | | 8,675 | |
2.302% (US0001M + 0.750%) due 12/25/2034 ^~ | | | | | 59 | | | | | | 59 | |
Meritage Mortgage Loan Trust | |
2.302% (US0001M + 0.750%) due 11/25/2035 ~ | | | | | 137 | | | | | | 138 | |
Merrill Lynch Mortgage Investors Trust | |
1.792% (US0001M + 0.240%) due 08/25/2037 ~ | | | | | 1,054 | | | | | | 723 | |
1.862% (US0001M + 0.310%) due 08/25/2036 ~ | | | | | 300 | | | | | | 298 | |
2.002% (US0001M + 0.450%) due 02/25/2047 ~ | | | | | 1,309 | | | | | | 999 | |
2.032% (US0001M + 0.480%) due 05/25/2036 ~ | | | | | 316 | | | | | | 310 | |
MESA Trust | |
2.128% (LIBOR01M + 0.400%) due 12/25/2031 ~ | | | | | 647 | | | | | | 640 | |
METAL LLC | |
4.581% due 10/15/2042 | | | | | 5,910 | | | | | | 5,918 | |
Mid-State Capital Corp. Trust | |
6.005% due 08/15/2037 | | | | | 720 | | | | | | 783 | |
Morgan Stanley ABS Capital, Inc. Trust | |
1.622% (US0001M + 0.070%) due 10/25/2036 ~ | | | | | 102 | | | | | | 60 | |
1.662% (US0001M + 0.110%) due 10/25/2036 ~ | | | | | 845 | | | | | | 554 | |
1.692% (US0001M + 0.140%) due 10/25/2036 ~ | | | | | 152 | | | | | | 89 | |
1.692% (US0001M + 0.140%) due 11/25/2036 ~ | | | | | 277 | | | | | | 175 | |
1.702% (US0001M + 0.150%) due 06/25/2036 ~ | | | | | 399 | | | | | | 303 | |
1.702% (US0001M + 0.150%) due 09/25/2036 ~ | | | | | 416 | | | | | | 219 | |
1.702% (US0001M + 0.150%) due 10/25/2036 ~ | | | | | 247 | | | | | | 163 | |
1.702% (US0001M + 0.150%) due 11/25/2036 ~ | | | | | 1,466 | | | | | | 986 | |
1.732% (US0001M + 0.180%) due 03/25/2037 ~ | | | | | 447 | | | | | | 240 | |
1.752% (US0001M + 0.200%) due 02/25/2037 ~ | | | | | 156 | | | | | | 105 | |
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | DECEMBER 31, 2017 | | 79 |
Schedule of Investments PIMCO Fixed Income SHares: Series M (Cont.)
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
1.772% (US0001M + 0.220%) due 11/25/2036 ~ | | $ | | | 1,664 | | | $ | | | 1,061 | |
1.802% (US0001M + 0.250%) due 03/25/2037 ~ | | | | | 447 | | | | | | 242 | |
1.862% (US0001M + 0.310%) due 12/25/2035 ~ | | | | | 413 | | | | | | 403 | |
2.452% (US0001M + 0.900%) due 05/25/2034 ~ | | | | | 119 | | | | | | 118 | |
2.482% (US0001M + 0.930%) due 03/25/2035 ~ | | | | | 270 | | | | | | 273 | |
2.542% (US0001M + 0.990%) due 06/25/2035 ~ | | | | | 400 | | | | | | 406 | |
2.602% (US0001M + 1.050%) due 04/25/2035 ~ | | | | | 200 | | | | | | 180 | |
2.802% (US0001M + 1.250%) due 07/25/2037 ~ | | | | | 400 | | | | | | 326 | |
3.202% (US0001M + 1.650%) due 03/25/2034 ~ | | | | | 714 | | | | | | 713 | |
Morgan Stanley Capital, Inc. Trust | |
1.842% (US0001M + 0.290%) due 01/25/2036 ~ | | | | | 1,443 | | | | | | 1,431 | |
Morgan Stanley Dean Witter Capital, Inc. Trust | |
2.902% (US0001M + 1.350%) due 02/25/2033 ~ | | | | | 809 | | | | | | 806 | |
Morgan Stanley Home Equity Loan Trust | |
1.712% (US0001M + 0.160%) due 04/25/2036 ~ | | | | | 138 | | | | | | 106 | |
1.722% (US0001M + 0.170%) due 04/25/2037 ~ | | | | | 698 | | | | | | 432 | |
1.782% (US0001M + 0.230%) due 04/25/2037 ~ | | | | | 233 | | | | | | 145 | |
Morgan Stanley Mortgage Loan Trust | |
1.782% (US0001M + 0.230%) due 02/25/2037 ~ | | | | | 165 | | | | | | 91 | |
1.912% (US0001M + 0.360%) due 04/25/2037 ~ | | | | | 309 | | | | | | 166 | |
2.911% (US0006M + 1.250%) due 11/25/2036 ^~ | | | | | 290 | | | | | | 157 | |
5.965% due 09/25/2046 ^ | | | | | 409 | | | | | | 231 | |
MP CLO Ltd. | |
2.559% (US0003M + 1.200%) due 01/15/2027 ~ | | | | | 14,000 | | | | | | 14,036 | |
New Century Home Equity Loan Trust | |
1.802% (US0001M + 0.250%) due 12/25/2035 ~ | | | | | 85 | | | | | | 85 | |
2.227% (US0001M + 0.675%) due 06/25/2035 ~ | | | | | 831 | | | | | | 833 | |
Nomura Home Equity Loan, Inc. Home Equity Loan Trust | |
1.962% (US0001M + 0.410%) due 02/25/2036 ~ | | | | | 165 | | | | | | 166 | |
6.032% due 10/25/2036 ^ | | | | | 179 | | | | | | 79 | |
NovaStar Mortgage Funding Trust | |
1.702% (US0001M + 0.150%) due 06/25/2036 ~ | | | | | 151 | | | | | | 117 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
2.022% (LIBOR01M + 0.705%) due 01/25/2036 ~ | | $ | | | 7,500 | | | $ | | | 7,440 | |
Oak Hill Credit Partners Ltd. | |
2.493% (US0003M + 1.130%) due 07/20/2026 ~ | | | | | 6,500 | | | | | | 6,520 | |
OHA Credit Partners Ltd. | |
2.373% (US0003M + 1.010%) due 10/20/2025 ~ | | | | | 5,600 | | | | | | 5,616 | |
OHA Loan Funding Ltd. | |
2.584% (US0003M + 1.270%) due 08/23/2024 ~ | | | | | 5,179 | | | | | | 5,182 | |
OneMain Direct Auto Receivables Trust | |
2.040% due 01/15/2021 | | | | | 984 | | | | | | 984 | |
OneMain Financial Issuance Trust | |
2.370% due 09/14/2032 | | | | | 7,300 | | | | | | 7,238 | |
Option One Mortgage Loan Trust | |
1.692% (US0001M + 0.140%) due 01/25/2037 ~ | | | | | 78 | | | | | | 53 | |
1.722% (US0001M + 0.170%) due 05/25/2037 ~ | | | | | 193 | | | | | | 126 | |
1.772% (US0001M + 0.220%) due 01/25/2037 ~ | | | | | 314 | | | | | | 212 | |
1.882% (US0001M + 0.330%) due 04/25/2037 ~ | | | | | 143 | | | | | | 96 | |
1.912% (US0001M + 0.360%) due 01/25/2036 ~ | | | | | 300 | | | | | | 253 | |
2.317% (US0001M + 0.765%) due 08/25/2035 ~ | | | | | 400 | | | | | | 375 | |
Option One Mortgage Loan Trust Asset-Backed Certificates | |
1.992% (US0001M + 0.440%) due 11/25/2035 ~ | | | | | 335 | | | | | | 335 | |
2.012% (US0001M + 0.460%) due 11/25/2035 ~ | | | | | 3,100 | | | | | | 2,866 | |
Ownit Mortgage Loan Trust | |
2.152% (US0001M + 0.600%) due 10/25/2036 ^~ | | | | | 261 | | | | | | 227 | |
OZLM Funding Ltd. | |
2.483% (US0003M + 1.130%) due 01/17/2026 ~ | | | | | 23,100 | | | | | | 23,212 | |
Palmer Square CLO Ltd. | |
2.573% (US0003M + 1.220%) due 10/17/2027 ~ | | | | | 9,000 | | | | | | 9,045 | |
Park Place Securities, Inc. | |
2.042% (US0001M + 0.490%) due 09/25/2035 ~ | | | | | 200 | | | | | | 185 | |
Park Place Securities, Inc. Asset-Backed Pass-Through Certificates | |
2.042% (US0001M + 0.490%) due 08/25/2035 ~ | | | | | 200 | | | | | | 183 | |
2.042% (US0001M + 0.490%) due 09/25/2035 ~ | | | | | 500 | | | | | | 499 | |
2.347% (US0001M + 0.795%) due 07/25/2035 ~ | | | | | 400 | | | | | | 402 | |
| | | | | | |
| 80 | | PIMCO MANAGED ACCOUNTS TRUST | | | | See Accompanying Notes |
December 31, 2017
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
2.377% (US0001M + 0.825%) due 07/25/2035 ~ | | $ | | | 950 | | | $ | | | 905 | |
2.497% (US0001M + 0.945%) due 02/25/2035 ~ | | | | | 6 | | | | | | 6 | |
2.497% (US0001M + 0.945%) due 06/25/2035 ~ | | | | | 200 | | | | | | 201 | |
2.602% (US0001M + 1.050%) due 10/25/2034 ~ | | | | | 500 | | | | | | 505 | |
2.677% (US0001M + 1.125%) due 03/25/2035 ~ | | | | | 400 | | | | | | 399 | |
2.797% (US0001M + 1.245%) due 01/25/2036 ~ | | | | | 300 | | | | | | 307 | |
3.352% (US0001M + 1.800%) due 12/25/2034 ~ | | | | | 676 | | | | | | 670 | |
People’s Choice Home Loan Securities Trust | |
2.048% (US0001M + 0.720%) due 05/25/2035 ^~ | | | | | 161 | | | | | | 158 | |
People’s Financial Realty Mortgage Securities Trust | |
1.692% (US0001M + 0.140%) due 09/25/2036 ~ | | | | | 423 | | | | | | 183 | |
Popular ABS Mortgage Pass-Through Trust | |
1.812% (US0001M + 0.260%) due 11/25/2036 ~ | | | | | 200 | | | | | | 196 | |
1.942% (US0001M + 0.390%) due 02/25/2036 ~ | | | | | 400 | | | | | | 394 | |
RAAC Trust | |
1.385% (US0001M + 1.200%) due 10/25/2045 ~ | | | | | 250 | | | | | | 253 | |
1.852% (US0001M + 0.300%) due 06/25/2044 ~ | | | | | 80 | | | | | | 71 | |
1.902% (US0001M + 0.350%) due 11/25/2046 ~ | | | | | 660 | | | | | | 598 | |
1.952% (US0001M + 0.400%) due 09/25/2045 ~ | | | | | 4,100 | | | | | | 3,949 | |
1.952% (US0001M + 0.400%) due 06/25/2047 ~ | | | | | 85 | | | | | | 85 | |
3.052% (US0001M + 1.500%) due 09/25/2047 ~ | | | | | 600 | | | | | | 594 | |
Regatta Funding Ltd. | |
2.527% (US0003M + 1.160%) due 10/25/2026 ~ | | | | | 6,000 | | | | | | 6,003 | |
Renaissance Home Equity Loan Trust | |
5.812% due 11/25/2036 | | | | | 547 | | | | | | 317 | |
7.238% due 09/25/2037 ^ | | | | | 262 | | | | | | 150 | |
Residential Asset Mortgage Products Trust | |
1.712% (US0001M + 0.160%) due 12/25/2036 ~ | | | | | 101 | | | | | | 101 | |
1.712% (US0001M + 0.160%) due 02/25/2037 ~ | | | | | 257 | | | | | | 255 | |
1.772% (LIBOR01M + 0.220%) due 10/25/2034 ~ | | | | | 41 | | | | | | 40 | |
1.832% (US0001M + 0.280%) due 09/25/2036 ~ | | | | | 235 | | | | | | 223 | |
1.852% (US0001M + 0.300%) due 05/25/2036 ^~ | | | | | 1,409 | | | | | | 1,150 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
1.872% (US0001M + 0.320%) due 01/25/2036 ~ | | $ | | | 932 | | | $ | | | 811 | |
1.992% (US0001M + 0.440%) due 10/25/2035 ~ | | | | | 200 | | | | | | 201 | |
2.012% (US0001M + 0.460%) due 10/25/2035 ~ | | | | | 100 | | | | | | 97 | |
2.032% (US0001M + 0.480%) due 09/25/2035 ~ | | | | | 300 | | | | | | 300 | |
2.197% (US0001M + 0.645%) due 11/25/2035 ~ | | | | | 250 | | | | | | 251 | |
2.452% (US0001M + 0.900%) due 08/25/2034 ~ | | | | | 144 | | | | | | 142 | |
Residential Asset Securities Corp. Trust | |
1.682% (US0001M + 0.130%) due 11/25/2036 ~ | | | | | 640 | | | | | | 526 | |
1.712% (US0001M + 0.160%) due 11/25/2036 ^~ | | | | | 519 | | | | | | 494 | |
1.722% (US0001M + 0.170%) due 11/25/2036 ~ | | | | | 840 | | | | | | 740 | |
1.792% (US0001M + 0.240%) due 09/25/2036 ~ | | | | | 759 | | | | | | 754 | |
1.802% (US0001M + 0.250%) due 04/25/2037 ~ | | | | | 263 | | | | | | 258 | |
1.822% (US0001M + 0.270%) due 05/25/2037 ~ | | | | | 203 | | | | | | 202 | |
1.832% (US0001M + 0.280%) due 06/25/2036 ~ | | | | | 1,000 | | | | | | 982 | |
1.882% (LIBOR01M + 0.660%) due 12/25/2035 ~ | | | | | 264 | | | | | | 222 | |
1.892% (US0001M + 0.340%) due 04/25/2037 ~ | | | | | 1,600 | | | | | | 1,360 | |
1.932% (US0001M + 0.380%) due 02/25/2036 ~ | | | | | 400 | | | | | | 401 | |
1.962% (US0001M + 0.410%) due 01/25/2036 ~ | | | | | 179 | | | | | | 178 | |
1.972% (US0001M + 0.420%) due 10/25/2035 ~ | | | | | 300 | | | | | | 298 | |
1.972% (US0001M + 0.420%) due 12/25/2035 ~ | | | | | 400 | | | | | | 398 | |
1.992% (US0001M + 0.440%) due 11/25/2035 ~ | | | | | 300 | | | | | | 300 | |
2.197% (US0001M + 0.645%) due 03/25/2035 ~ | | | | | 1,016 | | | | | | 1,019 | |
2.242% (US0001M + 0.690%) due 11/25/2035 ~ | | | | | 300 | | | | | | 284 | |
2.317% (US0001M + 0.765%) due 03/25/2034 ~ | | | | | 83 | | | | | | 84 | |
2.392% (US0001M + 0.840%) due 12/25/2034 ~ | | | | | 39 | | | | | | 39 | |
Saxon Asset Securities Trust | |
2.722% (US0001M + 1.170%) due 07/25/2031 ~ | | | | | 25 | | | | | | 25 | |
Securitized Asset-Backed Receivables LLC Trust | |
1.642% (US0001M + 0.090%) due 07/25/2036 ~ | | | | | 258 | | | | | | 133 | |
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | DECEMBER 31, 2017 | | 81 |
Schedule of Investments PIMCO Fixed Income SHares: Series M (Cont.)
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
1.692% (US0001M + 0.140%) due 05/25/2036 ~ | | $ | | | 556 | | | $ | | | 335 | |
1.712% (US0001M + 0.160%) due 07/25/2036 ~ | | | | | 252 | | | | | | 132 | |
1.792% (US0001M + 0.240%) due 07/25/2036 ~ | | | | | 216 | | | | | | 115 | |
1.802% (US0001M + 0.250%) due 05/25/2036 ~ | | | | | 1,234 | | | | | | 757 | |
1.822% (US0001M + 0.270%) due 03/25/2036 ~ | | | | | 243 | | | | | | 218 | |
2.212% (US0001M + 0.660%) due 08/25/2035 ~ | | | | | 310 | | | | | | 199 | |
2.227% (US0001M + 0.675%) due 01/25/2035 ~ | | | | | 93 | | | | | | 92 | |
2.512% (US0001M + 0.960%) due 01/25/2036 ^~ | | | | | 122 | | | | | | 86 | |
3.459% due 01/25/2036 ^ | | | | | 71 | | | | | | 64 | |
Seneca Park CLO Ltd. | |
2.473% (US0003M + 1.120%) due 07/17/2026 ~ | | | | | 6,800 | | | | | | 6,811 | |
SG Mortgage Securities Trust | |
1.712% (US0001M + 0.160%) due 07/25/2036 ~ | | | | | 32,430 | | | | | | 12,103 | |
2.002% (US0001M + 0.450%) due 10/25/2035 ~ | | | | | 1,000 | | | | | | 969 | |
SLM Student Loan Trust | |
2.867% (US0003M + 1.500%) due 04/25/2023 ~ | | | | | 9,297 | | | | | | 9,529 | |
Soundview Home Loan Trust | |
1.632% (US0001M + 0.080%) due 06/25/2037 ~ | | | | | 65 | | | | | | 48 | |
1.662% (US0001M + 0.110%) due 02/25/2037 ~ | | | | | 337 | | | | | | 131 | |
1.712% (US0001M + 0.160%) due 11/25/2036 ~ | | | | | 430 | | | | | | 418 | |
1.732% (US0001M + 0.180%) due 02/25/2037 ~ | | | | | 472 | | | | | | 186 | |
1.732% (US0001M + 0.180%) due 07/25/2037 ~ | | | | | 2,825 | | | | | | 2,471 | |
1.902% (US0001M + 0.350%) due 03/25/2036 ~ | | | | | 400 | | | | | | 382 | |
2.377% (US0001M + 0.825%) due 06/25/2035 ~ | | | | | 164 | | | | | | 162 | |
2.502% (US0001M + 0.950%) due 10/25/2037 ~ | | | | | 424 | | | | | | 332 | |
South Carolina Student Loan Corp. | |
2.481% (US0003M + 1.000%) due 09/03/2024 ~ | | | | | 600 | | | | | | 605 | |
Specialty Underwriting & Residential Finance Trust | |
1.702% (US0001M + 0.150%) due 09/25/2037 ~ | | | | | 141 | | | | | | 89 | |
1.702% (US0001M + 0.150%) due 11/25/2037 ~ | | | | | 999 | | | | | | 674 | |
1.822% (US0001M + 0.270%) due 04/25/2037 ~ | | | | | 250 | | | | | | 154 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
2.527% (US0001M + 0.975%) due 12/25/2035 ~ | | $ | | | 400 | | | $ | | | 400 | |
SpringCastle America Funding LLC | |
3.050% due 04/25/2029 | | | | | 11,136 | | | | | | 11,219 | |
Staniford Street CLO Ltd. | |
2.768% (US0003M + 1.180%) due 06/15/2025 ~ | | | | | 20,000 | | | | | | 20,059 | |
Structured Asset Investment Loan Trust | |
1.702% (US0001M + 0.150%) due 09/25/2036 ~ | | | | | 328 | | | | | | 314 | |
1.742% (US0001M + 0.190%) due 03/25/2036 ~ | | | | | 641 | | | | | | 611 | |
2.152% (US0001M + 0.600%) due 01/25/2036 ~ | | | | | 313 | | | | | | 309 | |
2.452% (US0001M + 0.900%) due 05/25/2035 ~ | | | | | 600 | | | | | | 589 | |
2.677% (US0001M + 1.125%) due 07/25/2033 ~ | | | | | 80 | | | | | | 81 | |
2.827% (US0001M + 1.275%) due 12/25/2034 ~ | | | | | 1,138 | | | | | | 1,080 | |
Structured Asset Securities Corp. Mortgage Loan Trust | |
1.687% (US0001M + 0.135%) due 07/25/2036 ~ | | | | | 10,704 | | | | | | 10,447 | |
1.692% (US0001M + 0.140%) due 09/25/2036 ~ | | | | | 275 | | | | | | 275 | |
1.702% (US0001M + 0.150%) due 09/25/2036 ~ | | | | | 164 | | | | | | 160 | |
1.712% (US0001M + 0.160%) due 03/25/2036 ~ | | | | | 50 | | | | | | 50 | |
1.722% (US0001M + 0.170%) due 12/25/2036 ~ | | | | | 228 | | | | | | 222 | |
1.762% (US0001M + 0.210%) due 02/25/2037 ~ | | | | | 826 | | | | | | 786 | |
1.782% (US0001M + 0.230%) due 01/25/2037 ~ | | | | | 2,901 | | | | | | 2,020 | |
1.802% (US0001M + 0.250%) due 09/25/2036 ~ | | | | | 200 | | | | | | 196 | |
1.922% (US0001M + 0.370%) due 04/25/2036 ~ | | | | | 575 | | | | | | 538 | |
2.452% (US0001M + 0.900%) due 08/25/2037 ~ | | | | | 288 | | | | | | 293 | |
2.552% (US0001M + 1.000%) due 08/25/2037 ~ | | | | | 807 | | | | | | 824 | |
Structured Asset Securities Corp. Trust | |
2.012% (US0001M + 0.460%) due 09/25/2035 ~ | | | | | 700 | | | | | | 653 | |
THL Credit Wind River CLO Ltd. | |
2.809% (US0003M + 1.450%) due 01/15/2026 ~ | | | | | 10,500 | | | | | | 10,604 | |
U.S. Residential Opportunity Fund Trust | |
3.352% due 11/27/2037 | | | | | 11,300 | | | | | | 11,296 | |
Venture CLO Ltd. | |
2.439% (US0003M + 1.080%) due 07/15/2026 ~ | | | | | 1,550 | | | | | | 1,550 | |
| | | | | | |
| 82 | | PIMCO MANAGED ACCOUNTS TRUST | | | | See Accompanying Notes |
December 31, 2017
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
VOLT LLC | |
3.250% due 04/25/2059 | | $ | | | 12,851 | | | $ | | | 12,905 | |
WaMu Asset-Backed Certificates WaMu Trust | |
1.777% (US0001M + 0.225%) due 05/25/2047 ~ | | | 12,460 | | | | | | 10,268 | |
Wells Fargo Home Equity Asset-Backed Securities Trust | |
1.882% (US0001M + 0.330%) due 05/25/2036 ~ | | | 300 | | | | | | 295 | |
2.497% (US0001M + 0.945%) due 03/25/2035 ~ | | | 1,000 | | | | | | 1,011 | |
2.497% (US0001M + 0.945%) due 11/25/2035 ~ | | | 200 | | | | | | 199 | |
3.127% (US0001M + 1.575%) due 02/25/2035 ~ | | | 200 | | | | | | 201 | |
| | | | | | | | | | | | |
Total Asset-Backed Securities
(Cost $531,276) | | | 555,774 | |
| | | | | | | | | | | | |
| |
| SOVEREIGN ISSUES 0.5% | |
Corp. Financiera de Desarrollo S.A. | |
4.750% due 02/08/2022 | | | | | 7,000 | | | | | | 7,394 | |
| | | | | | | | | | | | |
Total Sovereign Issues (Cost $6,961) | | | 7,394 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
| SHORT-TERM INSTRUMENTS 0.7% | |
| |
| REPURCHASE AGREEMENTS (h) 0.6% | |
| | | | | | | | $ | | | 8,389 | |
| | | | | | | | | | | | |
| |
| U.S. TREASURY BILLS 0.1% | |
1.197% due 01/04/2018 - 03/01/2018 (c)(d)(i)(m) | | $ | | | 854 | | | | | | 853 | |
| | | | | | | | | | | | |
Total Short-Term Instruments (Cost $9,242) | | | | | | 9,242 | |
| | | | | | | | | | | | |
| |
Total Investments in Securities
(Cost $2,289,182) | | | 2,340,654 | |
| | | | | | | | | | | | |
Total Investments 175.7%
(Cost $2,289,182) | | | $ | | | 2,340,654 | |
| | | | | | | | | | | | |
Financial Derivative
Instruments (j)(l) (0.2)% (Cost or Premiums, net $558) | | | (2,052 | ) |
| | | | | | | | | | | | |
| Other Assets and Liabilities, net (75.5)% | | | (1,006,647 | ) |
| | | | | | | | | | | | |
| Net Assets 100.0% | | | | | | | | $ | | | 1,331,955 | |
| | | | | | | | | | | | |
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*, EXCEPT NUMBER OF CONTRACTS):
| * | A zero balance may reflect actual amounts rounding to less than one thousand. |
| « | Security valued using significant unobservable inputs (Level 3). |
| ~ | 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. |
| (a) | Payment in-kind security. |
| (b) | Security is not accruing income as of the date of this report. |
| (c) | Coupon represents a weighted average yield to maturity. |
| (e) | Perpetual maturity; date shown, if applicable, represents next contractual call date. |
| (f) | Contingent Convertible Corporate Bond |
(g) RESTRICTED SECURITIES:
| | | | | | | | | | | | | | | | | | | | | | | | |
| Issuer Description | | Coupon | | | Maturity
Date | | | Acquisition
Date | | | Cost | | | Market
Value | | | Market Value
as Percentage
of Net Assets | |
Rise Ltd. | | | 4.750% | | | | 01/31/2021 | | | | 03/14/2017 | | | $ | 500 | | | $ | 503 | | | | 0.04% | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | 500 | | | $ | 503 | | | | 0.4% | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | DECEMBER 31, 2017 | | 83 |
Schedule of Investments PIMCO Fixed Income SHares: Series M (Cont.)
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(h) 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 | | 0.700% | | | 12/29/2017 | | | | 01/02/2018 | | | $ | 8,389 | | | U.S. Treasury Notes 1.375% due 06/30/2023 | | $ | (8,561 | ) | | $ | 8,389 | | | $ | 8,390 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Repurchase Agreements | | $ | (8,561 | ) | | $ | 8,389 | | | $ | 8,390 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
REVERSE REPURCHASE AGREEMENTS:
| | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Borrowing
Rate(2) | | | Settlement
Date | | | Maturity
Date | | | Amount
Borrowed(2) | | | Payable for
Reverse
Repurchase
Agreements | |
BOM | | | 1.550 | % | | | 12/13/2017 | | | | 02/15/2018 | | | $ | (23,784 | ) | | $ | (23,804 | ) |
BOS | | | 1.330 | | | | 10/26/2017 | | | | 01/26/2018 | | | | (3,900 | ) | | | (3,910 | ) |
| | | 1.850 | | | | 12/22/2017 | | | | 01/02/2018 | | | | (2,468 | ) | | | (2,469 | ) |
| | | 2.000 | | | | 12/29/2017 | | | | 01/02/2018 | | | | (6,558 | ) | | | (6,559 | ) |
DEU | | | 1.750 | | | | 12/26/2017 | | | | 01/02/2018 | | | | (8,200 | ) | | | (8,203 | ) |
GRE | | | 1.400 | | | | 11/08/2017 | | | | 02/08/2018 | | | | (123,925 | ) | | | (124,190 | ) |
| | | 1.510 | | | | 11/22/2017 | | | | 02/22/2018 | | | | (25,578 | ) | | | (25,622 | ) |
| | | 1.700 | | | | 12/14/2017 | | | | 01/04/2018 | | | | (6,860 | ) | | | (6,866 | ) |
JPS | | | 1.310 | | | | 10/19/2017 | | | | 01/19/2018 | | | | (38,997 | ) | | | (39,104 | ) |
RCY | | | 1.510 | | | | 12/26/2017 | | | | 02/06/2018 | | | | (10,432 | ) | | | (10,436 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Reverse Repurchase Agreements | | | | | | | | | | | $ | (251,163 | ) |
| | | | | | | | | | | | | | | | | | | | |
SALE-BUYBACK TRANSACTIONS:
| | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Borrowing
Rate(2) | | | Borrowing
Date | | | Maturity
Date | | | Amount
Borrowed(2) | | | Payable for
Sale-Buyback
Transactions(3) | |
GSC | | | 1.660 | % | | | 12/12/2017 | | | | 01/12/2018 | | | $ | (131,803 | ) | | $ | (131,742 | ) |
NOM | | | 1.300 | | | | 11/09/2017 | | | | 01/09/2018 | | | | (604 | ) | | | (604 | ) |
UBS | | | 1.370 | | | | 11/10/2017 | | | | 02/07/2018 | | | | (27,078 | ) | | | (27,042 | ) |
| | | 1.470 | | | | 12/15/2017 | | | | 02/08/2018 | | | | (2,854 | ) | | | (2,849 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Sale-Buyback Transactions | | | | | | | | | | | $ | (162,237 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| 84 | | PIMCO MANAGED ACCOUNTS TRUST | | | | See Accompanying Notes |
December 31, 2017
BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY
The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral pledged/(received) as of December 31, 2017:
| | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Repurchase
Agreement
Proceeds
to be
Received(1) | | | Payable for
Reverse
Repurchase
Agreements | | | Payable for
Sale-Buyback
Transactions | | | Total
Borrowings and
Other Financing
Transactions | | | Collateral
Pledged/
(Received) | | | Net Exposure(4) | |
Global/Master Repurchase Agreement | | | | | | | | | | | | | | | | | | | | | |
BOM | | $ | 0 | | | $ | (23,804 | ) | | $ | 0 | | | $ | (23,804 | ) | | $ | 23,644 | | | $ | (160 | ) |
BOS | | | 0 | | | | (12,938 | ) | | | 0 | | | | (12,938 | ) | | | 12,847 | | | | (91 | ) |
DEU | | | 0 | | | | (8,203 | ) | | | 0 | | | | (8,203 | ) | | | 8,173 | | | | (30 | ) |
FICC | | | 8,390 | | | | 0 | | | | 0 | | | | 8,390 | | | | (8,561 | ) | | | (171 | ) |
GRE | | | 0 | | | | (156,678 | ) | | | 0 | | | | (156,678 | ) | | | 156,123 | | | | (555 | ) |
JPS | | | 0 | | | | (39,104 | ) | | | 0 | | | | (39,104 | ) | | | 38,807 | | | | (297 | ) |
RCY | | | 0 | | | | (10,436 | ) | | | 0 | | | | (10,436 | ) | | | 10,411 | | | | (25 | ) |
| | | | | |
Master Securities Forward Transaction Agreement | | | | | | | | | | | | | | | | | | | | | |
GSC | | | 0 | | | | 0 | | | | (131,742 | ) | | | (131,742 | ) | | | 131,344 | | | | (398 | ) |
NOM | | | 0 | | | | 0 | | | | (604 | ) | | | (604 | ) | | | 615 | | | | 11 | |
UBS | | | 0 | | | | 0 | | | | (29,891 | ) | | | (29,891 | ) | | | 29,665 | | | | (226 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Borrowings and Other Financing Transactions | | $ | 8,390 | | | $ | (251,163 | ) | | $ | (162,237 | ) | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS
Remaining Contractual Maturity of the Agreements
| | | | | | | | | | | | | | | | | | | | |
| | | Overnight and
Continuous | | | Up to 30 days | | | 31-90 days | | | Greater Than 90 days | | | Total | |
Reverse Repurchase Agreements | |
U.S. Treasury Obligations | | $ | 0 | | | $ | (67,111 | ) | | $ | (184,052 | ) | | $ | 0 | | | $ | (251,163 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total | | $ | 0 | | | $ | (67,111 | ) | | $ | (184,052 | ) | | $ | 0 | | | $ | (251,163 | ) |
Sale-Buyback Transactions | |
U.S. Treasury Obligations | | | 0 | | | | (132,346 | ) | | | (29,891 | ) | | | 0 | | | | (162,237 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total | | $ | 0 | | | $ | (132,346 | ) | | $ | (29,891 | ) | | $ | 0 | | | $ | (162,237 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Borrowings | | $ | 0 | | | $ | (199,457 | ) | | $ | (213,943 | ) | | $ | 0 | | | $ | (413,400 | ) |
| | | | | | | | | | | | | | | | | | | | |
Payable for reverse repurchase agreements and sale-buyback financing transactions | | | $ | (413,400 | ) |
| | | | | | | | | | | | | | | | | | | | |
| (i) | Securities with an aggregate market value of $411,631 have been pledged as collateral under the terms of the above master agreements as of December 31, 2017. |
| (1) | Includes accrued interest. |
| (2) | The average amount of borrowings outstanding during the period ended December 31, 2017 was $(282,347) at a weighted average interest rate of 1.122%. Average borrowings may include sale-buyback transactions and reverse repurchase agreements, if held during the period. |
| (3) | Payable for sale-buyback transactions includes $(102) of deferred price drop. |
| (4) | Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information regarding master netting arrangements. |
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | DECEMBER 31, 2017 | | 85 |
Schedule of Investments PIMCO Fixed Income SHares: Series M (Cont.)
(j) FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED
PURCHASED OPTIONS:
OPTIONS ON EXCHANGE-TRADED FUTURES CONTRACTS
| | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Strike
Price | | | Expiration
Date | | | # of
Contracts | | | Notional
Amount | | | Cost | | | Market
Value | |
Put - CBOT U.S. Treasury 10-Year Note March Futures | | $ | 114.000 | | | | 02/23/2018 | | | | 332 | | | $ | 332 | | | $ | 3 | | | $ | 0 | |
Put - CBOT U.S. Treasury 10-Year Note March Futures | | | 114.500 | | | | 02/23/2018 | | | | 179 | | | | 179 | | | | 1 | | | | 2 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | $ | 4 | | | $ | 2 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Purchased Options | | | $ | 4 | | | $ | 2 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
FUTURES CONTRACTS:
LONG FUTURES CONTRACTS
| | | | | | | | | | | | | | | | | | | | | | |
Description | | Expiration
Month | | # of
Contracts | | | Notional
Amount | | | Unrealized
Appreciation/
(Depreciation) | | | Variation Margin | |
| | | | | | Asset | | | Liability | |
U.S. Treasury 10-Year Note March Futures | | 03/2018 | | | 1,033 | | | $ | 128,140 | | | $ | (698 | ) | | $ | 210 | | | $ | 0 | |
| | | | | | | | | | | | | | | | | | | | | | |
SHORT FUTURES CONTRACTS
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Description | | Expiration
Month | | # of
Contracts | | | Notional
Amount | | | Unrealized
Appreciation/
(Depreciation) | | | Variation Margin | |
| | | | | | Asset | | | Liability | |
Euro-OAT France Government 10-Year Bond March Futures | | 03/2018 | | | 188 | | | | EUR | | | | (35,004 | ) | | $ | 361 | | | $ | 212 | | | $ | 0 | |
U.S. Treasury 2-Year Note March Futures | | 03/2018 | | | 250 | | | | $ | | | | (53,527 | ) | | | 27 | | | | 0 | | | | (16 | ) |
U.S. Treasury Ultra Long-Term Bond March Futures | | 03/2018 | | | 22 | | | | | | | | (3,688 | ) | | | (19 | ) | | | 0 | | | | (10 | ) |
United Kingdom Long Gilt March Futures | | 03/2018 | | | 45 | | | | GBP | | | | (7,604 | ) | | | (53 | ) | | | 16 | | | | (5 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | $ | 316 | | | $ | 228 | | | $ | (31 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Futures Contracts | | | $ | (382 | ) | | $ | 438 | | | $ | (31 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
SWAP AGREEMENTS:
INTEREST RATE SWAPS
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Pay/Receive
Floating Rate | | Floating Rate Index | | Fixed
Rate | | | Payment
Frequency | | Maturity
Date | | | Notional
Amount | | | Premiums
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | | | Market
Value | | | Variation Margin | |
| | | | | | | | | | Asset | | | Liability | |
Receive | | 3-Month USD-LIBOR | | | 1.750 | % | | Semi-Annual | | | 12/21/2023 | | | $ | 79,000 | | | $ | 1,288 | | | $ | 1,108 | | | $ | 2,396 | | | $ | 0 | | | $ | (81 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Swap Agreements | | | $ | 1,288 | | | $ | 1,108 | | | $ | 2,396 | | | $ | 0 | | | $ | (81 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| 86 | | PIMCO MANAGED ACCOUNTS TRUST | | | | See Accompanying Notes |
December 31, 2017
FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED SUMMARY
The following is a summary of the market value and variation margin of Exchange-Traded or Centrally Cleared Financial Derivative Instruments as of December 31, 2017:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Financial Derivative Assets | | | | | | Financial Derivative Liabilities | |
| | | Market
Value | | Variation Margin
Asset | | | | | | | | | Market
Value | | | Variation Margin
Liability | | | | |
| | | Purchased
Options | | Futures | | | Swap
Agreements | | | Total | | | | | | Written
Options | | | Futures | | | Swap
Agreements | | | Total | |
Total Exchange-Traded or Centrally Cleared | | $ 2 | | $ | 438 | | | $ | 0 | | | $ | 440 | | | | | | | $ | 0 | | | | $ (31) | | | | $ (81) | | | | $ (112) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (k) | Securities with an aggregate market value of $1,692 and cash of $825 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2017. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information regarding master netting arrangements. |
(l) FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER
FORWARD FOREIGN CURRENCY CONTRACTS:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Counterparty | | Settlement
Month | | | Currency to
be Delivered | | | Currency to
be Received | | | Unrealized Appreciation/
(Depreciation) | |
| | | | | Asset | | | Liability | |
BPS | | | 01/2018 | | | | EUR | | | | 19,719 | | | | $ | | | | 23,508 | | | $ | 0 | | | $ | (162 | ) |
CBK | | | 01/2018 | | | | | | | | 418 | | | | | | | | 497 | | | | 0 | | | | (5 | ) |
| | | 01/2018 | | | | $ | | | | 122 | | | | RUB | | | | 7,110 | | | | 2 | | | | 0 | |
| | | 02/2018 | | | | AUD | | | | 36,942 | | | | $ | | | | 28,297 | | | | 0 | | | | (526 | ) |
| | | 02/2018 | | | | ILS | | | | 1,840 | | | | | | | | 526 | | | | 0 | | | | (4 | ) |
| | | 02/2018 | | | | $ | | | | 1,127 | | | | CAD | | | | 1,433 | | | | 14 | | | | 0 | |
GLM | | | 01/2018 | | | | | | | | 3,146 | | | | GBP | | | | 2,338 | | | | 11 | | | | 0 | |
MSB | | | 01/2018 | | | | | | | | 8,210 | | | | MXN | | | | 155,129 | | | | 0 | | | | (350 | ) |
| | | 03/2018 | | | | | | | | 5,439 | | | | RUB | | | | 328,184 | | | | 210 | | | | 0 | |
UAG | | | 01/2018 | | | | GBP | | | | 21,296 | | | | $ | | | | 28,347 | | | | 0 | | | | (412 | ) |
| | | 03/2018 | | | | KRW | | | | 25,119,481 | | | | | | | | 22,572 | | | | 0 | | | | (920 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Forward Foreign Currency Contracts | | | $ | 237 | | | $ | (2,379 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
PURCHASED OPTIONS:
OPTIONS ON SECURITIES
| | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Description | | Strike
Price | | | Expiration
Date | | | Notional
Amount | | | Cost | | | Market
Value | |
| JPM | | Put - OTC Fannie Mae, TBA 3.500% due 03/01/2048 | | $ | 73.000 | | | | 03/06/2018 | | | | $ 50,000 | | | | $ 2 | | | $ | 0 | |
| | Put - OTC Fannie Mae, TBA 4.000% due 03/01/2048 | | | 74.000 | | | | 03/06/2018 | | | | 100,000 | | | | 4 | | | | 0 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | $ 6 | | | $ | 0 | |
| | | | | | | | | | | | | | | | | | | | | | |
Total Purchased Options | | | | $ 6 | | | $ | 0 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | DECEMBER 31, 2017 | | 87 |
Schedule of Investments PIMCO Fixed Income SHares: Series M (Cont.)
SWAP AGREEMENTS:
CREDIT DEFAULT SWAPS ON SOVEREIGN ISSUES - SELL PROTECTION(1)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Counterparty | | Reference Entity | | Fixed
Receive
Rate | | | Payment
Frequency | | | Maturity
Date | | | Implied
Credit
Spread at
December 31,
2017(2) | | | Notional
Amount(3) | | | Premiums
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | | | Swap
Agreements,
at Value | |
| | | | | | | | | | Asset | | | Liability | |
BOA | | Brazil Government International Bond | | | 1.000 | % | | | Quarterly | | | | 06/20/2022 | | | | 1.442 | % | | | $ 2,000 | | | $ | (122 | ) | | $ | 86 | | | $ | 0 | | | $ | (36 | ) |
FBF | | Brazil Government International Bond | | | 1.000 | | | | Quarterly | | | | 06/20/2022 | | | | 1.442 | | | | 5,900 | | | | (393 | ) | | | 286 | | | | 0 | | | | (107 | ) |
GST | | Qatar Government International Bond | | | 1.000 | | | | Quarterly | | | | 12/20/2018 | | | | 0.468 | | | | 9,600 | | | | 48 | | | | 5 | | | | 53 | | | | 0 | |
HUS | | Brazil Government International Bond | | | 1.000 | | | | Quarterly | | | | 12/20/2022 | | | | 1.605 | | | | 5,000 | | | | (246 | ) | | | 108 | | | | 0 | | | | (138 | ) |
| | Mexico Government International Bond | | | 1.000 | | | | Quarterly | | | | 12/20/2022 | | | | 1.059 | | | | 4,100 | | | | (27 | ) | | | 17 | | | | 0 | | | | (10 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | $ | (740 | ) | | $ | 502 | | | $ | 53 | | | $ | (291 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Swap Agreements | | | | | | | | | | | | | | | | | | | $ | (740 | ) | | $ | 502 | | | $ | 53 | | | $ | (291 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER SUMMARY
The following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral pledged/(received) as of December 31, 2017:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Financial Derivative Assets | | | | | | Financial Derivative Liabilities | | | | | | | | | | |
| Counterparty | | Forward
Foreign
Currency
Contracts | | | Purchased
Options | | | Swap
Agreements | | | Total
Over the
Counter | | | | | | Forward
Foreign
Currency
Contracts | | | Written
Options | | | Swap
Agreements | | | Total
Over the
Counter | | | Net
Market
Value of
OTC
Derivatives | | | Collateral
Pledged/ (received) | | | Net
Exposure(4) | |
BOA | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | | | | | $ | 0 | | | $ | 0 | | | $ | (36 | ) | | $ | (36 | ) | | $ | (36 | ) | | $ | 0 | | | $ | (36 | ) |
BPS | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | | | | | (162 | ) | | | 0 | | | | 0 | | | | (162 | ) | | | (162 | ) | | | 0 | | | | (162 | ) |
CBK | | | 16 | | | | 0 | | | | 0 | | | | 16 | | | | | | | | (535 | ) | | | 0 | | | | 0 | | | | (535 | ) | | | (519 | ) | | | 398 | | | | (121 | ) |
FBF | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | | | | | 0 | | | | 0 | | | | (107 | ) | | | (107 | ) | | | (107 | ) | | | 3 | | | | (104 | ) |
GLM | | | 11 | | | | 0 | | | | 0 | | | | 11 | | | | | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 11 | | | | 0 | | | | 11 | |
GST | | | 0 | | | | 0 | | | | 53 | | | | 53 | | | | | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 53 | | | | 0 | | | | 53 | |
HUS | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | | | | | 0 | | | | 0 | | | | (148 | ) | | | (148 | ) | | | (148 | ) | | | 127 | | | | (21 | ) |
MSB | | | 210 | | | | 0 | | | | 0 | | | | 210 | | | | | | | | (350 | ) | | | 0 | | | | 0 | | | | (350 | ) | | | (140 | ) | | | 0 | | | | (140 | ) |
UAG | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | | | | | (1,332 | ) | | | 0 | | | | 0 | | | | (1,332 | ) | | | (1,332 | ) | | | 1,215 | | | | (117 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Over the Counter | | | $237 | | | $ | 0 | | | $ | 53 | | | $ | 290 | | | | | | | $ | (2,379 | ) | | $ | 0 | | | $ | (291 | ) | | $ | (2,670 | ) | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (m) | Securities with an aggregate market value of $1,742 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2017. |
| (1) | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio 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 sovereign 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. |
| | | | | | |
| 88 | | PIMCO MANAGED ACCOUNTS TRUST | | | | See Accompanying Notes |
December 31, 2017
| (3) | The maximum potential amount the Portfolio 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) | Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information regarding master netting arrangements. |
FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS
The following is a summary of the fair valuation of the Portfolio’s derivative instruments categorized by risk exposure. See Note 7, Principal Risks, in the Notes to Financial Statements on risks of the Portfolio.
Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of December 31, 2017:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Derivatives not accounted for as hedging instruments | |
| | | Commodity
Contracts | | | Credit
Contracts | | | Equity
Contracts | | | Foreign
Exchange
Contracts | | | Interest
Rate Contracts | | | Total | |
Financial Derivative Instruments - Assets | |
Exchange-traded or centrally cleared | | | | | | | | | | | | | | | | | | | | | | | | |
Purchased Options | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 2 | | | $ | 2 | |
Futures | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 438 | | | | 438 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 440 | | | $ | 440 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Over the counter | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 237 | | | $ | 0 | | | $ | 237 | |
Swap Agreements | | | 0 | | | | 53 | | | | 0 | | | | 0 | | | | 0 | | | | 53 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 53 | | | $ | 0 | | | $ | 237 | | | $ | 0 | | | $ | 290 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 53 | | | $ | 0 | | | $ | 237 | | | $ | 440 | | | $ | 730 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
Financial Derivative Instruments - Liabilities | |
Exchange-traded or centrally cleared | | | | | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 31 | | | $ | 31 | |
Swap Agreements | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 81 | | | | 81 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 112 | | | $ | 112 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Over the counter | |
Forward Foreign Currency Contracts | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 2,379 | | | $ | 0 | | | $ | 2,379 | |
Swap Agreements | | | 0 | | | | 291 | | | | 0 | | | | 0 | | | | 0 | | | | 291 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 291 | | | $ | 0 | | | $ | 2,379 | | | $ | 0 | | | $ | 2,670 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 291 | | | $ | 0 | | | $ | 2,379 | | | $ | 112 | | | $ | 2,782 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | DECEMBER 31, 2017 | | 89 |
Schedule of Investments PIMCO Fixed Income SHares: Series M (Cont.)
The effect of Financial Derivative Instruments on the Statements of Operations for the period ended December 31, 2017:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Derivatives not accounted for as hedging instruments | |
| | | Commodity
Contracts | | | Credit
Contracts | | | Equity
Contracts | | | Foreign
Exchange
Contracts | | | Interest
Rate Contracts | | | Total | |
Net Realized Gain (Loss) on Financial Derivative Instruments | |
Exchange-traded or centrally cleared | | | | | | | | | | | | | | | | | | | | | | | | |
Purchased Options | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | (13 | ) | | $ | (13 | ) |
Futures | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 312 | | | | 312 | |
Swap Agreements | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | (1,906 | ) | | | (1,906 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | (1,607 | ) | | $ | (1,607 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Over the counter | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 5,338 | | | $ | 0 | | | $ | 5,338 | |
Purchased Options | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | (52 | ) | | | (52 | ) |
Swap Agreements | | | 0 | | | | 1,453 | | | | 0 | | | | 0 | | | | 0 | | | | 1,453 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 1,453 | | | $ | 0 | | | $ | 5,338 | | | $ | (52 | ) | | $ | 6,739 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 1,453 | | | $ | 0 | | | $ | 5,338 | | | $ | (1,659 | ) | | $ | 5,132 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative Instruments | |
Exchange-traded or centrally cleared | | | | | | | | | | | | | | | | | | | | | | | | |
Purchased Options | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | (3 | ) | | $ | (3 | ) |
Futures | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | (382 | ) | | | (382 | ) |
Swap Agreements | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 1,066 | | | | 1,066 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 681 | | | $ | 681 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Over the counter | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | (4,541 | ) | | $ | 0 | | | $ | (4,541 | ) |
Purchased Options | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 9 | | | | 9 | |
Swap Agreements | | | 0 | | | | (267 | ) | | | 0 | | | | 0 | | | | 0 | | | | (267 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | (267 | ) | | $ | 0 | | | $ | (4,541 | ) | | $ | 9 | | | $ | (4,799 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | (267 | ) | | $ | 0 | | | $ | (4,541 | ) | | $ | 690 | | | $ | (4,118 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2017 in valuing the Portfolio’s assets and liabilities:
| | | | | | | | | | | | | | | | |
| Category and Subcategory | | Level 1 | | | Level 2 | | | Level 3 | | | Fair
Value at
12/31/2017 | |
Investments in Securities, at Value | | | | | | | | | | | | | | | | |
Loan Participations and Assignments | | $ | 0 | | | $ | 0 | | | $ | 2,474 | | | $ | 2,474 | |
Corporate Bonds & Notes | | | | | | | | | | | | | | | | |
Banking & Finance | | | 0 | | | | 160,238 | | | | 0 | | | | 160,238 | |
Industrials | | | 0 | | | | 54,001 | | | | 0 | | | | 54,001 | |
Utilities | | | 0 | | | | 18,860 | | | | 0 | | | | 18,860 | |
Municipal Bonds & Notes | | | | | | | | | | | | | | | | |
California | | | 0 | | | | 4,882 | | | | 0 | | | | 4,882 | |
Illinois | | | 0 | | | | 4,681 | | | | 0 | | | | 4,681 | |
Ohio | | | 0 | | | | 1,290 | | | | 0 | | | | 1,290 | |
Pennsylvania | | | 0 | | | | 10,361 | | | | 0 | | | | 10,361 | |
Texas | | | 0 | | | | 1,044 | | | | 0 | | | | 1,044 | |
Virginia | | | 0 | | | | 17,289 | | | | 0 | | | | 17,289 | |
West Virginia | | | 0 | | | | 23,200 | | | | 0 | | | | 23,200 | |
U.S. Government Agencies | | | 0 | | | | 645,833 | | | | 0 | | | | 645,833 | |
U.S. Treasury Obligations | | | 0 | | | | 535,612 | | | | 0 | | | | 535,612 | |
| | | | | | |
| 90 | | PIMCO MANAGED ACCOUNTS TRUST | | | | See Accompanying Notes |
December 31, 2017
| | | | | | | | | | | | | | | | |
| Category and Subcategory | | Level 1 | | | Level 2 | | | Level 3 | | | Fair
Value at
12/31/2017 | |
Non-Agency Mortgage-Backed Securities | | $ | 0 | | | $ | 288,479 | | | $ | 0 | | | $ | 288,479 | |
Asset-Backed Securities | | | 0 | | | | 555,774 | | | | 0 | | | | 555,774 | |
Sovereign Issues | | | 0 | | | | 7,394 | | | | 0 | | | | 7,394 | |
Short-Term Instruments | |
Repurchase Agreements | | | 0 | | | | 8,389 | | | | 0 | | | | 8,389 | |
U.S. Treasury Bills | | | 0 | | | | 853 | | | | 0 | | | | 853 | |
| | | | |
Total Investments | | $ | 0 | | | $ | 2,338,180 | | | $ | 2,474 | | | $ | 2,340,654 | |
|
Financial Derivative Instruments - Assets | |
Exchange-traded or centrally cleared | | | 438 | | | | 2 | | | | 0 | | | | 440 | |
Over the counter | | | 0 | | | | 290 | | | | 0 | | | | 290 | |
| | $ | 438 | | | $ | 292 | | | $ | 0 | | | $ | 730 | |
|
Financial Derivative Instruments - Liabilities | |
Exchange-traded or centrally cleared | | | (31 | ) | | | (81 | ) | | | 0 | | | | (112 | ) |
Over the counter | | | 0 | | | | (2,670 | ) | | | 0 | | | | (2,670 | ) |
| | $ | (31 | ) | | $ | (2,751 | ) | | $ | 0 | | | $ | (2,782 | ) |
| | | | |
Total Financial Derivative Instruments | | $ | 407 | | | $ | (2,459 | ) | | $ | 0 | | | $ | (2,052 | ) |
| | | | |
Totals | | $ | 407 | | | $ | 2,335,721 | | | $ | 2,474 | | | $ | 2,338,602 | |
There were no significant transfers among Levels 1, 2, or 3 during the period ended December 31, 2017.
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | DECEMBER 31, 2017 | | 91 |
Schedule of Investments PIMCO Fixed Income SHares: Series R
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
| INVESTMENTS IN SECURITIES 178.0% | |
| |
| CORPORATE BONDS & NOTES 9.8% | |
| | | | | | | | | | | | |
| BANKING & FINANCE 6.8% | |
AerCap Ireland Capital DAC | |
3.750% due 05/15/2019 | | $ | | | 100 | | | $ | | | 102 | |
4.625% due 10/30/2020 | | | | | 100 | | | | | | 105 | |
Ally Financial, Inc. | |
3.500% due 01/27/2019 | | | | | 400 | | | | | | 403 | |
American Honda Finance Corp. | |
1.741% due 11/05/2021 ~ | | | | | 200 | | | | | | 200 | |
Bank of America N.A. | |
1.750% due 06/05/2018 | | | | | 1,800 | | | | | | 1,799 | |
Deutsche Bank AG | |
4.250% due 10/14/2021 | | | | | 1,400 | | | | | | 1,461 | |
Dexia Credit Local S.A. | |
2.375% due 09/20/2022 | | | | | 600 | | | | | | 594 | |
Goldman Sachs Group, Inc. | |
2.788% (US0003M + 1.200%) due 09/15/2020 ~ | | | | | 1,400 | | | | | | 1,427 | |
2.876% due 10/31/2022 • | | | | | 300 | | | | | | 299 | |
ING Bank NV | |
2.625% due 12/05/2022 | | | | | 400 | | | | | | 401 | |
International Lease Finance Corp. | |
5.875% due 04/01/2019 | | | | | 100 | | | | | | 104 | |
6.250% due 05/15/2019 | | | | | 100 | | | | | | 105 | |
8.250% due 12/15/2020 | | | | | 100 | | | | | | 115 | |
Lloyds Banking Group PLC | |
7.000% due 06/27/2019 (e)(f)• | | GBP | | | 400 | | | | | | 571 | |
Nordea Kredit Realkreditaktieselskab | |
2.500% due 10/01/2047 | | DKK | | | 1 | | | | | | 0 | |
Nykredit Realkredit A/S | |
2.500% due 10/01/2047 | | | | | 179 | | | | | | 30 | |
Realkredit Danmark A/S | |
2.500% due 07/01/2047 | | | | | 134 | | | | | | 23 | |
UBS AG | |
1.835% (US0003M + 0.320%) due 12/07/2018 ~ | | $ | | | 900 | | | | | | 901 | |
2.103% (US0003M + 0.580%) due 06/08/2020 ~ | | | | | 1,000 | | | | | | 1,005 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 9,645 | |
| | | | | | | | | | | | |
| |
| INDUSTRIALS 0.7% | |
BAT Capital Corp. | |
2.003% due 08/14/2020 ~ | | | | | 300 | | | | | | 302 | |
eBay, Inc. | |
2.750% due 01/30/2023 | | | | | 300 | | | | | | 297 | |
Enbridge, Inc. | |
1.750% due 01/10/2020 ~ | | | | | 300 | | | | | | 300 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
VMware, Inc. | |
2.950% due 08/21/2022 | | $ | | | 100 | | | $ | | | 100 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 999 | |
| | | | | | | | | | | | |
| |
| UTILITIES 2.3% | |
AT&T, Inc. | |
2.009% (US0003M + 0.650%) due 01/15/2020 ~ | | | | | 400 | | | | | | 402 | |
2.309% (US0003M + 0.950%) due 07/15/2021 ~ | | | | | 1,100 | | | | | | 1,116 | |
5.150% due 02/14/2050 | | | | | 300 | | | | | | 303 | |
5.300% due 08/14/2058 | | | | | 100 | | | | | | 101 | |
Gazprom OAO Via Gaz Capital S.A. | |
4.625% due 10/15/2018 | | EUR | | | 120 | | | | | | 149 | |
Petrobras Global Finance BV | |
4.375% due 05/20/2023 | | $ | | | 200 | | | | | | 198 | |
6.125% due 01/17/2022 | | | | | 200 | | | | | | 213 | |
7.375% due 01/17/2027 | | | | | 500 | | | | | | 551 | |
Sempra Energy | |
2.038% due 03/15/2021 ~ | | | | | 200 | | | | | | 200 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,233 | |
| | | | | | | | | | | | |
Total Corporate Bonds & Notes
(Cost $13,699) | | | | | | 13,877 | |
| | | | | | | | | | | | |
| |
| U.S. GOVERNMENT AGENCIES 12.7% | |
Fannie Mae | |
1.997% (LIBOR01M + 0.445%) due 02/25/2037 ~ | | | | | 45 | | | | | | 45 | |
2.202% (12MTA + 1.200%) due 10/01/2044 ~ | | | | | 5 | | | | | | 5 | |
Fannie Mae, TBA | |
3.500% due 01/01/2048 - 02/01/2048 | | | | | 7,400 | | | | | | 7,602 | |
4.000% due 02/01/2048 - 03/01/2048 | | | | | 9,800 | | | | | | 10,226 | |
Freddie Mac | |
3.176% (US0006M + 1.781%) due 07/01/2036 ~ | | | | | 62 | | | | | | 64 | |
3.237% (US0012M + 1.488%) due 09/01/2036 ~ | | | | | 57 | | | | | | 59 | |
| | | | | | | | | | | | |
Total U.S. Government Agencies
(Cost $17,951) | | | | | | 18,001 | |
| | | | | | | | | | | | |
| |
| U.S. TREASURY OBLIGATIONS 122.8% | |
U.S. Treasury Inflation Protected Securities (d) | |
0.125% due 04/15/2019 | | | | | 1,200 | | | | | | 1,198 | |
0.125% due 04/15/2020 (g) | | | 19,212 | | | | | | 19,181 | |
0.125% due 04/15/2021 (g) | | | 21,921 | | | | | | 21,844 | |
0.125% due 01/15/2022 (i)(k) | | | 839 | | | | | | 836 | |
| | | | | | |
| 92 | | PIMCO MANAGED ACCOUNTS TRUST | | | | See Accompanying Notes |
December 31, 2017
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
0.125% due 01/15/2023 | | $ | | | 3,833 | | | $ | | | 3,806 | |
0.125% due 07/15/2024 (g) | | | | | 8,477 | | | | | | 8,384 | |
0.125% due 07/15/2026 (k) | | | 2,511 | | | | | | 2,456 | |
0.250% due 01/15/2025 | | | | | 6,311 | | | | | | 6,261 | |
0.375% due 07/15/2023 | | | | | 6,338 | | | | | | 6,391 | |
0.375% due 07/15/2025 | | | | | 2,871 | | | | | | 2,878 | |
0.625% due 01/15/2024 | | | | | 4,144 | | | | | | 4,220 | |
0.625% due 01/15/2026 (g) | | | 11,824 | | | | | | 12,025 | |
0.625% due 02/15/2043 (k) | | | 536 | | | | | | 526 | |
0.750% due 02/15/2042 | | | | | 1,408 | | | | | | 1,426 | |
0.750% due 02/15/2045 | | | | | 3,038 | | | | | | 3,061 | |
0.875% due 02/15/2047 | | | | | 4,128 | | | | | | 4,301 | |
1.000% due 02/15/2046 | | | | | 4,456 | | | | | | 4,772 | |
1.250% due 07/15/2020 | | | | | 2,375 | | | | | | 2,454 | |
1.375% due 07/15/2018 (k) | | | 400 | | | | | | 405 | |
1.375% due 02/15/2044 (g) | | | 6,869 | | | | | | 7,951 | |
1.750% due 01/15/2028 (g) | | | 18,886 | | | | | | 21,255 | |
1.875% due 07/15/2019 | | | | | 1,964 | | | | | | 2,026 | |
2.000% due 01/15/2026 | | | | | 1,832 | | | | | | 2,062 | |
2.125% due 02/15/2040 (k) | | | 274 | | | | | | 357 | |
2.125% due 02/15/2041 | | | | | 2,478 | | | | | | 3,255 | |
2.375% due 01/15/2025 | | | | | 3,821 | | | | | | 4,358 | |
2.500% due 01/15/2029 (g) | | | 14,510 | | | | | | 17,625 | |
3.375% due 04/15/2032 | | | | | 438 | | | | | | 607 | |
3.625% due 04/15/2028 | | | | | 4,561 | | | | | | 5,994 | |
3.875% due 04/15/2029 | | | | | 1,883 | | | | | | 2,571 | |
| | | | | | | | | | | | |
Total U.S. Treasury Obligations
(Cost $173,050) | | | 174,486 | |
| | | | | | | | | | | | |
| |
| NON-AGENCY MORTGAGE-BACKED SECURITIES 3.2% | |
Citigroup Mortgage Loan Trust | |
1.528% (US0001M + 0.200%) due 06/25/2047 ~ | | | | | 902 | | | | | | 905 | |
Countrywide Alternative Loan Trust | |
1.696% (US0001M + 0.195%) due 12/20/2046 ^~ | | | | | 1,273 | | | | | | 1,089 | |
Grifonas Finance PLC | |
0.008% (EUR006M + 0.280%) due 08/28/2039 ~ | | EUR | | | 179 | | | | | | 187 | |
GSR Mortgage Loan Trust | |
3.472% due 09/25/2035 ~ | | $ | | | 38 | | | | | | 38 | |
HarborView Mortgage Loan Trust | |
2.101% (US0001M + 0.600%) due 06/20/2035 ~ | | | | | 588 | | | | | | 577 | |
IndyMac Mortgage Loan Trust | |
2.392% (US0001M + 0.840%) due 05/25/2034 ~ | | | | | 1,515 | | | | | | 1,411 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
Marche Mutui SRL | |
1.919% (EUR003M + 2.250%) due 01/27/2064 ~ | | EUR | | | 7 | | | $ | | | 9 | |
MortgageIT Trust | |
2.557% (US0001M + 1.005%) due 12/25/2034 ~ | | $ | | | 30 | | | | | | 28 | |
Residential Accredit Loans, Inc. Trust | |
1.732% (US0001M + 0.180%) due 06/25/2046 ~ | | | | | 263 | | | | | | 124 | |
Swan Trust | |
3.010% (BBSW1M + 1.300%) due 04/25/2041 ~ | | AUD | | | 253 | | | | | | 199 | |
| | | | | | | | | | | | |
Total Non-Agency Mortgage-Backed Securities
(Cost $4,263) | | | 4,567 | |
| | | | | | | | | | | | |
| |
| ASSET-BACKED SECURITIES 4.8% | |
Asset-Backed Funding Certificates Trust | |
2.152% (US0001M + 0.600%) due 10/25/2034 ~ | | $ | | | 22 | | | | | | 22 | |
Bayview Opportunity Master Fund Trust | |
3.475% due 04/28/2032 ~ | | | | | 82 | | | | | | 83 | |
CIT Mortgage Loan Trust | |
2.902% (LIBOR01M + 1.350%) due 10/25/2037 ~ | | | | | 752 | | | | | | 757 | |
Citigroup Mortgage Loan Trust | |
1.632% (US0001M + 0.080%) due 01/25/2037 ~ | | | | | 226 | | | | | | 163 | |
1.697% (US0001M + 0.145%) due 09/25/2036 ~ | | | | | 771 | | | | | | 745 | |
Citigroup Mortgage Loan Trust, Inc. | |
2.012% (US0001M + 0.460%) due 10/25/2035 ~ | | | | | 500 | | | | | | 462 | |
Countrywide Asset-Backed Certificates Trust | |
1.858% (US0001M + 0.530%) due 02/25/2036 ~ | | | | | 500 | | | | | | 496 | |
Credit Suisse Mortgage Capital Certificates | |
4.500% due 03/25/2021 | | | | | 429 | | | | | | 434 | |
Dryden Senior Loan Fund | |
2.259% due 10/15/2027 ~ | | | | | 700 | | | | | | 701 | |
First Franklin Mortgage Loan Trust | |
2.377% (US0001M + 0.825%) due 01/25/2035 ~ | | | | | 45 | | | | | | 45 | |
Home Equity Asset Trust | |
2.407% (US0001M + 0.855%) due 08/25/2034 ~ | | | | | 110 | | | | | | 109 | |
Long Beach Mortgage Loan Trust | |
1.782% (US0001M + 0.230%) due 01/25/2046 ~ | | | | | 53 | | | | | | 53 | |
Massachusetts Educational Financing Authority | |
2.317% (US0003M + 0.950%) due 04/25/2038 ~ | | | | | 70 | | | | | | 71 | |
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | DECEMBER 31, 2017 | | 93 |
Schedule of Investments PIMCO Fixed Income SHares: Series R (Cont.)
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
Morgan Stanley ABS Capital, Inc. Trust | |
2.212% (US0001M + 0.660%) due 01/25/2035 ~ | | $ | | | 268 | | | $ | | | 260 | |
Nomura Home Equity Loan, Inc. Home Equity Loan Trust | |
2.062% (US0001M + 0.510%) due 05/25/2035 ~ | | | | | 1,300 | | | | | | 1,135 | |
RAAC Trust | |
1.892% (US0001M + 0.340%) due 08/25/2036 ~ | | | | | 100 | | | | | | 96 | |
Saxon Asset Securities Trust | |
2.048% (US0001M + 0.720%) due 05/25/2035 ~ | | | | | 42 | | | | | | 37 | |
Sound Point CLO Ltd. | |
2.219% due 04/15/2027 ~ | | | | | 600 | | | | | | 601 | |
Structured Asset Securities Corp. Mortgage Loan Trust | |
2.552% (US0001M + 1.000%) due 08/25/2037 ~ | | | | | 61 | | | | | | 62 | |
VOLT LLC | |
3.125% due 09/25/2047 | | | | | 481 | | | | | | 482 | |
3.500% due 03/25/2047 | | | | | 74 | | | | | | 75 | |
| | | | | | | | | | | | |
Total Asset-Backed Securities
(Cost $6,790) | | | 6,889 | |
| | | | | | | | | | | | |
| |
| SOVEREIGN ISSUES 21.7% | |
Argentina Government International Bond | |
6.875% due 01/26/2027 | | | | | 1,000 | | | | | | 1,094 | |
25.413% (BADLARPP + 2.000%) due 04/03/2022 ~ | | ARS | | | 396 | | | | | | 21 | |
28.750% due 06/21/2020 ~ | | | | | 8,300 | | | | | | 474 | |
Australia Government International Bond | |
3.000% due 09/20/2025 (d) | | AUD | | | 961 | | | | | | 879 | |
Brazil Letras do Tesouro Nacional | |
0.000% due 07/01/2018 (b) | | BRL | | | 45,100 | | | | | | 13,172 | |
Canadian Government Real Return Bond | |
4.250% due 12/01/2026 (d) | | CAD | | | 894 | | | | | | 954 | |
Denmark Government Bond | |
0.100% due 11/15/2023 (d) | | DKK | | | 11,556 | | | | | | 2,004 | |
Development Bank of Japan, Inc. | |
2.125% due 09/01/2022 | | $ | | | 300 | | | | | | 294 | |
Japan Bank for International Cooperation | |
2.375% due 07/21/2022 | | | | | 200 | | | | | | 197 | |
Japan Government International Bond | |
0.100% due 03/10/2027 (d) | | JPY | | | 171,214 | | | | | | 1,620 | |
Mexico Government International Bond | |
7.750% due 05/29/2031 | | MXN | | | 8,021 | | | | | | 408 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
New Zealand Government International Bond | |
2.000% due 09/20/2025 (d) | | NZD | | | 423 | | | $ | | | 315 | |
2.500% due 09/20/2035 (d) | | | | | 413 | | | | | | 325 | |
3.000% due 09/20/2030 (d) | | | | | 1,259 | | | | | | 1,041 | |
United Kingdom Gilt | |
0.125% due 03/22/2026 (d) | | GBP | | | 3,838 | | | | | | 6,105 | |
0.125% due 03/22/2046 (d) | | | | | 718 | | | | | | 1,575 | |
0.125% due 11/22/2056 (d) | | | | | 141 | | | | | | 369 | |
| | | | | | | | | | | | |
Total Sovereign Issues (Cost $30,622) | | | 30,847 | |
| | | | | | | | | | | | |
| |
| SHORT-TERM INSTRUMENTS 3.0% | |
| |
| CERTIFICATES OF DEPOSIT 1.3% | |
Barclays Bank PLC | |
1.892% due 05/17/2018 | | $ | | | 1,000 | | | | | | 1,001 | |
2.060% due 03/16/2018 | | | | | 900 | | | | | | 901 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,902 | |
| | | | | | | | | | | | |
| |
| COMMERCIAL PAPER 0.4% | |
Bank of Montreal | |
1.285% due 01/17/2018 | | CAD | | | 300 | | | | | | 239 | |
HSBC Bank Canada | |
1.318% due 01/17/2018 | | | | | 400 | | | | | | 318 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 557 | |
| | | | | | | | | | | | |
| |
| JAPAN TREASURY BILLS 0.1% | |
(0.299)% due 02/13/2018 (b)(c) | | JPY | | | 18,300 | | | | | | 162 | |
| | | | | | | | | | | | |
| |
| U.K. TREASURY BILLS 1.2% | |
0.057% due 01/29/2018 (a)(b)(c) | | GBP | | | 1,220 | | | | | | 1,647 | |
| | | | | | | | | | | | |
Total Short-Term Instruments
(Cost $4,239) | | | 4,268 | |
| | | | | | | | | | | | |
| |
Total Investments in Securities
(Cost $250,614) | | | 252,935 | |
| | | | | | | | | | | | |
Total Investments 178.0%
(Cost $250,614) | | | $ | | | 252,935 | |
| | | | | | | | | | | | |
Financial Derivative
Instruments (h)(j) (1.0)% | | | | | | | |
| (Cost or Premiums, net $(1,556)) | | | | | | (1,436 | ) |
| | | | | | | | | | | | |
| Other Assets and Liabilities, net (77.0)% | | | | | | (109,418 | ) |
| | | | | | | | | | | | |
| Net Assets 100.0% | | | $ | | | 142,081 | |
| | | | | | | | | | | | |
| | | | | | |
| 94 | | PIMCO MANAGED ACCOUNTS TRUST | | | | See Accompanying Notes |
December 31, 2017
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*, EXCEPT NUMBER OF CONTRACTS AND UNITS):
| * | A zero balance may reflect actual amounts rounding to less than one thousand. |
| ~ | 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. |
| (a) | Coupon represents a weighted average yield to maturity. |
| (c) | Coupon represents a yield to maturity. |
| (d) | Principal amount of security is adjusted for inflation. |
| (e) | Perpetual maturity; date shown, if applicable, represents next contractual call date. |
| (f) | Contingent Convertible Corporate Bond |
BORROWINGS AND OTHER FINANCING TRANSACTIONS
SALE-BUYBACK TRANSACTIONS:
| | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Borrowing
Rate(1) | | | Borrowing
Date | | | Maturity
Date | | | Amount
Borrowed(1) | | | Payable for
Sale-Buyback
Transactions(2) | |
TDM | | | 1.300 | % | | | 10/26/2017 | | | | 01/12/2018 | | | $ | (3,136 | ) | | $ | (3,135 | ) |
| | | 1.300 | | | | 11/01/2017 | | | | 01/26/2018 | | | | (39,007 | ) | | | (38,974 | ) |
| | | 1.310 | | | | 10/27/2017 | | | | 01/12/2018 | | | | (3,235 | ) | | | (3,234 | ) |
| | | 1.380 | | | | 11/10/2017 | | | | 01/10/2018 | | | | (46,132 | ) | | | (46,118 | ) |
| | | 1.410 | | | | 11/16/2017 | | | | 01/12/2018 | | | | (3,166 | ) | | | (3,165 | ) |
| | | 1.700 | | | | 12/13/2017 | | | | 01/03/2018 | | | | (6,630 | ) | | | (6,629 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Sale-Buyback Transactions | | | | | | | $ | (101,255 | ) |
| | | | | | | | | | | | | | | | | | | | |
SHORT SALES:
| | | | | | | | | | | | | | | | | | | | |
| Description | | Coupon | | | Maturity
Date | | | Principal
Amount | | | Proceeds | | | Payable for
Short Sales | |
U.S. Government Agencies (2.1)% | |
Fannie Mae, TBA | | | 3.000% | | | | 02/01/2048 | | | $ | 3,000 | | | $ | (2,984 | ) | | $ | (2,997 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Short Sales (2.1)% | | | | | | | | | | | | | | $ | (2,984 | ) | | $ | (2,997 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | DECEMBER 31, 2017 | | 95 |
Schedule of Investments PIMCO Fixed Income SHares: Series R (Cont.)
BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY
The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral pledged/(received) as of December 31, 2017:
| | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Repurchase
Agreement
Proceeds to be
Received | | | Payable for
Reverse
Repurchase
Agreements | | | Payable for
Sale-Buyback
Transactions | | | Total
Borrowings and
Other Financing
Transactions | | | Collateral
Pledged/
(Received) | | | Net Exposure(3) | |
Master Securities Forward Transaction Agreement | |
TDM | | $ | 0 | | | $ | 0 | | | $ | (101,255 | ) | | $ | (101,255) | | | $ | 101,211 | | | $ | | (44) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Borrowings and Other Financing Transactions | | $ | 0 | | | $ | 0 | | | $ | (101,255) | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS
Remaining Contractual Maturity of the Agreements
| | | | | | | | | | | | | | | | | | | | |
| | | Overnight and
Continuous | | | Up to 30 days | | | 31-90 days | | | Greater Than 90 days | | | Total | |
Sale-Buyback Transactions | |
U.S. Treasury Obligations | | $ | 0 | | | $ | (101,255 | ) | | $ | 0 | | | $ | 0 | | | $ | (101,255 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Borrowings | | $ | 0 | | | $ | (101,255) | | | $ | 0 | | | $ | 0 | | | $ | (101,255) | |
| | | | | | | | | | | | | | | | | | | | |
Payable for sale-buyback financing transactions | | | $ | (101,255 | ) |
| | | | | | | | | | | | | | | | | | | | |
| (g) | Securities with an aggregate market value of $101,211 have been pledged as collateral under the terms of master agreements as of December 31, 2017. |
| (1) | The average amount of borrowings outstanding during the period ended December 31, 2017 was $(83,676) at a weighted average interest rate of 1.099%. Average borrowings may include sale-buyback transactions and reverse repurchase agreements, if held during the period. |
| (2) | Payable for sale-buyback transactions includes $(52) of deferred price drop. |
| (3) | Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information regarding master netting arrangements. |
(h) FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED
PURCHASED OPTIONS:
OPTIONS ON EXCHANGE-TRADED FUTURES CONTRACTS
| | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Strike
Price | | | Expiration
Date | | | # of
Contracts | | | Notional
Amount | | | Cost | | | Market
Value | |
Call - CBOT U.S. Treasury 5-Year Note March Futures | | $ | 123.000 | | | | 02/23/2018 | | | | 187 | | | $ | 187 | | | $ | 2 | | | $ | 0 | |
Call - CBOT U.S. Treasury 5-Year Note March Futures | | | 124.000 | | | | 02/23/2018 | | | | 28 | | | | 28 | | | | 0 | | | | 0 | |
Put - CBOT U.S. Treasury 10-Year Note March Futures | | | 113.000 | | | | 02/23/2018 | | | | 4 | | | | 4 | | | | 0 | | | | 0 | |
Put - CBOT U.S. Treasury 10-Year Note March Futures | | | 113.500 | | | | 02/23/2018 | | | | 205 | | | | 205 | | | | 2 | | | | 0 | |
Put - CBOT U.S. Treasury 10-Year Note March Futures | | | 114.000 | | | | 02/23/2018 | | | | 16 | | | | 16 | | | | 0 | | | | 0 | |
Call - CBOT U.S. Treasury 30-Year Bond March Futures | | | 183.000 | | | | 02/23/2018 | | | | 6 | | | | 6 | | | | 0 | | | | 0 | |
Call - CBOT U.S. Treasury 30-Year Bond March Futures | | | 184.000 | | | | 02/23/2018 | | | | 6 | | | | 6 | | | | 0 | | | | 0 | |
Call - CBOT U.S. Treasury 30-Year Bond March Futures | | | 188.000 | | | | 02/23/2018 | | | | 16 | | | | 16 | | | | 0 | | | | 0 | |
Call - CBOT U.S. Treasury 30-Year Bond March Futures | | | 190.000 | | | | 02/23/2018 | | | | 3 | | | | 3 | | | | 0 | | | | 0 | |
| | | | | | |
| 96 | | PIMCO MANAGED ACCOUNTS TRUST | | | | See Accompanying Notes |
December 31, 2017
| | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Strike
Price | | | Expiration
Date | | | # of
Contracts | | | Notional
Amount | | | Cost | | | Market
Value | |
Call - CBOT U.S. Treasury 30-Year Bond March Futures | | $ | 192.000 | | | | 02/23/2018 | | | | 23 | | | $ | 23 | | | $ | 0 | | | $ | 0 | |
Put - CME 90-Day Eurodollar March Futures | | | 98.250 | | | | 03/19/2018 | | | | 195 | | | | 488 | | | | 19 | | | | 26 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 23 | | | $ | 26 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Purchased Options | | | $ | 23 | | | $ | 26 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
WRITTEN OPTIONS:
OPTIONS ON EXCHANGE-TRADED FUTURES CONTRACTS
| | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Strike
Price | | | Expiration
Date | | | # of
Contracts | | | Notional
Amount | | | Premiums
(Received) | | | Market
Value | |
Put - CBOT U.S. Treasury 10-Year Note February Futures | | $ | 123.500 | | | | 01/26/2018 | | | | 8 | | | $ | 8 | | | $ | (2 | ) | | $ | (2 | ) |
Call - CBOT U.S. Treasury 10-Year Note February Futures | | | 124.000 | | | | 01/26/2018 | | | | 9 | | | | 9 | | | | (3 | ) | | | (4 | ) |
Call - CBOT U.S. Treasury 10-Year Note March Futures | | | 124.500 | | | | 02/23/2018 | | | | 9 | | | | 9 | | | | (4 | ) | | | (4 | ) |
Call - CBOT U.S. Treasury 30-Year Bond March Futures | | | 154.000 | | | | 02/23/2018 | | | | 6 | | | | 6 | | | | (8 | ) | | | (8 | ) |
Call - CME 90-Day Eurodollar March Futures | | | 98.750 | | | | 03/19/2018 | | | | 195 | | | | 488 | | | | (22 | ) | | | (1 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | (39 | ) | | $ | (19 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Written Options | | | | | | | | | | | | | | | | | | $ | (39 | ) | | $ | (19 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
FUTURES CONTRACTS:
LONG FUTURES CONTRACTS
| | | | | | | | | | | | | | | | | | | | | | |
| Description | | Expiration
Month | | # of
Contracts | | | Notional
Amount | | | Unrealized
Appreciation/
(Depreciation) | | | Variation Margin | |
| | | | | | Asset | | | Liability | |
U.S. Treasury 10-Year Note March Futures | | 03/2018 | | | 210 | | | $ | 26,050 | | | $ | (131 | ) | | $ | 44 | | | $ | 0 | |
| | | | | | | | | | | | | | | | | | | | | | |
SHORT FUTURES CONTRACTS
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Description | | Expiration
Month | | | # of
Contracts | | | Notional
Amount | | | Unrealized
Appreciation/
(Depreciation) | | | Variation Margin | |
| | | | | | Asset | | | Liability | |
Call Options Strike @ EUR 165.000 on Euro-Bund 10-Year Bond March Futures | | | 02/2018 | | | | 25 | | | | EUR | | | | (3 | ) | | $ | 10 | | | $ | 2 | | | $ | 0 | |
Call Options Strike @ EUR 165.500 on Euro-Bund 10-Year Bond March Futures | | | 02/2018 | | | | 10 | | | | | | | | (1 | ) | | | 4 | | | | 0 | | | | 0 | |
Call Options Strike @ EUR 176.500 on Euro-Bund 10-Year Bond March Futures | | | 02/2018 | | | | 41 | | | | | | | | 0 | | | | 0 | | | | 0 | | | | 0 | |
Euro-Bund 10-Year Bond March Futures | | | 03/2018 | | | | 6 | | | | | | | | (1,164 | ) | | | 12 | | | | 4 | | | | 0 | |
Euro-OAT France Government 10-Year Bond March Futures | | | 03/2018 | | | | 20 | | | | | | | | (3,724 | ) | | | 35 | | | | 17 | | | | 0 | |
Japan Government 10-Year Bond March Futures | | | 03/2018 | | | | 6 | | | | JPY | | | | (8,029 | ) | | | 5 | | | | 0 | | | | (5 | ) |
Put Options Strike @ EUR 161.500 on Euro-Bund 10-Year Bond March Futures | | | 02/2018 | | | | 10 | | | | EUR | | | | (11 | ) | | | (5 | ) | | | 0 | | | | (3 | ) |
U.S. Treasury 5-Year Note March Futures | | | 03/2018 | | | | 184 | | | | $ | | | | (21,374) | | | | 104 | | | | 0 | | | | (17 | ) |
U.S. Treasury 30-Year Bond March Futures | | | 03/2018 | | | | 55 | | | | | | | | (8,415 | ) | | | 12 | | | | 0 | | | | (14 | ) |
United Kingdom Long Gilt March Futures | | | 03/2018 | | | | 26 | | | | GBP | | | | (4,394 | ) | | | (31 | ) | | | 10 | | | | (3 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | 146 | | | $ | 33 | | | $ | (42 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Futures Contracts | | | $ | 15 | | | $ | 77 | | | $ | (42 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | DECEMBER 31, 2017 | | 97 |
Schedule of Investments PIMCO Fixed Income SHares: Series R (Cont.)
SWAP AGREEMENTS:
CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION(1)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Index/
Tranches | | Fixed
(Pay) Rate | | | Payment
Frequency | | | Maturity
Date | | | Notional
Amount(2) | | | Premiums
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | | | Market
Value(3) | | | Variation Margin | |
| | | | | | | | | Asset | | | Liability | |
CDX.HY-29 5-Year Index | | | (5.000 | )% | | | Quarterly | | | | 12/20/2022 | | | | $ | | | | 3,700 | | | $ | (285 | ) | | $ | (28 | ) | | $ | (313 | ) | | $ | 0 | | | $ | (6 | ) |
iTraxx Europe Main 26 5-Year Index | | | (1.000 | ) | | | Quarterly | | | | 12/20/2021 | | | | EUR | | | | 1,900 | | | | (33 | ) | | | (30 | ) | | | (63 | ) | | | 0 | | | | 0 | |
iTraxx Europe Main 28 5-Year Index | | | (1.000 | ) | | | Quarterly | | | | 12/20/2022 | | | | | | | | 5,200 | | | | (138 | ) | | | (34 | ) | | | (172 | ) | | | 1 | | | | 0 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | $ | (456 | ) | | $ | (92 | ) | | $ | (548 | ) | | $ | 1 | | | $ | (6 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
INTEREST RATE SWAPS
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Pay/
Receive
Floating
Rate | | Floating Rate Index | | Fixed
Rate | | | Payment
Frequency | | Maturity
Date | | | Notional
Amount | | | Premiums
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | | | Market
Value | | | Variation Margin | |
| | | | | | | | | | Asset | | | Liability | |
Receive | | 1-Day USD-Federal
Funds Rate
Compounded-OIS | | | 2.000 | % | | Annual | | | 12/15/2047 | | | | $ | | | | 1,190 | | | $ | 2 | | | $ | 38 | | | $ | 40 | | | $ | 0 | | | $ | 0 | |
Pay | | 1-Year BRL-CDI | | | 9.650 | | | Maturity | | | 01/02/2025 | | | | BRL | | | | 6,800 | | | | (19) | | | | (14 | ) | | | (33 | ) | | | 0 | | | | (3 | ) |
Receive(4) | | 3-Month NZD-BBR | | | 3.250 | | | Semi-Annual | | | 03/21/2028 | | | | NZD | | | | 1,200 | | | | 4 | | | | (9 | ) | | | (5 | ) | | | 0 | | | | (3 | ) |
Pay | | 3-Month USD-LIBOR | | | 1.250 | | | Semi-Annual | | | 06/15/2018 | | | | $ | | | | 3,800 | | | | 16 | | | | (25 | ) | | | (9 | ) | | | 0 | | | | 0 | |
Receive | | 3-Month USD-LIBOR | | | 1.250 | | | Semi-Annual | | | 06/21/2019 | | | | | | | | 20,700 | | | | 124 | | | | 101 | | | | 225 | | | | 0 | | | | (1 | ) |
Receive | | 3-Month USD-LIBOR | | | 2.000 | | | Semi-Annual | | | 12/20/2019 | | | | | | | | 100 | | | | (1 | ) | | | 1 | | | | 0 | | | | 0 | | | | 0 | |
Pay | | 3-Month USD-LIBOR | | | 2.250 | | | Semi-Annual | | | 12/16/2022 | | | | | | | | 7,200 | | | | 16 | | | | (14 | ) | | | 2 | | | | 7 | | | | 0 | |
Pay | | 3-Month USD-LIBOR | | | 2.250 | | | Semi-Annual | | | 12/20/2022 | | | | | | | | 4,700 | | | | 6 | | | | (5 | ) | | | 1 | | | | 5 | | | | 0 | |
Pay(4) | | 3-Month USD-LIBOR | | | 2.678 | | | Semi-Annual | | | 10/25/2023 | | | | | | | | 2,000 | | | | 0 | | | | 29 | | | | 29 | | | | 2 | | | | 0 | |
Pay(4) | | 3-Month USD-LIBOR | | | 2.670 | | | Semi-Annual | | | 11/19/2023 | | | | | | | | 2,000 | | | | 0 | | | | 28 | | | | 28 | | | | 2 | | | | 0 | |
Pay(4) | | 3-Month USD-LIBOR | | | 2.681 | | | Semi-Annual | | | 12/12/2023 | | | | | | | | 2,000 | | | | 0 | | | | 29 | | | | 29 | | | | 2 | | | | 0 | |
Pay(4) | | 3-Month USD-LIBOR | | | 2.500 | | | Semi-Annual | | | 12/19/2023 | | | | | | | | 3,000 | | | | (24 | ) | | | 41 | | | | 17 | | | | 3 | | | | 0 | |
Receive(4) | | 3-Month USD-LIBOR | | | 2.500 | | | Semi-Annual | | | 02/22/2026 | | | | | | | | 13,890 | | | | (44 | ) | | | 39 | | | | (5 | ) | | | 0 | | | | (16 | ) |
Receive(4) | | 3-Month USD-LIBOR | | | 2.400 | | | Semi-Annual | | | 03/16/2026 | | | | | | | | 8,600 | | | | 0 | | | | 36 | | | | 36 | | | | 0 | | | | (10 | ) |
Receive(4) | | 3-Month USD-LIBOR | | | 2.300 | | | Semi-Annual | | | 04/21/2026 | | | | | | | | 5,000 | | | | (21 | ) | | | 65 | | | | 44 | | | | 0 | | | | (6 | ) |
Receive(4) | | 3-Month USD-LIBOR | | | 2.300 | | | Semi-Annual | | | 04/27/2026 | | | | | | | | 5,900 | | | | (23 | ) | | | 76 | | | | 53 | | | | 0 | | | | (7 | ) |
Receive(4) | | 3-Month USD-LIBOR | | | 1.850 | | | Semi-Annual | | | 07/27/2026 | | | | | | | | 1,600 | | | | (3 | ) | | | 50 | | | | 47 | | | | 0 | | | | (2 | ) |
Receive(4) | | 3-Month USD-LIBOR | | | 2.000 | | | Semi-Annual | | | 07/27/2026 | | | | | | | | 11,500 | | | | 194 | | | | 67 | | | | 261 | | | | 0 | | | | (13 | ) |
Receive(4) | | 3-Month USD-LIBOR | | | 2.400 | | | Semi-Annual | | | 12/07/2026 | | | | | | | | 19,000 | | | | 154 | | | | (39 | ) | | | 115 | | | | 0 | | | | (21 | ) |
Receive | | 3-Month USD-LIBOR | | | 1.750 | | | Semi-Annual | | | 12/21/2026 | | | | | | | | 3,860 | | | | (112 | ) | | | 307 | | | | 195 | | | | 0 | | | | (7 | ) |
Receive | | 3-Month USD-LIBOR | | | 2.500 | | | Semi-Annual | | | 12/20/2027 | | | | | | | | 2,500 | | | | (26 | ) | | | 7 | | | | (19 | ) | | | 0 | | | | (5 | ) |
Pay | | 3-Month USD-LIBOR | | | 2.250 | | | Semi-Annual | | | 12/21/2046 | | | | | | | | 1,300 | | | | (116 | ) | | | 27 | | | | (89 | ) | | | 4 | | | | 0 | |
Pay | | 3-Month USD-LIBOR | | | 1.750 | | | Semi-Annual | | | 06/21/2047 | | | | | | | | 1,700 | | | | (318 | ) | | | 16 | | | | (302 | ) | | | 6 | | | | 0 | |
Pay | | 3-Month USD-LIBOR | | | 2.750 | | | Semi-Annual | | | 12/20/2047 | | | | | | | | 3,940 | | | | 121 | | | | 35 | | | | 156 | | | | 15 | | | | 0 | |
Receive(4) | | 3-Month USD-LIBOR | | | 2.500 | | | Semi-Annual | | | 06/20/2048 | | | | | | | | 1,130 | | | | 23 | | | | (1 | ) | | | 22 | | | | 0 | | | | (4 | ) |
Receive(4) | | 3-Month USD-LIBOR | | | 2.969 | | | Semi-Annual | | | 10/25/2048 | | | | | | | | 360 | | | | 0 | | | | (29 | ) | | | (29 | ) | | | 0 | | | | (1 | ) |
Receive(4) | | 3-Month USD-LIBOR | | | 2.951 | | | Semi-Annual | | | 11/19/2048 | | | | | | | | 300 | | | | 0 | | | | (23 | ) | | | (23 | ) | | | 0 | | | | (1 | ) |
Receive(4) | | 3-Month USD-LIBOR | | | 2.953 | | | Semi-Annual | | | 12/12/2048 | | | | | | | | 300 | | | | 0 | | | | (23 | ) | | | (23 | ) | | | 0 | | | | (1 | ) |
Receive(4) | | 3-Month USD-LIBOR | | | 2.750 | | | Semi-Annual | | | 12/19/2048 | | | | | | | | 700 | | | | 19 | | | | (41 | ) | | | (22 | ) | | | 0 | | | | (2 | ) |
Receive(4) | | 6-Month GBP-LIBOR | | | 1.500 | | | Semi-Annual | | | 03/21/2028 | | | | GBP | | | | 6,210 | | | | (213 | ) | | | 53 | | | | (160 | ) | | | 15 | | | | 0 | |
Receive(4) | | 6-Month GBP-LIBOR | | | 1.750 | | | Semi-Annual | | | 03/21/2048 | | | | | | | | 1,200 | | | | (35 | ) | | | (93 | ) | | | (128 | ) | | | 5 | | | | 0 | |
Receive | | 6-Month JPY-LIBOR | | | 0.300 | | | Semi-Annual | | | 09/20/2027 | | | | JPY | | | | 390,000 | | | | (7 | ) | | | 9 | | | | 2 | | | | 1 | | | | 0 | |
Receive(4) | | 6-Month JPY-LIBOR | | | 0.300 | | | Semi-Annual | | | 03/20/2028 | | | | | | | | 170,000 | | | | (3 | ) | | | 10 | | | | 7 | | | | 0 | | | | 0 | |
Receive(4) | | 6-Month JPY-LIBOR | | | 0.450 | | | Semi-Annual | | | 03/20/2029 | | | | | | | | 360,000 | | | | (20 | ) | | | 14 | | | | (6 | ) | | | 0 | | | | (2 | ) |
Pay | | 28-Day MXN-TIIE | | | 7.200 | | | Lunar | | | 06/05/2024 | | | | MXN | | | | 16,600 | | | | 0 | | | | (30 | ) | | | (30 | ) | | | 6 | | | | 0 | |
| | | | | | |
| 98 | | PIMCO MANAGED ACCOUNTS TRUST | | | | See Accompanying Notes |
December 31, 2017
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Pay/
Receive
Floating Rate | | Floating Rate
Index | | | Fixed
Rate | | | Payment
Frequency | | | Maturity
Date | | | Notional
Amount | | | Premiums
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | | | Market
Value | | | Variation Margin | |
| | | | | | | | | | Asset | | | Liability | |
Pay | | | 28-Day MXN-TIIE | | | | 7.733 | % | | | Lunar | | | | 02/25/2027 | | | | MXN | | | | 11,600 | | | $ | 17 | | | $ | (26 | ) | | $ | (9 | ) | | $ | 6 | | | $ | 0 | |
Pay | | | 28-Day MXN-TIIE | | | | 7.200 | | | | Lunar | | | | 06/11/2027 | | | | | | | | 3,100 | | | | 2 | | | | (10 | ) | | | (8 | ) | | | 2 | | | | 0 | |
Pay | | | 28-Day MXN-TIIE | | | | 8.280 | | | | Lunar | | | | 11/28/2036 | | | | | | | | 4,000 | | | | 20 | | | | (18 | ) | | | 2 | | | | 3 | | | | 0 | |
Pay | | | 28-Day MXN-TIIE | | | | 8.310 | | | | Lunar | | | | 11/28/2036 | | | | | | | | 100 | | | | 1 | | | | (1 | ) | | | 0 | | | | 0 | | | | 0 | |
Pay | | | 28-Day MXN-TIIE | | | | 7.480 | | | | Lunar | | | | 06/18/2037 | | | | | | | | 4,080 | | | | 0 | | | | (15 | ) | | | (15 | ) | | | 3 | | | | 0 | |
Receive | | | CPTFEMU | | | | 1.385 | | | | Maturity | | | | 12/15/2026 | | | | EUR | | | | 910 | | | | 0 | | | | 0 | | | | 0 | | | | 16 | | | | 0 | |
Receive | | | CPTFEMU | | | | 1.360 | | | | Maturity | | | | 06/15/2027 | | | | | | | | 1,500 | | | | (22 | ) | | | (13 | ) | | | (35 | ) | | | 0 | | | | (2 | ) |
Receive | | | CPTFEMU | | | | 1.520 | | | | Maturity | | | | 11/15/2027 | | | | | | | | 4,500 | | | | (3 | ) | | | (23 | ) | | | (26 | ) | | | 0 | | | | (6 | ) |
Pay | | | CPURNSA | | | | 1.710 | | | | Maturity | | | | 04/27/2018 | | | | $ | | | | 3,200 | | | | 0 | | | | 1 | | | | 1 | | | | 0 | | | | 0 | |
Pay | | | CPURNSA | | | | 1.580 | | | | Maturity | | | | 05/23/2018 | | | | | | | | 2,800 | | | | 1 | | | | 8 | | | | 9 | | | | 0 | | | | (1 | ) |
Receive | | | CPURNSA | | | | 2.078 | | | | Maturity | | | | 03/29/2019 | | | | | | | | 11,500 | | | | 0 | | | | 57 | | | | 57 | | | | 0 | | | | (10 | ) |
Receive | | | CPURNSA | | | | 1.935 | | | | Maturity | | | | 04/27/2019 | | | | | | | | 3,200 | | | | 0 | | | | 5 | | | | 5 | | | | 0 | | | | (6 | ) |
Receive | | | CPURNSA | | | | 2.070 | | | | Maturity | | | | 10/04/2019 | | | | | | | | 200 | | | | 0 | | | | (1 | ) | | | (1 | ) | | | 0 | | | | 0 | |
Pay | | | CPURNSA | | | | 2.027 | | | | Maturity | | | | 11/23/2020 | | | | | | | | 1,400 | | | | 0 | | | | 3 | | | | 3 | | | | 1 | | | | 0 | |
Pay | | | CPURNSA | | | | 2.021 | | | | Maturity | | | | 11/25/2020 | | | | | | | | 1,300 | | | | 0 | | | | 3 | | | | 3 | | | | 1 | | | | 0 | |
Pay | | | CPURNSA | | | | 1.550 | | | | Maturity | | | | 07/26/2021 | | | | | | | | 900 | | | | 30 | | | | (6 | ) | | | 24 | | | | 1 | | | | 0 | |
Pay | | | CPURNSA | | | | 1.603 | | | | Maturity | | | | 09/12/2021 | | | | | | | | 770 | | | | 23 | | | | (5 | ) | | | 18 | | | | 1 | | | | 0 | |
Receive | | | CPURNSA | | | | 1.730 | | | | Maturity | | | | 07/26/2026 | | | | | | | | 900 | | | | (48 | ) | | | 8 | | | | (40 | ) | | | 0 | | | | (1 | ) |
Receive | | | CPURNSA | | | | 1.762 | | | | Maturity | | | | 08/30/2026 | | | | | | | | 1,100 | | | | (54 | ) | | | 10 | | | | (44 | ) | | | 0 | | | | (1 | ) |
Receive | | | CPURNSA | | | | 0.000 | | | | Maturity | | | | 09/12/2026 | | | | | | | | 1,900 | | | | (19 | ) | | | (51 | ) | | | (70 | ) | | | 0 | | | | (2 | ) |
Receive | | | CPURNSA | | | | 1.801 | | | | Maturity | | | | 09/12/2026 | | | | | | | | 770 | | | | (36 | ) | | | 8 | | | | (28 | ) | | | 0 | | | | (1 | ) |
Receive | | | CPURNSA | | | | 1.805 | | | | Maturity | | | | 09/12/2026 | | | | | | | | 600 | | | | (27 | ) | | | 5 | | | | (22 | ) | | | 0 | | | | (1 | ) |
Receive | | | CPURNSA | | | | 1.780 | | | | Maturity | | | | 09/15/2026 | | | | | | | | 1,300 | | | | (63 | ) | | | 12 | | | | (51 | ) | | | 0 | | | | (1 | ) |
Receive | | | CPURNSA | | | | 2.080 | | | | Maturity | | | | 07/25/2027 | | | | | | | | 1,200 | | | | 0 | | | | (18 | ) | | | (18 | ) | | | 0 | | | | (1 | ) |
Receive | | | CPURNSA | | | | 2.122 | | | | Maturity | | | | 08/01/2027 | | | | | | | | 100 | | | | 0 | | | | (1 | ) | | | (1 | ) | | | 0 | | | | 0 | |
Receive | | | CPURNSA | | | | 2.180 | | | | Maturity | | | | 09/20/2027 | | | | | | | | 580 | | | | 0 | | | | (5 | ) | | | (5 | ) | | | 0 | | | | (1 | ) |
Receive | | | CPURNSA | | | | 2.150 | | | | Maturity | | | | 09/25/2027 | | | | | | | | 600 | | | | 0 | | | | (7 | ) | | | (7 | ) | | | 0 | | | | (1 | ) |
Receive | | | CPURNSA | | | | 2.156 | | | | Maturity | | | | 10/17/2027 | | | | | | | | 1,300 | | | | 0 | | | | (14 | ) | | | (14 | ) | | | 0 | | | | (2 | ) |
Receive | | | UKRPI | | | | 3.190 | | | | Maturity | | | | 04/15/2030 | | | | GBP | | | | 1,500 | | | | (85 | ) | | | 51 | | | | (34 | ) | | | 6 | | | | 0 | |
Receive | | | UKRPI | | | | 3.350 | | | | Maturity | | | | 05/15/2030 | | | | | | | | 1,800 | | | | (18 | ) | | | 46 | | | | 28 | | | | 7 | | | | 0 | |
Receive | | | UKRPI | | | | 3.400 | | | | Maturity | | | | 06/15/2030 | | | | | | | | 1,000 | | | | 17 | | | | 6 | | | | 23 | | | | 5 | | | | 0 | |
Receive | | | UKRPI | | | | 3.325 | | | | Maturity | | | | 08/15/2030 | | | | | | | | 3,950 | | | | (39 | ) | | | 23 | | | | (16 | ) | | | 15 | | | | 0 | |
Receive | | | UKRPI | | | | 3.140 | | | | Maturity | | | | 04/15/2031 | | | | | | | | 40 | | | | (4 | ) | | | 1 | | | | (3 | ) | | | 0 | | | | 0 | |
Receive | | | UKRPI | | | | 3.530 | | | | Maturity | | | | 10/15/2031 | | | | | | | | 350 | | | | 9 | | | | (3 | ) | | | 6 | | | | 1 | | | | 0 | |
Receive | | | UKRPI | | | | 3.470 | | | | Maturity | | | | 09/15/2032 | | | | | | | | 2,630 | | | | (2 | ) | | | (6 | ) | | | (8 | ) | | | 11 | | | | 0 | |
Receive | | | UKRPI | | | | 3.358 | | | | Maturity | | | | 04/15/2035 | | | | | | | | 700 | | | | (24 | ) | | | 16 | | | | (8 | ) | | | 4 | | | | 0 | |
Pay | | | UKRPI | | | | 3.585 | | | | Maturity | | | | 10/15/2046 | | | | | | | | 980 | | | | (73 | ) | | | 20 | | | | (53 | ) | | | 0 | | | | (12 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | $ | (703 | ) | | $ | 792 | | | $ | 89 | | | $ | 156 | | | $ | (154 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Swap Agreements | | | $ | (1,159 | ) | | $ | 700 | | | $ | (459 | ) | | $ | 157 | | | $ | (160) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED SUMMARY
The following is a summary of the market value and variation margin of Exchange-Traded or Centrally Cleared Financial Derivative Instruments as of December 31, 2017:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Financial Derivative Assets | | | | | | Financial Derivative Liabilities | |
| | | Market Value | | | Variation Margin
Asset | | | | | | | | | Market Value | | | Variation Margin
Liability | | | | |
| | | Purchased
Options | | | Futures | | | Swap
Agreements | | | Total | | | | | | Written
Options | | | Futures | | | Swap
Agreements | | | Total | |
Total Exchange-Traded or Centrally Cleared | | $ | 26 | | | $ | 77 | | | $ | 157 | | | $ | 260 | | | | | | | $ | (19) | | | $ | (42) | | | $ | (160) | | | $ | (221) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | DECEMBER 31, 2017 | | 99 |
Schedule of Investments PIMCO Fixed Income SHares: Series R (Cont.)
| (i) | Securities with an aggregate market value of $229 and cash of $2,392 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2017. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information regarding master netting arrangements. |
| (1) | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive 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 Portfolio 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 on credit indices 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 referenced indices’ credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| (4) | This instrument has a forward starting effective date. See Note 2, Securities Transactions and Investment Income, in the Notes to Financial Statements for further information. |
(j) FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER
FORWARD FOREIGN CURRENCY CONTRACTS:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Settlement
Month | | | Currency to
be Delivered | | | Currency to
be Received | | | Unrealized Appreciation/
(Depreciation) | |
| | | | | Asset | | | Liability | |
BOA | | | 01/2018 | | | | AUD | | | | 3,630 | | | | $ | | | | 2,754 | | | $ | 0 | | | $ | (78 | ) |
| | | 01/2018 | | | $ | | | | | 1,555 | | | | DKK | | | | 9,758 | | | | 18 | | | | 0 | |
| | | 01/2018 | | | | | | | | 413 | | | | GBP | | | | 308 | | | | 3 | | | | 0 | |
| | | 02/2018 | | | | | | | | 500 | | | | ARS | | | | 9,308 | | | | 0 | | | | (11 | ) |
| | | 02/2018 | | | | | | | | 340 | | | | ZAR | | | | 4,692 | | | | 37 | | | | 0 | |
| | | 04/2018 | | | | DKK | | | | 9,757 | | | | $ | | | | 1,564 | | | | 0 | | | | (18 | ) |
BPS | | | 01/2018 | | | | EUR | | | | 2,522 | | | | | | | | 3,007 | | | | 0 | | | | (21 | ) |
| | | 01/2018 | | | $ | | | | | 215 | | | | GBP | | | | 160 | | | | 1 | | | | 0 | |
| | | 02/2018 | | | | ARS | | | | 2,631 | | | | $ | | | | 139 | | | | 1 | | | | 0 | |
| | | 02/2018 | | | | JPY | | | | 18,300 | | | | | | | | 163 | | | | 0 | | | | 0 | |
| | | 05/2018 | | | $ | | | | | 74 | | | | ARS | | | | 1,516 | | | | 1 | | | | 0 | |
| | | 06/2018 | | | | | | | | 24 | | | | | | | | 477 | | | | 0 | | | | 0 | |
| | | 07/2018 | | | | BRL | | | | 12,500 | | | | $ | | | | 3,566 | | | | 0 | | | | (129 | ) |
BRC | | | 01/2018 | | | | GBP | | | | 1,000 | | | | | | | | 1,339 | | | | 0 | | | | (12 | ) |
CBK | | | 01/2018 | | | | BRL | | | | 1,848 | | | | | | | | 559 | | | | 2 | | | | 0 | |
| | | 01/2018 | | | | EUR | | | | 57 | | | | | | | | 68 | | | | 0 | | | | (1 | ) |
| | | 01/2018 | | | | GBP | | | | 220 | | | | | | | | 294 | | | | 0 | | | | (3 | ) |
| | | 01/2018 | | | $ | | | | | 18 | | | | ARS | | | | 323 | | | | 0 | | | | 0 | |
| | | 01/2018 | | | | | | | | 565 | | | | BRL | | | | 1,848 | | | | 0 | | | | (8 | ) |
| | | 01/2018 | | | | | | | | 379 | | | | DKK | | | | 2,401 | | | | 8 | | | | 0 | |
| | | 01/2018 | | | | | | | | 353 | | | | GBP | | | | 261 | | | | 0 | | | | 0 | |
| | | 03/2018 | | | | | | | | 707 | | | | INR | | | | 46,322 | | | | 13 | | | | 0 | |
| | | 04/2018 | | | | DKK | | | | 2,401 | | | | $ | | | | 382 | | | | 0 | | | | (8 | ) |
| | | 07/2018 | | | | BRL | | | | 1,600 | | | | | | | | 476 | | | | 3 | | | | 0 | |
DUB | | | 01/2018 | | | $ | | | | | 423 | | | | MXN | | | | 7,925 | | | | 0 | | | | (20 | ) |
| | | 07/2018 | | | | BRL | | | | 17,300 | | | | $ | | | | 5,037 | | | | 35 | | | | (112 | ) |
GLM | | | 01/2018 | | | | | | | | 1,848 | | | | | | | | 555 | | | | 0 | | | | (3 | ) |
| | | 01/2018 | | | | CAD | | | | 300 | | | | | | | | 234 | | | | 0 | | | | (5 | ) |
| | | 01/2018 | | | | MXN | | | | 7,925 | | | | | | | | 387 | | | | 0 | | | | (16 | ) |
| | | 01/2018 | | | $ | | | | | 429 | | | | ARS | | | | 7,837 | | | | 0 | | | | (10 | ) |
| | | 01/2018 | | | | | | | | 559 | | | | BRL | | | | 1,848 | | | | 0 | | | | (2 | ) |
| | | | | | |
| 100 | | PIMCO MANAGED ACCOUNTS TRUST | | | | See Accompanying Notes |
December 31, 2017
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Settlement
Month | | | Currency to
be Delivered | | | Currency to
be Received | | | Unrealized Appreciation/
(Depreciation) | |
| | | | | Asset | | | Liability | |
| | | 01/2018 | | | $ | | | | | 350 | | | | DKK | | | | 2,195 | | | $ | 4 | | | $ | 0 | |
| | | 01/2018 | | | | | | | | 406 | | | | GBP | | | | 303 | | | | 3 | | | | 0 | |
| | | 02/2018 | | | | | | | | 553 | | | | BRL | | | �� | 1,848 | | | | 3 | | | | 0 | |
| | | 05/2018 | | | | | | | | 81 | | | | ARS | | | | 1,636 | | | | 1 | | | | 0 | |
HUS | | | 01/2018 | | | | MXN | | | | 3,968 | | | | $ | | | | 211 | | | | 10 | | | | 0 | |
| | | 02/2018 | | | | PLN | | | | 446 | | | | | | | | 122 | | | | 0 | | | | (6 | ) |
| | | 02/2018 | | | $ | | | | | 321 | | | | ARS | | | | 6,004 | | | | 0 | | | | (5 | ) |
| | | 07/2018 | | | | BRL | | | | 21,200 | | | | $ | | | | 6,052 | | | | 0 | | | | (215 | ) |
IND | | | 01/2018 | | | | NZD | | | | 2,425 | | | | | | | | 1,679 | | | | 0 | | | | (40 | ) |
JPM | | | 01/2018 | | | | CAD | | | | 2,991 | | | | | | | | 2,325 | | | | 0 | | | | (55 | ) |
| | | 01/2018 | | | | GBP | | | | 433 | | | | | | | | 584 | | | | 0 | | | | 0 | |
| | | 01/2018 | | | $ | | | | | 167 | | | | DKK | | | | 1,055 | | | | 3 | | | | 0 | |
| | | 02/2018 | | | | ARS | | | | 1,801 | | | | $ | | | | 95 | | | | 0 | | | | 0 | |
| | | 07/2018 | | | $ | | | | | 2,304 | | | | BRL | | | | 7,500 | | | | 0 | | | | (87 | ) |
MSB | | | 08/2018 | | | | | | | | 38 | | | | ARS | | | | 798 | | | | 0 | | | | 0 | |
SCX | | | 01/2018 | | | | JPY | | | | 97,100 | | | | $ | | | | 875 | | | | 13 | | | | 0 | |
SSB | | | 01/2018 | | | $ | | | | | 341 | | | | RUB | | | | 19,944 | | | | 5 | | | | 0 | |
UAG | | | 01/2018 | | | | DKK | | | | 15,425 | | | | $ | | | | 2,462 | | | | 0 | | | | (24 | ) |
| | | 01/2018 | | | | GBP | | | | 7,547 | | | | | | | | 10,046 | | | | 0 | | | | (146 | ) |
| | | 03/2018 | | | | KRW | | | | 973,385 | | | | | | | | 875 | | | | 0 | | | | (36 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Forward Foreign Currency Contracts | | | $ | 164 | | | $ | (1,071 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
PURCHASED OPTIONS:
FOREIGN CURRENCY OPTIONS
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Description | | Strike
Price | | | Expiration
Date | | | Notional
Amount | | | Cost | | | Market
Value | |
| BPS | | Call - OTC AUD versus USD | | $ | | | 0.822 | | | | 01/18/2018 | | | | AUD | | | | 2,000 | | | $ | 0 | | | $ | 0 | |
| | Call - OTC EUR versus USD | | | | | 1.245 | | | | 01/18/2018 | | | | EUR | | | | 2,500 | | | | 1 | | | | 1 | |
| | Put - OTC USD versus CAD | | CAD | | | 1.213 | | | | 01/19/2018 | | | | $ | | | | 1,100 | | | | 0 | | | | 0 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | $ | 1 | | | $ | 1 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
INTEREST RATE SWAPTIONS
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Description | | Floating Rate Index | | | Pay/
Receive
Floating
Rate | | | Exercise
Rate | | | Expiration
Date | | | Notional
Amount | | | Cost | | | Market
Value | |
DUB | | Call - OTC 30-Year
Interest Rate Swap | | | 3-Month USD-LIBOR | | | | Pay | | | | 2.150 | % | | | 06/15/2018 | | | $ | 1,000 | | | $ | 100 | | | $ | 6 | |
| | Put - OTC 30-Year
Interest Rate Swap | | | 3-Month USD-LIBOR | | | | Receive | | | | 2.150 | | | | 06/15/2018 | | | | 1,000 | | | | 100 | | | | 101 | |
MYC | | Put - OTC 10-Year
Interest Rate Swap | | | 3-Month USD-LIBOR | | | | Receive | | | | 2.765 | | | | 07/16/2018 | | | | 3,300 | | | | 38 | | | | 19 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | $ | 238 | | | $ | 126 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
INTEREST RATE-CAPPED OPTIONS
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Description | | Exercise
Rate | | | Floating Rate Index | | | Expiration
Date | | | Notional
Amount | | | Cost | | | Market
Value | |
DUB | | Put - OTC 1-Year Interest Rate Floor (1) | | | 0.263 | % | | | 3-Month USD-LIBOR | | | | 03/29/2018 | | | $ | 16,600 | | | $ | 8 | | | $ | 0 | |
MYC | | Put - OTC 1-Year Interest Rate Floor (1) | | | 0.170 | | | | 3-Month USD-LIBOR | | | | 04/03/2018 | | | | 17,600 | | | | 5 | | | | 3 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 13 | | | $ | 3 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | DECEMBER 31, 2017 | | 101 |
Schedule of Investments PIMCO Fixed Income SHares: Series R (Cont.)
OPTIONS ON SECURITIES
| | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Description | | Strike
Price | | | Expiration
Date | | | Notional
Amount | | | Cost | | | Market
Value | |
| JPM | | Put - OTC Fannie Mae, TBA 3.500% due 01/01/2048 | | $ | 72.000 | | | | 01/04/2018 | | | $ | 17,000 | | | $ | 1 | | | $ | 0 | |
| | Put - OTC Fannie Mae, TBA 4.000% due 01/01/2048 | | | 73.000 | | | | 01/04/2018 | | | | 9,800 | | | | 0 | | | | 0 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | 1 | | | $ | 0 | |
| | | | | | | | | | | | | | | | | | | | | | |
Total Purchased Options | | | $ | 253 | | | $ | 130 | |
| | | | | | | | | | | | | | | | | | | | | | |
WRITTEN OPTIONS:
INFLATION-CAPPED OPTIONS
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Description | | Initial
Index | | | Floating Rate | | Expiration
Date(2) | | | Notional
Amount | | | Premiums
(Received) | | | Market
Value | |
| CBK | | Floor - OTC CPURNSA | | | 216.687 | | | Maximum of [(1 + 0.000%)10 - (Final Index/Initial Index)] or 0 | | | 04/07/2020 | | | | $ | | | | 32,200 | | | $ | (287 | ) | | $ | 0 | |
| | Floor - OTC CPURNSA | | | 217.965 | | | Maximum of [(1 + 0.000%)10 - (Final Index/Initial Index)] or 0 | | | 09/29/2020 | | | | | | | | 1,500 | | | | (19 | ) | | | 0 | |
| DUB | | Floor - OTC YOY CPURNSA | | | 233.546 | | | Maximum of [(1 + 0.000%) - (Final Index/Initial Index)] or 0 | | | 01/22/2018 | | | | | | | | 1,800 | | | | (17 | ) | | | 0 | |
| GLM | | Cap - OTC CPALEMU | | | 117.930 | | | Maximum of [(Final Index/Initial Index - 1) - 3.000%] or 0 | | | 06/22/2035 | | | | EUR | | | | 1,200 | | | | (55 | ) | | | (14 | ) |
| JPM | | Cap - OTC CPURNSA | | | 233.916 | | | Maximum of [(Final Index/Initial Index - 1) - 4.000%] or 0 | | | 04/22/2024 | | | | $ | | | | 6,500 | | | | (47 | ) | | | (1 | ) |
| | Cap - OTC CPURNSA | | | 234.781 | | | Maximum of [(Final Index/Initial Index - 1) - 4.000%] or 0 | | | 05/16/2024 | | | | | | | | 500 | | | | (4 | ) | | | 0 | |
| | Floor - OTC YOY CPURNSA | | | 234.810 | | | Maximum of [0.000% - (Final Index/Initial Index - 1)] or 0 | | | 03/24/2020 | | | | | | | | 4,800 | | | | (54 | ) | | | (9 | ) |
| | Floor - OTC YOY CPURNSA | | | 238.654 | | | Maximum of [0.000% - (Final Index/Initial Index - 1)] or 0 | | | 10/02/2020 | | | | | | | | 2,100 | | | | (39 | ) | | | (6 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | $ | (522 | ) | | $ | (30 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
INTEREST RATE-CAPPED OPTIONS
| | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Description | | Exercise
Rate | | | Floating Rate Index | | Expiration
Date | | | Notional
Amount | | | Premiums
(Received) | | | Market
Value | |
DUB | | Put - OTC 1-Year
Interest Rate Floor(1) | | | 0.230 | % | | 3-Month USD-LIBOR | | | 03/29/2018 | | | $ | 16,600 | | | $ | (8 | ) | | $ | 0 | |
MYC | | Put - OTC 1-Year
Interest Rate Floor(1) | | | 0.155 | | | 3-Month USD-LIBOR | | | 04/03/2018 | | | | 17,600 | | | | (6 | ) | | | (3 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | $ | (14 | ) | | $ | (3 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
OPTIONS ON SECURITIES
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Description | | Strike
Price | | | Expiration
Date | | | Notional
Amount | | | Premiums
(Received) | | | Market
Value | |
| GSC | | Put - OTC Fannie Mae, TBA 3.500% due 01/01/2048 | | $ | | | 101.984 | | | | 01/04/2018 | | | | $ | | | | 6,500 | | | $ | (13 | ) | | $ | 0 | |
| | Call - OTC Fannie Mae, TBA 3.500% due 01/01/2048 | | | | | 102.984 | | | | 01/04/2018 | | | | | | | | 6,500 | | | | (10 | ) | | | (2 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | $ | (23 | ) | | $ | (2 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Written Options | | | $ | (559 | ) | | $ | (35 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| 102 | | PIMCO MANAGED ACCOUNTS TRUST | | | | See Accompanying Notes |
December 31, 2017
SWAP AGREEMENTS:
CREDIT DEFAULT SWAPS ON SOVEREIGN ISSUES - SELL PROTECTION(3)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Counterparty | | Reference Entity | | Fixed
Receive
Rate | | | Payment
Frequency | | | Maturity
Date | | | Implied
Credit
Spread at
December 31,
2017(4) | | | Notional
Amount(5) | | | Premiums
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | | | Swap
Agreements,
at Value | |
| | | | | | | | | | Asset | | | Liability | |
FBF | | Brazil Government International Bond | | | 1.000 | % | | | Quarterly | | | | 06/20/2021 | | | | 1.093 | % | | $ | 300 | | | $ | (21 | ) | | $ | 20 | | | $ | 0 | | | $ | (1 | ) |
HUS | | Brazil Government International Bond | | | 1.000 | | | | Quarterly | | | | 03/20/2018 | | | | 0.373 | | | | 400 | | | | 1 | | | | 0 | | | | 1 | | | | 0 | |
| | Brazil Government International Bond | | | 1.000 | | | | Quarterly | | | | 06/20/2021 | | | | 1.093 | | | | 1,200 | | | | (83 | ) | | | 80 | | | | 0 | | | | (3 | ) |
| | Brazil Government International Bond | | | 1.000 | | | | Quarterly | | | | 06/20/2022 | | | | 1.442 | | | | 400 | | | | (26 | ) | | | 19 | | | | 0 | | | | (7 | ) |
JPM | | Brazil Government International Bond | | | 1.000 | | | | Quarterly | | | | 06/20/2021 | | | | 1.093 | | | | 200 | | | | (14 | ) | | | 13 | | | | 0 | | | | (1 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | $ | (143 | ) | | $ | 132 | | | $ | 1 | | | $ | (12 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION(3)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Index/Tranches | | Fixed
Receive Rate | | Payment
Frequency | | | Maturity
Date | | | Notional
Amount(5) | | | Premiums
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | | | Swap Agreements,
at Value(6) | |
| | | | | | | | | Asset | | | Liability | |
DUB | | CMBX.NA.AAA.7 Index | | 0.500% | | | Monthly | | | | 01/17/2047 | | | $ | | | | | 220 | | | $ | (7 | ) | | $ | 8 | | | $ | 1 | | | $ | 0 | |
| | CMBX.NA.AAA.8 Index | | 0.500 | | | Monthly | | | | 10/17/2057 | | | | | | | | 500 | | | | (22 | ) | | | 24 | | | | 2 | | | | 0 | |
MYC | | CMBX.NA.AAA.7 Index | | 0.500 | | | Monthly | | | | 01/17/2047 | | | | | | | | 180 | | | | (6 | ) | | | 7 | | | | 1 | | | | 0 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | $ | (35 | ) | | $ | 39 | | | $ | 4 | | | $ | 0 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
INTEREST RATE SWAPS
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Pay/
Receive
Floating
Rate | | Floating
Rate Index | | Fixed
Rate | | | Payment
Frequency | | | Maturity
Date | | | Notional
Amount | | | Premiums
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | | | Swap Agreements,
at Value | |
| | | | | | | | | | Asset | | | Liability | |
BOA | | Pay | | CPURNSA | | | 1.560% | | | | Maturity | | | | 12/17/2020 | | | | $ | | | | 1,700 | | | $ | 0 | | | $ | 34 | | | $ | 34 | | | $ | 0 | |
DUB | | Pay | | CPURNSA | | | 2.500 | | | | Maturity | | | | 07/15/2022 | | | | | | | | 5,000 | | | | 103 | | | | (550 | ) | | | 0 | | | | (447 | ) |
GLM | | Pay | | CPURNSA | | | 2.033 | | | | Maturity | | | | 04/15/2018 | | | | | | | | 5,300 | | | | 0 | | | | (187 | ) | | | 0 | | | | (187 | ) |
MYC | | Pay | | CPURNSA | | | 1.548 | | | | Maturity | | | | 12/21/2020 | | | | | | | | 4,000 | | | | 0 | | | | 84 | | | | 84 | | | | 0 | |
| | Pay | | CPURNSA | | | 1.788 | | | | Maturity | | | | 07/18/2026 | | | | | | | | 900 | | | | 0 | | | | (36 | ) | | | 0 | | | | (36 | ) |
| | Pay | | CPURNSA | | | 1.810 | | | | Maturity | | | | 07/19/2026 | | | | | | | | 1,500 | | | | 0 | | | | (56 | ) | | | 0 | | | | (56 | ) |
| | Pay | | CPURNSA | | | 1.800 | | | | Maturity | | | | 07/20/2026 | | | | | | | | 900 | | | | 0 | | | | (34 | ) | | | 0 | | | | (34 | ) |
| | Pay | | CPURNSA | | | 1.805 | | | | Maturity | | | | 09/20/2026 | | | | | | | | 300 | | | | 0 | | | | (11 | ) | | | 0 | | | | (11 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | $ | 103 | | | $ | (756 | ) | | $ | 118 | | | $ | (771 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | DECEMBER 31, 2017 | | 103 |
Schedule of Investments PIMCO Fixed Income SHares: Series R (Cont.)
TOTAL RETURN SWAPS ON INTEREST RATE INDICES
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Pay/
Receive(7) | | Underlying
Reference | | # of
Units | | | Financing
Rate | | Payment
Frequency | | Maturity
Date | | | Notional
Amount | | | Premiums
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | | | Swap
Agreements,
at Value | |
| | | | | | | | | | | Asset | | | Liability | |
GST | | Receive | | iBoxx USD Liquid High Yield Index | | | 1 | | | 3-Month USD-LIBOR plus a specified spread | | Maturity | | | 03/20/2018 | | | $ | | | | | 200 | | | $ | 0 | | | $ | (3 | ) | | $ | 0 | | | $ | (3 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | $ | 0 | | | $ | (3 | ) | | $ | 0 | | | $ | (3 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Swap Agreements | | | | | | | | | | | $ | (75 | ) | | $ | (588 | ) | | $ | 123 | | | $ | (786 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER SUMMARY
The following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral pledged as of December 31, 2017:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Financial Derivative Assets | | | | | | Financial Derivative Liabilities | | | | | | | | | | |
| Counterparty | | Forward
Foreign
Currency
Contracts | | | Purchased
Options | | | Swap
Agreements | | | Total
Over the
Counter | | | | | | Forward
Foreign
Currency
Contracts | | | Written
Options | | | Swap
Agreements | | | Total
Over the
Counter | | | Net Market
Value of OTC
Derivatives | | | Collateral
Pledged | | | Net
Exposure(8) | |
BOA | | $ | 58 | | | $ | 0 | | | $ | 34 | | | $ | 92 | | | | | | | $ | (107 | ) | | $ | 0 | | | $ | 0 | | | $ | (107 | ) | | $ | (15 | ) | | $ | 0 | | | $ | (15 | ) |
BPS | | | 3 | | | | 1 | | | | 0 | | | | 4 | | | | | | | | (150 | ) | | | 0 | | | | 0 | | | | (150 | ) | | | (146 | ) | | | 289 | | | | 143 | |
BRC | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | | | | | (12 | ) | | | 0 | | | | 0 | | | | (12 | ) | | | (12 | ) | | | 0 | | | | (12 | ) |
CBK | | | 26 | | | | 0 | | | | 0 | | | | 26 | | | | | | | | (20 | ) | | | 0 | | | | 0 | | | | (20 | ) | | | 6 | | | | 0 | | | | 6 | |
DUB | | | 35 | | | | 107 | | | | 3 | | | | 145 | | | | | | | | (132 | ) | | | 0 | | | | (447 | ) | | | (579 | ) | | | (434 | ) | | | 508 | | | | 74 | |
FBF | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | | | | | 0 | | | | 0 | | | | (1 | ) | | | (1 | ) | | | (1 | ) | | | 0 | | | | (1 | ) |
GLM | | | 11 | | | | 0 | | | | 0 | | | | 11 | | | | | | | | (36 | ) | | | (14 | ) | | | (187 | ) | | | (237 | ) | | | (226 | ) | | | 87 | | | | (139 | ) |
GSC | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | | | | | 0 | | | | (2 | ) | | | 0 | | | | (2 | ) | | | (2 | ) | | | 0 | | | | (2 | ) |
GST | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | | | | | 0 | | | | 0 | | | | (3 | ) | | | (3 | ) | | | (3 | ) | | | 0 | | | | (3 | ) |
HUS | | | 10 | | | | 0 | | | | 1 | | | | 11 | | | | | | | | (226 | ) | | | 0 | | | | (10 | ) | | | (236 | ) | | | (225 | ) | | | 217 | | | | (8 | ) |
IND | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | | | | | (40 | ) | | | 0 | | | | 0 | | | | (40 | ) | | | (40 | ) | | | 0 | | | | (40 | ) |
JPM | | | 3 | | | | 0 | | | | 0 | | | | 3 | | | | | | | | (142 | ) | | | (16 | ) | | | (1 | ) | | | (159 | ) | | | (156 | ) | | | 0 | | | | (156 | ) |
MYC | | | 0 | | | | 22 | | | | 85 | | | | 107 | | | | | | | | 0 | | | | (3 | ) | | | (137 | ) | | | (140 | ) | | | (33 | ) | | | 0 | | | | (33 | ) |
SCX | | | 13 | | | | 0 | | | | 0 | | | | 13 | | | | | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 13 | | | | 0 | | | | 13 | |
SSB | | | 5 | | | | 0 | | | | 0 | | | | 5 | | | | | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 5 | | | | 0 | | | | 5 | |
UAG | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | | | | | (206 | ) | | | 0 | | | | 0 | | | | (206 | ) | | | (206 | ) | | | 101 | | | | (105 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Over the Counter | | $ | 164 | | | $ | 130 | | | $ | 123 | | | $ | 417 | | | | | | | $ | (1,071) | | | $ | (35) | | | $ | (786 | ) | | $ | (1,892) | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (k) | Securities with an aggregate market value of $1,203 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2017. |
| (1) | The underlying instrument has a forward starting effective date. See Note 2, Securities Transactions and Investment Income, in the Notes to Financial Statements for further information. |
| (2) | YOY options may have a series of expirations. |
| (3) | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio 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. |
| (4) | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on sovereign 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 |
| | | | | | |
| 104 | | PIMCO MANAGED ACCOUNTS TRUST | | | | See Accompanying Notes |
December 31, 2017
| | 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. |
| (5) | The maximum potential amount the Portfolio 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. |
| (6) | The prices and resulting values for credit default swap agreements on credit indices 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 referenced indices’ credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| (7) | Receive represents that the Portfolio receives payments for any positive return on the underlying reference. The Portfolio makes payments for any negative return on such underlying reference. Pay represents that the Portfolio receives payments for any negative return on the underlying reference. The Portfolio makes payments for any positive return on such underlying reference. |
| (8) | Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information regarding master netting arrangements. |
FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS
The following is a summary of the fair valuation of the Portfolio’s derivative instruments categorized by risk exposure. See Note 7, Principal Risks, in the Notes to Financial Statements on risks of the Portfolio.
Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of December 31, 2017:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Derivatives not accounted for as hedging instruments | |
| | | Commodity
Contracts | | | Credit
Contracts | | | Equity
Contracts | | | Foreign
Exchange
Contracts | | | Interest
Rate Contracts | | | Total | |
Financial Derivative Instruments - Assets | |
Exchange-traded or centrally cleared | |
Purchased Options | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 26 | | | $ | 26 | |
Futures | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 77 | | | | 77 | |
Swap Agreements | | | 0 | | | | 1 | | | | 0 | | | | 0 | | | | 156 | | | | 157 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 1 | | | $ | 0 | | | $ | 0 | | | $ | 259 | | | $ | 260 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Over the counter | |
Forward Foreign Currency Contracts | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 164 | | | $ | 0 | | | $ | 164 | |
Purchased Options | | | 0 | | | | 0 | | | | 0 | | | | 1 | | | | 129 | | | | 130 | |
Swap Agreements | | | 0 | | | | 5 | | | | 0 | | | | 0 | | | | 118 | | | | 123 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 5 | | | $ | 0 | | | $ | 165 | | | $ | 247 | | | $ | 417 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 6 | | | $ | 0 | | | $ | 165 | | | $ | 506 | | | $ | 677 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
Financial Derivative Instruments - Liabilities | |
Exchange-traded or centrally cleared | |
Written Options | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 19 | | | $ | 19 | |
Futures | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 42 | | | | 42 | |
Swap Agreements | | | 0 | | | | 6 | | | | 0 | | | | 0 | | | | 154 | | | | 160 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 6 | | | $ | 0 | | | $ | 0 | | | $ | 215 | | | $ | 221 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Over the counter | |
Forward Foreign Currency Contracts | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 1,071 | | | $ | 0 | | | $ | 1,071 | |
Written Options | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 35 | | | | 35 | |
Swap Agreements | | | 0 | | | | 12 | | | | 0 | | | | 0 | | | | 774 | | | | 786 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 12 | | | $ | 0 | | | $ | 1,071 | | | $ | 809 | | | $ | 1,892 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 18 | | | $ | 0 | | | $ | 1,071 | | | $ | 1,024 | | | $ | 2,113 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | DECEMBER 31, 2017 | | 105 |
Schedule of Investments PIMCO Fixed Income SHares: Series R (Cont.)
The effect of Financial Derivative Instruments on the Statements of Operations for the period ended December 31, 2017:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Derivatives not accounted for as hedging instruments | |
| | | Commodity
Contracts | | | Credit
Contracts | | | Equity
Contracts | | | Foreign
Exchange
Contracts | | | Interest
Rate Contracts | | | Total | |
Net Realized Gain (Loss) on Financial Derivative Instruments | |
Exchange-traded or centrally cleared | |
Purchased Options | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | (48 | ) | | $ | (48 | ) |
Written Options | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 346 | | | | 346 | |
Futures | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | (226 | ) | | | (226 | ) |
Swap Agreements | | | 0 | | | | (349 | ) | | | 0 | | | | 0 | | | | 566 | | | | 217 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | (349 | ) | | $ | 0 | | | $ | 0 | | | $ | 638 | | | $ | 289 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Over the counter | |
Forward Foreign Currency Contracts | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | (1,151 | ) | | $ | 0 | | | $ | (1,151 | ) |
Purchased Options | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 83 | | | | 83 | |
Written Options | | | 0 | | | | 19 | | | | 0 | | | | 111 | | | | (13 | ) | | | 117 | |
Swap Agreements | | | 0 | | | | 50 | | | | 0 | | | | (3 | ) | | | (1,143 | ) | | | (1,096 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 69 | | | $ | 0 | | | $ | (1,043 | ) | | $ | (1,073 | ) | | $ | (2,047 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | (280 | ) | | $ | 0 | | | $ | (1,043 | ) | | $ | (435 | ) | | $ | (1,758 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative Instruments | |
Exchange-traded or centrally cleared | |
Purchased Options | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 3 | | | $ | 3 | |
Written Options | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 15 | | | | 15 | |
Futures | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 40 | | | | 40 | |
Swap Agreements | | | 0 | | | | (50 | ) | | | 0 | | | | 0 | | | | (432 | ) | | | (482 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | (50 | ) | | $ | 0 | | | $ | 0 | | | $ | (374 | ) | | $ | (424 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Over the counter | |
Forward Foreign Currency Contracts | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | (1,838 | ) | | $ | 0 | | | $ | (1,838 | ) |
Purchased Options | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | (515 | ) | | | (515 | ) |
Written Options | | | 0 | | | | (10 | ) | | | 0 | | | | (18 | ) | | | 331 | | | | 303 | |
Swap Agreements | | | 0 | | | | 132 | | | | 0 | | | | 0 | | | | 1,021 | | | | 1,153 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 122 | | | $ | 0 | | | $ | (1,856 | ) | | $ | 837 | | | $ | (897 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 72 | | | $ | 0 | | | $ | (1,856 | ) | | $ | 463 | | | $ | (1,321 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2017 in valuing the Portfolio’s assets and liabilities:
| | | | | | | | | | | | | | | | |
| Category and Subcategory | | Level 1 | | | Level 2 | | | Level 3 | | | Fair
Value at
12/31/2017 | |
Investments in Securities, at Value | |
Corporate Bonds & Notes | | | | | | | | | | | | | | | | |
Banking & Finance | | $ | 0 | | | $ | 9,645 | | | $ | 0 | | | $ | 9,645 | |
Industrials | | | 0 | | | | 999 | | | | 0 | | | | 999 | |
Utilities | | | 0 | | | | 3,233 | | | | 0 | | | | 3,233 | |
U.S. Government Agencies | | | 0 | | | | 18,001 | | | | 0 | | | | 18,001 | |
U.S. Treasury Obligations | | | 0 | | | | 174,486 | | | | 0 | | | | 174,486 | |
Non-Agency Mortgage-Backed Securities | | | 0 | | | | 4,567 | | | | 0 | | | | 4,567 | |
Asset-Backed Securities | | | 0 | | | | 6,889 | | | | 0 | | | | 6,889 | |
Sovereign Issues | | | 0 | | | | 30,847 | | | | 0 | | | | 30,847 | |
Short-Term Instruments | |
Certificates of Deposit | | | 0 | | | | 1,902 | | | | 0 | | | | 1,902 | |
Commercial Paper | | | 0 | | | | 557 | | | | 0 | | | | 557 | |
| | | | | | |
| 106 | | PIMCO MANAGED ACCOUNTS TRUST | | | | See Accompanying Notes |
December 31, 2017
| | | | | | | | | | | | | | | | |
| Category and Subcategory | | Level 1 | | | Level 2 | | | Level 3 | | | Fair
Value at
12/31/2017 | |
Japan Treasury Bills | | $ | 0 | | | $ | 162 | | | $ | 0 | | | $ | 162 | |
U.K. Treasury Bills | | | 0 | | | | 1,647 | | | | 0 | | | | 1,647 | |
| | | | |
Total Investments | | $ | 0 | | | $ | 252,935 | | | $ | 0 | | | $ | 252,935 | |
|
Short Sales, at Value - Liabilities | |
U.S. Government Agencies | | $ | 0 | | | $ | (2,997 | ) | | $ | 0 | | | $ | (2,997 | ) |
|
Financial Derivative Instruments - Assets | |
Exchange-traded or centrally cleared | | | 103 | | | | 157 | | | | 0 | | | | 260 | |
Over the counter | | | 0 | | | | 417 | | | | 0 | | | | 417 | |
| | $ | 103 | | | $ | 574 | | | $ | 0 | | | $ | 677 | |
|
Financial Derivative Instruments - Liabilities | |
Exchange-traded or centrally cleared | | | (61 | ) | | | (160 | ) | | | 0 | | | | (221 | ) |
Over the counter | | | 0 | | | | (1,892 | ) | | | 0 | | | | (1,892 | ) |
| | $ | (61 | ) | | $ | (2,052 | ) | | $ | 0 | | | $ | (2,113 | ) |
| | | | |
Total Financial Derivative Instruments | | $ | 42 | | | $ | (1,478 | ) | | $ | 0 | | | $ | (1,436 | ) |
| | | | |
Totals | | $ | 42 | | | $ | 248,460 | | | $ | 0 | | | $ | 248,502 | |
There were no significant transfers among Levels 1, 2, or 3 during the period ended December 31, 2017.
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | DECEMBER 31, 2017 | | 107 |
Schedule of Investments PIMCO Fixed Income SHares: Series TE
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
| INVESTMENTS IN SECURITIES 102.3% | |
| |
| MUNICIPAL BONDS & NOTES 99.4% | |
| | | | | | | | | | | | |
| ALABAMA 1.4% | |
Lower Alabama Gas District Revenue Bonds, Series 2016 | |
5.000% due 09/01/2046 | | $ | | | 1,000 | | | $ | | | 1,307 | |
| | | | | | | | | | | | |
| |
| ARIZONA 2.4% | |
Phoenix Civic Improvement Corp., Arizona Revenue Bonds, Series 2010 | |
5.000% due 07/01/2028 | | | | | 1,000 | | | | | | 1,081 | |
Salt River Project Agricultural Improvement & Power District, Arizona Revenue Bonds, Series 2012 | |
5.000% due 12/01/2030 | | | | | 1,000 | | | | | | 1,130 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,211 | |
| | | | | | | | | | | | |
| |
| CALIFORNIA 15.4% | |
Alameda Community Facilities District, California Special Tax Bonds, Series 2016 | |
5.000% due 09/01/2042 | | | | | 1,105 | | | | | | 1,229 | |
Bay Area Toll Authority, California Revenue Bonds, Series 2013 | |
5.000% due 04/01/2038 | | | | | 2,000 | | | | | | 2,328 | |
California County Tobacco Securitization Agency Revenue Bonds, Series 2002 | |
5.750% due 06/01/2029 | | | | | 1,425 | | | | | | 1,439 | |
California Educational Facilities Authority Revenue Bonds, Series 2017 | |
5.000% due 04/01/2042 | | | | | 1,000 | | | | | | 1,166 | |
California Health Facilities Financing Authority Revenue Bonds, Series 2013 | |
5.000% due 07/01/2043 | | | | | 1,000 | | | | | | 1,086 | |
California Health Facilities Financing Authority Revenue Bonds, Series 2016 | |
5.000% due 11/15/2046 (c) | | | | | 3,000 | | | | | | 3,530 | |
Foothill-Eastern Transportation Corridor Agency, California Revenue Bonds, Series 2014 | |
3.950% due 01/15/2053 | | | | | 1,750 | | | | | | 1,762 | |
M-S-R Energy Authority, California Revenue Bonds, Series 2009 | |
7.000% due 11/01/2034 | | | | | 1,000 | | | | | | 1,463 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 14,003 | |
| | | | | | | | | | | | |
| |
| COLORADO 2.6% | |
Colorado Health Facilities Authority Revenue Bonds, Series 2013 | |
5.000% due 12/01/2033 | | | | | 2,125 | | | | | | 2,403 | |
| | | | | | | | | | | | |
| |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
| CONNECTICUT 1.3% | |
Connecticut State Health & Educational Facility Authority Revenue Bonds, Series 2014 | |
5.000% due 07/01/2026 | | $ | | | 1,000 | | | $ | | | 1,169 | |
| | | | | | | | | | | | |
| |
| FLORIDA 2.3% | |
Broward County, Florida Airport System Revenue Bonds, Series 2012 | |
5.000% due 10/01/2037 | | | | | 1,300 | | | | | | 1,452 | |
Miami-Dade County, Florida Water & Sewer System Revenue Bonds, Series 2013 | |
5.000% due 10/01/2028 | | | | | 555 | | | | | | 642 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,094 | |
| | | | | | | | | | | | |
| |
| ILLINOIS 11.3% | |
Chicago, Illinois General Obligation Bonds, Series 2002 | |
5.500% due 01/01/2037 | | | | | 1,000 | | | | | | 1,088 | |
Chicago, Illinois General Obligation Bonds, Series 2017 | |
5.750% due 01/01/2034 | | | | | 1,500 | | | | | | 1,708 | |
Chicago, Illinois General Obligation Notes, Series 2016 | |
5.000% due 01/01/2024 | | | | | 1,000 | | | | | | 1,097 | |
Illinois Finance Authority Revenue Bonds, Series 2017 | |
5.000% due 12/01/2037 | | | | | 1,000 | | | | | | 1,076 | |
Illinois State General Obligation Bonds, Series 2014 | |
5.250% due 02/01/2028 | | | | | 1,000 | | | | | | 1,017 | |
Illinois State General Obligation Bonds, Series 2017 | |
5.000% due 11/01/2028 | | | | | 2,000 | | | | | | 2,187 | |
5.000% due 12/01/2038 | | | | | 1,000 | | | | | | 1,072 | |
Illinois State General Obligation Notes, Series 2017 | |
5.000% due 11/01/2024 | | | | | 1,000 | | | | | | 1,086 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 10,331 | |
| | | | | | | | | | | | |
| |
| KANSAS 2.5% | |
Kansas Development Finance Authority Revenue Bonds, Series 2012 | |
5.000% due 11/15/2034 | | | | | 2,000 | | | | | | 2,246 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| MASSACHUSETTS 3.8% | |
Massachusetts Development Finance Agency Revenue Bonds, Series 2016 | |
5.000% due 01/01/2047 | | | | | 1,000 | | | | | | 1,142 | |
Massachusetts State College Building Authority Revenue Bonds, Series 2014 | |
5.000% due 05/01/2028 | | | | | 2,000 | | | | | | 2,303 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,445 | |
| | | | | | | | | | | | |
| | | | | | |
| 108 | | PIMCO MANAGED ACCOUNTS TRUST | | | | See Accompanying Notes |
December 31, 2017
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
| MICHIGAN 3.5% | |
Michigan Finance Authority Revenue Notes, Series 2014 | |
4.000% due 10/01/2024 | | $ | | | 2,000 | | | $ | | | 2,086 | |
Michigan Finance Authority Revenue Notes, Series 2016 | |
5.000% due 04/01/2024 | | | | | 1,000 | | | | | | 1,132 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,218 | |
| | | | | | | | | | | | |
| |
| NEBRASKA 3.9% | |
Central Plains Energy Project, Nebraska Revenue Bonds, Series 2012 | |
5.000% due 09/01/2032 | | | | | 1,000 | | | | | | 1,121 | |
Central Plains Energy Project, Nebraska Revenue Bonds, Series 2017 | |
5.000% due 09/01/2031 | | | | | 2,000 | | | | | | 2,433 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,554 | |
| | | | | | | | | | | | |
| |
| NEW JERSEY 9.8% | |
Atlantic City, New Jersey General Obligation Bonds, (BAM Insured), Series 2017 | |
5.000% due 03/01/2042 | | | | | 1,250 | | | | | | 1,430 | |
Atlantic City, New Jersey General Obligation Notes, (BAM Insured), Series 2017 | |
5.000% due 03/01/2026 | | | | | 250 | | | | | | 294 | |
New Jersey Economic Development Authority Revenue Bonds, (BAM Insured), Series 2017 | |
5.000% due 07/01/2028 | | | | | 1,000 | | | | | | 1,195 | |
New Jersey Economic Development Authority Revenue Bonds, Series 2017 | |
5.000% due 06/15/2030 | | | | | 1,000 | | | | | | 1,125 | |
New Jersey Economic Development Authority Revenue Notes, Series 2016 | |
5.000% due 06/15/2022 | | | | | 1,500 | | | | | | 1,639 | |
New Jersey Health Care Facilities Financing Authority Revenue Bonds, Series 2013 | |
5.250% due 07/01/2035 | | | | | 1,000 | | | | | | 1,149 | |
New Jersey Health Care Facilities Financing Authority Revenue Bonds, Series 2017 | |
4.000% due 07/01/2030 | | | | | 1,000 | | | | | | 1,086 | |
New Jersey Turnpike Authority Revenue Notes, Series 2017 | |
1.652% due 01/01/2024 ~ | | | | | 1,000 | | | | | | 1,006 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 8,924 | |
| | | | | | | | | | | | |
| |
| NEW MEXICO 0.7% | |
Albuquerque Municipal School District No.12, New Mexico General Obligation Bonds, Series 2017 | |
5.000% due 08/01/2027 | | | | | 500 | | | | | | 614 | |
| | | | | | | | | | | | |
| |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
| NEW YORK 7.5% | |
Metropolitan Transportation Authority, New York Revenue Bonds, Series 2012 | |
5.000% due 11/15/2028 | | $ | | | 1,340 | | | $ | | | 1,534 | |
Triborough Bridge & Tunnel Authority, New York Revenue Bonds, Series 2013 | |
5.000% due 11/15/2027 | | | | | 2,000 | | | | | | 2,350 | |
TSASC, Inc., New York Revenue Bonds, Series 2017 | |
5.000% due 06/01/2033 | | | | | 1,000 | | | | | | 1,154 | |
TSASC, Inc., New York Revenue Notes, Series 2017 | |
5.000% due 06/01/2027 | | | | | 1,500 | | | | | | 1,811 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 6,849 | |
| | | | | | | | | | | | |
| |
| NORTH CAROLINA 3.4% | |
North Carolina Turnpike Authority Revenue Bonds, Series 2011 | |
5.000% due 07/01/2024 | | | | | 1,000 | | | | | | 1,109 | |
University of North Carolina at Greensboro Revenue Notes, Series 2014 | |
5.000% due 04/01/2024 | | | | | 1,660 | | | | | | 1,963 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,072 | |
| | | | | | | | | | | | |
| |
| OHIO 1.0% | |
Cleveland, Ohio Revenue Bonds, Series 2017 | |
5.000% due 10/01/2030 | | | | | 750 | | | | | | 903 | |
| | | | | | | | | | | | |
| |
| OREGON 0.6% | |
Clackamas County, Oregon Hospital Facility Authority Revenue Notes, Series 2017 | |
3.000% due 11/15/2022 | | | | | 500 | | | | | | 499 | |
| | | | | | | | | | | | |
| |
| PENNSYLVANIA 2.5% | |
Delaware River Port Authority, Pennsylvania Revenue Notes, Series 2012 | |
5.000% due 01/01/2023 | | | | | 1,000 | | | | | | 1,126 | |
Geisinger Authority, Pennsylvania Revenue Bonds, Series 2017 | |
5.000% due 02/15/2045 (c) | | | | | 1,000 | | | | | | 1,163 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,289 | |
| | | | | | | | | | | | |
| |
| PUERTO RICO 1.5% | |
Puerto Rico Electric Power Authority Revenue Bonds, (AGM Insured), Series 2007 | |
1.414% due 07/01/2029 ~ | | | | | 1,010 | | | | | | 845 | |
Puerto Rico Highway & Transportation Authority Revenue Bonds, (AGC Insured), Series 2005 | |
5.250% due 07/01/2041 | | | | | 500 | | | | | | 554 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,399 | |
| | | | | | | | | | | | |
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | DECEMBER 31, 2017 | | 109 |
Schedule of Investments PIMCO Fixed Income SHares: Series TE (Cont.)
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
| RHODE ISLAND 2.3% | |
Tobacco Settlement Financing Corp., Rhode Island Revenue Bonds, Series 2015 | |
5.000% due 06/01/2040 | | $ | | | 1,000 | | | $ | | | 1,078 | |
5.000% due 06/01/2050 | | | | | 1,000 | | | | | | 1,047 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,125 | |
| | | | | | | | | | | | |
| |
| TENNESSEE 0.3% | |
Tennessee Energy Acquisition Corp. Revenue Bonds, Series 2006 | |
5.250% due 09/01/2024 | | | | | 200 | | | | | | 235 | |
| | | | | | | | | | | | |
| |
| TEXAS 14.6% | |
Austin, Texas Airport System Revenue Bonds, Series 2017 | |
5.000% due 11/15/2046 | | | | | 1,000 | | | | | | 1,168 | |
Harris County, Texas Cultural Education Facilities Finance Corp. Revenue Bonds, Series 2017 | |
4.000% due 11/15/2036 | | | | | 500 | | | | | | 535 | |
4.000% due 11/15/2037 | | | | | 500 | | | | | | 534 | |
Irving Hospital Authority, Texas Revenue Bonds, Series 2017 | |
2.100% due 10/15/2044 ~ | | | | | 1,000 | | | | | | 1,000 | |
New Hope Cultural Education Facilities Corp., Texas Revenue Bonds, Series 2016 | |
4.000% due 07/01/2036 | | | | | 1,000 | | | | | | 1,025 | |
New Hope Cultural Education Facilities Finance Corp., Texas Revenue Bonds, Series 2017 | |
5.000% due 01/01/2030 | | | | | 630 | | | | | | 684 | |
SA Energy Acquisition Public Facility Corp., Texas Revenue Bonds, Series 2007 | |
5.500% due 08/01/2025 | | | | | 1,000 | | | | | | 1,205 | |
Texas Municipal Gas Acquisition & Supply Corp. Revenue Bonds, Series 2006 | |
5.250% due 12/15/2023 | | | | | 1,000 | | | | | | 1,162 | |
Texas Municipal Gas Acquisition & Supply Corp. Revenue Bonds, Series 2008 | |
6.250% due 12/15/2026 | | | | | 5,000 | | | | | | 6,012 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 13,325 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000S) | | | | | MARKET
VALUE
(000S) | |
| VIRGINIA 2.9% | |
Loudoun County, Virginia General Obligation Bonds, Series 2013 | |
5.000% due 12/01/2027 | | $ | | | 2,315 | | | $ | | | 2,659 | |
| | | | | | | | | | | | |
| |
| WASHINGTON 0.6% | |
Washington Health Care Facilities Authority Revenue Bonds, Series 2013 | |
3.110% due 01/01/2035 ~ | | | | | 500 | | | | | | 499 | |
| | | | | | | | | | | | |
| |
| WISCONSIN 1.3% | |
WPPI Energy, Wisconsin Revenue Bonds, Series 2013 | |
5.000% due 07/01/2025 | | | | | 1,000 | | | | | | 1,150 | |
| | | | | | | | | | | | |
Total Municipal Bonds & Notes (Cost $85,738) | | | 90,523 | |
| | | | | | | | | | | | |
| |
| SHORT-TERM INSTRUMENTS 2.9% | |
| |
| SHORT-TERM NOTES 2.9% | |
Federal Home Loan Bank | |
1.138% due 01/11/2018 (a)(b) | | | | | 1,400 | | | | | | 1,399 | |
1.321% due 02/16/2018 (a)(b) | | | | | 1,300 | | | | | | 1,298 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,697 | |
| | | | | | | | | | | | |
Total Short-Term Instruments (Cost $2,698) | | | 2,697 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Total Investments in Securities (Cost $88,436) | | | 93,220 | |
| | | | | | | | | | | | |
| Total Investments 102.3% (Cost $88,436) | | | $ | | | 93,220 | |
| | | | | | | | | | | | |
Financial Derivative
Instruments (d)(e) (0.2)% (Cost or Premiums, net $(136)) | | | (146 | ) |
| | | | | | | | | | | | |
| Other Assets and Liabilities, net (2.1)% | | | | | | (1,988 | ) |
| | | | | | | | | | | | |
| Net Assets 100.0% | | | $ | | | 91,086 | |
| | | | | | | | | | | | |
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*, EXCEPT NUMBER OF CONTRACTS):
| * | A zero balance may reflect actual amounts rounding to less than one thousand. |
| ~ | 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. |
| (b) | Coupon represents a yield to maturity. |
| | | | | | |
| 110 | | PIMCO MANAGED ACCOUNTS TRUST | | | | See Accompanying Notes |
December 31, 2017
| (c) | Represents an underlying municipal bond transferred to a tender option bond trust established in a tender option bond transaction in which the Portfolio sold, or caused the sale of, the underlying municipal bond and purchased the residual interest certificate. The security serves as collateral in a financing transaction. See Note 5, Tender Option Bond Transactions, in the Notes to Financial Statements for more information. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(d) FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED
FUTURES CONTRACTS:
SHORT FUTURES CONTRACTS
| | | | | | | | | | | | | | | | | | | | | | |
| Description | | Expiration
Month | | # of
Contracts | | | Notional
Amount | | | Unrealized
Appreciation/
(Depreciation) | | | Variation Margin | |
| | | | | | Asset | | | Liability | |
U.S. Treasury 10-Year Note March Futures | | 03/2018 | | | 146 | | | $ | (18,111 | ) | | $ | 34 | | | $ | 0 | | | $ | (30 | ) |
U.S. Treasury 30-Year Bond March Futures | | 03/2018 | | | 13 | | | | (1,989 | ) | | | 14 | | | | 0 | | | | (3 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
Total Futures Contracts | | | $ | 48 | | | $ | 0 | | | $ | (33 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED SUMMARY
The following is a summary of the market value and variation margin of Exchange-Traded or Centrally Cleared Financial Derivative Instruments as of December 31, 2017:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Financial Derivative Assets | | | | | | Financial Derivative Liabilities | |
| | | Market Value | | | Variation Margin
Asset | | | | | | | | | Market Value | | | Variation Margin
Liability | | | | |
| | | Purchased
Options | | | Futures | | | Swap
Agreements | | | Total | | | | | | Written
Options | | | Futures | | | Swap
Agreements | | | Total | |
Total Exchange-Traded or Centrally Cleared | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | | | | | $ | 0 | | | $ | (33) | | | $ | 0 | | | $ | (33) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Cash of $269 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2017. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information regarding master netting arrangements.
(e) FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER
SWAP AGREEMENTS:
CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION(1)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Index/Tranches | | Fixed
(Pay) Rate | | | Payment
Frequency | | | Maturity
Date | | | Notional
Amount(2) | | | Premiums
Paid/(Received) | | | Unrealized
Appreciation/
(Depreciation) | | | Swap Agreements,
at Value(3) | |
| | | | | | | | | Asset | | | Liability | |
CBK | | MCDX-29 5-Year Index | | | (1.000 | )% | | | Quarterly | | | | 12/20/2022 | | | $ | 5,400 | | | $ | (136 | ) | | $ | (9 | ) | | $ | 0 | | | $ | (145 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | DECEMBER 31, 2017 | | 111 |
Schedule of Investments PIMCO Fixed Income SHares: Series TE (Cont.)
INTEREST RATE SWAPS
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Pay/
Receive
Floating
Rate | | Floating Rate Index | | Fixed
Rate | | | Payment
Frequency | | Maturity
Date | | | Notional
Amount | | | Premiums
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | | | Swap Agreements,
at Value | |
| | | | | | | | | | Asset | | | Liability | |
CBK | | Receive | | 3-Month USD-LIBOR | | | 0.883% | | | Quarterly | | | 09/19/2021 | | | $ | 1,300 | | | $ | 0 | | | $ | 32 | | | $ | 32 | | | $ | 0 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Swap Agreements | | | $ | (136 | ) | | $ | 23 | | | $ | 32 | | | $ | (145 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER SUMMARY
The following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral pledged/(received) as of December 31, 2017:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Financial Derivative Assets | | | | | | Financial Derivative Liabilities | | | | | | | | | | |
| Counterparty | | Forward
Foreign
Currency
Contracts | | | Purchased
Options | | | Swap
Agreements | | | Total
Over the
Counter | | | | | | Forward
Foreign
Currency
Contracts | | | Written
Options | | | Swap
Agreements | | | Total
Over the
Counter | | | Net Market
Value of OTC
Derivatives | | | Collateral
Pledged/
(Received) | | | Net
Exposure(4) | |
CBK | | $ | 0 | | | $ | 0 | | | $ | 32 | | | $ | 32 | | | | | | | $ | 0 | | | $ | 0 | | | $ | (145 | ) | | $ | (145 | ) | | $ | (113 | ) | | $ | 0 | | | $ | (113 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (1) | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive 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 Portfolio 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 on credit indices 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 referenced indices’ credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| (4) | Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information regarding master netting arrangements. |
FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS
The following is a summary of the fair valuation of the Portfolio’s derivative instruments categorized by risk exposure. See Note 7, Principal Risks, in the Notes to Financial Statements on risks of the Portfolio.
Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of December 31, 2017:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Derivatives not accounted for as hedging instruments | |
| | | Commodity
Contracts | | | Credit
Contracts | | | Equity
Contracts | | | Foreign
Exchange
Contracts | | | Interest
Rate Contracts | | | Total | |
Financial Derivative Instruments - Assets | |
Over the counter | |
Swap Agreements | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 32 | | | $ | 32 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| 112 | | PIMCO MANAGED ACCOUNTS TRUST | | | | See Accompanying Notes |
December 31, 2017
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Derivatives not accounted for as hedging instruments | |
| | | Commodity
Contracts | | | Credit
Contracts | | | Equity
Contracts | | | Foreign
Exchange
Contracts | | | Interest
Rate Contracts | | | Total | |
Financial Derivative Instruments - Liabilities | |
Exchange-traded or centrally cleared | |
Futures | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 33 | | | $ | 33 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Over the counter | |
Swap Agreements | | $ | 0 | | | $ | 145 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 145 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | 145 | | | $ | 0 | | | $ | 0 | | | $ | 33 | | | $ | 178 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
The effect of Financial Derivative Instruments on the Statements of Operations for the period ended December 31, 2017:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Derivatives not accounted for as hedging instruments | |
| | | Commodity
Contracts | | | Credit
Contracts | | | Equity
Contracts | | | Foreign
Exchange
Contracts | | | Interest
Rate Contracts | | | Total | |
Net Realized Gain (Loss) on Financial Derivative Instruments | |
Exchange-traded or centrally cleared | | | | | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 139 | | | $ | 139 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Over the counter | | | | | | | | | | | | | | | | | | | | | | | | |
Swap Agreements | | $ | 0 | | | $ | (92 | ) | | $ | 0 | | | $ | 1 | | | $ | 127 | | | $ | 36 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | (92 | ) | | $ | 0 | | | $ | 1 | | | $ | 266 | | | $ | 175 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative Instruments | |
Exchange-traded or centrally cleared | |
Futures | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 48 | | | $ | 48 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Over the counter | | | | | | | | | | | | | | | | | | | | | | | | |
Swap Agreements | | $ | 0 | | | $ | (5 | ) | | $ | 0 | | | $ | 0 | | | $ | (122 | ) | | $ | (127 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 0 | | | $ | (5 | ) | | $ | 0 | | | $ | 0 | | | $ | (74 | ) | | $ | (79 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2017 in valuing the Portfolio’s assets and liabilities:
| | | | | | | | | | | | | | | | |
| Category and Subcategory | | Level 1 | | | Level 2 | | | Level 3 | | | Fair
Value at
12/31/2017 | |
Investments in Securities, at Value | | | | | | | | | | | | | | | | |
Municipal Bonds & Notes | | | | | | | | | | | | | | | | |
Alabama | | $ | 0 | | | $ | 1,307 | | | $ | 0 | | | $ | 1,307 | |
Arizona | | | 0 | | | | 2,211 | | | | 0 | | | | 2,211 | |
California | | | 0 | | | | 14,003 | | | | 0 | | | | 14,003 | |
Colorado | | | 0 | | | | 2,403 | | | | 0 | | | | 2,403 | |
Connecticut | | | 0 | | | | 1,169 | | | | 0 | | | | 1,169 | |
Florida | | | 0 | | | | 2,094 | | | | 0 | | | | 2,094 | |
Illinois | | | 0 | | | | 10,331 | | | | 0 | | | | 10,331 | |
Kansas | | | 0 | | | | 2,246 | | | | 0 | | | | 2,246 | |
Massachusetts | | | 0 | | | | 3,445 | | | | 0 | | | | 3,445 | |
Michigan | | | 0 | | | | 3,218 | | | | 0 | | | | 3,218 | |
Nebraska | | | 0 | | | | 3,554 | | | | 0 | | | | 3,554 | |
New Jersey | | | 0 | | | | 8,924 | | | | 0 | | | | 8,924 | |
New Mexico | | | 0 | | | | 614 | | | | 0 | | | | 614 | |
New York | | | 0 | | | | 6,849 | | | | 0 | | | | 6,849 | |
North Carolina | | | 0 | | | | 3,072 | | | | 0 | | | | 3,072 | |
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | DECEMBER 31, 2017 | | 113 |
Schedule of Investments PIMCO Fixed Income SHares: Series TE (Cont.)
December 31, 2017
| | | | | | | | | | | | | | | | |
| Category and Subcategory | | Level 1 | | | Level 2 | | | Level 3 | | | Fair
Value at
12/31/2017 | |
Ohio | | $ | 0 | | | $ | 903 | | | $ | 0 | | | $ | 903 | |
Oregon | | | 0 | | | | 499 | | | | 0 | | | | 499 | |
Pennsylvania | | | 0 | | | | 2,289 | | | | 0 | | | | 2,289 | |
Puerto Rico | | | 0 | | | | 1,399 | | | | 0 | | | | 1,399 | |
Rhode Island | | | 0 | | | | 2,125 | | | | 0 | | | | 2,125 | |
Tennessee | | | 0 | | | | 235 | | | | 0 | | | | 235 | |
Texas | | | 0 | | | | 13,325 | | | | 0 | | | | 13,325 | |
Virginia | | | 0 | | | | 2,659 | | | | 0 | | | | 2,659 | |
Washington | | | 0 | | | | 499 | | | | 0 | | | | 499 | |
Wisconsin | | | 0 | | | | 1,150 | | | | 0 | | | | 1,150 | |
Short-Term Instruments | | | | | | | | | | | | | | | | |
Short-Term Notes | | | 0 | | | | 2,697 | | | | 0 | | | | 2,697 | |
| | | | |
Total Investments | | $ | 0 | | | $ | 93,220 | | | $ | 0 | | | $ | 93,220 | |
| | | | |
Financial Derivative Instruments - Assets | | | | | | | | | | | | | | | | |
Over the counter | | $ | 0 | | | $ | 32 | | | $ | 0 | | | $ | 32 | |
| | | | |
Financial Derivative Instruments - Liabilities | | | | | | | | | | | | | | | | |
Exchange-traded or centrally cleared | | | (33 | ) | | | 0 | | | | 0 | | | | (33 | ) |
Over the counter | | | 0 | | | | (145 | ) | | | 0 | | | | (145 | ) |
| | $ | (33 | ) | | $ | (145 | ) | | $ | 0 | | | $ | (178 | ) |
| | | | |
Total Financial Derivative Instruments | | $ | (33 | ) | | $ | (113 | ) | | $ | 0 | | | $ | (146 | ) |
| | | | |
Totals | | $ | (33 | ) | | $ | 93,107 | | | $ | 0 | | | $ | 93,074 | |
There were no significant transfers among Levels 1, 2, or 3 during the period ended December 31, 2017.
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| 114 | | PIMCO MANAGED ACCOUNTS TRUST | | | | See Accompanying Notes |
Notes to Financial Statements
December 31, 2017
1. ORGANIZATION
PIMCO Managed Accounts Trust (the “Trust”), was organized as a Massachusetts business trust on November 3, 1999. The Trust is comprised of Fixed Income SHares (“FISH”): Series C, Series LD, Series M, Series R and Series TE (each a “Portfolio” or “Series” and collectively the “Portfolios” or “Series”). Each Portfolio has authorized an unlimited number of shares of beneficial interest with $0.001 par value. Pacific Investment Management Company LLC (“PIMCO” or the “Adviser”) serves as the Portfolios’ investment adviser and administrator.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently followed by each Portfolio in the preparation of its financial statements in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”). Each Portfolio is treated as an investment company under the reporting requirements of U.S. GAAP. The preparation of financial statements in accordance with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
(a) Securities Transactions and Investment Income Securities transactions are recorded as of the trade date for financial reporting purposes. Realized gains (losses) from securities sold are recorded on the identified cost basis. Securities purchased or sold on a when-issued or delayed-delivery basis may be settled beyond a standard settlement period for the security after the trade date. Dividend income is recorded on the ex-dividend date, except certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as a Portfolio is informed of the ex-dividend date. Interest income, adjusted for the accretion of discounts and amortization of premiums, is recorded on the accrual basis from settlement date, with the exception of securities with a forward starting effective date, where interest income is recorded on the accrual basis from effective date. For convertible securities, premiums attributable to the conversion feature are not amortized. Estimated tax liabilities on certain foreign securities are recorded on an accrual basis and are reflected as components of interest income or net change in unrealized appreciation (depreciation) on investments on the Statements of Operations, as appropriate. Tax liabilities realized as a result of such security sales are reflected as a component of net realized gain (loss) on investments on the Statements of Operations. Paydown gains (losses) on mortgage-related and other asset-backed securities, if any, are recorded as components of interest income on the Statements of Operations. Income or short-term capital gain distributions received from registered investment companies, if any, are recorded as dividend income. Long-term capital gain distributions received from registered investment companies, if any, are recorded as realized gains.
Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivable when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is probable.
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| | ANNUAL REPORT | | DECEMBER 31, 2017 | | 115 |
Notes to Financial Statements (Cont.)
(b) Cash and Foreign Currency The functional and reporting currency for the Portfolios is the U.S. dollar. The market values of foreign securities, currency holdings and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars based on the current exchange rates each business day. Purchases and sales of securities and income and expense items denominated in foreign currencies, if any, are translated into U.S. dollars at the exchange rate in effect on the transaction date. The Portfolios do not separately report the effects of changes in foreign exchange rates from changes in market prices on securities held. Such changes are included in net realized gain (loss) and net change in unrealized appreciation (depreciation) from investments on the Statements of Operations. The Portfolios may invest in foreign currency-denominated securities and may engage in foreign currency transactions either on a spot (cash) basis at the rate prevailing in the currency exchange market at the time or through a forward foreign currency contract. Realized foreign exchange gains (losses) arising from sales of spot foreign currencies, currency gains (losses) realized between the trade and settlement dates on securities transactions and the difference between the recorded amounts of dividends, interest, and foreign withholding taxes and the U.S. dollar equivalent of the amounts actually received or paid are included in net realized gain (loss) on foreign currency transactions on the Statements of Operations. Net unrealized foreign exchange gains (losses) arising from changes in foreign exchange rates on foreign denominated assets and liabilities other than investments in securities held at the end of the reporting period are included in net change in unrealized appreciation (depreciation) on foreign currency assets and liabilities on the Statements of Operations.
(c) Distributions to Shareholders Each Portfolio distributes substantially all of its net investment income to shareholders in the form of distributions. Distributions are declared daily and paid monthly, generally on the last business day of the month. Net realized capital gains earned by each Portfolio, if any, will be distributed no less frequently than once each year. A Portfolio may engage in investment strategies, including the use of derivatives, to, among other things, generate current, distributable income even if such strategies could potentially result in declines in the Portfolio’s net asset value. A Portfolio’s income and gain-generating strategies, including certain derivatives strategies, may generate current income and gains taxable as ordinary income sufficient to support monthly distributions even in situations when the Portfolio has experienced a decline in net assets due to, for example, adverse changes in the broad U.S. or non-U.S. equity markets or the Portfolio’s debt investments, or arising from its use of derivatives. Consequently, common shareholders may receive distributions and owe tax at a time when their investment in a Portfolio has declined in value, which tax may be at ordinary income rates, and which may be economically similar to a taxable return of capital. The tax treatment of certain derivatives may be open to different interpretations. Any recharacterization of payments made or received by a Portfolio pursuant to derivatives potentially could affect the amount, timing or character of Portfolio distributions. In addition, the tax treatment of such investment strategies may be changed by regulation or otherwise.
Income distributions and capital gain distributions are determined in accordance with income tax regulations which may differ from U.S. GAAP. Differences between tax regulations and U.S. GAAP may cause timing differences between income and capital gain recognition. Further, the character of investment income and capital gains may be different for certain transactions under the two methods of accounting. As a result, income distributions and capital gain distributions declared during a fiscal period may differ significantly from the net investment income (loss) and realized gains (losses) reported on each Portfolio’s annual financial statements presented under U.S. GAAP.
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| 116 | | PIMCO MANAGED ACCOUNTS TRUST | | | | |
December 31, 2017
If a Portfolio estimates that a portion of one of its dividend distributions may be comprised of amounts from sources other than net investment income in accordance with its policies and good accounting practices, the Portfolio will notify shareholders of record of the estimated composition of such distribution through a Section 19 Notice. For these purposes, a Portfolio estimates the source or sources from which a distribution is paid, to the close of the period as of which it is paid, in reference to its internal accounting records and related accounting practices. If, based on such accounting records and practices, it is estimated that a particular distribution does not include capital gains or paid-in surplus or other capital sources, a Section 19 Notice generally would not be issued. It is important to note that differences exist between a Portfolio’s daily internal accounting records and practices, a Portfolio’s financial statements presented in accordance with U.S. GAAP, and recordkeeping practices under income tax regulations. For instance, a Portfolio’s internal accounting records and practices may take into account, among other factors, tax-related characteristics of certain sources of distributions that differ from treatment under U.S. GAAP. Examples of such differences may include, among others, the treatment of paydowns on mortgage-backed securities purchased at a discount and periodic payments under interest rate swap contracts. Accordingly, among other consequences, it is possible that a Portfolio may not issue a Section 19 Notice in situations where the Portfolio’s financial statements prepared later and in accordance with U.S. GAAP and/or the final tax character of those distributions might later report that the sources of those distributions included capital gains and/or a return of capital. Please visit www.pimco.com for the most recent Section 19 Notice, if applicable, for additional information regarding the estimated composition of distributions. Final determination of a distribution’s tax character will be reported on Form 1099 DIV sent to shareholders for the calendar year.
Distributions classified as a tax basis return of capital, if any, are reflected on the Statements of Changes in Net Assets and have been recorded to paid in capital. In addition, other amounts have been reclassified between undistributed (overdistributed) net investment income (loss), accumulated undistributed (overdistributed) net realized gain (loss) and/or paid in capital to more appropriately conform U.S. GAAP to tax characterizations of distributions.
(d) New Accounting Pronouncements In March 2016, the Financial Accounting Standards Board (“FASB”) issued an Accounting Standards Update (“ASU”), ASU 2016-05, which provides guidance related to the impact of derivative contract novations on certain relationships under Accounting Standards Codification (“ASC”) 815. The ASU is effective for annual periods beginning after December 15, 2016, and interim periods within those annual periods. The Portfolios have adopted the ASU. The implementation of the ASU did not have an impact on the Portfolios’ financial statements.
In August 2016, the FASB issued ASU 2016-15 which amends ASC 230 to clarify guidance on the classification of certain cash receipts and cash payments in the Statement of Cash Flows. The ASU is effective for annual periods beginning after December 15, 2017, and interim periods within those annual periods. At this time, management is evaluating the implications of these changes on the financial statements.
In October 2016, the U.S. Securities and Exchange Commission (“SEC”) adopted new rules and forms, and amendments to certain current rules and forms, to modernize reporting and disclosure of information by registered investment companies. The amendments to Regulation S-X will require standardized, enhanced disclosure about derivatives in investment company financial statements,
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| | ANNUAL REPORT | | DECEMBER 31, 2017 | | 117 |
Notes to Financial Statements (Cont.)
and will also change the rules governing the form and content of such financial statements. The compliance date for these amendments was August 1, 2017. Compliance is based on reporting period-end date. Management has adopted these amendments and the changes are incorporated in the financial statements.
In November 2016, the FASB issued ASU 2016-18 which amends ASC 230 to provide guidance on the classification and presentation of changes in restricted cash and restricted cash equivalents on the Statement of Cash Flows. The ASU is effective for annual periods beginning after December 15, 2017, and interim periods within those annual periods. At this time, management is evaluating the implications of these changes on the financial statements.
In March 2017, the FASB issued ASU 2017-08 which provides guidance related to the amortization period for certain purchased callable debt securities held at a premium. The ASU is effective for annual periods beginning after December 15, 2018, and interim periods within those annual periods. The Portfolios have adopted the ASU. The implementation of the ASU did not have an impact on the Portfolios’ financial statements.
3. INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS
(a) Investment Valuation Policies The price of a Portfolio’s shares is based on the Portfolio’s net asset value (“NAV”). The NAV of a Portfolio’s shares is determined by dividing the total value of portfolio investments and other assets attributable to that Portfolio less any liabilities by the total number of shares outstanding of that Portfolio.
On each day that the New York Stock Exchange (“NYSE”) is open, Portfolio shares are ordinarily valued as of the close of regular trading (“NYSE Close”). Information that becomes known to the Portfolios or their 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. Each Portfolio reserves the right to change the time as of which its respective NAV is calculated if the Portfolio closes earlier, or as permitted by the 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 Portfolios’ approved pricing services, quotation reporting systems and other third-party sources (together, “Pricing Services”). The Portfolios will normally use pricing data for domestic equity securities received shortly after the NYSE Close and do not normally take into account trading, clearances or settlements that take place after the NYSE Close. 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 PIMCO 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.
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| 118 | | PIMCO MANAGED ACCOUNTS TRUST | | | | |
December 31, 2017
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. A Portfolio’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, a Portfolio 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, a Portfolio 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. A Portfolio may utilize modeling tools provided by third-party vendors to determine fair values of non-U.S. securities. For these purposes, any movement in the applicable reference index or instrument (“zero trigger”) relating to the 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 a Portfolio is not open for business, which may result in a Portfolio’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 will be 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 will be 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 a Portfolio’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 a Portfolio is not open for business. As a result, to the extent that a Portfolio holds foreign (non-U.S.)
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| | ANNUAL REPORT | | DECEMBER 31, 2017 | | 119 |
Notes to Financial Statements (Cont.)
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 Portfolio’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 Valuation Oversight Committee of the Board (“Valuation Oversight Committee”), generally based on recommendations provided by the Adviser. 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 a Portfolio’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 Adviser the responsibility for monitoring significant events that may materially affect the values of a Portfolio’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 a Portfolio 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 Trust’s policy is intended to result in a calculation of a Portfolio’s NAV that fairly reflects security values as of the time of pricing, the Trust cannot ensure that fair values determined by the Board or persons acting at their direction would accurately reflect the price that a Portfolio 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 a Portfolio 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 a Portfolio would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. It establishes a fair value hierarchy that prioritizes inputs to valuation methods and requires disclosure of the fair value hierarchy, separately for each major category of assets and liabilities, that segregates fair value measurements into levels (Level 1, 2, or 3). The inputs or methodology used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. Levels 1, 2, and 3 of the fair value hierarchy are defined as follows:
| ∎ | | Level 1 — Quoted prices in active markets or exchanges for identical assets and liabilities. |
| ∎ | | Level 2 — Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar |
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| | 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 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 between Levels 1 and 2 and transfers into and out of Level 3, if material, are disclosed in the Notes to Schedule of Investments for each respective Portfolio.
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 a Portfolio’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 each respective Portfolio.
(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.
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Notes to Financial Statements (Cont.)
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. Investments valued (denominated) in currencies other than the U.S. dollar are converted to the U.S. dollar using exchange rates (currency spot and forward rates) obtained from Pricing Services. As a result, the NAV of a Portfolio’s shares may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of securities 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 Trust is not open for business.
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
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swap rate (“OIS”), London Interbank Offered Rate (“LIBOR”) forward rate, interest rates, yield curves and credit spreads. These securities are categorized as Level 2 of the fair value hierarchy.
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 Adviser 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 Adviser does not have the transparency to view the underlying inputs which support the market quotation. Significant changes in the Broker Quote would have direct and proportional changes in the fair value of the security.
Reference instrument valuation estimates fair value by utilizing the correlation of the security to one or more broad-based securities, market indices, and/or other financial instruments, whose pricing information is readily available. Unobservable inputs may include those used in algorithm formulas based on percentage change in the reference instruments and/or weights of each reference instrument. Significant changes in the unobservable inputs would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 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.
4. SECURITIES AND OTHER INVESTMENTS
(a) Investments in Securities
The Portfolios may utilize the investments and strategies described below to the extent permitted by each Portfolio’s respective investment policies.
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Notes to Financial Statements (Cont.)
Delayed-Delivery Transactions involve a commitment by a Portfolio to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. When delayed-delivery transactions are outstanding, a Portfolio will designate or receive as collateral liquid assets in an amount sufficient to meet the purchase price or respective obligations. When purchasing a security on a delayed-delivery basis, a Portfolio assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when determining its NAV. A Portfolio may dispose of or renegotiate a delayed-delivery transaction after it is entered into, which may result in a realized gain (loss). When a Portfolio has sold a security on a delayed-delivery basis, the Portfolio does not participate in future gains (losses) with respect to the security.
Inflation-Indexed Bonds are fixed income securities whose principal value is periodically adjusted to the rate of inflation. In general, the value of an inflation-indexed security tends to decrease when real interest rates increase and can increase when real interest rates decrease. Thus generally, during periods of rising inflation, the value of inflation-indexed securities will tend to increase and during periods of deflation, their value will tend to decrease. The interest rate on these bonds is generally fixed at issuance at a rate lower than typical bonds. Over the life of an inflation-indexed bond, however, interest will be paid based on a principal value which is adjusted for inflation. Any increase or decrease in the principal amount of an inflation-indexed bond will be included as interest income on the Statements of Operations, even though investors do not receive their principal until maturity. Repayment of the original bond principal upon maturity (as adjusted for inflation) is guaranteed in the case of U.S. Treasury inflation-indexed bonds. For bonds that do not provide a similar guarantee, the adjusted principal value of the bond repaid at maturity may be less than the original principal.
Loan Participations and Assignments are direct debt instruments which are interests in amounts owed to lenders or lending syndicates by corporate, governmental, or other borrowers. A Portfolio’s investments in loans may be in the form of direct investments, participations in loans or assignments of all or a portion of loans from third parties or exposure to investments in loans through investments in a mutual fund or other pooled investment vehicle. A loan is often administered by a bank or other financial institution (the “agent”) that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. A Portfolio may invest in multiple series or tranches of a loan, which may have varying terms and carry different associated risks. A Portfolio generally has no right to enforce compliance with the terms of the loan agreement with the borrower. As a result, a Portfolio may be subject to the credit risk of both the borrower and the agent that is selling the loan agreement.
In the event of the insolvency of the agent selling a participation, a Portfolio may be treated as a general creditor of the agent and may not benefit from any set-off between the agent and the borrower. When a Portfolio purchases assignments from agents it acquires direct rights against the borrowers of the loans. These loans may include participations in bridge loans, which are loans taken out by borrowers for a short period (typically less than one year) pending arrangement of more permanent financing through, for example, the issuance of bonds, frequently high yield bonds issued for the purpose of acquisitions.
Investments in loans are generally subject to risks similar to those of investments in other types of debt obligations, including, among others, credit risk, interest rate risk, variable and floating rate
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securities risk, and risks associated with mortgage-related securities. In addition, in many cases loans are subject to the risks associated with below-investment grade securities. The Portfolios may be subject to heightened or additional risks and potential liabilities and costs by investing in mezzanine and other subordinated loans, including those arising under bankruptcy, fraudulent conveyance, equitable subordination, environmental and other laws and regulations, and risks and costs associated with debt servicing and taking foreclosure actions associated with the loans.
Additionally, because loans are not ordinarily registered with the SEC or any state securities commission or listed on any securities exchange, there is usually less publicly available information about such instruments. In addition, loans may not be considered “securities” for purposes of the anti-fraud provisions under the federal securities laws and, as a result, as a purchaser of these instruments, a Portfolio may not be entitled to the anti-fraud protections of the federal securities laws. In the course of investing in such instruments, a Portfolio may come into possession of material nonpublic information and, because of prohibitions on trading in securities of issuers while in possession of such information, the Portfolio may be unable to enter into a transaction in a publicly-traded security of that issuer when it would otherwise be advantageous for the Portfolio to do so. Alternatively, a Portfolio may choose not to receive material nonpublic information about an issuer of such loans, with the result that the Portfolio may have less information about such issuers than other investors who transact in such assets.
The types of loans and related investments in which the Portfolios may invest include, among others, senior loans, subordinated loans (including second lien loans, B-Notes and mezzanine loans), whole loans, commercial real estate and other commercial loans and structured loans. The Portfolios may acquire direct interests in loans through primary loan distributions and/or in private transactions. In the case of subordinated loans, there may be significant indebtedness ranking ahead of the borrower’s obligation to the holder of such a loan, including in the event of the borrower’s insolvency. Mezzanine loans are typically secured by a pledge of an equity interest in the mortgage borrower that owns the real estate rather than an interest in a mortgage.
Investments in loans may include unfunded loan commitments, which are contractual obligations for future funding. Unfunded loan commitments may include revolving credit facilities, which may obligate a Portfolio to supply additional cash to the borrower on demand. Unfunded loan commitments represent a future obligation in full, even though a percentage of the committed amount may not be utilized by the borrower. When investing in a loan participation, a Portfolio has the right to receive payments of principal, interest and any fees to which it is entitled only from the agent selling the loan agreement and only upon receipt of payments by the agent from the borrower. Because investing in unfunded loan commitments creates a future obligation for a Portfolio to provide funding to a borrower upon demand in exchange for a fee, the Portfolio will segregate or earmark liquid assets with the Portfolio’s custodian in amounts sufficient to satisfy any such future obligations. A Portfolio may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a loan. In certain circumstances, a Portfolio may receive a penalty fee upon the prepayment of a loan by a borrower. Fees earned or paid are recorded as a component of interest income or interest expense, respectively, on the Statements of Operations. As of December 31, 2017, the Portfolios had no unfunded loan commitments outstanding.
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Notes to Financial Statements (Cont.)
Mortgage-Related and Other Asset-Backed Securities directly or indirectly represent a participation in, or are secured by and payable from, loans on real property. Mortgage-related securities are created from pools of residential or commercial mortgage loans, including mortgage loans made by savings and loan institutions, mortgage bankers, commercial banks and others. These securities typically provide a monthly payment which consists of both principal and interest. Interest may be determined by fixed or adjustable rates. In times of declining interest rates, there is a greater likelihood that a Portfolio’s higher yielding securities will be pre-paid with the Portfolio being unable to reinvest the proceeds in an investment with as great a yield. The rate of prepayments on underlying mortgages will affect the price and volatility of a mortgage-related security, and may have the effect of shortening or extending the effective duration of the security relative to what was anticipated at the time of purchase. Interest-only and principal-only securities are especially sensitive to interest rate changes, which can affect not only their prices but can also change the income flows and repayment assumptions about those investments. The timely payment of principal and interest of certain mortgage-related securities is guaranteed with the full faith and credit of the U.S. Government. Pools created and guaranteed by non-governmental issuers, including government-sponsored corporations, may be supported by various forms of insurance or guarantees, but there can be no assurance that private insurers or guarantors can meet their obligations under the insurance policies or guarantee arrangements. Many of the risks of investing in mortgage-related securities secured by commercial mortgage loans (“CMBS”) reflect the effects of local and other economic conditions on real estate markets, the ability of tenants to make lease payments, and the ability of a property to attract and retain tenants. These securities may be less liquid and may exhibit greater price volatility than other types of mortgage-related or other asset-backed securities. Other asset-backed securities are created from many types of assets, including without limitation, auto loans, credit card receivables, home equity loans, and student loans. The Portfolios may invest in any level of the capital structure of an issuer of mortgage-backed or asset-backed securities, including the equity or “first loss” tranche.
Collateralized Debt Obligations (“CDOs”) include Collateralized Bond Obligations (“CBOs”), Collateralized Loan Obligations (“CLOs”) and other similarly structured securities. CBOs and CLOs are types of asset-backed securities. A CBO is a trust which is typically backed by a diversified pool of high risk, below investment grade fixed income securities. A CLO is a trust typically collateralized by a pool of loans, which may include, among others, domestic and foreign senior secured loans, senior unsecured loans, and subordinate corporate loans, including loans that may be rated below investment grade or equivalent unrated loans. For both CBOs and CLOs, the cash flows from the trust are split into two or more portions, called tranches, varying in risk and yield. The riskiest portion is the “equity” tranche which bears the bulk of defaults from the bonds or loans in the trust and serves to protect the other, more senior tranches from default in all but the most severe circumstances. Since it is partially protected from defaults, a senior tranche from a CBO trust or CLO trust typically has higher ratings and lower yields than the underlying securities, and can be rated investment grade. Despite the protection from the equity tranche, CBO or CLO tranches can experience substantial losses due to actual defaults, increased sensitivity to defaults due to collateral default and disappearance of protecting tranches, market anticipation of defaults and aversion to CBO or CLO securities as a class. The risks of an investment in a CDO depend largely on the type of the collateral securities and the class of the CDO in which a Portfolio invests. CDOs carry additional risks including, but not limited to, (i) the possibility that distributions from collateral securities will not be adequate to make interest or other payments, (ii) the collateral may decline in value or
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default, (iii) a Portfolio may invest in CDOs that are subordinate to other classes, and (iv) the complex structure of the security may not be fully understood at the time of investment and may produce disputes with the issuer or unexpected investment results.
Collateralized Mortgage Obligations (“CMOs”) are debt obligations of a legal entity that are collateralized by whole mortgage loans or private mortgage bonds and divided into classes. CMOs are structured into multiple classes, often referred to as “tranches”, with each class bearing a different stated maturity and entitled to a different schedule for payments of principal and interest, including prepayments. CMOs may be less liquid and may exhibit greater price volatility than other types of mortgage-related or asset-backed securities.
As CMOs have evolved, some classes of CMO bonds have become more common. For example, a Portfolio may invest in parallel-pay and planned amortization class (“PAC”) CMOs and multi-class pass-through certificates. Parallel-pay CMOs and multi-class pass-through certificates are structured to provide payments of principal on each payment date to more than one class. These simultaneous payments are taken into account in calculating the stated maturity date or final distribution date of each class, which, as with other CMO and multi-class pass-through structures, must be retired by its stated maturity date or final distribution date but may be retired earlier. PACs generally require payments of a specified amount of principal on each payment date. PACs are parallel-pay CMOs with the required principal amount on such securities having the highest priority after interest has been paid to all classes. Any CMO or multi-class pass-through structure that includes PAC securities must also have support tranches — known as support bonds, companion bonds or non-PAC bonds — which lend or absorb principal cash flows to allow the PAC securities to maintain their stated maturities and final distribution dates within a range of actual prepayment experience. These support tranches are subject to a higher level of maturity risk compared to other mortgage-related securities, and usually provide a higher yield to compensate investors. If principal cash flows are received in amounts outside a pre-determined range such that the support bonds cannot lend or absorb sufficient cash flows to the PAC securities as intended, the PAC securities are subject to heightened maturity risk. A Portfolio may invest in various tranches of CMO bonds, including support bonds and equity or “first loss” tranches (see “Collateralized Debt Obligations” above).
Payment In-Kind Securities (“PIKs”) may give the issuer the option at each interest payment date of making interest payments in either cash or additional debt securities. Those additional debt securities usually have the same terms, including maturity dates and interest rates, and associated risks as the original bonds. The daily market quotations of the original bonds may include the accrued interest (referred to as a dirty price) and require a pro rata adjustment from the unrealized appreciation (depreciation) on investments to interest receivable on the Statement of Assets and Liabilities.
Restricted Investments are subject to legal or contractual restrictions on resale and may generally be sold privately, but may be required to be registered or exempted from such registration before being sold to the public. Private placement securities are generally considered to be restricted except for those securities traded between qualified institutional investors under the provisions of Rule 144A of the Securities Act of 1933. Disposal of restricted investments may involve time-consuming negotiations and expenses, and prompt sale at an acceptable price may be difficult to achieve. Restricted investments held by the Portfolios at December 31, 2017 are disclosed in the Notes to Schedules of Investments.
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Notes to Financial Statements (Cont.)
Securities Issued by U.S. Government Agencies or Government-Sponsored Enterprises are obligations of and, in certain cases, guaranteed by, the U.S. Government, its agencies or instrumentalities. Some U.S. Government securities, such as Treasury bills, notes and bonds, and securities guaranteed by the Government National Mortgage Association (“GNMA” or “Ginnie Mae”), are supported by the full faith and credit of the U.S. Government; others, such as those of the Federal Home Loan Banks, are supported by the right of the issuer to borrow from the U.S. Department of the Treasury (the “U.S. Treasury”); and others, such as those of the Federal National Mortgage Association (“FNMA” or “Fannie Mae”), are supported by the discretionary authority of the U.S. Government to purchase the agency’s obligations. U.S. Government securities may include zero coupon securities. Zero coupon securities do not distribute interest on a current basis and tend to be subject to a greater risk than interest-paying securities.
Government-related guarantors (i.e., not backed by the full faith and credit of the U.S. Government) include FNMA and the Federal Home Loan Mortgage Corporation (“FHLMC” or “Freddie Mac”). FNMA is a government-sponsored corporation. FNMA purchases conventional (i.e., not insured or guaranteed by any government agency) residential mortgages from a list of approved seller/servicers which include state and federally chartered savings and loan associations, mutual savings banks, commercial banks and credit unions and mortgage bankers. Pass-through securities issued by FNMA are guaranteed as to timely payment of principal and interest by FNMA, but are not backed by the full faith and credit of the U.S. Government. FHLMC issues Participation Certificates (“PCs”), which are pass-through securities, each representing an undivided interest in a pool of residential mortgages. FHLMC guarantees the timely payment of interest and ultimate collection of principal, but PCs are not backed by the full faith and credit of the U.S. Government.
Roll-timing strategies can be used where a Portfolio seeks to extend the expiration or maturity of a position, such as a TBA security on an underlying asset, by closing out the position before expiration and opening a new position with respect to substantially the same underlying asset with a later expiration date. TBA securities purchased or sold are reflected on the Statements of Assets and Liabilities as an asset or liability, respectively. Recently finalized FINRA rules include mandatory margin requirements for the TBA market that require the Portfolios to post collateral in connection with their TBA transactions. There is no similar requirement applicable to the Portfolios’ TBA counterparties. The required collateralization of TBA trades could increase the cost of TBA transactions to the Portfolios and impose added operational complexity.
When-Issued Transactions are purchases or sales made on a when-issued basis. These transactions are made conditionally because a security, although authorized, has not yet been issued in the market. Transactions to purchase or sell securities on a when-issued basis involve a commitment by a Portfolio to purchase or sell these securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. When purchasing a security on a delayed delivery basis, a Portfolio assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations. A Portfolio may sell when-issued securities before they are delivered, which may result in a realized gain (loss).
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5. BORROWINGS AND OTHER FINANCING TRANSACTIONS
The Portfolios may enter into the borrowings and other financing transactions described below to the extent permitted by each Portfolio’s respective investment policies.
The following disclosures contain information on a Portfolio’s ability to lend or borrow cash or securities to the extent permitted under the Act, which may be viewed as borrowing or financing transactions by a Portfolio. The location of these instruments in each Portfolio’s financial statements is described below. For a detailed description of credit and counterparty risks that can be associated with borrowings and other financing transactions; please see Note 7, Principal Risks.
(a) Repurchase Agreements Under the terms of a typical repurchase agreement, a Portfolio purchases an underlying debt obligation (collateral) subject to an obligation of the seller to repurchase, and a Portfolio to resell, the obligation at an agreed-upon price and time. In an open maturity repurchase agreement, there is no pre-determined repurchase date and the agreement can be terminated by the Portfolio or counterparty at any time. The underlying securities for all repurchase agreements are held by a Portfolio’s custodian or designated subcustodians under tri-party repurchase agreements and in certain instances will remain in custody with the counterparty. The market value of the collateral must be equal to or exceed the total amount of the repurchase obligations, including interest. Repurchase agreements, if any, including accrued interest, are included on the Statements of Assets and Liabilities. Interest earned is recorded as a component of interest income on the Statements of Operations. In periods of increased demand for collateral, a Portfolio may pay a fee for the receipt of collateral, which may result in interest expense to the Portfolio.
(b) Reverse Repurchase Agreements In a reverse repurchase agreement, a Portfolio delivers a security in exchange for cash to a financial institution, the counterparty, with a simultaneous agreement to repurchase the same or substantially the same security at an agreed upon price and date. In an open maturity reverse repurchase agreement, there is no pre-determined repurchase date and the agreement can be terminated by the Portfolio or counterparty at any time. A Portfolio is entitled to receive principal and interest payments, if any, made on the security delivered to the counterparty during the term of the agreement. Cash received in exchange for securities delivered plus accrued interest payments to be made by a Portfolio to counterparties are reflected as a liability on the Statements of Assets and Liabilities. Interest payments made by a Portfolio to counterparties are recorded as a component of interest expense on the Statements of Operations. In periods of increased demand for the security, a Portfolio may receive a fee for use of the security by the counterparty, which may result in interest income to the Portfolio. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, a Portfolio’s use of the proceeds of the agreement may be restricted pending a determination by the other party, or its trustee or receiver, whether to enforce a Portfolio’s obligation to repurchase the securities. Reverse repurchase agreements involve leverage risk and also the risk that the market value of the securities to be repurchased may decline below the repurchase price; please see Note 7, Principal Risks. A Portfolio will segregate assets determined to be liquid by PIMCO or will otherwise cover its obligations under reverse repurchase agreements.
(c) Sale-Buybacks A sale-buyback financing transaction consists of a sale of a security by a Portfolio to a financial institution, the counterparty, with a simultaneous agreement to repurchase the same or
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Notes to Financial Statements (Cont.)
substantially the same security at an agreed-upon price and date. A Portfolio is not entitled to receive principal and interest payments, if any, made on the security sold to the counterparty during the term of the agreement. The agreed-upon proceeds for securities to be repurchased by a Portfolio are reflected as a liability on the Statements of Assets and Liabilities. A Portfolio will recognize net income represented by the price differential between the price received for the transferred security and the agreed-upon repurchase price. This is commonly referred to as the ‘price drop’. A price drop consists of (i) the foregone interest and inflationary income adjustments, if any, a Portfolio would have otherwise received had the security not been sold and (ii) the negotiated financing terms between a Portfolio and counterparty. Foregone interest and inflationary income adjustments, if any, are recorded as components of interest income on the Statements of Operations. Interest payments based upon negotiated financing terms made by a Portfolio to counterparties are recorded as a component of interest expense on the Statements of Operations. In periods of increased demand for the security, a Portfolio may receive a fee for use of the security by the counterparty, which may result in interest income to the Portfolio. A Portfolio will segregate assets determined to be liquid by PIMCO or will otherwise cover its obligations under sale-buyback transactions. Sale-buybacks involve leverage risk and also the risk that the market value of the securities to be repurchased may decline below the repurchase price (see Note 7, Principal Risks).
(d) Short Sales Short sales are transactions in which a Portfolio sells a security that it may not own. A Portfolio may make short sales of securities to (i) offset potential declines in long positions in similar securities, (ii) to increase the flexibility of the Portfolio, (iii) for investment return, (iv) as part of a risk arbitrage strategy, and (v) as part of its overall portfolio management strategies involving the use of derivative instruments. When a Portfolio engages in a short sale, it may borrow the security sold short and deliver it to the counterparty. A Portfolio will ordinarily have to pay a fee or premium to borrow a security and be obligated to repay the lender of the security any dividend or interest that accrues on the security during the period of the loan. Securities sold in short sale transactions and the dividend or interest payable on such securities, if any, are reflected as payable for short sales on the Statements of Assets and Liabilities. Short sales expose a Portfolio to the risk that it will be required to cover its short position at a time when the security or other asset has appreciated in value, thus resulting in losses to a Portfolio. A short sale is “against the box” if a Portfolio holds in its portfolio or has the right to acquire the security sold short at no additional cost. A Portfolio will be subject to additional risks to the extent that it engages in short sales that are not “against the box.” A Portfolio’s loss on a short sale could theoretically be unlimited in cases where a Portfolio is unable, for whatever reason, to close out its short position.
(e) Tender Option Bond Transactions In a tender option bond transaction (“TOB”), a tender option bond trust (“TOB Trust”) issues floating rate certificates (“TOB Floater”) and residual interest certificates (“TOB Residual”) and utilizes the proceeds of such issuances to purchase a fixed rate municipal bond (“Fixed Rate Bond”). The TOB Floater is generally issued to third party investors (typically a money market fund) and the TOB Residual is generally issued to a Portfolio that deposited or identified the Fixed Rate Bond. The TOB Trust divides the income stream provided by the Fixed Rate Bond to create two securities, the TOB Floater, which is a short-term security, and the TOB Residual, which is a longer-term security. The interest rates payable on the TOB Residual bear an inverse relationship to the interest rate on the TOB Floater. The interest rate on the TOB Floater is reset by a remarketing process typically every 7 to 35 days. After income is paid on the TOB Floater
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at current rates, the residual income from the Fixed Rate Bond goes to the TOB Residual. Therefore, rising short-term rates result in lower income for the TOB Residual, and vice versa. In the case of a TOB Trust that utilizes the cash received (less transaction expenses) from the issuance of the TOB Floater and TOB Residual to purchase the Fixed Rate Bond from a Portfolio, a Portfolio may then invest the cash received in additional securities, generating leverage for a Portfolio. Other PIMCO-managed accounts may also contribute municipal bonds to a TOB Trust into which a Portfolio has contributed Fixed Rate Bonds. If multiple PIMCO-managed accounts participate in the same TOB Trust, the economic rights and obligations under the TOB Residual will be shared among the Portfolios ratably in proportion to their participation in the TOB Trust.
The TOB Residual may be more volatile and less liquid than other municipal bonds of comparable maturity. In most circumstances the TOB Residual holder bears substantially all of the underlying Fixed Rate Bond’s downside investment risk and also benefits from any appreciation in the value of the underlying Fixed Rate Bond. Investments in a TOB Residual typically will involve greater risk than investments in Fixed Rate Bonds.
A TOB Residual held by a Portfolio provides the Portfolio with the right to: (1) cause the holders of the TOB Floater to tender their notes at par, and (2) cause the sale of the Fixed Rate Bond held by the TOB Trust, thereby collapsing the TOB Trust. TOB Trusts are generally supported by a liquidity facility provided by a third party bank or other financial institution (the “Liquidity Provider”) that provides for the purchase of TOB Floaters that cannot be remarketed. The holders of the TOB Floaters have the right to tender their certificates in exchange for payment of par plus accrued interest on a periodic basis (typically weekly) or on the occurrence of certain mandatory tender events. The tendered TOB Floaters are remarketed by a remarketing agent, which is typically an affiliated entity of the Liquidity Provider. If the TOB Floaters cannot be remarketed, the TOB Floaters are purchased by the TOB Trust either from the proceeds of a loan from the Liquidity Provider or from a liquidation of the Fixed Rate Bond.
The TOB Trust may also be collapsed without the consent of a Portfolio, as the TOB Residual holder, upon the occurrence of certain “tender option termination events” (or “TOTEs”) as defined in the TOB Trust agreements. Such termination events typically include the bankruptcy or default of the Fixed Rate Bond, a substantial downgrade in credit quality of the Fixed Rate Bond, or a judgment or ruling that interest on the Fixed Rate Bond is subject to Federal income taxation. Upon the occurrence of a termination event, the TOB Trust would generally be liquidated in full with the proceeds typically applied first to any accrued fees owed to the trustee, remarketing agent and liquidity provider, and then to the holders of the TOB Floater up to par plus accrued interest owed on the TOB Floater and a portion of gain share, if any, with the balance paid out to the TOB Residual holder. In the case of a mandatory termination event (“MTE”), after the payment of fees, the TOB Floater holders would be paid before the TOB Residual holders (i.e., the Portfolios). In contrast, in the case of a TOTE, after payment of fees, the TOB Floater holders and the TOB Residual holders would be paid pro rata in proportion to the respective face values of their certificates.
Each Portfolio’s transfer of Fixed Rate Bonds to a TOB Trust is considered a secured borrowing for financial reporting purposes. The cash received by the TOB Trust from the sale of the TOB Floaters, less certain transaction expenses, is paid to a Portfolio. A Portfolio typically invests the cash received in additional municipal bonds. The Portfolios account for the transactions described above as secured
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borrowings by including the Fixed Rate Bonds in their Schedules of Investments, and account for the TOB Floater as a liability under the caption “Payable for tender option bond floating rate certificates” in the Portfolios’ Statements of Assets and Liabilities. Interest income, including amortization and accretion of premiums and discounts, from the underlying municipal bonds is recorded by each Portfolio on an accrual basis and is shown as interest on the Statements of Operations. Interest expense incurred on the secured borrowing is shown as interest expense on the Statements of Operations.
The Portfolios may also purchase TOB Residuals in a secondary market transaction without transferring a fixed rate municipal bond into a TOB Trust. Such transactions are not accounted for as secured borrowings but rather as a security purchase with the TOB Residual being included in the Schedule of Investments.
In December 2013, regulators finalized rules implementing Section 619 (the “Volcker Rule”) and Section 941 (the “Risk Retention Rules”) of the Dodd-Frank Wall Street Reform and Consumer Protection Act. Both the Volcker Rule and the Risk Retention Rules apply to tender option bond programs and require that such programs be restructured. In particular, these rules preclude banking entities from (i) sponsoring or acquiring interests in the trusts used to hold a municipal bond in the creation of TOB Trusts; and (ii) continuing to service or maintain relationships with existing programs involving TOB Trusts to the same extent and in the same capacity as existing programs.
At this time, the full impact of these rules is not certain; however, in response to these rules, industry participants are continuing to explore various structuring alternatives for both TOB Trusts established after December 31, 2013 and TOB Trusts established prior to December 31, 2013 (“Legacy TOB Trusts”). For example, under a new tender option bond structure, the Portfolios would hire service providers to assist with establishing, structuring and sponsoring a TOB Trust. Service providers to a TOB Trust, such as administrators, liquidity providers, trustees and remarketing agents would be acting at the direction of, and as agent of, the Portfolios as the TOB residual holders. This structure is relatively new to the TOB marketplace and it is possible that regulators could take positions that could limit the market for such newly structured TOB Trust transactions or the Portfolios’ ability to hold TOB Residuals. Because of the important role that tender option bond programs play in the municipal bond market, it is possible that implementation of these rules may adversely impact the municipal bond market and the Portfolios. For example, as a result of the implementation of these rules, the municipal bond market may experience reduced demand or liquidity and increased financing costs. Under the new TOB Trust structure, the Portfolios have certain additional duties and responsibilities, which may give rise to certain additional risks including, but not limited to, compliance, legal, regulatory and operational risks.
The Risk Retention Rules took effect in December 2016 and require the sponsor to a TOB Trust to retain at least five percent of the credit risk of the underlying assets supporting the TOB Trust’s municipal bonds. The Risk Retention Rules may adversely affect the Portfolios’ ability to engage in TOB Trust transactions or increase the costs of such transactions in certain circumstances.
The Portfolios have restructured their Legacy TOB Trusts in conformity with regulatory guidelines. Under the new TOB Trust structure, the Liquidity Provider or remarketing agent will no longer purchase the tendered TOB Floaters, even in the event of failed remarketing. This may increase the
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likelihood that a TOB Trust will need to be collapsed and liquidated in order to purchase the tendered TOB Floaters. The TOB Trust may draw upon a loan from the Liquidity Provider to purchase the tendered TOB Floaters. Any loans made by the Liquidity Provider will be secured by the purchased TOB Floaters held by the TOB Trust and will be subject to an increased interest rate based on the number of days the loan is outstanding.
For the period ended December 31, 2017, the Portfolios’ average leverage outstanding from the use of TOB transactions and the daily weighted average interest rate, including fees, were as follows:
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| Portfolio Name | | | | | Average Leverage
Outstanding (000s) | | | Weighted Average
Interest Rate | |
| Fixed Income Shares - Series TE | | | | | | $ | 2,155 | | | | 1.55% | |
6. FINANCIAL DERIVATIVE INSTRUMENTS
The Portfolios may enter into the financial derivative instruments described below to the extent permitted by each Portfolio’s respective investment policies.
The following disclosures contain information on how and why the Portfolios use financial derivative instruments, and how financial derivative instruments affect the Portfolios’ financial position, results of operations and cash flows. The location and fair value amounts of these instruments on the Statements of Assets and Liabilities and the net realized gain (loss) and net change in unrealized appreciation (depreciation) on the Statements of Operations, each categorized by type of financial derivative contract and related risk exposure, are included in a table in the Notes to Schedules of Investments. The financial derivative instruments outstanding as of period end and the amounts of net realized gain (loss) and net change in unrealized appreciation (depreciation) on financial derivative instruments during the period, as disclosed in the Notes to Schedules of Investments, serve as indicators of the volume of financial derivative activity for the Portfolios.
(a) Forward Foreign Currency Contracts may be engaged, in connection with settling planned purchases or sales of securities, to hedge the currency exposure associated with some or all of a Portfolio’s securities or as part of an investment strategy. A forward foreign currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. The market value of a forward foreign currency contract fluctuates with changes in foreign currency exchange rates. Forward foreign currency contracts are marked to market daily, and the change in value is recorded by a Portfolio as an unrealized gain (loss). Realized gains (losses) are equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed and are recorded upon delivery or receipt of the currency. The contractual obligations of a buyer or seller of a forward foreign currency contract may generally be satisfied by taking or making physical delivery of the underlying currency, establishing an opposite position in the contract and recognizing the profit or loss on both positions simultaneously on the delivery date or, in some instances, paying a cash settlement before the designated date of delivery. These contracts may involve market risk in excess of the unrealized gain (loss) reflected on the Statements of Assets and Liabilities. Although forwards may be intended to minimize the risk of loss due to a decline in the value of the hedged currencies, at the same time, they tend to limit any potential gain which might result should the value of such currencies increase. In addition, a Portfolio could be exposed to risk if the counterparties are unable to meet the terms of the contracts or if the value of the currency
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changes unfavorably to the U.S. dollar. To mitigate such risk, cash or securities may be exchanged as collateral pursuant to the terms of the underlying contracts.
(b) Futures Contracts are agreements to buy or sell a security or other asset for a set price on a future date. A Portfolio may use futures contracts to manage its exposure to the securities markets or to movements in interest rates and currency values or for other investment purposes. Generally, a futures contract provides for the future sale by one party and purchase by another party of a specified quantity of the security or other financial instrument at a specified price and time. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in market value of the securities held by a Portfolio and the prices of futures contracts and the possibility of an illiquid market. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, a Portfolio is required to deposit with its futures broker an amount of cash, U.S. Government and Agency Obligations, or select sovereign debt, in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and based on changes in the price of the contracts, a Portfolio pays or receives cash or other eligible assets equal to the daily change in the value of the contract (“variation margin”). Gains (losses) are recognized but not considered realized until the contracts expire or close. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin included within exchange traded or centrally cleared financial derivative instruments on the Statements of Assets and Liabilities.
(c) Options Contracts An option on an instrument (or an index) is a contract that gives the holder of the option, in return for a premium, the right to buy from (in the case of a call) or sell to (in the case of a put) the writer of the option the instrument underlying the option (or the cash value of the index) at a specified exercise price at any time during the term of the option. Writing put options tends to increase a Portfolio’s exposure to the underlying instrument. Writing call options tends to decrease a Portfolio’s exposure to the underlying instrument. When a Portfolio writes a call or put, an amount equal to the premium received is recorded as a liability and subsequently marked to market to reflect the current value of the option written. These liabilities are included on the Statements of Assets and Liabilities. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against amounts paid on the underlying futures, swap, security or currency transaction to determine the realized gain (loss). Certain options may be written with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms. A Portfolio as a writer of an option has no control over whether the underlying instrument may be sold (“call”) or purchased (“put”) and as a result bears the market risk of an unfavorable change in the price of the instrument underlying the written option. There is the risk a Portfolio may not be able to enter into a closing transaction because of an illiquid market.
Purchasing call options tends to increase a Portfolio’s exposure to the underlying instrument. Purchasing put options tends to decrease a Portfolio’s exposure to the underlying instrument. A Portfolio pays a premium which is included as an asset on the Statements of Assets and Liabilities and subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options which expire are treated as realized losses. Certain options may be purchased with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms. The risk associated with purchasing put and call
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options is limited to the premium paid. Premiums paid for purchasing options which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain (loss) when the underlying transaction is executed.
Credit Default Swaptions may be written or purchased to hedge exposure to the credit risk of an investment without making a commitment to the underlying instrument. A credit default swaption is an option to sell or buy credit protection on a specific reference by entering into a pre-defined swap agreement by some specified date in the future.
Foreign Currency Options may be written or purchased to be used as a short or long hedge against possible variations in foreign exchange rates or to gain exposure to foreign currencies. Purchasing foreign currency options gives a Portfolio the right, but not the obligation to buy or sell specified amounts of currency at a rate of exchange that may be exercised by a certain date.
Inflation-Capped Options may be written or purchased to enhance returns or for hedging opportunities. The purpose of purchasing inflation-capped options is to protect a Portfolio from inflation erosion above a certain rate on a given notional exposure. A floor can be used to give downside protection to investments in inflation-linked products.
Interest Rate-Capped Options may be written or purchased to enhance returns or for hedging opportunities. The purpose of purchasing interest rate-capped options is to protect a Portfolio from floating rate risk above a certain rate on a given notional exposure. A floor can be used to give downside protection to investments in interest rate linked products.
Interest Rate Swaptions are options to enter into a pre-defined swap agreement by some specified date in the future. The writer of the swaption becomes the counterparty to the swap if the buyer exercises. The interest rate swaption agreement will specify whether the buyer of the swaption will be a fixed-rate receiver or a fixed-rate payer upon exercise.
Options on Exchange-Traded Futures Contracts (“Futures Option”) may be written or purchased to hedge an existing position or future investment, for speculative purposes or to manage exposure to market movements. A Futures Option is an option contract in which the underlying instrument is a single futures contract.
Options on Securities may be written or purchased to enhance returns or to hedge an existing position or future investment. An option on a security uses a specified security as the underlying instrument for the option contract.
(d) Swap Agreements are bilaterally negotiated agreements between a Portfolio and a counterparty to exchange or swap investment cash flows, assets, foreign currencies or market-linked returns at specified, future intervals. Swap agreements may be privately negotiated in the over the counter market (“OTC swaps”) or may be cleared through a third party, known as a central counterparty or derivatives clearing organization (“Centrally Cleared Swaps”). A Portfolio may enter into asset, credit default, cross-currency, interest rate, total return, variance and other forms of swap agreements to manage its exposure to credit, currency, interest rate, commodity, equity and inflation risk. In connection with these agreements, securities or cash may be identified as collateral or margin in
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accordance with the terms of the respective swap agreements to provide assets of value and recourse in the event of default or bankruptcy/insolvency.
Centrally Cleared Swaps are marked to market daily based upon valuations as determined from the underlying contract or in accordance with the requirements of the central counterparty or derivatives clearing organization. Changes in market value, if any, are reflected as a component of net change in unrealized appreciation (depreciation) on the Statements of Operations. Daily changes in valuation of centrally cleared swaps, if any, are recorded as variation margin on the Statements of Assets and Liabilities. Centrally Cleared and OTC swap payments received or paid at the beginning of the measurement period are included on the Statements of Assets and Liabilities and represent premiums paid or received upon entering into the swap agreement to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors). Upfront premiums received (paid) are initially recorded as liabilities (assets) and subsequently marked to market to reflect the current value of the swap. These upfront premiums are recorded as realized gain (loss) on the Statements of Operations upon termination or maturity of the swap. A liquidation payment received or made at the termination of the swap is recorded as realized gain (loss) on the Statements of Operations. Net periodic payments received or paid by a Portfolio are included as part of realized gain (loss) on the Statements of Operations.
For purposes of applying a Portfolio’s investment policies and restrictions, swap agreements are generally valued by a Portfolio at market value. See Note 6 - Asset Segregation below. In the case of a credit default swap, in applying certain of a Portfolio’s investment policies and restrictions, the Portfolios will value the credit default swap at its notional value or its full exposure value (i.e., the sum of the notional amount for the contract plus the market value), but may value the credit default swap at market value for purposes of applying certain of a Portfolio’s other investment policies and restrictions. For example, a Portfolio may value credit default swaps at full exposure value for purposes of a Portfolio’s credit quality guidelines (if any) because such value in general better reflects a Portfolio’s actual economic exposure during the term of the credit default swap agreement. As a result, a Portfolio may, at times, have notional exposure to an asset class (before netting) that is greater or lesser than the stated limit or restriction noted in a Portfolio’s prospectus. In this context, both the notional amount and the market value may be positive or negative depending on whether a Portfolio is selling or buying protection through the credit default swap. The manner in which certain securities or other instruments are valued by a Portfolio for purposes of applying investment policies and restrictions may differ from the manner in which those investments are valued by other types of investors.
Entering into swap agreements involves, to varying degrees, elements of interest, credit, market and documentation risk in excess of the amounts recognized on the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of contractual terms in the agreements and that there may be unfavorable changes in interest rates or the values of the asset upon which the swap is based.
A Portfolio’s maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from the counterparty over the contract’s remaining life, to the extent that
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amount is positive. The risk may be mitigated by having a master netting arrangement between a Portfolio and the counterparty and by the posting of collateral to a Portfolio to cover a Portfolio’s exposure to the counterparty.
To the extent a Portfolio has a policy to limit the net amount owed to or to be received from a single counterparty under existing swap agreements, such limitation only applies to counterparties to OTC swaps and does not apply to centrally cleared swaps where the counterparty is a central counterparty or derivatives clearing organization.
Credit Default Swap Agreements on corporate, loan, sovereign, U.S. municipal or U.S. Treasury issues are entered into to provide a measure of protection against defaults of the issuers (i.e., to reduce risk where a Portfolio owns or has exposure to the referenced obligation) or to take an active long or short position with respect to the likelihood of a particular issuer’s default. Credit default swap agreements involve one party making a stream of payments (referred to as the buyer of protection) to another party (the seller of protection) in exchange for the right to receive a specified return in the event that the referenced entity, obligation or index, as specified in the swap agreement, undergoes a certain credit event. As a seller of protection on credit default swap agreements, a Portfolio will generally receive from the buyer of protection a fixed rate of income throughout the term of the swap provided that there is no credit event. As the seller, a Portfolio would effectively add leverage to its portfolio because, in addition to its total net assets, a Portfolio would be subject to investment exposure on the notional amount of the swap.
If a Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a Portfolio 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, other deliverable obligations or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. If a Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. Recovery values are estimated by market makers considering either industry standard recovery rates or entity specific factors and considerations until a credit event occurs. If a credit event has occurred, the recovery value is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the settlement value. The ability to deliver other obligations may result in a cheapest-to-deliver option (the buyer of protection’s right to choose the deliverable obligation with the lowest value following a credit event).
Credit default swap agreements on corporate or sovereign issues involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a default or other credit event. If a credit event occurs and cash settlement is not elected, a variety of other deliverable obligations may be delivered in lieu of the specific referenced obligation. The ability
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to deliver other obligations may result in a cheapest-to-deliver option (the buyer of protection’s right to choose the deliverable obligation with the lowest value following a credit event).
Credit default swap agreements on credit indices involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a write-down, principal shortfall, interest shortfall or default of all or part of the referenced entities comprising the credit index. A credit index is a basket of credit instruments or exposures designed to be representative of some part of the credit market as a whole. These indices are made up of reference credits that are judged by a poll of dealers to be the most liquid entities in the credit default swap market based on the sector of the index. Components of the indices may include, but are not limited to, investment grade securities, high yield securities, asset-backed securities, emerging markets, and/or various credit ratings within each sector. Credit indices are traded using credit default swaps with standardized terms including a fixed spread and standard maturity dates. An index credit default swap references all the names in the index, and if there is a default, the credit event is settled based on that name’s weight in the index. The composition of the indices changes periodically, usually every six months, and for most indices, each name has an equal weight in the index. Credit default swaps on credit indices may be used to hedge a portfolio of credit default swaps or bonds, which is less expensive than it would be to buy many credit default swaps to achieve a similar effect or to take an active long or short position with respect to the likelihood of a particular referenced obligation’s default. Credit default swaps on indices are instruments often used to attempt to protect investors owning bonds against default, but may also be used for speculative purposes.
Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate, loan, sovereign, U.S. municipal or U.S. Treasury issues as of period end, if any, are disclosed in the Notes to Schedules of Investments. They serve as an indicator of the current status of payment/performance risk and represent the likelihood or risk of default for the reference entity. 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. For credit default swap agreements on asset-backed securities and credit indices, the quoted market prices and resulting values serve as the indicator of the current status of the payment/performance risk. Increasing market values, in absolute terms when compared to the notional amount of the swap, 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.
The maximum potential amount of future payments (undiscounted) that a Portfolio as a seller of protection could be required to make under a credit default swap agreement equals the notional amount of the agreement. Notional amounts of each individual credit default swap agreement outstanding as of period end for which a Portfolio is the seller of protection are disclosed in the Notes to Schedules of Investments. These potential amounts would be partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swap agreements entered into by a Portfolio for the same referenced entity or entities.
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Interest Rate Swap Agreements may be entered into to help hedge against interest rate risk exposure and to maintain the Portfolio’s ability to generate income at prevailing market rates. The value of the fixed rate bonds that the Portfolios hold may decrease if interest rates rise. To help hedge against this risk and to maintain its ability to generate income at prevailing market rates, a Portfolio may enter into interest rate swap agreements. Interest rate swap agreements involve the exchange by a Portfolio with another party for their respective commitment to pay or receive interest on the notional amount of principal. Certain forms of interest rate swap agreements may include: (i) interest rate caps, under which, in return for a premium, one party agrees to make payments to the other to the extent that interest rates exceed a specified rate, or “cap”, (ii) interest rate floors, under which, in return for a premium, one party agrees to make payments to the other to the extent that interest rates fall below a specified rate, or “floor”, (iii) interest rate collars, under which a party sells a cap and purchases a floor or vice versa in an attempt to protect itself against interest rate movements exceeding given minimum or maximum levels, (iv) callable interest rate swaps, under which the buyer pays an upfront fee in consideration for the right to early terminate the swap transaction in whole, at zero cost and at a predetermined date and time prior to the maturity date, (v) spreadlocks, which allow the interest rate swap users to lock in the forward differential (or spread) between the interest rate swap rate and a specified benchmark, or (vi) basis swaps, under which two parties can exchange variable interest rates based on different segments of money markets.
Total Return Swap Agreements are entered into to gain or mitigate exposure to the underlying reference asset. Total return swap agreements involve commitments where single or multiple cash flows are exchanged based on the price of an underlying reference asset and on a fixed or variable interest rate. Total return swap agreements may involve commitments to pay interest in exchange for a market-linked return. One counterparty pays out the total return of a specific underlying reference asset, which may include a single security, a basket of securities, or an index, and in return receives a fixed or variable rate. At the maturity date, a net cash flow is exchanged where the total return is equivalent to the return of the underlying reference asset less a financing rate, if any. As a receiver, a Portfolio would receive payments based on any net positive total return and would owe payments in the event of a net negative total return. As the payer, a Portfolio would owe payments on any net positive total return, and would receive payments in the event of a net negative total return.
Asset Segregation Certain of the transactions described above can be viewed as constituting a form of borrowing or financing transaction by a Portfolio. In such event, a Portfolio will cover its commitment under such transactions by segregating or “earmarking” assets in accordance with procedures adopted by the Board, in which case such transactions will not be considered “senior securities” by the Portfolio. With respect to forwards, futures contracts, options and swaps that are contractually required to cash settle (i.e., where physical delivery of the underlying reference asset is not required), a Portfolio is permitted to segregate or earmark liquid assets equal to the Portfolio’s daily marked-to-market net obligation under the derivative instrument, if any, rather than the derivative’s full notional value. By segregating or earmarking liquid assets equal to only its net marked-to-market obligation under derivatives that are required to cash settle, a Portfolio will have the ability to employ leverage to a greater extent than if a Portfolio were to segregate or earmark liquid assets equal to the full notional value of the derivative.
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Notes to Financial Statements (Cont.)
7. PRINCIPAL RISKS
In the normal course of business, the Portfolios trade financial instruments and enter into financial transactions where risk of potential loss exists due to such things as changes in the market (market risk) or failure or inability of the other party to a transaction to perform (credit and counterparty risk). See below for a detailed description of select principal risks. For a more comprehensive list of potential risks the Portfolios may be subject to, please see the Important Information About the Portfolios.
Market Risks A Portfolio’s investments in financial derivative instruments and other financial instruments expose the Portfolio to various risks such as, but not limited to, interest rate, foreign (non-U.S.) currency, equity and commodity risks.
Interest rate risk is the risk that fixed income securities and other instruments held by a Portfolio will decline in value because of changes in interest rates. As nominal interest rates rise, the value of certain fixed income securities held by a Portfolio is likely to decrease. A nominal interest rate can be described as the sum of a real interest rate and an expected inflation rate. Interest rate changes can be sudden and unpredictable, and a Portfolio may lose money if these changes are not anticipated by the Portfolio’s management. Variable rate securities may decline in value if their interest rates do not rise as much, or as quickly, as interest rates in general. A Portfolio may not be able to hedge against changes in interest rates or may choose not to do so for cost or other reasons. In addition, any hedges may not work as intended.
Fixed income securities with longer durations tend to be more sensitive to changes in interest rates, usually making them more volatile than securities with shorter durations. Duration is a measure used to determine the sensitivity of a security’s price to changes in interest rates that incorporates a security’s yield, coupon, final maturity and call features, among other characteristics. Duration is useful primarily as a measure of the sensitivity of a fixed income security’s market price to interest rate (i.e. yield) movements. All other things remaining equal, for each one percentage point increase in interest rates, the value of a portfolio of fixed income investments would generally be expected to decline by one percent for every year of the portfolio’s average duration above zero. For example, the value of a portfolio of fixed income securities with an average duration of three years would generally be expected to decline by approximately 3% if interest rates rose by one percentage point. Convexity is an additional measure used to understand a security’s interest rate sensitivity. Convexity measures the rate of change of duration in response to changes in interest rates and may be positive or negative. Securities with negative convexity may experience greater losses during periods of rising interest rates, and accordingly Portfolios holding such securities may be subject to a greater risk of losses in periods of rising interest rates. A wide variety of factors can cause interest rates to rise (e.g., central bank monetary policies, inflation rates, general economic conditions, etc.). Under current economic conditions, interest rates are near historically low levels. The Portfolios currently face a heightened level of interest rate risk, especially since the Federal Reserve Board has ended its quantitative easing program and has begun, and may continue, to raise interest rates. To the extent the Federal Reserve Board continues to raise interest rates, there is a risk that rates across the financial system may rise. During periods of very low or negative interest rates, a Portfolio may be unable to maintain positive returns. Changing interest rates, including rates that fall below zero, may have unpredictable effects on markets, may result in heightened market volatility and may detract from Portfolio performance to the extent a Portfolio is exposed to such interest rates. Rising interest
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rates may result in a decline in value of a Portfolio’s fixed-income investments and in periods of volatility. Further, while U.S. bond markets have steadily grown over the past three decades, dealer “market making” ability has remained relatively stagnant. As a result, dealer inventories of certain types of bonds and similar instruments, which provide a core indication of the ability of financial intermediaries to “make markets,” are at or near historic lows in relation to market size. Because market makers provide stability to a market through their intermediary services, the significant reduction in dealer inventories could potentially lead to decreased liquidity and increased volatility in the fixed income markets. Such issues may be exacerbated during periods of economic uncertainty. All of these factors, collectively and/or individually, could cause a Portfolio to lose value. If a Portfolio lost enough value, the Portfolio could face increased redemptions by shareholders, which could further impair its performance and could require a Portfolio to liquidate its portfolio securities at disadvantageous times and prices.
Foreign (non-U.S.) securities in this report 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. If a Portfolio invests directly in foreign (non-U.S.) currencies or in securities that trade in, and receive revenues in, foreign (non-U.S.) currencies, or in financial derivatives that provide exposure to foreign (non-U.S.) currencies, it will be subject to the risk that those currencies will decline in value relative to the base currency of the Portfolio, or, in the case of hedging positions, that the Portfolio’s base currency will decline in value relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons, including changes in interest rates, intervention (or the failure to intervene) by U.S. or foreign governments, central banks or supranational entities such as the International Monetary Fund, or by the imposition of currency controls or other political developments in the United States or abroad. As a result, a Portfolio’s investments in foreign currency denominated securities may reduce the Portfolio’s returns.
The market values of a Portfolio’s investments may decline due to general market conditions which are not specifically related to a particular company or issuer, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates or adverse investor sentiment. They may also decline due to factors which affect a particular industry or industries, such as labor shortages or increased production costs and competitive conditions within an industry. Equity securities and equity related investments generally have greater market price volatility than fixed income securities, although under certain market conditions fixed income securities may have comparable or greater price volatility. Credit ratings downgrades may also negatively affect securities held by a Portfolio. Even when markets perform well, there is no assurance that the investments held by a Portfolio will increase in value along with the broader market. In addition, market risk includes the risk that geopolitical events will disrupt the economy on a national or global level.
Credit and Counterparty Risks A Portfolio will be exposed to credit risk to parties with whom it trades and will also bear the risk of settlement default. A Portfolio seeks to minimize concentrations of credit risk by undertaking transactions with a large number of counterparties on recognized and reputable exchanges, where applicable. Over the counter (“OTC”) derivative transactions are subject to the risk that a counterparty to the transaction will not fulfill its contractual obligations to the other party, as many of the protections afforded to centrally cleared derivative transactions might not be
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Notes to Financial Statements (Cont.)
available for OTC derivative transactions. For derivatives traded on an exchange or through a central counterparty, credit risk resides with a Portfolio’s clearing broker, or the clearinghouse itself, rather than with a counterparty in an OTC derivative transaction. A Portfolio could lose money if the issuer or guarantor of a fixed income security, or the counterparty to a financial derivatives contract, repurchase agreement or a loan of portfolio securities, is unable or unwilling to make timely principal and/or interest payments, or to otherwise honor its obligations. Securities are subject to varying degrees of credit risk, which are often reflected in credit ratings.
Similar to credit risk, a Portfolio may be exposed to counterparty risk, or the risk that an institution or other entity with which the Portfolio has unsettled or open transactions will default. PIMCO, as the Adviser, seeks to minimize counterparty risks to the Portfolios through a number of ways. Prior to entering into transactions with a new counterparty, the PIMCO Counterparty Risk Committee conducts an extensive credit review of such counterparty and must approve the use of such counterparty. Furthermore, pursuant to the terms of the underlying contract, to the extent that unpaid amounts owed to a Portfolio exceed a predetermined threshold, such counterparty is required to advance collateral to the Portfolio in the form of cash or securities equal in value to the unpaid amount owed to the Portfolio. A Portfolio may invest such collateral in securities or other instruments and will typically pay interest to the counterparty on the collateral received. If the unpaid amount owed to a Portfolio subsequently decreases, the Portfolio would be required to return to the counterparty all or a portion of the collateral previously advanced. PIMCO’s attempts to minimize counterparty risk may, however, be unsuccessful.
All transactions in listed securities are settled/paid for upon delivery using approved counterparties. The risk of default is considered minimal, as delivery of securities sold is only made once a Portfolio has received payment. Payment is made on a purchase once the securities have been delivered by the counterparty. The trade will fail if either party fails to meet its obligation.
8. MASTER NETTING ARRANGEMENTS
A Portfolio may be subject to various netting arrangements (“Master Agreements”) with select counterparties. Master Agreements govern the terms of certain transactions, and are intended to reduce the counterparty risk associated with relevant transactions by specifying credit protection mechanisms and providing standardization that is intended to improve legal certainty. Each type of Master Agreement governs certain types of transactions. Different types of transactions may be traded out of different legal entities or affiliates of a particular organization, resulting in the need for multiple agreements with a single counterparty. As the Master Agreements are specific to unique operations of different asset types, they allow a Portfolio to close out and net its total exposure to a counterparty in the event of a default with respect to all the transactions governed under a single Master Agreement with a counterparty. For financial reporting purposes the Statements of Assets and Liabilities generally present derivative assets and liabilities on a gross basis, which reflects the full risks and exposures prior to netting.
Master Agreements can also help limit counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under most Master Agreements, collateral is routinely transferred if the total net exposure to certain transactions (net of existing collateral already in place) governed under the relevant Master Agreement with a counterparty in a given account exceeds a
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specified threshold, which typically ranges from zero to $250,000 depending on the counterparty and the type of Master Agreement. United States Treasury Bills and U.S. dollar cash are generally the preferred forms of collateral, although other forms of AAA rated paper or sovereign securities may be used depending on the terms outlined in the applicable Master Agreement. Securities and cash pledged as collateral are reflected as assets on the Statements of Assets and Liabilities as either a component of Investments at value (securities) or Deposits with counterparty. Cash collateral received is not typically held in a segregated account and as such is reflected as a liability on the Statements of Assets and Liabilities as Deposits from counterparty. The market value of any securities received as collateral is not reflected as a component of NAV. A Portfolio’s overall exposure to counterparty risk can change substantially within a short period, as it is affected by each transaction subject to the relevant Master Agreement.
Master Repurchase Agreements and Global Master Repurchase Agreements (individually and collectively “Master Repo Agreements”) govern repurchase, reverse repurchase, and sale-buyback transactions between a Portfolio and select counterparties. Master Repo Agreements maintain provisions for, among other things, initiation, income payments, events of default, and maintenance of collateral. The market value of transactions under the Master Repo Agreement, collateral pledged or received, and the net exposure by counterparty as of period end are disclosed in the Notes to Schedules of Investments.
Master Securities Forward Transaction Agreements (“Master Forward Agreements”) govern certain forward settling transactions, such as TBA securities, delayed-delivery or sale-buyback transactions by and between a Portfolio and select counterparties. The Master Forward Agreements maintain provisions for, among other things, transaction initiation and confirmation, payment and transfer, events of default, termination, and maintenance of collateral. The market value of forward settling transactions, collateral pledged or received, and the net exposure by counterparty as of period end is disclosed in the Notes to Schedules of Investments.
Customer Account Agreements and related addenda govern cleared derivatives transactions such as futures, options on futures, and cleared OTC derivatives. Such transactions require posting of initial margin as determined by each relevant clearing agency which is segregated in an account at a futures commission merchant (“FCM”) registered with the Commodity Futures Trading Commission (“CFTC”). In the United States, counterparty risk may be reduced as creditors of an FCM cannot have a claim to Portfolio assets in the segregated account. Portability of exposure reduces risk to the Portfolios. Variation margin, or changes in market value, are exchanged daily, but may not be netted between futures and cleared OTC derivatives unless the parties have agreed to a separate arrangement in respect of portfolio margining. The market value or accumulated unrealized appreciation (depreciation), initial margin posted, and any unsettled variation margin as of period end are disclosed in the Notes to Schedules of Investments.
International Swaps and Derivatives Association, Inc. Master Agreements and Credit Support Annexes (“ISDA Master Agreements”) govern bilateral OTC derivative transactions entered into by a Portfolio with select counterparties. ISDA Master Agreements maintain provisions for general obligations, representations, agreements, collateral posting and events of default or termination. Events of termination include conditions that may entitle counterparties to elect to terminate early and cause settlement of all outstanding transactions under the applicable ISDA Master Agreement. Any election
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Notes to Financial Statements (Cont.)
to terminate early could be material to the financial statements. In limited circumstances, the ISDA Master Agreement may contain additional provisions that add counterparty protection beyond coverage of existing daily exposure if the counterparty has a decline in credit quality below a predefined level. These amounts, if any, may be segregated with a third-party custodian. The market value of OTC financial derivative instruments, collateral received or pledged, and net exposure by counterparty as of period end are disclosed in the Notes to Schedules of Investments.
9. FEES AND EXPENSES
(a) Investment Advisory Fee The Trust entered into an Investment Advisory Contract with the Adviser (the “Advisory Contract”) pursuant to which the Adviser serves as the investment adviser to each Portfolio. The Adviser does not receive investment advisory or other fees from the Portfolios or the Trust (although PIMCO may receive compensation under the Advisory Contract with respect to future series of the Trust). The financial statements reflect the fact that no investment management fees or expenses are incurred by the Portfolios.
Each Portfolio is an integral part of one or more “wrap-fee” programs, including those sponsored by investment advisers and/or broker-dealers unaffiliated with the Portfolios or PIMCO. Participants in these programs pay a “wrap” fee to the sponsor of the program. PIMCO may receive fees or other benefits from or through its relationships with the sponsors of such wrap-fee programs for which the Portfolios are an investment option.
(b) Supervisory and Administration Fee Pursuant to the Supervision and Administration Agreement with PIMCO (the “Administration Agreement”), PIMCO also serves as administrator to the Portfolios (in this capacity, PIMCO is referred to as the “Administrator”). Under the Administration Agreement, the Administrator, at its expense, is required to procure most supervisory and administrative services required by the Portfolios including, but not limited to, expenses of most third-party service providers (e.g., audit, custodial, legal, transfer agency, printing) and other expenses, such as those associated with insurance, proxy solicitations and mailings for shareholder meetings, tax services, valuation services and other services required for the Portfolios’ daily operations. Under the Administration Agreement, the Administrator has agreed to provide or procure these services, and to bear the expenses associated with these services at no charge to the Portfolios. In addition, PIMCO has entered into an expense limitation agreement with the Trust pursuant to which it has agreed to pay or reimburse certain other expenses of the Portfolios, as discussed in more detail below. The Administrator does not receive any administration or other fees from the Portfolios or the Trust for serving as administrator to the Portfolios (although the Administrator may receive compensation under the Administration Agreement with respect to future series of the Trust).
(c) Distribution Contract The Trust has entered into a distribution contract with PIMCO Investments LLC (the “Distributor”), a wholly-owned subsidiary of PIMCO, pursuant to which the Distributor serves as the distributor and principal underwriter of the Portfolios’ shares (the “Distribution Contract”). The Distributor does not receive any distribution or other fees from the Portfolios or the Trust for serving as the distributor and principal underwriter of the Portfolios’ shares (although the Distributor may receive compensation under the Distribution Contract with respect to future series of the Trust).
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(d) Expense Limitation Agreement The Adviser has contractually agreed pursuant to an expense limitation agreement (the “Expense Limitation Agreement”) to bear the expenses of or make payments to each Portfolio to the extent that, for any calendar month, “Specified Expenses”, as defined in the Expense Limitation Agreement of such Portfolio would exceed 0.00%. “Specified Expenses” of a Portfolio means all expenses incurred by the Portfolio, including organizational and offering expenses, but excluding any brokerage fees and commissions and other portfolio transaction expenses, costs, including interest expenses, of borrowing money or engaging in other types of leverage financing, including, without limitation, through reverse repurchase agreements, tender option bonds, bank borrowings and credit facilities, fees and expenses of any underlying Portfolios or other pooled vehicles in which the Portfolio invests, taxes, governmental fees, dividends and interest on short positions, and extraordinary expenses, including extraordinary legal expenses. This Expense Limitation Agreement shall continue in effect, unless sooner terminated by the Trust’s Board of Trustees, for so long as the Adviser serves as the investment adviser to the applicable Portfolio pursuant to the Advisory Contract.
10. RELATED PARTY TRANSACTIONS
The Adviser, Administrator, and Distributor are related parties. Fees payable to these parties are disclosed in Note 9, Fees and Expenses, and the accrued related party fee amounts are disclosed on the Statements of Assets and Liabilities.
Certain Portfolios are permitted to purchase or sell securities from or to certain related affiliated funds under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of securities by the Portfolios from or to another fund or portfolio that are, or could be, considered an affiliate, or an affiliate of an affiliate, by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule 17a-7 under the Act. Further, as defined under the procedures, each transaction is effected at the current market price. During the period ended December 31, 2017, the Portfolios below engaged in purchases and sales of securities pursuant to Rule 17a-7 under the Act (amounts in thousands†):
| | | | | | | | | | | | |
| Portfolio Name | | | | | Purchases | | | Sales | |
| PIMCO ManagedAccts - Fixed Income SHares: Series C | | | | | | $ | 155,260 | | | $ | 70,659 | |
| PIMCO ManagedAccts - Fixed Income SHares: Series LD | | | | | | | 5,733 | | | | 12,138 | |
| PIMCO ManagedAccts - Fixed Income SHares: Series M | | | | | | | 7,406 | | | | 21,917 | |
| PIMCO ManagedAccts - Fixed Income SHares: Series R | | | | | | | 0 | | | | 758 | |
| PIMCO ManagedAccts - Fixed Income SHares: Series TE | | | | | | | 1,151 | | | | 1,989 | |
| † | A zero balance may reflect actual amounts rounding to less than one thousand. |
11. GUARANTEES AND INDEMNIFICATIONS
Under the Trust’s organizational documents, each Trustee and officer is indemnified, to the extent permitted by the Act, against certain liabilities that may arise out of performance of their duties to the Portfolios. Additionally, in the normal course of business, the Portfolios enter into contracts that contain a variety of indemnification clauses. The Portfolios’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Portfolios that have not yet occurred. However, the Portfolios have not had prior claims or losses pursuant to these contracts.
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Notes to Financial Statements (Cont.)
12. PURCHASES AND SALES OF SECURITIES
The length of time a Portfolio has held a particular security is not generally a consideration in investment decisions. A change in the securities held by a Portfolio is known as “portfolio turnover.” Each Portfolio may engage in frequent and active trading of portfolio securities to achieve its investment objective, particularly during periods of volatile market movements. High portfolio turnover may involve correspondingly greater transaction costs to a Portfolio, including brokerage commissions or dealer mark-ups and other transaction costs on the sale of securities and reinvestments in other securities. Such sales may also result in realization of taxable capital gains, including short-term capital gains (which are generally taxed at ordinary income tax rates). The transaction costs and tax effects associated with portfolio turnover may adversely affect a Portfolio’s performance. The portfolio turnover rates are reported in the Financial Highlights.
Purchases and sales of securities (excluding short-term investments) for the period ended December 31, 2017, were as follows (amounts in thousands†):
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | U.S. Government/Agency | | | | | | All Other | |
| Portfolio Name | | | | | Purchases | | | Sales | | | | | | Purchases | | | Sales | |
| PIMCO ManagedAccts - Fixed Income SHares: Series C | | | | | | $ | 7,885,481 | | | $ | 7,641,267 | | | | | | | $ | 700,628 | | | $ | 620,493 | |
| PIMCO ManagedAccts - Fixed Income SHares: Series LD | | | | | | | 221,645 | | | | 203,335 | | | | | | | | 119,882 | | | | 53,094 | |
| PIMCO ManagedAccts - Fixed Income SHares: Series M | | | | | | | 13,220,422 | | | | 13,283,891 | | | | | | | | 402,660 | | | | 401,481 | |
| PIMCO ManagedAccts - Fixed Income SHares: Series R | | | | | | | 539,494 | | | | 500,681 | | | | | | | | 54,226 | | | | 41,833 | |
| PIMCO ManagedAccts - Fixed Income SHares: Series TE | | | | | | | 0 | | | | 0 | | | | | | | | 78,281 | | | | 76,012 | |
| † | A zero balance may reflect actual amounts rounding to less than one thousand. |
13. SHARES OF BENEFICIAL INTEREST
The Trust may issue an unlimited number of shares of beneficial interest with a $0.001 par value.
14. REGULATORY AND LITIGATION MATTERS
The Portfolios are not named as defendants in any material litigation or arbitration proceedings and are not aware of any material litigation or claim pending or threatened against them.
The foregoing speaks only as of the date of this report.
15. FEDERAL INCOME TAX MATTERS
Each Portfolio 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.
A Portfolio 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.
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In accordance with U.S. GAAP, the Adviser has reviewed the Portfolios’ tax positions for all open tax years. As of December 31, 2017, the Portfolios have recorded no liability for net unrecognized tax benefits relating to uncertain income tax positions they have taken or expect to take in future tax returns.
The Portfolios file U.S. federal, state, and local tax returns as required. The Portfolios’ 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.
As of December 31, 2017, the components of distributable taxable earnings are as follows (amounts in thousands†):
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | Undistributed
Tax Exempt
Income | | | Undistributed
Ordinary
Income(1) | | | Undistributed
Long-Term
Capital Gains | | | Net Tax Basis
Unrealized
Appreciation/
(Depreciation)(2) | | | Other Book-to-Tax Accounting Differences(3) | | | Accumulated Capital
Losses(4) | | | Qualified Late-Year
Loss Deferral - Capital(5) | | | Qualified Late-Year
Loss Deferral - Ordinary(6) | |
| Fixed Income SHares: Series C | | | | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 15,199 | | | $ | (4,123 | ) | | $ | (185,999 | ) | | $ | 0 | | | $ | 0 | |
| Fixed Income SHares: Series LD | | | | | | | 0 | | | | 0 | | | | 0 | | | | 22 | | | | (163 | ) | | | (1,087 | ) | | | 0 | | | | 0 | |
| Fixed Income SHares: Series M | | | | | | | 0 | | | | 0 | | | | 0 | | | | 48,353 | | | | (3,666 | ) | | | 0 | | | | (5,093 | ) | | | 0 | |
| Fixed Income SHares: Series R | | | | | | | 0 | | | | 0 | | | | 0 | | | | 2,574 | | | | (33 | ) | | | (35,619 | ) | | | 0 | | | | 0 | |
| Fixed Income SHares: Series TE | | | | | | | 0 | | | | 0 | | | | 0 | | | | 4,800 | | | | (26 | ) | | | (1,506 | ) | | | 0 | | | | 0 | |
| † | A zero balance may reflect actual amounts rounding to less than one thousand. |
| (1) | Includes undistributed short-term capital gains, if any. |
| (2) | Adjusted for open wash sale loss deferrals and the accelerated recognition of unrealized gain or loss on certain futures, options and forward contracts for federal income tax, purposes. Also adjusted for differences between book and tax realized and unrealized gain (loss) on swap contracts, treasury inflation-protected securities (TIPS), sale/buyback transactions, inverse floater transactions, straddle loss deferrals, and Lehman securities. |
| (3) | Represents differences in income tax regulations and financial accounting principles generally accepted in the United States of America, mainly for distributions payable at fiscal year-end. |
| (4) | Capital losses available to offset future net capital gains expire in varying amounts as shown below. |
| (5) | Capital losses realized during the period November 1, 2017 through December 31, 2017 which the Portfolios elected to defer to the following taxable year pursuant to income tax regulations. |
| (6) | Specified losses realized during the period November 1, 2017 through December 31, 2017 which the Portfolios elected to defer to the following taxable year pursuant to income tax regulations. |
Under the Regulated Investment Company Act of 2010, a Portfolio is permitted to carry forward any new capital losses for an unlimited period. Additionally, such capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term under previous law.
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December 31, 2017
As of December 31, 2017, the Portfolios had the following post-effective capital losses with no expiration (amounts in thousands†):
| | | | | | | | | | | | |
| | | | | | Short-Term | | | Long-Term | |
| Fixed Income SHares: Series C | | | | | | $ | 185,999 | | | $ | 0 | |
| Fixed Income SHares: Series LD | | | | | | | 0 | | | | 1,087 | |
| Fixed Income SHares: Series M | | | | | | | 0 | | | | 0 | |
| Fixed Income SHares: Series R | | | | | | | 2,792 | | | | 32,827 | |
| Fixed Income SHares: Series TE | | | | | | | 205 | | | | 1,301 | |
| † | A zero balance may reflect actual amounts rounding to less than one thousand. |
As of December 31, 2017, the aggregate cost and the net unrealized appreciation/(depreciation) of investments for federal income tax purposes are as follows (amounts in thousands†):
| | | | | | | | | | | | | | | | | | | | |
| | | | | | Federal Tax Cost | | | Unrealized Appreciation | | | Unrealized (Depreciation) | | | Net Unrealized
Appreciation/
(Depreciation)(7) | |
| Fixed Income SHares: Series C | | | | | | $ | 2,288,482 | | | $ | 51,292 | | | $ | (20,798 | ) | | $ | 30,494 | |
| Fixed Income SHares: Series LD | | | | | | | 163,614 | | | | 1,731 | | | | (1,708 | ) | | | 23 | |
| Fixed Income SHares: Series M | | | | | | | 2,289,815 | | | | 69,770 | | | | (19,296 | ) | | | 50,474 | |
| Fixed Income SHares: Series R | | | | | | | 248,740 | | | | 6,129 | | | | (6,843 | ) | | | (714 | ) |
| Fixed Income SHares: Series TE | | | | | | | 88,348 | | | | 4,899 | | | | (91 | ) | | | 4,808 | |
| † | A zero balance may reflect actual amounts rounding to less than one thousand. |
| (7) | Primary differences, if any, between book and tax net unrealized appreciation/(depreciation) on investments are attributable to open wash sale loss deferrals, unrealized gain or loss on certain futures, options and forward contracts, treasury inflation protected securities (TIPS), sale/buyback transactions, realized and unrealized gain (loss) swap contracts, straddle loss deferrals, and Lehman securities. |
For the fiscal years ended December 31, 2017 and December 31, 2016, respectively, the Portfolios made the following tax basis distributions (amounts in thousands†):
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | December 31, 2017 | | | | | | December 31, 2016 | |
| | | | | | Tax-Exempt
Income Distributions | | | Ordinary
Income
Distributions(8) | | | Long-Term
Capital Gain
Distributions | | | Return of
Capital(9) | | | | | | Tax-Exempt
Income
Distributions | | | Ordinary
Income
Distributions(8) | | | Long-Term
Capital Gain
Distributions | | | Return of
Capital(9) | |
| Fixed Income SHares: Series C | | | | | | $ | 0 | | | $ | 37,777 | | | $ | 0 | | | $ | 12,824 | | | | | | | $ | 0 | | | $ | 54,775 | | | $ | 0 | | | $ | 9,773 | |
| Fixed Income SHares: Series LD | | | | | | | 0 | | | | 2,436 | | | | 0 | | | | 0 | | | | | | | | 0 | | | | 1,476 | | | | 0 | | | | 0 | |
| Fixed Income SHares: Series M | | | | | | | 0 | | | | 64,183 | | | | 11,608 | | | | 0 | | | | | | | | 0 | | | | 68,338 | | | | 40,655 | | | | 0 | |
| Fixed Income SHares: Series R | | | | | | | 0 | | | | 2,982 | | | | 0 | | | | 2,658 | | | | | | | | 0 | | | | 1,849 | | | | 0 | | | | 3,067 | |
| Fixed Income SHares: Series TE | | | | | | | 3,142 | | | | 49 | | | | 0 | | | | 0 | | | | | | | | 2,955 | | | | 51 | | | | 0 | | | | 0 | |
| † | A zero balance may reflect actual amounts rounding to less than one thousand. |
| (8) | Includes short-term capital gains distributed, if any. |
| (9) | A portion of the distributions made represents a tax return of capital. Return of capital distributions have been reclassified from undistributed net investment income to paid-in capital to more appropriately conform financial accounting to tax accounting. |
| | | | | | |
| 148 | | PIMCO MANAGED ACCOUNTS TRUST | | | | |
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of PIMCO Managed Accounts Trust and Shareholders of Fixed Income SHares: Series C, Fixed Income SHares: Series LD, Fixed Income SHares: Series M, Fixed Income SHares: Series R, and Fixed Income SHares: Series TE
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Fixed Income SHares: Series C, Fixed Income SHares: Series LD, Fixed Income SHares: Series M, Fixed Income SHares: Series R, and Fixed Income SHares: Series TE (constituting PIMCO Managed Accounts Trust, hereafter collectively referred to as the “Portfolios”) as of December 31, 2017, the related statements of operations for the year ended December 31, 2017, the statements of changes in net assets for each of the two years in the period ended December 31, 2017, and for Fixed Income SHares: Series C, Fixed Income SHares: Series LD, and Fixed Income SHares: Series R the statements of cash flows for the year ended December 31, 2017, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Portfolios as of December 31, 2017, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended December 31, 2017, for Fixed Income SHares: Series C, Fixed Income SHares: Series LD, and Fixed Income SHares: Series R, the results of each of their cash flows for the year then ended and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Portfolios’ management. Our responsibility is to express an opinion on the Portfolios’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Portfolios in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2017 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/ PricewaterhouseCoopers LLP
Kansas City, Missouri
February 27, 2018
We have served as the auditor of one or more investment companies in PIMCO Managed Accounts Trust since 2000.
| | | | | | |
| | ANNUAL REPORT | | DECEMBER 31, 2017 | | 149 |
Glossary: (abbreviations that may be used in the preceding statements)
| | | | | | | | |
| | | |
| Counterparty Abbreviations: | | | | | | |
| BCY | | Barclays Capital, Inc. | | HUS | | HSBC Bank USA N.A. | | |
| BOA | | Bank of America N.A. | | IND | | Crédit Agricole Corporate and Investment Bank S.A. | | |
| BOM | | Bank of Montreal | | JPM | | JP Morgan Chase Bank N.A. | | |
| BOS | | Banc of America Securities LLC | | JPS | | JP Morgan Securities, Inc. | | |
| BPS | | BNP Paribas S.A. | | MSB | | Morgan Stanley Bank, N.A | | |
| BRC | | Barclays Bank PLC | | MYC | | Morgan Stanley Capital Services, Inc. | | |
| CBK | | Citibank N.A. | | NOM | | Nomura Securities International Inc. | | |
| DEU | | Deutsche Bank Securities, Inc. | | RCY | | Royal Bank of Canada | | |
| DUB | | Deutsche Bank AG | | RDR | | RBC Capital Markets | | |
| FBF | | Credit Suisse International | | RYL | | Royal Bank of Scotland Group PLC | | |
| FICC | | Fixed Income Clearing Corporation | | SCX | | Standard Chartered Bank | | |
| FOB | | Credit Suisse Securities (USA) LLC | | SSB | | State Street Bank and Trust Co. | | |
| GLM | | Goldman Sachs Bank USA | | TDM | | TD Securities (USA) LLC | | |
| GRE | | RBS Securities, Inc. | | TOR | | Toronto Dominion Bank | | |
| GSC | | Goldman Sachs & Co. | | UAG | | UBS AG Stamford | | |
| GST | | Goldman Sachs International | | UBS | | UBS Securities LLC | | |
| | | |
| Currency Abbreviations: | | | | | | |
| ARS | | Argentine Peso | | KRW | | South Korean Won | | |
| AUD | | Australian Dollar | | MXN | | Mexican Peso | | |
| BRL | | Brazilian Real | | MYR | | Malaysian Ringgit | | |
| CAD | | Canadian Dollar | | NZD | | New Zealand Dollar | | |
| DKK | | Danish Krone | | PLN | | Polish Zloty | | |
| EUR | | Euro | | RUB | | Russian Ruble | | |
| GBP | | British Pound | | TRY | | Turkish New Lira | | |
| ILS | | Israeli Shekel | | TWD | | Taiwanese Dollar | | |
| INR | | Indian Rupee | | USD (or $) | | United States Dollar | | |
| JPY | | Japanese Yen | | ZAR | | South African Rand | | |
| | | |
| Exchange Abbreviations: | | | | | | |
| CBOT | | Chicago Board of Trade | | ICE | | Intercontinental Exchange | | |
| CME | | Chicago Mercantile Exchange | | OTC | | Over the Counter | | |
| | | |
| Index/Spread Abbreviations: | | | | | | |
| 12MTA | | 12 Month Treasury Average | | EUR006M | | 6 Month EUR Swap Rate | | |
| BADLARPP | | Argentina Badlar Floating Rate Notes | | H15T1Y | | 1 Year US Treasury Yield Curve Constant Maturity Rate | | |
| BBSW1M | | 1 Month Bank Bill Swap Rate | | LIBOR01M | | 1 Month USD-LIBOR | | |
| BP0003M | | 3 Month GBP-LIBOR | | LIBOR03M | | 3 Month USD-LIBOR | | |
| CDX.HY | | Credit Derivatives Index - High Yield | | MCDX | | Municipal Bond Credit Derivative Index | | |
| CDX.IG | | Credit Derivatives Index - Investment Grade | | T7Y | | 7 Year Treasury | | |
| CMBX | | Commercial Mortgage-Backed Index | | UKRPI | | United Kingdom Retail Prices Index | | |
| COF 11 | | Cost of Funds - 11th District of San Francisco | | US0001M | | 1 Month USD Swap Rate | | |
| CPALEMU | | Euro Area All Items Non-Seasonally Adjusted Index | | US0003M | | 3 Month USD Swap Rate | | |
| CPTFEMU | | Eurozone HICP ex-Tobacco Index | | US0006M | | 6 Month USD Swap Rate | | |
| CPURNSA | | Consumer Price All Urban Non-Seasonally Adjusted Index | | US0012M | | 12 Month USD Swap Rate | | |
| EUR003M | | 3 Month EUR Swap Rate | | | | | | |
| | | | | | |
| 150 | | PIMCO MANAGED ACCOUNTS TRUST | | | | |
(Unaudited)
| | | | | | | | |
| | | |
| Municipal Bond or Agency Abbreviations: | | | | | | |
| AGC | | Assured Guaranty Corp. | | BAM | | Build America Mutual Assurance | | |
| AGM | | Assured Guaranty Municipal | | | | | | |
| | | |
| Other Abbreviations: | | | | | | |
| ABS | | Asset-Backed Security | | Lunar | | Monthly payment based on 28-day periods. One year consists of 13 periods. | | |
| ALT | | Alternate Loan Trust | | NCUA | | National Credit Union Administration | | |
| BABs | | Build America Bonds | | OAT | | Obligations Assimilables du Trésor | | |
| BBR | | Bank Bill Rate | | OIS | | Overnight Index Swap | | |
| BBSW | | Bank Bill Swap Reference Rate | | REMIC | | Real Estate Mortgage Investment Conduit | | |
| CDI | | Brazil Interbank Deposit Rate | | RMBS | | Residential Mortgage-Backed Security | | |
| CDO | | Collateralized Debt Obligation | | TBA | | To-Be-Announced | | |
| CLO | | Collateralized Loan Obligation | | TBD% | | Interest rate to be determined when loan settles | | |
| DAC | | Designated Activity Company | | TIIE | | Tasa de Interés Interbancaria de Equilibrio “Equilibrium Interbank Interest Rate” | | |
| LIBOR | | London Interbank Offered Rate | | YOY | | Year-Over-Year | | |
| | | | | | |
| | ANNUAL REPORT | | DECEMBER 31, 2017 | | 151 |
Federal Income Tax Information
(Unaudited)
As required by the Internal Revenue Code (“Code”) and Treasury Regulations, if applicable, shareholders must be notified within 60 days of the Portfolios’ fiscal year end regarding the status of qualified dividend income and the dividend received deduction.
Dividend Received Deduction. Corporate shareholders are generally entitled to take the dividend received deduction on the portion of a Portfolios’ dividend distribution that qualifies under tax law. The percentage of the following Portfolios’ Fiscal 2017 ordinary income dividend that qualifies for the corporate dividend received deduction is set forth below.
Qualified Dividend Income. Under the Jobs and Growth Tax Relief Reconciliation Act of 2003 (the “Act”), the following percentage of ordinary dividends paid during the fiscal year ended December 31, 2017 was designated as ‘qualified dividend income’ as defined in the Act subject to reduced tax rates in 2017.
Qualified Interest Income and Qualified Short-Term Capital Gain (for non-U.S. resident shareholders only). Under the American Jobs Creation Act of 2004, the following amounts of ordinary dividends paid during the fiscal year ended December 31, 2017 are considered to be derived from “qualified interest income,” as defined in Section 871(k)(1)(E) of the Code, and therefore are designated as interest-related dividends, as defined in Section 871(k)(1)(C) of the Code. Further, the following amounts of ordinary dividends paid during the fiscal year ended December 31, 2017 are considered to be derived from “qualified short-term capital gain,” as defined in Section 871(k)(2)(D) of the Code, and therefore are designated as qualified short-term gain dividends, as defined by Section 871(k)(2)(C) of the Code.
| | | | | | | | | | | | | | | | | | | | |
| | | | | | Dividend
Received
Deduction % | | | Qualified
Dividend
Income % | | | Qualified
Interest
Income
(000s†) | | | Qualified Short-Term Capital Gain (000s†) | |
| Fixed Income SHares: Series C | | | | | | | 0 | % | | | 0 | % | | $ | 26,055 | | | $ | 0 | |
| Fixed Income SHares: Series LD | | | | | | | 0 | % | | | 2.55 | % | | | 2,264 | | | | 0 | |
| Fixed Income SHares: Series M | | | | | | | 0 | % | | | 0 | % | | | 50,525 | | | | 0 | |
| Fixed Income SHares: Series R | | | | | | | 0 | % | | | 0 | % | | | 2,982 | | | | 0 | |
| Fixed Income SHares: Series TE | | | | | | | 0 | % | | | 0 | % | | | 3,191 | | | | 0 | |
| † | A zero balance may reflect actual amounts rounding to less than one thousand. |
Shareholders are advised to consult their own tax advisor with respect to the tax consequences of their investment in the Trust. In January 2018, you will be advised on IRS Form 1099-DIV as to the federal tax status of the dividends and distributions received by you in calendar year 2017.
| | | | | | |
| 152 | | PIMCO MANAGED ACCOUNTS TRUST | | | | |
Management of the Trust
(Unaudited)
The chart below identifies Trustees and Officers of the Trust. Unless otherwise indicated, the address of all persons below is c/o Pacific Investment Management Company LLC, 1633 Broadway, New York, New York 10019.
The Trust’s Statement of Additional Information includes more information about the Trustees and Officers. To request a copy, call PIMCO at (800) 927-4648 or visit the Portfolios’ website at pimco.com/FISH.
Trustees
| | | | | | | | | | |
Name and
Year of Birth | | Position(s)
Held
with the
Trust | | Length of
Time Served | | Principal Occupation(s)
During the Past 5 Years | | Number
of Portfolios
in Fund
Complex
Overseen
by Trustee | | Other
Directorships
Held by Trustee
During the
Past 5 Years |
Independent Trustees |
Hans W. Kertess 1939 | | Chairman of the Board, Trustee | | Trustee since 2005 | | President, H. Kertess & Co., a financial advisory company; and Senior Adviser (formerly Managing Director), Royal Bank of Canada Capital Markets (since 2004). | | 89 | | None |
| Deborah A. DeCotis 1952 | | Trustee | | Trustee since 2011 | | Advisory Director, Morgan Stanley & Co., Inc. (since 1996); Member, Circle Financial Group (since 2009); Member, Council on Foreign Relations (since 2013); Trustee, Smith College (since 2017); and Director, Watford Re (since 2017). Formerly, Co-Chair Special Projects Committee, Memorial Sloan-Kettering (2005-2015); Trustee, Stanford University (2010-2015); Director, Helena Rubenstein Foundation (1997-2010); Principal, LaLoop LLC, a retail accessories company (1999-2014); and Director, Armor Holdings (2002-2010). | | 89 | | None |
| Bradford K. Gallagher 1944 | | Trustee | | Trustee since 2010 | | Retired. Founder, Spyglass Investments LLC, a private investment vehicle (since 2001). Formerly, Chairman and Trustee, The Common Fund (2005-2014); Partner, New Technology Ventures Capital Management LLC, a venture capital fund (2011-2013); Chairman and Trustee, Atlantic Maritime Heritage Foundation (2007-2012); and Founder, President and CEO, Cypress Holding Company and Cypress Tree Investment Management Company (1995-2001). | | 89 | | Formerly, Chairman and Trustee, Grail Advisors ETF Trust (2009-2010); and Trustee, Nicholas- Applegate Institutional Funds (2007-2010). |
| | | | | | |
| | ANNUAL REPORT | | DECEMBER 31, 2017 | | 153 |
Management of the Trust (Cont.)
| | | | | | | | | | |
Name and
Year of Birth | | Position(s)
Held
with the
Trust | | Length of
Time Served | | Principal Occupation(s)
During the Past 5 Years | | Number
of Portfolios
in Fund
Complex
Overseen
by Trustee | | Other
Directorships
Held by Trustee
During the
Past 5 Years |
James A. Jacobson 1945 | | Trustee | | Trustee since 2010 | | Retired. Trustee (since 2002) and Chairman of Investment Committee (since 2007), Ronald McDonald House of New York; and Trustee, New Jersey City University (since 2014). Formerly, Vice Chairman and Managing Director, Spear, Leeds & Kellogg Specialists, LLC, a specialist firm on the New York Stock Exchange (2003-2008). | | 89 | | Formerly, Trustee, Alpine Mutual Funds Complex consisting of 18 funds. |
William B. Ogden, IV 1945 | | Trustee | | Trustee since 2006 | | Retired. Formerly, Asset Management Industry Consultant; and Managing Director, Investment Banking Division of Citigroup Global Markets Inc. | | 89 | | None |
Alan Rappaport 1953 | | Trustee | | Trustee since 2010 | | Advisory Director (formerly Vice Chairman), Roundtable Investment Partners (since 2009); Adjunct Professor, New York University Stern School of Business (since 2011); Lecturer, Stanford University Graduate School of Business (since 2013); and Director, Victory Capital Holdings, Inc., an asset management firm (since 2013). Formerly, Member of Board of Overseers, NYU Langone Medical Center (2015-2016); Trustee, American Museum of Natural History (2005-2015); Trustee, NYU Langone Medical Center (2007-2015); Vice Chairman (formerly Chairman and President), U.S. Trust (formerly Private Bank of Bank of America, the predecessor entity of U.S. Trust) (2001-2008). | | 89 | | None |
| | | | | | |
| 154 | | PIMCO MANAGED ACCOUNTS TRUST | | | | |
(Unaudited)
| | | | | | | | | | |
Name and
Year of Birth | | Position(s)
Held
with the
Trust | | Length of
Time Served | | Principal Occupation(s)
During the Past 5 Years | | Number
of Portfolios
in Fund
Complex
Overseen
by Trustee | | Other
Directorships
Held by Trustee
During the
Past 5 Years |
Interested Trustees |
Craig A. Dawson* 1968 | | Trustee | | Trustee since 2014 | | Managing Director and Head of PIMCO Europe, Middle East and Africa (since 2016). Director of a number of PIMCO’s European investment vehicles and affiliates (since 2008). Formerly, Head of Strategic Business Management, PIMCO (2014-2016), head of PIMCO’s Munich office and head of European product management for PIMCO. | | 26 | | None |
John C. Maney** 1959 | | Trustee | | Trustee since 2006 | | Managing Director of Allianz Asset Management of America L.P. (since January 2005) and a member of the Management Board and Chief Operating Officer of Allianz Asset Management of America L.P. (since November 2006). Formerly, Member of the Management Board of Allianz Global Investors Fund Management LLC (2007-2014) and Managing Director of Allianz Global Investors Fund Management LLC (2011-2014). | | 26 | | None |
| * | Mr. Dawson is an “interested person” of the Trust, as defined in Section 2(a)(19) of the Act, due to his affiliation with PIMCO and its affiliates. Mr. Dawson’s address is 650 Newport Center Drive, Newport Beach, CA 92660. |
| ** | Mr. Maney is an “interested person” of the Trust, as defined in Section 2(a)(19) of the Act, due to his affiliation with Allianz Asset Management of America L.P. and its affiliates. Mr. Maney’s address is 650 Newport Center Drive, Newport Beach, CA 92660. |
Officers
| | | | | | |
Name, Address
and Year of Birth | | Position(s)
Held with
Trust | | Term of Office
and Length of
Time Served | | Principal Occupation(s) During Past 5 Years* |
Peter G. Strelow** 1970 | | President | | Since 2014 | | Managing Director and Co-Chief Operating Officer, PIMCO. President, PIMCO-Sponsored Closed-End Funds, PIMCO-Sponsored Interval Funds, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series and PIMCO Equity Series VIT. Formerly, Chief Administrative Officer, PIMCO. |
Keisha Audain-Pressley 1975 | | Chief Compliance Officer | | Since January 2018 | | Senior Vice President and Deputy Chief Compliance Officer, PIMCO. Chief Compliance Officer, PIMCO-Sponsored Closed-End Funds and PIMCO-Sponsored Interval Funds. |
| | | | | | |
| | ANNUAL REPORT | | DECEMBER 31, 2017 | | 155 |
Management of the Trust (Cont.)
| | | | | | |
Name, Address
and Year of Birth | | Position(s)
Held with
Trust | | Term of Office
and Length of
Time Served | | Principal Occupation(s) During Past 5 Years* |
Joshua D. Ratner 1976 | | Vice President, Secretary and Chief Legal Officer | | Since 2014 | | Executive Vice President and Deputy General Counsel, PIMCO. Chief Legal Officer, PIMCO Investments LLC. Vice President, Secretary and Chief Legal Officer, PIMCO-Sponsored Closed-End Funds and PIMCO-Sponsored Interval Funds. Vice President -Senior Counsel, Secretary, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series and PIMCO Equity Series VIT. |
Ryan G. Leshaw** 1980 | | Assistant Secretary | | Since 2014 | | Senior Vice President and Senior Counsel, PIMCO. Assistant Secretary, PIMCO-Sponsored Closed-End Funds, PIMCO-Sponsored Interval Funds, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series and PIMCO Equity Series VIT. Formerly, Associate, Willkie Farr & Gallagher LLP. |
Wu-Kwan Kit** 1981 | | Assistant Secretary | | Since 2017 | | Vice President and Counsel, PIMCO. Assistant Secretary, PIMCO-Sponsored Closed-End Funds, PIMCO-Sponsored Interval Funds, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series and PIMCO Equity Series VIT. Formerly, Assistant General Counsel, VanEck Associates Corp. |
Stacie D. Anctil** 1969 | | Vice President | | Since 2015 | | Executive Vice President, PIMCO. Vice President, PIMCO-Sponsored Closed-End Funds, PIMCO-Sponsored Interval Funds, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series and PIMCO Equity Series VIT. |
Eric D. Johnson 1970 | | Vice President | | Since 2014 | | Executive Vice President, PIMCO. Vice President, PIMCO-Sponsored Closed-End Funds, PIMCO-Sponsored Interval Funds, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series and PIMCO Equity Series VIT. |
William G. Galipeau** 1974 | | Vice President Treasurer | | Since 2017 2014-2017 | | Executive Vice President, PIMCO. Vice President, PIMCO-Sponsored Closed-End Funds, PIMCO-Sponsored Interval Funds, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series and PIMCO Equity Series VIT. |
Bijal Y. Parikh** 1978 | | Vice President | | Since 2017 | | Senior Vice President, PIMCO. Vice President, PIMCO-Sponsored Closed-End Funds, PIMCO-Sponsored Interval Funds, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust and PIMCO Equity Series. |
Trent W. Walker** 1974 | | Treasurer Assistant Treasurer | | Since 2017 2014-2017 | | Executive Vice President, PIMCO. Assistant Treasurer, PIMCO-Sponsored Closed-End Funds and PIMCO-Sponsored Interval Funds. Treasurer, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series and PIMCO Equity Series VIT. |
Erik C. Brown** 1967 | | Assistant Treasurer | | Since 2015 | | Executive Vice President, PIMCO. Assistant Treasurer, PIMCO-Sponsored Closed-End Funds, PIMCO-Sponsored Interval Funds, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series and PIMCO Equity Series VIT. |
Colleen D. Miller 1980 | | Assistant Treasurer | | Since 2017 | | Senior Vice President, PIMCO. Assistant Treasurer, PIMCO-Sponsored Closed-End Funds, PIMCO-Sponsored Interval Funds, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series and PIMCO Equity Series VIT. Formerly, Vice President Cohen & Steers Capital Management. |
Christopher M. Morin** 1980 | | Assistant Treasurer | | Since 2016 | | Senior Vice President, PIMCO. Assistant Treasurer, PIMCO-Sponsored Closed-End Funds, PIMCO-Sponsored Interval Funds, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series and PIMCO Equity Series VIT. |
| | | | | | |
| 156 | | PIMCO MANAGED ACCOUNTS TRUST | | | | |
(Unaudited)
| | | | | | |
Name, Address
and Year of Birth | | Position(s)
Held with
Trust | | Term of Office
and Length of
Time Served | | Principal Occupation(s) During Past 5 Years* |
Jason J. Nagler 1982 | | Assistant Treasurer | | Since 2015 | | Vice President, PIMCO. Assistant Treasurer, PIMCO-Sponsored Closed-End Funds, PIMCO-Sponsored Interval Funds, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series and PIMCO Equity Series VIT. Formerly, Head of Mutual Fund Reporting, GMO, and Assistant Treasurer, GMO Trust and GMO Series Trust Funds. |
| * | The term “PIMCO-Sponsored Closed-End Funds” as used herein includes: PIMCO California Municipal Income Fund, PIMCO California Municipal Income Fund II, PIMCO California Municipal Income Fund III, PIMCO Municipal Income Fund, PIMCO Municipal Income Fund II, PIMCO Municipal Income Fund III, PIMCO New York Municipal Income Fund, PIMCO New York Municipal Income Fund II, PIMCO New York Municipal Income Fund III, PCM Fund Inc., PIMCO Corporate & Income Opportunity Fund, PIMCO Corporate & Income Strategy Fund, PIMCO Dynamic Credit and Mortgage Income Fund, PIMCO Dynamic Income Fund, PIMCO Global StocksPLUS® & Income Fund, PIMCO High Income Fund, PIMCO Income Opportunity Fund, PIMCO Income Strategy Fund, PIMCO Income Strategy Fund II and PIMCO Strategic Income Fund, Inc.; and the term “PIMCO-Sponsored Interval Funds” as used herein includes: PIMCO Flexible Credit Income Fund. |
| ** | The address of these officers is Pacific Investment Management Company LLC, 650 Newport Center Drive, Newport Beach, California 92660. |
| | | | | | |
| | ANNUAL REPORT | | DECEMBER 31, 2017 | | 157 |
Privacy Policy1
The Portfolios2,3 consider customer privacy to be a fundamental aspect of their relationships with shareholders and are committed to maintaining the confidentiality, integrity and security of their current, prospective and former shareholders’ non-public personal information. The Portfolios have developed policies that are designed to protect this confidentiality, while allowing shareholder needs to be served.
Obtaining Personal Information
In the course of providing shareholders with products and services, the Portfolios and certain service providers to the Portfolios, such as Portfolios’ investment adviser or sub-adviser (“Adviser”), may obtain non-public personal information about shareholders, which may come from sources such as account applications and other forms, from other written, electronic or verbal correspondence, from shareholder transactions, from a shareholder’s brokerage or financial advisory firm, financial advisor or consultant, and/or from information captured on applicable websites.
Respecting Your Privacy
As a matter of policy, the Portfolios do not disclose any non-public personal information provided by shareholders or gathered by the Portfolios to non-affiliated third parties, except as required or permitted by law or as necessary for such third parties to perform their agreements with respect to the Portfolios. As is common in the industry, non-affiliated companies may from time to time be used to provide certain services, such as preparing and mailing prospectuses, reports, account statements and other information, conducting research on shareholder satisfaction and gathering shareholder proxies. The Portfolios or their affiliates may also retain non-affiliated companies to market Portfolio shares or products which use Portfolio shares and enter into joint marketing arrangements with them and other companies. These companies may have access to a shareholder’s personal and account information, but are permitted to use this information solely to provide the specific service or as otherwise permitted by law. In most cases, the shareholders will be clients of a third party, but the Portfolios may also provide a shareholder’s personal and account information to the shareholder’s respective brokerage or financial advisory firm and/or financial advisor or consultant.
Sharing Information with Third Parties
The Portfolios reserve the right to disclose or report personal or account information to non-affiliated third parties in limited circumstances where the Portfolios believe in good faith that disclosure is required under law, to cooperate with regulators or law enforcement authorities, to protect their rights or property, or upon reasonable request by any fund advised by PIMCO in which a shareholder has invested. In addition, the Portfolios may disclose information about a shareholder or a shareholder’s accounts to a non-affiliated third party at the shareholder’s request or with the consent of the shareholder.
Sharing Information with Affiliates
The Portfolios may share shareholder information with their affiliates in connection with servicing shareholders’ accounts, and subject to applicable law may provide shareholders with information about products and services that the Portfolios or their Adviser, distributor or their affiliates (“Service Affiliates”) believe may be of interest to such shareholders. The information that the Portfolios may share may include, for example, a shareholder’s participation in the Portfolios or in other investment programs sponsored by a Service Affiliate, a shareholder’s ownership of certain types of accounts (such as IRAs), information about the Portfolios’ experiences or transactions with a shareholder, information captured on applicable websites, or other data about a shareholder’s accounts, subject
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| 158 | | PIMCO MANAGED ACCOUNTS TRUST | | | | |
(Unaudited)
to applicable law. The Portfolios’ Service Affiliates, in turn, are not permitted to share shareholder information with non-affiliated entities, except as required or permitted by law.
Procedures to Safeguard Private Information
The Portfolios take seriously the obligation to safeguard shareholder non-public personal information. In addition to this policy, the Portfolios have implemented procedures that are designed to restrict access to a shareholder’s non-public personal information to internal personnel who need to know that information to perform their jobs, such as servicing shareholder accounts or notifying shareholders of new products or services. Physical, electronic and procedural safeguards are in place to guard a shareholder’s non-public personal information.
Information Collected from Websites
Websites maintained by the Portfolios or their service providers may use a variety of technologies to collect information that help the Portfolios and their service providers understand how the website is used. Information collected from your web browser (including small files stored on your device that are commonly referred to as “cookies”) allow the websites to recognize your web browser and help to personalize and improve your user experience and enhance navigation of the website. In addition, the Portfolios or their Service Affiliates may use third parties to place advertisements for the Portfolios on other websites, including banner advertisements. Such third parties may collect anonymous information through the use of cookies or action tags (such as web beacons). The information these third parties collect is generally limited to technical and web navigation information, such as your IP address, web pages visited and browser type, and does not include personally identifiable information such as name, address, phone number or email address.
If you are a registered user of the Portfolios’ website, the Portfolios or their service providers or third party firms engaged by the Portfolios or their service providers may collect or share information submitted by you, which may include personally identifiable information. This information can be useful to the Portfolios when assessing and offering services and website features. You can change your cookie preferences by changing the setting on your web browser to delete or reject cookies. If you delete or reject cookies, some website pages may not function properly. The Portfolios do not look for web browser “do not track” requests.
Changes to the Privacy Policy
From time to time, the Portfolios may update or revise this privacy policy. If there are changes to the terms of this privacy policy, documents containing the revised policy on the relevant website will be updated.
1 Amended as of March 23, 2017.
2 PIMCO Investments LLC (“PI”) serves as the Portfolios’ distributor. This Privacy Policy applies to the activities of PI to the extent that PI regularly effects or engages in transactions with or for a Portfolio shareholder who is the record owner of such shares. For purposes of this Privacy Policy, references to “the Portfolios” shall include PI when acting in this capacity.
3 When distributing this Policy, a Portfolio may combine the distribution with any similar distribution of its investment adviser’s privacy policy. The distributed, combined policy may be written in the first person (i.e., by using “we” instead of “the Portfolios”).
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| | ANNUAL REPORT | | DECEMBER 31, 2017 | | 159 |
General Information
Investment Adviser and Administrator
Pacific Investment Management Company LLC
650 Newport Center Drive
Newport Beach, CA 92660
Distributor
PIMCO Investments LLC
1633 Broadway
New York, NY 10019
Custodian
State Street Bank and Trust Company
801 Pennsylvania Avenue
Kansas City, MO 64105
Transfer Agent
DST Asset Manager Solutions, Inc.
330 W. 9th Street
Kansas City, MO 64105
Legal Counsel
Ropes & Gray LLP
Prudential Tower
800 Boylston Street
Boston, MA 02199
Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
1100 Walnut Street, Suite 1300
Kansas City, MO 64106
This report is submitted for the general information of the shareholders of FISH: Series C, FISH: Series LD, FISH: Series M, FISH: Series R and FISH: Series TE, each a series of PIMCO Managed Accounts Trust.
FISH3001AR_123117
As of the end of the period covered by this report, the Registrant has adopted a code of ethics (the “Code”) that applies to
the Registrant’s principal executive officer and principal financial & accounting officer. The Registrant did not grant any waivers, including implicit waivers, from any provisions of the Code to the principal executive officer or principal financial & accounting officer during the period covered by this report.
A copy of the Code is included as an exhibit to this report.
| Item 3. | Audit Committee Financial Expert. |
(a) The Board of Trustees has determined that James A. Jacobson, who serves on the Board’s Audit Oversight Committee, qualifies as an “audit committee financial expert” as such term is defined in the instructions to this Item 3. The Board has also determined that Mr. Jacobson is “independent” as such term is interpreted under this Item 3.
| Item 4. | Principal Accountant Fees and Services. |
| | | | | | |
| (a) | | Fiscal Year Ended | | Audit Fees | | |
| | December 31, 2017 | | $ 226,674 | | |
| | December 31, 2016 | | $ 188,176 | | |
| | | |
| (b) | | Fiscal Year Ended | | Audit-Related Fees(1) | | |
| | December 31, 2017 | | $ — | | |
| | December 31, 2016 | | $ — | | |
| | | |
| (c) | | Fiscal Year Ended | | Tax Fees | | |
| | December 31, 2017 | | $ 29,700 | | |
| | December 31, 2016 | | $ — | | |
| | | |
| (d) | | Fiscal Year Ended | | All Other Fees(1) | | |
| | December 31, 2017 | | $ — | | |
| | December 31, 2016 | | $ — | | |
“Audit Fees” represents fees billed for each of the last two fiscal years for professional services rendered for the audit and review of the Registrant’s annual financial statements for those fiscal years or services that are normally provided by the accountant in connection with statutory or regulatory filings or engagements for those fiscal years.
“Audit-Related Fees” represents fees billed for each of the last two fiscal years for assurance and related services that are reasonably related to the performance of the audit or review of the Registrant’s financial statements, but not reported under “Audit Fees” above, and that include accounting consultations, agreed-upon procedure reports, attestation reports and comfort letters for those fiscal years.
“Tax Fees” represents fees billed for each of the last two fiscal years for professional services related to tax compliance, tax advice and tax planning, including services relating to the filing or amendment of federal, state or local income tax returns, regulated investment company qualification reviews, and tax distribution and analysis reviews.
“All Other Fees” represents fees, if any, billed for other products and services rendered by the principal accountant to the Registrant other than those reported above under “Audit Fees,” “Audit-Related Fees” and “Tax Fees” for the last two fiscal years.
(1)There were no “Audit-Related Fees” and “All Other Fees” for the last two fiscal years.
| | (e) | Pre-approval policies and procedures |
(1) The Registrant’s Audit Oversight Committee has adopted pre-approval policies and procedures (the “Procedures”) to govern the Audit Oversight Committee’s pre-approval of (i) all audit services and permissible non-audit services to be provided to the Registrant by its independent accountant, and (ii) all permissible non-audit services to be provided by such independent accountant to the Registrant’s investment adviser and to any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the Registrant (collectively, the “Service Affiliates”) if the services provided directly relate to the Registrant’s operations and financial reporting. In accordance with the Procedures, the Audit Oversight Committee is responsible for the engagement of the independent accountant to certify the Registrant’s financial statements for each fiscal year. With respect to the pre-approval of non-audit services provided to the Registrant and its Service Affiliates, the Procedures provide that the Audit Oversight Committee may annually pre-approve a list of types or categories of non-audit services that may be provided to the Registrant or its Service Affiliates, or the Audit Oversight Committee may pre-approve such services on a project-by-project basis as they arise. Unless a type of service has received general pre-approval, it will require specific pre-approval by the Audit Oversight Committee if it is to be provided by the independent accountant. The Procedures also permit the Audit Oversight Committee to delegate authority to one or more of its members to pre-approve any proposed non-audit services that have not been previously pre-approved by the Audit Oversight Committee, subject to the ratification by the full Audit Oversight Committee no later than its next scheduled meeting.
(2) With respect to the services described in paragraphs (b) through (d) of this Item 4, no amount was approved by the Audit Oversight Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
| | | | | | | | | | | | |
| | | Aggregate Non-Audit Fees Billed to Entity | |
| | | | |
| Entity | | December 31, 2017 | | | | | | December 31, 2016 | |
| | | | | | | | | |
PIMCO Managed Accounts Trust | | $ | 29,700 | | | | | | | $ | — | |
Pacific Investment Management Company LLC (“PIMCO”) | | | 6,271,517 | | | | | | | | 6,210,720 | |
| | | | | | | | | | | | |
| | | | |
Total | | $ | 6,301,217 | | | | | | | $ | 6,210,720 | |
| | | | | | | | | | | | |
| | h) | The Registrant’s Audit Oversight Committee has considered whether the provision of non-audit services that were rendered to the Registrant’s investment adviser, and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the Registrant which were not pre-approved (not requiring pre-approval) is compatible with maintaining the principal accountant’s independence. |
| Item 5. | Audit Committee of Listed Registrants. |
The Registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934, as amended. The audit committee is comprised of:
Deborah A. DeCotis;
Bradford K. Gallagher;
James A. Jacobson;
Hans W. Kertess;
William B. Ogden, IV; and
Alan Rappaport.
| Item 6. | Schedule of Investments. |
The Schedule of Investments is included as part of the reports to shareholders under Item 1.
| Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable.
| Item 8. | Portfolio Managers of Closed-End Management Investment Companies. |
Not applicable.
| Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not applicable.
| Item 10. | Submission of Matters to a Vote of Security Holders. |
There have been no material changes to the procedures by which shareholders may recommend nominees to the Trust’s Board of Trustees since the Trust last provided disclosure in response to this item.
| Item 11. | Controls and Procedures. |
| | (a) | The principal executive officer and principal financial & accounting officer have concluded as of a date within 90 days of the filing date of this report, based on their evaluation of the Registrant’s disclosure controls and |
| | procedures (as defined in Rule 30a-3(c) under the 1940 Act), that the design of such procedures is effective to provide reasonable assurance that material information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the time periods specified in the Commission’s rules and forms. |
| | (b) | There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
| Item 12. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies. |
Not applicable.
| | (a)(1) | Exhibit 99.CODE— Code of Ethics pursuant to Section 406 of the Sarbanes-Oxley Act of 2002. |
| | (a)(2) | Exhibit 99.CERT—Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. |
| | (b) | Exhibit 99.906CERT—Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. |
Signatures
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| | | | |
| | PIMCO Managed Accounts Trust |
| | |
| | By: | | /s/ PETER G. STRELOW |
| | |
| | | | |
| | |
| | | | Peter G. Strelow |
| | | | President (Principal Executive Officer) |
| |
| | Date: February 28, 2018 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| | | | |
| | By: | | /s/ PETER G. STRELOW |
| | |
| | | | |
| | |
| | | | Peter G. Strelow |
| | | | President (Principal Executive Officer) |
| |
| | Date: February 28, 2018 |
| | |
| | By: | | /s/ TRENT W. WALKER |
| | |
| | | | |
| | |
| | | | Trent W. Walker |
| | | | Treasurer (Principal Financial & Accounting Officer) |
| |
| | Date: February 28, 2018 |
